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 | 811-08673 | |||||
BNY Mellon Investment Portfolios | ||||||
(Exact name of Registrant as specified in charter) | ||||||
c/o BNY Mellon Investment Adviser, Inc. 240 Greenwich Street New York, New York 10286 | ||||||
(Address of principal executive offices) (Zip code) | ||||||
Deirdre Cunnane, Esq. 240 Greenwich Street New York, New York 10286 | ||||||
(Name and address of agent for service) | ||||||
Registrant's telephone number, including area code: | (212) 922-6400 | |||||
Date of fiscal year end:
| 12/31 | |||||
Date of reporting period: | 06/30/2022
| |||||
FORM N-CSR
Item 1. | Reports to Stockholders. |
BNY Mellon Investment Portfolios, MidCap Stock Portfolio
SEMI-ANNUAL REPORT June 30, 2022 |
Save time. Save paper. View your next shareholder report online as soon as it’s available. Log into www.im.bnymellon.com and sign up for eCommunications. It’s simple and only takes a few minutes. |
The views expressed in this report reflect those of the portfolio manager(s) only through the end of the period covered and do not necessarily represent the views of BNY Mellon Investment Adviser, Inc. or any other person in the BNY Mellon Investment Adviser, Inc. organization. Any such views are subject to change at any time based upon market or other conditions and BNY Mellon Investment Adviser, Inc. disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund in the BNY Mellon Family of Funds are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund in the BNY Mellon Family of Funds. |
Not FDIC-Insured • Not Bank-Guaranteed • May Lose Value |
Contents
THE FUND
Information About the Renewal of the | |
FOR MORE INFORMATION
Back Cover
DISCUSSION OF FUND PERFORMANCE (Unaudited)
For the period from January 1, 2022, through June 30, 2022, as provided by portfolio managers Peter D. Goslin, CFA and Adam Logan, CFA of Newton Investment Management North America, LLC, sub-adviser
Market and Fund Performance Overview
For the six-month period ended June 30, 2022, BNY Mellon Investment Portfolios, MidCap Stock Portfolio (the “fund”) Initial shares produced a total return of −19.61%, and its Service shares produced a total return of −19.74.1 In comparison, the fund’s benchmark, the S&P MidCap 400® Index (the “Index”), produced a total return of −19.54% for the same period.2
Mid-cap stocks lost ground during the reporting period under pressure from sharply increasing inflation, monetary tightening measures undertaken by the U.S. Federal Reserve (the “Fed”) and uncertainties related to Russia’s invasion of Ukraine. The fund slightly underperformed the Index, largely due to relatively weak returns in the financials, consumer discretionary and information technology sectors.
The Fund’s Investment Approach
The fund seeks investment results that are greater than the total return performance of publicly traded, common stocks of medium-sized, domestic companies in the aggregate, as represented by the Index. To pursue this goal, the fund normally invests at least 80% of its net assets, plus any borrowings for investment purposes, in stocks of mid-cap companies.
The fund invests in growth and value stocks, which are chosen through a disciplined investment process that combines quantitative-modeling techniques, fundamental analysis and risk management. Consistency of returns compared to the Index is a primary goal of the investment process.
The portfolio managers select stocks through a “bottom-up” structured approach that seeks to identify undervalued securities using a quantitative ranking process. The process is driven by a proprietary stock selection model that measures a diverse set of corporate characteristics to identify and rank stocks based on valuation, momentum, sentiment and earnings-quality measures.
Next, the fund’s portfolio managers construct the portfolio through a risk-controlled process, focusing on stock selection, as opposed to making proactive decisions as to industry and sector exposure. The portfolio managers seek to maintain a portfolio that has exposure to industries and market capitalizations that are generally similar to the fund’s benchmark. Finally, within each sector and style subset, the fund will seek to overweight the most attractive stocks and underweight or not hold the stocks that have been ranked least attractive.
Mounting Inflation Poses an Economic Challenge
Inflationary pressures put a damper on markets in early 2022. Commodity prices rose in response to wage increases and lingering, pandemic-related supply-chain bottlenecks, while government stimulus and accommodative monetary policies pressured prices as well. Central banks responded with increasingly hawkish actions targeting inflation. The Fed raised the
2
federal fund target rate by .25% in March and .50% in May, followed by a .75% hike in June. Fed officials projected a year-end federal funds rate of 3.4%, compared with initial projections of 1.9% made in March.
Nevertheless, inflation continued to gather steam, exacerbated by the Russian invasion of Ukraine in February 2022. Energy costs, already at elevated levels, spiked higher, along with prices of crucial agricultural chemicals, grains and industrial metals. By the end of June, the U.S. consumer price index, a widely accepted measure of inflation, had risen by approximately 8.6% from 12-month-previous levels, the largest 12-month percentage increase since 1981.
Quality and Earnings Revisions Factors Underperform
Investors failed to reward the quality and earnings revisions factors employed by the fund, causing performance to slightly lag that of the Index. While the fund’s systematic stock-selection approach is based on rankings of value, momentum, sentiment and quality measures rather than focusing on industry or sector exposure, some industries and sectors detracted from returns more than others. During the review period, the fund’s positions in the financials, consumer discretionary and information technology sectors proved weakest relative to the Index. As the fund invests in a large number of stocks, the performance of any individual holding had minimal impact on overall fund performance. Nevertheless, lack of exposure to two strong-performing financial sector stocks—regional bank First Horizon and life insurer Unum Group—took a toll on relative returns. In the consumer discretionary sector, weak selection in the apparel and textile industry undermined performance. In information technology, cloud-based customer relationship management company HubSpot lost ground along with other richly valued, growth-oriented technology names.
Conversely, the fund’s relative returns benefited from the effectiveness of value factors in identifying strong-performing stocks. Strong-performing sectors included real estate, industrials and materials. In the real estate sector, selections among real estate investment trusts bolstered returns. Among industrials, holdings in the machinery and the commercial services and supplies areas outperformed. In the materials sector, chemicals holdings produced the best results. Notably strong, individual contributors to relative performance included oil and gas exploration and production company Marathon Oil, medical device maker Masimo and reinsurer Alleghany.
Maintaining a Systematic and Disciplined Investment Approach
Whether or not the U.S. economy continues to grow in the coming months is likely to depend on the continuing impact of inflation and the effectiveness of the Fed’s efforts to keep it in check. The latest Fed projections for the remainder of 2022 show the U.S. economy remaining out of recession, with modest growth of 1.7%, unemployment at 3.7% and consumer price index inflation at 8%-to-9% at year end, As mentioned earlier, the Fed expects the federal funds rate to end 2022 in the 3.25%-to-3.5% range, implying a further 1.5%-to-1.75% increase over the next six months, a near-doubling of the current rate. While many market observers viewed the Fed’s earlier actions as behind the inflation curve, most view their more recent actions and current projections as more closely in line with their own expectations, a positive sign for market stability and confidence. Other positive signs are the continued resilience of consumer spending, which represents over half of the U.S. economy, and the stability of the yield curve, which has remained relatively flat. An inversion of the
3
DISCUSSION OF FUND PERFORMANCE (Unaudited) (continued)
yield curve, in which short-term yields exceed longer-term yields, is often seen as a sign of an impending recession. The effects of inflation and the strong U.S. dollar on corporate profitability are other areas that bear close watching in terms of possible impacts on equity performance.
The fund’s investment strategy remains sharply focused on our systematic approach to evaluating securities and building portfolios. This approach has allowed us to create an investment process that participates in rising equity markets and helps protect capital during times of stress in the marketplace. As of the end of the review period, the fund holds 294 individual securities characterized by attractive valuations and improving fundamentals. Sector weightings remain close to those of the Index, with slightly overweight exposure to communication services, materials and real estate, and slightly underweight exposure to information technology, industrials and health care. As always, overweights and underweights are determined by our bottom-up, factor-driven stock selection process rather than by top-down macroeconomic opinions. We continue to mitigate risks relative to the Index from a sector and market-capitalization standpoint, and believe the fund is well positioned to benefit from the prevailing market environment.
July 15, 2022
1 Total return includes reinvestment of dividends and any capital gains paid. Past performance is no guarantee of future results. Share price and investment return fluctuate such that upon redemption, fund shares may be worth more or less than their original cost. The fund’s performance does not reflect the deduction of additional charges and expenses imposed in connection with investing in variable insurance contracts, which will reduce returns. The fund’s return reflects the absorption of certain fund expenses by BNY Mellon Investment Adviser, Inc. pursuant to an agreement in effect through April 29, 2023, at which time it may be extended, modified or terminated. Had these expenses not been absorbed, returns would have been lower.
2 Source: Lipper Inc. — The S&P MidCap 400® Index provides investors with a benchmark for mid-sized companies. The Index measures the performance of mid-sized companies, reflecting the distinctive risk and return characteristics of this market segment. Investors cannot invest directly in any index.
Equities are subject generally to market, market sector, market liquidity, issuer and investment style risks, among other factors, to varying degrees, all of which are more fully described in the fund’s prospectus.
Recent market risks include pandemic risks related to COVID-19. The effects of COVID-19 have contributed to increased volatility in global markets and will likely affect certain countries, companies, industries and market sectors more dramatically than others. To the extent the fund may overweight its investments in certain countries, companies, industries or market sectors, such positions will increase the fund’s exposure to risk of loss from adverse developments affecting those countries, companies, industries or sectors.
Stocks of mid-cap companies often experience sharper price fluctuations than stocks of large-cap companies.
The fund is only available as a funding vehicle under variable life insurance policies or variable annuity contracts issued by insurance companies. Individuals may not purchase shares of the fund directly. A variable annuity is an insurance contract issued by an insurance company that enables investors to accumulate assets on a tax-deferred basis for retirement or other long-term goals. The investment objective and policies of BNY Mellon Investment Portfolios, MidCap Stock Portfolio made available through insurance products may be similar to those of other funds managed by BNY Mellon Investment Adviser, Inc. However, the investment results of the fund may be higher or lower than, and may not be comparable to, those of any other BNY Mellon Investment Adviser, Inc. fund.
4
UNDERSTANDING YOUR FUND’S EXPENSES (Unaudited)
As a mutual fund investor, you pay ongoing expenses, such as management fees and other expenses. Using the information below, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You also may pay one-time transaction expenses, including sales charges (loads), redemption fees and expenses associated with variable annuity or insurance contracts, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial adviser.
Review your fund’s expenses
The table below shows the expenses you would have paid on a $1,000 investment in BNY Mellon Investment Portfolios, MidCap Stock Portfolio from January 1, 2022 to June 30, 2022. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
Expenses and Value of a $1,000 Investment |
| |||
Assume actual returns for the six months ended June 30, 2022 |
| |||
|
|
|
|
|
|
| Initial Shares | Service Shares |
|
Expenses paid per $1,000† | $3.58 | $4.69 |
| |
Ending value (after expenses) | $803.90 | $802.60 |
|
COMPARING YOUR FUND’S EXPENSES
WITH THOSE OF OTHER FUNDS (Unaudited)
Using the SEC’s method to compare expenses
The Securities and Exchange Commission (“SEC”) has established guidelines to help investors assess fund expenses. Per these guidelines, the table below shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total cost) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Expenses and Value of a $1,000 Investment |
| |||
Assuming a hypothetical 5% annualized return for the six months ended June 30, 2022 |
| |||
|
|
|
|
|
|
| Initial Shares | Service Shares |
|
Expenses paid per $1,000† | $4.01 | $5.26 |
| |
Ending value (after expenses) | $1,020.83 | $1,019.59 |
| |
† | Expenses are equal to the fund’s annualized expense ratio of .80% for Initial Shares and 1.05% for Service Shares, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
5
STATEMENT OF INVESTMENTS
June 30, 2022 (Unaudited)
Description | Shares | Value ($) | |||||
Common Stocks - 99.7% | |||||||
Automobiles & Components - 1.1% | |||||||
Adient | 5,475 | a | 162,224 | ||||
Fox Factory Holding | 865 | a | 69,667 | ||||
Harley-Davidson | 16,395 | 519,066 | |||||
The Goodyear Tire & Rubber Company | 27,355 | a | 292,972 | ||||
Thor Industries | 6,660 | b | 497,702 | ||||
1,541,631 | |||||||
Banks - 7.3% | |||||||
Associated Banc-Corp | 72,350 | 1,321,111 | |||||
Bank OZK | 14,615 | 548,501 | |||||
Cathay General Bancorp | 40,220 | 1,574,613 | |||||
Essent Group | 10,345 | 402,420 | |||||
Fulton Financial | 37,965 | 548,594 | |||||
Hancock Whitney | 22,485 | 996,760 | |||||
MGIC Investment | 42,865 | 540,099 | |||||
PacWest Bancorp | 31,070 | 828,326 | |||||
Popular | 2,130 | 163,861 | |||||
Synovus Financial | 25,235 | 909,722 | |||||
UMB Financial | 15,220 | 1,310,442 | |||||
Washington Federal | 24,600 | 738,492 | |||||
9,882,941 | |||||||
Capital Goods - 11.9% | |||||||
A.O. Smith | 6,045 | 330,541 | |||||
Acuity Brands | 4,155 | 640,036 | |||||
AECOM | 18,410 | 1,200,700 | |||||
Air Lease | 3,965 | 132,550 | |||||
Allison Transmission Holdings | 3,205 | 123,232 | |||||
Armstrong World Industries | 5,115 | 383,420 | |||||
Builders FirstSource | 8,660 | a | 465,042 | ||||
Carlisle | 1,575 | 375,811 | |||||
Crane Holdings | 4,300 | 376,508 | |||||
Curtiss-Wright | 4,780 | 631,247 | |||||
Donaldson | 21,310 | 1,025,863 | |||||
Dycom Industries | 5,750 | a | 534,980 | ||||
EMCOR Group | 12,125 | 1,248,390 | |||||
Kennametal | 32,850 | 763,105 | |||||
Lennox International | 4,475 | 924,490 | |||||
Lincoln Electric Holdings | 5,115 | 630,986 | |||||
Nordson | 4,045 | 818,870 | |||||
nVent Electric | 37,565 | 1,176,911 | |||||
Owens Corning | 3,810 | 283,121 | |||||
Pentair | 25,170 | 1,152,031 |
6
Description | Shares | Value ($) | |||||
Common Stocks - 99.7% (continued) | |||||||
Capital Goods - 11.9% (continued) | |||||||
Simpson Manufacturing | 3,155 | 317,425 | |||||
SiteOne Landscape Supply | 1,710 | a | 203,268 | ||||
Sunrun | 8,110 | a | 189,450 | ||||
Terex | 12,295 | 336,514 | |||||
Textron | 7,755 | 473,598 | |||||
The Timken Company | 3,210 | 170,291 | |||||
The Toro Company | 2,465 | 186,822 | |||||
Trex | 8,740 | a | 475,631 | ||||
Univar Solutions | 6,230 | a | 154,940 | ||||
Watts Water Technologies, Cl. A | 3,960 | 486,446 | |||||
16,212,219 | |||||||
Commercial & Professional Services - 2.9% | |||||||
ASGN | 6,300 | a | 568,575 | ||||
CACI International, Cl. A | 1,580 | a | 445,212 | ||||
FTI Consulting | 2,695 | a | 487,391 | ||||
Insperity | 5,185 | 517,619 | |||||
Jacobs Engineering Group | 1,160 | 147,471 | |||||
ManpowerGroup | 5,085 | 388,545 | |||||
Science Applications International | 1,740 | 161,994 | |||||
Tetra Tech | 6,460 | 882,113 | |||||
The Brink's Company | 4,460 | 270,767 | |||||
3,869,687 | |||||||
Consumer Durables & Apparel - 4.5% | |||||||
Brunswick | 7,325 | 478,908 | |||||
Capri Holdings | 12,815 | a | 525,543 | ||||
Carter's | 5,315 | b | 374,601 | ||||
Columbia Sportswear | 7,215 | 516,450 | |||||
Crocs | 6,695 | a | 325,846 | ||||
Deckers Outdoor | 1,300 | a | 331,955 | ||||
Mattel | 34,530 | a | 771,055 | ||||
NVR | 65 | a | 260,269 | ||||
PVH | 4,270 | 242,963 | |||||
Ralph Lauren | 2,190 | 196,334 | |||||
Tapestry | 13,030 | 397,676 | |||||
Taylor Morrison Home | 7,260 | a | 169,594 | ||||
Tempur Sealy International | 22,240 | 475,269 | |||||
Toll Brothers | 6,360 | 283,656 | |||||
TopBuild | 2,785 | a | 465,541 | ||||
Under Armour, Cl. A | 16,515 | a | 137,570 | ||||
Whirlpool | 790 | b | 122,347 | ||||
6,075,577 | |||||||
Consumer Services - 4.4% | |||||||
Boyd Gaming | 11,025 | 548,494 |
7
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.7% (continued) | |||||||
Consumer Services - 4.4% (continued) | |||||||
Choice Hotels International | 1,410 | 157,398 | |||||
Churchill Downs | 505 | a | 96,723 | ||||
Grand Canyon Education | 8,420 | a | 793,080 | ||||
H&R Block | 10,775 | 380,573 | |||||
Light & Wonder | 5,460 | a | 256,565 | ||||
Marriott Vacations Worldwide | 6,960 | 808,752 | |||||
MGM Resorts International | 8,065 | 233,482 | |||||
Service Corp. International | 16,290 | 1,125,965 | |||||
Six Flags Entertainment | 4,645 | a | 100,797 | ||||
Texas Roadhouse | 6,640 | 486,048 | |||||
The Wendy's Company | 16,765 | 316,523 | |||||
Travel + Leisure | 2,045 | 79,387 | |||||
Wyndham Hotels & Resorts | 8,170 | 536,932 | |||||
5,920,719 | |||||||
Diversified Financials - 3.1% | |||||||
Affiliated Managers Group | 3,905 | 455,323 | |||||
FactSet Research Systems | 1,780 | 684,535 | |||||
Janus Henderson Group | 21,920 | 515,339 | |||||
Jefferies Financial Group | 19,900 | 549,638 | |||||
Lazard, Cl. A | 2,635 | b | 85,400 | ||||
Navient | 16,525 | 231,185 | |||||
New Residential Investment | 28,275 | c | 263,523 | ||||
SEI Investments | 6,650 | 359,233 | |||||
Stifel Financial | 16,370 | 917,047 | |||||
Voya Financial | 1,465 | b | 87,211 | ||||
4,148,434 | |||||||
Energy - 4.2% | |||||||
Antero Midstream | 22,230 | b | 201,181 | ||||
ChampionX | 7,075 | 140,439 | |||||
CNX Resources | 28,245 | a,b | 464,913 | ||||
Continental Resources | 4,560 | 297,996 | |||||
Devon Energy | 1,315 | 72,470 | |||||
Diamondback Energy | 2,510 | 304,086 | |||||
DT Midstream | 6,175 | 302,698 | |||||
EQT | 1,585 | 54,524 | |||||
Equitrans Midstream | 16,325 | 103,827 | |||||
Marathon Oil | 25,790 | 579,759 | |||||
Murphy Oil | 33,820 | 1,021,026 | |||||
Occidental Petroleum | 6,045 | 355,930 | |||||
Range Resources | 19,570 | a | 484,357 | ||||
Targa Resources | 22,960 | 1,370,023 | |||||
5,753,229 |
8
Description | Shares | Value ($) | |||||
Common Stocks - 99.7% (continued) | |||||||
Food & Staples Retailing - 2.1% | |||||||
BJ's Wholesale Club Holdings | 16,350 | a | 1,018,932 | ||||
Performance Food Group | 18,185 | a | 836,146 | ||||
Sprouts Farmers Market | 22,825 | a | 577,929 | ||||
The Kroger Company | 9,355 | 442,772 | |||||
2,875,779 | |||||||
Food, Beverage & Tobacco - 1.4% | |||||||
Darling Ingredients | 12,855 | a | 768,729 | ||||
Freshpet | 3,550 | a,b | 184,210 | ||||
Pilgrim's Pride | 2,620 | a | 81,823 | ||||
Sanderson Farms | 2,405 | 518,350 | |||||
The Hain Celestial Group | 17,260 | a | 409,752 | ||||
1,962,864 | |||||||
Health Care Equipment & Services - 6.7% | |||||||
ABIOMED | 405 | a | 100,242 | ||||
Acadia Healthcare | 9,180 | a | 620,843 | ||||
Amedisys | 3,710 | a | 389,995 | ||||
Chemed | 2,675 | 1,255,618 | |||||
Enovis | 8,320 | a | 457,600 | ||||
Globus Medical, Cl. A | 6,850 | a | 384,559 | ||||
Henry Schein | 1,205 | a | 92,472 | ||||
Integra LifeSciences Holdings | 15,700 | a | 848,271 | ||||
LivaNova | 8,410 | a | 525,373 | ||||
Masimo | 4,160 | a | 543,587 | ||||
Molina Healthcare | 3,425 | a | 957,664 | ||||
Option Care Health | 16,525 | a | 459,230 | ||||
Patterson Companies | 6,090 | 184,527 | |||||
Penumbra | 3,815 | a | 475,044 | ||||
QuidelOrtho | 1,590 | a | 154,516 | ||||
STAAR Surgical | 7,700 | a | 546,161 | ||||
Tandem Diabetes Care | 7,165 | a | 424,096 | ||||
Teleflex | 510 | 125,384 | |||||
Tenet Healthcare | 7,500 | a | 394,200 | ||||
Veeva Systems, Cl. A | 1,040 | a | 205,962 | ||||
9,145,344 | |||||||
Household & Personal Products - .7% | |||||||
BellRing Brands | 4,505 | a | 112,129 | ||||
Church & Dwight | 1,515 | 140,380 | |||||
Coty, Cl. A | 35,565 | a | 284,876 | ||||
Energizer Holdings | 7,100 | 201,285 | |||||
Nu Skin Enterprises, Cl. A | 4,965 | 214,984 | |||||
953,654 | |||||||
Insurance - 4.8% | |||||||
Alleghany | 2,020 | a | 1,682,862 |
9
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.7% (continued) | |||||||
Insurance - 4.8% (continued) | |||||||
Axis Capital Holdings | 12,085 | 689,933 | |||||
Cincinnati Financial | 2,355 | 280,198 | |||||
CNO Financial Group | 32,315 | 584,578 | |||||
Everest Re Group | 1,890 | 529,729 | |||||
First American Financial | 8,805 | 465,961 | |||||
Kinsale Capital Group | 1,410 | 323,792 | |||||
Old Republic International | 16,800 | 375,648 | |||||
Primerica | 5,540 | 663,083 | |||||
The Hanover Insurance Group | 6,145 | 898,706 | |||||
6,494,490 | |||||||
Materials - 7.5% | |||||||
Alcoa | 14,850 | 676,863 | |||||
Ashland Global Holdings | 9,470 | 975,883 | |||||
Avery Dennison | 665 | 107,644 | |||||
Cabot | 1,145 | b | 73,040 | ||||
Celanese | 1,775 | 208,758 | |||||
CF Industries Holdings | 7,760 | 665,265 | |||||
Cleveland-Cliffs | 36,330 | a | 558,392 | ||||
Commercial Metals | 17,965 | 594,641 | |||||
Eagle Materials | 8,500 | 934,490 | |||||
Element Solutions | 7,595 | 135,191 | |||||
