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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, 2011
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 | ||||
21 | ||||
27 | ||||
28 | ||||
29 | ||||
30 | ||||
31 | ||||
Select Funds: | ||||
37 | ||||
41 | ||||
54 | ||||
74 | ||||
79 | ||||
81 | ||||
90 | ||||
96 | ||||
98 | ||||
102 | ||||
105 | ||||
117 | ||||
130 | ||||
132 | ||||
147 | ||||
199 | ||||
202 |
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 Shareholder:
Our journey began with the launch of 13 registered mutual funds under the AB Funds Trust brand on August 27, 2001, just weeks prior to the September 11 terrorist attacks and the global market chaos that ensued. In September 2005, AB Funds Trust was re-branded as GuideStone Funds in conjunction with its expanded mission to serve both Southern Baptist and evangelical Christian organizations. Today, GuideStone Funds has emerged as the largest Christian-based, socially screened, registered mutual fund family with assets of $8.1 billion for the period ended June 30, 2011. Investors may now choose from 25 mutual funds designed to meet a variety of investment goals and objectives.
As we look ahead, we remain steadfast in our commitment to provide our investors with the highest quality investment management services and products in the industry. Several examples of our commitment and the results are shown below:
• | GuideStone Funds Ranked Nationally. Fi360 Fund Family Fiduciary Rankings™ ranked GuideStone Funds number two out of 222 funds. Fi360 evaluates fund families on regulatory oversight, track record, assets under management, stability of the organization, fund composition consistent with asset class and style, expense ratio/ fees relative to peers and performance relative to peers. |
• | Comparison of Risk/Return Data Made Easier with XBRL. GuideStone Funds investors can more easily compare mutual fund risk and return data from the prospectus by uploading XBRL files from our website to the U.S. Securities and Exchange Commission’s online viewer. XBRL stands for eXtensible Business Reporting Language. |
• | Cost Basis Reporting Change Impacts Investors. For shares purchased within personal investment accounts after January 1, 2012, GuideStone Funds will track and report the adjusted cost basis of sold securities and the holding period on IRS Form 1099-B. This information will help investors to determine the amount of capital gains/losses. More information on how this change affects investors will be forthcoming. |
We appreciate your continued confidence in GuideStone Funds and hope that you find the information in this report valuable. If you have any questions concerning the report, do not hesitate to call 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.
Sincerely,
John R. Jones, CFA
President
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FROM THE CHIEF INVESTMENT OFFICER
| A loss of economic momentum during the second quarter caused global equity markets to take a breather from the torrid pace of the past year. The S&P 500® Index returned a very volatile 0.10% for the quarter, while more conservative investments fared much better. Led by the U.S. Treasury sector, the Barclays Capital Aggregate Bond Index posted a solid gain for the quarter, up 2.29%. Despite the slow quarter for equities, the S&P 500® Index has returned 30.69% for the 12 months ending June 30.
The U.S. economy has been operating at growth rates well below its long-term capacity since the recovery began two years ago. Risk assets such as stocks are highly dependent on the future growth of the economy, so it’s no wonder that all eyes have been keenly focused on the economy’s wellbeing. The second quarter slowdown fueled increased volatility and created an overall cautious tone in the capital markets. It is widely accepted that this slowdown is due to temporary pressures surfacing from two sources: (1) supply disruptions in Japan and (2) the recent spike in oil prices. Both of which are expected to subside and lead to improved economic conditions as we move into the second half of the year. This anticipated improvement is an important consensus within the | |
Rodric E. Cummins, CFA |
market, because with signs of inflation beginning to emerge and with concerns surrounding the level of government debt, the ability of government to rush in and provide additional stimulus is becoming more and more constrained.
Beyond the natural ups and downs of cyclical economic growth, several major secular problems remain a constant barrier to a more rosy long term outlook. Unemployment, housing, deleveraging and our federal and state governments’ fiscal conditions are all problems for which there are no easy or quick answers. With or without resolution, they represent challenges that may weigh heavily on economic growth for a long time. Having just passed the second anniversary of the recovery, it appears that the U.S. economy may be settling into a long term pattern of below average economic growth.
Asset Class Performance Comparison
The following graph illustrates the performance of the major assets classes during 2011.
(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, 2011 to June 30, 2011.
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 01/01/11 | Ending Account Value 06/30/11 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||||||||||||
MyDestination 2005 | GS4 | $ | 1,000.00 | $ | 1,041.97 | 0.20 | % | $ | 1.01 | |||||||||||
MyDestination 2015 | GS4 | 1,000.00 | 1,052.35 | 0.16 | 0.83 | |||||||||||||||
MyDestination 2025 | GS4 | 1,000.00 | 1,059.29 | 0.16 | 0.83 | |||||||||||||||
MyDestination 2035 | GS4 | 1,000.00 | 1,063.80 | 0.20 | 1.02 | |||||||||||||||
MyDestination 2045 | GS4 | 1,000.00 | 1,068.08 | 0.20 | 1.03 | |||||||||||||||
Conservative Allocation | GS4 | 1,000.00 | 1,029.49 | 0.12 | 0.60 | |||||||||||||||
Balanced Allocation | GS4 | 1,000.00 | 1,044.55 | 0.12 | 0.61 | |||||||||||||||
Growth Allocation | GS4 | 1,000.00 | 1,053.74 | 0.12 | 0.61 | |||||||||||||||
Aggressive Allocation | GS4 | 1,000.00 | 1,061.92 | 0.12 | 0.61 | |||||||||||||||
Conservative Allocation I | GS2 | 1,000.00 | 1,028.66 | 0.15 | 0.75 | |||||||||||||||
Balanced Allocation I | GS2 | 1,000.00 | 1,044.60 | 0.14 | 0.69 | |||||||||||||||
Growth Allocation I | GS2 | 1,000.00 | 1,054.56 | 0.15 | 0.75 | |||||||||||||||
Aggressive Allocation I | GS2 | 1,000.00 | 1,062.26 | 0.15 | 0.79 | |||||||||||||||
Money Market | GS2 | 1,000.00 | 1,000.64 | 0.18 | 0.89 | |||||||||||||||
GS4 | 1,000.00 | 1,000.06 | 0.30 | 1.46 | ||||||||||||||||
Low-Duration Bond | GS2 | 1,000.00 | 1,013.13 | 0.36 | 1.80 | |||||||||||||||
GS4 | 1,000.00 | 1,012.45 | 0.54 | 2.68 | ||||||||||||||||
Medium-Duration Bond | GS2 | 1,000.00 | 1,029.32 | 0.48 | 2.42 | |||||||||||||||
GS4 | 1,000.00 | 1,028.90 | 0.60 | 3.00 |
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ACTUAL
Fund | Class | Beginning Account Value 01/01/11 | Ending Account Value 06/30/11 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||||||||||||
Extended-Duration Bond | GS2 | $ | 1,000.00 | $ | 1,038.70 | 0.54 | % | $ | 2.75 | |||||||||||
GS4 | 1,000.00 | 1,037.14 | 0.71 | 3.59 | ||||||||||||||||
Inflation Protected Bond | GS4 | 1,000.00 | 1,046.47 | 0.64 | 3.22 | |||||||||||||||
Global Bond | GS4 | 1,000.00 | 1,052.15 | 0.83 | 4.21 | |||||||||||||||
Equity Index | GS2 | 1,000.00 | 1,059.64 | 0.21 | 1.07 | |||||||||||||||
GS4 | 1,000.00 | 1,059.21 | 0.37 | 1.90 | ||||||||||||||||
Real Estate Securities | GS4 | 1,000.00 | 1,116.56 | 1.16 | 6.07 | |||||||||||||||
Value Equity | GS2 | 1,000.00 | 1,072.03 | 0.66 | 3.40 | |||||||||||||||
GS4 | 1,000.00 | 1,071.02 | 0.87 | 4.44 | ||||||||||||||||
Growth Equity | GS2 | 1,000.00 | 1,057.93 | 0.87 | 4.45 | |||||||||||||||
GS4 | 1,000.00 | 1,057.67 | 0.99 | 5.07 | ||||||||||||||||
Small Cap Equity | GS2 | 1,000.00 | 1,112.38 | 0.99 | 5.16 | |||||||||||||||
GS4 | 1,000.00 | 1,112.03 | 1.16 | 6.09 | ||||||||||||||||
International Equity (3) | GS2 | 1,000.00 | 1,048.31 | 0.94 | 4.75 | |||||||||||||||
GS4 | 1,000.00 | 1,047.65 | 1.14 | 5.77 |
HYPOTHETICAL (assuming a 5% return before expenses)
Fund | Class | Beginning Account Value 01/01/11 | Ending Account Value 06/30/11 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||||||||||||
My Destination 2005 | GS4 | $ | 1,000.00 | $ | 1,023.80 | 0.20 | % | $ | 1.00 | |||||||||||
My Destination 2015 | GS4 | 1,000.00 | 1,023.99 | 0.16 | 0.82 | |||||||||||||||
My Destination 2025 | GS4 | 1,000.00 | 1,023.99 | 0.16 | 0.82 | |||||||||||||||
My Destination 2035 | GS4 | 1,000.00 | 1,023.80 | 0.20 | 1.00 | |||||||||||||||
My Destination 2045 | GS4 | 1,000.00 | 1,023.80 | 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 | 1,024.12 | 0.14 | 0.68 | |||||||||||||||
Growth Allocation I | GS2 | 1,000.00 | 1,024.07 | 0.15 | 0.74 | |||||||||||||||
Aggressive Allocation I | GS2 | 1,000.00 | 1,024.03 | 0.15 | 0.77 | |||||||||||||||
Money Market | GS2 | 1,000.00 | 1,023.91 | 0.18 | 0.90 | |||||||||||||||
GS4 | 1,000.00 | 1,023.33 | 0.30 | 1.48 | ||||||||||||||||
Low-Duration Bond | GS2 | 1,000.00 | 1,023.01 | 0.36 | 1.81 | |||||||||||||||
GS4 | 1,000.00 | 1,022.13 | 0.54 | 2.69 | ||||||||||||||||
Medium-Duration Bond | GS2 | 1,000.00 | 1,022.41 | 0.48 | 2.41 | |||||||||||||||
GS4 | 1,000.00 | 1,021.83 | 0.60 | 2.99 | ||||||||||||||||
Extended-Duration Bond | GS2 | 1,000.00 | 1,022.10 | 0.54 | 2.73 | |||||||||||||||
GS4 | 1,000.00 | 1,021.27 | 0.71 | 3.56 | ||||||||||||||||
Inflation Protected Fund | GS4 | 1,000.00 | 1,021.65 | 0.64 | 3.18 | |||||||||||||||
Global Bond | GS4 | 1,000.00 | 1,020.69 | 0.83 | 4.14 |
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About Your Expenses (Unaudited) (Continued)
HYPOTHETICAL (assuming a 5% return before expenses)
Fund | Class | Beginning Account Value 01/01/11 | Ending Account Value 06/30/11 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||||||||||||
Equity Index | GS2 | $ | 1,000.00 | $ | 1,023.76 | 0.21 | % | $ | 1.05 | |||||||||||
GS4 | 1,000.00 | 1,022.94 | 0.37 | 1.87 | ||||||||||||||||
Real Estate Securities Fund | GS4 | 1,000.00 | 1,019.06 | 1.16 | 5.79 | |||||||||||||||
Value Equity | GS2 | 1,000.00 | 1,021.52 | 0.66 | 3.31 | |||||||||||||||
GS4 | 1,000.00 | 1,020.51 | 0.87 | 4.33 | ||||||||||||||||
Growth Equity | GS2 | 1,000.00 | 1,020.47 | 0.87 | 4.37 | |||||||||||||||
GS4 | 1,000.00 | 1,019.87 | 0.99 | 4.97 | ||||||||||||||||
Small Cap Equity | GS2 | 1,000.00 | 1,019.91 | 0.99 | 4.94 | |||||||||||||||
GS4 | 1,000.00 | 1,019.03 | 1.16 | 5.82 | ||||||||||||||||
International Equity (3) | GS2 | 1,000.00 | 1,020.15 | 0.94 | 4.69 | |||||||||||||||
GS4 | 1,000.00 | 1,019.16 | 1.14 | 5.69 |
(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, 2011, through June 30, 2011, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
(3) | The expense ratios for the International Equity Fund include the impact of dividend expense on securities sold short. |
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MYDESTINATION 2005 FUND | ||
SCHEDULE OF INVESTMENTS | June 30, 2011 (Unaudited) |
Shares | Value | |||||||
MUTUAL FUNDS — 99.8% | ||||||||
GuideStone Money Market Fund (GS4 Class)¥ | 3,739,203 | $ | 3,739,203 | |||||
GuideStone Low-Duration Bond Fund (GS4 Class)¥ | 1,055,857 | 14,085,135 | ||||||
GuideStone Medium-Duration Bond Fund (GS4 Class)¥ | 748,116 | 10,428,732 | ||||||
GuideStone Inflation Protected Bond Fund (GS4 Class)¥ | 813,443 | 8,646,896 | ||||||
GuideStone Global Bond Fund (GS4 Class)¥ | 28,678 | 289,075 | ||||||
GuideStone Equity Index Fund (GS4 Class)¥ | 48,946 | 833,547 | ||||||
GuideStone Real Estate Securities Fund (GS4 Class)¥ | 173,464 | 1,646,177 | ||||||
GuideStone Value Equity Fund (GS4 Class)¥ | 393,373 | 5,884,856 | ||||||
GuideStone Growth Equity Fund (GS4 Class)¥ | 299,113 | 5,979,271 | ||||||
GuideStone Small Cap Equity Fund (GS4 Class)¥ | 97,458 | 1,567,124 | ||||||
GuideStone International Equity Fund (GS4 Class)¥ | 444,474 | 6,253,753 | ||||||
|
| |||||||
Total Mutual Funds | 59,353,769 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.8% | 59,353,769 | |||||||
Other Assets in Excess of | 141,276 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 59,495,045 | ||||||
|
|
Please see abbreviation and footnote definitions beginning on page 130.
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Bond Funds | 56.3 | |||
Domestic Equity Funds | 26.7 | |||
International Equity Fund | 10.5 | |||
Money Market Fund | 6.3 | |||
Futures | 4.9 | |||
|
| |||
104.7 | ||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2011, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Mutual Funds | $ | 59,353,769 | $ | 59,353,769 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 59,353,769 | $ | 59,353,769 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | 74,203 | $ | 74,203 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 74,203 | $ | 74,203 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
*** | 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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MYDESTINATION 2015 FUND | ||
SCHEDULE OF INVESTMENTS | June 30, 2011 (Unaudited) |
Shares | Value | |||||||
MUTUAL FUNDS — 99.5% | ||||||||
GuideStone Money Market Fund (GS4 Class)¥ | 24,613,093 | $ | 24,613,093 | |||||
GuideStone Low-Duration Bond Fund (GS4 Class)¥ | 1,503,560 | 20,057,493 | ||||||
GuideStone Medium-Duration Bond Fund (GS4 Class)¥ | 2,249,619 | 31,359,690 | ||||||
GuideStone Extended-Duration Bond Fund (GS4 Class)¥ | 658,939 | 10,859,319 | ||||||
GuideStone Inflation Protected Bond Fund (GS4 Class)¥ | 2,845,657 | 30,249,330 | ||||||
GuideStone Global Bond Fund (GS4 Class)¥ | 1,145,897 | 11,550,641 | ||||||
GuideStone Equity Index Fund (GS4 Class)¥ | 284,007 | 4,836,638 | ||||||
GuideStone Real Estate Securities Fund (GS4 Class)¥ | 1,607,506 | 15,255,235 | ||||||
GuideStone Value Equity Fund (GS4 Class)¥ | 2,492,162 | 37,282,748 | ||||||
GuideStone Growth Equity Fund (GS4 Class)¥ | 1,895,373 | 37,888,497 | ||||||
GuideStone Small Cap Equity Fund (GS4 Class)¥ | 644,837 | 10,368,971 | ||||||
GuideStone International Equity Fund (GS4 Class)¥ | 2,849,675 | 40,094,926 | ||||||
|
| |||||||
Total Mutual Funds | 274,416,581 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.5% | 274,416,581 | |||||||
Other Assets in Excess of | 1,356,817 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 275,773,398 | ||||||
|
|
Please see abbreviation and footnote definitions beginning on page 130.
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Domestic Equity Funds | 38.3 | |||
Bond Funds | 37.8 | |||
International Equity Fund | 14.5 | |||
Money Market Fund | 8.9 | |||
Futures Contracts | 8.8 | |||
|
| |||
108.3 | ||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2011, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Mutual Funds | $ | 274,416,581 | $ | 274,416,581 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 274,416,581 | $ | 274,416,581 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | 518,949 | $ | 518,949 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 518,949 | $ | 518,949 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
*** | 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.
8
Table of Contents
MYDESTINATION 2025 FUND | ||
SCHEDULE OF INVESTMENTS | June 30, 2011 (Unaudited) |
Shares | Value | |||||||
MUTUAL FUNDS — 99.5% | ||||||||
GuideStone Money Market Fund (GS4 Class)¥ | 22,179,430 | $ | 22,179,430 | |||||
GuideStone Low-Duration Bond Fund (GS4 Class)¥ | 246,550 | 3,288,970 | ||||||
GuideStone Medium-Duration Bond Fund (GS4 Class)¥ | 1,530,456 | 21,334,562 | ||||||
GuideStone Extended-Duration Bond Fund (GS4 Class)¥ | 1,111,768 | 18,321,945 | ||||||
GuideStone Inflation Protected Bond Fund (GS4 Class)¥ | 374,621 | 3,982,217 | ||||||
GuideStone Global Bond Fund (GS4 Class)¥ | 1,790,432 | 18,047,550 | ||||||
GuideStone Equity Index Fund (GS4 Class)¥ | 333,760 | 5,683,934 | ||||||
GuideStone Real Estate Securities Fund (GS4 Class)¥ | 1,847,418 | 17,531,995 | ||||||
GuideStone Value Equity Fund (GS4 Class)¥ | 3,204,547 | 47,940,019 | ||||||
GuideStone Growth Equity Fund (GS4 Class)¥ | 2,439,253 | 48,760,666 | ||||||
GuideStone Small Cap Equity Fund (GS4 Class)¥ | 1,004,401 | 16,150,774 | ||||||
GuideStone International Equity Fund (GS4 Class)¥ | 3,754,541 | 52,826,394 | ||||||
|
| |||||||
Total Mutual Funds | 276,048,456 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.5% | 276,048,456 | |||||||
Other Assets in Excess of | 1,433,238 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 277,481,694 | ||||||
|
|
Please see abbreviation and footnote definitions beginning on page 130.
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Domestic Equity Funds | 49.0 | |||
Bond Funds | 23.5 | |||
International Equity Fund | 19.0 | |||
Futures Contracts | 8.7 | |||
Money Market Fund | 8.0 | |||
|
| |||
108.2 | ||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2011, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Mutual Funds | $ | 276,048,456 | $ | 276,048,456 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 276,048,456 | $ | 276,048,456 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | 485,355 | $ | 485,355 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 485,355 | $ | 485,355 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
*** | 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
MYDESTINATION 2035 FUND | ||
SCHEDULE OF INVESTMENTS | June 30, 2011 (Unaudited) |
Shares | Value | |||||||
MUTUAL FUNDS — 100.2% | ||||||||
GuideStone Money Market Fund (GS4 Class)¥ | 3,054,653 | $ | 3,054,653 | |||||
GuideStone Medium-Duration Bond Fund (GS4 Class)¥ | 221,649 | 3,089,788 | ||||||
GuideStone Extended-Duration Bond Fund (GS4 Class)¥ | 187,707 | 3,093,406 | ||||||
GuideStone Global Bond Fund (GS4 Class)¥ | 686,404 | 6,918,951 | ||||||
GuideStone Equity Index Fund (GS4 Class)¥ | 184,435 | 3,140,928 | ||||||
GuideStone Real Estate Securities Fund (GS4 Class)¥ | 946,096 | 8,978,460 | ||||||
GuideStone Value Equity Fund (GS4 Class)¥ | 1,961,026 | 29,336,954 | ||||||
GuideStone Growth Equity Fund (GS4 Class)¥ | 1,467,305 | 29,331,430 | ||||||
GuideStone Small Cap Equity Fund (GS4 Class)¥ | 683,538 | 10,991,283 | ||||||
GuideStone International Equity Fund (GS4 Class)¥ | 2,407,893 | 33,879,053 | ||||||
|
| |||||||
Total Mutual Funds | 131,814,906 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.2% | 131,814,906 | |||||||
Liabilities in Excess of Other | (207,746 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 131,607,160 | ||||||
|
|
Please see abbreviation and footnote definitions beginning on page 130.
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Domestic Equity Funds | 62.1 | |||
International Equity Fund | 25.8 | |||
Bond Funds | 10.0 | |||
Money Market Fund | 2.3 | |||
Futures Contracts | 2.0 | |||
|
| |||
102.2 | ||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2011, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Mutual Funds | $ | 131,814,906 | $ | 131,814,906 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 131,814,906 | $ | 131,814,906 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | 60,950 | $ | 60,950 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 60,950 | $ | 60,950 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
*** | 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
MYDESTINATION 2045 FUND | ||
SCHEDULE OF INVESTMENTS | June 30, 2011 (Unaudited) |
Shares | Value | |||||||
MUTUAL FUNDS — 99.8% | ||||||||
GuideStone Money Market Fund (GS4 Class)¥ | 1,987,131 | $ | 1,987,131 | |||||
GuideStone Global Bond Fund (GS4 Class)¥ | 34,722 | 349,997 | ||||||
GuideStone Equity Index Fund (GS4 Class)¥ | 164,342 | 2,798,746 | ||||||
GuideStone Real Estate Securities Fund (GS4 Class)¥ | 883,268 | 8,382,213 | ||||||
GuideStone Value Equity Fund (GS4 Class)¥ | 1,432,000 | 21,422,727 | ||||||
GuideStone Growth Equity Fund (GS4 Class)¥ | 1,091,149 | 21,812,065 | ||||||
GuideStone Small Cap Equity Fund (GS4 Class)¥ | 467,951 | 7,524,655 | ||||||
GuideStone International Equity Fund (GS4 Class)¥ | 1,729,625 | 24,335,823 | ||||||
|
| |||||||
Total Mutual Funds | 88,613,357 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.8% | 88,613,357 | |||||||
Other Assets in Excess of | 216,887 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 88,830,244 | ||||||
|
|
Please see abbreviation and footnote definitions beginning on page 130.
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Domestic Equity Funds | 69.7 | |||
International Equity Fund | 27.4 | |||
Futures Contracts | 2.4 | |||
Money Market Fund | 2.3 | |||
Bond Fund | 0.4 | |||
|
| |||
102.2 | ||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2011, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Mutual Funds | $ | 88,613,357 | $ | 88,613,357 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 88,613,357 | $ | 88,613,357 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | 62,724 | $ | 62,724 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 62,724 | $ | 62,724 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
*** | 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, 2011 (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(1) | $ | 59,353,769 | $ | 274,416,581 | $ | 276,048,456 | $ | 131,814,906 | $ | 88,613,357 | ||||||||||
Cash collateral for derivatives | 149,200 | 972,000 | 975,300 | 221,000 | 164,500 | |||||||||||||||
Receivables: | ||||||||||||||||||||
Dividends | 17 | 104 | 94 | 21 | 15 | |||||||||||||||
Investment securities sold | — | — | — | 564,314 | — | |||||||||||||||
Fund shares sold | 801 | 297,433 | 373,375 | 222,249 | 28,872 | |||||||||||||||
Variation margin | 16,303 | 104,995 | 98,837 | 21,389 | 21,235 | |||||||||||||||
Receivable from advisor | 3,813 | — | — | — | 439 | |||||||||||||||
Prepaid expenses and other assets | 22,194 | 22,032 | 22,760 | 21,742 | 20,900 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Assets | 59,546,097 | 275,813,145 | 277,518,822 | 132,865,621 | 88,849,318 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Liabilities | ||||||||||||||||||||
Payables: | ||||||||||||||||||||
Investment securities purchased | — | — | — | 1,232,500 | — | |||||||||||||||
Fund shares redeemed | 37,016 | — | — | 3,500 | 3,061 | |||||||||||||||
Accrued expenses: | ||||||||||||||||||||
Investment advisory fees | — | 23,283 | 23,049 | 6,309 | — | |||||||||||||||
Other expenses | 14,036 | 16,464 | 14,079 | 16,152 | 16,013 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Liabilities | 51,052 | 39,747 | 37,128 | 1,258,461 | 19,074 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Assets | $ | 59,495,045 | $ | 275,773,398 | $ | 277,481,694 | $ | 131,607,160 | $ | 88,830,244 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Assets Consist of: | ||||||||||||||||||||
Paid-in capital | $ | 61,815,718 | $ | 269,783,488 | $ | 260,920,928 | $ | 119,014,084 | $ | 74,636,341 | ||||||||||
Undistributed net investment income | 481,500 | 3,161,132 | 2,095,645 | 468,796 | 193,075 | |||||||||||||||
Accumulated net realized loss on investments and futures transactions | (9,911,111 | ) | (23,181,126 | ) | (10,618,353 | ) | (2,721,126 | ) | (1,598,630 | ) | ||||||||||
Net unrealized appreciation (depreciation) on investments and futures | 7,108,938 | 26,009,904 | 25,083,474 | 14,845,406 | 15,599,458 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Assets | $ | 59,495,045 | $ | 275,773,398 | $ | 277,481,694 | $ | 131,607,160 | $ | 88,830,244 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value: | ||||||||||||||||||||
$0.001 par value, unlimited shares authorized | ||||||||||||||||||||
Net assets applicable to the GS4 Class | $ | 59,495,045 | $ | 275,773,398 | $ | 277,481,694 | $ | 131,607,160 | $ | 88,830,244 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
GS4 shares outstanding | 5,992,549 | 28,009,246 | 29,312,888 | 14,345,223 | 9,761,877 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, offering and redemption price per GS4 share | $ | 9.93 | $ | 9.85 | $ | 9.47 | $ | 9.17 | $ | 9.10 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
(1) Investments in securities of affiliated issuers, at cost | $ | 52,319,034 | $ | 248,925,626 | $ | 251,450,337 | $ | 117,030,450 | $ | 73,076,623 | ||||||||||
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
12
Table of Contents
STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2011 (Unaudited) |
MyDestination 2005 Fund | MyDestination 2015 Fund | MyDestination 2025 Fund | MyDestination 2035 Fund | MyDestination 2045 Fund | ||||||||||||||||
Investment Income | ||||||||||||||||||||
Income dividends received from affiliated funds | $ | 389,761 | $ | 1,869,332 | $ | 1,652,827 | $ | 585,340 | $ | 273,036 | ||||||||||
Interest | — | 12,801 | 8,829 | — | 285 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Investment Income | 389,761 | 1,882,133 | 1,661,656 | 585,340 | 273,321 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Expenses | ||||||||||||||||||||
Investment advisory fees | 29,079 | 132,676 | 131,058 | 62,181 | 42,058 | |||||||||||||||
Transfer agent fees: | ||||||||||||||||||||
GS4 Shares | 9,473 | 10,504 | 10,591 | 10,058 | 9,966 | |||||||||||||||
Custodian fees | 2,685 | 7,562 | 7,654 | 6,807 | 5,674 | |||||||||||||||
Accounting and administration fees | 5,058 | 10,771 | 10,800 | 7,033 | 5,894 | |||||||||||||||
Professional fees | 23,382 | 23,382 | 23,381 | 23,382 | 23,382 | |||||||||||||||
Blue sky fees: | ||||||||||||||||||||
GS4 Shares | 12,653 | 13,307 | 13,497 | 12,886 | 12,576 | |||||||||||||||
Shareholder reporting fees: | ||||||||||||||||||||
GS4 Shares | 4,012 | 3,784 | 2,387 | 4,175 | 5,331 | |||||||||||||||
Trustee expenses | 208 | 828 | 764 | 351 | 228 | |||||||||||||||
Line of credit facility fees | 342 | 1,353 | 1,222 | 563 | 364 | |||||||||||||||
Other expenses | 8,248 | 7,660 | 7,510 | 7,509 | 7,503 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Expenses | 95,140 | 211,827 | 208,864 | 134,945 | 112,976 | |||||||||||||||
Expenses waived/reimbursed net of amount recaptured(1) | (37,552 | ) | — | — | (13,453 | ) | (31,239 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Expenses | 57,588 | 211,827 | 208,864 | 121,492 | 81,737 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net investment income | 332,173 | 1,670,306 | 1,452,792 | 463,848 | 191,584 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Realized and Unrealized Gain (Loss) | ||||||||||||||||||||
Capital gain distributions received from affiliated funds | 66,029 | 275,241 | 132,038 | 33,573 | 19,236 | |||||||||||||||
Net realized gain (loss) on investment securities of affiliated issuers | 536,242 | (4,082,136 | ) | (3,274,482 | ) | (380,717 | ) | (328,842 | ) | |||||||||||
Net realized gain (loss) on investment securities of unaffiliated issuers | — | (14,767 | ) | 14,802 | 2,815 | 2 | ||||||||||||||
Net realized gain on futures transactions | (5,360 | ) | 193,843 | 132,989 | 103,069 | 117,066 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net realized gain (loss) | 596,911 | (3,627,819 | ) | (2,994,653 | ) | (241,260 | ) | (192,538 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Change in unrealized appreciation on investment securities of affiliated issuers | 1,348,418 | 14,640,815 | 15,597,069 | 7,194,439 | 5,219,978 | |||||||||||||||
Change in unrealized appreciation on investment securities of unaffiliated issuers | — | 22,455 | (5,450 | ) | (941 | ) | (22 | ) | ||||||||||||
Change in unrealized appreciation on futures | 74,203 | 416,227 | 422,209 | 29,003 | 26,388 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net change in unrealized appreciation | 1,422,621 | 15,079,497 | 16,013,828 | 7,222,501 | 5,246,344 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Realized and Unrealized Gain | 2,019,532 | 11,451,678 | 13,019,175 | 6,981,241 | 5,053,806 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Increase in Net Assets Resulting from Operations | $ | 2,351,705 | $ | 13,121,984 | $ | 14,471,967 | $ | 7,445,089 | $ | 5,245,390 | ||||||||||
|
|
|
|
|
|
|
|
|
|
(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 06/30/11 | For the Year Ended 12/31/10 | |||||||
(Unaudited) | ||||||||
Operations: | ||||||||
Net investment income | $ | 332,173 | $ | 957,660 | ||||
Net realized gain (loss) on investment securities and futures transactions | 596,911 | (2,591,615 | ) | |||||
Net change in unrealized appreciation (depreciation) on investment securities and futures | 1,422,621 | 7,862,555 | ||||||
|
|
|
| |||||
Net increase in net assets resulting from operations | 2,351,705 | 6,228,600 | ||||||
|
|
|
| |||||
Dividends and Distributions to Shareholders: | ||||||||
Dividends from net investment income(1) | — | (1,382,009 | ) | |||||
Distributions from net realized capital gains | — | — | ||||||
|
|
|
| |||||
Total dividends and distributions | — | (1,382,009 | ) | |||||
|
|
|
| |||||
Capital Share Transactions: | ||||||||
Proceeds from GS4 shares sold | 10,031,501 | 16,345,475 | ||||||
Reinvestment of dividends and distributions into GS4 shares | — | 1,381,875 | ||||||
Value of GS4 shares redeemed | (7,571,070 | ) | (34,721,138 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions(2) | 2,460,431 | (16,993,788 | ) | |||||
|
| �� |
| |||||
Total increase (decrease) in net assets | 4,812,136 | (12,147,197 | ) | |||||
|
|
|
| |||||
Net Assets: | ||||||||
Beginning of Period | 54,682,909 | 66,830,106 | ||||||
|
|
|
| |||||
End of Period* | $ | 59,495,045 | $ | 54,682,909 | ||||
|
|
|
| |||||
*Including undistributed net investment income | $ | 481,500 | $ | 149,327 | ||||
|
|
|
|
(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.
14
Table of Contents
MyDestination 2015 Fund | MyDestination 2025 Fund | MyDestination 2035 Fund | MyDestination 2045 Fund | |||||||||||||||||||||||||||
For the Six Months Ended 06/30/11 | For the Year Ended 12/31/10 | For the Six Months Ended 06/30/11 | For the Year Ended 12/31/10 | For the Six Months Ended 06/30/11 | For the Year Ended 12/31/10 | For the Six Months Ended 06/30/11 | For the Year Ended 12/31/10 | |||||||||||||||||||||||
(Unaudited) | (Unaudited) | (Unaudited) | ||||||||||||||||||||||||||||
$ | 1,670,306 | $ | 3,914,330 | $ | 1,452,792 | $ | 3,326,828 | $ | 463,848 | $ | 1,149,458 | $ | 191,584 | $ | 605,319 | |||||||||||||||
(3,627,819 | ) | (6,101,491 | ) | (2,994,653 | ) | (705,885 | ) | (241,260 | ) | (925,478 | ) | (192,538 | ) | 443,618 | ||||||||||||||||
15,079,497 | 32,497,322 | 16,013,828 | 26,572,953 | 7,222,501 | 13,928,400 | 5,246,344 | 8,943,961 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
13,121,984 | 30,310,161 | 14,471,967 | 29,193,896 | 7,445,089 | 14,152,380 | 5,245,390 | 9,992,898 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
— | (5,104,591 | ) | — | (3,787,639 | ) | — | (1,213,587 | ) | — | (603,947 | ) | |||||||||||||||||||
— | — | — | — | — | (98,451 | ) | — | (257,097 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
— | (5,104,591 | ) | — | (3,787,639 | ) | — | (1,312,038 | ) | — | (861,044 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
28,171,870 | 47,065,643 | 30,802,591 | 50,705,586 | 17,015,171 | 28,363,630 | 14,341,473 | 25,499,963 | |||||||||||||||||||||||
— | 5,104,589 | — | 3,787,605 | — | 1,312,038 | — | 861,044 | |||||||||||||||||||||||
(11,192,047 | ) | (50,968,664 | ) | (4,294,749 | ) | (12,960,593 | ) | (3,059,315 | ) | (7,729,184 | ) | (6,559,185 | ) | (3,849,382 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
16,979,823 | 1,201,568 | 26,507,842 | 41,532,598 | 13,955,856 | 21,946,484 | 7,782,288 | 22,511,625 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
30,101,807 | 26,407,138 | 40,979,809 | 66,938,855 | 21,400,945 | 34,786,826 | 13,027,678 | 31,643,479 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
245,671,591 | 219,264,453 | 236,501,885 | 169,563,030 | 110,206,215 | 75,419,389 | 75,802,566 | 44,159,087 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | 275,773,398 | $ | 245,671,591 | $ | 277,481,694 | $ | 236,501,885 | $ | 131,607,160 | $ | 110,206,215 | $ | 88,830,244 | $ | 75,802,566 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | 3,161,132 | $ | 1,490,826 | $ | 2,095,645 | $ | 642,853 | $ | 468,796 | $ | 4,948 | $ | 193,075 | $ | 1,491 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2011(6) | $ | 9.53 | $ | 0.06 | # | $ | 0.01 | $ | 0.33 | $ | — | $ | — | $ | 9.93 | 4.20 | % | $ | 59,495 | 0.20 | % | 0.33 | % | 1.15 | % | 10 | % | |||||||||||||||||||||||||
2010 | 8.84 | 0.14 | # | 0.09 | 0.70 | (0.24 | ) | — | 9.53 | 10.56 | 54,683 | 0.20 | 0.26 | 1.50 | 19 | |||||||||||||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2011(6) | $ | 9.36 | $ | 0.06 | # | $ | 0.01 | $ | 0.42 | $ | — | $ | — | $ | 9.85 | 5.24 | % | $ | 275,773 | 0.16 | % | 0.16 | % | 1.29 | % | 11 | % | |||||||||||||||||||||||||
2010 | 8.42 | 0.14 | # | 0.06 | 0.94 | (0.20 | ) | — | 9.36 | 13.54 | 245,672 | 0.16 | 0.16 | 1.65 | 28 | |||||||||||||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2011(6) | $ | 8.94 | $ | 0.05 | # | $ | — | † | $ | 0.48 | $ | — | $ | — | $ | 9.47 | 5.93 | % | $ | 277,482 | 0.16 | % | 0.16 | % | 1.13 | % | 10 | % | ||||||||||||||||||||||||
2010 | 7.88 | 0.14 | # | 0.03 | 1.04 | (0.15 | ) | — | 8.94 | 15.32 | 236,502 | 0.20 | 0.17 | 1.72 | 15 | |||||||||||||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2011(6) | $ | 8.62 | $ | 0.03 | # | $ | — | † | $ | 0.52 | $ | — | $ | — | $ | 9.17 | 6.38 | % | $ | 131,607 | 0.20 | % | 0.22 | % | 0.76 | % | 4 | % | ||||||||||||||||||||||||
2010 | 7.52 | 0.10 | # | 0.01 | 1.10 | (0.10 | ) | (0.01 | ) | 8.62 | 16.02 | 110,206 | 0.20 | 0.23 | 1.32 | 9 | ||||||||||||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2011(6) | $ | 8.52 | $ | 0.02 | # | $ | — | † | $ | 0.56 | $ | — | $ | — | $ | 9.10 | 6.81 | % | $ | 88,830 | 0.20 | % | 0.28 | % | 0.47 | % | 8 | % | ||||||||||||||||||||||||
2010 | 7.38 | 0.08 | # | — | † | 1.16 | (0.07 | ) | (0.03 | ) | 8.52 | 16.80 | 75,803 | 0.20 | 0.30 | 1.08 | 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, 2011. 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, 2011 (Unaudited) |
Shares | Value | |||||||
MUTUAL FUNDS — 99.9% | ||||||||
GuideStone Money Market Fund (GS4 Class)¥ | 11,541,879 | $ | 11,541,879 | |||||
GuideStone Low-Duration Bond Fund (GS4 Class)¥ | 11,950,716 | 159,422,552 | ||||||
GuideStone Inflation Protected Bond Fund (GS4 Class)¥ | 3,793,031 | 40,319,918 | ||||||
GuideStone Equity Index Fund (GS4 Class)¥ | 168,686 | 2,872,729 | ||||||
GuideStone Value Equity Fund (GS4 Class)¥ | 1,208,403 | 18,077,706 | ||||||
GuideStone Growth Equity Fund (GS4 Class)¥ | 931,123 | 18,613,143 | ||||||
GuideStone Small Cap Equity Fund (GS4 Class)¥ | 273,441 | 4,396,926 | ||||||
GuideStone International Equity Fund (GS4 Class)¥ | 1,365,041 | 19,206,127 | ||||||
|
| |||||||
Total Mutual Funds | 274,450,980 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.9% | 274,450,980 | |||||||
Other Assets in Excess of Liabilities — 0.1% | 304,849 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 274,755,829 | ||||||
|
|
Please see abbreviation and footnote definitions beginning on page 130.
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Bond Funds | 72.7 | |||
Domestic Equity Funds | 16.0 | |||
International Equity Fund | 7.0 | |||
Money Market Fund | 4.2 | |||
Futures Contracts | 4.0 | |||
|
| |||
103.9 | ||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2011, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Mutual Funds | $ | 274,450,980 | $ | 274,450,980 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 274,450,980 | $ | 274,450,980 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | 206,202 | $ | 206,202 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 206,202 | $ | 206,202 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
*** | 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, 2011 (Unaudited) |
Shares | Value | |||||||
MUTUAL FUNDS — 99.8% | ||||||||
GuideStone Money Market Fund (GS4 Class)¥ | 60,850,570 | $ | 60,850,570 | |||||
GuideStone Low-Duration Bond Fund (GS4 Class)¥ | 12,403,309 | 165,460,147 | ||||||
GuideStone Medium-Duration Bond Fund (GS4 Class)¥ | 17,219,411 | 240,038,590 | ||||||
GuideStone Extended-Duration Bond Fund (GS4 Class)¥ | 5,768,352 | 95,062,443 | ||||||
GuideStone Global Bond Fund (GS4 Class)¥ | 5,574,455 | 56,190,508 | ||||||
GuideStone Equity Index Fund (GS4 Class)¥ | 1,387,408 | 23,627,553 | ||||||
GuideStone Value Equity Fund (GS4 Class)¥ | 10,375,496 | 155,217,420 | ||||||
GuideStone Growth Equity Fund (GS4 Class)¥ | 7,920,043 | 158,321,650 | ||||||
GuideStone Small Cap Equity Fund (GS4 Class)¥ | 2,395,277 | 38,516,049 | ||||||
GuideStone International Equity Fund (GS4 Class)¥ | 11,963,990 | 168,333,344 | ||||||
|
| |||||||
Total Mutual Funds | 1,161,618,274 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.8% | 1,161,618,274 | |||||||
Other Assets in Excess of Liabilities — 0.2% | 2,244,837 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,163,863,111 | ||||||
|
|
Please see abbreviation and footnote definitions beginning on page 130.
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Bond Funds | 47.8 | |||
Domestic Equity Funds | 32.3 | |||
International Equity Fund | 14.5 | |||
Money Market Fund | 5.2 | |||
Futures Contracts | 5.0 | |||
|
| |||
104.8 | ||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2011, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Mutual Funds | $ | 1,161,618,274 | $ | 1,161,618,274 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 1,161,618,274 | $ | 1,161,618,274 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | 1,286,393 | $ | 1,286,393 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 1,286,393 | $ | 1,286,393 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
*** | 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, 2011 (Unaudited) |
Shares | Value | |||||||
MUTUAL FUNDS — 99.9% | ||||||||
GuideStone Money Market Fund (GS4 Class)¥ | 15,068,297 | $ | 15,068,297 | |||||
GuideStone Low-Duration Bond Fund (GS4 Class)¥ | 4,670,142 | 62,299,694 | ||||||
GuideStone Medium-Duration Bond Fund (GS4 Class)¥ | 6,405,462 | 89,292,134 | ||||||
GuideStone Extended-Duration Bond Fund (GS4 Class)¥ | 2,114,764 | 34,851,310 | ||||||
GuideStone Global Bond Fund (GS4 Class)¥ | 2,090,594 | 21,073,191 | ||||||
GuideStone Equity Index Fund (GS4 Class)¥ | 1,563,772 | 26,631,041 | ||||||
GuideStone Value Equity Fund (GS4 Class)¥ | 12,446,371 | 186,197,717 | ||||||
GuideStone Growth Equity Fund (GS4 Class)¥ | 9,420,907 | 188,323,931 | ||||||
GuideStone Small Cap Equity Fund (GS4 Class)¥ | 2,840,843 | 45,680,763 | ||||||
GuideStone International Equity Fund (GS4 Class)¥ | 14,368,194 | 202,160,495 | ||||||
|
| |||||||
Total Mutual Funds | 871,578,573 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.9% | 871,578,573 | |||||||
Other Assets in Excess of Liabilities — 0.1% | 930,453 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 872,509,026 | ||||||
|
|
Please see abbreviation and footnote definitions beginning on page 130.
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Domestic Equity Funds | 51.2 | |||
Bond Funds | 23.8 | |||
International Equity Fund | 23.2 | |||
Futures Contracts | 1.8 | |||
Money Market Fund | 1.7 | |||
|
| |||
101.7 | ||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2011, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Mutual Funds | $ | 871,578,573 | $ | 871,578,573 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 871,578,573 | $ | 871,578,573 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | 344,951 | $ | 344,951 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 344,951 | $ | 344,951 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
*** | 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, 2011 (Unaudited) |
Shares | Value | |||||||
MUTUAL FUNDS — 99.8% | ||||||||
GuideStone Money Market Fund (GS4 Class)¥ | 14,449,087 | $ | 14,449,087 | |||||
GuideStone Equity Index Fund (GS4 Class)¥ | 1,828,462 | 31,138,708 | ||||||
GuideStone Value Equity Fund (GS4 Class)¥ | 14,527,586 | 217,332,680 | ||||||
GuideStone Growth Equity Fund (GS4 Class)¥ | 11,131,730 | 222,523,293 | ||||||
GuideStone Small Cap Equity Fund (GS4 Class)¥ | 3,321,538 | 53,410,328 | ||||||
GuideStone International Equity Fund (GS4 Class)¥ | 16,886,245 | 237,589,471 | ||||||
|
| |||||||
Total Mutual Funds | 776,443,567 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.8% | 776,443,567 | |||||||
Other Assets in Excess of Liabilities — 0.2% | 1,309,555 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 777,753,122 | ||||||
|
|
Please see abbreviation and footnote definitions beginning on page 130.
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Domestic Equity Funds | 67.4 | |||
International Equity Fund | 30.5 | |||
Futures Contracts | 2.0 | |||
Money Market Fund | 1.9 | |||
|
| |||
101.8 | ||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2011, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Mutual Funds | $ | 776,443,567 | $ | 776,443,567 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 776,443,567 | $ | 776,443,567 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | 437,073 | $ | 437,073 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 437,073 | $ | 437,073 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
*** | 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.
20
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES | June 30, 2011 (Unaudited) |
Conservative Allocation Fund | Balanced Allocation Fund | Growth Allocation Fund | Aggressive Allocation Fund | |||||||||||||
Assets | ||||||||||||||||
Investments in securities of affiliated issuers, at value (1) | $ | 274,450,980 | $ | 1,161,618,274 | $ | 871,578,573 | $ | 776,443,567 | ||||||||
Cash collateral for derivatives | 357,900 | 2,474,600 | 1,149,400 | 1,227,000 | ||||||||||||
Receivables: | ||||||||||||||||
Dividends | 59 | 324 | 130 | 121 | ||||||||||||
Investment securities sold | — | 4,745 | 2,893 | 2,128 | ||||||||||||
Fund shares sold | 47,688 | 24,960 | 15,392 | — | ||||||||||||
Variation margin | 47,598 | 248,130 | 115,294 | 159,830 | ||||||||||||
Prepaid expenses and other assets | 21,300 | 28,599 | 24,105 | 22,588 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | 274,925,525 | 1,164,399,632 | 872,885,787 | 777,855,234 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities | ||||||||||||||||
Payables: | ||||||||||||||||
Fund shares redeemed | 135,594 | 400,091 | 276,020 | 16,761 | ||||||||||||
Accrued expenses: | ||||||||||||||||
Investment advisory fees | 8,594 | 81,454 | 57,787 | 50,059 | ||||||||||||
Other expenses | 25,508 | 54,976 | 42,954 | 35,292 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | 169,696 | 536,521 | 376,761 | 102,112 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 274,755,829 | $ | 1,163,863,111 | $ | 872,509,026 | $ | 777,753,122 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets Consist of: | ||||||||||||||||
Paid-in-capital | $ | 248,217,595 | $ | 1,054,205,751 | $ | 796,885,782 | $ | 719,703,707 | ||||||||
Undistributed net investment income | 1,568,184 | 9,329,247 | 4,127,991 | 2,097,595 | ||||||||||||
Undistributed net realized gain on investments and futures transactions | 2,216,797 | 2,199,613 | 10,153,447 | 11,470,299 | ||||||||||||
Net unrealized appreciation (depreciation) on investments and futures | 22,753,253 | 98,128,500 | 61,341,806 | 44,481,521 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 274,755,829 | $ | 1,163,863,111 | $ | 872,509,026 | $ | 777,753,122 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Asset Value: | ||||||||||||||||
$0.001 par value, unlimited shares authorized | ||||||||||||||||
Net assets applicable to the GS4 Class | $ | 274,755,829 | $ | 1,163,863,111 | $ | 872,509,026 | $ | 777,753,122 | ||||||||
|
|
|
|
|
|
|
| |||||||||
GS4 shares outstanding | 22,491,384 | 91,957,601 | 67,450,362 | 62,141,862 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, offering and redemption price per GS4 share | $ | 12.22 | $ | 12.66 | $ | 12.94 | $ | 12.52 | ||||||||
|
|
|
|
|
|
|
| |||||||||
__________ (1) Investments in securities of affiliated issuers, at cost | $ | 251,903,929 | $ | 1,064,776,167 | $ | 810,581,718 | $ | 732,399,119 | ||||||||
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
21
Table of Contents
STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2011 (Unaudited) |
Conservative Allocation Fund | Balanced Allocation Fund | Growth Allocation Fund | Aggressive Allocation Fund | |||||||||||||
Investment Income | ||||||||||||||||
Income dividends received from affiliated funds | $ | 1,644,886 | $ | 7,717,127 | $ | 4,388,660 | $ | 2,553,165 | ||||||||
Interest | 143 | 102,041 | 36,762 | 1,482 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investment Income | 1,645,029 | 7,819,168 | 4,425,422 | 2,554,647 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses | ||||||||||||||||
Investment advisory fees | 134,824 | 583,064 | 438,530 | 392,505 | ||||||||||||
Transfer agent fees: | ||||||||||||||||
GS4 shares | 17,274 | 30,248 | 22,778 | 21,047 | ||||||||||||
Custodian fees | 5,613 | 13,815 | 12,143 | 9,546 | ||||||||||||
Accounting and administration fees | 11,110 | 33,892 | 26,556 | 24,021 | ||||||||||||
Professional fees | 23,827 | 23,827 | 23,827 | 23,827 | ||||||||||||
Blue sky fees: | ||||||||||||||||
GS4 shares | 11,615 | 13,797 | 13,144 | 11,942 | ||||||||||||
Shareholder reporting fees: | ||||||||||||||||
GS4 shares | 9,927 | 24,884 | 18,796 | 16,909 | ||||||||||||
Trustee expenses | 991 | 4,056 | 3,035 | 2,651 | ||||||||||||
Line of credit facility fees | 1,571 | 6,516 | 4,885 | 4,366 | ||||||||||||
Other expenses | 7,729 | 8,826 | 8,835 | 8,300 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Expenses | 224,481 | 742,925 | 572,529 | 515,114 | ||||||||||||
Expenses waived/reimbursed(1) | (64,640 | ) | (57,097 | ) | (56,675 | ) | (55,665 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Expenses | 159,841 | 685,828 | 515,854 | 459,449 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income | 1,485,188 | 7,133,340 | 3,909,568 | 2,095,198 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and Unrealized Gain (Loss) | ||||||||||||||||
Capital gain distributions received from affiliated funds | 294,101 | 550,053 | 329,084 | 214,016 | ||||||||||||
Net realized gain (loss) on investment securities of affiliated issuers | (506,024 | ) | 3,470,224 | 6,109,173 | 5,586,820 | |||||||||||
Net realized gain on investment securities of unaffiliated issuers | 16 | 128,932 | 54,256 | 96 | ||||||||||||
Net realized gain on futures transactions | 128,794 | 1,082,908 | 904,995 | 1,098,340 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | (83,113 | ) | 5,232,117 | 7,397,508 | 6,899,272 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in unrealized appreciation on investment securities of affiliated issuers | 6,059,533 | 36,112,872 | 33,649,984 | 37,047,376 | ||||||||||||
Change in unrealized appreciation on investment securities of unaffiliated issuers | (38 | ) | (66,003 | ) | (20,061 | ) | (403 | ) | ||||||||
Change in unrealized appreciation on futures | 147,631 | 830,880 | (63,292 | ) | (48,602 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation | 6,207,126 | 36,877,749 | 33,566,631 | 36,998,371 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized and Unrealized Gain | 6,124,013 | 42,109,866 | 40,964,139 | 43,897,643 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase in Net Assets Resulting from Operations | $ | 7,609,201 | $ | 49,243,206 | $ | 44,873,707 | $ | 45,992,841 | ||||||||
|
|
|
|
|
|
|
|
(1) | See Note 3a and 3c in Notes to Financial Statements. |
See Notes to Financial Statements.
22
Table of Contents
(This page intentionally left blank)
23
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
Conservative Allocation Fund | Balanced Allocation Fund | |||||||||||||||
For the Six Months Ended 06/30/11 | For the Year Ended 12/31/10 | For the Six Months Ended 06/30/11 | For the Year Ended 12/31/10 | |||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||
Operations: | ||||||||||||||||
Net investment income | $ | 1,485,188 | $ | 4,501,021 | $ | 7,133,340 | $ | 22,182,168 | ||||||||
Net realized gain (loss) on investment securities and futures transactions | (83,113 | ) | 6,404,018 | 5,232,117 | 10,625,849 | |||||||||||
Net change in unrealized appreciation (depreciation) on investment securities and futures | 6,207,126 | 9,213,337 | 36,877,749 | 94,062,971 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets resulting from operations | 7,609,201 | 20,118,376 | 49,243,206 | 126,870,988 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Dividends and Distributions to Shareholders: | ||||||||||||||||
Dividends from net investment income(1) | (22 | ) | (5,905,990 | ) | — | (30,794,116 | ) | |||||||||
Distributions from net realized capital gains | — | (1,420,226 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total dividends and distributions | (22 | ) | (7,326,216 | ) | — | (30,794,116 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Capital Share Transactions: | ||||||||||||||||
Proceeds from GS4 shares sold | 20,139,444 | 37,177,857 | 33,652,460 | 44,223,390 | ||||||||||||
Reinvestment of dividends and distributions into GS4 shares | 22 | 7,320,019 | — | 30,789,666 | ||||||||||||
Value of GS4 shares redeemed | (14,985,470 | ) | (80,047,873 | ) | (40,013,418 | ) | (183,100,371 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions(2) | 5,153,996 | (35,549,997 | ) | (6,360,958 | ) | (108,087,315 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | 12,763,175 | (22,757,837 | ) | 42,882,248 | (12,010,443 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets: | ||||||||||||||||
Beginning of Period | 261,992,654 | 284,750,491 | 1,120,980,863 | 1,132,991,306 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period* | $ | 274,755,829 | $ | 261,992,654 | $ | 1,163,863,111 | $ | 1,120,980,863 | ||||||||
|
|
|
|
|
|
|
| |||||||||
*Including undistributed net investment income | $ | 1,568,184 | $ | 83,018 | $ | 9,329,247 | $ | 2,195,907 | ||||||||
|
|
|
|
|
|
|
|
(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.
24
Table of Contents
Growth Allocation Fund | Aggressive Allocation Fund | |||||||||||||
For the Six | For the Year Ended 12/31/10 | For the Six Months Ended 06/30/11 | For the Year Ended 12/31/10 | |||||||||||
(Unaudited) | (Unaudited) | |||||||||||||
$ | 3,909,568 | $ | 11,875,862 | $ | 2,095,198 | $ | 6,606,095 | |||||||
7,397,508 | 14,704,282 | 6,899,272 | 10,815,244 | |||||||||||
33,566,631 | 78,912,409 | 36,998,371 | 85,563,361 | |||||||||||
|
|
|
|
|
|
|
| |||||||
44,873,707 | 105,492,553 | 45,992,841 | 102,984,700 | |||||||||||
|
|
|
|
|
|
|
| |||||||
— | (17,932,584 | ) | 177 | (6,611,145 | ) | |||||||||
— | (5,229,092 | ) | — | (7,518,944 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||
— | (23,161,676 | ) | 177 | (14,130,089 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||
15,886,700 | 28,291,186 | 14,282,653 | 34,506,419 | |||||||||||
— | 23,159,991 | (177 | ) | 14,129,316 | ||||||||||
(30,177,465 | ) | (132,666,304 | ) | (28,015,366 | ) | (121,731,738 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(14,290,765 | ) | (81,215,127 | ) | (13,732,890 | ) | (73,096,003 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
30,582,942 | 1,115,750 | 32,260,128 | 15,758,608 | |||||||||||
|
|
|
|
|
|
|
| |||||||
841,926,084 | 840,810,334 | 745,492,994 | 729,734,386 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 872,509,026 | $ | 841,926,084 | $ | 777,753,122 | $ | 745,492,994 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 4,127,991 | $ | 218,423 | $ | 2,097,595 | $ | 2,220 | |||||||
|
|
|
|
|
|
|
|
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2011(6) | $ | 11.87 | $ | 0.07 | # | $ | 0.01 | $ | 0.27 | $ | — | † | $ | — | $ | 12.22 | 2.95 | % | $ | 274,756 | 0.12 | % | 0.17 | % | 1.11 | % | 3 | % | ||||||||||||||||||||||||
2010 | 11.39 | 0.18 | # | 0.08 | 0.56 | (0.27 | ) | (0.07 | ) | 11.87 | 7.19 | 261,993 | 0.12 | 0.15 | 1.57 | 19 | ||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||
Balanced Allocation Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||
GS4 Class | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2011(6) | $ | 12.12 | $ | 0.08 | # | $ | 0.01 | $ | 0.45 | $ | — | $ | — | $ | 12.66 | 4.46 | % | $ | 1,163,863 | 0.12 | % | 0.13 | % | 1.25 | % | 3 | % | |||||||||||||||||||||||||
2010 | 11.14 | 0.23 | # | 0.09 | 1.00 | (0.34 | ) | — | 12.12 | 11.87 | 1,120,981 | 0.12 | 0.12 | 1.95 | 17 | |||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||
Growth Allocation Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||
GS4 Class | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2011(6) | $ | 12.28 | $ | 0.06 | # | $ | — | † | $ | 0.60 | $ | — | $ | — | $ | 12.94 | 5.37 | % | $ | 872,509 | 0.12 | % | 0.13 | % | 0.91 | % | 10 | % | ||||||||||||||||||||||||
2010 | 11.11 | 0.16 | # | 0.05 | 1.31 | (0.27 | ) | (0.08 | ) | 12.28 | 13.65 | 841,926 | 0.12 | 0.13 | 1.43 | 8 | ||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||
Aggressive Allocation Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||
GS4 Class | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2011(6) | $ | 11.79 | $ | 0.03 | # | $ | — | † | $ | 0.70 | $ | — | † | $ | — | $ | 12.52 | 6.19 | % | $ | 777,753 | 0.12 | % | 0.13 | % | 0.55 | % | 11 | % | |||||||||||||||||||||||
2010 | 10.43 | 0.10 | # | — | † | 1.48 | (0.10 | ) | (0.12 | ) | 11.79 | 15.16 | 745,493 | 0.12 | 0.13 | 0.91 | 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 |
† | 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, 2011. 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
Table of Contents
CONSERVATIVE ALLOCATION FUND I SCHEDULE OF INVESTMENTS | June 30, 2011 (Unaudited) |
Shares | Value | |||||||
MUTUAL FUNDS — 99.9% | ||||||||
GuideStone Money Market Fund (GS2 Class)¥ | 3,447,726 | $ | 3,447,726 | |||||
GuideStone Low-Duration Bond Fund (GS2 Class)¥ | 5,052,168 | 44,206,469 | ||||||
GuideStone Inflation Protected Bond Fund (GS4 Class)¥ | 1,051,794 | 11,180,576 | ||||||
GuideStone Equity Index Fund (GS2 Class)¥ | 90,514 | 799,241 | ||||||
GuideStone Value Equity Fund (GS2 Class)¥ | 667,527 | 5,019,806 | ||||||
GuideStone Growth Equity Fund (GS2 Class)¥ | 409,721 | 5,162,480 | ||||||
GuideStone Small Cap Equity Fund (GS2 Class)¥ | 114,070 | 1,219,410 | ||||||
GuideStone International Equity Fund (GS2 Class)¥ | 490,697 | 5,324,065 | ||||||
|
| |||||||
Total Mutual Funds | 76,359,773 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.9% | 76,359,773 | |||||||
Other Assets in Excess of Liabilities — 0.1% | 108,716 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 76,468,489 | ||||||
|
|
Please see abbreviation and footnote definitions beginning on page 130.
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Bond Funds | 72.4 | |||
Domestic Equity Funds | 16.0 | |||
International Equity Fund | 7.0 | |||
Money Market Fund | 4.5 | |||
Futures Contracts | 4.2 | |||
|
| |||
104.1 | ||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2011, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Mutual Funds | $ | 76,359,773 | $ | 76,359,773 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 76,359,773 | $ | 76,359,773 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | 62,816 | $ | 62,816 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 62,816 | $ | 62,816 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
*** | 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, 2011 (Unaudited) |
Shares | Value | |||||||
MUTUAL FUNDS — 99.8% | ||||||||
GuideStone Money Market Fund (GS2 Class)¥ | 17,410,328 | $ | 17,410,328 | |||||
GuideStone Low-Duration Bond Fund (GS2 Class)¥ | 5,858,439 | 51,261,342 | ||||||
GuideStone Medium-Duration Bond Fund (GS2 Class)¥ | 10,119,822 | 74,380,692 | ||||||
GuideStone Extended-Duration Bond Fund (GS2 Class)¥ | 4,356,357 | 29,536,104 | ||||||
GuideStone Global Bond Fund (GS4 Class)¥ | 1,727,088 | 17,409,048 | ||||||
GuideStone Equity Index Fund (GS2 Class)¥ | 828,445 | 7,315,170 | ||||||
GuideStone Value Equity Fund (GS2 Class)¥ | 6,389,477 | 48,048,864 | ||||||
GuideStone Growth Equity Fund (GS2 Class)¥ | 3,892,195 | 49,041,662 | ||||||
GuideStone Small Cap Equity Fund (GS2 Class)¥ | 1,115,930 | 11,929,296 | ||||||
GuideStone International Equity Fund (GS2 Class)¥ | 4,804,881 | 52,132,957 | ||||||
|
| |||||||
Total Mutual Funds | 358,465,463 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.8% | 358,465,463 | |||||||
Other Assets in Excess of Liabilities — 0.2% | 615,483 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 359,080,946 | ||||||
|
|
Please see abbreviation and footnote definitions beginning on page 130.
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Bond Funds | 48.1 | |||
Domestic Equity Funds | 32.4 | |||
International Equity Fund | 14.5 | |||
Money Market Fund | 4.8 | |||
Futures Contracts | 4.6 | |||
|
| |||
104.4 | ||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2011, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Mutual Funds | $ | 358,465,463 | $ | 358,465,463 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 358,465,463 | $ | 358,465,463 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | 355,754 | $ | 355,754 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 355,754 | $ | 355,754 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
*** | 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, 2011 (Unaudited) |
Shares | Value | |||||||
MUTUAL FUNDS — 99.9% | ||||||||
GuideStone Money Market Fund (GS2 Class)¥ | 4,804,246 | $ | 4,804,246 | |||||
GuideStone Low-Duration Bond Fund (GS2 Class)¥ | 1,980,452 | 17,328,951 | ||||||
GuideStone Medium-Duration Bond Fund (GS2 Class)¥ | 3,381,903 | 24,856,986 | ||||||
GuideStone Extended-Duration Bond Fund (GS2 Class)¥ | 1,430,382 | 9,697,987 | ||||||
GuideStone Global Bond Fund (GS4 Class)¥ | 580,945 | 5,855,930 | ||||||
GuideStone Equity Index Fund (GS2 Class)¥ | 838,912 | 7,407,596 | ||||||
GuideStone Value Equity Fund (GS2 Class)¥ | 6,887,194 | 51,791,701 | ||||||
GuideStone Growth Equity Fund (GS2 Class)¥ | 4,161,545 | 52,435,464 | ||||||
GuideStone Small Cap Equity Fund (GS2 Class)¥ | 1,188,794 | 12,708,207 | ||||||
GuideStone International Equity Fund (GS2 Class)¥ | 5,186,414 | 56,272,595 | ||||||
|
| |||||||
Total Mutual Funds | 243,159,663 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.9% | 243,159,663 | |||||||
Other Assets in Excess of Liabilities — 0.1% | 326,221 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 243,485,884 | ||||||
|
|
Please see abbreviation and footnote definitions beginning on page 130.
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Domestic Equity Funds | 51.1 | |||
Bond Funds | 23.7 | |||
International Equity Fund | 23.1 | |||
Futures Contracts | 2.0 | |||
Money Market Fund | 2.0 | |||
|
| |||
101.9 | ||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2011, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Mutual Funds | $ | 243,159,663 | $ | 243,159,663 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 243,159,663 | $ | 243,159,663 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | 109,452 | $ | 109,452 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 109,452 | $ | 109,452 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
*** | 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, 2011 (Unaudited) |
Shares | Value | |||||||
MUTUAL FUNDS — 99.8% | ||||||||
GuideStone Money Market Fund (GS2 Class)¥ | 2,112,171 | $ | 2,112,171 | |||||
GuideStone Equity Index Fund (GS2 Class)¥ | 743,144 | 6,561,965 | ||||||
GuideStone Value Equity Fund (GS2 Class)¥ | 6,094,779 | 45,832,737 | ||||||
GuideStone Growth Equity Fund (GS2 Class)¥ | 3,723,528 | 46,916,448 | ||||||
GuideStone Small Cap Equity Fund (GS2 Class)¥ | 1,052,820 | 11,254,643 | ||||||
GuideStone International Equity Fund (GS2 Class)¥ | 4,615,091 | 50,073,738 | ||||||
|
| |||||||
Total Mutual Funds | 162,751,702 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.8% | 162,751,702 | |||||||
Other Assets in Excess of Liabilities — 0.2% | 294,442 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 163,046,144 | ||||||
|
|
Please see abbreviation and footnote definitions beginning on page 130.
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Domestic Equity Funds | 67.8 | |||
International Equity Fund | 30.7 | |||
Futures Contracts | 1.5 | |||
Money Market Fund | 1.3 | |||
|
| |||
101.3 | ||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2011, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Mutual Funds | $ | 162,751,702 | $ | 162,751,702 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 162,751,702 | $ | 162,751,702 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | 71,026 | $ | 71,026 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 71,026 | $ | 71,026 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
*** | 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
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES | June 30, 2011 (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 (1) | $ | 76,359,773 | $ | 358,465,463 | $ | 243,159,663 | $ | 162,751,702 | ||||||||
Cash collateral for derivatives | 106,400 | 718,550 | 327,950 | 286,000 | ||||||||||||
Receivables: | ||||||||||||||||
Dividends | 133 | 667 | 269 | 157 | ||||||||||||
Investment securities sold | — | — | — | 1,583 | ||||||||||||
Fund shares sold | 8,557 | 42,558 | 1,049 | 427 | ||||||||||||
Variation margin | 14,090 | 70,484 | 33,959 | 24,510 | ||||||||||||
Receivable from advisor | 1,682 | — | — | — | ||||||||||||
Prepaid expenses and other assets | 3,029 | 3,029 | 3,029 | 3,029 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | 76,493,664 | 359,300,751 | 243,525,919 | 163,067,408 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities | ||||||||||||||||
Payables: | ||||||||||||||||
Fund shares redeemed | 18,350 | 178,814 | 10,463 | 2,327 | ||||||||||||
Accrued expenses: | ||||||||||||||||
Investment advisory fees | — | 30,237 | 19,938 | 10,467 | ||||||||||||
Other expenses | 6,825 | 10,754 | 9,634 | 8,470 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | 25,175 | 219,805 | 40,035 | 21,264 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 76,468,489 | $ | 359,080,946 | $ | 243,485,884 | $ | 163,046,144 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets Consist of: | ||||||||||||||||
Paid-in-capital | $ | 78,653,614 | $ | 381,285,073 | $ | 260,140,244 | $ | 184,419,045 | ||||||||
Undistributed net investment income | 1,330,258 | 10,046,268 | 3,850,667 | 3,415,654 | ||||||||||||
Accumulated net realized loss on investments and futures transactions | (7,560,878 | ) | (35,840,577 | ) | (13,805,201 | ) | (13,487,684 | ) | ||||||||
Net unrealized appreciation (depreciation) on investments and futures | 4,045,495 | 3,590,182 | (6,699,826 | ) | (11,300,871 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 76,468,489 | $ | 359,080,946 | $ | 243,485,884 | $ | 163,046,144 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Asset Value: | ||||||||||||||||
$0.001 par value, unlimited shares authorized | ||||||||||||||||
Net assets applicable to the GS2 Class | $ | 76,468,489 | $ | 359,080,946 | $ | 243,485,884 | $ | 163,046,144 | ||||||||
|
|
|
|
|
|
|
| |||||||||
GS2 shares outstanding | 7,887,947 | 35,655,814 | 22,911,214 | 14,702,546 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, offering and redemption price per GS2 share | $ | 9.69 | $ | 10.07 | $ | 10.63 | $ | 11.09 | ||||||||
|
|
|
|
|
|
|
|
(1) Investments in securities of affiliated issuers, at cost | $ | 72,377,094 | $ | 355,231,035 | $ | 249,968,941 | $ | 174,123,599 | ||||||||
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
31
Table of Contents
STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2011 (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 | $ | 660,377 | $ | 4,672,089 | $ | 2,453,491 | $ | 1,150,380 | ||||||||
Interest | — | 25,070 | 8,663 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investment Income | 660,377 | 4,697,159 | �� | 2,462,154 | 1,150,380 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses | ||||||||||||||||
Investment advisory fees | 36,957 | 179,561 | 121,333 | 82,239 | ||||||||||||
Transfer agent fees: | ||||||||||||||||
GS2 Shares | 1,880 | 1,905 | 1,878 | 1,875 | ||||||||||||
Custodian fees | 2,318 | 9,029 | 6,963 | 6,010 | ||||||||||||
Accounting and administration fees | 5,826 | 13,263 | 10,132 | 8,056 | ||||||||||||
Professional fees | 23,827 | 23,827 | 23,827 | 23,827 | ||||||||||||
Blue sky fees: | ||||||||||||||||
GS2 Shares | 1,208 | 1,208 | 1,208 | 1,208 | ||||||||||||
Shareholder reporting fees | 68 | 91 | 62 | 57 | ||||||||||||
Trustee expenses | 255 | 1,224 | 813 | 551 | ||||||||||||
Line of credit facility fees | 398 | 1,954 | 1,293 | 869 | ||||||||||||
Other expenses | 7,616 | 8,154 | 7,542 | 7,617 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Expenses | 80,353 | 240,216 | 175,051 | 132,309 | ||||||||||||
Expenses waived/reimbursed net of amount recaptured(1) | (25,406 | ) | — | — | (8,286 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 54,947 | 240,216 | 175,051 | 124,023 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Investment Income | 605,430 | 4,456,943 | 2,287,103 | 1,026,357 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and Unrealized Gain (Loss) | ||||||||||||||||
Capital gain distributions received from affiliated funds | 86,131 | 378,432 | 192,090 | 85,461 | ||||||||||||
Net realized loss on investment securities of affiliated issuers | (466,124 | ) | (5,047,342 | ) | (2,411,778 | ) | (1,797,697 | ) | ||||||||
Net realized gain on investment securities of unaffiliated issuers | — | 43,854 | 9,332 | 2 | ||||||||||||
Net realized gain on futures transactions | (15,367 | ) | 169,504 | 164,228 | 166,549 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized loss | (395,360 | ) | (4,455,552 | ) | (2,046,128 | ) | (1,545,685 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in unrealized appreciation on investment securities of affiliated issuers | 1,817,348 | 15,105,800 | 12,263,915 | 10,246,580 | ||||||||||||
Change in unrealized appreciation on investment securities of unaffiliated issuers | — | (11,599 | ) | (3,886 | ) | (35 | ) | |||||||||
Change in unrealized appreciation on futures | 62,816 | 297,766 | 58,764 | 9,682 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation | 1,880,164 | 15,391,967 | 12,318,793 | 10,256,227 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized and Unrealized Gain | 1,484,804 | 10,936,415 | 10,272,665 | 8,710,542 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase in Net Assets Resulting from Operations | $ | 2,090,234 | $ | 15,393,358 | $ | 12,559,768 | $ | 9,736,899 | ||||||||
|
|
|
|
|
|
|
|
(1) | See Note 3a and 3c in Notes to Financial Statements. |
See Notes to Financial Statements.
32
Table of Contents
(This page intentionally left blank)
33
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
Conservative Allocation Fund I | Balanced Allocation Fund I | |||||||||||||||
For the Six Months Ended 06/30/11 | For the Year Ended 12/31/10 | For the Six Months Ended 06/30/11 | For the Year Ended 12/31/10 | |||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||
Operations: | ||||||||||||||||
Net investment income | $ | 605,430 | $ | 1,702,970 | $ | 4,456,943 | $ | 11,905,320 | ||||||||
Net realized loss on investment securities and futures transactions | (395,360 | ) | (676,355 | ) | (4,455,552 | ) | (3,548,295 | ) | ||||||||
Net change in unrealized appreciation (depreciation) on investment securities and futures | 1,880,164 | 3,826,228 | 15,391,967 | 30,022,672 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets resulting from operations | 2,090,234 | 4,852,843 | 15,393,358 | 38,379,697 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Dividends to Shareholders: | ||||||||||||||||
Dividends from net investment income(1) | — | (2,200,764 | ) | — | (15,332,084 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total dividends | — | (2,200,764 | ) | — | (15,332,084 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Capital Share Transactions: | ||||||||||||||||
Proceeds from GS2 shares sold | 7,002,293 | 11,578,089 | 11,583,394 | 20,143,207 | ||||||||||||
Reinvestment of dividends and distributions into GS2 shares | — | 2,196,344 | — | 15,298,336 | ||||||||||||
Value of GS2 shares redeemed | (4,549,554 | ) | (8,731,188 | ) | (15,384,835 | ) | (37,676,116 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions(2) | 2,452,739 | 5,043,245 | (3,801,441 | ) | (2,234,573 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase in net assets | 4,542,973 | 7,695,324 | 11,591,917 | 20,813,040 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets: | ||||||||||||||||
Beginning of Period | 71,925,516 | 64,230,192 | 347,489,029 | 326,675,989 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period* | $ | 76,468,489 | $ | 71,925,516 | $ | 359,080,946 | $ | 347,489,029 | ||||||||
|
|
|
|
|
|
|
| |||||||||
*Including undistributed net investment income | $ | 1,330,258 | $ | 724,828 | $ | 10,046,268 | $ | 5,589,325 | ||||||||
|
|
|
|
|
|
|
|
(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.
34
Table of Contents
Growth Allocation Fund I | Aggressive Allocation Fund I | |||||||||||||
For the Six Months Ended 06/30/11 | For the Year Ended 12/31/10 | For the Six Months Ended 06/30/11 | For the Year Ended 12/31/10 | |||||||||||
(Unaudited) | (Unaudited) | |||||||||||||
$ | 2,287,103 | $ | 5,592,851 | $ | 1,026,357 | $ | 2,390,609 | |||||||
(2,046,128 | ) | (2,107,102 | ) | (1,545,685 | ) | (3,843,054 | ) | |||||||
12,318,793 | 24,894,782 | 10,256,227 | 22,255,533 | |||||||||||
|
|
|
|
|
|
|
| |||||||
12,559,768 | 28,380,531 | 9,736,899 | 20,803,088 | |||||||||||
|
|
|
|
|
|
|
| |||||||
— | (6,706,135 | ) | — | (2,510,802 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||
— | (6,706,135 | ) | — | (2,510,802 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||
6,186,700 | 12,756,146 | 3,705,943 | 8,533,321 | |||||||||||
— | 6,685,451 | — | 2,509,149 | |||||||||||
(8,817,701 | ) | (16,618,041 | ) | (7,706,769 | ) | (15,288,566 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(2,631,001 | ) | 2,823,556 | (4,000,826 | ) | (4,246,096 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||
9,928,767 | 24,497,952 | 5,736,073 | 14,046,190 | |||||||||||
|
|
|
|
|
|
|
| |||||||
233,557,117 | 209,059,165 | 157,310,071 | 143,263,881 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 243,485,884 | $ | 233,557,117 | $ | 163,046,144 | $ | 157,310,071 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 3,850,667 | $ | 1,563,564 | $ | 3,415,654 | $ | 2,389,297 | |||||||
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
35
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2011(6) | $ | 9.42 | $ | 0.08 | # | $ | 0.01 | $ | 0.18 | $ | — | $ | — | $ | 9.69 | 2.87 | % | $ | 76,468 | 0.15 | % | 0.22 | % | 1.65 | % | 7 | % | |||||||||||||||||||||||||
2010 | 9.06 | 0.23 | # | 0.10 | 0.33 | (0.30 | ) | — | 9.42 | 7.25 | 71,926 | 0.15 | 0.20 | 2.50 | 12 | |||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||
Balanced Allocation Fund I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS2 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2011(6) | $ | 9.64 | $ | 0.12 | # | $ | 0.01 | $ | 0.30 | $ | — | $ | — | $ | 10.07 | 4.46 | % | $ | 359,081 | 0.14 | % | 0.14 | % | 2.53 | % | 4 | % | |||||||||||||||||||||||||
2010 | 9.00 | 0.33 | # | 0.15 | 0.60 | (0.44 | ) | — | 9.64 | 12.04 | 347,489 | 0.13 | 0.13 | 3.56 | 19 | |||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||
Growth Allocation Fund I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS2 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2011(6) | $ | 10.08 | $ | 0.10 | # | $ | 0.01 | $ | 0.44 | $ | — | $ | — | $ | 10.63 | 5.46 | % | $ | 243,486 | 0.15 | % | 0.15 | % | 1.92 | % | 4 | % | |||||||||||||||||||||||||
2010 | 9.13 | 0.24 | # | 0.07 | 0.94 | (0.30 | ) | — | 10.08 | 13.68 | 233,557 | 0.14 | 0.14 | 2.60 | 13 | |||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
Aggressive Allocation Fund I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS2 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2011(6) | $ | 10.44 | $ | 0.07 | # | $ | 0.01 | $ | 0.57 | $ | — | $ | — | $ | 11.09 | 6.23 | % | $ | 163,046 | 0.15 | % | 0.16 | % | 1.27 | % | 3 | % | |||||||||||||||||||||||||
2010 | 9.21 | 0.16 | # | — | † | 1.24 | (0.17 | ) | — | 10.44 | 15.23 | 157,310 | 0.15 | 0.16 | 1.67 | 5 | ||||||||||||||||||||||||||||||||||||
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 |
† | 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, 2011. 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.
