UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-08629
HARTFORD SERIES FUND, INC.
(Exact name of registrant as specified in charter)
690 Lee Road, Wayne, Pennsylvania 19087
(Address of Principal Executive Offices) (Zip Code)
Thomas R. Phillips, Esquire
Hartford Funds Management Company, LLC
690 Lee Road
Wayne, Pennsylvania 19087
(Name and Address of Agent for Service)
Copy to:
John V. O’Hanlon, Esquire
Dechert LLP
One International Place, 40th Floor
100 Oliver Street
Boston, Massachusetts 02110-2605
Registrant’s telephone number, including area code: (610) 386-4068
Date of fiscal year end: December 31
Date of reporting period: December 31, 2023
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549-1090. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
■ Hartford Balanced HLS Fund |
■ Hartford Capital Appreciation HLS Fund |
■ Hartford Disciplined Equity HLS Fund |
■ Hartford Dividend and Growth HLS Fund |
■ Hartford Healthcare HLS Fund |
■ Hartford International Opportunities HLS Fund |
■ Hartford MidCap HLS Fund |
■ Hartford Small Cap Growth HLS Fund |
■ Hartford Small Company HLS Fund |
■ Hartford Stock HLS Fund |
■ Hartford Total Return Bond HLS Fund |
■ Hartford Ultrashort Bond HLS Fund |
President
Hartford HLS Funds
1 | S&P 500 Index is a market capitalization-weighted price index composed of 500 widely held common stocks. Indices are unmanaged and not available for direct investment. Past performance does not guarantee future results. |
2 | The Consumer Price Index (CPI) in the United States is defined by the Bureau of Labor Statistics as a measure of the average change over time in the prices paid by urban consumers for a market basket of consumer goods and services. |
December 31, 2023 (Unaudited)
Inception 03/31/1983 Sub-advised by Wellington Management Company LLP | Investment objective – The Fund seeks long-term total return. |
Average Annual Total Returns | |||
for the Periods Ended 12/31/2023 | |||
1 Year | 5 Years | 10 Years | |
Class IA | 14.78% | 10.26% | 7.61% |
Class IB | 14.50% | 9.99% | 7.34% |
60% S&P 500 Index/ 35% Bloomberg US Government/Credit Bond Index/ 5% ICE BofA US 3-Month Treasury Bill Index1 | 17.75% | 10.16% | 8.13% |
S&P 500 Index | 26.29% | 15.69% | 12.03% |
Bloomberg US Government/Credit Bond Index | 5.72% | 1.41% | 1.97% |
ICE BofA US 3-Month Treasury Bill Index | 5.01% | 1.88% | 1.25% |
1 | Calculated by Hartford Funds Management Company, LLC |
2 |
December 31, 2023 (Unaudited)
Manager Discussion
3 |
December 31, 2023 (Unaudited)
4 |
December 31, 2023 (Unaudited)
Composition by Security Type(1) | |
as of 12/31/2023 | |
Category | Percentage of Net Assets |
Equity Securities | |
Common Stocks | 66.0% |
Fixed Income Securities | |
Asset & Commercial Mortgage-Backed Securities | 1.4% |
Corporate Bonds | 12.4 |
Municipal Bonds | 0.8 |
U.S. Government Agencies(2) | 0.8 |
U.S. Government Securities | 17.8 |
Total | 33.2% |
Short-Term Investments | 0.3 |
Other Assets & Liabilities | 0.5 |
Total | 100.0% |
(1) | For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. |
(2) | All, or a portion of the securities categorized as U.S. Government Agencies, were agency mortgage-backed securities as of December 31, 2023. |
5 |
December 31, 2023 (Unaudited)
Inception 04/02/1984 Sub-advised by Wellington Management Company LLP | Investment objective – The Fund seeks growth of capital. |
Average Annual Total Returns | |||
for the Periods Ended 12/31/2023 | |||
1 Year | 5 Years | 10 Years | |
Class IA | 20.00% | 13.30% | 9.27% |
Class IB | 19.70% | 13.02% | 9.00% |
Class IC | 19.38% | 12.73% | 8.73% |
Russell 3000 Index | 25.96% | 15.16% | 11.48% |
S&P 500 Index | 26.29% | 15.69% | 12.03% |
6 |
December 31, 2023 (Unaudited)
Manager Discussion
7 |
December 31, 2023 (Unaudited)
Composition by Sector(1) | |
as of 12/31/2023 | |
Sector | Percentage of Net Assets |
Equity Securities | |
Communication Services | 8.6% |
Consumer Discretionary | 8.5 |
Consumer Staples | 7.1 |
Energy | 3.0 |
Financials | 13.1 |
Health Care | 14.9 |
Industrials | 12.8 |
Information Technology | 21.1 |
Materials | 3.2 |
Real Estate | 3.3 |
Utilities | 2.3 |
Total | 97.9% |
Short-Term Investments | 0.9 |
Other Assets & Liabilities | 1.2 |
Total | 100.0% |
(1) | A sector may be comprised of several industries. For Fund compliance purposes, the Fund may not use the same classification system. These sector classifications are used for financial reporting purposes. |
8 |
December 31, 2023 (Unaudited)
Inception 05/29/1998 Sub-advised by Wellington Management Company LLP | Investment objective – The Fund seeks growth of capital. |
Average Annual Total Returns | |||
for the Periods Ended 12/31/2023 | |||
1 Year | 5 Years | 10 Years | |
Class IA | 21.24% | 14.32% | 11.84% |
Class IB | 20.95% | 14.03% | 11.56% |
Class IC | 20.66% | 13.75% | 11.29% |
S&P 500 Index | 26.29% | 15.69% | 12.03% |
9 |
December 31, 2023 (Unaudited)
* | Mammen Chally, CFA announced his plan to retire and withdraw from the partnership of Wellington Management Company LLP's parent company, and effective June 30, 2024, he will no longer serve as a portfolio manager for the Fund. Mr. Chally’s portfolio management responsibilities will transition to Douglas W. McLane, CFA in the months leading up to his departure. |
Manager Discussion
10 |
December 31, 2023 (Unaudited)
Composition by Sector(1) | |
as of 12/31/2023 | |
Sector | Percentage of Net Assets |
Equity Securities | |
Communication Services | 9.0% |
Consumer Discretionary | 10.6 |
Consumer Staples | 5.5 |
Energy | 3.5 |
Financials | 13.6 |
Health Care | 14.6 |
Industrials | 7.5 |
Information Technology | 28.4 |
Materials | 1.5 |
Real Estate | 1.7 |
Utilities | 3.2 |
Total | 99.1% |
Short-Term Investments | 0.1 |
Other Assets & Liabilities | 0.8 |
Total | 100.0% |
(1) | A sector may be comprised of several industries. For Fund compliance purposes, the Fund may not use the same classification system. These sector classifications are used for financial reporting purposes. |
11 |
December 31, 2023 (Unaudited)
Inception 03/09/1994 Sub-advised by Wellington Management Company LLP | Investment objective – The Fund seeks a high level of current income consistent with growth of capital. |
Average Annual Total Returns | |||
for the Periods Ended 12/31/2023 | |||
1 Year | 5 Years | 10 Years | |
Class IA | 14.18% | 13.72% | 10.58% |
Class IB | 13.89% | 13.44% | 10.31% |
S&P 500 Index | 26.29% | 15.69% | 12.03% |
Russell 1000 Value Index | 11.46% | 10.91% | 8.40% |
12 |
December 31, 2023 (Unaudited)
Manager Discussion
13 |
December 31, 2023 (Unaudited)
Composition by Sector(1) | |
as of 12/31/2023 | |
Sector | Percentage of Net Assets |
Equity Securities | |
Communication Services | 9.2% |
Consumer Discretionary | 3.2 |
Consumer Staples | 6.6 |
Energy | 7.5 |
Financials | 16.7 |
Health Care | 14.7 |
Industrials | 7.5 |
Information Technology | 19.6 |
Materials | 4.7 |
Real Estate | 3.3 |
Utilities | 5.3 |
Total | 98.3% |
Short-Term Investments | 0.8 |
Other Assets & Liabilities | 0.9 |
Total | 100.0% |
(1) | A sector may be comprised of several industries. For Fund compliance purposes, the Fund may not use the same classification system. These sector classifications are used for financial reporting purposes. |
14 |
December 31, 2023 (Unaudited)
Inception 05/01/2000 Sub-advised by Wellington Management Company LLP | Investment objective – The Fund seeks long-term capital appreciation. |
Average Annual Total Returns | |||
for the Periods Ended 12/31/2023 | |||
1 Year | 5 Years | 10 Years | |
Class IA | 4.11% | 10.88% | 10.18% |
Class IB | 3.81% | 10.61% | 9.89% |
S&P Composite 1500 Health Care Index | 1.92% | 11.24% | 11.32% |
S&P 500 Index | 26.29% | 15.69% | 12.03% |
15 |
December 31, 2023 (Unaudited)
Manager Discussion
16 |
December 31, 2023 (Unaudited)
Composition by Subsector(1) | |
as of 12/31/2023 | |
Subsector | Percentage of Net Assets |
Equity Securities | |
Biotechnology | 17.7% |
Commercial Services & Supplies | 0.5 |
Health Care Equipment & Supplies | 15.3 |
Health Care Providers & Services | 23.5 |
Health Care Technology | 0.6 |
Life Sciences Tools & Services | 12.6 |
Pharmaceuticals | 28.6 |
Total | 98.8% |
Short-Term Investments | 0.7 |
Other Assets & Liabilities | 0.5 |
Total | 100.0% |
(1) | For Fund compliance purposes, the Fund may not use the same classification system. These subsector classifications are used for financial reporting purposes. |
17 |
December 31, 2023 (Unaudited)
Inception 07/02/1990 Sub-advised by Wellington Management Company LLP | Investment objective – The Fund seeks long-term growth of capital. |
Average Annual Total Returns | |||
for the Periods Ended 12/31/2023 | |||
1 Year | 5 Years | 10 Years | |
Class IA | 11.72% | 8.47% | 4.24% |
Class IB | 11.45% | 8.20% | 3.98% |
MSCI ACWI ex USA Index (Net) | 15.62% | 7.08% | 3.83% |
18 |
December 31, 2023 (Unaudited)
* | Nicolas M. Choumenkovitch announced his plan to retire and withdraw from the partnership of Wellington Management Company LLP's parent company, and effective June 30, 2024, he will no longer serve as a portfolio manager for the Fund. Mr. Choumenkovitch’s portfolio management responsibilities will transition to Tara C. Stilwell, CFA in the months leading up to his departure. |
Manager Discussion
19 |
December 31, 2023 (Unaudited)
Composition by Sector(1) | |
as of 12/31/2023 | |
Sector | Percentage of Net Assets |
Equity Securities | |
Communication Services | 3.4% |
Consumer Discretionary | 10.3 |
Consumer Staples | 6.7 |
Energy | 7.0 |
Financials | 19.3 |
Health Care | 9.7 |
Industrials | 15.6 |
Information Technology | 17.0 |
Materials | 6.1 |
Real Estate | 0.6 |
Utilities | 3.2 |
Total | 98.9% |
Short-Term Investments | 0.4 |
Other Assets & Liabilities | 0.7 |
Total | 100.0% |
(1) | A sector may be comprised of several industries. For Fund compliance purposes, the Fund may not use the same classification system. These sector classifications are used for financial reporting purposes. |
20 |
December 31, 2023 (Unaudited)
Inception 07/14/1997 Sub-advised by Wellington Management Company LLP | Investment objective – The Fund seeks long-term growth of capital. |
Average Annual Total Returns | |||
for the Periods Ended 12/31/2023 | |||
1 Year | 5 Years | 10 Years | |
Class IA | 14.87% | 9.70% | 8.77% |
Class IB | 14.54% | 9.42% | 8.50% |
S&P MidCap 400 Index | 16.44% | 12.62% | 9.27% |
21 |
December 31, 2023 (Unaudited)
Manager Discussion
22 |
December 31, 2023 (Unaudited)
Composition by Sector(1) | |
as of 12/31/2023 | |
Sector | Percentage of Net Assets |
Equity Securities | |
Communication Services | 1.7% |
Consumer Discretionary | 12.4 |
Consumer Staples | 1.5 |
Energy | 4.3 |
Financials | 11.6 |
Health Care | 21.4 |
Industrials | 20.4 |
Information Technology | 21.8 |
Materials | 2.4 |
Real Estate | 1.3 |
Utilities | 0.8 |
Total | 99.6% |
Short-Term Investments | 0.0 * |
Other Assets & Liabilities | 0.4 |
Total | 100.0% |
* | Percentage rounds to zero. |
(1) | A sector may be comprised of several industries. For Fund compliance purposes, the Fund may not use the same classification system. These sector classifications are used for financial reporting purposes. |
23 |
December 31, 2023 (Unaudited)
Inception 05/02/1994 Sub-advised by Wellington Management Company LLP | Investment objective – The Fund seeks long-term capital appreciation. |
Average Annual Total Returns | |||
for the Periods Ended 12/31/2023 | |||
1 Year | 5 Years | 10 Years | |
Class IA | 18.42% | 9.78% | 7.17% |
Class IB | 18.14% | 9.50% | 6.91% |
Russell 2000 Growth Index | 18.66% | 9.22% | 7.16% |
24 |
December 31, 2023 (Unaudited)
* | Mammen Chally, CFA announced his plan to retire and withdraw from the partnership of Wellington Management Company LLP’s parent company, and effective June 30, 2024, he will no longer serve as a portfolio manager for the Fund. Mr. Chally’s portfolio management responsibilities will transition to David A. Siegle, CFA in the months leading up to his departure. |
Manager Discussion
25 |
December 31, 2023 (Unaudited)
Composition by Sector(1) | |
as of 12/31/2023 | |
Sector | Percentage of Net Assets |
Equity Securities | |
Communication Services | 1.5% |
Consumer Discretionary | 12.1 |
Consumer Staples | 3.0 |
Energy | 4.4 |
Financials | 6.7 |
Health Care | 22.4 |
Industrials | 20.2 |
Information Technology | 23.3 |
Materials | 4.3 |
Real Estate | 1.6 |
Total | 99.5% |
Short-Term Investments | 0.9 |
Other Assets & Liabilities | (0.4) |
Total | 100.0% |
(1) | A sector may be comprised of several industries. For Fund compliance purposes, the Fund may not use the same classification system. These sector classifications are used for financial reporting purposes. |
26 |
December 31, 2023 (Unaudited)
Inception 08/09/1996 Sub-advised by Wellington Management Company LLP | Investment objective – The Fund seeks growth of capital. |
Average Annual Total Returns | |||
for the Periods Ended 12/31/2023 | |||
1 Year | 5 Years | 10 Years | |
Class IA | 16.74% | 11.77% | 7.79% |
Class IB | 16.46% | 11.51% | 7.53% |
Russell 2000 Growth Index | 18.66% | 9.22% | 7.16% |
27 |
December 31, 2023 (Unaudited)
Manager Discussion
28 |
December 31, 2023 (Unaudited)
Composition by Sector(1) | |
as of 12/31/2023 | |
Sector | Percentage of Net Assets |
Equity Securities | |
Communication Services | 3.4% |
Consumer Discretionary | 12.8 |
Consumer Staples | 4.7 |
Energy | 5.1 |
Financials | 4.7 |
Health Care | 22.9 |
Industrials | 22.8 |
Information Technology | 17.3 |
Materials | 3.1 |
Real Estate | 3.0 |
Total | 99.8% |
Short-Term Investments | 0.6 |
Other Assets & Liabilities | (0.4) |
Total | 100.0% |
(1) | A sector may be comprised of several industries. For Fund compliance purposes, the Fund may not use the same classification system. These sector classifications are used for financial reporting purposes. |
29 |
December 31, 2023 (Unaudited)
Inception 08/31/1977 Sub-advised by Wellington Management Company LLP | Investment objective – The Fund seeks long-term growth of capital. |
Average Annual Total Returns | |||
for the Periods Ended 12/31/2023 | |||
1 Year | 5 Years | 10 Years | |
Class IA | 7.72% | 13.44% | 10.69% |
Class IB | 7.45% | 13.15% | 10.41% |
Russell 1000 Index | 26.53% | 15.52% | 11.80% |
30 |
December 31, 2023 (Unaudited)
Manager Discussion
31 |
December 31, 2023 (Unaudited)
Composition by Sector(1) | |
as of 12/31/2023 | |
Sector | Percentage of Net Assets |
Equity Securities | |
Consumer Discretionary | 10.6% |
Consumer Staples | 14.8 |
Financials | 14.6 |
Health Care | 18.9 |
Industrials | 21.2 |
Information Technology | 10.9 |
Materials | 5.2 |
Real Estate | 3.3 |
Total | 99.5% |
Short-Term Investments | 0.2 |
Other Assets & Liabilities | 0.3 |
Total | 100.0% |
(1) | A sector may be comprised of several industries. For Fund compliance purposes, the Fund may not use the same classification system. These sector classifications are used for financial reporting purposes. |
32 |
December 31, 2023 (Unaudited)
Inception 08/31/1977 Sub-advised by Wellington Management Company LLP | Investment objective – The Fund seeks a competitive total return, with income as a secondary objective. |
Average Annual Total Returns | |||
for the Periods Ended 12/31/2023 | |||
1 Year | 5 Years | 10 Years | |
Class IA | 6.97% | 1.86% | 2.32% |
Class IB | 6.69% | 1.59% | 2.07% |
Bloomberg US Aggregate Bond Index | 5.53% | 1.10% | 1.81% |
33 |
December 31, 2023 (Unaudited)
Manager Discussion
34 |
December 31, 2023 (Unaudited)
35 |
December 31, 2023 (Unaudited)
Composition by Security Type(1) | |
as of 12/31/2023 | |
Category | Percentage of Net Assets |
Equity Securities | |
Common Stocks | 0.0% * |
Preferred Stocks | 0.1 |
Total | 0.1% |
Fixed Income Securities | |
Asset & Commercial Mortgage-Backed Securities | 20.6% |
Corporate Bonds | 30.9 |
Foreign Government Obligations | 3.0 |
Municipal Bonds | 1.4 |
Senior Floating Rate Interests | 0.0 * |
U.S. Government Agencies(2) | 46.2 |
U.S. Government Securities | 14.0 |
Total | 116.1% |
Short-Term Investments | 0.3 |
Other Assets & Liabilities | (16.5) |
Total | 100.0% |
* | Percentage rounds to zero. |
(1) | For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. |
(2) | All, or a portion of the securities categorized as U.S. Government Agencies, were agency mortgage-backed securities as of December 31, 2023. |
36 |
December 31, 2023 (Unaudited)
Inception 06/30/1980 Sub-advised by Wellington Management Company LLP | Investment objective – The Fund seeks total return and income consistent with preserving capital and maintaining liquidity. |
Average Annual Total Returns | |||
for the Periods Ended 12/31/2023 | |||
1 Year | 5 Years | 10 Years | |
Class IA | 5.18% | 1.80% | 1.27% |
Class IB | 4.99% | 1.55% | 1.02% |
Bloomberg Short Treasury 9-12 Month Index | 5.01% | 1.82% | 1.28% |
37 |
December 31, 2023 (Unaudited)
* | Timothy E. Smith, CFA announced his plan to retire and withdraw from the partnership of Wellington Management Company LLP’s parent company, and effective June 30, 2024, he will no longer serve as a portfolio manager for the Fund. Mr. Smith’s portfolio management responsibilities will transition to Marc K. Piccuirro, CFA in the months leading up to his departure. |
Manager Discussion
38 |
December 31, 2023 (Unaudited)
Composition by Security Type(1) | |
as of 12/31/2023 | |
Category | Percentage of Net Assets |
Fixed Income Securities | |
Asset & Commercial Mortgage-Backed Securities | 37.2% |
Corporate Bonds | 33.7 |
U.S. Government Agencies(2) | 6.9 |
U.S. Government Securities | 15.7 |
Total | 93.5% |
Short-Term Investments | 5.8 |
Other Assets & Liabilities | 0.7 |
Total | 100.0% |
(1) | For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. |
(2) | All, or a portion of the securities categorized as U.S. Government Agencies, were agency mortgage-backed securities as of December 31, 2023. |
39 |
Bloomberg US Government/Credit Bond Index (reflects no deduction for fees, expenses or taxes) measures the non-securitized component of the US Aggregate Index. It includes investment grade, US dollar-denominated, fixed-rate Treasuries, government-related and corporate securities. |
Bloomberg Short Treasury 9-12 Month Index (reflects no deduction for fees, expenses or taxes) includes aged US Treasury bills, notes and bonds with a remaining maturity from 1 up to (but not including) 12 months. It excludes zero coupon strips. |
Bloomberg US Aggregate Bond Index (reflects no deduction for fees, expenses or taxes) is composed of securities that cover the US investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. |
ICE BofA US 3-Month Treasury Bill Index (reflects no deduction for fees, expenses or taxes) is comprised of a single issue purchased at the beginning of the month and held for a full month. At the end of the month that issue is sold and rolled into a newly selected issue. The issue selected at each month-end rebalancing is the outstanding Treasury Bill that matures closest to, but not beyond, three months from the rebalancing date. To qualify for selection, an issue must have settled on or before the month-end rebalancing date. |
MSCI ACWI ex USA Index (Net) (reflects reinvested dividends net of withholding taxes but reflects no deduction for fees, expenses or other taxes) is designed to capture large and mid cap securities across developed markets (excluding the US) and emerging market countries. |
Russell 1000 Index (reflects no deduction for fees, expenses or taxes) is designed to measure the performance of the 1,000 largest companies in the Russell 3000 Index. The Russell 3000 Index is designed to measure the performance of the 3,000 largest US companies based on total market capitalizations. |
Russell 3000 Index (reflects no deduction for fees, expenses or taxes) is designed to measure the performance of the 3,000 largest US companies based on total market capitalization. |
Russell 2000 Growth Index (reflects no deduction for fees, expenses or taxes) is designed to measure the performance of those Russell 2000 Index companies with higher price-to-book ratios and higher forecasted growth values. The Russell 2000 Index is an index comprised of 2,000 of the smallest US-domiciled company common stocks based on a combination of their market capitalization and current index membership. |
Russell 1000 Value Index (reflects no deduction for fees, expenses or taxes) is designed to measure the performance of those Russell 1000 Index companies with lower price-to-book ratios and lower forecasted growth values. The Russell 1000 Index is designed to measure the performance of the 1,000 largest companies in the Russell 3000 Index based on their market capitalization and current index membership. |
S& P Composite 1500 Health Care Index (reflects no deduction for fees, expenses or taxes) is a float-adjusted market capitalization-weighted index comprised of those companies included in the S&P Composite 1500 that are classified as members of the Global Industry Classification Standard (GICS®) health care sector. |
S&P MidCap 400 Index (reflects no deduction for fees, expenses or taxes) is a float-adjusted market capitalization-weighted index designed to measure the performance of the mid-cap segment of the market. The index is composed of 400 constituent companies. |
S&P 500 Index (reflects no deduction for fees, expenses or taxes) is a float-adjusted market capitalization-weighted index composed of 500 widely held common stocks. |
Additional Information Regarding Bloomberg Index(es). “Bloomberg®” and the above referenced Bloomberg index(es) are service marks of Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited (“BISL”), the administrator of the index (collectively, “Bloomberg”), and have been licensed for use for certain purposes by Hartford Funds Management Company, LLC ("HFMC"). The Funds are not sponsored, endorsed, sold or promoted by Bloomberg. Bloomberg does not make any representation or warranty, express or implied, to the owners of or counterparties to the Funds or any member of the public regarding the advisability of investing in securities generally or in the Funds particularly. The only relationship of Bloomberg to HFMC is the licensing of certain trademarks, trade names and service marks and of the above referenced Bloomberg index(es), which is determined, composed and calculated by BISL without regard to HFMC or the Funds. Bloomberg has no obligation to take the needs of HFMC or the owners of the Funds into consideration in determining, composing or calculating the above referenced Bloomberg index(es). Bloomberg is not responsible for and has not participated in the determination of the timing of, prices at, or quantities of the Funds to be issued. Bloomberg shall not have any obligation or liability, including, without limitation, to the Funds' customers, in connection with the administration, marketing or trading of the Funds. |
BLOOMBERG DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE ABOVE REFERENCED BLOOMBERG INDEX(ES) OR ANY DATA RELATED THERETO AND SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS OR INTERRUPTIONS THEREIN. BLOOMBERG DOES NOT MAKE ANY WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY HFMC, OWNERS OF THE FUNDS OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE ABOVE REFERENCED BLOOMBERG INDEX(ES) OR ANY DATA RELATED THERETO. BLOOMBERG DOES NOT MAKE ANY EXPRESS OR IMPLIED WARRANTIES AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE ABOVE REFERENCED BLOOMBERG INDEX(ES) OR ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, TO THE MAXIMUM EXTENT ALLOWED BY LAW, BLOOMBERG, ITS LICENSORS, AND ITS AND THEIR RESPECTIVE EMPLOYEES, CONTRACTORS, AGENTS, SUPPLIERS, AND VENDORS SHALL HAVE NO LIABILITY OR RESPONSIBILITY WHATSOEVER FOR ANY INJURY OR |
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DAMAGES --WHETHER DIRECT, INDIRECT, CONSEQUENTIAL, INCIDENTAL, PUNITIVE OR OTHERWISE --ARISING IN CONNECTION WITH THE ABOVE REFERENCED BLOOMBERG INDEX(ES) OR ANY DATA OR VALUES RELATING THERETO --WHETHER ARISING FROM THEIR NEGLIGENCE OR OTHERWISE, EVEN IF NOTIFIED OF THE POSSIBILITY THEREOF. |
Additional Information Regarding MSCI Indices. Neither MSCI nor any other party involved in or related to compiling, computing or creating the MSCI data makes any express or implied warranties or representations with respect to such data (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such data. Without limiting any of the foregoing, in no event shall MSCI, any of its affiliates or any third party involved in or related to compiling, computing or creating the data have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages. No further distribution or dissemination of the MSCI data is permitted without MSCI’s express written consent. |
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Actual Return | Hypothetical (5% return before expenses) | ||||||||||||
Beginning Account Value July 1, 2023 | Ending Account Value December 31, 2023 | Expenses paid during the period July 1, 2023 through December 31, 2023 | Beginning Account Value July 1, 2023 | Ending Account Value December 31, 2023 | Expenses paid during the period July 1, 2023 through December 31, 2023 | Annualized expense ratio | |||||||
Hartford Balanced HLS Fund | |||||||||||||
Class IA | $ 1,000.00 | $ 1,070.00 | $ 3.29 | $ 1,000.00 | $ 1,022.03 | $ 3.21 | 0.63% | ||||||
Class IB | $ 1,000.00 | $ 1,068.30 | $ 4.59 | $ 1,000.00 | $ 1,020.77 | $ 4.48 | 0.88% | ||||||
Hartford Capital Appreciation HLS Fund | |||||||||||||
Class IA | $ 1,000.00 | $ 1,069.80 | $ 3.50 | $ 1,000.00 | $ 1,021.83 | $ 3.41 | 0.67% | ||||||
Class IB | $ 1,000.00 | $ 1,068.60 | $ 4.80 | $ 1,000.00 | $ 1,020.57 | $ 4.69 | 0.92% | ||||||
Class IC | $ 1,000.00 | $ 1,067.00 | $ 6.10 | $ 1,000.00 | $ 1,019.31 | $ 5.96 | 1.17% | ||||||
Hartford Disciplined Equity HLS Fund | |||||||||||||
Class IA | $ 1,000.00 | $ 1,076.10 | $ 3.09 | $ 1,000.00 | $ 1,022.23 | $ 3.01 | 0.59% | ||||||
Class IB | $ 1,000.00 | $ 1,074.90 | $ 4.39 | $ 1,000.00 | $ 1,020.97 | $ 4.28 | 0.84% | ||||||
Class IC | $ 1,000.00 | $ 1,073.90 | $ 5.70 | $ 1,000.00 | $ 1,019.71 | $ 5.55 | 1.09% | ||||||
Hartford Dividend and Growth HLS Fund | |||||||||||||
Class IA | $ 1,000.00 | $ 1,073.10 | $ 3.45 | $ 1,000.00 | $ 1,021.88 | $ 3.36 | 0.66% | ||||||
Class IB | $ 1,000.00 | $ 1,071.80 | $ 4.75 | $ 1,000.00 | $ 1,020.62 | $ 4.63 | 0.91% | ||||||
Hartford Healthcare HLS Fund | |||||||||||||
Class IA | $ 1,000.00 | $ 1,021.30 | $ 4.74 | $ 1,000.00 | $ 1,020.52 | $ 4.74 | 0.93% | ||||||
Class IB | $ 1,000.00 | $ 1,019.30 | $ 6.01 | $ 1,000.00 | $ 1,019.26 | $ 6.01 | 1.18% | ||||||
Hartford International Opportunities HLS Fund | |||||||||||||
Class IA | $ 1,000.00 | $ 1,032.80 | $ 3.89 | $ 1,000.00 | $ 1,021.37 | $ 3.87 | 0.76% | ||||||
Class IB | $ 1,000.00 | $ 1,031.90 | $ 5.17 | $ 1,000.00 | $ 1,020.11 | $ 5.14 | 1.01% | ||||||
Hartford MidCap HLS Fund | |||||||||||||
Class IA | $ 1,000.00 | $ 1,055.80 | $ 3.78 | $ 1,000.00 | $ 1,021.53 | $ 3.72 | 0.73% | ||||||
Class IB | $ 1,000.00 | $ 1,054.50 | $ 5.07 | $ 1,000.00 | $ 1,020.27 | $ 4.99 | 0.98% |
42 |
Actual Return | Hypothetical (5% return before expenses) | ||||||||||||
Beginning Account Value July 1, 2023 | Ending Account Value December 31, 2023 | Expenses paid during the period July 1, 2023 through December 31, 2023 | Beginning Account Value July 1, 2023 | Ending Account Value December 31, 2023 | Expenses paid during the period July 1, 2023 through December 31, 2023 | Annualized expense ratio | |||||||
Hartford Small Cap Growth HLS Fund | |||||||||||||
Class IA | $ 1,000.00 | $ 1,047.70 | $ 3.36 | $ 1,000.00 | $ 1,021.88 | $ 3.31 | 0.65% | ||||||
Class IB | $ 1,000.00 | $ 1,046.10 | $ 4.69 | $ 1,000.00 | $ 1,020.62 | $ 4.63 | 0.91% | ||||||
Hartford Small Company HLS Fund | |||||||||||||
Class IA | $ 1,000.00 | $ 1,058.90 | $ 4.15 | $ 1,000.00 | $ 1,021.17 | $ 4.08 | 0.80% | ||||||
Class IB | $ 1,000.00 | $ 1,058.20 | $ 5.45 | $ 1,000.00 | $ 1,019.91 | $ 5.35 | 1.05% | ||||||
Hartford Stock HLS Fund | |||||||||||||
Class IA | $ 1,000.00 | $ 1,041.30 | $ 2.62 | $ 1,000.00 | $ 1,022.63 | $ 2.60 | 0.51% | ||||||
Class IB | $ 1,000.00 | $ 1,040.10 | $ 3.91 | $ 1,000.00 | $ 1,021.37 | $ 3.87 | 0.76% | ||||||
Hartford Total Return Bond HLS Fund | |||||||||||||
Class IA | $ 1,000.00 | $ 1,041.60 | $ 2.57 | $ 1,000.00 | $ 1,022.68 | $ 2.55 | 0.50% | ||||||
Class IB | $ 1,000.00 | $ 1,039.80 | $ 3.86 | $ 1,000.00 | $ 1,021.42 | $ 3.82 | 0.75% | ||||||
Hartford Ultrashort Bond HLS Fund | |||||||||||||
Class IA | $ 1,000.00 | $ 1,032.10 | $ 2.25 | $ 1,000.00 | $ 1,022.99 | $ 2.24 | 0.44% | ||||||
Class IB | $ 1,000.00 | $ 1,030.20 | $ 3.53 | $ 1,000.00 | $ 1,021.73 | $ 3.52 | 0.69% |
43 |
December 31, 2023
Shares or Principal Amount | Market Value† | ||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 1.4% | |||
Asset-Backed - Automobile - 0.3% | |||
$ 889,484 | CFMT LLC 1.39%, 09/22/2031(1) | $ 862,467 | |
1,845,000 | Enterprise Fleet Financing LLC 6.40%, 03/20/2030(1) | 1,886,166 | |
Ford Credit Auto Owner Trust | |||
275,000 | 1.61%, 10/17/2033(1) | 252,485 | |
260,000 | 1.91%, 10/17/2033(1) | 238,563 | |
555,357 | SFS Auto Receivables Securitization Trust 5.89%, 03/22/2027(1) | 556,475 | |
1,260,000 | Wheels Fleet Lease Funding 1 LLC 6.46%, 08/18/2038(1) | 1,275,365 | |
5,071,521 | |||
Asset-Backed - Student Loan - 0.1% | |||
1,490,414 | Navient Private Education Refi Loan Trust 5.51%, 10/15/2071(1) | 1,490,125 | |
Commercial Mortgage-Backed Securities - 0.1% | |||
1,460,000 | BX Trust 6.77%, 10/15/2036, 1 mo. USD Term SOFR + 1.41%(1)(2) | 1,412,346 | |
289,976 | Life Mortgage Trust 6.18%, 03/15/2038, 1 mo. USD Term SOFR + 0.81%(1)(2) | 284,317 | |
375,000 | SFAVE Commercial Mortgage Securities Trust 4.14%, 01/05/2043(1)(3) | 280,552 | |
1,977,215 | |||
Other Asset-Backed Securities - 0.8% | |||
81,766 | Aaset Trust 3.84%, 05/15/2039(1) | 61,820 | |
62,490 | Affirm Asset Securitization Trust 1.07%, 08/15/2025(1) | 61,782 | |
Castlelake Aircraft Structured Trust | |||
134,960 | 3.47%, 01/15/2046(1) | 123,876 | |
353,476 | 3.97%, 04/15/2039(1) | 307,988 | |
CF Hippolyta Issuer LLC | |||
772,807 | 1.53%, 03/15/2061(1) | 692,444 | |
410,193 | 1.69%, 07/15/2060(1) | 379,125 | |
160,216 | 1.98%, 03/15/2061(1) | 136,221 | |
195,426 | 5.97%, 08/15/2062(1) | 192,285 | |
1,323,079 | Home Partners of America Trust 2.30%, 12/17/2026(1) | 1,190,915 | |
171,994 | Horizon Aircraft Finance II Ltd. 3.72%, 07/15/2039(1) | 151,695 | |
260,558 | Horizon Aircraft Finance III Ltd. 3.43%, 11/15/2039(1) | 204,536 | |
1,155,000 | Kubota Credit Owner Trust 5.28%, 01/18/2028(1) | 1,168,344 | |
141,341 | MACH 1 Cayman Ltd. 3.47%, 10/15/2039(1) | 122,092 | |
85,514 | MAPS Ltd. 4.46%, 03/15/2044(1) | 76,571 | |
New Economy Assets Phase 1 Sponsor LLC | |||
1,530,000 | 1.91%, 10/20/2061(1) | 1,339,453 | |
480,000 | 2.41%, 10/20/2061(1) | 389,879 | |
2,794,000 | Retained Vantage Data Centers Issuer LLC 5.00%, 09/15/2048(1) | 2,623,871 | |
484,791 | SCF Equipment Leasing LLC 0.83%, 08/21/2028(1) | 477,711 | |
2,550,000 | Stack Infrastructure Issuer LLC 5.90%, 07/25/2048(1) | 2,534,983 | |
133,966 | Start II Ltd. 4.09%, 03/15/2044(1) | 121,643 | |
12,357,234 | |||
Whole Loan Collateral CMO - 0.1% | |||
53,668 | Angel Oak Mortgage Trust 2.62%, 11/25/2059(1)(3) | 51,771 | |
Federal National Mortgage Association Connecticut Avenue Securities | |||
280,000 | 6.89%, 10/25/2041, 30 day USD SOFR Average + 1.55%(1)(2) | 279,820 |
Shares or Principal Amount | Market Value† | ||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 1.4% - (continued) | |||
Whole Loan Collateral CMO - 0.1% - (continued) | |||
$ 119,365 | 11.35%, 10/25/2028, 30 day USD SOFR Average + 6.01%(2) | $ 127,198 | |
Flagstar Mortgage Trust | |||
588,198 | 2.00%, 09/25/2041(1)(3) | 492,825 | |
278,901 | 4.00%, 05/25/2048(1)(3) | 257,237 | |
206,931 | MetLife Securitization Trust 3.00%, 04/25/2055(1)(3) | 193,688 | |
83,540 | Mill City Mortgage Loan Trust 2.75%, 01/25/2061(1)(3) | 81,814 | |
406,152 | Seasoned Credit Risk Transfer Trust 3.50%, 10/25/2058 | 383,900 | |
Towd Point Mortgage Trust | |||
169,870 | 2.75%, 06/25/2057(1)(3) | 162,822 | |
65,123 | 3.00%, 01/25/2058(1)(3) | 63,233 | |
2,094,308 | |||
Total Asset & Commercial Mortgage-Backed Securities (cost $23,648,353) | $ 22,990,403 | ||
CORPORATE BONDS - 12.4% | |||
Aerospace/Defense - 0.3% | |||
HEICO Corp. | |||
2,328,000 | 5.25%, 08/01/2028 | $ 2,378,968 | |
2,325,000 | 5.35%, 08/01/2033 | 2,388,039 | |
560,000 | Lockheed Martin Corp. 4.85%, 09/15/2041 | 539,804 | |
5,306,811 | |||
Airlines - 0.0% | |||
91,359 | United Airlines Pass-Through Trust 4.60%, 09/01/2027 | 86,769 | |
Auto Manufacturers - 0.0% | |||
270,000 | Daimler Truck Finance North America LLC 5.15%, 01/16/2026(1) | 270,829 | |
Beverages - 0.1% | |||
990,000 | Anheuser-Busch InBev Worldwide, Inc. 4.38%, 04/15/2038 | 941,370 | |
Biotechnology - 0.0% | |||
385,000 | Gilead Sciences, Inc. 5.55%, 10/15/2053 | 418,450 | |
Commercial Banks - 3.3% | |||
Bank of America Corp. | |||
1,570,000 | 1.73%, 07/22/2027, (1.73% fixed rate until 07/22/2026; 6 mo. USD SOFR + 0.96% thereafter)(4) | 1,438,972 | |
1,215,000 | 2.30%, 07/21/2032, (2.30% fixed rate until 07/21/2031; 6 mo. USD SOFR + 1.22% thereafter)(4) | 993,368 | |
1,799,000 | 3.42%, 12/20/2028, (3.42% fixed rate until 12/20/2027; 3 mo. USD Term SOFR + 1.30% thereafter)(4) | 1,693,844 | |
1,610,000 | 3.59%, 07/21/2028, (3.59% fixed rate until 07/21/2027; 3 mo. USD Term SOFR + 1.63% thereafter)(4) | 1,528,199 | |
2,239,000 | 5.82%, 09/15/2029, (5.82% fixed rate until 09/15/2028; 6 mo. USD SOFR + 1.57% thereafter)(4) | 2,312,730 | |
574,000 | 5.87%, 09/15/2034, (5.87% fixed rate until 09/15/2033; 6 mo. USD SOFR + 1.84% thereafter)(4) | 602,362 |
44 |
December 31, 2023
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 12.4% - (continued) | |||
Commercial Banks - 3.3% - (continued) | |||
$ 2,494,000 | Bank of New York Mellon Corp. 4.97%, 04/26/2034, (4.97% fixed rate until 04/26/2033; 6 mo. USD SOFR + 1.61% thereafter)(4) | $ 2,487,213 | |
BNP Paribas SA | |||
830,000 | 2.82%, 11/19/2025, (2.82% fixed rate until 11/19/2024; 3 mo. USD Term SOFR + 1.37% thereafter)(1)(4) | 808,840 | |
1,640,000 | 5.89%, 12/05/2034, (5.89% fixed rate until 12/05/2033; 6 mo. USD SOFR + 1.87% thereafter)(1)(4) | 1,716,470 | |
2,445,000 | BPCE SA 6.71%, 10/19/2029, (6.71% fixed rate until 10/19/2028; 6 mo. USD SOFR + 2.27% thereafter)(1)(4) | 2,576,716 | |
2,505,000 | Commonwealth Bank of Australia 5.07%, 09/14/2028(1) | 2,563,604 | |
2,733,000 | Credit Agricole SA 6.32%, 10/03/2029, (6.32% fixed rate until 10/03/2028; 6 mo. USD SOFR + 1.86% thereafter)(1)(4) | 2,866,772 | |
2,737,000 | Credit Suisse AG 7.50%, 02/15/2028 | 3,000,254 | |
Danske Bank AS | |||
1,865,000 | 1.62%, 09/11/2026, (1.62% fixed rate until 09/11/2025; 1 yr. USD CMT + 1.35% thereafter)(1)(4) | 1,740,614 | |
1,555,000 | 6.26%, 09/22/2026, (6.26% fixed rate until 09/22/2025; 1 yr. USD CMT + 1.18% thereafter)(1)(4) | 1,582,038 | |
1,960,000 | Deutsche Bank AG 6.82%, 11/20/2029, (6.82% fixed rate until 11/20/2028; 6 mo. USD SOFR + 2.51% thereafter)(4) | 2,065,550 | |
1,150,000 | Goldman Sachs Group, Inc. 6.25%, 02/01/2041 | 1,284,570 | |
JP Morgan Chase & Co. | |||
620,000 | 2.52%, 04/22/2031, (2.52% fixed rate until 04/22/2030; 6 mo. USD SOFR + 2.04% thereafter)(4) | 536,991 | |
390,000 | 3.11%, 04/22/2041, (3.11% fixed rate until 04/22/2040; 3 mo. USD Term SOFR + 2.46% thereafter)(4) | 301,210 | |
705,000 | 3.70%, 05/06/2030, (3.70% fixed rate until 05/06/2029; 3 mo. USD Term SOFR + 1.42% thereafter)(4) | 663,455 | |
805,000 | 4.45%, 12/05/2029, (4.45% fixed rate until 12/05/2028; 3 mo. USD Term SOFR + 1.59% thereafter)(4) | 789,157 | |
M&T Bank Corp. | |||
940,000 | 4.55%, 08/16/2028, (4.55% fixed rate until 08/16/2027; 6 mo. USD SOFR + 1.78% thereafter)(4) | 904,356 | |
2,195,000 | 7.41%, 10/30/2029, (7.41% fixed rate until 10/30/2028; 6 mo. USD SOFR + 2.80% thereafter)(4) | 2,363,345 | |
1,040,000 | Manufacturers & Traders Trust Co. 4.70%, 01/27/2028 | 1,011,252 | |
Morgan Stanley | |||
1,450,000 | 3.13%, 07/27/2026 | 1,388,890 | |
1,000,000 | 3.70%, 10/23/2024 | 987,015 | |
1,372,000 | 5.95%, 01/19/2038, (5.95% fixed rate until 01/19/2033; 5 yr. USD CMT + 2.43% thereafter)(4) | 1,390,128 | |
Standard Chartered PLC | |||
1,130,000 | 0.99%, 01/12/2025, (0.99% fixed rate until 01/12/2024; 1 yr. USD CMT + 0.78% thereafter)(1)(4) | 1,128,350 |
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 12.4% - (continued) | |||
Commercial Banks - 3.3% - (continued) | |||
$ 3,215,000 | 1.21%, 03/23/2025, (1.21% fixed rate until 03/23/2024; 1 yr. USD CMT + 0.88% thereafter)(1)(4) | $ 3,177,384 | |
1,545,000 | UBS AG 5.65%, 09/11/2028 | 1,603,649 | |
UBS Group AG | |||
1,695,000 | 1.49%, 08/10/2027, (1.49% fixed rate until 08/10/2026; 1 yr. USD CMT + 0.85% thereafter)(1)(4) | 1,532,172 | |
320,000 | 6.30%, 09/22/2034, (6.30% fixed rate until 09/22/2033; 1 yr. USD CMT + 2.00% thereafter)(1)(4) | 339,647 | |
Wells Fargo & Co. | |||
4,344,000 | 4.48%, 01/16/2024 | 4,341,589 | |
1,750,000 | 4.61%, 04/25/2053, (4.61% fixed rate until 04/25/2052; 6 mo. USD SOFR + 2.13% thereafter)(4) | 1,581,933 | |
1,665,000 | 6.30%, 10/23/2029, (6.30% fixed rate until 10/23/2028; 6 mo. USD SOFR + 1.79% thereafter)(4) | 1,756,375 | |
57,059,014 | |||
Commercial Services - 0.3% | |||
Ashtead Capital, Inc. | |||
2,285,000 | 2.45%, 08/12/2031(1) | 1,863,502 | |
600,000 | 5.50%, 08/11/2032(1) | 593,772 | |
380,000 | 5.55%, 05/30/2033(1) | 376,828 | |
475,000 | 5.95%, 10/15/2033(1) | 484,846 | |
691,000 | ERAC USA Finance LLC 5.40%, 05/01/2053(1) | 728,341 | |
570,000 | UL Solutions, Inc. 6.50%, 10/20/2028(1) | 599,878 | |
4,647,167 | |||
Construction Materials - 0.0% | |||
Carrier Global Corp. | |||
205,000 | 5.90%, 03/15/2034(1) | 222,253 | |
140,000 | 6.20%, 03/15/2054(1) | 162,630 | |
384,883 | |||
Diversified Financial Services - 0.7% | |||
American Express Co. | |||
3,843,000 | 5.04%, 05/01/2034, (5.04% fixed rate until 05/01/2033; 6 mo. USD SOFR + 1.84% thereafter)(4) | 3,844,250 | |
195,000 | 6.49%, 10/30/2031, (6.49% fixed rate until 10/30/2030; 6 mo. USD SOFR + 1.94% thereafter)(4) | 211,769 | |
1,715,000 | Aviation Capital Group LLC 1.95%, 09/20/2026(1) | 1,551,683 | |
2,615,000 | Blackstone Holdings Finance Co. LLC 2.55%, 03/30/2032(1) | 2,136,646 | |
Capital One Financial Corp. | |||
580,000 | 6.31%, 06/08/2029, (6.31% fixed rate until 06/08/2028; 6 mo. USD SOFR + 2.64% thereafter)(4) | 595,823 | |
535,000 | 7.15%, 10/29/2027, (7.15% fixed rate until 10/29/2026; 6 mo. USD SOFR + 2.44% thereafter)(4) | 555,651 | |
Intercontinental Exchange, Inc. | |||
2,185,000 | 4.00%, 09/15/2027 | 2,143,797 | |
816,000 | 4.35%, 06/15/2029 | 811,760 | |
Nasdaq, Inc. | |||
175,000 | 5.95%, 08/15/2053 | 188,729 | |
165,000 | 6.10%, 06/28/2063 | 178,941 | |
12,219,049 |
45 |
December 31, 2023
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 12.4% - (continued) | |||
Electric - 1.4% | |||
$ 1,200,000 | American Transmission Systems, Inc. 2.65%, 01/15/2032(1) | $ 1,017,113 | |
Arizona Public Service Co. | |||
182,000 | 3.35%, 05/15/2050(5) | 129,286 | |
90,000 | 3.75%, 05/15/2046 | 68,686 | |
221,000 | 4.25%, 03/01/2049 | 179,323 | |
940,000 | 4.35%, 11/15/2045 | 793,194 | |
1,960,000 | Cleveland Electric Illuminating Co. 3.50%, 04/01/2028(1) | 1,836,717 | |
360,000 | Dominion Energy South Carolina, Inc. 6.63%, 02/01/2032(5) | 407,372 | |
Dominion Energy, Inc. | |||
55,000 | 3.38%, 04/01/2030 | 50,707 | |
2,595,000 | 4.35%, 01/15/2027, (4.35% fixed rate until 01/15/2027; 5 yr. USD CMT + 3.20% thereafter)(4)(5)(6) | 2,302,965 | |
607,000 | 5.38%, 11/15/2032 | 624,392 | |
Georgia Power Co. | |||
3,073,000 | 4.70%, 05/15/2032 | 3,065,322 | |
245,000 | 4.75%, 09/01/2040 | 227,777 | |
826,000 | 5.13%, 05/15/2052 | 820,587 | |
75,000 | Metropolitan Edison Co. 5.20%, 04/01/2028(1) | 75,607 | |
625,000 | NextEra Energy Capital Holdings, Inc. 5.75%, 09/01/2025 | 631,141 | |
Pacific Gas & Electric Co. | |||
3,949,825 | 4.50%, 07/01/2040 | 3,348,572 | |
1,552,900 | 4.55%, 07/01/2030 | 1,478,778 | |
789,000 | 6.75%, 01/15/2053 | 861,430 | |
Pennsylvania Electric Co. | |||
241,000 | 3.60%, 06/01/2029(1) | 223,787 | |
60,000 | 5.15%, 03/30/2026(1) | 59,924 | |
860,000 | San Diego Gas & Electric Co. 3.70%, 03/15/2052 | 668,238 | |
SCE Recovery Funding LLC | |||
400,209 | 0.86%, 11/15/2033 | 340,971 | |
220,000 | 1.94%, 05/15/2040 | 165,612 | |
125,000 | 2.51%, 11/15/2043 | 86,248 | |
1,156,000 | Sempra 4.13%, 04/01/2052, (4.13% fixed rate until 01/01/2027; 5 yr. USD CMT + 2.87% thereafter)(4) | 992,043 | |
1,241,000 | Southern California Edison Co. 5.88%, 12/01/2053 | 1,340,632 | |
1,528,768 | Texas Electric Market Stabilization Funding N LLC 4.27%, 08/01/2036(1) | 1,478,066 | |
23,274,490 | |||
Entertainment - 0.2% | |||
3,341,000 | Warnermedia Holdings, Inc. 4.05%, 03/15/2029 | 3,171,265 | |
Food - 0.0% | |||
480,000 | Sigma Alimentos SA de CV 4.13%, 05/02/2026(1) | 467,830 | |
Gas - 0.3% | |||
330,000 | Boston Gas Co. 3.15%, 08/01/2027(1) | 310,364 | |
2,017,000 | CenterPoint Energy Resources Corp. 5.25%, 03/01/2028 | 2,069,922 | |
1,870,000 | KeySpan Gas East Corp. 2.74%, 08/15/2026(1) | 1,744,330 | |
790,000 | Southern Co. Gas Capital Corp. 5.75%, 09/15/2033 | 831,542 | |
4,956,158 | |||
Healthcare - Products - 0.3% | |||
Alcon Finance Corp. | |||
4,706,000 | 3.00%, 09/23/2029(1) | 4,287,954 |
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 12.4% - (continued) | |||
Healthcare - Products - 0.3% - (continued) | |||
$ 200,000 | 5.38%, 12/06/2032(1) | $ 206,715 | |
200,000 | 5.75%, 12/06/2052(1) | 215,902 | |
4,710,571 | |||
Healthcare - Services - 0.5% | |||
285,000 | Children's Hospital 2.93%, 07/15/2050 | 188,406 | |
714,000 | Dignity Health 3.81%, 11/01/2024 | 701,776 | |
Humana, Inc. | |||
820,000 | 5.50%, 03/15/2053 | 852,073 | |
963,000 | 5.88%, 03/01/2033 | 1,028,309 | |
1,170,000 | 5.95%, 03/15/2034 | 1,254,694 | |
2,190,000 | Providence St Joseph Health Obligated Group 5.40%, 10/01/2033 | 2,235,076 | |
175,000 | Sutter Health 2.29%, 08/15/2030 | 150,236 | |
320,000 | Toledo Hospital 5.75%, 11/15/2038 | 318,671 | |
UnitedHealth Group, Inc. | |||
355,000 | 2.00%, 05/15/2030 | 307,303 | |
645,000 | 4.20%, 05/15/2032 | 632,318 | |
95,000 | 4.75%, 05/15/2052 | 91,712 | |
7,760,574 | |||
Insurance - 0.7% | |||
American International Group, Inc. | |||
437,000 | 3.40%, 06/30/2030 | 402,694 | |
375,000 | 4.38%, 06/30/2050 | 336,171 | |
2,815,000 | Athene Global Funding 2.50%, 03/24/2028(1) | 2,497,862 | |
1,665,000 | Athene Holding Ltd. 5.88%, 01/15/2034 | 1,683,027 | |
Corebridge Financial, Inc. | |||
1,404,000 | 4.35%, 04/05/2042 | 1,193,697 | |
1,020,000 | 5.75%, 01/15/2034 | 1,047,642 | |
135,000 | 6.05%, 09/15/2033(1) | 140,859 | |
275,000 | Corebridge Global Funding 5.90%, 09/19/2028(1) | 283,579 | |
1,200,000 | Equitable Financial Life Global Funding 1.40%, 08/27/2027(1) | 1,043,326 | |
2,450,000 | MetLife, Inc. 5.38%, 07/15/2033 | 2,559,252 | |
11,188,109 | |||
Investment Company Security - 0.0% | |||
1,120,000 | JAB Holdings BV 3.75%, 05/28/2051(1) | 765,308 | |
Lodging - 0.1% | |||
2,003,000 | Genting New York LLC/GENNY Capital, Inc. 3.30%, 02/15/2026(1) | 1,825,570 | |
Machinery-Diversified - 0.2% | |||
4,040,000 | John Deere Capital Corp. 5.15%, 09/08/2033 | 4,259,481 | |
Media - 0.2% | |||
2,405,000 | Comcast Corp. 3.25%, 11/01/2039 | 1,956,028 | |
567,000 | Discovery Communications LLC 4.00%, 09/15/2055 | 405,104 | |
Time Warner Cable LLC | |||
395,000 | 6.55%, 05/01/2037 | 389,999 | |
250,000 | 7.30%, 07/01/2038 | 258,386 | |
3,009,517 | |||
Mining - 0.3% | |||
Glencore Funding LLC | |||
345,000 | 5.70%, 05/08/2033(1) | 358,667 | |
3,540,000 | 6.38%, 10/06/2030(1) | 3,805,184 | |
757,000 | 6.50%, 10/06/2033(1) | 827,133 | |
4,990,984 | |||
Oil & Gas - 0.5% | |||
Equinor ASA | |||
85,000 | 2.88%, 04/06/2025 | 82,929 |
46 |
December 31, 2023
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 12.4% - (continued) | |||
Oil & Gas - 0.5% - (continued) | |||
$ 2,470,000 | 3.00%, 04/06/2027 | $ 2,363,630 | |
Occidental Petroleum Corp. | |||
969,000 | 6.13%, 01/01/2031 | 1,006,003 | |
1,928,000 | 6.20%, 03/15/2040 | 1,990,660 | |
762,000 | 6.45%, 09/15/2036 | 808,261 | |
QatarEnergy | |||
935,000 | 2.25%, 07/12/2031(1) | 795,021 | |
780,000 | 3.13%, 07/12/2041(1) | 598,670 | |
615,000 | Saudi Arabian Oil Co. 3.50%, 04/16/2029(1) | 581,772 | |
8,226,946 | |||
Pharmaceuticals - 0.2% | |||
Bayer U.S. Finance LLC | |||
495,000 | 6.13%, 11/21/2026(1) | 503,543 | |
555,000 | 6.25%, 01/21/2029(1) | 567,841 | |
113,000 | CVS Health Corp. 4.30%, 03/25/2028 | 111,215 | |
2,063,000 | Pfizer Investment Enterprises Pte. Ltd. 5.11%, 05/19/2043 | 2,062,074 | |
3,244,673 | |||
Pipelines - 0.4% | |||
Columbia Pipelines Operating Co. LLC | |||
375,000 | 5.93%, 08/15/2030(1) | 388,278 | |
676,000 | 6.50%, 08/15/2043(1) | 726,230 | |
369,000 | Enbridge, Inc. 6.70%, 11/15/2053 | 430,839 | |
Energy Transfer LP | |||
180,000 | 4.95%, 06/15/2028 | 179,468 | |
750,000 | 5.00%, 05/15/2050 | 671,949 | |
945,000 | 5.35%, 05/15/2045 | 880,403 | |
Enterprise Products Operating LLC | |||
100,000 | 3.70%, 01/31/2051 | 79,884 | |
145,000 | 3.95%, 01/31/2060 | 118,073 | |
1,762,588 | Galaxy Pipeline Assets Bidco Ltd. 2.16%, 03/31/2034(1) | 1,528,343 | |
Gray Oak Pipeline LLC | |||
606,000 | 2.60%, 10/15/2025(1) | 574,496 | |
100,000 | 3.45%, 10/15/2027(1) | 93,055 | |
795,000 | Targa Resources Corp. 6.15%, 03/01/2029 | 832,351 | |
6,503,369 | |||
Real Estate - 0.1% | |||
2,175,000 | Jones Lang LaSalle, Inc. 6.88%, 12/01/2028 | 2,298,603 | |
Real Estate Investment Trusts - 1.2% | |||
2,410,000 | American Tower Trust #1 5.49%, 03/15/2028(1) | 2,446,284 | |
Extra Space Storage LP | |||
435,000 | 5.50%, 07/01/2030 | 445,478 | |
935,000 | 5.90%, 01/15/2031 | 977,193 | |
2,612,000 | GLP Capital LP/GLP Financing II, Inc. 6.75%, 12/01/2033 | 2,818,040 | |
2,718,000 | LXP Industrial Trust 6.75%, 11/15/2028 | 2,859,065 | |
4,761,000 | Realty Income Corp. 4.90%, 07/15/2033 | 4,761,933 | |
SBA Tower Trust | |||
545,000 | 1.63%, 05/15/2051(1) | 486,825 | |
300,000 | 1.88%, 07/15/2050(1) | 278,397 | |
470,000 | 2.84%, 01/15/2050(1) | 453,867 | |
VICI Properties LP/VICI Note Co., Inc. | |||
2,646,000 | 4.13%, 08/15/2030(1) | 2,410,308 | |
1,842,000 | 5.75%, 02/01/2027(1) | 1,842,963 | |
19,780,353 | |||
Semiconductors - 0.1% | |||
2,704,000 | Broadcom, Inc. 3.47%, 04/15/2034(1) | 2,356,639 |
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 12.4% - (continued) | |||
Software - 0.2% | |||
$ 985,000 | Microsoft Corp. 4.50%, 06/15/2047(1) | $ 967,463 | |
3,844,000 | Oracle Corp. 3.65%, 03/25/2041 | 3,067,606 | |
4,035,069 | |||
Telecommunications - 0.4% | |||
AT&T, Inc. | |||
835,000 | 3.50%, 09/15/2053 | 608,709 | |
84,000 | 3.65%, 06/01/2051 | 63,548 | |
146,000 | 3.85%, 06/01/2060 | 109,363 | |
817,000 | 4.30%, 02/15/2030 | 801,259 | |
200,000 | 4.30%, 12/15/2042 | 174,560 | |
700,000 | Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC 4.74%, 09/20/2029(1) | 693,996 | |
T-Mobile USA, Inc. | |||
3,005,000 | 3.38%, 04/15/2029 | 2,791,872 | |
41,000 | 5.75%, 01/15/2054 | 43,570 | |
Verizon Communications, Inc. | |||
500,000 | 2.88%, 11/20/2050 | 340,765 | |
760,000 | 2.99%, 10/30/2056 | 504,753 | |
513,000 | 3.00%, 11/20/2060 | 336,333 | |
6,468,728 | |||
Trucking & Leasing - 0.4% | |||
2,185,000 | DAE Funding LLC 1.55%, 08/01/2024(1) | 2,126,758 | |
Penske Truck Leasing Co. LP/PTL Finance Corp. | |||
2,850,000 | 3.95%, 03/10/2025(1) | 2,797,873 | |
885,000 | 5.55%, 05/01/2028(1) | 899,339 | |
1,195,000 | 5.70%, 02/01/2028(1) | 1,221,758 | |
7,045,728 | |||
Total Corporate Bonds (cost $211,451,345) | $ 211,674,307 | ||
MUNICIPAL BONDS - 0.8% | |||
Airport - 0.1% | |||
Dallas Fort Worth International Airport, TX, Rev | |||
60,000 | 4.09%, 11/01/2051 | $ 52,394 | |
375,000 | 4.51%, 11/01/2051 | 350,063 | |
710,000 | Port Auth of New York & New Jersey, NY, Rev 3.18%, 07/15/2060(5) | 498,148 | |
900,605 | |||
General - 0.1% | |||
174,655 | Chicago Transit Auth Sales & Transfer Tax Receipts, IL, Rev 6.90%, 12/01/2040 | 198,759 | |
540,000 | Kansas Dev Finance Auth, KS, Rev, (BAM) 2.77%, 05/01/2051 | 384,012 | |
1,250,000 | Philadelphia Auth for Industrial Dev, PA, Rev, (NATL Insured) 6.55%, 10/15/2028 | 1,331,759 | |
1,914,530 | |||
General Obligation - 0.3% | |||
5,505,000 | State of Illinois, IL, GO 5.10%, 06/01/2033 | 5,446,866 | |
Tobacco - 0.0% | |||
145,000 | Golden State Tobacco Securitization Corp., CA, Rev, (ST APPROP Insured) 3.00%, 06/01/2046 | 131,958 | |
Transportation - 0.1% | |||
875,000 | Illinois State Toll Highway Auth, IL, Rev 6.18%, 01/01/2034 | 961,268 | |
Metropolitan Transportation Auth, NY, Rev | |||
25,000 | 6.20%, 11/15/2026 | 25,513 |
47 |
December 31, 2023
Shares or Principal Amount | Market Value† | ||
MUNICIPAL BONDS - 0.8% - (continued) | |||
Transportation - 0.1% - (continued) | |||
$ 375,000 | 6.67%, 11/15/2039 | $ 413,215 | |
785,000 | 6.81%, 11/15/2040 | 869,758 | |
2,269,754 | |||
Utilities - 0.1% | |||
925,000 | Texas Natural Gas Securitization Finance Corp., TX, Rev 5.10%, 04/01/2035 | 942,703 | |
Utility - Electric - 0.1% | |||
785,000 | Illinois Municipal Electric Agency, IL, Rev 6.83%, 02/01/2035 | 839,226 | |
824,000 | Municipal Electric Auth of Georgia, GA, Rev 6.64%, 04/01/2057 | 940,254 | |
1,779,480 | |||
Total Municipal Bonds (cost $14,585,406) | $ 13,385,896 | ||
U.S. GOVERNMENT AGENCIES - 0.8% | |||
Mortgage-Backed Agencies - 0.8% | |||
Federal Home Loan Mortgage Corp. - 0.3% | |||
563,030 | 2.00%, 05/01/2036 | $ 509,116 | |
305,026 | 2.00%, 07/01/2036 | 275,849 | |
7,259 | 4.00%, 03/01/2041 | 7,075 | |
34,083 | 4.00%, 04/01/2047 | 33,097 | |
123,768 | 4.00%, 05/01/2049 | 119,472 | |
144,612 | 4.00%, 07/01/2049 | 140,845 | |
795,000 | 4.43%, 02/25/2033(3) | 794,972 | |
215,830 | 4.50%, 08/01/2052 | 209,509 | |
334,052 | 4.50%, 10/01/2052 | 324,282 | |
843,819 | 5.00%, 11/01/2043 | 849,058 | |
974,688 | 5.00%, 04/01/2053 | 965,255 | |
280,923 | 5.50%, 03/01/2053 | 282,561 | |
840,319 | 5.50%, 09/01/2053 | 849,741 | |
1,682 | 5.59%, 04/01/2029, 1 yr. USD CMT + 2.24%(2) | 1,669 | |
280,555 | 8.14%, 10/25/2050, 30 day USD SOFR Average + 2.80%(1)(2) | 284,494 | |
5,646,995 | |||
Federal National Mortgage Association - 0.3% | |||
170,130 | 2.00%, 04/01/2036 | 153,862 | |
68,217 | 2.00%, 06/01/2036 | 61,670 | |
241,571 | 2.00%, 09/01/2036 | 218,409 | |
133,887 | 2.00%, 03/01/2037 | 120,819 | |
70,905 | 4.00%, 03/01/2046 | 68,597 | |
90,411 | 4.00%, 01/01/2049 | 87,665 | |
31,508 | 4.00%, 08/01/2049 | 30,506 | |
92,035 | 4.00%, 08/01/2051 | 89,638 | |
48,716 | 4.50%, 03/01/2038 | 48,648 | |
18,591 | 4.50%, 11/01/2039 | 18,588 | |
12,701 | 4.50%, 04/01/2040 | 12,697 | |
40,368 | 4.50%, 08/01/2040 | 40,361 | |
11,098 | 4.50%, 02/01/2041 | 11,096 | |
231,310 | 4.50%, 04/01/2041 | 231,255 | |
98,691 | 4.50%, 06/01/2041 | 98,382 | |
154,399 | 4.50%, 07/01/2041 | 154,372 | |
24,551 | 4.50%, 09/01/2041 | 24,539 | |
33,222 | 4.50%, 07/01/2044 | 32,940 | |
157,450 | 4.50%, 08/01/2052 | 152,838 | |
773,225 | 4.50%, 09/01/2052 | 752,767 | |
959,301 | 5.00%, 08/01/2043 | 964,863 | |
236,940 | 5.00%, 08/01/2052 | 234,970 | |
354,643 | 5.00%, 09/01/2052 | 351,694 | |
236,849 | 5.00%, 10/01/2052 | 234,985 |
Shares or Principal Amount | Market Value† | ||
U.S. GOVERNMENT AGENCIES - 0.8% - (continued) | |||
Mortgage-Backed Agencies - 0.8% - (continued) | |||
Federal National Mortgage Association - 0.3% - (continued) | |||
$ 278,809 | 5.50%, 08/01/2053 | $ 280,367 | |
56,225 | 5.84%, 10/25/2024, 30 day USD SOFR Average + 0.51(2) | 55,853 | |
4,532,381 | |||
Government National Mortgage Association - 0.2% | |||
2,173,603 | 2.50%, 10/20/2049 | 1,917,877 | |
30,981 | 5.00%, 07/15/2037 | 31,033 | |
45 | 6.00%, 06/15/2024 | 45 | |
1,220 | 6.00%, 07/15/2026 | 1,231 | |
608 | 6.00%, 03/15/2028 | 621 | |
917 | 6.00%, 04/15/2028 | 941 | |
22,303 | 6.00%, 05/15/2028 | 22,690 | |
10,590 | 6.00%, 07/15/2028 | 10,838 | |
3,760 | 6.00%, 08/15/2028 | 3,857 | |
21,650 | 6.00%, 09/15/2028 | 22,019 | |
31,451 | 6.00%, 10/15/2028 | 31,946 | |
26,733 | 6.00%, 11/15/2028 | 27,172 | |
20,937 | 6.00%, 12/15/2028 | 21,403 | |
467 | 6.00%, 12/15/2031 | 480 | |
8,499 | 6.00%, 09/15/2032 | 8,787 | |
3,868 | 6.00%, 11/15/2032 | 3,972 | |
1,452 | 6.00%, 04/15/2033 | 1,476 | |
37,775 | 6.00%, 06/15/2033 | 38,937 | |
12,476 | 6.00%, 10/15/2033 | 12,939 | |
1,018 | 6.00%, 11/15/2033 | 1,056 | |
18,668 | 6.00%, 10/15/2034 | 18,979 | |
45,331 | 6.00%, 01/15/2035 | 46,073 | |
5,294 | 6.00%, 05/15/2035 | 5,434 | |
6,033 | 6.00%, 06/15/2035 | 6,132 | |
83 | 6.50%, 03/15/2026 | 84 | |
232 | 6.50%, 01/15/2028 | 237 | |
16,625 | 6.50%, 03/15/2028 | 17,084 | |
29,119 | 6.50%, 04/15/2028 | 29,799 | |
7,747 | 6.50%, 05/15/2028 | 7,892 | |
45,818 | 6.50%, 06/15/2028 | 47,034 | |
3,803 | 6.50%, 10/15/2028 | 3,922 | |
832 | 6.50%, 02/15/2035 | 860 | |
1,954 | 7.00%, 11/15/2031 | 1,988 | |
1,152 | 7.00%, 03/15/2032 | 1,172 | |
414,347 | 7.00%, 11/15/2032 | 433,644 | |
43,046 | 7.00%, 01/15/2033 | 44,689 | |
50,805 | 7.00%, 05/15/2033 | 52,433 | |
6,775 | 7.00%, 07/15/2033 | 6,972 | |
56,388 | 7.00%, 11/15/2033 | 58,289 | |
19,784 | 7.50%, 09/16/2035 | 20,164 | |
30 | 8.00%, 09/15/2026 | 30 | |
1,436 | 8.00%, 12/15/2026 | 1,456 | |
15 | 8.00%, 09/15/2027 | 15 | |
1,223 | 8.00%, 07/15/2029 | 1,264 | |
1,093 | 8.00%, 12/15/2029 | 1,105 | |
2,666 | 8.00%, 01/15/2030 | 2,669 | |
1,129 | 8.00%, 02/15/2030 | 1,127 | |
532 | 8.00%, 03/15/2030 | 532 | |
5,140 | 8.00%, 04/15/2030 | 5,133 | |
2,853 | 8.00%, 05/15/2030 | 2,864 | |
14,686 | 8.00%, 06/15/2030 | 14,854 | |
814 | 8.00%, 07/15/2030 | 815 | |
21,808 | 8.00%, 08/15/2030 | 21,967 |
48 |
December 31, 2023
Shares or Principal Amount | Market Value† | ||
U.S. GOVERNMENT AGENCIES - 0.8% - (continued) | |||
Mortgage-Backed Agencies - 0.8% - (continued) | |||
Government National Mortgage Association - 0.2% - (continued) | |||
$ 10,349 | 8.00%, 09/15/2030 | $ 10,365 | |
45,255 | 8.00%, 12/15/2030 | 45,657 | |
3,072,054 | |||
Total U.S. Government Agencies (cost $12,787,075) | $ 13,251,430 | ||
U.S. GOVERNMENT SECURITIES - 17.8% | |||
U.S. Treasury Securities - 17.8% | |||
U.S. Treasury Bonds - 6.0% | |||
17,710,000 | 2.50%, 02/15/2045(7) | $ 13,466,518 | |
2,041,900 | 2.75%, 11/15/2047 | 1,596,590 | |
12,698,700 | 2.88%, 05/15/2052 | 10,160,944 | |
400,000 | 3.25%, 05/15/2042 | 352,266 | |
5,288,500 | 3.38%, 08/15/2042 | 4,733,414 | |
6,479,900 | 3.63%, 02/15/2053 | 6,012,638 | |
7,381,500 | 3.63%, 05/15/2053 | 6,857,875 | |
13,551,800 | 3.88%, 02/15/2043 | 12,968,437 | |
5,468,500 | 3.88%, 05/15/2043 | 5,232,671 | |
6,040,000 | 4.00%, 11/15/2042 | 5,891,359 | |
11,935,900 | 4.00%, 11/15/2052 | 11,831,927 | |
3,401,900 | 4.13%, 08/15/2053 | 3,455,055 | |
12,050,000 | 4.38%, 02/15/2038 | 12,701,453 | |
4,191,000 | 4.38%, 08/15/2043 | 4,293,811 | |
1,333,000 | 4.75%, 11/15/2043 | 1,434,850 | |
1,744,000 | 4.75%, 11/15/2053 | 1,964,998 | |
102,954,806 | |||
U.S. Treasury Notes - 11.8% | |||
290,000 | 0.25%, 05/31/2025 | 273,155 | |
3,825,000 | 0.38%, 11/30/2025 | 3,553,066 | |
1,080,000 | 0.88%, 09/30/2026 | 992,419 | |
150,000 | 1.25%, 05/31/2028 | 134,127 | |
603,000 | 1.25%, 09/30/2028 | 534,974 | |
1,020,000 | 1.38%, 10/31/2028 | 908,796 | |
4,505,600 | 1.50%, 01/31/2027 | 4,184,400 | |
530,000 | 1.50%, 11/30/2028 | 474,474 | |
2,115,000 | 1.63%, 10/31/2026 | 1,981,078 | |
285,000 | 2.63%, 04/15/2025 | 278,064 | |
2,980,000 | 2.63%, 05/31/2027 | 2,854,048 | |
590,000 | 2.63%, 07/31/2029 | 553,148 | |
935,000 | 2.75%, 05/15/2025 | 912,976 | |
6,970,000 | 2.75%, 04/30/2027 | 6,708,625 | |
890,000 | 2.75%, 05/31/2029 | 841,224 | |
2,320,000 | 2.88%, 06/15/2025 | 2,267,800 | |
1,245,000 | 3.13%, 08/15/2025 | 1,220,392 | |
897,000 | 3.13%, 08/31/2027 | 872,368 | |
6,555,000 | 3.25%, 06/30/2027 | 6,409,817 | |
326,000 | 3.25%, 06/30/2029 | 315,889 | |
414,000 | 3.50%, 09/15/2025 | 407,984 | |
3,074,000 | 3.50%, 04/30/2028 | 3,027,770 | |
635,000 | 3.50%, 04/30/2030 | 621,481 | |
3,936,500 | 3.63%, 03/31/2028 | 3,896,828 | |
1,369,000 | 3.63%, 05/31/2028 | 1,355,684 | |
512,000 | 3.63%, 03/31/2030 | 504,740 | |
620,000 | 3.75%, 05/31/2030 | 615,350 | |
1,633,000 | 3.75%, 06/30/2030 | 1,620,561 | |
3,008,000 | 3.88%, 03/31/2025 | 2,981,915 | |
5,750,000 | 3.88%, 04/30/2025 | 5,699,014 | |
5,122,000 | 3.88%, 11/30/2027 | 5,114,997 | |
7,157,100 | 3.88%, 12/31/2027 | 7,150,949 | |
685,000 | 3.88%, 11/30/2029 | 684,545 | |
904,700 | 3.88%, 08/15/2033 | 905,407 | |
1,100,000 | 4.00%, 12/15/2025 | 1,094,371 |
Shares or Principal Amount | Market Value† | ||
U.S. GOVERNMENT SECURITIES - 17.8% - (continued) | |||
U.S. Treasury Securities - 17.8% - (continued) | |||
U.S. Treasury Notes - 11.8% - (continued) | |||
$ 2,186,000 | 4.00%, 02/15/2026 | $ 2,176,607 | |
3,969,700 | 4.00%, 02/29/2028 | 3,985,982 | |
3,580,000 | 4.00%, 06/30/2028 | 3,600,138 | |
150,000 | 4.00%, 10/31/2029 | 150,885 | |
483,900 | 4.00%, 07/31/2030 | 487,227 | |
260,000 | 4.13%, 06/15/2026 | 260,030 | |
12,608,900 | 4.13%, 09/30/2027 | 12,697,556 | |
3,381,200 | 4.13%, 10/31/2027 | 3,404,974 | |
4,725,200 | 4.13%, 07/31/2028 | 4,778,359 | |
754,300 | 4.13%, 08/31/2030 | 764,848 | |
14,100,000 | 4.25%, 05/31/2025 | 14,049,879 | |
4,965,700 | 4.38%, 08/31/2028 | 5,076,652 | |
4,531,000 | 4.38%, 11/30/2028 | 4,641,089 | |
130,000 | 4.38%, 11/30/2030 | 133,880 | |
3,325,000 | 4.50%, 11/15/2033 | 3,498,004 | |
3,700,000 | 4.63%, 06/30/2025 | 3,709,395 | |
730,000 | 4.63%, 10/15/2026 | 741,178 | |
866,000 | 4.63%, 11/15/2026 | 880,073 | |
4,485,000 | 4.63%, 09/30/2028 | 4,633,741 | |
4,671,000 | 4.75%, 07/31/2025 | 4,692,895 | |
22,276,000 | 4.88%, 11/30/2025 | 22,511,812 | |
14,162,000 | 4.88%, 10/31/2028 | 14,797,077 | |
927,000 | 4.88%, 10/31/2030 | 981,896 | |
9,805,900 | 5.00%, 08/31/2025 | 9,897,830 | |
5,874,000 | 5.00%, 09/30/2025 | 5,935,035 | |
200,439,478 | |||
Total U.S. Government Securities (cost $308,648,578) | $ 303,394,284 | ||
COMMON STOCKS - 66.0% | |||
Automobiles & Components - 0.9% | |||
462,946 | Gentex Corp. | $ 15,119,816 | |
Banks - 4.2% | |||
186,277 | JP Morgan Chase & Co. | 31,685,718 | |
145,489 | M&T Bank Corp. | 19,943,632 | |
123,970 | PNC Financial Services Group, Inc. | 19,196,754 | |
70,826,104 | |||
Capital Goods - 4.7% | |||
172,792 | Emerson Electric Co. | 16,817,845 | |
151,490 | Fortune Brands Innovations, Inc. | 11,534,449 | |
52,280 | General Dynamics Corp. | 13,575,547 | |
224,548 | Johnson Controls International PLC | 12,942,947 | |
62,479 | L3Harris Technologies, Inc. | 13,159,327 | |
79,106 | Middleby Corp.* | 11,642,030 | |
79,672,145 | |||
Consumer Discretionary Distribution & Retail - 1.9% | |||
255,903 | LKQ Corp. | 12,229,604 | |
55,781 | Tractor Supply Co. | 11,994,589 | |
304,479 | Victoria's Secret & Co.* | 8,080,873 | |
32,305,066 | |||