Greif, Cl. A | 7,970 | 497,169 | |||||
Huntsman | 20,855 | 591,239 | |||||
Ingevity | 11,080 | a | 699,591 | ||||
Louisiana-Pacific | 1,495 | 78,353 | |||||
Minerals Technologies | 7,625 | 467,717 | |||||
Olin | 10,770 | 498,436 | |||||
Reliance Steel & Aluminum | 4,255 | 722,754 | |||||
Steel Dynamics | 6,270 | 414,760 | |||||
The Chemours Company | 14,970 | 479,339 | |||||
The Mosaic Company | 3,510 | 165,777 | |||||
U.S. Steel | 19,915 | b | 356,678 | ||||
Westlake | 3,120 | 305,822 | |||||
10,207,802 | |||||||
Media & Entertainment - 2.7% | |||||||
Cable One | 115 | 148,272 | |||||
John Wiley & Sons, Cl. A | 10,225 | 488,346 | |||||
News Corporation, Cl. A | 10,795 | 168,186 | |||||
Pinterest, Cl. A | 8,095 | a | 147,005 | ||||
Playtika Holding | 8,415 | a | 111,415 | ||||
Roku | 1,940 | a,b | 159,352 | ||||
TEGNA | 13,810 | 289,596 | |||||
The Interpublic Group of Companies | 16,855 | 464,018 |
10
Description | Shares | Value ($) | |||||
Common Stocks - 99.7% (continued) | |||||||
Media & Entertainment - 2.7% (continued) | |||||||
The New York Times Company, Cl. A | 19,570 | 546,003 | |||||
8,520 | a | 318,563 | |||||
World Wrestling Entertainment, Cl. A | 6,820 | b | 426,182 | ||||
Ziff Davis | 4,365 | a | 325,323 | ||||
3,592,261 | |||||||
Pharmaceuticals Biotechnology & Life Sciences - 3.0% | |||||||
Bio-Techne | 1,340 | 464,498 | |||||
Bruker | 8,795 | 551,974 | |||||
Charles River Laboratories International | 585 | a | 125,172 | ||||
Exelixis | 41,440 | a | 862,781 | ||||
Halozyme Therapeutics | 8,970 | a | 394,680 | ||||
Medpace Holdings | 4,155 | a | 621,879 | ||||
QIAGEN | 4,495 | a | 212,164 | ||||
Syneos Health | 10,765 | a | 771,635 | ||||
United Therapeutics | 500 | a | 117,820 | ||||
4,122,603 | |||||||
Real Estate - 9.8% | |||||||
Americold Realty Trust | 11,325 | c | 340,203 | ||||
Brixmor Property Group | 23,450 | c | 473,924 | ||||
Corporate Office Properties Trust | 2,850 | c | 74,642 | ||||
Douglas Emmett | 18,315 | c | 409,890 | ||||
EastGroup Properties | 7,105 | c | 1,096,515 | ||||
EPR Properties | 10,085 | c | 473,289 | ||||
Extra Space Storage | 2,540 | c | 432,105 | ||||
Federal Realty OP | 5,695 | c | 545,239 | ||||
First Industrial Realty Trust | 8,720 | c | 414,026 | ||||
Highwoods Properties | 15,885 | c | 543,108 | ||||
Jones Lang LaSalle | 2,320 | a | 405,675 | ||||
Kilroy Realty | 21,565 | c | 1,128,496 | ||||
Lamar Advertising, Cl. A | 4,745 | c | 417,418 | ||||
Mid-America Apartment Communities | 6,570 | c | 1,147,582 | ||||
National Retail Properties | 37,200 | c | 1,599,600 | ||||
National Storage Affiliates Trust | 11,460 | c | 573,802 | ||||
Omega Healthcare Investors | 17,255 | b,c | 486,418 | ||||
Potlatchdeltic | 2,520 | c | 111,359 | ||||
PS Business Parks | 6,045 | c | 1,131,322 | ||||
Rayonier | 1,855 | c | 69,340 | ||||
STORE Capital | 44,015 | c | 1,147,911 | ||||
The Macerich Company | 35,010 | c | 304,937 | ||||
13,326,801 | |||||||
Retailing - 3.6% | |||||||
AutoNation | 2,970 | a | 331,927 | ||||
Dick's Sporting Goods | 4,600 | b | 346,702 |
11
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.7% (continued) | |||||||
Retailing - 3.6% (continued) | |||||||
Foot Locker | 7,890 | 199,222 | |||||
GameStop, Cl. A | 3,970 | a,b | 485,531 | ||||
Kohl's | 12,045 | 429,886 | |||||
Lithia Motors | 1,850 | 508,398 | |||||
Macy's | 24,685 | 452,229 | |||||
Murphy USA | 2,485 | 578,682 | |||||
Nordstrom | 9,390 | 198,411 | |||||
RH | 680 | a | 144,337 | ||||
Ulta Beauty | 405 | a | 156,119 | ||||
Victoria's Secret & Co. | 7,345 | a | 205,440 | ||||
Williams-Sonoma | 7,135 | b | 791,628 | ||||
4,828,512 | |||||||
Semiconductors & Semiconductor Equipment - 3.7% | |||||||
Allegro MicroSystems | 10,355 | a | 214,245 | ||||
CMC Materials | 1,050 | 183,215 | |||||
Enphase Energy | 2,300 | a | 449,052 | ||||
Entegris | 2,105 | 193,934 | |||||
Lattice Semiconductor | 18,780 | a | 910,830 | ||||
MKS Instruments | 6,455 | 662,477 | |||||
Power Integrations | 7,605 | 570,451 | |||||
Semtech | 13,960 | a | 767,381 | ||||
Silicon Laboratories | 2,100 | a | 294,462 | ||||
SiTime | 1,250 | a | 203,787 | ||||
SunPower | 4,525 | a,b | 71,540 | ||||
Synaptics | 2,655 | a,b | 313,423 | ||||
Teradyne | 1,200 | 107,460 | |||||
Universal Display | 620 | 62,707 | |||||
5,004,964 | |||||||
Software & Services - 3.8% | |||||||
Commvault Systems | 1,270 | a | 79,883 | ||||
Concentrix | 2,580 | 349,951 | |||||
Euronet Worldwide | 2,380 | a | 239,404 | ||||
Everbridge | 5,805 | a | 161,901 | ||||
Fair Isaac | 2,110 | a | 845,899 | ||||
Gartner | 455 | a | 110,033 | ||||
Genpact | 21,100 | 893,796 | |||||
HubSpot | 1,105 | a | 332,218 | ||||
Manhattan Associates | 5,570 | a | 638,322 | ||||
Pegasystems | 3,345 | 160,025 | |||||
Qualys | 3,580 | a | 451,581 | ||||
Teradata | 12,055 | a | 446,156 | ||||
The Trade Desk, Cl. A | 1,375 | a | 57,599 | ||||
The Western Union Company | 10,845 | 178,617 |
12
Description | Shares | Value ($) | |||||
Common Stocks - 99.7% (continued) | |||||||
Software & Services - 3.8% (continued) | |||||||
Zscaler | 1,255 | a,b | 187,635 | ||||
5,133,020 | |||||||
Technology Hardware & Equipment - 3.4% | |||||||
Avnet | 11,400 | 488,832 | |||||
Belden | 5,430 | 289,256 | |||||
Calix | 8,160 | a | 278,582 | ||||
Ciena | 3,255 | a | 148,754 | ||||
Cognex | 11,200 | 476,224 | |||||
II-VI | 6,155 | a,b | 313,597 | ||||
IPG Photonics | 5,005 | a | 471,121 | ||||
Jabil | 2,585 | 132,378 | |||||
Littelfuse | 3,290 | 835,792 | |||||
Lumentum Holdings | 5,785 | a | 459,445 | ||||
Pure Storage, Cl. A | 2,750 | a | 70,703 | ||||
Trimble | 5,565 | a | 324,050 | ||||
Vontier | 14,225 | 327,033 | |||||
Zebra Technologies, Cl. A | 195 | a | 57,320 | ||||
4,673,087 | |||||||
Telecommunication Services - .6% | |||||||
Iridium Communications | 13,800 | a | 518,328 | ||||
Lumen Technologies | 29,640 | b | 323,372 | ||||
841,700 | |||||||
Transportation - 2.3% | |||||||
Avis Budget Group | 3,130 | a | 460,360 | ||||
GXO Logistics | 10,090 | a | 436,594 | ||||
JetBlue Airways | 21,025 | a | 175,979 | ||||
Knight-Swift Transportation Holdings | 8,590 | 397,631 | |||||
Landstar System | 1,955 | 284,296 | |||||
Old Dominion Freight Line | 1,635 | 419,018 | |||||
Ryder System | 2,910 | 206,785 | |||||
Saia | 3,075 | a | 578,100 | ||||
XPO Logistics | 2,725 | a | 131,236 | ||||
3,089,999 | |||||||
Utilities - 4.2% | |||||||
ALLETE | 14,105 | 829,092 | |||||
Black Hills | 23,620 | 1,718,827 | |||||
Hawaiian Electric Industries | 25,430 | 1,040,087 | |||||
IDACORP | 11,105 | 1,176,242 | |||||
NiSource | 21,080 | 621,649 | |||||
PPL | 3,685 | 99,974 | |||||
UGI | 5,570 | 215,058 | |||||
5,700,929 | |||||||
Total Common Stocks (cost $141,811,357) | 135,358,246 |
13
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | 1-Day | Shares | Value ($) | ||||
Investment Companies - .3% | |||||||
Registered Investment Companies - .3% | |||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares | 1.48 | 440,727 | d | 440,727 | |||
Investment of Cash Collateral for Securities Loaned - 1.3% | |||||||
Registered Investment Companies - 1.3% | |||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund, SL Shares | 1.48 | 1,762,453 | d | 1,762,453 | |||
Total Investments (cost $144,014,537) | 101.3% | 137,561,426 | |||||
Liabilities, Less Cash and Receivables | (1.3%) | (1,813,725) | |||||
Net Assets | 100.0% | 135,747,701 |
a Non-income producing security.
b Security, or portion thereof, on loan. At June 30, 2022, the value of the fund’s securities on loan was $6,204,527 and the value of the collateral was $6,510,459, consisting of cash collateral of $1,762,453 and U.S. Government & Agency securities valued at $4,748,006. In addition, the value of collateral may include pending sales that are also on loan.
c Investment in real estate investment trust within the United States.
d Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
Portfolio Summary (Unaudited) † | Value (%) |
Industrials | 17.1 |
Financials | 15.1 |
Consumer Discretionary | 13.5 |
Information Technology | 10.9 |
Real Estate | 9.8 |
Health Care | 9.8 |
Materials | 7.5 |
Consumer Staples | 4.3 |
Energy | 4.2 |
Utilities | 4.2 |
Communication Services | 3.3 |
Investment Companies | 1.6 |
101.3 |
† Based on net assets.
See notes to financial statements.
14
Affiliated Issuers | ||||||
Description | Value ($) 12/31/2021 | Purchases ($)† | Sales ($) | Value ($) 6/30/2022 | Dividends/ | |
Registered Investment Companies - .3% | ||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares - .3% | 426,188 | 10,564,031 | (10,549,492) | 440,727 | 1,575 | |
Investment of Cash Collateral for Securities Loaned - 1.3% | ||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund, SL Shares - 1.3% | 914,695 | 7,828,164 | (6,980,406) | 1,762,453 | 18,167 | †† |
Total - 1.6% | 1,340,883 | 18,392,195 | (17,529,898) | 2,203,180 | 19,742 |
† Includes reinvested dividends/distributions.
†† Represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.
See notes to financial statements.
15
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2022 (Unaudited)
|
|
|
|
|
|
|
|
|
| Cost |
| Value |
|
Assets ($): |
|
|
|
| ||
Investments in securities—See Statement of Investments |
|
|
| |||
Unaffiliated issuers | 141,811,357 |
| 135,358,246 |
| ||
Affiliated issuers |
| 2,203,180 |
| 2,203,180 |
| |
Dividends and securities lending income receivable |
| 133,938 |
| |||
Receivable for shares of Beneficial Interest subscribed |
| 11,532 |
| |||
Receivable for investment securities sold |
| 19 |
| |||
Prepaid expenses |
|
|
|
| 3,208 |
|
|
|
|
|
| 137,710,123 |
|
Liabilities ($): |
|
|
|
| ||
Due to BNY Mellon Investment Adviser, Inc. and affiliates—Note 3(b) |
| 106,858 |
| |||
Liability for securities on loan—Note 1(c) |
| 1,762,453 |
| |||
Payable for shares of Beneficial Interest redeemed |
| 43,721 |
| |||
Trustees’ fees and expenses payable |
| 1,442 |
| |||
Other accrued expenses |
|
|
|
| 47,948 |
|
|
|
|
|
| 1,962,422 |
|
Net Assets ($) |
|
| 135,747,701 |
| ||
Composition of Net Assets ($): |
|
|
|
| ||
Paid-in capital |
|
|
|
| 138,117,949 |
|
Total distributable earnings (loss) |
|
|
|
| (2,370,248) |
|
Net Assets ($) |
|
| 135,747,701 |
|
Net Asset Value Per Share | Initial Shares | Service Shares |
|
Net Assets ($) | 65,076,662 | 70,671,039 |
|
Shares Outstanding | 4,226,573 | 4,612,219 |
|
Net Asset Value Per Share ($) | 15.40 | 15.32 |
|
|
|
|
|
See notes to financial statements. |
|
|
|
16
STATEMENT OF OPERATIONS
Six Months Ended June 30, 2022 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Income ($): |
|
|
|
| ||
Income: |
|
|
|
| ||
Cash dividends (net of $277 foreign taxes withheld at source): |
| |||||
Unaffiliated issuers |
|
| 1,195,167 |
| ||
Affiliated issuers |
|
| 1,575 |
| ||
Income from securities lending—Note 1(c) |
|
| 18,167 |
| ||
Total Income |
|
| 1,214,909 |
| ||
Expenses: |
|
|
|
| ||
Management fee—Note 3(a) |
|
| 593,282 |
| ||
Distribution fees—Note 3(b) |
|
| 103,308 |
| ||
Professional fees |
|
| 46,035 |
| ||
Custodian fees—Note 3(b) |
|
| 12,612 |
| ||
Chief Compliance Officer fees—Note 3(b) |
|
| 11,497 |
| ||
Prospectus and shareholders’ reports |
|
| 10,572 |
| ||
Trustees’ fees and expenses—Note 3(c) |
|
| 6,423 |
| ||
Loan commitment fees—Note 2 |
|
| 1,628 |
| ||
Registration fees |
|
| 1,352 |
| ||
Shareholder servicing costs—Note 3(b) |
|
| 810 |
| ||
Interest expense—Note 2 |
|
| 134 |
| ||
Miscellaneous |
|
| 7,796 |
| ||
Total Expenses |
|
| 795,449 |
| ||
Less—reduction in expenses due to undertaking—Note 3(a) |
|
| (57,845) |
| ||
Net Expenses |
|
| 737,604 |
| ||
Net Investment Income |
|
| 477,305 |
| ||
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): |
|
| ||||
Net realized gain (loss) on investments | 3,860,509 |
| ||||
Net change in unrealized appreciation (depreciation) on investments | (38,695,634) |
| ||||
Net Realized and Unrealized Gain (Loss) on Investments |
|
| (34,835,125) |
| ||
Net (Decrease) in Net Assets Resulting from Operations |
| (34,357,820) |
| |||
|
|
|
|
|
|
|
See notes to financial statements. |
17
STATEMENT OF CHANGES IN NET ASSETS
|
|
|
|
|
|
|
|
|
|
|
|
|
| Six Months Ended |
| Year Ended |
| ||
Operations ($): |
|
|
|
|
|
|
|
| |
Net investment income |
|
| 477,305 |
|
|
| 884,855 |
| |
Net realized gain (loss) on investments |
| 3,860,509 |
|
|
| 37,494,447 |
| ||
Net change in unrealized appreciation |
| (38,695,634) |
|
|
| 574,376 |
| ||
Net Increase (Decrease) in Net Assets | (34,357,820) |
|
|
| 38,953,678 |
| |||
Distributions ($): |
| ||||||||
Distributions to shareholders: |
|
|
|
|
|
|
|
| |
Initial Shares |
|
| (18,340,389) |
|
|
| (1,082,003) |
| |
Service Shares |
|
| (20,055,380) |
|
|
| (940,992) |
| |
Total Distributions |
|
| (38,395,769) |
|
|
| (2,022,995) |
| |
Beneficial Interest Transactions ($): |
| ||||||||
Net proceeds from shares sold: |
|
|
|
|
|
|
|
| |
Initial Shares |
|
| 2,186,266 |
|
|
| 8,847,860 |
| |
Service Shares |
|
| 1,469,274 |
|
|
| 13,852,574 |
| |
Distributions reinvested: |
|
|
|
|
|
|
|
| |
Initial Shares |
|
| 18,340,389 |
|
|
| 1,082,003 |
| |
Service Shares |
|
| 20,055,380 |
|
|
| 940,992 |
| |
Cost of shares redeemed: |
|
|
|
|
|
|
|
| |
Initial Shares |
|
| (7,535,004) |
|
|
| (16,848,704) |
| |
Service Shares |
|
| (7,840,433) |
|
|
| (16,490,420) |
| |
Increase (Decrease) in Net Assets | 26,675,872 |
|
|
| (8,615,695) |
| |||
Total Increase (Decrease) in Net Assets | (46,077,717) |
|
|
| 28,314,988 |
| |||
Net Assets ($): |
| ||||||||
Beginning of Period |
|
| 181,825,418 |
|
|
| 153,510,430 |
| |
End of Period |
|
| 135,747,701 |
|
|
| 181,825,418 |
| |
Capital Share Transactions (Shares): |
| ||||||||
Initial Shares |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 113,101 |
|
|
| 390,569 |
| |
Shares issued for distributions reinvested |
|
| 981,819 |
|
|
| 48,783 |
| |
Shares redeemed |
|
| (374,326) |
|
|
| (729,080) |
| |
Net Increase (Decrease) in Shares Outstanding | 720,594 |
|
|
| (289,728) |
| |||
Service Shares |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 75,207 |
|
|
| 620,993 |
| |
Shares issued for distributions reinvested |
|
| 1,078,246 |
|
|
| 42,560 |
| |
Shares redeemed |
|
| (395,621) |
|
|
| (732,921) |
| |
Net Increase (Decrease) in Shares Outstanding | 757,832 |
|
|
| (69,368) |
| |||
|
|
|
|
|
|
|
|
|
|
See notes to financial statements. |
18
FINANCIAL HIGHLIGHTS
The following tables describe the performance for each share class for the fiscal periods indicated. All information (except portfolio turnover rate) reflects financial results for a single fund share. Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption at net asset value on the last day of the period. Net asset value total return includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. The fund’s total returns do not reflect expenses associated with variable annuity or insurance contracts. These figures have been derived from the fund’s financial statements.
Six Months Ended | ||||||
June 30, 2022 | Year Ended December 31, | |||||
Initial Shares | (Unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 |
Per Share Data ($): | ||||||
Net asset value, beginning of period | 24.77 | 19.93 | 18.64 | 16.80 | 22.56 | 20.09 |
Investment Operations: | ||||||
Net investment incomea | .07 | .15 | .13 | .13 | .12 | .10 |
Net realized and unrealized | (3.96) | 4.97 | 1.30 | 3.15 | (3.19) | 2.92 |
Total from Investment Operations | (3.89) | 5.12 | 1.43 | 3.28 | (3.07) | 3.02 |
Distributions: | ||||||
Dividends from | (.16) | (.14) | (.14) | (.12) | (.13) | (.22) |
Dividends from | (5.32) | (.14) | - | (1.32) | (2.56) | (.33) |
Total Distributions | (5.48) | (.28) | (.14) | (1.44) | (2.69) | (.55) |
Net asset value, end of period | 15.40 | 24.77 | 19.93 | 18.64 | 16.80 | 22.56 |
Total Return (%) | (19.61)b | 25.89 | 8.11 | 20.18 | (15.49) | 15.38 |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | .87c | .86 | .87 | .86 | .86 | .87 |
Ratio of net expenses | .80c | .85 | .87 | .86 | .86 | .87 |
Ratio of net investment income | .73c | .63 | .81 | .73 | .59 | .50 |
Portfolio Turnover Rate | 44.23b | 90.95 | 92.40 | 82.88 | 68.02 | 64.86 |
Net Assets, end of period ($ x 1,000) | 65,077 | 86,837 | 75,649 | 76,835 | 72,374 | 92,776 |
a Based on average shares outstanding.
b Not annualized.
c Annualized.
See notes to financial statements.
19
FINANCIAL HIGHLIGHTS (continued)
Six Months Ended | ||||||
June 30, 2022 | Year Ended December 31, | |||||
Service Shares | (Unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 |
Per Share Data ($): | ||||||
Net asset value, beginning of period | 24.64 | 19.84 | 18.53 | 16.71 | 22.45 | 20.00 |
Investment Operations: | ||||||
Net investment incomea | .05 | .09 | .09 | .09 | .07 | .06 |
Net realized and unrealized | (3.95) | 4.95 | 1.31 | 3.12 | (3.18) | 2.90 |
Total from Investment Operations | (3.90) | 5.04 | 1.40 | 3.21 | (3.11) | 2.96 |
Distributions: | ||||||
Dividends from | (.10) | (.10) | (.09) | (.07) | (.07) | (.18) |
Dividends from | (5.32) | (.14) | - | (1.32) | (2.56) | (.33) |
Total Distributions | (5.42) | (.24) | (.09) | (1.39) | (2.63) | (.51) |
Net asset value, end of period | 15.32 | 24.64 | 19.84 | 18.53 | 16.71 | 22.45 |
Total Return (%) | (19.74)b | 25.56 | 7.85 | 19.85 | (15.69) | 15.04 |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | 1.12c | 1.11 | 1.12 | 1.11 | 1.11 | 1.12 |
Ratio of net expenses | 1.05c | 1.10 | 1.12 | 1.11 | 1.11 | 1.12 |
Ratio of net investment income | .48c | .38 | .56 | .48 | .34 | .28 |
Portfolio Turnover Rate | 44.23b | 90.95 | 92.40 | 82.88 | 68.02 | 64.86 |
Net Assets, end of period ($ x 1,000) | 70,671 | 94,989 | 77,862 | 74,454 | 63,202 | 76,948 |
a Based on average shares outstanding.
b Not annualized.
c Annualized.
See notes to financial statements.
20
NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 1—Significant Accounting Policies:
MidCap Stock Portfolio (the “fund”) is a separate diversified series of BNY Mellon Investment Portfolios (the “Trust”), which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company currently offering three series, including the fund. The fund is only offered to separate accounts established by insurance companies to fund variable annuity contracts and variable life insurance policies. The fund’s investment objective is to seek investment results that are greater than the total return performance of publicly traded common stocks of medium-size domestic companies in the aggregate, as represented by the Standard & Poor’s MidCap 400® Index. BNY Mellon Investment Adviser, Inc. (the “Adviser”), a wholly-owned subsidiary of The Bank of New York Mellon Corporation (“BNY Mellon”), serves as the fund’s investment adviser. Newton Investment Management North America, LLC (the “Sub-Adviser”), a wholly-owned subsidiary of BNY Mellon and an affiliate of the Adviser, serves as the fund’s sub-adviser.
BNY Mellon Securities Corporation (the “Distributor”), a wholly-owned subsidiary of the Adviser, is the distributor of the fund’s shares, which are sold without a sales charge. The fund is authorized to issue an unlimited number of $.001 par value shares of Beneficial Interest in each of the following classes of shares: Initial and Service. Each class of shares has identical rights and privileges, except with respect to the Distribution Plan, and the expenses borne by each class, the allocation of certain transfer agency costs, and certain voting rights. Income, expenses (other than expenses attributable to a specific class), and realized and unrealized gains or losses on investments are allocated to each class of shares based on its relative net assets.
The Trust accounts separately for the assets, liabilities and operations of each series. Expenses directly attributable to each series are charged to that series’ operations; expenses which are applicable to all series are allocated among them on a pro rata basis.
The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the SEC under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The fund is an investment company and applies the accounting and reporting guidance of the FASB ASC Topic 946 Financial Services-Investment Companies. The fund’s
21
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
financial statements are prepared in accordance with GAAP, which may require the use of management estimates and assumptions. Actual results could differ from those estimates.
The Trust enters into contracts that contain a variety of indemnifications. The fund’s maximum exposure under these arrangements is unknown. The fund does not anticipate recognizing any loss related to these arrangements.
(a) Portfolio valuation: The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs of valuation techniques used to measure fair value. This hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements).
Additionally, GAAP provides guidance on determining whether the volume and activity in a market has decreased significantly and whether such a decrease in activity results in transactions that are not orderly. GAAP requires enhanced disclosures around valuation inputs and techniques used during annual and interim periods.
Various inputs are used in determining the value of the fund’s investments relating to fair value measurements. These inputs are summarized in the three broad levels listed below:
Level 1—unadjusted quoted prices in active markets for identical investments.
Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.).
Level 3—significant unobservable inputs (including the fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the fund’s investments are as follows:
Investments in equity securities are valued at the last sales price on the securities exchange or national securities market on which such securities are primarily traded. Securities listed on the National Market System for
22
which market quotations are available are valued at the official closing price or, if there is no official closing price that day, at the last sales price. For open short positions, asked prices are used for valuation purposes. Bid price is used when no asked price is available. Registered investment companies that are not traded on an exchange are valued at their net asset value. All of the preceding securities are generally categorized within Level 1 of the fair value hierarchy.
Securities not listed on an exchange or the national securities market, or securities for which there were no transactions, are valued at the average of the most recent bid and asked prices. These securities are generally categorized within Level 2 of the fair value hierarchy.
Fair valuing of securities may be determined with the assistance of a pricing service using calculations based on indices of domestic securities and other appropriate indicators, such as prices of relevant American Depository Receipts and futures. Utilizing these techniques may result in transfers between Level 1 and Level 2 of the fair value hierarchy.
