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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-10263 |
GuideStone Funds
(Exact name of registrant as specified in charter) |
2401 Cedar Springs Road
Dallas, TX 75201-1407
(Address of principal executive offices) (Zip code)
Rodney R. Miller, Esq.
GuideStone Financial Resources of the Southern Baptist Convention
2401 Cedar Springs Road
Dallas, TX 75201-1407
(Name and address of agent for service) |
Registrant’s telephone number, including area code: 214-720-2142
Date of fiscal year end: December 31
Date of reporting period: June 30, 2010
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
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Item 1. | Reports to Stockholders. |
The Report to Shareholders is attached herewith.
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GuideStone Funds
Privacy Notice
NOTICE CONCERNING YOUR PRIVACY RIGHTS
This notice will provide you with information concerning our policies with respect to nonpublic personal information that we collect about you in connection with the following financial products and services provided and/or serviced by the entities listed below: individual retirement accounts ( “IRAs”) and/or personal mutual fund accounts.
The confidentiality of your information is important to us as we recognize that you depend on us to keep your information confidential, as described in this notice.
We collect nonpublic personal information about you with regard to your IRA and/or personal mutual fund accounts from the following sources:
• | Information we receive from you on applications or other forms; |
• | Information about your transactions with us, our affiliates or others (including our third party service providers); |
• | Information we receive from others such as service providers, broker-dealers and your personal agents or representatives; and |
• | Information you and others provide to us in correspondence sent to us, whether written, electronic or by telephone. |
We may disclose such nonpublic personal financial information about you to one or more of our affiliates as permitted by law. An affiliate of an organization means any entity that controls, is controlled by or is under common control with that organization. GuideStone Funds, GuideStone Financial Resources of the Southern Baptist Convention (“GuideStone Financial Resources”), GuideStone Capital Management (“GSCM”), GuideStone Trust Services (“GSTS”), GuideStone Financial Services (“GFS”) and GuideStone Advisors (“GA”) are affiliates of one another. GuideStone Funds, GuideStone Financial Resources, GSCM, GSTS, GFS, GA and BNY Mellon Distributors Inc. do not sell your personal information to nonaffiliated third parties.
We may also disclose any of the personal information that we collect about you to nonaffiliated third parties as permitted by law. For example, we may provide your information to nonaffiliated companies that provide account services or that perform marketing services on our behalf and to other financial institutions with whom we have joint marketing agreements. We restrict access to nonpublic personal information about you to those of our employees who need to know that information in order for us to provide and/or service products or services to you. We also maintain physical, electronic and procedural safeguards to guard your personal information.
These procedures will continue to remain in effect after you cease to receive financial products and services from us.
If you have any questions concerning our customer information policy, please contact a customer relations specialist at
1-888-98-GUIDE (1-888-984-8433).
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2 | ||
3 | ||
4 | ||
Date Target Funds: | ||
7 | ||
8 | ||
9 | ||
10 | ||
11 | ||
12 | ||
Asset Allocation Funds: | ||
17 | ||
18 | ||
19 | ||
20 | ||
22 | ||
27 | ||
28 | ||
29 | ||
30 | ||
32 | ||
Select Funds: | ||
37 | ||
40 | ||
53 | ||
72 | ||
77 | ||
78 | ||
88 | ||
94 | ||
96 | ||
100 | ||
103 | ||
114 | ||
127 | ||
129 | ||
142 | ||
191 |
This report has been prepared for shareholders of GuideStone Funds. It is not authorized for distribution to prospective investors unless accompanied or preceded by a current prospectus, which contains more complete information about the Funds. Investors are reminded to read the prospectus carefully before investing. Past performance is no guarantee of future results. Share prices will fluctuate and there may be a gain or loss when shares are redeemed. Fund shares are distributed by BNY Mellon Distributors Inc., 760 Moore Rd., King of Prussia, PA 19406.
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Dear Shareholders:
We are pleased to present you with the GuideStone Funds semi-annual report for the period ended June 30, 2010.
The financial markets have continued to experience volatility amid diminished stimulus funding and increased reliance on the private sector to promote and sustain economic growth. During these challenging and uncertain times, we remain committed to delivering competitive performance for our investors. All of the GuideStone Funds posted positive year-to-date returns with the exception of two equity funds.
Recent changes impacting GuideStone Funds include:
• | Money Market Fund Reform: In January 2010, the U.S. Securities and Exchange Commission adopted amendments to tighten certain requirements for money market funds in an effort to improve how these funds adapt to economic stresses. The new regulations also mandate more frequent and detailed disclosures to allow investors to better assess the risk profile of a money market fund. Beginning this October, we will disclose the portfolio holdings of the GuideStone Funds Money Market Fund on our website each month. |
• | Acquisition of Fund Accountant and Administrator, Transfer Agent and Distributor: On July 1, 2010, The Bank of New York Mellon Corporation completed the purchase of PNC Global Investment Servicing Inc. and its subsidiaries. As a result, PNC Global Investment Servicing (U.S.) Inc. and PFPC Distributors, Inc. now provide services to GuideStone Funds as BNY Mellon Investment Servicing (US) Inc. and BNY Mellon Distributors Inc., respectively. |
We appreciate your ongoing confidence and invite you to contact us at 1-888-98-GUIDE (1-888-984-8433) or visit our website at www.GuideStoneFunds.org. Thank you for choosing to invest in GuideStone Funds, and we look forward to continuing to serve you.
Sincerely,
John R. Jones, CFA
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FROM THE CHIEF INVESTMENT OFFICER
| Following a strong rebound from the depths of the financial crisis almost one year ago, risk assets were quick to retreat at the first sign of alarm as global equity markets gave way to a steady stream of negative headlines during the 2nd quarter. While economic growth remains positive, investors are finding it more and more difficult to clearly identify future economic drivers in the wake of global governmental fiscal and monetary stimulus reductions. The prospects for strong growth in world trade are being dampened by China’s efforts to slow its growth rate and the Eurozone’s sovereign debt crisis which may have significant implications for the future growth of many European countries. In the U.S., economic growth appears to be moderating as the consumer, the largest segment of the economy, remains burdened under the weight of debt and the lack of job growth. | |
Rodric E. Cummins, CFA |
As has been written here before, the real test as to the sustainability of economic growth will hinge on the successful transition from a stimulus-driven rebound to a self-sustaining expansion driven by the natural function of the financial system to facilitate capital creation and foster economic growth. It is a transition that is now underway and one that promises to be filled with optimism and fear, and most certainly fueling a continued volatile market environment.
All major global equity markets declined during the quarter. U.S. stocks, as represented by the S&P 500® Index, posted a return of -11.43% during the period, but still managing to post a very respectable 12-month return of 14.43%. International developed stock markets, as measured by the MSCI EAFE Index, returned -13.97% for the quarter. Bolstered by strong performance of U.S. Treasury securities, bonds posted solid gains during the 2nd quarter as the Barclays U.S. Aggregate Bond Index returned 3.49%.
(1) | The S&P 500® Index includes 500 of the largest stocks (in terms of market value) in the United States. |
(2) | The Russell 2000® Index is a small-cap index consisting of the smallest 2,000 companies in the Russell 3000® Index, representing approximately 10% of the Russell 3000® Index total market capitalization. |
(3) | The MSCI ACWI (All Country World Index) Ex-U.S. Index is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global developed and emerging markets excluding the United States. |
(4) | The Barclays Capital U.S. Aggregate Bond Index represents securities that are SEC-registered, taxable and dollar denominated. The index covers the U.S. investment grade bond market, with index components for government and corporate securities, mortgage pass-through securities and asset-backed securities. |
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About Your Expenses (Unaudited)
As a shareholder of the Funds, you incur ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) fees and/or shareholder services fees, as well as other Fund expenses. This example is intended to help you to understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2010 to June 30, 2010.
Actual Expenses
The first section of the table below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you incurred over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses attributable to your investment during this period.
Hypothetical Example for Comparison Purposes
The second section of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. Thus, you should not use the hypothetical account values and expenses to estimate the actual ending account balance or your expenses for the period. Rather, these figures are provided to enable you to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only. Therefore, the second section of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds.
ACTUAL
Fund | Class | Beginning Account Value 01/01/2010 | Ending Account Value 06/30/2010 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||||||
MyDestination 2005 | GS4 | $ | 1,000.00 | $ | 990.95 | 0.20 | % | $ | 0.99 | |||||
MyDestination 2015 | GS4 | 1,000.00 | 973.87 | 0.15 | 0.73 | |||||||||
MyDestination 2025 | GS4 | 1,000.00 | 958.13 | 0.20 | 0.97 | |||||||||
MyDestination 2035 | GS4 | 1,000.00 | 937.50 | 0.20 | 0.96 | |||||||||
MyDestination 2045 | GS4 | 1,000.00 | 929.54 | 0.20 | 0.96 | |||||||||
Conservative Allocation | GS4 | 1,000.00 | 1,001.75 | 0.12 | 0.60 | |||||||||
Balanced Allocation | GS4 | 1,000.00 | 982.95 | 0.12 | 0.59 | |||||||||
Growth Allocation | GS4 | 1,000.00 | 948.69 | 0.12 | 0.58 | |||||||||
Aggressive Allocation | GS4 | 1,000.00 | 914.67 | 0.12 | 0.57 | |||||||||
Conservative Allocation I | GS2 | 1,000.00 | 1,002.21 | 0.15 | 0.74 | |||||||||
Balanced Allocation I | GS2 | 1,000.00 | 984.44 | 0.13 | 0.64 | |||||||||
Growth Allocation I | GS2 | 1,000.00 | 949.62 | 0.14 | 0.68 | |||||||||
Aggressive Allocation I | GS2 | 1,000.00 | 915.31 | 0.15 | 0.71 | |||||||||
Money Market | GS2 | 1,000.00 | 1,000.56 | 0.18 | 0.89 | |||||||||
GS4 | 1,000.00 | 1,000.06 | 0.28 | 1.40 | ||||||||||
Low-Duration Bond | GS2 | 1,000.00 | 1,030.00 | 0.36 | 1.81 | |||||||||
GS4 | 1,000.00 | 1,029.20 | 0.52 | 2.62 | ||||||||||
Medium-Duration Bond | GS2 | 1,000.00 | 1,064.00 | 0.48 | 2.46 | |||||||||
GS4 | 1,000.00 | 1,063.70 | 0.58 | 2.97 |
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ACTUAL
Fund | Class | Beginning Account Value 01/01/2010 | Ending Account Value 06/30/2010 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||||||
Extended-Duration Bond | GS2 | $ | 1,000.00 | $ | 1,080.73 | 0.52 | % | $ | 2.68 | |||||
GS4 | 1,000.00 | 1,079.74 | 0.69 | 3.56 | ||||||||||
Inflation Protected Bond | GS4 | 1,000.00 | 1,042.74 | 0.66 | 0.09 | |||||||||
Global Bond | GS4 | 1,000.00 | 1,034.79 | 0.78 | 3.94 | |||||||||
Equity Index | GS2 | 1,000.00 | 932.41 | 0.22 | 1.04 | |||||||||
GS4 | 1,000.00 | 931.41 | 0.37 | 1.77 | ||||||||||
Real Estate Securities | GS4 | 1,000.00 | 1,045.46 | 1.19 | 6.02 | |||||||||
Value Equity | GS2 | 1,000.00 | 930.29 | 0.67 | 3.23 | |||||||||
GS4 | 1,000.00 | 928.98 | 0.85 | 4.07 | ||||||||||
Growth Equity | GS2 | 1,000.00 | 918.19 | 0.88 | 4.19 | |||||||||
GS4 | 1,000.00 | 917.62 | 0.97 | 4.61 | ||||||||||
Small Cap Equity | GS2 | 1,000.00 | 984.20 | 1.00 | 4.93 | |||||||||
GS4 | 1,000.00 | 983.29 | 1.15 | 5.66 | ||||||||||
International Equity | GS2 | 1,000.00 | 880.70 | 0.94 | 4.38 | |||||||||
GS4 | 1,000.00 | 879.42 | 1.12 | 5.22 | ||||||||||
HYPOTHETICAL (assuming a 5% return before expenses)
| ||||||||||||||
Fund | Class | Beginning Account Value 01/01/2010 | Ending Account Value 06/30/2010 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||||||
MyDestination 2005 | GS4 | $ | 1,000.00 | $ | 1,023.80 | 0.20 | % | $ | 1.00 | |||||
MyDestination 2015 | GS4 | 1,000.00 | 1,024.05 | 0.15 | 0.75 | |||||||||
MyDestination 2025 | GS4 | 1,000.00 | 1,023.80 | 0.20 | 1.00 | |||||||||
MyDestination 2035 | GS4 | 1,000.00 | 1,023.95 | 0.20 | 1.00 | |||||||||
MyDestination 2045 | GS4 | 1,000.00 | 1,024.28 | 0.20 | 1.00 | |||||||||
Conservative Allocation | GS4 | 1,000.00 | 1,024.20 | 0.12 | 0.60 | |||||||||
Balanced Allocation | GS4 | 1,000.00 | 1,024.20 | 0.12 | 0.60 | |||||||||
Growth Allocation | GS4 | 1,000.00 | 1,024.20 | 0.12 | 0.60 | |||||||||
Aggressive Allocation | GS4 | 1,000.00 | 1,024.20 | 0.12 | 0.60 | |||||||||
Conservative Allocation I | GS2 | 1,000.00 | 1,024.05 | 0.15 | 0.75 | |||||||||
Balanced Allocation I | GS2 | 1,000.00 | 1,024.15 | 0.13 | 0.65 | |||||||||
Growth Allocation I | GS2 | 1,000.00 | 1,024.10 | 0.14 | 0.70 | |||||||||
Aggressive Allocation I | GS2 | 1,000.00 | 1,024.05 | 0.15 | 0.75 | |||||||||
Money Market | GS2 | 1,000.00 | 1,023.90 | 0.18 | 0.90 | |||||||||
GS4 | 1,000.00 | 1,023.86 | 0.28 | 1.42 | ||||||||||
Low-Duration Bond | GS2 | 1,000.00 | 1,023.06 | 0.36 | 1.81 | |||||||||
GS4 | 1,000.00 | 1,022.22 | 0.52 | 2.61 | ||||||||||
Medium-Duration Bond | GS2 | 1,000.00 | 1,022.41 | 0.48 | 2.41 | |||||||||
GS4 | 1,000.00 | 1,021.92 | 0.58 | 2.91 | ||||||||||
Extended-Duration Bond | GS2 | 1,000.00 | 1,022.22 | 0.52 | 2.61 | |||||||||
GS4 | 1,000.00 | 1,021.37 | 0.69 | 3.46 | ||||||||||
Inflation Protected Bond | GS4 | 1,000.00 | 1,021.50 | 0.66 | 0.09 | |||||||||
Global Bond | GS4 | 1,000.00 | 1,020.92 | 0.78 | 3.91 | |||||||||
Equity Index | GS2 | 1,000.00 | 1,023.72 | 0.22 | 1.08 | |||||||||
GS4 | 1,000.00 | 1,022.96 | 0.37 | 1.86 |
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About Your Expenses (Unaudited) (Continued)
HYPOTHETICAL (assuming a 5% return before expenses)
Fund | Class | Beginning Account Value 01/01/2010 | Ending Account Value 06/30/2010 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||||||
Real Estate Securities | GS4 | $ | 1,000.00 | $ | 1,018.91 | 1.19 | % | $ | 5.94 | |||||
Value Equity | GS2 | 1,000.00 | 1,021.45 | 0.67 | 3.38 | |||||||||
GS4 | 1,000.00 | 1,020.58 | 0.85 | 4.26 | ||||||||||
Growth Equity | GS2 | 1,000.00 | 1,020.43 | 0.88 | 4.41 | |||||||||
GS4 | 1,000.00 | 1,019.98 | 0.97 | 4.86 | ||||||||||
Small Cap Equity | GS2 | 1,000.00 | 1,019.83 | 1.00 | 5.02 | |||||||||
GS4 | 1,000.00 | 1,019.09 | 1.15 | 5.76 | ||||||||||
International Equity | GS2 | 1,000.00 | 1,020.13 | 0.94 | 4.71 | |||||||||
GS4 | 1,000.00 | 1,019.24 | 1.12 | 5.61 |
(1) | Expenses include the effect of contractual waivers by GuideStone Capital Management. The Date Target Funds’ and Asset Allocation Funds’ proportionate share of the operating expenses of the Select Funds is not reflected in the tables above. |
(2) | Expenses are equal to the Fund’s annualized expense ratios for the period January 1, 2010, through June 30, 2010, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
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SCHEDULE OF INVESTMENTS | June 30, 2010 (Unaudited) |
Shares | Value | ||||||
MUTUAL FUNDS — 100.3% | |||||||
GuideStone Money Market Fund (GS4 Class)¥ | 782,307 | $ | 782,307 | ||||
GuideStone Low-Duration Bond Fund (GS4 Class)¥ | 981,780 | 13,038,040 | |||||
GuideStone Medium-Duration Bond Fund (GS4 Class)¥ | 805,926 | 11,266,850 | |||||
GuideStone Extended-Duration Bond Fund (GS4 Class)¥ | 19,411 | 314,258 | |||||
GuideStone Inflation Protected Bond Fund (GS4 Class)¥ | 869,602 | 9,217,785 | |||||
GuideStone Global Bond Fund (GS4 Class)¥ | 82,580 | 777,902 | |||||
GuideStone Equity Index Fund (GS4 Class)¥ | 100,332 | 1,342,439 | |||||
GuideStone Real Estate Securities Fund (GS4 Class)¥ | 277,328 | 1,935,751 | |||||
GuideStone Value Equity Fund (GS4 Class)¥ | 605,647 | 6,970,998 | |||||
GuideStone Growth Equity Fund (GS4 Class)¥ | 487,155 | 7,097,844 | |||||
GuideStone Small Cap Equity Fund (GS4 Class)¥ | 169,524 | 1,895,277 | |||||
GuideStone International Equity Fund (GS4 Class)¥ | 677,395 | 7,410,704 | |||||
Total Mutual Funds | 62,050,155 | ||||||
TOTAL INVESTMENTS — 100.3% | 62,050,155 | ||||||
Liabilities in Excess of Other Assets — (0.3)% | (210,743 | ) | |||||
NET ASSETS — 100.0% | $ | 61,839,412 | |||||
_____________ Please see abbreviation and footnote definitions on page 127.
PORTFOLIO SUMMARY (based on net assets)
| |||||||
% | |||||||
Bond Funds | 55.9 | ||||||
Domestic Equity Funds | 31.1 | ||||||
International Equity Fund | 12.0 | ||||||
Money Market Fund | 1.3 | ||||||
100.3 | |||||||
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2010, in valuing the Fund’s investments carried at fair value:
|
| ||||||
Valuation Inputs | Investments in Securities | Other Financial Instruments*** | |||||
Level 1 — Quoted Prices | |||||||
Mutual Funds | $ | 62,050,155 | $ | — | |||
Level 2 — Other Significant Observable Inputs | — | — | |||||
Level 3 — Significant Unobservable Inputs | — | — | |||||
Total | $ | 62,050,155 | $ | — | |||
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
See Notes to Financial Statements.
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SCHEDULE OF INVESTMENTS | June 30, 2010 (Unaudited) |
Shares | Value | ||||||
MUTUAL FUNDS — 99.5% | |||||||
GuideStone Money Market Fund (GS4 Class)¥ | 2,714,728 | $ | 2,714,728 | ||||
GuideStone Low-Duration Bond Fund (GS4 Class)¥ | 1,217,500 | 16,168,405 | |||||
GuideStone Medium-Duration Bond Fund (GS4 Class)¥ | 1,896,647 | 26,515,131 | |||||
GuideStone Extended-Duration Bond Fund (GS4 Class)¥ | 626,107 | 10,136,674 | |||||
GuideStone Inflation Protected Bond Fund (GS4 Class)¥ | 2,228,245 | 23,619,399 | |||||
GuideStone Global Bond Fund (GS4 Class)¥ | 1,166,467 | 10,988,117 | |||||
GuideStone Equity Index Fund (GS4 Class)¥ | 471,444 | 6,307,926 | |||||
GuideStone Real Estate Securities Fund (GS4 Class)¥ | 1,864,051 | 13,011,075 | |||||
GuideStone Value Equity Fund (GS4 Class)¥ | 3,026,847 | 34,839,006 | |||||
GuideStone Growth Equity Fund (GS4 Class)¥ | 2,415,298 | 35,190,886 | |||||
GuideStone Small Cap Equity Fund (GS4 Class)¥ | 893,783 | 9,992,489 | |||||
GuideStone International Equity Fund (GS4 Class)¥ | 3,387,710 | 37,061,542 | |||||
Total Mutual Funds | 226,545,378 | ||||||
Par | |||||||
U.S. TREASURY OBLIGATIONS — 0.8% | |||||||
U.S. Treasury Bill 0.20%, 11/18/10‡‡ | $ | 245,000 | 244,833 | ||||
U.S. Treasury Note 2.38%, 03/31/16 | 1,615,000 | 1,639,099 | |||||
Total U.S. Treasury Obligations | 1,883,932 | ||||||
TOTAL INVESTMENTS — 100.3% | 228,429,310 | ||||||
Liabilities in Excess of Other Assets — (0.3)% | (666,628 | ) | |||||
NET ASSETS — 100.0% | $ | 227,762,682 | |||||
Please see abbreviation and footnote definitions on page 127.
PORTFOLIO SUMMARY (based on net assets)
|
| ||||||
% | |||||||
Domestic Equity Funds | 43.6 | ||||||
Bond Funds | 38.4 | ||||||
International Equity Fund | 16.3 | ||||||
Futures Contracts | 1.2 | ||||||
Money Market Fund | 1.2 | ||||||
U.S. Treasury Obligations | 0.8 | ||||||
101.5 | |||||||
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2010, in valuing the Fund’s investments carried at fair value:
|
| ||||||
Valuation Inputs | Investments in Securities | Other Financial Instruments*** | |||||
Level 1 — Quoted Prices | |||||||
Futures Contracts | $ | — | $ | (105,929 | ) | ||
Mutual Funds | 226,545,378 | — | |||||
Level 2 — Other Significant Observable Inputs | |||||||
U.S. Treasury Obligations | 1,883,932 | — | |||||
Level 3 — Significant Unobservable Inputs | — | — | |||||
Total | $ | 228,429,310 | $ | (105,929 | ) | ||
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
See Notes to Financial Statements.
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SCHEDULE OF INVESTMENTS | June 30, 2010 (Unaudited) |
Shares | Value | ||||||
MUTUAL FUNDS — 99.5% | |||||||
GuideStone Money Market Fund (GS4 Class)¥ | 1,841,404 | $ | 1,841,404 | ||||
GuideStone Low-Duration Bond Fund (GS4 Class)¥ | 57,794 | 767,508 | |||||
GuideStone Medium-Duration Bond Fund (GS4 Class)¥ | 1,002,355 | 14,012,918 | |||||
GuideStone Extended-Duration Bond Fund (GS4 Class)¥ | 834,876 | 13,516,645 | |||||
GuideStone Inflation Protected Bond Fund (GS4 Class)¥ | 72,417 | 767,615 | |||||
GuideStone Global Bond Fund (GS4 Class)¥ | 1,396,296 | 13,153,105 | |||||
GuideStone Equity Index Fund (GS4 Class)¥ | 434,104 | 5,808,318 | |||||
GuideStone Real Estate Securities Fund (GS4 Class)¥ | 1,687,072 | 11,775,763 | |||||
GuideStone Value Equity Fund (GS4 Class)¥ | 2,904,801 | 33,434,265 | |||||
GuideStone Growth Equity Fund (GS4 Class)¥ | 2,293,837 | 33,421,205 | |||||
GuideStone Small Cap Equity Fund (GS4 Class)¥ | 1,027,459 | 11,486,992 | |||||
GuideStone International Equity Fund (GS4 Class)¥ | 3,362,039 | 36,780,709 | |||||
Total Mutual Funds | 176,766,447 | ||||||
Par | |||||||
U.S. TREASURY OBLIGATIONS — 0.5% | |||||||
U.S. Treasury Bill 0.20%, 11/18/10‡‡ | $ | 255,000 | 254,826 | ||||
U.S. Treasury Note 4.25%, 11/15/17 | 530,000 | 595,380 | |||||
Total U.S. Treasury Obligations | 850,206 | ||||||
TOTAL INVESTMENTS — 100.0% | 177,616,653 | ||||||
Other Assets in Excess of Liabilities — 0.0% | 31,750 | ||||||
NET ASSETS — 100.0% | $ | 177,648,403 | |||||
Please see abbreviation and footnote definitions on page 127.
PORTFOLIO SUMMARY (based on net assets)
|
| ||||||
% | |||||||
Domestic Equity Funds | 54.0 | ||||||
Bond Funds | 23.8 | ||||||
International Equity Fund | 20.7 | ||||||
Futures Contracts | 1.2 | ||||||
Money Market Fund | 1.0 | ||||||
U.S. Treasury Obligations | 0.5 | ||||||
101.2 | |||||||
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2010, in valuing the Fund’s investments carried at fair value:
|
| ||||||
Valuation Inputs | Investments in Securities | Other Financial Instruments*** | |||||
Level 1 — Quoted Prices | |||||||
Futures Contracts | $ | — | $ | (90,396 | ) | ||
Mutual Funds | 176,766,447 | — | |||||
Level 2 — Other Significant Observable Inputs | |||||||
U.S. Treasury Obligations | 850,206 | — | |||||
Level 3 — Significant Unobservable Inputs | — | — | |||||
Total | $ | 177,616,653 | $ | (90,396 | ) | ||
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
See Notes to Financial Statements.
9
Table of Contents
SCHEDULE OF INVESTMENTS | June 30, 2010 (Unaudited) |
Shares | Value | ||||||
MUTUAL FUNDS — 99.6% | |||||||
GuideStone Money Market Fund (GS4 Class)¥ | 1,433,268 | $ | 1,433,268 | ||||
GuideStone Medium-Duration Bond Fund (GS4 Class)¥ | 130,438 | 1,823,526 | |||||
GuideStone Extended-Duration Bond Fund (GS4 Class)¥ | 115,654 | 1,872,434 | |||||
GuideStone Global Bond Fund (GS4 Class)¥ | 379,675 | 3,576,536 | |||||
GuideStone Equity Index Fund (GS4 Class)¥ | 220,489 | 2,950,137 | |||||
GuideStone Real Estate Securities Fund (GS4 Class)¥ | 774,420 | 5,405,449 | |||||
GuideStone Value Equity Fund (GS4 Class)¥ | 1,503,515 | 17,305,458 | |||||
GuideStone Growth Equity Fund (GS4 Class)¥ | 1,178,847 | 17,175,799 | |||||
GuideStone Small Cap Equity Fund (GS4 Class)¥ | 606,712 | 6,783,037 | |||||
GuideStone International Equity Fund (GS4 Class)¥ | 1,784,829 | 19,526,026 | |||||
Total Mutual Funds | 77,851,670 | ||||||
Par | |||||||
U.S. TREASURY OBLIGATIONS — 0.4% | |||||||
U.S. Treasury Bill 0.20%, 11/18/10‡‡ | $ | 170,000 | 169,884 | ||||
U.S. Treasury Note 4.25%, 11/15/17 | 115,000 | 129,186 | |||||
Total U.S. Treasury Obligations | 299,070 | ||||||
TOTAL INVESTMENTS — 100.0% | 78,150,740 | ||||||
Other Assets in Excess of Liabilities — 0.0% | 15,611 | ||||||
NET ASSETS — 100.0% | $ | 78,166,351 | |||||
Please see abbreviation and footnote definitions on page 127.
PORTFOLIO SUMMARY (based on net assets)
| |||||||
% | |||||||
Domestic Equity Funds | 63.5 | ||||||
International Equity Fund | 25.0 | ||||||
Bond Funds | 9.3 | ||||||
Futures Contracts | 2.0 | ||||||
Money Market Fund | 1.8 | ||||||
U.S. Treasury Obligations | 0.4 | ||||||
102.0 | |||||||
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2010, in valuing the Fund’s investments carried at fair value:
|
| ||||||
Valuation Inputs | Investments in Securities | Other Financial Instruments*** | |||||
Level 1 — Quoted Prices | |||||||
Futures Contracts | $ | — | $ | (66,752 | ) | ||
Mutual Funds | 77,851,670 | — | |||||
Level 2 — Other Significant Observable Inputs | |||||||
U.S. Treasury Obligations | 299,070 | — | |||||
Level 3 — Significant Unobservable Inputs | — | — | |||||
Total | $ | 78,150,740 | $ | (66,752 | ) | ||
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
See Notes to Financial Statements.
10
Table of Contents
SCHEDULE OF INVESTMENTS | June 30, 2010 (Unaudited) |
Shares | Value | ||||||
MUTUAL FUNDS — 100.3% | |||||||
GuideStone Money Market Fund (GS4 Class)¥ | 1,551,240 | $ | 1,551,240 | ||||
GuideStone Equity Index Fund (GS4 Class)¥ | 183,245 | 2,451,815 | |||||
GuideStone Real Estate Securities Fund (GS4 Class)¥ | 701,284 | 4,894,964 | |||||
GuideStone Value Equity Fund (GS4 Class)¥ | 1,016,942 | 11,705,006 | |||||
GuideStone Growth Equity Fund (GS4 Class)¥ | 803,078 | 11,700,846 | |||||
GuideStone Small Cap Equity Fund (GS4 Class)¥ | 438,412 | 4,901,446 | |||||
GuideStone International Equity Fund (GS4 Class)¥ | 1,230,370 | 13,460,247 | |||||
Total Mutual Funds | 50,665,564 | ||||||
Par | |||||||
U.S. TREASURY OBLIGATIONS — 0.3% | |||||||
U.S. Treasury Bills | |||||||
0.15%, 11/18/10‡‡ | $ | 5,000 | 4,997 | ||||
0.20%, 11/18/10‡‡ | 155,000 | 154,894 | |||||
Total U.S. Treasury Obligations | 159,891 | ||||||
TOTAL INVESTMENTS — 100.6% | 50,825,455 | ||||||
Liabilities in Excess of Other Assets — (0.6)% | (294,788 | ) | |||||
NET ASSETS — 100.0% | $ | 50,530,667 | |||||
Please see abbreviation and footnote definitions on page 127.
PORTFOLIO SUMMARY (based on net assets)
| |||||||
% | |||||||
Domestic Equity Funds | 70.6 | ||||||
International Equity Fund | 26.6 | ||||||
Money Market Fund | 3.1 | ||||||
Futures Contracts | 2.6 | ||||||
U.S. Treasury Obligations | 0.3 | ||||||
103.2 | |||||||
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2010, in valuing the Fund’s investments carried at fair value:
|
| ||||||
Valuation Inputs | Investments in Securities | Other Financial Instruments*** | |||||
Level 1 — Quoted Prices | |||||||
Futures Contracts | $ | — | $ | (49,666 | ) | ||
Mutual Funds | 50,665,564 | — | |||||
Level 2 — Other Significant Observable Inputs | |||||||
U.S. Treasury Obligations | 159,891 | — | |||||
Level 3 — Significant Unobservable Inputs | — | — | |||||
Total | $ | 50,825,455 | $ | (49,666 | ) | ||
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
See Notes to Financial Statements.
11
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES | June 30, 2010 (Unaudited) |
MyDestination 2005 Fund | MyDestination 2015 Fund | MyDestination 2025 Fund | MyDestination 2035 Fund | MyDestination 2045 Fund | ||||||||||||||||
Assets | ||||||||||||||||||||
Investments in securities of affiliated issuers, at value | $ | 62,050,155 | $ | 226,545,378 | $ | 176,766,447 | $ | 77,851,670 | $ | 50,665,564 | ||||||||||
Investments in securities of unaffiliated issuers, at value | — | 1,883,932 | 850,206 | 299,070 | 159,891 | |||||||||||||||
Total investments (1) | 62,050,155 | 228,429,310 | 177,616,653 | 78,150,740 | 50,825,455 | |||||||||||||||
Receivables: | ||||||||||||||||||||
Dividends | 8 | 18 | 17 | 12 | 12 | |||||||||||||||
Interest | — | 9,641 | 2,877 | 624 | — | |||||||||||||||
Investment securities sold | 160,000 | 600,000 | 1,226,478 | 134,841 | — | |||||||||||||||
Fund shares sold | 2,480 | 12,529 | 28,316 | 22,762 | 25,297 | |||||||||||||||
Prepaid expenses and other assets | 29,050 | 29,948 | 30,933 | 30,046 | 28,920 | |||||||||||||||
Total Assets | 62,241,693 | 229,081,446 | 178,905,274 | 78,339,025 | 50,879,684 | |||||||||||||||
Liabilities | ||||||||||||||||||||
Payables: | ||||||||||||||||||||
Investment securities purchased | 160,000 | 732,483 | 1,137,328 | 129,609 | 289,403 | |||||||||||||||
Fund shares redeemed | 217,129 | 519,196 | 56,110 | — | 23,878 | |||||||||||||||
Variation margin | — | 23,991 | 17,835 | 13,237 | 11,497 | |||||||||||||||
Accrued expenses: | ||||||||||||||||||||
Investment advisory fees | 2,714 | 19,378 | 20,708 | 4,796 | 667 | |||||||||||||||
Distribution (12b-1) fees | 11 | 1 | 2 | 4 | 9 | |||||||||||||||
Other expenses | 22,427 | 23,715 | 24,888 | 25,028 | 23,563 | |||||||||||||||
Total Liabilities | 402,281 | 1,318,764 | 1,256,871 | 172,674 | 349,017 | |||||||||||||||
Net Assets | $ | 61,839,412 | $ | 227,762,682 | $ | 177,648,403 | $ | 78,166,351 | $ | 50,530,667 | ||||||||||
Net Assets Consist of: | ||||||||||||||||||||
Paid-in capital | $ | 71,989,788 | $ | 266,532,081 | $ | 209,246,541 | $ | 91,365,257 | $ | 54,668,415 | ||||||||||
Undistributed net investment income | 606,427 | 3,214,425 | 1,924,767 | 397,335 | 178,216 | |||||||||||||||
Accumulated net realized loss on investments and futures transactions | (8,906,309 | ) | (13,525,036 | ) | (7,517,371 | ) | (2,680,675 | ) | (1,498,114 | ) | ||||||||||
Net unrealized appreciation (depreciation) on investments and futures | (1,850,494 | ) | (28,458,788 | ) | (26,005,534 | ) | (10,915,566 | ) | (2,817,850 | ) | ||||||||||
Net Assets | $ | 61,839,412 | $ | 227,762,682 | $ | 177,648,403 | $ | 78,166,351 | $ | 50,530,667 | ||||||||||
Net Asset Value: | ||||||||||||||||||||
$0.001 par value, unlimited shares authorized | ||||||||||||||||||||
Net assets applicable to the GS4 Class | $ | 61,839,412 | $ | 227,762,682 | $ | 177,648,403 | $ | 78,166,351 | $ | 50,530,667 | ||||||||||
GS4 shares outstanding | 7,059,749 | 27,762,610 | 23,540,678 | 11,094,184 | 7,367,758 | |||||||||||||||
Net asset value, offering and redemption price per GS4 share | $ | 8.76 | $ | 8.20 | $ | 7.55 | $ | 7.05 | $ | 6.86 | ||||||||||
(1) Investments in securities of affiliated issuers, at cost | $ | 63,900,649 | $ | 254,923,572 | $ | 202,682,538 | $ | 88,700,701 | $ | 53,433,763 | ||||||||||
Investments in securities of unaffiliated issuers, at cost | — | 1,858,597 | 849,253 | 298,853 | 159,876 | |||||||||||||||
Total investments at cost | $ | 63,900,649 | $ | 256,782,169 | $ | 203,531,791 | $ | 88,999,554 | $ | 53,593,639 | ||||||||||
See Notes to Financial Statements.
12
Table of Contents
STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2010 (Unaudited) |
MyDestination 2005 Fund | MyDestination 2015 Fund | MyDestination 2025 Fund | MyDestination 2035 Fund | MyDestination 2045 Fund | ||||||||||||||||
Investment Income | ||||||||||||||||||||
Income dividends received from affiliated funds | $ | 569,473 | $ | 1,985,945 | $ | 1,486,066 | $ | 469,360 | $ | 227,268 | ||||||||||
Interest | (310 | ) | 19,156 | 10,337 | 1,838 | 55 | ||||||||||||||
Total Investment Income | 569,163 | 2,005,101 | 1,496,403 | 471,198 | 227,323 | |||||||||||||||
Expenses | ||||||||||||||||||||
Investment advisory fees | 32,403 | 115,810 | 91,128 | 40,489 | 25,382 | |||||||||||||||
Transfer agent fees: | ||||||||||||||||||||
GS4 | 9,014 | 9,499 | 9,763 | 9,369 | 9,289 | |||||||||||||||
Custodian fees | 4,559 | 5,959 | 7,430 | 7,276 | 5,365 | |||||||||||||||
Accounting and administration fees | 3,968 | 8,396 | 6,940 | 4,190 | 3,242 | |||||||||||||||
Professional fees | 20,274 | 20,274 | 20,274 | 20,274 | 20,274 | |||||||||||||||
Blue sky fees: | ||||||||||||||||||||
GS4 | 1,705 | 2,196 | 1,821 | 1,700 | 1,729 | |||||||||||||||
Shareholder reporting fees: | ||||||||||||||||||||
GS4 | 1,674 | 2,767 | 3,406 | 2,371 | 2,033 | |||||||||||||||
Trustee expenses | 224 | 652 | 449 | 183 | 96 | |||||||||||||||
Line of credit facility fees | 378 | 1,062 | 715 | 282 | 143 | |||||||||||||||
Other expenses | 5,176 | 5,175 | 5,175 | 5,174 | 5,174 | |||||||||||||||
Total Expenses | 79,375 | 171,790 | 147,101 | 91,308 | 72,727 | |||||||||||||||
Expenses waived/reimbursed net of amount | (14,569 | ) | — | 32,477 | (12,144 | ) | (23,620 | ) | ||||||||||||
Net Expenses | 64,806 | 171,790 | 179,578 | 79,164 | 49,107 | |||||||||||||||
Net Investment Income | 504,357 | 1,833,311 | 1,316,825 | 392,034 | 178,216 | |||||||||||||||
Realized and Unrealized Gain (Loss) | ||||||||||||||||||||
Capital gain distributions received from affiliated funds | 59,947 | 140,997 | 34,866 | 4,138 | — | |||||||||||||||
Net realized gain (loss) on investment securities of affiliated issuers | (1,591,831 | ) | (1,621,933 | ) | (1,152,396 | ) | (1,293,941 | ) | 179,740 | |||||||||||
Net realized gain on investment securities of unaffiliated issuers | 70,376 | 181,366 | 43,816 | 6,640 | — | |||||||||||||||
Net realized loss on futures transactions | — | (73,623 | ) | (21,564 | ) | (5,351 | ) | (85,360 | ) | |||||||||||
Net realized gain (loss) | (1,461,508 | ) | (1,373,193 | ) | (1,095,278 | ) | (1,288,514 | ) | 94,380 | |||||||||||
Change in unrealized appreciation (depreciation) on investment securities of affiliated issuers | 325,744 | (6,814,758 | ) | (8,394,893 | ) | (4,532,558 | ) | (4,171,843 | ) | |||||||||||
Change in unrealized appreciation on investment securities of unaffiliated issuers | — | 56,492 | 1,031 | 3,099 | 12 | |||||||||||||||
Change in unrealized depreciation on futures | — | (133,607 | ) | (108,365 | ) | (80,612 | ) | (55,172 | ) | |||||||||||
Net change in unrealized appreciation (depreciation) | 325,744 | (6,891,873 | ) | (8,502,227 | ) | (4,610,071 | ) | (4,227,003 | ) | |||||||||||
Net Realized and Unrealized Gain (Loss) | (1,135,764 | ) | (8,265,066 | ) | (9,597,505 | ) | (5,898,585 | ) | (4,132,623 | ) | ||||||||||
Net Decrease in Net Assets Resulting from Operations | $ | (631,407 | ) | $ | (6,431,755 | ) | $ | (8,280,680 | ) | $ | (5,506,551 | ) | $ | (3,954,407 | ) | |||||
(1) | See Note 3a and 3c in Notes to Financial Statements. |
See Notes to Financial Statements.
13
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
MyDestination 2005 Fund | ||||||||
For the Six Months Ended 06/30/10 (Unaudited) | For the Year Ended 12/31/09 | |||||||
Operations: | ||||||||
Net investment income | $ | 504,357 | $ | 1,309,987 | ||||
Net realized gain (loss) on investment securities and futures transactions | (1,461,508 | ) | (5,992,388 | ) | ||||
Net change in unrealized appreciation (depreciation) on investment securities and futures | 325,744 | 15,916,131 | ||||||
Net increase (decrease) in net assets resulting from operations | (631,407 | ) | 11,233,730 | |||||
Dividends and Distributions to Shareholders: | ||||||||
Dividends from net investment income(1) | ||||||||
GS4 shares | — | (1,558,574 | ) | |||||
GS6 shares | — | (5,830 | ) | |||||
Distributions from net realized capital gains | ||||||||
GS4 shares | — | — | ||||||
GS6 shares | — | — | ||||||
Total dividends and distributions | — | (1,564,404 | ) | |||||
Capital Share Transactions: | ||||||||
Proceeds from shares sold | ||||||||
GS4 shares | 8,455,419 | 17,780,517 | ||||||
GS6 shares | — | 355,124 | ||||||
Proceeds from exchange of GS6 shares for GS4 shares(2) | ||||||||
GS4 shares | — | 1,382,278 | ||||||
GS6 shares | — | (1,382,278 | ) | |||||
Reinvestment of dividends and distributions | ||||||||
GS4 shares | — | 1,558,574 | ||||||
GS6 shares | — | 5,830 | ||||||
Total proceeds from shares sold and reinvested | 8,455,419 | 19,700,045 | ||||||
Value of shares redeemed | ||||||||
GS4 shares | (12,814,706 | ) | (14,217,632 | ) | ||||
GS6 shares | — | (133,418 | ) | |||||
Total value of shares redeemed | (12,814,706 | ) | (14,351,050 | ) | ||||
Net increase (decrease) from capital share transactions(3) | (4,359,287 | ) | 5,348,995 | |||||
Total increase (decrease) in net assets | (4,990,694 | ) | 15,018,321 | |||||
Net Assets: | ||||||||
Beginning of Period | 66,830,106 | 51,811,785 | ||||||
End of Period* | $ | 61,839,412 | $ | 66,830,106 | ||||
* Including undistributed net investment income | $ | 606,427 | $ | 102,070 | ||||
(1) | Includes dividends paid from the short-term portion of capital gain distributions received from affiliated funds. |
(2) | See Note 1 in Notes to Financial Statements. |
(3) | See Note 7 in Notes to Financial Statements. |
See Notes to Financial Statements.
14
Table of Contents
MyDestination 2015 Fund | MyDestination 2025 Fund | MyDestination 2035 Fund | MyDestination 2045 Fund | |||||||||||||||||||||||||||
For the Six Months Ended 06/30/10 (Unaudited) | For the Year Ended 12/31/09 | For the Six Months Ended 06/30/10 (Unaudited) | For the Year Ended 12/31/09 | For the Six Months Ended 06/30/10 (Unaudited) | For the Year Ended 12/31/09 | For the Six Months Ended 06/30/10 (Unaudited) | For the Year Ended 12/31/09 | |||||||||||||||||||||||
$ | 1,833,311 | $ | 3,890,672 | $ | 1,316,825 | $ | 2,638,898 | $ | 392,034 | $ | 835,373 | $ | 178,216 | $ | 371,193 | |||||||||||||||
(1,373,193 | ) | (7,653,972 | ) | (1,095,278 | ) | (5,439,659 | ) | (1,288,514 | ) | (627,218 | ) | 94,380 | (609,798 | ) | ||||||||||||||||
(6,891,873 | ) | 45,802,599 | (8,502,227 | ) | 38,700,374 | (4,610,071 | ) | 16,099,543 | (4,227,003 | ) | 10,106,218 | |||||||||||||||||||
(6,431,755 | ) | 42,039,299 | (8,280,680 | ) | 35,899,613 | (5,506,551 | ) | 16,307,698 | (3,954,407 | ) | 9,867,613 | |||||||||||||||||||
— | (4,379,876 | ) | — | (2,861,067 | ) | — | (1,036,881 | ) | — | (496,078 | ) | |||||||||||||||||||
— | (32,689 | ) | — | (23,117 | ) | — | (6,754 | ) | — | (3,261 | ) | |||||||||||||||||||
— | — | — | — | — | (118,981 | ) | — | (188,497 | ) | |||||||||||||||||||||
— | — | — | — | — | (5,779 | ) | — | (221 | ) | |||||||||||||||||||||
— | (4,412,565 | ) | — | (2,884,184 | ) | — | (1,168,395 | ) | — | (688,057 | ) | |||||||||||||||||||
26,621,324 | 45,112,706 | 22,680,342 | 43,639,781 | 13,622,448 | 23,054,369 | 12,284,145 | 18,858,620 | |||||||||||||||||||||||
— | 1,621,277 | — | 1,038,155 | — | 842,870 | — | 357,765 | |||||||||||||||||||||||
— | 2,917,331 | — | 3,159,998 | — | 2,109,355 | — | 1,269,575 | |||||||||||||||||||||||
— | (2,917,331 | ) | — | (3,159,998 | ) | — | (2,109,355 | ) | — | (1,269,575 | ) | |||||||||||||||||||
— | 4,379,876 | (34 | ) | 2,861,067 | — | 1,155,862 | — | 684,575 | ||||||||||||||||||||||
— | 32,689 | — | 23,117 | — | 12,533 | — | 3,482 | |||||||||||||||||||||||
26,621,324 | 51,146,548 | 22,680,308 | 47,562,120 | 13,622,448 | 25,065,634 | 12,284,145 | 19,904,442 | |||||||||||||||||||||||
(11,691,340 | ) | (16,856,207 | ) | (6,314,255 | ) | (9,916,293 | ) | (5,368,935 | ) | (3,639,614 | ) | (1,958,158 | ) | (3,831,202 | ) | |||||||||||||||
— | (44,365 | ) | — | (9,820 | ) | — | (7,283 | ) | — | (21,937 | ) | |||||||||||||||||||
(11,691,340 | ) | (16,900,572 | ) | (6,314,255 | ) | (9,926,113 | ) | (5,368,935 | ) | (3,646,897 | ) | (1,958,158 | ) | (3,853,139 | ) | |||||||||||||||
14,929,984 | 34,245,976 | 16,366,053 | 37,636,007 | 8,253,513 | 21,418,737 | 10,325,987 | 16,051,303 | |||||||||||||||||||||||
8,498,229 | 71,872,710 | 8,085,373 | 70,651,436 | 2,746,962 | 36,558,040 | 6,371,580 | 25,230,859 | |||||||||||||||||||||||
219,264,453 | 147,391,743 | 169,563,030 | 98,911,594 | 75,419,389 | 38,861,349 | 44,159,087 | 18,928,228 | |||||||||||||||||||||||
$ | 227,762,682 | $ | 219,264,453 | $ | 177,648,403 | $ | 169,563,030 | $ | 78,166,351 | $ | 75,419,389 | $ | 50,530,667 | $ | 44,159,087 | |||||||||||||||
$ | 3,214,425 | $ | 1,381,114 | $ | 1,924,767 | $ | 607,942 | $ | 397,335 | $ | 5,301 | $ | 178,216 | $ | — | |||||||||||||||
See Notes to Financial Statements.
15
Table of Contents
FINANCIAL HIGHLIGHTS (Unaudited)
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated
Ratios to Average Net Assets | ||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year | Net Investment Income (1) | Capital Gain Distributions Received from Affiliated Funds | Realized and Unrealized Gain (Loss) on Investments | Dividends from Net Investment Income (2) | Distributions from Net Realized Capital Gains | Net Asset Value, End of Year | Total Return | Net Assets, End of Year (000) | Expenses, Net(3) | Expenses, Gross(3)(4) | Investment Income, Net (1)(5) | Portfolio Turnover Rate | ||||||||||||||||||||||||||||||||
MyDestination 2005 Fund* |
| |||||||||||||||||||||||||||||||||||||||||||
GS4 Class | ||||||||||||||||||||||||||||||||||||||||||||
2010(6) | $ | 8.84 | $ | 0.07 | # | $ | 0.01 | $ | (0.16 | ) | $ | — | $ | — | $ | 8.76 | (0.91 | )% | $ | 61,839 | 0.20 | % | 0.24 | % | 1.56 | % | 10 | % | ||||||||||||||||
2009 | 7.44 | 0.18 | # | 0.04 | 1.40 | (0.22 | ) | — | 8.84 | 21.84 | 66,830 | 0.20 | 0.26 | 2.31 | 57 | |||||||||||||||||||||||||||||
2008 | 10.35 | 0.30 | # | 0.08 | (2.75 | ) | (0.31 | ) | (0.23 | ) | 7.44 | (22.78 | ) | 50,678 | 0.20 | 0.29 | 3.25 | 40 | ||||||||||||||||||||||||||
2007 | 10.00 | 0.33 | # | 0.62 | (0.31 | ) | (0.28 | ) | (0.01 | ) | 10.35 | 6.42 | 57,667 | 0.20 | 0.43 | 3.16 | 21 | |||||||||||||||||||||||||||
MyDestination 2015 Fund* |
| |||||||||||||||||||||||||||||||||||||||||||
GS4 Class | ||||||||||||||||||||||||||||||||||||||||||||
2010(6) | $ | 8.42 | $ | 0.07 | # | $ | 0.01 | $ | (0.30 | ) | $ | — | $ | — | $ | 8.20 | (2.61 | )% | $ | 227,763 | 0.15 | % | 0.15 | % | 1.60 | % | 10 | % | ||||||||||||||||
2009 | 6.83 | 0.17 | # | 0.02 | 1.58 | (0.18 | ) | — | 8.42 | 26.27 | 219,264 | 0.16 | 0.16 | 2.25 | 25 | |||||||||||||||||||||||||||||
2008 | 10.33 | 0.26 | # | 0.09 | (3.39 | ) | (0.19 | ) | (0.27 | ) | 6.83 | (29.31 | ) | 146,140 | 0.20 | 0.18 | 2.87 | 22 | ||||||||||||||||||||||||||
2007 | 10.00 | 0.29 | # | 0.83 | (0.50 | ) | (0.28 | ) | (0.01 | ) | 10.33 | 6.12 | 169,953 | 0.20 | 0.24 | 2.74 | 7 | |||||||||||||||||||||||||||
MyDestination 2025 Fund* |
| |||||||||||||||||||||||||||||||||||||||||||
GS4 Class | ||||||||||||||||||||||||||||||||||||||||||||
2010(6) | $ | 7.88 | $ | 0.06 | # | $ | — | † | $ | (0.39 | ) | $ | — | $ | — | $ | 7.55 | (4.19 | )% | $ | 177,648 | 0.20 | % | 0.16 | % | 1.47 | % | 8 | % | |||||||||||||||
2009 | 6.18 | 0.14 | # | 0.01 | 1.69 | (0.14 | ) | — | 7.88 | 30.12 | 169,563 | 0.20 | 0.19 | 2.11 | 13 | |||||||||||||||||||||||||||||
2008 | 10.24 | 0.21 | # | 0.09 | (3.89 | ) | (0.15 | ) | (0.32 | ) | 6.18 | (35.00 | ) | 96,826 | 0.20 | 0.21 | 2.47 | 10 | ||||||||||||||||||||||||||
2007 | 10.00 | 0.25 | # | 1.13 | (0.85 | ) | (0.28 | ) | (0.01 | ) | 10.24 | 5.29 | 105,102 | 0.20 | 0.30 | 2.37 | 5 | |||||||||||||||||||||||||||
MyDestination 2035 Fund* |
| |||||||||||||||||||||||||||||||||||||||||||
GS4 Class | ||||||||||||||||||||||||||||||||||||||||||||
2010(6) | $ | 7.52 | $ | 0.04 | # | $ | — | † | $ | (0.51 | ) | $ | — | $ | — | $ | 7.05 | (6.25 | )% | $ | 78,166 | 0.20 | % | 0.23 | % | 0.99 | % | 7 | % | |||||||||||||||
2009 | 5.85 | 0.10 | # | — | † | 1.70 | (0.11 | ) | (0.02 | ) | 7.52 | 30.99 | 75,419 | 0.20 | 0.28 | 1.57 | 4 | |||||||||||||||||||||||||||
2008 | 10.24 | 0.17 | # | 0.09 | (4.25 | ) | (0.10 | ) | (0.30 | ) | 5.85 | (38.86 | ) | 37,637 | 0.20 | 0.40 | 2.02 | 5 | ||||||||||||||||||||||||||
2007 | 10.00 | 0.19 | # | 1.31 | (0.98 | ) | (0.28 | ) | — | † | 10.24 | 5.20 | 35,117 | 0.20 | 0.64 | 1.83 | 2 | |||||||||||||||||||||||||||
MyDestination 2045 Fund* |
| |||||||||||||||||||||||||||||||||||||||||||
GS4 Class | ||||||||||||||||||||||||||||||||||||||||||||
2010(6) | $ | 7.38 | $ | 0.03 | # | $ | — | $ | (0.55 | ) | $ | — | $ | — | $ | 6.86 | (7.05 | )% | $ | 50,531 | 0.20 | % | 0.30 | % | 0.73 | % | 1 | % | ||||||||||||||||
2009 | 5.75 | 0.08 | # | — | † | 1.67 | (0.09 | ) | (0.03 | ) | 7.38 | 30.71 | 44,159 | 0.20 | 0.41 | 1.23 | 7 | |||||||||||||||||||||||||||
2008 | 10.12 | 0.16 | # | 0.10 | (4.34 | ) | (0.06 | ) | (0.23 | ) | 5.75 | (40.29 | ) | 17,998 | 0.20 | 0.79 | 1.97 | 5 | ||||||||||||||||||||||||||
2007 | 10.00 | 0.17 | # | 1.37 | (1.09 | ) | (0.28 | ) | (0.05 | ) | 10.12 | 4.46 | 11,659 | 0.19 | 1.48 | 1.60 | 9 |
† | Amount represents less than $0.005 per share. |
# | Calculated using the average shares outstanding method. |
* | Inception date was December 29, 2006. |
(1) | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. |
(2) | Includes dividends paid from the short-term portion of capital gain distributions received from affiliated Funds. (3) Does not include expenses of the investment companies in which the Fund invests. |
(4) | The ratio excludes expenses waived/reimbursed net of amount recaptured. |
(5) | The ratio includes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were excluded, the ratio would have been lower than the ratio shown. |
(6) | For the six months ended June 30, 2010. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
See Notes to Financial Statements.
16
Table of Contents
SCHEDULE OF INVESTMENTS | June 30, 2010 (Unaudited) |
Shares | Value | ||||||
MUTUAL FUNDS — 98.0% | |||||||
GuideStone Money Market Fund (GS4 Class)¥ | 555,620 | $ | 555,620 | ||||
GuideStone Low-Duration Bond Fund (GS4 Class)¥ | 12,648,141 | 167,967,314 | |||||
GuideStone Inflation Protected Bond Fund (GS4 Class)¥ | 3,912,813 | 41,475,818 | |||||
GuideStone Equity Index Fund (GS4 Class)¥ | 325,385 | 4,353,655 | |||||
GuideStone Value Equity Fund (GS4 Class)¥ | 1,559,492 | 17,949,753 | |||||
GuideStone Growth Equity Fund (GS4 Class)¥ | 1,284,659 | 18,717,482 | |||||
GuideStone Small Cap Equity Fund (GS4 Class)¥ | 426,335 | 4,766,421 | |||||
GuideStone International Equity Fund (GS4 Class)¥ | 1,833,134 | 20,054,490 | |||||
Total Mutual Funds | 275,840,553 | ||||||
Par | |||||||
U.S. TREASURY OBLIGATIONS — 3.3% | |||||||
U.S. Treasury Bill 0.20%, 11/18/10‡‡ | $ | 215,000 | 214,853 | ||||
U.S. Treasury Note 4.50%, 04/30/12 | 8,400,000 | 9,009,328 | |||||
Total U.S. Treasury Obligations | 9,224,181 | ||||||
TOTAL INVESTMENTS — 101.3% | 285,064,734 | ||||||
Liabilities in Excess of Other Assets — (1.3)% | (3,629,619 | ) | |||||
NET ASSETS — 100.0% | $ | 281,435,115 | |||||
Please see abbreviation and footnote definitions on page 127.
PORTFOLIO SUMMARY (based on net assets) |
|
% | ||||
Bond Funds | 74.4 | |||
Domestic Equity Funds | 16.3 | |||
International Equity Fund | 7.1 | |||
U.S. Treasury Obligations | 3.3 | |||
Futures Contracts | 0.5 | |||
Money Market Fund | 0.2 | |||
101.8 | ||||
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2010, in valuing the Fund’s investments carried at fair value:
|
| ||||||
Valuation Inputs | Investments in Securities | Other Financial Instruments*** | |||||
Level 1 — Quoted Prices | |||||||
Futures Contracts | $ | — | $ | (50,509 | ) | ||
Mutual Funds | 275,840,553 | — | |||||
Level 2 — Other Significant Observable Inputs | |||||||
U.S. Treasury Obligations | 9,224,181 | — | |||||
Level 3 — Significant Unobservable Inputs | — | — | |||||
Total | $ | 285,064,734 | $ | (50,509 | ) | ||
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
See Notes to Financial Statements.
17
Table of Contents
SCHEDULE OF INVESTMENTS | June 30, 2010 (Unaudited) |
Shares | Value | |||||
MUTUAL FUNDS — 98.8% | ||||||
GuideStone Money Market Fund (GS4 Class)¥ | 10,075,635 | $ | 10,075,635 | |||
GuideStone Low-Duration Bond Fund (GS4 Class)¥ | 12,338,255 | 163,852,024 | ||||
GuideStone Medium-Duration Bond Fund (GS4 Class)¥ | 16,869,971 | 235,842,192 | ||||
GuideStone Extended-Duration Bond Fund (GS4 Class)¥ | 5,736,345 | 92,871,420 | ||||
GuideStone Global Bond Fund (GS4 Class)¥ | 5,884,753 | 55,434,371 | ||||
GuideStone Equity Index Fund (GS4 Class)¥ | 2,442,471 | 32,680,256 | ||||
GuideStone Value Equity Fund (GS4 Class)¥ | 12,602,397 | 145,053,591 | ||||
GuideStone Growth Equity Fund (GS4 Class)¥ | 9,969,499 | 145,255,599 | ||||
GuideStone Small Cap Equity Fund (GS4 Class)¥ | 3,299,782 | 36,891,559 | ||||
GuideStone International Equity Fund (GS4 Class)¥ | 14,020,295 | 153,382,033 | ||||
Total Mutual Funds | 1,071,338,680 | |||||
Par | ||||||
U.S. TREASURY OBLIGATIONS — 1.2% | ||||||
U.S. Treasury Bill 0.20%, 11/18/10‡‡ | $ | 1,385,000 | 1,384,057 | |||
U.S. Treasury Note 4.13%, 05/15/15 | 10,625,000 | 11,804,545 | ||||
Total U.S. Treasury Obligations | 13,188,602 | |||||
TOTAL INVESTMENTS — 100.0% | 1,084,527,282 | |||||
Other Assets in Excess of Liabilities — 0.0% | 21,649 | |||||
NET ASSETS — 100.0% | $ | 1,084,548,931 | ||||
Please see abbreviation and footnote definitions on page 127. | ||||||
PORTFOLIO SUMMARY (based on net assets) |
% | ||||
Bond Funds | 50.5 | |||
Domestic Equity Funds | 33.2 | |||
International Equity Fund | 14.2 | |||
U.S. Treasury Obligations | 1.2 | |||
Futures Contracts | 1.1 | |||
Money Market Fund | 0.9 | |||
101.1 | ||||
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2010, in valuing the Fund’s investments carried at fair value:
|
| ||||||
Valuation Inputs | Investments in Securities | Other Financial Instruments*** | |||||
Level 1 — Quoted Prices | |||||||
Futures Contracts | $ | — | $ | (517,229 | ) | ||
Mutual Funds | 1,071,338,680 | — | |||||
Level 2 — Other Significant Observable Inputs | |||||||
U.S. Treasury Obligations | 13,188,602 | — | |||||
Level 3 — Significant Unobservable Inputs | — | — | |||||
Total | $ | 1,084,527,282 | $ | (517,229 | ) | ||
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
See Notes to Financial Statements.
18
Table of Contents
SCHEDULE OF INVESTMENTS | June 30, 2010 (Unaudited) |
Shares | Value | ||||||
MUTUAL FUNDS — 99.4% | |||||||
GuideStone Money Market Fund (GS4 Class)¥ | 10,720,777 | $ | 10,720,777 | ||||
GuideStone Low-Duration Bond Fund (GS4 Class)¥ | 4,516,930 | 59,984,828 | |||||
GuideStone Medium-Duration Bond Fund (GS4 Class)¥ | 6,121,780 | 85,582,485 | |||||
GuideStone Extended-Duration Bond Fund (GS4 Class)¥ | 2,068,893 | 33,495,375 | |||||
GuideStone Global Bond Fund (GS4 Class)¥ | 2,150,377 | 20,256,555 | |||||
GuideStone Equity Index Fund (GS4 Class)¥ | 2,654,877 | 35,522,253 | |||||
GuideStone Value Equity Fund (GS4 Class)¥ | 13,858,030 | 159,505,926 | |||||
GuideStone Growth Equity Fund (GS4 Class)¥ | 10,943,095 | 159,440,896 | |||||
GuideStone Small Cap Equity Fund (GS4 Class)¥ | 3,611,177 | 40,372,955 | |||||
GuideStone International Equity Fund (GS4 Class)¥ | 15,192,752 | 166,208,711 | |||||
Total Mutual Funds | 771,090,761 | ||||||
Par | |||||||
U.S. TREASURY OBLIGATIONS — 0.7% | |||||||
U.S. Treasury Bills | |||||||
0.20%, 11/18/10‡‡ | $ | 1,385,000 | 1,384,057 | ||||
0.22%, 11/18/10‡‡ | 90,000 | 89,938 | |||||
1,473,995 | |||||||
U.S. Treasury Note | |||||||
4.13%, 05/15/15 | 3,600,000 | 3,999,658 | |||||
Total U.S. Treasury Obligations | 5,473,653 | ||||||
TOTAL INVESTMENTS — 100.1% | 776,564,414 | ||||||
Liabilities in Excess of Other Assets — (0.1)% | (408,345 | ) | |||||
NET ASSETS — 100.0% | $ | 776,156,069 | |||||
Please see abbreviation and footnote definitions on page 127.
PORTFOLIO SUMMARY (based on net assets)
% | ||
Domestic Equity Funds | 50.9 | |
Bond Funds | 25.7 | |
International Equity Fund | 21.4 | |
Futures Contracts | 1.5 | |
Money Market Fund | 1.4 | |
U.S. Treasury Obligations | 0.7 | |
101.6 | ||
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2010, in valuing the Fund’s investments carried at fair value:
Valuation Inputs | Investments in Securities | Other Financial Instruments*** | |||||
Level 1 — Quoted Prices | |||||||
Futures Contracts | $ | — | $ | (523,521 | ) | ||
Mutual Funds | 771,090,761 | — | |||||
Level 2 — Other Significant Observable Inputs | |||||||
U.S. Treasury Obligations | 5,473,653 | — | |||||
Level 3 — Significant Unobservable Inputs | — | — | |||||
Total | $ | 776,564,414 | $ | (523,521 | ) | ||
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
See Notes to Financial Statements.
19
Table of Contents
SCHEDULE OF INVESTMENTS | June 30, 2010 (Unaudited) |
Shares | Value | ||||||
MUTUAL FUNDS — 99.9% | |||||||
GuideStone Money Market Fund (GS4 Class)¥ | 11,235,276 | $ | 11,235,276 | ||||
GuideStone Equity Index Fund (GS4 Class)¥ | 3,047,303 | 40,772,909 | |||||
GuideStone Value Equity Fund (GS4 Class)¥ | 15,714,031 | 180,868,502 | |||||
GuideStone Growth Equity Fund (GS4 Class)¥ | 12,401,124 | 180,684,371 | |||||
GuideStone Small Cap Equity Fund (GS4 Class)¥ | 4,206,349 | 47,026,978 | |||||
GuideStone International Equity Fund (GS4 Class)¥ | 17,723,377 | 193,893,741 | |||||
Total Mutual Funds | 654,481,777 | ||||||
Par | |||||||
U.S. TREASURY OBLIGATIONS — 0.2% | |||||||
U.S. Treasury Bills | |||||||
0.20%, 11/18/10‡‡ | $ | 1,445,000 | 1,444,016 | ||||
0.25%, 11/18/10‡‡ | 25,000 | 24,983 | |||||
Total U.S. Treasury Obligations | 1,468,999 | ||||||
TOTAL INVESTMENTS — 100.1% | 655,950,776 | ||||||
Liabilities in Excess of Other Assets — (0.1)% | (354,927 | ) | |||||
NET ASSETS — 100.0% | $ | 655,595,849 | |||||
Please see abbreviation and footnote definitions on page 127.
PORTFOLIO SUMMARY (based on net assets)
% | ||
Domestic Equity Funds | 68.5 | |
International Equity Fund | 29.7 | |
Futures Contracts | 1.9 | |
Money Market Fund | 1.7 | |
U.S. Treasury Obligations | 0.2 | |
102.0 | ||
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2010, in valuing the Fund’s investments carried at fair value:
Valuation Inputs | Investments in Securities | Other Financial Instruments*** | |||||
Level 1 — Quoted Prices | |||||||
Futures Contracts | $ | — | $ | (567,329 | ) | ||
Mutual Funds | 654,481,777 | — | |||||
Level 2 — Other Significant Observable Inputs | |||||||
U.S. Treasury Obligations | 1,468,999 | — | |||||
Level 3 — Significant Unobservable Inputs | — | — | |||||
Total | $ | 655,950,776 | $ | (567,329 | ) | ||
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
See Notes to Financial Statement.
20
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21
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES | June 30, 2010 (Unaudited) |
Conservative Allocation Fund | Balanced Allocation Fund | Growth Allocation Fund | Aggressive Allocation Fund | |||||||||||||
Assets | ||||||||||||||||
Investments in securities of affiliated issuers, at value | $ | 275,840,553 | $ | 1,071,338,680 | $ | 771,090,761 | $ | 654,481,777 | ||||||||
Investments in securities of unaffiliated issuers, at value | 9,224,181 | 13,188,602 | 5,473,653 | 1,468,999 | ||||||||||||
Total investments (1) | 285,064,734 | 1,084,527,282 | 776,564,414 | 655,950,776 | ||||||||||||
Receivables: | ||||||||||||||||
Dividends | 9 | 92 | 91 | 96 | ||||||||||||
Interest | 63,685 | 55,976 | 18,966 | — | ||||||||||||
Investment securities sold | 5,308,146 | 12,396,325 | 4,436,084 | 2,592 | ||||||||||||
Fund shares sold | 231,952 | 303,796 | 25,675 | 68,862 | ||||||||||||
Prepaid expenses and other assets | 17,367 | 24,773 | 20,227 | 18,647 | ||||||||||||
Total Assets | 290,685,893 | 1,097,308,244 | 781,065,457 | 656,040,973 | ||||||||||||
Liabilities | ||||||||||||||||
Payables: | ||||||||||||||||
Investment securities purchased | 9,070,929 | 11,853,082 | 4,516,103 | — | ||||||||||||
Fund shares redeemed | 117,965 | 641,503 | 167,058 | 220,894 | ||||||||||||
Variation margin | 8,354 | 97,875 | 102,659 | 104,400 | ||||||||||||
Accrued expenses: | ||||||||||||||||
Investment advisory fees | 15,980 | 86,887 | 60,581 | 50,700 | ||||||||||||
Distribution (12b-1) fees | 83 | 86 | 71 | 112 | ||||||||||||
Other expenses | 37,467 | 79,880 | 62,916 | 69,018 | ||||||||||||
Total Liabilities | 9,250,778 | 12,759,313 | 4,909,388 | 445,124 | ||||||||||||
Net Assets | $ | 281,435,115 | $ | 1,084,548,931 | $ | 776,156,069 | $ | 655,595,849 | ||||||||
Net Assets Consist of: | ||||||||||||||||
Paid-in-capital | $ | 274,738,271 | $ | 1,138,942,579 | $ | 870,076,909 | $ | 793,525,532 | ||||||||
Undistributed net investment income | 2,402,925 | 14,627,636 | 9,072,034 | 2,401,310 | ||||||||||||
Accumulated net realized gain (loss) on investments and futures transactions | (153,965 | ) | (5,910,332 | ) | (2,236,798 | ) | 3,455,885 | |||||||||
Net unrealized appreciation (depreciation) on investments and futures | 4,447,884 | (63,110,952 | ) | (100,756,076 | ) | (143,786,878 | ) | |||||||||
Net Assets | $ | 281,435,115 | $ | 1,084,548,931 | $ | 776,156,069 | $ | 655,595,849 | ||||||||
Net Asset Value: | ||||||||||||||||
$0.001 par value, unlimited shares authorized | ||||||||||||||||
Net assets applicable to the GS4 Class | $ | 281,435,115 | $ | 1,084,548,931 | $ | 776,156,069 | $ | 655,595,849 | ||||||||
GS4 shares outstanding | 24,668,744 | 99,014,413 | 73,635,168 | 68,714,523 | ||||||||||||
Net asset value, offering and redemption price per GS4 share | $ | 11.41 | $ | 10.95 | $ | 10.54 | $ | 9.54 | ||||||||
___________ (1) Investments in securities of affiliated issuers, at cost | $ | 271,344,264 | $ | 1,133,939,976 | $ | 871,325,986 | $ | 797,701,473 | ||||||||
Investments in securities of unaffiliated issuers, at cost | 9,222,077 | 13,181,029 | 5,470,983 | 1,468,852 | ||||||||||||
Total investments at cost | $ | 280,566,341 | $ | 1,147,121,005 | $ | 876,796,969 | $ | 799,170,325 | ||||||||
See Notes to Financial Statements.
22
Table of Contents
STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2010 (Unaudited) |
Conservative Allocation Fund | Balanced Allocation Fund | Growth Allocation Fund | Aggressive Allocation Fund | |||||||||||||
Investment Income | ||||||||||||||||
Income dividends received from affiliated funds | $ | 2,554,555 | $ | 11,042,091 | $ | 5,704,960 | $ | 2,827,748 | ||||||||
Interest | 19,520 | 151,919 | 52,151 | 751 | ||||||||||||
Total Investment Income | 2,574,075 | 11,194,010 | 5,757,111 | 2,828,499 | ||||||||||||
Expenses | ||||||||||||||||
Investment advisory fees | 143,528 | 571,645 | 423,251 | 368,718 | ||||||||||||
Transfer agent fees: | ||||||||||||||||
GS4 shares | 12,511 | 23,429 | 18,377 | 17,454 | ||||||||||||
Custodian fees | 4,977 | 11,678 | 9,202 | 7,987 | ||||||||||||
Accounting and administration fees | 10,642 | 33,551 | 25,437 | 22,444 | ||||||||||||
Professional fees | 20,694 | 20,694 | 20,694 | 20,694 | ||||||||||||
Blue sky fees: | ||||||||||||||||
GS4 shares | 6,416 | 4,444 | 7,072 | 6,402 | ||||||||||||
Shareholder reporting fees: | ||||||||||||||||
GS4 shares | 9,524 | 25,859 | 19,799 | 18,632 | ||||||||||||
Trustee expenses | 1,102 | 3,913 | 2,824 | 2,333 | ||||||||||||
Line of credit facility fees | 1,892 | 6,550 | 4,681 | 3,814 | ||||||||||||
Other expenses | 5,576 | 6,675 | 6,318 | 6,074 | ||||||||||||
Total Expenses | 216,862 | 708,438 | 537,655 | 474,552 | ||||||||||||
Expenses waived/reimbursed(1) | (45,712 | ) | (31,536 | ) | (39,034 | ) | (42,801 | ) | ||||||||
Net Expenses | 171,150 | 676,902 | 498,621 | 431,751 | ||||||||||||
Net Investment Income | 2,402,925 | 10,517,108 | 5,258,490 | 2,396,748 | ||||||||||||
Realized and Unrealized Gain (Loss) | ||||||||||||||||
Capital gain distributions received from affiliated funds | 137,921 | 605,489 | 220,331 | — | ||||||||||||
Net realized gain (loss) on investment securities of affiliated issuers | 827,739 | (18,877 | ) | 1,686,932 | 2,412,750 | |||||||||||
Net realized gain on investment securities of unaffiliated issuers | 108,945 | 607,783 | 209,383 | — | ||||||||||||
Net realized loss on futures transactions | (32,675 | ) | (143,701 | ) | (95,794 | ) | (234,300 | ) | ||||||||
Net realized gain | 1,041,930 | 1,050,694 | 2,020,852 | 2,178,450 | ||||||||||||
Change in unrealized appreciation (depreciation) on investment securities of affiliated issuers | (2,831,822 | ) | (29,719,037 | ) | 2,477 | (64,947,305 | ) | |||||||||
Change in unrealized appreciation (depreciation) on investment securities of unaffiliated issuers | 17,554 | 7,034 | (48,975,363 | ) | 96 | |||||||||||
Change in unrealized depreciation on futures | (70,638 | ) | (586,729 | ) | (645,956 | ) | (759,458 | ) | ||||||||
Net change in unrealized appreciation (depreciation) | (2,884,906 | ) | (30,298,732 | ) | (49,618,842 | ) | (65,706,667 | ) | ||||||||
Net Realized and Unrealized Loss | (1,842,976 | ) | (29,248,038 | ) | (47,597,990 | ) | (63,528,217 | ) | ||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 559,949 | $ | (18,730,930 | ) | $ | (42,339,500 | ) | $ | (61,131,469 | ) | |||||
(1) | See Note 3a and 3c in Notes to Financial Statements. |
See Notes to Financial Statements.
23
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
Conservative Allocation Fund | Balanced Allocation Fund | |||||||||||||||
For the Six Months Ended 06/30/10 (Unaudited) | For the Year Ended 12/31/09 | For the Six Months Ended 06/30/10 (Unaudited) | For the Year Ended 12/31/09 | |||||||||||||
Operations: | ||||||||||||||||
Net investment income | $ | 2,402,925 | $ | 6,251,933 | $ | 10,517,108 | $ | 25,426,085 | ||||||||
Net realized gain (loss) on investment securities and futures transactions | 1,041,930 | 7,542,733 | 1,050,694 | 539,153 | ||||||||||||
Net change in unrealized appreciation (depreciation) on investment securities and futures | (2,884,906 | ) | 26,348,218 | (30,298,732 | ) | 196,693,079 | ||||||||||
Net increase (decrease) in net assets resulting from opera-tions | 559,949 | 40,142,884 | (18,730,930 | ) | 222,658,317 | |||||||||||
Dividends and Distributions to Shareholders: | ||||||||||||||||
Dividends from net investment income(1) | ||||||||||||||||
GS4 shares | — | (6,154,064 | ) | — | (26,203,247 | ) | ||||||||||
GS6 shares | — | (129,157 | ) | — | (188,348 | ) | ||||||||||
Distributions from net realized capital gains | ||||||||||||||||
GS4 shares | — | (9,032,931 | ) | — | (6,561,722 | ) | ||||||||||
GS6 shares | — | (78,277 | ) | — | (235,775 | ) | ||||||||||
Total dividends and distributions | — | (15,394,429 | ) | — | (33,189,092 | ) | ||||||||||
Capital Share Transactions: | ||||||||||||||||
Proceeds from shares sold | ||||||||||||||||
GS4 shares | 18,894,435 | 37,517,620 | 26,432,704 | 66,019,986 | ||||||||||||
GS6 shares | — | 1,736,060 | — | 712,549 | ||||||||||||
Proceeds from exchange of GS6 shares for GS4 shares(2) | ||||||||||||||||
GS4 shares | 11,903,681 | 16,986,754 | ||||||||||||||
GS6 shares | — | (11,903,681 | ) | — | (16,986,754 | ) | ||||||||||
Reinvestment of dividends and distributions | ||||||||||||||||
GS4 shares | — | 15,174,582 | — | 32,760,925 | ||||||||||||
GS6 shares | — | 207,434 | — | 424,123 | ||||||||||||
Total proceeds from shares sold and reinvested | 18,894,435 | 54,635,696 | 26,432,704 | 99,917,583 | ||||||||||||
Value of shares redeemed | ||||||||||||||||
GS4 shares | (22,769,760 | ) | (51,093,327 | ) | (56,144,149 | ) | (78,208,293 | ) | ||||||||
GS6 shares | — | (196,593 | ) | — | (95,773 | ) | ||||||||||
Total value of shares redeemed | (22,769,760 | ) | (51,289,920 | ) | (56,144,149 | ) | (78,304,066 | ) | ||||||||
Net increase (decrease) from capital share transactions(3) | (3,875,325 | ) | 3,345,776 | (29,711,445 | ) | 21,613,517 | ||||||||||
Total increase (decrease) in net assets | (3,315,376 | ) | 28,094,231 | (48,442,375 | ) | 211,082,742 | ||||||||||
Net Assets: | ||||||||||||||||
Beginning of Period | 284,750,491 | 256,656,260 | 1,132,991,306 | 921,908,564 | ||||||||||||
End of Period* | $ | 281,435,115 | $ | 284,750,491 | $ | 1,084,548,931 | $ | 1,132,991,306 | ||||||||
* Including undistributed net investment income | $ | 2,402,925 | $ | — | $ | 14,627,636 | $ | 4,110,528 | ||||||||
(1) | Includes dividends paid from the short-term portion of capital gain distributions received from affiliated funds. |
(2) | See Note 1 in Notes to Financial Statements. |
(3) | See Note 7 in Notes to Financial Statements. |
See Notes to Financial Statements.
24
Table of Contents
Growth Allocation Fund | Aggressive Allocation Fund | |||||||||||||
For the Six Months Ended 06/30/10 (Unaudited) | For the Year Ended 12/31/09 | For the Six Months Ended 06/30/10 (Unaudited) | For the Year Ended 12/31/09 | |||||||||||
$ | 5,258,490 | $ | 13,511,935 | $ | 2,396,748 | $ | 7,158,492 | |||||||
2,020,852 | (1,658,657 | ) | 2,178,450 | 2,380,837 | ||||||||||
(49,618,842 | ) | 169,696,601 | (65,706,667 | ) | 161,719,617 | |||||||||
(42,339,500 | ) | 181,549,879 | (61,131,469 | ) | 171,258,946 | |||||||||
— | (11,476,397 | ) | — | (7,153,930 | ) | |||||||||
— | (48,836 | ) | — | — | ||||||||||
— | (3,758,322 | ) | — | (5,357,679 | ) | |||||||||
— | (114,025 | ) | — | (175,394 | ) | |||||||||
— | (15,397,580 | ) | — | (12,687,003 | ) | |||||||||
16,099,496 | 38,935,556 | 19,622,880 | 41,717,915 | |||||||||||
— | 1,111,513 | — | 495,847 | |||||||||||
11,004,801 | 12,055,110 | |||||||||||||
— | (11,004,801 | ) | — | (12,055,110 | ) | |||||||||
— | 15,233,766 | — | 12,511,448 | |||||||||||
— | 162,861 | — | 175,394 | |||||||||||
16,099,496 | 55,443,696 | 19,622,880 | 54,900,604 | |||||||||||
(38,414,261 | ) | (58,417,111 | ) | (32,629,948 | ) | (42,757,835 | ) | |||||||
— | (245,720 | ) | — | (156,279 | ) | |||||||||
(38,414,261 | ) | (58,662,831 | ) | (32,629,948 | ) | (42,914,114 | ) | |||||||
(22,314,765 | ) | (3,219,135 | ) | (13,007,068 | ) | 11,986,490 | ||||||||
(64,654,265 | ) | 162,933,164 | (74,138,537 | ) | 170,558,433 | |||||||||
840,810,334 | 677,877,170 | 729,734,386 | 559,175,953 | |||||||||||
$ | 776,156,069 | $ | 840,810,334 | $ | 655,595,849 | $ | 729,734,386 | |||||||
$ | 9,072,034 | $ | 3,813,544 | $ | 2,401,310 | $ | 4,562 | |||||||
See Notes to Financial Statements.
25
Table of Contents
FINANCIAL HIGHLIGHTS (Unaudited)
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year | Net Investment Income (1) | Capital Gain Distributions Received from Affiliated Funds | Realized and Unrealized Gain (Loss) on Investments | Dividends from Net Investment Income (2) | Distributions from Net Realized Capital Gains | Net Asset Value, End of Year | Total Return | Net Assets, End of Year (000) | Expenses, Net(3) | Expenses, Gross(3)(4) | Investment Income, Net (1)(5) | Portfolio Turnover Rate | ||||||||||||||||||||||||||||||||
Conservative Allocation Fund | ||||||||||||||||||||||||||||||||||||||||||||
GS4 Class | ||||||||||||||||||||||||||||||||||||||||||||
2010(6) | $ | 11.39 | $ | 0.10 | # | $ | 0.01 | $ | (0.09 | ) | $ | — | $ | — | $ | 11.41 | 0.18 | % | $ | 281,435 | 0.12 | % | 0.15 | % | 1.68 | % | 10 | % | ||||||||||||||||
2009 | 10.33 | 0.26 | # | — | † | 1.44 | (0.26 | ) | (0.38 | ) | 11.39 | 16.58 | 284,750 | 0.12 | 0.16 | 2.37 | 32 | |||||||||||||||||||||||||||
2008 | 13.02 | 0.42 | # | 0.03 | (2.17 | ) | (0.42 | ) | (0.55 | ) | 10.33 | (13.11 | ) | 246,617 | 0.12 | 0.15 | 3.36 | 17 | ||||||||||||||||||||||||||
2007 | 13.15 | 0.43 | # | 0.21 | 0.21 | (0.44 | ) | (0.54 | ) | 13.02 | 6.48 | 313,829 | 0.13 | 0.16 | 3.13 | 13 | ||||||||||||||||||||||||||||
2006 | 12.94 | 0.40 | # | 0.17 | 0.20 | (0.41 | ) | (0.15 | ) | 13.15 | 5.99 | 308,802 | 0.13 | 0.18 | 3.08 | 9 | ||||||||||||||||||||||||||||
2005 | 13.18 | 0.33 | # | 0.09 | 0.02 | (0.32 | ) | (0.36 | ) | 12.94 | 3.31 | 280,256 | 0.13 | 0.19 | 2.51 | 20 | ||||||||||||||||||||||||||||
Balanced Allocation Fund | ||||||||||||||||||||||||||||||||||||||||||||
GS4 Class | ||||||||||||||||||||||||||||||||||||||||||||
2010(6) | $ | 11.14 | $ | 0.10 | # | $ | 0.01 | $ | (0.30 | ) | $ | — | $ | — | $ | 10.95 | (1.71 | )% | $ | 1,084,549 | 0.12 | % | 0.13 | % | 1.86 | % | 7 | % | ||||||||||||||||
2009 | 9.20 | 0.26 | # | 0.05 | 1.97 | (0.27 | ) | (0.07 | ) | 11.14 | 25.05 | 1,132,991 | 0.12 | 0.13 | 2.58 | 19 | ||||||||||||||||||||||||||||
2008 | 14.13 | 0.39 | # | 0.13 | (3.99 | ) | (0.43 | ) | (1.03 | ) | 9.20 | (24.41 | ) | 905,743 | 0.12 | 0.13 | 3.05 | 19 | ||||||||||||||||||||||||||
2007 | 14.61 | 0.41 | # | 0.48 | 0.16 | (0.48 | ) | (1.05 | ) | 14.13 | 7.16 | 1,348,204 | 0.13 | 0.13 | 2.68 | 7 | ||||||||||||||||||||||||||||
2006 | 14.20 | 0.36 | # | 0.39 | 0.50 | (0.40 | ) | (0.44 | ) | 14.61 | 8.78 | 1,400,001 | 0.13 | 0.14 | 2.44 | 7 | ||||||||||||||||||||||||||||
2005 | 14.27 | 0.32 | # | 0.21 | 0.36 | (0.36 | ) | (0.60 | ) | 14.20 | 6.24 | 1,273,855 | 0.13 | 0.14 | 2.18 | 10 | ||||||||||||||||||||||||||||
Growth Allocation Fund | ||||||||||||||||||||||||||||||||||||||||||||
GS4 Class | ||||||||||||||||||||||||||||||||||||||||||||
2010(6) | $ | 11.11 | $ | 0.07 | # | $ | — | † | $ | (0.64 | ) | $ | — | $ | — | $ | 10.54 | (5.13 | )% | $ | 776,156 | 0.12 | % | 0.13 | % | 1.27 | % | 3 | % | |||||||||||||||
2009 | 8.86 | 0.18 | # | 0.02 | 2.25 | (0.15 | ) | (0.05 | ) | 11.11 | 27.96 | 840,810 | 0.12 | 0.13 | 1.88 | 11 | ||||||||||||||||||||||||||||
2008 | 15.34 | 0.28 | # | 0.13 | (5.50 | ) | (0.29 | ) | (1.10 | ) | 8.86 | (32.98 | ) | 667,769 | 0.12 | 0.13 | 2.15 | 13 | ||||||||||||||||||||||||||
2007 | 16.05 | 0.30 | # | 0.78 | 0.07 | (0.43 | ) | (1.43 | ) | 15.34 | 7.16 | 1,095,092 | 0.13 | 0.13 | 1.80 | 5 | ||||||||||||||||||||||||||||
2006 | 15.45 | 0.27 | # | 0.63 | 0.81 | (0.35 | ) | (0.76 | ) | 16.05 | 11.03 | 1,137,039 | 0.13 | 0.14 | 1.66 | 7 | ||||||||||||||||||||||||||||
2005 | 15.03 | 0.23 | # | 0.31 | 0.68 | (0.31 | ) | (0.49 | ) | 15.45 | 8.09 | 1,046,061 | 0.13 | 0.14 | 1.50 | 5 | ||||||||||||||||||||||||||||
Aggressive Allocation Fund | ||||||||||||||||||||||||||||||||||||||||||||
GS4 Class | ||||||||||||||||||||||||||||||||||||||||||||
2010(6) | $ | 10.43 | $ | 0.03 | # | $ | — | $ | (0.92 | ) | $ | — | $ | — | $ | 9.54 | (8.53 | )% | $ | 655,596 | 0.12 | % | 0.13 | % | 0.67 | % | 1 | % | ||||||||||||||||
2009 | 8.13 | 0.10 | # | — | † | 2.38 | (0.10 | ) | (0.08 | ) | 10.43 | 30.82 | 729,734 | 0.12 | 0.14 | 1.17 | 3 | |||||||||||||||||||||||||||
2008 | 16.31 | 0.16 | # | 0.12 | (7.01 | ) | (0.14 | ) | (1.31 | ) | 8.13 | (41.05 | ) | 547,313 | 0.12 | 0.13 | 1.21 | 7 | ||||||||||||||||||||||||||
2007 | 17.23 | 0.17 | # | 1.11 | (0.04 | ) | (0.36 | ) | (1.80 | ) | 16.31 | 7.17 | 1,000,850 | 0.13 | 0.13 | 0.94 | 2 | |||||||||||||||||||||||||||
2006 | 16.28 | 0.15 | # | 0.88 | 1.13 | (0.28 | ) | (0.93 | ) | 17.23 | 13.20 | 1,031,999 | 0.13 | 0.14 | 0.90 | 4 | ||||||||||||||||||||||||||||
2005 | 15.55 | 0.13 | # | 0.41 | 0.98 | (0.23 | ) | (0.56 | ) | 16.28 | 9.75 | 940,769 | 0.13 | 0.14 | 0.85 | 4 |
† | Amount represents less than $0.005 per share. |
# | Calculated using the average shares outstanding method. |
(1) | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. |
(2) | Includes dividends paid from the short-term portion of capital gain distributions received from affiliated Funds. (3) Does not include expenses of the investment companies in which the Fund invests. |
(4) | The ratio excludes expenses waived/reimbursed net of amount recaptured. |
(5) | The ratio includes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were excluded, the ratio would have been lower than the ratio shown. |
(6) | For the six months ended June 30, 2010. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
See Notes to Financial Statements.
26
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CONSERVATIVE ALLOCATION FUND I SCHEDULE OF INVESTMENTS | June 30, 2010 (Unaudited) |
Shares | Value | |||||
MUTUAL FUNDS — 101.3% | ||||||
GuideStone Money Market Fund (GS2 Class)¥ | 1,763,742 | $ | 1,763,742 | |||
GuideStone Low-Duration Bond Fund (GS2 Class)¥ | 4,518,869 | 39,811,233 | ||||
GuideStone Inflation Protected Bond Fund (GS4 Class)¥ | 926,795 | 9,824,031 | ||||
GuideStone Equity Index Fund (GS2 Class)¥ | 145,168 | 1,030,690 | ||||
GuideStone Value Equity Fund (GS2 Class)¥ | 725,764 | 4,252,979 | ||||
GuideStone Growth Equity Fund (GS2 Class)¥ | 482,984 | 4,433,791 | ||||
GuideStone Small Cap Equity Fund (GS2 Class)¥ | 151,514 | 1,128,780 | ||||
GuideStone International Equity Fund (GS2 Class)¥ | 559,957 | 4,754,038 | ||||
Total Mutual Funds | 66,999,284 | |||||
TOTAL INVESTMENTS — 101.3% | 66,999,284 | |||||
Liabilities in Excess of Other Assets — (1.3)% | (889,363 | ) | ||||
NET ASSETS — 100.0% | $ | 66,109,921 | ||||
Please see abbreviation and footnote definitions on page 127.
PORTFOLIO SUMMARY (based on net assets)
% | ||
Bond Funds | 75.0 | |
Domestic Equity Funds | 16.4 | |
International Equity Fund | 7.2 | |
Money Market Fund | 2.7 | |
101.3 | ||
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2010, in valuing the Fund’s investments carried at fair value:
Valuation Inputs | Investments in Securities | Other Financial Instruments*** | ||||
Level 1 — Quoted Prices | $ | 66,999,284 | $ | — | ||
Mutual Funds | ||||||
Level 2 — Other Significant Observable Inputs | — | — | ||||
Level 3 — Significant Unobservable Inputs | — | — | ||||
Total | $ | 66,999,284 | $ | — | ||
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
See Notes to Financial Statements.
27
Table of Contents
SCHEDULE OF INVESTMENTS | June 30, 2010 (Unaudited) |
Shares | Value | ||||||
MUTUAL FUNDS — 98.4% | |||||||
GuideStone Money Market Fund (GS2 Class)¥ | 1,329,823 | $ | 1,329,823 | ||||
GuideStone Low-Duration Bond Fund (GS2 Class)¥ | 5,433,943 | 47,873,036 | |||||
GuideStone Medium-Duration Bond Fund (GS2 Class)¥ | 8,926,962 | 68,826,880 | |||||
GuideStone Extended-Duration Bond Fund (GS2 Class)¥ | 3,773,866 | 27,134,097 | |||||
GuideStone Global Bond Fund (GS4 Class)¥ | 1,718,857 | 16,191,638 | |||||
GuideStone Equity Index Fund (GS2 Class)¥ | 1,345,444 | 9,552,649 | |||||
GuideStone Value Equity Fund (GS2 Class)¥ | 7,230,389 | 42,370,079 | |||||
GuideStone Growth Equity Fund (GS2 Class)¥ | 4,621,482 | 42,425,206 | |||||
GuideStone Small Cap Equity Fund (GS2 Class)¥ | 1,448,538 | 10,791,608 | |||||
GuideStone International Equity Fund (GS2 Class)¥ | 5,280,117 | 44,828,197 | |||||
Total Mutual Funds | 311,323,213 | ||||||
Par | |||||||
U.S. TREASURY OBLIGATIONS — 1.8% | |||||||
U.S. Treasury Bill 0.20%, 11/18/10‡‡ | $ | 385,000 | 384,738 | ||||
U.S. Treasury Note 4.13%, 05/15/15 | 4,745,000 | 5,271,771 | |||||
Total U.S. Treasury Obligations | 5,656,509 | ||||||
TOTAL INVESTMENTS — 100.2% | 316,979,722 | ||||||
Liabilities in Excess of Other Assets — (0.2)% | (671,788 | ) | |||||
NET ASSETS — 100.0% | $ | 316,307,934 | |||||
Please see abbreviation and footnote definitions on page 127.
PORTFOLIO SUMMARY (based on net assets)
% | ||
Bond Funds | 50.6 | |
Domestic Equity Funds | 33.2 | |
International Equity Fund | 14.2 | |
U.S. Treasury Obligations | 1.8 | |
Futures Contracts | 1.0 | |
Money Market Fund | 0.4 | |
101.2 | ||
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2010, in valuing the Fund’s investments carried at fair value:
Valuation Inputs | Investments in Securities | Other Financial Instruments*** | |||||
Level 1 — Quoted Prices | |||||||
Futures Contracts | $ | — | $ | (56,514 | ) | ||
Mutual Funds | 311,323,213 | — | |||||
Level 2 — Other Significant Observable Inputs | |||||||
U.S. Treasury Obligations | 5,656,509 | — | |||||
Level 3 — Significant Unobservable Inputs | — | — | |||||
Total | $ | 316,979,722 | $ | (56,514 | ) | ||
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
See Notes to Financial Statements.
28
Table of Contents
SCHEDULE OF INVESTMENTS | June 30, 2010 (Unaudited) |
Shares | Value | ||||||
MUTUAL FUNDS — 99.3% | |||||||
GuideStone Money Market Fund (GS2 Class)¥ | 3,084,385 | $ | 3,084,385 | ||||
GuideStone Low-Duration Bond Fund (GS2 Class)¥ | 1,737,620 | 15,308,435 | |||||
GuideStone Medium-Duration Bond Fund (GS2 Class)¥ | 2,827,060 | 21,796,632 | |||||
GuideStone Extended-Duration Bond Fund (GS2 Class)¥ | 1,188,290 | 8,543,804 | |||||
GuideStone Global Bond Fund (GS4 Class)¥ | 548,479 | 5,166,675 | |||||
GuideStone Equity Index Fund (GS2 Class)¥ | 1,276,465 | 9,062,900 | |||||
GuideStone Value Equity Fund (GS2 Class)¥ | 6,941,278 | 40,675,892 | |||||
GuideStone Growth Equity Fund (GS2 Class)¥ | 4,428,951 | 40,657,774 | |||||
GuideStone Small Cap Equity Fund (GS2 Class)¥ | 1,382,686 | 10,301,011 | |||||
GuideStone International Equity Fund (GS2 Class)¥ | 4,989,676 | 42,362,346 | |||||
Total Mutual Funds | 196,959,854 | ||||||
Par | |||||||
U.S. TREASURY OBLIGATIONS — 0.7% | |||||||
U.S. Treasury Bill 0.20%, 11/18/10‡‡ | $ | 340,000 | 339,769 | ||||
U.S. Treasury Note 4.13%, 05/15/15 | 1,020,000 | 1,133,236 | |||||
Total U.S. Treasury Obligations | 1,473,005 | ||||||
TOTAL INVESTMENTS — 100.0% | 198,432,859 | ||||||
Liabilities in Excess of Other Assets — 0.0% | (65,533 | ) | |||||
NET ASSETS — 100.0% | $ | 198,367,326 | |||||
Please see abbreviation and footnote definitions on page 127.
PORTFOLIO SUMMARY (based on net assets)
% | ||
Domestic Equity Funds | 50.8 | |
Bond Funds | 25.6 | |
International Equity Fund | 21.4 | |
Futures Contracts | 1.7 | |
Money Market Fund | 1.6 | |
U.S. Treasury Obligations | 0.7 | |
101.8 | ||
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2010, in valuing the Fund’s investments carried at fair value:
Valuation Inputs | Investments in Securities | Other Financial Instruments*** | |||||
Level 1 — Quoted Prices | |||||||
Futures Contracts | $ | — | $ | (92,345 | ) | ||
Mutual Funds | 196,959,854 | ||||||
Level 2 — Other Significant Observable Inputs | |||||||
U.S. Treasury Obligations | 1,473,005 | — | |||||
Level 3 — Significant Unobservable Inputs | — | — | |||||
Total | $ | 198,432,859 | $ | (92,345 | ) | ||
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
See Notes to Financial Statements.
29
Table of Contents
SCHEDULE OF INVESTMENTS | June 30, 2010 (Unaudited) |
Shares | Value | ||||||
MUTUAL FUNDS — 99.8% | |||||||
GuideStone Money Market Fund (GS2 Class)¥ | 2,548,645 | $ | 2,548,645 | ||||
GuideStone Equity Index Fund (GS2 Class)¥ | 1,127,796 | 8,007,350 | |||||
GuideStone Value Equity Fund (GS2 Class)¥ | 6,055,500 | 35,485,229 | |||||
GuideStone Growth Equity Fund (GS2 Class)¥ | 3,861,609 | 35,449,570 | |||||
GuideStone Small Cap Equity Fund (GS2 Class)¥ | 1,234,969 | 9,200,516 | |||||
GuideStone International Equity Fund (GS2 Class)¥ | 4,477,776 | 38,016,316 | |||||
Total Mutual Funds | 128,707,626 | ||||||
Par | |||||||
U.S. TREASURY OBLIGATION — 0.2% | |||||||
U.S. Treasury Bill 0.20%, 11/18/10‡‡ | $ | 285,000 | 284,806 | ||||
TOTAL INVESTMENTS — 100.0% | 128,992,432 | ||||||
Liabilities in Excess of Other Assets — 0.0% | (62,167 | ) | |||||
NET ASSETS — 100.0% | $ | 128,930,265 | |||||
Please see abbreviation and footnote definitions on page 127.
PORTFOLIO SUMMARY (based on net assets) | ||
% | ||
Domestic Equity Funds | 68.4 | |
International Equity Fund | 29.5 | |
Futures Contracts | 2.1 | |
Money Market Fund | 2.0 | |
U.S. Treasury Obligation | 0.2 | |
102.2 | ||
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2010, in valuing the Fund’s investments carried at fair value:
Valuation Inputs | Investments in Securities | Other Financial Instruments*** | |||||
Level 1 — Quoted Prices | |||||||
Futures Contracts | $ | — | $ | (79,069 | ) | ||
Mutual Funds | 128,707,626 | — | |||||
Level 2 — Other Significant Observable Inputs | |||||||
U.S. Treasury Obligation | 284,806 | — | |||||
Level 3 — Significant Unobservable Inputs | — | — | |||||
Total | $ | 128,992,432 | $ | (79,069 | ) | ||
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
See Notes to Financial Statements.
30
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31
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES | June 30, 2010 (Unaudited) |
Conservative Allocation Fund I | Balanced Allocation Fund I | Growth Allocation Fund I | Aggressive Allocation Fund I | |||||||||||||
Assets | ||||||||||||||||
Investments in securities of affiliated issuers, at value | $ | 66,999,284 | $ | 311,323,213 | $ | 196,959,854 | $ | 128,707,626 | ||||||||
Investments in securities of unaffiliated issuers, at value | — | 5,656,509 | 1,473,005 | 284,806 | ||||||||||||
Total investments (1) | 66,999,284 | 316,979,722 | 198,432,859 | 128,992,432 | ||||||||||||
Receivables: | ||||||||||||||||
Dividends | 156 | 310 | 399 | 339 | ||||||||||||
Interest | — | 24,998 | 5,374 | — | ||||||||||||
Investment securities sold | — | 4,677,679 | 1,308,124 | 366 | ||||||||||||
Fund shares sold | — | 13,710 | 1,416 | 41 | ||||||||||||
Receivable from advisor | 225 | — | — | — | ||||||||||||
Prepaid expenses and other assets | 4,508 | 4,508 | 4,508 | 4,508 | ||||||||||||
Total Assets | 67,004,173 | 321,700,927 | 199,752,680 | 128,997,686 | ||||||||||||
Liabilities | ||||||||||||||||
Payables: | ||||||||||||||||
Investment securities purchased | 736,000 | 5,294,138 | 1,197,896 | — | ||||||||||||
Fund shares redeemed | 140,424 | 34,746 | 123,289 | 15,226 | ||||||||||||
Variation margin | — | 17,094 | 28,275 | 23,055 | ||||||||||||
Accrued expenses: | ||||||||||||||||
Investment advisory fees | — | 26,872 | 17,195 | 10,597 | ||||||||||||
Other expenses | 17,828 | 20,143 | 18,699 | 18,543 | ||||||||||||
Total Liabilities | 894,252 | 5,392,993 | 1,385,354 | 67,421 | ||||||||||||
Net Assets | $ | 66,109,921 | $ | 316,307,934 | $ | 198,367,326 | $ | 128,930,265 | ||||||||
Net Assets Consist of: | ||||||||||||||||
Paid-in-capital | $ | 72,877,605 | $ | 382,149,868 | $ | 259,924,055 | $ | 190,253,845 | ||||||||
Undistributed net investment income | 1,568,609 | 10,983,876 | 4,069,791 | 3,545,923 | ||||||||||||
Accumulated net realized loss on investments and futures transactions | (6,134,489 | ) | (26,476,323 | ) | (10,028,342 | ) | (10,215,673 | ) | ||||||||
Net unrealized appreciation (depreciation) on investments and futures | (2,201,804 | ) | (50,349,487 | ) | (55,598,178 | ) | (54,653,830 | ) | ||||||||
Net Assets | $ | 66,109,921 | $ | 316,307,934 | $ | 198,367,326 | $ | 128,930,265 | ||||||||
Net Asset Value: | ||||||||||||||||
$0.001 par value, unlimited shares authorized | ||||||||||||||||
Net assets applicable to the GS2 Class | $ | 66,109,921 | $ | 316,307,934 | $ | 198,367,326 | $ | 128,930,265 | ||||||||
GS2 shares outstanding | 7,278,329 | 35,718,006 | 22,892,521 | 15,292,391 | ||||||||||||
Net asset value, offering and redemption price per GS2 share | $ | 9.08 | $ | 8.86 | $ | 8.67 | $ | 8.43 | ||||||||
(1) Investments in securities of affiliated issuers, at cost | $ | 69,201,088 | $ | 361,618,854 | $ | 252,466,434 | $ | 183,282,415 | ||||||||
Investments in securities of unaffiliated issuers, at cost | — | 5,653,841 | 1,472,258 | 284,778 | ||||||||||||
Total investments at cost | $ | 69,201,088 | $ | 367,272,695 | $ | 253,938,692 | $ | 183,567,193 | ||||||||
See Notes to Financial Statements
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STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2010 (Unaudited) |
Conservative Allocation Fund I | Balanced Allocation Fund I | Growth Allocation Fund I | Aggressive Allocation Fund I | |||||||||||||
Investment Income | ||||||||||||||||
Income dividends received from affiliated funds | $ | 912,614 | $ | 5,893,283 | $ | 2,742,679 | $ | 1,144,859 | ||||||||
Interest | (435 | ) | 33,018 | 12,802 | 172 | |||||||||||
Total Investment Income | 912,179 | 5,926,301 | 2,755,481 | 1,145,031 | ||||||||||||
Expenses | ||||||||||||||||
Investment advisory fees | 32,706 | 165,451 | 106,455 | 71,991 | ||||||||||||
Transfer agent fees: | ||||||||||||||||
GS2 | 1,873 | 1,920 | 1,884 | 1,888 | ||||||||||||
Custodian fees | 3,332 | 5,416 | 4,516 | 3,790 | ||||||||||||
Accounting and administration fees | 4,363 | 11,525 | 8,149 | 6,228 | ||||||||||||
Professional fees | 20,694 | 20,694 | 20,694 | 20,694 | ||||||||||||
Blue sky fees: | ||||||||||||||||
GS2 | 672 | 672 | 672 | 672 | ||||||||||||
Shareholder reporting fees | 188 | 300 | 206 | 244 | ||||||||||||
Trustee expenses | 237 | 1,111 | 688 | 460 | ||||||||||||
Line of credit facility fees | 402 | 1,857 | 1,139 | 751 | ||||||||||||
Other expenses | 5,173 | 5,675 | 5,175 | 5,176 | ||||||||||||
Total Expenses | 69,640 | 214,621 | 149,578 | 111,894 | ||||||||||||
Expenses waived/reimbursed net of amount recaptured(1) | (20,582 | ) | — | 1,095 | (3,450 | ) | ||||||||||
Net expenses | 49,058 | 214,621 | 150,673 | 108,444 | ||||||||||||
Net Investment Income | 863,121 | 5,711,680 | 2,604,808 | 1,036,587 | ||||||||||||
Realized and Unrealized Gain (Loss) | ||||||||||||||||
Capital gain distributions received from affiliated funds | 31,710 | 316,088 | 99,215 | — | ||||||||||||
Net realized loss on investment securities of affiliated issuers | (207,082 | ) | (2,823,150 | ) | (1,584,439 | ) | (2,056,132 | ) | ||||||||
Net realized gain on investment securities of unaffiliated issuers | 12,912 | 138,431 | 52,431 | — | ||||||||||||
Net realized loss on futures transactions | — | (14,855 | ) | (155,443 | ) | (60,750 | ) | |||||||||
Net realized loss | (162,460 | ) | (2,383,486 | ) | (1,588,236 | ) | (2,116,882 | ) | ||||||||
Change in unrealized depreciation on investment securities of affiliated issuers | (540,907 | ) | (8,421,281 | ) | (11,552,590 | ) | (10,720,859 | ) | ||||||||
Change in unrealized appreciation on investment securities of unaffiliated issuers | — | 2,548 | 699 | 18 | ||||||||||||
Change in unrealized depreciation on futures | — | (106,297 | ) | (132,886 | ) | (120,358 | ) | |||||||||
Net change in unrealized appreciation (depreciation) | (540,907 | ) | (8,525,030 | ) | (11,684,777 | ) | (10,841,199 | ) | ||||||||
Net Realized and Unrealized Loss | (703,367 | ) | (10,908,516 | ) | (13,273,013 | ) | (12,958,081 | ) | ||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 159,754 | $ | (5,196,836 | ) | $ | (10,668,205 | ) | $ | (11,921,494 | ) | |||||
(1) | See Note 3a and 3c in Notes to Financial Statements. |
See Notes to Financial Statements.
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STATEMENTS OF CHANGES IN NET ASSETS
Conservative Allocation Fund I | Balanced Allocation Fund I | |||||||||||||||
For the Six Months Ended 06/30/10 (Unaudited) | For the Year Ended 12/31/09 | For the Six Months Ended 06/30/10 (Unaudited) | For the Year Ended 12/31/09 | |||||||||||||
Operations: | ||||||||||||||||
Net investment income | $ | 863,121 | $ | 2,122,877 | $ | 5,711,680 | $ | 12,511,014 | ||||||||
Net realized loss on investment securities and futures transactions | (162,460 | ) | (3,478,084 | ) | (2,383,486 | ) | (9,521,918 | ) | ||||||||
Net change in unrealized appreciation (depreciation) on investment securities and futures | (540,907 | ) | 10,426,841 | (8,525,030 | ) | 61,035,909 | ||||||||||
Net increase (decrease) in net assets resulting from operations | 159,754 | 9,071,634 | (5,196,836 | ) | 64,025,005 | |||||||||||
Dividends to Shareholders: | ||||||||||||||||
Dividends from net investment income(1) | — | (2,128,240 | ) | — | (15,067,834 | ) | ||||||||||
Total dividends | — | (2,128,240 | ) | — | (15,067,834 | ) | ||||||||||
Capital Share Transactions: | ||||||||||||||||
Proceeds from GS2 shares sold | 5,108,820 | 8,391,907 | 8,286,104 | 22,306,268 | ||||||||||||
Reinvestment of dividends and distributions into GS2 shares | — | 2,122,742 | — | 15,033,265 | ||||||||||||
Value of GS2 shares redeemed | (3,388,845 | ) | (7,544,466 | ) | (13,457,323 | ) | (19,743,274 | ) | ||||||||
Net increase (decrease) from capital share transactions(2) | 1,719,975 | 2,970,183 | (5,171,219 | ) | 17,596,259 | |||||||||||
Total increase (decrease) in net assets | 1,879,729 | 9,913,577 | (10,368,055 | ) | 66,553,430 | |||||||||||
Net Assets: | ||||||||||||||||
Beginning of Period | 64,230,192 | 54,316,615 | 326,675,989 | 260,122,559 | ||||||||||||
End of Period* | $ | 66,109,921 | $ | 64,230,192 | $ | 316,307,934 | $ | 326,675,989 | ||||||||
* Including undistributed net investment income | $ | 1,568,609 | $ | 705,488 | $ | 10,983,876 | $ | 5,272,196 | ||||||||
(1) | Includes dividends paid from the short-term portion of capital gain distributions received from affiliated funds. |
(2) | See Note 7 in Notes to Financial Statements. |
See Notes to Financial Statements.
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Table of Contents
Growth Allocation Fund I | Aggressive Allocation Fund I | ||||||||||||
For the Six Months Ended 06/30/10 (Unaudited) | For the Year Ended 12/31/09 | For the Six Months Ended 06/30/10 (Unaudited) | For the Year Ended 12/31/09 | ||||||||||
$ | 2,604,808 | $ | 5,769,241 | $ | 1,036,587 | $ | 2,510,787 | ||||||
(1,588,236) | (3,897,122 | ) | (2,116,882 | ) | (3,226,596 | ) | |||||||
(11,684,777) | 43,329,239 | (10,841,199 | ) | 34,619,327 | |||||||||
(10,668,205) | 45,201,358 | (11,921,494 | ) | 33,903,518 | |||||||||
— | (6,560,814 | ) | — | (3,254,796 | ) | ||||||||
— | (6,560,814 | ) | — | (3,254,796 | ) | ||||||||
6,861,557 | 15,197,050 | 4,546,300 | 13,301,477 | ||||||||||
— | 6,539,648 | — | 3,251,584 | ||||||||||
(6,885,191) | (13,133,053 | ) | (6,958,422 | ) | (13,493,549 | ) | |||||||
(23,634) | 8,603,645 | (2,412,122 | ) | 3,059,512 | |||||||||
(10,691,839) | 47,244,189 | (14,333,616 | ) | 33,708,234 | |||||||||
209,059,165 | 161,814,976 | 143,263,881 | 109,555,647 | ||||||||||
$ | 198,367,326 | $ | 209,059,165 | $ | 128,930,265 | $ | 143,263,881 | ||||||
$ | 4,069,791 | $ | 1,464,983 | $ | 3,545,923 | $ | 2,509,336 | ||||||
See Notes to Financial Statements.
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Table of Contents
FINANCIAL HIGHLIGHTS (Unaudited) |
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year | Net Investment Income (1) | Capital Gain Distributions Received from Affiliated Funds | Realized and Unrealized Gain (Loss) on Investments | Dividends from Net Investment Income (2) | Distributions from Net Realized Capital Gains | Net Asset Value, End of Year | Total Return | Net Assets, End of Year (000) | Expenses, Net(3) | Expenses, Gross(3)(4) | Investment Income, Net (1)(5) | Portfolio Turnover Rate | ||||||||||||||||||||||||||||||||
Conservative Allocation Fund I |
| |||||||||||||||||||||||||||||||||||||||||||
GS2 Class | ||||||||||||||||||||||||||||||||||||||||||||
2010(6) | $ | 9.06 | $ | 0.12 | # | $ | — | † | $ | (0.10 | ) | $ | — | $ | — | $ | 9.08 | 0.22 | % | $ | 66,110 | 0.15 | % | 0.21 | % | 2.64 | % | 2 | % | |||||||||||||||
2009 | 8.00 | 0.32 | # | — | † | 1.05 | (0.31 | ) | — | 9.06 | 17.13 | 64,230 | 0.15 | 0.23 | 3.70 | 35 | ||||||||||||||||||||||||||||
2008 | 9.86 | 0.49 | 0.03 | (1.81 | ) | (0.39 | ) | (0.18 | ) | 8.00 | (12.98 | ) | 54,317 | 0.15 | 0.22 | 5.21 | 25 | |||||||||||||||||||||||||||
2007 | 10.05 | 0.50 | 0.23 | (0.07 | ) | (0.54 | ) | (0.31 | ) | 9.86 | 6.55 | 67,231 | 0.16 | 0.22 | 4.77 | 25 | ||||||||||||||||||||||||||||
2006 | 10.15 | 0.46 | 0.19 | (0.02 | ) | (0.49 | ) | (0.24 | ) | 10.05 | 6.21 | 57,188 | 0.17 | 0.30 | 4.53 | 16 | ||||||||||||||||||||||||||||
2005 | 10.31 | 0.36 | 0.10 | (0.10 | ) | (0.38 | ) | (0.14 | ) | 10.15 | 3.46 | 54,231 | 0.17 | 0.30 | 3.52 | 16 | ||||||||||||||||||||||||||||
Balanced Allocation Fund I |
| |||||||||||||||||||||||||||||||||||||||||||
GS2 Class | ||||||||||||||||||||||||||||||||||||||||||||
2010(6) | $ | 9.00 | $ | 0.16 | # | $ | 0.01 | $ | (0.31 | ) | $ | — | $ | — | $ | 8.86 | (1.56 | )% | $ | 316,308 | 0.13 | % | 0.13 | % | 3.49 | % | 8 | % | ||||||||||||||||
2009 | 7.53 | 0.37 | # | 0.08 | 1.46 | (0.44 | ) | — | 9.00 | 25.28 | 326,676 | 0.14 | 0.14 | 4.46 | 20 | |||||||||||||||||||||||||||||
2008 | 11.07 | 0.51 | # | 0.17 | (3.38 | ) | (0.42 | ) | (0.42 | ) | 7.53 | (24.26 | ) | 260,123 | 0.14 | 0.14 | 5.16 | 23 | ||||||||||||||||||||||||||
2007 | 11.35 | 0.55 | # | 0.66 | (0.38 | ) | (0.62 | ) | (0.49 | ) | 11.07 | 7.32 | 353,793 | 0.16 | 0.14 | 4.62 | 12 | |||||||||||||||||||||||||||
2006 | 11.32 | 0.46 | # | 0.45 | 0.09 | (0.50 | ) | (0.47 | ) | 11.35 | 8.85 | 262,451 | 0.17 | 0.18 | 3.93 | 13 | ||||||||||||||||||||||||||||
2005 | 11.23 | 0.40 | # | 0.25 | 0.07 | (0.46 | ) | (0.17 | ) | 11.32 | 6.42 | 239,244 | 0.17 | 0.18 | 3.49 | 11 | ||||||||||||||||||||||||||||
Growth Allocation Fund I |
| |||||||||||||||||||||||||||||||||||||||||||
GS2 Class | ||||||||||||||||||||||||||||||||||||||||||||
2010(6) | $ | 9.13 | $ | 0.11 | # | $ | — | † | $ | (0.57 | ) | $ | — | $ | — | $ | 8.67 | (5.04 | )% | $ | 198,367 | 0.14 | % | 0.14 | % | 2.49 | % | 6 | % | |||||||||||||||
2009 | 7.35 | 0.26 | # | 0.04 | 1.78 | (0.30 | ) | — | 9.13 | 28.22 | 209,059 | 0.15 | 0.15 | 3.28 | 13 | |||||||||||||||||||||||||||||
2008 | 12.53 | 0.39 | # | 0.16 | (4.69 | ) | (0.34 | ) | (0.70 | ) | 7.35 | (32.82 | ) | 161,815 | 0.15 | 0.14 | 3.65 | 18 | ||||||||||||||||||||||||||
2007 | 12.96 | 0.41 | 0.92 | (0.37 | ) | (0.58 | ) | (0.81 | ) | 12.53 | 7.40 | 251,579 | 0.16 | 0.15 | 3.20 | 9 | ||||||||||||||||||||||||||||
2006 | 12.62 | 0.34 | 0.73 | 0.35 | (0.44 | ) | (0.64 | ) | 12.96 | 11.21 | 187,536 | 0.17 | 0.20 | 2.73 | 9 | |||||||||||||||||||||||||||||
2005 | 12.17 | 0.29 | 0.38 | 0.33 | (0.39 | ) | (0.16 | ) | 12.62 | 8.20 | 159,849 | 0.17 | 0.20 | 2.42 | 8 | |||||||||||||||||||||||||||||
Aggressive Allocation Fund I |
| |||||||||||||||||||||||||||||||||||||||||||
GS2 Class | ||||||||||||||||||||||||||||||||||||||||||||
2010(6) | $ | 9.21 | $ | 0.07 | # | $ | — | $ | (0.85 | ) | $ | — | $ | — | $ | 8.43 | (8.47 | )% | $ | 128,930 | 0.15 | % | 0.16 | % | 1.47 | % | 2 | % | ||||||||||||||||
2009 | 7.20 | 0.16 | # | — | † | 2.06 | (0.21 | ) | — | 9.21 | 30.87 | 143,264 | 0.15 | 0.17 | 2.10 | 5 | ||||||||||||||||||||||||||||
2008 | 14.07 | 0.24 | # | 0.14 | (6.15 | ) | — | (1.10 | ) | 7.20 | (40.87 | ) | 109,556 | 0.15 | 0.16 | 2.08 | 10 | |||||||||||||||||||||||||||
2007 | 14.56 | 0.27 | 1.37 | (0.56 | ) | (0.52 | ) | (1.05 | ) | 14.07 | 7.38 | 198,847 | 0.16 | 0.15 | 1.81 | 7 | ||||||||||||||||||||||||||||
2006 | 14.01 | 0.21 | 1.09 | 0.57 | (0.36 | ) | (0.96 | ) | 14.56 | 13.33 | 142,218 | 0.17 | 0.21 | 1.47 | 8 | |||||||||||||||||||||||||||||
2005 | 13.16 | 0.18 | 0.52 | 0.62 | (0.31 | ) | (0.16 | ) | 14.01 | 9.98 | 125,826 | 0.17 | 0.21 | 1.38 | 5 |
† | Amount represents less than $0.005 per share. |
# | Calculated using the average shares outstanding method. |
(1) | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. |
(2) | Includes dividends paid from the short-term portion of capital gain distributions received from affiliated Funds. |
(3) | Does not include expenses of the investment companies in which the Fund invests. |
(4) | The ratio excludes expenses waived/reimbursed net of amount recaptured. |
(5) | The ratio includes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were excluded, the ratio would have been lower than the ratio shown. |
(6) | For the six months ended June 30, 2010. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
See Notes to Financial Statements.