36
Table of Contents
SCHEDULE OF INVESTMENTS | June 30, 2011 (Unaudited) |
Par | Value | |||||||
AGENCY OBLIGATIONS — 5.6% | ||||||||
Federal Home Loan Bank | ||||||||
0.11%, 07/15/11† | $ | 10,000,000 | $ | 9,998,739 | ||||
Federal Home Loan Mortgage Corporation | ||||||||
0.13%, 07/05/11† | 10,000,000 | 9,991,869 | ||||||
0.16%, 07/05/11† | 10,000,000 | 9,996,921 | ||||||
0.15%, 07/18/11† | 6,000,000 | 5,998,476 | ||||||
Federal National Mortgage Association | ||||||||
0.10%, 07/11/11† | 12,697,000 | 12,696,732 | ||||||
0.22%, 07/20/11† | 7,000,000 | 6,997,911 | ||||||
0.18%, 07/26/11† | 11,000,000 | 10,997,647 | ||||||
0.20%, 07/27/11 | 10,000,000 | 9,998,592 | ||||||
|
| |||||||
Total Agency Obligations | 76,676,887 | |||||||
|
| |||||||
CERTIFICATES OF DEPOSIT — 20.5% | ||||||||
Bank of Montreal CHI | ||||||||
0.27%, 07/25/11† | 14,000,000 | 14,000,000 | ||||||
0.24%, 07/29/11† | 6,000,000 | 6,000,000 | ||||||
Bank of Tokyo Mitsubishi UFJ, Ltd. | ||||||||
0.30%, 08/02/11 | 20,000,000 | 20,000,000 | ||||||
0.23%, 08/22/11 | 25,000,000 | 25,000,000 | ||||||
BNP Paribas SA NY | ||||||||
0.32%, 09/02/11 | 12,000,000 | 12,000,000 | ||||||
Canadian Imperial Bank of Commerce NY | ||||||||
0.24%, 07/18/11† | 8,295,000 | 8,295,000 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA NY | ||||||||
0.28%, 07/15/11† | 12,000,000 | 12,000,000 | ||||||
Deutsche Bank AG NY | ||||||||
0.26%, 07/05/11† | 10,000,000 | 10,000,000 | ||||||
National Australia Bank NY | ||||||||
0.27%, 07/11/11† | 10,000,000 | 10,000,000 | ||||||
0.28%, 07/11/11† | 20,000,000 | 20,000,000 | ||||||
Rabobank Nederlad NV NY | ||||||||
0.34%, 10/05/11 | 16,000,000 | 16,000,000 | ||||||
Royal Bank of Canada NY | ||||||||
0.30%, 07/08/11† | 5,000,000 | 5,000,000 | ||||||
0.25%, 08/31/11† | 13,000,000 | 13,000,000 | ||||||
Societe Generale NY | ||||||||
0.28%, 07/12/11 | 15,000,000 | 15,000,046 | ||||||
0.26%, 08/23/11† | 3,500,000 | 3,500,000 | ||||||
0.27%, 10/03/11† | 3,000,000 | 3,000,000 | ||||||
Toronto Dominion Bank NY | ||||||||
0.27%, 07/12/11† | 6,500,000 | 6,500,000 | ||||||
0.33%, 09/06/11 | 7,000,000 | 7,000,000 | ||||||
UBS AG Stamford | ||||||||
0.23%, 07/18/11† | 7,500,000 | 7,500,000 | ||||||
0.35%, 10/13/11 | 20,000,000 | 20,000,000 | ||||||
Westpac Banking Corporation NY | ||||||||
0.27%, 07/05/11† | 15,000,000 | 15,000,000 | ||||||
0.29%, 07/05/11† | 10,000,000 | 9,999,693 | ||||||
0.30%, 07/18/11† | 22,000,000 | 22,000,000 | ||||||
|
| |||||||
Total Certificates of Deposit | 280,794,739 | |||||||
|
| |||||||
COMMERCIAL PAPER — 47.9% | ||||||||
Alpine Securitization | ||||||||
0.25%, 07/05/11 | 15,713,000 | 15,712,563 | ||||||
Atlantis One Funding Corporation | ||||||||
0.14%, 07/07/11 | 15,000,000 | 14,999,650 | ||||||
Bank of Nova Scotia | ||||||||
0.04%, 07/05/11 | 30,000,000 | 29,999,867 | ||||||
Barclays Funding Corporation | ||||||||
0.27%, 07/18/11 | 8,000,000 | 7,998,980 | ||||||
BPCE SA | ||||||||
0.23%, 08/11/11 | 16,149,000 | 16,144,770 | ||||||
0.28%, 08/16/11 | 25,000,000 | 24,991,215 | ||||||
0.26%, 08/24/11 | 10,571,000 | 10,566,877 | ||||||
Commonwealth Bank of Australia | ||||||||
0.32%, 10/06/11 | 15,000,000 | 14,999,543 | ||||||
Credit Agricole North America, Inc. | ||||||||
0.25%, 07/25/11 | 30,000,000 | 29,995,000 | ||||||
0.26%, 09/02/11 | 14,000,000 | 13,993,630 | ||||||
Deutsche Bank Financial LLC | ||||||||
0.01%, 07/01/11 | 16,066,000 | 16,066,000 | ||||||
DnB NOR Bank ASA | ||||||||
0.27%, 07/05/11 | 15,000,000 | 14,999,550 | ||||||
Fairway Finance Corporation | ||||||||
0.10%, 07/05/11 | 10,000,000 | 9,999,889 | ||||||
0.23%, 09/02/11 | 15,000,000 | 15,000,000 | ||||||
0.21%, 11/04/11 | 23,000,000 | 23,000,000 | ||||||
Fortis Funding LLC | ||||||||
0.36%, 09/06/11 | 15,000,000 | 14,989,950 | ||||||
Gotham Funding | ||||||||
0.17%, 07/11/11 | 10,000,000 | 9,999,528 | ||||||
ING Funding LLC | ||||||||
0.11%, 07/06/11 | 25,000,000 | 24,999,618 | ||||||
0.30%, 11/10/11 | 9,500,000 | 9,489,550 | ||||||
Kells Funding LLC | ||||||||
0.36%, 02/10/12 | 13,000,000 | 13,000,000 | ||||||
0.35%, 03/01/12 | 10,000,000 | 10,000,000 | ||||||
0.28%, 03/08/12 | 10,000,000 | 10,000,000 | ||||||
Metlife Short Term Fund | ||||||||
0.24%, 07/25/11 | 26,100,000 | 26,095,824 | ||||||
0.24%, 10/03/11 | 20,000,000 | 19,987,467 | ||||||
Mont Blanc Capital Corporation | ||||||||
0.07%, 07/01/11 | 11,000,000 | 11,000,000 | ||||||
0.12%, 07/05/11 | 5,000,000 | 4,999,933 | ||||||
Nieuw Amsterdam Receivables Corporation | ||||||||
0.00%, 07/06/11 | 10,000,000 | 9,999,632 | ||||||
0.12%, 07/06/11 | 12,000,000 | 11,999,800 | ||||||
Regency Markets No. 1 LLC | ||||||||
0.15%, 07/15/11 | 23,966,000 | 23,964,602 | ||||||
0.17%, 07/18/11 | 10,500,000 | 10,499,157 | ||||||
Scaldis Capital LLC | ||||||||
0.26%, 07/26/11 | 15,000,000 | 14,997,292 | ||||||
0.25%, 07/27/11 | 15,000,000 | 14,997,292 | ||||||
0.25%, 08/05/11 | 20,000,000 | 19,995,139 | ||||||
Solitaire Funding LLC | ||||||||
0.24%, 08/10/11 | 20,000,000 | 19,994,667 | ||||||
0.22%, 09/07/11 | 7,865,000 | 7,861,731 | ||||||
0.21%, 09/16/11 | 16,000,000 | 15,992,813 | ||||||
Sumitomo Mitsui Banking Corporation | ||||||||
0.26%, 07/11/11 | 15,000,000 | 14,998,917 | ||||||
0.29%, 08/12/11 | 15,000,000 | 14,995,012 | ||||||
0.28%, 08/19/11 | 10,000,000 | 9,996,189 | ||||||
Surrey Funding Corporation | ||||||||
0.21%, 08/10/11 | 10,000,000 | 9,997,667 |
See Notes to Financial Statements.
37
Table of Contents
MONEY MARKET FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
Sydney Capital Corporation | ||||||||
0.30%, 08/12/11 | $ | 15,000,000 | $ | 14,994,750 | ||||
Thunder Bay Funding LLC | ||||||||
0.13%, 07/18/11 | 20,000,000 | 19,998,772 | ||||||
Victory Receivables Corporation | ||||||||
0.23%, 07/12/11 | 10,000,000 | 9,999,297 | ||||||
|
| |||||||
Total Commercial Paper | 658,312,133 | |||||||
|
| |||||||
CORPORATE BONDS — 3.5% | ||||||||
Royal Bank Scotland PLC | ||||||||
0.52%, 09/19/11 | 24,000,000 | 24,000,000 | ||||||
Sumitomo Mitsui Banking Corporation NY | ||||||||
0.17%, 07/05/11 | 9,000,000 | 9,000,000 | ||||||
0.16%, 07/08/11 | 15,000,000 | 15,000,000 | ||||||
|
| |||||||
Total Corporate Bonds | 48,000,000 | |||||||
|
| |||||||
MUNICIPAL BONDS — 14.5% | ||||||||
California Housing Finance Agency, Multi-Family III, Series E Revenue Bond (LOC-Fannie Mae, Freddie Mac) | ||||||||
0.07%, 07/07/11† | 10,900,000 | 10,900,000 | ||||||
California Housing Finance Agency, Series D Revenue Bond | ||||||||
0.08%, 07/07/11† | 14,600,000 | 14,600,000 | ||||||
California Pollution Control Financing Authority, Series E Pollution Control Revenue Bonds (LOC-Bank One N.A.) | ||||||||
0.03%, 07/01/11† | 5,800,000 | 5,800,000 | ||||||
California Statewide Communities Development Authority, Hallmark House Apartments, Series ZZ Revenue Bond | ||||||||
0.09%, 07/07/11† | 6,420,000 | 6,420,000 | ||||||
California Statewide Communities Development Authority, Kimberly Woods Apartments, Series B Revenue Bond | ||||||||
0.09%, 07/07/11† | 17,100,000 | 17,100,000 | ||||||
City of Chicago Wastewater Transmission, Series C-1 Revenue Bond | ||||||||
0.04%, 07/01/11† | 4,000,000 | 4,000,000 | ||||||
City of Philadelphia, Series 2009B General Obligation Bond (LOC-Wachovia Bank N.A.) | ||||||||
0.06%, 07/07/11† | 10,000,000 | 10,000,000 | ||||||
Connecticut State Health & Educational Facilities Authority, Series K2 Yale-New Haven Hospital Revenue Bond (LOC-JPMorgan Chase Bank) | ||||||||
0.05%, 07/07/11† | 12,805,000 | 12,805,000 | ||||||
Los Angeles Community Redevelopment Agency, Hollywood & Vine Apartments, Series A Revenue Bonds | ||||||||
0.08%, 07/07/11† | 10,000,000 | 10,000,000 | ||||||
Maryland Department of Housing and Community Development Administration, Multifamily Barrington Apartments Project Revenue Bond Series A | ||||||||
0.09%, 07/07/11† | 27,575,000 | 27,575,000 | ||||||
New York City Housing Development Corporation, Series A Multi-Family Housing (155 West 21st Street) Revenue Bond | ||||||||
0.07%, 07/07/11† | 3,100,000 | 3,100,000 | ||||||
New York City Housing Development Corporation, Series A Multi-Family Housing (90 West Street) Revenue Bond | ||||||||
0.07%, 07/07/11† | 6,000,000 | 6,000,000 | ||||||
New York City Housing Development Corporation, Series A Multi-Family Housing Revenue Bond | ||||||||
0.07%, 07/07/11† | 3,000,000 | 3,000,000 | ||||||
New York City Industrial Development Agency, New York Law School Project, Series A Revenue Bond (LOC-JPMorgan Chase Bank) | ||||||||
0.06%, 07/07/11† | 8,000,000 | 8,000,000 | ||||||
New York City Municipal Water Finance Authority, Series B-1 Water and Sewer System Revenue Bond | ||||||||
0.06%, 07/07/11† | 6,800,000 | 6,800,000 | ||||||
New York Housing Finance Agency, Biltmore Tower Housing Project, Series A Revenue Bond | ||||||||
0.07%, 07/07/11† | 4,000,000 | 4,000,000 | ||||||
New York State Housing Finance Agency, Series 2001-A The Victory Housing Revenue Bond | ||||||||
0.07%, 07/07/11† | 2,700,000 | 2,700,000 | ||||||
New York State Housing Finance Agency, Series A 10 Barclay Street Housing Revenue Bond | ||||||||
0.07%, 07/07/11† | 10,000,000 | 10,000,000 | ||||||
Pennsylvania Higher Educational Facilties Authority, Thomas Jefferson University, Series B Revenue Bond | ||||||||
0.07%, 07/07/11† | 4,900,000 | 4,900,000 | ||||||
Sacramento Housing Authority, Multifamily Housing The Lofts at Natomas Apartments Revenue Bond Series F | ||||||||
0.09%, 07/07/11† | 10,190,000 | 10,190,000 |
See Notes to Financial Statements.
38
Table of Contents
Par | Value | |||||||
State of Texas, Veterans’ Housing Assistance Program, Series A-2 General Obligation Bond | ||||||||
0.15%, 07/07/11† | $ | 7,700,000 | $ | 7,700,000 | ||||
Wisconsin Housing & Economic Development Authority, Series B Home Ownership Revenue Bond | ||||||||
0.07%, 07/07/11† | 8,500,000 | 8,500,000 | ||||||
Wisconsin Housing & Economic Development Authority, Series D Home Ownership Revenue Bond | ||||||||
0.19%, 07/07/11† | 5,350,000 | 5,350,000 | ||||||
|
| |||||||
Total Municipal Bonds | 199,440,000 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 6.8% | ||||||||
U.S. Treasury Notes | ||||||||
1.00%, 09/30/11D | 13,000,000 | 13,025,631 | ||||||
1.00%, 10/31/11D | 20,000,000 | 20,059,504 | ||||||
4.63%, 10/31/11 | 20,000,000 | 20,289,271 | ||||||
0.75%, 11/30/11D | 40,000,000 | 40,091,222 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 93,465,628 | |||||||
|
| |||||||
VARIABLE RATE OBLIGATIONS — 1.2% | ||||||||
KBC Bank NV NY | ||||||||
1.90%, 07/01/11† | 6,690,000 | 6,690,000 | ||||||
Royal Bank of Canada NY | ||||||||
0.25%, 07/01/11† | 10,000,000 | 10,000,000 | ||||||
|
| |||||||
Total Variable Rate Obligations | 16,690,000 | |||||||
|
| |||||||
Shares | ||||||||
MONEY MARKET FUND — 3.8% | ||||||||
Northern Institutional Liquid Assets Portfolio§ | 51,917,671 | 51,917,671 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 103.8% | 1,425,297,058 | |||||||
Liabilities in Excess of Other Assets — (3.8)% | (51,742,066 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,373,554,992 | ||||||
|
|
Please see abbreviation and footnote definitions beginning on page 130.
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Commercial Paper | 47.9 | |||
Certificates of Deposit | 20.5 | |||
Municipal Bonds | 14.5 | |||
U.S. Treasury Obligations | 6.8 | |||
Agency Obligations | 5.6 | |||
Money Market Fund | 3.8 | |||
Corporate Bonds | 3.5 | |||
Variable Rate Obligations | 1.2 | |||
|
| |||
103.8 | ||||
|
|
See Notes to Financial Statements.
39
Table of Contents
MONEY MARKET FUND
SCHEDULE OF INVESTMENTS (Continued)
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2011, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Agency Obligations | $ | 76,676,887 | $ | — | $ | 76,676,887 | $ | — | ||||||||
Certificates of Deposit | 280,794,739 | — | 280,794,739 | — | ||||||||||||
Commercial Paper | 658,312,133 | — | 658,312,133 | — | ||||||||||||
Corporate Bonds | 48,000,000 | — | 48,000,000 | — | ||||||||||||
Money Market Funds | 51,917,671 | 51,917,671 | — | — | ||||||||||||
Municipal Bonds | 199,440,000 | — | 199,440,000 | — | ||||||||||||
U.S. Treasury Obligations | 93,465,628 | — | 93,465,628 | — | ||||||||||||
Variable Rate Obligations | 16,690,000 | — | 16,690,000 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 1,425,297,058 | $ | 51,917,671 | $ | 1,373,379,387 | $ | — | ||||||||
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
40
Table of Contents
SCHEDULE OF INVESTMENTS | June 30, 2011 (Unaudited) |
Par | Value | |||||||
AGENCY OBLIGATIONS — 1.4% | ||||||||
Federal Farm Credit Bank | ||||||||
1.38%, 06/25/13 | $ | 1,150,000 | $ | 1,171,621 | ||||
Federal Home Loan Bank | ||||||||
0.04%, 07/13/11 | 5,900,000 | 5,899,902 | ||||||
5.38%, 06/13/14 | 895,000 | 1,010,639 | ||||||
Federal National Mortgage Association | ||||||||
5.25%, 08/01/12 | 1,580,000 | 1,662,571 | ||||||
Small Business Administration | ||||||||
6.95%, 11/01/16 | 309,451 | 338,730 | ||||||
|
| |||||||
Total Agency Obligations | 10,083,463 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES — 8.5% | ||||||||
AmeriCredit Automobile Receivables Trust | ||||||||
1.39%, 09/18/15 | 500,000 | 501,863 | ||||||
2.33%, 03/08/16 | 580,000 | 581,450 | ||||||
Asset-Backed Securities Corporation Home Equity | ||||||||
0.46%, 09/25/34† | 100,868 | 90,958 | ||||||
Bank of America Auto Trust | ||||||||
2.67%, 07/15/13 144A | 589,178 | 593,156 | ||||||
Bear Stearns Asset-Backed Securities Trust | ||||||||
0.24%, 11/25/36† | 113,855 | 109,462 | ||||||
1.19%, 10/25/37† | 1,022,467 | 630,261 | ||||||
0.38%, 01/25/47† | 876,975 | 835,494 | ||||||
BNC Mortgage Loan Trust | ||||||||
0.31%, 11/25/36† | 880,113 | 838,784 | ||||||
0.25%, 03/25/37† | 772,811 | 720,702 | ||||||
Bumper 2 SA | ||||||||
2.59%, 05/20/26(E)† | 1,100,000 | 1,597,988 | ||||||
Capital One Multi-Asset Execution Trust | ||||||||
0.32%, 08/15/14† | 2,000,000 | 2,000,160 | ||||||
Cars Alliance Funding PLC | ||||||||
1.39%, 10/08/23(E)† | 340,532 | 492,259 | ||||||
CenterPoint Energy Transition Bond Co., LLC | ||||||||
4.97%, 08/01/14 | 1,090,271 | 1,112,818 | ||||||
Citibank Omni Master Trust | ||||||||
2.29%, 05/16/16 144A† | 2,875,000 | 2,909,604 | ||||||
4.90%, 11/15/18 144A | 630,000 | 681,725 | ||||||
Conseco Financial Corporation | ||||||||
6.04%, 11/01/29 | 16,443 | 16,627 | ||||||
CSAB Mortgage Backed Trust | ||||||||
5.72%, 09/25/36 STEP | 784,146 | 547,935 | ||||||
Daimler Chrysler Auto Trust | ||||||||
5.28%, 03/08/13 | 1,295,763 | 1,315,831 | ||||||
DT Auto Owner Trust | ||||||||
4.36%, 12/15/16 144A | 405,000 | 405,544 | ||||||
FHLMC Structured Pass-Through Securities | ||||||||
0.45%, 08/25/31† | 843,816 | 819,243 | ||||||
First Investors Auto Owner Trust | ||||||||
3.40%, 03/15/16 144A | 700,000 | 707,138 | ||||||
Ford Credit Auto Owner Trust | ||||||||
2.17%, 10/15/13 | 1,722,619 | 1,737,948 | ||||||
2.98%, 08/15/14 | 1,255,000 | 1,295,575 | ||||||
Globaldrive BV | ||||||||
4.00%, 10/20/16(E) | 1,075,978 | 1,571,892 | ||||||
2.03%, 04/20/19(E)† | 790,000 | 1,145,625 | ||||||
GSR Mortgage Loan Trust | ||||||||
2.79%, 09/25/35 | 699,630 | 664,951 | ||||||
Hyundai Capital Auto Funding, Ltd. | ||||||||
1.19%, 09/20/16 144A† | 1,460,000 | 1,450,449 | ||||||
IFC SBA Loan-Backed Adjustable Rate Certificate | ||||||||
1.25%, 01/15/24 144A† | 170,000 | 126,254 | ||||||
Magnolia Funding, Ltd. | ||||||||
3.00%, 04/20/17 144A(E) | 676,416 | 983,942 | ||||||
MBNA Credit Card Master Note Trust | ||||||||
1.39%, 02/20/14(E)† | 715,000 | 1,035,676 | ||||||
Penarth Master Issuer PLC | ||||||||
0.85%, 05/18/15 144A† | 610,000 | 609,655 | ||||||
PG&E Energy Recovery Funding LLC | ||||||||
4.37%, 06/25/14 | 179,070 | 182,883 | ||||||
Residential Asset Mortgage Products, Inc. | ||||||||
0.31%, 12/25/36† | 476,454 | 468,413 | ||||||
Santander Consumer Acquired Receivables Trust | ||||||||
1.40%, 10/15/14 144A | 1,980,000 | 1,989,966 | ||||||
1.66%, 08/15/16 144A | 903,054 | 903,324 | ||||||
2.01%, 08/15/16 144A | 820,116 | 820,116 | ||||||
Santander Drive Auto Receivables Trust | ||||||||
1.01%, 07/15/13 144A | 940,000 | 941,030 | ||||||
1.37%, 08/15/13 144A | 1,293,654 | 1,297,219 | ||||||
3.11%, 05/16/16 144A | 420,000 | 422,568 | ||||||
3.10%, 05/15/17 144A | 1,002,563 | 1,003,816 | ||||||
2.06%, 06/15/17 144A | 405,102 | 404,508 | ||||||
2.86%, 06/15/17 144A | 448,697 | 448,129 | ||||||
3.35%, 06/15/17 144A | 650,000 | 649,417 | ||||||
SLC Student Loan Trust | ||||||||
0.40%, 01/15/19† | 856,680 | 837,958 | ||||||
SLM Student Loan Trust | ||||||||
0.27%, 07/25/17† | 1,063,647 | 1,055,963 | ||||||
1.84%, 12/15/17 144A† | 923,219 | 929,568 | ||||||
1.57%, 01/25/18† | 3,975,000 | 4,083,518 | ||||||
0.45%, 06/15/21† | 1,329,947 | 1,297,180 | ||||||
0.65%, 03/15/22† | 906,205 | 882,268 | ||||||
0.38%, 10/25/24† | 750,000 | 730,924 | ||||||
6.19%, 07/15/42 144A† | 5,730,223 | 5,455,397 | ||||||
3.50%, 08/17/43 144A† | 3,816,393 | 3,823,317 | ||||||
3.44%, 05/16/44 144A† | 1,954,519 | 2,056,837 | ||||||
Soundview Home Equity Loan Trust | ||||||||
1.04%, 08/25/31† | 582,349 | 569,658 | ||||||
Structured Asset Securities Corporation | ||||||||
1.69%, 04/25/35† | 953,612 | 763,456 | ||||||
0.24%, 10/25/36† | 21,170 | 21,117 | ||||||
Turbo Finance | ||||||||
2.48%, 01/20/19(U)† | 1,151,027 | 1,850,119 | ||||||
TXU Electric Delivery Transition Bond Co. LLC | ||||||||
4.81%, 11/17/14 | 1,070,709 | 1,108,907 | ||||||
Wells Fargo Home Equity Trust | ||||||||
0.28%, 04/25/37† | 535,681 | 518,516 | ||||||
|
| |||||||
Total Asset-Backed Securities | 63,647,061 | |||||||
|
|
See Notes to Financial Statements.
41
Table of Contents
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
CORPORATE BONDS — 24.6% | ||||||||
3M Co. | ||||||||
4.50%, 11/01/11 | $ | 590,000 | $ | 598,551 | ||||
AEP Texas Central Transition Funding LLC | ||||||||
4.98%, 07/01/15 | 1,911,227 | 1,984,241 | ||||||
AES Corporation | ||||||||
7.75%, 03/01/14 | 375,000 | 406,875 | ||||||
Agilent Technologies, Inc. | ||||||||
4.45%, 09/14/12 | 610,000 | 632,006 | ||||||
2.50%, 07/15/13D | 810,000 | 825,134 | ||||||
5.50%, 09/14/15 | 310,000 | 343,591 | ||||||
Airgas, Inc. | ||||||||
2.85%, 10/01/13 | 1,440,000 | 1,477,122 | ||||||
Allstate Corporation | ||||||||
6.20%, 05/16/14 | 300,000 | 339,744 | ||||||
American Airlines Pass Through Trust | ||||||||
5.25%, 07/31/22D | 620,000 | 606,050 | ||||||
American Express Bank FSB | ||||||||
5.50%, 04/16/13D | 1,015,000 | 1,086,307 | ||||||
American Express Credit Corporation | ||||||||
1.10%, 06/24/14† | 920,000 | 921,891 | ||||||
American Honda Finance Corporation | ||||||||
2.38%, 03/18/13 144A | 300,000 | 305,823 | ||||||
American International Group, Inc. | ||||||||
1.51%, 07/19/13(E)† | 400,000 | 558,887 | ||||||
3.75%, 11/30/13 144A | 400,000 | 409,502 | ||||||
3.65%, 01/15/14D | 1,610,000 | 1,641,540 | ||||||
8.25%, 08/15/18 144A | 1,350,000 | 1,551,321 | ||||||
AvalonBay Communities, Inc. | ||||||||
6.13%, 11/01/12 | 317,000 | 337,427 | ||||||
BAE Systems Holdings, Inc. | ||||||||
6.40%, 12/15/11 144A | 1,420,000 | 1,457,487 | ||||||
Bank of America Corporation | ||||||||
5.38%, 09/11/12D | 800,000 | 838,731 | ||||||
4.90%, 05/01/13 | 400,000 | 421,571 | ||||||
4.50%, 04/01/15 | 1,240,000 | 1,297,534 | ||||||
5.65%, 05/01/18 | 1,200,000 | 1,266,986 | ||||||
Bank of New York Mellon Corporation | ||||||||
4.30%, 05/15/14 | 790,000 | 854,539 | ||||||
BB&T Corporation | ||||||||
3.38%, 09/25/13D | 400,000 | 417,199 | ||||||
0.97%, 04/28/14†D | 310,000 | 310,694 | ||||||
Berkshire Hathaway Finance Corporation | ||||||||
4.00%, 04/15/12 | 500,000 | 514,066 | ||||||
Best Buy Co., Inc. | ||||||||
3.75%, 03/15/16 | 500,000 | 502,932 | ||||||
Boston Scientific Corporation | ||||||||
4.50%, 01/15/15D | 700,000 | 738,663 | ||||||
6.40%, 06/15/16 | 156,000 | 175,895 | ||||||
Broadcom Corporation | ||||||||
1.50%, 11/01/13 144A | 520,000 | 521,508 | ||||||
Brocade Communications Systems Inc | ||||||||
6.63%, 01/15/18 | 910,000 | 964,600 | ||||||
Burlington Northern Santa Fe LLC | ||||||||
6.75%, 07/15/11D | 600,000 | 601,001 | ||||||
7.00%, 02/01/14D | 365,000 | 415,757 | ||||||
Cadbury Schweppes US Finance LLC | ||||||||
5.13%, 10/01/13 144A | 1,000,000 | 1,083,809 | ||||||
Capital One Financial Corporation | ||||||||
6.25%, 11/15/13D | 1,210,000 | 1,332,819 | ||||||
CareFusion Corporation | ||||||||
4.13%, 08/01/12 | 1,720,000 | 1,773,305 | ||||||
Case New Holland, Inc. | ||||||||
7.75%, 09/01/13 | 550,000 | 598,125 | ||||||
Caterpillar Financial Services Corporation | ||||||||
5.75%, 02/15/12 | 575,000 | 594,033 | ||||||
2.00%, 04/05/13D | 540,000 | 551,977 | ||||||
Cellco Partnership/Verizon Wireless Capital LLC | ||||||||
5.25%, 02/01/12 | 2,585,000 | 2,653,210 | ||||||
5.55%, 02/01/14 | 400,000 | 441,159 | ||||||
CenterPoint Energy, Inc. | ||||||||
6.85%, 06/01/15 | 710,000 | 820,080 | ||||||
CenturyLink, Inc. | ||||||||
5.50%, 04/01/13D | 790,000 | 831,093 | ||||||
Charter Communications Operating LLC | ||||||||
8.00%, 04/30/12 144A | 850,000 | 888,250 | ||||||
Chesapeake Energy Corporation | ||||||||
7.63%, 07/15/13D | 1,100,000 | 1,204,500 | ||||||
Cisco Systems, Inc. | ||||||||
1.63%, 03/14/14 | 1,630,000 | 1,646,991 | ||||||
Citigroup, Inc. | ||||||||
5.30%, 10/17/12 | 275,000 | 288,702 | ||||||
1.11%, 02/15/13†D | 730,000 | 727,498 | ||||||
2.26%, 08/13/13† | 700,000 | 713,545 | ||||||
6.00%, 12/13/13 | 300,000 | 326,370 | ||||||
Coca-Cola Enterprises, Inc. | ||||||||
1.13%, 11/12/13 | 780,000 | 779,711 | ||||||
ConocoPhillips | ||||||||
4.75%, 10/15/12 | 1,000,000 | 1,052,790 | ||||||
4.75%, 02/01/14 | 400,000 | 436,724 | ||||||
Constellation Energy Group, Inc. | ||||||||
4.55%, 06/15/15 | 582,000 | 619,930 | ||||||
Consumers Energy Co. | ||||||||
5.38%, 04/15/13 | 475,000 | 510,412 | ||||||
Corn Products International, Inc. | ||||||||
3.20%, 11/01/15 | 200,000 | 204,185 | ||||||
COX Communications, Inc. | ||||||||
7.13%, 10/01/12 | 420,000 | 450,599 | ||||||
5.45%, 12/15/14 | 1,310,000 | 1,461,194 | ||||||
Crown Castle Towers LLC | ||||||||
4.52%, 01/15/35 144A | 1,300,000 | 1,359,825 | ||||||
CSC Holdings LLC | ||||||||
8.50%, 04/15/14 | 550,000 | 611,875 | ||||||
CSX Corporation | ||||||||
5.75%, 03/15/13 | 1,225,000 | 1,318,570 | ||||||
CVS Caremark Corporation | ||||||||
5.75%, 08/15/11 | 975,000 | 980,633 | ||||||
Daimler Finance NA LLC | ||||||||
7.30%, 01/15/12 | 350,000 | 362,231 | ||||||
1.95%, 03/28/14 144AD | 1,120,000 | 1,129,985 | ||||||
Danaher Corporation | ||||||||
1.30%, 06/23/14D | 300,000 | 300,043 | ||||||
DIRECTV Holdings LLC | ||||||||
4.75%, 10/01/14 | 680,000 | 744,906 |
See Notes to Financial Statements.
42
Table of Contents
Par | Value | |||||||
Domtar Corporation | ||||||||
7.13%, 08/15/15 | $ | 980,000 | $ | 1,100,050 | ||||
Dow Chemical Co. | ||||||||
4.85%, 08/15/12 | 1,500,000 | 1,567,110 | ||||||
Dr Pepper Snapple Group, Inc. | ||||||||
1.70%, 12/21/11 | 620,000 | 623,656 | ||||||
DTE Energy Co. | ||||||||
0.96%, 06/03/13† | 630,000 | 632,043 | ||||||
eBay, Inc. | ||||||||
0.88%, 10/15/13 | 330,000 | 329,448 | ||||||
Eli Lilly & Co. | ||||||||
3.55%, 03/06/12D | 200,000 | 204,406 | ||||||
Enterprise Products Operating LLC | ||||||||
6.13%, 02/01/13 | 1,005,000 | 1,076,137 | ||||||
6.38%, 02/01/13 | 750,000 | 805,254 | ||||||
5.65%, 04/01/13 | 1,030,000 | 1,105,274 | ||||||
EOG Resources, Inc. | ||||||||
1.02%, 02/03/14† | 2,900,000 | 2,929,786 | ||||||
Equifax, Inc. | ||||||||
4.45%, 12/01/14 | 140,000 | 150,151 | ||||||
ERAC USA Finance LLC | ||||||||
2.75%, 07/01/13 144A | 370,000 | 377,655 | ||||||
2.25%, 01/10/14 144A | 330,000 | 333,494 | ||||||
Exelon Generation Co. LLC | ||||||||
5.35%, 01/15/14 | 808,000 | 875,049 | ||||||
Express Scripts, Inc. | ||||||||
5.25%, 06/15/12 | 550,000 | 572,339 | ||||||
FDIC Structured Sale Guaranteed Notes | ||||||||
0.00%, 10/25/12 144AW | 1,700,000 | 1,675,059 | ||||||
0.00%, 10/25/13 144AW | 2,300,000 | 2,231,540 | ||||||
Florida Power Corporation | ||||||||
6.65%, 07/15/11 | 600,000 | 600,935 | ||||||
Ford Motor Credit Co., LLC | ||||||||
7.50%, 08/01/12D | 3,000,000 | 3,142,458 | ||||||
7.00%, 10/01/13D | 550,000 | 589,147 | ||||||
Freeport-McMoRan Copper & Gold, Inc. | ||||||||
8.38%, 04/01/17D | 1,512,000 | 1,653,753 | ||||||
Frontier Communications Corporation | ||||||||
6.25%, 01/15/13 | 830,000 | 870,462 | ||||||
General Electric Capital Corporation | ||||||||
1.13%, 01/15/13†D | 700,000 | 706,282 | ||||||
1.88%, 09/16/13D | 200,000 | 202,392 | ||||||
1.14%, 01/07/14† | 2,800,000 | 2,818,040 | ||||||
5.90%, 05/13/14 | 460,000 | 511,358 | ||||||
3.75%, 11/14/14 | 660,000 | 699,168 | ||||||
6.50%, 09/15/67 144A(U)† | 200,000 | 317,781 | ||||||
Genzyme Corporation | ||||||||
3.63%, 06/15/15 | 395,000 | 418,545 | ||||||
Georgia Power Co. | ||||||||
1.30%, 09/15/13 | 720,000 | 725,138 | ||||||
Georgia-Pacific LLC | ||||||||
8.25%, 05/01/16 144A | 910,000 | 1,031,980 | ||||||
Gilead Sciences, Inc. | ||||||||
1.63%, 05/01/16 144AD | 540,000 | 628,425 | ||||||
Goldman Sachs Group, Inc. | ||||||||
1.27%, 02/07/14†D | 910,000 | 903,138 | ||||||
6.00%, 05/01/14 | 139,000 | 152,578 | ||||||
3.70%, 08/01/15D | 350,000 | 356,729 | ||||||
1.78%, 05/23/16(E)†D | 2,900,000 | 3,986,270 | ||||||
Hartford Financial Services Group, Inc. | ||||||||
4.00%, 03/30/15D | 320,000 | 330,159 | ||||||
Hartford Life Institutional Funding | ||||||||
5.38%, 01/17/12(U) | 900,000 | 1,471,336 | ||||||
HCP, Inc. | ||||||||
2.70%, 02/01/14D | 210,000 | 213,160 | ||||||
Health Care REIT, Inc. | ||||||||
6.00%, 11/15/13 | 540,000 | 585,980 | ||||||
Hewlett-Packard Co. | ||||||||
4.25%, 02/24/12 | 486,000 | 497,781 | ||||||
Host Hotels & Resorts LP | ||||||||
6.75%, 06/01/16 | 850,000 | 881,875 | ||||||
Hyundai Capital America | ||||||||
3.75%, 04/06/16 144A | 190,000 | 190,789 | ||||||
Icahn Enterprises LP | ||||||||
7.75%, 01/15/16D | 600,000 | 618,750 | ||||||
International Business Machines Corporation | ||||||||
2.10%, 05/06/13D | 1,250,000 | 1,282,438 | ||||||
1.00%, 08/05/13D | 700,000 | 702,374 | ||||||
Interpublic Group of Cos. | ||||||||
6.25%, 11/15/14 | 700,000 | 778,750 | ||||||
Jabil Circuit, Inc. | ||||||||
7.75%, 07/15/16D | 500,000 | 556,250 | ||||||
JB Hunt Transport Services, Inc. | ||||||||
3.38%, 09/15/15 | 550,000 | 556,038 | ||||||
John Deere Capital Corporation | ||||||||
1.60%, 03/03/14 | 1,520,000 | 1,538,050 | ||||||
JPMorgan Chase & Co. | ||||||||
5.38%, 10/01/12 | 300,000 | 317,113 | ||||||
4.75%, 05/01/13D | 325,000 | 346,123 | ||||||
3.15%, 07/05/16D | 661,000 | 665,809 | ||||||
KeyCorp | ||||||||
3.75%, 08/13/15 | 360,000 | 372,002 | ||||||
Kraft Foods, Inc. | ||||||||
6.00%, 02/11/13D | 950,000 | 1,024,752 | ||||||
2.63%, 05/08/13 | 230,000 | 236,729 | ||||||
5.25%, 10/01/13D | 230,000 | 250,068 | ||||||
Lehman Brothers Holdings, Inc. | ||||||||
6.63%, 01/18/12# | 600,000 | 159,750 | ||||||
6.75%, 12/28/17# | 2,600,000 | 3,900 | ||||||
6.88%, 05/02/18# | 2,400,000 | 657,000 | ||||||
Life Technologies Corporation | ||||||||
3.38%, 03/01/13D | 1,140,000 | 1,174,039 | ||||||
4.40%, 03/01/15 | 600,000 | 636,481 | ||||||
3.50%, 01/15/16 | 800,000 | 819,080 | ||||||
Lincoln National Corporation | ||||||||
4.30%, 06/15/15 | 1,210,000 | 1,275,328 | ||||||
Macy’s Retail Holdings, Inc. | ||||||||
5.75%, 07/15/14 | 780,000 | 861,880 | ||||||
Merrill Lynch & Co., Inc. | ||||||||
6.05%, 08/15/12 | 400,000 | 421,198 | ||||||
5.45%, 02/05/13D | 1,500,000 | 1,591,796 | ||||||
5.00%, 01/15/15 | 2,700,000 | 2,860,477 | ||||||
MetLife, Inc. | ||||||||
2.38%, 02/06/14 | 290,000 | 295,701 | ||||||
Metropolitan Life Global Funding I | ||||||||
2.88%, 09/17/12 144A | 2,225,000 | 2,274,524 | ||||||
1.04%, 01/10/14 144A† | 1,000,000 | 1,000,505 | ||||||
Microsoft Corporation | ||||||||
2.95%, 06/01/14 | 900,000 | 951,809 |
See Notes to Financial Statements.
43
Table of Contents
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
MidAmerican Energy Co. | ||||||||
5.13%, 01/15/13 | $ | 515,000 | $ | 547,315 | ||||
MidAmerican Energy Holdings Co. | ||||||||
5.88%, 10/01/12 | 550,000 | 583,416 | ||||||
Morgan Stanley | ||||||||
6.60%, 04/01/12D | 885,000 | 924,481 | ||||||
1.25%, 04/29/13† | 1,010,000 | 1,008,708 | ||||||
6.00%, 05/13/14 | 755,000 | 822,828 | ||||||
6.00%, 04/28/15 | 400,000 | 433,998 | ||||||
Nabors Industries, Inc. | ||||||||
6.15%, 02/15/18D | 1,650,000 | 1,826,586 | ||||||
9.25%, 01/15/19 | 2,300,000 | 2,919,496 | ||||||
National Rural Utilities Cooperative Finance Corporation | ||||||||
1.13%, 11/01/13 | 330,000 | 330,413 | ||||||
NBCUniversal Media LLC | ||||||||
2.10%, 04/01/14 144A | 1,560,000 | 1,581,742 | ||||||
3.65%, 04/30/15 144A | 550,000 | 577,967 | ||||||
NCUA Guaranteed Notes | ||||||||
1.40%, 06/12/15 | 1,180,000 | 1,181,664 | ||||||
New York Life Global Funding | ||||||||
0.56%, 04/04/14 144A†D | 1,600,000 | 1,601,746 | ||||||
NextEra Energy Capital Holdings, Inc. | ||||||||
5.63%, 09/01/11 | 475,000 | 478,601 | ||||||
2.55%, 11/15/13 | 750,000 | 767,120 | ||||||
Nissan Motor Acceptance Corporation | ||||||||
3.25%, 01/30/13 144A | 580,000 | 593,020 | ||||||
Nova Chemicals Corporation | ||||||||
8.38%, 11/01/16 | 1,250,000 | 1,381,250 | ||||||
Novartis Capital Corporation | ||||||||
4.13%, 02/10/14 | 210,000 | 226,455 | ||||||
Novus USA Trust 2010-1 | ||||||||
1.51%, 11/18/11 144A† | 840,000 | 834,797 | ||||||
Omnicare, Inc. | ||||||||
6.88%, 12/15/15 | 600,000 | 617,250 | ||||||
Oracle Corporation | ||||||||
3.75%, 07/08/14D | 970,000 | 1,040,649 | ||||||
Overseas Private Investment Corporation | ||||||||
0.76%, 07/12/12W | 2,100,000 | 2,541,185 | ||||||
5.75%, 04/15/14W | 1,600,000 | 2,080,288 | ||||||
Owens Corning, Inc. | ||||||||
6.50%, 12/01/16 | 750,000 | 816,995 | ||||||
PACCAR Financial Corporation | ||||||||
0.64%, 04/05/13† | 550,000 | 553,361 | ||||||
Pfizer, Inc. | ||||||||
3.63%, 06/03/13(E) | 100,000 | 148,293 | ||||||
Praxair, Inc. | ||||||||
1.75%, 11/15/12 | 330,000 | 334,648 | ||||||
Procter & Gamble Co. | ||||||||
3.50%, 02/15/15D | 200,000 | 213,627 | ||||||
Prudential Financial, Inc. | ||||||||
3.63%, 09/17/12D | 945,000 | 970,429 | ||||||
2.75%, 01/14/13 | 650,000 | 663,560 | ||||||
Regions Financial Corporation | ||||||||
4.88%, 04/26/13D | 1,665,000 | 1,680,028 | ||||||
Reynolds Group | ||||||||
8.50%, 10/15/16 144A | 1,250,000 | 1,309,375 | ||||||
SanDisk Corporation | ||||||||
1.50%, 08/15/17D | 580,000 | 616,250 | ||||||
SBA Tower Trust | ||||||||
4.25%, 04/15/15 144A | 510,000 | 537,047 | ||||||
Simon Property Group LP REIT | ||||||||
4.20%, 02/01/15 | 140,000 | 149,054 | ||||||
Southeast Supply Header LLC | ||||||||
4.85%, 08/15/14 144A | 945,000 | 1,008,813 | ||||||
Southwest Airlines Co. | ||||||||
10.50%, 12/15/11 144A | 800,000 | 830,750 | ||||||
Sprint Capital Corporation | ||||||||
8.38%, 03/15/12D | 1,000,000 | 1,045,000 | ||||||
SPX Corporation | ||||||||
7.63%, 12/15/14 | 785,000 | 871,350 | ||||||
Steel Dynamics, Inc. | ||||||||
6.75%, 04/01/15 | 1,250,000 | 1,281,250 | ||||||
SteelRiver Transmission Co., LLC | ||||||||
4.71%, 06/30/17 144A | 622,692 | 632,917 | ||||||
Stryker Corporation | ||||||||
3.00%, 01/15/15D | 450,000 | 468,488 | ||||||
Suntrust Bank | ||||||||
0.95%, 06/22/12(U) | 560,000 | 883,584 | ||||||
TD Ameritrade Holding Corporation | ||||||||
4.15%, 12/01/14 | 660,000 | 699,399 | ||||||
Teck Resources, Ltd. | ||||||||
3.15%, 01/15/17 | 346,000 | 346,660 | ||||||
Tesoro Corporation | ||||||||
6.63%, 11/01/15 | 860,000 | 883,650 | ||||||
Teva Pharmaceutical Finance III BV | ||||||||
1.70%, 03/21/14 | 300,000 | 301,863 | ||||||
Teva Pharmaceutical Finance III LLC | ||||||||
1.50%, 06/15/12 | 800,000 | 807,709 | ||||||
Texas Instruments, Inc. | ||||||||
0.88%, 05/15/13 | 680,000 | 681,712 | ||||||
Thermo Fisher Scientific, Inc. | ||||||||
2.15%, 12/28/12 | 370,000 | 376,938 | ||||||
Time Warner Cable, Inc. | ||||||||
6.20%, 07/01/13 | 985,000 | 1,080,967 | ||||||
7.50%, 04/01/14 | 540,000 | 622,502 | ||||||
Time Warner, Inc. | ||||||||
3.15%, 07/15/15 | 290,000 | 300,193 | ||||||
Toyota Motor Credit Corporation | ||||||||
1.38%, 08/12/13 | 750,000 | 755,539 | ||||||
Union Bank NA | ||||||||
2.13%, 12/16/13 | 790,000 | 794,787 | ||||||
1.20%, 06/06/14† | 3,000,000 | 3,000,033 | ||||||
Union Pacific Corporation | ||||||||
6.13%, 01/15/12 | 365,000 | 375,293 | ||||||
United Air Lines, Inc. | ||||||||
9.75%, 01/15/17 | 849,024 | 970,009 | ||||||
10.40%, 05/01/18 | 878,210 | 995,627 | ||||||
US Bancorp | ||||||||
1.38%, 09/13/13 | 720,000 | 723,648 | ||||||
Verizon Global Funding Corporation | ||||||||
6.88%, 06/15/12D | 445,000 | 470,874 | ||||||
Vornado Realty LP REIT | ||||||||
4.25%, 04/01/15D | 700,000 | 727,168 | ||||||
Wachovia Bank NA | ||||||||
4.80%, 11/01/14 | 360,000 | 385,078 |
See Notes to Financial Statements.
44
Table of Contents
Par | Value | |||||||
Wachovia Corporation | ||||||||
5.30%, 10/15/11 | $ | 394,000 | $ | 399,255 | ||||
Wells Fargo & Co. | ||||||||
3.68%, 06/15/16 | 725,000 | 745,659 | ||||||
Western Corporate Federal Credit Union | ||||||||
1.75%, 11/02/12 | 1,875,000 | 1,905,133 | ||||||
Windstream Corporation | ||||||||
8.13%, 08/01/13 | 550,000 | 599,500 | ||||||
WM Wrigley Jr Co. | ||||||||
3.70%, 06/30/14 144A | 1,420,000 | 1,476,374 | ||||||
Xerox Corporation | ||||||||
1.08%, 05/16/14† | 2,900,000 | 2,916,440 | ||||||
XTO Energy, Inc. | ||||||||
6.25%, 04/15/13D | 600,000 | 657,154 | ||||||
|
| |||||||
Total Corporate Bonds | 183,342,036 | |||||||
|
| |||||||
FOREIGN BONDS — 21.4% | ||||||||
Australia — 0.8% | ||||||||
Asciano Finance, Ltd. | ||||||||
3.13%, 09/23/15 144AD | 620,000 | 612,331 | ||||||
Australia & New Zealand Banking Group, Ltd. | ||||||||
0.53%, 06/18/12 144A† | 1,575,000 | 1,577,093 | ||||||
Commonwealth Bank of Australia | ||||||||
2.13%, 03/17/14 144A | 850,000 | 859,576 | ||||||
National Australia Bank, Ltd. | ||||||||
0.77%, 01/08/13 144A† | 930,000 | 933,632 | ||||||
Westfield Capital | ||||||||
5.13%, 11/15/14 144A | 730,000 | 795,893 | ||||||
Westpac Banking Corporation | ||||||||
2.25%, 11/19/12 | 620,000 | 632,046 | ||||||
Woodside Finance, Ltd. | ||||||||
4.50%, 11/10/14 144A | 490,000 | 525,399 | ||||||
|
| |||||||
5,935,970 | ||||||||
|
| |||||||
Bermuda — 0.2% | ||||||||
Ingersoll-Rand Global Holding Co., Ltd. | ||||||||
9.50%, 04/15/14 | 880,000 | 1,057,322 | ||||||
Qtel International Finance, Ltd. | ||||||||
6.50%, 06/10/14 144A | 660,000 | 733,425 | ||||||
|
| |||||||
1,790,747 | ||||||||
|
| |||||||
Brazil — 0.4% | ||||||||
Banco Bradesco SA | ||||||||
2.36%, 05/16/14 144A† | 520,000 | 526,952 | ||||||
Banco do Brasil SA | ||||||||
4.50%, 01/22/15 144A | 680,000 | 712,300 | ||||||
Banco do Nordeste do Brasil SA | ||||||||
3.63%, 11/09/15 144A | 710,000 | 701,125 | ||||||
Brazilian Government International Bond | ||||||||
10.25%, 06/17/13D | 280,000 | 331,100 | ||||||
Cia de Eletricidade do Estado Da Bahia | ||||||||
11.75%, 04/27/16(B) 144A | 1,200,000 | 824,656 | ||||||
|
| |||||||
3,096,133 | ||||||||
|
| |||||||
Canada — 7.6% | ||||||||
Barrick Gold Corporation | ||||||||
1.75%, 05/30/14 144A | 1,665,000 | 1,669,391 | ||||||
2.90%, 05/30/16 | 410,000 | 411,362 | ||||||
Caisse Centrale Desjardinsdu Quebec | ||||||||
1.70%, 09/16/13 144A | 1,320,000 | 1,328,233 | ||||||
Canadian Government Bond | ||||||||
1.50%, 03/01/12(C) | 20,700,000 | 21,510,229 | ||||||
2.00%, 08/01/13(C) | 5,200,000 | 5,435,886 | ||||||
2.50%, 09/01/13(C) | 6,700,000 | 7,074,163 | ||||||
2.25%, 08/01/14(C) | 5,200,000 | 5,448,934 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
2.00%, 02/04/13 144A | 6,560,000 | 6,685,742 | ||||||
CDP Financial, Inc. | ||||||||
3.00%, 11/25/14 144A | 735,000 | 765,193 | ||||||
Devon Financing Corporation ULC | ||||||||
6.88%, 09/30/11D | 1,570,000 | 1,593,696 | ||||||
Manulife Financial Corporation | ||||||||
3.40%, 09/17/15 | 975,000 | 1,006,114 | ||||||
Province of Manitoba | ||||||||
1.38%, 04/28/14 | 1,000,000 | 1,009,948 | ||||||
Province of Ontario | ||||||||
1.88%, 11/19/12D | 775,000 | 789,291 | ||||||
Rogers Communications, Inc. | ||||||||
6.25%, 06/15/13 | 1,300,000 | 1,426,404 | ||||||
6.38%, 03/01/14 | 320,000 | 359,123 | ||||||
TransCanada PipeLines, Ltd. | ||||||||
3.40%, 06/01/15D | 360,000 | 378,245 | ||||||
|
| |||||||
56,891,954 | ||||||||
|
| |||||||
Cayman Islands — 0.3% | ||||||||
China Resources Land, Ltd. | ||||||||
4.63%, 05/19/16 | 750,000 | 742,975 | ||||||
IPIC GMTN, Ltd. | ||||||||
3.13%, 11/15/15 144AD | 330,000 | 328,350 | ||||||
Petrobras International Finance Co. | ||||||||
3.88%, 01/27/16 | 1,190,000 | 1,217,748 | ||||||
|
| |||||||
2,289,073 | ||||||||
|
| |||||||
Chile — 0.7% | ||||||||
Banco Santander Chile | ||||||||
1.88%, 01/19/16 144A† | 2,500,000 | 2,470,815 | ||||||
Celulosa Arauco y Constitucion SA | ||||||||
5.63%, 04/20/15D | 1,260,000 | 1,364,315 | ||||||
Chile Government International Bond | ||||||||
5.50%, 01/15/13 | 300,000 | 320,100 | ||||||
Corp Nacional del Cobre de Chile | ||||||||
4.75%, 10/15/14 144A | 960,000 | 1,034,004 | ||||||
|
| |||||||
5,189,234 | ||||||||
|
| |||||||
Denmark — 0.2% | ||||||||
Danske Bank A/S | ||||||||
1.33%, 04/14/14 144A†D | 950,000 | 950,785 | ||||||
FIH Erhvervsbank A/S | ||||||||
2.45%, 08/17/12 144A | 450,000 | 459,632 | ||||||
|
| |||||||
1,410,417 | ||||||||
|
| |||||||
France — 2.0% | ||||||||
Banque PSA Finance | ||||||||
3.50%, 01/17/14(E) | 550,000 | 792,219 | ||||||
2.15%, 04/04/14 144A† | 2,000,000 | 1,997,872 |
See Notes to Financial Statements.
45
Table of Contents
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
BPCE SA | ||||||||
2.02%, 02/07/14 144A† | $ | 2,300,000 | $ | 2,315,819 | ||||
Dexia Credit Local | ||||||||
0.75%, 04/29/14 144A† | 2,300,000 | 2,293,006 | ||||||
2.75%, 04/29/14 144A | 1,400,000 | 1,420,957 | ||||||
RCI Banque SA | ||||||||
2.16%, 04/07/15(E)† | 900,000 | 1,294,195 | ||||||
Sanofi-Aventis SA | ||||||||
0.45%, 03/28/13† | 910,000 | 912,331 | ||||||
1.63%, 03/28/14D | 510,000 | 516,277 | ||||||
Total Capital SA | ||||||||
3.00%, 06/24/15D | 2,800,000 | 2,915,828 | ||||||
Veolia Environnement SA | ||||||||
5.25%, 06/03/13 | 520,000 | 557,778 | ||||||
|
| |||||||
15,016,282 | ||||||||
|
| |||||||
Germany — 0.4% | ||||||||
Deutsche Bank AG | ||||||||
5.38%, 10/12/12 | 2,600,000 | 2,743,796 | ||||||
|
| |||||||
India — 0.1% | ||||||||
ICICI Bank, Ltd. | ||||||||
5.50%, 03/25/15 144AD | 395,000 | 415,151 | ||||||
|
| |||||||
Ireland — 0.4% | ||||||||
DanFin Funding, Ltd. | ||||||||
0.98%, 07/16/13 144A† | 2,800,000 | 2,800,608 | ||||||
|
| |||||||
Italy — 0.6% | ||||||||
Intesa Sanpaolo SpA | ||||||||
2.66%, 02/24/14 144A†D | 2,900,000 | 2,895,102 | ||||||
Telecom Italia SpA | ||||||||
1.97%, 12/06/12(E)† | 900,000 | 1,292,970 | ||||||
|
| |||||||
4,188,072 | ||||||||
|
| |||||||
Jersey — 0.1% | ||||||||
BAA Funding, Ltd. | ||||||||
3.98%, 02/15/12(E) | 600,000 | 877,832 | ||||||
|
| |||||||
Luxembourg — 0.6% | ||||||||
Covidien International Finance SA | ||||||||
5.45%, 10/15/12 | 1,165,000 | 1,233,260 | ||||||
1.88%, 06/15/13 | 570,000 | 580,008 | ||||||
Gazprom Via Gaz Capital SA | ||||||||
9.25%, 04/23/19D | 2,300,000 | 2,883,625 | ||||||
|
| |||||||
4,696,893 | ||||||||
|
| |||||||
Mexico — 0.6% | ||||||||
America Movil SAB de CV | ||||||||
5.50%, 03/01/14 | 852,000 | 937,041 | ||||||
3.63%, 03/30/15D | 200,000 | 210,592 | ||||||
Mexico Government International Bond | ||||||||
6.38%, 01/16/13 | 760,000 | 822,700 | ||||||
Petroleos Mexicanos | ||||||||
4.88%, 03/15/15 | 1,250,000 | 1,359,375 | ||||||
5.50%, 01/21/21 | 1,400,000 | 1,474,900 | ||||||
|
| |||||||
4,804,608 | ||||||||
|
| |||||||
Netherlands — 1.0% | ||||||||
Achmea Hypotheekbank NV | ||||||||
3.20%, 11/03/14 144A | 1,500,000 | 1,575,648 | ||||||
ING Bank NV | ||||||||
1.30%, 03/15/13 144A†D | 880,000 | 882,025 | ||||||
LeasePlan Corporation NV | ||||||||
3.00%, 05/07/12 144A | 300,000 | 306,730 | ||||||
Nederlandse Waterschapsbank NV | ||||||||
4.63%, 07/25/11(E) | 1,000,000 | 1,453,280 | ||||||
Shell International Finance BV | ||||||||
1.88%, 03/25/13 | 400,000 | 408,779 | ||||||
Volkswagen International Finance NV | ||||||||
0.70%, 10/01/12 144A† | 1,700,000 | 1,705,088 | ||||||
0.86%, 04/01/14 144A† | 1,200,000 | 1,205,062 | ||||||
|
| |||||||
7,536,612 | ||||||||
|
| |||||||
Norway — 0.3% | ||||||||
Eksportfinans ASA | ||||||||
5.00%, 02/14/12 | 1,125,000 | 1,156,739 | ||||||
Sparebank 1 Boligkreditt AS | ||||||||
1.25%, 10/25/13 144AD | 370,000 | 369,831 | ||||||
Statoil ASA | ||||||||
2.90%, 10/15/14D | 650,000 | 682,483 | ||||||
|
| |||||||
2,209,053 | ||||||||
|
| |||||||
Panama — 0.1% | ||||||||
Banco de Credito del Peru/Panama | ||||||||
4.75%, 03/16/16 144AD | 930,000 | 925,350 | ||||||
|
| |||||||
Portugal — 0.4% | ||||||||
Obrigacoes do Tesouro | ||||||||
2.62%, 05/16/47(E)W | 2,104,699 | 3,048,065 | ||||||
|
| |||||||
Qatar — 0.0% | ||||||||
Qatar Government International Bond | ||||||||
4.00%, 01/20/15 | 350,000 | 367,500 | ||||||
|
| |||||||
South Africa — 0.1% | ||||||||
South Africa Government International Bond | ||||||||
7.38%, 04/25/12 | 600,000 | 632,280 | ||||||
|
| |||||||
South Korea — 0.5% | ||||||||
Hyundai Capital Services, Inc. | ||||||||
4.38%, 07/27/16 144AD | 2,900,000 | 2,977,085 | ||||||
Korea National Oil Corporation | ||||||||
2.88%, 11/09/15 144A | 770,000 | 757,122 | ||||||
|
| |||||||
3,734,207 | ||||||||
|
| |||||||
Spain — 0.1% | ||||||||
Telefonica Emisiones SAU | ||||||||
2.58%, 04/26/13 | 710,000 | 717,660 | ||||||
|
| |||||||
Supranational — 0.2% | ||||||||
Asian Development Bank | ||||||||
3.38%, 05/20/14(K) | 6,400,000 | 1,184,456 | ||||||
|
| |||||||
Sweden — 0.8% | ||||||||
Nordea Bank AB | ||||||||
1.18%, 01/14/14 144A†D | 2,900,000 | 2,927,573 | ||||||
Stadshypotek AB | ||||||||
1.45%, 09/30/13 144A | 2,900,000 | 2,920,512 | ||||||
|
| |||||||
5,848,085 | ||||||||
|
| |||||||
Switzerland — 0.2% | ||||||||
Credit Suisse NY | ||||||||
1.24%, 01/14/14†D | 1,200,000 | 1,205,693 | ||||||
|
| |||||||
United Kingdom — 2.7% | ||||||||
Anglo American Capital PLC | ||||||||
2.15%, 09/27/13 144A | 360,000 | 364,940 | ||||||
Barclays Bank PLC | ||||||||
4.25%, 10/27/11(E) | 1,000,000 | 1,462,419 |
See Notes to Financial Statements.
46
Table of Contents
Par | Value | |||||||
2.50%, 01/23/13 | $ | 495,000 | $ | 504,298 | ||||
1.32%, 01/13/14† | 580,000 | 582,167 | ||||||
2.38%, 01/13/14D | 2,900,000 | 2,936,230 | ||||||
5.93%, 09/24/49 144A† | 3,800,000 | 3,553,000 | ||||||
BP Capital Markets PLC | ||||||||
5.25%, 11/07/13D | 1,900,000 | 2,059,724 | ||||||
HSBC Bank PLC | ||||||||
1.63%, 07/07/14 144A | 650,000 | 649,571 | ||||||
Lloyds TSB Bank PLC | ||||||||
2.62%, 01/24/14† | 3,240,000 | 3,287,498 | ||||||
National Grid PLC | ||||||||
1.68%, 01/18/12(E)† | 850,000 | 1,232,878 | ||||||
Royal Bank of Scotland PLC | ||||||||
3.25%, 01/11/14 | 780,000 | 791,212 | ||||||
Standard Chartered Bank | ||||||||
0.66%, 11/16/11† | 690,000 | 690,974 | ||||||
Vedanta Resources PLC | ||||||||
6.75%, 06/07/16 144A | 750,000 | 750,900 | ||||||
Vodafone Group PLC | ||||||||
0.54%, 02/27/12†D | 950,000 | 951,120 | ||||||
|
| |||||||
19,816,931 | ||||||||
|
| |||||||
Total Foreign Bonds | 159,372,662 | |||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 23.6% | ||||||||
Adjustable Rate Mortgage Trust | ||||||||
4.88%, 03/25/37† | 2,795,036 | 1,415,518 | ||||||
American Home Mortgage Investment Trust | ||||||||
2.28%, 10/25/34† | 778,848 | 695,426 | ||||||
American Home Mortgage Assets | ||||||||
1.20%, 11/25/46† | 1,165,312 | 540,148 | ||||||
Arkle Master Issuer PLC | ||||||||
1.53%, 02/17/52(E)† | 1,080,000 | 1,552,949 | ||||||
1.41%, 05/17/60 144A† | 4,260,000 | 4,243,373 | ||||||
Arran Residential Mortgages Funding PLC | ||||||||
1.46%, 05/16/47 144A† | 1,438,211 | 1,438,676 | ||||||
0.31%, 09/16/56 144A† | 948,324 | 938,827 | ||||||
0.89%, 09/16/56(U)† | 864,321 | 1,369,903 | ||||||
1.55%, 09/16/56(E)† | 1,736,190 | 2,489,979 | ||||||
1.55%, 09/20/56(E)† | 520,444 | 752,971 | ||||||
Banc of America Commercial Mortgage, Inc. | ||||||||
3.88%, 09/11/36 | 298,145 | 299,226 | ||||||
5.80%, 06/10/49† | 998,362 | 1,028,199 | ||||||
Banc of America Funding Corporation | ||||||||
5.78%, 01/20/47† | 922,279 | 611,595 | ||||||
Banc of America Mortgage Securities, Inc. | ||||||||
6.50%, 10/25/31 | 165,566 | 167,906 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust | ||||||||
3.07%, 01/25/34† | 398,349 | 381,648 | ||||||
3.15%, 07/25/34† | 691,159 | 639,632 | ||||||
3.02%, 10/25/34† | 321,896 | 296,080 | ||||||
2.71%, 03/25/35† | 1,259,597 | 1,179,538 | ||||||
Bear Stearns Alt-A Trust | ||||||||
0.93%, 11/25/34† | 382,213 | 338,586 | ||||||
2.92%, 09/25/35† | 613,279 | 444,495 | ||||||
Bear Stearns Commercial Mortgage Securities | ||||||||
0.30%, 03/15/19 144A† | 935,105 | 933,004 | ||||||
Commercial Mortgage Pass-Through Certificates | ||||||||
6.10%, 07/16/34 144A | 44,192 | 44,122 | ||||||
Countrywide Alternative Loan Trust | ||||||||
6.00%, 10/25/32 | 72,090 | 74,545 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust | ||||||||
0.73%, 02/25/35† | 210,650 | 163,708 | ||||||
Credit Suisse First Boston Mortgage Securities Corporation | ||||||||
5.44%, 09/15/34 | 470,569 | 470,187 | ||||||
Deutsche ALT-A Securities, Inc. | ||||||||
5.87%, 10/25/36 STEP | 699,244 | 414,463 | ||||||
5.89%, 10/25/36 STEP | 699,244 | 415,021 | ||||||
Extended Stay America Trust | ||||||||
2.95%, 11/05/27 144A | 3,575,912 | 3,555,838 | ||||||
Fannie Mae Grantor Trust | ||||||||
3.31%, 02/25/32 | 202,668 | 211,267 | ||||||
FDIC Structured Sale Guaranteed Notes | ||||||||
3.00%, 09/30/19 144A | 1,151,180 | 1,157,956 | ||||||
0.91%, 12/04/20 144A† | 2,371,715 | 2,383,574 | ||||||
3.25%, 04/25/38 144A | 786,656 | 805,123 | ||||||
0.74%, 02/25/48 144A† | 679,162 | 679,784 | ||||||
FDIC Trust | ||||||||
2.18%, 05/25/50 144A | 1,490,526 | 1,488,569 | ||||||
Federal Home Loan Mortgage Corporation | ||||||||
5.00%, 01/01/19 | 493,188 | 530,569 | ||||||
5.00%, 02/01/19 | 508,884 | 547,485 | ||||||
10.75%, 02/01/19 | 48,900 | 49,337 | ||||||
5.00%, 12/01/19 | 1,008,785 | 1,090,600 | ||||||
5.50%, 05/01/22 | 3,263,313 | 3,537,890 | ||||||
6.00%, 11/01/22 | 724,764 | 793,798 | ||||||
2.72%, 07/01/27† | 17,224 | 18,134 | ||||||
2.29%, 06/01/33† | 1,431,544 | 1,487,957 | ||||||
2.50%, 10/01/34† | 380,803 | 398,678 | ||||||
2.58%, 08/01/35† | 1,119,694 | 1,176,774 | ||||||
2.74%, 10/01/35† | 922,413 | 971,672 | ||||||
2.35%, 04/01/36† | 847,402 | 893,025 | ||||||
5.50%, 12/01/37 | 1,335,455 | 1,445,885 | ||||||
5.50%, 05/01/38 | 2,920,793 | 3,159,579 | ||||||
5.50%, 02/01/40 | 871,789 | 943,062 | ||||||
Federal Home Loan Mortgage Corporation REMIC | ||||||||
5.38%, 09/15/11 | 341,144 | 342,579 | ||||||
0.54%, 12/15/30† | 201,203 | 201,276 | ||||||
Federal Housing Authority | ||||||||
7.43%, 09/01/22 | 1,336 | 1,336 | ||||||
Federal National Mortgage Association | ||||||||
5.00%, 01/01/18 | 1,268,089 | 1,370,737 | ||||||
5.50%, 12/01/18 | 498,582 | 541,164 | ||||||
5.00%, 07/01/19 | 227,272 | 245,918 | ||||||
5.00%, 05/01/21 | 2,057,710 | 2,224,275 | ||||||
5.00%, 11/01/21 | 866,542 | 936,686 | ||||||
2.43%, 12/01/24† | 51,610 | 52,176 | ||||||
9.00%, 05/01/25 | 62,778 | 73,715 | ||||||
9.00%, 07/01/25 | 67,584 | 80,326 | ||||||
5.00%, 03/01/26 | 3,448,571 | 3,727,722 | ||||||
3.50%, 07/01/26 TBA | 7,000,000 | 7,126,875 | ||||||
3.00%, 07/16/26 TBA | 3,000,000 | 2,980,314 |
See Notes to Financial Statements.
47
Table of Contents
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
2.52%, 09/01/31† | $ | 55,054 | $ | 57,828 | ||||
5.50%, 10/01/32 | 924,160 | 1,006,357 | ||||||
2.13%, 04/01/33† | 244,134 | 254,504 | ||||||
2.38%, 06/01/33† | 244,909 | 251,945 | ||||||
2.81%, 10/01/33† | 524,278 | 552,444 | ||||||
2.56%, 12/01/33† | 169,371 | 177,383 | ||||||
2.64%, 09/01/34† | 324,623 | 335,533 | ||||||
2.65%, 09/01/34† | 393,074 | 405,890 | ||||||
2.43%, 10/01/34† | 403,140 | 420,856 | ||||||
2.63%, 10/01/34† | 514,654 | 538,625 | ||||||
2.98%, 09/01/35† | 1,024,727 | 1,070,591 | ||||||
2.49%, 12/01/35† | 63,008 | 66,087 | ||||||
4.50%, 07/13/40 TBA | 20,300,000 | 21,000,979 | ||||||
0.54%, 06/01/41 TBA | 1,900,000 | 1,900,589 | ||||||
1.50%, 07/01/44† | 176,694 | 176,770 | ||||||
Federal National Mortgage Association REMIC | ||||||||
4.00%, 11/25/19 | 449,291 | 471,605 | ||||||
5.50%, 11/25/27 | 178,613 | 178,682 | ||||||
0.79%, 05/25/30† | 1,047,334 | 1,047,754 | ||||||
0.84%, 05/25/30† | 828,125 | 828,567 | ||||||
0.00%, 10/25/40 IO | 5,839,753 | 1,121,626 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates | ||||||||
2.23%, 07/25/13 | 848,635 | 857,611 | ||||||
3.61%, 06/25/14 | 1,095,000 | 1,143,644 | ||||||
FHLMC Structured Pass-Through Securities | ||||||||
1.19%, 05/25/43† | 1,117,211 | 1,148,618 | ||||||
1.69%, 07/25/44† | 1,792,168 | 1,747,084 | ||||||
First Horizon Alternative Mortgage Securities | ||||||||
2.34%, 06/25/34† | 626,975 | 560,350 | ||||||
Fosse Master Issuer PLC | ||||||||
0.36%, 10/18/54† | 139,490 | 139,442 | ||||||
GE Capital Commercial Mortgage Corporation | ||||||||
6.07%, 06/10/38 | 1,611,839 | 1,620,816 | ||||||
GMAC Commercial Mortgage Securities, Inc. | ||||||||
6.70%, 04/15/34 | 343,403 | 342,980 | ||||||
Government National Mortgage Association | ||||||||
3.38%, 06/20/17† | 9,430 | 9,832 | ||||||
3.38%, 06/20/21† | 5,540 | 5,776 | ||||||
2.13%, 10/20/27† | 44,504 | 45,888 | ||||||
8.50%, 10/15/29 | 26,804 | 32,586 | ||||||
0.79%, 02/16/30† | 170,755 | 171,263 | ||||||
8.50%, 03/15/30 | 3,496 | 4,256 | ||||||
8.50%, 04/15/30 | 11,704 | 12,998 | ||||||
8.50%, 05/15/30 | 132,532 | 151,709 | ||||||
8.50%, 06/15/30 | 6,801 | 8,280 | ||||||
8.50%, 07/15/30 | 60,428 | 73,562 | ||||||
8.50%, 08/15/30 | 17,334 | 21,104 | ||||||
8.50%, 09/15/30 | 2,139 | 2,605 | ||||||
8.50%, 11/15/30 | 14,692 | 17,887 | ||||||
8.50%, 12/15/30 | 32,022 | 38,985 | ||||||
8.50%, 02/15/31 | 18,634 | 22,717 | ||||||
5.16%, 06/16/31† | 1,155,000 | 1,257,470 | ||||||
0.49%, 03/20/37† | 2,294,035 | 2,280,644 | ||||||
0.49%, 05/20/37† | 955,451 | 949,863 | ||||||
Gracechurch Mortgage Financing PLC | ||||||||
0.34%, 11/20/56 144A† | 3,544,184 | 3,518,414 | ||||||
1.53%, 11/20/56(E)† | 695,961 | 1,005,996 | ||||||
Granite Mortgages PLC | ||||||||
1.72%, 01/20/44(E)† | 380,413 | 532,075 | ||||||
Greenpoint Mortgage Funding Trust | ||||||||
0.37%, 01/25/37† | 929,894 | 545,905 | ||||||
0.46%, 11/25/45† | 264,550 | 162,175 | ||||||
GSR Mortgage Loan Trust | ||||||||
2.91%, 09/25/34† | 636,366 | 594,690 | ||||||
2.79%, 09/25/35† | 1,769,652 | 1,681,935 | ||||||
HarborView Mortgage Loan Trust | ||||||||
2.95%, 12/19/35† | 1,644,123 | 1,214,854 | ||||||
0.40%, 11/19/36† | 1,977,986 | 1,248,358 | ||||||
Holmes Master Issuer PLC | ||||||||
0.36%, 07/15/21† | 686,667 | 685,565 | ||||||
0.91%, 07/15/21(U)† | 416,667 | 667,644 | ||||||
1.42%, 07/15/21(E)† | 486,667 | 704,559 | ||||||
Indymac Index Mortgage Loan Trust | ||||||||
0.46%, 06/25/37† | 726,321 | 139,218 | ||||||
0.38%, 09/25/46† | 1,071,582 | 636,254 | ||||||
JP Morgan Mortgage Trust | ||||||||
5.01%, 02/25/35† | 400,127 | 396,620 | ||||||
LB-UBS Commercial Mortgage Trust | ||||||||
6.37%, 12/15/28 | 303,539 | 303,519 | ||||||
Luminent Mortgage Trust | ||||||||
0.36%, 12/25/36† | 1,142,060 | 705,390 | ||||||
MASTR Adjustable Rate Mortgages Trust | ||||||||
2.81%, 12/25/33† | 526,430 | 471,069 | ||||||
Merrill Lynch Floating Trust | ||||||||
0.73%, 07/09/21 144A† | 199,959 | 192,100 | ||||||
Merrill Lynch Mortgage Trust | ||||||||
5.24%, 11/12/35† | 1,260,000 | 1,343,047 | ||||||
MLCC Mortgage Investors, Inc. | ||||||||
2.19%, 12/25/34† | 920,558 | 898,712 | ||||||
2.08%, 02/25/36† | 990,528 | 915,376 | ||||||
Morgan Stanley Capital I | ||||||||
5.36%, 12/15/44 | 1,190,348 | 1,223,297 | ||||||
Morgan Stanley Reremic Trust | ||||||||
2.50%, 02/23/51 | 1,400,000 | 1,395,844 | ||||||
NCUA Guaranteed Notes | ||||||||
0.56%, 11/06/17† | 1,386,812 | 1,387,242 | ||||||
1.84%, 10/07/20 | 347,459 | 351,313 | ||||||
2.90%, 10/29/20 | 730,000 | 728,636 | ||||||
0.75%, 12/08/20† | 4,103,476 | 4,126,866 | ||||||
0.72%, 03/09/21† | 3,603,612 | 3,608,116 | ||||||
Opteum Mortgage Acceptance Corporation | ||||||||
0.47%, 11/25/35† | 567,718 | 496,094 | ||||||
Permanent Master Issuer PLC | ||||||||
1.67%, 04/15/14(U)† | 2,095,000 | 3,354,380 | ||||||
0.94%, 04/15/20(U)† | 1,610,000 | 2,534,834 | ||||||
0.39%, 07/15/33† | 830,000 | 822,140 | ||||||
Provident Funding Mortgage Loan Trust | ||||||||
2.65%, 04/25/34† | 1,080,336 | 1,033,377 | ||||||
Residential Accredit Loans, Inc. | ||||||||
0.59%, 01/25/33† | 273,682 | 262,351 | ||||||
Residential Asset Securitization Trust | ||||||||
0.49%, 05/25/35† | 634,097 | 544,587 |
See Notes to Financial Statements.