When market quotations or official closing prices are not readily available, or are determined not to accurately reflect fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded (for example, a foreign exchange or market), but before the fund calculates its net asset value, the fund may value these investments at fair value as determined in accordance with the procedures approved by the Trust’s Board of Trustees (the “Board”). Certain factors may be considered when fair valuing investments such as: fundamental analytical data, the nature and duration of restrictions on disposition, an evaluation of the forces that influence the market in which the securities are purchased and sold, and public trading in similar securities of the issuer or comparable issuers. These securities are either categorized within Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.
For securities where observable inputs are limited, assumptions about market activity and risk are used and such securities are generally categorized within Level 3 of the fair value hierarchy.
The following is a summary of the inputs used as of June 30, 2022 in valuing the fund’s investments:
23
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
Level 1-Unadjusted Quoted Prices | Level 2- Other Significant Observable Inputs | Level 3-Significant Unobservable Inputs | Total | |||
Assets ($) | ||||||
Investments in Securities:† | ||||||
Equity Securities - Common Stocks | 135,358,246 | - | - | 135,358,246 | ||
Investment Companies | 2,203,180 | - | - | 2,203,180 |
† See Statement of Investments for additional detailed categorizations, if any.
(b) Foreign taxes: The fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the fund invests. These foreign taxes, if any, are paid by the fund and are reflected in the Statement of Operations, if applicable. Foreign taxes payable or deferred or those subject to reclaims as of June 30, 2022, if any, are disclosed in the fund’s Statement of Assets and Liabilities.
(c) Securities transactions and investment income: Securities transactions are recorded on a trade date basis. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recognized on the ex-dividend date and interest income, including, where applicable, accretion of discount and amortization of premium on investments, is recognized on the accrual basis.
Pursuant to a securities lending agreement with BNY Mellon, the fund may lend securities to qualified institutions. It is the fund’s policy that, at origination, all loans are secured by collateral of at least 102% of the value of U.S. securities loaned and 105% of the value of foreign securities loaned. Collateral equivalent to at least 100% of the market value of securities on loan is maintained at all times. Collateral is either in the form of cash, which can be invested in certain money market mutual funds managed by the Adviser, or U.S. Government and Agency securities. The fund is entitled to receive all dividends, interest and distributions on securities loaned, in addition to income earned as a result of the lending transaction. Should a borrower fail to return the securities in a timely manner, BNY Mellon is required to replace the securities for the benefit of the fund or credit the fund with the market value of the unreturned securities and is subrogated to the fund’s rights against the borrower and the collateral. Additionally, the contractual maturity of security lending transactions are on an overnight and continuous basis. During the period
24
ended June 30, 2022, BNY Mellon earned $2,476 from the lending of the fund’s portfolio securities, pursuant to the securities lending agreement.
(d) Affiliated issuers: Investments in other investment companies advised by the Adviser are considered “affiliated” under the Act.
(e) Risk: Certain events particular to the industries in which the fund’s investments conduct their operations, as well as general economic, political and public health conditions, may have a significant negative impact on the investee’s operations and profitability. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the fund. Global economies and financial markets are becoming increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies world-wide. Recent examples include pandemic risks related to COVID-19 and aggressive measures taken world-wide in response by governments, including closing borders, restricting international and domestic travel, and the imposition of prolonged quarantines of large populations, and by businesses, including changes to operations and reducing staff. The effects of COVID-19 have contributed to increased volatility in global markets and will likely affect certain countries, companies, industries and market sectors more dramatically than others. The COVID-19 pandemic has had, and any other outbreak of an infectious disease or other serious public health concern could have, a significant negative impact on economic and market conditions and could trigger a prolonged period of global economic slowdown. To the extent the fund may overweight its investments in certain countries, companies, industries or market sectors, such positions will increase the fund’s exposure to risk of loss from adverse developments affecting those countries, companies, industries or sectors.
(f) Dividends and distributions to shareholders: Dividends and distributions are recorded on the ex-dividend date. Dividends from net investment income and dividends from net realized capital gains, if any, are normally declared and paid annually, but the fund may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code of 1986, as amended (the “Code”). To the extent that net realized capital gains can be offset by capital loss carryovers, it is the policy of the fund not to distribute such gains. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
25
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
(g) Federal income taxes: It is the policy of the fund to continue to qualify as a regulated investment company, if such qualification is in the best interests of its shareholders, by complying with the applicable provisions of the Code, and to make distributions of taxable income and net realized capital gain sufficient to relieve it from substantially all federal income and excise taxes.
As of and during the period ended June 30, 2022, the fund did not have any liabilities for any uncertain tax positions. The fund recognizes interest and penalties, if any, related to uncertain tax positions as income tax expense in the Statement of Operations. During the period ended June 30, 2022, the fund did not incur any interest or penalties.
Each tax year in the three-year period ended December 31, 2021 remains subject to examination by the Internal Revenue Service and state taxing authorities.
The tax character of distributions paid to shareholders during the fiscal year ended December 31, 2021 was as follows: ordinary income $924,151 and long-term capital gains $1,098,844. The tax character of current year distributions will be determined at the end of the current fiscal year.
NOTE 2—Bank Lines of Credit:
The fund participates with other long-term open-end funds managed by the Adviser in a $823.5 million unsecured credit facility led by Citibank, N.A. (the “Citibank Credit Facility”) and a $300 million unsecured credit facility provided by BNY Mellon (the “BNYM Credit Facility”), each to be utilized primarily for temporary or emergency purposes, including the financing of redemptions (each, a “Facility”). The Citibank Credit Facility is available in two tranches: (i) Tranche A is in an amount equal to $688.5 million and is available to all long-term open-ended funds, including the fund, and (ii) Tranche B is an amount equal to $135 million and is available only to BNY Mellon Floating Rate Income Fund, a series of BNY Mellon Investment Funds IV, Inc. In connection therewith, the fund has agreed to pay its pro rata portion of commitment fees for Tranche A of the Citibank Credit Facility and the BNYM Credit Facility. Interest is charged to the fund based on rates determined pursuant to the terms of the respective Facility at the time of borrowing.
The average amount of borrowings outstanding under the Facilities during the period ended June 30, 2022 was approximately $24,309 with a related weighted average annualized rate of 1.11%.
26
NOTE 3—Management Fee, Sub-Advisory Fee and Other Transactions with Affiliates:
(a) Pursuant to a management agreement with the Adviser, the management fee is computed at the annual rate of .75% of the value of the fund’s average daily net assets and is payable monthly. The Adviser has contractually agreed, from January 1, 2022 through April 29, 2023, to waive receipt of its fees and/or assume the expenses of the fund, so that the direct expenses of none of classes (excluding Rule 12b-1 Distribution Plan fees, taxes, interest expense, brokerage commissions, commitment fees on borrowings and extraordinary expenses) exceed ..80% of the value of the fund’s average daily net assets. On or after April 29, 2023, the Adviser may terminate this expense limitation at any time. The reduction in expense pursuant to undertaking amount to $57,845 for the period ended June 30, 2022.
Pursuant to a sub-advisory agreement between the Adviser and the Sub-Adviser, the Adviser pays the Sub-Adviser a monthly fee at an annual rate of .36% of the value of the fund’s average daily net assets.
(b) Under the Distribution Plan adopted pursuant to Rule 12b-1 under the Act, Service shares pay the Distributor for distributing its shares, for servicing and/or maintaining Service shares’ shareholder accounts and for advertising and marketing for Service shares. The Distribution Plan provides for payments to be made at an annual rate of .25% of the value of the Service shares’ average daily net assets. The Distributor may make payments to Participating Insurance Companies and to brokers and dealers acting as principal underwriter for their variable insurance products. The fees payable under the Distribution Plan are payable without regard to actual expenses incurred. During the period ended June 30, 2022, Service shares were charged $103,308 pursuant to the Distribution Plan.
The fund has an arrangement with BNY Mellon Transfer, Inc., (the “Transfer Agent”), a subsidiary of BNY Mellon and an affiliate of the Adviser, whereby the fund may receive earnings credits when positive cash balances are maintained, which are used to offset Transfer Agent fees. For financial reporting purposes, the fund includes net earnings credits, if any, as shareholder servicing costs in the Statement of Operations.
The fund has an arrangement with The Bank of New York Mellon (the “Custodian”), a subsidiary of BNY Mellon and an affiliate of the Adviser, whereby the fund will receive interest income or be charged overdraft fees when cash balances are maintained. For financial reporting purposes, the fund includes this interest income and overdraft fees, if any, as interest income in the Statement of Operations.
27
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
The fund compensates the Transfer Agent, under a transfer agency agreement for providing transfer agency and cash management services inclusive of earnings credits, if any, for the fund. The majority of Transfer Agent fees are comprised of amounts paid on a per account basis, while cash management fees are related to fund subscriptions and redemptions. During the period ended June 30, 2022, the fund was charged $718 for transfer agency services, inclusive of earnings credit, if any. These fees are included in Shareholder servicing costs in the Statement of Operations.
The fund compensates the Custodian under a custody agreement, for providing custodial services for the fund. These fees are determined based on net assets, geographic region and transaction activity. During the period ended June 30, 2022, the fund was charged $12,612 pursuant to the custody agreement.
During the period ended June 30, 2022, the fund was charged $11,497 for services performed by the Chief Compliance Officer and his staff. These fees are included in Chief Compliance Officer fees in the Statement of Operations.
The components of “Due to BNY Mellon Investment Adviser, Inc. and affiliates” in the Statement of Assets and Liabilities consist of: management fees of $87,413, Distribution Plan fees of $15,161, Custodian fees of $5,972, Chief Compliance Officer fees of $6,243 and Transfer Agent fees of $242, which are offset against an expense reimbursement currently in effect in the amount of $8,173.
(c) Each Board member also serves as a Board member of other funds in the BNY Mellon Family of Funds complex. Annual retainer fees and attendance fees are allocated to each fund based on net assets.
NOTE 4—Securities Transactions:
The aggregate amount of purchases and sales of investment securities, excluding short-term securities, during the period ended June 30, 2022, amounted to $70,677,368 and $81,953,191, respectively.
At June 30, 2022, accumulated net unrealized depreciation on investments was $6,453,111, consisting of $11,217,176 gross unrealized appreciation and $17,670,287 gross unrealized depreciation.
At June 30, 2022, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).
28
INFORMATION ABOUT THE RENEWAL OF THE FUND’S MANAGEMENT AND SUB-ADVISORY AGREEMENTS (Unaudited)
At a meeting of the fund’s Board of Trustees held on February 25, 2022, the Board considered the renewal of the fund’s Management Agreement, pursuant to which the Adviser provides the fund with investment advisory and administrative services (the “Agreement”). The Board members, none of whom are “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the fund, were assisted in their review by independent legal counsel and met with counsel in executive session separate from representatives of the Adviser. In considering the renewal of the Agreement, the Board considered several factors that it believed to be relevant, including those discussed below. The Board did not identify any one factor as dispositive, and each Board member may have attributed different weights to the factors considered. It was noted that, effective September 1, 2021, Newton Investment Management North America, LLC (the “Sub-Adviser”), provides the day-to-day management of the fund’s investments pursuant to the Sub-Advisory Agreement with the Adviser which was not being considered for renewal at the meeting.
Analysis of Nature, Extent, and Quality of Services Provided to the Fund. The Board considered information provided to it at the meeting and in previous presentations from representatives of the Adviser regarding the nature, extent, and quality of the services provided to funds in the BNY Mellon fund complex, including the fund. The Adviser provided the number of open accounts in the fund, the fund’s asset size and the allocation of fund assets among distribution channels. The Adviser also had previously provided information regarding the diverse intermediary relationships and distribution channels of funds in the BNY Mellon fund complex (such as retail direct or intermediary, in which intermediaries, including insurance companies, typically are paid by the fund and/or the Adviser) and the Adviser’s corresponding need for broad, deep, and diverse resources to be able to provide ongoing shareholder services to each intermediary or distribution channel, as applicable to the fund.
The Board also considered research support available to, and portfolio management capabilities of, the fund’s portfolio management personnel and that the Adviser also provides oversight of day-to-day fund operations, including fund accounting and administration and assistance in meeting legal and regulatory requirements. The Board also considered the Adviser’s extensive administrative, accounting and compliance infrastructures, as well as the Adviser’s supervisory activities over the Sub-Adviser.
Comparative Analysis of the Fund’s Performance and Management Fee and Expense Ratio. The Board reviewed reports prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of investment company data based on classifications provided by Thomson Reuters Lipper, which included information comparing (1) the performance of the fund’s Initial shares with the performance of a group of small-cap core funds underlying variable insurance products (“VIPs”) selected by Broadridge as comparable to the fund (the “Performance Group”) and with a broader group of funds consisting of all small-cap core funds underlying VIPs (the “Performance Universe”), all for various periods ended December 31, 2021, and (2) the fund’s actual and contractual management fees and total expenses with those of the
29
INFORMATION ABOUT THE RENEWAL OF THE FUND’S MANAGEMENT AND SUB-ADVISORY AGREEMENTS (Unaudited) (continued)
same group of funds in the Performance Group (the “Expense Group”) and with a broader group of all small-cap core funds underlying VIPs with similar 12b-1/non-12b-1 structures (comparing total expenses with those of the fund’s Initial and Service shares), excluding outliers (the “Expense Universe”), the information for which was derived in part from fund financial statements available to Broadridge as of the date of its analysis. The Adviser previously had furnished the Board with a description of the methodology Broadridge used to select the Performance Group and Performance Universe and the Expense Group and Expense Universe.
Performance Comparisons. Representatives of the Adviser stated that the usefulness of performance comparisons may be affected by a number of factors, including different investment limitations and policies that may be applicable to the fund and comparison funds and the end date selected. The Board discussed with representatives of the Adviser the results of the comparisons and considered that the fund’s total return performance was above the Performance Group median for the six-months and one-year periods, at the Performance Group median for the ten-year period and below the Performance Group median for the two-, three-, four- and five-year periods, and was below the Performance Universe median for all periods, except the six-months and one-year periods when the fund’s performance was above the median. The Board considered the relative proximity of the fund’s performance to the Performance Group and/or Performance Universe medians in certain periods when performance was below median. The Adviser also provided a comparison of the fund’s calendar year total returns to the returns of the fund’s benchmark index, and it was noted that the fund’s returns were above the returns of the index in four of the ten calendar years shown.
Management Fee and Expense Ratio Comparisons. The Board reviewed and considered the contractual management fee rate payable by the fund to the Adviser in light of the nature, extent and quality of the management services provided by the Adviser. In addition, the Board reviewed and considered the actual management fee rate paid by the fund over the fund’s last fiscal year. The Board also reviewed the range of actual and contractual management fees and total expenses as a percentage of average net assets of the Expense Group and Expense Universe funds and discussed the results of the comparisons.
The Board considered that the fund’s contractual management fee was lower than the Expense Group median contractual management fee, the fund’s actual management fee was lower than the Expense Group median and equal to the Expense Universe median actual management fee and the fund’s total expenses were lower than the Expense Group median and higher than the Expense Universe median total expenses.
Representatives of the Adviser stated that the Adviser has contractually agreed, until April 29, 2023, to waive receipt of its fees and/or assume the direct expenses of the fund so that the direct expenses of the fund (excluding Rule 12b-1 fees, shareholder services fees, taxes, interest, brokerage commissions, commitment fees on borrowings and extraordinary expenses) do not exceed .80% of the fund’s average daily net assets.
30
Representatives of the Adviser reviewed with the Board the management or investment advisory fees paid by funds advised by the Adviser that are in the same Lipper category as the fund (the “Similar Funds”), and explained the nature of the Similar Funds. They discussed differences in fees paid and the relationship of the fees paid in light of any differences in the services provided and other relevant factors. The Board considered the relevance of the fee information provided for the Similar Funds to evaluate the appropriateness of the fund’s management fee. Representatives of the Adviser noted that there were no separate accounts and/or other types of client portfolios advised by the Adviser that are considered to have similar investment strategies and policies as the fund.
Analysis of Profitability and Economies of Scale. Representatives of the Adviser reviewed the expenses allocated and profit received by the Adviser and its affiliates and the resulting profitability percentage for managing the fund and the aggregate profitability percentage to the Adviser and its affiliates for managing the funds in the BNY Mellon fund complex, and the method used to determine the expenses and profit. The Board concluded that the profitability results were not excessive, given the services rendered and service levels provided by the Adviser and its affiliates. The Board also had been provided with information prepared by an independent consulting firm regarding the Adviser’s approach to allocating costs to, and determining the profitability of, individual funds and the entire BNY Mellon fund complex. The consulting firm also had analyzed where any economies of scale might emerge in connection with the management of a fund.
The Board considered, on the advice of its counsel, the profitability analysis (1) as part of its evaluation of whether the fee under the Agreement, considered in relation to the mix of services provided by the Adviser, including the nature, extent and quality of such services, supported the renewal of the Agreement and (2) in light of the relevant circumstances for the fund and the extent to which economies of scale would be realized if the fund grows and whether fee levels reflect these economies of scale for the benefit of fund shareholders. Representatives of the Adviser also stated that, as a result of shared and allocated costs among funds in the BNY Mellon fund complex, the extent of economies of scale could depend substantially on the level of assets in the complex as a whole, so that increases and decreases in complex-wide assets can affect potential economies of scale in a manner that is disproportionate to, or even in the opposite direction from, changes in the fund’s asset level. The Board also considered potential benefits to the Adviser from acting as investment adviser and took into consideration that there were no soft dollar arrangements in effect for trading the fund’s investments.
At the conclusion of these discussions, the Board agreed that it had been furnished with sufficient information to make an informed business decision with respect to the renewal of the Agreement. Based on the discussions and considerations as described above, the Board concluded and determined as follows.
· The Board concluded that the nature, extent and quality of the services provided by the Adviser are adequate and appropriate.
31
INFORMATION ABOUT THE RENEWAL OF THE FUND’S MANAGEMENT AND SUB-ADVISORY AGREEMENTS (Unaudited) (continued)
· The Board was satisfied with the fund’s improved total return performance in the most recent one-year period.
· The Board concluded that the fee paid to the Adviser continued to be appropriate under the circumstances and in light of the factors and the totality of the services provided as discussed above.
· The Board determined that the economies of scale which may accrue to the Adviser and its affiliates in connection with the management of the fund had been adequately considered by the Adviser in connection with the fee rate charged to the fund pursuant to the Agreement and that, to the extent in the future it were determined that material economies of scale had not been shared with the fund, the Board would seek to have those economies of scale shared with the fund.
In evaluating the Agreement, the Board considered these conclusions and determinations and also relied on its previous knowledge, gained through meetings and other interactions with the Adviser and its affiliates, of the Adviser and the services provided to the fund by the Adviser. The Board also relied on information received on a routine and regular basis throughout the year relating to the operations of the fund and the investment management and other services provided under the Agreement, including information on the investment performance of the fund in comparison to similar mutual funds and benchmark performance indices; general market outlook as applicable to the fund; and compliance reports. In addition, the Board’s consideration of the contractual fee arrangements for the fund had the benefit of a number of years of reviews of the Agreement for the fund, or substantially similar agreements for other BNY Mellon funds that the Board oversees, during which lengthy discussions took place between the Board and representatives of the Adviser. Certain aspects of the arrangements may receive greater scrutiny in some years than in others, and the Board’s conclusions may be based, in part, on its consideration of the fund’s arrangements, or substantially similar arrangements for other BNY Mellon funds that the Board oversees, in prior years. The Board determined to renew the Agreement the remainder of the one-year term.
32
LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited)
Effective June 1, 2019, the fund adopted a liquidity risk management program (the “Liquidity Risk Management Program”) pursuant to the requirements of Rule 22e-4 under the Investment Company Act of 1940, as amended. Rule 22e-4 requires registered open-end funds, including mutual funds and exchange-traded funds but not money market funds, to establish liquidity risk management programs in order to effectively manage fund liquidity and shareholder redemptions. The rule is designed to mitigate the risk that a fund could not meet redemption requests without significantly diluting the interests of remaining investors.
The rule requires the fund to assess, manage and review their liquidity risk at least annually considering applicable factors such as investment strategy and liquidity during normal and foreseeable stressed conditions, including whether the strategy is appropriate for an open-end fund and whether the fund has a relatively concentrated portfolio or large positions in particular issuers. The fund must also assess its use of borrowings and derivatives, short-term and long-term cash flow projections in normal and stressed conditions, holdings of cash and cash equivalents, and borrowing arrangements and other funding sources.
The rule also requires the fund to classify its investments as highly liquid, moderately liquid, less liquid or illiquid based on the number of days the fund expects it would take to liquidate the investment, and to review these classifications at least monthly or more often under certain conditions. The periods range from three or fewer business days for a highly liquid investment to greater than seven calendar days for settlement of a less liquid investment. Illiquid investments are those a fund does not expect to be able to sell or dispose of within seven calendar days without significantly changing the market value. The fund is prohibited from acquiring an investment if, after the acquisition, its holdings of illiquid assets will exceed 15% of its net assets. In addition, if a fund permits redemptions in-kind, the rule requires the fund to establish redemption in-kind policies and procedures governing how and when it will engage in such redemptions.
Pursuant to the rule’s requirements, the Liquidity Risk Management Program has been reviewed and approved by the Board. Furthermore, the Board has received a written report prepared by the Program’s Administrator that addresses the operation of the Program, assesses its adequacy and effectiveness and describes any material changes made to the Program.
Assessment of Program
In the opinion of the Program Administrator, the Program approved by the Board continues to be adequate for the fund and the Program has been implemented effectively. The Program Administrator has monitored the fund’s liquidity risk and the liquidity classification of the securities held by the fund and has determined that the Program is operating effectively.
During the period from January 1, 2021 to December 31, 2021, there were no material changes to the Program and no material liquidity events that impacted the fund. During the period, the fund held sufficient highly liquid assets to meet fund redemptions.
Under normal expected foreseeable fund redemption forecasts and foreseeable stressed fund redemption forecasts, the Program Administrator believes that the fund maintains sufficient highly liquid assets to meet expected fund redemptions.
33
BNY Mellon Investment Portfolios, MidCap Stock Portfolio
240 Greenwich Street
New York, NY 10286
Adviser
BNY Mellon Investment Adviser, Inc.
240 Greenwich Street
New York, NY 10286
Sub-Adviser
Newton Investment Management
North America, LLC
BNY Mellon Center
201 Washington Street
Boston, MA 02108
Custodian
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
Transfer Agent &
Dividend Disbursing Agent
BNY Mellon Transfer, Inc.
240 Greenwich Street
New York, NY 10286
Distributor
BNY Mellon Securities Corporation
240 Greenwich Street
New York, NY 10286
Telephone 1-800-258-4260 or 1-800-258-4261
Mail The BNY Mellon Family of Funds, 144 Glenn Curtiss Boulevard, Uniondale, NY 11556-0144 Attn: Institutional Services Department
E-mail Send your request to info@bnymellon.com
Internet Information can be viewed online or downloaded at www.im.bnymellon.com
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-PORT. The fund’s Forms N-PORT are available on the SEC’s website at www.sec.gov.
A description of the policies and procedures that the fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the fund voted these proxies for the most recent 12-month period ended June 30 is available at www.im.bnymellon.com and on the SEC’s website at www.sec.gov and without charge, upon request, by calling 1-800-373-9387.
© 2022 BNY Mellon Securities Corporation |
BNY Mellon Investment Portfolios, Small Cap Stock Index Portfolio
SEMI-ANNUAL REPORT June 30, 2022 |
Save time. Save paper. View your next shareholder report online as soon as it’s available. Log into www.im.bnymellon.com and sign up for eCommunications. It’s simple and only takes a few minutes. |
The views expressed in this report reflect those of the portfolio manager(s) only through the end of the period covered and do not necessarily represent the views of BNY Mellon Investment Adviser, Inc. or any other person in the BNY Mellon Investment Adviser, Inc. organization. Any such views are subject to change at any time based upon market or other conditions and BNY Mellon Investment Adviser, Inc. disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund in the BNY Mellon Family of Funds are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund in the BNY Mellon Family of Funds. |
Not FDIC-Insured • Not Bank-Guaranteed • May Lose Value |
Contents
THE FUND
FOR MORE INFORMATION
Back Cover
DISCUSSION OF FUND PERFORMANCE (Unaudited)
For the period from January 1, 2022, through June 30, 2022, as provided by portfolio managers David France, Todd Frysinger, Vlasta Sheremeta, Michael Stoll and Marlene Walker Smith at BNYM Investment Adviser.
Market and Fund Performance Overview
For the six-month period ended June 30, 2022, BNY Mellon Investment Portfolios, Small Cap Stock Index Portfolio (the “fund”) produced a total return of −19.21%.1 In comparison, the fund’s benchmark, the S&P SmallCap 600® Index (the “Index”), produced a −18.94% total return for the same period.2,3
U.S. stocks lost ground during the reporting period under pressure from sharply increasing inflation, monetary tightening measures undertaken by the U.S. Federal Reserve (the “Fed”) and uncertainties related to Russia’s invasion of Ukraine. The difference in returns between the fund and the Index was primarily the result of transaction costs and operating expenses that are not reflected in the Index’s results.