Consumer Durables & Apparel - 0.7% | |||
85,170 | Lennar Corp. Class A | 12,693,737 | |
Consumer Services - 2.6% | |||
93,116 | Airbnb, Inc. Class A* | 12,676,812 | |
373,055 | H&R Block, Inc. | 18,044,670 | |
135,460 | Starbucks Corp. | 13,005,515 | |
43,726,997 | |||
Energy - 1.1% | |||
160,320 | ConocoPhillips | 18,608,342 |
49 |
December 31, 2023
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 66.0% - (continued) | |||
Equity Real Estate Investment Trusts (REITs) - 1.4% | |||
109,127 | Crown Castle, Inc. REIT | $ 12,570,339 | |
244,641 | Gaming & Leisure Properties, Inc. REIT | 12,073,034 | |
24,643,373 | |||
Financial Services - 7.4% | |||
139,109 | Ares Management Corp. Class A | 16,542,842 | |
127,877 | Intercontinental Exchange, Inc. | 16,423,243 | |
134,390 | KKR & Co., Inc. | 11,134,212 | |
41,520 | LPL Financial Holdings, Inc. | 9,450,782 | |
153,778 | Morgan Stanley | 14,339,799 | |
142,360 | Raymond James Financial, Inc. | 15,873,140 | |
41,263 | S&P Global, Inc. | 18,177,177 | |
93,964 | Visa, Inc. Class A | 24,463,527 | |
126,404,722 | |||
Food, Beverage & Tobacco - 0.9% | |||
463,682 | Keurig Dr Pepper, Inc. | 15,449,884 | |
Health Care Equipment & Services - 5.9% | |||
52,444 | Align Technology, Inc.* | 14,369,656 | |
243,266 | Boston Scientific Corp.* | 14,063,207 | |
262,347 | Centene Corp.* | 19,468,771 | |
44,203 | Elevance Health, Inc. | 20,844,367 | |
60,895 | UnitedHealth Group, Inc. | 32,059,391 | |
100,805,392 | |||
Household & Personal Products - 0.7% | |||
254,075 | Unilever PLC ADR | 12,317,556 | |
Insurance - 2.1% | |||
72,277 | Chubb Ltd. | 16,334,602 | |
285,749 | MetLife, Inc. | 18,896,581 | |
35,231,183 | |||
Materials - 0.8% | |||
385,329 | Axalta Coating Systems Ltd.* | 13,089,626 | |
Media & Entertainment - 5.2% | |||
425,469 | Alphabet, Inc. Class C* | 59,961,346 | |
100,533 | Electronic Arts, Inc. | 13,753,920 | |
168,554 | Omnicom Group, Inc. | 14,581,607 | |
88,296,873 | |||
Pharmaceuticals, Biotechnology & Life Sciences - 4.7% | |||
183,812 | AstraZeneca PLC ADR | 12,379,738 | |
39,825 | Eli Lilly & Co. | 23,214,789 | |
659,163 | Pfizer, Inc. | 18,977,303 | |
36,308 | Roche Holding AG | 10,554,500 | |
36,593 | Vertex Pharmaceuticals, Inc.* | 14,889,326 | |
80,015,656 | |||
Real Estate Management & Development - 0.9% | |||
160,891 | CBRE Group, Inc. Class A* | 14,977,343 | |
Semiconductors & Semiconductor Equipment - 4.7% | |||
70,423 | Analog Devices, Inc. | 13,983,191 | |
22,905 | Broadcom, Inc. | 25,567,706 | |
81,505 | NXP Semiconductors NV | 18,720,068 | |
146,103 | QUALCOMM, Inc. | 21,130,877 | |
79,401,842 | |||
Software & Services - 9.4% | |||
72,564 | Accenture PLC Class A | 25,463,433 | |
161,530 | Amdocs Ltd. | 14,196,872 | |
256,263 | Microsoft Corp. | 96,365,139 | |
93,009 | Salesforce, Inc.* | 24,474,388 | |
160,499,832 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 66.0% - (continued) | |||
Technology Hardware & Equipment - 3.4% | |||
449,499 | Cisco Systems, Inc. | $ 22,708,689 | |
606,815 | Corning, Inc. | 18,477,517 | |
91,724 | F5, Inc.* | 16,416,762 | |
57,602,968 | |||
Transportation - 1.8% | |||
220,915 | Knight-Swift Transportation Holdings, Inc. | 12,735,750 | |
111,741 | United Parcel Service, Inc. Class B | 17,569,037 | |
30,304,787 | |||
Utilities - 0.6% | |||
301,517 | Exelon Corp. | 10,824,460 | |
Total Common Stocks (cost $722,505,188) | $ 1,122,817,704 | ||
Total Long-Term Investments (cost $1,293,625,945) | $ 1,687,514,024 | ||
SHORT-TERM INVESTMENTS - 0.3% | |||
Repurchase Agreements - 0.2% | |||
$ 3,851,967 | Fixed Income Clearing Corp. Repurchase Agreement dated 12/29/2023 at 5.32%, due on 01/02/2024 with a maturity value of $3,854,244; collateralized by U.S. Treasury Inflation Index Note at 0.13%, maturing 07/15/2031, with a market value of $3,929,086 | $ 3,851,967 | |
Securities Lending Collateral - 0.1% | |||
105,277 | Goldman Sachs Financial Square Funds, Government Fund, Institutional Class, 5.25%(8) | 105,277 | |
350,925 | HSBC U.S. Government Money Market Fund, Institutional Class, 5.31%(8) | 350,925 | |
105,278 | Invesco Government & Agency Portfolio, Institutional Class, 5.28%(8) | 105,278 | |
105,278 | Morgan Stanley Institutional Liquidity Funds, Government Portfolio, Institutional Class, 5.27%(8) | 105,278 | |
666,758 | |||
Total Short-Term Investments (cost $4,518,725) | $ 4,518,725 | ||
Total Investments (cost $1,298,144,670) | 99.5% | $ 1,692,032,749 | |
Other Assets and Liabilities | 0.5% | 8,553,451 | |
Total Net Assets | 100.0% | $ 1,700,586,200 |
Note: | Percentage of investments as shown is the ratio of the total market value to total net assets. |
Prices of foreign equities that are principally traded on certain foreign markets will generally be adjusted daily pursuant to a fair value pricing service approved by Hartford Funds Management Company, LLC in order to reflect an adjustment for factors occurring after the close of certain foreign markets but before the close of the New York Stock Exchange. | |
The Fund may refer to any one or more of the industry classifications used by one or more widely recognized market indices, ratings group and/or as defined by Fund management. Industry classifications may not be identical across all security types. | |
Equity industry classifications used in this report are the Global Industry Classification Standard, which was developed by and is the exclusive property and service mark of MSCI, Inc. and Standard & Poor’s. |
50 |
December 31, 2023
* | Non-income producing. |
(1) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions that are exempt from registration (typically only to qualified institutional buyers) or in a public offering registered under the Securities Act of 1933. At December 31, 2023, the aggregate value of these securities was $100,599,130, representing 5.9% of net assets. |
(2) | Variable rate securities; the rate reported is the coupon rate in effect at December 31, 2023. Base lending rates may be subject to a floor or cap. |
(3) | Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. |
(4) | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at December 31, 2023. Rate will reset at a future date. Base lending rates may be subject to a floor or cap. |
(5) | Represents entire or partial securities on loan. See Note 8 in the accompanying Notes to Financial Statements for securities lending information. |
(6) | Perpetual maturity security. Maturity date shown is the next call date or final legal maturity date, whichever comes first. |
(7) | All, or a portion of the security, was pledged as collateral in connection with futures contracts. As of December 31, 2023, the market value of securities pledged was $216,711. |
(8) | Current yield as of period end. |
Futures Contracts Outstanding at December 31, 2023 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
U.S. Treasury 5-Year Note Future | 79 | 03/28/2024 | $ 8,593,102 | $ 213,236 | ||||
Total futures contracts | $ 213,236 |
51 |
December 31, 2023
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Asset & Commercial Mortgage-Backed Securities | $ 22,990,403 | $ — | $ 22,990,403 | $ — | ||||
Corporate Bonds | 211,674,307 | — | 211,674,307 | — | ||||
Municipal Bonds | 13,385,896 | — | 13,385,896 | — | ||||
U.S. Government Agencies | 13,251,430 | — | 13,251,430 | — | ||||
U.S. Government Securities | 303,394,284 | — | 303,394,284 | — | ||||
Common Stocks | ||||||||
Automobiles & Components | 15,119,816 | 15,119,816 | — | — | ||||
Banks | 70,826,104 | 70,826,104 | — | — | ||||
Capital Goods | 79,672,145 | 79,672,145 | — | — | ||||
Consumer Discretionary Distribution & Retail | 32,305,066 | 32,305,066 | — | — | ||||
Consumer Durables & Apparel | 12,693,737 | 12,693,737 | — | — | ||||
Consumer Services | 43,726,997 | 43,726,997 | — | — | ||||
Energy | 18,608,342 | 18,608,342 | — | — | ||||
Equity Real Estate Investment Trusts (REITs) | 24,643,373 | 24,643,373 | — | — | ||||
Financial Services | 126,404,722 | 126,404,722 | — | — | ||||
Food, Beverage & Tobacco | 15,449,884 | 15,449,884 | — | — | ||||
Health Care Equipment & Services | 100,805,392 | 100,805,392 | — | — | ||||
Household & Personal Products | 12,317,556 | 12,317,556 | — | — | ||||
Insurance | 35,231,183 | 35,231,183 | — | — | ||||
Materials | 13,089,626 | 13,089,626 | — | — | ||||
Media & Entertainment | 88,296,873 | 88,296,873 | — | — | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 80,015,656 | 69,461,156 | 10,554,500 | — | ||||
Real Estate Management & Development | 14,977,343 | 14,977,343 | — | — | ||||
Semiconductors & Semiconductor Equipment | 79,401,842 | 79,401,842 | — | — | ||||
Software & Services | 160,499,832 | 160,499,832 | — | — | ||||
Technology Hardware & Equipment | 57,602,968 | 57,602,968 | — | — | ||||
Transportation | 30,304,787 | 30,304,787 | — | — | ||||
Utilities | 10,824,460 | 10,824,460 | — | — | ||||
Short-Term Investments | 4,518,725 | 666,758 | 3,851,967 | — | ||||
Futures Contracts(2) | 213,236 | 213,236 | — | — | ||||
Total | $ 1,692,245,985 | $ 1,113,143,198 | $ 579,102,787 | $ — |
(1) | For the year ended December 31, 2023, there were no transfers in and out of Level 3. |
(2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
52 |
December 31, 2023
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 97.6% | |||
Automobiles & Components - 0.2% | |||
184,920 | Mobileye Global, Inc. Class A* | $ 8,010,734 | |
Banks - 1.0% | |||
146,742 | M&T Bank Corp. | 20,115,394 | |
1,510,010 | New York Community Bancorp, Inc. | 15,447,402 | |
35,562,796 | |||
Capital Goods - 8.4% | |||
213,532 | AerCap Holdings NV* | 15,869,698 | |
65,875 | Airbus SE | 10,176,922 | |
89,001 | AMETEK, Inc. | 14,675,375 | |
64,372 | Axon Enterprise, Inc.* | 16,629,219 | |
81,489 | Dover Corp. | 12,533,823 | |
103,749 | Emerson Electric Co. | 10,097,890 | |
42,138 | General Dynamics Corp. | 10,941,975 | |
350,600 | HF Global, Inc.*(1)(2) | 9,921,980 | |
189,331 | Honeywell International, Inc. | 39,704,604 | |
53,783 | IDEX Corp. | 11,676,827 | |
32,443 | Lockheed Martin Corp. | 14,704,465 | |
51,283 | Middleby Corp.* | 7,547,319 | |
93,012 | Northrop Grumman Corp. | 43,542,638 | |
226,622 | RTX Corp. | 19,067,975 | |
51,143 | Snap-on, Inc. | 14,772,144 | |
1,261,500 | Techtronic Industries Co. Ltd. | 15,030,878 | |
70,672 | Toro Co. | 6,783,805 | |
205,113 | Westinghouse Air Brake Technologies Corp. | 26,028,840 | |
299,706,377 | |||
Commercial & Professional Services - 1.8% | |||
38,238 | Ceridian HCM Holding, Inc.* | 2,566,535 | |
310,203 | Copart, Inc.* | 15,199,947 | |
368,444 | Genpact Ltd. | 12,788,691 | |
178,230 | Leidos Holdings, Inc. | 19,291,615 | |
66,400 | Verisk Analytics, Inc. | 15,860,304 | |
65,707,092 | |||
Consumer Discretionary Distribution & Retail - 4.2% | |||
413,211 | Amazon.com, Inc.* | 62,783,279 | |
5,164 | AutoZone, Inc.* | 13,352,090 | |
149,911 | Chewy, Inc. Class A* | 3,542,397 | |
50,155 | Floor & Decor Holdings, Inc. Class A* | 5,595,292 | |
113,141 | Ross Stores, Inc. | 15,657,583 | |
479,206 | TJX Cos., Inc. | 44,954,315 | |
115,140 | Tory Burch LLC*(1)(2) | 4,857,742 | |
150,742,698 | |||
Consumer Durables & Apparel - 2.0% | |||
23,568 | Deckers Outdoor Corp.* | 15,753,558 | |
365,541 | NIKE, Inc. Class B | 39,686,786 | |
881 | NVR, Inc.* | 6,167,397 | |
256,763 | Steven Madden Ltd. | 10,784,046 | |
72,391,787 | |||
Consumer Services - 2.1% | |||
368,496 | DraftKings, Inc. Class A* | 12,989,484 | |
286,502 | Las Vegas Sands Corp. | 14,098,764 | |
112,319 | McDonald's Corp. | 33,303,707 | |
172,718 | Wyndham Hotels & Resorts, Inc. | 13,888,254 | |
74,280,209 | |||
Consumer Staples Distribution & Retail - 0.9% | |||
135,429 | Dollar Tree, Inc.* | 19,237,689 | |
196,438 | Sysco Corp. | 14,365,511 | |
33,603,200 | |||
Energy - 3.0% | |||
291,150 | Canadian Natural Resources Ltd. | 19,076,148 | |
31,911 | Cheniere Energy, Inc. | 5,447,527 | |
105,105 | ConocoPhillips | 12,199,537 | |
103,375 | Diamondback Energy, Inc. | 16,031,395 | |
354,629 | Enbridge, Inc. | 12,766,162 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 97.6% - (continued) | |||
Energy - 3.0% - (continued) | |||
325,479 | Halliburton Co. | $ 11,766,066 | |
509,161 | Schlumberger NV | 26,496,738 | |
55,604 | Targa Resources Corp. | 4,830,320 | |
108,613,893 | |||
Equity Real Estate Investment Trusts (REITs) - 3.0% | |||
270,036 | American Tower Corp. REIT | 58,295,372 | |
50,975 | AvalonBay Communities, Inc. REIT | 9,543,539 | |
17,404 | Equinix, Inc. REIT | 14,017,007 | |
61,176 | Extra Space Storage, Inc. REIT | 9,808,348 | |
331,771 | UDR, Inc. REIT | 12,703,512 | |
27,271 | Welltower, Inc. REIT | 2,459,026 | |
106,826,804 | |||
Financial Services - 7.3% | |||
201,877 | American Express Co. | 37,819,637 | |
271,692 | Bank of New York Mellon Corp. | 14,141,568 | |
18,046 | BlackRock, Inc. | 14,649,743 | |
213,079 | Block, Inc.* | 16,481,661 | |
260,529 | Charles Schwab Corp. | 17,924,395 | |
413,379 | Equitable Holdings, Inc. | 13,765,521 | |
49,129 | FleetCor Technologies, Inc.* | 13,884,347 | |
89,276 | KKR & Co., Inc. | 7,396,517 | |
225,929 | Morgan Stanley | 21,067,879 | |
171,037 | Raymond James Financial, Inc. | 19,070,625 | |
258,953 | Tradeweb Markets, Inc. Class A | 23,533,649 | |
160,392 | Visa, Inc. Class A | 41,758,057 | |
204,420 | Voya Financial, Inc. | 14,914,483 | |
29,478 | WEX, Inc.* | 5,734,945 | |
262,143,027 | |||
Food, Beverage & Tobacco - 2.9% | |||
233,362 | Coca-Cola Co. | 13,752,023 | |
150,332 | General Mills, Inc. | 9,792,626 | |
205,533 | Kraft Heinz Co. | 7,600,610 | |
138,765 | Monster Beverage Corp.* | 7,994,252 | |
197,945 | PepsiCo, Inc. | 33,618,979 | |
155,856 | Philip Morris International, Inc. | 14,662,932 | |
283,309 | Tyson Foods, Inc. Class A | 15,227,859 | |
102,649,281 | |||
Health Care Equipment & Services - 8.0% | |||
44,245 | Align Technology, Inc.* | 12,123,130 | |
269,657 | Centene Corp.* | 20,011,246 | |
300,678 | Dentsply Sirona, Inc. | 10,701,130 | |
93,204 | Dexcom, Inc.* | 11,565,684 | |
17,051 | Elevance Health, Inc. | 8,040,570 | |
106,945 | Encompass Health Corp. | 7,135,371 | |
39,541 | Humana, Inc. | 18,102,265 | |
26,997 | Inari Medical, Inc.* | 1,752,645 | |
51,406 | Insulet Corp.* | 11,154,074 | |
39,241 | Intuitive Surgical, Inc.* | 13,238,344 | |
256,901 | Medtronic PLC | 21,163,504 | |
132,354 | Quest Diagnostics, Inc. | 18,248,970 | |
57,576 | Shockwave Medical, Inc.* | 10,971,683 | |
110,053 | Stryker Corp. | 32,956,471 | |
39,361 | Teleflex, Inc. | 9,814,272 | |
140,660 | UnitedHealth Group, Inc. | 74,053,270 | |
26,593 | Veeva Systems, Inc. Class A* | 5,119,684 | |
286,152,313 | |||
Household & Personal Products - 3.3% | |||
458,524 | Colgate-Palmolive Co. | 36,548,948 | |
51,553 | elf Beauty, Inc.* | 7,441,160 | |
1,174,412 | Kenvue, Inc. | 25,285,090 | |
218,166 | Procter & Gamble Co. | 31,970,046 | |
340,355 | Unilever PLC | 16,476,921 | |
117,722,165 |
53 |
December 31, 2023
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 97.6% - (continued) | |||
Insurance - 4.5% | |||
167,619 | Allstate Corp. | $ 23,463,307 | |
106,517 | American International Group, Inc. | 7,216,527 | |
292,408 | Chubb Ltd. | 66,084,208 | |
116,176 | Globe Life, Inc. | 14,140,943 | |
185,995 | Marsh & McLennan Cos., Inc. | 35,240,473 | |
222,045 | MetLife, Inc. | 14,683,836 | |
160,829,294 | |||
Materials - 3.2% | |||
171,364 | CRH PLC | 11,793,147 | |
166,348 | FMC Corp. | 10,488,241 | |
91,561 | Linde PLC | 37,605,018 | |
96,681 | PPG Industries, Inc. | 14,458,644 | |
48,155 | Reliance Steel & Aluminum Co. | 13,467,990 | |
258,028 | Rio Tinto PLC ADR | 19,212,765 | |
33,185 | Vulcan Materials Co. | 7,533,327 | |
114,559,132 | |||
Media & Entertainment - 8.0% | |||
757,284 | Alphabet, Inc. Class A* | 105,785,002 | |
203,978 | Alphabet, Inc. Class C* | 28,746,620 | |
22,916 | Charter Communications, Inc. Class A* | 8,906,991 | |
80,750 | Electronic Arts, Inc. | 11,047,407 | |
125,662 | Liberty Media Corp.-Liberty Formula One Class C* | 7,933,042 | |
206,955 | Meta Platforms, Inc. Class A* | 73,253,792 | |
36,606 | Netflix, Inc.* | 17,822,729 | |
148,274 | Omnicom Group, Inc. | 12,827,184 | |
205,376 | Pinterest, Inc. Class A* | 7,607,127 | |
25,979 | Roku, Inc.* | 2,381,235 | |
53,364 | Spotify Technology SA* | 10,027,629 | |
286,338,758 | |||
Pharmaceuticals, Biotechnology & Life Sciences - 6.9% | |||
111,592 | Agilent Technologies, Inc. | 15,514,636 | |
9,740 | Alnylam Pharmaceuticals, Inc.* | 1,864,333 | |
102,777 | Apellis Pharmaceuticals, Inc.* | 6,152,231 | |
322,063 | AstraZeneca PLC ADR | 21,690,943 | |
189,232 | Danaher Corp. | 43,776,931 | |
50,582 | Eli Lilly & Co. | 29,485,259 | |
267,686 | Exact Sciences Corp.* | 19,803,410 | |
45,182 | Jazz Pharmaceuticals PLC* | 5,557,386 | |
155,701 | Johnson & Johnson | 24,404,575 | |
128,882 | Novartis AG | 13,018,434 | |
898,036 | Pfizer, Inc. | 25,854,456 | |
195,029 | PTC Therapeutics, Inc.* | 5,374,999 | |
41,215 | Sarepta Therapeutics, Inc.* | 3,974,363 | |
111,279 | Ultragenyx Pharmaceutical, Inc.* | 5,321,362 | |
65,099 | United Therapeutics Corp.* | 14,314,619 | |
27,130 | Vertex Pharmaceuticals, Inc.* | 11,038,926 | |
247,146,863 | |||
Real Estate Management & Development - 0.3% | |||
19,785 | CBRE Group, Inc. Class A* | 1,841,786 | |
93,490 | CoStar Group, Inc.* | 8,170,091 | |
10,011,877 | |||
Semiconductors & Semiconductor Equipment - 5.7% | |||
167,883 | ARM Holdings PLC ADR*(3) | 12,615,568 | |
25,039 | Broadcom, Inc. | 27,949,784 | |
17,027 | First Solar, Inc.* | 2,933,412 | |
388,273 | Micron Technology, Inc. | 33,135,218 | |
8,591 | Monolithic Power Systems, Inc. | 5,419,031 | |
100,754 | NVIDIA Corp. | 49,895,396 | |
95,139 | NXP Semiconductors NV | 21,851,525 | |
155,185 | QUALCOMM, Inc. | 22,444,406 | |
61,413 | Rambus, Inc.* | 4,191,437 | |
146,600 | Texas Instruments, Inc. | 24,989,436 | |
205,425,213 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 97.6% - (continued) | |||
Software & Services - 10.5% | |||
97,760 | Accenture PLC Class A | $ 34,304,962 | |
25,631 | Adobe, Inc.* | 15,291,455 | |
14,954 | ANSYS, Inc.* | 5,426,507 | |
199,956 | Cognizant Technology Solutions Corp. Class A | 15,102,677 | |
52,865 | Datadog, Inc. Class A* | 6,416,754 | |
103,953 | Dynatrace, Inc.* | 5,685,190 | |
11,543 | HubSpot, Inc.* | 6,701,173 | |
426,026 | Microsoft Corp. | 160,202,817 | |
31,867 | MongoDB, Inc.* | 13,028,823 | |
153,473 | Oracle Corp. | 16,180,658 | |
90,817 | Salesforce, Inc.* | 23,897,585 | |
27,048 | ServiceNow, Inc.* | 19,109,141 | |
5,611 | Sharecare, Inc. Earnout*(1)(2) | 61 | |
274,531 | Shopify, Inc. Class A* | 21,385,965 | |
56,107 | Snowflake, Inc. Class A* | 11,165,293 | |
75,298 | Workday, Inc. Class A* | 20,786,766 | |
374,685,827 | |||
Technology Hardware & Equipment - 4.9% | |||
591,779 | Apple, Inc. | 113,935,211 | |
89,756 | CDW Corp. | 20,403,334 | |
350,520 | Flex Ltd.* | 10,676,839 | |
125,657 | Samsung Electronics Co. Ltd. | 7,626,977 | |
202,675 | Seagate Technology Holdings PLC | 17,302,365 | |
14,831 | Zebra Technologies Corp. Class A* | 4,053,757 | |
173,998,483 | |||
Telecommunication Services - 0.6% | |||
128,757 | T-Mobile U.S., Inc. | 20,643,610 | |
Transportation - 2.6% | |||
220,012 | Delta Air Lines, Inc. | 8,851,083 | |
30,071 | FedEx Corp. | 7,607,061 | |
28,688 | JB Hunt Transport Services, Inc. | 5,730,141 | |
301,908 | Knight-Swift Transportation Holdings, Inc. | 17,404,996 | |
223,273 | Uber Technologies, Inc.* | 13,746,918 | |
72,047 | Union Pacific Corp. | 17,696,184 | |
146,742 | United Parcel Service, Inc. Class B | 23,072,245 | |
94,108,628 | |||
Utilities - 2.3% | |||
388,788 | AES Corp. | 7,484,169 | |
170,850 | Duke Energy Corp. | 16,579,284 | |
245,113 | Edison International | 17,523,128 | |
628,069 | Exelon Corp. | 22,547,677 | |
1,290,474 | Iberdrola SA | 16,926,867 | |
81,061,125 | |||
Total Common Stocks (cost $2,567,791,909) | $ 3,492,921,186 | ||
CONVERTIBLE PREFERRED STOCKS - 0.0% | |||
Software & Services - 0.0% | |||
58 | Magic Leap, Inc. Class A*(1)(2)(4) | $ 167 | |
Total Convertible Preferred Stocks (cost $679,566) | $ 167 | ||
EXCHANGE-TRADED FUNDS - 0.3% | |||
Other Investment Pools & Funds - 0.3% | |||
39,331 | iShares Russell 1000 Growth ETF | $ 11,923,979 | |
Total Exchange-Traded Funds (cost $11,920,514) | $ 11,923,979 | ||
Total Long-Term Investments (cost $2,580,391,989) | $ 3,504,845,332 |
54 |
December 31, 2023
Shares or Principal Amount | Market Value† | ||
SHORT-TERM INVESTMENTS - 0.9% | |||
Repurchase Agreements - 0.6% | |||
$ 21,275,928 | Fixed Income Clearing Corp. Repurchase Agreement dated 12/29/2023 at 5.32%, due on 01/02/2024 with a maturity value of $21,288,504; collateralized by U.S. Treasury Inflation Index Note at 0.13%, maturing 07/15/2031, with a market value of $21,701,499 | $ 21,275,928 | |
Securities Lending Collateral - 0.3% | |||
1,715,803 | Goldman Sachs Financial Square Funds, Government Fund, Institutional Class, 5.25%(5) | 1,715,803 | |
5,719,343 | HSBC U.S. Government Money Market Fund, Institutional Class, 5.31%(5) | 5,719,343 | |
1,715,803 | Invesco Government & Agency Portfolio, Institutional Class, 5.28%(5) | 1,715,803 | |
1,715,803 | Morgan Stanley Institutional Liquidity Funds, Government Portfolio, Institutional Class, 5.27%(5) | 1,715,803 | |
10,866,752 | |||
Total Short-Term Investments (cost $32,142,680) | $ 32,142,680 | ||
Total Investments (cost $2,612,534,669) | 98.8% | $ 3,536,988,012 | |
Other Assets and Liabilities | 1.2% | 42,593,258 | |
Total Net Assets | 100.0% | $ 3,579,581,270 |
Note: | Percentage of investments as shown is the ratio of the total market value to total net assets. |
Prices of foreign equities that are principally traded on certain foreign markets will generally be adjusted daily pursuant to a fair value pricing service approved by Hartford Funds Management Company, LLC in order to reflect an adjustment for factors occurring after the close of certain foreign markets but before the close of the New York Stock Exchange. |
* | Non-income producing. |
(1) | Investment in securities not registered under the Securities Act of 1933 (excluding securities acquired pursuant to Rule 144A and Regulation S). At the end of the period, the value of such restricted securities amounted to $14,779,950 or 0.4% of net assets. |
Period Acquired | Security Name | Shares/ Par Value | Total Cost | Market Value | ||||
06/2015 | HF Global, Inc. | 350,600 | $ 4,713,607 | $ 9,921,980 | ||||
12/2015 | Magic Leap, Inc. Class A Convertible Preferred | 58 | 679,566 | 167 | ||||
07/2021 | Sharecare, Inc. Earnout | 5,611 | — | 61 | ||||
11/2013 | Tory Burch LLC | 115,140 | 9,024,247 | 4,857,742 | ||||
$ 14,417,420 | $ 14,779,950 |
(2) | Investment valued using significant unobservable inputs. |
(3) | Represents entire or partial securities on loan. See Note 8 in the accompanying Notes to Financial Statements for securities lending information. |
(4) | Currently no rate available. |
(5) | Current yield as of period end. |
Futures Contracts Outstanding at December 31, 2023 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
Nasdaq 100 E-MINI Future | 261 | 03/15/2024 | $ 88,862,670 | $ 1,923,011 | ||||
Total futures contracts | $ 1,923,011 |
55 |
December 31, 2023
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Automobiles & Components | $ 8,010,734 | $ 8,010,734 | $ — | $ — | ||||
Banks | 35,562,796 | 35,562,796 | — | — | ||||
Capital Goods | 299,706,377 | 264,576,597 | 25,207,800 | 9,921,980 | ||||
Commercial & Professional Services | 65,707,092 | 65,707,092 | — | — | ||||
Consumer Discretionary Distribution & Retail | 150,742,698 | 145,884,956 | — | 4,857,742 | ||||
Consumer Durables & Apparel | 72,391,787 | 72,391,787 | — | — | ||||
Consumer Services | 74,280,209 | 74,280,209 | — | — | ||||
Consumer Staples Distribution & Retail | 33,603,200 | 33,603,200 | — | — | ||||
Energy | 108,613,893 | 108,613,893 | — | — | ||||
Equity Real Estate Investment Trusts (REITs) | 106,826,804 | 106,826,804 | — | — | ||||
Financial Services | 262,143,027 | 262,143,027 | — | — | ||||
Food, Beverage & Tobacco | 102,649,281 | 102,649,281 | — | — | ||||
Health Care Equipment & Services | 286,152,313 | 286,152,313 | — | — | ||||
Household & Personal Products | 117,722,165 | 101,245,244 | 16,476,921 | — | ||||
Insurance | 160,829,294 | 160,829,294 | — | — | ||||
Materials | 114,559,132 | 102,765,985 | 11,793,147 | — | ||||
Media & Entertainment | 286,338,758 | 286,338,758 | — | — | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 247,146,863 | 234,128,429 | 13,018,434 | — | ||||
Real Estate Management & Development | 10,011,877 | 10,011,877 | — | — | ||||
Semiconductors & Semiconductor Equipment | 205,425,213 | 205,425,213 | — | — | ||||
Software & Services | 374,685,827 | 374,685,766 | — | 61 | ||||
Technology Hardware & Equipment | 173,998,483 | 166,371,506 | 7,626,977 | — | ||||
Telecommunication Services | 20,643,610 | 20,643,610 | — | — | ||||
Transportation | 94,108,628 | 94,108,628 | — | — | ||||
Utilities | 81,061,125 | 64,134,258 | 16,926,867 | — | ||||
Convertible Preferred Stocks | 167 | — | — | 167 | ||||
Exchange-Traded Funds | 11,923,979 | 11,923,979 | — | — | ||||
Short-Term Investments | 32,142,680 | 10,866,752 | 21,275,928 | — | ||||
Futures Contracts(2) | 1,923,011 | 1,923,011 | — | — | ||||
Total | $ 3,538,911,023 | $ 3,411,804,999 | $ 112,326,074 | $ 14,779,950 |
(1) | For the year ended December 31, 2023, there were no transfers in and out of Level 3. |
(2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
56 |
December 31, 2023
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 98.9% | |||
Automobiles & Components - 0.7% | |||
72,870 | Tesla, Inc.* | $ 18,106,738 | |
Banks - 4.8% | |||
1,283,361 | Bank of America Corp. | 43,210,765 | |
380,510 | JP Morgan Chase & Co. | 64,724,751 | |
144,412 | PNC Financial Services Group, Inc. | 22,362,198 | |
130,297,714 | |||
Capital Goods - 6.7% | |||
181,901 | AMETEK, Inc. | 29,993,656 | |
81,805 | Deere & Co. | 32,711,365 | |
131,323 | IDEX Corp. | 28,511,536 | |
129,357 | Illinois Tool Works, Inc. | 33,883,773 | |
418,894 | Johnson Controls International PLC | 24,145,050 | |
398,198 | RTX Corp. | 33,504,380 | |
182,749,760 | |||
Commercial & Professional Services - 0.8% | |||
133,944 | Republic Services, Inc. | 22,088,705 | |
Consumer Discretionary Distribution & Retail - 7.2% | |||
864,144 | Amazon.com, Inc.* | 131,298,039 | |
9,870 | AutoZone, Inc.* | 25,519,971 | |
386,834 | TJX Cos., Inc. | 36,288,898 | |
38,805 | Tory Burch LLC*(1)(2) | 1,637,184 | |
194,744,092 | |||
Consumer Durables & Apparel - 1.3% | |||
318,035 | NIKE, Inc. Class B | 34,529,060 | |
Consumer Services - 1.4% | |||
133,255 | McDonald's Corp. | 39,511,440 | |
Energy - 3.5% | |||
289,308 | ConocoPhillips | 33,579,980 | |
227,766 | EOG Resources, Inc. | 27,548,298 | |
121,880 | Phillips 66 | 16,227,103 | |
337,912 | Schlumberger NV | 17,584,940 | |
94,940,321 | |||
Equity Real Estate Investment Trusts (REITs) - 1.7% | |||
108,149 | AvalonBay Communities, Inc. REIT | 20,247,656 | |
188,295 | Prologis, Inc. REIT | 25,099,723 | |
45,347,379 | |||
Financial Services - 5.7% | |||
167,711 | American Express Co. | 31,418,979 | |
364,329 | Charles Schwab Corp. | 25,065,835 | |
136,040 | Mastercard, Inc. Class A | 58,022,421 | |
434,429 | Morgan Stanley | 40,510,504 | |
155,017,739 | |||
Food, Beverage & Tobacco - 2.3% | |||
129,386 | Constellation Brands, Inc. Class A | 31,279,066 | |
535,502 | Monster Beverage Corp.* | 30,850,270 | |
62,129,336 | |||
Health Care Equipment & Services - 5.2% | |||
350,065 | Abbott Laboratories | 38,531,655 | |
486,762 | Boston Scientific Corp.* | 28,139,711 | |
143,289 | UnitedHealth Group, Inc. | 75,437,360 | |
142,108,726 | |||
Household & Personal Products - 3.2% | |||
201,339 | Estee Lauder Cos., Inc. Class A | 29,445,829 | |
398,545 | Procter & Gamble Co. | 58,402,784 | |
87,848,613 | |||
Insurance - 3.1% | |||
256,051 | Arch Capital Group Ltd.* | 19,016,908 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 98.9% - (continued) | |||
Insurance - 3.1% - (continued) | |||
159,984 | Chubb Ltd. | $ 36,156,384 | |
186,676 | Progressive Corp. | 29,733,753 | |
84,907,045 | |||
Materials - 1.5% | |||
32,881 | Linde PLC | 13,504,556 | |
178,840 | PPG Industries, Inc. | 26,745,522 | |
40,250,078 | |||
Media & Entertainment - 9.0% | |||
964,627 | Alphabet, Inc. Class A* | 134,748,745 | |
220,381 | Meta Platforms, Inc. Class A* | 78,006,059 | |
65,575 | Netflix, Inc.* | 31,927,156 | |
244,681,960 | |||
Pharmaceuticals, Biotechnology & Life Sciences - 9.4% | |||
129,961 | Danaher Corp. | 30,065,178 | |
99,871 | Eli Lilly & Co. | 58,216,803 | |
437,004 | Merck & Co., Inc. | 47,642,176 | |
25,846 | Regeneron Pharmaceuticals, Inc.* | 22,700,283 | |
64,032 | Thermo Fisher Scientific, Inc. | 33,987,545 | |
77,045 | Vertex Pharmaceuticals, Inc.* | 31,348,840 | |
157,812 | Zoetis, Inc. | 31,147,355 | |
255,108,180 | |||
Semiconductors & Semiconductor Equipment - 8.0% | |||
49,587 | Broadcom, Inc. | 55,351,489 | |
50,280 | KLA Corp. | 29,227,764 | |
201,611 | NVIDIA Corp. | 99,841,799 | |
202,302 | Texas Instruments, Inc. | 34,484,399 | |
218,905,451 | |||
Software & Services - 11.7% | |||
84,996 | Accenture PLC Class A | 29,825,946 | |
530,228 | Microsoft Corp. | 199,386,937 | |
44,619 | Roper Technologies, Inc. | 24,324,940 | |
142,575 | Salesforce, Inc.* | 37,517,186 | |
102,901 | Workday, Inc. Class A* | 28,406,850 | |
319,461,859 | |||
Technology Hardware & Equipment - 8.5% | |||
844,460 | Apple, Inc. | 162,583,884 | |
138,917 | CDW Corp. | 31,578,612 | |
114,679 | Motorola Solutions, Inc. | 35,904,848 | |
230,067,344 | |||
Utilities - 3.2% | |||
402,582 | American Electric Power Co., Inc. | 32,697,710 | |
314,043 | Duke Energy Corp. | 30,474,733 | |
246,292 | Eversource Energy | 15,201,142 | |
463,466 | PG&E Corp. | 8,356,292 | |
86,729,877 | |||
Total Common Stocks (cost $1,683,939,592) | $ 2,689,531,417 | ||
CONVERTIBLE PREFERRED STOCKS - 0.2% | |||
Software & Services - 0.2% | |||
1,871,878 | Essence Group Holdings Corp. Series 3*(1)(2)(3) | $ 3,294,505 | |
287,204 | Lookout, Inc. Series F*(1)(2)(3) | 2,630,789 | |
Total Convertible Preferred Stocks (cost $6,240,761) | $ 5,925,294 | ||
Total Long-Term Investments (cost $1,690,180,353) | $ 2,695,456,711 |
57 |
December 31, 2023
Shares or Principal Amount | Market Value† | ||
SHORT-TERM INVESTMENTS - 0.1% | |||
Repurchase Agreements - 0.1% | |||
$ 2,337,621 | Fixed Income Clearing Corp. Repurchase Agreement dated 12/29/2023 at 5.32%, due on 01/02/2024 with a maturity value of $2,339,003; collateralized by U.S. Treasury Inflation Index Note at 0.13%, maturing 07/15/2031, with a market value of $2,384,437 | $ 2,337,621 | |
Total Short-Term Investments (cost $2,337,621) | $ 2,337,621 | ||
Total Investments (cost $1,692,517,974) | 99.2% | $ 2,697,794,332 | |
Other Assets and Liabilities | 0.8% | 21,827,527 | |
Total Net Assets | 100.0% | $ 2,719,621,859 |
Note: | Percentage of investments as shown is the ratio of the total market value to total net assets. |
Equity industry classifications used in this report are the Global Industry Classification Standard, which was developed by and is the exclusive property and service mark of MSCI, Inc. and Standard & Poor’s. | |
For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. |
* | Non-income producing. |
(1) | Investment in securities not registered under the Securities Act of 1933 (excluding securities acquired pursuant to Rule 144A and Regulation S). At the end of the period, the value of such restricted securities amounted to $7,562,478 or 0.3% of net assets. |
Period Acquired | Security Name | Shares/ Par Value | Total Cost | Market Value | ||||
05/2014 | Essence Group Holdings Corp. Series 3 Convertible Preferred | 1,871,878 | $ 2,960,001 | $ 3,294,505 | ||||
07/2014 | Lookout, Inc. Series F Convertible Preferred | 287,204 | 3,280,760 | 2,630,789 | ||||
11/2013 | Tory Burch LLC | 38,805 | 3,041,403 | 1,637,184 | ||||
$ 9,282,164 | $ 7,562,478 |
(2) | Investment valued using significant unobservable inputs. |
(3) | Currently no rate available. |
† | See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments. |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Automobiles & Components | $ 18,106,738 | $ 18,106,738 | $ — | $ — | ||||
Banks | 130,297,714 | 130,297,714 | — | — | ||||
Capital Goods | 182,749,760 | 182,749,760 | — | — | ||||
Commercial & Professional Services | 22,088,705 | 22,088,705 | — | — | ||||
Consumer Discretionary Distribution & Retail | 194,744,092 | 193,106,908 | — | 1,637,184 | ||||
Consumer Durables & Apparel | 34,529,060 | 34,529,060 | — | — | ||||
Consumer Services | 39,511,440 | 39,511,440 | — | — | ||||
Energy | 94,940,321 | 94,940,321 | — | — | ||||
Equity Real Estate Investment Trusts (REITs) | 45,347,379 | 45,347,379 | — | — | ||||
Financial Services | 155,017,739 | 155,017,739 | — | — | ||||
Food, Beverage & Tobacco | 62,129,336 | 62,129,336 | — | — | ||||
Health Care Equipment & Services | 142,108,726 | 142,108,726 | — | — | ||||
Household & Personal Products | 87,848,613 | 87,848,613 | — | — | ||||
Insurance | 84,907,045 | 84,907,045 | — | — | ||||
Materials | 40,250,078 | 40,250,078 | — | — | ||||
Media & Entertainment | 244,681,960 | 244,681,960 | — | — | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 255,108,180 | 255,108,180 | — | — | ||||
Semiconductors & Semiconductor Equipment | 218,905,451 | 218,905,451 | — | — | ||||
Software & Services | 319,461,859 | 319,461,859 | — | — | ||||
Technology Hardware & Equipment | 230,067,344 | 230,067,344 | — | — | ||||
Utilities | 86,729,877 | 86,729,877 | — | — | ||||
Convertible Preferred Stocks | 5,925,294 | — | — | 5,925,294 | ||||
Short-Term Investments | 2,337,621 | — | 2,337,621 | — | ||||
Total | $ 2,697,794,332 | $ 2,687,894,233 | $ 2,337,621 | $ 7,562,478 |
(1) | For the year ended December 31, 2023, there were no transfers in and out of Level 3. |
58 |
December 31, 2023
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 98.3% | |||
Banks - 5.8% | |||
1,311,749 | Bank of America Corp. | $ 44,166,589 | |
470,743 | JP Morgan Chase & Co. | 80,073,384 | |
99,899 | PNC Financial Services Group, Inc. | 15,469,360 | |
1,273,705 | Wells Fargo & Co. | 62,691,760 | |
202,401,093 | |||
Capital Goods - 6.7% | |||
206,767 | Airbus SE | 31,943,099 | |
140,381 | General Dynamics Corp. | 36,452,734 | |
657,726 | Johnson Controls International PLC | 37,911,327 | |
78,985 | Lockheed Martin Corp. | 35,799,161 | |
498,333 | Otis Worldwide Corp. | 44,585,854 | |
362,458 | Westinghouse Air Brake Technologies Corp. | 45,995,920 | |
232,688,095 | |||
Consumer Discretionary Distribution & Retail - 3.2% | |||
106,794 | Home Depot, Inc. | 37,009,461 | |
145,436 | Lowe's Cos., Inc. | 32,366,782 | |
445,315 | TJX Cos., Inc. | 41,775,000 | |
111,151,243 | |||
Consumer Staples Distribution & Retail - 1.1% | |||
275,284 | Sysco Corp. | 20,131,519 | |
102,620 | Walmart, Inc. | 16,178,043 | |
36,309,562 | |||
Energy - 7.5% | |||
409,081 | Chevron Corp. | 61,018,522 | |
554,925 | ConocoPhillips | 64,410,145 | |
274,929 | Diamondback Energy, Inc. | 42,635,989 | |
894,103 | TotalEnergies SE ADR | 60,244,660 | |
906,790 | Williams Cos., Inc. | 31,583,496 | |
259,892,812 | |||
Equity Real Estate Investment Trusts (REITs) - 3.3% | |||
255,766 | American Tower Corp. REIT | 55,214,764 | |
1,159,325 | Host Hotels & Resorts, Inc. REIT | 22,572,058 | |
122,825 | Public Storage REIT | 37,461,625 | |
115,248,447 | |||
Financial Services - 7.5% | |||
247,022 | American Express Co. | 46,277,102 | |
40,370 | BlackRock, Inc. | 32,772,366 | |
339,834 | Charles Schwab Corp. | 23,380,579 | |
514,437 | Morgan Stanley | 47,971,250 | |
116,764 | S&P Global, Inc. | 51,436,877 | |
226,905 | Visa, Inc. Class A | 59,074,717 | |
260,912,891 | |||
Food, Beverage & Tobacco - 3.5% | |||
767,294 | Keurig Dr Pepper, Inc. | 25,566,236 | |
298,783 | Mondelez International, Inc. Class A | 21,640,852 | |
506,559 | Philip Morris International, Inc. | 47,657,071 | |
503,176 | Tyson Foods, Inc. Class A | 27,045,710 | |
121,909,869 | |||
Health Care Equipment & Services - 7.2% | |||
165,989 | Becton Dickinson & Co. | 40,473,098 | |
100,726 | Elevance Health, Inc. | 47,498,353 | |
128,691 | HCA Healthcare, Inc. | 34,834,080 | |
598,814 | Medtronic PLC | 49,330,297 | |
147,930 | UnitedHealth Group, Inc. | 77,880,707 | |
250,016,535 | |||
Household & Personal Products - 2.0% | |||
943,100 | Kenvue, Inc. | 20,304,943 | |
978,307 | Unilever PLC ADR | 47,428,323 | |
67,733,266 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 98.3% - (continued) | |||
Insurance - 3.4% | |||
560,443 | American International Group, Inc. | $ 37,970,013 | |
149,608 | Chubb Ltd. | 33,811,408 | |
592,300 | Principal Financial Group, Inc. | 46,596,241 | |
118,377,662 | |||
Materials - 4.7% | |||
2,704,120 | Amcor PLC | 26,067,717 | |
633,789 | BHP Group Ltd. ADR(1) | 43,294,127 | |
346,680 | Celanese Corp. | 53,863,672 | |
631,131 | FMC Corp. | 39,792,809 | |
163,018,325 | |||
Media & Entertainment - 8.3% | |||
1,436,905 | Alphabet, Inc. Class A* | 200,721,259 | |
1,283,236 | Comcast Corp. Class A | 56,269,899 | |
97,305 | Omnicom Group, Inc. | 8,417,855 | |
257,609 | Walt Disney Co. | 23,259,517 | |
288,668,530 | |||
Pharmaceuticals, Biotechnology & Life Sciences - 7.5% | |||
257,907 | Agilent Technologies, Inc. | 35,856,810 | |
696,893 | AstraZeneca PLC ADR | 46,935,744 | |
686,869 | Bristol-Myers Squibb Co. | 35,243,248 | |
491,042 | Merck & Co., Inc. | 53,533,399 | |
430,571 | Novartis AG ADR | 43,474,754 | |
1,588,917 | Pfizer, Inc. | 45,744,920 | |
260,788,875 | |||
Semiconductors & Semiconductor Equipment - 5.8% | |||
29,320 | Broadcom, Inc. | 32,728,450 | |
596,852 | Intel Corp. | 29,991,813 | |
553,988 | Micron Technology, Inc. | 47,277,336 | |
376,636 | QUALCOMM, Inc. | 54,472,865 | |
214,636 | Texas Instruments, Inc. | 36,586,852 | |
201,057,316 | |||
Software & Services - 9.1% | |||
143,282 | Accenture PLC Class A | 50,279,087 | |
837,887 | Cognizant Technology Solutions Corp. Class A | 63,285,605 | |
531,486 | Microsoft Corp. | 199,859,995 | |
313,424,687 | |||
Technology Hardware & Equipment - 4.7% | |||
498,867 | Apple, Inc. | 96,046,864 | |
1,283,397 | Cisco Systems, Inc. | 64,837,216 | |
160,884,080 | |||
Telecommunication Services - 0.9% | |||
805,550 | Verizon Communications, Inc. | 30,369,235 | |
Transportation - 0.8% | |||
915,025 | Southwest Airlines Co. | 26,425,922 | |
Utilities - 5.3% | |||
468,178 | American Electric Power Co., Inc. | 38,025,417 | |
265,881 | Constellation Energy Corp. | 31,078,830 | |
432,375 | Duke Energy Corp. | 41,957,670 | |
797,652 | Exelon Corp. | 28,635,707 | |
580,416 | Sempra | 43,374,488 | |
183,072,112 | |||
Total Common Stocks (cost $2,072,305,358) | $ 3,404,350,557 |
59 |
December 31, 2023
Shares or Principal Amount | Market Value† | ||
SHORT-TERM INVESTMENTS - 0.8% | |||
Repurchase Agreements - 0.3% | |||
$ 11,022,799 | Fixed Income Clearing Corp. Repurchase Agreement dated 12/29/2023 at 5.32%, due on 01/02/2024 with a maturity value of $11,029,315; collateralized by U.S. Treasury Inflation Index Note at 0.13%, maturing 07/15/2031, with a market value of $11,243,339 | $ 11,022,799 | |
Securities Lending Collateral - 0.5% | |||
2,519,678 | Goldman Sachs Financial Square Funds, Government Fund, Institutional Class, 5.25%(2) | 2,519,678 | |
8,398,925 | HSBC U.S. Government Money Market Fund, Institutional Class, 5.31%(2) | 8,398,925 | |
2,673,802 | Invesco Government & Agency Portfolio, Institutional Class, 5.28%(2) | 2,673,802 | |
2,519,678 | Morgan Stanley Institutional Liquidity Funds, Government Portfolio, Institutional Class, 5.27%(2) | 2,519,678 | |
16,112,083 | |||
Total Short-Term Investments (cost $27,134,882) | $ 27,134,882 | ||
Total Investments (cost $2,099,440,240) | 99.1% | $ 3,431,485,439 | |
Other Assets and Liabilities | 0.9% | 32,159,917 | |
Total Net Assets | 100.0% | $ 3,463,645,356 |
Note: | Percentage of investments as shown is the ratio of the total market value to total net assets. |
Prices of foreign equities that are principally traded on certain foreign markets will generally be adjusted daily pursuant to a fair value pricing service approved by Hartford Funds Management Company, LLC in order to reflect an adjustment for factors occurring after the close of certain foreign markets but before the close of the New York Stock Exchange. | |
Equity industry classifications used in this report are the Global Industry Classification Standard, which was developed by and is the exclusive property and service mark of MSCI, Inc. and Standard & Poor’s. | |
For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. | |
See “Glossary” for abbreviation descriptions. |
* | Non-income producing. |
(1) | Represents entire or partial securities on loan. See Note 8 in the accompanying Notes to Financial Statements for securities lending information. |
(2) | Current yield as of period end. |
† | See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments. |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Banks | $ 202,401,093 | $ 202,401,093 | $ — | $ — | ||||
Capital Goods | 232,688,095 | 200,744,996 | 31,943,099 | — | ||||
Consumer Discretionary Distribution & Retail | 111,151,243 | 111,151,243 | — | — | ||||
Consumer Staples Distribution & Retail | 36,309,562 | 36,309,562 | — | — | ||||
Energy | 259,892,812 | 259,892,812 | — | — | ||||
Equity Real Estate Investment Trusts (REITs) | 115,248,447 | 115,248,447 | — | — | ||||
Financial Services | 260,912,891 | 260,912,891 | — | — | ||||
Food, Beverage & Tobacco | 121,909,869 | 121,909,869 | — | — | ||||
Health Care Equipment & Services | 250,016,535 | 250,016,535 | — | — | ||||
Household & Personal Products | 67,733,266 | 67,733,266 | — | — | ||||
Insurance | 118,377,662 | 118,377,662 | — | — | ||||
Materials | 163,018,325 | 163,018,325 | — | — | ||||
Media & Entertainment | 288,668,530 | 288,668,530 | — | — | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 260,788,875 | 260,788,875 | — | — | ||||
Semiconductors & Semiconductor Equipment | 201,057,316 | 201,057,316 | — | — | ||||
Software & Services | 313,424,687 | 313,424,687 | — | — | ||||
Technology Hardware & Equipment | 160,884,080 | 160,884,080 | — | — | ||||
Telecommunication Services | 30,369,235 | 30,369,235 | — | — | ||||
Transportation | 26,425,922 | 26,425,922 | — | — | ||||
Utilities | 183,072,112 | 183,072,112 | — | — | ||||
Short-Term Investments | 27,134,882 | 16,112,083 | 11,022,799 | — | ||||
Total | $ 3,431,485,439 | $ 3,388,519,541 | $ 42,965,898 | $ — |
(1) | For the year ended December 31, 2023, there were no transfers in and out of Level 3. |
60 |
December 31, 2023
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 98.8% | |||
Biotechnology - 17.7% | |||
22,144 | Alkermes PLC* | $ 614,275 | |
4,692 | Alnylam Pharmaceuticals, Inc.* | 898,096 | |
10,562 | Apellis Pharmaceuticals, Inc.* | 632,241 | |
2,787 | Argenx SE ADR* | 1,060,258 | |
5,109 | Ascendis Pharma AS ADR*(1) | 643,479 | |
6,199 | Biogen, Inc.* | 1,604,115 | |
4,972 | Blueprint Medicines Corp.* | 458,617 | |
10,555 | Bridgebio Pharma, Inc.* | 426,105 | |
14,251 | Celldex Therapeutics, Inc.* | 565,195 | |
13,315 | Crinetics Pharmaceuticals, Inc.* | 473,748 | |
11,780 | Cytokinetics, Inc.* | 983,512 | |
9,770 | Exact Sciences Corp.* | 722,785 | |
1,750 | Genmab AS* | 557,993 | |
13,612 | Genus PLC | 376,507 | |
9,510 | Gilead Sciences, Inc. | 770,405 | |
8,697 | Immunocore Holdings PLC ADR*(1) | 594,179 | |
2,050 | Karuna Therapeutics, Inc.* | 648,846 | |
5,588 | Legend Biotech Corp. ADR* | 336,230 | |
15,545 | Merus NV* | 427,488 | |
4,091 | Moderna, Inc.* | 406,850 | |
6,882 | Morphic Holding, Inc.* | 198,752 | |
4,881 | Prothena Corp. PLC* | 177,376 | |
8,883 | PTC Therapeutics, Inc.* | 244,815 | |
1,752 | Regeneron Pharmaceuticals, Inc.* | 1,538,764 | |
20,630 | Revolution Medicines, Inc.* | 591,668 | |
13,995 | Rocket Pharmaceuticals, Inc.* | 419,430 | |
24,674 | Roivant Sciences Ltd.* | 277,089 | |
8,054 | Sage Therapeutics, Inc.* | 174,530 | |
4,733 | Sarepta Therapeutics, Inc.* | 456,403 | |
23,400 | Sichuan Kelun-Biotech Biopharmaceutical Co. Ltd.* | 307,955 | |
18,320 | Syndax Pharmaceuticals, Inc.* | 395,895 | |
7,716 | Ultragenyx Pharmaceutical, Inc.* | 368,979 | |
4,126 | United Therapeutics Corp.* | 907,266 | |
7,215 | Vaxcyte, Inc.* | 453,102 | |
19,399 | Veracyte, Inc.* | 533,666 | |
8,684 | Vertex Pharmaceuticals, Inc.* | 3,533,433 | |
9,815 | Xenon Pharmaceuticals, Inc.* | 452,079 | |
12,073 | Zai Lab Ltd. ADR* | 329,955 | |
24,562,081 | |||
Environmental & Facilities Services - 0.5% | |||
7,662 | Veralto Corp. | 630,276 | |
Health Care Distributors - 1.8% | |||
12,230 | Cencora, Inc. | 2,511,797 | |
Health Care Equipment - 15.3% | |||
22,016 | Abbott Laboratories | 2,423,301 | |
4,759 | Becton Dickinson & Co. | 1,160,387 | |
62,359 | Boston Scientific Corp.* | 3,604,974 | |
18,672 | Dexcom, Inc.* | 2,317,008 | |
5,617 | DiaSorin SpA | 578,909 | |
30,312 | Edwards Lifesciences Corp.* | 2,311,290 | |
15,100 | Hologic, Inc.* | 1,078,895 | |
9,576 | Inari Medical, Inc.* | 621,674 | |
1,175 | Inspire Medical Systems, Inc.* | 239,030 | |
6,110 | Insulet Corp.* | 1,325,748 | |
4,462 | QuidelOrtho Corp.* | 328,849 | |
3,714 | Shockwave Medical, Inc.* | 707,740 | |
7,417 | Smith & Nephew PLC | 101,888 | |
11,952 | Stryker Corp. | 3,579,146 | |
3,152 | Teleflex, Inc. | 785,920 | |
21,164,759 | |||
Health Care Facilities - 4.5% | |||
13,191 | Acadia Healthcare Co., Inc.* | 1,025,732 | |
17,767 | Encompass Health Corp. | 1,185,415 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 98.8% - (continued) | |||
Health Care Facilities - 4.5% - (continued) | |||
12,081 | HCA Healthcare, Inc. | $ 3,270,085 | |
23,776 | Surgery Partners, Inc.* | 760,594 | |
6,241,826 | |||
Health Care Services - 3.0% | |||
7,984 | Addus HomeCare Corp.* | 741,315 | |
43,152 | agilon health, Inc.* | 541,558 | |
7,247 | Guardant Health, Inc.* | 196,031 | |
6,442 | Laboratory Corp. of America Holdings | 1,464,202 | |
22,270 | Option Care Health, Inc.* | 750,276 | |
21,565 | Privia Health Group, Inc.* | 496,642 | |
4,190,024 | |||
Health Care Technology - 0.6% | |||
26,150 | Evolent Health, Inc. Class A* | 863,734 | |
Life Sciences Tools & Services - 12.6% | |||
15,832 | Agilent Technologies, Inc. | 2,201,123 | |
24,584 | Avantor, Inc.* | 561,253 | |
6,716 | Bio-Techne Corp. | 518,206 | |
22,693 | Danaher Corp. | 5,249,799 | |
7,082 | ICON PLC* | 2,004,702 | |
9,242 | Illumina, Inc.* | 1,286,856 | |
4,870 | Repligen Corp.* | 875,626 | |
1,344 | Tecan Group AG | 549,840 | |
6,125 | Thermo Fisher Scientific, Inc. | 3,251,089 | |
3,124 | Waters Corp.* | 1,028,514 | |
17,527,008 | |||
Managed Health Care - 14.2% | |||
42,417 | Centene Corp.* | 3,147,766 | |
327,135 | Hapvida Participacoes e Investimentos SA*(2) | 299,459 | |
6,871 | Humana, Inc. | 3,145,612 | |
6,490 | Molina Healthcare, Inc.* | 2,344,902 | |
20,268 | UnitedHealth Group, Inc. | 10,670,494 | |
19,608,233 | |||
Pharmaceuticals - 28.6% | |||
38,616 | AstraZeneca PLC ADR | 2,600,788 | |
31,900 | Chugai Pharmaceutical Co. Ltd. | 1,205,128 | |
61,335 | Daiichi Sankyo Co. Ltd. | 1,679,151 | |
21,409 | Eisai Co. Ltd. | 1,065,979 | |
57,814 | Elanco Animal Health, Inc.* | 861,429 | |
21,350 | Eli Lilly & Co. | 12,445,342 | |
41,786 | GSK PLC | 771,753 | |
73,794 | Merck & Co., Inc. | 8,045,022 | |
10,333 | Novartis AG | 1,043,741 | |
18,000 | Otsuka Holdings Co. Ltd. | 673,146 | |
145,962 | Pfizer, Inc. | 4,202,246 | |
12,820 | Structure Therapeutics, Inc. ADR* | 522,543 | |
7,550 | UCB SA | 658,146 | |
24,428 | Verona Pharma PLC ADR* | 485,629 | |
16,847 | Zoetis, Inc. | 3,325,092 | |
39,585,135 | |||
Total Common Stocks (cost $100,280,479) | $ 136,884,873 | ||
RIGHTS - 0.0% | |||
Health Care Equipment - 0.0% | |||
885 | Abiomed, Inc. CVR*(3)(4) | $ 903 | |
Total Rights (cost $903) | $ 903 | ||
Total Long-Term Investments (cost $100,281,382) | $ 136,885,776 |
61 |
December 31, 2023
Shares or Principal Amount | Market Value† | ||
SHORT-TERM INVESTMENTS - 0.7% | |||
Repurchase Agreements - 0.3% | |||
$ 345,839 | Fixed Income Clearing Corp. Repurchase Agreement dated 12/29/2023 at 5.32%, due on 01/02/2024 with a maturity value of $346,043; collateralized by U.S. Treasury Inflation Index Note at 0.13%, maturing 07/15/2031, with a market value of $352,842 | $ 345,839 | |
Securities Lending Collateral - 0.4% | |||
94,711 | Goldman Sachs Financial Square Funds, Government Fund, Institutional Class, 5.25%(5) | 94,711 | |
315,705 | HSBC U.S. Government Money Market Fund, Institutional Class, 5.31%(5) | 315,705 | |
94,712 | Invesco Government & Agency Portfolio, Institutional Class, 5.28%(5) | 94,712 | |
94,712 | Morgan Stanley Institutional Liquidity Funds, Government Portfolio, Institutional Class, 5.27%(5) | 94,712 | |
599,840 | |||
Total Short-Term Investments (cost $945,679) | $ 945,679 | ||
Total Investments (cost $101,227,061) | 99.5% | $ 137,831,455 | |
Other Assets and Liabilities | 0.5% | 744,101 | |
Total Net Assets | 100.0% | $ 138,575,556 |
Note: | Percentage of investments as shown is the ratio of the total market value to total net assets. |
Prices of foreign equities that are principally traded on certain foreign markets will generally be adjusted daily pursuant to a fair value pricing service approved by Hartford Funds Management Company, LLC in order to reflect an adjustment for factors occurring after the close of certain foreign markets but before the close of the New York Stock Exchange. | |
Equity industry classifications used in this report are the Global Industry Classification Standard, which was developed by and is the exclusive property and service mark of MSCI, Inc. and Standard & Poor’s. | |
For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. | |
See “Glossary” for abbreviation descriptions. |
* | Non-income producing. |
(1) | Represents entire or partial securities on loan. See Note 8 in the accompanying Notes to Financial Statements for securities lending information. |
(2) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions that are exempt from registration (typically only to qualified institutional buyers) or in a public offering registered under the Securities Act of 1933. At December 31, 2023, the aggregate value of this security was $299,459, representing 0.2% of net assets. |
(3) | Investment valued using significant unobservable inputs. |
(4) | Currently no expiration date available. |
(5) | Current yield as of period end. |
† | See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments. |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Biotechnology | $ 24,562,081 | $ 23,696,133 | $ 865,948 | $ — | ||||
Environmental & Facilities Services | 630,276 | 630,276 | — | — | ||||
Health Care Distributors | 2,511,797 | 2,511,797 | — | — | ||||
Health Care Equipment | 21,164,759 | 20,483,962 | 680,797 | — | ||||
Health Care Facilities | 6,241,826 | 6,241,826 | — | — | ||||
Health Care Services | 4,190,024 | 4,190,024 | — | — | ||||
Health Care Technology | 863,734 | 863,734 | — | — | ||||
Life Sciences Tools & Services | 17,527,008 | 16,977,168 | 549,840 | — | ||||
Managed Health Care | 19,608,233 | 19,308,774 | 299,459 | — | ||||
Pharmaceuticals | 39,585,135 | 32,488,091 | 7,097,044 | — | ||||
Rights | 903 | — | — | 903 | ||||
Short-Term Investments | 945,679 | 599,840 | 345,839 | — | ||||
Total | $ 137,831,455 | $ 127,991,625 | $ 9,838,927 | $ 903 |
(1) | For the year ended December 31, 2023, there were no transfers in and out of Level 3. |
62 |
December 31, 2023
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 97.3% | |||
Australia - 2.2% | |||
260,426 | Rio Tinto PLC | $ 19,370,763 | |
Brazil - 1.5% | |||
1,020,448 | Localiza Rent a Car SA | 13,360,515 | |
Canada - 5.7% | |||
131,825 | Cameco Corp. | 5,683,682 | |
156,247 | Canadian Pacific Kansas City Ltd. | 12,362,504 | |
635,206 | Cenovus Energy, Inc. | 10,584,769 | |
4,109 | Constellation Software, Inc. | 10,187,672 | |
83,352 | RB Global, Inc. | 5,577,768 | |
41,321 | TFI International, Inc. | 5,620,691 | |
50,017,086 | |||
China - 4.9% | |||
214,500 | BYD Co. Ltd. Class H | 5,916,904 | |
449,126 | ENN Energy Holdings Ltd. | 3,316,547 | |
326,810 | KE Holdings, Inc. ADR | 5,297,590 | |
601,538 | Proya Cosmetics Co. Ltd. Class A | 8,431,165 | |
520,191 | Tencent Holdings Ltd. | 19,639,734 | |
42,601,940 | |||
Denmark - 1.8% | |||
147,464 | Novo Nordisk AS Class B | 15,281,865 | |
France - 12.5% | |||
101,123 | Airbus SE | 15,622,328 | |
446,089 | AXA SA | 14,567,681 | |
205,153 | BNP Paribas SA | 14,246,985 | |
255,688 | Bureau Veritas SA | 6,468,837 | |
54,079 | Capgemini SE | 11,302,053 | |
2,872 | Hermes International SCA | 6,104,478 | |
20,389 | L'Oreal SA | 10,163,928 | |
6,870 | LVMH Moet Hennessy Louis Vuitton SE | 5,582,128 | |
50,982 | Pernod Ricard SA | 9,009,631 | |
250,059 | Renault SA | 10,227,395 | |
351,434 | Vallourec SACA* | 5,458,853 | |
108,754,297 | |||
Germany - 10.6% | |||
61,688 | adidas AG | 12,535,414 | |
434,444 | Deutsche Telekom AG | 10,445,470 | |
366,557 | Infineon Technologies AG | 15,308,379 | |
52,902 | Merck KGaA | 8,422,762 | |
305,472 | RWE AG | 13,902,917 | |
87,183 | SAP SE | 13,419,341 | |
99,456 | Siemens AG | 18,658,869 | |
92,693,152 | |||
Hong Kong - 1.3% | |||
187,700 | Hong Kong Exchanges & Clearing Ltd. | 6,438,159 | |
410,496 | Prudential PLC | 4,631,497 | |
11,069,656 | |||
India - 3.7% | |||
847,908 | Axis Bank Ltd. | 11,221,528 | |
259,924 | Larsen & Toubro Ltd. | 11,007,222 | |
319,021 | Reliance Industries Ltd. | 9,901,756 | |
32,130,506 | |||
Indonesia - 0.9% | |||
12,242,600 | Bank Central Asia Tbk. PT | 7,476,551 | |
Italy - 1.7% | |||
21,040 | Ferrari NV | 7,103,241 | |
294,250 | UniCredit SpA | 8,012,337 | |
15,115,578 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 97.3% - (continued) | |||
Japan - 12.6% | |||
309,400 | Bandai Namco Holdings, Inc. | $ 6,187,452 | |
265,500 | Dai-ichi Life Holdings, Inc. | 5,632,030 | |
39,700 | Fast Retailing Co. Ltd. | 9,816,968 | |
33,400 | Hoya Corp. | 4,159,607 | |
245,300 | ITOCHU Corp. | 9,993,484 | |
32,322 | Keyence Corp. | 14,200,873 | |
1,690,100 | Mitsubishi UFJ Financial Group, Inc. | 14,504,655 | |
152,100 | Oriental Land Co. Ltd. | 5,653,297 | |
217,400 | Recruit Holdings Co. Ltd. | 9,089,737 | |
219,300 | Sony Group Corp. | 20,752,984 | |
600,399 | T&D Holdings, Inc. | 9,531,606 | |
109,522,693 | |||
Jersey - 0.4% | |||
410,017 | Arcadium Lithium PLC CDI* | 3,132,142 | |
Netherlands - 6.2% | |||
26,833 | ASML Holding NV | 20,255,896 | |
600,842 | Shell PLC | 19,769,669 | |
98,760 | Wolters Kluwer NV | 14,050,534 | |
54,076,099 | |||
South Africa - 1.2% | |||
426,107 | Anglo American PLC | 10,664,052 | |
South Korea - 3.1% | |||
449,495 | Samsung Electronics Co. Ltd. | 27,282,905 | |
Spain - 1.2% | |||
814,955 | Iberdrola SA | 10,689,587 | |
Switzerland - 5.4% | |||
141,678 | Alcon, Inc. | 11,084,315 | |
233,582 | Novartis AG | 23,594,232 | |
8,768 | Partners Group Holding AG | 12,678,089 | |
47,356,636 | |||
Taiwan - 3.3% | |||
1,518,806 | Taiwan Semiconductor Manufacturing Co. Ltd. | 29,117,847 | |
Thailand - 1.3% | |||
2,914,973 | Kasikornbank PCL | 11,529,227 | |
United Kingdom - 11.5% | |||
152,194 | AstraZeneca PLC | 20,529,425 | |
1,129,782 | BAE Systems PLC | 15,992,053 | |
2,089,380 | HSBC Holdings PLC | 16,903,000 | |
140,816 | London Stock Exchange Group PLC | 16,646,074 | |
185,706 | Reckitt Benckiser Group PLC | 12,814,347 | |
357,356 | Unilever PLC | 17,299,956 | |
100,184,855 | |||
United States - 4.3% | |||
18,870 | ARM Holdings PLC ADR*(1) | 1,417,986 | |
139,788 | CRH PLC | 9,620,109 | |
29,766 | CyberArk Software Ltd.* | 6,520,242 | |
25,435 | Linde PLC | 10,346,970 | |
542,379 | Tenaris SA | 9,433,688 | |
37,338,995 | |||
Total Common Stocks (cost $692,381,530) | $ 848,766,947 |
63 |
December 31, 2023
Shares or Principal Amount | Market Value† | ||
PREFERRED STOCKS - 1.6% | |||
Brazil - 1.6% | |||
4,042,700 | Banco Bradesco SA (Preference Shares)(2) | $ 14,097,658 | |
Total Preferred Stocks (cost $11,727,947) | $ 14,097,658 | ||
RIGHTS - 0.0% | |||
Brazil - 0.0% | |||
3,661 | Localiza Rent a Car SA Expires 02/05/2024* | $ 15,073 | |
Total Rights (cost $—) | $ 15,073 | ||
WARRANTS - 0.0% | |||
Canada - 0.0% | |||
5,095 | Constellation Software, Inc. Expires 03/31/2040*(3) | $ — | |
Total Warrants (cost $—) | $ — | ||
Total Long-Term Investments (cost $704,109,477) | $ 862,879,678 | ||
SHORT-TERM INVESTMENTS - 0.4% | |||
Repurchase Agreements - 0.2% | |||
$ 1,934,551 | Fixed Income Clearing Corp. Repurchase Agreement dated 12/29/2023 at 5.32%, due on 01/02/2024 with a maturity value of $1,935,695; collateralized by U.S. Treasury Bond at 4.38%, maturing 05/15/2040, with a market value of $1,973,324 | $ 1,934,551 | |
Securities Lending Collateral - 0.2% | |||
222,069 | Goldman Sachs Financial Square Funds, Government Fund, Institutional Class, 5.25%(4) | 222,069 | |
740,229 | HSBC U.S. Government Money Market Fund, Institutional Class, 5.31%(4) | 740,229 | |
222,069 | Invesco Government & Agency Portfolio, Institutional Class, 5.28%(4) | 222,069 | |
222,069 | Morgan Stanley Institutional Liquidity Funds, Government Portfolio, Institutional Class, 5.27%(4) | 222,069 | |
1,406,436 | |||
Total Short-Term Investments (cost $3,340,987) | $ 3,340,987 | ||
Total Investments (cost $707,450,464) | 99.3% | $ 866,220,665 | |
Other Assets and Liabilities | 0.7% | 6,103,267 | |
Total Net Assets | 100.0% | $ 872,323,932 |
Note: | Percentage of investments as shown is the ratio of the total market value to total net assets. |
Prices of foreign equities that are principally traded on certain foreign markets will generally be adjusted daily pursuant to a fair value pricing service approved by Hartford Funds Management Company, LLC in order to reflect an adjustment for factors occurring after the close of certain foreign markets but before the close of the New York Stock Exchange. | |
Equity industry classifications used in this report are the Global Industry Classification Standard, which was developed by and is the exclusive property and service mark of MSCI, Inc. and Standard & Poor’s. | |
For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. | |
See “Glossary” for abbreviation descriptions. |
* | Non-income producing. |
(1) | Represents entire or partial securities on loan. See Note 8 in the accompanying Notes to Financial Statements for securities lending information. |
(2) | Currently no rate available. |
(3) | Investment valued using significant unobservable inputs. |
(4) | Current yield as of period end. |
† | See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments. |
64 |
December 31, 2023
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Australia | $ 19,370,763 | $ — | $ 19,370,763 | $ — | ||||
Brazil | 13,360,515 | — | 13,360,515 | — | ||||
Canada | 50,017,086 | 50,017,086 | — | — | ||||
