ABBREVIATIONS AND FOOTNOTES
ABBREVIATIONS AND FOOTNOTES
2
MYDESTINATION 2015 FUND
Futures Contracts outstanding at September 30, 2021:
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 12/2021 | 11 | $1,246,850 | $(52,095) | ||||
MSCI Emerging Markets | 12/2021 | 5 | 311,400 | (65,283) | ||||
10-Year U.S. Treasury Note | 12/2021 | 33 | 4,343,109 | (61,194) | ||||
S&P 500® E-Mini | 12/2021 | 9 | 1,933,988 | (7,890) | ||||
Total Futures Contracts outstanding at September 30, 2021 | $7,835,347 | $(186,462) |
For the Fund’s Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at June 30, 2021, see Notes to Financial Statements in the Fund’s Semi-Annual Report.
MYDESTINATION 2025 FUND
Futures Contracts outstanding at September 30, 2021:
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 12/2021 | 33 | $3,740,550 | $(176,341) | ||||
MSCI Emerging Markets | 12/2021 | 16 | 996,480 | (46,729) | ||||
10-Year U.S. Treasury Note | 12/2021 | 74 | 9,739,094 | (143,574) | ||||
S&P 500® E-Mini | 12/2021 | 33 | 7,091,287 | (306,071) | ||||
Total Futures Contracts outstanding at September 30, 2021 | $21,567,411 | $(672,715) |
For the Fund’s Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at June 30, 2021, see Notes to Financial Statements in the Fund’s Semi-Annual Report.
4
MYDESTINATION 2035 FUND
Futures Contracts outstanding at September 30, 2021:
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 12/2021 | 52 | $5,894,200 | $(260,000) | ||||
MSCI Emerging Markets | 12/2021 | 25 | 1,557,000 | (66,773) | ||||
10-Year U.S. Treasury Note | 12/2021 | 55 | 7,238,516 | (91,498) | ||||
S&P 500 ® E-Mini | 12/2021 | 52 | 11,174,150 | (469,797) | ||||
Total Futures Contracts outstanding at September 30, 2021 | $25,863,866 | $(888,068) |
For the Fund’s Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at June 30, 2021, see Notes to Financial Statements in the Fund’s Semi-Annual Report.
MYDESTINATION 2045 FUND
Futures Contracts outstanding at September 30, 2021:
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index E-mini | 12/2021 | 53 | $6,007,550 | $(282,746) | ||||
MSCI Emerging Markets E-Mini | 12/2021 | 23 | 1,432,440 | (67,431) | ||||
10-Year U.S. Treasury Note | 12/2021 | 24 | 3,158,625 | (45,776) | ||||
S&P 500® E-Mini | 12/2021 | 55 | 11,818,813 | (510,118) | ||||
Total Futures Contracts outstanding at September 30, 2021 | $22,417,428 | $(906,071) |
For the Fund’s Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at June 30, 2021, see Notes to Financial Statements in the Fund’s Semi-Annual Report.
6
MYDESTINATION 2055 FUND
Futures Contracts outstanding at September 30, 2021:
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 12/2021 | 19 | $2,153,650 | $(64,262) | ||||
MSCI Emerging Markets | 12/2021 | 10 | 622,800 | (12,720) | ||||
10-Year U.S. Treasury Note | 12/2021 | 6 | 789,656 | (9,154) | ||||
S&P 500® E-Mini | 12/2021 | 20 | 4,297,750 | (145,843) | ||||
Total Futures Contracts outstanding at September 30, 2021 | $7,863,856 | $(231,979) |
For the Fund’s Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at June 30, 2021, see Notes to Financial Statements in the Fund’s Semi-Annual Report.
CONSERVATIVE ALLOCATION FUND
Futures Contracts outstanding at September 30, 2021:
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 12/2021 | 5 | $566,750 | $(22,547) | ||||
MSCI Emerging Markets | 12/2021 | 4 | 249,120 | (10,978) | ||||
2-Year U.S. Treasury Note | 12/2021 | 37 | 8,142,023 | (7,731) | ||||
S&P 500® E-Mini | 12/2021 | 6 | 1,289,325 | (42,204) | ||||
Total Futures Contracts outstanding at September 30, 2021 | $10,247,218 | $(83,460) |
For the Fund’s Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at June 30, 2021, see Notes to Financial Statements in the Fund’s Semi-Annual Report.
8
BALANCED ALLOCATION FUND
Futures Contracts outstanding at September 30, 2021:
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 12/2021 | 51 | $5,780,850 | $(274,386) | ||||
MSCI Emerging Markets | 12/2021 | 37 | 2,304,360 | (107,985) | ||||
10-Year U.S. Treasury Note | 12/2021 | 35 | 4,606,328 | (64,072) | ||||
U.S. Treasury Long Bond | 12/2021 | 33 | 5,254,219 | (151,275) | ||||
5-Year U.S. Treasury Note | 12/2021 | 55 | 6,750,820 | (42,802) | ||||
S&P 500® E-Mini | 12/2021 | 56 | 12,033,700 | (519,393) | ||||
Total Futures Contracts outstanding at September 30, 2021 | $36,730,277 | $(1,159,913) |
For the Fund’s Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at June 30, 2021, see Notes to Financial Statements in the Fund’s Semi-Annual Report.
GROWTH ALLOCATION FUND
Futures Contracts outstanding at September 30, 2021:
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 12/2021 | 64 | $7,254,400 | $(341,957) | ||||
MSCI Emerging Markets | 12/2021 | 47 | 2,927,160 | (136,415) | ||||
10-Year U.S. Treasury Note | 12/2021 | 14 | 1,842,531 | (26,067) | ||||
U.S. Treasury Long Bond | 12/2021 | 13 | 2,069,844 | (61,523) | ||||
5-Year U.S. Treasury Note | 12/2021 | 22 | 2,700,328 | (17,177) | ||||
S&P 500® E-Mini | 12/2021 | 71 | 15,257,013 | (658,516) | ||||
Total Futures Contracts outstanding at September 30, 2021 | $32,051,276 | $(1,241,655) |
For the Fund’s Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at June 30, 2021, see Notes to Financial Statements in the Fund’s Semi-Annual Report.
10
AGGRESSIVE ALLOCATION FUND
Futures Contracts outstanding at September 30, 2021:
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 12/2021 | 69 | $7,821,150 | $(367,226) | ||||
MSCI Emerging Markets | 12/2021 | 55 | 3,425,400 | (160,084) | ||||
S&P 500® E-Mini | 12/2021 | 79 | 16,976,113 | (732,715) | ||||
Total Futures Contracts outstanding at September 30, 2021 | $28,222,663 | $(1,260,025) |
For the Fund’s Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at June 30, 2021, see Notes to Financial Statements in the Fund’s Semi-Annual Report.
LOW-DURATION BOND FUND
12
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
14
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
16
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
18
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
20
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
22
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
24
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
26
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
28
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
30
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
32
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
34
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
36
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
38
Futures Contracts outstanding at September 30, 2021:
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
Euro-Bobl | 12/2021 | (50) | $(7,814,809) | $51,405 | ||||
Euro-Bund | 12/2021 | (1) | (196,711) | 2,359 | ||||
Euro-Schatz | 12/2021 | (39) | (5,068,934) | 3,447 | ||||
10-Year U.S. Treasury Note | 12/2021 | (99) | (13,029,328) | 120,740 | ||||
Ultra 10-Year U.S. Treasury Note | 12/2021 | (97) | (14,089,250) | 304,711 | ||||
Ultra Long U.S. Treasury Bond | 12/2021 | (2) | (382,125) | 10,313 | ||||
2-Year U.S. Treasury Note | 12/2021 | 1,211 | 266,486,227 | (157,975) | ||||
5-Year U.S. Treasury Note | 12/2021 | (1,034) | (126,915,422) | 400,981 | ||||
90-Day Bank Acceptance | 12/2022 | 302 | 58,875,217 | (169,758) | ||||
90-Day Bank Acceptance | 03/2023 | 216 | 42,019,896 | (330,324) | ||||
90-Day Eurodollar | 12/2023 | 37 | 9,144,087 | (8,787) | ||||
90-Day Eurodollar | 12/2024 | (37) | (9,101,537) | 19,509 | ||||
Total Futures Contracts outstanding at September 30, 2021 | $199,927,311 | $246,621 |
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Forward Foreign Currency Contracts outstanding at September 30, 2021:
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
10/04/21 | U.S. Dollars | 21,302,405 | British Pounds | 15,539,000 | BAR | $365,052 | ||||||
12/15/21 | U.S. Dollars | 9,042,687 | Euro | 7,628,500 | HSBC | 191,292 | ||||||
12/15/21 | U.S. Dollars | 9,036,157 | Euro | 7,628,500 | BNP | 184,762 | ||||||
10/04/21 | U.S. Dollars | 6,882,812 | Euro | 5,827,000 | BNP | 132,586 | ||||||
03/17/22 | U.S. Dollars | 5,854,506 | Euro | 4,958,000 | HSBC | 90,100 | ||||||
11/08/21 | U.S. Dollars | 10,107,768 | Japanese Yen | 1,115,000,000 | RBS | 86,626 | ||||||
10/04/21 | U.S. Dollars | 17,876,020 | Canadian Dollars | 22,565,152 | JPM | 60,601 | ||||||
11/08/21 | U.S. Dollars | 3,369,655 | Japanese Yen | 370,000,000 | JPM | 44,254 | ||||||
10/05/21 | U.S. Dollars | 7,804,557 | Australian Dollars | 10,762,255 | BNP | 23,805 | ||||||
11/02/21 | Japanese Yen | 574,200,000 | U.S. Dollars | 5,140,400 | BAR | 20,040 | ||||||
11/02/21 | U.S. Dollars | 7,793,003 | Australian Dollars | 10,762,255 | UBS | 11,268 | ||||||
12/15/21 | U.S. Dollars | 320,025 | Australian Dollars | 433,000 | CBA | 6,866 | ||||||
11/02/21 | U.S. Dollars | 4,848,559 | Canadian Dollars | 6,133,669 | MSCS | 6,182 | ||||||
12/15/21 | U.S. Dollars | 294,772 | Euro | 251,000 | RBS | 3,535 | ||||||
11/02/21 | U.S. Dollars | 6,756,848 | Euro | 5,827,000 | BNP | 2,824 | ||||||
12/15/21 | U.S. Dollars | 298,689 | Canadian Dollars | 376,000 | BOA | 1,830 | ||||||
11/02/21 | U.S. Dollars | 813,613 | Canadian Dollars | 1,029,573 | HSBC | 791 | ||||||
Subtotal Appreciation | $1,232,414 | |||||||||||
12/15/21 | U.S. Dollars | 75,307 | Euro | 65,000 | HSBC | $(113) | ||||||
03/17/22 | U.S. Dollars | 1,985,499 | Canadian Dollars | 2,518,000 | HSBC | (2,292) | ||||||
11/02/21 | U.S. Dollars | 6,718,105 | Canadian Dollars | 8,521,910 | BNP | (9,727) | ||||||
11/02/21 | U.S. Dollars | 20,925,301 | British Pounds | 15,539,000 | BAR | (12,696) | ||||||
10/04/21 | Canadian Dollars | 6,880,000 | U.S. Dollars | 5,459,340 | BNP | (27,510) | ||||||
10/04/21 | Japanese Yen | 376,500,000 | U.S. Dollars | 3,428,082 | BNP | (45,087) | ||||||
Subtotal Depreciation | $(97,425) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at September 30, 2021 | $1,134,989 |
Swap Agreements outstanding at September 30, 2021:
Reference Obligation | Fixed Deal (Pay) Rate | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Credit Default Swaps on Sovereign Issuers—Buy Protection | ||||||||||||||||
Peoples Republic of China, 7.5% due 10/28/2027 (Pay Quarterly) | (1.00%) | 6/20/2024 | MS | USD | 1,600,000 | $(34,111) | $(35,993) | $1,882 | ||||||||
$(34,111) | $(35,993) | $1,882 |
Reference Obligation | Fixed Deal (Pay) Rate | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
Centrally Cleared Credit Default Swaps on Credit Indexes—Buy Protection | ||||||||||||||
Markit CDX.NA.IG.37 Index (Pay Quarterly) | (1.00%) | 12/20/2026 | USD | 34,300,000 | $(829,036) | $(856,374) | $27,338 | |||||||
$(829,036) | $(856,374) | $27,338 |
40
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
Centrally Cleared Interest Rate Swaps | ||||||||||||||
1-Month LIBOR + .0975% (Quarterly) | 3-Month LIBOR (Quarterly) | 1/13/2023 | USD | 14,200,000 | $(7,444) | $— | $(7,444) | |||||||
1-Month LIBOR + .098% (Quarterly) | 3-Month LIBOR (Quarterly) | 1/13/2023 | USD | 10,800,000 | (5,714) | — | (5,714) | |||||||
$(13,158) | $ — | $(13,158) |
For the Fund’s Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at June 30, 2021, see Notes to Financial Statements in the Fund’s Semi-Annual Report.
MEDIUM-DURATION BOND FUND
42
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
44
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
46
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
48
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
50
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
52
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
54
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
56
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
58
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
60
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
62
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
64
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
66
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
68
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
70
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
72
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
74
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
76
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
78
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
80
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
82
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
84
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Futures Contracts outstanding at September 30, 2021:
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
30-Year Euro Buxl | 12/2021 | (20) | $(4,710,778) | $139,721 | ||||
Euro-OAT | 12/2021 | 38 | 7,304,671 | (131,107) | ||||
Euro-Bobl | 12/2021 | (5) | (781,481) | 4,592 | ||||
Euro-Bund | 12/2021 | (130) | (25,572,431) | 579,569 | ||||
90-Day Eurodollar | 12/2021 | (610) | (152,240,750) | (83,274) | ||||
10-Year Commonwealth Treasury Bond | 12/2021 | 74 | 7,568,543 | (170,727) | ||||
10-Year Japanese Treasury Bond | 12/2021 | (9) | (12,240,712) | 35,513 | ||||
10-Year U.S. Treasury Note | 12/2021 | 605 | 79,623,672 | (1,166,996) | ||||
U.S. Treasury Long Bond | 12/2021 | (292) | (46,491,875) | 1,017,741 | ||||
Ultra 10-Year U.S. Treasury Note | 12/2021 | (93) | (13,508,250) | 216,343 | ||||
Ultra Long U.S. Treasury Bond | 12/2021 | 361 | 68,973,563 | (2,041,641) | ||||
Long GILT | 12/2021 | (69) | (11,635,271) | 366,407 | ||||
2-Year U.S. Treasury Note | 12/2021 | 989 | 217,634,086 | (124,142) | ||||
5-Year U.S. Treasury Note | 12/2021 | 1,679 | 206,084,133 | (1,307,551) |
86
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
90-Day Eurodollar | 06/2023 | 156 | $38,693,850 | $(10,201) | ||||
90-Day Eurodollar | 09/2023 | 37 | 9,156,575 | (8,550) | ||||
90-Day Eurodollar | 12/2023 | 921 | 227,613,638 | (179,075) | ||||
Total Futures Contracts outstanding at September 30, 2021 | $595,471,183 | $(2,863,378) |
Forward Foreign Currency Contracts outstanding at September 30, 2021:
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
10/04/21 | U.S. Dollars | 27,578,036 | British Pounds | 20,118,000 | BAR | $470,908 | ||||||
10/19/21 | Russian Rubles | 572,480,971 | U.S. Dollars | 7,613,734 | GSC | 228,836 | ||||||
10/04/21 | U.S. Dollars | 11,461,116 | Euro | 9,703,000 | BNP | 220,779 | ||||||
10/19/21 | U.S. Dollars | 8,829,792 | Euro | 7,437,148 | GSC | 211,815 | ||||||
10/12/21 | U.S. Dollars | 1,908,393 | Peruvian Nuevo Soles | 7,052,466 | HSBC | 203,136 | ||||||
10/27/21 | U.S. Dollars | 5,087,734 | British Pounds | 3,650,573 | SS | 168,787 | ||||||
11/12/21 | U.S. Dollars | 1,229,754 | Peruvian Nuevo Soles | 4,609,488 | GSC | 116,211 | ||||||
10/19/21 | Indonesian Rupiahs | 56,877,253,622 | U.S. Dollars | 3,853,472 | GSC | 110,360 | ||||||
10/04/21 | U.S. Dollars | 4,448,504 | Brazilian Reals | 23,710,527 | GSC | 97,291 | ||||||
10/19/21 | U.S. Dollars | 2,887,640 | Mexican Pesos | 58,446,819 | CITI | 64,293 | ||||||
11/24/21 | U.S. Dollars | 2,336,336 | Euro | 1,974,169 | DEUT | 47,067 | ||||||
10/04/21 | U.S. Dollars | 2,319,923 | Euro | 1,962,000 | GSC | 47,065 | ||||||
10/19/21 | U.S. Dollars | 1,007,583 | Euro | 850,000 | CITI | 22,625 | ||||||
11/04/21 | U.S. Dollars | 402,584 | Peruvian Nuevo Soles | 1,573,218 | HSBC | 22,423 | ||||||
10/04/21 | U.S. Dollars | 1,894,608 | Canadian Dollars | 2,387,000 | BNP | 10,047 | ||||||
11/04/21 | U.S. Dollars | 638,158 | Peruvian Nuevo Soles | 2,604,516 | BNP | 8,788 | ||||||
10/04/21 | U.S. Dollars | 163,837 | Peruvian Nuevo Soles | 645,453 | GSC | 7,739 | ||||||
12/15/21 | U.S. Dollars | 753,473 | Japanese Yen | 82,951,989 | MSCS | 7,579 | ||||||
10/19/21 | U.S. Dollars | 260,823 | British Pounds | 188,429 | GSC | 6,928 | ||||||
11/02/21 | Australian Dollars | 1,674,000 | U.S. Dollars | 1,204,157 | GSC | 6,242 | ||||||
11/02/21 | U.S. Dollars | 13,526,451 | Euro | 11,665,000 | BNP | 5,654 | ||||||
12/15/21 | U.S. Dollars | 401,520 | Swiss Francs | 368,787 | UBS | 4,994 | ||||||
12/15/21 | U.S. Dollars | 234,452 | Swedish Kronor | 2,015,622 | CITI | 4,024 | ||||||
12/15/21 | U.S. Dollars | 295,498 | Japanese Yen | 32,538,963 | UBS | 2,911 | ||||||
11/17/21 | U.S. Dollars | 293,985 | Japanese Yen | 32,400,000 | BAR | 2,769 | ||||||
10/19/21 | Chinese Offshore Yuan | 2,958,374 | U.S. Dollars | 456,391 | GSC | 1,694 | ||||||
12/15/21 | U.S. Dollars | 458,511 | Canadian Dollars | 578,650 | UBS | 1,655 | ||||||
11/12/21 | U.S. Dollars | 408,206 | Canadian Dollars | 515,436 | JPM | 1,288 | ||||||
12/15/21 | U.S. Dollars | 13,819 | Norwegian Kroner | 120,031 | DEUT | 97 | ||||||
Subtotal Appreciation | $2,104,005 | |||||||||||
01/18/22 | U.S. Dollars | 453,293 | Chinese Offshore Yuan | 2,958,374 | GSC | $(1,462) | ||||||
11/12/21 | Australian Dollars | 1,481,932 | U.S. Dollars | 1,074,423 | BOA | (2,861) | ||||||
11/24/21 | Euro | 147,151 | U.S. Dollars | 174,146 | DEUT | (3,508) | ||||||
10/19/21 | U.S. Dollars | 452,898 | Chinese Offshore Yuan | 2,958,374 | GSC | (5,188) | ||||||
12/15/21 | Australian Dollars | 451,000 | U.S. Dollars | 332,507 | UBS | (6,330) | ||||||
11/02/21 | Australian Dollars | 11,455,000 | U.S. Dollars | 8,294,623 | UBS | (11,993) | ||||||
12/15/21 | Euro | 513,550 | U.S. Dollars | 609,472 | CITI | (13,596) | ||||||
10/05/21 | Australian Dollars | 4,366,000 | U.S. Dollars | 3,170,103 | JPM | (13,630) | ||||||
10/19/21 | Euro | 1,050,000 | U.S. Dollars | 1,231,680 | CITI | (14,966) | ||||||
11/02/21 | U.S. Dollars | 25,146,989 | British Pounds | 18,674,000 | BAR | (15,257) | ||||||
10/19/21 | Canadian Dollars | 2,515,065 | U.S. Dollars | 2,002,399 | CITI | (16,776) | ||||||
10/04/21 | British Pounds | 709,000 | U.S. Dollars | 978,073 | MSCS | (22,762) |
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
10/19/21 | Canadian Dollars | 1,480,000 | U.S. Dollars | 1,192,268 | GSC | $(23,820) | ||||||
10/05/21 | Australian Dollars | 7,089,000 | U.S. Dollars | 5,152,807 | BNP | (27,696) | ||||||
10/04/21 | Brazilian Reals | 23,710,527 | U.S. Dollars | 4,384,505 | MSCS | (33,292) | ||||||
01/31/22 | U.S. Dollars | 2,219,614 | Israeli Shekels | 7,282,000 | HSBC | (42,447) | ||||||
04/06/22 | U.S. Dollars | 2,131,981 | Israeli Shekels | 6,999,294 | GSC | (44,622) | ||||||
10/19/21 | Australian Dollars | 2,211,180 | U.S. Dollars | 1,655,314 | CITI | (56,601) | ||||||
10/19/21 | Mexican Pesos | 56,757,973 | U.S. Dollars | 2,800,132 | CITI | (58,367) | ||||||
10/19/21 | Brazilian Reals | 15,244,857 | U.S. Dollars | 2,871,728 | CITI | (80,684) | ||||||
11/03/21 | Brazilian Reals | 23,710,527 | U.S. Dollars | 4,427,736 | GSC | (97,513) | ||||||
10/19/21 | Japanese Yen | 917,179,528 | U.S. Dollars | 8,358,215 | CITI | (116,159) | ||||||
12/15/21 | Chilean Pesos | 1,891,114,500 | U.S. Dollars | 2,449,789 | BAR | (133,926) | ||||||
Subtotal Depreciation | $(843,456) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at September 30, 2021 | $1,260,549 |
Swap Agreements outstanding at September 30, 2021:
Reference Obligation | Fixed Deal (Pay) Rate | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Credit Default Swaps on Sovereign Issuers—Buy Protection | ||||||||||||||||
Peoples Republic of China, 7.50% due 10/28/27 (Pay Quarterly) | (1.00)% | 6/20/2022 | JPM | USD | 630,000 | $(4,285) | $(6,835) | $2,550 | ||||||||
Peoples Republic of China, 7.50% due 10/28/27 (Pay Quarterly) | (1.00)% | 6/20/2022 | CITI | USD | 70,000 | (476) | (1,226) | 750 | ||||||||
Subtotal Appreciation | $(4,761) | $(8,061) | $3,300 | |||||||||||||
Peoples Republic of China, 7.50% due 10/28/27 (Pay Quarterly) | (1.00)% | 12/20/2021 | DEUT | USD | 430,000 | $(995) | $1,639 | $(2,634) | ||||||||
Subtotal Depreciation | $(995) | $1,639 | $(2,634) | |||||||||||||
Net Credit Default Swaps on Sovereign Issuers—Buy Protection outstanding at September 30, 2021 | $(5,756) | $(6,422) | $666 |
Reference Obligation | Implied Credit Spread | Fixed Deal Receive Rate | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Credit Default Swaps on Corporate and Sovereign Issuers—Sell Protection | ||||||||||||||||
The Boeing Co., 2.60% due 10/30/25 (Receive Quarterly) | 0.62% | 1.00% | 6/20/2023 | USD | 2,200,000 | $15,241 | $5,839 | $9,402 | ||||||||
General Electric Co., 2.70% due 10/9/22 (Receive Quarterly) | 0.35% | 1.00% | 12/20/2023 | USD | 600,000 | 8,842 | (25,420) | 34,262 | ||||||||
General Electric Co., 2.70% due 10/9/22 (Receive Quarterly) | 0.41% | 1.00% | 6/20/2024 | USD | 1,000,000 | 16,241 | (20,253) | 36,494 | ||||||||
Prudential Financial, Inc., 3.50% due 5/15/24 (Receive Quarterly) | 0.27% | 1.00% | 6/20/2024 | USD | 1,075,000 | 21,916 | 19,844 | 2,072 | ||||||||
Republic of Indonesia, 5.88% due 3/13/20 (Receive Quarterly) | 0.40% | 1.00% | 6/20/2024 | USD | 3,470,000 | 57,619 | 13,562 | 44,057 | ||||||||
Rolls-Royce Holdings PLC, 2.13% due 6/18/21 (Receive Quarterly) | 1.46% | 1.00% | 6/20/2025 | EUR | 1,700,000 | (32,654) | (263,901) | 231,247 | ||||||||
Devon Energy Corporation, 7.95% due 4/15/32 (Receive Quarterly) | 0.92% | 1.00% | 6/20/2026 | USD | 2,800,000 | 10,846 | (26,054) | 36,900 |
88
Reference Obligation | Implied Credit Spread | Fixed Deal Receive Rate | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
General Electric Co., 2.70% due 10/9/22 (Receive Quarterly) | 0.69% | 1.00% | 6/20/2026 | USD | 2,100,000 | $30,226 | $11,126 | $19,100 | ||||||||
The Boeing Co., 2.60% due 10/30/25 (Receive Quarterly) | 1.01% | 1.00% | 6/20/2026 | USD | 2,400,000 | (83) | (17,161) | 17,078 | ||||||||
General Electric Co., 2.70% due 10/9/22 (Receive Quarterly) | 0.77% | 1.00% | 12/20/2026 | USD | 2,600,000 | 31,632 | 29,130 | 2,502 | ||||||||
General Motors Co., 4.88% due 10/2/23 (Receive Quarterly) | 1.01% | 5.00% | 12/20/2026 | USD | 2,200,000 | 443,519 | 443,519 | — | ||||||||
British Telecommunications, 5.75% due 12/7/28 (Receive Quarterly) | 1.07% | 1.00% | 6/20/2028 | EUR | 2,000,000 | (10,626) | (11,393) | 767 | ||||||||
British Telecommunications, 5.75% due 12/7/28 (Receive Quarterly) | 1.13% | 1.00% | 12/20/2028 | EUR | 2,000,000 | (20,990) | (23,988) | 2,998 | ||||||||
Subtotal Appreciation | $571,729 | $134,850 | $436,879 | |||||||||||||
The Boeing Co., 8.75% due 8/15/21 (Receive Quarterly) | 0.76% | 1.00% | 6/20/2024 | USD | 475,000 | $3,185 | $11,966 | $(8,781) | ||||||||
Republic of Peru, 8.75% due 11/21/33 (Receive Quarterly) | 0.65% | 1.00% | 12/20/2024 | USD | 290,000 | 3,365 | 6,740 | (3,375) | ||||||||
Russian Federation, 7.50% due 3/31/30 (Receive Quarterly) | 0.58% | 1.00% | 12/20/2024 | USD | 950,000 | 13,252 | 17,427 | (4,175) | ||||||||
General Electric Co., 2.70% due 10/9/22 (Receive Quarterly) | 0.69% | 1.00% | 6/20/2026 | USD | 1,100,000 | 15,833 | 17,601 | (1,768) | ||||||||
Russian Federation, 7.50% due 3/31/30 (Receive Quarterly) | 0.89% | 1.00% | 12/20/2026 | USD | 320,000 | 1,934 | 2,212 | (278) | ||||||||
Verizon Communications, Inc., 4.13% due 3/16/27 (Receive Quarterly) | 0.53% | 1.00% | 12/20/2026 | USD | 2,100,000 | 50,539 | 51,189 | (650) | ||||||||
Subtotal Depreciation | $88,108 | $107,135 | $(19,027) | |||||||||||||
Net Centrally Cleared Credit Default Swaps on Corporate and Sovereign Issuers—Sell Protection outstanding at September 30, 2021 | $659,837 | $241,985 | $417,852 |
Reference Obligation | Fixed Deal (Pay) Rate | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
Centrally Cleared Credit Default Swaps on Credit Indexes—Buy Protection | ||||||||||||||
CDX.NA.HY.37 (Pay Quarterly) | (5.00)% | 12/20/2026 | USD | 1,020,000 | $(96,494) | $(97,955) | $1,461 | |||||||
$(96,494) | $(97,955) | $1,461 |
Reference Obligation | Implied Credit Spread | Fixed Deal Receive Rate | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Credit Default Swaps on Credit Indexes—Sell Protection | ||||||||||||||||
Markit CDX.NA.IG.34 Index (Receive Quarterly) | 0.46% | 1.00% | 6/20/2025 | USD | 22,475,000 | $449,782 | $232,085 | $217,697 | ||||||||
Markit CDX.NA.IG.37 Index (Receive Quarterly) | 0.53% | 1.00% | 12/20/2026 | USD | 14,000,000 | 338,382 | 325,681 | 12,701 | ||||||||
Subtotal Appreciation | $788,164 | $557,766 | $230,398 | |||||||||||||
Markit CDX.NA.IG.34 Index (Receive Quarterly) | 0.25% | 1.00% | 6/20/2023 | USD | 7,550,000 | $100,485 | $114,038 | $(13,553) | ||||||||
iTraxx Europe & Crossover Series 35 (Receive Quarterly) | 2.35% | 5.00% | 6/20/2026 | EUR | 6,400,000 | 875,495 | 917,063 | (41,568) |
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Reference Obligation | Implied Credit Spread | Fixed Deal Receive Rate | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Markit CDX.NA.IG.36 Index (Receive Quarterly) | 0.48% | 1.00% | 6/20/2026 | USD | 18,600,000 | $453,517 | $457,606 | $(4,089) | ||||||||
iTraxx Europe & Crossover Series 36 (Receive Quarterly) | 2.53% | 5.00% | 12/20/2026 | EUR | 4,900,000 | 678,665 | 704,812 | (26,147) | ||||||||
Markit CDX.NA.IG.37 Index (Receive Quarterly) | 0.53% | 1.00% | 12/20/2026 | USD | 69,129,000 | 1,670,859 | 1,678,068 | (7,209) | ||||||||
Subtotal Depreciation | $3,779,021 | $3,871,587 | $(92,566) | |||||||||||||
Net Centrally Cleared Credit Default Swaps on Credit Indexes—Sell Protection outstanding at September 30, 2021 | $4,567,185 | $4,429,353 | $137,832 |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Interest Rate Swaps | ||||||||||||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 7.02% (Upon termination) | 1/4/2027 | CITI | BRL | 15,744,747 | $(291,138) | $10,600 | $(301,738) | ||||||||
$(291,138) | $10,600 | $(301,738) |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
Centrally Cleared Interest Rate Swaps | ||||||||||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 4.12% (Upon termination) | 1/3/2022 | BRL | 5,804,074 | $12,363 | $— | $12,363 | |||||||
2.85% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/3/2022 | BRL | 12,735,575 | 33,791 | (83) | 33,874 | |||||||
2.86% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/3/2022 | BRL | 22,364,363 | 59,315 | (495) | 59,810 | |||||||
3-Month LIBOR (Quarterly) | 0.19% (Semiannually) | 6/15/2022 | USD | 21,256,000 | 17,421 | (96) | 17,517 | |||||||
3-Month New Zealand BBR FRA (Quarterly) | 1.25% (Semiannually) | 9/15/2022 | NZD | 18,340,000 | 5,826 | 626 | 5,200 | |||||||
3-Month New Zealand BBR FRA (Quarterly) | 1.25% (Semiannually) | 12/15/2022 | NZD | 9,510,000 | (1,937) | (10,537) | 8,600 | |||||||
5.80% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2023 | BRL | 10,262,469 | 53,831 | — | 53,831 | |||||||
3-Month ASX BBSW (Quarterly) | 0.19% (Quarterly) | 2/22/2023 | AUD | 98,600,000 | 10,342 | — | 10,342 | |||||||
3-Month CDOR (Semiannually) | 1.10% (Semiannually) | 6/15/2023 | CAD | 21,140,000 | (708) | (728) | 20 | |||||||
1.25% (Quarterly) | 3-Month KWCDC (Quarterly) | 9/15/2023 | KRW | 5,554,169,927 | 27,395 | — | 27,395 | |||||||