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SCHEDULE OF INVESTMENTS | June 30, 2010 (Unaudited) |
Par | Value | |||||
AGENCY OBLIGATIONS — 5.2% | ||||||
Federal Home Loan Mortgage Corporation | ||||||
0.20%, 07/23/10W | $ | 8,300,000 | $ | 8,298,986 | ||
0.23%, 05/05/11† | 17,000,000 | 16,995,670 | ||||
0.31%, 02/16/12† | 6,000,000 | 5,996,058 | ||||
Federal National Mortgage Association | ||||||
0.29%, 10/27/10W | 15,000,000 | 14,985,988 | ||||
0.30%, 05/13/11† | 15,000,000 | 15,002,468 | ||||
Total Agency Obligations | 61,279,170 | |||||
CERTIFICATES OF DEPOSIT — 19.6% | ||||||
Abbey National Treasury Services PLC CT | ||||||
0.56%, 07/20/10† | 8,500,000 | 8,500,000 | ||||
0.37%, 11/17/10† | 10,000,000 | 10,000,000 | ||||
Banco Bilbao Vizcaya Argentaria S.A. NY | ||||||
0.37%, 07/12/10† | 15,000,000 | 15,000,023 | ||||
0.44%, 12/13/10† | 4,000,000 | 4,000,000 | ||||
Barclays Bank PLC NY | ||||||
0.42%, 08/18/10 | 8,945,000 | 8,945,000 | ||||
BNP Paribas NY | ||||||
0.35%, 10/15/10 | 10,000,000 | 10,000,000 | ||||
Commonwealth Bank of Australia | ||||||
0.34%, 11/22/10 144A | 6,000,000 | 6,000,000 | ||||
Credit Agricole CIB NY | ||||||
0.35%, 10/12/10 | 10,000,000 | 10,000,000 | ||||
Deutsche Bank AG NY | ||||||
0.30%, 07/27/10 | 20,000,000 | 20,000,000 | ||||
Dexia Credit Local NY | ||||||
1.05%, 04/18/11† | 14,000,000 | 14,000,000 | ||||
Rabobank Nederland NV NY | ||||||
0.35%, 01/10/11† | 6,000,000 | 6,000,000 | ||||
0.35%, 01/13/11† | 12,000,000 | 12,000,000 | ||||
0.79%, 04/07/11 144A | 11,800,000 | 11,800,000 | ||||
Royal Bank of Canada NY | ||||||
0.35%, 11/12/10 | 12,560,000 | 12,560,000 | ||||
Royal Bank of Scotland PLC NY | ||||||
0.38%, 07/07/10 | 10,000,000 | 10,000,000 | ||||
0.00%, 07/21/10 | 10,000,000 | 10,000,000 | ||||
0.40%, 07/26/10 | 10,000,000 | 10,000,000 | ||||
Societe Generale NY | ||||||
0.38%, 07/12/10† | 3,000,000 | 3,000,000 | ||||
State Street Bank and Trust Co. | ||||||
0.29%, 07/07/10 | 20,000,000 | 20,000,000 | ||||
Toronto Dominion Bank NY | ||||||
0.35%, 11/05/10 | 11,000,000 | 11,000,000 | ||||
0.35%, 02/04/11† | 3,500,000 | 3,500,000 | ||||
Westpac Banking Corporation NY | ||||||
0.40%, 10/19/10† | 6,395,000 | 6,395,000 | ||||
0.41%, 10/21/10 | 6,100,000 | 6,100,000 | ||||
Total Certificates of Deposit | 228,800,023 | |||||
COMMERCIAL PAPER — 36.9% | ||||||
BNZ International Funding, Ltd. | ||||||
0.43%, 02/04/11 | 9,000,000 | 9,000,543 | ||||
Bryant Park Funding LLC | ||||||
0.33%, 07/12/10 | 10,795,000 | 10,793,912 | ||||
Cancara Asset Securitisation LLC | ||||||
0.31%, 07/22/10 | 20,000,000 | 19,996,383 | ||||
Ciesco LLC | ||||||
0.42%, 08/31/10 | 20,000,000 | 19,985,767 | ||||
Commonwealth Bank of Australia | ||||||
0.39%, 10/15/10 | 10,000,000 | 10,000,000 | ||||
Dexia Delaware LLC | ||||||
0.19%, 07/01/10 | 15,000,000 | 15,000,000 | ||||
0.44%, 07/02/10 | 15,000,000 | 14,999,817 | ||||
DnB NOR Bank ASA | ||||||
0.48%, 09/20/10 | 5,000,000 | 4,994,600 | ||||
0.47%, 09/28/10 | 20,000,000 | 19,976,761 | ||||
Eksportfinans ASA | ||||||
0.41%, 11/09/10 | 10,000,000 | 10,000,000 | ||||
ING US Funding LLC | ||||||
0.31%, 07/12/10 | 23,000,000 | 22,997,821 | ||||
0.32%, 07/16/10 | 10,000,000 | 9,998,667 | ||||
JPMorgan Chase & Co. | ||||||
0.25%, 07/14/10 | 6,000,000 | 5,999,458 | ||||
Jupiter Securitization Co. LLC | ||||||
0.45%, 08/16/10 | 15,000,000 | 14,991,375 | ||||
KBC Bank NV NY | ||||||
1.56%, 07/01/11 | 6,690,000 | 6,690,000 | ||||
Manhattan Asset Funding LLC | ||||||
0.38%, 07/13/10 | 20,000,000 | 19,997,467 | ||||
Nieuw Amsterdam Receivables Corporation | ||||||
0.40%, 07/20/10 | 12,000,000 | 11,997,467 | ||||
0.41%, 08/18/10 | 10,000,000 | 9,994,533 | ||||
Regency Markets No. 1 LLC | ||||||
0.33%, 07/02/10 | 20,000,000 | 19,999,817 | ||||
0.39%, 07/07/10 | 20,000,000 | 19,998,700 | ||||
Scaldis Capital LLC | ||||||
0.38%, 07/28/10 | 5,000,000 | 4,998,575 | ||||
Solitaire Funding LLC | ||||||
0.32%, 07/01/10 | 17,841,000 | 17,841,000 | ||||
0.39%, 07/12/10 | 10,000,000 | 9,998,808 | ||||
State Street Corporation | ||||||
0.39%, 08/09/10 | 15,000,000 | 14,993,662 | ||||
0.48%, 09/28/10 | 15,000,000 | 14,982,200 | ||||
Straight-A Funding LLC | ||||||
0.29%, 07/12/10 | 15,000,000 | 14,998,671 | ||||
0.29%, 07/13/10 | 23,471,000 | 23,468,731 | ||||
0.40%, 08/13/10 | 7,000,000 | 6,996,656 | ||||
0.39%, 08/17/10 | 5,000,000 | 4,997,454 | ||||
0.42%, 08/20/10 | 5,000,000 | 4,997,083 | ||||
Surrey Funding Corporation | ||||||
0.41%, 08/12/10 | 12,500,000 | 12,494,021 | ||||
Svenska Handelsbanken, Inc. | ||||||
0.31%, 07/21/10 | 10,560,000 | 10,558,181 | ||||
Sydney Capital Corporation | ||||||
0.68%, 09/16/10 | 7,000,000 | 6,989,819 | ||||
Tempo Finance Corporation | ||||||
0.30%, 07/07/10 | 5,000,000 | 4,999,750 | ||||
Total Commercial Paper | 430,727,699 | |||||
37
Table of Contents
MONEY MARKET FUND SCHEDULE OF INVESTMENTS (Continued) |
Par | Value | |||||
MUNICIPAL BONDS — 18.6% | ||||||
California Department of Water Resources, Series C-9 Power Supply Revenue Bond (LOC-Citibank N.A.) | $ | 4,900,000 | $ | 4,900,000 | ||
California Pollution Control Financing Authority, Series E Pollution Control Revenue Bonds (LOC-Bank One N.A.) | 5,800,000 | 5,800,000 | ||||
City of Chicago Wastewater Transmission, Series C-1 Revenue Bond | 4,000,000 | 4,000,000 | ||||
City of Houston, Series 2008D-1 Revenue Bond | 5,000,000 | 5,000,000 | ||||
City of Philadelphia, Series 2009B General Obligation Bond (LOC-Wachovia Bank N.A.) 0.28%, 07/01/10 | 10,000,000 | 10,000,000 | ||||
Connecticut State Health & Educational Facilities Authority, Series K2 Yale-New Haven Hospital Revenue Bond (LOC-JPMorgan Chase Bank) | 13,125,000 | 13,125,000 | ||||
Cook County, Series 2002A General Obligation Bond | 26,800,000 | 26,800,000 | ||||
Los Angeles Community Redevelopment Agency, Hollywood & Vine Apartments, Series A Revenue Bonds | 10,000,000 | 10,000,000 | ||||
New York City Housing Development Corporation, Series A Multi-Family Housing (155 West 21st Street) Revenue Bond | 3,100,000 | 3,100,000 | ||||
New York City Housing Development Corporation, Series A Multi-Family Housing (90 West Street) Revenue Bond | 6,000,000 | 6,000,000 | ||||
New York City Housing Development Corporation, Series A Multi-Family Housing Revenue Bond | 3,000,000 | 3,000,000 | ||||
New York City Housing Development Corporation, Series J-2-B Multi-Family Housing Revenue Bond | 10,100,000 | 10,100,000 | ||||
New York City Industrial Development Agency, New York Law School Project, Series A Revenue Bond (LOC-JPMorgan Chase Bank) | 8,000,000 | 8,000,000 | ||||
New York City Municipal Water Finance Authority, Series B-1 Water and Sewer System Revenue Bond | 6,800,000 | 6,800,000 | ||||
New York Housing Finance Agency, Biltmore Tower Housing Project, Series A Revenue Bond | 4,000,000 | 4,000,000 | ||||
New York Mortgage Agency, Series 125 Homeowner Mortgage Revenue Bond | 6,600,000 | 6,600,000 | ||||
New York State Housing Finance Agency, Series 2001-A The Victory Housing Revenue Bond | 2,700,000 | 2,700,000 | ||||
New York State Housing Finance Agency, Series A 10 Barclay Street Housing Revenue Bond 0.27%, 07/15/10 | 10,000,000 | 10,000,000 | ||||
Ohio Housing Finance Agency, Series C Residential Mortgage Revenue Bond | 10,500,000 | 10,500,000 | ||||
Pennsylvania Higher Educational Facilties Authority, Thomas Jefferson University, Series B Revenue Bond | 5,000,000 | 5,000,000 | ||||
Sacramento Housing Authority, Multifamily Housing (RB) The Lofts at Natomas Apartments Series F | 10,190,000 | 10,190,000 | ||||
South Carolina Transportation Infrastructure Bank (RB) (LOC- WellsFargo Bank) | 19,800,000 | 19,800,000 | ||||
State of Texas, Veterans’ Housing Assistance Program, Series A-2 General Obligation Bond 0.33%, 07/01/10 | 7,700,000 | 7,700,000 | ||||
Triborough Bridge & Tunnel Authority Series 2003B Revenue Bond | 8,700,000 | 8,700,000 | ||||
Wisconsin Housing & Economic Development Authority, Series B Home Ownership Revenue Bond | 10,000,000 | 10,000,000 |
See Notes to Financial Statements.
38
Table of Contents
Par | Value | ||||||
Wisconsin Housing & Economic Development Authority, Series D Home Ownership Revenue Bond | |||||||
0.41%, 09/01/10 | $ | 5,350,000 | $ | 5,350,000 | |||
Total Municipal Bonds | 217,165,000 | ||||||
TIME DEPOSITS — 3.6% | |||||||
Citibank N.A. | 11,501,000 | 11,501,000 | |||||
0.10%, 07/01/10 | |||||||
Deutsche Bank AG | 20,000,000 | 20,000,000 | |||||
0.40%, 07/09/10 | |||||||
0.40%, 07/26/10 | 10,000,000 | 10,000,000 | |||||
Total Time Deposits | 41,501,000 | ||||||
U.S. TREASURY OBLIGATIONS — 16.1% | |||||||
U.S. Treasury Bills | |||||||
0.13%, 07/01/10WD | 11,000,000 | 11,000,000 | |||||
0.31%, 07/15/10W | 23,000,000 | 22,997,227 | |||||
0.32%, 07/15/10W | 10,000,000 | 9,998,775 | |||||
0.39%, 07/15/10W | 23,600,000 | 23,596,467 | |||||
0.47%, 07/29/10WD | 2,500,000 | 2,499,086 | |||||
0.18%, 08/12/10WD | 25,000,000 | 24,994,896 | |||||
0.19%, 08/26/10 | 15,000,000 | 14,995,683 | |||||
0.23%, 08/26/10 | 15,000,000 | 14,994,750 | |||||
0.32%, 08/26/10 | 5,500,000 | 5,497,305 | |||||
0.24%, 09/30/10WD | 12,345,000 | 12,337,511 | |||||
0.23%, 11/04/10WD | 15,000,000 | 14,987,768 | |||||
0.21%, 12/02/10W | 20,000,000 | 19,982,461 | |||||
177,881,929 | |||||||
U.S. Treasury Note | |||||||
0.88%, 01/31/11 | 10,000,000 | 10,036,430 | |||||
Total U.S. Treasury Obligations | 187,918,359 | ||||||
Shares | |||||||
MONEY MARKET FUND — 4.3% | |||||||
Northern Institutional Liquid Assets Portfolio§ | 50,114,950 | 50,114,950 | |||||
TOTAL INVESTMENTS — 104.3% | 1,217,506,201 | ||||||
Liabilities in Excess of Other Assets — (4.3)% | (50,003,043 | ) | |||||
NET ASSETS — 100.0% | $ | 1,167,503,158 | |||||
Please see abbreviation and footnote definitions on page 127.
PORTFOLIO SUMMARY (based on net assets)
% | ||
Commercial Paper | 36.9 | |
Certificates of Deposit | 19.6 | |
Municipal Bonds | 18.6 | |
U.S. Treasury Obligations | 16.1 | |
Agency Obligations | 5.2 | |
Money Market Fund | 4.3 | |
Time Deposits | 3.6 | |
104.3 | ||
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2010, in valuing the Fund’s investments carried at fair value:
Valuation Inputs | Investments in Securities | Other Financial Instruments*** | ||||
Level 1 — Quoted Prices Money Market Fund | $ | 50,114,950 | $ | — | ||
Level 2 — Other Significant Observable Inputs | ||||||
Agency Obligations | 61,279,170 | — | ||||
Certificates Of Deposit | 228,800,023 | — | ||||
Commercial Paper | 430,727,699 | — | ||||
Municipal Bonds | 217,165,000 | — | ||||
Time Deposits | 41,501,000 | — | ||||
U.S. Treasury Obligations | 187,918,359 | — | ||||
Level 3 — Significant Unobservable Inputs | — | — | ||||
Total | $ | 1,217,506,201 | $ | — | ||
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
See Notes to Financial Statements.
39
Table of Contents
SCHEDULE OF INVESTMENTS | June 30, 2010 (Unaudited) |
Par | Value | |||||
AGENCY OBLIGATIONS — 9.0% | ||||||
Federal Farm Credit Bank | ||||||
0.39%, 05/12/11W | $ | 3,000,000 | $ | 2,990,025 | ||
1.38%, 06/25/13 | 2,150,000 | 2,163,627 | ||||
Federal Home Loan Bank | ||||||
0.20%, 08/11/10W | 3,800,000 | 3,799,499 | ||||
0.20%, 08/13/10 | 5,700,000 | 5,699,209 | ||||
5.38%, 06/13/14 | 895,000 | 1,018,461 | ||||
5.25%, 09/12/14 | 895,000 | 1,016,147 | ||||
Federal Home Loan Mortgage Corporation | ||||||
0.21%, 08/16/10W | 5,700,000 | 5,699,344 | ||||
0.25%, 10/13/10W | 14,100,000 | 14,094,304 | ||||
Federal National Mortgage Association | ||||||
0.20%, 08/11/10W | 5,700,000 | 5,699,248 | ||||
0.20%, 08/18/10W | 2,000,000 | 1,999,768 | ||||
0.23%, 10/25/10W | 12,400,000 | 12,394,408 | ||||
0.88%, 01/12/12 | 1,500,000 | 1,505,652 | ||||
5.25%, 08/01/12 | 1,580,000 | 1,706,111 | ||||
2.00%, 09/28/12 | 3,585,000 | 3,597,433 | ||||
3.50%, 08/25/14 | 750,000 | 753,397 | ||||
Small Business Administration | ||||||
6.95%, 11/10/16 | 436,760 | 467,695 | ||||
Total Agency Obligations | 64,604,328 | |||||
ASSET-BACKED SECURITIES — 9.3% | ||||||
Accredited Mortgage Loan Trust | ||||||
0.40%, 02/25/37† | 252,010 | 250,076 | ||||
Ally Auto Receivables Trust | ||||||
1.32%, 03/15/12 144A | 606,027 | 606,902 | ||||
Americredit Automobile Receivables Trust | ||||||
4.35%, 08/06/12† | 570,538 | 577,146 | ||||
Amresco Independence Funding, Inc. | ||||||
1.75%, 06/15/26 144A† | 242,838 | 189,858 | ||||
Asset-Backed Securities Corporation Home Equity | ||||||
0.62%, 09/25/34† | 100,868 | 86,315 | ||||
Bank of America Auto Trust | ||||||
1.16%, 02/15/12 144A | 563,303 | 563,844 | ||||
0.75%, 06/15/12 144A | 2,035,000 | 2,034,691 | ||||
2.67%, 07/15/13 144A | 1,325,000 | 1,348,343 | ||||
2.13%, 09/15/13 144A | 1,765,000 | 1,787,943 | ||||
Bear Stearns Asset-Backed Securities Trust | ||||||
0.40%, 11/25/36† | 236,575 | 226,448 | ||||
0.54%, 02/25/37† | 1,233,714 | 1,142,688 | ||||
1.35%, 10/25/37† | 1,107,790 | 856,072 | ||||
BMW Vehicle Lease Trust | ||||||
2.04%, 04/15/11 | 579,528 | 580,087 | ||||
BNC Mortgage Loan Trust | ||||||
0.47%, 11/25/36† | 1,030,000 | 952,679 | ||||
0.41%, 03/25/37† | 1,072,902 | 999,506 | ||||
Business Loan Express | ||||||
2.25%, 01/01/25 144A† | 168,007 | 93,877 | ||||
Capital One Auto Finance Trust | ||||||
0.38%, 05/15/13† | 1,062,821 | 1,055,644 | ||||
Cars Alliance Funding PLC | ||||||
0.76%, 10/08/23† | 500,000 | 604,888 | ||||
CenterPoint Energy Transition Bond Co., LLC | ||||||
4.97%, 08/01/14 | 1,983,863 | 2,066,551 | ||||
Chase Issuance Trust | ||||||
0.75%, 09/17/12† | 2,500,000 | 2,501,232 | ||||
0.80%, 09/17/12† | 2,500,000 | 2,501,478 | ||||
0.37%, 03/15/13† | 1,100,000 | 1,099,079 | ||||
Conseco Financial Corporation | ||||||
6.04%, 11/01/29 | 20,127 | 20,131 | ||||
CSAB Mortgage Backed Trust | ||||||
5.72%, 09/25/36 STEP | 862,362 | 602,881 | ||||
Daimler Chrysler Auto Trust | ||||||
5.28%, 03/08/13 | 2,610,000 | 2,716,353 | ||||
FHLMC Structured Pass-Through Securities | ||||||
0.61%, 08/25/31† | 929,742 | 863,775 | ||||
Ford Credit Auto Lease Trust | ||||||
2.60%, 05/15/11 144A | 372,639 | 373,343 | ||||
Ford Credit Auto Owner Trust | ||||||
1.21%, 01/15/12 | 834,227 | 834,906 | ||||
0.39%, 02/15/12† | 1,322,012 | 1,320,851 | ||||
7.12%, 02/15/13 144A | 925,000 | 957,560 | ||||
2.17%, 10/15/13 | 2,525,000 | 2,559,158 | ||||
2.98%, 08/15/14 | 1,255,000 | 1,300,946 | ||||
Ford Credit Floorplan Master Owner Trust | ||||||
0.60%, 06/15/13† | 1,305,000 | 1,286,178 | ||||
Fremont Home Loan Trust | ||||||
0.40%, 10/25/36† | 6,861 | 6,788 | ||||
Globaldrive BV | ||||||
4.00%, 10/20/16 | 1,795,020 | 2,229,728 | ||||
GSAA Trust | ||||||
0.67%, 12/25/34† | 401,948 | 324,258 | ||||
Honda Auto Receivables Owner Trust | ||||||
2.22%, 09/15/10 | 434,991 | 436,108 | ||||
1.50%, 08/15/11 | 874,459 | 876,040 | ||||
Hyundai Auto Receivables Trust | ||||||
1.11%, 02/15/12 | 462,208 | 462,444 | ||||
IFC SBA Loan-Backed Adjustable Rate Certificate | ||||||
1.25%, 01/15/24 144A† | 187,234 | 139,053 | ||||
Magnolia Funding, Ltd. | ||||||
3.00%, 04/20/17 144A | 1,004,550 | 1,216,059 | ||||
MBNA Credit Card Master Note Trust | ||||||
0.55%, 02/20/14† | 715,000 | 866,147 | ||||
MFPLC Asset Receivables Trust | ||||||
0.80%, 11/08/32 | 1,025,000 | 1,246,054 | ||||
Morgan Stanley ABS Capital I | ||||||
0.40%, 11/25/36† | 228,082 | 223,235 | ||||
Nissan Auto Lease Trust | ||||||
2.01%, 04/15/11 | 414,504 | 414,983 | ||||
1.22%, 09/15/11 | 573,306 | 573,696 | ||||
Ocwen Advance Receivables Backed Notes | ||||||
3.59%, 09/15/23 144A | 930,000 | 935,115 | ||||
PG&E Energy Recovery Funding LLC | ||||||
4.37%, 06/25/14 | 350,000 | 363,239 | ||||
Residential Asset Mortgage Products, Inc. | ||||||
0.47%, 12/25/36† | 968,746 | 913,366 |
See Notes to Financial Statements.
40
Table of Contents
Par | Value | |||||
Santander Drive Auto Receivables Trust | ||||||
1.37%, 08/15/13 144A | $ | 1,930,000 | $ | 1,922,280 | ||
SLM Student Loan Trust | ||||||
1.42%, 10/25/16† | 3,985,000 | 4,048,532 | ||||
0.32%, 07/25/17† | 1,365,588 | 1,354,134 | ||||
1.98%, 12/15/17 144A† | 2,525,000 | 2,525,000 | ||||
1.62%, 01/25/18† | 3,975,000 | 4,097,443 | ||||
Soundview Home Equity Loan Trust | ||||||
1.20%, 08/25/31† | 950,705 | 934,897 | ||||
0.41%, 08/25/37† | 333,416 | 327,049 | ||||
Structured Asset Investment Loan Trust | ||||||
0.40%, 07/25/36† | 41,855 | 41,300 | ||||
Structured Asset Securities Corporation | ||||||
1.84%, 04/25/35† | 1,080,953 | 791,408 | ||||
0.40%, 10/25/36† | 148,397 | 146,340 | ||||
Structured Asset Receivables Trust | ||||||
0.81%, 04/21/11 144A† | 1,026,509 | 995,714 | ||||
TXU Electric Delivery Transition Bond Co. LLC | ||||||
4.81%, 11/17/14 | 1,787,655 | 1,874,913 | ||||
Volkswagen Auto Lease Trust | ||||||
2.87%, 10/15/10 | 234,360 | 235,352 | ||||
Wachovia Auto Loan Owner Trust | ||||||
5.08%, 04/20/12 144A | 682,365 | 685,640 | ||||
Wells Fargo Home Equity Trust | ||||||
0.44%, 04/25/37† | 788,067 | 755,280 | ||||
Total Asset-Backed Securities | 66,923,024 | |||||
CORPORATE BONDS — 18.8% | ||||||
3M Co. | ||||||
4.50%, 11/01/11 | 590,000 | 618,344 | ||||
Abbott Laboratories | ||||||
5.60%, 05/15/11D | 750,000 | 781,264 | ||||
AEP Texas Central Transition Funding LLC | ||||||
4.98%, 07/01/15 | 2,723,463 | 2,873,103 | ||||
Agilent Technologies, Inc. | ||||||
4.45%, 09/14/12 | 610,000 | 636,855 | ||||
5.50%, 09/14/15 | 310,000 | 334,051 | ||||
Allstate Corporation | ||||||
6.20%, 05/16/14 | 1,075,000 | 1,220,488 | ||||
American Express Bank FSB | ||||||
5.50%, 04/16/13D | 275,000 | 297,339 | ||||
American Express Credit Corporation | ||||||
0.50%, 10/04/10† | 100,000 | 99,994 | ||||
0.51%, 06/16/11†D | 100,000 | 99,512 | ||||
American Honda Finance Corporation | ||||||
2.89%, 06/29/11 144A† | 600,000 | 613,051 | ||||
2.38%, 03/18/13 144A | 300,000 | 304,370 | ||||
American International Group, Inc. | ||||||
0.82%, 07/19/13(E)† | 400,000 | 428,414 | ||||
8.25%, 08/15/18 144A | 1,350,000 | 1,373,625 | ||||
AvalonBay Communities, Inc. | ||||||
6.13%, 11/01/12D | 317,000 | 343,286 | ||||
BAE Systems Holdings, Inc. | ||||||
6.40%, 12/15/11 144A | 520,000 | 552,261 | ||||
Bank of America Corporation | ||||||
5.38%, 09/11/12D | $ | 2,800,000 | $ | 2,925,989 | ||
4.88%, 01/15/13 | 590,000 | 616,943 | ||||
5.38%, 06/15/14D | 650,000 | 683,372 | ||||
4.50%, 04/01/15D | 783,000 | 792,232 | ||||
Bank of New York Mellon Corporation | ||||||
0.64%, 03/23/12† | 980,000 | 976,720 | ||||
4.30%, 05/15/14 | 790,000 | 849,244 | ||||
BB&T Corporation | ||||||
3.38%, 09/25/13D | 400,000 | 412,854 | ||||
Bear Stearns Cos. LLC | ||||||
6.95%, 08/10/12 | 1,165,000 | 1,278,480 | ||||
BellSouth Corporation | ||||||
4.75%, 11/15/12D | 1,300,000 | 1,394,505 | ||||
Berkshire Hathaway Finance Corporation | ||||||
4.00%, 04/15/12D | 500,000 | 526,157 | ||||
Berkshire Hathaway, Inc. | ||||||
0.86%, 02/11/13† | 1,340,000 | 1,343,408 | ||||
Board of Trustees of The Leland Stanford Junior University | ||||||
3.63%, 05/01/14 | 425,000 | 452,302 | ||||
Bottling Group LLC | ||||||
6.95%, 03/15/14 | 770,000 | 909,501 | ||||
Burlington Northern Santa Fe Corporation | ||||||
6.75%, 07/15/11 | 600,000 | 632,176 | ||||
7.00%, 02/01/14D | 365,000 | 425,728 | ||||
Capital One Financial Corporation | ||||||
5.70%, 09/15/11 | 1,000,000 | 1,040,590 | ||||
4.80%, 02/21/12 | 1,000,000 | 1,034,880 | ||||
6.25%, 11/15/13 | 440,000 | 489,650 | ||||
Carefusion Corporation | ||||||
4.13%, 08/01/12 | 1,720,000 | 1,797,603 | ||||
Caterpillar Financial Services Corporation | ||||||
5.75%, 02/15/12 | 575,000 | 618,224 | ||||
2.00%, 04/05/13 | 540,000 | 546,624 | ||||
Cellco Partnership/Verizon Wireless Capital LLC | ||||||
3.75%, 05/20/11D | 4,325,000 | 4,430,746 | ||||
5.25%, 02/01/12 | 2,585,000 | 2,741,178 | ||||
5.55%, 02/01/14 | 400,000 | 448,825 | ||||
Centerpoint Energy, Inc. | ||||||
6.85%, 06/01/15 | 710,000 | 807,023 | ||||
Cisco Systems, Inc. | ||||||
5.25%, 02/22/11 | 750,000 | 770,513 | ||||
Citibank Credit Card Issuance Trust | ||||||
5.38%, 04/11/11(E) | 1,590,000 | 1,990,413 | ||||
Citigroup Funding, Inc. | ||||||
1.38%, 05/05/11 | 610,000 | 614,795 | ||||
2.25%, 12/10/12D | 1,050,000 | 1,081,513 | ||||
Comcast Cable Communications LLC | ||||||
6.75%, 01/30/11 | 2,060,000 | 2,124,758 | ||||
ConocoPhillips | ||||||
4.75%, 10/15/12 | 1,000,000 | 1,074,081 | ||||
4.75%, 02/01/14D | 400,000 | 440,269 | ||||
Consumers Energy Co. | ||||||
5.38%, 04/15/13 | 475,000 | 517,606 | ||||
COX Communications, Inc. | ||||||
7.75%, 11/01/10D | 1,225,000 | 1,249,984 |
See Notes to Financial Statements.
41
Table of Contents
LOW-DURATION BOND FUND SCHEDULE OF INVESTMENTS (Continued) |
Par | Value | |||||
7.13%, 10/01/12 | $ | 420,000 | $ | 466,912 | ||
Cox Enterprises, Inc. | ||||||
7.88%, 09/15/10 144A | 550,000 | 556,828 | ||||
Crown Castle Towers LLC | ||||||
4.52%, 01/15/15 144A | 1,300,000 | 1,357,803 | ||||
CSX Corporation | ||||||
6.75%, 03/15/11D | 575,000 | 595,725 | ||||
5.75%, 03/15/13 | 1,225,000 | 1,339,672 | ||||
CVS Caremark Corporation | ||||||
5.75%, 08/15/11D | 975,000 | 1,019,012 | ||||
Daimler Finance NA LLC | ||||||
7.30%, 01/15/12 | 350,000 | 377,406 | ||||
Devon Financing Corporation | ||||||
6.88%, 09/30/11 | 1,570,000 | 1,676,736 | ||||
Dexia Credit Local | ||||||
2.00%, 03/05/13 144A | 1,170,000 | 1,170,108 | ||||
DIRECTV Holdings LLC | ||||||
4.75%, 10/01/14 | 680,000 | 720,860 | ||||
Dow Chemical Co. | ||||||
4.85%, 08/15/12D | 1,500,000 | 1,583,079 | ||||
Dr Pepper Snapple Group, Inc. | ||||||
1.70%, 12/21/11 | 620,000 | 623,673 | ||||
Duke Energy Carolinas LLC | ||||||
6.25%, 01/15/12 | 1,300,000 | 1,401,049 | ||||
Duke Energy Ohio, Inc. | ||||||
5.70%, 09/15/12 | 1,375,000 | 1,488,270 | ||||
Eli Lilly & Co. | ||||||
3.55%, 03/06/12D | 200,000 | 208,644 | ||||
Enterprise Products Operating LLC | ||||||
7.50%, 02/01/11 | 600,000 | 618,155 | ||||
4.60%, 08/01/12 | 675,000 | 706,315 | ||||
6.13%, 02/01/13 | 1,005,000 | 1,085,509 | ||||
6.38%, 02/01/13 | 750,000 | 815,470 | ||||
Equifax, Inc. | ||||||
4.45%, 12/01/14 | 140,000 | 146,026 | ||||
ERAC USA Finance LLC | ||||||
2.75%, 07/01/13 144A | 370,000 | 371,402 | ||||
Exelon Generation Co. LLC | ||||||
5.35%, 01/15/14 | 808,000 | 881,522 | ||||
Express Scripts, Inc. | ||||||
5.25%, 06/15/12 | 550,000 | 587,853 | ||||
Florida Power Corporation | ||||||
6.65%, 07/15/11 | 600,000 | 631,652 | ||||
FPL Group Capital, Inc. | ||||||
5.63%, 09/01/11D | 475,000 | 496,763 | ||||
2.55%, 11/15/13 | 750,000 | 756,913 | ||||
General Electric Capital Corporation | ||||||
1.15%, 01/15/13† | 700,000 | 692,695 | ||||
5.90%, 05/13/14D | 460,000 | 508,661 | ||||
3.75%, 11/14/14D | 660,000 | 675,844 | ||||
6.50%, 09/15/37 144A(U) | 300,000 | 398,476 | ||||
Genzyme Corporation | ||||||
3.63%, 06/15/15 144A | 395,000 | 399,994 | ||||
Goldman Sachs Group, Inc. | ||||||
1.63%, 07/15/11D | 400,000 | 404,804 | ||||
3.63%, 08/01/12 | 990,000 | 1,009,021 | ||||
4.75%, 07/15/13 | 950,000 | 992,567 | ||||
5.00%, 10/01/14 | 936,000 | 973,830 | ||||
Hartford Financial Services Group, Inc. | ||||||
4.00%, 03/30/15 | 320,000 | 314,505 | ||||
Hewlett-Packard Co. | ||||||
4.25%, 02/24/12 | 486,000 | 512,350 | ||||
Hospira, Inc. | ||||||
5.55%, 03/30/12 | 555,000 | 591,182 | ||||
HSBC Finance Corporation | ||||||
1.81%, 10/20/10† | 600,000 | 600,421 | ||||
International Business Machines Corporation | ||||||
2.10%, 05/06/13D | 1,250,000 | 1,274,701 | ||||
John Deere Capital Corporation | ||||||
0.96%, 08/19/10† | 500,000 | 500,349 | ||||
1.00%, 01/18/11† | 760,000 | 763,246 | ||||
JPMorgan Chase & Co. | ||||||
5.60%, 06/01/11D | 520,000 | 541,786 | ||||
Kraft Foods, Inc. | ||||||
5.63%, 08/11/10D | 495,000 | 497,323 | ||||
6.00%, 02/11/13D | 950,000 | 1,047,970 | ||||
2.63%, 05/08/13 | 230,000 | 234,520 | ||||
5.25%, 10/01/13 | 230,000 | 252,032 | ||||
Lehman Brothers Holdings, Inc. | ||||||
6.63%, 01/18/12# | 600,000 | 121,500 | ||||
6.75%, 12/28/17# | 2,600,000 | 4,550 | ||||
6.88%, 05/02/18# | 2,400,000 | 501,000 | ||||
Metropolitan Life Global Funding I | ||||||
1.14%, 09/17/10 144A† | 2,300,000 | 2,301,824 | ||||
2.44%, 06/10/11 144A† | 1,625,000 | 1,645,806 | ||||
0.70%, 07/13/11 144A† | 980,000 | 979,241 | ||||
2.88%, 09/17/12 144A | 2,225,000 | 2,279,076 | ||||
Microsoft Corporation | ||||||
2.95%, 06/01/14 | 900,000 | 942,601 | ||||
MidAmerican Energy Co. | ||||||
5.13%, 01/15/13 | 515,000 | 560,911 | ||||
MidAmerican Energy Holdings Co. | ||||||
5.88%, 10/01/12 | 550,000 | 595,781 | ||||
Midamerican Funding LLC | ||||||
6.75%, 03/01/11 | 600,000 | 622,679 | ||||
Morgan Stanley | ||||||
6.60%, 04/01/12 | 885,000 | 939,589 | ||||
2.93%, 05/14/13†D | 560,000 | 562,465 | ||||
6.00%, 05/13/14D | 755,000 | 800,674 | ||||
6.00%, 04/28/15D | 400,000 | 418,466 | ||||
Nabors Industries, Inc. | ||||||
6.15%, 02/15/18 | 1,650,000 | 1,771,859 | ||||
9.25%, 01/15/19 | 2,300,000 | 2,832,089 | ||||
NBC Universal, Inc. | ||||||
3.65%, 04/30/15 144AD | 550,000 | 563,049 | ||||
Nissan Motor Acceptance Corporation | ||||||
3.25%, 01/30/13 144A | 580,000 | 592,587 | ||||
Novartis Capital Corporation | ||||||
1.90%, 04/24/13 | 560,000 | 568,849 | ||||
4.13%, 02/10/14D | 210,000 | 226,765 | ||||
Oracle Corporation | ||||||
5.00%, 01/15/11 | 1,040,000 | 1,061,933 | ||||
Overseas Private Investment Corporation | ||||||
0.00%, 07/12/10W | 1,760,216 | 1,991,329 | ||||
0.00%, 07/12/12W | 2,100,000 | 2,418,211 | ||||
5.75%, 04/15/16W | 1,600,000 | 1,977,712 | ||||
PACCAR Financial Corporation | ||||||
0.80%, 04/05/13W† | 550,000 | 549,700 | ||||
Pfizer, Inc. | ||||||
3.63%, 06/03/13(E) | 100,000 | 128,234 |
See Notes to Financial Statements.
42
Table of Contents
Par | Value | |||||
Praxair, Inc. | ||||||
1.75%, 11/15/12 | $ | 330,000 | $ | 334,554 | ||
Procter & Gamble Co. | ||||||
3.50%, 02/15/15D | 200,000 | 213,308 | ||||
Progress Energy, Inc. | ||||||
7.10%, 03/01/11 | 1,120,000 | 1,164,728 | ||||
Prudential Financial, Inc. | ||||||
3.63%, 09/17/12D | 945,000 | 973,838 | ||||
2.75%, 01/14/13 | 1,525,000 | 1,533,377 | ||||
Regions Financial Corporation | ||||||
4.88%, 04/26/13D | 735,000 | 739,281 | ||||
Roche Holdings, Inc. | ||||||
4.50%, 03/01/12 144AD | 531,000 | 559,381 | ||||
SBA Tower Trust | ||||||
4.25%, 04/15/15 144A | 510,000 | 535,408 | ||||
Simon Property Group LP REIT | ||||||
4.20%, 02/01/15 | 140,000 | 144,013 | ||||
Southeast Supply Header LLC | ||||||
4.85%, 08/15/14 144A | 945,000 | 992,838 | ||||
Sprint Capital Corporation | ||||||
8.38%, 03/15/12 | 1,000,000 | 1,053,750 | ||||
Standard Chartered Bank | ||||||
0.84%, 11/16/11† | 1,340,000 | 1,340,690 | ||||
Stryker Corporation | ||||||
3.00%, 01/15/15D | 450,000 | 465,129 | ||||
TD Ameritrade Holding Corporation | ||||||
4.15%, 12/01/14 | 660,000 | 685,620 | ||||
Thermo Fisher Scientific, Inc. | ||||||
2.15%, 12/28/12 | 370,000 | 374,509 | ||||
Time Warner Cable, Inc. | ||||||
5.40%, 07/02/12D | 1,325,000 | 1,416,004 | ||||
6.20%, 07/01/13 | 685,000 | 766,659 | ||||
Union Pacific Corporation | ||||||
6.13%, 01/15/12 | 365,000 | 392,142 | ||||
Verizon Global Funding Corporation | ||||||
7.25%, 12/01/10 | 675,000 | 693,336 | ||||
6.88%, 06/15/12D | 445,000 | 490,634 | ||||
Vornado Realty LP REIT | ||||||
4.25%, 04/01/15 | 700,000 | 696,618 | ||||
Wachovia Corporation | ||||||
0.66%, 03/15/11† | 540,000 | 540,293 | ||||
5.30%, 10/15/11D | 394,000 | 412,503 | ||||
Wells Fargo & Co. | ||||||
3.75%, 10/01/14D | 360,000 | 368,938 | ||||
Western Corporate Federal Credit Union | ||||||
1.75%, 11/02/12 | 1,875,000 | 1,907,329 | ||||
WM Wrigley Jr Co. | ||||||
1.91%, 06/28/11 144A† | 700,000 | 700,069 | ||||
3.70%, 06/30/14 144AD | 1,420,000 | 1,437,584 | ||||
XTO Energy, Inc. | ||||||
5.00%, 08/01/10 | 1,020,000 | 1,022,964 | ||||
7.50%, 04/15/12 | 475,000 | 529,111 | ||||
6.25%, 04/15/13 | 600,000 | 677,696 | ||||
5.75%, 12/15/13 | 600,000 | 682,088 | ||||
Total Corporate Bonds | 135,287,349 | |||||
FOREIGN BONDS — 17.5% | ||||||
Australia — 1.7% | ||||||
Australia & New Zealand Banking Group, Ltd. | ||||||
0.94%, 08/04/11 144A† | 600,000 | 600,573 | ||||
0.82%, 06/18/12 144A† | 1,575,000 | 1,576,058 | ||||
Commonwealth Bank of Australia | ||||||
2.40%, 01/12/12 144A | 1,004,000 | 1,023,638 | ||||
Macquarie Bank, Ltd. | ||||||
4.10%, 12/17/13 144A | 3,410,000 | 3,662,340 | ||||
National Australia Bank, Ltd. | ||||||
0.78%, 01/08/13 144A† | 930,000 | 931,360 | ||||
Suncorp-Metway, Ltd. | ||||||
0.91%, 12/17/10 144A† | 2,405,000 | 2,406,590 | ||||
Westfield Capital | ||||||
5.13%, 11/15/14 144A | 555,000 | 581,528 | ||||
Westpac Banking Corporation | ||||||
2.25%, 11/19/12D | 620,000 | 625,631 | ||||
Woodside Finance, Ltd. | ||||||
4.50%, 11/10/14 144AD | 490,000 | 500,247 | ||||
11,907,965 | ||||||
Bermuda — 0.2% | ||||||
Ingersoll-Rand Global Holding Co., Ltd. | ||||||
9.50%, 04/15/14D | 880,000 | 1,091,202 | ||||
Brazil — 0.1% | ||||||
Banco do Brasil SA | ||||||
4.50%, 01/22/15 144AD | 680,000 | 688,292 | ||||
Brazilian Government International Bond | ||||||
10.25%, 06/17/13 | 280,000 | 342,300 | ||||
1,030,592 | ||||||
Canada — 5.2% | ||||||
Bank of Nova Scotia | ||||||
2.25%, 01/22/13 | 1,290,000 | 1,308,784 | ||||
Canadian Government Bond | ||||||
1.50%, 03/01/12(C) | 21,300,000 | 20,080,284 | ||||
Canadian Imperial Bank of Commerce | ||||||
2.00%, 02/04/13 144A | 6,560,000 | 6,637,106 | ||||
CDP Financial, Inc. | ||||||
3.00%, 11/25/14 144A | 735,000 | 742,531 | ||||
Export Development Canada | ||||||
2.25%, 05/28/15 | 330,000 | 334,134 | ||||
Province of Ontario | ||||||
0.95%, 05/22/12† | 1,475,000 | 1,480,232 | ||||
1.88%, 11/19/12 | 775,000 | 784,525 | ||||
4.10%, 06/16/14 | 2,195,000 | 2,362,661 | ||||
Rogers Communications, Inc. | ||||||
6.25%, 06/15/13D | 1,300,000 | 1,448,646 | ||||
6.38%, 03/01/14D | 320,000 | 363,617 | ||||
TELUS Corporation | ||||||
8.00%, 06/01/11 | 728,000 | 771,908 | ||||
Toronto-Dominion Bank | ||||||
1.51%, 09/10/10(E)† | 550,000 | 673,368 | ||||
TransCanada PipeLines, Ltd. | ||||||
3.40%, 06/01/15 | 360,000 | 373,844 | ||||
37,361,640 | ||||||
See Notes to Financial Statements.
43
Table of Contents
LOW-DURATION BOND FUND SCHEDULE OF INVESTMENTS (Continued) |
Par | Value | |||||
Chile — 0.0% | ||||||
Chile Government International Bond | ||||||
5.50%, 01/15/13D | $ | 300,000 | $ | 328,980 | ||
Denmark — 0.9% | ||||||
FIH Erhvervsbank A/S | ||||||
2.45%, 08/17/12 144A | 450,000 | 461,266 | ||||
1.75%, 12/06/12 144A | 1,735,000 | 1,752,345 | ||||
2.00%, 06/12/13 144A | 4,300,000 | 4,330,216 | ||||
6,543,827 | ||||||
France — 1.2% | ||||||
Dexia Credit Local | ||||||
0.81%, 04/29/14 144A† | 2,300,000 | 2,299,673 | ||||
2.75%, 04/29/14 144A | 2,900,000 | 2,924,789 | ||||
Total Capital SA | ||||||
3.00%, 06/24/15 | 2,800,000 | 2,830,974 | ||||
Veolia Environnement | ||||||
5.25%, 06/03/13D | 520,000 | 561,624 | ||||
8,617,060 | ||||||
Germany — 0.5% | ||||||
Bundesschatzanweisungen | ||||||
4.00%, 09/10/10(E) | 1,000,000 | 1,230,715 | ||||
Federal Republic of Germany | ||||||
1.50%, 09/21/12 144AD | 1,000,000 | 1,010,150 | ||||
Landwirtschaftliche Rentenbank | ||||||
4.13%, 07/15/13 | 1,315,000 | 1,414,159 | ||||
3,655,024 | ||||||
Greece — 0.1% | ||||||
Hellenic Treasury Bills | ||||||
2.80%, 07/16/10 | 505,000 | 616,821 | ||||
India — 0.1% | ||||||
ICICI Bank, Ltd. | ||||||
5.50%, 03/25/15 144AD | 790,000 | 817,425 | ||||
Israel — 0.1% | ||||||
Teva Pharmaceutical Finance III LLC | ||||||
1.50%, 06/15/12 | 800,000 | 803,424 | ||||
Italy — 0.3% | ||||||
Atlantia SpA | ||||||
1.16%, 06/09/11(E)† | 900,000 | 1,100,349 | ||||
Telecom Italia SpA | ||||||
1.24%, 12/06/12(E)† | 900,000 | 1,072,833 | ||||
2,173,182 | ||||||
Japan — 0.5% | ||||||
Bank of Tokyo-Mitsubishi UFJ, Ltd. | ||||||
2.60%, 01/22/13 144AD | 3,370,000 | 3,427,216 | ||||
Luxembourg — 0.6% | ||||||
Covidien International Finance SA | ||||||
5.45%, 10/15/12 | 1,165,000 | 1,271,468 | ||||
1.88%, 06/15/13 | 570,000 | 573,944 | ||||
Gaz Capital SA | ||||||
9.25%, 04/23/19 | 2,300,000 | 2,656,500 | ||||
4,501,912 | ||||||
Malaysia — 0.1% | ||||||
Malaysia Government International Bond | ||||||
7.50%, 07/15/11 | 380,000 | 403,018 | ||||
Mexico — 0.3% | ||||||
America Movil SAB de CV | ||||||
3.63%, 03/30/15 144A | 200,000 | 206,071 | ||||
Mexico Government International Bond | ||||||
6.38%, 01/16/13 | 760,000 | 837,140 | ||||
Petroleos Mexicanos | ||||||
4.88%, 03/15/15 144AD | 1,250,000 | 1,296,715 | ||||
2,339,926 | ||||||
Netherlands — 1.2% | ||||||
Achmea Hypotheekbank NV | ||||||
3.20%, 11/03/14 144A | 790,000 | 817,017 | ||||
Fortis Bank Nederland NV | ||||||
1.25%, 06/10/11(E)† | 600,000 | 732,508 | ||||
Koninklijke KPN NV | ||||||
8.00%, 10/01/10 | 1,430,000 | 1,452,871 | ||||
LeasePlan Corporation NV | ||||||
3.00%, 05/07/12 144A | 1,525,000 | 1,581,803 | ||||
Nederlandse Waterschapsbank NV | ||||||
4.63%, 07/25/11(E) | 1,000,000 | 1,269,868 | ||||
Rabobank Nederland NV | ||||||
4.20%, 05/13/14 144A | 1,645,000 | 1,748,123 | ||||
Shell International Finance BV | ||||||
1.88%, 03/25/13 | 400,000 | 403,626 | ||||
4.00%, 03/21/14 | 520,000 | 550,476 | ||||
8,556,292 | ||||||
New Zealand — 0.3% | ||||||
Westpac Securities NZ, Ltd. | ||||||
2.50%, 05/25/12 144AD | 1,800,000 | 1,842,034 | ||||
Norway — 0.3% | ||||||
Eksportfinans ASA | ||||||
5.00%, 02/14/12 | 1,125,000 | 1,193,768 | ||||
Statoil ASA | ||||||
2.90%, 10/15/14 | 650,000 | 665,246 | ||||
1,859,014 | ||||||
Qatar — 0.0% | ||||||
Qatar Government International Bond | ||||||
4.00%, 01/20/15 144A | 350,000 | 361,375 | ||||
South Africa — 0.1% | ||||||
South Africa Government International Bond | ||||||
7.38%, 04/25/12D | 600,000 | 657,360 | ||||
Spain — 0.3% | ||||||
Telefonica Emisiones SAU | ||||||
2.58%, 04/26/13 | 2,210,000 | 2,196,274 | ||||
Supranational — 0.4% | ||||||
European Investment Bank | ||||||
4.75%, 04/15/11(E) | 1,500,000 | 1,892,268 | ||||
International Finance Corporation | ||||||
2.00%, 10/29/12 | 1,200,000 | 1,205,120 | ||||
3,097,388 | ||||||
See Notes to Financial Statements.
44
Table of Contents
Par | Value | |||||
Sweden — 0.1% | ||||||
Svenska Handelsbanken AB | ||||||
2.88%, 09/14/12 144A | $ | 785,000 | $ | 797,159 | ||
Switzerland — 0.2% | ||||||
Credit Suisse | ||||||
3.45%, 07/02/12 | 1,000,000 | 1,033,357 | ||||
UBS AG | ||||||
1.58%, 02/23/12† | 600,000 | 602,370 | ||||
1,635,727 | ||||||
United Kingdom — 2.7% | ||||||
Barclays Bank PLC | ||||||
4.25%, 10/27/11(E) | 1,000,000 | 1,274,557 | ||||
2.70%, 03/05/12 144A | 740,000 | 758,897 | ||||
5.45%, 09/12/12 | 515,000 | 547,583 | ||||
5.93%, 12/15/49 144AD | 3,800,000 | 3,135,000 | ||||
British Telecommunications PLC | ||||||
8.13%, 12/15/10D | 2,800,000 | 2,896,146 | ||||
Chester Asset Receivable | ||||||
0.86%, 09/17/12 | 1,600,000 | 1,953,659 | ||||
Deutsche Bank AG | ||||||
5.38%, 10/12/12 | 4,200,000 | 4,503,164 | ||||
Lloyds TSB Bank PLC | ||||||
0.86%, 06/09/11(E)† | 400,000 | 489,772 | ||||
National Grid PLC | ||||||
0.99%, 01/18/12(E)† | 850,000 | 1,035,759 | ||||
Royal Bank of Scotland PLC | ||||||
2.63%, 05/11/12 144A | 500,000 | 512,990 | ||||
Standard Chartered PLC | ||||||
3.85%, 04/27/15 144AD | 1,425,000 | 1,439,287 | ||||
Vodafone Group PLC | ||||||
0.82%, 02/27/12† | 950,000 | 948,771 | ||||
19,495,585 | ||||||
Total Foreign Bonds | 126,117,422 | |||||
MORTGAGE-BACKED SECURITIES — 20.1% | ||||||
Adjustable Rate Mortgage Trust | ||||||
5.34%, 03/25/37 | 3,117,967 | 1,782,978 | ||||
American Home Mortgage Investment Trust | ||||||
2.51%, 10/25/34† | 929,911 | 794,301 | ||||
American Home Mortgage Assets | ||||||
1.33%, 11/25/46 | 1,263,300 | 579,548 | ||||
Arkle Master Issuer PLC | ||||||
1.53%, 05/17/49 144A† | 2,780,000 | 2,763,986 | ||||
Arran Residential Mortgages Funding PLC | ||||||
0.57%, 09/16/36 144A† | 318,482 | 317,487 | ||||
Banc of America Commercial Mortgage, Inc. | ||||||
5.84%, 06/10/49 | 1,455,000 | 1,495,245 | ||||
3.88%, 09/11/36 | 663,741 | 671,890 | ||||
Banc of America Funding Corporation | ||||||
5.99%, 01/20/47 | 1,096,357 | 783,305 | ||||
Banc of America Mortgage Securities, Inc. | ||||||
6.50%, 10/01/19 | 256,626 | 257,822 | ||||
Bear Stearns Adjustable Rate Mortgage Trust | ||||||
3.56%, 12/01/33† | 400,896 | 368,323 | ||||
3.53%, 01/25/34 | 430,868 | 408,253 | ||||
3.40%, 07/25/34† | 833,146 | 724,622 | ||||
2.76%, 03/25/35† | 1,541,244 | 1,427,344 | ||||
Bear Stearns Alt-A Trust | ||||||
1.09%, 06/25/34† | 450,407 | 315,579 | ||||
4.54%, 09/25/35 | 671,059 | 507,167 | ||||
Bear Stearns Commercial Mortgage Securities | ||||||
0.46%, 03/15/19 144A† | 1,299,149 | 1,210,080 | ||||
4.48%, 06/11/41 | 313,805 | 313,534 | ||||
Commercial Mortgage Pass-Through Certificates | ||||||
6.10%, 07/16/34 144A | 2,630,000 | 2,758,290 | ||||
Countrywide Alternative Loan Trust | ||||||
6.00%, 10/25/32 | 92,542 | 92,749 | ||||
Countrywide Home Loan Mortgage Pass-Through Trust | ||||||
0.89%, 01/25/35† | 232,455 | 191,141 | ||||
Credit Suisse First Boston Mortgage Securities Corporation | ||||||
5.44%, 09/15/34 | 1,725,325 | 1,777,282 | ||||
Deutsche ALT-A Securities, Inc. | ||||||
5.87%, 10/25/36 STEP | 758,629 | 430,766 | ||||
5.89%, 10/25/36 STEP | 758,629 | 417,840 | ||||
DLJ Commercial Mortgage Corporation | ||||||
7.18%, 11/10/33 | 256,720 | 256,611 | ||||
FDIC Structured Sale Guaranteed Notes | ||||||
1.10%, 10/25/12 144AW | 1,700,000 | 1,640,366 | ||||
1.63%, 10/25/13 144AW | 2,300,000 | 2,163,102 | ||||
3.00%, 09/30/19 144A | 1,715,127 | 1,734,308 | ||||
3.25%, 04/25/38 144A | 943,437 | 957,727 | ||||
0.90%, 02/25/48 144A† | 917,582 | 920,961 | ||||
Federal Home Loan Mortgage Corporation | ||||||
15.25%, 08/01/11 | 339 | 366 | ||||
5.38%, 09/15/11 | 1,423,120 | 1,465,333 | ||||
5.00%, 11/15/16 | 278,143 | 281,183 | ||||
3.50%, 12/01/18 | 1,855,350 | 1,890,627 | ||||
10.75%, 02/01/19 | 57,043 | 58,055 | ||||
6.00%, 11/01/22 | 1,034,647 | 1,127,401 | ||||
2.99%, 07/01/27† | 20,820 | 21,816 | ||||
0.70%, 12/15/30† | 456,220 | 456,161 | ||||
2.42%, 06/01/33† | 1,693,253 | 1,763,170 | ||||
2.52%, 04/01/34† | 1,427,531 | 1,490,864 | ||||
2.75%, 10/01/34† | 451,227 | 467,691 | ||||
2.87%, 08/01/35† | 1,483,760 | 1,553,835 | ||||
3.15%, 10/01/35† | 1,183,483 | 1,233,761 | ||||
5.84%, 04/01/36† | 1,321,979 | 1,400,448 | ||||
Federal Housing Authority | ||||||
7.43%, 09/01/22 | 1,429 | 1,414 | ||||
Federal National Mortgage Association | ||||||
4.50%, 08/12/10 TBA | 1,800,000 | 1,858,781 | ||||
5.00%, 01/01/18 | 2,034,569 | 2,188,274 | ||||
5.50%, 12/01/18 | 716,578 | 775,752 | ||||
4.00%, 11/25/19 | 635,855 | 661,294 | ||||
2.69%, 12/01/24† | 59,512 | 61,746 | ||||
9.00%, 05/01/25 | 70,506 | 81,473 | ||||
9.00%, 07/01/25 | 77,305 | 89,179 | ||||
5.50%, 11/25/27 | 1,200,475 | 1,225,319 | ||||
0.95%, 05/25/30† | 1,466,483 | 1,461,052 |
See Notes to Financial Statements.
45
Table of Contents
LOW-DURATION BOND FUND SCHEDULE OF INVESTMENTS (Continued) |
Par | Value | |||||
1.00%, 05/25/30† | $ | 1,159,545 | $ | 1,166,043 | ||
2.88%, 09/01/31† | 60,921 | 63,028 | ||||
3.31%, 03/25/32 | 249,250 | 244,563 | ||||
5.50%, 10/01/32 | 1,244,463 | 1,342,931 | ||||
2.26%, 04/01/33† | 293,491 | 301,019 | ||||
5.50%, 05/01/33 | 7,049,388 | 7,602,765 | ||||
3.18%, 06/01/33† | 173,511 | 176,993 | ||||
5.50%, 06/01/33 | 9 | 10 | ||||
3.30%, 10/01/33† | 650,319 | 676,629 | ||||
3.08%, 12/01/33† | 203,121 | 210,898 | ||||
3.15%, 09/01/34† | 463,083 | 473,000 | ||||
3.19%, 09/01/34† | 673,032 | 687,170 | ||||
2.79%, 10/01/34† | 669,005 | 685,820 | ||||
3.01%, 10/01/34† | 760,694 | 783,578 | ||||
4.70%, 08/01/35† | 3,558,338 | 3,701,783 | ||||
4.41%, 09/01/35† | 1,221,610 | 1,273,201 | ||||
5.35%, 10/01/35† | 1,384,099 | 1,483,437 | ||||
3.45%, 12/01/35† | 81,046 | 84,834 | ||||
4.50%, 08/12/40 TBA | 500,000 | 516,328 | ||||
1.63%, 07/01/44† | 253,332 | 251,539 | ||||
FHLMC Multifamily Structured Pass-Through Certificates | ||||||
2.23%, 07/25/13 | 1,069,594 | 1,084,374 | ||||
3.61%, 06/25/14 | 1,095,000 | 1,147,263 | ||||
FHLMC Structured Pass-Through Securities | ||||||
1.35%, 05/25/43† | 1,195,419 | 1,093,104 | ||||
1.82%, 07/25/44† | 2,020,268 | 2,052,761 | ||||
First Horizon Alternative Mortgage Securities | ||||||
2.27%, 06/25/34† | 700,003 | 602,789 | ||||
GE Capital Commercial Mortgage Corporation | ||||||
6.53%, 05/15/33 | 3,984,652 | 4,075,874 | ||||
5.56%, 06/10/38 | 245,645 | 248,278 | ||||
6.07%, 06/10/38 | 2,075,000 | 2,163,518 | ||||
GMAC Commercial Mortgage Securities, Inc. | ||||||
6.70%, 04/15/34 | 2,223,677 | 2,294,672 | ||||
GMAC Mortgage Servicer Advance Funding Co., Ltd. | ||||||
4.25%, 01/15/22 144A | 1,000,000 | 1,000,000 | ||||
Government National Mortgage Association | ||||||
6.00%, 02/15/11 | 1,745 | 1,742 | ||||
4.38%, 06/20/17† | 13,545 | 13,997 | ||||
4.38%, 06/20/21† | 7,010 | 7,244 | ||||
3.13%, 10/20/27† | 48,419 | 49,606 | ||||
8.50%, 10/15/29 | 27,374 | 31,968 | ||||
0.95%, 02/16/30† | 199,929 | 201,044 | ||||
8.50%, 03/15/30 | 3,878 | 4,533 | ||||
8.50%, 04/15/30 | 12,554 | 14,673 | ||||
8.50%, 05/15/30 | 135,133 | 157,940 | ||||
8.50%, 06/15/30 | 13,082 | 15,288 | ||||
8.50%, 07/15/30 | 64,303 | 75,151 | ||||
8.50%, 08/15/30 | 17,720 | 20,711 | ||||
8.50%, 09/15/30 | 2,270 | 2,653 | ||||
8.50%, 11/15/30 | 51,285 | 59,940 | ||||
8.50%, 12/15/30 | 32,670 | 38,184 | ||||
8.50%, 02/15/31 | 18,973 | 22,300 | ||||
0.65%, 03/20/37† | 3,148,098 | 3,118,376 | ||||
5.85%, 04/20/37 IOW† | 3,031,812 | 280,903 | ||||
0.65%, 05/20/37† | 1,311,781 | 1,296,674 | ||||
6.33%, 07/20/37 IOW† | 3,636,412 | 353,887 | ||||
5.75%, 08/20/39† | 5,043,946 | 490,899 | ||||
Gracechurch Mortgage Financing PLC | ||||||
0.51%, 11/20/49 144A† | 21,027 | 20,970 | ||||
Greenpoint Mortgage Funding Trust | ||||||
0.53%, 01/25/37† | 1,047,576 | 563,653 | ||||
0.62%, 11/25/45† | 299,811 | 166,223 | ||||
GS Mortgage Securities Corporation II | ||||||
6.04%, 08/15/18 144A | 120,856 | 123,931 | ||||
GSR Mortgage Loan Trust | ||||||
3.09%, 06/01/34 | 539,286 | 449,106 | ||||
3.50%, 09/25/34 | 707,376 | 607,915 | ||||
2.94%, 09/25/35 | 2,011,010 | 1,886,904 | ||||
2.95%, 09/25/35 | 795,050 | 745,985 | ||||
HarborView Mortgage Loan Trust | ||||||
5.23%, 12/19/35 | 2,035,187 | 1,507,746 | ||||
0.56%, 11/19/36† | 2,217,648 | 1,298,968 | ||||
Holmes Master Issuer PLC | ||||||
0.38%, 07/15/21† | 1,030,000 | 1,020,730 | ||||
Impac Secured Assets CMN Owner Trust | ||||||
0.43%, 01/25/37† | 2,706 | 2,704 | ||||
Indymac Index Mortgage Loan Trust | ||||||
0.62%, 06/25/37† | 817,086 | 182,059 | ||||
0.54%, 09/25/46† | 1,180,119 | 636,667 | ||||
JP Morgan Mortgage Trust | ||||||
5.02%, 02/25/35† | 593,337 | 593,437 | ||||
Lanark Master Issuer PLC | ||||||
0.58%, 12/22/49† | 139,434 | 139,181 | ||||
LB-UBS Commercial Mortgage Trust | ||||||
6.16%, 07/14/16 144A | 952,072 | 968,872 | ||||
6.37%, 12/15/28 | 1,520,000 | 1,568,682 | ||||
0.75%, 04/15/37 IO 144AW | 12,366,278 | 2,661 | ||||
Luminent Mortgage Trust | ||||||
0.52%, 12/25/36† | 1,262,015 | 739,449 | ||||
MASTR Adjustable Rate Mortgages Trust | ||||||
3.62%, 12/25/33† | 725,841 | 615,510 | ||||
MLCC Mortgage Investors, Inc. | ||||||
2.24%, 12/25/34 | 1,066,145 | 1,004,536 | ||||
5.06%, 02/25/36 | 1,209,420 | 1,054,160 | ||||
Morgan Stanley Capital I | ||||||
5.36%, 12/15/44 | 3,456,419 | 3,516,906 | ||||
Morgan Stanley Resecuritization Trust | ||||||
0.60%, 06/17/13 144A† | 1,065,000 | 1,055,681 | ||||
PNC Mortgage Acceptance Corporation | ||||||
7.30%, 10/12/33 | 159,495 | 159,426 | ||||
Provident Funding Mortgage Loan Trust | ||||||
2.83%, 04/25/34 | 1,282,091 | 1,260,210 | ||||
Prudential Securities Secured Financing Corporation | ||||||
7.99%, 05/17/32 | 1,955,000 | 1,953,711 | ||||
Residential Accredit Loans, Inc. | ||||||
0.75%, 01/25/33† | 356,542 | 302,289 | ||||
Residential Asset Securitization Trust | ||||||
0.65%, 05/25/35† | 858,184 | 567,873 |
See Notes to Financial Statements.
46
Table of Contents
Par | Value | |||||
Residential Funding Mortgage Securities I | ||||||
6.50%, 03/25/32 | $ | 41,248 | $ | 42,314 | ||
Salomon Brothers Mortgage Securities VII, Inc. | ||||||
6.50%, 11/13/36 | 2,118,665 | 2,208,618 | ||||
Station Place Securitization Trust | ||||||
1.85%, 12/29/10 144A† | 1,410,000 | 1,410,000 | ||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||
2.73%, 08/25/34 | 1,057,132 | 901,247 | ||||
0.65%, 09/25/34† | 190,523 | 142,076 | ||||
Structured Asset Mortgage Investments, Inc. | ||||||
2.17%, 10/19/34† | 576,719 | 438,536 | ||||
0.63%, 05/25/35† | 974,986 | 537,700 | ||||
0.60%, 07/19/35† | 162,511 | 104,128 | ||||
0.42%, 08/25/36† | 23,713 | 23,674 | ||||
Structured Asset Securities Corporation | ||||||
0.40%, 05/25/36† | 121,895 | 117,278 | ||||
TBW Mortgage Backed Pass-Through Certificates | ||||||
6.01%, 07/25/37 STEP | 682,638 | 444,146 | ||||
Thornburg Mortgage Securities Trust | ||||||
0.46%, 11/25/11† | 2,118,019 | 2,038,295 | ||||
0.46%, 07/25/36† | 665,698 | 653,757 | ||||
0.44%, 03/25/37† | 866,018 | 842,848 | ||||
0.45%, 03/25/37† | 1,133,431 | 1,094,394 | ||||
0.47%, 06/25/37† | 1,110,590 | 1,043,785 | ||||
0.47%, 10/25/46† | 1,571,882 | 1,533,528 | ||||
TIAA Retail Commercial Trust | ||||||
5.67%, 08/15/39 | 1,759,993 | 1,806,754 | ||||
Wachovia Bank Commercial Mortgage Trust | ||||||
4.04%, 02/15/34 | 719,247 | 729,600 | ||||
Washington Mutual Alternative Mortgage Pass-Through Certificates | ||||||
1.26%, 05/25/47† | 1,000,087 | 210,405 | ||||
Washington Mutual Mortgage Pass-Through Certificates | ||||||
0.89%, 12/25/27† | 2,126,013 | 1,911,910 | ||||
5.57%, 02/25/37 | 1,105,901 | 808,558 | ||||
5.59%, 05/25/37† | 1,281,806 | 990,705 | ||||
5.74%, 06/25/37 | 2,963,888 | 1,991,368 | ||||
1.82%, 06/25/42† | 34,471 | 27,464 | ||||
0.66%, 01/25/45† | 1,196,414 | 908,115 | ||||
0.67%, 08/25/45† | 473,829 | 369,615 | ||||
0.64%, 10/25/45† | 492,428 | 382,846 | ||||
1.39%, 06/25/46† | 1,824,550 | 1,171,299 | ||||
1.16%, 01/25/47† | 1,037,482 | 545,514 | ||||
Washington Mutual MSC Mortgage Pass-Through Certificates | ||||||
3.04%, 03/25/32† | 99,710 | 87,397 | ||||
Wells Fargo Mortgage-Backed Securities Trust | ||||||
2.91%, 01/25/35† | 1,273,460 | 1,283,610 | ||||
Total Mortgage-Backed Securities | 144,941,146 | |||||
MUNICIPAL BONDS — 3.4% | ||||||
California State Public Works Board, California State University Projects (RB) Series B-2 | ||||||
7.80%, 03/01/35 | 800,000 | 832,352 | ||||
Chicago Transit Authority | ||||||
6.90%, 12/01/40 | 1,300,000 | 1,445,665 | ||||
Citizens Property Insurance Corporation High Risk Account Series A-1 Revenue Bond | ||||||
5.00%, 06/01/12 | 1,100,000 | 1,150,138 | ||||
Dallas County Hospital District Series B | ||||||
6.17%, 08/15/34 | 1,300,000 | 1,351,363 | ||||
Irvine Ranch Water District Joint Powers Agency (RB) (ETM) | ||||||
2.61%, 03/15/14 | 2,800,000 | 2,870,028 | ||||
New York Urban Development Corporation | ||||||
2.48%, 12/15/13 | 2,600,000 | 2,636,270 | ||||
State of California General Obligation Bond | ||||||
5.00%, 11/01/32 | 1,300,000 | 1,264,133 | ||||
7.50%, 04/01/34 | 1,600,000 | 1,709,120 | ||||
5.65%, 04/01/39 | 1,850,000 | 1,944,905 | ||||
7.55%, 04/01/39 | 3,400,000 | 3,651,770 | ||||
State of Illinois General Obligation Bond | ||||||
3.32%, 01/01/13 | 5,500,000 | 5,478,000 | ||||
Total Municipal Bonds | 24,333,744 | |||||
Number of Contracts | ||||||
PURCHASED OPTION — 0.0% | ||||||
Put Option — 0.0% | ||||||
September 2010 Euro-BOBL Futures, Strike Price $97.25, Expires 09/10/10 (Cost $4,287) | 63 | 158 | ||||
Par | ||||||
U.S. TREASURY OBLIGATIONS — 12.7% | ||||||
U.S. Treasury Bills | ||||||
0.13%, 07/01/10W | $ | 100,000 | 100,000 | |||
0.20%, 08/26/10W‡‡ | 460,000 | 459,931 | ||||
0.18%, 09/16/10W | 9,000,000 | 8,997,210 | ||||
0.15%, 09/23/10W | 3,000,000 | 2,998,950 | ||||
0.38%, 09/23/10 | 300,000 | 299,895 | ||||
12,855,986 | ||||||
U.S. Treasury Bonds | ||||||
8.13%, 08/15/19 | 400,000 | 569,938 | ||||
8.50%, 02/15/20D | 200,000 | 293,406 | ||||
8.75%, 08/15/20 | 400,000 | 599,750 | ||||
8.13%, 05/15/21‡‡ | 4,700,000 | 6,853,921 | ||||
8.13%, 08/15/21D | 1,600,000 | 2,340,750 | ||||
8.00%, 11/15/21 | 3,300,000 | 4,799,952 | ||||
7.25%, 08/15/22D | 2,851,000 | 3,972,692 | ||||
7.63%, 11/15/22D‡‡ | 3,300,000 | 4,738,077 |
See Notes to Financial Statements.
47
Table of Contents
LOW-DURATION BOND FUND SCHEDULE OF INVESTMENTS (Continued) |
Par | Value | |||||||
7.50%, 11/15/24 | $ | 100,000 | $ | 145,078 | ||||
24,313,564 | ||||||||
U.S. Treasury Notes | ||||||||
2.38%, 08/31/10D | 770,000 | 772,918 | ||||||
1.00%, 07/31/11‡‡ | 249,000 | 250,595 | ||||||
1.75%, 11/15/11‡‡ | 500,000 | 508,926 | ||||||
0.88%, 02/29/12D | 6,000,000 | 6,033,036 | ||||||
1.00%, 04/30/12D | 2,219,000 | 2,235,989 | ||||||
0.63%, 05/31/12‡‡ | 17,484,000 | 17,537,274 | ||||||
1.75%, 04/15/13 | 300,000 | 306,866 | ||||||
1.38%, 05/15/13 | 4,255,000 | 4,307,532 | ||||||
1.13%, 06/15/13D | 17,320,000 | 17,391,636 | ||||||
2.38%, 09/30/14 | 20,000 | 20,661 | ||||||
2.50%, 04/30/15D | 1,697,000 | 1,757,588 | ||||||
2.13%, 05/31/15 | 1,455,000 | 1,480,238 | ||||||
1.88%, 06/30/15 | 950,000 | 953,786 | ||||||
3.13%, 10/31/16 | 80,000 | 83,931 | ||||||
3.88%, 05/15/18D | 100,000 | 109,312 | ||||||
8.75%, 05/15/20 | 400,000 | 597,875 | ||||||
54,348,163 | ||||||||
Total U.S. Treasury Obligations | 91,517,713 | |||||||
Shares | ||||||||
MONEY MARKET FUNDS — 11.3% | ||||||||
GuideStone Money Market Fund (GS4 Class)¥ | 32,206,804 | 32,206,804 | ||||||
Northern Institutional Liquid Assets Portfolio§ | 49,225,455 | 49,225,455 | ||||||
Total Money Market Funds | 81,432,259 | |||||||
Par | ||||||||
REPURCHASE AGREEMENTS — 10.3% | ||||||||
Bank of America Securities LLC | ||||||||
0.21% (dated 06/30/10, due 07/02/10, repurchase price $28,600,167, collateralized by U.S. Treasury Bond, 4.375%, due 05/15/40, total market value $29,193,821) | $ | 28,600,000 | 28,600,000 | |||||
Deutsche Bank Securities, Inc. | ||||||||
0.08% (dated 06/30/10, due 07/02/10, repurchase price $8,900,049, collateralized by U.S. Treasury Bond, 4.375%, due 11/15/39, total market value $9,043,673) | 8,900,000 | 8,900,000 | ||||||
Morgan Stanley | ||||||||
0.03% (dated 06/29/10, due 07/01/10, repurchase price $8,600,007, collateralized by Federal Home Loan Mortgage Corporation Bond, ..25156%, due 05/01/12, total market value $8,841,000) | 8,600,000 | 8,600,000 | ||||||
RBS Securities | ||||||||
0.03% (dated 06/29/10, due 07/01/10, repurchase price $28,500,024, collateralized by Federal National Mortgage Association Bond, 5.000%, due 03/15/16, total market value $28,518,813) | 28,500,000 | 28,500,000 | ||||||
Total Repurchase Agreements | 74,600,000 | |||||||
TOTAL INVESTMENTS — 112.4% | 809,757,143 | |||||||
Notional Amount | ||||||||
WRITTEN OPTIONS — (0.1)% | ||||||||
Call Options — (0.1)% | ||||||||
3-Month LIBOR, Strike Price $3.25, Expires 01/24/11 (DEUT) | $ | (21,100,000 | ) | (588,228 | ) | |||
3-Month LIBOR, Strike Price $3.25, Expires 08/31/10 (BAR) | (3,800,000 | ) | (88,368 | ) | ||||
3-Month LIBOR, Strike Price $3.25, Expires 10/29/10 (MSCS) | (3,900,000 | ) | (100,078 | ) | ||||
3-Month LIBOR, Strike Price $3.50, Expires 08/31/10 (DEUT) | (1,700,000 | ) | (68,195 | ) | ||||
3-Month LIBOR, Strike Price $3.50, Expires 08/31/10 (MSCS) | (2,600,000 | ) | (104,298 | ) | ||||
(949,167 | ) | |||||||
Number of Contracts | ||||||||
Put Options — 0.0% | ||||||||
90-Day Eurodollar Futures, Strike Price $98.25, Expires 09/13/10 (CITI) | (76 | ) | (2,850 | ) | ||||
Notional Amount | ||||||||
3-Month LIBOR, Strike Price $10.00, Expires 07/10/12 (CS) | $ | (100,000 | ) | (8 | ) | |||
3-Month LIBOR, Strike Price $4.00, Expires 12/01/10 (RBS) | (8,600,000 | ) | (2,916 | ) | ||||
3-Month LIBOR, Strike Price $4.50, Expires 08/31/10 (DEUT) | (1,700,000 | ) | (52 | ) | ||||
3-Month LIBOR, Strike Price $4.75, Expires 08/31/10 (BAR) | (3,800,000 | ) | (29 | ) | ||||
3-Month LIBOR, Strike Price $5.00, Expires 10/29/10 (MSCS) | (3,900,000 | ) | (590 | ) | ||||
(6,445 | ) | |||||||
See Notes to Financial Statements.
48
Table of Contents
Notional Amount | Value | |||||||
Put Swaptions — 0.0% | ||||||||
3-Month LIBOR, Strike Price $10.00, Expires 07/10/12 (BAR) | $ | (200,000 | ) | $ | (17 | ) | ||
3-Month LIBOR, Strike Price $10.00, Expires 07/10/12 (MSCS) | (3,800,000 | ) | (324 | ) | ||||
3-Month LIBOR, Strike Price $10.00, Expires 07/10/12 (RBS) | (300,000 | ) | (26 | ) | ||||
3-Month LIBOR, Strike Price $4.50, Expires 08/31/10 (MSCS) | (2,600,000 | ) | (81 | ) | ||||
3-Month LIBOR, Strike Price $5.00, Expires 01/24/11 (DEUT) | (21,100,000 | ) | (27,527 | ) | ||||
(27,975 | ) | |||||||
Total Written Options | (983,587 | ) | ||||||
Par | ||||||||
TBA SALE COMMITMENT — (1.5)% | ||||||||
Federal National Mortgage Association | ||||||||
5.50%, 07/01/37 TBA (Cost $(10,687,500)) | $ | (10,000,000 | ) | (10,734,380 | ) | |||
Liabilities in Excess of Other Assets — (10.8)% | (77,995,162 | ) | ||||||
NET ASSETS — 100.0% | $ | 720,044,014 | ||||||
Please see abbreviation and footnote definitions on page 127.
See Notes to Financial Statements.
49
Table of Contents
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Swap agreements outstanding at June 30, 2010:
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 Corporate Issues — Buy Protection | |||||||||||||||||||||
Nabors Industries, 6.15% due 02/15/18 | (0.63 | )% | 03/20/18 | CITI | USD | $ | 3,300,000 | $ | 229,228 | $ | — | $ | 229,228 | ||||||||
Nabors Industries, 5.375% due 08/15/12 | (1.00 | )% | 03/20/19 | BNP | USD | 2,700,000 | 137,882 | 8,660 | 129,222 | ||||||||||||
Morgan Stanley ABS Capital I, 7.02% due 12/27/33 | (0.54 | )% | 12/27/33 | MSCS | USD | 452,261 | 222,818 | — | 222,818 | ||||||||||||
Long Beach Mortgage Trust, 6.72% due 02/25/34 | (0.49 | )% | 02/25/34 | MSCS | USD | 437,951 | 289,049 | — | 289,049 | ||||||||||||
Structured Asset Investment Loan Trust, 6.14% due 02/25/35 | (0.61 | )% | 02/25/35 | BAR | USD | 453,041 | 279,620 | — | 279,620 | ||||||||||||
$ | 7,343,253 | $ | 1,158,597 | $ | 8,660 | $ | 1,149,937 | ||||||||||||||
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 Indices — Buy Protection | ||||||||||||||||||||||
Dow Jones CDX IG14 5Y Index | (0.01 | )% | 06/20/15 | GSC | USD | $ | 7,900,000 | $ | 69,481 | $ | 115,963 | $ | (46,482 | ) | ||||||||
Dow Jones CDX IG9 10Y Index | (0.08 | )% | 12/20/17 | RBS | USD | 2,032,800 | 95,817 | 23,091 | 72,726 | |||||||||||||
Dow Jones CDX IG9 10Y Index | (0.08 | )% | 12/20/17 | GSC | USD | 6,872,800 | 323,952 | 89,844 | 234,108 | |||||||||||||
Dow Jones CDX IG9 10Y Index | (0.08 | )% | 12/20/17 | BAR | USD | 2,420,000 | 114,068 | 25,409 | 88,659 | |||||||||||||
Dow Jones CDX IG9 10Y Index | (0.08 | )% | 03/20/19 | MSCS | USD | 5,227,200 | 246,399 | 66,126 | 180,273 | |||||||||||||
Dow Jones CDX HY-8 Index | (1.63 | )% | 02/25/35 | CITI | USD | 4,900,000 | 93,959 | — | 93,959 | |||||||||||||
CMBX.NA.AAA.4 Index | (0.35 | )% | 02/17/39 | GSC | USD | 5,700,000 | 776,026 | 860,523 | (84,497 | ) | ||||||||||||
$ | 35,052,800 | $ | 1,719,702 | $ | 1,180,956 | $ | 538,746 | |||||||||||||||
Reference Obligation | Fixed Deal (Pay) Rate | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||
Interest Rate Swaps | ||||||||||||||||||||||
Brazil Cetip Interbank Deposit | (11.65 | )% | 02/02/12 | MSCS | BRL | $ | 1,800,000 | $ | 19,346 | $ | 10,226 | $ | 9,120 | |||||||||
Brazil Cetip Interbank Deposit | (11.65 | )% | 01/02/12 | HSBC | BRL | 3,200,000 | 32,696 | 16,031 | 16,665 | |||||||||||||
Brazil Cetip Interbank Deposit | (11.36 | )% | 02/02/12 | HSBC | BRL | 2,300,000 | 8,335 | 8,233 | 102 | |||||||||||||
Brazil Cetip Interbank Deposit | (11.96 | )% | 01/02/14 | GSC | BRL | 5,900,000 | 2,015 | (10,045 | ) | 12,060 | ||||||||||||
Brazil Cetip Interbank Deposit | (11.96 | )% | 02/12/12 | HSBC | BRL | 1,700,000 | 18,271 | 9,799 | 8,472 | |||||||||||||
$ | 14,900,000 | $ | 80,663 | $ | 34,244 | $ | 46,419 | |||||||||||||||
Total Swap agreements outstanding at June 30, 2010 | $ | 2,958,962 | $ | 1,223,860 | $ | 1,735,102 | ||||||||||||||||
Please see abbreviation and footnote definitions on page 127.
See Notes to Financial Statements.
50
Table of Contents
PORTFOLIO SUMMARY (based on net assets)
% | |||
Futures Contracts | 34.7 | ||
Mortgage-Backed Securities | 20.1 | ||
Corporate Bonds | 18.8 | ||
Foreign Bonds | 17.5 | ||
U.S. Treasury Obligations | 12.7 | ||
Money Market Funds | 11.3 | ||
Repurchase Agreements | 10.3 | ||
Asset-Backed Securities | 9.3 | ||
Agency Obligations | 9.0 | ||
Forward Foreign Currency Contracts | 4.9 | ||
Municipal Bonds | 3.4 | ||
Swap Agreements | 0.4 | ||
Purchased Option | — | ** | |
Written Options | (0.1 | ) | |
TBA Sale Commitment | (1.5 | ) | |
150.8 | |||
** | Rounds to less than 0.005%. |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2010, in valuing the Fund’s investments carried at fair value:
Valuation Inputs | Investments in Securities | Other Financial Instruments*** | |||||
Assets: | |||||||
Level 1 — Quoted Prices | |||||||
Futures Contracts | $ | — | $ | 119,044 | |||
Money Market Funds | 81,432,259 | — | |||||
Purchased Option | 158 | — | |||||
Level 2 — Other Significant Observable Inputs | |||||||
Agency Obligations | 64,604,328 | — | |||||
Asset-Backed Securities | 66,923,024 | — | |||||
Corporate Bonds | 135,287,349 | — | |||||
Foreign Bonds | 126,117,422 | — | |||||
Forward Foreign Currency Contracts | — | 934,673 | |||||
Mortgage-Backed Securities | 144,941,146 | — | |||||
Municipal Bonds | 24,333,744 | — | |||||
Repurchase Agreements | 74,600,000 | — | |||||
Swap Agreements | — | 2,958,962 | |||||
U.S. Treasury Obligations | 91,517,713 | — | |||||
Level 3 — Significant Unobservable Inputs | — | — | |||||
Total Assets | $ | 809,757,143 | $ | 4,012,679 | |||
Liabilities: | |||||||
Level 1 — Quoted Prices Written Options | $ | (2,850 | ) | $ | — | ||
Level 2 — Other Significant Observable Inputs | |||||||
TBA Sale Commitment | (10,734,380 | ) | — | ||||
Written Options | (980,737 | ) | — | ||||
Level 3 — Significant Unobservable Inputs | — | — | |||||
Total Liabilities | $ | (11,717,967 | ) | $ | — | ||
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
See Notes to Financial Statements.
51
Table of Contents
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:
Investments in Securities | Other Financial Instruments*** | ||||||
Balance, 12/31/09 | |||||||
Corporate Bonds | $ | 1,818,415 | $ | — | |||
Accrued discounts/premiums | |||||||
Corporate Bonds | 38,034 | — | |||||
Realized gain (loss) | |||||||
Corporate Bonds | — | — | |||||
Change in unrealized appreciation (depreciation) | |||||||
Corporate Bonds | 121,263 | — | |||||
Purchases | |||||||
Corporate Bonds | — | — | |||||
Sales | |||||||
Corporate Bonds | — | — | |||||
Transfers in and/or out of Level 3 | |||||||
Corporate Bonds | (1,977,712 | ) | — | ||||
Balance, 06/30/10 | $ | — | $ | — | |||
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
See Notes to Financial Statements.
52
Table of Contents
SCHEDULE OF INVESTMENTS | June 30, 2010 (Unaudited) |
Par | Value | |||||
AGENCY OBLIGATIONS — 6.3% | ||||||
Federal Farm Credit Bank | ||||||
5.05%, 11/06/17 | $ | 400,000 | $ | 459,178 | ||
Federal Home Loan Bank | ||||||
0.19%, 07/07/10W | 4,700,000 | 4,699,851 | ||||
0.20%, 08/11/10W | 8,500,000 | 8,498,879 | ||||
Federal Home Loan Mortgage Corporation | ||||||
0.21%, 08/16/10W | 8,500,000 | 8,499,022 | ||||
0.25%, 10/13/10W | 20,800,000 | 20,791,597 | ||||
4.50%, 04/02/14 | 4,600,000 | 5,094,008 | ||||
Federal National Mortgage Association | ||||||
0.22%, 08/02/10W | 700,000 | 699,894 | ||||
0.20%, 08/11/10W | 8,500,000 | 8,498,879 | ||||
0.20%, 08/18/10W | 2,500,000 | 2,499,710 | ||||
5.25%, 08/01/12 | 2,400,000 | 2,591,561 | ||||
3.88%, 07/12/13 | 1,070,000 | 1,160,159 | ||||
4.38%, 10/15/15 | 510,000 | 564,729 | ||||
6.37%, 10/09/19W | 150,000 | 92,943 | ||||
6.63%, 11/15/30 | 640,000 | 834,861 | ||||
Tennessee Valley Authority | ||||||
5.25%, 09/15/39 | 350,000 | 388,431 | ||||
5.38%, 04/01/56 | 1,800,000 | 2,048,110 | ||||
Total Agency Obligations | ||||||
(Cost $66,715,091) | 67,421,812 | |||||
ASSET-BACKED SECURITIES — 4.1% | ||||||
Access Group, Inc. | ||||||
1.62%, 10/27/25† | 1,682,404 | 1,746,044 | ||||
Amortizing Residential Collateral Trust | ||||||
0.63%, 01/01/32† | 39,016 | 27,305 | ||||
Asset-Backed Securities Corporation Home Equity | ||||||
0.62%, 09/25/34† | 168,112 | 143,857 | ||||
Avis Budget Rental Car Funding AESOP LLC | ||||||
4.64%, 05/20/16 144A | 310,000 | 321,192 | ||||
Bayview Financial Acquisition Trust | ||||||
1.02%, 02/28/44† | 534,613 | 486,976 | ||||
Bear Stearns Asset-Backed Securities, Inc. | ||||||
6.00%, 10/25/36 | 3,053,387 | 2,123,670 | ||||
6.50%, 10/25/36 | 3,189,233 | 2,248,089 | ||||
Chase Issuance Trust | ||||||
0.80%, 09/17/12† | 3,600,000 | 3,602,128 | ||||
CIT Mortgage Loan Trust | ||||||
1.35%, 10/25/37 144A†@ | 483,986 | 444,400 | ||||
1.59%, 10/25/37 144A†@ | 430,000 | 232,332 | ||||
1.79%, 10/25/37 144A†@ | 800,000 | 326,457 | ||||
College Loan Corporation Trust | ||||||
0.41%, 10/25/25† | 1,000,000 | 989,881 | ||||
Countrywide Home Equity Loan Trust | ||||||
0.64%, 02/15/34† | 392,087 | 192,545 | ||||
0.59%, 12/15/35† | 1,031,944 | 337,732 | ||||
0.49%, 07/15/36† | 1,258,766 | 563,741 | ||||
Daimler Chrysler Auto Trust | ||||||
1.83%, 09/10/12† | 4,134,117 | 4,156,657 | ||||
Education Funding Capital Trust I | ||||||
1.45%, 06/15/43† | 200,000 | 162,360 | ||||
EFS Volunteer LLC | ||||||
1.39%, 10/25/35 144A† | 450,000 | 419,004 | ||||
EMC Mortgage Loan Trust | ||||||
0.90%, 11/25/41 144A† | 160,742 | 141,209 | ||||
Ford Credit Auto Owner Trust | ||||||
1.77%, 06/15/12† | 1,878,589 | 1,889,165 | ||||
Franklin Auto Trust | ||||||
1.93%, 06/20/12† | 648,907 | 651,293 | ||||
GMAC Mortgage Corporation Loan Trust | ||||||
7.00%, 09/25/37 | 438,229 | 235,206 | ||||
Goal Capital Funding Trust | ||||||
1.24%, 08/25/48 144A†@ | 1,250,000 | 1,247,824 | ||||
GSAMP Trust | ||||||
0.46%, 05/25/46 144A† | 320,260 | 307,594 | ||||
Hertz Vehicle Financing LLC | ||||||
5.29%, 03/25/16 144A | 600,000 | 635,538 | ||||
HSBC Home Equity Loan Trust | ||||||
1.54%, 11/20/36† | 1,005,198 | 846,655 | ||||
Lehman XS Trust | ||||||
0.65%, 11/25/35† | 855,166 | 549,261 | ||||
0.62%, 12/25/35† | 223,480 | 143,801 | ||||
0.62%, 02/25/36† | 1,097,547 | 557,597 | ||||
Lehman XS Trust | ||||||
0.65%, 11/25/35 STEP | 1,009,183 | 669,452 | ||||
Madison Avenue Manufactured Housing Contract | ||||||
0.70%, 03/25/32† | 258,965 | 252,500 | ||||
Magnolia Funding Limited | ||||||
3.00%, 04/20/17 144A@ | 2,739,682 | 3,316,525 | ||||
Missouri Higher Education Loan Authority | ||||||
1.45%, 11/26/32† | 971,131 | 978,492 | ||||
Morgan Stanley Dean Witter Credit Corporation HELOC Trust | ||||||
0.54%, 07/25/17 STEP | 119,403 | 77,963 | ||||
Nelnet Education Loan Funding, Inc. | ||||||
1.09%, 02/25/39† | 800,000 | 719,152 | ||||
Nelnet Student Loan Trust | ||||||
1.80%, 04/25/24† | 780,000 | 803,530 | ||||
Provident Bank Home Equity Loan Trust | ||||||
0.89%, 08/25/31† | 124,319 | 50,144 | ||||
Residential Asset Mortgage Products, Inc. | ||||||
0.83%, 03/25/34† | 368,230 | 213,788 | ||||
Residential Funding Securities LLC | ||||||
0.80%, 06/25/33 144A† | 389,907 | 308,566 | ||||
Salomon Brothers Mortgage Securities VII, Inc. | ||||||
0.83%, 03/25/28 STEP | 62,501 | 59,381 | ||||
Securitized Asset-Backed Receivables LLC Trust | ||||||
0.58%, 02/25/37† | 2,836,684 | 1,333,383 | ||||
SLM Student Loan Trust | ||||||
1.82%, 04/25/23† | 6,626,967 | 6,850,448 | ||||
Structured Asset Securities Corporation | ||||||
0.65%, 04/25/31 144A† | 3,069,295 | 2,172,933 | ||||
Total Asset-Backed Securities | ||||||
(Cost $52,075,123) | 43,535,770 | |||||
See Notes to Financial Statements.
53
Table of Contents
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||
CORPORATE BONDS — 19.8% | ||||||
AES Corporation | ||||||
7.75%, 10/15/15D | $ | 270,000 | $ | 274,725 | ||
Agilent Technologies, Inc. | ||||||
5.50%, 09/14/15 | 575,000 | 619,611 | ||||
Allied Waste North America, Inc. | ||||||
7.13%, 05/15/16D | 125,000 | 134,223 | ||||
American Achievement Corporation | ||||||
8.25%, 04/01/12 144A | 30,000 | 29,925 | ||||
American Express Bank FSB | ||||||
6.00%, 09/13/17D | 1,100,000 | 1,209,098 | ||||
American Express Co. | ||||||
6.80%, 09/01/49D | 1,340,000 | 1,286,400 | ||||
American Express Credit Corporation | ||||||
0.50%, 10/04/10† | 200,000 | 199,988 | ||||
5.88%, 05/02/13 | 2,600,000 | 2,846,605 | ||||
5.13%, 08/25/14D | 830,000 | 893,808 | ||||
American General Finance Corporation | ||||||
6.90%, 12/15/17D | 780,000 | 624,975 | ||||
American International Group, Inc. | ||||||
5.60%, 10/18/16 | 600,000 | 550,800 | ||||
5.85%, 01/16/18 | 1,220,000 | 1,096,475 | ||||
8.25%, 08/15/18 144A | 3,200,000 | 3,256,000 | ||||
6.25%, 03/15/37 | 680,000 | 465,800 | ||||
ANZ Capital Trust II | ||||||
5.36%, 12/29/49 144A‡‡ | 800,000 | 770,603 | ||||
Apache Corporation | ||||||
6.00%, 09/15/13D | 680,000 | 762,439 | ||||
Arizona Public Service Co. | ||||||
8.75%, 03/01/19 | 525,000 | 667,041 | ||||
ASIF Global Financing XIX | ||||||
4.90%, 01/17/13 144A | 100,000 | 98,500 | ||||
Astoria Financial Corporation | ||||||
5.75%, 10/15/12 | 450,000 | 459,247 | ||||
AT&T, Inc. | ||||||
5.10%, 09/15/14D | 550,000 | 610,719 | ||||
6.55%, 02/15/39 | 430,000 | 483,289 | ||||
BAC Capital Trust XIV | ||||||
5.63%, 12/31/49†D | 40,000 | 27,300 | ||||
Baker Hughes, Inc. | ||||||
7.50%, 11/15/18 | 710,000 | 869,455 | ||||
Bank of America Corporation | ||||||
0.56%, 10/14/16† | 1,700,000 | 1,509,478 | ||||
5.75%, 12/01/17 | 3,130,000 | 3,250,943 | ||||
5.65%, 05/01/18D | 2,700,000 | 2,771,345 | ||||
7.63%, 06/01/19D | 670,000 | 768,760 | ||||
5.63%, 07/01/20 | 325,000 | 328,203 | ||||
Bear Stearns Cos. LLC | ||||||
6.95%, 08/10/12D | 1,600,000 | 1,755,853 | ||||
5.70%, 11/15/14 | 1,000,000 | 1,108,686 | ||||
6.40%, 10/02/17 | 1,200,000 | 1,334,846 | ||||
7.25%, 02/01/18D | 3,045,000 | 3,560,948 | ||||
BellSouth Capital Funding | ||||||
7.88%, 02/15/30 | 460,000 | 565,375 | ||||
BellSouth Corporation | ||||||
4.75%, 11/15/12D | 40,000 | 42,908 | ||||
6.88%, 10/15/31 | 10,000 | 11,425 | ||||
Berkshire Hathaway, Inc. | ||||||
3.20%, 02/11/15D | 650,000 | 670,091 | ||||
Boardwalk Pipelines LP | ||||||
5.88%, 11/15/16 | 625,000 | 682,531 | ||||
Boeing Capital Corporation | ||||||
4.70%, 10/27/19D | 230,000 | 247,750 | ||||
Boeing Co. | ||||||
4.88%, 02/15/20D | 300,000 | 330,955 | ||||
6.63%, 02/15/38 | 210,000 | 256,606 | ||||
Boston Scientific Corporation | ||||||
4.50%, 01/15/15 | 300,000 | 294,998 | ||||
6.00%, 01/15/20D | 200,000 | 198,921 | ||||
Caterpillar Financial Services Corporation | ||||||
6.20%, 09/30/13D | 980,000 | 1,112,477 | ||||
Cellco Partnership/Verizon Wireless Capital LLC | ||||||
8.50%, 11/15/18D | 175,000 | 227,884 | ||||
CenterPoint Energy Resources Corporation | ||||||
5.95%, 01/15/14D | 525,000 | 572,395 | ||||
Chesapeake Energy Corporation | ||||||
6.25%, 01/15/18D | 140,000 | 142,100 | ||||
7.25%, 12/15/18D | 205,000 | 212,687 | ||||
Chubb Corporation | ||||||
6.38%, 03/29/49†D | 375,000 | 363,750 | ||||
CitiFinancial, Inc. | ||||||
6.63%, 06/01/15D | 300,000 | 321,082 | ||||
Citigroup Funding, Inc. | ||||||
1.88%, 10/22/12D | 3,900,000 | 3,984,220 | ||||
1.88%, 11/15/12D | 1,500,000 | 1,532,514 | ||||
Citigroup, Inc. | ||||||
6.50%, 08/19/13D | 850,000 | 906,040 | ||||
6.00%, 12/13/13 | 980,000 | 1,028,927 | ||||
6.38%, 08/12/14D | 325,000 | 345,511 | ||||
5.00%, 09/15/14D | 1,720,000 | 1,721,954 | ||||
6.01%, 01/15/15D | 520,000 | 545,958 | ||||
5.50%, 02/15/17D | 1,160,000 | 1,143,634 | ||||
6.13%, 11/21/17 | 1,000,000 | 1,045,857 | ||||
6.13%, 05/15/18D | 4,800,000 | 5,017,474 | ||||
6.88%, 03/05/38 | 1,240,000 | 1,304,962 | ||||
Comcast Cable Communications LLC | ||||||
6.75%, 01/30/11 | 230,000 | 237,230 | ||||
Comcast Cable Communications Holdings, Inc. | ||||||
8.38%, 03/15/13 | 83,000 | 96,170 | ||||
9.46%, 11/15/22 | 200,000 | 276,450 | ||||
Comcast Corporation | ||||||
6.50%, 01/15/17D | 60,000 | 68,843 | ||||
5.70%, 05/15/18D | 1,250,000 | 1,376,255 | ||||
Comcast Holdings Corporation | ||||||
10.63%, 07/15/12 | 550,000 | 640,367 | ||||
Commonwealth Edison Co. | ||||||
5.40%, 12/15/11 | 650,000 | 687,973 | ||||
Community Health Systems, Inc. | ||||||
8.88%, 07/15/15D | 250,000 | 258,438 | ||||
Complete Production Services, Inc. | ||||||
8.00%, 12/15/16D | 280,000 | 275,100 | ||||
ConocoPhillips Holding Co. | ||||||
6.95%, 04/15/29 | 1,030,000 | 1,267,630 | ||||
COX Communications, Inc. | ||||||
5.45%, 12/15/14 | 370,000 | 408,804 | ||||
8.38%, 03/01/39 144A | 500,000 | 681,883 |
See Notes to Financial Statements.
54
Table of Contents
Par | Value | |||||
CSC Holdings, Inc. | ||||||
7.63%, 04/01/11 | $ | 500,000 | $ | 515,000 | ||
6.75%, 04/15/12 | 60,000 | 62,400 | ||||
CVS Pass-Through Trust | ||||||
6.94%, 01/10/30 144A | 949,552 | 1,050,118 | ||||
Daimler Finance NA LLC | ||||||
5.88%, 03/15/11 | 590,000 | 608,020 | ||||
5.75%, 09/08/11 | 1,900,000 | 1,979,112 | ||||
7.30%, 01/15/12D | 550,000 | 593,067 | ||||
6.50%, 11/15/13 | 100,000 | 112,009 | ||||
DaVita, Inc. | ||||||
6.63%, 03/15/13 | 310,000 | 311,937 | ||||
DCP Midstream LLC | ||||||
9.75%, 03/15/19 144A | 200,000 | 257,626 | ||||
Dean Foods Co. | ||||||
7.00%, 06/01/16D | 375,000 | 352,500 | ||||
Delta Air Lines, Inc. | ||||||
6.82%, 08/10/22 | 421,349 | 428,196 | ||||
Developers Diversified Realty Corporation | ||||||
7.50%, 04/01/17 | 375,000 | 368,498 | ||||
DIRECTV Holdings LLC | ||||||
6.35%, 03/15/40 144AD | 150,000 | 160,512 | ||||
Discover Bank | ||||||
8.70%, 11/18/19 | 425,000 | 472,603 | ||||
DISH DBS Corporation | ||||||
7.00%, 10/01/13 | 10,000 | 10,350 | ||||
6.63%, 10/01/14 | 30,000 | 30,075 | ||||
7.75%, 05/31/15 | 200,000 | 207,000 | ||||
Dominion Resources, Inc. | ||||||
4.75%, 12/15/10 | 70,000 | 71,220 | ||||
5.70%, 09/17/12D | 1,230,000 | 1,330,190 | ||||
Dow Chemical Co. | ||||||
7.60%, 05/15/14D | 550,000 | 635,714 | ||||
5.90%, 02/15/15 | 200,000 | 218,787 | ||||
Duke Energy Carolinas LLC | ||||||
5.63%, 11/30/12D | 580,000 | 634,798 | ||||
Dynegy Holdings, Inc. | ||||||
7.75%, 06/01/19 | 45,000 | 31,331 | ||||
Eastman Kodak Co. | ||||||
7.25%, 11/15/13 | 490,000 | 482,650 | ||||
Edison Mission Energy | ||||||
7.00%, 05/15/17D | 200,000 | 129,000 | ||||
El Paso Corporation | ||||||
7.00%, 06/15/17D | 710,000 | 709,552 | ||||
7.80%, 08/01/31 | 750,000 | 744,984 | ||||
El Paso Natural Gas Co. | ||||||
7.50%, 11/15/26 | 300,000 | 329,369 | ||||
El Paso Performance-Linked Trust | ||||||
7.75%, 07/15/11 144A | 1,460,000 | 1,512,243 | ||||
El Paso Pipeline Partners Operating Co., LLC | ||||||
6.50%, 04/01/20 | 175,000 | 179,610 | ||||
Energy Future Holdings Corporation | ||||||
5.55%, 11/15/14D | 120,000 | 85,845 | ||||
6.50%, 11/15/24 | 370,000 | 168,350 | ||||
6.55%, 11/15/34 | 865,000 | 389,250 | ||||
Energy Transfer Partners LP | ||||||
5.95%, 02/01/15 | 650,000 | 694,180 | ||||
6.70%, 07/01/18 | 970,000 | 1,044,732 | ||||
Enterprise Products Operating LLC | ||||||
6.65%, 04/15/18† | 650,000 | 741,817 | ||||
8.38%, 08/01/66D | 350,000 | 349,972 | ||||
7.03%, 01/15/68†D | 350,000 | 322,455 | ||||
Exelon Corporation | ||||||
5.63%, 06/15/35D | 675,000 | 656,121 | ||||
Fifth Third Bank Ohio | ||||||
0.55%, 05/17/13† | 400,000 | 375,860 | ||||
First Niagara Financial Group, Inc. | ||||||
6.75%, 03/19/20 | 250,000 | 262,897 | ||||
FirstEnergy Corporation | ||||||
6.45%, 11/15/11 | 3,000 | 3,170 | ||||
7.38%, 11/15/31D | 1,180,000 | 1,247,599 | ||||
Ford Motor Credit Co., LLC | ||||||
5.79%, 06/15/11†D | 607,000 | 615,346 | ||||
12.00%, 05/15/15 | 1,320,000 | 1,529,468 | ||||
8.00%, 12/15/16D | 1,300,000 | 1,331,027 | ||||
Freeport-McMoRan Copper & Gold, Inc. | ||||||
8.38%, 04/01/17 | 1,995,000 | 2,197,351 | ||||
General Electric Capital Corporation | ||||||
2.00%, 09/28/12 | 2,900,000 | 2,970,859 | ||||
5.45%, 01/15/13D | 150,000 | 161,292 | ||||
6.00%, 08/07/19 | 1,850,000 | 2,006,292 | ||||
General Electric Co. | ||||||
5.00%, 02/01/13D | 920,000 | 987,164 | ||||
5.25%, 12/06/17D | 200,000 | 217,817 | ||||
Georgia-Pacific LLC | ||||||
8.13%, 05/15/11 | 4,000 | 4,185 | ||||
GlaxoSmithKline Capital, Inc. | ||||||
5.65%, 05/15/18D | 1,470,000 | 1,684,796 | ||||
GMAC, Inc. | ||||||
6.88%, 09/15/11D | 1,101,000 | 1,121,644 | ||||
1.75%, 10/30/12D | 3,000,000 | 3,053,784 | ||||
7.50%, 12/31/13 | 177,000 | 178,327 | ||||
8.00%, 12/31/18 | 62,000 | 57,660 | ||||
Goldman Sachs Capital II | ||||||
5.79%, 12/29/49D | 60,000 | 45,600 | ||||
Goldman Sachs Group, Inc. | ||||||
6.60%, 01/15/12 | 70,000 | 74,062 | ||||
5.30%, 02/14/12 | 30,000 | 31,237 | ||||
3.63%, 08/01/12 | 110,000 | 112,113 | ||||
5.45%, 11/01/12 | 190,000 | 200,263 | ||||
4.75%, 07/15/13 | 60,000 | 62,688 | ||||
5.25%, 10/15/13 | 160,000 | 168,784 | ||||
5.75%, 10/01/16D | 1,900,000 | 2,007,709 | ||||
6.25%, 09/01/17 | 1,700,000 | 1,801,922 | ||||
5.95%, 01/18/18 | 2,300,000 | 2,392,656 | ||||
5.38%, 03/15/20 | 310,000 | 306,888 | ||||
HCA, Inc. | ||||||
6.30%, 10/01/12 | 32,000 | 32,000 | ||||
9.13%, 11/15/14 | 60,000 | 62,925 | ||||
6.50%, 02/15/16D | 686,000 | 643,125 | ||||
9.25%, 11/15/16 | 480,000 | 510,000 | ||||
9.63%, 11/15/16 PIKD | 95,720 | 102,660 | ||||
7.88%, 02/15/20 | 125,000 | 129,219 | ||||
7.69%, 06/15/25 | 250,000 | 225,000 | ||||
Hess Corporation | ||||||
8.13%, 02/15/19D | 410,000 | 511,916 | ||||
7.88%, 10/01/29 | 260,000 | 320,797 | ||||
7.30%, 08/15/31D | 680,000 | 804,586 | ||||
HSBC Finance Corporation | ||||||
8.00%, 07/15/10D | 440,000 | 440,706 |
See Notes to Financial Statements.
55
Table of Contents
MEDIUM-DURATION BOND FUND SCHEDULE OF INVESTMENTS (Continued) |
Par | Value | |||||
7.00%, 05/15/12D | $ | 390,000 | $ | 420,121 | ||
6.38%, 11/27/12D | 70,000 | 75,638 | ||||
Humana, Inc. | ||||||
7.20%, 06/15/18D | 480,000 | 536,636 | ||||
ILFC E-Capital Trust II | ||||||
6.25%, 12/21/45 144A† | 280,000 | 180,950 | ||||
International Lease Finance Corporation | ||||||
6.76%, 02/23/15W | 2,300,000 | 2,269,617 | ||||
7.17%, 03/05/16W | 1,700,000 | 1,671,321 | ||||
International Paper Co. | ||||||
7.95%, 06/15/18 | 200,000 | 238,480 | ||||
JC Penney Corporation, Inc. | ||||||
7.40%, 04/01/37 | 50,000 | 50,250 | ||||
JPMorgan Chase & Co. | ||||||
5.75%, 01/02/13 | 320,000 | 344,369 | ||||
5.15%, 10/01/15D | 1,890,000 | 2,024,489 | ||||
JPMorgan Chase Capital XXV | ||||||
6.80%, 10/01/37D | 375,000 | 371,778 | ||||
Kerr-McGee Corporation | ||||||
6.95%, 07/01/24 | 450,000 | 409,768 | ||||
7.88%, 09/15/31 | 1,240,000 | 1,138,725 | ||||
Kinder Morgan Energy Partners LP | ||||||
6.75%, 03/15/11 | 110,000 | 113,887 | ||||
7.13%, 03/15/12D | 500,000 | 537,670 | ||||
5.85%, 09/15/12 | 40,000 | 42,907 | ||||
5.00%, 12/15/13D | 200,000 | 213,021 | ||||
6.00%, 02/01/17 | 250,000 | 272,704 | ||||
Kraft Foods, Inc. | ||||||
6.13%, 08/23/18D | 350,000 | 399,475 | ||||
5.38%, 02/10/20 | 880,000 | 944,742 | ||||
6.50%, 02/09/40D | 300,000 | 336,668 | ||||
Kroger Co. | ||||||
6.15%, 01/15/20D | 500,000 | 578,652 | ||||
L-3 Communications Corporation | ||||||
6.38%, 10/15/15D | 120,000 | 120,600 | ||||
Lehman Brothers Holdings Capital Trust VII | ||||||
5.86%, 11/29/49# | 2,330,000 | 6,058 | ||||
Lehman Brothers Holdings, Inc. | ||||||
6.63%, 01/18/12# | 200,000 | 40,500 | ||||
5.25%, 02/06/12# | 390,000 | 78,975 | ||||
5.63%, 01/24/13# | 2,300,000 | 477,250 | ||||
6.20%, 09/26/14# | 300,000 | 60,750 | ||||
6.50%, 07/19/17# | 150,000 | 262 | ||||
6.75%, 12/28/17# | 3,340,000 | 5,845 | ||||
Medtronic, Inc. | ||||||
4.45%, 03/15/20 | 300,000 | 320,314 | ||||
Merrill Lynch & Co., Inc. | ||||||
5.45%, 02/05/13D | 2,120,000 | 2,225,298 | ||||
6.05%, 05/16/16 | 500,000 | 517,306 | ||||
5.70%, 05/02/17D | 400,000 | 401,770 | ||||
6.40%, 08/28/17D | 775,000 | 809,274 | ||||
MetLife Capital Trust IV | ||||||
7.88%, 12/15/37 144A | 300,000 | 289,500 | ||||
MetLife Capital Trust X | ||||||
9.25%, 04/08/38 144A† | 300,000 | 325,500 | ||||
MetLife, Inc. | ||||||
6.40%, 12/15/36D | 150,000 | 132,750 | ||||
Metropolitan Life Global Funding I | ||||||
1.14%, 09/17/10 144A† | 3,200,000 | 3,202,538 | ||||
Morgan Stanley | ||||||
6.75%, 04/15/11D | 700,000 | 724,367 | ||||
5.63%, 01/09/12D | 410,000 | 426,780 | ||||
5.75%, 08/31/12D | 3,325,000 | 3,486,129 | ||||
1.03%, 03/01/13(E)† | 500,000 | 575,495 | ||||
0.75%, 10/18/16† | 340,000 | 296,189 | ||||
5.95%, 12/28/17† | 450,000 | 456,379 | ||||
6.63%, 04/01/18D | 1,675,000 | 1,758,279 | ||||
Motors Liquidation Co. | ||||||
8.25%, 07/15/23# | 210,000 | 64,575 | ||||
8.38%, 07/05/33(E)# | 170,000 | 72,240 | ||||
Nabors Industries, Inc. | ||||||
9.25%, 01/15/19D | 3,300,000 | 4,063,432 | ||||
New Cingular Wireless Services, Inc. | ||||||
8.13%, 05/01/12 | 135,000 | 151,129 | ||||
Nisource Finance Corporation | ||||||
7.88%, 11/15/10D | 2,660,000 | 2,718,690 | ||||
10.75%, 03/15/16 | 200,000 | 256,593 | ||||
Northwestern Mutual Life Insurance | ||||||
6.06%, 03/30/40 144AD | 850,000 | 914,483 | ||||
NRG Energy, Inc. | ||||||
7.25%, 02/01/14 | 285,000 | 289,631 | ||||
7.38%, 02/01/16 | 80,000 | 79,800 | ||||
7.38%, 01/15/17D | 35,000 | 34,737 | ||||
Occidental Petroleum Corporation | ||||||
7.00%, 11/01/13D | 1,120,000 | 1,309,877 | ||||
ONEOK Partners LP | ||||||
6.85%, 10/15/37 | 325,000 | 344,188 | ||||
Overseas Private Investment Corporation | ||||||
0.00%, 07/12/10W | 2,437,222 | 2,757,225 | ||||
0.00%, 07/12/12W | 3,000,000 | 3,454,587 | ||||
Pacific Gas & Electric Co. | ||||||
8.25%, 10/15/18 | 40,000 | 51,260 | ||||
6.05%, 03/01/34 | 390,000 | 436,560 | ||||
5.80%, 03/01/37D | 250,000 | 272,667 | ||||
Patrons’ Legacy | ||||||
5.65%, 04/17/18 144A | 1,290,357 | 1,168,006 | ||||
Peabody Energy Corporation | ||||||
6.88%, 03/15/13D | 15,000 | 15,187 | ||||
7.88%, 11/01/26D | 1,100,000 | 1,160,500 | ||||
Pemex Project Funding Master Trust | ||||||
9.13%, 10/13/10 | 235,000 | 238,231 | ||||
6.63%, 06/15/35 | 159,000 | 164,336 | ||||
PepsiCo, Inc. | ||||||
7.90%, 11/01/18D | 650,000 | 841,772 | ||||
Pricoa Global Funding I | ||||||
0.44%, 01/30/12 144A† | 2,300,000 | 2,256,445 | ||||
0.74%, 09/27/13 144A†D | 1,700,000 | 1,626,293 | ||||
Pride International, Inc. | ||||||
7.38%, 07/15/14 | 130,000 | 130,162 | ||||
Private Export Funding Corporation | ||||||
5.45%, 09/15/17 | 3,200,000 | 3,731,075 | ||||
Progress Energy, Inc. | ||||||
5.63%, 01/15/16D | 150,000 | 166,921 | ||||
7.75%, 03/01/31D | 350,000 | 444,467 | ||||
ProLogis | ||||||
1.88%, 11/15/37D | 350,000 | 315,875 | ||||
Prudential Financial, Inc. | ||||||
3.88%, 01/14/15D | 750,000 | 756,113 |
See Notes to Financial Statements.