China | 42,601,940 | 5,297,590 | 37,304,350 | — | ||||
Denmark | 15,281,865 | — | 15,281,865 | — | ||||
France | 108,754,297 | — | 108,754,297 | — | ||||
Germany | 92,693,152 | — | 92,693,152 | — | ||||
Hong Kong | 11,069,656 | — | 11,069,656 | — | ||||
India | 32,130,506 | — | 32,130,506 | — | ||||
Indonesia | 7,476,551 | — | 7,476,551 | — | ||||
Italy | 15,115,578 | — | 15,115,578 | — | ||||
Japan | 109,522,693 | — | 109,522,693 | — | ||||
Jersey | 3,132,142 | 3,132,142 | — | — | ||||
Netherlands | 54,076,099 | — | 54,076,099 | — | ||||
South Africa | 10,664,052 | — | 10,664,052 | — | ||||
South Korea | 27,282,905 | — | 27,282,905 | — | ||||
Spain | 10,689,587 | — | 10,689,587 | — | ||||
Switzerland | 47,356,636 | — | 47,356,636 | — | ||||
Taiwan | 29,117,847 | — | 29,117,847 | — | ||||
Thailand | 11,529,227 | 11,529,227 | — | — | ||||
United Kingdom | 100,184,855 | 15,992,053 | 84,192,802 | — | ||||
United States | 37,338,995 | 7,938,228 | 29,400,767 | — | ||||
Preferred Stocks | 14,097,658 | — | 14,097,658 | — | ||||
Rights | 15,073 | 15,073 | — | — | ||||
Warrants | — | — | — | — | ||||
Short-Term Investments | 3,340,987 | 1,406,436 | 1,934,551 | — | ||||
Total | $ 866,220,665 | $ 95,327,835 | $ 770,892,830 | $ — |
(1) | For the year ended December 31, 2023, there were no transfers in and out of Level 3. |
65 |
December 31, 2023
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.6% | |||
Automobiles & Components - 1.5% | |||
116,012 | BorgWarner, Inc. | $ 4,159,030 | |
95,531 | Visteon Corp.* | 11,931,822 | |
16,090,852 | |||
Banks - 0.5% | |||
37,270 | M&T Bank Corp. | 5,108,972 | |
Capital Goods - 12.4% | |||
8,598 | Acuity Brands, Inc. | 1,761,128 | |
71,794 | Axon Enterprise, Inc.* | 18,546,544 | |
52,924 | Builders FirstSource, Inc.* | 8,835,133 | |
157,345 | Fortive Corp. | 11,585,312 | |
161,731 | Graco, Inc. | 14,031,782 | |
56,166 | IDEX Corp. | 12,194,200 | |
140,644 | Ingersoll Rand, Inc. | 10,877,407 | |
45,725 | Lennox International, Inc. | 20,462,852 | |
44,732 | Lincoln Electric Holdings, Inc. | 9,727,421 | |
30,943 | Watsco, Inc. | 13,258,147 | |
119,457 | Westinghouse Air Brake Technologies Corp. | 15,159,093 | |
136,439,019 | |||
Commercial & Professional Services - 3.1% | |||
173,522 | Ceridian HCM Holding, Inc.* | 11,646,797 | |
358,473 | Genpact Ltd. | 12,442,598 | |
80,681 | Robert Half, Inc. | 7,093,473 | |
42,135 | TransUnion | 2,895,096 | |
34,077,964 | |||
Consumer Discretionary Distribution & Retail - 3.6% | |||
169,974 | CarMax, Inc.* | 13,043,805 | |
247,127 | Chewy, Inc. Class A* | 5,839,611 | |
70,403 | Floor & Decor Holdings, Inc. Class A* | 7,854,159 | |
345,716 | Valvoline, Inc.* | 12,992,007 | |
39,729,582 | |||
Consumer Durables & Apparel - 3.6% | |||
23,308 | Deckers Outdoor Corp.* | 15,579,767 | |
3,436 | NVR, Inc.* | 24,053,546 | |
39,633,313 | |||
Consumer Services - 3.7% | |||
91,759 | Choice Hotels International, Inc. | 10,396,295 | |
509,214 | DraftKings, Inc. Class A* | 17,949,793 | |
91,719 | Hyatt Hotels Corp. Class A | 11,961,075 | |
40,307,163 | |||
Consumer Staples Distribution & Retail - 0.7% | |||
109,828 | BJ's Wholesale Club Holdings, Inc.* | 7,321,134 | |
Energy - 4.3% | |||
354,648 | Coterra Energy, Inc. | 9,050,617 | |
438,461 | Marathon Oil Corp. | 10,593,218 | |
221,486 | Ovintiv, Inc. | 9,727,665 | |
210,633 | Targa Resources Corp. | 18,297,689 | |
47,669,189 | |||
Equity Real Estate Investment Trusts (REITs) - 1.3% | |||
88,572 | Lamar Advertising Co. Class A, REIT | 9,413,432 | |
82,343 | Rexford Industrial Realty, Inc. REIT | 4,619,442 | |
14,032,874 | |||
Financial Services - 8.7% | |||
34,413 | Credit Acceptance Corp.*(1) | 18,332,837 | |
75,970 | Hamilton Lane, Inc. Class A | 8,618,037 | |
5,409 | Morningstar, Inc. | 1,548,272 | |
537,157 | Nuvei Corp. | 14,105,743 | |
247,125 | Shift4 Payments, Inc. Class A* | 18,371,273 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.6% - (continued) | |||
Financial Services - 8.7% - (continued) | |||
154,007 | Tradeweb Markets, Inc. Class A | $ 13,996,156 | |
108,733 | WEX, Inc.* | 21,154,005 | |
96,126,323 | |||
Food, Beverage & Tobacco - 0.8% | |||
99,720 | Post Holdings, Inc.* | 8,781,343 | |
Health Care Equipment & Services - 7.1% | |||
113,968 | Acadia Healthcare Co., Inc.* | 8,862,152 | |
798,307 | agilon health, Inc.* | 10,018,753 | |
296,691 | Inari Medical, Inc.* | 19,261,180 | |
34,496 | Molina Healthcare, Inc.* | 12,463,750 | |
63,824 | Shockwave Medical, Inc.* | 12,162,301 | |
78,424 | Veeva Systems, Inc. Class A* | 15,098,188 | |
77,866,324 | |||
Insurance - 2.4% | |||
12,418 | Markel Group, Inc.* | 17,632,318 | |
70,969 | W R Berkley Corp. | 5,018,928 | |
2,557 | White Mountains Insurance Group Ltd. | 3,848,310 | |
26,499,556 | |||
Materials - 2.4% | |||
86,849 | Ball Corp. | 4,995,554 | |
35,401 | Celanese Corp. | 5,500,253 | |
231,506 | Element Solutions, Inc. | 5,357,049 | |
217,081 | Graphic Packaging Holding Co. | 5,351,047 | |
117,906 | Silgan Holdings, Inc. | 5,335,247 | |
26,539,150 | |||
Media & Entertainment - 1.7% | |||
13,334 | Cable One, Inc. | 7,421,571 | |
184,419 | Pinterest, Inc. Class A* | 6,830,880 | |
50,577 | Roku, Inc.* | 4,635,888 | |
18,888,339 | |||
Pharmaceuticals, Biotechnology & Life Sciences - 14.3% | |||
51,838 | Alnylam Pharmaceuticals, Inc.* | 9,922,312 | |
357,465 | Apellis Pharmaceuticals, Inc.* | 21,397,855 | |
148,170 | Bio-Techne Corp. | 11,432,797 | |
243,550 | Exact Sciences Corp.* | 18,017,829 | |
45,534 | ICON PLC* | 12,889,309 | |
89,456 | Jazz Pharmaceuticals PLC* | 11,003,088 | |
3,414 | Mettler-Toledo International, Inc.* | 4,141,046 | |
105,210 | Neurocrine Biosciences, Inc.* | 13,862,470 | |
377,541 | PTC Therapeutics, Inc.* | 10,405,030 | |
50,494 | Repligen Corp.* | 9,078,821 | |
106,810 | Sarepta Therapeutics, Inc.* | 10,299,688 | |
229,621 | Ultragenyx Pharmaceutical, Inc.* | 10,980,476 | |
65,836 | United Therapeutics Corp.* | 14,476,678 | |
157,907,399 | |||
Semiconductors & Semiconductor Equipment - 4.4% | |||
31,931 | First Solar, Inc.* | 5,501,073 | |
48,090 | Lattice Semiconductor Corp.* | 3,317,729 | |
99,822 | MKS Instruments, Inc. | 10,268,689 | |
23,817 | Monolithic Power Systems, Inc. | 15,023,287 | |
34,507 | Onto Innovation, Inc.* | 5,276,121 | |
99,137 | Rambus, Inc.* | 6,766,100 | |
21,718 | Silicon Laboratories, Inc.* | 2,872,640 | |
49,025,639 | |||
Software & Services - 15.6% | |||
37,814 | ANSYS, Inc.* | 13,721,944 | |
48,837 | CyberArk Software Ltd.* | 10,697,745 | |
189,544 | Datadog, Inc. Class A* | 23,006,851 | |
358,345 | Dynatrace, Inc.* | 19,597,888 | |
19,276 | Fair Isaac Corp.* | 22,437,457 |
66 |
December 31, 2023
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.6% - (continued) | |||
Software & Services - 15.6% - (continued) | |||
38,777 | HubSpot, Inc.* | $ 22,511,599 | |
564,354 | Informatica, Inc. Class A* | 16,022,010 | |
48,300 | MongoDB, Inc.* | 19,747,455 | |
50,728 | PTC, Inc.* | 8,875,371 | |
87,869 | Unity Software, Inc.* | 3,592,963 | |
58,884 | VeriSign, Inc.* | 12,127,749 | |
172,339,032 | |||
Technology Hardware & Equipment - 1.8% | |||
39,092 | CDW Corp. | 8,886,393 | |
31,996 | F5, Inc.* | 5,726,644 | |
179,132 | Flex Ltd.* | 5,456,361 | |
20,069,398 | |||
Transportation - 4.9% | |||
130,777 | Expeditors International of Washington, Inc. | 16,634,835 | |
63,615 | JB Hunt Transport Services, Inc. | 12,706,460 | |
149,034 | Knight-Swift Transportation Holdings, Inc. | 8,591,810 | |
220,857 | U-Haul Holding Co. | 15,557,167 | |
53,490,272 | |||
Utilities - 0.8% | |||
41,678 | Atmos Energy Corp. | 4,830,480 | |
162,598 | NiSource, Inc. | 4,316,977 | |
9,147,457 | |||
Total Common Stocks (cost $806,609,255) | $ 1,097,090,294 | ||
SHORT-TERM INVESTMENTS - 0.0% | |||
Repurchase Agreements - 0.0% | |||
$ 40,384 | Fixed Income Clearing Corp. Repurchase Agreement dated 12/29/2023 at 5.32%, due on 01/02/2024 with a maturity value of $40,408; collateralized by U.S. Treasury Inflation Index Note at 0.13%, maturing 07/15/2031, with a market value of $41,239 | $ 40,384 | |
Securities Lending Collateral - 0.0% | |||
16,350 | Goldman Sachs Financial Square Funds, Government Fund, Institutional Class, 5.25%(2) | 16,350 | |
54,500 | HSBC U.S. Government Money Market Fund, Institutional Class, 5.31%(2) | 54,500 |
Shares or Principal Amount | Market Value† | ||
SHORT-TERM INVESTMENTS - 0.0% - (continued) | |||
Securities Lending Collateral - 0.0% - (continued) | |||
16,350 | Invesco Government & Agency Portfolio, Institutional Class, 5.28%(2) | $ 16,350 | |
16,350 | Morgan Stanley Institutional Liquidity Funds, Government Portfolio, Institutional Class, 5.27%(2) | 16,350 | |
103,550 | |||
Total Short-Term Investments (cost $143,934) | $ 143,934 | ||
Total Investments (cost $806,753,189) | 99.6% | $ 1,097,234,228 | |
Other Assets and Liabilities | 0.4% | 3,921,762 | |
Total Net Assets | 100.0% | $ 1,101,155,990 |
Note: | Percentage of investments as shown is the ratio of the total market value to total net assets. |
Prices of foreign equities that are principally traded on certain foreign markets will generally be adjusted daily pursuant to a fair value pricing service approved by Hartford Funds Management Company, LLC in order to reflect an adjustment for factors occurring after the close of certain foreign markets but before the close of the New York Stock Exchange. | |
Equity industry classifications used in this report are the Global Industry Classification Standard, which was developed by and is the exclusive property and service mark of MSCI, Inc. and Standard & Poor’s. | |
For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. | |
See “Glossary” for abbreviation descriptions. |
* | Non-income producing. |
(1) | Represents entire or partial securities on loan. See Note 8 in the accompanying Notes to Financial Statements for securities lending information. |
(2) | Current yield as of period end. |
† | See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments. |
67 |
December 31, 2023
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Automobiles & Components | $ 16,090,852 | $ 16,090,852 | $ — | $ — | ||||
Banks | 5,108,972 | 5,108,972 | — | — | ||||
Capital Goods | 136,439,019 | 136,439,019 | — | — | ||||
Commercial & Professional Services | 34,077,964 | 34,077,964 | — | — | ||||
Consumer Discretionary Distribution & Retail | 39,729,582 | 39,729,582 | — | — | ||||
Consumer Durables & Apparel | 39,633,313 | 39,633,313 | — | — | ||||
Consumer Services | 40,307,163 | 40,307,163 | — | — | ||||
Consumer Staples Distribution & Retail | 7,321,134 | 7,321,134 | — | — | ||||
Energy | 47,669,189 | 47,669,189 | — | — | ||||
Equity Real Estate Investment Trusts (REITs) | 14,032,874 | 14,032,874 | — | — | ||||
Financial Services | 96,126,323 | 96,126,323 | — | — | ||||
Food, Beverage & Tobacco | 8,781,343 | 8,781,343 | — | — | ||||
Health Care Equipment & Services | 77,866,324 | 77,866,324 | — | — | ||||
Insurance | 26,499,556 | 26,499,556 | — | — | ||||
Materials | 26,539,150 | 26,539,150 | — | — | ||||
Media & Entertainment | 18,888,339 | 18,888,339 | — | — | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 157,907,399 | 157,907,399 | — | — | ||||
Semiconductors & Semiconductor Equipment | 49,025,639 | 49,025,639 | — | — | ||||
Software & Services | 172,339,032 | 172,339,032 | — | — | ||||
Technology Hardware & Equipment | 20,069,398 | 20,069,398 | — | — | ||||
Transportation | 53,490,272 | 53,490,272 | — | — | ||||
Utilities | 9,147,457 | 9,147,457 | — | — | ||||
Short-Term Investments | 143,934 | 103,550 | 40,384 | — | ||||
Total | $ 1,097,234,228 | $ 1,097,193,844 | $ 40,384 | $ — |
(1) | For the year ended December 31, 2023, there were no transfers in and out of Level 3. |
68 |
December 31, 2023
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.0% | |||
Automobiles & Components - 1.6% | |||
27,487 | Patrick Industries, Inc. | $ 2,758,321 | |
77,907 | Visteon Corp.* | 9,730,584 | |
12,488,905 | |||
Banks - 1.2% | |||
113,830 | Synovus Financial Corp. | 4,285,699 | |
63,728 | Triumph Financial, Inc.* | 5,109,711 | |
9,395,410 | |||
Capital Goods - 14.5% | |||
63,231 | Applied Industrial Technologies, Inc. | 10,919,361 | |
182,906 | AZEK Co., Inc.* | 6,996,154 | |
46,388 | Boise Cascade Co. | 6,000,752 | |
55,781 | Chart Industries, Inc.* | 7,604,624 | |
33,265 | Comfort Systems USA, Inc. | 6,841,613 | |
26,448 | Curtiss-Wright Corp. | 5,892,350 | |
207,851 | Fluor Corp.* | 8,141,524 | |
200,736 | FTAI Aviation Ltd. | 9,314,150 | |
14,493 | Herc Holdings, Inc. | 2,157,863 | |
720,684 | Hillman Solutions Corp.* | 6,637,500 | |
34,636 | ITT, Inc. | 4,132,767 | |
75,327 | John Bean Technologies Corp. | 7,491,270 | |
133,949 | Rush Enterprises, Inc. Class A | 6,737,635 | |
311,607 | Shoals Technologies Group, Inc. Class A* | 4,842,373 | |
84,002 | SPX Technologies, Inc.* | 8,485,042 | |
79,037 | WillScot Mobile Mini Holdings Corp.* | 3,517,146 | |
163,153 | Zurn Elkay Water Solutions Corp. Class C | 4,798,330 | |
110,510,454 | |||
Commercial & Professional Services - 5.7% | |||
17,239 | CACI International, Inc. Class A* | 5,583,022 | |
56,234 | Casella Waste Systems, Inc. Class A* | 4,805,758 | |
50,630 | Ceridian HCM Holding, Inc.* | 3,398,286 | |
34,514 | Clean Harbors, Inc.* | 6,023,038 | |
129,192 | ExlService Holdings, Inc.* | 3,985,573 | |
24,582 | Insperity, Inc. | 2,881,502 | |
56,408 | KBR, Inc. | 3,125,567 | |
26,198 | TriNet Group, Inc.* | 3,115,728 | |
444,566 | Verra Mobility Corp.* | 10,238,355 | |
43,156,829 | |||
Consumer Discretionary Distribution & Retail - 2.5% | |||
65,176 | Boot Barn Holdings, Inc.* | 5,002,910 | |
23,520 | Burlington Stores, Inc.* | 4,574,169 | |
188,682 | Chewy, Inc. Class A* | 4,458,556 | |
64,119 | Etsy, Inc.* | 5,196,845 | |
19,232,480 | |||
Consumer Durables & Apparel - 3.9% | |||
67,017 | Century Communities, Inc. | 6,107,929 | |
33,246 | Crocs, Inc.* | 3,105,509 | |
21,454 | PVH Corp. | 2,619,963 | |
124,504 | SharkNinja, Inc. | 6,370,870 | |
261,981 | VF Corp. | 4,925,243 | |
122,730 | YETI Holdings, Inc.* | 6,354,959 | |
29,484,473 | |||
Consumer Services - 4.1% | |||
26,370 | Duolingo, Inc.* | 5,982,034 | |
314,462 | European Wax Center, Inc. Class A* | 4,273,539 | |
53,177 | Texas Roadhouse, Inc. | 6,499,825 | |
24,350 | Wingstop, Inc. | 6,247,723 | |
102,166 | Wyndham Hotels & Resorts, Inc. | 8,215,168 | |
31,218,289 | |||
Energy - 4.4% | |||
88,903 | Cactus, Inc. Class A | 4,036,196 | |
30,622 | Chord Energy Corp. | 5,090,295 | |
30,913 | Gulfport Energy Corp.* | 4,117,612 | |
125,086 | Helmerich & Payne, Inc. | 4,530,615 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.0% - (continued) | |||
Energy - 4.4% - (continued) | |||
256,942 | Magnolia Oil & Gas Corp. Class A | $ 5,470,295 | |
124,667 | SM Energy Co. | 4,827,106 | |
52,844 | Weatherford International PLC* | 5,169,729 | |
33,241,848 | |||
Equity Real Estate Investment Trusts (REITs) - 1.6% | |||
190,214 | Phillips Edison & Co., Inc. REIT | 6,939,007 | |
49,986 | Ryman Hospitality Properties, Inc. REIT | 5,501,459 | |
12,440,466 | |||
Financial Services - 4.4% | |||
357,137 | MGIC Investment Corp. | 6,889,173 | |
240,277 | Remitly Global, Inc.* | 4,666,179 | |
28,118 | Shift4 Payments, Inc. Class A* | 2,090,292 | |
176,224 | StepStone Group, Inc. Class A | 5,609,210 | |
110,903 | Stifel Financial Corp. | 7,668,943 | |
33,726 | WEX, Inc.* | 6,561,393 | |
33,485,190 | |||
Food, Beverage & Tobacco - 1.5% | |||
12,676 | Boston Beer Co., Inc. Class A* | 4,380,699 | |
81,470 | Freshpet, Inc.* | 7,068,337 | |
11,449,036 | |||
Health Care Equipment & Services - 9.7% | |||
108,130 | AtriCure, Inc.* | 3,859,160 | |
120,074 | Encompass Health Corp. | 8,011,337 | |
93,256 | Ensign Group, Inc. | 10,464,256 | |
88,284 | Haemonetics Corp.* | 7,549,165 | |
98,975 | HealthEquity, Inc.* | 6,562,043 | |
80,035 | Inari Medical, Inc.* | 5,195,872 | |
22,491 | Inspire Medical Systems, Inc.* | 4,575,344 | |
52,947 | iRhythm Technologies, Inc.* | 5,667,447 | |
59,705 | Lantheus Holdings, Inc.* | 3,701,710 | |
213,123 | Option Care Health, Inc.* | 7,180,114 | |
97,157 | Owens & Minor, Inc.* | 1,872,215 | |
45,467 | QuidelOrtho Corp.* | 3,350,918 | |
166,777 | RadNet, Inc.* | 5,798,836 | |
73,788,417 | |||
Household & Personal Products - 1.5% | |||
80,352 | elf Beauty, Inc.* | 11,598,008 | |
Insurance - 0.6% | |||
42,521 | Selective Insurance Group, Inc. | 4,229,989 | |
Materials - 4.3% | |||
200,100 | Axalta Coating Systems Ltd.* | 6,797,397 | |
123,102 | Cabot Corp. | 10,279,017 | |
47,771 | FMC Corp. | 3,011,962 | |
367,430 | Livent Corp.*(1) | 6,606,391 | |
88,146 | Louisiana-Pacific Corp. | 6,243,381 | |
32,938,148 | |||
Media & Entertainment - 1.5% | |||
131,626 | Bumble, Inc. Class A* | 1,940,167 | |
444,654 | Eventbrite, Inc. Class A* | 3,717,308 | |
325,962 | ZoomInfo Technologies, Inc.* | 6,027,037 | |
11,684,512 | |||
Pharmaceuticals, Biotechnology & Life Sciences - 12.7% | |||
86,153 | Akero Therapeutics, Inc.* | 2,011,673 | |
234,945 | Alkermes PLC* | 6,517,374 | |
260,176 | Amicus Therapeutics, Inc.* | 3,691,897 | |
50,050 | Apogee Therapeutics, Inc.*(1) | 1,398,397 | |
72,130 | Blueprint Medicines Corp.* | 6,653,271 | |
72,143 | Bridgebio Pharma, Inc.* | 2,912,413 | |
99,523 | Celldex Therapeutics, Inc.* | 3,947,082 | |
134,084 | Crinetics Pharmaceuticals, Inc.* | 4,770,709 | |
291,419 | Cytek Biosciences, Inc.* | 2,657,741 | |
92,134 | Cytokinetics, Inc.* | 7,692,268 |
69 |
December 31, 2023
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.0% - (continued) | |||
Pharmaceuticals, Biotechnology & Life Sciences - 12.7% - (continued) | |||
127,191 | Denali Therapeutics, Inc.* | $ 2,729,519 | |
888,166 | Geron Corp.*(1) | 1,874,030 | |
41,914 | Intellia Therapeutics, Inc.* | 1,277,958 | |
103,096 | Intra-Cellular Therapies, Inc.* | 7,383,735 | |
59,680 | Ionis Pharmaceuticals, Inc.* | 3,019,211 | |
68,487 | Kymera Therapeutics, Inc.* | 1,743,679 | |
28,908 | MoonLake Immunotherapeutics*(1) | 1,745,754 | |
66,591 | Morphic Holding, Inc.* | 1,923,148 | |
49,262 | Nuvalent, Inc. Class A* | 3,625,191 | |
51,235 | Prothena Corp. PLC* | 1,861,880 | |
61,584 | RayzeBio, Inc.* | 3,828,677 | |
172,750 | Revolution Medicines, Inc.* | 4,954,470 | |
122,845 | Rocket Pharmaceuticals, Inc.* | 3,681,665 | |
56,456 | Sage Therapeutics, Inc.* | 1,223,401 | |
36,043 | Structure Therapeutics, Inc. ADR* | 1,469,113 | |
54,019 | Ultragenyx Pharmaceutical, Inc.* | 2,583,189 | |
103,828 | Vaxcyte, Inc.* | 6,520,398 | |
107,225 | Veracyte, Inc.* | 2,949,760 | |
96,647,603 | |||
Semiconductors & Semiconductor Equipment - 5.1% | |||
28,986 | Axcelis Technologies, Inc.* | 3,759,194 | |
49,418 | Cirrus Logic, Inc.* | 4,111,083 | |
173,751 | Credo Technology Group Holding Ltd.* | 3,382,932 | |
77,119 | FormFactor, Inc.* | 3,216,634 | |
54,404 | MKS Instruments, Inc. | 5,596,540 | |
43,976 | Onto Innovation, Inc.* | 6,723,930 | |
80,943 | Power Integrations, Inc. | 6,646,230 | |
83,627 | Rambus, Inc.* | 5,707,543 | |
39,144,086 | |||
Software & Services - 13.8% | |||
63,803 | Agilysys, Inc.* | 5,411,770 | |
89,197 | Alarm.com Holdings, Inc.* | 5,763,910 | |
83,706 | Altair Engineering, Inc. Class A* | 7,043,860 | |
26,311 | Appfolio, Inc. Class A* | 4,558,118 | |
105,471 | Blackbaud, Inc.* | 9,144,336 | |
84,641 | Braze, Inc. Class A* | 4,496,976 | |
287,544 | CCC Intelligent Solutions Holdings, Inc.* | 3,275,126 | |
106,289 | DoubleVerify Holdings, Inc.* | 3,909,309 | |
47,368 | Five9, Inc.* | 3,727,388 | |
299,765 | Grid Dynamics Holdings, Inc.* | 3,995,867 | |
51,275 | Guidewire Software, Inc.* | 5,591,026 | |
130,828 | Intapp, Inc.* | 4,974,081 | |
74,758 | Perficient, Inc.* | 4,920,572 | |
219,077 | PowerSchool Holdings, Inc. Class A* | 5,161,454 | |
41,065 | Rapid7, Inc.* | 2,344,812 | |
206,984 | Sprinklr, Inc. Class A* | 2,492,087 | |
99,055 | Sprout Social, Inc. Class A* | 6,085,939 | |
31,850 | SPS Commerce, Inc.* | 6,173,804 | |
207,189 | Squarespace, Inc. Class A* | 6,839,309 | |
111,315 | Varonis Systems, Inc.* | 5,040,343 | |
38,226 | Workiva, Inc.* | 3,881,086 | |
104,831,173 | |||
Technology Hardware & Equipment - 4.4% | |||
57,740 | Fabrinet * | 10,989,654 | |
48,818 | Insight Enterprises, Inc.* | 8,650,061 | |
12,383 | Littelfuse, Inc. | 3,313,196 | |
39,844 | Novanta, Inc.* | 6,710,128 | |
14,505 | Super Micro Computer, Inc.* | 4,123,191 | |
33,786,230 | |||
Total Common Stocks (cost $588,919,154) | $ 754,751,546 |
Shares or Principal Amount | Market Value† | ||
EXCHANGE-TRADED FUNDS - 0.5% | |||
Other Investment Pools & Funds - 0.5% | |||
13,827 | iShares Russell 2000 Growth ETF | $ 3,487,446 | |
Total Exchange-Traded Funds (cost $2,800,306) | $ 3,487,446 | ||
Total Long-Term Investments (cost $591,719,460) | $ 758,238,992 | ||
SHORT-TERM INVESTMENTS - 0.9% | |||
Repurchase Agreements - 0.1% | |||
$ 803,940 | Fixed Income Clearing Corp. Repurchase Agreement dated 12/29/2023 at 5.32%, due on 01/02/2024 with a maturity value of $804,415; collateralized by U.S. Treasury Inflation Index Note at 0.13%, maturing 07/15/2031, with a market value of $820,042 | $ 803,940 | |
Securities Lending Collateral - 0.8% | |||
1,008,416 | Goldman Sachs Financial Square Funds, Government Fund, Institutional Class, 5.25%(2) | 1,008,416 | |
3,361,387 | HSBC U.S. Government Money Market Fund, Institutional Class, 5.31%(2) | 3,361,387 | |
1,008,416 | Invesco Government & Agency Portfolio, Institutional Class, 5.28%(2) | 1,008,416 | |
1,008,416 | Morgan Stanley Institutional Liquidity Funds, Government Portfolio, Institutional Class, 5.27%(2) | 1,008,416 | |
6,386,635 | |||
Total Short-Term Investments (cost $7,190,575) | $ 7,190,575 | ||
Total Investments (cost $598,910,035) | 100.4% | $ 765,429,567 | |
Other Assets and Liabilities | (0.4)% | (2,947,823) | |
Total Net Assets | 100.0% | $ 762,481,744 |
Note: | Percentage of investments as shown is the ratio of the total market value to total net assets. |
Equity industry classifications used in this report are the Global Industry Classification Standard, which was developed by and is the exclusive property and service mark of MSCI, Inc. and Standard & Poor’s. | |
For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. | |
See “Glossary” for abbreviation descriptions. |
* | Non-income producing. |
(1) | Represents entire or partial securities on loan. See Note 8 in the accompanying Notes to Financial Statements for securities lending information. |
(2) | Current yield as of period end. |
† | See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments. |
70 |
December 31, 2023
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Automobiles & Components | $ 12,488,905 | $ 12,488,905 | $ — | $ — | ||||
Banks | 9,395,410 | 9,395,410 | — | — | ||||
Capital Goods | 110,510,454 | 110,510,454 | — | — | ||||
Commercial & Professional Services | 43,156,829 | 43,156,829 | — | — | ||||
Consumer Discretionary Distribution & Retail | 19,232,480 | 19,232,480 | — | — | ||||
Consumer Durables & Apparel | 29,484,473 | 29,484,473 | — | — | ||||
Consumer Services | 31,218,289 | 31,218,289 | — | — | ||||
Energy | 33,241,848 | 33,241,848 | — | — | ||||
Equity Real Estate Investment Trusts (REITs) | 12,440,466 | 12,440,466 | — | — | ||||
Financial Services | 33,485,190 | 33,485,190 | — | — | ||||
Food, Beverage & Tobacco | 11,449,036 | 11,449,036 | — | — | ||||
Health Care Equipment & Services | 73,788,417 | 73,788,417 | — | — | ||||
Household & Personal Products | 11,598,008 | 11,598,008 | — | — | ||||
Insurance | 4,229,989 | 4,229,989 | — | — | ||||
Materials | 32,938,148 | 32,938,148 | — | — | ||||
Media & Entertainment | 11,684,512 | 11,684,512 | — | — | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 96,647,603 | 96,647,603 | — | — | ||||
Semiconductors & Semiconductor Equipment | 39,144,086 | 39,144,086 | — | — | ||||
Software & Services | 104,831,173 | 104,831,173 | — | — | ||||
Technology Hardware & Equipment | 33,786,230 | 33,786,230 | — | — | ||||
Exchange-Traded Funds | 3,487,446 | 3,487,446 | — | — | ||||
Short-Term Investments | 7,190,575 | 6,386,635 | 803,940 | — | ||||
Total | $ 765,429,567 | $ 764,625,627 | $ 803,940 | $ — |
(1) | For the year ended December 31, 2023, there were no transfers in and out of Level 3. |
71 |
December 31, 2023
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.5% | |||
Automobiles & Components - 0.9% | |||
29,804 | Visteon Corp.* | $ 3,722,520 | |
Banks - 1.0% | |||
151,415 | Cadence Bank | 4,480,370 | |
Capital Goods - 15.8% | |||
17,326 | Acuity Brands, Inc. | 3,548,885 | |
97,756 | Ameresco, Inc. Class A* | 3,095,933 | |
62,501 | Applied Industrial Technologies, Inc. | 10,793,298 | |
224,873 | AZEK Co., Inc.* | 8,601,392 | |
28,028 | Comfort Systems USA, Inc. | 5,764,519 | |
31,836 | Curtiss-Wright Corp. | 7,092,742 | |
238,396 | Fluor Corp.* | 9,337,971 | |
26,745 | Middleby Corp.* | 3,936,062 | |
101,695 | Rush Enterprises, Inc. Class A | 5,115,258 | |
275,126 | Shoals Technologies Group, Inc. Class A* | 4,275,458 | |
222,642 | Zurn Elkay Water Solutions Corp. Class C | 6,547,901 | |
68,109,419 | |||
Commercial & Professional Services - 7.0% | |||
142,812 | Aris Water Solutions, Inc. Class A | 1,198,193 | |
54,385 | Casella Waste Systems, Inc. Class A* | 4,647,742 | |
244,153 | ExlService Holdings, Inc.* | 7,532,120 | |
53,719 | TriNet Group, Inc.* | 6,388,800 | |
456,863 | Verra Mobility Corp.* | 10,521,555 | |
30,288,410 | |||
Consumer Discretionary Distribution & Retail - 2.0% | |||
37,993 | Boot Barn Holdings, Inc.* | 2,916,343 | |
100,127 | Global-e Online Ltd.* | 3,968,033 | |
43,094 | Tory Burch LLC*(1)(2) | 1,818,137 | |
8,702,513 | |||
Consumer Durables & Apparel - 3.5% | |||
44,085 | Crocs, Inc.* | 4,117,980 | |
90,846 | Skyline Champion Corp.* | 6,746,224 | |
84,875 | YETI Holdings, Inc.* | 4,394,827 | |
15,259,031 | |||
Consumer Services - 6.4% | |||
84,116 | Boyd Gaming Corp. | 5,266,503 | |
17,338 | Duolingo, Inc.* | 3,933,125 | |
150,547 | European Wax Center, Inc. Class A* | 2,045,934 | |
109,507 | H&R Block, Inc. | 5,296,853 | |
40,654 | Wingstop, Inc. | 10,431,003 | |
101,681 | WW International, Inc.* | 889,709 | |
27,863,127 | |||
Energy - 5.1% | |||
125,958 | Cactus, Inc. Class A | 5,718,493 | |
31,100 | Chord Energy Corp. | 5,169,753 | |
87,195 | Seadrill Ltd.* | 4,122,580 | |
220,806 | Viper Energy, Inc. | 6,928,892 | |
21,939,718 | |||
Equity Real Estate Investment Trusts (REITs) - 3.0% | |||
155,027 | Phillips Edison & Co., Inc. REIT | 5,655,385 | |
67,215 | Ryman Hospitality Properties, Inc. REIT | 7,397,683 | |
13,053,068 | |||
Financial Services - 2.4% | |||
173,159 | Hannon Armstrong Sustainable Infrastructure Capital, Inc. REIT | 4,775,725 | |
52,908 | PJT Partners, Inc. Class A | 5,389,738 | |
10,165,463 | |||
Food, Beverage & Tobacco - 2.4% | |||
124,077 | Celsius Holdings, Inc.* | 6,764,678 | |
87,414 | TreeHouse Foods, Inc.* | 3,623,310 | |
10,387,988 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.5% - (continued) | |||
Health Care Equipment & Services - 10.3% | |||
52,921 | Acadia Healthcare Co., Inc.* | $ 4,115,136 | |
149,588 | Cross Country Healthcare, Inc.* | 3,386,672 | |
59,593 | Glaukos Corp.* | 4,737,048 | |
73,665 | Haemonetics Corp.* | 6,299,094 | |
56,653 | HealthEquity, Inc.* | 3,756,094 | |
71,623 | Inari Medical, Inc.* | 4,649,765 | |
24,646 | Inspire Medical Systems, Inc.* | 5,013,736 | |
13,837 | Lantheus Holdings, Inc.* | 857,894 | |
189,421 | PROCEPT BioRobotics Corp.*(3) | 7,938,634 | |
19,353 | Shockwave Medical, Inc.* | 3,687,908 | |
44,441,981 | |||
Household & Personal Products - 2.3% | |||
68,968 | elf Beauty, Inc.* | 9,954,841 | |
Insurance - 1.0% | |||
385,011 | SiriusPoint Ltd.* | 4,466,128 | |
Materials - 3.1% | |||
111,349 | Cabot Corp. | 9,297,641 | |
233,375 | Livent Corp.*(3) | 4,196,083 | |
13,493,724 | |||
Media & Entertainment - 3.4% | |||
134,752 | Cargurus, Inc.* | 3,255,608 | |
125,955 | Criteo SA ADR* | 3,189,180 | |
504,899 | Eventbrite, Inc. Class A* | 4,220,956 | |
62,004 | Ziff Davis, Inc.* | 4,166,049 | |
14,831,793 | |||
Pharmaceuticals, Biotechnology & Life Sciences - 12.6% | |||
27,195 | Akero Therapeutics, Inc.* | 635,003 | |
152,307 | Amicus Therapeutics, Inc.* | 2,161,236 | |
43,047 | Apellis Pharmaceuticals, Inc.* | 2,576,793 | |
9,645 | Ascendis Pharma AS ADR* | 1,214,788 | |
35,907 | Blueprint Medicines Corp.* | 3,312,062 | |
76,618 | Celldex Therapeutics, Inc.* | 3,038,670 | |
82,854 | Crinetics Pharmaceuticals, Inc.* | 2,947,945 | |
51,152 | Cytokinetics, Inc.* | 4,270,681 | |
163,556 | Immatics NV* | 1,722,245 | |
36,780 | Immunocore Holdings PLC ADR* | 2,512,810 | |
62,743 | ImmunoGen, Inc.* | 1,860,330 | |
42,255 | Intellia Therapeutics, Inc.* | 1,288,355 | |
73,278 | Intra-Cellular Therapies, Inc.* | 5,248,170 | |
40,351 | Kymera Therapeutics, Inc.* | 1,027,337 | |
52,662 | Merus NV* | 1,448,205 | |
36,891 | Morphic Holding, Inc.* | 1,065,412 | |
26,650 | Prothena Corp. PLC* | 968,461 | |
51,847 | PTC Therapeutics, Inc.* | 1,428,903 | |
51,757 | Revance Therapeutics, Inc.* | 454,944 | |
59,624 | Revolution Medicines, Inc.* | 1,710,016 | |
138,276 | Rocket Pharmaceuticals, Inc.* | 4,144,132 | |
27,592 | Structure Therapeutics, Inc. ADR* | 1,124,650 | |
111,370 | Syndax Pharmaceuticals, Inc.* | 2,406,706 | |
57,314 | Vaxcyte, Inc.* | 3,599,319 | |
111,224 | Verona Pharma PLC ADR* | 2,211,133 | |
54,378,306 | |||
Semiconductors & Semiconductor Equipment - 3.1% | |||
32,058 | MKS Instruments, Inc. | 3,297,807 | |
24,789 | SiTime Corp.* | 3,026,241 | |
40,196 | Synaptics, Inc.* | 4,585,560 | |
12,505 | Universal Display Corp. | 2,391,706 | |
13,301,314 | |||
Software & Services - 10.8% | |||
162,922 | Clearwater Analytics Holdings, Inc. Class A* | 3,263,328 | |
27,920 | CyberArk Software Ltd.* | 6,115,876 | |
192,242 | DoubleVerify Holdings, Inc.* | 7,070,661 | |
69,391 | Five9, Inc.* | 5,460,378 |
72 |
December 31, 2023
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.5% - (continued) | |||
Software & Services - 10.8% - (continued) | |||
62,626 | Intapp, Inc.* | $ 2,381,040 | |
251,884 | Jamf Holding Corp.* | 4,549,025 | |
19,464 | Manhattan Associates, Inc.* | 4,190,988 | |
294,896 | PowerSchool Holdings, Inc. Class A* | 6,947,750 | |
35,140 | RingCentral, Inc. Class A* | 1,193,003 | |
86,055 | Sprout Social, Inc. Class A* | 5,287,219 | |
46,459,268 | |||
Technology Hardware & Equipment - 3.4% | |||
139,576 | Calix, Inc.* | 6,098,076 | |
35,868 | ePlus, Inc.* | 2,863,701 | |
34,462 | Novanta, Inc.* | 5,803,745 | |
14,765,522 | |||
Total Common Stocks (cost $361,630,707) | $ 430,064,504 | ||
EXCHANGE-TRADED FUNDS - 0.3% | |||
Other Investment Pools & Funds - 0.3% | |||
5,371 | iShares Russell 2000 Growth ETF | $ 1,354,674 | |
Total Exchange-Traded Funds (cost $1,149,907) | $ 1,354,674 | ||
Total Long-Term Investments (cost $362,780,614) | $ 431,419,178 | ||
SHORT-TERM INVESTMENTS - 0.6% | |||
Repurchase Agreements - 0.1% | |||
$ 169,619 | Fixed Income Clearing Corp. Repurchase Agreement dated 12/29/2023 at 5.32%, due on 01/02/2024 with a maturity value of $169,719; collateralized by U.S. Treasury Inflation Index Note at 0.13%, maturing 07/15/2031, with a market value of $173,079 | $ 169,619 | |
Securities Lending Collateral - 0.5% | |||
349,070 | Goldman Sachs Financial Square Funds, Government Fund, Institutional Class, 5.25%(4) | 349,070 | |
1,163,567 | HSBC U.S. Government Money Market Fund, Institutional Class, 5.31%(4) | 1,163,567 | |
349,070 | Invesco Government & Agency Portfolio, Institutional Class, 5.28%(4) | 349,070 | |
349,069 | Morgan Stanley Institutional Liquidity Funds, Government Portfolio, Institutional Class, 5.27%(4) | 349,069 | |
2,210,776 | |||
Total Short-Term Investments (cost $2,380,395) | $ 2,380,395 | ||
Total Investments (cost $365,161,009) | 100.4% | $ 433,799,573 | |
Other Assets and Liabilities | (0.4)% | (1,628,414) | |
Total Net Assets | 100.0% | $ 432,171,159 |
Note: | Percentage of investments as shown is the ratio of the total market value to total net assets. |
Equity industry classifications used in this report are the Global Industry Classification Standard, which was developed by and is the exclusive property and service mark of MSCI, Inc. and Standard & Poor’s. | |
For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. | |
See “Glossary” for abbreviation descriptions. |
* | Non-income producing. |
(1) | Investment in securities not registered under the Securities Act of 1933 (excluding securities acquired pursuant to Rule 144A and Regulation S). At the end of the period, the value of such restricted securities amounted to $1,818,137 or 0.4% of net assets. |
Period Acquired | Security Name | Shares/ Par Value | Total Cost | Market Value | ||||
11/2013 | Tory Burch LLC | 43,094 | $ 3,377,559 | $ 1,818,137 |
(2) | Investment valued using significant unobservable inputs. |
(3) | Represents entire or partial securities on loan. See Note 8 in the accompanying Notes to Financial Statements for securities lending information. |
(4) | Current yield as of period end. |
† | See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments. |
73 |
December 31, 2023
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Automobiles & Components | $ 3,722,520 | $ 3,722,520 | $ — | $ — | ||||
Banks | 4,480,370 | 4,480,370 | — | — | ||||
Capital Goods | 68,109,419 | 68,109,419 | — | — | ||||
Commercial & Professional Services | 30,288,410 | 30,288,410 | — | — | ||||
Consumer Discretionary Distribution & Retail | 8,702,513 | 6,884,376 | — | 1,818,137 | ||||
Consumer Durables & Apparel | 15,259,031 | 15,259,031 | — | — | ||||
Consumer Services | 27,863,127 | 27,863,127 | — | — | ||||
Energy | 21,939,718 | 21,939,718 | — | — | ||||
Equity Real Estate Investment Trusts (REITs) | 13,053,068 | 13,053,068 | — | — | ||||
Financial Services | 10,165,463 | 10,165,463 | — | — | ||||
Food, Beverage & Tobacco | 10,387,988 | 10,387,988 | — | — | ||||
Health Care Equipment & Services | 44,441,981 | 44,441,981 | — | — | ||||
Household & Personal Products | 9,954,841 | 9,954,841 | — | — | ||||
Insurance | 4,466,128 | 4,466,128 | — | — | ||||
Materials | 13,493,724 | 13,493,724 | — | — | ||||
Media & Entertainment | 14,831,793 | 14,831,793 | — | — | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 54,378,306 | 54,378,306 | �� | — | — | |||
Semiconductors & Semiconductor Equipment | 13,301,314 | 13,301,314 | — | — | ||||
Software & Services | 46,459,268 | 46,459,268 | — | — | ||||
Technology Hardware & Equipment | 14,765,522 | 14,765,522 | — | — | ||||
Exchange-Traded Funds | 1,354,674 | 1,354,674 | — | — | ||||
Short-Term Investments | 2,380,395 | 2,210,776 | 169,619 | — | ||||
Total | $ 433,799,573 | $ 431,811,817 | $ 169,619 | $ 1,818,137 |
(1) | For the year ended December 31, 2023, there were no transfers in and out of Level 3. |
74 |
December 31, 2023
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.5% | |||
Banks - 1.1% | |||
94,403 | PNC Financial Services Group, Inc. | $ 14,618,305 | |
Capital Goods - 12.6% | |||
33,450 | Deere & Co. | 13,375,652 | |
131,420 | General Dynamics Corp. | 34,125,831 | |
205,192 | Honeywell International, Inc. | 43,030,814 | |
43,029 | Lockheed Martin Corp. | 19,502,464 | |
84,018 | Northrop Grumman Corp. | 39,332,187 | |
225,792 | RTX Corp. | 18,998,139 | |
168,365,087 | |||
Commercial & Professional Services - 1.8% | |||
101,859 | Automatic Data Processing, Inc. | 23,730,091 | |
Consumer Discretionary Distribution & Retail - 4.9% | |||
74,397 | Home Depot, Inc. | 25,782,280 | |
419,177 | TJX Cos., Inc. | 39,322,995 | |
65,105,275 | |||
Consumer Durables & Apparel - 2.8% | |||
346,512 | NIKE, Inc. Class B | 37,620,808 | |
Consumer Services - 2.9% | |||
132,553 | McDonald's Corp. | 39,303,290 | |
Consumer Staples Distribution & Retail - 2.4% | |||
49,486 | Costco Wholesale Corp. | 32,664,719 | |
Equity Real Estate Investment Trusts (REITs) - 3.3% | |||
112,771 | American Tower Corp. REIT | 24,345,003 | |
64,825 | Public Storage REIT | 19,771,625 | |
44,116,628 | |||
Financial Services - 8.7% | |||
191,537 | American Express Co. | 35,882,542 | |
88,053 | Mastercard, Inc. Class A | 37,555,485 | |
162,512 | Visa, Inc. Class A | 42,309,999 | |
115,748,026 | |||
Food, Beverage & Tobacco - 6.9% | |||
487,181 | Coca-Cola Co. | 28,709,576 | |
798,270 | Diageo PLC | 28,973,337 | |
201,452 | PepsiCo, Inc. | 34,214,608 | |
91,897,521 | |||
Health Care Equipment & Services - 11.5% | |||
301,236 | Abbott Laboratories | 33,157,047 | |
299,242 | Medtronic PLC | 24,651,556 | |
156,503 | Stryker Corp. | 46,866,388 | |
93,884 | UnitedHealth Group, Inc. | 49,427,109 | |
154,102,100 | |||
Household & Personal Products - 5.5% | |||
484,759 | Colgate-Palmolive Co. | 38,640,140 | |
239,190 | Procter & Gamble Co. | 35,050,903 | |
73,691,043 | |||
Insurance - 4.8% | |||
124,238 | Chubb Ltd. | 28,077,788 | |
193,917 | Marsh & McLennan Cos., Inc. | 36,741,454 | |
64,819,242 | |||
Materials - 5.2% | |||
149,214 | Ecolab, Inc. | 29,596,597 | |
97,910 | Linde PLC | 40,212,616 | |
69,809,213 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.5% - (continued) | |||
Pharmaceuticals, Biotechnology & Life Sciences - 7.4% | |||
182,818 | Danaher Corp. | $ 42,293,116 | |
195,378 | Johnson & Johnson | 30,623,548 | |
169,046 | Merck & Co., Inc. | 18,429,395 | |
260,683 | Pfizer, Inc. | 7,505,063 | |
98,851,122 | |||
Semiconductors & Semiconductor Equipment - 2.4% | |||
188,044 | Texas Instruments, Inc. | 32,053,980 | |
Software & Services - 8.5% | |||
117,695 | Accenture PLC Class A | 41,300,352 | |
24,041 | Intuit, Inc. | 15,026,346 | |
153,813 | Microsoft Corp. | 57,839,841 | |
114,166,539 | |||
Transportation - 6.8% | |||
269,526 | Canadian National Railway Co. | 33,877,631 | |
134,985 | Union Pacific Corp. | 33,155,016 | |
156,250 | United Parcel Service, Inc. Class B | 24,567,187 | |
91,599,834 | |||
Total Common Stocks (cost $704,085,310) | $ 1,332,262,823 | ||
SHORT-TERM INVESTMENTS - 0.2% | |||
Repurchase Agreements - 0.2% | |||
$ 2,928,065 | Fixed Income Clearing Corp. Repurchase Agreement dated 12/29/2023 at 5.32%, due on 01/02/2024 with a maturity value of $2,929,796; collateralized by U.S. Treasury Inflation Index Note at 0.13%, maturing 07/15/2031, with a market value of $2,986,665 | $ 2,928,065 | |
Total Short-Term Investments (cost $2,928,065) | $ 2,928,065 | ||
Total Investments (cost $707,013,375) | 99.7% | $ 1,335,190,888 | |
Other Assets and Liabilities | 0.3% | 4,421,973 | |
Total Net Assets | 100.0% | $ 1,339,612,861 |
Note: | Percentage of investments as shown is the ratio of the total market value to total net assets. |
Prices of foreign equities that are principally traded on certain foreign markets will generally be adjusted daily pursuant to a fair value pricing service approved by Hartford Funds Management Company, LLC in order to reflect an adjustment for factors occurring after the close of certain foreign markets but before the close of the New York Stock Exchange. | |
Equity industry classifications used in this report are the Global Industry Classification Standard, which was developed by and is the exclusive property and service mark of MSCI, Inc. and Standard & Poor’s. | |
For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. | |
See “Glossary” for abbreviation descriptions. |
75 |
December 31, 2023
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Banks | $ 14,618,305 | $ 14,618,305 | $ — | $ — | ||||
Capital Goods | 168,365,087 | 168,365,087 | — | — | ||||
Commercial & Professional Services | 23,730,091 | 23,730,091 | — | — | ||||
Consumer Discretionary Distribution & Retail | 65,105,275 | 65,105,275 | — | — | ||||
Consumer Durables & Apparel | 37,620,808 | 37,620,808 | — | — | ||||
Consumer Services | 39,303,290 | 39,303,290 | — | — | ||||
Consumer Staples Distribution & Retail | 32,664,719 | 32,664,719 | — | — | ||||
Equity Real Estate Investment Trusts (REITs) | 44,116,628 | 44,116,628 | — | — | ||||
Financial Services | 115,748,026 | 115,748,026 | — | — | ||||
Food, Beverage & Tobacco | 91,897,521 | 62,924,184 | 28,973,337 | — | ||||
Health Care Equipment & Services | 154,102,100 | 154,102,100 | — | — | ||||
Household & Personal Products | 73,691,043 | 73,691,043 | — | — | ||||
Insurance | 64,819,242 | 64,819,242 | — | — | ||||
Materials | 69,809,213 | 69,809,213 | — | — | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 98,851,122 | 98,851,122 | — | — | ||||
Semiconductors & Semiconductor Equipment | 32,053,980 | 32,053,980 | — | — | ||||
Software & Services | 114,166,539 | 114,166,539 | — | — | ||||
Transportation | 91,599,834 | 91,599,834 | — | — | ||||
Short-Term Investments | 2,928,065 | — | 2,928,065 | — | ||||
Total | $ 1,335,190,888 | $ 1,303,289,486 | $ 31,901,402 | $ — |
(1) | For the year ended December 31, 2023, there were no transfers in and out of Level 3. |
76 |
December 31, 2023
Shares or Principal Amount | Market Value† | ||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 20.6% | |||
Asset-Backed - Automobile - 2.9% | |||
American Credit Acceptance Receivables Trust | |||
$ 131,414 | 4.55%, 10/13/2026(1) | $ 131,264 | |
1,315,000 | 6.09%, 11/12/2027(1) | 1,322,671 | |
2,375,000 | AmeriCredit Automobile Receivables Trust 2.58%, 09/18/2025 | 2,353,657 | |
3,025,063 | ARI Fleet Lease Trust 5.41%, 02/17/2032(1) | 3,019,283 | |
1,510,000 | Avis Budget Rental Car Funding AESOP LLC 5.90%, 08/21/2028(1) | 1,541,470 | |
3,958,951 | Carvana Auto Receivables Trust 4.13%, 04/12/2027 | 3,897,162 | |
2,267,987 | Chesapeake Funding II LLC 5.65%, 05/15/2035(1) | 2,274,067 | |
2,831,737 | CPS Auto Receivables Trust 5.91%, 08/16/2027(1) | 2,833,449 | |
DT Auto Owner Trust | |||
1,030,000 | 5.19%, 10/16/2028(1) | 1,021,057 | |
1,135,000 | 5.41%, 02/15/2029(1) | 1,129,295 | |
1,580,000 | Enterprise Fleet Financing LLC 5.42%, 10/22/2029(1) | 1,595,744 | |
Exeter Automobile Receivables Trust | |||
493,460 | 2.18%, 06/15/2026 | 491,862 | |
1,234,757 | 2.58%, 09/15/2025(1) | 1,222,284 | |
543,490 | 2.73%, 12/15/2025(1) | 536,311 | |
1,500,000 | 4.57%, 01/15/2027 | 1,492,166 | |
649,000 | 6.03%, 08/16/2027 | 650,118 | |
Flagship Credit Auto Trust | |||
2,031,000 | 4.69%, 07/17/2028(1) | 1,989,921 | |
570,000 | 5.05%, 01/18/2028(1) | 564,239 | |
365,000 | GLS Auto Receivables Issuer Trust 4.92%, 01/15/2027(1) | 362,075 | |
3,980,000 | Hertz Vehicle Financing III LLC 5.94%, 02/25/2028(1) | 4,054,744 | |
1,831,005 | Prestige Auto Receivables Trust 1.62%, 11/16/2026(1) | 1,808,236 | |
Santander Drive Auto Receivables Trust | |||
2,995,000 | 4.42%, 11/15/2027 | 2,958,663 | |
955,000 | 4.43%, 03/15/2027 | 943,679 | |
660,000 | 4.72%, 06/15/2027 | 653,927 | |
1,210,000 | 4.98%, 02/15/2028 | 1,201,087 | |
2,000,000 | 5.61%, 07/17/2028 | 2,009,840 | |
2,615,000 | 5.95%, 01/17/2028 | 2,627,602 | |
985,000 | SFS Auto Receivables Securitization Trust 5.71%, 01/22/2030(1) | 992,666 | |
569,878 | Tricolor Auto Securitization Trust 6.48%, 08/17/2026(1) | 569,458 | |
Westlake Automobile Receivables Trust | |||
1,930,000 | 1.65%, 02/17/2026(1) | 1,899,276 | |
2,285,000 | 4.31%, 09/15/2027(1) | 2,258,056 | |
655,000 | 5.41%, 01/18/2028(1) | 651,899 | |
1,090,000 | World Omni Auto Receivables Trust 5.03%, 05/15/2029 | 1,088,965 | |
52,146,193 | |||
Asset-Backed - Finance & Insurance - 0.3% | |||
4,175,000 | Cirrus Funding Ltd. 4.80%, 01/25/2037(1) | 4,094,873 | |
758,203 | Fieldstone Mortgage Investment Trust 6.01%, 05/25/2036, 1 mo. USD Term SOFR + 0.65%(2) | 522,873 | |
340,217 | Securitized Asset-Backed Receivables LLC Trust 5.65%, 07/25/2036, 1 mo. USD Term SOFR + 0.29%(2) | 115,064 | |
4,732,810 |
Shares or Principal Amount | Market Value† | ||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 20.6% - (continued) | |||
Asset-Backed - Home Equity - 0.2% | |||
GSAA Home Equity Trust | |||
$ 4,272,867 | 5.63%, 02/25/2037, 1 mo. USD Term SOFR + 0.27%(2) | $ 1,175,209 | |
1,892,301 | 5.83%, 11/25/2036, 1 mo. USD Term SOFR + 0.47%(2) | 431,635 | |
487,122 | 5.98%, 06/25/2036(3) | 126,920 | |
1,174,621 | Morgan Stanley Mortgage Loan Trust 5.81%, 11/25/2036, 1 mo. USD Term SOFR + 0.45%(2) | 328,500 | |
Soundview Home Loan Trust | |||
1,586,219 | 5.65%, 07/25/2037, 1 mo. USD Term SOFR + 0.29%(2) | 1,361,156 | |
325,696 | 5.97%, 11/25/2036, 1 mo. USD Term SOFR + 0.61%(2) | 305,763 | |
3,729,183 | |||
Asset-Backed - Student Loan - 0.2% | |||
Navient Private Education Refi Loan Trust | |||
1,821,815 | 1.11%, 02/18/2070(1) | 1,552,471 | |
2,295,793 | 5.51%, 10/15/2071(1) | 2,295,348 | |
3,847,819 | |||
Commercial Mortgage-Backed Securities - 3.2% | |||
BBCMS Mortgage Trust | |||
24,008,816 | 1.45%, 02/15/2050(3)(4) | 860,550 | |
925,000 | 3.66%, 04/15/2055(3) | 838,661 | |
1,000,000 | 4.60%, 06/15/2055(3) | 973,669 | |
1,300,000 | 5.44%, 12/15/2055(3) | 1,342,575 | |
425,000 | 5.71%, 12/15/2055(3) | 447,170 | |
Benchmark Mortgage Trust | |||
17,946,232 | 0.46%, 07/15/2051(3)(4) | 266,781 | |
8,226,157 | 0.52%, 01/15/2051(3)(4) | 135,821 | |
8,575,947 | 1.02%, 08/15/2052(3)(4) | 297,798 | |
24,373,990 | 1.19%, 03/15/2062(3)(4) | 1,212,206 | |
10,359,067 | 1.51%, 01/15/2054(3)(4) | 822,533 | |
2,692,063 | 1.78%, 07/15/2053(3)(4) | 175,200 | |
2,335,000 | BPR Trust 8.59%, 08/15/2024, 1 mo. USD Term SOFR + 3.23%(1)(2) | 2,324,744 | |
4,393,411 | BX Trust 7.81%, 08/15/2039, 1 mo. USD Term SOFR + 2.45%(1)(2) | 4,405,024 | |
2,920,000 | CAMB Commercial Mortgage Trust 8.21%, 12/15/2037, 1 mo. USD Term SOFR + 2.60%(1)(2) | 2,800,912 | |
3,344,985 | CD Mortgage Trust 2.46%, 08/10/2049 | 3,119,759 | |
Citigroup Commercial Mortgage Trust | |||
16,411,661 | 0.89%, 07/10/2047(3)(4) | 37,494 | |
19,847,039 | 1.01%, 04/10/2048(3)(4) | 183,917 | |
2,357,000 | 4.06%, 11/15/2049(3) | 1,783,644 | |
Commercial Mortgage Trust | |||
1,633,881 | 0.15%, 02/10/2047(3)(4) | 5 | |
841,000 | 2.82%, 01/10/2039(1) | 737,432 | |
55,051 | 2.85%, 10/15/2045 | 50,193 | |
860,000 | 3.90%, 01/10/2039(1)(3) | 672,005 | |
394,694 | 4.07%, 02/10/2047(3) | 393,947 | |
74,129 | 4.24%, 02/10/2047(3) | 73,984 | |
11,781 | Credit Suisse First Boston Mortgage Securities Corp. 4.88%, 04/15/2037 | 11,617 | |
CSAIL Commercial Mortgage Trust | |||
51,942,005 | 0.71%, 06/15/2057(3)(4) | 296,272 | |
2,227,055 | 0.89%, 11/15/2048(3)(4) | 28,516 | |
6,897,403 | 1.86%, 01/15/2049(3)(4) | 213,942 | |
4,255,958 | DBJPM Mortgage Trust 1.71%, 09/15/2053(3)(4) | 240,220 | |
4,340,000 | GS Mortgage Securities Corp. Trust 2.95%, 11/05/2034(1) | 3,106,310 | |
GS Mortgage Securities Trust | |||
2,875,542 | 0.37%, 07/10/2046(3)(4) | 29 |
77 |
December 31, 2023
Shares or Principal Amount | Market Value† | ||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 20.6% - (continued) | |||
Commercial Mortgage-Backed Securities - 3.2% - (continued) | |||
$ 713,735 | 1.70%, 08/10/2044(1)(3)(4) | $ 3 | |
2,215,000 | 4.99%, 04/10/2047(1)(3) | 1,781,838 | |
JP Morgan Chase Commercial Mortgage Securities Trust | |||
1,416,196 | 2.73%, 10/15/2045(1)(3) | 1,246,253 | |
1,400,000 | 2.81%, 01/16/2037(1) | 1,173,813 | |
1,290,924 | 3.78%, 12/15/2047(1)(3) | 826,936 | |
JPMBB Commercial Mortgage Securities Trust | |||
3,559,896 | 0.54%, 05/15/2048(3)(4) | 19,589 | |
15,588,668 | 0.58%, 09/15/2047(3)(4) | 36,339 | |
Morgan Stanley Bank of America Merrill Lynch Trust | |||
9,218,230 | 0.95%, 12/15/2047(3)(4) | 33,279 | |
1,259,417 | 0.96%, 10/15/2048(3)(4) | 11,064 | |
Morgan Stanley Capital I Trust | |||
7,058,914 | 1.32%, 06/15/2050(3)(4) | 196,277 | |
1,460,000 | 4.94%, 07/15/2049(1)(3) | 1,038,475 | |
82,680 | 5.26%, 10/12/2052(1)(3) | 30,466 | |
1,890,000 | NJ Trust 6.70%, 01/06/2029(1)(3) | 1,947,547 | |
790,000 | SFAVE Commercial Mortgage Securities Trust 3.87%, 01/05/2043(1)(3) | 581,176 | |
5,410,000 | SG Commercial Mortgage Securities Trust 2.63%, 03/15/2037(1) | 4,852,758 | |
3,530,000 | TYSN Mortgage Trust 6.80%, 12/10/2033(1)(3) | 3,677,453 | |
3,272,621 | UBS Commercial Mortgage Trust 1.07%, 08/15/2050(3)(4) | 98,091 | |
Wells Fargo Commercial Mortgage Trust | |||
24,635,394 | 0.87%, 09/15/2057(3)(4) | 291,318 | |
13,951,496 | 1.06%, 05/15/2048(3)(4) | 105,600 | |
3,085,000 | 2.94%, 10/15/2049 | 2,900,272 | |
430,000 | 4.14%, 05/15/2048(3) | 368,683 | |
Wells Fargo NA | |||
19,830,198 | 0.59%, 11/15/2062(3)(4) | 557,776 | |
9,646,171 | 0.64%, 11/15/2062(3)(4) | 299,403 | |
32,577,689 | 0.71%, 11/15/2050(3)(4) | 718,514 | |
3,683,369 | 0.76%, 11/15/2054(3)(4) | 81,547 | |
17,777,249 | 0.81%, 09/15/2062(3)(4) | 647,531 | |
33,789,334 | 0.88%, 01/15/2063(3)(4) | 1,374,989 | |
12,571,430 | 0.89%, 05/15/2062(3)(4) | 468,291 | |
5,560,967 | 0.99%, 02/15/2056(3)(4) | 355,110 | |
20,567,926 | 1.76%, 03/15/2063(3)(4) | 1,830,667 | |
2,545,000 | 2.04%, 02/15/2054 | 2,090,047 | |
WFRBS Commercial Mortgage Trust | |||
184,818 | 3.72%, 05/15/2047 | 183,838 | |
14,155 | 4.05%, 03/15/2047 | 14,118 | |
710,000 | 5.00%, 06/15/2044(1)(3) | 361,286 | |
58,053,277 | |||
Other Asset-Backed Securities - 6.6% | |||
416,249 | AASET Trust 3.35%, 01/16/2040(1) | 367,514 | |
1,535,000 | Affirm Asset Securitization Trust 6.61%, 01/18/2028(1) | 1,543,776 | |
3,005,000 | Aligned Data Centers Issuer LLC 6.00%, 08/17/2048(1) | 2,977,201 | |
771,758 | Amur Equipment Finance Receivables XI LLC 5.30%, 06/21/2028(1) | 769,567 | |
885,000 | Arbor Realty Commercial Real Estate Notes Ltd. 6.58%, 05/15/2036, 1 mo. USD Term SOFR + 1.21%(1)(2) | 875,389 | |
590,905 | Avant Loans Funding Trust 1.21%, 07/15/2030(1) | 586,697 | |
2,590,000 | Benefit Street Partners CLO XXXI Ltd. 7.73%, 04/25/2036, 3 mo. USD Term SOFR + 2.35%(1)(2) | 2,594,732 |
Shares or Principal Amount | Market Value† | ||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 20.6% - (continued) | |||
Other Asset-Backed Securities - 6.6% - (continued) | |||
CF Hippolyta Issuer LLC | |||
$ 381,691 | 1.53%, 03/15/2061(1) | $ 342,000 | |
905,504 | 1.69%, 07/15/2060(1) | 836,921 | |
1,024,149 | 1.99%, 07/15/2060(1) | 873,204 | |
579,438 | 5.97%, 08/15/2062(1) | 570,124 | |
690,000 | CNH Equipment Trust 4.77%, 10/15/2030 | 685,749 | |
4,485,000 | Columbia Cent CLO 27 Ltd. 6.83%, 01/25/2035, 3 mo. USD Term SOFR + 1.45%(1)(2) | 4,455,946 | |
1,150,000 | DLLAA LLC 5.64%, 02/22/2028(1) | 1,168,606 | |
Domino's Pizza Master Issuer LLC | |||
2,262,000 | 2.66%, 04/25/2051(1) | 2,000,646 | |
1,395,625 | 3.67%, 10/25/2049(1) | 1,274,095 | |
3,111,250 | 4.12%, 07/25/2048(1) | 3,022,775 | |
Elmwood CLO Ltd. | |||
2,155,000 | 7.64%, 04/16/2036, 3 mo. USD Term SOFR + 2.25%(1)(2) | 2,152,209 | |
3,085,000 | 7.80%, 10/17/2036, 3 mo. USD Term SOFR + 2.40%(1)(2) | 3,092,660 | |
3,267,261 | First Franklin Mortgage Loan Trust 5.95%, 04/25/2036, 1 mo. USD Term SOFR + 0.59%(2) | 2,941,009 | |
4,842,613 | FirstKey Homes Trust 4.25%, 07/17/2039(1) | 4,650,282 | |
1,830,000 | Golub Capital Partners CLO 68B Ltd. 8.20%, 07/25/2036, 3 mo. USD Term SOFR + 2.80%(1)(2) | 1,837,810 | |
2,358,722 | GSAMP Trust 5.56%, 01/25/2037, 1 mo. USD Term SOFR + 0.20%(2) | 1,340,911 | |
1,390,000 | Invesco U.S. CLO Ltd. 7.71%, 04/21/2036, 3 mo. USD Term SOFR + 2.30%(1)(2) | 1,390,424 | |
6,910 | Marlette Funding Trust 1.06%, 09/15/2031(1) | 6,895 | |
55,224 | Morgan Stanley ABS Capital I, Inc. Trust 5.77%, 06/25/2036, 1 mo. USD Term SOFR + 0.41%(2) | 45,346 | |
3,150,000 | New Economy Assets Phase 1 Sponsor LLC 1.91%, 10/20/2061(1) | 2,757,697 | |
333,711 | NRZ Excess Spread-Collateralized Notes 3.84%, 12/25/2025(1) | 318,098 | |
3,005,000 | Octagon 61 Ltd. 7.77%, 04/20/2036, 3 mo. USD Term SOFR + 2.35%(1)(2) | 3,004,799 | |
PRET LLC | |||
1,617,850 | 1.87%, 07/25/2051(1)(5) | 1,506,887 | |
1,069,425 | 2.49%, 07/25/2051(1)(5) | 1,029,784 | |
Pretium Mortgage Credit Partners LLC | |||
2,961,512 | 1.99%, 02/25/2061(1)(5) | 2,805,334 | |
3,374,152 | 2.98%, 01/25/2052(1)(5) | 3,346,484 | |
Progress Residential Trust | |||
3,295,138 | 1.51%, 10/17/2038(1) | 2,957,293 | |
1,122,476 | 3.20%, 04/17/2039(1) | 1,049,392 | |
1,796,018 | 4.30%, 03/17/2040(1) | 1,716,937 | |
876,228 | 4.45%, 06/17/2039(1) | 848,482 | |
1,395,187 | 4.75%, 10/27/2039(1) | 1,360,101 | |
4,425,000 | Retained Vantage Data Centers Issuer LLC 5.00%, 09/15/2048(1) | 4,155,557 | |
4,490,000 | RR 23 Ltd. 8.00%, 10/15/2035, 3 mo. USD Term SOFR + 2.65%(1)(2) | 4,484,989 | |
392,576 | Sapphire Aviation Finance II Ltd. 3.23%, 03/15/2040(1) | 334,911 | |
3,354,094 | Seasoned Credit Risk Transfer Trust 3.50%, 03/25/2058 | 2,990,639 | |
5,775,000 | Sound Point CLO XXIX Ltd. 6.71%, 04/25/2034, 3 mo. USD Term SOFR + 1.33%(1)(2) | 5,721,547 | |
2,905,000 | Stack Infrastructure Issuer LLC 5.90%, 07/25/2048(1) | 2,887,892 | |
1,435,000 | Summit Issuer LLC 2.29%, 12/20/2050(1) | 1,327,862 |
78 |
December 31, 2023
Shares or Principal Amount | Market Value† | ||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 20.6% - (continued) | |||
Other Asset-Backed Securities - 6.6% - (continued) | |||
$ 6,615,000 | Symphony CLO XXV Ltd. 6.64%, 04/19/2034, 3 mo. USD Term SOFR + 1.24%(1)(2) | $ 6,562,239 | |
2,580,000 | Texas Debt Capital CLO Ltd. 7.72%, 04/20/2036, 3 mo. USD Term SOFR + 2.30%(1)(2) | 2,586,316 | |
3,148,862 | Tricon Residential Trust 4.85%, 07/17/2040(1) | 3,073,657 | |
VCAT LLC | |||
1,578,985 | 1.74%, 05/25/2051(1)(5) | 1,493,001 | |
467,812 | 2.12%, 03/27/2051(1)(5) | 463,583 | |
5,775,000 | Venture 42 CLO Ltd. 6.79%, 04/15/2034, 3 mo. USD Term SOFR + 1.39%(1)(2) | 5,716,407 | |
1,732,177 | VOLT XCIV LLC 2.24%, 02/27/2051(1)(5) | 1,688,481 | |
1,747,489 | Voya CLO Ltd. 6.56%, 01/18/2029, 3 mo. USD Term SOFR + 1.16%(1)(2) | 1,746,131 | |
4,554,178 | Wellfleet CLO X Ltd. 6.85%, 07/20/2032, 3 mo. USD Term SOFR + 1.43%(1)(2) | 4,538,202 | |
1,955,137 | Wendy's Funding LLC 3.88%, 03/15/2048(1) | 1,817,010 | |
1,359,300 | Wingstop Funding LLC 2.84%, 12/05/2050(1) | 1,222,964 | |
117,915,164 | |||
Whole Loan Collateral CMO - 7.2% | |||
2,298,621 | 510 Asset-Backed Trust 2.12%, 06/25/2061(1)(5) | 2,231,328 | |
Angel Oak Mortgage Trust | |||
1,248,956 | 0.91%, 01/25/2066(1)(3) | 1,045,803 | |
891,062 | 0.99%, 04/25/2053(1)(3) | 813,973 | |
1,114,472 | 0.99%, 04/25/2066(1)(3) | 922,711 | |
1,885,590 | 1.82%, 11/25/2066(1)(3) | 1,596,626 | |
1,282,810 | Arroyo Mortgage Trust 3.35%, 04/25/2049(1)(3) | 1,207,523 | |
Banc of America Funding Trust | |||
1,963,586 | 5.77%, 05/25/2037(3) | 1,689,087 | |
551,438 | 6.07%, 05/20/2047, 1 mo. USD Term SOFR + 0.71%(2) | 498,575 | |
78,519 | 6.35%, 01/25/2037(5) | 70,307 | |
453,821 | BCAP LLC Trust 5.83%, 03/25/2037, 1 mo. USD Term SOFR + 0.47%(2) | 388,437 | |
422,492 | Bear Stearns ALT-A Trust 5.97%, 01/25/2036, 1 mo. USD Term SOFR + 0.61%(2) | 386,326 | |
102,427 | Bear Stearns ARM Trust 7.67%, 10/25/2035, 1 yr. USD CMT + 2.30%(2) | 95,779 | |
167,156 | Bear Stearns Mortgage Funding Trust 5.83%, 10/25/2036, 1 mo. USD Term SOFR + 0.47%(2) | 139,277 | |
BRAVO Residential Funding Trust | |||
718,838 | 0.94%, 02/25/2049(1)(3) | 623,122 | |
577,432 | 0.97%, 03/25/2060(1)(3) | 526,613 | |
CHL Mortgage Pass-Through Trust | |||
918,563 | 4.43%, 09/25/2047(3) | 803,175 | |
220,090 | 4.44%, 11/20/2035(3) | 197,717 | |
COLT Mortgage Loan Trust | |||
1,897,136 | 0.91%, 06/25/2066(1)(3) | 1,536,190 | |
4,272,566 | 1.11%, 10/25/2066(1)(3) | 3,533,127 | |
3,695,142 | 4.55%, 04/25/2067(1)(3) | 3,625,762 | |
Countrywide Alternative Loan Trust | |||
588,319 | 5.75%, 05/25/2036 | 231,435 | |
112,492 | 6.01%, 01/25/2036, 1 mo. USD Term SOFR + 0.65%(2) | 99,229 | |
580,455 | 6.11%, 11/25/2035, 1 mo. USD Term SOFR + 0.75%(2) | 460,495 | |
971,272 | CSFB Mortgage-Backed Pass-Through Certificates 5.50%, 06/25/2035 | 717,824 |
Shares or Principal Amount | Market Value† | ||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 20.6% - (continued) | |||
Whole Loan Collateral CMO - 7.2% - (continued) | |||
CSMC Trust | |||
$ 1,682,204 | 0.94%, 05/25/2066(1)(3) | $ 1,333,200 | |
1,176,657 | 1.80%, 12/27/2060(1)(3) | 1,055,727 | |
2,082,097 | 1.84%, 10/25/2066(1)(3) | 1,754,283 | |
4,814,364 | 2.27%, 11/25/2066(1)(3) | 4,116,952 | |
1,320,173 | 3.25%, 04/25/2047(1)(3) | 1,188,977 | |
754,994 | Deephaven Residential Mortgage Trust 0.90%, 04/25/2066(1)(3) | 644,985 | |
Ellington Financial Mortgage Trust | |||
763,913 | 0.93%, 06/25/2066(1)(3) | 609,255 | |
2,237,193 | 2.21%, 01/25/2067(1)(3) | 1,863,329 | |
Federal National Mortgage Association Connecticut Avenue Securities | |||
390,145 | 7.60%, 11/25/2039, 30 day USD SOFR Average + 2.26%(1)(2) | 393,526 | |
588,247 | 7.89%, 07/25/2042, 30 day USD SOFR Average + 2.55%(1)(2) | 603,136 | |
1,305,000 | 8.04%, 07/25/2043, 30 day USD SOFR Average + 2.70%(1)(2) | 1,329,796 | |
1,244,000 | 8.44%, 06/25/2043, 30 day USD SOFR Average + 3.10%(1)(2) | 1,299,068 | |
721,272 | 9.00%, 07/25/2029, 30 day USD SOFR Average + 3.66%(2) | 746,705 | |
1,246,987 | 9.80%, 05/25/2029, 30 day USD SOFR Average + 4.46%(2) | 1,315,317 | |
GCAT Trust | |||
1,568,404 | 1.04%, 05/25/2066(1)(3) | 1,252,765 | |
1,407,269 | 1.92%, 08/25/2066(1)(3) | 1,225,943 | |
16,351 | GMACM Mortgage Loan Trust 3.36%, 04/19/2036(3) | 12,596 | |
GSR Mortgage Loan Trust | |||
670,558 | 4.63%, 01/25/2036(3) | 607,775 | |
784,032 | 5.77%, 01/25/2037, 1 mo. USD Term SOFR + 0.41%(2) | 187,387 | |
HarborView Mortgage Loan Trust | |||
526,414 | 5.85%, 01/19/2038, 1 mo. USD Term SOFR + 0.49%(2) | 458,687 | |
1,875,805 | 5.95%, 12/19/2036, 1 mo. USD Term SOFR + 0.59%(2) | 1,752,307 | |
4,693,974 | Imperial Fund Mortgage Trust 3.64%, 03/25/2067(1)(5) | 4,315,262 | |
639,687 | IndyMac INDX Mortgage Loan Trust 3.55%, 03/25/2036(3) | 460,947 | |
104,631 | JP Morgan Mortgage Trust 4.66%, 04/25/2037(3) | 76,796 | |
Legacy Mortgage Asset Trust | |||
1,151,829 | 1.75%, 04/25/2061(1)(5) | 1,048,065 | |
1,514,664 | 1.75%, 07/25/2061(1)(5) | 1,422,965 | |
2,866,388 | 7.25%, 11/25/2059(1)(5) | 2,865,570 | |
543,718 | Lehman XS Trust 5.89%, 07/25/2046, 1 mo. USD Term SOFR + 0.53%(2) | 489,789 | |
2,016,156 | LSTAR Securities Investment Ltd. 8.27%, 02/01/2026, 1 mo. USD Term SOFR + 2.91%(1)(2) | 1,976,768 | |
147,545 | MASTR Adjustable Rate Mortgages Trust 5.39%, 11/21/2034(3) | 138,078 | |
1,952,035 | MFA LLC 2.36%, 03/25/2060(1)(5) | 1,905,902 | |
MFA Trust | |||
204,459 | 1.01%, 01/26/2065(1)(3) | 183,147 | |
1,153,526 | 1.03%, 11/25/2064(1)(3) | 973,983 | |
830,185 | 1.15%, 04/25/2065(1)(3) | 734,385 | |
New Residential Mortgage Loan Trust | |||
667,750 | 0.94%, 10/25/2058(1)(3) | 589,303 | |
316,177 | 2.49%, 09/25/2059(1)(3) | 290,890 | |
1,163,874 | 3.50%, 08/25/2059(1)(3) | 1,089,085 | |
1,344,344 | 3.75%, 11/26/2035(1)(3) | 1,270,740 |
79 |
December 31, 2023
Shares or Principal Amount | Market Value† | ||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 20.6% - (continued) | |||
Whole Loan Collateral CMO - 7.2% - (continued) | |||
$ 1,381,026 | 3.75%, 11/25/2056(1)(3) | $ 1,298,286 | |
1,291,584 | 4.00%, 05/25/2057(1)(3) | 1,220,061 | |
933,105 | 4.00%, 12/25/2057(1)(3) | 887,274 | |
1,419,346 | 6.22%, 01/25/2048, 1 mo. USD Term SOFR + 0.86%(1)(2) | 1,367,141 | |
1,161,288 | 6.97%, 06/25/2057, 1 mo. USD Term SOFR + 1.61%(1)(2) | 1,153,078 | |
3,319,652 | NMLT Trust 1.19%, 05/25/2056(1)(3) | 2,697,463 | |