48
Table of Contents
Par | Value | |||||||
Residential Funding Mortgage Securities I | ||||||||
6.50%, 03/25/32 | $ | 31,699 | $ | 32,857 | ||||
Salomon Brothers Mortgage Securities VII, Inc. | ||||||||
6.50%, 11/13/36 | 882,609 | 885,606 | ||||||
Silverstone Master Issuer PLC | ||||||||
1.67%, 01/21/55† | 1,180,000 | 1,184,958 | ||||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||||
2.62%, 08/25/34† | 995,093 | 837,364 | ||||||
0.49%, 09/25/34† | 179,615 | 134,136 | ||||||
Structured Asset Mortgage Investments, Inc. | ||||||||
2.13%, 10/19/34† | 563,271 | 374,638 | ||||||
0.44%, 07/19/35† | 155,926 | 108,398 | ||||||
0.47%, 02/25/36† | 883,298 | 547,571 | ||||||
Structured Asset Securities Corporation | ||||||||
0.24%, 05/25/36† | 31,440 | 31,047 | ||||||
Superannuation Members Home Loans Global Fund | ||||||||
1.55%, 06/12/40(E)† | 984,714 | 1,384,075 | ||||||
TBW Mortgage Backed Pass-Through Certificates | ||||||||
6.02%, 07/25/37 STEP | 623,208 | 338,542 | ||||||
Thornburg Mortgage Securities Trust | ||||||||
0.31%, 07/25/36† | 518,456 | 510,545 | ||||||
0.29%, 03/25/37† | 1,626,746 | 1,572,628 | ||||||
0.32%, 06/25/37† | 825,102 | 803,009 | ||||||
0.31%, 10/25/46† | 1,181,482 | 1,174,287 | ||||||
0.30%, 11/25/46† | 1,700,479 | 1,679,221 | ||||||
TIAA Seasoned Commercial Mortgage Trust | ||||||||
5.58%, 08/15/39† | 756,954 | 760,926 | ||||||
Wachovia Bank Commercial Mortgage Trust | ||||||||
4.04%, 02/15/35 | 150,320 | 150,176 | ||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates | ||||||||
1.12%, 05/25/47† | 937,394 | 239,961 | ||||||
Washington Mutual Mortgage Pass-Through Certificates | ||||||||
5.41%, 02/25/37† | 963,515 | 631,814 | ||||||
5.55%, 05/25/37† | 1,133,440 | 866,779 | ||||||
5.51%, 07/25/37† | 2,639,043 | 1,780,634 | ||||||
1.68%, 06/25/42† | 30,625 | 24,305 | ||||||
0.50%, 01/25/45† | 1,040,236 | 841,679 | ||||||
0.51%, 08/25/45† | 425,468 | 347,128 | ||||||
0.48%, 10/25/45† | 445,628 | 364,810 | ||||||
1.26%, 06/25/46† | 1,649,266 | 1,238,059 | ||||||
1.02%, 01/25/47† | 939,519 | 524,999 | ||||||
Wells Fargo Mortgage-Backed Securities Trust | ||||||||
2.77%, 12/25/34† | 1,041,047 | 1,030,826 | ||||||
|
| |||||||
Total Mortgage-Backed Securities | 175,937,495 | |||||||
|
| |||||||
MUNICIPAL BONDS — 2.9% | ||||||||
California State Public Works Board, California State University Projects, Series B-2 Revenue Bond | ||||||||
7.80%, 03/01/35 | 800,000 | 811,624 | ||||||
Chicago Transit Authority, Revenue Bond | ||||||||
6.90%, 12/01/40 | 1,300,000 | 1,386,073 | ||||||
Citizens Property Insurance Corporation High Risk Account, Series A-1 Revenue Bond | ||||||||
5.00%, 06/01/12 | 1,100,000 | 1,140,755 | ||||||
Dallas County Hospital District, Series B General Obligation Bond | ||||||||
6.17%, 08/15/34 | 1,300,000 | 1,376,388 | ||||||
Irvine Ranch Water District Joint Powers Agency, Revenue Bond, Escrowed to Maturity | ||||||||
2.61%, 03/15/14 | 2,800,000 | 2,911,440 | ||||||
Kentucky Asset/Liability Commission, Revenue Bond | ||||||||
3.17%, 04/01/18 | 700,000 | 700,651 | ||||||
North Texas Higher Education Authority, Taxable Student Loan Revenue Bond, Series 1 | ||||||||
1.41%, 04/01/40† | 500,000 | 501,235 | ||||||
State of California General Obligation Bond | ||||||||
5.10%, 08/01/14 | 170,000 | 178,136 | ||||||
5.00%, 11/01/32 | 1,300,000 | 1,293,162 | ||||||
7.50%, 04/01/34 | 1,600,000 | 1,811,200 | ||||||
5.65%, 04/01/39† | 1,850,000 | 1,970,823 | ||||||
State of Illinois General Obligation Bond | ||||||||
2.77%, 01/01/12 | 1,820,000 | 1,829,974 | ||||||
3.32%, 01/01/13 | 5,500,000 | 5,607,470 | ||||||
|
| |||||||
Total Municipal Bonds | 21,518,931 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 9.7% | ||||||||
U.S. Treasury Bills | ||||||||
0.17%, 07/07/11 | 32,000 | 32,000 | ||||||
0.12%, 08/18/11‡‡ | 14,000 | 13,999 | ||||||
0.11%, 08/25/11‡‡ | 431,000 | 430,997 | ||||||
0.01%, 09/15/11‡‡ | 136,000 | 135,997 | ||||||
|
| |||||||
612,993 | ||||||||
|
| |||||||
U.S. Treasury Bonds | ||||||||
8.13%, 05/15/21 | 41,000 | 58,553 | ||||||
7.25%, 08/15/22D | 51,000 | 69,512 | ||||||
7.63%, 11/15/22‡‡ | 117,000 | 164,001 | ||||||
|
| |||||||
292,066 | ||||||||
|
| |||||||
U.S. Treasury Inflationary Index Bonds | ||||||||
1.13%, 01/15/21D‡‡ | 1,700,000 | 1,816,253 | ||||||
|
| |||||||
U.S. Treasury Notes | ||||||||
1.75%, 11/15/11‡‡ | 500,000 | 503,144 | ||||||
0.50%, 11/30/12D | 2,950,000 | 2,957,720 | ||||||
0.63%, 12/31/12D | 12,000,000 | 12,051,096 | ||||||
0.50%, 05/31/13D | 20,500,000 | 20,524,826 | ||||||
1.00%, 01/15/14D | 5,000,000 | 5,044,925 |
See Notes to Financial Statements.
49
Table of Contents
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
1.25%, 02/15/14D | $ | 867,000 | $ | 879,870 | ||||
0.75%, 06/15/14D | 6,375,000 | 6,368,529 | ||||||
2.13%, 02/29/16D‡‡ | 19,500,000 | 19,966,167 | ||||||
3.38%, 11/15/19D‡‡ | 700,000 | 729,859 | ||||||
2.63%, 08/15/20D | 400,000 | 387,250 | ||||||
|
| |||||||
69,413,386 | ||||||||
|
| |||||||
Total U.S. Treasury Obligations | 72,134,698 | |||||||
|
| |||||||
Shares | ||||||||
MONEY MARKET FUNDS — 18.0% | ||||||||
GuideStone Money Market Fund (GS4 Class)¥ | 37,261,410 | 37,261,410 | ||||||
Northern Institutional Liquid Assets Portfolio§ | 97,023,548 | 97,023,548 | ||||||
|
| |||||||
Total Money Market Funds | 134,284,958 | |||||||
|
| |||||||
Par | ||||||||
REPURCHASE AGREEMENTS — 15.5% | ||||||||
Barclays Capital, Inc. | ||||||||
0.06% (dated 07/01/11, due 07/05/11, repurchase price $13,500,090, collateralized by Federal Home Loan Mortgage Corporation, 4.500%, due 01/01/41, total market value $13,981,067) | $ | 13,500,000 | 13,500,000 | |||||
Barclays Capital, Inc. | ||||||||
0.05% (dated 06/30/11, due 07/01/11, repurchase price $13,200,018, collateralized by Federal Home Loan Mortgage Corporation, 4.500%, due 01/01/41, total market value $13,654,669) | 13,200,000 | 13,200,000 | ||||||
Morgan Stanley & Co., Inc. | ||||||||
0.06% (dated 07/01/11, due 07/05/11, repurchase price $44,500,297, collateralized by Federal National Mortgage Association, 0.500%, due 10/30/12, total market value $45,427,628) | 44,500,000 | 44,500,000 | ||||||
Morgan Stanley & Co., Inc. | ||||||||
0.06% (dated 06/30/11, due 07/01/11, repurchase price $44,500,074, collateralized by Federal Home Loan Mortgage Corporation, 0.625%, due 12/28/12, total market value $45,536,824) | 44,500,000 | 44,500,000 | ||||||
|
| |||||||
Total Repurchase Agreements | 115,700,000 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 125.6% | 936,021,304 | |||||||
|
| |||||||
Number of Contracts | Value | |||||||
WRITTEN OPTIONS — 0.0% | ||||||||
Call Options — 0.0% | ||||||||
5-Year U.S. Treasury Note Futures, Strike Price $120.00, Expires 07/22/11 (CITIG) | (39 | ) | $ | (8,836 | ) | |||
September 2011 90-Day Eurodollar Futures, Strike Price $99.375, Expires 09/19/11 (JPM) | (32 | ) | (24,800 | ) | ||||
|
| |||||||
(33,636 | ) | |||||||
|
| |||||||
Notional Amount | ||||||||
Call Swaptions — 0.0% | ||||||||
3-Month LIBOR, Strike Price $1.80, Expires 08/24/11 (RBS) | $ | (3,400,000 | ) | (6,656 | ) | |||
|
| |||||||
Number of Contracts | ||||||||
Put Options — 0.0% | ||||||||
5-Year U.S. Treasury Note Futures, Strike Price $118.00, Expires 07/22/11 (CITIG) | (61 | ) | (11,437 | ) | ||||
September 2011 90-Day Eurodollar Futures, Strike Price $99.375, Expires 09/19/11 (JPM) | (32 | ) | (2,400 | ) | ||||
|
| |||||||
(13,837 | ) | |||||||
|
| |||||||
Notional Amount | ||||||||
Put Swaptions — 0.0% | ||||||||
3-Month LIBOR, Strike Price $10.00, Expires 07/10/12 (BAR) | $ | (200,000 | ) | (4 | ) | |||
3-Month LIBOR, Strike Price $10.00, Expires 07/10/12 (CS) | (100,000 | ) | (2 | ) | ||||
3-Month LIBOR, Strike Price $10.00, Expires 07/10/12 (MSCS) | (3,800,000 | ) | (66 | ) | ||||
3-Month LIBOR, Strike Price $10.00, Expires 07/10/12 (RBS) | (300,000 | ) | (5 | ) | ||||
3-Month LIBOR, Strike Price $2.25, Expires 06/18/12 (RBS) | (2,700,000 | ) | (11,466 | ) | ||||
3-Month LIBOR, Strike Price $2.25, Expires 09/24/12 (CITI) | (600,000 | ) | (2,847 | ) | ||||
3-Month LIBOR, Strike Price $2.25, Expires 09/24/12 (UBS) | (300,000 | ) | (1,423 | ) | ||||
3-Month LIBOR, Strike Price $2.50, Expires 08/24/11 (RBS) | (3,400,000 | ) | (5,355 | ) | ||||
3-Month LIBOR, Strike Price $2.75, Expires 06/18/12 (DEUT) | (2,800,000 | ) | (11,891 | ) |
See Notes to Financial Statements.
50
Table of Contents
Notional Amount | Value | |||||||
3-Month LIBOR, Strike Price $3.00, Expires 06/18/12 (BAR) | $ | (500,000 | ) | $ | (1,611 | ) | ||
3-Month LIBOR, Strike Price $3.00, Expires 06/18/12 (DEUT) | (500,000 | ) | (1,611 | ) | ||||
|
| |||||||
(36,281 | ) | |||||||
|
| |||||||
Total Written Options | (90,410 | ) | ||||||
|
| |||||||
Par | ||||||||
TBA SALE COMMITMENTS — (2.4)% | ||||||||
Federal National Mortgage Association | ||||||||
4.00%, 07/14/41 TBA | $ | (4,000,000 | ) | (4,024,375 | ) | |||
Federal Home Loan Mortgage Corporation | ||||||||
5.50%, 07/01/39 TBA | (6,000,000 | ) | (6,480,936 | ) | ||||
Federal National Mortgage Association | ||||||||
5.50%, 08/01/35 TBA | (7,000,000 | ) | (7,554,533 | ) | ||||
|
| |||||||
Total TBA Sale Commitments | (18,059,844 | ) | ||||||
|
| |||||||
Liabilities in Excess of Other Assets — (23.2)% | (172,507,579 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 745,363,471 | ||||||
|
|
Please see abbreviation and footnote definitions beginning on page 130.
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Futures Contracts | 30.3 | |||
Corporate Bonds | 24.6 | |||
Mortgage-Backed Securities | 23.6 | |||
Foreign Bonds | 21.4 | |||
Money Market Funds | 18.0 | |||
Repurchase Agreements | 15.5 | |||
U.S. Treasury Obligations | 9.7 | |||
Asset-Backed Securities | 8.5 | |||
Municipal Bonds | 2.9 | |||
Agency Obligations | 1.4 | |||
Swap Agreements | 0.2 | |||
Written Options | — | ** | ||
TBA Sale Commitments | (2.4 | ) | ||
Forward Foreign Currency Contracts | (9.7 | ) | ||
|
| |||
144.0 | ||||
|
|
** | Rounds to less than 0.005%. |
See Notes to Financial Statements.
51
Table of Contents
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Swap agreements outstanding at June 30, 2011:
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 | $ | 138,397 | $ | — | $ | 138,397 | |||||||||||||||||||
Nabors Industries, 5.375% due 08/15/12 | (1.00 | )% | 03/20/19 | BNP | USD | 2,700,000 | 70,596 | 8,660 | 61,936 | |||||||||||||||||||||||
Morgan Stanley ABS Capital I, 7.02% due 12/27/33 | (0.54 | )% | 12/27/33 | MSCS | USD | 395,401 | 162,526 | — | 162,526 | |||||||||||||||||||||||
Long Beach Mortgage Trust, 6.72%, due 02/25/34 | (0.49 | )% | 02/25/34 | BAR | USD | 399,995 | 176,985 | — | 176,985 | |||||||||||||||||||||||
Specialty Underwriting & Residential Finance, 6.62% due 02/25/35 | (0.59 | )% | 02/25/35 | BAR | USD | 437,951 | 269,756 | — | 269,756 | |||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 7,233,347 | $ | 818,260 | $ | 8,660 | $ | 809,600 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
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 HY-8 Index | (1.63 | )% | 06/20/12 | CITI | USD | $ | 4,900,000 | $ | (78,127 | ) | $ | — | $ | (78,127 | ) | |||||||||||||||||
Dow Jones CDX IG14 5Y Index | (1.00 | )% | 06/20/15 | GSC | USD | 7,900,000 | (185,965 | ) | 115,963 | (301,928 | ) | |||||||||||||||||||||
Dow Jones CDX IG15 5Y Index | (1.00 | )% | 12/20/15 | MSCS | USD | 1,800,000 | (17,035 | ) | (12,301 | ) | (4,734 | ) | ||||||||||||||||||||
Dow Jones CDX IG9 10Y Index | (0.80 | )% | 12/20/17 | GSC | USD | 6,872,800 | 202,044 | 77,827 | 124,217 | |||||||||||||||||||||||
Dow Jones CDX IG9 10Y Index | (0.80 | )% | 12/20/17 | MSCS | USD | 5,227,200 | 153,667 | 57,282 | 96,385 | |||||||||||||||||||||||
Dow Jones CDX IG9 10Y Index | (0.80 | )% | 12/20/17 | BAR | USD | 2,420,000 | 71,142 | 22,011 | 49,131 | |||||||||||||||||||||||
Dow Jones CDX IG9 10Y Index | (0.80 | )% | 12/20/17 | RBS | USD | 2,032,800 | 59,759 | 20,002 | 39,757 | |||||||||||||||||||||||
CMBX.NA.AAA.4 Index | (0.35 | )% | 02/17/51 | GSC | USD | 5,700,000 | 323,903 | 824,674 | (500,771 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 36,852,800 | $ | 529,388 | $ | 1,105,458 | $ | (576,070 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
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 | 11.67 | % | 01/02/12 | MSCS | BRL | $ | 1,800,000 | $ | 33,204 | $ | 3,704 | $ | 29,500 | |||||||||||||||||||
Brazil Cetip Interbank Deposit | (11.91 | )% | 01/02/13 | BAR | BRL | 5,000,000 | 19,691 | 22,580 | (2,889 | ) | ||||||||||||||||||||||
Brazil Cetip Interbank Deposit | 11.94 | % | 01/02/14 | HSBC | BRL | 10,400,000 | (16,658 | ) | 18,664 | (35,322 | ) | |||||||||||||||||||||
Brazil Cetip Interbank Deposit | 11.96 | % | 01/02/14 | GSC | BRL | 5,900,000 | 16,356 | (7,039 | ) | 23,395 | ||||||||||||||||||||||
6-Month BBR BBSW Index | (5.50 | )% | 12/15/17 | BAR | AUD | 1,500,000 | (13,337 | ) | (6,737 | ) | (6,600 | ) | ||||||||||||||||||||
6-Month BBR BBSW Index | (5.50 | )% | 12/15/17 | DEUT | AUD | 1,000,000 | (8,898 | ) | (3,983 | ) | (4,915 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 25,600,000 | $ | 30,358 | $ | 27,189 | $ | 3,169 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total Swap agreements outstanding at June 30, 2011 |
| $ | 1,378,006 | $ | 1,141,307 | $ | 236,699 | |||||||||||||||||||||||||
|
|
|
|
|
|
Please see abbreviation and footnote definitions beginning on page 130.
See Notes to Financial Statements.
52
Table of Contents
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2011, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Agency Obligations | $ | 10,083,463 | $ | — | $ | 10,083,463 | $ | — | ||||||||
Asset-Backed Securities | 63,647,061 | — | 63,647,061 | — | ||||||||||||
Corporate Bonds | 183,342,036 | — | 183,342,036 | — | ||||||||||||
Foreign Bonds | 159,372,662 | — | 159,372,662 | — | ||||||||||||
Money Market Funds | 134,284,958 | 134,284,958 | — | — | ||||||||||||
Mortgage-Backed Securities | 175,937,495 | — | 175,937,495 | — | ||||||||||||
Municipal Bonds | 21,518,931 | — | 21,518,931 | — | ||||||||||||
Repurchase Agreements | 115,700,000 | — | 115,700,000 | — | ||||||||||||
U.S. Treasury Obligations | 72,134,698 | — | 72,134,698 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 936,021,304 | $ | 134,284,958 | $ | 801,736,346 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | 105,550 | $ | 105,550 | $ | — | $ | — | ||||||||
Swap Agreements | 1,378,006 | — | 1,378,006 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 1,483,556 | $ | 105,550 | $ | 1,378,006 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
TBA Sale Commitments | $ | (18,059,844 | ) | $ | — | $ | (18,059,844 | ) | $ | — | ||||||
Written Options | (90,410 | ) | (47,473 | ) | (42,937 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities — Investments in Securities | $ | (18,150,254 | ) | $ | (47,473 | ) | $ | (18,102,781 | ) | $ | — | |||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Forward Foreign Currency Contracts | $ | (369,657 | ) | $ | — | $ | (369,657 | ) | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities — Other Financial Instruments | $ | (369,657 | ) | $ | — | $ | (369,657 | ) | $ | — | ||||||
|
|
|
|
|
|
|
|
*** | 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:
Total Value | Corporate Bond | |||||||
Balance, 12/31/10 | $ | 110,903 | $ | 110,903 | ||||
Accrued discounts/premiums | — | — | ||||||
Realized gain (loss) | — | — | ||||||
Change in unrealized appreciation (depreciation) | — | — | ||||||
Purchases | — | — | ||||||
Sales | (110,903 | ) | (110,903 | ) | ||||
Transfers in and/or out of Level 3 | — | — | ||||||
|
|
|
| |||||
Balance, 06/30/11 | $ | — | $ | — | ||||
|
|
|
|
See Notes to Financial Statements.
53
Table of Contents
SCHEDULE OF INVESTMENTS | June 30, 2011 (Unaudited) |
Par | Value | |||||||
AGENCY OBLIGATIONS — 7.3% | ||||||||
Federal Farm Credit Bank | ||||||||
0.24%, 09/12/11W | $ | 5,900,000 | $ | 5,899,758 | ||||
5.05%, 11/06/17 | 400,000 | 460,933 | ||||||
Federal Home Loan Bank | ||||||||
0.04%, 07/13/11 | 10,400,000 | 10,399,827 | ||||||
0.02%, 08/03/11 | 7,400,000 | 7,400,936 | ||||||
0.20%, 08/30/11W | 7,400,000 | 7,399,874 | ||||||
5.63%, 06/11/21 | 700,000 | 814,143 | ||||||
Federal Home Loan Mortgage Corporation | ||||||||
0.07%, 08/11/11W | 5,100,000 | 5,099,719 | ||||||
0.10%, 08/22/11W | 5,100,000 | 5,099,779 | ||||||
0.11%, 01/10/12W‡‡ | 204,000 | 203,891 | ||||||
2.50%, 05/27/16D | 520,000 | 533,915 | ||||||
Federal National Mortgage Association | ||||||||
0.06%, 08/08/11 | 15,000,000 | 14,999,050 | ||||||
5.25%, 08/01/12 | 2,400,000 | 2,525,424 | ||||||
4.38%, 10/15/15 | 510,000 | 565,720 | ||||||
5.38%, 06/12/17 | 700,000 | 815,767 | ||||||
5.31%, 10/09/19 | 150,000 | 105,217 | ||||||
6.63%, 11/15/30D | 820,000 | 1,038,854 | ||||||
5.63%, 07/15/37 | 300,000 | 339,202 | ||||||
Tennessee Valley Authority | ||||||||
5.25%, 09/15/39 | 350,000 | 371,979 | ||||||
4.63%, 09/15/60D | 200,000 | 188,425 | ||||||
|
| |||||||
Total Agency Obligations | 64,262,413 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES — 4.7% | ||||||||
Access Group, Inc. | ||||||||
1.57%, 10/27/25† | 1,457,250 | 1,486,036 | ||||||
Amortizing Residential Collateral Trust | ||||||||
0.47%, 01/01/32† | 37,476 | 24,573 | ||||||
Asset-Backed Securities Corporation Home Equity | ||||||||
0.46%, 09/25/34† | 168,112 | 151,595 | ||||||
Avis Budget Rental Car Funding AESOP LLC | ||||||||
4.64%, 05/20/16 144A | 200,000 | 215,170 | ||||||
Bayview Financial Acquisition Trust | ||||||||
0.86%, 02/28/44† | 437,789 | 399,975 | ||||||
Bear Stearns Asset-Backed Securities, Inc. | ||||||||
6.00%, 10/25/36 | 2,648,277 | 1,964,494 | ||||||
6.50%, 10/25/36 | 3,046,250 | 2,366,814 | ||||||
Brazos Higher Education Authority | ||||||||
0.36%, 09/25/23† | 696,213 | 689,070 | ||||||
1.16%, 05/25/29† | 472,385 | 473,432 | ||||||
1.10%, 07/25/29† | 1,100,000 | 1,088,993 | ||||||
1.06%, 02/25/30† | 1,100,000 | 1,100,016 | ||||||
CIT Mortgage Loan Trust | ||||||||
1.19%, 10/25/37 144A†@ | 226,702 | 218,546 | ||||||
1.44%, 10/25/37 144A†@ | 430,000 | 318,060 | ||||||
1.64%, 10/25/37 144A†@ | 800,000 | 365,713 | ||||||
College Loan Corporation Trust | ||||||||
0.36%, 10/25/25† | 1,000,000 | 1,001,846 | ||||||
Countrywide Home Equity Loan Trust | ||||||||
0.48%, 02/15/34† | 339,383 | 252,175 | ||||||
0.43%, 12/15/35† | 865,667 | 457,997 | ||||||
0.33%, 07/15/36† | 969,170 | 623,333 | ||||||
Daimler Chrysler Auto Trust | ||||||||
1.67%, 09/10/12† | 36,131 | 36,141 | ||||||
Education Funding Capital Trust I | ||||||||
1.45%, 06/15/43† | 200,000 | 185,000 | ||||||
EMC Mortgage Loan Trust | ||||||||
0.74%, 11/25/41 144A† | 111,669 | 100,456 | ||||||
Ford Credit Auto Owner Trust | ||||||||
1.61%, 06/15/12† | 74,474 | 74,512 | ||||||
GMAC Mortgage Corporation Loan Trust | ||||||||
7.00%, 09/25/37 | 375,677 | 277,240 | ||||||
Goal Capital Funding Trust | ||||||||
0.96%, 08/25/48 144A† | 414,213 | 409,521 | ||||||
Greenpoint Manufactured Housing | ||||||||
2.20%, 11/22/31† | 325,000 | 295,529 | ||||||
GSAMP Trust | ||||||||
0.30%, 05/25/46 144A† | 48,325 | 48,039 | ||||||
Hertz Vehicle Financing LLC | ||||||||
5.29%, 03/25/16 144A | 400,000 | 438,634 | ||||||
HSBC Home Equity Loan Trust | ||||||||
1.39%, 11/20/36† | 827,620 | 738,030 | ||||||
Illinois Student Assistance Commission | ||||||||
1.17%, 07/25/45† | 1,400,000 | 1,329,202 | ||||||
Knowledgeworks Foundation | ||||||||
1.21%, 02/25/42† | 282,535 | 278,682 | ||||||
Lehman XS Trust | ||||||||
0.49%, 11/25/35† | 850,481 | 612,831 | ||||||
0.46%, 02/25/36† | 968,391 | 571,762 | ||||||
Madison Avenue Manufactured Housing Contract | ||||||||
0.54%, 03/25/32 | 1 | 1 | ||||||
Magnolia Funding, Ltd. | ||||||||
3.00%, 04/20/17 144A(E) | 1,844,772 | 2,683,478 | ||||||
Missouri Higher Education Loan Authority | ||||||||
1.21%, 11/26/32† | 847,031 | 849,043 | ||||||
Nelnet Education Loan Funding, Inc. | ||||||||
1.09%, 02/25/39† | 800,000 | 728,960 | ||||||
Nelnet Student Loan Trust | ||||||||
1.75%, 04/25/24† | 680,000 | 697,888 | ||||||
1.05%, 07/27/48 144A† | 364,218 | 365,964 | ||||||
Panhandle-Plains Higher Education Authority, Inc. | ||||||||
1.38%, 10/01/35† | 930,260 | 942,456 | ||||||
Provident Bank Home Equity Loan Trust | ||||||||
0.73%, 08/25/31† | 110,146 | 56,842 | ||||||
Residential Asset Mortgage Products, Inc. | ||||||||
0.67%, 03/25/34† | 354,173 | 233,703 | ||||||
Residential Funding Securities LLC | ||||||||
0.64%, 06/25/33 144A† | 312,115 | 293,678 | ||||||
Salomon Brothers Mortgage Securities VII, Inc. | ||||||||
0.67%, 03/25/28† | 41,316 | 38,517 | ||||||
SLM Student Loan Trust | ||||||||
1.77%, 04/25/23† | 5,962,789 | 6,154,612 | ||||||
0.54%, 12/15/25 144A† | 400,000 | 380,023 | ||||||
6.19%, 07/15/42 144A† | 6,718,193 | 6,395,983 |
See Notes to Financial Statements.
54
Table of Contents
Par | Value | |||||||
3.50%, 08/17/43 144A† | $ | 1,396,241 | $ | 1,398,774 | ||||
3.44%, 05/16/44 144A† | 1,396,085 | 1,469,169 | ||||||
|
| |||||||
Total Asset-Backed Securities | 41,282,508 | |||||||
|
| |||||||
CORPORATE BONDS — 21.4% | ||||||||
ACCO Brands Corporation | ||||||||
10.63%, 03/15/15 | 175,000 | 196,219 | ||||||
Ally Financial, Inc. | ||||||||
6.25%, 12/01/17 144A | 606,000 | 604,232 | ||||||
American Express Bank FSB | ||||||||
6.00%, 09/13/17D | 1,100,000 | 1,242,441 | ||||||
American Express Co. | ||||||||
6.80%, 09/01/66† | 1,400,000 | 1,443,750 | ||||||
American Express Credit Corporation | ||||||||
5.13%, 08/25/14 | 160,000 | 174,739 | ||||||
American International Group, Inc. | ||||||||
3.75%, 11/30/13 144A | 200,000 | 204,751 | ||||||
5.60%, 10/18/16 | 600,000 | 628,786 | ||||||
5.85%, 01/16/18 | 180,000 | 188,858 | ||||||
8.25%, 08/15/18 144A | 3,200,000 | 3,677,206 | ||||||
6.25%, 03/15/37 | 680,000 | 622,200 | ||||||
Anadarko Petroleum Corporation | ||||||||
6.38%, 09/15/17 | 575,000 | 659,998 | ||||||
8.70%, 03/15/19D | 175,000 | 223,333 | ||||||
ANZ Capital Trust II | ||||||||
5.36%, 11/29/49 144A | 800,000 | 822,000 | ||||||
Apache Corporation | ||||||||
6.00%, 09/15/13 | 680,000 | 753,257 | ||||||
Arizona Public Service Co. | ||||||||
8.75%, 03/01/19 | 525,000 | 675,020 | ||||||
ASIF Global Financing XIX | ||||||||
4.90%, 01/17/13 144A | 100,000 | 104,500 | ||||||
Astoria Financial Corporation | ||||||||
5.75%, 10/15/12 | 450,000 | 459,281 | ||||||
AT&T, Inc. | ||||||||
5.10%, 09/15/14 | 550,000 | 604,867 | ||||||
2.95%, 05/15/16 | 825,000 | 836,488 | ||||||
6.55%, 02/15/39 | 130,000 | 143,064 | ||||||
5.35%, 09/01/40 | 70,000 | 66,588 | ||||||
BAC Capital Trust XIV | ||||||||
5.63%, 09/20/49† | 40,000 | 30,050 | ||||||
Baker Hughes, Inc. | ||||||||
7.50%, 11/15/18 | 710,000 | 896,459 | ||||||
Bank of America Corporation | ||||||||
1.69%, 01/30/14† | 900,000 | 902,754 | ||||||
3.63%, 03/17/16D | 525,000 | 527,076 | ||||||
0.54%, 10/14/16†D | 1,700,000 | 1,572,915 | ||||||
5.75%, 12/01/17 | 2,290,000 | 2,438,168 | ||||||
5.65%, 05/01/18 | 2,700,000 | 2,850,719 | ||||||
5.88%, 01/05/21 | 400,000 | 420,555 | ||||||
5.00%, 05/13/21 | 370,000 | 366,207 | ||||||
Barrick North America Finance LLC | ||||||||
4.40%, 05/30/21 144A | 540,000 | 538,565 | ||||||
BB&T Corporation | ||||||||
3.20%, 03/15/16 | 475,000 | 486,428 | ||||||
Bear Stearns Cos. LLC | ||||||||
5.70%, 11/15/14D | 1,000,000 | 1,105,322 | ||||||
6.40%, 10/02/17 | 1,200,000 | 1,370,909 | ||||||
7.25%, 02/01/18D | 1,825,000 | 2,170,073 | ||||||
BellSouth Capital Funding Corporation | ||||||||
7.88%, 02/15/30 | 210,000 | 259,623 | ||||||
BellSouth Corporation | ||||||||
4.75%, 11/15/12 | 40,000 | 42,063 | ||||||
6.88%, 10/15/31 | 10,000 | 11,266 | ||||||
Berkshire Hathaway, Inc. | ||||||||
3.20%, 02/11/15 | 280,000 | 292,079 | ||||||
Boeing Capital Corporation | ||||||||
4.70%, 10/27/19 | 230,000 | 246,941 | ||||||
Boeing Co. | ||||||||
4.88%, 02/15/20 | 300,000 | 325,244 | ||||||
6.63%, 02/15/38 | 210,000 | 250,996 | ||||||
Boston Scientific Corporation | ||||||||
4.50%, 01/15/15 | 500,000 | 527,616 | ||||||
Brandywine Operating Partnership LP REIT | ||||||||
4.95%, 04/15/18D | 425,000 | 431,485 | ||||||
Capital One Capital III | ||||||||
7.69%, 08/15/36D | 250,000 | 256,562 | ||||||
Casella Waste Systems, Inc. | ||||||||
11.00%, 07/15/14 | 375,000 | 419,062 | ||||||
Caterpillar Financial Services Corporation | ||||||||
6.20%, 09/30/13 | 450,000 | 501,014 | ||||||
Caterpillar, Inc. | ||||||||
3.90%, 05/27/21 | 240,000 | 240,521 | ||||||
Cellco Partnership/Verizon Wireless Capital LLC | ||||||||
8.50%, 11/15/18 | 710,000 | 923,307 | ||||||
CenterPoint Energy Resources Corporation | ||||||||
5.95%, 01/15/14D | 525,000 | 578,336 | ||||||
Charter Communications Operating LLC | ||||||||
8.00%, 04/30/12 144A | 750,000 | 783,750 | ||||||
10.88%, 09/15/14 144A | 200,000 | 221,000 | ||||||
Chubb Corporation | ||||||||
6.38%, 03/29/67† | 375,000 | 390,000 | ||||||
Cimarex Energy Co. | ||||||||
7.13%, 05/01/17 | 70,000 | 73,850 | ||||||
CitiFinancial, Inc. | ||||||||
6.63%, 06/01/15 | 300,000 | 328,953 | ||||||
Citigroup Capital XXI | ||||||||
8.30%, 12/21/57† | 274,000 | 280,850 | ||||||
Citigroup, Inc. | ||||||||
6.50%, 08/19/13 | 110,000 | 119,691 | ||||||
6.00%, 12/13/13 | 980,000 | 1,066,142 | ||||||
5.00%, 09/15/14 | 1,720,000 | 1,803,817 | ||||||
6.01%, 01/15/15 | 150,000 | 165,198 | ||||||
5.50%, 02/15/17 | 1,160,000 | 1,221,454 | ||||||
6.13%, 11/21/17 | 1,205,000 | 1,332,637 | ||||||
6.13%, 05/15/18 | 4,800,000 | 5,293,368 | ||||||
5.38%, 08/09/20 | 205,000 | 214,315 | ||||||
6.88%, 03/05/38 | 810,000 | 904,312 | ||||||
Comcast Cable Communications Holdings, Inc. | ||||||||
8.38%, 03/15/13 | 83,000 | 93,001 | ||||||
Comcast Corporation | ||||||||
5.88%, 02/15/18 | 200,000 | 224,626 | ||||||
5.70%, 05/15/18 | 1,250,000 | 1,396,700 | ||||||
6.95%, 08/15/37 | 40,000 | 45,299 | ||||||
6.40%, 03/01/40 | 140,000 | 150,340 |
See Notes to Financial Statements.
55
Table of Contents
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
Comcast Holdings Corporation | ||||||||
10.63%, 07/15/12 | $ | 550,000 | $ | 604,809 | ||||
Complete Production Services, Inc. | ||||||||
8.00%, 12/15/16 | 280,000 | 294,000 | ||||||
ConocoPhillips Holding Co. | ||||||||
6.95%, 04/15/29 | 580,000 | 706,375 | ||||||
COX Communications, Inc. | ||||||||
5.45%, 12/15/14 | 210,000 | 234,237 | ||||||
CSC Holdings, Inc. | ||||||||
6.75%, 04/15/12 | 60,000 | 61,875 | ||||||
CVS Caremark Corporation | ||||||||
6.60%, 03/15/19 | 590,000 | 685,870 | ||||||
5.75%, 05/15/41 | 600,000 | 592,021 | ||||||
CVS Pass-Through Trust | ||||||||
6.94%, 01/10/30 144A | 824,043 | 929,363 | ||||||
Daimler Finance NA LLC | ||||||||
5.75%, 09/08/11 | 1,900,000 | 1,917,341 | ||||||
7.30%, 01/15/12 | 550,000 | 569,220 | ||||||
6.50%, 11/15/13 | 100,000 | 111,310 | ||||||
DCP Midstream LLC | ||||||||
9.75%, 03/15/19 144AD | 200,000 | 261,770 | ||||||
Delta Air Lines 2007-1 A | ||||||||
6.82%, 08/10/22 | 392,449 | 408,146 | ||||||
DIRECTV Holdings LLC | ||||||||
3.50%, 03/01/16 | 525,000 | 542,494 | ||||||
Discover Bank | ||||||||
8.70%, 11/18/19 | 425,000 | 513,495 | ||||||
DISH DBS Corporation | ||||||||
7.00%, 10/01/13 | 10,000 | 10,787 | ||||||
6.63%, 10/01/14 | 30,000 | 31,650 | ||||||
7.75%, 05/31/15 | 200,000 | 217,500 | ||||||
DJO Finance LLC | ||||||||
10.88%, 11/15/14 | 500,000 | 535,000 | ||||||
Dominion Resources, Inc. | ||||||||
5.70%, 09/17/12 | 1,230,000 | 1,300,588 | ||||||
Dow Chemical Co. | ||||||||
7.60%, 05/15/14D | 650,000 | 754,257 | ||||||
Duke Energy Carolinas LLC | ||||||||
5.63%, 11/30/12 | 580,000 | 617,868 | ||||||
Duke Realty LP REIT | ||||||||
6.75%, 03/15/20 | 325,000 | 364,593 | ||||||
El Paso Corporation | ||||||||
7.00%, 06/15/17 | 710,000 | 806,826 | ||||||
7.80%, 08/01/31 | 750,000 | 879,041 | ||||||
El Paso Natural Gas Co. | ||||||||
7.50%, 11/15/26 | 300,000 | 352,219 | ||||||
El Paso Performance-Linked Trust | ||||||||
7.75%, 07/15/11 144A | 1,460,000 | 1,462,713 | ||||||
Energy Transfer Partners LP | ||||||||
5.95%, 02/01/15 | 650,000 | 720,275 | ||||||
6.70%, 07/01/18D | 570,000 | 643,255 | ||||||
Enterprise Products Operating LLC | ||||||||
7.03%, 01/15/68† | 350,000 | 368,418 | ||||||
EOG Resources, Inc. | ||||||||
1.02%, 02/03/14† | 3,500,000 | 3,535,948 | ||||||
Exelon Corporation | ||||||||
5.63%, 06/15/35 | 655,000 | 624,455 | ||||||
Fifth Third Bancorp | ||||||||
3.63%, 01/25/16 | 175,000 | 176,704 | ||||||
Fifth Third Bank Ohio | ||||||||
0.37%, 05/17/13† | 400,000 | 393,929 | ||||||
First Niagara Financial Group, Inc. | ||||||||
6.75%, 03/19/20 | 250,000 | 276,031 | ||||||
FirstEnergy Corporation | ||||||||
6.45%, 11/15/11 | 3,000 | 3,056 | ||||||
7.38%, 11/15/31 | 1,080,000 | 1,233,142 | ||||||
Ford Motor Credit Co., LLC | ||||||||
5.63%, 09/15/15D | 4,100,000 | 4,254,525 | ||||||
8.00%, 12/15/16 | 1,300,000 | 1,465,082 | ||||||
Freeport-McMoRan Copper & Gold, Inc. | ||||||||
8.38%, 04/01/17 | 1,995,000 | 2,182,035 | ||||||
Fresenius Medical Care US Finance, Inc. | ||||||||
6.88%, 07/15/17 | 250,000 | 263,437 | ||||||
GE Capital Trust I | ||||||||
6.38%, 11/15/67† | 321,000 | 329,827 | ||||||
General Electric Capital Corporation | ||||||||
5.45%, 01/15/13 | 150,000 | 159,699 | ||||||
1.14%, 01/07/14† | 3,200,000 | 3,220,618 | ||||||
6.00%, 08/07/19 | 1,850,000 | 2,051,750 | ||||||
4.38%, 09/16/20 | 330,000 | 326,829 | ||||||
4.63%, 01/07/21 | 460,000 | 463,591 | ||||||
General Electric Co. | ||||||||
5.00%, 02/01/13 | 840,000 | 891,915 | ||||||
GlaxoSmithKline Capital, Inc. | ||||||||
5.65%, 05/15/18 | 380,000 | 434,066 | ||||||
Goldman Sachs Capital II | ||||||||
5.79%, 06/01/43† | 60,000 | 48,300 | ||||||
Goldman Sachs Group, Inc. | ||||||||
6.60%, 01/15/12 | 70,000 | 72,171 | ||||||
5.30%, 02/14/12 | 30,000 | 30,779 | ||||||
3.63%, 08/01/12 | 110,000 | 113,242 | ||||||
5.45%, 11/01/12 | 190,000 | 200,871 | ||||||
4.75%, 07/15/13 | 20,000 | 21,123 | ||||||
5.25%, 10/15/13 | 160,000 | 171,763 | ||||||
5.75%, 10/01/16 | 1,900,000 | 2,070,343 | ||||||
6.25%, 09/01/17 | 1,700,000 | 1,878,204 | ||||||
5.95%, 01/18/18 | 2,300,000 | 2,482,475 | ||||||
5.38%, 03/15/20 | 250,000 | 258,608 | ||||||
6.00%, 06/15/20D | 460,000 | 495,816 | ||||||
6.25%, 02/01/41 | 800,000 | 809,260 | ||||||
HCA, Inc. | ||||||||
6.50%, 02/15/16 | 686,000 | 701,435 | ||||||
9.25%, 11/15/16 | 375,000 | 399,844 | ||||||
9.63%, 11/15/16 PIK | 95,720 | 102,061 | ||||||
7.88%, 02/15/20 | 125,000 | 136,250 | ||||||
7.69%, 06/15/25 | 250,000 | 235,000 | ||||||
HCP, Inc. REIT | ||||||||
6.00%, 01/30/17 | 300,000 | 330,738 | ||||||
5.38%, 02/01/21 | 200,000 | 206,670 | ||||||
Hess Corporation | ||||||||
8.13%, 02/15/19 | 330,000 | 418,167 | ||||||
7.88%, 10/01/29 | 260,000 | 327,323 | ||||||
7.30%, 08/15/31 | 110,000 | 131,876 | ||||||
HSBC Finance Corporation | ||||||||
7.00%, 05/15/12 | 390,000 | 410,846 | ||||||
6.38%, 11/27/12 | 70,000 | 74,913 | ||||||
6.68%, 01/15/21 144A | 60,000 | 61,669 | ||||||
Humana, Inc. | ||||||||
7.20%, 06/15/18 | 480,000 | 557,977 |
See Notes to Financial Statements.
56
Table of Contents
Par | Value | |||||||
ILFC E-Capital Trust II | ||||||||
6.25%, 12/21/65 144A†D | $ | 280,000 | $ | 239,400 | ||||
International Lease Finance Corporation | ||||||||
6.50%, 09/01/14 144A | 240,000 | 255,600 | ||||||
6.75%, 09/01/16 144A | 880,000 | 941,600 | ||||||
JPMorgan Chase & Co. | ||||||||
5.75%, 01/02/13 | 320,000 | 341,225 | ||||||
5.15%, 10/01/15 | 1,890,000 | 2,043,234 | ||||||
6.30%, 04/23/19 | 800,000 | 903,118 | ||||||
4.95%, 03/25/20D | 800,000 | 827,834 | ||||||
4.40%, 07/22/20 | 230,000 | 225,739 | ||||||
JPMorgan Chase Capital XXV | ||||||||
6.80%, 10/01/37 | 375,000 | 372,045 | ||||||
Kerr-McGee Corporation | ||||||||
6.95%, 07/01/24 | 410,000 | 468,230 | ||||||
7.88%, 09/15/31D | 690,000 | 831,553 | ||||||
Kinder Morgan Energy Partners LP | ||||||||
7.13%, 03/15/12 | 410,000 | 428,057 | ||||||
5.85%, 09/15/12 | 40,000 | 42,161 | ||||||
5.00%, 12/15/13 | 200,000 | 216,998 | ||||||
6.00%, 02/01/17 | 250,000 | 282,268 | ||||||
Kraft Foods, Inc. | ||||||||
6.13%, 08/23/18D | 350,000 | 401,971 | ||||||
5.38%, 02/10/20 | 800,000 | 876,077 | ||||||
6.50%, 02/09/40 | 300,000 | 334,374 | ||||||
Kroger Co. | ||||||||
6.15%, 01/15/20D | 360,000 | 415,357 | ||||||
L-3 Communications Corporation | ||||||||
6.38%, 10/15/15 | 350,000 | 360,500 | ||||||
Lehman Brothers Holdings Capital Trust VII | ||||||||
5.86%, 11/29/49# | 2,330,000 | 1,398 | ||||||
Lehman Brothers Holdings, Inc. | ||||||||
6.63%, 01/18/12# | 200,000 | 53,250 | ||||||
5.63%, 01/24/13# | 2,300,000 | 621,000 | ||||||
6.50%, 07/19/17# | 150,000 | 225 | ||||||
6.75%, 12/28/17# | 3,340,000 | 5,010 | ||||||
Liberty Property LP | ||||||||
4.75%, 10/01/20 | 575,000 | 577,955 | ||||||
Lyondell Chemical Co. | ||||||||
11.00%, 05/01/18 | 500,000 | 562,500 | ||||||
MarkWest Energy Partners LP | ||||||||
8.75%, 04/15/18 | 200,000 | 219,000 | ||||||
Medtronic, Inc. | ||||||||
4.45%, 03/15/20 | 300,000 | 314,215 | ||||||
Merrill Lynch & Co., Inc. | ||||||||
5.45%, 02/05/13 | 3,850,000 | 4,085,608 | ||||||
6.05%, 05/16/16 | 375,000 | 393,559 | ||||||
5.70%, 05/02/17 | 400,000 | 417,154 | ||||||
6.40%, 08/28/17 | 2,300,000 | 2,513,842 | ||||||
MetLife Capital Trust IV | ||||||||
7.88%, 12/15/37 144A | 300,000 | 314,912 | ||||||
MetLife Capital Trust X | ||||||||
9.25%, 04/08/38 144A | 300,000 | 367,500 | ||||||
MetLife, Inc. | ||||||||
4.75%, 02/08/21D | 620,000 | 633,249 | ||||||
6.40%, 12/15/66 | 150,000 | 147,000 | ||||||
Morgan Stanley | ||||||||
5.63%, 01/09/12 | 310,000 | 317,605 | ||||||
5.75%, 08/31/12 | 1,730,000 | 1,821,668 | ||||||
1.42%, 03/01/13(E) | 500,000 | 717,112 | ||||||
0.73%, 10/18/16† | 340,000 | 313,403 | ||||||
6.63%, 04/01/18 | 1,650,000 | 1,820,118 | ||||||
Nabors Industries, Inc. | ||||||||
9.25%, 01/15/19 | 3,300,000 | 4,188,842 | ||||||
Nationwide Financial Services | ||||||||
5.38%, 03/25/21 144A@D | 575,000 | 578,637 | ||||||
NBCUniversal Media LLC | ||||||||
4.38%, 04/01/21 144A | 150,000 | 148,724 | ||||||
NCUA Guaranteed Notes | ||||||||
3.00%, 06/12/19 | 600,000 | 596,250 | ||||||
New Cingular Wireless Services, Inc. | ||||||||
8.13%, 05/01/12 | 135,000 | 143,161 | ||||||
Newfield Exploration Co. | ||||||||
7.13%, 05/15/18 | 100,000 | 106,500 | ||||||
News America, Inc. | ||||||||
6.15%, 02/15/41 144A | 450,000 | 447,293 | ||||||
Northwestern Mutual Life Insurance | ||||||||
6.06%, 03/30/40 144A | 600,000 | 634,595 | ||||||
Overseas Private Investment Corporation | ||||||||
0.00%, 07/12/12W | 3,000,000 | 3,630,264 | ||||||
Pacific Gas & Electric Co. | ||||||||
8.25%, 10/15/18 | 40,000 | 51,415 | ||||||
6.05%, 03/01/34 | 110,000 | 116,680 | ||||||
5.80%, 03/01/37 | 250,000 | 257,641 | ||||||
Patrons’ Legacy | ||||||||
5.65%, 04/17/18 144A | 1,290,357 | 1,238,743 | ||||||
Peabody Energy Corporation | ||||||||
7.88%, 11/01/26 | 1,100,000 | 1,240,250 | ||||||
Pemex Project Funding Master Trust | ||||||||
6.63%, 06/15/35 | 159,000 | 168,385 | ||||||
PepsiCo, Inc. | ||||||||
7.90%, 11/01/18 | 140,000 | 180,688 | ||||||
Pfizer, Inc. | ||||||||
7.20%, 03/15/39 | 600,000 | 755,834 | ||||||
Plains Exploration & Production Co. | ||||||||
10.00%, 03/01/16 | 500,000 | 565,000 | ||||||
Pricoa Global Funding I | ||||||||
0.45%, 09/27/13 144A† | 1,700,000 | 1,680,154 | ||||||
Private Export Funding Corporation | ||||||||
5.45%, 09/15/17 | 1,600,000 | 1,864,278 | ||||||
Progress Energy, Inc. | ||||||||
7.75%, 03/01/31 | 350,000 | 439,239 | ||||||
ProLogis LP | ||||||||
1.88%, 11/15/37 | 350,000 | 346,500 | ||||||
Prudential Financial, Inc. | ||||||||
4.50%, 11/15/20 | 900,000 | 895,674 | ||||||
PVNGS II Funding Corporation, Inc. | ||||||||
8.00%, 12/30/15 | 837,000 | 919,678 | ||||||
Qwest Communications International, Inc. | ||||||||
8.00%, 10/01/15 | 375,000 | 409,687 | ||||||
Qwest Corporation | ||||||||
8.88%, 03/15/12 | 200,000 | 211,000 | ||||||
Raytheon Co. | ||||||||
3.13%, 10/15/20 | 200,000 | 188,130 | ||||||
Reed Elsevier Capital, Inc. | ||||||||
8.63%, 01/15/19 | 410,000 | 521,966 |
See Notes to Financial Statements.
57
Table of Contents
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
Reinsurance Group of America, Inc. | ||||||||
6.75%, 12/15/65† | $ | 475,000 | $ | 454,216 | ||||
Rensselaer Polytechnic Institute | ||||||||
5.60%, 09/01/20 | 675,000 | 720,252 | ||||||
Roche Holdings, Inc. | ||||||||
6.00%, 03/01/19 144A | 430,000 | 496,204 | ||||||
Rock-Tenn Co. | ||||||||
5.63%, 03/15/13 | 50,000 | 51,875 | ||||||
RSC Equipment Rental, Inc. | ||||||||
10.00%, 07/15/17 144AD | 500,000 | 560,000 | ||||||
Safeway, Inc. | ||||||||
3.95%, 08/15/20 | 150,000 | 146,150 | ||||||
Service Corporation International | ||||||||
7.63%, 10/01/18 | 90,000 | 99,225 | ||||||
7.50%, 04/01/27 | 200,000 | 192,000 | ||||||
Simon Property Group LP | ||||||||
10.35%, 04/01/19D | 750,000 | 1,039,652 | ||||||
SLM Corporation | ||||||||
6.25%, 01/25/16 | 375,000 | 389,446 | ||||||
Southern Natural Gas Co. | ||||||||
8.00%, 03/01/32 | 400,000 | 503,210 | ||||||
Springleaf Finance Corporation | ||||||||
4.88%, 07/15/12D | 300,000 | 299,250 | ||||||
Sprint Capital Corporation | ||||||||
8.38%, 03/15/12 | 125,000 | 130,625 | ||||||
6.90%, 05/01/19D | 30,000 | 31,050 | ||||||
8.75%, 03/15/32 | 170,000 | 184,875 | ||||||
SSIF Nevada LP | ||||||||
0.98%, 04/14/14 144A† | 3,400,000 | 3,402,815 | ||||||
State Street Corporation | ||||||||
4.96%, 03/15/18 | 530,000 | 562,850 | ||||||
Steel Dynamics, Inc. | ||||||||
6.75%, 04/01/15 | 225,000 | 230,625 | ||||||
7.75%, 04/15/16 | 500,000 | 527,500 | ||||||
SunTrust Banks, Inc. | ||||||||
3.60%, 04/15/16 | 300,000 | 303,241 | ||||||
SunTrust Preferred Capital I | ||||||||
5.85%, 06/29/49† | 357,000 | 298,095 | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
6.85%, 12/16/39 144A | 540,000 | 616,519 | ||||||
Tenet Healthcare Corporation | ||||||||
9.25%, 02/01/15D | 1,262,000 | 1,386,622 | ||||||
Tennessee Gas Pipeline Co. | ||||||||
7.50%, 04/01/17 | 250,000 | 303,270 | ||||||
7.63%, 04/01/37D | 50,000 | 60,534 | ||||||
Time Warner Cable, Inc. | ||||||||
8.75%, 02/14/19 | 650,000 | 829,444 | ||||||
4.13%, 02/15/21D | 100,000 | 96,846 | ||||||
5.88%, 11/15/40 | 440,000 | 435,769 | ||||||
Time Warner, Inc. | ||||||||
4.70%, 01/15/21 | 10,000 | 10,151 | ||||||
6.10%, 07/15/40 | 140,000 | 142,805 | ||||||
6.25%, 03/29/41 | 40,000 | 41,694 | ||||||
Time Warner Entertainment Co. LP | ||||||||
8.38%, 07/15/33 | 590,000 | 756,222 | ||||||
Transatlantic Holdings, Inc. | ||||||||
8.00%, 11/30/39 | 300,000 | 329,306 | ||||||
UAL 1993 Pass Through Trust A | ||||||||
9.21%, 01/21/17+ | 81,116 | — | ||||||
UAL 1995 Pass Through Trust A | ||||||||
9.56%, 10/19/18@ | 137,888 | 55,845 | ||||||
Union Bank NA | ||||||||
1.20%, 06/06/14† | 2,600,000 | 2,600,029 | ||||||
United Parcel Service, Inc. | ||||||||
4.50%, 01/15/13 | 770,000 | 813,913 | ||||||
UnitedHealth Group, Inc. | ||||||||
4.88%, 02/15/13 | 370,000 | 391,409 | ||||||
4.88%, 04/01/13D | 410,000 | 434,896 | ||||||
Verizon Communications, Inc. | ||||||||
6.10%, 04/15/18 | 290,000 | 332,793 | ||||||
4.60%, 04/01/21 | 430,000 | 444,541 | ||||||
6.00%, 04/01/41 | 130,000 | 136,232 | ||||||
Verizon Global Funding Corporation | ||||||||
7.38%, 09/01/12 | 290,000 | 311,971 | ||||||
4.38%, 06/01/13D | 140,000 | 148,691 | ||||||
Wachovia Bank NA | ||||||||
6.60%, 01/15/38 | 275,000 | 302,454 | ||||||
Wachovia Capital Trust III | ||||||||
5.57%, 03/29/49† | 940,000 | 863,625 | ||||||
Wachovia Corporation | ||||||||
5.25%, 08/01/14D | 1,850,000 | 1,984,360 | ||||||
5.63%, 10/15/16 | 250,000 | 271,707 | ||||||
WEA Finance LLC | ||||||||
7.13%, 04/15/18 144A | 400,000 | 467,487 | ||||||
WellPoint, Inc. | ||||||||
5.88%, 06/15/17 | 720,000 | 824,236 | ||||||
Wells Fargo & Co. | ||||||||
4.38%, 01/31/13 | 600,000 | 629,954 | ||||||
3.68%, 06/15/16 | 290,000 | 298,264 | ||||||
7.98%, 03/29/49†D | 2,600,000 | 2,821,000 | ||||||
Wells Fargo Capital X | ||||||||
5.95%, 12/15/36 | 200,000 | 196,655 | ||||||
Williams Cos., Inc. | ||||||||
7.50%, 01/15/31 | 15,000 | 17,201 | ||||||
7.75%, 06/15/31 | 39,000 | 45,644 | ||||||
8.75%, 03/15/32 | 728,000 | 928,153 | ||||||
Windstream Corporation | ||||||||
8.63%, 08/01/16 | 275,000 | 287,719 | ||||||
Xerox Corporation | ||||||||
1.08%, 05/16/14†D | 3,400,000 | 3,419,275 | ||||||
|
| |||||||
Total Corporate Bonds | 188,165,099 | |||||||
|
| |||||||
FOREIGN BONDS — 18.6% | ||||||||
Argentina — 0.1% | ||||||||
Argentine Republic Government International Bond | ||||||||
10.00%, 12/15/35(E)W† | 3,060,000 | 654,529 | ||||||
|
| |||||||
Australia — 2.1% | ||||||||
Australia Government Bond | ||||||||
4.75%, 06/15/16(A) | 7,800,000 | 8,323,736 | ||||||
6.00%, 02/15/17(A) | 2,400,000 | 2,708,481 | ||||||
Commonwealth Bank of Australia | ||||||||
3.75%, 10/15/14 144A | 440,000 | 462,639 | ||||||
5.00%, 10/15/19 144A | 190,000 | 198,051 | ||||||
National Australia Bank, Ltd. | ||||||||
1.01%, 04/11/14 144A†@ | 3,400,000 | 3,399,099 | ||||||
QBE Insurance Group, Ltd. | ||||||||
5.65%, 07/01/23 144A†@ | 525,000 | 509,183 |
See Notes to Financial Statements.
58
Table of Contents
Par | Value | |||||||
Rio Tinto Finance USA, Ltd. | ||||||||
2.50%, 05/20/16 | $ | 30,000 | $ | 30,093 | ||||
3.50%, 11/02/20 | 1,180,000 | 1,131,484 | ||||||
4.13%, 05/20/21 | 140,000 | 139,343 | ||||||
Westpac Banking Corporation | ||||||||
1.90%, 12/14/12 144A | 1,500,000 | 1,529,637 | ||||||
|
| |||||||
18,431,746 | ||||||||
|
| |||||||
Austria — 0.1% | ||||||||
PE Paper Escrow GmbH | ||||||||
12.00%, 08/01/14 144A | 450,000 | 510,750 | ||||||
|
| |||||||
Bermuda — 0.1% | ||||||||
Arch Capital Group, Ltd. | ||||||||
7.35%, 05/01/34 | 250,000 | 269,012 | ||||||
Endurance Specialty Holdings, Ltd. | ||||||||
6.15%, 10/15/15 | 200,000 | 213,955 | ||||||
Weatherford International, Ltd. | ||||||||
9.63%, 03/01/19 | 225,000 | 290,990 | ||||||
|
| |||||||
773,957 | ||||||||
|
| |||||||
Brazil — 0.1% | ||||||||
Brazilian Government International Bond | ||||||||
8.25%, 01/20/34 | 600,000 | 828,000 | ||||||
Telemar Norte Leste SA | ||||||||
5.50%, 10/23/20 144AD | 225,000 | 223,313 | ||||||
|
| |||||||
1,051,313 | ||||||||
|
| |||||||
Canada — 2.1% | ||||||||
Canadian Government Bond | ||||||||
1.50%, 03/01/12(C) | 12,700,000 | 13,197,097 | ||||||
2.25%, 08/01/14(C) | 3,000,000 | 3,143,616 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
2.75%, 01/27/16 144AD | 300,000 | 307,273 | ||||||
Nexen, Inc. | ||||||||
6.40%, 05/15/37 | 140,000 | 140,091 | ||||||
7.50%, 07/30/39 | 250,000 | 280,511 | ||||||
Potash Corporation of Saskatchewan, Inc. | ||||||||
4.88%, 03/30/20 | 110,000 | 116,505 | ||||||
PTTEP Canada International Finance, Ltd. | ||||||||
5.69%, 04/05/21 144A@ | 320,000 | 325,562 | ||||||
Rogers Communications, Inc. | ||||||||
6.38%, 03/01/14 | 90,000 | 101,003 | ||||||
6.75%, 03/15/15 | 10,000 | 11,569 | ||||||
Teck Resources, Ltd. | ||||||||
10.75%, 05/15/19 | 400,000 | 506,209 | ||||||
TransCanada PipeLines, Ltd. | ||||||||
6.35%, 05/15/67† | 400,000 | 402,593 | ||||||
|
| |||||||
18,532,029 | ||||||||
|
| |||||||
Cayman Islands — 0.5% | ||||||||
MUFG Capital Finance 1, Ltd. | ||||||||
6.35%, 07/29/49† | 450,000 | 460,418 | ||||||
Petrobras International Finance Co. | ||||||||
6.13%, 10/06/16 | 271,000 | 303,064 | ||||||
5.75%, 01/20/20 | 235,000 | 251,862 | ||||||
5.38%, 01/27/21 | 800,000 | 825,447 | ||||||
Resona Preferred Global Securities Cayman, Ltd. | ||||||||
7.19%, 07/30/15 144A† | 690,000 | 691,686 | ||||||
7.19%, 12/29/49 144A† | 325,000 | 325,794 | ||||||
Transocean, Inc. | ||||||||
6.00%, 03/15/18 | 425,000 | 471,207 | ||||||
6.50%, 11/15/20D | 150,000 | 168,035 | ||||||
Vale Overseas, Ltd. | ||||||||
8.25%, 01/17/34 | 80,000 | 98,271 | ||||||
6.88%, 11/21/36 | 511,000 | 556,114 | ||||||
|
| |||||||
4,151,898 | ||||||||
|
| |||||||
Chile — 0.0% | ||||||||
Corp Nacional del Cobre de Chile | ||||||||
4.75%, 10/15/14 144A | 210,000 | 226,188 | ||||||
|
| |||||||
Denmark — 0.3% | ||||||||
BRFkredit AS | ||||||||
2.05%, 04/15/13 144A | 1,200,000 | 1,225,950 | ||||||
Danske Bank AS | ||||||||
2.50%, 05/10/12 144A | 600,000 | 608,669 | ||||||
FIH Erhvervsbank A/S | ||||||||
2.00%, 06/12/13 144A | 1,000,000 | 1,022,721 | ||||||
|
| |||||||
2,857,340 | ||||||||
|
| |||||||
France — 1.3% | ||||||||
Banque PSA Finance | ||||||||
2.15%, 04/04/14 144A† | 1,500,000 | 1,498,404 | ||||||
Cie de Financement Foncier | ||||||||
1.63%, 07/23/12 144A | 100,000 | 100,829 | ||||||
2.13%, 04/22/13 144A | 2,000,000 | 2,030,720 | ||||||
Compagnie Generale de Geophysique - Veritas | ||||||||
7.75%, 05/15/17 | 155,000 | 160,425 | ||||||
Credit Agricole SA | ||||||||
2.63%, 01/21/14 144AD | 310,000 | 310,453 | ||||||
8.38%, 10/29/49 144A†D | 980,000 | 1,029,000 | ||||||
Dexia Credit Local | ||||||||
2.75%, 01/10/14 144A | 5,900,000 | 6,005,840 | ||||||
Legrand France SA | ||||||||
8.50%, 02/15/25 | 250,000 | 314,177 | ||||||
|
| |||||||
11,449,848 | ||||||||
|
| |||||||
Germany — 0.1% | ||||||||
Landwirtschaftliche Rentenbank | ||||||||
2.13%, 07/15/16D | 500,000 | 499,354 | ||||||
|
| |||||||
Iceland — 0.1% | ||||||||
Glitnir Banki HF | ||||||||
6.33%, 07/28/11 144A#@ | 600,000 | 169,500 | ||||||
6.38%, 09/25/12 144A#@ | 580,000 | 163,850 | ||||||
6.69%, 06/15/16 144A#@D | 1,000,000 | 10 | ||||||
7.45%, 03/29/49 144A#@ | 100,000 | 1 | ||||||
Kaupthing Bank HF | ||||||||
5.75%, 10/04/11 144A#@ | 250,000 | 63,125 | ||||||
7.63%, 02/28/15 144A#@ | 2,490,000 | 628,725 | ||||||
7.13%, 05/19/16 144A# | 350,000 | 3 | ||||||
Landsbanki Islands HF | ||||||||
6.10%, 08/25/11 144A#@ | 1,500,000 | 112,500 | ||||||
|
| |||||||
1,137,714 | ||||||||
|
| |||||||
India — 0.5% | ||||||||
ICICI Bank, Ltd. | ||||||||
2.01%, 02/24/14 144A† | 3,400,000 | 3,381,280 | ||||||
6.38%, 04/30/22 144A† | 418,000 | 409,640 | ||||||
ICICI Bank, Ltd. | ||||||||
6.38%, 04/30/22† | 110,000 | 107,378 | ||||||
|
| |||||||
3,898,298 | ||||||||
|
|
See Notes to Financial Statements.
59
Table of Contents
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
Ireland — 0.1% | ||||||||
Bank of Ireland | ||||||||
2.75%, 03/02/12 | $ | 430,000 | $ | 433,978 | ||||
VIP Finance Ireland Ltd. for OJSC Vimpel Communications | ||||||||
8.38%, 04/30/13 144A | 120,000 | 130,008 | ||||||
6.49%, 02/02/16 144A | 230,000 | 238,050 | ||||||
9.13%, 04/30/18D | 100,000 | 113,875 | ||||||
7.75%, 02/02/21 144A | 200,000 | 207,000 | ||||||
|
| |||||||
1,122,911 | ||||||||
|
| |||||||
Italy — 0.4% | ||||||||
Intesa Sanpaolo SpA | ||||||||
2.66%, 02/24/14 144A†D | 3,400,000 | 3,394,257 | ||||||
3.63%, 08/12/15 144A | 290,000 | 282,790 | ||||||
Telecom Italia Capital SA | ||||||||
6.20%, 07/18/11D | 150,000 | 150,262 | ||||||
|
| |||||||
3,827,309 | ||||||||
|
| |||||||
Japan — 0.2% | ||||||||
Bank of Tokyo-Mitsubishi UFJ, Ltd. | ||||||||
3.85%, 01/22/15 144A | 330,000 | 347,981 | ||||||
Resona Bank, Ltd. | ||||||||
5.85%, 02/28/49 144A†@ | 250,000 | 249,699 | ||||||
Sumitomo Mitsui Banking Corporation | ||||||||
3.15%, 07/22/15 144A | 640,000 | 655,357 | ||||||
|
| |||||||
1,253,037 | ||||||||
|
| |||||||
Jersey — 0.2% | ||||||||
HSBC Capital Funding LP | ||||||||
4.61%, 12/29/49 144A† | 960,000 | 930,244 | ||||||
QBE Capital Funding III, Ltd. | ||||||||
7.25%, 05/24/41 144A† | 200,000 | 199,000 | ||||||
United Business Media, Ltd. | ||||||||
5.75%, 11/03/20 144A | 260,000 | 258,792 | ||||||
|
| |||||||
1,388,036 | ||||||||
|
| |||||||
Luxembourg — 0.7% | ||||||||
Fiat Finance & Trade, Ltd. SA | ||||||||
9.00%, 07/30/12(E) | 700,000 | 1,064,607 | ||||||
Gazprom Via Gaz Capital SA | ||||||||
9.25%, 04/23/19D | 290,000 | 363,588 | ||||||
6.51%, 03/07/22 144AD | 3,200,000 | 3,400,250 | ||||||
Russian Capital SA for OJSC Russian Agricultural Bank | ||||||||
6.30%, 05/15/17 144A | 300,000 | 320,250 | ||||||
TNK-BP Finance SA | ||||||||
7.50%, 07/18/16 144A | 110,000 | 125,675 | ||||||
7.50%, 07/18/16 | 190,000 | 214,225 | ||||||
Tyco International Group SA | ||||||||
6.00%, 11/15/13 | 710,000 | 785,316 | ||||||
|
| |||||||
6,273,911 | ||||||||
|
| |||||||
Malaysia — 0.3% | ||||||||
Bank Negara Monetary Note | ||||||||
2.68%, 09/27/11(R)W | 3,350,000 | 1,102,217 | ||||||
Malaysia Government Bond | ||||||||
3.43%, 08/15/14(R) | 1,620,000 | 539,045 | ||||||
3.84%, 08/12/15(R) | 2,280,000 | 767,876 | ||||||
4.26%, 09/15/16(R) | 650,000 | 222,676 | ||||||
|
| |||||||
2,631,814 | ||||||||
|
| |||||||
Mexico — 0.8% | ||||||||
America Movil SAB de CV | ||||||||
5.63%, 11/15/17 | 270,000 | 304,330 | ||||||
5.00%, 03/30/20 | 240,000 | 251,568 | ||||||
BBVA Bancomer SA Texas | ||||||||
7.25%, 04/22/20 144AD | 625,000 | 657,812 | ||||||
Cemex SAB de CV | ||||||||
5.25%, 09/30/15 144A†D | 150,000 | 145,500 | ||||||
Mexican Bonos | ||||||||
8.00%, 06/11/20(M) | 15,875,000 | 1,458,013 | ||||||
10.00%, 12/05/24(M) | 15,616,600 | 1,647,061 | ||||||
7.50%, 06/03/27(M) | 1,028,000 | 87,164 | ||||||
Mexico Government International Bond | ||||||||
6.75%, 09/27/34 | 601,000 | 701,668 | ||||||
6.05%, 01/11/40 | 134,000 | 143,246 | ||||||
Petroleos Mexicanos | ||||||||
8.00%, 05/03/19 | 720,000 | 891,360 | ||||||
5.50%, 01/21/21 144A | 370,000 | 389,795 | ||||||
|
| |||||||
6,677,517 | ||||||||
|
| |||||||
Netherlands — 1.7% | ||||||||
Achmea Hypotheekbank NV | ||||||||
3.20%, 11/03/14 144A | 2,000,000 | 2,100,864 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | ||||||||
4.50%, 01/11/21D | 4,000,000 | 4,092,348 | ||||||
11.00%, 06/29/49 144A† | 687,000 | 879,159 | ||||||
Deutsche Telekom International Finance BV | ||||||||
5.75%, 03/23/16 | 510,000 | 577,380 | ||||||
ING Bank NV | ||||||||
3.90%, 03/19/14 144A | 500,000 | 535,308 | ||||||
2.38%, 06/09/14 144AD | 550,000 | 547,836 | ||||||
2.50%, 01/14/16 144A | 700,000 | 688,443 | ||||||
LeasePlan Corporation NV | ||||||||
3.00%, 05/07/12 144A | 1,200,000 | 1,226,921 | ||||||
Shell International Finance BV | ||||||||
4.38%, 03/25/20 | 700,000 | 736,881 | ||||||
Volkswagen International Finance NV | ||||||||
0.70%, 10/01/12 144A† | 1,900,000 | 1,905,687 | ||||||
0.86%, 04/01/14 144A† | 1,500,000 | 1,506,327 | ||||||
|
| |||||||
14,797,154 | ||||||||
|
| |||||||
New Zealand — 0.0% | ||||||||
Westpac Securities NZ, Ltd. | ||||||||
2.50%, 05/25/12 144A | 200,000 | 203,275 | ||||||
|
| |||||||
Norway — 1.2% | ||||||||
DnB NOR Boligkreditt | ||||||||
2.10%, 10/14/15 144AD | 1,300,000 | 1,286,375 | ||||||
2.90%, 03/29/16 144A | 4,300,000 | 4,381,601 | ||||||
Nordea Eiendomskreditt AS | ||||||||
1.88%, 04/07/14 144A@ | 1,100,000 | 1,112,148 | ||||||
Sparebank 1 Boligkreditt AS | ||||||||
1.25%, 10/25/13 144AD | 1,900,000 | 1,899,132 | ||||||
2.63%, 05/27/16 144A | 1,600,000 | 1,630,993 | ||||||
|
| |||||||
10,310,249 | ||||||||
|
| |||||||
Portugal — 0.4% | ||||||||
Obrigacoes do Tesouro | ||||||||
2.62%, 05/16/47(E)W | 2,630,873 | 3,810,082 | ||||||
|
|
See Notes to Financial Statements.
60
Table of Contents
Par | Value | |||||||
Qatar — 0.1% | ||||||||
Qatar Government International Bond | ||||||||
5.15%, 04/09/14 | $ | 510,000 | $ | 554,625 | ||||
Ras Laffan Liquefied Natural Gas Co., Ltd. III | ||||||||
6.75%, 09/30/19 144A | 250,000 | 291,250 | ||||||
|
| |||||||
845,875 | ||||||||
|
| |||||||
Russia — 0.0% | ||||||||
Russian Federation | ||||||||
7.50%, 03/31/30D | 207,600 | 244,823 | ||||||
|
| |||||||
South Africa — 0.2% | ||||||||
South Africa Government Bond | ||||||||
6.75%, 03/31/21(S) | 4,485,000 | 589,012 | ||||||
10.50%, 12/21/26(S)D | 5,975,000 | 1,023,609 | ||||||
Transnet, Ltd. | ||||||||
4.50%, 02/10/16 144A | 500,000 | 516,578 | ||||||
|
| |||||||
2,129,199 | ||||||||
|
| |||||||
South Korea — 0.4% | ||||||||
Export-Import Bank of Korea | ||||||||
5.25%, 02/10/14 | 235,000 | 253,564 | ||||||
Hyundai Capital Services, Inc. | ||||||||
4.38%, 07/27/16 144AD | 3,400,000 | 3,490,375 | ||||||
|
| |||||||
3,743,939 | ||||||||
|
| |||||||
Spain — 0.2% | ||||||||
BBVA US Senior SAU | ||||||||
3.25%, 05/16/14 | 800,000 | 791,680 | ||||||
Santander US Debt SA Unipersonal | ||||||||
3.72%, 01/20/15 144A | 700,000 | 678,129 | ||||||
3.78%, 10/07/15 144AD | 100,000 | 96,519 | ||||||
Telefonica Emisiones SAU | ||||||||
5.13%, 04/27/20 | 170,000 | 168,811 | ||||||
|
| |||||||
1,735,139 | ||||||||
|
| |||||||
Sweden — 1.1% | ||||||||
Nordea Bank AB | ||||||||
1.18%, 01/14/14 144A†D | 3,400,000 | 3,432,327 | ||||||
3.70%, 11/13/14 144A | 390,000 | 408,349 | ||||||
4.88%, 01/27/20 144A | 110,000 | 114,223 | ||||||
4.88%, 05/13/21 144A | 640,000 | 615,820 | ||||||
Stadshypotek AB | ||||||||
1.45%, 09/30/13 144A | 4,850,000 | 4,884,304 | ||||||
Swedbank Hypotek AB | ||||||||
0.70%, 03/28/14 144A†@ | 400,000 | 400,376 | ||||||
|
| |||||||
9,855,399 | ||||||||
|
| |||||||
Switzerland — 0.2% | ||||||||
Credit Suisse | ||||||||
6.00%, 02/15/18 | 100,000 | 108,054 | ||||||
UBS AG | ||||||||
1.36%, 02/23/12† | 400,000 | 402,601 | ||||||
2.25%, 01/28/14 | 710,000 | 717,869 | ||||||
3.88%, 01/15/15D | 280,000 | 292,507 | ||||||
4.88%, 08/04/20 | 180,000 | 182,392 | ||||||
|
| |||||||
1,703,423 | ||||||||
|
| |||||||
United Arab Emirates — 0.0% | ||||||||
Dolphin Energy, Ltd. | ||||||||
5.89%, 06/15/19 144AD | 247,408 | 268,287 | ||||||
|
| |||||||
United Kingdom — 2.5% | ||||||||
Abbey National Treasury Services PLC | ||||||||
3.88%, 11/10/14 144A | 2,900,000 | 2,955,520 | ||||||
Anglo American Capital PLC | ||||||||
9.38%, 04/08/19 144A | 100,000 | 131,737 | ||||||
Bank of Scotland PLC | ||||||||
5.25%, 02/21/17 144A@ | 400,000 | 428,230 | ||||||
Barclays Bank PLC | ||||||||
1.32%, 01/13/14†D | 3,400,000 | 3,412,706 | ||||||
6.05%, 12/04/17 144A | 230,000 | 243,845 | ||||||
BP Capital Markets PLC | ||||||||
5.25%, 11/07/13 | 940,000 | 1,019,021 | ||||||
3.88%, 03/10/15 | 310,000 | 326,757 | ||||||
3.20%, 03/11/16D | 275,000 | 280,005 | ||||||
4.50%, 10/01/20 | 725,000 | 740,743 | ||||||
HSBC Holdings PLC | ||||||||
6.80%, 06/01/38 | 250,000 | 267,642 | ||||||
Lloyds TSB Bank PLC | ||||||||
2.62%, 01/24/14† | 3,400,000 | 3,449,844 | ||||||
6.50%, 09/14/20 144A | 150,000 | 141,731 | ||||||
6.38%, 01/21/21 | 550,000 | 573,603 | ||||||
12.00%, 12/29/49 144A† | 3,200,000 | 3,484,689 | ||||||
Royal Bank of Scotland PLC | ||||||||
1.50%, 03/30/12 144A | 2,400,000 | 2,421,898 | ||||||
4.88%, 08/25/14 144A | 425,000 | 442,646 | ||||||
3.95%, 09/21/15 | 800,000 | 804,530 | ||||||
Royal Bank of Scotland Group PLC | ||||||||
6.40%, 10/21/19 | 530,000 | 545,268 | ||||||
7.64%, 03/29/49 | 200,000 | 156,500 | ||||||
WPP Finance UK | ||||||||
8.00%, 09/15/14 | 226,000 | 265,298 | ||||||
|
| |||||||
22,092,213 | ||||||||
|
| |||||||
Virgin Islands (British) — 0.5% | ||||||||
Gerdau Trade, Inc. | ||||||||
5.75%, 01/30/21 144AD | 4,000,000 | 4,085,000 | ||||||
|
| |||||||
Total Foreign Bonds | 163,173,556 | |||||||
|
| |||||||
LOAN AGREEMENT — 0.0% | ||||||||
Ford Motor Co. Tranche B | ||||||||
2.94%, 12/15/13W | ||||||||
(Cost $17,522) | 17,522 | 17,501 | ||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 41.8% | ||||||||
ABN Amro Mortgage Corporation | ||||||||
0.00%, 06/25/33 IOW@ | 25,608 | 1,834 | ||||||
American Home Mortgage Assets | ||||||||
1.20%, 11/25/46† | 1,340,658 | 621,425 | ||||||
Arkle Master Issuer PLC | ||||||||
1.66%, 05/17/60 144A† | 1,100,000 | 1,100,711 | ||||||
Arran Residential Mortgages Funding PLC | ||||||||
2.62%, 11/19/47 144A(E)† | 500,000 | 725,471 | ||||||
Avis Budget Rental Car Funding AESOP LLC | ||||||||
3.15%, 03/20/17 144A | 160,000 | 161,730 | ||||||
Banc of America Commercial Mortgage, Inc. | ||||||||
5.92%, 05/10/45† | 420,000 | 464,805 | ||||||
Banc of America Large Loan, Inc. | ||||||||
5.67%, 02/17/51 144A† | 100,000 | 109,346 | ||||||
Bank of America Mortgage Securities, Inc. | ||||||||
2.77%, 07/25/34† | 310,112 | 284,678 |
See Notes to Financial Statements.