The Fund’s Investment Approach
The fund seeks to match the performance of the Index. To pursue its goal, the fund generally invests in all the stocks that comprise the Index. The fund generally invests in all 600 stocks in the Index in proportion to their weighting in the Index; however, at times, the fund may invest in a representative sample of stocks included in the Index. Under these circumstances, the fund expects to invest in approximately 500 or more of the stocks in the Index.
Mounting Inflation Poses an Economic Challenge
Inflationary pressures put a damper on markets in early 2022. Commodity prices rose in response to wage increases and lingering, pandemic-related supply-chain bottlenecks, while government stimulus and accommodative monetary policies pressured prices as well. Central banks responded with increasingly hawkish actions targeting inflation. The Fed raised the federal fund target rate by 0.25% in March and 0.50% in May, followed by a 0.75% hike in June. Fed officials projected a year-end federal funds rate of 3.4%, compared with initial projections of 1.9% made in March.
2
Nevertheless, inflation continued to gather steam, exacerbated by the Russian invasion of Ukraine in February 2022. Energy costs, already at elevated levels, spiked higher, along with prices of crucial agricultural chemicals, grains and industrial metals. By the end of June, the U.S. consumer price index, a widely accepted measure of inflation, had risen by approximately 8.6% from 12-month-previous levels, the largest 12-month percentage increase since 1981.
Equities Decline Broadly Under Pressure
In response to inflationary pressures and growing uncertainty regarding economic prospects, the Index fell nearly to bear market territory, traditionally viewed as a decline of 20% from previous levels. Growth-oriented shares suffered the most significant losses as rising interest rates caused investors to question the pace of future growth and the relative value of future earnings. Consumer discretionary stocks were particularly hard hit as investors shied away from companies seen as vulnerable to a potential pullback in consumer spending and the risks associated with high inventory levels. Information technology stocks experienced sharp declines as well, largely due to their growth-oriented characteristics and high valuations. Most other sectors lost ground as well. Only the energy sector recorded gains, bolstered by rising oil and gas prices. Utilities ended the period with relatively modest losses, supported by the industry’s effective energy cost hedges and the market’s tilt in favor of more defensive, value-oriented securities.
Keeping an Eye on Inflation and the Fed
Whether the U.S. economy continues to grow in the coming months is likely to depend on the continuing impact of inflation and the effectiveness of the Fed’s efforts to keep it in check. The latest Fed projections for the remainder of 2022 show the U.S. economy remaining out of recession, with modest growth of 1.7%, unemployment at 3.7% and consumer price index inflation at 8-to-9% at year end, As mentioned earlier, the Fed expects the federal funds rate to end 2022 in the 3.25-to-3.5% range, implying a further 1.5-to-1.75% increase over the next six months, a near-doubling of the current rate. While many market observers viewed the Fed’s earlier actions as behind the inflation curve, most view their more recent actions and current projections as more closely in line with their own expectations, a positive sign for market stability and confidence. Other positive signs are the continued resilience of consumer spending, which represents over half of the U.S. economy, and the stability of the yield curve, which has remained relatively flat. An inversion of the yield curve, in which short-term yields exceed longer-term yields, is often seen as a sign of an impending recession. The effects of inflation and the strong U.S. dollar on corporate
3
DISCUSSION OF FUND PERFORMANCE (Unaudited) (continued)
profitability are other areas that bear close watching in terms of possible impacts on equity performance.
July 15, 2022
1 Total return includes reinvestment of dividends and any capital gains paid. Past performance is no guarantee of future results. Share price and investment return fluctuate such that upon redemption, fund shares may be worth more or less than their original cost. The fund’s performance does not reflect the deduction of additional charges and expenses imposed in connection with investing in variable insurance contracts, which will reduce returns. The fund’s returns reflect the absorption of certain fund expenses by BNY Mellon Investment Adviser, Inc. pursuant to an agreement in effect that may be extended, terminated or modified at any time. Had these expenses not been absorbed, returns would have been lower.
2 Source: Lipper Inc. — The S&P SmallCap 600® Index measures the small-cap segment of the U.S. equity market. The index is designed to track companies that meet specific inclusion criteria to ensure that they are liquid and financially viable. Investors cannot invest directly in any index.
3 “Standard & Poor’s®,” “S&P®,” and “Standard & Poor’s® SmallCap 600 Index” are trademarks of Standard & Poor’s Financial Services LLC (“Standard & Poor’s”) and have been licensed for use by the fund. The fund is not sponsored, endorsed, sold or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in the fund.
Equities are subject generally to market, market sector, market liquidity, issuer and investment style risks, among other factors, to varying degrees, all of which are more fully described in the fund’s prospectus. Stocks of small- and/or mid-cap companies often experience sharper price fluctuations than stocks of large-cap companies.
Recent market risks include pandemic risks related to COVID-19. The effects of COVID-19 have contributed to increased volatility in global markets and will likely affect certain countries, companies, industries and market sectors more dramatically than others. To the extent the fund may overweight its investments in certain countries, companies, industries or market sectors, such positions will increase the fund’s exposure to risk of loss from adverse developments affecting those countries, companies, industries or sectors.
The fund may, but is not required to, use derivative instruments. A small investment in derivatives could have a potentially large impact on the fund’s performance. The use of derivatives involves risks different from, or possibly greater than, the risks associated with investing directly in the underlying assets.
The fund is only available as a funding vehicle under variable life insurance policies or variable annuity contracts issued by insurance companies. Individuals may not purchase shares of the fund directly. A variable annuity is an insurance contract issued by an insurance company that enables investors to accumulate assets on a tax-deferred basis for retirement or other long-term goals. The investment objective and policies of BNY Mellon Investment Portfolios, Small Cap Stock Index Portfolio made available through insurance products may be similar to those of other funds managed by BNY Mellon Investment Adviser, Inc. However, the investment results of the fund may be higher or lower than, and may not be comparable to, those of any other BNY Mellon Investment Adviser, Inc. fund.
4
UNDERSTANDING YOUR FUND’S EXPENSES (Unaudited)
As a mutual fund investor, you pay ongoing expenses, such as management fees and other expenses. Using the information below, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You also may pay one-time transaction expenses, including sales charges (loads), redemption fees and expenses associated with variable annuity or insurance contracts, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial adviser.
Review your fund’s expenses
The table below shows the expenses you would have paid on a $1,000 investment in BNY Mellon Investment Portfolios, Small Cap Stock Index Portfolio from January 1, 2022 to June 30, 2022. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
Expenses and Value of a $1,000 Investment |
| ||
Assume actual returns for the six months ended June 30, 2022 |
| ||
|
|
|
|
|
|
|
|
Expenses paid per $1,000† | $2.69 |
| |
Ending value (after expenses) | $807.90 |
|
COMPARING YOUR FUND’S EXPENSES
WITH THOSE OF OTHER FUNDS (Unaudited)
Using the SEC’s method to compare expenses
The Securities and Exchange Commission (“SEC”) has established guidelines to help investors assess fund expenses. Per these guidelines, the table below shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total cost) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Expenses and Value of a $1,000 Investment |
| ||
Assuming a hypothetical 5% annualized return for the six months ended June 30, 2022 |
| ||
|
|
|
|
|
|
|
|
Expenses paid per $1,000† | $3.01 |
| |
Ending value (after expenses) | $1,021.82 |
| |
† | Expenses are equal to the fund’s annualized expense ratio of .60%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
5
STATEMENT OF INVESTMENTS
June 30, 2022 (Unaudited)
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% | |||||||
Automobiles & Components - 1.6% | |||||||
American Axle & Manufacturing Holdings | 68,565 | a | 516,294 | ||||
Dorman Products | 17,015 | a | 1,866,716 | ||||
Gentherm | 19,931 | a | 1,243,894 | ||||
LCI Industries | 15,371 | 1,719,707 | |||||
Motorcar Parts of America | 11,841 | a | 155,354 | ||||
Patrick Industries | 13,164 | 682,422 | |||||
Standard Motor Products | 11,398 | 512,796 | |||||
Winnebago Industries | 19,727 | 957,943 | |||||
XPEL | 10,161 | a,b | 466,695 | ||||
8,121,821 | |||||||
Banks - 12.2% | |||||||
Allegiance Bancshares | 11,641 | 439,564 | |||||
Ameris Bancorp | 39,790 | 1,598,762 | |||||
Axos Financial | 32,571 | a | 1,167,670 | ||||
Banc of California | 31,641 | 557,514 | |||||
BancFirst | 11,501 | b | 1,100,761 | ||||
BankUnited | 49,327 | 1,754,561 | |||||
Banner | 20,832 | 1,170,967 | |||||
Berkshire Hills Bancorp | 28,540 | 706,936 | |||||
Brookline Bancorp | 46,815 | 623,108 | |||||
Capitol Federal Financial | 78,122 | 717,160 | |||||
Central Pacific Financial | 16,582 | 355,684 | |||||
City Holding | 8,942 | 714,287 | |||||
Columbia Banking System | 46,730 | 1,338,814 | |||||
Community Bank System | 32,490 | 2,055,967 | |||||
Customers Bancorp | 18,411 | a | 624,133 | ||||
CVB Financial | 80,083 | 1,986,859 | |||||
Dime Community Bancshares | 19,944 | 591,340 | |||||
Eagle Bancorp | 19,430 | 921,176 | |||||
FB Financial | 21,234 | 832,797 | |||||
First Bancorp | 20,888 | 728,991 | |||||
First Bancorp | 119,330 | 1,540,550 | |||||
First Commonwealth Financial | 56,281 | 755,291 | |||||
First Financial Bancorp | 56,643 | 1,098,874 | |||||
First Hawaiian | 77,530 | 1,760,706 | |||||
Flagstar Bancorp | 31,908 | 1,131,139 | |||||
Hanmi Financial | 18,072 | 405,536 | |||||
Heritage Financial | 21,037 | 529,291 | |||||
Hilltop Holdings | 30,026 | 800,493 | |||||
HomeStreet | 11,411 | 395,619 |
6
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Banks - 12.2% (continued) | |||||||
Hope Bancorp | 72,989 | 1,010,168 | |||||
Independent Bank | 28,284 | 2,246,598 | |||||
Independent Bank Group | 21,965 | 1,491,643 | |||||
Lakeland Financial | 15,388 | 1,022,071 | |||||
Meta Financial Group | 17,591 | 680,244 | |||||
Mr. Cooper Group | 44,568 | a | 1,637,428 | ||||
National Bank Holdings, Cl. A | 18,002 | 688,937 | |||||
NBT Bancorp | 25,916 | 974,182 | |||||
NMI Holdings, Cl. A | 52,145 | a | 868,214 | ||||
Northfield Bancorp | 25,765 | 335,718 | |||||
Northwest Bancshares | 75,745 | 969,536 | |||||
OFG Bancorp | 29,408 | 746,963 | |||||
Pacific Premier Bancorp | 57,358 | 1,677,148 | |||||
Park National | 8,780 | 1,064,575 | |||||
Preferred Bank | 8,252 | 561,301 | |||||
Provident Financial Services | 45,378 | 1,010,114 | |||||
Renasant | 33,937 | 977,725 | |||||
S&T Bancorp | 23,738 | 651,133 | |||||
Seacoast Banking Corp. of Florida | 36,494 | 1,205,762 | |||||
ServisFirst Bancshares | 29,480 | 2,326,562 | |||||
Simmons First National, Cl. A | 76,786 | 1,632,470 | |||||
Southside Bancshares | 19,532 | 730,887 | |||||
The Bancorp | 34,175 | a | 667,096 | ||||
Tompkins Financial | 7,109 | 512,559 | |||||
Triumph Bancorp | 14,384 | a | 899,863 | ||||
TrustCo Bank | 11,353 | 350,127 | |||||
Trustmark | 36,948 | 1,078,512 | |||||
United Community Bank | 63,195 | 1,907,857 | |||||
Veritex Holdings | 32,020 | 936,905 | |||||
Walker & Dunlop | 18,332 | 1,766,105 | |||||
Westamerica Bancorporation | 16,068 | 894,345 | |||||
WSFS Financial | 39,184 | 1,570,887 | |||||
63,498,185 | |||||||
Capital Goods - 10.5% | |||||||
AAON | 25,191 | 1,379,459 | |||||
AAR | 19,882 | a | 831,863 | ||||
Aerojet Rocketdyne Holdings | 45,095 | a | 1,830,857 | ||||
AeroVironment | 14,035 | a | 1,153,677 | ||||
Alamo Group | 5,976 | 695,786 | |||||
Albany International, Cl. A | 18,994 | 1,496,537 | |||||
American Woodmark | 10,234 | a | 460,632 | ||||
Apogee Enterprises | 13,461 | 527,940 | |||||
Applied Industrial Technologies | 23,162 | 2,227,489 |
7
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Capital Goods - 10.5% (continued) | |||||||
Arcosa | 29,274 | 1,359,192 | |||||
Astec Industries | 14,061 | 573,408 | |||||
AZZ | 14,979 | 611,443 | |||||
Barnes Group | 28,328 | 882,134 | |||||
Boise Cascade | 23,909 | 1,422,346 | |||||
CIRCOR International | 12,372 | a | 202,777 | ||||
Comfort Systems USA | 21,713 | 1,805,436 | |||||
DXP Enterprises | 10,302 | a | 315,550 | ||||
Encore Wire | 11,928 | 1,239,558 | |||||
Enerpac Tool Group | 36,427 | a | 692,842 | ||||
EnPro Industries | 12,532 | 1,026,747 | |||||
ESCO Technologies | 15,566 | 1,064,247 | |||||
Federal Signal | 36,518 | 1,300,041 | |||||
Franklin Electric | 23,453 | 1,718,167 | |||||
Gibraltar Industries | 19,799 | a | 767,211 | ||||
GMS | 25,840 | a | 1,149,880 | ||||
Granite Construction | 27,264 | 794,473 | |||||
Griffon | 28,665 | 803,480 | |||||
Hillenbrand | 43,211 | 1,769,923 | |||||
Insteel Industries | 11,574 | 389,697 | |||||
John Bean Technologies | 19,165 | 2,116,199 | |||||
Kaman | 16,760 | 523,750 | |||||
Lindsay | 6,654 | 883,784 | |||||
Meritor | 42,844 | a | 1,556,523 | ||||
Moog, Cl. A | 17,473 | 1,387,181 | |||||
Mueller Industries | 34,370 | 1,831,577 | |||||
MYR Group | 10,242 | a | 902,627 | ||||
National Presto Industries | 3,131 | 205,519 | |||||
NOW | 66,747 | a | 652,786 | ||||
NV5 Global | 7,185 | a | 838,777 | ||||
Park Aerospace | 12,005 | 153,184 | |||||
PGT Innovations | 36,037 | a | 599,656 | ||||
Powell Industries | 5,470 | 127,834 | |||||
Proto Labs | 16,692 | a | 798,545 | ||||
Quanex Building Products | 19,956 | 453,999 | |||||
Resideo Technologies | 87,817 | a | 1,705,406 | ||||
SPX | 27,621 | a | 1,459,494 | ||||
Standex International | 7,258 | 615,333 | |||||
Tennant | 11,183 | 662,593 | |||||
The Greenbrier Companies | 19,717 | 709,615 | |||||
Titan International | 31,353 | a | 473,430 | ||||
Trinity Industries | 41,598 | 1,007,504 | |||||
Triumph Group | 38,876 | a | 516,662 |
8
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Capital Goods - 10.5% (continued) | |||||||
UFP Industries | 37,641 | 2,564,858 | |||||
Veritiv | 8,432 | a | 915,294 | ||||
Wabash National | 29,676 | 403,000 | |||||
54,557,922 | |||||||
Commercial & Professional Services - 3.8% | |||||||
ABM Industries | 40,366 | 1,752,692 | |||||
Brady, Cl. A | 29,005 | 1,370,196 | |||||
CoreCivic | 73,113 | a | 812,285 | ||||
Deluxe | 26,312 | 570,181 | |||||
Exponent | 31,271 | 2,860,358 | |||||
Forrester Research | 6,875 | a | 328,900 | ||||
Harsco | 48,922 | a | 347,835 | ||||
Healthcare Services Group | 45,056 | 784,425 | |||||
Heidrick & Struggles International | 11,649 | 376,962 | |||||
HNI | 25,611 | 888,446 | |||||
Interface | 35,321 | 442,925 | |||||
KAR Auction Services | 73,732 | a | 1,089,022 | ||||
Kelly Services, Cl. A | 20,568 | 407,863 | |||||
Korn Ferry | 32,549 | 1,888,493 | |||||
ManTech International, Cl. A | 16,625 | 1,586,856 | |||||
Matthews International, Cl. A | 19,006 | 544,902 | |||||
Pitney Bowes | 98,521 | 356,646 | |||||
Resources Connection | 18,284 | 372,445 | |||||
The GEO Group | 75,687 | a,b,c | 499,534 | ||||
TrueBlue | 20,105 | a | 359,879 | ||||
UniFirst | 9,151 | 1,575,619 | |||||
Viad | 12,689 | a | 350,343 | ||||
19,566,807 | |||||||
Consumer Durables & Apparel - 3.6% | |||||||
Cavco Industries | 5,183 | a | 1,015,816 | ||||
Century Communities | 17,475 | 785,851 | |||||
Ethan Allen Interiors | 13,587 | 274,593 | |||||
Fossil Group | 29,221 | a | 151,073 | ||||
G-III Apparel Group | 26,301 | a | 532,069 | ||||
Installed Building Products | 13,961 | 1,160,997 | |||||
iRobot | 16,297 | a | 598,915 | ||||
Kontoor Brands | 27,870 | b | 930,022 | ||||
La-Z-Boy | 25,924 | 614,658 | |||||
LGI Homes | 12,566 | a,b | 1,091,985 | ||||
M.D.C. Holdings | 34,529 | 1,115,632 | |||||
M/I Homes | 17,066 | a | 676,838 | ||||
Meritage Homes | 22,145 | a | 1,605,512 | ||||
Movado Group | 9,736 | 301,134 |
9
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Consumer Durables & Apparel - 3.6% (continued) | |||||||
Oxford Industries | 9,229 | 818,981 | |||||
Sonos | 77,613 | a | 1,400,139 | ||||
Steven Madden | 45,152 | 1,454,346 | |||||
Sturm Ruger & Co. | 10,625 | 676,281 | |||||
Tri Pointe Homes | 62,502 | a | 1,054,409 | ||||
Tupperware Brands | 28,424 | a,b | 180,208 | ||||
Unifi | 8,751 | a | 123,039 | ||||
Universal Electronics | 7,991 | a | 204,330 | ||||
Vista Outdoor | 33,793 | a | 942,825 | ||||
Wolverine World Wide | 48,554 | 978,849 | |||||
18,688,502 | |||||||
Consumer Services - 1.9% | |||||||
Adtalem Global Education | 27,270 | a | 980,902 | ||||
American Public Education | 11,106 | a | 179,473 | ||||
BJ's Restaurants | 13,744 | a | 297,970 | ||||
Bloomin‘ Brands | 48,507 | 806,186 | |||||
Brinker International | 26,388 | a,b | 581,328 | ||||
Chuy's Holdings | 11,443 | a | 227,945 | ||||
Dave & Buster's Entertainment | 23,535 | a | 771,477 | ||||
Dine Brands Global | 10,066 | b | 655,095 | ||||
El Pollo Loco Holdings | 11,421 | a | 112,383 | ||||
Golden Entertainment | 12,095 | a | 478,357 | ||||
Jack in the Box | 12,816 | 718,465 | |||||
Monarch Casino & Resort | 8,101 | a | 475,286 | ||||
Perdoceo Education | 41,736 | a | 491,650 | ||||
Ruth's Hospitality Group | 18,689 | 303,883 | |||||
Shake Shack, Cl. A | 23,574 | a | 930,702 | ||||
Strategic Education | 13,744 | 970,052 | |||||
The Cheesecake Factory | 29,567 | b | 781,160 | ||||
WW International | 32,870 | a,b | 210,039 | ||||
9,972,353 | |||||||
Diversified Financials - 3.1% | |||||||
Apollo Commercial Real Estate Finance | 80,349 | c | 838,844 | ||||
ARMOUR Residential REIT | 60,206 | b,c | 423,850 | ||||
B. Riley Financial | 9,878 | b | 417,345 | ||||
Blucora | 28,465 | a | 525,464 | ||||
Brightsphere Investment Group | 19,361 | 348,692 | |||||
Donnelley Financial Solutions | 16,904 | a | 495,118 | ||||
Ellington Financial | 33,960 | b,c | 498,193 | ||||
Encore Capital Group | 14,609 | a | 843,962 | ||||
Enova International | 19,655 | a | 566,457 | ||||
EZCORP, Cl. A | 31,702 | a | 238,082 | ||||
Franklin BSP Realty Trust | 49,333 | b,c | 665,009 |
10
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Diversified Financials - 3.1% (continued) | |||||||
Granite Point Mortgage Trust | 33,224 | c | 317,954 | ||||
Green Dot, Cl. A | 33,211 | a | 833,928 | ||||
Invesco Mortgage Capital | 19,275 | b,c | 282,957 | ||||
KKR Real Estate Finance Trust | 29,723 | c | 518,666 | ||||
LendingTree | 6,615 | a | 289,869 | ||||
New York Mortgage Trust | 229,082 | c | 632,266 | ||||
PennyMac Mortgage Investment Trust | 55,811 | b,c | 771,866 | ||||
Piper Sandler | 8,576 | 972,175 | |||||
PRA Group | 23,952 | a | 870,895 | ||||
PROG Holdings | 32,655 | a | 538,807 | ||||
Ready Capital | 41,322 | b,c | 492,558 | ||||
Redwood Trust | 72,028 | c | 555,336 | ||||
StoneX Group | 10,399 | a | 811,850 | ||||
Two Harbors Investment | 209,314 | c | 1,042,384 | ||||
Virtus Investment Partners | 4,230 | 723,415 | |||||
WisdomTree Investments | 67,234 | 340,876 | |||||
World Acceptance | 2,210 | a | 248,050 | ||||
16,104,868 | |||||||
Energy - 5.2% | |||||||
Archrock | 81,118 | 670,846 | |||||
Bristow Group | 14,114 | a | 330,268 | ||||
Callon Petroleum | 28,807 | a | 1,129,234 | ||||
Civitas Resources | 43,610 | b | 2,280,367 | ||||
CONSOL Energy | 19,276 | a | 951,849 | ||||
Core Laboratories | 27,980 | b | 554,284 | ||||
DMC Global | 11,361 | a | 204,839 | ||||
Dorian LPG | 16,365 | 248,748 | |||||
Dril-Quip | 21,223 | a | 547,553 | ||||
Green Plains | 32,566 | a | 884,818 | ||||
Helix Energy Solutions Group | 87,609 | a | 271,588 | ||||
Helmerich & Payne | 63,466 | 2,732,846 | |||||
Laredo Petroleum | 8,702 | a | 599,916 | ||||
Nabors Industries | 5,313 | a | 711,411 | ||||
Oceaneering International | 60,149 | a | 642,391 | ||||