7-Day CFETS Repo Rate (Quarterly) | 2.50% (Quarterly) | 9/15/2023 | CNY | 111,354,201 | 65,830 | 45,031 | 20,799 | |||||||
0.50% (Semiannually) | 3-Month LIBOR (Quarterly) | 9/21/2023 | USD | 18,500,000 | 10,426 | (8,162) | 18,588 | |||||||
6.20% (Lunar) | 28-Day Mexico Interbank TIIE (Lunar) | 12/13/2023 | MXN | 85,070,000 | 33,456 | (2,012) | 35,468 | |||||||
1.50% (Quarterly) | 3-Month KWCDC (Quarterly) | 12/15/2023 | KRW | 3,772,620,000 | 9,808 | 1,488 | 8,320 | |||||||
9.20% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2024 | BRL | 1,793,550 | 3,543 | (432) | 3,975 | |||||||
3-Month ASX BBSW (Quarterly) | 0.50% (Quarterly) | 2/24/2024 | AUD | 23,170,000 | 20,104 | — | 20,104 | |||||||
1.50% (Quarterly) | 3-Month KWCDC (Quarterly) | 3/16/2024 | KRW | 9,657,570,000 | 38,397 | 22,339 | 16,058 | |||||||
1-Month LIBOR + 0.09% (Quarterly) | 3-Month LIBOR (Quarterly) | 7/25/2024 | USD | 41,780,000 | 1,784 | — | 1,784 | |||||||
6.32% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2025 | BRL | 5,365,429 | 95,785 | — | 95,785 | |||||||
7-Day CFETS Repo Rate (Quarterly) | 2.75% (Quarterly) | 9/15/2026 | CNY | 11,648,207 | 21,874 | 11,937 | 9,937 |
90
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
6.70% (Lunar) | 28-Day Mexico Interbank TIIE (Lunar) | 12/9/2026 | MXN | 36,200,000 | $35,744 | $380 | $35,364 | |||||||
(0.25)% (Annually) | 6-Month EURIBOR (Semiannually) | 12/15/2026 | EUR | 3,340,000 | 16,514 | (8,331) | 24,845 | |||||||
0.25% (Annually) | 3-Month STIBOR (Quarterly) | 12/15/2026 | SEK | 14,500,000 | 25,146 | 14,825 | 10,321 | |||||||
1.25% (Semiannually) | 3-Month LIBOR (Quarterly) | 12/15/2026 | USD | 5,410,000 | (27,769) | (32,192) | 4,423 | |||||||
1.70% (Annually) | 6-Month WIBOR (Semiannually) | 12/15/2026 | PLN | 1,400,000 | 4,602 | 263 | 4,339 | |||||||
8.50% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/4/2027 | BRL | 5,028,649 | 74,560 | — | 74,560 | |||||||
9.90% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/4/2027 | BRL | 1,647,005 | 8,009 | (1,135) | 9,144 | |||||||
0.71% (Annually) | 1-Day SOFR (Annually) | 5/15/2027 | USD | 22,990,000 | 235,004 | 24,706 | 210,298 | |||||||
1.68% (Semiannually) | 3-Month CDOR (Semiannually) | 8/22/2028 | CAD | 11,720,000 | 168,163 | (12,022) | 180,185 | |||||||
28-Day Mexico Interbank TIIE (Lunar) | 7.45% (Lunar) | 7/18/2029 | MXN | 165,770,000 | 77,642 | 68,836 | 8,806 | |||||||
1.24% (Annually) | 6-Month NIBOR (Semiannually) | 10/29/2030 | NOK | 65,600,000 | 280,552 | 88,106 | 192,446 | |||||||
1.00% (Annually) | 1-Day SONIA (Annually) | 2/10/2031 | GBP | 5,330,000 | 23,131 | (100,212) | 123,343 | |||||||
3-Month STIBOR (Quarterly) | 1.27% (Annually) | 5/11/2031 | SEK | 30,840,000 | 1,362 | — | 1,362 | |||||||
2.50% (Semiannually) | 3-Month LIBOR (Quarterly) | 9/17/2031 | USD | 8,140,000 | (166,231) | (262,985) | 96,754 | |||||||
1.50% (Semiannually) | 3-Month LIBOR (Quarterly) | 9/24/2031 | USD | 4,450,000 | 112,541 | 56,518 | 56,023 | |||||||
0.00% (Annually) | Bank of Japan Unsecured Overnight Call Rate (Annually) | 12/15/2031 | JPY | 721,720,000 | 42,378 | 22,583 | 19,795 | |||||||
0.75% (Annually) | 1-Day SONIA (Annually) | 12/15/2031 | GBP | 18,220,000 | 447,038 | (281,549) | 728,587 | |||||||
1.50% (Annually) | 6-Month NIBOR (Semiannually) | 12/15/2031 | NOK | 5,570,000 | 24,679 | 8,818 | 15,861 | |||||||
2.00% (Semiannually) | 3-Month CDOR (Semiannually) | 12/15/2031 | CAD | 6,140,000 | 6,786 | (107,118) | 113,904 | |||||||
0.75% (Annually) | 1-Day SONIA (Annually) | 3/16/2032 | GBP | 6,200,000 | 171,978 | (47,814) | 219,792 | |||||||
2.00% (Semiannually) | 6-Month ASX BBSW (Semiannually) | 3/17/2032 | AUD | 1,430,000 | 18,818 | 6,315 | 12,503 | |||||||
1.63% (Annually) | 1-Day SOFR (Annually) | 9/22/2036 | USD | 10,960,000 | 118,027 | 3,371 | 114,656 | |||||||
0.61% (Annually) | 6-Month EURIBOR (Semiannually) | 7/22/2041 | EUR | 8,960,000 | 246,537 | 72,400 | 174,137 | |||||||
0.50% (Annually) | 6-Month EURIBOR (Semiannually) | 12/15/2041 | EUR | 130,000 | 295 | (4,472) | 4,767 | |||||||
0.56% (Annually) | 1-Day SOFR (Annually) | 7/20/2045 | USD | 5,310,000 | 1,077,113 | 70,079 | 1,007,034 | |||||||
0.74% (Annually) | 1-Day SOFR (Annually) | 8/19/2045 | USD | 3,610,000 | 602,994 | — | 602,994 | |||||||
0.80% (Semiannually) | 3-Month LIBOR (Quarterly) | 11/15/2045 | USD | 1,668,000 | 354,288 | 76,382 | 277,906 | |||||||
1.00% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/15/2047 | USD | 8,077,000 | 1,464,860 | 97,887 | 1,366,973 | |||||||
1.20% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/15/2047 | USD | 1,621,000 | 224,836 | 8,929 | 215,907 | |||||||
1.23% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/15/2047 | USD | 905,000 | 120,795 | 1,039 | 119,756 | |||||||
1.52% (Annually) | 1-Day SOFR (Annually) | 2/15/2047 | USD | 2,248,000 | 22,555 | (49,391) | 71,946 | |||||||
1.60% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/15/2047 | USD | 1,769,000 | 94,947 | 9,710 | 85,237 | |||||||
1.63% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/15/2047 | USD | 5,134,000 | 252,239 | 29,337 | 222,902 | |||||||
0.90% (Semiannually) | 3-Month LIBOR (Quarterly) | 3/17/2050 | USD | 2,110,000 | 471,717 | (64) | 471,781 | |||||||
1.20% (Semiannually) | 3-Month LIBOR (Quarterly) | 10/7/2050 | USD | 1,114,000 | 168,542 | (487) | 169,029 | |||||||
1.67% (Semiannually) | 3-Month LIBOR (Quarterly) | 7/9/2051 | USD | 2,945,000 | 127,163 | (13,125) | 140,288 | |||||||
2.00% (Semiannually) | 3-Month LIBOR (Quarterly) | 12/15/2051 | USD | 4,170,000 | (146,788) | (360,971) | 214,183 | |||||||
0.75% (Annually) | 1-Day SONIA (Annually) | 3/16/2052 | GBP | 8,200,000 | 690,574 | (143,996) | 834,570 | |||||||
Subtotal Appreciation | $7,989,987 | $(706,504) | $8,696,491 | |||||||||||
0.25% (Annually) | 3-Month WIBOR (Quarterly) | 12/16/2021 | PLN | 18,510,000 | $(8,848) | $— | $(8,848) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 3.36% (Upon termination) | 1/3/2022 | BRL | 286,224,050 | (323,906) | 102,156 | (426,062) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 3.35% (Upon termination) | 1/3/2022 | BRL | 94,028,297 | (178,839) | 287 | (179,126) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 3.70% (Upon termination) | 1/3/2022 | BRL | 88,138,258 | (142,267) | (17,065) | (125,202) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 3.98% (Upon termination) | 1/3/2022 | BRL | 31,092,652 | (40,724) | — | (40,724) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 3.39% (Upon termination) | 1/3/2022 | BRL | 14,546,447 | (29,131) | — | (29,131) |
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 7.20% (Upon termination) | 1/2/2023 | BRL | 11,043,254 | $(38,061) | $1,084 | $(39,145) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 4.23% (Upon termination) | 1/2/2023 | BRL | 3,551,131 | (30,320) | — | (30,320) | |||||||
3-Month CDOR (Semiannually) | 0.80% (Semiannually) | 2/28/2023 | CAD | 158,430,000 | (76,312) | (19,854) | (56,458) | |||||||
0.45% (Semiannually) | 3-Month LIBOR (Quarterly) | 6/15/2023 | USD | 19,100,000 | (8,458) | 487 | (8,945) | |||||||
3-Month CDOR (Semiannually) | 1.20% (Semiannually) | 9/21/2023 | CAD | 22,870,000 | (18,860) | 10,620 | (29,480) | |||||||
6-Month EURIBOR (Semiannually) | (0.50)% (Annually) | 12/15/2023 | EUR | 2,640,000 | (5,986) | (2,721) | (3,265) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 4.93% (Upon termination) | 1/2/2024 | BRL | 2,302,419 | (32,867) | — | (32,867) | |||||||
Bank of Japan Unsecured Overnight Call Rate (Annually) | 0.00% (Annually) | 3/17/2024 | JPY | 750,000,000 | 5,997 | 11,605 | (5,608) | |||||||
0.49% (Quarterly) | 3-Month ASX BBSW (Quarterly) | 6/29/2024 | AUD | 9,720,000 | (4,797) | 307 | (5,104) | |||||||
3-Month CDOR (Semiannually) | 1.56% (Semiannually) | 8/22/2025 | CAD | 16,510,000 | (78,543) | 7,820 | (86,363) | |||||||
6-Month WIBOR (Semiannually) | 0.75% (Annually) | 12/16/2025 | PLN | 3,720,000 | (34,239) | — | (34,239) | |||||||
1-Day ESTR (Annually) | (0.25)% (Annually) | 12/15/2026 | EUR | 580,000 | 2,763 | 5,138 | (2,375) | |||||||
1-Day SONIA (Annually) | 0.50% (Annually) | 12/15/2026 | GBP | 35,800,000 | (675,891) | (58,813) | (617,078) | |||||||
1.25% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/15/2028 | USD | 19,865,000 | (958) | 27,321 | (28,279) | |||||||
1.35% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/15/2028 | USD | 30,090,000 | (192,378) | 26,354 | (218,732) | |||||||
6-Month EURIBOR (Semiannually) | 0.50% (Annually) | 2/12/2031 | EUR | 6,900,000 | 27,553 | 137,981 | (110,428) | |||||||
2.13% (Annually) | 6-Month NIBOR (Semiannually) | 5/11/2031 | NOK | 28,750,000 | (7,209) | — | (7,209) | |||||||
6-Month EURIBOR (Semiannually) | 0.22% (Annually) | 7/22/2031 | EUR | 16,080,000 | (251,965) | (28,864) | (223,101) | |||||||
6-Month EURIBOR (Semiannually) | 0.25% (Annually) | 9/2/2031 | EUR | 6,800,000 | (100,143) | (25,582) | (74,561) | |||||||
3-Month New Zealand BBR FRA (Quarterly) | 3.00% (Semiannually) | 9/16/2031 | NZD | 910,000 | 9,277 | 22,419 | (13,142) | |||||||
6-Month EURIBOR (Semiannually) | 0.50% (Annually) | 9/16/2031 | EUR | 4,100,000 | (1,455) | 36,595 | (38,050) | |||||||
1-Day SOFR (Annually) | 1.53% (Annually) | 9/22/2031 | USD | 9,100,000 | (99,721) | 1,015 | (100,736) | |||||||
1-Day SONIA (Annually) | 1.00% (Annually) | 9/23/2031 | GBP | 3,690,000 | (21,790) | 23,900 | (45,690) | |||||||
3-Month LIBOR (Quarterly) | 1.75% (Semiannually) | 12/15/2031 | USD | 6,420,000 | 98,109 | 231,012 | (132,903) | |||||||
3-Month STIBOR (Quarterly) | 0.75% (Annually) | 12/15/2031 | SEK | 24,900,000 | (48,509) | 5,889 | (54,398) | |||||||
6-Month ASX BBSW (Semiannually) | 2.00% (Semiannually) | 12/15/2031 | AUD | 710,000 | 14,227 | 22,199 | (7,972) | |||||||
6-Month EURIBOR (Semiannually) | 0.00% (Annually) | 12/15/2031 | EUR | 680,000 | (14,652) | (1,861) | (12,791) | |||||||
1-Day SONIA (Annually) | 1.00% (Annually) | 3/17/2032 | GBP | 1,770,000 | (12,582) | (3,823) | (8,759) | |||||||
3-Month STIBOR (Quarterly) | 1.00% (Annually) | 3/17/2032 | SEK | 11,010,000 | (19,835) | (8,768) | (11,067) | |||||||
Swiss Average Overnight Rate (Annually) | 0.50% (Annually) | 3/17/2032 | CHF | 1,120,000 | 1,189 | 8,464 | (7,275) | |||||||
0.75% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/20/2038 | JPY | 489,200,000 | (341,630) | 34,429 | (376,059) | |||||||
1.73% (Annually) | 1-Day SOFR (Annually) | 2/15/2047 | USD | 2,706,000 | (105,225) | — | (105,225) | |||||||
2.00% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/15/2047 | USD | 6,273,000 | (197,342) | 19,314 | (216,656) | |||||||
0.54% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/15/2051 | JPY | 138,000,000 | (6,378) | (3,301) | (3,077) | |||||||
0.56% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/15/2051 | JPY | 222,000,000 | (20,698) | (712) | (19,986) | |||||||
0.35% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/17/2051 | JPY | 111,000,000 | 47,900 | 60,944 | (13,044) | |||||||
0.57% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/19/2051 | JPY | 106,000,000 | (13,552) | — | (13,552) | |||||||
0.57% (Semiannually) | 6-Month LIBOR (Semiannually) | 4/7/2051 | JPY | 48,000,000 | (7,440) | — | (7,440) | |||||||
2.00% (Semiannually) | 3-Month LIBOR (Quarterly) | 6/3/2051 | USD | 1,164,000 | (44,746) | 10,953 | (55,699) | |||||||
3-Month CDOR (Semiannually) | 2.25% (Semiannually) | 12/15/2051 | CAD | 6,290,000 | (165,487) | 84,730 | (250,217) | |||||||
3-Month CDOR (Semiannually) | 2.18% (Semiannually) | 8/22/2052 | CAD | 1,240,000 | (59,667) | 8,518 | (68,185) | |||||||
Subtotal Depreciation | $(3,254,396) | $730,177 | $(3,984,573) | |||||||||||
Net Centrally Cleared Interest Rate Swaps outstanding at September 30, 2021 | $4,735,591 | $23,673 | $4,711,918 |
For the Fund’s Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at June 30, 2021, see Notes to Financial Statements in the Fund’s Semi-Annual Report.
92
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Futures Contracts outstanding at September 30, 2021:
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
30-Year Euro Buxl | 12/2021 | 13 | $3,062,006 | $(102,121) | ||||
Euro-OAT | 12/2021 | (1) | (192,228) | 2,994 | ||||
10-Year Japanese E-Mini | 12/2021 | 175 | 23,821,825 | (93,859) | ||||
Euro-Bobl | 12/2021 | (17) | (2,657,035) | 17,833 | ||||
Euro-Bund | 12/2021 | (17) | (3,344,087) | 54,812 | ||||
Euro-Schatz | 12/2021 | 86 | 11,177,649 | (8,621) | ||||
90-Day Eurodollar | 12/2021 | (146) | (36,437,950) | (21,900) | ||||
10-Year Commonwealth Treasury Bond | 12/2021 | 16 | 1,636,442 | (29,982) | ||||
10-Year Bond | 12/2021 | 13 | 1,469,248 | (27,338) | ||||
10-Year U.S. Treasury Note | 12/2021 | 47 | 6,185,641 | (68,406) | ||||
U.S. Treasury Long Bond | 12/2021 | (1) | (159,219) | (9,306) | ||||
Ultra 10-Year U.S. Treasury Note | 12/2021 | (83) | (12,055,750) | 161,931 | ||||
Ultra Long U.S. Treasury Bond | 12/2021 | (59) | (11,272,688) | 296,870 | ||||
Long GILT | 12/2021 | 31 | 5,227,440 | (143,337) | ||||
2-Year U.S. Treasury Note | 12/2021 | 241 | 53,033,180 | (26,576) | ||||
5-Year U.S. Treasury Note | 12/2021 | (381) | (46,764,773) | 258,905 | ||||
90-Day Eurodollar | 12/2023 | 146 | 36,082,075 | (182,500) | ||||
Total Futures Contracts outstanding at September 30, 2021 | $28,811,776 | $79,399 |
Forward Foreign Currency Contracts outstanding at September 30, 2021:
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
10/20/21 | U.S. Dollars | 263,903,448 | Euro | 222,765,454 | SS | $5,763,563 | ||||||
10/20/21 | U.S. Dollars | 18,247,359 | British Pounds | 13,189,452 | SS | 475,452 | ||||||
10/20/21 | U.S. Dollars | 15,173,830 | Euro | 12,826,676 | UBS | 310,319 | ||||||
10/20/21 | U.S. Dollars | 15,060,789 | Euro | 12,744,648 | CITI | 292,331 | ||||||
10/20/21 | U.S. Dollars | 8,728,598 | Australian Dollars | 11,695,488 | SC | 272,564 | ||||||
10/20/21 | U.S. Dollars | 11,671,293 | Swiss Francs | 10,672,502 | SC | 213,759 |
GLOBAL BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
10/20/21 | U.S. Dollars | 4,025,117 | Brazilian Reals | 21,045,487 | CITI | $172,695 | ||||||
10/20/21 | U.S. Dollars | 11,546,341 | Canadian Dollars | 14,454,230 | SS | 134,867 | ||||||
10/20/21 | U.S. Dollars | 5,292,042 | Euro | 4,458,467 | RBC | 125,586 | ||||||
10/20/21 | U.S. Dollars | 6,145,835 | Swiss Francs | 5,612,131 | RBC | 120,895 | ||||||
10/20/21 | U.S. Dollars | 12,186,665 | Japanese Yen | 1,344,080,263 | SS | 108,265 | ||||||
10/19/21 | U.S. Dollars | 2,501,031 | South African Rand | 36,380,000 | GSC | 91,493 | ||||||
10/20/21 | U.S. Dollars | 4,990,920 | Swedish Kronor | 42,984,548 | SC | 80,159 | ||||||
10/20/21 | U.S. Dollars | 2,266,804 | Australian Dollars | 3,025,782 | RBC | 79,113 | ||||||
10/20/21 | Russian Rubles | 153,573,124 | U.S. Dollars | 2,024,869 | UBS | 78,659 | ||||||
10/19/21 | U.S. Dollars | 3,844,483 | Euro | 3,250,000 | CITI | 78,466 | ||||||
10/18/21 | Indian Rupees | 301,423,535 | U.S. Dollars | 3,984,870 | CITI | 65,804 | ||||||
10/20/21 | Russian Rubles | 215,803,022 | U.S. Dollars | 2,891,662 | SC | 64,243 | ||||||
10/20/21 | U.S. Dollars | 4,100,288 | New Zealand Dollars | 5,851,338 | CITI | 61,286 | ||||||
10/20/21 | U.S. Dollars | 772,582 | Chilean Pesos | 580,293,801 | CITI | 58,355 | ||||||
10/20/21 | U.S. Dollars | 1,669,367 | British Pounds | 1,202,559 | RBC | 48,999 | ||||||
10/20/21 | U.S. Dollars | 2,174,939 | Brazilian Reals | 11,616,521 | SC | 48,509 | ||||||
10/19/21 | Russian Rubles | 105,720,000 | U.S. Dollars | 1,401,444 | GSC | 46,843 | ||||||
10/20/21 | U.S. Dollars | 5,507,086 | New Zealand Dollars | 7,910,548 | SC | 46,672 | ||||||
10/20/21 | U.S. Dollars | 791,621 | Hungarian Forint | 234,839,935 | UBS | 35,269 | ||||||
10/20/21 | U.S. Dollars | 2,855,602 | Canadian Dollars | 3,572,441 | CITI | 35,195 | ||||||
10/20/21 | U.S. Dollars | 1,108,625 | South Korean Won | 1,274,951,944 | CITI | 32,364 | ||||||
10/20/21 | U.S. Dollars | 1,099,493 | Polish Zloty | 4,248,028 | SS | 31,447 | ||||||
10/20/21 | U.S. Dollars | 2,993,736 | Swedish Kronor | 25,947,676 | BNP | 29,351 | ||||||
10/20/21 | U.S. Dollars | 2,103,628 | Norwegian Kroner | 18,136,322 | CITI | 29,265 | ||||||
10/20/21 | U.S. Dollars | 845,455 | Australian Dollars | 1,130,213 | CITI | 28,292 | ||||||
10/20/21 | U.S. Dollars | 1,906,310 | Japanese Yen | 209,068,471 | SC | 27,542 | ||||||
10/20/21 | U.S. Dollars | 1,110,807 | Mexican Pesos | 22,528,873 | SC | 22,687 | ||||||
10/19/21 | South African Rand | 36,380,000 | U.S. Dollars | 2,387,922 | CITI | 21,615 | ||||||
10/20/21 | U.S. Dollars | 789,832 | British Pounds | 570,592 | CITI | 20,998 | ||||||
10/20/21 | Chinese Offshore Yuan | 17,335,926 | U.S. Dollars | 2,660,884 | SC | 20,987 | ||||||
10/20/21 | U.S. Dollars | 1,160,717 | Swiss Francs | 1,062,973 | UBS | 19,555 | ||||||
10/20/21 | U.S. Dollars | 1,593,181 | Japanese Yen | 175,204,352 | BNP | 18,729 | ||||||
10/20/21 | U.S. Dollars | 468,901 | Polish Zloty | 1,805,261 | SC | 15,019 | ||||||
10/20/21 | U.S. Dollars | 712,887 | South African Rand | 10,538,726 | SS | 14,977 | ||||||
10/20/21 | U.S. Dollars | 565,278 | Hungarian Forint | 170,955,840 | SC | 14,679 | ||||||
10/20/21 | U.S. Dollars | 848,351 | Swiss Francs | 777,713 | SS | 13,432 | ||||||
10/20/21 | Norwegian Kroner | 9,620,403 | U.S. Dollars | 1,087,719 | BNP | 12,626 | ||||||
10/20/21 | U.S. Dollars | 753,450 | Canadian Dollars | 938,880 | RBC | 12,213 | ||||||
10/20/21 | U.S. Dollars | 1,613,653 | Canadian Dollars | 2,028,920 | BNP | 11,840 | ||||||
10/20/21 | U.S. Dollars | 1,500,253 | Czech Republic Koruna | 32,596,713 | BNP | 11,240 | ||||||
10/20/21 | U.S. Dollars | 404,666 | Mexican Pesos | 8,153,596 | BNP | 10,857 | ||||||
10/19/21 | Euro | 794,546 | Polish Zloty | 3,620,000 | CITI | 10,552 | ||||||
10/20/21 | U.S. Dollars | 525,728 | Euro | 444,705 | SC | 10,405 | ||||||
10/20/21 | U.S. Dollars | 410,605 | Mexican Pesos | 8,317,078 | SS | 8,899 | ||||||
10/20/21 | U.S. Dollars | 349,016 | South African Rand | 5,164,523 | BNP | 7,004 | ||||||
10/20/21 | Turkish Lira | 11,918,698 | U.S. Dollars | 1,320,480 | SS | 5,463 | ||||||
10/20/21 | U.S. Dollars | 360,683 | New Zealand Dollars | 516,418 | RBC | 4,215 | ||||||
10/20/21 | Norwegian Kroner | 18,282,171 | U.S. Dollars | 2,087,311 | SC | 3,733 | ||||||
10/20/21 | U.S. Dollars | 749,803 | Norwegian Kroner | 6,524,089 | BNP | 3,603 | ||||||
10/18/21 | U.S. Dollars | 4,054,116 | Indian Rupees | 301,423,535 | CITI | 3,443 | ||||||
10/20/21 | U.S. Dollars | 159,460 | Swedish Kronor | 1,365,893 | RBC | 3,414 | ||||||
10/20/21 | U.S. Dollars | 77,478 | Polish Zloty | 300,000 | UBS | 2,051 | ||||||
10/19/21 | U.S. Dollars | 82,380 | Mexican Pesos | 1,667,392 | CITI | 1,834 | ||||||
10/20/21 | U.S. Dollars | 176,320 | Canadian Dollars | 221,271 | SC | 1,629 | ||||||
10/20/21 | U.S. Dollars | 237,581 | New Zealand Dollars | 342,059 | BNP | 1,468 | ||||||
10/20/21 | Australian Dollars | 158,389 | U.S. Dollars | 113,460 | SC | 1,058 |
114
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
10/20/21 | U.S. Dollars | 98,643 | British Pounds | 72,499 | SC | $955 | ||||||
10/20/21 | U.S. Dollars | 164,206 | Norwegian Kroner | 1,427,702 | SC | 911 | ||||||
10/20/21 | U.S. Dollars | 91,244 | Swedish Kronor | 790,706 | SS | 910 | ||||||
10/20/21 | U.S. Dollars | 96,332 | Japanese Yen | 10,647,939 | CITI | 646 | ||||||
10/20/21 | U.S. Dollars | 26,036 | Swiss Francs | 23,842 | BNP | 440 | ||||||
10/20/21 | U.S. Dollars | 20,822 | Czech Republic Koruna | 450,000 | UBS | 266 | ||||||
10/20/21 | U.S. Dollars | 7,538 | British Pounds | 5,453 | BNP | 190 | ||||||
Subtotal Appreciation | $9,402,165 | |||||||||||
10/20/21 | South African Rand | 1,403 | U.S. Dollars | 96 | RBC | $(3) | ||||||
10/20/21 | Swiss Francs | 71,886 | U.S. Dollars | 77,548 | BNP | (374) | ||||||
10/20/21 | Czech Republic Koruna | 2,300,136 | U.S. Dollars | 106,076 | RBC | (1,007) | ||||||
10/20/21 | Japanese Yen | 10,245,516 | U.S. Dollars | 93,308 | SS | (1,238) | ||||||
10/20/21 | Swedish Kronor | 3,431,585 | U.S. Dollars | 393,364 | SC | (1,324) | ||||||
10/20/21 | U.S. Dollars | 96,747 | Norwegian Kroner | 857,967 | SC | (1,384) | ||||||
10/20/21 | U.S. Dollars | 1,205,450 | Japanese Yen | 134,296,191 | SC | (1,385) | ||||||
10/20/21 | U.S. Dollars | 1,017,885 | Norwegian Kroner | 8,916,706 | UBS | (1,973) | ||||||
10/20/21 | Mexican Pesos | 2,140,706 | U.S. Dollars | 105,687 | CITI | (2,293) | ||||||
10/20/21 | Polish Zloty | 388,709 | U.S. Dollars | 100,666 | CITI | (2,936) | ||||||
10/20/21 | Japanese Yen | 41,785,265 | U.S. Dollars | 378,604 | BNP | (3,106) | ||||||
10/19/21 | Brazilian Reals | 593,000 | U.S. Dollars | 111,706 | CITI | (3,139) | ||||||
10/20/21 | South African Rand | 5,600,314 | U.S. Dollars | 374,045 | BNP | (3,174) | ||||||
10/20/21 | Hungarian Forint | 36,669,187 | U.S. Dollars | 122,020 | RBC | (3,919) | ||||||
10/20/21 | Czech Republic Koruna | 9,393,086 | U.S. Dollars | 433,008 | SC | (3,933) | ||||||
10/20/21 | Norwegian Kroner | 43,113,292 | U.S. Dollars | 4,935,575 | CITI | (4,443) | ||||||
01/18/22 | Indian Rupees | 301,423,535 | U.S. Dollars | 4,013,095 | CITI | (4,966) | ||||||
10/20/21 | Swedish Kronor | 6,415,372 | U.S. Dollars | 739,939 | BNP | (7,016) | ||||||
10/20/21 | Czech Republic Koruna | 16,304,593 | U.S. Dollars | 751,880 | CITI | (7,089) | ||||||
10/20/21 | Polish Zloty | 1,957,642 | U.S. Dollars | 500,763 | SC | (8,569) | ||||||
10/20/21 | Japanese Yen | 115,825,811 | U.S. Dollars | 1,049,582 | UBS | (8,729) | ||||||
10/20/21 | Polish Zloty | 1,433,443 | U.S. Dollars | 370,482 | BNP | (10,084) | ||||||
10/20/21 | Euro | 377,880 | U.S. Dollars | 449,076 | RBC | (11,191) | ||||||
10/20/21 | Canadian Dollars | 3,920,245 | U.S. Dollars | 3,107,042 | CITI | (12,046) | ||||||
10/20/21 | U.S. Dollars | 808,115 | Russian Rubles | 60,006,563 | BNP | (13,809) | ||||||
10/20/21 | U.S. Dollars | 1,317,003 | Turkish Lira | 11,970,755 | RBC | (14,731) | ||||||
10/20/21 | British Pounds | 588,908 | U.S. Dollars | 808,813 | UBS | (15,298) | ||||||
10/20/21 | Swiss Francs | 1,722,526 | U.S. Dollars | 1,864,984 | SC | (15,755) | ||||||
10/20/21 | Mexican Pesos | 11,128,938 | U.S. Dollars | 553,332 | RBC | (15,816) | ||||||
10/20/21 | U.S. Dollars | 408,893 | Russian Rubles | 31,011,905 | UBS | (15,884) | ||||||
10/20/21 | South African Rand | 11,639,916 | U.S. Dollars | 787,385 | SC | (16,551) | ||||||
10/19/21 | Euro | 1,210,000 | U.S. Dollars | 1,419,819 | CITI | (17,703) | ||||||
10/20/21 | British Pounds | 500,000 | U.S. Dollars | 694,089 | RBC | (20,373) | ||||||
10/20/21 | Euro | 707,267 | U.S. Dollars | 840,542 | CITI | (20,962) | ||||||
01/18/22 | U.S. Dollars | 2,357,668 | South African Rand | 36,380,000 | CITI | (21,158) | ||||||
10/20/21 | Swiss Francs | 1,795,045 | U.S. Dollars | 1,948,428 | CITI | (21,346) | ||||||
10/20/21 | U.S. Dollars | 5,503,797 | Norwegian Kroner | 48,308,887 | SS | (21,586) | ||||||
10/20/21 | Polish Zloty | 3,151,405 | U.S. Dollars | 815,660 | SS | (23,329) | ||||||
10/20/21 | Mexican Pesos | 25,598,581 | U.S. Dollars | 1,261,117 | BNP | (24,734) | ||||||
10/20/21 | Japanese Yen | 354,017,936 | U.S. Dollars | 3,209,990 | CITI | (28,655) | ||||||
10/19/21 | Australian Dollars | 3,163,635 | U.S. Dollars | 2,316,578 | CITI | (29,228) | ||||||
10/20/21 | Swedish Kronor | 20,640,021 | U.S. Dollars | 2,388,827 | CITI | (30,813) | ||||||
10/20/21 | Hungarian Forint | 373,386,382 | U.S. Dollars | 1,234,879 | SS | (32,309) | ||||||
10/20/21 | South Korean Won | 1,274,663,633 | U.S. Dollars | 1,108,375 | CITI | (32,356) | ||||||
10/20/21 | Norwegian Kroner | 43,623,989 | U.S. Dollars | 5,022,742 | RBC | (33,199) | ||||||
10/20/21 | Polish Zloty | 3,706,086 | U.S. Dollars | 965,567 | RBC | (33,777) | ||||||
10/20/21 | British Pounds | 1,201,838 | U.S. Dollars | 1,658,039 | SS | (38,643) |
GLOBAL BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
10/20/21 | Swedish Kronor | 21,511,398 | U.S. Dollars | 2,497,675 | SS | $(40,109) | ||||||
10/19/21 | Canadian Dollars | 6,048,964 | U.S. Dollars | 4,815,955 | CITI | (40,349) | ||||||
10/20/21 | U.S. Dollars | 4,922,420 | Chinese Offshore Yuan | 32,099,667 | SC | (43,404) | ||||||
10/20/21 | U.S. Dollars | 2,618,188 | Russian Rubles | 194,754,149 | SC | (49,405) | ||||||
10/20/21 | New Zealand Dollars | 8,324,722 | U.S. Dollars | 5,795,821 | SS | (49,515) | ||||||
10/20/21 | Japanese Yen | 660,162,753 | U.S. Dollars | 5,988,854 | RBC | (56,389) | ||||||
10/19/21 | Canadian Dollars | 3,560,000 | U.S. Dollars | 2,867,887 | GSC | (57,297) | ||||||
10/20/21 | Chilean Pesos | 580,285,817 | U.S. Dollars | 772,571 | CITI | (58,354) | ||||||
10/20/21 | Swiss Francs | 2,858,939 | U.S. Dollars | 3,127,964 | SS | (58,732) | ||||||
10/20/21 | Brazilian Reals | 15,690,978 | U.S. Dollars | 2,937,791 | SC | (65,523) | ||||||
10/19/21 | British Pounds | 1,750,000 | U.S. Dollars | 2,429,016 | CITI | (71,010) | ||||||
10/20/21 | Euro | 3,560,720 | U.S. Dollars | 4,197,769 | BNP | (71,618) | ||||||
10/19/21 | British Pounds | 2,019,249 | U.S. Dollars | 2,795,043 | GSC | (74,242) | ||||||
10/20/21 | Australian Dollars | 4,202,672 | U.S. Dollars | 3,114,260 | BNP | (75,658) | ||||||
10/20/21 | Australian Dollars | 4,948,914 | U.S. Dollars | 3,664,153 | CITI | (86,006) | ||||||
10/20/21 | Canadian Dollars | 10,642,574 | U.S. Dollars | 8,502,971 | SC | (100,762) | ||||||
10/19/21 | South Korean Won | 3,422,044,000 | U.S. Dollars | 2,995,198 | CITI | (106,377) | ||||||
10/20/21 | Japanese Yen | 1,461,989,460 | U.S. Dollars | 13,255,674 | SC | (117,698) | ||||||
10/20/21 | Brazilian Reals | 22,513,111 | U.S. Dollars | 4,305,811 | CITI | (184,738) | ||||||
10/20/21 | Australian Dollars | 11,902,147 | U.S. Dollars | 8,888,952 | SS | (283,502) | ||||||
10/20/21 | British Pounds | 10,584,910 | U.S. Dollars | 14,649,674 | SC | (387,213) | ||||||
10/19/21 | Japanese Yen | 3,079,952,000 | U.S. Dollars | 28,067,461 | CITI | (390,070) | ||||||
10/20/21 | Euro | 27,785,639 | U.S. Dollars | 32,895,037 | SS | (697,129) | ||||||
10/20/21 | Euro | 46,514,435 | U.S. Dollars | 55,026,112 | UBS | (1,125,335) | ||||||
10/19/21 | Euro | 41,796,940 | U.S. Dollars | 49,638,673 | GSC | (1,205,448) | ||||||
10/20/21 | Euro | 139,916,948 | U.S. Dollars | 165,713,575 | SC | (3,578,270) | ||||||
Subtotal Depreciation | $(9,717,489) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at September 30, 2021 | $(315,324) |
Swap Agreements outstanding at September 30, 2021:
Reference Obligation | Fixed Deal (Pay) Rate | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Credit Default Swaps on Credit Indexes—Buy Protection | ||||||||||||||||
iTraxx Europe & Crossover Series 36 (Pay Quarterly) | (5.00)% | 12/20/2026 | CITI | EUR | 11,707,000 | $(1,621,456) | $(1,637,869) | $16,413 | ||||||||
$(1,621,456) | $(1,637,869) | $16,413 |
For the Fund’s Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at June 30, 2021, see Notes to Financial Statements in the Fund’s Semi-Annual Report.