61
Table of Contents
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
Bear Stearns Adjustable Rate Mortgage Trust | ||||||||
5.68%, 02/25/33† | $ | 72,352 | $ | 71,101 | ||||
5.29%, 05/25/34† | 468,926 | 436,189 | ||||||
2.71%, 03/25/35† | 1,233,355 | 1,154,965 | ||||||
Bear Stearns Alt-A Trust | ||||||||
0.83%, 04/25/34† | 93,356 | 77,808 | ||||||
2.65%, 05/25/35† | 539,185 | 450,432 | ||||||
2.92%, 09/25/35† | 804,928 | 583,400 | ||||||
Bear Stearns Structured Products, Inc. | ||||||||
3.19%, 01/26/36† | 1,360,603 | 866,568 | ||||||
Chase Mortgage Finance Corporation | ||||||||
2.82%, 02/25/37† | 244,038 | 232,872 | ||||||
Commercial Mortgage Pass-Through Certificates | ||||||||
5.95%, 06/10/46† | 1,250,000 | 1,384,682 | ||||||
Countrywide Alternative Loan Trust | ||||||||
5.50%, 10/25/33 | 136,814 | 141,326 | ||||||
0.54%, 09/25/35† | 1,107,901 | 706,209 | ||||||
1.78%, 09/25/35† | 270,220 | 166,552 | ||||||
0.52%, 10/25/35† | 1,274,388 | 763,576 | ||||||
0.51%, 11/20/35† | 1,016,369 | 577,779 | ||||||
0.53%, 11/20/35† | 1,907,791 | 1,196,122 | ||||||
0.46%, 01/25/36† | 624,748 | 389,415 | ||||||
0.46%, 02/25/36† | 1,473,189 | 808,041 | ||||||
6.00%, 08/25/37 | 1,186,463 | 929,297 | ||||||
0.38%, 09/25/46† | 1,386,545 | 757,027 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust | ||||||||
3.02%, 02/19/34† | 1,175,715 | 1,086,116 | ||||||
3.07%, 11/20/34† | 246,172 | 208,252 | ||||||
0.61%, 11/25/34 144A† | 23,452 | 20,397 | ||||||
0.55%, 03/25/35 144A† | 92,530 | 78,997 | ||||||
0.43%, 03/25/36† | 424,788 | 263,894 | ||||||
Credit Suisse Mortgage Capital Certificates | ||||||||
5.38%, 02/15/40 | 1,800,000 | 1,889,627 | ||||||
CS First Boston Mortgage Securities Corporation | ||||||||
0.00%, 07/25/33 IOW†@ | 159,851 | — | ||||||
52.48%, 07/25/33 IOW@ | 61,647 | 3,852 | ||||||
0.00%, 08/25/33 IOW†@ | 201,536 | 3 | ||||||
Federal Home Loan Mortgage Corporation | ||||||||
7.00%, 11/01/14 | 12,868 | 13,798 | ||||||
7.00%, 04/01/15 | 8,990 | 9,639 | ||||||
7.00%, 12/01/15 | 15,213 | 16,054 | ||||||
8.50%, 06/01/16 | 10,009 | 11,289 | ||||||
8.50%, 06/01/18 | 4,342 | 4,897 | ||||||
4.50%, 09/01/18 | 16,103 | 17,211 | ||||||
8.00%, 08/01/24 | 2,278 | 2,704 | ||||||
7.50%, 11/01/29 | 9,932 | 11,598 | ||||||
7.50%, 12/01/29 | 16,897 | 19,732 | ||||||
7.50%, 02/01/31 | 28,710 | 33,565 | ||||||
2.66%, 07/01/31† | 27,943 | 29,028 | ||||||
2.61%, 08/01/31† | 3,571 | 3,698 | ||||||
7.50%, 11/01/31 | 9,959 | 11,649 | ||||||
2.73%, 04/01/32† | 5,576 | 5,853 | ||||||
2.59%, 03/01/34† | 6,397 | 6,704 | ||||||
5.00%, 12/01/34 | 71,790 | 76,646 | ||||||
5.50%, 05/01/35 | 1,118,042 | 1,215,852 | ||||||
5.00%, 11/01/35 | 995,615 | 1,062,187 | ||||||
5.50%, 11/01/35 | 324,275 | 352,559 | ||||||
5.00%, 12/01/35 | 72,995 | 78,104 | ||||||
5.50%, 01/01/36 | 185,319 | 201,508 | ||||||
6.00%, 02/01/36 | 1,293,424 | 1,427,550 | ||||||
5.99%, 01/01/37† | 772,438 | 819,747 | ||||||
5.65%, 04/01/37† | 1,288,519 | 1,370,365 | ||||||
6.00%, 04/01/37 | 8,080 | 9,002 | ||||||
5.50%, 07/01/37 | 319,493 | 347,260 | ||||||
6.00%, 07/01/37 | 2,299 | 2,561 | ||||||
5.56%, 09/01/37† | 571,840 | 610,028 | ||||||
6.00%, 09/01/37 | 101,601 | 113,197 | ||||||
5.50%, 02/01/38 | 170,720 | 184,837 | ||||||
5.50%, 04/01/38 | 118,995 | 128,835 | ||||||
6.00%, 07/01/38 | 38,547 | 42,946 | ||||||
5.50%, 12/01/38 | 555,634 | 601,059 | ||||||
6.00%, 12/01/38 | 106,586 | 118,750 | ||||||
6.00%, 01/01/39 | 53,705 | 59,834 | ||||||
5.50%, 02/01/39 | 124,751 | 134,949 | ||||||
4.50%, 09/01/39 | 877,482 | 913,532 | ||||||
5.50%, 01/01/40 | 790,456 | 855,819 | ||||||
4.50%, 08/01/40 TBA | 26,500,000 | 27,290,866 | ||||||
4.00%, 09/01/40 | 31,190 | 31,277 | ||||||
4.00%, 11/01/40 | 35,410 | 35,509 | ||||||
4.00%, 12/01/40 | 626,273 | 628,028 | ||||||
3.50%, 07/01/41 TBA | 1,400,000 | 1,336,782 | ||||||
4.00%, 07/01/41 TBA | 100,000 | 99,906 | ||||||
Federal Home Loan Mortgage Corporation REMIC | ||||||||
0.00%, 04/15/22 POW† | 15,225 | 13,884 | ||||||
0.69%, 06/15/37† | 1,295,288 | 1,296,305 | ||||||
4.00%, 12/15/38 | 400,000 | 397,840 | ||||||
4.00%, 01/15/39 | 100,000 | 100,000 | ||||||
5.50%, 06/15/41 | 600,000 | 650,190 | ||||||
Federal Housing Administration | ||||||||
8.70%, 10/01/18@ | 117,572 | 125,344 | ||||||
Federal National Mortgage Association | ||||||||
8.00%, 06/01/15 | 22,143 | 23,721 | ||||||
8.00%, 07/01/15 | 11,258 | 11,429 | ||||||
8.00%, 09/01/15 | 21,185 | 22,824 | ||||||
3.07%, 12/01/17 | 992,096 | 996,912 | ||||||
5.00%, 12/01/17 | 46,873 | 50,433 | ||||||
2.80%, 03/01/18 | 597,188 | 587,809 | ||||||
3.74%, 05/01/18 | 1,398,598 | 1,441,537 | ||||||
3.84%, 05/01/18 | 420,000 | 433,511 | ||||||
4.51%, 06/01/19 | 1,000,000 | 1,060,319 | ||||||
3.42%, 10/01/20 | 298,900 | 293,297 | ||||||
3.38%, 11/01/20 | 398,492 | 389,612 | ||||||
3.63%, 12/01/20 | 199,290 | 197,969 | ||||||
3.76%, 12/01/20 | 1,293,434 | 1,297,736 | ||||||
9.50%, 05/01/22 | 2,427 | 2,759 | ||||||
2.73%, 07/01/22† | 9,155 | 9,259 | ||||||
5.50%, 09/01/23 | 352,414 | 384,594 | ||||||
5.50%, 10/01/23 | 58,333 | 63,844 | ||||||
9.50%, 07/01/24 | 4,850 | 5,475 | ||||||
5.50%, 05/01/25 | 2,105,011 | 2,286,109 | ||||||
4.50%, 07/19/25 TBA | 17,000,000 | 18,020,000 | ||||||
3.50%, 07/01/26 TBA | 7,400,000 | 7,534,125 | ||||||
4.00%, 07/01/26 TBA | 14,400,000 | 14,998,493 | ||||||
4.50%, 07/01/26 TBA | 1,000,000 | 1,060,000 | ||||||
3.50%, 07/19/26 TBA | 4,000,000 | 4,072,500 | ||||||
2.70%, 07/01/27† | 23,851 | 24,139 |
See Notes to Financial Statements.
62
Table of Contents
Par | Value | |||||||
2.42%, 08/01/27† | $ | 58,006 | $ | 60,820 | ||||
2.70%, 11/01/27† | 46,876 | 47,443 | ||||||
5.50%, 04/01/29 | 426 | 465 | ||||||
3.01%, 02/01/30† | 152,476 | 159,037 | ||||||
2.76%, 06/01/30† | 20,283 | 20,407 | ||||||
8.00%, 10/01/30 | 40,032 | 45,592 | ||||||
2.76%, 12/01/30† | 7,273 | 7,663 | ||||||
2.70%, 01/01/31† | 7,977 | 8,186 | ||||||
2.45%, 05/01/31† | 17,123 | 17,222 | ||||||
6.00%, 11/01/31 | 15,830 | 17,559 | ||||||
6.00%, 01/01/32 | 70,991 | 78,749 | ||||||
6.00%, 03/01/32 | 73,231 | 81,234 | ||||||
6.00%, 04/01/32 | 481,657 | 534,294 | ||||||
2.70%, 06/01/32† | 9,411 | 9,533 | ||||||
2.73%, 08/01/32† | 32,079 | 33,306 | ||||||
2.38%, 02/01/33† | 3,123 | 3,155 | ||||||
2.73%, 05/01/33† | 66,823 | 69,614 | ||||||
6.00%, 05/01/33 | 5,230 | 5,802 | ||||||
5.00%, 08/01/33 | 21,667 | 23,157 | ||||||
5.50%, 09/01/33 | 6,144 | 6,691 | ||||||
6.00%, 12/01/33 | 3,000 | 3,328 | ||||||
5.50%, 02/01/34 | 8,354 | 9,097 | ||||||
5.50%, 04/01/34 | 1,327 | 1,449 | ||||||
6.00%, 07/01/34 TBA | 3,200,000 | 3,515,002 | ||||||
5.50%, 08/01/34 | 11,952 | 13,049 | ||||||
5.50%, 10/01/34 | 701 | 765 | ||||||
6.00%, 10/01/34 | 69,955 | 77,447 | ||||||
2.14%, 12/01/34† | 469,968 | 487,415 | ||||||
5.50%, 12/01/34 | 79,374 | 86,421 | ||||||
6.00%, 12/01/34 | 1,071 | 1,183 | ||||||
6.00%, 01/01/35 | 734,761 | 811,461 | ||||||
6.00%, 05/01/35 | 2,316,156 | 2,556,247 | ||||||
5.50%, 07/01/35 | 555 | 606 | ||||||
6.00%, 07/01/35 | 489,861 | 540,640 | ||||||
5.50%, 08/01/35 | 1,291 | 1,410 | ||||||
6.00%, 08/01/35 | 504 | 556 | ||||||
5.50%, 09/01/35 | 320,850 | 349,203 | ||||||
6.00%, 10/01/35 | 129,699 | 143,453 | ||||||
2.24%, 11/01/35† | 184,816 | 190,748 | ||||||
2.25%, 11/01/35† | 370,353 | 382,319 | ||||||
2.27%, 11/01/35† | 157,247 | 162,131 | ||||||
2.28%, 11/01/35† | 157,733 | 162,946 | ||||||
2.70%, 11/01/35† | 20,397 | 20,973 | ||||||
6.00%, 11/01/35 | 1,167,206 | 1,292,348 | ||||||
5.50%, 12/01/35 | 5,965 | 6,513 | ||||||
6.00%, 12/01/35 | 25,982 | 28,708 | ||||||
6.00%, 02/01/36 | 16,879 | 18,650 | ||||||
6.00%, 03/01/36 | 23,242 | 25,680 | ||||||
5.50%, 04/01/36 | 327,766 | 351,900 | ||||||
6.00%, 04/01/36 | 23,241 | 25,679 | ||||||
4.03%, 05/01/36† | 276,098 | 292,547 | ||||||
6.00%, 10/01/36 | 3,592 | 3,958 | ||||||
6.50%, 10/01/36 | 225,050 | 255,095 | ||||||
5.50%, 11/01/36 | 875,709 | 949,628 | ||||||
6.00%, 11/01/36 | 82,363 | 90,772 | ||||||
6.50%, 11/01/36 | 98,299 | 111,530 | ||||||
6.00%, 12/01/36 | 293 | 323 | ||||||
6.00%, 01/01/37 | 84,265 | 92,858 | ||||||
5.50%, 02/01/37 | 1,032 | 1,123 | ||||||
5.54%, 02/01/37† | 1,041,298 | 1,105,836 | ||||||
5.50%, 03/01/37 | 44,251 | 48,118 | ||||||
5.50%, 04/01/37 | 1,685 | 1,833 | ||||||
6.00%, 04/01/37 | 12,027 | 13,232 | ||||||
5.50%, 05/01/37 | 1,935 | 2,106 | ||||||
6.00%, 05/01/37 | 43,197 | 47,526 | ||||||
5.50%, 06/01/37 | 790 | 860 | ||||||
6.00%, 06/01/37 | 1,039 | 1,145 | ||||||
5.50%, 07/01/37 TBA | 750,000 | 810,938 | ||||||
6.00%, 07/01/37 TBA | 5,000,000 | 5,492,190 | ||||||
6.00%, 07/01/37 | 4,854,188 | 5,363,404 | ||||||
6.50%, 10/01/37 | 317,977 | 360,804 | ||||||
6.00%, 11/01/37 | 6,241 | 6,867 | ||||||
2.70%, 12/01/37† | 107,928 | 108,206 | ||||||
6.00%, 12/01/37 | 1,403 | 1,544 | ||||||
2.70%, 01/01/38† | 50,170 | 52,113 | ||||||
6.00%, 01/01/38 | 8,266 | 9,094 | ||||||
5.50%, 02/01/38 | 867 | 943 | ||||||
6.00%, 02/01/38 | 33,897 | 37,267 | ||||||
4.50%, 03/01/38 | 46,350 | 48,081 | ||||||
5.50%, 03/01/38 | 2,538 | 2,761 | ||||||
6.00%, 03/01/38 | 5,866 | 6,456 | ||||||
4.50%, 04/01/38 | 1,454,008 | 1,508,291 | ||||||
6.00%, 04/01/38 | 3,878 | 4,263 | ||||||
5.50%, 05/01/38 | 581 | 630 | ||||||
6.00%, 05/01/38 | 980,881 | 1,079,186 | ||||||
5.50%, 06/01/38 | 2,894 | 3,149 | ||||||
4.50%, 07/01/38 TBA | 12,000,000 | 12,414,372 | ||||||
5.00%, 07/01/38 TBA | 5,200,000 | 5,525,000 | ||||||
5.50%, 07/01/38 | 343,503 | 373,733 | ||||||
5.50%, 08/01/38 | 495,135 | 538,709 | ||||||
5.50%, 09/01/38 | 1,807 | 1,966 | ||||||
6.00%, 11/01/38 | 966,377 | 1,063,229 | ||||||
5.50%, 12/01/38 | 580,335 | 631,949 | ||||||
4.00%, 07/13/39 TBA | 34,000,000 | 34,000,000 | ||||||
4.50%, 08/01/39 | 225,975 | 235,612 | ||||||
5.50%, 08/01/39 | 172,673 | 186,898 | ||||||
4.50%, 09/01/39 | 181,082 | 188,804 | ||||||
4.50%, 10/01/39 | 89,007 | 92,802 | ||||||
4.50%, 12/01/39 | 176,565 | 184,095 | ||||||
6.00%, 12/01/39 | 3,559,650 | 3,916,405 | ||||||
5.50%, 05/01/40 | 5,100,000 | 5,521,945 | ||||||
1.70%, 06/01/40† | 85,386 | 86,852 | ||||||
4.50%, 07/13/40 TBA | 4,000,000 | 4,138,124 | ||||||
4.50%, 07/14/40 TBA | 15,900,000 | 16,449,043 | ||||||
3.50%, 09/01/40 | 939,194 | 899,297 | ||||||
1.70%, 10/01/40† | 258,266 | 262,731 | ||||||
2.70%, 11/01/40† | 46,048 | 47,986 | ||||||
3.50%, 01/01/41 | 996,115 | 953,800 | ||||||
3.50%, 02/01/41 | 8,977,204 | 8,595,853 | ||||||
3.50%, 03/01/41 | 996,747 | 954,406 | ||||||
3.50%, 07/01/41 TBA | 400,000 | 382,500 | ||||||
3.50%, 07/14/41 TBA | 3,000,000 | 2,868,750 | ||||||
Federal National Mortgage Association REMIC | ||||||||
0.00%, 08/25/21 IOW | 142 | 3,222 | ||||||
0.00%, 10/25/21 IOW | 208 | 4,269 | ||||||
0.79%, 05/25/30† | 864,660 | 865,006 | ||||||
0.64%, 10/18/30† | 37,269 | 37,269 | ||||||
0.01%, 07/25/33 IOW†@ | 174,703 | 1,839 | ||||||
0.00%, 04/25/34 IOW†@ | 305,918 | 5,632 | ||||||
0.01%, 06/25/34 IOW†@ | 413,242 | 3,137 | ||||||
6.31%, 10/25/40 IO† | 746,321 | 117,226 | ||||||
5.50%, 07/25/41 | 800,000 | 841,991 | ||||||
6.48%, 07/25/41 IO† | 1,000,000 | 155,020 | ||||||
Federal National Mortgage Association STRIP | ||||||||
5.00%, 01/25/38 IO | 390,002 | 82,682 |
See Notes to Financial Statements.
63
Table of Contents
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
FFCA Secured Lending Corporation | ||||||||
0.00%, 09/18/27 IO 144AW†@ | $ | 778,454 | $ | 28,052 | ||||
FHLMC Multifamily Structured Pass Through Certificates | ||||||||
0.00%, 02/25/18 IOW† | 5,540,000 | 446,449 | ||||||
1.23%, 01/25/20 IOW† | 3,911,304 | 257,850 | ||||||
1.41%, 04/25/20 IOW† | 1,118,647 | 83,762 | ||||||
1.84%, 06/25/20 IOW† | 1,182,214 | 118,509 | ||||||
1.69%, 08/25/20 IO† | 1,303,301 | 117,997 | ||||||
FHLMC Structured Pass-Through Securities | ||||||||
1.69%, 07/25/44† | 1,808,169 | 1,762,683 | ||||||
First Horizon Alternative Mortgage Securities | ||||||||
2.34%, 06/25/34† | 835,967 | 747,133 | ||||||
Fosse Master Issuer PLC | ||||||||
1.62%, 10/18/54 144A† | 2,850,000 | 2,846,104 | ||||||
GMAC Commercial Mortgage Securities, Inc. | ||||||||
6.28%, 11/15/39 | 1,091,428 | 1,098,895 | ||||||
GMAC Mortgage Corporation Loan Trust | ||||||||
3.11%, 06/25/34† | 323,698 | 319,789 | ||||||
Government National Mortgage Association | ||||||||
3.95%, 07/15/25 | 193,941 | 200,263 | ||||||
7.00%, 10/15/25 | 54,876 | 63,659 | ||||||
7.00%, 01/15/26 | 12,756 | 14,823 | ||||||
7.00%, 07/15/27 | 111,125 | 129,010 | ||||||
7.00%, 12/15/27 | 1,441 | 1,677 | ||||||
7.00%, 01/15/28 | 29,705 | 34,618 | ||||||
7.00%, 03/15/28 | 140,276 | 163,244 | ||||||
7.00%, 07/15/28 | 20,197 | 23,537 | ||||||
7.50%, 07/15/28 | 14,301 | 16,792 | ||||||
6.50%, 08/15/28 | 12,517 | 14,281 | ||||||
7.00%, 08/15/28 | 31,308 | 36,485 | ||||||
7.50%, 08/15/28 | 11,757 | 13,805 | ||||||
6.50%, 09/15/28 | 48,586 | 55,434 | ||||||
7.00%, 10/15/28 | 42,600 | 49,644 | ||||||
7.50%, 03/15/29 | 37,646 | 44,144 | ||||||
7.50%, 11/15/29 | 23,141 | 27,200 | ||||||
2.13%, 11/20/29† | 64,019 | 66,009 | ||||||
8.50%, 08/15/30 | 2,307 | 2,809 | ||||||
8.50%, 11/20/30 | 17,905 | 21,716 | ||||||
6.50%, 08/15/31 | 107,422 | 122,125 | ||||||
7.50%, 08/15/31 | 31,099 | 36,674 | ||||||
6.50%, 10/15/31 | 185,666 | 211,259 | ||||||
6.00%, 11/15/31 | 540,401 | 602,490 | ||||||
6.50%, 11/15/31 | 220,891 | 251,126 | ||||||
6.00%, 12/15/31 | 127,514 | 142,165 | ||||||
6.00%, 01/15/32 | 194,080 | 217,289 | ||||||
6.00%, 02/15/32 | 278,074 | 310,024 | ||||||
6.50%, 02/15/32 | 387,433 | 441,634 | ||||||
6.00%, 04/15/32 | 148,227 | 165,953 | ||||||
7.50%, 04/15/32 | 83,829 | 99,117 | ||||||
6.50%, 06/15/32 | 186,666 | 212,215 | ||||||
6.50%, 07/15/32 | 3,835 | 4,359 | ||||||
6.50%, 08/15/32 | 349,216 | 397,015 | ||||||
6.50%, 09/15/32 | 353,034 | 401,356 | ||||||
6.00%, 10/15/32 | 310,441 | 346,109 | ||||||
6.00%, 11/15/32 | 266,653 | 297,591 | ||||||
6.00%, 12/15/32 | 110,081 | 122,729 | ||||||
6.50%, 12/15/32 | 24,383 | 27,720 | ||||||
0.00%, 12/20/32 IOW† | 304,502 | 48,457 | ||||||
6.00%, 01/15/33 | 140,708 | 156,875 | ||||||
6.00%, 02/15/33 | 106,450 | 118,681 | ||||||
6.50%, 03/15/33 | 45,945 | 52,234 | ||||||
6.50%, 04/15/33 | 793,270 | 901,848 | ||||||
6.00%, 05/15/33 | 572,476 | 638,252 | ||||||
6.00%, 06/15/33 | 82,745 | 92,252 | ||||||
6.00%, 10/15/33 | 407,545 | 454,370 | ||||||
6.50%, 10/15/33 | 195,590 | 222,362 | ||||||
6.00%, 12/15/33 | 397,414 | 443,075 | ||||||
0.00%, 07/20/34 IOW† | 249,696 | 39,103 | ||||||
6.50%, 08/15/34 | 688,558 | 816,981 | ||||||
0.00%, 02/20/35 IOW† | 495,124 | 83,357 | ||||||
0.00%, 07/20/35 IOW† | 518,385 | 78,025 | ||||||
0.00%, 08/20/35 IOW† | 599,957 | 79,243 | ||||||
0.00%, 11/16/35 IOW† | 632,330 | 97,096 | ||||||
0.00%, 02/16/36 IOW† | 1,272,642 | 218,114 | ||||||
0.00%, 08/16/36 IOW† | 668,785 | 124,038 | ||||||
6.51%, 12/16/36 IO† | 398,133 | 79,167 | ||||||
0.49%, 03/20/37† | 2,324,220 | 2,310,652 | ||||||
0.00%, 05/16/37 IOW† | 615,005 | 88,395 | ||||||
0.49%, 05/20/37† | 986,272 | 980,504 | ||||||
0.00%, 11/16/37 IOW† | 421,448 | 59,194 | ||||||
5.00%, 07/01/38 TBA | 4,000,000 | 4,332,500 | ||||||
5.50%, 07/01/38 TBA | 800,000 | 879,250 | ||||||
6.00%, 07/01/38 TBA | 600,000 | 663,000 | ||||||
6.36%, 10/20/38 IO† | 487,357 | 87,355 | ||||||
6.36%, 11/20/38 IO† | 570,095 | 103,038 | ||||||
5.50%, 01/15/39 | 147,340 | 162,305 | ||||||
0.00%, 03/20/39 IOW† | 263,804 | 47,701 | ||||||
6.56%, 04/16/39 IO† | 179,929 | 28,433 | ||||||
5.91%, 06/20/39 IO† | 581,596 | 104,564 | ||||||
5.00%, 07/01/39 TBA | 2,400,000 | 2,602,874 | ||||||
0.00%, 08/20/39 IOW† | 873,341 | 146,017 | ||||||
0.00%, 10/20/39 IOW† | 1,343,460 | 232,163 | ||||||
6.46%, 01/20/40 IO† | 319,405 | 58,717 | ||||||
0.00%, 02/16/40 IOW† | 307,989 | 50,000 | ||||||
4.50%, 03/15/40 | 726,032 | 767,703 | ||||||
4.50%, 07/01/40 TBA | 24,700,000 | 26,027,326 | ||||||
0.00%, 07/16/40 IOW† | 829,348 | 138,751 | ||||||
5.00%, 07/20/40 | 92,064 | 100,057 | ||||||
6.38%, 07/20/40 IO† | 267,364 | 52,465 | ||||||
5.00%, 08/20/40 | 1,301,658 | 1,414,671 | ||||||
0.00%, 09/20/40 IOW† | 285,950 | 43,318 | ||||||
5.00%, 09/20/40 | 366,257 | 398,056 | ||||||
5.86%, 09/20/40† | 390,908 | 61,357 | ||||||
5.86%, 11/20/40 IO† | 541,973 | 100,204 | ||||||
3.50%, 01/15/41 | 485,448 | 471,947 | ||||||
0.00%, 03/16/41 IOW† | 195,236 | 34,804 | ||||||
5.21%, 06/20/41 IO† | 600,000 | 95,058 | ||||||
4.00%, 07/01/41 TBA | 300,000 | 305,578 | ||||||
4.50%, 07/01/41 TBA | 3,000,000 | 3,157,032 | ||||||
0.61%, 12/20/60† | 536,518 | 534,640 | ||||||
0.69%, 03/20/61† | 597,042 | 594,307 | ||||||
0.71%, 03/20/61† | 397,042 | 395,911 | ||||||
Granite Mortgages PLC | ||||||||
1.72%, 01/20/44(E)† | 317,011 | 443,396 | ||||||
Greenpoint Mortgage Funding Trust | ||||||||
0.37%, 01/25/37† | 1,177,866 | 691,480 | ||||||
GS Mortgage Securities Corporation II | ||||||||
4.68%, 07/10/39 | 954,008 | 991,494 |
See Notes to Financial Statements.
64
Table of Contents
Par | Value | |||||||
5.56%, 11/10/39 | $ | 1,200,000 | $ | 1,300,374 | ||||
5.99%, 08/01/45† | 1,600,000 | 1,717,760 | ||||||
GSMPS Mortgage Loan Trust | ||||||||
0.42%, 02/25/35 144A† | 178,347 | 150,187 | ||||||
0.54%, 09/25/35 144A† | 1,884,853 | 1,585,780 | ||||||
GSR Mortgage Loan Trust | ||||||||
2.79%, 09/25/35† | 740,784 | 704,066 | ||||||
Holmes Master Issuer PLC | ||||||||
1.68%, 10/15/54 144A† | 500,000 | 500,859 | ||||||
Impac CMB Trust | ||||||||
0.91%, 10/25/34† | 102,557 | 65,301 | ||||||
0.45%, 11/25/35† | 1,013,457 | 562,540 | ||||||
Impac Secured Assets CMN Owner Trust | ||||||||
0.44%, 03/25/36† | 721,560 | 331,999 | ||||||
Indymac ARM Trust | ||||||||
1.93%, 01/25/32† | 14,992 | 12,380 | ||||||
Indymac INDA Mortgage Loan Trust | ||||||||
5.84%, 11/25/37† | 500,632 | 402,624 | ||||||
Indymac Index Mortgage Loan Trust | ||||||||
0.49%, 07/25/35† | 1,865,818 | 1,208,201 | ||||||
0.41%, 04/25/46† | 782,049 | 434,024 | ||||||
0.38%, 09/25/46† | 1,340,703 | 796,045 | ||||||
JP Morgan Alternative Loan Trust | ||||||||
0.45%, 01/25/36† | 584,306 | 413,911 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corporation | ||||||||
4.90%, 09/12/37 | 1,270,000 | 1,366,686 | ||||||
JP Morgan Mortgage Trust | ||||||||
5.01%, 02/25/35† | 525,167 | 520,564 | ||||||
2.77%, 07/25/35† | 385,693 | 325,104 | ||||||
2.97%, 07/25/35† | 411,107 | 385,407 | ||||||
2.97%, 07/25/35† | 422,093 | 399,588 | ||||||
LB-UBS Commercial Mortgage Trust | ||||||||
4.66%, 07/15/30 | 720,638 | 751,296 | ||||||
4.95%, 09/15/30 | 400,000 | 432,213 | ||||||
0.00%, 06/15/36 IO 144AW†@ | 1,528,105 | 457 | ||||||
5.37%, 09/15/39 | 1,650,000 | 1,794,644 | ||||||
5.42%, 02/15/40 | 2,200,000 | 2,371,088 | ||||||
5.87%, 09/15/45† | 1,100,000 | 1,196,090 | ||||||
Luminent Mortgage Trust | ||||||||
0.36%, 12/25/36† | 3,128,930 | 1,932,574 | ||||||
0.39%, 02/25/46† | 924,527 | 552,812 | ||||||
MASTR Adjustable Rate Mortgages Trust | ||||||||
2.62%, 05/25/34† | 288,128 | 231,476 | ||||||
2.69%, 11/25/35 144A† | 1,051,293 | 593,453 | ||||||
0.39%, 05/25/47† | 2,888,785 | 1,517,476 | ||||||
MASTR Reperforming Loan Trust | ||||||||
7.00%, 08/25/34 144A | 683,401 | 699,137 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust | ||||||||
6.16%, 08/12/49† | 300,000 | 328,434 | ||||||
MLCC Mortgage Investors, Inc. | ||||||||
0.82%, 11/25/29† | 394,420 | 367,387 | ||||||
NCUA Guaranteed Notes | ||||||||
0.59%, 03/11/20† | 849,708 | 851,102 | ||||||
2.90%, 10/29/20 | 1,180,000 | 1,177,796 | ||||||
Nomura Asset Acceptance Corporation | ||||||||
6.50%, 03/25/34 144A | 112,858 | 114,431 | ||||||
6.50%, 10/25/34 144A† | 118,644 | 119,598 | ||||||
Permanent Master Issuer PLC | ||||||||
1.67%, 07/15/42 144A† | 1,000,000 | 998,996 | ||||||
2.62%, 07/15/42 144A(E)† | 1,100,000 | 1,597,811 | ||||||
Prime Mortgage Trust | ||||||||
5.50%, 05/25/35 144A | 5,287,477 | 4,695,070 | ||||||
6.00%, 05/25/35 144A | 3,550,334 | 3,283,611 | ||||||
Sequoia Mortgage Trust | ||||||||
0.79%, 07/20/33† | 229,508 | 220,587 | ||||||
Silverstone Master Issuer PLC | ||||||||
1.67%, 01/21/55 144A† | 1,200,000 | 1,199,997 | ||||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||||
0.53%, 08/25/35† | 469,806 | 374,336 | ||||||
Structured Asset Mortgage Investments, Inc. | ||||||||
0.44%, 07/19/35† | 204,653 | 142,273 | ||||||
Structured Asset Securities Corporation | ||||||||
0.54%, 06/25/35 144A† | 237,948 | 193,724 | ||||||
Wachovia Bank Commercial Mortgage Trust | ||||||||
5.38%, 10/15/44† | 1,000,000 | 1,090,413 | ||||||
Washington Mutual Mortgage Pass-Through Certificates | ||||||||
2.58%, 02/25/33† | 17,045 | 14,653 | ||||||
3.41%, 12/25/36† | 609,481 | 456,631 | ||||||
5.41%, 02/25/37† | 964,632 | 632,547 | ||||||
5.64%, 02/25/37† | 623,532 | 457,434 | ||||||
1.68%, 06/25/42† | 36,367 | 28,862 | ||||||
0.48%, 07/25/45† | 373,664 | 302,713 | ||||||
0.48%, 07/25/45† | 747,328 | 605,426 | ||||||
0.51%, 07/25/45† | 698,562 | 573,508 | ||||||
0.48%, 10/25/45† | 1,376,205 | 1,126,620 | ||||||
1.04%, 04/25/47† | 1,400,197 | 978,494 | ||||||
Wells Fargo Alternative Loan Trust | ||||||||
6.07%, 12/28/37† | 1,783,072 | 1,309,712 | ||||||
Wells Fargo Mortgage-Backed Securities Trust | ||||||||
2.81%, 10/25/35† | 527,690 | 510,157 | ||||||
|
| |||||||
Total Mortgage-Backed Securities | 366,680,978 | |||||||
|
| |||||||
MUNICIPAL BONDS — 2.7% | ||||||||
American Municipal Power, Inc. Series E Revenue Bond | ||||||||
6.27%, 02/15/50 | 250,000 | 250,648 | ||||||
Birmingham Commercial Development Authority, Civic Center Improvements Project, Series A General Obligation | ||||||||
5.50%, 04/01/41 | 30,000 | 30,387 | ||||||
Chicago O’Hare International Airport, Series A Revenue Bond | ||||||||
5.63%, 01/01/35 | 40,000 | 40,929 | ||||||
Chicago O’Hare International Airport, Series C Revenue Bond | ||||||||
5.50%, 01/01/31 | 80,000 | 81,899 |
See Notes to Financial Statements.
65
Table of Contents
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
Chicago Transit Authority, Series A Revenue Bond | ||||||||
6.90%, 12/01/40 | $ | 1,800,000 | $ | 1,919,178 | ||||
Clark County Nevada, Las-Vegas-McCarran International Airport, Series A Revenue Bond | ||||||||
5.25%, 07/01/39 | 50,000 | 49,421 | ||||||
Dallas Area Rapid Transit | ||||||||
5.25%, 12/01/48 | 150,000 | 154,156 | ||||||
Illinois Finance Authority, Series B Revenue Bond | ||||||||
5.75%, 07/01/33 | 1,800,000 | 1,943,658 | ||||||
Illinois State, Taxable Pension General Obligation Bond | ||||||||
5.67%, 03/01/18 | 300,000 | 311,496 | ||||||
5.88%, 03/01/19 | 310,000 | 318,950 | ||||||
Los Angeles Department of Airports of the city of Los Angeles, California, Series A Revenue Bond | ||||||||
5.00%, 05/15/35 | 70,000 | 69,802 | ||||||
5.25%, 05/15/39 | 50,000 | 51,160 | ||||||
Los Angeles Department of Water & Power, Build America Revenue Bonds | ||||||||
6.57%, 07/01/45 | 200,000 | 224,396 | ||||||
Metropolitan Atlanta Rapid Transit Authority, Sales Tax, Series A-3 Revenue Bond | ||||||||
5.00%, 07/01/39 | 50,000 | 49,627 | ||||||
Municipal Electric Authority of Georgia, Series B Revenue Bond | ||||||||
6.64%, 04/01/57 | 230,000 | 220,722 | ||||||
6.66%, 04/01/57 | 130,000 | 122,689 | ||||||
New York Liberty Development Corporation, Goldman Sachs Headquarters, Series 2005 Revenue Bond | ||||||||
5.25%, 10/01/35 | 170,000 | 168,604 | ||||||
Pennsylvania Higher Education Assistance Agency, Student Loan, Sub-Series HH-10 Revenue Bond | ||||||||
0.18%, 05/01/46† | 2,350,000 | 2,079,774 | ||||||
San Mateo County Community College District, Election 2005, Series B General Obligation | ||||||||
5.00%, 09/01/38 | 20,000 | 20,089 | ||||||
South Carolina Transportation Infrastructure Bank, Series A Revenue Bond (AMBAC Insured) | ||||||||
5.00%, 10/01/23 | 2,700,000 | 2,708,802 | ||||||
State of California General Obligation Bond | ||||||||
7.50%, 04/01/34 | 525,000 | 594,300 | ||||||
7.95%, 03/01/36 | 165,000 | 179,939 | ||||||
7.55%, 04/01/39 | 475,000 | 544,046 | ||||||
7.30%, 10/01/39 | 360,000 | 399,506 | ||||||
7.63%, 03/01/40 | 775,000 | 892,963 | ||||||
State of Illinois General Obligation Bond | ||||||||
3.32%, 01/01/13 | 6,500,000 | 6,627,010 | ||||||
4.42%, 01/01/15 | 1,400,000 | 1,436,414 | ||||||
7.35%, 07/01/35 | 400,000 | 425,688 | ||||||
State of Illinois, Series B General Obligation Bond | ||||||||
3.10%, 10/01/33† | 1,100,000 | 1,100,000 | ||||||
Virginia State Housing Development Authority, Commonwealth Mortgage, Series H-1 Revenue Bond (NATL-RE Insured) | ||||||||
5.38%, 07/01/36 | 1,000,000 | 1,000,250 | ||||||
|
| |||||||
Total Municipal Bonds | 24,016,503 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 9.0% | ||||||||
U.S. Treasury Bills | ||||||||
0.16%, 08/18/11‡‡ | 887,000 | 886,981 | ||||||
0.04%, 09/15/11‡‡ | 364,000 | 363,992 | ||||||
0.04%, 09/22/11W‡‡ | 58,000 | 57,998 | ||||||
|
| |||||||
1,308,971 | ||||||||
|
| |||||||
U.S. Treasury Bonds | ||||||||
7.50%, 11/15/24D | 800,000 | 1,126,750 | ||||||
4.38%, 02/15/38D‡‡ | 400,000 | 402,688 | ||||||
4.38%, 11/15/39D | 10,940,000 | 10,946,838 | ||||||
4.38%, 05/15/40D | 1,190,000 | 1,189,448 | ||||||
|
| |||||||
13,665,724 | ||||||||
|
| |||||||
U.S. Treasury Inflationary Index Bonds | ||||||||
1.13%, 01/15/21D‡‡ | 8,000,000 | 8,547,072 | ||||||
2.38%, 01/15/25D‡‡ | 1,140,000 | 1,565,167 | ||||||
2.38%, 01/15/27D‡‡ | 2,180,000 | 2,776,341 | ||||||
1.75%, 01/15/28‡‡ | 3,000 | 3,375 | ||||||
3.88%, 04/15/29D‡‡ | 3,068,000 | 5,757,975 | ||||||
2.13%, 02/15/40D | 950,000 | 1,077,658 | ||||||
2.13%, 02/15/40D | 2,150,000 | 2,403,351 | ||||||
|
| |||||||
22,130,939 | ||||||||
|
| |||||||
U.S. Treasury Notes | ||||||||
1.00%, 09/30/11 | 9,600,000 | 9,624,000 | ||||||
1.38%, 02/15/13D | 70,000 | 71,124 | ||||||
0.50%, 05/31/13 | 40,000 | 40,048 | ||||||
1.25%, 02/15/14 | 350,000 | 355,195 | ||||||
1.25%, 04/15/14D | 120,000 | 121,706 | ||||||
1.75%, 05/31/16D | 2,340,000 | 2,344,018 | ||||||
1.50%, 06/30/16 | 410,000 | 405,067 | ||||||
2.88%, 03/31/18D | 1,000,000 | 1,030,313 | ||||||
2.63%, 04/30/18 | 2,170,000 | 2,197,464 | ||||||
2.63%, 08/15/20 | 4,900,000 | 4,743,813 | ||||||
2.63%, 11/15/20D | 270,000 | 260,086 | ||||||
3.63%, 02/15/21D | 8,790,000 | 9,167,012 | ||||||
3.13%, 05/15/21D‡‡ | 3,260,000 | 3,251,348 | ||||||
3.88%, 08/15/40 | 2,400,000 | 2,197,874 | ||||||
4.25%, 11/15/40D | 200,000 | 195,531 | ||||||
4.75%, 02/15/41D | 3,610,000 | 3,837,881 | ||||||
4.38%, 05/15/41D | 1,690,000 | 1,687,627 | ||||||
|
| |||||||
41,530,107 | ||||||||
|
| |||||||
Total U.S. Treasury Obligations | 78,635,741 | |||||||
|
| |||||||
Shares | ||||||||
COMMON STOCKS — 0.0% | ||||||||
Financial Services — 0.0% | ||||||||
Holdco, Cl A+ | 14,317 | 19,454 | ||||||
Holdco, Cl B+ | 128,860 | 175,095 | ||||||
|
| |||||||
194,549 | ||||||||
|
|
See Notes to Financial Statements.
66
Table of Contents
Shares | Value | |||||||
Producer Durables — 0.0% | ||||||||
Nortek, Inc.* | 1,076 | $ | 38,693 | |||||
|
| |||||||
Total Common Stocks | 233,242 | |||||||
|
| |||||||
PREFERRED STOCKS — 0.3% | ||||||||
Federal Home Loan Mortgage Corporation | 1,550 | 4,557 | ||||||
Federal National Mortgage Association | 9,000 | 22,105 | ||||||
Wells Fargo & Co. | 2,400 | 2,544,000 | ||||||
|
| |||||||
Total Preferred Stocks | 2,570,662 | |||||||
|
| |||||||
Par | ||||||||
REPURCHASE AGREEMENTS — 16.9% | ||||||||
Barclays Capital, Inc. | ||||||||
0.06% (dated 07/01/11, due 07/05/11, repurchase price $21,800,145, collateralized by Federal Home Loan Mortgage Corporation, 4.500%, due 01/01/41, total market value $22,577,582) | $ | 21,800,000 | 21,800,000 | |||||
Morgan Stanley & Co., Inc. | ||||||||
0.06% (dated 07/01/11, due 07/05/11, repurchase price $36,500,243, collateralized by Federal Home Loan Mortgage Corporation, 0.625%, due 12/28/12, total market value $37,355,939) | 36,500,000 | 36,500,000 | ||||||
Morgan Stanley & Co., Inc. | ||||||||
0.06% (dated 07/01/11, due 07/05/11, repurchase price $16,000,107, collateralized by Federal National Mortgage Association, 0.500%, due 10/30/12, total market value $16,333,135) | 16,000,000 | 16,000,000 | ||||||
RBS Securities, Inc. | ||||||||
0.03% (dated 06/30/11, due 07/01/11, repurchase price $53,777,045, collateralized by Federal National Mortgage Association, 4.625%, due 10/15/13, total market value $54,995,071) | 53,777,000 | 53,777,000 | ||||||
RBS Securities, Inc. | ||||||||
0.03% (dated 06/30/11, due 07/01/11, repurchase price $20,523,017, collateralized by Federal National Mortgage Association, 4.625%, due 10/15/13, total market value $20,991,619) | 20,523,000 | 20,523,000 | ||||||
|
| |||||||
Total Repurchase Agreements | 148,600,000 | |||||||
|
| |||||||
Shares | ||||||||
MONEY MARKET FUNDS — 19.0% |
| |||||||
GuideStone Money Market Fund (GS4 Class)¥ | 67,866,340 | 67,866,340 | ||||||
Northern Institutional Liquid Assets Portfolio§ | 98,995,617 | 98,995,617 | ||||||
|
| |||||||
Total Money Market Funds | 166,861,957 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 141.7% | 1,244,500,160 | |||||||
|
| |||||||
Number of Contracts | ||||||||
WRITTEN OPTIONS — 0.0% | ||||||||
Call Options — 0.0% | ||||||||
5-Year U.S. Treasury Note Futures, Strike Price $120.00, Expires 07/22/11 (CITIG) | (8 | ) | (1,812 | ) | ||||
September 2011 90-Day Eurodollar Futures, Strike Price $99.375, Expires 09/19/11 (JPM) | (38 | ) | (29,450 | ) | ||||
|
| |||||||
(31,262 | ) | |||||||
|
| |||||||
Put Options — 0.0% | ||||||||
5-Year U.S. Treasury Note Futures, Strike Price $118.00, Expires 07/22/11 (CITIG) | (13 | ) | (2,438 | ) | ||||
September 2011 90-Day Eurodollar Futures, Strike Price $99.375, Expires 09/19/11 (JPM) | (38 | ) | (2,850 | ) | ||||
Notional Amount | ||||||||
U.S. Dollar vs. Canadian Dollar, Strike Price $0.93, Expires 08/03/11 (CITI) | $ | (500,000 | ) | (3,825 | ) | |||
|
| |||||||
(9,113 | ) | |||||||
|
| |||||||
Put Swaptions — 0.0% | ||||||||
3-Month LIBOR, Strike Price $10.00, Expires 07/10/12 (BAR) | (300,000 | ) | (5 | ) | ||||
3-Month LIBOR, Strike Price $10.00, Expires 07/10/12 (CS) | (100,000 | ) | (2 | ) | ||||
3-Month LIBOR, Strike Price $10.00, Expires 07/10/12 (DEUT) | (500,000 | ) | (9 | ) | ||||
3-Month LIBOR, Strike Price $10.00, Expires 07/10/12 (MSCS) | (5,600,000 | ) | (97 | ) | ||||
3-Month LIBOR, Strike Price $2.25, Expires 06/19/12 (RBS) | (3,700,000 | ) | (15,713 | ) | ||||
3-Month LIBOR, Strike Price $2.25, Expires 09/24/12 (CITI) | (900,000 | ) | (4,270 | ) | ||||
3-Month LIBOR, Strike Price $2.25, Expires 09/24/12 (UBS) | (400,000 | ) | (1,898 | ) | ||||
3-Month LIBOR, Strike Price $2.75, Expires 06/18/12 (DEUT) | (3,900,000 | ) | (16,562 | ) | ||||
3-Month LIBOR, Strike Price $3.00, Expires 06/18/12 (BAR) | (800,000 | ) | (2,578 | ) |
See Notes to Financial Statements.
67
Table of Contents
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Notional Amount | Value | |||||||
3-Month LIBOR, Strike Price $3.00, Expires 06/18/12 (DEUT) | $ | (700,000 | ) | $ | (2,255 | ) | ||
|
| |||||||
(43,389 | ) | |||||||
|
| |||||||
Total Written Options | (83,764 | ) | ||||||
|
| |||||||
Par | ||||||||
TBA SALE COMMITMENTS — (1.2)% | ||||||||
Federal Home Loan Mortgage Corporation | ||||||||
5.50%, 07/01/39 TBA | $ | (1,000,000 | ) | (1,080,156 | ) | |||
Federal National Mortgage Association | ||||||||
3.50%, 07/01/41 TBA | (8,000,000 | ) | (7,650,000 | ) | ||||
3.50%, 08/01/41 TBA | (2,000,000 | ) | (1,907,500 | ) | ||||
|
| |||||||
Total TBA Sale Commitments | (10,637,656 | ) | ||||||
|
| |||||||
Liabilities in Excess of Other | (355,458,774 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 878,319,966 | ||||||
|
|
Please see abbreviation and footnote definitions beginning on page 130.
See Notes to Financial Statements.
68
Table of Contents
Swap agreements outstanding at June 30, 2011:
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 |
| |||||||||||||||||||||||||||||||
Target Corporation, 5.88% due 03/01/12 | (0.11 | )% | 06/20/12 | MSCS | USD | $ | 1,200,000 | $ | 339 | $ | — | $ | 339 | |||||||||||||||||||
CitiFinancial, 6.63% due 06/01/15 | (0.15 | )% | 06/20/15 | BAR | USD | 300,000 | 10,993 | — | 10,993 | |||||||||||||||||||||||
Nabors Industries, 5.375% due 05/15/12 | (1.00 | )% | 03/20/19 | BNP | USD | 3,900,000 | 101,864 | 10,359 | 91,505 | |||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 5,400,000 | $ | 113,196 | $ | 10,359 | $ | 102,837 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
Reference Obligation | Implied Credit Spread | 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 — Sell Protection |
| |||||||||||||||||||||||||||||||||||
Federated Republic of Brazil, 12.25% due 03/06/30 | 1.21 | % | (1.04 | )% | 05/20/17 | DEUT | USD | $ | 1,000,000 | $ | (7,841 | ) | $ | — | $ | (7,841 | ) | |||||||||||||||||||
GMAC LLC, 6.88% due 08/28/12 | 3.57 | % | (3.53 | )% | 09/20/17 | DEUT | USD | 4,100,000 | (4,087 | ) | — | (4,087 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||
$ | 5,100,000 | $ | (11,928 | ) | $ | — | $ | (11,928 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
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 HY-8 Index | 1.60 | % | 06/20/12 | MLCS | USD | $ | 1,200,000 | $ | (18,767 | ) | $ | — | $ | (18,767 | ) | |||||||||||||||||
Dow Jones CDX IG14 5Y Index | 1.00 | % | 06/20/15 | UBS | USD | 3,900,000 | (45,678 | ) | (14,736 | ) | (30,942 | ) | ||||||||||||||||||||
Dow Jones CDX HY15 Index | 5.00 | % | 12/20/15 | CITI | USD | 2,200,000 | (72,154 | ) | (71,627 | ) | (527 | ) | ||||||||||||||||||||
Dow Jones CDX IG15 5Y Index | 1.00 | % | 12/20/15 | MSCS | USD | 1,200,000 | (11,364 | ) | (7,811 | ) | (3,553 | ) | ||||||||||||||||||||
Dow Jones CDX IG9 Index | 0.80 | % | 12/20/17 | RBS | USD | 7,163,200 | 210,581 | 70,484 | 140,097 | |||||||||||||||||||||||
Dow Jones CDX IG10 Index | 1.50 | % | 06/20/18 | MSCS | USD | 7,356,800 | (81,641 | ) | (208,042 | ) | 126,401 | |||||||||||||||||||||
Dow Jones CDX HY16 Index | (1.00 | )% | 06/20/21 | DEUT | USD | 2,500,000 | (98,329 | ) | (75,514 | ) | (22,815 | ) | ||||||||||||||||||||
Dow Jones CDX HY16 Index | (1.00 | )% | 06/20/21 | DEUT | USD | 2,500,000 | (98,329 | ) | (72,789 | ) | (25,540 | ) | ||||||||||||||||||||
Dow Jones CDX HY16 Index | (1.00 | )% | 06/20/21 | DEUT | USD | 2,500,000 | (98,329 | ) | (68,755 | ) | (29,574 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 30,520,000 | $ | (314,010 | ) | $ | (448,790 | ) | $ | 134,780 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
Reference Obligation | Fixed Deal (Pay) Rate | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
Interest Rate Swaps | ||||||||||||||||||||||||||||||||
KWCDC Index | 3.62 | % | 07/06/11 | DEUT | KRW | $ | 964,630,000 | $ | 511 | $ | — | $ | 511 | |||||||||||||||||||
KWCDC Index | 3.63 | % | 07/07/11 | DEUT | KRW | 1,611,662,000 | 865 | — | 865 | |||||||||||||||||||||||
KWCDC Index | 3.66 | % | 07/08/11 | JPM | KRW | 766,531,000 | 946 | — | 946 | |||||||||||||||||||||||
3-Month BRL BRR CDI Index | (10.12 | )% | 01/02/12 | MSCS | BRL | 8,000,000 | (194,754 | ) | (16,146 | ) | (178,608 | ) | ||||||||||||||||||||
Brazil CETIP Interbank Deposit | 11.02 | % | 01/02/12 | UBS | BRL | 1,600,000 | 11,149 | — | 11,149 |
See Notes to Financial Statements.
69
Table of Contents
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Reference Obligation | Fixed Deal (Pay) Rate | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
Brazil CETIP Interbank Deposit | 11.67 | % | 02/02/12 | MSCS | BRL | $ | 2,300,000 | $ | 42,427 | $ | 4,657 | $ | 37,770 | |||||||||||||||||||
Brazil CETIP Interbank Deposit | 12.59 | % | 01/02/13 | MSCS | BRL | 6,000,000 | 58,261 | 4,662 | 53,599 | |||||||||||||||||||||||
Brazil CETIP Interbank Deposit | 11.91 | % | 01/02/13 | BAR | BRL | 15,400,000 | 60,649 | 44,462 | 16,187 | |||||||||||||||||||||||
Brazil CETIP Interbank Deposit | 12.51 | % | 01/02/13 | UBS | BRL | 1,600,000 | — | (1,301 | ) | 1,301 | ||||||||||||||||||||||
Brazil CETIP Interbank Deposit | 12.48 | % | 01/02/13 | CS | BRL | 20,500,000 | 169,934 | (2,537 | ) | 172,471 | ||||||||||||||||||||||
MXN-TIIE- Banxico | 6.50 | % | 03/05/13 | MSCS | MXN | 15,600,000 | 10,849 | (611 | ) | 11,460 | ||||||||||||||||||||||
3-Month LIBOR | (0.75 | )% | 06/30/13 | JPM | USD | 42,700,000 | 6,312 | (25,609 | ) | 31,921 | ||||||||||||||||||||||
Brazil CETIP Interbank Deposit | 11.99 | % | 01/02/14 | BAR | BRL | 1,700,000 | 5,440 | 360 | 5,080 | |||||||||||||||||||||||
Brazil CETIP Interbank Deposit | 11.94 | % | 01/02/14 | HSBC | BRL | 14,400,000 | (23,065 | ) | 36,983 | (60,048 | ) | |||||||||||||||||||||
Brazil CETIP Interbank Deposit | 12.12 | % | 01/02/14 | HSBC | BRL | 15,600,000 | 91,858 | 22,921 | 68,937 | |||||||||||||||||||||||
3-Month LIBOR | (2.12 | )% | 11/23/14 | BOA | USD | 6,800,000 | (28,812 | ) | — | (28,812 | ) | |||||||||||||||||||||
3-Month LIBOR | (2.50 | )% | 12/21/16 | DEUT | USD | 1,800,000 | (8,382 | ) | (26,454 | ) | 18,072 | |||||||||||||||||||||
3-Month LIBOR | 2.50 | % | 12/21/16 | DEUT | USD | 900,000 | 4,929 | 16,997 | (12,068 | ) | ||||||||||||||||||||||
3-Month LIBOR | 2.50 | % | 12/21/16 | DEUT | USD | 2,300,000 | 12,984 | 46,391 | (33,407 | ) | ||||||||||||||||||||||
3-Month LIBOR | (2.08 | )% | 08/15/17 | BOA | USD | 2,600,000 | 31,111 | — | 31,111 | |||||||||||||||||||||||
6-Month BBR BBSW Index | 5.50 | % | 12/15/17 | BAR | AUD | 2,200,000 | (13,902 | ) | (9,808 | ) | (4,094 | ) | ||||||||||||||||||||
6-Month BBR BBSW Index | 5.50 | % | 12/15/17 | DEUT | AUD | 1,300,000 | (8,215 | ) | (5,178 | ) | (3,037 | ) | ||||||||||||||||||||
3-Month LIBOR | (3.25 | )% | 12/21/18 | DEUT | USD | 5,100,000 | (88,342 | ) | (155,399 | ) | 67,057 | |||||||||||||||||||||
3-Month LIBOR | 3.59 | % | 11/23/19 | BOA | USD | 6,100,000 | 15,563 | — | 15,563 | |||||||||||||||||||||||
3-Month LIBOR | 2.56 | % | 10/20/20 | DEUT | USD | 2,800,000 | (124,860 | ) | — | (124,860 | ) | |||||||||||||||||||||
3-Month LIBOR | 3.50 | % | 12/21/21 | JPM | USD | 2,300,000 | 1,735 | 32,904 | (31,169 | ) | ||||||||||||||||||||||
3-Month LIBOR | 4.48 | % | 07/01/24 | BOA | USD | 3,600,000 | (19,647 | ) | — | (19,647 | ) | |||||||||||||||||||||
3-Month LIBOR | (4.00 | )% | 12/21/26 | DEUT | USD | 3,400,000 | (32,364 | ) | (107,826 | ) | 75,462 | |||||||||||||||||||||
3-Month LIBOR | (4.21 | )% | 11/23/27 | BOA | USD | 2,200,000 | 7,210 | — | 7,210 | |||||||||||||||||||||||
3-Month LIBOR | (4.60 | )% | 07/01/44 | BOA | USD | 2,000,000 | 14,769 | — | 14,769 | |||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 3,533,623,000 | $ | 5,159 | $ | (140,532 | ) | $ | 145,691 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total Swap agreements outstanding at June 30, 2011 |
| $ | (207,583 | ) | $ | (578,963 | ) | $ | 371,380 | |||||||||||||||||||||||
|
|
|
|
|
|
Please see abbreviation and footnote definitions beginning on page 130.
See Notes to Financial Statements.
70
Table of Contents
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Futures Contracts | 42.5 | |||
Mortgage-Backed Securities | 41.8 | |||
Corporate Bonds | 21.4 | |||
Money Market Funds | 19.0 | |||
Foreign Bonds | 18.6 | |||
Repurchase Agreements | 16.9 | |||
U.S. Treasury Obligations | 9.0 | |||
Agency Obligations | 7.3 | |||
Asset-Backed Securities | 4.7 | |||
Municipal Bonds | 2.7 | |||
Preferred Stocks | 0.3 | |||
Swap Agreements | — | ** | ||
Loan Agreement | — | ** | ||
Common Stocks | — | ** | ||
Written Options | — | ** | ||
TBA Sale Commitments | (1.2 | ) | ||
Forward Foreign Currency Contracts | (2.8 | ) | ||
|
| |||
180.2 | ||||
|
|
** Rounds to less than 0.005%.
See Notes to Financial Statements.
71
Table of Contents
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2011, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Agency Obligations | $ | 64,262,413 | $ | — | $ | 64,262,413 | $ | — | ||||||||
Asset-Backed Securities | 41,282,508 | — | 41,282,508 | — | ||||||||||||
Common Stocks | 233,242 | 38,693 | — | 194,549 | ||||||||||||
Corporate Bonds | 188,165,099 | — | 188,165,099 | — | ||||||||||||
Foreign Bonds | 163,173,556 | — | 163,173,556 | — | ||||||||||||
Loan Agreement | 17,501 | — | 17,501 | — | ||||||||||||
Money Market Funds | 166,861,957 | 166,861,957 | — | — | ||||||||||||
Mortgage-Backed Securities | 366,680,978 | — | 366,680,975 | 3 | ||||||||||||
Municipal Bonds | 24,016,503 | — | 24,016,503 | — | ||||||||||||
Preferred Stocks | 2,570,662 | — | 2,570,662 | — | ||||||||||||
Repurchase Agreements | 148,600,000 | — | 148,600,000 | — | ||||||||||||
U.S. Treasury Obligations | 78,635,741 | — | 78,635,741 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 1,244,500,160 | $ | 166,900,650 | $ | 1,077,404,958 | $ | 194,552 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | 72,824 | $ | 72,824 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 72,824 | $ | 72,824 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
TBA Sale Commitments | $ | (10,637,656 | ) | $ | — | $ | (10,637,656 | ) | $ | — | ||||||
Written Options | (83,764 | ) | (36,550 | ) | (47,214 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities — Investments in Securities | $ | (10,721,420 | ) | $ | (36,550 | ) | $ | (10,684,870 | ) | $ | — | |||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Forward Foreign Currency Contracts | $ | (346,114 | ) | $ | — | $ | (346,114 | ) | $ | — | ||||||
Swap Agreements | (207,583 | ) | — | (207,583 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities — Other Financial Instruments | $ | (553,697 | ) | $ | — | $ | (553,697 | ) | $ | — | ||||||
|
|
|
|
|
|
|
|
*** | 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.
72
Table of Contents
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:
Total Value | Common Stocks | Mortgage-Backed Securities | ||||||||||
Balance, 12/31/10 | $ | 369,013 | $ | 267,860 | $ | 101,153 | ||||||
Accrued discounts/premiums | — | — | — | |||||||||
Realized gain (loss)(1) | — | — | — | |||||||||
Change in unrealized appreciation (depreciation)(2) | (73,308 | ) | (73,311 | ) | 3 | |||||||
Purchases | — | — | — | |||||||||
Sales | (101,153 | ) | — | (101,153 | ) | |||||||
Transfers in and/or out of Level 3 | — | — | — | |||||||||
|
|
|
|
|
| |||||||
Balance, 06/30/11 | $ | 194,552 | $ | 194,549 | $ | 3 | ||||||
|
|
|
|
|
|
(1) | Realized gain (loss) from the sale of Level 3 securities can be found on the Statement of Operations in Net Realized Gain (loss) from Investment securities and securities sold short. |
(2) | Change in unrealized appreciation (depreciation) can be found on the Statement of Operations in Net change in unrealized appreciation (depreciation) on Investment securities and securities sold short. |
See Notes to Financial Statements.
73
Table of Contents
SCHEDULE OF INVESTMENTS | June 30, 2011 (Unaudited) |
Par | Value | |||||||
ASSET-BACKED SECURITIES — 1.1% | ||||||||
Citibank Credit Card Issuance Trust | ||||||||
6.15%, 06/15/39 | $ | 2,060,000 | $ | 2,433,222 | ||||
Community Program Loan Trust | ||||||||
4.50%, 04/01/29 | 1,950,000 | 1,868,094 | ||||||
|
| |||||||
Total Asset-Backed Securities | 4,301,316 | |||||||
|
| |||||||
CORPORATE BONDS — 57.2% | ||||||||
Aflac, Inc. | ||||||||
6.90%, 12/17/39 | 2,669,000 | 2,801,484 | ||||||
6.45%, 08/15/40D | 5,705,000 | 5,679,253 | ||||||
Alcoa, Inc. | ||||||||
5.87%, 02/23/22D | 10,000 | 10,267 | ||||||
6.75%, 01/15/28 | 235,000 | 245,905 | ||||||
5.95%, 02/01/37D | 5,326,000 | 5,087,795 | ||||||
Allegheny Technologies, Inc. | ||||||||
5.95%, 01/15/21 | 3,538,000 | 3,772,778 | ||||||
Ally Financial, Inc. | ||||||||
8.00%, 11/01/31D | 199,000 | 216,412 | ||||||
Alta Wind Holdings LLC | ||||||||
7.00%, 06/30/35 144A | 577,790 | 614,938 | ||||||
American Express Co. | ||||||||
8.15%, 03/19/38 | 3,752,000 | 4,995,698 | ||||||
American International Group, Inc. | ||||||||
5.45%, 05/18/17 | 30,000 | 31,411 | ||||||
Anadarko Petroleum Corporation | ||||||||
6.45%, 09/15/36 | 795,000 | 832,167 | ||||||
Archer-Daniels-Midland Co. | ||||||||
5.77%, 03/01/41 | 1,827,000 | 1,935,085 | ||||||
AT&T Corporation | ||||||||
6.50%, 03/15/29 | 125,000 | 133,239 | ||||||
6.50%, 09/01/37 | 9,530,000 | 10,388,739 | ||||||
Bank of America Corporation | ||||||||
7.63%, 06/01/19 | 7,000,000 | 8,121,064 | ||||||
Barrick North America Finance LLC | ||||||||
5.70%, 05/30/41 144AD | 1,634,000 | 1,591,825 | ||||||
Bell South Tele-communications, Inc. | ||||||||
7.00%, 12/01/95 | 1,000,000 | 1,053,275 | ||||||
Bruce Mansfield Unit | ||||||||
6.85%, 06/01/34@D | 1,216,973 | 1,307,764 | ||||||
Camden Property Trust | ||||||||
5.70%, 05/15/17D | 25,000 | 27,572 | ||||||
CenturyLink, Inc. | ||||||||
6.88%, 01/15/28D | 65,000 | 61,514 | ||||||
7.60%, 09/15/39 | 25,000 | 24,115 | ||||||
Chesapeake Energy Corporation | ||||||||
2.50%, 05/15/37D | 100,000 | 105,750 | ||||||
2.25%, 12/15/38 | 50,000 | 45,563 | ||||||
CIT Group, Inc. | ||||||||
7.00%, 05/01/14D | 85,848 | 87,028 | ||||||
7.00%, 05/01/15 | 153,940 | 154,517 | ||||||
7.00%, 05/01/16 | 256,570 | 255,929 | ||||||
7.00%, 05/01/17 | 359,197 | 358,748 | ||||||
Citigroup, Inc. | ||||||||
6.88%, 06/01/25 | 2,441,000 | 2,627,612 | ||||||
5.88%, 05/29/37D | 1,141,000 | 1,135,060 | ||||||
8.13%, 07/15/39 | 4,174,000 | 5,239,672 | ||||||
Comcast Corporation | ||||||||
5.65%, 06/15/35 | 660,000 | 648,587 | ||||||
6.50%, 11/15/35 | 555,000 | 604,220 | ||||||
6.45%, 03/15/37D | 2,415,000 | 2,591,326 | ||||||
6.95%, 08/15/37 | 625,000 | 707,803 | ||||||
Commonwealth Edison Co. | ||||||||
4.75%, 12/01/11@ | 67,000 | 66,978 | ||||||
Continental Airlines, Inc. | ||||||||
9.00%, 07/08/16D | 1,878,741 | 2,151,158 | ||||||
8.31%, 10/02/19 | 187,318 | 187,543 | ||||||
7.57%, 09/15/21 | 159,495 | 158,491 | ||||||
Corning, Inc. | ||||||||
7.25%, 08/15/36D | 850,000 | 992,101 | ||||||
Cummins, Inc. | ||||||||
6.75%, 02/15/27 | 1,000,000 | 1,081,517 | ||||||
7.13%, 03/01/28 | 425,000 | 477,701 | ||||||
5.65%, 03/01/98 | 2,520,000 | 2,082,311 | ||||||
Darden Restaurants, Inc. | ||||||||
6.00%, 08/15/35 | 990,000 | 999,518 | ||||||
DCP Midstream LLP | ||||||||
6.45%, 11/03/36 144A | 490,000 | 515,578 | ||||||
Dillard’s, Inc. | ||||||||
7.75%, 07/15/26 | 890,000 | 867,750 | ||||||
7.00%, 12/01/28D | 500,000 | 462,500 | ||||||
Duke Realty LP | ||||||||
5.95%, 02/15/17 | 70,000 | 76,874 | ||||||
First Industrial LP | ||||||||
7.60%, 07/15/28 | 1,000,000 | 974,511 | ||||||
Foot Locker, Inc. | ||||||||
8.50%, 01/15/22 | 1,000,000 | 1,018,750 | ||||||
Ford Motor Co. | ||||||||
4.25%, 11/15/16D | 150,000 | 257,813 | ||||||
6.63%, 10/01/28D | 680,000 | 670,050 | ||||||
6.38%, 02/01/29 | 1,255,000 | 1,204,637 | ||||||
General Electric Capital Corporation | ||||||||
4.88%, 03/04/15D | 510,000 | 555,056 | ||||||
6.75%, 03/15/32 | 3,000,000 | 3,342,831 | ||||||
6.15%, 08/07/37 | 6,114,000 | 6,362,504 | ||||||
5.88%, 01/14/38 | 150,000 | 152,246 | ||||||
Goldman Sachs Group, Inc. | ||||||||
5.38%, 03/15/20 | 415,000 | 429,290 | ||||||
Halliburton Co. | ||||||||
7.45%, 09/15/39D | 3,070,000 | 3,847,422 | ||||||
HCA, Inc. | ||||||||
7.58%, 09/15/25 | 1,000,000 | 935,000 | ||||||
7.05%, 12/01/27 | 500,000 | 436,250 | ||||||
Home Depot, Inc. | ||||||||
5.88%, 12/16/36 | 875,000 | 898,496 | ||||||
HSBC Bank USA NA | ||||||||
7.00%, 01/15/39 | 5,948,000 | 6,784,955 | ||||||
Intel Corporation | ||||||||
3.25%, 08/01/39D | 1,155,000 | 1,414,875 | ||||||
International Lease Finance Corporation | ||||||||
5.65%, 06/01/14D | 105,000 | 105,525 | ||||||
8.63%, 09/15/15 144AD | 5,000 | 5,438 | ||||||
International Paper Co. | ||||||||
8.70%, 06/15/38 | 2,643,000 | 3,297,716 | ||||||
iStar Financial, Inc. | ||||||||
8.63%, 06/01/13D | 635,000 | 654,050 | ||||||
5.95%, 10/15/13 | 305,000 | 288,225 | ||||||
5.70%, 03/01/14 | 1,171,000 | 1,086,102 |
See Notes to Financial Statements.
74
Table of Contents
Par | Value | |||||||
JC Penney Corporation, Inc. | ||||||||
6.38%, 10/15/36 | $ | 414,000 | $ | 372,600 | ||||
Johnson Controls, Inc. | ||||||||
5.70%, 03/01/41 | 622,000 | 634,143 | ||||||
Kinder Morgan Energy Partners LP | ||||||||
5.80%, 03/15/35D | 280,000 | 271,768 | ||||||
Kraft Foods, Inc. | ||||||||
6.50%, 11/01/31 | 1,700,000 | 1,941,638 | ||||||
7.00%, 08/11/37 | 525,000 | 613,570 | ||||||
6.88%, 02/01/38 | 3,243,000 | 3,764,114 | ||||||
6.50%, 02/09/40 | 3,928,000 | 4,378,070 | ||||||
Lennar Corporation | ||||||||
6.50%, 04/15/16D | 625,000 | 625,000 | ||||||
Liberty Mutual Group, Inc. | ||||||||
6.50%, 03/15/35 144A | 1,400,000 | 1,305,065 | ||||||
Lowe’s Cos., Inc. | ||||||||
6.65%, 09/15/37 | 357,000 | 414,079 | ||||||
Macy’s Retail Holdings, Inc. | ||||||||
6.38%, 03/15/37 | 240,000 | 250,669 | ||||||
Manufacturers & Traders Trust Co. | ||||||||
6.63%, 12/04/17 | 645,000 | 741,773 | ||||||
Masco Corporation | ||||||||
7.75%, 08/01/29 | 50,000 | 49,784 | ||||||
Massachusetts Institute of Technology | ||||||||
5.60%, 07/01/99 | 1,927,000 | 1,977,967 | ||||||
Mead Corporation | ||||||||
7.55%, 03/01/47 | 515,000 | 515,493 | ||||||
MetLife, Inc. | ||||||||
7.72%, 02/15/19 | 2,905,000 | 3,521,505 | ||||||
5.88%, 02/06/41D | 2,950,000 | 2,975,099 | ||||||
6.40%, 12/15/66D | 310,000 | 303,800 | ||||||
Morgan Stanley | ||||||||
5.45%, 01/09/17 | 5,000 | 5,294 | ||||||
6.63%, 04/01/18 | 70,000 | 77,217 | ||||||
5.63%, 09/23/19 | 195,000 | 200,427 | ||||||
5.50%, 07/24/20 | 200,000 | 202,797 | ||||||
6.25%, 08/09/26 | 100,000 | 105,552 | ||||||
Motorola, Inc. | ||||||||
6.63%, 11/15/37 | 46,000 | 51,330 | ||||||
Mutual of Omaha Insurance Co. | ||||||||
6.80%, 06/15/36 144A | 100,000 | 102,005 | ||||||
Nationwide Mutual Insurance Co. | ||||||||
6.60%, 04/15/34 | 150,000 | 140,866 | ||||||
Nortel Networks Capital Corporation | ||||||||
7.88%, 06/15/26# | 445,000 | 338,200 | ||||||
Old Republic International Corporation | ||||||||
3.75%, 03/15/18D | 1,535,000 | 1,527,325 | ||||||
Owens Corning, Inc. | ||||||||
6.50%, 12/01/16 | 240,000 | 261,438 | ||||||
7.00%, 12/01/36 | 3,940,000 | 4,003,643 | ||||||
Penn Mutual Life Insurance Co. | ||||||||
7.63%, 06/15/40 144A | 1,750,000 | 1,932,978 | ||||||
Pioneer Natural Resources Co. | ||||||||
7.20%, 01/15/28 | 2,500,000 | 2,631,350 | ||||||
ProLogis LP | ||||||||
5.63%, 11/15/15D | 35,000 | 37,043 | ||||||
Prudential Financial, Inc. | ||||||||
6.63%, 06/21/40 | 5,412,000 | 5,862,771 | ||||||
Pulte Group, Inc. | ||||||||
5.20%, 02/15/15D | 38,000 | 38,190 | ||||||
7.88%, 06/15/32 | 1,500,000 | 1,380,000 | ||||||
6.38%, 05/15/33 | 1,000,000 | 830,000 | ||||||
Qwest Corporation | ||||||||
7.25%, 09/15/25 | 1,000,000 | 1,040,000 | ||||||
6.88%, 09/15/33 | 2,250,000 | 2,179,688 | ||||||
Sempra Energy | ||||||||
6.00%, 10/15/39D | 8,268,000 | 8,741,128 | ||||||
SLM Corporation | ||||||||
5.00%, 10/01/13 | 250,000 | 260,138 | ||||||
5.38%, 05/15/14 | 200,000 | 208,363 | ||||||
Southern Natural Gas Co. | ||||||||
7.35%, 02/15/31 | 1,750,000 | 2,046,875 | ||||||
Sprint Capital Corporation | ||||||||
6.90%, 05/01/19D | 55,000 | 56,925 | ||||||
6.88%, 11/15/28 | 2,350,000 | 2,238,375 | ||||||
8.75%, 03/15/32 | 20,000 | 21,750 | ||||||
Target Corporation | ||||||||
6.50%, 10/15/37 | 3,900,000 | 4,471,623 | ||||||
7.00%, 01/15/38 | 2,330,000 | 2,798,405 | ||||||
Tennessee Gas Pipeline Co. | ||||||||
7.00%, 10/15/28 | 750,000 | 867,221 | ||||||
Textron, Inc. | ||||||||
6.63%, 04/07/20(U) | 160,000 | 267,645 | ||||||
Time Warner Cable, Inc. | ||||||||
6.55%, 05/01/37D | 1,049,000 | 1,117,828 | ||||||
6.75%, 06/15/39 | 2,995,000 | 3,287,054 | ||||||
5.88%, 11/15/40 | 1,700,000 | 1,683,653 | ||||||
Time Warner Entertainment Co. LP | ||||||||
8.38%, 07/15/33 | 1,049,000 | 1,344,538 | ||||||
Toro Co. | ||||||||
6.63%, 05/01/37@ | 300,000 | 299,741 | ||||||
Travelers Cos., Inc. | ||||||||
6.25%, 06/15/37 | 4,825,000 | 5,179,276 | ||||||
Union Pacific Resources Group, Inc. | ||||||||
7.15%, 05/15/28D | 250,000 | 280,943 | ||||||
UnitedHealth Group, Inc. | ||||||||
5.80%, 03/15/36 | 920,000 | 931,533 | ||||||
6.50%, 06/15/37 | 767,000 | 841,376 | ||||||
6.63%, 11/15/37 | 2,526,000 | 2,811,329 | ||||||
5.70%, 10/15/40D | 1,210,000 | 1,201,188 | ||||||
Verizon Communications, Inc. | ||||||||
5.85%, 09/15/35 | 2,420,000 | 2,498,101 | ||||||
6.40%, 02/15/38 | 968,000 | 1,052,581 | ||||||
6.90%, 04/15/38 | 1,000,000 | 1,150,906 | ||||||
8.95%, 03/01/39 | 105,000 | 148,692 | ||||||
7.35%, 04/01/39D | 979,000 | 1,180,104 | ||||||
6.00%, 04/01/41D | 2,770,000 | 2,902,797 | ||||||
Verizon Maryland, Inc. | ||||||||
5.13%, 06/15/33D | 175,000 | 163,646 | ||||||
Verizon New York, Inc. | ||||||||
7.38%, 04/01/32 | 255,000 | 294,121 | ||||||
Wachovia Bank NA | ||||||||
5.85%, 02/01/37 | 4,577,000 | 4,622,962 | ||||||
6.60%, 01/15/38 | 3,757,000 | 4,132,065 | ||||||
Wal-Mart Stores, Inc. | ||||||||
6.50%, 08/15/37 | 1,359,000 | 1,566,021 | ||||||
WellPoint, Inc. | ||||||||
5.95%, 12/15/34 | 846,000 | 881,641 | ||||||
6.38%, 06/15/37 | 2,766,000 | 3,023,570 |
See Notes to Financial Statements.