Oil States International | 37,911 | a | 205,478 | ||||
Par Pacific Holdings | 27,209 | a | 424,188 | ||||
Patterson-UTI Energy | 130,833 | 2,061,928 | |||||
PBF Energy, Cl. A | 57,376 | a | 1,665,052 | ||||
ProPetro Holding | 51,016 | a | 510,160 | ||||
Ranger Oil, Cl. A | 12,946 | a | 425,535 | ||||
REX American Resources | 3,053 | a | 258,894 | ||||
RPC | 43,210 | a | 298,581 | ||||
SM Energy | 73,529 | 2,513,957 |
11
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Energy - 5.2% (continued) | |||||||
Southwestern Energy | 673,325 | a | 4,208,281 | ||||
Talos Energy | 25,122 | a | 388,637 | ||||
U.S. Silica Holdings | 45,111 | a | 515,168 | ||||
World Fuel Services | 37,739 | 772,140 | |||||
27,008,957 | |||||||
Food & Staples Retailing - .9% | |||||||
PriceSmart | 14,470 | 1,036,486 | |||||
SpartanNash | 21,717 | 655,202 | |||||
The Andersons | 18,917 | 624,072 | |||||
The Chefs' Warehouse | 19,667 | a | 764,850 | ||||
United Natural Foods | 35,328 | a | 1,391,923 | ||||
4,472,533 | |||||||
Food, Beverage & Tobacco - 3.2% | |||||||
B&G Foods | 41,322 | b | 982,637 | ||||
Calavo Growers | 10,881 | a | 453,955 | ||||
Cal-Maine Foods | 22,776 | 1,125,362 | |||||
Celsius Holdings | 23,233 | a,b | 1,516,186 | ||||
Coca-Cola Consolidated | 2,777 | 1,565,950 | |||||
Fresh Del Monte Produce | 19,914 | 588,060 | |||||
Hostess Brands | 83,190 | a | 1,764,460 | ||||
J&J Snack Foods | 9,066 | 1,266,158 | |||||
John B. Sanfilippo & Son | 5,485 | a | 397,608 | ||||
MGP Ingredients | 7,561 | 756,780 | |||||
National Beverage | 14,082 | a | 689,173 | ||||
Seneca Foods, Cl. A | 3,561 | a | 197,778 | ||||
The Simply Good Foods Company | 52,983 | a | 2,001,168 | ||||
Tootsie Roll Industries | 11,010 | 389,203 | |||||
TreeHouse Foods | 33,587 | a | 1,404,608 | ||||
Universal | 14,939 | 903,809 | |||||
Vector Group | 79,593 | 835,726 | |||||
16,838,621 | |||||||
Health Care Equipment & Services - 7.8% | |||||||
Addus HomeCare | 9,602 | a | 799,654 | ||||
Allscripts Healthcare Solutions | 70,004 | a | 1,038,159 | ||||
AMN Healthcare Services | 26,979 | a | 2,959,866 | ||||
AngioDynamics | 23,813 | a | 460,782 | ||||
Apollo Medical Holdings | 22,874 | a,b | 882,708 | ||||
Artivion | 23,413 | a | 442,037 | ||||
Avanos Medical | 28,548 | a | 780,502 | ||||
BioLife Solutions | 17,645 | a | 243,677 | ||||
Cardiovascular Systems | 25,063 | a | 359,905 | ||||
Community Health Systems | 76,655 | a | 287,456 | ||||
Computer Programs & Systems | 9,048 | a | 289,265 |
12
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Health Care Equipment & Services - 7.8% (continued) | |||||||
CONMED | 17,788 | 1,703,379 | |||||
CorVel | 5,696 | a | 838,850 | ||||
Covetrus | 62,851 | a | 1,304,158 | ||||
Cross Country Healthcare | 20,840 | a | 434,097 | ||||
Cutera | 9,718 | a,b | 364,425 | ||||
Embecta | 34,608 | a | 876,275 | ||||
Fulgent Genetics | 11,731 | a | 639,691 | ||||
Glaukos | 28,519 | a | 1,295,333 | ||||
Hanger | 22,677 | a | 324,735 | ||||
HealthStream | 14,783 | a | 320,939 | ||||
Heska | 6,442 | a | 608,833 | ||||
Inogen | 12,632 | a | 305,442 | ||||
Integer Holdings | 19,996 | a | 1,412,917 | ||||
Lantheus Holdings | 41,291 | a | 2,726,445 | ||||
LeMaitre Vascular | 11,870 | 540,678 | |||||
Meridian Bioscience | 26,783 | a | 814,739 | ||||
Merit Medical Systems | 30,904 | a | 1,677,160 | ||||
Mesa Laboratories | 3,224 | b | 657,503 | ||||
ModivCare | 7,603 | a | 642,453 | ||||
Natus Medical | 20,606 | a | 675,259 | ||||
NextGen Healthcare | 33,556 | a | 585,217 | ||||
Omnicell | 26,726 | a | 3,040,082 | ||||
OptimizeRx | 10,976 | a | 300,633 | ||||
OraSure Technologies | 44,496 | a | 120,584 | ||||
Orthofix Medical | 12,196 | a | 287,094 | ||||
Owens & Minor | 45,734 | a | 1,438,334 | ||||
Pediatrix Medical Group | 51,844 | a | 1,089,242 | ||||
RadNet | 28,631 | a | 494,744 | ||||
Select Medical Holdings | 62,138 | 1,467,700 | |||||
Simulations Plus | 9,712 | b | 479,093 | ||||
SurModics | 8,497 | a | 316,343 | ||||
The Ensign Group | 31,829 | 2,338,477 | |||||
The Joint | 8,903 | a | 136,305 | ||||
The Pennant Group | 16,704 | a | 213,978 | ||||
U.S. Physical Therapy | 7,813 | 853,180 | |||||
Varex Imaging | 24,350 | a | 520,846 | ||||
Zimvie | 12,803 | a | 204,976 | ||||
Zynex | 13,925 | b | 111,122 | ||||
40,705,272 | |||||||
Household & Personal Products - 1.4% | |||||||
Central Garden & Pet | 5,996 | a | 254,350 | ||||
Central Garden & Pet, Cl. A | 23,712 | a | 948,717 | ||||
e.l.f. Beauty | 28,920 | a | 887,266 |
13
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Household & Personal Products - 1.4% (continued) | |||||||
Edgewell Personal Care | 31,817 | 1,098,323 | |||||
Inter Parfums | 10,707 | 782,253 | |||||
Medifast | 6,946 | 1,253,822 | |||||
USANA Health Sciences | 7,032 | a | 508,836 | ||||
WD-40 | 8,199 | 1,650,951 | |||||
7,384,518 | |||||||
Insurance - 2.7% | |||||||
Ambac Financial Group | 27,109 | a | 307,687 | ||||
American Equity Investment Life Holding | 46,591 | a | 1,703,833 | ||||
AMERISAFE | 11,632 | 604,980 | |||||
Assured Guaranty | 38,635 | 2,155,447 | |||||
eHealth | 14,669 | a | 136,862 | ||||
Employers Holdings | 16,497 | 691,059 | |||||
Genworth Financial, Cl. A | 308,605 | a | 1,089,376 | ||||
HCI Group | 4,939 | b | 334,667 | ||||
Horace Mann Educators | 25,176 | 966,255 | |||||
James River Group Holdings | 22,385 | 554,700 | |||||
Palomar Holdings | 14,622 | a | 941,657 | ||||
ProAssurance | 32,617 | 770,740 | |||||
Safety Insurance Group | 8,405 | 816,125 | |||||
Selectquote | 76,967 | a | 190,878 | ||||
SiriusPoint | 51,441 | a | 278,810 | ||||
Stewart Information Services | 16,313 | 811,572 | |||||
Trupanion | 20,869 | a | 1,257,566 | ||||
United Fire Group | 13,347 | 456,868 | |||||
Universal Insurance Holdings | 17,327 | 225,771 | |||||
14,294,853 | |||||||
Materials - 5.3% | |||||||
AdvanSix | 16,949 | 566,775 | |||||
Allegheny Technologies | 75,163 | a | 1,706,952 | ||||
American Vanguard | 15,919 | 355,790 | |||||
Arconic | 63,760 | a | 1,788,468 | ||||
Balchem | 19,352 | a | 2,510,728 | ||||
Carpenter Technology | 28,929 | 807,408 | |||||
Century Aluminum | 31,121 | a | 229,362 | ||||
Clearwater Paper | 10,308 | a | 346,658 | ||||
Compass Minerals International | 20,741 | 734,024 | |||||
FutureFuel | 14,870 | 108,254 | |||||
GCP Applied Technologies | 32,827 | a | 1,026,829 | ||||
Glatfelter | 27,502 | 189,214 | |||||
H.B. Fuller | 32,130 | 1,934,547 | |||||
Hawkins | 11,616 | 418,524 |
14
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Materials - 5.3% (continued) | |||||||
Haynes International | 7,350 | 240,860 | |||||
Innospec | 14,991 | 1,435,988 | |||||
Kaiser Aluminum | 9,642 | 762,586 | |||||
Koppers Holdings | 12,538 | 283,860 | |||||
Livent | 97,531 | a | 2,212,978 | ||||
Materion | 12,431 | 916,538 | |||||
Mativ | 18,830 | 473,010 | |||||
Mercer International | 23,743 | 312,220 | |||||
Myers Industries | 21,680 | 492,786 | |||||
Neenah | 9,936 | 339,215 | |||||
O-I Glass | 94,077 | a | 1,317,078 | ||||
Olympic Steel | 5,389 | 138,767 | |||||
Quaker Chemical | 8,162 | b | 1,220,382 | ||||
Rayonier Advanced Materials | 39,369 | a | 103,147 | ||||
Stepan | 12,741 | 1,291,300 | |||||
SunCoke Energy | 51,351 | 349,700 | |||||
Sylvamo | 21,457 | 701,215 | |||||
TimkenSteel | 24,696 | a | 462,062 | ||||
Tredegar | 15,257 | 152,570 | |||||
Trinseo | 21,830 | 839,582 | |||||
Warrior Met Coal | 31,319 | 958,675 | |||||
27,728,052 | |||||||
Media & Entertainment - 1.2% | |||||||
AMC Networks, Cl. A | 18,054 | a | 525,732 | ||||
Cars.com | 38,609 | a | 364,083 | ||||
Cinemark Holdings | 64,754 | a | 972,605 | ||||
Gannett | 87,883 | a | 254,861 | ||||
Loyalty Ventures | 12,308 | a | 43,940 | ||||
QuinStreet | 29,758 | a | 299,365 | ||||
Scholastic | 18,386 | 661,344 | |||||
TechTarget | 16,018 | a | 1,052,703 | ||||
The E.W. Scripps Company, Cl. A | 34,252 | a | 427,122 | ||||
The Marcus | 12,889 | a,b | 190,371 | ||||
Thryv Holdings | 10,490 | a | 234,871 | ||||
Yelp | 39,617 | a | 1,100,164 | ||||
6,127,161 | |||||||
Pharmaceuticals Biotechnology & Life Sciences - 4.5% | |||||||
Amphastar Pharmaceuticals | 22,301 | a | 775,852 | ||||
ANI Pharmaceuticals | 7,815 | a | 231,871 | ||||
Anika Therapeutics | 8,900 | a | 198,648 | ||||
Arcus Biosciences | 27,727 | a | 702,602 | ||||
Avid Bioservices | 37,536 | a,b | 572,799 | ||||
Cara Therapeutics | 24,802 | a | 226,442 |
15
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Pharmaceuticals Biotechnology & Life Sciences - 4.5% (continued) | |||||||
Coherus Biosciences | 39,397 | a,b | 285,234 | ||||
Collegium Pharmaceutical | 20,310 | a | 359,893 | ||||
Corcept Therapeutics | 57,480 | a | 1,366,874 | ||||
Cytokinetics | 51,661 | a,b | 2,029,761 | ||||
Dynavax Technologies | 70,886 | a,b | 892,455 | ||||
Eagle Pharmaceuticals | 7,019 | a | 311,854 | ||||
Emergent BioSolutions | 27,051 | a | 839,663 | ||||
Enanta Pharmaceuticals | 11,054 | a | 522,523 | ||||
Harmony Biosciences Holdings | 13,676 | a | 666,979 | ||||
Innoviva | 37,562 | a,b | 554,415 | ||||
Ironwood Pharmaceuticals | 92,125 | a | 1,062,201 | ||||
iTeos Therapeutics | 12,406 | a | 255,564 | ||||
Ligand Pharmaceuticals | 10,149 | a | 905,494 | ||||
Myriad Genetics | 48,594 | a | 882,953 | ||||
Nektar Therapeutics | 113,962 | a,b | 433,056 | ||||
NeoGenomics | 74,403 | a | 606,384 | ||||
Organogenesis Holdings | 38,677 | a | 188,744 | ||||
Pacira Biosciences | 27,413 | a | 1,598,178 | ||||
Phibro Animal Health, Cl. A | 12,562 | 240,311 | |||||
Prestige Consumer Healthcare | 30,456 | a | 1,790,813 | ||||
REGENXBIO | 22,436 | a | 554,169 | ||||
Supernus Pharmaceuticals | 32,282 | a | 933,595 | ||||
uniQure | 22,278 | a,b | 415,262 | ||||
Vanda Pharmaceuticals | 33,105 | a | 360,844 | ||||
Vericel | 28,347 | a,b | 713,777 | ||||
Vir Biotechnology | 44,526 | a | 1,134,077 | ||||
Xencor | 35,410 | a | 969,172 | ||||
23,582,459 | |||||||
Real Estate - 7.6% | |||||||
Acadia Realty Trust | 56,693 | c | 885,545 | ||||
Agree Realty | 45,333 | c | 3,269,869 | ||||
Alexander & Baldwin | 44,077 | c | 791,182 | ||||
American Assets Trust | 31,585 | c | 938,074 | ||||
Anywhere Real Estate | 70,738 | a | 695,355 | ||||
Armada Hoffler Properties | 41,380 | c | 531,319 | ||||
Brandywine Realty Trust | 104,080 | c | 1,003,331 | ||||
CareTrust REIT | 58,084 | c | 1,071,069 | ||||
Centerspace | 9,236 | c | 753,196 | ||||
Chatham Lodging Trust | 30,123 | a,c | 314,785 | ||||
Community Healthcare Trust | 14,062 | c | 509,185 | ||||
DiamondRock Hospitality | 127,082 | a,c | 1,043,343 | ||||
Diversified Healthcare Trust | 147,622 | c | 268,672 |
16
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Real Estate - 7.6% (continued) | |||||||
Douglas Elliman | 40,429 | 193,655 | |||||
Easterly Government Properties | 54,327 | c | 1,034,386 | ||||
Essential Properties Realty Trust | 78,818 | c | 1,693,799 | ||||
Four Corners Property Trust | 48,167 | c | 1,280,761 | ||||
Franklin Street Properties | 58,722 | c | 244,871 | ||||
Getty Realty | 24,392 | c | 646,388 | ||||
Global Net Lease | 62,902 | c | 890,692 | ||||
Hersha Hospitality Trust | 20,401 | a,c | 200,134 | ||||
Industrial Logistics Properties Trust | 39,276 | c | 553,006 | ||||
Innovative Industrial Properties | 16,852 | b,c | 1,851,529 | ||||
iStar | 49,676 | c | 681,058 | ||||
LTC Properties | 23,899 | b,c | 917,483 | ||||
LXP Industrial Trust | 172,012 | c | 1,847,409 | ||||
Marcus & Millichap | 14,880 | 550,411 | |||||
NexPoint Residential Trust | 13,823 | c | 864,076 | ||||
Office Properties Income Trust | 29,203 | c | 582,600 | ||||
Orion Office REIT | 34,842 | b,c | 381,868 | ||||
RE/MAX Holdings, Cl. A | 11,669 | 286,124 | |||||
Retail Opportunity Investments | 74,239 | c | 1,171,491 | ||||
RPT Realty | 51,954 | c | 510,708 | ||||
Safehold | 9,257 | c | 327,420 | ||||
Saul Centers | 8,051 | c | 379,283 | ||||
Service Properties Trust | 99,279 | c | 519,229 | ||||
SITE Centers | 108,983 | c | 1,468,001 | ||||
Summit Hotel Properties | 63,884 | a,c | 464,437 | ||||
Tanger Factory Outlet Centers | 63,245 | c | 899,344 | ||||
The St. Joe Company | 20,089 | 794,721 | |||||
Uniti Group | 143,580 | c | 1,352,524 | ||||
Universal Health Realty Income Trust | 7,605 | c | 404,662 | ||||
Urban Edge Properties | 66,196 | c | 1,006,841 | ||||
Urstadt Biddle Properties, Cl. A | 18,611 | c | 301,498 | ||||
Veris Residential | 48,398 | a,c | 640,790 | ||||
Washington Real Estate Investment Trust | 52,366 | c | 1,115,919 | ||||
Whitestone REIT | 27,129 | c | 291,637 | ||||
Xenia Hotels & Resorts | 69,463 | a,c | 1,009,297 | ||||
39,432,977 | |||||||
Retailing - 4.3% | |||||||
Abercrombie & Fitch, Cl. A | 30,408 | a | 514,503 | ||||
Academy Sports & Outdoors | 51,544 | 1,831,874 | |||||
America's Car-Mart | 3,595 | a | 361,657 | ||||
Asbury Automotive Group | 13,359 | a | 2,262,213 | ||||
Bed Bath & Beyond | 48,072 | a,b | 238,918 |
17
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Retailing - 4.3% (continued) | |||||||
Big Lots | 17,209 | b | 360,873 | ||||
Boot Barn Holdings | 18,046 | a | 1,243,550 | ||||
Caleres | 23,027 | 604,228 | |||||
Chico's FAS | 75,644 | a | 375,951 | ||||
Conn's | 9,388 | a | 75,292 | ||||
Designer Brands, Cl. A | 36,600 | 477,996 | |||||
Genesco | 7,823 | a | 390,446 | ||||
Group 1 Automotive | 10,017 | b | 1,700,887 | ||||
Guess? | 21,591 | b | 368,127 | ||||
Haverty Furniture | 8,487 | 196,729 | |||||
Hibbett | 7,385 | 322,798 | |||||
Liquidity Services | 15,961 | a | 214,516 | ||||
Ll Flooring Holdings | 17,500 | a,b | 163,975 | ||||
MarineMax | 12,974 | a | 468,621 | ||||
Monro | 20,391 | 874,366 | |||||
National Vision Holdings | 48,529 | a | 1,334,547 | ||||
PetMed Express | 12,929 | 257,287 | |||||
Rent-A-Center | 32,508 | 632,281 | |||||
Sally Beauty Holdings | 64,534 | a | 769,245 | ||||
Shoe Carnival | 10,152 | 219,385 | |||||
Shutterstock | 14,111 | 808,701 | |||||
Signet Jewelers | 28,607 | 1,529,330 | |||||
Sleep Number | 13,644 | a | 422,282 | ||||
Sonic Automotive, Cl. A | 11,812 | 432,674 | |||||
The Aaron's Company | 18,505 | 269,248 | |||||
The Buckle | 17,620 | 487,898 | |||||
The Cato, Cl. A | 10,049 | 116,669 | |||||
The Children's Place | 7,747 | a | 301,513 | ||||
The ODP | 26,400 | a | 798,336 | ||||
Urban Outfitters | 37,922 | a | 707,625 | ||||
Zumiez | 10,078 | a | 262,028 | ||||
22,396,569 | |||||||
Semiconductors & Semiconductor Equipment - 3.1% | |||||||
Alpha & Omega Semiconductor | 12,978 | a | 432,687 | ||||
Axcelis Technologies | 19,916 | a | 1,092,193 | ||||
CEVA | 13,735 | a | 460,947 | ||||
Cohu | 29,565 | a | 820,429 | ||||
Diodes | 27,380 | a | 1,767,927 | ||||
FormFactor | 47,028 | a | 1,821,394 | ||||
Ichor Holdings | 17,104 | a | 444,362 | ||||
Kulicke & Soffa Industries | 35,689 | b | 1,527,846 | ||||
MaxLinear | 42,936 | a | 1,458,965 | ||||
Onto Innovation | 29,971 | a | 2,090,178 |
18
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Semiconductors & Semiconductor Equipment - 3.1% (continued) | |||||||
PDF Solutions | 17,736 | a | 381,501 | ||||
Photronics | 37,685 | a | 734,104 | ||||
Rambus | 66,322 | a | 1,425,260 | ||||
SMART Global Holdings | 28,615 | a | 468,428 | ||||
Ultra Clean Holdings | 27,279 | a | 812,096 | ||||
Veeco Instruments | 30,418 | a | 590,109 | ||||
16,328,426 | |||||||
Software & Services - 4.7% | |||||||
8x8 | 72,801 | a | 374,925 | ||||
A10 Networks | 35,291 | 507,484 | |||||
Agilysys | 12,021 | a | 568,233 | ||||
Alarm.com Holdings | 27,967 | a | 1,730,039 | ||||
Cerence | 23,485 | a | 592,527 | ||||
Consensus Cloud Solutions | 9,587 | a | 418,760 | ||||
CSG Systems International | 18,843 | 1,124,550 | |||||
Digital Turbine | 53,219 | a | 929,736 | ||||
Ebix | 14,041 | 237,293 | |||||
EVERTEC | 35,852 | 1,322,222 | |||||
ExlService Holdings | 20,093 | a | 2,960,302 | ||||
InterDigital | 18,687 | 1,136,170 | |||||
LivePerson | 40,668 | a | 575,046 | ||||
Liveramp Holdings | 40,509 | a | 1,045,537 | ||||
OneSpan | 21,069 | a | 250,721 | ||||
Perficient | 20,849 | a | 1,911,645 | ||||
Progress Software | 26,638 | 1,206,701 | |||||
SPS Commerce | 21,722 | a | 2,455,672 | ||||
TTEC Holdings | 11,070 | 751,542 | |||||
Unisys | 40,044 | a | 481,729 | ||||
Vonage Holdings | 152,229 | a�� | 2,867,994 | ||||
Xperi Holding | 62,458 | 901,269 | |||||
24,350,097 | |||||||
Technology Hardware & Equipment - 5.6% | |||||||
3D Systems | 77,624 | a,b | 752,953 | ||||
ADTRAN | 29,241 | 512,595 | |||||
Advanced Energy Industries | 22,660 | 1,653,727 | |||||
Arlo Technologies | 52,159 | a | 327,037 | ||||
Badger Meter | 17,580 | 1,422,046 | |||||
Benchmark Electronics | 21,045 | 474,775 | |||||
CalAmp | 21,343 | a,b | 89,000 | ||||
Comtech Telecommunications | 16,274 | 147,605 | |||||
Corsair Gaming | 20,133 | a | 264,346 | ||||
CTS | 19,478 | 663,226 |
19
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Technology Hardware & Equipment - 5.6% (continued) | |||||||
Diebold Nixdorf | 45,010 | a | 102,173 | ||||
Digi International | 21,049 | a | 509,807 | ||||
ePlus | 16,347 | a | 868,353 | ||||
Extreme Networks | 78,344 | a | 698,828 | ||||
Fabrinet | 22,190 | a | 1,799,609 | ||||
FARO Technologies | 11,251 | a | 346,868 | ||||
Harmonic | 63,382 | a,b | 549,522 | ||||
Insight Enterprises | 21,218 | a | 1,830,689 | ||||
Itron | 27,147 | a | 1,341,876 | ||||
Knowles | 54,975 | a | 952,717 | ||||
Methode Electronics | 22,265 | 824,696 | |||||
NETGEAR | 18,086 | a | 334,953 | ||||
NETSCOUT Systems | 44,561 | a | 1,508,390 | ||||
OSI Systems | 9,598 | a | 820,053 | ||||
PC Connection | 6,799 | a | 299,496 | ||||
Plantronics | 25,626 | a | 1,016,840 | ||||
Plexus | 16,705 | a | 1,311,342 | ||||
Rogers | 11,287 | a | 2,958,210 | ||||
Sanmina | 36,697 | a | 1,494,669 | ||||
ScanSource | 15,346 | a | 477,874 | ||||
TTM Technologies | 60,829 | a | 760,362 | ||||
Viavi Solutions | 137,066 | a | 1,813,383 | ||||
28,928,020 | |||||||
Telecommunication Services - .9% | |||||||
ATN International | 6,520 | 305,853 | |||||
Cogent Communications Holdings | 25,806 | 1,567,973 | |||||
Consolidated Communications Holdings | 44,216 | a | 309,512 | ||||
Gogo | 41,399 | a | 670,250 | ||||
Shenandoah Telecommunication | 30,177 | a | 669,929 | ||||
Telephone & Data Systems | 59,063 | 932,605 | |||||
4,456,122 | |||||||
Transportation - 1.9% | |||||||
Allegiant Travel | 9,241 | a | 1,045,065 | ||||
ArcBest | 14,772 | 1,039,506 | |||||
Atlas Air Worldwide Holdings | 15,805 | a | 975,327 | ||||
Forward Air | 16,186 | 1,488,465 | |||||
Hawaiian Holdings | 31,519 | a | 451,037 | ||||
Heartland Express | 27,628 | 384,305 | |||||
Hub Group, Cl. A | 20,493 | a | 1,453,773 | ||||
Marten Transport | 35,477 | 596,723 | |||||
Matson | 24,467 | 1,783,155 | |||||
SkyWest | 30,493 | a | 647,976 | ||||
9,865,332 |
20
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Utilities - 2.3% | |||||||
American States Water | 22,215 | 1,810,745 | |||||
Avista | 43,616 | 1,897,732 | |||||
California Water Service Group | 32,369 | 1,798,098 | |||||
Chesapeake Utilities | 10,707 | 1,387,092 | |||||
Middlesex Water | 10,637 | 932,652 | |||||
Northwest Natural Holding | 20,565 | 1,092,001 | |||||
South Jersey Industries | 73,826 | 2,520,420 | |||||
Unitil | 9,876 | 579,919 | |||||
12,018,659 | |||||||
Total Common Stocks (cost $388,822,598) | 516,429,086 | ||||||
Exchange-Traded Funds - .2% | |||||||
Registered Investment Companies - .2% | |||||||
iShares Core S&P Small-Cap ETF | 12,459 | 1,151,336 | |||||
1-Day | |||||||
Investment Companies - .5% | |||||||
Registered Investment Companies - .5% | |||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares | 1.48 | 2,647,797 | d | 2,647,797 | |||
Investment of Cash Collateral for Securities Loaned - 1.0% | |||||||
Registered Investment Companies - 1.0% | |||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund, SL Shares | 1.48 | 5,258,669 | d | 5,258,669 | |||
Total Investments (cost $397,886,455) | 101.0% | 525,486,888 | |||||
Liabilities, Less Cash and Receivables | (1.0%) | (5,455,239) | |||||
Net Assets | 100.0% | 520,031,649 |
ETF—Exchange-Traded Fund
REIT—Real Estate Investment Trust
a Non-income producing security.
b Security, or portion thereof, on loan. At June 30, 2022, the value of the fund’s securities on loan was $25,333,429 and the value of the collateral was $26,193,356, consisting of cash collateral of $5,258,669 and U.S. Government & Agency securities valued at $20,934,687. In addition, the value of collateral may include pending sales that are also on loan.
c Investment in real estate investment trust within the United States.
d Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
21
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Portfolio Summary (Unaudited) † | Value (%) |
Financials | 18.1 |
Industrials | 16.1 |
Information Technology | 13.4 |
Health Care | 12.4 |
Consumer Discretionary | 11.4 |
Real Estate | 7.6 |
Consumer Staples | 5.5 |
Materials | 5.3 |
Energy | 5.2 |
Utilities | 2.3 |
Communication Services | 2.0 |
Investment Companies | 1.7 |
101.0 |
† Based on net assets.