116
DEFENSIVE MARKET STRATEGIES® FUND
DEFENSIVE MARKET STRATEGIES® FUND
SCHEDULE OF INVESTMENTS (Continued)
118
DEFENSIVE MARKET STRATEGIES® FUND
SCHEDULE OF INVESTMENTS (Continued)
120
DEFENSIVE MARKET STRATEGIES® FUND
SCHEDULE OF INVESTMENTS (Continued)
122
DEFENSIVE MARKET STRATEGIES® FUND
SCHEDULE OF INVESTMENTS (Continued)
124
DEFENSIVE MARKET STRATEGIES® FUND
SCHEDULE OF INVESTMENTS (Continued)
126
Number of Contracts | Notional Amount | Value | |||
S&P 500®, Strike Price $4,360.00, Expires 10/01/21 (MSCS) | (48) | $(20,676,192) | $(244,368) | ||
S&P 500®, Strike Price $4,375.00, Expires 10/04/21 (MSCS) | (48) | (20,676,192) | (333,120) | ||
(2,412,163) | |||||
Total Written Options (Premiums received $(1,282,050)) | (2,421,908) | ||||
Liabilities in Excess of Other Assets — (2.9)% | (41,835,946) | ||||
NET ASSETS — 100.0% | $1,434,190,535 |
Forward Foreign Currency Contracts outstanding at September 30, 2021:
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
12/31/21 | U.S. Dollars | 16,203,573 | Euro | 13,783,529 | GSC | $202,864 | ||||||
12/30/21 | U.S. Dollars | 17,134,638 | Swiss Francs | 15,764,895 | MSCS | 175,786 | ||||||
12/30/21 | U.S. Dollars | 2,731,393 | Japanese Yen | 299,166,750 | BOA | 40,532 | ||||||
12/30/21 | U.S. Dollars | 589,280 | Swedish Kronor | 5,096,025 | UBS | 6,502 | ||||||
12/30/21 | Swiss Francs | 404,534 | U.S. Dollars | 433,987 | MSCS | 1,184 | ||||||
Subtotal Appreciation | $426,868 | |||||||||||
12/30/21 | U.S. Dollars | 71,206 | Japanese Yen | 7,936,470 | BOA | $(179) | ||||||
Subtotal Depreciation | $(179) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at September 30, 2021 | $426,689 |
For the Fund’s Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at June 30, 2021, see Notes to Financial Statements in the Fund’s Semi-Annual Report.
GLOBAL IMPACT FUND
128
GLOBAL IMPACT FUND
SCHEDULE OF INVESTMENTS (Continued)
130
GLOBAL IMPACT FUND
SCHEDULE OF INVESTMENTS (Continued)
Futures Contracts outstanding at September 30, 2021:
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
Canadian Dollars/U.S. Dollars | 12/2021 | 6 | $473,940 | $361 | ||||
MSCI EAFE Index | 12/2021 | 46 | 5,214,100 | (246,482) | ||||
MSCI Emerging Markets | 12/2021 | 41 | 2,553,480 | (120,711) | ||||
S&P/TSX 60 Index | 12/2021 | 3 | 566,604 | (13,977) | ||||
10-Year U.S. Treasury Note | 12/2021 | (40) | (5,264,375) | 69,375 | ||||
Ultra 10-Year U.S. Treasury Note | 12/2021 | (8) | (1,162,000) | 22,008 | ||||
Ultra Long U.S. Treasury Bond | 12/2021 | 33 | 6,305,062 | (219,618) | ||||
2-Year U.S. Treasury Note | 12/2021 | 25 | 5,501,367 | (3,125) | ||||
5-Year U.S. Treasury Note | 12/2021 | 8 | 981,938 | (6,187) | ||||
Total Futures Contracts outstanding at September 30, 2021 | $15,170,116 | $(518,356) |
For the Fund’s Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at June 30, 2021, see Notes to Financial Statements in the Fund’s Semi-Annual Report.
132
EQUITY INDEX FUND
EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS (Continued)
134
EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS (Continued)
136
EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS (Continued)
Futures Contracts outstanding at September 30, 2021:
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 12/2021 | 338 | $72,631,975 | $(2,931,658) |
For the Fund’s Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at June 30, 2021, see Notes to Financial Statements in the Fund’s Semi-Annual Report.
138
VALUE EQUITY FUND
VALUE EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
140
Futures Contracts outstanding at September 30, 2021:
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 12/2021 | 218 | $46,845,475 | $(1,860,400) |
Forward Foreign Currency Contracts outstanding at September 30, 2021:
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
12/31/21 | U.S. Dollars | 21,170,586 | Euro | 18,009,171 | CS | $264,511 | ||||||
12/31/21 | U.S. Dollars | 14,590,944 | British Pounds | 10,686,956 | JPM | 187,493 | ||||||
12/30/21 | U.S. Dollars | 11,311,676 | Swiss Francs | 10,408,186 | MSCS | 115,223 | ||||||
12/31/21 | Euro | 400,375 | U.S. Dollars | 464,248 | CS | 530 | ||||||
Subtotal Appreciation | $567,757 | |||||||||||
12/31/21 | U.S. Dollars | 432,452 | British Pounds | 321,200 | JPM | $(449) | ||||||
Subtotal Depreciation | $(449) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at September 30, 2021 | $567,308 |
For the Fund’s Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at June 30, 2021, see Notes to Financial Statements in the Fund’s Semi-Annual Report.
GROWTH EQUITY FUND
142
Futures Contracts outstanding at September 30, 2021:
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 12/2021 | 268 | $57,589,850 | $(1,945,061) |
For the Fund’s Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at June 30, 2021, see Notes to Financial Statements in the Fund’s Semi-Annual Report.
SMALL CAP EQUITY FUND
144
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
146
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
148
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
150
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | |||
United Kingdom — 0.3% | ||||
Gates Industrial Corporation PLC* | 101,686 | $1,654,431 | ||
LivaNova PLC* | 6,653 | 526,851 | ||
Luxfer Holdings PLC | 19,564 | 384,041 | ||
2,565,323 | ||||
Total Foreign Common Stocks (Cost $20,410,352) | 22,120,990 | |||
MASTER LIMITED PARTNERSHIP — 0.2% | ||||
Enviva Partners LP (Cost $929,834) | 22,497 | 1,216,863 | ||
RIGHTS — 0.0% | ||||
Aduro Biotech, Inc.†††Δ* (Cost $—) | 2,714 | — | ||
MONEY MARKET FUNDS — 6.0% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ | 26,819,412 | 26,819,412 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 0.03%ا | 22,776,164 | 22,776,164 | ||
Northern Institutional U.S. Government Portfolio (Shares), 0.00%Ø | 42,812 | 42,812 | ||
Total Money Market Funds (Cost $49,638,388) | 49,638,388 | |||
TOTAL INVESTMENTS — 102.6% (Cost $697,386,323) | 849,006,123 | |||
Liabilities in Excess of Other Assets — (2.6)% | (21,117,118) | |||
NET ASSETS — 100.0% | $827,889,005 |
152
Futures Contracts outstanding at September 30, 2021:
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
CME Russell 2000 Index E-Mini | 12/2021 | 237 | $26,079,480 | $(225,756) |
Forward Foreign Currency Contracts outstanding at September 30, 2021:
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
12/30/21 | U.S. Dollars | 1,037,622 | Swedish Kronor | 8,975,272 | UBS | $11,215 | ||||||
12/30/21 | Swedish Kronor | 216,581 | U.S. Dollars | 24,632 | UBS | 136 | ||||||
Total Forward Foreign Currency Contracts outstanding at September 30, 2021 | $11,351 |
For the Fund’s Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at June 30, 2021, see Notes to Financial Statements in the Fund’s Semi-Annual Report.
INTERNATIONAL EQUITY INDEX FUND
154
INTERNATIONAL EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS (Continued)
156
INTERNATIONAL EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS (Continued)
158
INTERNATIONAL EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS (Continued)
160
INTERNATIONAL EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | |||
MONEY MARKET FUNDS — 5.2% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ | 22,871,912 | $22,871,912 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 0.03%ا | 15,875,457 | 15,875,457 | ||
Total Money Market Funds (Cost $38,747,369) | 38,747,369 | |||
TOTAL INVESTMENTS — 101.0% (Cost $649,800,758) | 761,834,045 | |||
Liabilities in Excess of Other Assets — (1.0)% | (7,196,815) | |||
NET ASSETS — 100.0% | $754,637,230 |
Futures Contracts outstanding at September 30, 2021:
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 12/2021 | 268 | $30,377,800 | $(1,192,898) |
For the Fund’s Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at June 30, 2021, see Notes to Financial Statements in the Fund’s Semi-Annual Report.
162
INTERNATIONAL EQUITY FUND
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
164
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
166
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Futures Contracts outstanding at September 30, 2021:
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
AEX Index | 10/2021 | 31 | $5,532,333 | $(144,175) | ||||
CAC40 10 Euro | 10/2021 | 221 | 16,685,777 | (285,257) | ||||
IBEX 35 Index | 10/2021 | (117) | (11,948,599) | (113,483) | ||||
OMXS30 Index | 10/2021 | (31) | (797,893) | 19,764 | ||||
Hang Seng Index | 10/2021 | 25 | 3,937,878 | 29,412 | ||||
MSCI Singapore Index | 10/2021 | 71 | 1,848,468 | (22,778) | ||||
Topix Index® | 12/2021 | 221 | 40,319,916 | (744,808) | ||||
DAX Index | 12/2021 | (14) | (6,198,099) | 50,564 | ||||
FTSE 100 Index | 12/2021 | (292) | (27,830,035) | (245,527) | ||||
FTSE/MIB Index | 12/2021 | 72 | 10,580,694 | (103,585) | ||||
MSCI EAFE Index | 12/2021 | 395 | 44,773,250 | (1,913,242) | ||||
S&P/TSX 60 Index | 12/2021 | (57) | (10,765,467) | 265,346 | ||||
Total Futures Contracts outstanding at September 30, 2021 | $66,138,223 | $(3,207,769) |
168
Forward Foreign Currency Contracts outstanding at September 30, 2021:
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
12/15/21 | U.S. Dollars | 48,593,760 | Swiss Francs | 44,582,000 | CITI | $658,417 | ||||||
12/15/21 | U.S. Dollars | 18,338,695 | British Pounds | 13,361,000 | CITI | 333,258 | ||||||
12/15/21 | Australian Dollars | 39,877,000 | U.S. Dollars | 28,606,267 | CITI | 234,030 | ||||||
12/15/21 | U.S. Dollars | 17,066,655 | Japanese Yen | 1,873,588,000 | CITI | 219,589 | ||||||
12/15/21 | Norwegian Kroner | 137,398,000 | U.S. Dollars | 15,497,100 | CITI | 210,065 | ||||||
12/15/21 | U.S. Dollars | 14,980,445 | Australian Dollars | 20,558,000 | CITI | 112,255 | ||||||
12/15/21 | U.S. Dollars | 9,970,935 | New Zealand Dollars | 14,321,500 | CITI | 90,207 | ||||||
12/15/21 | U.S. Dollars | 2,163,190 | Swiss Francs | 1,934,000 | NT | 83,719 | ||||||
12/15/21 | Swedish Kronor | 71,803,500 | U.S. Dollars | 8,129,887 | CITI | 78,753 | ||||||
12/15/21 | U.S. Dollars | 3,935,343 | Euro | 3,337,000 | CITI | 63,402 | ||||||
12/15/21 | U.S. Dollars | 20,151,686 | Canadian Dollars | 25,444,000 | CITI | 63,144 | ||||||
12/15/21 | U.S. Dollars | 10,684,697 | Swedish Kronor | 92,928,000 | CITI | 61,085 | ||||||
12/15/21 | U.S. Dollars | 8,624,071 | Norwegian Kroner | 74,968,000 | CITI | 53,824 | ||||||
12/15/21 | Canadian Dollars | 2,079,500 | U.S. Dollars | 1,612,752 | CITI | 29,055 | ||||||
12/15/21 | U.S. Dollars | 1,372,526 | Danish Kroner | 8,634,000 | CITI | 25,523 | ||||||
12/15/21 | Hong Kong Dollars | 32,772,493 | U.S. Dollars | 4,207,578 | CITI | 3,135 | ||||||
12/15/21 | Israeli Shekels | 1,852,750 | U.S. Dollars | 572,965 | CITI | 2,154 | ||||||
12/15/21 | Japanese Yen | 58,275,000 | U.S. Dollars | 522,576 | CITI | 1,425 | ||||||
12/15/21 | Singapore Dollars | 268,625 | U.S. Dollars | 196,880 | CITI | 924 | ||||||
12/15/21 | U.S. Dollars | 151,728 | Singapore Dollars | 205,000 | CITI | 774 | ||||||
12/15/21 | U.S. Dollars | 119,371 | Israeli Shekels | 383,000 | CITI | 483 | ||||||
12/15/21 | U.S. Dollars | 611,852 | Hong Kong Dollars | 4,760,000 | CITI | 273 | ||||||
Subtotal Appreciation | $2,325,494 | |||||||||||
12/15/21 | Swiss Francs | 2,000 | U.S. Dollars | 2,192 | CITI | $(42) | ||||||
12/15/21 | U.S. Dollars | 32,159 | Israeli Shekels | 104,000 | CITI | (124) | ||||||
12/15/21 | U.S. Dollars | 48,394 | Singapore Dollars | 66,000 | CITI | (206) | ||||||
12/15/21 | U.S. Dollars | 681,386 | Hong Kong Dollars | 5,305,000 | CITI | (218) | ||||||
12/15/21 | Hong Kong Dollars | 32,146,494 | U.S. Dollars | 4,130,914 | CITI | (632) | ||||||
12/15/21 | Israeli Shekels | 3,294,250 | U.S. Dollars | 1,023,726 | CITI | (1,147) | ||||||
12/15/21 | U.S. Dollars | 2,588,448 | Canadian Dollars | 3,282,000 | CITI | (2,756) | ||||||
12/15/21 | U.S. Dollars | 956,241 | Swedish Kronor | 8,402,000 | CITI | (4,283) | ||||||
12/15/21 | U.S. Dollars | 11,330,671 | Swiss Francs | 10,548,000 | CITI | (10,722) | ||||||
12/15/21 | Singapore Dollars | 2,379,375 | U.S. Dollars | 1,765,113 | CITI | (13,039) | ||||||
12/15/21 | Canadian Dollars | 6,238,500 | U.S. Dollars | 4,945,085 | CITI | (19,665) | ||||||
12/15/21 | Danish Kroner | 10,652,000 | U.S. Dollars | 1,685,119 | CITI | (23,285) | ||||||
12/15/21 | U.S. Dollars | 7,148,486 | Australian Dollars | 9,951,000 | CITI | (48,389) | ||||||
12/15/21 | U.S. Dollars | 9,790,126 | New Zealand Dollars | 14,321,500 | CITI | (90,601) | ||||||
12/15/21 | New Zealand Dollars | 19,630,000 | U.S. Dollars | 13,703,797 | CITI | (160,615) | ||||||
12/15/21 | Swedish Kronor | 205,524,500 | U.S. Dollars | 23,693,307 | CITI | (197,563) | ||||||
12/15/21 | British Pounds | 14,414,000 | U.S. Dollars | 19,716,707 | CITI | (292,235) | ||||||
12/15/21 | Japanese Yen | 3,634,137,000 | U.S. Dollars | 33,024,539 | CITI | (346,841) | ||||||
12/15/21 | Norwegian Kroner | 345,430,000 | U.S. Dollars | 39,894,425 | CITI | (405,304) | ||||||
12/15/21 | Australian Dollars | 41,407,000 | U.S. Dollars | 30,398,365 | CITI | (451,524) | ||||||
12/15/21 | U.S. Dollars | 25,075,868 | Norwegian Kroner | 224,904,000 | CITI | (634,873) | ||||||
12/15/21 | Euro | 46,585,000 | U.S. Dollars | 54,816,008 | CITI | (763,150) | ||||||
Subtotal Depreciation | $(3,467,214) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at September 30, 2021 | $(1,141,720) |
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Swap Agreements outstanding at September 30, 2021:
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Total Return Swaps | ||||||||||||||||
Decrease in total return of Hang Seng Index (At Termination) | Increase in total return of Hang Seng Index (At Termination) | 10/28/2021 | GSC | HKD | 52,726,600 | $39,300 | $— | $39,300 | ||||||||
MSCI Australia Net Return AUD Index (Monthly) | Financing Index: 1-Month ASX BBSW + 0.05% | 12/15/2021 | GSC | AUD | 905,719 | 6,381 | — | 6,381 | ||||||||
MSCI Spain Net Return EUR Index (Monthly) | Financing Index: Euro Short Term Rate - 0.33% | 12/15/2021 | GSC | EUR | 8,401,104 | 101,442 | — | 101,442 | ||||||||
Subtotal Appreciation | $147,123 | $ — | $147,123 | |||||||||||||
Decrease in total return of Tel Aviv 35 Index (At Termination) | Increase in total return of Tel Aviv 35 Index (At Termination) | 10/29/2021 | GSC | ILS | 4,685,876 | $(6,726) | $— | $(6,726) | ||||||||
Financing Index: 1-Month HIBOR - 0.05% | MSCI Hong Kong Net Return HKD Index (Monthly) | 12/15/2021 | GSC | HKD | 1,943,443 | (17,488) | — | (17,488) | ||||||||
Financing Index: Bank of Japan Unsecured Overnight Call Rate - 0.45% | MSCI Japan Net Return JPY Index (Monthly) | 12/15/2021 | GSC | JPY | 56,125,353 | (9,017) | — | (9,017) | ||||||||
Financing Index: Euro Short Term Rate - 0.61% | MSCI Italy Net Return EUR Index (Monthly) | 12/15/2021 | GSC | EUR | 2,695,311 | (22,409) | — | (22,409) | ||||||||
Financing Index: Euro Short Term Rate + 0.02% | MSCI Netherlands Net Return EUR Index (Monthly) | 12/15/2021 | GSC | EUR | 95,753 | (8,112) | — | (8,112) | ||||||||
Financing Index: Overnight Bank Funding Rate - 0.3% | MSCI Daily TR Net Israel Index (Monthly) | 12/15/2021 | JPM | USD | 48,374 | (1,404) | — | (1,404) | ||||||||
Decrease in total return of Swiss Market Index (At Termination) | Increase in total return of Swiss Market Index (At Termination) | 12/17/2021 | CITI | CHF | 7,192,620 | (295,431) | — | (295,431) | ||||||||
Subtotal Depreciation | $(360,587) | $ — | $(360,587) | |||||||||||||
Net Total Return Swaps outstanding at September 30, 2021 | $(213,464) | $ — | $(213,464) |
Total Return Basket Swap Agreements outstanding at September 30, 2021:
Description | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||
The Fund receives the total return on a portfolio of short equity positions and receives the RBA minus a specified spread(-0.40%), which is denominated in AUD based on the local currencies of the positions within the swap (Monthly). | 47-60 months maturity ranging from 08/08/2025 - 09/04/2026 | GSC | $12,027,515 | $85,773 | $— | $85,773 | ||||||
The Fund receives the total return on a portfolio of short equity positions and receives the DETNT/N minus a specified spread (-0.35%), which is denominated in DKK based on the local currencies of the positions within the swap. | 47 months maturity 08/08/2025 | GSC | 5,231,263 | 78,804 | — | 78,804 | ||||||
The Fund receives the total return on a portfolio of short equity positions and receives the NOWA minus a specified spread(-0.35%), which is denominated in NOK based on the local currencies of the positions within the swap (Monthly). | 47-56 months maturity ranging from 08/08/2025 - 05/11/2026 | GSC | 7,506,540 | 80,088 | — | 80,088 |
170
Description | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||
The Fund receives the total return on a portfolio of short equity positions and receives the STIBOR minus a specified spread(-0.35%), which is denominated in SEK based on the local currencies of the positions within the swap (Monthly). | 47-56 months maturity ranging from 08/08/2025 - 05/25/2026 | GSC | $25,126,930 | $305,506 | $— | $305,506 | ||||||
Subtotal Appreciation | $550,171 | $ — | $550,171 |
Description | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||
The Fund receives the total return on a portfolio of short equity positions and receives the LIBOR minus a specified spread(-0.35%), which is denominated in CHF based on the local currencies of the positions within the swap (Monthly). | 47-57 months maturity ranging from 08/08/2025 - 06/12/2026 | GSC | $4,332,075 | $(380,264) | $— | $(380,264) | ||||||
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EONIA or EURIBOR plus or minus a specified spread(-.35% to 0.25%), which is denominated in EUR based on the local currencies of the positions within the swap (Monthly).* | 47-60 months maturity ranging from 08/08/2025 - 09/04/2026 | GSC | 48,537,180 | (443,981) | — | (443,981) | ||||||
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR or SONIA plus or minus a specified spread(-0.25% to 0.25%), which is denominated in GBP based on the local currencies of the positions within the swap (Monthly).** | 47-60 months maturity ranging from 08/08/2025 - 09/18/2026 | GSC | 37,084,530 | (812,283) | — | (812,283) | ||||||
The Fund receives the total return on a portfolio of long equity positions and pays HIBOR plus a specified spread(0.20%), which is denominated in HKD based on the local currencies of the positions within the swap (Monthly). | 47-60 months maturity ranging from 08/08/2025 - 09/18/2026 | GSC | 63,033,751 | (506,171) | — | (506,171) | ||||||
The Fund receives the total return on a portfolio of short equity positions and receives the MUTSCALM minus a specified spread(-0.33%), which is denominated in JPY based on the local currencies of the positions within the swap (Monthly).*** | 47-59 months maturity ranging from 08/08/2025 - 08/10/2026 | GSC | 1,645,492,408 | (339,891) | — | (339,891) | ||||||
The Fund receives the total return on a portfolio of short equity positions and receives the STIBOR minus a specified spread(-0.40%), which is denominated in SGD based on the local currencies of the positions within the swap (Monthly). | 58 months maturity 07/27/2026 | GSC | 146,507 | (2,215) | — | (2,215) | ||||||
Subtotal Depreciation | $(2,484,805) | $ — | $(2,484,805) | |||||||||
Net Total Return Basket Swaps | $(1,934,634) | $ — | $(1,934,634) | |||||||||
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
*The following table represents disclosures associated with the underlying components of the total return basket swap as of period end. |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Accor SA | (13,148) | $404,732 | $(30,512) | 6.87% | ||||
Acerinox SA | 34,402 | 380,657 | (12,738) | 2.87 | ||||
ACS Actividades de Construccion y Servicios SA | (19,385) | 453,329 | (10,869) | 2.45 | ||||
Aeroports de Paris | (11,172) | 1,228,365 | (152,257) | 34.29 | ||||
Alstom SA | (20,719) | 678,490 | (2,863) | 0.65 | ||||
Amadeus IT Group SA | (29,092) | 1,651,862 | (119,979) | 27.02 | ||||
Amundi SA | 1,133 | 82,266 | (9,816) | 2.21 | ||||
Argenx SE | (4,526) | 1,180,714 | 115,417 | (26.00) | ||||
Arkema SA | 702 | 79,916 | (933) | 0.21 | ||||
Atos SE | 29,138 | 1,336,267 | 116,985 | (26.35) | ||||
Banco Santander SA | 94,697 | 296,134 | 7,198 | (1.62) | ||||
Bankinter SA | 65,875 | 332,753 | 17,547 | (3.95) | ||||
BioMerieux | 3,415 | 335,462 | (48,268) | 10.87 | ||||
BNP Paribas SA | 13,946 | 770,298 | 46,051 | (10.37) | ||||
Bollore SA | 47,788 | 238,241 | (6,305) | 1.42 | ||||
Bouygues SA | 19,899 | 710,640 | (13,424) | 3.02 | ||||
CaixaBank SA | 220,473 | 590,230 | 16,602 | (3.74) | ||||
Carl Zeiss Meditec AG | (511) | 84,502 | 18,356 | (4.13) | ||||
Carrefour SA | 114,683 | 1,774,321 | 277 | (0.06) | ||||
Casino Guichard Perrachon SA | 13,154 | 305,197 | (10,255) | 2.31 | ||||
Cie de St-Gobain | 28,583 | 1,660,596 | (107,017) | 24.10 | ||||
Cie Generale des Etablissements Michelin SCA | 8,246 | 1,091,592 | (42,522) | 9.58 | ||||
CNP Assurances | 20,818 | 283,656 | (13,200) | 2.97 | ||||
Credit Agricole SA | 18,152 | 215,399 | (5,001) | 1.13 | ||||
CTS Eventim AG & Co. KGaA | (6,162) | 400,249 | (62,350) | 14.04 | ||||
Delivery Hero SE | (6,903) | 760,145 | 111,208 | (25.05) | ||||
EDP - Energias de Portugal SA | 19,980 | 90,609 | (3,456) | 0.78 | ||||