56
Table of Contents
Par | Value | |||||
PVNGS II Funding Corporation, Inc. | ||||||
8.00%, 12/30/15D | $ | 1,118,000 | $ | 1,206,858 | ||
Qwest Corporation | ||||||
8.88%, 03/15/12 | 200,000 | 215,500 | ||||
Reed Elsevier Capital, Inc. | ||||||
8.63%, 01/15/19 | 410,000 | 522,790 | ||||
Reinsurance Group of America, Inc. | ||||||
6.75%, 12/15/65† | 250,000 | 207,321 | ||||
Rensselaer Polytechnic Institute | ||||||
5.60%, 09/01/20 | 675,000 | 732,013 | ||||
Roche Holdings, Inc. | ||||||
6.00%, 03/01/19 144A | 430,000 | 501,769 | ||||
Service Corporation International | ||||||
7.63%, 10/01/18D | 90,000 | 91,575 | ||||
7.50%, 04/01/27 | 200,000 | 178,000 | ||||
Simon Property Group LP | ||||||
10.35%, 04/01/19 | 750,000 | 999,838 | ||||
Sonat, Inc. | ||||||
7.63%, 07/15/11 | 460,000 | 476,824 | ||||
Southern Natural Gas Co. | ||||||
8.00%, 03/01/32D | 400,000 | 455,247 | ||||
Sovereign Bank | ||||||
2.05%, 08/01/13† | 250,000 | 247,194 | ||||
Sprint Capital Corporation | ||||||
7.63%, 01/30/11 | 1,100,000 | 1,124,750 | ||||
8.38%, 03/15/12 | 465,000 | 489,994 | ||||
6.90%, 05/01/19 | 30,000 | 27,300 | ||||
8.75%, 03/15/32D | 170,000 | 163,200 | ||||
Steel Dynamics, Inc. | ||||||
6.75%, 04/01/15D | 225,000 | 226,969 | ||||
SunTrust Preferred Capital I | ||||||
5.85%, 12/31/49† | 357,000 | 244,545 | ||||
Teachers Insurance & Annuity Association of America | ||||||
6.85%, 12/16/39 144A | 540,000 | 631,126 | ||||
Tenet Healthcare Corporation | ||||||
9.25%, 02/01/15D | 1,262,000 | 1,309,325 | ||||
Tennessee Gas Pipeline Co. | ||||||
7.50%, 04/01/17 | 250,000 | 286,549 | ||||
7.63%, 04/01/37D | 50,000 | 55,532 | ||||
Time Warner Cable, Inc. | ||||||
8.75%, 02/14/19 | 650,000 | 821,435 | ||||
8.25%, 04/01/19 | 310,000 | 381,858 | ||||
6.75%, 06/15/39D | 290,000 | 321,444 | ||||
Time Warner, Inc. | ||||||
6.88%, 05/01/12 | 60,000 | 65,395 | ||||
Time Warner Entertainment Co. LP | ||||||
8.38%, 07/15/33D | 590,000 | 734,444 | ||||
Transatlantic Holdings, Inc. | ||||||
8.00%, 11/30/39 | 300,000 | 303,750 | ||||
Travelers Cos., Inc. | ||||||
6.25%, 03/15/37†D | 400,000 | 375,849 | ||||
Unilever Capital Corporation | ||||||
7.13%, 11/01/10D | 285,000 | 291,056 | ||||
Union Pacific Corporation | ||||||
6.65%, 01/15/11 | 260,000 | 267,263 | ||||
United Air Lines, Inc. | ||||||
9.21%, 01/21/17+@ | 81,116 | — | ||||
9.56%, 10/19/18@ | 163,950 | 65,580 | ||||
United Parcel Service, Inc. | ||||||
4.50%, 01/15/13 | 770,000 | 832,591 | ||||
UnitedHealth Group, Inc. | ||||||
4.88%, 02/15/13 | 370,000 | 397,823 | ||||
4.88%, 04/01/13 | 410,000 | 438,594 | ||||
US Bank NA | ||||||
4.38%, 02/28/17(E)† | 250,000 | 306,016 | ||||
US Central Federal Credit Union | ||||||
1.90%, 10/19/12 | 600,000 | 612,721 | ||||
Verizon Communications, Inc. | ||||||
6.10%, 04/15/18 | 290,000 | 329,749 | ||||
5.85%, 09/15/35D | 600,000 | 620,974 | ||||
6.40%, 02/15/38 | 470,000 | 519,730 | ||||
8.95%, 03/01/39D | 600,000 | 852,665 | ||||
Verizon Global Funding Corporation | ||||||
7.38%, 09/01/12 | 290,000 | 325,977 | ||||
4.38%, 06/01/13 | 140,000 | 150,508 | ||||
Wachovia Bank NA | ||||||
7.80%, 08/18/10 | 250,000 | 251,990 | ||||
6.60%, 01/15/38 | 275,000 | 300,007 | ||||
Wachovia Capital Trust III | ||||||
5.80%, 03/15/42†D | 500,000 | 402,500 | ||||
Wachovia Corporation | ||||||
5.25%, 08/01/14D | 1,850,000 | 1,960,919 | ||||
5.63%, 10/15/16 | 520,000 | 561,962 | ||||
5.75%, 02/01/18D | 600,000 | 658,346 | ||||
WEA Finance LLC | ||||||
7.13%, 04/15/18 144AD | 400,000 | 452,016 | ||||
WellPoint, Inc. | ||||||
5.88%, 06/15/17 | 720,000 | 803,280 | ||||
Wells Fargo & Co. | ||||||
4.38%, 01/31/13D | 600,000 | 634,689 | ||||
7.98%, 03/15/49†D | 3,500,000 | 3,622,500 | ||||
Wells Fargo Capital X | ||||||
5.95%, 12/15/36D | 200,000 | 178,382 | ||||
Wells Fargo Capital XV | ||||||
9.75%, 09/26/44† | 990,000 | 1,064,250 | ||||
Westlake Chemical Corporation | ||||||
6.63%, 01/15/16 | 54,000 | 52,110 | ||||
Whirlpool Corporation | ||||||
8.00%, 05/01/12 | 125,000 | 136,804 | ||||
8.60%, 05/01/14 | 150,000 | 176,998 | ||||
Williams Cos., Inc. | ||||||
7.50%, 01/15/31D | 15,000 | 15,999 | ||||
7.75%, 06/15/31 | 149,000 | 160,505 | ||||
8.75%, 03/15/32 | 1,053,000 | 1,232,044 | ||||
Williams Partners LP | ||||||
5.25%, 03/15/20D | 250,000 | 256,125 | ||||
Windstream Corporation | ||||||
8.63%, 08/01/16 | 630,000 | 637,875 | ||||
XTO Energy, Inc. | ||||||
7.50%, 04/15/12 | 43,000 | 47,898 | ||||
5.50%, 06/15/18D | 970,000 | 1,111,022 | ||||
6.50%, 12/15/18D | 70,000 | 85,089 | ||||
6.75%, 08/01/37 | 30,000 | 38,784 | ||||
ZFS Finance USA Trust I | ||||||
6.15%, 12/15/65 144A† | 525,000 | 493,500 | ||||
Total Corporate Bonds | 210,649,072 | |||||
FOREIGN BONDS — 9.4% | ||||||
Australia — 0.5% | ||||||
Commonwealth Bank of Australia | ||||||
2.40%, 01/12/12 144A@D | 1,200,000 | 1,223,472 |
See Notes to Financial Statements.
57
Table of Contents
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||
3.75%, 10/15/14 144AD | $ | 440,000 | $ | 452,776 | ||
5.00%, 10/15/19 144A | 190,000 | 197,594 | ||||
Macquarie Bank, Ltd. | ||||||
2.60%, 01/20/12 144A@D | 1,000,000 | 1,022,114 | ||||
QBE Insurance Group, Ltd. | ||||||
5.65%, 07/01/23 144A@ | 525,000 | 487,946 | ||||
Westpac Banking Corporation | ||||||
1.90%, 12/14/12 144A@ | 1,500,000 | 1,510,858 | ||||
4,894,760 | ||||||
Bermuda — 0.2% | ||||||
Arch Capital Group, Ltd. | ||||||
7.35%, 05/01/34 | 250,000 | 259,473 | ||||
Aspen Insurance Holdings, Ltd. | ||||||
6.00%, 08/15/14 | 325,000 | 343,361 | ||||
Endurance Specialty Holdings, Ltd. | ||||||
6.15%, 10/15/15 | 200,000 | 214,601 | ||||
Merna Reinsurance, Ltd. | ||||||
2.00%, 07/07/10 144A† | 950,000 | 949,810 | ||||
1,767,245 | ||||||
Brazil — 0.1% | ||||||
Brazilian Government International Bond | ||||||
8.25%, 01/20/34 | 600,000 | 795,000 | ||||
Canada — 1.4% | ||||||
Canadian Government Bond | ||||||
1.50%, 03/01/12(C) | 12,700,000 | 11,972,752 | ||||
Hydro Quebec | ||||||
6.30%, 05/11/11 | 305,000 | 319,418 | ||||
OPTI Canada, Inc. | ||||||
8.25%, 12/15/14D | 65,000 | 56,875 | ||||
Petro-Canada | ||||||
6.05%, 05/15/18 | 175,000 | 197,367 | ||||
Province of Ontario | ||||||
4.10%, 06/16/14 | 400,000 | 430,553 | ||||
Rogers Communications, Inc. | ||||||
6.38%, 03/01/14D | 340,000 | 386,344 | ||||
6.75%, 03/15/15D | 10,000 | 11,596 | ||||
Sun Media Corporation | ||||||
7.63%, 02/15/13 | 90,000 | 90,450 | ||||
Suncor Energy, Inc. | ||||||
6.10%, 06/01/18 | 200,000 | 225,637 | ||||
Teck Resources, Ltd. | ||||||
10.75%, 05/15/19D | 400,000 | 490,858 | ||||
TransCanada PipeLines, Ltd. | ||||||
6.35%, 05/15/67 | 400,000 | 356,978 | ||||
14,538,828 | ||||||
Cayman Islands — 0.4% | ||||||
MUFG Capital Finance 1, Ltd. | ||||||
6.35%, 07/25/25 | 450,000 | 430,875 | ||||
Petrobras International Finance Co. | ||||||
6.13%, 10/06/16D | 271,000 | 289,045 | ||||
5.75%, 01/20/20 | 235,000 | 237,831 | ||||
Resona Preferred Global Securities Cayman, Ltd. | ||||||
7.19%, 07/30/49 144A | 690,000 | 635,587 | ||||
Shinsei Finance Cayman, Ltd. | ||||||
6.42%, 07/20/49 144A | 1,130,000 | 727,226 | ||||
Systems 2001 Asset Trust LLC | ||||||
6.66%, 09/15/13 144A | 535,008 | 573,129 | ||||
Transocean, Inc. | ||||||
1.50%, 12/15/37D | 1,300,000 | 1,160,250 | ||||
Vale Overseas, Ltd. | ||||||
8.25%, 01/17/34 | 80,000 | 94,298 | ||||
6.88%, 11/21/36 | 511,000 | 534,001 | ||||
4,682,242 | ||||||
Chile — 0.0% | ||||||
Corp Nacional del Cobre de Chile | ||||||
4.75%, 10/15/14 144AD | 210,000 | 227,131 | ||||
Denmark — 0.3% | ||||||
BRFkredit AS | ||||||
2.05%, 04/15/13 144A | 2,500,000 | 2,546,592 | ||||
Danske Bank AS | ||||||
2.50%, 05/10/12 144A | 600,000 | 614,223 | ||||
FIH Erhvervsbank A/S | ||||||
2.00%, 06/12/13 144A@ | 500,000 | 503,514 | ||||
3,664,329 | ||||||
France — 0.7% | ||||||
AXA SA | ||||||
6.46%, 12/14/18 144AD | 150,000 | 118,312 | ||||
Compagnie Generale de Geophysique - Veritas | ||||||
7.50%, 05/15/15 | 200,000 | 191,500 | ||||
7.75%, 05/15/17D | 155,000 | 147,638 | ||||
Credit Agricole SA | ||||||
8.38%, 10/13/19 144AD | 1,180,000 | 1,121,000 | ||||
Dexia Credit Local | ||||||
2.75%, 01/10/14 144A | 5,900,000 | 5,944,811 | ||||
Legrand France SA | ||||||
8.50%, 02/15/25 | 250,000 | 303,644 | ||||
7,826,905 | ||||||
Germany — 0.4% | ||||||
Kreditanstalt Fuer Wiederaufbau | ||||||
1.88%, 01/14/13 | 1,800,000 | 1,826,361 | ||||
Landwirtschaftliche Rentenbank | ||||||
1.88%, 09/24/12 | 2,200,000 | 2,227,364 | ||||
4,053,725 | ||||||
Iceland — 0.1% | ||||||
Glitnir Banki HF | ||||||
6.33%, 07/28/11 144A#@ | 600,000 | 159,000 | ||||
6.38%, 09/25/12 144A#@ | 580,000 | 153,700 | ||||
6.69%, 06/15/16 144A#@D | 1,000,000 | 3,750 | ||||
7.45%, 09/14/16 144A#@ | 100,000 | 375 | ||||
Kaupthing Bank HF | ||||||
5.75%, 10/04/11 144A#@ | 250,000 | 61,250 | ||||
7.63%, 02/28/15 144A#@ | 2,490,000 | 597,600 | ||||
7.13%, 05/19/16 144A#@ | 350,000 | 910 | ||||
Landsbanki Islands HF | ||||||
6.10%, 08/25/11 144A#@ | 1,500,000 | 176,250 | ||||
1,152,835 | ||||||
India — 0.0% | ||||||
ICICI Bank, Ltd. | ||||||
6.38%, 04/30/22 | 230,000 | 211,886 | ||||
ICICI Bank, Ltd. | ||||||
6.38%, 04/30/22 144A | 298,000 | 274,900 | ||||
486,786 | ||||||
See Notes to Financial Statements.
58
Table of Contents
Par | Value | |||||
Indonesia — 0.1% | ||||||
Republic of Indonesia | ||||||
5.88%, 03/13/20 144A | $ | 590,000 | $ | 625,400 | ||
Ireland — 0.1% | ||||||
DEPFA ACS Bank | ||||||
5.13%, 03/16/37 144A@ | 800,000 | 592,662 | ||||
VIP Finance Ireland Ltd. for OJSC Vimpel Communications | ||||||
8.38%, 04/30/13 144A | 120,000 | 127,560 | ||||
9.13%, 04/30/18D | 220,000 | 239,250 | ||||
959,472 | ||||||
Italy — 0.1% | ||||||
Telecom Italia Capital SA | ||||||
6.20%, 07/18/11D | 150,000 | 155,475 | ||||
5.25%, 11/15/13 | 165,000 | 170,558 | ||||
4.95%, 09/30/14D | 260,000 | 260,768 | ||||
5.25%, 10/01/15 | 130,000 | 131,351 | ||||
718,152 | ||||||
Japan — 0.2% | ||||||
Aiful Corporation | ||||||
5.00%, 08/10/10 144A | 320,000 | 311,200 | ||||
Bank of Tokyo-Mitsubishi UFJ, Ltd. | ||||||
3.85%, 01/22/15 144A | 440,000 | 458,244 | ||||
Resona Bank, Ltd. | ||||||
4.13%, 06/27/38 144A(E)@ | 325,000 | 371,595 | ||||
5.85%, 07/15/49 144A@ | 475,000 | 449,444 | ||||
1,590,483 | ||||||
Jersey — 0.1% | ||||||
HSBC Capital Funding LP | ||||||
4.61%, 12/29/49 144AD | 960,000 | 829,908 | ||||
Swiss Re Capital I LP | ||||||
6.85%, 05/29/49 144AD | 225,000 | 185,625 | ||||
1,015,533 | ||||||
Luxembourg — 0.8% | ||||||
Covidien International Finance SA | ||||||
4.20%, 06/15/20D | 325,000 | 333,288 | ||||
FMC Finance III SA | ||||||
6.88%, 07/15/17D | 250,000 | 253,750 | ||||
Gaz Capital for Gazprom | ||||||
6.51%, 03/07/22 144AD | 3,200,000 | 3,099,200 | ||||
Hellas Telecommunications Finance | ||||||
4.64%, 10/15/12(E)†D | 375,000 | 142,157 | ||||
RSHB Capital SA for OJSC Russian Agricultural Bank | ||||||
6.30%, 05/15/17 144A | 300,000 | 299,250 | ||||
TNK-BP Finance SA | ||||||
7.50%, 07/18/16 144AD | 580,000 | 603,200 | ||||
Tyco International Group SA | ||||||
6.00%, 11/15/13 | 2,920,000 | 3,270,876 | ||||
8,001,721 | ||||||
Mexico — 0.6% | ||||||
America Movil SAB de CV | ||||||
5.63%, 11/15/17D | 270,000 | 296,491 | ||||
5.00%, 03/30/20 144A | 240,000 | 249,162 | ||||
BBVA Bancomer SA Texas | ||||||
7.25%, 04/22/20 144AD | 625,000 | 618,178 | ||||
Kansas City Southern de Mexico SA de CV | ||||||
9.38%, 05/01/12 | 38,000 | 39,140 | ||||
Mexican Bonos | ||||||
9.00%, 12/20/12(M) | 31,100,000 | 2,608,369 | ||||
Mexico Government International Bond | ||||||
6.75%, 09/27/34D | 1,031,000 | 1,193,382 | ||||
Petroleos Mexicanos | ||||||
8.00%, 05/03/19 | 720,000 | 860,400 | ||||
5,865,122 | ||||||
Netherlands — 0.8% | ||||||
Achmea Hypotheekbank NV | ||||||
3.20%, 11/03/14 144A | 2,000,000 | 2,068,398 | ||||
Deutsche Telekom International Finance BV | ||||||
5.75%, 03/23/16D | 510,000 | 558,696 | ||||
Fortis Bank Nederland NV | ||||||
1.25%, 06/10/11(E)† | 700,000 | 854,592 | ||||
ING Bank NV | ||||||
3.90%, 03/19/14 144AD | 500,000 | 536,468 | ||||
Koninklijke KPN NV | ||||||
8.00%, 10/01/10 | 780,000 | 792,475 | ||||
LeasePlan Corporation NV | ||||||
3.00%, 05/07/12 144A | 2,200,000 | 2,281,945 | ||||
Rabobank Nederland NV | ||||||
11.00%, 06/30/19 144A | 687,000 | 850,430 | ||||
Shell International Finance BV | ||||||
4.38%, 03/25/20D | 810,000 | 838,977 | ||||
8,781,981 | ||||||
New Zealand — 0.2% | ||||||
ANZ National International, Ltd. | ||||||
3.25%, 04/02/12 144A | 1,900,000 | 1,957,920 | ||||
Westpac Securities NZ, Ltd. | ||||||
2.50%, 05/25/12 144AD | 200,000 | 204,670 | ||||
2,162,590 | ||||||
Peru — 0.0% | ||||||
Peruvian Government International Bond | ||||||
7.13%, 03/30/19D | 380,000 | 451,250 | ||||
Qatar — 0.1% | ||||||
Qatar Government International Bond | ||||||
5.15%, 04/09/14D | 510,000 | 549,244 | ||||
5.25%, 01/20/20 144A | 580,000 | 609,000 | ||||
Ras Laffan Liquefied Natural Gas Co., Ltd. III | ||||||
6.75%, 09/30/19 144A | 250,000 | 277,558 | ||||
1,435,802 | ||||||
South Korea — 0.0% | ||||||
Export-Import Bank of Korea | ||||||
5.25%, 02/10/14 144A | 235,000 | 247,186 | ||||
Spain — 0.2% | ||||||
Santander US Debt SA Unipersonal | ||||||
3.72%, 01/20/15 144A | 700,000 | 673,184 | ||||
Telefonica Emisiones SAU | ||||||
6.42%, 06/20/16 | 900,000 | 988,438 | ||||
5.13%, 04/27/20D | 655,000 | 657,756 | ||||
2,319,378 | ||||||
See Notes to Financial Statements.
59
Table of Contents
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||
Sweden — 0.3% | ||||||
Nordea Bank AB | ||||||
3.70%, 11/13/14 144A | $ | 630,000 | $ | 642,429 | ||
4.88%, 01/27/20 144A | 410,000 | 421,890 | ||||
Swedbank AB | ||||||
2.80%, 02/10/12 144AD | 2,000,000 | 2,052,106 | ||||
Swedish Housing Finance Corporation | ||||||
3.13%, 03/23/12 144A | 300,000 | 310,444 | ||||
3,426,869 | ||||||
Switzerland — 0.1% | ||||||
Credit Suisse AG | ||||||
5.40%, 01/14/20 | 200,000 | 199,219 | ||||
UBS AG | ||||||
1.58%, 02/23/12† | 400,000 | 401,580 | ||||
3.88%, 01/15/15D | 530,000 | 527,919 | ||||
1,128,718 | ||||||
United Arab Emirates — 0.0% | ||||||
Dolphin Energy, Ltd. | ||||||
5.89%, 06/15/19 144A | 268,604 | 278,151 | ||||
United Kingdom — 1.6% | ||||||
Abbey National Treasury Services PLC | ||||||
3.88%, 11/10/14 144AD | 3,800,000 | 3,755,730 | ||||
Anglo American Capital PLC | ||||||
9.38%, 04/08/14 144A@D | 100,000 | 119,640 | ||||
9.38%, 04/08/19 144A | 275,000 | 354,264 | ||||
Barclays Bank PLC | ||||||
5.20%, 07/10/14D | 2,260,000 | 2,387,251 | ||||
6.05%, 12/04/17 144AD | 230,000 | 232,470 | ||||
BP Capital Markets PLC | ||||||
5.25%, 11/07/13D | 940,000 | 864,743 | ||||
3.88%, 03/10/15D | 310,000 | 264,440 | ||||
HSBC Holdings PLC | ||||||
6.80%, 06/01/38 | 425,000 | 459,502 | ||||
Lloyds TSB Bank PLC | ||||||
0.86%, 06/09/11(E)† | 500,000 | 612,216 | ||||
4.38%, 01/12/15 144AD | 350,000 | 337,551 | ||||
12.00%, 12/16/39 144A@ | 3,200,000 | 3,216,651 | ||||
Royal Bank of Scotland PLC | ||||||
1.50%, 03/30/12 144A@D | 2,400,000 | 2,405,474 | ||||
4.88%, 08/25/14 144A | 425,000 | 426,633 | ||||
4.88%, 03/16/15D | 200,000 | 199,199 | ||||
Royal Bank of Scotland Group PLC | ||||||
6.40%, 10/21/19D | 880,000 | 893,551 | ||||
7.64%, 03/31/45 | 300,000 | 173,250 | ||||
WPP Finance UK | ||||||
8.00%, 09/15/14D | 226,000 | 265,216 | ||||
16,967,781 | ||||||
Total Foreign Bonds | 100,065,375 | |||||
LOAN AGREEMENTS — 0.0% | ||||||
Ford Motor Co. Tranche B | ||||||
3.31%, 12/15/13† | 24,726 | 23,339 | ||||
3.35%, 12/15/13† | 27,356 | 25,821 | ||||
Total Loan Agreements | 49,160 | |||||
MORTGAGE-BACKED SECURITIES — 26.9% | ||||||
ABN AMRO Mortgage Corporation | ||||||
5.50%, 06/25/33 IOW@ | 100,664 | 5,689 | ||||
American Home Mortgage Assets | ||||||
1.33%, 11/25/46 | 1,453,391 | 666,753 | ||||
1.12%, 02/25/47† | 2,147,661 | 984,445 | ||||
Bank of America Funding Corporation | ||||||
0.43%, 07/20/36† | 751,067 | 736,514 | ||||
Bank of America Mortgage Securities, Inc. | ||||||
2.91%, 07/25/34† | 364,638 | 346,527 | ||||
Bear Stearns Adjustable Rate Mortgage Trust | ||||||
5.68%, 02/25/33 | 123,383 | 123,278 | ||||
5.27%, 05/25/34 | 781,025 | 694,999 | ||||
2.76%, 03/25/35† | 1,509,135 | 1,397,608 | ||||
Bear Stearns Alt-A Trust | ||||||
0.99%, 04/25/34† | 105,942 | 80,146 | ||||
2.76%, 05/25/35 | 584,123 | 471,369 | ||||
4.54%, 09/25/35 | 880,765 | 665,657 | ||||
Bear Stearns Structured Products, Inc. | ||||||
5.49%, 01/26/36 | 1,474,471 | 930,109 | ||||
Chase Mortgage Finance Corporation | ||||||
3.27%, 02/25/37 | 297,243 | 273,059 | ||||
Citigroup Mortgage Loan Trust, Inc. | ||||||
4.90%, 12/25/35† | 1,928,453 | 1,615,064 | ||||
Commercial Mortgage Pass-Through Certificates | ||||||
5.96%, 06/10/46 | 1,250,000 | 1,329,046 | ||||
Countrywide Alternative Loan Trust | ||||||
5.50%, 10/25/33 | 158,425 | 162,834 | ||||
0.70%, 09/25/35† | 2,089,396 | 1,186,741 | ||||
1.94%, 09/25/35† | 294,281 | 170,716 | ||||
0.68%, 10/25/35† | 1,372,560 | 748,016 | ||||
0.65%, 11/20/35† | 691,355 | 378,954 | ||||
0.67%, 11/20/35† | 3,718,195 | 2,145,718 | ||||
0.62%, 01/25/36† | 702,268 | 425,414 | ||||
0.62%, 02/25/36† | 1,556,064 | 802,313 | ||||
6.00%, 08/25/37 | 1,333,962 | 996,364 | ||||
0.56%, 06/25/46† | 1,123,559 | 550,468 | ||||
0.54%, 09/25/46† | 1,514,905 | 835,885 | ||||
Countrywide Home Loan Mortgage Pass-Through Trust | ||||||
3.40%, 02/19/34 | 1,348,372 | 1,246,425 | ||||
3.48%, 11/20/34 | 269,645 | 227,672 | ||||
0.77%, 11/25/34 144A† | 29,693 | 22,931 | ||||
0.71%, 03/25/35 144A† | 108,415 | 88,766 | ||||
0.59%, 03/25/36† | 495,607 | 287,117 | ||||
Credit Suisse Mortgage Capital Certificates | ||||||
5.38%, 02/15/40 | 1,800,000 | 1,646,177 | ||||
CS First Boston Mortgage Securities Corporation | ||||||
0.10%, 07/25/33 IOW@ | 172,928 | — | ||||
5.25%, 07/25/33 IOW@ | 266,494 | 17,377 | ||||
0.10%, 08/25/33 IOW@ | 240,228 | — | ||||
6.53%, 06/15/34 | 1,226,758 | 1,257,965 |
See Notes to Financial Statements.
60
Table of Contents
Par | Value | |||||
Federal Home Loan Mortgage Corporation | ||||||
7.00%, 11/01/14 | $ | 25,028 | $ | 27,015 | ||
7.00%, 04/01/15 | 10,972 | 11,843 | ||||
7.00%, 12/01/15 | 19,619 | 20,898 | ||||
8.50%, 06/01/16 | 11,535 | 12,751 | ||||
4.50%, 05/01/18 | 44,019 | 46,968 | ||||
4.50%, 06/01/18 | 25,842 | 27,573 | ||||
8.50%, 06/01/18 | 5,338 | 5,901 | ||||
4.50%, 09/01/18 | 63,262 | 67,500 | ||||
4.50%, 10/01/18 | 80,555 | 85,753 | ||||
4.50%, 01/01/19 | 32,546 | 34,726 | ||||
4.50%, 03/01/19 | 29,112 | 31,062 | ||||
5.00%, 06/01/20 | 369,335 | 396,891 | ||||
5.00%, 07/01/20 | 357,509 | 383,624 | ||||
2.76%, 04/15/22 POW@ | 20,014 | 18,552 | ||||
8.00%, 08/01/24 | 3,117 | 3,588 | ||||
7.50%, 11/01/29 | 11,529 | 13,197 | ||||
7.50%, 12/01/29 | 21,248 | 24,322 | ||||
7.50%, 02/01/31 | 29,415 | 33,688 | ||||
3.16%, 07/01/31† | 29,064 | 30,021 | ||||
3.11%, 08/01/31† | 3,695 | 3,811 | ||||
7.50%, 11/01/31 | 10,152 | 11,631 | ||||
2.85%, 04/01/32† | 7,046 | 7,408 | ||||
2.72%, 03/01/34† | 7,445 | 7,742 | ||||
5.00%, 12/01/34 | 99,462 | 105,573 | ||||
5.50%, 05/01/35 | 1,378,054 | 1,483,863 | ||||
3.91%, 08/15/35W†@ | 12,732 | 12,487 | ||||
5.00%, 11/01/35 | 1,276,260 | 1,353,487 | ||||
5.50%, 11/01/35 | 541,175 | 582,727 | ||||
5.00%, 12/01/35 | 95,871 | 101,672 | ||||
5.50%, 01/01/36 | 254,429 | 274,219 | ||||
6.00%, 02/01/36 | 1,316,449 | 1,432,132 | ||||
5.96%, 01/01/37† | 970,764 | 1,034,026 | ||||
5.65%, 04/01/37† | 1,974,191 | 2,089,483 | ||||
6.00%, 04/01/37 | 9,342 | 10,163 | ||||
3.80%, 04/15/37W†@ | 18,481 | 18,291 | ||||
0.85%, 06/15/37† | 1,674,386 | 1,668,613 | ||||
3.66%, 06/15/37W†@ | 52,592 | 51,354 | ||||
5.50%, 07/01/37 | 440,255 | 473,001 | ||||
6.00%, 07/01/37 | 2,829 | 3,076 | ||||
5.67%, 09/01/37† | 1,355,643 | 1,445,859 | ||||
6.00%, 09/01/37 | 123,843 | 134,648 | ||||
5.00%, 04/01/38 | 78,773 | 83,449 | ||||
5.50%, 04/01/38 | 175,538 | 188,595 | ||||
6.00%, 07/01/38 | 47,055 | 51,135 | ||||
6.00%, 12/01/38 | 131,171 | 142,547 | ||||
6.00%, 01/01/39 | 65,196 | 70,848 | ||||
5.00%, 03/01/39 | 520,752 | 551,612 | ||||
5.00%, 04/01/39 | 1,208,902 | 1,280,542 | ||||
5.00%, 05/01/39 | 365,137 | 386,775 | ||||
5.00%, 06/01/39 | 2,213,283 | 2,344,443 | ||||
5.00%, 07/01/39 | 563,586 | 596,993 | ||||
5.00%, 08/01/39 | 39,513 | 41,855 | ||||
4.50%, 09/01/39 | 962,841 | 998,827 | ||||
5.00%, 09/01/39 | 592,416 | 627,523 | ||||
5.00%, 10/01/39 | 549,522 | 582,087 | ||||
5.00%, 11/01/39 | 462,024 | 489,403 | ||||
5.00%, 12/01/39 | 741,285 | 785,214 | ||||
5.00%, 01/01/40 | 46,993 | 49,778 | ||||
4.50%, 02/01/40 | 28,700 | 29,773 | ||||
5.00%, 03/01/40 | 413,852 | 438,377 | ||||
4.50%, 04/01/40 | 285,660 | 296,336 | ||||
5.00%, 04/01/40 | 378,219 | 400,632 | ||||
4.50%, 05/01/40 | 483,506 | 501,577 | ||||
3.59%, 06/01/40† | 2,511,057 | 2,608,775 | ||||
4.50%, 06/01/40 | 199,233 | 206,680 | ||||
4.50%, 08/01/40 TBA | 1,100,000 | 1,135,407 | ||||
6.00%, 08/01/40 TBA | 1,000,000 | 1,082,188 | ||||
Federal Housing Administration | ||||||
7.43%, 10/01/18 | 161,407 | 172,076 | ||||
Federal National Mortgage Association | ||||||
4.00%, 06/01/13 | 30,703 | 31,377 | ||||
4.00%, 07/01/13 | 41,720 | 42,791 | ||||
4.00%, 08/01/13 | 59,100 | 60,428 | ||||
4.00%, 09/01/13 | 117,585 | 120,285 | ||||
4.00%, 10/01/13 | 249,314 | 255,160 | ||||
8.00%, 06/01/15 | 20,193 | 22,154 | ||||
8.00%, 06/15/15 | 8,861 | 9,721 | ||||
8.00%, 07/01/15 | 16,718 | 18,342 | ||||
8.00%, 09/01/15 | 30,342 | 32,765 | ||||
5.00%, 11/01/17 | 117,260 | 126,118 | ||||
5.00%, 12/01/17 | 645,033 | 693,290 | ||||
5.00%, 01/01/18 | 1,559,382 | 1,677,189 | ||||
5.00%, 02/01/18 | 313,372 | 337,046 | ||||
5.00%, 04/01/18 | 544,519 | 585,656 | ||||
5.00%, 05/01/18 | 757,051 | 814,686 | ||||
5.00%, 06/01/18 | 92,500 | 99,488 | ||||
4.00%, 09/01/18 | 2,481,223 | 2,623,845 | ||||
4.50%, 09/01/18 | 79,474 | 84,884 | ||||
4.50%, 10/01/18 | 167,228 | 178,612 | ||||
4.50%, 11/01/18 | 34,191 | 36,519 | ||||
5.00%, 11/01/18 | 148,536 | 159,758 | ||||
4.50%, 12/01/18 | 63,780 | 68,122 | ||||
4.50%, 01/01/19 | 44,014 | 47,010 | ||||
5.00%, 02/01/19 | 90,747 | 97,603 | ||||
4.50%, 03/01/19 | 59,655 | 63,716 | ||||
5.00%, 03/01/19 | 798,285 | 858,593 | ||||
5.00%, 04/01/19 | 581,972 | 625,938 | ||||
4.50%, 05/01/19 | 139,331 | 148,620 | ||||
4.50%, 07/01/19 | 1,437,987 | 1,517,301 | ||||
5.00%, 07/01/19 TBA | 3,100,000 | 3,307,312 | ||||
5.00%, 08/01/19 | 404,929 | 435,520 | ||||
6.00%, 09/01/19 | 508,623 | 553,485 | ||||
5.00%, 10/01/19 | 173,730 | 186,854 | ||||
5.00%, 11/01/19 | 703,263 | 756,392 | ||||
6.00%, 12/01/20 | 945,364 | 1,028,748 | ||||
12.44%, 08/25/21 IOW@ | 166 | 3,808 | ||||
8.53%, 10/25/21 IOW@ | 274 | 5,571 | ||||
9.50%, 05/01/22 | 3,196 | 3,551 | ||||
3.34%, 07/01/22† | 10,271 | 10,313 | ||||
6.00%, 01/01/23 | 95,503 | 105,364 | ||||
4.50%, 04/01/23 | 1,313,474 | 1,389,551 | ||||
5.50%, 09/01/23 | 515,452 | 557,585 | ||||
5.50%, 10/01/23 | 75,397 | 82,316 | ||||
4.50%, 12/01/23 | 153,282 | 162,161 | ||||
5.00%, 12/01/23 | 640,360 | 684,135 | ||||
9.50%, 07/01/24 | 6,185 | 6,845 | ||||
4.50%, 07/19/25 TBA | 2,000,000 | 2,109,688 | ||||
2.86%, 07/01/27† | 25,191 | 25,558 | ||||
2.67%, 08/01/27† | 61,790 | 64,482 | ||||
3.04%, 11/01/27† | 60,172 | 61,050 | ||||
5.50%, 04/01/29 | 473 | 512 | ||||
3.14%, 02/01/30† | 158,601 | 164,867 | ||||
0.95%, 05/25/30† | 1,210,701 | 1,206,218 |
See Notes to Financial Statements.
61
Table of Contents
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||
3.37%, 06/01/30† | $ | 21,692 | $ | 21,739 | ||
8.00%, 10/01/30 | 46,179 | 51,832 | ||||
0.80%, 10/18/30† | 44,523 | 44,817 | ||||
3.20%, 12/01/30† | 7,601 | 7,897 | ||||
2.86%, 01/01/31† | 8,399 | 8,541 | ||||
3.07%, 05/01/31† | 17,811 | 18,666 | ||||
6.00%, 01/01/32 | 92,053 | 101,556 | ||||
6.00%, 03/01/32 | 190,896 | 210,669 | ||||
6.00%, 04/01/32 | 505,452 | 557,529 | ||||
3.04%, 06/01/32† | 9,712 | 9,864 | ||||
3.34%, 08/01/32† | 36,187 | 37,124 | ||||
5.50%, 01/01/33 | 840,205 | 906,687 | ||||
2.50%, 02/01/33† | 3,224 | 3,365 | ||||
3.08%, 05/01/33† | 79,940 | 81,537 | ||||
5.50%, 05/01/33 | 10,574,082 | 11,404,147 | ||||
6.00%, 05/01/33 | 10,174 | 11,223 | ||||
0.10%, 07/25/33 IOW†@ | 251,820 | 1,923 | ||||
5.00%, 08/01/33 | 29,775 | 31,665 | ||||
5.50%, 09/01/33 | 7,508 | 8,098 | ||||
6.00%, 12/01/33 | 4,598 | 5,064 | ||||
5.50%, 02/01/34 | 9,444 | 10,170 | ||||
5.50%, 04/01/34 | 1,515 | 1,632 | ||||
0.10%, 04/25/34 IOW†@ | 427,143 | 6,330 | ||||
0.10%, 06/25/34 IOW†@ | 572,073 | 6,934 | ||||
5.00%, 08/01/34 | 238,514 | 253,468 | ||||
5.50%, 08/01/34 | 14,743 | 15,900 | ||||
5.50%, 10/01/34 | 987 | 1,063 | ||||
6.00%, 10/01/34 | 71,395 | 78,327 | ||||
2.65%, 12/01/34† | 676,085 | 697,175 | ||||
5.50%, 12/01/34 | 98,128 | 105,677 | ||||
6.00%, 12/01/34 | 2,464 | 2,704 | ||||
6.00%, 01/01/35 | 747,504 | 820,082 | ||||
5.00%, 03/01/35 | 202,109 | 214,781 | ||||
6.00%, 04/01/35 | 1,405,852 | 1,548,439 | ||||
6.00%, 05/01/35 | 2,760,782 | 3,009,856 | ||||
3.71%, 05/25/35W†@ | 7,544 | 7,273 | ||||
5.00%, 06/01/35 | 2,203,900 | 2,342,080 | ||||
5.50%, 07/01/35 | 591 | 636 | ||||
6.00%, 07/01/35 | 733,666 | 799,857 | ||||
5.00%, 08/01/35 | 162,279 | 172,251 | ||||
5.50%, 08/01/35 | 1,543 | 1,660 | ||||
6.00%, 08/01/35 | 646 | 704 | ||||
5.50%, 09/01/35 | 541,226 | 582,481 | ||||
6.00%, 10/01/35 | 169,273 | 185,257 | ||||
2.41%, 11/01/35† | 376,735 | 387,128 | ||||
2.42%, 11/01/35† | 343,594 | 353,517 | ||||
2.43%, 11/01/35† | 343,150 | 353,062 | ||||
2.44%, 11/01/35† | 317,708 | 326,585 | ||||
2.44%, 11/01/35† | 349,103 | 358,818 | ||||
2.86%, 11/01/35† | 21,464 | 21,964 | ||||
6.00%, 11/01/35 | 1,697,311 | 1,857,804 | ||||
5.00%, 12/01/35 | 4,881,769 | 5,187,847 | ||||
5.50%, 12/01/35 | 7,228 | 7,784 | ||||
6.00%, 12/01/35 | 32,945 | 36,248 | ||||
6.00%, 01/01/36 | 134,756 | 146,914 | ||||
6.00%, 02/01/36 | 34,004 | 37,008 | ||||
6.00%, 03/01/36 | 28,354 | 30,859 | ||||
5.50%, 04/01/36 | 445,903 | 476,448 | ||||
6.00%, 04/01/36 | 28,099 | 30,582 | ||||
6.50%, 04/01/36 | 397,991 | 437,131 | ||||
4.10%, 05/01/36† | 335,601 | 342,215 | ||||
0.80%, 08/25/36† | 1,605,388 | 1,607,927 | ||||
5.00%, 09/01/36 | 632,569 | 671,439 | ||||
6.00%, 09/01/36 | 333,729 | 363,212 | ||||
6.00%, 10/01/36 | 4,569 | 4,973 | ||||
6.50%, 10/01/36 | 296,923 | 326,124 | ||||
5.50%, 11/01/36 | 1,224,004 | 1,315,881 | ||||
6.50%, 11/01/36 | 158,425 | 174,500 | ||||
6.00%, 12/01/36 | 371,103 | 403,888 | ||||
6.00%, 01/01/37 | 197,443 | 214,869 | ||||
5.50%, 02/01/37 | 1,447 | 1,555 | ||||
5.51%, 02/01/37† | 1,597,987 | 1,696,920 | ||||
5.50%, 03/01/37 | 59,774 | 64,317 | ||||
5.50%, 04/01/37 | 2,205 | 2,370 | ||||
6.00%, 04/01/37 | 62,638 | 68,054 | ||||
5.50%, 05/01/37 | 2,978 | 3,201 | ||||
6.00%, 05/01/37 | 61,875 | 67,225 | ||||
5.50%, 06/01/37 | 999 | 1,074 | ||||
6.00%, 06/01/37 | 2,540 | 2,759 | ||||
6.00%, 07/01/37 | 6,291,167 | 6,835,166 | ||||
6.50%, 07/01/37 TBA | 2,000,000 | 2,190,312 | ||||
6.50%, 08/01/37 | 170,259 | 186,737 | ||||
6.50%, 09/01/37 | 541,300 | 593,688 | ||||
6.50%, 10/01/37 | 351,729 | 385,770 | ||||
6.00%, 11/01/37 | 7,891 | 8,573 | ||||
3.04%, 12/01/37† | 133,153 | 132,970 | ||||
6.00%, 12/01/37 | 1,523 | 1,655 | ||||
3.04%, 01/01/38† | 53,705 | 55,001 | ||||
6.00%, 01/01/38 | 13,862 | 15,057 | ||||
5.50%, 02/01/38 | 1,056 | 1,135 | ||||
6.00%, 02/01/38 | 93,225 | 101,227 | ||||
4.50%, 03/01/38 | 52,187 | 54,202 | ||||
5.00%, 03/01/38 | 31,364 | 33,235 | ||||
5.50%, 03/01/38 | 3,073 | 3,303 | ||||
6.00%, 03/01/38 | 114,286 | 124,097 | ||||
4.50%, 04/01/38 | 1,629,201 | 1,692,129 | ||||
6.00%, 04/01/38 | 3,933 | 4,271 | ||||
5.50%, 05/01/38 | 931 | 1,001 | ||||
6.00%, 05/01/38 | 168,866 | 183,362 | ||||
5.50%, 06/01/38 | 3,593 | 3,862 | ||||
6.00%, 06/01/38 | 31,065 | 33,732 | ||||
5.50%, 07/01/38 | 522,805 | 561,937 | ||||
6.00%, 07/01/38 | 53,912 | 58,540 | ||||
5.50%, 08/01/38 | 5,054 | 5,432 | ||||
5.50%, 09/01/38 | 2,361 | 2,537 | ||||
6.00%, 09/01/38 | 537,812 | 583,980 | ||||
5.50%, 12/01/38 | 797,364 | 859,951 | ||||
6.00%, 12/01/38 | 47,090 | 51,133 | ||||
6.00%, 01/01/39 | 34,007 | 36,927 | ||||
5.00%, 02/01/39 | 255,930 | 271,202 | ||||
4.50%, 03/01/39 | 750,911 | 782,829 | ||||
5.00%, 03/01/39 | 354,034 | 375,160 | ||||
4.50%, 05/01/39 | 565,206 | 587,037 | ||||
5.00%, 05/01/39 | 594,226 | 631,299 | ||||
4.50%, 06/01/39 | 65,938 | 68,740 | ||||
5.00%, 06/01/39 | 82,278 | 87,179 | ||||
5.00%, 07/01/39 | 734,787 | 779,393 | ||||
4.00%, 07/13/39 TBA | 6,000,000 | 6,075,936 | ||||
4.50%, 07/13/39 TBA | 900,000 | 932,765 | ||||
4.50%, 08/01/39 | 275,964 | 287,691 | ||||
5.00%, 08/01/39 | 1,442,204 | 1,533,462 | ||||
4.50%, 09/01/39 | 370,769 | 386,531 | ||||
5.00%, 09/01/39 | 1,538,817 | 1,634,518 | ||||
4.50%, 10/01/39 | 679,636 | 706,078 | ||||
5.00%, 10/01/39 | 1,567,501 | 1,664,740 | ||||
4.50%, 11/01/39 | 317,340 | 330,852 | ||||
5.00%, 11/01/39 | 91,332 | 96,979 | ||||
4.50%, 12/01/39 | 247,117 | 257,619 |
See Notes to Financial Statements.
62
Table of Contents
Par | Value | |||||
5.00%, 12/01/39 | $ | 265,106 | $ | 281,429 | ||
4.50%, 01/01/40 | 1,356,151 | 1,411,744 | ||||
5.00%, 01/01/40 | 1,473,691 | 1,564,726 | ||||
4.50%, 02/01/40 | 78,446 | 81,782 | ||||
5.00%, 02/01/40 | 42,464 | 44,993 | ||||
4.50%, 03/01/40 | 177,814 | 185,376 | ||||
5.00%, 03/01/40 | 199,185 | 212,087 | ||||
4.00%, 04/01/40 | 1,996,680 | 2,024,862 | ||||
4.50%, 04/01/40 | 313,702 | 325,857 | ||||
5.00%, 05/01/40 | 2,593,837 | 2,748,360 | ||||
1.82%, 06/01/40† | 100,794 | 102,343 | ||||
4.00%, 08/01/40 TBA | 1,100,000 | 1,110,484 | ||||
4.50%, 08/01/40 TBA | 4,100,000 | 4,233,890 | ||||
4.50%, 08/12/40 TBA | 17,000,000 | 17,555,152 | ||||
1.82%, 10/01/40† | 283,948 | 288,332 | ||||
2.86%, 11/01/40† | 49,046 | 49,887 | ||||
FFCA Secured Lending Corporation | ||||||
8.00%, 09/18/27 IO 144AW@ | 943,676 | 17,222 | ||||
FHLMC Structured Pass-Through Securities | ||||||
1.82%, 07/25/44† | 2,038,306 | 2,071,089 | ||||
First Horizon Alternative Mortgage Securities | ||||||
2.27%, 06/25/34† | 933,337 | 803,718 | ||||
First Union National Bank Commercial Mortgage Trust | ||||||
7.20%, 10/01/32 | 212,474 | 212,479 | ||||
GMAC Commercial Mortgage Securities, Inc. | ||||||
6.28%, 11/15/39 | 2,000,000 | 2,088,235 | ||||
GMAC Mortgage Corporation Loan Trust | ||||||
4.17%, 06/25/34† | 380,333 | 359,983 | ||||
Government National Mortgage Association | ||||||
7.00%, 10/15/25 | 56,999 | 64,581 | ||||
7.00%, 01/15/26 | 14,205 | 16,110 | ||||
7.00%, 07/15/27 | 131,194 | 148,915 | ||||
7.00%, 12/15/27 | 1,483 | 1,684 | ||||
7.00%, 01/15/28 | 30,636 | 34,799 | ||||
7.00%, 03/15/28 | 164,204 | 186,371 | ||||
7.00%, 07/15/28 | 22,785 | 25,882 | ||||
7.50%, 07/15/28 | 14,678 | 16,703 | ||||
6.50%, 08/15/28 | 15,004 | 16,862 | ||||
7.00%, 08/15/28 | 33,440 | 37,985 | ||||
7.50%, 08/15/28 | 15,043 | 17,118 | ||||
6.50%, 09/15/28 | 58,818 | 66,098 | ||||
7.00%, 10/15/28 | 64,685 | 73,476 | ||||
7.50%, 03/15/29 | 43,598 | 49,559 | ||||
7.50%, 11/15/29 | 23,802 | 27,106 | ||||
3.13%, 11/20/29† | 72,456 | 74,232 | ||||
8.50%, 08/15/30 | 2,874 | 3,359 | ||||
8.50%, 11/20/30 | 22,321 | 25,997 | ||||
6.50%, 08/15/31 | 135,797 | 149,211 | ||||
7.50%, 08/15/31 | 33,005 | 37,694 | ||||
6.50%, 10/15/31 | 242,473 | 267,606 | ||||
6.00%, 11/15/31 | 741,647 | 809,624 | ||||
6.50%, 11/15/31 | 229,880 | 252,588 | ||||
6.00%, 12/15/31 | 160,268 | 174,957 | ||||
6.00%, 01/15/32 | 236,189 | 261,380 | ||||
6.00%, 02/15/32 | 366,613 | 400,215 | ||||
6.50%, 02/15/32 | 396,303 | 440,057 | ||||
35.94%, 02/16/32† | 146,293 | 254,952 | ||||
6.00%, 04/15/32 | 185,283 | 205,044 | ||||
6.50%, 04/15/32 | 240,804 | 264,591 | ||||
7.50%, 04/15/32 | 88,196 | 100,463 | ||||
6.50%, 06/15/32 | 796,874 | 883,202 | ||||
6.50%, 07/15/32 | 69,505 | 76,371 | ||||
6.50%, 08/15/32 | 373,964 | 410,904 | ||||
6.50%, 09/15/32 | 410,629 | 451,191 | ||||
6.00%, 10/15/32 | 393,368 | 429,423 | ||||
6.00%, 11/15/32 | 362,130 | 396,546 | ||||
6.00%, 12/15/32 | 135,802 | 148,249 | ||||
6.50%, 12/15/32 | 25,552 | 28,076 | ||||
6.00%, 01/15/33 | 189,986 | 207,400 | ||||
6.00%, 02/15/33 | 128,994 | 140,817 | ||||
6.50%, 03/15/33 | 48,622 | 53,425 | ||||
6.50%, 04/15/33 | 953,415 | 1,047,594 | ||||
6.00%, 05/15/33 | 731,198 | 798,217 | ||||
6.00%, 06/15/33 | 99,015 | 108,090 | ||||
6.00%, 10/15/33 | 497,536 | 543,138 | ||||
6.50%, 10/15/33 | 204,097 | 224,257 | ||||
6.00%, 12/15/33 | 563,329 | 614,962 | ||||
6.00%, 02/15/36 | 9,110 | 9,965 | ||||
6.00%, 08/15/36 | 391,659 | 428,781 | ||||
0.65%, 03/20/37† | 3,189,520 | 3,159,407 | ||||
0.65%, 05/20/37† | 1,354,097 | 1,338,502 | ||||
6.00%, 07/01/37 TBA | 1,000,000 | 1,089,688 | ||||
6.00%, 07/01/38 TBA | 600,000 | 654,089 | ||||
5.50%, 01/15/39 | 174,011 | 188,328 | ||||
5.00%, 04/15/39 | 29,833 | 31,861 | ||||
5.00%, 05/15/39 | 25,586 | 27,326 | ||||
5.00%, 06/15/39 | 324,808 | 346,895 | ||||
5.00%, 07/01/39 TBA | 3,200,000 | 3,401,011 | ||||
5.00%, 10/15/39 | 195,267 | 208,545 | ||||
4.50%, 03/15/40 | 1,196,230 | 1,248,826 | ||||
4.00%, 07/01/40 TBA | 300,000 | 304,455 | ||||
4.50%, 07/01/40 TBA | 7,600,000 | 7,906,745 | ||||
4.50%, 07/16/40 TBA | 5,210,000 | 5,522,600 | ||||
5.00%, 08/01/40 TBA | 1,400,000 | 1,482,256 | ||||
5.00%, 09/01/40 TBA | 1,500,000 | 1,582,036 | ||||
Greenpoint Mortgage Funding Trust | ||||||
0.53%, 01/25/37† | 1,326,930 | 713,960 | ||||
0.43%, 02/25/47† | 2,499,031 | 1,774,715 | ||||
GS Mortgage Securities Corporation II | ||||||
4.68%, 07/10/39 | 1,198,971 | 1,241,170 | ||||
GSMPS Mortgage Loan Trust | ||||||
0.58%, 02/25/35 144A† | 216,419 | 170,824 | ||||
0.70%, 09/25/35 144A† | 2,072,381 | 1,659,613 | ||||
GSR Mortgage Loan Trust | ||||||
2.94%, 09/25/35† | 841,818 | 789,867 | ||||
HarborView Mortgage Loan Trust | ||||||
0.58%, 01/19/36 STEP | 217,363 | 129,159 | ||||
5.77%, 08/19/36 | 1,391,312 | 894,809 | ||||
Impac CMB Trust | ||||||
1.07%, 10/25/34†@ | 113,867 | 69,080 | ||||
0.61%, 11/25/35 STEP | 1,111,115 | 609,364 | ||||
Impac Secured Assets CMN Owner Trust | ||||||
0.60%, 03/25/36† | 821,122 | 404,492 | ||||
Indymac ARM Trust | ||||||
2.50%, 01/25/32† | 20,180 | 14,545 |
See Notes to Financial Statements.
63
Table of Contents
MEDIUM-DURATION BOND FUND SCHEDULE OF INVESTMENTS (Continued) |
Par | Value | |||||
Indymac INDA Mortgage Loan Trust | ||||||
6.02%, 11/25/37† | $ | 602,650 | $ | 458,205 | ||
Indymac Index Mortgage Loan Trust | ||||||
0.65%, 07/25/35† | 2,027,873 | 1,264,735 | ||||
5.10%, 09/25/35 | 505,756 | 367,640 | ||||
0.57%, 04/25/46† | 880,737 | 424,741 | ||||
0.54%, 09/25/46† | 1,476,499 | 796,562 | ||||
JP Morgan Alternative Loan Trust | ||||||
0.61%, 01/25/36† | 679,676 | 453,475 | ||||
JP Morgan Chase Commercial Mortgage Securities Corporation | ||||||
4.90%, 09/12/37 | 1,700,000 | 1,781,248 | ||||
5.34%, 05/15/47 | 300,000 | 296,504 | ||||
JP Morgan Mortgage Trust | ||||||
5.02%, 02/25/35† | 778,755 | 778,887 | ||||
2.97%, 07/25/35 | 438,999 | 390,844 | ||||
3.44%, 07/25/35† | 495,870 | 462,928 | ||||
3.59%, 07/25/35† | 500,956 | 468,102 | ||||
LB-UBS Commercial Mortgage Trust | ||||||
4.66%, 07/15/30 | 1,000,000 | 1,038,030 | ||||
4.95%, 09/15/30 | 400,000 | 422,384 | ||||
1.13%, 06/15/36 IO 144A@ | 4,088,771 | 24,090 | ||||
5.37%, 09/15/39 | 1,650,000 | 1,706,366 | ||||
Luminent Mortgage Trust | ||||||
0.52%, 12/25/36† | 3,457,577 | 2,025,888 | ||||
0.55%, 02/25/46† | 1,018,396 | 523,811 | ||||
MASTR Adjustable Rate Mortgages Trust | ||||||
2.59%, 05/25/34 | 307,362 | 233,514 | ||||
5.53%, 11/25/35 144A | 1,144,649 | 653,987 | ||||
0.55%, 05/25/47† | 3,212,889 | 1,445,511 | ||||
MASTR Reperforming Loan Trust | ||||||
7.00%, 08/25/34 144A | 749,931 | 756,822 | ||||
MLCC Mortgage Investors, Inc. | ||||||
0.79%, 11/25/29 STEP | 414,490 | 346,940 | ||||
Nomura Asset Acceptance Corporation | ||||||
6.50%, 03/25/34 144A | 120,362 | 118,342 | ||||
6.50%, 10/25/34 144A | 135,934 | 132,242 | ||||
Prime Mortgage Trust | ||||||
5.50%, 05/25/35 144A | 5,970,446 | 5,134,326 | ||||
6.00%, 05/25/35 144A | 3,928,292 | 3,406,904 | ||||
RBSGC Mortgage Pass-Through Certificates | ||||||
0.80%, 01/25/37† | 1,223,470 | 677,909 | ||||
Residential Accredit Loans, Inc. | ||||||
1.42%, 01/25/46† | 907,956 | 482,014 | ||||
Sequoia Mortgage Trust | ||||||
0.72%, 07/20/33† | 233,964 | 224,594 | ||||
1.15%, 10/20/34 STEP | 216,820 | 178,400 | ||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||
2.55%, 09/25/34 | 173,103 | 147,128 | ||||
2.63%, 11/25/34 | 738,089 | 642,170 | ||||
0.69%, 08/25/35† | 559,178 | 445,284 | ||||
Structured Asset Mortgage Investments, Inc. | ||||||
0.60%, 07/19/35† | 213,296 | 136,668 | ||||
0.66%, 12/25/35† | 903,831 | 493,893 | ||||
0.58%, 02/25/36† | 942,583 | 525,327 | ||||
Structured Asset Securities Corporation | ||||||
0.70%, 06/25/35 144A† | 259,045 | 204,247 | ||||
Thornburg Mortgage Securities Trust | ||||||
6.20%, 09/25/37 | 1,175,670 | 1,140,720 | ||||
6.21%, 09/25/37 | 1,151,478 | 1,096,961 | ||||
Wachovia Bank Commercial Mortgage Trust | ||||||
5.38%, 10/15/44 STRIP | 3,000,000 | 3,210,049 | ||||
Washington Mutual Mortgage Pass-Through Certificates | ||||||
0.89%, 12/25/27† | 1,939,110 | 1,743,830 | ||||
2.75%, 02/25/33† | 19,580 | 17,235 | ||||
5.50%, 12/25/36 | 674,843 | 495,654 | ||||
5.57%, 02/25/37 | 1,107,184 | 809,496 | ||||
5.80%, 02/25/37† | 718,119 | 511,597 | ||||
1.82%, 06/25/42† | 40,934 | 32,613 | ||||
0.64%, 07/25/45† | 1,265,540 | 984,917 | ||||
0.67%, 07/25/45† | 807,761 | 626,958 | ||||
0.67%, 08/25/45† | 2,795,589 | 2,180,727 | ||||
0.64%, 10/25/45† | 2,534,558 | 1,970,533 | ||||
0.64%, 12/25/45† | 1,458,524 | 973,592 | ||||
1.18%, 04/25/47† | 1,533,901 | 957,108 | ||||
Wells Fargo Alternative Loan Trust | ||||||
6.34%, 12/28/37 | 2,031,693 | 1,429,316 | ||||
Wells Fargo Mortgage-Backed Securities Trust | ||||||
3.00%, 10/25/35 | 628,188 | 603,349 | ||||
Total Mortgage-Backed Securities | 286,752,761 | |||||
MUNICIPAL BONDS — 2.0% | ||||||
Chicago Transit Authority, Series A Revenue Bond | ||||||
6.90%, 12/01/40 | 1,800,000 | 2,001,690 | ||||
Illinois Finance Authority, Series B Revenue Bond | ||||||
5.75%, 07/01/33 | 1,800,000 | 1,996,650 | ||||
Kentucky Higher Education Student Loan Corporation, Series 1 Revenue Bond | ||||||
1.45%, 05/01/34† | 500,000 | 500,410 | ||||
Municipal Electric Authority of Georgia, Series B Revenue Bond | ||||||
6.64%, 04/01/57 | 230,000 | 222,971 | ||||
6.66%, 04/01/57 | 130,000 | 125,524 | ||||
North Texas Higher Education Authority, Series 1 Revenue Bond | ||||||
1.46%, 07/01/30† | 765,000 | 761,428 | ||||
Pennsylvania Higher Education Assistance Agency, Student Loan, Series HH Revenue Bond | ||||||
0.34%, 05/01/46 | 2,400,000 | 2,122,500 | ||||
South Carolina Transportation Infrastructure Bank, Series A Revenue Bond (AMBAC Insured) | ||||||
5.00%, 10/01/23 | 2,700,000 | 2,789,586 |
See Notes to Financial Statements.
64
Table of Contents
Par | Value | |||||
State of California General Obligation Bond | ||||||
7.50%, 04/01/34 | $ | 525,000 | $ | 560,805 | ||
7.95%, 03/01/36 | 165,000 | 173,479 | ||||
7.55%, 04/01/39 | 475,000 | 510,174 | ||||
7.30%, 10/01/39 | 360,000 | 375,152 | ||||
7.63%, 03/01/40 | 775,000 | 838,139 | ||||
State of Illinois General Obligation Bond | ||||||
3.32%, 01/01/13 | 6,500,000 | �� | 6,474,000 | |||
4.42%, 01/01/15 | 1,400,000 | 1,392,174 | ||||
Virginia State Housing Development Authority, Commonwealth Mortgage, Series H-1 Revenue Bond (NATL-RE Insured) | ||||||
5.38%, 07/01/36 | 1,000,000 | 1,004,990 | ||||
Total Municipal Bonds | 21,849,672 | |||||
Number of Contracts | ||||||
PURCHASED OPTIONS — 0.0% | ||||||
Call Options — 0.0% | ||||||
10-Year U.S. Treasury Note Futures, Strike Price $119.50, Expires 08/28/10 | 21 | 72,188 | ||||
10-Year U.S. Treasury Note Futures, Strike Price $121.50, Expires 08/28/10 | 29 | 56,641 | ||||
90-Day Eurodollar Futures, Strike Price $99.25, Expires 09/14/10 | 66 | 11,962 | ||||
Total Purchased Options | 140,791 | |||||
Par | ||||||
U.S. TREASURY OBLIGATIONS — 28.2% | ||||||
U.S. Treasury Bills | ||||||
0.13%, 07/01/10WD | $ | 420,000 | 420,000 | |||
0.20%, 08/26/10W‡‡ | 260,000 | 259,961 | ||||
0.18%, 09/02/10W‡‡ | 60,000 | 59,985 | ||||
0.18%, 09/16/10W | 1,200,000 | 1,199,628 | ||||
1,939,574 | ||||||
U.S. Treasury Bonds | ||||||
8.13%, 08/15/19 | 2,300,000 | 3,277,141 | ||||
8.50%, 02/15/20 | 2,300,000 | 3,374,171 | ||||
7.88%, 02/15/21D | 3,600,000 | 5,153,627 | ||||
8.13%, 05/15/21D | 6,900,000 | 10,062,139 | ||||
8.00%, 11/15/21 | 3,900,000 | 5,672,671 | ||||
7.25%, 08/15/22D | 8,600,000 | 11,983,567 | ||||
7.63%, 11/15/22D | 1,900,000 | 2,727,984 | ||||
6.25%, 08/15/23D | 2,800,000 | 3,629,937 | ||||
7.50%, 11/15/24 | 1,800,000 | 2,611,406 | ||||
5.50%, 08/15/28D | 1,500,000 | 1,854,609 | ||||
4.50%, 02/15/36 | 500,000 | 552,422 | ||||
4.38%, 02/15/38D | 3,600,000 | 3,893,062 | ||||
3.50%, 02/15/39D | 594,000 | 551,863 | ||||
4.25%, 05/15/39D‡‡ | 16,310,000 | 17,247,825 | ||||
4.50%, 08/15/39D | 8,860,000 | 9,759,848 | ||||
4.38%, 11/15/39D | 9,080,000 | 9,803,567 | ||||
4.63%, 02/15/40D | 4,500,000 | 5,058,985 | ||||
97,214,824 | ||||||
U.S. Treasury Inflationary Index Bonds | ||||||
1.38%, 01/15/20 | 3,400,000 | 3,515,068 | ||||
2.38%, 01/15/25 | 1,740,000 | 2,237,908 | ||||
2.00%, 01/15/26 | 100,000 | 116,450 | ||||
2.38%, 01/15/27D | 1,350,000 | 1,620,548 | ||||
1.75%, 01/15/28D | 3,000 | 3,174 | ||||
3.88%, 04/15/29D‡‡ | 3,578,000 | 6,381,963 | ||||
13,875,111 | ||||||
U.S. Treasury Notes | ||||||
1.00%, 07/31/11‡‡ | 1,512,000 | 1,521,686 | ||||
1.00%, 04/30/12D | 3,000,000 | 3,022,968 | ||||
0.63%, 05/31/12D | 9,200,000 | 9,228,032 | ||||
0.63%, 06/30/12 | 7,300,000 | 7,301,723 | ||||
1.38%, 03/15/13 | 900,000 | 911,813 | ||||
1.50%, 04/15/13D | 480,000 | 490,985 | ||||
1.75%, 04/15/13 | 600,000 | 613,732 | ||||
1.38%, 05/15/13D | 2,340,000 | 2,368,890 | ||||
1.13%, 06/15/13 | 1,200,000 | 1,204,963 | ||||
2.63%, 12/31/14D | 13,040,000 | 13,584,016 | ||||
2.25%, 01/31/15 | 4,560,000 | 4,674,356 | ||||
2.50%, 04/30/15D | 7,700,000 | 7,974,913 | ||||
2.13%, 05/31/15 | 130,000 | 132,255 | ||||
1.88%, 06/30/15 | 4,000,000 | 4,015,940 | ||||
2.38%, 03/31/16 | 1,800,000 | 1,826,860 | ||||
3.00%, 09/30/16D‡‡ | 16,200,000 | 16,894,834 | ||||
3.13%, 10/31/16‡‡ | 4,990,000 | 5,235,213 | ||||
2.75%, 11/30/16D | 4,170,000 | 4,275,880 | ||||
3.25%, 12/31/16 | 497,000 | 523,947 | ||||
3.13%, 01/31/17 | 5,450,000 | 5,700,787 | ||||
3.13%, 04/30/17 | 200,000 | 209,094 | ||||
2.63%, 05/31/17 | 620,000 | 633,175 | ||||
2.75%, 05/31/17 | 3,900,000 | 3,982,875 | ||||
2.50%, 06/30/17 | 3,900,000 | 3,917,671 | ||||
3.88%, 05/15/18 | 8,900,000 | 9,728,812 | ||||
3.75%, 11/15/18 | 1,500,000 | 1,616,484 | ||||
2.75%, 02/15/19 | 7,300,000 | 7,273,764 | ||||
3.13%, 05/15/19D | 9,702,000 | 9,905,897 | ||||
3.63%, 08/15/19 | 17,400,000 | 18,401,857 | ||||
3.38%, 11/15/19D | 14,850,000 | 15,382,521 | ||||
3.63%, 02/15/20 | 6,620,000 | 6,995,480 | ||||
3.50%, 05/15/20D | 6,110,000 | 6,395,441 | ||||
6.13%, 11/15/27 | 600,000 | 789,844 | ||||
4.38%, 05/15/40D | 8,470,000 | 9,162,143 | ||||
185,898,851 | ||||||
U.S. Treasury STRIPS | ||||||
3.27%, 05/15/20W | 800,000 | 580,402 | ||||
3.90%, 11/15/26W | 600,000 | 318,645 | ||||
899,047 | ||||||
Total U.S. Treasury Obligations | 299,827,407 | |||||
Shares | ||||||
COMMON STOCK — 0.0% | ||||||
Producer Durables — 0.0% | ||||||
Nortek, Inc.+* | 1,362 | 61,971 | ||||
See Notes to Financial Statements.
65
Table of Contents
MEDIUM-DURATION BOND FUND SCHEDULE OF INVESTMENTS (Continued) |
Shares | Value | |||||||
PREFERRED STOCKS — 0.3% | ||||||||
CORTS Trust for Ford Motor Co.D | 6,810 | $ | 163,304 | |||||
Federal Home Loan Mortgage Corporation | 55,675 | 18,929 | ||||||
Federal National Mortgage Association | 42,050 | 14,791 | ||||||
Motors Liquidation Co. CONV | 40,650 | 273,981 | ||||||
Wells Fargo & Co. | 2,400 | 2,234,400 | ||||||
Total Preferred Stocks | 2,705,405 | |||||||
Par | ||||||||
REPURCHASE AGREEMENTS — 3.1% | ||||||||
Deutsche Bank | ||||||||
0.20% (dated 06/30/10, due 7/10/10, repurchase price $16,500,092, collateralized by U.S. Treasury Bond, 4.375%, due 11/15/39, total market value $16,765,363) | $ | 16,500,000 | 16,500,000 | |||||
Morgan Stanley | ||||||||
0.03% (dated 06/29/10, due 07/01/10, repurchase price $16,000,013, collateralized by Federal Home Loan Mortgage Corporation Bond, 0.25156%, due 05/01/12, total market value $16,448,000) | 16,000,000 | 16,000,000 | ||||||
Total Repurchase Agreements | 32,500,000 | |||||||
Shares | ||||||||
MONEY MARKET FUNDS — 15.3% | ||||||||
GuideStone Money Market Fund (GS4 Class)¥ | 64,233,948 | 64,233,948 | ||||||
Northern Institutional Liquid Assets Portfolio§ | 99,215,388 | 99,215,388 | ||||||
Total Money Market Funds | 163,449,336 | |||||||
TOTAL INVESTMENTS — 115.4% | ||||||||
(Cost $1,243,614,381) | 1,229,008,532 | |||||||
Number of Contracts | ||||||||
WRITTEN OPTIONS — (0.1)% | ||||||||
Call Options — (0.1)% | ||||||||
10-Year U.S. Treasury Note Futures, Strike Price $123.50, Expires 08/28/10 (MLCS) | (11 | ) | (10,312 | ) | ||||
90-Day Eurodollar Futures, Strike Price $99.125, Expires 09/14/10 (GSC) | (15 | ) | (10,219 | ) | ||||
Notional Amount | ||||||||
3-Month LIBOR, Strike Price $3.25, Expires 01/25/11 (BTAB) | $ | (10,500,000 | ) | (292,720 | ) | |||
3-Month LIBOR, Strike Price $3.25, Expires 01/25/11 (RBS) | (5,700,000 | ) | (158,905 | ) | ||||
3-Month LIBOR, Strike Price $3.25, Expires 01/25/11 (SSB) | (1,800,000 | ) | (50,181 | ) | ||||
3-Month LIBOR, Strike Price $3.25, Expires 08/31/10 (BAR) | (5,100,000 | ) | (118,599 | ) | ||||
3-Month LIBOR, Strike Price $3.25, Expires 08/31/10 (CS) | (1,400,000 | ) | (32,556 | ) | ||||
3-Month LIBOR, Strike Price $3.25, Expires 08/31/10 (RBS) | (3,500,000 | ) | (81,391 | ) | ||||
3-Month LIBOR, Strike Price $3.50, Expires 09/01/10 (BAR) | (11,100,000 | ) | (445,274 | ) | ||||
3-Month LIBOR, Strike Price $3.50, Expires 09/01/10 (RBS) | (3,600,000 | ) | (144,413 | ) | ||||
3-Month LIBOR, Strike Price $3.50, Expires 09/10/10 (BTAB) | (1,200,000 | ) | (48,138 | ) | ||||
(1,392,708 | ) | |||||||
Number of Contracts | ||||||||
Put Options — 0.0% | ||||||||
90-Day Eurodollar Futures, Strike Price $98.625, Expires 09/14/10 (GSC) | (66 | ) | (4,125 | ) | ||||
Notional Amount | ||||||||
3-Month LIBOR, Strike Price $10.00, Expires 07/10/12 (CS) | $ | (100,000 | ) | (8 | ) | |||
3-Month LIBOR, Strike Price $3.25, Expires 10/29/10 (CS) | (4,100,000 | ) | (105,210 | ) | ||||
3-Month LIBOR, Strike Price $4.00, Expires 12/01/10 (MSCS) | (9,800,000 | ) | (3,322 | ) | ||||
3-Month LIBOR, Strike Price $4.00, Expires 12/01/10 (RBS) | (10,400,000 | ) | (3,526 | ) | ||||
3-Month LIBOR, Strike Price $4.50, Expires 09/01/10 (BAR) | (11,100,000 | ) | (344 | ) | ||||
3-Month LIBOR, Strike Price $4.50, Expires 09/01/10 (RBS) | (3,600,000 | ) | (112 | ) | ||||
3-Month LIBOR, Strike Price $4.50, Expires 09/10/10 (BTAB) | (1,200,000 | ) | (37 | ) | ||||
3-Month LIBOR, Strike Price $4.75, Expires 08/31/10 (BAR) | (5,100,000 | ) | (39 | ) | ||||
3-Month LIBOR, Strike Price $4.75, Expires 08/31/10 (CITI) | (9,900,000 | ) | (75 | ) | ||||
3-Month LIBOR, Strike Price $4.75, Expires 08/31/10 (CS) | (1,400,000 | ) | (11 | ) |
See Notes to Financial Statements.
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Notional Amount | Value | |||||||
3-Month LIBOR, Strike Price $4.75, Expires 08/31/10 (RBS) | $ | (3,500,000 | ) | $ | (27 | ) | ||
3-Month LIBOR, Strike Price $5.00, Expires 01/25/11 (SSB) | (1,800,000 | ) | (2,348 | ) | ||||
3-Month LIBOR, Strike Price $5.00, Expires 10/29/10 (CS) | (4,100,000 | ) | (620 | ) | ||||
(119,804 | ) | |||||||
Put Swaptions — 0.0% | ||||||||
3-Month LIBOR, Strike Price $10.00, Expires 07/10/12 (BAR) | (300,000 | ) | (26 | ) | ||||
3-Month LIBOR, Strike Price $10.00, Expires 07/10/12 (DEUT) | (500,000 | ) | (43 | ) | ||||
3-Month LIBOR, Strike Price $10.00, Expires 07/10/12 (MSCS) | (5,600,000 | ) | (478 | ) | ||||
3-Month LIBOR, Strike Price $5.00, Expires 01/25/11 (BTAB) | (10,500,000 | ) | (13,698 | ) | ||||
3-Month LIBOR, Strike Price $6.00, Expires 09/01/10 (MSCS) | (16,200,000 | ) | — | |||||
(14,245 | ) | |||||||
Total Written Options | (1,526,757 | ) | ||||||
Par | ||||||||
TBA SALE COMMITMENTS — (1.8)% | ||||||||
Federal National Mortgage Association | ||||||||
5.50%, 08/01/35 TBA | $ | (12,000,000 | ) | (12,840,000 | ) | |||
4.00%, 08/01/40 TBA | (3,000,000 | ) | (3,028,593 | ) | ||||
4.00%, 09/01/40 TBA | (3,000,000 | ) | (3,019,218 | ) | ||||
Total TBA Sale Commitments | (18,887,811 | ) | ||||||
Liabilities in Excess of Other Assets — (13.5)% | (143,706,520 | ) | ||||||
NET ASSETS — 100.0% | $ | 1,064,887,444 | ||||||
Please see abbreviation and footnote definitions on page 127.
See notes to Financial Statements.
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MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Swap agreements outstanding at June 30, 2010:
Reference Obligation | Fixed Deal (Pay) Rate | Maturity Date | Counter- party | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ Received | Unrealized Appreciation (Depreciation) | |||||||||||||
Credit Default Swaps on Corporate Issues — Buy Protection | |||||||||||||||||||||
DaimlerChrysler NA Holdings, 5.75 due 09/08/11 | (0.58 | )% | 09/20/11 | BAR | USD | $ | 900,000 | $ | 1,065 | $ | — | $ | 1,065 | ||||||||
Target Corporation, 5.88% due 03/01/12 | (0.11 | )% | 06/20/12 | MSCS | USD | 1,200,000 | 4,397 | — | 4,397 | ||||||||||||
CitiFinancial, 6.63% due 06/01/15 | (0.15 | )% | 06/20/15 | BAR | USD | 300,000 | 22,197 | — | 22,197 | ||||||||||||
Nabors Industries, 5.375% due 05/15/12 | (1.00 | )% | 03/20/19 | BNP | USD | 3,900,000 | 199,151 | 11,700 | 187,451 | ||||||||||||
$ | 6,300,000 | $ | 226,810 | $ | 11,700 | $ | 215,110 | ||||||||||||||
Reference Obligation | Implied Credit Spread | Fixed Deal (Pay) Rate | Maturity Date | Counter- party | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||
Credit Default Swaps on Corporate Issues — Sell Protection | ||||||||||||||||||||||||||
Russian Federation, 7.50% due 03/31/30 | 95.00 | % | 1.00 | % | 12/20/10 | CITI | USD | $ | 3,700,000 | $ | 970 | $ | 833 | $ | 137 | |||||||||||
Russian Federation, 7.50% due 03/31/30 | 89.00 | % | 1.00 | % | 12/20/10 | DEUT | USD | 100,000 | 26 | 167 | (141 | ) | ||||||||||||||
Federated Republic of Brazil, 12.25% due 03/06/30 | 70.00 | % | 1.04 | % | 05/20/17 | DEUT | USD | 1,000,000 | (25,728 | ) | — | (25,728 | ) | |||||||||||||
GMAC LLC, 6.88% due 08/28/12 | 353.00 | % | 3.53 | % | 09/20/17 | DEUT | USD | 4,100,000 | (366,077 | ) | — | (366,077 | ) | |||||||||||||
$ | 8,900,000 | $ | (390,809 | ) | $ | 1,000 | $ | (391,809 | ) | |||||||||||||||||
Reference Obligation | Fixed Deal (Pay) Rate | Maturity Date | Counter- party | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Credit Default Swaps on Credit Indices — Buy Protection | ||||||||||||||||||||||||
Dow Jones CDX HY-8 Index | (1.60 | )% | 06/20/12 | MLCS | USD | $ | 1,200,000 | $ | 23,724 | $ | — | $ | 23,724 | |||||||||||
Dow Jones CDX IG9 Index | (1.50 | )% | 06/20/18 | DEUT | USD | 3,000,800 | 10,065 | (71,188 | ) | 81,253 | ||||||||||||||
Dow Jones CDX IG10 Index | (1.50 | )% | 06/20/18 | MSCS | USD | 12,003,200 | 40,262 | (388,100 | ) | 428,362 | ||||||||||||||
Dow Jones CDX IG10 Index | (0.80 | )% | 12/20/17 | RBS | USD | 7,163,200 | 336,048 | 81,367 | 254,681 | |||||||||||||||
$ | 23,367,200 | $ | 410,099 | $ | (377,921 | ) | $ | 788,020 | ||||||||||||||||
Reference Obligation | Fixed Deal (Pay) Rate | Maturity Date | Counter- party | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Interest Rate Swaps | ||||||||||||||||||||||||
KWCDC Index | (2.82 | )% | 01/28/11 | DEUT | KRW | $ | 927,000,000 | $ | (122 | ) | $ | — | $ | (122 | ) | |||||||||
KWCDC Index | (2.83 | )% | 01/28/11 | JPM | KRW | 901,000,000 | 530 | — | 530 | |||||||||||||||
KWCDC Index | (3.87 | )% | 06/12/11 | DEUT | KRW | 400,000,000 | 214 | (19 | ) | 233 |
See Notes to Financial Statements.
68
Table of Contents
Reference Obligation | Fixed Deal (Pay) Rate | Maturity Date | Counter- party | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||
KWCDC Index | (3.90 | )% | 06/15/11 | JPM | KRW | $ | 720,000,000 | $ | 5,041 | $ | (12 | ) | $ | 5,053 | ||||||||||
KWCDC Index | (3.72 | )% | 06/22/11 | JPM | KRW | 2,300,000,000 | 11,691 | (31 | ) | 11,722 | ||||||||||||||
KWCDC Index | (3.69 | )% | 06/26/11 | DEUT | KRW | 2,280,000,000 | 193 | (85 | ) | 278 | ||||||||||||||
KWCDC Index | 3.62 | % | 07/06/11 | DEUT | KRW | 964,630,000 | 2,273 | — | 2,273 | |||||||||||||||
KWCDC Index | 3.63 | % | 07/07/11 | DEUT | KRW | 1,611,662,000 | 3,773 | — | 3,773 | |||||||||||||||
KWCDC Index | 3.66 | % | 07/08/11 | JPM | KRW | 766,531,000 | 6,360 | — | 6,360 | |||||||||||||||
Brazil CETIP Interbank Deposit | 10.12 | % | 01/02/12 | MSCS | BRL | 8,000,000 | (180,689 | ) | (54,446 | ) | (126,243 | ) | ||||||||||||
Brazil CETIP Interbank Deposit | 11.02 | % | 01/02/12 | UBS | BRL | 1,600,000 | 2,825 | — | 2,825 | |||||||||||||||
Brazil CETIP Interbank Deposit | 11.36 | % | 01/02/12 | HSBC | BRL | 11,300,000 | 40,951 | 41,267 | (316 | ) | ||||||||||||||
Brazil CETIP Interbank Deposit | 11.67 | % | 01/02/12 | HSBC | BRL | 3,100,000 | 33,319 | 16,308 | 17,011 | |||||||||||||||
Brazil CETIP Interbank Deposit | 11.65 | % | 02/02/12 | MSCS | BRL | 2,300,000 | 24,720 | 12,992 | 11,728 | |||||||||||||||
Brazil CETIP Interbank Deposit | 11.99 | % | 01/02/14 | BAR | BRL | 1,700,000 | 1,147 | 511 | 636 | |||||||||||||||
Brazil CETIP Interbank Deposit | 12.59 | % | 01/02/13 | CITI | BRL | 6,000,000 | 31,645 | 8,073 | 23,572 | |||||||||||||||
Brazil CETIP Interbank Deposit | 12.12 | % | 01/02/14 | HSBC | BRL | 15,600,000 | 43,196 | 32,764 | 10,432 | |||||||||||||||
Brazil CETIP Interbank Deposit | 12.48 | % | 01/02/13 | CS | BRL | 20,500,000 | 85,432 | (4,388 | ) | 89,820 | ||||||||||||||
$ | 10,940,923,000 | $ | 112,499 | $ | 52,934 | $ | 59,565 | |||||||||||||||||
Total Swap agreements outstanding at June 30, 2010 | $ | 358,599 | $ | (312,287 | ) | $ | 670,886 | |||||||||||||||||
Please see abbreviation and footnote definitions on page 127.
See Notes to Financial Statements.
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MEDIUM-DURATION BOND FUND SCHEDULE OF INVESTMENTS (Continued) |
PORTFOLIO SUMMARY (based on net assets) | |||
% | |||
U.S. Treasury Obligations | 28.2 | ||
Mortgage-Backed Securities | 26.9 | ||
Futures Contracts | 26.4 | ||
Corporate Bonds | 19.8 | ||
Money Market Funds | 15.3 | ||
Foreign Bonds | 9.4 | ||
Agency Obligations | 6.3 | ||
Asset-Backed Securities | 4.1 | ||
Forward Foreign Currency Contracts | 3.7 | ||
Repurchase Agreements | 3.1 | ||
Municipal Bonds | 2.0 | ||
Preferred Stocks | 0.3 | ||
Common Stock | — | ** | |
Loan Agreements | — | ** | |
Purchased Options | — | ** | |
Swap Agreements | — | ** | |
Written Options | (0.1 | ) | |
TBA Sale Commitments | (1.8 | ) | |
143.6 | |||
** Rounds to less than 0.005%.
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2010, in valuing the Fund’s investments carried at fair value:
Valuation Inputs | Investments in Securities | Other Financial Instruments*** | |||||
Assets: | |||||||
Level 1 — Quoted Prices | |||||||
Common Stock | $ | 61,971 | $ | — | |||
Futures Contracts | — | 1,288,105 | |||||
Money Market Funds | 163,449,336 | — | |||||
Preferred Stocks | 2,705,405 | — | |||||
Purchased Options | 140,791 | — | |||||
Level 2 — Other Significant Observable Inputs | |||||||
Agency Obligations | 67,421,812 | — | |||||
Asset-Backed Securities | 43,535,770 | — | |||||
Corporate Bonds | 210,649,072 | — | |||||
Foreign Bonds | 100,065,375 | — | |||||
Forward Foreign Currency Contracts | — | 515,102 | |||||
Loan Agreements | 49,160 | — | |||||
Mortgage-Backed Securities | 286,752,761 | — | |||||
Municipal Bonds | 21,849,672 | — | |||||
Repurchase Agreements | 32,500,000 | — | |||||
U.S. Treasury Obligations | 299,827,407 | — | |||||
Level 3 — Significant Unobservable Inputs | — | — | |||||
Total Assets | $ | 1,229,008,532 | $ | 1,803,207 | |||
Liabilities: | |||||||
Level 1 — Quoted Prices | $ | — | $ | — | |||
Written Options | (24,656 | ) | — | ||||
Level 2 — Other Significant Observable Inputs | |||||||
TBA Sale Commitments | (18,887,811 | ) | — | ||||
Swap Agreements | — | 358,599 | |||||
Written Options | (1,502,101 | ) | — | ||||
Level 3 — Significant Unobservable Inputs | — | — | |||||
Total Liabilities | $ | (20,414,568 | ) | $ | 358,599 | ||
See Notes to Financial Statements.
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The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:
Investments in Securities | Other Financial Instruments*** | ||||||
Balance, 12/31/09 | |||||||
Common Stock | $ | 47,670 | $ | — | |||
Accrued discounts/premiums | |||||||
Realized gain (loss) | |||||||
Common Stock | — | — | |||||
Change in unrealized appreciation (depreciation) | |||||||
Common Stock | 14,301 | — | |||||
Net purchases (sales) | |||||||
Common Stock | — | — | |||||
Transfers in and/or out of Level 3 | |||||||
Common Stock | (61,971 | ) | — | ||||
Balance, 06/30/10 | $ | — | $ | — | |||
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
See Notes to Financial Statements.
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SCHEDULE OF INVESTMENTS | June 30, 2010 (Unaudited) |
Par | Value | |||||
ASSET-BACKED SECURITIES — 5.3% | ||||||
Capital One Multi-Asset Execution Trust | ||||||
5.75%, 07/15/20 | $ | 6,500,000 | $ | 7,559,291 | ||
Citibank Credit Card Issuance Trust | ||||||
6.15%, 06/15/39 | 10,650,000 | 13,449,998 | ||||
Community Program Loan Trust | ||||||
4.50%, 04/01/29 | 1,950,000 | 1,830,644 | ||||
Discover Card Master Trust | ||||||
5.65%, 03/16/20 | 2,400,000 | 2,760,691 | ||||
Total Asset-Backed Securities | 25,600,624 | |||||
CORPORATE BONDS — 53.7% | ||||||
Aflac, Inc. | ||||||
8.50%, 05/15/19 | 1,869,000 | 2,252,375 | ||||
6.90%, 12/17/39 | 943,000 | 983,391 | ||||
Alcoa, Inc. | ||||||
5.87%, 02/23/22 | 10,000 | 9,317 | ||||
6.75%, 01/15/28 | 235,000 | 223,774 | ||||
5.95%, 02/01/37D | 5,326,000 | 4,550,518 | ||||
Allegheny Technologies, Inc. | ||||||
9.38%, 06/01/19 | 3,613,000 | 4,272,817 | ||||
American Express Co. | ||||||
8.15%, 03/19/38 | 6,202,000 | 8,362,907 | ||||
American International Group, Inc. | ||||||
5.45%, 05/18/17 | 30,000 | 26,775 | ||||
Anadarko Petroleum Corporation | ||||||
6.45%, 09/15/36D | 1,840,000 | 1,467,728 | ||||
Arrow Electronics, Inc. | ||||||
6.88%, 07/01/13 | 205,000 | 226,435 | ||||
AT&T Corporation | ||||||
6.50%, 03/15/29 | 125,000 | 134,311 | ||||
6.50%, 09/01/37 | 11,315,000 | 12,592,113 | ||||
Avnet, Inc. | ||||||
6.00%, 09/01/15 | 875,000 | 949,204 | ||||
Bank of America Corporation | ||||||
7.63%, 06/01/19D | 8,290,000 | 9,511,971 | ||||
Barclays Financial LLC | ||||||
4.06%, 09/16/10 144A(W) | 730,000,000 | 598,134 | ||||
Bell South Telecommunications, Inc. | ||||||
7.00%, 12/01/95 | 1,000,000 | 1,112,399 | ||||
Boeing Co. | ||||||
5.88%, 02/15/40 | 724,000 | 817,034 | ||||
Bruce Mansfield Unit | ||||||
6.85%, 06/01/34@ | 1,231,288 | 1,286,276 | ||||
Camden Property Trust | ||||||
5.70%, 05/15/17D | 25,000 | 26,074 | ||||
Caterpillar Financial Services Corporation | ||||||
5.85%, 09/01/17 | 100,000 | 113,949 | ||||
Caterpillar, Inc. | ||||||
8.25%, 12/15/38 | 1,000,000 | 1,463,136 | ||||
Chesapeake Energy Corporation | ||||||
6.50%, 08/15/17 | 45,000 | 44,606 | ||||
6.88%, 11/15/20D | 320,000 | 324,400 | ||||
Chevron Phillips Chemical Co. LLC | ||||||
8.25%, 06/15/19 144A | 1,185,000 | 1,496,625 | ||||
CIT Group, Inc. | ||||||
7.00%, 05/01/13 | 102,626 | 98,778 | ||||
7.00%, 05/01/14D | 153,940 | 145,858 | ||||
7.00%, 05/01/15D | 153,940 | 142,779 | ||||
7.00%, 05/01/16D | 256,570 | 235,403 | ||||
7.00%, 05/01/17D | 359,197 | 325,073 | ||||
Citigroup, Inc. | ||||||
6.88%, 06/01/25 | 2,441,000 | 2,506,419 | ||||
5.88%, 05/29/37 | 4,141,000 | 3,896,184 | ||||
8.13%, 07/15/39 | 4,174,000 | 4,994,942 | ||||
Comcast Corporation | ||||||
5.65%, 06/15/35 | 660,000 | 652,233 | ||||
6.50%, 11/15/35 | 555,000 | 605,513 | ||||
6.45%, 03/15/37 | 2,415,000 | 2,619,966 | ||||
6.95%, 08/15/37 | 625,000 | 713,272 | ||||
Commonwealth Edison Co. | ||||||
4.75%, 12/01/11@ | 135,000 | 135,455 | ||||
ConocoPhillips | ||||||
5.90%, 05/15/38D | 1,000,000 | 1,128,731 | ||||
Continental Airlines, Inc. | ||||||
9.00%, 07/08/16D | 1,959,572 | 2,140,833 | ||||
8.31%, 04/02/18 | 405,483 | 393,319 | ||||
7.57%, 03/15/20 | 243,334 | 238,833 | ||||
Corning, Inc. | ||||||
6.20%, 03/15/16 | 230,000 | 259,808 | ||||
7.25%, 08/15/36 | 850,000 | 954,488 | ||||
Cummins, Inc. | ||||||
6.75%, 02/15/27 | 1,000,000 | 1,074,257 | ||||
7.13%, 03/01/28 | 425,000 | 473,853 | ||||
5.65%, 03/01/98 | 1,520,000 | 1,304,766 | ||||
Darden Restaurants, Inc. | ||||||
6.00%, 08/15/35 | 990,000 | 1,007,376 | ||||
DCP Midstream LP | ||||||
6.45%, 11/03/36 144A | 490,000 | 500,031 | ||||
Dillard’s, Inc. | ||||||
7.75%, 07/15/26 | 890,000 | 769,850 | ||||
7.00%, 12/01/28D | 500,000 | 412,500 | ||||
Dow Chemical Co. | ||||||
9.40%, 05/15/39 | 4,331,000 | 6,042,035 | ||||
Duke Realty LP | ||||||
5.95%, 02/15/17D | 70,000 | 71,553 | ||||
First Industrial LP | ||||||
7.60%, 07/15/28 | 1,000,000 | 868,597 | ||||
Foot Locker, Inc. | ||||||
8.50%, 01/15/22 | 1,000,000 | 945,000 | ||||
Ford Motor Co. | ||||||
6.63%, 10/01/28 | 680,000 | 540,600 | ||||
6.38%, 02/01/29 | 1,255,000 | 966,350 | ||||
General Electric Capital Corporation | ||||||
4.88%, 03/04/15 | 510,000 | 544,935 | ||||
5.63%, 05/01/18 | 30,000 | 31,932 | ||||
6.75%, 03/15/32 | 4,865,000 | 5,251,227 | ||||
6.15%, 08/07/37 | 6,114,000 | 6,223,263 | ||||
5.88%, 01/14/38 | 150,000 | 147,586 | ||||
Georgia-Pacific LLC | ||||||
8.00%, 01/15/24 | 30,000 | 31,950 | ||||
7.38%, 12/01/25 | 240,000 | 242,400 | ||||
7.25%, 06/01/28 | 300,000 | 297,750 | ||||
7.75%, 11/15/29 | 2,700,000 | 2,740,500 | ||||
8.88%, 05/15/31 | 60,000 | 65,550 | ||||
GMAC, Inc. | ||||||
6.88%, 08/28/12D | 158,000 | 159,185 | ||||
8.00%, 11/01/31D | 199,000 | 184,572 |
See Notes to Financial Statements.
72
Table of Contents
Par | Value | |||||
Goldman Sachs Group, Inc. | ||||||
5.00%, 10/01/14 | $ | 815,000 | $ | 847,940 | ||
5.38%, 03/15/20 | 415,000 | 410,834 | ||||
GTE Corporation | ||||||
6.94%, 04/15/28 | 10,000 | 11,030 | ||||
Halliburton Co. | ||||||
7.45%, 09/15/39 | 3,070,000 | 3,657,709 | ||||
HCA, Inc. | ||||||
7.58%, 09/15/25 | 1,000,000 | 885,000 | ||||
7.05%, 12/01/27 | 500,000 | 427,500 | ||||
HCP, Inc. | ||||||
6.00%, 03/01/15D | 1,500,000 | 1,582,992 | ||||
Highwoods Realty LP | ||||||
5.85%, 03/15/17 | 260,000 | 259,752 | ||||
7.50%, 04/15/18 | 1,500,000 | 1,614,974 | ||||
Historic TW, Inc. | ||||||
6.63%, 05/15/29 | 60,000 | 66,217 | ||||
Home Depot, Inc. | ||||||
5.88%, 12/16/36 | 875,000 | 899,997 | ||||
HSBC Bank USA NA | ||||||
7.00%, 01/15/39 | 5,948,000 | 6,706,834 | ||||
Intel Corporation | ||||||
3.25%, 08/01/39 CONV 144AD | 1,155,000 | 1,306,594 | ||||
International Lease Finance Corporation | ||||||
5.65%, 06/01/14D | 105,000 | 93,712 | ||||
8.63%, 09/15/15 144A | 5,000 | 4,750 | ||||
International Paper Co. | ||||||
8.70%, 06/15/38D | 2,643,000 | 3,381,428 | ||||
iStar Financial, Inc. | ||||||
8.63%, 06/01/13 | 635,000 | 520,700 | ||||
5.95%, 10/15/13D | 305,000 | 244,000 | ||||
5.70%, 03/01/14 | 1,171,000 | 875,322 | ||||
JC Penney Corporation, Inc. | ||||||
6.38%, 10/15/36 | 414,000 | 393,300 | ||||
JPMorgan Chase Capital XXV | ||||||
6.80%, 10/01/37 | 5,360,000 | 5,313,947 | ||||
Kinder Morgan Energy Partners LP | ||||||
5.80%, 03/15/35 | 280,000 | 265,062 | ||||
Kraft Foods, Inc. | ||||||
6.50%, 11/01/31 | 1,700,000 | 1,872,003 | ||||
7.00%, 08/11/37 | 525,000 | 620,630 | ||||
6.88%, 02/01/38 | 3,243,000 | 3,781,954 | ||||
6.50%, 02/09/40 | 3,928,000 | 4,408,104 | ||||
Lennar Corporation | ||||||
5.60%, 05/31/15D | 935,000 | 827,475 | ||||
6.50%, 04/15/16 | 625,000 | 562,500 | ||||
Lowe’s Cos., Inc. | ||||||
6.65%, 09/15/37 | 1,362,000 | 1,646,477 | ||||
Macy’s Retail Holdings, Inc. | ||||||
6.38%, 03/15/37 | 240,000 | 226,800 | ||||
Manufacturers & Traders Trust Co. | ||||||
6.63%, 12/04/17 | 8,970,000 | 9,956,314 | ||||
Mead Corporation | ||||||
7.55%, 03/01/47 | 515,000 | 462,966 | ||||
MetLife, Inc. | ||||||
7.72%, 02/15/19 | 7,300,000 | 8,702,717 | ||||
Morgan Stanley | ||||||
4.75%, 04/01/14 | 100,000 | 100,257 | ||||
5.45%, 01/09/17 | 5,000 | 4,963 | ||||
5.55%, 04/27/17 | 185,000 | 183,754 | ||||
6.63%, 04/01/18 | 70,000 | 73,480 | ||||
5.63%, 09/23/19 | 195,000 | 188,979 | ||||
6.25%, 08/09/26 | 100,000 | 98,604 | ||||
Mosaic Global Holdings, Inc. | ||||||
7.38%, 08/01/18 | 500,000 | 587,911 | ||||
7.30%, 01/15/28 | 690,000 | 795,851 | ||||
Motorola, Inc. | ||||||
6.50%, 09/01/25 | 265,000 | 264,490 | ||||
6.50%, 11/15/28D | 725,000 | 733,551 | ||||
6.63%, 11/15/37 | 275,000 | 283,311 | ||||
Nextel Communications, Inc. | ||||||
6.88%, 10/31/13D | 215,000 | 209,356 | ||||
5.95%, 03/15/14 | 325,000 | 303,062 | ||||
7.38%, 08/01/15 | 550,000 | 525,250 | ||||
NGPL PipeCo LLC | ||||||
7.12%, 12/15/17 144AD | 640,000 | 611,265 | ||||
NiSource Finance Corporation | ||||||
6.15%, 03/01/13 | 1,000,000 | 1,091,175 | ||||
6.40%, 03/15/18 | 1,640,000 | 1,807,318 | ||||
Nortel Networks Capital Corporation | ||||||
7.88%, 06/15/26# | 450,000 | 303,750 | ||||
Owens Corning, Inc. | ||||||
6.50%, 12/01/16D | 240,000 | 255,692 | ||||
7.00%, 12/01/36 | 3,940,000 | 3,932,569 | ||||
Penn Mutual Life Insurance Co. | ||||||
7.63%, 06/15/40 144A | 1,750,000 | 1,719,744 | ||||
Pioneer Natural Resources Co. | ||||||
7.20%, 01/15/28D | 2,500,000 | 2,401,575 | ||||
Prologis | ||||||
5.63%, 11/15/15 | 35,000 | 33,603 | ||||
Pulte Homes, Inc. | ||||||
5.20%, 02/15/15 | 38,000 | 35,910 | ||||
7.88%, 06/15/32D | 1,500,000 | 1,308,750 | ||||
6.38%, 05/15/33 | 1,000,000 | 775,000 | ||||
Qwest Corporation | ||||||
7.25%, 09/15/25 | 1,000,000 | 965,000 | ||||
6.88%, 09/15/33 | 2,250,000 | 2,075,625 | ||||
Sempra Energy | ||||||
6.00%, 10/15/39 | 8,268,000 | 8,803,791 | ||||
SLM Corporation | ||||||
5.00%, 10/01/13 | 250,000 | 239,167 | ||||
5.38%, 05/15/14 | 200,000 | 183,026 | ||||
Southern Natural Gas Co. | ||||||
7.35%, 02/15/31 | 1,750,000 | 1,861,622 | ||||
Sprint Capital Corporation | ||||||
6.90%, 05/01/19 | 55,000 | 50,050 | ||||
6.88%, 11/15/28D | 2,350,000 | 1,962,250 | ||||
8.75%, 03/15/32 | 20,000 | 19,200 | ||||
Target Corporation | ||||||
6.50%, 10/15/37D | 5,400,000 | 6,533,006 | ||||
7.00%, 01/15/38 | 2,330,000 | 2,986,769 | ||||
Tennessee Gas Pipeline Co. | ||||||
7.00%, 10/15/28 | 750,000 | 796,392 | ||||
Textron, Inc. | ||||||
6.63%, 04/07/20(U) | 160,000 | 226,768 | ||||
Time Warner Cable, Inc. | ||||||
6.55%, 05/01/37 | 1,049,000 | 1,134,343 | ||||
6.75%, 06/15/39D | 3,770,000 | 4,178,766 | ||||
Time Warner, Inc. | ||||||
7.63%, 04/15/31 | 35,000 | 42,223 | ||||
6.50%, 11/15/36 | 40,000 | 43,645 |
See Notes to Financial Statements.
73
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EXTENDED-DURATION BOND FUND SCHEDULE OF INVESTMENTS (Continued) |
Par | Value | |||||
Time Warner Entertainment Co. LP | ||||||
8.38%, 07/15/33 | $ | 1,049,000 | $ | 1,305,817 | ||
Toll Brothers Finance Corporation | ||||||
5.15%, 05/15/15D | 1,285,000 | 1,260,873 | ||||
Toro Co. | ||||||
6.63%, 05/01/37@ | 300,000 | 305,270 | ||||
Union Pacific Resources Group | ||||||
7.15%, 05/15/28 | 250,000 | 216,672 | ||||
UnitedHealth Group, Inc. | ||||||
5.80%, 03/15/36 | 2,095,000 | 2,112,986 | ||||
6.50%, 06/15/37D | 767,000 | 830,318 | ||||
6.63%, 11/15/37D | 2,526,000 | 2,785,759 | ||||
Verizon Communications, Inc. | ||||||
5.85%, 09/15/35 | 2,420,000 | 2,504,594 | ||||
6.40%, 02/15/38 | 968,000 | 1,070,423 | ||||
6.90%, 04/15/38 | 1,000,000 | 1,172,631 | ||||
8.95%, 03/01/39 | 105,000 | 149,216 | ||||
7.35%, 04/01/39D | 979,000 | 1,207,688 | ||||
Verizon Maryland, Inc. | ||||||
5.13%, 06/15/33 | 175,000 | 155,271 | ||||
Verizon New York, Inc. | ||||||
7.38%, 04/01/32 | 385,000 | 436,606 | ||||
Wachovia Bank NA | ||||||
5.85%, 02/01/37 | 6,077,000 | 6,054,880 | ||||
6.60%, 01/15/38 | 3,757,000 | 4,098,635 | ||||
WellPoint, Inc. | ||||||
5.95%, 12/15/34 | 846,000 | 866,344 | ||||
6.38%, 06/15/37D | 2,766,000 | 2,995,249 | ||||
Western Union Co. | ||||||
6.20%, 11/17/36D | 5,155,000 | 5,515,015 | ||||
Weyerhaeuser Co. | ||||||
6.88%, 12/15/33 | 580,000 | 544,497 | ||||
8.50%, 01/15/25 | 520,000 | 568,579 | ||||
Williams Cos., Inc. | ||||||
7.50%, 01/15/31 | 926,000 | 987,648 | ||||
7.75%, 06/15/31 | 60,000 | 64,633 | ||||
8.75%, 03/15/32 | 52,000 | 60,842 | ||||
Xerox Capital Trust I | ||||||
8.00%, 02/01/27 | 1,500,000 | 1,511,517 | ||||
XTO Energy, Inc. | ||||||
6.10%, 04/01/36 | 50,000 | 59,417 | ||||
Total Corporate Bonds | 258,341,501 | |||||
FOREIGN BONDS — 30.1% | ||||||
Australia — 2.7% | ||||||
Barrick Australian Finance, Ltd. | ||||||
5.95%, 10/15/39 | 5,383,000 | 5,756,823 | ||||
General Electric Capital Australia Funding, Ltd. | ||||||
8.00%, 02/13/12(A) | 60,000 | 52,286 | ||||
New South Wales Treasury Corporation | ||||||
7.00%, 12/01/10(A) | 1,125,000 | 955,644 | ||||
6.00%, 05/01/12(A) | 60,000 | 51,612 | ||||
Qantas Airways, Ltd. | ||||||
6.05%, 04/15/16 144A | 345,000 | 357,960 | ||||
Queensland Treasury Corporation | ||||||
6.00%, 06/14/11(A) | 785,000 | 669,314 | ||||
Rio Tinto Finance USA, Ltd. | ||||||
7.13%, 07/15/28D | 4,157,000 | 4,950,347 | ||||
12,793,986 | ||||||
Brazil — 0.3% | ||||||
Federative Republic of Brazil | ||||||
10.25%, 01/10/28(B)D | 2,525,000 | 1,418,127 | ||||
Canada — 6.1% | ||||||
British Columbia Generic Residual | ||||||
2.71%, 06/09/14 STRIP(C)W | 7,230,000 | 6,094,037 | ||||
Canada Generic Residual | ||||||
3.69%, 06/01/25 STRIP(C)W | 3,685,000 | 2,009,122 | ||||
Canadian Pacific Railroad Co. NY | ||||||
7.13%, 10/15/31 | 500,000 | 578,363 | ||||
Methanex Corporation | ||||||
6.00%, 08/15/15 | 25,000 | 24,335 | ||||
Ontario Generic Residual | ||||||
4.46%, 07/13/22 STRIP(C)W | 3,900,000 | 2,141,913 | ||||
4.85%, 03/08/29 STRIP(C)W | 7,000,000 | 2,719,515 | ||||
Saskatchewan Residual | ||||||
2.69%, 04/10/14 STRIP(C)W | 6,500,000 | 5,482,824 | ||||
4.23%, 02/04/22 STRIP(C)W | 3,000,000 | 1,664,563 | ||||
Talisman Energy, Inc. | ||||||
5.85%, 02/01/37D | 670,000 | 698,777 | ||||
6.25%, 02/01/38 | 450,000 | 481,624 | ||||
TransCanada Pipelines, Ltd. | ||||||
6.20%, 10/15/37 | 6,291,000 | 6,862,531 | ||||
7.63%, 01/15/39 | 360,000 | 461,442 | ||||
29,219,046 | ||||||
Cayman Islands — 0.6% | ||||||
Enersis SA | ||||||
7.40%, 12/01/16 | 625,000 | 715,294 | ||||
Transocean, Inc. | ||||||
1.50%, 12/15/37 CONVD | 60,000 | 49,950 | ||||
XL Capital, Ltd. | ||||||
6.38%, 11/15/24D | 585,000 | 605,575 | ||||
6.25%, 05/15/27D | 1,530,000 | 1,454,253 | ||||
2,825,072 | ||||||
Finland — 0.3% | ||||||
Nokia OYJ | ||||||
6.63%, 05/15/39 | 1,411,000 | 1,555,014 | ||||
France — 1.7% | ||||||
EDF SA | ||||||
6.95%, 01/26/39 144AD | 1,400,000 | 1,693,188 | ||||
5.60%, 01/27/40 144AD | 6,020,000 | 6,224,680 | ||||
7,917,868 | ||||||
Ireland — 0.0% | ||||||
Elan Finance PLC | ||||||
8.88%, 12/01/13D | 85,000 | 85,637 | ||||
Italy — 1.8% | ||||||
Telecom Italia Capital SA | ||||||
6.38%, 11/15/33D | 410,000 | 368,197 | ||||
6.00%, 09/30/34D | 415,000 | 356,593 | ||||
7.72%, 06/04/38D | 7,569,000 | 7,772,576 | ||||
8,497,366 | ||||||
See Notes to Financial Statements.
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Par | Value | |||||
Luxembourg — 2.4% | ||||||
Covidien International Finance SA | ||||||
6.55%, 10/15/37 | $ | 4,807,000 | $ | 5,836,092 | ||
Enel Finance International SA | ||||||
6.80%, 09/15/37 144AD | 4,852,000 | 5,205,599 | ||||
6.00%, 10/07/39 144A | 745,000 | 719,164 | ||||
11,760,855 | ||||||
Malaysia — 0.1% | ||||||
Telekom Malaysia BHD | ||||||
7.88%, 08/01/25 144A | 225,000 | 284,523 | ||||
Mexico — 1.0% | ||||||
Mexican Bonos | ||||||
9.00%, 12/20/12(M) | 11,350,000 | 951,929 | ||||
7.25%, 12/15/16(M) | 13,150,000 | 1,055,107 | ||||
8.00%, 12/07/23(M) | 34,000,000 | 2,805,325 | ||||
4,812,361 | ||||||
Netherlands — 1.9% | ||||||
Koninklijke Philips Electronics NV | ||||||
6.88%, 03/11/38 | 7,500,000 | 9,281,655 | ||||
Norway — 0.4% | ||||||
Norway Government Bond | ||||||
5.00%, 05/15/15(K) | 540,000 | 92,473 | ||||
4.25%, 05/19/17(K)D | 11,940,000 | 1,997,023 | ||||
2,089,496 | ||||||
Philippines — 0.1% | ||||||
Quezon Power (Philippines), Ltd. | ||||||
8.86%, 06/15/17 | 325,000 | 325,812 | ||||
Singapore — 0.7% | ||||||
International Bank For Reconstruction & Development | ||||||
1.43%, 03/05/14(G) | 4,700,000 | 3,388,820 | ||||
Spain — 0.3% | ||||||
Telefonica Emisiones SAU | ||||||
5.13%, 04/27/20D | 1,650,000 | 1,656,943 | ||||
Supranational — 1.2% | ||||||
Inter-American Development Bank | ||||||
6.00%, 12/15/17(Z) | 7,865,000 | 5,602,034 | ||||
United Kingdom — 8.5% | ||||||
Barclays Bank PLC | ||||||
10.18%, 06/12/21 144A | 7,312,000 | 9,173,284 | ||||
HSBC Holdings PLC | ||||||
6.80%, 06/01/38 | 2,000,000 | 2,162,364 | ||||
Lloyds TSB Bank PLC | ||||||
5.80%, 01/13/20 144A | 10,514,000 | 9,941,849 | ||||
Royal Bank of Scotland Group PLC | ||||||
6.40%, 10/21/19 | 1,895,000 | 1,924,181 | ||||
Standard Chartered Bank | ||||||
6.40%, 09/26/17 144AD | 9,477,000 | 10,225,683 | ||||
Tesco PLC | ||||||
6.15%, 11/15/37 144AD | 5,800,000 | 6,517,350 | ||||
Vodafone Group PLC | ||||||
6.15%, 02/27/37 | 1,000,000 | 1,040,294 | ||||
40,985,005 | ||||||
Total Foreign Bonds | 144,499,620 | |||||
MORTGAGE-BACKED SECURITY — 0.0% | ||||||
Federal Home Loan Mortgage Corporation | ||||||
5.00%, 12/01/31 | 138,351 | 147,267 | ||||
MUNICIPAL BONDS — 4.7% | ||||||
Los Angeles Unified School District, Series KRY General Obligation Bond | ||||||
5.76%, 07/01/29 | 2,280,000 | 2,256,106 | ||||
5.75%, 07/01/34 | 3,415,000 | 3,347,417 | ||||
New Jersey State Turnpike Authority Series F Revenue Bond | ||||||
7.41%, 01/01/40 | 2,342,000 | 2,855,132 | ||||
New York City Municipal Water Finance Authority | ||||||
6.01%, 06/15/42 | 3,295,000 | 3,499,158 | ||||
North Texas Tollway Authority Revenue Bond | ||||||
6.72%, 01/01/49 | 3,620,000 | 3,917,637 | ||||
State of California General Obligation Bond | ||||||
7.50%, 04/01/34 | 2,135,000 | 2,280,607 | ||||
7.55%, 04/01/39 | 2,260,000 | 2,427,353 | ||||
7.30%, 10/01/39 | 2,000,000 | 2,084,180 | ||||
Total Municipal Bonds | 22,667,590 | |||||
U.S. TREASURY OBLIGATIONS — 3.0% | ||||||
U.S. Treasury Bond | ||||||
4.50%, 08/15/39D | 1,757,000 | 1,935,446 | ||||
U.S. Treasury STRIPS | ||||||
4.13%, 05/15/38WD | 31,240,000 | 10,027,228 | ||||
4.16%, 05/15/40W | 8,000,000 | 2,345,344 | ||||
12,372,572 | ||||||
Total U.S. Treasury Obligations | 14,308,018 | |||||
Shares | ||||||
PREFERRED STOCKS — 0.1% | ||||||
Chesapeake Energy Corporation CONV | 330 | 26,961 | ||||
El Paso Energy Capital Trust I CONVD | 5,350 | 194,419 | ||||
Preferred Blocker (GMAC), Inc. | 82 | 63,737 | ||||
Total Preferred Stocks | 285,117 | |||||
MONEY MARKET FUNDS — 12.6% | ||||||
GuideStone Money Market Fund (GS4 Class)¥ | 12,867,142 | 12,867,142 | ||||
Northern Institutional Liquid Assets Portfolio§ | 47,802,134 | 47,802,134 | ||||
Total Money Market Funds | 60,669,276 | |||||
See Notes to Financial Statements.
75
Table of Contents
EXTENDED-DURATION BOND FUND SCHEDULE OF INVESTMENTS (Continued) |
Value | ||||
TOTAL INVESTMENTS — 109.5% | $ | 526,519,013 | ||
Liabilities in Excess of Other Assets — (9.5)% | (45,794,109 | ) | ||
NET ASSETS — 100.0% | $ | 480,724,904 | ||
Please see abbreviation and footnote definitions on page 127.
PORTFOLIO SUMMARY (based on net assets)
% | |||
Corporate Bonds | 53.7 | ||
Foreign Bonds | 30.1 | ||
Money Market Funds | 12.6 | ||
Asset-Backed Securities | 5.3 | ||
Municipal Bonds | 4.7 | ||
U.S. Treasury Obligations | 3.0 | ||
Preferred Stocks | 0.1 | ||
Mortgage-Backed Security | — | ** | |
109.5 | |||
** | Rounds to less than 0.005%. |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2010, in valuing the Fund’s assets carried at fair value:
Valuation Inputs | Investments in Securities | Other Financial Instruments*** | ||||
Level 1 — Quoted Prices | ||||||
Money Market Funds | $ | 60,669,276 | $ | — | ||
Preferred Stocks | 285,117 | — | ||||
Level 2 — Other Significant Observable Inputs | ||||||
Asset-Backed Securities | 25,600,624 | — | ||||
Corporate Bonds | 258,341,501 | — | ||||
Foreign Bonds | 144,499,620 | — | ||||
Mortgage-Backed Security | 147,267 | — | ||||
Municipal Bonds | 22,667,590 | — | ||||
U.S. Treasury Obligations | 14,308,018 | — | ||||
Level 3 — Significant Unobservable Inputs | — | — | ||||
Total | $ | 526,519,013 | $ | — | ||
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
See Notes to Financial Statements
76
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SCHEDULE OF INVESTMENTS | June 30, 2010 (Unaudited) |
Par | Value | ||||||
U.S. TREASURY OBLIGATIONS — 94.3% | |||||||
U.S. Treasury Inflationary Index Bonds | |||||||
2.38%, 04/15/11 | $ | 5,315,000 | $ | 5,938,200 | |||
3.38%, 01/15/12 | 4,000,000 | 5,180,128 | |||||
2.00%, 04/15/12 | 1,660,000 | 1,848,803 | |||||
3.00%, 07/15/12D | 4,580,000 | 5,911,747 | |||||
0.63%, 04/15/13D | 600,000 | 632,117 | |||||
1.88%, 07/15/13D | 6,385,000 | 8,023,197 | |||||
2.00%, 01/15/14 | 1,405,000 | 1,767,436 | |||||
1.25%, 04/15/14D | 2,740,000 | 2,950,060 | |||||
2.00%, 07/15/14D‡‡ | 3,585,000 | 4,453,122 | |||||
1.63%, 01/15/15D | 190,000 | 229,254 | |||||
0.50%, 04/15/15 | 3,225,000 | 3,291,011 | |||||
1.88%, 07/15/15D | 2,010,000 | 2,416,556 | |||||
2.00%, 01/15/16 | 3,415,000 | 4,051,190 | |||||
2.50%, 07/15/16 | 1,290,000 | 1,551,321 | |||||
2.38%, 01/15/17D | 1,965,000 | 2,347,678 | |||||
2.63%, 07/15/17 | 2,125,000 | 2,524,111 | |||||
1.63%, 01/15/18D | 1,220,000 | 1,339,714 | |||||
1.38%, 07/15/18 | 3,285,000 | 3,446,478 | |||||
2.13%, 01/15/19 | 925,000 | 1,026,368 | |||||
1.88%, 07/15/19D | 1,060,000 | 1,161,874 | |||||
1.38%, 01/15/20D | 2,550,000 | 2,636,301 | |||||
2.38%, 01/15/25D | 3,920,000 | 5,041,724 | |||||
2.00%, 01/15/26 | 2,730,000 | 3,179,078 | |||||
2.38%, 01/15/27D | 2,740,000 | 3,289,112 | |||||
1.75%, 01/15/28D | 4,950,000 | 5,237,742 | |||||
3.63%, 04/15/28 | 835,000 | 1,459,982 | |||||
2.50%, 01/15/29D | 3,475,000 | 3,998,877 | |||||
3.88%, 04/15/29D | 2,780,000 | 4,958,596 | |||||
3.38%, 04/15/32 | 300,000 | 480,849 | |||||
2.13%, 02/15/40D | 2,677,000 | 2,968,097 | |||||
93,340,723 | |||||||
U.S. Treasury Note | 4,750,000 | 4,832,394 | |||||
Total U.S. Treasury Obligations | 98,173,117 | ||||||
Shares | |||||||
MONEY MARKET FUNDS — 12.0% | |||||||
GuideStone Money Market Fund (GS4 Class)¥ | 5,947,208 | 5,947,208 | |||||
Northern Institutional Liquid Assets Portfolio§ | 6,510,959 | 6,510,959 | |||||
Total Money Market Funds | 12,458,167 | ||||||
TOTAL INVESTMENTS — 106.3% | 110,631,284 | ||||||
Liabilities in Excess of Other Assets — (6.3)% | (6,578,023 | ) | |||||
NET ASSETS — 100.0% | $ | 104,053,261 | |||||
Please see abbreviation and footnote definitions on page 127.
PORTFOLIO SUMMARY (based on net assets)
% | ||
U.S. Treasury Obligations | 94.3 | |
Money Market Funds | 12.0 | |
Futures Contracts | 5.1 | |
111.4 | ||
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2010, in valuing the Fund’s assets carried at fair value:
Valuation Inputs | Investments in Securities | Other Financial Instruments*** | |||||
Assets: | |||||||
Level 1 — Quoted Prices | |||||||
Futures Contracts | $ | — | $ | (5,722 | ) | ||
Money Market Funds | 12,458,167 | — | |||||
Level 2 — Other Significant Observable Inputs | |||||||
U.S. Treasury Obligations | 98,173,117 | — | |||||
Level 3 — Significant Unobservable Inputs | — | — | |||||
Total | $ | 110,631,284 | $ | (5,722 | ) | ||
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
See Notes to Financial Statements.