See notes to financial statements.
Affiliated Issuers | ||||||
Description | Value ($) 12/31/2021 | Purchases ($)† | Sales ($) | Value ($) 6/30/2022 | Dividends/ | |
Registered Investment Companies - .5% | ||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares - .5% | 2,920,647 | 47,748,668 | (48,021,518) | 2,647,797 | 4,600 | |
Investment of Cash Collateral for Securities Loaned - 1.0% | ||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund, SL Shares - 1.0% | 5,553,518 | 64,522,843 | (64,817,692) | 5,258,669 | 35,484 | †† |
Total - 1.5% | 8,474,165 | 112,271,511 | (112,839,210) | 7,906,466 | 40,084 |
† Includes reinvested dividends/distributions.
†† Represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.
See notes to financial statements.
22
Futures | ||||||
Description | Number of | Expiration | Notional | Market | Unrealized (Depreciation) ($) | |
Futures Long | ||||||
E-mini Russell 2000 | 31 | 9/16/2022 | 2,659,393 | 2,647,400 | (11,993) | |
Gross Unrealized Depreciation | (11,993) |
See notes to financial statements.
23
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2022 (Unaudited)
|
|
|
|
|
|
|
|
|
| Cost |
| Value |
|
Assets ($): |
|
|
|
| ||
Investments in securities—See Statement of Investments |
|
|
| |||
Unaffiliated issuers | 389,979,989 |
| 517,580,422 |
| ||
Affiliated issuers |
| 7,906,466 |
| 7,906,466 |
| |
Dividends and securities lending income receivable |
| 609,163 |
| |||
Cash collateral held by broker—Note 4 |
| 210,000 |
| |||
Receivable for shares of Beneficial Interest subscribed |
| 87,215 |
| |||
|
|
|
|
| 526,393,266 |
|
Liabilities ($): |
|
|
|
| ||
Due to BNY Mellon Investment Adviser, Inc. and affiliates—Note 3(b) |
| 263,213 |
| |||
Liability for securities on loan—Note 1(c) |
| 5,258,669 |
| |||
Payable for investment securities purchased |
| 530,619 |
| |||
Payable for shares of Beneficial Interest redeemed |
| 283,292 |
| |||
Payable for futures variation margin—Note 4 |
| 20,770 |
| |||
Trustees’ fees and expenses payable |
| 5,054 |
| |||
|
|
|
|
| 6,361,617 |
|
Net Assets ($) |
|
| 520,031,649 |
| ||
Composition of Net Assets ($): |
|
|
|
| ||
Paid-in capital |
|
|
|
| 388,591,168 |
|
Total distributable earnings (loss) |
|
|
|
| 131,440,481 |
|
Net Assets ($) |
|
| 520,031,649 |
|
Shares Outstanding |
|
| ||
(unlimited number of $.001 par value shares of Beneficial Interest authorized) | 31,088,716 |
| ||
Net Asset Value Per Share ($) |
| 16.73 |
| |
|
|
|
|
|
See notes to financial statements. |
|
|
|
|
24
STATEMENT OF OPERATIONS
Six Months Ended June 30, 2022 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Income ($): |
|
|
|
| ||
Income: |
|
|
|
| ||
Cash dividends (net of $3,678 foreign taxes withheld at source): |
| |||||
Unaffiliated issuers |
|
| 4,340,983 |
| ||
Affiliated issuers |
|
| 4,600 |
| ||
Income from securities lending—Note 1(c) |
|
| 35,484 |
| ||
Total Income |
|
| 4,381,067 |
| ||
Expenses: |
|
|
|
| ||
Management fee—Note 3(a) |
|
| 1,046,199 |
| ||
Distribution fees—Note 3(b) |
|
| 747,285 |
| ||
Trustees’ fees—Note 3(a,c) |
|
| 14,480 |
| ||
Interest expense—Note 2 |
|
| 4,757 |
| ||
Loan commitment fees—Note 2 |
|
| 4,514 |
| ||
Total Expenses |
|
| 1,817,235 |
| ||
Less—Trustees’ fees reimbursed by |
|
| (14,480) |
| ||
Net Expenses |
|
| 1,802,755 |
| ||
Net Investment Income |
|
| 2,578,312 |
| ||
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): |
|
| ||||
Net realized gain (loss) on investments | 19,645,036 |
| ||||
Net realized gain (loss) on futures | (780,278) |
| ||||
Net Realized Gain (Loss) |
|
| 18,864,758 |
| ||
Net change in unrealized appreciation (depreciation) on investments | (149,994,137) |
| ||||
Net change in unrealized appreciation (depreciation) on futures | (68,879) |
| ||||
Net Change in Unrealized Appreciation (Depreciation) |
|
| (150,063,016) |
| ||
Net Realized and Unrealized Gain (Loss) on Investments |
|
| (131,198,258) |
| ||
Net (Decrease) in Net Assets Resulting from Operations |
| (128,619,946) |
| |||
|
|
|
|
|
|
|
See notes to financial statements. |
25
STATEMENT OF CHANGES IN NET ASSETS
|
|
|
|
|
|
|
|
|
|
|
|
|
| Six Months Ended |
| Year Ended |
| ||
Operations ($): |
|
|
|
|
|
|
|
| |
Net investment income |
|
| 2,578,312 |
|
|
| 5,199,289 |
| |
Net realized gain (loss) on investments |
| 18,864,758 |
|
|
| 68,976,512 |
| ||
Net change in unrealized appreciation |
| (150,063,016) |
|
|
| 83,881,426 |
| ||
Net Increase (Decrease) in Net Assets | (128,619,946) |
|
|
| 158,057,227 |
| |||
Distributions ($): |
| ||||||||
Distributions to shareholders |
|
| (76,196,225) |
|
|
| (14,696,730) |
| |
Beneficial Interest Transactions ($): |
| ||||||||
Net proceeds from shares sold |
|
| 33,086,533 |
|
|
| 133,850,453 |
| |
Distributions reinvested |
|
| 76,196,225 |
|
|
| 14,696,730 |
| |
Cost of shares redeemed |
|
| (107,458,100) |
|
|
| (186,869,361) |
| |
Increase (Decrease) in Net Assets | 1,824,658 |
|
|
| (38,322,178) |
| |||
Total Increase (Decrease) in Net Assets | (202,991,513) |
|
|
| 105,038,319 |
| |||
Net Assets ($): |
| ||||||||
Beginning of Period |
|
| 723,023,162 |
|
|
| 617,984,843 |
| |
End of Period |
|
| 520,031,649 |
|
|
| 723,023,162 |
| |
Capital Share Transactions (Shares): |
| ||||||||
Shares sold |
|
| 1,675,631 |
|
|
| 5,937,501 |
| |
Shares issued for distributions reinvested |
|
| 3,865,866 |
|
|
| 668,337 |
| |
Shares redeemed |
|
| (5,154,589) |
|
|
| (8,328,118) |
| |
Net Increase (Decrease) in Shares Outstanding | 386,908 |
|
|
| (1,722,280) |
| |||
|
|
|
|
|
|
|
|
|
|
See notes to financial statements. |
26
FINANCIAL HIGHLIGHTS
The following table describes the performance for the fiscal periods indicated. Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption at net asset value on the last day of the period. Net asset value total return includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. The fund’s total returns do not reflect expenses associated with variable annuity or insurance contracts. These figures have been derived from the fund’s financial statements.
Six Months Ended | ||||||||||
June 30, 2022 | Year Ended December 31, | |||||||||
(Unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 | |||||
Per Share Data ($): | ||||||||||
Net asset value, beginning of period | 23.55 | 19.06 | 19.06 | 17.17 | 20.12 | 18.88 | ||||
Investment Operations: | ||||||||||
Net investment incomea | .08 | .16 | .14 | .17 | .17 | .16 | ||||
Net realized and unrealized | (4.19) | 4.79 | 1.04 | 3.48 | (1.82) | 2.04 | ||||
Total from Investment Operations | (4.11) | 4.95 | 1.18 | 3.65 | (1.65) | 2.20 | ||||
Distributions: | ||||||||||
Dividends from | (.19) | (.15) | (.18) | (.17) | (.17) | (.13) | ||||
Dividends from net realized | (2.52) | (.31) | (1.00) | (1.59) | (1.13) | (.83) | ||||
Total Distributions | (2.71) | (.46) | (1.18) | (1.76) | (1.30) | (.96) | ||||
Net asset value, end of period | 16.73 | 23.55 | 19.06 | 19.06 | 17.17 | 20.12 | ||||
Total Return (%) | (19.21)b | 26.14 | 10.64 | 22.21 | (8.98) | 12.40 | ||||
Ratios/Supplemental Data (%): | ||||||||||
Ratio of total expenses | .61c | .61 | .61 | .61 | .61 | .63 | ||||
Ratio of net expenses | .60c | .60 | .60 | .60 | .60 | .60 | ||||
Ratio of net investment income | .86c | .73 | .95 | .94 | .82 | .88 | ||||
Portfolio Turnover Rate | 14.56b | 46.01 | 47.77 | 28.13 | 23.26 | 16.90 | ||||
Net Assets, end of period ($ x 1,000) | 520,032 | 723,023 | 617,985 | 576,508 | 509,695 | 562,014 |
a Based on average shares outstanding.
b Not annualized.
c Annualized.
See notes to financial statements.
27
NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 1—Significant Accounting Policies:
Small Cap Stock Index Portfolio (the “fund”) is a separate diversified series of BNY Mellon Investment Portfolios (the “Trust”), which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company currently offering three series, including the fund. The fund is only offered to separate accounts established by insurance companies to fund variable annuity contracts and variable life insurance policies. The fund’s investment objective is to seek to match the performance of the Standard & Poor’s® SmallCap 600 Index. BNY Mellon Investment Adviser, Inc. (the “Adviser”), a wholly-owned subsidiary of The Bank of New York Mellon Corporation (“BNY Mellon”), serves as the fund’s investment adviser. BNY Mellon Securities Corporation (the “Distributor”), a wholly-owned subsidiary of the Adviser, is the distributor of the fund’s shares, which are sold to the public without a sales charge.
The Trust accounts separately for the assets, liabilities and operations of each series. Expenses directly attributable to each series are charged to that series’ operations; expenses which are applicable to all series are allocated among them on a pro rata basis.
The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the SEC under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The fund is an investment company and applies the accounting and reporting guidance of the FASB ASC Topic 946 Financial Services-Investment Companies. The fund’s financial statements are prepared in accordance with GAAP, which may require the use of management estimates and assumptions. Actual results could differ from those estimates.
The Trust enters into contracts that contain a variety of indemnifications. The fund’s maximum exposure under these arrangements is unknown. The fund does not anticipate recognizing any loss related to these arrangements.
(a) Portfolio valuation: The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs of valuation techniques used to measure fair value. This hierarchy gives the highest priority to unadjusted quoted prices in
28
active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements).
Additionally, GAAP provides guidance on determining whether the volume and activity in a market has decreased significantly and whether such a decrease in activity results in transactions that are not orderly. GAAP requires enhanced disclosures around valuation inputs and techniques used during annual and interim periods.
Various inputs are used in determining the value of the fund’s investments relating to fair value measurements. These inputs are summarized in the three broad levels listed below:
Level 1—unadjusted quoted prices in active markets for identical investments.
Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.).
Level 3—significant unobservable inputs (including the fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the fund’s investments are as follows:
Investments in equity securities are valued at the last sales price on the securities exchange or national securities market on which such securities are primarily traded. Securities listed on the National Market System for which market quotations are available are valued at the official closing price or, if there is no official closing price that day, at the last sales price. For open short positions, asked prices are used for valuation purposes. Bid price is used when no asked price is available. Registered investment companies that are not traded on an exchange are valued at their net asset value. All of the preceding securities are generally categorized within Level 1 of the fair value hierarchy.
Securities not listed on an exchange or the national securities market, or securities for which there were no transactions, are valued at the average of the most recent bid and asked prices. These securities are generally categorized within Level 2 of the fair value hierarchy.
Fair valuing of securities may be determined with the assistance of a pricing service using calculations based on indices of domestic securities
29
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
and other appropriate indicators, such as prices of relevant American Depository Receipts and futures. Utilizing these techniques may result in transfers between Level 1 and Level 2 of the fair value hierarchy.
When market quotations or official closing prices are not readily available, or are determined not to accurately reflect fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded (for example, a foreign exchange or market), but before the fund calculates its net asset value, the fund may value these investments at fair value as determined in accordance with the procedures approved by the Trust's Board of Trustees (the “Board”). Certain factors may be considered when fair valuing investments such as: fundamental analytical data, the nature and duration of restrictions on disposition, an evaluation of the forces that influence the market in which the securities are purchased and sold, and public trading in similar securities of the issuer or comparable issuers. These securities are either categorized within Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.
For securities where observable inputs are limited, assumptions about market activity and risk are used and such securities are generally categorized within Level 3 of the fair value hierarchy.
Futures, which are traded on an exchange, are valued at the last sales price on the securities exchange on which such securities are primarily traded or at the last sales price on the national securities market on each business day and are generally categorized within Level 1 of the fair value hierarchy.
The following is a summary of the inputs used as of June 30, 2022 in valuing the fund’s investments:
Level 1-Unadjusted Quoted Prices | Level 2- Other Significant Observable Inputs | Level 3-Significant Unobservable Inputs | Total | |||
Assets ($) | ||||||
Investments in Securities:† | ||||||
Equity Securities - Common Stocks | 516,429,086 | - | - | 516,429,086 | ||
Exchange-Traded Funds | 1,151,336 | - | - | 1,151,336 | ||
Investment Companies | 7,906,466 | - | - | 7,906,466 |
30
Level 1-Unadjusted Quoted Prices | Level 2- Other Significant Observable Inputs | Level 3-Significant Unobservable Inputs | Total | |||
Liabilities ($) | ||||||
Other Financial Instruments: | ||||||
Futures†† | (11,993) | - | - | (11,993) |
† See Statement of Investments for additional detailed categorizations, if any.
†† Amount shown represents unrealized appreciation (depreciation) at period end, but only variation margin on exchange-traded and centrally cleared derivatives, if any, are reported in the Statement of Assets and Liabilities.
(b) Foreign taxes: The fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the fund invests. These foreign taxes, if any, are paid by the fund and are reflected in the Statement of Operations, if applicable. Foreign taxes payable or deferred or those subject to reclaims as of June 30, 2022, if any, are disclosed in the fund’s Statement of Assets and Liabilities.
(c) Securities transactions and investment income: Securities transactions are recorded on a trade date basis. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recognized on the ex-dividend date and interest income, including, where applicable, accretion of discount and amortization of premium on investments, is recognized on the accrual basis.
Pursuant to a securities lending agreement with BNY Mellon, the fund may lend securities to qualified institutions. It is the fund’s policy that, at origination, all loans are secured by collateral of at least 102% of the value of U.S. securities loaned and 105% of the value of foreign securities loaned. Collateral equivalent to at least 100% of the market value of securities on loan is maintained at all times. Collateral is either in the form of cash, which can be invested in certain money market mutual funds managed by the Adviser, or U.S. Government and Agency securities. The fund is entitled to receive all dividends, interest and distributions on securities loaned, in addition to income earned as a result of the lending transaction. Should a borrower fail to return the securities in a timely manner, BNY Mellon is required to replace the securities for the benefit of the fund or credit the fund with the market value of the unreturned securities and is subrogated to the fund’s rights against the borrower and the collateral. Additionally, the contractual maturity of security lending transactions are on an overnight and continuous basis. During the period
31
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
ended June 30, 2022, BNY Mellon earned $4,833 from the lending of the fund’s portfolio securities, pursuant to the securities lending agreement.
(d) Affiliated issuers: Investments in other investment companies advised by the Adviser are considered “affiliated” under the Act.
(e) Risk: Certain events particular to the industries in which the fund’s investments conduct their operations, as well as general economic, political and public health conditions, may have a significant negative impact on the investee’s operations and profitability. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the fund. Global economies and financial markets are becoming increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies world-wide. Recent examples include pandemic risks related to COVID-19 and aggressive measures taken world-wide in response by governments, including closing borders, restricting international and domestic travel, and the imposition of prolonged quarantines of large populations, and by businesses, including changes to operations and reducing staff. The effects of COVID-19 have contributed to increased volatility in global markets and will likely affect certain countries, companies, industries and market sectors more dramatically than others. The COVID-19 pandemic has had, and any other outbreak of an infectious disease or other serious public health concern could have, a significant negative impact on economic and market conditions and could trigger a prolonged period of global economic slowdown. To the extent the fund may overweight its investments in certain countries, companies, industries or market sectors, such positions will increase the fund’s exposure to risk of loss from adverse developments affecting those countries, companies, industries or sectors.
(f) Dividends and distributions to shareholders: Dividends and distributions are recorded on the ex-dividend date. Dividends from net investment income and dividends from net realized capital gains, if any, are normally declared and paid annually, but the fund may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code of 1986, as amended (the “Code”). To the extent that net realized capital gains can be offset by capital loss carryovers, it is the policy of the fund not to distribute such gains. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
32
(g) Federal income taxes: It is the policy of the fund to continue to qualify as a regulated investment company, if such qualification is in the best interests of its shareholders, by complying with the applicable provisions of the Code, and to make distributions of taxable income and net realized capital gain sufficient to relieve it from substantially all federal income and excise taxes.
As of and during the period ended June 30, 2022, the fund did not have any liabilities for any uncertain tax positions. The fund recognizes interest and penalties, if any, related to uncertain tax positions as income tax expense in the Statement of Operations. During the period ended June 30, 2022, the fund did not incur any interest or penalties.
Each tax year in the three-year period ended December 31, 2021 remains subject to examination by the Internal Revenue Service and state taxing authorities.
The tax character of distributions paid to shareholders during the fiscal year ended December 31, 2021 was as follows: ordinary income $6,792,687 and long-term capital gains $7,904,043. The tax character of current year distributions will be determined at the end of the current fiscal year.
NOTE 2—Bank Lines of Credit:
The fund participates with other long-term open-end funds managed by the Adviser in a $823.5 million unsecured credit facility led by Citibank, N.A. (the “Citibank Credit Facility”) and a $300 million unsecured credit facility provided by BNY Mellon (the “BNYM Credit Facility”), each to be utilized primarily for temporary or emergency purposes, including the financing of redemptions (each, a “Facility”). The Citibank Credit Facility is available in two tranches: (i) Tranche A is in an amount equal to $688.5 million and is available to all long-term open-ended funds, including the fund, and (ii) Tranche B is an amount equal to $135 million and is available only to BNY Mellon Floating Rate Income Fund, a series of BNY Mellon Investment Funds IV, Inc. In connection therewith, the fund has agreed to pay its pro rata portion of commitment fees for Tranche A of the Citibank Credit Facility and the BNYM Credit Facility. Interest is charged to the fund based on rates determined pursuant to the terms of the respective Facility at the time of borrowing.
The average amount of borrowings outstanding under the Facilities during the period ended June 30, 2022 was approximately $740,884 with a related weighted average annualized rate of 1.29%.
33
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
NOTE 3—Management Fee and Other Transactions with Affiliates:
(a) Pursuant to a management agreement (the “Agreement”) with the Adviser, the management fee is computed at the annual rate of ..35% of the value of the fund’s average daily net assets and is payable monthly. Under the terms of the Agreement, the Adviser has agreed to pay all of the fund’s direct expenses, except management fees, Rule 12b-1 Distribution Plan fees, taxes, interest expense, brokerage commissions, commitment fees on borrowings, fees and expenses of non-interested Trustees (including counsel fees), and extraordinary expenses. The Adviser has also agreed to reduce its management fee in an amount equal to the fund’s allocable portion of the accrued fees and expenses of the non-interested Trustees (including counsel fees). During the period ended June 30, 2022, fees reimbursed by the Adviser amounted to $14,480.
(b) Under the Distribution Plan adopted pursuant to Rule 12b-1 under the Act, the fund pays the Distributor for distributing its shares, for servicing and/or maintaining shareholder accounts and for advertising and marketing. The Distribution Plan provides for payments to be made at an annual rate of .25% of the value of the fund’s average daily net assets. The Distributor may make payments to Participating Insurance Companies and to brokers and dealers acting as principal underwriter for their variable insurance products. The fees payable under the Distribution Plan are payable without regard to actual expenses incurred. During the period ended June 30, 2022, the fund was charged $747,285 pursuant to the Distribution Plan.
The components of “Due to BNY Mellon Investment Adviser, Inc. and affiliates” in the Statement of Assets and Liabilities consist of: management fees of $154,941 and Distribution Plan fees of $110,672, which are offset against an expense reimbursement currently in effect in the amount of $2,400.
(c) Each Board member also serves as a Board member of other funds in the BNY Mellon Family of Funds complex. Annual retainer fees and attendance fees are allocated to each fund based on net assets.
NOTE 4—Securities Transactions:
The aggregate amount of purchases and sales of investment securities, excluding short-term securities and futures, during the period ended June 30, 2022, amounted to $88,204,272 and $167,152,959, respectively.
Derivatives: A derivative is a financial instrument whose performance is derived from the performance of another asset. Each type of derivative
34
instrument that was held by the fund during the period ended June 30, 2022 is discussed below.
Futures: In the normal course of pursuing its investment objective, the fund is exposed to market risk, including equity price risk, as a result of changes in value of underlying financial instruments. The fund invests in futures in order to manage its exposure to or protect against changes in the market. A futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a counterparty, which consist of cash or cash equivalents. The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change. Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statement of Operations. When the contracts are closed, the fund recognizes a realized gain or loss which is reflected in the Statement of Operations. There is minimal counterparty credit risk to the fund with futures since they are exchange traded, and the exchange guarantees the futures against default. Futures open at June 30, 2022 are set forth in the Statement of Investments.
The following summarizes the average market value of derivatives outstanding during the period ended June 30, 2022:
|
| Average Market Value ($) |
Equity futures |
| 3,105,834 |
At June 30, 2022, accumulated net unrealized appreciation on investments inclusive of derivative contracts was $127,588,440, consisting of $177,450,796 gross unrealized appreciation and $49,862,356 gross unrealized depreciation.
At June 30, 2022, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).
35
LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited)
Effective June 1, 2019, the fund adopted a liquidity risk management program (the “Liquidity Risk Management Program”) pursuant to the requirements of Rule 22e-4 under the Investment Company Act of 1940, as amended. Rule 22e-4 requires registered open-end funds, including mutual funds and exchange-traded funds but not money market funds, to establish liquidity risk management programs in order to effectively manage fund liquidity and shareholder redemptions. The rule is designed to mitigate the risk that a fund could not meet redemption requests without significantly diluting the interests of remaining investors.
The rule requires the fund to assess, manage and review their liquidity risk at least annually considering applicable factors such as investment strategy and liquidity during normal and foreseeable stressed conditions, including whether the strategy is appropriate for an open-end fund and whether the fund has a relatively concentrated portfolio or large positions in particular issuers. The fund must also assess its use of borrowings and derivatives, short-term and long-term cash flow projections in normal and stressed conditions, holdings of cash and cash equivalents, and borrowing arrangements and other funding sources.