Eiffage SA | 1,072 | 93,533 | (2,727) | 0.61 | ||||
Electricite de France SA | 55,449 | 601,529 | 2,666 | (0.60) | ||||
Enagas SA | 30,225 | 579,898 | 9,411 | (2.12) | ||||
Endesa SA | 39,611 | 689,650 | (133,359) | 30.04 | ||||
EssilorLuxottica SA | 1,294 | 213,471 | (8,072) | 1.82 | ||||
Eurofins Scientific SE | 5,574 | 617,822 | (85,628) | 19.29 | ||||
Eutelsat Communications SA | 116,886 | 1,387,586 | 268,177 | (60.40) | ||||
Evotec SE | (7,052) | 288,673 | 16,331 | (3.68) | ||||
Ferrovial SA | (15,270) | 384,781 | (5,455) | 1.23 | ||||
Fluidra SA | 35,794 | 1,224,994 | (123,190) | 27.75 | ||||
Fraport AG Frankfurt Airport ServicesWorldwide | (10,180) | 608,461 | (71,343) | 16.07 | ||||
Galapagos NV | (3,682) | 166,772 | 22,717 | (5.12) | ||||
Gecina SA REIT | 674 | 78,282 | (8,265) | 1.86 | ||||
HUGO BOSS AG | (4,846) | 250,595 | (6,121) | 1.38 | ||||
Iberdrola SA | 33,169 | 288,078 | (61,027) | 13.75 | ||||
Infrastrutture Wireless Italiane SpA | (12,295) | 118,222 | 5,421 | (1.22) | ||||
Ipsen SA | 6,595 | 542,528 | 6,535 | (1.47) | ||||
Just Eat Takeaway.com NV | (2,503) | 157,879 | 49,818 | (11.22) | ||||
Kering SA | 99 | 60,703 | (9,487) | 2.14 | ||||
Mapfre SA | 366,008 | 688,648 | 25,744 | (5.80) | ||||
Mediobanca Banca di Credito Finanziario SpA | (7,919) | 82,249 | (5,102) | 1.15 | ||||
MTU Aero Engines AG | (3,182) | 617,588 | (16,249) | 3.66 | ||||
Nexi SpA | (29,329) | 472,152 | 61,303 | (13.81) | ||||
OCI NV | (8,973) | 228,855 | (49,194) | 11.08 | ||||
Orange SA | 222,341 | 2,075,873 | (22,753) | 5.13 | ||||
Prosus NV | (6,607) | 456,538 | 8,820 | (1.99) | ||||
Publicis Groupe SA | 29,056 | 1,685,085 | 58,650 | (13.21) |
172
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Rational AG | (808) | $655,255 | $113,339 | (25.53)% | ||||
Red Electrica Corporation SA | 25,063 | 434,084 | 6,741 | (1.52) | ||||
Repsol SA | 46,471 | 523,686 | 102,785 | (23.15) | ||||
Rexel SA | 83,951 | 1,396,451 | (103,415) | 23.29 | ||||
Rubis | 20,790 | 621,413 | (52,387) | 11.80 | ||||
Saipem SpA | (285,791) | 605,437 | (37,840) | 8.52 | ||||
Sanofi | 10,559 | 877,500 | (2,375) | 0.54 | ||||
SEB SA | 17,627 | 2,140,855 | (283,813) | 63.92 | ||||
SES SA | 43,764 | 336,865 | 20,500 | (4.62) | ||||
Societe BIC SA | 19,037 | 968,983 | (101,262) | 22.81 | ||||
Societe Generale SA | 12,207 | 330,004 | 8,737 | (1.97) | ||||
Sodexo SA | 8,931 | 673,830 | 47,575 | (10.72) | ||||
STMicroelectronics NV | 49,531 | 1,866,974 | 7,353 | (1.66) | ||||
Telefonica SA | 334,066 | 1,353,330 | (44,291) | 9.98 | ||||
Tenaris SA | (35,200) | 319,654 | (30,433) | 6.85 | ||||
Thales SA | 2,422 | 202,725 | (1,087) | 0.25 | ||||
thyssenkrupp AG | (78,108) | 709,293 | 3,772 | (0.85) | ||||
Ubisoft Entertainment SA | 1,631 | 84,316 | (7,058) | 1.59 | ||||
Unibail-Rodamco-Westfield REIT | (33,054) | 2,100,225 | 195,517 | (44.04) | ||||
Valeo | 3,608 | 86,927 | 7,966 | (1.79) | ||||
Veolia Environnement SA | 6,532 | 172,306 | (19,802) | 4.46 | ||||
$48,537,180 | $(443,981) | 100.00% |
**The following table represents disclosures associated with the underlying components of the total return basket swap as of period end. |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
3i Group PLC | 15,222 | $194,051 | $(6,845) | 0.84% | ||||
Abcam PLC | (5,486) | 82,180 | 1,468 | (0.18) | ||||
Anglo American PLC | 49,526 | 1,288,274 | (203,520) | 25.05 | ||||
Antofagasta PLC | 6,039 | 81,450 | (4,147) | 0.51 | ||||
Ashtead Group PLC | 11,350 | 636,771 | (15,520) | 1.91 | ||||
ASOS PLC | 12,668 | 380,293 | (25,849) | 3.18 | ||||
Avast PLC | 13,904 | 78,947 | (3,147) | 0.39 | ||||
Aviva PLC | 235,201 | 925,142 | (8,624) | 1.06 | ||||
BAE Systems PLC | 76,952 | 432,566 | 6,269 | (0.77) | ||||
Barclays PLC | 507,200 | 956,498 | 60,267 | (7.42) | ||||
Barratt Developments PLC | 133,239 | 874,131 | (21,179) | 2.61 | ||||
Bellway PLC | 2,303 | 75,388 | (5,089) | 0.63 | ||||
BHP Group PLC | 112,721 | 2,107,712 | (81,973) | 10.09 | ||||
BP PLC | 527,698 | 1,783,871 | 326,294 | (40.17) | ||||
BT Group PLC | (441,897) | 703,090 | 12,371 | (1.52) | ||||
Bunzl PLC | 9,413 | 230,501 | (15,170) | 1.87 | ||||
Burberry Group PLC | 5,147 | 92,965 | (7,530) | 0.93 | ||||
Carnival PLC | (6,671) | 112,028 | (13,562) | 1.67 | ||||
DCC PLC | 8,353 | 516,814 | 5,213 | (0.64) | ||||
Direct Line Insurance Group PLC | 24,906 | 72,128 | (5,014) | 0.62 | ||||
Dunelm Group PLC | 21,187 | 301,279 | 6,643 | (0.82) | ||||
easyJet PLC | (107,413) | 703,824 | (84,640) | 10.42 | ||||
Evraz PLC | 327,385 | 1,927,766 | 9,255 | (1.14) | ||||
GlaxoSmithKline PLC | 33,600 | 470,639 | (379) | 0.05 | ||||
Glencore PLC | 17,914 | 62,542 | 4,086 | (0.50) | ||||
Hiscox, Ltd. | (18,114) | 151,543 | 20,615 | (2.54) | ||||
HSBC Holdings PLC | 118,278 | 458,986 | 21,684 | (2.67) |
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
IMI PLC | 14,439 | $239,687 | $(25,360) | 3.12% | ||||
Inchcape PLC | 126,466 | 1,025,639 | (69,214) | 8.52 | ||||
Informa PLC | (43,389) | 236,812 | (8,792) | 1.08 | ||||
Intermediate Capital Group PLC | 5,844 | 118,765 | (17,013) | 2.09 | ||||
Intertek Group PLC | 2,548 | 126,449 | (11,805) | 1.45 | ||||
Investec PLC | 42,542 | 134,736 | 18,442 | (2.27) | ||||
J Sainsbury PLC | (149,612) | 425,583 | 25,026 | (3.08) | ||||
JD Sports Fashion PLC | 17,273 | 180,159 | 2,179 | (0.27) | ||||
Kingfisher PLC | 440,519 | 1,475,767 | (93,440) | 11.50 | ||||
Lloyds Banking Group PLC | 211,204 | 97,564 | 10,482 | (1.29) | ||||
London Stock Exchange Group PLC | 3,641 | 270,787 | (30,955) | 3.81 | ||||
M&G PLC | 372,321 | 754,979 | 54,004 | (6.65) | ||||
Man Group PLC | 709,250 | 1,448,998 | (78,645) | 9.68 | ||||
Marks & Spencer Group PLC | 64,197 | 116,951 | (2,077) | 0.26 | ||||
Mondi PLC | 10,775 | 195,972 | (24,600) | 3.03 | ||||
Moneysupermarket.com Group PLC | 99,054 | 210,985 | (40,886) | 5.03 | ||||
Ocado Group PLC | (59,922) | 993,860 | 176,288 | (21.70) | ||||
Persimmon PLC | 15,685 | 416,338 | (18,178) | 2.24 | ||||
Prudential PLC | (4,292) | 61,814 | 2,333 | (0.29) | ||||
Quilter PLC | (49,094) | 69,871 | 3,149 | (0.39) | ||||
Rio Tinto PLC | 60,715 | 2,953,835 | (2,183) | 0.27 | ||||
Rolls-Royce Holdings PLC | (1,726,556) | 2,393,290 | (642,498) | 79.10 | ||||
Royal Dutch Shell PLC, A Shares | 67,897 | 1,120,657 | 224,734 | (27.67) | ||||
Royal Dutch Shell PLC, B Shares | 46,826 | 770,006 | 153,178 | (18.86) | ||||
Royal Mail PLC | 317,302 | 1,331,781 | (239,614) | 29.50 | ||||
Sage Group PLC (The) | 87,998 | 621,855 | (40,354) | 4.97 | ||||
Severn Trent PLC | (3,372) | 87,614 | 9,608 | (1.18) | ||||
Smith & Nephew PLC | 9,410 | 120,316 | (9,050) | 1.11 | ||||
Spirax-Sarco Engineering PLC | 998 | 149,030 | (19,557) | 2.41 | ||||
St. James’s Place PLC | (2,963) | 44,360 | 5,178 | (0.64) | ||||
Standard Life Aberdeen PLC | 170,567 | 432,932 | 8,235 | (1.01) | ||||
Tate & Lyle PLC | 150,500 | 1,041,159 | (35,890) | 4.42 | ||||
Taylor Wimpey PLC | 28,273 | 43,765 | (5,930) | 0.73 | ||||
Unilever PLC | 4,294 | 172,532 | 3,005 | (0.37) | ||||
Vodafone Group PLC | 102,833 | 116,135 | (8,260) | 1.02 | ||||
Weir Group PLC (The) | 2,907 | 48,702 | (1,328) | 0.16 | ||||
WH Smith PLC | (14,256) | 242,967 | (39,369) | 4.85 | ||||
Wm Morrison Supermarkets PLC | (370,289) | 1,090,501 | (15,103) | 1.86 | ||||
$37,084,532 | $(812,283) | 100.00% |
***The following table represents disclosures associated with the underlying components of the total return basket swap as of period end. |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Aeon Co., Ltd. | (23,800) | $69,637,457 | $27,930 | (8.22)% | ||||
ANA Holdings, Inc. | (39,800) | 115,156,778 | (89,874) | 26.44 | ||||
Central Japan Railway Co. | (2,400) | 42,636,830 | (39,955) | 11.75 | ||||
Denso Corporation | (1,000) | 7,267,269 | 5,333 | (1.57) | ||||
East Japan Railway Co. | (22,800) | 179,335,030 | (169,557) | 49.88 | ||||
Harmonic Drive Systems, Inc. | (2,600) | 13,877,319 | 29,004 | (8.53) | ||||
Isetan Mitsukoshi Holdings, Ltd. | (16,300) | 13,634,338 | (7,409) | 2.18 | ||||
Japan Airlines Co., Ltd. | (26,200) | 69,418,704 | (51,312) | 15.10 | ||||
Japan Airport Terminal Co., Ltd. | (12,400) | 67,725,593 | (40,396) | 11.88 | ||||
Kawasaki Heavy Industries, Ltd. | (6,700) | 17,154,482 | (7,570) | 2.23 |
174
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Keikyu Corporation | (35,800) | $49,641,175 | $(22,140) | 6.51% | ||||
Keio Corporation | (7,600) | 45,241,301 | (2,306) | 0.68 | ||||
Keisei Electric Railway Co., Ltd. | (6,600) | 24,332,023 | (13,179) | 3.88 | ||||
Kikkoman Corporation | (2,200) | 19,924,021 | 1,981 | (0.58) | ||||
Kintetsu Group Holdings Co., Ltd. | (6,800) | 25,450,819 | (5,399) | 1.59 | ||||
Lasertec Corporation | (2,000) | 50,674,296 | 46,898 | (13.80) | ||||
Mercari, Inc. | (20,500) | 126,073,760 | (37,008) | 10.89 | ||||
Mitsubishi Motors Corporation | (200,400) | 60,838,310 | (31,747) | 9.34 | ||||
Nippon Paint Holdings Co., Ltd. | (48,600) | 58,904,245 | 68,015 | (20.01) | ||||
Odakyu Electric Railway Co., Ltd. | (42,900) | 110,507,409 | (6,302) | 1.85 | ||||
Park24 Co., Ltd. | (34,600) | 65,528,111 | 63,429 | (18.66) | ||||
Rakuten, Inc. | (106,000) | 114,914,392 | 37,828 | (11.13) | ||||
Seibu Holdings, Inc. | (21,300) | 29,923,230 | (7,478) | 2.20 | ||||
Shiseido Co., Ltd. | (2,000) | 14,960,157 | 7,559 | (2.22) | ||||
Showa Denko KK | (39,000) | 105,617,838 | 413 | (0.12) | ||||
Sumitomo Metal Mining Co., Ltd. | (1,700) | 6,841,638 | 3,190 | (0.94) | ||||
West Japan Railway Co. | (21,700) | 121,400,071 | (99,336) | 29.23 | ||||
Z Holdings Corporation | (26,500) | 18,875,812 | (503) | 0.15 | ||||
$1,645,492,408 | $(339,891) | 100.00% |
For the Fund’s Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at June 30, 2021, see Notes to Financial Statements in the Fund’s Semi-Annual Report.
EMERGING MARKETS EQUITY FUND
176
EMERGING MARKETS EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
178
EMERGING MARKETS EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
180
EMERGING MARKETS EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Futures Contracts outstanding at September 30, 2021:
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
FTSE Taiwan Index | 10/2021 | 59 | $3,490,440 | $(54,248) | ||||
MSCI Singapore Index | 10/2021 | (82) | (2,134,850) | 28,115 | ||||
SGX Nifty 50 Index | 10/2021 | 154 | 5,421,416 | (61,322) | ||||
FTSE KLCI | 10/2021 | 79 | 1,451,116 | 7,364 | ||||
KOSPI2 Index | 12/2021 | 203 | 17,209,565 | (612,722) | ||||
FTSE/JSE Top 40 Index | 12/2021 | (75) | (2,897,701) | 6,535 | ||||
Mexican Bolsa Index | 12/2021 | 17 | 424,187 | 957 | ||||
MSCI Emerging Markets | 12/2021 | 882 | 54,930,960 | (2,373,617) | ||||
Total Futures Contracts outstanding at September 30, 2021 | $77,895,133 | $(3,058,938) |
Forward Foreign Currency Contracts outstanding at September 30, 2021:
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
12/15/21 | Russian Rubles | 2,553,403,000 | U.S. Dollars | 34,081,767 | CITI | $511,962 | ||||||
12/15/21 | U.S. Dollars | 18,259,999 | Philippine Pesos | 924,458,000 | CITI | 329,988 | ||||||
12/15/21 | U.S. Dollars | 20,221,439 | South Korean Won | 23,608,128,000 | CITI | 308,927 | ||||||
12/15/21 | U.S. Dollars | 9,058,802 | Polish Zloty | 34,956,000 | CITI | 271,980 | ||||||
12/15/21 | U.S. Dollars | 7,294,165 | Brazilian Reals | 38,964,000 | CITI | 234,523 | ||||||
12/15/21 | U.S. Dollars | 33,377,186 | Singapore Dollars | 45,036,250 | CITI | 214,340 | ||||||
12/15/21 | U.S. Dollars | 10,535,174 | Mexican Pesos | 215,495,000 | CITI | 211,716 | ||||||
12/15/21 | U.S. Dollars | 18,655,601 | Czech Republic Koruna | 405,500,000 | CITI | 164,300 | ||||||
12/15/21 | Chinese Offshore Yuan | 102,665,438 | U.S. Dollars | 15,752,869 | CITI | 71,575 | ||||||
12/15/21 | Colombian Pesos | 27,200,000,000 | U.S. Dollars | 7,036,775 | CITI | 68,977 | ||||||
12/15/21 | U.S. Dollars | 2,527,906 | Thai Baht | 83,360,000 | CITI | 65,224 | ||||||
12/15/21 | U.S. Dollars | 996,640 | South African Rand | 14,427,000 | CITI | 48,842 | ||||||
12/15/21 | Indian Rupees | 817,112,250 | U.S. Dollars | 10,871,577 | CITI | 39,814 | ||||||
12/15/21 | U.S. Dollars | 1,248,156 | Hungarian Forint | 380,000,000 | CITI | 26,675 | ||||||
12/15/21 | South African Rand | 21,966,000 | U.S. Dollars | 1,417,831 | CITI | 25,252 | ||||||
12/15/21 | U.S. Dollars | 1,915,741 | Colombian Pesos | 7,250,000,000 | CITI | 21,745 | ||||||
12/15/21 | Singapore Dollars | 6,360,000 | U.S. Dollars | 4,664,478 | CITI | 18,764 | ||||||
12/15/21 | U.S. Dollars | 803,173 | Chilean Pesos | 644,562,000 | CITI | 13,841 | ||||||
12/15/21 | Taiwan Dollars | 67,896,222 | U.S. Dollars | 2,441,201 | CITI | 10,045 | ||||||
12/15/21 | Czech Republic Koruna | 36,000,000 | U.S. Dollars | 1,631,623 | CITI | 10,021 | ||||||
12/15/21 | U.S. Dollars | 9,462,304 | Israeli Shekels | 30,456,500 | CITI | 8,196 | ||||||
12/15/21 | Brazilian Reals | 20,050,000 | U.S. Dollars | 3,628,833 | CITI | 3,901 | ||||||
12/15/21 | Hong Kong Dollars | 41,943,000 | U.S. Dollars | 5,385,249 | CITI | 3,718 | ||||||
12/15/21 | U.S. Dollars | 1,501,473 | Indonesian Rupiahs | 21,669,310,106 | CITI | 1,631 | ||||||
12/15/21 | U.S. Dollars | 2,927,517 | Hong Kong Dollars | 22,773,000 | CITI | 1,572 | ||||||
12/15/21 | Israeli Shekels | 1,217,250 | U.S. Dollars | 376,404 | CITI | 1,448 | ||||||
12/15/21 | U.S. Dollars | 193,894 | Taiwan Dollars | 5,341,000 | CITI | 1,069 | ||||||
12/15/21 | U.S. Dollars | 58,781 | Euro | 50,000 | CITI | 766 | ||||||
12/15/21 | Saudi Riyals | 5,795,580 | U.S. Dollars | 1,544,302 | CITI | 135 | ||||||
12/15/21 | South Korean Won | 9,470,000 | U.S. Dollars | 7,976 | CITI | 12 | ||||||
12/15/21 | U.S. Dollars | 26,649 | Saudi Riyals | 100,000 | CITI | 1 | ||||||
Subtotal Appreciation | $2,690,960 | |||||||||||
12/15/21 | Chinese Offshore Yuan | 312,000 | U.S. Dollars | 48,092 | CITI | $(2) | ||||||
12/15/21 | U.S. Dollars | 7,174 | South Korean Won | 8,523,000 | CITI | (15) | ||||||
12/15/21 | Saudi Riyals | 2,998,420 | U.S. Dollars | 799,074 | CITI | (38) | ||||||
12/15/21 | U.S. Dollars | 1,059,674 | Saudi Riyals | 3,977,000 | CITI | (138) |
182
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
12/15/21 | Indonesian Rupiahs | 1,093,042,000 | U.S. Dollars | 75,957 | CITI | $(302) | ||||||
12/15/21 | Czech Republic Koruna | 8,000,000 | U.S. Dollars | 365,517 | CITI | (707) | ||||||
12/15/21 | Israeli Shekels | 2,078,750 | U.S. Dollars | 645,995 | CITI | (724) | ||||||
12/15/21 | U.S. Dollars | 300,550 | Thai Baht | 10,205,000 | CITI | (934) | ||||||
12/15/21 | U.S. Dollars | 2,260,334 | Hong Kong Dollars | 17,600,000 | CITI | (969) | ||||||
12/15/21 | Russian Rubles | 34,000,000 | U.S. Dollars | 461,763 | CITI | (1,128) | ||||||
12/15/21 | Peruvian Nuevo Soles | 529,874 | U.S. Dollars | 129,843 | CITI | (2,064) | ||||||
12/15/21 | Philippine Pesos | 12,000,000 | U.S. Dollars | 235,217 | CITI | (2,475) | ||||||
12/15/21 | Polish Zloty | 519,000 | U.S. Dollars | 133,399 | CITI | (2,939) | ||||||
12/15/21 | Hong Kong Dollars | 88,345,000 | U.S. Dollars | 11,354,097 | CITI | (3,258) | ||||||
12/15/21 | Colombian Pesos | 6,100,000,000 | U.S. Dollars | 1,598,708 | CITI | (5,137) | ||||||
12/15/21 | U.S. Dollars | 900,411 | Brazilian Reals | 5,000,000 | CITI | (5,508) | ||||||
12/15/21 | U.S. Dollars | 3,375,142 | Indian Rupees | 253,210,000 | CITI | (6,124) | ||||||
12/15/21 | Euro | 443,000 | U.S. Dollars | 521,984 | CITI | (7,967) | ||||||
12/15/21 | U.S. Dollars | 1,915,552 | South African Rand | 29,300,000 | CITI | (9,347) | ||||||
12/15/21 | South Korean Won | 1,016,456,000 | U.S. Dollars | 868,754 | CITI | (11,414) | ||||||
12/15/21 | U.S. Dollars | 1,623,343 | Indonesian Rupiahs | 23,653,697,106 | CITI | (13,848) | ||||||
12/15/21 | U.S. Dollars | 4,714,981 | Singapore Dollars | 6,433,750 | CITI | (22,568) | ||||||
12/15/21 | U.S. Dollars | 8,483,565 | Israeli Shekels | 27,428,500 | CITI | (30,610) | ||||||
12/15/21 | Taiwan Dollars | 173,893,668 | U.S. Dollars | 6,310,753 | CITI | (32,698) | ||||||
12/15/21 | U.S. Dollars | 4,847,069 | Chinese Offshore Yuan | 31,731,359 | CITI | (43,876) | ||||||
12/15/21 | Singapore Dollars | 6,540,000 | U.S. Dollars | 4,860,524 | CITI | (44,737) | ||||||
12/15/21 | U.S. Dollars | 2,548,813 | Russian Rubles | 192,822,000 | CITI | (63,557) | ||||||
10/10/23 | U.S. Dollars | 1,196,266 | Chinese Offshore Yuan | 8,649,000 | SC | (78,784) | ||||||
12/15/21 | U.S. Dollars | 5,594,688 | Colombian Pesos | 21,750,000,000 | CITI | (87,304) | ||||||
12/15/21 | Indian Rupees | 634,713,750 | U.S. Dollars | 8,568,168 | CITI | (92,452) | ||||||
12/15/21 | Chilean Pesos | 5,017,246,890 | U.S. Dollars | 6,395,963 | CITI | (251,832) | ||||||
07/16/25 | U.S. Dollars | 3,253,457 | Chinese Offshore Yuan | 24,819,000 | MSCS | (342,294) | ||||||
12/15/21 | Hungarian Forint | 2,579,656,000 | U.S. Dollars | 8,647,867 | CITI | (355,752) | ||||||
12/15/21 | South African Rand | 157,434,000 | U.S. Dollars | 10,710,594 | CITI | (367,779) | ||||||
12/15/21 | Thai Baht | 508,168,000 | U.S. Dollars | 15,402,603 | CITI | (389,947) | ||||||
12/15/21 | Mexican Pesos | 839,066,479 | U.S. Dollars | 40,769,647 | CITI | (573,508) | ||||||
12/15/21 | Brazilian Reals | 134,961,000 | U.S. Dollars | 25,201,775 | CITI | (749,036) | ||||||
Subtotal Depreciation | $(3,601,772) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at September 30, 2021 | $(910,812) |
Swap Agreements outstanding at September 30, 2021:
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Total Return Swaps | ||||||||||||||||
Decrease in total return of TAIEX (At Termination) | Increase in total return of TAIEX (At Termination) | 10/20/2021 | GSC | TWD | 372,218,000 | $13,360,062 | $— | $13,360,062 | ||||||||
Decrease in total return of TAIEX (At Termination) | Increase in total return of TAIEX (At Termination) | 10/20/2021 | CITI | TWD | 10,151,400 | 364,365 | — | 364,365 | ||||||||
Decrease in total return of BIST 30 Index (At Termination) | Increase in total return of BIST 30 Index (At Termination) | 10/27/2021 | GSC | TRY | 21,248,500 | 2,389,351 | — | 2,389,351 | ||||||||
Decrease in total return of HSCEI Index (At Termination) | Increase in total return of HSCEI Index (At Termination) | 10/28/2021 | GSC | HKD | 4,360,500 | 560,141 | — | 560,141 | ||||||||
Decrease in total return of SGX Nifty 50 Index (At Termination) | Increase in total return of SGX Nifty 50 Index (At Termination) | 10/28/2021 | GSC | USD | 1,548,976 | 1,548,976 | — | 1,548,976 |
EMERGING MARKETS EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Decrease in total return of KOSPI 200 Index (At Termination) | Increase in total return of KOSPI 200 Index (At Termination) | 12/9/2021 | GSC | KRW | 5,821,750,000 | $4,917,019 | $— | $4,917,019 | ||||||||
Decrease in total return of KOSPI 200 Index (At Termination) | Increase in total return of KOSPI 200 Index (At Termination) | 12/9/2021 | CITI | KRW | 4,416,500,000 | 3,730,152 | — | 3,730,152 | ||||||||
Financing Index: 28-Day Mexico Interbank TIIE + 0.35% | MSCI Mexico Net MXN Index (Monthly) | 12/15/2021 | GSC | MXN | 78,728,874 | 32 | — | 32 | ||||||||
MSCI Brazil Net Return BRL Index (Monthly) | Financing Index: Brazil Cetip Di Interbank Deposit Rate - 0.45% | 12/15/2021 | GSC | BRL | 4,356,741 | 27,392 | — | 27,392 | ||||||||
MSCI Daily TR Net Israel Index (Monthly) | Financing Index: Overnight Bank Funding Rate + 0.09% | 12/15/2021 | GSC | USD | 951,248 | 27,798 | — | 27,798 | ||||||||
MSCI Emerging Markets Thailand Net Total Return USD Index (Monthly) | Financing Index: Overnight Bank Funding Rate - 0.35% | 12/15/2021 | GSC | USD | 13,265,740 | 695,054 | — | 695,054 | ||||||||
Decrease in total return of WIG20 Index (At Termination) | Increase in total return of WIG20 Index (At Termination) | 12/17/2021 | GSC | PLN | 1,842,400 | 463,235 | — | 463,235 | ||||||||
Subtotal Appreciation | $28,083,577 | $ — | $28,083,577 | |||||||||||||
Increase in total return of Bovespa Index (At Termination) | Decrease in total return of Bovespa Index (At Termination) | 10/13/2021 | GSC | BRL | 5,538,650 | (1,017,059) | $— | $(1,017,059) | ||||||||
Increase in total return of Tel Aviv 35 Index (At Termination) | Decrease in total return of Tel Aviv 35 Index (At Termination) | 10/29/2021 | GSC | ILS | 3,784,746 | (1,173,947) | — | (1,173,947) | ||||||||
Financing Index: Overnight Bank Funding Rate + 0.05% | MSCI Daily Total Return Net Emerging Markets USD Index (Monthly) | 12/15/2021 | GSC | USD | 348,810 | (17,300) | — | (17,300) | ||||||||
Increase in total return of FTSE/JSE Shareholder Weighted Top 40 Index (At Termination) | Decrease in total return of FTSE/JSE Shareholder Weighted Top 40 Index (At Termination) | 12/15/2021 | GSC | ZAR | 117,830 | (7,825) | — | (7,825) | ||||||||
MSCI Singapore Net Return SGD Index (Monthly) | Financing Index: Singapore Overnight Rate + 0% | 12/15/2021 | GSC | SGD | 4,880,737 | (10,898) | — | (10,898) | ||||||||
MSCI South Africa Net Return ZAR Index (Monthly) | Financing Index: 1-Month SAFE South Africa JIBAR + 0.1% | 12/15/2021 | GSC | ZAR | 19,383,989 | (25,800) | — | (25,800) | ||||||||
Subtotal Depreciation | $(2,252,829) | $ — | $(2,252,829) | |||||||||||||
Net Total Return Swaps outstanding at September 30, 2021 | $25,830,748 | $ — | $25,830,748 |
For the Fund’s Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at June 30, 2021, see Notes to Financial Statements in the Fund’s Semi-Annual Report.