75
Table of Contents
EXTENDED-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
Western Union Co. | ||||||||
6.20%, 11/17/36D | $ | 3,205,000 | $ | 3,269,161 | ||||
6.20%, 06/21/40 | 20,000 | 20,150 | ||||||
Weyerhaeuser Co. | ||||||||
8.50%, 01/15/25 | 520,000 | 626,817 | ||||||
6.88%, 12/15/33D | 580,000 | 585,337 | ||||||
Wyndham Worldwide Corporation | ||||||||
5.75%, 02/01/18 | 50,000 | 51,700 | ||||||
|
| |||||||
Total Corporate Bonds | 225,067,407 | |||||||
|
| |||||||
FOREIGN BONDS — 24.8% | ||||||||
Australia — 2.1% | ||||||||
Barrick PD Australia Finance Pty, Ltd. | ||||||||
5.95%, 10/15/39 | 2,870,000 | 2,911,540 | ||||||
General Electric Capital Australia Funding, Ltd. | ||||||||
8.00%, 02/13/12(A) | 60,000 | 65,243 | ||||||
New South Wales Treasury Corporation | ||||||||
6.00%, 05/01/12(A) | 845,000 | 914,863 | ||||||
Qantas Airways, Ltd. | ||||||||
6.05%, 04/15/16 144A | 345,000 | 374,302 | ||||||
Rio Tinto Finance USA, Ltd. | ||||||||
5.20%, 11/02/40D | 4,186,000 | 4,066,728 | ||||||
|
| |||||||
8,332,676 | ||||||||
|
| |||||||
Brazil — 0.5% | ||||||||
Federative Republic of Brazil | ||||||||
10.25%, 01/10/28(B) | 2,525,000 | 1,771,617 | ||||||
|
| |||||||
Canada — 4.7% | ||||||||
Canada Generic Residual STRIP | ||||||||
3.56%, 06/01/25(C)W† | 3,685,000 | 2,390,961 | ||||||
Methanex Corporation | ||||||||
6.00%, 08/15/15 | 25,000 | 25,460 | ||||||
Ontario Generic Residual STRIP | ||||||||
4.20%, 07/13/22(C)W† | 3,900,000 | 2,517,076 | ||||||
4.57%, 03/08/29(C)W† | 7,000,000 | 3,242,957 | ||||||
Saskatchewan Residual STRIP | ||||||||
2.09%, 04/10/14(C) | 3,535,000 | 3,454,993 | ||||||
4.02%, 02/04/22(C) | 3,000,000 | 1,919,212 | ||||||
Talisman Energy, Inc. | ||||||||
6.25%, 02/01/38 | 450,000 | 472,594 | ||||||
TransCanada Pipelines, Ltd. | ||||||||
6.20%, 10/15/37 | 4,291,000 | 4,646,312 | ||||||
|
| |||||||
18,669,565 | ||||||||
|
| |||||||
Cayman Islands — 0.2% | ||||||||
Enersis SA | ||||||||
7.40%, 12/01/16D | 625,000 | 736,491 | ||||||
|
| |||||||
Finland — 1.1% | ||||||||
Nokia OYJ | ||||||||
6.63%, 05/15/39 | 4,410,000 | 4,124,377 | ||||||
|
| |||||||
Ireland — 0.9% | ||||||||
Ireland Government Bond | ||||||||
4.50%, 10/18/18(E) | 1,150,000 | 1,095,255 | ||||||
5.00%, 10/18/20(E) | 75,000 | 69,759 | ||||||
5.40%, 03/13/25(E) | 300,000 | 269,559 | ||||||
XL Capital, Ltd. | ||||||||
6.38%, 11/15/24 | 585,000 | 605,344 | ||||||
6.25%, 05/15/27D | 1,530,000 | 1,552,347 | ||||||
|
| |||||||
3,592,264 | ||||||||
|
| |||||||
Italy — 0.2% | ||||||||
Telecom Italia Capital SA | ||||||||
6.38%, 11/15/33 | 410,000 | 366,641 | ||||||
6.00%, 09/30/34 | 415,000 | 353,212 | ||||||
|
| |||||||
719,853 | ||||||||
|
| |||||||
Jamaica — 0.9% | ||||||||
BAA Funding, Ltd. | ||||||||
4.88%, 07/15/21 144A | 3,686,000 | 3,604,978 | ||||||
|
| |||||||
Luxembourg — 1.8% | ||||||||
ArcelorMittal | ||||||||
7.00%, 10/15/39 | 4,221,000 | 4,281,014 | ||||||
6.75%, 03/01/41D | 1,253,000 | 1,245,868 | ||||||
Enel Finance International NV | ||||||||
6.00%, 10/07/39 144A | 1,710,000 | 1,550,100 | ||||||
|
| |||||||
7,076,982 | ||||||||
|
| |||||||
Malaysia — 0.1% | ||||||||
Telekom Malaysia BhD | ||||||||
7.88%, 08/01/25 144A | 225,000 | 290,695 | ||||||
|
| |||||||
Mexico — 1.1% | ||||||||
Mexican Bonos | ||||||||
7.25%, 12/15/16(M) | 13,150,000 | 1,173,360 | ||||||
8.00%, 12/07/23(M) | 34,000,000 | 3,083,411 | ||||||
|
| |||||||
4,256,771 | ||||||||
|
| |||||||
Netherlands — 1.0% | ||||||||
EDP Finance BV | ||||||||
4.90%, 10/01/19 144A | 400,000 | 343,247 | ||||||
Koninklijke Philips Electronics NV | ||||||||
6.88%, 03/11/38 | 3,250,000 | 3,773,009 | ||||||
|
| |||||||
4,116,256 | ||||||||
|
| |||||||
Norway — 0.6% | ||||||||
Norway Government Bond | ||||||||
5.00%, 05/15/15(K) | 540,000 | 108,668 | ||||||
4.25%, 05/19/17(K) | 11,940,000 | 2,363,727 | ||||||
|
| |||||||
2,472,395 | ||||||||
|
| |||||||
Philippines — 0.1% | ||||||||
Quezon Power (Philippines), Ltd. | ||||||||
8.86%, 06/15/17 | 295,000 | 321,550 | ||||||
|
| |||||||
Portugal — 0.1% | ||||||||
Obrigacoes do Tesouro | ||||||||
4.80%, 06/15/20(E) | 75,000 | 66,947 | ||||||
3.85%, 04/15/21(E) | 250,000 | 210,596 | ||||||
|
| |||||||
277,543 | ||||||||
|
| |||||||
Spain — 0.4% | ||||||||
Telefonica Emisones SAU | ||||||||
7.05%, 06/20/36 | 1,495,000 | 1,586,439 | ||||||
|
| |||||||
Supranational — 1.9% | ||||||||
Inter-American Development Bank | ||||||||
6.00%, 12/15/17(Z) | 6,365,000 | 5,564,637 |
See Notes to Financial Statements.
76
Table of Contents
Par | Value | |||||||
International Bank For Reconstruction & Development | ||||||||
1.43%, 03/05/14(G) | $ | 2,470,000 | $ | 2,043,472 | ||||
|
| |||||||
7,608,109 | ||||||||
|
| |||||||
United Kingdom — 7.1% | ||||||||
Barclays Bank PLC | ||||||||
3.68%, 08/20/15(W) | 740,000,000 | 684,575 | ||||||
10.18%, 06/12/21 144A | 7,312,000 | 9,210,707 | ||||||
HBOS PLC | ||||||||
6.00%, 11/01/33 144A | 590,000 | 450,907 | ||||||
HSBC Holdings PLC | ||||||||
6.80%, 06/01/38 | 2,000,000 | 2,141,136 | ||||||
Lloyds TSB Bank PLC | ||||||||
5.80%, 01/13/20 144A | 6,830,000 | 6,851,275 | ||||||
6.38%, 01/21/21 | 2,199,000 | 2,293,370 | ||||||
Royal Bank of Scotland PLC | ||||||||
6.13%, 01/11/21D | 1,988,000 | 2,041,585 | ||||||
Standard Chartered Bank | ||||||||
6.40%, 09/26/17 144A | 1,000,000 | 1,115,056 | ||||||
Tesco PLC | ||||||||
6.15%, 11/15/37 144A | 3,000,000 | 3,215,289 | ||||||
|
| |||||||
28,003,900 | ||||||||
|
| |||||||
Total Foreign Bonds | 97,562,461 | |||||||
|
| |||||||
MORTGAGE-BACKED SECURITY — 0.0% | ||||||||
Federal Home Loan Mortgage Corporation | ||||||||
5.00%, 12/01/31 (Cost $100,322) | 105,605 | 113,007 | ||||||
|
| |||||||
MUNICIPAL BONDS — 10.1% | ||||||||
Aurora Water Improvement, First Lien Revenue Bond Series A | ||||||||
5.00%, 08/01/39 | 1,240,000 | 1,257,447 | ||||||
California Educational Facilities Authority, Stanford University Revenue Bond | ||||||||
5.25%, 04/01/40 | 4,690,000 | 5,378,258 | ||||||
California Educational Facilities Authority, University of Southern California, Series A Revenue Bond | ||||||||
5.00%, 10/01/39 | 940,000 | 963,434 | ||||||
California General Obligation Bond | ||||||||
5.50%, 03/01/40 | 1,985,000 | 2,041,235 | ||||||
Dallas Area Rapid Transit Revenue Bond | ||||||||
5.25%, 12/01/43 | 325,000 | 335,640 | ||||||
Dallas Area Rapid Transit Revenue Bond | ||||||||
5.25%, 12/01/48 | 1,950,000 | 2,004,034 | ||||||
Foothill-De Anza Community College District, California Community College General Obligation Bond Series C | ||||||||
5.00%, 08/01/40 | 1,110,000 | 1,134,642 | ||||||
Georgia State Road & Tollway Authority Revenue Bond Series B | ||||||||
5.00%, 10/01/21 | 1,150,000 | 1,360,278 | ||||||
King County Sewer Revenue Bond | ||||||||
5.00%, 01/01/39 | 405,000 | 412,590 | ||||||
5.00%, 01/01/45 | 2,565,000 | 2,596,473 | ||||||
Los Angeles Unified School District, Series KRY General Obligation Bond | ||||||||
5.76%, 07/01/29 | 2,280,000 | 2,300,520 | ||||||
5.75%, 07/01/34 | 3,415,000 | 3,369,341 | ||||||
Louisiana, Second Lien Revenue Bond Series B | ||||||||
5.00%, 05/01/45 | 1,185,000 | 1,206,922 | ||||||
Massachusetts Development Finance Agency, Harvard University, Revenue Bond Series B-1 | ||||||||
5.00%, 10/15/40 | 1,230,000 | 1,288,487 | ||||||
Massachusetts Health & Educational Facilities Authority, Harvard University Revenue Bond Series A | ||||||||
5.50%, 11/15/36 | 440,000 | 477,893 | ||||||
Metropolitan Transportation Authority, Build America Series E Revenue Bond | ||||||||
6.81%, 11/15/40 | 1,020,000 | 1,124,244 | ||||||
New Jersey Transportation Trust Fund Authority Revenue Bond Series A | ||||||||
5.50%, 06/15/41 | 3,335,000 | 3,432,649 | ||||||
New York City Municipal Water Finance Authority, Second General Resolution, Series EE Revenue Bond | ||||||||
5.38%, 06/15/43 | 690,000 | 730,020 | ||||||
New York City Municipal Water Finance Authority Revenue Bond Series GG | ||||||||
5.00%, 06/15/43 | 2,575,000 | 2,625,470 | ||||||
Santa Clara County, Election of 2008 Series A General Obligation Bond | ||||||||
5.00%, 08/01/34 | 1,625,000 | 1,668,355 | ||||||
State of California General Obligation Bond | ||||||||
7.50%, 04/01/34 | 2,135,000 | 2,416,820 | ||||||
7.55%, 04/01/39 | 1,190,000 | 1,362,978 | ||||||
State of Illinois General Obligation Bond, Taxable Pension | ||||||||
5.10%, 06/01/33 | 635,000 | 540,842 | ||||||
|
| |||||||
Total Municipal Bonds | 40,028,572 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 2.5% | ||||||||
U.S. Treasury STRIPS | ||||||||
4.77%, 05/15/38W | 19,940,000 | 5,734,186 | ||||||
4.82%, 05/15/40WD | 16,000,000 | 4,130,176 | ||||||
|
| |||||||
9,864,362 | ||||||||
|
| |||||||
Total U.S. Treasury Obligations | 9,864,362 | |||||||
|
|
See Notes to Financial Statements.
77
Table of Contents
EXTENDED-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | |||||||
PREFERRED STOCKS — 0.1% | ||||||||
Chesapeake Energy Corporation CONV | 330 | $ | 32,587 | |||||
El Paso Energy Capital Trust I CONV | 5,350 | 238,182 | ||||||
Preferred Blocker (GMAC), Inc. 144A | 82 | 77,065 | ||||||
|
| |||||||
Total Preferred Stocks | 347,834 | |||||||
|
| |||||||
MONEY MARKET FUNDS — 14.3% | ||||||||
GuideStone Money Market Fund (GS4 Class)¥ | 10,951,116 | 10,951,116 | ||||||
Northern Institutional Liquid Assets Portfolio§ | 45,361,796 | 45,361,796 | ||||||
|
| |||||||
Total Money Market Funds | 56,312,912 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 110.1% | 433,597,871 | |||||||
Liabilities in Excess of Other Assets — (10.1)% | (39,929,102 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 393,668,769 | ||||||
|
|
Please see abbreviation and footnote definitions beginning on page 130.
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Corporate Bonds | 57.2 | |||
Foreign Bonds | 24.8 | |||
Money Market Funds | 14.3 | |||
Municipal Bonds | 10.1 | |||
U.S. Treasury Obligations | 2.5 | |||
Asset-Backed Securities | 1.1 | |||
Preferred Stocks | 0.1 | |||
Mortgage-Backed Security | — | ** | ||
|
| |||
110.1 | ||||
|
|
** | Rounds to less than 0.005%. |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2011, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Asset-Backed Securities | $ | 4,301,316 | $ | — | $ | 4,301,316 | $ | — | ||||||||
Corporate Bonds | 225,067,407 | — | 225,067,407 | — | ||||||||||||
Foreign Bonds | 97,562,461 | — | 97,562,461 | — | ||||||||||||
Money Market Funds | 56,312,912 | 56,312,912 | — | — | ||||||||||||
Mortgage-Backed Security | 113,007 | — | 113,007 | — | ||||||||||||
Municipal Bonds | 40,028,572 | — | 40,028,572 | — | ||||||||||||
Preferred Stocks | 347,834 | 347,834 | — | — | ||||||||||||
U.S. Treasury Obligations | 9,864,362 | — | 9,864,362 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 433,597,871 | $ | 56,660,746 | $ | 376,937,125 | $ | — | ||||||||
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
78
Table of Contents
SCHEDULE OF INVESTMENTS | June 30, 2011 (Unaudited) |
Par | Value | |||||||
U.S. TREASURY OBLIGATIONS - 89.0% | ||||||||
U.S. Treasury Bonds | ||||||||
4.38%, 05/15/40D‡‡ | $ | 240,000 | $ | 239,889 | ||||
3.88%, 08/15/40D‡‡ | 160,000 | 146,525 | ||||||
|
| |||||||
386,414 | ||||||||
|
| |||||||
U.S. Treasury Inflationary Index Bonds | ||||||||
3.38%, 01/15/12 | 2,970,000 | 3,843,626 | ||||||
2.00%, 04/15/12 | 4,777,300 | 5,410,765 | ||||||
0.63%, 04/15/13 | 2,590,000 | 2,838,194 | ||||||
1.88%, 07/15/13D | 1,885,000 | 2,453,466 | ||||||
2.00%, 01/15/14D | 2,290,000 | 3,004,051 | ||||||
1.25%, 04/15/14D‡‡ | 1,255,000 | 1,415,409 | ||||||
2.00%, 07/15/14D‡‡ | 3,908,200 | 5,087,144 | ||||||
1.63%, 01/15/15D | 735,000 | 939,385 | ||||||
0.50%, 04/15/15D | 5,211,900 | 5,643,564 | ||||||
1.88%, 07/15/15D | 3,390,000 | 4,323,656 | ||||||
2.00%, 01/15/16D | 2,335,000 | 2,941,705 | ||||||
0.13%, 04/15/16D | 825,000 | 859,928 | ||||||
2.50%, 07/15/16D | 2,480,000 | 3,162,560 | ||||||
2.38%, 01/15/17 | 4,045,000 | 5,149,399 | ||||||
2.63%, 07/15/17 | 740,000 | 934,691 | ||||||
1.63%, 01/15/18D | 2,220,000 | 2,622,561 | ||||||
1.38%, 07/15/18D | 2,165,000 | 2,453,326 | ||||||
2.13%, 01/15/19D | 785,900 | 935,998 | ||||||
1.88%, 07/15/19D | 1,365,000 | 1,608,984 | ||||||
1.38%, 01/15/20D | 2,753,900 | 3,073,405 | ||||||
1.13%, 01/15/21D | 5,690,000 | 6,079,105 | ||||||
2.38%, 01/15/25D | 4,705,200 | 6,460,023 | ||||||
2.00%, 01/15/26D | 1,475,000 | 1,828,486 | ||||||
2.38%, 01/15/27D | 1,345,000 | 1,712,926 | ||||||
1.75%, 01/15/28D | 4,305,000 | 4,843,777 | ||||||
3.63%, 04/15/28 | 1,200,000 | 2,199,925 | ||||||
2.50%, 01/15/29D | 3,900,000 | 4,752,710 | ||||||
3.88%, 04/15/29D | 3,030,000 | 5,686,657 | ||||||
3.38%, 04/15/32D | 307,100 | 515,505 | ||||||
2.13%, 02/15/40D | 7,087,600 | 8,040,014 | ||||||
2.13%, 02/15/40D‡‡ | 6,510,200 | 7,277,346 | ||||||
|
| |||||||
108,098,291 | ||||||||
|
| |||||||
U.S. Treasury Notes | ||||||||
3.63%, 02/15/21D | 1,125,000 | 1,173,252 | ||||||
3.13%, 05/15/21D | 3,125,000 | 3,116,706 | ||||||
4.75%, 02/15/41D‡‡ | 1,566,900 | 1,665,811 | ||||||
4.38%, 05/15/41D | 1,580,000 | 1,577,782 | ||||||
|
| |||||||
7,533,551 | ||||||||
|
| |||||||
Total U.S. Treasury Obligations | 116,018,256 | |||||||
|
| |||||||
Shares | ||||||||
MONEY MARKET FUNDS — 50.4% | ||||||||
GuideStone Money Market Fund (GS4 Class)¥ | 14,275,070 | 14,275,070 | ||||||
Northern Institutional Liquid Assets Portfolio§ | 51,391,241 | 51,391,241 | ||||||
|
| |||||||
Total Money Market Funds | 65,666,311 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 139.4% | 181,684,567 | |||||||
Liabilities in Excess of Other Assets — (39.4)% | (51,364,230 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 130,320,337 | ||||||
|
|
Please see abbreviation and footnote definitions beginning on page 130.
PORTFOLIO SUMMARY (based on net assets)
% | ||||
U.S. Treasury Obligations | 89.0 | |||
Money Market Funds | 50.4 | |||
Futures Contracts | (12.2 | ) | ||
|
| |||
127.2 | ||||
|
|
See Notes to Financial Statements.
79
Table of Contents
INFLATION PROTECTED BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2011, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Money Market Funds | $ | 65,666,311 | $ | 65,666,311 | $ | — | $ | — | ||||||||
U.S. Treasury Obligations | 116,018,256 | — | 116,018,256 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 181,684,567 | $ | 65,666,311 | $ | 116,018,256 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | 21,253 | $ | 21,253 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 21,253 | $ | 21,253 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
*** | 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.
80
Table of Contents
SCHEDULE OF INVESTMENTS | June 30, 2011 (Unaudited) |
Par | Value | |||||||
AGENCY OBLIGATION — 0.0% | ||||||||
Federal National Mortgage Association | ||||||||
0.10%, 01/10/12‡‡ (Cost $15,991) | $ | 16,000 | $ | 15,991 | ||||
|
| |||||||
CORPORATE BONDS — 41.4% | ||||||||
ACCO Brands Corporation | ||||||||
10.63%, 03/15/15 | 105,000 | 117,731 | ||||||
AES Corporation | ||||||||
8.00%, 06/01/20 | 350,000 | 374,500 | ||||||
Alcoa, Inc. | ||||||||
5.87%, 02/23/22D | 5,000 | 5,134 | ||||||
6.75%, 01/15/28 | 185,000 | 193,585 | ||||||
5.95%, 02/01/37D | 65,000 | 62,093 | ||||||
Ally Financial, Inc. | ||||||||
7.50%, 12/31/13 | 87,000 | 93,851 | ||||||
6.75%, 12/01/14 | 399,000 | 413,962 | ||||||
8.00%, 12/31/18 | 104,000 | 111,800 | ||||||
7.50%, 09/15/20 | 415,000 | 435,750 | ||||||
8.00%, 11/01/31D | 389,000 | 423,038 | ||||||
Altegrity, Inc. | ||||||||
10.50%, 11/01/15 144A | 150,000 | 156,000 | ||||||
American Express Credit Corporation | ||||||||
5.13%, 08/25/14 | 100,000 | 109,212 | ||||||
American International Group, Inc. | ||||||||
5.45%, 05/18/17 | 25,000 | 26,176 | ||||||
Anadarko Petroleum Corporation | ||||||||
5.95%, 09/15/16 | 10,000 | 11,269 | ||||||
6.38%, 09/15/17 | 120,000 | 137,739 | ||||||
Appleton Papers, Inc. | ||||||||
11.25%, 12/15/15D | 102,000 | 103,530 | ||||||
Ashton Woods USA LLC | ||||||||
0.00%, 06/30/15 STEP 144AW@ | 20,800 | 12,688 | ||||||
Astoria Depositor Corporation | ||||||||
8.14%, 05/01/21 144A | 130,000 | 124,800 | ||||||
AT&T, Inc. | ||||||||
6.55%, 02/15/39 | 220,000 | 242,109 | ||||||
Ball Corporation | ||||||||
5.75%, 05/15/21 | 380,000 | 381,900 | ||||||
Baltimore Gas & Electric Co. | ||||||||
5.20%, 06/15/33D | 1,125,000 | 1,076,182 | ||||||
Bank of America Corporation | ||||||||
4.63%, 08/07/17(E) | 300,000 | 423,762 | ||||||
Berry Petroleum Co. | ||||||||
10.25%, 06/01/14 | 80,000 | 91,800 | ||||||
Biomet, Inc. | ||||||||
10.00%, 10/15/17 | 10,000 | 10,950 | ||||||
10.38%, 10/15/17 PIKD | 545,000 | 603,588 | ||||||
Boston Scientific Corporation | ||||||||
7.00%, 11/15/35 | 215,000 | 230,954 | ||||||
Buffets Restaurants Holdings, Inc. | ||||||||
12.50%, 11/01/14@ | 105,000 | 10 | ||||||
Calpine Corporation | ||||||||
7.50%, 02/15/21 144A | 460,000 | 471,500 | ||||||
7.88%, 01/15/23 144A | 400,000 | 412,500 | ||||||
CCO Holdings LLC | ||||||||
7.00%, 01/15/19 144AD | 230,000 | 237,475 | ||||||
Cellco Partnership/Verizon Wireless Capital LLC | ||||||||
8.50%, 11/15/18 | 260,000 | 338,112 | ||||||
Cengage Learning Acquisitions, Inc. | ||||||||
10.50%, 01/15/15 144A | 100,000 | 91,000 | ||||||
Ceridian Corporation | ||||||||
12.25%, 11/15/15 144AD | 63,900 | 65,018 | ||||||
Charter Communications Operating LLC | ||||||||
10.88%, 09/15/14 144A | 140,000 | 154,700 | ||||||
Chesapeake Energy Corporation | ||||||||
7.25%, 12/15/18 | 110,000 | 120,450 | ||||||
6.63%, 08/15/20D | 530,000 | 560,475 | ||||||
2.50%, 05/15/37D | 65,000 | 68,738 | ||||||
2.25%, 12/15/38 | 25,000 | 22,781 | ||||||
Chiquita Brands International, Inc. | ||||||||
7.50%, 11/01/14D | 450,000 | 455,625 | ||||||
Cincinnati Bell Telephone Co. LLC | ||||||||
6.30%, 12/01/28 | 155,000 | 126,325 | ||||||
CIT Group, Inc. | ||||||||
7.00%, 05/01/14D | 51,558 | 52,267 | ||||||
7.00%, 05/01/15 | 92,453 | 92,800 | ||||||
7.00%, 05/01/16 | 154,090 | 153,705 | ||||||
7.00%, 05/01/17 | 215,726 | 215,456 | ||||||
Citigroup, Inc. | ||||||||
6.38%, 08/12/14 | 150,000 | 165,976 | ||||||
7.38%, 09/04/19(E) | 380,000 | 630,306 | ||||||
CMP Susquehanna Radio Holdings Corporation | ||||||||
9.88%, 05/15/14@ | 6,000 | 4,590 | ||||||
Colorado Interstate Gas Co. | ||||||||
5.95%, 03/15/15 | 20,000 | 22,319 | ||||||
6.80%, 11/15/15 | 125,000 | 146,184 | ||||||
Comcast Corporation | ||||||||
5.15%, 03/01/20D | 170,000 | 183,359 | ||||||
Community Health Systems, Inc. | ||||||||
8.88%, 07/15/15D | 100,000 | 103,250 | ||||||
Complete Production Services, Inc. | ||||||||
8.00%, 12/15/16 | 80,000 | 84,000 | ||||||
ConocoPhillips | ||||||||
6.50%, 02/01/39 | 30,000 | 35,166 | ||||||
Consol Energy, Inc. | ||||||||
8.25%, 04/01/20D | 210,000 | 229,950 | ||||||
Continental Airlines, Inc. | ||||||||
9.00%, 07/08/16D | 1,174,213 | 1,344,474 | ||||||
5.98%, 10/19/23 | 516,124 | 530,937 | ||||||
Countrywide Financial Corporation | ||||||||
6.25%, 05/15/16 | 280,000 | 295,379 | ||||||
Cricket Communications, Inc. | ||||||||
7.75%, 05/15/16D | 150,000 | 159,750 | ||||||
Cummins, Inc. | ||||||||
5.65%, 03/01/98 | 1,500,000 | 1,239,471 | ||||||
DAE Aviation Holdings, Inc. | ||||||||
11.25%, 08/01/15 144A | 130,000 | 135,850 | ||||||
Delta Air Lines, Inc. | ||||||||
9.50%, 09/15/14 144A | 36,000 | 38,565 | ||||||
8.02%, 02/10/24 | 91,876 | 93,364 |
See Notes to Financial Statements.
81
Table of Contents
GLOBAL BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
Deutsche Postbank Funding Trust IV | ||||||||
5.98%, 06/29/49(E)† | $ | 300,000 | $ | 362,177 | ||||
DISH DBS Corporation | ||||||||
7.00%, 10/01/13 | 600,000 | 647,250 | ||||||
Dynegy Holdings, Inc. | ||||||||
7.75%, 06/01/19D | 893,000 | 654,122 | ||||||
Edison Mission Energy | ||||||||
7.63%, 05/15/27 | 180,000 | 133,200 | ||||||
El Paso Corporation | ||||||||
7.75%, 01/15/32 | 50,000 | 58,414 | ||||||
El Paso Natural Gas Co. | ||||||||
8.63%, 01/15/22 | 90,000 | 116,828 | ||||||
8.38%, 06/15/32 | 75,000 | 95,196 | ||||||
El Pollo Loco, Inc. | ||||||||
11.75%, 12/01/12 | 20,000 | 21,200 | ||||||
11.75%, 11/15/13D | 165,000 | 165,825 | ||||||
12.00%, 12/28/17 | 170,000 | 170,000 | ||||||
Embarq Corporation | ||||||||
8.00%, 06/01/36 | 1,245,000 | 1,279,122 | ||||||
Enterprise Products Operating LLC | ||||||||
9.75%, 01/31/14 | 100,000 | 119,448 | ||||||
8.38%, 08/01/66† | 60,000 | 65,017 | ||||||
ERAC USA Finance LLC | ||||||||
7.00%, 10/15/37 144A | 1,065,000 | 1,175,542 | ||||||
Escrow GCB 144A US Oncology | ||||||||
9.12%, 08/15/17 | 155,000 | — | ||||||
FirstEnergy Corporation | ||||||||
7.38%, 11/15/31 | 325,000 | 371,084 | ||||||
Ford Motor Co. | ||||||||
4.25%, 11/15/16D | 830,000 | 1,426,562 | ||||||
6.63%, 10/01/28D | 850,000 | 837,563 | ||||||
Ford Motor Credit Co., LLC | ||||||||
3.03%, 01/13/12†D | 37,500 | 37,595 | ||||||
7.50%, 08/01/12D | 500,000 | 523,743 | ||||||
12.00%, 05/15/15 | 100,000 | 124,111 | ||||||
Freeport-McMoRan Copper & Gold, Inc. | ||||||||
8.38%, 04/01/17 | 150,000 | 164,063 | ||||||
Freescale Semiconductor, Inc. | ||||||||
10.13%, 12/15/16D | 130,000 | 140,563 | ||||||
Fresenius Medical Care US Finance, Inc. | ||||||||
6.88%, 07/15/17 | 75,000 | 79,031 | ||||||
Fresenius US Finance II, Inc. | ||||||||
8.75%, 07/15/15 144A(E) | 30,000 | 50,030 | ||||||
Frontier Communications Corporation | ||||||||
7.88%, 01/15/27D | 405,000 | 396,900 | ||||||
General Electric Capital Corporation | ||||||||
3.49%, 03/08/12(G) | 200,000 | 165,766 | ||||||
7.63%, 12/10/14(Z) | 1,025,000 | 924,471 | ||||||
4.88%, 03/04/15D | 370,000 | 402,688 | ||||||
6.50%, 09/28/15(Z) | 255,000 | 221,974 | ||||||
6.75%, 09/26/16(Z) | 150,000 | 130,595 | ||||||
6.75%, 03/15/32 | 30,000 | 33,428 | ||||||
Georgia-Pacific LLC | ||||||||
8.88%, 05/15/31 | 785,000 | 994,355 | ||||||
Giant Funding Corporation | ||||||||
8.25%, 02/01/18 144A | 220,000 | 230,450 | ||||||
Goldman Sachs Group, Inc. | ||||||||
5.13%, 10/23/19(E) | 500,000 | 714,095 | ||||||
4.75%, 10/12/21(E) | 300,000 | 390,230 | ||||||
Goodyear Tire & Rubber Co. | ||||||||
7.00%, 03/15/28D | 690,000 | 662,400 | ||||||
H&E Equipment Services, Inc. | ||||||||
8.38%, 07/15/16 | 120,000 | 123,300 | ||||||
Hanover Insurance Group, Inc. | ||||||||
7.50%, 03/01/20 | 385,000 | 415,863 | ||||||
HCA, Inc. | ||||||||
6.38%, 01/15/15 | 150,000 | 153,750 | ||||||
7.19%, 11/15/15 | 205,000 | 207,563 | ||||||
9.63%, 11/15/16 PIK | 596 | 635 | ||||||
7.50%, 12/15/23D | 555,000 | 525,863 | ||||||
8.36%, 04/15/24 | 90,000 | 90,000 | �� | |||||
7.69%, 06/15/25 | 775,000 | 728,500 | ||||||
7.58%, 09/15/25 | 570,000 | 532,950 | ||||||
Hercules Offshore, Inc. | ||||||||
10.50%, 10/15/17 144AD | 80,000 | 84,000 | ||||||
Hertz Corporation | ||||||||
8.88%, 01/01/14D | 55,000 | 56,650 | ||||||
Idearc, Inc. | ||||||||
0.00%, 11/15/16+W | 185,000 | — | ||||||
ING Capital Funding Trust III | ||||||||
3.91%, 12/29/49† | 200,000 | 189,798 | ||||||
Intel Corporation | ||||||||
2.95%, 12/15/35 | 580,000 | 602,475 | ||||||
3.25%, 08/01/39D | 460,000 | 563,500 | ||||||
International Lease Finance Corporation | ||||||||
5.65%, 06/01/14D | 90,000 | 90,450 | ||||||
8.63%, 09/15/15D | 215,000 | 233,812 | ||||||
6.25%, 05/15/19D | 440,000 | 430,566 | ||||||
iStar Financial, Inc. | ||||||||
5.70%, 03/01/14 | 62,000 | 57,505 | ||||||
6.05%, 04/15/15 | 20,000 | 18,300 | ||||||
5.88%, 03/15/16D | 22,000 | 19,195 | ||||||
JC Penney Corporation, Inc. | ||||||||
6.38%, 10/15/36 | 650,000 | 585,000 | ||||||
7.63%, 03/01/97D | 1,300,000 | 1,163,500 | ||||||
Jones Group, Inc. | ||||||||
6.13%, 11/15/34 | 135,000 | 103,950 | ||||||
JPMorgan Chase Bank NA | ||||||||
4.38%, 11/30/21(E)† | 350,000 | 495,408 | ||||||
K Hovnanian Enterprises, Inc. | ||||||||
6.38%, 12/15/14D | 795,000 | 691,650 | ||||||
Key Energy Services, Inc. | ||||||||
6.75%, 03/01/21 | 170,000 | 170,425 | ||||||
Kinder Morgan Energy Partners LP | ||||||||
6.50%, 02/01/37 | 75,000 | 78,416 | ||||||
6.95%, 01/15/38 | 90,000 | 98,058 | ||||||
L-3 Communications Corporation | ||||||||
6.38%, 10/15/15 | 450,000 | 463,500 | ||||||
Lennar Corporation | ||||||||
5.60%, 05/31/15 | 1,400,000 | 1,382,500 | ||||||
Level 3 Communications, Inc. | ||||||||
3.50%, 06/15/12D | 80,000 | 80,200 | ||||||
Level 3 Financing, Inc. | ||||||||
8.75%, 02/15/17D | 1,285,000 | 1,317,125 | ||||||
9.38%, 04/01/19 144AD | 20,000 | 20,700 |
See Notes to Financial Statements.
82
Table of Contents
Par | Value | |||||||
Marsh & McLennan Cos., Inc. | ||||||||
5.88%, 08/01/33 | $ | 1,000,000 | $ | 995,176 | ||||
Masco Corporation | ||||||||
5.85%, 03/15/17 | 90,000 | 89,655 | ||||||
7.75%, 08/01/29 | 50,000 | 49,784 | ||||||
6.50%, 08/15/32D | 145,000 | 130,332 | ||||||
MBIA Insurance Corporation | ||||||||
14.00%, 01/15/33 144A†D | 435,000 | 263,175 | ||||||
Merrill Lynch & Co., Inc. | ||||||||
6.05%, 06/01/34 | 700,000 | 682,688 | ||||||
6.11%, 01/29/37D | 1,300,000 | 1,222,679 | ||||||
Mirant Mid Atlantic Pass Through Trust | ||||||||
10.06%, 12/30/28 | 165,630 | 185,506 | ||||||
Morgan Stanley | ||||||||
4.75%, 04/01/14 | 40,000 | 41,722 | ||||||
5.75%, 01/25/21 | 700,000 | 709,573 | ||||||
Motorola, Inc. | ||||||||
6.63%, 11/15/37 | 105,000 | 117,167 | ||||||
Mutual of Omaha Insurance Co. | ||||||||
6.80%, 06/15/36 144A | 1,200,000 | 1,224,062 | ||||||
Nalco Co. | ||||||||
6.88%, 01/15/19 144A(E) | 100,000 | 148,883 | ||||||
Neiman-Marcus Group, Inc. | ||||||||
7.13%, 06/01/28D | 30,000 | 27,900 | ||||||
NetFlix, Inc. | ||||||||
8.50%, 11/15/17 | 150,000 | 169,125 | ||||||
NewPage Corporation | ||||||||
11.38%, 12/31/14 144AD | 285,000 | 267,188 | ||||||
Nextel Communications, Inc. | ||||||||
5.95%, 03/15/14D | 970,000 | 973,638 | ||||||
7.38%, 08/01/15 | 1,615,000 | 1,623,075 | ||||||
Old Republic International Corporation | ||||||||
3.75%, 03/15/18D | 1,060,000 | 1,054,700 | ||||||
Owens Corning, Inc. | ||||||||
7.00%, 12/01/36D | 220,000 | 223,554 | ||||||
Owens-Brockway Glass Container, Inc. | ||||||||
3.00%, 06/01/15 144A | 840,000 | 831,600 | ||||||
Oxford Industries, Inc. | ||||||||
11.38%, 07/15/15 144A | 135,000 | 153,225 | ||||||
Pemex Project Funding Master Trust | ||||||||
6.63%, 06/15/35 | 516,000 | 546,456 | ||||||
Penn Mutual Life Insurance Co. | ||||||||
7.63%, 06/15/40 144A | 685,000 | 756,623 | ||||||
Pioneer Natural Resources Co. | ||||||||
5.88%, 07/15/16 | 900,000 | 954,748 | ||||||
7.20%, 01/15/28 | 315,000 | 331,550 | ||||||
Plains Exploration & Production Co. | ||||||||
10.00%, 03/01/16 | 75,000 | 84,750 | ||||||
8.63%, 10/15/19 | 55,000 | 60,225 | ||||||
ProLogis LP | ||||||||
6.63%, 05/15/18 | 15,000 | 16,607 | ||||||
QEP Resources, Inc. | ||||||||
6.88%, 03/01/21 | 290,000 | 307,400 | ||||||
Quicksilver Resources, Inc. | ||||||||
11.75%, 01/01/16 | 95,000 | 109,250 | ||||||
Qwest Capital Funding, Inc. | ||||||||
6.50%, 11/15/18 | 225,000 | 229,500 | ||||||
Qwest Corporation | ||||||||
3.50%, 06/15/13†D | 100,000 | 102,750 | ||||||
7.63%, 06/15/15 | 300,000 | 340,500 | ||||||
7.50%, 06/15/23D | 110,000 | 110,688 | ||||||
7.25%, 09/15/25 | 105,000 | 109,200 | ||||||
6.88%, 09/15/33 | 2,500,000 | 2,421,875 | ||||||
7.25%, 10/15/35D | 110,000 | 109,450 | ||||||
Range Resources Corporation | ||||||||
6.75%, 08/01/20 | 510,000 | 530,400 | ||||||
Regency Energy Partners LP | ||||||||
6.88%, 12/01/18 | 450,000 | 468,000 | ||||||
Reliance Holdings USA, Inc. | ||||||||
4.50%, 10/19/20 144AD | 290,000 | 271,457 | ||||||
Republic Services, Inc. | ||||||||
4.75%, 05/15/23 | 90,000 | 89,566 | ||||||
RSC Equipment Rental, Inc. | ||||||||
10.00%, 07/15/17 144AD | 80,000 | 89,600 | ||||||
Service Corporation International | ||||||||
7.50%, 04/01/27 | 75,000 | 72,000 | ||||||
Simon Property Group LP | ||||||||
5.75%, 12/01/15D | 25,000 | 28,091 | ||||||
SLM Corporation | ||||||||
5.38%, 01/15/13D | 650,000 | 668,258 | ||||||
5.38%, 05/15/14 | 1,000,000 | 1,041,817 | ||||||
8.45%, 06/15/18 | 769,000 | 845,183 | ||||||
8.00%, 03/25/20 | 10,000 | 10,755 | ||||||
Southern Copper Corporation | ||||||||
5.38%, 04/16/20D | 70,000 | 72,051 | ||||||
6.75%, 04/16/40 | 90,000 | 88,003 | ||||||
Springleaf Finance Corporation | ||||||||
5.75%, 09/15/16 | 700,000 | 628,250 | ||||||
6.50%, 09/15/17D | 400,000 | 360,500 | ||||||
6.90%, 12/15/17D | 200,000 | 184,500 | ||||||
Sprint Capital Corporation | ||||||||
8.38%, 03/15/12 | 60,000 | 62,700 | ||||||
6.88%, 11/15/28 | 200,000 | 190,500 | ||||||
8.75%, 03/15/32 | 755,000 | 821,063 | ||||||
Steel Dynamics, Inc. | ||||||||
7.38%, 11/01/12 | 45,000 | 47,700 | ||||||
7.75%, 04/15/16 | 280,000 | 295,400 | ||||||
7.63%, 03/15/20D | 100,000 | 106,250 | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
6.85%, 12/16/39 144A | 100,000 | 114,170 | ||||||
Tenet Healthcare Corporation | ||||||||
10.00%, 05/01/18 | 55,000 | 62,769 | ||||||
8.88%, 07/01/19D | 462,000 | 512,242 | ||||||
6.88%, 11/15/31D | 85,000 | 71,400 | ||||||
Textron Financial Corporation | ||||||||
5.13%, 08/15/14 | 30,000 | 31,378 | ||||||
Textron, Inc. | ||||||||
6.63%, 04/07/20(U) | 130,000 | 217,462 | ||||||
Time Warner Cable, Inc. | ||||||||
8.75%, 02/14/19 | 190,000 | 242,453 | ||||||
8.25%, 04/01/19 | 40,000 | 49,962 | ||||||
Toys “R” Us, Inc. | ||||||||
7.38%, 10/15/18D | 335,000 | 327,044 | ||||||
United Air Lines, Inc. | ||||||||
10.40%, 05/01/18 | 722,751 | 819,383 | ||||||
6.64%, 01/02/24 | 267,176 | 268,512 | ||||||
Universal Hospital Services, Inc. | ||||||||
8.50%, 06/01/15 PIK | 20,000 | 20,700 | ||||||
Univision Communications, Inc. | ||||||||
7.88%, 11/01/20 144AD | 150,000 | 154,500 |
See Notes to Financial Statements.
83
Table of Contents
GLOBAL BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
USG Corporation | ||||||||
6.30%, 11/15/16 | $ | 1,250,000 | $ | 1,106,250 | ||||
Vanguard Health Holding Co. II LLC | ||||||||
8.00%, 02/01/18 | 105,000 | 108,938 | ||||||
Verizon Maryland, Inc. | ||||||||
5.13%, 06/15/33 | 100,000 | 93,512 | ||||||
Verizon New York, Inc. | ||||||||
7.38%, 04/01/32 | 75,000 | 86,506 | ||||||
Verizon Pennsylvania, Inc. | ||||||||
6.00%, 12/01/28 | 90,000 | 88,620 | ||||||
Wachovia Corporation | ||||||||
5.25%, 08/01/14 | 120,000 | 128,715 | ||||||
WellPoint, Inc. | ||||||||
7.00%, 02/15/19 | 80,000 | 95,698 | ||||||
Western Union Co. | ||||||||
6.20%, 11/17/36D | 60,000 | 61,201 | ||||||
6.20%, 06/21/40 | 5,000 | 5,038 | ||||||
Westvaco Corporation | ||||||||
8.20%, 01/15/30 | 150,000 | 162,882 | ||||||
7.95%, 02/15/31 | 135,000 | 146,361 | ||||||
Weyerhaeuser Co. | ||||||||
8.50%, 01/15/25 | 405,000 | 488,194 | ||||||
6.95%, 10/01/27 | 55,000 | 56,655 | ||||||
7.38%, 03/15/32 | 370,000 | 386,069 | ||||||
6.88%, 12/15/33 | 490,000 | 494,508 | ||||||
Whiting Petroleum Corporation | ||||||||
7.00%, 02/01/14 | 130,000 | 140,400 | ||||||
Williams Cos., Inc. | ||||||||
7.50%, 01/15/31 | 97,000 | 111,234 | ||||||
Wyndham Worldwide Corporation | ||||||||
7.38%, 03/01/20 | 380,000 | 422,057 | ||||||
|
| |||||||
Total Corporate Bonds | 72,738,911 | |||||||
|
| |||||||
FOREIGN BONDS — 39.3% | ||||||||
Argentina — 0.3% | ||||||||
Argentina Bonds | ||||||||
7.00%, 10/03/15D | 102,000 | 100,852 | ||||||
Argentina Republic Government | ||||||||
8.75%, 06/02/17D | 93,000 | 94,814 | ||||||
Pan American Energy LLC | ||||||||
7.88%, 05/07/21 144AD | 100,000 | 106,500 | ||||||
7.88%, 05/07/21D | 176,000 | 187,440 | ||||||
|
| |||||||
489,606 | ||||||||
|
| |||||||
Australia — 2.1% | ||||||||
New South Wales Treasury Corporation | ||||||||
6.00%, 05/01/12(A) | 2,825,000 | 3,058,578 | ||||||
Queensland Treasury Corporation | ||||||||
7.13%, 09/18/17(Z) | 275,000 | 250,311 | ||||||
Rio Tinto Finance USA, Ltd. | ||||||||
9.00%, 05/01/19 | 260,000 | 345,024 | ||||||
|
| |||||||
3,653,913 | ||||||||
|
| |||||||
Belgium — 0.1% | ||||||||
Ontex IV SA | ||||||||
9.00%, 04/15/19 | 100,000 | 136,677 | ||||||
|
| |||||||
Bermuda — 0.8% | ||||||||
Qtel International Finance, Ltd. | ||||||||
4.75%, 02/16/21 144A | 200,000 | 196,000 | ||||||
White Mountains Re Group, Ltd. | ||||||||
6.38%, 03/20/17 144A | 1,250,000 | 1,297,680 | ||||||
|
| |||||||
1,493,680 | ||||||||
|
| |||||||
Brazil — 4.1% | ||||||||
Brazil Notas do Tesouro Nacional, Series F | ||||||||
10.00%, 01/01/17(B) | 4,345,000 | 2,524,772 | ||||||
Federative Republic of Brazil | ||||||||
4.88%, 01/22/21D | 120,000 | 128,940 | ||||||
10.25%, 01/10/28(B) | 6,000,000 | 4,209,784 | ||||||
11.00%, 08/17/40 | 115,000 | 157,090 | ||||||
Hypermarcas SA | ||||||||
6.50%, 04/20/21 144AD | 150,000 | 150,563 | ||||||
Telemar Norte Leste SA | ||||||||
5.50%, 10/23/20 144AD | 110,000 | 109,175 | ||||||
|
| |||||||
7,280,324 | ||||||||
|
| |||||||
Canada — 4.7% | ||||||||
Canadian Government Bond | ||||||||
5.25%, 06/01/12(C) | 4,720,000 | 5,070,066 | ||||||
Province of Manitoba | ||||||||
6.38%, 09/01/15(Z) | 815,000 | 718,795 | ||||||
Province of Quebec | ||||||||
6.75%, 11/09/15(Z) | 2,650,000 | 2,367,595 | ||||||
Stone Container Finance Company of Canada II | ||||||||
8.56%, 07/15/14+W | 330,000 | 9,075 | ||||||
Teck Resources, Ltd. | ||||||||
9.75%, 05/15/14 144A | 21,000 | 25,436 | ||||||
10.25%, 05/15/16 144A | 29,000 | 34,689 | ||||||
|
| |||||||
8,225,656 | ||||||||
|
| |||||||
Cayman Islands — 1.2% | ||||||||
Braskem Finance, Ltd. | ||||||||
5.75%, 04/15/21 144A | 200,000 | 202,260 | ||||||
Fibria Overseas Finance, Ltd. | ||||||||
7.50%, 05/04/20D | 190,000 | 207,822 | ||||||
6.75%, 03/03/21 144A | 200,000 | 210,500 | ||||||
Odebrecht Finance, Ltd. | ||||||||
7.00%, 04/21/20 144A | 150,000 | 165,750 | ||||||
6.00%, 04/05/23 144A | 220,000 | 219,725 | ||||||
Petrobras International Finance Co. | ||||||||
6.88%, 01/20/40 | 160,000 | 171,712 | ||||||
6.75%, 01/27/41D | 160,000 | 171,538 | ||||||
Suzano Trading, Ltd. | ||||||||
5.88%, 01/23/21 144A | 250,000 | 244,125 | ||||||
TGI International, Ltd. | ||||||||
9.50%, 10/03/17 | 130,000 | 146,738 | ||||||
Vale Overseas, Ltd. | ||||||||
6.88%, 11/21/36 | 332,000 | 361,311 | ||||||
|
| |||||||
2,101,481 | ||||||||
|
| |||||||
Chile — 0.3% | ||||||||
Celulosa Arauco y Constitucion SA | ||||||||
7.25%, 07/29/19 | 120,000 | 137,410 | ||||||
Colbun SA | ||||||||
6.00%, 01/21/20 144A | 110,000 | 115,874 | ||||||
E.CL SA | ||||||||
5.63%, 01/15/21 144A | 150,000 | 154,831 |
See Notes to Financial Statements.
84
Table of Contents
Par | Value | |||||||
Inversiones CMPC SA | ||||||||
4.75%, 01/19/18 144AD | $ | 200,000 | $ | 200,807 | ||||
|
| |||||||
608,922 | ||||||||
|
| |||||||
Colombia — 0.5% | ||||||||
Ecopetrol SA | ||||||||
7.63%, 07/23/19 144A | 260,000 | 312,650 | ||||||
Empresas Publicas de Medellin ESP | ||||||||
7.63%, 07/29/19 144A | 120,000 | 140,100 | ||||||
Republic of Colombia | ||||||||
7.38%, 03/18/19 | 200,000 | 250,300 | ||||||
7.38%, 09/18/37D | 160,000 | 202,400 | ||||||
|
| |||||||
905,450 | ||||||||
|
| |||||||
France — 1.1% | ||||||||
AXA SA | ||||||||
6.21%, 10/29/49(E)† | 210,000 | 271,994 | ||||||
Compagnie Generale de Geophysique - Veritas | ||||||||
9.50%, 05/15/16 | 650,000 | 713,375 | ||||||
Credit Agricole SA | ||||||||
8.38%, 10/29/49 144A†D | 250,000 | 262,500 | ||||||
Dexia Credit Local | ||||||||
4.30%, 11/29/49(E)† | 500,000 | 360,799 | ||||||
Europcar Groupe SA | ||||||||
9.38%, 04/15/18 144A(E) | 145,000 | 211,587 | ||||||
Korreden SA | ||||||||
11.00%, 08/01/14(E) | 69,333 | 33,934 | ||||||
|
| |||||||
1,854,189 | ||||||||
|
| |||||||
Germany — 5.7% | ||||||||
Bundesobligation | ||||||||
2.00%, 02/26/16(E)D | 920,000 | 1,319,933 | ||||||
Bundesrepublik Deutschland | ||||||||
4.00%, 07/04/16(E) | 2,000 | 3,127 | ||||||
3.75%, 01/04/19(E) | 770,000 | 1,192,785 | ||||||
3.25%, 01/04/20(E) | 4,240,000 | 6,336,192 | ||||||
Commerzbank AG | ||||||||
7.75%, 03/16/21(E) | 200,000 | 292,496 | ||||||
HT1 Funding GmbH | ||||||||
6.35%, 07/29/49(E) | 433,000 | 514,893 | ||||||
Kabel Deutschland Vertrieb und Service GmbH & Co. KG | ||||||||
6.50%, 06/29/18 144A(E) | 160,000 | 234,636 | ||||||
Rearden G Holdings EINS GmbH | ||||||||
7.88%, 03/30/20 144AD | 100,000 | 109,500 | ||||||
Unitymedia Hessen NRW | ||||||||
8.13%, 12/01/17 144A | 100,000 | 106,750 | ||||||
|
| |||||||
10,110,312 | ||||||||
|
| |||||||
Greece — 0.2% | ||||||||
Hellenic Republic Government Bond | ||||||||
2.30%, 07/25/30(E) | 520,000 | 335,954 | ||||||
|
| |||||||
Iceland — 0.0% | ||||||||
Kaupthing Bank HF | ||||||||
7.13%, 05/19/16 144A# | 150,000 | 1 | ||||||
|
| |||||||
Indonesia — 0.2% | ||||||||
Indonesia Government International Bond | ||||||||
6.63%, 02/17/37D | 125,000 | 139,038 | ||||||
Pertamina Persero PT | ||||||||
5.25%, 05/23/21 144AD | 200,000 | 202,400 | ||||||
|
| |||||||
341,438 | ||||||||
|
| |||||||
Ireland — 1.2% | ||||||||
Ardagh Glass Finance PLC | ||||||||
7.13%, 06/15/17 144A(E) | 112,000 | 155,921 | ||||||
Ireland Government Bond | ||||||||
4.50%, 10/18/18(E) | 900,000 | 857,156 | ||||||
5.00%, 10/18/20(E) | 50,000 | 46,506 | ||||||
5.40%, 03/13/25(E) | 250,000 | 224,632 | ||||||
Novatek Finance, Ltd. | ||||||||
6.60%, 02/03/21 144A | 200,000 | 210,000 | ||||||
XL Capital, Ltd. | ||||||||
6.25%, 05/15/27D | 640,000 | 649,348 | ||||||
|
| |||||||
2,143,563 | ||||||||
|
| |||||||
Italy — 0.5% | ||||||||
Seat Pagine Gialle SpA | ||||||||
10.50%, 01/31/17(E) | 129,000 | 171,170 | ||||||
Telecom Italia Capital SA | ||||||||
6.38%, 11/15/33 | 765,000 | 684,098 | ||||||
|
| |||||||
855,268 | ||||||||
|
| |||||||
Japan — 0.1% | ||||||||
Resona Bank, Ltd. | ||||||||
5.99%, 08/29/49(U)† | 100,000 | 160,496 | ||||||
|
| |||||||
Luxembourg — 1.1% | ||||||||
ConvaTec Healthcare E SA | ||||||||
10.88%, 12/15/18(E) | 100,000 | 150,816 | ||||||
CSN Resources SA | ||||||||
6.50%, 07/21/20 144A | 150,000 | 160,125 | ||||||
6.50%, 07/21/20D | 100,000 | 106,750 | ||||||
Evraz Group SA | ||||||||
9.50%, 04/24/18 | 160,000 | 184,400 | ||||||
6.75%, 04/27/18 144A | 240,000 | 241,200 | ||||||
Hannover Finance Luxembourg SA | ||||||||
5.75%, 09/14/40(E)† | 50,000 | 67,880 | ||||||
RSHB Capital SA for OJSC Russian Agricultural Bank | ||||||||
6.97%, 09/21/16† | 100,000 | 100,690 | ||||||
TNK-BP Finance SA | ||||||||
7.88%, 03/13/18 | 410,000 | 472,525 | ||||||
UBS Luxembourg SA for OJSC Vimpel Communications | ||||||||
8.25%, 05/23/16 | 255,000 | 280,819 | ||||||
Wind Acquisition Finance SA | ||||||||
7.25%, 02/15/18 144A | 200,000 | 208,500 | ||||||
Wind Acquisition Holdings Finance SA | ||||||||
12.25%, 07/15/17 PIK(E) | 7,350 | 12,284 | ||||||
|
| |||||||
1,985,989 | ||||||||
|
| |||||||
Malaysia — 0.7% | ||||||||
Malaysia Government Bond | ||||||||
3.84%, 08/12/15(R) | 3,365,000 | 1,133,291 | ||||||
4.26%, 09/15/16(R) | 140,000 | 47,961 | ||||||
|
| |||||||
1,181,252 | ||||||||
|
| |||||||
Marshall Islands — 0.1% | ||||||||
Teekay Corporation | ||||||||
8.50%, 01/15/20D | 150,000 | 155,625 | ||||||
|
| |||||||
Mexico — 3.0% | ||||||||
America Movil Sab de CV | ||||||||
5.63%, 11/15/17 | 98,000 | 110,461 | ||||||
Axtel SAB de CV | ||||||||
7.63%, 02/01/17 144AD | 170,000 | 162,350 | ||||||
7.63%, 02/01/17 | 20,000 | 19,100 | ||||||
9.00%, 09/22/19D | 58,000 | 56,927 | ||||||
Grupo Televisa SA | ||||||||
6.63%, 03/18/25D | 100,000 | 107,777 |
See Notes to Financial Statements.
85
Table of Contents
GLOBAL BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
6.63%, 01/15/40 144AD | $ | 100,000 | $ | 105,750 | ||||
Kansas City Southern de Mexico SA de CV | ||||||||
12.50%, 04/01/16 | 60,000 | 71,400 | ||||||
8.00%, 02/01/18D | 500,000 | 545,000 | ||||||
Mexican Bonos | ||||||||
8.00%, 06/11/20(M) | 18,875,000 | 1,733,543 | ||||||
8.00%, 12/07/23(M) | 26,500,000 | 2,403,247 | ||||||
|
| |||||||
5,315,555 | ||||||||
|
| |||||||
Netherlands — 1.4% | ||||||||
Clondalkin Acquisition BV | ||||||||
3.47%, 12/15/13 144A(E)† | 66,000 | 93,078 | ||||||
Clondalkin Industries BV | ||||||||
8.00%, 03/15/14 144A(E) | 150,000 | 208,279 | ||||||
EDP Finance BV | ||||||||
4.90%, 10/01/19 144A | 200,000 | 171,623 | ||||||
ELM BV for Swiss Reinsurance Co. | ||||||||
5.25%, 05/25/49(E)† | 400,000 | 513,368 | ||||||
Hollandwide Parent BV | ||||||||
0.00%, 08/01/14(E)W | 191,000 | 1,731 | ||||||
Indosat Palapa Co. BV | ||||||||
7.38%, 07/29/20 144AD | 100,000 | 111,500 | ||||||
Lukoil International Finance BV | ||||||||
6.36%, 06/07/17 | 200,000 | 216,500 | ||||||
OI European Group BV | ||||||||
6.88%, 03/31/17 144A(E) | 100,000 | 145,741 | ||||||
Polish Television Holding BV | ||||||||
11.25%, 05/15/17 STEP 144A(E) | 125,000 | 190,678 | ||||||
UPC Holding BV | ||||||||
8.00%, 11/01/16(E) | 154,000 | 232,257 | ||||||
VimpelCom Holdings BV | ||||||||
7.50%, 03/01/22 144A | 200,000 | 201,200 | ||||||
Ziggo Bond Co. BV | ||||||||
8.00%, 05/15/18 144A(E) | 250,000 | 373,416 | ||||||
|
| |||||||
2,459,371 | ||||||||
|
| |||||||
Norway — 1.0% | ||||||||
Norway Government Bond | ||||||||
5.00%, 05/15/15(K) | 355,000 | 71,439 | ||||||
4.25%, 05/19/17(K) | 8,060,000 | 1,595,615 | ||||||
Trico Shipping AS | ||||||||
0.00%, 05/13/14 | 33,104 | 33,104 | ||||||
|
| |||||||
1,700,158 | ||||||||
|
| |||||||
Panama — 0.3% | ||||||||
AES El Salvador Trust | ||||||||
6.75%, 02/01/16 | 100,000 | 102,000 | ||||||
Panama Government International Bond | ||||||||
7.25%, 03/15/15 | 1,000 | 1,183 | ||||||
6.70%, 01/26/36D | 296,000 | 350,760 | ||||||
|
| |||||||
453,943 | ||||||||
|
| |||||||
Peru — 0.5% | ||||||||
Peru Government Bond | ||||||||
7.84%, 08/12/20(P) | 1,864,000 | 748,596 | ||||||
Republic of Peru | ||||||||
7.35%, 07/21/25 | 40,000 | 49,060 | ||||||
8.75%, 11/21/33D | 9,000 | 12,317 | ||||||
6.55%, 03/14/37 | 8,000 | 8,964 | ||||||
|
| |||||||
818,937 | ||||||||
|
| |||||||
Poland — 0.7% | ||||||||
Poland Government Bond | ||||||||
5.75%, 09/23/22(V) | 3,640,000 | 1,309,636 | ||||||
|
| |||||||
Portugal — 0.1% | ||||||||
Obrigacoes do Tesouro | ||||||||
4.80%, 06/15/20(E) | 50,000 | 44,632 | ||||||
3.85%, 04/15/21(E) | 200,000 | 168,476 | ||||||
|
| |||||||
213,108 | ||||||||
|
| |||||||
Russia — 0.5% | ||||||||
Russian Federation | ||||||||
7.50%, 03/31/30 STEPD | 711,895 | 840,926 | ||||||
|
| |||||||
South Africa — 0.2% | ||||||||
Edcon Proprietary, Ltd. | ||||||||
4.72%, 06/15/14(E)† | 320,000 | 408,364 | ||||||
|
| |||||||
Supranational — 0.9% | ||||||||
Inter-American Development Bank | ||||||||
7.00%, 09/23/13(N)W | 15,900,000,000 | 1,590,464 | ||||||
|
| |||||||
Sweden — 0.2% | ||||||||
Corral Petroleum Holdings AB | ||||||||
2.00%, 09/18/11 PIK 144A(E) | 123,348 | 178,321 | ||||||
Nordea Bank AB | ||||||||
4.88%, 01/27/20 144A | 160,000 | 166,142 | ||||||
|
| |||||||
344,463 | ||||||||
|
| |||||||
Thailand — 0.2% | ||||||||
True Move Co., Ltd. | ||||||||
10.75%, 12/16/13 144A | 361,000 | 391,234 | ||||||
|
| |||||||
Trinidad And Tobago — 0.2% | ||||||||
Petroleum Co. of Trinidad & Tobago, Ltd. | ||||||||
9.75%, 08/14/19 144A | 240,000 | 291,000 | ||||||
|
| |||||||
Turkey — 0.2% | ||||||||
Republic of Turkey | ||||||||
7.50%, 07/14/17 | 100,000 | 117,770 | ||||||
7.00%, 03/11/19 | 100,000 | 115,335 | ||||||
6.88%, 03/17/36 | 73,000 | 80,665 | ||||||
|
| |||||||
313,770 | ||||||||
|
| |||||||
United Arab Emirates — 0.8% | ||||||||
DP World, Ltd. | ||||||||
6.85%, 07/02/37 144A | 1,500,000 | 1,440,000 | ||||||
|
| |||||||
United Kingdom — 3.4% | ||||||||
Barclays Bank PLC | ||||||||
6.00%, 01/23/18(E) | 450,000 | 647,497 | ||||||
6.37%, 06/29/49(U)† | 180,000 | 258,197 | ||||||
Boparan Holdings, Ltd. | ||||||||
9.88%, 04/30/18 144A(U) | 100,000 | 154,076 | ||||||
Crown Newco 3 PLC | ||||||||
8.88%, 02/15/19(U) | 100,000 | 158,891 | ||||||
DFS Furniture Holdings PLC | ||||||||
9.75%, 07/15/17 144A(U) | 54,000 | 85,367 | ||||||
HBOS PLC | ||||||||
1.73%, 09/01/16(E)† | 273,000 | 351,207 | ||||||
HSBC Holdings PLC | ||||||||
6.00%, 06/10/19(E) | 270,000 | 409,848 | ||||||
Ineos Group Holdings PLC | ||||||||
7.88%, 02/15/16(E) | 250,000 | 354,382 | ||||||
Inmarsat Finance PLC | ||||||||
7.38%, 12/01/17 144A | 290,000 | 308,850 | ||||||
Lloyds TSB Bank PLC | ||||||||
6.50%, 03/24/20(E) | 706,000 | 958,052 |
See Notes to Financial Statements.
86
Table of Contents
Par | Value | |||||||
Phones4u Finance PLC | ||||||||
9.50%, 04/01/18 144A(U) | $ | 130,000 | $ | 202,385 | ||||
Royal Bank of Scotland PLC | ||||||||
4.88%, 01/20/17(E)D | 580,000 | 830,500 | ||||||
Royal Bank of Scotland Group PLC | ||||||||
7.09%, 10/29/49(E) | 500,000 | 574,553 | ||||||
Vedanta Resources PLC | ||||||||
8.75%, 01/15/14D | 210,000 | 226,275 | ||||||
6.75%, 06/07/16 144A | 200,000 | 200,240 | ||||||
Virgin Media Finance PLC | ||||||||
9.13%, 08/15/16 | 175,000 | 184,625 | ||||||
|
| |||||||
5,904,945 | ||||||||
|
| |||||||
Venezuela — 0.6% | ||||||||
Venezuela Government International Bond | ||||||||
8.50%, 10/08/14D | 26,000 | 23,855 | ||||||
5.75%, 02/26/16D | 1,153,000 | 889,367 | ||||||
7.75%, 10/13/19D | 90,000 | 65,475 | ||||||
9.38%, 01/13/34 | 207,000 | 148,522 | ||||||
|
| |||||||
1,127,219 | ||||||||
|
| |||||||
Virgin Islands (British) — 0.1% | ||||||||
GTL Trade Finance, Inc. | ||||||||
7.25%, 10/20/17 144AD | 189,000 | 212,625 | ||||||
|
| |||||||
Total Foreign Bonds | 69,155,514 | |||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 3.3% | ||||||||
Bayview Commercial Asset Trust | ||||||||
0.42%, 07/25/36 144A† | 209,916 | 166,920 | ||||||
Credit Suisse Mortgage Capital Certificates | ||||||||
5.70%, 09/15/40† | 220,000 | 233,211 | ||||||
Federal National Mortgage Association | ||||||||
3.50%, 07/01/26 TBA | 300,000 | 305,437 | ||||||
5.50%, 07/01/37 TBA | 1,900,000 | 2,054,375 | ||||||
4.50%, 07/13/40 TBA | 2,700,000 | 2,793,234 | ||||||
Government National Mortgage Association | ||||||||
4.50%, 07/01/41 TBA | 300,000 | 315,703 | ||||||
|
| |||||||
Total Mortgage-Backed Securities | 5,868,880 | |||||||
|
| |||||||
MUNICIPAL BOND — 0.2% | ||||||||
State of Illinois General Obligation Bond, Taxable Pension | ||||||||
5.10%, 06/01/33 (Cost $328,158) | 435,000 | 370,498 | ||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 3.2% | ||||||||
U.S. Treasury Bonds | ||||||||
3.50%, 02/15/39D‡‡ | 3,500,000 | 3,006,171 | ||||||
4.25%, 05/15/39D | 40,000 | 39,244 | ||||||
4.63%, 02/15/40D | 140,000 | 145,994 | ||||||
|
| |||||||
3,191,409 | ||||||||
|
| |||||||
U.S. Treasury Notes | ||||||||
4.50%, 04/30/12 | 30,000 | 31,075 | ||||||
1.00%, 05/15/14D | 10,000 | 10,068 | ||||||
2.63%, 07/31/14D | 50,000 | 52,715 | ||||||
2.38%, 09/30/14D | 110,000 | 115,139 | ||||||
1.75%, 07/31/15D | 90,000 | 91,540 | ||||||
1.25%, 08/31/15D | 90,000 | 89,613 | ||||||
1.25%, 09/30/15D | 90,000 | 89,430 | ||||||
2.00%, 01/31/16 | 170,000 | 173,334 | ||||||
1.88%, 10/31/17D | 10,000 | 9,760 | ||||||
3.38%, 11/15/19D | 40,000 | 41,706 | ||||||
3.63%, 02/15/20D | 20,000 | 21,161 | ||||||
2.63%, 08/15/20D | 340,000 | 329,163 | ||||||
2.63%, 11/15/20D | 1,300,000 | 1,252,265 | ||||||
3.63%, 02/15/21D | 90,000 | 93,860 | ||||||
3.88%, 08/15/40D | 30,000 | 27,473 | ||||||
|
| |||||||
2,428,302 | ||||||||
|
| |||||||
Total U.S. Treasury Obligations | 5,619,711 | |||||||
|
| |||||||
Shares | ||||||||
COMMON STOCKS — 0.4% | ||||||||
Healthcare — 0.3% | ||||||||
Bristol-Myers Squibb Co.D | 15,400 | 445,984 | ||||||
|
| |||||||
Materials & Processing — 0.0% | ||||||||
Georgia Gulf CorporationD* | 3,161 | 76,307 | ||||||
Rock-Tenn Co. Class A | 133 | 8,823 | ||||||
|
| |||||||
85,130 | ||||||||
|
| |||||||
Media — 0.1% | ||||||||
Charter Communications, Inc.D* | 2,769 | 150,246 | ||||||
Dex One CorporationD* | 1,433 | 3,625 | ||||||
|
| |||||||
153,871 | ||||||||
|
| |||||||
Producer Durables — 0.0% | ||||||||
Nortek, Inc.* | 179 | 6,437 | ||||||
|
| |||||||
Total Common Stocks | 691,422 | |||||||
|
| |||||||
FOREIGN COMMON STOCKS — 0.1% | ||||||||
Norway — 0.1% | ||||||||
Deep Ocean Group Holding@ | 8,860 | 124,040 | ||||||
|
| |||||||
Spain — 0.0% | ||||||||
Repsol YPF SA ADRD | 1,848 | 64,236 | ||||||
|
| |||||||
Total Foreign Common Stocks | 188,276 | |||||||
|
| |||||||
PREFERRED STOCKS — 1.8% | ||||||||
Bank of America Corporation CONVD | 602 | 602,722 | ||||||
Citigroup Capital XII | 12,325 | 318,232 | ||||||
CMP Susquehanna Radio Holdings Corporation 144A@ | 1,493 | 15 | ||||||
El Paso Energy Capital Trust I CONVD | 500 | 22,260 | ||||||
Lucent Technologies Capital Trust I CONVD | 1,891 | 1,860,271 | ||||||
Preferred Blocker (GMAC), Inc. 144A | 400 | 375,925 | ||||||
|
| |||||||
Total Preferred Stocks | 3,179,425 | |||||||
|
|
See Notes to Financial Statements.
87
Table of Contents
GLOBAL BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | |||||||
RIGHTS/WARRANTS — 0.0% | ||||||||
Buffets Restaurants Holdings, Inc.@ | 89 | $ | 1 | |||||
Charter Communications, Inc. | 110 | 1,265 | ||||||
CMP Susquehanna Radio Holdings Corporation@ | 1,706 | — | ||||||
Nortek, Inc.@ | 184 | 736 | ||||||
|
| |||||||
Total Rights/Warrants | 2,002 | |||||||
|
| |||||||
MONEY MARKET FUNDS — 26.9% | ||||||||
GuideStone Money Market Fund (GS4 Class)¥ | 18,586,528 | 18,586,528 | ||||||
Northern Institutional Liquid Assets Portfolio§ | 28,691,757 | 28,691,757 | ||||||
|
| |||||||
Total Money Market Funds | 47,278,285 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 116.6% | 205,108,915 | |||||||
Liabilities in Excess of Other Assets — (16.6)% | (29,163,723 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 175,945,192 | ||||||
|
|
Please see abbreviation and footnote definitions beginning on page 130.
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Corporate Bonds | 41.4 | |||
Foreign Bonds | 39.3 | |||
Money Market Funds | 26.9 | |||
Mortgage-Backed Securities | 3.3 | |||
U.S. Treasury Obligations | 3.2 | |||
Preferred Stocks | 1.8 | |||
Common Stocks | 0.4 | |||
Municipal Bond | 0.2 | |||
Foreign Common Stocks | 0.1 | |||
Agency Obligation | — | ** | ||
Rights/Warrants | — | ** | ||
Forward Foreign Currency Contracts | (4.5 | ) | ||
Futures Contracts | (9.2 | ) | ||
|
| |||
102.9 | ||||
|
|
** | Rounds to less than 0.005%. |
See Notes to Financial Statements.
88
Table of Contents
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2011, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Agency Obligation | $ | 15,991 | $ | — | $ | 15,991 | $ | — | ||||||||
Common Stocks | 691,422 | 691,422 | — | — | ||||||||||||
Corporate Bonds | 72,738,911 | — | 72,738,911 | — | ||||||||||||
Foreign Bonds | 69,155,514 | — | 69,146,439 | 9,075 | ||||||||||||
Foreign Common Stocks | 188,276 | 64,236 | — | 124,040 | ||||||||||||
Money Market Funds | 47,278,285 | 47,278,285 | — | — | ||||||||||||
Mortgage-Backed Securities | 5,868,880 | — | 5,868,880 | — | ||||||||||||
Municipal Bond | 370,498 | — | 370,498 | — | ||||||||||||
Preferred Stocks | 3,179,425 | 3,179,425 | — | — | ||||||||||||
Rights/Warrants | 2,002 | 2,002 | — | — | ||||||||||||
U.S. Treasury Obligations | 5,619,711 | — | 5,619,711 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 205,108,915 | $ | 51,215,370 | $ | 153,760,430 | $ | 133,115 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Forward Foreign Currency Contracts | $ | 370,808 | $ | — | $ | 370,808 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 370,808 | $ | — | $ | 370,808 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | (93,674 | ) | $ | (93,674 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities — Other Financial Instruments | $ | (93,674 | ) | $ | (93,674 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|
*** | 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:
Total Value | Common Stocks | Foreign Bonds | Foreign Common Stocks | |||||||||||||
Balance, 12/31/10 | $ | 11,550 | $ | 11,550 | $ | — | $ | — | ||||||||
Accrued discounts/premiums | — | — | — | — | ||||||||||||
Realized gain (loss)(1) | — | — | — | — | ||||||||||||
Change in unrealized appreciation (depreciation)(2) | 17,460 | — | (2,475 | ) | 19,935 | |||||||||||
Purchases | 104,105 | — | — | 104,105 | ||||||||||||
Sales | — | — | — | — | ||||||||||||
Transfers in and/or out of Level 3(3) | — | (11,550 | ) | 11,550 | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Balance, 06/30/11 | $ | 133,115 | $ | — | $ | 9,075 | $ | 124,040 | ||||||||
|
|
|
|
|
|
|
|
(1) | Realized gain (loss) from the sale of Level 3 securities can be found on the Statement of Operations in Net Realized Gain (loss) from Investment securities and securities sold short. |
(2) | Change in unrealized appreciation (depreciation) can be found on the Statement of Operations in Net change in unrealized appreciation (depreciation) on Investment securities and securities sold short. |
(3) | Transfers in and/or out of Level 3 reflect the re-classification of a balance from December 31, 2010. |
See Notes to Financial Statements.