The rule also requires the fund to classify its investments as highly liquid, moderately liquid, less liquid or illiquid based on the number of days the fund expects it would take to liquidate the investment, and to review these classifications at least monthly or more often under certain conditions. The periods range from three or fewer business days for a highly liquid investment to greater than seven calendar days for settlement of a less liquid investment. Illiquid investments are those a fund does not expect to be able to sell or dispose of within seven calendar days without significantly changing the market value. The fund is prohibited from acquiring an investment if, after the acquisition, its holdings of illiquid assets will exceed 15% of its net assets. In addition, if a fund permits redemptions in-kind, the rule requires the fund to establish redemption in-kind policies and procedures governing how and when it will engage in such redemptions.
Pursuant to the rule’s requirements, the Liquidity Risk Management Program has been reviewed and approved by the Board. Furthermore, the Board has received a written report prepared by the Program’s Administrator that addresses the operation of the Program, assesses its adequacy and effectiveness and describes any material changes made to the Program.
Assessment of Program
In the opinion of the Program Administrator, the Program approved by the Board continues to be adequate for the fund and the Program has been implemented effectively. The Program Administrator has monitored the fund’s liquidity risk and the liquidity classification of the securities held by the fund and has determined that the Program is operating effectively.
During the period from January 1, 2021 to December 31, 2021, there were no material changes to the Program and no material liquidity events that impacted the fund. During the period, the fund held sufficient highly liquid assets to meet fund redemptions.
Under normal expected foreseeable fund redemption forecasts and foreseeable stressed fund redemption forecasts, the Program Administrator believes that the fund maintains sufficient highly liquid assets to meet expected fund redemptions.
36
This page intentionally left blank.
37
BNY Mellon Investment Portfolios, Small Cap Stock Index Portfolio
240 Greenwich Street
New York, NY 10286
Adviser
BNY Mellon Investment Adviser, Inc.
240 Greenwich Street
New York, NY 10286
Custodian
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
Transfer Agent &
Dividend Disbursing Agent
BNY Mellon Transfer, Inc.
240 Greenwich Street
New York, NY 10286
Distributor
BNY Mellon Securities Corporation
240 Greenwich Street
New York, NY 10286
Telephone 1-800-258-4260 or 1-800-258-4261
Mail The BNY Mellon Family of Funds, 144 Glenn Curtiss Boulevard, Uniondale, NY 11556-0144 Attn: Institutional Services Department
E-mail Send your request to info@bnymellon.com
Internet Information can be viewed online or downloaded at www.im.bnymellon.com
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-PORT. The fund’s Forms N-PORT are available on the SEC’s website at www.sec.gov.
A description of the policies and procedures that the fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the fund voted these proxies for the most recent 12-month period ended June 30 is available at www.im.bnymellon.com and on the SEC’s website at www.sec.gov and without charge, upon request, by calling 1-800-373-9387.
© 2022 BNY Mellon Securities Corporation |
BNY Mellon Investment Portfolios, Technology Growth Portfolio
SEMI-ANNUAL REPORT June 30, 2022 |
Save time. Save paper. View your next shareholder report online as soon as it’s available. Log into www.im.bnymellon.com and sign up for eCommunications. It’s simple and only takes a few minutes. |
The views expressed in this report reflect those of the portfolio manager(s) only through the end of the period covered and do not necessarily represent the views of BNY Mellon Investment Adviser, Inc. or any other person in the BNY Mellon Investment Adviser, Inc. organization. Any such views are subject to change at any time based upon market or other conditions and BNY Mellon Investment Adviser, Inc. disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund in the BNY Mellon Family of Funds are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund in the BNY Mellon Family of Funds. |
Not FDIC-Insured • Not Bank-Guaranteed • May Lose Value |
Contents
THE FUND
FOR MORE INFORMATION
Back Cover
DISCUSSION OF FUND PERFORMANCE (Unaudited)
For the period from January 1, 2022, through June 30, 2022, as provided by portfolio managers James Boyd, CFA and Robert Zeuthen, CFA, of Newton Investment Management North America, LLC, sub-adviser
Market and Fund Performance Overview
For the six-month period ended June 30, 2022, BNY Mellon Investment Portfolios, Technology Growth Portfolio’s (the “fund”) Initial shares produced a total return of −42.05%, and its Service shares produced a total return of −42.13%.1 The fund’s benchmarks, the NYSE® Technology Index (the “Index”) and the S&P 500® Index, produced total returns of −37.43% and −19.96%, respectively, over the same period.2,3
Technology stocks lost ground during the reporting period as inflation and higher interest rates weighed on valuations. The fund lagged the Index, due largely to stock selections in the software industry.
The Fund’s Investment Approach
The fund seeks capital appreciation. To pursue its goal, the fund normally invests at least 80% of its net assets in the stocks of growth companies of any size that BNY Mellon Investment Adviser, Inc. believes to be leading producers or beneficiaries of technological innovation. Up to 25% of the fund’s assets may be invested in foreign securities.
In choosing stocks, the fund looks for technology companies with the potential for strong earnings or revenue growth rates, although some of the fund’s investments may currently be experiencing losses. The fund’s investment process centers on a multidimensional approach that looks for opportunities across emerging-growth, cyclical or stable-growth companies. The fund’s investment approach seeks companies that appear to have strong earnings momentum, positive earnings revisions, favorable growth, product, or market cycles and/or favorable valuations.
Inflation, Monetary Policy Weigh on Markets
Markets reached new highs early in the reporting period before a shift in market sentiment led to steep declines. The strong performance early in the period stemmed from robust consumer spending and corporate earnings. Economic data showed continued strength in consumer demand, and companies reported resilient margins.
Several concerns led to a shift in markets early in 2022: inflation, monetary policy, China’s “Zero COVID-19” policy and the Ukraine war. Inflation data continued to trend upward during the period, reaching a 40-year high in the U.S. In the U.S., the Federal Reserve (the “Fed”) raised the federal funds rate .25% in March 2022, .50% in May 2022, and .75% in June 2022. Most other central banks also raised their policy rates.
China’s intermittent shutdowns, in response to a reemergence of the pandemic, hampered supply chains, which contributed to rising prices around the globe. Geopolitics also weighed on markets when Russia invaded Ukraine, amplifying a sell-off in the global equity markets as the impact of war complicated global inflation. As the markets digested the winding down
2
of accommodative pandemic-related policies, the lingering supply-chain snags, COVID-19 flare-ups and high inflation dampened the growth and margin outlook.
In addition, the persistence of inflation led some observers to note that it could lead to “demand destruction.” Demand destruction occurs when the price of a product rises so much that it results in less demand for that product. If this occurs, it could contribute to a recession. Others noted that recession was becoming increasingly likely as it has historically been difficult for the Fed to achieve a “soft landing” for the economy. The challenge for the Fed remains—raising interest rates enough to slow inflation without tipping the economy into recession.
This myriad of concerns impacted valuations, resulting in market weakness. Fundamentals have also been hindered by rising input costs and labor shortages in some industries. Most sectors were challenged in the period, but the energy sector was a notable outperformer, driven by high oil price increases.
Software Industry Hindered Returns
The fund lagged the Index as technology and growth stocks sold off during the period due to rising inflation and interest rates, which weighed on valuations. The primary detractors were holdings in the software and services industry. Shares of Shopify, for example, a provider of e-commerce platform services, especially to small- and medium-sized businesses, were a leading detractor. While the company benefited from demand for e-commerce during the pandemic, revenue growth has slowed as the pandemic has waned. In addition, the valuation on these shares was high. Snap, a provider of social media services, also detracted primarily due to the effect of rising interest rates on the valuations of high-growth companies, but the prospect of a slowing economy and its effect on advertising revenues also played a part, as it did on other firms that rely on advertising revenues.
On a more positive note, positioning proved to be beneficial in some areas of the market. An underweight to the semiconductor industry was advantageous, for example. In addition, stock selection in the computer hardware industry and communication services sector also contributed positively. The market generally favored higher-quality companies during the period, and the fund’s positions in Microsoft, Visa, Apple and Nokia were also beneficial.
A Focus on Long-Term Prospects
The secular growth themes remain intact, and we remain optimistic about the prospects for technology and growth-oriented companies. The fund continues to position itself to capitalize on a secular shift that is resulting in digitization across all sectors of the economy.
While valuations among growth and technology stocks have pulled back, we believe these are generally attractive businesses with highly favorable long-term prospects. The sell-off has created buying opportunities for companies exposed to secular growth trends, and we are prepared to take advantage at the appropriate time. Although earnings growth for these companies is likely to slow in the near term, we believe it will remain positive.
July 15, 2022
1 Total return includes reinvestment of dividends and any capital gains paid. Past performance is no guarantee of future results. Share price and investment return fluctuate such that upon redemption, fund shares may be worth more or less than their original cost. The
3
DISCUSSION OF FUND PERFORMANCE (Unaudited) (continued)
fund’s performance does not reflect the deduction of additional charges and expenses imposed in connection with investing in variable insurance contracts, which will reduce returns.
2 Source: Bloomberg L.P. — The NYSE® Technology Index is an equal-dollar-weighted index designed to objectively represent the technology sector by holding 35 of the leading U.S., technology-related companies. Investors cannot invest directly in any index.
3 Source: Lipper Inc. — The S&P 500® Index is widely regarded as the best single gauge of large-cap U.S. equities. The index includes 500 leading companies and captures approximately 80% coverage of available market capitalization. Investors cannot invest directly in any index.
Please note: the position in any security highlighted with italicized typeface was sold during the reporting period.
The technology sector has been among the most volatile sectors of the stock market. Technology companies involve greater risk because their revenue and/or earnings tend to be less predictable, and some companies may be experiencing significant losses.
Equities are subject generally to market, market sector, market liquidity, issuer and investment style risks, among other factors, to varying degrees, all of which are more fully described in the fund’s prospectus.
Investing internationally involves special risks, including changes in currency exchange rates, political, economic, and social instability, a lack of comprehensive company information, differing auditing and legal standards, and less market liquidity.
The fund is only available as a funding vehicle under variable life insurance policies or variable annuity contracts issued by insurance companies. Individuals may not purchase shares of the fund directly. A variable annuity is an insurance contract issued by an insurance company that enables investors to accumulate assets on a tax-deferred basis for retirement or other long-term goals. The investment objective and policies of BNY Mellon Investment Portfolios, Technology Growth Portfolio made available through insurance products may be similar to those of other funds managed or advised by BNY Mellon Investment Adviser, Inc. However, the investment results of the fund may be higher or lower than, and may not be comparable to, those of any other BNY Mellon fund.
Recent market risks include pandemic risks related to COVID-19. The effects of COVID-19 have contributed to increased volatility in global markets and will likely affect certain countries, companies, industries and market sectors more dramatically than others. To the extent the fund may overweight its investments in certain countries, companies, industries or market sectors, such positions will increase the fund’s exposure to risk of loss from adverse developments affecting those countries, companies, industries or sectors.
4
UNDERSTANDING YOUR FUND’S EXPENSES (Unaudited)
As a mutual fund investor, you pay ongoing expenses, such as management fees and other expenses. Using the information below, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You also may pay one-time transaction expenses, including sales charges (loads), redemption fees and expenses associated with variable annuity or insurance contracts, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial adviser.
Review your fund’s expenses
The table below shows the expenses you would have paid on a $1,000 investment in BNY Mellon Investment Portfolios, Technology Growth Portfolio from January 1, 2022 to June 30, 2022. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
Expenses and Value of a $1,000 Investment |
| |||
Assume actual returns for the six months ended June 30, 2022 |
| |||
|
|
|
|
|
|
| Initial Shares | Service Shares |
|
Expenses paid per $1,000† | $3.05 | $4.03 |
| |
Ending value (after expenses) | $579.50 | $578.70 |
|
COMPARING YOUR FUND’S EXPENSES
WITH THOSE OF OTHER FUNDS (Unaudited)
Using the SEC’s method to compare expenses
The Securities and Exchange Commission (“SEC”) has established guidelines to help investors assess fund expenses. Per these guidelines, the table below shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total cost) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Expenses and Value of a $1,000 Investment |
| |||
Assuming a hypothetical 5% annualized return for the six months ended June 30, 2022 |
| |||
|
|
|
|
|
|
| Initial Shares | Service Shares |
|
Expenses paid per $1,000† | $3.91 | $5.16 |
| |
Ending value (after expenses) | $1,020.93 | $1,019.69 |
| |
† | Expenses are equal to the fund’s annualized expense ratio of .78% for Initial Shares and 1.03% for Service Shares, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
5
STATEMENT OF INVESTMENTS
June 30, 2022 (Unaudited)
Description | Shares | Value ($) | |||||
Common Stocks - 95.6% | |||||||
Application Software - 13.6% | |||||||
Adobe | 85,835 | a | 31,420,760 | ||||
Bill.com Holdings | 155,293 | a | 17,072,912 | ||||
HubSpot | 43,491 | a | 13,075,569 | ||||
Salesforce | 213,411 | a | 35,221,351 | ||||
96,790,592 | |||||||
Automobile Manufacturers - 3.3% | |||||||
Tesla | 35,037 | a | 23,594,617 | ||||
Communications Equipment - 2.8% | |||||||
Nokia, ADR | 4,345,571 | 20,033,082 | |||||
Data Processing & Outsourced Services - 7.6% | |||||||
Block | 370,358 | a | 22,762,203 | ||||
PayPal Holdings | 280,570 | a | 19,595,009 | ||||
Visa, Cl. A | 60,048 | b | 11,822,851 | ||||
54,180,063 | |||||||
Holding Companies-Divers - 1.7% | |||||||
Figure Acquisition | 1,236,808 | a | 12,157,823 | ||||
Hotels, Resorts & Cruise Lines - 4.5% | |||||||
Booking Holdings | 18,207 | a | 31,843,861 | ||||
Interactive Home Entertainment - 1.5% | |||||||
Sea, ADR | 154,457 | a | 10,326,995 | ||||
Interactive Media & Services - 8.7% | |||||||
Alphabet, Cl. C | 23,065 | a | 50,453,534 | ||||
Meta Platforms, Cl. A | 69,312 | a | 11,176,560 | ||||
61,630,094 | |||||||
Internet & Direct Marketing Research - 4.9% | |||||||
Amazon.com | 327,278 | a | 34,760,196 | ||||
Internet Services & Infrastructure - 1.8% | |||||||
Shopify, Cl. A | 82,710 | a | 2,583,860 | ||||
Twilio, Cl. A | 123,569 | a | 10,356,318 | ||||
12,940,178 | |||||||
Semiconductor Equipment - 8.9% | |||||||
Applied Materials | 357,772 | 32,550,097 | |||||
Lam Research | 72,338 | 30,826,839 | |||||
63,376,936 | |||||||
Semiconductors - 15.7% | |||||||
Diodes | 85,987 | a | 5,552,181 | ||||
Marvell Technology | 426,377 | 18,560,191 | |||||
NVIDIA | 92,613 | 14,039,205 | |||||
Qualcomm | 278,865 | 35,622,215 |
6
Description | Shares | Value ($) | |||||
Common Stocks - 95.6% (continued) | |||||||
Semiconductors - 15.7% (continued) | |||||||
Taiwan Semiconductor Manufacturing, ADR | 465,931 | 38,089,859 | |||||
111,863,651 | |||||||
Systems Software - 14.9% | |||||||
CrowdStrike Holdings, CI. A | 73,134 | a | 12,327,467 | ||||
Microsoft | 203,733 | 52,324,746 | |||||
ServiceNow | 86,417 | a | 41,093,012 | ||||
105,745,225 | |||||||
Technology Hardware, Storage & Equipment - 4.6% | |||||||
Apple | 237,727 | 32,502,035 | |||||
Trucking - 1.1% | |||||||
Uber Technologies | 382,618 | a | 7,828,364 | ||||
Total Common Stocks (cost $667,789,681) | 679,573,712 | ||||||
Private Equity - .6% | |||||||
Real Estate - .2% | |||||||
Roofstock | 83,989 | c | 1,514,322 | ||||
Software - .4% | |||||||
Databricks | 23,852 | c | 2,836,003 | ||||
Total Private Equity (cost $7,734,655) | 4,350,325 | ||||||
1-Day | |||||||
Investment Companies - 3.9% | |||||||
Registered Investment Companies - 3.9% | |||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares | 1.48 | 27,333,866 | d | 27,333,866 | |||
Total Investments (cost $702,858,202) | 100.1% | 711,257,903 | |||||
Liabilities, Less Cash and Receivables | (.1%) | (368,589) | |||||
Net Assets | 100.0% | 710,889,314 |
ADR—American Depository Receipt
a Non-income producing security.
b Security, or portion thereof, on loan. At June 30, 2022, the value of the fund’s securities on loan was $11,704,520 and the value of the collateral was $12,097,001, consisting of U.S. Government & Agency securities. In addition, the value of collateral may include pending sales that are also on loan.
c The fund held Level 3 securities at June 30, 2022. These securities were valued at $4,350,325 or .61% of net assets.
d Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
7
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Portfolio Summary (Unaudited) † | Value (%) |
Information Technology | 70.0 |
Consumer Discretionary | 12.7 |
Communication Services | 10.1 |
Investment Companies | 3.9 |
Diversified | 1.7 |
Industrials | 1.1 |
Technology | .4 |
Real Estate | .2 |
100.1 |
† Based on net assets.
See notes to financial statements.
Affiliated Issuers | ||||||
Description | Value ($) 12/31/2021 | Purchases ($)† | Sales ($) | Value ($) 6/30/2022 | Dividends/ | |
Registered Investment Companies - 3.9% | ||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares - 3.8% | 35,847,292 | 241,091,343 | (249,604,769) | 27,333,866 | 87,796 | |
Investment of Cash Collateral for Securities Loaned - .0% | ||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund, SL Shares - .0% | 362,002 | 27,919,808 | (28,281,810) | - | 14,060 | †† |
Total - 3.9% | 36,209,294 | 269,011,151 | (277,886,579) | 27,333,866 | 101,856 |
† Includes reinvested dividends/distributions.
†† Represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.
See notes to financial statements.
8
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2022 (Unaudited)
|
|
|
|
|
|
|
|
|
| Cost |
| Value |
|
Assets ($): |
|
|
|
| ||
Investments in securities—See Statement of Investments |
|
|
| |||
Unaffiliated issuers | 675,524,336 |
| 683,924,037 |
| ||
Affiliated issuers |
| 27,333,866 |
| 27,333,866 |
| |
Cash denominated in foreign currency |
|
| 53,100 |
| 52,964 |
|
Dividends and securities lending income receivable |
| 315,130 |
| |||
Receivable for shares of Beneficial Interest subscribed |
| 109,517 |
| |||
Tax reclaim receivable—Note 1(b) |
| 2,644 |
| |||
Prepaid expenses |
|
|
|
| 8,913 |
|
|
|
|
|
| 711,747,071 |
|
Liabilities ($): |
|
|
|
| ||
Due to BNY Mellon Investment Adviser, Inc. and affiliates—Note 3(b) |
| 591,336 |
| |||
Payable for shares of Beneficial Interest redeemed |
| 219,495 |
| |||
Trustees’ fees and expenses payable |
| 1,620 |
| |||
Other accrued expenses |
|
|
|
| 45,306 |
|
|
|
|
|
| 857,757 |
|
Net Assets ($) |
|
| 710,889,314 |
| ||
Composition of Net Assets ($): |
|
|
|
| ||
Paid-in capital |
|
|
|
| 741,969,403 |
|
Total distributable earnings (loss) |
|
|
|
| (31,080,089) |
|
Net Assets ($) |
|
| 710,889,314 |
|
Net Asset Value Per Share | Initial Shares | Service Shares |
|
Net Assets ($) | 171,409,259 | 539,480,055 |
|
Shares Outstanding | 9,024,110 | 31,490,593 |
|
Net Asset Value Per Share ($) | 18.99 | 17.13 |
|
|
|
|
|
See notes to financial statements. |
|
|
|
9
STATEMENT OF OPERATIONS
Six Months Ended June 30, 2022 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Income ($): |
|
|
|
| ||
Income: |
|
|
|
| ||
Cash dividends (net of $102,267 foreign taxes withheld at source): |
| |||||
Unaffiliated issuers |
|
| 1,542,535 |
| ||
Affiliated issuers |
|
| 87,796 |
| ||
Income from securities lending—Note 1(c) |
|
| 14,060 |
| ||
Total Income |
|
| 1,644,391 |
| ||
Expenses: |
|
|
|
| ||
Management fee—Note 3(a) |
|
| 3,253,885 |
| ||
Distribution fees—Note 3(b) |
|
| 824,141 |
| ||
Professional fees |
|
| 41,553 |
| ||
Trustees’ fees and expenses—Note 3(c) |
|
| 35,227 |
| ||
Custodian fees—Note 3(b) |
|
| 19,603 |
| ||
Chief Compliance Officer fees—Note 3(b) |
|
| 11,497 |
| ||
Loan commitment fees—Note 2 |
|
| 7,297 |
| ||
Prospectus and shareholders’ reports |
|
| 4,392 |
| ||
Shareholder servicing costs—Note 3(b) |
|
| 602 |
| ||
Miscellaneous |
|
| 15,356 |
| ||
Total Expenses |
|
| 4,213,553 |
| ||
Net Investment (Loss) |
|
| (2,569,162) |
| ||
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): |
|
| ||||
Net realized gain (loss) on investments | (36,182,086) |
| ||||
Net change in unrealized appreciation (depreciation) on investments | (448,029,590) |
| ||||
Net Realized and Unrealized Gain (Loss) on Investments |
|
| (484,211,676) |
| ||
Net (Decrease) in Net Assets Resulting from Operations |
| (486,780,838) |
| |||
|
|
|
|
|
|
|
See notes to financial statements. |
10
STATEMENT OF CHANGES IN NET ASSETS
|
|
|
|
|
|
|
|
|
|
|
|
|
| Six Months Ended |
| Year Ended |
| ||
Operations ($): |
|
|
|
|
|
|
|
| |
Net investment (loss) |
|
| (2,569,162) |
|
|
| (7,280,526) |
| |
Net realized gain (loss) on investments |
| (36,182,086) |
|
|
| 82,695,383 |
| ||
Net change in unrealized appreciation |
| (448,029,590) |
|
|
| 50,070,915 |
| ||
Net Increase (Decrease) in Net Assets | (486,780,838) |
|
|
| 125,485,772 |
| |||
Distributions ($): |
| ||||||||
Distributions to shareholders: |
|
|
|
|
|
|
|
| |
Initial Shares |
|
| (18,328,459) |
|
|
| (32,359,709) |
| |
Service Shares |
|
| (64,142,065) |
|
|
| (111,542,791) |
| |
Total Distributions |
|
| (82,470,524) |
|
|
| (143,902,500) |
| |
Beneficial Interest Transactions ($): |
| ||||||||
Net proceeds from shares sold: |
|
|
|
|
|
|
|
| |
Initial Shares |
|
| 28,937,002 |
|
|
| 38,635,032 |
| |
Service Shares |
|
| 68,290,491 |
|
|
| 69,994,785 |
| |
Distributions reinvested: |
|
|
|
|
|
|
|
| |
Initial Shares |
|
| 18,328,459 |
|
|
| 32,359,709 |
| |
Service Shares |
|
| 64,142,065 |
|
|
| 111,542,791 |
| |
Cost of shares redeemed: |
|
|
|
|
|
|
|
| |
Initial Shares |
|
| (7,238,099) |
|
|
| (29,954,495) |
| |
Service Shares |
|
| (11,857,690) |
|
|
| (48,205,685) |
| |
Increase (Decrease) in Net Assets | 160,602,228 |
|
|
| 174,372,137 |
| |||
Total Increase (Decrease) in Net Assets | (408,649,134) |
|
|
| 155,955,409 |
| |||
Net Assets ($): |
| ||||||||
Beginning of Period |
|
| 1,119,538,448 |
|
|
| 963,583,039 |
| |
End of Period |
|
| 710,889,314 |
|
|
| 1,119,538,448 |
| |
Capital Share Transactions (Shares): |
| ||||||||
Initial Shares |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 1,152,522 |
|
|
| 1,082,297 |
| |
Shares issued for distributions reinvested |
|
| 671,126 |
|
|
| 1,048,937 |
| |
Shares redeemed |
|
| (275,400) |
|
|
| (852,079) |
| |
Net Increase (Decrease) in Shares Outstanding | 1,548,248 |
|
|
| 1,279,155 |
| |||
Service Shares |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 3,058,347 |
|
|
| 2,177,251 |
| |
Shares issued for distributions reinvested |
|
| 2,603,168 |
|
|
| 3,962,443 |
| |
Shares redeemed |
|
| (499,156) |
|
|
| (1,499,462) |
| |
Net Increase (Decrease) in Shares Outstanding | 5,162,359 |
|
|
| 4,640,232 |
| |||
|
|
|
|
|
|
|
|
|
|
See notes to financial statements. |
11
FINANCIAL HIGHLIGHTS
The following tables describe the performance for each share class for the fiscal periods indicated. All information (except portfolio turnover rate) reflects financial results for a single fund share. Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption at net asset value on the last day of the period. Net asset value total return includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. The fund’s total returns do not reflect expenses associated with variable annuity or insurance contracts. These figures have been derived from the fund’s financial statements.