184
GLOBAL REAL ESTATE SECURITIES FUND
GLOBAL REAL ESTATE SECURITIES FUND
SCHEDULE OF INVESTMENTS (Continued)
186
Shares | Value | |||
MONEY MARKET FUNDS — 3.6% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ | 8,073,214 | $8,073,214 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 0.03%ا | 2,809,640 | 2,809,640 | ||
Total Money Market Funds (Cost $10,882,854) | 10,882,854 | |||
TOTAL INVESTMENTS — 100.7% (Cost $273,295,856) | 304,777,940 | |||
Liabilities in Excess of Other Assets — (0.7)% | (2,189,516) | |||
NET ASSETS — 100.0% | $302,588,424 |
Futures Contracts outstanding at September 30, 2021:
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
S&P MidCap 400 Index E-Mini | 12/2021 | 35 | $9,216,200 | $(121,537) |
For the Fund’s Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at June 30, 2021, see Notes to Financial Statements in the Fund’s Semi-Annual Report.
STRATEGIC ALTERNATIVES FUND
188
STRATEGIC ALTERNATIVES FUND
SCHEDULE OF INVESTMENTS (Continued)
190
STRATEGIC ALTERNATIVES FUND
SCHEDULE OF INVESTMENTS (Continued)
192
STRATEGIC ALTERNATIVES FUND
SCHEDULE OF INVESTMENTS (Continued)
194
STRATEGIC ALTERNATIVES FUND
SCHEDULE OF INVESTMENTS (Continued)
196
Futures Contracts outstanding at September 30, 2021:
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
Euro-OAT | 12/2021 | (3) | $(576,685) | $7,694 |
STRATEGIC ALTERNATIVES FUND
SCHEDULE OF INVESTMENTS (Continued)
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
Euro-Bobl | 12/2021 | (2) | $(312,592) | $1,837 | ||||
Euro-Bund | 12/2021 | 6 | 1,180,266 | 5,397 | ||||
10-Year Commonwealth Treasury Bond | 12/2021 | (8) | (818,221) | 781 | ||||
Australian Dollars/U.S. Dollars | 12/2021 | (258) | (18,663,720) | 322,992 | ||||
British Pounds/U.S. Dollars | 12/2021 | (8) | (673,750) | 14,375 | ||||
Canadian Dollars/U.S. Dollars | 12/2021 | (15) | (1,184,850) | (1,875) | ||||
Euro/U.S. Dollars | 12/2021 | (183) | (26,535,000) | 537,122 | ||||
Japanese Yen/U.S. Dollars | 12/2021 | (7) | (785,837) | 6,634 | ||||
Mexican Pesos/U.S. Dollars | 12/2021 | (36) | (863,820) | 21,552 | ||||
New Zealand Dollars/U.S. Dollars | 12/2021 | (13) | (897,585) | 14,361 | ||||
South African Rand/U.S. Dollars | 12/2021 | (27) | (886,613) | 22,494 | ||||
Swiss Francs/U.S. Dollars | 12/2021 | (1) | (134,275) | 1,462 | ||||
U.S. Dollars/Czech Republic Koruna | 12/2021 | 1 | 100,240 | 2,083 | ||||
U.S. Dollars/Norwegian Kroner | 12/2021 | 1 | 100,029 | 359 | ||||
U.S. Dollars/Swedish Kroner | 12/2021 | 7 | 699,744 | 7,930 | ||||
E-Mini Dow | 12/2021 | 38 | 6,407,180 | (185,640) | ||||
10-Year Bond | 12/2021 | (13) | (1,469,248) | 37,143 | ||||
10-Year U.S. Treasury Note | 12/2021 | 21 | 2,763,797 | 19,745 | ||||
U.S. Treasury Long Bond | 12/2021 | (2) | (318,438) | 871 | ||||
Ultra 10-Year U.S. Treasury Note | 12/2021 | 1 | 145,250 | (2,040) | ||||
Ultra Long U.S. Treasury Bond | 12/2021 | (46) | (8,788,875) | 192,991 | ||||
Long GILT | 12/2021 | (3) | (505,881) | 11,234 | ||||
2-Year U.S. Treasury Note | 12/2021 | (15) | (3,300,820) | 1,875 | ||||
5-Year U.S. Treasury Note | 12/2021 | (37) | (4,541,461) | (18) | ||||
NASDAQ 100 E-Mini | 12/2021 | 22 | 6,460,300 | (408,557) | ||||
S&P 500® E-Mini | 12/2021 | 77 | 16,546,338 | (766,797) | ||||
Total Futures Contracts outstanding at September 30, 2021 | $(36,854,527) | $(133,995) |
Forward Foreign Currency Contracts outstanding at September 30, 2021:
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
12/15/21 | U.S. Dollars | 9,634,297 | Euro | 8,142,265 | MSCS | $186,780 | ||||||
12/15/21 | U.S. Dollars | 5,206,740 | British Pounds | 3,778,589 | MSCS | 114,669 | ||||||
11/24/21 | U.S. Dollars | 4,457,328 | Euro | 3,765,293 | MSCS | 91,050 | ||||||
12/15/21 | U.S. Dollars | 2,625,515 | Turkish Lira | 23,491,364 | MSCS | 88,998 | ||||||
12/15/21 | U.S. Dollars | 6,813,154 | Japanese Yen | 750,267,904 | MSCS | 66,840 | ||||||
12/15/21 | U.S. Dollars | 2,589,472 | New Zealand Dollars | 3,672,454 | MSCS | 55,763 | ||||||
06/14/22 | U.S. Dollars | 979,000 | Turkish Lira | 9,446,860 | MSCS | 50,276 | ||||||
12/15/21 | U.S. Dollars | 3,450,657 | Swiss Francs | 3,167,875 | MSCS | 44,502 | ||||||
12/15/21 | U.S. Dollars | 735,057 | South African Rand | 10,652,190 | MSCS | 35,249 | ||||||
12/15/21 | U.S. Dollars | 2,220,857 | Swedish Kronor | 19,138,729 | MSCS | 32,901 | ||||||
10/29/21 | U.S. Dollars | 1,630,046 | Swedish Kronor | 13,991,072 | MSCS | 31,534 | ||||||
11/15/21 | Russian Rubles | 107,811,313 | U.S. Dollars | 1,441,328 | MSCS | 28,905 | ||||||
10/27/21 | U.S. Dollars | 772,074 | British Pounds | 553,982 | MSCS | 25,614 | ||||||
11/15/21 | U.S. Dollars | 1,737,886 | South Korean Won | 2,032,140,111 | MSCS | 23,308 | ||||||
11/12/21 | U.S. Dollars | 846,017 | Chilean Pesos | 670,176,434 | MSCS | 22,934 | ||||||
12/15/21 | Canadian Dollars | 1,857,867 | Euro | 1,248,043 | MSCS | 18,712 | ||||||
12/15/21 | Norwegian Kroner | 10,643,483 | Euro | 1,035,741 | MSCS | 14,973 | ||||||
12/15/21 | U.S. Dollars | 489,473 | Mexican Pesos | 9,915,733 | MSCS | 14,451 | ||||||
10/29/21 | U.S. Dollars | 419,907 | Mexican Pesos | 8,425,043 | MSCS | 13,545 |
198
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
11/01/21 | Norwegian Kroner | 10,995,243 | U.S. Dollars | 1,244,165 | MSCS | $13,309 | ||||||
12/15/21 | U.S. Dollars | 1,245,376 | Norwegian Kroner | 10,809,297 | MSCS | 9,671 | ||||||
11/16/21 | U.S. Dollars | 716,389 | Polish Zloty | 2,812,208 | MSCS | 9,422 | ||||||
12/15/21 | U.S. Dollars | 3,481,752 | Canadian Dollars | 4,399,293 | MSCS | 8,422 | ||||||
12/15/21 | U.S. Dollars | 252,037 | Thai Baht | 8,248,917 | MSCS | 8,342 | ||||||
12/07/21 | U.S. Dollars | 979,018 | Indian Rupees | 72,629,507 | MSCS | 8,286 | ||||||
12/15/21 | U.S. Dollars | 476,201 | Australian Dollars | 648,360 | MSCS | 7,287 | ||||||
11/01/21 | U.S. Dollars | 235,525 | Swiss Francs | 213,000 | MSCS | 6,788 | ||||||
12/15/21 | Chinese Offshore Yuan | 20,690,575 | U.S. Dollars | 3,182,490 | MSCS | 6,672 | ||||||
11/17/21 | U.S. Dollars | 443,787 | Japanese Yen | 48,633,797 | MSCS | 6,659 | ||||||
10/12/21 | U.S. Dollars | 1,455,035 | Taiwan Dollars | 40,321,981 | MSCS | 6,013 | ||||||
10/04/21 | U.S. Dollars | 245,158 | Brazilian Reals | 1,304,075 | MSCS | 5,842 | ||||||
11/16/21 | Indonesian Rupiahs | 6,733,935,817 | U.S. Dollars | 462,464 | MSCS | 5,208 | ||||||
11/08/21 | U.S. Dollars | 401,877 | South African Rand | 6,009,000 | MSCS | 5,014 | ||||||
11/12/21 | U.S. Dollars | 1,455,569 | Canadian Dollars | 1,838,053 | MSCS | 4,492 | ||||||
11/12/21 | U.S. Dollars | 373,977 | Czech Republic Koruna | 8,096,331 | MSCS | 4,477 | ||||||
12/15/21 | Euro | 208,079 | Hungarian Forint | 74,022,191 | MSCS | 3,497 | ||||||
11/15/21 | U.S. Dollars | 72,888 | Hungarian Forint | 21,846,000 | MSCS | 2,601 | ||||||
11/16/21 | U.S. Dollars | 478,172 | Indonesian Rupiahs | 6,855,602,135 | MSCS | 2,050 | ||||||
11/17/21 | Russian Rubles | 54,236,893 | U.S. Dollars | 737,344 | MSCS | 2,019 | ||||||
12/15/21 | Swiss Francs | 225,270 | Euro | 207,031 | MSCS | 1,994 | ||||||
11/12/21 | U.S. Dollars | 621,060 | Australian Dollars | 856,617 | MSCS | 1,654 | ||||||
12/15/21 | Australian Dollars | 531,882 | U.S. Dollars | 383,159 | MSCS | 1,515 | ||||||
12/15/21 | U.S. Dollars | 249,658 | Israeli Shekels | 799,756 | MSCS | 1,403 | ||||||
10/18/21 | U.S. Dollars | 490,015 | Taiwan Dollars | 13,592,029 | MSCS | 1,275 | ||||||
12/15/21 | Australian Dollars | 486,476 | New Zealand Dollars | 508,355 | MSCS | 1,109 | ||||||
12/15/21 | Swedish Kronor | 1,557,624 | U.S. Dollars | 177,279 | MSCS | 790 | ||||||
12/15/21 | Canadian Dollars | 206,004 | U.S. Dollars | 161,863 | MSCS | 781 | ||||||
12/15/21 | South African Rand | 3,742,974 | U.S. Dollars | 245,312 | MSCS | 587 | ||||||
11/15/21 | U.S. Dollars | 244,832 | Russian Rubles | 17,920,961 | MSCS | 442 | ||||||
12/15/21 | Euro | 208,258 | Polish Zloty | 959,724 | MSCS | 399 | ||||||
12/15/21 | Euro | 417,279 | Swedish Kronor | 4,232,296 | MSCS | 332 | ||||||
11/24/21 | U.S. Dollars | 70,778 | New Zealand Dollars | 102,106 | MSCS | 317 | ||||||
11/08/21 | Singapore Dollars | 103,302 | U.S. Dollars | 75,963 | MSCS | 110 | ||||||
Subtotal Appreciation | $1,099,783 | |||||||||||
11/16/21 | U.S. Dollars | 74,135 | Hong Kong Dollars | 577,594 | MSCS | $(72) | ||||||
12/15/21 | Australian Dollars | 680,773 | New Zealand Dollars | 713,804 | MSCS | (113) | ||||||
12/15/21 | Chinese Offshore Yuan | 1,589,535 | U.S. Dollars | 245,198 | MSCS | (193) | ||||||
12/15/21 | U.S. Dollars | 72,649 | New Zealand Dollars | 105,768 | MSCS | (323) | ||||||
12/15/21 | Japanese Yen | 53,361,343 | Euro | 413,885 | MSCS | (415) | ||||||
11/17/21 | Russian Rubles | 17,958,397 | U.S. Dollars | 245,285 | MSCS | (474) | ||||||
12/15/21 | U.S. Dollars | 61,059 | Norwegian Kroner | 538,508 | MSCS | (503) | ||||||
12/15/21 | U.S. Dollars | 141,365 | Swiss Francs | 131,962 | MSCS | (522) | ||||||
12/15/21 | U.S. Dollars | 399,140 | British Pounds | 296,775 | MSCS | (798) | ||||||
12/15/21 | U.S. Dollars | 489,770 | Singapore Dollars | 666,210 | MSCS | (799) | ||||||
12/15/21 | Swiss Francs | 100,359 | U.S. Dollars | 108,709 | MSCS | (801) | ||||||
12/15/21 | Euro | 207,641 | Czech Republic Koruna | 5,302,723 | MSCS | (884) | ||||||
12/15/21 | U.S. Dollars | 489,837 | Thai Baht | 16,612,205 | MSCS | (932) | ||||||
12/15/21 | U.S. Dollars | 994,967 | Canadian Dollars | 1,261,445 | MSCS | (969) | ||||||
11/24/21 | New Zealand Dollars | 341,018 | U.S. Dollars | 236,387 | MSCS | (1,060) | ||||||
12/15/21 | Polish Zloty | 959,419 | Euro | 208,762 | MSCS | (1,061) | ||||||
12/15/21 | Euro | 418,935 | Swiss Francs | 453,304 | MSCS | (1,308) | ||||||
11/08/21 | South African Rand | 2,240,288 | U.S. Dollars | 149,829 | MSCS | (1,869) | ||||||
12/15/21 | Norwegian Kroner | 2,105,452 | Euro | 209,155 | MSCS | (1,991) | ||||||
12/15/21 | U.S. Dollars | 810,265 | Japanese Yen | 90,362,814 | MSCS | (2,266) |
STRATEGIC ALTERNATIVES FUND
SCHEDULE OF INVESTMENTS (Continued)
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
10/18/21 | Taiwan Dollars | 13,536,482 | U.S. Dollars | 489,831 | MSCS | $(3,088) | ||||||
11/12/21 | Australian Dollars | 1,600,629 | U.S. Dollars | 1,160,479 | MSCS | (3,089) | ||||||
11/17/21 | Japanese Yen | 25,938,328 | U.S. Dollars | 236,689 | MSCS | (3,551) | ||||||
12/15/21 | Euro | 620,765 | Australian Dollars | 1,001,006 | MSCS | (3,681) | ||||||
11/12/21 | Czech Republic Koruna | 7,091,000 | U.S. Dollars | 327,540 | MSCS | (3,921) | ||||||
12/15/21 | Turkish Lira | 1,321,287 | U.S. Dollars | 146,717 | MSCS | (4,049) | ||||||
12/15/21 | Thai Baht | 5,672,132 | U.S. Dollars | 171,974 | MSCS | (4,404) | ||||||
11/15/21 | U.S. Dollars | 233,701 | Russian Rubles | 17,463,920 | MSCS | (4,456) | ||||||
11/15/21 | Hungarian Forint | 37,657,572 | U.S. Dollars | 125,642 | MSCS | (4,483) | ||||||
12/15/21 | U.S. Dollars | 1,414,204 | Chinese Offshore Yuan | 9,206,693 | MSCS | (4,879) | ||||||
12/15/21 | Hungarian Forint | 32,344,219 | U.S. Dollars | 108,952 | MSCS | (4,984) | ||||||
11/17/21 | U.S. Dollars | 233,021 | Russian Rubles | 17,513,951 | MSCS | (5,731) | ||||||
11/12/21 | Canadian Dollars | 2,395,823 | U.S. Dollars | 1,897,271 | MSCS | (5,854) | ||||||
12/15/21 | Swedish Kronor | 4,314,087 | U.S. Dollars | 499,698 | MSCS | (6,507) | ||||||
11/01/21 | Swiss Francs | 207,059 | U.S. Dollars | 228,955 | MSCS | (6,599) | ||||||
11/16/21 | Polish Zloty | 2,039,000 | U.S. Dollars | 519,420 | MSCS | (6,831) | ||||||
12/15/21 | Hungarian Forint | 147,738,438 | Euro | 415,401 | MSCS | (7,098) | ||||||
10/04/21 | Brazilian Reals | 1,295,027 | U.S. Dollars | 244,760 | MSCS | (7,105) | ||||||
10/12/21 | Taiwan Dollars | 40,285,239 | U.S. Dollars | 1,455,494 | MSCS | (7,793) | ||||||
11/15/21 | South Korean Won | 1,436,973,284 | U.S. Dollars | 1,220,682 | MSCS | (8,264) | ||||||
12/15/21 | Canadian Dollars | 2,729,057 | U.S. Dollars | 2,163,944 | MSCS | (9,300) | ||||||
12/15/21 | British Pounds | 887,830 | Euro | 1,039,554 | MSCS | (9,752) | ||||||
12/15/21 | Norwegian Kroner | 11,463,163 | U.S. Dollars | 1,321,330 | MSCS | (10,877) | ||||||
11/01/21 | U.S. Dollars | 1,620,987 | Norwegian Kroner | 14,298,377 | MSCS | (14,252) | ||||||
11/12/21 | Chilean Pesos | 377,436,756 | U.S. Dollars | 477,956 | MSCS | (14,404) | ||||||
10/27/21 | British Pounds | 358,875 | U.S. Dollars | 500,158 | MSCS | (16,593) | ||||||
12/15/21 | Czech Republic Koruna | 21,942,612 | U.S. Dollars | 1,020,233 | MSCS | (19,623) | ||||||
10/29/21 | Mexican Pesos | 12,421,871 | U.S. Dollars | 619,111 | MSCS | (19,971) | ||||||
12/15/21 | Polish Zloty | 2,250,032 | U.S. Dollars | 588,891 | MSCS | (23,305) | ||||||
12/15/21 | South African Rand | 10,807,328 | U.S. Dollars | 734,928 | MSCS | (24,928) | ||||||
12/07/21 | Indian Rupees | 158,627,721 | U.S. Dollars | 2,145,595 | MSCS | (25,450) | ||||||
10/29/21 | Swedish Kronor | 14,285,000 | U.S. Dollars | 1,664,290 | MSCS | (32,197) | ||||||
12/15/21 | British Pounds | 1,937,590 | U.S. Dollars | 2,644,455 | MSCS | (33,336) | ||||||
12/14/21 | Turkish Lira | 8,664,150 | U.S. Dollars | 979,000 | MSCS | (42,946) | ||||||
12/15/21 | Japanese Yen | 492,301,990 | U.S. Dollars | 4,493,400 | MSCS | (66,683) | ||||||
12/15/21 | Australian Dollars | 5,820,072 | U.S. Dollars | 4,279,234 | MSCS | (69,975) | ||||||
11/24/21 | Euro | 3,937,176 | U.S. Dollars | 4,660,801 | MSCS | (95,206) | ||||||
12/15/21 | New Zealand Dollars | 8,815,624 | U.S. Dollars | 6,257,017 | MSCS | (174,918) | ||||||
12/15/21 | Euro | 7,044,210 | U.S. Dollars | 8,358,931 | MSCS | (185,490) | ||||||
Subtotal Depreciation | $(1,012,926) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at September 30, 2021 | $86,857 |
Swap Agreements outstanding at September 30, 2021:
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
Centrally Cleared Interest Rate Swaps | ||||||||||||||
3-Month New Zealand BBR FRA (Quarterly) | 1.25% (Semiannually) | 9/15/2022 | NZD | 7,410,000 | $2,354 | $253 | $2,101 | |||||||
3-Month New Zealand BBR FRA (Quarterly) | 1.25% (Semiannually) | 12/15/2022 | NZD | 3,850,000 | (784) | (4,266) | 3,482 | |||||||
5.80% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2023 | BRL | 11,831,599 | 62,062 | 7,701 | 54,361 |
200
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
3-Month ASX BBSW (Quarterly) | 0.19% (Quarterly) | 2/22/2023 | AUD | 41,140,000 | $4,315 | $(23,072) | $27,387 | |||||||
1.25% (Quarterly) | 3-Month KWCDC (Quarterly) | 9/15/2023 | KRW | 8,413,300,000 | 41,497 | 15,115 | 26,382 | |||||||
7-Day CFETS Repo Rate (Quarterly) | 2.50% (Quarterly) | 9/15/2023 | CNY | 198,641,989 | 117,433 | 85,390 | 32,043 | |||||||
0.50% (Semiannually) | 3-Month LIBOR (Quarterly) | 9/21/2023 | USD | 19,170,000 | 10,804 | (4,038) | 14,842 | |||||||
6.20% (Lunar) | 28-Day Mexico Interbank TIIE (Lunar) | 12/13/2023 | MXN | 86,330,000 | 33,952 | (2,042) | 35,994 | |||||||
(0.50)% (Annually) | 1-Day ESTR (Annually) | 12/15/2023 | EUR | 12,270,000 | (5,618) | (11,134) | 5,516 | |||||||
0.30% (Quarterly) | 3-Month ASX BBSW (Quarterly) | 12/15/2023 | AUD | 9,420,000 | 6,699 | 4,257 | 2,442 | |||||||
1.00% (Semiannually) | 3-Month CDOR (Semiannually) | 12/15/2023 | CAD | 11,880,000 | 16,228 | 11,862 | 4,366 | |||||||
1.50% (Quarterly) | 3-Month KWCDC (Quarterly) | 12/15/2023 | KRW | 5,455,690,000 | 14,183 | 2,152 | 12,031 | |||||||
2.65% (Annually) | 6-Month BUBOR (Semiannually) | 12/15/2023 | HUF | 4,029,360,000 | 29,607 | 8,253 | 21,354 | |||||||
2.70% (Annually) | 6-Month PRIBOR (Semiannually) | 12/15/2023 | CZK | 514,780,000 | 62,409 | (22,331) | 84,740 | |||||||
4.30% (Semiannually) | 1-Day CLP-TNA (Semiannually) | 12/15/2023 | CLP | 5,121,300,000 | 28,185 | (1,191) | 29,376 | |||||||
4.90% (Quarterly) | 1-Day COP-IBR-OIS (Quarterly) | 12/15/2023 | COP | 15,674,830,000 | 21,096 | (3,537) | 24,633 | |||||||
1.50% (Quarterly) | 3-Month KWCDC (Quarterly) | 3/16/2024 | KRW | 20,069,380,000 | 79,792 | 46,403 | 33,389 | |||||||
6.32% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2025 | BRL | 13,638,031 | 243,468 | 29,978 | 213,490 | |||||||
0.27% (Annually) | 1-Day SONIA (Annually) | 6/17/2025 | GBP | 10,000 | 192 | (174) | 366 | |||||||
6-Month THBFIX (Semiannually) | 0.75% (Semiannually) | 12/16/2025 | THB | 87,850,000 | (15,614) | (21,848) | 6,234 | |||||||
1-Day MIBOR (Semiannually) | 5.50% (Semiannually) | 9/15/2026 | INR | 245,090,000 | 28,478 | (11,246) | 39,724 | |||||||
6.70% (Lunar) | 28-Day Mexico Interbank TIIE (Lunar) | 12/9/2026 | MXN | 85,770,000 | 84,690 | 200 | 84,490 | |||||||
(0.25)% (Annually) | 6-Month EURIBOR (Semiannually) | 12/15/2026 | EUR | 8,190,000 | 40,493 | (20,675) | 61,168 | |||||||
(0.25)% (Annually) | 1-Day ESTR (Annually) | 12/15/2026 | EUR | 5,650,000 | (26,909) | (62,948) | 36,039 | |||||||
(0.50)% (Annually) | Swiss Average Overnight Rate (Annually) | 12/15/2026 | CHF | 550,000 | 5,351 | 1,338 | 4,013 | |||||||
0.00% (Annually) | Bank of Japan Unsecured Overnight Call Rate (Annually) | 12/15/2026 | JPY | 3,487,650,000 | (31,152) | (68,742) | 37,590 | |||||||
1.70% (Annually) | 6-Month WIBOR (Semiannually) | 12/15/2026 | PLN | 2,875,000 | 9,450 | 540 | 8,910 | |||||||
8.50% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/4/2027 | BRL | 11,817,325 | 175,217 | (32,404) | 207,621 | |||||||
9.90% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/4/2027 | BRL | 935,113 | 4,547 | (500) | 5,047 | |||||||
2.81% (Annually) | 6-Month BUBOR (Semiannually) | 9/21/2027 | HUF | 1,393,475,000 | 101,881 | (17,899) | 119,780 | |||||||
1.68% (Semiannually) | 3-Month CDOR (Semiannually) | 8/22/2028 | CAD | 17,030,000 | 244,353 | (17,478) | 261,831 | |||||||
1.24% (Annually) | 6-Month NIBOR (Semiannually) | 10/29/2030 | NOK | 68,420,000 | 292,612 | 213,587 | 79,025 | |||||||
1.00% (Annually) | 1-Day SONIA (Annually) | 2/10/2031 | GBP | 5,250,000 | 22,784 | (95,038) | 117,822 | |||||||
3-Month STIBOR (Quarterly) | 1.27% (Annually) | 5/11/2031 | SEK | 31,670,000 | 1,398 | (4,155) | 5,553 | |||||||
1.75% (Quarterly) | 3-Month KWCDC (Quarterly) | 9/15/2031 | KRW | 934,120,000 | 13,092 | (8,035) | 21,127 | |||||||
2.50% (Semiannually) | 3-Month LIBOR (Quarterly) | 9/17/2031 | USD | 7,790,000 | (159,083) | (251,878) | 92,795 | |||||||
1.50% (Semiannually) | 3-Month LIBOR (Quarterly) | 9/24/2031 | USD | 4,320,000 | 109,254 | 54,869 | 54,385 | |||||||
7.15% (Lunar) | 28-Day Mexico Interbank TIIE (Lunar) | 12/3/2031 | MXN | 30,820,000 | 41,192 | (793) | 41,985 | |||||||
0.00% (Annually) | Bank of Japan Unsecured Overnight Call Rate (Annually) | 12/15/2031 | JPY | 1,677,030,000 | 98,471 | 53,617 | 44,854 | |||||||
0.00% (Annually) | 6-Month EURIBOR (Semiannually) | 12/15/2031 | EUR | 680,000 | 14,652 | 1,425 | 13,227 | |||||||
0.75% (Annually) | 1-Day SONIA (Annually) | 12/15/2031 | GBP | 8,670,000 | 212,724 | (116,664) | 329,388 | |||||||
1.30% (Annually) | 3-Month TELBOR (Quarterly) | 12/15/2031 | ILS | 3,825,000 | 16,604 | 287 | 16,317 | |||||||
1.50% (Annually) | 6-Month NIBOR (Semiannually) | 12/15/2031 | NOK | 4,780,000 | 21,179 | 7,567 | 13,612 | |||||||
2.00% (Semiannually) | 3-Month CDOR (Semiannually) | 12/15/2031 | CAD | 4,920,000 | 5,438 | (85,435) | 90,873 | |||||||
2.20% (Annually) | 6-Month PRIBOR (Semiannually) | 12/15/2031 | CZK | 29,850,000 | 31,189 | (3,134) | 34,323 | |||||||
3.05% (Annually) | 6-Month BUBOR (Semiannually) | 12/15/2031 | HUF | 598,940,000 | 58,683 | 4,477 | 54,206 | |||||||
2.00% (Semiannually) | 6-Month ASX BBSW (Semiannually) | 3/17/2032 | AUD | 1,500,000 | 19,739 | 6,624 | 13,115 | |||||||
1.63% (Annually) | 1-Day SOFR (Annually) | 9/22/2036 | USD | 16,630,000 | 179,087 | 5,100 | 173,987 | |||||||
0.61% (Annually) | 6-Month EURIBOR (Semiannually) | 7/22/2041 | EUR | 13,540,000 | 372,557 | 104,934 | 267,623 |
STRATEGIC ALTERNATIVES FUND
SCHEDULE OF INVESTMENTS (Continued)
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
2.00% (Semiannually) | 3-Month LIBOR (Quarterly) | 12/15/2051 | USD | 3,970,000 | $(139,748) | (343,744) | $203,996 | |||||||
Subtotal Appreciation | $2,600,483 | $(568,472) | $3,168,955 | |||||||||||
0.25% (Annually) | 3-Month WIBOR (Quarterly) | 12/16/2021 | PLN | 42,620,000 | $(20,372) | $(2,188) | $(18,184) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 3.39% (Upon termination) | 1/3/2022 | BRL | 33,647,155 | (67,382) | — | (67,382) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 4.12% (Upon termination) | 1/3/2022 | BRL | 14,754,934 | 31,430 | 62,563 | (31,133) | |||||||
3-Month New Zealand BBR FRA (Quarterly) | 0.50% (Semiannually) | 9/15/2022 | NZD | 111,410,000 | (402,489) | (361,882) | (40,607) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 7.20% (Upon termination) | 1/2/2023 | BRL | 22,194,952 | (76,495) | 2,179 | (78,674) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 4.23% (Upon termination) | 1/2/2023 | BRL | 11,656,189 | (99,522) | 2,673 | (102,195) | |||||||
3-Month CDOR (Semiannually) | 0.80% (Semiannually) | 2/28/2023 | CAD | 64,560,000 | (31,097) | (6,419) | (24,678) | |||||||
0.45% (Semiannually) | 3-Month LIBOR (Quarterly) | 6/15/2023 | USD | 19,010,000 | (8,418) | (103) | (8,315) | |||||||
3-Month CDOR (Semiannually) | 1.10% (Semiannually) | 6/15/2023 | CAD | 21,830,000 | (730) | 888 | (1,618) | |||||||
1-Day MIBOR (Semiannually) | 4.29% (Semiannually) | 7/23/2023 | INR | 588,650,000 | 5,550 | 9,987 | (4,437) | |||||||
3-Month CDOR (Semiannually) | 1.20% (Semiannually) | 9/21/2023 | CAD | 22,170,000 | (18,282) | 8,035 | (26,317) | |||||||
0.00% (Annually) | 3-Month STIBOR (Quarterly) | 12/15/2023 | SEK | 67,540,000 | 24,700 | 25,636 | (936) | |||||||