77
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SCHEDULE OF INVESTMENTS | June 30, 2010 (Unaudited) |
Par | Value | |||||
AGENCY OBLIGATION — 0.0% | ||||||
Federal Home Loan Mortgage Corporation | ||||||
0.19%, 08/23/10‡‡ | ||||||
(Cost $2,999) | $ | 3,000 | $ | 3,000 | ||
ASSET-BACKED SECURITIES — 1.7% | ||||||
Bear Stearns Asset-Backed Securities Trust | ||||||
0.83%, 10/25/33 STEP | 105,611 | 91,057 | ||||
Capital One Multi-Asset Execution Trust | ||||||
0.38%, 03/16/15† | 330,000 | 327,755 | ||||
Carrington Mortgage Loan Trust | ||||||
0.67%, 10/25/35† | 67,334 | 63,534 | ||||
Chase Issuance Trust | ||||||
0.60%, 04/15/19† | 760,000 | 728,001 | ||||
Citibank Credit Card Issuance Trust | ||||||
6.30%, 06/20/14 | 710,000 | 758,637 | ||||
Discover Card Master Trust I | ||||||
0.44%, 06/16/15† | 655,000 | 649,172 | ||||
GMAC Mortgage Corporation Loan Trust | ||||||
0.53%, 12/25/36† | 1,205,479 | 646,999 | ||||
Lehman XS Trust | ||||||
0.44%, 02/25/37† | 244,592 | 218,749 | ||||
Morgan Stanley Mortgage Loan Trust | ||||||
0.47%, 10/25/36† | 3,600 | 3,582 | ||||
Origen Manufactured Housing | ||||||
0.50%, 11/15/18† | 54,488 | 50,676 | ||||
Residential Asset Securities Corporation | ||||||
6.35%, 03/25/32 | 54,852 | 45,561 | ||||
Security National Mortgage Loan Trust | ||||||
0.63%, 01/25/37 144A† | 149,386 | 136,564 | ||||
Total Asset-Backed Securities | 3,720,287 | |||||
CORPORATE BONDS — 46.6% | ||||||
ACCO Brands Corporation | ||||||
10.63%, 03/15/15D | 105,000 | 114,450 | ||||
AES Corporation | ||||||
8.38%, 03/01/11(U) | 50,000 | 76,012 | ||||
8.00%, 10/15/17D | 665,000 | 674,975 | ||||
Alcoa, Inc. | ||||||
5.87%, 02/23/22 | 5,000 | 4,658 | ||||
6.75%, 01/15/28 | 185,000 | 176,162 | ||||
5.95%, 02/01/37D | 65,000 | 55,536 | ||||
Allied Waste North America, Inc. | ||||||
7.13%, 05/15/16 | 225,000 | 241,602 | ||||
Altegrity, Inc. | ||||||
10.50%, 11/01/15 144A@ | 150,000 | 143,250 | ||||
American Express Credit Corporation | ||||||
5.13%, 08/25/14 | 390,000 | 419,982 | ||||
American General Finance Corporation | ||||||
5.75%, 09/15/16 | 700,000 | 542,500 | ||||
6.50%, 09/15/17 | 400,000 | 314,000 | ||||
6.90%, 12/15/17D | 200,000 | 160,250 | ||||
American Greetings Corporation | ||||||
7.38%, 06/01/16 | 30,000 | 30,075 | ||||
American International Group, Inc. | ||||||
5.45%, 05/18/17 | 25,000 | 22,313 | ||||
Anadarko Petroleum Corporation | ||||||
5.95%, 09/15/16D | 130,000 | 112,030 | ||||
Appleton Papers, Inc. | ||||||
11.25%, 12/15/15 144A | 102,000 | 87,210 | ||||
Ashland, Inc. | ||||||
9.13%, 06/01/17 | 650,000 | 715,000 | ||||
Ashtead Capital, Inc. | ||||||
9.00%, 08/15/16 144A | 140,000 | 137,900 | ||||
Ashton Woods USA LLC 22.62%, | ||||||
06/30/15 STEP 144AW@ | 20,800 | 12,168 | ||||
Associates Corporation of North America | ||||||
6.95%, 11/01/18 | 125,000 | 128,156 | ||||
Astoria Depositor Corporation | ||||||
8.14%, 05/01/21 144A | 130,000 | 128,700 | ||||
AT&T Corporation | ||||||
6.50%, 03/15/29 | 580,000 | 623,202 | ||||
AT&T, Inc. | ||||||
6.45%, 06/15/34 | 115,000 | 125,566 | ||||
6.55%, 02/15/39 | 220,000 | 247,264 | ||||
Baltimore Gas & Electric Co. | ||||||
5.20%, 06/15/33 | 1,125,000 | 1,097,154 | ||||
Bank of America Corporation | ||||||
4.63%, 02/07/17(E)D | 300,000 | 354,241 | ||||
Belden & Blake Corporation | ||||||
8.75%, 07/15/12 | 165,000 | 154,688 | ||||
Berry Petroleum Co. | ||||||
10.25%, 06/01/14 | 80,000 | 86,400 | ||||
Biomet, Inc. | ||||||
10.00%, 10/15/17D | 20,000 | 21,600 | ||||
10.38%, 10/15/17 PIK | 535,000 | 577,800 | ||||
Boston Scientific Corporation | ||||||
7.00%, 11/15/35 | 215,000 | 209,141 | ||||
Buffets Restaurants Holdings, Inc. | ||||||
12.50%, 11/01/14#@ | 105,000 | 10 | ||||
CC Holdings GS V LLC | ||||||
7.75%, 05/01/17 144A | 350,000 | 371,875 | ||||
Cellco Partnership/Verizon Wireless Capital LLC | ||||||
8.50%, 11/15/18D | 260,000 | 338,571 | ||||
Cengage Learning Acquisitions, Inc. | ||||||
10.50%, 01/15/15 144AD | 100,000 | 93,500 | ||||
Ceridian Corporation | ||||||
12.25%, 11/15/15 144AD | 63,900 | 57,670 | ||||
Charter Communications Operating LLC | ||||||
10.88%, 09/15/14 144A | 140,000 | 156,100 | ||||
Chesapeake Energy Corporation | ||||||
6.50%, 08/15/17D | 1,190,000 | 1,179,588 | ||||
6.25%, 01/15/18 | 30,000 | 30,450 | ||||
7.25%, 12/15/18 | 110,000 | 114,125 | ||||
Chiquita Brands International, Inc. | ||||||
7.50%, 11/01/14D | 450,000 | 443,250 |
See Notes to Financial Statements.
78
Table of Contents
Par | Value | |||||
CII Carbon LLC | ||||||
11.13%, 11/15/15 144AD | $ | 190,000 | $ | 185,725 | ||
Cincinnati Bell Telephone Co. LLC | ||||||
6.30%, 12/01/28D | 155,000 | 107,725 | ||||
CIT Group, Inc. | ||||||
7.00%, 05/01/13 | 61,634 | 59,323 | ||||
7.00%, 05/01/14D | 92,453 | 87,599 | ||||
7.00%, 05/01/15D | 92,453 | 85,750 | ||||
7.00%, 05/01/16D | 154,090 | 141,378 | ||||
7.00%, 05/01/17D | 215,726 | 195,232 | ||||
Citigroup, Inc. | ||||||
6.38%, 08/12/14 | 1,355,000 | 1,440,514 | ||||
7.38%, 09/04/19(E) | 490,000 | 671,410 | ||||
CMP Susquehanna Radio Holdings Corporation | ||||||
9.88%, 05/15/14 144A@ | 6,000 | 1,806 | ||||
Colorado Interstate Gas Co. | ||||||
5.95%, 03/15/15 | 20,000 | 21,801 | ||||
6.80%, 11/15/15 | 125,000 | 144,657 | ||||
Comcast Corporation | ||||||
6.50%, 01/15/17 | 60,000 | 68,843 | ||||
5.15%, 03/01/20 | 320,000 | 335,661 | ||||
5.65%, 06/15/35 | 325,000 | 321,175 | ||||
Community Health Systems, Inc. | ||||||
8.88%, 07/15/15 | 100,000 | 103,375 | ||||
Complete Production Services, Inc. | ||||||
8.00%, 12/15/16D | 80,000 | 78,600 | ||||
Consol Energy, Inc. | ||||||
8.25%, 04/01/20 144AD | 210,000 | 219,975 | ||||
Continental Airlines, Inc. | ||||||
9.00%, 07/08/16D | 1,224,733 | 1,338,021 | ||||
5.98%, 04/19/22D | 535,348 | 525,177 | ||||
Countrywide Financial Corporation | ||||||
5.80%, 06/07/12 | 90,000 | 94,682 | ||||
6.25%, 05/15/16 | 280,000 | 292,255 | ||||
Cricket Communications, Inc. | ||||||
7.75%, 05/15/16D | 150,000 | 153,750 | ||||
Cummins, Inc. | ||||||
5.65%, 03/01/98 | 1,500,000 | 1,287,598 | ||||
CVS Caremark Corporation | ||||||
6.60%, 03/15/19 | 290,000 | 338,039 | ||||
DAE Aviation Holdings, Inc. | ||||||
11.25%, 08/01/15 144A | 230,000 | 228,850 | ||||
Delta Air Lines, Inc. | ||||||
9.50%, 09/15/14 144AD | 40,000 | 42,200 | ||||
8.02%, 08/10/22 | 101,568 | 96,744 | ||||
Deutsche Postbank Funding Trust IV | ||||||
5.98%, 06/29/49(E) | 300,000 | 238,456 | ||||
Developers Diversified Realty Corporation | ||||||
5.38%, 10/15/12 | 315,000 | 311,270 | ||||
DI Finance | ||||||
9.50%, 02/15/13 | 145,000 | 149,531 | ||||
DISH DBS Corporation | ||||||
7.00%, 10/01/13D | 600,000 | 621,000 | ||||
Dynegy Holdings, Inc. | ||||||
7.50%, 06/01/15D | 307,000 | 244,449 | ||||
7.75%, 06/01/19 | 646,000 | 449,778 | ||||
Edison Mission Energy | ||||||
7.63%, 05/15/27 | 180,000 | 103,050 | ||||
El Paso Corporation | ||||||
8.25%, 02/15/16 | 335,000 | 352,588 | ||||
El Paso Natural Gas Co. | ||||||
8.63%, 01/15/22D | 90,000 | 107,796 | ||||
8.38%, 06/15/32 | 75,000 | 88,124 | ||||
El Pollo Loco, Inc. | ||||||
11.75%, 12/01/12 | 20,000 | 20,100 | ||||
11.75%, 11/15/13 | 175,000 | 136,500 | ||||
Embarq Corporation | ||||||
8.00%, 06/01/36 | 1,245,000 | 1,238,917 | ||||
Energy Future Holdings Corporation | ||||||
11.25%, 11/01/17 PIK | 837,404 | 548,500 | ||||
6.50%, 11/15/24 | 370,000 | 168,350 | ||||
6.55%, 11/15/34 | 300,000 | 135,000 | ||||
Energy Transfer Partners LP | ||||||
9.00%, 04/15/19D | 100,000 | 117,787 | ||||
Enterprise Products Operating LLC | ||||||
9.75%, 01/31/14 | 160,000 | 193,188 | ||||
8.38%, 08/01/66D | 60,000 | 59,995 | ||||
Erac USA Finance Co. | ||||||
6.38%, 10/15/17 144A | 245,000 | 276,198 | ||||
7.00%, 10/15/37 144A | 1,065,000 | 1,164,222 | ||||
First Niagara Financial Group, Inc. | ||||||
6.75%, 03/19/20 | 1,140,000 | 1,198,811 | ||||
FirstEnergy Corporation | ||||||
7.38%, 11/15/31 | 285,000 | 301,327 | ||||
Ford Motor Co. | ||||||
4.25%, 11/15/16 | 830,000 | 1,038,538 | ||||
6.63%, 10/01/28 | 850,000 | 675,750 | ||||
Ford Motor Credit Co., LLC | ||||||
3.05%, 01/13/12†D | 37,500 | 36,469 | ||||
7.50%, 08/01/12 | 500,000 | 511,530 | ||||
7.00%, 10/01/13D | 650,000 | 663,255 | ||||
12.00%, 05/15/15 | 250,000 | 289,672 | ||||
Freeport-McMoRan Copper & Gold, Inc. | ||||||
8.38%, 04/01/17 | 330,000 | 363,472 | ||||
Freescale Semiconductor, Inc. | ||||||
10.13%, 12/15/16D | 130,000 | 104,650 | ||||
Fresenius US Finance II, Inc. | ||||||
8.75%, 07/15/15 144A(E) | 30,000 | 42,464 | ||||
Frontier Communications Corporation | ||||||
7.13%, 03/15/19D | 120,000 | 111,600 | ||||
7.88%, 01/15/27 | 405,000 | 367,538 | ||||
General Electric Capital Corporation | ||||||
3.49%, 03/08/12(G) | 200,000 | 145,954 | ||||
7.63%, 12/10/14(Z) | 905,000 | 660,428 | ||||
4.88%, 03/04/15 | 370,000 | 395,345 | ||||
6.50%, 09/28/15(Z) | 255,000 | 177,221 | ||||
6.75%, 09/26/16(Z) | 150,000 | 105,551 | ||||
5.63%, 05/01/18 | 25,000 | 26,610 | ||||
6.00%, 08/07/19 | 410,000 | 444,638 | ||||
6.75%, 03/15/32 | 30,000 | 32,382 | ||||
5.88%, 01/14/38 | 100,000 | 98,390 | ||||
Georgia-Pacific LLC | ||||||
8.00%, 01/15/24D | 355,000 | 378,075 | ||||
8.88%, 05/15/31 | 785,000 | 857,612 | ||||
GMAC, Inc. | ||||||
5.38%, 06/06/11D | 415,000 | 416,038 |
See Notes to Financial Statements.
79
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GLOBAL BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||
6.00%, 12/15/11 | $ | 1,016,000 | $ | 1,026,160 | ||
7.50%, 12/31/13 144A | 87,000 | 87,653 | ||||
6.75%, 12/01/14 144A | 399,000 | 390,022 | ||||
8.00%, 12/31/18 144A | 104,000 | 96,720 | ||||
8.00%, 11/01/31D | 389,000 | 360,798 | ||||
Goldman Sachs Group, Inc. | ||||||
5.00%, 10/01/14 | 600,000 | 624,250 | ||||
5.13%, 10/23/19(E) | 500,000 | 600,743 | ||||
5.38%, 03/15/20 | 300,000 | 296,988 | ||||
4.75%, 10/12/21(E) | 407,000 | 437,802 | ||||
Goodyear Tire & Rubber Co. | ||||||
7.00%, 03/15/28 | 690,000 | 591,675 | ||||
GXS Worldwide, Inc. | ||||||
9.75%, 06/15/15 144AD | 570,000 | 547,200 | ||||
H&E Equipment Services, Inc. | ||||||
8.38%, 07/15/16D | 120,000 | 113,400 | ||||
Hanover Insurance Group, Inc. | ||||||
7.50%, 03/01/20D | 385,000 | 416,599 | ||||
Hawaiian Telcom Communi- cations, Inc. | ||||||
12.50%, 05/01/15#@ | 65,000 | 7 | ||||
HCA, Inc. | ||||||
8.75%, 11/01/10(U) | 140,000 | 211,527 | ||||
7.88%, 02/01/11 | 240,000 | 244,800 | ||||
6.25%, 02/15/13 | 480,000 | 474,000 | ||||
5.75%, 03/15/14 | 40,000 | 37,400 | ||||
6.38%, 01/15/15D | 870,000 | 816,712 | ||||
7.19%, 11/15/15 | 205,000 | 182,962 | ||||
6.50%, 02/15/16 | 220,000 | 206,250 | ||||
9.25%, 11/15/16 | 60,000 | 63,750 | ||||
9.63%, 11/15/16 PIK | 596 | 639 | ||||
7.50%, 12/15/23 | 555,000 | 493,950 | ||||
8.36%, 04/15/24 | 90,000 | 84,150 | ||||
7.69%, 06/15/25 | 775,000 | 697,500 | ||||
7.58%, 09/15/25 | 570,000 | 504,450 | ||||
Hercules Offshore, Inc. | ||||||
10.50%, 10/15/17 144AD | 80,000 | 71,400 | ||||
Hertz Corporation | ||||||
8.88%, 01/01/14 | 250,000 | 254,375 | ||||
Hess Corporation | ||||||
8.13%, 02/15/19D | 220,000 | 274,687 | ||||
Hexion US Finance Corporation | ||||||
9.75%, 11/15/14D | 1,170,000 | 1,111,500 | ||||
Highwoods Realty LP | ||||||
5.85%, 03/15/17 | 180,000 | 179,828 | ||||
Home Depot, Inc. | ||||||
5.88%, 12/16/36 | 1,690,000 | 1,738,280 | ||||
Host Hotels & Resorts LP | ||||||
2.63%, 04/15/27 144A | 750,000 | 714,375 | ||||
Idearc, Inc. | ||||||
0.00%, 11/15/16+#W | 185,000 | — | ||||
Intel Corporation | ||||||
2.95%, 12/15/35D | 580,000 | 553,900 | ||||
3.25%, 08/01/39 CONV 144AD | 460,000 | 520,375 | ||||
Intelsat Corporation | ||||||
9.25%, 08/15/14D | 270,000 | 277,425 | ||||
International Lease Finance Corporation | ||||||
5.63%, 09/15/10D | 115,000 | 115,144 | ||||
5.13%, 11/01/10 | 100,000 | 99,375 | ||||
5.55%, 09/05/12 | 50,000 | 47,250 | ||||
6.38%, 03/25/13D | 245,000 | 230,912 | ||||
5.65%, 06/01/14D | 90,000 | 80,325 | ||||
8.63%, 09/15/15 144A | 215,000 | 204,250 | ||||
International Paper Co. | ||||||
7.95%, 06/15/18 | 635,000 | 757,173 | ||||
iStar Financial, Inc. | ||||||
5.65%, 09/15/11D | 92,000 | 83,720 | ||||
5.50%, 06/15/12 | 75,000 | 62,250 | ||||
8.63%, 06/01/13 | 75,000 | 61,500 | ||||
5.95%, 10/15/13D | 954,000 | 763,200 | ||||
5.70%, 03/01/14 | 62,000 | 46,345 | ||||
6.05%, 04/15/15D | 20,000 | 14,600 | ||||
5.88%, 03/15/16D | 22,000 | 15,620 | ||||
Jarden Corporation | ||||||
7.50%, 01/15/20(E) | 119,000 | 140,062 | ||||
JC Penney Corporation, Inc. | ||||||
6.38%, 10/15/36 | 650,000 | 617,500 | ||||
7.63%, 03/01/38 | 1,300,000 | 1,215,500 | ||||
Jones Apparel Group, Inc. | ||||||
6.13%, 11/15/34 | 135,000 | 108,844 | ||||
JPMorgan Chase Bank NA | ||||||
4.38%, 11/30/21(E) | 250,000 | 303,009 | ||||
K Hovnanian Enterprises, Inc. | ||||||
6.38%, 12/15/14 | 795,000 | 600,225 | ||||
Kerr-McGee Corporation | ||||||
6.95%, 07/01/24 | 30,000 | 27,318 | ||||
Kinder Morgan Energy Partners LP | ||||||
5.95%, 02/15/18 | 1,060,000 | 1,146,602 | ||||
6.50%, 02/01/37 | 75,000 | 76,674 | ||||
6.95%, 01/15/38 | 90,000 | 95,940 | ||||
Kraft Foods, Inc. | ||||||
5.38%, 02/10/20D | 380,000 | 407,957 | ||||
L-3 Communications Corporation | ||||||
6.38%, 10/15/15 | 450,000 | 452,250 | ||||
Lehman Brothers Holdings, Inc. | ||||||
5.25%, 02/06/12# | 130,000 | 26,325 | ||||
Lennar Corporation | ||||||
5.60%, 05/31/15D | 1,400,000 | 1,239,000 | ||||
Level 3 Communications, Inc. | ||||||
3.50%, 06/15/12D | 195,000 | 178,912 | ||||
Level 3 Financing, Inc. | ||||||
9.25%, 11/01/14 | 260,000 | 237,250 | ||||
8.75%, 02/15/17D | 1,185,000 | 1,030,950 | ||||
Mariner Energy, Inc. | ||||||
8.00%, 05/15/17 | 70,000 | 76,825 | ||||
Marsh & McLennan Cos., Inc. | ||||||
5.88%, 08/01/33D | 1,000,000 | 935,381 | ||||
Masco Corporation | ||||||
6.13%, 10/03/16 | 265,000 | 256,728 | ||||
5.85%, 03/15/17 | 90,000 | 87,915 | ||||
6.50%, 08/15/32 | 145,000 | 122,909 | ||||
Maxtor Corporation | ||||||
5.75%, 03/01/12@ | 91,000 | 89,180 | ||||
MBIA Insurance Corporation | ||||||
14.00%, 01/15/33 144AD | 435,000 | 202,275 | ||||
Merrill Lynch & Co., Inc. | ||||||
6.05%, 06/01/34 | 700,000 | 700,460 | ||||
6.11%, 01/29/37 | 1,300,000 | 1,184,301 | ||||
Metals USA, Inc. | ||||||
11.13%, 12/01/15 | 140,000 | 147,700 | ||||
Michaels Stores, Inc. | ||||||
10.00%, 11/01/14 | 70,000 | 72,625 |
See Notes to Financial Statements.
80
Table of Contents
Par | Value | |||||
Mirant Mid Atlantic Pass Through Trust | ||||||
10.06%, 12/30/28 | $ | 165,630 | $ | 177,638 | ||
Morgan Stanley | ||||||
4.75%, 04/01/14 | 50,000 | 50,128 | ||||
Motorola, Inc. | ||||||
6.50%, 09/01/25 | 720,000 | 718,615 | ||||
6.50%, 11/15/28D | 155,000 | 156,828 | ||||
6.63%, 11/15/37 | 625,000 | 643,889 | ||||
Motors Liquidation Co. | ||||||
8.38%, 07/05/33(E)# | 250,000 | 106,235 | ||||
Mutual of Omaha Insurance Co. | ||||||
6.80%, 06/15/36 144A | 1,200,000 | 1,187,674 | ||||
Neiman-Marcus Group, Inc. | ||||||
9.00%, 10/15/15 PIKD | 381,595 | 384,457 | ||||
7.13%, 06/01/28 | 30,000 | 27,150 | ||||
Nevada Power Co. | ||||||
5.88%, 01/15/15 | 100,000 | 111,542 | ||||
NewPage Corporation | ||||||
11.38%, 12/31/14 144AD | 285,000 | 260,062 | ||||
Nextel Communications, Inc. | ||||||
5.95%, 03/15/14 | 970,000 | 904,525 | ||||
7.38%, 08/01/15 | 1,615,000 | 1,542,325 | ||||
NRG Energy, Inc. | ||||||
7.38%, 02/01/16 | 750,000 | 748,125 | ||||
Owens Corning, Inc. | ||||||
7.00%, 12/01/36 | 220,000 | 219,585 | ||||
Owens-Brockway Glass Container, Inc. | ||||||
3.00%, 06/01/15 144AD | 760,000 | 702,050 | ||||
Oxford Industries, Inc. | ||||||
11.38%, 07/15/15 144A | 135,000 | 149,175 | ||||
Panhandle Eastern Pipeline Co. LP | ||||||
7.00%, 06/15/18 | 1,100,000 | 1,180,978 | ||||
Peabody Energy Corporation | ||||||
6.88%, 03/15/13D | 5,000 | 5,063 | ||||
Pemex Project Funding Master Trust | ||||||
6.63%, 06/15/35D | 1,240,000 | 1,281,611 | ||||
Penn Mutual Life Insurance Co. | ||||||
7.63%, 06/15/40 144A | 685,000 | 673,157 | ||||
PetroHawk Energy Corporation | ||||||
9.13%, 07/15/13 | 70,000 | 73,325 | ||||
Pioneer Natural Resources Co. | ||||||
5.88%, 07/15/16 | 900,000 | 903,580 | ||||
7.20%, 01/15/28 | 315,000 | 302,598 | ||||
Plains Exploration & Production Co. | ||||||
10.00%, 03/01/16D | 75,000 | 80,625 | ||||
8.63%, 10/15/19D | 55,000 | 55,962 | ||||
ProLogis | ||||||
6.63%, 05/15/18D | 15,000 | 14,313 | ||||
2.25%, 04/01/37 | 580,000 | 548,825 | ||||
1.88%, 11/15/37D | 545,000 | 491,863 | ||||
Quicksilver Resources, Inc. | ||||||
11.75%, 01/01/16 | 95,000 | 105,212 | ||||
Qwest Capital Funding, Inc. | ||||||
6.50%, 11/15/18 | 225,000 | 212,625 | ||||
Qwest Corporation | ||||||
7.88%, 09/01/11 | 100,000 | 104,500 | ||||
3.79%, 06/15/13† | 100,000 | 99,500 | ||||
7.63%, 06/15/15 | 300,000 | 322,500 | ||||
6.50%, 06/01/17D | 65,000 | 65,813 | ||||
7.50%, 06/15/23 | 110,000 | 105,875 | ||||
7.25%, 09/15/25 | 105,000 | 101,325 | ||||
6.88%, 09/15/33 | 2,500,000 | 2,306,250 | ||||
7.25%, 10/15/35 | 110,000 | 101,475 | ||||
RailAmerica, Inc. | ||||||
9.25%, 07/01/17 | 652,000 | 686,230 | ||||
RSC Equipment Rental, Inc. | ||||||
10.00%, 07/15/17 144AD | 80,000 | 86,200 | ||||
Sandridge Energy, Inc. | ||||||
9.88%, 05/15/16 144A | 185,000 | 188,700 | ||||
Service Corporation International | ||||||
7.50%, 04/01/27 | 75,000 | 66,750 | ||||
Simon Property Group LP | ||||||
5.75%, 12/01/15 | 25,000 | 27,516 | ||||
5.88%, 03/01/17 | 15,000 | 16,240 | ||||
SLM Corporation | ||||||
5.38%, 01/15/13 | 650,000 | 630,675 | ||||
5.00%, 10/01/13 | 300,000 | 287,000 | ||||
4.75%, 03/17/14(E) | 170,000 | 186,592 | ||||
5.38%, 05/15/14 | 1,000,000 | 915,130 | ||||
8.45%, 06/15/18 | 769,000 | 710,632 | ||||
8.00%, 03/25/20 | 80,000 | 70,368 | ||||
Southern Copper Corporation | ||||||
5.38%, 04/16/20D | 70,000 | 70,513 | ||||
Sprint Capital Corporation | ||||||
8.38%, 03/15/12 | 60,000 | 63,225 | ||||
6.90%, 05/01/19 | 1,040,000 | 946,400 | ||||
6.88%, 11/15/28 | 200,000 | 167,000 | ||||
8.75%, 03/15/32 | 755,000 | 724,800 | ||||
Steel Dynamics, Inc. | ||||||
7.38%, 11/01/12D | 45,000 | 46,800 | ||||
Teachers Insurance & Annuity Association of America | ||||||
6.85%, 12/16/39 144A | 100,000 | 116,875 | ||||
Tenet Healthcare Corporation | ||||||
9.00%, 05/01/15 144AD | 85,000 | 90,312 | ||||
10.00%, 05/01/18 144A | 55,000 | 61,050 | ||||
8.88%, 07/01/19 144A | 377,000 | 401,505 | ||||
6.88%, 11/15/31 | 85,000 | 66,725 | ||||
Textron Financial Corporation | ||||||
5.13%, 08/15/14 | 30,000 | 29,692 | ||||
Textron, Inc. | ||||||
6.20%, 03/15/15 | 255,000 | 274,737 | ||||
7.25%, 10/01/19D | 175,000 | 200,129 | ||||
6.63%, 04/07/20(U) | 130,000 | 184,249 | ||||
Time Warner Cable, Inc. | ||||||
5.85%, 05/01/17 | 1,200,000 | 1,319,408 | ||||
8.75%, 02/14/19 | 190,000 | 240,112 | ||||
8.25%, 04/01/19 | 180,000 | 221,724 | ||||
Toledo Edison Co. | ||||||
6.15%, 05/15/37 | 125,000 | 134,317 | ||||
Toys “R” Us, Inc. | ||||||
7.38%, 10/15/18D | 335,000 | 316,575 | ||||
United Air Lines, Inc. | ||||||
10.40%, 11/01/16D | 774,746 | 832,852 | ||||
United Rentals North America, Inc. | ||||||
7.75%, 11/15/13D | 505,000 | 491,112 | ||||
7.00%, 02/15/14D | 655,000 | 618,975 | ||||
UnitedHealth Group, Inc. | ||||||
5.80%, 03/15/36 | 790,000 | 796,782 | ||||
Universal Hospital Services, Inc. | ||||||
4.13%, 06/01/15† | 20,000 | 16,900 |
See Notes to Financial Statements.
81
Table of Contents
GLOBAL BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||
8.50%, 06/01/15 PIK | $ | 20,000 | $ | 19,800 | ||
Univision Communications, Inc. | ||||||
12.00%, 07/01/14 144A | 215,000 | 231,663 | ||||
US Oncology Holdings, Inc. | ||||||
6.64%, 03/15/12 PIK† | 150,000 | 140,250 | ||||
US Oncology, Inc. | ||||||
9.13%, 08/15/17 | 155,000 | 160,038 | ||||
USG Corporation | ||||||
6.30%, 11/15/16 | 1,250,000 | 1,084,375 | ||||
Valor Telecommunications Enterprises Finance Corporation | ||||||
7.75%, 02/15/15 | 125,000 | 127,574 | ||||
Vanguard Health Holding Co. II LLC | ||||||
8.00%, 02/01/18 | 105,000 | 101,325 | ||||
Verizon Communications, Inc. | ||||||
5.85%, 09/15/35 | 4,000 | 4,140 | ||||
Verizon Maryland, Inc. | ||||||
5.13%, 06/15/33D | 100,000 | 88,726 | ||||
Verizon New York, Inc. | ||||||
7.38%, 04/01/32 | 115,000 | 130,415 | ||||
Verizon Pennsylvania, Inc. | ||||||
6.00%, 12/01/28 | 90,000 | 89,311 | ||||
Wachovia Corporation | ||||||
5.25%, 08/01/14 | 120,000 | 127,195 | ||||
WEA Finance LLC | ||||||
6.75%, 09/02/19 144A | 780,000 | 868,438 | ||||
WellPoint, Inc. | ||||||
7.00%, 02/15/19 | 80,000 | 95,051 | ||||
Western Union Co. | ||||||
6.20%, 11/17/36 | 620,000 | 663,300 | ||||
Westvaco Corporation | ||||||
8.20%, 01/15/30 | 150,000 | 158,668 | ||||
7.95%, 02/15/31D | 135,000 | 141,633 | ||||
Weyerhaeuser Co. | ||||||
6.88%, 12/15/33 | 490,000 | 460,006 | ||||
8.50%, 01/15/25 | 405,000 | 442,836 | ||||
6.95%, 10/01/27 | 55,000 | 52,526 | ||||
7.38%, 03/15/32 | 370,000 | 366,504 | ||||
White Mountains Re Group, Ltd. | ||||||
6.38%, 03/20/17 144A | 1,250,000 | 1,253,020 | ||||
Whiting Petroleum Corporation | ||||||
7.00%, 02/01/14 | 130,000 | 133,250 | ||||
Williams Cos., Inc. | ||||||
7.50%, 01/15/31 | 97,000 | 103,458 | ||||
Williams Partners LP | ||||||
5.25%, 03/15/20D | 220,000 | 225,390 | ||||
Windstream Corporation | ||||||
8.63%, 08/01/16 | 650,000 | 658,125 | ||||
Worthington Industries, Inc. | ||||||
6.50%, 04/15/20 | 265,000 | 289,518 | ||||
Wyndham Worldwide Corporation | ||||||
6.00%, 12/01/16 | 340,000 | 330,289 | ||||
7.38%, 03/01/20 | 380,000 | 390,493 | ||||
Total Corporate Bonds | 103,550,738 | |||||
FOREIGN BONDS — 32.7% | ||||||
Argentina — 0.3% | ||||||
Pan American Energy LLC | ||||||
7.88%, 05/07/21 144A | 120,000 | 120,600 | ||||
Republic of Argentina | ||||||
7.00%, 09/12/13 | 488,000 | 437,199 | ||||
557,799 | ||||||
Australia — 1.4% | ||||||
FMG Finance Party, Ltd. | ||||||
9.75%, 09/01/13(E) | 80,000 | 101,741 | ||||
New South Wales Treasury Corporation | ||||||
7.00%, 12/01/10(A) | 2,825,000 | 2,399,729 | ||||
Queensland Treasury Corporation | ||||||
7.13%, 09/18/17 144A(Z) | 275,000 | 206,370 | ||||
Rio Tinto Finance USA, Ltd. | ||||||
9.00%, 05/01/19 | 260,000 | 341,743 | ||||
3,049,583 | ||||||
Austria — 0.1% | ||||||
PE Paper Escrow GmbH | ||||||
11.75%, 08/01/14 144A(E) | 192,000 | 254,745 | ||||
Bermuda — 0.0% | ||||||
NCL Corporation, Ltd. | ||||||
11.75%, 11/15/16D | 80,000 | 84,000 | ||||
Brazil — 3.4% | ||||||
Brazil Notas do Tesouro Nacional, Series F | ||||||
10.00%, 01/01/12(B) | 2,966,000 | 1,598,112 | ||||
10.00%, 01/01/17(B) | 1,117,000 | 561,084 | ||||
Centrais Eletricas Brasileiras SA | ||||||
6.88%, 07/30/19 | 100,000 | 108,875 | ||||
Centrais Eletricas Brasileiras SA | ||||||
6.88%, 07/30/19 144AD | 230,000 | 250,412 | ||||
Federative Republic of Brazil | ||||||
10.25%, 01/10/28(B) | 6,000,000 | 3,369,806 | ||||
7.13%, 01/20/37D | 310,000 | 367,350 | ||||
11.00%, 08/17/40D | 700,000 | 940,800 | ||||
Gerdau Holdings, Inc. | ||||||
7.00%, 01/20/20 144A | 100,000 | 102,500 | ||||
Globo Comunicacao e Participacoes SA | ||||||
7.25%, 04/26/22 | 170,000 | 177,650 | ||||
NET Servicos de Comunicacao SA | ||||||
7.50%, 01/27/20 144A | 130,000 | 136,500 | ||||
7,613,089 | ||||||
Canada — 6.8% | ||||||
Bell Canada | ||||||
6.55%, 05/01/29 144A(C) | 380,000 | 372,861 | ||||
7.30%, 02/23/32 144A(C) | 640,000 | 683,520 | ||||
6.10%, 03/16/35 144A(C) | 380,000 | 356,184 | ||||
Canadian Government Bond | ||||||
5.25%, 06/01/12(C) | 10,000,000 | 10,075,619 | ||||
Nortel Networks, Ltd. | ||||||
6.88%, 09/01/23# | 380,000 | 104,500 | ||||
Novelis, Inc. | ||||||
7.25%, 02/15/15D | 125,000 | 121,250 |
See Notes to Financial Statements.
82
Table of Contents
Par | Value | |||||
OPTI Canada, Inc. | ||||||
7.88%, 12/15/14 | $ | 50,000 | $ | 43,750 | ||
8.25%, 12/15/14D | 70,000 | 61,250 | ||||
Province of Manitoba | ||||||
6.38%, 09/01/15(Z) | 815,000 | 586,390 | ||||
Province of Quebec | ||||||
6.75%, 11/09/15(Z) | 2,650,000 | 1,935,791 | ||||
Stone Container Finance Company of Canada II | ||||||
7.38%, 07/15/14# | 330,000 | 267,300 | ||||
Sun Media Corporation | ||||||
7.63%, 02/15/13 | 100,000 | 100,500 | ||||
Talisman Energy, Inc. | ||||||
6.25%, 02/01/38 | 80,000 | 85,622 | ||||
Teck Resources, Ltd. | ||||||
9.75%, 05/15/14 144A | 55,000 | 65,053 | ||||
10.25%, 05/15/16 144A | 50,000 | 59,067 | ||||
10.75%, 05/15/19 | 95,000 | 116,579 | ||||
15,035,236 | ||||||
Cayman Islands — 1.2% | ||||||
EEB International, Ltd. | ||||||
8.75%, 10/31/14D | 200,000 | 221,500 | ||||
Odebrecht Finance, Ltd. | ||||||
7.50%, 10/18/17 | 130,000 | 136,181 | ||||
7.00%, 04/21/20 144A | 250,000 | 255,300 | ||||
Petrobras International Finance Co. | ||||||
6.88%, 01/20/40D | 160,000 | 161,376 | ||||
Shinsei Finance Cayman, Ltd. | ||||||
6.42%, 07/20/49 144A | 120,000 | 77,228 | ||||
TGI International, Ltd. | ||||||
9.50%, 10/03/17 | 130,000 | 144,950 | ||||
Transocean, Inc. | ||||||
1.50%, 12/15/37 CONVD | 50,000 | 41,625 | ||||
Vale Overseas, Ltd. | ||||||
6.88%, 11/21/36 | 961,000 | 1,004,256 | ||||
XL Capital, Ltd. | ||||||
6.25%, 05/15/27D | 640,000 | 608,315 | ||||
2,650,731 | ||||||
Chile — 0.2% | ||||||
Celulosa Arauco y Constitucion SA | ||||||
7.25%, 07/29/19D | 200,000 | 232,261 | ||||
Colbun SA | ||||||
6.00%, 01/21/20 144AD | 210,000 | 220,043 | ||||
452,304 | ||||||
Colombia — 0.6% | ||||||
Ecopetrol SA | ||||||
7.63%, 07/23/19 144AD | 340,000 | 386,750 | ||||
Empresas Publicas de Medellin ESP | ||||||
7.63%, 07/29/19 144A | 120,000 | 135,750 | ||||
Republic of Colombia | ||||||
7.38%, 03/18/19D | 200,000 | 235,000 | ||||
7.38%, 09/18/37D | 400,000 | 472,000 | ||||
1,229,500 | ||||||
Finland — 0.1% | ||||||
M-real OYJ | ||||||
9.25%, 04/01/13 STEP(E) | 150,000 | 188,014 | ||||
France — 1.2% | ||||||
AXA SA | ||||||
6.21%, 10/05/49(E) | 210,000 | 197,697 | ||||
Compagnie Generale de Geophysique - Veritas | ||||||
7.50%, 05/15/15 | 90,000 | 86,175 | ||||
9.50%, 05/15/16 | 650,000 | 663,000 | ||||
Credit Agricole SA | ||||||
8.38%, 10/13/19 144A | 250,000 | 237,500 | ||||
Dexia Credit Local | ||||||
4.30%, 11/18/49(E) | 500,000 | 284,313 | ||||
Europcar Groupe SA | ||||||
4.18%, 05/15/13(E)† | 105,000 | 112,272 | ||||
8.13%, 05/15/14(E) | 50,000 | 54,723 | ||||
France Government Bond O.A.T | ||||||
4.00%, 04/25/45(E) | 320,000 | 418,100 | ||||
France O.A.T. Principal | ||||||
3.85%, 10/25/32 STRIP(E)W | 1,030,000 | 544,819 | ||||
Korreden SA | ||||||
11.00%, 08/01/14(E) | 69,333 | 27,555 | ||||
2,626,154 | ||||||
Germany — 2.2% | ||||||
Bundesrepublik Deutschland | ||||||
4.00%, 07/04/16(E) | 2,000 | 2,750 | ||||
3.75%, 01/04/19(E) | 3,140,000 | 4,238,186 | ||||
HSH Nordbank AG | ||||||
0.98%, 02/14/17(E)† | 52,000 | 39,952 | ||||
HT1 Funding GmbH | ||||||
6.35%, 07/29/49(E) | 433,000 | 317,703 | ||||
Rearden G Holdings EINS GmbH | ||||||
7.88%, 03/30/20 144AD | 100,000 | 101,500 | ||||
Unitymedia Hessen NRW GmbH | ||||||
8.13%, 12/01/17 144AD | 100,000 | 98,500 | ||||
4,798,591 | ||||||
Greece — 0.3% | ||||||
Hellenic Republic Government Bond | ||||||
2.30%, 07/25/30(E) | 1,440,000 | 766,061 | ||||
Iceland — 0.0% | ||||||
Kaupthing Bank HF | ||||||
7.13%, 05/19/16 144A#@ | 150,000 | 390 | ||||
Indonesia — 0.2% | ||||||
Indonesia Government International Bond | ||||||
6.63%, 02/17/37D | 240,000 | 254,542 | ||||
6.88%, 01/17/18D | 100,000 | 113,000 | ||||
367,542 | ||||||
Ireland — 0.3% | ||||||
Ardagh Glass Finance PLC | ||||||
7.13%, 06/15/17 144A(E) | 112,000 | 126,345 | ||||
Ardagh Glass Group PLC | ||||||
10.75%, 03/01/15 PIK(E) | 189,023 | 227,102 | ||||
Elan Finance PLC | ||||||
8.88%, 12/01/13D | 235,000 | 236,763 |
See Notes to Financial Statements.
83
Table of Contents
GLOBAL BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||
VIP Finance Ireland Ltd. for OJSC Vimpel Communications | ||||||
8.38%, 04/30/13 144A | $ | 100,000 | $ | 106,300 | ||
696,510 | ||||||
Italy — 0.1% | ||||||
Seat Pagine Gialle SpA | ||||||
10.50%, 01/31/17 144A(E) | 233,000 | 266,405 | ||||
Japan — 0.1% | ||||||
Resona Bank, Ltd. | ||||||
5.99%, 08/10/49(U) | 100,000 | 145,675 | ||||
Luxembourg — 1.9% | ||||||
Angel Lux Common SA | ||||||
6.16%, 05/01/16(E)† | 65,912 | 79,593 | ||||
8.25%, 05/01/16(E)D | 200,000 | 256,799 | ||||
8.88%, 05/01/16 144AD | 265,000 | 273,612 | ||||
Evraz Group SA | ||||||
8.88%, 04/24/13 144A | 160,000 | 164,960 | ||||
Evraz Group SA | ||||||
8.88%, 04/24/13 | 100,000 | 102,250 | ||||
Intelsat Jackson Holdings SA | ||||||
11.50%, 06/15/16 | 250,000 | 266,250 | ||||
Lecta SA | ||||||
3.31%, 02/15/14 144A(E)† | 102,000 | 99,785 | ||||
RSHB Capital SA for OJSC Russian Agricultural Bank | ||||||
7.18%, 05/16/13 | 200,000 | 211,620 | ||||
9.00%, 06/11/14D | 200,000 | 225,750 | ||||
6.97%, 09/21/16 | 100,000 | 99,070 | ||||
RSHB Capital SA for OJSC Russian Agricultural Bank | ||||||
7.13%, 01/14/14 144AD | 120,000 | 127,344 | ||||
9.00%, 06/11/14 144A | 560,000 | 631,400 | ||||
6.30%, 05/15/17 144A | 386,000 | 385,035 | ||||
TNK-BP Finance SA | ||||||
7.88%, 03/13/18D | 630,000 | 659,610 | ||||
UBS Luxembourg SA for OJSC Vimpel Communications | ||||||
8.25%, 05/23/16 | 255,000 | 263,288 | ||||
Wind Acquisition Finance SA | ||||||
11.00%, 12/01/15(E) | 53,000 | 65,459 | ||||
Wind Acquisition Finance SA | ||||||
11.00%, 12/01/15 144A(E) | 200,000 | 247,016 | ||||
12.00%, 12/01/15 144A | 105,000 | 109,200 | ||||
4,268,041 | ||||||
Malaysia — 0.4% | ||||||
Petronas Capital, Ltd. | ||||||
5.25%, 08/12/19 | 200,000 | 210,738 | ||||
Petronas Capital, Ltd. | ||||||
5.25%, 08/12/19 144AD | 600,000 | 633,134 | ||||
843,872 | ||||||
Marshall Islands — 0.1% | ||||||
Teekay Corporation | ||||||
8.50%, 01/15/20D | 150,000 | 150,000 | ||||
Mexico — 1.9% | ||||||
America Movil Sab de CV | ||||||
5.63%, 11/15/17D | 98,000 | 107,615 | ||||
Axtel SAB de CV | ||||||
7.63%, 02/01/17 144A | 420,000 | 374,850 | ||||
9.00%, 09/22/19 | 58,000 | 51,910 | ||||
Axtel SAB de CV | ||||||
7.63%, 02/01/17 | 20,000 | 17,850 | ||||
Grupo Televisa SA | ||||||
6.63%, 03/18/25 | 100,000 | 106,037 | ||||
6.63%, 01/15/40 144AD | 200,000 | 209,384 | ||||
Kansas City Southern de Mexico SA de CV | ||||||
7.63%, 12/01/13D | 140,000 | 143,500 | ||||
12.50%, 04/01/16 | 60,000 | 72,000 | ||||
8.00%, 02/01/18 144AD | 500,000 | 520,000 | ||||
Mexican Bonos | ||||||
8.00%, 12/07/23(M) | 30,500,000 | 2,516,541 | ||||
United Mexican States | ||||||
6.05%, 01/11/40 | 20,000 | 21,200 | ||||
4,140,887 | ||||||
Netherlands — 1.6% | ||||||
Carlson Wagonlit BV | ||||||
6.41%, 05/01/15(E)† | 321,000 | 347,394 | ||||
Carlson Wagonlit BV | ||||||
6.41%, 05/01/15 144A(E)† | 200,000 | 218,279 | ||||
Clondalkin Acquisition BV | ||||||
2.72%, 12/15/13 144A(E)† | 66,000 | 71,629 | ||||
Clondalkin Industries BV | ||||||
8.00%, 03/15/14 144A(E) | 150,000 | 166,919 | ||||
ELM BV for Swiss Reinsurance Co. | ||||||
5.25%, 05/25/49(E)D | 400,000 | 398,650 | ||||
Hollandwide Parent BV | ||||||
8.00%, 08/01/14(E)W | 191,000 | 1,752 | ||||
Impress Holdings BV | ||||||
3.77%, 09/15/13 144A(E)† | 200,000 | 231,731 | ||||
9.25%, 09/15/14 144A(E) | 150,000 | 188,931 | ||||
ING Verzekeringen NV | ||||||
6.25%, 06/21/21(E) | 250,000 | 271,320 | ||||
KazMunaiGaz Finance Sub BV | ||||||
8.38%, 07/02/13 144A | 230,000 | 247,825 | ||||
Lukoil International Finance BV | ||||||
6.36%, 06/07/17D | 650,000 | 663,000 | ||||
Nielsen Co. BV | ||||||
10.42%, 08/01/16 STEP(E) | 162,000 | 184,730 | ||||
OI European Group BV | ||||||
6.88%, 03/31/17 144A(E) | 100,000 | 121,062 | ||||
UPC Holding BV | ||||||
8.00%, 11/01/16(E) | 154,000 | 179,845 | ||||
Ziggo Bond Co. BV | ||||||
8.00%, 05/15/18 144A(E) | 250,000 | 295,778 | ||||
3,588,845 | ||||||
Norway — 0.7% | ||||||
Norway Government Bond | ||||||
5.00%, 05/15/15(K) | 355,000 | 60,793 | ||||
4.25%, 05/19/17(K) | 8,060,000 | 1,348,074 | ||||
Trico Shipping AS | ||||||
11.88%, 11/01/14 144AD | 200,000 | 193,000 | ||||
1,601,867 | ||||||
Panama — 0.2% | ||||||
AES El Salvador Trust | ||||||
6.75%, 02/01/16 | 100,000 | 93,993 | ||||
Panama Government International Bond | ||||||
7.25%, 03/15/15 | 51,000 | 59,288 |
See Notes to Financial Statements
84
Table of Contents
Par | Value | |||||
9.38%, 04/01/29D | $ | 40,000 | $ | 55,600 | ||
6.70%, 01/26/36D | 296,000 | 327,820 | ||||
536,701 | ||||||
Peru — 0.0% | ||||||
Republic of Peru | ||||||
7.35%, 07/21/25 | 40,000 | 48,100 | ||||
8.75%, 11/21/33 | 9,000 | 12,240 | ||||
6.55%, 03/14/37D | 8,000 | 8,880 | ||||
69,220 | ||||||
Poland — 0.8% | ||||||
Poland Government Bond | ||||||
5.75%, 09/23/22(V) | 6,070,000 | 1,756,810 | ||||
Qatar — 0.3% | ||||||
Qatar Government International Bond | ||||||
4.00%, 01/20/15 144A | 160,000 | 165,200 | ||||
Ras Laffan Liquefied Natural Gas Co., Ltd. III | ||||||
5.50%, 09/30/14 | 250,000 | 266,862 | ||||
6.75%, 09/30/19 | 250,000 | 277,381 | ||||
709,443 | ||||||
Russia — 0.3% | ||||||
Russian Federation | ||||||
7.50%, 03/31/30 STEP | 559,360 | 631,965 | ||||
Singapore — 0.1% | ||||||
Prime Dig Pte, Ltd. | ||||||
11.75%, 11/03/14 144A | 230,000 | 233,450 | ||||
South Africa — 0.1% | ||||||
Edcon Proprietary, Ltd. | ||||||
3.97%, 06/15/14(E)† | 320,000 | 279,789 | ||||
Supranational — 0.6% | ||||||
Inter-American Development Bank | ||||||
7.91%, 09/23/13(N)W | 15,900,000,000 | 1,344,089 | ||||
Sweden — 0.2% | ||||||
Corral Petroleum Holdings AB | ||||||
2.00%, 09/18/11 144A(E) | 111,676 | 126,321 | ||||
Nordea Bank AB | ||||||
3.70%, 11/13/14 144A | 220,000 | 224,340 | ||||
4.88%, 01/27/20 144AD | 160,000 | 164,640 | ||||
515,301 | ||||||
Thailand — 0.2% | ||||||
True Move Co., Ltd. | ||||||
10.75%, 12/16/13 144A | 461,000 | 455,237 | ||||
Trinidad And Tobago — 0.1% | ||||||
Petroleum Co. of Trinidad & | ||||||
Tobago, Ltd. | ||||||
9.75%, 08/14/19 144A | 240,000 | 274,800 | ||||
Turkey — 0.9% | ||||||
Republic of Turkey | ||||||
7.50%, 07/14/17 | 100,000 | 114,275 | ||||
7.00%, 03/11/19 | 100,000 | 111,140 | ||||
6.88%, 03/17/36 | 1,695,000 | 1,758,563 | ||||
6.75%, 05/30/40D | 110,000 | 110,478 | ||||
2,094,456 | ||||||
United Arab Emirates — 0.5% | ||||||
DP World, Ltd. | ||||||
6.85%, 07/02/37 144A | 1,500,000 | 1,199,604 | ||||
United Kingdom — 2.5% | ||||||
Ashtead Holdings PLC | ||||||
8.63%, 08/01/15 144AD | 160,000 | 159,200 | ||||
Barclays Bank PLC | ||||||
6.00%, 01/23/18(E) | 550,000 | 699,833 | ||||
6.37%, 12/15/49(U) | 180,000 | 217,839 | ||||
BP Capital Markets PLC | ||||||
4.75%, 03/10/19D | 220,000 | 183,059 | ||||
FCE Bank PLC | ||||||
7.13%, 01/16/12(E) | 200,000 | 248,337 | ||||
Ineos Finance PLC | ||||||
9.25%, 05/15/15 144A(E) | 236,000 | 287,872 | ||||
Infinis PLC | ||||||
9.13%, 12/15/14 144A(U) | 190,000 | 288,137 | ||||
ISS Financing PLC | ||||||
11.00%, 06/15/14(E) | 50,000 | 65,575 | ||||
ISS Financing PLC | ||||||
11.00%, 06/15/14 144A(E) | 62,000 | 81,313 | ||||
Kerling PLC | ||||||
10.63%, 01/28/17 144A(E) | 221,000 | 273,969 | ||||
Lloyds TSB Bank PLC | ||||||
6.25%, 04/15/14(E) | 140,000 | 183,894 | ||||
6.50%, 03/24/20(E)D | 816,000 | 940,848 | ||||
Royal Bank of Scotland Group PLC | ||||||
4.88%, 01/20/17(E) | 580,000 | 695,493 | ||||
7.09%, 10/29/49(E) | 500,000 | 338,333 | ||||
Vedanta Resources PLC | ||||||
8.75%, 01/15/14 | 320,000 | 340,800 | ||||
Virgin Media Finance PLC | ||||||
9.13%, 08/15/16D | 410,000 | 426,400 | ||||
9.50%, 08/15/16D | 50,000 | 53,500 | ||||
5,484,402 | ||||||
Venezuela — 0.6% | ||||||
Petroleos de Venezuela SA | ||||||
5.25%, 04/12/17D | 20,000 | 10,750 | ||||
Venezuela Government International Bond | ||||||
1.31%, 04/20/11† | 175,000 | 162,181 | ||||
8.50%, 10/08/14D | 26,000 | 20,085 | ||||
5.75%, 02/26/16D | 1,456,000 | 924,051 | ||||
9.38%, 01/13/34D | 207,000 | 129,375 | ||||
7.00%, 03/31/38 | 246,000 | 133,455 | ||||
1,379,897 | ||||||
Virgin Islands (British) — 0.2% | ||||||
GTL Trade Finance, Inc. | ||||||
7.25%, 10/20/17 | 150,000 | 159,375 | ||||
GTL Trade Finance, Inc. | ||||||
7.25%, 10/20/17 144A | 189,000 | 200,812 | ||||
360,187 | ||||||
Total Foreign Bonds | 72,701,192 | |||||
MORTGAGE-BACKED SECURITIES — 0.9% | ||||||
Bayview Commercial Asset Trust | ||||||
0.58%, 07/25/36 144A† | 235,881 | 147,889 | ||||
Countrywide Alternative Loan Trust | ||||||
0.58%, 07/20/35† | 468,496 | 261,290 | ||||
Countrywide Home Loan Mortgage Pass-Through Trust | ||||||
0.75%, 09/25/35 144A† | 507,308 | 407,263 |
See Notes to Financial Statements.
85
Table of Contents
GLOBAL BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||
Credit Suisse Mortgage Capital Certificates | ||||||
5.70%, 07/15/17 | $ | 220,000 | $ | 208,889 | ||
JPMorgan Chase Commercial Mortgage Securities Corporation | ||||||
5.42%, 01/15/38 | 80,000 | 78,181 | ||||
5.98%, 06/15/38 | 165,000 | 161,431 | ||||
MASTR Reperforming Loan Trust | ||||||
0.70%, 05/25/35 144A† | 604,725 | 488,342 | ||||
WAMU Mortgage Pass-Through Certificates | ||||||
1.38%, 09/25/46† | 511,311 | 290,404 | ||||
Total Mortgage-Backed Securities | 2,043,689 | |||||
U.S. TREASURY OBLIGATIONS — 5.3% | ||||||
U.S. Treasury Bonds | ||||||
3.50%, 02/15/39‡‡ | 3,500,000 | 3,251,721 | ||||
4.25%, 05/15/39D | 40,000 | 42,300 | ||||
4.63%, 02/15/40D | 4,700,000 | 5,283,829 | ||||
8,577,850 | ||||||
U.S. Treasury Notes | ||||||
4.50%, 04/30/12 | 30,000 | 32,176 | ||||
1.88%, 04/30/14D | 1,330,000 | 1,354,210 | ||||
2.63%, 07/31/14 | 50,000 | 52,254 | ||||
2.38%, 09/30/14 | 110,000 | 113,635 | ||||
4.50%, 05/15/17 | 920,000 | 1,046,788 | ||||
2.75%, 02/15/19D | 450,000 | 448,383 | ||||
3.38%, 11/15/19 | 40,000 | 41,434 | ||||
3.63%, 02/15/20D | 20,000 | 21,134 | ||||
3,110,014 | ||||||
Total U.S. Treasury Obligations | 11,687,864 | |||||
Shares | ||||||
COMMON STOCKS — 0.3% | ||||||
Consumer Discretionary — 0.0% | ||||||
Dex One CorporationD | 1,433 | 27,227 | ||||
Financial Services — 0.1% | ||||||
Charter Communications, Inc.D | 2,769 | 97,746 | ||||
Georgia Gulf Corporation | 6,177 | 82,401 | ||||
Supermedia, Inc.D | 146 | 2,670 | ||||
182,817 | ||||||
Healthcare — 0.2% | ||||||
Bristol-Myers Squibb Co. | 15,400 | 384,076 | ||||
Producer Durables — 0.0% | ||||||
Nortek, Inc.* | 179 | 8,145 | ||||
Total Common Stocks | 602,265 | |||||
FOREIGN COMMON STOCK — 0.0% | ||||||
Spain — 0.0% | ||||||
Repsol YPF SA ADR | 1,848 | 37,145 | ||||
PREFERRED STOCKS — 1.2% | ||||||
Bank of America Corporation CONV | 602 | 546,616 | ||||
Citigroup Capital XII | 13,800 | 344,862 | ||||
Citigroup, Inc. | 826 | 93,338 | ||||
CMP Susquehanna Radio Holdings Corporation@ | 1,493 | 1 |
El Paso Energy Capital Trust I CONV | 500 | 18,170 | ||||
Federal National Mortgage Association | 4,950 | 1,683 | ||||
Lucent Technologies Capital Trust I CONV | 1,891 | 1,370,029 | ||||
Preferred Blocker (GMAC), Inc. | 400 | 310,913 | ||||
Total Preferred Stocks | 2,685,612 | |||||
RIGHTS/WARRANTS — 0.0% | ||||||
Buffets Restaurants Holdings, Inc. | 89 | 1 | ||||
Charter Communications, Inc. | 110 | 440 | ||||
CMP Susquehanna Radio Holdings Corporation@ | 1,706 | — | ||||
Nortek, Inc.+@ | 184 | 1,932 | ||||
Total Rights/Warrants | 2,373 | |||||
MONEY MARKET FUNDS — 24.6% | ||||||
GuideStone Money Market Fund (GS4 Class)¥ | 19,637,120 | 19,637,120 | ||||
Northern Institutional Liquid Assets Portfolio§ | 35,100,002 | 35,100,002 | ||||
Total Money Market Funds | 54,737,122 | |||||
TOTAL INVESTMENTS — 113.3% | 251,771,287 | |||||
Liabilities in Excess of Other Assets — (13.3)% | (29,492,837 | ) | ||||
NET ASSETS — 100.0% | $ | 222,278,450 | ||||
Please see abbreviation and footnote definitions on page 127.
PORTFOLIO SUMMARY (based on net assets)
% | |||
Corporate Bonds | 46.6 | ||
Foreign Bonds | 32.7 | ||
Money Market Funds | 24.6 | ||
Futures Contracts | 5.4 | ||
U.S. Treasury Obligations | 5.3 | ||
Asset-Backed Securities | 1.7 | ||
Preferred Stocks | 1.2 | ||
Mortgage-Backed Securities | 0.9 | ||
Common Stocks | 0.3 | ||
Agency Obligation | — | ||
Foreign Common Stock | — | ||
Rights/Warrants | — | ||
Forward Foreign Currency Contracts | (2.1 | ) | |
116.6 | |||
** | Rounds to less than 0.005%. |
See Notes to Financial Statements.
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VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2010, in valuing the Fund’s assets carried at fair value:
Valuation Inputs | Investments in Securities | Other Financial Instruments*** | |||||
Assets: | |||||||
Level 1 — Quoted Prices | |||||||
Common Stocks | $ | 602,265 | $ | — | |||
Foreign Common Stock | 37,145 | — | |||||
Futures Contracts | — | (64,175 | ) | ||||
Money Market Funds | 54,737,122 | — | |||||
Preferred Stocks | 2,685,611 | — | |||||
Rights/Warrants | 2,372 | — | |||||
Level 2 — Other Significant Observable Inputs | |||||||
Agency Obligation | 3,000 | — | |||||
Asset-Backed Securities | 3,720,287 | — | |||||
Corporate Bonds | 103,550,738 | — | |||||
Foreign Bonds | 72,701,192 | — | |||||
Forward Foreign Currency Contracts | — | 1,035,644 | |||||
Mortgage-Backed Securities | 2,043,689 | — | |||||
Preferred Stock | 1 | — | |||||
Rights/Warrants | 1 | — | |||||
U.S. Treasury Obligations | 11,687,864 | — | |||||
Level 3 — Significant Unobservable Inputs | |||||||
Common Stocks | — | — | |||||
Total | $ | 251,771,287 | $ | 971,469 | |||
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:
Investments in Securities | Other Financial Instruments*** | ||||||
Balance, 12/31/09 | $ | 6,265 | $ | — | |||
Realized gain (loss) | — | — | |||||
Change in unrealized appreciation (depreciation) | 1,880 | — | |||||
Purchases | — | — | |||||
Sales | — | — | |||||
Transfers in and/or out of Level 3 | (8,145 | ) | — | ||||
Balance, 06/30/10 | $ | — | $ | — | |||
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
See Notes to Financial Statements.
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SCHEDULE OF INVESTMENTS | June 30, 2010 (Unaudited) |
Shares | Value | ||||
COMMON STOCKS — 98.2% | |||||
Consumer Discretionary — 11.5% | |||||
Amazon.com, Inc.* | 13,130 | $ | 1,434,584 | ||
Apollo Group, Inc. Class A* | 4,927 | 209,250 | |||
AutoNation, Inc.D* | 3,582 | 69,849 | |||
AutoZone, Inc.D* | 1,103 | 213,122 | |||
Avon Products, Inc. | 16,247 | 430,546 | |||
Bed Bath & Beyond, Inc.* | 10,174 | 377,252 | |||
Best Buy Co., Inc. | 13,184 | 446,410 | |||
Big Lots, Inc.* | 3,100 | 99,479 | |||
CarMax, Inc.* | 8,547 | 170,085 | |||
Carnival Corporation | 16,593 | 501,772 | |||
CBS Corporation Class B | 26,085 | 337,279 | |||
Coach, Inc. | 11,667 | 426,429 | |||
Comcast Corporation Class A | 108,319 | 1,881,501 | |||
Costco Wholesale Corporation | 16,842 | 923,447 | |||
Darden Restaurants, Inc. | 5,319 | 206,643 | |||
DeVry, Inc. | 2,317 | 121,619 | |||
DIRECTV Group, Inc. Class A* | 34,754 | 1,178,856 | |||
DR Horton, Inc.D | 10,934 | 107,481 | |||
Eastman Kodak Co.D | 9,900 | 42,966 | |||
eBay, Inc.* | 43,412 | 851,309 | |||
Estee Lauder Cos., Inc. (The) Class A | 4,582 | 255,355 | |||
Expedia, Inc.D | 8,039 | 150,972 | |||
Family Dollar Stores, Inc. | 5,214 | 196,516 | |||
Ford Motor Co.D* | 130,469 | 1,315,128 | |||
GameStop Corporation Class AD* | 5,655 | 106,257 | |||
Gannett Co., Inc. | 9,296 | 125,124 | |||
Gap, Inc. (The) | 17,133 | 333,408 | |||
Genuine Parts Co.D | 6,195 | 244,393 | |||
Goodyear Tire & Rubber Co. (The)* | 9,100 | 90,454 | |||
H&R Block, Inc. | 12,769 | 200,346 | |||
Harley-Davidson, Inc.D | 9,000 | 200,070 | |||
Harman International Industries, Inc. | 2,542 | 75,980 | |||
Hasbro, Inc. | 5,002 | 205,582 | |||
Home Depot, Inc. | 64,407 | 1,807,905 | |||
Interpublic Group of Companies, Inc.* | 18,334 | 130,721 | |||
Johnson Controls, Inc. | 25,911 | 696,229 | |||
Kohl’s Corporation* | 11,731 | 557,223 | |||
Leggett & Platt, Inc. | 5,822 | 116,789 | |||
Lennar Corporation Class AD | 6,175 | 85,894 | |||
Limited Brands, Inc. | 10,523 | 232,243 | |||
Lowe’s Cos., Inc. | 54,758 | 1,118,158 | |||
Macy’s, Inc. | 16,312 | 291,985 | |||
Marriott International, Inc. Class A | 9,896 | 296,286 | |||
Marriott International, Ltd. Placeholder Shares+ | 82,125 | — | |||
Mattel, Inc. | 13,933 | 294,822 | |||
McDonald’s Corporation | 41,153 | 2,710,748 | |||
McGraw-Hill Co., Inc. (The) | 12,085 | 340,072 | |||
Meredith CorporationD | 1,400 | 43,582 | |||
New York Times Co. (The) Class A | 4,400 | 38,060 | |||
Newell Rubbermaid, Inc. | 10,841 | 158,712 | |||
News Corporation | 86,393 | 1,033,260 | |||
NIKE, Inc. Class B | 14,919 | 1,007,778 | |||
Nordstrom, Inc. | 6,367 | 204,954 | |||
Office Depot, Inc.* | 10,500 | 42,420 | |||
Omnicom Group, Inc. | 11,849 | 406,421 | |||
O’Reilly Automotive, Inc.D* | 5,200 | 247,312 | |||
Penney (J.C.) Co., Inc. | 9,203 | 197,680 | |||
Polo Ralph Lauren Corporation | 2,234 | 162,993 | |||
Priceline.com, Inc.* | 1,818 | 320,950 | |||
Pulte Homes, Inc.D | 12,061 | 99,865 | |||
RadioShack Corporation | 4,590 | 89,551 | |||
Ross Stores, Inc.D | 4,629 | 246,679 | |||
Scripps Networks Interactive, Inc. | 3,400 | 137,156 | |||
Sears Holdings CorporationD* | 1,897 | 122,641 | |||
Snap-On, Inc. | 2,200 | 90,002 | |||
Stanley Black & Decker, Inc. | 6,071 | 306,707 | |||
Staples, Inc. | 28,181 | 536,848 | |||
Starbucks CorporationD | 28,782 | 699,403 | |||
Starwood Hotels & Resorts Worldwide, Inc.D | 7,348 | 304,428 | |||
Target Corporation | 28,185 | 1,385,856 | |||
Tiffany & Co. | 4,859 | 184,205 | |||
Time Warner Cable, Inc. | 13,610 | 708,809 | |||
Time Warner, Inc. | 43,519 | 1,258,134 | |||
TJX Cos., Inc. | 15,622 | 655,343 | |||
Urban Outfitters, Inc.D* | 5,029 | 172,947 | |||
VF Corporation | 3,311 | 235,677 | |||
Wal-Mart Stores, Inc. | 79,578 | 3,825,315 | |||
Walt Disney Co. (The) | 74,983 | 2,361,965 | |||
Washington Post Co. (The)D | 230 | 94,410 | |||
Western Union Co. (The) | 25,538 | 380,772 | |||
Whirlpool Corporation | 2,894 | 254,151 | |||
Wyndham Worldwide Corporation | 7,080 | 142,591 | |||
Yum! Brands, Inc. | 17,834 | 696,239 | |||
41,062,355 | |||||
Consumer Staples — 8.3% | |||||
Archer-Daniels-Midland Co. | 24,463 | 631,635 | |||
Campbell Soup Co. | 7,105 | 254,572 | |||
Clorox Co. | 5,334 | 331,561 | |||
Coca-Cola Co. (The) | 88,458 | 4,433,515 | |||
Coca-Cola Enterprises, Inc. | 12,282 | 317,613 | |||
Colgate-Palmolive Co. | 18,772 | 1,478,483 | |||
ConAgra Foods, Inc. | 17,000 | 396,440 | |||
CVS Caremark Corporation | 52,150 | 1,529,038 | |||
Dean Foods Co.* | 7,148 | 71,980 | |||
Dr Pepper Snapple Group, Inc. | 9,411 | 351,877 | |||
General Mills, Inc. | 25,525 | 906,648 | |||
Heinz (H.J.) Co. | 12,062 | 521,320 | |||
Hershey Co. (The)D | 6,454 | 309,340 | |||
Hormel Foods Corporation | 2,600 | 105,248 | |||
J.M. Smucker Co. (The) | 4,593 | 276,590 | |||
Kellogg Co. | 9,698 | 487,809 | |||
Kimberly-Clark Corporation | 15,938 | 966,321 | |||
Kraft Foods, Inc. Class A | 66,908 | 1,873,424 | |||
Kroger Co. (The) | 24,963 | 491,522 | |||
McCormick & Co., Inc. | 5,094 | 193,368 | |||
Mead Johnson Nutrition Co. | 7,810 | 391,437 | |||
PepsiCo, Inc. | 61,833 | 3,768,721 | |||
Procter & Gamble Co. (The) | 110,366 | 6,619,753 | |||
Safeway, Inc. | 14,836 | 291,676 | |||
Sara Lee Corporation | 25,621 | 361,256 | |||
SUPERVALU, Inc.D | 8,048 | 87,240 | |||
Sysco Corporation | 22,543 | 644,054 | |||
Tyson Foods, Inc. Class AD | 11,713 | 191,976 | |||
Walgreen Co. | 37,540 | 1,002,318 |
See Notes to Financial Statements.
88
Table of Contents
Shares | Value | ||||
Whole Foods Market, Inc.D* | 6,534 | $ | 235,355 | ||
29,522,090 | |||||
Energy — 10.9% | |||||
Anadarko Petroleum Corporation | 18,830 | 679,575 | |||
Apache Corporation | 12,893 | 1,085,462 | |||
Baker Hughes, Inc. | 16,436 | 683,245 | |||
Cabot Oil & Gas Corporation | 4,055 | 127,003 | |||
Cameron International Corporation* | 9,256 | 301,005 | |||
Chesapeake Energy Corporation | 25,043 | 524,651 | |||
Chevron Corporation | 76,947 | 5,221,623 | |||
ConocoPhillips | 56,983 | 2,797,295 | |||
Consol Energy, Inc. | 8,510 | 287,298 | |||
Denbury Resources, Inc.* | 15,164 | 222,001 | |||
Devon Energy Corporation | 17,169 | 1,045,935 | |||
Diamond Offshore Drilling, Inc.D | 2,669 | 165,985 | |||
El Paso Corporation | 27,251 | 302,759 | |||
EOG Resources, Inc. | 9,671 | 951,336 | |||
EQT Corporation | 5,592 | 202,095 | |||
Exterran Holdings, Inc.* | 13 | 336 | |||
Exxon Mobil Corporation | 195,798 | 11,174,221 | |||
First Solar, Inc.D* | 1,861 | 211,838 | |||
FMC Technologies, Inc.* | 4,700 | 247,502 | |||
Halliburton Co. | 34,629 | 850,142 | |||
Helmerich & Payne, Inc. | 4,047 | 147,796 | |||
Hess Corporation | 11,200 | 563,808 | |||
Marathon Oil Corporation | 27,192 | 845,399 | |||
Massey Energy Co. | 3,865 | 105,708 | |||
Murphy Oil Corporation | 7,397 | 366,521 | |||
Nabors Industries, Ltd.* | 10,833 | 190,877 | |||
National Oilwell Varco, Inc. | 16,134 | 533,551 | |||
Noble Energy, Inc. | 6,700 | 404,211 | |||
Occidental Petroleum Corporation | 31,147 | 2,402,991 | |||
Peabody Energy Corporation | 10,300 | 403,039 | |||
Pioneer Natural Resouces Co.D | 4,500 | 267,525 | |||
QEP Resources, Inc. | 6,694 | 206,376 | |||
Range Resources Corporation | 6,077 | 243,992 | |||
Rowan Cos., Inc. | 4,492 | 98,554 | |||
Schlumberger, Ltd. | 45,753 | 2,531,971 | |||
Smith International, Inc. | 9,587 | 360,951 | |||
Southwestern Energy Co.* | 13,222 | 510,898 | |||
Spectra Energy Corporation | 24,930 | 500,345 | |||
Sunoco, Inc. | 4,639 | 161,298 | |||
Tesoro CorporationD | 5,500 | 64,185 | |||
Valero Energy Corporation | 21,644 | 389,159 | |||
Williams Cos., Inc. (The) | 22,360 | 408,741 | |||
38,789,203 | |||||
Financial Services — 17.2% | |||||
Aflac, Inc. | 17,874 | 762,684 | |||
Allstate Corporation (The) | 20,480 | 588,390 | |||
American Express Co. | 46,106 | 1,830,408 | |||
American International Group, Inc.D* | 5,154 | 177,504 | |||
Ameriprise Financial, Inc. | 9,904 | 357,832 | |||
AON Corporation | 10,235 | 379,923 | |||
Apartment Investment & Management Co. Class A REITD | 4,439 | 85,983 | |||
Assurant, Inc. | 4,316 | 149,765 | |||
AvalonBay Communities, Inc. REIT | 3,187 | 297,570 | |||
Bank of America Corporation | 384,305 | 5,522,463 | |||
Bank of New York Mellon Corporation (The) | 46,502 | 1,148,134 | |||
BB&T Corporation | 26,475 | 696,557 | |||
Berkshire Hathaway, Inc.D* | 63,451 | 5,056,410 | |||
Boston Properties, Inc. REITD | 5,326 | 379,957 | |||
Capital One Financial Corporation | 17,456 | 703,477 | |||
CB Richard Ellis Group, Inc. Class A* | 10,527 | 143,272 | |||
Chubb Corporation | 12,593 | 629,776 | |||
Cincinnati Financial CorporationD | 6,369 | 164,766 | |||
Citigroup, Inc. | 865,710 | 3,255,070 | |||
CME Group, Inc. | 2,514 | 707,817 | |||
Comerica, Inc. | 6,671 | 245,693 | |||
Discover Financial Services | 20,853 | 291,525 | |||
Dun & Bradstreet Corporation | 1,864 | 125,112 | |||
E*TRADE Financial Corporation* | 7,586 | 89,667 | |||
Equifax, Inc. | 4,800 | 134,688 | |||
Equity Residential REITD | 10,841 | 451,419 | |||
Federated Investors, Inc. Class BD | 3,300 | 68,343 | |||
Fidelity National Information Services, Inc. | 12,776 | 342,652 | |||
Fifth Third Bancorp | 30,778 | 378,262 | |||
First Horizon National CorporationD* | 8,911 | 102,036 | |||
First Horizon National Corporation Placeholder Shares+ | 75,282 | — | |||
Fiserv, Inc.* | 5,902 | 269,485 | |||
Franklin Resources, Inc. | 5,670 | 488,697 | |||
Genworth Financial, Inc. Class A* | 18,665 | 243,952 | |||
Goldman Sachs Group, Inc. (The) | 19,719 | 2,588,513 | |||
Hartford Financial Services Group, Inc. | 17,002 | 376,254 | |||
HCP, Inc. REITD | 11,254 | 362,942 | |||
Health Care REIT, Inc. | 4,838 | 203,777 | |||
Host Hotels & Resorts, Inc. REIT | 24,948 | 336,299 | |||
Hudson City Bancorp, Inc. | 18,231 | 223,147 | |||
Huntington Bancshares, Inc. | 26,816 | 148,561 | |||
IntercontinentalExchange, Inc.* | 2,806 | 317,162 | |||
Invesco, Ltd.* | 18,100 | 304,623 | |||
Janus Capital Group, Inc. | 6,708 | 59,567 | |||
JPMorgan Chase & Co. | 152,415 | 5,579,913 | |||
KeyCorp | 33,338 | 256,369 | |||
Kimco Realty Corporation REIT | 15,710 | 211,142 | |||
Legg Mason, Inc.D | 6,280 | 176,028 | |||
Leucadia National Corporation | 7,210 | 140,667 | |||
Lincoln National Corporation | 11,515 | 279,699 | |||
Loews Corporation | 13,291 | 442,723 | |||
M&T Bank CorporationD | 3,155 | 268,017 | |||
Marsh & McLennan Cos., Inc. | 20,961 | 472,671 | |||
Marshall & Ilsley Corporation | 20,647 | 148,245 | |||
Mastercard, Inc. Class A | 3,719 | 742,052 | |||
MetLife, Inc. | 31,419 | 1,186,381 | |||
Moody’s CorporationD | 7,686 | 153,105 | |||
Morgan Stanley | 53,641 | 1,245,008 | |||
NASDAQ OMX Group, Inc. (The)* | 5,500 | 97,790 |
See Notes to Financial Statements.
89
Table of Contents
EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | ||||
Northern Trust CorporationD | 9,399 | $ | 438,933 | ||
NYSE Euronext | 9,903 | 273,620 | |||
People’s United Financial, Inc. | 14,202 | 191,727 | |||
Plum Creek Timber Co., Inc. REITD | 6,347 | 219,162 | |||
PNC Financial Services Group, Inc. | 20,152 | 1,138,588 | |||
Principal Financial Group, Inc. | 12,248 | 287,093 | |||
Progressive Corporation (The) | 25,441 | 476,256 | |||
ProLogis REIT | 18,390 | 186,291 | |||
Prudential Financial, Inc. | 17,908 | 960,943 | |||
Public Storage REIT | 5,230 | 459,769 | |||
Regions Financial Corporation | 45,394 | 298,693 | |||
Schwab (Charles) Corporation (The) | 37,651 | 533,891 | |||
Simon Property Group, Inc. REIT | 11,184 | 903,108 | |||
SLM Corporation* | 18,897 | 196,340 | |||
State Street Corporation | 19,192 | 649,073 | |||
SunTrust Banks, Inc. | 19,041 | 443,655 | |||
T. Rowe Price Group, Inc. | 9,911 | 439,949 | |||
Torchmark Corporation | 3,200 | 158,432 | |||
Total System Services, Inc.D | 7,432 | 101,075 | |||
Travelers Cos., Inc. (The) | 19,043 | 937,868 | |||
Unum Group | 12,793 | 277,608 | |||
US Bancorp | 73,456 | 1,641,742 | |||
Ventas, Inc. REITD | 5,969 | 280,245 | |||
Visa, Inc. | 17,332 | 1,226,239 | |||
Vornado Realty Trust REIT | 6,021 | 439,232 | |||
Wells Fargo & Co. | 199,608 | 5,109,965 | |||
XL Capital, Ltd. Class A* | 12,957 | 207,442 | |||
Zions BancorporationD | 6,257 | 134,964 | |||
61,201,847 | |||||
Healthcare — 12.1% | |||||
Abbott Laboratories | 59,163 | 2,767,645 | |||
Aetna, Inc. | 16,141 | 425,800 | |||
Allergan, Inc. | 11,725 | 683,098 | |||
AmerisourceBergen Corporation | 10,705 | 339,884 | |||
Amgen, Inc.* | 36,718 | �� | 1,931,367 | ||
Bard (C.R.), Inc. | 3,588 | 278,178 | |||
Baxter International, Inc. | 22,854 | 928,786 | |||
Becton Dickinson & Co. | 8,892 | 601,277 | |||
Biogen Idec, Inc.* | 10,340 | 490,633 | |||
Boston Scientific Corporation* | 58,200 | 337,560 | |||
Bristol-Myers Squibb Co. | 65,723 | 1,639,132 | |||
Cardinal Health, Inc. | 13,936 | 468,389 | |||
CareFusion Corporation* | 6,820 | 154,814 | |||
Celgene Corporation* | 17,615 | 895,194 | |||
Cephalon, Inc.D* | 2,844 | 161,397 | |||
Cerner Corporation* | 2,604 | 197,618 | |||
CIGNA Corporation | 10,702 | 332,404 | |||
Conventry Health Care, Inc.* | 5,578 | 98,619 | |||
DaVita, Inc.* | 3,913 | 244,328 | |||
DENTSPLY International, Inc. | 5,615 | 167,945 | |||
Eli Lilly & Co. | 38,929 | 1,304,121 | |||
Express Scripts, Inc.* | 21,050 | 989,771 | |||
Forest Laboratories, Inc.* | 11,789 | 323,372 | |||
Genzyme Corporation* | 10,138 | 514,706 | |||
Gilead Sciences, Inc.* | 34,103 | 1,169,051 | |||
Hospira, Inc.* | 6,360 | 365,382 | |||
Humana, Inc.* | 6,546 | 298,956 | |||
Intuitive Surgical, Inc.* | 1,495 | 471,852 | |||
Johnson & Johnson | 105,705 | 6,242,937 | |||
King Pharmaceuticals, Inc.* | 9,183 | 69,699 | |||
Laboratory Corporation of America HoldingsD* | 4,006 | 301,852 | |||
Life Technologies Corporation* | 6,947 | 328,246 | |||
McKesson Corporation | 10,407 | 698,934 | |||
Medco Health Solutions, Inc.* | 17,525 | 965,277 | |||
Medtronic, Inc. | 42,235 | 1,531,863 | |||
Merck & Co., Inc. | 119,486 | 4,178,425 | |||
Millipore Corporation* | 2,194 | 233,990 | |||
Mylan, Inc.D* | 11,971 | 203,986 | |||
Patterson Cos., Inc. | 3,732 | 106,474 | |||
PerkinElmer, Inc. | 4,400 | 90,948 | |||
Pfizer, Inc. | 308,765 | 4,402,989 | |||
Quest Diagnostics, Inc. | 5,779 | 287,621 | |||
St. Jude Medical, Inc.* | 12,445 | 449,140 | |||
Stryker Corporation | 10,848 | 543,051 | |||
Tenet Healthcare Corporation* | 17,431 | 75,650 | |||
Thermo Fisher Scientific, Inc.* | 15,654 | 767,829 | |||
UnitedHealth Group, Inc. | 43,545 | 1,236,678 | |||
Varian Medical Systems, Inc.* | 4,828 | 252,408 | |||
Watson Pharmaceuticals, Inc.* | 4,164 | 168,933 | |||
WellPoint, Inc.* | 16,361 | 800,544 | |||
Zimmer Holdings, Inc.* | 7,773 | 420,131 | |||
42,938,884 | |||||
Materials & Processing — 3.7% | |||||
Air Products & Chemicals, Inc. | 8,185 | 530,470 | |||
Airgas, Inc. | 3,136 | 195,059 | |||
AK Steel Holding CorporationD | 4,300 | 51,256 | |||
Alcoa, Inc.D | 38,960 | 391,938 | |||
Allegheny Technologies, Inc.D | 3,829 | 169,203 | |||
Ball Corporation | 3,543 | 187,177 | |||
Bemis Co., Inc. | 4,203 | 113,481 | |||
CF Industries Holdings, Inc. | 2,656 | 168,523 | |||
Cliffs Natural Resources, Inc. | 5,256 | 247,873 | |||
Dow Chemical Co. (The) | 44,236 | 1,049,278 | |||
Du Pont (E.I.) de Nemours & Co. | 34,645 | 1,198,371 | |||
Eastman Chemical Co. | 2,707 | 144,445 | |||
Ecolab, Inc. | 8,874 | 398,531 | |||
Fastenal Co.D | 5,073 | 254,614 | |||
FMC CorporationD | 2,800 | 160,804 | |||
Freeport-McMoRan Copper & Gold, Inc. | 18,053 | 1,067,474 | |||
International Flavors & Fragrances, Inc. | 3,128 | 132,690 | |||
International Paper Co. | 16,620 | 376,111 | |||
Masco Corporation | 13,629 | 146,648 | |||
MeadWestvaco Corporation | 6,330 | 140,526 | |||
Monsanto Co. | 20,897 | 965,859 | |||
Newmont Mining Corporation | 18,879 | 1,165,589 | |||
Nucor Corporation | 12,163 | 465,600 | |||
Owens-Illinois, Inc.* | 6,400 | 169,280 | |||
Pactiv Corporation* | 5,193 | 144,625 | |||
PPG Industries, Inc. | 6,402 | 386,745 | |||
Praxair, Inc. | 11,733 | 891,591 | |||
Precision Castparts Corporation | 5,470 | 562,972 | |||
Sealed Air CorporationD | 6,000 | 118,320 | |||
Sherwin-Williams Co. (The) | 3,596 | 248,807 | |||
Sigma-Aldrich Corporation | 4,568 | 227,623 | |||
Titanium Metals Corporation | 2,998 | 52,735 | |||
United States Steel CorporationD | 5,479 | 211,215 |
See Notes to Financial Statements.
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Shares | Value | ||||
Producer Durables — 10.7% | |||||
3M Co. | 27,351 | $ | 2,160,455 | ||
Agilent Technologies, Inc.D* | 13,245 | 376,555 | |||
Automatic Data Processing, Inc. | 19,229 | 774,160 | |||
Avery Dennison Corporation | 4,338 | 139,380 | |||
Boeing Co. (The) | 29,067 | 1,823,954 | |||
Caterpillar, Inc. | 24,056 | 1,445,044 | |||
CH Robinson Worldwide, Inc.D | 6,276 | 349,322 | |||
Cintas CorporationD | 5,000 | 119,850 | |||
CSX Corporation | 14,836 | 736,311 | |||
Cummins, Inc. | 7,639 | 497,528 | |||
Danaher CorporationD | 20,242 | 751,383 | |||
Deere & Co. | 16,191 | 901,515 | |||
Dover Corporation | 7,200 | 300,888 | |||
Eaton Corporation | 6,368 | 416,722 | |||
Emerson Electric Co. | 28,802 | 1,258,359 | |||
Expeditors International of Washington, Inc. | 8,200 | 282,982 | |||
FedEx Corporation | 12,030 | 843,423 | |||
FLIR Systems, Inc.* | 5,863 | 170,555 | |||
Flowserve Corporation | 2,131 | 180,709 | |||
Fluor Corporation | 6,762 | 287,385 | |||
General Dynamics Corporation | 14,847 | 869,440 | |||
General Electric Co. | 408,926 | 5,896,713 | |||
Goodrich Corporation | 4,879 | 323,234 | |||
Honeywell International, Inc. | 29,304 | 1,143,735 | |||
Illinois Tool Works, Inc. | 14,905 | 615,278 | |||
Iron Mountain, Inc. | 7,043 | 158,186 | |||
ITT Corporation | 7,009 | 314,844 | |||
Jacobs Engineering Group, Inc.* | 4,700 | 171,268 | |||
L-3 Communications Holdings, Inc. | 4,409 | 312,334 | |||
Lexmark International, Inc. Class A* | 3,117 | 102,955 | |||
Lockheed Martin Corporation | 11,916 | 887,742 | |||
Monster Worldwide, Inc.D* | 4,609 | 53,695 | |||
Norfolk Southern Corporation | 14,270 | 757,023 | |||
Northrop Grumman Corporation | 11,569 | 629,816 | |||
PACCAR, Inc. | 14,057 | 560,453 | |||
Pall Corporation | 4,407 | 151,469 | |||
Parker Hannifin Corporation | 6,133 | 340,136 | |||
Paychex, Inc.D | 12,360 | 320,989 | |||
Pitney Bowes, Inc.D | 7,781 | 170,871 | |||
Quanta Services, Inc.* | 8,271 | 170,796 | |||
Raytheon Co. | 14,512 | 702,236 | |||
Republic Services, Inc. | 12,469 | 370,703 | |||
Robert Half International, Inc.D | 5,800 | 136,590 | |||
Rockwell Automation, Inc. | 5,525 | 271,222 | |||
Rockwell Collins, Inc. | 6,013 | 319,471 | |||
Roper Industries, Inc. | 3,564 | 199,441 | |||
RR Donnelley & Sons Co. | 8,073 | 132,155 | |||
Ryder System, Inc. | 2,100 | 84,483 | |||
Southwest Airlines Co. | 28,570 | 317,413 | |||
Stericycle, Inc.D* | 3,223 | 211,364 | |||
Textron, Inc.D | 10,396 | 176,420 | |||
Union Pacific Corporation | 19,351 | 1,345,088 | |||
United Parcel Service, Inc. Class B | 37,903 | 2,156,302 | |||
United Technologies Corporation | 35,823 | 2,325,271 | |||
W.W. Grainger, Inc. | 2,389 | 237,586 | |||
Waste Management, Inc. | 18,610 | 582,307 | |||
Waters Corporation* | 3,547 | 229,491 | |||
Xerox Corporation | 52,589 | 422,816 | |||
37,987,816 | |||||
Technology — 17.3% | |||||
Adobe Systems, Inc.* | 20,316 | 536,952 | |||
Advanced Micro Devices, Inc.D* | 21,343 | 156,231 | |||
Akamai Technologies, Inc.D* | 6,481 | 262,934 | |||
Altera Corporation | 11,544 | 286,407 | |||
American Tower Corporation Class A* | 15,458 | 687,881 | |||
Amphenol Corporation Class A | 6,600 | 259,248 | |||
Analog Devices, Inc. | 11,278 | 314,205 | |||
Apple, Inc.* | 34,858 | 8,767,833 | |||
Applied Materials, Inc. | 51,487 | 618,874 | |||
Autodesk, Inc.* | 8,844 | 215,440 | |||
BMC Software, Inc.* | 6,833 | 236,627 | |||
Broadcom Corporation Class A | 16,654 | 549,082 | |||
CA, Inc. | 15,097 | 277,785 | |||
Cisco Systems, Inc.* | 218,987 | 4,666,613 | |||
Citrix Systems, Inc.* | 7,137 | 301,396 | |||
Cognizant Technology Solutions Corporation Class A* | 11,390 | 570,183 | |||
Computer Sciences Corporation | 5,889 | 266,477 | |||
Compuware Corporation* | 8,452 | 67,447 | |||
Corning, Inc. | 59,550 | 961,733 | |||
Dell, Inc.* | 65,977 | 795,683 | |||
Discovery Communications, Inc.D* | 10,873 | 388,275 | |||
Electronic Arts, Inc.* | 12,500 | 180,000 | |||
EMC Corporation* | 78,681 | 1,439,862 | |||
Google, Inc. Class A* | 9,276 | 4,127,356 | |||
Harris Corporation | 4,994 | 208,000 | |||
Hewlett-Packard Co. | 89,416 | 3,869,924 | |||
Intel Corporation | 213,233 | 4,147,382 | |||
International Business Machines Corporation | 49,147 | 6,068,672 | |||
Intuit, Inc.* | 11,954 | 415,641 | |||
Jabil Circuit, Inc. | 7,203 | 95,800 | |||
JDS Uniphase Corporation* | 8,475 | 83,394 | |||
Juniper Networks, Inc.* | 20,300 | 463,246 | |||
KLA-Tencor Corporation | 6,541 | 182,363 | |||
Linear Technology CorporationD | 8,436 | 234,605 | |||
LSI Corporation* | 25,978 | 119,499 | |||
McAfee, Inc.* | 6,054 | 185,979 | |||
MEMC Electronic Materials, Inc.D* | 8,500 | 83,980 | |||
Microchip Technology, Inc.D | 7,257 | 201,309 | |||
Micron Technology, Inc.* | 32,647 | 277,173 | |||
Microsoft Corporation | 291,914 | 6,716,941 | |||
Molex, Inc.D | 5,250 | 95,760 | |||
Motorola, Inc. | 89,683 | 584,733 | |||
National Semiconductor CorporationD | 9,020 | 121,409 | |||
NetApp, Inc.* | 13,271 | 495,141 | |||
Novell, Inc.* | 13,400 | 76,112 | |||
Novellus Systems, Inc.D* | 3,613 | 91,626 | |||
NVIDIA Corporation* | 22,007 | 224,691 |
See Notes to Financial Statements.
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EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | ||||||
Oracle Corporation | 149,988 | $ | 3,218,743 | ||||
QLogic CorporationD* | 4,213 | 70,020 | |||||
QUALCOMM, Inc. | 62,829 | 2,063,304 | |||||
Red Hat, Inc.* | 7,255 | 209,960 | |||||
SAIC, Inc.* | 10,973 | 183,688 | |||||
Salesforce.com, Inc.* | 4,332 | 371,772 | |||||
SanDisk Corporation* | 8,861 | 372,782 | |||||
Symantec Corporation* | 30,965 | 429,794 | |||||
Tellabs, Inc. | 15,000 | 95,850 | |||||
Teradata Corporation* | 6,355 | 193,700 | |||||
Teradyne, Inc.D* | 6,900 | 67,275 | |||||
Texas Instruments, Inc. | 46,910 | 1,092,065 | |||||
VeriSign, Inc.* | 7,084 | 188,080 | |||||
Western Digital Corporation* | 8,770 | 264,503 | |||||
Xilinx, Inc.D | 10,434 | 263,563 | |||||
Yahoo!, Inc.* | 45,292 | 626,388 | |||||
61,689,391 | |||||||
Utilities — 6.5% | |||||||
AES Corporation (The)* | 25,767 | 238,087 | |||||
Allegheny Energy, Inc. | 6,700 | 138,556 | |||||
Ameren Corporation | 8,971 | 213,241 | |||||
American Electric Power Co., Inc. | 18,274 | 590,250 | |||||
AT&T, Inc. | 226,372 | �� | 5,475,939 | ||||
Centerpoint Energy, Inc. | 16,064 | 211,402 | |||||
CenturyTel, Inc.D | 11,651 | 388,095 | |||||
CMS Energy CorporationD | 8,600 | 125,990 | |||||
Consolidated Edison, Inc. | 10,800 | 465,480 | |||||
Constellation Energy Group, Inc. | 7,724 | 249,099 | |||||
Dominion Resources, Inc. | 22,863 | 885,713 | |||||
DTE Energy Co. | 6,375 | 290,764 | |||||
Duke Energy Corporation | 49,984 | 799,744 | |||||
Edison International | 12,536 | 397,642 | |||||
Entergy Corporation | 7,211 | 516,452 | |||||
Exelon Corporation | 25,218 | 957,527 | |||||
FirstEnergy CorporationD | 11,741 | 413,635 | |||||
Frontier Communications CorporationD | 12,000 | 85,320 | |||||
Integrys Energy Group, Inc.D | 2,956 | 129,295 | |||||
MetroPCS Communications, Inc.* | 10,100 | 82,719 | |||||
NextEra Energy, Inc. | 15,966 | 778,502 | |||||
Nicor, Inc.D | 1,700 | 68,850 | |||||
NiSource, Inc. | 10,434 | 151,293 | |||||
Northeast Utilities | 6,805 | 173,391 | |||||
NRG Energy, Inc.D* | 9,862 | 209,173 | |||||
Oneok, Inc. | 4,046 | 174,990 | |||||
Pepco Holdings, Inc. | 8,533 | 133,797 | |||||
PG&E Corporation | 14,199 | 583,579 | |||||
Pinnacle West Capital Corporation | 4,148 | 150,821 | |||||
PPL Corporation | 17,950 | 447,853 | |||||
Progress Energy, Inc. | 11,008 | 431,734 | |||||
Public Service Enterprise Group, Inc. | 19,353 | 606,330 | |||||
Questar Corporation | 335 | 15,239 | |||||
Qwest Communications International, Inc.D | 56,393 | 296,063 | |||||
SCANA CorporationD | 4,397 | 157,237 | |||||
Sempra Energy | 9,397 | 439,686 | |||||
Southern Co. | 31,722 | 1,055,708 | |||||
Sprint Nextel Corporation* | 115,254 | 488,677 | |||||
TECO Energy, Inc. | 8,000 | 120,560 | |||||
Verizon Communications, Inc. | 108,246 | 3,033,053 | |||||
Windstream CorporationD | 18,507 | 195,434 | |||||
Wisconsin Energy Corporation | 4,519 | 229,294 | |||||
Xcel Energy Inc. | 17,586 | 362,447 | |||||
22,958,661 | |||||||
Total Common Stocks | 349,383,054 | ||||||
MONEY MARKET FUNDS — 7.5% | |||||||
GuideStone Money Market Fund (GS4 Class)¥ | 5,132,801 | 5,132,801 | |||||
Northern Institutional Liquid Assets Portfolio§ | 21,700,610 | 21,700,610 | |||||
Total Money Market Funds | 26,833,411 | ||||||
Par | |||||||
U.S. TREASURY OBLIGATION — 0.4% | |||||||
U.S. Treasury Bill | $ | 1,465,000 | 1,464,002 | ||||
TOTAL INVESTMENTS — 106.1% | 377,680,467 | ||||||
Liabilities in Excess of Other Assets — (6.1)% | (21,797,611 | ) | |||||
NET ASSETS — 100.0% | $ | 355,882,856 | |||||
Please see abbreviation and footnote definitions on page 127.
PORTFOLIO SUMMARY (based on net assets)
% | ||
Technology | 17.3 | |
Financial Services | 17.2 | |
Healthcare | 12.1 | |
Consumer Discretionary | 11.5 | |
Energy | 10.9 | |
Producer Durables | 10.7 | |
Consumer Staples | 8.3 | |
Money Market Funds | 7.5 | |
Utilities | 6.5 | |
Materials & Processing | 3.7 | |
Futures Contracts | 1.9 | |
U.S. Treasury Obligation | 0.4 | |
108.0 | ||
See Notes to Financial Statements.
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VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2010, in valuing the Fund’s assets carried at fair value:
Valuation Inputs | Investments in Securities | Other Financial Instruments*** | |||||
Level 1 — Quoted Prices Common Stocks | $ | 349,383,054 | $ | — | |||
Futures Contracts | — | (309,910 | ) | ||||
Money Market Funds | 26,833,411 | — | |||||
Level 2 — Other Significant Observable Inputs | |||||||
U.S. Treasury Obligation | 1,464,002 | — | |||||
Level 3 — Significant Unobservable Inputs | — | — | |||||
Total | $ | 377,680,467 | $ | (309,910 | ) | ||
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
See Notes to Financial Statements.
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SCHEDULE OF INVESTMENTS | June 30, 2010 (Unaudited) |
Shares | Value | ||||||
COMMON STOCKS — 96.5% | |||||||
Financial Services — 96.5% | |||||||
American Campus Communities, Inc. REIT | 91,750 | $ | 2,503,858 | ||||
AvalonBay Communities, Inc. REIT | 73,985 | 6,907,980 | |||||
Boston Properties, Inc. REITD | 81,292 | 5,799,371 | |||||
Brandywine Realty Trust REITD | 261,000 | 2,805,750 | |||||
BRE Properties, Inc. REITD | 62,300 | 2,300,739 | |||||
Camden Property Trust REITD | 26,500 | 1,082,525 | |||||
Cogdell Spencer, Inc. REITD | 133,100 | 899,756 | |||||
Developers Diversified Realty Corporation REIT | 147,400 | 1,459,260 | |||||
Digital Realty Trust, Inc. REITD | 112,250 | 6,474,580 | |||||
Duke Realty Corporation REIT | 99,600 | 1,130,460 | |||||
Equity Residential REITD | 140,050 | 5,831,682 | |||||
Extra Space Storage, Inc. REITD | 91,600 | 1,273,240 | |||||
Glimcher Realty Trust REIT | 119,200 | 712,816 | |||||
HCP, Inc. REITD | 99,450 | 3,207,262 | |||||
Health Care REIT, Inc.D | 40,050 | 1,686,906 | |||||
Home Properties, Inc. REIT | 74,250 | 3,346,448 | |||||
Host Hotels & Resorts, Inc. REITD | 518,690 | 6,991,941 | |||||
HRPT Properties Trust REITD | 295,400 | 1,834,434 | |||||
Hudson Pacific Properties, Inc. REIT | 24,600 | 424,350 | |||||
Kimco Realty Corporation REITD | 299,950 | 4,031,328 | |||||
LaSalle Hotel Properties REITD | 55,200 | 1,135,464 | |||||
LTC Properties, Inc. REITD | 9,450 | 229,352 | |||||
Macerich Co. (The) REITD | 80,800 | 3,015,456 | |||||
Medical Properties Trust, Inc. REIT | 98,300 | 927,952 | |||||
Nationwide Health Properties, Inc. REIT | 87,610 | 3,133,810 | |||||
Pebblebrook Hotel Trust REITD | 32,000 | 603,200 | |||||
Post Properties, Inc. REITD | 112,950 | 2,567,354 | |||||
ProLogis REITD | 335,650 | 3,400,134 | |||||
PS Business Parks, Inc. REITD | 29,250 | 1,631,565 | |||||
Public Storage REITD | 101,680 | 8,938,689 | |||||
Ramco-Gershenson Properties Trust REITD | 102,700 | 1,037,270 | |||||
Regency Centers Corporation REITD | 107,800 | 3,708,320 | |||||
Senior Housing Properties Trust REIT | 208,885 | 4,200,677 | |||||
Simon Property Group, Inc. REITD | 192,600 | 15,552,450 | |||||
SL Green Realty Corporation REITD | 102,500 | 5,641,600 | |||||
Strategic Hotels & Resorts, Inc. REIT | 178,500 | 783,615 | |||||
Taubman Centers, Inc. REITD | 25,650 | 965,209 | |||||
Vornado Realty Trust REITD | 46,856 | 3,418,145 | |||||
Washington Real Estate Investment Trust REIT | 114,600 | 3,161,814 | |||||
Total Common Stocks | 124,756,762 | ||||||
MONEY MARKET FUNDS — 35.3% | |||||||
GuideStone Money Market Fund (GS4 Class)¥ | 5,713,710 | 5,713,710 | |||||
Northern Institutional Liquid Assets Portfolio§ | 39,867,582 | 39,867,582 | |||||
Total Money Market Funds | 45,581,292 | ||||||
Par | |||||||
U.S. TREASURY OBLIGATIONS — 0.5% | |||||||
U.S. Treasury Bills | |||||||
0.20%, 11/18/10‡‡ | $ | 460,000 | 459,687 | ||||
0.21%, 11/18/10‡‡ | 5,000 | 4,996 | |||||
0.22%, 11/18/10‡‡ | 10,000 | 9,993 | |||||
0.23%, 11/18/10‡‡ | 200,000 | 199,864 | |||||
Total U.S. Treasury Obligations | 674,540 | ||||||
TOTAL INVESTMENTS — 132.3% | 171,012,594 | ||||||
Liabilities in Excess of Other Assets — (32.3)% | (41,780,071 | ) | |||||
NET ASSETS — 100.0% | $ | 129,232,523 | |||||
Please see abbreviation and footnote definitions on page 127.
PORTFOLIO SUMMARY (based on net assets) | ||
% | ||
Financial Services | 96.5 | |
Money Market Funds | 35.3 | |
Futures Contracts | 4.7 | |
U.S. Treasury Obligations | 0.5 | |
137.0 | ||
See Notes to Financial Statements.
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VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2010, in valuing the Fund’s assets carried at fair value:
Valuation Inputs | Investments in Securities | Other Financial Instruments*** | |||||
Level 1 — Quoted Prices | |||||||
Common Stocks | $ | 124,756,762 | $ | — | |||
Futures Contracts | — | (283,678 | ) | ||||
Money Market Funds | 45,581,292 | — | |||||
Level 2 — Other Significant Observable Inputs | |||||||
U.S. Treasury Obligations | 674,540 | — | |||||
Level 3 — Significant Unobservable Inputs | — | — | |||||
Total | $ | 171,012,594 | $ | (283,678 | ) | ||
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
See Notes to Financial Statements.
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SCHEDULE OF INVESTMENTS | June 30, 2010 (Unaudited) |
Shares | Value | ||||
COMMON STOCKS — 94.2% | |||||
Consumer Discretionary — 10.9% | |||||
Apollo Group, Inc. Class A* | 45,800 | $ | 1,945,126 | ||
AutoZone, Inc.D* | 6,800 | 1,313,896 | |||
Best Buy Co., Inc. | 72,700 | 2,461,622 | |||
BJ’s Wholesale Club, Inc.D* | 32,700 | 1,210,227 | |||
Carnival Corporation | 304,797 | 9,217,061 | |||
CBS Corporation Class BD | 214,100 | 2,768,313 | |||
Coach, Inc. | 78,700 | 2,876,485 | |||
Comcast Corporation Class A | 642,947 | 11,167,989 | |||
Deckers Outdoor Corporation* | 10,300 | 1,471,561 | |||
DIRECTV Group, Inc. Class A* | 91,600 | 3,107,072 | |||
eBay, Inc.* | 33,910 | 664,975 | |||
Fossil, Inc.D* | 34,900 | 1,211,030 | |||
Gannett Co., Inc.D | 155,600 | 2,094,376 | |||
Gap, Inc. (The) | 407,400 | 7,928,004 | |||
Home Depot, Inc.D | 488,400 | 13,709,388 | |||
ITT Educational Services, Inc.D* | 23,300 | 1,934,366 | |||
Johnson Controls, Inc. | 1,865 | 50,113 | |||
Kohl’s Corporation* | 3,771 | 179,123 | |||
Lennar Corporation Class AD | 296,351 | 4,122,242 | |||
Lowe’s Cos., Inc. | 16,296 | 332,764 | |||
McDonald’s Corporation | 136,000 | 8,958,320 | |||
Netflix, Inc.D* | 11,200 | 1,216,880 | |||
News Corporation | 85,977 | 1,028,285 | |||
Omnicom Group, Inc. | 2,835 | 97,240 | |||
PetSmart, Inc. | 45,200 | 1,363,684 | |||
Stanley Black & Decker, Inc. | 155,100 | 7,835,652 | |||
Thomson Reuters CorporationD | 12,034 | 431,178 | |||
Time Warner Cable, Inc. | 16,871 | 878,642 | |||
Time Warner, Inc. | 495,161 | 14,315,105 | |||
Wal-Mart Stores, Inc. | 80,902 | 3,888,959 | |||
Walt Disney Co. (The) | 94,292 | 2,970,198 | |||
Whirlpool CorporationD | 19,400 | 1,703,708 | |||
114,453,584 | |||||
Consumer Staples — 6.4% | |||||
Archer-Daniels-Midland Co. | 30,583 | 789,653 | |||
Coca-Cola Co. (The) | 25,943 | 1,300,263 | |||
Colgate-Palmolive Co. | 3,803 | 299,524 | |||
CVS Caremark Corporation | 263,658 | 7,730,453 | |||
General Mills, Inc. | 12,772 | 453,661 | |||
Herbalife, Ltd.D* | 62,200 | 2,864,310 | |||
Kellogg Co. | 1,292 | 64,988 | |||
Kimberly-Clark Corporation | 113,390 | 6,874,836 | |||
Kraft Foods, Inc. Class A | 338,585 | 9,480,380 | |||
Kroger Co. (The) | 180,623 | 3,556,467 | |||
PepsiCo, Inc. | 33,004 | 2,011,594 | |||
Procter & Gamble Co. (The) | 288,278 | 17,290,914 | |||
Safeway, Inc. | 168,300 | 3,308,778 | |||
Sara Lee Corporation | 199,300 | 2,810,130 | |||
Sysco CorporationD | 208,100 | 5,945,417 | |||
Tyson Foods, Inc. Class A | 154,900 | 2,538,811 | |||
Walgreen Co. | 4,121 | 110,031 | |||
67,430,210 | |||||
Energy — 10.8% | |||||
Anadarko Petroleum Corporation | 83,107 | 2,999,332 | |||
Apache Corporation | 16,093 | 1,354,870 | |||
Baker Hughes, Inc. | 128,211 | 5,329,731 | |||
BP PLC ADR | 105,600 | 3,049,728 | |||
Chesapeake Energy Corporation | 31,814 | 666,503 | |||
Chevron Corporation | 371,386 | 25,202,254 | |||
ConocoPhillips | 348,392 | 17,102,563 | |||
Devon Energy Corporation | 110,008 | 6,701,687 | |||
Exxon Mobil Corporation | 88,673 | 5,060,558 | |||
Hess Corporation | 86,222 | 4,340,416 | |||
Marathon Oil Corporation | 384,338 | 11,949,068 | |||
Murphy Oil Corporation | 63,200 | 3,131,560 | |||
National Oilwell Varco, Inc. | 20,384 | 674,099 | |||
Occidental Petroleum Corporation | 166,368 | 12,835,291 | |||
Oil States International, Inc.* | 58,300 | 2,307,514 | |||
Spectra Energy Corporation | 267,450 | 5,367,722 | |||
Sunoco, Inc. | 60,100 | 2,089,677 | |||
Valero Energy Corporation | 165,700 | 2,979,286 | |||
Williams Cos., Inc. (The) | 16,458 | 300,852 | |||
113,442,711 | |||||
Financial Services — 22.1% | |||||
Aflac, Inc. | 37,659 | 1,606,910 | |||
Allstate Corporation (The)D | 312,462 | 8,977,033 | |||
American Express Co. | 297,200 | 11,798,840 | |||
American Financial Group, Inc. | 106,700 | 2,915,044 | |||
Ameriprise Financial, Inc. | 153,100 | 5,531,503 | |||
Arch Capital Group, Ltd.* | 18,200 | 1,355,900 | |||
Assurant, Inc. | 65,100 | 2,258,970 | |||
AXIS Capital Holdings, Ltd.* | 93,400 | 2,775,848 | |||
Bank of America Corporation | 1,233,265 | 17,722,018 | |||
Bank of New York Mellon Corporation (The) | 57,924 | 1,430,144 | |||
BB&T CorporationD | 33,437 | 879,727 | |||
Berkshire Hathaway, Inc.D* | 83,177 | 6,628,375 | |||
BlackRock, Inc.D | 1,037 | 148,706 | |||
BOK Financial Corporation | 26,700 | 1,267,449 | |||
Capital One Financial Corporation | 347,957 | 14,022,667 | |||
Chubb Corporation | 104,209 | 5,211,492 | |||
Citigroup, Inc.D | 2,004,269 | 7,536,051 | |||
CME Group, Inc. | 7,592 | 2,137,528 | |||
Endurance Specialty Holdings, Ltd.D* | 84,700 | 3,178,791 | |||
Franklin Resources, Inc. | 39,000 | 3,361,410 | |||
Goldman Sachs Group, Inc. (The) | 35,204 | 4,621,229 | |||
Hudson City Bancorp, Inc. | 224,500 | 2,747,880 | |||
Jones Lang LaSalle, Inc.D | 38,700 | 2,540,268 | |||
JPMorgan Chase & Co. | 934,098 | 34,197,328 | |||
Loews Corporation | 15,077 | 502,215 | |||
MBIA, Inc.D* | 396,300 | 2,223,243 | |||
MetLife, Inc. | 19,275 | 727,824 | |||
Morgan Stanley | 267,857 | 6,216,961 | |||
Northern Trust Corporation | 6,942 | 324,191 | |||
NYSE Euronext | 80,500 | 2,224,215 | |||
PNC Financial Services Group, Inc.D | 25,297 | 1,429,280 | |||
Progressive Corporation (The) | 86,400 | 1,617,408 | |||
Prudential Financial, Inc. | 22,124 | 1,187,174 | |||
Public Storage REIT | 630 | 55,383 | |||
RenaissanceRe Holdings, Ltd.D* | 51,600 | 2,903,532 | |||
SEI Investments Co. | 53,400 | 1,087,224 | |||
Simon Property Group, Inc. REITD | 4,293 | 346,660 | |||
SLM CorporationD* | 487,100 | 5,060,969 | |||
State Street Corporation | 252,272 | 8,531,839 | |||
T. Rowe Price Group, Inc.D | 57,700 | 2,561,303 |
See Notes to Financial Statements.
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Shares | Value | ||||
Taubman Centers, Inc. REITD | 59,100 | $ | 2,223,933 | ||
Torchmark CorporationD | 57,200 | 2,831,972 | |||
Travelers Cos., Inc. (The) | 302,779 | 14,911,866 | |||
Unum Group | 64,900 | 1,408,330 | |||
US Bancorp | 92,451 | 2,066,280 | |||
Wells Fargo & Co. | 952,986 | 24,396,442 | |||
XL Capital, Ltd. Class AD* | 148,400 | 2,375,884 | |||
232,065,239 | |||||
Healthcare — 13.6% | |||||
Abbott Laboratories | 7,196 | 336,629 | |||
Aetna, Inc. | 65,904 | 1,738,547 | |||
AmerisourceBergen | |||||
CorporationD | 90,500 | 2,873,375 | |||
Amgen, Inc.* | 140,136 | 7,371,154 | |||
Baxter International, Inc. | 4,743 | 192,756 | |||
Biogen Idec, Inc.D* | 56,408 | 2,676,560 | |||
Bristol-Myers Squibb Co. | 578,382 | 14,424,847 | |||
Cardinal Health, Inc. | 212,313 | 7,135,840 | |||
Eli Lilly & Co. | 37,977 | 1,272,229 | |||
Forest Laboratories, Inc.* | 52,500 | 1,440,075 | |||
Genzyme Corporation* | 47,748 | 2,424,166 | |||
Gilead Sciences, Inc.* | 40,800 | 1,398,624 | |||
Health Net, Inc.* | 105,800 | 2,578,346 | |||
Hologic, Inc.* | 300,350 | 4,183,875 | |||
Humana, Inc.* | 31,200 | 1,424,904 | |||
Johnson & Johnson | 397,328 | 23,466,192 | |||
McKesson Corporation | 7,340 | 492,954 | |||
Medtronic, Inc. | 105,219 | 3,816,293 | |||
Merck & Co., Inc. | 149,837 | 5,239,800 | |||
Pfizer, Inc. | 1,462,430 | 20,854,252 | |||
Tenet Healthcare Corporation* | 706,300 | 3,065,342 | |||
Thermo Fisher | |||||
Scientific, Inc.* | 19,549 | 958,878 | |||
UnitedHealth Group, Inc. | 513,225 | 14,575,590 | |||
Watson Pharmaceuticals, Inc.* | 163,700 | 6,641,309 | |||
WellPoint, Inc.* | 251,002 | 12,281,528 | |||
Zimmer Holdings, Inc.* | 9,912 | 535,744 | |||
143,399,809 | |||||
Materials & Processing — 3.3% | |||||
Alcoa, Inc.D | 407,864 | 4,103,112 | |||
Ashland, Inc. | 25,100 | 1,165,142 | |||
Cabot CorporationD | 51,800 | 1,248,898 | |||
Dow Chemical Co. (The) | 55,825 | 1,324,169 | |||
Du Pont (E.I.) de Nemours & Co. | 246,529 | 8,527,438 | |||
Eastman Chemical Co. | 42,600 | 2,273,136 | |||
Lubrizol Corporation | 26,100 | 2,096,091 | |||
MeadWestvaco Corporation | 199,000 | 4,417,800 | |||
Nucor Corporation | 8,555 | 327,485 | |||
Owens CorningD* | 72,800 | 2,177,448 | |||
Southern Copper CorporationD | 102,200 | 2,712,388 | |||
United States Steel CorporationD | 99,800 | 3,847,290 | |||
34,220,397 | |||||
Producer Durables — 10.1% | |||||
3M Co. | 36,900 | 2,914,731 | |||
Boeing Co. (The) | 6,862 | 430,591 | |||
CSX Corporation | 18,529 | 919,594 | |||
Danaher CorporationD | 1,921 | 71,308 | |||
Deere & Co. | 1,141 | 63,531 | |||
Emerson Electric Co. | 154,700 | 6,758,843 | |||
FedEx Corporation | 33,888 | 2,375,888 | |||
Gardner Denver, Inc.D | 45,200 | 2,015,468 | |||
General Dynamics Corporation | 42,947 | 2,514,976 | |||
General Electric Co. | 1,306,281 | 18,836,572 | |||
Honeywell International, Inc. | 422,200 | 16,478,466 | |||
Illinois Tool Works, Inc. | 222,800 | 9,197,184 | |||
KBR, Inc. | 98,000 | 1,993,320 | |||
L-3 Communications Holdings, Inc.D | 28,900 | 2,047,276 | |||
Lockheed Martin Corporation | 3,148 | 234,526 | |||
Norfolk Southern Corporation | 17,606 | 933,998 | |||
Northrop Grumman Corporation | 154,224 | 8,395,955 | |||
Oshkosh Corporation | 79,800 | 2,486,568 | |||
Paychex, Inc.D | 108,500 | 2,817,745 | |||
Raytheon Co. | 229,998 | 11,129,603 | |||
Ryder System, Inc. | 31,600 | 1,271,268 | |||
Terex Corporation* | 117,700 | 2,205,698 | |||
Textron, Inc.D | 242,900 | 4,122,013 | |||
Union Pacific Corporation | 21,488 | 1,493,631 | |||
United Technologies Corporation | 3,841 | 249,319 | |||
Waste Management, Inc.D | 125,374 | 3,922,952 | |||
105,881,024 | |||||
Technology — 8.3% | |||||
Activision Blizzard, Inc. | 18,128 | 190,163 | |||
Applied Materials, Inc. | 508,100 | 6,107,362 | |||
Avnet, Inc.* | 58,500 | 1,410,435 | |||
CA, Inc. | 147,200 | 2,708,480 | |||
Corning, Inc. | 64,988 | 1,049,556 | |||
Dell, Inc.* | 347,900 | 4,195,674 | |||
Harris Corporation | 28,700 | 1,195,355 | |||
Hewlett-Packard Co. | 125,400 | 5,427,312 | |||
Ingram Micro, Inc. Class A* | 93,900 | 1,426,341 | |||
Intel Corporation | 800,333 | 15,566,477 | |||
International Business Machines Corporation | 153,700 | 18,978,876 | |||
Microsoft Corporation | 476,723 | 10,969,396 | |||
Motorola, Inc. | 722,012 | 4,707,518 | |||
Nokia Corporation ADRD | 328,800 | 2,679,720 | |||
Symantec Corporation* | 202,588 | 2,811,921 | |||
Texas Instruments, Inc. | 168,584 | 3,924,636 | |||
Yahoo!, Inc.* | 319,561 | 4,419,529 | |||
87,768,751 | |||||
Utilities — 8.7% | |||||
Alliant Energy Corporation | 50,700 | 1,609,218 | |||
American Electric Power Co., Inc. | 194,870 | 6,294,301 | |||
AT&T, Inc. | 1,301,531 | 31,484,035 | |||
Constellation Energy Group, Inc. | 42,700 | 1,377,075 | |||
Dominion Resources, Inc. | 128,048 | 4,960,580 | |||
DTE Energy Co.D | 30,200 | 1,377,422 | |||
Duke Energy Corporation | 63,000 | 1,008,000 | |||
Edison International | 111,500 | 3,536,780 | |||
Energen Corporation | 29,300 | 1,298,869 | |||
Entergy CorporationD | 120,840 | 8,654,561 | |||
Exelon Corporation | 64,988 | 2,467,594 | |||
Mirant Corporation* | 199,100 | 2,102,496 | |||
NextEra Energy, Inc. | 19,778 | 964,375 | |||
NV Energy, Inc. | 208,000 | 2,456,480 | |||
PG&E Corporation | 18,000 | 739,800 | |||
Progress Energy, Inc. Contingent Value Obligation+* | 3,100 | 1,209 |
See notes to Financial Statements.