OBX Trust | |||
2,667,921 | 1.05%, 07/25/2061(1)(3) | 2,041,512 | |
2,496,040 | 1.10%, 05/25/2061(1)(3) | 1,919,293 | |
3,893,256 | 2.31%, 11/25/2061(1)(3) | 3,341,204 | |
Preston Ridge Partners Mortgage LLC | |||
2,065,814 | 1.79%, 06/25/2026(1)(5) | 1,952,093 | |
1,742,659 | 1.79%, 07/25/2026(1)(5) | 1,642,798 | |
3,344,100 | 1.87%, 04/25/2026(1)(5) | 3,193,210 | |
1,577,336 | 2.49%, 10/25/2026(1)(5) | 1,494,474 | |
566,829 | 5.36%, 11/25/2025(1)(5) | 567,522 | |
3,395,275 | 5.95%, 10/25/2025(1)(5) | 3,384,295 | |
550,936 | RBSGC Mortgage Loan Trust 6.25%, 01/25/2037 | 506,648 | |
366,929 | Residential Accredit Loans, Inc. Trust 6.00%, 12/25/2035 | 317,761 | |
Seasoned Credit Risk Transfer Trust | |||
1,986,026 | 2.50%, 08/25/2059 | 1,642,989 | |
1,765,189 | 3.50%, 11/25/2057 | 1,626,849 | |
4,732,650 | 3.50%, 07/25/2058 | 4,317,642 | |
940,238 | 3.50%, 08/25/2058 | 852,835 | |
3,602,484 | 3.50%, 10/25/2058 | 3,237,475 | |
Starwood Mortgage Residential Trust | |||
562,592 | 0.94%, 05/25/2065(1)(3) | 501,410 | |
3,068,814 | 1.92%, 11/25/2066(1)(3) | 2,524,854 | |
1,567,799 | Toorak Mortgage Corp. Ltd. 3.24%, 06/25/2024(1)(5) | 1,535,601 | |
5,114,557 | Towd Point Mortgage Trust 2.92%, 11/30/2060(1)(3) | 4,283,441 | |
Verus Securitization Trust | |||
1,040,229 | 0.92%, 02/25/2064(1)(3) | 915,867 | |
1,407,393 | 0.94%, 07/25/2066(1)(3) | 1,135,120 | |
902,505 | 1.03%, 02/25/2066(1)(3) | 779,377 | |
2,128,464 | 1.82%, 11/25/2066(1)(3) | 1,842,240 | |
4,812,376 | 1.83%, 10/25/2066(1)(3) | 4,182,784 | |
684,898 | 4.13%, 02/25/2067(1)(5) | 638,077 | |
WaMu Mortgage Pass-Through Certificates Trust | |||
582,461 | 3.81%, 06/25/2037(3) | 495,949 | |
1,329,694 | 4.40%, 12/25/2046, 1 yr. USD MTA + 0.82%(2) | 1,073,050 | |
253,404 | 6.31%, 06/25/2044, 1 mo. USD Term SOFR + 0.95%(2) | 230,681 | |
127,824,186 | |||
Total Asset & Commercial Mortgage-Backed Securities (cost $396,658,171) | $ 368,248,632 | ||
CORPORATE BONDS - 30.9% | |||
Advertising - 0.1% | |||
2,335,000 | Lamar Media Corp. 3.63%, 01/15/2031 | $ 2,074,647 | |
Aerospace/Defense - 0.2% | |||
Boeing Co. | |||
820,000 | 5.04%, 05/01/2027 | 827,689 | |
1,350,000 | 5.15%, 05/01/2030 | 1,376,106 | |
845,000 | Northrop Grumman Corp. 5.15%, 05/01/2040 | 858,454 | |
3,062,249 |
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 30.9% - (continued) | |||
Agriculture - 0.4% | |||
Philip Morris International, Inc. | |||
$ 1,455,000 | 4.88%, 02/15/2028 | $ 1,471,900 | |
580,000 | 5.13%, 11/17/2027 | 590,768 | |
2,180,000 | 5.13%, 02/15/2030 | 2,220,400 | |
1,230,000 | 5.38%, 02/15/2033 | 1,262,993 | |
830,000 | 5.63%, 11/17/2029 | 871,287 | |
1,190,000 | 5.63%, 09/07/2033 | 1,244,988 | |
7,662,336 | |||
Apparel - 0.3% | |||
550,000 | Hanesbrands, Inc. 4.88%, 05/15/2026(1) | 530,462 | |
570,000 | Tapestry, Inc. 7.05%, 11/27/2025 | 583,040 | |
3,550,000 | William Carter Co. 5.63%, 03/15/2027(1) | 3,505,558 | |
4,619,060 | |||
Beverages - 0.1% | |||
Bacardi Ltd./Bacardi-Martini BV | |||
150,000 | 5.25%, 01/15/2029(1) | 149,937 | |
875,000 | 5.40%, 06/15/2033(1) | 881,964 | |
1,031,901 | |||
Biotechnology - 0.4% | |||
Amgen, Inc. | |||
445,000 | 5.25%, 03/02/2030 | 458,068 | |
2,755,000 | 5.25%, 03/02/2033 | 2,828,528 | |
Royalty Pharma PLC | |||
2,900,000 | 2.15%, 09/02/2031 | 2,370,426 | |
750,000 | 2.20%, 09/02/2030 | 631,912 | |
6,288,934 | |||
Chemicals - 0.2% | |||
Celanese U.S. Holdings LLC | |||
1,600,000 | 6.17%, 07/15/2027 | 1,640,514 | |
1,529,000 | 6.33%, 07/15/2029 | 1,603,828 | |
975,000 | 6.55%, 11/15/2030 | 1,032,097 | |
4,276,439 | |||
Commercial Banks - 7.6% | |||
1,400,000 | ABN AMRO Bank NV 6.34%, 09/18/2027, (6.34% fixed rate until 09/18/2026; 1 yr. USD CMT + 1.65% thereafter)(1)(6) | 1,431,766 | |
2,660,000 | ANZ New Zealand International Ltd. 5.36%, 08/14/2028(1) | 2,721,963 | |
EUR 800,000 | Banca Comerciala Romana SA 7.63%, 05/19/2027, (7.63% fixed rate until 05/19/2026; 3 mo. EURIBOR + 4.54% thereafter)(6)(7) | 930,027 | |
1,575,000 | Banca Transilvania SA 8.88%, 04/27/2027, (8.88% fixed rate until 04/27/2026; 1 yr. EURIBOR ICE Swap + 5.58% thereafter)(6)(7) | 1,827,953 | |
Bank of America Corp. | |||
$ 1,515,000 | 1.90%, 07/23/2031, (1.90% fixed rate until 07/23/2030; 6 mo. USD SOFR + 1.53% thereafter)(6) | 1,241,464 | |
355,000 | 1.92%, 10/24/2031, (1.92% fixed rate until 10/24/2030; 6 mo. USD SOFR + 1.37% thereafter)(6) | 288,662 | |
2,150,000 | 2.30%, 07/21/2032, (2.30% fixed rate until 07/21/2031; 6 mo. USD SOFR + 1.22% thereafter)(6) | 1,757,812 | |
965,000 | 2.57%, 10/20/2032, (2.57% fixed rate until 10/20/2031; 6 mo. USD SOFR + 1.21% thereafter)(6) | 801,614 | |
1,715,000 | 2.59%, 04/29/2031, (2.59% fixed rate until 04/29/2030; 6 mo. USD SOFR + 2.15% thereafter)(6) | 1,480,175 |
80 |
December 31, 2023
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 30.9% - (continued) | |||
Commercial Banks - 7.6% - (continued) | |||
$ 5,090,000 | 2.69%, 04/22/2032, (2.69% fixed rate until 04/22/2031; 6 mo. USD SOFR + 1.32% thereafter)(6) | $ 4,305,405 | |
2,615,000 | 3.19%, 07/23/2030, (3.19% fixed rate until 07/23/2029; 3 mo. USD Term SOFR + 1.44% thereafter)(6) | 2,373,698 | |
205,000 | 3.42%, 12/20/2028, (3.42% fixed rate until 12/20/2027; 3 mo. USD Term SOFR + 1.30% thereafter)(6) | 193,017 | |
1,630,000 | 4.95%, 07/22/2028, (4.95% fixed rate until 07/22/2027; 6 mo. USD SOFR + 2.04% thereafter)(6) | 1,631,052 | |
1,920,000 | 5.20%, 04/25/2029, (5.20% fixed rate until 04/25/2028; 6 mo. USD SOFR + 1.63% thereafter)(6) | 1,933,446 | |
2,205,000 | 5.93%, 09/15/2027, (5.93% fixed rate until 09/15/2026; 6 mo. USD SOFR + 1.34% thereafter)(6) | 2,250,756 | |
3,685,000 | Bank of Ireland Group PLC 6.25%, 09/16/2026, (6.25% fixed rate until 09/16/2025; 1 yr. USD CMT + 2.65% thereafter)(1)(6) | 3,723,878 | |
2,090,000 | Bank of New York Mellon Corp. 6.32%, 10/25/2029, (6.32% fixed rate until 10/25/2028; 6 mo. USD SOFR + 1.60% thereafter)(6) | 2,222,121 | |
1,920,000 | Barclays PLC 9.63%, 12/15/2029, (9.63% fixed rate until 12/15/2029; 5 yr. Swap Rate + 5.78% thereafter)(6)(8) | 2,002,368 | |
BNP Paribas SA | |||
915,000 | 5.13%, 01/13/2029, (5.13% fixed rate until 01/13/2028; 1 yr. USD CMT + 1.45% thereafter)(1)(6) | 922,457 | |
740,000 | 5.34%, 06/12/2029, (5.34% fixed rate until 06/12/2028; 1 yr. USD CMT + 1.50% thereafter)(1)(6) | 751,311 | |
2,170,000 | 5.89%, 12/05/2034, (5.89% fixed rate until 12/05/2033; 6 mo. USD SOFR + 1.87% thereafter)(1)(6) | 2,271,183 | |
BPCE SA | |||
3,770,000 | 6.71%, 10/19/2029, (6.71% fixed rate until 10/19/2028; 6 mo. USD SOFR + 2.27% thereafter)(1)(6) | 3,973,097 | |
3,010,000 | 7.00%, 10/19/2034, (7.00% fixed rate until 10/19/2033; 6 mo. USD SOFR + 2.59% thereafter)(1)(6) | 3,272,191 | |
745,000 | Credit Agricole SA 6.32%, 10/03/2029, (6.32% fixed rate until 10/03/2028; 6 mo. USD SOFR + 1.86% thereafter)(1)(6) | 781,466 | |
Danske Bank AS | |||
655,000 | 1.62%, 09/11/2026, (1.62% fixed rate until 09/11/2025; 1 yr. USD CMT + 1.35% thereafter)(1)(6) | 611,315 | |
1,970,000 | 5.38%, 01/12/2024(1) | 1,969,549 | |
Deutsche Bank AG | |||
410,000 | 2.13%, 11/24/2026, (2.13% fixed rate until 11/24/2025; 6 mo. USD SOFR + 1.87% thereafter)(6) | 384,390 | |
495,000 | 2.31%, 11/16/2027, (2.31% fixed rate until 11/16/2026; 6 mo. USD SOFR + 1.22% thereafter)(6) | 452,838 | |
625,000 | 3.74%, 01/07/2033, (3.74% fixed rate until 10/07/2031; 6 mo. USD SOFR + 2.26% thereafter)(6) | 513,575 |
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 30.9% - (continued) | |||
Commercial Banks - 7.6% - (continued) | |||
$ 380,000 | 7.08%, 02/10/2034, (7.08% fixed rate until 11/10/2032; 6 mo. USD SOFR + 3.65% thereafter)(6) | $ 391,352 | |
Goldman Sachs Group, Inc. | |||
2,260,000 | 2.38%, 07/21/2032, (2.38% fixed rate until 07/21/2031; 6 mo. USD SOFR + 1.25% thereafter)(6)(9) | 1,857,953 | |
4,045,000 | 2.62%, 04/22/2032, (2.62% fixed rate until 04/22/2031; 6 mo. USD SOFR + 1.28% thereafter)(6) | 3,401,268 | |
1,475,000 | 4.22%, 05/01/2029, (4.22% fixed rate until 05/01/2028; 3 mo. USD Term SOFR + 1.56% thereafter)(6) | 1,428,318 | |
HSBC Holdings PLC | |||
1,150,000 | 2.21%, 08/17/2029, (2.21% fixed rate until 08/17/2028; 6 mo. USD SOFR + 1.29% thereafter)(6) | 1,004,793 | |
1,395,000 | 4.58%, 06/19/2029, (4.58% fixed rate until 06/19/2028; 3 mo. USD Term SOFR + 1.80% thereafter)(6) | 1,353,961 | |
410,000 | 4.76%, 03/29/2033, (4.76% fixed rate until 03/29/2032; 6 mo. USD SOFR + 2.53% thereafter)(6) | 382,593 | |
4,800,000 | 5.40%, 08/11/2033, (5.40% fixed rate until 08/11/2032; 6 mo. USD SOFR + 2.87% thereafter)(6) | 4,829,590 | |
1,565,000 | 5.89%, 08/14/2027, (5.89% fixed rate until 08/14/2026; 6 mo. USD SOFR + 1.57% thereafter)(6) | 1,587,601 | |
765,000 | 6.16%, 03/09/2029, (6.16% fixed rate until 03/09/2028; 6 mo. USD SOFR + 1.97% thereafter)(6) | 790,298 | |
1,900,000 | 6.55%, 06/20/2034, (6.55% fixed rate until 06/20/2033; 6 mo. USD SOFR + 2.98% thereafter)(6) | 1,989,411 | |
1,515,000 | 7.40%, 11/13/2034, (7.40% fixed rate until 11/13/2033; 6 mo. USD SOFR + 3.02% thereafter)(6) | 1,664,299 | |
300,000 | Huntington Bancshares, Inc. 6.21%, 08/21/2029, (6.21% fixed rate until 08/21/2028; 3 mo. USD SOFR + 2.02% thereafter)(6) | 309,607 | |
825,000 | Huntington National Bank 5.65%, 01/10/2030 | 832,760 | |
Intesa Sanpaolo SpA | |||
1,485,000 | 6.63%, 06/20/2033(1) | 1,525,229 | |
1,740,000 | 7.80%, 11/28/2053(1) | 1,917,374 | |
JP Morgan Chase & Co. | |||
1,270,000 | 2.55%, 11/08/2032, (2.55% fixed rate until 11/08/2031; 6 mo. USD SOFR + 1.18% thereafter)(6) | 1,062,140 | |
1,025,000 | 3.51%, 01/23/2029, (3.51% fixed rate until 01/23/2028; 3 mo. USD Term SOFR + 1.21% thereafter)(6) | 972,221 | |
170,000 | 3.70%, 05/06/2030, (3.70% fixed rate until 05/06/2029; 3 mo. USD Term SOFR + 1.42% thereafter)(6) | 159,982 | |
930,000 | 3.96%, 01/29/2027, (3.96% fixed rate until 01/29/2026; 3 mo. USD Term SOFR + 1.51% thereafter)(6) | 908,748 | |
2,230,000 | 4.01%, 04/23/2029, (4.01% fixed rate until 04/23/2028; 3 mo. USD Term SOFR + 1.38% thereafter)(6) | 2,147,534 |
81 |
December 31, 2023
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 30.9% - (continued) | |||
Commercial Banks - 7.6% - (continued) | |||
$ 390,000 | 4.85%, 07/25/2028, (4.85% fixed rate until 07/25/2027; 6 mo. USD SOFR + 1.99% thereafter)(6) | $ 390,401 | |
1,515,000 | 5.30%, 07/24/2029, (5.30% fixed rate until 07/24/2028; 6 mo. USD SOFR + 1.45% thereafter)(6) | 1,538,700 | |
960,000 | 6.07%, 10/22/2027, (6.07% fixed rate until 10/22/2026; 6 mo. USD SOFR + 1.33% thereafter)(6) | 988,037 | |
280,000 | 6.09%, 10/23/2029, (6.09% fixed rate until 10/23/2028; 6 mo. USD SOFR + 1.57% thereafter)(6) | 294,627 | |
M&T Bank Corp. | |||
2,240,000 | 5.05%, 01/27/2034, (5.05% fixed rate until 01/27/2033; 6 mo. USD SOFR + 1.85% thereafter)(6) | 2,126,309 | |
1,705,000 | 7.41%, 10/30/2029, (7.41% fixed rate until 10/30/2028; 6 mo. USD SOFR + 2.80% thereafter)(6) | 1,835,765 | |
1,580,000 | Manufacturers & Traders Trust Co. 4.70%, 01/27/2028 | 1,536,326 | |
EUR 1,700,000 | mBank SA 0.97%, 09/21/2027, (0.97% fixed rate until 09/21/2026; 3 mo. EURIBOR + 1.25% thereafter)(6)(7) | 1,621,459 | |
Morgan Stanley | |||
$ 4,185,000 | 1.79%, 02/13/2032, (1.79% fixed rate until 02/13/2031; 6 mo. USD SOFR + 1.03% thereafter)(6) | 3,347,197 | |
1,960,000 | 1.93%, 04/28/2032, (1.93% fixed rate until 04/28/2031; 6 mo. USD SOFR + 1.02% thereafter)(6) | 1,579,516 | |
860,000 | 3.59%, 07/22/2028(3) | 821,767 | |
460,000 | 3.62%, 04/01/2031, (3.62% fixed rate until 04/01/2030; 6 mo. USD SOFR + 3.12% thereafter)(6) | 424,066 | |
2,235,000 | 5.16%, 04/20/2029, (5.16% fixed rate until 04/20/2028; 6 mo. USD SOFR + 1.59% thereafter)(6) | 2,249,649 | |
455,000 | 5.45%, 07/20/2029, (5.45% fixed rate until 07/20/2028; 6 mo. USD SOFR + 1.63% thereafter)(6) | 464,027 | |
4,505,000 | 6.41%, 11/01/2029, (6.41% fixed rate until 11/01/2028; 6 mo. USD SOFR + 1.83% thereafter)(6) | 4,780,507 | |
OTP Bank Nyrt | |||
EUR 1,570,000 | 7.35%, 03/04/2026, (7.35% fixed rate until 03/04/2025; 3 mo. EURIBOR + 4.52% thereafter)(6)(7) | 1,778,958 | |
$ 815,000 | 7.50%, 05/25/2027, (7.50% fixed rate until 05/25/2026; 1 yr. USD CMT + 3.71% thereafter)(6)(7) | 840,053 | |
PNC Financial Services Group, Inc. | |||
580,000 | 5.07%, 01/24/2034, (5.07% fixed rate until 01/24/2033; 6 mo. USD SOFR + 1.93% thereafter)(6) | 568,527 | |
485,000 | 6.88%, 10/20/2034, (6.88% fixed rate until 10/20/2033; 6 mo. USD SOFR + 2.28% thereafter)(6) | 539,428 | |
4,795,000 | Societe Generale SA 6.22%, 06/15/2033, (6.22% fixed rate until 06/15/2032; 1 yr. USD CMT + 3.20% thereafter)(1)(6) | 4,792,569 | |
Standard Chartered PLC | |||
1,875,000 | 7.02%, 02/08/2030, (7.02% fixed rate until 02/08/2029; 1 yr. USD CMT + 2.20% thereafter)(1)(6) | 1,980,745 |
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 30.9% - (continued) | |||
Commercial Banks - 7.6% - (continued) | |||
$ 865,000 | 7.77%, 11/16/2028, (7.77% fixed rate until 11/16/2027; 1 yr. USD CMT + 3.45% thereafter)(1)(6) | $ 935,673 | |
UBS Group AG | |||
575,000 | 2.10%, 02/11/2032, (2.10% fixed rate until 02/11/2031; 1 yr. USD CMT + 1.00% thereafter)(1)(6) | 459,408 | |
865,000 | 3.09%, 05/14/2032, (3.09% fixed rate until 05/14/2031; 6 mo. USD SOFR + 1.73% thereafter)(1)(6) | 738,201 | |
640,000 | 4.19%, 04/01/2031, (4.19% fixed rate until 04/01/2030; 6 mo. USD SOFR + 3.73% thereafter)(1)(6) | 596,693 | |
1,595,000 | 4.75%, 05/12/2028, (4.75% fixed rate until 05/12/2027; 1 yr. USD CMT + 1.75% thereafter)(1)(6) | 1,571,824 | |
1,895,000 | 6.25%, 09/22/2029, (6.25% fixed rate until 09/22/2028; 1 yr. USD CMT + 1.80% thereafter)(1)(6) | 1,976,150 | |
760,000 | 6.44%, 08/11/2028, (6.44% fixed rate until 08/11/2027; 6 mo. USD SOFR + 3.70% thereafter)(1)(6) | 789,714 | |
2,785,000 | 6.54%, 08/12/2033, (6.54% fixed rate until 08/12/2032; 6 mo. USD SOFR + 3.92% thereafter)(1)(6) | 2,971,913 | |
Wells Fargo & Co. | |||
1,445,000 | 2.57%, 02/11/2031, (2.57% fixed rate until 02/11/2030; 3 mo. USD Term SOFR + 1.26% thereafter)(6) | 1,250,509 | |
1,140,000 | 2.88%, 10/30/2030, (2.88% fixed rate until 10/30/2029; 3 mo. USD Term SOFR + 1.43% thereafter)(6) | 1,014,796 | |
2,855,000 | 3.35%, 03/02/2033, (3.35% fixed rate until 03/02/2032; 6 mo. USD SOFR + 1.50% thereafter)(6) | 2,500,805 | |
1,050,000 | 4.81%, 07/25/2028, (4.81% fixed rate until 07/25/2027; 6 mo. USD SOFR + 1.98% thereafter)(6) | 1,042,702 | |
1,705,000 | 4.90%, 07/25/2033, (4.90% fixed rate until 07/25/2032; 6 mo. USD SOFR + 2.10% thereafter)(6) | 1,663,311 | |
265,000 | 5.39%, 04/24/2034, (5.39% fixed rate until 04/24/2033; 6 mo. USD SOFR + 2.02% thereafter)(6) | 266,619 | |
3,320,000 | 5.57%, 07/25/2029, (5.57% fixed rate until 07/25/2028; 6 mo. USD SOFR + 1.74% thereafter)(6) | 3,393,357 | |
765,000 | 6.49%, 10/23/2034, (6.49% fixed rate until 10/23/2033; 6 mo. USD SOFR + 2.06% thereafter)(6) | 833,882 | |
136,041,771 | |||
Commercial Services - 1.0% | |||
Ashtead Capital, Inc. | |||
1,190,000 | 4.00%, 05/01/2028(1) | 1,120,696 | |
4,990,000 | 4.38%, 08/15/2027(1) | 4,794,531 | |
1,405,000 | 5.50%, 08/11/2032(1) | 1,390,417 | |
210,000 | 5.55%, 05/30/2033(1) | 208,247 | |
Howard University | |||
1,000,000 | 2.70%, 10/01/2029 | 888,931 | |
1,000,000 | 2.90%, 10/01/2031 | 864,404 | |
720,000 | 3.48%, 10/01/2041 | 536,109 | |
Service Corp. International | |||
2,500,000 | 3.38%, 08/15/2030 | 2,178,767 | |
385,000 | 4.63%, 12/15/2027 | 372,487 | |
4,561,000 | 5.13%, 06/01/2029 | 4,469,780 |
82 |
December 31, 2023
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 30.9% - (continued) | |||
Commercial Services - 1.0% - (continued) | |||
United Rentals North America, Inc. | |||
$ 140,000 | 4.00%, 07/15/2030 | $ 128,973 | |
445,000 | 4.88%, 01/15/2028 | 433,992 | |
17,387,334 | |||
Construction Materials - 0.4% | |||
3,340,000 | Builders FirstSource, Inc. 5.00%, 03/01/2030(1) | 3,225,535 | |
Standard Industries, Inc. | |||
535,000 | 3.38%, 01/15/2031(1) | 460,201 | |
3,370,000 | 4.38%, 07/15/2030(1) | 3,101,022 | |
6,786,758 | |||
Distribution/Wholesale - 0.0% | |||
700,000 | LKQ Corp. 5.75%, 06/15/2028 | 716,592 | |
Diversified Financial Services - 1.2% | |||
2,015,000 | American Express Co. 6.34%, 10/30/2026, (6.34% fixed rate until 10/30/2025; 6 mo. USD SOFR + 1.33% thereafter)(6) | 2,055,032 | |
Capital One Financial Corp. | |||
895,000 | 1.88%, 11/02/2027, (1.88% fixed rate until 11/02/2026; 6 mo. USD SOFR + 0.86% thereafter)(6) | 805,418 | |
2,145,000 | 3.27%, 03/01/2030, (3.27% fixed rate until 03/01/2029; 6 mo. USD SOFR + 1.79% thereafter)(6) | 1,917,626 | |
1,325,000 | 5.25%, 07/26/2030, (5.25% fixed rate until 07/26/2029; 6 mo. USD SOFR + 2.60% thereafter)(6) | 1,304,331 | |
615,000 | 5.47%, 02/01/2029, (5.47% fixed rate until 02/01/2028; 6 mo. USD SOFR + 2.08% thereafter)(6) | 613,468 | |
551,000 | 5.82%, 02/01/2034, (5.82% fixed rate until 02/01/2033; 6 mo. USD SOFR + 2.60% thereafter)(6) | 549,307 | |
1,500,000 | 6.31%, 06/08/2029, (6.31% fixed rate until 06/08/2028; 6 mo. USD SOFR + 2.64% thereafter)(6) | 1,540,922 | |
975,000 | 6.38%, 06/08/2034, (6.38% fixed rate until 06/08/2033; 6 mo. USD SOFR + 2.86% thereafter)(6) | 1,005,009 | |
1,095,000 | 7.62%, 10/30/2031, (7.62% fixed rate until 10/30/2030; 6 mo. USD SOFR + 3.07% thereafter)(6) | 1,205,021 | |
2,205,000 | Discover Financial Services 7.96%, 11/02/2034, (7.96% fixed rate until 11/02/2033; 6 mo. USD SOFR + 3.37% thereafter)(6) | 2,456,722 | |
7,400,000 | GTP Acquisition Partners I LLC 3.48%, 06/15/2050(1) | 7,194,777 | |
455,000 | Intercontinental Exchange, Inc. 4.35%, 06/15/2029 | 452,636 | |
845,000 | Nasdaq, Inc. 5.55%, 02/15/2034 | 879,597 | |
21,979,866 | |||
Electric - 4.2% | |||
1,235,000 | Alabama Power Co. 3.45%, 10/01/2049 | 932,112 | |
2,815,000 | Ameren Corp. 5.00%, 01/15/2029 | 2,829,073 | |
Arizona Public Service Co. | |||
450,000 | 5.55%, 08/01/2033 | 465,606 | |
990,000 | 6.35%, 12/15/2032 | 1,072,669 | |
Berkshire Hathaway Energy Co. | |||
705,000 | 1.65%, 05/15/2031 | 566,256 | |
850,000 | 4.60%, 05/01/2053 | 759,415 | |
Cleco Corporate Holdings LLC | |||
1,225,000 | 3.38%, 09/15/2029 | 1,075,003 | |
75,000 | 4.97%, 05/01/2046 | 63,083 |
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 30.9% - (continued) | |||
Electric - 4.2% - (continued) | |||
Consolidated Edison Co. of New York, Inc. | |||
$ 1,050,000 | 3.20%, 12/01/2051 | $ 745,659 | |
450,000 | 5.50%, 03/15/2034 | 473,046 | |
Dominion Energy, Inc. | |||
1,008,000 | 3.38%, 04/01/2030 | 929,317 | |
4,152,000 | 5.38%, 11/15/2032 | 4,270,962 | |
65,000 | 6.30%, 03/15/2033 | 69,646 | |
1,320,000 | Duke Energy Carolinas LLC 4.25%, 12/15/2041 | 1,168,665 | |
Duke Energy Corp. | |||
3,200,000 | 2.55%, 06/15/2031 | 2,735,059 | |
1,160,000 | 4.50%, 08/15/2032 | 1,124,742 | |
400,000 | 5.00%, 08/15/2052 | 374,968 | |
780,000 | Duke Energy Indiana LLC 3.25%, 10/01/2049 | 567,999 | |
Duke Energy Progress LLC | |||
490,000 | 4.00%, 04/01/2052 | 404,399 | |
670,000 | 4.38%, 03/30/2044 | 592,959 | |
Edison International | |||
270,000 | 4.13%, 03/15/2028 | 260,902 | |
635,000 | 5.25%, 11/15/2028 | 639,028 | |
3,125,000 | 6.95%, 11/15/2029 | 3,394,982 | |
755,000 | Emera, Inc. 6.75%, 06/15/2076 | 739,263 | |
1,185,000 | Enel Finance International NV 5.00%, 06/15/2032(1) | 1,157,789 | |
Evergy, Inc. | |||
730,000 | 2.45%, 09/15/2024 | 713,388 | |
715,000 | 2.90%, 09/15/2029 | 647,503 | |
Eversource Energy | |||
2,255,000 | 5.13%, 05/15/2033 | 2,270,686 | |
380,000 | 5.45%, 03/01/2028 | 390,912 | |
1,265,000 | 5.95%, 02/01/2029 | 1,325,594 | |
Georgia Power Co. | |||
250,000 | 2.65%, 09/15/2029 | 226,643 | |
940,000 | 4.30%, 03/15/2042 | 833,987 | |
450,000 | 4.70%, 05/15/2032 | 448,876 | |
85,000 | 4.95%, 05/17/2033 | 85,839 | |
845,000 | Investment Energy Resources Ltd. 6.25%, 04/26/2029(1) | 798,246 | |
1,465,000 | IPALCO Enterprises, Inc. 3.70%, 09/01/2024 | 1,441,710 | |
2,065,000 | Kentucky Power Co. 7.00%, 11/15/2033(1) | 2,223,431 | |
645,000 | Monongahela Power Co. 5.85%, 02/15/2034(1) | 678,127 | |
305,000 | National Grid PLC 5.60%, 06/12/2028 | 314,486 | |
870,000 | National Rural Utilities Cooperative Finance Corp. 5.80%, 01/15/2033 | 922,998 | |
NextEra Energy Capital Holdings, Inc. | |||
1,235,000 | 1.88%, 01/15/2027 | 1,136,311 | |
1,145,000 | 2.25%, 06/01/2030 | 980,003 | |
1,780,000 | 4.63%, 07/15/2027 | 1,777,649 | |
410,000 | 5.00%, 02/28/2030 | 414,917 | |
1,035,000 | 5.00%, 07/15/2032 | 1,042,147 | |
1,705,000 | NRG Energy, Inc. 2.45%, 12/02/2027(1) | 1,537,847 | |
705,000 | Oglethorpe Power Corp. 4.50%, 04/01/2047 | 600,306 | |
755,000 | Ohio Edison Co. 5.50%, 01/15/2033(1) | 765,552 | |
1,000,000 | Oncor Electric Delivery Co. LLC 5.65%, 11/15/2033(1) | 1,067,908 | |
Pacific Gas & Electric Co. | |||
3,780,000 | 2.50%, 02/01/2031 | 3,124,399 | |
320,000 | 3.50%, 08/01/2050 | 221,703 | |
260,000 | 4.40%, 03/01/2032 | 240,820 | |
2,255,000 | 4.55%, 07/01/2030 | 2,147,367 | |
529,000 | 5.25%, 03/01/2052 | 471,823 | |
895,000 | 5.90%, 06/15/2032 | 911,691 | |
3,475,000 | 6.10%, 01/15/2029 | 3,599,122 | |
1,195,000 | 6.15%, 01/15/2033 | 1,240,805 |
83 |
December 31, 2023
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 30.9% - (continued) | |||
Electric - 4.2% - (continued) | |||
$ 1,365,000 | 6.40%, 06/15/2033 | $ 1,438,926 | |
340,000 | PPL Capital Funding, Inc. 4.13%, 04/15/2030 | 324,265 | |
465,000 | Public Service Enterprise Group, Inc. 6.13%, 10/15/2033 | 500,779 | |
Puget Energy, Inc. | |||
885,000 | 2.38%, 06/15/2028 | 791,782 | |
2,070,000 | 3.65%, 05/15/2025 | 2,017,096 | |
130,000 | 4.10%, 06/15/2030 | 119,281 | |
130,000 | 4.22%, 03/15/2032 | 117,650 | |
1,085,000 | Sempra 5.40%, 08/01/2026 | 1,099,890 | |
Southern California Edison Co. | |||
1,390,000 | 2.85%, 08/01/2029 | 1,268,180 | |
355,000 | 5.30%, 03/01/2028 | 364,738 | |
Southern Co. | |||
210,000 | 3.70%, 04/30/2030 | 198,131 | |
1,170,000 | 5.20%, 06/15/2033 | 1,195,675 | |
1,275,000 | Southwestern Electric Power Co. 5.30%, 04/01/2033 | 1,277,515 | |
Virginia Electric & Power Co. | |||
356,000 | 2.45%, 12/15/2050 | 219,623 | |
1,145,000 | 5.00%, 04/01/2033 | 1,160,950 | |
720,000 | Xcel Energy, Inc. 4.60%, 06/01/2032 | 703,071 | |
74,812,950 | |||
Energy-Alternate Sources - 0.3% | |||
2,650,000 | Energo-Pro AS 8.50%, 02/04/2027(1) | 2,595,860 | |
1,085,000 | FS Luxembourg SARL 10.00%, 12/15/2025(1) | 1,112,686 | |
1,422,000 | Greenko Power II Ltd. 4.30%, 12/13/2028(7) | 1,280,156 | |
4,988,702 | |||
Engineering & Construction - 0.3% | |||
1,615,000 | IHS Holding Ltd. 6.25%, 11/29/2028(1) | 1,305,727 | |
3,127,589 | International Airport Finance SA 12.00%, 03/15/2033(1)(9) | 3,197,960 | |
4,503,687 | |||
Entertainment - 0.3% | |||
Warnermedia Holdings, Inc. | |||
455,000 | 4.28%, 03/15/2032 | 416,971 | |
400,000 | 5.39%, 03/15/2062 | 344,601 | |
WMG Acquisition Corp. | |||
725,000 | 3.75%, 12/01/2029(1) | 659,729 | |
4,525,000 | 3.88%, 07/15/2030(1) | 4,093,420 | |
5,514,721 | |||
Environmental Control - 0.3% | |||
4,475,000 | Clean Harbors, Inc. 4.88%, 07/15/2027(1) | 4,385,946 | |
1,145,000 | Veralto Corp. 5.35%, 09/18/2028(1) | 1,170,367 | |
5,556,313 | |||
Food - 0.3% | |||
411,000 | Conagra Brands, Inc. 4.85%, 11/01/2028 | 410,683 | |
345,000 | General Mills, Inc. 4.95%, 03/29/2033 | 349,889 | |
1,200,000 | Minerva Luxembourg SA 8.88%, 09/13/2033(1) | 1,268,753 | |
3,070,000 | NBM U.S. Holdings, Inc. 7.00%, 05/14/2026(1) | 3,104,608 | |
695,000 | Sysco Corp. 5.75%, 01/17/2029 | 724,551 | |
5,858,484 | |||
Gas - 0.5% | |||
365,000 | Atmos Energy Corp. 5.90%, 11/15/2033 | 396,707 | |
1,440,000 | Brooklyn Union Gas Co. 6.39%, 09/15/2033(1) | 1,506,099 | |
1,120,000 | KeySpan Gas East Corp. 5.99%, 03/06/2033(1) | 1,140,595 |
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 30.9% - (continued) | |||
Gas - 0.5% - (continued) | |||
NiSource, Inc. | |||
$ 500,000 | 3.49%, 05/15/2027 | $ 481,775 | |
1,690,000 | 3.60%, 05/01/2030 | 1,574,360 | |
585,000 | 5.25%, 03/30/2028 | 596,876 | |
1,045,000 | 5.40%, 06/30/2033 | 1,079,447 | |
985,000 | Southern California Gas Co. 5.20%, 06/01/2033 | 1,014,743 | |
280,000 | Southern Co. Gas Capital Corp. 5.75%, 09/15/2033 | 294,724 | |
780,000 | Southwest Gas Corp. 2.20%, 06/15/2030 | 664,147 | |
8,749,473 | |||
Hand/Machine Tools - 0.2% | |||
Regal Rexnord Corp. | |||
3,055,000 | 6.05%, 04/15/2028(1) | 3,094,907 | |
740,000 | 6.30%, 02/15/2030(1) | 760,151 | |
3,855,058 | |||
Healthcare - Products - 0.6% | |||
Alcon Finance Corp. | |||
1,164,000 | 2.75%, 09/23/2026(1) | 1,094,133 | |
560,000 | 3.00%, 09/23/2029(1) | 510,254 | |
455,000 | 5.38%, 12/06/2032(1) | 470,276 | |
340,000 | 5.75%, 12/06/2052(1) | 367,034 | |
3,220,000 | Avantor Funding, Inc. 4.63%, 07/15/2028(1) | 3,111,164 | |
745,000 | GE HealthCare Technologies, Inc. 5.86%, 03/15/2030 | 783,533 | |
Haleon U.S. Capital LLC | |||
1,005,000 | 3.38%, 03/24/2029 | 951,143 | |
265,000 | 3.63%, 03/24/2032 | 244,831 | |
2,812,000 | Hologic, Inc. 4.63%, 02/01/2028(1) | 2,698,712 | |
10,231,080 | |||
Healthcare - Services - 0.7% | |||
Centene Corp. | |||
850,000 | 2.45%, 07/15/2028 | 758,498 | |
95,000 | 3.38%, 02/15/2030 | 85,197 | |
435,000 | 4.25%, 12/15/2027 | 419,316 | |
5,230,000 | 4.63%, 12/15/2029 | 5,014,464 | |
470,000 | CommonSpirit Health 3.35%, 10/01/2029 | 429,638 | |
1,760,000 | HCA, Inc. 3.38%, 03/15/2029 | 1,625,414 | |
Humana, Inc. | |||
1,170,000 | 3.70%, 03/23/2029 | 1,125,204 | |
240,000 | 5.75%, 12/01/2028 | 250,695 | |
Kaiser Foundation Hospitals | |||
355,000 | 2.81%, 06/01/2041 | 267,880 | |
900,000 | 3.00%, 06/01/2051 | 643,998 | |
200,000 | Sutter Health 3.36%, 08/15/2050 | 149,086 | |
UnitedHealth Group, Inc. | |||
1,280,000 | 2.75%, 05/15/2040 | 968,827 | |
190,000 | 3.50%, 08/15/2039 | 161,970 | |
240,000 | 4.95%, 05/15/2062 | 237,682 | |
365,000 | 5.35%, 02/15/2033 | 386,607 | |
260,000 | 6.05%, 02/15/2063 | 301,095 | |
12,825,571 | |||
Home Builders - 0.2% | |||
Taylor Morrison Communities, Inc. | |||
540,000 | 5.13%, 08/01/2030(1) | 522,385 | |
2,558,000 | 5.75%, 01/15/2028(1) | 2,566,928 | |
3,089,313 | |||
Household Products - 0.0% | |||
840,000 | Kenvue, Inc. 5.05%, 03/22/2053 | 872,708 | |
Insurance - 0.8% | |||
580,000 | Aon Corp./Aon Global Holdings PLC 5.35%, 02/28/2033 | 596,034 | |
Athene Global Funding | |||
1,985,000 | 2.65%, 10/04/2031(1) | 1,615,582 |
84 |
December 31, 2023
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 30.9% - (continued) | |||
Insurance - 0.8% - (continued) | |||
$ 3,010,000 | 2.72%, 01/07/2029(1) | $ 2,619,995 | |
970,000 | Athene Holding Ltd. 5.88%, 01/15/2034 | 980,502 | |
Corebridge Financial, Inc. | |||
650,000 | 3.85%, 04/05/2029 | 612,689 | |
280,000 | 6.05%, 09/15/2033(1) | 292,152 | |
3,090,000 | Equitable Financial Life Global Funding 1.80%, 03/08/2028(1) | 2,710,012 | |
670,000 | Equitable Holdings, Inc. 4.35%, 04/20/2028 | 647,481 | |
560,000 | Marsh & McLennan Cos., Inc. 4.75%, 03/15/2039 | 545,516 | |
Metropolitan Life Global Funding I | |||
2,485,000 | 2.40%, 01/11/2032(1) | 2,064,304 | |
770,000 | 5.15%, 03/28/2033(1) | 784,971 | |
600,000 | Protective Life Global Funding 5.47%, 12/08/2028(1) | 616,625 | |
830,000 | Willis North America, Inc. 3.60%, 05/15/2024 | 822,369 | |
14,908,232 | |||
Internet - 0.5% | |||
Gen Digital, Inc. | |||
3,060,000 | 5.00%, 04/15/2025(1) | 3,029,400 | |
1,900,000 | 6.75%, 09/30/2027(1) | 1,932,247 | |
Go Daddy Operating Co. LLC/GD Finance Co., Inc. | |||
770,000 | 3.50%, 03/01/2029(1) | 695,418 | |
3,995,000 | 5.25%, 12/01/2027(1) | 3,914,733 | |
9,571,798 | |||
Iron/Steel - 0.0% | |||
620,000 | Vale Overseas Ltd. 6.13%, 06/12/2033 | 643,394 | |
IT Services - 0.3% | |||
5,541,000 | Booz Allen Hamilton, Inc. 3.88%, 09/01/2028(1) | 5,225,776 | |
Machinery-Diversified - 0.1% | |||
445,000 | Ingersoll Rand, Inc. 5.70%, 08/14/2033 | 471,098 | |
1,221,000 | Otis Worldwide Corp. 2.57%, 02/15/2030 | 1,088,984 | |
1,560,082 | |||
Media - 1.1% | |||
Charter Communications Operating LLC/Charter Communications Operating Capital | |||
695,000 | 2.25%, 01/15/2029 | 603,637 | |
640,000 | 3.50%, 03/01/2042 | 446,629 | |
645,000 | 4.80%, 03/01/2050 | 499,911 | |
290,000 | 5.13%, 07/01/2049 | 236,157 | |
2,225,000 | 6.48%, 10/23/2045 | 2,193,773 | |
55,000 | 6.83%, 10/23/2055 | 55,100 | |
1,484,000 | Comcast Corp. 2.94%, 11/01/2056 | 981,147 | |
1,105,000 | Cox Communications, Inc. 2.60%, 06/15/2031(1) | 937,766 | |
Discovery Communications LLC | |||
545,000 | 3.63%, 05/15/2030 | 494,711 | |
1,970,000 | 4.00%, 09/15/2055 | 1,407,504 | |
790,000 | 5.20%, 09/20/2047 | 682,703 | |
2,196,000 | 5.30%, 05/15/2049 | 1,891,435 | |
Paramount Global | |||
710,000 | 4.38%, 03/15/2043 | 526,252 | |
1,300,000 | 4.95%, 01/15/2031 | 1,234,640 | |
1,000,000 | 5.25%, 04/01/2044 | 803,897 | |
Sirius XM Radio, Inc. | |||
1,425,000 | 4.00%, 07/15/2028(1) | 1,316,970 | |
590,000 | 4.13%, 07/01/2030(1) | 524,967 |
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 30.9% - (continued) | |||
Media - 1.1% - (continued) | |||
$ 2,900,000 | Time Warner Cable Enterprises LLC 8.38%, 07/15/2033 | $ 3,359,951 | |
780,000 | Time Warner Cable LLC 6.55%, 05/01/2037 | 770,125 | |
18,967,275 | |||
Mining - 0.4% | |||
2,575,000 | Anglo American Capital PLC 2.63%, 09/10/2030(1) | 2,193,988 | |
1,020,000 | Corp. Nacional del Cobre de Chile 5.95%, 01/08/2034(1) | 1,033,923 | |
Glencore Funding LLC | |||
600,000 | 2.63%, 09/23/2031(1) | 510,000 | |
405,000 | 2.85%, 04/27/2031(1) | 350,270 | |
2,150,000 | 6.38%, 10/06/2030(1) | 2,311,059 | |
145,000 | Southern Copper Corp. 6.75%, 04/16/2040 | 162,376 | |
6,561,616 | |||
Office/Business Equipment - 0.3% | |||
CDW LLC/CDW Finance Corp. | |||
485,000 | 2.67%, 12/01/2026 | 453,553 | |
5,768,000 | 3.25%, 02/15/2029 | 5,274,230 | |
5,727,783 | |||
Oil & Gas - 1.5% | |||
Aker BP ASA | |||
1,367,000 | 2.00%, 07/15/2026(1) | 1,260,366 | |
465,000 | 3.10%, 07/15/2031(1) | 398,388 | |
525,000 | 5.60%, 06/13/2028(1) | 535,646 | |
1,055,000 | 6.00%, 06/13/2033(1) | 1,097,854 | |
BP Capital Markets America, Inc. | |||
115,000 | 2.94%, 06/04/2051 | 80,030 | |
2,025,000 | 4.81%, 02/13/2033 | 2,045,671 | |
1,140,000 | 4.89%, 09/11/2033 | 1,161,839 | |
ConocoPhillips Co. | |||
365,000 | 4.03%, 03/15/2062 | 297,807 | |
580,000 | 5.05%, 09/15/2033 | 597,105 | |
1,050,000 | 5.70%, 09/15/2063 | 1,141,897 | |
600,000 | Diamondback Energy, Inc. 6.25%, 03/15/2033 | 641,823 | |
Ecopetrol SA | |||
790,000 | 4.63%, 11/02/2031 | 670,097 | |
3,050,000 | 8.63%, 01/19/2029 | 3,250,028 | |
Energian Israel Finance Ltd. | |||
735,000 | 4.88%, 03/30/2026(7) | 676,200 | |
695,000 | 5.88%, 03/30/2031(7) | 585,675 | |
680,000 | 8.50%, 09/30/2033(7) | 648,550 | |
Equinor ASA | |||
675,000 | 3.63%, 04/06/2040 | 584,648 | |
320,000 | 3.70%, 04/06/2050 | 265,377 | |
Hess Corp. | |||
417,000 | 7.13%, 03/15/2033 | 482,839 | |
430,000 | 7.30%, 08/15/2031 | 496,873 | |
2,045,000 | Leviathan Bond Ltd. 6.50%, 06/30/2027(7) | 1,918,955 | |
630,000 | Marathon Oil Corp. 6.60%, 10/01/2037 | 667,622 | |
Occidental Petroleum Corp. | |||
167,000 | 6.13%, 01/01/2031 | 173,377 | |
1,820,000 | 6.63%, 09/01/2030 | 1,935,588 | |
85,000 | 7.50%, 05/01/2031 | 95,314 | |
785,000 | Ovintiv, Inc. 6.63%, 08/15/2037 | 814,735 | |
Patterson-UTI Energy, Inc. | |||
1,310,000 | 5.15%, 11/15/2029 | 1,252,620 | |
565,000 | 7.15%, 10/01/2033 | 599,983 | |
Shell International Finance BV | |||
215,000 | 2.88%, 11/26/2041 | 163,467 | |
620,000 | 3.00%, 11/26/2051 | 443,629 | |
575,000 | 3.25%, 04/06/2050 | 433,926 | |
2,200,000 | Viper Energy, Inc. 5.38%, 11/01/2027(1) | 2,158,939 | |
27,576,868 |
85 |
December 31, 2023
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 30.9% - (continued) | |||
Packaging & Containers - 0.3% | |||
$ 6,115,000 | Ball Corp. 6.00%, 06/15/2029 | $ 6,244,669 | |
Pharmaceuticals - 0.2% | |||
1,560,000 | Bayer U.S. Finance LLC 6.38%, 11/21/2030(1) | 1,604,160 | |
CVS Health Corp. | |||
1,095,000 | 2.70%, 08/21/2040 | 783,366 | |
435,000 | 4.13%, 04/01/2040 | 374,706 | |
755,000 | 5.13%, 02/21/2030 | 767,740 | |
525,000 | 5.25%, 01/30/2031 | 539,145 | |
4,069,117 | |||
Pipelines - 1.6% | |||
630,000 | Cheniere Energy Partners LP 4.50%, 10/01/2029 | 601,306 | |
1,370,000 | Columbia Pipelines Holding Co. LLC 6.04%, 08/15/2028(1) | 1,415,308 | |
Columbia Pipelines Operating Co. LLC | |||
820,000 | 5.93%, 08/15/2030(1) | 849,035 | |
1,255,000 | 6.04%, 11/15/2033(1) | 1,316,444 | |
800,000 | 6.54%, 11/15/2053(1) | 884,435 | |
1,485,000 | EIG Pearl Holdings SARL 3.55%, 08/31/2036(1) | 1,291,950 | |
Enbridge, Inc. | |||
2,520,000 | 5.70%, 03/08/2033 | 2,624,619 | |
655,000 | 6.00%, 11/15/2028 | 688,289 | |
1,540,000 | 8.50%, 01/15/2084, (8.50% fixed rate until 10/15/2033; 5 yr. USD CMT + 4.43% thereafter)(6) | 1,638,107 | |
Energy Transfer LP | |||
1,060,000 | 5.25%, 04/15/2029 | 1,069,096 | |
870,000 | 6.05%, 12/01/2026 | 894,129 | |
1,785,000 | 6.40%, 12/01/2030 | 1,908,484 | |
125,000 | EQM Midstream Partners LP 6.50%, 07/01/2027(1) | 127,261 | |
528,146 | Galaxy Pipeline Assets Bidco Ltd. 2.94%, 09/30/2040(1) | 434,548 | |
Greensaif Pipelines Bidco SARL | |||
2,130,000 | 6.13%, 02/23/2038(1) | 2,225,451 | |
1,690,000 | 6.51%, 02/23/2042(1) | 1,784,104 | |
405,000 | MPLX LP 1.75%, 03/01/2026 | 379,021 | |
ONEOK, Inc. | |||
210,000 | 3.10%, 03/15/2030 | 188,815 | |
855,000 | 3.40%, 09/01/2029 | 788,656 | |
335,000 | 4.35%, 03/15/2029 | 325,924 | |
705,000 | 6.10%, 11/15/2032 | 750,482 | |
Targa Resources Corp. | |||
65,000 | 4.20%, 02/01/2033 | 59,910 | |
185,000 | 6.13%, 03/15/2033 | 195,199 | |
865,000 | 6.15%, 03/01/2029 | 905,639 | |
570,000 | 6.25%, 07/01/2052 | 590,314 | |
Targa Resources Partners LP/Targa Resources Partners Finance Corp. | |||
840,000 | 4.00%, 01/15/2032 | 768,436 | |
280,000 | 4.88%, 02/01/2031 | 271,676 | |
400,000 | Transcontinental Gas Pipe Line Co. LLC 3.25%, 05/15/2030 | 363,094 | |
Western Midstream Operating LP | |||
580,000 | 4.75%, 08/15/2028 | 566,259 | |
980,000 | 6.15%, 04/01/2033 | 1,018,773 | |
Williams Cos., Inc. | |||
1,490,000 | 4.65%, 08/15/2032 | 1,453,365 | |
725,000 | 5.65%, 03/15/2033 | 758,837 | |
29,136,966 | |||
Real Estate Investment Trusts - 0.9% | |||
American Tower Corp. | |||
320,000 | 2.70%, 04/15/2031 | 275,200 |
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 30.9% - (continued) | |||
Real Estate Investment Trusts - 0.9% - (continued) | |||
$ 1,145,000 | 3.80%, 08/15/2029 | $ 1,087,727 | |
880,000 | 5.80%, 11/15/2028 | 914,102 | |
Crown Castle, Inc. | |||
960,000 | 2.90%, 03/15/2027 | 898,030 | |
2,780,000 | 4.80%, 09/01/2028 | 2,745,766 | |
785,000 | 5.00%, 01/11/2028 | 782,730 | |
710,000 | 5.60%, 06/01/2029 | 726,732 | |
1,135,000 | Equinix, Inc. 3.20%, 11/18/2029 | 1,043,843 | |
GLP Capital LP/GLP Financing II, Inc. | |||
435,000 | 4.00%, 01/15/2031 | 391,780 | |
1,025,000 | 5.30%, 01/15/2029 | 1,018,102 | |
1,535,000 | 5.75%, 06/01/2028 | 1,547,151 | |
2,240,000 | SBA Tower Trust 2.84%, 01/15/2050(1) | 2,163,110 | |
2,187,000 | VICI Properties LP 4.95%, 02/15/2030 | 2,116,646 | |
15,710,919 | |||
Retail - 0.5% | |||
AutoZone, Inc. | |||
765,000 | 4.75%, 08/01/2032 | 758,669 | |
235,000 | 4.75%, 02/01/2033 | 231,809 | |
670,000 | 6.55%, 11/01/2033 | 745,404 | |
FirstCash, Inc. | |||
3,352,000 | 4.63%, 09/01/2028(1) | 3,129,167 | |
1,735,000 | 5.63%, 01/01/2030(1) | 1,661,149 | |
1,755,000 | O'Reilly Automotive, Inc. 4.70%, 06/15/2032 | 1,739,150 | |
8,265,348 | |||
Semiconductors - 0.3% | |||
Intel Corp. | |||
350,000 | 3.10%, 02/15/2060 | 242,467 | |
500,000 | 5.90%, 02/10/2063 | 559,914 | |
Marvell Technology, Inc. | |||
1,720,000 | 2.45%, 04/15/2028 | 1,553,899 | |
85,000 | 2.95%, 04/15/2031 | 74,399 | |
370,000 | 5.95%, 09/15/2033 | 393,327 | |
385,000 | NXP BV/NXP Funding LLC 5.55%, 12/01/2028 | 396,726 | |
410,000 | NXP BV/NXP Funding LLC/NXP USA, Inc. 4.30%, 06/18/2029 | 398,745 | |
1,035,000 | Qorvo, Inc. 3.38%, 04/01/2031(1) | 886,165 | |
4,505,642 | |||
Software - 1.3% | |||
4,249,000 | Black Knight InfoServ LLC 3.63%, 09/01/2028(1) | 4,033,363 | |
3,542,000 | Fair Isaac Corp. 4.00%, 06/15/2028(1) | 3,350,320 | |
MSCI, Inc. | |||
668,000 | 3.63%, 11/01/2031(1) | 587,895 | |
392,000 | 3.88%, 02/15/2031(1) | 358,104 | |
1,870,000 | 4.00%, 11/15/2029(1) | 1,757,386 | |
Open Text Corp. | |||
3,075,000 | 3.88%, 12/01/2029(1) | 2,757,024 | |
2,515,000 | 6.90%, 12/01/2027(1) | 2,614,984 | |
600,000 | Open Text Holdings, Inc. 4.13%, 12/01/2031(1) | 530,535 | |
Oracle Corp. | |||
405,000 | 2.95%, 04/01/2030 | 365,840 | |
2,900,000 | 3.85%, 04/01/2060 | 2,112,337 | |
745,000 | 4.10%, 03/25/2061 | 570,227 | |
70,000 | 4.13%, 05/15/2045 | 57,331 | |
1,400,000 | 6.15%, 11/09/2029 | 1,508,045 | |
3,245,000 | SS&C Technologies, Inc. 5.50%, 09/30/2027(1) | 3,197,595 | |
23,800,986 | |||
Telecommunications - 0.6% | |||
AT&T, Inc. | |||
2,044,000 | 3.55%, 09/15/2055 | 1,477,762 | |
1,266,000 | 3.80%, 12/01/2057 | 945,304 |
86 |
December 31, 2023
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 30.9% - (continued) | |||
Telecommunications - 0.6% - (continued) | |||
$ 3,170,000 | Nokia OYJ 4.38%, 06/12/2027 | $ 3,069,366 | |
885,000 | Rogers Communications, Inc. 3.80%, 03/15/2032 | 815,328 | |
T-Mobile USA, Inc. | |||
2,235,000 | 3.88%, 04/15/2030 | 2,121,243 | |
815,000 | 5.05%, 07/15/2033 | 822,876 | |
830,000 | 5.75%, 01/15/2034 | 882,389 | |
10,134,268 | |||
Trucking & Leasing - 0.4% | |||
3,775,000 | DAE Funding LLC 1.55%, 08/01/2024(1) | 3,674,376 | |
Penske Truck Leasing Co. LP/PTL Finance Corp. | |||
1,145,000 | 2.70%, 11/01/2024(1) | 1,113,603 | |
1,185,000 | 4.00%, 07/15/2025(1) | 1,159,153 | |
1,170,000 | 4.40%, 07/01/2027(1) | 1,141,597 | |
430,000 | 6.05%, 08/01/2028(1) | 446,337 | |
7,535,066 | |||
Total Corporate Bonds (cost $564,314,045) | $ 552,931,752 | ||
FOREIGN GOVERNMENT OBLIGATIONS - 3.0% | |||
Angola - 0.1% | |||
Angola Government International Bonds | |||
1,600,000 | 8.00%, 11/26/2029(7) | $ 1,419,040 | |
310,000 | 8.75%, 04/14/2032(1) | 272,175 | |
1,691,215 | |||
Benin - 0.1% | |||
EUR 2,640,000 | Benin Government International Bonds 4.95%, 01/22/2035(1) | 2,289,575 | |
Bermuda - 0.1% | |||
Bermuda Government International Bonds | |||
$ 735,000 | 2.38%, 08/20/2030(1) | 629,079 | |
1,825,000 | 5.00%, 07/15/2032(1) | 1,810,400 | |
2,439,479 | |||
Brazil - 0.5% | |||
BRL 42,374,000 | Brazil Notas do Tesouro Nacional 10.00%, 01/01/2031 | 8,614,893 | |
Chile - 0.1% | |||
EUR 1,605,000 | Chile Government International Bonds 1.25%, 01/22/2051 | 989,704 | |
Colombia - 0.2% | |||
Colombia Government International Bonds | |||
$ 2,685,000 | 5.00%, 06/15/2045 | 2,079,828 | |
395,000 | 5.20%, 05/15/2049 | 308,383 | |
1,180,000 | 5.63%, 02/26/2044 | 990,626 | |
3,378,837 | |||
Costa Rica - 0.1% | |||
1,140,000 | Costa Rica Government International Bonds 6.55%, 04/03/2034(1) | 1,179,900 | |
Hungary - 0.4% | |||
Hungary Government International Bonds | |||
EUR 5,610,000 | 1.63%, 04/28/2032(7) | 5,023,155 | |
$ 2,010,000 | 6.13%, 05/22/2028(1) | 2,087,763 | |
7,110,918 | |||
Indonesia - 0.2% | |||
Indonesia Government International Bonds | |||
EUR 3,795,000 | 1.10%, 03/12/2033 | 3,304,519 | |
240,000 | 2.15%, 07/18/2024(7) | 261,490 | |
3,566,009 |
Shares or Principal Amount | Market Value† | ||
FOREIGN GOVERNMENT OBLIGATIONS - 3.0% - (continued) | |||
Ivory Coast - 0.1% | |||
EUR 1,965,000 | Ivory Coast Government International Bonds 4.88%, 01/30/2032(7) | $ 1,823,655 | |
Mexico - 0.0% | |||
$ 290,000 | Mexico Government International Bonds 6.34%, 05/04/2053 | 295,226 | |
North Macedonia - 0.2% | |||
North Macedonia Government International Bonds | |||
EUR 1,825,000 | 2.75%, 01/18/2025(7) | 1,964,232 | |
2,165,000 | 3.68%, 06/03/2026(1) | 2,314,479 | |
4,278,711 | |||
Panama - 0.0% | |||
$ 590,000 | Panama Government International Bonds 6.88%, 01/31/2036 | 588,313 | |
Philippines - 0.2% | |||
Philippines Government International Bonds | |||
EUR 3,315,000 | 1.20%, 04/28/2033 | 2,929,103 | |
710,000 | 1.75%, 04/28/2041 | 546,351 | |
3,475,454 | |||
Poland - 0.0% | |||
$ 670,000 | Bank Gospodarstwa Krajowego 5.38%, 05/22/2033(1) | 678,785 | |
Romania - 0.5% | |||
Romania Government International Bonds | |||
EUR 2,970,000 | 2.63%, 12/02/2040(1) | 2,196,691 | |
6,785,000 | 2.75%, 04/14/2041(7) | 5,018,502 | |
1,315,000 | 3.38%, 02/08/2038(7) | 1,134,006 | |
8,349,199 | |||
Saudi Arabia - 0.2% | |||
Saudi Government International Bonds | |||
1,140,000 | 2.00%, 07/09/2039(7) | 971,225 | |
$ 2,000,000 | 5.00%, 01/18/2053(1) | 1,882,636 | |
2,853,861 | |||
Total Foreign Government Obligations (cost $64,526,650) | $ 53,603,734 | ||
MUNICIPAL BONDS - 1.4% | |||
Development - 0.3% | |||
4,650,000 | New York Transportation Dev Corp., NY, Rev 4.25%, 09/01/2035 | $ 4,531,789 | |
General - 0.6% | |||
720,000 | Chicago Transit Auth Sales Tax Receipts Fund, IL, Rev 3.91%, 12/01/2040 | 623,181 | |
5,445,000 | Philadelphia Auth for Industrial Dev, PA, Rev, (NATL Insured) 6.55%, 10/15/2028 | 5,801,144 | |
4,130,000 | State Board of Administration Finance Corp., FL, Rev 1.26%, 07/01/2025 | 3,918,668 | |
10,342,993 | |||
School District - 0.2% | |||
Chicago Board of Education, IL, GO | |||
1,115,000 | 6.14%, 12/01/2039 | 1,054,958 | |
2,280,000 | 6.32%, 11/01/2029 | 2,282,811 | |
3,337,769 | |||
Transportation - 0.2% | |||
2,790,000 | Metropolitan Transportation Auth, NY, Rev 6.81%, 11/15/2040 | 3,091,244 |
87 |
December 31, 2023
Shares or Principal Amount | Market Value† | ||
MUNICIPAL BONDS - 1.4% - (continued) | |||
Utilities - 0.1% | |||
$ 2,395,000 | Texas Natural Gas Securitization Finance Corp., TX, Rev 5.10%, 04/01/2035 | $ 2,440,835 | |
Utility - Electric - 0.0% | |||
731,000 | Municipal Electric Auth of Georgia, GA, Rev 6.64%, 04/01/2057 | 834,133 | |
Total Municipal Bonds (cost $26,378,582) | $ 24,578,763 | ||
SENIOR FLOATING RATE INTERESTS - 0.0%(10) | |||
Oil & Gas Services - 0.0% | |||
749,867 | PES Holdings LLC 0.00%, 12/31/2024, U.S. (Fed) Prime Rate + 1.50%(11)(12) | $ 7,499 | |
Total Senior Floating Rate Interests (cost $749,867) | $ 7,499 | ||
U.S. GOVERNMENT AGENCIES - 46.2% | |||
Mortgage-Backed Agencies - 46.2% | |||
Federal Home Loan Mortgage Corp. - 7.9% | |||
45,482 | 0.00%, 11/15/2036(13)(14) | $ 37,068 | |
19,138,185 | 0.60%, 03/25/2027(3)(4) | 307,396 | |
4,783,817 | 0.63%, 10/25/2026(3)(4) | 64,636 | |
17,216,296 | 0.72%, 12/25/2030(3)(4) | 685,660 | |
10,113,330 | 0.75%, 06/25/2027(3)(4) | 212,695 | |
4,230,217 | 0.88%, 11/25/2030(3)(4) | 199,856 | |
2,142,168 | 1.00%, 02/25/2051 | 1,796,895 | |
7,725,528 | 1.02%, 10/25/2030(3)(4) | 412,388 | |
12,817,440 | 1.12%, 06/25/2030(3)(4) | 739,703 | |
9,316,210 | 1.50%, 05/15/2037(4) | 541,063 | |
844,748 | 1.50%, 11/01/2051 | 658,391 | |
6,234,921 | 1.57%, 05/25/2030(3)(4) | 486,359 | |
645,008 | 1.75%, 10/15/2042 | 554,642 | |
1,526,789 | 2.00%, 05/01/2036 | 1,379,593 | |
637,527 | 2.00%, 06/01/2036 | 576,053 | |
307,550 | 2.00%, 12/01/2040 | 264,807 | |
1,914,641 | 2.00%, 05/01/2041 | 1,641,396 | |
2,118,974 | 2.00%, 12/01/2041 | 1,811,269 | |
1,699,988 | 2.00%, 10/01/2050 | 1,398,119 | |
1,620,667 | 2.00%, 02/01/2051 | 1,347,109 | |
8,504,739 | 2.00%, 03/01/2051 | 6,999,360 | |
2,864,290 | 2.00%, 04/01/2051 | 2,351,028 | |
1,620,331 | 2.00%, 05/01/2051 | 1,347,744 | |
692,273 | 2.00%, 08/01/2051 | 567,146 | |
699,709 | 2.00%, 11/01/2051 | 577,398 | |
3,125,285 | 2.00%, 04/01/2052 | 2,586,611 | |
3,758,580 | 2.00%, 06/15/2052(4) | 462,033 | |
196,352 | 2.50%, 05/15/2028(4) | 7,210 | |
964,837 | 2.50%, 05/01/2050 | 835,237 | |
1,118,429 | 2.50%, 06/01/2050 | 962,806 | |
6,403,737 | 2.50%, 07/01/2050 | 5,503,099 | |
1,969,721 | 2.50%, 11/01/2050 | 1,687,687 | |
597,940 | 2.50%, 02/01/2051 | 517,869 | |
2,022,978 | 2.50%, 03/01/2051 | 1,733,419 | |
2,473,404 | 2.50%, 03/25/2051(4) | 347,805 | |
747,935 | 2.50%, 05/01/2051 | 639,974 | |
930,566 | 2.50%, 07/01/2051 | 798,051 | |
657,965 | 2.50%, 08/01/2051 | 562,980 | |
1,160,949 | 2.50%, 10/01/2051 | 993,488 | |
2,973,674 | 2.50%, 03/15/2052(4) | 418,942 | |
1,922,338 | 2.50%, 03/25/2052 | 1,706,451 | |
3,679,740 | 2.50%, 04/01/2052 | 3,135,413 | |
423,330 | 3.00%, 03/15/2028(4) | 17,567 | |
634,273 | 3.00%, 08/01/2029 | 612,917 | |
160,442 | 3.00%, 05/15/2032(4) | 3,125 | |
2,020,617 | 3.00%, 10/01/2032 | 1,931,533 | |
317,654 | 3.00%, 03/15/2033(4) | 26,237 |
Shares or Principal Amount | Market Value† | ||
U.S. GOVERNMENT AGENCIES - 46.2% - (continued) | |||
Mortgage-Backed Agencies - 46.2% - (continued) | |||
Federal Home Loan Mortgage Corp. - 7.9% - (continued) | |||
$ 1,298,906 | 3.00%, 04/01/2033 | $ 1,235,121 | |
1,946,148 | 3.00%, 11/01/2036 | 1,815,577 | |
1,100,568 | 3.00%, 01/01/2037 | 1,026,769 | |
2,025,000 | 3.00%, 03/25/2040 | 1,766,132 | |
575,244 | 3.00%, 05/15/2046 | 531,826 | |
3,611,979 | 3.00%, 11/01/2046 | 3,292,914 | |
925,390 | 3.00%, 12/01/2046 | 843,279 | |
803,513 | 3.00%, 07/01/2050 | 717,382 | |
313,827 | 3.00%, 08/01/2051 | 280,618 | |
2,836,995 | 3.00%, 09/25/2051(4) | 456,720 | |
2,126,523 | 3.00%, 10/01/2051 | 1,902,342 | |
810,513 | 3.00%, 01/01/2052 | 727,862 | |
1,025,929 | 3.00%, 05/01/2052 | 916,264 | |
363,470 | 3.25%, 11/15/2041 | 336,438 | |
78,133 | 3.50%, 09/15/2026(4) | 2,314 | |
73,464 | 3.50%, 03/15/2027(4) | 1,660 | |
849,537 | 3.50%, 05/15/2034(4) | 64,136 | |
1,364,551 | 3.50%, 08/01/2034 | 1,312,161 | |
476,975 | 3.50%, 03/15/2041(4) | 14,590 | |
432,353 | 3.50%, 10/15/2045 | 394,873 | |
358,960 | 3.50%, 06/01/2046 | 335,880 | |
1,114,723 | 3.50%, 12/15/2046 | 1,007,586 | |
1,227,731 | 3.50%, 10/01/2047 | 1,148,767 | |
458,538 | 3.50%, 12/01/2047 | 428,443 | |
6,618,187 | 3.50%, 03/01/2048 | 6,197,804 | |
199,010 | 3.50%, 08/01/2048 | 186,216 | |
390,286 | 4.00%, 08/01/2025 | 385,401 | |
129,842 | 4.00%, 12/15/2026(4) | 2,262 | |
204,648 | 4.00%, 07/15/2027(4) | 4,013 | |
142,802 | 4.00%, 03/15/2028(4) | 3,718 | |
87,823 | 4.00%, 06/15/2028(4) | 2,589 | |
300,197 | 4.00%, 07/15/2030(4) | 20,468 | |
1,289,348 | 4.00%, 05/25/2040(4) | 192,696 | |
1,307,438 | 4.00%, 09/15/2041 | 1,253,962 | |
1,139,097 | 4.00%, 05/01/2042 | 1,113,343 | |
378,714 | 4.00%, 08/01/2042 | 369,368 | |
569,641 | 4.00%, 09/01/2042 | 555,584 | |
29,464 | 4.00%, 07/01/2044 | 28,875 | |
105,266 | 4.00%, 06/01/2045 | 101,755 | |
427,570 | 4.00%, 02/01/2046 | 413,312 | |
141,216 | 4.00%, 04/01/2047 | 137,130 | |
117,273 | 4.00%, 09/01/2048 | 113,263 | |
2,587,973 | 4.00%, 04/01/2049 | 2,487,887 | |
512,810 | 4.00%, 05/01/2049 | 495,009 | |
1,930,908 | 4.00%, 07/01/2049 | 1,868,506 | |
196,885 | 4.50%, 09/01/2044 | 194,991 | |
979,104 | 4.75%, 07/15/2039 | 960,767 | |
405,045 | 5.00%, 09/15/2033(4) | 57,623 | |
3,856 | 5.00%, 03/01/2039 | 3,928 | |
117,853 | 5.00%, 08/01/2039 | 120,063 | |
2,770 | 5.00%, 09/01/2039 | 2,791 | |
6,858 | 5.00%, 12/01/2039 | 6,949 | |
6,153 | 5.00%, 04/01/2041 | 6,268 | |
13,977 | 5.00%, 04/01/2044 | 14,238 | |
10,088 | 5.00%, 05/01/2044 | 10,183 | |
510,398 | 5.00%, 02/15/2048(4) | 100,656 | |
595,457 | 5.00%, 08/01/2052 | 590,504 | |
17,097,144 | 5.00%, 09/01/2052 | 16,946,819 | |
1,670,336 | 5.00%, 04/01/2053 | 1,664,511 | |
10,200 | 5.50%, 03/01/2028 | 10,257 | |
26,040 | 5.50%, 04/01/2033 | 26,875 | |
346,315 | 5.50%, 05/01/2034 | 357,425 | |
6,189 | 5.50%, 05/01/2037 | 6,388 | |
17,319 | 5.50%, 11/01/2037 | 17,875 | |
32,158 | 5.50%, 02/01/2038 | 33,193 | |
13,578 | 5.50%, 04/01/2038 | 14,015 |
88 |
December 31, 2023
Shares or Principal Amount | Market Value† | ||
U.S. GOVERNMENT AGENCIES - 46.2% - (continued) | |||
Mortgage-Backed Agencies - 46.2% - (continued) | |||
Federal Home Loan Mortgage Corp. - 7.9% - (continued) | |||
$ 17,391 | 5.50%, 06/01/2038 | $ 17,949 | |
1,820,425 | 5.50%, 08/01/2038 | 1,878,865 | |
183,317 | 5.50%, 09/01/2038 | 189,205 | |
3,540 | 5.50%, 12/01/2039 | 3,654 | |
47,596 | 5.50%, 02/01/2040 | 49,125 | |
159,239 | 5.50%, 05/01/2040 | 164,354 | |
153,563 | 5.50%, 08/01/2040 | 158,495 | |
810,186 | 5.50%, 06/01/2041 | 836,208 | |
660,063 | 5.50%, 10/15/2046(4) | 133,702 | |
2,332,530 | 5.50%, 02/01/2053 | 2,353,306 | |
777 | 6.00%, 07/01/2029 | 805 | |
83,866 | 6.00%, 10/01/2032 | 87,163 | |
18,153 | 6.00%, 11/01/2032 | 18,797 | |
102,956 | 6.00%, 12/01/2032 | 106,785 | |
7,934 | 6.00%, 11/01/2033 | 8,285 | |
17,759 | 6.00%, 01/01/2034 | 18,406 | |
8,075 | 6.00%, 02/01/2034 | 8,429 | |
82,409 | 6.00%, 08/01/2034 | 86,261 | |
87,061 | 6.00%, 09/01/2034 | 91,123 | |
103,756 | 6.00%, 01/01/2035 | 107,789 | |
509,598 | 6.00%, 11/01/2037 | 533,351 | |
1,343,787 | 6.00%, 12/01/2052 | 1,383,334 | |
668,230 | 6.00%, 03/01/2053 | 687,525 | |
112 | 6.50%, 08/01/2032 | 117 | |
261,866 | 6.50%, 07/15/2036 | 267,235 | |
57,035 | 6.50%, 12/01/2037 | 60,297 | |
1,543,549 | 6.50%, 11/01/2053 | 1,589,100 | |
28 | 7.50%, 09/01/2029 | 28 | |
1,432,000 | 8.24%, 04/25/2042, 30 day USD SOFR Average + 2.90%(1)(2) | 1,470,350 | |
1,310,000 | 8.59%, 04/25/2043, 30 day USD SOFR Average + 3.25%(1)(2) | 1,363,491 | |
2,005,000 | 8.69%, 05/25/2042, 30 day USD SOFR Average + 3.35%(1)(2) | 2,084,877 | |
4,410,000 | 8.69%, 06/25/2043, 30 day USD SOFR Average + 3.35%(1)(2) | 4,649,794 | |
470,000 | 8.84%, 03/25/2042, 30 day USD SOFR Average + 3.50%(1)(2) | 486,647 | |
3,815,000 | 8.84%, 05/25/2043, 30 day USD SOFR Average + 3.50%(1)(2) | 4,031,664 | |
620,000 | 8.89%, 08/25/2042, 30 day USD SOFR Average + 3.55%(1)(2) | 641,006 | |
1,705,000 | 9.04%, 09/25/2042, 30 day USD SOFR Average + 3.70%(1)(2) | 1,793,528 | |
1,525,000 | 9.34%, 07/25/2042, 30 day USD SOFR Average + 4.00%(1)(2) | 1,598,651 | |
2,440,000 | 9.84%, 06/25/2042, 30 day USD SOFR Average + 4.50%(1)(2) | 2,627,221 | |
141,674,284 | |||
Federal National Mortgage Association - 14.6% | |||
50,735 | 0.00%, 03/25/2036(13)(14) | 43,714 | |
439,234 | 0.00%, 06/25/2036(13)(14) | 383,139 | |
379,944 | 0.00%, 06/25/2041(13)(14) | 288,866 | |
7,595,603 | 0.30%, 01/25/2030(3)(4) | 79,632 | |
8,068,654 | 1.41%, 05/25/2029(3)(4) | 379,097 | |
1,060,606 | 1.48%, 05/25/2046(3)(4) | 58,942 | |
5,719,477 | 1.50%, 09/01/2051 | 4,461,476 | |
331,955 | 1.50%, 10/01/2051 | 258,674 | |
439,559 | 1.50%, 04/01/2052 | 342,976 | |
1,101,110 | 1.70%, 04/25/2055(3)(4) | 55,216 | |
1,049,346 | 1.75%, 12/25/2042 | 919,512 | |
1,580,452 | 2.00%, 05/01/2036 | 1,428,069 | |
2,369,531 | 2.00%, 06/01/2036 | 2,141,088 | |
1,774,895 | 2.00%, 08/01/2036 | 1,603,748 | |
1,116,465 | 2.00%, 09/01/2036 | 1,008,798 |
Shares or Principal Amount | Market Value† | ||
U.S. GOVERNMENT AGENCIES - 46.2% - (continued) | |||
Mortgage-Backed Agencies - 46.2% - (continued) | |||
Federal National Mortgage Association - 14.6% - (continued) | |||
$ 811,926 | 2.00%, 12/01/2036 | $ 733,620 | |
632,031 | 2.00%, 09/25/2039 | 555,173 | |
1,290,400 | 2.00%, 09/01/2040 | 1,111,273 | |
2,892,314 | 2.00%, 12/01/2040 | 2,490,733 | |
1,166,553 | 2.00%, 04/01/2041 | 1,001,348 | |
399,745 | 2.00%, 05/01/2041 | 342,740 | |
1,531,897 | 2.00%, 10/01/2041 | 1,310,575 | |
7,592,161 | 2.00%, 12/01/2050 | 6,247,172 | |
9,546,233 | 2.00%, 02/01/2051 | 7,851,993 | |
14,059,280 | 2.00%, 03/01/2051 | 11,545,719 | |
14,458,040 | 2.00%, 04/01/2051 | 11,872,912 | |
1,585,553 | 2.00%, 05/01/2051 | 1,300,287 | |
536,207 | 2.00%, 07/01/2051 | 440,069 | |
703,571 | 2.00%, 10/01/2051 | 583,770 | |
3,681,820 | 2.00%, 03/25/2052(4) | 462,069 | |
24,525 | 2.00%, 04/01/2052 | 20,069 | |
732,919 | 2.01%, 06/25/2055(3)(4) | 43,170 | |
827,052 | 2.03%, 08/25/2044(3)(4) | 36,095 | |
800,230 | 2.25%, 04/01/2033 | 670,744 | |
185,621 | 2.50%, 06/25/2028(4) | 6,683 | |
2,128,936 | 2.50%, 09/01/2040 | 1,897,263 | |
90,578 | 2.50%, 01/01/2043 | 79,815 | |
2,125,494 | 2.50%, 02/01/2043 | 1,872,850 | |
716,283 | 2.50%, 03/01/2043 | 631,233 | |
1,558,588 | 2.50%, 05/01/2043 | 1,361,007 | |
1,227,683 | 2.50%, 06/01/2043 | 1,081,854 | |
680,991 | 2.50%, 04/01/2045 | 593,332 | |
974,905 | 2.50%, 04/01/2050 | 836,967 | |
1,118,752 | 2.50%, 06/01/2050 | 960,813 | |
192,320 | 2.50%, 07/01/2050 | 164,871 | |
1,744,810 | 2.50%, 09/01/2050 | 1,496,324 | |
3,034,000 | 2.50%, 10/01/2050 | 2,624,031 | |
1,281,333 | 2.50%, 01/01/2051 | 1,105,071 | |
3,040,480 | 2.50%, 02/25/2051(4) | 488,528 | |
20,070,637 | 2.50%, 05/01/2051 | 17,223,050 | |
2,516,047 | 2.50%, 06/01/2051 | 2,144,068 | |
1,450,177 | 2.50%, 07/01/2051 | 1,242,725 | |
996,027 | 2.50%, 09/01/2051 | 852,435 | |
6,724,795 | 2.50%, 10/01/2051 | 5,750,258 | |
14,273,664 | 2.50%, 11/01/2051 | 12,301,917 | |
1,721,128 | 2.50%, 12/01/2051 | 1,481,181 | |
1,659,471 | 2.50%, 01/01/2052 | 1,429,251 | |
2,474,597 | 2.50%, 03/01/2052 | 2,115,053 | |
1,719,148 | 2.50%, 04/01/2052 | 1,471,012 | |
3,135,296 | 2.50%, 06/25/2052(4) | 468,712 | |
2,320,036 | 2.50%, 09/25/2052(4) | 354,320 | |
2,190,978 | 2.50%, 01/01/2057 | 1,864,917 | |
138,208 | 3.00%, 02/25/2027(4) | 1,621 | |
150,026 | 3.00%, 09/25/2027(4) | 5,131 | |
876,679 | 3.00%, 01/25/2028(4) | 28,518 | |
1,889,353 | 3.00%, 04/25/2033(4) | 119,986 | |
533,910 | 3.00%, 08/01/2033 | 510,151 | |
1,300,416 | 3.00%, 03/01/2037 | 1,211,449 | |
1,695,453 | 3.00%, 03/25/2043 | 1,509,424 | |
1,839,155 | 3.00%, 04/25/2043 | 1,666,964 | |
1,165,219 | 3.00%, 09/01/2048 | 1,059,213 | |
1,209,979 | 3.00%, 08/25/2049 | 1,096,515 | |
171,341 | 3.00%, 12/01/2049 | 153,749 | |
790,480 | 3.00%, 02/01/2050 | 712,915 | |
2,782,544 | 3.00%, 08/01/2050 | 2,493,670 | |
1,126,799 | 3.00%, 10/01/2050 | 1,007,610 | |
1,536,976 | 3.00%, 12/01/2050 | 1,374,403 | |
501,122 | 3.00%, 04/01/2051 | 447,807 | |
1,481,218 | 3.00%, 05/01/2051 | 1,336,806 | |
289,089 | 3.00%, 06/01/2051 | 256,632 | |
359,928 | 3.00%, 07/01/2051 | 319,951 |
89 |
December 31, 2023
Shares or Principal Amount | Market Value† | ||
U.S. GOVERNMENT AGENCIES - 46.2% - (continued) | |||
Mortgage-Backed Agencies - 46.2% - (continued) | |||
Federal National Mortgage Association - 14.6% - (continued) | |||
$ 4,047,613 | 3.00%, 08/01/2051 | $ 3,616,984 | |
2,801,330 | 3.00%, 09/01/2051 | 2,496,260 | |
4,348,338 | 3.00%, 10/01/2051 | 3,876,272 | |
4,683,152 | 3.00%, 11/01/2051 | 4,158,208 | |
2,189,022 | 3.00%, 12/01/2051 | 1,956,073 | |
995,513 | 3.00%, 01/01/2052 | 885,934 | |
1,172,854 | 3.00%, 04/01/2052 | 1,050,786 | |
1,480,156 | 3.00%, 05/01/2052 | 1,322,819 | |
153,693 | 3.50%, 05/25/2027(4) | 5,385 | |
261,528 | 3.50%, 10/25/2027(4) | 10,756 | |
401,289 | 3.50%, 05/25/2030(4) | 24,615 | |
108,948 | 3.50%, 08/25/2030(4) | 5,369 | |
121,631 | 3.50%, 02/25/2031(4) | 3,187 | |
315,923 | 3.50%, 09/25/2035(4) | 29,885 | |
1,957,871 | 3.50%, 11/25/2039(4) | 173,854 | |
1,678,000 | 3.50%, 01/25/2042 | 1,547,142 | |
2,179,123 | 3.50%, 11/25/2042 | 2,020,165 | |
657,412 | 3.50%, 10/01/2044 | 615,646 | |
651,694 | 3.50%, 02/01/2045 | 608,972 | |
584,512 | 3.50%, 01/01/2046 | 546,261 | |
438,618 | 3.50%, 03/01/2046 | 409,866 | |
1,016,378 | 3.50%, 09/01/2046 | 950,444 | |
481,986 | 3.50%, 10/01/2046 | 450,384 | |
364,884 | 3.50%, 10/25/2046(4) | 63,576 | |
556,467 | 3.50%, 11/01/2046 | 522,867 | |
742,791 | 3.50%, 05/01/2047 | 694,091 | |
1,657,163 | 3.50%, 09/01/2047 | 1,550,307 | |
305,292 | 3.50%, 12/01/2047 | 287,042 | |
1,053,265 | 3.50%, 01/01/2048 | 984,183 | |
250,095 | 3.50%, 02/01/2048 | 234,895 | |
1,160,333 | 3.50%, 07/01/2048 | 1,084,253 | |
2,503,176 | 3.50%, 04/01/2052 | 2,312,632 | |
4,157,014 | 3.50%, 09/01/2057 | 3,775,791 | |
2,374,636 | 3.50%, 05/01/2058 | 2,156,868 | |
2,361,936 | 3.50%, 12/25/2058 | 2,152,613 | |
1,620,000 | 3.52%, 11/01/2032 | 1,509,142 | |
135,093 | 4.00%, 06/01/2025 | 132,833 | |
69,057 | 4.00%, 10/01/2025 | 68,167 | |
1,327,679 | 4.00%, 10/01/2040 | 1,296,225 | |
540,321 | 4.00%, 11/01/2040 | 527,403 | |
403,686 | 4.00%, 12/01/2040 | 394,177 | |
196,994 | 4.00%, 02/01/2041 | 192,274 | |
541,202 | 4.00%, 03/01/2041 | 527,782 | |
1,336,699 | 4.00%, 06/01/2041 | 1,318,432 | |
198,284 | 4.00%, 03/25/2042(4) | 23,547 | |
231,633 | 4.00%, 08/01/2042 | 225,601 | |
542,604 | 4.00%, 09/01/2042 | 528,477 | |
123,059 | 4.00%, 11/25/2042(4) | 12,050 | |
75,346 | 4.00%, 03/01/2045 | 72,732 | |
454,943 | 4.00%, 07/01/2045 | 439,308 | |
293,779 | 4.00%, 03/01/2046 | 284,218 | |
121,347 | 4.00%, 05/01/2046 | 117,136 | |
532,709 | 4.00%, 06/01/2046 | 514,059 | |
510,476 | 4.00%, 04/01/2047 | 492,934 | |
1,267,105 | 4.00%, 10/01/2047 | 1,223,132 | |
3,080,458 | 4.00%, 06/01/2048 | 2,973,724 | |
585,755 | 4.00%, 09/01/2048 | 564,094 | |
374,604 | 4.00%, 01/01/2049 | 363,224 | |
3,352,816 | 4.00%, 04/01/2049 | 3,205,820 | |
130,546 | 4.00%, 08/01/2049 | 126,394 | |
2,357,644 | 4.00%, 04/01/2050 | 2,269,971 | |
381,330 | 4.00%, 08/01/2051 | 371,397 | |
1,561,469 | 4.00%, 06/01/2052 | 1,485,003 | |
1,163,291 | 4.03%, 06/01/2028 | 1,148,036 | |
1,475,000 | 4.19%, 04/01/2028 | 1,463,554 | |
571,672 | 4.37%, 05/01/2028 | 573,460 |
Shares or Principal Amount | Market Value† | ||
U.S. GOVERNMENT AGENCIES - 46.2% - (continued) | |||
Mortgage-Backed Agencies - 46.2% - (continued) | |||
Federal National Mortgage Association - 14.6% - (continued) | |||
$ 1,065,000 | 4.41%, 04/01/2030 | $ 1,062,693 | |
1,380,916 | 4.46%, 05/01/2028 | 1,384,753 | |
30,197 | 4.50%, 04/01/2025 | 30,034 | |
39,197 | 4.50%, 07/25/2027(4) | 523 | |
349,607 | 4.50%, 09/01/2035 | 350,691 | |
1,171,542 | 4.50%, 12/01/2037 | 1,173,493 | |
1,140,858 | 4.50%, 08/01/2040 | 1,140,304 | |
1,108,864 | 4.50%, 10/01/2040 | 1,108,671 | |
538,617 | 4.50%, 10/01/2041 | 538,523 | |
1,297,075 | 4.50%, 08/25/2043(4) | 245,153 | |
464,933 | 4.50%, 09/01/2043 | 464,851 | |
589,842 | 4.50%, 04/01/2049 | 581,725 | |
2,547,999 | 4.50%, 01/01/2051 | 2,516,088 | |
1,811,931 | 4.50%, 03/01/2053 | 1,758,863 | |
710,762 | 4.51%, 05/01/2033 | 710,990 | |
678,512 | 4.64%, 10/01/2033 | 686,117 | |
380,000 | 4.75%, 04/01/2028 | 385,695 | |
14,572 | 5.00%, 06/01/2025 | 14,655 | |
169,476 | 5.00%, 04/25/2038 | 165,748 | |
2,003,543 | 5.00%, 07/01/2052 | 1,986,888 | |
1,320,319 | 5.00%, 08/01/2052 | 1,309,338 | |
16,313,484 | 5.00%, 09/01/2052 | 16,162,837 | |
2,050,000 | 5.07%, 12/01/2028 | 2,117,715 | |
81,040 | 5.50%, 06/01/2033 | 83,519 | |
64,483 | 5.50%, 08/01/2033 | 66,458 | |
434,649 | 5.50%, 09/01/2033 | 447,951 | |
396,638 | 5.50%, 12/01/2033 | 408,778 | |
274,679 | 5.50%, 01/01/2034 | 283,088 | |
1,483,634 | 5.50%, 11/01/2035 | 1,529,104 | |
412,192 | 5.50%, 04/01/2036 | 424,834 | |
324,302 | 5.50%, 09/01/2036 | 334,226 | |
237,501 | 5.50%, 04/25/2037 | 243,284 | |
1,251,378 | 5.50%, 11/25/2040(4) | 155,818 | |
878,327 | 5.50%, 06/25/2042(4) | 187,004 | |
1,164,065 | 5.50%, 08/25/2044(4) | 203,686 | |
809,466 | 5.50%, 11/01/2052 | 815,351 | |
4,607,323 | 5.50%, 12/01/2052 | 4,642,873 | |
2,385,977 | 5.50%, 06/01/2053 | 2,400,781 | |
28,799 | 5.54%, 05/25/2042(3)(4) | 2,052 | |
183,334 | 6.00%, 12/01/2032 | 190,186 | |
149,055 | 6.00%, 01/01/2033 | 154,336 | |
20,963 | 6.00%, 02/01/2033 | 21,559 | |
144,604 | 6.00%, 03/01/2033 | 149,788 | |
363,384 | 6.00%, 02/01/2037 | 379,822 | |
740,704 | 6.00%, 01/25/2042(4) | 60,956 | |
1,428,225 | 6.00%, 05/01/2053 | 1,472,720 | |
137 | 6.50%, 05/01/2031 | 141 | |
505 | 6.50%, 09/01/2031 | 524 | |
519 | 6.50%, 07/01/2032 | 533 | |
2,641,119 | 6.50%, 11/01/2053 | 2,719,061 | |
475 | 7.00%, 07/01/2029 | 490 | |
63 | 7.00%, 12/01/2030 | 65 | |