0.50% (Semiannually) | 3-Month LIBOR (Quarterly) | 12/15/2023 | USD | 5,160,000 | (3,877) | (1,368) | (2,509) | |||||||
6-Month EURIBOR (Semiannually) | (0.50)% (Annually) | 12/15/2023 | EUR | 6,060,000 | (13,742) | (6,246) | (7,496) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 7.37% (Upon termination) | 1/2/2024 | BRL | 11,273,086 | (81,425) | 17,211 | (98,636) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 4.93% (Upon termination) | 1/2/2024 | BRL | 4,579,538 | (65,373) | 2,088 | (67,461) | |||||||
3-Month ASX BBSW (Quarterly) | 0.50% (Quarterly) | 2/24/2024 | AUD | 11,690,000 | 10,143 | 28,925 | (18,782) | |||||||
0.49% (Quarterly) | 3-Month ASX BBSW (Quarterly) | 6/29/2024 | AUD | 3,870,000 | (1,909) | 123 | (2,032) | |||||||
3-Month LIBOR (Quarterly) | 1-Month LIBOR + .09% (Quarterly) | 7/25/2024 | USD | 68,000,000 | 2,903 | 22,829 | (19,926) | |||||||
6-Month BUBOR (Semiannually) | 2.68% (Annually) | 9/21/2024 | HUF | 3,358,700,000 | (90,922) | 15,551 | (106,473) | |||||||
3-Month CDOR (Semiannually) | 1.56% (Semiannually) | 8/22/2025 | CAD | 24,000,000 | (114,175) | 11,370 | (125,545) | |||||||
6-Month WIBOR (Semiannually) | 0.75% (Annually) | 12/16/2025 | PLN | 8,550,000 | (78,694) | (1,832) | (76,862) | |||||||
2.75% (Quarterly) | 7-Day CFETS Repo Rate (Quarterly) | 9/15/2026 | CNY | 1,660,296 | (3,118) | (2,898) | (220) | |||||||
6-Month THBFIX (Semiannually) | 1.00% (Semiannually) | 9/15/2026 | THB | 163,225,000 | (14,327) | (3,756) | (10,571) | |||||||
1-Day SONIA (Annually) | 0.50% (Annually) | 12/15/2026 | GBP | 12,160,000 | (229,576) | (82,566) | (147,010) | |||||||
3-Month CDOR (Semiannually) | 1.75% (Semiannually) | 12/15/2026 | CAD | 3,790,000 | 18,235 | 45,678 | (27,443) | |||||||
3-Month LIBOR (Quarterly) | 1.25% (Semiannually) | 12/15/2026 | USD | 4,130,000 | 21,199 | 36,397 | (15,198) | |||||||
3-Month New Zealand BBR FRA (Quarterly) | 1.75% (Semiannually) | 12/15/2026 | NZD | 7,070,000 | (45,835) | (31,017) | (14,818) | |||||||
3-Month STIBOR (Quarterly) | 0.25% (Annually) | 12/15/2026 | SEK | 14,690,000 | (25,475) | (21,834) | (3,641) | |||||||
6-Month ASX BBSW (Semiannually) | 1.25% (Semiannually) | 12/15/2026 | AUD | 13,380,000 | 77,732 | 144,957 | (67,225) | |||||||
6-Month NIBOR (Semiannually) | 1.50% (Annually) | 12/15/2026 | NOK | 38,170,000 | (57,053) | (1,682) | (55,371) | |||||||
6-Month THBFIX (Semiannually) | 1.00% (Semiannually) | 3/16/2027 | THB | 196,440,000 | (64,343) | (22,056) | (42,287) | |||||||
1-Day SONIA (Annually) | 0.31% (Annually) | 6/17/2030 | GBP | 10,000 | (640) | 307 | (947) | |||||||
6-Month EURIBOR (Semiannually) | 0.50% (Annually) | 2/12/2031 | EUR | 7,240,000 | 28,912 | 139,519 | (110,607) | |||||||
2.13% (Annually) | 6-Month NIBOR (Semiannually) | 5/11/2031 | NOK | 28,030,000 | (7,029) | 6,476 | (13,505) | |||||||
6-Month EURIBOR (Semiannually) | 0.22% (Annually) | 7/22/2031 | EUR | 24,300,000 | (380,768) | (38,713) | (342,055) | |||||||
6-Month EURIBOR (Semiannually) | 0.25% (Annually) | 9/2/2031 | EUR | 6,780,000 | (99,850) | (27,051) | (72,799) | |||||||
3-Month HIBOR (Quarterly) | 1.50% (Quarterly) | 9/15/2031 | HKD | 4,508,144 | (1,013) | 5,894 | (6,907) | |||||||
3-Month New Zealand BBR FRA (Quarterly) | 3.00% (Semiannually) | 9/16/2031 | NZD | 780,000 | 7,952 | 19,216 | (11,264) | |||||||
6-Month EURIBOR (Semiannually) | 0.50% (Annually) | 9/16/2031 | EUR | 4,040,000 | (1,434) | 36,890 | (38,324) | |||||||
1-Day SOFR (Annually) | 1.53% (Annually) | 9/22/2031 | USD | 13,790,000 | (151,114) | 1,501 | (152,615) | |||||||
1-Day SONIA (Annually) | 1.00% (Annually) | 9/23/2031 | GBP | 3,580,000 | (21,141) | 23,185 | (44,326) | |||||||
1-Day CLP-TNA (Semiannually) | 5.10% (Semiannually) | 12/15/2031 | CLP | 1,502,700,000 | (58,108) | (921) | (57,187) | |||||||
1-Day COP-IBR-OIS (Quarterly) | 6.40% (Quarterly) | 12/15/2031 | COP | 4,960,410,000 | (30,428) | 3,875 | (34,303) |
202
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
3-Month JIBAR (Quarterly) | 7.40% (Quarterly) | 12/15/2031 | ZAR | 9,175,000 | $(13,112) | $(2,933) | $(10,179) | |||||||
3-Month LIBOR (Quarterly) | 1.75% (Semiannually) | 12/15/2031 | USD | 4,860,000 | 74,270 | 173,823 | (99,553) | |||||||
3-Month STIBOR (Quarterly) | 0.75% (Annually) | 12/15/2031 | SEK | 25,240,000 | (49,172) | 5,969 | (55,141) | |||||||
6-Month ASX BBSW (Semiannually) | 2.00% (Semiannually) | 12/15/2031 | AUD | 690,000 | 13,826 | 21,573 | (7,747) | |||||||
6-Month WIBOR (Semiannually) | 2.00% (Annually) | 12/15/2031 | PLN | 6,625,000 | (43,732) | 1,603 | (45,335) | |||||||
1-Day SONIA (Annually) | 1.00% (Annually) | 3/17/2032 | GBP | 1,850,000 | (13,151) | (4,598) | (8,553) | |||||||
3-Month STIBOR (Quarterly) | 1.00% (Annually) | 3/17/2032 | SEK | 11,860,000 | (21,367) | (9,445) | (11,922) | |||||||
Swiss Average Overnight Rate (Annually) | 0.50% (Annually) | 3/17/2032 | CHF | 980,000 | 1,040 | 7,406 | (6,366) | |||||||
1-Day SONIA (Annually) | 0.40% (Annually) | 6/17/2040 | GBP | 10,000 | (1,413) | 512 | (1,925) | |||||||
3-Month CDOR (Semiannually) | 2.25% (Semiannually) | 12/15/2051 | CAD | 6,180,000 | (162,593) | 83,677 | (246,270) | |||||||
3-Month CDOR (Semiannually) | 2.18% (Semiannually) | 8/22/2052 | CAD | 1,800,000 | (86,613) | 12,363 | (98,976) | |||||||
Subtotal Depreciation | $(2,439,417) | $351,371 | $(2,790,788) | |||||||||||
Net Centrally Cleared Interest Rate Swaps outstanding at September 30, 2021 | $161,066 | $(217,101) | $378,167 |
Total Return Basket Swap Agreements outstanding at September 30, 2021:
Description | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the USFFE or plus or minus a specified spread(-7.73% to 0.15%), which is denominated in USD based on the local currencies of the positions within the swap (Monthly).* | 56-60 months maturity ranging from 05/26/2026 - 09/28/2026 | GSC | $157,315,312 | $(837,004) | $— | $(837,004) |
*The following table represents disclosures associated with the underlying components of the total return basket swap as of period end. |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
10X Genomics, Inc. Class A | (286) | $41,636 | $11,024 | (1.32)% | ||||
3M Co. | 2,364 | 414,693 | (20,131) | 2.40 | ||||
A.O. Smith Corporation | 4,167 | 254,479 | (41,244) | 4.93 | ||||
Abbott Laboratories | 7,440 | 878,887 | (73,387) | 8.77 | ||||
ABIOMED, Inc. | 744 | 242,187 | (30,028) | 3.59 | ||||
Acadia Healthcare Co., Inc. | 1,427 | 91,014 | (2,750) | 0.33 | ||||
Acceleron Pharma, Inc. | (1,385) | 238,358 | (56,971) | 6.81 | ||||
Accenture PLC Class A | 1,160 | 371,107 | (24,612) | 2.94 | ||||
ACI Worldwide, Inc. | 4,021 | 123,565 | (7,292) | 0.87 | ||||
Activision Blizzard, Inc. | 2,019 | 156,250 | 390 | (0.05) | ||||
Adaptive Biotechnologies Corporation | (6,863) | 233,273 | 29,914 | (3.57) | ||||
Adient PLC | (1,311) | 54,341 | (7,750) | 0.93 | ||||
Adobe, Inc. | 1,169 | 673,017 | (100,571) | 12.02 | ||||
ADT, Inc. | (21,814) | 176,475 | 5,999 | (0.72) | ||||
Adtalem Global Education, Inc. | (4,755) | 179,787 | 2,039 | (0.24) | ||||
Advanced Drainage Systems, Inc. | 128 | 13,846 | (1,114) | 0.13 | ||||
Advanced Micro Devices, Inc. | 1,716 | 176,576 | (5,597) | 0.67 | ||||
AECOM | (1,543) | 97,440 | 4,286 | (0.51) | ||||
AES Corporation (The) | (4,185) | 95,544 | 5,144 | (0.61) | ||||
AGCO Corporation | 4,052 | 496,492 | (25,943) | 3.10 | ||||
Agilent Technologies, Inc. | 448 | 70,573 | (8,834) | 1.06 |
STRATEGIC ALTERNATIVES FUND
SCHEDULE OF INVESTMENTS (Continued)
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Air Lease Corporation | 793 | $31,197 | $20 | (0.00)% | ||||
Air Products & Chemicals, Inc. | (33) | 8,452 | 363 | (0.04) | ||||
Akamai Technologies, Inc. | 195 | 20,395 | (1,716) | 0.20 | ||||
Alaska Air Group, Inc. | 3,907 | 228,950 | 1,538 | (0.18) | ||||
Albemarle Corporation | (1,322) | 289,478 | 31,793 | (3.80) | ||||
Albertsons Cos., Inc. Class A | (389) | 12,110 | 327 | (0.04) | ||||
Alcoa Corporation | (4,446) | 217,587 | (6,365) | 0.76 | ||||
Alexandria Real Estate Equities, Inc. REIT | 434 | 82,924 | (4,445) | 0.53 | ||||
Align Technology, Inc. | 13 | 8,651 | (794) | 0.09 | ||||
Allegion PLC | 1,511 | 199,724 | (16,796) | 2.01 | ||||
ALLETE, Inc. | (1,124) | 66,900 | 7,753 | (0.93) | ||||
Alliance Data Systems Corporation | 339 | 34,202 | 2,224 | (0.27) | ||||
Alliant Energy Corporation | 5,466 | 305,987 | (25,836) | 3.09 | ||||
Allison Transmission Holdings, Inc. | 3,521 | 124,362 | (2,232) | 0.27 | ||||
Ally Financial, Inc. | 6,512 | 332,438 | 1,983 | (0.24) | ||||
Alnylam Pharmaceuticals, Inc. | (587) | 110,831 | 460 | (0.06) | ||||
Alphabet, Inc. Class A | 321 | 858,200 | (63,433) | 7.58 | ||||
Alteryx, Inc. Class A | (2,277) | 166,449 | 2,627 | (0.31) | ||||
Altice U.S.A., Inc. Class A | (1,351) | 27,993 | 8,753 | (1.05) | ||||
Amedisys, Inc. | 1,439 | 214,555 | (43,796) | 5.23 | ||||
AMERCO | 70 | 45,222 | (582) | 0.07 | ||||
Ameren Corporation | 169 | 13,689 | (1,071) | 0.13 | ||||
American Airlines Group, Inc. | (5,583) | 114,563 | (1,225) | 0.15 | ||||
American Campus Communities, Inc. REIT | 2,065 | 100,049 | (4,761) | 0.57 | ||||
American Electric Power Co., Inc. | 1,650 | 133,947 | (15,229) | 1.82 | ||||
American Express Co. | (2,924) | 489,858 | (22,925) | 2.74 | ||||
American Financial Group, Inc. | (636) | 80,028 | 3,102 | (0.37) | ||||
American Homes 4 Rent Class A REIT | (283) | 10,788 | 835 | (0.10) | ||||
American International Group, Inc. | (10,868) | 596,545 | (5,653) | 0.68 | ||||
American Tower Corporation REIT | 954 | 253,201 | (28,746) | 3.43 | ||||
American Water Works Co., Inc. | 165 | 27,892 | (3,056) | 0.36 | ||||
Americold Realty Trust REIT | (2,885) | 83,809 | 19,759 | (2.36) | ||||
Ameriprise Financial, Inc. | (636) | 167,980 | 3,448 | (0.41) | ||||
AMETEK, Inc. | (200) | 24,802 | 1,510 | (0.18) | ||||
Amgen, Inc. | 1,352 | 287,503 | (3,993) | 0.48 | ||||
Amkor Technology, Inc. | 2,253 | 56,212 | (6,766) | 0.81 | ||||
Amphenol Corporation Class A | (790) | 57,852 | 1,457 | (0.17) | ||||
Analog Devices, Inc. | (229) | 38,353 | 303 | (0.04) | ||||
Anaplan, Inc. | 2,269 | 138,159 | (11,770) | 1.41 | ||||
ANSYS, Inc. | (379) | 129,031 | 11,941 | (1.43) | ||||
Anthem, Inc. | 171 | 63,749 | 421 | (0.05) | ||||
APA Corporation | 6,692 | 143,410 | 13,133 | (1.57) | ||||
Apartment Income REIT Corporation | (2,434) | 118,804 | 4,767 | (0.57) | ||||
Applied Materials, Inc. | 943 | 121,392 | (5,700) | 0.68 | ||||
Aptiv PLC | (1,628) | 242,523 | (73) | 0.01 | ||||
Aramark | (17,482) | 574,459 | 6,799 | (0.81) | ||||
Archer-Daniels-Midland Co. | (1,383) | 82,994 | (487) | 0.06 | ||||
Armstrong World Industries, Inc. | (476) | 45,444 | 2,126 | (0.25) | ||||
Arrowhead Pharmaceuticals, Inc. | (3,055) | 190,724 | 8,475 | (1.01) | ||||
Arthur J. Gallagher & Co. | (85) | 12,635 | (318) | 0.04 | ||||
ASGN, Inc. | 237 | 26,814 | 137 | (0.02) | ||||
Aspen Technology, Inc. | 1,988 | 244,126 | (9,882) | 1.18 | ||||
Associated Banc-Corp | 6,692 | 143,343 | 10,514 | (1.26) | ||||
Assurant, Inc. | (912) | 143,868 | 10,421 | (1.25) | ||||
Assured Guaranty, Ltd. | (4,326) | 202,500 | 3,021 | (0.36) |
204
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
AT&T, Inc. | (9,046) | $244,332 | $3,431 | (0.41)% | ||||
Atmos Energy Corporation | 725 | 63,945 | (5,800) | 0.69 | ||||
Autodesk, Inc. | 858 | 244,676 | (2,180) | 0.26 | ||||
Autoliv, Inc. | 1,610 | 138,009 | (287) | 0.03 | ||||
Automatic Data Processing, Inc. | 763 | 152,539 | (1,636) | 0.20 | ||||
Avalara, Inc. | (375) | 65,539 | 3,406 | (0.41) | ||||
AvalonBay Communities, Inc. REIT | (465) | 103,063 | 2,024 | (0.24) | ||||
Avangrid, Inc. | 796 | 38,686 | (3,507) | 0.42 | ||||
Avient Corporation | (2,978) | 138,030 | 3,774 | (0.45) | ||||
Avis Budget Group, Inc. | (2,115) | 246,419 | (53,262) | 6.36 | ||||
Axalta Coating Systems, Ltd. | (288) | 8,407 | 95 | (0.01) | ||||
Axis Capital Holdings, Ltd. | (3,417) | 157,319 | 7,136 | (0.85) | ||||
Axon Enterprise, Inc. | 512 | 89,610 | (3,149) | 0.38 | ||||
AZEK Co., Inc. (The) | (3,660) | 133,700 | 14,086 | (1.68) | ||||
Baker Hughes Co. | 407 | 10,065 | 496 | (0.06) | ||||
BancorpSouth Bank | 6,275 | 186,870 | 4,311 | (0.52) | ||||
Bank of America Corporation | (5,085) | 215,858 | (8,803) | 1.05 | ||||
Bank of Hawaii Corporation | (371) | 30,485 | (1,054) | 0.13 | ||||
Bank of New York Mellon Corporation (The) | (3,665) | 189,994 | 3,805 | (0.45) | ||||
Bank OZK | (1,115) | 47,923 | (2,064) | 0.25 | ||||
Bath & Body Works, Inc. | (4,122) | 259,810 | 7,100 | (0.85) | ||||
Baxter International, Inc. | 449 | 36,113 | (418) | 0.05 | ||||
Becton, Dickinson and Co. | (263) | 64,651 | 3,766 | (0.45) | ||||
Belden, Inc. | (3,359) | 195,695 | (1,056) | 0.13 | ||||
Beyond Meat, Inc. | (3,604) | 379,357 | 29,695 | (3.55) | ||||
Bill.com Holdings, Inc. | (1,072) | 286,170 | 26,655 | (3.18) | ||||
Biogen, Inc. | (58) | 16,413 | 995 | (0.12) | ||||
Bio-Rad Laboratories, Inc. Class A | 89 | 66,390 | (5,779) | 0.69 | ||||
BJ's Wholesale Club Holdings, Inc. | (797) | 43,771 | 2,437 | (0.29) | ||||
Black Hills Corporation | (1,714) | 107,571 | 10,589 | (1.27) | ||||
Black Knight, Inc. | (603) | 43,416 | 1,940 | (0.23) | ||||
Blackbaud, Inc. | (1,928) | 135,635 | (5,827) | 0.70 | ||||
BlackRock, Inc. | (53) | 44,449 | 4,204 | (0.50) | ||||
Boeing Co. (The) | (3,279) | 721,183 | (19,697) | 2.35 | ||||
BOK Financial Corporation | 3,182 | 284,948 | 17,790 | (2.13) | ||||
Booking Holdings, Inc. | (120) | 284,864 | (6,633) | 0.79 | ||||
Booz Allen Hamilton Holding Corporation | 2,454 | 194,725 | (7,384) | 0.88 | ||||
BorgWarner, Inc. | (5,524) | 238,692 | (4,210) | 0.50 | ||||
Boston Properties, Inc. REIT | (350) | 37,922 | 723 | (0.09) | ||||
Boston Scientific Corporation | (5,050) | 219,120 | 10,193 | (1.22) | ||||
Bright Horizons Family Solutions, Inc. | (1,644) | 229,206 | 3,987 | (0.48) | ||||
Brighthouse Financial, Inc. | (1,425) | 64,453 | 2,848 | (0.34) | ||||
Brink's Co. (The) | (273) | 17,281 | 2,849 | (0.34) | ||||
Brixmor Property Group, Inc. REIT | (6,370) | 140,841 | 6,110 | (0.73) | ||||
Broadcom, Inc. | 199 | 96,501 | (998) | 0.12 | ||||
Broadridge Financial Solutions, Inc. | (272) | 45,326 | 938 | (0.11) | ||||
Brookfield Asset Management, Inc. Class A | (366) | 19,585 | 878 | (0.11) | ||||
Brookfield Property Preferred LP | (263) | 6,433 | 187 | (0.02) | ||||
Brooks Automation, Inc. | (1,999) | 204,598 | (12,879) | 1.54 | ||||
Bruker Corporation | 347 | 27,101 | (4,258) | 0.51 | ||||
Brunswick Corporation | 4,613 | 439,481 | (4,684) | 0.56 | ||||
Builders FirstSource, Inc. | (3,595) | 186,005 | 9,448 | (1.13) | ||||
Bunge, Ltd. | (2,824) | 229,648 | (16,019) | 1.91 | ||||
Burlington Stores, Inc. | (259) | 73,445 | 2,745 | (0.33) | ||||
BWX Technologies, Inc. | (226) | 12,172 | 578 | (0.07) |
STRATEGIC ALTERNATIVES FUND
SCHEDULE OF INVESTMENTS (Continued)
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
C.H. Robinson Worldwide, Inc. | (5,143) | $447,441 | $(996) | 0.12% | ||||
Cable One, Inc. | (88) | 159,555 | 15,216 | (1.82) | ||||
Cabot Oil & Gas Corporation | 20,112 | 437,637 | 64,921 | (7.76) | ||||
CACI International, Inc. Class A | 674 | 176,655 | 2,448 | (0.29) | ||||
Cadence Design Systems, Inc. | 1,871 | 283,344 | (27,107) | 3.24 | ||||
Callaway Golf Co. | (7,049) | 194,764 | 5,069 | (0.61) | ||||
Camden Property Trust REIT | 695 | 102,492 | (1,554) | 0.19 | ||||
Campbell Soup Co. | 2,016 | 84,289 | (2,005) | 0.24 | ||||
Capital One Financial Corporation | 3,565 | 577,423 | 22,007 | (2.63) | ||||
Capri Holdings, Ltd. | (3,256) | 157,623 | 24,349 | (2.91) | ||||
Cardinal Health, Inc. | (4,106) | 203,083 | 13,711 | (1.64) | ||||
Carlisle Cos., Inc. | (1,130) | 224,633 | 3,066 | (0.37) | ||||
CarMax, Inc. | (1,458) | 186,566 | 7,677 | (0.92) | ||||
Carnival Corporation | (12,522) | 313,175 | (19,975) | 2.39 | ||||
Carrier Global Corporation | (498) | 25,776 | 2,474 | (0.30) | ||||
Carter's, Inc. | 145 | 14,100 | (439) | 0.05 | ||||
Carvana Co. | (564) | 170,069 | 15,279 | (1.83) | ||||
Catalent, Inc. | (2,202) | 293,020 | 17,518 | (2.09) | ||||
Caterpillar, Inc. | 223 | 42,809 | (1,082) | 0.13 | ||||
Cathay General Bancorp | 4,488 | 185,758 | 6,084 | (0.73) | ||||
Cboe Global Markets, Inc. | 817 | 101,194 | 86 | (0.01) | ||||
CBRE Group, Inc. Class A | (357) | 34,758 | 277 | (0.03) | ||||
CDK Global, Inc. | (1,931) | 82,164 | (794) | 0.09 | ||||
Centene Corporation | (2,127) | 132,533 | (627) | 0.07 | ||||
CenterPoint Energy, Inc. | (14,794) | 363,932 | 28,983 | (3.46) | ||||
Ceridian HCM Holding, Inc. | (2,940) | 331,103 | (805) | 0.10 | ||||
Cerner Corporation | 11,514 | 811,967 | (49,719) | 5.94 | ||||
CF Industries Holdings, Inc. | (8,440) | 471,121 | (87,957) | 10.51 | ||||
ChampionX Corporation | 3,653 | 81,681 | 649 | (0.08) | ||||
ChargePoint Holdings, Inc. | 2,953 | 59,030 | (5,559) | 0.66 | ||||
Charles River Laboratories International, Inc. | (431) | 177,861 | 13,066 | (1.56) | ||||
Charles Schwab Corporation (The) | (9,840) | 716,746 | (5,042) | 0.60 | ||||
Charter Communications, Inc. Class A | 248 | 180,435 | (14,368) | 1.72 | ||||
Chegg, Inc. | (2,164) | 147,195 | 25,551 | (3.05) | ||||
Chemed Corporation | 946 | 440,004 | (12,716) | 1.52 | ||||
Chemours Co. (The) | (3,830) | 111,300 | 9,766 | (1.17) | ||||
Cheniere Energy, Inc. | (764) | 74,620 | (5,987) | 0.72 | ||||
Chevron Corporation | 603 | 61,174 | 3,280 | (0.39) | ||||
Chipotle Mexican Grill, Inc. | (40) | 72,701 | 3,685 | (0.44) | ||||
Choice Hotels International, Inc. | 540 | 68,240 | 3,609 | (0.43) | ||||
Cigna Corporation | 1,532 | 306,645 | (19,630) | 2.35 | ||||
Cimarex Energy Co. | 250 | 21,800 | 3,273 | (0.39) | ||||
Cinemark Holdings, Inc. | (9,961) | 191,351 | (15,688) | 1.87 | ||||
Cintas Corporation | 612 | 232,964 | (12,696) | 1.52 | ||||
Cirrus Logic, Inc. | 2,276 | 187,429 | (9,945) | 1.19 | ||||
Citigroup, Inc. | (5,905) | 414,413 | 2,367 | (0.28) | ||||
Citizens Financial Group, Inc. | (6,446) | 302,833 | (21,950) | 2.62 | ||||
Citrix Systems, Inc. | (1,047) | 112,416 | 581 | (0.07) | ||||
Clarivate PLC | (12,873) | 281,919 | 49,843 | (5.96) | ||||
Clean Harbors, Inc. | (489) | 50,792 | (1,610) | 0.19 | ||||
Cleveland-Cliffs, Inc. | (9,484) | 187,878 | 33,471 | (4.00) | ||||
Cloudflare, Inc. Class A | (958) | 107,919 | 14,692 | (1.76) | ||||
CMC Materials, Inc. | (1,712) | 210,970 | 15,897 | (1.90) | ||||
CME Group, Inc. | 539 | 104,232 | 970 | (0.12) | ||||
CMS Energy Corporation | 7,251 | 433,102 | (34,203) | 4.09 |
206
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
CNX Resources Corporation | (3,244) | $40,939 | $(2,531) | 0.30% | ||||
Coca-Cola Co. (The) | 2,891 | 151,691 | (6,419) | 0.77 | ||||
Cognizant Technology Solutions Corporation Class A | 2,708 | 200,961 | (6,170) | 0.74 | ||||
Colfax Corporation | (2,849) | 130,769 | 2,930 | (0.35) | ||||
Columbia Sportswear Co. | 1,946 | 186,505 | (9,007) | 1.08 | ||||
Comcast Corporation Class A | (1,164) | 65,103 | 4,223 | (0.50) | ||||
Comerica, Inc. | (3,453) | 277,967 | (22,977) | 2.74 | ||||
Commerce Bancshares, Inc. | 2,083 | 145,143 | 2,247 | (0.27) | ||||
Commercial Metals Co. | (1,834) | 55,864 | 1,117 | (0.13) | ||||
CommScope Holding Co., Inc. | (10,944) | 148,729 | 12,244 | (1.46) | ||||
CommVault Systems, Inc. | 1,644 | 123,810 | (5,308) | 0.63 | ||||
Compass Minerals International, Inc. | (3,555) | 228,942 | 2,681 | (0.32) | ||||
Conagra Brands, Inc. | 9,099 | 308,183 | 5,882 | (0.70) | ||||
Concentrix Corporation | 784 | 138,768 | 2,274 | (0.27) | ||||
Consolidated Edison, Inc. | (2,293) | 166,449 | 5,780 | (0.69) | ||||
Copart, Inc. | 854 | 118,467 | (2,891) | 0.35 | ||||
CoreSite Realty Corporation REIT | (530) | 73,426 | 5,520 | (0.66) | ||||
Corning, Inc. | (2,033) | 74,184 | 3,793 | (0.45) | ||||
Corporate Office Properties Trust REIT | 5,270 | 142,185 | (4,258) | 0.51 | ||||
CoStar Group, Inc. | 768 | 66,094 | (2,795) | 0.33 | ||||
Coty, Inc. Class A | (23,276) | 182,949 | 13,715 | (1.64) | ||||
Coupa Software, Inc. | (1,358) | 297,646 | 48,714 | (5.82) | ||||
Cousins Properties, Inc. REIT | 571 | 21,293 | (316) | 0.04 | ||||
Cracker Barrel Old Country Store, Inc. | 1,174 | 164,172 | (2,755) | 0.33 | ||||
Crane Co. | (526) | 49,870 | (159) | 0.02 | ||||
Credit Acceptance Corporation | 231 | 135,204 | (6,183) | 0.74 | ||||
Cree, Inc. | (3,871) | 312,506 | 18,183 | (2.17) | ||||
Crocs, Inc. | 528 | 75,757 | 1,021 | (0.12) | ||||
Crowdstrike Holdings, Inc. Class A | (36) | 8,848 | 697 | (0.08) | ||||
Crown Castle International Corporation REIT | 1,271 | 220,290 | (19,594) | 2.34 | ||||
Crown Holdings, Inc. | (5,297) | 533,832 | 29,962 | (3.58) | ||||
CSX Corporation | 4,348 | 129,310 | (7,015) | 0.84 | ||||
CubeSmart REIT | 1,055 | 51,115 | (4,743) | 0.57 | ||||
Cullen/Frost Bankers, Inc. | (251) | 29,774 | (1,825) | 0.22 | ||||
Cummins, Inc. | 626 | 140,575 | (3,763) | 0.45 | ||||
Curtiss-Wright Corporation | 1,488 | 187,756 | 15,724 | (1.88) | ||||
CVS Health Corporation | (5,920) | 502,371 | 3,239 | (0.39) | ||||
CyrusOne, Inc. REIT | 1,946 | 150,640 | 237 | (0.03) | ||||
D.R. Horton, Inc. | 636 | 53,405 | (3,994) | 0.48 | ||||
Dana, Inc. | (1,754) | 39,009 | (1,931) | 0.23 | ||||
Danaher Corporation | 151 | 45,970 | (3,589) | 0.43 | ||||
Darden Restaurants, Inc. | 1,703 | 257,953 | 5,575 | (0.67) | ||||
Darling Ingredients, Inc. | 1,722 | 123,812 | 2,294 | (0.27) | ||||
Datadog, Inc. Class A | (169) | 23,888 | (77) | 0.01 | ||||
DaVita, Inc. | (100) | 11,626 | 1,018 | (0.12) | ||||
Deckers Outdoor Corporation | 838 | 301,848 | (39,063) | 4.67 | ||||