89
Table of Contents
EQUITY INDEX FUND | ||
SCHEDULE OF INVESTMENTS | June 30, 2011 (Unaudited) |
Shares | Value | |||||||
COMMON STOCKS — 96.3% | ||||||||
Consumer Discretionary — 11.8% | ||||||||
Amazon.com, Inc.* | 10,595 | $ | 2,166,572 | |||||
Apollo Group, Inc. Class A* | 3,477 | 151,875 | ||||||
AutoNation, Inc.D* | 1,972 | 72,195 | ||||||
AutoZone, Inc.* | 744 | 219,368 | ||||||
Avon Products, Inc. | 12,815 | 358,820 | ||||||
Bed Bath & Beyond, Inc.* | 7,305 | 426,393 | ||||||
Best Buy Co., Inc.D | 9,782 | 307,253 | ||||||
Big Lots, Inc.D* | 2,331 | 77,273 | ||||||
Cablevision Systems Corporation | 7,100 | 257,091 | ||||||
CarMax, Inc.D* | 6,556 | 216,807 | ||||||
Carnival Corporation | 12,823 | 482,529 | ||||||
CBS Corporation Class B | 19,896 | 566,837 | ||||||
Chipotle Mexican Grill, Inc.D* | 919 | 283,227 | ||||||
Coach, Inc. | 8,766 | 560,410 | ||||||
Comcast Corporation Class A | 82,497 | 2,090,474 | ||||||
Costco Wholesale Corporation | 13,039 | 1,059,288 | ||||||
Darden Restaurants, Inc. | 4,066 | 202,324 | ||||||
DeVry, Inc.D | 1,739 | 102,827 | ||||||
DIRECTV Group, Inc. Class A* | 22,862 | 1,161,847 | ||||||
Discovery Communications, Inc.D* | 8,323 | 340,910 | ||||||
DR Horton, Inc. | 8,320 | 95,846 | ||||||
eBay, Inc.* | 33,842 | 1,092,081 | ||||||
Estee Lauder Cos., Inc. (The) Class A | 3,312 | 348,389 | ||||||
Expedia, Inc.D | 6,096 | 176,723 | ||||||
Family Dollar Stores, Inc. | 3,646 | 191,634 | ||||||
Ford Motor Co.D* | 112,314 | 1,548,810 | ||||||
GameStop Corporation Class AD* | 4,309 | 114,921 | ||||||
Gannett Co., Inc. | 7,305 | 104,608 | ||||||
Gap, Inc. (The)D | 11,699 | 211,752 | ||||||
Genuine Parts Co. | 4,688 | 255,027 | ||||||
Goodyear Tire & Rubber Co. (The)* | 6,838 | 114,673 | ||||||
H&R Block, Inc.D | 8,799 | 141,136 | ||||||
Harley-Davidson, Inc. | 6,940 | 284,332 | ||||||
Harman International Industries, Inc. | 2,114 | 96,335 | ||||||
Hasbro, Inc. | 3,979 | 174,797 | ||||||
Home Depot, Inc. | 47,307 | 1,713,460 | ||||||
Interpublic Group of Companies, Inc. | 14,831 | 185,387 | ||||||
J.C. Penney Co., Inc.D | 6,400 | 221,056 | ||||||
Johnson Controls, Inc. | 20,310 | 846,115 | ||||||
Kohl’s Corporation | 8,243 | 412,232 | ||||||
Leggett & Platt, Inc. | 4,457 | 108,662 | ||||||
Lennar Corporation Class AD | 4,793 | 86,993 | ||||||
Limited Brands, Inc. | 7,752 | 298,064 | ||||||
Lowe’s Cos., Inc. | 38,851 | 905,617 | ||||||
Macy’s, Inc. | 12,655 | 370,032 | ||||||
Marriott International, Inc. Class A | 8,496 | 301,523 | ||||||
Marriott International, Ltd. Placeholder Shares+ | 82,125 | — | ||||||
Mattel, Inc. | 10,044 | 276,110 | ||||||
McDonald’s Corporation | 30,843 | 2,600,682 | ||||||
McGraw-Hill Co., Inc. (The) | 9,015 | 377,819 | ||||||
Netflix, Inc.D* | 1,282 | 336,769 | ||||||
Newell Rubbermaid, Inc. | 8,518 | 134,414 | ||||||
News Corporation | 67,369 | 1,192,431 | ||||||
NIKE, Inc. Class B | 11,302 | 1,016,954 | ||||||
Nordstrom, Inc. | 5,008 | 235,075 | ||||||
Omnicom Group, Inc. | 8,398 | 404,448 | ||||||
O’Reilly Automotive, Inc.* | 4,119 | 269,836 | ||||||
Polo Ralph Lauren CorporationD | 1,929 | 255,805 | ||||||
Priceline.com, Inc.* | 1,489 | 762,264 | ||||||
Pulte Homes, Inc.D* | 10,012 | 76,692 | ||||||
Ross Stores, Inc. | 3,512 | 281,381 | ||||||
Scripps Networks Interactive, Inc. Class A | 2,589 | 126,550 | ||||||
Sears Holdings CorporationD* | 1,342 | 95,872 | ||||||
Snap-On, Inc. | 1,680 | 104,966 | ||||||
Stanley Black & Decker, Inc. | 5,079 | 365,942 | ||||||
Staples, Inc. | 21,385 | 337,883 | ||||||
Starbucks Corporation | 22,307 | 880,903 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 5,877 | 329,347 | ||||||
Target Corporation | 20,508 | 962,030 | ||||||
Tiffany & Co. | 3,726 | 292,566 | ||||||
Time Warner Cable, Inc. | 9,893 | 772,050 | ||||||
Time Warner, Inc. | 31,808 | 1,156,857 | ||||||
TJX Cos., Inc. | 11,335 | 595,428 | ||||||
Urban Outfitters, Inc.* | 3,727 | 104,915 | ||||||
VF CorporationD | 2,550 | 276,828 | ||||||
Wal-Mart Stores, Inc. | 56,544 | 3,004,748 | ||||||
Walt Disney Co. (The) | 56,023 | 2,187,138 | ||||||
Washington Post Co. (The)D | 159 | 66,613 | ||||||
Whirlpool Corporation | 2,240 | 182,157 | ||||||
Wyndham Worldwide Corporation | 5,135 | 172,793 | ||||||
Yum! Brands, Inc. | 13,788 | 761,649 | ||||||
|
| |||||||
42,502,440 | ||||||||
|
| |||||||
Consumer Staples — 7.4% | ||||||||
Archer-Daniels-Midland Co. | 20,185 | 608,578 | ||||||
Campbell Soup Co.D | 5,664 | 195,691 | ||||||
Clorox Co.D | 4,109 | 277,111 | ||||||
Coca-Cola Co. (The) | 68,148 | 4,585,679 | ||||||
Coca-Cola Enterprises, Inc. | 9,315 | 271,812 | ||||||
Colgate-Palmolive Co. | 14,473 | 1,265,085 | ||||||
ConAgra Foods, Inc. | 12,112 | 312,611 | ||||||
CVS Caremark Corporation | 40,080 | 1,506,206 | ||||||
Dean Foods Co.* | 4,909 | 60,233 | ||||||
Dr Pepper Snapple Group, Inc.D | 6,709 | 281,308 | ||||||
General Mills, Inc. | 18,962 | 705,766 | ||||||
Heinz (H.J.) Co.D | 9,546 | 508,611 | ||||||
Hershey Co. (The)D | 4,580 | 260,373 | ||||||
Hormel Foods CorporationD | 3,990 | 118,942 | ||||||
J.M. Smucker Co. (The) | 3,346 | 255,768 | ||||||
Kellogg Co. | 7,602 | 420,543 | ||||||
Kimberly-Clark Corporation | 11,522 | 766,904 | ||||||
Kraft Foods, Inc. Class A | 52,462 | 1,848,236 | ||||||
Kroger Co. (The) | 17,911 | 444,193 | ||||||
McCormick & Co., Inc. | 4,036 | 200,065 | ||||||
Mead Johnson Nutrition Co. | 5,986 | 404,354 | ||||||
PepsiCo, Inc. | 46,837 | 3,298,730 | ||||||
Procter & Gamble Co. (The) | 82,825 | 5,265,185 | ||||||
Safeway, Inc.D | 10,976 | 256,509 | ||||||
Sara Lee Corporation | 17,608 | 334,376 | ||||||
SUPERVALU, Inc.D | 5,721 | 53,835 | ||||||
Sysco Corporation | 17,267 | 538,385 | ||||||
Tyson Foods, Inc. Class A | 8,760 | 170,119 | ||||||
Walgreen Co. | 27,400 | 1,163,404 |
See Notes to Financial Statements.
90
Table of Contents
Shares | Value | |||||||
Whole Foods Market, Inc. | 4,346 | $ | 275,754 | |||||
|
| |||||||
26,654,366 | ||||||||
|
| |||||||
Energy — 12.6% | ||||||||
Alpha Natural Resources, Inc.* | 6,713 | 305,038 | ||||||
Anadarko Petroleum Corporation | 14,847 | 1,139,656 | ||||||
Apache Corporation | 11,462 | 1,414,296 | ||||||
Baker Hughes, Inc. | 12,992 | 942,700 | ||||||
Cabot Oil & Gas Corporation | 3,016 | 199,991 | ||||||
Cameron International Corporation* | 7,228 | 363,496 | ||||||
Chesapeake Energy Corporation | 19,518 | 579,489 | ||||||
Chevron Corporation | 59,644 | 6,133,789 | ||||||
ConocoPhillips | 41,996 | 3,157,679 | ||||||
Consol Energy, Inc. | 6,705 | 325,058 | ||||||
Denbury Resources, Inc.* | 11,917 | 238,340 | ||||||
Devon Energy Corporation | 12,484 | 983,864 | ||||||
Diamond Offshore Drilling, Inc.D | 2,028 | 142,791 | ||||||
El Paso Corporation | 22,675 | 458,035 | ||||||
EOG Resources, Inc. | 7,934 | 829,500 | ||||||
EQT Corporation | 4,366 | 229,302 | ||||||
Exterran Holdings, Inc.* | 13 | 258 | ||||||
Exxon Mobil Corporation | 146,283 | 11,904,510 | ||||||
First Solar, Inc.D* | 1,580 | 208,987 | ||||||
FMC Technologies, Inc.* | 7,103 | 318,143 | ||||||
Halliburton Co. | 27,346 | 1,394,646 | ||||||
Helmerich & Payne, Inc. | 3,091 | 204,377 | ||||||
Hess Corporation | 9,130 | 682,559 | ||||||
Marathon Oil Corporation | 21,358 | 1,125,139 | ||||||
Murphy Oil Corporation | 5,722 | 375,707 | ||||||
Nabors Industries, Ltd.* | 8,434 | 207,814 | ||||||
National Oilwell Varco, Inc. | 12,670 | 990,921 | ||||||
Newfield Exploration Co.* | 3,960 | 269,359 | ||||||
Noble Corporation | 7,566 | 298,176 | ||||||
Noble Energy, Inc. | 5,378 | 482,030 | ||||||
Occidental Petroleum Corporation | 24,083 | 2,505,595 | ||||||
Peabody Energy Corporation | 8,010 | 471,869 | ||||||
Pioneer Natural Resources Co.D | 3,443 | 308,389 | ||||||
QEP Resources, Inc. | 5,285 | 221,072 | ||||||
Range Resources CorporationD | 4,760 | 264,180 | ||||||
Rowan Cos., Inc.* | 3,752 | 145,615 | ||||||
Schlumberger, Ltd. | 40,354 | 3,486,586 | ||||||
Southwestern Energy Co.D* | 10,372 | 444,751 | ||||||
Spectra Energy Corporation | 19,331 | 529,863 | ||||||
Sunoco, Inc. | 3,617 | 150,865 | ||||||
Tesoro CorporationD* | 4,092 | 93,748 | ||||||
Valero Energy Corporation | 16,873 | 431,443 | ||||||
Williams Cos., Inc. (The) | 17,716 | 535,909 | ||||||
|
| |||||||
45,495,535 | ||||||||
|
| |||||||
Financial Services — 15.6% | ||||||||
Aflac, Inc. | 13,891 | 648,432 | ||||||
Allstate Corporation (The) | 15,491 | 472,940 | ||||||
American Express Co. | 30,920 | 1,598,564 | ||||||
American International Group, Inc.D* | 12,913 | 378,609 | ||||||
Ameriprise Financial, Inc. | 7,335 | 423,083 | ||||||
AON Corporation | 9,809 | 503,202 | ||||||
Apartment Investment & Management Co. Class A REITD | 3,359 | 85,755 | ||||||
Assurant, Inc. | 3,099 | 112,401 | ||||||
AvalonBay Communities, Inc. REITD | 2,537 | 325,751 | ||||||
Bank of America Corporation | 300,173 | 3,289,896 | ||||||
Bank of New York Mellon Corporation (The) | 36,648 | 938,922 | ||||||
BB&T CorporationD | 20,628 | 553,655 | ||||||
Berkshire Hathaway, Inc.* | 51,457 | 3,982,257 | ||||||
BlackRock, Inc. | 2,831 | 543,014 | ||||||
Boston Properties, Inc. REITD | 4,407 | 467,847 | ||||||
Capital One Financial Corporation | 13,618 | 703,642 | ||||||
CB Richard Ellis Group, Inc. Class A* | 8,418 | 211,376 | ||||||
Chubb Corporation | 8,738 | 547,086 | ||||||
Cincinnati Financial CorporationD | 4,986 | 145,491 | ||||||
Citigroup, Inc. | 86,924 | 3,619,515 | ||||||
CME Group, Inc. | 1,979 | 577,057 | ||||||
Comerica, Inc.D | 5,205 | 179,937 | ||||||
Discover Financial Services | 16,167 | 432,467 | ||||||
Dun & Bradstreet CorporationD | 1,446 | 109,231 | ||||||
E*TRADE Financial Corporation* | 6,897 | 95,179 | ||||||
Equifax, Inc. | 3,635 | 126,207 | ||||||
Equity Residential REITD | 8,698 | 521,880 | ||||||
Federated Investors, Inc. Class BD | 2,744 | 65,417 | ||||||
Fidelity National Information Services, Inc. | 7,989 | 245,981 | ||||||
Fifth Third Bancorp | 27,132 | 345,933 | ||||||
First Horizon National Corporation | 8,417 | 80,298 | ||||||
First Horizon National Corporation Placeholder Shares+ | 271,852 | — | ||||||
Fiserv, Inc.* | 4,371 | 273,756 | ||||||
Franklin Resources, Inc. | 4,306 | 565,335 | ||||||
Genworth Financial, Inc. Class A* | 14,188 | 145,853 | ||||||
Goldman Sachs Group, Inc. (The) | 15,423 | 2,052,647 | ||||||
Hartford Financial Services Group, Inc.D | 13,216 | 348,506 | ||||||
HCP, Inc. REITD | 11,878 | 435,804 | ||||||
Health Care REIT, Inc.D | 5,356 | 280,815 | ||||||
Host Hotels & Resorts, Inc. REIT | 20,363 | 345,153 | ||||||
Hudson City Bancorp, Inc. | 15,400 | 126,126 | ||||||
Huntington Bancshares, Inc. | 25,528 | 167,464 | ||||||
IntercontinentalExchange, Inc.* | 2,146 | 267,628 | ||||||
Invesco, Ltd. | 13,605 | 318,357 | ||||||
Janus Capital Group, Inc. | 5,578 | 52,656 | ||||||
JPMorgan Chase & Co. | 118,071 | 4,833,827 | ||||||
KeyCorp | 29,511 | 245,827 | ||||||
Kimco Realty Corporation REIT | 11,779 | 219,560 | ||||||
Legg Mason, Inc. | 4,480 | 146,765 | ||||||
Leucadia National Corporation | 5,698 | 194,302 | ||||||
Lincoln National Corporation | 9,395 | 267,663 | ||||||
Loews Corporation | 9,023 | 379,778 | ||||||
M&T Bank CorporationD | 3,764 | 331,044 | ||||||
Marsh & McLennan Cos., Inc.D | 16,225 | 506,058 | ||||||
Marshall & Ilsley Corporation | 15,975 | 127,321 | ||||||
Mastercard, Inc. Class A | 2,786 | 839,533 | ||||||
MetLife, Inc. | 31,152 | 1,366,638 |
See Notes to Financial Statements.
91
Table of Contents
EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | |||||||
Moody’s CorporationD | 5,926 | $ | 227,262 | |||||
Morgan Stanley | 45,859 | 1,055,216 | ||||||
NASDAQ OMX Group, Inc. (The)* | 4,216 | 106,665 | ||||||
Northern Trust Corporation | 7,317 | 336,289 | ||||||
NYSE Euronext | 7,766 | 266,141 | ||||||
People’s United Financial, Inc. | 11,177 | 150,219 | ||||||
Plum Creek Timber Co., Inc. REITD | 4,933 | 199,984 | ||||||
PNC Financial Services Group, Inc. | 15,522 | 925,266 | ||||||
Principal Financial Group, Inc. | 9,410 | 286,252 | ||||||
Progressive Corporation (The) | 19,518 | 417,295 | ||||||
ProLogis, Inc. REITD | 13,496 | 483,697 | ||||||
Prudential Financial, Inc. | 14,380 | �� | 914,424 | |||||
Public Storage REIT | 4,125 | 470,291 | ||||||
Regions Financial Corporation | 36,863 | 228,551 | ||||||
Schwab (Charles) Corporation (The)D | 29,575 | 486,509 | ||||||
Simon Property Group, Inc. REITD | 8,832 | 1,026,543 | ||||||
SLM Corporation | 15,579 | 261,883 | ||||||
State Street Corporation | 15,299 | 689,832 | ||||||
SunTrust Banks, Inc. | 16,221 | 418,502 | ||||||
T. Rowe Price Group, Inc. | 7,791 | 470,109 | ||||||
Torchmark Corporation | 2,370 | 152,012 | ||||||
Total System Services, Inc. | 4,672 | 86,806 | ||||||
Travelers Cos., Inc. (The) | 12,497 | 729,575 | ||||||
Unum Group | 9,313 | 237,295 | ||||||
US Bancorp | 57,451 | 1,465,575 | ||||||
Ventas, Inc. REIT | 4,723 | 248,949 | ||||||
Visa, Inc. Class A | 14,133 | 1,190,846 | ||||||
Vornado Realty Trust REIT | 4,854 | 452,296 | ||||||
Wells Fargo & Co. | 157,283 | 4,413,361 | ||||||
Western Union Co. (The) | 19,271 | 385,998 | ||||||
Xl Group PLCD | 8,887 | 195,336 | ||||||
Zions BancorporationD | 5,202 | 124,900 | ||||||
|
| |||||||
56,273,320 | ||||||||
|
| |||||||
Healthcare — 11.4% | ||||||||
Abbott Laboratories | 46,309 | 2,436,780 | ||||||
Aetna, Inc. | 11,336 | 499,804 | ||||||
Allergan, Inc. | 9,074 | 755,410 | ||||||
AmerisourceBergen Corporation | 7,931 | 328,343 | ||||||
Amgen, Inc.* | 27,615 | 1,611,335 | ||||||
Bard (C.R.), Inc.D | 2,515 | 276,298 | ||||||
Baxter International, Inc. | 16,911 | 1,009,418 | ||||||
Becton Dickinson & Co. | 6,579 | 566,912 | ||||||
Biogen Idec, Inc.* | 7,220 | 771,962 | ||||||
Boston Scientific Corporation* | 45,172 | 312,139 | ||||||
Bristol-Myers Squibb Co.D | 50,307 | 1,456,891 | ||||||
Cardinal Health, Inc. | 10,620 | 482,360 | ||||||
CareFusion Corporation* | 6,536 | 177,583 | ||||||
Celgene Corporation* | 13,540 | 816,733 | ||||||
Cephalon, Inc.D* | 2,425 | 193,758 | ||||||
Cerner Corporation* | 4,150 | 253,606 | ||||||
CIGNA Corporation | 8,085 | 415,812 | ||||||
Conventry Health Care, Inc.* | 4,325 | 157,733 | ||||||
Covidien PLC | 14,887 | 792,435 | ||||||
DaVita, Inc.* | 2,914 | 252,382 | ||||||
DENTSPLY International, Inc. | 4,139 | 157,613 | ||||||
Edwards Lifesciences | ||||||||
Corporation* | 3,401 | 296,499 | ||||||
Eli Lilly & Co. | 30,253 | 1,135,395 | ||||||
Express Scripts, Inc.D* | 15,575 | 840,738 | ||||||
Forest Laboratories, Inc.* | 8,785 | 345,602 | ||||||
Gilead Sciences, Inc.* | 23,086 | 955,991 | ||||||
Hospira, Inc.* | 4,918 | 278,654 | ||||||
Humana, Inc. | 4,908 | 395,290 | ||||||
Intuitive Surgical, Inc.* | 1,167 | 434,252 | ||||||
Johnson & Johnson | 81,488 | 5,420,582 | ||||||
Laboratory Corporation of America Holdings* | 2,877 | 278,465 | ||||||
Life Technologies Corporation* | 5,247 | 273,211 | ||||||
McKesson Corporation | 7,584 | 634,402 | ||||||
Medco Health Solutions, Inc.* | 12,007 | 678,636 | ||||||
Medtronic, Inc. | 31,444 | 1,211,537 | ||||||
Merck & Co., Inc. | 91,434 | 3,226,706 | ||||||
Mylan, Inc.* | 13,275 | 327,494 | ||||||
Patterson Cos., Inc. | 2,965 | 97,519 | ||||||
PerkinElmer, Inc. | 3,334 | 89,718 | ||||||
Pfizer, Inc. | 235,203 | 4,845,182 | ||||||
Quest Diagnostics, Inc.D | 4,669 | 275,938 | ||||||
St. Jude Medical, Inc. | 9,741 | 464,451 | ||||||
Stryker Corporation | 10,033 | 588,837 | ||||||
Tenet Healthcare CorporationD* | 14,494 | 90,443 | ||||||
Thermo Fisher Scientific, Inc.* | 11,435 | 736,300 | ||||||
UnitedHealth Group, Inc. | 32,118 | 1,656,646 | ||||||
Varian Medical Systems, Inc.* | 3,466 | 242,689 | ||||||
Watson Pharmaceuticals, Inc.* | 3,625 | 249,146 | ||||||
WellPoint, Inc. | 10,919 | 860,090 | ||||||
Zimmer Holdings, Inc.* | 5,841 | 369,151 | ||||||
|
| |||||||
41,024,871 | ||||||||
|
| |||||||
Materials & Processing — 4.1% | ||||||||
Air Products & Chemicals, Inc. | 6,328 | 604,830 | ||||||
Airgas, Inc. | 2,194 | 153,668 | ||||||
AK Steel Holding Corporation | 2,974 | 46,870 | ||||||
Alcoa, Inc. | 31,848 | 505,109 | ||||||
Allegheny Technologies, Inc.D | 3,261 | 206,976 | ||||||
Ball Corporation | 4,884 | 187,839 | ||||||
Bemis Co., Inc. | 3,094 | 104,515 | ||||||
CF Industries Holdings, Inc. | 2,107 | 298,499 | ||||||
Cliffs Natural Resources, Inc. | 4,278 | 395,501 | ||||||
Dow Chemical Co. (The) | 34,753 | 1,251,108 | ||||||
Du Pont (E.I.) de Nemours & Co. | 27,790 | 1,502,049 | ||||||
Eastman Chemical Co. | 2,094 | 213,735 | ||||||
Ecolab, Inc. | 6,931 | 390,770 | ||||||
Fastenal Co.D | 8,783 | 316,100 | ||||||
FMC Corporation | 2,102 | 180,814 | ||||||
Freeport-McMoRan Copper & Gold, Inc. | 28,262 | 1,495,060 | ||||||
International Flavors & Fragrances, Inc. | 2,430 | 156,103 | ||||||
International Paper Co. | 12,943 | 385,960 | ||||||
Masco CorporationD | 10,640 | 127,999 | ||||||
MeadWestvaco Corporation | 4,951 | 164,918 | ||||||
Monsanto Co. | 15,824 | 1,147,873 | ||||||
Newmont Mining Corporation | 14,548 | 785,156 | ||||||
Nucor Corporation | 9,366 | 386,067 | ||||||
Owens-Illinois, Inc.* | 4,741 | 122,365 | ||||||
PPG Industries, Inc. | 4,817 | 437,335 | ||||||
Praxair, Inc. | 8,946 | 969,657 | ||||||
Precision Castparts Corporation | 4,326 | 712,276 | ||||||
Sealed Air Corporation | 4,642 | 110,433 | ||||||
Sherwin-Williams Co. (The)D | 2,651 | 222,339 | ||||||
Sigma-Aldrich Corporation | 3,576 | 262,407 | ||||||
Titanium Metals CorporationD | 2,486 | 45,544 |
See Notes to Financial Statements.
92
Table of Contents
Shares | Value | |||||||
United States Steel CorporationD | 4,199 | $ | 193,322 | |||||
Vulcan Materials Co.D | 3,693 | 142,291 | ||||||
Weyerhaeuser Co.D | 16,584 | 362,526 | ||||||
|
| |||||||
14,588,014 | ||||||||
|
| |||||||
Producer Durables — 11.1% | ||||||||
3M Co. | 21,014 | 1,993,178 | ||||||
Agilent Technologies, Inc.* | 10,334 | 528,171 | ||||||
Automatic Data Processing, Inc. | 14,726 | 775,766 | ||||||
Avery Dennison Corporation | 3,167 | 122,341 | ||||||
Boeing Co. (The) | 22,000 | 1,626,460 | ||||||
C.H. Robinson Worldwide, Inc. | 4,929 | 388,602 | ||||||
Caterpillar, Inc. | 19,193 | 2,043,287 | ||||||
Cintas CorporationD | 3,865 | 127,661 | ||||||
CSX Corporation | 33,183 | 870,058 | ||||||
Cummins, Inc. | 5,865 | 606,969 | ||||||
Danaher Corporation | 16,121 | 854,252 | ||||||
Deere & Co. | 12,539 | 1,033,841 | ||||||
Dover Corporation | 5,578 | 378,188 | ||||||
Eaton Corporation | 10,037 | 516,404 | ||||||
Emerson Electric Co. | 22,638 | 1,273,387 | ||||||
Expeditors International of Washington, Inc. | 6,329 | 323,982 | ||||||
FedEx Corporation | 9,511 | 902,118 | ||||||
FLIR Systems, Inc.D | 4,582 | 154,459 | ||||||
Flowserve Corporation | 1,656 | 181,978 | ||||||
Fluor Corporation | 5,230 | 338,172 | ||||||
General Dynamics Corporation | 11,007 | 820,242 | ||||||
General Electric Co. | 315,595 | 5,952,122 | ||||||
Goodrich Corporation | 3,664 | 349,912 | ||||||
Honeywell International, Inc. | 23,353 | 1,391,605 | ||||||
Illinois Tool Works, Inc. | 15,069 | 851,248 | ||||||
Iron Mountain, Inc. | 5,748 | 195,949 | ||||||
ITT Corporation | 5,381 | 317,102 | ||||||
Jacobs Engineering Group, Inc.* | 3,786 | 163,744 | ||||||
Joy Global, Inc. | 3,053 | 290,768 | ||||||
L-3 Communications Holdings, Inc. | 3,128 | 273,544 | ||||||
Lexmark International, Inc. Class A* | 2,375 | 69,492 | ||||||
Lockheed Martin Corporation | 8,502 | 688,407 | ||||||
Monster Worldwide, Inc.D* | 3,833 | 56,192 | ||||||
Norfolk Southern Corporation | 10,483 | 785,491 | ||||||
Northrop Grumman CorporationD | 8,679 | 601,889 | ||||||
PACCAR, Inc. | 10,852 | 554,429 | ||||||
Pall Corporation | 3,393 | 190,788 | ||||||
Parker Hannifin Corporation | 4,729 | 424,380 | ||||||
Paychex, Inc. | 9,538 | 293,007 | ||||||
Pitney Bowes, Inc.D | 6,258 | 143,871 | ||||||
Quanta Services, Inc.* | 6,449 | 130,270 | ||||||
Raytheon Co. | 10,790 | 537,882 | ||||||
Republic Services, Inc. | 9,111 | 281,074 | ||||||
Robert Half International, Inc.D | 4,203 | 113,607 | ||||||
Rockwell Automation, Inc. | 4,218 | 365,954 | ||||||
Rockwell Collins, Inc. | 4,635 | 285,933 | ||||||
Roper Industries, Inc. | 2,792 | 232,574 | ||||||
RR Donnelley & Sons Co.D | 5,210 | 102,168 | ||||||
Ryder System, Inc. | 1,554 | 88,345 | ||||||
Southwest Airlines Co. | 24,015 | 274,251 | ||||||
Stericycle, Inc.* | 2,509 | 223,602 | ||||||
Textron, Inc.D | 8,079 | 190,745 | ||||||
Union Pacific Corporation | 14,588 | 1,522,987 | ||||||
United Parcel Service, Inc. Class B | 29,227 | 2,131,525 | ||||||
United Technologies Corporation | 27,108 | 2,399,329 | ||||||
W.W. Grainger, Inc. | 1,735 | 266,583 | ||||||
Waste Management, Inc.D | 14,002 | 521,855 | ||||||
Waters Corporation* | 2,716 | 260,030 | ||||||
Xerox Corporation | 41,307 | 430,006 | ||||||
|
| |||||||
39,812,176 | ||||||||
|
| |||||||
Technology — 16.1% | ||||||||
Adobe Systems, Inc.* | 14,992 | 471,498 | ||||||
Advanced Micro Devices, Inc.D* | 16,645 | 116,349 | ||||||
Akamai Technologies, Inc.* | 5,428 | 170,819 | ||||||
Altera Corporation | 9,633 | 446,490 | ||||||
American Tower Corporation Class A* | 11,873 | 621,314 | ||||||
Amphenol Corporation Class AD | 5,229 | 282,314 | ||||||
Analog Devices, Inc. | 8,761 | 342,906 | ||||||
Apple, Inc.* | 27,480 | 9,224,212 | ||||||
Applied Materials, Inc. | 39,749 | 517,134 | ||||||
Autodesk, Inc.* | 6,744 | 260,318 | ||||||
BMC Software, Inc.* | 5,197 | 284,276 | ||||||
Broadcom Corporation Class A | 14,252 | 479,437 | ||||||
CA, Inc. | 11,225 | 256,379 | ||||||
Cisco Systems, Inc. | 163,889 | 2,558,307 | ||||||
Citrix Systems, Inc.* | 5,605 | 448,400 | ||||||
Cognizant Technology Solutions Corporation Class A* | 9,006 | 660,500 | ||||||
Computer Sciences Corporation | 4,536 | 172,187 | ||||||
Compuware Corporation* | 6,279 | 61,283 | ||||||
Corning, Inc. | 47,281 | 858,150 | ||||||
Dell, Inc.* | 48,600 | 810,162 | ||||||
Electronic Arts, Inc.* | 10,443 | 246,455 | ||||||
EMC Corporation* | 61,058 | 1,682,148 | ||||||
F5 Networks, Inc.* | 2,391 | 263,608 | ||||||
Google, Inc. Class A* | 7,471 | 3,783,165 | ||||||
Harris Corporation | 3,785 | 170,552 | ||||||
Hewlett-Packard Co. | 61,808 | 2,249,811 | ||||||
Intel Corporation | 157,809 | 3,497,047 | ||||||
International Business Machines Corporation | 35,913 | 6,160,875 | ||||||
Intuit, Inc.* | 8,262 | 428,467 | ||||||
Jabil Circuit, Inc. | 5,990 | 120,998 | ||||||
JDS Uniphase CorporationD* | 6,389 | 106,441 | ||||||
Juniper Networks, Inc.* | 15,957 | 502,645 | ||||||
KLA-Tencor CorporationD | 5,039 | 203,979 | ||||||
Linear Technology CorporationD | 6,636 | 219,121 | ||||||
LSI Corporation* | 18,143 | 129,178 | ||||||
MEMC Electronic Materials, Inc.D* | 6,325 | 53,952 | ||||||
Microchip Technology, Inc.D | 5,494 | 208,277 | ||||||
Micron Technology, Inc.D* | 24,941 | 186,559 | ||||||
Microsoft Corporation | 220,332 | 5,728,632 | ||||||
Molex, Inc.D | 3,990 | 102,822 | ||||||
Motorola Mobility Holdings, Inc.* | 8,701 | 191,770 | ||||||
Motorola Solutions, Inc.* | 9,944 | 457,822 | ||||||
National Semiconductor Corporation | 6,911 | 170,080 | ||||||
NetApp, Inc.* | 11,033 | 582,322 | ||||||
Novellus Systems, Inc.* | 2,600 | 93,964 |
See Notes to Financial Statements.
93
Table of Contents
EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | |||||||
NVIDIA Corporation* | 18,484 | $ | 294,542 | |||||
Oracle Corporation | 115,958 | 3,816,178 | ||||||
QUALCOMM, Inc. | 49,673 | 2,820,930 | ||||||
Red Hat, Inc.* | 5,720 | 262,548 | ||||||
SAIC, Inc.* | 8,605 | 144,736 | ||||||
Salesforce.com, Inc.* | 3,652 | 544,075 | ||||||
SanDisk Corporation* | 6,888 | 285,852 | ||||||
Symantec Corporation* | 23,102 | 455,571 | ||||||
Tellabs, Inc.D | 11,370 | 52,416 | ||||||
Teradata Corporation* | 4,980 | 299,796 | ||||||
Teradyne, Inc.D* | 5,126 | 75,865 | ||||||
Texas Instruments, Inc. | 34,818 | 1,143,075 | ||||||
VeriSign, Inc. | 5,111 | 171,014 | ||||||
Western Digital Corporation* | 6,757 | 245,820 | ||||||
Xilinx, Inc.D | 7,714 | 281,330 | ||||||
Yahoo!, Inc.* | 38,431 | 578,002 | ||||||
|
| |||||||
58,054,875 | ||||||||
|
| |||||||
Utilities — 6.2% | ||||||||
AES Corporation (The)* | 19,540 | 248,940 | ||||||
Ameren Corporation | 7,028 | 202,688 | ||||||
American Electric Power Co., Inc. | 14,365 | 541,273 | ||||||
AT&T, Inc. | 176,184 | 5,533,939 | ||||||
Centerpoint Energy, Inc. | 12,568 | 243,191 | ||||||
CenturyLink, Inc. | 17,626 | 712,619 | ||||||
CMS Energy Corporation | 7,151 | 140,803 | ||||||
Consolidated Edison, Inc. | 8,961 | 477,084 | ||||||
Constellation Energy Group, Inc. | 5,877 | 223,091 | ||||||
Dominion Resources, Inc.D | 17,140 | 827,348 | ||||||
DTE Energy Co. | 5,024 | 251,300 | ||||||
Duke Energy CorporationD | 39,964 | 752,522 | ||||||
Edison International | 9,738 | 377,348 | ||||||
Entergy Corporation | 5,354 | 365,571 | ||||||
Exelon CorporationD | 19,531 | 836,708 | ||||||
FirstEnergy Corporation | 12,356 | 545,517 | ||||||
Frontier Communications Corporation | 29,186 | 235,531 | ||||||
Integrys Energy Group, Inc.D | 2,204 | 114,255 | ||||||
MetroPCS Communications, Inc.* | 8,630 | 148,522 | ||||||
NextEra Energy, Inc. | 12,595 | 723,709 | ||||||
Nicor, Inc. | 1,246 | 68,206 | ||||||
NiSource, Inc. | 8,189 | 165,827 | ||||||
Northeast UtilitiesD | 5,116 | 179,930 | ||||||
NRG Energy, Inc.* | 7,383 | 181,474 | ||||||
Oneok, Inc.D | 3,121 | 230,985 | ||||||
Pepco Holdings, Inc.D | 6,413 | 125,887 | ||||||
PG&E Corporation | 11,723 | 492,718 | ||||||
Pinnacle West Capital Corporation | 3,142 | 140,070 | ||||||
PPL CorporationD | 17,756 | 494,150 | ||||||
Progress Energy, Inc. | 8,754 | 420,280 | ||||||
Public Service Enterprise Group, Inc. | 15,117 | 493,419 | ||||||
SCANA CorporationD | 3,453 | 135,945 | ||||||
Sempra Energy | 7,071 | 373,914 | ||||||
Southern Co. | 25,225 | 1,018,586 | ||||||
Sprint Nextel Corporation* | 88,681 | 477,991 | ||||||
TECO Energy, Inc.D | 6,162 | 116,400 | ||||||
Verizon Communications, Inc. | 83,732 | 3,117,342 | ||||||
Windstream CorporationD | 15,673 | 203,122 | ||||||
Wisconsin Energy Corporation | 6,809 | 213,462 | ||||||
Xcel Energy Inc. | 14,494 | 352,204 | ||||||
|
| |||||||
22,503,871 | ||||||||
|
| |||||||
Total Common Stocks | 346,909,468 | |||||||
|
| |||||||
FOREIGN COMMON STOCKS — 0.5% | ||||||||
Ireland — 0.1% | ||||||||
Ingersoll-Rand PLC | 10,000 | 454,100 | ||||||
|
| |||||||
Switzerland — 0.4% | ||||||||
Ace, Ltd. | 9,982 | 657,015 | ||||||
Tyco International, Ltd. | 14,074 | 695,678 | ||||||
|
| |||||||
1,352,693 | ||||||||
|
| |||||||
Total Foreign Common Stocks | 1,806,793 | |||||||
|
| |||||||
RIGHTS/WARRANTS — 0.0% | ||||||||
American International Group Fractional Warrants+ | 65,600 | — | ||||||
|
| |||||||
MONEY MARKET FUNDS — 9.6% | ||||||||
GuideStone Money Market Fund (GS4 Class)¥ | 9,741,461 | 9,741,461 | ||||||
Northern Institutional Liquid Assets Portfolio§ | 24,719,987 | 24,719,987 | ||||||
|
| |||||||
Total Money Market Funds | 34,461,448 | |||||||
|
| |||||||
Par | ||||||||
U.S. TREASURY OBLIGATION — 0.2% | ||||||||
U.S. Treasury Bill | ||||||||
0.40%, 11/17/11‡‡ | $ | 705,000 | 704,878 | |||||
|
| |||||||
TOTAL INVESTMENTS — 106.6% | 383,882,587 | |||||||
Liabilities in Excess of Other Assets — (6.6)% | (23,706,414 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 360,176,173 | ||||||
|
|
Please see abbreviation and footnote definitions beginning on page 130.
See Notes to Financial Statements.
94
Table of Contents
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Technology | 16.1 | |||
Financial Services | 15.6 | |||
Energy | 12.6 | |||
Consumer Discretionary | 11.8 | |||
Healthcare | 11.4 | |||
Producer Durables | 11.1 | |||
Money Market Funds | 9.6 | |||
Consumer Staples | 7.4 | |||
Utilities | 6.2 | |||
Materials & Processing | 4.1 | |||
Futures | 3.1 | |||
Foreign Common Stocks | 0.5 | |||
U.S. Treasury Obligation | 0.2 | |||
Rights/Warrants | — | ** | ||
|
| |||
109.7 | ||||
|
|
** | Rounds to less than 0.005%. |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2011, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Common Stock | $ | 346,909,468 | $ | 346,909,468 | $ | — | $ | — | ||||||||
Foreign Common Stocks | 1,806,793 | 1,806,793 | — | — | ||||||||||||
Money Market Funds | 34,461,448 | 34,461,448 | — | — | ||||||||||||
U.S. Treasury Obligations | 704,878 | — | 704,878 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 383,882,587 | $ | 383,177,709 | $ | 704,878 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | 310,436 | $ | 310,436 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 310,436 | $ | 310,436 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
*** | 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.
95
Table of Contents
REAL ESTATE SECURITIES FUND | ||
SCHEDULE OF INVESTMENTS | June 30, 2011 (Unaudited) |
Shares | Value | |||||||
COMMON STOCKS — 97.4% | ||||||||
Financial Services — 94.9% | ||||||||
Alexandria Real Estate Equities, Inc. REIT | 41,550 | $ | 3,216,801 | |||||
American Assets Trust, Inc. REITD | 46,600 | 1,046,170 | ||||||
AvalonBay Communities, Inc. REITD | 57,285 | 7,355,394 | ||||||
Boston Properties, Inc. REITD | 117,242 | 12,446,411 | ||||||
Brandywine Realty Trust REITD | 238,800 | 2,767,692 | ||||||
BRE Properties, Inc. REITD | 109,050 | 5,439,414 | ||||||
Brookfield Properties Corporation | 217,500 | 4,193,400 | ||||||
Camden Property Trust REIT | 77,200 | 4,911,464 | ||||||
Chesapeake Lodging Trust REITD | 58,850 | 1,003,981 | ||||||
Colonial Properties Trust REITD | 122,250 | 2,493,900 | ||||||
Developers Diversified Realty Corporation REIT | 302,900 | 4,270,890 | ||||||
Douglas Emmett, Inc. REITD | 130,350 | 2,592,662 | ||||||
Duke Realty Corporation REIT | 154,400 | 2,163,144 | ||||||
DuPont Fabros Technology, Inc. REITD | 63,650 | 1,603,980 | ||||||
Education Realty Trust, Inc. REITD | 182,100 | 1,560,597 | ||||||
Equity Lifestyle Properties, Inc. REITD | 47,350 | 2,956,534 | ||||||
Equity Residential REITD | 41,450 | 2,487,000 | ||||||
Extra Space Storage, Inc. REITD | 156,550 | 3,339,212 | ||||||
Federal Realty Investment Trust REITD | 49,250 | 4,195,115 | ||||||
General Growth Properties, Inc. REITD | 214,892 | 3,586,547 | ||||||
HCP, Inc. REITD | 170,450 | 6,253,810 | ||||||
Health Care REIT, Inc.D | 18,200 | 954,226 | ||||||
Host Hotels & Resorts, Inc. REITD | 344,140 | 5,833,173 | ||||||
Hudson Pacific Properties, Inc. REITD | 34,100 | 529,573 | ||||||
LTC Properties, Inc. REITD | 48,200 | 1,340,924 | ||||||
Mack-Cali Realty Corporation REIT | 66,700 | 2,197,098 | ||||||
Pebblebrook Hotel Trust REITD | 124,200 | 2,507,598 | ||||||
Post Properties, Inc. REITD | 100,000 | 4,076,000 | ||||||
ProLogis, Inc. REITD | 301,673 | 10,811,960 | ||||||
PS Business Parks, Inc. REITD | 17,800 | 980,780 | ||||||
Public Storage REIT | 47,080 | 5,367,591 | ||||||
Ramco-Gershenson Properties Trust REITD | 93,850 | 1,161,863 | ||||||
Sabra Healthcare, Inc. REITD | 14,750 | 246,472 | ||||||
Senior Housing Properties Trust REIT | 129,285 | 3,026,562 | ||||||
Simon Property Group, Inc. REIT | 139,000 | 16,155,970 | ||||||
SL Green Realty Corporation REITD | 63,450 | 5,258,102 | ||||||
Strategic Hotels & Resorts, Inc. REIT* | 357,600 | 2,531,808 | ||||||
Sunstone Hotel Investors, Inc. REITD* | 80,350 | 744,844 | ||||||
Tanger Factory Outlet Centers REITD | 131,000 | 3,506,870 | ||||||
Taubman Centers, Inc. REIT | 93,650 | 5,544,080 | ||||||
|
| |||||||
152,659,612 | ||||||||
|
| |||||||
Healthcare — 2.5% | ||||||||
Brookdale Senior Living, Inc.D* | 168,300 | 4,081,275 | ||||||
|
| |||||||
Total Common Stocks | 156,740,887 | |||||||
|
| |||||||
MONEY MARKET FUNDS — 39.1% | ||||||||
GuideStone Money Market Fund (GS4 Class)¥ | 3,260,185 | 3,260,185 | ||||||
Northern Institutional Liquid Assets Portfolio§ | 59,668,352 | 59,668,352 | ||||||
|
| |||||||
Total Money Market Funds | 62,928,537 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 136.5% | 219,669,424 | |||||||
Liabilities in Excess of Other Assets — (36.5)% | (58,705,786 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 160,963,638 | ||||||
|
|
Please see abbreviation and footnote definitions beginning on page 130.
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Financial Services | 94.9 | |||
Money Market Funds | 39.1 | |||
Healthcare | 2.5 | |||
Future Contracts | 2.3 | |||
|
| |||
138.8 | ||||
|
|
See Notes to Financial Statements.
96
Table of Contents
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2011, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Common Stock | $ | 156,740,887 | $ | 156,740,887 | $ | — | $ | — | ||||||||
Money Market Funds | 62,928,537 | 62,928,537 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 219,669,424 | $ | 219,669,424 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | 125,240 | $ | 125,240 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 125,240 | $ | 125,240 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
*** | 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.
97
Table of Contents
VALUE EQUITY FUND | ||
SCHEDULE OF INVESTMENTS | June 30, 2011 (Unaudited) |
Shares | Value | |||||||
COMMON STOCKS — 94.5% | ||||||||
Consumer Discretionary — 9.3% | ||||||||
Apollo Group, Inc. Class A* | 62,500 | $ | 2,730,000 | |||||
AutoZone, Inc.* | 5,300 | 1,562,705 | ||||||
Carnival Corporation | 109,920 | 4,136,290 | ||||||
CBS Corporation Class B | 245,947 | 7,007,030 | ||||||
Coach, Inc. | 62,100 | 3,970,053 | ||||||
Comcast Corporation Class A | 526,464 | 13,340,598 | ||||||
Dana Holding Corporation* | 150,700 | 2,757,810 | ||||||
Dillard’s, Inc. Class A | 27,800 | 1,449,492 | ||||||
DIRECTV Group, Inc. Class A* | 75,900 | 3,857,238 | ||||||
eBay, Inc.* | 22,358 | 721,493 | ||||||
Ford Motor Co.* | 69,894 | 963,838 | ||||||
Gap, Inc. (The)D | 190,300 | 3,444,430 | ||||||
General Motors Co.D* | 32,479 | 986,062 | ||||||
Goodyear Tire & Rubber Co. (The)* | 150,800 | 2,528,916 | ||||||
Home Depot, Inc.D | 397,709 | 14,405,020 | ||||||
J.C. Penney Co., Inc.D | 43,000 | 1,485,220 | ||||||
Johnson Controls, Inc. | 21,655 | 902,147 | ||||||
Kohl’s Corporation | 1,911 | 95,569 | ||||||
Lennar Corporation Class AD | 267,651 | 4,857,866 | ||||||
Lowe’s Cos., Inc. | 55,637 | 1,296,899 | ||||||
Macy’s, Inc. | 62,000 | 1,812,880 | ||||||
McGraw-Hill Co., Inc. (The) | 38,300 | 1,605,153 | ||||||
News Corporation | 98,093 | 1,736,246 | ||||||
Stanley Black & Decker, Inc. | 153,700 | 11,074,085 | ||||||
Target Corporation | 104,986 | 4,924,893 | ||||||
Thomson Reuters Corporation | 8,486 | 318,734 | ||||||
Time Warner Cable, Inc. | 19,200 | 1,498,368 | ||||||
Time Warner, Inc. | 289,122 | 10,515,367 | ||||||
Wal-Mart Stores, Inc.D | 45,198 | 2,401,822 | ||||||
Walt Disney Co. (The) | 80,765 | 3,153,066 | ||||||
Whirlpool Corporation | 35,000 | 2,846,200 | ||||||
|
| |||||||
114,385,490 | ||||||||
|
| |||||||
Consumer Staples — 4.6% | ||||||||
Archer-Daniels-Midland Co. | 27,256 | 821,768 | ||||||
Colgate-Palmolive Co. | 2,047 | 178,928 | ||||||
CVS Caremark Corporation | 176,439 | 6,630,578 | ||||||
Energizer Holdings, Inc.* | 57,900 | 4,189,644 | ||||||
General Mills, Inc. | 6,711 | 249,784 | ||||||
Herbalife, Ltd. | 60,600 | 3,492,984 | ||||||
Kellogg Co. | 683 | 37,784 | ||||||
Kimberly-Clark CorporationD | 96,782 | 6,441,810 | ||||||
Kraft Foods, Inc. Class A | 297,406 | 10,477,613 | ||||||
Kroger Co. (The) | 149,904 | 3,717,619 | ||||||
Procter & Gamble Co. (The) | 192,980 | 12,267,739 | ||||||
Safeway, Inc.D | 168,300 | 3,933,171 | ||||||
Walgreen Co. | 92,091 | 3,910,184 | ||||||
|
| |||||||
56,349,606 | ||||||||
|
| |||||||
Energy — 12.9% | ||||||||
Anadarko Petroleum Corporation | 57,227 | 4,392,745 | ||||||
Apache Corporation | 11,666 | 1,439,468 | ||||||
Baker Hughes, Inc. | 96,080 | 6,971,565 | ||||||
BP PLC ADR | 104,700 | 4,637,163 | ||||||
Chesapeake Energy Corporation | 28,102 | 834,348 | ||||||
Chevron Corporation | 320,201 | 32,929,471 | ||||||
ConocoPhillips | 313,398 | 23,564,396 | ||||||
Devon Energy Corporation | 103,575 | 8,162,746 | ||||||
Exxon Mobil Corporation | 119,848 | 9,753,230 | ||||||
Hess Corporation | 73,764 | 5,514,597 | ||||||
Kinder Morgan, Inc.D | 2,313 | 66,452 | ||||||
Marathon Oil Corporation | 345,527 | 18,202,362 | ||||||
Murphy Oil Corporation | 52,300 | 3,434,018 | ||||||
Nabors Industries, Ltd.* | 158,800 | 3,912,832 | ||||||
National Oilwell Varco, Inc. | 18,078 | 1,413,880 | ||||||
Occidental Petroleum | ||||||||
Corporation | 131,230 | 13,653,169 | ||||||
Patterson-UTI Energy, Inc. | 69,300 | 2,190,573 | ||||||
Spectra Energy Corporation | 265,050 | 7,265,021 | ||||||
Tesoro CorporationD* | 95,100 | 2,178,741 | ||||||
Valero Energy Corporation | 290,900 | 7,438,313 | ||||||
Williams Cos., Inc. (The) | 25,131 | 760,213 | ||||||
|
| |||||||
158,715,303 | ||||||||
|
| |||||||
Financial Services — 22.2% | ||||||||
Aflac, Inc. | 47,985 | 2,239,940 | ||||||
Allstate Corporation (The) | 136,246 | 4,159,590 | ||||||
American Express Co. | 311,034 | 16,080,458 | ||||||
American Financial Group, Inc. | 106,700 | 3,808,123 | ||||||
American International Group, Inc.* | 18,884 | 553,679 | ||||||
Ameriprise Financial, Inc. | 176,100 | 10,157,448 | ||||||
Assurant, Inc. | 65,100 | 2,361,177 | ||||||
Bank of America Corporation | 1,381,676 | 15,143,169 | ||||||
Bank of New York Mellon Corporation (The) | 53,058 | 1,359,346 | ||||||
BB&T CorporationD | 29,760 | 798,758 | ||||||
Berkshire Hathaway, Inc.* | 74,800 | 5,788,772 | ||||||
BlackRock, Inc. | 1,983 | 380,359 | ||||||
Capital One Financial Corporation | 381,919 | 19,733,755 | ||||||
Chubb Corporation | 84,400 | 5,284,284 | ||||||
Citigroup, Inc. | 443,685 | 18,475,043 | ||||||
CME Group, Inc. | 2,865 | 835,405 | ||||||
Discover Financial Services | 146,100 | 3,908,175 | ||||||
Fidelity National Information Services, Inc. | 72,100 | 2,219,959 | ||||||
Fifth Third Bancorp | 278,700 | 3,553,425 | ||||||
Franklin Resources, Inc. | 31,800 | 4,175,022 | ||||||
Goldman Sachs Group, Inc. (The) | 64,023 | 8,520,821 | ||||||
Hartford Financial Services Group, Inc.D | 56,500 | 1,489,905 | ||||||
Huntington Bancshares, Inc. | 528,900 | 3,469,584 | ||||||
Jones Lang LaSalle, Inc. | 30,700 | 2,895,010 | ||||||
JPMorgan Chase & Co. | 929,426 | 38,050,700 | ||||||
KeyCorpD | 383,100 | 3,191,223 | ||||||
Lincoln National Corporation | 48,800 | 1,390,312 | ||||||
Loews Corporation | 13,538 | 569,814 | ||||||
MBIA, Inc.D* | 317,700 | 2,760,813 | ||||||
MetLife, Inc. | 35,095 | 1,539,618 | ||||||
Morgan Stanley | 311,102 | 7,158,457 | ||||||
NASDAQ OMX Group, Inc. (The)* | 63,400 | 1,604,020 | ||||||
PNC Financial Services Group, Inc. | 22,488 | 1,340,510 | ||||||
Prudential Financial, Inc. | 20,769 | 1,320,701 | ||||||
Public Storage REIT | 13,848 | 1,578,810 | ||||||
Simon Property Group, Inc. REITD | 2,294 | 266,632 | ||||||
SLM Corporation | 482,800 | 8,115,868 | ||||||
State Street Corporation | 304,637 | 13,736,082 | ||||||
Torchmark CorporationD | 27,000 | 1,731,780 | ||||||
Travelers Cos., Inc. (The) | 183,098 | 10,689,261 | ||||||
US Bancorp | 310,625 | 7,924,044 |
See Notes to Financial Statements.
98
Table of Contents
Shares | Value | |||||||
Visa, Inc. Class A | 15,128 | $ | 1,274,685 | |||||
Wells Fargo & Co. | 925,268 | 25,963,020 | ||||||
Western Union Co. (The) | 166,000 | 3,324,980 | ||||||
XL Group PLCD | 167,700 | 3,686,046 | ||||||
|
| |||||||
274,608,583 | ||||||||
|
| |||||||
Healthcare — 13.2% | ||||||||
Abbott LaboratoriesD | 4,051 | 213,164 | ||||||
Aetna, Inc. | 119,616 | 5,273,869 | ||||||
AmerisourceBergen Corporation | 90,500 | 3,746,700 | ||||||
Amgen, Inc.D* | 39,727 | 2,318,071 | ||||||
Baxter International, Inc. | 73,037 | 4,359,579 | ||||||
Biogen Idec, Inc.* | 14,400 | 1,539,648 | ||||||
Bristol-Myers Squibb Co.D | 202,496 | 5,864,284 | ||||||
Cardinal Health, Inc. | 189,090 | 8,588,468 | ||||||
CIGNA Corporation | 30,700 | 1,578,901 | ||||||
Covidien PLC | 9,871 | 525,433 | ||||||
Eli Lilly & Co. | 29,221 | 1,096,664 | ||||||
Forest Laboratories, Inc.* | 60,000 | 2,360,400 | ||||||
Gilead Sciences, Inc.* | 40,800 | 1,689,528 | ||||||
HCA Holdings, Inc.* | 2,208 | 72,864 | ||||||
Health Net, Inc.* | 105,800 | 3,395,122 | ||||||
Hologic, Inc.* | 243,150 | 4,904,335 | ||||||
Johnson & Johnson | 265,334 | 17,650,018 | ||||||
Medtronic, Inc. | 288,365 | 11,110,703 | ||||||
Merck & Co., Inc. | 213,188 | 7,523,405 | ||||||
Pfizer, Inc. | 1,819,211 | 37,475,747 | ||||||
Sanofi* | 2,920 | 7,037 | ||||||
Tenet Healthcare CorporationD* | 588,300 | 3,670,992 | ||||||
Thermo Fisher Scientific, Inc.* | 16,376 | 1,054,451 | ||||||
UnitedHealth Group, Inc. | 390,395 | 20,136,574 | ||||||
WellPoint, Inc. | 220,089 | 17,336,411 | ||||||
|
| |||||||
163,492,368 | ||||||||
|
| |||||||
Materials & Processing — 3.1% | ||||||||
Alcoa, Inc.D | 418,052 | 6,630,305 | ||||||
Cabot Corporation | 51,800 | 2,065,266 | ||||||
Domtar CorporationD | 16,400 | 1,553,408 | ||||||
Dow Chemical Co. (The) | 50,232 | 1,808,352 | ||||||
Du Pont (E.I.) de Nemours & Co. | 173,600 | 9,383,080 | ||||||
Eastman Chemical Co. | 17,300 | 1,765,811 | ||||||
Freeport-McMoRan Copper & Gold, Inc. | 67,200 | 3,554,880 | ||||||
Huntsman Corporation | 93,000 | 1,753,050 | ||||||
MeadWestvaco CorporationD | 129,700 | 4,320,307 | ||||||
Newmont Mining Corporation | 20,782 | 1,121,605 | ||||||
United States Steel CorporationD | 98,000 | 4,511,920 | ||||||
|
| |||||||
38,467,984 | ||||||||
|
| |||||||
Producer Durables — 10.1% | ||||||||
3M Co. | 3,552 | 336,907 | ||||||
Boeing Co. (The) | 3,565 | 263,561 | ||||||
CSX Corporation | 121,500 | 3,185,730 | ||||||
Emerson Electric Co. | 153,300 | 8,623,125 | ||||||
FedEx Corporation | 12,706 | 1,205,164 | ||||||
Gardner Denver, Inc. | 28,700 | 2,412,235 | ||||||
General Dynamics Corporation | 40,295 | 3,002,783 | ||||||
General Electric Co. | 1,576,966 | 29,741,579 | ||||||
Honeywell International, Inc. | 340,400 | 20,284,436 | ||||||
Illinois Tool Works, Inc. | 201,158 | 11,363,415 | ||||||
KBR, Inc. | 98,000 | 3,693,620 | ||||||
Lockheed Martin CorporationD | 34,053 | 2,757,271 | ||||||
Norfolk Southern Corporation | 15,093 | 1,130,917 | ||||||
Northrop Grumman CorporationD | 66,008 | 4,577,655 | ||||||
Oshkosh Corporation* | 51,600 | 1,493,304 | ||||||
Raytheon Co. | 241,919 | 12,059,662 | ||||||
Ryder System, Inc. | 60,700 | 3,450,795 | ||||||
Terex Corporation* | 205,800 | 5,855,010 | ||||||
Textron, Inc.D | 303,700 | 7,170,357 | ||||||
Union Pacific Corporation | 17,543 | 1,831,489 | ||||||
United Technologies Corporation | 2,112 | 186,933 | ||||||
Waste Management, Inc.D | 20,262 | 755,165 | ||||||
|
| |||||||
125,381,113 | ||||||||
|
| |||||||
Technology — 9.8% | ||||||||
Activision Blizzard, Inc. | 189,400 | 2,212,192 | ||||||
Applied Materials, Inc. | 556,380 | 7,238,504 | ||||||
Avnet, Inc.* | 47,500 | 1,514,300 | ||||||
CA, Inc. | 172,900 | 3,949,036 | ||||||
Cisco Systems, Inc. | 445,020 | 6,946,762 | ||||||
Corning, Inc. | 67,081 | 1,217,520 | ||||||
Dell, Inc.* | 410,987 | 6,851,153 | ||||||
Hewlett-Packard Co. | 245,664 | 8,942,170 | ||||||
Intel Corporation | 1,162,552 | 25,762,152 | ||||||
International Business Machines Corporation | 123,400 | 21,169,270 | ||||||
Microsoft Corporation | 483,200 | 12,563,200 | ||||||
Motorola Mobility Holdings, Inc.D* | 154,725 | 3,410,139 | ||||||
Motorola Solutions, Inc.* | 121,554 | 5,596,346 | ||||||
Symantec Corporation* | 368,900 | 7,274,708 | ||||||
Texas Instruments, Inc. | 18,110 | 594,552 | ||||||
Yahoo!, Inc.D* | 359,374 | 5,404,985 | ||||||
|
| |||||||
120,646,989 | ||||||||
|
| |||||||
Utilities — 9.3% | ||||||||
AES Corporation (The)* | 88,000 | 1,121,120 | ||||||
Alliant Energy Corporation | 50,700 | 2,061,462 | ||||||
American Electric Power Co., Inc. | 219,187 | 8,258,966 | ||||||
AT&T, Inc. | 1,077,101 | 33,831,742 | ||||||
CenturyLink, Inc. | 25,661 | 1,037,474 | ||||||
Constellation Energy Group, Inc. | 77,300 | 2,934,308 | ||||||
Dominion Resources, Inc.D | 122,804 | 5,927,749 | ||||||
Duke Energy CorporationD | 56,887 | 1,071,182 | ||||||
Edison International | 111,500 | 4,320,625 | ||||||
Entergy Corporation | 127,300 | 8,692,044 | ||||||
Exelon CorporationD | 113,203 | 4,849,617 | ||||||
FirstEnergy Corporation | 17,870 | 788,960 | ||||||
MetroPCS Communications, Inc.* | 158,800 | 2,732,948 | ||||||
NextEra Energy, Inc.D | 18,030 | 1,036,004 | ||||||
NV Energy, Inc. | 208,000 | 3,192,800 | ||||||
PG&E Corporation | 17,004 | 714,678 | ||||||
Progress Energy, Inc. Contingent Value Obligation+* | 3,100 | 1,209 | ||||||
Public Service Enterprise Group, Inc. | 134,117 | 4,377,579 | ||||||
Southern Co.D | 36,283 | 1,465,108 | ||||||
Sprint Nextel Corporation* | 945,234 | 5,094,811 | ||||||
Verizon Communications, Inc.D | 559,989 | 20,848,390 | ||||||
|
| |||||||
114,358,776 | ||||||||
|
| |||||||
Total Common Stocks | 1,166,406,212 | |||||||
|
|
See Notes to Financial Statements.
99
Table of Contents
VALUE EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | |||||||
FOREIGN COMMON STOCKS — 2.8% | ||||||||
Canada — 0.1% | ||||||||
Research In Motion, Ltd.D* | 33,400 | $ | 963,590 | |||||
|
| |||||||
Netherlands — 0.0% | ||||||||
LyondellBasell Industries NV Class A | 12,470 | 480,344 | ||||||
|
| |||||||
Switzerland — 1.6% | ||||||||
Ace, Ltd. | 64,817 | 4,266,255 | ||||||
TE Connectivity, Ltd. | 228,175 | 8,387,713 | ||||||
Tyco International, Ltd. | 151,313 | 7,479,402 | ||||||
|
| |||||||
20,133,370 | ||||||||
|
| |||||||
United Kingdom — 1.1% | ||||||||
Ensco PLC ADR | �� | 139,500 | 7,435,350 | |||||
Royal Dutch Shell PLC ADRD | 85,900 | 6,110,067 | ||||||
|
| |||||||
13,545,417 | ||||||||
|
| |||||||
Total Foreign Common Stocks | 35,122,721 | |||||||
|
| |||||||
MONEY MARKET FUNDS — 9.2% | ||||||||
GuideStone Money Market Fund (GS4 Class)¥ | 28,171,105 | 28,171,105 | ||||||
Northern Institutional Liquid Assets Portfolio§ | 84,857,238 | 84,857,238 | ||||||
|
| |||||||
Total Money Market Funds | 113,028,343 | |||||||
|
| |||||||
Par | ||||||||
U.S. TREASURY OBLIGATION — 0.0% | ||||||||
U.S. Treasury Bill | ||||||||
0.04%, 11/17/11‡‡ | $ | 390,000 | 389,932 | |||||
|
| |||||||
TOTAL INVESTMENTS — 106.5% | 1,314,947,208 | |||||||
Liabilities in Excess of Other Assets — (6.5)% | (80,686,406 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 1,234,260,802 | ||||||
|
|
Please see abbreviation and footnote definitions beginning on page 130.
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Financial Services | 22.2 | |||
Healthcare | 13.2 | |||
Energy | 12.9 | |||
Producer Durables | 10.1 | |||
Technology | 9.8 | |||
Consumer Discretionary | 9.3 | |||
Utilities | 9.3 | |||
Money Market Funds | 9.2 | |||
Consumer Staples | 4.6 | |||
Materials & Processing | 3.1 | |||
Foreign Common Stocks | 2.8 | |||
Futures Contracts | 2.6 | |||
U.S. Treasury Obligation | — | ** | ||
|
| |||
109.1 | ||||
|
|
** | Rounds to less than 0.005%. |
See Notes to Financial Statements.
100
Table of Contents
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2011, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Common Stocks | $ | 1,166,406,212 | $ | 1,166,405,003 | $ | — | $ | 1,209 | ||||||||
Foreign Common Stocks | 35,122,721 | 35,122,721 | — | — | ||||||||||||
Money Market Funds | 113,028,343 | 113,028,343 | — | — | ||||||||||||
U.S. Treasury Obligation | 389,932 | — | 389,932 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 1,314,947,208 | $ | 1,314,556,067 | $ | 389,932 | $ | 1,209 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | 1,036,413 | $ | 1,036,413 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 1,036,413 | $ | 1,036,413 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
*** | 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:
Total Value | Common Stocks | |||||||
Balance, 12/31/10 | $ | 1,209 | $ | 1,209 | ||||
Accrued discounts/premiums | — | — | ||||||
Realized gain (loss)(1) | — | — | ||||||
Change in unrealized appreciation (depreciation)(2) | — | — | ||||||
Purchases | — | — | ||||||
Sales | — | — | ||||||
Transfers in and/or out of Level 3 | — | — | ||||||
|
|
|
| |||||
Balance, 06/30/11 | $ | 1,209 | $ | 1,209 | ||||
|
|
|
|
(1) | Realized gain (loss) from the sale of Level 3 securities can be found on the Statement of Operations in Net Realized Gain (loss) from Investment securities and securities sold short. |
(2) | Change in unrealized appreciation (depreciation) can be found on the Statement of Operations in Net change in unrealized appreciation (depreciation) on Investment securities and securities sold short. |
See Notes to Financial Statements.
101
Table of Contents
GROWTH EQUITY FUND | ||
SCHEDULE OF INVESTMENTS | June 30, 2011 (Unaudited) |
Shares | Value | |||||||
COMMON STOCKS — 91.8% | ||||||||
Consumer Discretionary — 20.0% | ||||||||
Amazon.com, Inc.D* | 232,411 | $ | 47,525,725 | |||||
Bed Bath & Beyond, Inc.* | 101,500 | 5,924,555 | ||||||
CBS Corporation Class B | 76,550 | 2,180,910 | ||||||
Coach, Inc. | 64,567 | 4,128,344 | ||||||
Compagnie Financiere Richemont SA ADR | 936,535 | 6,153,035 | ||||||
Costco Wholesale Corporation | 88,420 | 7,183,241 | ||||||
Dick’s Sporting Goods, Inc.* | 53,480 | 2,056,306 | ||||||
DIRECTV Group, Inc. Class A* | 55,000 | 2,795,100 | ||||||
Estee Lauder Cos., Inc. (The) Class A | 108,406 | 11,403,227 | ||||||
Ford Motor Co.D* | 908,294 | 12,525,374 | ||||||
Home Depot, Inc. | 135,300 | 4,900,566 | ||||||
Kohl’s Corporation | 20,500 | 1,025,205 | ||||||
Limited Brands, Inc. | 144,880 | 5,570,636 | ||||||
Marriott International, Inc. Class AD | 172,490 | 6,121,670 | ||||||
McDonald’s CorporationD | 95,417 | 8,045,561 | ||||||
Netflix, Inc.D* | 43,600 | 11,453,284 | ||||||
NIKE, Inc. Class BD | 270,353 | 24,326,363 | ||||||
O’Reilly Automotive, Inc.D* | 14,330 | 938,758 | ||||||
Polo Ralph Lauren CorporationD | 34,300 | 4,548,523 | ||||||
Priceline.com, Inc.* | 51,038 | 26,127,883 | ||||||
Sotheby’sD | 26,223 | 1,140,700 | ||||||
Starbucks CorporationD | 612,675 | 24,194,536 | ||||||
Tiffany & Co. | 123,978 | 9,734,753 | ||||||
Time Warner, Inc. | 244,649 | 8,897,884 | ||||||
TJX Cos., Inc. | 172,277 | 9,049,711 | ||||||
TRW Automotive Holdings CorporationD* | 26,100 | 1,540,683 | ||||||
WABCO Holdings, Inc.* | 18,740 | 1,294,184 | ||||||
Walt Disney Co. (The) | 184,600 | 7,206,784 | ||||||
Yum! Brands, Inc. | 103,100 | 5,695,244 | ||||||
|
| |||||||
263,688,745 | ||||||||
|
| |||||||
Consumer Staples — 2.9% | ||||||||
Church & Dwight Co., Inc.D | 29,610 | 1,200,389 | ||||||
Coca-Cola Co. (The) | 187,680 | 12,628,987 | ||||||
Coca-Cola Enterprises, Inc. | 81,680 | 2,383,422 | ||||||
Green Mountain Coffee Roasters, Inc.D* | 34,069 | 3,040,999 | ||||||
Hansen Natural Corporation* | 84,590 | 6,847,560 | ||||||
Hershey Co. (The) | 37,400 | 2,126,190 | ||||||
Mead Johnson Nutrition Co. | 40,639 | 2,745,165 | ||||||
Walgreen Co. | 54,810 | 2,327,233 | ||||||
Whole Foods Market, Inc. | 71,400 | 4,530,330 | ||||||
|
| |||||||
37,830,275 | ||||||||
|
| |||||||
Energy — 10.0% | ||||||||
Anadarko Petroleum Corporation | 23,955 | 1,838,786 | ||||||
Apache Corporation | 41,400 | 5,108,346 | ||||||
Baker Hughes, Inc. | 120,250 | 8,725,340 | ||||||
Cabot Oil & Gas Corporation | 44,027 | 2,919,430 | ||||||
Chevron Corporation | 82,100 | 8,443,164 | ||||||
Concho Resources, Inc.D* | 43,530 | 3,998,230 | ||||||
ConocoPhillips | 52,900 | 3,977,551 | ||||||
Continental Resources, Inc.D* | 39,005 | 2,531,815 | ||||||
EOG Resources, Inc. | 30,825 | 3,222,754 | ||||||
FMC Technologies, Inc.D* | 209,400 | 9,379,026 | ||||||
Halliburton Co. | 232,932 | 11,879,532 | ||||||
National Oilwell Varco, Inc.D | 248,600 | 19,443,006 | ||||||
Noble Energy, Inc. | 42,210 | 3,783,282 | ||||||
Occidental Petroleum Corporation | 86,917 | 9,042,845 | ||||||
Pioneer Natural Resources Co.D | 66,010 | 5,912,516 | ||||||
Schlumberger, Ltd. | 257,470 | 22,245,408 | ||||||
SM Energy Co.D | 41,550 | 3,053,094 | ||||||
Southwestern Energy Co.D* | 147,400 | 6,320,512 | ||||||
|
| |||||||
131,824,637 | ||||||||
|
| |||||||
Financial Services — 9.4% | ||||||||
American Express Co. | 270,820 | 14,001,394 | ||||||
Ameriprise Financial, Inc. | 75,140 | 4,334,075 | ||||||
Capital One Financial Corporation | 48,105 | 2,485,586 | ||||||
CB Richard Ellis Group, Inc. Class A* | 110,300 | 2,769,633 | ||||||
Discover Financial Services | 100,391 | 2,685,459 | ||||||
Franklin Resources, Inc. | 41,040 | 5,388,142 | ||||||
Host Hotels & Resorts, Inc. REITD | 123,040 | 2,085,528 | ||||||
IntercontinentalExchange, Inc.* | 114,860 | 14,324,191 | ||||||
Jones Lang LaSalle, Inc. | 11,510 | 1,085,393 | ||||||
JPMorgan Chase & Co. | 132,620 | 5,429,463 | ||||||
Mastercard, Inc. Class A | 47,810 | 14,407,065 | ||||||
MetLife, Inc. | 52,840 | 2,318,091 | ||||||
Moody’s CorporationD | 64,100 | 2,458,235 | ||||||
Schwab (Charles) Corporation (The)D | 627,280 | 10,318,756 | ||||||
US Bancorp | 209,830 | 5,352,763 | ||||||
Visa, Inc. Class A | 402,409 | 33,906,981 | ||||||
|
| |||||||
123,350,755 | ||||||||
|
| |||||||
Healthcare — 10.9% | ||||||||
Alexion Pharmaceuticals, Inc.* | 207,870 | 9,776,126 | ||||||
Allergan, Inc. | 289,300 | 24,084,225 | ||||||
AmerisourceBergen CorporationD | 65,020 | 2,691,828 | ||||||
Biogen Idec, Inc.* | 78,700 | 8,414,604 | ||||||
Celgene CorporationD* | 21,780 | 1,313,770 | ||||||
CIGNA Corporation | 63,750 | 3,278,663 | ||||||
Express Scripts, Inc.D* | 91,000 | 4,912,180 | ||||||
Gilead Sciences, Inc.* | 61,300 | 2,538,433 | ||||||
HCA Holdings, Inc.* | 42,500 | 1,402,500 | ||||||
Illumina, Inc.D* | 253,418 | 19,044,363 | ||||||
Intuitive Surgical, Inc.D* | 50,280 | 18,709,691 | ||||||
McKesson CorporationD | 30,410 | 2,543,796 | ||||||
Merck & Co., Inc. | 42,750 | 1,508,648 | ||||||
Perrigo Co.D | 51,610 | 4,534,971 | ||||||
Pfizer, Inc. | 275,000 | 5,665,000 | ||||||
St. Jude Medical, Inc.D | 48,800 | 2,326,784 | ||||||
Stryker Corporation | 39,800 | 2,335,862 | ||||||
SXC Health Solutions Corporation* | 28,000 | 1,649,760 | ||||||
Thermo Fisher Scientific, Inc.* | 89,793 | 5,781,771 | ||||||
UnitedHealth Group, Inc. | 52,400 | 2,702,792 | ||||||
Varian Medical Systems, Inc.D* | 102,600 | 7,184,052 | ||||||
Watson Pharmaceuticals, Inc.* | 90,800 | 6,240,684 | ||||||
WellPoint, Inc. | 55,320 | 4,357,556 | ||||||
|
| |||||||
142,998,059 | ||||||||
|
| |||||||
Materials & Processing — 6.6% | ||||||||
Albemarle Corporation | 37,460 | 2,592,232 | ||||||
Allegheny Technologies, Inc.D | 57,210 | 3,631,119 | ||||||
Dow Chemical Co. (The)D | 318,461 | 11,464,596 |
See Notes to Financial Statements.
102
Table of Contents
Shares | Value | |||||||
Du Pont (E.I.) de Nemours & Co. | 159,000 | $ | 8,593,950 | |||||
FMC Corporation | 26,980 | 2,320,820 | ||||||
Freeport-McMoRan Copper & Gold, Inc. | 48,987 | 2,591,412 | ||||||
International Flavors & Fragrances, Inc. | 24,840 | 1,595,721 | ||||||
Monsanto Co. | 166,102 | 12,049,039 | ||||||
PPG Industries, Inc. | 79,797 | 7,244,770 | ||||||
Praxair, Inc. | 175,104 | 18,979,523 | ||||||
Precision Castparts Corporation | 92,630 | 15,251,530 | ||||||
|
| |||||||
86,314,712 | ||||||||
|
| |||||||
Producer Durables — 10.8% | ||||||||
Agilent Technologies, Inc.* | 384,385 | 19,645,917 | ||||||
AMETEK, Inc. | 50,450 | 2,265,205 | ||||||
C.H. Robinson Worldwide, Inc.D | 80,400 | 6,338,736 | ||||||
Caterpillar, Inc. | 69,600 | 7,409,616 | ||||||
CSX Corporation | 431,300 | 11,308,686 | ||||||
Cummins, Inc. | 90,286 | 9,343,698 | ||||||
Danaher Corporation | 104,023 | 5,512,179 | ||||||
Deere & Co. | 153,933 | 12,691,776 | ||||||
Eaton Corporation | 131,782 | 6,780,184 | ||||||
Expeditors International of Washington, Inc. | 114,770 | 5,875,076 | ||||||
FedEx Corporation | 43,100 | 4,088,035 | ||||||
General Dynamics Corporation | 29,269 | 2,181,126 | ||||||
Goodrich Corporation | 52,860 | 5,048,130 | ||||||
Joy Global, Inc. | 33,630 | 3,202,921 | ||||||
Manpower, Inc. | 32,480 | 1,742,552 | ||||||
PACCAR, Inc.D | 94,070 | 4,806,036 | ||||||
Rockwell Automation, Inc. | 190,509 | 16,528,561 | ||||||
Trimble Navigation, Ltd.* | 35,760 | 1,417,526 | ||||||
Union Pacific Corporation | 74,655 | 7,793,982 | ||||||
W.W. Grainger, Inc.D | 55,900 | 8,589,035 | ||||||
|
| |||||||
142,568,977 | ||||||||
|
| |||||||
Technology — 20.8% | ||||||||
Acme Packet, Inc.D* | 55,366 | 3,882,818 | ||||||
American Tower Corporation Class A* | 123,400 | 6,457,522 | ||||||
Apple, Inc.* | 188,788 | 63,370,468 | ||||||
Autodesk, Inc.* | 123,600 | 4,770,960 | ||||||
Avago Technologies, Ltd.D | 63,290 | 2,405,020 | ||||||
Broadcom Corporation Class A | 121,060 | 4,072,458 | ||||||
Citrix Systems, Inc.* | 32,310 | 2,584,800 | ||||||
Cognizant Technology Solutions Corporation Class A* | 109,139 | 8,004,254 | ||||||
Corning, Inc. | 189,520 | 3,439,788 | ||||||
EMC Corporation* | 302,530 | 8,334,702 | ||||||
F5 Networks, Inc.D* | 132,925 | 14,654,981 | ||||||
Google, Inc. Class A* | 34,700 | 17,571,386 | ||||||
Intuit, Inc.* | 76,390 | 3,961,585 | ||||||
JDS Uniphase CorporationD* | 129,537 | 2,158,086 | ||||||
Juniper Networks, Inc.* | 192,240 | 6,055,560 | ||||||
NetApp, Inc.* | 134,874 | 7,118,650 | ||||||
OpenTable, Inc.D* | 50,800 | 4,222,496 | ||||||
Oracle Corporation | 859,444 | 28,284,302 | ||||||
Polycom, Inc.* | 36,640 | 2,355,952 | ||||||
QUALCOMM, Inc. | 655,920 | 37,249,697 | ||||||
Riverbed Technology, Inc.D* | 38,400 | 1,520,256 | ||||||
Rovi CorporationD* | 15,037 | 862,522 | ||||||
Salesforce.com, Inc.D* | 237,106 | 35,324,052 | ||||||
SanDisk Corporation* | 67,267 | 2,791,581 | ||||||
Youku.com, Inc.D* | 59,947 | 2,059,180 | ||||||
|
| |||||||
273,513,076 | ||||||||
|
| |||||||
Utilities — 0.4% | ||||||||
AES Corporation (The)* | 247,730 | 3,156,080 | ||||||
MetroPCS Communications, Inc.* | 123,400 | 2,123,714 | ||||||
|
| |||||||
5,279,794 | ||||||||
|
| |||||||
Total Common Stocks | 1,207,369,030 | |||||||
|
| |||||||
FOREIGN COMMON STOCKS — 4.2% | ||||||||
Canada — 1.0% | ||||||||
Potash Corporation of Saskatchewan, Inc. | 146,950 | 8,374,680 | �� | |||||
Valeant Pharmaceuticals International, Inc.D | 66,480 | 3,454,301 | ||||||
Yamana Gold, Inc.D | 93,170 | 1,083,567 | ||||||
|
| |||||||
12,912,548 | ||||||||
|
| |||||||
China — 0.7% | ||||||||
Baidu, Inc. ADR* | 64,349 | 9,017,225 | ||||||
|
| |||||||
Hong Kong — 0.1% | ||||||||
Li & Fung, Ltd. | 732,000 | 1,458,036 | ||||||
|
| |||||||
Ireland — 0.8% | ||||||||
Accenture PLC Class A | 101,440 | 6,129,005 | ||||||
Shire PLC ADRD | 41,490 | 3,908,773 | ||||||
|
| |||||||
10,037,778 | ||||||||
|
| |||||||
Israel — 0.4% | ||||||||
Check Point Software Technologies, Ltd.D* | 88,110 | 5,009,054 | ||||||
|
| |||||||
Netherlands — 0.5% | ||||||||
ASML Holding N.V.D | 168,800 | 6,238,848 | ||||||
|
| |||||||
Singapore — 0.2% | ||||||||
Hutchison Portfolio Holdings TrustD* | 3,930,000 | 3,320,850 | ||||||
|
| |||||||
United Kingdom — 0.5% | ||||||||
Ensco PLC ADR | 126,570 | 6,746,181 | ||||||
|
| |||||||
Total Foreign Common Stocks | 54,740,520 | |||||||
|
| |||||||
PREFERRED STOCK — 0.1% | ||||||||
Wells Fargo & Co.D | 35,400 | 1,012,086 | ||||||
|
| |||||||
RIGHT/WARRANT — 0.0% | ||||||||
Krispy Kreme Doughnuts, Inc. | 7,410 | 5,928 | ||||||
|
| |||||||
MONEY MARKET FUNDS — 14.5% | ||||||||
GuideStone Money Market Fund (GS4 Class)¥ | 61,370,368 | 61,370,368 | ||||||
Northern Institutional Liquid Assets Portfolio§ | 128,920,885 | 128,920,885 | ||||||
|
| |||||||
Total Money Market Funds | 190,291,253 | |||||||
|
|
See Notes to Financial Statements.