65 | 7.00%, 03/01/2032 | 67 | |
448 | 7.00%, 09/01/2032 | 462 | |
451 | 7.50%, 06/01/2027 | 456 | |
5,818 | 7.50%, 03/01/2030 | 5,923 | |
5,529 | 7.50%, 04/01/2030 | 5,557 | |
578 | 7.50%, 06/01/2030 | 592 | |
992 | 7.50%, 07/01/2030 | 1,014 | |
293 | 7.50%, 08/01/2030 | 299 | |
3,091 | 7.50%, 05/01/2031 | 3,129 | |
3,793 | 7.50%, 06/01/2031 | 3,795 | |
378 | 7.50%, 08/01/2031 | 383 | |
14,811 | 7.50%, 09/01/2031 | 14,819 | |
34 | 7.50%, 05/01/2032 | 35 | |
261,625,092 |
90 |
December 31, 2023
Shares or Principal Amount | Market Value† | ||
U.S. GOVERNMENT AGENCIES - 46.2% - (continued) | |||
Mortgage-Backed Agencies - 46.2% - (continued) | |||
Government National Mortgage Association - 7.5% | |||
$ 2,500,409 | 2.00%, 10/20/2050 | $ 2,119,443 | |
4,797,105 | 2.00%, 12/20/2050 | 4,066,182 | |
11,225,000 | 2.00%, 01/20/2054(15) | 9,513,187 | |
444,528 | 2.50%, 12/16/2039 | 410,023 | |
842,895 | 2.50%, 07/20/2041 | 750,680 | |
2,673,132 | 2.50%, 10/20/2049 | 2,358,636 | |
1,986,416 | 2.50%, 11/20/2049 | 1,746,940 | |
1,574,004 | 2.50%, 03/20/2051 | 1,377,938 | |
2,241,105 | 2.50%, 09/20/2051 | 1,961,950 | |
7,480,954 | 2.50%, 10/20/2051 | 6,548,786 | |
4,820,000 | 2.50%, 01/20/2054(15) | 4,220,512 | |
171,736 | 3.00%, 09/20/2028(4) | 5,997 | |
2,320,477 | 3.00%, 05/20/2035(4) | 132,992 | |
267,810 | 3.00%, 02/16/2043(4) | 32,923 | |
1,413,949 | 3.00%, 03/15/2045 | 1,271,099 | |
67,621 | 3.00%, 04/15/2045 | 60,793 | |
1,190,465 | 3.00%, 07/15/2045 | 1,070,421 | |
26,612 | 3.00%, 08/15/2045 | 23,923 | |
7,577,820 | 3.00%, 04/20/2051 | 6,889,777 | |
2,268,765 | 3.00%, 08/20/2051 | 2,060,246 | |
2,889,738 | 3.00%, 09/20/2051 | 2,620,019 | |
7,388,626 | 3.00%, 12/20/2051 | 6,694,857 | |
1,520,867 | 3.00%, 02/20/2052 | 1,374,289 | |
3,677,913 | 3.00%, 07/20/2052 | 3,332,191 | |
58,636 | 3.50%, 02/16/2027(4) | 1,475 | |
177,422 | 3.50%, 03/20/2027(4) | 5,622 | |
124,619 | 3.50%, 07/20/2040(4) | 2,959 | |
135,835 | 3.50%, 02/20/2041(4) | 2,500 | |
503,438 | 3.50%, 04/20/2042(4) | 20,425 | |
1,481,447 | 3.50%, 10/20/2042(4) | 228,833 | |
180,794 | 3.50%, 11/15/2042 | 170,974 | |
4,380 | 3.50%, 12/15/2042 | 4,142 | |
104,983 | 3.50%, 02/15/2043 | 99,281 | |
5,280 | 3.50%, 03/15/2043 | 4,993 | |
866,141 | 3.50%, 04/15/2043 | 819,077 | |
2,013,031 | 3.50%, 05/15/2043 | 1,904,065 | |
129,774 | 3.50%, 05/20/2043(4) | 20,273 | |
526,474 | 3.50%, 07/20/2043(4) | 82,427 | |
1,083,160 | 3.50%, 03/20/2044 | 1,027,983 | |
1,392,577 | 3.50%, 06/20/2046 | 1,313,739 | |
354,219 | 3.50%, 07/20/2046 | 334,144 | |
368,120 | 3.50%, 10/20/2046 | 347,198 | |
1,472,564 | 3.50%, 02/20/2047 | 1,388,649 | |
432,433 | 3.50%, 08/20/2047 | 407,560 | |
301,404 | 3.50%, 11/20/2047 | 284,000 | |
370,991 | 3.50%, 03/20/2048 | 349,505 | |
1,134,672 | 3.50%, 07/20/2049 | 1,068,097 | |
10,779,000 | 3.50%, 01/20/2054(15) | 10,045,523 | |
877,784 | 3.88%, 08/15/2042 | 850,190 | |
33,582 | 4.00%, 12/16/2026(4) | 402 | |
524,789 | 4.00%, 05/20/2029(4) | 12,853 | |
1,602,530 | 4.00%, 07/20/2040 | 1,571,714 | |
1,760,082 | 4.00%, 09/20/2040 | 1,726,255 | |
2,788,155 | 4.00%, 10/20/2040 | 2,732,536 | |
735,577 | 4.00%, 12/20/2040 | 720,524 | |
157,864 | 4.00%, 05/16/2042(4) | 16,163 | |
2,268,140 | 4.00%, 09/16/2042(4) | 448,648 | |
278,065 | 4.00%, 03/20/2043(4) | 49,209 | |
126,056 | 4.00%, 01/20/2044(4) | 20,015 | |
906,528 | 4.00%, 01/16/2046(4) | 141,362 | |
819,368 | 4.00%, 03/20/2047(4) | 119,386 | |
401,728 | 4.00%, 11/20/2047 | 385,728 | |
1,106,056 | 4.00%, 03/20/2048 | 1,062,612 | |
2,822,909 | 4.00%, 07/20/2048 | 2,715,002 | |
6,950,000 | 4.00%, 01/20/2054(15) | 6,639,422 | |
50,100 | 4.50%, 11/15/2039 | 49,350 |
Shares or Principal Amount | Market Value† | ||
U.S. GOVERNMENT AGENCIES - 46.2% - (continued) | |||
Mortgage-Backed Agencies - 46.2% - (continued) | |||
Government National Mortgage Association - 7.5% - (continued) | |||
$ 495,280 | 4.50%, 05/15/2040 | $ 492,821 | |
1,771,846 | 4.50%, 05/20/2040 | 1,773,874 | |
91,218 | 4.50%, 07/15/2041 | 89,828 | |
440,376 | 4.50%, 04/20/2045(4) | 89,396 | |
1,625,837 | 4.50%, 08/20/2045(4) | 282,632 | |
154,357 | 4.50%, 01/20/2046 | ��� 154,373 | |
1,116,692 | 4.50%, 01/20/2047(4) | 137,847 | |
1,195,026 | 4.50%, 05/20/2048(4) | 171,170 | |
343,146 | 4.50%, 05/20/2052 | 335,422 | |
1,001,094 | 4.50%, 08/20/2052 | 977,934 | |
915,566 | 4.50%, 09/20/2052 | 894,196 | |
4,112,791 | 4.50%, 10/20/2052 | 4,016,585 | |
1,047,703 | 5.00%, 02/16/2040(4) | 211,184 | |
932,966 | 5.00%, 05/20/2040 | 950,711 | |
740,684 | 5.00%, 06/20/2040 | 754,768 | |
290,732 | 5.00%, 07/20/2040 | 296,262 | |
556,297 | 5.00%, 06/15/2041 | 576,764 | |
602,490 | 5.00%, 10/16/2041(4) | 93,582 | |
787,244 | 5.00%, 03/15/2044 | 818,022 | |
219,551 | 5.00%, 01/16/2047(4) | 48,170 | |
3,897,054 | 5.00%, 07/15/2052 | 3,835,171 | |
204,385 | 5.50%, 03/15/2033 | 206,765 | |
327,878 | 5.50%, 04/15/2033 | 331,696 | |
311,145 | 5.50%, 05/15/2033 | 314,730 | |
427,840 | 5.50%, 10/20/2034 | 445,302 | |
733,264 | 5.50%, 03/20/2039(4) | 112,856 | |
737,924 | 5.50%, 02/16/2047(4) | 117,057 | |
467,562 | 5.50%, 02/20/2047(4) | 78,719 | |
13,050,000 | 5.50%, 01/20/2054(15) | 13,136,660 | |
417 | 6.00%, 01/15/2029 | 424 | |
360 | 6.00%, 04/15/2029 | 362 | |
15,017 | 6.00%, 12/15/2031 | 15,291 | |
360 | 6.00%, 10/15/2032 | 374 | |
9,217 | 6.00%, 06/15/2033 | 9,427 | |
197 | 6.00%, 03/15/2034 | 202 | |
16,566 | 6.00%, 08/15/2034 | 17,086 | |
26,584 | 6.00%, 09/15/2034 | 27,582 | |
18,915 | 6.00%, 02/15/2035 | 19,593 | |
31,405 | 6.00%, 03/15/2036 | 32,537 | |
36,991 | 6.00%, 05/15/2036 | 37,829 | |
81,650 | 6.00%, 06/15/2036 | 83,983 | |
8,916 | 6.00%, 06/15/2037 | 9,172 | |
20,831 | 6.00%, 08/15/2037 | 21,485 | |
31,045 | 6.00%, 08/15/2039 | 31,736 | |
745,523 | 6.00%, 09/20/2040(4) | 132,662 | |
53,831 | 6.00%, 06/15/2041 | 55,751 | |
724,164 | 6.00%, 02/20/2046(4) | 125,859 | |
11,843 | 6.50%, 06/15/2028 | 12,175 | |
527 | 6.50%, 08/15/2028 | 540 | |
1,399 | 6.50%, 09/15/2028 | 1,439 | |
721 | 6.50%, 11/15/2028 | 742 | |
2,885 | 6.50%, 12/15/2028 | 2,972 | |
6,273 | 6.50%, 02/15/2029 | 6,454 | |
56,020 | 6.50%, 03/15/2029 | 57,789 | |
14,038 | 6.50%, 04/15/2029 | 14,471 | |
4,756 | 6.50%, 05/15/2029 | 4,894 | |
75,304 | 6.50%, 06/15/2029 | 77,129 | |
2,269 | 6.50%, 07/15/2029 | 2,344 | |
92 | 6.50%, 03/15/2031 | 94 | |
72,895 | 6.50%, 04/15/2031 | 75,107 | |
20,698 | 6.50%, 05/15/2031 | 21,375 | |
4,343 | 6.50%, 06/15/2031 | 4,471 | |
88,031 | 6.50%, 07/15/2031 | 90,735 | |
14,852 | 6.50%, 08/15/2031 | 15,311 | |
23,395 | 6.50%, 09/15/2031 | 24,188 | |
74,948 | 6.50%, 10/15/2031 | 77,152 |
91 |
December 31, 2023
Shares or Principal Amount | Market Value† | ||
U.S. GOVERNMENT AGENCIES - 46.2% - (continued) | |||
Mortgage-Backed Agencies - 46.2% - (continued) | |||
Government National Mortgage Association - 7.5% - (continued) | |||
$ 146,281 | 6.50%, 11/15/2031 | $ 150,528 | |
29,851 | 6.50%, 12/15/2031 | 31,288 | |
93,836 | 6.50%, 01/15/2032 | 97,081 | |
16,495 | 6.50%, 02/15/2032 | 17,148 | |
24,976 | 6.50%, 03/15/2032 | 25,711 | |
91,941 | 6.50%, 04/15/2032 | 94,905 | |
213 | 6.50%, 05/15/2032 | 220 | |
12,679 | 6.50%, 06/15/2032 | 13,041 | |
177 | 7.00%, 02/15/2031 | 179 | |
79 | 7.00%, 06/15/2031 | 80 | |
57 | 7.00%, 08/15/2031 | 58 | |
133,124,092 | |||
Uniform Mortgage-Backed Security - 16.2% | |||
25,605,000 | 2.00%, 01/01/2054(15) | 20,932,087 | |
3,925,000 | 2.50%, 01/01/2039(15) | 3,611,460 | |
9,193,000 | 2.50%, 01/01/2054(15) | 7,826,978 | |
1,010,000 | 3.00%, 01/01/2039(15) | 952,241 | |
2,085,000 | 3.50%, 01/01/2039(15) | 2,003,555 | |
58,232,000 | 4.50%, 01/01/2054(15) | 56,510,062 | |
14,175,000 | 5.00%, 01/01/2054(15) | 14,038,787 | |
48,855,000 | 5.50%, 01/01/2054(15) | 49,103,092 | |
96,910,000 | 6.00%, 01/01/2054(15) | 98,469,645 | |
10,935,000 | 6.50%, 01/01/2054(15) | 11,206,239 | |
23,500,000 | 7.00%, 01/01/2054(15) | 24,239,883 | |
288,894,029 | |||
Total U.S. Government Agencies (cost $850,280,780) | $ 825,317,497 | ||
U.S. GOVERNMENT SECURITIES - 14.0% | |||
U.S. Treasury Securities - 14.0% | |||
U.S. Treasury Bonds - 12.2% | |||
24,645,000 | 1.25%, 05/15/2050 | $ 13,356,435 | |
5,115,000 | 1.88%, 11/15/2051 | 3,251,222 | |
7,090,000 | 2.25%, 08/15/2046 | 5,063,534 | |
15,065,000 | 2.25%, 02/15/2052 | 10,497,833 | |
7,860,000 | 2.38%, 11/15/2049 | 5,667,797 | |
90,455,000 | 2.88%, 08/15/2045(16) | 73,236,750 | |
6,175,000 | 3.00%, 02/15/2047 | 5,070,254 | |
20,715,000 | 3.13%, 08/15/2044(17) | 17,609,368 | |
14,975,000 | 3.38%, 08/15/2042 | 13,403,210 | |
26,860,000 | 3.38%, 05/15/2044(18) | 23,773,198 | |
35,500,000 | 3.38%, 11/15/2048 | 31,072,207 | |
3,565,000 | 3.63%, 08/15/2043 | 3,289,687 | |
12,035,000 | 3.63%, 05/15/2053 | 11,181,267 | |
1,635,000 | 3.75%, 11/15/2043 | 1,533,643 | |
218,006,405 | |||
U.S. Treasury Inflation-Protected Bonds - 0.8% | |||
22,809,864 | 0.25%, 02/15/2050(19) | 14,997,932 | |
U.S. Treasury Inflation-Protected Notes - 1.0% | |||
7,058,922 | 0.75%, 07/15/2028(19) | 6,763,743 | |
10,875,199 | 1.38%, 07/15/2033(19) | 10,578,113 | |
17,341,856 | |||
Total U.S. Government Securities (cost $321,788,804) | $ 250,346,193 | ||
COMMON STOCKS - 0.0% | |||
Energy - 0.0% | |||
30,559 | PES Energy Liquidating Trust*(20) | $ — | |
Total Common Stocks (cost $265,121) | $ — |
Shares or Principal Amount | Market Value† | ||
PREFERRED STOCKS - 0.1% | |||
Banks - 0.1% | |||
2,242 | U.S. Bancorp Series A, 6.68%(8) | $ 1,834,472 | |
Total Preferred Stocks (cost $1,591,820) | $ 1,834,472 | ||
Total Long-Term Investments (cost $2,226,553,840) | $ 2,076,868,542 | ||
SHORT-TERM INVESTMENTS - 0.3% | |||
Repurchase Agreements - 0.3% | |||
$ 5,363,968 | Fixed Income Clearing Corp. Repurchase Agreement dated 12/29/2023 at 5.32%, due on 01/02/2024 with a maturity value of $5,367,139; collateralized by U.S. Treasury Inflation Index Note at 0.13%, maturing 07/15/2031, with a market value of $5,471,267 | $ 5,363,968 | |
Securities Lending Collateral - 0.0% | |||
28,912 | Goldman Sachs Financial Square Funds, Government Fund, Institutional Class, 5.25%(21) | 28,912 | |
96,375 | HSBC U.S. Government Money Market Fund, Institutional Class, 5.31%(21) | 96,375 | |
28,913 | Invesco Government & Agency Portfolio, Institutional Class, 5.28%(21) | 28,913 | |
28,913 | Morgan Stanley Institutional Liquidity Funds, Government Portfolio, Institutional Class, 5.27%(21) | 28,913 | |
183,113 | |||
Total Short-Term Investments (cost $5,547,081) | $ 5,547,081 | ||
Total Investments (cost $2,232,100,921) | 116.5% | $ 2,082,415,623 | |
Other Assets and Liabilities | (16.5)% | (294,803,625) | |
Total Net Assets | 100.0% | $ 1,787,611,998 |
Note: | Percentage of investments as shown is the ratio of the total market value to total net assets. |
The Fund may refer to any one or more of the industry classifications used by one or more widely recognized market indices, ratings group and/or as defined by Fund management. Industry classifications may not be identical across all security types. | |
Equity industry classifications used in this report are the Global Industry Classification Standard, which was developed by and is the exclusive property and service mark of MSCI, Inc. and Standard & Poor’s. | |
For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. | |
See “Glossary” for abbreviation descriptions. |
* | Non-income producing. |
(1) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions that are exempt from registration (typically only to qualified institutional buyers) or in a public offering registered under the Securities Act of 1933. At December 31, 2023, the aggregate value of these securities was $523,624,590, representing 29.3% of net assets. |
(2) | Variable rate securities; the rate reported is the coupon rate in effect at December 31, 2023. Base lending rates may be subject to a floor or cap. |
92 |
December 31, 2023
(3) | Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. |
(4) | Securities disclosed are interest-only strips. |
(5) | Security is a “step-up” bond where coupon increases or steps up at a predetermined date. Rate shown is current coupon rate. |
(6) | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at December 31, 2023. Rate will reset at a future date. Base lending rates may be subject to a floor or cap. |
(7) | Security is exempt from registration under Regulation S under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At December 31, 2023, the aggregate value of these securities was $29,723,291, representing 1.7% of net assets. |
(8) | Perpetual maturity security. Maturity date shown is the next call date or final legal maturity date, whichever comes first. |
(9) | Represents entire or partial securities on loan. See Note 8 in the accompanying Notes to Financial Statements for securities lending information. |
(10) | Senior floating rate interests generally pay interest rates which are periodically adjusted by reference to a base short-term, floating lending rate plus a premium. The base lending rates are primarily the Secured Overnight Financing Rate ("SOFR") and secondarily, the prime rate offered by one or more major United States banks (the "Prime Rate"). Senior floating rate interests often require prepayments from excess cash flows or permit the borrower to repay at its election. The rate at which the borrower repays cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. Base lending rates may be subject to a floor or cap. Unless otherwise noted, the interest rate disclosed for these securities represents the rate in effect as of December 31, 2023. |
(11) | Non-income producing. For long-term debt securities, items identified are in default as to payment of interest and/or principal. |
(12) | Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed. |
(13) | Securities disclosed are principal-only strips. |
(14) | Security is a zero-coupon bond. |
(15) | Represents or includes a TBA transaction. |
(16) | All, or a portion of the security, was pledged as collateral in connection with forward foreign currency exchange contracts. As of December 31, 2023, the market value of securities pledged was $72,059. |
(17) | All, or a portion of the security, was pledged as collateral in connection with futures contracts. As of December 31, 2023, the market value of securities pledged was $7,140,656. |
(18) | All, or a portion of the security, was pledged as collateral in connection with centrally cleared swap contracts. As of December 31, 2023, the market value of securities pledged was $5,841,516. |
(19) | The principal amount for these securities are adjusted for inflation and the interest payments equal a fixed percentage of the inflation-adjusted principal amount. |
(20) | Investment valued using significant unobservable inputs. |
(21) | Current yield as of period end. |
Futures Contracts Outstanding at December 31, 2023 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
U.S. Treasury 2-Year Note Future | 836 | 03/28/2024 | $ 172,144,156 | $ 1,820,706 | ||||
U.S. Treasury 5-Year Note Future | 2,393 | 03/28/2024 | 260,294,837 | 6,462,409 | ||||
U.S. Treasury 10-Year Note Future | 198 | 03/19/2024 | 22,352,344 | (14,844) | ||||
U.S. Treasury 10-Year Ultra Future | 200 | 03/19/2024 | 23,603,125 | 107,060 | ||||
Total | $ 8,375,331 | |||||||
Short position contracts: | ||||||||
Canadian 10-Year Bond Future | 533 | 03/19/2024 | $ 49,951,278 | $ (2,137,631) | ||||
Euro BTP Future | 91 | 03/07/2024 | 11,969,745 | (353,034) | ||||
Euro BUXL 30-Year Bond Future | 81 | 03/07/2024 | 12,672,597 | (804,543) | ||||
Euro-BUND Future | 147 | 03/07/2024 | 22,268,154 | (564,875) | ||||
U.S. Treasury Long Bond Future | 136 | 03/19/2024 | 16,991,500 | (1,306,056) | ||||
U.S. Treasury Ultra Bond Future | 264 | 03/19/2024 | 35,268,750 | (3,410,575) | ||||
Total | $ (8,576,714) | |||||||
Total futures contracts | $ (201,383) |
TBA Sale Commitments Outstanding at December 31, 2023 | ||||||||
Description | Principal Amount | Maturity Date | Market Value† | Unrealized Appreciation/ (Depreciation) | ||||
Government National Mortgage Association, 3.00% | $ 8,029,000 | 01/20/2054 | $ (7,276,524) | $ (181,979) |
93 |
December 31, 2023
TBA Sale Commitments Outstanding at December 31, 2023 – (continued) | ||||||||
Description | Principal Amount | Maturity Date | Market Value† | Unrealized Appreciation/ (Depreciation) | ||||
Government National Mortgage Association, 4.50% | $ 2,250,000 | 01/20/2054 | $ (2,197,090) | $ 352 | ||||
Government National Mortgage Association, 5.00% | 10,900,000 | 01/20/2054 | (10,835,281) | (18,734) | ||||
Uniform Mortgage-Backed Security, 2.00% | 1,100,000 | 01/01/2039 | (987,698) | (13,038) | ||||
Uniform Mortgage-Backed Security, 2.50% | 5,368,000 | 01/01/2054 | (4,570,349) | (145,010) | ||||
Uniform Mortgage-Backed Security, 3.00% | 15,305,000 | 01/01/2054 | (13,559,735) | (404,166) | ||||
Uniform Mortgage-Backed Security, 3.50% | 2,031,000 | 01/01/2054 | (1,865,505) | (48,712) | ||||
Uniform Mortgage-Backed Security, 4.00% | 11,660,000 | 01/01/2054 | (11,041,929) | (114,162) | ||||
Uniform Mortgage-Backed Security, 4.50% | 3,936,000 | 01/01/2039 | (3,916,935) | (53,107) | ||||
Uniform Mortgage-Backed Security, 5.50% | 4,116,000 | 01/01/2054 | (4,136,901) | (59,071) | ||||
Total TBA sale commitments (proceeds receivable $59,350,320) | $ (60,387,947) | $ (1,037,627) | ||||||
At December 31, 2023, the aggregate market value of TBA Sale Commitments represents (3.4)% of total net assets. |
Centrally Cleared Credit Default Swap Contracts Outstanding at December 31, 2023 | |||||||||||||||||
Reference Entity | Notional Amount(1) | (Pay)/Receive Fixed Rate | Expiration Date | Periodic Payment Frequency | Upfront Premiums Paid | Upfront Premiums Received | Value † | Unrealized Appreciation/ (Depreciation) | |||||||||
Credit default swaps on indices: | |||||||||||||||||
Buy protection: | |||||||||||||||||
CDX.EM.S40.V1 | USD | 13,270,000 | (1.00%) | 12/20/2028 | Quarterly | $ 630,769 | $ — | $ 378,721 | $ (252,048) | ||||||||
Total | $ 630,769 | $ — | $ 378,721 | $ (252,048) | |||||||||||||
Credit default swaps on single-name issues: | |||||||||||||||||
Buy protection: | |||||||||||||||||
Brazil Republic | USD | 9,365,000 | (1.00%) | 06/20/2028 | Quarterly | $ 425,805 | $ — | $ 57,497 | $ (368,308) | ||||||||
Total | $ 425,805 | $ — | $ 57,497 | $ (368,308) | |||||||||||||
Total centrally cleared credit default swap contracts | $ 1,056,574 | $ — | $ 436,218 | $ (620,356) |
(1) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
Centrally Cleared Interest Rate Swap Contracts Outstanding at December 31, 2023 | |||||||||||||||||
Payments made by Fund | Payments received by Fund | Notional Amount | Expiration Date | Periodic Payment Frequency | Upfront Premiums Paid | Upfront Premiums Received | Value † | Unrealized Appreciation/ (Depreciation) | |||||||||
2.97% Fixed | 12 Mo. USD SOFR | USD | 12,140,000 | 03/15/2053 | Annual | $ 38,126 | $ — | $ 1,030,655 | $ 992,529 | ||||||||
2.88% Fixed | 12 Mo. USD SOFR | USD | 3,745,000 | 03/15/2053 | Annual | 42,412 | — | 382,617 | 340,205 | ||||||||
3.25% Fixed | 12 Mo. USD SOFR | USD | 6,235,000 | 06/21/2053 | Annual | — | (66,704) | 161,817 | 228,521 | ||||||||
3.59% Fixed | 12 Mo. USD SOFR | USD | 9,465,000 | 09/20/2053 | Annual | 40,290 | — | (415,705) | (455,995) | ||||||||
Total centrally cleared interest rate swaps contracts | $ 120,828 | $ (66,704) | $ 1,159,384 | $ 1,105,260 |
Foreign Currency Contracts Outstanding at December 31, 2023 | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
8,006,196 | USD | 40,057,000 | BRL | DEUT | 03/20/2024 | $ (177,860) | ||||
1,957,866 | USD | 1,779,000 | EUR | CBK | 03/20/2024 | (12,428) | ||||
35,215,834 | USD | 31,997,000 | EUR | DEUT | 03/20/2024 | (221,764) | ||||
Total foreign currency contracts | $ (412,052) |
94 |
December 31, 2023
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Asset & Commercial Mortgage-Backed Securities | $ 368,248,632 | $ — | $ 368,248,632 | $ — | ||||
Corporate Bonds | 552,931,752 | — | 552,931,752 | — | ||||
Foreign Government Obligations | 53,603,734 | — | 53,603,734 | — | ||||
Municipal Bonds | 24,578,763 | — | 24,578,763 | — | ||||
Senior Floating Rate Interests | 7,499 | — | 7,499 | — | ||||
U.S. Government Agencies | 825,317,497 | — | 825,317,497 | — | ||||
U.S. Government Securities | 250,346,193 | — | 250,346,193 | — | ||||
Common Stocks | ||||||||
Energy | — | — | — | — | ||||
Preferred Stocks | 1,834,472 | 1,834,472 | — | — | ||||
Short-Term Investments | 5,547,081 | 183,113 | 5,363,968 | — | ||||
Futures Contracts(2) | 8,390,175 | 8,390,175 | — | — | ||||
Swaps - Interest Rate(2) | 1,561,255 | — | 1,561,255 | — | ||||
Total | $ 2,092,367,053 | $ 10,407,760 | $ 2,081,959,293 | $ — | ||||
Liabilities | ||||||||
Foreign Currency Contracts(2) | $ (412,052) | $ — | $ (412,052) | $ — | ||||
Futures Contracts(2) | (8,591,558) | (8,591,558) | — | — | ||||
Swaps - Credit Default(2) | (620,356) | — | (620,356) | — | ||||
Swaps - Interest Rate(2) | (455,995) | — | (455,995) | — | ||||
TBA Sale Commitments | (60,387,947) | — | (60,387,947) | — | ||||
Total | $ (70,467,908) | $ (8,591,558) | $ (61,876,350) | $ — |
(1) | For the year ended December 31, 2023, there were no transfers in and out of Level 3. |
(2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
95 |
December 31, 2023
Shares or Principal Amount | Market Value† | ||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 37.2% | |||
Asset-Backed - Automobile - 24.9% | |||
Ally Auto Receivables Trust | |||
$ 818,547 | 4.62%, 10/15/2025 | $ 816,892 | |
411,154 | 5.29%, 06/16/2025 | 410,887 | |
2,505,000 | 5.76%, 11/15/2026 | 2,508,264 | |
American Credit Acceptance Receivables Trust | |||
617,579 | 5.45%, 09/14/2026(1) | 616,377 | |
434,631 | 5.89%, 10/13/2026(1) | 434,633 | |
752,852 | 6.00%, 03/12/2027(1) | 753,537 | |
AmeriCredit Automobile Receivables Trust | |||
506,507 | 0.68%, 10/19/2026 | 499,294 | |
1,969,000 | 1.01%, 01/19/2027 | 1,844,312 | |
1,876,648 | 2.45%, 11/18/2026 | 1,840,219 | |
306,298 | 4.20%, 12/18/2025 | 305,268 | |
2,190,357 | 5.84%, 10/19/2026 | 2,190,502 | |
ARI Fleet Lease Trust | |||
127,203 | 0.37%, 03/15/2030(1) | 126,939 | |
1,423,283 | 5.41%, 02/17/2032(1) | 1,420,563 | |
475,000 | 6.05%, 07/15/2032(1) | 480,329 | |
1,335,000 | Bank of America Auto Trust 5.83%, 05/15/2026(1) | 1,336,842 | |
BMW Vehicle Lease Trust | |||
295,929 | 5.27%, 02/25/2025 | 295,750 | |
1,435,000 | 5.95%, 08/25/2025 | 1,439,066 | |
1,040,000 | BMW Vehicle Owner Trust 5.72%, 04/27/2026 | 1,041,686 | |
760,000 | Bridgecrest Lending Auto Securitization Trust 6.34%, 07/15/2026 | 760,933 | |
Capital One Prime Auto Receivables Trust | |||
366,241 | 2.71%, 06/16/2025 | 364,942 | |
610,284 | 5.20%, 05/15/2026 | 609,093 | |
CarMax Auto Owner Trust | |||
865,000 | 4.75%, 10/15/2027 | 861,642 | |
594,959 | 5.23%, 01/15/2026 | 593,917 | |
1,398,399 | 5.50%, 06/15/2026 | 1,396,962 | |
1,220,000 | 5.72%, 11/16/2026 | 1,222,618 | |
Carvana Auto Receivables Trust | |||
41,573 | 0.35%, 06/12/2028 | 41,419 | |
342,472 | 0.49%, 03/10/2026 | 337,063 | |
310,665 | 0.70%, 01/10/2028 | 296,815 | |
200,910 | 0.83%, 09/11/2028 | 198,779 | |
224,959 | 4.42%, 12/10/2025 | 224,408 | |
610,000 | 5.77%, 04/12/2027(1) | 611,945 | |
430,000 | 6.09%, 11/10/2026(1) | 430,869 | |
1,855,000 | 6.23%, 01/11/2027(1) | 1,861,687 | |
856,478 | 6.41%, 09/10/2027(1) | 860,423 | |
Chesapeake Funding II LLC | |||
117,188 | 0.87%, 08/15/2032(1) | 116,383 | |
1,509,212 | 5.65%, 05/15/2035(1) | 1,513,258 | |
363,097 | 5.68%, 04/15/2033, 30 day USD SOFR Average + 0.34%(1)(2) | 361,781 | |
1,945,000 | Citizens Auto Receivables Trust 6.09%, 10/15/2026(1) | 1,950,519 | |
CPS Auto Receivables Trust | |||
261,087 | 2.88%, 06/15/2026(1) | 259,825 | |
217,398 | 4.18%, 04/15/2030(1) | 216,566 | |
708,306 | 5.54%, 03/16/2026(1) | 707,444 | |
1,141,721 | 5.91%, 08/16/2027(1) | 1,142,411 | |
428,385 | 6.13%, 09/15/2026(1) | 429,068 | |
847,042 | 6.40%, 06/15/2027(1) | 849,901 | |
434,316 | Credit Acceptance Auto Loan Trust 1.00%, 05/15/2030(1) | 428,407 | |
362,789 | Drive Auto Receivables Trust 1.02%, 06/15/2027 | 360,810 | |
DT Auto Owner Trust | |||
189,021 | 2.88%, 06/15/2026(1) | 188,372 | |
1,631,384 | 5.48%, 04/15/2027(1) | 1,628,336 |
Shares or Principal Amount | Market Value† | ||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 37.2% - (continued) | |||
Asset-Backed - Automobile - 24.9% - (continued) | |||
$ 1,051,753 | 5.88%, 04/15/2027(1) | $ 1,052,173 | |
1,110,011 | 6.29%, 08/16/2027(1) | 1,114,678 | |
Enterprise Fleet Financing LLC | |||
855,763 | 0.48%, 05/20/2027(1) | 837,570 | |
340,922 | 4.38%, 07/20/2029(1) | 337,148 | |
928,028 | 5.51%, 01/22/2029(1) | 928,981 | |
1,435,000 | 5.56%, 04/22/2030(1) | 1,438,987 | |
1,397,679 | 5.76%, 10/22/2029(1) | 1,401,890 | |
188,470 | 5.79%, 06/20/2024(1) | 188,504 | |
3,320,000 | 6.40%, 03/20/2030(1) | 3,394,077 | |
77,687 | Enterprise Fleet Funding LLC 0.44%, 12/21/2026(1) | 76,840 | |
Exeter Automobile Receivables Trust | |||
750,000 | 5.60%, 08/17/2026 | 749,084 | |
139,116 | 5.61%, 06/16/2025 | 139,092 | |
28,046 | 5.73%, 11/17/2025 | 28,042 | |
495,000 | 6.04%, 07/15/2026 | 495,531 | |
530,000 | 6.07%, 12/15/2025 | 530,196 | |
491,545 | 6.11%, 09/15/2025 | 491,662 | |
294,822 | FHF Trust 0.83%, 12/15/2026(1) | 284,818 | |
2,255,000 | Fifth Third Auto Trust 5.80%, 11/16/2026 | 2,258,673 | |
First Investors Auto Owner Trust | |||
484,104 | 0.48%, 03/15/2027(1) | 475,940 | |
859,106 | 2.03%, 01/15/2027(1) | 844,130 | |
Flagship Credit Auto Trust | |||
240,870 | 0.36%, 07/15/2027(1) | 238,228 | |
541,991 | 0.81%, 07/17/2026(1) | 534,096 | |
64,774 | 3.28%, 08/15/2025(1) | 64,687 | |
113,911 | 4.06%, 10/15/2025(1) | 113,774 | |
1,310,245 | 5.76%, 04/15/2027(1) | 1,308,006 | |
1,275,000 | 5.89%, 07/15/2027(1) | 1,276,595 | |
743,735 | Ford Credit Auto Lease Trust 5.19%, 06/15/2025 | 742,892 | |
Ford Credit Auto Owner Trust | |||
117,181 | 3.44%, 02/15/2025 | 117,027 | |
202,389 | 4.52%, 04/15/2025 | 202,079 | |
820,709 | 5.14%, 03/15/2026 | 819,019 | |
673,193 | 5.37%, 08/15/2025 | 672,711 | |
1,790,000 | 5.57%, 06/15/2026 | 1,791,672 | |
Foursight Capital Automobile Receivables Trust | |||
641,586 | 4.49%, 03/16/2026(1) | 640,043 | |
327,082 | 5.43%, 10/15/2026(1) | 326,096 | |
1,550,000 | 5.99%, 05/15/2028(1) | 1,559,336 | |
GLS Auto Receivables Issuer Trust | |||
351,500 | 3.55%, 01/15/2026(1) | 350,266 | |
387,881 | 4.59%, 05/15/2026(1) | 386,450 | |
1,356,944 | 5.70%, 01/15/2027(1) | 1,354,709 | |
1,712,113 | 5.98%, 08/17/2026(1) | 1,712,031 | |
1,340,000 | GLS Auto Select Receivables Trust 6.37%, 06/15/2028(1) | 1,351,565 | |
GM Financial Automobile Leasing Trust | |||
1,500,000 | 1.96%, 02/20/2026 | 1,476,739 | |
785,000 | 5.16%, 04/20/2026 | 784,943 | |
347,628 | 5.27%, 06/20/2025 | 347,357 | |
610,411 | 5.44%, 10/20/2025 | 609,954 | |
2,735,000 | 5.58%, 01/20/2026 | 2,738,822 | |
GM Financial Consumer Automobile Receivables Trust | |||
957,917 | 4.60%, 11/17/2025 | 954,929 | |
680,522 | 5.10%, 05/18/2026 | 678,895 | |
1,187,175 | 5.19%, 03/16/2026 | 1,184,626 | |
1,300,000 | 5.74%, 09/16/2026 | 1,302,412 | |
2,510,000 | 5.89%, 11/16/2026 | 2,523,464 | |
Honda Auto Receivables Owner Trust | |||
820,000 | 5.41%, 04/15/2026 | 819,968 |
96 |
December 31, 2023
Shares or Principal Amount | Market Value† | ||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 37.2% - (continued) | |||
Asset-Backed - Automobile - 24.9% - (continued) | |||
$ 2,250,000 | 5.87%, 06/22/2026 | $ 2,264,166 | |
Hyundai Auto Lease Securitization Trust | |||
1,585,000 | 5.05%, 01/15/2026(1) | 1,580,862 | |
314,134 | 5.20%, 04/15/2025(1) | 313,740 | |
628,615 | 5.47%, 09/15/2025(1) | 628,198 | |
1,920,000 | 5.85%, 03/16/2026(1) | 1,929,893 | |
Hyundai Auto Receivables Trust | |||
1,095,152 | 5.19%, 12/15/2025 | 1,093,609 | |
2,030,000 | 5.77%, 05/15/2026 | 2,035,511 | |
1,267,150 | LAD Auto Receivables Trust 6.09%, 06/15/2026(1) | 1,268,442 | |
1,664,115 | Mercedes-Benz Auto Lease Trust 5.24%, 11/17/2025 | 1,661,240 | |
1,065,000 | Mercedes-Benz Auto Receivables Trust 4.51%, 11/15/2027 | 1,058,278 | |
Nissan Auto Lease Trust | |||
2,410,000 | 4.91%, 01/15/2026 | 2,401,026 | |
781,788 | 5.74%, 08/15/2025 | 782,404 | |
Nissan Auto Receivables Owner Trust | |||
392,310 | 4.50%, 08/15/2025 | 391,054 | |
910,808 | 5.34%, 02/17/2026 | 909,061 | |
Porsche Financial Auto Securitization Trust | |||
1,427,085 | 5.42%, 12/22/2026(1) | 1,425,373 | |
1,015,000 | 5.88%, 11/23/2026(1) | 1,020,406 | |
Santander Drive Auto Receivables Trust | |||
901,688 | 1.26%, 02/16/2027 | 884,866 | |
496,727 | 5.36%, 05/15/2026 | 496,363 | |
147,521 | 5.81%, 01/15/2026 | 147,517 | |
508,731 | 6.08%, 08/17/2026 | 509,645 | |
600,000 | 6.08%, 05/17/2027 | 602,053 | |
3,609,052 | 6.18%, 02/16/2027 | 3,618,748 | |
895,000 | SBNA Auto Lease Trust 6.27%, 04/20/2026(1) | 901,173 | |
821,748 | SFS Auto Receivables Securitization Trust 5.89%, 03/22/2027(1) | 823,402 | |
Tesla Auto Lease Trust | |||
855,000 | 5.86%, 08/20/2025(1) | 856,591 | |
1,435,000 | 6.02%, 09/22/2025(1) | 1,440,325 | |
1,930,000 | Tesla Electric Vehicle Trust 5.54%, 12/21/2026(1) | 1,935,586 | |
939,933 | Toyota Auto Receivables Owner Trust 5.28%, 05/15/2026 | 938,531 | |
833,193 | Toyota Lease Owner Trust 5.30%, 08/20/2025(1) | 831,903 | |
176,212 | United Auto Credit Securitization Trust 5.57%, 07/10/2025(1) | 176,111 | |
970,000 | USAA Auto Owner Trust 5.83%, 07/15/2026(1) | 972,211 | |
899,343 | Volkswagen Auto Loan Enhanced Trust 5.50%, 12/21/2026 | 899,648 | |
Westlake Automobile Receivables Trust | |||
1,600,000 | 1.23%, 04/15/2026(1) | 1,546,632 | |
245,787 | 3.36%, 08/15/2025(1) | 245,454 | |
799,571 | 5.24%, 07/15/2025(1) | 799,169 | |
1,085,349 | 5.51%, 06/15/2026(1) | 1,083,986 | |
3,255,000 | 5.80%, 02/16/2027(1) | 3,265,114 | |
1,080,000 | 5.89%, 02/16/2027(1) | 1,084,943 | |
1,285,000 | 5.96%, 10/15/2026(1) | 1,289,065 | |
Wheels Fleet Lease Funding 1 LLC | |||
1,740,000 | 5.80%, 04/18/2038(1) | 1,745,036 | |
1,000,000 | 6.46%, 08/18/2038(1) | 1,012,195 | |
World Omni Auto Receivables Trust | |||
373,827 | 2.77%, 10/15/2025 | 372,061 | |
848,197 | 5.18%, 07/15/2026 | 846,438 | |
493,433 | 5.25%, 11/16/2026 | 492,445 | |
850,684 | World Omni Automobile Lease Securitization Trust 5.47%, 11/17/2025 | 850,287 |
Shares or Principal Amount | Market Value† | ||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 37.2% - (continued) | |||
Asset-Backed - Automobile - 24.9% - (continued) | |||
World Omni Select Auto Trust | |||
$ 1,411,256 | 0.53%, 03/15/2027 | $ 1,385,497 | |
1,613,950 | 5.92%, 03/15/2027 | 1,614,468 | |
139,670,089 | |||
Asset-Backed - Finance & Insurance - 0.4% | |||
238,546 | BWAY Mortgage Trust 2.81%, 03/10/2033(1) | 232,467 | |
231,801 | Donlen Fleet Lease Funding 2 LLC 0.56%, 12/11/2034(1) | 228,360 | |
51,921 | Ellington Financial Mortgage Trust 2.74%, 11/25/2059(1)(3) | 49,148 | |
100,991 | FCI Funding LLC 1.13%, 04/15/2033(1) | 98,443 | |
1,689,491 | John Deere Owner Trust 5.28%, 03/16/2026 | 1,686,676 | |
71,874 | Residential Mortgage Loan Trust 2.38%, 01/26/2060(1)(3) | 68,482 | |
2,363,576 | |||
Other Asset-Backed Securities - 8.8% | |||
Affirm Asset Securitization Trust | |||
449,216 | 4.55%, 06/15/2027(1) | 444,196 | |
975,000 | 6.61%, 01/18/2028(1) | 980,574 | |
210,452 | Amur Equipment Finance Receivables IX LLC 0.75%, 11/20/2026(1) | 208,062 | |
534,012 | Amur Equipment Finance Receivables XI LLC 5.30%, 06/21/2028(1) | 532,496 | |
146,766 | Atalaya Equipment Leasing Trust 1.23%, 05/15/2026(1) | 145,406 | |
675,000 | Auxilior Term Funding LLC 6.18%, 12/15/2028(1) | 677,526 | |
BHG Securitization Trust | |||
973,337 | 1.71%, 02/20/2035(1) | 947,462 | |
255,731 | 5.32%, 10/17/2035(1) | 254,056 | |
CCG Receivables Trust | |||
109,136 | 0.30%, 06/14/2027(1) | 107,838 | |
419,500 | 0.54%, 03/14/2029(1) | 407,179 | |
1,901,982 | 3.91%, 07/16/2029(1) | 1,878,823 | |
1,691,042 | 5.82%, 09/16/2030(1) | 1,701,593 | |
CNH Equipment Trust | |||
945,000 | 5.34%, 09/15/2026 | 943,345 | |
895,209 | 5.42%, 07/15/2026 | 894,107 | |
1,720,000 | Daimler Trucks Retail Trust 6.03%, 09/15/2025 | 1,723,305 | |
Dell Equipment Finance Trust | |||
534,475 | 0.53%, 12/22/2026(1) | 530,129 | |
700,000 | 5.84%, 01/22/2029(1) | 701,609 | |
605,000 | 6.10%, 04/23/2029(1) | 608,704 | |
Dext ABS LLC | |||
314,273 | 1.12%, 02/15/2028(1) | 305,925 | |
269,419 | 5.68%, 04/15/2024(1) | 269,350 | |
2,495,000 | 6.56%, 05/15/2034(1) | 2,506,944 | |
900,000 | DLLAA LLC 5.93%, 07/20/2026(1) | 903,857 | |
DLLAD LLC | |||
1,928,817 | 0.64%, 09/21/2026(1) | 1,860,800 | |
1,248,138 | 5.19%, 04/20/2026(1) | 1,243,905 | |
1,530,000 | DLLMT LLC 5.78%, 11/20/2025(1) | 1,530,218 | |
751,482 | DLLST LLC 3.40%, 01/21/2025(1) | 746,321 | |
1,890,000 | Granite Park Equipment Leasing LLC 6.51%, 05/20/2030(1) | 1,905,460 | |
1,175,000 | GreatAmerica Leasing Receivables 5.35%, 02/16/2026(1) | 1,173,938 | |
1,241,109 | GreatAmerica Leasing Receivables Funding LLC 4.92%, 05/15/2025(1) | 1,236,077 | |
HPEFS Equipment Trust | |||
322,196 | 3.15%, 09/20/2029(1) | 321,068 | |
663,595 | 5.26%, 08/20/2029(1) | 662,714 | |
760,000 | 5.43%, 08/20/2029(1) | 760,459 | |
1,030,000 | 6.04%, 01/21/2031(1) | 1,037,430 |
97 |
December 31, 2023
Shares or Principal Amount | Market Value† | ||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 37.2% - (continued) | |||
Other Asset-Backed Securities - 8.8% - (continued) | |||
$ 2,110,000 | John Deere Owner Trust 5.59%, 06/15/2026 | $ 2,111,212 | |
Kubota Credit Owner Trust | |||
789,473 | 5.40%, 02/17/2026(1) | 788,345 | |
2,950,000 | 5.61%, 07/15/2026(1) | 2,958,876 | |
Marlette Funding Trust | |||
41,210 | 4.25%, 08/15/2032(1) | 41,146 | |
211,207 | 5.18%, 11/15/2032(1) | 210,615 | |
1,110,760 | 6.04%, 06/15/2033(1) | 1,109,103 | |
1,075,399 | 6.07%, 04/15/2033(1) | 1,074,514 | |
1,221,625 | 6.49%, 09/15/2033(1) | 1,222,921 | |
MMAF Equipment Finance LLC | |||
180,461 | 2.01%, 12/12/2024(1) | 179,634 | |
1,168,684 | 5.57%, 09/09/2025(1) | 1,167,179 | |
1,650,000 | 5.79%, 11/13/2026(1) | 1,655,497 | |
436,382 | New York City Tax Lien Trust 2.10%, 11/10/2034(1) | 425,522 | |
2,225,000 | PFS Financing Corp. 0.77%, 08/15/2026(1) | 2,155,547 | |
SCF Equipment Leasing LLC | |||
452,226 | 6.24%, 07/20/2028(1) | 452,317 | |
1,935,000 | 6.56%, 01/22/2030(1) | 1,949,283 | |
217,334 | SoFi Consumer Loan Program Trust 5.81%, 05/15/2031(1) | 217,058 | |
1,545,000 | Verizon Master Trust 5.23%, 11/22/2027 | 1,544,963 | |
49,414,608 | |||
Whole Loan Collateral CMO - 3.1% | |||
574,736 | Angel Oak Mortgage Trust 2.53%, 01/26/2065(1)(3) | 529,649 | |
BRAVO Residential Funding Trust | |||
323,751 | 0.94%, 02/25/2049(1)(3) | 280,643 | |
359,467 | 0.97%, 03/25/2060(1)(3) | 327,831 | |
1,134,019 | 1.70%, 04/25/2060(1)(3) | 1,016,262 | |
175,598 | Bunker Hill Loan Depositary Trust 2.72%, 11/25/2059(1)(4) | 170,615 | |
78,652 | CFMT LLC 3.17%, 07/25/2054(1)(3) | 76,937 | |
COLT Mortgage Loan Trust | |||
1,577,352 | 1.11%, 10/25/2066(1)(3) | 1,304,365 | |
416,298 | 1.33%, 10/26/2065(1)(3) | 371,234 | |
1,940,568 | 1.40%, 10/25/2066(1)(3) | 1,547,017 | |
92,813 | 1.51%, 04/27/2065(1)(3) | 86,670 | |
1,067,083 | 1.73%, 11/26/2066(1)(3) | 880,522 | |
1,214,486 | CSMC Trust 3.57%, 07/25/2049(1)(4) | 1,131,910 | |
421,828 | Ellington Financial Mortgage Trust 0.93%, 06/25/2066(1)(3) | 336,427 | |
GCAT Trust | |||
2,714,896 | 1.26%, 07/25/2066(1)(3) | 2,119,972 | |
607,684 | 1.92%, 08/25/2066(1)(3) | 529,384 | |
MFA Trust | |||
278,348 | 1.01%, 01/26/2065(1)(3) | 249,334 | |
505,399 | 1.03%, 11/25/2064(1)(3) | 426,735 | |
New Residential Mortgage Loan Trust | |||
1,400,919 | 1.16%, 11/27/2056(1)(3) | 1,159,254 | |
407,209 | 4.00%, 08/27/2057(1)(3) | 387,370 | |
34,131 | OBX Trust 6.12%, 06/25/2057, 1 mo. USD Term SOFR + 0.76%(1)(2) | 32,486 | |
1,834,099 | SG Residential Mortgage Trust 1.16%, 07/25/2061(1)(3) | 1,432,229 | |
Starwood Mortgage Residential Trust | |||
252,098 | 0.94%, 05/25/2065(1)(3) | 224,682 | |
33,701 | 2.28%, 02/25/2050(1)(3) | 31,672 | |
Towd Point Mortgage Trust | |||
63,839 | 2.16%, 01/25/2052(1)(3) | 63,472 | |
424,674 | 2.75%, 06/25/2057(1)(3) | 407,055 | |
814,822 | 3.75%, 03/25/2058(1)(3) | 796,372 |
Shares or Principal Amount | Market Value† | ||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 37.2% - (continued) | |||
Whole Loan Collateral CMO - 3.1% - (continued) | |||
$ 143,786 | 5.76%, 02/25/2057, 1 mo. USD Term SOFR + 0.71%(1)(2) | $ 145,216 | |
Verus Securitization Trust | |||
1,112,341 | 1.63%, 10/25/2066(1)(3) | 923,176 | |
134,549 | 3.64%, 11/25/2059(1)(4) | 130,373 | |
212,402 | 3.69%, 11/25/2059(1)(3) | 206,392 | |
17,325,256 | |||
Total Asset & Commercial Mortgage-Backed Securities (cost $211,568,361) | $ 208,773,529 | ||
CORPORATE BONDS - 33.7% | |||
Aerospace/Defense - 0.2% | |||
900,000 | Litton Industries, Inc. 7.75%, 03/15/2026 | $ 945,024 | |
Agriculture - 0.5% | |||
1,700,000 | Cargill, Inc. 3.50%, 04/22/2025(1) | 1,670,798 | |
1,225,000 | Philip Morris International, Inc. 5.13%, 11/15/2024 | 1,223,240 | |
2,894,038 | |||
Auto Manufacturers - 0.9% | |||
Daimler Truck Finance North America LLC | |||
565,000 | 5.15%, 01/16/2026(1) | 566,734 | |
875,000 | 5.60%, 08/08/2025(1)(5) | 880,786 | |
1,500,000 | General Motors Financial Co., Inc. 5.99%, 10/15/2024, 3 mo. USD SOFR + 0.62%(2) | 1,497,435 | |
1,000,000 | Hyundai Capital America 6.25%, 11/03/2025(1) | 1,014,879 | |
1,225,000 | Mercedes-Benz Finance North America LLC 5.50%, 11/27/2024(1) | 1,226,198 | |
5,186,032 | |||
Beverages - 0.7% | |||
1,725,000 | Constellation Brands, Inc. 3.60%, 05/09/2024 | 1,712,121 | |
730,000 | Diageo Capital PLC 5.20%, 10/24/2025 | 735,699 | |
1,750,000 | JDE Peet's NV 0.80%, 09/24/2024(1) | 1,682,756 | |
4,130,576 | |||
Chemicals - 0.3% | |||
1,225,000 | Linde, Inc. 4.80%, 12/05/2024 | 1,222,252 | |
580,000 | Nutrien Ltd. 5.95%, 11/07/2025 | 589,759 | |
1,812,011 | |||
Commercial Banks - 17.9% | |||
1,600,000 | ABN AMRO Bank NV 6.34%, 09/18/2027, (6.34% fixed rate until 09/18/2026; 1 yr. USD CMT + 1.65% thereafter)(1)(6) | 1,636,304 | |
1,750,000 | ANZ New Zealand International Ltd. 6.00%, 02/18/2025, 3 mo. USD SOFR + 0.60%(1)(2)(5) | 1,749,671 | |
1,400,000 | Banco Santander SA 3.89%, 05/24/2024 | 1,390,129 | |
Bank of America Corp. | |||
1,025,000 | 3.84%, 04/25/2025, (3.84% fixed rate until 04/25/2024; 6 mo. USD SOFR + 1.11% thereafter)(6) | 1,018,409 | |
925,000 | 5.08%, 01/20/2027, (5.08% fixed rate until 01/20/2026; 6 mo. USD SOFR + 1.29% thereafter)(6) | 923,281 | |
1,700,000 | 6.05%, 02/04/2025, 3 mo. USD SOFR + 0.66%(2) | 1,698,586 | |
1,525,000 | 6.07%, 04/22/2025, 3 mo. USD SOFR + 0.69%(2) | 1,524,577 | |
2,000,000 | Bank of America NA 5.65%, 08/18/2025 | 2,024,972 |
98 |
December 31, 2023
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 33.7% - (continued) | |||
Commercial Banks - 17.9% - (continued) | |||
Bank of New York Mellon | |||
$ 430,000 | 5.15%, 05/22/2026, (5.15% fixed rate until 05/22/2025; 6 mo. USD SOFR + 1.07% thereafter)(6) | $ 429,971 | |
1,000,000 | 5.22%, 11/21/2025, (5.22% fixed rate until 11/21/2024; 6 mo. USD SOFR + 0.80% thereafter)(6) | 999,780 | |
750,000 | Bank of New York Mellon Corp. 5.64%, 04/26/2024, 3 mo. USD SOFR + 0.26%(2) | 749,713 | |
Bank of Nova Scotia | |||
1,400,000 | 2.44%, 03/11/2024(5) | 1,391,478 | |
3,675,000 | 5.77%, 07/31/2024, 3 mo. USD SOFR + 0.38%(2) | 3,674,576 | |
Banque Federative du Credit Mutuel SA | |||
1,000,000 | 4.52%, 07/13/2025(1)(5) | 990,728 | |
1,250,000 | 4.94%, 01/26/2026(1) | 1,245,947 | |
875,000 | 5.90%, 07/13/2026(1) | 893,641 | |
950,000 | Barclays PLC 7.33%, 11/02/2026, (7.33% fixed rate until 11/02/2025; 1 yr. USD CMT + 3.05% thereafter)(6) | 981,450 | |
1,400,000 | Citigroup, Inc. 6.07%, 01/25/2026, 3 mo. USD SOFR + 0.69%(2) | 1,391,671 | |
Citizens Bank NA | |||
1,025,000 | 4.12%, 05/23/2025, (4.12% fixed rate until 05/23/2024; 6 mo. USD SOFR + 1.4% thereafter)(6) | 1,000,355 | |
750,000 | 6.06%, 10/24/2025, (6.06% fixed rate until 10/24/2024; 6 mo. USD SOFR + 1.45% thereafter)(6) | 731,708 | |
1,250,000 | Commonwealth Bank of Australia 5.08%, 01/10/2025 | 1,251,348 | |
2,190,000 | Credit Agricole SA 5.59%, 07/05/2026(1) | 2,228,041 | |
750,000 | Credit Suisse AG 4.75%, 08/09/2024 | 745,319 | |
Danske Bank AS | |||
1,180,000 | 6.26%, 09/22/2026, (6.26% fixed rate until 09/22/2025; 1 yr. USD CMT + 1.18% thereafter)(1)(6) | 1,200,518 | |
750,000 | 6.47%, 01/09/2026, (6.47% fixed rate until 01/09/2025; 1 yr. USD CMT + 2.10% thereafter)(1)(6) | 755,416 | |
1,350,000 | DNB Bank ASA 2.97%, 03/28/2025, (2.97% fixed rate until 03/28/2024; 6 mo. USD SOFR + 0.81% thereafter)(1)(6) | 1,341,307 | |
1,880,000 | Fifth Third Bank NA 5.85%, 10/27/2025, (5.85% fixed rate until 10/27/2024; 6 mo. USD SOFR + 1.23% thereafter)(6) | 1,875,050 | |
Goldman Sachs Group, Inc. | |||
1,250,000 | 5.70%, 11/01/2024 | 1,252,895 | |
1,750,000 | 5.80%, 08/10/2026, (5.80% fixed rate until 08/10/2025; 3 mo. USD SOFR + 1.08% thereafter)(6) | 1,767,243 | |
1,500,000 | 5.92%, 09/10/2024, 3 mo. USD SOFR + 0.50%(2) | 1,498,088 | |
1,250,000 | HSBC Holdings PLC 7.34%, 11/03/2026, (7.34% fixed rate until 11/03/2025; 6 mo. USD SOFR + 3.03% thereafter)(6) | 1,297,843 | |
1,025,000 | HSBC USA, Inc. 3.75%, 05/24/2024 | 1,017,272 | |
Huntington National Bank | |||
1,175,000 | 4.01%, 05/16/2025, (4.01% fixed rate until 05/16/2024; 6 mo. USD SOFR + 1.21% thereafter)(6) | 1,157,594 | |
1,250,000 | 5.70%, 11/18/2025, (5.70% fixed rate until 11/18/2024; 6 mo. USD SOFR + 1.22% thereafter)(6) | 1,236,043 |
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 33.7% - (continued) | |||
Commercial Banks - 17.9% - (continued) | |||
JP Morgan Chase & Co. | |||
$ 1,350,000 | 3.85%, 06/14/2025, (3.85% fixed rate until 06/14/2024; 6 mo. USD SOFR + 0.98% thereafter)(6) | $ 1,339,234 | |
850,000 | 5.55%, 12/15/2025, (5.55% fixed rate until 12/15/2024; 6 mo. USD SOFR + 1.07% thereafter)(6) | 850,420 | |
2,000,000 | 5.95%, 06/01/2025, 6 mo. USD SOFR + 0.54%(2) | 1,993,211 | |
1,250,000 | KeyBank NA 5.74%, 06/14/2024, 3 mo. USD SOFR + 0.32%(2) | 1,239,790 | |
Macquarie Group Ltd. | |||
1,500,000 | 6.08%, 10/14/2025, 3 mo. USD SOFR + 0.71%(1)(2) | 1,490,074 | |
1,200,000 | 6.21%, 11/22/2024(1) | 1,206,956 | |
Manufacturers & Traders Trust Co. | |||
2,310,000 | 4.65%, 01/27/2026 | 2,262,145 | |
1,850,000 | 5.40%, 11/21/2025 | 1,837,923 | |
Morgan Stanley | |||
1,350,000 | 3.62%, 04/17/2025, (3.62% fixed rate until 04/17/2024; 6 mo. USD SOFR + 1.16% thereafter)(6) | 1,341,900 | |
1,225,000 | 5.05%, 01/28/2027, (5.05% fixed rate until 01/28/2026; 6 mo. USD SOFR + 1.30% thereafter)(6) | 1,226,491 | |
750,000 | 6.01%, 01/24/2025, 6 mo. USD SOFR + 0.63%(2) | 748,891 | |
Morgan Stanley Bank NA | |||
1,250,000 | 4.75%, 04/21/2026 | 1,249,798 | |
1,500,000 | 5.48%, 07/16/2025 | 1,513,881 | |
National Australia Bank Ltd. | |||
1,225,000 | 4.97%, 01/12/2026 | 1,233,865 | |
1,400,000 | 5.75%, 01/12/2025, 3 mo. USD SOFR + 0.38%(1)(2) | 1,397,416 | |
3,725,000 | National Bank of Canada 5.88%, 08/06/2024, 3 mo. USD SOFR + 0.49%(2) | 3,724,929 | |
1,000,000 | National Securities Clearing Corp. 5.15%, 05/30/2025(1) | 1,005,189 | |
1,290,000 | NatWest Markets PLC 5.93%, 08/12/2024, 3 mo. USD SOFR + 0.53%(1)(2) | 1,289,699 | |
PNC Financial Services Group, Inc. | |||
1,325,000 | 3.90%, 04/29/2024 | 1,317,274 | |
1,510,000 | 5.67%, 10/28/2025, (5.67% fixed rate until 10/28/2024; 6 mo. USD SOFR + 1.09% thereafter)(6) | 1,509,383 | |
Royal Bank of Canada | |||
875,000 | 5.20%, 07/20/2026 | 885,347 | |
950,000 | 5.66%, 10/25/2024 | 952,242 | |
1,925,000 | 5.67%, 01/19/2024, 3 mo. USD SOFR + 0.30%(2) | 1,925,000 | |
1,475,000 | 5.70%, 10/07/2024, 3 mo. USD SOFR + 0.34%(2) | 1,472,373 | |
Societe Generale SA | |||
1,350,000 | 4.35%, 06/13/2025(1)(5) | 1,337,982 | |
925,000 | 6.45%, 01/12/2027, (6.45% fixed rate until 01/12/2026; 1 yr. USD CMT + 2.30% thereafter)(1)(6) | 941,455 | |
Standard Chartered PLC | |||
1,225,000 | 6.17%, 01/09/2027, (6.17% fixed rate until 01/09/2026; 1 yr. USD CMT + 2.05% thereafter)(1)(5)(6) | 1,243,533 | |
850,000 | 7.78%, 11/16/2025, (7.78% fixed rate until 11/16/2024; 1 yr. USD CMT + 3.10% thereafter)(1)(6) | 866,311 |
99 |
December 31, 2023
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 33.7% - (continued) | |||
Commercial Banks - 17.9% - (continued) | |||
$ 1,500,000 | State Street Corp. 5.75%, 11/04/2026, (5.75% fixed rate until 11/04/2025; 6 mo. USD SOFR + 1.35% thereafter)(6) | $ 1,523,528 | |
2,200,000 | Sumitomo Mitsui Trust Bank Ltd. 5.86%, 09/16/2024, 3 mo. USD SOFR + 0.44%(1)(2) | 2,198,184 | |
Toronto-Dominion Bank | |||
1,000,000 | 2.35%, 03/08/2024 | 994,053 | |
925,000 | 5.10%, 01/09/2026 | 931,666 | |
2,200,000 | 5.77%, 09/10/2024, 3 mo. USD SOFR + 0.35%(2) | 2,201,185 | |
Truist Financial Corp. | |||
1,500,000 | 5.82%, 06/09/2025, 3 mo. USD SOFR + 0.40%(2) | 1,477,601 | |
1,250,000 | 5.90%, 10/28/2026, (5.90% fixed rate until 10/28/2025; 6 mo. USD SOFR + 1.63% thereafter)(6) | 1,260,314 | |
UBS AG | |||
1,400,000 | 5.84%, 01/13/2025, 3 mo. USD SOFR + 0.47%(1)(2) | 1,397,049 | |
2,200,000 | 5.84%, 08/09/2024, 3 mo. USD SOFR + 0.45%(1)(2) | 2,203,665 | |
1,750,000 | Wells Fargo Bank NA 5.55%, 08/01/2025 | 1,767,825 | |
100,428,706 | |||
Diversified Financial Services - 1.5% | |||
American Express Co. | |||
2,050,000 | 3.38%, 05/03/2024 | 2,034,313 | |
1,300,000 | 3.95%, 08/01/2025 | 1,279,157 | |
1,250,000 | 4.99%, 05/01/2026, (4.99% fixed rate until 05/01/2025; 6 mo. USD SOFR + 1.00% thereafter)(6) | 1,246,604 | |
975,000 | Capital One Financial Corp. 4.99%, 07/24/2026, (4.99% fixed rate until 07/24/2025; 6 mo. USD SOFR + 2.16% thereafter)(6) | 963,901 | |
1,750,000 | Charles Schwab Corp. 5.88%, 08/24/2026(5) | 1,795,248 | |
1,085,000 | Consumers Securitization Funding LLC 5.55%, 03/01/2028 | 1,089,452 | |
8,408,675 | |||
Electric - 1.8% | |||
1,250,000 | American Electric Power Co., Inc. 5.70%, 08/15/2025 | 1,258,480 | |
1,350,000 | Eversource Energy 4.20%, 06/27/2024 | 1,339,679 | |
1,520,000 | Mississippi Power Co. 5.74%, 06/28/2024, 3 mo. USD SOFR + 0.30%(2) | 1,518,885 | |
NextEra Energy Capital Holdings, Inc. | |||
1,500,000 | 4.26%, 09/01/2024 | 1,485,302 | |
980,000 | 5.75%, 09/01/2025 | 989,630 | |
525,000 | 6.05%, 03/01/2025 | 529,742 | |
500,000 | Pennsylvania Electric Co. 5.15%, 03/30/2026(1) | 499,370 | |
1,700,000 | Sempra 5.40%, 08/01/2026 | 1,723,331 | |
1,000,000 | Southern Co. 5.15%, 10/06/2025 | 1,002,301 | |
10,346,720 | |||
Food - 0.2% | |||
1,155,000 | Mondelez International, Inc. 2.13%, 03/17/2024 | 1,145,896 | |
Healthcare - Products - 0.3% | |||
1,550,000 | GE HealthCare Technologies, Inc. 5.55%, 11/15/2024 | 1,550,543 | |
Healthcare - Services - 0.6% | |||
1,580,000 | CommonSpirit Health 2.76%, 10/01/2024 | 1,544,869 | |
545,000 | Elevance Health, Inc. 5.35%, 10/15/2025 | 548,478 | |
1,395,000 | UnitedHealth Group, Inc. 5.15%, 10/15/2025 | 1,410,498 | |
3,503,845 |
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 33.7% - (continued) | |||
Household Products - 0.4% | |||
$ 2,540,000 | Haleon U.S. Capital LLC 3.02%, 03/24/2024 | $ 2,524,010 | |
Insurance - 4.2% | |||
Athene Global Funding | |||
3,500,000 | 5.96%, 08/19/2024, 3 mo. USD SOFR + 0.56%(1)(2) | 3,486,109 | |
2,620,000 | 6.11%, 05/24/2024, 3 mo. USD SOFR + 0.70%(1)(2) | 2,618,369 | |
1,625,000 | Brighthouse Financial Global Funding 6.13%, 04/12/2024, 3 mo. USD SOFR + 0.76%(1)(2) | 1,621,668 | |
705,000 | Corebridge Financial, Inc. 3.50%, 04/04/2025 | 687,382 | |
725,000 | Corebridge Global Funding 5.75%, 07/02/2026(1) | 734,487 | |
1,540,000 | Equitable Financial Life Global Funding 5.50%, 12/02/2025(1) | 1,540,300 | |
1,225,000 | Jackson National Life Global Funding 5.50%, 01/09/2026(1) | 1,223,604 | |
1,550,000 | MassMutual Global Funding II 5.73%, 04/12/2024, 3 mo. USD SOFR + 0.36%(1)(2) | 1,550,417 | |
1,225,000 | Metropolitan Life Global Funding I 5.00%, 01/06/2026(1) | 1,229,506 | |
1,350,000 | New York Life Global Funding 3.15%, 06/06/2024(1) | 1,336,608 | |
1,250,000 | Pacific Life Global Funding II 5.50%, 08/28/2026(1) | 1,273,538 | |
Principal Life Global Funding II | |||
2,500,000 | 5.79%, 08/23/2024, 3 mo. USD SOFR + 0.38%(1)(2) | 2,498,952 | |
645,000 | 5.82%, 04/12/2024, 3 mo. USD SOFR + 0.45%(1)(2) | 644,716 | |
Protective Life Global Funding | |||
1,375,000 | 3.22%, 03/28/2025(1) | 1,341,221 | |
1,525,000 | 5.37%, 01/06/2026(1) | 1,536,236 | |
23,323,113 | |||
IT Services - 0.2% | |||
875,000 | Hewlett Packard Enterprise Co. 5.90%, 10/01/2024 | 877,331 | |
Machinery - Construction & Mining - 0.2% | |||
1,100,000 | Caterpillar Financial Services Corp. 5.69%, 09/13/2024, 3 mo. USD SOFR + 0.27%(2) | 1,099,799 | |
Media - 0.2% | |||
1,020,000 | Comcast Corp. 5.25%, 11/07/2025 | 1,030,317 | |
Oil & Gas - 0.6% | |||
1,400,000 | Occidental Petroleum Corp. 5.88%, 09/01/2025 | 1,407,875 | |
1,750,000 | Ovintiv, Inc. 5.65%, 05/15/2025 | 1,757,776 | |
3,165,651 | |||
Pharmaceuticals - 0.5% | |||
460,000 | Bayer U.S. Finance LLC 6.13%, 11/21/2026(1) | 467,939 | |
1,225,000 | CVS Health Corp. 5.00%, 02/20/2026 | 1,231,241 | |
1,050,000 | Pfizer Investment Enterprises Pte. Ltd. 4.65%, 05/19/2025 | 1,046,555 | |
2,745,735 | |||
Pipelines - 1.3% | |||
245,000 | Columbia Pipelines Holding Co. LLC 6.06%, 08/15/2026(1) | 250,903 | |
2,100,000 | Enbridge, Inc. 6.03%, 02/16/2024, 3 mo. USD SOFR + 0.63%(2) | 2,100,605 | |
350,000 | Energy Transfer LP 4.25%, 04/01/2024 | 348,659 | |
925,000 | Enterprise Products Operating LLC 5.05%, 01/10/2026 | 933,731 |
100 |
December 31, 2023
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 33.7% - (continued) | |||
Pipelines - 1.3% - (continued) | |||
$ 2,050,000 | ONEOK, Inc. 5.55%, 11/01/2026 | $ 2,086,514 | |
1,700,000 | Williams Cos., Inc. 5.40%, 03/02/2026 | 1,717,804 | |
7,438,216 | |||
REITS - 0.2% | |||
1,220,000 | Public Storage Operating Co. 5.85%, 04/23/2024, 3 mo. USD SOFR + 0.47%(2) | 1,219,928 | |
Retail - 0.1% | |||
800,000 | AutoZone, Inc. 5.05%, 07/15/2026 | 805,345 | |
Semiconductors - 0.4% | |||
1,120,000 | Analog Devices, Inc. 5.69%, 10/01/2024, 3 mo. USD SOFR + 0.25%(2) | 1,120,031 | |
885,000 | Intel Corp. 4.88%, 02/10/2026 | 891,868 | |
2,011,899 | |||
Software - 0.1% | |||
275,000 | Oracle Corp. 5.80%, 11/10/2025 | 279,348 | |
Telecommunications - 0.2% | |||
455,000 | NTT Finance Corp. 4.14%, 07/26/2024(1) | 451,950 | |
800,000 | Sprint LLC 7.13%, 06/15/2024 | 803,459 | |
1,255,409 | |||
Trucking & Leasing - 0.2% | |||
1,000,000 | Penske Truck Leasing Co. LP/PTL Finance Corp. 5.75%, 05/24/2026(1) | 1,008,324 | |
Total Corporate Bonds (cost $188,985,676) | $ 189,136,491 | ||
U.S. GOVERNMENT AGENCIES - 6.9% | |||
Mortgage-Backed Agencies - 6.9% | |||
Federal Home Loan Banks - 3.5% | |||
5,000,000 | 4.75%, 03/08/2024 | $ 4,994,294 | |
1,500,000 | 4.88%, 06/14/2024 | 1,497,686 | |
3,000,000 | 5.00%, 01/10/2024 | 2,999,710 | |
5,000,000 | 5.46%, 07/19/2024 | 4,995,815 | |
5,000,000 | 5.55%, 07/19/2024 | 4,998,835 | |
19,486,340 | |||
Federal Home Loan Mortgage Corp. - 1.0% | |||
642,265 | 1.00%, 05/15/2041 | 587,342 | |
255,700 | 1.75%, 04/15/2027 | 247,446 | |
50,911 | 3.00%, 05/15/2043 | 50,107 | |
322,273 | 3.50%, 11/15/2025 | 316,801 | |
2,087,430 | 3.50%, 05/15/2026 | 2,050,003 | |
29,435 | 3.50%, 11/15/2042 | 29,242 | |
2,180,237 | 4.00%, 03/15/2037 | 2,147,990 | |
5,428,931 | |||
Federal National Mortgage Association - 2.2% | |||
423,101 | 1.75%, 09/25/2041 | 394,951 | |
3,075,240 | 3.00%, 07/25/2043 | 3,038,421 | |
2,119,260 | 3.06%, 06/25/2024(3) | 2,094,932 | |
907,364 | 3.50%, 08/25/2026 | 889,969 | |
932,704 | 3.50%, 11/01/2034 | 913,824 | |
1,003,997 | 3.50%, 11/25/2038 | 980,044 | |
1,140,166 | 4.00%, 09/25/2039 | 1,121,671 | |
1,598,881 | 4.00%, 07/25/2040 | 1,573,823 | |
1,682,159 | 4.00%, 06/25/2041 | 1,644,370 | |
12,652,005 |
Shares or Principal Amount | Market Value† | ||
U.S. GOVERNMENT AGENCIES - 6.9% - (continued) | |||
Mortgage-Backed Agencies - 6.9% - (continued) | |||
Government National Mortgage Association - 0.2% | |||
$ 357,771 | 2.50%, 09/20/2046 | $ 332,754 | |
987,243 | 3.50%, 01/20/2052 | 956,998 | |
1,289,752 | |||
Total U.S. Government Agencies (cost $38,934,465) | $ 38,857,028 | ||
U.S. GOVERNMENT SECURITIES - 15.7% | |||
U.S. Treasury Securities - 15.7% | |||
U.S. Treasury Notes - 15.7% | |||
10,000,000 | 0.75%, 11/15/2024 | $ 9,650,391 | |
51,250,000 | 2.00%, 04/30/2024 | 50,713,477 | |
13,050,000 | 2.38%, 02/29/2024 | 12,988,533 | |
15,000,000 | 2.50%, 01/31/2024 | 14,965,551 | |
Total U.S. Government Securities (cost $88,570,204) | $ 88,317,952 | ||
Total Long-Term Investments (cost $528,058,706) | $ 525,085,000 | ||
SHORT-TERM INVESTMENTS - 5.8% | |||
Commercial Paper - 0.9% | |||
1,000,000 | AT&T, Inc. 5.78%, 03/19/2024(1)(7) | $ 987,404 | |
3,100,000 | Australia & New Zealand Banking Group Ltd. 5.70%, 04/22/2024(1)(7) | 3,047,241 | |
1,000,000 | Societe Generale SA 5.03%, 01/18/2024(1)(7) | 997,526 | |
5,032,171 | |||
Repurchase Agreements - 0.4% | |||
2,355,948 | Fixed Income Clearing Corp. Repurchase Agreement dated 12/29/2023 at 5.32%, due on 01/02/2024 with a maturity value of $2,357,341; collateralized by U.S. Treasury Inflation Index Note at 0.13%, maturing 07/15/2031, with a market value of $2,403,153 | 2,355,948 | |
Securities Lending Collateral - 0.5% | |||
475,478 | Goldman Sachs Financial Square Funds, Government Fund, Institutional Class, 5.25%(8) | 475,478 | |
1,584,929 | HSBC U.S. Government Money Market Fund, Institutional Class, 5.31%(8) | 1,584,929 | |
475,479 | Invesco Government & Agency Portfolio, Institutional Class, 5.28%(8) | 475,479 | |
475,479 | Morgan Stanley Institutional Liquidity Funds, Government Portfolio, Institutional Class, 5.27%(8) | 475,479 | |
3,011,365 | |||
U.S. Treasury Securities - 4.0% | |||
U.S. Treasury Bills - 4.0% | |||
4,000,000 | 5.03%, 01/16/2024(7) | 3,991,200 | |
5,000,000 | 5.29%, 04/30/2024(7) | 4,913,852 | |
6,000,000 | 5.33%, 04/23/2024(7) | 5,902,965 |
101 |
December 31, 2023
Shares or Principal Amount | Market Value† | ||
SHORT-TERM INVESTMENTS - 5.8% - (continued) | |||
U.S. Treasury Securities - 4.0% - (continued) | |||
U.S. Treasury Bills - 4.0 - (continued) | |||
$ 2,500,000 | 5.36%, 02/27/2024(7) | $ 2,478,882 | |
5,000,000 | 5.36%, 04/16/2024(7) | 4,924,045 | |
22,210,944 | |||
Total Short-Term Investments (cost $32,607,140) | $ 32,610,428 | ||
Total Investments (cost $560,665,846) | 99.3% | $ 557,695,428 | |
Other Assets and Liabilities | 0.7% | 4,088,389 | |
Total Net Assets | 100.0% | $ 561,783,817 |
Note: | Percentage of investments as shown is the ratio of the total market value to total net assets. |
The Fund may refer to any one or more of the industry classifications used by one or more widely recognized market indices, ratings group and/or as defined by Fund management. Industry classifications may not be identical across all security types. | |
For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. | |
See “Glossary” for abbreviation descriptions. |
(1) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions that are exempt from registration (typically only to qualified institutional buyers) or in a public offering registered under the Securities Act of 1933. At December 31, 2023, the aggregate value of these securities was $196,701,300, representing 35.0% of net assets. |
(2) | Variable rate securities; the rate reported is the coupon rate in effect at December 31, 2023. Base lending rates may be subject to a floor or cap. |
(3) | Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. |
(4) | Security is a “step-up” bond where coupon increases or steps up at a predetermined date. Rate shown is current coupon rate. |
(5) | Represents entire or partial securities on loan. See Note 8 in the accompanying Notes to Financial Statements for securities lending information. |
(6) | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at December 31, 2023. Rate will reset at a future date. Base lending rates may be subject to a floor or cap. |
(7) | The rate shown represents current yield to maturity. |
(8) | Current yield as of period end. |
† | See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments. |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Asset & Commercial Mortgage-Backed Securities | $ 208,773,529 | $ — | $ 208,773,529 | $ — | ||||
Corporate Bonds | 189,136,491 | — | 189,136,491 | — | ||||
U.S. Government Agencies | 38,857,028 | — | 38,857,028 | — | ||||
U.S. Government Securities | 88,317,952 | — | 88,317,952 | — | ||||
Short-Term Investments | 32,610,428 | 3,011,365 | 29,599,063 | — | ||||
Total | $ 557,695,428 | $ 3,011,365 | $ 554,684,063 | $ — |
(1) | For the year ended December 31, 2023, there were no transfers in and out of Level 3. |
102 |
Counterparty Abbreviations: | |
CBK | Citibank NA |
DEUT | Deutsche Bank Securities, Inc. |
Currency Abbreviations: | |
BRL | Brazil Real |
EUR | Euro Member Countries |
USD | United States Dollar |
Index Abbreviations: | |
CDX.EM | Credit Derivatives Emerging Markets |
CMT | Constant Maturity Treasury Index |
ICE | Intercontinental Exchange, Inc. |
MTA | Monthly Treasury Average Index |
Municipal Abbreviations: | |
Auth | Authority |
Dev | Development |
GO | General Obligation |
Rev | Revenue |
Other Abbreviations: | |
ADR | American Depositary Receipt |
ARM | Adjustable Rate Mortgage |
ASA | Allmennaksjeselskap |
BAM | Build America Mutual Assurance Corp. |
CDI | Chess Depositary Interest |
CLO | Collateralized Loan Obligation |
CMO | Collateralized Mortgage Obligation |
CVR | Contingent Value Rights |
ETF | Exchange-Traded Fund |
EURIBOR | Euro Interbank Offered Rate |
KGaA | Kommanditgesellschaft Auf Aktien |
NATL | National Public Finance Guarantee Corp. |
Nyrt | New York REIT Inc |
PT | Perseroan Terbatas |
REIT | Real Estate Investment Trust |
SOFR | Secured Overnight Financing Rate |
ST APPROP | State Appropriation |
TBA | To Be Announced |
103 |
December 31, 2023
Hartford Balanced HLS Fund | Hartford Capital Appreciation HLS Fund | Hartford Disciplined Equity HLS Fund | Hartford Dividend and Growth HLS Fund | Hartford Healthcare HLS Fund | Hartford International Opportunities HLS Fund | ||||||
Assets: | |||||||||||
Investments in securities, at market value(1) | $ 1,688,180,782 | $ 3,515,712,084 | $ 2,695,456,711 | $ 3,420,462,640 | $ 137,485,616 | $ 864,286,114 | |||||
Repurchase agreements | 3,851,967 | 21,275,928 | 2,337,621 | 11,022,799 | 345,839 | 1,934,551 | |||||
Cash | 14,765,695 | 81,429,934 | 8,966,467 | 42,225,161 | 1,324,567 | 7,415,191 | |||||
Cash collateral due from broker on futures contracts | — | 4,619,700 | — | — | — | — | |||||
Cash collateral held for securities on loan | 35,093 | 571,934 | — | — | 31,570 | 74,022 | |||||
Foreign currency | 80 | 1,052,096 | — | 7,549 | 46,699 | 1,330,530 | |||||
Receivables: | |||||||||||
Investment securities sold | 5,354,505 | 2,291,246 | 16,753,523 | — | 83,602 | 132 | |||||