Deere & Co. | 36 | 12,063 | (1,035) | 0.12 | ||||
Delta Air Lines, Inc. | (6,212) | 264,693 | (9,451) | 1.13 | ||||
DENTSPLY SIRONA, Inc. | (1,887) | 109,540 | 8,112 | (0.97) | ||||
Devon Energy Corporation | 302 | 10,724 | 2,279 | (0.27) | ||||
DexCom, Inc. | (232) | 126,872 | 1,341 | (0.16) | ||||
Digital Realty Trust, Inc. REIT | 240 | 34,668 | (3,227) | 0.39 | ||||
Discover Financial Services | (66) | 8,108 | (169) | 0.02 | ||||
Discovery, Inc. Class A | (9,039) | 229,410 | 9,889 | (1.18) | ||||
DISH Network Corporation Class A | (6,169) | 268,105 | 2,030 | (0.24) |
STRATEGIC ALTERNATIVES FUND
SCHEDULE OF INVESTMENTS (Continued)
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
DocuSign, Inc. | 762 | $196,162 | $(18,220) | 2.18% | ||||
Dolby Laboratories, Inc. Class A | 2,998 | 263,824 | (19,100) | 2.28 | ||||
Dollar General Corporation | (935) | 198,351 | 7,473 | (0.89) | ||||
Dollar Tree, Inc. | (1,321) | 126,446 | (5,975) | 0.71 | ||||
Dominion Energy, Inc. | 466 | 34,027 | (2,078) | 0.25 | ||||
Domino’s Pizza, Inc. | 1,054 | 502,716 | (41,334) | 4.94 | ||||
Donaldson Co., Inc. | 4,902 | 281,424 | (15,375) | 1.84 | ||||
Douglas Emmett, Inc. REIT | 969 | 30,630 | (836) | 0.10 | ||||
Dow, Inc. | (5,446) | 313,472 | 14,802 | (1.77) | ||||
Dropbox, Inc. Class A | 3,160 | 92,335 | (9,112) | 1.09 | ||||
DTE Energy Co. | 611 | 68,255 | (4,917) | 0.59 | ||||
Duke Energy Corporation | 2,421 | 236,265 | (14,071) | 1.68 | ||||
Duke Realty Corporation REIT | 520 | 24,892 | (1,828) | 0.22 | ||||
Dun & Bradstreet Holdings, Inc. | (9,127) | 153,425 | 12,772 | (1.53) | ||||
DuPont de Nemours, Inc. | (4,959) | 337,162 | 9,960 | (1.19) | ||||
DXC Technology Co. | (7,877) | 264,746 | 14,599 | (1.74) | ||||
Dynatrace, Inc. | (1,392) | 98,790 | (463) | 0.06 | ||||
Eagle Materials, Inc. | (1,883) | 246,974 | 23,416 | (2.80) | ||||
EastGroup Properties, Inc. REIT | 1,741 | 290,103 | (15,511) | 1.85 | ||||
Eaton Corporation PLC | (1,829) | 273,088 | 22,341 | (2.67) | ||||
eBay, Inc. | (685) | 47,724 | 2,283 | (0.27) | ||||
Edwards Lifesciences Corporation | 1,282 | 145,135 | (11,388) | 1.36 | ||||
Elanco Animal Health, Inc. | (10,939) | 348,845 | 18,037 | (2.16) | ||||
Elastic NV | (320) | 47,677 | 5,461 | (0.65) | ||||
Electronic Arts, Inc. | 774 | 110,101 | 73 | (0.01) | ||||
Eli Lilly and Co. | 547 | 126,384 | (4,910) | 0.59 | ||||
EMCOR Group, Inc. | 3,189 | 367,947 | (8,895) | 1.06 | ||||
Emergent BioSolutions, Inc. | (157) | 7,861 | 398 | (0.05) | ||||
Emerson Electric Co. | 1,988 | 187,270 | (11,711) | 1.40 | ||||
Encompass Health Corporation | (5,653) | 424,201 | 26,400 | (3.15) | ||||
Energizer Holdings, Inc. | (5,277) | 206,067 | (2,008) | 0.24 | ||||
EnerSys, Inc. | (158) | 11,762 | 875 | (0.10) | ||||
Enphase Energy, Inc. | (1,282) | 192,262 | 14,595 | (1.74) | ||||
Entegris, Inc. | (1,306) | 164,425 | (8,089) | 0.97 | ||||
Entergy Corporation | (116) | 11,520 | 1,109 | (0.13) | ||||
Envestnet, Inc. | (2,455) | 196,989 | (6,414) | 0.77 | ||||
Envista Holdings Corporation | (3,590) | 150,098 | 5,452 | (0.65) | ||||
EOG Resources, Inc. | 4,570 | 366,834 | 59,011 | (7.05) | ||||
EPAM Systems, Inc. | 274 | 156,312 | (15,475) | 1.85 | ||||
EPR Properties REIT | (4,577) | 226,012 | (3,027) | 0.36 | ||||
EQT Corporation | (15,818) | 323,636 | (8,648) | 1.03 | ||||
Equifax, Inc. | (917) | 232,386 | 20,177 | (2.41) | ||||
Equinix, Inc. REIT | (257) | 203,063 | 15,820 | (1.89) | ||||
Equitable Holdings, Inc. | (2,713) | 80,413 | 2,358 | (0.28) | ||||
Equity Residential REIT | (859) | 69,510 | 1,330 | (0.16) | ||||
Essent Group, Ltd. | (1,478) | 65,047 | 3,087 | (0.37) | ||||
Essential Utilities, Inc. | (2,088) | 96,215 | 8,432 | (1.01) | ||||
Essex Property Trust, Inc. REIT | 871 | 278,494 | (5,666) | 0.68 | ||||
Euronet Worldwide, Inc. | (1,892) | 240,814 | 7,427 | (0.89) | ||||
Everbridge, Inc. | (1,711) | 258,429 | 15,869 | (1.90) | ||||
Evercore, Inc. Class A | 1,086 | 145,166 | (5,099) | 0.61 | ||||
Everest Re Group, Ltd. | (985) | 247,018 | 7,436 | (0.89) | ||||
Evergy, Inc. | 1,222 | 76,008 | (6,675) | 0.80 | ||||
Eversource Energy | (624) | 51,018 | 4,647 | (0.56) | ||||
Exact Sciences Corporation | (3,149) | 300,572 | 32,739 | (3.91) |
208
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Exelixis, Inc. | 7,937 | $167,788 | $12,682 | (1.52)% | ||||
Exelon Corporation | (6,042) | 292,070 | 11,409 | (1.36) | ||||
Expedia Group, Inc. | (482) | 79,000 | (8,273) | 0.99 | ||||
Expeditors International of Washington, Inc. | 945 | 112,578 | (4,095) | 0.49 | ||||
Extra Space Storage, Inc. REIT | 1,442 | 242,242 | (25,841) | 3.09 | ||||
Exxon Mobil Corporation | (3,785) | 222,634 | (17,910) | 2.14 | ||||
Facebook, Inc. Class A | 3,678 | 1,248,276 | (128,383) | 15.34 | ||||
FactSet Research Systems, Inc. | 395 | 155,938 | 4,799 | (0.57) | ||||
Fair Isaac Corporation | 736 | 292,876 | (46,891) | 5.60 | ||||
Fastenal Co. | 7,346 | 379,127 | (13,265) | 1.58 | ||||
Fastly, Inc. Class A | (2,307) | 93,295 | 10,295 | (1.23) | ||||
Federal Realty Investment Trust REIT | (2,514) | 296,627 | 3,140 | (0.38) | ||||
Federated Hermes, Inc. | 2,779 | 90,317 | 1,519 | (0.18) | ||||
FedEx Corporation | (630) | 138,153 | 24,678 | (2.95) | ||||
Fidelity National Information Services, Inc. | (1,513) | 184,102 | 7,093 | (0.85) | ||||
Fifth Third Bancorp | (8,038) | 341,133 | (31,679) | 3.78 | ||||
FireEye, Inc. | (11,361) | 202,226 | 7,615 | (0.91) | ||||
First Citizens BancShares, Inc. Class A | 151 | 127,319 | (5,209) | 0.62 | ||||
First Financial Bankshares, Inc. | 2,130 | 97,873 | 3,376 | (0.40) | ||||
First Hawaiian, Inc. | 2,571 | 75,459 | 6,574 | (0.79) | ||||
First Horizon Corporation | (11,538) | 187,954 | (10,514) | 1.26 | ||||
First Industrial Realty Trust, Inc. REIT | 1,289 | 67,131 | (2,624) | 0.31 | ||||
First Republic Bank | (827) | 159,512 | 3,791 | (0.45) | ||||
First Solar, Inc. | (511) | 48,780 | (599) | 0.07 | ||||
FirstCash, Inc. | 2,403 | 210,262 | (215) | 0.03 | ||||
FirstEnergy Corporation | (1,527) | 54,392 | 4,197 | (0.50) | ||||
Fiserv, Inc. | (1,956) | 212,226 | 12,726 | (1.52) | ||||
Five Below, Inc. | (699) | 123,590 | 5,161 | (0.62) | ||||
FleetCor Technologies, Inc. | 112 | 29,262 | (376) | 0.04 | ||||
Floor & Decor Holdings, Inc. Class A | (212) | 25,607 | 803 | (0.10) | ||||
Flowers Foods, Inc. | 14,443 | 341,288 | 5,018 | (0.60) | ||||
Flowserve Corporation | (2,346) | 81,336 | 3,776 | (0.45) | ||||
Fluor Corporation | (15,814) | 252,550 | 1,712 | (0.20) | ||||
FNB Corporation | (2,250) | 26,145 | (1,261) | 0.15 | ||||
Ford Motor Co. | 5,844 | 82,751 | 8,174 | (0.98) | ||||
Fortinet, Inc. | 28 | 8,177 | (513) | 0.06 | ||||
Fortive Corporation | (7,984) | 563,431 | 41,010 | (4.90) | ||||
Fortune Brands Home & Security, Inc. | (1,579) | 141,194 | 9,595 | (1.15) | ||||
Fox Corporation Class A | 836 | 33,532 | 3,132 | (0.37) | ||||
Fox Factory Holding Corporation | (543) | 78,485 | 3,587 | (0.43) | ||||
Franklin Resources, Inc. | (4,330) | 128,688 | 5,885 | (0.70) | ||||
Freshpet, Inc. | (1,463) | 208,755 | (16,333) | 1.95 | ||||
Frontdoor, Inc. | 3,232 | 135,421 | (13,946) | 1.67 | ||||
FTI Consulting, Inc. | 752 | 101,294 | (1,996) | 0.24 | ||||
GameStop Corporation Class A | (257) | 45,096 | 3,130 | (0.37) | ||||
Gap, Inc. (The) | (19,082) | 433,161 | 35,124 | (4.20) | ||||
Garmin, Ltd. | 2,173 | 337,815 | (36,938) | 4.41 | ||||
Gartner, Inc. | 781 | 237,330 | (9,391) | 1.12 | ||||
Gates Industrial Corporation PLC | (557) | 9,062 | 384 | (0.05) | ||||
GATX Corporation | (3,180) | 284,801 | (3,930) | 0.47 | ||||
Generac Holdings, Inc. | 606 | 247,654 | (28,251) | 3.38 | ||||
General Electric Co. | (9,823) | 1,012,064 | 933 | (0.11) | ||||
General Mills, Inc. | 2,200 | 131,604 | 3,000 | (0.36) | ||||
Gentex Corporation | 20,461 | 674,804 | 36,351 | (4.34) | ||||
Gilead Sciences, Inc. | 1,064 | 74,320 | (61) | 0.01 |
STRATEGIC ALTERNATIVES FUND
SCHEDULE OF INVESTMENTS (Continued)
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Glacier Bancorp, Inc. | 1,728 | $95,645 | $7,075 | (0.85)% | ||||
Global Payments, Inc. | 127 | 20,013 | (1,112) | 0.13 | ||||
Globus Medical, Inc. Class A | 137 | 10,497 | (900) | 0.11 | ||||
GoDaddy, Inc. Class A | 1,091 | 76,043 | (6,162) | 0.74 | ||||
Graco, Inc. | 4,372 | 305,909 | (31,734) | 3.79 | ||||
Graham Holdings Co. Class B | 56 | 32,993 | (482) | 0.06 | ||||
Grand Canyon Education, Inc. | 3,417 | 300,559 | (6,218) | 0.74 | ||||
Graphic Packaging Holding Co. | (8,429) | 160,488 | 7,966 | (0.95) | ||||
Greif, Inc. Class A | (949) | 61,305 | 588 | (0.07) | ||||
Grocery Outlet Holding Corporation | (11,726) | 252,930 | 36,194 | (4.32) | ||||
Guardant Health, Inc. | (1,735) | 216,892 | 10,125 | (1.21) | ||||
Guidewire Software, Inc. | (1,681) | 199,820 | 5,372 | (0.64) | ||||
H&R Block, Inc. | 5,583 | 139,575 | 152 | (0.02) | ||||
Haemonetics Corporation | (4,956) | 349,844 | (24,444) | 2.92 | ||||
Halliburton Co. | (3,116) | 67,368 | (6,620) | 0.79 | ||||
Hancock Whitney Corporation | (2,771) | 130,570 | (8,345) | 1.00 | ||||
Hanesbrands, Inc. | (5,197) | 89,181 | 8,624 | (1.03) | ||||
Harley-Davidson, Inc. | (2,148) | 78,638 | 1,745 | (0.21) | ||||
Hartford Financial Services Group, Inc. (The) | (1,950) | 136,988 | (3,937) | 0.47 | ||||
Hasbro, Inc. | (3,409) | 304,151 | 30,056 | (3.59) | ||||
Hawaiian Electric Industries, Inc. | 3,478 | 142,007 | (6,624) | 0.79 | ||||
HCA Healthcare, Inc. | (994) | 241,264 | 14,947 | (1.79) | ||||
Healthcare Realty Trust, Inc. REIT | 7,793 | 232,076 | (3,299) | 0.39 | ||||
Healthcare Services Group, Inc. | 8,659 | 216,388 | (12,678) | 1.51 | ||||
Healthcare Trust of America, Inc. Class A REIT | 11,971 | 355,060 | (8,539) | 1.02 | ||||
HealthEquity, Inc. | (1,894) | 122,655 | 2,288 | (0.27) | ||||
Healthpeak Properties, Inc. REIT | (2,973) | 99,536 | 6,329 | (0.76) | ||||
HEICO Corporation | 1,409 | 185,805 | 7,233 | (0.86) | ||||
Helen of Troy, Ltd. | 768 | 172,554 | (4,704) | 0.56 | ||||
Henry Schein, Inc. | 3,004 | 228,785 | (4,862) | 0.58 | ||||
Herman Miller, Inc. | 2,097 | 78,973 | (4,460) | 0.53 | ||||
Hershey Co. (The) | 2,997 | 507,242 | (15,759) | 1.88 | ||||
Hess Corporation | (2,981) | 232,846 | (29,165) | 3.48 | ||||
Hewlett Packard Enterprise Co. | (14,924) | 212,667 | 3,842 | (0.46) | ||||
Hexcel Corporation | (2,208) | 131,133 | (11,331) | 1.35 | ||||
Highwoods Properties, Inc. REIT | 5,802 | 254,476 | (5,888) | 0.70 | ||||
Hilton Worldwide Holdings, Inc. | (168) | 22,194 | (606) | 0.07 | ||||
HollyFrontier Corporation | (713) | 23,622 | (1,304) | 0.16 | ||||
Hologic, Inc. | 2,869 | 211,761 | (17,641) | 2.11 | ||||
Home BancShares, Inc. | 5,267 | 123,933 | 10,680 | (1.28) | ||||
Honeywell International, Inc. | (941) | 199,755 | 10,015 | (1.20) | ||||
Horizon Pharma PLC | (1,336) | 146,345 | (2,837) | 0.34 | ||||
Hormel Foods Corporation | (4,601) | 188,641 | 5,515 | (0.66) | ||||
Host Hotels & Resorts, Inc. REIT | (6,124) | 100,005 | (1,473) | 0.18 | ||||
Howard Hughes Corporation (The) | (229) | 20,108 | 439 | (0.05) | ||||
Howmet Aerospace, Inc. | (1,985) | 61,932 | 931 | (0.11) | ||||
Hubbell, Inc. | (541) | 97,742 | 6,991 | (0.84) | ||||
HubSpot, Inc. | 49 | 33,128 | (288) | 0.03 | ||||
Hudson Pacific Properties, Inc. REIT | 11,447 | 300,713 | (4,956) | 0.59 | ||||
Huntington Bancshares, Inc. | (28,767) | 444,738 | (7,516) | 0.90 | ||||
Huntington Ingalls Industries, Inc. | 622 | 120,083 | (3,913) | 0.47 | ||||
Hyatt Hotels Corporation Class A | (2,475) | 190,823 | (12,282) | 1.47 | ||||
IAA, Inc. | (1,767) | 96,425 | (2,883) | 0.34 | ||||
IAC/InterActiveCorp | (1,413) | 184,100 | 1,509 | (0.18) | ||||
ICU Medical, Inc. | 842 | 196,506 | (15,937) | 1.90 |
210
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
IDACORP, Inc. | 3,302 | $341,361 | $(13,114) | 1.57% | ||||
IDEX Corporation | (125) | 25,869 | 1,348 | (0.16) | ||||
IDEXX Laboratories, Inc. | 557 | 346,398 | (30,492) | 3.64 | ||||
II-VI, Inc. | (2,378) | 141,158 | 6,364 | (0.76) | ||||
Illinois ToolWorks, Inc. | 1,232 | 254,568 | (13,433) | 1.60 | ||||
Illumina, Inc. | (106) | 42,995 | 5,684 | (0.68) | ||||
Incyte Corporation | 5,169 | 355,524 | (20,252) | 2.42 | ||||
Ingersoll-Rand, Inc. | (6,727) | 339,108 | 23,398 | (2.80) | ||||
Ingredion, Inc. | (2,413) | 214,781 | (6,594) | 0.79 | ||||
Insperity, Inc. | 738 | 81,726 | 2,641 | (0.32) | ||||
Insulet Corporation | (626) | 177,928 | 11,287 | (1.35) | ||||
Integra LifeSciences Holdings Corporation | (641) | 43,896 | 3,062 | (0.37) | ||||
Intel Corporation | 2,362 | 125,847 | (297) | 0.04 | ||||
Intercontinental Exchange, Inc. | 639 | 73,370 | (2,967) | 0.35 | ||||
International Bancshares Corporation | 1,453 | 60,503 | 999 | (0.12) | ||||
International Business Machines Corporation | 1,952 | 271,191 | 2,294 | (0.27) | ||||
International Flavors & Fragrances, Inc. | (2,900) | 387,788 | 47,349 | (5.66) | ||||
International Paper Co. | (8,854) | 495,116 | 18,688 | (2.23) | ||||
Interpublic Group of Cos., Inc. (The) | 894 | 32,783 | 104 | (0.01) | ||||
Intuit, Inc. | 472 | 254,649 | (13,358) | 1.60 | ||||
Invesco, Ltd. | (9,389) | 226,369 | 6,283 | (0.75) | ||||
Invitation Homes, Inc. REIT | 3,248 | 124,496 | (9,011) | 1.08 | ||||
Ionis Pharmaceuticals, Inc. | (6,324) | 212,107 | 17,195 | (2.05) | ||||
Iovance Biotherapeutics, Inc. | (7,682) | 189,438 | (4,746) | 0.57 | ||||
IQVIA Holdings, Inc. | (1,440) | 344,938 | 31,293 | (3.74) | ||||
Iridium Communications, Inc. | (1,299) | 51,765 | 6,624 | (0.79) | ||||
Iron Mountain, Inc. REIT | (2,574) | 111,840 | 8,651 | (1.03) | ||||
ITT, Inc. | 3,232 | 277,435 | (13,154) | 1.57 | ||||
J.M. Smucker Co. (The) | 1,713 | 205,611 | (1,307) | 0.16 | ||||
J2 Global, Inc. | (288) | 39,347 | 494 | (0.06) | ||||
Jabil, Inc. | (4,317) | 251,983 | 15,662 | (1.87) | ||||
Jack Henry & Associates, Inc. | 1,934 | 317,292 | (13,022) | 1.56 | ||||
Jack in the Box, Inc. | 678 | 65,990 | (3,065) | 0.37 | ||||
Jacobs Engineering Group, Inc. | (1,400) | 185,542 | 4,222 | (0.50) | ||||
Jazz Pharmaceuticals PLC | (1,317) | 171,487 | 5,685 | (0.68) | ||||
JBG SMITH Properties REIT | 2,046 | 60,582 | (661) | 0.08 | ||||
Jefferies Financial Group, Inc. | 7,742 | 287,460 | 2,524 | (0.30) | ||||
JetBlue Airways Corporation | (14,845) | 226,980 | 141 | (0.02) | ||||
John Wiley & Sons, Inc. Class A | (231) | 12,061 | 1,212 | (0.15) | ||||
Jones Lang LaSalle, Inc. | (956) | 237,174 | (5,992) | 0.72 | ||||
JPMorgan Chase & Co. | (2,658) | 435,088 | (11,975) | 1.43 | ||||
Juniper Networks, Inc. | (8,998) | 247,625 | 3,181 | (0.38) | ||||
KAR Auction Services, Inc. | (20,046) | 328,554 | (5,185) | 0.62 | ||||
KB Home | (1,440) | 56,045 | 4,102 | (0.49) | ||||
KBR, Inc. | (967) | 38,100 | (137) | 0.02 | ||||
Kellogg Co. | 3,900 | 249,288 | 5,823 | (0.70) | ||||
Kennametal, Inc. | (4,482) | 153,419 | 8,914 | (1.07) | ||||
KeyCorp | (10,409) | 225,043 | (13,071) | 1.56 | ||||
Kilroy Realty Corporation REIT | 5,333 | 353,098 | 7,268 | (0.87) | ||||
Kimberly-Clark Corporation | (1,194) | 158,133 | 6,392 | (0.76) | ||||
Kimco Realty Corporation REIT | (9,072) | 188,244 | 4,618 | (0.55) | ||||
Kinder Morgan, Inc. | 22,444 | 375,488 | 16,794 | (2.01) | ||||
Kirby Corporation | (2,473) | 118,605 | 10,185 | (1.22) | ||||
KLA Corporation | 121 | 40,476 | (1,616) | 0.19 | ||||
Knight-Swift Transportation Holdings | 5,925 | 303,064 | (863) | 0.10 |
STRATEGIC ALTERNATIVES FUND
SCHEDULE OF INVESTMENTS (Continued)
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Kraft Heinz Co. (The) | (8,613) | $317,131 | $(2,249) | 0.27% | ||||
L3Harris Technologies, Inc. | (201) | 44,268 | 2,167 | (0.26) | ||||
Laboratory Corporation of America Holdings | 603 | 169,708 | (13,117) | 1.57 | ||||
Lam Research Corporation | 201 | 114,399 | (4,628) | 0.55 | ||||
Lamar Advertising Co. Class A REIT | 178 | 20,194 | 468 | (0.06) | ||||
Lamb Weston Holdings, Inc. | (2,938) | 180,305 | (359) | 0.04 | ||||
Lancaster Colony Corporation | 992 | 167,460 | (3,423) | 0.41 | ||||
Landstar System, Inc. | 1,111 | 175,338 | (3,819) | 0.46 | ||||
Lattice Semiconductor Corporation | 404 | 26,119 | 1,056 | (0.13) | ||||
Lear Corporation | 1,885 | 294,965 | 533 | (0.06) | ||||
Leggett & Platt, Inc. | (2,732) | 122,503 | 5,129 | (0.61) | ||||
Leidos Holdings, Inc. | (1,079) | 103,724 | 2,497 | (0.30) | ||||
LendingTree, Inc. | (1,541) | 215,478 | 32,075 | (3.83) | ||||
Lennar Corporation Class A | 316 | 29,603 | (2,026) | 0.24 | ||||
Lennox International, Inc. | 1,132 | 333,000 | (34,747) | 4.15 | ||||
LHC Group, Inc. | 71 | 11,141 | (1,590) | 0.19 | ||||
Liberty Broadband Corporation Class C | (100) | 17,270 | 1,142 | (0.14) | ||||
Liberty Media Corporation-Liberty SiriusXM Class C | (3,498) | 166,050 | 2,093 | (0.25) | ||||
Ligand Pharmaceuticals, Inc. | (1,667) | 232,246 | (5,575) | 0.67 | ||||
Lincoln Electric Holdings, Inc. | 1,395 | 179,662 | (6,870) | 0.82 | ||||
Lincoln National Corporation | (2,363) | 162,456 | (5,440) | 0.65 | ||||
Linde PLC | (77) | 22,590 | 1,405 | (0.17) | ||||
Lithia Motors, Inc. Class A | (50) | 15,852 | 753 | (0.09) | ||||
Littelfuse, Inc. | (395) | 107,942 | 48 | (0.01) | ||||
LivaNova PLC | (2,826) | 223,791 | 14,376 | (1.72) | ||||
Live Nation Entertainment, Inc. | (3,511) | 319,957 | (16,687) | 1.99 | ||||
LiveRamp Holdings, Inc. | 255 | 12,044 | (710) | 0.08 | ||||
Lockheed Martin Corporation | 1,415 | 488,316 | (1,794) | 0.21 | ||||
Loews Corporation | (14,389) | 775,999 | 9,327 | (1.11) | ||||
LPL Financial Holdings, Inc. | (3,429) | 537,530 | (36,227) | 4.33 | ||||
Lululemon Athletica, Inc. | 603 | 244,034 | (9,682) | 1.16 | ||||
Lumentum Holdings, Inc. | (1,262) | 105,427 | 6,533 | (0.78) | ||||
Lyft, Inc. Class A | (3,691) | 197,801 | (11,374) | 1.36 | ||||
LyondellBasell Industries NV Class A | (579) | 54,339 | (1,310) | 0.16 | ||||
M&T Bank Corporation | 246 | 36,738 | 3,165 | (0.38) | ||||
Macerich Co. (The) REIT | (12,542) | 209,577 | 6,891 | (0.82) | ||||
Madison Square Garden Sports Corporation | (1,016) | 188,925 | (9,739) | 1.16 | ||||
Manhattan Associates, Inc. | 1,463 | 223,883 | (12,798) | 1.53 | ||||
ManpowerGroup, Inc. | 156 | 16,892 | (1,805) | 0.22 | ||||
Marathon Oil Corporation | 19,020 | 260,003 | 44,103 | (5.27) | ||||
Marathon Petroleum Corporation | (3,941) | 243,593 | (16,653) | 1.99 | ||||
MarketAxess Holdings, Inc. | 224 | 94,235 | (5,149) | 0.61 | ||||
Marriott Vacations Worldwide Corporation | 564 | 88,734 | 4,193 | (0.50) | ||||
Marsh & McLennan Cos., Inc. | (681) | 103,124 | 6,030 | (0.72) | ||||
Marvell Technology, Inc. | (10,928) | 659,068 | 10,250 | (1.22) | ||||
Masco Corporation | 4,610 | 256,086 | (17,963) | 2.15 | ||||
Masimo Corporation | 739 | 200,055 | (1,448) | 0.17 | ||||
MasTec, Inc. | 733 | 63,243 | (3,005) | 0.36 | ||||
Mastercard, Inc. Class A | (234) | 81,357 | 870 | (0.10) | ||||
Mattel, Inc. | (1,088) | 20,193 | 1,947 | (0.23) | ||||
McCormick & Co., Inc. (Non-Voting Shares) | (1,583) | 128,270 | 9,066 | (1.08) | ||||
McDonald’s Corporation | 1,289 | 310,791 | 4,852 | (0.58) | ||||
MDU Resources Group, Inc. | 6,161 | 182,797 | (8,569) | 1.02 | ||||
Medical Properties Trust, Inc. REIT | (2,150) | 43,150 | 2,601 | (0.31) | ||||
Medpace Holdings, Inc. | (408) | 77,226 | 1,593 | (0.19) |
212
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Medtronic PLC | 359 | $45,001 | $(1,753) | 0.21% | ||||
MercadoLibre, Inc. | (55) | 92,367 | 10,926 | (1.31) | ||||
Mercury Systems, Inc. | 3,601 | 170,759 | (1,855) | 0.22 | ||||
MetLife, Inc. | (3,362) | 207,536 | (3,973) | 0.47 | ||||
Mettler-Toledo International, Inc. | 224 | 308,529 | (46,505) | 5.56 | ||||
MGIC Investment Corporation | (7,558) | 113,068 | 2,188 | (0.26) | ||||
Microchip Technology, Inc. | (1,480) | 227,165 | 3,663 | (0.44) | ||||
Micron Technology, Inc. | (2,343) | 166,306 | 4,194 | (0.50) | ||||
Microsoft Corporation | 4,347 | 1,225,506 | (67,039) | 8.01 | ||||
Mid-America Apartment Communities, Inc. REIT | (48) | 8,964 | 245 | (0.03) | ||||
Middleby Corporation (The) | (822) | 140,159 | 4,187 | (0.50) | ||||
Minerals Technologies, Inc. | (197) | 13,758 | 1,274 | (0.15) | ||||
Mirati Therapeutics, Inc. | (1,786) | 315,961 | (18,995) | 2.27 | ||||
MKS Instruments, Inc. | (131) | 19,769 | (315) | 0.04 | ||||
Moderna, Inc. | 45 | 17,319 | (2,877) | 0.34 | ||||
Mohawk Industries, Inc. | (1,487) | 263,794 | 19,232 | (2.30) | ||||
Molina Healthcare, Inc. | 1,116 | 302,782 | 14,030 | (1.68) | ||||
Mondelez International, Inc. Class A | 2,565 | 149,232 | (5,352) | 0.64 | ||||
MongoDB, Inc. | (58) | 27,348 | 2,111 | (0.25) | ||||
Monolithic Power Systems, Inc. | 287 | 139,103 | (891) | 0.11 | ||||
Monster Beverage Corporation | 3,715 | 330,003 | (27,976) | 3.34 | ||||
Moody’s Corporation | 121 | 42,968 | (2,725) | 0.33 | ||||
Morgan Stanley | 5,773 | 561,771 | (37,763) | 4.51 | ||||
Morningstar, Inc. | 642 | 166,297 | (14,420) | 1.72 | ||||
MSC Industrial Direct Co., Inc. Class A | (272) | 21,812 | 304 | (0.04) | ||||
MSCI, Inc. | 188 | 114,368 | (8,416) | 1.01 | ||||
Murphy Oil Corporation | (9,834) | 245,555 | (41,878) | 5.00 | ||||
Nasdaq, Inc. | 721 | 139,167 | (3,173) | 0.38 | ||||
Natera, Inc. | (770) | 85,809 | 6,634 | (0.79) | ||||
National Fuel Gas Co. | 768 | 40,335 | 645 | (0.08) | ||||
National Retail Properties, Inc. REIT | 10,369 | 447,837 | (33,026) | 3.95 | ||||
Navient Corporation | (5,745) | 113,349 | 18,955 | (2.26) | ||||
NCR Corporation | (8,381) | 324,848 | 17,421 | (2.08) | ||||
Nektar Therapeutics | (8,433) | 151,457 | (18,388) | 2.20 | ||||
Neogen Corporation | 462 | 20,065 | 298 | (0.04) | ||||
Netflix, Inc. | 308 | 187,985 | 3,922 | (0.47) | ||||
NetScout Systems, Inc. | (958) | 25,818 | (30) | 0.00 | ||||