103
Table of Contents
GROWTH EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Value | ||||
TOTAL INVESTMENTS — 110.6% | $ | 1,453,418,817 | ||
Liabilities in Excess of Other Assets — (10.6)% | (139,057,050 | ) | ||
|
| |||
NET ASSETS — 100.0% | $ | 1,314,361,767 | ||
|
|
Please see abbreviation and footnote definitions beginning on page 130. |
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Technology | 20.8 | |||
Consumer Discretionary | 20.0 | |||
Money Market Funds | 14.5 | |||
Healthcare | 10.9 | |||
Producer Durables | 10.8 | |||
Energy | 10.0 | |||
Financial Services | 9.4 | |||
Materials & Processing | 6.6 | |||
Futures Contracts | 4.5 | |||
Foreign Common Stocks | �� | 4.2 | ||
Consumer Staples | 2.9 | |||
Utilities | 0.4 | |||
Preferred Stock | 0.1 | |||
Right/Warrant | — | ** | ||
|
| |||
115.1 | ||||
|
|
** | Rounds to less than 0.005%. |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2011, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Common Stock | $ | 1,207,369,030 | 1,207,369,030 | $ | — | $ | — | |||||||||
Foreign Common Stocks | 54,740,520 | 54,740,520 | — | — | ||||||||||||
Money Market Funds | 190,291,253 | 190,291,253 | — | — | ||||||||||||
Preferred Stocks | 1,012,086 | 1,012,086 | — | — | ||||||||||||
Rights/Warrants | 5,928 | 5,928 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 1,453,418,817 | $ | 1,453,418,817 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | 1,662,644 | $ | 1,662,644 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 1,662,644 | $ | 1,662,644 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
*** | 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.
104
Table of Contents
SMALL CAP EQUITY FUND | ||
SCHEDULE OF INVESTMENTS | June 30, 2011 (Unaudited) |
Shares | Value | |||||||
COMMON STOCKS — 86.0% | ||||||||
Consumer Discretionary — 13.0% | ||||||||
Aaron’s, Inc.D | 97,100 | $ | 2,744,046 | |||||
AMERCOD* | 6,900 | 663,435 | ||||||
American Public Education, Inc.D* | 40,100 | 1,784,851 | ||||||
ANN, Inc.D* | 53,100 | 1,385,910 | ||||||
Apollo Group, Inc. Class A* | 16,900 | 738,192 | ||||||
Arbitron, Inc.D | 41,200 | 1,702,796 | ||||||
Body Central Corporation* | 13,919 | 327,514 | ||||||
Cabela’s, Inc.D* | 11,850 | 321,728 | ||||||
Cenveo, Inc.D* | 23,900 | 152,960 | ||||||
Children’s Place Retail Stores, Inc. (The)D* | 1,391 | 61,886 | ||||||
comScore, Inc.D* | 13,200 | 341,880 | ||||||
CROCS, Inc.D* | 43,321 | 1,115,516 | ||||||
Deckers Outdoor CorporationD* | 16,000 | 1,410,240 | ||||||
DG Fastchannel, Inc.D* | 100,600 | 3,224,230 | ||||||
Dillard’s, Inc. Class AD | 32,000 | 1,668,480 | ||||||
DSW, Inc.D* | 14,500 | 733,845 | ||||||
Education Management CorporationD* | 15,600 | 373,464 | ||||||
Elizabeth Arden, Inc.D* | 55,450 | 1,609,714 | ||||||
Federal-Mogul Corporation* | 30,700 | 700,881 | ||||||
Foot Locker, Inc. | 34,300 | 814,968 | ||||||
Fossil, Inc.* | 9,900 | 1,165,428 | ||||||
GameStop Corporation Class AD* | 33,600 | 896,112 | ||||||
Goodyear Tire & Rubber Co. (The)* | 78,300 | 1,313,091 | ||||||
Guess ?, Inc. | 25,300 | 1,064,118 | ||||||
H&R Block, Inc.D | 87,400 | 1,401,896 | ||||||
Hibbett Sports, Inc.D* | 8,850 | 360,283 | ||||||
Hot Topic, Inc.D | 161,500 | 1,201,560 | ||||||
IAC/InterActiveCorpD* | 30,700 | 1,171,819 | ||||||
Iconix Brand Group, Inc.* | 39,000 | 943,800 | ||||||
Inter Parfums, Inc.D | 31,400 | 723,142 | ||||||
ITT Educational Services, Inc.D* | 12,100 | 946,704 | ||||||
John Wiley & Sons, Inc. | 16,800 | 873,768 | ||||||
Jos. A. Bank Clothiers, Inc.D* | 22,500 | 1,125,225 | ||||||
Lithia Motors, Inc.D | 62,500 | 1,226,875 | ||||||
Monro Muffler Brake, Inc.D | 25,200 | 939,708 | ||||||
Movado Group, Inc.D | 38,800 | 663,868 | ||||||
Papa John’s International, Inc.D* | 27,700 | 921,302 | ||||||
PetSmart, Inc. | 16,700 | 757,679 | ||||||
Polaris Industries, Inc.D | 12,460 | 1,385,178 | ||||||
Select Comfort CorporationD* | 71,900 | 1,292,762 | ||||||
SodaStream International, Ltd.D* | 13,000 | 790,530 | ||||||
Sonic Automotive, Inc. Class AD | 70,000 | 1,025,500 | ||||||
Sotheby’s | 15,537 | 675,860 | ||||||
Standard Motor Products, Inc.D | 51,900 | 790,437 | ||||||
Steven Madden, Ltd.D* | 35,334 | 1,325,378 | ||||||
Sturm Ruger & Co., Inc. | 20,100 | 441,195 | ||||||
Tempur-Pedic International, Inc.* | 18,374 | 1,246,125 | ||||||
Tenneco Automotive, Inc.D* | 24,700 | 1,088,529 | ||||||
Travelzoo, Inc.D* | 7,300 | 471,872 | ||||||
True Religion Apparel, Inc.D* | 41,200 | 1,198,096 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc.D* | 27,418 | 1,770,654 | ||||||
United Online, Inc.D | 159,700 | 962,991 | ||||||
Valuevision Media, Inc. Class A* | 14,900 | 113,985 | ||||||
Vera Bradley, Inc.D* | 13,600 | 519,520 | ||||||
Vitamin Shoppe, Inc.D* | 37,300 | 1,706,848 | ||||||
WABCO Holdings, Inc.* | 37,755 | 2,607,360 | ||||||
WESCO International, Inc.* | 13,900 | 751,851 | ||||||
Whirlpool Corporation | 12,600 | 1,024,632 | ||||||
Wolverine World Wide, Inc.D | 35,200 | 1,469,600 | ||||||
World Fuel Services CorporationD | 62,600 | 2,249,218 | ||||||
Zagg, Inc.D* | 22,300 | 298,820 | ||||||
Zumiez, Inc.D* | 23,187 | 578,979 | ||||||
|
| |||||||
65,358,834 | ||||||||
|
| |||||||
Consumer Staples — 1.8% | ||||||||
Diamond Foods, Inc.D | 11,200 | 855,008 | ||||||
Fresh Del Monte Produce, Inc.D | 25,500 | 680,085 | ||||||
Hansen Natural Corporation* | 16,300 | 1,319,485 | ||||||
Herbalife, Ltd. | 27,200 | 1,567,808 | ||||||
J & J Snack Foods CorporationD | 20,252 | 1,009,562 | ||||||
Nash Finch Co.D | 22,900 | 820,049 | ||||||
Smithfield Foods, Inc.* | 31,400 | 686,718 | ||||||
Spartan Stores, Inc.D | 35,900 | 701,127 | ||||||
United Natural Foods, Inc.D* | 33,800 | 1,442,246 | ||||||
|
| |||||||
9,082,088 | ||||||||
|
| |||||||
Energy — 6.0% | ||||||||
Alpha Natural Resources, Inc.* | 11,200 | 508,928 | ||||||
American Standard Energy Corporation@* | 150,000 | 1,207,500 | ||||||
Brigham Exploration Co.D* | 36,926 | 1,105,195 | ||||||
Carrizo Oil & Gas, Inc.D* | 61,300 | 2,559,275 | ||||||
Complete Production Services, Inc.* | 60,600 | 2,021,616 | ||||||
Dril-Quip, Inc.* | 13,600 | 922,488 | ||||||
Frontier Oil Corporation | 48,000 | 1,550,880 | ||||||
GT Solar International, Inc.D* | 67,200 | 1,088,640 | ||||||
Gulfport Energy CorporationD* | 32,400 | 961,956 | ||||||
Helix Energy Solutions Group, Inc.D* | 91,800 | 1,520,208 | ||||||
Holly CorporationD | 10,100 | 700,940 | ||||||
Key Energy Services, Inc.D* | 76,800 | 1,382,400 | ||||||
Newpark Resources, Inc.D* | 60,900 | 552,363 | ||||||
Oasis Petroleum, Inc.D* | 61,496 | 1,825,201 | ||||||
Oceaneering International, Inc. | 29,100 | 1,178,550 | ||||||
Patterson-UTI Energy, Inc. | 88,100 | 2,784,841 | ||||||
Rosetta Resources, Inc.D* | 40,450 | 2,084,793 | ||||||
Superior Energy Services, Inc.* | 40,100 | 1,489,314 | ||||||
Swift Energy Co.D* | 34,300 | 1,278,361 | ||||||
Tesoro Corporation* | 62,000 | 1,420,420 | ||||||
TPC Group, Inc.D* | 17,100 | 670,662 | ||||||
Unit Corporation* | 11,000 | 670,230 | ||||||
Vaalco Energy, Inc.D* | 114,400 | 688,688 | ||||||
|
| |||||||
30,173,449 | ||||||||
|
| |||||||
Financial Services — 17.3% | ||||||||
Advance America Cash Advance Centers, Inc.D | 154,400 | 1,063,816 | ||||||
Alliance Data Systems CorporationD* | 10,800 | 1,015,956 | ||||||
Allied World Assurance Co. Holdings, Ltd. | 15,300 | 880,974 | ||||||
American Equity Investment Life Holding Co.D | 71,500 | 908,765 | ||||||
American Financial Group, Inc. | 50,500 | 1,802,345 | ||||||
Amtrust Financial Services, Inc.D | 48,700 | 1,109,386 |
See Notes to Financial Statements.
105
Table of Contents
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | |||||||
Ashford Hospitality Trust, Inc. REITD | 110,300 | $ | 1,373,235 | |||||
Assurant, Inc. | 49,100 | 1,780,857 | ||||||
Banco Latinoamericano de Exportaciones SA, Class ED | 60,600 | 1,049,592 | ||||||
BOK Financial CorporationD | 19,300 | 1,057,061 | ||||||
Calamos Asset Management, Inc.D | 45,700 | 663,564 | ||||||
Cash America International, Inc.D | 19,600 | 1,134,252 | ||||||
Cathay General BancorpD | 63,000 | 1,032,570 | ||||||
CBL & Associates Properties, Inc. REITD | 82,300 | 1,492,099 | ||||||
Chemical Financial CorporationD | 40,500 | 759,780 | ||||||
City Holding Co.D | 20,700 | 683,721 | ||||||
CNO Financial Group, Inc.D* | 93,000 | 735,630 | ||||||
Columbia Banking System, Inc.D | 41,600 | 716,352 | ||||||
Commerce Bancshares, Inc. | 42,500 | 1,827,500 | ||||||
CommonWealth REITD | 25,400 | 656,336 | ||||||
Compass Diversified Holdings | 56,600 | 933,334 | ||||||
CVB Financial CorporationD | 130,000 | 1,202,500 | ||||||
Delphi Financial Group, Inc. Class AD | 24,200 | 706,882 | ||||||
Dime Community BancsharesD | 67,000 | 974,180 | ||||||
DST Systems, Inc. | 13,100 | 691,680 | ||||||
Duff & Phelps CorporationD | 49,300 | 632,519 | ||||||
East West Bancorp, Inc. | 33,900 | 685,119 | ||||||
Encore Capital Group, Inc.D* | 41,600 | 1,277,952 | ||||||
Euronet Worldwide, Inc.D* | 52,400 | 807,484 | ||||||
Evercore Partners, Inc. Class AD | 25,700 | 856,324 | ||||||
ExlService Holdings, Inc.D* | 34,500 | 796,950 | ||||||
EZCORP, Inc. Class AD* | 42,400 | 1,508,380 | ||||||
FBL Financial Group, Inc.D | 21,800 | 700,870 | ||||||
First Cash Financial Services, Inc.D* | 25,000 | 1,049,750 | ||||||
First Citizens BancShares, Inc. Class A | 6,600 | 1,235,652 | ||||||
First Financial Bancorp | 47,500 | 792,775 | ||||||
First Midwest Bancorp, Inc.D | 43,700 | 537,073 | ||||||
FleetCor Technologies, Inc.* | 27,000 | 800,280 | ||||||
Global Payments, Inc. | 41,200 | 2,101,200 | ||||||
HCC Insurance Holdings, Inc. | 37,700 | 1,187,550 | ||||||
Higher One Holdings, Inc.D* | 38,200 | 722,744 | ||||||
Home Bancshares, Inc.D | 32,740 | 773,973 | ||||||
Hospitality Properties Trust REITD | 62,900 | 1,525,325 | ||||||
Huntington Bancshares, Inc. | 300,300 | 1,969,968 | ||||||
IBERIABANK CorporationD | 24,200 | 1,394,888 | ||||||
Interactive Brokers Group, Inc. Class A | 72,300 | 1,131,495 | ||||||
International Bancshares CorporationD | 70,200 | 1,174,446 | ||||||
Jack Henry & Associates, Inc.D | 40,400 | 1,212,404 | ||||||
Jones Lang LaSalle, Inc. | 33,000 | 3,111,900 | ||||||
KBW, Inc.D | 32,500 | 607,750 | ||||||
LaSalle Hotel Properties REITD | 25,200 | 663,768 | ||||||
Maiden Holdings, Ltd.D | 134,400 | 1,223,040 | ||||||
NASDAQ OMX Group, Inc. (The)* | 43,900 | 1,110,670 | ||||||
National American University Holdings, Inc.D | 54,600 | 513,786 | ||||||
National Health Investors, Inc. REITD | 24,300 | 1,079,649 | ||||||
NBH Holdings Corporation PIPE+@ | 30,300 | 537,825 | ||||||
Nelnet, Inc. Class AD | 25,200 | 555,912 | ||||||
Net 1 UEPS Technologies, Inc.* | 72,100 | 625,828 | ||||||
Netspend Holdings, Inc.D* | 52,900 | 529,000 | ||||||
Ocwen Financial CorporationD* | 106,300 | 1,356,388 | ||||||
Old National BancorpD | 63,400 | 684,720 | ||||||
Pacwest BancorpD | 45,200 | 929,764 | ||||||
Pebblebrook Hotel Trust REIT | 41,100 | 829,809 | ||||||
People’s United Financial, Inc. | 80,900 | 1,087,296 | ||||||
Portfolio Recovery Associates, Inc.D* | 13,800 | 1,170,102 | ||||||
Protective Life Corporation | 26,400 | 610,632 | ||||||
Provident Financial Services, Inc.D | 47,400 | 678,768 | ||||||
PS Business Parks, Inc. REITD | 21,200 | 1,168,120 | ||||||
Raymond James Financial, Inc. | 22,700 | 729,805 | ||||||
Reinsurance Group of America, Inc. | 27,900 | 1,697,994 | ||||||
Republic Bancorp, Inc. Class AD | 27,600 | 549,240 | ||||||
RLI CorporationD | 13,100 | 811,152 | ||||||
Safety Insurance Group, Inc.D | 16,700 | 702,068 | ||||||
SCBT Financial CorporationD | 18,300 | 524,844 | ||||||
Signature Bank* | 21,400 | 1,224,080 | ||||||
SL Green Realty Corporation REIT | 7,700 | 638,099 | ||||||
StanCorp Financial Group, Inc. | 35,000 | 1,476,650 | ||||||
Stifel Financial CorporationD* | 21,100 | 756,646 | ||||||
Symetra Financial Corporation | 16,900 | 226,967 | ||||||
Taubman Centers, Inc. REIT | 29,100 | 1,722,720 | ||||||
Tower Group, Inc.D | 33,500 | 797,970 | ||||||
UMB Financial CorporationD | 16,600 | 695,208 | ||||||
Urstadt Biddle Properties, Inc. Class A REITD | 37,200 | 673,692 | ||||||
Washington Banking Co.D | 17,000 | 224,740 | ||||||
Webster Financial CorporationD | 58,200 | 1,223,364 | ||||||
Wintrust Financial CorporationD | 22,800 | 733,704 | ||||||
Wright Express CorporationD* | 35,900 | 1,869,313 | ||||||
|
| |||||||
87,480,471 | ||||||||
|
| |||||||
Healthcare — 9.7% | ||||||||
ABIOMED, Inc.* | 20,500 | 332,100 | ||||||
Air Methods CorporationD* | 8,200 | 612,868 | ||||||
Align Technology, Inc.D* | 40,500 | 923,400 | ||||||
AMERIGROUP CorporationD* | 29,800 | 2,100,006 | ||||||
Avanir Pharmaceuticals, Inc.D* | 103,400 | 347,424 | ||||||
BioMarin Pharmaceuticals, Inc.* | 26,200 | 712,902 | ||||||
Bio-Rad Laboratories, Inc. Class A* | 7,000 | 835,520 | ||||||
Brookdale Senior Living, Inc.D* | 46,200 | 1,120,350 | ||||||
Catalyst Health Solutions, Inc.D* | 47,500 | 2,651,450 | ||||||
Centene CorporationD* | 37,800 | 1,343,034 | ||||||
Charles River Laboratories International, Inc.D* | 16,600 | 674,790 | ||||||
Conventry Health Care, Inc.* | 26,600 | 970,102 | ||||||
Cooper Cos., Inc. | 40,900 | 3,240,916 | ||||||
Cubist Pharmaceuticals, Inc.D* | 17,200 | 619,028 | ||||||
Endologix, Inc.D* | 37,000 | 344,100 | ||||||
Five Star Quality Care, Inc.+ | 2,086 | — | ||||||
Gen-Probe, Inc.* | 6,532 | 451,688 | ||||||
Greatbatch, Inc.D* | 23,600 | 632,952 | ||||||
Haemonetics CorporationD* | 17,000 | 1,094,290 |
See Notes to Financial Statements.
106
Table of Contents
Shares | Value | |||||||
Hanger Orthopedic | ||||||||
Group, Inc.* | 19,600 | $ | 479,612 | |||||
Health Net, Inc.* | 50,900 | 1,633,381 | ||||||
Healthspring, Inc.D* | 26,631 | 1,227,955 | ||||||
Healthways, Inc.D* | 57,900 | 878,922 | ||||||
Hill-Rom Holdings, Inc. | 47,100 | 2,168,484 | ||||||
Incyte Corporation, Ltd.D* | 28,700 | 543,578 | ||||||
IPC The Hospitalist Co., Inc.D* | 27,700 | 1,283,895 | ||||||
Magellan Health Services, Inc.* | 29,500 | 1,614,830 | ||||||
MAKO Surgical CorporationD* | 20,430 | 607,384 | ||||||
Masimo CorporationD | 41,800 | 1,240,624 | ||||||
MedAssets, Inc.D* | 54,400 | 726,784 | ||||||
Medicis Pharmaceutical Corporation Class AD | 8,600 | 328,262 | ||||||
Mednax, Inc.* | 12,800 | 924,032 | ||||||
Merit Medical Systems, Inc.D* | 38,434 | 690,659 | ||||||
Myriad Genetics, Inc.* | 53,100 | 1,205,901 | ||||||
NetSuite, Inc.D* | 20,450 | 801,640 | ||||||
Parexel International CorporationD* | 32,200 | 758,632 | ||||||
PDL BioPharma, Inc.D | 204,900 | 1,202,763 | ||||||
PerkinElmer, Inc. | 47,800 | 1,286,298 | ||||||
PSS World Medical, Inc.D* | 37,600 | 1,053,176 | ||||||
Sirona Dental Systems, Inc.D* | 20,300 | 1,077,930 | ||||||
SXC Health Solutions Corporation* | 16,750 | 986,910 | ||||||
Techne Corporation | 11,700 | 975,429 | ||||||
Thoratec Corporation* | 34,900 | 1,145,418 | ||||||
United Therapeutics Corporation* | 17,700 | 975,270 | ||||||
VCA Antech, Inc.D* | 38,200 | 809,840 | ||||||
Volcano CorporationD* | 47,650 | 1,538,618 | ||||||
WellCare Health Plans, Inc.D* | 31,000 | 1,593,710 | ||||||
|
| |||||||
48,766,857 | ||||||||
|
| |||||||
Materials & Processing — 7.8% | ||||||||
Albany International Corporation Class AD | 36,500 | 963,235 | ||||||
Allied Nevada Gold CorporationD* | 16,822 | 594,994 | ||||||
Armstrong World Industries, Inc.D | 14,800 | 674,288 | ||||||
Beacon Roofing Supply, Inc.D* | 36,600 | 835,212 | ||||||
Belden, Inc.D | 21,000 | 732,060 | ||||||
Buckeye Technologies, Inc.D | 69,700 | 1,880,506 | ||||||
Cabot Corporation | 37,500 | 1,495,125 | ||||||
Carpenter Technology CorporationD | 21,600 | 1,245,888 | ||||||
Chemtura Corporation* | 48,800 | 888,160 | ||||||
Chicago Bridge & Iron Co. N.V. | 65,300 | 2,540,170 | ||||||
Domtar Corporation | 16,200 | 1,534,464 | ||||||
Eastman Chemical Co. | 14,900 | 1,520,843 | ||||||
Ferro CorporationD* | 77,400 | 1,040,256 | ||||||
Forest City Enterprises, Inc. Class A* | 65,300 | 1,219,151 | ||||||
Graham Packaging Co., Inc.* | 26,200 | 660,764 | ||||||
Huntsman Corporation | 41,400 | 780,390 | ||||||
Innophos Holdings, Inc.D | 20,400 | 995,520 | ||||||
Interline Brands, Inc.D* | 58,300 | 1,070,971 | ||||||
KapStone Paper and Packaging CorporationD* | 43,100 | 714,167 | ||||||
Kraton Performance Polymers, Inc.D* | 48,800 | 1,911,496 | ||||||
Kronos Worldwide, Inc. | 45,100 | 1,418,395 | ||||||
Layne Christensen Co.D* | 21,300 | 646,242 | ||||||
Mueller Industries, Inc.D | 37,100 | 1,406,461 | ||||||
NewMarket CorporationD | 7,400 | 1,263,254 | ||||||
Noranda Aluminium Holding CorporationD* | 49,700 | 752,458 | ||||||
PH Glatfelter Co.D | 52,800 | 812,064 | ||||||
PolyOne CorporationD | 62,000 | 959,140 | ||||||
RBC Bearings, Inc.D* | 17,700 | 668,352 | ||||||
Reliance Steel & Aluminum Co. | 15,900 | 789,435 | ||||||
Rock-Tenn Co. Class A | 9,500 | 630,230 | ||||||
RTI International Metals, Inc.D* | 17,500 | 671,475 | ||||||
Schnitzer Steel Industries, Inc. Class A | 9,700 | 558,720 | ||||||
Sensient Technologies CorporationD | 20,000 | 741,400 | ||||||
Stillwater Mining Co.D* | 16,800 | 369,768 | ||||||
Temple-Inland, Inc. | 34,900 | 1,037,926 | ||||||
Timken Co. | 18,000 | 907,200 | ||||||
Under Armour, Inc. Class AD* | 14,850 | 1,148,054 | ||||||
Westlake Chemical CorporationD | 11,950 | 620,205 | ||||||
Worthington Industries, Inc.D | 37,700 | 870,870 | ||||||
|
| |||||||
39,569,309 | ||||||||
|
| |||||||
Producer Durables — 13.3% | ||||||||
A.O. Smith CorporationD | 16,847 | 712,628 | ||||||
Advisory Board Co. (The)D* | 21,400 | 1,238,632 | ||||||
AGCO Corporation* | 14,200 | 700,912 | ||||||
Alaska Air Group, Inc.D* | 11,900 | 814,674 | ||||||
Allegiant Travel Co.* | 19,800 | 980,100 | ||||||
Alliant Techsystems, Inc. | 14,400 | 1,027,152 | ||||||
Applied Industrial Technologies, Inc.D | 33,500 | 1,192,935 | ||||||
Astec Industries, Inc.D* | 23,700 | 876,426 | ||||||
Atlas Air Worldwide Holdings, Inc.D* | 9,900 | 589,149 | ||||||
B/E Aerospace* | 20,800 | 848,848 | ||||||
Ceradyne, Inc.D* | 17,800 | 694,022 | ||||||
Chart Industries, Inc.D* | 16,700 | 901,466 | ||||||
Clean Harbors, Inc.D* | 13,000 | 1,342,250 | ||||||
Cognex CorporationD | 23,500 | 832,605 | ||||||
Columbus McKinnon CorporationD* | 47,000 | 844,120 | ||||||
CoStar Group, Inc.D* | 24,400 | 1,446,432 | ||||||
Darling International, Inc.D* | 51,400 | 909,780 | ||||||
Douglas Dynamics, Inc.D | 36,100 | 570,019 | ||||||
EMCOR Group, Inc.D* | 120,400 | 3,528,924 | ||||||
FARO Technologies, Inc.D* | 19,900 | 871,620 | ||||||
Gardner Denver, Inc. | 8,200 | 689,210 | ||||||
Generac Holdings, Inc.D* | 42,200 | 818,680 | ||||||
General Cable CorporationD* | 27,800 | 1,183,724 | ||||||
Genesee & Wyoming, Inc. Class AD* | 53,750 | 3,151,900 | ||||||
Gulfmark Offshore, Inc. Class AD* | 20,600 | 910,314 | ||||||
Healthcare Services Group, Inc.D | 53,350 | 866,938 | ||||||
HEICO Corporation Class AD | 36,050 | 1,765,635 | ||||||
Herman Miller, Inc.D | 40,800 | 1,110,576 | ||||||
HUB Group, Inc.D* | 22,850 | 860,531 | ||||||
IDEX Corporation | 27,711 | 1,270,549 | ||||||
Innospec, Inc.* | 16,300 | 547,843 | ||||||
Kaman CorporationD | 16,100 | 571,067 | ||||||
KBR, Inc. | 56,000 | 2,110,640 | ||||||
Kennametal, Inc. | 33,000 | 1,392,930 | ||||||
Kforce, Inc.D* | 99,200 | 1,297,536 | ||||||
Lincoln Electric Holdings, Inc. | 21,200 | 760,020 |
See Notes to Financial Statements.
107
Table of Contents
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | |||||||
MAXIMUS, Inc.D | 12,200 | $ | 1,009,306 | |||||
McGrath RentCorpD | 30,200 | 848,016 | ||||||
Middleby CorporationD* | 17,200 | 1,617,488 | ||||||
Moog, Inc. Class AD* | 19,400 | 844,288 | ||||||
NACCO Industries, Inc. Class AD | 6,800 | 658,376 | ||||||
National Instruments Corporation | 32,550 | 966,410 | ||||||
Old Dominion Freight Line, Inc.D* | 27,100 | 1,010,830 | ||||||
On Assignment, Inc.D* | 96,800 | 951,544 | ||||||
Orbital Sciences CorporationD* | 59,000 | 994,150 | ||||||
Oshkosh Corporation* | 34,200 | 989,748 | ||||||
Polypore International, Inc.D* | 9,600 | 651,264 | ||||||
Regal-Beloit Corporation | 14,600 | 974,842 | ||||||
Resources Connection, Inc.D | 55,000 | 662,200 | ||||||
Robbins & Myers, Inc.D | 17,900 | 946,015 | ||||||
Robert Half International, Inc.D | 53,500 | 1,446,105 | ||||||
Ryder System, Inc. | 27,800 | 1,580,430 | ||||||
Standard Parking CorporationD* | 38,800 | 619,636 | ||||||
Steelcase, Inc. Class AD | 179,400 | 2,043,366 | ||||||
SYKES Enterprises, Inc.D* | 27,100 | 583,463 | ||||||
TeleTech Holdings, Inc.* | 33,600 | 708,288 | ||||||
Thomas & Betts Corporation* | 19,600 | 1,055,460 | ||||||
Titan Machinery, Inc.* | 20,700 | 595,746 | ||||||
Toro Co. | 19,300 | 1,167,650 | ||||||
Towers Watson & Co. Class A | 11,200 | 735,952 | ||||||
TransDigm Group, Inc.* | 24,740 | 2,256,041 | ||||||
Triumph Group, Inc.D | 12,300 | 1,224,834 | ||||||
|
| |||||||
67,372,235 | ||||||||
|
| |||||||
Technology — 13.2% | ||||||||
Acme Packet, Inc.* | 4,791 | 335,993 | ||||||
Amdocs, Ltd.* | 47,900 | 1,455,681 | ||||||
Ancestry.com, Inc.D* | 17,300 | 716,047 | ||||||
Arrow Electronics, Inc.* | 38,100 | 1,581,150 | ||||||
Avnet, Inc.* | 62,500 | 1,992,500 | ||||||
Blackboard, Inc.D* | 42,400 | 1,839,736 | ||||||
Bottomline Technologies, Inc.D* | 69,100 | 1,707,461 | ||||||
BroadSoft, Inc.D* | 19,000 | 724,470 | ||||||
Cadence Design Systems, Inc.D* | 129,100 | 1,363,296 | ||||||
Cardtronics, Inc.D* | 130,200 | 3,053,190 | ||||||
Cavium Networks, Inc.D* | 28,700 | 1,251,033 | ||||||
Ciena CorporationD* | 30,600 | 562,428 | ||||||
CommVault Systems, Inc.D* | 52,100 | 2,315,845 | ||||||
Compuware Corporation* | 27,123 | 264,720 | ||||||
Comtech Telecommunications Corporation | 32,600 | 914,104 | ||||||
CSG Systems International, Inc.D* | 34,400 | 635,712 | ||||||
Cymer, Inc.D* | 10,800 | 534,708 | ||||||
DealerTrack Holdings, Inc.D* | 50,900 | 1,168,155 | ||||||
DigitalGlobe, Inc.D* | 23,600 | 599,676 | ||||||
Ebix, Inc.D* | 102,100 | 1,945,005 | ||||||
Hittite Microwave CorporationD* | 8,000 | 495,280 | ||||||
Informatica Corporation* | 16,800 | 981,624 | ||||||
Ingram Micro, Inc. Class A* | 37,800 | 685,692 | ||||||
Inphi CorporationD* | 29,400 | 511,560 | ||||||
Insight Enterprises, Inc.D* | 46,400 | 821,744 | ||||||
ION Geophysical CorporationD* | 98,600 | 932,756 | ||||||
Kenexa CorporationD* | 15,000 | 359,700 | ||||||
LSI Corporation* | 270,600 | 1,926,672 | ||||||
Monotype Imaging Holdings, Inc.D* | 46,500 | 657,045 | ||||||
Netlogic Microsystems, Inc.D* | 42,700 | 1,725,934 | ||||||
NIC, Inc.D | 121,100 | 1,630,006 | ||||||
Omnivision Technologies, Inc.D* | 29,550 | 1,028,636 | ||||||
OSI Systems, Inc.* | 7,900 | 339,700 | ||||||
PMC-Sierra, Inc.* | 110,100 | 833,457 | ||||||
Power Intergrations, Inc.D | 32,800 | 1,260,504 | ||||||
Progress Software CorporationD* | 49,800 | 1,201,674 | ||||||
QLIK Technologies, Inc.D* | 24,700 | 841,282 | ||||||
RealD, Inc.D* | 28,500 | 666,615 | ||||||
Responsys, Inc.* | 36,000 | 638,280 | ||||||
RightNow Technologies, Inc.D* | 27,400 | 887,760 | ||||||
Riverbed Technology, Inc.* | 9,350 | 370,167 | ||||||
SAIC, Inc.* | 84,000 | 1,412,880 | ||||||
SBA Communications Corporation Class AD* | 17,400 | 664,506 | ||||||
Scansource, Inc.D* | 42,500 | 1,592,900 | ||||||
Semtech CorporationD* | 69,167 | 1,891,026 | ||||||
Shutterfly, Inc.D* | 15,150 | 869,913 | ||||||
Silicon Laboratories, Inc.D* | 19,700 | 812,822 | ||||||
Solera Holdings, Inc. | 43,600 | 2,579,376 | ||||||
SS&C Technologies Holdings, Inc.* | 105,500 | 2,096,285 | ||||||
Stoneridge, Inc.D* | 49,600 | 731,104 | ||||||
SuccessFactors, Inc.D* | 29,375 | 863,625 | ||||||
Synchronoss Technologies, Inc.D* | 30,413 | 965,004 | ||||||
Take-Two Interactive Software, Inc.* | 19,300 | 294,904 | ||||||
Tech Data Corporation* | 30,600 | 1,496,034 | ||||||
THQ, Inc.D* | 152,700 | 552,774 | ||||||
TIBCO Software, Inc.* | 37,200 | 1,079,544 | ||||||
Ultimate Software Group, Inc.D* | 38,700 | 2,106,441 | ||||||
Ultratech, Inc.D* | 15,498 | 470,829 | ||||||
Universal Display CorporationD* | 12,825 | 450,029 | ||||||
VeriFone Holdings, Inc.D* | 26,374 | 1,169,687 | ||||||
Viasat, Inc.D* | 17,700 | 765,879 | ||||||
|
| |||||||
66,622,560 | ||||||||
|
| |||||||
Utilities — 3.9% | ||||||||
Alliant Energy Corporation | 50,300 | 2,045,198 | ||||||
American Water Works Co., Inc. | 61,200 | 1,802,340 | ||||||
Atmos Energy Corporation | 20,500 | 681,625 | ||||||
El Paso Electric Co.D | 44,400 | 1,434,120 | ||||||
General Communication, Inc. Class AD* | 60,800 | 733,856 | ||||||
Great Plains Energy, Inc.D | 71,700 | 1,486,341 | ||||||
j2 Global Communications, Inc.D* | 40,800 | 1,151,784 | ||||||
MetroPCS Communications, Inc.* | 57,700 | 993,017 | ||||||
NTELOS Holdings CorporationD | 43,300 | 884,186 | ||||||
NV Energy, Inc. | 117,000 | 1,795,950 | ||||||
OGE Energy Corporation | 20,500 | 1,031,560 | ||||||
Pepco Holdings, Inc.D | 61,000 | 1,197,430 | ||||||
Pinnacle West Capital Corporation | 16,100 | 717,738 | ||||||
PNM Resources, Inc.D | 96,300 | 1,612,062 | ||||||
Portland General Electric Co.D | 51,600 | 1,304,448 |
See Notes to Financial Statements.
108
Table of Contents
Shares | Value | |||||||
Telephone & Data Systems, Inc.D | 32,000 | $ | 994,560 | |||||
|
| |||||||
19,866,215 | ||||||||
|
| |||||||
Total Common Stocks | 434,292,018 | |||||||
|
| |||||||
FOREIGN COMMON STOCKS — 1.4% | ||||||||
Bermuda — 0.3% | ||||||||
Montpelier Re Holdings, Ltd.D | 87,500 | 1,575,000 | ||||||
|
| |||||||
British Virgin Islands — 0.2% | ||||||||
UTi Worldwide, Inc. | 50,800 | 1,000,252 | ||||||
|
| |||||||
Canada — 0.1% | ||||||||
Lone Pine Resources, Inc.* | 29,100 | 309,042 | ||||||
|
| |||||||
China — 0.3% | ||||||||
BCD Semiconductor Manufacturing, Ltd. ADR* | 14,100 | 97,713 | ||||||
hiSoft Technology International, Ltd. ADRD* | 28,600 | 418,990 | ||||||
Lihua International, Inc.D* | 87,600 | 533,484 | ||||||
Zhongpin, Inc.D* | 38,400 | 402,432 | ||||||
|
| |||||||
1,452,619 | ||||||||
|
| |||||||
Greece — 0.1% | ||||||||
Aegean Marine Petroleum Network, Inc.D | 92,500 | 655,825 | ||||||
|
| |||||||
Ireland — 0.1% | ||||||||
Velti PLC* | 29,850 | 504,764 | ||||||
|
| |||||||
Luxembourg — 0.1% | ||||||||
Altisource Portfolio Solutions SA* | 16,600 | 610,880 | ||||||
|
| |||||||
Netherlands — 0.2% | ||||||||
AerCap Holdings NV* | 75,045 | 976,335 | ||||||
|
| |||||||
Total Foreign Common Stocks | 7,084,717 | |||||||
|
| |||||||
PREFERRED STOCKS — 0.0% | ||||||||
Federal Home Loan Mortgage Corporation | 250 | 735 | ||||||
Federal National Mortgage Association | 850 | 2,118 | ||||||
|
| |||||||
Total Preferred Stocks | 2,853 | |||||||
|
| |||||||
RIGHTS/WARRANTS — 0.1% | ||||||||
Asen Warrants A+ | 25,000 | 82,500 | ||||||
Asen Warrants B+ | 25,000 | 54,750 | ||||||
Asen Warrants C+ | 25,000 | 145,250 | ||||||
|
| |||||||
Total Rights/Warrants | 282,500 | |||||||
|
| |||||||
MONEY MARKET FUNDS — 50.6% | ||||||||
GuideStone Money Market Fund (GS4 Class)¥ | 23,722,750 | 23,722,750 | ||||||
Northern Institutional Liquid Assets Portfolio§ | 231,916,927 | 231,916,927 | ||||||
|
| |||||||
Total Money Market Funds | 255,639,677 | |||||||
|
| |||||||
Par | ||||||||
AGENCY OBLIGATIONS — 1.6% | ||||||||
Farmer Mac Guaranteed Trust | ||||||||
5.13%, 04/19/17 144A | $ | 250,000 | 283,025 | |||||
Federal Farm Credit Bank | ||||||||
0.24%, 09/12/11W | 1,000,000 | 999,959 | ||||||
Federal Home Loan Bank | ||||||||
0.32%, 02/10/12 | 330,000 | 329,774 | ||||||
3.63%, 10/18/13D | 30,000 | 32,037 | ||||||
5.50%, 07/15/36 | 120,000 | 132,230 | ||||||
Federal Home Loan Mortgage Corporation | ||||||||
0.21%, 07/06/11 | 480,000 | 479,999 | ||||||
0.07%, 08/11/11 | 900,000 | 899,951 | ||||||
0.10%, 08/22/11 | 900,000 | 899,961 | ||||||
0.10%, 10/07/11 | 1,400,000 | 1,399,885 | ||||||
0.23%, 12/01/11 | 240,000 | 239,918 | ||||||
0.11%, 01/10/12 | 37,000 | 36,980 | ||||||
0.12%, 01/10/12‡‡ | 1,449,000 | 1,448,223 | ||||||
Federal National Mortgage Association | ||||||||
5.25%, 08/01/12 | 110,000 | 115,749 | ||||||
0.38%, 12/28/12 | 150,000 | 150,090 | ||||||
5.00%, 02/13/17D | 230,000 | 262,940 | ||||||
5.31%, 10/09/19 | 90,000 | 63,131 | ||||||
6.25%, 05/15/29 | 110,000 | 133,933 | ||||||
Tennessee Valley Authority | ||||||||
3.88%, 02/15/21D | 110,000 | 113,220 | ||||||
5.25%, 09/15/39 | 50,000 | 53,140 | ||||||
4.63%, 09/15/60D | 80,000 | 75,370 | ||||||
|
| |||||||
Total Agency Obligations | 8,149,515 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES — 0.4% | ||||||||
Ameriquest Mortgage Securities, Inc. | ||||||||
0.53%, 04/25/34† | 43,788 | 36,549 | ||||||
Asset Backed Securities Corporation Home Equity | ||||||||
1.16%, 12/15/33† | 28,312 | 24,258 | ||||||
Bear Stearns Asset-Backed Securities Trust | ||||||||
0.64%, 10/27/32† | 12,691 | 11,098 | ||||||
0.64%, 12/25/33† | 187,243 | 166,808 | ||||||
Education Funding Capital Trust I | ||||||||
2.43%, 12/15/42† | 100,000 | 94,750 | ||||||
1.52%, 06/15/43† | 100,000 | 87,049 | ||||||
EMC Mortgage Loan Trust | ||||||||
0.84%, 02/25/41 144A† | 56,592 | 46,766 | ||||||
Greenpoint Manufactured Housing | ||||||||
3.11%, 03/18/29† | 75,000 | 62,970 | ||||||
3.70%, 06/19/29† | 50,000 | 41,325 | ||||||
3.70%, 02/20/30† | 50,000 | 41,279 | ||||||
3.70%, 11/17/31† | 75,000 | 74,149 | ||||||
2.20%, 11/22/31† | 50,000 | 45,466 | ||||||
GSAA Trust | ||||||||
0.46%, 07/25/37† | 200,000 | 124,281 | ||||||
Hertz Vehicle Financing LLC | ||||||||
5.29%, 03/25/16 144A | 90,000 | 98,693 | ||||||
Illinois Student Assistance Commission | ||||||||
1.17%, 07/25/45† | 200,000 | 189,886 | ||||||
KeyCorporation Student Loan Trust | ||||||||
0.53%, 10/25/32† | 61,749 | 57,663 | ||||||
Lehman XS Trust | ||||||||
0.49%, 11/25/35† | 207,393 | 153,511 | ||||||
0.49%, 12/25/35† | 105,656 | 38,033 | ||||||
0.45%, 02/25/46† | 226,077 | 121,064 |
See Notes to Financial Statements.
109
Table of Contents
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
MASTR Specialized Loan Trust | ||||||||
0.54%, 05/25/37 144A† | $ | 210,839 | $ | 70,214 | ||||
Nelnet Student Loan Trust | ||||||||
1.75%, 04/25/24† | 80,000 | 82,104 | ||||||
Northstar Education Finance, Inc. | ||||||||
0.38%, 01/29/46† | 100,000 | 85,063 | ||||||
Option One Mortgage Loan Trust | ||||||||
0.99%, 11/25/32† | 20,546 | 16,466 | ||||||
Renaissance Home Equity Loan Trust | ||||||||
1.05%, 06/25/33† | 23,421 | 18,800 | ||||||
Securitized Asset-Backed Receivables LLC Trust | ||||||||
0.42%, 02/25/37† | 223,340 | 82,799 | ||||||
SLM Student Loan Trust | ||||||||
0.68%, 09/16/24† | 100,000 | 92,646 | ||||||
1.00%, 03/15/33 144A† | 95,746 | 94,299 | ||||||
|
| |||||||
Total Asset-Backed Securities | 2,057,989 | |||||||
|
| |||||||
CORPORATE BONDS — 2.1% | ||||||||
AES Corporation | ||||||||
7.75%, 10/15/15D | 30,000 | 32,175 | ||||||
8.00%, 06/01/20D | 190,000 | 203,300 | ||||||
Ally Financial, Inc. | ||||||||
1.75%, 10/30/12 | 100,000 | 101,731 | ||||||
American Express Co. | ||||||||
8.13%, 05/20/19 | 60,000 | 76,183 | ||||||
6.80%, 09/01/66† | 150,000 | 154,688 | ||||||
American International Group, Inc. | ||||||||
5.85%, 01/16/18 | 180,000 | 188,858 | ||||||
6.40%, 12/15/20 | 20,000 | 21,566 | ||||||
Apache Corporation | ||||||||
5.63%, 01/15/17 | 110,000 | 127,009 | ||||||
Arch Coal, Inc. | ||||||||
7.00%, 06/15/19 144AD | 70,000 | 70,175 | ||||||
AT&T, Inc. | ||||||||
5.50%, 02/01/18 | 90,000 | 100,519 | �� | |||||
6.30%, 01/15/38 | 60,000 | 63,749 | ||||||
BAC Capital Trust XIV | ||||||||
5.63%, 09/20/49† | 10,000 | 7,513 | ||||||
Baker Hughes, Inc. | ||||||||
7.50%, 11/15/18 | 60,000 | 75,757 | ||||||
Bank of America Corporation | ||||||||
5.42%, 03/15/17 | 60,000 | 61,284 | ||||||
5.75%, 12/01/17 | 190,000 | 202,293 | ||||||
5.00%, 05/13/21 | 60,000 | 59,385 | ||||||
8.00%, 12/29/49† | 60,000 | 62,738 | ||||||
Boeing Capital Corporation | ||||||||
4.70%, 10/27/19 | 40,000 | 42,946 | ||||||
Boeing Co. | ||||||||
4.88%, 02/15/20 | 60,000 | 65,049 | ||||||
Calpine Corporation | ||||||||
7.88%, 01/15/23 144AD | 80,000 | 82,500 | ||||||
Caterpillar Financial Services Corporation | ||||||||
6.20%, 09/30/13 | 110,000 | 122,470 | ||||||
Caterpillar, Inc. | ||||||||
3.90%, 05/27/21D | 40,000 | 40,087 | ||||||
CCO Holdings LLC | ||||||||
7.00%, 01/15/19 144A | 70,000 | 72,275 | ||||||
6.50%, 04/30/21 | 10,000 | 9,913 | ||||||
Cellco Partnership/Verizon Wireless Capital LLC | ||||||||
8.50%, 11/15/18 | 60,000 | 78,026 | ||||||
Citigroup, Inc. | ||||||||
6.50%, 08/19/13 | 60,000 | 65,286 | ||||||
6.00%, 12/13/13 | 110,000 | 119,669 | ||||||
6.38%, 08/12/14 | 30,000 | 33,195 | ||||||
5.00%, 09/15/14D | 160,000 | 167,797 | ||||||
5.50%, 10/15/14 | 60,000 | 65,298 | ||||||
3.95%, 06/15/16 | 70,000 | 71,740 | ||||||
5.38%, 08/09/20D | 60,000 | 62,726 | ||||||
6.88%, 03/05/38 | 90,000 | 100,479 | ||||||
Comcast Corporation | ||||||||
6.50%, 01/15/17 | 120,000 | 140,026 | ||||||
5.15%, 03/01/20D | 100,000 | 107,858 | ||||||
5.65%, 06/15/35 | 10,000 | 9,827 | ||||||
Community Health Systems, Inc. | ||||||||
8.88%, 07/15/15D | 30,000 | 30,975 | ||||||
Concho Resources Inc. | ||||||||
6.50%, 01/15/22 | 33,000 | 33,124 | ||||||
ConocoPhillips Holding Co. | ||||||||
6.95%, 04/15/29 | 100,000 | 121,789 | ||||||
Consol Energy, Inc. | ||||||||
6.38%, 03/01/21 144A | 50,000 | 50,000 | ||||||
Countrywide Financial Corporation | ||||||||
6.25%, 05/15/16 | 50,000 | 52,746 | ||||||
COX Communications, Inc. | ||||||||
5.45%, 12/15/14 | 30,000 | 33,462 | ||||||
CVS Caremark Corporation | ||||||||
6.60%, 03/15/19 | 60,000 | 69,749 | ||||||
CVS Pass-Through Trust | ||||||||
9.35%, 01/10/23 144A | 100,000 | 109,128 | ||||||
6.94%, 01/10/30 | 64,812 | 73,096 | ||||||
Dominion Resources, Inc. | ||||||||
5.70%, 09/17/12 | 120,000 | 126,887 | ||||||
Duke Energy Carolinas LLC | ||||||||
5.63%, 11/30/12 | 130,000 | 138,488 | ||||||
Energy Future Intermediate Holding Co., LLC | ||||||||
10.00%, 12/01/20 | 270,000 | 289,294 | ||||||
Energy Transfer Partners LP | ||||||||
9.00%, 04/15/19 | 70,000 | 87,165 | ||||||
Enterprise Products Operating LLC | ||||||||
6.30%, 09/15/17 | 170,000 | 195,241 | ||||||
FirstEnergy Corporation | ||||||||
7.38%, 11/15/31 | 130,000 | 148,434 | ||||||
Ford Motor Credit Co., LLC | ||||||||
12.00%, 05/15/15 | 140,000 | 173,755 | ||||||
Freeport-McMoRan Copper & Gold, Inc. | ||||||||
8.38%, 04/01/17 | 145,000 | 158,594 | ||||||
Fresenius Medical Care US Finance, Inc. | ||||||||
6.88%, 07/15/17 | 40,000 | 42,150 | ||||||
General Electric Capital Corporation | ||||||||
6.00%, 08/07/19 | 260,000 | 288,354 | ||||||
4.63%, 01/07/21D | 100,000 | 100,781 | ||||||
6.38%, 11/15/67†D | 130,000 | 133,738 | ||||||
Giant Funding Corporation | ||||||||
8.25%, 02/01/18 144A | 10,000 | 10,475 |
See Notes to Financial Statements.
110
Table of Contents
Par | Value | |||||||
Goldman Sachs Capital II | ||||||||
5.79%, 06/01/43† | $ | 10,000 | $ | 8,050 | ||||
Goldman Sachs Group, Inc. | ||||||||
6.60%, 01/15/12 | 10,000 | 10,310 | ||||||
5.30%, 02/14/12 | 10,000 | 10,260 | ||||||
3.63%, 08/01/12 | 20,000 | 20,590 | ||||||
5.45%, 11/01/12 | 20,000 | 21,144 | ||||||
5.25%, 10/15/13 | 20,000 | 21,470 | ||||||
5.95%, 01/18/18 | 100,000 | 107,934 | ||||||
5.38%, 03/15/20 | 60,000 | 62,066 | ||||||
6.00%, 06/15/20D | 40,000 | 43,114 | ||||||
6.25%, 02/01/41 | 130,000 | 131,505 | ||||||
HCA, Inc. | ||||||||
9.63%, 11/15/16 PIK | 52,593 | 56,077 | ||||||
Hess Corporation | ||||||||
8.13%, 02/15/19 | 90,000 | 114,046 | ||||||
7.30%, 08/15/31 | 40,000 | 47,955 | ||||||
HSBC Finance Corporation 6.68%, 01/15/21 144A | 110,000 | 113,060 | ||||||
Humana, Inc. | ||||||||
7.20%, 06/15/18 | 60,000 | 69,747 | ||||||
International Lease Finance Corporation | ||||||||
6.50%, 09/01/14 144A | 30,000 | 31,950 | ||||||
6.75%, 09/01/16 144A | 150,000 | 160,500 | ||||||
JPMorgan Chase & Co. | ||||||||
6.13%, 06/27/17 | 200,000 | 223,779 | ||||||
4.40%, 07/22/20D | 60,000 | 58,888 | ||||||
4.25%, 10/15/20D | 60,000 | 58,811 | ||||||
Kerr-McGee Corporation | ||||||||
6.95%, 07/01/24 | 120,000 | 137,043 | ||||||
7.88%, 09/15/31D | 20,000 | 24,103 | ||||||
Kinder Morgan Energy Partners LP | ||||||||
6.00%, 02/01/17 | 70,000 | 79,035 | ||||||
Kraft Foods, Inc. | ||||||||
5.38%, 02/10/20 | 110,000 | 120,461 | ||||||
Kroger Co. | ||||||||
6.15%, 01/15/20D | 50,000 | 57,688 | ||||||
Lehman Brothers Holdings Capital Trust VII | ||||||||
5.86%, 11/29/49# | 10,000 | 6 | ||||||
Lehman Brothers Holdings E-Capital Trust I | ||||||||
3.59%, 08/19/65# | 50,000 | 30 | ||||||
Lehman Brothers Holdings, Inc. | ||||||||
6.50%, 07/19/17# | 160,000 | 240 | ||||||
6.75%, 12/28/17# | 120,000 | 180 | ||||||
Medtronic, Inc. | ||||||||
4.45%, 03/15/20 | 40,000 | 41,895 | ||||||
Merrill Lynch & Co., Inc. | ||||||||
5.45%, 02/05/13 | 220,000 | 233,463 | ||||||
MetLife, Inc. | ||||||||
6.75%, 06/01/16 | 50,000 | 58,260 | ||||||
6.40%, 12/15/66D | 120,000 | 117,600 | ||||||
Morgan Stanley | ||||||||
5.63%, 01/09/12D | 160,000 | 163,925 | ||||||
Pacific Gas & Electric Co. | ||||||||
5.63%, 11/30/17 | 30,000 | 34,101 | ||||||
6.05%, 03/01/34 | 50,000 | 53,036 | ||||||
Pemex Project Funding Master Trust | ||||||||
6.63%, 06/15/35 | 90,000 | 95,312 | ||||||
PepsiCo, Inc. | ||||||||
7.90%, 11/01/18D | 13,000 | 16,778 | ||||||
Pfizer, Inc. | ||||||||
6.20%, 03/15/19 | 100,000 | 117,158 | ||||||
Qwest Communications International, Inc. | ||||||||
7.50%, 02/15/14 | 50,000 | 50,875 | ||||||
Raytheon Co. | ||||||||
3.13%, 10/15/20 | 30,000 | 28,220 | ||||||
Reed Elsevier Capital, Inc. | ||||||||
8.63%, 01/15/19 | 80,000 | 101,847 | ||||||
Regency Energy Partners LP | ||||||||
6.50%, 07/15/21 | 42,000 | 42,735 | ||||||
Roche Holdings, Inc. | ||||||||
6.00%, 03/01/19 144A | 90,000 | 103,857 | ||||||
Safeway, Inc. | ||||||||
3.95%, 08/15/20 | 30,000 | 29,230 | ||||||
Sprint Capital Corporation | ||||||||
6.90%, 05/01/19D | 100,000 | 103,500 | ||||||
State Street Corporation | ||||||||
4.96%, 03/15/18 | 100,000 | 106,198 | ||||||
Steel Dynamics, Inc. | ||||||||
7.38%, 11/01/12 | 25,000 | 26,500 | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
6.85%, 12/16/39 144A | 60,000 | 68,502 | ||||||
Time Warner Cable, Inc. | ||||||||
6.75%, 07/01/18 | 110,000 | 127,747 | ||||||
4.13%, 02/15/21D | 20,000 | 19,369 | ||||||
7.30%, 07/01/38 | 90,000 | 104,951 | ||||||
5.88%, 11/15/40 | 80,000 | 79,231 | ||||||
Time Warner, Inc. | ||||||||
4.70%, 01/15/21 | 30,000 | 30,453 | ||||||
6.25%, 03/29/41 | 10,000 | 10,424 | ||||||
United Parcel Service, Inc. | ||||||||
4.50%, 01/15/13 | 50,000 | 52,852 | ||||||
UnitedHealth Group, Inc. | ||||||||
4.88%, 02/15/13 | 100,000 | 105,786 | ||||||
Verizon Communications, Inc. | ||||||||
4.60%, 04/01/21 | 90,000 | 93,043 | ||||||
6.00%, 04/01/41 | 100,000 | 104,794 | ||||||
Verizon Global Funding Corporation | ||||||||
7.38%, 09/01/12D | 100,000 | 107,576 | ||||||
Wachovia Corporation | ||||||||
5.63%, 10/15/16 | 270,000 | 293,443 | ||||||
WellPoint, Inc. | ||||||||
5.88%, 06/15/17 | 110,000 | 125,925 | ||||||
Wells Fargo & Co. | ||||||||
3.68%, 06/15/16D | 50,000 | 51,425 | ||||||
Williams Cos., Inc. | ||||||||
7.88%, 09/01/21 | 38,000 | 47,186 | ||||||
7.50%, 01/15/31 | 23,000 | 26,375 | ||||||
7.75%, 06/15/31 | 38,000 | 44,474 | ||||||
8.75%, 03/15/32 | 8,000 | 10,200 | ||||||
Williams Partners LP | ||||||||
5.25%, 03/15/20 | 20,000 | 21,093 | ||||||
Wyeth | ||||||||
5.95%, 04/01/37 | 10,000 | 10,768 | ||||||
|
| |||||||
Total Corporate Bonds | 10,383,664 | |||||||
|
| |||||||
FOREIGN BONDS — 0.6% | ||||||||
Australia — 0.1% | ||||||||
BHP Billiton Finance (USA) Ltd. | ||||||||
6.50%, 04/01/19 | 110,000 | 131,834 |
See Notes to Financial Statements.
111
Table of Contents
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
Commonwealth Bank of Australia | ||||||||
3.75%, 10/15/14 144AD | $ | 60,000 | $ | 63,087 | ||||
5.00%, 10/15/19 144A | 20,000 | 20,847 | ||||||
Rio Tinto Finance USA, Ltd. | ||||||||
6.50%, 07/15/18 | 20,000 | 23,392 | ||||||
9.00%, 05/01/19 | 180,000 | 238,863 | ||||||
|
| |||||||
478,023 | ||||||||
|
| |||||||
Canada — 0.1% | ||||||||
Anadarko Finance Co. | ||||||||
7.50%, 05/01/31 | 60,000 | 69,494 | ||||||
Barrick Gold Corporation | ||||||||
6.95%, 04/01/19 | 100,000 | 119,065 | ||||||
Devon Financing Corporation ULC | ||||||||
6.88%, 09/30/11D | 150,000 | 152,264 | ||||||
Potash Corporation of Saskatchewan, Inc. | ||||||||
4.88%, 03/30/20 | 20,000 | 21,183 | ||||||
|
| |||||||
362,006 | ||||||||
|
| |||||||
Cayman Islands — 0.1% | ||||||||
Petrobras International Finance Co. | ||||||||
6.13%, 10/06/16 | 40,000 | 44,733 | ||||||
5.75%, 01/20/20 | 32,000 | 34,296 | ||||||
5.38%, 01/27/21 | 110,000 | 113,499 | ||||||
Resona Preferred Global Securities Cayman, Ltd. | ||||||||
7.19%, 12/29/49 144A†D | 60,000 | 60,147 | ||||||
Vale Overseas, Ltd. | ||||||||
6.88%, 11/21/36 | 60,000 | 65,297 | ||||||
|
| |||||||
317,972 | ||||||||
|
| |||||||
France — 0.0% | ||||||||
Credit Agricole SA | ||||||||
8.38%, 10/29/49 144A†D | 120,000 | 126,000 | ||||||
Total Capital SA | ||||||||
4.45%, 06/24/20D | 10,000 | 10,457 | ||||||
|
| |||||||
136,457 | ||||||||
|
| |||||||
Iceland — 0.0% | ||||||||
Glitnir Banki HF | ||||||||
6.69%, 06/15/16 144A#@ | 130,000 | 1 | ||||||
Kaupthing Bank HF | ||||||||
7.63%, 02/28/15 144A#@‡‡ | 310,000 | 78,275 | ||||||
|
| |||||||
78,276 | ||||||||
|
| |||||||
India — 0.0% | ||||||||
ICICI Bank, Ltd. | ||||||||
6.38%, 04/30/22 144A† | 110,000 | 107,800 | ||||||
|
| |||||||
Japan — 0.1% | ||||||||
Japan Finance Cooperation | ||||||||
2.88%, 02/02/15D | 200,000 | 211,103 | ||||||
Japan Finance Organization for Municipalities | ||||||||
4.00%, 01/13/21 | 100,000 | 101,490 | ||||||
Sumitomo Mitsui Banking Corporation | ||||||||
3.15%, 07/22/15 144A | 100,000 | 102,399 | ||||||
|
| |||||||
414,992 | ||||||||
|
| |||||||
Jersey — 0.0% | ||||||||
United Business Media, Ltd. | ||||||||
5.75%, 11/03/20 144A | 30,000 | 29,861 | ||||||
|
| |||||||
Mexico — 0.0% | ||||||||
America Movil SAB de CV | ||||||||
5.63%, 11/15/17 | 30,000 | 33,814 | ||||||
Mexico Government International Bond | ||||||||
6.75%, 09/27/34 | 40,000 | 46,700 | ||||||
6.05%, 01/11/40 | 10,000 | 10,690 | ||||||
|
| |||||||
91,204 | ||||||||
|
| |||||||
Netherlands — 0.0% | ||||||||
Deutsche Telekom International Finance BV | ||||||||
5.75%, 03/23/16D | 75,000 | 84,909 | ||||||
Shell International Finance BV | ||||||||
4.38%, 03/25/20 | 90,000 | 94,742 | ||||||
|
| |||||||
179,651 | ||||||||
|
| |||||||
Russia — 0.0% | ||||||||
Russian Federation | ||||||||
7.50%, 03/31/30 STEP | 11,245 | 13,283 | ||||||
|
| |||||||
Spain — 0.1% | ||||||||
BBVA US Senior SAU | ||||||||
3.25%, 05/16/14 | 100,000 | 98,960 | ||||||
Santander US Debt SA Unipersonal | ||||||||
3.72%, 01/20/15 144AD | 100,000 | 96,875 | ||||||
|
| |||||||
195,835 | ||||||||
|
| |||||||
Switzerland — 0.0% | ||||||||
UBS AG | ||||||||
4.88%, 08/04/20 | 80,000 | 81,063 | ||||||
|
| |||||||
United Kingdom — 0.1% | ||||||||
BP Capital Markets PLC | ||||||||
5.25%, 11/07/13 | 90,000 | 97,566 | ||||||
3.88%, 03/10/15 | 30,000 | 31,622 | ||||||
Lloyds TSB Bank PLC | ||||||||
6.38%, 01/21/21 | 100,000 | 104,292 | ||||||
Royal Bank of Scotland PLC | ||||||||
4.88%, 03/16/15 | 100,000 | 103,870 | ||||||
3.95%, 09/21/15 | 50,000 | 50,283 | ||||||
Royal Bank of Scotland Group PLC | ||||||||
7.65%, 08/29/49† | 10,000 | 9,050 | ||||||
WPP Finance UK | ||||||||
8.00%, 09/15/14 | 100,000 | 117,388 | ||||||
|
| |||||||
514,071 | ||||||||
|
| |||||||
Total Foreign Bonds | 3,000,494 | |||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 4.1% | ||||||||
American Home Mortgage Investment Trust | ||||||||
0.89%, 04/25/44† | 33,411 | 28,047 | ||||||
0.48%, 11/25/45† | 194,570 | 123,038 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust | ||||||||
2.47%, 02/25/35† | 71,449 | 55,074 | ||||||
2.92%, 08/25/35† | 199,374 | 147,593 | ||||||
Bear Stearns Mortgage Funding Trust | ||||||||
0.40%, 12/25/36† | 207,818 | 55,392 | ||||||
Commercial Mortgage Lease-Backed Certificates | ||||||||
6.75%, 06/20/31 144A | 216,913 | 235,989 | ||||||
Countrywide Alternative Loan Trust | ||||||||
0.43%, 07/25/35† | 186,637 | 114,993 | ||||||
0.45%, 07/25/35† | 245,916 | 162,005 |
See Notes to Financial Statements.
112
Table of Contents
Par | Value | |||||||
Credit Suisse Mortgage Capital Certificates | ||||||||
5.61%, 02/15/39† | $ | 110,000 | $ | 119,819 | ||||
CS First Boston Mortgage Securities Corporation | ||||||||
6.00%, 10/25/35 | 112,861 | 66,261 | ||||||
Federal Home Loan Mortgage Corporation | ||||||||
5.84%, 05/01/37† | 14,482 | 15,338 | ||||||
5.50%, 12/01/38 | 331,625 | 359,048 | ||||||
5.50%, 07/01/39 TBA | 100,000 | 108,016 | ||||||
3.50%, 07/01/41 TBA | 200,000 | 190,969 | ||||||
Federal Home Loan Mortgage Corporation REMIC | ||||||||
4.00%, 12/15/38 | 100,000 | 99,460 | ||||||
5.50%, 06/15/41 | 100,000 | 108,365 | ||||||
Federal National Mortgage Association | ||||||||
3.50%, 07/01/41 TBA | 200,000 | 191,250 | ||||||
4.00%, 07/01/26 TBA | 300,000 | 312,469 | ||||||
2.77%, 09/01/35† | 77,294 | 81,334 | ||||||
5.50%, 07/01/37 TBA | 200,000 | 216,250 | ||||||
6.50%, 07/01/37 TBA | 300,000 | 339,656 | ||||||
5.00%, 07/01/38 TBA | 700,000 | 743,750 | ||||||
5.50%, 08/01/38 | 98,332 | 106,986 | ||||||
5.50%, 05/01/40 | 1,200,000 | 1,299,281 | ||||||
4.50%, 07/13/40 TBA | 2,000,000 | 2,069,062 | ||||||
5.50%, 06/01/41 | 1,000,000 | 1,082,031 | ||||||
Federal National Mortgage Association REMIC | ||||||||
6.31%, 10/25/40 IO† | 82,925 | 13,025 | ||||||
5.50%, 07/25/41 | 100,000 | 105,249 | ||||||
6.48%, 07/25/41 IO† | 100,000 | 15,502 | ||||||
FHLMC Multifamily Structured Pass Through Certificates | ||||||||
1.23%, 01/25/20 IOW† | 217,845 | 14,361 | ||||||
1.41%, 04/25/20 IOW† | 386,082 | 28,909 | ||||||
1.84%, 06/25/20 IOW† | 427,187 | 42,823 | ||||||
1.69%, 08/25/20 IOW† | 208,926 | 18,916 | ||||||
1.42%, 06/25/46† | 280,000 | 24,703 | ||||||
First Horizon Alternative Mortgage Securities | ||||||||
2.34%, 02/25/36† | 154,900 | 111,240 | ||||||
0.56%, 02/25/37† | 78,407 | 44,219 | ||||||
General Electric Capital Commercial Mortgage Corporation | ||||||||
5.51%, 03/10/44† | 300,000 | 326,402 | ||||||
GMAC Commercial Mortgage Securities, Inc. | ||||||||
5.24%, 11/10/45† | 100,000 | 107,896 | ||||||
Government National Mortgage Association | ||||||||
6.56%, 10/20/33 IOW† | 882,753 | 102,265 | ||||||
6.01%, 03/20/35 IOW† | 845,855 | 109,064 | ||||||
6.51%, 12/16/36 IO† | 100,000 | 19,884 | ||||||
6.00%, 07/01/37 TBA | 200,000 | 222,812 | ||||||
6.50%, 10/20/37 | 92,503 | 104,548 | ||||||
5.50%, 07/01/38 TBA | 100,000 | 109,906 | ||||||
6.00%, 07/01/38 TBA | 300,000 | 331,500 | ||||||
6.36%, 10/20/38 IO† | 97,471 | 17,471 | ||||||
6.36%, 11/20/38 IO† | 239,185 | 42,987 | ||||||
6.56%, 04/16/39 IO† | 59,976 | 9,478 | ||||||
5.91%, 06/20/39 IO† | 96,933 | 17,427 | ||||||
5.00%, 07/01/39 TBA | 1,200,000 | 1,301,437 | ||||||
5.00%, 01/15/40 | 463,729 | 506,205 | ||||||
6.46%, 01/20/40 IO† | 94,779 | 17,423 | ||||||
4.50%, 07/01/40 TBA | 1,700,000 | 1,794,030 | ||||||
6.38%, 07/20/40 IO† | 89,121 | 17,489 | ||||||
5.00%, 08/20/40 | 185,951 | 202,096 | ||||||
5.86%, 09/20/40 IOW† | 91,716 | 14,396 | ||||||
5.86%, 11/20/40 IO† | 161,153 | 29,795 | ||||||
4.50%, 01/20/41 | 98,270 | 103,639 | ||||||
4.50%, 02/20/41 | 98,759 | 104,154 | ||||||
4.50%, 03/20/41 | 795,046 | 838,484 | ||||||
5.21%, 06/20/41 IO† | 100,000 | 15,843 | ||||||
4.00%, 07/01/41 TBA | 200,000 | 203,094 | ||||||
4.50%, 07/01/41 TBA | 1,500,000 | 1,578,516 | ||||||
1.34%, 11/20/59† | 295,170 | 302,346 | ||||||
1.19%, 05/20/60† | 166,368 | 167,614 | ||||||
0.71%, 01/20/61† | 236,276 | 237,526 | ||||||
0.66%, 02/20/61† | 239,967 | 238,323 | ||||||
0.71%, 03/20/61† | 99,261 | 98,978 | ||||||
Granite Mortgages PLC | ||||||||
0.77%, 07/20/43† | 36,030 | 34,528 | ||||||
Greenpoint Mortgage Funding Trust | ||||||||
0.45%, 10/25/45† | 53,444 | 33,239 | ||||||
GS Mortgage Securities Corporation II | ||||||||
1.34%, 03/10/44 144AW† | 797,927 | 47,331 | ||||||
GSMPS Mortgage Loan Trust | ||||||||
0.54%, 03/25/35 144A† | 32,514 | 27,614 | ||||||
0.54%, 09/25/35 144A† | 96,337 | 81,051 | ||||||
Harborview Mortgage Loan Trust | ||||||||
0.43%, 06/19/35† | 243,529 | 159,659 | ||||||
Homestar Mortgage Acceptance Corporation | ||||||||
0.64%, 07/25/34† | 107,796 | 93,869 | ||||||
Impac CMB Trust | ||||||||
0.99%, 03/25/33† | 17,308 | 13,440 | ||||||
Indymac INDA Mortgage Loan Trust | ||||||||
5.84%, 11/25/37† | 109,662 | 88,194 | ||||||
LB-UBS Commercial Mortgage Trust | ||||||||
5.86%, 07/15/40† | 40,000 | 43,398 | ||||||
MASTR Adjustable Rate Mortgages Trust | ||||||||
2.84%, 11/21/34† | 200,000 | 190,809 | ||||||
1.08%, 12/25/46† | 278,511 | 91,929 | ||||||
Merrill Lynch Mortgage Investors, Inc. | ||||||||
5.00%, 05/25/34† | 26,843 | 26,995 | ||||||
Morgan Stanley Capital I | ||||||||
5.69%, 04/15/49† | 200,000 | 214,607 | ||||||
NCUA Guaranteed Notes | ||||||||
2.90%, 10/29/20 | 10,000 | 9,981 | ||||||
RBSSP Resecuritization Trust | ||||||||
3.30%, 12/26/35 144A† | 37,494 | 37,721 | ||||||
Residential Accredit Loans, Inc. | ||||||||
3.14%, 12/26/34† | 244,279 | 168,447 | ||||||
0.59%, 10/25/45† | 146,388 | 83,362 | ||||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||||
2.66%, 11/25/34† | 70,492 | 55,236 |
See Notes to Financial Statements.
113
Table of Contents
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
Structured Asset Mortgage Investments, Inc. | ||||||||
0.37%, 09/25/47† | $ | 291,198 | $ | 186,496 | ||||
Structured Asset Securities Corporation | ||||||||
0.49%, 10/25/27† | 24,184 | 21,248 | ||||||
Washington Mutual Mortgage Pass-Through Certificates | ||||||||
2.58%, 02/25/33† | 31,122 | 29,039 | ||||||
2.62%, 10/25/33† | 97,314 | 95,696 | ||||||
2.58%, 01/25/35† | 108,330 | 104,031 | ||||||
5.39%, 11/25/36† | 193,979 | 146,607 | ||||||
0.51%, 08/25/45† | 127,640 | 104,138 | ||||||
Wells Fargo Mortgage Loan Trust | ||||||||
3.14%, 08/27/35 144A† | 94,926 | 90,938 | ||||||
Wells Fargo Mortgage-Backed Securities Trust | ||||||||
0.59%, 05/25/33† | 17,303 | 16,745 | ||||||
2.87%, 04/25/36† | 88,517 | 77,426 | ||||||
|
| |||||||
Total Mortgage-Backed Securities | 20,517,225 | |||||||
|
| |||||||
MUNICIPAL BONDS — 0.1% | ||||||||
Birmingham Commercial Development Authority, Civic Center Improvements Project, Series A General Obligation | ||||||||
5.50%, 04/01/41 | 10,000 | 10,129 | ||||||
Chicago O’Hare International Airport, Series A Revenue Bond | ||||||||
5.63%, 01/01/35 | 10,000 | 10,232 | ||||||
Chicago O’Hare International Airport, Series C Revenue Bond | ||||||||
5.50%, 01/01/31 | 10,000 | 10,238 | ||||||
Clark County Nevada, Las-Vegas-McCarran International Airport, Series A Revenue Bond | ||||||||
5.25%, 07/01/39 | 10,000 | 9,884 | ||||||
Illinois State, Taxable Pension General Obligation Bond | ||||||||
5.67%, 03/01/18 | 50,000 | 51,916 | ||||||
5.88%, 03/01/19 | 50,000 | 51,444 | ||||||
Los Angeles Department of Airports of the city of Los Angeles, California, Series A Revenue Bond | �� | |||||||
5.00%, 05/15/35 | 10,000 | 9,972 | ||||||
5.25%, 05/15/39 | 10,000 | 10,232 | ||||||
Los Angeles Department of Water & Power, Build America Revenue Bond | ||||||||
6.57%, 07/01/45 | 30,000 | 33,659 | ||||||
Metropolitan Atlanta Rapid Transit Authority, Sales Tax, Series A-3 Revenue Bond | ||||||||
5.00%, 07/01/39 | 10,000 | 9,925 | ||||||
Municipal Electric Authority of Georgia, Series B Revenue Bond | ||||||||
6.64%, 04/01/57 | 30,000 | 28,790 | ||||||
6.66%, 04/01/57 | 10,000 | 9,438 | ||||||
New York Liberty Development Corporation, Goldman Sachs Headquarters, Series 2005 Revenue Bond | ||||||||
5.25%, 10/01/35 | 30,000 | 29,754 | ||||||
North Carolina State Education Assistance Authority, Student Loan Backed Notes Revenue Bond Series 2010-1, Cl A1 | ||||||||
1.20%, 07/25/41 | 95,221 | 92,967 | ||||||
San Mateo County Community College District, Election 2005, Series B General Obligation | ||||||||
5.00%, 09/01/38 | 10,000 | 10,044 | ||||||
State of California General Obligation Bond | ||||||||
7.30%, 10/01/39 | 50,000 | 55,487 | ||||||
|
| |||||||
Total Municipal Bonds | 434,111 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 0.8% | ||||||||
U.S. Treasury Bond | ||||||||
4.50%, 08/15/39D | 10,000 | 10,227 | ||||||
|
| |||||||
U.S. Treasury Inflationary Index Bonds | ||||||||
2.38%, 01/15/27D | 55,000 | 70,045 | ||||||
1.75%, 01/15/28D | 100,000 | 112,515 | ||||||
2.50%, 01/15/29D | 100,000 | 121,864 | ||||||
3.88%, 04/15/29D | 10,000 | 18,768 | ||||||
2.13%, 02/15/40D | 20,000 | 22,357 | ||||||
|
| |||||||
345,549 | ||||||||
|
| |||||||
U.S. Treasury Notes | ||||||||
1.38%, 02/15/13D | 250,000 | 254,014 | ||||||
0.50%, 05/31/13 | 10,000 | 10,012 | ||||||
1.25%, 02/15/14D | 70,000 | 71,039 | ||||||
0.75%, 06/15/14D | 60,000 | 59,939 | ||||||
1.75%, 05/31/16D | 240,000 | 240,412 | ||||||
1.50%, 06/30/16 | 80,000 | 79,037 | ||||||
3.63%, 02/15/21D | 1,493,000 | 1,557,036 | ||||||
3.13%, 05/15/21D | 600,000 | 598,408 | ||||||
4.38%, 05/15/41D | 830,000 | 828,835 | ||||||
|
| |||||||
3,698,732 | ||||||||
|
| |||||||
Total U.S. Treasury Obligations | 4,054,508 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 147.8% | 745,899,271 | |||||||
Liabilities in Excess of Other Assets — (47.8)% | (241,220,051 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 504,679,220 | ||||||
|
|
Please see abbreviation and footnote definitions beginning on page 130. |
See Notes to Financial Statements.