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VALUE EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | ||||||
Public Service Enterprise Group, Inc. | 137,139 | $ | 4,296,565 | ||||
Qwest Communications International, Inc.D | 401,200 | 2,106,300 | |||||
Southern Co.D | 39,297 | 1,307,804 | |||||
Sprint Nextel Corporation* | 143,105 | 606,765 | |||||
Verizon Communications, Inc. | 477,393 | 13,376,552 | |||||
92,026,781 | |||||||
Total Common Stocks (Cost $1,167,377,108) | 990,688,506 | ||||||
FOREIGN COMMON STOCKS — 3.2% | |||||||
Canada — 0.3% | |||||||
BCE, Inc.D | 90,900 | 2,660,643 | |||||
Panama — 0.1% | |||||||
Copa Holdings SA Class A* | 27,300 | 1,207,206 | |||||
Peru — 0.3% | |||||||
Credicorp, Ltd.* | 36,300 | 3,299,307 | |||||
Singapore — 0.5% | |||||||
Flextronics International, Ltd.* | 1,011,138 | 5,662,373 | |||||
Switzerland — 1.5% | |||||||
Ace, Ltd.* | 49,269 | 2,536,368 | |||||
Tyco Electronics, Ltd.* | 268,675 | 6,818,972 | |||||
Tyco International, Ltd.* | 187,441 | 6,603,546 | |||||
15,958,886 | |||||||
United Kingdom — 0.5% | |||||||
Ensco International PLC | 124,000 | 4,870,720 | |||||
Total Foreign Common Stocks | |||||||
(Cost $38,243,660) | 33,659,135 | ||||||
MONEY MARKET FUNDS — 9.1% | |||||||
GuideStone Money Market Fund (GS4 Class)¥ | 26,816,462 | 26,816,462 | |||||
Northern Institutional Liquid Assets Portfolio§ | 69,117,187 | 69,117,187 | |||||
Total Money Market Funds (Cost $95,933,649) | 95,933,649 | ||||||
Par | |||||||
U.S. TREASURY OBLIGATIONS — 0.4% | |||||||
U.S. Treasury Bills | |||||||
0.20%, 11/18/10‡‡ | $ | 390,000 | 389,734 | ||||
0.20%, 11/18/10‡‡ | 3,530,000 | 3,527,596 | |||||
0.20%, 11/18/10‡‡ | 560,000 | 559,619 | |||||
Total U.S. Treasury Obligations (Cost $4,476,511) | 4,476,949 | ||||||
TOTAL INVESTMENTS — 106.9% (Cost $1,306,030,928) | 1,124,758,239 | ||||||
Liabilities in Excess of Other Assets — (6.9)% | (72,696,486 | ) | |||||
Net Assets — 100.0% | $ | 1,052,061,753 | |||||
Please see abbreviation and footnote definitions on page 127.
PORTFOLIO SUMMARY (based on net assets)
% | ||
Financial Services | 22.1 | |
Healthcare | 13.6 | |
Consumer Discretionary | 10.9 | |
Energy | 10.8 | |
Producer Durables | 10.1 | |
Money Market Funds | 9.1 | |
Utilities | 8.7 | |
Technology | 8.3 | |
Consumer Staples | 6.4 | |
Materials & Processing | 3.3 | |
Foreign Common Stocks | 3.2 | |
Futures Contracts | 3.1 | |
U.S. Treasury Obligations | 0.4 | |
110.0 | ||
See notes to Financial Statements.
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VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2010, in valuing the Fund’s assets carried at fair value:
Valuation Inputs | Investments in Securities | Other Financial Instruments*** | |||||
Level 1 — Quoted Prices | |||||||
Common Stocks | $ | 990,687,297 | $ | — | |||
Foreign Common Stocks | 33,659,135 | — | |||||
Futures Contracts | (1,502,598 | ) | |||||
Money Market Funds | 95,933,649 | — | |||||
Level 2 — Other Significant Observable Inputs | |||||||
U.S. Treasury Obligations | 4,476,949 | — | |||||
Level 3 — Significant Unobservable Inputs | |||||||
Common Stocks | 1,209 | — | |||||
Total | $ | 1,124,758,239 | $ | (1,502,598 | ) | ||
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:
Investments in Securities | Other Financial Instruments*** | |||||
Balance, 12/31/09 | ||||||
Common Stocks | $ | 1,209 | $ | — | ||
Accrued discounts/premiums | ||||||
Common Stocks | — | — | ||||
Realized gain (loss) | ||||||
Common Stocks | ||||||
Changed in unrealized appreciation (depreciation) | — | — | ||||
Common Stocks | — | — | ||||
Net purchases (sales) | ||||||
Common Stocks | — | — | ||||
Transfers in and/or out of Level 3 | ||||||
Common Stocks | — | — | ||||
Balance, 06/30/10 | $ | 1,209 | $ | — | ||
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
See Notes to Financial Statements.
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SCHEDULE OF INVESTMENTS | June 30, 2010 (Unaudited) |
Shares | Value | ||||
COMMON STOCKS — 89.7% | |||||
Consumer Discretionary — 17.4% | |||||
Amazon.com, Inc.D* | 335,297 | $ | 36,634,550 | ||
Avon Products, Inc. | 60,350 | 1,599,275 | |||
Bed Bath & Beyond, Inc.* | 122,900 | 4,557,132 | |||
Best Buy Co., Inc. | 108,900 | 3,687,354 | |||
Coach, Inc. | 15,190 | 555,194 | |||
Costco Wholesale Corporation | 37,470 | 2,054,480 | |||
Darden Restaurants, Inc. | 40,740 | 1,582,749 | |||
DeVry, Inc. | 32,790 | 1,721,147 | |||
DIRECTV Group, Inc. Class A* | 180,892 | 6,135,857 | |||
Dreamworks Animation SKG, Inc. Class AD* | 20,240 | 577,852 | |||
Estee Lauder Cos., Inc. (The) Class AD | 99,756 | 5,559,402 | |||
Ford Motor Co.D* | 668,694 | 6,740,436 | |||
Home Depot, Inc. | 328,401 | 9,218,216 | |||
Kohl’s Corporation* | 165,990 | 7,884,525 | |||
Limited Brands, Inc. | 104,720 | 2,311,170 | |||
Lowe’s Cos., Inc. | 89,030 | 1,817,993 | |||
Marriott International, Inc. Class A | 214,750 | 6,429,615 | |||
McDonald’s Corporation | 217,873 | 14,351,295 | |||
NIKE, Inc. Class B | 291,150 | 19,667,182 | |||
Nordstrom, Inc. | 80,482 | 2,590,716 | |||
Priceline.com, Inc.* | 51,510 | 9,093,575 | |||
Staples, Inc. | 309,300 | 5,892,165 | |||
Starbucks CorporationD | 496,300 | 12,060,090 | |||
Starwood Hotels & Resorts Worldwide, Inc.D | 97,600 | 4,043,568 | |||
Target Corporation | 92,750 | 4,560,518 | |||
Tiffany & Co.D | 137,681 | 5,219,487 | |||
TJX Cos., Inc. | 46,699 | 1,959,023 | |||
Wal-Mart Stores, Inc. | 46,450 | 2,232,851 | |||
Walt Disney Co. (The) | 360,031 | 11,340,976 | |||
192,078,393 | |||||
Consumer Staples — 3.1% | |||||
Church & Dwight Co., Inc.D | 52,690 | 3,304,190 | |||
Colgate-Palmolive Co. | 57,020 | 4,490,895 | |||
General Mills, Inc. | 134,160 | 4,765,363 | |||
J.M. Smucker Co. (The) | 38,650 | 2,327,503 | |||
PepsiCo, Inc. | 172,840 | 10,534,598 | |||
Procter & Gamble Co. (The) | 82,600 | 4,954,348 | |||
Whole Foods Market, Inc.D* | 121,900 | 4,390,838 | |||
34,767,735 | |||||
Energy — 6.9% | |||||
Chevron Corporation | 93,330 | 6,333,374 | |||
Concho Resources, Inc.D* | 39,490 | 2,184,982 | |||
Devon Energy Corporation | 49,170 | 2,995,436 | |||
EOG Resources, Inc. | 73,207 | 7,201,373 | |||
FMC Technologies, Inc.D* | 212,300 | 11,179,718 | |||
Halliburton Co. | 248,860 | 6,109,513 | |||
National Oilwell Varco, Inc. | 355,600 | 11,759,692 | |||
Occidental Petroleum Corporation | 62,670 | 4,834,990 | |||
PetroHawk Energy Corporation* | 91,170 | 1,547,155 | |||
Schlumberger, Ltd. | 299,260 | 16,561,048 | |||
Walter Energy, Inc.D | 53,560 | 3,259,126 | |||
Whiting Petroleum CorporationD* | 25,440 | 1,995,005 | |||
75,961,412 | |||||
Financial Services — 12.9% | |||||
American Express Co. | 284,748 | 11,304,496 | |||
Ameriprise Financial, Inc. | 62,370 | 2,253,428 | |||
Annaly Capital Management, Inc. REITD | 70,970 | 1,217,136 | |||
Bank of America Corporation | 556,650 | 7,999,060 | |||
Capital One Financial Corporation | 124,466 | 5,015,980 | |||
CME Group, Inc. | 22,800 | 6,419,340 | |||
Comerica, Inc.D | 47,560 | 1,751,635 | |||
Fifth Third BancorpD | 266,700 | 3,277,743 | |||
Franklin Resources, Inc. | 45,020 | 3,880,274 | |||
Goldman Sachs Group, Inc. (The) | 37,853 | 4,968,963 | |||
IntercontinentalExchange, Inc.D* | 138,400 | 15,643,352 | |||
JPMorgan Chase & Co. | 369,793 | 13,538,122 | |||
Lincoln National CorporationD | 75,360 | 1,830,494 | |||
Mastercard, Inc. Class AD | 29,700 | 5,926,041 | |||
Schwab (Charles) Corporation (The) | 475,900 | 6,748,262 | |||
State Street Corporation | 29,430 | 995,323 | |||
US Bancorp | 463,805 | 10,366,042 | |||
Visa, Inc.D | 368,930 | 26,101,797 | |||
Wells Fargo & Co. | 532,637 | 13,635,507 | |||
142,872,995 | |||||
Healthcare — 10.8% | |||||
Abbott Laboratories | 41,150 | 1,924,997 | |||
Alexion Pharmaceuticals, Inc.D* | 18,070 | 925,003 | |||
Allergan, Inc. | 260,580 | 15,181,391 | |||
AmerisourceBergen Corporation | 44,100 | 1,400,175 | |||
Amgen, Inc.* | 132,480 | 6,968,448 | |||
Celgene Corporation* | 171,680 | 8,724,778 | |||
Covance, Inc.D* | 20,380 | 1,045,902 | |||
Express Scripts, Inc.* | 98,320 | 4,623,006 | |||
Genzyme CorporationD* | 248,600 | 12,621,422 | |||
Gilead Sciences, Inc.* | 54,090 | 1,854,205 | |||
Illumina, Inc.D* | 240,300 | 10,460,259 | |||
Intuitive Surgical, Inc.D* | 66,500 | 20,988,730 | |||
Johnson & Johnson | 59,326 | 3,503,794 | |||
McKesson Corporation | 24,070 | 1,616,541 | |||
Medtronic, Inc. | 52,000 | 1,886,040 | |||
Merck & Co., Inc. | 275,429 | 9,631,752 | |||
ResMed, Inc.D* | 19,190 | 1,166,944 | |||
Thermo Fisher Scientific, Inc.* | 117,300 | 5,753,565 | |||
Varian Medical Systems, Inc.D* | 158,300 | 8,275,924 | |||
Vertex Pharmaceuticals, Inc.* | 31,950 | 1,051,155 | |||
119,604,031 | |||||
Materials & Processing — 5.0% | |||||
Air Products & Chemicals, Inc. | 30,356 | 1,967,372 | |||
Albemarle Corporation | 56,440 | 2,241,233 | |||
Allegheny Technologies, Inc.D | 49,200 | 2,174,148 | |||
Cliffs Natural Resources, Inc. | 26,320 | 1,241,251 | |||
Dow Chemical Co. (The) | 431,974 | 10,246,423 | |||
FMC CorporationD | 25,360 | 1,456,425 | |||
Freeport-McMoRan Copper & Gold, Inc. | 41,830 | 2,473,408 | |||
Monsanto Co. | 72,210 | 3,337,546 | |||
Newmont Mining Corporation | 74,000 | 4,568,760 | |||
Packaging Corporation of America | 79,260 | 1,745,305 | |||
PPG Industries, Inc. | 70,329 | 4,248,575 |
See notes to Financial Statements.
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Table of Contents
Shares | Value | |||||
Praxair, Inc. | 170,086 | $ | 12,924,835 | |||
Precision Castparts Corporation | 60,370 | 6,213,281 | ||||
54,838,562 | ||||||
Producer Durables — 10.0% | ||||||
3M Co. | 86,070 | 6,798,669 | ||||
AMETEK, Inc. | 49,800 | 1,999,470 | ||||
Boeing Co. (The) | 53,300 | 3,344,575 | ||||
Bucyrus International, Inc. | 61,410 | 2,913,904 | ||||
Caterpillar, Inc. | 73,300 | 4,403,131 | ||||
CSX Corporation | 90,540 | 4,493,500 | ||||
Cummins, Inc. | 116,550 | 7,590,902 | ||||
Danaher CorporationD | 199,934 | 7,421,550 | ||||
Deere & Co. | 182,833 | 10,180,141 | ||||
Emerson Electric Co. | 59,430 | 2,596,497 | ||||
Expeditors International of Washington, Inc. | 90,900 | 3,136,959 | ||||
FedEx Corporation | 171,498 | 12,023,725 | ||||
FLIR Systems, Inc.D* | 162,500 | 4,727,125 | ||||
General Dynamics Corporation | 107,343 | 6,286,006 | ||||
General Electric Co. | 336,060 | 4,845,985 | ||||
Iron Mountain, Inc.D | 184,500 | 4,143,870 | ||||
Manpower, Inc. | 24,270 | 1,047,979 | ||||
Norfolk Southern Corporation | 89,251 | 4,734,766 | ||||
Rockwell Collins, Inc. | 24,740 | 1,314,436 | ||||
Trimble Navigation, Ltd.D* | 29,830 | 835,240 | ||||
Union Pacific Corporation | 135,930 | 9,448,494 | ||||
W.W. Grainger, Inc. | 67,300 | 6,692,985 | ||||
110,979,909 | ||||||
Technology — 23.1% | ||||||
Adobe Systems, Inc.* | 86,950 | 2,298,089 | ||||
American Tower Corporation Class A* | 241,101 | 10,728,995 | ||||
Amphenol Corporation Class AD | 34,730 | 1,364,194 | ||||
Apple, Inc.* | 272,911 | 68,645,304 | ||||
Broadcom Corporation Class A | 531,200 | 17,513,664 | ||||
Cisco Systems, Inc.* | 1,019,030 | 21,715,529 | ||||
Citrix Systems, Inc.* | 42,980 | 1,815,045 | ||||
Cognizant Technology Solutions Corporation Class A* | 97,921 | 4,901,925 | ||||
Crown Castle International CorporationD* | 40,173 | 1,496,846 | ||||
EMC Corporation* | 698,182 | 12,776,731 | ||||
Equinix, Inc.D* | 23,800 | 1,933,036 | ||||
F5 Networks, Inc.D* | 65,890 | 4,518,077 | ||||
Google, Inc. Class AD* | 74,794 | 33,279,590 | ||||
Hewlett-Packard Co. | 105,736 | 4,576,254 | ||||
Juniper Networks, Inc.* | 146,270 | 3,337,882 | ||||
Microsoft Corporation | 340,930 | 7,844,799 | ||||
NetApp, Inc.* | 170,714 | 6,369,339 | ||||
Oracle Corporation | 271,950 | 5,836,047 | ||||
QUALCOMM, Inc. | 481,600 | 15,815,744 | ||||
Rovi Corporation* | 7 | 265 | ||||
Salesforce.com, Inc.D* | 209,800 | 18,005,036 | ||||
SanDisk Corporation* | 62,700 | 2,637,789 | ||||
Tellabs, Inc. | 234,930 | 1,501,203 | ||||
Teradata CorporationD* | 46,600 | 1,420,368 | ||||
VMware, Inc.D* | 82,150 | 5,141,769 | ||||
255,473,520 | ||||||
Utilities — 0.5% | ||||||
AES Corporation (The)* | 431,630 | 3,988,261 | ||||
Wisconsin Energy Corporation | 32,510 | 1,649,557 | ||||
Xcel Energy Inc. | 24,460 | 504,121 | ||||
6,141,939 | ||||||
Total Common Stocks | 992,718,496 | |||||
FOREIGN COMMON STOCKS — 4.3% | ||||||
Bermuda — 0.7% | ||||||
Marvell Technology Group, Ltd.* | 471,010 | 7,423,118 | ||||
Canada — 0.7% | ||||||
Potash Corporation of Saskatchewan, Inc.D | 56,795 | 4,898,001 | ||||
Research In Motion, Ltd.* | 22,530 | 1,109,828 | ||||
Yamana Gold, Inc. | 148,560 | 1,530,168 | ||||
7,537,997 | ||||||
China — 0.7% | ||||||
Baidu, Inc. ADRD* | 111,815 | 7,612,365 | ||||
France — 0.2% | ||||||
Total SA ADRD | 62,030 | 2,769,019 | ||||
Ireland — 0.5% | ||||||
Covidien PLC* | 46,900 | 1,884,442 | ||||
Shire PLC ADRD | 65,810 | 4,039,418 | ||||
5,923,860 | ||||||
Israel — 0.8% | ||||||
Check Point Software Technologies, Ltd.D* | 135,740 | 4,001,615 | ||||
Teva Pharmaceutical Industries, Ltd. ADR | 86,380 | 4,490,896 | ||||
8,492,511 | ||||||
Netherlands — 0.1% | ||||||
QIAGEN N.V.* | 38,140 | 733,051 | ||||
United Kingdom — 0.6% | ||||||
BHP Billiton PLC ADRD | 134,598 | 6,923,721 | ||||
Total Foreign Common Stocks | 47,415,642 | |||||
PREFERRED STOCK — 0.1% | ||||||
Wells Fargo & Co.D* (Cost $678,134) | 35,400 | 916,506 | ||||
RIGHT/WARRANT — 0.0% | ||||||
Krispy Kreme Doughnuts, Inc.* (Cost $74) | 7,410 | 370 | ||||
MONEY MARKET FUNDS — 15.7% | ||||||
GuideStone Money Market Fund (GS4 Class)¥ | 57,146,701 | 57,146,701 | ||||
Northern Institutional Liquid Assets Portfolio§ | 116,632,429 | 116,632,429 | ||||
Total Money Market Funds | 173,779,130 | |||||
Par | ||||||
U.S. TREASURY OBLIGATIONS — 0.7% | ||||||
U.S. Treasury Bills | ||||||
0.20%, 11/18/10‡‡ | $ | 5,570,000 | 5,566,207 | |||
0.22%, 11/18/10‡‡ | 2,100,000 | 2,098,570 | ||||
Total U.S. Treasury Obligations | 7,664,777 | |||||
See notes to Financial Statements.
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GROWTH EQUITY FUND SCHEDULE OF INVESTMENTS (Continued) |
Value | ||||
TOTAL INVESTMENTS — 110.5% | $ | 1,222,494,921 | ||
Liabilities in Excess of Other Assets — (10.5)% | (116,611,391 | ) | ||
NET ASSETS — 100.0% | $ | 1,105,883,530 | ||
Please see abbreviation and footnote definitions on page 127.
PORTFOLIO SUMMARY (based on net assets)
% | |||
Technology | 23.1 | ||
Consumer Discretionary | 17.4 | ||
Money Market Funds | 15.7 | ||
Financial Services | 12.9 | ||
Healthcare | 10.8 | ||
Producer Durables | 10.0 | ||
Energy | 6.9 | ||
Futures Contracts | 5.7 | ||
Materials & Processing | 5.0 | ||
Foreign Common Stocks | 4.3 | ||
Consumer Staples | 3.1 | ||
U.S. Treasury Obligations | 0.7 | ||
Utilities | 0.5 | ||
Preferred Stock | 0.1 | ||
Right/Warrant | — | ** | |
116.2 | |||
** | Rounds to less than 0.005%. |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2010, in valuing the Fund’s assets carried at fair value:
Valuation Inputs | Investments in Securities | Other Financial Instruments*** | |||||
Level 1 — Quoted Prices | |||||||
Common Stocks | $ | 992,718,496 | $ | — | |||
Foreign Common Stocks | 47,415,642 | — | |||||
Futures Contracts | — | (3,032,725 | ) | ||||
Money Market Funds | 173,779,130 | — | |||||
Preferred Stock | 916,506 | — | |||||
Right/Warrant | 370 | — | |||||
Level 2 — Other Significant Observable Inputs | |||||||
U.S. Treasury Obligations | 7,664,777 | — | |||||
Level 3 — Significant Unobservable Inputs | — | — | |||||
Total | $ | 1,222,494,921 | $ | (3,032,725 | ) | ||
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
See Notes to Financial Statements.
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SCHEDULE OF INVESTMENTS | June 30, 2010 (Unaudited) |
Shares | Value | ||||
COMMON STOCKS — 85.6% | |||||
Consumer Discretionary — 12.8% | |||||
Aaron’s, Inc.D | 75,900 | $ | 1,295,613 | ||
Aeropostale, Inc.D | 25,400 | 727,456 | |||
American Public Education, Inc.D | 41,000 | 1,791,700 | |||
AnnTaylor Stores CorporationD | 90,900 | 1,478,943 | |||
Arbitron, Inc.D | 32,300 | 827,849 | |||
ATC Technology Corporation | 34,000 | 548,080 | |||
Autoliv, Inc.D | 13,600 | 650,760 | |||
BJ’s Wholesale Club, Inc.D* | 15,200 | 562,552 | |||
Buffalo Wild Wings, Inc.D | 41,100 | 1,503,438 | |||
Cabela’s, Inc.D | 18,600 | 263,004 | |||
Capella Education Co.D | 9,300 | 756,555 | |||
Career Education CorporationD | 19,100 | 439,682 | |||
Citi Trends, Inc. | 33,900 | 1,116,666 | |||
Corinthian Colleges, Inc.D | 42,200 | 415,670 | |||
Cracker Barrel Old Country Store, Inc. | 11,900 | 554,064 | |||
CROCS, Inc. | 92,400 | 977,592 | |||
Deckers Outdoor Corporation* | 17,500 | 2,500,225 | |||
DG Fastchannel, Inc. | 46,400 | 1,511,712 | |||
Dillard’s, Inc. Class AD | 22,800 | 490,200 | |||
Drew Industries, Inc. | 34,000 | 686,800 | |||
DSW, Inc.D | 10,500 | 235,830 | |||
Elizabeth Arden, Inc.D | 25,000 | 363,000 | |||
Finish Line, Inc. (The)D | 67,500 | 940,275 | |||
GSI Commerce, Inc.D | 36,320 | 1,046,016 | |||
Guess ?, Inc. | 35,200 | 1,099,648 | |||
Helen of Troy, Ltd.D | 27,100 | 597,826 | |||
Iconix Brand Group, Inc.D | 28,100 | 403,797 | |||
Inter Parfums, Inc.D | 47,900 | 681,617 | |||
ITT Educational Services, Inc.D* | 10,400 | 863,408 | |||
Jo-Ann Stores, Inc.D | 7,100 | 266,321 | |||
John Wiley & Sons, Inc. | 28,500 | 1,102,095 | |||
Jones Apparel Group, Inc. | 33,800 | 535,730 | |||
Kirkland’s, Inc. | 73,249 | 1,236,077 | |||
Life Time Fitness, Inc.D | 15,700 | 499,103 | |||
Lincoln Educational Services Corporation | 84,700 | 1,743,973 | |||
Meredith CorporationD | 16,900 | 526,097 | |||
Mohawk Industries, Inc.D | 11,400 | 521,664 | |||
Monro Muffler Brake, Inc.D | 26,502 | 1,047,624 | |||
Nu Skin Enterprises, Inc. Class A | 36,300 | 904,959 | |||
Papa John’s International, Inc. | 46,700 | 1,079,704 | |||
PetSmart, Inc. | 33,800 | 1,019,746 | |||
Polaris Industries, Inc.D | 44,010 | 2,403,826 | |||
Rent-A-Center, Inc.D | 35,700 | 723,282 | |||
Select Comfort Corporation | 67,700 | 592,375 | |||
Skechers USA, Inc. Class A | 25,600 | 934,912 | |||
Sotheby’s Holdings Class AD | 14,600 | 333,902 | |||
Stage Stores, Inc. | 40,100 | 428,268 | |||
Steven Madden, Ltd.D | 49,756 | 1,568,309 | |||
Tempur-Pedic International, Inc.D | 28,191 | 866,874 | |||
Timberland Co. (The) | 54,500 | 880,175 | |||
Ulta Salon Cosmetics & Fragrance, Inc.D | 53,368 | 1,262,687 | |||
ValueClick, Inc. | 79,400 | 848,786 | |||
Vitamin Shoppe, Inc.D | 55,400 | 1,421,010 | |||
WABCO Holdings, Inc. | 68,800 | 2,165,824 | |||
WESCO International, Inc.D | 20,200 | 680,134 | |||
World Fuel Services CorporationD | 22,000 | 570,680 | |||
Zumiez, Inc.D | 16,300 | 262,593 | |||
51,756,708 | |||||
Consumer Staples — 2.4% | |||||
Children’s Place Retail Stores, Inc. | 15,100 | 664,702 | |||
Diamond Foods, Inc.D | 18,700 | 768,570 | |||
Green Mountain Coffee Roasters, Inc.D | 10,913 | 280,464 | |||
Hansen Natural Corporation | 29,600 | 1,157,656 | |||
Herbalife, Ltd.* | 39,000 | 1,795,950 | |||
J & J Snack Foods Corporation | 18,752 | 789,459 | |||
Lancaster Colony CorporationD | 11,200 | 597,632 | |||
M&F Worldwide CorporationD | 20,000 | 542,000 | |||
Nash Finch Co. | 30,700 | 1,048,712 | |||
Peet’s Coffee & Tea, Inc.D | 9,100 | 357,357 | |||
Sanderson Farms, Inc.D | 11,200 | 568,288 | |||
United Natural Foods, Inc. | 36,000 | 1,075,680 | |||
9,646,470 | |||||
�� | |||||
Energy — 4.9% | |||||
Arena Resources, Inc. | 5,600 | 178,640 | |||
Atlas Energy, Inc.D | 21,400 | 579,298 | |||
Brigham Exploration Co. | 70,600 | 1,085,828 | |||
Cal Dive International, Inc. | 64,500 | 377,325 | |||
Carrizo Oil & Gas, Inc. | 26,000 | 403,780 | |||
Clayton Williams Energy, Inc.D | 15,500 | 652,860 | |||
Complete Production Services, Inc. | 62,900 | 899,470 | |||
Comstock Resources, Inc. | 34,200 | 948,024 | |||
Concho Resources, Inc.* | 23,500 | 1,300,255 | |||
Dril-Quip, Inc. | 14,500 | 638,290 | |||
EXCO Resources, Inc. | 108,800 | 1,589,568 | |||
Exterran Holdings, Inc.D* | 47,600 | 1,228,556 | |||
GT Solar International, Inc.D | 103,400 | 579,040 | |||
Gulf Island Fabrication, Inc.D | 10,100 | 156,752 | |||
Key Energy Services, Inc.D | 54,400 | 499,392 | |||
Oasis Petroleum, Inc.D | 77,500 | 1,123,750 | |||
Oil States International, Inc.* | 35,000 | 1,385,300 | |||
Rosetta Resources, Inc. | 21,800 | 431,858 | |||
Sunoco, Inc. | 24,000 | 834,480 | |||
T-3 Energy Services, Inc. | 17,149 | 478,457 | |||
Tetra Technologies, Inc.D | 54,700 | 496,676 | |||
Unit Corporation | 14,300 | 580,437 | |||
Vaalco Energy, Inc. | 172,100 | 963,760 | |||
W&T Offshore, Inc.D | 78,100 | 738,826 | |||
Whiting Petroleum CorporationD* | 21,100 | 1,654,662 | |||
19,805,284 | |||||
Financial Services — 18.7% | |||||
American Equity Investment Life Holding Co. | 72,600 | 749,232 | |||
American Financial Group, Inc. | 50,500 | 1,379,660 | |||
American Physicians Capital, Inc. | 15,600 | 481,260 | |||
AMERISAFE, Inc. | 31,518 | 553,141 | |||
Amtrust Financial Services, Inc. | 48,700 | 586,348 | |||
Apartment Investment & Management Co. Class A REITD | 64,800 | 1,255,176 | |||
Argo Group International Holdings, Ltd. | 27,752 | 848,934 | |||
Artio Global Investors, Inc. | 28,800 | 453,312 | |||
Assurant, Inc. | 35,100 | 1,217,970 | |||
Astoria Financial CorporationD | 90,700 | 1,248,032 |
See Notes to Financial Statements
103
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SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS (Continued) |
Shares | Value | ||||
AXIS Capital Holdings, Ltd.* | 49,000 | $ | 1,456,280 | ||
Banco Latinoamericano de Exportaciones SA | 62,000 | 774,380 | |||
Bank of Hawaii Corporation | 29,500 | 1,426,325 | |||
Bank of the Ozarks, Inc.D | 28,200 | 1,000,254 | |||
BOK Financial Corporation | 11,300 | 536,411 | |||
Cash America International, Inc.D | 29,400 | 1,007,538 | |||
CBL & Associates Properties, Inc. REITD | 40,200 | 500,088 | |||
Cohen & Steers, Inc.D | 21,200 | 439,688 | |||
Columbia Banking System, Inc.D | 37,600 | 686,576 | |||
Community Bank System, Inc.D | 31,300 | 689,539 | |||
Compass Diversified Holdings | 56,600 | 759,006 | |||
CVB Financial CorporationD | 71,100 | 675,450 | |||
Cybersource Corporation | 20,386 | 520,455 | |||
Deluxe CorporationD | 28,600 | 536,250 | |||
DiamondRock Hospitality Co. REIT | 50,200 | 412,644 | |||
Dime Community Bancshares | 67,000 | 826,110 | |||
Duff & Phelps Corporation | 49,400 | 623,922 | |||
Endurance Specialty Holdings, Ltd.D* | 35,100 | 1,317,303 | |||
Euronet Worldwide, Inc. | 42,400 | 542,296 | |||
Evercore Partners, Inc. Class A | 29,800 | 695,830 | |||
EZCORP, Inc. Class A | 55,100 | 1,022,105 | |||
First Cash Financial Services, Inc. | 25,000 | 545,000 | |||
First Citizens BancShares, Inc. Cl A | 2,900 | 557,757 | |||
First Financial Bancorp | 27,900 | 417,105 | |||
FPIC Insurance Group, Inc. | 17,250 | 442,462 | |||
Global Payments, Inc. | 52,800 | 1,929,312 | |||
Hanover Insurance Group, Inc.D | 20,000 | 870,000 | |||
Home Bancshares, Inc. | 29,140 | 664,683 | |||
Hospitality Properties Trust REIT | 48,000 | 1,012,800 | |||
HRPT Properties Trust REIT | 181,700 | 1,128,357 | |||
IBERIABANK CorporationD | 33,000 | 1,698,840 | |||
Infinity Property & Casualty Corporation | 24,600 | 1,136,028 | |||
International Bancshares CorporationD | 52,200 | 871,218 | |||
Jack Henry & Associates, Inc. | 48,800 | 1,165,344 | |||
Jones Lang LaSalle, Inc.D | 38,300 | 2,514,012 | |||
LaSalle Hotel Properties REIT | 22,600 | 464,882 | |||
Life Partners Holdings, Inc.D | 26,900 | 550,374 | |||
LTC Properties, Inc. REIT | 37,800 | 917,406 | |||
Mercury General Corporation | 15,400 | 638,176 | |||
National American University Holdings, Inc.D | 49,400 | 430,274 | |||
National Financial Partners CorporationD | 79,900 | 780,623 | |||
National Health Investors, Inc. | |||||
REIT | 30,600 | 1,179,936 | |||
NBH Holdings Corporation+@ | 30,300 | 590,850 | |||
Net 1 UEPS Technologies, Inc.D | 72,100 | 966,861 | |||
NewAlliance Bancshares, Inc.D | 105,500 | 1,182,655 | |||
Ocwen Financial CorporationD | 60,400 | 615,476 | |||
optionsXpress Holdings, Inc.D | 98,290 | 1,547,085 | |||
Pacwest BancorpD | 47,100 | 862,401 | |||
Pennsylvania Real Estate Investment Trust REITD | 59,500 | 727,090 | |||
Platinum Underwriters Holdings, Ltd. | 32,500 | 1,179,425 | |||
Portfolio Recovery Associates, Inc.D | 3,800 | 253,764 | |||
ProAssurance Corporation | 23,900 | 1,356,564 | |||
Provident Financial Services, Inc. | 86,000 | 1,005,340 | |||
PS Business Parks, Inc. REITD | 11,400 | 635,892 | |||
Raymond James Financial, Inc.D | 22,700 | 560,463 | |||
RenaissanceRe Holdings, Ltd.D* | 26,300 | 1,479,901 | |||
Republic Bancorp, Inc. Class AD | 27,600 | 618,240 | |||
RLI CorporationD | 15,300 | 803,403 | |||
S&T Bancorp, Inc.D | 27,000 | 533,520 | |||
Safety Insurance Group, Inc. | 46,600 | 1,725,132 | |||
SCBT Financial Corporation | 12,400 | 436,728 | |||
SEI Investments Co. | 29,500 | 600,620 | |||
Signature Bank | 33,600 | 1,277,136 | |||
StanCorp Financial Group, Inc. | 55,000 | 2,229,700 | |||
Taubman Centers, Inc. REITD | 35,300 | 1,328,339 | |||
Torchmark Corporation | 21,800 | 1,079,318 | |||
Tower Group, Inc.D | 48,600 | 1,046,358 | |||
Trustco Bank CorporationD | 31,600 | 176,960 | |||
Unitrin, Inc. | 51,500 | 1,318,400 | |||
Washington Banking Co. | 17,700 | 226,383 | |||
Webster Financial CorporationD | 60,800 | 1,090,752 | |||
Whitney Holding CorporationD | 35,400 | 327,450 | |||
Wintrust Financial CorporationD | 31,000 | 1,033,540 | |||
World Acceptance CorporationD | 17,200 | 658,932 | |||
Wright Express Corporation | 40,900 | 1,214,730 | |||
75,825,512 | |||||
Healthcare — 10.8% | |||||
Align Technology, Inc.D | 78,900 | 1,173,243 | |||
Alimera Sciences, Inc.D | 32,000 | 238,080 | |||
Amedisys, Inc.D | 42,634 | 1,874,617 | |||
American Medical Systems Holdings, Inc.D | 21,090 | 466,511 | |||
AMERIGROUP CorporationD | 36,100 | 1,172,528 | |||
Auxilium Pharmaceuticals, Inc.D | 14,600 | 343,100 | |||
BioMarin Pharmaceuticals, Inc.D | 36,300 | 688,248 | |||
Bio-Rad Laboratories, Inc. Class A | 16,000 | 1,383,840 | |||
Brookdale Senior Living, Inc. | 51,400 | 771,000 | |||
Catalyst Health Solutions, Inc.D | 45,800 | 1,580,100 | |||
Centene Corporation | 47,100 | 1,012,650 | |||
Cepheid, Inc.D | 20,500 | 328,410 | |||
Cooper Cos., Inc. | 40,200 | 1,599,558 | |||
Dionex CorporationD | 10,000 | 744,600 | |||
Emergency Medical Services Corporation Class A | 30,300 | 1,485,609 | |||
Five Star Quality Care, Inc.+ | 2,086 | — | |||
Genoptix, Inc. | 1,600 | 27,520 | |||
Gen-Probe, Inc. | 14,900 | 676,758 | |||
Haemonetics Corporation | 18,500 | 990,120 | |||
Health Net, Inc.* | 62,900 | 1,532,873 | |||
Healthspring, Inc.D | 59,500 | 922,845 | |||
Hill-Rom Holdings, Inc.D | 27,800 | 845,954 | |||
ICON PLC ADR | 110,200 | 3,183,678 | |||
Incyte Corporation, Ltd.D | 49,700 | 550,179 |
See Notes to Financial Statements
104
Table of Contents
Shares | Value | ||||
IPC The Hospitalist Co., Inc. | 20,000 | $ | 502,000 | ||
Kindred Healthcare, Inc. | 23,700 | 304,308 | |||
LifePoint Hospitals, Inc.D | 31,700 | 995,380 | |||
Magellan Health Services, Inc. | 46,900 | 1,703,408 | |||
Map Pharmaceuticals, Inc.D | 16,100 | 211,232 | |||
MedAssets, Inc.D | 43,600 | 1,006,288 | |||
Mednax, Inc. | 10,000 | 556,100 | |||
Molina Healthcare, Inc.D | 21,300 | 613,440 | |||
Parexel International Corporation | 11,700 | 253,656 | |||
PDL BioPharma, Inc. | 99,600 | 559,752 | |||
PerkinElmer, Inc. | 80,700 | 1,668,069 | |||
PSS World Medical, Inc.D | 59,100 | 1,249,965 | |||
Salix Pharmaceuticals, Ltd.D | 23,400 | 913,302 | |||
Sirona Dental Systems, Inc. | 38,489 | 1,340,957 | |||
SXC Health Solutions CorporationD | 10,100 | 739,825 | |||
Techne CorporationD | 17,900 | 1,028,355 | |||
Thoratec CorporationD | 20,427 | 872,845 | |||
Triple-S Management Corporation Class B | 29,600 | 549,080 | |||
United Therapeutics CorporationD | 19,200 | 937,152 | |||
Universal American Corporation | 72,500 | 1,044,000 | |||
VCA Antech, Inc.D | 23,400 | 579,384 | |||
Volcano CorporationD | 68,500 | 1,494,670 | |||
WebMD Health CorporationD | 11,600 | 538,588 | |||
Zoll Medical Corporation | 15,100 | 409,210 | |||
43,662,987 | |||||
Materials & Processing — 5.7% | |||||
Albany International Corporation Class A | 50,700 | 820,833 | |||
Allied Nevada Gold CorporationD | 30,300 | 596,304 | |||
AptarGroup, Inc. | 16,000 | 605,120 | |||
Ashland, Inc. | 12,100 | 561,682 | |||
Belden, Inc. | 32,500 | 715,000 | |||
Boise, Inc. | 177,400 | 973,926 | |||
Buckeye Technologies, Inc.D | 53,800 | 535,310 | |||
Cabot Corporation | 45,900 | 1,106,649 | |||
Cellu Tissue Holdings, Inc.D | 53,400 | 414,918 | |||
CLARCOR, Inc.D | 38,600 | 1,371,072 | |||
Commercial Metals Co.D | 28,400 | 375,448 | |||
Domtar CorporationD | 9,500 | 466,925 | |||
Eastman Chemical Co. | 12,300 | 656,328 | |||
Ferro Corporation | 77,400 | 570,438 | |||
Hexcel Corporation | 45,500 | 705,705 | |||
Huntsman Corporation | 41,400 | 358,938 | |||
Innophos Holdings, Inc. | 26,200 | 683,296 | |||
Interline Brands, Inc.D | 36,100 | 624,169 | |||
James River Coal Co. | 11,000 | 175,120 | |||
Kraton Performance Polymers, Inc. | 50,800 | 954,532 | |||
Layne Christensen Co. | 21,300 | 516,951 | |||
Metals USA Holdings CorporationD | 32,100 | 479,895 | |||
Minerals Technologies, Inc.D | 18,600 | 884,244 | |||
Noranda Aluminium Holding CorporationD | 39,500 | 253,985 | |||
OM Group, Inc.D | 25,800 | 615,588 | |||
Owens Corning* | 25,500 | 762,705 | |||
PolyOne CorporationD | 57,900 | 487,518 | |||
RBC Bearings, Inc. | 15,200 | 440,648 | |||
Reliance Steel & Aluminum Co. | 22,100 | 798,915 | |||
Rogers Corporation | 1,000 | 27,770 | |||
RTI International Metals, Inc.D | 10,300 | 248,333 | |||
Schnitzer Steel Industries, Inc. Class A | 15,900 | 623,280 | |||
Spartech Corporation | 18,200 | 186,550 | |||
Steel Dynamics, Inc.D | 57,600 | 759,744 | |||
Watsco, Inc.D | 46,300 | 2,681,696 | |||
23,039,535 | |||||
Producer Durables — 12.9% | |||||
A.O. Smith Corporation | 28,698 | 1,382,957 | |||
Advisory Board Co. (The) | 22,500 | 966,600 | |||
Alaska Air Group, Inc. | 30,100 | 1,352,995 | |||
Allegiant Travel Co.D | 19,800 | 845,262 | |||
Applied Industrial Technologies, Inc.D | 42,700 | 1,081,164 | |||
B/E Aerospace | 33,200 | 844,276 | |||
Briggs & Stratton CorporationD | 78,300 | 1,332,666 | |||
Chart Industries, Inc. | 13,553 | 211,156 | |||
Clean Harbors, Inc. | 16,000 | 1,062,560 | |||
Columbus McKinnon Corporation | 53,800 | 751,586 | |||
CoStar Group, Inc.D | 25,600 | 993,280 | |||
Curtiss-Wright Corporation | 39,400 | 1,144,176 | |||
Darling International, Inc. | 40,900 | 307,159 | |||
EMCOR Group, Inc. | 36,700 | 850,339 | |||
EnPro Industries, Inc. | 33,300 | 937,395 | |||
FARO Technologies, Inc. | 51,800 | 969,178 | |||
Gardner Denver, Inc. | 25,000 | 1,114,750 | |||
Genco Shipping & Trading, Ltd.D | 34,900 | 523,151 | |||
Generac Holdings, Inc.D | 60,800 | 851,808 | |||
Genesee & Wyoming, Inc. Class A | 46,500 | 1,734,915 | |||
Graco, Inc.D | 13,800 | 389,022 | |||
Healthcare Services Group, Inc. | 31,700 | 600,715 | |||
HEICO Corporation Class AD | 32,000 | 1,047,406 | |||
Herman Miller, Inc.D | 51,900 | 979,353 | |||
IDEX Corporation | 28,911 | 825,987 | |||
KBR, Inc. | 79,700 | 1,621,098 | |||
Kennametal, Inc.D | 34,900 | 887,507 | |||
Kforce, Inc. | 154,133 | 1,965,196 | |||
Knight Transportation, Inc.D | 82,400 | 1,667,776 | |||
Lexmark International, Inc. Class A* | 15,900 | 525,177 | |||
McGrath RentCorpD | 24,600 | 560,388 | |||
Middleby CorporationD | 17,100 | 909,549 | |||
Mobile Mini, Inc.D | 39,700 | 646,316 | |||
Moog, Inc. Class A | 24,100 | 776,743 | |||
Old Dominion Freight Line, Inc.D | 16,000 | 562,240 | |||
On Assignment, Inc. | 108,000 | 543,240 | |||
Orbital Sciences Corporation | 68,000 | 1,072,360 | |||
Oshkosh Corporation | 34,200 | 1,065,672 | |||
Polypore International, Inc.D | 22,500 | 511,650 | |||
Regal-Beloit Corporation | 39,500 | 2,203,310 | |||
Resources Connection, Inc. | 60,800 | 826,880 | |||
Robert Half International, Inc.D | 49,500 | 1,165,725 | |||
Rush Enterprises, Inc. Class AD | 40,321 | 538,688 | |||
Ryder System, Inc. | 27,800 | 1,118,394 | |||
Standard Parking Corporation | 40,800 | 645,864 | |||
Steelcase, Inc. Class AD | 157,200 | 1,218,300 | |||
Stericycle, Inc.D* | 6,000 | 393,480 |
See Notes to Financial Statements
105
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SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS (Continued) |
Shares | Value | ||||
SYKES Enterprises, Inc. | 100,500 | $ | 1,430,115 | ||
Tennant Co.D | 7,500 | 253,650 | |||
Thomas & Betts Corporation | 29,800 | 1,034,060 | |||
Toro Co.D | 24,800 | 1,218,176 | |||
TransDigm Group, Inc. | 38,100 | 1,944,243 | |||
TRW Automotive Holdings Corporation | 21,000 | 578,970 | |||
Tutor Perini CorporationD | 27,400 | 451,552 | |||
Zebra Technologies Corporation Class A | 21,900 | 555,603 | |||
51,991,778 | |||||
Technology — 12.9% | |||||
ACI Worldwide, Inc. | 29,400 | 572,418 | |||
Acme Packet, Inc. | 26,991 | 725,518 | |||
Acxiom Corporation | 53,600 | 787,384 | |||
Amkor Technology, Inc.D | 113,700 | 626,487 | |||
Anixter International, Inc.D | 12,600 | 536,760 | |||
Arrow Electronics, Inc. | 26,600 | 594,510 | |||
Aruba Networks, Inc.D | 39,000 | 555,360 | |||
Atheros Communications, Inc.D | 42,500 | 1,170,450 | |||
Avnet, Inc.* | 42,800 | 1,031,908 | |||
Blackboard, Inc.D | 31,000 | 1,157,230 | |||
Bottomline Technologies, Inc. | 75,200 | 979,856 | |||
BroadSoft, Inc.D | 25,100 | 214,605 | |||
Cavium Networks, Inc.D | 19,900 | 521,181 | |||
CommVault Systems, Inc. | 34,100 | 767,250 | |||
CSG Systems International, Inc. | 28,100 | 515,073 | |||
Cymer, Inc. | 29,200 | 877,168 | |||
DigitalGlobe, Inc. | 23,400 | 615,420 | |||
EarthLink, Inc.D | 86,800 | 690,928 | |||
Entropic Communications, Inc. | 72,100 | 457,114 | |||
EPIQ Systems, Inc.D | 45,500 | 588,315 | |||
F5 Networks, Inc.* | 11,531 | 790,681 | |||
Finisar CorporationD | 66,000 | 983,400 | |||
GeoEye, Inc. | 9,900 | 308,286 | |||
Hittite Microwave Corporation | 19,600 | 876,904 | |||
iGate Corporation | 19,500 | 249,990 | |||
Informatica CorporationD | 29,400 | 702,072 | |||
Ingram Micro, Inc. Class A* | 75,600 | 1,148,364 | |||
Insight Enterprises, Inc. | 25,500 | 335,580 | |||
Intersil Corporation Class A | 34,400 | 416,584 | |||
Jabil Circuit, Inc. | 40,800 | 542,640 | |||
LivePerson, Inc. | 59,300 | 406,798 | |||
LogMeIn, Inc. | 19,100 | 500,993 | |||
Manhattan Associates, Inc.D | 21,700 | 597,835 | |||
Mantech International Corporation Class A | 18,400 | 783,288 | |||
Monolithic Power Systems, Inc.D | 21,300 | 380,418 | |||
Monotype Imaging Holdings, Inc. | 48,900 | 440,589 | |||
Netezza CorporationD | 143,200 | 1,958,976 | |||
Netlogic Microsystems, Inc.D | 74,568 | 2,028,250 | |||
Omnivision Technologies, Inc. | 33,000 | 707,520 | |||
Plantronics, Inc.D | 36,600 | 1,046,760 | |||
Power Intergrations, Inc.D | 62,100 | 1,999,309 | |||
Power-One, Inc.D | 44,400 | 299,700 | |||
Radiant Systems, Inc. | 24,500 | 354,270 | |||
Riverbed Technology, Inc.D | 21,700 | 599,354 | |||
Rovi Corporation* | 26,100 | 989,451 | |||
Rudolph Technologies, Inc.D | 54,800 | 413,740 | |||
Sanmina-SCI CorporationD | 38,100 | 518,541 | |||
Sapient Corporation | 51,300 | 520,182 | |||
SBA Communications Corporation Class AD | 22,600 | $ | 768,626 | ||
Scansource, Inc. | 46,200 | 1,151,766 | |||
Semtech CorporationD | 82,067 | 1,343,437 | |||
Silicon Laboratories, Inc.D | 14,600 | 592,176 | |||
Solera Holdings, Inc.D | 78,600 | 2,845,320 | |||
SRA International, Inc. Class A | 36,800 | 723,856 | |||
Stanley, Inc. | 9,800 | 366,324 | |||
Stratasys, Inc.D | 45,792 | 1,124,652 | |||
SuccessFactors, Inc.D | 57,300 | 1,191,267 | |||
Ultimate Software Group, Inc.D | 47,800 | 1,570,708 | |||
Universal Display CorporationD | 15,900 | 285,882 | |||
Varian Semiconductor Equipment Associates, Inc. | 46,825 | 1,342,004 | |||
Veeco Instruments, Inc.D | 31,291 | 1,072,655 | |||
VeriFone Holdings, Inc. | 51,801 | 980,593 | |||
Viasat, Inc.D | 27,000 | 879,120 | |||
Vishay Intertechnology, Inc. | 54,200 | 419,508 | |||
Volterra Semiconductor Corporation | 19,100 | 440,446 | |||
51,983,750 | |||||
Utilities — 4.5% | |||||
Alliant Energy Corporation | 50,300 | 1,596,522 | |||
El Paso Electric Co. | 56,300 | 1,089,405 | |||
Energen Corporation | 28,900 | 1,281,137 | |||
General Communication, Inc. Class AD | 76,900 | 583,671 | |||
Great Plains Energy, Inc.D | 71,700 | 1,220,334 | |||
IDACORP, Inc. | 30,800 | 1,024,716 | |||
j2 Global Communications, Inc.D | 46,600 | 1,017,744 | |||
Laclede Group, Inc. (The)D | 6,300 | 208,719 | |||
Mirant Corporation* | 117,600 | 1,241,856 | |||
NorthWestern Corporation | 18,500 | 484,700 | |||
NTELOS Holdings CorporationD | 50,000 | 860,000 | |||
NV Energy, Inc. | 117,000 | 1,381,770 | |||
Oclaro, Inc.D | 30,300 | 336,027 | |||
OGE Energy Corporation | 45,200 | 1,652,512 | |||
Pinnacle West Capital Corporation | 15,000 | 545,400 | |||
PNM Resources, Inc.D | 43,600 | 487,448 | |||
Portland General Electric Co. | 30,800 | 564,564 | |||
Southern Union Co. | 24,100 | 526,826 | |||
TECO Energy, Inc. | 34,600 | 521,422 | |||
Telephone & Data Systems, Inc. | 42,600 | 1,294,614 | |||
USA Mobility, Inc.D | 37,300 | 481,916 | |||
18,401,303 | |||||
Total Common Stocks | |||||
(Cost $327,869,977) | 346,113,327 | ||||
FOREIGN COMMON STOCKS — 1.3% | |||||
Bermuda — 0.5% | |||||
Frontline, Ltd. | 17,700 | 505,158 | |||
Knightsbridge Tankers, Ltd. | 20,500 | 360,595 | |||
Montpelier Re Holdings, Ltd. | 70,000 | 1,045,100 | |||
1,910,853 | |||||
British Virgin Islands — 0.2% | |||||
UTi Worldwide, Inc. | 57,200 | 708,136 | |||
Canada — 0.1% | |||||
Westport Innovations, Inc.D | 24,791 | 388,971 | |||
See Notes to Financial Statement
106
Table of Contents
Shares | Value | |||||
Israel — 0.0% | ||||||
Given Imaging, Ltd. | 13,200 | $ | 206,184 | |||
Netherlands — 0.3% | ||||||
AerCap Holdings NV | 99,595 | 1,033,796 | ||||
ASM International N.V.D | 18,700 | 365,585 | ||||
1,399,381 | ||||||
Singapore — 0.2% | ||||||
Verigy, Ltd.D | 88,200 | 766,458 | ||||
Total Foreign Common Stocks | 5,379,983 | |||||
PREFERRED STOCKS — 0.0% | ||||||
Federal Home Loan Mortgage Corporation | 5,125 | 1,742 | ||||
Federal National Mortgage Association | 3,750 | 1,327 | ||||
Total Preferred Stocks | 3,069 | |||||
MONEY MARKET FUNDS — 35.7% | ||||||
GuideStone Money Market Fund (GS4 Class)¥ | 14,592,737 | 14,592,737 | ||||
Northern Institutional Liquid Assets Portfolio§ | 129,679,538 | 129,679,538 | ||||
Total Money Market Funds | 144,272,275 | |||||
Par | ||||||
AGENCY OBLIGATIONS — 1.3% | ||||||
Farmer Mac Guaranteed Trust | ||||||
5.13%, 04/19/17 144A | $ | 250,000 | 273,638 | |||
Federal Home Loan Bank | ||||||
1.50%, 01/16/13 | 50,000 | 50,664 | ||||
Federal Home Loan Mortgage Corporation | ||||||
0.19%, 07/07/10 | 290,000 | 289,994 | ||||
0.27%, 08/10/10 | 290,000 | 289,961 | ||||
0.18%, 08/23/10‡‡ | 74,000 | 73,990 | ||||
0.24%, 08/23/10‡‡ | 18,000 | 17,998 | ||||
Federal National Mortgage Association | ||||||
0.22%, 07/21/10 | 290,000 | 289,981 | ||||
0.24%, 07/28/10 | 290,000 | 289,979 | ||||
0.18%, 08/23/10‡‡ | 2,253,000 | 2,252,702 | ||||
0.18%, 08/23/10‡‡ | 476,000 | 475,937 | ||||
1.25%, 06/22/12 | 150,000 | 151,503 | ||||
5.25%, 08/01/12 | 110,000 | 118,780 | ||||
5.00%, 02/13/17 | 230,000 | 261,793 | ||||
6.37%, 10/09/19W | 90,000 | 55,766 | ||||
6.25%, 05/15/29 | 110,000 | 136,508 | ||||
7.13%, 01/15/30 | 100,000 | 136,516 | ||||
Government National Mortgage Association | ||||||
1.28%, 06/30/49 | 170,000 | 174,622 | ||||
Tennessee Valley Authority | ||||||
5.25%, 09/15/39 | 50,000 | 55,490 | ||||
Total Agency Obligations | 5,395,822 | |||||
ASSET-BACKED SECURITIES — 0.4% | ||||||
Avis Budget Rental Car Funding AESOP LLC | ||||||
4.64%, 05/20/16 144A | 100,000 | 103,610 | ||||
Bear Stearns Asset-Backed Securities Trust | ||||||
0.80%, 10/27/32† | 19,635 | 15,096 | ||||
0.80%, 12/25/33† | 226,731 | 196,695 | ||||
Drive Auto Receivables Trust | ||||||
5.33%, 04/15/14 STEP 144A | 176,432 | 176,483 | ||||
Education Funding Capital Trust I | ||||||
2.43%, 12/15/42† | 100,000 | 93,493 | ||||
EMC Mortgage Loan Trust | ||||||
1.00%, 02/25/41 STEP 144A† | 68,657 | 46,778 | ||||
GSAA Trust | ||||||
0.62%, 07/25/37† | 200,000 | 114,546 | ||||
Hertz Vehicle Financing LLC | ||||||
5.29%, 03/25/16 144A | 90,000 | 95,331 | ||||
Lehman XS Trust | ||||||
0.65%, 11/25/35† | 239,447 | 153,793 | ||||
0.65%, 12/25/35† | 119,189 | 37,749 | ||||
0.47%, 06/25/37† | 167,164 | 90,609 | ||||
0.61%, 02/25/46† | 255,141 | 127,725 | ||||
0.42%, 08/25/46† | 42,036 | 41,160 | ||||
MASTR Specialized Loan Trust | ||||||
0.70%, 05/25/37 144A† | 227,166 | 154,382 | ||||
Nelnet Student Loan Trust | ||||||
1.80%, 04/25/24† | 80,000 | 82,413 | ||||
Option One Mortgage Loan Trust | ||||||
1.15%, 11/25/32† | 23,018 | 18,845 | ||||
Renaissance Home Equity Loan Trust | ||||||
0.78%, 06/25/33† | 20,065 | 17,261 | ||||
Securitized Asset-Backed Receivables LLC Trust | ||||||
0.58%, 02/25/37† | 231,566 | 108,848 | ||||
Wachovia Asset Securitization, Inc. | ||||||
0.72%, 09/27/32† | 57,834 | 45,128 | ||||
0.78%, 12/25/32† | 30,429 | 22,361 | ||||
0.64%, 03/25/33† | 34,186 | 20,640 | ||||
Total Asset-Backed Securities | 1,762,946 | |||||
CORPORATE BONDS — 2.8% | ||||||
AES Corporation | ||||||
7.75%, 10/15/15 | 30,000 | 30,525 | ||||
8.00%, 06/01/20 | 190,000 | 191,900 | ||||
American Express Co. | ||||||
8.13%, 05/20/19 | 100,000 | 124,365 | ||||
6.80%, 09/01/49D | 140,000 | 134,400 | ||||
American International Group, Inc. | ||||||
5.85%, 01/16/18 | 190,000 | 170,763 | ||||
Anadarko Petroleum Corporation | ||||||
6.45%, 09/15/36D | 210,000 | 167,512 | ||||
Apache Corporation | ||||||
5.63%, 01/15/17 | 110,000 | 124,084 | ||||
AT&T, Inc. | ||||||
5.50%, 02/01/18 | 90,000 | 99,681 | ||||
BAC Capital Trust XIV | ||||||
5.63%, 12/31/49† | 10,000 | 6,825 | ||||
Baker Hughes, Inc. | ||||||
7.50%, 11/15/18 | 60,000 | 73,475 |
See Notes to Financial Statements.
107
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SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||
Bank of America Corporation | ||||||
7.40%, 01/15/11D | $ | 60,000 | $ | 61,787 | ||
5.42%, 03/15/17 | 60,000 | 59,861 | ||||
5.75%, 12/01/17 | 190,000 | 197,342 | ||||
7.63%, 06/01/19 | 20,000 | 22,948 | ||||
8.00%, 12/29/49 | 60,000 | 58,036 | ||||
Bear Stearns Cos. LLC | ||||||
7.25%, 02/01/18 | 140,000 | 163,722 | ||||
Berkshire Hathaway, Inc. | ||||||
3.20%, 02/11/15 | 80,000 | 82,473 | ||||
Boeing Capital Corporation | ||||||
4.70%, 10/27/19 | 40,000 | 43,087 | ||||
Boeing Co. | ||||||
4.88%, 02/15/20 | 60,000 | 66,191 | ||||
Caterpillar Financial Services Corporation | ||||||
6.20%, 09/30/13 | 110,000 | 124,870 | ||||
Cellco Partnership/Verizon Wireless Capital LLC | ||||||
8.50%, 11/15/18D | 60,000 | 78,132 | ||||
Chesapeake Energy Corporation | ||||||
6.88%, 11/15/20D | 100,000 | 101,375 | ||||
Citigroup, Inc. | ||||||
6.50%, 08/19/13 | 140,000 | 149,230 | ||||
6.00%, 12/13/13 | 110,000 | 115,492 | ||||
6.38%, 08/12/14 | 30,000 | 31,893 | ||||
5.00%, 09/15/14 | 160,000 | 160,182 | ||||
5.50%, 10/15/14 | 60,000 | 61,745 | ||||
6.88%, 03/05/38 | 130,000 | 136,811 | ||||
Comcast Corporation | ||||||
6.50%, 01/15/17 | 130,000 | 149,160 | ||||
5.15%, 03/01/20 | 100,000 | 104,894 | ||||
Community Health Systems, Inc. | ||||||
8.88%, 07/15/15D | 30,000 | 31,013 | ||||
ConocoPhillips Holding Co. | ||||||
6.95%, 04/15/29 | 130,000 | 159,992 | ||||
Countrywide Financial Corporation | ||||||
6.25%, 05/15/16 | 50,000 | 52,188 | ||||
COX Communications, Inc. | ||||||
5.45%, 12/15/14 | 40,000 | 44,195 | ||||
CVS Caremark Corporation | ||||||
6.60%, 03/15/19 | 80,000 | 93,252 | ||||
CVS Pass-Through Trust | ||||||
6.94%, 01/10/30 | 85,460 | 94,511 | ||||
DaVita, Inc. | ||||||
6.63%, 03/15/13 | 28,000 | 28,175 | ||||
Devon Financing Corporation | ||||||
6.88%, 09/30/11 | 150,000 | 160,198 | ||||
Dominion Resources, Inc. | ||||||
5.70%, 09/17/12 | 120,000 | 129,775 | ||||
Dr Pepper Snapple Group, Inc. | ||||||
6.82%, 05/01/18 | 100,000 | 119,452 | ||||
Duke Energy Carolinas LLC | ||||||
5.63%, 11/30/12 | 130,000 | 142,282 | ||||
Dynegy Holdings, Inc. | ||||||
7.75%, 06/01/19 | 5,000 | 3,481 | ||||
Energy Future Holdings Corporation | ||||||
11.25%, 11/01/17 PIK | 575,508 | 376,958 | ||||
6.50%, 11/15/24 | 20,000 | 9,100 | ||||
6.55%, 11/15/34 | 10,000 | 4,500 | ||||
Energy Transfer Partners LP | ||||||
6.70%, 07/01/18 | 50,000 | 53,852 | ||||
9.00%, 04/15/19D | 70,000 | 82,451 | ||||
Enterprise Products Operating LLC | ||||||
6.30%, 09/15/17 | 170,000 | 190,444 | ||||
FirstEnergy Corporation | ||||||
7.38%, 11/15/31 | 150,000 | 158,593 | ||||
Ford Motor Credit Co., LLC | ||||||
12.00%, 05/15/15 | 140,000 | 162,216 | ||||
Freeport-McMoRan Copper & Gold, Inc. | ||||||
8.38%, 04/01/17 | 145,000 | 159,707 | ||||
General Electric Capital Corporation | ||||||
6.00%, 08/07/19 | 260,000 | 281,965 | ||||
5.50%, 01/08/20D | 100,000 | 105,872 | ||||
6.38%, 11/15/67 | 130,000 | 121,713 | ||||
GMAC, Inc. | ||||||
6.63%, 05/15/12D | 348,000 | 351,480 | ||||
1.75%, 10/30/12D | 100,000 | 101,793 | ||||
Goldman Sachs Capital II | ||||||
5.79%, 12/29/49 | 10,000 | 7,600 | ||||
Goldman Sachs Group, Inc. | ||||||
6.60%, 01/15/12 | 10,000 | 10,580 | ||||
5.30%, 02/14/12 | 10,000 | 10,412 | ||||
3.63%, 08/01/12 | 20,000 | 20,384 | ||||
5.45%, 11/01/12 | 20,000 | 21,080 | ||||
4.75%, 07/15/13 | 10,000 | 10,448 | ||||
5.25%, 10/15/13 | 20,000 | 21,098 | ||||
5.95%, 01/18/18 | 100,000 | 104,029 | ||||
5.38%, 03/15/20 | 60,000 | 59,398 | ||||
HCA, Inc. | ||||||
9.63%, 11/15/16 PIKD | 52,593 | 56,406 | ||||
Hess Corporation | ||||||
8.13%, 02/15/19 | 100,000 | 124,858 | ||||
7.30%, 08/15/31 | 120,000 | 141,986 | ||||
HSBC Finance Corporation | ||||||
4.63%, 09/15/10 | 290,000 | 292,069 | ||||
Humana, Inc. | ||||||
7.20%, 06/15/18 | 60,000 | 67,080 | ||||
JPMorgan Chase & Co. | ||||||
6.13%, 06/27/17 | 200,000 | 219,119 | ||||
Kinder Morgan Energy Partners LP | ||||||
6.00%, 02/01/17 | 70,000 | 76,357 | ||||
6.95%, 01/15/38 | 60,000 | 63,960 | ||||
Kraft Foods, Inc. | ||||||
5.38%, 02/10/20 | 110,000 | 118,093 | ||||
Kroger Co. | ||||||
6.15%, 01/15/20D | 70,000 | 81,011 | ||||
L-3 Communications Corporation | ||||||
6.38%, 10/15/15 | 85,000 | 85,425 | ||||
Lehman Brothers Holdings Capital Trust VII | ||||||
5.86%, 11/29/49# | 10,000 | 26 | ||||
Lehman Brothers Holdings E-Capital Trust I | ||||||
3.59%, 08/19/65# | 50,000 | 130 | ||||
Lehman Brothers Holdings, Inc. | ||||||
6.50%, 07/19/17# | 160,000 | 280 | ||||
6.75%, 12/28/17# | 120,000 | 210 |
See Notes to Financial Statements.
108
Table of Contents
Par | Value | |||||
Medtronic, Inc. | ||||||
4.45%, 03/15/20 | $ | 40,000 | $ | 42,709 | ||
Merrill Lynch & Co., Inc. | ||||||
5.45%, 02/05/13D | 220,000 | 230,927 | ||||
MetLife, Inc. | ||||||
6.75%, 06/01/16 | 50,000 | 56,637 | ||||
6.40%, 12/15/36 | 120,000 | 106,200 | ||||
Morgan Stanley | ||||||
5.63%, 01/09/12 | 160,000 | 166,548 | ||||
NewPage Corporation | ||||||
10.00%, 05/01/12D | 10,000 | 5,475 | ||||
NRG Energy, Inc. | ||||||
7.25%, 02/01/14 | 10,000 | 10,163 | ||||
7.38%, 02/01/16 | 30,000 | 29,925 | ||||
Occidental Petroleum Corporation | ||||||
7.00%, 11/01/13D | 100,000 | 116,953 | ||||
Pacific Gas & Electric Co. | ||||||
5.63%, 11/30/17 | 30,000 | 33,856 | ||||
6.05%, 03/01/34 | 70,000 | 78,357 | ||||
Pemex Project Funding Master Trust | ||||||
6.63%, 06/15/35 | 90,000 | 93,020 | ||||
PepsiCo, Inc. | ||||||
7.90%, 11/01/18 | 60,000 | 77,702 | ||||
Pfizer, Inc. | ||||||
6.20%, 03/15/19D | 100,000 | 119,045 | ||||
Qwest Communications International, Inc. | ||||||
7.50%, 02/15/14 | 50,000 | 50,375 | ||||
Reed Elsevier Capital, Inc. | ||||||
8.63%, 01/15/19 | 90,000 | 114,759 | ||||
Roche Holdings, Inc. | ||||||
6.00%, 03/01/19 144A | 90,000 | 105,021 | ||||
SLM Corporation | ||||||
3.93%, 04/01/14† | 30,000 | 25,714 | ||||
Sonat, Inc. | ||||||
7.63%, 07/15/11D | 100,000 | 103,657 | ||||
Sprint Capital Corporation | ||||||
6.90%, 05/01/19 | 100,000 | 91,000 | ||||
Steel Dynamics, Inc. | ||||||
7.38%, 11/01/12D | 25,000 | 26,000 | ||||
SunTrust Capital VIII | ||||||
6.10%, 12/15/36 | 100,000 | 76,339 | ||||
Teachers Insurance & Annuity Association of America | ||||||
6.85%, 12/16/39 144A | 60,000 | 70,125 | ||||
Time Warner Cable, Inc. | ||||||
6.75%, 07/01/18 | 110,000 | 126,465 | ||||
7.30%, 07/01/38D | 90,000 | 104,828 | ||||
Travelers Cos., Inc. | ||||||
6.25%, 03/15/37† | 100,000 | 93,962 | ||||
United Parcel Service, Inc. | ||||||
4.50%, 01/15/13 | 50,000 | 54,064 | ||||
UnitedHealth Group, Inc. | ||||||
4.88%, 02/15/13 | 100,000 | 107,520 | ||||
Verizon Communications, Inc. | ||||||
8.95%, 03/01/39 | 70,000 | 99,478 | ||||
Verizon Global Funding Corporation | ||||||
7.38%, 09/01/12 | 100,000 | 112,406 | ||||
Wachovia Corporation | ||||||
5.63%, 10/15/16 | 270,000 | 291,788 | ||||
5.75%, 02/01/18 | 120,000 | 131,669 | ||||
WellPoint, Inc. | ||||||
5.88%, 06/15/17 | 110,000 | 122,723 | ||||
Williams Cos., Inc. | ||||||
7.88%, 09/01/21 | 38,000 | 43,635 | ||||
7.50%, 01/15/31 | 23,000 | 24,531 | ||||
7.75%, 06/15/31 | 38,000 | 40,934 | ||||
8.75%, 03/15/32 | 8,000 | 9,360 | ||||
Williams Partners LP | ||||||
5.25%, 03/15/20 144AD | 110,000 | 112,695 | ||||
Windstream Corporation | ||||||
8.63%, 08/01/16 | 20,000 | 20,250 | ||||
Wyeth | ||||||
5.95%, 04/01/37 | 60,000 | 68,205 | ||||
XTO Energy, Inc. | ||||||
7.50%, 04/15/12 | 110,000 | 122,531 | ||||
Total Corporate Bonds | 11,421,509 | |||||
FOREIGN BONDS — 0.8% | ||||||
Australia — 0.1% | ||||||
BHP Billiton Finance (USA) Ltd. | ||||||
6.50%, 04/01/19 | 130,000 | 156,170 | ||||
Commonwealth Bank of Australia | ||||||
3.75%, 10/15/14 144A | 60,000 | 61,742 | ||||
5.00%, 10/15/19 144A | 20,000 | 20,799 | ||||
Rio Tinto Finance USA, Ltd. | ||||||
9.00%, 05/01/19 | 180,000 | 236,592 | ||||
475,303 | ||||||
Canada — 0.0% | ||||||
Barrick Gold Corporation | ||||||
6.95%, 04/01/19D | 100,000 | 120,107 | ||||
OPTI Canada, Inc. | ||||||
7.88%, 12/15/14 | 10,000 | 8,750 | ||||
8.25%, 12/15/14D | 10,000 | 8,750 | ||||
137,607 | ||||||
Cayman Islands — 0.1% | ||||||
Petrobras International Finance Co. | ||||||
6.13%, 10/06/16D | 40,000 | 42,663 | ||||
5.75%, 01/20/20 | 32,000 | 32,386 | ||||
Resona Preferred Global Securities Cayman, Ltd. | ||||||
7.19%, 07/30/49 144AD | 60,000 | 55,268 | ||||
Shinsei Finance Cayman, Ltd. | ||||||
6.42%, 07/20/49 144A | 100,000 | 64,356 | ||||
Vale Overseas, Ltd. | ||||||
6.88%, 11/21/36 | 60,000 | 62,701 | ||||
257,374 | ||||||
France — 0.1% | ||||||
Compagnie Generale de Geophysique - Veritas | ||||||
7.50%, 05/15/15 | 50,000 | 47,875 | ||||
Credit Agricole SA | ||||||
8.38%, 10/13/19 144A | 120,000 | 114,000 | ||||
161,875 | ||||||
Iceland — 0.0% | ||||||
Glitnir Banki HF | ||||||
6.69%, 06/15/16 144A#@ | 130,000 | 488 |
See Notes to Financial Statements.
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SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||
Kaupthing Bank HF | ||||||
7.63%, 02/28/15 144A#@ | $ | 310,000 | $ | 74,400 | ||
74,888 | ||||||
India — 0.0% | ||||||
ICICI Bank, Ltd. | ||||||
6.38%, 04/30/22 144A | 110,000 | 101,473 | ||||
Italy — 0.0% | ||||||
Telecom Italia Capital SA | ||||||
5.25%, 10/01/15 | 60,000 | 60,624 | ||||
Japan — 0.1% | ||||||
Bank of Tokyo-Mitsubishi UFJ, Ltd. | ||||||
3.85%, 01/22/15 144AD | 100,000 | 104,146 | ||||
Japan Bank For International Cooperation Japan | ||||||
2.88%, 02/02/15 | 200,000 | 205,796 | ||||
309,942 | ||||||
Luxembourg — 0.0% | ||||||
FMC Finance III SA | ||||||
6.88%, 07/15/17 | 40,000 | 40,600 | ||||
TNK-BP Finance SA | ||||||
6.63%, 03/20/17 144A | 100,000 | 99,000 | ||||
139,600 | ||||||
Mexico — 0.0% | ||||||
America Movil SAB de CV | ||||||
5.63%, 11/15/17D | 30,000 | 32,943 | ||||
Kansas City Southern de Mexico SA de CV | ||||||
9.38%, 05/01/12 | 7,000 | 7,210 | ||||
Mexico Government International Bond | ||||||
6.75%, 09/27/34 | 50,000 | 57,875 | ||||
98,028 | ||||||
Netherlands — 0.1% | ||||||
Deutsche Telekom International Finance BV | ||||||
5.75%, 03/23/16 | 75,000 | 82,161 | ||||
Koninklijke KPN NV | ||||||
8.00%, 10/01/10 | 110,000 | 111,760 | ||||
Shell International Finance BV | ||||||
4.38%, 03/25/20D | 110,000 | 113,935 | ||||
307,856 | ||||||
Russia — 0.0% | ||||||
Russian Federation | ||||||
7.50%, 03/31/30 STEP | 11,960 | 13,512 | ||||
Spain — 0.1% | ||||||
Santander US Debt SA Unipersonal | ||||||
3.72%, 01/20/15 144A | 100,000 | 96,169 | ||||
Telefonica Emisiones SAU | ||||||
5.13%, 04/27/20D | 80,000 | 80,337 | ||||
176,506 | ||||||
Sweden — 0.0% | ||||||
Nordea Bank AB | ||||||
4.88%, 01/27/20 144AD | 130,000 | 133,770 | ||||
United Kingdom — 0.2% | ||||||
Barclays Bank PLC | ||||||
5.20%, 07/10/14 | 100,000 | 105,631 | ||||
BP Capital Markets PLC | ||||||
5.25%, 11/07/13D | 90,000 | 82,795 | ||||
3.88%, 03/10/15D | 30,000 | 25,591 | ||||
Lloyds TSB Bank PLC | ||||||
4.38%, 01/12/15 144A | 100,000 | 96,443 | ||||
5.80%, 01/13/20 144A | 100,000 | 94,558 | ||||
Royal Bank of Scotland PLC | ||||||
4.88%, 03/16/15 | 100,000 | 99,599 | ||||
Royal Bank of Scotland Group PLC | ||||||
6.40%, 10/21/19 | 100,000 | 101,115 | ||||
WPP Finance UK | ||||||
8.00%, 09/15/14 | 100,000 | 117,352 | ||||
723,084 | ||||||
Total Foreign Bonds | 3,171,442 | |||||
MORTGAGE-BACKED SECURITIES — 3.6% | ||||||
American Home Mortgage Investment Trust | ||||||
0.70%, 04/25/44 STEP | 34,431 | 23,906 | ||||
0.64%, 11/25/45† | 218,573 | 131,221 | ||||
Bear Stearns Adjustable Rate Mortgage Trust | ||||||
3.49%, 02/25/35 | 83,069 | 69,123 | ||||
3.49%, 08/25/35 | 221,005 | 157,559 | ||||
Bear Stearns Mortgage Funding Trust | ||||||
0.56%, 12/25/36† | 222,283 | 52,012 | ||||
Commercial Mortgage Lease-Backed Certificates | ||||||
6.75%, 06/20/31 144A | 255,862 | 281,572 | ||||
Countrywide Alternative Loan Trust | ||||||
0.59%, 07/25/35† | 204,957 | 109,445 | ||||
0.61%, 07/25/35† | 272,263 | 159,506 | ||||
Credit Suisse Mortgage Capital Certificates | ||||||
5.61%, 02/15/39 | 110,000 | 115,740 | ||||
CS First Boston Mortgage Securities Corporation | ||||||
6.00%, 10/25/35 | 117,552 | 74,078 | ||||
Federal Home Loan Mortgage Corporation | ||||||
5.50%, 08/01/39 TBA | 1,000,000 | 1,069,844 | ||||
5.87%, 05/01/37† | 22,049 | 23,517 | ||||
5.50%, 07/01/39 TBA | 100,000 | 107,297 | ||||
4.50%, 08/01/40 TBA | 700,000 | 722,532 | ||||
6.00%, 08/01/40 TBA | 700,000 | 757,532 | ||||
Federal National Mortgage Association | ||||||
5.00%, 06/01/35 | 924,921 | 982,912 | ||||
3.28%, 09/01/35† | 100,227 | 104,454 | ||||
4.00%, 08/13/39 TBA | 200,000 | 201,906 | ||||
4.50%, 08/13/39 TBA | 2,500,000 | 2,581,640 | ||||
First Horizon Alternative Mortgage Securities | ||||||
2.30%, 02/25/36† | 155,656 | 98,957 | ||||
0.72%, 02/25/37† | 90,243 | 44,883 | ||||
General Electric Capital Commercial Mortgage Corporation | ||||||
5.51%, 03/10/44 | 300,000 | 316,567 | ||||
GMAC Commercial Mortgage Securities, Inc. | ||||||
5.24%, 11/10/45 | 100,000 | 105,274 |
See Notes to Financial Statements.
110
Table of Contents
Par | Value | |||||
Government National Mortgage Association | ||||||
6.00%, 07/01/37 TBA | $ | 400,000 | $ | 435,875 | ||
5.50%, 07/01/38 TBA | 400,000 | 431,377 | ||||
6.00%, 07/01/38 TBA | 300,000 | 327,044 | ||||
5.50%, 07/21/38 TBA | 100,000 | 108,031 | ||||
5.00%, 07/01/39 TBA | 1,200,000 | 1,275,379 | ||||
5.00%, 01/15/40 | 496,581 | 530,349 | ||||
4.50%, 07/01/40 TBA | 500,000 | 520,781 | ||||
5.00%, 09/01/40 TBA | 100,000 | 105,469 | ||||
1.50%, 11/20/49† | 299,363 | 308,275 | ||||
Greenpoint Mortgage Funding Trust | ||||||
0.61%, 10/25/45† | 58,294 | 33,594 | ||||
GS Mortgage Securities Corporation II | ||||||
6.71%, 08/15/18 144A | 110,000 | 113,552 | ||||
Harborview Mortgage Loan Trust | ||||||
0.59%, 06/19/35† | 261,887 | 150,263 | ||||
Homestar Mortgage Acceptance Corporation | ||||||
0.80%, 07/25/34† | 97,311 | 73,665 | ||||
Impac CMB Trust | ||||||
1.15%, 03/25/33† | 18,760 | 13,837 | ||||
Indymac INDA Mortgage Loan Trust | ||||||
6.02%, 11/25/37† | 132,009 | 100,369 | ||||
MASTR Adjustable Rate Mortgages Trust | ||||||
2.96%, 11/21/34† | 200,000 | 173,025 | ||||
1.22%, 12/25/46† | 280,126 | 82,827 | ||||
Merrill Lynch Mortgage Investors, Inc. | ||||||
5.05%, 05/25/34† | 37,575 | 38,039 | ||||
2.80%, 02/25/35 | 218,762 | 215,373 | ||||
Morgan Stanley Capital I | ||||||
5.69%, 04/15/49 | 200,000 | 192,920 | ||||
Residential Accredit Loans, Inc. | ||||||
3.30%, 12/26/34 | 265,129 | 186,842 | ||||
0.75%, 10/25/45† | 164,192 | 87,053 | ||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||
2.65%, 11/25/34 | 76,867 | 57,289 | ||||
Structured Asset Mortgage Investments, Inc. | ||||||
0.56%, 08/25/36† | 260,529 | 143,565 | ||||
0.53%, 09/25/37† | 310,670 | 162,604 | ||||
Terwin Mortgage Trust | ||||||
0.43%, 10/25/37 144A† | 11,476 | 11,370 | ||||
Washington Mutual Alternative Mortgage Pass-Through Certificates | ||||||
1.26%, 05/25/47† | 307,719 | 64,740 | ||||
Washington Mutual Mortgage Pass-Through Certificates | ||||||
5.54%, 11/25/36 | 223,818 | 173,589 | ||||
Wells Fargo Mortgage-Backed Securities Trust | ||||||
0.75%, 05/25/33† | 92,788 | 91,648 | ||||
4.42%, 04/25/36 | 148,253 | 136,419 | ||||
Total Mortgage-Backed Securities | 14,636,640 | |||||
MUNICIPAL BONDS — 0.1% | ||||||
Municipal Electric Authority of Georgia, Series B Revenue Bond | ||||||
6.64%, 04/01/57 | 30,000 | 29,083 | ||||
6.66%, 04/01/57 | 10,000 | 9,656 | ||||
North Texas Higher Education Authority, Series 1 Revenue Bond | ||||||
1.46%, 07/01/30† | 95,000 | 94,556 | ||||
State of California General Obligation Bond | ||||||
7.30%, 10/01/39 | 50,000 | 52,105 | ||||
Total Municipal Bonds | 185,400 | |||||
Number of Contracts | ||||||
PURCHASED OPTIONS — 0.0% | ||||||
Call Options — 0.0% | ||||||
10-Year U.S. Treasury Note Futures, Strike Price $119.50, Expires 08/28/10 | 3 | 10,312 | ||||
10-Year U.S. Treasury Note Futures, Strike Price $121.50, Expires 08/28/10 | 4 | 7,813 | ||||
Total Purchased Options | 18,125 | |||||
Par | ||||||
U.S. TREASURY OBLIGATIONS — 3.1% | ||||||
U.S. Treasury Bills | ||||||
0.40%, 10/21/10 | $ | 710,000 | 709,668 | |||
0.20%, 11/18/10‡‡ | 1,395,000 | 1,394,050 | ||||
0.22%, 11/18/10‡‡ | 40,000 | 39,973 | ||||
0.23%, 11/18/10‡‡ | 60,000 | 59,959 | ||||
0.24%, 11/18/10‡‡ | 35,000 | 34,976 | ||||
0.25%, 11/18/10‡‡ | 65,000 | 64,956 | ||||
0.63%, 01/13/11D | 1,000,000 | 998,982 | ||||
3,302,564 | ||||||
U.S. Treasury Bonds | ||||||
8.00%, 11/15/21D | 90,000 | 130,908 | ||||
3.50%, 02/15/39D | 819,000 | 760,903 | ||||
4.25%, 05/15/39D | 490,000 | 518,175 | ||||
4.50%, 08/15/39D‡‡ | 1,140,000 | 1,255,782 | ||||
4.38%, 11/15/39D | 840,000 | 906,938 | ||||
4.63%, 02/15/40D | 760,000 | 854,406 | ||||
4,427,112 | ||||||
U.S. Treasury Inflationary Index Bonds | ||||||
2.38%, 01/15/27‡‡ | 35,000 | 42,014 | ||||
1.75%, 01/15/28‡‡ | 100,000 | 105,813 | ||||
2.50%, 01/15/29‡‡ | 150,000 | 172,613 | ||||
320,440 | ||||||
U.S. Treasury Notes | ||||||
0.63%, 06/30/12 | 250,000 | 250,059 | ||||
1.75%, 04/15/13D | 20,000 | 20,458 | ||||
1.38%, 05/15/13D | 60,000 | 60,741 | ||||
2.50%, 04/30/15D | 190,000 | 196,784 | ||||
2.13%, 05/31/15D | 20,000 | 20,347 | ||||
2.75%, 11/30/16D | 720,000 | 738,281 | ||||
3.25%, 12/31/16 | 340,000 | 358,434 | ||||
2.75%, 05/31/17 | 490,000 | 500,412 |
See Notes to Financial Statements.
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SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS (Continued) |
Par | Value | |||||||
2.50%, 06/30/17 | $ | 1,020,000 | $ | 1,024,622 | ||||
3.38%, 11/15/19 | 910,000 | 942,633 | ||||||
3.50%, 05/15/20D | 420,000 | 439,621 | ||||||
4,552,392 | ||||||||
Total U.S. Treasury Obligations | 12,602,508 | |||||||
TOTAL INVESTMENTS — 134.7% | 544,963,046 | |||||||
Number of Contracts | ||||||||
WRITTEN OPTIONS — 0.0% | ||||||||
Call Options — 0.0% | ||||||||
10-Year U.S. Treasury Note Futures, Strike Price $121.00, Expires 08/28/10 (MLCS) | (4 | ) | (9,125 | ) | ||||
10-Year U.S. Treasury Note Futures, Strike Price $123.50, Expires 08/28/10 (MLCS) | (2 | ) | (1,875 | ) | ||||
90-Day Eurodollar Futures, Strike Price $99.25, Expires 09/13/10 (MLCS) | (10 | ) | (4,188 | ) | ||||
(15,188 | ) | |||||||
Put Options — 0.0% | ||||||||
10-Year U.S. Treasury Note Futures, Strike Price $115.00, Expires 08/28/10 (MLCS) | (4 | ) | (250 | ) | ||||
Total Written Options | (15,438 | ) | ||||||
Liabilities in Excess of Other Assets — (34.7)% | (140,404,748 | ) | ||||||
NET ASSETS — 100.0% | $ | 404,542,860 | ||||||
Please see abbreviation and footnote definitions on page 127.
PORTFOLIO SUMMARY (based on net assets)
% | |||
Money Market Funds | 35.7 | ||
Financial Services | 18.7 | ||
Futures Contracts | 16.6 | ||
Producer Durables | 12.9 | ||
Technology | 12.9 | ||
Consumer Discretionary | 12.8 | ||
Healthcare | 10.8 | ||
Materials & Processing | 5.7 | ||
Energy | 4.9 | ||
Utilities | 4.5 | ||
Mortgage-Backed Securities | 3.6 | ||
U.S. Treasury Obligations | 3.1 | ||
Corporate Bonds | 2.8 | ||
Consumer Staples | 2.4 | ||
Agency Obligations | 1.3 | ||
Foreign Common Stocks | 1.3 | ||
Foreign Bonds | 0.8 | ||
Asset-Backed Securities | 0.4 | ||
Forward Foreign Currency Contracts | 0.3 | ||
Municipal Bonds | 0.1 | ||
Preferred Stocks | — | ** | |
Purchased Options | — | ** | |
Written Options | — | ** | |
151.6 | |||
** | Rounds to less than 0.005%. |
See Notes to Financial Statements.
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VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2010, in valuing the Fund’s assets carried at fair value:
Valuation Inputs | Investments in Securities | Other Financial Instruments*** | ||||||
Assets: | ||||||||
Level 1 — Quoted Prices Common Stocks | $ | 345,522,477 | $ | — | ||||
Foreign Common Stocks | 5,379,983 | — | ||||||
Futures Contracts | — | (3,045,856 | ) | |||||
Money Market Funds | 144,272,275 | — | ||||||
Preferred Stocks | 3,069 | — | ||||||
Purchased Options | 18,125 | — | ||||||
Level 2 — Other Significant Observable Inputs | ||||||||
Agency Obligations | 5,395,822 | — | ||||||
Asset-Backed Securities | 1,762,946 | — | ||||||
Corporate Bonds | 11,421,509 | — | ||||||
Foreign Bonds | 3,171,442 | — | ||||||
Forward Foreign Currency Contracts | — | 27,260 | ||||||
Mortgage-Backed Securities | 14,636,640 | — | ||||||
Municipal Bonds | 185,400 | — | ||||||
U.S. Treasury Obligations | 12,602,508 | — | ||||||
Level 3 — Significant Unobservable Inputs Common Stocks | 590,850 | — | ||||||
Total Assets | $ | 544,963,046 | $ | (3,018,596 | ) | |||
Liabilities: | ||||||||
Level 1 — Quoted Prices Written Options | $ | (15,438 | ) | $ | — | |||
Level 2 — Other Significant Observable Inputs | — | — | ||||||
Level 3 — Significant Unobservable Inputs | — | — | ||||||
Total Liabilities | $ | (15,438 | ) | $ | — | |||
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:
Investments in Securities | Other Financial Instruments*** | ||||||
Balance, 12/31/09 Common Stocks | $ | 613,575 | $ | — | |||
Realized gain (loss) Common Stocks | — | — | |||||
Changed in unrealized appreciation (depreciation) Common Stocks | (22,725 | ) | — | ||||
Purchases Common Stocks | — | — | |||||
Sales Common Stocks | — | — | |||||
Transfers in and/or out of Level 3 Common Stocks | — | — | |||||
Balance, 06/30/10 | $ | 590,850 | $ | — | |||
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
See Notes to Financial Statements.
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SCHEDULE OF INVESTMENTS | June 30, 2010 (Unaudited) |
Shares | Value | ||||
FOREIGN COMMON STOCKS — 95.7% | |||||
Argentina — 0.0% | |||||
Banco Macro SA ADR | 15,300 | $ | 450,585 | ||
Australia — 4.7% | |||||
ABC Learning Centres, Ltd.+* | 2,281 | 1,037 | |||
Amcor, Ltd.‡‡ | 1,056,895 | 5,632,829 | |||
AMP, Ltd.‡‡ | 141,845 | 615,616 | |||
Ansell, Ltd.‡‡ | 21,580 | 236,763 | |||
Arrow Energy, Ltd.*‡‡ | 3,747 | 15,166 | |||
ASX, Ltd.‡‡ | 1,237 | 30,176 | |||
Australia and New Zealand Banking Group, Ltd.‡‡ | 99,662 | 1,790,070 | |||
AWB, Ltd.*‡‡ | 81,290 | 62,110 | |||
AWE, Ltd.*‡‡ | 29,377 | 43,240 | |||
AXA Asia Pacific Holdings, Ltd.‡‡ | 6,597 | 30,181 | |||
BGP Group REIT Entitlement Shares+* | 63,198 | — | |||
BHP Billiton, Ltd.‡‡ | 164,306 | 5,111,493 | |||
BlueScope Steel, Ltd.‡‡ | 16,948 | 29,464 | |||
Boral, Ltd.‡‡ | 38,166 | 152,880 | |||
Brambles, Ltd.‡‡ | 23,273 | 105,987 | |||
Caltex Australia, Ltd.‡‡ | 11,088 | 86,999 | |||
Centamin Egypt, Ltd.D* | 82,100 | 200,184 | |||
Centennial Coal Co., Ltd.‡‡ | 35,033 | 129,432 | |||
CFS Retail Property Trust REITD‡‡ | 252,951 | 399,825 | |||
Challenger Financial Services Group, Ltd.‡‡ | 252,830 | 737,211 | |||
Coca-Cola Amatil, Ltd. | 591,520 | 5,922,792 | |||
Commonwealth Bank of Australia‡‡ | 71,057 | 2,872,661 | |||
Computershare, Ltd.‡‡ | 74,003 | 654,460 | |||
David Jones, Ltd.‡‡ | 10,614 | 38,116 | |||
Dexus Property Group REIT‡‡ | 21,504 | 13,799 | |||
Downer EDI, Ltd.D‡‡ | 114,058 | 341,730 | |||
DUET Group‡‡ | 87,041 | 117,609 | |||
Fairfax Media, Ltd.‡‡ | 60,789 | 66,422 | |||
Flight Centre, Ltd.‡‡ | 4,251 | 58,812 | |||
Goodman Fielder, Ltd.‡‡ | 30,334 | 34,197 | |||
Goodman Group REIT‡‡ | 39,279 | 20,775 | |||
GPT Group REIT‡‡ | 12,640 | 29,512 | |||
Iluka Resources, Ltd.* | 296,780 | 1,146,333 | |||
Incitec Pivot, Ltd. | 439,624 | 994,245 | |||
Insurance Australia Group, Ltd.‡‡ | 11,836 | 33,669 | |||
Intoll Group‡‡ | 13,110 | 11,423 | |||
JB Hi-Fi, Ltd.‡‡ | 19,171 | 304,972 | |||
Leighton Holdings, Ltd. | 15,208 | 365,768 | |||
Lend Lease Group‡‡ | 3,453 | 21,028 | |||
Macquarie Atlas Roads Group*‡‡ | 4,871 | 3,892 | |||
Macquarie Group, Ltd.D‡‡ | 30,200 | 928,244 | |||
MAP Group‡‡ | 11,173 | 25,041 | |||
Mirvac Group REIT‡‡ | 18,008 | 19,667 | |||
Myer Holdings, Ltd. | 432,688 | 1,141,747 | |||
National Australia Bank, Ltd.‡‡ | 157,915 | 3,053,171 | |||
Newcrest Mining, Ltd.‡‡ | 2,749 | 80,206 | |||
OneSteel, Ltd.‡‡ | 25,197 | 62,341 | |||
Orica, Ltd.‡‡ | 5,036 | 105,935 | |||
Origin Energy, Ltd.‡‡ | 5,102 | 63,651 | |||
OZ Minerals, Ltd.‡‡ | 709,491 | 561,910 | |||
Paladin Energy, Ltd.*‡‡ | 4,238 | 12,619 | |||
QBE Insurance Group, Ltd.‡‡ | 281,937 | 4,278,136 | |||
Quantas Airways, Ltd.‡‡ | 27,432 | 50,287 | |||
Ramsay Health Care, Ltd.‡‡ | 10,283 | 120,964 | |||
Rio Tinto, Ltd.‡‡ | 26,497 | 1,457,188 | |||
Sigma Pharmaceuticals, Ltd.‡‡ | 16,855 | 5,908 | |||
Sonic Healthcare, Ltd.‡‡ | 467 | 4,064 | |||
Stockland REIT‡‡ | 12,232 | 37,963 | |||
Suncorp-Metway, Ltd.‡‡ | 23,089 | 154,470 | |||
Telstra Corporation, Ltd.‡‡ | 2,880,438 | 7,851,358 | |||
Toll Holdings, Ltd. | 13,880 | 63,210 | |||
Transurban Group‡‡ | 8,164 | 28,979 | |||
United Group, Ltd.‡‡ | 5,225 | 59,075 | |||
Wesfarmers, Ltd.‡‡ | 172,814 | 4,130,502 | |||
Wesfarmers, Ltd. Price Protected Shares‡‡ | 974 | 23,356 | |||
West Australian Newspapers Holdings, Ltd.‡‡ | 17,765 | 96,604 | |||
Westfield Group REIT‡‡ | 13,458 | 136,757 | |||
Westpac Banking Corporation‡‡ | 93,525 | 1,648,517 | |||
Woodside Petroleum, Ltd.‡‡ | 806 | 28,016 | |||
Wotif.com Holdings, Ltd. | 50,428 | 225,700 | |||
54,918,464 | |||||
Austria — 0.1% | |||||
OMV AG | 12,347 | 370,788 | |||
Vienna Insurance GroupD | 17,275 | 717,082 | |||
Wienerberger AGD | 34,180 | 415,448 | |||
1,503,318 | |||||
Belgium — 0.3% | |||||
Bekaert SA‡‡ | 1,041 | 173,552 | |||
Delhaize Group SAD | 17,334 | 1,257,854 | |||
Dexia SAD* | 53,089 | 185,258 | |||
Fortis | 345,986 | 769,931 | |||
Groupe Bruxelles Lambert SA‡‡ | 457 | 31,689 | |||
KBC Groep NV‡‡ | 12,582 | 482,272 | |||
Umicore‡‡ | 5,339 | 154,037 | |||
3,054,593 | |||||
Bermuda — 0.0% | |||||
Catlin Group, Ltd. | 20,685 | 108,282 | |||
Hiscox, Ltd.‡‡ | 36,315 | 185,103 | |||
293,385 | |||||
Brazil — 2.2% | |||||
Amil Participacoes SA* | 109,733 | 890,631 | |||
Banco do Brasil SA | 47,937 | 663,682 | |||
Banco Santander Brasil SA ADRD | 358,822 | 3,706,631 | |||
BR Malls Participacoes SA | 22,005 | 289,174 | |||
Cia Brasileira de Distribuicao Grupo Pao de Acucar ADRD | 7,180 | 499,154 | |||
Cia Paranaense de Energia ADRD | 94,671 | 1,954,956 | |||
Cia Siderurgica Nacional SA | 95,668 | 1,404,544 | |||
Cosan, Ltd.D* | 20,500 | 191,470 | |||
Fibria Celulose SA | 12,862 | 190,899 | |||
Fibria Celulose SA ADRD* | 6,126 | 90,665 | |||
Gafisa SA ADRD | 13,400 | 162,274 | |||
Hypermarcas SA* | 10,140 | 130,050 | |||
Investimentos Itau SA | 1,870 | 11,324 | |||
Itau Unibanco Holding SA ADR+ 144A* | 7,000 | 112,000 | |||
Julius Baer Group, Ltd. | 50,946 | 524,984 | |||
Localiza Rent A Car SA | 46,216 | 531,804 | |||
Lojas Renner SA | 74,305 | 2,034,022 | |||
Marfrig Alimentos SA* | 76,681 | 712,007 |
See Notes to Financial Statements.
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Shares | Value | ||||
Multiplan Empreendimentos Imobiliarios SA | 4,000 | $ | 71,246 | ||
OGX Petroleo e Gas Participacoes SA | 168,500 | 1,565,510 | |||
PDG Realty SA Empreendimentos e Participacoes | 45,735 | 383,110 | |||
Petroleo Brasileiro SA ADRD | 106,432 | 3,437,269 | |||
Redecard SA* | 7,700 | 108,824 | |||
Tele Norte Leste Participacoes SA ADRD | 20,300 | 303,688 | |||
Totvs SA | 11,173 | 819,188 | |||
Tractebel Energia SA | 67,257 | 786,217 | |||
Triunfo Participacoes e Investimentos SA* | 43,082 | 128,411 | |||
Usinas Siderurgicas de Minas Gerais SA | 22,658 | 602,665 | |||
Usinas Siderurgicas de Minas Gerais SA ADRD | 33,800 | 929,162 | |||
Vale SA ADRD | 99,800 | 2,143,750 | |||
25,379,311 | |||||
Canada — 1.4% | |||||
Canadian National Railway Co. | 46,380 | 2,658,066 | |||
Canadian Natural Resources, Ltd. | 53,700 | 1,782,181 | |||
Falcon Oil & Gas, Ltd.* | 433,398 | 71,246 | |||
First Quantum Minerals, Ltd. | 39,866 | 2,005,377 | |||
Magna International, Inc. Class AD | 22,280 | 1,469,589 | |||
Potash Corporation of Saskatchewan, Inc. | 6,500 | 560,560 | |||
Research In Motion, Ltd.D* | 10,200 | 502,452 | |||
Rogers Communications, Inc. Class BD | 44,600 | 1,457,130 | |||
Suncor Energy, Inc. | 44,600 | 1,312,590 | |||
Talisman Energy, Inc. | 187,000 | 2,828,144 | |||
Toronto-Dominion Bank | 19,800 | 1,282,987 | |||
15,930,322 | |||||
Chile — 0.3% | |||||
Banco Santander Chile ADRD | 8,086 | 542,490 | |||
Centros Comerciales Sudamericanos SA | 76,700 | 346,242 | |||
Embotelladora Andina SA ADR Class A@D | 20,000 | 360,000 | |||
Embotelladora Andina SA ADR Class BD | 28,000 | 626,080 | |||
Empresas La Polar SA | 34,000 | 184,928 | |||
Enersis SA ADR | 46,000 | 915,860 | |||
2,975,600 | |||||
China — 2.5% | |||||
Air China, Ltd. Class H | 314,000 | 307,940 | |||
Anhui Conch Cement Co., Ltd. Class HD | 485,278 | 1,410,828 | |||
Baidu, Inc. ADR* | 7,510 | 511,281 | |||
Bank of China, Ltd. Class H | 4,499,000 | 2,269,758 | |||
Bank of Communications Co., Ltd.+ | 1,166,000 | 1,227,164 | |||
China Coal Energy Co. Class H | 291,000 | 363,546 | |||
China Construction Bank Corporation Class H | 1,504,670 | 1,211,280 | |||
China Life Insurance Co., Ltd. Class H | 639,000 | 2,794,494 | |||
China Merchants Bank Co., Ltd. Class H | 745,007 | 1,782,280 | |||
China Shenhua Energy Co., Ltd. Class H | 380,156 | 1,371,491 | |||
China Shipping Development Co., Ltd. Class H | 334,000 | 420,093 | |||
China Unicom Hong Kong, Ltd. | 1,984,000 | 2,653,745 | |||
China Yurun Food Group, Ltd.D | 298,000 | 937,119 | |||
Ctrip.com International, Ltd. ADR | 13,900 | 522,084 | |||
Foxconn International Holdings, Ltd.*‡‡ | 16,000 | 10,358 | |||
Guangzhou R&F Properties Co., Ltd. Class HD | 478,000 | 604,386 | |||
Industrial & Commercial Bank of China Class HD | 4,525,023 | 3,289,035 | |||
Longfor Properties Co., Ltd. | 149,000 | 149,186 | |||
Netease.com ADRD* | 65,600 | 2,080,176 | |||
Parkson Retail Group, Ltd.D | 647,267 | 1,091,024 | |||
Tencent Holdings, Ltd.D | 80,400 | 1,332,007 | |||
Trina Solar, Ltd. ADRD* | 32,000 | 552,960 | |||
Want Want China Holdings, Ltd.@D | 1,316,309 | 1,104,940 | |||
Xinao Gas Holdings, Ltd. | 312,433 | 691,483 | |||
Yangzijiang Shipbuilding Holdings, Ltd.D‡‡ | 221,000 | 210,792 | |||
Zhongsheng Group Holdings, Ltd.* | 209,000 | 257,663 | |||
ZTE Corporation Class HD | 100,400 | 304,850 | |||
29,461,963 | |||||
Colombia — 0.1% | |||||
BanColombia SA | 64,300 | 804,237 | |||
BanColombia SA ADRD | 12,794 | 641,363 | |||
1,445,600 | |||||
Czech Republic — 0.1% | |||||
CEZ AS | 21,800 | 887,305 | |||
Denmark — 1.2% | |||||
A P Moller - Maersk A/S‡‡ | 72 | 567,059 | |||
Coloplast A/S Class B‡‡ | 4,060 | 402,992 | |||
Danisco A/S‡‡ | 5,319 | 357,927 | |||
Danske Bank A/S‡‡ | 18,138 | 349,019 | |||
FLSmidth & Co. A/SD‡‡ | 31,380 | 2,025,113 | |||
H Lundbeck A/SD | 44,900 | 612,458 | |||
Novo-Nordisk A/S Class BD‡‡ | 117,862 | 9,522,394 | |||
Vestas Wind Systems A/S*‡‡ | 52 | 2,164 | |||
13,839,126 | |||||
Egypt — 0.3% | |||||
Commercial International Bank, Ltd. | 23,934 | 280,190 | |||
El Swedy Cables Holding Co. | 49,735 | 579,139 | |||
Orascom Construction Industries | 56,594 | 2,228,012 | |||
Orascom Construction Industries GDR | 4,988 | 195,779 | |||
3,283,120 | |||||
Estonia — 0.0% | |||||
Tallink Group, Ltd.* | 605,860 | 413,385 | |||
Finland — 0.3% | |||||
Elisa OYJ‡‡ | 359 | 6,209 | |||
Fortum OYJ‡‡ | 8,035 | 176,374 | |||
Kesko OYJ‡‡ | 5,568 | 180,105 | |||
Kone OYJ‡‡ | 2,427 | 96,632 | |||
Nokia OYJ‡‡ | 91,671 | 747,194 | |||
Sampo OYJ‡‡ | 5,553 | 117,078 |
See Notes to Financial Statements.
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INTERNATIONAL EQUITY FUND SCHEDULE OF INVESTMENTS (Continued) |
Shares | Value | ||||
Sanoma OYJ‡‡ | 2,626 | $ | 45,340 | ||
Stora Enso OYJ Class R‡‡ | 37,040 | 267,642 | |||
UPM-Kymmene OYJD‡‡ | 105,202 | 1,392,804 | |||
Wartsila OYJ‡‡ | 1,591 | 72,346 | |||
3,101,724 | |||||
France — 7.1% | |||||
Air Liquide SAD | 40,720 | 4,112,182 | |||
Atos Origin SA‡‡ | 2,752 | 110,501 | |||
AXA SA | 239,134 | 3,653,281 | |||
BNP Paribas‡‡ | 73,434 | 3,950,816 | |||
Bouygues SA‡‡ | 26,057 | 1,005,841 | |||
Cap Gemini SA‡‡ | 3,522 | 154,791 | |||
Carrefour SAD | 167,927 | 6,661,261 | |||
Casino Guichard Perrachon SAD | 27,854 | 2,113,702 | |||
Christian Dior SA‡‡ | 28,168 | 2,703,630 | |||
Cie de St-Gobain‡‡ | 123,657 | 4,608,030 | |||
Cie Generale de Geophysique-Veritas*‡‡ | 13,375 | 237,940 | |||
Cie Generale des Etablissements Michelin Class BD‡‡ | 11,278 | 785,765 | |||
Cie Generale d’Optique Essilor International SAD | 23,860 | 1,417,880 | |||
CNP Assurances‡‡ | 2,852 | 194,031 | |||
Credit Agricole SA‡‡ | 52,440 | 544,074 | |||
Danone | 57,138 | 3,063,186 | |||
Dassault Systemes SAD | 12,820 | 776,633 | |||
Eutelsat Communications‡‡ | 7,379 | 247,032 | |||
France Telecom SAD | 299,992 | 5,203,348 | |||
Gecina SA REIT | 5,235 | 472,919 | |||
Imerys SA‡‡ | 5,990 | 304,801 | |||
Klepierre REIT‡‡ | 623 | 17,213 | |||
Lafarge SAD | 25,161 | 1,371,974 | |||
Lagardere SCA‡‡ | 5,519 | 172,134 | |||
Legrand SA‡‡ | 8,328 | 246,852 | |||
Natixis‡‡ | 62,604 | 271,855 | |||
Peugeot SAD* | 9,828 | 249,807 | |||
PPR‡‡ | 2,409 | 299,254 | |||
Publicis Groupe SAD | 27,630 | 1,102,157 | |||
Rhodia SA* | 34,310 | 568,473 | |||
Safran SA‡‡ | 6,719 | 187,429 | |||
Sanofi-Aventis SA‡‡ | 127,282 | 7,665,868 | |||
Schneider Electric SA‡‡ | 43,688 | 4,412,496 | |||
SCOR SE‡‡ | 12,709 | 242,734 | |||
Societe BIC SA‡‡ | 5,889 | 418,250 | |||
Societe Generale‡‡ | 133,225 | 5,482,078 | |||
Sodexo‡‡ | 1,302 | 72,257 | |||
Technip SA‡‡ | 26,102 | 1,497,107 | |||
Thales SA‡‡ | 9,855 | 318,160 | |||
Total SA‡‡ | 241,758 | 10,791,814 | |||
Unibail-Rodamco SE REIT‡‡ | 611 | 99,582 | |||
VallourecD | 6,192 | 1,067,579 | |||
Vinci SA | 56,853 | 2,360,636 | |||
Vivendi SA‡‡ | 72,775 | 1,478,943 | |||
WendelD | 19,400 | 976,818 | |||
83,693,114 | |||||
Germany — 5.7% | |||||
Aareal Bank AGD | 30,389 | 507,521 | |||
Adidas-Salomon AG‡‡ | 3,953 | 191,385 | |||
Aixtron AGD | 39,056 | 923,336 | |||
Allianz SE‡‡ | 33,543 | 3,319,871 | |||
BASF SE‡‡ | 146,550 | 8,007,562 | |||
Bayer AG‡‡ | 54,721 | 3,057,894 | |||
Bayerische Motoren Werke AGD | 35,627 | 1,730,641 | |||
Beiersdorf AG | 30,650 | 1,692,804 | |||
Celesio AG‡‡ | 5,106 | 111,340 | |||
Continental AG‡‡ | 1,704 | 88,454 | |||
Daimler AG‡‡ | 4,957 | 250,753 | |||
Deutsche Bank AG‡‡ | 60,305 | 3,387,292 | |||
Deutsche Boerse AG‡‡ | 27,995 | 1,700,799 | |||
Deutsche Lufthansa AG | 146,530 | 2,025,710 | |||
Deutsche Post AG‡‡ | 29,807 | 434,591 | |||
Deutsche Telekom AG | 481,866 | 5,688,713 | |||
E.ON AG‡‡ | 10,502 | 282,381 | |||
Fresenius Medical Care AG & Co. KGaA | 20,600 | 1,111,466 | |||
GEA Group AGD‡‡ | 135,601 | 2,698,864 | |||
Hannover Rueckversicherung AGD‡‡ | 108,996 | 4,671,082 | |||
Infineon Technologies AG*‡‡ | 33,280 | 192,938 | |||
Lanxess AG‡‡ | 1,717 | 72,271 | |||
Linde AG | 23,073 | 2,426,126 | |||
MAN AG‡‡ | 130 | 10,717 | |||
Merck KGaAD | 18,960 | 1,390,885 | |||
Metro AGD | 31,510 | 1,607,691 | |||
MTU Aero Engines Holding AG‡‡ | 4,593 | 254,982 | |||
Muenchener Rueckversicherungs AG | 21,319 | 2,676,880 | |||
RWE AG‡‡ | 131,759 | 8,621,788 | |||
Salzgitter AG‡‡ | 2,607 | 155,361 | |||
SAP AG | 34,004 | 1,512,067 | |||
Siemens AG‡‡ | 49,773 | 4,451,693 | |||
Software AG‡‡ | 150 | 15,419 | |||
Suedzucker AG‡‡ | 4,711 | 85,116 | |||
Symrise AG | 70,302 | 1,451,572 | |||
ThyssenKrupp AG‡‡ | 6,155 | 151,679 | |||
TUI AG‡‡ | 6,879 | 60,449 | |||
United Internet AGD‡‡ | 39,050 | 427,607 | |||
Volkswagen AG‡‡ | 477 | 40,467 | |||
67,488,167 | |||||
Greece — 0.3% | |||||
Coca Cola Hellenic Bottling Co. SA | 88,968 | 1,906,688 | |||
Public Power Corporation SA | 138,686 | 1,988,525 | |||
3,895,213 | |||||
Hong Kong — 3.1% | |||||
ASM Pacific Technology, Ltd.‡‡ | 1,400 | 10,876 | |||
Beijing Enterprises Holdings, Ltd.D | 88,500 | 574,515 | |||
Belle International Holdings, Ltd. | 712,000 | 1,010,104 | |||
BOC Hong Kong Holdings, Ltd.‡‡ | 220,500 | 502,181 | |||
Cheung Kong Holdings, Ltd.‡‡ | 9,000 | 103,867 | |||
Cheung Kong Infrastructure Holdings, Ltd.‡‡ | 2,000 | 7,409 | |||
China Mengniu Dairy Co., Ltd.D | 278,000 | 901,053 | |||
China Mobile, Ltd. | 469,118 | 4,662,024 | |||
China Overseas Land & Investment, Ltd.D | 730,372 | 1,360,911 | |||
Chinese Estates Holdings, Ltd.‡‡ | 20,000 | 35,344 | |||
CLP Holdings, Ltd.‡‡ | 11,000 | 79,619 | |||
CNOOC, Ltd. | 3,295,000 | 5,600,439 |
See Notes to Financial Statements.
116
Table of Contents
Shares | Value | ||||
Dairy Farm International Holdings, Ltd. | 173,700 | $ | 1,208,952 | ||
Esprit Holdings, Ltd.‡‡ | 337,071 | 1,810,530 | |||
Hang Lung Group, Ltd.‡‡ | 5,000 | 26,946 | |||
Henderson Land Development Co., Ltd.‡‡ | 1,000 | 5,857 | |||
Hong Kong Electric Holdings, Ltd.‡‡ | 539,500 | 3,213,418 | |||
Hong Kong Exchanges and Clearing, Ltd.‡‡ | 6,400 | 99,817 | |||
Hutchison Whampoa, Ltd.‡‡ | 417,600 | 2,569,939 | |||
Hysan Development Co., Ltd.‡‡ | 244,000 | 689,756 | |||
Jardine Matheson Holdings, Ltd. | 120,000 | 4,199,738 | |||
Li & Fung, Ltd.‡‡ | 500,000 | 2,236,988 | |||
Lifestyle International Holdings, Ltd.‡‡ | 4,000 | 7,739 | |||
Link (The) REIT‡‡ | 16,000 | 39,702 | |||
Mongolia Energy Co., Ltd.*‡‡ | 15,000 | 5,219 | |||
New World Department Store China, Ltd.D | 467,337 | 422,561 | |||
New World Development, Ltd.‡‡ | 17,000 | 27,599 | |||
Noble Group, Ltd. | 711,273 | 859,705 | |||
NWS Holdings, Ltd.‡‡ | 6,000 | 10,845 | |||
Orient Overseas International, Ltd.‡‡ | 8,000 | 57,187 | |||
PCCW, Ltd.‡‡ | 14,000 | 4,084 | |||
Shangri-La Asia, Ltd. | 262,000 | 483,578 | |||
Sino Land Co., Ltd. | 208,000 | 371,723 | |||
Sun Hung Kai Properties, Ltd.‡‡ | 30,000 | 410,279 | |||
Swire Pacific, Ltd. Class A‡‡ | 93,500 | 1,061,342 | |||
Television Broadcasts, Ltd.‡‡ | 15,000 | 69,557 | |||
VTech Holdings, Ltd.D | 62,000 | 663,077 | |||
Wharf Holdings, Ltd.‡‡ | 19,000 | 92,047 | |||
Wheelock & Co., Ltd.‡‡ | 24,000 | 67,659 | |||
Yue Yuen Industrial Holdings, Ltd.+‡‡ | 169,500 | 526,104 | |||
36,090,290 | |||||
Hungary — 0.2% | |||||
MOL Hungarian Oil and Gas PLC | 22,930 | 1,888,859 | |||
MOL Hungarian Oil and Gas PLC ADR | 7,460 | 311,716 | |||
2,200,575 | |||||
India — 2.5% | |||||
Ambuja Cements, Ltd. | 575,721 | 1,412,239 | |||
Andhra Bank | 254,468 | 707,124 | |||
Asian Paints, Ltd. | 30,448 | 1,500,682 | |||
Bajaj Auto, Ltd. | 20,489 | 1,090,364 | |||
Bharat Heavy Electricals, Ltd. | 11,880 | 625,918 | |||
Cairn India, Ltd.* | 59,701 | 386,582 | |||
Container Corporation of India, Ltd. | 24,463 | 707,710 | |||
Dabur India, Ltd. | 237,123 | 1,069,242 | |||
Dr. Reddys Laboratories, Ltd. ADRD | 15,900 | 490,515 | |||
HDFC Bank, Ltd. | 168,280 | 6,910,911 | |||
Housing Development Finance Corporation | 22,521 | 1,419,270 | |||
ICICI Bank, Ltd. ADRD | 8,900 | 321,646 | |||
Infosys Technologies, Ltd. | 61,161 | 3,649,058 | |||
Infosys Technologies, Ltd. ADRD | 19,150 | 1,147,277 | |||
Jindal Steel & Power, Ltd. | 32,600 | 435,313 | |||
Larsen & Toubro, Ltd. | 3,600 | 139,239 | |||
Lupin, Ltd. | 4,523 | 190,411 | |||
Opto Circuits India, Ltd. | 94,061 | 481,953 | |||
Sesa Goa, Ltd. | 26,823 | 200,813 | |||
Shriram Transport Finance Co., Ltd. | 135,994 | 1,675,925 | |||
Steel Authority of India, Ltd. | 123,172 | 505,958 | |||
Sun Pharmaceuticals Industries, Ltd. | 57,867 | 2,216,062 | |||
Tata Motors, Ltd. ADRD | 16,800 | 288,792 | |||
UTI Bank, Ltd. | 56,000 | 1,484,561 | |||
Welspun-Gujarat Stahl, Ltd. | 89,872 | 445,786 | |||
29,503,351 | |||||
Indonesia — 1.2% | |||||
PT Astra International Tbk | 262,000 | 1,384,274 | |||
PT Bank Central Asia Tbk | 1,168,000 | 759,960 | |||
PT Bank Danamon Indonesia Tbk | 1,186,908 | 701,023 | |||
PT Bank Rakyat Indonesia | 4,532,602 | 4,601,763 | |||
PT Indocement Tunggal Prakarsa Tbk | 1,189,848 | 2,056,759 | |||
PT Panin Life Tbk | 20,081,000 | 404,693 | |||
PT Ramayana Lestari Sentosa Tbk | 3,001,500 | 315,477 | |||
PT Semen Gresik Persero Tbk | 995,072 | 954,032 | |||
PT Telekomunikasi Indonesia Tbk | 3,810,154 | 3,229,539 | |||
14,407,520 | |||||
Ireland — 0.4% | |||||
Experian PLC‡‡ | 312,869 | 2,720,802 | |||
Shire PLC | 97,680 | 2,003,829 | |||
4,724,631 | |||||
Israel — 0.6% | |||||
Check Point Software Technologies, Ltd.D* | 36,550 | 1,077,494 | |||
NICE Systems, Ltd. ADRD* | 31,790 | 810,327 | |||
Teva Pharmaceutical Industries, Ltd. ADR | 89,670 | 4,661,943 | |||
6,549,764 | |||||
Italy — 1.6% | |||||
ACEA SpAD* | 165,331 | 1,639,903 | |||
Atlantia SpA‡‡ | 2,335 | 41,383 | |||
Autogrill SpA*‡‡ | 26,213 | 313,416 | |||
Banca Popolare di Milano‡‡ | 52,985 | 218,130 | |||
Banco Popolare SCD‡‡ | 91,465 | 501,456 | |||
ENI SpA‡‡ | 240,923 | 4,422,409 | |||
Fiat SpA | 74,058 | 480,750 | |||
Intesa Sanpaolo SpA‡‡ | 1,202,598 | 3,167,286 | |||
Italcementi SpA | 3,073 | 23,347 | |||
Mediaset SpA‡‡ | 488,996 | 2,780,744 | |||
Pirelli & C SpA‡‡ | 423,624 | 233,288 | |||
Prysmian SpA‡‡ | 11,868 | 170,331 | |||
Saipem SpA | 87,384 | 2,661,567 | |||
Telecom Italia SpA | 82,799 | 91,439 | |||
Terna Rete Elettrica Nazionale SpA‡‡ | 68,315 | 245,884 | |||
UniCredit SpA | 611,093 | 1,351,763 | |||
Unipol Gruppo Finanziario SpA | 55,683 | 37,218 | |||
18,380,314 | |||||
Japan — 16.2% | |||||
77 Bank, Ltd. (The) | 78,000 | 418,974 |
See Notes to Financial Statements.