Fund shares sold | 25,105 | 107,515 | 154,471 | 14,150,936 | 35,958 | 130,262 | |||||
Dividends and interest | 6,435,912 | 3,322,279 | 1,554,338 | 4,729,775 | 108,812 | 874,849 | |||||
Securities lending income | 964 | 9,129 | — | 2,274 | 102 | 792 | |||||
Variation margin on futures contracts | 6,751 | 118,539 | — | — | — | — | |||||
Tax reclaims | 933,572 | 142,375 | 40,275 | 1,038,967 | 35,995 | 1,275,479 | |||||
Other assets | 11,162 | 20,119 | 16,982 | 19,216 | 4,217 | 7,588 | |||||
Total assets | 1,719,601,588 | 3,630,672,878 | 2,725,280,388 | 3,493,659,317 | 139,502,977 | 877,329,510 | |||||
Liabilities: | |||||||||||
Obligation to return securities lending collateral | 701,851 | 11,438,686 | — | 16,112,083 | 631,410 | 1,480,458 | |||||
Payables: | |||||||||||
Investment securities purchased | 6,212,388 | 12,087,110 | — | — | — | — | |||||
Fund shares redeemed | 11,105,710 | 25,394,240 | 4,129,219 | 11,880,618 | 155,619 | 1,951,764 | |||||
Investment management fees | 861,161 | 1,955,775 | 1,296,517 | 1,820,243 | 98,228 | 523,261 | |||||
Transfer agent fees | 961 | 1,505 | 1,530 | 1,141 | 1,069 | 1,326 | |||||
Accounting services fees | 44,587 | 88,442 | 67,578 | 85,228 | 4,434 | 23,780 | |||||
Board of Directors' fees | 10,181 | 21,335 | 16,277 | 20,394 | 815 | 5,196 | |||||
Foreign taxes | — | — | — | — | — | 938,470 | |||||
Distribution fees | 8,168 | 15,885 | 14,302 | 15,576 | 1,216 | 3,342 | |||||
Accrued expenses | 70,381 | 88,630 | 133,106 | 78,678 | 34,630 | 77,981 | |||||
Total liabilities | 19,015,388 | 51,091,608 | 5,658,529 | 30,013,961 | 927,421 | 5,005,578 | |||||
Net assets | $ 1,700,586,200 | $ 3,579,581,270 | $ 2,719,621,859 | $ 3,463,645,356 | $ 138,575,556 | $ 872,323,932 | |||||
Summary of Net Assets: | |||||||||||
Capital stock and paid-in-capital | $ 1,214,012,930 | $ 2,647,565,496 | $ 1,620,929,019 | $ 1,949,462,040 | $ 102,381,739 | $ 765,336,494 | |||||
Distributable earnings (loss) | 486,573,270 | 932,015,774 | 1,098,692,840 | 1,514,183,316 | 36,193,817 | 106,987,438 | |||||
Net assets | $ 1,700,586,200 | $ 3,579,581,270 | $ 2,719,621,859 | $ 3,463,645,356 | $ 138,575,556 | $ 872,323,932 | |||||
Shares authorized | 9,500,000,000 | 5,450,000,000 | 3,610,000,000 | 4,000,000,000 | 800,000,000 | 2,625,000,000 | |||||
Par value | $ 0.0010 | $ 0.0010 | $ 0.0010 | $ 0.0010 | $ 0.0010 | $ 0.0010 | |||||
Class IA: Net asset value per share | $ 28.76 | $ 46.05 | $ 18.86 | $ 22.63 | $ 16.41 | $ 15.13 | |||||
Shares outstanding | 52,233,684 | 69,359,816 | 125,788,765 | 136,338,016 | 6,643,188 | 52,275,825 | |||||
Net Assets | $ 1,502,119,458 | $ 3,194,008,172 | $ 2,371,805,392 | $ 3,085,357,001 | $ 109,010,324 | $ 791,134,962 | |||||
Class IB: Net asset value per share | $ 29.46 | $ 44.87 | $ 18.52 | $ 22.42 | $ 14.42 | $ 15.45 | |||||
Shares outstanding | 6,737,389 | 8,269,105 | 15,318,242 | 16,872,994 | 2,049,588 | 5,255,590 | |||||
Net Assets | $ 198,466,742 | $ 371,021,415 | $ 283,694,844 | $ 378,288,355 | $ 29,565,232 | $ 81,188,970 | |||||
Class IC: Net asset value per share | $ — | $ 45.18 | $ 18.86 | $ — | $ — | $ — | |||||
Shares outstanding | — | 322,075 | 3,400,030 | — | — | — | |||||
Net Assets | $ — | $ 14,551,683 | $ 64,121,623 | $ — | $ — | $ — | |||||
Cost of investments | $ 1,298,144,670 | $ 2,612,534,669 | $ 1,692,517,974 | $ 2,099,440,240 | $ 101,227,061 | $ 707,450,464 | |||||
Cost of foreign currency | $ 75 | $ 1,058,338 | $ — | $ 7,297 | $ 45,105 | $ 1,329,518 | |||||
(1) Includes Investment in securities on loan, at market value | $ 670,421 | $ 10,853,794 | $ — | $ 12,220,659 | $ 612,390 | $ 1,403,784 |
104 |
December 31, 2023
Hartford MidCap HLS Fund | Hartford Small Cap Growth HLS Fund | Hartford Small Company HLS Fund | Hartford Stock HLS Fund | Hartford Total Return Bond HLS Fund | Hartford Ultrashort Bond HLS Fund | ||||||
Assets: | |||||||||||
Investments in securities, at market value(1) | $ 1,097,193,844 | $ 764,625,627 | $ 433,629,954 | $ 1,332,262,823 | $ 2,077,051,655 | $ 555,339,480 | |||||
Repurchase agreements | 40,384 | 803,940 | 169,619 | 2,928,065 | 5,363,968 | 2,355,948 | |||||
Cash | 213,815 | 3,178,764 | 652,092 | 11,225,961 | 23,887,176 | 9,027,963 | |||||
Cash collateral due from broker on foreign currency contracts | — | — | — | — | 160,000 | — | |||||
Cash collateral held for securities on loan | 5,450 | 336,139 | 116,357 | — | 9,637 | 158,493 | |||||
Foreign currency | — | — | — | — | 584,552 | — | |||||
Receivables: | |||||||||||
Investment securities sold | 73,611,660 | 6,986,990 | — | — | 92,514,739 | — | |||||
Fund shares sold | 358,504 | 1,490,229 | 138,407 | 27,614 | 159,149 | 205,436 | |||||
Dividends and interest | 232,677 | 184,197 | 242,657 | 2,203,531 | 15,128,764 | 3,332,542 | |||||
Securities lending income | 122 | 4,268 | 1,455 | — | 507 | 2,073 | |||||
Variation margin on futures contracts | — | — | — | — | 1,005,250 | — | |||||
Variation margin on centrally cleared swap contracts | — | — | — | — | 191,186 | — | |||||
Other assets | 8,808 | 11,207 | 5,737 | 9,484 | 12,826 | 6,475 | |||||
Total assets | 1,171,665,264 | 777,621,361 | 434,956,278 | 1,348,657,478 | 2,216,069,409 | 570,428,410 | |||||
Liabilities: | |||||||||||
Unrealized depreciation on foreign currency contracts | — | — | — | — | 412,052 | — | |||||
Obligation to return securities lending collateral | 109,000 | 6,722,774 | 2,327,133 | — | 192,750 | 3,169,858 | |||||
Cash collateral due to broker on TBA sale commitments | — | — | — | — | 1,435,000 | — | |||||
TBA sale commitments, at market value | — | — | — | — | 60,387,947 | — | |||||
Payables: | |||||||||||
Investment securities purchased | — | 1,249,200 | — | — | 360,956,148 | 4,913,890 | |||||
Fund shares redeemed | 69,622,731 | 6,707,597 | 125,437 | 8,394,779 | 4,234,291 | 285,720 | |||||
Investment management fees | 678,773 | 385,273 | 267,438 | 546,228 | 711,810 | 189,960 | |||||
Transfer agent fees | 1,259 | 1,266 | 1,013 | 960 | 1,047 | 966 | |||||
Accounting services fees | 31,022 | 20,975 | 13,461 | 35,351 | 46,904 | 17,671 | |||||
Board of Directors' fees | 6,725 | 4,304 | 2,416 | 8,021 | 10,664 | 3,502 | |||||
Distribution fees | 3,790 | 7,930 | 1,658 | 4,558 | 6,842 | 3,104 | |||||
Accrued expenses | 55,974 | 40,298 | 46,563 | 54,720 | 61,956 | 59,922 | |||||
Total liabilities | 70,509,274 | 15,139,617 | 2,785,119 | 9,044,617 | 428,457,411 | 8,644,593 | |||||
Net assets | $ 1,101,155,990 | $ 762,481,744 | $ 432,171,159 | $ 1,339,612,861 | $ 1,787,611,998 | $ 561,783,817 | |||||
Summary of Net Assets: | |||||||||||
Capital stock and paid-in-capital | $ 818,573,161 | $ 634,141,427 | $ 460,765,890 | $ 673,856,273 | $ 2,063,725,123 | $ 554,187,718 | |||||
Distributable earnings (loss) | 282,582,829 | 128,340,317 | (28,594,731) | 665,756,588 | (276,113,125) | 7,596,099 | |||||
Net assets | $ 1,101,155,990 | $ 762,481,744 | $ 432,171,159 | $ 1,339,612,861 | $ 1,787,611,998 | $ 561,783,817 | |||||
Shares authorized | 2,400,000,000 | 700,000,000 | 1,500,000,000 | 4,000,000,000 | 5,000,000,000 | 14,000,000,000 | |||||
Par value | $ 0.0010 | $ 0.0010 | $ 0.0010 | $ 0.0010 | $ 0.0010 | $ 0.0010 | |||||
Class IA: Net asset value per share | $ 27.35 | $ 25.71 | $ 15.83 | $ 96.68 | $ 9.57 | $ 10.34 | |||||
Shares outstanding | 36,922,526 | 22,163,436 | 24,764,321 | 12,709,206 | 169,440,797 | 47,034,832 | |||||
Net Assets | $ 1,009,740,566 | $ 569,737,574 | $ 392,111,876 | $ 1,228,741,314 | $ 1,621,072,296 | $ 486,164,678 | |||||
Class IB: Net asset value per share | $ 25.63 | $ 24.03 | $ 13.09 | $ 96.60 | $ 9.52 | $ 10.33 | |||||
Shares outstanding | 3,566,348 | 8,022,047 | 3,061,096 | 1,147,761 | 17,495,399 | 7,322,895 | |||||
Net Assets | $ 91,415,424 | $ 192,744,170 | $ 40,059,283 | $ 110,871,547 | $ 166,539,702 | $ 75,619,139 | |||||
Cost of investments | $ 806,753,189 | $ 598,910,035 | $ 365,161,009 | $ 707,013,375 | $ 2,232,100,921 | $ 560,665,846 | |||||
Cost of foreign currency | $ — | $ — | $ — | $ — | $ 582,161 | $ — | |||||
Proceeds of TBA sale commitments | $ — | $ — | $ — | $ — | $ 59,350,320 | $ — | |||||
(1) Includes Investment in securities on loan, at market value | $ 106,546 | $ 6,340,632 | $ 2,205,196 | $ — | $ 184,460 | $ 3,026,454 |
105 |
For the Year Ended December 31, 2023
Hartford Balanced HLS Fund | Hartford Capital Appreciation HLS Fund | Hartford Disciplined Equity HLS Fund | Hartford Dividend and Growth HLS Fund | Hartford Healthcare HLS Fund | Hartford International Opportunities HLS Fund | ||||||
Investment Income: | |||||||||||
Dividends | $ 20,389,335 | $ 50,908,685 | $ 38,146,383 | $ 76,624,227 | $ 1,426,803 | $ 20,889,142 | |||||
Interest | 23,291,252 | 3,583,297 | 893,838 | 2,562,224 | 79,193 | 733,447 | |||||
Securities lending — net | 8,277 | 45,642 | — | 7,666 | 832 | 67,707 | |||||
Foreign withholding tax reclaims | — | 499,518 | — | 752,746 | — | — | |||||
Less: Foreign tax withheld | (108,891) | (386,981) | — | (769,026) | (18,147) | (1,702,895) | |||||
Total investment income, net | 43,579,973 | 54,650,161 | 39,040,221 | 79,177,837 | 1,488,681 | 19,987,401 | |||||
Expenses: | |||||||||||
Investment management fees | 10,623,058 | 22,563,468 | 14,842,444 | 21,069,331 | 1,207,068 | 6,235,391 | |||||
Administrative services fees | |||||||||||
Class IC | — | 35,475 | 156,859 | — | — | — | |||||
Transfer agent fees | |||||||||||
Class IA | 5,086 | 8,074 | 8,061 | 6,155 | 4,903 | 7,080 | |||||
Class IB | 672 | 945 | 981 | 768 | 1,329 | 738 | |||||
Class IC | — | 37 | 223 | — | — | — | |||||
Distribution fees | |||||||||||
Class IB | 491,162 | 907,556 | 690,889 | 926,323 | 75,681 | 204,900 | |||||
Class IC | — | 35,475 | 156,858 | — | — | — | |||||
Custodian fees | 8,858 | 16,607 | 11,160 | 32,177 | 7,540 | 44,419 | |||||
Registration and filing fees | 12,493 | 18,278 | 18,317 | 12,453 | 12,429 | 12,950 | |||||
Accounting services fees | 247,127 | 483,732 | 367,166 | 468,999 | 28,380 | 134,787 | |||||
Board of Directors' fees | 46,444 | 96,735 | 72,455 | 92,967 | 3,916 | 24,141 | |||||
Audit and tax fees | 41,392 | 48,584 | 26,936 | 41,897 | 27,200 | 51,848 | |||||
Other expenses | 118,724 | 148,195 | 106,448 | 176,344 | 18,872 | 93,159 | |||||
Total expenses (before waivers, reimbursements and fees paid indirectly) | 11,595,016 | 24,363,161 | 16,458,797 | 22,827,414 | 1,387,318 | 6,809,413 | |||||
Management fee waivers | (504,734) | — | — | — | — | — | |||||
Commission recapture | (539) | (18,825) | (17,629) | (42,308) | (1,121) | (114) | |||||
Total waivers, reimbursements and fees paid indirectly | (505,273) | (18,825) | (17,629) | (42,308) | (1,121) | (114) | |||||
Total expenses | 11,089,743 | 24,344,336 | 16,441,168 | 22,785,106 | 1,386,197 | 6,809,299 | |||||
Net Investment Income (Loss) | 32,490,230 | 30,305,825 | 22,599,053 | 56,392,731 | 102,484 | 13,178,102 | |||||
Net Realized Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions on: | |||||||||||
Investments | 97,033,462 | 37,763,336 | 98,054,024 | 182,382,109 | 747,537 | (10,667,321) | |||||
Less: Foreign taxes paid on realized capital gains | — | — | — | — | — | (181,038) | |||||
Futures contracts | (353,508) | 23,375,548 | — | — | — | — | |||||
Other foreign currency transactions | 20,086 | 54,440 | 4,816 | 67,103 | 6,824 | (108,284) | |||||
Net Realized Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions | 96,700,040 | 61,193,324 | 98,058,840 | 182,449,212 | 754,361 | (10,956,643) | |||||
Net Changes in Unrealized Appreciation (Depreciation) of Investments, Other Financial Instruments and Foreign Currency Transactions of: | |||||||||||
Investments* | 102,079,849 | 537,245,502 | 382,165,001 | 204,891,228 | 4,321,911 | 93,757,445 | |||||
Futures contracts | 145,825 | 5,522,019 | — | — | — | — | |||||
Translation of other assets and liabilities in foreign currencies | 65,859 | 5,542 | (517) | (2,078) | 5,893 | 76,642 | |||||
Net Changes in Unrealized Appreciation (Depreciation) of Investments, Other Financial Instruments and Foreign Currency Transactions | 102,291,533 | 542,773,063 | 382,164,484 | 204,889,150 | 4,327,804 | 93,834,087 | |||||
Net Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions | 198,991,573 | 603,966,387 | 480,223,324 | 387,338,362 | 5,082,165 | 82,877,444 | |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ 231,481,803 | $ 634,272,212 | $ 502,822,377 | $ 443,731,093 | $ 5,184,649 | $ 96,055,546 | |||||
* Includes change in unrealized appreciation (depreciation) on deferred capital gains tax | $ — | $ — | $ — | $ — | $ — | $ (661,664) |
106 |
For the Year Ended December 31, 2023
Hartford MidCap HLS Fund | Hartford Small Cap Growth HLS Fund | Hartford Small Company HLS Fund | Hartford Stock HLS Fund | Hartford Total Return Bond HLS Fund | Hartford Ultrashort Bond HLS Fund | ||||||
Investment Income: | |||||||||||
Dividends | $ 7,160,152 | $ 4,803,408 | $ 3,153,423 | $ 26,253,099 | $ 144,383 | $ — | |||||
Interest | 57,543 | 452,496 | 168,938 | 1,105,830 | 75,217,097 | 25,769,055 | |||||
Securities lending — net | 34,487 | 49,384 | 50,787 | 12,556 | 24,299 | 57,302 | |||||
Less: Foreign tax withheld | (19,993) | — | — | (83,760) | (46,057) | — | |||||
Total investment income, net | 7,232,189 | 5,305,288 | 3,373,148 | 27,287,725 | 75,339,722 | 25,826,357 | |||||
Expenses: | |||||||||||
Investment management fees | 8,028,663 | 4,421,209 | 3,131,104 | 6,459,593 | 8,370,447 | 2,351,718 | |||||
Transfer agent fees | |||||||||||
Class IA | 6,732 | 5,487 | 5,491 | 5,273 | 5,745 | 5,062 | |||||
Class IB | 569 | 1,797 | 554 | 479 | 609 | 788 | |||||
Distribution fees | |||||||||||
Class IB | 223,018 | 444,215 | 95,096 | 278,443 | 423,182 | 198,023 | |||||
Custodian fees | 11,657 | 4,980 | 15,616 | 6,243 | 20,798 | 3,626 | |||||
Registration and filing fees | 13,860 | 23,033 | 13,159 | 12,493 | 14,504 | 12,391 | |||||
Accounting services fees | 166,628 | 118,570 | 73,791 | 199,155 | 261,517 | 101,970 | |||||
Board of Directors' fees | 30,803 | 19,399 | 11,309 | 37,272 | 48,781 | 16,072 | |||||
Audit and tax fees | 29,843 | 30,125 | 32,960 | 29,847 | 46,269 | 42,191 | |||||
Other expenses | 62,969 | 78,544 | 43,789 | 87,634 | 131,519 | 67,284 | |||||
Total expenses (before waivers, reimbursements and fees paid indirectly) | 8,574,742 | 5,147,359 | 3,422,869 | 7,116,432 | 9,323,371 | 2,799,125 | |||||
Commission recapture | (7,507) | (8,034) | (4,452) | (949) | — | — | |||||
Total waivers, reimbursements and fees paid indirectly | (7,507) | (8,034) | (4,452) | (949) | — | — | |||||
Total expenses | 8,567,235 | 5,139,325 | 3,418,417 | 7,115,483 | 9,323,371 | 2,799,125 | |||||
Net Investment Income (Loss) | (1,335,046) | 165,963 | (45,269) | 20,172,242 | 66,016,351 | 23,027,232 | |||||
Net Realized Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions on: | |||||||||||
Investments | 38,354,045 | 65,187,923 | (425,762) | 38,162,945 | (42,944,016) | (343,867) | |||||
Purchased options contracts | — | — | — | — | 13,993 | — | |||||
Futures contracts | — | — | — | — | 802,745 | — | |||||
Written options contracts | — | — | — | — | 797,022 | — | |||||
Swap contracts | — | — | — | — | (2,476,518) | — | |||||
Foreign currency contracts | — | — | — | — | (1,972,233) | — | |||||
Other foreign currency transactions | — | — | — | 3,350 | 39,208 | — | |||||
Net Realized Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions | 38,354,045 | 65,187,923 | (425,762) | 38,166,295 | (45,739,799) | (343,867) | |||||
Net Changes in Unrealized Appreciation (Depreciation) of Investments, Other Financial Instruments and Foreign Currency Transactions of: | |||||||||||
Investments | 121,099,139 | 56,908,462 | 65,100,374 | 39,506,263 | 98,253,844 | 6,491,205 | |||||
Futures contracts | — | — | — | — | (3,188,748) | — | |||||
Swap contracts | — | — | — | — | 1,069,399 | — | |||||
Foreign currency contracts | — | — | — | — | 333,563 | — | |||||
Translation of other assets and liabilities in foreign currencies | — | — | — | — | 69,017 | — | |||||
Net Changes in Unrealized Appreciation (Depreciation) of Investments, Other Financial Instruments and Foreign Currency Transactions | 121,099,139 | 56,908,462 | 65,100,374 | 39,506,263 | 96,537,075 | 6,491,205 | |||||
Net Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions | 159,453,184 | 122,096,385 | 64,674,612 | 77,672,558 | 50,797,276 | 6,147,338 | |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ 158,118,138 | $ 122,262,348 | $ 64,629,343 | $ 97,844,800 | $ 116,813,627 | $ 29,174,570 |
107 |
Hartford Balanced HLS Fund | Hartford Capital Appreciation HLS Fund | ||||||
For the Year Ended December 31, 2023 | For the Year Ended December 31, 2022 | For the Year Ended December 31, 2023 | For the Year Ended December 31, 2022 | ||||
Operations: | |||||||
Net investment income (loss) | $ 32,490,230 | $ 26,443,021 | $ 30,305,825 | $ 25,227,055 | |||
Net realized gain (loss) on investments, other financial instruments and foreign currency transactions | 96,700,040 | 49,601,120 | 61,193,324 | 35,912,012 | |||
Net changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions | 102,291,533 | (366,145,089) | 542,773,063 | (739,642,523) | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | 231,481,803 | (290,100,948) | 634,272,212 | (678,503,456) | |||
Distributions to Shareholders: | |||||||
Class IA | (69,414,974) | (235,269,227) | (78,837,685) | (462,293,161) | |||
Class IB | (8,456,331) | (30,348,829) | (8,520,079) | (55,511,710) | |||
Class IC | — | — | (296,738) | (4,579,357) | |||
Total distributions | (77,871,305) | (265,618,056) | (87,654,502) | (522,384,228) | |||
Capital Share Transactions: | |||||||
Sold | 10,003,506 | 8,695,096 | 23,301,060 | 25,635,408 | |||
Issued on reinvestment of distributions | 77,871,305 | 265,618,056 | 87,654,502 | 522,384,228 | |||
Redeemed | (240,296,963) | (227,999,344) | (486,206,250) | (449,319,830) | |||
Net increase (decrease) from capital share transactions | (152,422,152) | 46,313,808 | (375,250,688) | 98,699,806 | |||
Net Increase (Decrease) in Net Assets | 1,188,346 | (509,405,196) | 171,367,022 | (1,102,187,878) | |||
Net Assets: | |||||||
Beginning of period | 1,699,397,854 | 2,208,803,050 | 3,408,214,248 | 4,510,402,126 | |||
End of period | $ 1,700,586,200 | $ 1,699,397,854 | $ 3,579,581,270 | $ 3,408,214,248 |
108 |
Hartford Disciplined Equity HLS Fund | Hartford Dividend and Growth HLS Fund | ||||||
For the Year Ended December 31, 2023 | For the Year Ended December 31, 2022 | For the Year Ended December 31, 2023 | For the Year Ended December 31, 2022 | ||||
Operations: | |||||||
Net investment income (loss) | $ 22,599,053 | $ 24,296,026 | $ 56,392,731 | $ 54,037,563 | |||
Net realized gain (loss) on investments, other financial instruments and foreign currency transactions | 98,058,840 | 17,190,322 | 182,449,212 | 297,761,610 | |||
Net changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions | 382,164,484 | (683,467,246) | 204,889,150 | (710,962,468) | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | 502,822,377 | (641,980,898) | 443,731,093 | (359,163,295) | |||
Distributions to Shareholders: | |||||||
Class IA | (33,301,220) | (157,383,630) | (304,312,836) | (385,201,370) | |||
Class IB | (3,393,798) | (19,344,478) | (37,252,934) | (48,643,796) | |||
Class IC | (593,693) | (4,180,932) | — | — | |||
Total distributions | (37,288,711) | (180,909,040) | (341,565,770) | (433,845,166) | |||
Capital Share Transactions: | |||||||
Sold | 28,670,757 | 23,277,374 | 112,252,518 | 68,294,388 | |||
Issued on reinvestment of distributions | 37,288,711 | 180,909,040 | 341,565,770 | 433,845,166 | |||
Redeemed | (343,402,110) | (321,060,931) | (457,436,112) | (469,123,286) | |||
Net increase (decrease) from capital share transactions | (277,442,642) | (116,874,517) | (3,617,824) | 33,016,268 | |||
Net Increase (Decrease) in Net Assets | 188,091,024 | (939,764,455) | 98,547,499 | (759,992,193) | |||
Net Assets: | |||||||
Beginning of period | 2,531,530,835 | 3,471,295,290 | 3,365,097,857 | 4,125,090,050 | |||
End of period | $ 2,719,621,859 | $ 2,531,530,835 | $ 3,463,645,356 | $ 3,365,097,857 |
109 |
Hartford Healthcare HLS Fund | Hartford International Opportunities HLS Fund | ||||||
For the Year Ended December 31, 2023 | For the Year Ended December 31, 2022 | For the Year Ended December 31, 2023 | For the Year Ended December 31, 2022 | ||||
Operations: | |||||||
Net investment income (loss) | $ 102,484 | $ 145,148 | $ 13,178,102 | $ 15,784,982 | |||
Net realized gain (loss) on investments, other financial instruments and foreign currency transactions | 754,361 | 1,846,494 | (10,956,643) | (46,855,748) | |||
Net changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions | 4,327,804 | (25,407,435) | 93,834,087 | (179,451,974) | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | 5,184,649 | (23,415,793) | 96,055,546 | (210,522,740) | |||
Distributions to Shareholders: | |||||||
Class IA | (1,980,484) | (28,988,229) | (9,247,593) | (160,928,347) | |||
Class IB | (532,405) | (8,169,954) | (713,800) | (16,407,281) | |||
Total distributions | (2,512,889) | (37,158,183) | (9,961,393) | (177,335,628) | |||
Capital Share Transactions: | |||||||
Sold | 7,780,186 | 6,630,344 | 44,323,068 | 47,734,594 | |||
Issued on reinvestment of distributions | 2,512,889 | 37,158,183 | 9,961,393 | 177,335,628 | |||
Redeemed | (27,456,846) | (35,537,767) | (139,444,400) | (142,819,227) | |||
Net increase (decrease) from capital share transactions | (17,163,771) | 8,250,760 | (85,159,939) | 82,250,995 | |||
Net Increase (Decrease) in Net Assets | (14,492,011) | (52,323,216) | 934,214 | (305,607,373) | |||
Net Assets: | |||||||
Beginning of period | 153,067,567 | 205,390,783 | 871,389,718 | 1,176,997,091 | |||
End of period | $ 138,575,556 | $ 153,067,567 | $ 872,323,932 | $ 871,389,718 |
110 |
Hartford MidCap HLS Fund | Hartford Small Cap Growth HLS Fund | ||||||
For the Year Ended December 31, 2023 | For the Year Ended December 31, 2022 | For the Year Ended December 31, 2023 | For the Year Ended December 31, 2022 | ||||
Operations: | |||||||
Net investment income (loss) | $ (1,335,046) | $ 690,460 | $ 165,963 | $ (1,008,274) | |||
Net realized gain (loss) on investments, other financial instruments and foreign currency transactions | 38,354,045 | 74,948,149 | 65,187,923 | (99,052,280) | |||
Net changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions | 121,099,139 | (554,367,328) | 56,908,462 | (278,930,155) | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | 158,118,138 | (478,728,719) | 122,262,348 | (378,990,709) | |||
Distributions to Shareholders: | |||||||
Class IA | (75,946,142) | (198,350,672) | — | (145,857,718) | |||
Class IB | (6,787,836) | (15,789,357) | — | (32,638,843) | |||
Total distributions | (82,733,978) | (214,140,029) | — | (178,496,561) | |||
Capital Share Transactions: | |||||||
Sold | 60,088,138 | 63,623,913 | 63,486,537 | 139,734,072 | |||
Issued on reinvestment of distributions | 82,733,978 | 214,140,029 | — | 178,496,561 | |||
Redeemed | (257,158,457) | (548,099,232) | (116,208,760) | (446,544,953) | |||
Net increase (decrease) from capital share transactions | (114,336,341) | (270,335,290) | (52,722,223) | (128,314,320) | |||
Net Increase (Decrease) in Net Assets | (38,952,181) | (963,204,038) | 69,540,125 | (685,801,590) | |||
Net Assets: | |||||||
Beginning of period | 1,140,108,171 | 2,103,312,209 | 692,941,619 | 1,378,743,209 | |||
End of period | $ 1,101,155,990 | $ 1,140,108,171 | $ 762,481,744 | $ 692,941,619 |
111 |
Hartford Small Company HLS Fund | Hartford Stock HLS Fund | ||||||
For the Year Ended December 31, 2023 | For the Year Ended December 31, 2022 | For the Year Ended December 31, 2023 | For the Year Ended December 31, 2022 | ||||
Operations: | |||||||
Net investment income (loss) | $ (45,269) | $ (512,101) | $ 20,172,242 | $ 19,719,564 | |||
Net realized gain (loss) on investments, other financial instruments and foreign currency transactions | (425,762) | (94,443,730) | 38,166,295 | 65,100,542 | |||
Net changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions | 65,100,374 | (102,599,925) | 39,506,263 | (172,384,563) | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | 64,629,343 | (197,555,756) | 97,844,800 | (87,564,457) | |||
Distributions to Shareholders: | |||||||
Class IA | — | (84,063,157) | (75,334,720) | (152,615,340) | |||
Class IB | — | (9,738,834) | (6,552,438) | (13,746,384) | |||
Total distributions | — | (93,801,991) | (81,887,158) | (166,361,724) | |||
Capital Share Transactions: | |||||||
Sold | 16,462,850 | 21,831,381 | 8,876,972 | 15,189,069 | |||
Issued on reinvestment of distributions | — | 93,801,991 | 81,887,158 | 166,361,724 | |||
Redeemed | (66,515,923) | (57,302,976) | (171,396,875) | (172,242,382) | |||
Net increase (decrease) from capital share transactions | (50,053,073) | 58,330,396 | (80,632,745) | 9,308,411 | |||
Net Increase (Decrease) in Net Assets | 14,576,270 | (233,027,351) | (64,675,103) | (244,617,770) | |||
Net Assets: | |||||||
Beginning of period | 417,594,889 | 650,622,240 | 1,404,287,964 | 1,648,905,734 | |||
End of period | $ 432,171,159 | $ 417,594,889 | $ 1,339,612,861 | $ 1,404,287,964 |
112 |
Hartford Total Return Bond HLS Fund | Hartford Ultrashort Bond HLS Fund | ||||||
For the Year Ended December 31, 2023 | For the Year Ended December 31, 2022 | For the Year Ended December 31, 2023 | For the Year Ended December 31, 2022 | ||||
Operations: | |||||||
Net investment income (loss) | $ 66,016,351 | $ 55,453,467 | $ 23,027,232 | $ 7,005,852 | |||
Net realized gain (loss) on investments, other financial instruments and foreign currency transactions | (45,739,799) | (134,142,364) | (343,867) | (321,079) | |||
Net changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions | 96,537,075 | (238,543,750) | 6,491,205 | (8,625,157) | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | 116,813,627 | (317,232,647) | 29,174,570 | (1,940,384) | |||
Distributions to Shareholders: | |||||||
Class IA | (55,199,293) | (72,553,255) | (6,533,801) | (1,268,070) | |||
Class IB | (5,333,502) | (7,592,524) | (786,067) | — | |||
Total distributions | (60,532,795) | (80,145,779) | (7,319,868) | (1,268,070) | |||
Capital Share Transactions: | |||||||
Sold | 147,641,434 | 112,677,907 | 35,193,599 | 48,023,827 | |||
Issued on reinvestment of distributions | 60,532,795 | 80,145,779 | 7,319,868 | 1,268,070 | |||
Redeemed | (244,649,710) | (311,169,627) | (115,577,370) | (136,101,507) | |||
Net increase (decrease) from capital share transactions | (36,475,481) | (118,345,941) | (73,063,903) | (86,809,610) | |||
Net Increase (Decrease) in Net Assets | 19,805,351 | (515,724,367) | (51,209,201) | (90,018,064) | |||
Net Assets: | |||||||
Beginning of period | 1,767,806,647 | 2,283,531,014 | 612,993,018 | 703,011,082 | |||
End of period | $ 1,787,611,998 | $ 1,767,806,647 | $ 561,783,817 | $ 612,993,018 |
113 |
— Selected Per-Share Data(1) — | — Ratios and Supplemental Data — | |||||||||||||||||||||||||||
Class | Net Asset Value at Beginning of Period | Net Investment Income (Loss) | Net Realized and Unrealized Gain (Loss) on Investments | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Capital Gains | Total Dividends and Distributions | Net Asset Value at End of Period | Total Return(2) | Net Assets at End of Period (000s) | Ratio of Expenses to Average Net Assets Before Adjust- ments(3) | Ratio of Expenses to Average Net Assets After Adjust- ments(3) | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover | ||||||||||||||
Hartford Balanced HLS Fund | ||||||||||||||||||||||||||||
For the Year Ended December 31, 2023 | ||||||||||||||||||||||||||||
IA | $ 26.27 | $ 0.54 | $ 3.28 | $ 3.82 | $ (0.53) | $ (0.80) | $ (1.33) | $ 28.76 | 14.78% | $ 1,502,119 | 0.66% | 0.63% | 1.96% | 57% (4) | ||||||||||||||
IB | 26.88 | 0.48 | 3.35 | 3.83 | (0.45) | (0.80) | (1.25) | 29.46 | 14.50 | 198,467 | 0.91 | 0.88 | 1.71 | 57 (4) | ||||||||||||||
For the Year Ended December 31, 2022 | ||||||||||||||||||||||||||||
IA | $ 35.47 | $ 0.44 | $ (5.08) | $ (4.64) | $ (0.53) | $ (4.03) | $ (4.56) | $ 26.27 | (13.42)% | $ 1,499,116 | 0.65% | 0.62% | 1.44% | 53% (4) | ||||||||||||||
IB | 36.18 | 0.37 | (5.19) | (4.82) | (0.45) | (4.03) | (4.48) | 26.88 | (13.66) | 200,282 | 0.90 | 0.87 | 1.19 | 53 (4) | ||||||||||||||
For the Year Ended December 31, 2021 | ||||||||||||||||||||||||||||
IA | $ 31.56 | $ 0.44 | $ 5.70 | $ 6.14 | $ (0.35) | $ (1.88) | $ (2.23) | $ 35.47 | 19.64% | $ 1,948,846 | 0.66% | 0.63% | 1.29% | 48% (4) | ||||||||||||||
IB | 32.15 | 0.36 | 5.81 | 6.17 | (0.26) | (1.88) | (2.14) | 36.18 | 19.37 | 259,957 | 0.91 | 0.88 | 1.04 | 48 (4) | ||||||||||||||
For the Year Ended December 31, 2020 | ||||||||||||||||||||||||||||
IA | $ 30.27 | $ 0.48 | $ 2.92 | $ 3.40 | $ (0.51) | $ (1.60) | $ (2.11) | $ 31.56 | 11.62% | $ 1,809,745 | 0.66% | 0.63% | 1.63% | 43% (4) | ||||||||||||||
IB | 30.80 | 0.41 | 2.97 | 3.38 | (0.43) | (1.60) | (2.03) | 32.15 | 11.35 | 242,476 | 0.91 | 0.88 | 1.38 | 43 (4) | ||||||||||||||
For the Year Ended December 31, 2019 | ||||||||||||||||||||||||||||
IA | $ 27.47 | $ 0.54(5) | $ 5.47(5) | $ 6.01 | $ (0.56) | $ (2.65) | $ (3.21) | $ 30.27 | 22.80% | $ 1,849,582 | 0.66% | 0.63% | 1.81% (5) | 38% | ||||||||||||||
IB | 27.91 | 0.47 (5) | 5.55 (5) | 6.02 | (0.48) | (2.65) | (3.13) | 30.80 | 22.47 | 247,264 | 0.91 | 0.88 | 1.56 (5) | 38 | ||||||||||||||
Hartford Capital Appreciation HLS Fund | ||||||||||||||||||||||||||||
For the Year Ended December 31, 2023 | ||||||||||||||||||||||||||||
IA | $ 39.37 | $ 0.38 | $ 7.42 | $ 7.80 | $ (0.38) | $ (0.74) | $ (1.12) | $ 46.05 | 19.97% | $ 3,194,008 | 0.67% | 0.67% | 0.88% | 49% | ||||||||||||||
IB | 38.39 | 0.26 | 7.23 | 7.49 | (0.27) | (0.74) | (1.01) | 44.87 | 19.67 | 371,021 | 0.92 | 0.92 | 0.63 | 49 | ||||||||||||||
IC | 38.65 | 0.16 | 7.27 | 7.43 | (0.16) | (0.74) | (0.90) | 45.18 | 19.38 | 14,552 | 1.17 | 1.17 | 0.38 | 49 | ||||||||||||||
For the Year Ended December 31, 2022 | ||||||||||||||||||||||||||||
IA | $ 54.26 | $ 0.32 | $ (8.52) | $ (8.20) | $ (0.41) | $ (6.28) | $ (6.69) | $ 39.37 | (15.28)% | $ 3,034,471 | 0.67% | 0.67% | 0.71% | 64% | ||||||||||||||
IB | 53.10 | 0.20 | (8.33) | (8.13) | (0.30) | (6.28) | (6.58) | 38.39 | (15.48) | 359,906 | 0.92 | 0.92 | 0.46 | 64 | ||||||||||||||
IC | 53.33 | 0.07 | (8.35) | (8.28) | (0.12) | (6.28) | (6.40) | 38.65 | (15.71) | 13,837 | 1.17 | 1.17 | 0.16 | 64 | ||||||||||||||
For the Year Ended December 31, 2021 | ||||||||||||||||||||||||||||
IA | $ 51.85 | $ 0.33 | $ 7.27 | $ 7.60 | $ (0.26) | $ (4.93) | $ (5.19) | $ 54.26 | 14.76% | $ 3,986,182 | 0.67% | 0.67% | 0.61% | 58% | ||||||||||||||
IB | 50.85 | 0.19 | 7.11 | 7.30 | (0.12) | (4.93) | (5.05) | 53.10 | 14.45 | 483,113 | 0.92 | 0.92 | 0.36 | 58 | ||||||||||||||
IC | 51.08 | 0.06 | 7.14 | 7.20 | (0.02) | (4.93) | (4.95) | 53.33 | 14.18 | 41,107 | 1.17 | 1.17 | 0.11 | 58 | ||||||||||||||
For the Year Ended December 31, 2020 | ||||||||||||||||||||||||||||
IA | $ 46.05 | $ 0.42 | $ 9.37 | $ 9.79 | $ (0.45) | $ (3.54) | $ (3.99) | $ 51.85 | 21.91% | $ 4,024,340 | 0.68% | 0.68% | 0.91% | 80% | ||||||||||||||
IB | 45.24 | 0.30 | 9.18 | 9.48 | (0.33) | (3.54) | (3.87) | 50.85 | 21.62 | 487,576 | 0.93 | 0.93 | 0.66 | 80 | ||||||||||||||
IC | 45.45 | 0.19 | 9.20 | 9.39 | (0.22) | (3.54) | (3.76) | 51.08 | 21.32 | 39,361 | 1.18 | 1.18 | 0.41 | 80 | ||||||||||||||
For the Year Ended December 31, 2019 | ||||||||||||||||||||||||||||
IA | $ 39.89 | $ 0.48 | $ 11.47 | $ 11.95 | $ (0.53) | $ (5.26) | $ (5.79) | $ 46.05 | 31.28% | $ 3,847,850 | 0.68% | 0.68% | 1.06% | 56% | ||||||||||||||
IB | 39.28 | 0.36 | 11.28 | 11.64 | (0.42) | (5.26) | (5.68) | 45.24 | 30.96 | 474,982 | 0.93 | 0.93 | 0.81 | 56 | ||||||||||||||
IC | 39.54 | 0.25 | 11.34 | 11.59 | (0.42) | (5.26) | (5.68) | 45.45 | 30.63 | 35,043 | 1.18 | 1.18 | 0.56 | 56 | ||||||||||||||
Hartford Disciplined Equity HLS Fund | ||||||||||||||||||||||||||||
For the Year Ended December 31, 2023 | ||||||||||||||||||||||||||||
IA | $ 15.78 | $ 0.16 | $ 3.18 | $ 3.34 | $ (0.15) | $ (0.11) | $ (0.26) | $ 18.86 | 21.24% | $ 2,371,805 | 0.59% | 0.59% | 0.90% | 22% | ||||||||||||||
IB | 15.50 | 0.11 | 3.12 | 3.23 | (0.10) | (0.11) | (0.21) | 18.52 | 20.95 | 283,695 | 0.84 | 0.84 | 0.66 | 22 | ||||||||||||||
IC | 15.78 | 0.07 | 3.18 | 3.25 | (0.06) | (0.11) | (0.17) | 18.86 | 20.66 | 64,122 | 1.09 | 1.09 | 0.41 | 22 | ||||||||||||||
For the Year Ended December 31, 2022 | ||||||||||||||||||||||||||||
IA | $ 20.85 | $ 0.16 | $ (4.06) | $ (3.90) | $ (0.18) | $ (0.99) | $ (1.17) | $ 15.78 | (18.96)% | $ 2,196,538 | 0.59% | 0.59% | 0.90% | 13% | ||||||||||||||
IB | 20.51 | 0.11 | (4.00) | (3.89) | (0.13) | (0.99) | (1.12) | 15.50 | (19.20) | 272,407 | 0.84 | 0.84 | 0.65 | 13 | ||||||||||||||
IC | 20.85 | 0.07 | (4.06) | (3.99) | (0.09) | (0.99) | (1.08) | 15.78 | (19.40) | 62,585 | 1.09 | 1.09 | 0.40 | 13 |
114 |
— Selected Per-Share Data(1) — | — Ratios and Supplemental Data — | |||||||||||||||||||||||||||
Class | Net Asset Value at Beginning of Period | Net Investment Income (Loss) | Net Realized and Unrealized Gain (Loss) on Investments | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Capital Gains | Total Dividends and Distributions | Net Asset Value at End of Period | Total Return(2) | Net Assets at End of Period (000s) | Ratio of Expenses to Average Net Assets Before Adjust- ments(3) | Ratio of Expenses to Average Net Assets After Adjust- ments(3) | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover | ||||||||||||||
Hartford Disciplined Equity HLS Fund – (continued) | ||||||||||||||||||||||||||||
For the Year Ended December 31, 2021 | ||||||||||||||||||||||||||||
IA | $ 17.40 | $ 0.13 | $ 4.29 | $ 4.42 | $ (0.12) | $ (0.85) | $ (0.97) | $ 20.85 | 25.52% | $ 2,997,803 | 0.60% | 0.60% | 0.64% | 14% | ||||||||||||||
IB | 17.13 | 0.08 | 4.21 | 4.29 | (0.06) | (0.85) | (0.91) | 20.51 | 25.21 | 385,018 | 0.85 | 0.85 | 0.39 | 14 | ||||||||||||||
IC | 17.40 | 0.03 | 4.28 | 4.31 | (0.01) | (0.85) | (0.86) | 20.85 | 24.92 | 88,474 | 1.10 | 1.10 | 0.14 | 14 | ||||||||||||||
For the Year Ended December 31, 2020 | ||||||||||||||||||||||||||||
IA | $ 15.97 | $ 0.12 | $ 2.64 | $ 2.76 | $ (0.06) | $ (1.27) | $ (1.33) | $ 17.40 | 18.04% | $ 2,701,619 | 0.66% | 0.66% | 0.75% | 23% | ||||||||||||||
IB | 15.76 | 0.08 | 2.60 | 2.68 | (0.04) | (1.27) | (1.31) | 17.13 | 17.78 | 365,246 | 0.91 | 0.91 | 0.50 | 23 | ||||||||||||||
IC (6) | 15.34 | 0.01 | 2.08 | 2.09 | (0.03) | — | (0.03) | 17.40 | 13.60 (7) | 78,487 | 1.11 (8) | 1.11 (8) | 0.23 (8) | 23 | ||||||||||||||
For the Year Ended December 31, 2019 | ||||||||||||||||||||||||||||
IA | $ 13.59 | $ 0.13 | $ 4.26 | $ 4.39 | $ (0.14) | $ (1.87) | $ (2.01) | $ 15.97 | 34.12% | $ 573,688 | 0.78% | 0.78% | 0.82% | 15% | ||||||||||||||
IB | 13.44 | 0.09 | 4.20 | 4.29 | (0.10) | (1.87) | (1.97) | 15.76 | 33.76 | 80,224 | 1.03 | 1.03 | 0.57 | 15 | ||||||||||||||
Hartford Dividend and Growth HLS Fund | ||||||||||||||||||||||||||||
For the Year Ended December 31, 2023 | ||||||||||||||||||||||||||||
IA | $ 22.04 | $ 0.38 | $ 2.58 | $ 2.96 | $ (0.34) | $ (2.03) | $ (2.37) | $ 22.63 | 14.18% | $ 3,085,357 | 0.66% | 0.66% | 1.69% | 27% | ||||||||||||||
IB | 21.86 | 0.32 | 2.56 | 2.88 | (0.29) | (2.03) | (2.32) | 22.42 | 13.89 | 378,288 | 0.91 | 0.91 | 1.44 | 27 | ||||||||||||||
For the Year Ended December 31, 2022 | ||||||||||||||||||||||||||||
IA | $ 27.58 | $ 0.38 | $ (2.83) | $ (2.45) | $ (0.40) | $ (2.69) | $ (3.09) | $ 22.04 | (8.93)% | $ 2,986,097 | 0.65% | 0.65% | 1.52% | 23% | ||||||||||||||
IB | 27.38 | 0.31 | (2.80) | (2.49) | (0.34) | (2.69) | (3.03) | 21.86 | (9.15) | 379,001 | 0.90 | 0.90 | 1.27 | 23 | ||||||||||||||
For the Year Ended December 31, 2021 | ||||||||||||||||||||||||||||
IA | $ 22.19 | $ 0.35 | $ 6.67 | $ 7.02 | $ (0.34) | $ (1.29) | $ (1.63) | $ 27.58 | 32.00% | $ 3,654,208 | 0.66% | 0.66% | 1.36% | 21% | ||||||||||||||
IB | 22.04 | 0.28 | 6.62 | 6.90 | (0.27) | (1.29) | (1.56) | 27.38 | 31.68 | 470,882 | 0.91 | 0.91 | 1.12 | 21 | ||||||||||||||
For the Year Ended December 31, 2020 | ||||||||||||||||||||||||||||
IA | $ 22.08 | $ 0.40 | $ 1.18 | $ 1.58 | $ (0.39) | $ (1.08) | $ (1.47) | $ 22.19 | 7.77% | $ 3,109,772 | 0.68% | 0.68% | 1.95% | 24% | ||||||||||||||
IB | 21.96 | 0.34 | 1.16 | 1.50 | (0.34) | (1.08) | (1.42) | 22.04 | 7.45 | 412,528 | 0.93 | 0.93 | 1.70 | 24 | ||||||||||||||
For the Year Ended December 31, 2019 | ||||||||||||||||||||||||||||
IA | $ 19.91 | $ 0.41 | $ 4.91 | $ 5.32 | $ (0.40) | $ (2.75) | $ (3.15) | $ 22.08 | 28.60% | $ 2,916,542 | 0.68% | 0.68% | 1.85% | 19% | ||||||||||||||
IB | 19.82 | 0.35 | 4.89 | 5.24 | (0.35) | (2.75) | (3.10) | 21.96 | 28.30 | 393,014 | 0.93 | 0.93 | 1.60 | 19 | ||||||||||||||
Hartford Healthcare HLS Fund | ||||||||||||||||||||||||||||
For the Year Ended December 31, 2023 | ||||||||||||||||||||||||||||
IA | $ 16.05 | $ 0.02 | $ 0.63 | $ 0.65 | $ (0.08) | $ (0.21) | $ (0.29) | $ 16.41 | 4.11% | $ 109,010 | 0.92% | 0.92% | 0.13% | 28% | ||||||||||||||
IB | 14.14 | (0.02) | 0.55 | 0.53 | (0.04) | (0.21) | (0.25) | 14.42 | 3.81 | 29,565 | 1.17 | 1.17 | (0.12) | 28 | ||||||||||||||
For the Year Ended December 31, 2022 | ||||||||||||||||||||||||||||
IA | $ 23.57 | $ 0.03 | $ (2.90) | $ (2.87) | $ — | $ (4.65) | $ (4.65) | $ 16.05 | (11.24)% | $ 120,656 | 0.91% | 0.91% | 0.14% | 34% | ||||||||||||||
IB | 21.47 | (0.02) | (2.66) | (2.68) | — | (4.65) | (4.65) | 14.14 | (11.47) | 32,411 | 1.16 | 1.16 | (0.11) | 34 | ||||||||||||||
For the Year Ended December 31, 2021 | ||||||||||||||||||||||||||||
IA | $ 23.88 | $ (0.01) | $ 2.44 | $ 2.43 | $ (0.06) | $ (2.68) | $ (2.74) | $ 23.57 | 10.01% | $ 164,964 | 0.92% | 0.92% | (0.05)% | 51% | ||||||||||||||
IB | 21.97 | (0.07) | 2.25 | 2.18 | — | (2.68) | (2.68) | 21.47 | 9.76 | 40,427 | 1.17 | 1.17 | (0.30) | 51 | ||||||||||||||
For the Year Ended December 31, 2020 | ||||||||||||||||||||||||||||
IA | $ 23.67 | $ 0.02 | $ 4.94 | $ 4.96 | $ (0.13) | $ (4.62) | $ (4.75) | $ 23.88 | 23.10% | $ 190,371 | 0.91% | 0.91% | 0.07% | 42% | ||||||||||||||
IB | 22.12 | (0.04) | 4.58 | 4.54 | (0.07) | (4.62) | (4.69) | 21.97 | 22.79 | 43,662 | 1.16 | 1.16 | (0.18) | 42 | ||||||||||||||
For the Year Ended December 31, 2019 | ||||||||||||||||||||||||||||
IA | $ 20.56 | $ 0.03 | $ 6.31 | $ 6.34 | $ — | $ (3.23) | $ (3.23) | $ 23.67 | 33.95% | $ 191,260 | 0.91% | 0.91% | 0.11% | 42% | ||||||||||||||
IB | 19.44 | (0.03) | 5.94 | 5.91 | — | (3.23) | (3.23) | 22.12 | 33.68 | 41,992 | 1.16 | 1.16 | (0.16) | 42 |
115 |
— Selected Per-Share Data(1) — | — Ratios and Supplemental Data — | |||||||||||||||||||||||||||
Class | Net Asset Value at Beginning of Period | Net Investment Income (Loss) | Net Realized and Unrealized Gain (Loss) on Investments | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Capital Gains | Total Dividends and Distributions | Net Asset Value at End of Period | Total Return(2) | Net Assets at End of Period (000s) | Ratio of Expenses to Average Net Assets Before Adjust- ments(3) | Ratio of Expenses to Average Net Assets After Adjust- ments(3) | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover | ||||||||||||||
Hartford International Opportunities HLS Fund | ||||||||||||||||||||||||||||
For the Year Ended December 31, 2023 | ||||||||||||||||||||||||||||
IA | $ 13.71 | $ 0.22 | $ 1.37 | $ 1.59 | $ (0.17) | $ — | $ (0.17) | $ 15.13 | 11.72% | $ 791,135 | 0.76% | 0.76% | 1.54% | 54% | ||||||||||||||
IB | 13.99 | 0.19 | 1.40 | 1.59 | (0.13) | — | (0.13) | 15.45 | 11.45 | 81,189 | 1.01 | 1.01 | 1.29 | 54 | ||||||||||||||
For the Year Ended December 31, 2022 | ||||||||||||||||||||||||||||
IA | $ 20.90 | $ 0.27 | $ (4.13) | $ (3.86) | $ (0.29) | $ (3.04) | $ (3.33) | $ 13.71 | (18.14)% | $ 787,084 | 0.75% | 0.75% | 1.69% | 91% | ||||||||||||||
IB | 21.21 | 0.24 | (4.19) | (3.95) | (0.23) | (3.04) | (3.27) | 13.99 | (18.32) | 84,305 | 1.00 | 1.00 | 1.44 | 91 | ||||||||||||||
For the Year Ended December 31, 2021 | ||||||||||||||||||||||||||||
IA | $ 19.58 | $ 0.22 | $ 1.31 | $ 1.53 | $ (0.21) | $ — | $ (0.21) | $ 20.90 | 7.82% | $ 1,064,640 | 0.73% | 0.73% | 1.09% | 95% | ||||||||||||||
IB | 19.86 | 0.18 | 1.32 | 1.50 | (0.15) | — | (0.15) | 21.21 | 7.57 | 112,357 | 0.98 | 0.98 | 0.84 | 95 | ||||||||||||||
For the Year Ended December 31, 2020 | ||||||||||||||||||||||||||||
IA | $ 16.56 | $ 0.10 | $ 3.24 | $ 3.34 | $ (0.32) | $ — | $ (0.32) | $ 19.58 | 20.45% | $ 1,095,213 | 0.76% | 0.76% | 0.61% | 107% | ||||||||||||||
IB | 16.80 | 0.06 | 3.27 | 3.33 | (0.27) | — | (0.27) | 19.86 | 20.09 | 143,449 | 1.01 | 1.01 | 0.36 | 107 | ||||||||||||||
For the Year Ended December 31, 2019 | ||||||||||||||||||||||||||||
IA | $ 13.91 | $ 0.27 | $ 3.30 | $ 3.57 | $ (0.30) | $ (0.62) | $ (0.92) | $ 16.56 | 26.43% | $ 1,093,030 | 0.74% | 0.74% | 1.74% | 88% | ||||||||||||||
IB | 14.09 | 0.24 | 3.35 | 3.59 | (0.26) | (0.62) | (0.88) | 16.80 | 26.14 | 135,655 | 0.99 | 0.99 | 1.48 | 88 | ||||||||||||||
Hartford MidCap HLS Fund | ||||||||||||||||||||||||||||
For the Year Ended December 31, 2023 | ||||||||||||||||||||||||||||
IA | $ 25.69 | $ (0.03) | $ 3.67 | $ 3.64 | $ (0.01) | $ (1.97) | $ (1.98) | $ 27.35 | 14.83% | $ 1,009,741 | 0.73% | 0.73% | (0.10)% | 40% | ||||||||||||||
IB | 24.24 | (0.09) | 3.45 | 3.36 | — | (1.97) | (1.97) | 25.63 | 14.54 | 91,415 | 0.98 | 0.98 | (0.35) | 40 | ||||||||||||||
For the Year Ended December 31, 2022 | ||||||||||||||||||||||||||||
IA | $ 40.31 | $ 0.02 | $ (9.57) | $ (9.55) | $ (0.29) | $ (4.78) | $ (5.07) | $ 25.69 | (24.27)% | $ 1,051,771 | 0.71% | 0.71% | 0.06% | 44% | ||||||||||||||
IB | 38.35 | (0.05) | (9.09) | (9.14) | (0.19) | (4.78) | (4.97) | 24.24 | (24.46) | 88,337 | 0.96 | 0.96 | (0.18) | 44 | ||||||||||||||
For the Year Ended December 31, 2021 | ||||||||||||||||||||||||||||
IA | $ 43.44 | $ 0.29 | $ 3.97 | $ 4.26 | $ — | $ (7.39) | $ (7.39) | $ 40.31 | 9.91% | $ 1,973,242 | 0.69% | 0.69% | 0.65% | 28% | ||||||||||||||
IB | 41.76 | 0.15 | 3.83 | 3.98 | — | (7.39) | (7.39) | 38.35 | 9.62 | 130,071 | 0.94 | 0.94 | 0.37 | 28 | ||||||||||||||
For the Year Ended December 31, 2020 | ||||||||||||||||||||||||||||
IA | $ 38.17 | $ 0.03 | $ 8.90 | $ 8.93 | $ (0.02) | $ (3.64) | $ (3.66) | $ 43.44 | 25.10% | $ 2,377,320 | 0.70% | 0.70% | 0.07% | 50% | ||||||||||||||
IB | 36.90 | (0.04) | 8.54 | 8.50 | — | (3.64) | (3.64) | 41.76 | 24.80 | 140,632 | 0.95 | 0.95 | (0.11) | 50 | ||||||||||||||
For the Year Ended December 31, 2019 | ||||||||||||||||||||||||||||
IA | $ 33.77 | $ 0.05 | $ 10.56 | $ 10.61 | $ (0.07) | $ (6.14) | $ (6.21) | $ 38.17 | 32.87% | $ 2,045,156 | 0.69% | 0.69% | 0.12% | 29% | ||||||||||||||
IB | 32.85 | (0.05) | 10.24 | 10.19 | — | (6.14) | (6.14) | 36.90 | 32.49 | 55,049 | 0.94 | 0.94 | (0.12) | 29 | ||||||||||||||
Hartford Small Cap Growth HLS Fund | ||||||||||||||||||||||||||||
For the Year Ended December 31, 2023 | ||||||||||||||||||||||||||||
IA | $ 21.71 | $ 0.02 | $ 3.98 | $ 4.00 | $ — | $ — | $ — | $ 25.71 | 18.42% | $ 569,738 | 0.65% | 0.65% | 0.08% | 63% | ||||||||||||||
IB | 20.35 | (0.04) | 3.72 | 3.68 | — | — | — | 24.03 | 18.08 | 192,744 | 0.90 | 0.90 | (0.16) | 63 | ||||||||||||||
For the Year Ended December 31, 2022 | ||||||||||||||||||||||||||||
IA | $ 36.60 | $ (0.02) | $ (10.09) | $ (10.11) | $ — | $ (4.78) | $ (4.78) | $ 21.71 | (28.46)% | $ 522,920 | 0.64% | 0.64% | (0.06)% | 52% | ||||||||||||||
IB | 34.77 | (0.07) | (9.57) | (9.64) | — | (4.78) | (4.78) | 20.35 | (28.61) | 170,021 | 0.89 | 0.89 | (0.30) | 52 | ||||||||||||||
For the Year Ended December 31, 2021 | ||||||||||||||||||||||||||||
IA | $ 38.15 | $ (0.04) | $ 1.68 | $ 1.64 | $ — | $ (3.19) | $ (3.19) | $ 36.60 | 4.02% | $ 1,153,860 | 0.63% | 0.63% | (0.11)% | 44% | ||||||||||||||
IB | 36.48 | (0.13) | 1.61 | 1.48 | — | (3.19) | (3.19) | 34.77 | 3.76 | 224,883 | 0.88 | 0.88 | (0.36) | 44 | ||||||||||||||
For the Year Ended December 31, 2020 | ||||||||||||||||||||||||||||
IA | $ 29.72 | $ (0.02) | $ 9.57 | $ 9.55 | $ — | $ (1.12) | $ (1.12) | $ 38.15 | 33.20% | $ 1,224,012 | 0.67% | 0.67% | (0.07)% | 61% | ||||||||||||||
IB | 28.53 | (0.09) | 9.16 | 9.07 | — | (1.12) | (1.12) | 36.48 | 32.89 | 201,033 | 0.92 | 0.92 | (0.34) | 61 |
116 |
— Selected Per-Share Data(1) — | — Ratios and Supplemental Data — | |||||||||||||||||||||||||||
Class | Net Asset Value at Beginning of Period | Net Investment Income (Loss) | Net Realized and Unrealized Gain (Loss) on Investments | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Capital Gains | Total Dividends and Distributions | Net Asset Value at End of Period | Total Return(2) | Net Assets at End of Period (000s) | Ratio of Expenses to Average Net Assets Before Adjust- ments(3) | Ratio of Expenses to Average Net Assets After Adjust- ments(3) | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover | ||||||||||||||
Hartford Small Cap Growth HLS Fund – (continued) | ||||||||||||||||||||||||||||
For the Year Ended December 31, 2019 | ||||||||||||||||||||||||||||
IA | $ 26.76 | $ 0.03 | $ 8.61 | $ 8.64 | $ — | $ (5.68) | $ (5.68) | $ 29.72 | 35.81% | $ 954,063 | 0.64% | 0.64% | 0.11% | 42% | ||||||||||||||
IB | 25.95 | (0.04) | 8.30 | 8.26 | — | (5.68) | (5.68) | 28.53 | 35.45 | 381,057 | 0.89 | 0.89 | (0.14) | 42 | ||||||||||||||
Hartford Small Company HLS Fund | ||||||||||||||||||||||||||||
For the Year Ended December 31, 2023 | ||||||||||||||||||||||||||||
IA | $ 13.57 | $ (0.00) (9) | $ 2.26 | $ 2.26 | $ — | $ — | $ — | $ 15.83 | 16.65% | $ 392,112 | 0.80% | 0.80% | 0.01% | 39% | ||||||||||||||
IB | 11.24 | (0.03) | 1.88 | 1.85 | — | — | — | 13.09 | 16.46 | 40,059 | 1.05 | 1.05 | (0.24) | 39 | ||||||||||||||
For the Year Ended December 31, 2022 | ||||||||||||||||||||||||||||
IA | $ 24.57 | $ (0.01) | $ (7.33) | $ (7.34) | $ — | $ (3.66) | $ (3.66) | $ 13.57 | (30.88)% | $ 379,584 | 0.79% | 0.79% | (0.08)% | 87% | ||||||||||||||
IB | 21.25 | (0.05) | (6.30) | (6.35) | — | (3.66) | (3.66) | 11.24 | (31.07) | 38,011 | 1.04 | 1.04 | (0.33) | 87 | ||||||||||||||
For the Year Ended December 31, 2021 | ||||||||||||||||||||||||||||
IA | $ 27.44 | $ (0.14) | $ 0.66 | $ 0.52 | $ — | $ (3.39) | $ (3.39) | $ 24.57 | 1.56% | $ 590,597 | 0.77% | 0.77% | (0.51)% | 111% | ||||||||||||||
IB | 24.23 | (0.19) | 0.60 | 0.41 | — | (3.39) | (3.39) | 21.25 | 1.30 | 60,025 | 1.02 | 1.02 | (0.79) | 111 | ||||||||||||||
For the Year Ended December 31, 2020 | ||||||||||||||||||||||||||||
IA | $ 20.45 | $ (0.07) | $ 10.38 | $ 10.31 | $ — | $ (3.32) | $ (3.32) | $ 27.44 | 55.52% | $ 540,764 | 0.81% | 0.81% | (0.32)% | 105% | ||||||||||||||
IB | 18.44 | (0.11) | 9.22 | 9.11 | — | (3.32) | (3.32) | 24.23 | 55.03 | 67,898 | 1.06 | 1.06 | (0.56) | 105 | ||||||||||||||
For the Year Ended December 31, 2019 | ||||||||||||||||||||||||||||
IA | $ 18.38 | $ (0.05) | $ 6.36 | $ 6.31 | $ — | $ (4.24) | $ (4.24) | $ 20.45 | 37.00% | $ 572,642 | 0.79% | 0.79% | (0.23)% | 79% | ||||||||||||||
IB | 16.94 | (0.09) | 5.83 | 5.74 | — | (4.24) | (4.24) | 18.44 | 36.77 | 51,691 | 1.04 | 1.04 | (0.49) | 79 | ||||||||||||||
Hartford Stock HLS Fund | ||||||||||||||||||||||||||||
For the Year Ended December 31, 2023 | ||||||||||||||||||||||||||||
IA | $ 95.62 | $ 1.45 | $ 5.62 | $ 7.07 | $ (1.25) | $ (4.76) | $ (6.01) | $ 96.68 | 7.72% | $ 1,228,741 | 0.51% | 0.51% | 1.53% | 8% | ||||||||||||||
IB | 95.55 | 1.21 | 5.61 | 6.82 | (1.01) | (4.76) | (5.77) | 96.60 | 7.45 | 110,872 | 0.76 | 0.76 | 1.28 | 8 | ||||||||||||||
For the Year Ended December 31, 2022 | ||||||||||||||||||||||||||||
IA | $113.91 | $ 1.40 | $ (7.51) | $ (6.11) | $ (1.62) | $ (10.56) | $ (12.18) | $ 95.62 | (5.14)% | $ 1,286,070 | 0.51% | 0.51% | 1.37% | 10% | ||||||||||||||
IB | 113.84 | 1.14 | (7.50) | (6.36) | (1.37) | (10.56) | (11.93) | 95.55 | (5.37) | 118,218 | 0.76 | 0.76 | 1.12 | 10 | ||||||||||||||
For the Year Ended December 31, 2021 | ||||||||||||||||||||||||||||
IA | $ 95.52 | $ 1.38 | $ 22.20 | $ 23.58 | $ (1.30) | $ (3.89) | $ (5.19) | $ 113.91 | 24.98% | $ 1,506,206 | 0.51% | 0.51% | 1.32% | 15% | ||||||||||||||
IB | 95.48 | 1.12 | 22.15 | 23.27 | (1.02) | (3.89) | (4.91) | 113.84 | 24.67 | 142,700 | 0.76 | 0.76 | 1.07 | 15 | ||||||||||||||
For the Year Ended December 31, 2020 | ||||||||||||||||||||||||||||
IA | $ 92.58 | $ 1.39 | $ 9.21 | $ 10.60 | $ (1.48) | $ (6.18) | $ (7.66) | $ 95.52 | 12.08% | $ 1,360,099 | 0.52% | 0.52% | 1.57% | 15% | ||||||||||||||
IB | 92.57 | 1.17 | 9.17 | 10.34 | (1.25) | (6.18) | (7.43) | 95.48 | 11.79 | 129,670 | 0.77 | 0.77 | 1.32 | 15 | ||||||||||||||
For the Year Ended December 31, 2019 | ||||||||||||||||||||||||||||
IA | $ 78.10 | $ 1.43 | $ 22.40 | $ 23.83 | $ (1.46) | $ (7.89) | $ (9.35) | $ 92.58 | 31.22% | $ 1,375,643 | 0.51% | 0.51% | 1.59% | 15% | ||||||||||||||
IB | 78.11 | 1.20 | 22.39 | 23.59 | (1.24) | (7.89) | (9.13) | 92.57 | 30.89 | 133,951 | 0.76 | 0.76 | 1.34 | 15 | ||||||||||||||
Hartford Total Return Bond HLS Fund | ||||||||||||||||||||||||||||
For the Year Ended December 31, 2023 | ||||||||||||||||||||||||||||
IA | $ 9.27 | $ 0.35 | $ 0.28 | $ 0.63 | $ (0.33) | $ — | $ (0.33) | $ 9.57 | 6.97% | $ 1,621,072 | 0.50% | 0.50% | 3.77% | 52% (10) | ||||||||||||||
IB | 9.22 | 0.33 | 0.27 | 0.60 | (0.30) | — | (0.30) | 9.52 | 6.69 | 166,540 | 0.75 | 0.75 | 3.51 | 52 (10) | ||||||||||||||
For the Year Ended December 31, 2022 | ||||||||||||||||||||||||||||
IA | $ 11.29 | $ 0.29 | $ (1.88) | $ (1.59) | $ (0.31) | $ (0.12) | $ (0.43) | $ 9.27 | (14.21)% | $ 1,592,156 | 0.50% | 0.50% | 2.87% | 58% (10) | ||||||||||||||
IB | 11.22 | 0.26 | (1.87) | (1.61) | (0.27) | (0.12) | (0.39) | 9.22 | (14.41) | 175,651 | 0.75 | 0.75 | 2.62 | 58 (10) |
117 |
— Selected Per-Share Data(1) — | — Ratios and Supplemental Data — | |||||||||||||||||||||||||||
Class | Net Asset Value at Beginning of Period | Net Investment Income (Loss) | Net Realized and Unrealized Gain (Loss) on Investments | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Capital Gains | Total Dividends and Distributions | Net Asset Value at End of Period | Total Return(2) | Net Assets at End of Period (000s) | Ratio of Expenses to Average Net Assets Before Adjust- ments(3) | Ratio of Expenses to Average Net Assets After Adjust- ments(3) | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover | ||||||||||||||
Hartford Total Return Bond HLS Fund – (continued) | ||||||||||||||||||||||||||||
For the Year Ended December 31, 2021 | ||||||||||||||||||||||||||||
IA | $ 11.98 | $ 0.24 | $ (0.35) | $ (0.11) | $ (0.29) | $ (0.29) | $ (0.58) | $ 11.29 | (0.95)% | $ 2,045,579 | 0.50% | 0.50% | 2.09% | 61% (10) | ||||||||||||||
IB | 11.91 | 0.21 | (0.35) | (0.14) | (0.26) | (0.29) | (0.55) | 11.22 | (1.18) | 237,952 | 0.75 | 0.75 | 1.84 | 61 (10) | ||||||||||||||
For the Year Ended December 31, 2020 | ||||||||||||||||||||||||||||
IA | $ 11.44 | $ 0.29 | $ 0.73 | $ 1.02 | $ (0.45) | $ (0.03) | $ (0.48) | $ 11.98 | 9.03% | $ 2,110,986 | 0.51% | 0.51% | 2.45% | 62% (10) | ||||||||||||||
IB | 11.38 | 0.26 | 0.72 | 0.98 | (0.42) | (0.03) | (0.45) | 11.91 | 8.71 | 265,900 | 0.76 | 0.76 | 2.19 | 62 (10) | ||||||||||||||
For the Year Ended December 31, 2019 | ||||||||||||||||||||||||||||
IA | $ 10.76 | $ 0.36(11) | $ 0.77(11) | $ 1.13 | $ (0.45) | $ — | $ (0.45) | $ 11.44 | 10.65% | $ 1,873,182 | 0.51% | 0.51% | 3.16% (11) | 61% | ||||||||||||||
IB | 10.70 | 0.33 (11) | 0.77 (11) | 1.10 | (0.42) | — | (0.42) | 11.38 | 10.32 | 214,338 | 0.76 | 0.76 | 2.91 (11) | 61 | ||||||||||||||
Hartford Ultrashort Bond HLS Fund | ||||||||||||||||||||||||||||
For the Year Ended December 31, 2023 | ||||||||||||||||||||||||||||
IA | $ 9.96 | $ 0.40 | $ 0.11 | $ 0.51 | $ (0.13) | $ — | $ (0.13) | $ 10.34 | 5.18% | $ 486,165 | 0.44% | 0.44% | 3.95% | 56% | ||||||||||||||
IB | 9.95 | 0.37 | 0.11 | 0.48 | (0.10) | — | (0.10) | 10.33 | 4.88 | 75,619 | 0.69 | 0.69 | 3.70 | 56 | ||||||||||||||
For the Year Ended December 31, 2022 | ||||||||||||||||||||||||||||
IA | $ 10.00 | $ 0.11 | $ (0.13) | $ (0.02) | $ (0.02) | $ — | $ (0.02) | $ 9.96 | (0.17)% | $ 529,433 | 0.43% | 0.43% | 1.10% | 66% | ||||||||||||||
IB | 9.99 | 0.08 | (0.12) | (0.04) | — | — | — | 9.95 | (0.40) | 83,560 | 0.68 | 0.68 | 0.84 | 66 | ||||||||||||||
For the Year Ended December 31, 2021 | ||||||||||||||||||||||||||||
IA | $ 10.09 | $ 0.02 | $ (0.04) | $ (0.02) | $ (0.07) | $ — | $ (0.07) | $ 10.00 | (0.19)% | $ 605,732 | 0.44% | 0.44% | 0.15% | 73% | ||||||||||||||
IB | 10.09 | (0.01) | (0.04) | (0.05) | (0.05) | — | (0.05) | 9.99 | (0.46) | 97,279 | 0.69 | 0.69 | (0.10) | 73 | ||||||||||||||
For the Year Ended December 31, 2020 | ||||||||||||||||||||||||||||
IA | $ 10.19 | $ 0.10 | $ 0.05 | $ 0.15 | $ (0.25) | $ — | $ (0.25) | $ 10.09 | 1.44% | $ 657,375 | 0.46% | 0.46% | 0.95% | 76% | ||||||||||||||
IB | 10.18 | 0.07 | 0.06 | 0.13 | (0.22) | — | (0.22) | 10.09 | 1.27 | 110,250 | 0.71 | 0.71 | 0.67 | 76 | ||||||||||||||
For the Year Ended December 31, 2019 | ||||||||||||||||||||||||||||
IA | $ 10.10 | $ 0.23 | $ 0.05 | $ 0.28 | $ (0.19) | $ — | $ (0.19) | $ 10.19 | 2.81% | $ 393,590 | 0.45% | 0.45% | 2.21% | 70% | ||||||||||||||
IB | 10.09 | 0.20 | 0.06 | 0.26 | (0.17) | — | (0.17) | 10.18 | 2.54 | 57,142 | 0.70 | 0.70 | 1.96 | 70 |
FINANCIAL HIGHLIGHTS FOOTNOTES | |
(1) | Information presented relates to a share outstanding throughout the indicated period. Net investment income (loss) per share amounts are calculated based on average shares outstanding unless otherwise noted. |
(2) | The figures do not include sales charges or other fees which may be applied at the variable contract level or by a qualified pension or retirement plan. Any such additional sales charges or other fees would lower the Fund’s performance. |
(3) | Adjustments include waivers and reimbursements, if applicable. Ratios do not include fees paid indirectly (see Expenses in the accompanying Notes to Financial Statements). |
(4) | Portfolio turnover excludes TBA roll transactions. Had TBA roll transactions been included, the portfolio turnover rate would have been 59%, 61%, 49% and 48% for the fiscal years ended December 31, 2023, December 31, 2022, December 31, 2021 and December 31, 2020, respectively. |
(5) | FASB issued ASU 2017-08 to amend the amortization period to the earliest call date for purchased callable debt securities held at a premium. Effective January 1, 2019, the Fund amended its amortization policy and the effect of this change for the year ended December 31, 2019 was an increase to net investment income per share for less than $0.005, decrease to net realized and unrealized gain (loss) on investments for less than $(0.005) and a decrease to ratio of net investment income to average net assets for less than 0.005% for each class of shares. Per share data and ratios for periods prior to December 31, 2019 have not been restated to reflect this change in presentation. |
(6) | Commenced operations on September 18, 2020. |
(7) | Not annualized. |
(8) | Annualized. |
(9) | Per share amount is less than $0.005. |
(10) | Portfolio turnover excludes TBA roll transactions. Had TBA roll transactions been included, the portfolio turnover rate would have been 422%, 431%, 494% and 564% for the fiscal years ended December 31, 2023, December 31, 2022, December 31, 2021 and December 31, 2020, respectively. |
(11) | FASB issued ASU 2017-08 to amend the amortization period to the earliest call date for purchased callable debt securities held at a premium. Effective January 1, 2019, the Fund amended its amortization policy and the effect of this change for the year ended December 31, 2019 was a decrease to net investment income per share for less than $(0.005), increase to net realized and unrealized gain (loss) on investments for less than $0.005 and a decrease to ratio of net investment income to average net assets of (0.01)% for each class of shares. Per share data and ratios for periods prior to December 31, 2019 have not been restated to reflect this change in presentation. |
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1. | Organization: |
Hartford Series Fund, Inc. and Hartford HLS Series Fund II, Inc. (each, a "Company" and collectively, the “Companies”) are each an open-end registered management investment company comprised of eleven and one series, respectively, as of December 31, 2023. Financial statements for the series of each Company listed below (each, a "Fund" and collectively, the "Funds") are included in this report. | |
Hartford Series Fund, Inc.: |
Hartford Balanced HLS Fund (the "Balanced HLS Fund") |
Hartford Capital Appreciation HLS Fund (the "Capital Appreciation HLS Fund") |
Hartford Disciplined Equity HLS Fund (the "Disciplined Equity HLS Fund") |
Hartford Dividend and Growth HLS Fund (the "Dividend and Growth HLS Fund") |
Hartford Healthcare HLS Fund (the "Healthcare HLS Fund") |
Hartford International Opportunities HLS Fund (the "International Opportunities HLS Fund") |
Hartford MidCap HLS Fund (the "MidCap HLS Fund") |
Hartford Small Company HLS Fund (the "Small Company HLS Fund") |
Hartford Stock HLS Fund (the "Stock HLS Fund") |
Hartford Total Return Bond HLS Fund (the "Total Return Bond HLS Fund") |
Hartford Ultrashort Bond HLS Fund (the "Ultrashort Bond HLS Fund") |
Hartford HLS Series Fund II, Inc.: |
Hartford Small Cap Growth HLS Fund (the "Small Cap Growth HLS Fund") |
2. | Significant Accounting Policies: |
The following is a summary of significant accounting policies of each Fund used in the preparation of its financial statements, which are in accordance with United States Generally Accepted Accounting Principles ("U.S. GAAP"). The preparation of financial statements in accordance with U.S. GAAP may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. |
a) | Determination of Net Asset Value – The NAV of each class of each Fund’s shares is determined as of the close of regular trading on the New York Stock Exchange (the "Exchange") (normally 4:00 p.m. Eastern Time) (the "NYSE Close") on each day that the Exchange is open ("Valuation Date"). If the Exchange is closed due to weather or other extraordinary circumstances on a day it would typically be open for business, each Fund may treat such day as a typical business day and accept purchase and redemption orders and calculate each Fund’s NAV in accordance with applicable law. The NAV of each class of each Fund's shares is determined by dividing the value of the Fund’s net assets attributable to the class of shares by the number of shares outstanding for that class. Information that becomes known to the Funds after the NAV has been calculated on a particular day will not generally be used to retroactively adjust the NAV determined earlier that day. |
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b) | Investment Valuation and Fair Value Measurements – For purposes of calculating the NAV of each class of each Fund, portfolio securities and other assets held in the Fund’s portfolio for which market prices are readily available are valued at market value. Market value is generally determined on the basis of official close price or last reported trade price. If no trades were reported, market value is based on prices obtained from a quotation reporting system, established market makers (including evaluated prices), or independent pricing services. Pricing vendors may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data, credit quality information, general market conditions, news, and other factors and assumptions. |