Six Months Ended | |||||||
June 30, 2022 | Year Ended December 31, | ||||||
Initial Shares | (Unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 | |
Per Share Data ($): | |||||||
Net asset value, | 35.59 | 36.68 | 25.26 | 22.56 | 23.95 | 17.69 | |
Investment Operations: | |||||||
Net investment income (loss)a | (.05) | (.17) | (.03) | .08 | .04 | (.01) | |
Net realized and unrealized gain | (14.20) | 4.14 | 14.68 | 5.55 | (.11) | 7.29 | |
Total from Investment Operations | (14.25) | 3.97 | 14.65 | 5.63 | (.07) | 7.28 | |
Distributions: | |||||||
Dividends from net investment | - | - | (.08) | - | - | - | |
Dividends from net realized | (2.35) | (5.06) | (3.15) | (2.93) | (1.32) | (1.02) | |
Total Distributions | (2.35) | (5.06) | (3.23) | (2.93) | (1.32) | (1.02) | |
Net asset value, end of period | 18.99 | 35.59 | 36.68 | 25.26 | 22.56 | 23.95 | |
Total Return (%) | (42.05)b | 12.93 | 69.92 | 25.82 | (.98) | 42.64 | |
Ratios/Supplemental Data (%): | |||||||
Ratio of total expenses | .78c | .78 | .78 | .79 | .79 | .82 | |
Ratio of net investment income | (.40)c | (.49) | (.10) | .33 | .14 | (.05) | |
Portfolio Turnover Rate | 28.46b | 38.70 | 80.81 | 77.56 | 55.34 | 42.07 | |
Net Assets, end of period ($ x 1,000) | 171,409 | 266,078 | 227,325 | 140,591 | 119,470 | 122,670 |
a Based on average shares outstanding.
b Not annualized.
c Annualized.
See notes to financial statements.
12
Six Months Ended | |||||||
June 30, 2022 | Year Ended December 31, | ||||||
Service Shares | (Unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 | |
Per Share Data ($): | |||||||
Net asset value, beginning of period | 32.42 | 33.95 | 23.63 | 21.31 | 22.75 | 16.88 | |
Investment Operations: | |||||||
Net investment income (loss)a | (.07) | (.24) | (.09) | .02 | (.03) | (.06) | |
Net realized and unrealized gain | (12.87) | 3.77 | 13.58 | 5.23 | (.09) | 6.95 | |
Total from Investment Operations | (12.94) | 3.53 | 13.49 | 5.25 | (.12) | 6.89 | |
Distributions: | |||||||
Dividends from net investment | - | - | (.02) | - | - | - | |
Dividends from net realized | (2.35) | (5.06) | (3.15) | (2.93) | (1.32) | (1.02) | |
Total Distributions | (2.35) | (5.06) | (3.17) | (2.93) | (1.32) | (1.02) | |
Net asset value, end of period | 17.13 | 32.42 | 33.95 | 23.63 | 21.31 | 22.75 | |
Total Return (%) | (42.13)b | 12.64 | 69.57 | 25.51 | (1.27) | 42.36 | |
Ratios/Supplemental Data (%): | |||||||
Ratio of total expenses | 1.03c | 1.03 | 1.03 | 1.04 | 1.04 | 1.07 | |
Ratio of net investment income (loss) | (.65)c | (.74) | (.34) | .08 | (.11) | (.30) | |
Portfolio Turnover Rate | 28.46b | 38.70 | 80.81 | 77.56 | 55.34 | 42.07 | |
Net Assets, end of period ($ x 1,000) | 539,480 | 853,460 | 736,258 | 475,148 | 388,151 | 365,231 |
a Based on average shares outstanding.
b Not annualized.
c Annualized.
See notes to financial statements.
13
NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 1—Significant Accounting Policies:
Technology Growth Portfolio (the “fund”) is a separate diversified series of BNY Mellon Investment Portfolios (the “Trust”), which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company currently offering three series, including the fund. The fund is only offered to separate accounts established by insurance companies to fund variable annuity contracts and variable life insurance policies. The fund’s investment objective is to seek capital appreciation. BNY Mellon Investment Adviser, Inc. (the “Adviser”), a wholly-owned subsidiary of The Bank of New York Mellon Corporation (“BNY Mellon”), serves as the fund’s investment adviser. Newton Investment Management North America, LLC (the “Sub-Adviser”), a wholly-owned subsidiary of BNY Mellon and an affiliate of the Adviser, serves as the fund’s sub-adviser.
BNY Mellon Securities Corporation (the “Distributor”), a wholly-owned subsidiary of the Adviser, is the distributor of the fund’s shares, which are sold without a sales charge. The fund is authorized to issue an unlimited number of $.001 par value shares of Beneficial Interest in each of the following classes of shares: Initial and Service. Each class of shares has identical rights and privileges, except with respect to the Distribution Plan, and the expenses borne by each class, the allocation of certain transfer agency costs, and certain voting rights. Income, expenses (other than expenses attributable to a specific class), and realized and unrealized gains or losses on investments are allocated to each class of shares based on its relative net assets.
The Trust accounts separately for the assets, liabilities and operations of each series. Expenses directly attributable to each series are charged to that series’ operations; expenses which are applicable to all series are allocated among them on a pro rata basis.
The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the SEC under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The fund is an investment company and applies the accounting and reporting guidance of the FASB ASC Topic 946 Financial Services-Investment Companies. The fund’s financial statements are prepared in accordance with GAAP, which may require the use of management estimates and assumptions. Actual results could differ from those estimates.
14
The Trust enters into contracts that contain a variety of indemnifications. The fund’s maximum exposure under these arrangements is unknown. The fund does not anticipate recognizing any loss related to these arrangements.
(a) Portfolio valuation: The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs of valuation techniques used to measure fair value. This hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements).
Additionally, GAAP provides guidance on determining whether the volume and activity in a market has decreased significantly and whether such a decrease in activity results in transactions that are not orderly. GAAP requires enhanced disclosures around valuation inputs and techniques used during annual and interim periods.
Various inputs are used in determining the value of the fund’s investments relating to fair value measurements. These inputs are summarized in the three broad levels listed below:
Level 1—unadjusted quoted prices in active markets for identical investments.
Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.).
Level 3—significant unobservable inputs (including the fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the fund’s investments are as follows:
Investments in equity securities are valued at the last sales price on the securities exchange or national securities market on which such securities are primarily traded. Securities listed on the National Market System for which market quotations are available are valued at the official closing price or, if there is no official closing price that day, at the last sales price. For open short positions, asked prices are used for valuation purposes. Bid
15
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
price is used when no asked price is available. Registered investment companies that are not traded on an exchange are valued at their net asset value. All of the preceding securities are generally categorized within Level 1 of the fair value hierarchy.
Securities not listed on an exchange or the national securities market, or securities for which there were no transactions, are valued at the average of the most recent bid and asked prices. These securities are generally categorized within Level 2 of the fair value hierarchy.
Fair valuing of securities may be determined with the assistance of a pricing service using calculations based on indices of domestic securities and other appropriate indicators, such as prices of relevant ADRs and futures. Utilizing these techniques may result in transfers between Level 1 and Level 2 of the fair value hierarchy.
When market quotations or official closing prices are not readily available, or are determined not to accurately reflect fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded (for example, a foreign exchange or market), but before the fund calculates its net asset value, the fund may value these investments at fair value as determined in accordance with the procedures approved by the Trust’s Board of Trustees (the “Board”). Certain factors may be considered when fair valuing investments such as: fundamental analytical data, the nature and duration of restrictions on disposition, an evaluation of the forces that influence the market in which the securities are purchased and sold, and public trading in similar securities of the issuer or comparable issuers. These securities are either categorized within Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.
For securities where observable inputs are limited, assumptions about market activity and risk are used and such securities are generally categorized within Level 3 of the fair value hierarchy.
Investment in private equity securities will be fair valued by the Board in accordance with valuation procedures approved by the Board. Those portfolio valuations will be based on unobservable inputs and certain assumptions about how market participants would price the instrument. The fund expects that inputs into the determination of fair value of those investments will require significant management judgment or estimation. Because valuations may fluctuate over short periods of time and may be based on estimates, fair value determinations may differ materially from the value received in an actual transaction. Additionally, valuations of private companies are inherently uncertain. The fund’s net asset value
16
could be adversely affected if the fund’s determinations regarding the fair value of those investments were materially higher or lower than the values that it ultimately realized upon the disposal of such investments. These securities are categorized within Level 3 of the fair value hierarchy.
Investments denominated in foreign currencies are translated to U.S. dollars at the prevailing rates of exchange.
The following is a summary of the inputs used as of June 30, 2022 in valuing the fund’s investments:
Level 1-Unadjusted Quoted Prices | Level 2- Other Significant Observable Inputs | Level 3-Significant Unobservable Inputs | Total | |||
Assets ($) | ||||||
Investments in Securities:† | ||||||
Equity Securities - Common Stocks | 679,573,712 | - | - | 679,573,712 | ||
Equity Securities - Private Equity | - | - | 4,350,325 | 4,350,325 | ||
Investment Companies | 27,333,866 | - | - | 27,333,866 |
† See Statement of Investments for additional detailed categorizations, if any.
17
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:
Equity Securities- Private Equity ($) | |
Balance as of 12/31/2021 | 5,556,562 |
Realized gain (loss) | - |
Change in unrealized appreciation (depreciation) | (3,682,661) |
Purchases/Issuances | 2,476,424 |
Sales/Dispositions | - |
Transfers into Level 3 | - |
Transfers out of Level 3 | - |
Balances as of 6/30/2022† | 4,350,325 |
The amount of total realized gains (losses) for the period included in earnings attributable to the change in unrealized appreciation (depreciation) relating to investments still held at 6/30/2022 | (3,682,661) |
† Securities deemed as Level 3 due to the lack of observable inputs by management assessment.
The following table summarizes the significant unobservable inputs the fund used to value its investment categorized within Level 3 as of June 30, 2022. In addition to the techniques and inputs noted in the table below, according to the fund’s valuation policy, other valuation techniques and methodologies when determining the fund’s fair value measurements may be used. The below table is not intended to be all-inclusive, but rather provide information on the significant unobservable inputs as they are to the fund’s determination of fair values.
Issue Name- Asset Category | Value ($) | Valuation | Unobservable | Range | Weighted |
Private Equity: | |||||
Databricks | 2,836,003 | Enterprise Value | Enterprise | 107.01-130.79 | 118.90 |
Roofstock | 1,514,322 | Enterprise Value | Enterprise | 16.23-19.83 | 18.03 |
(b) Foreign currency transactions: The fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
Net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized on securities transactions
18
between trade and settlement date, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities other than investments resulting from changes in exchange rates. Foreign currency gains and losses on foreign currency transactions are also included with net realized and unrealized gain or loss on investments.
Foreign taxes: The fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the fund invests. These foreign taxes, if any, are paid by the fund and are reflected in the Statement of Operations, if applicable. Foreign taxes payable or deferred or those subject to reclaims as of June 30, 2022, if any, are disclosed in the fund’s Statement of Assets and Liabilities.
(c) Securities transactions and investment income: Securities transactions are recorded on a trade date basis. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recognized on the ex-dividend date and interest income, including, where applicable, accretion of discount and amortization of premium on investments, is recognized on the accrual basis.
Pursuant to a securities lending agreement with BNY Mellon, the fund may lend securities to qualified institutions. It is the fund’s policy that, at origination, all loans are secured by collateral of at least 102% of the value of U.S. securities loaned and 105% of the value of foreign securities loaned. Collateral equivalent to at least 100% of the market value of securities on loan is maintained at all times. Collateral is either in the form of cash, which can be invested in certain money market mutual funds managed by the Adviser, or U.S. Government and Agency securities. The fund is entitled to receive all dividends, interest and distributions on securities loaned, in addition to income earned as a result of the lending transaction. Should a borrower fail to return the securities in a timely manner, BNY Mellon is required to replace the securities for the benefit of the fund or credit the fund with the market value of the unreturned securities and is subrogated to the fund’s rights against the borrower and the collateral. Additionally, the contractual maturity of security lending transactions are on an overnight and continuous basis. During the period
19
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
ended June 30, 2022, BNY Mellon earned $1,917 from the lending of the fund’s portfolio securities, pursuant to the securities lending agreement.
(d) Affiliated issuers: Investments in other investment companies advised by the Adviser are considered “affiliated” under the Act.
(e) Risk: Certain events particular to the industries in which the fund’s investments conduct their operations, as well as general economic, political and public health conditions, may have a significant negative impact on the investee’s operations and profitability. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the fund. Global economies and financial markets are becoming increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies world-wide. Recent examples include pandemic risks related to COVID-19 and aggressive measures taken world-wide in response by governments, including closing borders, restricting international and domestic travel, and the imposition of prolonged quarantines of large populations, and by businesses, including changes to operations and reducing staff. The effects of COVID-19 have contributed to increased volatility in global markets and will likely affect certain countries, companies, industries and market sectors more dramatically than others. The COVID-19 pandemic has had, and any other outbreak of an infectious disease or other serious public health concern could have, a significant negative impact on economic and market conditions and could trigger a prolonged period of global economic slowdown. To the extent the fund may overweight its investments in certain countries, companies, industries or market sectors, such positions will increase the fund’s exposure to risk of loss from adverse developments affecting those countries, companies, industries or sectors.
(f) Dividends and distributions to shareholders: Dividends and distributions are recorded on the ex-dividend date. Dividends from net investment income and dividends from net realized capital gains, if any, are normally declared and paid annually, but the fund may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code of 1986, as amended (the “Code”). To the extent that net realized capital gains can be offset by capital loss carryovers, it is the policy of the fund not to distribute such gains. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
20
(g) Federal income taxes: It is the policy of the fund to continue to qualify as a regulated investment company, if such qualification is in the best interests of its shareholders, by complying with the applicable provisions of the Code, and to make distributions of taxable income and net realized capital gain sufficient to relieve it from substantially all federal income and excise taxes.
As of and during the period ended June 30, 2022, the fund did not have any liabilities for any uncertain tax positions. The fund recognizes interest and penalties, if any, related to uncertain tax positions as income tax expense in the Statement of Operations. During the period ended June 30, 2022, the fund did not incur any interest or penalties.
Each tax year in the three-year period ended December 31, 2021 remains subject to examination by the Internal Revenue Service and state taxing authorities.
The tax character of distributions paid to shareholders during the fiscal year ended December 31, 2021 was as follows: ordinary income $65,968,826 and long-term capital gains $77,933,674. The tax character of current year distributions will be determined at the end of the current fiscal year.
NOTE 2—Bank Lines of Credit:
The fund participates with other long-term open-end funds managed by the Adviser in a $823.5 million unsecured credit facility led by Citibank, N.A. (the “Citibank Credit Facility”) and a $300 million unsecured credit facility provided by BNY Mellon (the “BNYM Credit Facility”), each to be utilized primarily for temporary or emergency purposes, including the financing of redemptions (each, a “Facility”). The Citibank Credit Facility is available in two tranches: (i) Tranche A is in an amount equal to $688.5 million and is available to all long-term open-ended funds, including the fund, and (ii) Tranche B is an amount equal to $135 million and is available only to BNY Mellon Floating Rate Income Fund, a series of BNY Mellon Investment Funds IV, Inc. In connection therewith, the fund has agreed to pay its pro rata portion of commitment fees for Tranche A of the Citibank Credit Facility and the BNYM Credit Facility. Interest is charged to the fund based on rates determined pursuant to the terms of the respective Facility at the time of borrowing. During the period ended June 30, 2022, the fund did not borrow under the Facilities.
21
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
NOTE 3—Management Fee, Sub-Advisory Fee and Other Transactions with Affiliates:
(a) Pursuant to a management agreement with the Adviser, the management fee is computed at the annual rate of .75% of the value of the fund’s average daily net assets and is payable monthly.
Pursuant to a sub-advisory agreement between the Adviser and the Sub-Adviser, the Adviser pays the Sub-Adviser a monthly fee at an annual rate of .36% of the value of the fund’s average daily net assets.
(b) Under the Distribution Plan adopted pursuant to Rule 12b-1 under the Act, Service shares pay the Distributor for distributing its shares, for servicing and/or maintaining Service shares’ shareholder accounts and for advertising and marketing for Service shares. The Distribution Plan provides for payments to be made at an annual rate of .25% of the value of the Service shares’ average daily net assets. The Distributor may make payments to Participating Insurance Companies and to brokers and dealers acting as principal underwriter for their variable insurance products. The fees payable under the Distribution Plan are payable without regard to actual expenses incurred. During the period ended June 30, 2022, Service shares were charged $824,141 pursuant to the Distribution Plan.
The fund has an arrangement with BNY Mellon Transfer, Inc., (the “Transfer Agent”), a subsidiary of BNY Mellon and an affiliate of the Adviser, whereby the fund may receive earnings credits when positive cash balances are maintained, which are used to offset Transfer Agent fees. For financial reporting purposes, the fund includes net earnings credits, if any, as shareholder servicing costs in the Statement of Operations.
The fund has an arrangement with The Bank of New York Mellon (the “Custodian”), a subsidiary of BNY Mellon and an affiliate of the Adviser, whereby the fund will receive interest income or be charged overdraft fees when cash balances are maintained. For financial reporting purposes, the fund includes this interest income and overdraft fees, if any, as interest income in the Statement of Operations.
The fund compensates the Transfer Agent, under a transfer agency agreement for providing transfer agency and cash management services inclusive of earnings credits, if any, for the fund. The majority of Transfer Agent fees are comprised of amounts paid on a per account basis, while cash management fees are related to fund subscriptions and redemptions. During the period ended June 30, 2022, the fund was charged $536 for transfer agency services, inclusive of earnings credit, if any. These fees are included in Shareholder servicing costs in the Statement of Operations.
22
The fund compensates the Custodian under a custody agreement, for providing custodial services for the fund. These fees are determined based on net assets, geographic region and transaction activity. During the period ended June 30, 2022, the fund was charged $19,603 pursuant to the custody agreement.
During the period ended June 30, 2022, the fund was charged $11,497 for services performed by the Chief Compliance Officer and his staff. These fees are included in Chief Compliance Officer fees in the Statement of Operations.
The components of “Due to BNY Mellon Investment Adviser, Inc. and affiliates” in the Statement of Assets and Liabilities consist of: management fees of $461,273, Distribution Plan fees of $116,771, Custodian fees of $6,859, Chief Compliance Officer fees of $6,243 and Transfer Agent fees of $190.
(c) Each Board member also serves as a Board member of other funds in the BNY Mellon Family of Funds complex. Annual retainer fees and attendance fees are allocated to each fund based on net assets.
NOTE 4—Securities Transactions:
The aggregate amount of purchases and sales of investment securities, excluding short-term securities during the period ended June 30, 2022, amounted to $330,813,967 and $247,054,864, respectively.
At June 30, 2022, accumulated net unrealized appreciation on investments was $8,399,701, consisting of $142,788,226 gross unrealized appreciation and $134,388,525 gross unrealized depreciation.
At June 30, 2022, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).
23
LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited)
Effective June 1, 2019, the fund adopted a liquidity risk management program (the “Liquidity Risk Management Program”) pursuant to the requirements of Rule 22e-4 under the Investment Company Act of 1940, as amended. Rule 22e-4 requires registered open-end funds, including mutual funds and exchange-traded funds but not money market funds, to establish liquidity risk management programs in order to effectively manage fund liquidity and shareholder redemptions. The rule is designed to mitigate the risk that a fund could not meet redemption requests without significantly diluting the interests of remaining investors.
The rule requires the fund to assess, manage and review their liquidity risk at least annually considering applicable factors such as investment strategy and liquidity during normal and foreseeable stressed conditions, including whether the strategy is appropriate for an open-end fund and whether the fund has a relatively concentrated portfolio or large positions in particular issuers. The fund must also assess its use of borrowings and derivatives, short-term and long-term cash flow projections in normal and stressed conditions, holdings of cash and cash equivalents, and borrowing arrangements and other funding sources.
The rule also requires the fund to classify its investments as highly liquid, moderately liquid, less liquid or illiquid based on the number of days the fund expects it would take to liquidate the investment, and to review these classifications at least monthly or more often under certain conditions. The periods range from three or fewer business days for a highly liquid investment to greater than seven calendar days for settlement of a less liquid investment. Illiquid investments are those a fund does not expect to be able to sell or dispose of within seven calendar days without significantly changing the market value. The fund is prohibited from acquiring an investment if, after the acquisition, its holdings of illiquid assets will exceed 15% of its net assets. In addition, if a fund permits redemptions in-kind, the rule requires the fund to establish redemption in-kind policies and procedures governing how and when it will engage in such redemptions.
Pursuant to the rule’s requirements, the Liquidity Risk Management Program has been reviewed and approved by the Board. Furthermore, the Board has received a written report prepared by the Program’s Administrator that addresses the operation of the Program, assesses its adequacy and effectiveness and describes any material changes made to the Program.
Assessment of Program
In the opinion of the Program Administrator, the Program approved by the Board continues to be adequate for the fund and the Program has been implemented effectively. The Program Administrator has monitored the fund’s liquidity risk and the liquidity classification of the securities held by the fund and has determined that the Program is operating effectively.
During the period from January 1, 2021 to December 31, 2021, there were no material changes to the Program and no material liquidity events that impacted the fund. During the period, the fund held sufficient highly liquid assets to meet fund redemptions.
Under normal expected foreseeable fund redemption forecasts and foreseeable stressed fund redemption forecasts, the Program Administrator believes that the fund maintains sufficient highly liquid assets to meet expected fund redemptions.
24
This page intentionally left blank.
25
BNY Mellon Investment Portfolios, Technology Growth Portfolio
240 Greenwich Street
New York, NY 10286
Adviser
BNY Mellon Investment Adviser, Inc.
240 Greenwich Street
New York, NY 10286
Sub-Adviser
Newton Investment Management
North America, LLC
BNY Mellon Center
201 Washington Street
Boston, MA 02108
Custodian
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
Transfer Agent &
Dividend Disbursing Agent
BNY Mellon Transfer, Inc.
240 Greenwich Street
New York, NY 10286
Distributor
BNY Mellon Securities Corporation
240 Greenwich Street
New York, NY 10286
Telephone 1-800-258-4260 or 1-800-258-4261
Mail The BNY Mellon Family of Funds, 144 Glenn Curtiss Boulevard, Uniondale, NY 11556-0144 Attn: Institutional Services Department
E-mail Send your request to info@bnymellon.com
Internet Information can be viewed online or downloaded at www.im.bnymellon.com
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-PORT. The fund’s Forms N-PORT are available on the SEC’s website at www.sec.gov.
A description of the policies and procedures that the fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the fund voted these proxies for the most recent 12-month period ended June 30 is available at www.im.bnymellon.com and on the SEC’s website at www.sec.gov and without charge, upon request, by calling 1-800-373-9387.
© 2022 BNY Mellon Securities Corporation |
Item 2. | Code of Ethics. |
Not applicable.
Item 3. | Audit Committee Financial Expert. |
Not applicable.
Item 4. | Principal Accountant Fees and Services. |
Not applicable.
Item 5. | Audit Committee of Listed Registrants. |
Not applicable.
Item 6. | Investments. |
(a) 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 Companies 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 applicable to Item 10.
Item 11. | Controls and Procedures. |
(a) The Registrant's principal executive and principal financial officers have concluded, based on their evaluation of the Registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant's disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the Registrant's management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.
(b) There were no changes to the Registrant's internal control over financial reporting 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) Not applicable.
(a)(3) 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.
BNY Mellon Investment Portfolios
By: /s/ David J. DiPetrillo
David J. DiPetrillo
President (Principal Executive Officer)
Date: August 8, 2022
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this Report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: /s/ David J. DiPetrillo
David J. DiPetrillo
President (Principal Executive Officer)
Date: August 8, 2022
By: /s/ James Windels
James Windels
Treasurer (Principal Financial Officer)
Date: August 8, 2022
EXHIBIT INDEX
(a)(2) Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Investment Company Act of 1940. (EX-99.CERT)
(b) Certification of principal executive and principal financial officers as required by Rule 30a-2(b) under the Investment Company Act of 1940. (EX-99.906CERT)