117
Table of Contents
INTERNATIONAL EQUITY FUND SCHEDULE OF INVESTMENTS (Continued) |
Shares | Value | ||||
Aisin Seiki Co., Ltd.D | 15,900 | $ | 428,069 | ||
Alfresa Holdings Corporation | 1,700 | 82,163 | |||
Aozora Bank, Ltd. | 3,000 | 3,885 | |||
Asahi Glass Co., Ltd.D‡‡ | 303,000 | 2,845,119 | |||
Astellas Pharma, Inc.‡‡ | 256,100 | 8,580,811 | |||
Brother Industries, Ltd. | 1,000 | 10,381 | |||
Canon, Inc.D‡‡ | 262,950 | 9,800,002 | |||
Central Japan Railway Co.‡‡ | 323 | 2,666,961 | |||
Chiyoda Corporation | 4,000 | 29,048 | |||
Chubu Electric Power Co., Inc.‡‡ | 3,400 | 84,376 | |||
Chuo Mitsui Trust Holdings, Inc.D | 569,300 | 2,007,614 | |||
Citizen Holdings Co., Ltd. | 18,700 | 114,237 | |||
Credit Saison Co., Ltd.‡‡ | 12,900 | 135,011 | |||
Daicel Chemical Industries, Ltd.‡‡ | 17,000 | 114,692 | |||
Daihatsu Motor Co., Ltd.D | 94,000 | 874,888 | |||
Daito Trust Construction Co., Ltd.‡‡ | 34,100 | 1,931,037 | |||
Daiwa House Industry Co., Ltd.‡‡ | 146,000 | 1,313,439 | |||
Dena Co., Ltd. | 47,400 | 1,251,562 | |||
Denki Kagaku Kogyo KK‡‡ | 21,000 | 97,746 | |||
Disco CorporationD | 14,700 | 929,981 | |||
Don Quijote Co., Ltd. | 5,900 | 158,187 | |||
Dowa Holdings Co., Ltd. | 18,000 | 86,239 | |||
East Japan Railway Co.‡‡ | 7,400 | 492,733 | |||
Ebara Corporation‡‡ | 11,000 | 46,752 | |||
Elpida Memory, Inc.D* | 79,300 | 1,218,323 | |||
FamilyMart Co., Ltd.D | 19,900 | 657,157 | |||
Fanuc, Ltd. | 30,700 | 3,466,723 | |||
Fuji Electric Holdings Co., Ltd. | 46,000 | 132,450 | |||
Fuji Heavy Industries, Ltd.D | 276,000 | 1,478,554 | |||
Fuji Media Holdings, Inc. | 33 | 47,377 | |||
FUJIFILM Holdings Corporation‡‡ | 80,600 | 2,329,297 | |||
Fujikura, Ltd. | 46,000 | 200,379 | |||
Fujitsu, Ltd.D‡‡ | 639,000 | 3,994,277 | |||
Fukuoka Financial Group, Inc. | 46,000 | 191,481 | |||
Funai Electric Co., Ltd.‡‡ | 4,100 | 147,183 | |||
Hakuhodo DY Holdings, Inc.‡‡ | 960 | 48,096 | |||
Hino Motors, Ltd. | 17,000 | 83,820 | |||
Hitachi Chemical Co., Ltd.‡‡ | 2,200 | 40,872 | |||
Hitachi High-Technologies Corporation | 8,000 | 146,967 | |||
Hitachi, Ltd.D | 590,000 | 2,143,061 | |||
Hokuhoku Financial Group, Inc. | 112,000 | 205,745 | |||
Honda Motor Co., Ltd.‡‡ | 64,200 | 1,885,737 | |||
Hoya CorporationD | 64,800 | 1,378,793 | |||
Ibiden Co., Ltd.D‡‡ | 19,400 | 522,609 | |||
IHI Corporation | 60,000 | 95,479 | |||
Inpex Corporation | 368 | 2,041,117 | |||
Isuzu Motors, Ltd.D | 260,000 | 781,299 | |||
ITOCHU CorporationD‡‡ | 160,000 | 1,250,794 | |||
Itochu Techno-Solutions Corporation | 7,400 | 270,419 | |||
Japan Real Estate Investment Corporation REIT | 3 | 24,437 | |||
JFE Holdings, Inc.‡‡ | 1,900 | 58,780 | |||
JGC CorporationD‡‡ | 99,000 | 1,502,248 | |||
JTEKT Corporation | 22,600 | 209,009 | |||
JX Holdings, Inc.*‡‡ | 16,270 | 80,416 | |||
Kaneka Corporation‡‡ | 25,000 | 145,031 | |||
Kansai Electric Power Co., Inc. (The) | 27,600 | 673,115 | |||
Kansai Paint Co., Ltd.‡‡ | 29,000 | 248,933 | |||
Kao Corporation‡‡ | 331,800 | 7,806,873 | |||
KDDI Corporation‡‡ | 1,668 | 7,950,831 | |||
Keio Corporation | 7,000 | 45,195 | |||
Keisei Electric Railway Co., Ltd. | 4,000 | 22,364 | |||
Keyence CorporationD | 6,800 | 1,572,448 | |||
Kinden Corporation‡‡ | 28,000 | 238,432 | |||
Kobe Steel, Ltd. | 46,000 | 87,623 | |||
Koito Manufacturing Co., Ltd. | 4,000 | 58,903 | |||
Komatsu, Ltd. | 22,500 | 405,138 | |||
Konica Minolta Holdings, Inc. | 403,000 | 3,876,970 | |||
Kuraray Co., Ltd.‡‡ | 93,500 | 1,096,903 | |||
Lawson, Inc.‡‡ | 22,000 | 962,232 | |||
Leopalace21 Corporation‡‡ | 4,600 | 14,314 | |||
Maeda Road Construction Co., Ltd. | 37,000 | 301,815 | |||
Makino Milling Machine Co., Ltd. | 84,000 | 532,470 | |||
Makita Corporation | 2,000 | 53,520 | |||
Marubeni Corporation | 537,000 | 2,752,878 | |||
Mazda Motor Corporation | 24,000 | 56,084 | |||
MEDIPAL HOLDINGS Corporation | 4,600 | 54,635 | |||
Miraca Holdings, Inc.‡‡ | 14,900 | 445,986 | |||
Mitsubishi Corporation | 211,400 | 4,373,536 | |||
Mitsubishi Electric Corporation | 196,000 | 1,529,764 | |||
Mitsubishi Estate Co., Ltd.‡‡ | 8,000 | 111,373 | |||
Mitsubishi UFJ Financial Group, Inc.‡‡ | 150,300 | 682,468 | |||
Mitsubishi UFJ Lease & Finance Co., Ltd.‡‡ | 2,020 | 68,139 | |||
Mitsui & Co., Ltd.‡‡ | 56,100 | 654,451 | |||
Mitsui Chemicals, Inc.‡‡ | 30,000 | 83,842 | |||
Mitsui Engineering & Shipbuilding Co., Ltd. | 58,000 | 117,148 | |||
Mitsui Fudosan Co., Ltd.‡‡ | 44,000 | 612,413 | |||
Mitsui Mining & Smelting Co., Ltd. | 29,000 | 76,532 | |||
Mitsui OSK Lines, Ltd. | 338,000 | 2,234,743 | |||
Mitsumi Electric Co., Ltd.‡‡ | 8,500 | 144,197 | |||
Mizuho Financial Group, Inc.‡‡ | 23,300 | 38,231 | |||
Mizuho Securities Co., Ltd. | 93,000 | 207,345 | |||
MS&AD Insurance Group Holdings, Inc. | 71 | 1,520 | |||
NHK Spring Co., Ltd. | 16,000 | 146,352 | |||
Nidec CorporationD | 15,400 | 1,289,244 | |||
Nihon Yamamura Glass Co., Ltd. | 103,000 | 275,615 | |||
Nippon Building Fund, Inc. REIT | 3 | 23,804 | |||
Nippon Electric Glass Co., Ltd.D | 136,000 | 1,557,818 | |||
Nippon Kayaku Co., Ltd.‡‡ | 24,000 | 205,229 | |||
Nippon Meat Packers, Inc.‡‡ | 62,000 | 765,312 | |||
Nippon Paper Group, Inc. | 5,400 | 149,468 | |||
Nippon Sheet Glass Co., Ltd.D | 185,000 | 452,588 | |||
Nippon Shokubai Co., Ltd.‡‡ | 29,000 | 275,086 | |||
Nippon Telegraph & Telephone Corporation‡‡ | 12,400 | 505,125 | |||
Nippon Television Network Corporation | 590 | 80,973 | |||
Nippon Yusen Kabushiki Kaisha | 85,000 | 309,763 | |||
Nishi-Nippon City Bank, Ltd. (The) | 67,000 | 191,880 |
See Notes to Financial Statements.
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Shares | Value | ||||
Nissan Motor Co., Ltd. | 104,000 | $ | 724,722 | ||
Nisshin Seifun Group, Inc.‡‡ | 19,500 | 220,180 | |||
Nitto Denko Corporation‡‡ | 102,900 | 3,375,468 | |||
NKSJ Holdings, Inc. | 325,000 | 1,944,523 | |||
Nomura Holdings, Inc. | 447,000 | 2,442,177 | |||
Nomura Research Institute, Ltd.D | 49,800 | 1,057,236 | |||
NSD Co., Ltd.D | 28,800 | 326,647 | |||
NSK, Ltd.D | 109,000 | 757,019 | |||
NTN Corporation | 3,000 | 12,281 | |||
NTT Data Corporation | 25 | 92,280 | |||
NTT DoCoMo, Inc. | 1,185 | 1,794,433 | |||
Obayashi Corporation‡‡ | 8,000 | 31,716 | |||
OJI Paper Co., Ltd.‡‡ | 30,000 | 147,088 | |||
Okinawa Electric Power Co., Inc. (The) | 6,000 | 304,060 | |||
Omron Corporation‡‡ | 2,000 | 43,599 | |||
ORIX CorporationD‡‡ | 14,410 | 1,043,929 | |||
Osaka Gas Co., Ltd.‡‡ | 317,000 | 1,143,407 | |||
Otsuka Corporation | 1,500 | 95,598 | |||
Pacific Metals Co., Ltd. | 4,000 | 26,814 | |||
Panasonic Electric Works Co., Ltd. | 6,000 | 58,976 | |||
Promise Co., Ltd. | 15,250 | 102,742 | |||
Rakuten, Inc.D | 943 | 681,350 | |||
Rengo Co., Ltd.‡‡ | 18,000 | 113,586 | |||
Resona Holdings, Inc. | 4,700 | 57,359 | |||
Ryobi, Ltd. | 103,000 | 346,963 | |||
Sakai Chemical Industry Co., Ltd. | 81,000 | 305,700 | |||
Santen Pharmaceutical Co., Ltd. | 41,600 | 1,498,908 | |||
Sanyo Electric Co., Ltd.* | 9,000 | 11,580 | |||
Sapporo Hokuyo Holdings, Inc. | 175,900 | 775,883 | |||
SBI Holdings, Inc. | 176 | 21,865 | |||
Secom Co., Ltd.‡‡ | 600 | 26,644 | |||
Seino Holdings Corporation | 28,000 | 192,685 | |||
Sekisui Chemical Co., Ltd.‡‡ | 8,000 | 49,903 | |||
Sekisui House, Ltd.‡‡ | 217,000 | 1,855,895 | |||
Seven & I Holdings Co., Ltd.‡‡ | 352,100 | 8,067,065 | |||
Sharp Corporation‡‡ | 3,000 | 31,646 | |||
Shimamura Co., Ltd.D | 22,200 | 2,007,264 | |||
Shimano, Inc.D | 34,800 | 1,493,153 | |||
Shin-Etsu Chemical Co., Ltd. | 93,100 | 4,328,702 | |||
Shinko Electric Industries Co., Ltd.D | 30,400 | 395,059 | |||
Shinsei Bank, Ltd. | 47,000 | 39,733 | |||
SMC CorporationD | 7,500 | 1,003,288 | |||
Softbank Corporation‡‡ | 1,800 | 47,742 | |||
Sohgo Security Services Co., Ltd. | 30,600 | 309,961 | |||
Sojitz Corporation | 38,300 | 59,856 | |||
Sony Corporation‡‡ | 63,600 | 1,696,403 | |||
Square Enix Co., Ltd.D | 31,100 | 572,857 | |||
Sumitomo Electric Industries, Ltd. | 7,000 | 81,577 | |||
Sumitomo Heavy Industries, Ltd. | 49,000 | 287,510 | |||
Sumitomo Mitsui Financial Group, Inc. | 300 | 8,491 | |||
Sumitomo Realty & Development Co., Ltd.‡‡ | 3,000 | 50,976 | |||
Sumitomo Trust & Banking Co., Ltd. (The)‡‡ | 132,000 | 672,034 | |||
Suzuken Co., Ltd.‡‡ | 2,700 | 90,376 | |||
Takeda Pharmaceutical Co., Ltd.‡‡ | 225,200 | 9,672,938 | |||
TDK Corporation‡‡ | 1,100 | 60,194 | |||
THK Co., Ltd.D | 58,500 | 1,210,308 | |||
Toho Gas Co., Ltd.D‡‡ | 146,000 | 778,784 | |||
Tokai Rika Co., Ltd. | 13,300 | 230,062 | |||
Tokio Marine Holdings, Inc. | 208,000 | 5,468,288 | |||
Tokuyama Corporation‡‡ | 1,000 | 4,401 | |||
Tokyo Electron, Ltd.‡‡ | 19,600 | 1,055,797 | |||
Tokyo Gas Co., Ltd. | 238,000 | 1,086,504 | |||
Tokyu Land Corporation | 5,000 | 17,478 | |||
Toppan Printing Co., Ltd.‡‡ | 11,000 | 86,983 | |||
Toshiba CorporationD | 129,000 | 639,011 | |||
Toyo Ink Manufacturing Co., Ltd. | 169,000 | 647,614 | |||
Toyo Seikan Kaisha, Ltd.‡‡ | 4,000 | 58,369 | |||
Toyo Suisan Kaisha, Ltd.‡‡ | 24,000 | 572,822 | |||
Toyoda Gosei Co., Ltd. | 16,100 | 399,289 | |||
Toyota Auto Body Co., Ltd. | 4,900 | 61,261 | |||
Toyota Motor Corporation‡‡ | 123,840 | 4,254,976 | |||
Unicharm CorporationD | 44,600 | 5,029,377 | |||
USS Co., Ltd.‡‡ | 2,670 | 190,730 | |||
West Japan Railway Co.‡‡ | 812 | 2,969,377 | |||
Yahoo! Japan CorporationD | 3,097 | 1,234,387 | |||
Yakult Honsha Co., Ltd.D | 58,900 | 1,602,252 | |||
Yamada Denki Co., Ltd.‡‡ | 4,700 | 307,097 | |||
Yamaguchi Financial Group, Inc. | 5,000 | 47,785 | |||
Yamaha Corporation | 10,700 | 109,258 | |||
Yamatake Corporation | 2,100 | 48,841 | |||
Yamato Holdings Co., Ltd.‡‡ | 108,200 | 1,432,083 | |||
Yamato Kogyo Co., Ltd. | 5,400 | 134,597 | |||
Yokogawa Electric Corporation | 7,900 | 48,900 | |||
190,090,130 | |||||
Jersey — 0.0% | |||||
Randgold Resources, Ltd.‡‡ | 575 | 54,664 | |||
Kazakhstan — 0.0% | |||||
KazakhGold Group, Ltd. GDR* | 12,556 | 72,825 | |||
Kazmunaigas Exploration Production GDR | 9,014 | 167,660 | |||
240,485 | |||||
Luxembourg — 0.1% | |||||
ArcelorMittal‡‡ | 12,314 | 330,284 | |||
Evraz Group SA GDRD | 9,212 | 217,680 | |||
Millicom International Cellular SA ADR‡‡ | 858 | 69,619 | |||
617,583 | |||||
Malaysia — 0.5% | |||||
Airasia Bhd* | 1,369,700 | 526,060 | |||
AMMB Holdings Bhd | 510,432 | 782,288 | |||
Axiata Group Bhd* | 240,700 | 289,511 | |||
CIMB Group Holdings Bhd | 1,764,474 | 3,799,041 | |||
5,396,900 | |||||
Mexico — 1.0% | |||||
America Movil SAB de CV ADR Series LD | 144,847 | 6,880,232 | |||
Corporacion Moctezuma SAB de CV | 178,707 | 413,707 | |||
Genomma Lab Internacional SA de CV* | 214,607 | 712,865 | |||
Grupo Financiero Banorte SAB de CV | 55,508 | 210,305 |
See Notes to Financial Statements.
119
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INTERNATIONAL EQUITY FUND SCHEDULE OF INVESTMENTS (Continued) |
Shares | Value | ||||
Grupo Financiero Inbursa SA | 407,154 | $ | 1,337,971 | ||
Grupo Televisa SA ADR | 46,866 | 815,937 | |||
Megacable Holdings SAB de CVD* | 267,962 | 671,301 | |||
Urbi Desarrollos Urbanos SAB de CV* | 329,500 | 611,457 | |||
11,653,775 | |||||
Netherlands — 4.2% | |||||
Akzo Nobel NVD | 45,780 | 2,379,419 | |||
ASML Holding NV | 63,654 | 1,751,753 | |||
Corio NV REIT | 363 | 17,628 | |||
ING Groep NV‡‡ | 669,771 | 4,956,661 | |||
Koninklijke Ahold NV‡‡ | 68,843 | 851,582 | |||
Koninklijke Boskalis Westminster NV | 6,016 | 233,746 | |||
Koninklijke DSM NV‡‡ | 39,988 | 1,589,606 | |||
Koninklijke Philips Electronics NVD | 176,827 | 5,279,572 | |||
Reed Elsevier NV | 599,434 | 6,635,888 | |||
Royal Dutch Shell PLC Class AD*‡‡ | 379,560 | 9,548,032 | |||
Royal Dutch Shell PLC Class B‡‡ | 279,012 | 6,743,908 | |||
SBM Offshore NV | 130,600 | 1,868,394 | |||
TNT NV | 64,225 | 1,617,645 | |||
Unilever NVD‡‡ | 210,792 | 5,756,576 | |||
VimpelCom, Ltd. ADRD* | 41,600 | 673,088 | |||
49,903,498 | |||||
New Zealand — 0.1% | |||||
Telecom Corporation of New Zealand, Ltd.*‡‡ | 1,135,534 | 1,461,961 | |||
Nigeria — 0.2% | |||||
First City Monument Bank PLC | 9,539,191 | 528,540 | |||
Guaranty Trust Bank PLC | 1,034,898 | 115,027 | |||
Guaranty Trust Bank PLC ADR | 100,004 | 555,762 | |||
United Bank for Africa PLC | 10,245,429 | 737,288 | |||
1,936,617 | |||||
Norway — 0.8% | |||||
DnB NOR ASA | 321,123 | 3,088,626 | |||
Statoil ASA | 150,537 | 2,900,069 | |||
Telenor ASA | 295,100 | 3,717,466 | |||
9,706,161 | |||||
Panama — 0.1% | |||||
Copa Holdings SA Class A* | 21,700 | 959,574 | |||
Peru — 0.3% | |||||
Cia de Minas Buenaventura SA ADRD | 5,300 | 203,732 | |||
Credicorp, Ltd.* | 32,661 | 2,968,558 | |||
3,172,290 | |||||
Philippines — 0.2% | |||||
International Container Terminal Services, Inc. | 1,178,750 | 771,806 | |||
Philippine Long Distance Telephone Co. | 38,120 | 1,949,254 | |||
2,721,060 | |||||
Poland — 0.0% | |||||
Powszechna Kasa Oszczednosci Bank Polski SA | 26,569 | 283,396 | |||
Powszechny Zaklad Ubezpieczen SA | 2,010 | 207,378 | |||
490,774 | |||||
Russia — 1.7% | |||||
CTC Media, Inc.D* | 10,300 | 148,732 | |||
Gazprom OAO ADRD | 142,267 | 2,676,042 | |||
Globaltrans Investment PLC GDR | 20,657 | 295,188 | |||
Kalina ADR@ | 5,200 | 92,233 | |||
LSR Group GDR* | 90,188 | 685,429 | |||
Lukoil OAO ADR | 36,264 | 1,867,596 | |||
Magnit OAO@* | 18,401 | 1,224,049 | |||
Mechel OAO ADRD | 42,360 | 768,410 | |||
Mobile Telesystems OJSC ADRD | 62,540 | 1,198,266 | |||
NovaTek OAO GDR | 21,319 | 1,541,364 | |||
Novorossiysk Commercial Sea Port GDR | 86,936 | 956,296 | |||
Pharmstandard GDR* | 18,173 | 399,806 | |||
Raspadskaya@* | 222,772 | 868,811 | |||
Rosneft Oil Co. GDR | 134,746 | 821,951 | |||
Sberbank of Russian Federation* | 1,305,637 | 3,185,754 | |||
Seventh Continent* | 21,076 | 84,304 | |||
VTB Bank OJSC GDRD | 170,200 | 816,960 | |||
X5 Retail Group NV GDR* | 74,787 | 2,516,059 | |||
20,147,250 | |||||
Singapore — 1.3% | |||||
Ascendas Real Estate Investment Trust REIT‡‡ | 6,000 | 7,749 | |||
CapitaMall Trust REIT‡‡ | 16,000 | 20,860 | |||
CapitaMalls Asia, Ltd. | 10,000 | 14,951 | |||
DBS Group Holdings, Ltd.‡‡ | 11,000 | 106,754 | |||
Golden Agri-Resources, Ltd. | 1,080,000 | 404,882 | |||
Jardine Cycle & Carriage, Ltd.‡‡ | 3,000 | 63,842 | |||
Keppel Corporation, Ltd. | 16,000 | 96,601 | |||
K-Green Trust* | 3,200 | 2,401 | |||
Neptune Orient Lines, Ltd.‡‡ | 30,000 | 42,373 | |||
Oversea-Chinese Banking Corporation, Ltd.D‡‡ | 345,000 | 2,172,505 | |||
SembCorp Industries, Ltd.‡‡ | 571,000 | 1,651,247 | |||
SembCorp Marine, Ltd. | 4,000 | 10,931 | |||
Singapore Airlines, Ltd. | 3,000 | 31,107 | |||
Singapore Exchange, Ltd.‡‡ | 5,000 | 26,221 | |||
Singapore Technologies Engineering, Ltd.‡‡ | 10,000 | 23,377 | |||
Singapore Telecommunications, Ltd.‡‡ | 2,748,000 | 5,940,939 | |||
StarHub, Ltd.‡‡ | 7,000 | 11,254 | |||
United Overseas Bank, Ltd.D‡‡ | 323,079 | 4,494,633 | |||
UOL Group, Ltd.‡‡ | 3,186 | 8,581 | |||
15,131,208 | |||||
South Africa — 1.1% | |||||
African Bank Investments, Ltd. | 45,359 | 178,019 | |||
Aspen Pharmacare Holdings, Ltd. | 67,735 | 668,875 | |||
Bidvest Group, Ltd. | 108,560 | 1,718,094 | |||
FirstRand, Ltd. | 338,654 | 792,679 | |||
Impala Platinum Holdings, Ltd. | 15,000 | 349,111 | |||
Imperial Holdings, Ltd. | 27,918 | 310,482 | |||
MTN Group, Ltd. | 147,451 | 1,932,368 | |||
Murray & Roberts Holdings, Ltd. | 56,800 | 285,859 |
See Notes to Financial Statements.
120
Table of Contents
Shares | Value | ||||
Naspers, Ltd. | 21,203 | $ | 714,021 | ||
Pick’n Pay Stores, Ltd. | 95,338 | 536,878 | |||
Sasol, Ltd. | 87,597 | 3,111,943 | |||
Standard Bank Group, Ltd.D | 170,744 | 2,264,251 | |||
Woolworths Holdings, Ltd. | 66,900 | 207,802 | |||
13,070,382 | |||||
South Korea — 2.6% | |||||
Amorepacific Corporation | 1,625 | 1,382,530 | |||
Hyundai Heavy Industries Co., Ltd. | 1,421 | 270,396 | |||
Hyundai Mobis | 6,701 | 1,123,922 | |||
Hyundai Motor Co. | 8,815 | 1,031,432 | |||
Hyundai Steel Co. | 18,126 | 1,324,974 | |||
KB Financial Group, Inc. | 15,405 | 590,486 | |||
Kia Motors Corporation | 115,580 | 3,062,449 | |||
Korea Electric Power Corporation | 78,560 | 2,027,234 | |||
Korean Air Lines Co., Ltd. | 5,900 | 391,951 | |||
KT Corporation | 48,740 | 1,799,857 | |||
KTB Securities Co., Ltd.* | 35,429 | 105,280 | |||
LG Chem, Ltd. | 1,500 | 376,186 | |||
LG Innotek Co., Ltd.D | 3,797 | 498,300 | |||
MegaStudy Co., Ltd. | 3,207 | 423,739 | |||
POSCO | 2,493 | 944,625 | |||
Samsung Electro-Mechanics Co., Ltd. | 2,612 | 326,630 | |||
Samsung Electronics Co., Ltd. | 22,396 | 9,473,527 | |||
Samsung Electronics Co., Ltd. (Non-Voting Shares) GDR 144A | 5,207 | 1,118,557 | |||
Samsung Fire & Marine Insurance Co., Ltd. | 9,620 | 1,527,044 | |||
Shinhan Financial Group Co., Ltd. | 78,252 | 2,880,387 | |||
30,679,506 | |||||
Spain — 3.3% | |||||
Banco Bilbao Vizcaya Argentaria SA‡‡ | 313,846 | 3,233,540 | |||
Banco Espanol de Credito SA‡‡ | 17,566 | 139,372 | |||
Banco Santander SA‡‡ | 934,413 | 9,798,452 | |||
Bolsas y Mercados Espanoles SA‡‡ | 1,314 | 28,601 | |||
Corporacion Financiera Alba SA | 7,249 | 267,050 | |||
Ebro Puleva SA‡‡ | 16,314 | 275,665 | |||
EnagasD | 120,783 | 1,819,388 | |||
Endesa SA‡‡ | 17,154 | 364,641 | |||
Gestevision Telecinco SAD | 40,252 | 357,713 | |||
Iberdrola SAD | 995,915 | 5,597,612 | |||
Inditex SA | 46,386 | 2,644,999 | |||
Red Electrica Corporation SAD | 7,807 | 279,530 | |||
Repsol YPF SA‡‡ | 11,122 | 224,443 | |||
Sacyr Vallehermoso SA* | 11,897 | 59,023 | |||
Tecnicas Reunidas SA‡‡ | 12,235 | 556,418 | |||
Telefonica SA‡‡ | 687,998 | 12,744,978 | |||
38,391,425 | |||||
Sri Lanka — 0.0% | |||||
Dialog Telekom, Ltd. | 2,452,710 | 210,556 | |||
Sweden — 0.9% | |||||
Alfa Laval ABD | 53,280 | 691,912 | |||
Assa Abloy AB Class B | 91,542 | 1,829,735 | |||
Atlas Copco AB Class A | 22,459 | 328,366 | |||
Autoliv, Inc.D | 19,900 | 952,215 | |||
Boliden AB‡‡ | 19,332 | 213,670 | |||
Electrolux AB‡‡ | 39,939 | 913,038 | |||
Getinge AB | 6,236 | 120,685 | |||
Hennes & Mauritz AB Class B | 13,076 | 359,360 | |||
Holmen AB‡‡ | 2,621 | 62,222 | |||
Investor AB‡‡ | 3,383 | 54,724 | |||
Lundin Petroleum AB* | 43,892 | 193,393 | |||
Nordea Bank AB‡‡ | 5,587 | 46,071 | |||
Svenska Cellulosa AB‡‡ | 995 | 11,703 | |||
Svenska Handelsbanken AB‡‡ | 4,008 | 98,051 | |||
Swedbank AB‡‡ | 11,890 | 109,111 | |||
Tele2 AB‡‡ | 52,079 | 778,087 | |||
Telefonaktiebolaget LM Ericsson Class B‡‡ | 33,049 | 366,587 | |||
Volvo AB Class BD | 291,473 | 3,223,342 | |||
10,352,272 | |||||
Switzerland — 6.8% | |||||
ABB, Ltd.‡‡ | 24,837 | 432,427 | |||
Adecco SAD | 12,539 | 598,196 | |||
Cie Financiere Richemont SA‡‡ | 60,075 | 2,097,355 | |||
Clariant AG‡‡ | 32,679 | 413,795 | |||
Credit Suisse Group AG | 129,485 | 4,868,279 | |||
GAM Holding, Ltd. | 27,887 | 301,362 | |||
Julius Baer Group, Ltd. | 51,294 | 1,462,525 | |||
Nestle SA‡‡ | 355,179 | 17,126,317 | |||
Novartis AG‡‡ | 353,510 | 17,132,200 | |||
Roche Holding AG‡‡ | 73,562 | 10,125,200 | |||
Schindler Holding AG‡‡ | 4,780 | 402,889 | |||
Sika AG | 24 | 42,544 | |||
Sonova Holding AG | 20,594 | 2,527,246 | |||
STMicroelectronics NVD*‡‡ | 68,583 | 545,296 | |||
Sulzer AG‡‡ | 4,387 | 409,196 | |||
Swatch Group AG (The)D | 33,746 | 4,851,216 | |||
Swiss Life Holding AG‡‡ | 3,502 | 334,696 | |||
Swiss Reinsurance Co., Ltd. | 7,638 | 313,832 | |||
Syngenta AG | 1,577 | 364,312 | |||
Synthes, Inc. | 18,954 | 2,179,338 | |||
Xstrata PLC | 268,424 | 3,514,916 | |||
Zurich Financial Services AG‡‡ | 44,856 | 9,886,873 | |||
79,930,010 | |||||
Taiwan — 1.8% | |||||
Acer, Inc. | 944,730 | 2,192,496 | |||
Cathay Financial Holding Co., Ltd. | 324,000 | 479,319 | |||
Compal Electronics, Inc. | 364,000 | 433,525 | |||
High Tech Computer Corporation | 135,000 | 1,792,814 | |||
Hon Hai Precision Industry Co., Ltd. | 189,950 | 665,807 | |||
MediaTek, Inc. | 224,706 | 3,136,396 | |||
Novatek Microelectronics Corporation, Ltd. | 105,445 | 282,975 | |||
Taiwan Semiconductor Manufacturing Co., Ltd. | 4,155,348 | 7,766,528 | |||
Taiwan Semiconductor Manufacturing Co., Ltd. ADRD | 360,034 | 3,513,932 | |||
Unimicron Technology Corporation | 43,000 | 62,591 | |||
United Microelectronics Corporation | 1,460,000 | 642,578 |
See Notes to Financial Statements.
121
Table of Contents
INTERNATIONAL EQUITY FUND SCHEDULE OF INVESTMENTS (Continued) |
Shares | Value | ||||
Yuanta Financial Holding Co., Ltd. | 466,000 | $ | 248,753 | ||
21,217,714 | |||||
Thailand — 0.2% | |||||
Central Pattana PCL@ | 944,692 | 581,137 | |||
CP ALL PCL | 735,868 | 653,171 | |||
Siam Commercial Bank PCL | 640,359 | 1,606,334 | |||
2,840,642 | |||||
Turkey — 0.6% | |||||
Akenerji Elektrik Uretim AS | 73,680 | 143,862 | |||
Coca-Cola Icecek AS | 74,153 | 657,599 | |||
KOC Holding AS | 246,400 | 833,423 | |||
Türkiye Garanti Bankasi AS | 932,249 | 3,879,679 | |||
Yapi ve Kredi Bankasi AS | 759,213 | 2,054,329 | |||
7,568,892 | |||||
United Arab Emirates — 0.0% | |||||
DP World, Ltd. | 593,700 | 260,187 | |||
United Kingdom — 15.5% | |||||
Aberdeen Asset Management PLC | 545,660 | 1,044,644 | |||
Afren PLC* | 105,000 | 132,597 | |||
Aggreko PLC | 112,026 | 2,351,737 | |||
AMEC PLC‡‡ | 15,768 | 193,179 | |||
Amlin PLC | 40,634 | 233,867 | |||
Anglo American PLCD*‡‡ | 272,036 | 9,464,828 | |||
Antofagasta PLC | 48,322 | 562,208 | |||
AstraZeneca PLC‡‡ | 139,492 | 6,576,459 | |||
Atkins WS PLC | 45,833 | 464,163 | |||
Autonomy Corporation PLC*‡‡ | 31,559 | 860,246 | |||
Aviva PLC‡‡ | 774,305 | 3,598,338 | |||
BAE Systems PLC | 608,495 | 2,832,065 | |||
Barclays PLC‡‡ | 363,825 | 1,452,207 | |||
Berkeley Group Holdings PLC‡‡ | 14,820 | 168,150 | |||
BG Group PLC | 580,213 | 8,629,404 | |||
BHP Billiton PLC‡‡ | 469,771 | 12,180,461 | |||
BP PLC‡‡ | 1,475,027 | 7,061,191 | |||
British Land Co. PLC REIT‡‡ | 4,511 | 29,138 | |||
British Sky Broadcasting Group PLC | 7,380 | 77,060 | |||
Britvic PLC | 187,525 | 1,328,942 | |||
BT Group PLC‡‡ | 1,156,692 | 2,232,756 | |||
Burberry Group PLC‡‡ | 16,567 | 187,101 | |||
Cable & Wireless Worldwide | 16,960 | 21,944 | |||
Cairn Energy PLC* | 7,907 | 48,576 | |||
Capita Group PLC (The) | 59,380 | 654,202 | |||
Capital Shopping Centres Group PLC REIT | 3,152 | 14,562 | |||
Carnival PLC | 47,390 | 1,535,026 | |||
Centrica PLC‡‡ | 66,220 | 292,230 | |||
Close Brothers Group PLC | 56,783 | 584,540 | |||
Compass Group PLC | 1,111,709 | 8,457,298 | |||
Cookson Group PLC | 39,617 | 227,727 | |||
Daily Mail & General Trust PLC‡‡ | 29,968 | 195,060 | |||
Dimension Data Holdings PLC | 299,909 | 420,704 | |||
Firstgroup PLC | 318,754 | 1,730,249 | |||
GlaxoSmithKline PLC‡‡ | 864,203 | 14,674,896 | |||
Hammerson PLC REIT‡‡ | 6,134 | 31,269 | |||
Hays PLC‡‡ | 596,662 | 814,021 | |||
HSBC Holdings PLC‡‡ | 461,084 | 4,212,321 | |||
ICAP PLC | 199,958 | 1,198,491 | |||
IMI PLC‡‡ | 26,713 | 272,172 | |||
Inmarsat PLC‡‡ | 13,328 | 141,317 | |||
Intercontinental Hotels Group PLC | 65,600 | 1,033,862 | |||
International Power PLC‡‡ | 25,479 | 113,814 | |||
Intertek Group PLC | 93,099 | 1,995,800 | |||
Investec PLC‡‡ | 38,508 | 259,122 | |||
J Sainsbury PLC | 224,326 | 1,070,318 | |||
Johnson Matthey PLC‡‡ | 8,037 | 178,558 | |||
Kazakhmys PLC‡‡ | 3,627 | 53,241 | |||
Kesa Electricals PLC‡‡ | 111,393 | 201,667 | |||
Kingfisher PLC‡‡ | 66,957 | 209,747 | |||
Land Securities Group PLC REIT‡‡ | 3,636 | 30,091 | |||
Legal & General Group PLC | 47,794 | 55,706 | |||
Lloyds TSB Group PLC | 543,303 | 428,919 | |||
Logica PLC‡‡ | 74,526 | 120,877 | |||
Michael Page International PLC | 245,207 | 1,357,498 | |||
Mondi PLC‡‡ | 233,317 | 1,327,764 | |||
National Grid PLC‡‡ | 149,215 | 1,089,412 | |||
Next PLC | 52,214 | 1,556,732 | |||
Old Mutual PLC‡‡ | 92,657 | 141,862 | |||
Pearson PLC‡‡ | 222,452 | 2,925,635 | |||
Persimmon PLC‡‡ | 19,159 | 99,442 | |||
Petrofac, Ltd.‡‡ | 211,244 | 3,716,403 | |||
Prudential PLC | 349,888 | 2,639,065 | |||
Reckitt Benckiser Group PLC‡‡ | 153,944 | 7,160,596 | |||
Reed Elsevier PLC | 7,553 | 56,004 | |||
Rentokil Initial PLC* | 144,530 | 231,621 | |||
Rexam PLC‡‡ | 439,121 | 1,975,409 | |||
Rio Tinto PLC‡‡ | 111,477 | 4,895,438 | |||
Rolls-Royce Group PLC‡‡ | 467,749 | 3,904,197 | |||
Rolls-Royce Group PLC +*‡‡ | 42,371,010 | 63,306 | |||
Royal Bank of Scotland Group PLC | 96,393 | 58,705 | |||
Sage Group PLC | 42,435 | 146,002 | |||
Scottish & Southern Energy PLC | 97,181 | 1,618,449 | |||
Smith & Nephew PLC | 61,575 | 581,732 | |||
SSL International PLC | 71,140 | 856,711 | |||
Stagecoach Group PLC | 160,540 | 424,557 | |||
Standard Chartered PLC‡‡ | 347,214 | 8,454,794 | |||
Tate & Lyle PLC | 76,173 | 508,946 | |||
Tesco PLC‡‡ | 677,281 | 3,820,817 | |||
TUI Travel PLC | 527,435 | 1,640,950 | |||
Tullow Oil PLC | 194,195 | 2,888,708 | |||
Unilever PLC‡‡ | 322,396 | 8,618,286 | |||
Vedanta Resources PLC | 35,981 | 1,130,499 | |||
Vodafone Group PLC‡‡ | 3,870,904 | 7,975,958 | |||
Weir Group PLC (The) | 3,586 | 55,091 | |||
WH Smith PLC‡‡ | 26,140 | 159,377 | |||
WM Morrison Supermarkets PLC | 532,822 | 2,105,465 | |||
Wolseley PLC‡‡ | 89,793 | 1,782,378 | |||
WPP PLC‡‡ | 339,292 | 3,196,292 | |||
182,103,169 | |||||
Total Foreign Common Stocks | 1,124,179,425 | ||||
FOREIGN PREFERRED STOCKS — 0.9% | |||||
Belgium — 0.0% | |||||
Fortis* | 106,120 | 130 | |||
Brazil — 0.5% | |||||
Banco Bradesco SA | 100,545 | 1,581,982 |
See Notes to Financial Statements.
122
Table of Contents
Shares | Value | |||||||
Eletropaulo Metropolitana de Sao Paulo SA Class B | 39,151 | $ | 786,490 | |||||
Investimentos Itau SA | 247,436 | 1,476,391 | ||||||
Ultrapar Participacoes SA | 47,877 | 2,283,773 | ||||||
Usinas Siderurgicas de Minas Gerais SA | 5,516 | 147,603 | ||||||
6,276,239 | ||||||||
Chile — 0.0% | ||||||||
Embotelladora Andina SA Class A | 38,000 | 115,521 | ||||||
Embotelladora Andina SA Class B | 28,700 | 107,799 | ||||||
223,320 | ||||||||
Germany — 0.2% | ||||||||
Henkel AG & Co. KGaAD | 24,850 | 1,213,447 | ||||||
ProSiebenSat.1 Media AG | 47,891 | 701,086 | ||||||
Volkswagen AG‡‡ | 6,290 | 551,953 | ||||||
2,466,486 | ||||||||
Russia — 0.0% | ||||||||
MDM Bank OAO@ | 656,800 | 246,300 | ||||||
South Korea — 0.2% | ||||||||
Samsung Electronics Co., Ltd. | 4,219 | 1,798,543 | ||||||
Total Foreign Preferred Stocks | 11,011,018 | |||||||
RIGHTS — 0.0% | ||||||||
Bank of Communications Co., Ltd.D* | 80,250 | 32,154 | ||||||
Henderson Land Development*‡‡ | 71 | 12 | ||||||
Total Rights | 32,166 | |||||||
MONEY MARKET FUNDS — 15.3% | ||||||||
GuideStone Money Market Fund (GS4 Class)¥ | 45,609,065 | 45,609,065 | ||||||
Northern Institutional Liquid Assets Portfolio§ | 134,217,415 | 134,217,415 | ||||||
Total Money Market Funds | 179,826,480 | |||||||
Par | ||||||||
U.S. TREASURY OBLIGATIONS — 0.6% | ||||||||
0.16%, 11/18/10‡‡ | $ | 35,000 | 34,976 | |||||
0.17%, 11/18/10‡‡ | 260,000 | 259,823 | ||||||
0.20%, 11/18/10‡‡ | 5,275,000 | 5,271,408 | ||||||
0.22%, 11/18/10‡‡ | 160,000 | 159,891 | ||||||
0.22%, 11/18/10‡‡ | 760,000 | 759,482 | ||||||
Total U.S. Treasury Obligations | 6,485,580 | |||||||
TOTAL INVESTMENTS — 112.5% | 1,321,534,669 | |||||||
Shares | ||||||||
SECURITIES SOLD SHORT — (1.6)% | ||||||||
Australia — (0.1)% | ||||||||
Adelaide Brighton, Ltd. | (44,083 | ) | (98,320 | ) | ||||
AGL Energy, Ltd. | (1,889 | ) | (23,233 | ) | ||||
Alumina, Ltd. | (94,503 | ) | (119,601 | ) | ||||
Asciano Group* | (38,258 | ) | (51,376 | ) | ||||
Beach Petroleum Ltd. | (48,004 | ) | (27,533 | ) | ||||
Bendigo and Adelaide Bank, Ltd. | (6,104 | ) | (41,604 | ) | ||||
Cochlear, Ltd. | (1,231 | ) | (76,678 | ) | ||||
Consolidated Media Holdings, Ltd. | (11,204 | ) | (29,839 | ) | ||||
Energy Resources of Australia, Ltd. | (9,121 | ) | (100,723 | ) | ||||
Fortescue Metals Group, Ltd.* | (5,197 | ) | (17,625 | ) | ||||
Harvey Norman Holdings, Ltd. | (5,551 | ) | (15,333 | ) | ||||
Iluka Resources, Ltd.* | (23,314 | ) | (90,052 | ) | ||||
Incitec Pivot, Ltd. | (21,489 | ) | (48,599 | ) | ||||
Leighton Holdings, Ltd. | (2,157 | ) | (51,878 | ) | ||||
Macquarie Group, Ltd. | (400 | ) | (12,295 | ) | ||||
Nufarm, Ltd. | (13,471 | ) | (60,697 | ) | ||||
Perpetual, Ltd. | (5,300 | ) | (124,643 | ) | ||||
Primary Health Care, Ltd. | (24,158 | ) | (71,912 | ) | ||||
Santos Ltd | (1,664 | ) | (17,390 | ) | ||||
Seek, Ltd. | (25,249 | ) | (147,024 | ) | ||||
Sims Metal Management, Ltd. | (6,480 | ) | (92,074 | ) | ||||
Toll Holdings, Ltd. | (3,304 | ) | (15,046 | ) | ||||
WorleyParsons, Ltd. | (1,731 | ) | (31,848 | ) | ||||
(1,365,323 | ) | |||||||
Belgium — 0.0% | ||||||||
Colruyt SA | (249 | ) | (58,575 | ) | ||||
Dexia SA* | (17,107 | ) | (59,696 | ) | ||||
(118,271 | ) | |||||||
Denmark — (0.1)% | ||||||||
Topdanmark A/S* | (1,077 | ) | (117,928 | ) | ||||
TrygVesta AS | (8,596 | ) | (452,879 | ) | ||||
William Demant Holding* | (2,412 | ) | (176,419 | ) | ||||
(747,226 | ) | |||||||
Finland — (0.1)% | ||||||||
Nokian Renkaat OYJ | (8,855 | ) | (216,711 | ) | ||||
Outokumpu OYJ | (18,956 | ) | (284,825 | ) | ||||
Pohjola Bank PLC | (1,248 | ) | (12,673 | ) | ||||
Rautaruukki OYJ | (14,249 | ) | (207,677 | ) | ||||
(721,886 | ) | |||||||
France — (0.1)% | ||||||||
Air France-Klm* | (15,741 | ) | (187,151 | ) | ||||
Bureau Veritas SA | (284 | ) | (15,382 | ) | ||||
Eiffage SA | (4,633 | ) | (201,126 | ) | ||||
Electricite de France | (1,479 | ) | (56,271 | ) | ||||
Etablissements Maurel Et Prom | (14,139 | ) | (157,374 | ) | ||||
Hermes International | (830 | ) | (110,030 | ) | ||||
Iliad SA | (4,159 | ) | (322,963 | ) | ||||
Neopost SA | (2,331 | ) | (168,795 | ) | ||||
Peugeot SA* | (681 | ) | (17,310 | ) | ||||
Societe Television Francaise 1 | (1,709 | ) | (22,266 | ) | ||||
(1,258,668 | ) | |||||||
Germany — (0.1)% | ||||||||
Bilfinger Berger AG | (1,160 | ) | (64,285 | ) | ||||
Fraport AG Frankfurt Airport Services Worldwide | (5,323 | ) | (226,381 | ) | ||||
Hamburger Hafen und Logistik AG | (15,437 | ) | (494,065 | ) | ||||
K+S AG | (4,754 | ) | (218,477 | ) | ||||
SGL Carbon SE* | (5,148 | ) | (147,743 | ) | ||||
Wacker Chemie AG | (858 | ) | (124,284 | ) | ||||
(1,275,235 | ) | |||||||
See Notes to Financial Statements.
123
Table of Contents
INTERNATIONAL EQUITY FUND SCHEDULE OF INVESTMENTS (Continued) |
Shares | Value | ||||||
Ireland — 0.0% | |||||||
Charter International PLC | (1,913 | ) | $ | (17,896 | ) | ||
James Hardie Industries SE ADR* | (12,058 | ) | (62,441 | ) | |||
Shire PLC | (9,158 | ) | (187,869 | ) | |||
United Business Media, Ltd. | (14,819 | ) | (109,445 | ) | |||
(377,651 | ) | ||||||
Italy — (0.1)% | |||||||
A2A SpA | (194,148 | ) | (265,041 | ) | |||
ACEA SpA* | (14,006 | ) | (138,924 | ) | |||
Banca Carige SPA | (84,995 | ) | (166,036 | ) | |||
Buzzi Unicem SPA | (23,040 | ) | (231,053 | ) | |||
Saras SpA* | (95,668 | ) | (198,724 | ) | |||
(999,778 | ) | ||||||
Japan — (0.4)% | |||||||
ABC-Mart, Inc. | (3,100 | ) | (121,608 | ) | |||
Advantest Corporation | (1,400 | ) | (29,257 | ) | |||
Bank of Tokyo, Ltd. | (9,000 | ) | (74,091 | ) | |||
Casio Computer Co., Ltd. | (6,200 | ) | (37,238 | ) | |||
Disco Corporation | (1,000 | ) | (63,264 | ) | |||
Eisai Co., Ltd. | (1,200 | ) | (39,817 | ) | |||
Hamamatsu Photonics KK | (3,400 | ) | (94,452 | ) | |||
Hirose Electric Co., Ltd. | (400 | ) | (36,633 | ) | |||
Hiroshima Bank, Ltd. (The) | (5,000 | ) | (19,984 | ) | |||
Hisamitsu Pharmaceutical Co., Inc. | (1,300 | ) | (51,565 | ) | |||
Hitachi Metals, Ltd. | (10,000 | ) | (101,240 | ) | |||
Isetan Mitsukoshi Holdings, Ltd. | (3,500 | ) | (34,120 | ) | |||
Iyo Bank, Ltd. (The) | (10,000 | ) | (92,995 | ) | |||
Jafco Co., Ltd. | (3,400 | ) | (75,212 | ) | |||
Japan Steel Works, Ltd. (The) | (8,000 | ) | (70,319 | ) | |||
Joyo Bank, Ltd. (The) | (24,000 | ) | (95,157 | ) | |||
Kawasaki Heavy Industries, Ltd. | (29,000 | ) | (70,313 | ) | |||
Kintetsu Corporation | (53,000 | ) | (161,724 | ) | |||
Matsui Securities Co., Ltd. | (14,700 | ) | (89,755 | ) | |||
McDonald’s Holdings Co. Japan, Ltd. | (4,700 | ) | (105,243 | ) | |||
Mitsubishi Heavy Industries, Ltd. | (37,000 | ) | (127,641 | ) | |||
Mitsubishi Materials Corporation* | (48,000 | ) | (127,585 | ) | |||
Mitsubishi Motors Corporation* | (3,000 | ) | (3,795 | ) | |||
Mitsubishi Tanabe Pharma Corporation | (3,000 | ) | (45,708 | ) | |||
Mizuho Trust & Banking Co., Ltd.* | (101,000 | ) | (86,852 | ) | |||
Nikon Corporation | (3,600 | ) | (62,042 | ) | |||
Nitori Co., Ltd. | (550 | ) | (47,410 | ) | |||
NOK Corporation | (9,000 | ) | (142,918 | ) | |||
NSK, Ltd. | (16,000 | ) | (111,122 | ) | |||
Olympus Corporation | (2,900 | ) | (68,698 | ) | |||
Oracle Corporation | (3,000 | ) | (147,421 | ) | |||
Oriental Land Co., Ltd. | (200 | ) | (16,715 | ) | |||
OSAKA Titanium Technologies Co. | (1,000 | ) | (38,478 | ) | |||
Ricoh Co., Ltd. | (4,000 | ) | (51,006 | ) | |||
Shimadzu Corporation | (26,000 | ) | (195,983 | ) | |||
Shin-Etsu Chemical Co., Ltd. | (1,500 | ) | (69,743 | ) | |||
Shiseido Co., Ltd. | (1,800 | ) | (39,674 | ) | |||
Showa Shell Sekiyu KK | (12,700 | ) | (87,567 | ) | |||
SMC Corporation | (300 | ) | (40,132 | ) | |||
Sumco Corporation* | (9,900 | ) | (164,083 | ) | |||
Sumitomo Chemical Co., Ltd. | (20,000 | ) | (77,404 | ) | |||
Sumitomo Metal Industries, Ltd. | (37,000 | ) | (83,659 | ) | |||
Sumitomo Rubber Industries, Inc. | (2,000 | ) | (17,640 | ) | |||
Suruga Bank, Ltd. | (8,000 | ) | (72,607 | ) | |||
T&D Holdings, Inc. | (4,100 | ) | (87,668 | ) | |||
Taiheiyo Cement Corporation* | (3,000 | ) | (3,788 | ) | |||
Taiyo Nippon Sanso Corporation | (17,000 | ) | (134,997 | ) | |||
Takashimaya Co., Ltd. | (13,000 | ) | (103,626 | ) | |||
Toray Industries, Inc. | (10,000 | ) | (47,931 | ) | |||
Toyota Boshoku Corporation | (4,300 | ) | (62,783 | ) | |||
Toyota Industries Corporation | (1,400 | ) | (35,527 | ) | |||
Tsumura & Co. | (3,200 | ) | (97,978 | ) | |||
Ushio, Inc. | (3,600 | ) | (55,460 | ) | |||
Yahoo! Japan Corporation | (83 | ) | (33,082 | ) | |||
Yakult Honsha Co., Ltd. | (7,500 | ) | (204,022 | ) | |||
(4,256,732 | ) | ||||||
Luxembourg — 0.0% | |||||||
Oriflame Cosmetics SA ADR | (5,825 | ) | (302,520 | ) | |||
Netherlands — 0.0% | |||||||
Koninklijke Boskalis Westminster NV | (9 | ) | (350 | ) | |||
SBM Offshore NV | (8,590 | ) | (122,890 | ) | |||
Wolters Kluwer NV | (6,732 | ) | (129,100 | ) | |||
(252,340 | ) | ||||||
Papua New Guinea — 0.0% | |||||||
Oil Search, Ltd. | (28,813 | ) | (132,567 | ) | |||
Russia — 0.0% | |||||||
Alliance Oil Co., Ltd. GDR* | (12,338 | ) | (136,956 | ) | |||
Spain — (0.2)% | |||||||
Acciona SA | (3,373 | ) | (256,704 | ) | |||
Bankinter SA | (27,159 | ) | (165,469 | ) | |||
Gamesa Corporation Tecnologica SA* | (25,024 | ) | (214,882 | ) | |||
Gas Natural SDG SA | (8,461 | ) | (122,271 | ) | |||
Grifols SA | (43,065 | ) | (440,190 | ) | |||
Mapfre SA | (102,919 | ) | (279,861 | ) | |||
Zardoya Otis SA | (6,230 | ) | (80,038 | ) | |||
(1,559,415 | ) | ||||||
Sweden — 0.0% | |||||||
Hexagon AB | (10,302 | ) | (133,884 | ) | |||
Husqvarna AB | (19,520 | ) | (117,382 | ) | |||
Meda AB | (7,953 | ) | (57,647 | ) | |||
(308,913 | ) | ||||||
Switzerland — (0.1)% | |||||||
Baloise-Holding AG | (3,347 | ) | (232,972 | ) | |||
Ineos Finance PLC | (5,151 | ) | (146,868 | ) | |||
Lonza Group AG | (4,259 | ) | (283,562 | ) | |||
Nobel Biocare Holding AG | (2,847 | ) | (49,009 | ) | |||
SGS SA | (2 | ) | (2,699 | ) | |||
Syngenta AG | (269 | ) | (62,143 | ) | |||
(777,253 | ) | ||||||
United Kingdom — (0.3)% | |||||||
Aegis Group PLC | (38,575 | ) | (61,144 | ) | |||
Antofagasta PLC | (11,477 | ) | (133,531 | ) | |||
Associated British Foods PLC | (5,449 | ) | (78,911 | ) | |||
Bae Systems PLC | (1,365 | ) | (6,353 | ) |
See Notes to Financial Statements.
124
Table of Contents
Shares | Value | ||||||
Bunzl PLC | (27,208 | ) | $ | (272,454 | ) | ||
Capita Group PLC (The) | (37,105 | ) | (408,794 | ) | |||
Carnival PLC | (6,269 | ) | (203,061 | ) | |||
Cobham PLC | (36,203 | ) | (114,689 | ) | |||
Dana Petroleum PLC* | (14,545 | ) | (244,852 | ) | |||
Drax Group PLC | (39,763 | ) | (222,514 | ) | |||
Easyjet PLC* | (12,300 | ) | (72,602 | ) | |||
Electrocomponents PLC | (29,396 | ) | (94,658 | ) | |||
Eurasian Natural Resources Corporation PLC | (452 | ) | (5,752 | ) | |||
Firstgroup PLC | (12,187 | ) | (66,153 | ) | |||
Intercontinental Hotels Group PLC | (3,627 | ) | (57,162 | ) | |||
Invensys PLC | (11,543 | ) | (41,323 | ) | |||
Lonmin PLC* | (7,195 | ) | (150,235 | ) | |||
Man Group PLC | (63,781 | ) | (211,428 | ) | |||
Pennon Group PLC | (9,361 | ) | (77,094 | ) | |||
Provident Financial PLC | (2,547 | ) | (31,778 | ) | |||
Prudential PLC | (24,604 | ) | (185,578 | ) | |||
Serco Group PLC | (10,240 | ) | (89,426 | ) | |||
Smiths Group PLC | (11,658 | ) | (185,605 | ) | |||
Standard Life PLC | (139,646 | ) | (360,873 | ) | |||
Thomas Cook Group PLC | (8,967 | ) | (23,734 | ) | |||
United Utilities Group PLC | (56,345 | ) | (440,920 | ) | |||
VT Group PLC | (1,903 | ) | (21,893 | ) | |||
Whitbread PLC | (62 | ) | (1,295 | ) | |||
WM Morrison Supermarkets PLC | (1,210 | ) | (4,781 | ) | |||
(3,868,593 | ) | ||||||
Total Securities Sold Short | (18,459,327 | ) | |||||
Liabilities in Excess of Other Assets — (10.9)% | (128,135,102 | ) | |||||
NET ASSETS — 100.0% | $ | 1,174,940,240 | |||||
Please see abbreviation and footnote definitions on page 127.
PORTFOLIO SUMMARY (based on net assets)
% | |||
Foreign Common Stocks | |||
Japan | 16.2 | ||
United Kingdom | 15.5 | ||
France | 7.1 | ||
Switzerland | 6.8 | ||
Germany | 5.7 | ||
Australia | 4.7 | ||
Netherlands | 4.2 | ||
Spain | 3.3 | ||
Hong Kong | 3.1 | ||
South Korea | 2.6 | ||
China | 2.5 | ||
India | 2.5 | ||
Brazil | 2.2 | ||
Taiwan | 1.8 | ||
Russia | 1.7 | ||
Italy | 1.6 | ||
Canada | 1.4 | ||
Singapore | 1.3 | ||
Denmark | 1.2 | ||
Indonesia | 1.2 | ||
South Africa | 1.1 | ||
Mexico | 1.0 | ||
Sweden | 0.9 | ||
Norway | 0.8 | ||
Israel | 0.6 | ||
Turkey | 0.6 | ||
Malaysia | 0.5 | ||
Ireland | 0.4 | ||
Belgium | 0.3 | ||
Chile | 0.3 | ||
Egypt | 0.3 | ||
Finland | 0.3 | ||
Greece | 0.3 | ||
Peru | 0.3 | ||
Hungary | 0.2 | ||
Nigeria | 0.2 | ||
Philippines | 0.2 | ||
Thailand | 0.2 | ||
Austria | 0.1 | ||
Colombia | 0.1 | ||
Czech Republic | 0.1 | ||
Luxembourg | 0.1 | ||
New Zealand | 0.1 | ||
Panama | 0.1 | ||
Argentina | — | ** | |
Bermuda | — | ** | |
Estonia | — | ** | |
Jersey | — | ** | |
Kazakhstan | — | ** | |
Poland | — | ** | |
Sri Lanka | — | ** | |
United Arab Emirates | — | ** | |
Total Foreign Common Stocks | 95.7 | ||
Total Money Market Funds | 15.3 | ||
Total Futures Contracts | 6.1 | ||
Total Foreign Preferred Stocks | 0.9 | ||
Total U.S. Treasury Obligations | 0.6 | ||
Total Rights | — | ** | |
Total Forward Foreign Currency Contracts | (0.9 | ) | |
Total Securities Sold Short | (1.6 | ) | |
Total Investments | 116.1 | ||
** | Rounds to less than 0.005%. |
See Notes to Financial Statements.
125
Table of Contents
INTERNATIONAL EQUITY FUND SCHEDULE OF INVESTMENTS (Continued) |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2010, in valuing the Fund’s assets carried at fair value:
Valuation Inputs | Investments in Securities | Other Financial Instruments*** | ||||||
Assets: | ||||||||
Level 1 — Quoted Prices | ||||||||
Foreign Common Stocks | $ | 113,524,773 | $ | — | ||||
Foreign Preferred Stocks | 6,499,689 | — | ||||||
Futures Contracts | — | (2,368,149 | ) | |||||
Money Market Funds | 179,826,480 | — | ||||||
Rights | 32,166 | — | ||||||
Level 2 — Other Significant Observable Inputs | ||||||||
Foreign Common Stocks | 1,010,654,652 | — | ||||||
Foreign Preferred Stocks | 4,511,329 | — | ||||||
Forward Foreign Currency Contracts | — | 322,571 | ||||||
U.S. Treasury Obligations | 6,485,580 | — | ||||||
Level 3 — Significant Unobservable Inputs | ||||||||
Rights | — | — | ||||||
Total Assets | $ | 1,321,534,669 | $ | (2,045,578 | ) | |||
Liabilities: | ||||||||
Level 1 — Quoted Prices | $ | — | $ | — | ||||
Level 2 — Other Significant Observable Inputs | ||||||||
Securities Sold Short | (18,459,327 | ) | — | |||||
Level 3 — Significant Unobservable Inputs | — | — | ||||||
Total Liabilities | $ | (18,459,327 | ) | $ | — | |||
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:
Investments in Securities | Other Financial Instruments*** | ||||||
Balance, 12/31/09 | |||||||
Rights | $ | 1,251 | $ | — | |||
Accrued discounts/premiums | |||||||
Rights | — | — | |||||
Realized gain (loss) | |||||||
Rights | 620 | — | |||||
Changed in unrealized appreciation (depreciation) | |||||||
Rights | (1,251 | ) | — | ||||
Purchases | |||||||
Rights | — | ||||||
Sales | |||||||
Rights | (620 | ) | — | ||||
Transfers in and/or out of Level 3 | |||||||
Rights | — | — | |||||
Balance, 06/30/10 | $ | — | $ | — | |||
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
See Notes to Financial Statements.
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ABBREVIATIONS AND FOOTNOTES |
INVESTMENT ABBREVIATIONS:
ADR | — | American Depository Receipt | ||
CONV | — | Convertible | ||
GDR | — | Global Depository Receipt | ||
IO | — | Interest Only (Principal amount shown is notional) | ||
PIK | — | Payment-in-Kind Bonds | ||
PO | — | Principal Only | ||
REIT | — | Real Estate Investment Trust | ||
STEP | — | Stepped Coupon Bonds (1) | ||
STRIP | — | Stripped Security | ||
TBA | — | To be announced. | ||
144A | — | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers.As of June 30, 2010, the total market values and percentages of net assets for 144A securities by fund were as follows: |
Fund | Value of 144A Securities | Percentage of Net Assets | ||||
Money Market | $ | 17,800,000 | 1.52 | % | ||
Low-Duration Bond | 105,978,239 | 14.70 | ||||
Medium-Duration Bond | 95,488,076 | 8.97 | ||||
Extended-Duration Bond | 56,580,423 | 11.77 | ||||
Global Bond | 27,899,614 | 12.55 | ||||
Small Cap Equity | 2,661,169 | 0.66 | ||||
International Equity | 1,230,557 | 0.10 |
INVESTMENT FOOTNOTES:
‡‡ | — | All or a portion of the security was held as collateral for open futures, options, securities sold short and/or swap contracts. | ||
@ | — | Illiquid. | ||
* | — | Non-income producing security. | ||
# | — | Security in default. | ||
+ | — | Security is valued at fair value (2 ) . | ||
§ | — | Security purchased with the cash proceeds from securities loaned. | ||
† | — | Variable rate security (1 ) . | ||
W | — | Interest rates shown reflect the effective yields as of June 30, 2010. | ||
¥ | — | Affiliated fund. | ||
D | — | Security either partially or fully on loan. |
(1) | Interest rates shown reflect the rates currently in effect. Maturity date for money market instruments is the date of the next interest rate reset. |
(2) | Fair valued securities were held in the Medium-Duration Bond Fund, Global Bond Fund, Equity Index Fund, Value Equity Fund, Small Cap Equity Fund and International Equity Fund at an aggregate market value of $61,971, $1,932, $0, $1,209, $590,850 and $1,929,611, respectively, which amounted to 0.01%, 0.00%, 0.00%, 0.00%, 0.15% and 0.16% of each of those funds, respectively. |
FOREIGN BOND FOOTNOTES:
(A) | — | Par is denominated in Australian Dollars (AUD). | ||
(B) | — | Par is denominated in Brazilian Real (BRL). | ||
(C) | — | Par is denominated in Canadian Dollars (CAD). | ||
(E) | — | Par is denominated in Euro (EUR). | ||
(G) | — | Par is denominated in Singapore Dollars (SGD). | ||
(K) | — | Par is denominated in Norweigan Krone (NOK). | ||
(M) | — | Par is denominated in Mexican Pesos (MXN). | ||
(N) | — | Par is denominated in Indonesian Rupiahs (IDR). | ||
(U) | — | Par is denominated in British Pounds (GBP). | ||
(V) | — | Par is denominated in Polish Zloty (PLN). | ||
(W) | — | Par is denominated in South Korean Won (KRW). | ||
(Z) | — | Par is denominated in New Zealand Dollars (NZD). |
COUNTERPARTY ABBREVIATIONS:
BAR | — | Counterparty to contract is Barclays Capital. | ||
BNP | — | Counterparty to contract is BNP Paribas. | ||
BTAB | — | Counterparty to contract is Deutsche Bank Alex Brown. | ||
CHASE | — | Counterparty to contract is Chase Securities, Inc. | ||
CITI | — | Counterparty to contract is Citibank NA London. | ||
CITIC | — | Counterparty to contract is Citicorp. | ||
CS | — | Counterparty to contract is Credit Suisse International. | ||
DEUT | — | Counterparty to contract is Deutsche Bank AG. | ||
GSC | — | Counterparty to contract is Goldman Sachs Capital Markets, LP. | ||
HKSB | — | Counterparty to contract is Hong Kong & Shanghai Bank. | ||
HSBC | — | Counterparty to contract is HSBC Securities. | ||
JPM | — | Counterparty to contract is JPMorgan Chase Bank. | ||
MLCS | — | Counterparty to contract is Merrill Lynch Capital Services, Inc. | ||
MSCS | — | Counterparty to contract is Morgan Stanley Capital Services. | ||
RBC | — | Counterparty to contract is Royal Bank of Canada. | ||
RBS | — | Counterparty to contract is Royal Bank of Scotland. | ||
SG | — | Counterparty to contract is Societe Generale. | ||
SSB | — | Counterparty to contract is Salomon Smith Barney. | ||
UBS | — | Counterparty to contract is UBS AG. |
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STATEMENTS OF ASSETS AND LIABILITIES | June 30, 2010 (Unaudited) |
Money Market Fund | Low-Duration Bond Fund | Medium-Duration Bond Fund | |||||||||
Assets | |||||||||||
Investments in securities of unaffiliated issuers, at value | $ | 1,217,506,201 | $ | 702,950,339 | $ | 1,132,274,584 | |||||
Investments in repurchase agreements, at value | — | 74,600,000 | 32,500,000 | ||||||||
Investments in securities of affiliated issuers, at value | — | 32,206,804 | 64,233,948 | ||||||||
Total investments (1)(2) | 1,217,506,201 | 809,757,143 | 1,229,008,532 | ||||||||
Cash | 79 | — | 1,729,708 | ||||||||
Cash collateral for derivatives | — | 260,000 | 95,000 | ||||||||
Foreign currency (3) | — | 1,094,221 | 1,414,647 | ||||||||
Receivables: | |||||||||||
Dividends and reclaims | — | 236 | 459 | ||||||||
Interest | 261,476 | 3,958,834 | 7,761,927 | ||||||||
Securities lending | 3,106 | 3,483 | 6,493 | ||||||||
Investment securities sold | — | 14,808,993 | 137,004,239 | ||||||||
Maturities | — | 215,138 | 191,505 | ||||||||
Fund shares sold | 10,706,210 | 746,762 | 686,501 | ||||||||
Variation margin | — | 15,592 | 69,917 | ||||||||
Unrealized appreciation on foreign currency exchange contracts | — | 1,572,784 | 1,577,330 | ||||||||
Unrealized appreciation on swap agreements | — | 2,958,962 | 931,606 | ||||||||
Prepaid expenses and other assets | 43,128 | 21,412 | 21,025 | ||||||||
Total Assets | 1,228,520,200 | 835,413,560 | 1,380,498,889 | ||||||||
Liabilities | |||||||||||
Cash overdraft | — | 2,105,938 | — | ||||||||
TBA sale commitments, at value (4) | — | 10,734,380 | 18,887,811 | ||||||||
Options written at value (5) | — | 983,587 | 1,526,757 | ||||||||
Unrealized depreciation on foreign currency exchange contracts | — | 638,111 | 1,062,228 | ||||||||
Unrealized depreciation on swap agreements | — | — | 573,007 | ||||||||
Collateral held for securities on loan at value | 50,114,950 | 49,225,455 | 99,215,388 | ||||||||
Collateral held for derivatives | — | 3,040,000 | 4,237,000 | ||||||||
Payables: | |||||||||||
Investment securities purchased | — | 47,427,136 | 188,961,014 | ||||||||
Fund shares redeemed | 10,462,543 | 830,254 | 471,367 | ||||||||
Variation margin | — | 37,449 | 47,975 | ||||||||
Distributions | 5,048 | — | — | ||||||||
Securities lending | 621 | 697 | 1,299 | ||||||||
Accrued expenses: | |||||||||||
Investment advisory fees | 109,386 | 155,180 | 274,819 | ||||||||
Distribution (12b-1) fees | 151 | 42 | 47 | ||||||||
Shareholder servicing fees | 160,508 | 93,120 | 141,907 | ||||||||
Other expenses | 163,835 | 98,197 | 210,826 | ||||||||
Total Liabilities | 61,017,042 | 115,369,546 | 315,611,445 | ||||||||
Net Assets | $ | 1,167,503,158 | $ | 720,044,014 | $ | 1,064,887,444 | |||||
Net Assets Consist of: | |||||||||||
Paid-in-capital | $ | 1,167,426,640 | $ | 723,228,116 | $ | 1,067,750,081 | |||||
Undistributed (distributions in excess of) net investment income | 75,044 | (190,736 | ) | 742,998 | |||||||
Undistributed net realized gain on investments, foreign currency transactions and derivative transactions | 1,474 | 4,369,241 | 9,132,164 | ||||||||
Net unrealized depreciation on investments, foreign currency translations and derivative transactions | — | (7,362,607 | ) | (12,737,799 | ) | ||||||
Net Assets | $ | 1,167,503,158 | $ | 720,044,014 | $ | 1,064,887,444 | |||||
Net Asset Value: | |||||||||||
$0.001 par value, unlimited shares authorized | |||||||||||
Net assets applicable to the GS2 Class | $ | 125,077,984 | $ | 121,952,997 | $ | 145,463,514 | |||||
GS2 shares outstanding | 125,067,674 | 13,842,888 | 18,858,273 | ||||||||
Net asset value, offering and redemption price per GS2 share | $ | 1.00 | $ | 8.81 | $ | 7.71 | |||||
Net assets applicable to the GS4 Class | $ | 1,042,425,174 | $ | 598,091,017 | $ | 919,423,930 | |||||
GS4 shares outstanding | 1,042,324,320 | 45,020,771 | 65,785,389 | ||||||||
Net asset value, offering and redemption price per GS4 share | $ | 1.00 | $ | 13.28 | $ | 13.98 | |||||
(1) Investments in securities of unaffiliated issuers, at cost | $ | 1,217,506,201 | $ | 712,343,505 | $ | 1,146,880,433 | |||||
Investments in repurchase agreements, at cost | — | 74,600,000 | 32,500,000 | ||||||||
Investments in securities of affiliated issuers, at cost | — | 32,206,804 | 64,233,948 | ||||||||
Total investments at cost | $ | 1,217,506,201 | $ | 819,150,309 | $ | 1,243,614,381 | |||||
(2) Includes securities loaned of: | $ | 49,119,528 | $ | 48,230,968 | $ | 98,122,970 | |||||
(3) Foreign currency at cost | $ | — | $ | 1,103,739 | $ | 1,438,622 | |||||
(4) TBA sale commitments at cost | $ | — | $ | 10,687,500 | $ | 18,845,391 | |||||
(5) Premiums received on options written | $ | — | $ | 631,838 | $ | 992,427 | |||||
See Notes to Financial Statements.
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STATEMENTS OF ASSETS AND LIABILITIES | June 30, 2010 (Unaudited) |
Extended-Duration Bond fund | Inflation Protected Bond Fund | Global Bond Fund | ||||||||||
Assets | ||||||||||||
Investments in securities of unaffiliated issuers, at value | $ | 513,651,871 | $ | 104,684,076 | $ | 232,134,167 | ||||||
Investments in securities of affiliated issuers, at value | 12,867,142 | 5,947,208 | 19,637,120 | |||||||||
Total investments (1)(2) | 526,519,013 | 110,631,284 | 251,771,287 | |||||||||
Cash | — | — | — | |||||||||
Cash collateral for derivatives | — | — | — | |||||||||
Foreign currency (3) | — | — | 1,618,238 | |||||||||
Receivables: | ||||||||||||
Dividends and reclaims | 85 | 46 | 24,655 | |||||||||
Interest | 6,396,534 | 782,493 | 3,456,458 | |||||||||
Securities lending | 3,329 | 154 | 5,002 | |||||||||
Investment securities sold | — | 547 | 545,908 | |||||||||
Fund shares sold | 731,530 | 322,901 | 63,141 | |||||||||
Variation margin | — | 297 | 2,541 | |||||||||
Unrealized appreciation on foreign currency exchange contracts | — | — | 2,650,731 | |||||||||
Prepaid expenses and other assets | 19,582 | (4,308 | ) | 12,272 | ||||||||
Total Assets | 533,670,073 | 111,733,414 | 260,150,233 | |||||||||
Liabilities | ||||||||||||
Securities sold short, at value (4) | — | — | — | |||||||||
Options written at value(5) | — | — | — | |||||||||
Unrealized depreciation on foreign currency exchange contracts | — | — | 1,615,087 | |||||||||
Unrealized depreciation on swap agreements | — | — | — | |||||||||
Collateral held for securities on loan at value | 47,802,134 | 6,510,959 | 35,100,002 | |||||||||
Payables: | ||||||||||||
Investment securities purchased | 4,029,750 | — | 823,672 | |||||||||
Dividends on short sales | — | — | — | |||||||||
Fund shares redeemed | 828,000 | 1,110,000 | 153,408 | |||||||||
Variation margin | — | 2,922 | 3,169 | |||||||||
Securities lending | 665 | 30 | 1,000 | |||||||||
Accrued expenses: | ||||||||||||
Investment advisory fees | 169,327 | 25,970 | 82,523 | |||||||||
Distribution (12b-1) fees | 55 | — | — | |||||||||
Shareholder servicing fees | 62,355 | 16,037 | 34,592 | |||||||||
Other expenses | 52,883 | 14,235 | 58,330 | |||||||||
Total Liabilities | 52,945,169 | 7,680,153 | 37,871,783 | |||||||||
Net Assets | $ | 480,724,904 | $ | 104,053,261 | $ | 222,278,450 | ||||||
Net Assets Consist of: | ||||||||||||
Paid-in-capital | $ | 449,690,789 | $ | 99,028,952 | $ | 234,402,739 | ||||||
Undistributed (distributions in excess of) net investment income | 927,283 | 90,253 | (1,005,243 | ) | ||||||||
Undistributed (accumulated) net realized gain (loss) on investments, foreign currency transactions and derivative transactions | (9,678,337 | ) | 1,343,372 | (14,617,434 | ) | |||||||
Net unrealized appreciation (depreciation) on investments, foreign currency translations and derivative transactions | 39,785,169 | 3,590,684 | 3,498,388 | |||||||||
Net Assets | $ | 480,724,904 | $ | 104,053,261 | $ | 222,278,450 | ||||||
Net Asset Value: | ||||||||||||
$0.001 par value, unlimited shares authorized | ||||||||||||
Net assets applicable to the GS2 Class | $ | 71,382,863 | N/A | N/A | ||||||||
GS2 shares outstanding | 9,926,805 | N/A | N/A | |||||||||
Net asset value, offering and redemption price per GS2 share | $ | 7.19 | N/A | N/A | ||||||||
Net assets applicable to the GS4 Class | $ | 409,342,041 | $ | 104,053,261 | $ | 222,278,450 | ||||||
GS4 shares outstanding | 25,283,416 | 9,820,088 | 23,593,845 | |||||||||
Net asset value, offering and redemption price per GS4 share | $ | 16.19 | $ | 10.60 | $ | 9.42 | ||||||
__________ | ||||||||||||
(1) Investments in securities of unaffiliated issuers, at cost | $ | 473,865,395 | $ | 101,091,593 | $ | 229,478,961 | ||||||
Investments in securities of affiliated issuers, at cost | 12,867,142 | 5,947,208 | 19,637,120 | |||||||||
Total investments at cost | $ | 486,732,537 | $ | 107,038,801 | $ | 249,116,081 | ||||||
(2) Includes securities loaned of: | $ | 46,983,169 | $ | 6,391,284 | $ | 34,422,903 | ||||||
(3) Foreign currency at cost | $ | — | $ | — | $ | 1,669,353 | ||||||
(4) Securities Sold Short at proceeds | $ | — | $ | — | $ | — | ||||||
(5) Premiums received on options written | $ | — | $ | — | $ | — | ||||||
(6) Net of ($254,897) accrued foreign capital gains taxes on appreciated securities | $ | — | $ | — | $ | — | ||||||
See Notes to Financial Statements.
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Equity Index Fund | Real Estate Securities Fund | Value Equity Fund | Growth Equity Fund | Small Cap Equity Fund | International Equity Fund | |||||||||||||||||
$ | 372,547,666 | $ | 165,298,884 | $ | 1,097,941,777 | $ | 1,165,348,220 | $ | 530,370,309 | $ | 1,275,925,604 | |||||||||||
5,132,801 | 5,713,710 | 26,816,462 | 57,146,701 | 14,592,737 | 45,609,065 | |||||||||||||||||
377,680,467 | 171,012,594 | 1,124,758,239 | 1,222,494,921 | 544,963,046 | 1,321,534,669 | |||||||||||||||||
— | — | — | — | — | 1,262,579 | |||||||||||||||||
— | — | — | — | 686,462 | 2,400,000 | |||||||||||||||||
— | — | — | — | — | 983,384 | |||||||||||||||||
407,998 | 308,169 | 1,231,278 | 773,794 | 170,644 | 3,863,470 | |||||||||||||||||
— | — | — | — | 342,850 | — | |||||||||||||||||
3,970 | 3,446 | 10,063 | 9,946 | 40,736 | 109,699 | |||||||||||||||||
102,696 | 4,429 | 13,312,067 | 3,636,773 | 16,080,163 | 2,990,772 | |||||||||||||||||
34,657 | 114,563 | 711,077 | 1,447,800 | 89,735 | 94,354 | |||||||||||||||||
— | — | — | — | — | 163,432 | |||||||||||||||||
— | — | — | — | 53,836 | 772,934 | |||||||||||||||||
19,106 | 28,686 | 24,839 | 28,308 | 19,359 | 25,445 | |||||||||||||||||
378,248,894 | 171,471,887 | 1,140,047,563 | 1,228,391,542 | 562,446,831 | 1,334,200,738 | |||||||||||||||||
— | — | — | — | — | 18,459,327 | |||||||||||||||||
— | — | — | — | 15,438 | — | |||||||||||||||||
— | — | — | — | 26,576 | 450,363 | |||||||||||||||||
— | — | — | — | — | 18,869 | |||||||||||||||||
21,700,610 | 39,867,582 | 69,117,187 | 116,632,429 | 129,679,538 | 134,217,415 | |||||||||||||||||
— | 2,097,901 | 17,334,792 | 4,075,836 | 26,939,625 | 3,221,658 | |||||||||||||||||
— | — | — | — | — | 61,478 | |||||||||||||||||
386,797 | 66,698 | 440,126 | 302,456 | 256,416 | 933,553 | |||||||||||||||||
56,550 | 53,460 | 287,183 | 527,142 | 513,732 | 410,948 | |||||||||||||||||
793 | 689 | 2,012 | 1,988 | 8,138 | 21,940 | |||||||||||||||||
34,292 | 96,971 | 565,096 | 725,640 | 305,530 | 745,220 | |||||||||||||||||
48 | — | 109 | 93 | 118 | 178 | |||||||||||||||||
48,800 | 21,247 | 145,887 | 153,711 | 56,391 | 154,524 | |||||||||||||||||
138,148 | 34,816 | 93,418 | 88,717 | 102,469 | 565,025 | |||||||||||||||||
22,366,038 | 42,239,364 | 87,985,810 | 122,508,012 | 157,903,971 | 159,260,498 | |||||||||||||||||
$ | 355,882,856 | $ | 129,232,523 | $ | 1,052,061,753 | $ | 1,105,883,530 | $ | 404,542,860 | $ | 1,174,940,240 | |||||||||||
$ | 369,410,267 | $ | 170,961,593 | $ | 1,425,152,824 | $ | 1,236,631,111 | $ | 505,742,467 | $ | 1,458,462,168 | |||||||||||
104,431 | 44,191 | 344,556 | (323,577 | ) | 256,529 | 12,520,262 | ||||||||||||||||
(9,113,266 | ) | (55,800,018 | ) | (190,660,340 | ) | (204,755,658 | ) | (112,747,797 | ) | (268,968,753 | ) | |||||||||||
(4,518,576 | ) | 14,026,757 | (182,775,287 | ) | 74,331,654 | 11,291,661 | (27,073,437 | ) (6) | ||||||||||||||
$ | 355,882,856 | $ | 129,232,523 | $ | 1,052,061,753 | $ | 1,105,883,530 | $ | 404,542,860 | $ | 1,174,940,240 | |||||||||||
$ | 60,089,377 | N/A | $ | 166,789,767 | $ | 177,248,924 | $ | 61,450,879 | $ | 213,404,285 | ||||||||||||
8,467,165 | N/A | 28,478,483 | 19,310,087 | 8,253,459 | 25,144,265 | |||||||||||||||||
�� | ||||||||||||||||||||||
$ | 7.10 | N/A | $ | 5.86 | $ | 9.18 | $ | 7.45 | $ | 8.49 | ||||||||||||
$ | 295,793,479 | $ | 129,232,523 | $ | 885,271,986 | $ | 928,634,606 | $ | 343,091,981 | $ | 961,535,955 | |||||||||||
22,104,964 | 18,511,777 | 76,881,978 | 63,720,406 | 30,694,960 | 87,919,807 | |||||||||||||||||
$ | 13.38 | $ | 6.98 | $ | 11.51 | $ | 14.57 | $ | 11.18 | $ | 10.94 | |||||||||||
$ | 376,756,332 | $ | 150,988,449 | $ | 1,279,214,466 | $ | 1,087,983,841 | $ | 516,042,844 | $ | 1,302,352,149 | |||||||||||
5,132,801 | 5,713,710 | 26,816,462 | 57,146,701 | 14,592,737 | 45,609,065 | |||||||||||||||||
$ | 381,889,133 | $ | 156,702,159 | $ | 1,306,030,928 | $ | 1,145,130,542 | $ | 530,635,581 | $ | 1,347,961,214 | |||||||||||
$ | 21,004,266 | $ | 38,474,825 | $ | 66,546,899 | $ | 113,298,410 | $ | 125,389,098 | $ | 128,936,488 | |||||||||||
$ | — | $ | — | $ | — | $ | — | $ | — | $ | 999,314 | |||||||||||
$ | — | $ | — | $ | — | $ | — | $ | — | $ | 20,097,476 | |||||||||||
$ | — | $ | — | $ | — | $ | — | $ | 11,252 | $ | — | |||||||||||
See Notes to Financial Statement.
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STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2010 (Unaudited) |
Money Market Fund | Low-Duration Bond Fund | Medium-Duration Bond Fund | ||||||||||
Investment Income | ||||||||||||
Dividends | $ | — | $ | — | $ | 104,120 | ||||||
Income distributions received from affiliated funds | — | 1,197 | 2,362 | |||||||||
Interest | 1,699,531 | 9,941,458 | 19,835,612 | |||||||||
Securities lending | 22,274 | 26,415 | 65,788 | |||||||||
Less foreign taxes withheld | — | — | — | |||||||||
Total Investment Income | 1,721,805 | 9,969,070 | 20,007,882 | |||||||||
Expenses | ||||||||||||
Investment advisory fees | 911,956 | 1,207,103 | 2,150,509 | |||||||||
Transfer agent fees: | ||||||||||||
GS2 shares | 2,022 | 1,913 | 1,937 | |||||||||
GS4 shares | 22,739 | 12,942 | 11,016 | |||||||||
Custodian fees | 11,060 | 47,218 | 115,236 | |||||||||
Shareholder servicing fees: | ||||||||||||
GS4 shares | 997,763 | 555,264 | 849,168 | |||||||||
Accounting and administration fees | 122,520 | 121,570 | 216,393 | |||||||||
Professional fees | 25,217 | 28,446 | 29,496 | |||||||||
Blue sky fees: | ||||||||||||
GS2 shares | 972 | 793 | 793 | |||||||||
GS4 shares | 17,638 | 7,816 | 9,026 | |||||||||
Shareholder reporting fees: | ||||||||||||
GS2 shares | 452 | 282 | 338 | |||||||||
GS4 shares | 21,734 | 5,195 | 6,625 | |||||||||
Trustee expenses | 5,305 | 2,682 | 3,651 | |||||||||
Line of credit facility fees | 8,937 | 4,673 | 6,311 | |||||||||
Dividend expense on securities sold short | — | — | — | |||||||||
Other expenses | (55,665 | ) | 22,067 | 28,093 | ||||||||
Total expenses | 2,092,650 | 2,017,964 | 3,428,592 | |||||||||
Expenses waived/reimbursed net of amount recaptured(1) | (494,503 | ) | (283,759 | ) | (493,851 | ) | ||||||
Fees paid indirectly | — | — | — | |||||||||
Net expenses | 1,598,147 | 1,734,205 | 2,934,741 | |||||||||
Net Investment Income (Loss) | 123,658 | 8,234,865 | 17,073,141 | |||||||||
Realized and Unrealized Gain (Loss) | ||||||||||||
Net realized gain (loss) from: | ||||||||||||
Investment securities and securities sold short | 1,474 | 2,040,229 | 5,616,827 | |||||||||
Futures transactions | — | 1,061,205 | 2,898,379 | |||||||||
Swap agreements | — | (42,340 | ) | (246,235 | ) | |||||||
Option contracts written | — | 580,262 | 1,042,424 | |||||||||
Option contracts purchased | — | (103,088 | ) | (38,652 | ) | |||||||
Foreign currency transactions | — | 2,524,603 | 1,432,116 | |||||||||
Net realized gain (loss) | 1,474 | 6,060,871 | 10,704,859 | |||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||
Investment securities and securities sold short (net of estimated capital gains taxes of ($340,503) for International Equity) | — | 6,158,693 | 34,971,881 | |||||||||
Futures | — | 89,784 | 1,033,499 | |||||||||
Swap agreements | — | 82,563 | 916,100 | |||||||||
Option contracts written | — | (275,923 | ) | (432,171 | ) | |||||||
Option contracts purchased | — | 49,672 | 62,357 | |||||||||
Foreign currency translations | — | 271,462 | 19,213 | |||||||||
Net change in unrealized appreciation (depreciation) | — | 6,376,251 | 36,570,879 | |||||||||
Net Realized and Unrealized Gain (Loss) | 1,474 | 12,437,122 | 47,275,738 | |||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 125,132 | $ | 20,671,987 | $ | 64,348,879 | ||||||
(1) | See Note 3a and 3c in Notes to Financial Statements. |
See Notes to Financial Statements.
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Extended- Duration Bond Fund | Inflation Protected Bond Fund | Global Bond Fund | Equity Index Fund | Real Estate Securities Fund | Value Equity Fund | Growth Equity Fund | Small Cap Equity Fund | International Equity Fund | ||||||||||||||||||||||||||
$ | 10,064 | $ | — | $ | 130,263 | $ | 3,631,228 | $ | 2,126,301 | $ | 13,412,105 | $ | 5,532,724 | $ | 1,591,573 | $ | 24,451,884 | |||||||||||||||||
465 | 451 | 876 | 427 | 219 | 1,584 | 2,499 | 1,135 | 1,801 | ||||||||||||||||||||||||||
14,623,662 | 1,511,383 | 6,650,265 | 797 | (463 | ) | 1,933 | 3,216 | 808,390 | (15,365 | ) | ||||||||||||||||||||||||
21,809 | 2,039 | 34,139 | 28,493 | 21,142 | 94,779 | 74,450 | 247,065 | 763,175 | ||||||||||||||||||||||||||
— | — | — | — | — | (63,812 | ) | (15,600 | ) | (356 | ) | (2,276,030 | ) | ||||||||||||||||||||||
14,656,000 | 1,513,873 | 6,815,543 | 3,660,945 | 2,147,199 | 13,446,589 | 5,597,289 | 2,647,807 | 22,925,465 | ||||||||||||||||||||||||||
1,088,139 | 152,626 | 524,897 | 294,747 | 563,082 | 3,767,079 | 5,256,187 | 2,006,184 | 6,190,837 | ||||||||||||||||||||||||||
1,904 | — | — | 1,920 | — | 1,948 | 1,920 | 1,964 | 2,022 | ||||||||||||||||||||||||||
11,133 | 8,779 | 8,494 | 11,586 | 10,815 | 12,981 | 12,759 | 12,979 | 15,204 | ||||||||||||||||||||||||||
13,967 | 6,932 | 25,104 | 18,298 | 12,586 | 28,701 | 42,899 | 57,996 | 556,307 | ||||||||||||||||||||||||||
379,287 | 91,090 | 213,089 | 307,688 | 122,416 | 948,115 | 995,137 | 349,793 | 994,990 | ||||||||||||||||||||||||||
66,933 | 14,154 | 65,629 | 52,779 | 18,028 | 131,109 | 133,119 | 73,333 | 349,814 | ||||||||||||||||||||||||||
26,357 | 20,694 | 25,774 | 31,248 | 27,409 | 31,248 | 24,270 | 24,270 | 25,887 | ||||||||||||||||||||||||||
793 | — | — | 793 | — | 793 | 793 | 793 | 793 | ||||||||||||||||||||||||||
7,645 | 22,130 | 11,372 | 6,404 | 3,001 | 6,377 | 6,677 | 6,319 | 6,482 | ||||||||||||||||||||||||||
264 | — | — | 300 | — | 358 | 320 | 395 | 509 | ||||||||||||||||||||||||||
6,116 | 735 | 1,939 | 7,077 | 5,101 | 9,901 | 9,148 | 9,807 | 16,055 | ||||||||||||||||||||||||||
1,743 | 282 | 740 | 1,243 | 324 | 4,087 | 4,270 | 1,372 | 4,559 | ||||||||||||||||||||||||||
3,023 | 662 | 1,236 | 2,043 | 500 | 6,744 | 7,025 | 2,248 | 7,372 | ||||||||||||||||||||||||||
— | — | — | — | — | — | — | — | 324,455 | ||||||||||||||||||||||||||
9,765 | 7,629 | 14,351 | 9,154 | 5,886 | 17,310 | 23,487 | 8,588 | 137,599 | ||||||||||||||||||||||||||
1,617,069 | 325,713 | 892,625 | 745,280 | 769,148 | 4,966,751 | 6,518,011 | 2,556,041 | 8,632,885 | ||||||||||||||||||||||||||
(59,682 | ) | (7,034 | ) | (16,680 | ) | (75,233 | ) | (4,157 | ) | (109,142 | ) | (581,161 | ) | (109,675 | ) | (1,369,340 | ) | |||||||||||||||||
— | — | — | — | — | (20,040 | ) | (20,881 | ) | (7,573 | ) | (20,787 | ) | ||||||||||||||||||||||
1,557,387 | 318,679 | 875,945 | 670,047 | 764,991 | 4,837,569 | 5,915,969 | 2,438,793 | 7,242,758 | ||||||||||||||||||||||||||
13,098,613 | 1,195,194 | 5,939,598 | 2,990,898 | 1,382,208 | 8,609,020 | (318,680 | ) | 209,014 | 15,682,707 | |||||||||||||||||||||||||
4,152,978 | 1,133,523 | (3,404,578 | ) | 588,785 | 10,559,869 | 10,640,350 | 49,300,571 | 18,074,478 | 18,027,922 | |||||||||||||||||||||||||
— | 214,299 | (192,209 | ) | (68,089 | ) | (186,186 | ) | (1,009,218 | ) | (1,824,342 | ) | 3,680,165 | (5,408,301 | ) | ||||||||||||||||||||
— | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||
— | — | — | — | — | — | — | 30,041 | — | ||||||||||||||||||||||||||
— | — | (1 | ) | — | — | — | — | (13,222 | ) | — | ||||||||||||||||||||||||
103,644 | 369 | 465,797 | — | — | — | (2,321 | ) | 62,707 | (1,149,085 | ) | ||||||||||||||||||||||||
4,256,622 | 1,348,191 | (3,130,991 | ) | 520,696 | 10,373,683 | 9,631,132 | 47,473,908 | 21,834,169 | 11,470,536 | |||||||||||||||||||||||||
18,867,189 | 2,741,598 | 4,473,960 | (29,446,089 | ) | (6,541,650 | ) | (95,546,852 | ) | (141,840,240 | ) | (23,649,790 | ) | (186,086,316 | ) | ||||||||||||||||||||
— | (8,900 | ) | (167,660 | ) | (455,303 | ) | (450,763 | ) | (1,971,218 | ) | (3,658,187 | ) | (5,675,088 | ) | (2,190,922 | ) | ||||||||||||||||||
— | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||
— | — | — | — | — | — | — | (7,507 | ) | — | |||||||||||||||||||||||||
— | — | — | — | — | — | — | 11,688 | — | ||||||||||||||||||||||||||
(7,455 | ) | (1,194,372 | ) | 515,347 | — | — | — | (1 | ) | 27,239 | 488,860 | |||||||||||||||||||||||
18,859,734 | 1,538,326 | 4,821,647 | (29,901,392 | ) | (6,992,413 | ) | (97,518,070 | ) | (145,498,428 | ) | (29,293,458 | ) | (187,788,378 | ) | ||||||||||||||||||||
23,116,356 | 2,886,517 | 1,690,656 | (29,380,696 | ) | 3,381,270 | (87,886,938 | ) | (98,024,520 | ) | (7,459,289 | ) | (176,317,842 | ) | |||||||||||||||||||||
$ | 36,214,969 | $ | 4,081,711 | $ | 7,630,254 | $ | (26,389,798 | ) | $ | 4,763,478 | $ | (79,277,918 | ) | $ | (98,343,200 | ) | $ | (7,250,275 | ) | $ | (160,635,135 | ) | ||||||||||||
See Notes to Financial Statements.
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STATEMENTS OF CHANGES IN NET ASSETS |
Money Market Fund | ||||||||
For the Six Months Ended 06/30/10 (Unaudited) | For the Year Ended 12/31/09 | |||||||
Operations: | ||||||||
Net investment income | $ | 123,658 | $ | 3,601,028 | ||||
Net realized gain (loss) on investment securities, foreign currency transactions and derivative transactions | 1,474 | 60,542 | ||||||
Net change in unrealized appreciation on investment securities, foreign currency translations and derivative transactions | — | — | ||||||
Net increase in net assets resulting from operations | 125,132 | 3,661,570 | ||||||
Dividends and Distributions to Shareholders: | ||||||||
Dividends from net investment income | ||||||||
GS2 shares | (71,147 | ) | (769,065 | ) | ||||
GS4 shares | (52,511 | ) | (2,824,065 | ) | ||||
GS6 shares | — | (7,898 | ) | |||||
Distributions from net realized capital gains | ||||||||
GS2 shares | — | (7,898 | ) | |||||
GS4 shares | — | (62,102 | ) | |||||
GS6 shares | — | — | ||||||
Total dividends and distributions | (123,658 | ) | (3,671,028 | ) | ||||
Capital Share Transactions: | ||||||||
Proceeds from shares sold | ||||||||
GS2 shares | 42,122,799 | 102,344,425 | ||||||
GS4 shares | 1,505,040,724 | 2,886,053,282 | ||||||
GS6 shares | — | 1,367,352 | ||||||
Proceeds from exchange of GS6 shares for GS4 shares(1) | ||||||||
GS4 shares | 9,761,236 | |||||||
GS6 shares | — | (9,761,236 | ) | |||||
Reinvestment of dividends and distributions | ||||||||
GS2 shares | 65,947 | 644,744 | ||||||
GS4 shares | 28,392 | 2,050,152 | ||||||
GS6 shares | — | 7,898 | ||||||
Total proceeds from shares sold and reinvested | 1,547,257,862 | 2,992,467,853 | ||||||
Value of shares redeemed | ||||||||
GS2 shares | (50,434,277 | ) | (141,405,488 | ) | ||||
GS4 shares | (1,527,579,514 | ) | (2,803,066,431 | ) | ||||
GS6 shares | — | (421,134 | ) | |||||
Total value of shares redeemed | (1,578,013,791 | ) | (2,944,893,053 | ) | ||||
Net increase (decrease) from capital share transactions(2) | (30,755,929 | ) | 47,574,800 | |||||
Total increase (decrease) in net assets | (30,754,455 | ) | 47,565,342 | |||||
Net Assets: | ||||||||
Beginning of Period | 1,198,257,613 | 1,150,692,271 | ||||||
End of Period* | $ | 1,167,503,158 | $ | 1,198,257,613 | ||||
* Including undistributed (distributions in excess of) net investment income | $ | 75,044 | $ | 75,044 | ||||
(1) | See Note 1 in Notes to Financial Statements. |
(2) | See Note 7 in Notes to Financial Statements. |
See Notes to Financial Statements.
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Low-Duration Bond Fund | Medium- Duration Bond Fund | Extended- Duration Bond Fund | Inflation Protected Bond Fund | Global Bond Fund | ||||||||||||||||||||||||||||||||||
For the Six Months Ended (Unaudited) | For the Year Ended 12/31/09 | For the Six Months Ended 06/30/10 (Unaudited) | For the Year Ended 12/31/09 | For the Six Months Ended 06/30/10 (Unaudited) | For the Year Ended 12/31/09 | For the Six Months Ended 06/30/10 (Unaudited) | For the Period 06/25/09 -12/31/09 | For the Six Months Ended 06/30/10 (Unaudited) | For the Year Ended 12/31/09 | |||||||||||||||||||||||||||||
$ | 8,234,865 | $ | 20,944,974 | $ | 17,073,141 | $ | 36,356,649 | $ | 13,098,613 | $ | 27,763,523 | $ | 1,195,194 | $ | 1,424,136 | $ | 5,939,598 | $ | 12,862,766 | |||||||||||||||||||
6,060,871 | 8,473,015 | 10,704,859 | 25,495,374 | 4,256,622 | (13,712,692 | ) | 1,348,191 | 400,251 | (3,130,991 | ) | (8,252,760 | ) | ||||||||||||||||||||||||||
6,376,251 | 40,666,842 | 36,570,879 | 74,039,703 | 18,859,734 | 78,067,569 | 1,538,326 | 2,052,358 | 4,821,647 | 54,764,000 | |||||||||||||||||||||||||||||
20,671,987 | 70,084,831 | 64,348,879 | 135,891,726 | 36,214,969 | 92,118,400 | 4,081,711 | 3,876,745 | 7,630,254 | 59,374,006 | |||||||||||||||||||||||||||||
(2,044,170 | ) | (4,819,001 | ) | (3,728,313 | ) | (8,289,189 | ) | (3,645,319 | ) | (7,203,294 | ) | — | — | — | — | |||||||||||||||||||||||
(6,220,503 | ) | (15,263,843 | ) | (12,562,692 | ) | (29,716,113 | ) | (9,218,106 | ) | (18,714,067 | ) | (1,169,433 | ) | (1,359,644 | ) | (6,292,894 | ) | (13,789,431 | ) | |||||||||||||||||||
— | (101,664 | ) | — | (303,734 | ) | — | (571,919 | ) | — | — | — | — | ||||||||||||||||||||||||||
— | — | (653,193 | ) | (5,307,160 | ) | — | (162,568 | ) | — | — | — | — | ||||||||||||||||||||||||||
— | — | (2,279,770 | ) | (19,148,776 | ) | — | (426,577 | ) | (313,676 | ) | (91,394 | ) | — | — | ||||||||||||||||||||||||
— | — | — | (168,322 | ) | — | (44,540 | ) | — | — | — | — | |||||||||||||||||||||||||||
(8,264,673 | ) | (20,184,508 | ) | (19,223,968 | ) | (62,933,294 | ) | (12,863,425 | ) | (27,122,965 | ) | (1,483,109 | ) | (1,451,038 | ) | (6,292,894 | ) | (13,789,431 | ) | |||||||||||||||||||
7,506,984 | 21,205,424 | 5,003,463 | 23,176,665 | 4,048,665 | 5,901,308 | — | — | — | ||||||||||||||||||||||||||||||
41,503,215 | 100,049,225 | 64,701,725 | 116,757,280 | 24,859,566 | 33,154,694 | 22,307,545 | 85,910,487 | 12,391,649 | 33,309,227 | |||||||||||||||||||||||||||||
— | 254,107 | — | 144,295 | — | 49,106 | — | — | — | ||||||||||||||||||||||||||||||
6,028,341 | 14,963,529 | 15,327,294 | — | — | — | — | ||||||||||||||||||||||||||||||||
— | (6,028,341 | ) | — | (14,963,529 | ) | — | (15,327,294 | ) | — | — | — | — | ||||||||||||||||||||||||||
2,042,462 | 4,814,646 | 4,378,607 | 13,585,942 | 3,640,911 | 7,356,577 | — | — | — | — | |||||||||||||||||||||||||||||
6,218,141 | 15,261,292 | 14,840,769 | 48,861,482 | 9,217,363 | 19,139,457 | 1,483,069 | 1,451,038 | 6,292,868 | 13,789,383 | |||||||||||||||||||||||||||||
— | 101,664 | — | 472,056 | — | 616,459 | — | — | — | — | |||||||||||||||||||||||||||||
57,270,802 | 141,686,358 | 88,924,564 | 202,997,720 | 41,766,505 | 66,217,601 | 23,790,614 | 87,361,525 | 18,684,517 | 47,098,610 | |||||||||||||||||||||||||||||
(4,876,066 | ) | (22,503,752 | ) | (8,385,996 | ) | (13,815,713 | ) | (5,753,466 | ) | (16,838,462 | ) | — | — | — | — | |||||||||||||||||||||||
(29,814,517 | ) | (110,793,220 | ) | (69,493,885 | ) | (118,612,655 | ) | (39,301,056 | ) | (91,273,123 | ) | (10,329,672 | ) | (1,793,515 | ) | (19,298,000 | ) | (38,593,388 | ) | |||||||||||||||||||
— | (74,922 | ) | — | (176,672 | ) | — | (44,729 | ) | — | — | — | |||||||||||||||||||||||||||
(34,690,583 | ) | (133,371,894 | ) | (77,879,881 | ) | (132,605,040 | ) | (45,054,522 | ) | (108,156,314 | ) | (10,329,672 | ) | (1,793,515 | ) | (19,298,000 | ) | (38,593,388 | ) | |||||||||||||||||||
22,580,219 | 8,314,464 | 11,044,683 | 70,392,680 | (3,288,017 | ) | (41,938,713 | ) | 13,460,942 | 85,568,010 | (613,483 | ) | 8,505,222 | ||||||||||||||||||||||||||
34,987,533 | 58,214,787 | 56,169,594 | 143,351,112 | 20,063,527 | 23,056,722 | 16,059,544 | 87,993,717 | 723,877 | 54,089,797 | |||||||||||||||||||||||||||||
685,056,481 | 626,841,694 | 1,008,717,850 | 865,366,738 | 460,661,377 | 437,604,655 | 87,993,717 | — | 221,554,573 | 167,464,776 | |||||||||||||||||||||||||||||
$ | 720,044,014 | $ | 685,056,481 | $ | 1,064,887,444 | $ | 1,008,717,850 | $ | 480,724,904 | $ | 460,661,377 | $ | 104,053,261 | $ | 87,993,717 | $ | 222,278,450 | $ | 221,554,573 | |||||||||||||||||||
$ | (190,736 | ) | $ | (152,642 | ) | $ | 742,998 | $ | (59,115 | ) | $ | 927,283 | $ | 692,095 | $ | 90,253 | $ | 64,492 | $ | (1,005,243 | ) | $ | (651,947 | ) | ||||||||||||||
See Notes to Financial Statements.
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STATEMENTS OF CHANGES IN NET ASSETS
Equity Index Fund | Real Estate Securities Fund | |||||||||||||||
For the Six Months Ended 06/30/10 (Unaudited) | For the Year Ended 12/31/09 | For the Six Months Ended 06/30/10 (Unaudited) | For the Year Ended 12/31/09 | |||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 2,990,898 | $ | 6,218,448 | $ | 1,382,208 | $ | 2,070,541 | ||||||||
Net realized gain (loss) on investment securities, foreign currency transactions and derivative transactions | ||||||||||||||||
520,696 | (2,578,884 | ) | 10,373,683 | (19,042,691 | ) | |||||||||||
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency translations and derivative transactions | (29,901,392 | ) | 75,763,601 | (6,992,413 | ) | 49,297,450 | ||||||||||
Net increase (decrease) in net assets resulting from operations | (26,389,798 | ) | 79,403,165 | 4,763,478 | 32,325,300 | |||||||||||
Dividends and Distributions to Shareholders: | ||||||||||||||||
Dividends from net investment income | ||||||||||||||||
GS2 shares | (1,302,021 | ) | (1,801,063 | ) | — | — | ||||||||||
GS4 shares | (3,207,988 | ) | (4,402,101 | ) | (1,338,017 | ) | (2,070,541 | ) | ||||||||
GS6 shares | — | (14,301 | ) | — | — | |||||||||||
Distributions from net realized capital gains | ||||||||||||||||
GS2 shares | — | — | — | — | ||||||||||||
GS4 shares | — | — | — | — | ||||||||||||
GS6 shares | — | — | — | — | ||||||||||||
Return of Capital | ||||||||||||||||
GS4 shares | — | — | (45,334 | ) | ||||||||||||
Total dividends and distributions | (4,510,009 | ) | (6,217,465 | ) | (1,338,017 | ) | (2,115,875 | ) | ||||||||
Capital Share Transactions: | ||||||||||||||||
Proceeds from shares sold | ||||||||||||||||
GS2 shares | 1,948,871 | 5,404,027 | — | — | ||||||||||||
GS4 shares | 11,214,586 | 26,274,116 | 30,812,063 | 40,121,237 | ||||||||||||
GS6 shares | — | 169,604 | — | — | ||||||||||||
Proceeds from exchange of GS6 shares for GS4 shares(1) | ||||||||||||||||
GS4shares | — | 752,012 | — | — | ||||||||||||
GS6 shares | — | (752,012 | ) | — | — | |||||||||||
Reinvestment of dividends and distributions | ||||||||||||||||
GS2 shares | 1,300,367 | 1,798,674 | — | — | ||||||||||||
GS4 shares | 3,207,758 | 4,401,738 | 1,337,920 | 2,115,821 | ||||||||||||
GS6 shares | — | 14,301 | — | — | ||||||||||||
Total proceeds from shares sold and reinvested | 17,671,582 | 38,062,460 | 32,149,983 | 42,237,058 | ||||||||||||
Value of shares redeemed | ||||||||||||||||
GS2 shares | (2,660,967 | ) | (3,267,371 | ) | — | — | ||||||||||
GS4 shares | (14,931,728 | ) | (18,417,132 | ) | (27,876,118 | ) | (31,492,535 | ) | ||||||||
GS6 shares | — | (53,435 | ) | — | — | |||||||||||
Total value of shares redeemed | (17,592,695 | ) | (21,737,938 | ) | (27,876,118 | ) | (31,492,535 | ) | ||||||||
Net increase (decrease) from capital share transactions(2) | 78,887 | 16,324,522 | 4,273,865 | 10,744,523 | ||||||||||||
Total increase (decrease) in net assets | (30,820,920 | ) | 89,510,222 | 7,699,326 | 40,953,948 | |||||||||||
Net Assets: | ||||||||||||||||
Beginning of Period | 386,703,776 | 297,193,554 | 121,533,197 | 80,579,249 | ||||||||||||
End of Period* | $ | 355,882,856 | $ | 386,703,776 | $ | 129,232,523 | $ | 121,533,197 | ||||||||
* Including undistributed (distributions in excess of)net investment income | $ | 104,431 | $ | 1,623,542 | $ | 44,191 | $ | — | ||||||||
(1) | See Note 1 in Notes to Financial Statements. |
(2) | See Note 7 in Notes to Financial Statements. |
See Notes to Financial Statements.
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Value Equity Fund | Growth Equity Fund | Small Cap Equity Fund | International Equity Fund | |||||||||||||||||||||||||||
For the Six 06/30/10 (Unaudited) | For the Year Ended 12/31/09 | For the Six Months Ended 06/30/10 (Unaudited) | For the Year Ended 12/31/09 | For the Six Months Ended 06/30/10 (Unaudited) | For the Year Ended 12/31/09 | For the Six Months Ended 06/30/10 (Unaudited) | For the Year Ended 12/31/09 | |||||||||||||||||||||||
$ | 8,609,020 | $ | 19,779,510 | $ | (318,680 | ) | $ | 1,505,015 | $ | 209,014 | $ | 1,203,503 | $ | 15,682,707 | $ | 23,826,445 | ||||||||||||||
9,631,132 | (64,175,066 | ) | 47,473,908 | (109,204,568 | ) | 21,834,169 | (41,870,403 | ) | 11,470,536 | (165,177,080 | ) | |||||||||||||||||||
(97,518,070 | ) | 257,263,641 | (145,498,428 | ) | 464,623,213 | (29,293,458 | ) | 132,900,348 | (187,788,378 | ) | 523,658,601 | |||||||||||||||||||
(79,277,918 | ) | 212,868,085 | (98,343,200 | ) | 356,923,660 | (7,250,275 | ) | 92,233,448 | (160,635,135 | ) | 382,307,966 | |||||||||||||||||||
(4,529,796 | ) | (5,200,697 | ) | (40,561 | ) | (483,098 | ) | — | (308,721 | ) | — | (6,734,271 | ) | |||||||||||||||||
(11,523,832 | ) | (14,265,973 | ) | (133,534 | ) | (889,232 | ) | — | (799,277 | ) | — | (22,872,522 | ) | |||||||||||||||||
— | (275,945 | ) | — | (1,914 | ) | — | (13,179 | ) | — | (134,700 | ) | |||||||||||||||||||
— | — | — | — | — | — | — | (2,529 | ) | ||||||||||||||||||||||
— | — | — | — | — | — | — | (9,714 | ) | ||||||||||||||||||||||
— | — | — | — | — | — | — | (219 | ) | ||||||||||||||||||||||
— | — | — | — | — | — | — | — | |||||||||||||||||||||||
(16,053,628 | ) | (19,742,615 | ) | (174,095 | ) | (1,374,244 | ) | — | (1,121,177 | ) | — | (29,753,955 | ) | |||||||||||||||||
3,715,036 | 12,902,236 | 4,669,362 | 12,713,753 | 2,937,362 | 5,492,162 | 9,046,250 | 20,280,057 | |||||||||||||||||||||||
30,910,658 | 72,329,322 | 32,442,426 | 71,786,841 | 26,225,418 | 30,796,225 | 54,346,692 | 93,746,559 | |||||||||||||||||||||||
— | 202,991 | — | 130,568 | — | 121,495 | — | 203,417 | |||||||||||||||||||||||
— | 10,999,393 | — | 8,465,100 | — | 11,250,269 | — | 15,254,145 | |||||||||||||||||||||||
— | (10,999,393 | ) | — | (8,465,100 | ) | (11,250,269 | ) | (15,254,145 | ) | (15,254,145 | ) | |||||||||||||||||||
4,524,882 | 5,194,371 | 40,520 | 482,587 | — | 308,317 | — | 6,729,926 | |||||||||||||||||||||||
11,522,839 | 14,264,827 | 133,532 | 889,208 | — | 799,160 | — | 22,880,793 | |||||||||||||||||||||||
— | 275,945 | — | 1,914 | — | 13,179 | — | 134,919 | |||||||||||||||||||||||
50,673,415 | 105,169,692 | 37,285,840 | 86,004,871 | 29,162,780 | 37,530,538 | 48,138,797 | 143,975,671 | |||||||||||||||||||||||
(5,594,985 | ) | (7,838,330 | ) | (7,841,839 | ) | (12,252,310 | ) | (4,563,331 | ) | (3,541,206 | ) | (7,510,395 | ) | (36,708,492 | ) | |||||||||||||||
(80,622,045 | ) | (107,020,416 | ) | (88,722,689 | ) | (131,924,307 | ) | (32,881,947 | ) | (37,084,961 | ) | (62,417,463 | ) | (200,124,972 | ) | |||||||||||||||
— | (12,384 | ) | — | (41,306 | ) | — | (22,607 | ) | 15,254,145 | (67,761 | ) | |||||||||||||||||||
(86,217,030 | ) | (114,871,130 | ) | (96,564,528 | ) | (144,217,923 | ) | (37,445,278 | ) | (40,648,774 | ) | (54,673,713 | ) | (236,901,225 | ) | |||||||||||||||
(35,543,615 | ) | (9,701,438 | ) | (59,278,688 | ) | (58,213,052 | ) | (8,282,498 | ) | (3,118,236 | ) | (6,534,916 | ) | (92,925,554 | ) | |||||||||||||||
(130,875,161 | ) | 183,424,032 | (157,795,983 | ) | 297,336,364 | (15,532,773 | ) | 87,994,035 | (167,170,051 | ) | 259,628,457 | |||||||||||||||||||
1,182,936,914 | 999,512,882 | 1,263,679,513 | 966,343,149 | 420,075,633 | 332,081,598 | 1,342,110,291 | 1,082,481,834 | |||||||||||||||||||||||
$ | 1,052,061,753 | $ | 1,182,936,914 | $ | 1,105,883,530 | $ | 1,263,679,513 | $ | 404,542,860 | $ | 420,075,633 | $ | 1,174,940,240 | $ | 1,342,110,291 | |||||||||||||||
$ | 344,556 | $ | 7,789,164 | $ | (323,577 | ) | $ | 169,198 | $ | 256,529 | $ | 47,515 | $ | 12,520,262 | $ | (3,162,445 | ) | |||||||||||||
See Notes to Financial Statements.