With respect to a Fund's investments that do not have readily available market prices, the respective Company's Board of Directors (the "Board") has designated Hartford Funds Management Company, LLC (the "Investment Manager" or "HFMC") as its valuation designee to perform fair valuations pursuant to Rule 2a-5 under the 1940 Act (the "Valuation Designee"). | |
If market prices are not readily available or deemed unreliable, the Valuation Designee determines the fair value of the security or other instrument in good faith under policies and procedures approved by and under the supervision of the Board ("Valuation Procedures"). | |
The Valuation Designee has delegated the day-to-day responsibility for implementing the Valuation Procedures to the Valuation Committee (the "Valuation Committee"). The Valuation Committee will consider all available relevant factors in determining an investment’s fair value. The Valuation Designee reports fair value matters to the Audit Committee of the Board. | |
Prices of foreign equities that are principally traded on certain foreign markets will generally be adjusted daily pursuant to a fair value pricing service in order to reflect an adjustment for the factors occurring after the close of certain foreign markets but before the NYSE Close. Securities and other instruments that are primarily traded on foreign markets may trade on days that are not business days of the Funds. The value of the foreign securities or other instruments in which a Fund invests may change on days when a shareholder will not be able to purchase or redeem shares of the Fund. | |
Fixed income investments (other than short-term obligations) and non-exchange traded derivatives held by a Fund are normally valued at prices supplied by independent pricing services in accordance with the Valuation Procedures. Short-term investments maturing in 60 days or less are generally valued at amortized cost, which approximates fair value. | |
Exchange-traded derivatives, such as options, futures and options on futures, are valued at the last sale price determined by the exchange where such instruments principally trade as of the close of such exchange ("Exchange Close"). If a last sale price is not available, the value will be the mean of the most recently quoted bid and ask prices as of the Exchange Close. If a mean of the bid and ask prices cannot be calculated for the day, the value will be the most recently quoted bid price as of the Exchange Close. Over-the-counter derivatives are normally valued based on prices supplied by independent pricing services in accordance with the Valuation Procedures. | |
Investments valued in currencies other than U.S. dollars are converted to U.S. dollars using the prevailing spot currency exchange rates obtained from independent pricing services for calculation of the NAV. As a result, the NAV of a Fund’s shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of securities or other instruments traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the Exchange is closed and the market value may change on days when an investor is not able to purchase or redeem shares of a Fund. | |
Foreign currency contracts represent agreements to exchange currencies on specific future dates at predetermined rates. Foreign currency contracts are valued using foreign currency exchange rates and forward rates as provided by an independent pricing service on the Valuation Date. | |
Shares of investment companies listed and traded on an exchange are valued in the same manner as any exchange-listed equity security. Investments in investment companies that are not listed or traded on an exchange ("Non-Traded Funds"), if any, are valued at the respective NAV of each Non-Traded Fund on the Valuation Date. Such Non-Traded Funds and listed investment companies may use fair value pricing as disclosed in their prospectuses. | |
Financial instruments for which prices are not available from an independent pricing service may be valued using quotations obtained from one or more dealers that make markets in the respective financial instrument in accordance with the Valuation Procedures. |
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U.S. GAAP defines fair value as the price that a Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants. The U.S. GAAP fair value measurement standards require disclosure of a fair value hierarchy for each major category of assets and liabilities. Various inputs are used in determining the fair value of each Fund’s investments. These inputs are summarized into three broad hierarchy levels. This hierarchy is based on whether the valuation inputs are observable or unobservable. These levels are: |
• | Level 1 – Quoted prices in active markets for identical investments. Level 1 may include exchange traded instruments, such as domestic equities, some foreign equities, options, futures, mutual funds, exchange traded funds, rights and warrants. |
• | Level 2 – Observable inputs other than Level 1 prices, such as quoted prices for similar investments; quoted prices in markets that are not active; or other inputs that are observable or can be corroborated by observable market data. Level 2 may include debt investments that are traded less frequently than exchange traded instruments and which are valued using independent pricing services; foreign equities, which are principally traded on certain foreign markets and are adjusted daily pursuant to a fair value pricing service in order to reflect an adjustment for the factors occurring after the close of certain foreign markets but before the NYSE Close; senior floating rate interests, which are valued using an aggregate of dealer bids; short-term investments, which are valued at amortized cost; and swaps, which are valued based upon the terms of each swap contract. |
• | Level 3 – Significant unobservable inputs that are supported by limited or no market activity. Level 3 may include financial instruments whose values are determined using indicative market quotes or require significant management judgment or estimation. These unobservable valuation inputs may include estimates for current yields, maturity/duration, prepayment speed, and indicative market quotes for comparable investments along with other assumptions relating to credit quality, collateral value, complexity of the investment structure, general market conditions and liquidity. This category may include investments where trading has been halted or there are certain restrictions on trading. While these investments are priced using unobservable inputs, the valuation of these investments reflects the best available data and management believes the prices are a reasonable representation of exit price. |
c) | Investment Transactions and Investment Income – Investment transactions are recorded as of the trade date (the date the order to buy or sell is executed) for financial reporting purposes. Investments purchased or sold on a when-issued or delayed-delivery basis may be settled a month or more after the trade date. Realized gains and losses are determined on the basis of identified cost. |
The trade date for senior floating rate interests purchased in the primary loan market is considered the date on which the loan allocations are determined. The trade date for senior floating rate interests purchased in the secondary loan market is the date on which the transaction is entered into. | |
Dividend income from domestic securities is accrued on the ex-dividend date. In general, dividend income from foreign securities is recorded on the ex-date; however, dividend notifications in certain foreign jurisdictions may not be available in a timely manner and as a result, such Fund will record the dividend as soon as the relevant details (i.e., rate per share, payment date, shareholders of record, etc.) are publicly available. Interest income, including amortization of premium, accretion of discounts, inflation adjustments and additional principal received in-kind in lieu of cash, is accrued on a daily basis. Paydown gains and losses on mortgage-related and other asset-backed securities are included in interest income in the Statements of Operations, as applicable. | |
The Capital Appreciation HLS Fund and the Dividend and Growth HLS Fund filed claims to recover taxes withheld on prior year reclaims (EU reclaims) related to French taxes withheld on dividend income from 2009, 2010 and 2011. The Capital Appreciation HLS Fund and the Dividend and Growth HLS Fund received EU reclaims with related interest in the amount of $499,518 and $752,746, respectively, which is recorded on the Statement of Operations as Foreign withholding tax reclaims. |
d) | Taxes – A Fund may be subject to taxes imposed on realized gains on securities of certain foreign countries in which such Fund invests. A Fund may also be subject to taxes withheld on foreign dividends and interest from securities in which such Fund invests. The amount of any foreign taxes withheld and foreign tax expense is included on the accompanying Statements of Operations as a reduction to net investment income or net realized or unrealized gain (loss) on investments in these securities, if applicable. |
e) | Foreign Currency Transactions – Assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars at the exchange rates in effect on the Valuation Date. Purchases and sales of investments, income and expenses are translated into U.S. dollars at the exchange rates on the dates of such transactions. |
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A Fund does not isolate that portion of portfolio investment valuation resulting from fluctuations in the foreign currency exchange rates from the fluctuations arising from changes in the market prices of investments held. Exchange rate fluctuations are included with the net realized and unrealized gain or loss on investments in the accompanying financial statements. | |
Net realized foreign exchange gains or losses arise from sales of foreign currencies and the difference between asset and liability amounts initially stated in foreign currencies and the U.S. dollar value of the amounts actually received or paid. Net unrealized foreign exchange gains or losses arise from changes in the value of other assets and liabilities at the end of the reporting period, resulting from changes in the exchange rates. |
f) | Joint Trading Account – A Fund may invest cash balances into a joint trading account that may be invested in one or more repurchase agreements. |
g) | Fund Share Valuation and Dividend Distributions to Shareholders – Orders for each class of each Fund’s shares are executed in accordance with the investment instructions of the contract holders and plan participants. The NAV of each class of each Fund’s shares is determined as of the close of business on each business day of the Exchange (see Note 2(a)). The NAV is determined separately for each class of shares of each Fund by dividing the Fund's net assets attributable to that class by the number of shares of the class outstanding. Each class of shares offered by each Fund has equal rights as to assets and voting privileges (except that shareholders of a class have exclusive voting rights regarding any matter relating solely to that class of shares). Income and non-class specific expenses are allocated daily to each class on the basis of the relative net assets of the class of the Fund. Realized and unrealized gains and losses are allocated daily based on the relative net assets of each class of shares of each Fund. |
Orders for the purchase of a Fund's shares received prior to the close of the Exchange on any day the Exchange is open for business are priced at the NAV determined as of the close of the Exchange. Orders received after the close of the Exchange, or on a day on which the Exchange and/or the Funds are not open for business, are priced at the next determined NAV. | |
Dividends are declared pursuant to a policy adopted by the respective Company's Board of Directors. Dividends and/or distributions to shareholders are recorded on ex-date. The policy of each Fund is to pay dividends from net investment income and realized capital gains, if any, at least once per year. Income dividends and capital gains distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP with respect to character and timing (see Federal Income Taxes: Distributions and Components of Distributable Earnings and Reclassification of Capital Accounts notes). |
3. | Securities and Other Investments: |
a) | Restricted Securities – Each Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities, if applicable, is included at the end of each Fund's Schedule of Investments. |
b) | Investments Purchased on a When-Issued or Delayed-Delivery Basis – Delivery and payment for investments that have been purchased by a Fund on a forward commitment, or when-issued or delayed-delivery basis, take place beyond the customary settlement period. A Fund may dispose of or renegotiate a delayed-delivery transaction after it is entered into, and may sell delayed-delivery investments before they are delivered, which may result in a realized gain or loss. During this period, such investments are subject to market fluctuations. See each Fund’s Schedule of Investments, if applicable, for when-issued or delayed-delivery investments as of December 31, 2023. |
A Fund may enter into to-be announced ("TBA") commitments. TBA commitments are forward agreements for the purchase or sale of mortgage-backed securities for a fixed price, with payment and delivery on an agreed-upon future settlement date. The specific securities to be delivered are not identified at the trade date; however, delivered securities must meet specified terms, including issuer, rate and mortgage terms. Although a Fund may enter into TBA commitments with the intention of acquiring or delivering securities for its portfolio, the Fund can extend the settlement date, roll the transaction, or dispose of a commitment prior to settlement if deemed appropriate to do so. If the TBA commitment is closed through the acquisition of an offsetting TBA commitment, a Fund realizes a gain or loss. In a TBA roll transaction, a Fund generally purchases or sells the initial TBA commitment prior to the agreed upon settlement date and enters into a new TBA commitment for future delivery or receipt of the mortgage-backed securities. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date. See each Fund's Schedule of Investments, if applicable, for TBA commitments as of December 31, 2023. |
c) | Senior Floating Rate Interests – Certain Funds may invest in senior floating rate interests. Senior floating rate interests generally hold the most senior position in the capital structure of a business entity (the "Borrower"), are typically secured by specific collateral and have a claim on the assets and/or stock of the Borrower that is senior to that held by subordinated debt holders and stockholders of the Borrower. Senior floating rate interests are typically structured and administered by a financial institution that acts as the agent of the lenders participating |
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in the senior floating rate interest. A Fund may invest in multiple series or tranches of a senior floating rate interest, which may have varying terms and carry different associated risks. A Fund may also enter into unfunded loan commitments, which are contractual obligations for future funding. Unfunded loan commitments may include revolving credit facilities, which may obligate the Fund to supply additional cash to the Borrower on demand. Unfunded loan commitments represent a future obligation in full. A Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a senior floating rate interest. In certain circumstances, a Fund may receive various fees upon the restructure of a senior floating rate interest by a borrower. Fees earned/paid may be recorded as a component of income or realized gain/loss in the Statements of Operations. | |
Senior floating rate interests are typically rated below-investment-grade, which suggests they are more likely to default and generally pay higher interest rates than investment-grade loans. A default could lead to non-payment of income, which would result in a reduction of income to a Fund, and there can be no assurance that the liquidation of any collateral would satisfy the Borrower’s obligation in the event of non-payment of scheduled interest or principal payments, or that such collateral could be readily liquidated. See each Fund's Schedule of Investments, if applicable, for outstanding senior floating rate interests as of December 31, 2023. |
d) | Mortgage-Related and Other Asset-Backed Securities – A Fund may invest in mortgage-related and other asset-backed securities. These securities include mortgage pass-through securities, collateralized mortgage obligations, commercial mortgage-backed securities, stripped mortgage-backed securities, asset-backed securities, collateralized debt obligations and other securities that directly or indirectly represent a participation in, or are secured by and payable from, mortgage loans on real property. Mortgage-related securities are created from pools of residential or commercial mortgage loans, including mortgage loans made by savings and loan institutions, mortgage bankers, commercial banks and others. Asset-backed securities are created from many types of assets, including auto loans, credit card receivables, home equity loans, and student loans. These securities provide a monthly payment that consists of both interest and principal payments. Interest payments may be determined by fixed or adjustable rates. The rate of prepayments on underlying mortgages will affect the price and volatility of a mortgage-related security, and may have the effect of shortening or extending the effective duration of the security relative to what was anticipated at the time of purchase. The timely payment of principal and interest of certain mortgage-related securities is guaranteed by the full faith and credit of the United States Government. Mortgage-related and other asset-backed securities created and guaranteed by non-governmental issuers, including government-sponsored corporations, may be supported by various forms of insurance or guarantees, but there can be no assurance that the private insurers or guarantors can meet their obligations under the insurance policies or guarantee arrangements. See each Fund's Schedule of Investments, if applicable, for mortgage-related and other asset-backed securities as of December 31, 2023. |
e) | Inflation-Indexed Bonds – A Fund may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed income investments whose principal value is periodically adjusted to the rate of inflation. The interest rate on these bonds is generally fixed at issuance at a rate lower than typical bonds. Over the life of an inflation-indexed bond, however, interest will be paid based on a principal value, which is adjusted for inflation. Any increase or decrease in the principal amount of an inflation-indexed bond will be included as interest income on the Statements of Operations, even though investors do not receive the principal amount until maturity. See each Fund's Schedule of Investments, if applicable, for inflation-indexed bonds as of December 31, 2023. |
f) | Repurchase Agreements – A repurchase agreement is an agreement between two parties whereby one party sells the other a security at a specified price with a commitment to repurchase the security later at an agreed-upon price, date and interest payment. Each Fund is permitted to enter into fully collateralized repurchase agreements. Each Company's Board of Directors has delegated to the sub-adviser(s), as applicable, the responsibility of evaluating the creditworthiness of the banks and securities dealers with which the Funds will engage in repurchase agreements. The sub-adviser(s) will monitor such transactions to ensure that the value of underlying collateral will be at least equal to the total amount of the repurchase obligation as required by the valuation provision of the repurchase agreement, including the accrued interest. Repurchase agreements carry the risk that the market value of the securities declines below the repurchase price. A Fund could also lose money if it is unable to recover the securities and the value of any collateral held. In the event the borrower commences bankruptcy proceedings, a court may characterize the transaction as a loan. If a Fund has not perfected a security interest in the underlying collateral, the Fund may be required to return the underlying collateral to the borrower’s estate and be treated as an unsecured creditor. As an unsecured creditor, the Fund could lose some or all of the principal and interest involved in the transaction. See each Fund's Schedule of Investments, if applicable, for repurchase agreements as of December 31, 2023. |
4. | Financial Derivative Instruments: |
The following disclosures contain information on how and why a Fund may use derivative instruments, the credit-risk-related contingent features in certain derivative instruments, and how derivative instruments affect a Fund’s financial position and results of operations. The location and fair value amounts of these instruments on the Statements of Assets and Liabilities and the realized gains and losses and changes in unrealized gains and losses on the Statements of Operations, each categorized by type of derivative contract, are included in the following Additional |
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a) | Futures Contracts – A Fund may enter into futures contracts. A futures contract is an agreement between two parties to buy or sell an asset at a set price on a future date. A Fund may use futures contracts to manage risk or obtain exposure to the investment markets, commodities, or movements in interest rates and currency values. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in market value of the investments held by a Fund and the prices of futures contracts and the possibility of an illiquid market. Upon entering into a futures contract, a Fund is required to deposit with a futures commission merchant ("FCM") an amount of cash or U.S. Government or Agency Obligations in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and an appropriate amount equal to the change in value ("variation margin") is paid or received by a Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed on the Statements of Assets and Liabilities. |
During the year ended December 31, 2023, each of Balanced HLS Fund, Capital Appreciation HLS Fund and Total Return Bond HLS Fund had used Futures Contracts. |
b) | Foreign Currency Contracts – A Fund may enter into foreign currency contracts that obligate the Fund to purchase or sell currencies at specified future dates. Foreign currency contracts may be used in connection with settling purchases or sales of securities to hedge the currency exposure associated with some or all of a Fund’s investments and/or as part of an investment strategy. Foreign currency contracts are marked to market daily and the change in value is recorded by a Fund as an unrealized gain or loss. A Fund will record a realized gain or loss when the foreign currency contract is settled. |
Foreign currency contracts involve elements of market risk in excess of the amounts reflected in the Statements of Assets and Liabilities. In addition, risks may arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of the contracts and from unanticipated movements in the value of the foreign currencies relative to the U.S. dollar. Upon entering into a foreign currency contract, a Fund may be required to post margin equal to its outstanding exposure thereunder. |
c) | Options Contracts – An option contract is a contract sold by one party to another party that offers the buyer the right, but not the obligation, to buy (call) or sell (put) an investment or other financial asset at an agreed-upon price during a specific period of time or on a specific date. Option contracts are either over-the-counter ("OTC") options or executed in a registered exchange ("exchange-traded options"). A Fund may write (sell) covered call and put options on futures, swaps ("swaptions"), securities, commodities or currencies. Writing put options may increase a Fund’s exposure to the underlying instrument. Writing call options may decrease a Fund’s exposure to the underlying instrument. Premiums received from writing options that expire are treated as realized gains. Premiums received from writing options that are exercised or closed are added to the proceeds or offset amounts paid on the underlying futures, swaps, investments or currency transactions to determine the realized gain or loss. A Fund, as a writer of an option, has no control over whether the underlying instrument may be sold (call) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the instrument underlying the written option. There is the risk a Fund may not be able to enter into a closing transaction because of an illiquid market. A Fund may also purchase put and call options. Purchasing call options may increase a Fund’s exposure to the underlying instrument. Purchasing put options may decrease a Fund’s exposure to the underlying instrument. A Fund pays a premium, which is included on the Fund’s Statements of Assets and Liabilities as an investment and is subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options that expire are treated as realized losses. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms. The risk associated with purchasing put and call options is generally limited to the premium paid. Premiums paid for purchasing options that are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain or loss. Entering into OTC options also exposes a Fund to counterparty risk. Counterparty risk is the possibility that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements. |
d) | Swap Contracts – A Fund may invest in swap contracts. Swap contracts are agreements to exchange or swap investment cash flows, assets, foreign currencies or market-linked returns at specified future intervals. Swap contracts are either privately negotiated in the over-the-counter market ("OTC swaps") or cleared through a central counterparty or derivatives clearing organization ("centrally cleared swaps"). A Fund may enter into credit default, total return, cross-currency, interest rate, inflation and other forms of swap contracts to manage its exposure to credit, currency, interest rate, commodity and inflation risk. Swap contracts are also used to gain exposure to certain markets. In connection with these contracts, investments or cash may be identified as collateral or margin in accordance with the terms of the |
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respective swap contracts and/or master netting arrangement to provide assets of value and recourse in the event of default or bankruptcy/insolvency. | |
Swaps are valued in accordance with the Valuation Procedures. Changes in market value, if any, are reflected as a component of net changes in unrealized appreciation or depreciation on the Statements of Operations. Daily changes in valuation of centrally cleared swaps, if any, are recorded as a receivable or payable for the change in value ("variation margin") on the Statements of Assets and Liabilities. Realized gains or losses on centrally cleared swaps are recorded upon the termination of the swaps. OTC swap payments received or paid at the beginning of the measurement period are reflected as such on the Statements of Assets and Liabilities and represent premiums paid or received upon entering into the swap contract to compensate for differences between the stated terms of the swap contract and prevailing market conditions (credit spreads, currency exchange rates, interest rates and other relevant factors). These upfront premiums are recorded as realized gains or losses on the Statements of Operations upon termination or maturity of the swap. A liquidation payment received or made at the termination or maturity of the swap is recorded as a realized gain or loss on the Statements of Operations. Net periodic payments received or paid by a Fund are included as part of realized gains or losses on the Statements of Operations. | |
Entering into these contracts involves, to varying degrees, elements of liquidation, counterparty, credit and market risk in excess of the amounts recognized on the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these contracts, that the counterparty to the contracts may default on its obligation to perform or disagree as to the meaning of contractual terms in the contracts, and that there may be unfavorable changes in market conditions (credit spreads, currency exchange rates, interest rates and other relevant factors). | |
A Fund’s maximum risk of loss from counterparty risk for OTC swaps is the net value of the discounted cash flows to be received from the counterparty over the contract’s remaining life, and current market value, to the extent that amount is positive. The risk is mitigated by having a master netting arrangement between a Fund and the counterparty, which allows for the netting of payments made or received (although such amounts are presented on a gross basis within the Statements of Assets and Liabilities, as applicable) as well as the posting of collateral to a Fund to cover the Fund’s exposure to the counterparty. In a centrally cleared swap, while a Fund enters into an agreement with a clearing broker to execute contracts with a counterparty, the performance of the swap is guaranteed by the central clearinghouse, which reduces the Fund’s exposure to counterparty risk. However, the Fund is still exposed to a certain amount of counterparty risk through the clearing broker and clearinghouse. The clearinghouse attempts to minimize this risk to its participants through the use of mandatory margin requirements, daily cash settlements and other procedures. Likewise, the clearing broker reduces its risk through margin requirements and required segregation of customer balances. | |
Credit Default Swap Contracts – The credit default swap market allows a Fund to manage credit risk through buying and selling credit protection on a specific issuer, asset or basket of assets. Certain credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying investment or index in the event of a credit event, such as payment default or bankruptcy. | |
Under a credit default swap contract, one party acts as guarantor by receiving the fixed periodic payment in exchange for the commitment to purchase the underlying investment at par if the defined credit event occurs. Upon the occurrence of a defined credit event, the difference between the value of the reference obligation and the swap’s notional amount is recorded as realized gain or loss on swap transactions in the Statements of Operations. A "buyer" of credit protection agrees to pay a counterparty to assume the credit risk of an issuer upon the occurrence of certain events. The "seller" of the protection receives periodic payments and agrees to assume the credit risk of an issuer upon the occurrence of certain events. Although specified events are contract specific, credit events are generally defined as bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default or repudiation/moratorium. A "seller’s" exposure is limited to the total notional amount of the credit default swap contract. These potential amounts would be partially offset by any recovery values of the respective referenced obligations or upfront payments received upon entering into the contract. | |
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap contracts on corporate issues, sovereign government issues or U.S. municipal issues as of year-end are disclosed in the notes to the Schedules of Investments, as applicable, and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and there may also be upfront payments required to be made to enter into the contract. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract. For credit default swap contracts on credit indices, the quoted market prices and resulting values serve as the indicator of the current status of the payment/performance risk. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced equity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract. | |
During the year ended December 31, 2023, the Total Return Bond HLS Fund had used Credit Default Swap Contracts. |
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Interest Rate Swap Contracts – Certain Funds are subject to interest rate risk exposure in the normal course of pursuing its investment objectives. A Fund may use interest rate swaps to hedge interest rate and duration risk across a portfolio at particular duration points to maintain its ability to generate income at prevailing market rates. In a typical interest rate swap, one party agrees to make regular payments equal to a floating interest rate, based on a specified interest rate or benchmark (e.g., Secured Overnight Financing Rate (“SOFR”)), multiplied by a notional amount, in return for payments equal to a fixed rate multiplied by the same amount, for a specific period of time. The net interest received or paid on interest rate swap contracts is recorded as a realized gain or loss. Interest rate swaps are marked to market daily and the change, if any, is recorded as an unrealized gain or loss in the Statements of Operations. When the interest rate swap contract is terminated early, a Fund records a realized gain or loss equal to the difference between the current market value and the upfront premium or cost. | |
If an interest rate swap contract provides for payments in different currencies, the parties might agree to exchange the notional amount as well. Interest rate swaps may also depend on other prices or rates, such as the value of an index. The risks of interest rate swaps include changes in market conditions, which will affect the value of the contract or the cash flows and the possible inability of the counterparty to fulfill its obligations under the contract. A Fund’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life, to the extent that amount is positive. |
e) | Additional Derivative Instrument Information: |
Balanced HLS Fund | |
The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of December 31, 2023: | |||||||||||
Risk Exposure Category | |||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | Equity Contracts | Commodity Contracts | Total | ||||||
Assets: | |||||||||||
Unrealized appreciation on futures contracts(1) | $ 213,236 | $ — | $ — | $ — | $ — | $ 213,236 | |||||
Total | $ 213,236 | $ — | $ — | $ — | $ — | $ 213,236 |
(1) | Amount represents the cumulative appreciation and depreciation on futures contracts as disclosed within the Schedule of Investments under the open “Futures Contracts” section. Only current day’s variation margin, if any, is reported within the Statement of Assets and Liabilities. |
The Effect of Derivative Instruments on the Statement of Operations for the year ended December 31, 2023: | |||||||||||
Risk Exposure Category | |||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | Equity Contracts | Commodity Contracts | Total | ||||||
Realized Gain (Loss) on Derivatives Recognized as a Result of Operations: | |||||||||||
Net realized gain (loss) on futures contracts | $ (353,508) | $ — | $ — | $ — | $ — | $ (353,508) | |||||
Total | $ (353,508) | $ — | $ — | $ — | $ — | $ (353,508) | |||||
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | |||||||||||
Net change in unrealized appreciation (depreciation) of futures contracts | $ 145,825 | $ — | $ — | $ — | $ — | $ 145,825 | |||||
Total | $ 145,825 | $ — | $ — | $ — | $ — | $ 145,825 |
Derivative Description | Average Notional Par, Contracts or Face Amount | |
Futures Contracts Number of Long Contracts | 249 | |
Futures Contracts Number of Short Contracts | (37) |
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The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of December 31, 2023: | |||||||||||
Risk Exposure Category | |||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | Equity Contracts | Commodity Contracts | Total | ||||||
Assets: | |||||||||||
Unrealized appreciation on futures contracts(1) | $ — | $ — | $ — | $ 1,923,011 | $ — | $ 1,923,011 | |||||
Total | $ — | $ — | $ — | $ 1,923,011 | $ — | $ 1,923,011 |
(1) | Amount represents the cumulative appreciation and depreciation on futures contracts as disclosed within the Schedule of Investments under the open “Futures Contracts” section. Only current day’s variation margin, if any, is reported within the Statement of Assets and Liabilities. |
The Effect of Derivative Instruments on the Statement of Operations for the year ended December 31, 2023: | |||||||||||
Risk Exposure Category | |||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | Equity Contracts | Commodity Contracts | Total | ||||||
Realized Gain (Loss) on Derivatives Recognized as a Result of Operations: | |||||||||||
Net realized gain (loss) on futures contracts | $ — | $ — | $ — | $ 23,375,548 | $ — | $ 23,375,548 | |||||
Total | $ — | $ — | $ — | $ 23,375,548 | $ — | $ 23,375,548 | |||||
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | |||||||||||
Net change in unrealized appreciation (depreciation) of futures contracts | $ — | $ — | $ — | $ 5,522,019 | $ — | $ 5,522,019 | |||||
Total | $ — | $ — | $ — | $ 5,522,019 | $ — | $ 5,522,019 |
Derivative Description | Average Notional Par, Contracts or Face Amount | |
Futures Contracts Number of Long Contracts | 225 |
The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of December 31, 2023: | |||||||||||
Risk Exposure Category | |||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | Equity Contracts | Commodity Contracts | Total | ||||||
Assets: | |||||||||||
Unrealized appreciation on futures contracts(1) | $ 8,390,175 | $ — | $ — | $ — | $ — | $ 8,390,175 | |||||
Unrealized appreciation on swap contracts(2) | 1,561,255 | — | — | — | — | 1,561,255 | |||||
Total | $ 9,951,430 | $ — | $ — | $ — | $ — | $ 9,951,430 | |||||
Liabilities: | |||||||||||
Unrealized depreciation on futures contracts(1) | $ 8,591,558 | $ — | $ — | $ — | $ — | $ 8,591,558 | |||||
Unrealized depreciation on foreign currency contracts | — | 412,052 | — | — | — | 412,052 | |||||
Unrealized depreciation on swap contracts(2) | 455,995 | — | 620,356 | — | — | 1,076,351 | |||||
Total | $ 9,047,553 | $ 412,052 | $ 620,356 | $ — | $ — | $ 10,079,961 |
(1) | Amount represents the cumulative appreciation and depreciation on futures contracts as disclosed within the Schedule of Investments under the open “Futures Contracts” section. Only current day’s variation margin, if any, is reported within the Statement of Assets and Liabilities. |
(2) | Amount represents the cumulative appreciation and depreciation on centrally cleared swaps, if applicable, as disclosed within the Schedule of Investments. Only the current day’s variation margin, if any, are reported within the Statements of Assets and Liabilities. OTC swaps are reported within the Statement of Assets and Liabilities within Unrealized appreciation and depreciation on OTC swap contracts, if applicable. |
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The Effect of Derivative Instruments on the Statement of Operations for the year ended December 31, 2023: | |||||||||||
Risk Exposure Category | |||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | Equity Contracts | Commodity Contracts | Total | ||||||
Realized Gain (Loss) on Derivatives Recognized as a Result of Operations: | |||||||||||
Net realized gain (loss) on purchased options contracts | $ 13,993 | $ — | $ — | $ — | $ — | $ 13,993 | |||||
Net realized gain (loss) on futures contracts | 802,745 | — | — | — | — | 802,745 | |||||
Net realized gain (loss) on written options contracts | 797,022 | — | — | — | — | 797,022 | |||||
Net realized gain (loss) on swap contracts | (554,799) | — | (1,921,719) | — | — | (2,476,518) | |||||
Net realized gain (loss) on foreign currency contracts | — | (1,972,233) | — | — | — | (1,972,233) | |||||
Total | $ 1,058,961 | $ (1,972,233) | $ (1,921,719) | $ — | $ — | $ (2,834,991) | |||||
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | |||||||||||
Net change in unrealized appreciation (depreciation) of futures contracts | $ (3,188,748) | $ — | $ — | $ — | $ — | $ (3,188,748) | |||||
Net change in unrealized appreciation (depreciation) of swap contracts | 1,105,260 | — | (35,861) | — | — | 1,069,399 | |||||
Net change in unrealized appreciation (depreciation) of foreign currency contracts | — | 333,563 | — | — | — | 333,563 | |||||
Total | $ (2,083,488) | $ 333,563 | $ (35,861) | $ — | $ — | $ (1,785,786) |
Derivative Description | Average Notional Par, Contracts or Face Amount | |
Purchased Options at Notional Amount | $ 2,105,333 | |
Futures Contracts Number of Long Contracts | 3,219 | |
Futures Contracts Number of Short Contracts | (1,580) | |
Written Options at Notional Amount | $ (22,400,833) | |
Swap Contracts at Notional Amount | $ 65,908,607 | |
Foreign Currency Contracts Purchased at Contract Amount | $ 2,191,608 | |
Foreign Currency Contracts Sold at Contract Amount | $ 44,072,643 |
f) | Balance Sheet Offsetting Information – Set forth below are tables which disclose both gross information and net information about instruments and transactions eligible for offset in the financial statements, and instruments and transactions that are subject to a master netting arrangement, as well as amounts related to margin, reflected as financial collateral (including cash collateral), held at clearing brokers, counterparties and a Fund's custodian. The master netting arrangements allow the clearing brokers to net any collateral held in or on behalf of a Fund, or liabilities or payment obligations of the clearing brokers to a Fund, against any liabilities or payment obligations of a Fund to the clearing brokers. A Fund is required to deposit financial collateral (including cash collateral) at the Fund's custodian on behalf of clearing brokers and counterparties to continually meet the original and maintenance requirements established by the clearing brokers and counterparties. Such requirements are specific to the respective clearing broker or counterparty. Certain master netting arrangements may not be enforceable in a bankruptcy. |
The following tables present a Fund's derivative assets and liabilities, presented on a gross basis as no amounts are netted within the Statements of Assets and Liabilities, by counterparty net of amounts available for offset under a master netting agreement or similar agreement ("MNA") and net of the related collateral received/pledged by a Fund as of December 31, 2023: | |
Balanced HLS Fund | ||||
Derivative Financial Instruments: | Assets | Liabilities | ||
Futures contracts | $ 213,236 | $ — | ||
Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | 213,236 | — | ||
Derivatives not subject to a MNA | (213,236) | — | ||
Total gross amount of assets and liabilities subject to MNA or similar agreements | $ — | $ — |
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Capital Appreciation HLS Fund | ||||
Derivative Financial Instruments: | Assets | Liabilities | ||
Futures contracts | $ 1,923,011 | $ — | ||
Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | 1,923,011 | — | ||
Derivatives not subject to a MNA | (1,923,011) | — | ||
Total gross amount of assets and liabilities subject to MNA or similar agreements | $ — | $ — |
Total Return Bond HLS Fund | ||||
Derivative Financial Instruments: | Assets | Liabilities | ||
Foreign currency contracts | $ — | $ (412,052) | ||
Futures contracts | 8,390,175 | (8,591,558) | ||
Swap contracts | 1,561,255 | (1,076,351) | ||
Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | 9,951,430 | (10,079,961) | ||
Derivatives not subject to a MNA | (9,951,430) | 9,667,909 | ||
Total gross amount of assets and liabilities subject to MNA or similar agreements | $ — | $ (412,052) |
Counterparty | Gross Amount of Liabilities | Financial Instruments and Derivatives Available for Offset | Non-cash Collateral Pledged* | Cash Collateral Pledged* | Net Amount of Liabilities | |||||
Citibank NA | $ (12,428) | $ — | $ — | $ — | $ (12,428) | |||||
Deutsche Bank Securities, Inc. | (399,624) | — | 72,059 | 160,000 | (167,565) | |||||
Total | $ (412,052) | $ — | $ 72,059 | $ 160,000 | $ (179,993) |
* | In some instances, the actual collateral received and/or pledged may be more than the amount shown. |
5. | Principal Risks: |
A Fund’s investments expose it to various types of risks associated with financial instruments and the markets. A Fund may be exposed to the risks described below. Each Fund’s prospectus provides details of its principal risks. | |
The market values of equity securities, such as common stocks and preferred stocks, or equity related derivative investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates or adverse investor sentiment generally. The market value of equity securities may also decline due to factors which affect a particular industry or industries, such as labor shortages or increased production costs and competitive conditions within an industry. Equity securities and equity related investments generally have greater market price volatility than fixed income securities. The extent of each Fund’s exposure to market risk is the market value of the investments held as shown in the Fund’s Schedule of Investments. | |
A widespread health crisis, such as a global pandemic, could cause substantial market volatility, exchange trading suspensions or restrictions and closures of securities exchanges and businesses, impact the ability to complete redemptions, and adversely impact Fund performance. The outbreak of COVID-19, a respiratory disease caused by a novel coronavirus, negatively affected the worldwide economy, created supply chain disruptions and labor shortages, and impacted the financial health of individual companies and the market in significant and unforeseen ways. The future impact of COVID-19, if any, remains unclear. The effects to public health, business and market conditions resulting from COVID-19 pandemic have had, and may continue to have, a significant negative impact on the performance of a Fund's investments, including exacerbating other pre-existing political, social and economic risks. | |
The banking sector has recently been subject to increased market volatility. As a result, a Fund’s investments in the banking sector may be subject to increased volatility risk. | |
Certain investments held by a Fund expose the Fund to various risks which may include, but are not limited to, interest rate, prepayment, and extension risks. Interest rate risk is the risk that fixed income securities will decline in value because of changes in interest rates. As nominal interest rates rise, the values of certain fixed income securities held by a Fund are likely to decrease. A nominal interest rate can be described as the sum of a real interest rate and an expected inflation rate. Fixed income securities with longer durations tend to be more sensitive to changes in interest rates, usually making them more volatile than securities with shorter durations. Duration is useful primarily as a measure of the sensitivity of a fixed income security’s market price to interest rate (i.e., yield) movements. Senior floating rate interests and securities subject |
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to prepayment and extension risk generally offer less potential for gains when interest rates decline. Rising interest rates may cause prepayments to occur at a slower than expected rate, thereby effectively lengthening the maturity of the security and making the security more sensitive to interest rate changes. Prepayment and extension risk are major risks of mortgage-backed securities, senior floating rate interests and certain asset-backed securities. For certain asset-backed securities, the actual maturity may be less than the stated maturity shown in the Schedule of Investments, if applicable. As a result, the timing of income recognition relating to these securities may vary based upon the actual maturity. | |
Investing in the securities of non-U.S. issuers, whether directly or indirectly, involves certain considerations and risks not typically associated with securities of U.S. issuers. Such risks include, but are not limited to: generally less liquid and less efficient securities markets; generally greater price volatility; exchange rate fluctuations; imposition of restrictions on the expatriation of funds or other protectionist measures; less publicly available information about issuers; the imposition of withholding or other taxes; higher transaction and custody costs; settlement delays and risk of loss attendant in settlement procedures; difficulties in enforcing contractual obligations; less regulation of securities markets; different accounting, disclosure and reporting requirements; more substantial governmental involvement in the economy; higher inflation rates; and greater social, economic and political uncertainties. Non-U.S. issuers may also be affected by political, social, economic or diplomatic developments in a foreign country or region or the U.S. (including the imposition of sanctions, tariffs, or other governmental restrictions). These risks are heightened for investments in issuers from countries with less developed markets. | |
Securities lending involves the risk that a Fund may lose money because the borrower of the loaned securities fails to return the securities in a timely manner or at all. A Fund could also lose money in the event of a decline in the value of the collateral provided for the loaned securities or a decline in the value of any investments made with cash collateral. These events could also trigger adverse tax consequences for a Fund that lends its holdings. | |
Credit risk depends largely on the perceived financial health of bond issuers. In general, the credit rating is inversely related to the credit risk of the issuer. Higher rated bonds generally are deemed to have less credit risk, while lower or unrated bonds are deemed to have higher risk of default. The share price, yield and total return of a fund that holds securities with higher credit risk may be more volatile than those of a fund that holds bonds with lower credit risk. A Fund may be exposed to counterparty risk, or the risk that an institution or other entity with which a Fund has unsettled or open transactions will default. | |
Geopolitical events, including the invasion of Ukraine by Russia and the conflict between Israel and Hamas, have injected uncertainty into the global financial markets. Investments in Russia are subject to political, economic, legal, market and currency risks, as well as the risks related to the economic sanctions on Russia imposed by the United States and/or other countries. Such sanctions which affect companies in many sectors, including energy, financial services and defense, among others, have adversely affected and could continue to adversely affect the global energy and financial markets and, thus, have adversely affected and could continue to adversely affect the value of a Fund’s investments, even beyond any direct exposure the Fund may have to Russian issuers or the adjoining geographic regions. In addition, certain transactions have or may be prohibited and/or existing investments have or may become illiquid (e.g., because transacting in certain existing investments is prohibited), which could cause a Fund to sell other portfolio holdings at a disadvantageous time or price in order to meet redemptions. |
6. | Federal Income Taxes: |
a) | Each Fund intends to continue to qualify as a Regulated Investment Company ("RIC") under Subchapter M of the Internal Revenue Code ("IRC") by distributing substantially all of its taxable net investment income and net realized capital gains to its shareholders each year. Each Fund has distributed substantially all of its income and capital gains in prior years, if applicable, and intends to distribute substantially all of its income and capital gains during the calendar year ending December 31, 2023. Accordingly, no provision for federal income or excise taxes has been made in the accompanying financial statements. Distributions from short-term capital gains are treated as ordinary income distributions for federal income tax purposes. |
b) | Net Investment Income (Loss), Net Realized Gains (Losses) and Distributions – Net investment income (loss) and net realized gains (losses) may differ for financial statement and tax purposes primarily because of losses deferred due to wash sale adjustments, foreign currency gains and losses, adjustments related to Passive Foreign Investment Companies ("PFICs"), non-taxable distributions from underlying investments, RICs, certain derivatives, losses deferred due to straddle adjustments and partnerships. The character of distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. Also, due to the timing of dividend distributions, the fiscal year in which amounts are distributed may differ from the year that the income or realized gains (losses) were recorded by each Fund. |
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c) | Distributions and Components of Distributable Earnings – The tax character of distributions paid by each Fund for the years ended December 31, 2023 and December 31, 2022 are as follows: |
For the Year Ended December 31, 2023 | For the Year Ended December 31, 2022 | |||||||
Fund | Ordinary Income | Long-Term Capital Gains(1) | Ordinary Income | Long-Term Capital Gains(1) | ||||
Balanced HLS Fund | $ 30,261,139 | $ 47,610,166 | $ 42,466,612 | $ 223,151,444 | ||||
Capital Appreciation HLS Fund | 33,627,880 | 54,026,622 | 64,891,675 | 457,492,553 | ||||
Disciplined Equity HLS Fund | 20,367,256 | 16,921,455 | 35,832,973 | 145,076,067 | ||||
Dividend and Growth HLS Fund | 52,723,896 | 288,841,874 | 72,697,937 | 361,147,229 | ||||
Healthcare HLS Fund | 615,343 | 1,897,546 | 3,816,291 | 33,341,892 | ||||
International Opportunities HLS Fund | 9,961,393 | — | 40,967,010 | 136,368,618 | ||||
MidCap HLS Fund | 5,954,860 | 76,779,118 | 12,084,551 | 202,055,478 | ||||
Small Cap Growth HLS Fund | — | — | 7,681,251 | 170,815,310 | ||||
Small Company HLS Fund | — | — | 11,972,762 | 81,829,229 | ||||
Stock HLS Fund | 17,000,012 | 64,887,146 | 26,880,254 | 139,481,470 | ||||
Total Return Bond HLS Fund | 60,532,795 | — | 61,202,717 | 18,943,062 | ||||
Ultrashort Bond HLS Fund | 7,319,868 | — | 1,268,070 | — | ||||
(1) | The Funds designate these distributions as long-term capital gains dividends pursuant to IRC Sec 852(b)(3)(c). |
Fund | Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Other Temporary Differences | Unrealized Appreciation (Depreciation) on Investments | Total Accumulated Earnings (Deficit) | ||||||
Balanced HLS Fund | $ 3,134,004 | $ 95,974,977 | $ — | $ (1,519,193) | $ 388,983,482 | $ 486,573,270 | ||||||
Capital Appreciation HLS Fund | 39,194,625 | 22,411,908 | — | — | 870,409,241 | 932,015,774 | ||||||
Disciplined Equity HLS Fund | 2,702,190 | 96,848,015 | — | — | 999,142,635 | 1,098,692,840 | ||||||
Dividend and Growth HLS Fund | 5,540,876 | 182,085,110 | — | — | 1,326,557,330 | 1,514,183,316 | ||||||
Healthcare HLS Fund | 108,182 | 883,464 | — | — | 35,202,171 | 36,193,817 | ||||||
International Opportunities HLS Fund | 12,920,512 | — | (58,513,302) | — | 152,580,228 | 106,987,438 | ||||||
MidCap HLS Fund | 4,779,454 | 15,797,013 | — | — | 262,006,362 | 282,582,829 | ||||||
Small Cap Growth HLS Fund | 1,900,938 | — | (31,482,735) | — | 157,922,114 | 128,340,317 | ||||||
Small Company HLS Fund | — | — | (92,046,243) | — | 63,451,512 | (28,594,731) | ||||||
Stock HLS Fund | 3,174,631 | 38,162,198 | — | — | 624,419,759 | 665,756,588 | ||||||
Total Return Bond HLS Fund | 62,668,039 | — | (184,990,325) | (1,139,771) | (152,651,068) | (276,113,125) | ||||||
Ultrashort Bond HLS Fund | 23,071,439 | — | (12,504,922) | — | (2,970,418) | 7,596,099 |
d) | Reclassification of Capital Accounts – The Funds may record reclassifications in their capital accounts. These reclassifications have no impact on the total net assets of the Funds. The reclassifications are a result of permanent differences between U.S. GAAP and tax accounting for such items as net operating losses, subsequent adjustments to wash sales, non-taxable distributions from underlying investments, and partnerships. Adjustments are made to reflect the impact these items have on the current and future earnings distributions to shareholders. Therefore, the source of the Funds' distributions may be shown in the accompanying Statements of Changes in Net Assets as from distributable earnings or from capital depending on the type of book and tax differences that exist. For the year ended December 31, 2023, the Funds recorded reclassifications to increase (decrease) the accounts listed below: |
Fund | Paid-in-Capital | Distributable Earnings (Loss) | ||
Capital Appreciation HLS Fund | $ (15,642) | $ 15,642 | ||
Disciplined Equity HLS Fund | (5,272) | 5,272 | ||
Small Cap Growth HLS Fund | 10,291 | (10,291) | ||
Small Company HLS Fund | (451,373) | 451,373 |
e) | Capital Loss Carryforward – Under the Regulated Investment Company Modernization Act of 2010, funds are permitted to carry forward capital losses for an unlimited period. |
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At December 31, 2023 (tax year end), each Fund's capital loss carryforwards for U.S. federal income tax purposes were as follows: | |
Fund | Short-Term Capital Loss Carryforward with No Expiration | Long-Term Capital Loss Carryforward with No Expiration | ||
International Opportunities HLS Fund | $ 52,013,759 | $ 6,499,543 | ||
Small Cap Growth HLS Fund | 31,482,735 | — | ||
Small Company HLS Fund | 87,607,448 | 4,438,795 | ||
Total Return Bond HLS Fund* | 96,162,694 | 88,827,631 | ||
Ultrashort Bond HLS Fund | 672,779 | 11,832,143 |
* | Future utilization of losses are subject to limitation under current tax laws. |