Neurocrine Biosciences, Inc. | 2,480 | 237,857 | 3,595 | (0.43) | ||||
New Fortress Energy, Inc. | (6,940) | 192,585 | 7,589 | (0.91) | ||||
New Jersey Resources Corporation | 510 | 17,753 | (847) | 0.10 | ||||
New Relic, Inc. | (3,218) | 230,956 | 22,936 | (2.74) | ||||
New York Community Bancorp, Inc. | 768 | 9,884 | 383 | (0.05) | ||||
New York Times Co. (The) Class A | 5,535 | 272,709 | (6,229) | 0.74 | ||||
Newell Brands, Inc. | (14,955) | 331,104 | 48,595 | (5.81) | ||||
News Corporation Class A | (11,735) | 276,125 | (17,384) | 2.08 | ||||
Nexstar Media Group, Inc. Class A | 2,106 | 320,028 | 16,815 | (2.01) | ||||
NextEra Energy, Inc. | (4,584) | 359,936 | 31,145 | (3.72) | ||||
Nielsen Holdings PLC | (5,386) | 103,357 | 5,867 | (0.70) | ||||
NIKE, Inc. Class B | 984 | 142,906 | (17,567) | 2.10 | ||||
Nordson Corporation | 2,536 | 603,948 | (13,124) | 1.57 | ||||
Nordstrom, Inc. | (4,101) | 108,471 | 2,826 | (0.34) | ||||
Norfolk Southern Corporation | (636) | 152,163 | 5,318 | (0.64) | ||||
Northern Trust Corporation | (3,818) | 411,619 | 23,154 | (2.77) | ||||
Northrop Grumman Corporation | 798 | 287,400 | 3,911 | (0.47) | ||||
NorthWestern Corporation | (608) | 34,838 | 3,988 | (0.48) |
STRATEGIC ALTERNATIVES FUND
SCHEDULE OF INVESTMENTS (Continued)
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
NortonLifeLock, Inc. | (2,866) | $72,510 | $5,602 | (0.67)% | ||||
Norwegian Cruise Line Holdings, Ltd. | (10,591) | 282,886 | (17,644) | 2.11 | ||||
NOV, Inc. | (13,219) | 173,301 | (4,391) | 0.52 | ||||
Novocure, Ltd. | (1,057) | 122,792 | 22,614 | (2.70) | ||||
NRG Energy, Inc. | 3,453 | 140,986 | (11,943) | 1.43 | ||||
Nutanix, Inc. Class A | (1,535) | 57,869 | 8,374 | (1.00) | ||||
NuVasive, Inc. | (2,867) | 171,590 | (2,959) | 0.35 | ||||
nVent Electric PLC | (2,506) | 81,019 | 2,228 | (0.27) | ||||
NVIDIA Corporation | (1,499) | 310,533 | 21,833 | (2.61) | ||||
NVR, Inc. | 2 | 9,588 | (610) | 0.07 | ||||
NXP Semiconductor NV | 2,999 | 587,414 | (42,137) | 5.03 | ||||
Occidental Petroleum Corporation | (6,745) | 199,517 | (23,361) | 2.79 | ||||
OGE Energy Corporation | (9,215) | 303,726 | 23,395 | (2.80) | ||||
Okta, Inc. | (576) | 136,708 | 15,326 | (1.83) | ||||
Old Dominion Freight Line, Inc. | 2,171 | 620,863 | (7,552) | 0.90 | ||||
Olin Corporation | (6,796) | 327,907 | (4,496) | 0.54 | ||||
Omega Healthcare Investors, Inc. REIT | 4,090 | 122,536 | (9,856) | 1.18 | ||||
Omnicom Group, Inc. | 2,629 | 190,497 | 1,702 | (0.20) | ||||
ON Semiconductor Corporation | (620) | 28,377 | (330) | 0.04 | ||||
ONE Gas, Inc. | (2,330) | 147,652 | 17,073 | (2.04) | ||||
OneMain Holdings, Inc. | 2,740 | 151,604 | (3,853) | 0.46 | ||||
ONEOK, Inc. | 1,261 | 73,125 | 7,042 | (0.84) | ||||
Opendoor Technologies, Inc. | (696) | 14,289 | (299) | 0.04 | ||||
Oracle Corporation | 4,485 | 390,778 | (10,852) | 1.30 | ||||
Organon & Co. | 9,790 | 321,014 | (17,882) | 2.14 | ||||
Oshkosh Corporation | 751 | 76,880 | (5,236) | 0.63 | ||||
Otis Worldwide Corporation | 2,325 | 191,301 | (19,088) | 2.28 | ||||
PACCAR, Inc. | 803 | 63,373 | (3,452) | 0.41 | ||||
PacWest Bancorp | (810) | 36,709 | (2,196) | 0.26 | ||||
Palo Alto Networks, Inc. | (489) | 234,231 | (6,120) | 0.73 | ||||
Papa John's International, Inc. | 1,642 | 208,518 | (2,880) | 0.34 | ||||
Park Hotels & Resorts, Inc. REIT | (20,647) | 395,184 | (6,826) | 0.82 | ||||
Parker-Hannifin Corporation | (53) | 14,820 | 445 | (0.05) | ||||
Patterson Cos., Inc. | 3,608 | 108,745 | (7,301) | 0.87 | ||||
Paychex, Inc. | 877 | 98,619 | 980 | (0.12) | ||||
Paylocity Holding Corporation | (194) | 54,398 | (2,599) | 0.31 | ||||
PayPal Holdings, Inc. | (266) | 69,216 | 7,092 | (0.85) | ||||
Pebblebrook Hotel Trust REIT | (12,463) | 279,296 | (7,210) | 0.86 | ||||
Pegasystems, Inc. | (315) | 40,036 | 2,999 | (0.36) | ||||
Peloton Interactive, Inc. Class A | (1,920) | 167,136 | 35,841 | (4.28) | ||||
Penske Automotive Group, Inc. | (307) | 30,884 | (3,415) | 0.41 | ||||
Pentair PLC | 2,873 | 208,666 | (10,280) | 1.23 | ||||
Penumbra, Inc. | (43) | 11,459 | 214 | (0.03) | ||||
PerkinElmer, Inc. | 757 | 131,181 | (10,280) | 1.23 | ||||
PG&E Corporation | (34,422) | 330,451 | (8,005) | 0.96 | ||||
Phillips 66 | (3,318) | 232,360 | (10,750) | 1.28 | ||||
Physicians Realty Trust REIT | 16,213 | 285,673 | (13,976) | 1.67 | ||||
Pinnacle Financial Partners, Inc. | (92) | 8,655 | (86) | 0.01 | ||||
Pinnacle West Capital Corporation | 2,490 | 180,176 | (7,939) | 0.95 | ||||
Pinterest, Inc. Class A | 2,133 | 108,676 | (8,907) | 1.06 | ||||
Planet Fitness, Inc. Class A | (2,280) | 179,094 | 313 | (0.04) | ||||
Plug Power, Inc. | (6,246) | 159,523 | (1,754) | 0.21 | ||||
PNC Financial Services Group, Inc. (The) | (1,065) | 208,357 | (3,585) | 0.43 | ||||
Polaris, Inc. | 1,100 | 131,626 | 3,033 | (0.36) | ||||
Post Holdings, Inc. | (2,287) | 251,936 | (4,582) | 0.55 |
214
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
PotlatchDeltic Corporation REIT | 5,796 | $298,958 | $3,445 | (0.41)% | ||||
Premier, Inc. Class A | (841) | 32,597 | 49 | (0.01) | ||||
Principal Financial Group, Inc. | (3,101) | 199,704 | 710 | (0.09) | ||||
PROG Holdings, Inc. | 370 | 15,544 | (1,084) | 0.13 | ||||
Prologis, Inc. REIT | (813) | 101,975 | 7,040 | (0.84) | ||||
Prosperity Bancshares, Inc. | 4,403 | 313,185 | 16,303 | (1.95) | ||||
PS Business Parks, Inc. REIT | 4,237 | 664,107 | (2,022) | 0.24 | ||||
PTC, Inc. | (611) | 73,192 | 4,641 | (0.55) | ||||
Public Storage REIT | 1,512 | 449,215 | (30,702) | 3.67 | ||||
PulteGroup, Inc. | 2,381 | 109,336 | (5,710) | 0.68 | ||||
PVH Corporation | (1,545) | 158,811 | 12,339 | (1.47) | ||||
Qorvo, Inc. | 478 | 79,917 | (5,635) | 0.67 | ||||
QUALCOMM, Inc. | 2,348 | 302,845 | (28,024) | 3.35 | ||||
Qualys, Inc. | 2,086 | 232,151 | (12,438) | 1.49 | ||||
Quanta Services, Inc. | 1,674 | 190,535 | (1,059) | 0.13 | ||||
QuantumScape Corporation | (6,714) | 164,762 | (21,154) | 2.53 | ||||
Quest Diagnostics, Inc. | 2,477 | 359,933 | (29,865) | 3.57 | ||||
Quidel Corporation | 986 | 139,174 | 54 | (0.01) | ||||
Qurate Retail, Inc. Class A | (12,136) | 123,666 | 3,515 | (0.42) | ||||
R1 RCM, Inc. | (4,389) | 96,602 | (8,522) | 1.02 | ||||
Ralph Lauren Corporation | (1,496) | 166,116 | 3,038 | (0.36) | ||||
Raymond James Financial, Inc. | 1,446 | 133,437 | 892 | (0.11) | ||||
Rayonier, Inc. REIT | 2,546 | 90,841 | (2,072) | 0.25 | ||||
Raytheon Technologies Corporation | (2,244) | 192,894 | (5,167) | 0.62 | ||||
Realty Income Corporation REIT | 2,326 | 150,864 | (10,109) | 1.21 | ||||
Regal Beloit Corporation | 2,062 | 310,001 | 18,236 | (2.18) | ||||
Regency Centers Corporation REIT | 1,840 | 123,887 | (888) | 0.11 | ||||
Regeneron Pharmaceuticals, Inc. | 185 | 111,958 | (7,585) | 0.91 | ||||
Regions Financial Corporation | (2,709) | 57,729 | (3,337) | 0.40 | ||||
Reinsurance Group of America, Inc. | (1,084) | 120,606 | 6,207 | (0.74) | ||||
Repligen Corporation | (428) | 123,688 | 2,427 | (0.29) | ||||
Republic Services, Inc. | 933 | 112,016 | (3,250) | 0.39 | ||||
ResMed, Inc. | 159 | 41,904 | (2,846) | 0.34 | ||||
RH | (101) | 67,358 | 5,865 | (0.70) | ||||
RingCentral, Inc. Class A | (845) | 183,787 | 12,407 | (1.48) | ||||
RLI Corporation | (892) | 89,441 | 4,770 | (0.57) | ||||
Robert Half International, Inc. | 4,625 | 464,026 | (12,169) | 1.45 | ||||
Rockwell Automation, Inc. | 876 | 257,579 | (18,417) | 2.20 | ||||
Roku, Inc. | 51 | 15,981 | (1,282) | 0.15 | ||||
Rollins, Inc. | 9,879 | 349,025 | (32,148) | 3.84 | ||||
Roper Technologies, Inc. | (95) | 42,382 | 3,113 | (0.37) | ||||
Ross Stores, Inc. | (3,899) | 424,406 | 19,918 | (2.38) | ||||
Royal Caribbean Cruises, Ltd. | (3,687) | 327,959 | (26,135) | 3.12 | ||||
Ryder System, Inc. | 3,162 | 261,529 | 19,215 | (2.30) | ||||
S&P Global, Inc. | 311 | 132,141 | (8,257) | 0.99 | ||||
Sabre Corporation | (33,529) | 396,983 | (24,153) | 2.89 | ||||
Sage Therapeutics, Inc. | 2,940 | 130,271 | (808) | 0.10 | ||||
Sailpoint Technologies Holdings, Inc. | (2,874) | 123,237 | 9,825 | (1.17) | ||||
salesforce.com, Inc. | (1,327) | 359,909 | (12,416) | 1.48 | ||||
SBA Communications Corporation REIT | (286) | 94,543 | 4,517 | (0.54) | ||||
Schlumberger NV | 3,628 | 107,534 | 11,400 | (1.36) | ||||
Schneider National, Inc. Class B | 6,913 | 157,202 | 3,716 | (0.44) | ||||
Science Applications International Corporation | (3,034) | 259,589 | (160) | 0.02 | ||||
Seagen, Inc. | 2,191 | 372,032 | 44,245 | (5.29) | ||||
SEI Investments Co. | 7,307 | 433,305 | (6,265) | 0.75 |
STRATEGIC ALTERNATIVES FUND
SCHEDULE OF INVESTMENTS (Continued)
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Sempra Energy | 848 | $107,272 | $(5,278) | 0.63% | ||||
Semtech Corporation | 674 | 52,552 | 2,084 | (0.25) | ||||
Sensata Technologies Holding PLC | (1,788) | 97,839 | 2,357 | (0.28) | ||||
Service Corporation International | 2,825 | 170,235 | (5,584) | 0.67 | ||||
ServiceNow, Inc. | 230 | 143,122 | (6,438) | 0.77 | ||||
Shift4 Payments, Inc. Class A | (2,151) | 166,746 | 6,447 | (0.77) | ||||
Signature Bank | (2,192) | 596,838 | (25,402) | 3.03 | ||||
Silicon Laboratories, Inc. | (583) | 81,713 | 3,463 | (0.41) | ||||
Simon Property Group, Inc. REIT | (1,033) | 134,259 | 915 | (0.11) | ||||
Simpson Manufacturing Co., Inc. | 3,324 | 355,568 | (7,086) | 0.85 | ||||
Sirius XM Holdings, Inc. | 14,230 | 86,803 | 418 | (0.05) | ||||
Six Flags Entertainment Corporation | (2,247) | 95,497 | (3,231) | 0.39 | ||||
Skyworks Solutions, Inc. | (201) | 33,121 | 2,541 | (0.30) | ||||
SL Green Realty Corporation REIT | (5,104) | 361,567 | (9,919) | 1.18 | ||||
Smartsheet, Inc. Class A | 887 | 61,043 | (5,498) | 0.66 | ||||
Snap, Inc. Class A | (2,129) | 157,269 | 2,006 | (0.24) | ||||
Snap-on, Inc. | 778 | 162,563 | (8,857) | 1.06 | ||||
SolarEdge Technologies, Inc. | (1,148) | 304,473 | 12,308 | (1.47) | ||||
Solarwinds Corporation | 3,877 | 64,862 | (1,750) | 0.21 | ||||
Southern Co. (The) | 3,364 | 208,467 | (17,551) | 2.10 | ||||
Southwest Airlines Co. | 3,695 | 190,034 | 8,109 | (0.97) | ||||
Southwest Gas Holdings, Inc. | (5,096) | 340,820 | 18,181 | (2.17) | ||||
Spire, Inc. | 568 | 34,750 | (26) | 0.00 | ||||
Spirit AeroSystems Holdings, Inc. Class A | (5,638) | 249,143 | (30,232) | 3.61 | ||||
Spirit Realty Capital, Inc. REIT | 608 | 27,992 | (2,599) | 0.31 | ||||
Splunk, Inc. | (2,387) | 345,423 | 25,654 | (3.07) | ||||
Square, Inc. Class A | (325) | 77,948 | 3,800 | (0.45) | ||||
STAAR Surgical Co. | 1,061 | 136,370 | (29,111) | 3.48 | ||||
Stanley Black & Decker, Inc. | 88 | 15,427 | (883) | 0.11 | ||||
Starbucks Corporation | 393 | 43,352 | (3,338) | 0.40 | ||||
State Street Corporation | (1,967) | 166,644 | 5,114 | (0.61) | ||||
Stericycle, Inc. | (1,205) | 81,904 | 3,540 | (0.42) | ||||
STERIS PLC | (977) | 199,582 | 8,635 | (1.03) | ||||
Stifel Financial Corporation | 4,022 | 273,335 | (150) | 0.02 | ||||
STORE Capital Corporation REIT | (5,205) | 166,716 | 13,033 | (1.56) | ||||
Strategic Education, Inc. | (450) | 31,725 | 2,612 | (0.31) | ||||
Stryker Corporation | (485) | 127,904 | 6,092 | (0.73) | ||||
Sun Communities, Inc. REIT | (44) | 8,144 | 834 | (0.10) | ||||
Sunrun, Inc. | (4,908) | 215,952 | 2,550 | (0.30) | ||||
SVB Financial Group | (293) | 189,536 | (16,780) | 2.00 | ||||
Switch, Inc. Class A | (4,848) | 123,091 | 3,389 | (0.41) | ||||
Synaptics, Inc. | (434) | 78,003 | 1,790 | (0.21) | ||||
Synchrony Financial | (6,548) | 320,066 | (15,070) | 1.80 | ||||
Syneos Health, Inc. | (1,773) | 155,102 | 12,281 | (1.47) | ||||
SYNNEX Corporation | (1,366) | 142,201 | 24,828 | (2.97) | ||||
Synopsys, Inc. | 532 | 159,286 | (18,182) | 2.17 | ||||
Synovus Financial Corporation | 419 | 18,390 | 1,289 | (0.15) | ||||
Sysco Corporation | (989) | 77,636 | (989) | 0.12 | ||||
T. Rowe Price Group, Inc. | 1,815 | 357,010 | (35,308) | 4.22 | ||||
Take-Two Interactive Software, Inc. | 1,126 | 173,483 | (3,352) | 0.40 | ||||
Tandem Diabetes Care, Inc. | 548 | 65,420 | (3,304) | 0.39 | ||||
Tapestry, Inc. | 2,122 | 78,556 | (7,267) | 0.87 | ||||
Targa Resources Corporation | 2,258 | 111,116 | 11,844 | (1.42) | ||||
Taylor Morrison Home Corporation Class A | (5,835) | 150,426 | 6,705 | (0.80) | ||||
TEGNA, Inc. | 15,226 | 300,257 | 48,733 | (5.82) |
216
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Teladoc Health, Inc. | (1,393) | $176,646 | $21,440 | (2.56)% | ||||
Teledyne Technologies, Inc. | (745) | 320,037 | 8,475 | (1.01) | ||||
Teleflex, Inc. | (840) | 316,302 | 7,073 | (0.85) | ||||
Telephone & Data Systems, Inc. | (5,856) | 114,192 | 1,312 | (0.16) | ||||
Tempur Sealy International, Inc. | 4,798 | 222,675 | (5,063) | 0.60 | ||||
Tenet Healthcare Corporation | (2,806) | 186,431 | 21,796 | (2.60) | ||||
Teradata Corporation | 2,044 | 117,223 | 1,970 | (0.24) | ||||
Teradyne, Inc. | (117) | 12,773 | 1,158 | (0.14) | ||||
Terex Corporation | 340 | 14,314 | (1,437) | 0.17 | ||||
Terminix Global Holdings, Inc. | (3,295) | 137,303 | 10,109 | (1.21) | ||||
Tesla, Inc. | (121) | 93,833 | (2,498) | 0.30 | ||||
Tetra Tech, Inc. | 600 | 89,604 | 254 | (0.03) | ||||
Texas Capital Bancshares, Inc. | (2,425) | 145,549 | (4,976) | 0.59 | ||||
Texas Instruments, Inc. | 1,759 | 338,097 | 6,543 | (0.78) | ||||
Texas Roadhouse, Inc. | (3,955) | 361,210 | 6,951 | (0.83) | ||||
Textron, Inc. | (1,884) | 131,522 | 2,857 | (0.34) | ||||
T-Mobile US, Inc. | (1,629) | 208,121 | 5,988 | (0.72) | ||||
Toll Brothers, Inc. | 2,466 | 136,345 | (14,911) | 1.78 | ||||
TopBuild Corporation | 137 | 28,059 | (2,595) | 0.31 | ||||
Toro Co. (The) | 2,377 | 231,544 | (22,728) | 2.72 | ||||
Trade Desk, Inc. (The) Class A | (182) | 12,795 | 1,098 | (0.13) | ||||
Tradeweb Markets, Inc. Class A | (400) | 32,312 | 2,598 | (0.31) | ||||
Trane Technologies PLC | 111 | 19,164 | (1,645) | 0.20 | ||||
TransDigm Group, Inc. | (346) | 216,101 | (9,176) | 1.10 | ||||
TransUnion | 3,700 | 415,547 | (43,969) | 5.25 | ||||
Travel + Leisure Co. | 942 | 51,367 | 1,624 | (0.19) | ||||
TreeHouse Foods, Inc. | (2,373) | 94,635 | (1,474) | 0.18 | ||||
Trex Co., Inc. | (225) | 22,934 | 2,173 | (0.26) | ||||
Tri Pointe Homes, Inc. | (569) | 11,960 | 597 | (0.07) | ||||
Trinity Industries, Inc. | (13,576) | 368,860 | 21,437 | (2.56) | ||||
TripAdvisor, Inc. | (6,227) | 210,784 | 5,659 | (0.68) | ||||
Truist Financial Corporation | (1,284) | 75,307 | (3,752) | 0.45 | ||||
Twilio, Inc. Class A | (741) | 236,416 | 23,654 | (2.83) | ||||
Twitter, Inc. | (6,463) | 390,301 | 13,365 | (1.60) | ||||
Tyler Technologies, Inc. | (579) | 265,558 | 10,899 | (1.30) | ||||
Tyson Foods, Inc. Class A | 2,773 | 218,901 | 10,529 | (1.26) | ||||
U.S. Bancorp | (898) | 53,377 | (3,665) | 0.44 | ||||
U.S. Foods Holding Corporation | (6,875) | 238,288 | (11,557) | 1.38 | ||||
Uber Technologies, Inc. | (11,053) | 495,174 | (49,201) | 5.88 | ||||
UDR, Inc. REIT | (571) | 30,252 | 330 | (0.04) | ||||
UGI Corporation | 5,607 | 238,970 | (14,466) | 1.73 | ||||
Ultragenyx Pharmaceutical, Inc. | (1,630) | 147,010 | 17,769 | (2.12) | ||||
UMB Financial Corporation | 3,754 | 363,049 | 29,545 | (3.53) | ||||
Under Armour, Inc. Class A | 6,017 | 121,423 | (17,946) | 2.14 | ||||
United Airlines Holdings, Inc. | (4,151) | 197,463 | (1,274) | 0.15 | ||||
United Bankshares, Inc. | (789) | 28,704 | (1,997) | 0.24 | ||||
United Parcel Service, Inc. Class B | 1,176 | 214,150 | (8,150) | 0.97 | ||||
United Rentals, Inc. | (109) | 38,251 | (966) | 0.12 | ||||
United States Steel Corporation | (382) | 8,393 | (14) | 0.00 | ||||
United Therapeutics Corporation | 450 | 83,061 | (11,174) | 1.33 | ||||
UnitedHealth Group, Inc. | (41) | 16,020 | 439 | (0.05) | ||||
Univar Solutions, Inc. | (6,785) | 161,619 | (6,519) | 0.78 | ||||
Universal Display Corporation | 3,488 | 596,308 | (105,214) | 12.57 | ||||
Universal Health Services, Inc. Class B | (3,288) | 454,961 | 37,964 | (4.54) | ||||
Unum Group | (1,955) | 48,992 | 772 | (0.09) |
STRATEGIC ALTERNATIVES FUND
SCHEDULE OF INVESTMENTS (Continued)
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Urban Edge Properties REIT | 3,094 | $56,651 | $694 | (0.08)% | ||||
Urban Outfitters, Inc. | (870) | 25,830 | 2,261 | (0.27) | ||||
UWM Holdings Corporation | 25,413 | 176,620 | (4,086) | 0.49 | ||||
Vail Resorts, Inc. | 185 | 61,799 | 6,365 | (0.76) | ||||
Valero Energy Corporation | (2,507) | 176,919 | (14,726) | 1.76 | ||||
Valley National Bancorp | 4,547 | 60,521 | 4,268 | (0.51) | ||||
Valmont Industries, Inc. | (128) | 30,095 | 784 | (0.09) | ||||
Veeva Systems, Inc. Class A | 756 | 217,857 | (13,603) | 1.63 | ||||
Ventas, Inc. REIT | (12,793) | 706,302 | 6,908 | (0.83) | ||||
VeriSign, Inc. | 1,873 | 383,984 | (31,680) | 3.78 | ||||
Verizon Communications, Inc. | 2,439 | 131,730 | (1,035) | 0.12 | ||||
Vertex Pharmaceuticals, Inc. | 1,821 | 330,311 | (12,238) | 1.46 | ||||
Vertiv Holdings Co. | (1,814) | 43,699 | 1,776 | (0.21) | ||||
VF Corporation | (3,560) | 238,484 | 16,612 | (1.98) | ||||
Viasat, Inc. | (5,848) | 322,049 | (34,454) | 4.12 | ||||
Viatris, Inc. | (23,897) | 323,804 | 14,956 | (1.79) | ||||
Vimeo, Inc. | 3,105 | 91,194 | (29,968) | 3.58 | ||||
Virgin Galactic Holdings, Inc. | (2,770) | 70,081 | 617 | (0.07) | ||||
Virtu Financial, Inc. Class A | 6,949 | 169,764 | 3,387 | (0.40) | ||||
Visa, Inc. Class A | 1,653 | 368,206 | (7,876) | 0.94 | ||||
Visteon Corporation | (135) | 12,743 | 1,036 | (0.12) | ||||
Vistra Corporation | (9,845) | 168,350 | 16,244 | (1.94) | ||||
VMware, Inc. Class A | 705 | 104,833 | 2,243 | (0.27) | ||||
Vornado Realty Trust REIT | (1,469) | 61,713 | (883) | 0.11 | ||||
Voya Financial, Inc. | 1,735 | 106,512 | (4,922) | 0.59 | ||||
Vroom, Inc. | (3,255) | 71,838 | 14,293 | (1.71) | ||||
W.R. Berkley Corporation | (354) | 25,906 | (213) | 0.03 | ||||
W.W. Grainger, Inc. | 907 | 356,505 | (20,962) | 2.50 | ||||
Walgreens Boots Alliance, Inc. | (2,397) | 112,779 | 8,433 | (1.01) | ||||
Walt Disney Co. (The) | (2,155) | 364,561 | 36,061 | (4.31) | ||||
Washington Federal, Inc. | 3,517 | 120,668 | 4,137 | (0.49) | ||||
Waste Connections, Inc. | 93 | 11,711 | (598) | 0.07 | ||||
Waste Management, Inc. | (1,261) | 188,343 | 4,747 | (0.57) | ||||
Waters Corporation | 339 | 121,125 | (21,956) | 2.62 | ||||
Watsco, Inc. | 516 | 136,544 | (9,242) | 1.10 | ||||
Wayfair, Inc. Class A | (31) | 7,921 | 594 | (0.07) | ||||
Webster Financial Corporation | (2,231) | 121,500 | (11,716) | 1.40 | ||||
WEC Energy Group, Inc. | 294 | 25,931 | (637) | 0.08 | ||||
Wells Fargo & Co. | 17,062 | 791,847 | 34,895 | (4.17) | ||||
Welltower, Inc. REIT | (6,933) | 571,279 | 25,702 | (3.07) | ||||
Wendy's Co. (The) | 12,827 | 278,089 | (13,115) | 1.57 | ||||
Werner Enterprises, Inc. | 2,159 | 95,579 | (6,035) | 0.72 | ||||
West Pharmaceutical Services, Inc. | 308 | 130,758 | (11,319) | 1.35 | ||||
Western Alliance Bancorp | 6,459 | 702,868 | 75,696 | (9.04) | ||||
Western Digital Corporation | (1,821) | 102,777 | 4,185 | (0.50) | ||||
Westinghouse Air Brake Technologies Corporation | (7,108) | 612,781 | 21,943 | (2.62) | ||||
Westrock Co. | (2,645) | 131,800 | 5,153 | (0.62) | ||||
WEX, Inc. | (1,832) | 322,688 | (4,334) | 0.52 | ||||
Weyerhaeuser Co. REIT | 3,337 | 118,697 | 3,115 | (0.37) | ||||
Whirlpool Corporation | 914 | 186,328 | (10,971) | 1.31 | ||||
Williams Cos., Inc. (The) | 673 | 17,458 | 2,046 | (0.24) | ||||
Wingstop, Inc. | 1,447 | 237,207 | (24,208) | 2.89 | ||||
Wintrust Financial Corporation | 620 | 49,829 | 3,659 | (0.44) | ||||
Woodward, Inc. | 3,235 | 366,202 | (19,096) | 2.28 | ||||
Workday, Inc. Class A | 883 | 220,653 | (17,783) | 2.12 |
218
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
World Fuel Services Corporation | 8,243 | $277,130 | $12,228 | (1.46)% | ||||
World Wrestling Entertainment, Inc. Class A | 2,832 | 159,328 | 18,006 | (2.15) | ||||
Worthington Industries, Inc. | (574) | 30,250 | 423 | (0.05) | ||||
WP Carey, Inc. REIT | 1,349 | 98,531 | (4,636) | 0.55 | ||||
WW International, Inc. | (2,695) | 49,184 | 7,427 | (0.89) | ||||
Wyndham Hotels & Resorts, Inc. | 5,006 | 386,413 | 29,346 | (3.51) | ||||
Xcel Energy, Inc. | (1,705) | 106,562 | 10,139 | (1.21) | ||||
Xerox Holdings Corporation | (10,873) | 219,308 | 8,086 | (0.97) | ||||
XPO Logistics, Inc. | (1,114) | 88,652 | 5,826 | (0.70) | ||||
Xylem, Inc. | (240) | 29,683 | 2,336 | (0.28) | ||||
Yelp, Inc. | 4,058 | 151,120 | 3,433 | (0.41) | ||||
YETI Holdings, Inc. | 2,801 | 240,018 | (38,824) | 4.64 | ||||
Yum! Brands, Inc. | 1,853 | 226,640 | (12,886) | 1.54 | ||||
Zillow Group, Inc. Class C | (2,410) | 212,417 | 10,704 | (1.28) | ||||
Zimmer Biomet Holdings, Inc. | (2,184) | 319,650 | (4,946) | 0.59 | ||||
Zions Bancorp NA | 3,227 | 199,719 | 13,953 | (1.67) | ||||
Zoetis, Inc. | 2,322 | 450,793 | (26,921) | 3.22 | ||||
Zoom Video Communications, Inc. Class A | 452 | 118,198 | (14,653) | 1.75 | ||||
Zscaler, Inc. | (107) | 28,058 | 1,925 | (0.23) | ||||
Zynga, Inc. Class A | (1,987) | 14,962 | 1,490 | (0.18) | ||||
$157,315,312 | $(837,004) | 100.00% |
For the Fund’s Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at June 30, 2021, see Notes to Financial Statements in the Fund’s Semi-Annual Report.
See the Notes to Schedules of Investments in the June 30, 2021 GuideStone Funds' Semi-Annual Report to shareholders for more information. The Notes also contain Derivative Holdings Categorized by Risk Exposure by Fund as of June 30, 2021, the average balance of derivative holdings by Fund during the period ended June 30, 2021, and the market values of loaned securities and collateral received for each of the Select Funds.
220