137
Table of Contents
FINANCIAL HIGHLIGHTS (Unaudited)
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year | Net Investment Income | Realized and Unrealized Gain (Loss) on Investments | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Net Asset Value, End of Year | Total Return | Net Assets, End of Year (000) | Expenses, Net | Expenses, Gross(1) | Investment Income, Net(2) | Portfolio Turnover Rate | |||||||||||||||||||||||||||||
Money Market Fund |
| |||||||||||||||||||||||||||||||||||||||
GS2 Class | ||||||||||||||||||||||||||||||||||||||||
2010(3) | $ | 1.00 | $ | — | $ | — | $ | — | † | $ | — | $ | 1.00 | 0.06 | % | $ | 125,078 | 0.18 | % | 0.18 | % | 0.11 | % | N/A | ||||||||||||||||
2009 | 1.00 | — | † | — | † | — | † | — | † | 1.00 | 0.47 | 133,323 | 0.23 | (4) | 0.23 | (4) | 0.49 | N/A | ||||||||||||||||||||||
2008 | 1.00 | 0.03 | — | † | (0.03 | ) | — | 1.00 | 2.95 | 171,739 | 0.20 | 0.20 | 2.86 | N/A | ||||||||||||||||||||||||||
2007 | 1.00 | 0.05 | — | † | (0.05 | ) | — | 1.00 | 5.23 | 112,581 | 0.23 | 0.23 | 5.11 | N/A | ||||||||||||||||||||||||||
2006 | 1.00 | 0.05 | — | † | (0.05 | ) | — | 1.00 | 4.92 | 100,559 | 0.26 | 0.26 | 4.82 | N/A | ||||||||||||||||||||||||||
2005 | 1.00 | 0.03 | — | † | (0.03 | ) | — | 1.00 | 3.07 | 93,103 | 0.27 | 0.26 | 3.03 | N/A | ||||||||||||||||||||||||||
GS4 Class | ||||||||||||||||||||||||||||||||||||||||
2010(3) | $ | 1.00 | $ | — | $ | — | $ | — | † | $ | — | $ | 1.00 | 0.01 | % | $ | 1,042,425 | 0.28 | % | 0.38 | % | 0.01 | % | N/A | ||||||||||||||||
2009 | 1.00 | — | † | — | † | — | † | — | † | 1.00 | 0.29 | 1,064,934 | 0.41 | (4) | 0.43 | (4) | 0.28 | N/A | ||||||||||||||||||||||
2008 | 1.00 | 0.03 | — | † | (0.03 | ) | — | 1.00 | 2.75 | 970,146 | 0.40 | (4) | 0.40 | (4) | 2.72 | N/A | ||||||||||||||||||||||||
2007 | 1.00 | 0.05 | — | † | (0.05 | ) | — | 1.00 | 5.03 | 939,596 | 0.43 | 0.43 | 4.92 | N/A | ||||||||||||||||||||||||||
2006 | 1.00 | 0.05 | — | † | (0.05 | ) | — | 1.00 | 4.72 | 930,582 | 0.46 | 0.46 | 4.64 | N/A | ||||||||||||||||||||||||||
2005 | 1.00 | 0.03 | — | † | (0.03 | ) | — | 1.00 | 2.88 | 766,322 | 0.46 | 0.46 | 2.84 | N/A | ||||||||||||||||||||||||||
Low-Duration Bond Fund |
| |||||||||||||||||||||||||||||||||||||||
GS2 Class |
| |||||||||||||||||||||||||||||||||||||||
2010(3) | $ | 8.70 | $ | 0.11 | $ | 0.15 | $ | (0.15 | ) | $ | — | $ | 8.81 | 3.00 | % | $ | 121,953 | 0.36 | % | 0.41 | % | 2.47 | % | 102 | % | |||||||||||||||
2009 | 8.11 | 0.29 | # | 0.69 | (0.39 | ) | — | 8.70 | 12.29 | 115,741 | 0.36 | 0.42 | 3.47 | 322 | ||||||||||||||||||||||||||
2008 | 8.90 | 0.36 | # | (0.60 | ) | (0.55 | ) | — | 8.11 | (2.76 | ) | 105,223 | 0.36 | 0.41 | 4.19 | 427 | ||||||||||||||||||||||||
2007 | 8.89 | 0.42 | # | 0.12 | (0.53 | ) | — | 8.90 | 6.22 | 133,374 | 0.42 | 0.45 | 4.71 | 248 | ||||||||||||||||||||||||||
2006 | 9.06 | 0.38 | # | (0.03 | ) | (0.52 | ) | — | 8.89 | 3.94 | 105,991 | 0.45 | 0.47 | 4.22 | 168 | |||||||||||||||||||||||||
2005 | 9.32 | 0.30 | # | (0.15 | ) | (0.41 | ) | — | † | 9.06 | 1.60 | 104,681 | 0.45 | 0.48 | 3.30 | 196 | ||||||||||||||||||||||||
GS4 Class | ||||||||||||||||||||||||||||||||||||||||
2010(3) | $ | 13.04 | $ | 0.15 | $ | 0.23 | $ | (0.14 | ) | $ | — | $ | 13.28 | 2.92 | % | $ | 598,091 | 0.52 | % | 0.61 | % | 2.31 | % | 102 | % | |||||||||||||||
2009 | 11.99 | 0.42 | # | 1.00 | (0.37 | ) | — | 13.04 | 11.97 | 569,316 | 0.52 | 0.62 | 3.30 | 322 | ||||||||||||||||||||||||||
2008 | 12.88 | 0.51 | # | (0.87 | ) | (0.53 | ) | — | 11.99 | (2.84 | ) | 515,996 | 0.52 | 0.61 | 4.03 | 427 | ||||||||||||||||||||||||
2007 | 12.63 | 0.58 | # | 0.17 | (0.50 | ) | — | 12.88 | 6.11 | 665,292 | 0.58 | 0.64 | 4.54 | 248 | ||||||||||||||||||||||||||
2006 | 12.66 | 0.58 | # | (0.11 | ) | (0.50 | ) | — | 12.63 | 3.75 | 697,687 | 0.61 | 0.66 | 4.05 | 168 | |||||||||||||||||||||||||
2005 | 12.87 | 0.40 | # | (0.22 | ) | (0.39 | ) | — | † | 12.66 | 1.39 | 789,077 | 0.61 | 0.67 | 3.13 | 196 |
† | Amount represents less than $0.005 per share. |
# | Calculated using the average shares outstanding method. |
(1) | The ratio excludes expenses waived/reimbursed net of amount recaptured. |
(2) | The ratio includes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were excluded, the ratio would have been lower than the ratio shown. |
(3) | For the six months ended June 30, 2010. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(4) | See Note 12 in Notes to Financial Statements. |
See Notes to Financial Statements.
138
Table of Contents
Ratios to Average Net Assets | ||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year | Net Investment Income | Realized and Unrealized Gain (Loss) on Investments | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Return of Capital | Net Asset Value, End of Year | Total Return | Net Assets, End of Year (000) | Expenses, Net | Expenses, Gross(1) | Investment Income, Net(2) | Portfolio Turnover Rate | ||||||||||||||||||||||||||||||||
Medium-Duration Bond Fund |
| |||||||||||||||||||||||||||||||||||||||||||
GS2 Class |
| |||||||||||||||||||||||||||||||||||||||||||
2010(3) | $ | 7.47 | $ | 0.13 | # | $ | 0.34 | $ | (0.20 | ) | $ | (0.03 | ) | $ | — | $ | 7.71 | 6.40 | % | $ | 145,464 | 0.48 | % | 0.50 | % | 3.38 | % | 164 | % | |||||||||||||||
2009 | 7.13 | 0.31 | # | 0.85 | (0.51 | ) | (0.31 | ) | — | 7.47 | 17.07 | 139,917 | 0.48 | 0.51 | 4.17 | 427 | ||||||||||||||||||||||||||||
2008 | 8.42 | 0.40 | # | (0.72 | ) | (0.65 | ) | (0.32 | ) | — | 7.13 | (3.88 | ) | 112,240 | 0.47 | 0.48 | 5.07 | 566 | ||||||||||||||||||||||||||
2007 | 8.52 | 0.42 | # | 0.12 | (0.64 | ) | — | † | — | 8.42 | 6.65 | 151,466 | 0.48 | 0.49 | 5.02 | 428 | ||||||||||||||||||||||||||||
2006 | 8.71 | 0.39 | # | (0.01 | ) | (0.57 | ) | — | — | 8.52 | 4.50 | 113,051 | 0.50 | 0.50 | 4.60 | 440 | ||||||||||||||||||||||||||||
2005 | 9.06 | 0.34 | # | (0.10 | ) | (0.53 | ) | (0.06 | ) | — | 8.71 | 2.62 | 100,800 | 0.50 | 0.53 | 3.84 | 465 | |||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||
2010(3) | $ | 13.36 | $ | 0.22 | # | $ | 0.62 | $ | (0.19 | ) | $ | (0.03 | ) | $ | — | $ | 13.98 | 6.37 | % | $ | 919,424 | 0.58 | % | 0.69 | % | 3.29 | % | 164 | % | |||||||||||||||
2009 | 12.16 | 0.53 | # | 1.48 | (0.50 | ) | (0.31 | ) | — | 13.36 | 16.97 | 868,800 | 0.58 | 0.70 | 4.08 | 427 | ||||||||||||||||||||||||||||
2008 | 13.64 | 0.65 | # | (1.18 | ) | (0.63 | ) | (0.32 | ) | — | 12.16 | (3.89 | ) | 738,610 | 0.58 | 0.67 | 4.96 | 566 | ||||||||||||||||||||||||||
2007 | 13.42 | 0.66 | # | 0.18 | (0.62 | ) | — | † | — | 13.64 | 6.46 | 1,079,034 | 0.61 | 0.68 | 4.88 | 428 | ||||||||||||||||||||||||||||
2006 | 13.40 | 0.60 | # | (0.03 | ) | (0.55 | ) | — | — | 13.42 | 4.37 | 1,108,958 | 0.62 | 0.69 | 4.48 | 440 | ||||||||||||||||||||||||||||
2005 | 13.63 | 0.50 | # | (0.16 | ) | (0.51 | ) | (0.06 | ) | — | 13.40 | 2.50 | 981,935 | 0.62 | 0.71 | 3.71 | 465 | |||||||||||||||||||||||||||
Extended-Duration Bond Fund |
| |||||||||||||||||||||||||||||||||||||||||||
GS2 Class |
| |||||||||||||||||||||||||||||||||||||||||||
2010(3) | $ | 7.01 | $ | 0.20 | # | $ | 0.35 | $ | (0.37 | ) | $ | — | $ | — | $ | 7.19 | 8.07 | % | $ | 71,383 | 0.52 | % | 0.53 | % | 5.74 | % | 21 | % | ||||||||||||||||
2009 | 6.31 | 0.44 | # | 1.04 | (0.76 | ) | (0.02 | ) | — | 7.01 | 25.27 | 67,699 | 0.53 | 0.53 | 6.78 | 41 | ||||||||||||||||||||||||||||
2008 | 7.95 | 0.47 | # | (1.11 | ) | (0.85 | ) | (0.15 | ) | — | 6.31 | (8.12 | ) | 64,834 | 0.52 | 0.52 | 6.66 | 40 | ||||||||||||||||||||||||||
2007 | 8.13 | 0.41 | # | 0.23 | (0.69 | ) | (0.13 | ) | — | 7.95 | 8.45 | 75,841 | 0.53 | 0.53 | 5.21 | 101 | ||||||||||||||||||||||||||||
2006 | 8.44 | 0.40 | # | (0.03 | ) | (0.65 | ) | (0.03 | ) | — | 8.13 | 4.75 | 59,916 | 0.57 | 0.57 | 4.91 | 100 | |||||||||||||||||||||||||||
2005 | 8.90 | 0.44 | # | 0.04 | (0.68 | ) | (0.26 | ) | — | 8.44 | 5.65 | 57,372 | 0.56 | 0.57 | 4.90 | 38 | ||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||
2010(3) | $ | 15.34 | $ | 0.43 | # | $ | 0.78 | $ | (0.36 | ) | $ | — | $ | — | $ | 16.19 | 7.97 | % | $ | 409,342 | 0.69 | % | 0.72 | % | 5.58 | % | 21 | % | ||||||||||||||||
2009 | 12.97 | 0.91 | # | 2.22 | (0.74 | ) | (0.02 | ) | — | 15.34 | 24.97 | 392,962 | 0.69 | 0.73 | 6.60 | 41 | ||||||||||||||||||||||||||||
2008 | 15.20 | 0.90 | # | (2.15 | ) | (0.83 | ) | (0.15 | ) | — | 12.97 | (8.28 | ) | 357,073 | 0.69 | 0.71 | 6.45 | 40 | ||||||||||||||||||||||||||
2007 | 14.81 | 0.74 | # | 0.44 | (0.66 | ) | (0.13 | ) | — | 15.20 | 8.29 | 500,252 | 0.72 | 0.72 | 5.02 | 101 | ||||||||||||||||||||||||||||
2006 | 14.82 | 0.69 | # | (0.04 | ) | (0.63 | ) | (0.03 | ) | — | 14.81 | 4.56 | 467,877 | 0.73 | 0.76 | 4.75 | 100 | |||||||||||||||||||||||||||
2005 | 14.93 | 0.71 | # | 0.10 | (0.66 | ) | (0.26 | ) | — | 14.82 | 5.54 | 393,851 | 0.73 | 0.76 | 4.72 | 38 | ||||||||||||||||||||||||||||
Inflation Protected Bond Fund |
| |||||||||||||||||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||
2010(3) | $ | 10.32 | $ | 0.13 | $ | 0.30 | $ | (0.12 | ) | $ | (0.03 | ) | $ | — | $ | 10.60 | 4.27 | % | $ | 104,053 | 0.66 | % | 0.68 | % | 2.49 | % | 44 | % | ||||||||||||||||
2009(4)(5)(6) | 10.00 | 0.19 | # | 0.32 | (0.18 | ) | (0.01 | ) | — | 10.32 | 5.12 | 87,994 | 0.67 | 0.70 | 3.53 | 55 | ||||||||||||||||||||||||||||
Global Bond Fund |
| |||||||||||||||||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||
2010(3) | $ | 9.36 | $ | 0.25 | $ | 0.07 | $ | (0.26 | ) | $ | — | $ | — | $ | 9.42 | 3.48 | % | $ | 222,278 | 0.78 | % | 0.80 | % | 5.30 | % | 20 | % | |||||||||||||||||
2009 | 7.34 | 0.56 | # | 2.07 | (0.61 | ) | — | — | 9.36 | 37.35 | 221,555 | 0.79 | 0.81 | 6.81 | 96 | |||||||||||||||||||||||||||||
2008 | 10.14 | 0.64 | # | (2.59 | ) | (0.75 | ) | (0.10 | ) | — | 7.34 | (20.28 | ) | 167,465 | 0.78 | 0.80 | 7.20 | 176 | ||||||||||||||||||||||||||
2007 | 10.12 | 0.61 | 0.08 | (0.64 | ) | (0.03 | ) | — | 10.14 | 7.00 | 125,333 | 0.79 | 0.80 | 6.07 | 255 | |||||||||||||||||||||||||||||
2006(6)(7) | 10.12 | — | † | — | † | — | † | — | — | † | 10.12 | 0.04 | 104,635 | 1.04 | 1.42 | 4.32 | — |
† | Amount represents less than $0.005 per share. |
# | Calculated using the average shares outstanding method. |
(1) | The ratio excludes expenses waived/reimbursed net of amount recaptured. |
(2) | The ratio includes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were excluded, the ratio would have been lower than the ratio shown. (3) For the six months ended June 30, 2010. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(4) | Inception date was June 26, 2009. |
(5) | See Note 13 in Notes to Financial Statements. |
(6) | Total return is not annualized. Ratios are annualized. |
(7) | Inception date was December 29, 2006. |
See Notes to Financial Statements.
139
Table of Contents
FINANCIAL HIGHLIGHTS (Unaudited) (Continued)
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year | Net Investment Income | Realized and Unrealized Gain (Loss) on Investments | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Excess Distribution/ Return of Capital | Net Asset Value, End of Year | Total Return | Net Assets, End of Year (000) | Expenses, Net | Expenses, Gross(1) | Investment Income/ (Loss), Net(2) | Portfolio Turnover Rate | ||||||||||||||||||||||||||||||||
Equity Index Fund |
| |||||||||||||||||||||||||||||||||||||||||||
GS2 Class |
| |||||||||||||||||||||||||||||||||||||||||||
2010(3) | $ | 7.77 | $ | 0.07 | # | $ | (0.58 | ) | $ | (0.16 | ) | $ | — | $ | — | $ | 7.10 | (6.76 | )% | $ | 60,089 | 0.22 | % | 0.22 | % | 1.66 | % | 3 | % | |||||||||||||||
2009 | 6.36 | 0.14 | # | 1.49 | (0.22 | ) | — | — | 7.77 | 26.38 | 65,217 | 0.22 | 0.24 | 2.05 | 4 | |||||||||||||||||||||||||||||
2008 | 10.57 | 0.18 | # | (4.06 | ) | (0.24 | ) | (0.09 | ) | — | 6.36 | (37.32 | ) | 49,472 | 0.21 | 0.22 | 2.11 | 5 | ||||||||||||||||||||||||||
2007 | 11.08 | 0.20 | # | 0.39 | (0.32 | ) | (0.78 | ) | — | 10.57 | 5.19 | 81,104 | 0.22 | 0.22 | 1.77 | 5 | ||||||||||||||||||||||||||||
2006 | 9.96 | 0.18 | # | 1.33 | (0.28 | ) | (0.11 | ) | — | 11.08 | 15.37 | 74,634 | 0.23 | 0.23 | 1.74 | 5 | ||||||||||||||||||||||||||||
2005 | 9.78 | 0.16 | # | 0.30 | (0.24 | ) | (0.04 | ) | — | 9.96 | 4.80 | 62,214 | 0.23 | 0.24 | 1.63 | 6 | ||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||
2010(3) | $ | 14.51 | $ | 0.11 | # | $ | (1.09 | ) | $ | (0.15 | ) | $ | — | $ | — | $ | 13.38 | (6.86 | )% | $ | 295,793 | 0.37 | % | 0.42 | % | 1.50 | % | 3 | % | |||||||||||||||
2009 | 11.70 | 0.24 | # | 2.77 | (0.20 | ) | — | — | 14.51 | 26.14 | 321,486 | 0.37 | 0.43 | 1.90 | 4 | |||||||||||||||||||||||||||||
2008 | 19.07 | 0.31 | # | (7.37 | ) | (0.22 | ) | (0.09 | ) | — | 11.70 | (37.37 | ) | 247,077 | 0.37 | 0.42 | 1.95 | 5 | ||||||||||||||||||||||||||
2007 | 19.17 | 0.32 | # | 0.64 | (0.28 | ) | (0.78 | ) | — | 19.07 | 4.95 | 429,423 | 0.39 | 0.42 | 1.59 | 5 | ||||||||||||||||||||||||||||
2006 | 16.97 | 0.28 | # | 2.28 | (0.25 | ) | (0.11 | ) | — | 19.17 | 15.19 | 466,429 | 0.40 | 0.43 | 1.57 | 5 | ||||||||||||||||||||||||||||
2005 | 16.47 | 0.24 | # | 0.51 | (0.21 | ) | (0.04 | ) | — | 16.97 | 4.61 | 402,865 | 0.40 | 0.43 | 1.46 | 6 | ||||||||||||||||||||||||||||
Real Estate Securities Fund |
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GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||
2010(3) | $ | 6.74 | $ | 0.08 | # | $ | 0.23 | $ | (0.07 | ) | $ | — | $ | — | $ | 6.98 | 4.70 | % | $ | 129,233 | 1.19 | % | 1.19 | % | 2.15 | % | 53 | % | ||||||||||||||||
2009 | 5.25 | 0.12 | # | 1.49 | (0.12 | ) | — | — | † | 6.74 | 31.21 | 121,533 | 1.27 | 1.28 | 2.29 | 128 | ||||||||||||||||||||||||||||
2008 | 9.04 | 0.18 | # | (3.80 | ) | (0.16 | ) | — | (0.01 | ) | 5.25 | (40.35 | ) | 80,579 | 1.26 | 1.25 | 2.21 | 94 | ||||||||||||||||||||||||||
2007 | 12.55 | 0.11 | # | (2.12 | ) | (0.11 | ) | (1.39 | ) | — | 9.04 | (16.23 | ) | 96,775 | 1.20 | 1.22 | 0.94 | 119 | ||||||||||||||||||||||||||
2006(4)(5) | 12.50 | — | † | 0.05 | — | — | — | 12.55 | 0.40 | 107,035 | 1.33 | 1.88 | (1.16 | ) | — | |||||||||||||||||||||||||||||
Value Equity Fund |
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GS2 Class |
| |||||||||||||||||||||||||||||||||||||||||||
2010(3) | $ | 6.46 | $ | 0.05 | # | $ | (0.49 | ) | $ | (0.16 | ) | $ | — | $ | — | $ | 5.86 | (6.97 | )% | $ | 166,790 | 0.67 | %(5) | 0.68 | % | 1.61 | % | 23 | % | |||||||||||||||
2009 | 5.52 | 0.11 | # | 1.02 | (0.19 | ) | — | — | 6.46 | 21.35 | 181,123 | 0.68 | 0.69 | 2.06 | 32 | |||||||||||||||||||||||||||||
2008 | 9.10 | 0.17 | # | (3.46 | ) | (0.22 | ) | (0.07 | ) | — | 5.52 | (36.81 | ) | 143,506 | 0.66 | (5) | 0.67 | 2.29 | 52 | |||||||||||||||||||||||||
2007 | 10.62 | 0.18 | # | (0.27 | ) | (0.28 | ) | (1.15 | ) | — | 9.10 | (1.18 | ) | 230,436 | 0.69 | 0.69 | 1.70 | 45 | ||||||||||||||||||||||||||
2006 | 10.75 | 0.18 | # | 1.78 | (0.28 | ) | (1.81 | ) | — | 10.62 | 18.76 | 181,940 | 0.72 | (5) | 0.72 | 1.70 | 76 | |||||||||||||||||||||||||||
2005 | 11.44 | 0.20 | # | 0.65 | (0.28 | ) | (1.26 | ) | — | 10.75 | 7.40 | 156,279 | 0.73 | (5) | 0.73 | 1.72 | 54 | |||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||
2010(3) | $ | 12.54 | $ | 0.09 | # | $ | (0.97 | ) | $ | (0.15 | ) | $ | — | $ | — | $ | 11.51 | (7.10 | )% | $ | 885,272 | 0.85 | %(5) | 0.87 | % | 1.43 | % | 23 | % | |||||||||||||||
2009 | 10.53 | 0.20 | # | 1.98 | (0.17 | ) | — | — | 12.54 | 21.16 | 1,001,814 | 0.85 | (5) | 0.88 | 1.89 | 32 | ||||||||||||||||||||||||||||
2008 | 17.03 | 0.30 | # | (6.54 | ) | (0.19 | ) | (0.07 | ) | — | 10.53 | (36.95 | ) | 844,459 | 0.85 | (5) | 0.86 | 2.09 | 52 | |||||||||||||||||||||||||
2007 | 18.65 | 0.29 | # | (0.52 | ) | (0.24 | ) | (1.15 | ) | — | 17.03 | (1.39 | ) | 1,407,534 | 0.88 | 0.88 | 1.50 | 45 | ||||||||||||||||||||||||||
2006 | 17.50 | 0.28 | # | 2.93 | (0.25 | ) | (1.81 | ) | — | 18.65 | 18.64 | 1,434,773 | 0.90 | (5) | 0.91 | 1.52 | 76 | |||||||||||||||||||||||||||
2005 | 17.74 | 0.28 | # | 0.99 | (0.25 | ) | (1.26 | ) | — | 17.50 | 7.13 | 1,279,940 | 0.90 | (5) | 0.93 | 1.53 | 54 |
† | Amount represents less than $0.005 per share. |
# | Calculated using the average shares outstanding method. |
(1) | The ratio excludes expenses waived/reimbursed net of amount recaptured. |
(2) | The ratio includes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were excluded, the ratio would have been lower than the ratio shown. (3) For the six months ended June 30, 2010. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(4) | Inception date was December 29, 2006. |
(5) | The ratio excludes the effect of expense offsets for fees paid indirectly; if expense offsets were included, the ratio would have been lower than the ratio shown. |
See Notes to Financial Statements.
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Ratios to Average Net Assets | ||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year | Net Investment Income/ (Loss) | Realized and Unrealized Gain (Loss) on Investments | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Excess Distribution/ Return of Capital | Net Asset Value, End of Year | Total Return | Net Assets, End of Year (000) | Expenses, Net | Expenses, Gross(1) | Investment Income/ (Loss), Net(2) | Portfolio Turnover Rate | ||||||||||||||||||||||||||||||||
Growth Equity Fund |
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GS2 Class |
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2010(3) | $ | 10.00 | $ | — | † | $ | (0.82 | ) | $ | — | † | $ | — | $ | — | $ | 9.18 | (8.18 | )% | $ | 177,249 | 0.88 | %(4) | 0.89 | % | 0.03 | % | 31 | % | |||||||||||||||
2009 | 7.26 | 0.02 | 2.74 | (0.02 | ) | — | — | 10.00 | 38.14 | 196,026 | 0.88 | (4) | 0.89 | 0.22 | 78 | |||||||||||||||||||||||||||||
2008 | 12.76 | 0.03 | (5.49 | ) | (0.04 | ) | — | — | 7.26 | (42.84 | ) | 141,138 | 0.87 | (4) | 0.87 | 0.26 | 99 | |||||||||||||||||||||||||||
2007 | 11.23 | 0.02 | 1.55 | (0.04 | ) | — | — | 12.76 | 13.99 | 242,557 | 0.89 | 0.88 | 0.24 | 51 | ||||||||||||||||||||||||||||||
2006 | 11.18 | — | † | 0.05 | — | — | — | 11.23 | 0.45 | 179,852 | 0.89 | (4) | 0.90 | 0.00 | 48 | |||||||||||||||||||||||||||||
2005 | 10.29 | (0.03 | ) | 0.92 | — | — | — | 11.18 | 8.65 | 172,118 | 0.87 | (4) | 0.89 | (0.10 | ) | 49 | ||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||
2010(3) | $ | 15.88 | $ | — | † | $ | (1.31 | ) | $ | — | † | $ | — | $ | — | $ | 14.57 | (8.24 | )% | $ | 928,635 | 0.97 | %(4) | 1.08 | % | (0.07 | )% | 31 | % | |||||||||||||||
2009 | 11.52 | 0.01 | 4.36 | (0.01 | ) | — | — | 15.88 | 37.99 | 1,067,654 | 0.97 | (4) | 1.09 | 0.13 | 78 | |||||||||||||||||||||||||||||
2008 | 20.22 | 0.02 | (8.70 | ) | (0.02 | ) | — | — | 11.52 | (42.92 | ) | 817,315 | 0.97 | (4) | 1.06 | 0.16 | 99 | |||||||||||||||||||||||||||
2007 | 17.77 | 0.02 | 2.45 | (0.02 | ) | — | — | 20.22 | 13.90 | 1,488,091 | 1.00 | 1.07 | 0.13 | 51 | ||||||||||||||||||||||||||||||
2006 | 17.71 | (0.02 | ) | 0.08 | — | — | — | 17.77 | 0.34 | 1,343,147 | 1.01 | (4) | 1.09 | (0.12 | ) | 48 | ||||||||||||||||||||||||||||
2005 | 16.33 | (0.04 | ) | 1.42 | — | — | — | 17.71 | 8.45 | 1,362,599 | 0.99 | (4) | 1.08 | (0.22 | ) | 49 | ||||||||||||||||||||||||||||
Small Cap Equity Fund |
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GS2 Class |
| |||||||||||||||||||||||||||||||||||||||||||
2010(3) | $ | 7.57 | $ | 0.01 | # | $ | (0.13 | ) | $ | — | $ | — | $ | — | $ | 7.45 | (1.59 | )% | $ | 61,451 | 1.00 | %(4) | 1.01 | % | 0.22 | % | 75 | % | ||||||||||||||||
2009 | 5.94 | 0.03 | # | 1.64 | (0.04 | ) | — | — | 7.57 | 28.12 | 64,033 | 1.04 | (4) | 1.05 | 0.44 | 130 | ||||||||||||||||||||||||||||
2008 | 9.60 | 0.05 | # | (3.61 | ) | (0.08 | ) | — | (0.02 | ) | 5.94 | (37.05 | ) | 48,159 | 1.03 | (4) | 1.04 | 0.66 | 147 | |||||||||||||||||||||||||
2007 | 11.33 | 0.06 | # | 0.09 | (0.07 | ) | (1.81 | ) | — | 9.60 | 1.05 | 76,792 | 1.05 | 1.05 | 0.48 | 119 | ||||||||||||||||||||||||||||
2006 | 11.40 | (0.01 | )# | 1.32 | — | (1.38 | ) | — | 11.33 | 11.40 | 66,695 | 1.06 | (4) | 1.06 | (0.05 | ) | 86 | |||||||||||||||||||||||||||
2005 | 12.51 | (0.01 | )# | 0.84 | — | (1.94 | ) | — | 11.40 | 6.48 | 62,009 | 1.10 | (4) | 1.07 | (0.06 | ) | 97 | |||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||
2010(3) | $ | 11.37 | $ | — | #† | $ | (0.19 | ) | $ | — | $ | — | $ | — | $ | 11.18 | (1.67 | )% | $ | 343,092 | 1.15 | %(4) | 1.21 | % | 0.07 | % | 75 | % | ||||||||||||||||
2009 | 8.91 | 0.03 | # | 2.46 | (0.03 | ) | — | — | 11.37 | 27.93 | 356,043 | 1.15 | (4) | 1.25 | 0.33 | 130 | ||||||||||||||||||||||||||||
2008 | 14.31 | 0.07 | # | (5.39 | ) | (0.06 | ) | — | (0.02 | ) | 8.91 | (37.19 | ) | 272,588 | 1.15 | (4) | 1.24 | 0.55 | 147 | |||||||||||||||||||||||||
2007 | 16.00 | 0.06 | # | 0.11 | (0.05 | ) | (1.81 | ) | — | 14.31 | 0.87 | 466,522 | 1.18 | 1.25 | 0.34 | 119 | ||||||||||||||||||||||||||||
2006 | 15.61 | (0.03 | )# | 1.80 | — | (1.38 | ) | — | 16.00 | 11.27 | 486,358 | 1.21 | (4) | 1.25 | (0.20 | ) | 86 | |||||||||||||||||||||||||||
2005 | 16.48 | (0.03 | )# | 1.10 | — | (1.94 | ) | — | 15.61 | 6.37 | 463,367 | 1.22 | (4) | 1.27 | (0.19 | ) | 97 | |||||||||||||||||||||||||||
International Equity Fund |
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GS2 Class |
| |||||||||||||||||||||||||||||||||||||||||||
2010(3) | $ | 9.64 | $ | 0.12 | # | $ | (1.27 | ) | $ | — | $ | — | $ | — | † | $ | 8.49 | (11.93 | )% | $ | 213,404 | 0.94 | %(4) | 1.14 | % | 2.61 | % | 29 | % | |||||||||||||||
2009 | 7.32 | 0.17 | # | 2.42 | (0.27 | ) | — | † | — | 9.64 | 35.81 | 240,483 | 0.94 | (4) | 1.17 | 1.88 | 59 | |||||||||||||||||||||||||||
2008 | 14.61 | 0.34 | # | (6.89 | ) | (0.39 | ) | (0.35 | ) | — | 7.32 | (44.72 | ) | 193,281 | 0.94 | (4) | 1.08 | 2.77 | 88 | |||||||||||||||||||||||||
2007 | 15.80 | 0.26 | # | 1.79 | (0.27 | ) | (2.97 | ) | — | 14.61 | 13.21 | 279,652 | 0.96 | 1.07 | 1.44 | 66 | ||||||||||||||||||||||||||||
2006 | 14.71 | 0.25 | 3.23 | (0.35 | ) | (2.04 | ) | — | 15.80 | 23.78 | 199,989 | 0.97 | (4) | 1.10 | 1.46 | 26 | ||||||||||||||||||||||||||||
2005 | 12.93 | 0.29 | 1.99 | (0.30 | ) | (0.20 | ) | — | 14.71 | 17.66 | 176,819 | 0.97 | (4) | 1.12 | 1.43 | 30 | ||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||
2010(3) | $ | 12.44 | $ | 0.14 | # | $ | (1.64 | ) | $ | — | $ | — | $ | — | † | $ | 10.94 | (12.06 | )% | $ | 961,536 | 1.12 | %(4) | 1.34 | % | 2.43 | % | 29 | % | |||||||||||||||
2009 | 9.38 | 0.20 | # | 3.11 | (0.25 | ) | — | † | — | 12.44 | 35.61 | 1,101,628 | 1.12 | (4) | 1.36 | 1.73 | 59 | |||||||||||||||||||||||||||
2008 | 18.32 | 0.40 | # | (8.63 | ) | (0.36 | ) | (0.35 | ) | — | 9.38 | (44.81 | ) | 873,618 | 1.12 | (4) | 1.28 | 2.56 | 88 | |||||||||||||||||||||||||
2007 | 19.09 | 0.28 | # | 2.16 | (0.24 | ) | (2.97 | ) | — | 18.32 | 12.96 | 1,400,548 | 1.14 | 1.27 | 1.25 | 66 | ||||||||||||||||||||||||||||
2006 | 17.37 | 0.26 | 3.82 | (0.32 | ) | (2.04 | ) | — | 19.09 | 23.58 | 1,254,839 | 1.15 | (4) | 1.29 | 1.28 | 26 | ||||||||||||||||||||||||||||
2005 | 15.20 | 0.23 | 2.41 | (0.27 | ) | (0.20 | ) | — | 17.37 | 17.39 | 1,120,234 | 1.15 | (4) | 1.31 | 1.24 | 30 |
† | Amount represents less than $0.005 per share. |
# | Calculated using the average shares outstanding method. |
(1) | The ratio excludes expenses waived/reimbursed net of amount recaptured. |
(2) | The ratio includes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were excluded, the ratio would have been lower than the ratio shown. (3) For the six months ended June 30, 2010. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(4) | The ratio excludes the effect of expense offsets for fees paid indirectly; if expense offsets were included, the ratio would have been lower than the ratio shown. |
See Notes to Financial Statements.
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NOTES TO FINANCIAL STATEMENTS (Unaudited)
1. DESCRIPTION OF THE FUNDS
GuideStone Funds (the “Trust”) was organized as a Delaware statutory trust on March 2, 2000. The Trust has established twenty-five series (each, a “Fund” and together, the “Funds”). Each Fund is a diversified, open-end management investment company, registered under the Investment Company Act of 1940, as amended (the “1940 Act”). The MyDestination 2005, MyDestination 2015, MyDestination 2025, MyDestination 2035 and MyDestination 2045 Funds, each referred to as a “Date Target Fund” and together as the “Date Target Funds,” commenced operations on December 29, 2006. The Conservative Allocation Fund, Balanced Allocation Fund, Growth Allocation Fund, Aggressive Allocation Fund, Conservative Allocation Fund I, Balanced Allocation Fund I, Growth Allocation Fund I and Aggressive Allocation Fund I are each referred to as an “Asset Allocation Fund” and together as the “Asset Allocation Funds.” The remaining Funds are each referred to as a “Select Fund” and are together referred to as the “Select Funds.” The Low-Duration Bond Fund, Medium-Duration Bond Fund, Extended-Duration Bond Fund, Inflation Protected Bond Fund and Global Bond Fund are together referred to as the “Bond Funds.” The Equity Index Fund, Real Estate Securities Fund, Value Equity Fund, Growth Equity Fund, Small Cap Equity Fund and International Equity Fund are together referred to as the “Equity Funds.” The Money Market Fund is referred to as the “Money Market Fund.” The Inflation Protected Bond Fund commenced operations as a registered investment company on June 25, 2009.
There are two classes of shares issued by the Funds — the GS2 Class and the GS4 Class (each, a “Class” and together the “Classes”), except for the Date Target Funds, the Inflation Protected Bond Fund, the Global Bond Fund, and the Real Estate Securities Fund, which issued the GS4 Class only. The Conservative Allocation Fund I, Balanced Allocation Fund I, Growth Allocation Fund I and Aggressive Allocation Fund I issued the GS2 Class only. All Classes of shares have identical voting, dividend and liquidation rights. Income, expenses (other than class specific expenses) and realized and unrealized gains or losses on investments are allocated to each Class of shares based upon its relative net assets. The distribution fee (expense specific to the GS6 Class) ceased with the elimination of the GS6 Class.
Prior to May 1, 2009, GS6 Class shares of the Funds were also available. On April 30, 2009, shares of the GS6 Class of each Fund were exchanged at each Fund’s applicable net asset value (“NAV”) for equivalent shares of the GS4 Class of the same Fund, and the GS6 Class was terminated effective May 1, 2009.
Each Fund is a separate mutual fund with its own investment objective, strategies and risks. The Select Funds invest directly in particular types of fixed-income obligations, stocks and other investments. The Asset Allocation and Date Target Funds primarily invest in a different mix of the Select Funds to meet a specified investment strategy. The Asset Allocation and Date Target Funds are commonly referred to as “Fund of Funds”.
2. SIGNIFICANT ACCOUNTING POLICIES
The following significant accounting policies are in conformity with generally accepted accounting principles (“GAAP”) in the United States of America which require management to make estimates and assumptions that affect the reported amounts of assets, liabilities, disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.
a. Valuation of Securities
The Funds (except the Money Market Fund) each value securities traded on national securities exchanges or included in national market systems at the last quoted sale price, or official close price, on the principal exchange on which they were traded, or, in
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the absence of any sale or official close price, at the closing bid price. Securities which are primarily traded on foreign exchanges are generally valued at the closing values of such securities on their respective exchanges, except that when an occurrence subsequent to the time when the foreign security is valued is likely to have changed such value, then the fair value of those securities will be determined through procedures established by or under the direction of the Board of Trustees of the Trust (the “Board of Trustees”). Non-exchange traded securities for which an over-the-counter quotation is readily available are valued at the last quoted bid price.
Debt securities, excluding asset-backed and mortgage-backed securities, are valued at the mean of the last bid and ask prices available. Asset-backed and mortgage-backed securities are valued at the last bid price. Certain debt securities may be valued on the basis of broker quotations, valuations provided by a pricing service which may use a matrix, formula or other objective method that takes into consideration market indices, matrices, yield curves and other specific adjustments or by a sub-adviser using various methodologies approved by the Board of Trustees.
Short-term securities maturing in more than 60 days from the valuation date are valued at the mean of the last bid and ask prices; those maturing in 60 days or less are generally valued at amortized cost.
Forward foreign exchange contracts are valued based upon closing exchange rates from each respective foreign market.
Futures contracts are valued at the closing settlement price on the exchange on which they are primarily traded.
Options and warrants for which the primary market is a national securities exchange are valued at the last sale price on the exchange on which they are traded, or, in the absence of any sale, at the closing bid price. Options and warrants not traded on a national securities exchange are valued at the last quoted bid price.
Swap agreements are valued daily based upon the terms specific to each agreement with its counterparty.
To the extent available, valuations of portfolio securities are provided by independent pricing services approved by the Board of Trustees. Securities for which market quotations are not readily available are valued at fair value according to methods established in good faith by the Board of Trustees. Due to the potential excessive volatility at the time valuations are developed, pricing techniques may materially vary from the actual amounts realized upon sale of the securities.
For securities that principally trade on a foreign market or exchange, a significant gap in time can exist between the time of a particular security’s last trade and the time at which a Fund calculates its NAV. The closing prices of such securities may no longer reflect their market value at the time the Fund calculates its NAV if an event that could materially affect the value of those securities (a “Significant Event”) has occurred between the time of the security’s last close and the time that the Fund calculates its NAV. A Significant Event may relate to a single issuer or to an entire market sector. If a Fund becomes aware of a Significant Event that has occurred with respect to a security or group of securities after the closing of the exchange or market on which the security or securities principally trade, but before the time at which the Fund calculates its NAV, a Valuation Committee meeting may be called. The Trust uses Interactive Data Corporation (“ID”) as a third party fair valuation vendor. ID provides a fair value for foreign equity securities held by the Trust based on certain factors and methodologies applied by ID in the event that there is movement in the U.S. market that exceeds a specific threshold established by the Valuation Committee in consultation with, and approved by, the Trustees. Such methodologies generally involve tracking valuation correlations between the U.S. market and each non-U.S. security. As part of the valuation procedures, a “confidence interval” is used, when the threshold is exceeded, to determine the level of correlation between the value of a foreign equity security and movements in the U.S. market before a particular security will be fair valued. In the event that the threshold established by the Valuation Committee is exceeded on a specific day, the Trust will typically value non-U.S. equity securities in its portfolio that exceed the applicable confidence interval based upon the fair values provided by ID.
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The Asset Allocation and Date Target Funds value their investments in the underlying Select Funds daily at the closing NAV of each respective Select Fund.
The Financial Accounting Standards Board’s (“FASB”) “Fair Value Measurements and Disclosures” defines fair value as the price that a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes and requires disclosure of a fair value hierarchy, separately for each major category of assets and liabilities, that segregates fair value measurements into levels (Levels 1, 2, and 3). Categorization of fair value measurements is determined by the nature of the inputs as follows:
Level 1 – | quoted prices in active markets for identical securities. | |||
Level 2 – | prices determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). | |||
Level 3 – | prices determined using significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
Valuation levels are not necessarily an indication of the risk associated with investing in those securities. For fair valuations using significant unobservable inputs, a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchases and sales, and transfers in/out of the Level 3 category during the period is required. A fair value hierarchy and Level 3 reconciliation have been included in the Schedules of Investments for each respective Fund.
b. Fixed Income Securities
The Bond Funds and the Small Cap Equity Fund may invest in mortgage-related and other asset-backed securities. These securities include mortgage pass-through securities, collateralized mortgage obligations, commercial mortgage-backed securities, stripped mortgage-backed securities, asset-backed securities, collateralized debt obligations and other securities that directly or indirectly represent a participation in, or are secured by and payable from, mortgage loans on real property. Mortgage-related and other asset-backed securities are interests in pools of loans or other receivables. Mortgage-related securities are created from pools of residential or commercial mortgage loans, including mortgage loans made by savings and loan institutions, mortgage bankers, commercial banks and others. Asset-backed securities are created from many types of assets, including auto loans, credit card receivables, home equity loans, and student loans. These securities provide a monthly payment which consists of both interest and principal payments. Interest payments may be determined by fixed or adjustable rates. The rate of prepayments on underlying mortgages will affect the price and volatility of a mortgage-related security and may have the effect of shortening or extending the effective duration of the security relative to what was anticipated at the time of purchase. The timely payment of principal and interest of certain mortgage-related securities is guaranteed with the full faith and credit of the United States Government. Pools created and guaranteed by non-governmental issuers, including government-sponsored corporations, may be supported by various forms of insurance or guarantees, but there can be no assurance that the private insurers or guarantors can meet their obligations under the insurance policies or guarantee arrangements.
Collateralized Mortgage Obligations (“CMOs”) are debt obligations of a legal entity that are collateralized by mortgages and divided into classes. CMOs are structured into multiple classes, often referred to as “tranches,” with each class bearing a
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different stated maturity and entitled to a different schedule for payments of principal and interest, including pre-payments. Commercial Mortgage-Backed Securities (“CMBS”) include securities that reflect an interest in, and are secured by, mortgage loans on commercial real property. Many of the risks of investing in CMBS reflect the risks of investing in the real estate securing the underlying mortgage loans. These risks reflect the effects of local and other economic conditions on real estate markets, the ability of tenants to make loan payments, and the ability of a property to attract and retain tenants. CMOs and CMBS may be less liquid and may exhibit greater price volatility than other types of mortgage- or asset-backed securities.
Stripped Mortgage-Backed Securities (“SMBS”) are derivative multi-class mortgage securities. SMBS are usually structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. A common type of SMBS will have one class receiving some of the interest and most of the principal from the mortgage assets, while the other class will receive most of the interest and the remainder of the principal. In the most extreme case, one class will receive all of the interest (the interest-only or “IO” class), while the other class will receive the entire principal (the principal-only or “PO” class). Payments received for IOs are included in interest income on the Statements of Operations. Because little to no principal will be received at the maturity of an IO, adjustments are made to the book value of the security on a monthly basis until maturity. These adjustments are included in interest income on the Statements of Operations. Payments received for POs are treated as reductions to the cost and par value of the securities.
Inflation-indexed bonds are fixed-income securities whose principal value is periodically adjusted to the rate of inflation. The interest rate on these bonds is generally fixed at issuance at a rate lower than typical bonds. Over the life of an inflation-indexed bond, however, interest will be paid based on a principal value, which is adjusted for inflation. Any increase or decrease in the principal amount of an inflation-indexed bond will be included as interest income on the Statements of Operations, even though investors do not receive their principal until maturity.
“TBA” (to be announced) purchase commitments are commitments to purchase securities for a fixed price at a future date, typically not exceeding 45 days. TBAs may be considered securities in themselves and involve a risk of loss if the value of the security to be purchased declines prior to settlement date. This risk is in addition to the risk of decline in each Fund’s other assets. Unsettled TBAs are valued at the current market value of the underlying securities, according to the procedures described in the section entitled “Valuation of Securities”.
During the period ended June 30, 2010, the Funds entered into dollar roll transactions, pursuant to which they sell a mortgage-backed TBA or security and simultaneously purchase a similar, but not identical, TBA with the same issuer, rate and terms. The Funds may execute a “roll” to obtain better underlying mortgage securities or to increase yield. The Funds account for dollar roll transactions as purchases and sales, which has the effect of increasing their portfolio turnover rates. Risks associated with dollar rolls are that actual mortgages received by the Funds may be less favorable than those anticipated or that counterparties may fail to perform under the terms of the contracts.
TBA sale commitments are commitments to sell mortgage-backed securities for a fixed price at a future date. TBA sales commitments are considered securities in themselves and involve a risk of loss if the value of the security to be purchased or sold declines or increases prior to settlement date, which is in addition to the risk of decline in the value of the Fund’s other assets.
U.S. Government securities are obligations of and, in certain cases, guaranteed by, the U.S. Government, its agencies or instrumentalities. The U.S. Government does not guarantee the NAV of the Funds’ shares. Some U.S. Government securities, such as Treasury bills, notes and bonds, and securities guaranteed by the Government National Mortgage Association (“GNMA” or “Ginnie Mae”), are supported by the full faith and credit of the United States government; others, such as those of the Federal Home Loan Bank, are supported by the right of the issuer to borrow from the U.S. Department of the Treasury (the “U.S.
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Treasury”); others, such as those of the Federal National Mortgage Association (“FNMA” or “Fannie Mae”), are supported by the discretionary authority of the U.S. Government to purchase the agency’s obligations; and still others, such as those of the Student Loan Marketing Association, are supported only by the credit of the instrumentality. U.S. Government securities may include zero coupon securities, which do not distribute interest on a current basis and tend to be subject to greater risk than interest-paying securities of similar maturities.
Government-related guarantors (i.e., not backed by the full faith and credit of the United States Government) include FNMA and the Federal Home Loan Mortgage Corporation (“FHLMC” or “Freddie Mac”). FNMA is a government-sponsored corporation the common stock of which is owned entirely by private stockholders. FNMA purchases conventional (i.e., not insured or guaranteed by any government agency) residential mortgages from a list of approved seller/servicers which include state and federally chartered savings and loan associations, mutual savings banks, commercial banks and credit unions and mortgage bankers. Pass-through securities issued by FNMA are guaranteed as to timely payment of principal and interest by FNMA, but are not backed by the full faith and credit of the United States Government. FHLMC issues Participation Certificates (“PCs”), which are pass-through securities, each representing an undivided interest in a pool of residential mortgages. FHLMC guarantees the timely payment of interest and ultimate collection of principal, but PCs are not backed by the full faith and credit of the United States Government.
On September 6, 2008, the Federal Housing Finance Agency (“FHFA”) placed FNMA and FHMLC into conservatorship. As the conservator, FHFA succeeded to all rights, titles, powers and privileges of FNMA and FHLMC and of any stockholder, officer or director of FNMA and FHLMC with respect to FNMA and FHLMC and the assets of FNMA and FHLMC. FHFA selected a new chief executive officer and chairman of the board of directors for each of FNMA and FHLMC. On September 7, 2008, the U.S. Treasury announced three additional steps taken by it in connection with the conservatorship. First, the U.S. Treasury entered into a Senior Preferred Stock Purchase Agreement with each of FNMA and FHLMC pursuant to which the U.S. Treasury would purchase up to an aggregate of $100 billion of each of FNMA and FHLMC to maintain a positive net worth in each enterprise. This agreement contained various covenants that limit each enterprise’s operations. In exchange for entering into these agreements, the U.S. Treasury received $1 billion of each enterprise’s senior preferred stock and warrants to purchase 79.9% of each enterprise’s common stock. Second, the U.S. Treasury announced the creation of a new secured lending facility which is available to each of FNMA and FHLMC as a liquidity backstop. Third, the U.S. Treasury announced the creation of a temporary program to purchase mortgage-backed securities issued by each of FNMA and FHLMC. Both the liquidity backstop and the mortgage-backed securities purchase program expired in December 2009. FNMA and FHLMC are continuing to operate as going concerns while in conservatorship and each remain liable for all of its obligations, including its guaranty obligations, associated with its mortgage-backed securities. The liquidity backstop and the Senior Preferred Stock Purchase Agreements are both intended to enhance each of FNMA’s and FHLMC’s ability to meet its obligations. On December 24, 2009, the U.S. Treasury amended the Senior Preferred Stock Purchase Agreements to allow the cap on its funding commitment to increase as necessary to accommodate any cumulative reduction in the net worth of FNMA and FHMLC over the next three years.
c. Foreign Currency Translations
Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions.
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The Funds isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held.
Reported net realized foreign exchange gains or losses arise from sales of portfolio securities, sales and maturities of short-term securities, sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the values of assets and liabilities, including investments in securities at fiscal period end, resulting from changes in the exchange rate.
d. Loan Participations
The Bond Funds and the Small Cap Equity Fund may invest in direct debt instruments which are interests in amounts owed to lenders or lending syndicates by corporate borrowers. A Fund’s investments in loans may be in the form of participations in loans. A loan is often administered by a bank or other financial institution (the “lender”) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. A Fund may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. A Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, a Fund may be subject to the credit risk of both the borrower and the lender that is selling the loan agreement. When investing in a loan participation, a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan agreement and only upon receipt of payments by the lender from the borrower. A Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a floating rate loan. In certain circumstances, a Fund may receive a prepayment penalty fee upon the prepayment of a floating rate loan by a borrower. Fees earned/paid are recorded as a component of interest income or interest expense on the Statements of Operations.
The Bond Funds and the Small Cap Equity Fund invest in loan participations with credit quality comparable to that of issuers of its securities investments. Indebtedness of companies whose creditworthiness is poor involves substantially greater risks and may be highly speculative.
e. REITs
The Real Estate Securities Fund invests substantial assets in real estate investment trusts (“REITs”) that involve risks not associated with investing in stocks. Risks include declines in the value of real estate, general and economic conditions, changes in the value of the underlying property and defaults by borrowers. The value of assets in the real estate industry may go through cycles of relative underperformance and outperformance in comparison to equity securities markets in general.
Dividend income is recorded using management’s estimate of the income included in distributions received from REIT investments. The actual amounts of income, return of capital and capital gains are only determined by each REIT after its fiscal year-end and may differ from the estimated amount. Estimates of income are adjusted in the Funds to the actual amounts when the amounts are determined.
f. Repurchase Agreements
Each Fund may agree to purchase securities from financial institutions subject to the seller’s agreement to repurchase them at a mutually agreed upon date and price. It is the Fund’s policy that repurchase agreements are fully collateralized by U.S. Treasury and Government Agency securities. All collateral is held by the Fund’s custodian bank or a bank with which the custodian bank has entered into a subcustodian agreement, or is segregated in the Federal Reserve Book Entry System. In connection with transactions in repurchase agreements, if the seller defaults and the value of the collateral declines, or if the seller enters an insolvency proceeding, realization of the collateral by the Fund may be delayed or limited.
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g. Short Sales
A short sale is a transaction in which a Fund sells a security it does not own. The Fund’s obligation to replace the security borrowed and sold short will be fully collateralized at all times by cash equivalents deposited in an account with the Fund’s custodian. If the price of the security sold short increases between the time of the short sale and the time the Fund replaces the borrowed security, the Fund will realize a loss, and if the price declines during the period, the Fund will realize a gain. Any realized gain will be decreased, and any realized loss increased, by the amount of transaction costs.
The Equity Funds may sell short exchange-listed equity futures contracts to reduce market exposure. The Date Target Funds, Asset Allocation Funds, Bond Funds and Small Cap Equity Fund may sell short U.S. Treasury securities and exchange-listed U.S. Treasury futures contracts to reduce market exposure. The Low-Duration Bond, Medium-Duration Bond and Small Cap Equity Funds will occasionally enter into a short sale to initiate a dollar roll transaction. The International Equity Fund may establish short positions in stocks of foreign companies with a market value of up to 5% of the Fund’s assets.
At June 30, 2010, the value of securities sold short in the International Equity Fund amounted to $18,459,327.
h. Derivative Financial Instruments
The Funds may engage in various portfolio strategies to seek to increase its return by hedging its portfolio against adverse movements in the equity, debt and currency markets. Losses may arise due to changes in the value of the contract if the counterparty does not perform under the contract. The Funds, in their normal course of business, may enter into contracts that contain a variety of representations and warranties and which provide general indemnifications. The Funds�� exposure may include future claims that may be made against the Funds that have not yet occurred.
Financial Futures Contracts — The Funds (except the Money Market Fund) may purchase or sell financial futures contracts and the options on such futures contracts for the purpose of hedging risk on existing securities, demonstrating purchase of securities or gaining market exposure on cash balances. Financial futures contracts are contracts for the delivery of securities at a specified future date at an agreed upon price or yield. Upon entering into a contract, the Funds deposit and maintain as collateral such initial margin as required by the exchange on which the transaction is effected.
Pursuant to the contract, the Funds agree to pay to or receive from the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such payments or receipts are known as variation margin and are recorded by the Funds as unrealized gains or losses until the contract is closed or settled.
Risks of entering into futures contracts include the possibility that there will be an imperfect price correlation between the futures and the underlying securities. Second, it is possible that a lack of liquidity for futures contracts could exist in the secondary market, resulting in an inability to close a futures position prior to its maturity date. Third, the purchase of a futures contract involves the risk that a Fund could lose more than the original margin deposit required to initiate a futures transaction. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed on the Statements of Assets and Liabilities.
Foreign Currency Options and Futures — The International Equity Fund, Small Cap Equity Fund and the Bond Funds may also enter into futures contracts on foreign currencies and related options on transactions as a short or long hedge against possible variations in foreign exchange rates.
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Forward Foreign Exchange Contracts — Certain Funds may enter into forward foreign currency exchange contracts to hedge against adverse exchange rate fluctuation to the U.S. dollar or between different foreign currencies in connection with either specific security transactions or portfolio positions. Each contract is valued daily and the change in value is recorded as an unrealized gain or loss. When the contract is closed, a realized gain or loss is recorded equal to the difference between the opening value and the closing value of the contract. These contracts may involve market risk in excess of the unrealized gain or loss reflected on the Statements of Assets and Liabilities. The Funds could be exposed to risk if the counterparties to the contracts are unable to meet the terms of the contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
Options — Certain Funds are authorized to write and purchase put and call options. The risk in writing a call option is that the Funds give up the opportunity for profit if the market price of the security increases. The risk in writing a put option is that the Funds may incur a loss if the market price of the security decreases and the option is exercised. The risk in purchasing an option is that the Funds pay a premium whether or not the option is exercised. The Funds also have the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. The Funds also may write over-the-counter options where completing the obligation depends upon the credit standing of the other party and that party’s ability to perform. Option contracts also involve the risk that they may not work as intended due to unanticipated developments in market conditions or other causes.
Options purchased are recorded as an asset, and written options are recorded as liabilities to the extent of premiums paid or received. Each Fund will realize a gain or loss when the option transaction expires or closes. When an option is exercised, the proceeds on sales for a written call option, the purchase cost for a written put option or the cost of a security for a purchased put or call option is adjusted by the amount of the premium received or paid.
When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and subsequently marked to market to reflect the current value of the option written. These liabilities are reflected as written options outstanding on the Statements of Assets and Liabilities.
Certain Funds may write swaption contracts to manage exposure to fluctuations in interest rates and to enhance portfolio yield. Swaption contracts written by the Funds represent an option that gives the purchaser the right, but not the obligation, to enter into a previously agreed upon swap contract on a future date. If a written call swaption is exercised, the writer will enter a swap and is obligated to pay the fixed-rate and receive a floating rate in exchange. If a written put swaption is exercised, the writer will enter a swap and is obligated to pay the floating rate and receive a fixed rate in exchange. Swaptions are marked-to-market daily based upon quotations from market makers. When a Fund writes a swaption, the premium received is recorded as a liability and is subsequently adjusted to the current market value of the swaption.
Entering into a swaption contract involves, to varying degrees, the elements of credit, market and interest rate risk in excess of the associated option and swap contract amounts reported in the Statement of Assets and Liabilities. The Funds bear the market risk arising from any change in index values or interest rates.
Swap Agreements — Each Select Fund may enter into swap agreements. The Equity Funds may enter into equity swap contracts and the Bond Funds and the Small Cap Equity Fund may enter into interest rate and credit default swaps. The Bond Funds and International Equity Fund may enter into cross-currency swaps, and each Select Fund may enter into total return swaps.
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Swap agreements are privately negotiated agreements between a Fund and a counterparty to exchange or swap investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals. A swap may be entered into in order to, among other things, change the maturity of a Fund’s portfolio, to protect a Fund’s value from changes in interest rates, to expose a Fund to a different security or market, or to help a Fund achieve a strategy relative to an index or other benchmark. By entering into a swap agreement, a Fund is exposed to the risk of unanticipated movements in interest rates or in the value of an underlying security or index (or the risk that the counterparty will not fulfill its obligation under the agreement). Credit default swaps involve the payment of amounts based on a specified rate multiplied by a notional amount as well as upon an event of default. In connection with these agreements, securities are set aside as collateral by the Fund’s custodian.
Swaps are marked-to-market daily based upon values from third party vendors or quotations from market makers to the extent available and the change in value, if any, is recorded as an unrealized gain or loss on the Statements of Assets and Liabilities. In the event that market quotations are not readily available or deemed reliable, certain swap agreements may be valued pursuant to guidelines established by the Board of Trustees. In the event that market quotes are not readily available and the swap cannot be valued pursuant to one of the valuation methods, the value of the swap will be determined in good faith by the Valuation Committee of the Board of Trustees, generally based upon recommendations provided by the Fund’s sub-adviser.
Payments received or made at the beginning of the measurement period are reflected as such on the Statements of Assets and Liabilities and represent payments made or received upon entering into the swap agreement to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors). These upfront payments are recorded as realized gains or losses on the Statements of Operations upon termination or maturity of the swap. A liquidation payment received or made at the termination of the swap is recorded as realized gain or loss on the Statements of Operations. Net periodic payments received or paid by a Fund are included as part of realized gains or losses on the Statements of Operations.
Certain of the Fund’s derivative agreements contain provisions that require the Fund to maintain a predetermined level of net assets, and/or provide limits regarding the decline of the Fund’s NAV over one-month, three-month and 12-month periods. If the Fund were to violate such provisions, the counterparties to the derivative instruments could request immediate payment or demand immediate collateralization on derivative instruments in net liability positions. For the period ended June 30, 2010, the Fund did maintain the required level of net assets and/or the NAV of the Fund did not decline below the limits set forth in the derivative agreements.
Entering into these agreements involves, to varying degrees, elements of credit, market and documentation risk in excess of the amounts recognized on the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of contractual terms in the agreements and that there may be unfavorable changes in interest rates.
Credit Default Swaps — Credit default swap agreements involve one party making a stream of payments (referred to as the buyer of protection) to another party (the seller of protection) in exchange for the right to receive a specified return in the event of a default or other credit event for the referenced entity, obligation or index. As a seller of protection on credit default swap agreements, a Fund will generally receive from the buyer of protection a fixed rate of income throughout the
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term of the swap provided that there is no credit event. As the seller, a Fund would effectively add leverage to its portfolio because, in addition to its total net assets, a Fund would be subject to investment exposure on the notional amount of the swap.
Any upfront payments made or received upon entering a credit default swap contract are treated as part of the cost and are reflected as part of the unrealized gain (loss) on valuation. Upon termination of the swap contract, the amount included in the cost is reversed and becomes part of the swap’s realized gain (loss).
The sub-advisers monitor a variety of factors including cash flow assumptions, market activity, market sentiment and valuation as part of its ongoing process of assessing payment and performance risk. As payment and performance risk increases, the value of a credit default swap increases, resulting in recognition of unrealized gains for long positions and unrealized losses for short positions. Conversely, as payment and performance risk decreases, unrealized gains are recognized for short positions and unrealized losses are recognized for long positions. Any current or future declines in the fair value of the swap may be partially offset by upfront payments received by the Fund as a seller of protection if applicable. The change in value is recorded within unrealized appreciation (depreciation) until the occurrence of a credit event or the termination of the swap, at which time a realized gain (loss) is recorded.
If a Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. If a Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Recovery values are assumed by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.
Credit default swap agreements on corporate issues or sovereign issues of an emerging country involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a default or other credit event. If a credit event occurs and cash settlement is not elected, a variety of other deliverable obligations may be delivered in lieu of the specific referenced obligation. The ability to deliver other obligations may result in a cheapest-to-deliver option (the buyer of protection’s right to choose the deliverable obligation with the lowest value following a credit event). A Fund may use credit default swaps on corporate issues or sovereign issues of an emerging country to provide a measure of protection against defaults of the issuers (i.e., to reduce risk where a Fund owns or has exposure to the referenced obligation) or to take an active long or short position with respect to the likelihood of a particular issuer’s default.
Credit default swap agreements on asset-backed securities involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a default or other credit event. Unlike credit default swaps on corporate issues or sovereign issues of an emerging country, deliverable obligations in most instances would be
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limited to the specific referenced obligation as performance for asset-backed securities can vary across deals. Prepayments, principal paydowns, and other write down or loss events on the underlying mortgage loans will reduce the outstanding principal balance of the referenced obligation. These reductions may be temporary or permanent as defined under the terms of the swap agreement and the notional amount for the swap agreement will be adjusted by corresponding amounts. A Fund may use credit default swaps on asset-backed securities to provide a measure of protection against defaults of the referenced obligation or to take an active long or short position with respect to the likelihood of a particular referenced obligation’s default.
Credit default swap agreements on credit indices involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising the credit index. A credit index is a list of a basket of credit instruments or exposures designed to be representative of some part of the credit market as a whole. These indices are made up of reference credits that are judged by a poll of dealers to be the most liquid entities in the credit default swap market based on the sector of the index. Components of the indices may include, but are not limited to, investment grade securities, high yield securities, asset-backed securities, emerging markets, and/or various credit ratings within each sector. Credit indices are traded using credit default swaps with standardized terms including a fixed spread and standard maturity dates. An index credit default swap references all the names in the index, and if there is a default, the credit event is settled based on that name’s weight in the index. The composition of the indices changes periodically, usually every six months, and for most indices, each name has an equal weight in the index. A Fund may use credit default swaps on credit indices to hedge a portfolio of credit default swaps or bonds with a credit default swap on indices which is less expensive than it would be to buy many credit default swaps to achieve a similar effect. Credit-default swaps on indices are benchmarks for protecting investors owning bonds against default, and traders use them to speculate on changes in credit quality.
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues or sovereign issues of an emerging country as of period end are disclosed in the footnotes to the Schedules of Investments and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. For credit default swap agreements on asset-backed securities and credit indices, the quoted market prices and resulting values serve as the indicator of the current status of the payment/performance risk. Wider credit spreads and increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
The maximum potential amount of future payments (undiscounted) that a Fund as a seller of protection could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by a Fund for the same referenced entity or entities.
Credit default swaps involve greater risks than if the Funds had invested in the referenced obligation directly. In addition to general market risks, credit default swaps are subject to liquidity risk and counterparty credit risk. The Funds enter into credit default swaps with counterparties meeting defined criteria for financial strength. A buyer also may lose its investment and recover nothing should a credit event not occur. If a credit event did occur, the value of the referenced obligation received by the seller, coupled with the periodic payments previously received, may be less than the full notional value it pays to the buyer, resulting in a loss of value.
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Cross-Currency Swap Agreements — Cross-currency swap agreements involve two parties exchanging two different currencies with an agreement to reverse the exchange at a later date at specified exchange rates. The exchange of currencies at the inception date of the contract takes place at the current spot rate. The re-exchange at maturity may take place at the same exchange rate, a specified rate, or the then current spot rate. Interest payments, if applicable, are made between the parties based on interest rates available in the two currencies at the inception of the contract. The terms of cross-currency swap contracts may extend for many years. Cross-currency swaps are usually negotiated with commercial and investment banks. Some cross-currency swaps may not provide for exchanging principal cash flows but only for exchanging interest cash flows.
Interest Rate Swap Agreements — Interest rate swap agreements involve the exchange by a Fund with another party of their respective commitments to pay or receive interest with respect to the notional amount of principal. Certain forms of interest rate swap agreements may include: (i) interest rate caps, under which, in return for a premium, one party agrees to make payments to the other to the extent that interest rates exceed a specified rate, or “cap”, (ii) interest rate floors, under which, in return for a premium, one party agrees to make payments to the other to the extent that interest rates fall below a specified rate, or “floor”, (iii) interest rate collars, under which a party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements exceeding given minimum or maximum levels, (iv) callable interest rate swaps, under which the counterparty may terminate the swap transaction in whole at zero cost by a predetermined date and time prior to the maturity date, (v) spread locks, which allow the interest rate swap users to lock in the forward differential (or spread) between the interest rate swap rate and a specified benchmark, or (vi) basis swap, under which two parties can exchange variable interest rates based on different money markets.
Total Return Swap Agreements — Total return swap agreements on commodities involve commitments where exchanged cash flows based on the price of a commodity and in return receives either fixed or determined by floating price or rate. One party would receive payments based on the market value of the commodity involved and pay a fixed amount. Total return swap agreements on indices involve commitments to pay interest in exchange for a market-linked return. One counterparty pays out the total return of a specific reference asset, which may be an equity, index, or bond, and in return receives a regular stream of payments. To the extent the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, a Fund will receive a payment from or make a payment to the counterparty.
FASB “Derivatives and Hedging” includes required disclosure for (i) the nature and terms of the derivative, reasons for entering into the derivative, the events or circumstances that would require the seller to perform under the derivative, and the current status of the payment/performance risk of the derivative, (ii) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the derivative, (iii) the fair value of the derivative, and (iv) the nature of any recourse provisions and assets held either as collateral or by third parties. FASB “Guarantees” require additional disclosures about the current status of the payment/performance risk of a guarantee. All of this information has been incorporated for the current period as part of the Schedules of Investments within the Swap agreements outstanding disclosure and in the Notes to Financial Statements.
As of June 30, 2010, the Low-Duration Bond Fund and the Medium-Duration Bond Fund are the buyers (“receiving protection”) on a total notional amount of $42,396,053 and $29,667,200, respectively, and Medium-Duration Bond Fund is
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the seller (“providing protection”) on a total notional amount of $8,900,000. The notional amounts of the swaps are not recorded in the financial statements; however, the notional amount does approximate the maximum potential amount of future payments that the Funds could be required to make if the Funds were the seller of protection and a credit event were to occur. Those credit default swaps for which the Funds are providing protection at balance sheet date are summarized as follows:
Single Name Credit Default Swaps | Credit Default Swap Index | Total | ||||||||||||||||
Reference Asset | Corporate Debt | Sovereign Debt | Asset-Backed Securities | Corporate Debt | ||||||||||||||
Medium-Duration Bond Fund | ||||||||||||||||||
Fair value of written credit derivatives | $ | (366,077 | ) | $ | (24,732 | ) | $ | — | $ | — | $ | (390,809 | ) | |||||
Maximum potential amount of future payments | 4,100,000 | 4,800,000 | — | — | 8,900,000 | |||||||||||||
Recourse provisions with third parties to recover any amounts paid under the credit derivative (including any purchased credit protection) | — | — | — | — | — | |||||||||||||
Collateral held by the Funds or other third parties which the Funds can obtain upon occurrence of triggering event | — | — | — | — | — |
The credit spread disclosed below for each referenced obligation where the Funds are the seller of protection is a representation of the current payment/performance risk of the swap.
Maximum Potential Amount of Futures Payments by Contract Term | ||||||||||||||||||
Current credit spread on underlying (in basis points) | 0-6 Months | 6-12 Months | 1-5 Years | 5-10 Years | More Than 10 Years | Total | ||||||||||||
Medium-Duration Bond Fund | ||||||||||||||||||
0 - 100 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||
101 - 250 | — | — | — | — | — | — | ||||||||||||
251 - 500 | — | — | — | — | — | — | ||||||||||||
501 - 1,000 | — | — | — | — | — | — | ||||||||||||
Greater than 1,000 | 3,800,000 | — | — | 5,100,000 | — | 8,900,000 | ||||||||||||
Total | $ | 3,800,000 | $ | — | $ | — | $ | 5,100,000 | $ | — | $ | 8,900,000 | ||||||
Derivative Holdings Categorized by Risk Exposure
FASB “Derivatives and Hedging” also requires all companies to disclose information intended to enable financial statement users to understand how and why the entity uses derivative instruments, how derivatives are accounted for, and how derivative instruments affect the entity’s financial position, results of operations, and cash flows.
Location on the Statements of Assets and Liabilities | ||||
Derivative Type | Asset Derivatives | Liability Derivatives | ||
Interest rate contracts | Investments in securities of unaffiliated issuers, at value | Options written at value | ||
Receivables: Variation margin* | Payables: Variation margin* | |||
Unrealized appreciation on swap agreements | Unrealized depreciation on swap agreements | |||
Foreign exchange contracts | Unrealized appreciation on foreign currency exchange contracts | Unrealized depreciation on foreign currency exchange contracts | ||
Credit contracts | Unrealized appreciation on swap agreements | Unrealized depreciation on swap agreements | ||
Equity contracts | Receivables: Variation margin* | Payables: Variation margin* |
* | The variation margin shown on the Statements of Assets and Liabilities is the daily change in the unrealized appreciation (depreciation) for open futures contracts. The variation margin presented below is the cumulative change in unrealized appreciation (depreciation) from the date the contract was opened until June 30, 2010. |
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NOTES TO FINANCIAL STATEMENTS (Unaudited)—(Continued)
Asset Derivative Value | |||||||||||||||||
Fund | Total Value at June 30, 2010 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | ||||||||||||
MyDestination 2015 Fund | $ | (105,929 | ) | $ | — | $ | — | $ | — | $ | (105,929 | ) | |||||
MyDestination 2025 Fund | (90,396 | ) | — | — | — | (90,396 | ) | ||||||||||
MyDestination 2035 Fund | (66,752 | ) | — | — | — | (66,752 | ) | ||||||||||
MyDestination 2045 Fund | (49,666 | ) | — | — | — | (49,666 | ) | ||||||||||
Conservative Allocation Fund | (50,509 | ) | — | — | — | (50,509 | ) | ||||||||||
Balanced Allocation Fund | (517,229 | ) | — | — | — | (517,229 | ) | ||||||||||
Growth Allocation Fund | (523,521 | ) | — | — | — | (523,521 | ) | ||||||||||
Aggressive Allocation Fund | (567,329 | ) | — | — | — | (567,329 | ) | ||||||||||
Balanced Allocation Fund I | (56,514 | ) | — | — | — | (56,514 | ) | ||||||||||
Growth Allocation Fund I | (92,345 | ) | — | — | — | (92,345 | ) | ||||||||||
Aggressive Allocation Fund I | (79,069 | ) | — | — | — | (79,069 | ) | ||||||||||
Low-Duration Bond Fund | 4,901,061 | 449,978 | 1,572,784 | 2,878,299 | — | ||||||||||||
Medium-Duration Bond Fund | 4,616,182 | 2,400,947 | 1,577,330 | 637,905 | — | ||||||||||||
Inflation Protected Bond Fund | 19,980 | 19,980 | — | — | |||||||||||||
Global Bond Fund | 2,650,731 | — | 2,650,731 | — | — | ||||||||||||
Equity Index Fund | (309,910 | ) | — | — | — | (309,910 | ) | ||||||||||
Real Estate Securities Fund | (283,678 | ) | — | — | — | (283,678 | ) | ||||||||||
Value Equity Fund | (1,502,598 | ) | — | — | — | (1,502,598 | ) | ||||||||||
Growth Equity Fund | (3,032,725 | ) | — | — | — | (3,032,725 | ) | ||||||||||
Small Cap Equity Fund | (2,885,076 | ) | 61,706 | 53,836 | — | (3,000,618 | ) | ||||||||||
International Equity Fund | (2,105,168 | ) | — | 772,934 | — | (2,878,102 | ) | ||||||||||
Liability Derivative Value | |||||||||||||||||
Low-Duration Bond Fund | $ | 1,871,811 | $ | 1,233,700 | $ | 638,111 | $ | — | $ | — | |||||||
Medium-Duration Bond Fund | 3,840,342 | 2,386,309 | 1,062,228 | 391,805 | — | ||||||||||||
Inflation Protected Bond Fund | 25,702 | 25,702 | — | — | — | ||||||||||||
Global Bond Fund | 1,679,262 | 64,175 | 1,615,087 | — | — | ||||||||||||
Small Cap Equity Fund | 130,833 | 104,257 | 26,576 | — | — | ||||||||||||
International Equity Fund | (59,590 | ) | — | 450,363 | — | (509,953 | ) |
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NOTES TO FINANCIAL STATEMENTS (Unaudited)—(Continued)
Derivative Type | Location on the Statements of Operations | |
Interest rate contracts | Net realized gain (loss) from: Futures transactions | |
Net realized gain (loss) from: Swap agreements | ||
Net realized gain (loss) from: Option contracts written | ||
Net realized gain (loss) from: Option contracts purchased | ||
Net change in unrealized appreciation (depreciation) on: Futures | ||
Net change in unrealized appreciation (depreciation) on: Swap agreements | ||
Net change in unrealized appreciation (depreciation) on: Option contracts written | ||
Net change in unrealized appreciation (depreciation) on: Option contracts purchased | ||
Foreign exchange contracts | Net realized gain (loss) from: Foreign currency transactions | |
Net change in unrealized appreciation (depreciation) on: Foreign currency translations | ||
Credit contracts | Net realized gain (loss) from: Swap agreements | |
Net realized gain (loss) from: Option contracts written | ||
Net change in unrealized appreciation (depreciation) on: Swap agreements | ||
Net change in unrealized appreciation (depreciation) on: Option contracts written | ||
Equity contracts | Net realized gain (loss) from: Futures transactions | |
Net change in unrealized appreciation (depreciation) on: Futures |
Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||
Fund | Total Value at June 30, 2010 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||||||||||||
MyDestination 2015 Fund | $ | (73,623 | ) | $ | — | $ | — | $ | — | $ | (73,623 | ) | ||||||||
MyDestination 2025 Fund | (21,564 | ) | — | — | — | (21,564 | ) | |||||||||||||
MyDestination 2035 Fund | (5,351 | ) | — | — | — | (5,351 | ) | |||||||||||||
MyDestination 2045 Fund | (85,360 | ) | — | — | — | (85,360 | ) | |||||||||||||
Conservative Allocation Fund | (32,675 | ) | — | — | — | (32,675 | ) | |||||||||||||
Balanced Allocation Fund | (143,701 | ) | — | — | — | (143,701 | ) | |||||||||||||
Growth Allocation Fund | (95,794 | ) | — | — | — | (95,794 | ) | |||||||||||||
Aggressive Allocation Fund | (234,300 | ) | — | — | — | (234,300 | ) | |||||||||||||
Balanced Allocation Fund I | (14,855 | ) | — | — | — | (14,855 | ) | |||||||||||||
Growth Allocation Fund I | (155,443 | ) | — | — | — | (155,443 | ) | |||||||||||||
Aggressive Allocation Fund I | (60,750 | ) | — | — | — | (60,750 | ) | |||||||||||||
Low-Duration Bond Fund | 6,810,386 | 1,497,333 | 5,315,668 | (2,615 | ) | — | ||||||||||||||
Medium-Duration Bond Fund | 7,003,447 | 3,945,493 | 3,348,266 | (290,312 | ) | — | ||||||||||||||
Inflation Protected Bond Fund | 214,299 | 214,299 | — | — | — | |||||||||||||||
Global Bond Fund | 2,104,228 | (192,210 | ) | 2,296,438 | — | — | ||||||||||||||
Equity Index Fund | (68,089 | ) | — | — | — | (68,089 | ) | |||||||||||||
Real Estate Securities Fund | (186,186 | ) | — | — | — | (186,186 | ) | |||||||||||||
Value Equity Fund | (1,009,218 | ) | — | — | — | (1,009,218 | ) | |||||||||||||
Growth Equity Fund | (1,824,342 | ) | — | — | — | (1,824,342 | ) | |||||||||||||
Small Cap Equity Fund | 3,759,688 | 77,332 | 62,704 | — | 3,619,652 | |||||||||||||||
International Equity Fund | (5,584,534 | ) | — | (191,698 | ) | — | (5,392,836 | ) | ||||||||||||
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||||||
Fund | Total Value at June 30, 2010 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||||||||||||
MyDestination 2015 Fund | $ | (133,607 | ) | $ | — | $ | — | $ | — | $ | (133,607 | ) | ||||||||
MyDestination 2025 Fund | (108,365 | ) | — | — | — | (108,365 | ) | |||||||||||||
MyDestination 2035 Fund | (80,612 | ) | — | — | — | (80,612 | ) | |||||||||||||
MyDestination 2045 Fund | (55,172 | ) | — | — | — | (55,172 | ) | |||||||||||||
Conservative Allocation Fund | (70,638 | ) | — | — | — | (70,638 | ) | |||||||||||||
Balanced Allocation Fund | (586,729 | ) | — | — | — | (586,729 | ) | |||||||||||||
Growth Allocation Fund | (645,956 | ) | — | — | — | (645,956 | ) |
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Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||||
Fund | Total Value at June 30, 2010 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||||||||||
Aggressive Allocation Fund | $ | (759,458 | ) | $ | — | $ | — | $ | — | $ | (759,458 | ) | ||||||
Balanced Allocation Fund I | (106,297 | ) | — | — | — | (106,297 | ) | |||||||||||
Growth Allocation Fund I | (132,886 | ) | — | — | — | (132,886 | ) | |||||||||||
Aggressive Allocation Fund I | (120,358 | ) | — | — | — | (120,358 | ) | |||||||||||
Low-Duration Bond Fund | 234,914 | (85,126 | ) | 280,532 | 39,508 | — | ||||||||||||
Medium-Duration Bond Fund | 1,614,520 | 476,975 | 54,624 | 1,082,921 | — | |||||||||||||
Inflation Protected Bond Fund | (8,900 | ) | (8,900 | ) | — | — | — | |||||||||||
Global Bond Fund | 514,129 | (167,660 | ) | 681,789 | — | — | ||||||||||||
Equity Index Fund | (455,303 | ) | — | — | — | (455,303 | ) | |||||||||||
Real Estate Securities Fund | (450,763 | ) | — | — | — | (450,763 | ) | |||||||||||
Value Equity Fund | (1,971,218 | ) | — | — | — | (1,971,218 | ) | |||||||||||
Growth Equity Fund | (3,658,187 | ) | — | — | — | (3,658,187 | ) | |||||||||||
Small Cap Equity Fund | (5,643,647 | ) | (64,459 | ) | 27,260 | — | (5,606,448 | ) | ||||||||||
International Equity Fund | (1,673,705 | ) | — | 517,217 | — | (2,190,922 | ) |
Volume of Derivative Transactions
The table below summarizes the average balance of derivative holdings by fund during the period ended June 30, 2010. The average balance of derivatives held is indicative of the trading volume of each Fund.
Asset Derivative Volume | |||||||||||||||
Fund | Average Volume for the Period Ended June 30, 2010 | Forward Foreign Currency Contracts (Average Cost) | Futures Contracts (Average Notional Value) | Purchased Option Contracts (Average Notional Cost) | Swap Contracts (Average Notional Amount) | ||||||||||
MyDestination 2015 Fund | $ | 2,340,492 | $ | — | $ | 2,340,492 | $ | — | $ | — | |||||
MyDestination 2025 Fund | 2,278,918 | — | 2,278,918 | — | — | ||||||||||
MyDestination 2035 Fund | 1,538,458 | — | 1,538,458 | — | — | ||||||||||
MyDestination 2045 Fund | 1,401,330 | — | 1,401,330 | — | — | ||||||||||
Conservative Allocation Fund | 1,527,265 | — | 1,527,265 | — | — | ||||||||||
Balanced Allocation Fund | 12,763,715 | — | 12,763,715 | — | — | ||||||||||
Growth Allocation Fund | 13,096,365 | — | 13,096,365 | — | — | ||||||||||
Aggressive Allocation Fund | 15,150,317 | — | 15,150,317 | — | — | ||||||||||
Balanced Allocation Fund I | 2,968,498 | — | 2,968,498 | — | — | ||||||||||
Growth Allocation Fund I | 3,221,493 | — | 3,221,493 | — | — | ||||||||||
Aggressive Allocation Fund I | 2,640,039 | — | 2,640,039 | — | — | ||||||||||
Low-Duration Bond Fund | 271,720,029 | 29,464,765 | 192,964,479 | 128,579 | 49,162,206 | ||||||||||
Medium-Duration Bond Fund | 2,829,281,682 | 37,543,490 | 301,902,596 | 62,451 | 2,489,773,145 | ||||||||||
Inflation Protected Bond Fund | 5,002,268 | — | 5,002,268 | — | — | ||||||||||
Global Bond Fund | 48,505,882 | 46,978,988 | 1,526,894 | — | — | ||||||||||
Equity Index Fund | 5,790,379 | — | 5,790,379 | — | — | ||||||||||
Real Estate Securities Fund | 4,873,500 | — | 4,873,500 | — | — | ||||||||||
Value Equity Fund | 36,910,150 | — | 36,910,150 | — | — | ||||||||||
Growth Equity Fund | 57,001,249 | — | 57,001,249 | — | — | ||||||||||
Small Cap Equity Fund | 9,073,771 | 575,890 | 8,490,176 | 7,705 | — | ||||||||||
International Equity Fund | 114,191,682 | 51,058,141 | 63,133,541 | — | — |
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Liability Derivative Volume | |||||||||||||||||||
Fund | Average Volume for the Period Ended June 30, 2010 | Forward Foreign Currency Contracts (Average Cost) | Futures Contracts (Average Notional Value) | Written Option Contracts (Average Notional Cost) | Swap Contracts (Average Notional Amount) | ||||||||||||||
Low-Duration Bond Fund | $ | (44,826,020 | ) | $ | (71,511,897 | ) | $ | 27,320,489 | $ | (634,612 | ) | $ | — | ||||||
Medium-Duration Bond Fund | (38,120,479 | ) | (60,796,123 | ) | 23,821,004 | (1,145,360 | ) | — | |||||||||||
Inflation Protected Bond Fund | (3,220,028 | ) | — | (3,220,028 | ) | — | — | ||||||||||||
Global Bond Fund | (35,886,147 | ) | (49,473,103 | ) | 13,586,956 | — | — | ||||||||||||
Small Cap Equity Fund | (2,138,158 | ) | (2,535,263 | ) | 412,525 | (15,420 | ) | — | |||||||||||
International Equity Fund | (36,081,138 | ) | (46,398,697 | ) | 10,317,559 | — | — |
i. Dividends and Distributions to Shareholders
Dividends from net investment income for the Money Market Fund are declared daily and paid monthly. Dividends from net investment income for the Bond Funds are declared and paid monthly. Dividends from net investment income, if any, for the Equity Index Fund, Real Estate Securities Fund, Value Equity Fund and Growth Equity Fund are declared and paid semi-annually. Dividends from net investment income, if any, for the Small Cap Equity Fund, International Equity Fund, the Asset Allocation Funds and the Date Target Funds are declared and paid annually. Net realized capital gains, if any, will be distributed at least annually by each of the Funds. Dividends and distributions to shareholders are recorded on the ex-dividend date.
j. Expenses
Expenses arising in connection with a Fund are charged directly to that Fund. Expenses common to all Funds are generally allocated to each Fund in proportion to their relative net assets. Each Class of shares bears its pro-rata portion of expenses attributable to its Class, except that each Class separately bears expenses related specifically to that Class, such as shareholder reporting, registration, transfer agent, shareholder servicing and distribution fees.
k. Security Transactions, Income and Realized Gains and Losses
Security transactions are accounted for on the date securities are purchased or sold (the trade date). Dividend income is recognized on the ex-dividend date, except certain dividends from foreign securities where the ex-date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Interest income is accrued daily, including the amortization of market premium and the accretion of market discount. Realized gains and losses from security transactions are on an identified cost basis.
3. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
a. Investment Advisory Fees
Pursuant to a separate investment advisory agreement, GuideStone Capital Management (“GSCM” or “Adviser”) acts as the Adviser to the Funds. As Adviser, it supervises the investments of the Funds and for such services is paid a fee. GSCM and the Trust have entered into sub-advisory agreements with various sub-advisers to manage each Select Fund’s investments. Under the general supervision of GSCM, the sub-advisers make the day-to-day investment decisions for the Select Funds, and for such services, each sub-adviser receives a fee from the Funds.
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NOTES TO FINANCIAL STATEMENTS (Unaudited)—(Continued)
The advisory fees paid to GSCM and aggregate sub-advisory fees paid to the sub-advisers, listed at the end of this report, are computed daily based upon the net assets of each Fund. The actual advisory fees accrued and the sub-advisory fees accrued during the period ended June 30, 2010, based upon average daily net assets, were as follows:
Fund | Advisory Fees | Sub-Adviser Fees | ||||
MyDestination 2005 | 0.10 | % | — | |||
MyDestination 2015 | 0.10 | % | — | |||
MyDestination 2025 | 0.10 | % | — | |||
MyDestination 2035 | 0.10 | % | — | |||
MyDestination 2045 | 0.10 | % | — | |||
Conservative Allocation | 0.10 | % | — | |||
Balanced Allocation | 0.10 | % | — | |||
Growth Allocation | 0.10 | % | — | |||
Aggressive Allocation | 0.10 | % | — | |||
Conservative Allocation I | 0.10 | % | — | |||
Balanced Allocation I | 0.10 | % | — | |||
Growth Allocation I | 0.10 | % | — | |||
Aggressive Allocation I | 0.10 | % | — | |||
Money Market | 0.09 | % | 0.07 | % | ||
Low-Duration Bond | 0.13 | % | 0.21 | % | ||
Medium-Duration Bond | 0.21 | % | 0.21 | % | ||
Extended-Duration Bond | 0.25 | % | 0.22 | % | ||
Inflation Protected Bond | 0.20 | % | 0.12 | % | ||
Global Bond | 0.21 | % | 0.26 | % | ||
Equity Index | 0.13 | % | 0.02 | % | ||
Real Estate Securities | 0.28 | % | 0.59 | % | ||
Value Equity | 0.40 | % | 0.24 | % | ||
Growth Equity | 0.45 | % | 0.40 | % | ||
Small Cap Equity | 0.27 | % | 0.66 | % | ||
International Equity | 0.47 | % | 0.50 | % |
For the period ended June 30, 2010, advisory fees (excluding sub-advisory fees) and waivers for each Fund were as follows:
Gross Advisory Fee | Waiver/ Reimbursements | Net Advisory Fee (Reimbursement) | ||||||||
MyDestination 2005 | $ | 32,403 | $ | (14,569 | ) | $ | 17,834 | |||
MyDestination 2015 | 114,435 | — | 114,435 | |||||||
MyDestination 2025 | 89,789 | 32,477 | 122,266 | |||||||
MyDestination 2035 | 39,582 | (12,144 | ) | 27,438 | ||||||
MyDestination 2045 | 24,554 | (23,620 | ) | 934 | ||||||
Conservative Allocation | 142,625 | (45,712 | ) | 96,913 | ||||||
Balanced Allocation | 564,085 | (31,536 | ) | 532,549 | ||||||
Growth Allocation | 415,517 | (39,034 | ) | 376,483 | ||||||
Aggressive Allocation | 359,793 | (42,801 | ) | 316,992 | ||||||
Conservative Allocation I | 32,706 | (20,582 | ) | 12,124 | ||||||
Balanced Allocation I | 163,702 | — | 163,702 | |||||||
Growth Allocation I | 104,556 | 1,095 | 105,651 | |||||||
Aggressive Allocation I | 70,437 | (3,450 | ) | 66,987 | ||||||
Money Market | 529,523 | (494,503 | ) | 35,020 | ||||||
Low-Duration Bond | 457,388 | (283,759 | ) | 173,629 | ||||||
Medium-Duration Bond | 1,088,417 | (493,851 | ) | 594,566 | ||||||
Extended-Duration Bond | 585,111 | (59,682 | ) | 525,429 | ||||||
Inflation Protected Bond | 95,884 | (7,034 | ) | 88,850 | ||||||
Global Bond | 235,519 | (16,680 | ) | 218,839 | ||||||
Equity Index | 253,129 | (75,233 | ) | 177,896 | ||||||
Real Estate Securities | 180,403 | (4,157 | ) | 176,246 | ||||||
Value Equity | 2,361,711 | (109,142 | ) | 2,252,569 | ||||||
Growth Equity | 2,794,843 | (581,161 | ) | 2,213,682 | ||||||
Small Cap Equity | 585,793 | (109,675 | ) | 476,118 | ||||||
International Equity | 2,998,234 | (1,369,340 | ) | 1,628,894 |
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b. Distribution and Shareholder Servicing Fees
The Board of Trustees has adopted a Shareholder Service Plan for the GS4 Class of each Select Fund. Under this Plan, the GS4 Class of each Select Fund is authorized to pay fees to parties that provide services for and maintain shareholder accounts. The GS4 Class of each Select Fund is authorized to pay service fees of 0.19% of average daily net assets.
c. Expense Limitation
GSCM has agreed, through April 30, 2011, to waive fees and reimburse expenses of the GS2 Class and GS4 Class of each Fund (excluding interest, taxes, brokerage commissions and extraordinary expenses) which exceed, in the aggregate, the annual percentage rate of each Class’s average daily net assets as follows:
Fund | GS2 Class | GS4 Class | ||||
MyDestination 2005 | NA | 0.20 | % | |||
MyDestination 2015 | NA | 0.20 | % | |||
MyDestination 2025 | NA | 0.20 | % | |||
MyDestination 2035 | NA | 0.20 | % | |||
MyDestination 2045 | NA | 0.20 | % | |||
Conservative Allocation | NA | 0.12 | % | |||
Balanced Allocation | NA | 0.12 | % | |||
Growth Allocation | NA | 0.12 | % | |||
Aggressive Allocation | NA | 0.12 | % | |||
Conservative Allocation I | 0.15 | % | NA | |||
Balanced Allocation I | 0.15 | % | NA | |||
Growth Allocation I | 0.15 | % | NA | |||
Aggressive Allocation I | 0.15 | % | NA | |||
Money Market | 0.20 | % | 0.39 | % | ||
Low-Duration Bond | 0.36 | % | 0.52 | % | ||
Medium-Duration Bond | 0.48 | % | 0.58 | % | ||
Extended-Duration Bond | 0.63 | % | 0.69 | % | ||
Inflation Protected Bond | NA | 0.67 | % | |||
Global Bond | NA | 1.02 | % | |||
Equity Index | 0.23 | % | 0.37 | % | ||
Real Estate Securities | NA | 1.29 | % | |||
Value Equity | 0.74 | % | 0.85 | % | ||
Growth Equity | 0.88 | % | 0.97 | % | ||
Small Cap Equity | 1.12 | % | 1.15 | % | ||
International Equity | 0.94 | % | 1.12 | % |
Each Fund in turn agrees to reimburse GSCM for any operating expenses in excess of the expense limitation paid, waived or assumed by GSCM for that Fund during the limitation period, provided GSCM would not be entitled to reimbursement for any amount that would cause operating expenses to exceed the expense limitation during the year in which the reimbursement would be made, and provided further that no amount will be reimbursed by the Fund more than three years after the year in which it was incurred or waived by GSCM.
At June 30, 2010, the amounts subject to possible future reimbursement under the expense limitation agreement are as follows:
GS2 Class | GS4 Class | ||||||||||||||
2007 | 2008 | 2009 | 2007 | 2008 | 2009 | ||||||||||
MyDestination 2005 | NA | NA | NA | $ | 73,659 | $ | 51,833 | $ | 49,232 | ||||||
MyDestination 2025 | NA | NA | NA | 9,014 | 13,471 | NA | |||||||||
MyDestination 2035 | NA | NA | NA | 83,799 | 74,281 | 55,067 | |||||||||
MyDestination 2045 | NA | NA | NA | 81,724 | 87,558 | 84,602 |
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GS2 Class | GS4 Class | |||||||||||||||||
2007 | 2008 | 2009 | 2007 | 2008 | 2009 | |||||||||||||
Conservative Allocation | NA | NA | NA | $ | 112,077 | $ | 100,571 | $ | 139,849 | |||||||||
Balanced Allocation | NA | NA | NA | 70,118 | 91,086 | 129,252 | ||||||||||||
Growth Allocation | NA | NA | NA | 70,805 | 94,991 | 142,024 | ||||||||||||
Aggressive Allocation | NA | NA | NA | 73,850 | 98,613 | 159,475 | ||||||||||||
Conservative Allocation I | $ | 40,190 | $ | 43,693 | $ | 59,126 | NA | NA | NA | |||||||||
Aggressive Allocation I | NA | 7,921 | 18,159 | NA | NA | NA | ||||||||||||
Low-Duration Bond | 35,442 | 59,618 | 90,168 | 401,137 | 502,736 | 713,943 | ||||||||||||
Medium-Duration Bond | NA | NA | 26,409 | 580,875 | 811,087 | 1,272,444 | ||||||||||||
Extended-Duration Bond | NA | NA | NA | 28,687 | 83,138 | 163,563 | ||||||||||||
Global Bond | NA | NA | NA | NA | NA | 2892 | ||||||||||||
Inflation Protected Bond | NA | NA | NA | NA | NA | NA | ||||||||||||
Equity Index | NA | NA | NA | 132,178 | 155,209 | 219,582 | ||||||||||||
Real Estate Securities | NA | NA | NA | NA | NA | NA | ||||||||||||
Value Equity | NA | NA | NA | 60,746 | 71,410 | 312,867 | ||||||||||||
Growth Equity | NA | NA | 9,794 | 1,016,986 | 1,033,684 | 1,524,096 | ||||||||||||
Small Cap Equity | NA | NA | NA | 334,121 | 310,319 | 333,200 | ||||||||||||
International Equity | 297,143 | 376,091 | 677,142 | 1,775,807 | 1,844,484 | 3,411,572 |
During the period ended June 30, 2010, GSCM recaptured the following amounts:
GS2 Class | GS4 Class | |||||
MyDestination 2025 | NA | $ | 32,477 | |||
Growth Allocation I | $ | 1,095 | NA | |||
Inflation Protected Bond | NA | 967 | ||||
Equity Index | 282 | NA | ||||
Growth Equity | 17 | NA |
d. Brokerage Service Arrangements
The Adviser directs the sub-advisers to place security trades with designated brokers who have agreed to pay certain custody, transfer agency or other operating expenses through the use of Brokerage Service Arrangements on behalf of the Funds shown below.
Fund | Expenses Paid Through Brokerage Service Arrangements | ||
Value Equity | $ | 20,040 | |
Growth Equity | 20,881 | ||
Small Cap Equity | 7,573 | ||
International Equity | 20,787 |
e. Administrator, Transfer Agent and Distributor
On July 1, 2010, The PNC Financial Services Group, Inc. sold the outstanding stock of PNC Global Investment Servicing Inc. to The Bank of New York Mellon Corporation. At the closing of the sale, PNC Global Investment Servicing (U.S.) Inc. and PFPC Distributors, Inc. changed their names to BNY Mellon Investment Servicing (US) Inc. (“BNY Mellon”) and BNY Mellon Distributors Inc. (the “Distributor”), respectively.
Certain employees of BNY Mellon are officers of the Funds. BNY Mellon serves as Administrator and Transfer Agent of the Funds.
For its services as Administrator, BNY Mellon is entitled to receive fees, computed daily and paid monthly, based upon the average daily net assets of each Fund. The fees, excluding out of pocket expenses, currently range between 0.004% and 0.02% of
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average daily net assets. For its services as Transfer Agent, BNY Mellon receives a fee based mainly upon the number of accounts serviced. Certain minimum fees and transaction charges may apply. For the period ended June 30, 2010, BNY Mellon received $1,414,607 in aggregate fees and expenses for services rendered under the various agreements described above.
The Distributor serves as the Underwriter for the Funds. The Funds do not pay any fees to the Distributor in its capacity as Underwriter. The fees are paid by GSCM.