f) | Tax Basis of Investments – The aggregate cost of investments for federal income tax purposes at December 31, 2023 is different from book purposes primarily due to wash sale loss deferrals, PFICs mark-to-market adjustments, partnership adjustments and non-taxable distributions from underlying investments. The net unrealized appreciation/(depreciation) on investments for tax purposes, which consists of gross unrealized appreciation and depreciation was also different from book purposes primarily due to wash sale loss deferrals and mark-to-market adjustments on swaps, forwards, futures, PFICs, partnership adjustments and nontaxable distributions from underlying investments. Both the cost and unrealized appreciation and depreciation for federal income tax purposes are disclosed below: |
Fund | Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
Balanced HLS Fund | $ 1,303,152,757 | $ 415,971,393 | $ (27,091,401) | $ 388,879,992 | ||||
Capital Appreciation HLS Fund | 2,666,576,186 | 916,844,035 | (46,432,209) | 870,411,826 | ||||
Disciplined Equity HLS Fund | 1,698,650,656 | 1,031,320,109 | (32,176,433) | 999,143,676 | ||||
Dividend and Growth HLS Fund | 2,104,928,361 | 1,357,679,877 | (31,122,799) | 1,326,557,078 | ||||
Healthcare HLS Fund | 102,632,516 | 43,332,287 | (8,133,348) | 35,198,939 | ||||
International Opportunities HLS Fund | 712,755,109 | 168,590,880 | (15,125,324) | 153,465,556 | ||||
MidCap HLS Fund | 835,227,866 | 301,522,029 | (39,515,667) | 262,006,362 | ||||
Small Cap Growth HLS Fund | 607,507,453 | 182,951,524 | (25,029,410) | 157,922,114 | ||||
Small Company HLS Fund | 370,348,061 | 96,312,783 | (32,861,271) | 63,451,512 | ||||
Stock HLS Fund | 710,771,129 | 627,861,846 | (3,442,087) | 624,419,759 | ||||
Total Return Bond HLS Fund | 2,232,668,690 | 25,104,752 | (177,824,241) | (152,719,489) | ||||
Ultrashort Bond HLS Fund | 560,665,846 | 1,467,646 | (4,438,064) | (2,970,418) |
g) | Accounting for Uncertainty in Income Taxes – Pursuant to provisions set forth by U.S. GAAP, HFMC reviews each Fund’s tax positions for all open tax years. As of December 31, 2023, HFMC had reviewed the open tax years and concluded that there was no reason to record a liability for net unrecognized tax obligations relating to uncertain income tax positions. Each Fund files U.S. tax returns. Although the statute of limitations for examining a Fund’s U.S. tax returns remains open for three years, no examination is currently in progress. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the Statements of Operations. During the year ended December 31, 2023, the Funds did not incur any interest or penalties. HFMC is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax obligations will significantly change in the next twelve months. |
7. | Expenses: |
a) | Investment Management Agreement – HFMC serves as each Fund’s investment manager. Each Company, on behalf of its respective Funds, has entered into an Investment Management Agreement with HFMC. HFMC is an indirect subsidiary of The Hartford Financial Services Group, Inc. (“The Hartford”). HFMC has overall investment supervisory responsibility for each Fund. In addition, HFMC provides administrative personnel, services, equipment, facilities and office space for proper operation of each Fund. HFMC has contracted with Wellington Management Company LLP (“Wellington Management”) under a sub-advisory agreement and Wellington Management performs the daily investment of the assets of each Fund, in accordance with the Fund’s investment objective and policies. HFMC pays a sub-advisory fee to Wellington Management out of its management fee. |
132 |
December 31, 2023
Fund | Management Fee Rates | |
Balanced HLS Fund* | 0.6800% on first $250 million and; | |
0.6550% on next $250 million and; | ||
0.6450% on next $500 million and; | ||
0.5950% on next $4 billion and; | ||
0.5925% on next $5 billion and; | ||
0.5900% over $10 billion | ||
Capital Appreciation HLS Fund | 0.7750% on first $250 million and; | |
0.7250% on next $250 million and; | ||
0.6750% on next $500 million and; | ||
0.6250% on next $1.5 billion and; | ||
0.6200% on next $2.5 billion and; | ||
0.6150% on next $5 billion and; | ||
0.6100% over $10 billion | ||
Disciplined Equity HLS Fund | 0.6000% on first $1 billion and; | |
0.5500% on next $4 billion and; | ||
0.5300% on next $5 billion and; | ||
0.5000% over $10 billion | ||
Dividend and Growth HLS Fund | 0.6900% on first $250 million and; | |
0.6425% on next $250 million and; | ||
0.6325% on next $500 million and; | ||
0.6250% on next $1.5 billion and; | ||
0.6200% on next $2.5 billion and; | ||
0.6150% on next $5 billion and; | ||
0.6100% over $10 billion | ||
Healthcare HLS Fund | 0.8500% on first $250 million and; | |
0.8000% on next $250 million and; | ||
0.7500% on next $4.5 billion and; | ||
0.7475% on next $5 billion and; | ||
0.7450% over $10 billion | ||
International Opportunities HLS Fund | 0.7750% on first $250 million and; | |
0.7250% on next $250 million and; | ||
0.6750% on next $500 million and; | ||
0.6250% on next $1.5 billion and; | ||
0.6200% on next $2.5 billion and; | ||
0.6150% on next $5 billion and; | ||
0.6100% over $10 billion | ||
MidCap HLS Fund | 0.7750% on first $250 million and; | |
0.7250% on next $250 million and; | ||
0.6750% on next $500 million and; | ||
0.6250% on next $4 billion and; | ||
0.6225% on next $5 billion and; | ||
0.6200% over $10 billion | ||
Small Cap Growth HLS Fund | 0.7000% on first $100 million and; | |
0.6000% on next $4.9 billion and; | ||
0.5800% on next $5 billion and; | ||
0.5700% over $10 billion | ||
Small Company HLS Fund | 0.7750% on first $250 million and; | |
0.7250% on next $250 million and; | ||
0.6750% on next $500 million and; | ||
0.6000% on next $500 million and; | ||
0.5500% on next $3.5 billion and; | ||
0.5300% on next $5 billion and; | ||
0.5200% over $10 billion |
133 |
December 31, 2023
Fund | Management Fee Rates | |
Stock HLS Fund | 0.5250% on first $250 million and; | |
0.5000% on next $250 million and; | ||
0.4750% on next $500 million and; | ||
0.4500% on next $4 billion and; | ||
0.4475% on next $5 billion and; | ||
0.4450% over $10 billion | ||
Total Return Bond HLS Fund | 0.5250% on first $250 million and; | |
0.5000% on next $250 million and; | ||
0.4750% on next $500 million and; | ||
0.4500% on next $1.5 billion and; | ||
0.4450% on next $2.5 billion and; | ||
0.4300% on next $5 billion and; | ||
0.4200% over $10 billion | ||
Ultrashort Bond HLS Fund | 0.4000% on first $5 billion and; | |
0.3800% on next $5 billion and; | ||
0.3700% over $10 billion |
* | HFMC voluntarily waived a portion of its contractual management fee equal to 0.03% as an annual percentage rate of the Balanced HLS Fund’s average daily net assets from January 1, 2023 through December 31, 2023. |
b) | Accounting Services Agreement – HFMC provides the Funds with accounting services pursuant to a fund accounting agreement by and between each Company, on behalf of its respective Funds, and HFMC. HFMC has delegated certain accounting and administrative service functions to State Street Bank and Trust Company ("State Street"). In consideration of services rendered and expenses assumed pursuant to the fund accounting agreement, each Fund pays HFMC a fee. The fund accounting fee for each Fund is equal to the greater of: (A) the sum of (i) the sub-accounting fee payable by HFMC with respect to the Fund; (ii) the fee payable for tax preparation services for the Fund; and (iii) the amount of expenses that HFMC allocates for providing the fund accounting services to the Fund; plus a target profit margin; or (B) $40,000 per year; provided, however, that to the extent the annual amount of the fund accounting fee exceeds 0.02% of the Fund’s average net assets (calculated during its current fiscal year), HFMC shall waive such portion of the fund accounting fee. |
c) | Operating Expenses – Allocable expenses incurred by each Company are allocated to each series within such Company, and allocated to classes within each such series, in proportion to the average daily net assets of such series and classes, except where allocation of certain expenses is more fairly made directly to a Fund or to specific classes within a Fund. |
d) | Fees Paid Indirectly – Hartford HLS Series Fund II, Inc. and Hartford Series Fund, Inc., on behalf of its series except Total Return Bond HLS Fund and Ultrashort Bond HLS Fund, have entered into agreements with State Street Global Markets, LLC and Russell Implementation Services, Inc. to partially recapture non-discounted trade commissions. Such rebates are used to pay a portion of the Funds’ expenses. For the year ended December 31, 2023, these amounts, if any, are included in the Statements of Operations. |
The ratio of expenses to average net assets in the accompanying financial highlights excludes the reduction in expenses related to fees paid indirectly. The annualized expense ratio after waivers reflecting the reduction for fees paid indirectly for the period is as follows: | |
Fund | Class IA | Class IB | Class IC | |||
Balanced HLS Fund | 0.63% | 0.88% | N/A | |||
Capital Appreciation HLS Fund | 0.67% | 0.92% | 1.17% | |||
Disciplined Equity HLS Fund | 0.59% | 0.84% | 1.09% | |||
Dividend and Growth HLS Fund | 0.65% | 0.90% | N/A | |||
Healthcare HLS Fund | 0.92% | 1.17% | N/A | |||
International Opportunities HLS Fund | 0.76% | 1.01% | N/A | |||
MidCap HLS Fund | 0.73% | 0.98% | N/A | |||
Small Cap Growth HLS Fund | 0.65% | 0.90% | N/A | |||
Small Company HLS Fund | 0.80% | 1.05% | N/A | |||
Stock HLS Fund | 0.51% | 0.76% | N/A | |||
Total Return Bond HLS Fund | 0.50% | 0.75% | N/A | |||
Ultrashort Bond HLS Fund | 0.44% | 0.69% | N/A |
e) | Distribution Plans for Class IB and Class IC Shares – Hartford Funds Distributors, LLC ("HFD"), an indirect subsidiary of The Hartford, is the principal underwriter and distributor of each Fund. Each Company, on behalf of its respective Funds, has adopted a Distribution Plan pursuant to Rule 12b-1 of the 1940 Act for Class IB shares and Hartford Series Fund, Inc. on behalf of certain Funds, has adopted a Distribution Plan pursuant to Rule 12b-1 of the 1940 Act for Class IC shares. |
134 |
December 31, 2023
Pursuant to the Class IB Distribution Plans, a Fund may pay HFD a fee of up to 0.25% of the average daily net assets of the Fund attributable to its Class IB shares for distribution financing activities and shareholder account servicing activities. The entire amount of the fee may be used for shareholder servicing expenses and/or distribution expenses. Pursuant to the Class IC Distribution Plans, a Fund may pay HFD a fee of up to 0.25% of the average daily net assets of the Fund attributable to its Class IC shares for distribution financing activities. | |
Each Board has the authority to suspend or reduce these payments at any point in time. The distribution fees paid during the period can be found on the Statements of Operations. Each Fund's 12b-1 fees are accrued daily and paid monthly or at such other intervals as the respective Company's Board of Directors may determine. |
f) | Administrative Services Fee for Class IC Shares – Certain Funds may pay an administrative services fee to third party insurance companies annually up to 0.25% of the average daily net assets of the Fund attributable to its Class IC shares for recordkeeping and/or other administrative services provided to such Class IC shares. The total administrative services fees paid during the period are shown on the Statements of Operations. These fees are accrued daily and paid monthly. |
g) | Other Related Party Transactions – Certain officers of each Company are directors and/or officers of HFMC and/or The Hartford or its subsidiaries. For the year ended December 31, 2023, a portion of each Company’s Chief Compliance Officer’s ("CCO") compensation was paid by all of the investment companies in the Hartford fund complex. The portion allocated to each Fund, as represented in "Other expenses" on the Statements of Operations, is outlined in the table below. |
Fund | CCO Compensation Paid by Fund | |
Balanced HLS Fund | $ 3,816 | |
Capital Appreciation HLS Fund | 7,959 | |
Disciplined Equity HLS Fund | 5,927 | |
Dividend and Growth HLS Fund | 7,609 | |
Healthcare HLS Fund | 322 | |
International Opportunities HLS Fund | 1,981 | |
MidCap HLS Fund | 2,636 | |
Small Cap Growth HLS Fund | 1,664 | |
Small Company HLS Fund | 953 | |
Stock HLS Fund | 3,029 | |
Total Return Bond HLS Fund | 3,933 | |
Ultrashort Bond HLS Fund | 1,308 |
Fund | Class IA | Class IB | Class IC | |||
Balanced HLS Fund | 0.00%* | 0.00%* | N/A | |||
Capital Appreciation HLS Fund | 0.00%* | 0.00%* | 0.00%* | |||
Disciplined Equity HLS Fund | 0.00%* | 0.00%* | 0.00%* | |||
Dividend and Growth HLS Fund | 0.00%* | 0.00%* | N/A | |||
Healthcare HLS Fund | 0.00%* | 0.00%* | N/A | |||
International Opportunities HLS Fund | 0.00%* | 0.00%* | N/A | |||
MidCap HLS Fund | 0.00%* | 0.00%* | N/A | |||
Small Cap Growth HLS Fund | 0.00%* | 0.00%* | N/A | |||
Small Company HLS Fund | 0.00%* | 0.00%* | N/A | |||
Stock HLS Fund | 0.00%* | 0.00%* | N/A | |||
Total Return Bond HLS Fund | 0.00%* | 0.00%* | N/A | |||
Ultrashort Bond HLS Fund | 0.00%* | 0.00%* | N/A |
* | Percentage rounds to zero. |
135 |
December 31, 2023
8. | Securities Lending: |
Each Company has entered into a securities lending agency agreement ("lending agreement") with Citibank, N.A. ("Citibank"). A Fund may lend portfolio securities to certain borrowers in U.S. and non-U.S. markets in an amount not to exceed one-third (33 1/3%) of the value of its total assets. A Fund may lend portfolio securities, provided that the borrower provides collateral that is maintained in an amount at least equal to the current market value of the securities loaned. Cash collateral is invested for the benefit of a Fund by the Fund’s lending agent pursuant to collateral investment guidelines. The collateral is marked to market daily, in an amount at least equal to the current market value of the securities loaned. The contractual maturities of the securities lending transactions are considered overnight and continuous. | |
A Fund is subject to certain risks while its securities are on loan, including the following: (i) the risk that the borrower defaults on the loan and the collateral is inadequate to cover the Fund’s loss; (ii) the risk that the earnings on the collateral invested are not sufficient to pay fees incurred in connection with the loan; (iii) the Fund could lose money in the event of a decline in the value of the collateral provided for loaned securities or a decline in the value of any investments made with cash collateral; (iv) the risk that the borrower may use the loaned securities to cover a short sale, which may in turn place downward pressure on the market prices of the loaned securities; (v) the risk that return of loaned securities could be delayed and interfere with portfolio management decisions; (vi) the risk that any efforts to restrict or recall the securities for purposes of voting may not be effective; and (vii) operational risks (i.e., the risk of losses resulting from problems in the settlement and accounting process especially so in certain international markets). These events could also trigger adverse tax consequences for the Fund. | |
A Fund retains loan fees and the interest on cash collateral investments but is required to pay the borrower a rebate for the use of cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the applicable Fund). Upon termination of a loan, a Fund is required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. | |
The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statements of Operations as Investment Income from securities lending. A Fund also receives payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Investment Income from dividends or interest, respectively, on the Statements of Operations. | |
The following table presents for each Fund that lends its portfolio securities the market value of the securities on loan and the cash and non-cash collateral posted by the borrower as of December 31, 2023. | |
Fund | Investment Securities on Loan, at market value, Presented on the Statements of Assets and Liabilities | Cash Collateral(1) | Non-Cash Collateral(1) | |||
Balanced HLS Fund | $ 670,421 | $ 701,851 | $ — | |||
Capital Appreciation HLS Fund | 10,853,794 | 11,438,686 | — | |||
Disciplined Equity HLS Fund | — | — | — | |||
Dividend and Growth HLS Fund | 12,220,659 | 16,112,083 | — | |||
Healthcare HLS Fund | 612,390 | 631,410 | — | |||
International Opportunities HLS Fund | 1,403,784 | 1,480,458 | — | |||
MidCap HLS Fund | 106,546 | 109,000 | — | |||
Small Cap Growth HLS Fund | 6,340,632 | 6,722,774 | — | |||
Small Company HLS Fund | 2,205,196 | 2,327,133 | — | |||
Stock HLS Fund | — | — | — | |||
Total Return Bond HLS Fund | 184,460 | 192,750 | — | |||
Ultrashort Bond HLS Fund | 3,026,454 | 3,169,858 | — |
(1) | It is each Fund’s policy to obtain additional collateral from, or return excess collateral to, the borrower by the end of the next business day following the valuation date of the securities loaned. Therefore, the value of the collateral held may be temporarily less than that required under the lending contract due to timing. Pursuant to the lending agreement, the borrower will provide collateral in an amount at least equal to the current market value of securities loaned. |
136 |
December 31, 2023
9. | Investment Transactions: |
For the year ended December 31, 2023, the cost of purchases and proceeds from sales of investment securities (excluding short-term investments) were as follows: | |
Fund | Cost of Purchases Excluding U.S. Government Obligations | Sales Proceeds Excluding U.S. Government Obligations | Cost of Purchases For U.S. Government Obligations | Sales Proceeds For U.S. Government Obligations | Total Cost of Purchases | Total Sales Proceeds | ||||||
Balanced HLS Fund | $ 503,841,923 | $��672,343,074 | $ 436,469,198 | $ 447,243,144 | $ 940,311,121 | $ 1,119,586,218 | ||||||
Capital Appreciation HLS Fund | 1,688,588,598 | 2,107,268,623 | — | — | 1,688,588,598 | 2,107,268,623 | ||||||
Disciplined Equity HLS Fund | 565,592,443 | 853,406,200 | — | — | 565,592,443 | 853,406,200 | ||||||
Dividend and Growth HLS Fund | 879,041,559 | 1,175,589,735 | — | — | 879,041,559 | 1,175,589,735 | ||||||
Healthcare HLS Fund | 39,878,117 | 58,492,167 | — | — | 39,878,117 | 58,492,167 | ||||||
International Opportunities HLS Fund | 458,208,605 | 531,949,006 | — | — | 458,208,605 | 531,949,006 | ||||||
MidCap HLS Fund | 453,810,218 | 655,190,505 | — | — | 453,810,218 | 655,190,505 | ||||||
Small Cap Growth HLS Fund | 450,704,563 | 497,037,296 | — | — | 450,704,563 | 497,037,296 | ||||||
Small Company HLS Fund | 160,850,747 | 208,747,682 | — | — | 160,850,747 | 208,747,682 | ||||||
Stock HLS Fund | 111,778,794 | 229,084,653 | — | — | 111,778,794 | 229,084,653 | ||||||
Total Return Bond HLS Fund | 476,901,527 | 478,405,728 | 418,549,957 | 427,041,230 | 895,451,484 | 905,446,958 | ||||||
Ultrashort Bond HLS Fund | 254,975,870 | 273,215,738 | 60,975,822 | 19,020,429 | 315,951,692 | 292,236,167 |
10. | Capital Share Transactions: |
The following information is for the years ended December 31, 2023 and December 31, 2022: | |
For the Year Ended December 31, 2023 | For the Year Ended December 31, 2022 | ||||||
Shares | Amount | Shares | Amount | ||||
Balanced HLS Fund | |||||||
Class IA | |||||||
Shares Sold | 330,989 | $ 9,054,110 | 219,884 | $ 6,632,090 | |||
Shares Issued for Reinvested Dividends | 2,502,161 | 69,414,975 | 8,609,461 | 235,269,227 | |||
Shares Redeemed | (7,667,422) | (210,959,860) | (6,702,016) | (201,054,701) | |||
Net Increase (Decrease) | (4,834,272) | (132,490,775) | 2,127,329 | 40,846,616 | |||
Class IB | |||||||
Shares Sold | 33,899 | $ 949,396 | 62,482 | $ 2,063,006 | |||
Shares Issued for Reinvested Dividends | 298,556 | 8,456,330 | 1,086,696 | 30,348,829 | |||
Shares Redeemed | (1,045,841) | (29,337,103) | (883,907) | (26,944,643) | |||
Net Increase (Decrease) | (713,386) | (19,931,377) | 265,271 | 5,467,192 | |||
Total Net Increase (Decrease) | (5,547,658) | $ (152,422,152) | 2,392,600 | $ 46,313,808 | |||
Capital Appreciation HLS Fund | |||||||
Class IA | |||||||
Shares Sold | 473,051 | $ 20,021,492 | 478,265 | $ 21,183,735 | |||
Shares Issued for Reinvested Dividends | 1,796,937 | 78,837,685 | 11,514,100 | 462,293,161 | |||
Shares Redeemed | (9,984,492) | (427,051,346) | (8,387,017) | (373,524,847) | |||
Net Increase (Decrease) | (7,714,504) | (328,192,169) | 3,605,348 | 109,952,049 | |||
Class IB | |||||||
Shares Sold | 64,617 | $ 2,662,403 | 79,217 | $ 3,581,150 | |||
Shares Issued for Reinvested Dividends | 200,428 | 8,520,079 | 1,419,968 | 55,511,710 | |||
Shares Redeemed | (1,371,172) | (56,730,261) | (1,222,050) | (53,739,530) | |||
Net Increase (Decrease) | (1,106,127) | (45,547,779) | 277,135 | 5,353,330 | |||
Class IC | |||||||
Shares Sold | 14,723 | $ 617,165 | 20,134 | $ 870,523 | |||
Shares Issued for Reinvested Dividends | 6,980 | 296,738 | 116,731 | 4,579,357 | |||
Shares Redeemed | (57,612) | (2,424,643) | (549,701) | (22,055,453) | |||
Net Increase (Decrease) | (35,909) | (1,510,740) | (412,836) | (16,605,573) | |||
Total Net Increase (Decrease) | (8,856,540) | $ (375,250,688) | 3,469,647 | $ 98,699,806 |
137 |
December 31, 2023
For the Year Ended December 31, 2023 | For the Year Ended December 31, 2022 | ||||||
Shares | Amount | Shares | Amount | ||||
Disciplined Equity HLS Fund | |||||||
Class IA | |||||||
Shares Sold | 1,003,054 | $ 16,899,096 | 1,053,612 | $ 18,127,590 | |||
Shares Issued for Reinvested Dividends | 1,830,969 | 33,301,220 | 9,490,549 | 157,383,630 | |||
Shares Redeemed | (16,274,982) | (280,156,696) | (15,060,986) | (265,431,648) | |||
Net Increase (Decrease) | (13,440,959) | (229,956,380) | (4,516,825) | (89,920,428) | |||
Class IB | |||||||
Shares Sold | 641,095 | $ 10,655,506 | 225,041 | $ 3,936,722 | |||
Shares Issued for Reinvested Dividends | 191,373 | 3,393,798 | 1,186,882 | 19,344,478 | |||
Shares Redeemed | (3,088,023) | (51,869,515) | (2,609,863) | (45,206,359) | |||
Net Increase (Decrease) | (2,255,555) | (37,820,211) | (1,197,940) | (21,925,159) | |||
Class IC | |||||||
Shares Sold | 63,911 | $ 1,116,155 | 65,269 | $ 1,213,062 | |||
Shares Issued for Reinvested Dividends | 33,253 | 593,693 | 252,005 | 4,180,932 | |||
Shares Redeemed | (663,616) | (11,375,899) | (594,398) | (10,422,924) | |||
Net Increase (Decrease) | (566,452) | (9,666,051) | (277,124) | (5,028,930) | |||
Total Net Increase (Decrease) | (16,262,966) | $ (277,442,642) | (5,991,889) | $ (116,874,517) | |||
Dividend and Growth HLS Fund | |||||||
Class IA | |||||||
Shares Sold | 4,494,734 | $ 100,289,824 | 2,440,332 | $ 60,072,245 | |||
Shares Issued for Reinvested Dividends | 14,145,906 | 304,312,836 | 17,111,680 | 385,201,370 | |||
Shares Redeemed | (17,777,058) | (396,753,813) | (16,574,436) | (410,801,466) | |||
Net Increase (Decrease) | 863,582 | 7,848,847 | 2,977,576 | 34,472,149 | |||
Class IB | |||||||
Shares Sold | 531,618 | $ 11,962,694 | 336,645 | $ 8,222,143 | |||
Shares Issued for Reinvested Dividends | 1,752,329 | 37,252,934 | 2,181,673 | 48,643,796 | |||
Shares Redeemed | (2,747,117) | (60,682,299) | (2,378,170) | (58,321,820) | |||
Net Increase (Decrease) | (463,170) | (11,466,671) | 140,148 | (1,455,881) | |||
Total Net Increase (Decrease) | 400,412 | $ (3,617,824) | 3,117,724 | $ 33,016,268 | |||
Healthcare HLS Fund | |||||||
Class IA | |||||||
Shares Sold | 443,435 | $ 6,991,320 | 330,069 | $ 5,869,382 | |||
Shares Issued for Reinvested Dividends | 125,905 | 1,980,484 | 1,893,418 | 28,988,229 | |||
Shares Redeemed | (1,442,733) | (22,801,995) | (1,704,922) | (31,464,215) | |||
Net Increase (Decrease) | (873,393) | (13,830,191) | 518,565 | 3,393,396 | |||
Class IB | |||||||
Shares Sold | 57,081 | $ 788,866 | 47,033 | $ 760,962 | |||
Shares Issued for Reinvested Dividends | 38,468 | 532,405 | 605,182 | 8,169,954 | |||
Shares Redeemed | (337,821) | (4,654,851) | (243,296) | (4,073,552) | |||
Net Increase (Decrease) | (242,272) | (3,333,580) | 408,919 | 4,857,364 | |||
Total Net Increase (Decrease) | (1,115,665) | $ (17,163,771) | 927,484 | $ 8,250,760 | |||
International Opportunities HLS Fund | |||||||
Class IA | |||||||
Shares Sold | 2,929,809 | $ 42,214,909 | 2,701,606 | $ 43,715,504 | |||
Shares Issued for Reinvested Dividends | 659,130 | 9,247,593 | 11,991,680 | 160,928,347 | |||
Shares Redeemed | (8,710,915) | (125,239,364) | (8,230,906) | (131,059,144) | |||
Net Increase (Decrease) | (5,121,976) | (73,776,862) | 6,462,380 | 73,584,707 | |||
Class IB | |||||||
Shares Sold | 143,998 | $ 2,108,159 | 255,274 | $ 4,019,090 | |||
Shares Issued for Reinvested Dividends | 49,812 | 713,800 | 1,197,612 | 16,407,281 | |||
Shares Redeemed | (964,939) | (14,205,036) | (722,909) | (11,760,083) | |||
Net Increase (Decrease) | (771,129) | (11,383,077) | 729,977 | 8,666,288 | |||
Total Net Increase (Decrease) | (5,893,105) | $ (85,159,939) | 7,192,357 | $ 82,250,995 |
138 |
December 31, 2023
For the Year Ended December 31, 2023 | For the Year Ended December 31, 2022 | ||||||
Shares | Amount | Shares | Amount | ||||
MidCap HLS Fund | |||||||
Class IA | |||||||
Shares Sold | 2,161,425 | $ 57,430,387 | 1,926,333 | $ 60,792,609 | |||
Shares Issued for Reinvested Dividends | 2,997,228 | 75,946,142 | 7,357,221 | 198,350,672 | |||
Shares Redeemed | (9,184,929) | (245,433,066) | (17,288,434) | (534,589,256) | |||
Net Increase (Decrease) | (4,026,276) | (112,056,537) | (8,004,880) | (275,445,975) | |||
Class IB | |||||||
Shares Sold | 105,589 | $ 2,657,751 | 98,754 | $ 2,831,304 | |||
Shares Issued for Reinvested Dividends | 285,432 | 6,787,836 | 620,163 | 15,789,357 | |||
Shares Redeemed | (469,063) | (11,725,391) | (465,863) | (13,509,976) | |||
Net Increase (Decrease) | (78,042) | (2,279,804) | 253,054 | 5,110,685 | |||
Total Net Increase (Decrease) | (4,104,318) | $ (114,336,341) | (7,751,826) | $ (270,335,290) | |||
Small Cap Growth HLS Fund | |||||||
Class IA | |||||||
Shares Sold | 1,944,732 | $ 45,345,538 | 3,682,957 | $ 101,103,808 | |||
Shares Issued for Reinvested Dividends | — | — | 6,286,971 | 145,857,718 | |||
Shares Redeemed | (3,863,762) | (90,872,333) | (17,409,584) | (418,561,213) | |||
Net Increase (Decrease) | (1,919,030) | (45,526,795) | (7,439,656) | (171,599,687) | |||
Class IB | |||||||
Shares Sold | 826,265 | $ 18,140,999 | 1,507,838 | $ 38,630,264 | |||
Shares Issued for Reinvested Dividends | — | — | 1,500,636 | 32,638,843 | |||
Shares Redeemed | (1,160,707) | (25,336,427) | (1,118,910) | (27,983,740) | |||
Net Increase (Decrease) | (334,442) | (7,195,428) | 1,889,564 | 43,285,367 | |||
Total Net Increase (Decrease) | (2,253,472) | $ (52,722,223) | (5,550,092) | $ (128,314,320) | |||
Small Company HLS Fund | |||||||
Class IA | |||||||
Shares Sold | 1,007,689 | $ 14,341,000 | 1,044,667 | $ 18,816,229 | |||
Shares Issued for Reinvested Dividends | — | — | 5,781,510 | 84,063,157 | |||
Shares Redeemed | (4,223,323) | (60,681,730) | (2,885,740) | (50,472,696) | |||
Net Increase (Decrease) | (3,215,634) | (46,340,730) | 3,940,437 | 52,406,690 | |||
Class IB | |||||||
Shares Sold | 178,421 | $ 2,121,850 | 207,806 | $ 3,015,152 | |||
Shares Issued for Reinvested Dividends | — | — | 807,532 | 9,738,834 | |||
Shares Redeemed | (498,957) | (5,834,193) | (458,458) | (6,830,280) | |||
Net Increase (Decrease) | (320,536) | (3,712,343) | 556,880 | 5,923,706 | |||
Total Net Increase (Decrease) | (3,536,170) | $ (50,053,073) | 4,497,317 | $ 58,330,396 | |||
Stock HLS Fund | |||||||
Class IA | |||||||
Shares Sold | 79,681 | $ 7,536,323 | 116,363 | $ 12,078,931 | |||
Shares Issued for Reinvested Dividends | 810,289 | 75,334,720 | 1,608,971 | 152,615,340 | |||
Shares Redeemed | (1,630,067) | (154,860,279) | (1,498,739) | (152,487,895) | |||
Net Increase (Decrease) | (740,097) | (71,989,236) | 226,595 | 12,206,376 | |||
Class IB | |||||||
Shares Sold | 14,367 | $ 1,340,649 | 30,369 | $ 3,110,138 | |||
Shares Issued for Reinvested Dividends | 70,725 | 6,552,438 | 145,284 | 13,746,384 | |||
Shares Redeemed | (174,534) | (16,536,596) | (191,911) | (19,754,487) | |||
Net Increase (Decrease) | (89,442) | (8,643,509) | (16,258) | (2,897,965) | |||
Total Net Increase (Decrease) | (829,539) | $ (80,632,745) | 210,337 | $ 9,308,411 | |||
Total Return Bond HLS Fund | |||||||
Class IA | |||||||
Shares Sold | 15,176,034 | $ 142,684,898 | 10,735,180 | $ 108,243,934 | |||
Shares Issued for Reinvested Dividends | 6,106,117 | 55,199,293 | 7,581,322 | 72,553,256 | |||
Shares Redeemed | (23,541,416) | (219,847,805) | (27,849,075) | (277,496,565) | |||
Net Increase (Decrease) | (2,259,265) | (21,963,614) | (9,532,573) | (96,699,375) |
139 |
December 31, 2023
For the Year Ended December 31, 2023 | For the Year Ended December 31, 2022 | ||||||
Shares | Amount | Shares | Amount | ||||
Class IB | |||||||
Shares Sold | 531,491 | $ 4,956,536 | 440,393 | $ 4,433,973 | |||
Shares Issued for Reinvested Dividends | 592,611 | 5,333,502 | 796,697 | 7,592,523 | |||
Shares Redeemed | (2,673,019) | (24,801,905) | (3,401,588) | (33,673,062) | |||
Net Increase (Decrease) | (1,548,917) | (14,511,867) | (2,164,498) | (21,646,566) | |||
Total Net Increase (Decrease) | (3,808,182) | $ (36,475,481) | (11,697,071) | $ (118,345,941) | |||
Ultrashort Bond HLS Fund | |||||||
Class IA | |||||||
Shares Sold | 2,730,430 | $ 27,707,145 | 3,581,498 | $ 35,571,225 | |||
Shares Issued for Reinvested Dividends | 646,911 | 6,533,801 | 128,217 | 1,268,070 | |||
Shares Redeemed | (9,506,009) | (96,390,807) | (11,136,975) | (110,402,716) | |||
Net Increase (Decrease) | (6,128,668) | (62,149,861) | (7,427,260) | (73,563,421) | |||
Class IB | |||||||
Shares Sold | 738,435 | $ 7,486,454 | 1,255,473 | $ 12,452,602 | |||
Shares Issued for Reinvested Dividends | 77,828 | 786,067 | — | — | |||
Shares Redeemed | (1,895,524) | (19,186,563) | (2,595,085) | (25,698,791) | |||
Net Increase (Decrease) | (1,079,261) | (10,914,042) | (1,339,612) | (13,246,189) | |||
Total Net Increase (Decrease) | (7,207,929) | $ (73,063,903) | (8,766,872) | $ (86,809,610) |
11. | Line of Credit: |
Each Fund participates in a committed line of credit pursuant to a credit agreement dated March 2, 2023. Each Fund may borrow under the line of credit for temporary or emergency purposes. The Funds (together with certain other Hartford Funds) may borrow up to $350 million in the aggregate, subject to asset coverage and other limitations specified in the credit agreement. The interest rate on borrowings varies depending on the nature of the loan. The facility also charges certain fees, such as a commitment fee. From January 1, 2022 through March 2, 2023, the Funds (together with certain other Hartford Funds) had a similar agreement that enabled them to participate in a $350 million committed line of credit. The fees incurred by the Funds in connection with the committed lines of credit during the period appear in the Statements of Operations under "Other expenses." During and as of the year ended December 31, 2023, none of the Funds had borrowings under these facilities. |
12. | Indemnifications: |
Under each Company’s organizational documents, the Company shall indemnify its officers and directors to the full extent required or permitted under Maryland General Corporation Law and federal securities laws. In addition, each Company, on behalf of its respective Funds, may enter into contracts that contain a variety of indemnifications. Each Company’s maximum exposure under these arrangements is unknown. However, as of the date of these financial statements, each Company has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote. |
13. | Regulatory Update: |
The SEC adopted rule and form amendments that will change the format and content of the Funds' annual and semi-annual reports. Certain information, including the financial statements, will not appear in the Funds' new tailored shareholder reports but will be available online, delivered free of charge upon request, and filed on a semi-annual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. At this time, Management is evaluating with the SEC impact of these rule and form amendment changes. |
14. | Subsequent Events: |
In connection with the preparation of the financial statements of the Funds as of and for the year ended December 31, 2023, events and transactions subsequent to December 31, 2023, through the date the financial statements were issued have been evaluated by the Funds’ management for possible adjustment and/or disclosure. | |
At a meeting held February 13-14, 2024, the Board of Directors of Hartford HLS Series Fund II, Inc. approved the reorganization of Hartford Small Cap Growth HLS Fund (the “Existing Fund”), a series of Hartford HLS Series Fund II, Inc., into a newly created “shell” series of Hartford Series Fund, Inc. (the “Shell Fund”). The Shell Fund will be identical to the Existing Fund, except for its registrant. It is anticipated that immediately |
140 |
December 31, 2023
141 |
142 |
NAME, YEAR OF BIRTH AND ADDRESS(1) | POSITION HELD WITH EACH COMPANY | TERM OF OFFICE(2) AND LENGTH OF TIME SERVED | PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS | NUMBER OF PORTFOLIOS IN FUND COMPLEX(3) OVERSEEN BY DIRECTOR | OTHER DIRECTORSHIPS FOR PUBLIC COMPANIES AND OTHER REGISTERED INVESTMENT COMPANIES HELD BY DIRECTOR | |||||
NON-INTERESTED DIRECTORS | ||||||||||
HILARY E. ACKERMANN (1956) | Director | Since 2014 | Ms. Ackermann served as Chief Risk Officer at Goldman Sachs Bank USA from October 2008 to November 2011. | 83 | Ms. Ackermann served as a Director of Dynegy, Inc. from October 2012 until its acquisition by Vistra Energy Corporation ("Vistra") in 2018, and since that time she has served as a Director of Vistra. Ms. Ackermann serves as a Director of Credit Suisse Holdings (USA), Inc. from January 2017 to December 2022. | |||||
ROBIN C. BEERY (1967) | Director | Since 2017 | Ms. Beery has served as a consultant to ArrowMark Partners (an alternative asset manager) since March 2015 and since November 2018 has been employed by ArrowMark Partners as a Senior Advisor. Previously, she was Executive Vice President, Head of Distribution, for Janus Capital Group, and Chief Executive Officer and President of the Janus Mutual Funds (a global asset manager) from September 2009 to August 2014. | 83 | Ms. Beery serves as an independent Director of UMB Financial Corporation (January 2015 to present), has chaired the Compensation Committee since April 2017, and has been a member of the Compensation Committee and the Risk Committee since January 2015. | |||||
DERRICK D. CEPHAS (1952) | Director | Since 2020 | Mr. Cephas currently serves as Of Counsel to Squire Patton Boggs LLP, an international law firm with 45 offices in 20 countries. Until his retirement in October 2020, Mr. Cephas was a Partner of Weil, Gotshal & Manges LLP, an international law firm headquartered in New York, where he served as the Head of the Financial Institutions Practice (April 2011 to October 2020). | 83 | Mr. Cephas currently serves as a Director of Claros Mortgage Trust, Inc., a real estate investment trust and is a member of the Compensation Committee and the Nominating and Governance Committee. | |||||
CHRISTINE R. DETRICK (1958) | Director and Chair of the Board | Director since 2016; Chair of the Board since 2021 | From 2002 until 2012, Ms. Detrick was a Senior Partner, Leader of the Financial Services Practice, and a Senior Advisor at Bain & Company (“Bain”). Before joining Bain, she served in various senior management roles for other financial services firms and was a consultant at McKinsey and Company. | 83 | Ms. Detrick currently serves as a Director of Charles River Associates (May 2020 to present); currently serves as a Director of Capital One Financial Corporation (since November 2021); and currently serves as a Director and Chair of Altus Power, Inc (since December 2021). |
143 |
NAME, YEAR OF BIRTH AND ADDRESS(1) | POSITION HELD WITH EACH COMPANY | TERM OF OFFICE(2) AND LENGTH OF TIME SERVED | PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS | NUMBER OF PORTFOLIOS IN FUND COMPLEX(3) OVERSEEN BY DIRECTOR | OTHER DIRECTORSHIPS FOR PUBLIC COMPANIES AND OTHER REGISTERED INVESTMENT COMPANIES HELD BY DIRECTOR | |||||
JOHN J. GAUTHIER (1961) | Director | Since 2022 | Mr. Gauthier currently is the Principal Owner of JJG Advisory, LLC, an investment consulting firm, and Co-Founder and Principal Owner of Talcott Capital Partners (a placement agent for investment managers serving insurance companies). From 2008 to 2018, Mr. Gauthier served as a Senior Vice President (2008-2010), Executive Vice President (2010-2012), and President (2012-2018) of Allied World Assurance, LTD, AG (a global provider of property, casualty and specialty insurance and reinsurance solutions). | 83 | Mr. Gauthier serves as a Director of Reinsurance Group of America, Inc. (from 2018 to present); currently serves as a Director of Hamilton Insurance Group, Ltd. (October 2023 to present); and chairs the Investment Committee and is a member of the Audit and Risk Committees. | |||||
ANDREW A. JOHNSON (1962) | Director | Since 2020 | Mr. Johnson currently serves as a Diversity and Inclusion Advisor at Neuberger Berman, a private, global investment management firm. Prior to his current role, Mr. Johnson served as Chief Investment Officer and Head of Global Investment Grade Fixed Income at Neuberger Berman (January 2009 to December 2018). | 83 | Mr. Johnson currently serves as a Director of AGNC Investment Corp., a real estate investment trust. | |||||
PAUL L. ROSENBERG (1953) | Director | Since 2020 | Mr. Rosenberg is a Partner of The Bridgespan Group, a global nonprofit consulting firm that is a social impact advisor to nonprofits, non-governmental organizations, philanthropists and institutional investors (October 2007 to present). | 83 | None | |||||
DAVID SUNG (1953) | Director | Since 2017 | Mr. Sung was a Partner at Ernst & Young LLP from October 1995 to July 2014. | 83 | Mr. Sung serves as a Trustee of Ironwood Institutional Multi-Strategy Fund, LLC and Ironwood Multi-Strategy Fund, LLC (October 2015 to present). | |||||
OFFICERS AND INTERESTED DIRECTOR | ||||||||||
JAMES E. DAVEY(4) (1964) | Director, President and Chief Executive Officer | President and Chief Executive Officer since 2010; Director since 2012 | Mr. Davey serves as Executive Vice President of The Hartford Financial Services Group, Inc. Mr. Davey has served in various positions within The Hartford and its subsidiaries and joined The Hartford in 2002. Additionally, Mr. Davey serves as Director, Chairman, President, and Senior Managing Director for Hartford Funds Management Group, Inc. ("HFMG"). Mr. Davey also serves as President, Manager, Chairman of the Board, and Senior Managing Director for Hartford Funds Management Company, LLC (“HFMC”); Manager, Chairman of the Board, and President of Lattice Strategies LLC (“Lattice”); Chairman of the Board, Manager, and Senior Managing Director of Hartford Funds Distributors, LLC (“HFD”); and Chairman of the Board, President and Senior Managing Director of Hartford Administrative Services Company (“HASCO”), each of which is an affiliate of HFMG. | 83 | None | |||||
AMY N. FURLONG (1979) | Vice President | Since 2018 | Ms. Furlong serves as Vice President and Assistant Treasurer of HFMC (since September 2019). From 2018 through March 15, 2021, Ms. Furlong served as the Treasurer of the Company and resumed her position as Treasurer from January 9, 2023 through September 10, 2023. Ms. Furlong has served in various positions within The Hartford and its subsidiaries in connection with the operation of the Hartford Funds. Ms. Furlong joined The Hartford in 2004. | N/A | N/A |
144 |
NAME, YEAR OF BIRTH AND ADDRESS(1) | POSITION HELD WITH EACH COMPANY | TERM OF OFFICE(2) AND LENGTH OF TIME SERVED | PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS | NUMBER OF PORTFOLIOS IN FUND COMPLEX(3) OVERSEEN BY DIRECTOR | OTHER DIRECTORSHIPS FOR PUBLIC COMPANIES AND OTHER REGISTERED INVESTMENT COMPANIES HELD BY DIRECTOR | |||||
WALTER F. GARGER (1965) | Vice President and Chief Legal Officer | Since 2016 | Mr. Garger serves as Secretary, Managing Director and General Counsel of HFMG, HFMC, HFD, and HASCO (since 2013). Mr. Garger also serves as Secretary and General Counsel of Lattice (since July 2016). Mr. Garger has served in various positions within The Hartford and its subsidiaries in connection with the operation of the Hartford Funds. Mr. Garger joined The Hartford in 1995. | N/A | N/A | |||||
THEODORE J. LUCAS (1966) | Vice President | Since 2017 | Mr. Lucas serves as Executive Vice President of HFMG (since July 2016) and as Executive Vice President of Lattice (since June 2017). Previously, Mr. Lucas served as Managing Partner of Lattice (2003 to 2016). | N/A | N/A | |||||
JOSEPH G. MELCHER (1973) | Vice President, Chief Compliance Officer and AML Compliance Officer | Vice President and Chief Compliance Officer since 2013; AML Compliance Officer since August 1, 2022 | Mr. Melcher serves as Executive Vice President of HFMG and HASCO (since December 2013). Mr. Melcher also serves as Executive Vice President (since December 2013) and Chief Compliance Officer (since December 2012) of HFMC, serves as Executive Vice President and Chief Compliance Officer of Lattice (since July 2016), serves as Executive Vice President of HFD (since December 2013), and has served as President and Chief Executive Officer of HFD (from April 2018 to June 2019). | N/A | N/A | |||||
VERNON J. MEYER (1964) | Vice President | Since 2006 | Mr. Meyer serves as Managing Director and Chief Investment Officer of HFMC and Managing Director of HFMG (since 2013). Mr. Meyer also serves as Senior Vice President-Investments of Lattice (since March 2019). Mr. Meyer has served in various positions within The Hartford and its subsidiaries in connection with the operation of the Hartford Funds. Mr. Meyer joined The Hartford in 2004. | N/A | N/A | |||||
ALICE A. PELLEGRINO (1960) | Vice President and Assistant Secretary | Since 2016 | Ms. Pellegrino is Deputy General Counsel for HFMG (since April 2022) and currently serves as Vice President of HFMG (since December 2013). Ms. Pellegrino also serves as Vice President and Assistant Secretary of Lattice (since June 2017). Ms. Pellegrino has served in various positions within The Hartford and its subsidiaries in connection with the operation of the Hartford Funds. Ms. Pellegrino joined The Hartford in 2007. | N/A | N/A | |||||
ANKIT PURI (1984) | Vice President and Treasurer | Effective September 11, 2023 | Effective September 11, 2023, Mr. Puri serves as Vice President and Treasurer of each Company. Prior to joining HFMC in 2023, Mr. Puri was a Fund Accounting Director, Investment Management Services, at SEI Investments (July 2021 through August 2023), an Associate Director, Fund Accounting Policy at The Vanguard Group (September 2020 to June 2021), and served in various positions at Ernst & Young LLP (October 2014 through September 2020). | N/A | N/A | |||||
THOMAS R. PHILLIPS (1960) | Vice President and Secretary | Since 2017 | Mr. Phillips is Deputy General Counsel for HFMG and currently serves as a Senior Vice President (since June 2021) and Assistant Secretary (since June 2017) for HFMG. Mr. Phillips also serves as Vice President of HFMC (since June 2021). Prior to joining HFMG in 2017, Mr. Phillips was a Director and Chief Legal Officer of Saturna Capital Corporation from 2014–2016. Prior to that, Mr. Phillips was a Partner and Deputy General Counsel of Lord, Abbett & Co. LLC. | N/A | N/A |
(1) | The address for each officer and Director is c/o Hartford Funds 690 Lee Road, Wayne, Pennsylvania 19087. |
(2) | Term of Office: Each Director holds an indefinite term until his or her retirement, resignation, removal, or death. Directors generally must retire no later than December 31 of the year in which the Director turns 75 years of age. Each Fund officer generally serves until his or her resignation, removal, or death. |
(3) | The portfolios of the “Fund Complex” are the Hartford Schroders Private Opportunities Fund and the operational series of The Hartford Mutual Funds, Inc., The Hartford Mutual Funds II, Inc., Hartford Series Fund, Inc., Hartford HLS Series Fund II, Inc., Lattice Strategies Trust, and Hartford Funds Exchange-Traded Trust. |
(4) | “Interested person,” as defined in the 1940 Act, of each Company because of the person’s affiliation with, or equity ownership of, HFMC, HFD or affiliated companies. |
145 |
146 |
147 |
148 |
149 |
150 |
• | The Board noted that the Fund’s performance was in the 1st quintile versus its peer universe for the 1- and 5-year periods and the 2nd quintile for the 3-year period. The Board also noted that the Fund’s performance was above its custom blended benchmark for the 1- and 3-year periods and in line with its benchmark for the 5-year period. |
• | The Board noted that the Fund’s contractual management fee and actual management fee were in the 4th quintile of its expense group and its total expenses were in the 2nd quintile. The Board noted that HFMC had voluntarily agreed to waive a portion of its management fee for the Fund. |
• | The Board noted that the Fund’s performance was in the 1st quintile versus its peer universe for the 1-year period and the 4th quintile for the 3- and 5-year periods. The Board also noted that the Fund’s performance was above its benchmark for the 1-year period and below its benchmark for the 3- and 5-year periods. |
• | The Board noted that the Fund’s contractual management fee, actual management fee, and total expenses were in the 2nd quintile of its expense group. |
• | The Board noted that the Fund’s performance was in the 4th quintile versus its peer universe for the 1-year period and the 3rd quintile for the 3- and 5-year periods. The Board also noted that the Fund’s performance was below its benchmark for the 1-, 3- and 5-year periods. The Board noted upcoming changes to the Fund’s portfolio management team. |
• | The Board noted that the Fund’s contractual management fee, actual management fee and its total expenses were in the 2nd quintile of its expense group. |
151 |
• | The Board noted that the Fund’s performance was in the 5th quintile versus its peer universe for the 1-year period, the 2nd quintile for the 3-year period, and the 1st quintile for the 5-year period. The Board also noted that the Fund’s performance was in line with its benchmark for the 1-year period, above its benchmark for the 3-year period, and below its benchmark for the 5-year period. The Board noted recent changes to the Fund’s portfolio management team. |
• | The Board noted that the Fund’s contractual management fee and actual management fee were in the 4th quintile of its expense group and its total expenses were in the 3rd quintile. |
• | The Board noted that the Fund’s performance was in the 4th quintile versus its peer universe for the 1-, 3- and 5-year periods. The Board also noted that the Fund’s performance was below its benchmark for the 1-, 3- and 5-year periods. The Board noted recent changes to the Fund’s portfolio management team. |
• | The Board noted that the Fund’s contractual management fee and its total expenses were in the 2nd quintile, while its actual management fee was in the 4th quintile. |
• | The Board noted that the Fund’s performance was in the 4th quintile versus its peer universe for the 1- and 5-year periods and the 1st quintile for the 3-year period. The Board also noted that the Fund’s performance was below its benchmark for the 1-year period, above its benchmark for the 3-year period, and in line with its benchmark for the 5-year period. The Board noted upcoming changes to the Fund’s portfolio management team. |
• | The Board noted that the Fund’s contractual management fee, actual management fee and total expenses were in the 1st quintile of its expense group. |
• | The Board noted that the Fund’s performance was in the 4th quintile versus its peer universe for the 1- and 3-year periods and the 5th quintile for the 5-year period. The Board also noted that the Fund’s performance was below its benchmark for the 1-, 3- and 5-year periods. |
• | The Board noted that the Fund’s contractual management fee and actual management fee were in the 2nd quintile of its expense group, while its total expenses were in the 1st quintile. |
• | The Board noted that the Fund’s performance was in the 3rd quintile versus its peer universe for the 1-year period and the 5th quintile for the 3- and 5-year periods. The Board also noted that the Fund’s performance was below its benchmark for the 1- and 3-year periods and in line with its benchmark for the 5-year period. The Board noted upcoming changes to the Fund’s portfolio management team. |
• | The Board noted that the Fund’s contractual management fee, actual management fee, and total expenses were in the 1st quintile of its expense group. |
• | The Board noted that the Fund’s performance was in the 5th quintile versus its peer universe for the 1-year period, the 4th quintile for the 3-year period, and the 2nd quintile for the 5-year period. The Board also noted that the Fund’s performance was below its benchmark for the 1-year period and above its benchmark for the 3- and 5-year periods. The Board noted recent changes to the Fund’s portfolio management team. |
• | The Board noted that the Fund’s contractual management fee and total expenses were in the 1st quintile of its expense group, while its actual management fee was in the 2nd quintile. |
152 |
• | The Board noted that the Fund’s performance was in the 2nd quintile versus its peer universe for the 1-year period, the 3rd quintile for the 3-year period, and the 1st quintile for the 5-year period. The Board also noted that the Fund’s performance was above its benchmark for the 1- and 5-year periods and below its benchmark for the 3-year period. |
• | The Board noted that the Fund’s contractual management fee and actual management fee were in the 1st quintile while its total expenses were in the 2nd quintile of its expense group. |
• | The Board noted that the Fund’s performance was in the 2nd quintile versus its peer universe for the 1-year period and the 1st quintile for the 3- and 5-year periods. The Board also noted that the Fund’s performance was in line with its benchmark for the 1- and 5-year periods and above its benchmark for the 3-year period. |
• | The Board noted that the Fund’s contractual management fee, actual management fee, and its total expenses were in the 3rd quintile of its expense group. |
• | The Board noted that the Fund’s performance was in the 2nd quintile versus its peer universe for the 1-year period and the 1st quintile for the 3- and 5-year periods. The Board also noted that the Fund’s performance was in line with its benchmark for the 1-, 3- and 5-year periods. The Board noted recent and upcoming changes to the Fund’s portfolio management team. |
• | The Board noted that the Fund’s contractual management fee, actual management fee and total expenses were in the 2nd quintile of its expense group. |
153 |
a) | management; |
b) | use; and |
c) | protection; |
a) | service your Transactions with us; and |
b) | support our business functions. |
a) | You; |
b) | your Transactions with us; and |
c) | third parties such as a consumer-reporting agency. |
a) | your name; |
b) | your address; |
c) | your income; |
d) | your payment; or |
e) | your credit history; |
a) | our insurance companies; |
b) | our employee agents; |
c) | our brokerage firms; and |
d) | our administrators. |
a) | market our products; or |
b) | market our services; |
a) | independent agents; |
b) | brokerage firms; |
c) | insurance companies; |
d) | administrators; and |
e) | service providers; |
a) | taking surveys; |
b) | marketing our products or services; or |
c) | offering financial products or services under a joint agreement |
a) | cookies; |
b) | pixel tagging; or |
c) | other technologies; |
a) | “opt-out;” or |
b) | “opt-in;” |
a) | your authorization; or |
b) | as otherwise allowed or required by law. |
a) | underwriting policies; |
b) | paying claims; |
c) | developing new products; or |
d) | advising customers of our products and services. |
a) | the confidentiality; and |
b) | the integrity of; |
a) | secured files; |
b) | user authentication; |
c) | encryption; |
d) | firewall technology; and |
e) | the use of detection software. |
a) | identify information to be protected; |
b) | provide an adequate level of protection for that data; and |
c) | grant access to protected data only to those people who must use |
a) | credit history; |
b) | income; |
c) | financial benefits; or |
d) | policy or claim information. |
a) | your medical records; or |
b) | information about your illness, disability or injury. |
a) | Personal Financial Information; and |
b) | Personal Health Information. |
a) | your Application; |
b) | your request for us to pay a claim; and |
c) | your request for us to take an action on your account. |
a) | asking about; |
b) | applying for; or |
c) | obtaining; |
(b) Not applicable
Item 2. Code of Ethics.
The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description. The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions. A copy of the code of ethics is filed herewith.
Item 3. Audit Committee Financial Expert.
The Board of Directors of the registrant (the “Board”) has designated David Sung as an Audit Committee Financial Expert. Mr. Sung is considered by the Board to be an independent director.
Item 4. Principal Accountant Fees and Services.
(a) | Audit Fees: The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the 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 were: |
$274,352 for the fiscal year ended December 31, 2022; $314,046 for the fiscal year ended December 31, 2023.
(b) | Audit Related Fees: The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item were: |
$0 for the fiscal year ended December 31, 2022; $0 for the fiscal year ended December 31, 2023.
(c) | Tax Fees: The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning were: |
$50,677 for the fiscal year ended December 31, 2022; $50,677 for the fiscal year ended December 31, 2023. Tax-related services were principally in connection with, but not limited to, general tax services and excise tax services.
(d) | All Other Fees: The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item were: |
$946 for the fiscal year ended December 31, 2022; $846 for the fiscal year ended December 31, 2023. These fees were principally in connection with, but not limited to, general audit related products and services and an accounting research tool subscription.
(e) | (1) The Pre-Approval Policies and Procedures (the “Policy”) adopted by the Audit Committee of the registrant (also, the “Fund”) sets forth the procedures pursuant to which services performed by the independent registered public accounting firm for the registrant may be pre-approved. The following summarizes the pre-approval requirements under the Policy. |
a) | The Audit Committee must pre-approve all audit services and non-audit services that the independent registered public accounting firm provides to the Fund. |
b) | The Audit Committee must pre-approve any engagement of the independent registered public accounting firm to provide non-audit services to any Service Affiliate (which is defined to include any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Fund) during the period of the independent registered public accounting firm’s engagement to provide audit services to the Fund, if the non-audit services to the Service Affiliate directly impact the Fund’s operations and financial reporting. |
c) | The Audit Committee, from time to time, may designate one or more of its members who are Independent Directors (each a “Designated Member”) to consider, on the Audit Committee’s behalf, any non-audit services, whether to the Fund or to any Service Affiliate, that have not been pre-approved by the Audit Committee. The Designated Member also shall review, on the Audit Committee’s behalf, any proposed material change in the nature or extent of any non-audit services previously approved. In considering any requested non-audit services or proposed material change in such services, the Designated Member shall not authorize services which would exceed $50,000 in fees for such services. |
d) | The independent registered public accounting firm may not provide specified prohibited non-audit services set forth in the Policy to the Fund, the Fund’s investment adviser, the Service Affiliates or any other member of the investment company complex. |
(e) | (2) One hundred percent of the services described in items 4(b) through 4(d) were approved in accordance with the Audit Committee’s Pre-Approval Policy. As a result, none of such services was approved pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. |
(f) | None of the hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the year ended December 31, 2023, were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees. |
(g) | The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant were: |
The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant: $51,623 for the fiscal year ended December 31, 2022; $51,523 for the fiscal year ended December 31, 2023.
The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser was $120,925 for the fiscal year ended December 31, 2022 and $121,199 for the fiscal year ended December 31, 2023.
(h) | The registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides |
ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence. |
(i) | Not applicable. |
(j) | Not applicable. |
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) | The Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the annual report filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are generally effective to provide reasonable assurance, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a)(1) Code of Ethics is filed herewith.
(a)(3) Not applicable.
(a)(4) Not applicable.
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.
HARTFORD SERIES FUND, INC. | ||||||
Date: February 23, 2024 | By: | /s/ James E. Davey | ||||
James E. Davey | ||||||
President and Chief Executive Officer |
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.
Date: February 23, 2024 | By: | /s/ James E. Davey | ||||
James E. Davey | ||||||
President and Chief Executive Officer | ||||||
Date: February 23, 2024 | By: | /s/ Ankit Puri | ||||
Ankit Puri | ||||||
Treasurer | ||||||
(Principal Financial Officer and Principal Accounting Officer) |