f. Investments in Affiliates
A summary of the Fund of Fund’s total long-term and short-term purchases and sales of the shares of the underlying Select Funds during the period ended June 30, 2010 is as follows:
Balance at 12/31/09 | Balance at 06/30/10 | Purchases | Sales Proceeds | Dividend Income | Distributions of Realized Gains | |||||||||||||
MyDestination 2005 Fund | ||||||||||||||||||
Money Market Fund | $ | 957,089 | $ | 782,307 | $ | 10,688,949 | $ | 10,863,731 | $ | 49 | $ | — | ||||||
Low-Duration Bond Fund | 12,405,231 | 13,038,040 | 1,752,118 | 1,487,000 | 133,646 | — | ||||||||||||
Medium-Duration Bond Fund | 11,477,216 | 11,266,850 | 1,076,500 | 2,000,530 | 158,858 | 28,611 | ||||||||||||
Extended-Duration Bond Fund | 658,407 | 314,258 | 15,000 | 395,481 | 11,748 | — | ||||||||||||
Inflation Protected Bond Fund | 9,750,494 | 9,217,785 | 968,373 | 1,913,500 | 113,363 | 31,336 | ||||||||||||
Global Bond Fund | 1,017,045 | 777,902 | 24,000 | 295,000 | 25,222 | — | ||||||||||||
Equity Index Fund | 1,490,646 | 1,342,439 | 119,200 | 169,000 | 14,522 | — | ||||||||||||
Real Estate Securities Fund | 2,418,192 | 1,935,751 | 65,000 | 661,690 | 20,104 | — | ||||||||||||
Value Equity Fund | 7,915,297 | 6,970,998 | 526,500 | 950,700 | 90,957 | — | ||||||||||||
Growth Equity Fund | 8,028,765 | 7,097,844 | 789,060 | 1,104,090 | 1,004 | — | ||||||||||||
Small Cap Equity Fund | 2,222,434 | 1,895,277 | 157,500 | 462,500 | — | — | ||||||||||||
International Equity Fund | 8,341,021 | 7,410,704 | 1,127,180 | 1,071,500 | — | — | ||||||||||||
$ | 66,681,837 | $ | 62,050,155 | $ | 17,309,380 | $ | 21,374,722 | $ | 569,473 | $ | 59,947 | |||||||
MyDestination 2015 Fund | ||||||||||||||||||
Money Market Fund | $ | 2,405,941 | $ | 2,714,728 | $ | 20,080,937 | $ | 19,772,150 | $ | 114 | $ | — | ||||||
Low-Duration Bond Fund | 14,476,706 | 16,168,405 | 2,600,500 | 1,350,000 | 165,391 | — | ||||||||||||
Medium-Duration Bond Fund | 23,987,621 | 26,515,131 | 4,122,130 | 3,190,000 | 361,407 | 65,641 | ||||||||||||
Extended-Duration Bond Fund | 9,097,860 | 10,136,674 | 1,097,500 | 815,000 | 224,959 | — | ||||||||||||
Inflation Protected Bond Fund | 21,186,757 | 23,619,399 | 5,118,628 | 3,700,500 | 281,127 | 75,356 | ||||||||||||
Global Bond Fund | 10,259,585 | 10,988,117 | 849,500 | 471,500 | 298,928 | — | ||||||||||||
Equity Index Fund | 6,426,975 | 6,307,926 | 341,500 | — | 68,238 | — | ||||||||||||
Real Estate Securities Fund | 13,833,310 | 13,011,075 | 740,000 | 2,280,500 | 134,610 | — | ||||||||||||
Value Equity Fund | 34,756,701 | 34,839,006 | 2,712,490 | — | 446,225 | — | ||||||||||||
Growth Equity Fund | 35,254,089 | 35,190,886 | 3,361,000 | 400,000 | 4,946 | — | ||||||||||||
Small Cap Equity Fund | 9,986,530 | 9,992,489 | 727,000 | 600,000 | — | — | ||||||||||||
International Equity Fund | 36,038,870 | 37,061,542 | 7,080,130 | 1,250,000 | — | — | ||||||||||||
$ | 217,710,945 | $ | 226,545,378 | $ | 48,831,315 | $ | 33,829,650 | $ | 1,985,945 | $ | 140,997 | |||||||
MyDestination 2025 Fund | ||||||||||||||||||
Money Market Fund | $ | 2,448,001 | $ | 1,841,404 | $ | 14,922,591 | $ | 15,529,188 | $ | 109 | $ | — | ||||||
Low-Duration Bond Fund | — | 767,508 | 1,912,975 | 1,153,500 | 5,889 | — | ||||||||||||
Medium-Duration Bond Fund | 12,298,666 | 14,012,918 | 2,474,000 | 1,600,000 | 191,711 | 34,866 |
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Balance at 12/31/09 | Balance at 06/30/10 | Purchases | Sales Proceeds | Dividend Income | Distributions of Realized Gains | |||||||||||||
Extended-Duration Bond Fund | $ | 11,971,332 | $ | 13,516,645 | $ | 2,380,070 | $ | 1,845,000 | $ | 301,984 | $ | — | ||||||
Inflation Protected Bond Fund | — | 767,615 | 747,669 | — | 4,455 | — | ||||||||||||
Global Bond Fund | 12,028,616 | 13,153,105 | 1,490,500 | 780,000 | 363,518 | — | ||||||||||||
Equity Index Fund | 5,723,198 | 5,808,318 | 525,330 | — | 62,579 | — | ||||||||||||
Real Estate Securities Fund | 11,848,278 | 11,775,763 | 1,404,582 | 2,146,500 | 121,830 | — | ||||||||||||
Value Equity Fund | 32,419,512 | 33,434,265 | 3,609,110 | — | 429,261 | — | ||||||||||||
Growth Equity Fund | 32,812,129 | 33,421,205 | 3,583,000 | — | 4,730 | — | ||||||||||||
Small Cap Equity Fund | 11,470,194 | 11,486,992 | 325,000 | 121,500 | — | — | ||||||||||||
International Equity Fund | 35,477,449 | 36,780,709 | 6,637,740 | 540,000 | — | — | ||||||||||||
$ | 168,497,375 | $ | 176,766,447 | $ | 40,012,567 | $ | 23,715,688 | $ | 1,486,066 | $ | 34,866 | |||||||
MyDestination 2035 Fund | ||||||||||||||||||
Money Market Fund | $ | 1,881,218 | $ | 1,433,268 | $ | 10,406,394 | $ | 10,854,344 | $ | 75 | $ | — | ||||||
Medium-Duration Bond Fund | 1,433,593 | 1,823,526 | 515,000 | 228,500 | 23,420 | 4,138 | ||||||||||||
Extended-Duration Bond Fund | 1,403,008 | 1,872,434 | 402,000 | 65,500 | 38,627 | — | ||||||||||||
Global Bond Fund | 3,071,057 | 3,576,536 | 751,000 | 349,000 | 94,674 | — | ||||||||||||
Equity Index Fund | 2,903,993 | 2,950,137 | 397,500 | 121,500 | 31,603 | — | ||||||||||||
Real Estate Securities Fund | 5,451,948 | 5,405,449 | 736,500 | 1,068,000 | 55,172 | — | ||||||||||||
Value Equity Fund | 16,685,977 | 17,305,458 | 2,687,190 | 677,000 | 223,323 | — | ||||||||||||
Growth Equity Fund | 16,858,729 | 17,175,799 | 2,801,820 | 882,400 | 2,466 | — | ||||||||||||
Small Cap Equity Fund | 6,743,574 | 6,783,037 | 585,500 | 408,000 | — | — | ||||||||||||
International Equity Fund | 18,656,191 | 19,526,026 | 3,977,298 | 490,500 | — | — | ||||||||||||
$ | 75,089,288 | $ | 77,851,670 | $ | 23,260,202 | $ | 15,144,744 | $ | 469,360 | $ | 4,138 | |||||||
MyDestination 2045 Fund | ||||||||||||||||||
Money Market Fund | $ | 1,286,027 | $ | 1,551,240 | $ | 8,226,381 | $ | 7,961,168 | $ | 69 | $ | — | ||||||
Equity Index Fund | 2,125,408 | 2,451,815 | 514,500 | — | 25,852 | — | ||||||||||||
Real Estate Securities Fund | 4,214,731 | 4,894,964 | 946,600 | 511,000 | 50,177 | — | ||||||||||||
Value Equity Fund | 10,172,536 | 11,705,006 | 2,469,366 | — | 149,516 | — | ||||||||||||
Growth Equity Fund | 10,319,039 | 11,700,846 | 2,445,218 | — | 1,654 | — | ||||||||||||
Small Cap Equity Fund | 4,295,182 | 4,901,446 | 710,000 | — | — | — | ||||||||||||
International Equity Fund | 11,623,278 | 13,460,247 | 3,554,370 | — | — | — | ||||||||||||
$ | 44,036,201 | $ | 50,665,564 | $ | 18,866,435 | $ | 8,472,168 | $ | 227,268 | $ | — | |||||||
Conservative Allocation Fund | ||||||||||||||||||
Money Market Fund | $ | 1,458,350 | $ | 555,620 | $ | 17,691,199 | $ | 18,593,929 | $ | 70 | $ | — | ||||||
Low-Duration Bond Fund | 165,193,885 | 167,967,314 | 1,600,000 | 3,650,000 | 1,776,753 | — | ||||||||||||
Inflation Protected Bond Fund | 40,951,653 | 41,475,818 | 600,000 | 1,827,155 | 493,732 | 137,921 | ||||||||||||
Equity Index Fund | 4,864,696 | 4,353,655 | — | 200,000 | 47,097 | — | ||||||||||||
Value Equity Fund | 19,858,640 | 17,949,753 | 25,000 | 600,000 | 234,206 | — | ||||||||||||
Growth Equity Fund | 20,383,118 | 18,717,482 | 900,000 | 950,000 | 2,697 | — | ||||||||||||
Small Cap Equity Fund | 5,040,729 | 4,766,421 | 175,000 | 400,000 | — | — | ||||||||||||
International Equity Fund | 21,562,280 | 20,054,490 | 1,500,000 | 500,000 | — | — | ||||||||||||
$ | 279,313,351 | $ | 275,840,553 | $ | 22,491,199 | $ | 26,721,084 | $ | 2,554,555 | $ | 137,921 | |||||||
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Balance at 12/31/09 | Balance at 06/30/10 | Purchases | Sales Proceeds | Dividend Income | Distributions of Realized Gains | |||||||||||||
Balanced Allocation Fund | ||||||||||||||||||
Money Market Fund | $ | 13,056,266 | $ | 10,075,635 | $ | 34,798,160 | $ | 37,778,791 | $ | 568 | $ | — | ||||||
Low-Duration Bond Fund | 160,935,757 | 163,852,024 | 5,000,000 | 6,800,000 | 1,728,530 | — | ||||||||||||
Medium-Duration Bond Fund | 233,149,295 | 235,842,192 | 2,000,000 | 14,000,000 | 3,318,542 | 605,489 | ||||||||||||
Extended-Duration Bond Fund | 92,773,652 | 92,871,420 | 900,000 | 8,050,000 | 2,172,685 | — | ||||||||||||
Global Bond Fund | 55,530,347 | 55,434,371 | — | 2,000,000 | 1,554,661 | — | ||||||||||||
Equity Index Fund | 35,102,654 | 32,680,256 | 375,000 | 400,000 | 353,530 | — | ||||||||||||
Value Equity Fund | 158,399,932 | 145,053,591 | 1,045,000 | 3,500,000 | 1,892,642 | — | ||||||||||||
Growth Equity Fund | 161,122,326 | 145,255,599 | 2,900,000 | 6,000,000 | 20,933 | — | ||||||||||||
Small Cap Equity Fund | 39,018,057 | 36,891,559 | 650,000 | 2,250,000 | — | — | ||||||||||||
International Equity Fund | 168,451,926 | 153,382,033 | 7,000,000 | 2,000,000 | — | — | ||||||||||||
$ | 1,117,540,212 | $ | 1,071,338,680 | $ | 54,668,160 | $ | 82,778,791 | $ | 11,042,091 | $ | 605,489 | |||||||
Growth Allocation Fund | ||||||||||||||||||
Money Market Fund | $ | 11,482,976 | $ | 10,720,777 | $ | 28,680,945 | $ | 29,443,144 | $ | 584 | $ | — | ||||||
Low-Duration Bond Fund | 58,844,612 | 59,984,828 | 2,659,000 | 3,249,000 | 635,759 | — | ||||||||||||
Medium-Duration Bond Fund | 85,463,209 | 85,582,485 | 1,750,000 | 7,000,000 | 1,212,804 | 220,331 | ||||||||||||
Extended-Duration Bond Fund | 34,467,339 | 33,495,375 | 850,000 | 4,500,000 | 805,548 | — | ||||||||||||
Global Bond Fund | 20,744,816 | 20,256,555 | 224,000 | 1,409,000 | 566,711 | — | ||||||||||||
Equity Index Fund | 38,614,305 | 35,522,253 | — | 500,000 | 384,274 | — | ||||||||||||
Value Equity Fund | 175,692,447 | 159,505,926 | 375,000 | 4,500,000 | 2,076,321 | — | ||||||||||||
Growth Equity Fund | 177,494,545 | 159,440,896 | 125,000 | 4,000,000 | 22,959 | — | ||||||||||||
Small Cap Equity Fund | 43,893,701 | 40,372,955 | — | 3,000,000 | — | — | ||||||||||||
International Equity Fund | 188,693,735 | 166,208,711 | 2,000,000 | 2,000,000 | — | — | ||||||||||||
$ | 835,391,685 | $ | 771,090,761 | $ | 36,663,945 | $ | 59,601,144 | $ | 5,704,960 | $ | 220,331 | |||||||
Aggressive Allocation Fund | ||||||||||||||||||
Money Market Fund | $ | 12,186,651 | $ | 11,235,276 | $ | 26,211,459 | $ | 27,162,834 | $ | 685 | $ | — | ||||||
Equity Index Fund | 44,783,229 | 40,772,909 | 7,250,000 | 1,000,000 | 441,075 | — | ||||||||||||
Value Equity Fund | 200,559,218 | 180,868,502 | — | 5,972,500 | 2,359,949 | — | ||||||||||||
Growth Equity Fund | 204,055,846 | 180,684,371 | — | 7,100,000 | 26,039 | — | ||||||||||||
Small Cap Equity Fund | 50,748,839 | 47,026,978 | — | 3,150,000 | — | — | ||||||||||||
International Equity Fund | 216,329,360 | 193,893,741 | — | 3,550,000 | — | |||||||||||||
$ | 728,663,143 | $ | 654,481,777 | $ | 33,461,459 | $ | 47,935,334 | $ | 2,827,748 | $ | — | |||||||
Conservative Allocation Fund I | ||||||||||||||||||
Money Market Fund | $ | 1,122,056 | $ | 1,763,742 | $ | 4,831,584 | $ | 4,189,897 | $ | 670 | $ | — | ||||||
Low-Duration Bond Fund | 37,508,525 | 39,811,233 | 1,678,000 | 514,000 | 661,033 | — | ||||||||||||
Inflation Protected Bond Fund | 9,295,960 | 9,824,031 | 400,000 | 276,000 | 114,266 | 31,710 | ||||||||||||
Equity Index Fund | 1,105,994 | 1,030,690 | 40,000 | 44,000 | 21,989 | — | ||||||||||||
Value Equity Fund | 4,515,451 | 4,252,979 | 172,000 | 128,000 | 113,657 | — | ||||||||||||
Growth Equity Fund | 4,629,943 | 4,433,791 | 377,000 | 200,000 | 999 | — | ||||||||||||
Small Cap Equity Fund | 1,144,652 | 1,128,780 | 80,000 | 84,000 | — | — | ||||||||||||
International Equity Fund | 4,917,439 | 4,754,038 | 536,000 | 128,000 | — | — | ||||||||||||
$ | 64,240,020 | $ | 66,999,284 | $ | 8,114,584 | $ | 5,563,897 | $ | 912,614 | $ | 31,710 | |||||||
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Balance at 12/31/09 | Balance at 06/30/10 | Purchases | Sales Proceeds | Dividend Income | Distributions of Realized Gains | |||||||||||||
Balanced Allocation Fund I | ||||||||||||||||||
Money Market Fund | $ | 2,741,213 | $ | 1,329,823 | $ | 11,587,664 | $ | 12,999,054 | $ | 1,440 | $ | — | ||||||
Low-Duration Bond Fund | 46,645,414 | 47,873,036 | 1,624,000 | 1,808,000 | 812,179 | — | ||||||||||||
Medium-Duration Bond Fund | 67,529,409 | 68,826,880 | 896,000 | 3,900,000 | 1,800,271 | 316,088 | ||||||||||||
Extended-Duration Bond Fund | 26,857,858 | 27,134,097 | 464,000 | 2,328,000 | 1,451,255 | — | ||||||||||||
Global Bond Fund | 16,088,976 | 16,191,638 | 224,000 | 676,000 | 452,990 | — | ||||||||||||
Equity Index Fund | 10,211,786 | 9,552,649 | 192,000 | 160,000 | 208,314 | — | ||||||||||||
Value Equity Fund | 45,994,391 | 42,370,079 | 692,000 | 1,180,000 | 1,157,071 | — | ||||||||||||
Growth Equity Fund | 46,719,156 | 42,425,206 | 1,318,000 | 1,904,000 | 9,763 | — | ||||||||||||
Small Cap Equity Fund | 11,326,329 | 10,791,608 | 272,000 | 656,000 | — | — | ||||||||||||
International Equity Fund | 49,058,573 | 44,828,197 | 2,516,000 | 988,000 | — | — | ||||||||||||
$ | 323,173,105 | $ | 311,323,213 | $ | 19,785,664 | $ | 26,599,054 | $ | 5,893,283 | $ | 316,088 | |||||||
Growth Allocation Fund I | ||||||||||||||||||
Money Market Fund | $ | 2,782,247 | $ | 3,084,385 | $ | 8,284,293 | $ | 7,982,155 | $ | 1,669 | $ | — | ||||||
Low-Duration Bond Fund | 14,605,734 | 15,308,435 | 888,000 | 632,000 | 257,850 | — | ||||||||||||
Medium-Duration Bond Fund | 21,206,796 | 21,796,632 | 686,000 | 1,452,000 | 568,011 | 99,215 | ||||||||||||
Extended-Duration Bond Fund | 8,549,204 | 8,543,804 | 372,000 | 1,060,000 | 464,895 | — | ||||||||||||
Global Bond Fund | 5,146,284 | 5,166,675 | 124,000 | 280,143 | 143,061 | — | ||||||||||||
Equity Index Fund | 9,620,692 | 9,062,900 | 188,000 | 96,000 | 196,400 | — | ||||||||||||
Value Equity Fund | 43,694,274 | 40,675,892 | 1,060,000 | 1,056,000 | 1,101,499 | — | ||||||||||||
Growth Equity Fund | 44,082,873 | 40,657,774 | 1,052,000 | 904,000 | 9,294 | — | ||||||||||||
Small Cap Equity Fund | 10,908,264 | 10,301,011 | 256,000 | 732,000 | — | — | ||||||||||||
International Equity Fund | 47,066,296 | 42,362,346 | 1,438,000 | 560,000 | — | — | ||||||||||||
$ | 207,662,664 | $ | 196,959,854 | $ | 14,348,293 | $ | 14,754,298 | $ | 2,742,679 | $ | 99,215 | |||||||
Aggressive Allocation Fund I | ||||||||||||||||||
Money Market Fund | $ | 2,391,427 | $ | 2,548,645 | $ | 6,500,745 | $ | 6,343,528 | $ | 1,344 | $ | — | ||||||
Equity Index Fund | 8,798,088 | 8,007,350 | 107,000 | 312,000 | 173,526 | — | ||||||||||||
Value Equity Fund | 39,338,327 | 35,485,229 | �� | 244,000 | 1,442,000 | 961,881 | — | |||||||||||
Growth Equity Fund | 39,969,950 | 35,449,570 | 224,000 | 1,553,000 | 8,108 | — | ||||||||||||
Small Cap Equity Fund | 9,950,718 | 9,200,516 | 76,000 | 720,000 | — | — | ||||||||||||
International Equity Fund | 42,547,374 | 38,016,316 | 1,772,000 | 1,208,000 | — | — | ||||||||||||
$ | 142,995,884 | $ | 128,707,626 | $ | 8,923,745 | $ | 11,578,528 | $ | 1,144,859 | $ | — | |||||||
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4. SECURITIES LENDING
Through an agreement with The Northern Trust Company (“Northern Trust”) (the Funds’ custodian) the Select Funds may lend portfolio securities to certain brokers, dealers and other financial institutions that pay the Select Funds a negotiated fee. The Select Funds receive cash or U.S. government securities as collateral against the loaned securities in an amount at least equal to the market value of the loaned securities. The Funds continue to own the loaned securities and the securities remain in the investment portfolio. However, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. Cash collateral has been invested in a short-term money market fund of Northern Trust, an affiliate of the Funds, that invests in securities that satisfy the quality requirements of Rule 2a-7 and have short maturities. At June 30, 2010, the market values of loaned securities and collateral received were as follows:
Fund | Value of Securities Loaned | Value of Cash Collateral | Value of Non-cash Collateral | Total Value of Collateral | ||||||||
Money Market | $ | 49,119,528 | $ | 50,114,950 | $ | — | $ | 50,114,950 | ||||
Low-Duration Bond | 48,230,968 | 49,225,455 | — | 49,225,455 | ||||||||
Medium-Duration Bond | 98,122,970 | 99,215,388 | — | 99,215,388 | ||||||||
Extended-Duration Bond | 46,983,169 | 47,802,134 | — | 47,802,134 | ||||||||
Inflation Protected Bond | 6,391,284 | 6,510,959 | — | 6,510,959 | ||||||||
Global Bond | 34,422,903 | 35,100,002 | 1,025,706 | 36,125,708 | ||||||||
Equity Index | 21,004,266 | 21,700,610 | 856,572 | 22,557,182 | ||||||||
Real Estate Securities | 38,474,825 | 39,867,582 | 12,106 | 39,879,688 | ||||||||
Value Equity | 66,546,899 | 69,117,187 | 12,334 | 69,129,521 | ||||||||
Growth Equity | 113,298,410 | 116,632,429 | — | 116,632,429 | ||||||||
Small Cap Equity | 125,389,098 | 129,679,538 | — | 129,679,538 | ||||||||
International Equity | 128,936,488 | 134,217,415 | — | 134,217,415 |
5. 10% SHAREHOLDERS
The Date Target and Asset Allocation Funds do not invest in the underlying Select Funds for the purpose of exercising management or control; however, investments made by each Date Target and Asset Allocation Fund within each of its principal investment strategies may represent a significant portion of an underlying Select Fund’s net assets. At June 30, 2010, the Date Target and Asset Allocation Funds were the owner of record of the following approximate percentages of the total outstanding shares of the underlying Select Funds as detailed below:
Fund | Low- Duration Bond | Medium- Duration Bond | Extended- Duration Bond | Inflation Protected Bond | Global Bond | Equity Index | Real Estate Securities | Value Equity | Growth Equity | Small Cap Equity | International Equity | ||||||||||||||||||||||
MyDestination 2005 | 1.67 | % | 0.95 | % | 0.06 | % | 8.86 | % | 0.35 | % | 0.33 | % | 1.50 | % | 0.57 | % | 0.59 | % | 0.44 | % | 0.60 | % | |||||||||||
MyDestination 2015 | 2.07 | 2.24 | 1.78 | 22.69 | 4.94 | 1.54 | 10.07 | 2.87 | 2.91 | 2.29 | 3.00 | ||||||||||||||||||||||
MyDestination 2025 | 0.10 | 1.18 | 2.37 | 0.74 | 5.92 | 1.42 | 9.11 | 2.76 | 2.76 | 2.64 | 2.97 | ||||||||||||||||||||||
MyDestination 2035 | — | 0.22 | 0.33 | — | 1.61 | 0.72 | 4.18 | 1.43 | 1.42 | 1.56 | 1.58 | ||||||||||||||||||||||
MyDestination 2045 | — | — | — | — | — | 0.60 | 3.79 | 0.97 | 0.97 | 1.13 | 1.09 | ||||||||||||||||||||||
Conservative Allocation | 21.49 | — | — | 39.84 | 1.38 | — | — | 1.48 | 1.55 | 1.09 | 1.62 | ||||||||||||||||||||||
Balanced Allocation | 20.96 | 19.93 | 16.29 | — | 24.94 | 7.99 | — | 11.96 | 12.01 | 8.47 | 12.40 | ||||||||||||||||||||||
Growth Allocation | 7.67 | 7.23 | 5.88 | — | 9.11 | 8.68 | — | 13.15 | 13.18 | 9.27 | 13.44 | ||||||||||||||||||||||
Aggressive Allocation | — | — | — | — | — | 9.97 | — | 14.91 | 14.94 | 10.80 | 15.68 | ||||||||||||||||||||||
Conservative Allocation I | 7.68 | — | — | 9.44 | — | 0.47 | — | 0.69 | 0.58 | 0.39 | 0.50 | ||||||||||||||||||||||
Balanced Allocation I | 9.23 | 10.55 | 10.72 | — | 7.29 | 4.40 | — | 6.86 | 5.57 | 3.72 | 4.67 | ||||||||||||||||||||||
Growth Allocation I | 2.95 | 3.34 | 3.37 | — | 2.32 | 4.18 | — | 6.59 | 5.33 | 3.55 | 4.41 | ||||||||||||||||||||||
Aggressive Allocation I | — | — | — | — | — | 3.69 | — | 5.75 | 4.65 | 3.17 | 3.96 |
166
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NOTES TO FINANCIAL STATEMENTS (Unaudited)—(Continued)
6. INVESTMENT TRANSACTIONS
For the period ended June 30, 2010, the cost of purchases and proceeds from sales and maturities for each Fund were as follows:
Cost of Purchases and Proceeds from Sales and Maturities of Long-Term Securities (other than U.S. Government Obligations) | Cost of Purchases and Proceeds from Sales and Maturities of Long-Term U.S. Government Obligations | |||||||||||
Purchases | Sale and Maturity Proceeds | Purchases | Sale and Maturity Proceeds | |||||||||
MyDestination 2005 | $ | 6,620,431 | $ | 10,510,991 | $ | — | $ | — | ||||
MyDestination 2015 | 28,750,378 | 14,057,500 | 9,600,762 | 9,568,007 | ||||||||
MyDestination 2025 | 25,089,976 | 8,186,500 | 4,955,195 | 5,140,521 | ||||||||
MyDestination 2035 | 12,853,808 | 4,290,400 | 1,164,539 | 1,216,900 | ||||||||
MyDestination 2045 | 10,640,054 | 511,000 | — | — | ||||||||
Conservative Allocation | 4,800,000 | 8,127,155 | 25,776,261 | 21,757,164 | ||||||||
Balanced Allocation | 19,870,000 | 45,000,000 | 57,613,482 | 60,715,019 | ||||||||
Growth Allocation | 7,983,000 | 30,158,000 | 20,397,118 | 20,826,700 | ||||||||
Aggressive Allocation | 7,250,000 | 20,772,500 | — | — | ||||||||
Conservative Allocation I | 3,283,000 | 1,374,000 | — | — | ||||||||
Balanced Allocation I | 8,198,000 | 13,600,000 | 17,426,216 | 15,394,036 | ||||||||
Growth Allocation I | 6,064,000 | 6,772,143 | 5,267,318 | 5,216,409 | ||||||||
Aggressive Allocation I | 2,423,000 | 5,235,000 | — | — | ||||||||
Low-Duration Bond | 332,539,099 | 414,840,843 | 254,720,489 | 213,243,498 | ||||||||
Medium-Duration Bond | 1,285,452,136 | 1,420,559,724 | 328,875,114 | 204,418,802 | ||||||||
Extended-Duration Bond | 70,680,473 | 72,281,077 | 26,683,994 | 26,660,659 | ||||||||
Inflation Protected Bond | — | — | 53,049,797 | 38,760,795 | ||||||||
Global Bond | 35,978,693 | 43,057,844 | 4,850,614 | 2,769,011 | ||||||||
Equity Index | 10,452,818 | 9,568,226 | — | — | ||||||||
Real Estate Securities | 69,928,474 | 66,011,921 | — | — | ||||||||
Value Equity | 265,427,710 | 301,907,124 | — | — | ||||||||
Growth Equity | 360,176,117 | 435,708,576 | — | — | ||||||||
Small Cap Equity | 291,687,510 | 292,316,950 | 14,846,123 | 15,589,176 | ||||||||
International Equity | 360,256,003 | 360,143,050 | — | — |
Futures Contracts
Investments as of June 30, 2010, included cash and securities that were valued and pledged as collateral to cover initial margin deposits. The market value of the open futures contracts is as follows:
Open Long (Short) Contracts | Market Value of Contracts | Net Unrealized Appreciation (Depreciation) on Futures | |||||||
MyDestination 2015 Fund | |||||||||
September 2010 S&P 500® E-Mini | 53 | $ | 2,720,490 | $ | (105,929 | ) | |||
MyDestination 2025 Fund | |||||||||
September 2010 S&P 500® E-Mini | 41 | $ | 2,104,530 | $ | (90,396 | ) | |||
MyDestination 2035 Fund | |||||||||
September 2010 S&P 500® E-Mini | 30 | $ | 1,539,900 | $ | (66,752 | ) | |||
MyDestination 2045 Fund | |||||||||
September 2010 S&P 500® E-Mini | 26 | $ | 1,334,580 | $ | (49,666 | ) | |||
Conservative Allocation Fund | |||||||||
September 2010 S&P 500® | 5 | $ | 1,283,250 | $ | (50,509 | ) | |||
Balanced Allocation Fund | |||||||||
September 2010 S&P 500® | 45 | $ | 11,549,250 | $ | (517,229 | ) | |||
Growth Allocation Fund | |||||||||
September 2010 S&P 500® | 46 | $ | 11,805,900 | $ | (523,521 | ) | |||
167
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NOTES TO FINANCIAL STATEMENTS (Unaudited)—(Continued)
Open Long (Short) Contracts | Market Value of Contracts | Net Unrealized Appreciation (Depreciation) on Futures | ||||||||
Aggressive Allocation Fund | ||||||||||
September 2010 S&P 500® | 48 | $ | 12,319,200 | $ | (567,329 | ) | ||||
Balanced Allocation Fund I | ||||||||||
September 2010 S&P 500® E-Mini | 60 | $ | 3,079,800 | $ | (56,514 | ) | ||||
Growth Allocation Fund I | ||||||||||
September 2010 S&P 500® E-Mini | 65 | $ | 3,336,450 | $ | (92,345 | ) | ||||
Aggressive Allocation Fund I | ||||||||||
September 2010 S&P 500® E-Mini | 53 | $ | 2,720,490 | $ | (79,069 | ) | ||||
Low-Duration Bond Fund | ||||||||||
September 2010 90-Day EURIBOR | 41 | $ | 12,418,298 | $ | (245 | ) | ||||
September 2010 90-Day Euro | 343 | 85,188,338 | 38,775 | |||||||
September 2010 90-Day Euro | (9 | ) | 2,235,263 | 2,585 | ||||||
September 2010 2-Year U.S.Treasury Note | 359 | 78,559,297 | 277,601 | |||||||
September 2010 5-Year U.S.Treasury Note | (74 | ) | 8,758,016 | (82,926 | ) | |||||
September 2010 10-Year U.S.Treasury Note | (62 | ) | 7,375,555 | (85,715 | ) | |||||
December 2010 90-Day EURIBOR | 137 | 41,440,841 | 47,936 | |||||||
December 2010 90-Day Euro | (9 | ) | 2,232,675 | (727 | ) | |||||
March 2011 90-Day Euro | (9 | ) | 2,231,100 | (6,702 | ) | |||||
June 2011 90-Day EURIBOR | 3 | 906,455 | 5,090 | |||||||
June 2011 90-Day Euro | (7 | ) | 1,733,550 | (10,009 | ) | |||||
September 2011 90-Day Euro | (6 | ) | 1,483,725 | (11,756 | ) | |||||
December 2011 90-Day Euro | (6 | ) | 1,480,650 | (13,893 | ) | |||||
March 2012 90-Day Euro | (7 | ) | 1,723,925 | (17,921 | ) | |||||
June 2012 90-Day Euro | (2 | ) | 491,400 | (5,431 | ) | |||||
September 2012 90-Day Euro | (2 | ) | 490,250 | (5,706 | ) | |||||
December 2012 90-Day Euro | (2 | ) | 489,050 | (5,881 | ) | |||||
March 2013 90-Day Euro | (2 | ) | 488,025 | (6,031 | ) | |||||
$ | 119,044 | |||||||||
Medium-Duration Bond Fund | ||||||||||
September 2010 10-Year U.S.Treasury Note | 88 | $ | 26,653,908 | $ | 5,900 | |||||
September 2010 5-Year U.S.Treasury Note | 504 | 125,174,700 | 1,097,941 | |||||||
September 2010 90-Day EURIBOR | 130 | 15,385,703 | 101,032 | |||||||
September 2010 90-Day Euro | (270 | ) | 33,087,656 | (483,345 | ) | |||||
September 2010 U.S. LongTreasury Bond | 163 | 20,782,500 | 582,749 | |||||||
September 2010 U.S. LongTreasury Bond | (93 | ) | 11,857,500 | (195,396 | ) | |||||
September 2010 U.S. Ultra LongTreasury Bond | 36 | 4,889,250 | 130,906 | |||||||
December 2010 90-Day EURIBOR | 138 | 41,743,329 | 38,138 | |||||||
June 2011 90-Day EURIBOR | 6 | 1,812,910 | 10,180 | |||||||
$ | 1,288,105 | |||||||||
Inflation Protected Bond Fund | ||||||||||
September 2010 2-Year U.S.Treasury Note | 9 | $ | 1,969,453 | $ | 6,027 | |||||
September 2010 5-Year U.S.Treasury Note | (8 | ) | 946,813 | (7,580 | ) |
168
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NOTES TO FINANCIAL STATEMENTS (Unaudited)—(Continued)
Open Long (Short) Contracts | Market Value of Contracts | Net Unrealized Appreciation (Depreciation) on Futures | |||||||||
September 2010 10-Year U.S.Treasury Note | 11 | $ | 1,348,016 | $ | 13,953 | ||||||
September 2010 U.S. LongTreasury Bond | (8 | ) | 1,020,000 | (18,122 | ) | ||||||
$ | (5,722 | ) | |||||||||
Global Bond Fund | |||||||||||
September 2010 90-Day Sterling | (4 | ) | $ | 723,442 | $ | (10,287 | ) | ||||
September 2010 5-Year U.S.Treasury Note | (1 | ) | 118,352 | (1,417 | ) | ||||||
September 2010 10-Year U.S.Treasury Note | (11 | ) | 1,348,016 | (20,833 | ) | ||||||
September 2010 Euro-BOBL | (27 | ) | 3,992,088 | (7,465 | ) | ||||||
September 2010 Euro-Bund | (35 | ) | 5,537,872 | (17,166 | ) | ||||||
September 2010 U.S. LongTreasury Bond | (2 | ) | 255,000 | (7,007 | ) | ||||||
$ | (64,175 | ) | |||||||||
Equity Index Fund | |||||||||||
September 2010 S&P 500® | 26 | $ | 6,672,900 | $ | (309,910 | ) | |||||
Real Estate Securities Fund | |||||||||||
September 2010 Russell 2000® IMM-Mini | 99 | $ | 6,017,220 | $ | (283,678 | ) | |||||
Value Equity Fund | |||||||||||
September 2010 S&P 500® | 123 | $ | 31,567,950 | $ | (1,459,985 | ) | |||||
September 2010 S&P 500® E-Mini | 27 | 1,385,910 | (42,613 | ) | |||||||
$ | (1,502,598 | ) | |||||||||
Growth Equity Fund | |||||||||||
September 2010 S&P 500® | 247 | $ | 63,392,550 | $ | (3,032,725 | ) | |||||
Small Cap Equity Fund | |||||||||||
September 2010 90-Day Euro | 12 | $ | 2,980,350 | $ | 4,536 | ||||||
September 2010 2-Year U.S.Treasury Note | (1 | ) | 218,828 | (159 | ) | ||||||
September 2010 5-Year U.S.Treasury Note | 27 | 3,195,492 | 39,045 | ||||||||
September 2010 10-Year U.S.Treasury Note | (29 | ) | 3,553,859 | (20,704 | ) | ||||||
September 2010 Russell 2000® IMM-Mini | 916 | 55,674,480 | (3,000,618 | ) | |||||||
September 2010 U.S. LongTreasury Bond | (13 | ) | 1,657,500 | (67,956 | ) | ||||||
$ | (3,045,856 | ) | |||||||||
International Equity Fund | |||||||||||
July 2010 AEX Index | 41 | $ | 3,173,670 | $ | (189,928 | ) | |||||
July 2010 CAC40 Index | 57 | 2,399,164 | (167,389 | ) | |||||||
July 2010 Hang Seng Index | (15 | ) | 3,645,973 | 65,768 | |||||||
July 2010 IBEX 35 | 8 | 900,020 | (37,478 | ) | |||||||
July 2010 MSCI Singapore Index | 1 | 2,369,262 | (410 | ) | |||||||
July 2010 OMX Index | (31 | ) | 400,752 | 13,586 | |||||||
September 2010 DAX Index | 13 | 35,510,400 | (91,506 | ) | |||||||
September 2010 FTSE 100 Index® | 50 | 11,577,750 | (250,334 | ) | |||||||
September 2010 MSCI EAFE Index E-Mini | 540 | 2,247,444 | (1,635,430 | ) | |||||||
September 2010 MSCI Emerging Markets E-Mini | 258 | 4,546,638 | (364,949 | ) | |||||||
September 2010 S&P MIB Index | 19 | 1,933,921 | (136,509 | ) | |||||||
September S&P/TSE 60 Index | (10 | ) | 1,238,458 | 51,446 | |||||||
September 2010 SPI 200 Index® | (60 | ) | 5,381,314 | 344,943 | |||||||
September 2010 Swiss Synthetic Future | 70 | 48,038 | �� | (4,169 | ) | ||||||
September 2010 Swiss Synthetic Future | (70 | ) | (4,642,659 | ) | (14,700 | ) | |||||
September 2010 TOPIX Index® | (12 | ) | 1,138,042 | 48,910 | |||||||
$ | (2,368,149 | ) | |||||||||
169
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NOTES TO FINANCIAL STATEMENTS (Unaudited)—(Continued)
Forward Foreign Currency Contracts
As of June 30, 2010, the following Funds have forward foreign currency exchange contracts that obligate them to deliver currencies at specified future dates. The unrealized appreciation and/or depreciation on these contracts is included in the accompanying financial statements. The terms of the open contracts are as follows:
Fund/ Expiration Date | Currency to be Delivered | Counter- party | Amount of Currency to be Delivered | Currency to be Received | Amount of Currency to be Received | Net Unrealized Appreciation (Depreciation) | ||||||||
Low-Duration Bond Fund |
| |||||||||||||
07/07/10 | Canadian Dollars | UBS | 21,339,000 | U.S. Dollars | 20,044,233 | $ | 1,172,052 | |||||||
07/12/10 | Euro | CITI | 7,637,000 | U.S. Dollars | 9,339,447 | (195,437 | ) | |||||||
07/14/10 | Euro | CITI | 230,000 | U.S. Dollars | 281,274 | 7,174 | ||||||||
07/14/10 | Euro | DEUT | 1,601,500 | U.S. Dollars | 1,958,526 | 15,671 | ||||||||
07/14/10 | Euro | BNP | 6,222,500 | U.S. Dollars | 7,609,696 | 199,592 | ||||||||
07/14/10 | Japanese Yen | RBC | 3,283,000 | U.S. Dollars | 37,140 | (1,245 | ) | |||||||
07/14/10 | U.S. Dollars | MLCS | 242,385 | Euro | 198,200 | (1,670 | ) | |||||||
07/14/10 | U.S. Dollars | CITI | 2,067,978 | Euro | 1,691,000 | (7,486 | ) | |||||||
07/26/10 | U.S. Dollars | RBC | 182,227 | Euro | 149,000 | (4,202 | ) | |||||||
07/26/10 | U.S. Dollars | MSCS | 557,688 | Euro | 456,000 | 10,511 | ||||||||
07/28/10 | South Korean Won | RBS | 91,970,000 | U.S. Dollars | 75,189 | 522 | ||||||||
07/28/10 | South Korean Won | BAR | 95,250,000 | U.S. Dollars | 77,871 | 2,502 | ||||||||
07/28/10 | South Korean Won | CITI | 201,940,000 | U.S. Dollars | 165,094 | 3,077 | ||||||||
07/28/10 | U.S. Dollars | BAR | 407,855 | South Korean Won | 498,880,000 | 7,855 | ||||||||
07/30/10 | Australian Dollars | JPM | 5,000 | U.S. Dollars | 4,193 | 147 | ||||||||
08/03/10 | Brazilian Reals | MSCS | 32,825 | U.S. Dollars | 18,053 | (1,053 | ) | |||||||
08/03/10 | Brazilian Reals | HKSB | 47,728 | U.S. Dollars | 26,248 | (1,248 | ) | |||||||
08/03/10 | Brazilian Reals | HKSB | 78,359 | U.S. Dollars | 43,094 | (2,094 | ) | |||||||
08/03/10 | U.S. Dollars | GSC | 1,065,172 | Brazilian Reals | 1,936,820 | 1,482 | ||||||||
08/24/10 | Euro | CITI | 6,360,000 | U.S. Dollars | 7,779,579 | 72,096 | ||||||||
09/23/10 | United Kingdom Pounds | RBS | 744,000 | U.S. Dollars | 1,111,563 | (10,859 | ) | |||||||
11/12/10 | South Korean Won | RBS | 206,272,500 | U.S. Dollars | 168,270 | 6,730 | ||||||||
11/12/10 | South Korean Won | RBS | 206,237,500 | U.S. Dollars | 168,242 | 6,758 | ||||||||
11/12/10 | South Korean Won | CITI | 272,771,000 | U.S. Dollars | 222,518 | 8,009 | ||||||||
11/12/10 | South Korean Won | BAR | 279,471,000 | U.S. Dollars | 227,983 | 8,056 | ||||||||
11/12/10 | South Korean Won | RBS | 273,150,000 | U.S. Dollars | 222,827 | 8,206 | ||||||||
11/12/10 | U.S. Dollars | RBS | 75,026 | South Korean Won | 91,970,000 | (505 | ) | |||||||
11/12/10 | U.S. Dollars | JPM | 66,282 | South Korean Won | 81,251,400 | (2,476 | ) | |||||||
11/12/10 | U.S. Dollars | BAR | 77,702 | South Korean Won | 95,250,000 | (2,522 | ) | |||||||
11/12/10 | U.S. Dollars | GSC | 57,414 | South Korean Won | 70,380,000 | (2,586 | ) | |||||||
11/12/10 | U.S. Dollars | CITI | 57,159 | South Korean Won | 70,068,000 | (2,841 | ) | |||||||
11/12/10 | U.S. Dollars | MLCS | 164,736 | South Korean Won | 201,940,000 | (3,100 | ) | |||||||
11/12/10 | U.S. Dollars | CITI | 56,728 | South Korean Won | 69,540,000 | (3,272 | ) |
170
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Fund/ Expiration Date | Currency to be Delivered | Counter- party | Amount of Currency to be Delivered | Currency to be Received | Amount of Currency to be Received | Net Unrealized Appreciation (Depreciation) | ||||||||
11/12/10 | U.S. Dollars | BAR | 96,114 | South Korean Won | 117,820,000 | $ | (3,886 | ) | ||||||
11/12/10 | U.S. Dollars | BAR | 95,967 | South Korean Won | 117,640,000 | (4,033 | ) | |||||||
11/12/10 | U.S. Dollars | CITI | 114,299 | South Korean Won | 140,112,000 | (5,701 | ) | |||||||
11/12/10 | U.S. Dollars | JPM | 124,062 | South Korean Won | 152,080,500 | (5,938 | ) | |||||||
11/12/10 | U.S. Dollars | CITI | 123,999 | South Korean Won | 152,002,500 | (6,001 | ) | |||||||
11/12/10 | U.S. Dollars | DEUT | 113,809 | South Korean Won | 139,512,000 | (6,191 | ) | |||||||
11/12/10 | U.S. Dollars | CITI | 113,741 | South Korean Won | 139,428,000 | (6,259 | ) | |||||||
11/12/10 | U.S. Dollars | CITI | 122,456 | South Korean Won | 150,111,000 | (7,544 | ) | |||||||
11/12/10 | U.S. Dollars | MSCS | 225,367 | South Korean Won | 276,264,000 | (14,633 | ) | |||||||
11/12/10 | U.S. Dollars | JPM | 224,320 | South Korean Won | 274,980,000 | (15,680 | ) | |||||||
11/12/10 | U.S. Dollars | UBS | 661,899 | South Korean Won | 811,382,000 | (53,101 | ) | |||||||
11/17/10 | Chinese Yuan Renminbi | BAR | 5,303,151 | U.S. Dollars | 784,798 | 4,949 | ||||||||
11/17/10 | Chinese Yuan Renminbi | CITI | 7,223,298 | U.S. Dollars | 1,068,955 | 9,793 | ||||||||
11/17/10 | Chinese Yuan Renminbi | BAR | 8,799,062 | U.S. Dollars | 1,302,148 | 10,753 | ||||||||
11/17/10 | U.S. Dollars | GSC | 1,025,616 | Chinese Yuan Renminbi | 6,930,440 | (19,384 | ) | |||||||
11/17/10 | U.S. Dollars | DEUT | 2,130,285 | Chinese Yuan Renminbi | 14,395,071 | (38,627 | ) | |||||||
11/23/10 | Chinese Yuan Renminbi | UBS | 1,994,287 | U.S. Dollars | 295,204 | 1,367 | ||||||||
11/23/10 | Chinese Yuan Renminbi | DEUT | 2,490,051 | U.S. Dollars | 368,589 | 2,065 | ||||||||
11/23/10 | Chinese Yuan Renminbi | JPM | 2,633,576 | U.S. Dollars | 389,834 | 2,242 | ||||||||
11/23/10 | Chinese Yuan Renminbi | BTAB | 2,587,605 | U.S. Dollars | 383,030 | 2,317 | ||||||||
11/23/10 | Chinese Yuan Renminbi | CITI | 2,599,860 | U.S. Dollars | 384,844 | 2,328 | ||||||||
11/23/10 | Chinese Yuan Renminbi | BAR | 2,728,670 | U.S. Dollars | 403,911 | 2,389 | ||||||||
11/23/10 | Chinese Yuan Renminbi | JPM | 3,155,229 | U.S. Dollars | 467,052 | 3,948 | ||||||||
11/23/10 | U.S. Dollars | BAR | 156,031 | Chinese Yuan Renminbi | 1,054,091 | (2,969 | ) | |||||||
11/23/10 | U.S. Dollars | JPM | 2,536,431 | Chinese Yuan Renminbi | 17,135,189 | (43,392 | ) | |||||||
01/10/11 | U.S. Dollars | JPM | 84,231 | Chinese Yuan Renminbi | 567,800 | (769 | ) | |||||||
01/14/11 | U.S. Dollars | UBS | 193,158 | Taiwan Dollars | 6,116,000 | 193 | ||||||||
01/14/11 | U.S. Dollars | BTAB | 88,319 | Taiwan Dollars | 2,796,480 | (514 | ) | |||||||
01/14/11 | U.S. Dollars | JPM | 231,688 | Taiwan Dollars | 7,336,000 | (611 | ) | |||||||
01/14/11 | U.S. Dollars | MSCS | 356,660 | Taiwan Dollars | 11,293,000 | (2,704 | ) | |||||||
01/14/11 | U.S. Dollars | DEUT | 290,084 | Taiwan Dollars | 9,185,000 | (6,829 | ) | |||||||
04/07/11 | U.S. Dollars | JPM | 493,179 | Chinese Yuan Renminbi | 3,309,368 | (5,821 | ) | |||||||
04/28/11 | U.S. Dollars | MLCS | 142,091 | Chinese Yuan Renminbi | 952,416 | (1,909 | ) | |||||||
04/28/11 | U.S. Dollars | JPM | 169,745 | Chinese Yuan Renminbi | 1,137,780 | (2,255 | ) | |||||||
06/15/11 | U.S. Dollars | HSBC | 47,738 | Chinese Yuan Renminbi | 319,176 | (262 | ) | |||||||
11/04/11 | U.S. Dollars | DEUT | 376,068 | Chinese Yuan Renminbi | 2,490,150 | (13,932 | ) | |||||||
02/13/12 | U.S. Dollars | UBS | 303,315 | Chinese Yuan Renminbi | 1,994,287 | (6,381 | ) | |||||||
02/13/12 | U.S. Dollars | DEUT | 363,243 | Chinese Yuan Renminbi | 2,388,307 | (7,411 | ) | |||||||
02/13/12 | U.S. Dollars | CITI | 379,637 | Chinese Yuan Renminbi | 2,496,098 | (7,535 | ) | |||||||
02/13/12 | U.S. Dollars | BTAB | 377,613 | Chinese Yuan Renminbi | 2,482,791 | (7,734 | ) | |||||||
02/13/12 | U.S. Dollars | JPM | 384,237 | Chinese Yuan Renminbi | 2,526,343 | (7,839 | ) |
171
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NOTES TO FINANCIAL STATEMENTS (Unaudited)—(Continued)
Fund/ Expiration Date | Currency to be Delivered | Counter- party | Amount of Currency to be Delivered | Currency to be Received | Amount of Currency to be Received | Net Unrealized Appreciation (Depreciation) | ||||||||
02/13/12 | U.S. Dollars | BAR | 398,454 | Chinese Yuan Renminbi | 2,619,822 | $ | (7,846 | ) | ||||||
02/13/12 | U.S. Dollars | JPM | 460,687 | Chinese Yuan Renminbi | 3,029,001 | (10,313 | ) | |||||||
02/13/12 | U.S. Dollars | CITI | 773,236 | Chinese Yuan Renminbi | 5,083,996 | (16,511 | ) | |||||||
02/13/12 | U.S. Dollars | CITI | 1,098,606 | Chinese Yuan Renminbi | 7,223,298 | (25,467 | ) | |||||||
02/13/12 | U.S. Dollars | BAR | 1,338,268 | Chinese Yuan Renminbi | 8,799,062 | (29,533 | ) | |||||||
$ | 934,673 | |||||||||||||
Medium-Duration Bond Fund | ||||||||||||||
07/07/10 | Canadian Dollars | UBS | 12,672,000 | U.S. Dollars | 11,903,112 | $ | 696,014 | |||||||
07/14/10 | Japanese Yen | RBC | 101,228,000 | U.S. Dollars | 1,145,178 | (38,402 | ) | |||||||
07/15/10 | Euro | CS | 1,003,172 | U.S. Dollars | 1,226,818 | (25,408 | ) | |||||||
07/26/10 | U.S. Dollars | RBC | 320,426 | Euro | 262,000 | (3,961 | ) | |||||||
07/26/10 | U.S. Dollars | MSCS | 1,172,857 | Euro | 959,000 | (27,043 | ) | |||||||
07/26/10 | U.S. Dollars | MSCS | 629,845 | Euro | 515,000 | 11,871 | ||||||||
07/28/10 | South Korean Won | BAR | 504,980,000 | U.S. Dollars | 412,842 | 13,265 | ||||||||
07/28/10 | South Korean Won | RBS | 1,070,640,000 | U.S. Dollars | 875,293 | 16,312 | ||||||||
07/28/10 | South Korean Won | RBS | 487,580,000 | U.S. Dollars | 398,617 | 2,766 | ||||||||
07/28/10 | U.S. Dollars | BAR | 490,133 | South Korean Won | 599,520,000 | 10,133 | ||||||||
07/28/10 | U.S. Dollars | BAR | 1,672,208 | South Korean Won | 2,045,408,000 | 32,208 | ||||||||
08/03/10 | Brazilian Reals | HKSB | 227,846 | U.S. Dollars | 125,306 | (7,306 | ) | |||||||
08/03/10 | Brazilian Reals | MSCS | 561,893 | U.S. Dollars | 309,018 | (15,018 | ) | |||||||
08/03/10 | Brazilian Reals | HKSB | 337,911 | U.S. Dollars | 185,837 | (8,837 | ) | |||||||
08/03/10 | U.S. Dollars | GSC | 2,226,207 | Brazilian Reals | 4,047,949 | 3,097 | ||||||||
08/17/10 | Canadian Dollars | CS | 1,842,980 | U.S. Dollars | 1,730,713 | 56,679 | ||||||||
08/17/10 | Euro | CITI | 6,278,657 | U.S. Dollars | 7,679,764 | 298,400 | ||||||||
08/17/10 | Euro | UBS | 824,514 | U.S. Dollars | 1,008,507 | 67,636 | ||||||||
08/17/10 | Euro | CITI | 2,950,000 | U.S. Dollars | 3,608,304 | 152,622 | ||||||||
08/17/10 | Japanese Yen | GSC | 177,156,160 | U.S. Dollars | 2,005,277 | (132,333 | ) | |||||||
08/17/10 | Japanese Yen | CITI | 156,230,000 | U.S. Dollars | 1,768,408 | (55,923 | ) | |||||||
08/17/10 | U.S. Dollars | JPM | 1,103,615 | Canadian Dollars | 1,175,203 | (40,403 | ) | |||||||
08/17/10 | U.S. Dollars | CITIC | 956,213 | Euro | 781,760 | (37,060 | ) | |||||||
08/17/10 | U.S. Dollars | CITI | 3,755,083 | Euro | 3,070,000 | (30,166 | ) | |||||||
08/17/10 | U.S. Dollars | CITI | 829,339 | Euro | 678,033 | (32,882 | ) | |||||||
08/24/10 | Euro | CITI | 9,517,000 | U.S. Dollars | 11,641,234 | 107,883 | ||||||||
09/23/10 | United Kingdom Pounds | RBS | 1,065,000 | U.S. Dollars | 1,591,148 | (15,545 | ) | |||||||
09/24/10 | U.S. Dollars | HSBC | 92,094 | Mexican Pesos | 1,202,254 | (1,187 | ) | |||||||
10/12/10 | U.S. Dollars | SSB | 2,608 | Malaysian Ringgits | 8,484 | 130 | ||||||||
11/12/10 | South Korean Won | RBS | 299,389,800 | U.S. Dollars | 244,232 | 9,768 | ||||||||
11/12/10 | South Korean Won | RBS | 299,339,000 | U.S. Dollars | 244,191 | 9,809 | ||||||||
11/12/10 | South Korean Won | SSB | 396,021,000 | U.S. Dollars | 323,061 | 11,628 | ||||||||
11/12/10 | South Korean Won | RBS | 396,571,000 | U.S. Dollars | 323,510 | 11,914 | ||||||||
11/12/10 | South Korean Won | BAR | 405,748,000 | U.S. Dollars | 330,996 | 11,697 | ||||||||
11/12/10 | U.S. Dollars | RBS | 956,282 | South Korean Won | 1,172,248,400 | (76,718 | ) | |||||||
11/12/10 | U.S. Dollars | JPM | 317,786 | South Korean Won | 389,555,000 | (22,214 | ) | |||||||
11/12/10 | U.S. Dollars | MSCS | 328,660 | South Korean Won | 402,885,000 | (21,340 | ) | |||||||
11/12/10 | U.S. Dollars | SSB | 85,093 | South Korean Won | 104,310,000 | (4,907 | ) | |||||||
11/12/10 | U.S. Dollars | SSB | 169,554 | South Korean Won | 207,846,000 | (10,446 | ) | |||||||
11/12/10 | U.S. Dollars | JPM | 171,779 | South Korean Won | 210,573,000 | (8,221 | ) |
172
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NOTES TO FINANCIAL STATEMENTS (Unaudited)—(Continued)
Fund/ Expiration Date | Currency to be Delivered | Counter- party | Amount of Currency to be Delivered | Currency to be Received | Amount of Currency to be Received | Net Unrealized Appreciation (Depreciation) | ||||||||
11/12/10 | U.S. Dollars | SSB | 171,690 | South Korean Won | 210,465,000 | $ | (8,310 | ) | ||||||
11/12/10 | U.S. Dollars | GSC | 86,121 | South Korean Won | 105,570,000 | (3,879 | ) | |||||||
11/12/10 | U.S. Dollars | SSB | 171,448 | South Korean Won | 210,168,000 | (8,552 | ) | |||||||
11/12/10 | U.S. Dollars | SSB | 85,739 | South Korean Won | 105,102,000 | (4,261 | ) | |||||||
11/12/10 | U.S. Dollars | SSB | 170,611 | South Korean Won | 209,142,000 | (9,389 | ) | |||||||
11/12/10 | U.S. Dollars | BTAB | 161,230 | South Korean Won | 197,642,000 | (8,770 | ) | |||||||
11/12/10 | U.S. Dollars | BAR | 96,114 | South Korean Won | 117,820,000 | (3,886 | ) | |||||||
11/12/10 | U.S. Dollars | BAR | 95,967 | South Korean Won | 117,640,000 | (4,033 | ) | |||||||
11/12/10 | U.S. Dollars | JPM | 186,885 | South Korean Won | 229,091,200 | (6,981 | ) | |||||||
11/12/10 | U.S. Dollars | BAR | 411,946 | South Korean Won | 504,980,000 | (13,372 | ) | |||||||
11/12/10 | U.S. Dollars | MLCS | 873,393 | South Korean Won | 1,070,640,000 | (16,434 | ) | |||||||
11/12/10 | U.S. Dollars | RBS | 397,752 | South Korean Won | 487,580,000 | (2,675 | ) | |||||||
11/17/10 | Chinese Yuan Renminbi | BAR | 6,678,947 | U.S. Dollars | 988,398 | 6,233 | ||||||||
11/17/10 | Chinese Yuan Renminbi | SSB | 9,097,230 | U.S. Dollars | 1,346,273 | 12,334 | ||||||||
11/17/10 | Chinese Yuan Renminbi | BAR | 11,081,793 | U.S. Dollars | 1,639,963 | 13,543 | ||||||||
11/17/10 | U.S. Dollars | GSC | 1,508,490 | Chinese Yuan Renminbi | 10,193,384 | (28,511 | ) | |||||||
11/17/10 | U.S. Dollars | DEUT | 2,466,144 | Chinese Yuan Renminbi | 16,664,586 | (44,717 | ) | |||||||
11/23/10 | Chinese Yuan Renminbi | BAR | 3,462,960 | U.S. Dollars | 512,604 | 3,032 | ||||||||
11/23/10 | Chinese Yuan Renminbi | CITI | 3,283,937 | U.S. Dollars | 486,104 | 2,941 | ||||||||
11/23/10 | Chinese Yuan Renminbi | BTAB | 3,299,482 | U.S. Dollars | 488,405 | 2,955 | ||||||||
11/23/10 | Chinese Yuan Renminbi | JPM | 3,999,303 | U.S. Dollars | 591,996 | 5,004 | ||||||||
11/23/10 | Chinese Yuan Renminbi | JPM | 3,161,881 | U.S. Dollars | 468,037 | 2,622 | ||||||||
11/23/10 | Chinese Yuan Renminbi | DEUT | 3,344,130 | U.S. Dollars | 495,014 | 2,847 | ||||||||
11/23/10 | Chinese Yuan Renminbi | UBS | 2,532,357 | U.S. Dollars | 374,851 | 1,735 | ||||||||
11/23/10 | U.S. Dollars | BAR | 180,565 | Chinese Yuan Renminbi | 1,219,828 | (3,435 | ) | |||||||
11/23/10 | U.S. Dollars | JPM | 3,236,445 | Chinese Yuan Renminbi | 21,864,223 | (55,368 | ) | |||||||
01/10/11 | U.S. Dollars | JPM | 121,888 | Chinese Yuan Renminbi | 821,640 | (1,112 | ) | |||||||
01/14/11 | U.S. Dollars | DEUT | 379,620 | Taiwan Dollars | 12,020,000 | (8,937 | ) | |||||||
01/14/11 | U.S. Dollars | MSCS | 466,756 | Taiwan Dollars | 14,779,000 | (3,539 | ) | |||||||
01/14/11 | U.S. Dollars | UBS | 252,754 | Taiwan Dollars | 8,003,000 | 253 | ||||||||
01/14/11 | U.S. Dollars | JPM | 303,222 | Taiwan Dollars | 9,601,000 | (799 | ) | |||||||
01/14/11 | U.S. Dollars | BTAB | 115,591 | Taiwan Dollars | 3,659,980 | (673 | ) | |||||||
04/07/11 | U.S. Dollars | JPM | 590,036 | Chinese Yuan Renminbi | 3,959,304 | (6,964 | ) | |||||||
04/28/11 | U.S. Dollars | MLCS | 279,248 | Chinese Yuan Renminbi | 1,871,762 | (3,752 | ) | |||||||
04/28/11 | U.S. Dollars | JPM | 336,530 | Chinese Yuan Renminbi | 2,255,715 | (4,470 | ) | |||||||
06/15/11 | U.S. Dollars | HKSB | 984,606 | Chinese Yuan Renminbi | 6,583,005 | (5,394 | ) | |||||||
11/04/11 | U.S. Dollars | BTAB | 776,244 | Chinese Yuan Renminbi | 5,139,925 | (28,756 | ) | |||||||
02/13/12 | U.S. Dollars | CITI | 973,836 | Chinese Yuan Renminbi | 6,402,937 | (20,795 | ) | |||||||
02/13/12 | U.S. Dollars | BTAB | 505,679 | Chinese Yuan Renminbi | 3,324,821 | (9,957 | ) | |||||||
02/13/12 | U.S. Dollars | BAR | 481,797 | Chinese Yuan Renminbi | 3,167,798 | (9,563 | ) | |||||||
02/13/12 | U.S. Dollars | CITI | 479,230 | Chinese Yuan Renminbi | 3,150,917 | (9,815 | ) |
173
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NOTES TO FINANCIAL STATEMENTS (Unaudited)—(Continued)
Fund/ Expiration Date | Currency to be Delivered | Counter- party | Amount of Currency to be Delivered | Currency to be Received | Amount of Currency to be Received | Net Unrealized Appreciation (Depreciation) | ||||||||
02/13/12 | U.S. Dollars | BAR | 1,383,617 | Chinese Yuan Renminbi | 9,097,230 | $ | (32,075 | ) | ||||||
02/13/12 | U.S. Dollars | JPM | 1,685,453 | Chinese Yuan Renminbi | 11,081,793 | (37,195 | ) | |||||||
02/13/12 | U.S. Dollars | CITI | 583,928 | Chinese Yuan Renminbi | 3,839,307 | (13,072 | ) | |||||||
02/13/12 | U.S. Dollars | JPM | 461,247 | Chinese Yuan Renminbi | 3,032,686 | (9,411 | ) | |||||||
02/13/12 | U.S. Dollars | DEUT | 487,906 | Chinese Yuan Renminbi | 3,207,965 | (9,955 | ) | |||||||
02/13/12 | U.S. Dollars | UBS | 385,152 | Chinese Yuan Renminbi | 2,532,357 | (8,102 | ) | |||||||
$ | 515,102 | |||||||||||||
Global Bond Fund | ||||||||||||||
08/17/10 | Australian Dollars | JPM | 760,000 | U.S. Dollars | 636,042 | $ | 45,966 | |||||||
08/17/10 | Australian Dollars | CS | 2,020,000 | U.S. Dollars | 1,690,534 | 121,507 | ||||||||
08/17/10 | Australian Dollars | SSB | 631,336 | U.S. Dollars | 528,364 | 26,896 | ||||||||
08/17/10 | Canadian Dollars | CS | 1,380,000 | U.S. Dollars | 1,295,936 | 39,177 | ||||||||
08/17/10 | Euro | CITIC | 564,482 | U.S. Dollars | 690,448 | 42,701 | ||||||||
08/17/10 | Euro | JPM | 5,621,634 | U.S. Dollars | 6,876,124 | 401,251 | ||||||||
08/17/10 | Euro | CITI | 1,808,255 | U.S. Dollars | 2,211,775 | 89,737 | ||||||||
08/17/10 | Euro | UBS | 7,697,336 | U.S. Dollars | 9,415,027 | 365,824 | ||||||||
08/17/10 | Euro | UBS | 880,000 | U.S. Dollars | 1,076,375 | 16,998 | ||||||||
08/17/10 | Japanese Yen | GSC | 814,754,781 | U.S. Dollars | 9,222,423 | (618,706 | ) | |||||||
08/17/10 | Japanese Yen | SSB | 128,025,470 | U.S. Dollars | 1,449,154 | (59,385 | ) | |||||||
08/17/10 | Japanese Yen | JPM | 153,542,190 | U.S. Dollars | 1,737,984 | (81,522 | ) | |||||||
08/17/10 | Japanese Yen | SG | 168,164,000 | U.S. Dollars | 1,903,492 | (42,654 | ) | |||||||
08/17/10 | Japanese Yen | JPM | 100,016,177 | U.S. Dollars | 1,132,109 | (38,809 | ) | |||||||
08/17/10 | Turkish Lira | CS | 407,987 | U.S. Dollars | 255,642 | 5,053 | ||||||||
08/17/10 | U.S. Dollars | BTAB | 623,998 | Australian Dollars | 745,608 | (44,030 | ) | |||||||
08/17/10 | U.S. Dollars | MSCS | 491,444 | Australian Dollars | 587,221 | (33,901 | ) | |||||||
08/17/10 | U.S. Dollars | CS | 1,548,261 | Australian Dollars | 1,850,000 | (53,099 | ) | |||||||
08/17/10 | U.S. Dollars | CS | 669,518 | Australian Dollars | 800,000 | 1,558 | ||||||||
08/17/10 | U.S. Dollars | JPM | 2,723,414 | Canadian Dollars | 2,900,075 | (99,703 | ) | |||||||
08/17/10 | U.S. Dollars | CITI | 842,468 | Euro | 688,767 | (40,235 | ) | |||||||
08/17/10 | U.S. Dollars | CITI | 1,915,463 | Euro | 1,566,003 | (89,804 | ) | |||||||
08/17/10 | U.S. Dollars | CITI | 2,140,519 | Euro | 1,750,000 | (143,554 | ) | |||||||
08/17/10 | U.S. Dollars | CHASE | 3,180,200 | Euro | 2,600,000 | (122,710 | ) | |||||||
08/17/10 | U.S. Dollars | JPM | 1,636,580 | Euro | 1,338,000 | (19,883 | ) | |||||||
08/17/10 | U.S. Dollars | JPM | 611,577 | Euro | 500,000 | (1,513 | ) | |||||||
08/17/10 | U.S. Dollars | MLCS | 856,208 | Euro | 700,000 | (9,383 | ) | |||||||
08/17/10 | U.S. Dollars | GSC | 10,792,548 | Japanese Yen | 953,467,400 | 712,226 | ||||||||
08/17/10 | U.S. Dollars | CITI | 1,444,338 | Japanese Yen | 127,600,000 | 94,716 | ||||||||
08/17/10 | U.S. Dollars | CS | 667,836 | Japanese Yen | 59,000,000 | 37,495 | ||||||||
08/17/10 | U.S. Dollars | BTAB | 6,794,125 | Japanese Yen | 600,226,840 | 388,768 | ||||||||
08/17/10 | U.S. Dollars | JPM | 4,631,616 | Japanese Yen | 409,180,000 | 185,698 | ||||||||
08/17/10 | U.S. Dollars | GSC | 357,745 | Mexican Pesos | 4,650,275 | (9,627 | ) | |||||||
08/17/10 | U.S. Dollars | JPM | 934,792 | Norwegian Krone | 6,098,710 | (66,112 | ) | |||||||
08/17/10 | U.S. Dollars | GSC | 127,646 | South African Rand | 988,065 | (417 | ) | |||||||
08/17/10 | U.S. Dollars | CS | 255,642 | Turkish Lira | 407,987 | (2,007 | ) | |||||||
08/17/10 | U.S. Dollars | SG | 1,909,107 | United Kingdom Pounds | 1,277,800 | 48,336 |
174
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NOTES TO FINANCIAL STATEMENTS (Unaudited)—(Continued)
Fund/ Expiration Date | Currency to be Delivered | Counter- party | Amount of Currency to be Delivered | Currency to be Received | Amount of Currency to be Received | Net Unrealized Appreciation (Depreciation) | ||||||||
08/17/10 | U.S. Dollars | JPM | 1,102,615 | United Kingdom Pounds | 738,000 | $ | 8,507 | |||||||
08/17/10 | U.S. Dollars | DEUT | 1,195,246 | United Kingdom Pounds | 800,000 | (8,954 | ) | |||||||
08/17/10 | United Kingdom Pounds | GSC | 200,000 | U.S. Dollars | 298,812 | 4,108 | ||||||||
08/17/10 | United Kingdom Pounds | CS | 650,000 | U.S. Dollars | 971,137 | 8,738 | ||||||||
08/17/10 | United Kingdom Pounds | BTAB | 500,000 | U.S. Dollars | 747,029 | 5,471 | ||||||||
08/24/10 | U.S. Dollars | BTAB | 482,393 | South Korean Won | 590,596,400 | (29,079 | ) | |||||||
$ | 1,035,644 | |||||||||||||
Small Cap Equity Fund | ||||||||||||||
08/17/10 | Euro | CITIC | 730,000 | U.S. Dollars | 892,902 | $ | 34,694 | |||||||
08/17/10 | Euro | MLCS | 370,000 | U.S. Dollars | 452,567 | 19,142 | ||||||||
08/17/10 | Japanese Yen | GSC | 23,558,000 | U.S. Dollars | 266,659 | (17,597 | ) | |||||||
08/17/10 | Japanese Yen | CITI | 14,380,000 | U.S. Dollars | 162,771 | (5,147 | ) | |||||||
08/17/10 | U.S. Dollars | CITI | 477,030 | Euro | 390,000 | (3,832 | ) | |||||||
$ | 27,260 | |||||||||||||
International Equity Fund | ||||||||||||||
09/15/10 | Australian Dollars | BAR | 1,753,000 | U.S. Dollars | 1,461,790 | $ | (12,550 | ) | ||||||
09/15/10 | Australian Dollars | BAR | 801,000 | U.S. Dollars | 667,937 | 471 | ||||||||
09/15/10 | Australian Dollars | BAR | 847,000 | U.S. Dollars | 706,296 | 23,422 | ||||||||
09/15/10 | Canadian Dollars | BAR | 129,000 | U.S. Dollars | 121,114 | (988 | ) | |||||||
09/15/10 | Canadian Dollars | BAR | 386,000 | U.S. Dollars | 362,403 | 4,168 | ||||||||
09/15/10 | Canadian Dollars | BAR | 365,000 | U.S. Dollars | 342,687 | 4,312 | ||||||||
09/15/10 | Canadian Dollars | BAR | 564,000 | U.S. Dollars | 529,522 | 14,003 | ||||||||
09/15/10 | Canadian Dollars | BAR | 343,000 | U.S. Dollars | 322,032 | 3,086 | ||||||||
09/15/10 | Canadian Dollars | BAR | 1,201,000 | U.S. Dollars | 1,127,581 | 37,424 | ||||||||
09/15/10 | Canadian Dollars | BAR | 448,000 | U.S. Dollars | 420,613 | 17,045 | ||||||||
09/15/10 | Canadian Dollars | BAR | 846,000 | U.S. Dollars | 794,283 | 13,797 | ||||||||
09/15/10 | Danish Kroner | BAR | 10,000 | U.S. Dollars | 1,642 | 13 | ||||||||
09/15/10 | Danish Kroner | BAR | 1,746,000 | U.S. Dollars | 286,704 | 1,016 | ||||||||
09/15/10 | Danish Kroner | BAR | 94,000 | U.S. Dollars | 15,435 | 175 | ||||||||
09/15/10 | Danish Kroner | BAR | 123,000 | U.S. Dollars | 20,197 | 134 | ||||||||
09/15/10 | Danish Kroner | BAR | 177,000 | U.S. Dollars | 29,065 | (607 | ) | |||||||
09/15/10 | Danish Kroner | BAR | 138,000 | U.S. Dollars | 22,660 | (26 | ) | |||||||
09/15/10 | Danish Kroner | BAR | 191,000 | U.S. Dollars | 31,363 | 439 | ||||||||
09/15/10 | Danish Kroner | BAR | 7,000 | U.S. Dollars | 1,149 | 18 | ||||||||
09/15/10 | Danish Kroner | BAR | 90,000 | U.S. Dollars | 14,779 | 122 | ||||||||
09/15/10 | Danish Kroner | BAR | 61,000 | U.S. Dollars | 10,017 | — | ||||||||
09/15/10 | Euro | BAR | 293,000 | U.S. Dollars | 358,452 | 3,351 | ||||||||
09/15/10 | Euro | BAR | 7,308,000 | U.S. Dollars | 8,940,509 | 12,622 | ||||||||
09/15/10 | Euro | BAR | 307,000 | U.S. Dollars | 375,580 | 2,308 | ||||||||
09/15/10 | Euro | BAR | 20,000 | U.S. Dollars | 24,468 | (74 | ) | |||||||
09/15/10 | Euro | BAR | 366,000 | U.S. Dollars | 447,759 | 6,039 | ||||||||
09/15/10 | Euro | BAR | 343,000 | U.S. Dollars | 419,622 | 3,046 | ||||||||
09/15/10 | Euro | BAR | 215,000 | U.S. Dollars | 263,028 | (470 | ) | |||||||
09/15/10 | Hong Kong Dollars | BAR | 83,000 | U.S. Dollars | 10,665 | (7 | ) | |||||||
09/15/10 | Hong Kong Dollars | BAR | 189,000 | U.S. Dollars | 24,285 | 6 | ||||||||
09/15/10 | Hong Kong Dollars | BAR | 9,000 | U.S. Dollars | 1,156 | 1 |
175
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NOTES TO FINANCIAL STATEMENTS (Unaudited)—(Continued)
Fund/ Expiration Date | Currency to be Delivered | Counter- party | Amount of Currency to be Delivered | Currency to be Received | Amount of Currency to be Received | Net Unrealized Appreciation (Depreciation) | ||||||||
09/15/10 | Hong Kong Dollars | BAR | 83,000 | U.S. Dollars | 10,665 | $ | 3 | |||||||
09/15/10 | Japanese Yen | BAR | 33,693,000 | U.S. Dollars | 381,584 | (11,303 | ) | |||||||
09/15/10 | Japanese Yen | BAR | 26,197,000 | U.S. Dollars | 296,690 | (11,939 | ) | |||||||
09/15/10 | Japanese Yen | BAR | 61,599,000 | U.S. Dollars | 697,629 | (23,059 | ) | |||||||
09/15/10 | Japanese Yen | BAR | 22,000 | U.S. Dollars | 249 | (7 | ) | |||||||
09/15/10 | Japanese Yen | BAR | 38,849,000 | U.S. Dollars | 439,978 | (12,070 | ) | |||||||
09/15/10 | New Zealand Dollars | BAR | 354,000 | U.S. Dollars | 241,387 | (7,179 | ) | |||||||
09/15/10 | New Zealand Dollars | BAR | 8,000 | U.S. Dollars | 5,455 | (68 | ) | |||||||
09/15/10 | New Zealand Dollars | BAR | 564,000 | U.S. Dollars | 384,582 | 3,803 | ||||||||
09/15/10 | New Zealand Dollars | BAR | 684,000 | U.S. Dollars | 466,409 | 15,371 | ||||||||
09/15/10 | Norwegian Krone | BAR | 78,000 | U.S. Dollars | 11,938 | (257 | ) | |||||||
09/15/10 | Norwegian Krone | BAR | 2,116,000 | U.S. Dollars | 323,849 | 1,793 | ||||||||
09/15/10 | Norwegian Krone | BAR | 739,000 | U.S. Dollars | 113,102 | 468 | ||||||||
09/15/10 | Singapore Dollars | BAR | 43,000 | U.S. Dollars | 30,740 | (280 | ) | |||||||
09/15/10 | Singapore Dollars | BAR | 11,000 | U.S. Dollars | 7,864 | (77 | ) | |||||||
09/15/10 | Singapore Dollars | BAR | 6,000 | U.S. Dollars | 4,289 | (53 | ) | |||||||
09/15/10 | Singapore Dollars | BAR | 3,000 | U.S. Dollars | 2,145 | 12 | ||||||||
09/15/10 | Singapore Dollars | BAR | 6,000 | U.S. Dollars | 4,289 | 64 | ||||||||
09/15/10 | Swedish Kronor | BAR | 4,658,000 | U.S. Dollars | 597,361 | (8,876 | ) | |||||||
09/15/10 | Swedish Kronor | BAR | 2,722,000 | U.S. Dollars | 349,081 | 2,885 | ||||||||
09/15/10 | Swedish Kronor | BAR | 7,792,000 | U.S. Dollars | 999,279 | (35,050 | ) | |||||||
09/15/10 | Switzerland Francs | BAR | 705,000 | U.S. Dollars | 655,045 | (43,961 | ) | |||||||
09/15/10 | Switzerland Francs | BAR | 586,000 | U.S. Dollars | 544,477 | (34,684 | ) | |||||||
09/15/10 | Switzerland Francs | BAR | 79,000 | U.S. Dollars | 73,402 | (4,690 | ) | |||||||
09/15/10 | Switzerland Francs | BAR | 315,000 | U.S. Dollars | 292,680 | (8,720 | ) | |||||||
09/15/10 | Switzerland Francs | BAR | 1,042,000 | U.S. Dollars | 968,166 | (27,466 | ) | |||||||
09/15/10 | U.S. Dollars | BAR | 368,575 | Australian Dollars | 442,000 | (2,541 | ) | |||||||
09/15/10 | U.S. Dollars | BAR | 1,668 | Australian Dollars | 2,000 | 55 | ||||||||
09/15/10 | U.S. Dollars | BAR | 1,370,063 | Australian Dollars | 1,643,000 | (20,580 | ) | |||||||
09/15/10 | U.S. Dollars | BAR | 52,534 | Australian Dollars | 63,000 | (1,524 | ) | |||||||
09/15/10 | U.S. Dollars | BAR | 744,654 | Australian Dollars | 893,000 | (23,944 | ) | |||||||
09/15/10 | U.S. Dollars | BAR | 1,767,824 | Australian Dollars | 2,120,000 | (75,559 | ) | |||||||
09/15/10 | U.S. Dollars | BAR | 1,421,575 | Euro | 1,162,000 | (11,261 | ) | |||||||
09/15/10 | U.S. Dollars | BAR | 57,499 | Euro | 47,000 | 1,268 | ||||||||
09/15/10 | U.S. Dollars | BAR | 36,702 | Euro | 30,000 | (450 | ) | |||||||
09/15/10 | U.S. Dollars | BAR | 3,670 | Euro | 3,000 | (20 | ) | |||||||
09/15/10 | U.S. Dollars | BAR | 38,547 | Hong Kong Dollars | 300,000 | (47 | ) | |||||||
09/15/10 | U.S. Dollars | BAR | 12,078 | Hong Kong Dollars | 94,000 | (17 | ) | |||||||
09/15/10 | U.S. Dollars | BAR | 3,983 | Hong Kong Dollars | 31,000 | 7 | ||||||||
09/15/10 | U.S. Dollars | BAR | 14,519 | Hong Kong Dollars | 113,000 | 2 |
176
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NOTES TO FINANCIAL STATEMENTS (Unaudited)—(Continued)
Fund/ Expiration Date | Currency to be Delivered | Counter- party | Amount of Currency to be Delivered | Currency to be Received | Amount of Currency to be Received | Net Unrealized Appreciation (Depreciation) | ||||||||
09/15/10 | U.S. Dollars | BAR | 164,724 | Hong Kong Dollars | 1,282,000 | $ | (131 | ) | ||||||
09/15/10 | U.S. Dollars | BAR | 257 | Hong Kong Dollars | 2,000 | — | ||||||||
09/15/10 | U.S. Dollars | BAR | 6,296 | Hong Kong Dollars | 49,000 | (13 | ) | |||||||
09/15/10 | U.S. Dollars | BAR | 3,039,561 | Japanese Yen | 268,386,000 | 106,669 | ||||||||
09/15/10 | U.S. Dollars | BAR | 649,055 | Japanese Yen | 57,310,000 | 23,214 | ||||||||
09/15/10 | U.S. Dollars | BAR | 750,745 | Japanese Yen | 66,289,000 | 21,417 | ||||||||
09/15/10 | U.S. Dollars | BAR | 1,148,672 | Japanese Yen | 101,425,000 | 6,401 | ||||||||
09/15/10 | U.S. Dollars | BAR | 421,404 | New Zealand Dollars | 618,000 | 2,984 | ||||||||
09/15/10 | U.S. Dollars | BAR | 94,100 | New Zealand Dollars | 138,000 | 509 | ||||||||
09/15/10 | U.S. Dollars | BAR | 171,153 | New Zealand Dollars | 251,000 | (4,439 | ) | |||||||
09/15/10 | U.S. Dollars | BAR | 771,054 | Norwegian Krone | 5,038,000 | (9,682 | ) | |||||||
09/15/10 | U.S. Dollars | BAR | 5,504,051 | Norwegian Krone | 35,963,000 | 4,120 | ||||||||
09/15/10 | U.S. Dollars | BAR | 1,903,912 | Norwegian Krone | 12,440,000 | (25,611 | ) | |||||||
09/15/10 | U.S. Dollars | BAR | 407,719 | Norwegian Krone | 2,664,000 | (10,401 | ) | |||||||
09/15/10 | U.S. Dollars | BAR | 408,637 | Norwegian Krone | 2,670,000 | (5,319 | ) | |||||||
09/15/10 | U.S. Dollars | BAR | 3,574 | Singapore Dollars | 5,000 | 6 | ||||||||
09/15/10 | U.S. Dollars | BAR | 3,574 | Singapore Dollars | 5,000 | 8 | ||||||||
09/15/10 | U.S. Dollars | BAR | 7,149 | Singapore Dollars | 10,000 | (2 | ) | |||||||
09/15/10 | U.S. Dollars | BAR | 92,934 | Singapore Dollars | 130,000 | (349 | ) | |||||||
09/15/10 | U.S. Dollars | BAR | 2,145 | Singapore Dollars | 3,000 | (19 | ) | |||||||
09/15/10 | U.S. Dollars | BAR | 4,389,799 | Swedish Kronor | 34,230,000 | 41,232 | ||||||||
09/15/10 | U.S. Dollars | BAR | 288,165 | Swedish Kronor | 2,247,000 | (2,361 | ) | |||||||
09/15/10 | U.S. Dollars | BAR | 592,103 | Swedish Kronor | 4,617,000 | (7,044 | ) | |||||||
09/15/10 | U.S. Dollars | BAR | 266,620 | Swedish Kronor | 2,079,000 | (2,158 | ) | |||||||
09/15/10 | U.S. Dollars | BAR | 718,296 | Swedish Kronor | 5,601,000 | 1,081 | ||||||||
09/15/10 | U.S. Dollars | BAR | 2,825,520 | Switzerland Francs | 3,041,000 | 186,910 | ||||||||
09/15/10 | U.S. Dollars | BAR | 1,801,606 | Switzerland Francs | 1,939,000 | 99,924 | ||||||||
09/15/10 | U.S. Dollars | BAR | 71,544 | Switzerland Francs | 77,000 | 2,245 | ||||||||
09/15/10 | U.S. Dollars | BAR | 546,335 | Switzerland Francs | 588,000 | 5,070 | ||||||||
09/15/10 | U.S. Dollars | BAR | 113,547 | United Kingdom Pounds | 76,000 | 4,400 | ||||||||
09/15/10 | U.S. Dollars | BAR | 1,101,109 | United Kingdom Pounds | 737,000 | 34,654 | ||||||||
09/15/10 | U.S. Dollars | BAR | 443,730 | United Kingdom Pounds | 297,000 | 11,911 |
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NOTES TO FINANCIAL STATEMENTS (Unaudited)—(Continued)
Fund/ Expiration Date | Currency to be Delivered | Counter- party | Amount of Currency to be Delivered | Currency to be Received | Amount of Currency to be Received | Net Unrealized Appreciation (Depreciation) | ||||||||
09/15/10 | U.S. Dollars | BAR | 906,883 | United Kingdom Pounds | 607,000 | $ | 14,054 | |||||||
09/15/10 | U.S. Dollars | BAR | 43,327 | United Kingdom Pounds | 29,000 | 1,418 | ||||||||
09/15/10 | U.S. Dollars | BAR | 428,790 | United Kingdom Pounds | 287,000 | 12,404 | ||||||||
09/15/10 | U.S. Dollars | BAR | 83,666 | United Kingdom Pounds | 56,000 | 2,267 | ||||||||
09/15/10 | U.S. Dollars | BAR | 409,367 | United Kingdom Pounds | 274,000 | 5,819 | ||||||||
09/15/10 | U.S. Dollars | BAR | 717,140 | United Kingdom Pounds | 480,000 | 3,634 | ||||||||
09/15/10 | U.S. Dollars | BAR | 283,868 | United Kingdom Pounds | 190,000 | 3,515 | ||||||||
09/15/10 | United Kingdom Pounds | BAR | 184,000 | U.S. Dollars | 274,904 | (2,431 | ) | |||||||
09/15/10 | United Kingdom Pounds | BAR | 386,000 | U.S. Dollars | 576,700 | 4,320 | ||||||||
$ | 322,571 | |||||||||||||
Please see abbreviation and footnote definitions on page 127.
Options Written
Transactions in options written during the period ended June 30, 2010 were as follows:
Low-Duration Bond Fund | Number of Contracts | Notional Amount | Premiums Received | ||||||||
Options written, 12/31/09 | 152 | $ | 51,000,000 | $ | 561,299 | ||||||
Options written | 258 | 109,000,000 | 677,952 | ||||||||
Options expired | (258 | ) | (80,800,000 | ) | (553,638 | ) | |||||
Options closed | (76 | ) | — | (53,775 | ) | ||||||
Options written, 06/30/10 | 76 | $ | 79,200,000 | $ | 631,838 | ||||||
Medium-Duration Bond Fund | Number of Contracts | Notional Amount | Premiums Received | ||||||||
Options written, 12/31/09 | 470 | $ | 74,000,000 | $ | 937,881 | ||||||
Options written | 529 | 944,900,000 | 1,133,888 | ||||||||
Options expired | (790 | ) | (875,800,000 | ) | (1,020,810 | ) | |||||
Options closed | (117 | ) | — | (58,532 | ) | ||||||
Options written, 06/30/10 | 92 | $ | 143,100,000 | $ | 992,427 | ||||||
Small Cap Equity Fund | Number of Contracts | Notional Amount | Premiums Received | ||||||||
Options written, 12/31/09 | 45 | $ | — | $ | 19,934 | ||||||
Options written | 58 | — | 24,773 | ||||||||
Options expired | (29 | ) | — | (9,434 | ) | ||||||
Options closed | (54 | ) | — | (24,021 | ) | ||||||
Options written, 06/30/10 | 20 | $ | — | $ | 11,252 | ||||||
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NOTES TO FINANCIAL STATEMENTS (Unaudited)—(Continued)
7. CAPITAL SHARE TRANSACTIONS
Transactions in shares of capital stock were as follows:
Six Months Ended June 30, 2010 | Year Ended December 31, 2009 | ||||||||||
GS4 | GS4 | GS6 | |||||||||
MyDestination 2005 | |||||||||||
Shares sold | 938,720 | 2,213,197 | 50,038 | ||||||||
Shares exchanged | — | 184,772 | (183,044 | ) | |||||||
Shares reinvested | — | 182,815 | 773 | ||||||||
Shares redeemed | (1,435,679 | ) | (1,839,744 | ) | (19,104 | ) | |||||
Net increase (decrease) | (496,959 | ) | 741,040 | (151,337 | ) | ||||||
MyDestination 2015 | |||||||||||
Shares sold | 3,103,412 | 6,079,553 | 247,957 | ||||||||
Shares exchanged | — | 431,494 | (427,887 | ) | |||||||
Shares reinvested | — | 575,590 | 4,807 | ||||||||
Shares redeemed | (1,374,866 | ) | (2,440,561 | ) | (6,551 | ) | |||||
Net increase (decrease) | 1,728,546 | 4,646,076 | (181,674 | ) | |||||||
MyDestination 2025 | |||||||||||
Shares sold | 2,828,689 | 6,514,115 | 178,840 | ||||||||
Shares exchanged | — | 519,224 | (517,312 | ) | |||||||
Shares reinvested | (4 | ) | 396,790 | 3,796 | |||||||
Shares redeemed | (796,497 | ) | (1,600,886 | ) | (1,813 | ) | |||||
Net increase (decrease) | 2,032,188 | 5,829,243 | (336,489 | ) | |||||||
MyDestination 2035 | |||||||||||
Shares sold | 1,788,906 | 3,674,311 | 156,527 | ||||||||
Shares exchanged | — | 367,932 | (364,947 | ) | |||||||
Shares reinvested | — | 167,185 | 2,176 | ||||||||
Shares redeemed | (728,710 | ) | (603,775 | ) | (1,335 | ) | |||||
Net increase (decrease) | 1,060,196 | 3,605,653 | (207,579 | ) | |||||||
MyDestination 2045 | |||||||||||
Shares sold | 1,644,428 | 3,146,539 | 67,736 | ||||||||
Shares exchanged | — | 226,386 | (224,243 | ) | |||||||
Shares reinvested | — | 98,130 | 616 | ||||||||
Shares redeemed | (260,027 | ) | (617,369 | ) | (4,681 | ) | |||||
Net increase (decrease) | 1,384,401 | 2,853,686 | (160,572 | ) | |||||||
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NOTES TO FINANCIAL STATEMENTS (Unaudited)—(Continued)
Six Months Ended June 30, 2010 | Year Ended December 31, 2009 | ||||||||||
GS4 | GS4 | GS6 | |||||||||
Conservative Allocation Fund |
| ||||||||||
Shares sold | 1,636,069 | 3,409,502 | 269,055 | ||||||||
Shares exchanged | — | 1,134,656 | (1,811,024 | ) | |||||||
Shares reinvested | — | 1,343,985 | 31,621 | ||||||||
Shares redeemed | (1,975,166 | ) | (4,764,021 | ) | (30,545 | ) | |||||
Net decrease | (339,097 | ) | 1,124,122 | (1,540,893 | ) | ||||||
Balanced Allocation Fund | |||||||||||
Shares sold | 2,325,552 | 6,475,848 | 152,629 | ||||||||
Shares exchanged | — | 1,936,474 | (3,506,545 | ) | |||||||
Shares reinvested | — | 3,173,514 | 87,810 | ||||||||
Shares redeemed | (4,998,426 | ) | (8,328,776 | ) | (20,612 | ) | |||||
Net increase (decrease) | (2,672,874 | ) | 3,257,060 | (3,286,718 | ) | ||||||
Growth Allocation Fund | |||||||||||
Shares sold | 1,432,608 | 4,090,589 | 237,995 | ||||||||
Shares exchanged | — | 1,254,537 | (2,246,107 | ) | |||||||
Shares reinvested | — | 1,504,652 | 33,305 | ||||||||
Shares redeemed | (3,473,925 | ) | (6,540,396 | ) | (53,186 | ) | |||||
Net increase (decrease) | (2,041,317 | ) | 309,382 | (2,027,993 | ) | ||||||
Aggressive Allocation Fund | |||||||||||
Shares sold | 1,885,783 | 4,873,795 | 111,653 | ||||||||
Shares exchanged | — | 1,515,794 | (2,573,184 | ) | |||||||
Shares reinvested | — | 1,335,155 | 37,558 | ||||||||
Shares redeemed | (3,166,994 | ) | (5,033,707 | ) | (35,096 | ) | |||||
Net increase (decrease) | (1,281,211 | ) | 2,691,037 | (2,459,069 | ) | ||||||
GS2 | GS2 | ||||||||||
Conservative Allocation Fund I | |||||||||||
Shares sold | 557,315 | 968,454 | |||||||||
Shares reinvested | — | 234,040 | |||||||||
Shares redeemed | (369,370 | ) | (899,677 | ) | |||||||
Net (decrease) | 187,945 | 302,817 | |||||||||
Balanced Allocation Fund I | |||||||||||
Shares sold | 902,885 | 2,654,936 | |||||||||
Shares reinvested | — | 1,664,813 | |||||||||
Shares redeemed | (1,474,002 | ) | (2,553,059 | ) | |||||||
Net increase | (571,117 | ) | 1,766,690 | ||||||||
Growth Allocation Fund I | |||||||||||
Shares sold | 739,655 | 1,910,217 | |||||||||
Shares reinvested | — | 713,157 | |||||||||
Shares redeemed | (754,502 | ) | (1,732,764 | ) | |||||||
Net increase | (14,847 | ) | 890,610 | ||||||||
Aggressive Allocation Fund I | |||||||||||
Shares sold | 491,749 | 1,699,702 | |||||||||
Shares reinvested | — | 350,764 | |||||||||
Shares redeemed | (759,182 | ) | (1,712,562 | ) | |||||||
Net increase | (267,433 | ) | 337,904 | ||||||||
180
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NOTES TO FINANCIAL STATEMENTS (Unaudited)—(Continued)
Six Months Ended June 30, 2010 | Year Ended December 31, 2009 | ||||||||||||||
GS2 | GS4 | GS2 | GS4 | GS6 | |||||||||||
Money Market Fund | |||||||||||||||
Shares sold | 65,947 | 1,505,040,724 | 102,344,425 | 2,886,054,721 | 1,365,914 | ||||||||||
Shares exchanged | — | — | 9,761,236 | (9,761,137 | ) | ||||||||||
Shares reinvested | 42,122,799 | 28,392 | 644,744 | 2,050,152 | 7,898 | ||||||||||
Shares redeemed | (50,434,277 | ) | (1,527,579,513 | ) | (141,405,488 | ) | (2,803,066,431 | ) | (421,233 | ) | |||||
Net increase (decrease) | (8,245,531 | ) | (22,510,397 | ) | (38,416,319 | ) | 94,799,678 | (8,808,558 | ) | ||||||
Low-Duration Bond Fund | |||||||||||||||
Shares sold | 232,700 | 3,141,224 | 2,468,591 | 7,846,621 | 30,894 | ||||||||||
Shares exchanged | — | — | 489,313 | (723,673 | ) | ||||||||||
Shares reinvested | 854,713 | 470,864 | 567,258 | 1,207,547 | 12,328 | ||||||||||
Shares redeemed | (554,883 | ) | (2,255,845 | ) | (2,692,163 | ) | (8,924,341 | ) | (9,054 | ) | |||||
Net increase (decrease) | 532,530 | 1,356,243 | 343,686 | 619,140 | (689,505 | ) | |||||||||
Medium-Duration Bond Fund | |||||||||||||||
Shares sold | 658,188 | 4,722,364 | 3,074,949 | 8,917,482 | 20,156 | ||||||||||
Shares exchanged | — | — | 1,213,587 | (2,078,297 | ) | ||||||||||
Shares reinvested | 576,727 | 1,084,699 | 1,837,631 | 3,766,018 | 66,716 | ||||||||||
Shares redeemed | (1,100,689 | ) | (5,059,875 | ) | (1,927,699 | ) | (9,609,788 | ) | (24,765 | ) | |||||
Net increase (decrease) | 134,226 | 747,188 | 2,984,881 | 4,287,299 | (2,016,190 | ) | |||||||||
Extended-Duration Bond Fund | |||||||||||||||
Shares sold | 570,253 | 1,577,089 | 906,347 | 2,390,121 | 8,130 | ||||||||||
Shares exchanged | — | — | — | 1,233,982 | (2,593,714 | ) | |||||||||
Shares reinvested | 515,337 | 586,655 | 1,135,939 | 1,388,639 | 104,274 | ||||||||||
Shares redeemed | (812,836 | ) | (2,494,032 | ) | (2,659,695 | ) | (6,932,227 | ) | (7,292 | ) | |||||
Net increase (decrease) | 272,754 | (330,288 | ) | (617,409 | ) | (1,919,485 | ) | (2,488,602 | ) | ||||||
Inflation Protected Bond Fund(1) | |||||||||||||||
Shares sold | 2,140,596 | 8,555,948 | |||||||||||||
Shares reinvested | 142,162 | 141,953 | |||||||||||||
Shares redeemed | (986,276 | ) | (174,295 | ) | |||||||||||
Net increase | 1,296,482 | 8,523,606 | |||||||||||||
(1) Inception date was June 25, 2009. | |||||||||||||||
Global Bond Fund | |||||||||||||||
Shares sold | 1,301,480 | 3,948,026 | |||||||||||||
Shares reinvested | 663,686 | 1,687,037 | |||||||||||||
Shares redeemed | (2,046,658 | ) | (4,785,608 | ) | |||||||||||
Net increase (decrease) | (81,492 | ) | 849,455 | ||||||||||||
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NOTES TO FINANCIAL STATEMENTS (Unaudited)—(Continued)
Six Months Ended June 30, 2010 | Year Ended December 31, 2009 | ||||||||||||||
GS2 | GS4 | GS2 | GS4 | GS6 | |||||||||||
Equity Index Fund | |||||||||||||||
Shares sold | 247,323 | 757,993 | 841,105 | 2,160,596 | 28,455 | ||||||||||
Shares exchanged | — | — | 66,567 | (121,488 | ) | ||||||||||
Shares reinvested | 168,879 | 220,920 | 275,439 | 365,182 | 2,310 | ||||||||||
Shares redeemed | (343,431 | ) | (1,027,051 | ) | (501,429 | ) | (1,562,771 | ) | (8,919 | ) | |||||
Net increase (decrease) | 72,771 | (48,138 | ) | 615,115 | 1,029,574 | (99,642 | ) | ||||||||
Real Estate Securities Fund | |||||||||||||||
Shares sold | 4,167,029 | 8,532,940 | |||||||||||||
Shares reinvested | 174,436 | 392,118 | |||||||||||||
Shares redeemed | (3,858,424 | ) | (6,240,521 | ) | |||||||||||
Net increase | 483,041 | 2,684,537 | |||||||||||||
Value Equity Fund | |||||||||||||||
Shares sold | 573,124 | 2,423,001 | 2,473,161 | 7,109,752 | 40,675 | ||||||||||
Shares exchanged | — | — | — | 1,130,694 | (2,203,139 | ) | |||||||||
Shares reinvested | 709,229 | 918,154 | 991,370 | 1,425,172 | 55,079 | ||||||||||
Shares redeemed | (854,159 | ) | (6,352,145 | ) | (1,431,120 | ) | (9,988,166 | ) | (2,487 | ) | |||||
Net increase (decrease) | 428,194 | (3,010,990 | ) | 2,033,411 | (322,548 | ) | (2,109,872 | ) | |||||||
Growth Equity Fund | |||||||||||||||
Shares sold | 472,414 | 2,050,507 | 1,673,214 | 5,719,407 | 18,949 | ||||||||||
Shares exchanged | — | — | — | 692,725 | (1,126,367 | ) | |||||||||
Shares reinvested | 4,036 | 8,372 | 57,676 | 71,463 | 255 | ||||||||||
Shares redeemed | (778,455 | ) | (5,588,977 | ) | (1,561,130 | ) | (10,192,784 | ) | (5,975 | ) | |||||
Net increase (decrease) | (302,005 | ) | (3,530,098 | ) | 169,760 | (3,709,189 | ) | (1,113,138 | ) | ||||||
Small Cap Equity Fund | |||||||||||||||
Shares sold | 369,472 | 2,153,682 | 883,911 | 3,268,293 | 23,304 | ||||||||||
Shares exchanged | — | — | — | 1,285,304 | (1,999,515 | ) | |||||||||
Shares reinvested | — | — | 44,647 | 77,836 | 2,337 | ||||||||||
Shares redeemed | (575,547 | ) | (2,773,449 | ) | (581,343 | ) | (3,927,288 | ) | (4,198 | ) | |||||
Net increase (decrease) | (206,075 | ) | (619,767 | ) | 347,215 | 704,145 | (1,978,072 | ) | |||||||
International Equity Fund | |||||||||||||||
Shares sold | 1,015,662 | 4,668,083 | 2,762,510 | 10,128,688 | 31,617 | ||||||||||
Shares exchanged | — | — | — | 1,687,592 | (2,207,195 | ) | |||||||||
Shares reinvested | — | — | 767,756 | 2,038,064 | 19,754 | ||||||||||
Shares redeemed | (807,962 | ) | (5,312,270 | ) | (4,990,961 | ) | (18,403,843 | ) | (10,746 | ) | |||||
Net increase (decrease) | 207,700 | (644,187 | ) | (1,460,695 | ) | (4,549,499 | ) | (2,166,570 | ) | ||||||
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8. BANK BORROWINGS
On October 29, 2009, the Board of Trustees approved a credit agreement with Bank of America, N.A. dated December 2, 2009 through December 2, 2010. The agreement permits up to $50 million, collectively. Interest is charged to each Fund based on its borrowings at a rate equal to the Bank Prime plus 0.60% or the Wall Street Journal LIBOR One Month Floating Rate plus 1.00%. Each Fund also pays a facility fee equal to its pro rata share of the amount of the credit facility at a rate of 0.30% per annum.
No Funds borrowed for the period ended June 30, 2010, and there were no outstanding loans at June 30, 2010.
9. FEDERAL INCOME TAXES
Each Fund’s policy is to comply with all sections of the Internal Revenue Code of 1986, as amended, that apply to regulated investment companies and to distribute substantially all of its taxable income to shareholders. No provision for income or excise taxes is thus required. Each Fund is treated as a separate entity for federal income tax purposes.
The Funds may be subject to taxes imposed by countries in which they invest in issuers existing or operating in such countries. Such taxes are generally based on income earned. The Funds accrue such taxes when the related income is earned. Dividend and interest income is recorded net of non-U.S. taxes paid. Gains realized by the Funds on the sale of securities in certain countries are subject to non-U.S. taxes. The Funds record a liability based on unrealized gains to provide for potential non-U.S. taxes payable upon the sale of these securities. For the period ended June 30, 2010, the International Equity Fund accrued non-U.S. taxes on unrealized gains of $254,897.
Net investment income (loss) and net realized gains (losses) may differ for financial statements and tax purposes primarily because of deferred losses on certain futures contracts and losses deferred due to “wash sale” transactions. The character of distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. Also, due to the timing of dividend distributions, the fiscal year in which amounts are distributed may differ from the year that the income or realized gains (losses) were recorded by the Funds. Income dividends and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatments for futures and options transactions, foreign currency transactions, paydowns, losses deferred due to wash sales and investments in Passive Foreign Investment Companies (“PFIC’s”). Distributions during the year ended December 31, 2009, were characterized as follows for tax purposes:
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Fund | Ordinary Income | Long-Term Capital Gain | Return of Capital | Total Distribution | ||||||||
MyDestination 2005 | $ | 1,564,404 | $ | — | $ | — | $ | 1,564,404 | ||||
MyDestination 2015 | 4,412,565 | — | — | 4,412,565 | ||||||||
MyDestination 2025 | 2,884,184 | — | — | 2,884,184 | ||||||||
MyDestination 2035 | 1,043,907 | 124,488 | — | 1,168,395 | ||||||||
MyDestination 2045 | 683,723 | 4,334 | — | 688,057 | ||||||||
Conservative Allocation | 6,283,221 | 9,111,208 | — | 15,394,429 | ||||||||
Balanced Allocation | 26,391,713 | 6,797,379 | — | 33,189,092 | ||||||||
Growth Allocation | 11,529,071 | 3,868,509 | — | 15,397,580 | ||||||||
Aggressive Allocation | 7,894,855 | 4,792,148 | — | 12,687,003 | ||||||||
Conservative Allocation I | 2,128,240 | — | — | 2,128,240 | ||||||||
Balanced Allocation I | 15,067,834 | — | — | 15,067,834 | ||||||||
Growth Allocation I | 6,560,814 | — | — | 6,560,814 | ||||||||
Aggressive Allocation I | 3,254,796 | — | — | 3,254,796 | ||||||||
Money Market | 3,671,028 | — | — | 3,671,028 | ||||||||
Low-Duration Bond | 20,184,508 | — | — | 20,184,508 | ||||||||
Medium-Duration Bond | 62,933,294 | — | — | 62,933,294 | ||||||||
Extended-Duration Bond | 26,490,239 | 632,726 | — | 27,122,965 | ||||||||
Inflation Protected Bond | 1,409,572 | 41,466 | — | 1,451,038 | ||||||||
Global Bond | 13,789,431 | — | — | 13,789,431 | ||||||||
Equity Index | 6,217,465 | — | — | 6,217,465 | ||||||||
Real Estate Securities | 2,070,541 | — | 45,334 | 2,115,875 | ||||||||
Value Equity | 19,742,615 | — | — | 19,742,615 | ||||||||
Growth Equity | 1,374,244 | — | — | 1,374,244 | ||||||||
Small Cap Equity | 1,121,177 | — | — | 1,121,177 | ||||||||
International Equity | 29,748,575 | 5,380 | — | 29,753,955 |
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At December 31, 2009, the components of distributable earnings on a tax basis were as follows:
Fund | Undistributed Ordinary Income | Undistributed Long-Term Capital Gain/ (Capital Loss Carryforward) | Post-October Loss Deferral | Net Unrealized Appreciation (Depreciation) on Investments | |||||||||||
MyDestination 2005 | $ | 102,070 | $ | (3,224,103 | ) | $ | (20,275 | ) | $ | (6,376,661 | ) | ||||
MyDestination 2015 | 1,381,114 | (4,193,651 | ) | — | (29,525,107 | ) | |||||||||
MyDestination 2025 | 607,942 | (1,437,334 | ) | — | (22,488,066 | ) | |||||||||
MyDestination 2035 | 93,959 | — | — | (7,786,314 | ) | ||||||||||
MyDestination 2045 | 128,800 | — | — | (312,141 | ) | ||||||||||
Conservative Allocation | 69,350 | 96,439 | — | 5,971,106 | |||||||||||
Balanced Allocation | 4,110,528 | (1,652,242 | ) | — | (38,121,004 | ) | |||||||||
Growth Allocation | 3,813,544 | (2,029,567 | ) | — | (53,365,317 | ) | |||||||||
Aggressive Allocation | 721,565 | 1,078,253 | — | (78,598,032 | ) | ||||||||||
Conservative Allocation I | 705,488 | (3,535,979 | ) | — | (4,096,947 | ) | |||||||||
Balanced Allocation I | 5,272,196 | (10,191,849 | ) | (513,122 | ) | (55,212,323 | ) | ||||||||
Growth Allocation I | 1,464,983 | (2,920,999 | ) | (230,455 | ) | (49,202,053 | ) | ||||||||
Aggressive Allocation I | 2,509,336 | (4,391,332 | ) | (93,006 | ) | (47,427,084 | ) | ||||||||
Money Market | 75,044 | — | — | — | |||||||||||
Low-Duration Bond | 909,865 | (1,707,456 | ) | — | (14,793,825 | ) | |||||||||
Medium-Duration Bond | 3,441,382 | — | (625,586 | ) | (50,803,344 | ) | |||||||||
Extended-Duration Bond | 692,095 | (12,901,227 | ) | (598,356 | ) | 20,490,059 | |||||||||
Inflation Protected Bond | 313,658 | 62,869 | — | 2,049,180 | |||||||||||
Global Bond | 912,189 | (10,635,979 | ) | (140,203 | ) | (3,597,656 | ) | ||||||||
Equity Index | 1,623,542 | (4,723,485 | ) | (226,103 | ) | 20,698,442 | |||||||||
Real Estate Securities | — | (50,315,761 | ) | (309,186 | ) | 5,470,416 | |||||||||
Value Equity | 7,789,164 | (176,621,545 | ) | — | (108,927,144 | ) | |||||||||
Growth Equity | 169,205 | (196,015,409 | ) | (1,265,434 | ) | 164,881,352 | |||||||||
Small Cap Equity | 47,515 | (128,436,982 | ) | — | 34,440,135 | ||||||||||
International Equity | 3,066,280 | (233,377,943 | ) | (116,285 | ) | 107,541,155 |
Post-October loss deferrals have been included in undistributed ordinary income and undistributed long-term capital gains, depending upon the character of the loss deferral.
For Federal income tax purposes, realized capital losses may be carried forward and applied against future realized capital gains. Capital loss carryovers and their expiration dates, were as follows as of December 31, 2009:
Expiring December 31, | 2011 | 2014 | 2016 | 2017 | Total | ||||||||||
MyDestination 2005 | $ | — | $ | — | $ | 42,414 | $ | 3,181,689 | $ | 3,224,103 | |||||
MyDestination 2015 | — | — | 889,637 | 3,304,014 | 4,193,651 | ||||||||||
MyDestination 2025 | — | — | 31,687 | 1,405,647 | 1,437,334 | ||||||||||
Balanced Allocation | — | — | — | 1,652,242 | 1,652,242 | ||||||||||
Growth Allocation | — | — | — | 2,029,567 | 2,029,567 | ||||||||||
Conservative Allocation I | — | — | 650,405 | 2,885,574 | 3,535,979 | ||||||||||
Balanced Allocation I | — | — | 4,262,186 | 5,929,663 | 10,191,849 | ||||||||||
Growth Allocation I | — | — | 412,556 | 2,508,443 | 2,920,999 | ||||||||||
Aggressive Allocation I | — | — | 3,489,043 | 902,289 | 4,391,332 | ||||||||||
Low-Duration Bond | — | 1,707,456 | — | — | 1,707,456 | ||||||||||
Extended-Duration Bond | — | — | — | 12,901,227 | 12,901,227 | ||||||||||
Global Bond | — | — | 705,051 | 9,930,928 | 10,635,979 | ||||||||||
Equity Index | — | — | 1,612,695 | 3,110,790 | 4,723,485 | ||||||||||
Real Estate Securities | — | — | 12,320,254 | 37,995,507 | 50,315,761 | ||||||||||
Value Equity | — | — | 73,270,784 | 103,350,761 | 176,621,545 | ||||||||||
Growth Equity | 45,483,748 | — | — | 150,531,661 | 196,015,409 | ||||||||||
Small Cap Equity | — | — | 69,003,843 | 59,433,139 | 128,436,982 | ||||||||||
International Equity | — | — | — | 233,377,943 | 233,377,943 |
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At June 30, 2010, the aggregate cost of investment securities for federal income tax purposes (excluding foreign currency, securities sold short and derivative related items) and the net unrealized appreciation from investments for those securities having an excess of value over cost and net unrealized depreciation from investments for those securities having an excess of cost over value (based on cost for federal income tax purposes) were as follows:
Fund | Federal Tax Cost | Net Unrealized Appreciation (Depreciation) | Appreciated Securities | Depreciated Securities | ||||||||||
MyDestination 2005 | $ | 68,101,072 | $ | (6,050,917 | ) | $ | — | $ | (6,050,917 | ) | ||||
MyDestination 2015 | 264,712,683 | (36,283,373 | ) | — | (36,283,373 | ) | ||||||||
MyDestination 2025 | 208,498,581 | (30,881,928 | ) | — | (30,881,928 | ) | ||||||||
MyDestination 2035 | 90,466,513 | (12,315,773 | ) | 320,063 | (12,635,836 | ) | ||||||||
MyDestination 2045 | 55,309,427 | (4,483,972 | ) | — | (4,483,972 | ) | ||||||||
Conservative Allocation | 281,907,896 | 3,156,838 | 11,409,357 | (8,252,519 | ) | |||||||||
Balanced Allocation | 1,152,360,289 | (67,833,007 | ) | 20,709,056 | (88,542,063 | ) | ||||||||
Growth Allocation | 878,902,618 | (102,338,204 | ) | 7,480,555 | (109,818,759 | ) | ||||||||
Aggressive Allocation | 799,496,016 | (143,545,240 | ) | — | (143,545,240 | ) | ||||||||
Conservative Allocation I | 71,637,138 | (4,637,854 | ) | — | (4,637,854 | ) | ||||||||
Balanced Allocation I | 380,610,779 | (63,631,057 | ) | — | (63,631,057 | ) | ||||||||
Growth Allocation I | 259,186,803 | (60,753,944 | ) | — | (60,753,944 | ) | ||||||||
Aggressive Allocation I | 187,140,357 | (58,147,925 | ) | — | (58,147,925 | ) | ||||||||
Money Market | 1,217,506,201 | — | — | — | ||||||||||
Low-Duration Bond | 819,150,309 | (9,393,166 | ) | 10,831,861 | (20,225,027 | ) | ||||||||
Medium-Duration Bond | 1,243,891,413 | (14,882,881 | ) | 41,573,099 | (56,455,980 | ) | ||||||||
Extended-Duration Bond | 487,130,598 | 39,388,415 | 46,671,826 | (7,283,411 | ) | |||||||||
Inflation Protected Bond | 107,038,801 | 3,592,483 | 3,870,824 | (278,341 | ) | |||||||||
Global Bond | 249,428,193 | 2,343,094 | 13,320,583 | (10,977,489 | ) | |||||||||
Equity Index | 382,201,245 | (4,520,778 | ) | 70,262,910 | (74,783,688 | ) | ||||||||
Real Estate Securities | 161,241,141 | 9,771,453 | 12,250,084 | (2,478,631 | ) | |||||||||
Value Equity | 1,321,412,597 | (196,654,358 | ) | 31,161,668 | (227,816,026 | ) | ||||||||
Growth Equity | 1,168,331,849 | 54,163,072 | 115,351,988 | (61,188,916 | ) | |||||||||
Small Cap Equity | 584,958,849 | (39,995,803 | ) | — | (39,995,803 | ) | ||||||||
International Equity | 1,351,552,954 | (30,018,285 | ) | 114,313,856 | (144,332,141 | ) |
The differences between book basis and tax-basis unrealized appreciation is attributable primarily to the tax deferral of losses on wash sales and on investments in PFIC’s.
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At December 31, 2009, capital contributions, accumulated undistributed net investment income and accumulated net realized gain (loss) from investments have been adjusted for current period permanent book/tax differences which arose principally from differing book/tax treatments of paydown gains, net operating losses and foreign currency transactions. The following amounts were reclassified within the capital accounts:
Fund | Paid in Capital | Accumulated Undistributed Income | Accumulated Net Realized Gain (Loss) on Investments, Currency Translations and Derivative Transactions | |||||||||
MyDestination 2005 | $ | — | $ | 254,757 | $ | (254,757 | ) | |||||
MyDestination 2015 | — | 521,691 | (521,691 | ) | ||||||||
MyDestination 2025 | — | 244,526 | (244,526 | ) | ||||||||
MyDestination 2035 | — | 27,755 | (27,755 | ) | ||||||||
MyDestination 2045 | — | 362 | (362 | ) | ||||||||
Conservative Allocation | — | 25,034 | (25,034 | ) | ||||||||
Balanced Allocation | — | 5,076,037 | (5,076,037 | ) | ||||||||
Growth Allocation | — | 1,826,842 | (1,826,842 | ) | ||||||||
Conservative Allocation I | — | 5,264 | (5,264 | ) | ||||||||
Balanced Allocation I | — | 2,553,471 | (2,553,471 | ) | ||||||||
Growth Allocation I | — | 791,362 | (791,362 | ) | ||||||||
Money Market | — | (9,458 | ) | 9,458 | ||||||||
Low-Duration Bond | — | (2,917,261 | ) | 2,917,261 | ||||||||
Medium-Duration Bond | — | (1,362,884 | ) | 1,362,884 | ||||||||
Extended-Duration Bond | — | (526,673 | ) | 526,673 | ||||||||
Global Bond | — | 290,754 | (290,754 | ) | ||||||||
Growth Equity | (21 | ) | (118 | ) | 139 | |||||||
Small Cap Equity | (11,361 | ) | (13,537 | ) | 24,898 | |||||||
International Equity | — | 2,245,877 | (2,245,877 | ) |
Net investment income, net realized gain (loss) on investments and net assets were not affected by these reclassifications.
Management has analyzed the Funds’ tax positions and has concluded that no provision for income tax is required in the Funds’ financial statements. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. However, management’s conclusions may be subject to review and adjustment at a later date based on factors including, but not limited to, further implementation guidance from the FASB, new tax laws, regulations and administrative interpretations (including court decisions). Each of the Funds’ federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
10. MARKET AND CREDIT RISK
In the normal course of business, the Funds trade financial instruments and enter into financial transactions where the risk of potential loss exists due to changes in the market (market risk) or due to the failure of the other party to a transaction to perform (credit and counterparty risks).
Market Risks — A Fund’s investments in derivatives and other financial instruments expose the Fund to various risks such as, but not limited to, interest rate, foreign currency, equity and commodity risks.
Interest rate risk is the risk that fixed income securities will decline in value because of changes in interest rates. As nominal interest rates rise, the value of certain fixed income securities held by a Fund is likely to decrease. A nominal interest rate can be described as the sum of a real interest rate and an expected inflation rate. Fixed income securities with longer durations tend to be more sensitive to changes in interest rates, usually making them more volatile than securities with shorter durations. Duration is useful primarily as a measure of the sensitivity of a fixed income’s market price to interest rate (i.e. yield) movements.
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If a Fund invests directly in foreign currencies or in securities that trade in, and receive revenues in, foreign currencies, or in derivatives that provide exposure to foreign currencies, it will be subject to the risk that those currencies will decline in value relative to the base currency of the Fund, or, in the case of hedging positions, that the Fund’s base currency will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates, intervention (or the failure to intervene) by U.S. or foreign governments, central banks or supranational entities such as the International Monetary Fund, or by the imposition of currency controls or other political developments in the United States or abroad. As a result, a Fund’s investments in foreign currency denominated securities may reduce the returns of the Fund.
The market values of equities, such as common stocks and preferred stocks, or equity related investments such as futures and options, may decline due to general market conditions which are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates or adverse investor sentiment. Market values may also decline due to factors which affect a particular industry or industries, such as labor shortages or increased production costs and competitive conditions within an industry. Equity securities and equity related investments generally have greater market price volatility than fixed income securities.
A Fund’s investments in commodity-linked derivative instruments may subject the Fund to greater market price volatility than investments in traditional securities. The value of commodity-linked derivative instruments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments.
Credit and Counterparty Risks — A Fund will be exposed to credit risk on parties with whom it trades and will also bear the risk of settlement default. A Fund minimizes concentrations of credit risk by undertaking transactions with a large number of customers and counterparties on recognized and reputable exchanges. A Fund could lose money if the issuer or guarantor of a fixed income security, or the counterparty to a derivatives contract, repurchase agreement or a loan of portfolio securities, is unable or unwilling to make timely principal and/or interest payments, or to otherwise honor its obligations. Securities are subject to varying degrees of credit risk, which are often reflected in credit ratings.
Similar to credit risk, a Fund may be exposed to counterparty risk, or the risk that an institution or other entity with which the Fund has unsettled or open transactions will default. Financial assets, which potentially expose a Fund to counterparty risk, consist principally of cash due from counterparties and investments. The investment advisers minimize counterparty risks to the Funds by performing extensive reviews of each counterparty and obtaining approval from the Counterparty Risk Committee prior to entering into transactions with a third party. All transactions in listed securities are settled/paid for upon delivery using approved counterparties. The risk of default is considered minimal, as delivery of securities sold is only made once a Fund has received payment. Payment is made on a purchase once the securities have been delivered by the counterparty. The trade will fail if either party fails to meet its obligation.
The Low-Duration Bond Fund and the Medium-Duration Bond Fund are parties to ISDA (International Swap and Derivatives Association, Inc.) Master Agreements (“Master Agreements”) with certain counterparties that govern over the counter derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the Funds is held in a segregated account by the Fund’s custodian and with respect to those amounts which can be sold or
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repledged, are presented in the Fund’s portfolio or Statements of Assets and Liabilities. Collateral posted to the Funds which can not be sold or repledged totaled $3,040,000 and $4,237,000 in the Low-Duration Bond Fund and Medium-Duration Bond Fund, respectively, at June 30, 2010. Collateral can be in the form of cash, debt securities, equities or other securities as agreed to by the Fund and the applicable counterparty. Collateral requirements are determined based on the Fund’s net position with each counterparty.
11. LEHMAN BROTHERS
On September 15, 2008, Lehman Brothers Holdings Inc. filed for protection under Chapter 11 of the United States Bankruptcy Code. On September 19, 2008, a proceeding under the Securities Investor Protection Act (SIPA) was commenced with respect to Lehman Brothers Inc., a broker-dealer. A trustee appointed under SIPA is administering the bankruptcy estate of Lehman Brothers Inc. Lehman Brothers International (Europe) was placed in administration under the UK Insolvency Act on September 15, 2008. Lehman Brothers Special Financing Inc. filed for protection under Chapter 11 of the United States Bankruptcy Code on October 3, 2008. In connection with these filings, the Lehman Brothers group of companies (collectively “Lehman Brothers”) will be reorganized and/or liquidated in an orderly fashion, subject to court approval. Each Lehman Brothers entity is a separate legal entity that is subject to its own bankruptcy proceeding.
The Low-Duration Bond, Medium-Duration Bond, Global Bond and Small Cap Equity Funds had select holdings, credit default swap agreements, and securities and derivatives transactions outstanding with Lehman Brothers entities as issuer, referenced entity, counterparty or guarantor at the time the relevant Lehman Brothers entity filed for protection or was placed in administration. The security holdings, credit default swap agreements, and securities and derivatives transactions associated with Lehman Brothers have been written down to their estimated recoverable values. Anticipated losses for securities and derivatives transactions associated with Lehman Brothers have been incorporated as components of other receivables on the Statement of Assets and Liabilities and net changes in unrealized appreciation (depreciation) on the Statement of Operations. A facilitated auction occurred on October 10, 2008, comprising multiple pre-approved brokerage agencies to determine the estimated recovery rate for holdings and credit default swap agreements with Lehman Brothers Holdings Inc. as referenced entity. These recovery rates have been utilized in determining estimated recovery values. Claims against Lehman Brothers have been filed on behalf of GuideStone Funds in accordance with the filing requirements.
The Funds’ Sub-Advisers, on behalf of GSCM, have delivered notices of default to the relevant Lehman Brothers entities in accordance with the terms of the applicable agreements. For transactions with Lehman Brothers’ counterparties, the Sub-Advisers have terminated the trades, have obtained quotations from brokers for replacement trades and, where deemed appropriate, have re-opened positions with new counterparties.
12. U.S. TREASURY DEPARTMENT TEMPORARY GUARANTEE PROGRAM
The Money Market Fund participated in the U.S. Department of the Treasury (the “Treasury”) Temporary Guarantee Program for Money Market Funds (the “Program”). The Fund bore the expense of its participation in the Program without regard to any expense limitation in effect. The Program expired on September 18, 2009.
13. FINANCIAL HIGHLIGHTS REVISION FOR INFLATION PROTECTED BOND FUND
Due to a procedural error, the Ratios to Average Net Assets were incorrectly reported in the 2009 financial highlights of the Inflation Protected Bond Fund. Such amounts have been revised, as indicated on the following page, in the financial highlights for the year ended December 31, 2009.
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Ratios to Average Net Assets | ||||||
2009 | ||||||
Ratio | Originally Reported | Corrected Value | ||||
Expenses, Net | 0.35 | % | 0.67 | % | ||
Expenses, Gross | 0.36 | % | 0.70 | % | ||
Investment Income, Net | 1.83 | % | 3.53 | % |
14. SUBSEQUENT EVENTS
Subsequent events have been evaluated through the date that the financial statements were available to be issued. All subsequent events determined to be relevant and material to the financial statements have been appropriately recorded or disclosed.
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Information pertaining to the Trustees and officers of the Trust is set forth below. The statement of additional information (SAI) includes additional information about the Trustees and is available without charge, upon request, by calling 1-888-98-GUIDE (1-888-984-8433).
Name, (DOB),Address and Position(s) with Trust | Term of Office | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee | Other Trusteeships/ Directorships Held by Trusteee | ||||
DISINTERESTED TRUSTEES2 | ||||||||
Michael R. Buster (1957) 2401 Cedar Springs Road Dallas, TX 75201-1407 Trustee | Since 2002 | Executive Pastor, Prestonwood Baptist Church, 1989 – present. | 25 | Ouachita Baptist University – Board of Trustees Member. | ||||
Peter L. Chamberlain, Ph.D. (1951) 2401 Cedar Springs Road Dallas, TX 75201-1407 Trustee | Since 2008 | Senior Financial Analyst, Summit Wealth Management, Inc., 2006 – present; President, B.R. Chamberlain & Sons, Inc., 1990 – 2006, Registered Investment Adviser. | 25 | First Baptist Church of Orlando – Board of Trustees Member and Strategy Team; Rollins College Board of Overseers/Corporate Council – Member; the B.R. Chamberlain Foundation for Public Entertainment – President. | ||||
William Craig George (1958) 2401 Cedar Springs Road Dallas, TX 75201-1407 Trustee | Since 2004 | Regional loan administrator, SunTrust Bank, 1995 – present. | 25 | N/A | ||||
Joseph A. Mack (1939) 2401 Cedar Springs Road Dallas, TX 75201-1407 Trustee | Since 2002 | Director, Office of Public Policy, South Carolina Baptist Convention, 1999 – present. | 25 | N/A | ||||
Franklin Raymond Morgan (1943) 2401 Cedar Springs Road Dallas, TX 75201-1407 Trustee | Since 2005 | Retired - Senior Vice President, Director of International Administration, Prudential Securities, Inc., January 1962 -May 2003. | 25 | N/A | ||||
William T. Patterson (1939) 2401 Cedar Springs Road Dallas, TX 75201-1407 Trustee | Since 2009 | Managing Partner, Patterson Capital, LLC, October 2007 – present; Director and Chairman of Audit Committee, Therizo Capital Management, February 2007 – February 2008; Senior Vice President, Wachovia Securities LLC, July 2003 – January 2007; Senior Vice President, Prudential Financial Inc., October 2000 – July 2003 | 25 | N/A | ||||
INTERESTED TRUSTEES2,3 | ||||||||
Barry Hartis (1945) 2401 Cedar Springs Road Dallas, TX 75201-1407 Trustee | Since 2005 | Certified Public Accountant,1976 – present; Vice President of Business and Finance, Greensboro College, January 1998 – June 30, 2005. | 25 | N/A | ||||
James W. Hixson (1931) 2401 Cedar Springs Road Dallas, TX 75201-1407 Trustee | Since 2010 | Retired | 25 | N/A |
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FUND MANAGEMENT (Continued)
Name, (DOB),Address and Position(s) with Trust | Term of Office and Length of Time Served1 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee | Other Trusteeships/ Directorships Held by Trusteee | ||||
OFFICERS WHO ARE NOT TRUSTEES2,4 | ||||||||
Ron W. Bass (1966) 2401 Cedar Springs Road Dallas, TX 75201-1407 Chief Compliance Officer and AML Officer | Since 2009 | Manager of Broker/Dealer and RIA Compliance, GuideStone Financial Resources of the Southern Baptist Convention, 2008 – present; Marketing Compliance Manager, GuideStone Financial Resources of the Southern Baptist Convention, 2005 – present; Compliance Specialist, GuideStone Financial Resources of the Southern Baptist Convention, 2004 – 2005. | N/A | N/A | ||||
Jeffrey P. Billinger (1946) 2401 Cedar Springs Road Dallas, TX 75201-1407 Vice President and Treasurer | Since 2000 | Executive Officer and Treasurer, GuideStone Financial Resources of the Southern Baptist Convention, 1995 - present. | N/A | N/A | ||||
Rodric E. Cummins (1957) 2401 Cedar Springs Road Dallas, TX 75201-1407 Vice President and Investment Officer | Since 2000 | Executive Officer and Chief Investment Officer, GuideStone Financial Resources of the Southern Baptist Convention, 1998 - present. | N/A | N/A | ||||
John R. Jones (1953) 2401 Cedar Springs Road Dallas, TX 75201-1407 President | Since 2000 | Executive Vice President and Chief Operating Officer, GuideStone Financial Resources of the Southern Baptist Convention, 1995 - present. | N/A | N/A | ||||
Rodney R. Miller (1953) 2401 Cedar Springs Road Dallas, TX 75201-1407 Vice President and Secretary | Since 2000 | General Counsel, Legal and Compliance, GuideStone Financial Resources of the Southern Baptist Convention, 1995 - present. | N/A | N/A | ||||
Patricia A. Weiland (1959) 2401 Cedar Springs Road Dallas, TX 75201-1407 Vice President — Fund Operations and Sales | Since 2000 | Executive Officer, Financial Solutions and Services, GuideStone Financial Resources of the Southern Baptist Convention, 2006 - present; Director, Mutual Funds, GuideStone Financial Resources of the Southern Baptist Convention, 2000 - 2006. | N/A | N/A |
1 | Each Trustee serves for an indefinite term, until his/her successor is elected. Officers serve at the pleasure of the Board of Trustees. |
2 | The Trust pays no compensation to the Trustees. The Trust reimburses the Trustees for any expenses incurred in attending meetings. The Trust does not compensate the officers for the services they provide to the Funds. |
3 | Messrs. Hartis and Hixson serve as trustees and are “interested persons” of the Trust as the term is defined in the Investment Company Act of 1940, due to their positions on the Board of Trustees of GuideStone Financial Resources of the Southern Baptist Convention. In addition, Mr. Hixson may also be deemed an “Interested person” of the Trust due to his positions on the Boards of Trustees of GuideStone Advisors and GuideStone Financial Services. |
4 | The executive officers of the Trust may be deemed to be affiliates of the Adviser due to their positions with the Adviser and/or GuideStone Financial Resources. |
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PROXY VOTING
A description of the policies and procedures that GuideStone Funds uses to determine how to vote proxies relating to their portfolio securities as well as information regarding how GuideStone Funds voted proxies during the most recent 12-month period ended June 30 is available without charge by calling 1-888-98-GUIDE (1-888-984-8433), by visiting our Web site at www.GuideStoneFunds.org or by visiting the SEC’s Web site at www.sec.gov.
QUARTERLY SCHEDULES OF INVESTMENTS
In addition to the semi-annual and annual reports that GuideStone Funds delivers to shareholders and makes available through its Web site, GuideStone Funds files a complete schedule of portfolio holdings with the U.S. Securities and Exchange Commission (SEC) for each Fund’s first and third fiscal quarters on Form N-Q. GuideStone Funds does not deliver the schedule for the first and third fiscal quarters to shareholders, however the schedule is posted to our Web site, www.GuideStoneFunds.org. You may also obtain the Form N-Q filings by accessing the SEC’s Web site at www.sec.gov or copy them at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling the SEC at (800) 732-0330. You can also request copies of this information, upon payment of a fee for duplication, at the SEC’s email address (publicinfo@sec.gov) or by writing the Public Reference section of the SEC, Washington, DC 20549-0102.
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INVESTMENT SUB-ADVISERS (Assets under management as of 06/30/10) (Unaudited)
GuideStone Funds employs a broad array of proven investment managers for the benefit of their investors. Each manager is distinctive in its investment management process and business approach.
Fund | Sub-Adviser | Firm Established | Total Assets Managed | ||||
Money Market | BlackRock Institutional Management Corporation | 1988 | $ | 3.2Tr | |||
Low-Duration Bond | BlackRock Financial Management, Inc. | 1988 | $ | 3.2Tr | |||
Payden & Rygel | 1983 | $ | 54.7B | ||||
PIMCO (Pacific Investment Management Company LLC) | 1971 | $ | 1.1Tr | ||||
Medium-Duration Bond | Goldman Sachs Asset Management, L.P. | 1984 | $ | 677B | |||
PIMCO (Pacific Investment Management Company LLC) | 1971 | $ | 1.1Tr | ||||
Western Asset Management Company | 1971 | $ | 345B | ||||
Western Asset Management Company Limited | 1971 | $ | 46.0B | ||||
Extended-Duration Bond | Loomis, Sayles & Company, L.P. | 1926 | $ | 140.9B | |||
STW Fixed Income Management Ltd. | 1977 | $ | 10.4B | ||||
Inflation Protected Bond | BlackRock Financial Management, Inc. | 1988 | $ | 3.2Tr | |||
Global Bond | Loomis, Sayles & Company, L.P. | 1926 | $ | 140.9B | |||
Western Asset Management Company | 1971 | $ | 345B | ||||
Western Asset Management Company Limited | 1971 | $ | 46.0B | ||||
Equity Index | Northern Trust Investments, N.A. | 1889 | $ | 603B | |||
Real Estate Securities | RREEF America L.L.C. | 1975 | $ | 17.5B | |||
Value Equity | Aronson+Johnson+Ortiz, LP | 1984 | $ | 17.2B | |||
Barrow, Hanley, Mewhinney & Straus, LLC | 1979 | $ | 51.8B | ||||
Northern Trust Investments, N.A. | 1889 | $ | 603B | ||||
TCW Investment Management Company | 1971 | $ | 109B | ||||
Growth Equity | Columbus Circle Investors | 1975 | $ | 14.5B | |||
Marsico Capital Management, LLC | 1997 | $ | 44.3B | ||||
Rainier Investment Management, Inc.® | 1991 | $ | 15.9B | ||||
Sands Capital Management, LLC | 1992 | $ | 12.0B | ||||
Small Cap Equity | Aronson+Johnson+Ortiz, LP | 1984 | $ | 17.2B | |||
Columbus Circle Investors | 1975 | $ | 14.5B | ||||
Lord, Abbett & Co. LLC | 1929 | $ | 91.7B | ||||
TimesSquare Capital Management, LLC | 2000 | $ | 11.3B | ||||
Western Asset Management Company | 1971 | $ | 345B | ||||
Western Asset Management Company Limited | 1971 | $ | 46.0B | ||||
International Equity | AllianceBernstein L.P. | 1962 | $ | 458B | |||
AQR Capital Management, LLC | 1998 | $ | 23.7B | ||||
Genesis Asset Managers, LLP | 1989 | $ | 21.1B | ||||
Lazard Asset Management LLC | 1970 | $ | 111.7B | ||||
McKinley Capital Management, LLC | 1990 | $ | 10.5B | ||||
MFS Institutional Advisors, Inc. | 1970 | $ | 85.6B | ||||
Mondrian Investment Partners Ltd. | 1990 | $ | 58.8B | ||||
Philadelphia International Advisors, L.P. | 1956 | $ | 5.3B | ||||
UBS Global Asset Management (Americas) Inc. | 1998 | $ | 142B | ||||
Custodian for GuideStone Funds Assets | The Northern Trust Company | 1889 | $ | 3.6Tr | |||
Cash Overlay for DateTarget, Asset Allocation, Bond and Equity Funds | Northern Trust Investments, N.A. | 1889 | $ | 603B |
You should consider the investment objectives, risks, charges and expenses of each Fund carefully before investing. To obtain a prospectus with this and other information about GuideStone Funds call 1-888-98-GUIDE (1-800-984-8433), visit www.GuideStoneFunds.org or write to GuideStone Funds, 2401 Cedar Springs, Dallas, TX 75201-1498. Read it carefully before you invest. Shares of GuideStone Funds are distributed by BNY Mellon Distributors Inc., 760 Moore Road, King of Prussia, PA 19406.
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2401 Cedar Springs Road, Dallas, TX 75201-1498 1-888-98-GUIDE — www.GuideStoneFunds.org | Funds distributed by BNY Mellon Distributors Inc. 760 Moore Road, King of Prussia, PA 19406 | |||
© 2010 GuideStone Funds 16646 7/10 2239
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Item 2. | Code of Ethics. |
Not applicable.
Item 3. | Audit Committee Financial Expert. |
Not applicable.
Item 4. | Principal Accountant Fees and Services. |
Not applicable.
Item 5. | Audit Committee of Listed registrants. |
Not applicable.
Item 6. | Investments. |
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
Item 8. | Portfolio Managers of Closed-End Management Investment Companies. |
Not applicable.
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Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
Item 10. | Submission of Matters to a Vote of Security Holders. |
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. | Controls and Procedures. |
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. | Exhibits. |
(a)(1) | Not applicable. | |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. | |
(a)(3) | Not applicable. | |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(registrant) | GuideStone Funds |
By (Signature and Title)* | /s/ John R. Jones | |
John R. Jones, President | ||
(principal executive officer) |
Date | August 30, 2010 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ John R. Jones | |
John R. Jones, President | ||
(principal executive officer) |
Date | August 30, 2010 |
By (Signature and Title)* | /s/ Jeffrey P. Billinger | |
Jeffrey P. Billinger, Vice President and Treasurer | ||
(principal financial officer) |
Date | August 30, 2010 |
* | Print the name and title of each signing officer under his or her signature. |