114
Table of Contents
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Money Market Funds | 50.6 | |||
Financial Services | 17.3 | |||
Producer Durables | 13.3 | |||
Technology | 13.2 | |||
Consumer Discretionary | 13.0 | |||
Futures Contracts | 12.7 | |||
Healthcare | 9.7 | |||
Materials & Processing | 7.8 | |||
Energy | 6.0 | |||
Mortgage-Backed Securities | 4.1 | |||
Utilities | 3.9 | |||
Corporate Bonds | 2.1 | |||
Consumer Staples | 1.8 | |||
Agency Obligations | 1.6 | |||
Foreign Common Stocks | 1.4 | |||
U.S. Treasury Obligations | 0.8 | |||
Foreign Bonds | 0.6 | |||
Asset-Backed Securities | 0.4 | |||
Municipal Bonds | 0.1 | |||
Rights/Warrants | 0.1 | |||
Preferred Stocks | — | ** | ||
Forward Foreign Currency Contracts | (0.4 | ) | ||
|
| |||
160.1 | ||||
|
|
** | Rounds to less than 0.005%. |
See Notes to Financial Statements.
115
Table of Contents
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2011, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Agency Obligations | $ | 8,149,515 | $ | — | $ | 8,149,515 | $ | — | ||||||||
Asset-Backed Securities | 2,057,989 | — | 2,057,989 | — | ||||||||||||
Common Stocks | 434,292,018 | 433,754,193 | — | 537,825 | ||||||||||||
Corporate Bonds | 10,383,664 | — | 10,383,664 | — | ||||||||||||
Foreign Bonds | 3,000,494 | — | 3,000,494 | — | ||||||||||||
Foreign Common Stocks | 7,084,717 | 7,084,717 | — | — | ||||||||||||
Money Market Funds | 255,639,677 | 255,639,677 | — | — | ||||||||||||
Mortgage-Backed Securities | 20,517,225 | — | 20,517,225 | — | ||||||||||||
Municipal Bonds | 434,111 | — | 434,111 | — | ||||||||||||
Preferred Stocks | 2,853 | 2,853 | — | — | ||||||||||||
Rights/Warrants | 282,500 | — | — | 282,500 | ||||||||||||
U.S. Treasury Obligations | 4,054,508 | — | 4,054,508 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 745,899,271 | $ | 696,481,440 | $ | 48,597,506 | $ | 820,325 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Forward Foreign Currency Contracts | $ | 191 | $ | — | $ | 191 | $ | — | ||||||||
Futures Contracts | 2,724,172 | 2,724,172 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 2,724,363 | $ | 2,724,172 | $ | 191 | $ | — | ||||||||
|
|
|
|
|
|
|
|
*** | 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:
Total Value | Common Stocks | |||||||
Balance, 12/31/10 | $ | 560,550 | $ | 560,550 | ||||
Accrued discounts/premiums | — | — | ||||||
Realized gain (loss)(1) | — | — | ||||||
Change in unrealized appreciation (depreciation)(2) | (22,725 | ) | (22,725 | ) | ||||
Purchases | 282,500 | 282,500 | ||||||
Sales | — | — | ||||||
Transfers in and/or out of Level 3 | — | — | ||||||
|
|
|
| |||||
Balance, 06/30/11 | $ | 820,325 | $ | 820,325 | ||||
|
|
|
|
(1) | Realized gain (loss) from the sale of Level 3 securities can be found on the Statement of Operations in Net Realized Gain (loss) from Investment securities and securities sold short. |
(2) | Change in unrealized appreciation (depreciation) can be found on the Statement of Operations in Net change in unrealized appreciation (depreciation) on Investment securities and securities sold short. |
See Notes to Financial Statements.
116
Table of Contents
SCHEDULE OF INVESTMENTS |
June 30, 2011 (Unaudited) |
Par | Value | |||||||
FOREIGN BOND — 0.0% | ||||||||
Jersey — 0.0% | ||||||||
Dana Gas Sukuk, Ltd. | ||||||||
7.50%, 10/31/12 (Cost $111,183) | $ | 120,000 | $ | 107,700 | ||||
|
| |||||||
Shares | ||||||||
FOREIGN COMMON STOCKS — 94.4% | ||||||||
Argentina — 0.2% | ||||||||
Banco Macro SA ADR | 14,800 | 558,552 | ||||||
Cresud SACIF y A ADR | 73,720 | 1,197,213 | ||||||
Pampa Energia SA ADRD | 43,700 | 670,358 | ||||||
Petrobras Argentina SA ADRD | 53,289 | 1,032,208 | ||||||
|
| |||||||
3,458,331 | ||||||||
|
| |||||||
Australia — 3.9% | ||||||||
Adelaide Brighton, Ltd. | 47,733 | 158,195 | ||||||
AGL Energy, Ltd.‡‡ | 11,311 | 177,728 | ||||||
Alumina, Ltd. | 34,920 | 79,027 | ||||||
Amcor, Ltd. | 548,348 | 4,234,529 | ||||||
AMP, Ltd.‡‡ | 584,376 | 3,064,909 | ||||||
Ansell, Ltd.‡‡ | 23,013 | 349,505 | ||||||
APN News & Media, Ltd. | 98,600 | 139,065 | ||||||
ASX, Ltd.‡‡ | 2,537 | 82,856 | ||||||
Australia & New Zealand Banking Group, Ltd.‡‡ | 26,393 | 622,770 | ||||||
Bank of Queensland, Ltd. | 6,400 | 56,081 | ||||||
Bendigo and Adelaide Bank, Ltd. | 33,409 | 317,478 | ||||||
BGP Group REIT Entitlement Shares | 63,198 | — | ||||||
BHP Billiton, Ltd.‡‡ | 49,258 | 2,314,021 | ||||||
BlueScope Steel, Ltd. | 775,276 | 1,001,982 | ||||||
Boart Longyear, Ltd. | 27,600 | 118,113 | ||||||
Boral, Ltd. | 9,760 | 46,059 | ||||||
Brambles, Ltd.‡‡ | 350,603 | 2,714,996 | ||||||
Caltex Australia, Ltd.‡‡ | 60,401 | 761,847 | ||||||
CFS Retail Property Trust REIT‡‡ | 12,495 | 24,324 | ||||||
CGA Mining, Ltd.* | 76,500 | 237,166 | ||||||
Challenger, Ltd.‡‡ | 49,383 | 259,002 | ||||||
Cochlear, Ltd. | 26,200 | 2,023,253 | ||||||
Commonwealth Bank of Australia‡‡ | 11,517 | 646,037 | ||||||
Computershare, Ltd.‡‡ | 6,176 | 58,755 | ||||||
CSL, Ltd. | 7,600 | 269,484 | ||||||
CSR, Ltd. | 112,820 | 350,914 | ||||||
Dexus Property Group REIT‡‡ | 66,404 | 62,675 | ||||||
Downer EDI, Ltd. | 141,405 | 561,155 | ||||||
DUET Group‡‡ | 116,008 | 211,521 | ||||||
Fairfax Media, Ltd.‡‡ | 513,727 | 539,976 | ||||||
Flight Centre, Ltd.‡‡ | 20,901 | 484,662 | ||||||
Fortescue Metals Group, Ltd. | 354,113 | 2,411,748 | ||||||
Goodman Fielder, Ltd.‡‡ | 125,971 | 143,216 | ||||||
Goodman Group REIT‡‡ | 99,079 | 74,918 | ||||||
GPT Group REIT‡‡ | 25,640 | 86,900 | ||||||
Iluka Resources, Ltd. | 26,268 | 472,754 | ||||||
Insurance Australia Group, Ltd. | 59,800 | 218,070 | ||||||
Leighton Holdings, Ltd. | 5,229 | 116,934 | ||||||
Lend Lease Group‡‡ | 7,753 | 74,590 | ||||||
Mirvac Group REIT‡‡ | 47,808 | 64,095 | ||||||
Mount Gibson Iron, Ltd.* | 773,262 | 1,526,022 | ||||||
Myer Holdings, Ltd. | 398,928 | 1,129,574 | ||||||
National Australia Bank, Ltd.‡‡ | 118,229 | 3,248,774 | ||||||
Newcrest Mining, Ltd.‡‡ | 10,826 | 437,866 | ||||||
Nufarm, Ltd.* | 14,500 | 69,828 | ||||||
Orica, Ltd.‡‡ | 1,484 | 42,879 | ||||||
Origin Energy, Ltd.‡‡ | 11,550 | 195,605 | ||||||
OZ Minerals, Ltd.‡‡ | 4,583 | 64,884 | ||||||
Pacific Brands, Ltd. | 536,362 | 399,815 | ||||||
Paladin Energy, Ltd.*‡‡ | 4,238 | 11,455 | ||||||
Primary Health Care, Ltd. | 85 | 313 | ||||||
Qantas Airways, Ltd.‡‡ | 44,595 | 88,008 | ||||||
QBE Insurance Group, Ltd. | 255,713 | 4,731,058 | ||||||
QR National, Ltd.* | 23,918 | 86,708 | ||||||
Ramsay Health Care, Ltd.‡‡ | 482 | 9,399 | ||||||
Rio Tinto, Ltd.‡‡ | 8,556 | 761,575 | ||||||
Santos, Ltd. | 28,769 | 417,792 | ||||||
Sims Metal Management, Ltd. | 2,400 | 45,433 | ||||||
Sonic Healthcare, Ltd.‡‡ | 41,100 | 567,331 | ||||||
SP AusNet | 53,704 | 54,432 | ||||||
Spark Infrastructure Group 144A | 280,300 | 387,819 | ||||||
Stockland REIT‡‡ | 32,771 | 119,856 | ||||||
Suncorp Group, Ltd.‡‡ | 26,762 | 233,647 | ||||||
Telstra Corporation, Ltd.‡‡ | 1,981,445 | 6,141,807 | ||||||
Ten Network Holdings, Ltd. | 137,697 | 156,548 | ||||||
Toll Holdings, Ltd.D | 251,853 | 1,310,102 | ||||||
Transurban Group‡‡ | 8,164 | 45,795 | ||||||
UGL, Ltd.‡‡ | 3,325 | 49,499 | ||||||
Wesfarmers, Ltd.‡‡ | 49,472 | 1,689,994 | ||||||
Wesfarmers, Ltd. Price Protected Shares‡‡ | 2,174 | 75,198 | ||||||
Westfield Group REIT‡‡ | 31,160 | 289,422 | ||||||
Westfield Retail Trust REIT‡‡ | 42,364 | 123,135 | ||||||
Westpac Banking Corporation‡‡ | 26,633 | 635,860 | ||||||
Woodside Petroleum, Ltd. | 65,038 | 2,860,009 | ||||||
|
| |||||||
53,638,752 | ||||||||
|
| |||||||
Austria — 0.0% | ||||||||
Vienna Insurance Group AG | 14,275 | 784,568 | ||||||
|
| |||||||
Belgium — 0.1% | ||||||||
Groupe Bruxelles | ||||||||
Lambert SA‡‡ | 457 | 40,645 | ||||||
Mobistar SA | 6,700 | 508,927 | ||||||
Nyrstar* | 5,276 | 76,357 | ||||||
Solvay SA | 1,748 | 270,091 | ||||||
UCB SA | 3,800 | 170,746 | ||||||
|
| |||||||
1,066,766 | ||||||||
|
| |||||||
Bermuda — 0.2% | ||||||||
Catlin Group, Ltd.‡‡ | 62,270 | 401,861 | ||||||
Hiscox, Ltd.‡‡ | 2,808 | 18,879 | ||||||
Seadrill, Ltd. | 41,428 | 1,458,194 | ||||||
Signet Jewelers, Ltd.* | 21,800 | 1,028,648 | ||||||
|
| |||||||
2,907,582 | ||||||||
|
| |||||||
Brazil — 2.9% | ||||||||
Amil Participacoes SA | 87,090 | 1,011,163 | ||||||
B2W Cia Global Do Varejo | 48,600 | 594,479 | ||||||
Banco do Brasil SA | 33,055 | 589,235 | ||||||
Banco Santander Brasil SA ADR | 253,501 | 2,968,497 | ||||||
BM&FBovespa SA | 255,300 | 1,688,204 | ||||||
BrasilAgro - Companhia Brasileira de Propriedades Agricolas* | 45,800 | 299,337 |
See Notes to Financial Statements.
117
Table of Contents
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | |||||||
Centrais Eletricas Brasileiras SA | 196,600 | $ | 2,615,203 | |||||
Cia de Saneamento Basico do Estado de Sao Paulo ADRD | 7,854 | 468,648 | ||||||
Cia Paranaense de Energia ADRD | 83,615 | 2,270,984 | ||||||
Cia Siderurgica Nacional SA | 48,423 | 592,625 | ||||||
Fertilizantes Heringer SA* | 110,600 | 698,049 | ||||||
GP Investments, Ltd.* | 320,000 | 1,250,761 | ||||||
Itau Unibanco Holding SA ADR | 118,000 | 2,778,900 | ||||||
Lojas Renner SA | 26,768 | 1,020,705 | ||||||
Magnesita Refratarios SA* | 52,339 | 258,232 | ||||||
Marfrig Alimentos SA | 45,867 | 443,784 | ||||||
OGX Petroleo e Gas Participacoes SA* | 351,820 | 3,280,031 | ||||||
Petroleo Brasileiro SA ADR | 227,903 | 7,104,410 | ||||||
Profarma Distribuidora de Produtos Farmaceuticos SA | 95,000 | 906,994 | ||||||
SLC Agricola SA | 30,600 | 363,126 | ||||||
Tim Participacoes SA ADRD | 36,020 | 1,772,544 | ||||||
Totvs SA | 34,711 | 630,098 | ||||||
Tractebel Energia SA | 69,757 | 1,216,216 | ||||||
Usinas Siderurgicas de Minas Gerais SA ADRD | 59,703 | 522,401 | ||||||
Vale SA ADR | 129,600 | 3,753,216 | ||||||
|
| |||||||
39,097,842 | ||||||||
|
| |||||||
Canada — 2.5% | ||||||||
AuRico Gold, Inc.D* | 58,595 | 643,959 | ||||||
Bankers Petroleum, Ltd.D* | 285,125 | 2,033,968 | ||||||
Banro Corporation* | 210,830 | 800,081 | ||||||
Canadian National Railway Co. | 61,100 | 4,881,890 | ||||||
Eastern Platinum, Ltd.* | 498,533 | 413,527 | ||||||
Enbridge, Inc.D | 88,600 | 2,880,912 | ||||||
Falcon Oil & Gas, Ltd.D* | 208,166 | 34,534 | ||||||
First Quantum Minerals, Ltd.D | 33,114 | 4,828,131 | ||||||
Gran Colombia Gold Corporation* | 885,249 | 677,802 | ||||||
Grande Cache Coal Corporation* | 158,308 | 1,442,820 | ||||||
Ivanhoe Mines, Ltd.D* | 15,771 | 399,006 | ||||||
Lundin Mining Corporation* | 234,600 | 1,800,031 | ||||||
Nexen, Inc. | 88,627 | 1,997,772 | ||||||
Niko Resources, Ltd. | 24,301 | 1,517,096 | ||||||
Open Text CorporationD* | 30,250 | 1,936,605 | ||||||
Potash Corporation of Saskatchewan, Inc. | 46,010 | 2,622,110 | ||||||
Saputo, Inc.D | 51,500 | 2,483,555 | ||||||
Suncor Energy, Inc. | 31,800 | 1,246,348 | ||||||
Valeant Pharmaceuticals International, Inc.D | 37,670 | 1,957,333 | ||||||
|
| |||||||
34,597,480 | ||||||||
|
| |||||||
Chile — 0.0% | ||||||||
Embotelladora Andina SA ADR Class AD | 9,343 | 233,855 | ||||||
Embotelladora Andina SA ADR Class BD | 16,746 | 483,122 | ||||||
|
| |||||||
716,977 | ||||||||
|
| |||||||
China — 3.4% | ||||||||
Anhui Conch Cement Co., Ltd. Class H | 823,096 | 3,850,148 | ||||||
Baidu, Inc. ADR* | 73,000 | 10,229,490 | ||||||
Bank of China, Ltd. Class H | 4,235,700 | 2,062,956 | ||||||
China Life Insurance Co., Ltd. Class H | 252,000 | 861,406 | ||||||
China Merchants Bank Co., Ltd. Class HD | 966,190 | 2,334,242 | ||||||
China Merchants Bank Co., Ltd. | 730,500 | 1,764,833 | ||||||
China Security & Surveillance Technology, Inc.D* | 152,600 | 808,780 | ||||||
China Shenhua Energy Co., Ltd. Class H | 429,151 | 2,046,018 | ||||||
CNinsure, Inc. ADRD* | 17,400 | 256,302 | ||||||
Ctrip.com International, Ltd. ADR* | 19,200 | 827,136 | ||||||
ENN Energy Holdings, Ltd.D | 290,433 | 985,316 | ||||||
Focus Media Holding, Ltd. ADRD* | 42,695 | 1,327,814 | ||||||
Foxconn International Holdings, Ltd.*‡‡ | 16,000 | 7,032 | ||||||
Huaneng Power International, Inc. ADRD | 20,215 | 430,984 | ||||||
Huaneng Power International, Inc. Class H | 764,000 | 401,552 | ||||||
Industrial & Commercial Bank of China Class H | 2,345,750 | 1,781,536 | ||||||
Li Ning Co, Ltd.D | 638,842 | 1,105,004 | ||||||
Longfor Properties Co., Ltd.D | 316,458 | 486,377 | ||||||
Netease.com ADRD* | 41,335 | 1,863,795 | ||||||
Parkson Retail Group, Ltd.D | 921,927 | 1,348,231 | ||||||
PetroChina Co., Ltd. Class H | 288,000 | 421,173 | ||||||
PICC Property & Casualty Co., Ltd.* | 1,145,000 | 1,948,135 | ||||||
Tencent Holdings, Ltd. | 230,800 | 6,264,050 | ||||||
Trina Solar, Ltd. GDRD* | 31,266 | 700,984 | ||||||
Want Want China Holdings, Ltd. | 1,156,283 | 1,121,855 | ||||||
West China Cement, Ltd.D | 1,374,787 | 494,674 | ||||||
Yangzijiang Shipbuilding Holdings, Ltd.‡‡ | 32,800 | 38,987 | ||||||
ZTE Corporation Class H | 16,720 | 60,591 | ||||||
|
| |||||||
45,829,401 | ||||||||
|
| |||||||
Colombia — 0.1% | ||||||||
BanColombia SA | 64,300 | 1,056,279 | ||||||
BanColombia SA ADRD | 7,394 | 493,402 | ||||||
|
| |||||||
1,549,681 | ||||||||
|
| |||||||
Denmark — 0.9% | ||||||||
A P Moller - Maersk A/S Class B‡‡ | 28 | 241,490 | ||||||
Coloplast A/S Class B‡‡ | 3,845 | 583,844 | ||||||
Danske Bank A/S‡‡ | 30,997 | 574,030 | ||||||
DSV A/S | 8,300 | 198,971 | ||||||
H Lundbeck A/S | 13,300 | 349,864 | ||||||
Novo-Nordisk A/S Class BD‡‡ | 61,434 | 7,710,006 | ||||||
Novozymes A/S | 8,000 | 1,301,863 | ||||||
Sydbank A/S | 2,037 | 45,466 | ||||||
Topdanmark A/S* | 2,600 | 485,282 | ||||||
Vestas Wind Systems A/S* | 31,000 | 720,243 | ||||||
|
| |||||||
12,211,059 | ||||||||
|
| |||||||
Egypt — 0.4% | ||||||||
Egyptian Financial Group-Hermes Holding | 467,246 | 1,573,535 | ||||||
ElSwedy Electric Co. | 62,055 | 379,598 | ||||||
Orascom Construction Industries | 52,394 | 2,367,013 | ||||||
Oriental Weavers | 29,805 | 147,265 |
See Notes to Financial Statements.
118
Table of Contents
Shares | Value | |||||||
Telecom Egypt | 305,812 | $ | 764,978 | |||||
|
| |||||||
5,232,389 | ||||||||
|
| |||||||
Estonia — 0.0% | ||||||||
Tallink Group PLC* | 546,960 | 550,466 | ||||||
|
| |||||||
Finland — 0.5% | ||||||||
Cargotec OYJ Class B | 9,363 | 479,841 | ||||||
Kesko OYJ‡‡ | 5,568 | 259,029 | ||||||
Kone OYJ‡‡ | 2,427 | 152,502 | ||||||
Metso OYJ | 12,510 | 710,602 | ||||||
Nokia OYJ‡‡ | 27,337 | 177,204 | ||||||
Nokian Renkaat OYJ | 19,083 | 957,498 | ||||||
Orion OYJ | 19,300 | 497,348 | ||||||
Outotec OYJ | 5,700 | 324,023 | ||||||
Sampo OYJ | 72,640 | 2,345,910 | ||||||
Stora Enso OYJ Class R‡‡ | 24,787 | 260,063 | ||||||
UPM-Kymmene OYJ‡‡ | 35,294 | 645,403 | ||||||
Wartsila OYJ‡‡ | 19,652 | 663,730 | ||||||
|
| |||||||
7,473,153 | ||||||||
|
| |||||||
France — 7.9% | ||||||||
Accor SA | 3,525 | 157,623 | ||||||
Aeroports de Paris | 2,600 | 244,586 | ||||||
Alcatel-LucentD* | 513,870 | 2,971,829 | ||||||
Alstom SAD | 32,850 | 2,025,555 | ||||||
Arkema SA | 22,141 | 2,279,343 | ||||||
Atos Origin SA‡‡ | 4,277 | 241,643 | ||||||
AXA SA | 100,255 | 2,278,192 | ||||||
BNP Paribas‡‡ | 81,854 | 6,318,467 | ||||||
Bouygues SA‡‡ | 9,949 | 437,373 | ||||||
Cap Gemini SA‡‡ | 1,990 | 116,587 | ||||||
Carrefour SAD | 129,684 | 5,325,924 | ||||||
Casino Guichard Perrachon SA | 15,681 | 1,478,095 | ||||||
Christian Dior SA‡‡ | 47,449 | 7,465,728 | ||||||
Cie de St-Gobain‡‡ | 113,136 | 7,326,326 | ||||||
Cie Generale de Geophysique-Veritas* | 27,111 | 998,607 | ||||||
Cie Generale d’Optique Essilor International SA | 23,700 | 1,922,244 | ||||||
CNP Assurances‡‡ | 5,858 | 127,723 | ||||||
Credit Agricole SA | 29,800 | 448,136 | ||||||
Danone | 47,770 | 3,564,150 | ||||||
Eramet | 1,200 | 397,459 | ||||||
Faurecia | 4,300 | 184,171 | ||||||
France Telecom SA | 320,735 | 6,820,933 | ||||||
Imerys SA‡‡ | 52 | 3,664 | ||||||
Ipsen SA | 4,800 | 170,260 | ||||||
Klepierre REIT‡‡ | 623 | 25,717 | ||||||
Lafarge SAD | 32,821 | 2,091,590 | ||||||
Lagardere SCA‡‡ | 3,356 | 141,792 | ||||||
Legrand SA‡‡ | 18,210 | 767,002 | ||||||
L’Oreal SA | 18,500 | 2,402,709 | ||||||
Natixis | 8,238 | 41,335 | ||||||
Nexans SA | 1,900 | 178,819 | ||||||
PPR‡‡ | 27,216 | 4,846,609 | ||||||
Safran SA‡‡ | 3,651 | 155,924 | ||||||
Sanofi‡‡ | 130,208 | 10,468,302 | ||||||
Schneider Electric SA‡‡ | 56,336 | 9,411,391 | ||||||
SEB SA | 842 | 88,220 | ||||||
Societe BIC SA‡‡ | 6,764 | 653,663 | ||||||
Societe Generale SAD | 96,914 | 5,750,922 | ||||||
Societe Television Francaise 1 | 6,408 | 116,529 | ||||||
Thales SA‡‡ | 6,660 | 287,182 | ||||||
Total SA‡‡ | 152,698 | 8,830,877 | ||||||
Unibail-Rodamco SE REIT‡‡ | 1,611 | 372,508 | ||||||
Valeo SA | 19,571 | 1,336,180 | ||||||
Vinci SA | 56,165 | 3,597,564 | ||||||
Vivendi SA‡‡ | 23,350 | 649,288 | ||||||
Wendel SAD | 11,394 | 1,400,994 | ||||||
Zodiac Aerospace‡‡ | 3,285 | 285,969 | ||||||
|
| |||||||
107,205,704 | ||||||||
|
| |||||||
Germany — 7.5% | ||||||||
Adidas AG‡‡ | 37,431 | 2,969,163 | ||||||
Aixtron SE NA | 39,400 | 1,344,415 | ||||||
Allianz SE‡‡ | 27,192 | 3,798,552 | ||||||
Aurubis AG | 10,833 | 704,574 | ||||||
Axel Springer AG | 15,600 | 770,521 | ||||||
BASF SE‡‡ | 69,470 | 6,807,169 | ||||||
Bayer AG‡‡ | 29,546 | 2,375,403 | ||||||
Bayerische Motoren Werke AG | 34,910 | 3,483,508 | ||||||
Beiersdorf AG | 70,700 | 4,588,046 | ||||||
Bilfinger Berger SE | 13,080 | 1,293,433 | ||||||
Daimler AG‡‡ | 36,136 | 2,719,711 | ||||||
Deutsche Bank AG‡‡ | 36,953 | 2,183,698 | ||||||
Deutsche Boerse AG‡‡ | 52,765 | 4,009,522 | ||||||
Deutsche Lufthansa AG‡��� | 110,756 | 2,413,221 | ||||||
Deutsche Post AG‡‡ | 19,517 | 375,011 | ||||||
Deutsche Telekom AG | 415,583 | 6,517,780 | ||||||
E.ON AG‡‡ | 3,537 | 100,456 | ||||||
Fresenius Medical Care AG & Co. KGaA | 29,202 | 2,183,015 | ||||||
GEA Group AG | 58,662 | 2,099,933 | ||||||
Hannover Rueckversicherung AG‡‡ | 66,980 | 3,493,338 | ||||||
HeidelbergCement AG | 21,100 | 1,347,092 | ||||||
Infineon Technologies AG‡‡ | 71,900 | 808,273 | ||||||
K+S AG | 12,121 | 931,600 | ||||||
Kloeckner & Co. SE | 39,864 | 1,199,828 | ||||||
Linde AG | 38,700 | 6,785,043 | ||||||
MAN SE | 1,679 | 223,906 | ||||||
Merck KGaA | 10,800 | 1,173,688 | ||||||
Metro AG | 27,830 | 1,686,557 | ||||||
Muenchener Rueckversicherungs AG | 1,012 | 154,754 | ||||||
NII Holdings, Inc. Class B* | 19,595 | 830,436 | ||||||
RWE AG | 107,455 | 5,958,035 | ||||||
Salzgitter AG‡‡ | 225 | 17,159 | ||||||
SAP AG | 149,650 | 9,060,424 | ||||||
Siemens AG‡‡ | 49,987 | 6,864,713 | ||||||
SMA Solar Technology AGD | 26,036 | 2,900,440 | ||||||
Software AG | 16,566 | 992,523 | ||||||
Suedzucker AGD‡‡ | 75,505 | 2,683,155 | ||||||
Tognum AG | 2,373 | 88,990 | ||||||
TUI AG | 112,400 | 1,219,223 | ||||||
Volkswagen AGD | 11,837 | 2,174,872 | ||||||
Vossloh AG | 2,900 | 407,004 | ||||||
|
| |||||||
101,738,184 | ||||||||
|
| |||||||
Greece — 0.2% | ||||||||
Coca Cola Hellenic Bottling Co. SA | 55,078 | 1,479,226 | ||||||
Public Power Corporation SA | 89,964 | 1,288,965 | ||||||
|
| |||||||
2,768,191 | ||||||||
|
| |||||||
Guernsey — 0.0% | ||||||||
Resolution, Ltd. | 7,614 | 35,927 | ||||||
|
|
See Notes to Financial Statements.
119
Table of Contents
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | |||||||
Hong Kong — 2.2% | ||||||||
AIA Group, Ltd.* | 845,200 | $ | 2,927,142 | |||||
ASM Pacific Technology, Ltd.‡‡ | 15,125 | 207,194 | ||||||
Belle International Holdings, Ltd. | 389,000 | 819,821 | ||||||
BOC Hong Kong Holdings, Ltd. | 120,500 | 349,962 | ||||||
Cathay Pacific Airways, Ltd. | 149,000 | 345,038 | ||||||
Cheung Kong Holdings, Ltd.‡‡ | 25,000 | 365,601 | ||||||
Cheung Kong Infrastructure Holdings, Ltd.‡‡ | 7,000 | 36,342 | ||||||
China Mobile, Ltd. | 416,618 | 3,854,749 | ||||||
China Overseas Land & Investment, Ltd.D | 610,372 | 1,308,327 | ||||||
China Resources Gas Group, Ltd. | 107,467 | 150,255 | ||||||
CLP Holdings, Ltd. | 11,000 | 97,466 | ||||||
CNOOC, Ltd. | 1,904,900 | 4,445,428 | ||||||
Esprit Holdings, Ltd. | 56,477 | 175,636 | ||||||
Hang Lung Group, Ltd.‡‡ | 15,000 | 95,031 | ||||||
Hong Kong Exchanges and Clearing, Ltd.‡‡ | 107,200 | 2,246,851 | ||||||
Hopewell Holdings, Ltd. | 72,000 | 228,074 | ||||||
Hutchison Whampoa, Ltd. | 65,000 | 701,646 | ||||||
Jardine Matheson Holdings, Ltd. | 53,200 | 3,050,488 | ||||||
Kerry Properties, Ltd. | 25,100 | 120,957 | ||||||
Li & Fung, Ltd. | 1,684,000 | 3,354,280 | ||||||
Lifestyle International Holdings, Ltd.‡‡ | 4,000 | 11,668 | ||||||
Link (The) REIT‡‡ | 39,500 | 134,768 | ||||||
Luks Group Vietnam Holdings Co., Ltd. | 1,626,000 | 432,530 | ||||||
Mongolia Energy Corporation Ltd.*‡‡ | 15,000 | 1,754 | ||||||
New World Department Store China, Ltd.D | 439,337 | 345,521 | ||||||
New World Development, Ltd.‡‡ | 42,000 | 63,472 | ||||||
NWS Holdings, Ltd.‡‡ | 9,000 | 12,051 | ||||||
Orient Overseas International, Ltd. | 1,500 | 9,657 | ||||||
PCCW, Ltd.‡‡ | 68,000 | 29,274 | ||||||
Ports Design, Ltd. | 134,500 | 318,028 | ||||||
Power Assets Holdings, Ltd. | 218,500 | 1,653,835 | ||||||
Shangri-La Asia, Ltd. | 127,000 | 310,739 | ||||||
Sun Hung Kai Properties, Ltd.‡‡ | 6,000 | 87,359 | ||||||
Swire Pacific, Ltd. Class A‡‡ | 13,000 | 190,948 | ||||||
Television Broadcasts, Ltd.‡‡ | 38,800 | 256,283 | ||||||
Wharf Holdings, Ltd.‡‡ | 71,000 | 493,151 | ||||||
Wheelock & Co., Ltd.‡‡ | 76,000 | 304,715 | ||||||
Yue Yuen Industrial Holdings, Ltd. | 500 | 1,587 | ||||||
|
| |||||||
29,537,628 | ||||||||
|
| |||||||
Hungary — 0.4% | ||||||||
Egis Gyogyszergyar Nyrt | 22,297 | 2,396,688 | ||||||
MOL Hungarian Oil and Gas PLC* | 21,754 | 2,492,627 | ||||||
MOL Hungarian Oil and Gas PLC ADR* | 1,015 | 58,200 | ||||||
|
| |||||||
4,947,515 | ||||||||
|
| |||||||
India — 1.6% | ||||||||
Ambuja Cements, Ltd. | 520,521 | 1,556,236 | ||||||
Andhra Bank | 246,868 | 741,115 | ||||||
Asian Paints, Ltd. | 21,527 | 1,533,821 | ||||||
Axis Bank, Ltd. | 86,552 | 2,496,798 | ||||||
Bajaj Auto, Ltd. | 29,853 | 939,683 | ||||||
Container Corporation of India, Ltd.@ | 23,263 | 541,082 | ||||||
Dabur India, Ltd. | 320,170 | 816,495 | ||||||
Housing Development Finance Corporation | 107,500 | 1,698,501 | ||||||
India Cements, Ltd. GDR | 638,237 | 1,014,159 | ||||||
Infosys Technologies, Ltd. ADR | 79,400 | 5,179,262 | ||||||
Lupin, Ltd.* | 119,046 | 1,196,252 | ||||||
NTPC, Ltd.* | 76,900 | 321,517 | ||||||
Opto Circuits India, Ltd.* | 92,158 | 615,795 | ||||||
Pantaloon Retail India, Ltd. | 26,733 | 206,526 | ||||||
Reliance Capital, Ltd.* | 67,100 | 868,273 | ||||||
Shriram Transport Finance Co., Ltd. | 118,716 | 1,637,632 | ||||||
SKS Microfinance, Ltd.* | 18,656 | 143,752 | ||||||
United Phosphorus, Ltd.* | 87,199 | 297,864 | ||||||
Welspun Corporation Ltd. | 75,572 | 292,297 | ||||||
|
| |||||||
22,097,060 | ||||||||
|
| |||||||
Indonesia — 1.0% | ||||||||
PT Bank Danamon Indonesia Tbk | 1,360,346 | 951,790 | ||||||
PT Bank Rakyat Indonesia Tbk | 3,625,634 | 2,748,134 | ||||||
PT Indocement Tunggal Prakarsa Tbk | 1,163,280 | 2,312,859 | ||||||
PT Medco Energi Internasional Tbk | 4,134,000 | 1,132,867 | ||||||
PT Panin Financial Tbk | 13,077,044 | 271,437 | ||||||
PT Ramayana Lestari Sentosa Tbk | 3,160,500 | 287,469 | ||||||
PT Semen Gresik Persero Tbk | 793,137 | 887,892 | ||||||
PT Telekomunikasi Indonesia Tbk | 3,350,199 | 2,871,432 | ||||||
Telekomunikasi Indonesia Tbk PT ADRD | 46,261 | 1,596,004 | ||||||
|
| |||||||
13,059,884 | ||||||||
|
| |||||||
Ireland — 0.5% | ||||||||
Experian PLC‡‡ | 289,662 | 3,688,940 | ||||||
James Hardie Industries SE ADR* | 107,900 | 678,165 | ||||||
Shire PLC | 86,980 | 2,715,202 | ||||||
WPP PLC‡‡ | 34,882 | 436,676 | ||||||
|
| |||||||
7,518,983 | ||||||||
|
| |||||||
Israel — 0.4% | ||||||||
Check Point Software Technologies, Ltd.D* | 29,300 | 1,665,705 | ||||||
Teva Pharmaceutical Industries, Ltd. ADR | 91,400 | 4,407,308 | ||||||
|
| |||||||
6,073,013 | ||||||||
|
| |||||||
Italy — 1.9% | ||||||||
ACEA SpA | 75,579 | 775,431 | ||||||
Banca Monte dei Paschi di Siena SpA | 260,700 | 197,534 | ||||||
Banca Popolare di Milano | 115,194 | 272,124 | ||||||
Enel SpA | 191,664 | 1,251,856 | ||||||
ENI SpA‡‡ | 370,170 | 8,755,290 | ||||||
Fiat Industrial SpA* | 69,579 | 516,526 | ||||||
Fiat SpA‡‡ | 77,702 | 852,989 |
See Notes to Financial Statements.
120
Table of Contents
Shares | Value | |||||||
Intesa Sanpaolo SpA | 3,639,719 | $ | 9,690,716 | |||||
Mediaset SpA‡‡ | 38,630 | 181,616 | ||||||
Pirelli & C SpA | 3,688 | 39,844 | ||||||
Saipem SpA | 34,180 | 1,764,564 | ||||||
Telecom Italia SpA | 179,220 | 249,371 | ||||||
Terna Rete Elettrica Nazionale SpA‡‡ | 6,035 | 28,058 | ||||||
Tod’s SpA | 10,315 | 1,379,911 | ||||||
|
| |||||||
25,955,830 | ||||||||
|
| |||||||
Japan — 12.2% | ||||||||
Aeon Co., Ltd. | 39,800 | 478,559 | ||||||
Aisin Seiki Co., Ltd.D | 61,200 | 2,356,624 | ||||||
Ajinomoto Co., Inc. | 40,000 | 473,511 | ||||||
Alfresa Holdings Corporation | 100 | 3,876 | ||||||
Amada Co., Ltd. | 10,000 | 76,517 | ||||||
Aozora Bank, Ltd. | 56,600 | 130,770 | ||||||
Asahi Glass Co., Ltd.‡‡ | 45,200 | 525,523 | ||||||
Asahi Kasei Corporation | 33,200 | 222,694 | ||||||
Astellas Pharma, Inc. | 165,200 | 6,392,125 | ||||||
Bridgestone Corporation | 14,300 | 327,903 | ||||||
Brother Industries, Ltd. | 40,200 | 591,727 | ||||||
Canon, Inc.D‡‡ | 196,150 | 9,283,045 | ||||||
Central Japan Railway Co.‡‡ | 39 | 306,167 | ||||||
Chubu Electric Power Co., Inc.‡‡ | 22,500 | 438,793 | ||||||
Chuo Mitsui Trust Holdings, Inc.‡‡ | 503,840 | 1,746,120 | ||||||
Coca-Cola West Co., Ltd. | 14,300 | 273,548 | ||||||
Cosmo Oil Co., Ltd. | 181,000 | 512,614 | ||||||
Credit Saison Co., Ltd.‡‡ | 8,900 | 148,914 | ||||||
Daicel Chemical Industries, Ltd.‡‡ | 31,000 | 204,087 | ||||||
Daido Steel Co., Ltd. | 74,000 | 492,690 | ||||||
Daihatsu Motor Co., Ltd. | 113,000 | 1,914,564 | ||||||
Dai-ichi Life Insurance Co., Ltd. (The) | 126 | 175,763 | ||||||
Daiichi Sankyo Co., Ltd. | 5,100 | 99,396 | ||||||
Daito Trust Construction Co., Ltd.‡‡ | 26,300 | 2,224,744 | ||||||
Daiwa House Industry Co., Ltd.‡‡ | 3,000 | 37,675 | ||||||
Denso Corporation | 1,300 | 48,154 | ||||||
East Japan Railway Co.‡‡ | 6,000 | 342,836 | ||||||
Ebara Corporation | 327,000 | 1,917,198 | ||||||
Elpida Memory, Inc.* | 25,600 | 298,913 | ||||||
FANUC Corporation | 12,900 | 2,143,991 | ||||||
Fuji Electric Co., Ltd. | 93,000 | 288,802 | ||||||
Fuji Heavy Industries, Ltd.‡‡ | 78,900 | 609,599 | ||||||
FUJIFILM Holdings Corporation‡‡ | 11,300 | 350,770 | ||||||
Fujitsu, Ltd.‡‡ | 343,000 | 1,951,357 | ||||||
Fukuoka Financial Group, Inc.‡‡ | 45,000 | 187,255 | ||||||
Gree, Inc. | 48,900 | 1,063,585 | ||||||
Gunma Bank, Ltd. (The) | 15,000 | 79,001 | ||||||
Hakuhodo DY Holdings, Inc. | 2,400 | 127,595 | ||||||
Hikari Tsushin, Inc. | 6,000 | 141,383 | ||||||
Hino Motors, Ltd. | 117,000 | 678,703 | ||||||
Hitachi High-Technologies Corporation | 6,000 | 130,874 | ||||||
Hitachi, Ltd. | 496,000 | 2,914,204 | ||||||
Hokuhoku Financial Group, Inc.‡‡ | 135,000 | 266,629 | ||||||
Hokuriku Electric Power Co. | 12,900 | 245,806 | ||||||
Honda Motor Co., Ltd.‡‡ | 12,900 | 494,336 | ||||||
Hoya Corporation | 94,200 | 2,075,782 | ||||||
Idemitsu Kosan Co., Ltd. | 7,900 | 839,998 | ||||||
IHI Corporation | 413,000 | 1,061,934 | ||||||
Inpex Corporation | 816 | 6,000,522 | ||||||
Isuzu Motors, Ltd.‡‡ | 99,100 | 466,541 | ||||||
ITOCHU Corporation‡‡ | 72,800 | 753,275 | ||||||
Itochu Techno-Solutions Corporation‡‡ | 3,600 | 127,311 | ||||||
Japan Petroleum Exploration Co.‡‡ | 1,800 | 84,181 | ||||||
Japan Prime Realty Investment Corporation REIT | 9 | 23,812 | ||||||
Japan Real Estate Investment Corporation REIT | 7 | 68,778 | ||||||
Japan Retail Fund Investment Corporation REIT | 20 | 30,756 | ||||||
Japan Steel Works, Ltd. (The) | 2,000 | 13,639 | ||||||
JFE Holdings, Inc. | 1,200 | 32,853 | ||||||
JGC Corporation | 78,000 | 2,126,700 | ||||||
JSR Corporation | 16,600 | 320,020 | ||||||
JTEKT Corporation‡‡ | 43,400 | 635,595 | ||||||
JX Holdings, Inc.‡‡ | 33,170 | 222,081 | ||||||
Kajima Corporation | 27,000 | 77,138 | ||||||
Kaneka Corporation‡‡ | 25,000 | 163,654 | ||||||
Kansai Electric Power Co., Inc. (The) | 29,700 | 590,274 | ||||||
Kao Corporation‡‡ | 249,100 | 6,528,799 | ||||||
KDDI Corporation‡‡ | 850 | 6,092,168 | ||||||
Keisei Electric Railway Co., Ltd. | 4,000 | 23,601 | ||||||
Kinden Corporation‡‡ | 31,000 | 264,543 | ||||||
Kobe Steel, Ltd.‡‡ | 305,000 | 689,522 | ||||||
Komatsu, Ltd. | 60,900 | 1,888,917 | ||||||
Konica Minolta Holdings, Inc.‡‡ | 250,500 | 2,081,666 | ||||||
Kubota Corporation | 6,000 | 52,841 | ||||||
Kuraray Co., Ltd.‡‡ | 129,500 | 1,890,100 | ||||||
Kyocera Corporation | 7,600 | 769,393 | ||||||
Lawson, Inc. | 65,100 | 3,408,441 | ||||||
Leopalace21 Corporation‡‡ | 4,600 | 6,514 | ||||||
Makita Corporation‡‡ | 6,400 | 296,528 | ||||||
Marubeni Corporation | 222,800 | 1,472,326 | ||||||
Maruichi Steel Tube, Ltd.‡‡ | 15,600 | 385,616 | ||||||
Miraca Holdings, Inc.‡‡ | 8,700 | 351,761 | ||||||
Mitsubishi Chemical Holdings Corporation | 74,500 | 525,632 | ||||||
Mitsubishi Corporation | 85,200 | 2,116,639 | ||||||
Mitsubishi Electric Corporation | 67,800 | 783,231 | ||||||
Mitsubishi Estate Co., Ltd.‡‡ | 18,000 | 314,366 | ||||||
Mitsubishi Heavy Industries, Ltd. | 192,000 | 899,124 | ||||||
Mitsubishi Motors Corporation* | 25,000 | 30,433 | ||||||
Mitsubishi UFJ Financial Group, Inc.‡‡ | 192,300 | 931,582 | ||||||
Mitsubishi UFJ Lease & Finance Co., Ltd.‡‡ | 4,320 | 166,350 | ||||||
Mitsui & Co., Ltd.‡‡ | 76,500 | 1,315,148 | ||||||
Mitsui Engineering & Shipbuilding Co., Ltd. | 12,000 | 26,085 | ||||||
Mitsui Fudosan Co., Ltd.‡‡ | 11,000 | 188,286 | ||||||
Mitsumi Electric Co., Ltd. | 1,300 | 12,789 | ||||||
Mizuho Financial Group, Inc.‡‡ | 63,200 | 103,626 | ||||||
Mizuho Securities Co., Ltd.‡‡ | 3,000 | 7,192 |
See Notes to Financial Statements.
121
Table of Contents
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | |||||||
Mizuho Trust & Banking Co., Ltd. | 10,000 | $ | 8,819 | |||||
NHK Spring Co., Ltd. | 47,000 | 478,144 | ||||||
Nintendo Co., Ltd. | 5,600 | 1,048,283 | ||||||
Nippon Building Fund, Inc. REIT | 8 | 78,107 | ||||||
Nippon Electric Glass Co., Ltd.‡‡ | 180,100 | 2,295,293 | ||||||
Nippon Kayaku Co., Ltd.‡‡ | 10,000 | 105,087 | ||||||
Nippon Meat Packers, Inc.‡‡ | 11,000 | 157,133 | ||||||
Nippon Shokubai Co., Ltd.‡‡ | 14,000 | 170,076 | ||||||
Nippon Telegraph & Telephone Corporation‡‡ | 44,600 | 2,141,221 | ||||||
Nippon Yusen KK | 45,800 | 169,535 | ||||||
Nishi-Nippon City Bank, Ltd. (The)‡‡ | 110,200 | 324,420 | ||||||
Nisshin Seifun Group, Inc.‡‡ | 19,500 | 242,705 | ||||||
Nisshin Steel Co., Ltd. | 17,000 | 32,309 | ||||||
Nitto Denko Corporation‡‡ | 17,100 | 863,443 | ||||||
NKSJ Holdings, Inc. | 265,000 | 1,741,320 | ||||||
Nomura Research Institute, Ltd. | 44,000 | 959,195 | ||||||
NTN Corporation | 16,000 | 90,628 | ||||||
NTT Data Corporation‡‡ | 8 | 26,443 | ||||||
NTT DoCoMo, Inc.‡‡ | 306 | 543,544 | ||||||
OJI Paper Co., Ltd.‡‡ | 11,000 | 52,605 | ||||||
Olympus Corporation | 55,500 | 1,862,065 | ||||||
Omron Corporation‡‡ | 2,000 | 55,351 | ||||||
Ono Pharmaceutical Co., Ltd. | 1,400 | 74,778 | ||||||
ORIX Corporation‡‡ | 1,590 | 153,855 | ||||||
Osaka Gas Co., Ltd.‡‡ | 77,000 | 291,721 | ||||||
Otsuka Corporation | 4,600 | 285,411 | ||||||
Pacific Metals Co., Ltd. | 26,000 | 191,193 | ||||||
Rakuten, Inc. | 3,240 | 3,344,438 | ||||||
Rengo Co., Ltd.‡‡ | 4,000 | 26,383 | ||||||
Rinnai Corporation | 2,000 | 144,090 | ||||||
Rohm Co., Ltd. | 13,900 | 793,373 | ||||||
Ryohin Keikaku Co., Ltd.D | 19,300 | 921,787 | ||||||
Sanrio Co., Ltd.D | 57,100 | 2,220,024 | ||||||
SBI Holdings, Inc. | 176 | 16,243 | ||||||
Seino Holdings Corporation‡‡ | 24,000 | 172,014 | ||||||
Sekisui Chemical Co., Ltd.‡‡ | 61,000 | 519,036 | ||||||
Sekisui House, Ltd.‡‡ | 8,000 | 74,132 | ||||||
Seven & I Holdings Co., Ltd.‡‡ | 296,200 | 7,936,195 | ||||||
Shimadzu Corporation | 36,000 | 328,228 | ||||||
Shimamura Co., Ltd. | 13,700 | 1,303,546 | ||||||
Shimizu Corporation | 46,000 | 190,845 | ||||||
Shin-Etsu Chemical Co., Ltd. | 130,400 | 6,956,934 | ||||||
Showa Shell Sekiyu KK | 21,300 | 196,847 | ||||||
SMC Corporation | 13,400 | 2,403,528 | ||||||
Softbank Corporation‡‡ | 10,700 | 402,720 | ||||||
Sojitz Corporation‡‡ | 63,300 | 117,943 | ||||||
Sony Corporation‡‡ | 16,500 | 433,892 | ||||||
Sumitomo Corporation‡‡ | 19,900 | 269,190 | ||||||
Sumitomo Heavy Industries, Ltd.‡‡ | 49,000 | 339,631 | ||||||
Sumitomo Metal Industries, Ltd. | 18,000 | 40,246 | ||||||
Sumitomo Metal Mining Co., Ltd. | 10,000 | 163,344 | ||||||
Sumitomo Mitsui Financial Group, Inc.‡‡ | 37,700 | 1,155,749 | ||||||
Sumitomo Realty & Development Co., Ltd.‡‡ | 5,000 | 111,111 | ||||||
T&D Holdings, Inc. | 1,500 | 35,495 | ||||||
Taisei Corporation | 156,000 | 356,549 | ||||||
Taisho Pharmaceutical Co., Ltd. | 3,000 | 67,449 | ||||||
Takeda Pharmaceutical Co., Ltd.‡‡ | 157,300 | 7,258,798 | ||||||
TDK Corporation‡‡ | 300 | 16,434 | ||||||
Teijin, Ltd. | 48,000 | 210,471 | ||||||
Tohoku Electric Power Co., Inc. | 2,300 | 33,169 | ||||||
Tokai Rika Co., Ltd.‡‡ | 8,300 | 159,804 | ||||||
Tokio Marine Holdings, Inc.‡‡ | 165,200 | 4,606,844 | ||||||
Tokuyama Corporation | 63,000 | 316,154 | ||||||
Tokyo Electric Power Co., Inc. (The) | 8,900 | 36,040 | ||||||
Tokyo Electron, Ltd. | 42,200 | 2,290,715 | ||||||
Tokyo Gas Co., Ltd. | 30,000 | 135,271 | ||||||
Tokyu Land Corporation | 5,000 | 21,117 | ||||||
TonenGeneral Sekiyu KK | 22,000 | 269,996 | ||||||
Toshiba Corporation | 15,300 | 80,201 | ||||||
Tosoh Corporation | 8,000 | 31,998 | ||||||
Toyo Seikan Kaisha, Ltd. | 5,000 | 83,659 | ||||||
Toyota Auto Body Co., Ltd. | 14,900 | 243,938 | ||||||
Toyota Motor Corporation‡‡ | 130,540 | 5,350,997 | ||||||
Trend Micro, Inc. | 29,000 | 896,603 | ||||||
Ube Industries, Ltd. | 177,000 | 529,868 | ||||||
UNY Co., Ltd. | 33,900 | 313,713 | ||||||
USS Co., Ltd.‡‡ | 4,040 | 312,641 | ||||||
West Japan Railway Co.‡‡ | 4,000 | 156,015 | ||||||
Yamada Denki Co., Ltd.‡‡ | 18,630 | 1,511,135 | ||||||
Yamaguchi Financial Group, Inc. | 14,000 | 130,253 | ||||||
Yamaha Corporation | 7,900 | 89,593 | ||||||
Yamaha Motor Co., Ltd. | 91,100 | 1,665,725 | ||||||
Yamatake Corporation | 15,600 | 346,667 | ||||||
Yamato Holdings Co., Ltd.‡‡ | 5,200 | 81,451 | ||||||
|
| |||||||
165,719,919 | ||||||||
|
| |||||||
Jersey — 0.0% | ||||||||
Randgold Resources, Ltd. | 484 | 40,821 | ||||||
|
| |||||||
Kazakhstan — 0.1% | ||||||||
KazakhGold Group, Ltd. GDR* | 28,367 | 96,731 | ||||||
Kazkommerstsbank JSC GDR* | 40,200 | 221,100 | ||||||
Kazkommertsbank ADR 144A* | 100,323 | 551,777 | ||||||
|
| |||||||
869,608 | ||||||||
|
| |||||||
Kenya — 0.1% | ||||||||
Safaricom, Ltd. | 24,971,300 | 1,104,244 | ||||||
|
| |||||||
Lebanon — 0.0% | ||||||||
Solidere GDR 144A | 31,199 | 545,047 | ||||||
Solidere GDR | 12,200 | 213,622 | ||||||
|
| |||||||
758,669 | ||||||||
|
| |||||||
Luxembourg — 0.1% | ||||||||
Millicom International Cellular SA ADR‡‡ | 858 | 89,528 | ||||||
Oriflame Cosmetics SA ADR | 16,100 | 792,375 | ||||||
|
| |||||||
881,903 | ||||||||
|
| |||||||
Malaysia — 0.5% | ||||||||
AirAsia Bhd | 1,063,265 | 1,239,507 | ||||||
Axiata Group Bhd | 906,500 | 1,504,079 | ||||||
CIMB Group Holdings Bhd | 683,596 | 2,021,696 | ||||||
Faber Group Bhd | 364,300 | 252,157 | ||||||
KLCC Property Holdings Bhd | 449,700 | 498,922 | ||||||
Lafarge Malayan Cement Bhd | 161,680 | 398,912 | ||||||
Petronas Chemicals Group Bhd* | 111,100 | 260,871 |
See Notes to Financial Statements.
122
Table of Contents
Shares | Value | |||||||
RHB Capital Bhd | 320,847 | $ | 973,326 | |||||
|
| |||||||
7,149,470 | ||||||||
|
| |||||||
Mexico — 0.9% | ||||||||
America Movil SAB de CV ADR Series LD | 73,976 | 3,985,827 | ||||||
Cemex SAB de CV ADRD* | 171,065 | 1,471,159 | ||||||
Corporacion Moctezuma SAB de CV | 174,707 | 444,657 | ||||||
Genomma Lab Internacional SAB de CV* | 403,014 | 1,025,735 | ||||||
Gruma SAB de CV* | 466,400 | 967,974 | ||||||
Grupo Financiero Banorte SAB de CV | 186,379 | 846,215 | ||||||
Grupo Financiero Inbursa SA | 302,943 | 1,552,167 | ||||||
Industrias Bachoco SAB de CV ADR | 21,095 | 508,390 | ||||||
Megacable Holdings SAB de CV* | 178,995 | 408,485 | ||||||
Wal-Mart de Mexico SAB de CV | 265,300 | 787,392 | ||||||
|
| |||||||
11,998,001 | ||||||||
|
| |||||||
Netherlands — 4.5% | ||||||||
ASML Holding NV | 56,016 | 2,063,294 | ||||||
Corio NV REIT | 363 | 24,057 | ||||||
Delta Lloyd NV | 33,411 | 794,116 | ||||||
European Aeronautic Defence and Space Co., NV | 40,400 | 1,352,174 | ||||||
ING Groep NV*‡‡ | 1,087,936 | 13,392,918 | ||||||
Koninklijke Ahold NV‡‡ | 645,187 | 8,669,484 | ||||||
Koninklijke BAM Groep NV | 50,600 | 316,699 | ||||||
Koninklijke Boskalis Westminster NV | 9 | 425 | ||||||
Koninklijke DSM NV‡‡ | 8,327 | 540,437 | ||||||
PostNL NV | 47,396 | 402,218 | ||||||
Randstad Holding NV | 91,500 | 4,229,477 | ||||||
Reed Elsevier NV | 523,668 | 7,028,260 | ||||||
Royal Dutch Shell PLC Class AD‡‡ | 301,051 | 10,692,129 | ||||||
Royal Dutch Shell PLC Class B‡‡ | 184,656 | 6,591,152 | ||||||
Royal KPN NV | 83,500 | 1,214,515 | ||||||
SBM Offshore NV | 112,699 | 2,980,988 | ||||||
TNT Express NV* | 47,396 | 491,569 | ||||||
Unilever NV‡‡ | 22,412 | 734,684 | ||||||
|
| |||||||
61,518,596 | ||||||||
|
| |||||||
New Zealand — 0.0% | ||||||||
Telecom Corporation of New Zealand, Ltd. | 293,157 | 596,272 | ||||||
|
| |||||||
Nigeria — 0.3% | ||||||||
First Bank of Nigeria PLC | 9,297,300 | 762,074 | ||||||
First City Monument Bank PLC | 8,010,291 | 375,565 | ||||||
Guaranty Trust Bank PLC | 3,924,301 | 400,922 | ||||||
Guaranty Trust Bank PLC ADR | 84,085 | 420,425 | ||||||
United Bank for Africa PLC | 10,716,911 | 396,350 | ||||||
Zenith Bank PLC | 13,165,109 | 1,265,576 | ||||||
|
| |||||||
3,620,912 | ||||||||
|
| |||||||
Norway — 0.5% | ||||||||
Telenor ASAD | 117,291 | 1,920,736 | ||||||
TGS Nopec Geophysical Co ASA | 63,258 | 1,773,989 | ||||||
Yara International ASA | 45,650 | 2,569,698 | ||||||
|
| |||||||
6,264,423 | ||||||||
|
| |||||||
Panama — 0.1% | ||||||||
Copa Holdings SA Class AD | 19,166 | 1,279,139 | ||||||
|
| |||||||
Peru — 0.1% | ||||||||
Credicorp, Ltd. | 14,300 | 1,231,230 | ||||||
|
| |||||||
Philippines — 0.1% | ||||||||
International Container Terminal Services, Inc. | 790,126 | 915,295 | ||||||
Philippine Long Distance Telephone Co. ADRD | 11,044 | 596,818 | ||||||
|
| |||||||
1,512,113 | ||||||||
|
| |||||||
Poland — 0.2% | ||||||||
KGHM Polska Miedz SA | 32,220 | 2,314,183 | ||||||
|
| |||||||
Russia — 1.8% | ||||||||
Federal Hydrogenerating Co. JSC* | 438,970 | 2,123,803 | ||||||
Gazprom OAO ADRD | 135,649 | 1,974,764 | ||||||
Global Ports Investment, Ltd. 144A* | 19,539 | 340,956 | ||||||
LSR Group OJSC GDR | 66,200 | 522,980 | ||||||
Lukoil OAO ADR | 4,268 | 272,085 | ||||||
Magnit OJSC@ | 16,379 | 2,205,255 | ||||||
Mail.ru Group, Ltd. GDR* | 1,364 | 45,312 | ||||||
NOMOS-BANK GDR 144A* | 21,208 | 369,655 | ||||||
NOMOS-BANK GDR * | 11,400 | 203,490 | ||||||
NovaTek OAO GDR | 27,819 | 3,686,900 | ||||||
Novorossiysk Commercial Sea Port ADR 144A | 10,302 | 92,512 | ||||||
Novorossiysk Commercial Sea Port GDR | 68,934 | 619,027 | ||||||
Polyus Gold OJSC ADRD | 61,985 | 1,946,329 | ||||||
Raspadskaya | 231,072 | 1,421,093 | ||||||
Sberbank of Russia | 1,851,647 | 6,814,061 | ||||||
WGC-3 OJSC | 10,343,800 | 496,502 | ||||||
X5 Retail Group NV GDR* | 43,944 | 1,718,210 | ||||||
|
| |||||||
24,852,934 | ||||||||
|
| |||||||
Singapore — 1.5% | ||||||||
Ascendas Real Estate | ||||||||
Investment Trust REIT+‡‡ | 30,000 | 49,825 | ||||||
CapitaLand, Ltd. | 78,000 | 184,792 | ||||||
CapitaMall Trust REIT‡‡ | 33,000 | 50,240 | ||||||
City Developments, Ltd. | 6,000 | 50,802 | ||||||
Cosco Corporation Singapore, Ltd. | 140,000 | 222,258 | ||||||
DBS Group Holdings, Ltd. | 31,000 | 369,991 | ||||||
Golden Agri-Resources, Ltd. | 428,300 | 237,111 | ||||||
Jardine Cycle & Carriage, Ltd.‡‡ | 2,000 | 70,015 | ||||||
Keppel Corporation, Ltd. | 470,100 | 4,240,583 | ||||||
Neptune Orient Lines, Ltd. | 31,000 | 38,614 | ||||||
Oversea-Chinese Banking Corporation, Ltd.‡‡ | 55,000 | 419,116 | ||||||
SembCorp Industries, Ltd.‡‡ | 514,300 | 2,089,357 | ||||||
SembCorp Marine, Ltd. | 21,000 | 90,613 | ||||||
Singapore Airlines, Ltd. | 18,000 | 207,799 | ||||||
Singapore Exchange, Ltd.‡‡ | 200,000 | 1,226,085 | ||||||
Singapore Press Holdings, Ltd. | 28,000 | 88,903 | ||||||
Singapore Technologies Engineering, Ltd.‡‡ | 26,000 | 63,714 | ||||||
Singapore Telecommunications, Ltd.‡‡ | 2,403,700 | 6,183,906 | ||||||
StarHub, Ltd.‡‡ | 3,000 | 6,815 |
See Notes to Financial Statements.
123
Table of Contents
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | |||||||
United Overseas Bank, Ltd.‡‡ | 254,417 | $ | 4,076,306 | |||||
UOL Group, Ltd.‡‡ | 3,186 | 12,917 | ||||||
|
| |||||||
19,979,762 | ||||||||
|
| |||||||
Slovenia — 0.0% | ||||||||
Krka dd Novo mesto | 7,500 | 652,571 | ||||||
|
| |||||||
South Africa — 1.7% | ||||||||
AngloGold Ashanti, Ltd. ADRD | 58,533 | 2,463,654 | ||||||
Bidvest Group, Ltd. | 93,414 | 2,079,151 | ||||||
Exxaro Resources, Ltd. | 74,970 | 1,978,748 | ||||||
Gold Fields, Ltd. ADR | 171,698 | 2,505,074 | ||||||
Impala Platinum Holdings, Ltd. | 46,200 | 1,244,813 | ||||||
MTN Group, Ltd. | 307,674 | 6,547,707 | ||||||
MTN Group, Ltd. ADR | 23,800 | 509,320 | ||||||
Murray & Roberts Holdings, Ltd. | 159,824 | 709,089 | ||||||
Omnia Holdings, Ltd. | 44,400 | 520,839 | ||||||
Pick’n Pay Stores, Ltd.D | 117,631 | 721,951 | ||||||
Royal Bafokeng Platinum, Ltd.* | 14,696 | 145,617 | ||||||
Sasol, Ltd. | 27,655 | 1,455,918 | ||||||
Standard Bank Group, Ltd. | 116,030 | 1,715,448 | ||||||
|
| |||||||
22,597,329 | ||||||||
|
| |||||||
South Korea — 2.3% | ||||||||
Celltrion, Inc.D | 55,740 | 2,307,599 | ||||||
Hyundai Department Store Co., Ltd. | 6,460 | 1,049,792 | ||||||
Hyundai Heavy Industries Co., Ltd. | 2,480 | 1,030,188 | ||||||
Hyundai Hysco | 27,440 | 1,313,337 | ||||||
Kia Motors Corporation | 28,500 | 1,929,986 | ||||||
KIWOOM Securities Co., Ltd. | 6,828 | 358,779 | ||||||
Korea Electric Power Corporation | 140,136 | 3,721,122 | ||||||
Korea Zinc Co, Ltd. | 1,989 | 762,886 | ||||||
KT Corporation ADRD | 55,462 | 1,078,181 | ||||||
KTB Investment & Securities Co., Ltd.* | 35,429 | 96,234 | ||||||
LG Chem, Ltd. | 5,360 | 2,449,941 | ||||||
MegaStudy Co., Ltd. | 3,107 | 417,313 | ||||||
Mirae Asset Securities Co., Ltd. | 12,190 | 512,079 | ||||||
Samsung Electronics Co., Ltd. | 9,017 | 6,976,108 | ||||||
Samsung Electronics Co., Ltd. (Non-Voting Shares) GDR 144A | 5,207 | 1,365,578 | ||||||
Samsung Fire & Marine Insurance Co., Ltd. | 9,720 | 2,257,819 | ||||||
Shinhan Financial Group Co., Ltd. | 48,511 | 2,312,752 | ||||||
SK Telecom Co., Ltd. ADRD | 48,255 | 902,368 | ||||||
|
| |||||||
30,842,062 | ||||||||
|
| |||||||
Spain — 3.4% | ||||||||
Amadeus IT Holding SA* | 169,000 | 3,507,048 | ||||||
Banco Bilbao Vizcaya Argentaria SA‡‡ | 308,650 | 3,621,014 | ||||||
Banco Espanol de Credito SA‡‡ | 8,518 | 65,838 | ||||||
Banco Santander SA‡‡ | 1,248,154 | 14,413,194 | ||||||
Bolsas y Mercados Espanoles SA‡‡ | 1,314 | 39,111 | ||||||
Endesa SA‡‡ | 42,532 | 1,416,130 | ||||||
Iberdrola SA | 834,189 | 7,423,965 | ||||||
Inditex SA‡‡ | 62,515 | 5,696,863 | ||||||
Prosegur Cia de Seguridad SA | 4,500 | 239,298 | ||||||
Repsol YPF SA‡‡ | 68,866 | 2,390,806 | ||||||
Telefonica SA‡‡ | 308,222 | 7,535,925 | ||||||
|
| |||||||
46,349,192 | ||||||||
|
| |||||||
Sri Lanka — 0.0% | ||||||||
Dialog Axiata PLC | 2,452,710 | 199,353 | ||||||
|
| |||||||
Sweden — 1.7% | ||||||||
Alfa Laval AB | 85,400 | 1,840,261 | ||||||
Assa Abloy AB Class B | 29,058 | 780,981 | ||||||
Atlas Copco AB Class A | 343,140 | 9,032,570 | ||||||
Boliden AB‡‡ | 80,087 | 1,478,872 | ||||||
Getinge AB | 8,885 | 238,518 | ||||||
Investor AB‡‡ | 3,383 | 77,552 | ||||||
JM AB | 17,200 | 405,853 | ||||||
Lundin Petroleum AB* | 27,639 | 375,791 | ||||||
NCC AB | 19,639 | 446,793 | ||||||
Sandvik AB‡‡ | 157,371 | 2,759,192 | ||||||
Scania AB‡‡ | 43,492 | 1,008,707 | ||||||
Svenska Handelsbanken AB | 77,000 | 2,375,055 | ||||||
Swedbank AB‡‡ | 6,058 | 101,809 | ||||||
Tele2 AB‡‡ | 45,782 | 904,754 | ||||||
Trelleborg AB | 37,400 | 415,674 | ||||||
Volvo AB Class B‡‡ | 26,390 | 461,028 | ||||||
|
| |||||||
22,703,410 | ||||||||
|
| |||||||
Switzerland — 6.6% | ||||||||
ABB, Ltd.‡‡ | 212,991 | 5,522,693 | ||||||
Actelion, Ltd.* | 7,900 | 389,104 | ||||||
Cie Financiere Richemont SA‡‡ | 98,617 | 6,457,170 | ||||||
Clariant AG‡‡ | 16,908 | 323,178 | ||||||
Credit Suisse Group AG | 56,213 | 2,186,340 | ||||||
Ferrexpo PLC | 20,100 | 151,491 | ||||||
Galenica AG | 300 | 191,971 | ||||||
Geberit AG | 7,300 | 1,729,599 | ||||||
Glencore International PLC* | 10,000 | 78,803 | ||||||
Julius Baer Group, Ltd. | 250,375 | 6,936,248 | ||||||
Kuehne + Nagel International AG | 2,400 | 364,246 | ||||||
Nestle SA‡‡ | 213,632 | 13,276,565 | ||||||
Novartis AG‡‡ | 197,957 | 12,125,823 | ||||||
Orascom Development Holding AGD | 10,515 | 346,435 | ||||||
Panalpina Welttransport Holding AG | 2,207 | 303,192 | ||||||
Roche Holding AG‡‡ | 26,573 | 4,447,007 | ||||||
Schindler Holding AG‡‡ | 1,099 | 133,592 | ||||||
STMicroelectronics NV‡‡ | 7,032 | 70,067 | ||||||
Sulzer AG‡‡ | 2,898 | 471,539 | ||||||
Swatch Group AG (The) | 7,490 | 3,775,512 | ||||||
Swiss Life Holding AG | 6,544 | 1,073,348 | ||||||
Syngenta AG | 12,256 | 4,137,083 | ||||||
Synthes, Inc. 144A | 16,900 | 2,972,953 | ||||||
Transocean, Ltd. | 4,575 | 297,654 | ||||||
UBS AG‡‡ | 493,256 | 8,993,892 | ||||||
Wolseley PLC‡‡ | 39,251 | 1,280,081 | ||||||
Xstrata PLC‡‡ | 195,549 | 4,304,419 | ||||||
Zurich Financial Services AG‡‡ | 28,203 | 7,131,677 | ||||||
|
| |||||||
89,471,682 | ||||||||
|
| |||||||
Taiwan — 1.6% | ||||||||
Catcher Technology Co., Ltd. | 266,000 | 1,676,188 | ||||||
Cathay Financial Holding Co., Ltd. | 904,200 | 1,399,262 | ||||||
Chroma ATE, Inc. | 89,345 | 284,301 | ||||||
HTC Corporation | 66,250 | 2,228,054 | ||||||
MediaTek, Inc. | 106,719 | 1,159,202 |
See Notes to Financial Statements.
124
Table of Contents
Shares | Value | |||||||
Richtek Technology Corporation | 43,100 | $ | 295,601 | |||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 3,624,011 | 9,109,391 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 437,800 | 5,520,658 | ||||||
|
| |||||||
21,672,657 | ||||||||
|
| |||||||
Thailand — 0.6% | ||||||||
Bank of Ayudhya PCL ADR | 1,454,348 | 1,349,029 | ||||||
Central Pattana PCL@ | 519,057 | 494,139 | ||||||
Central Pattana PCL ADR | 195,800 | 186,400 | ||||||
Charoen Pokphand Foods PCL | 4,008,100 | 3,848,298 | ||||||
CP ALL PCL@ | 532,499 | 766,903 | ||||||
Siam Commercial Bank PCL@ | 350,326 | 1,265,620 | ||||||
|
| |||||||
7,910,389 | ||||||||
|
| |||||||
Turkey — 0.6% | ||||||||
Akfen Holding AS* | 43,000 | 317,930 | ||||||
Coca-Cola Icecek AS | 69,453 | 1,024,892 | ||||||
Turkcell Iletisim Hizmet AS | 271,784 | 1,460,232 | ||||||
Türkiye Garanti Bankasi AS | 917,158 | 4,159,140 | ||||||
Yapi ve Kredi Bankasi AS* | 338,531 | 851,020 | ||||||
|
| |||||||
7,813,214 | ||||||||
|
| |||||||
United Kingdom — 14.2% | ||||||||
Admiral Group PLC | 2,551 | 68,005 | ||||||
Aegis Group PLC | 249,000 | 639,414 | ||||||
Amlin PLC‡‡ | 22,196 | 144,667 | ||||||
Anglo American PLC‡‡ | 234,764 | 11,626,949 | ||||||
ARM Holdings PLC | 342,930 | 3,236,279 | ||||||
Associated British Foods PLC | 7,361 | 127,946 | ||||||
AstraZeneca PLC‡‡ | 63,526 | 3,168,806 | ||||||
Autonomy Corporation PLC* | 67,081 | 1,837,791 | ||||||
Aviva PLC‡‡ | 631,187 | 4,447,190 | ||||||
Barclays PLC‡‡ | 66,421 | 273,383 | ||||||
Berkeley Group Holdings PLC* | 9,900 | 204,651 | ||||||
BG Group PLC | 505,703 | 11,476,463 | ||||||
BHP Billiton PLC‡‡ | 363,999 | 14,324,642 | ||||||
BP PLC‡‡ | 1,116,983 | 8,222,258 | ||||||
British Land Co. PLC‡‡ | 187,201 | 1,829,737 | ||||||
British Sky Broadcasting Group PLC | 16,280 | 221,179 | ||||||
Britvic PLC | 611,878 | 3,874,137 | ||||||
BT Group PLC‡‡ | 430,691 | 1,392,849 | ||||||
Burberry Group PLC‡‡ | 29,971 | 697,481 | ||||||
Cairn Energy PLC* | 19,660 | 130,884 | ||||||
Capital Shopping Centres Group PLC REIT | 3,152 | 20,210 | ||||||
Centrica PLC‡‡ | 50,998 | 264,620 | ||||||
Compass Group PLC | 1,075,779 | 10,376,734 | ||||||
Cookson Group PLC | 44,500 | 480,303 | ||||||
Croda International PLC | 1,382 | 41,855 | ||||||
Daily Mail & General Trust PLC | 34,700 | 258,634 | ||||||
Drax Group PLC‡‡ | 36,168 | 292,272 | ||||||
Electrocomponents PLC | 18,300 | 80,064 | ||||||
Eurasian Natural Resources Corporation PLC | 49,106 | 615,923 | ||||||
GKN PLC | 262,060 | 974,939 | ||||||
GlaxoSmithKline PLC‡‡ | 530,459 | 11,357,187 | ||||||
Hammerson PLC REIT‡‡ | 6,134 | 47,393 | ||||||
Hays PLC | 63,300 | 104,641 | ||||||
HSBC Holdings PLC‡‡ | 1,118,328 | 11,099,459 | ||||||
IMI PLC‡‡ | 27,453 | 463,961 | ||||||
Inchcape PLC | 82,436 | 552,907 | ||||||
Intermediate Capital Group PLC | 107,471 | 556,613 | ||||||
International Power PLC‡‡ | 2,682 | 13,848 | ||||||
Investec PLC‡‡ | 12,523 | 101,399 | ||||||
ITV PLC* | 384,994 | 441,797 | ||||||
J Sainsbury PLC | 88,346 | 467,061 | ||||||
John Wood Group PLC | 10,000 | 103,921 | ||||||
Kesa Electricals PLC‡‡ | 288,647 | 637,917 | ||||||
Kingfisher PLC‡‡ | 66,957 | 287,141 | ||||||
Land Securities Group PLC REIT‡‡ | 10,536 | 144,156 | ||||||
Legal & General Group PLC‡‡ | 424,338 | 804,994 | ||||||
Lloyds Banking Group PLC*‡‡ | 2,014,596 | 1,584,336 | ||||||
Meggitt PLC | 292,900 | 1,793,399 | ||||||
Michael Page International PLC | 22,272 | 191,239 | ||||||
Misys PLC | 62,042 | 418,214 | ||||||
Mondi PLC‡‡ | 97,418 | 970,162 | ||||||
National Grid PLC | 34,800 | 342,096 | ||||||
Pearson PLC | 90,100 | 1,700,573 | ||||||
Persimmon PLC‡‡ | 93,154 | 721,077 | ||||||
Prudential PLC | 510,037 | 5,893,826 | ||||||
Reckitt Benckiser Group PLC | 88,300 | 4,875,086 | ||||||
Reed Elsevier PLC | 17,027 | 154,674 | ||||||
Rentokil Initial PLC* | 228,958 | 349,278 | ||||||
Rexam PLC | 275,993 | 1,695,638 | ||||||
Rio Tinto PLC‡‡ | 61,267 | 4,415,546 | ||||||
Rolls-Royce Group PLC‡‡ | 35,976,480 | 57,741 | ||||||
Rolls-Royce Holdings PLC‡‡ | 503,328 | 5,210,434 | ||||||
Rotork PLC | 66,100 | 1,788,637 | ||||||
Royal Bank of Scotland Group PLC*‡‡ | 1,469,344 | 906,976 | ||||||
RSA Insurance Group PLC | 43,200 | 93,532 | ||||||
Sage Group PLC (The)‡‡ | 50,357 | 233,491 | ||||||
Scottish & Southern Energy PLC | 52,693 | 1,178,059 | ||||||
Severn Trent PLC | 2,552 | 60,291 | ||||||
Smith & Nephew PLC | 165,515 | 1,766,535 | ||||||
Smiths Group PLC | 5,400 | 104,088 | ||||||
Spirax-Sarco Engineering PLC | 45,400 | 1,458,029 | ||||||
Stagecoach Group PLC‡‡ | 25,414 | 104,133 | ||||||
Standard Chartered PLC | 378,300 | 9,945,197 | ||||||
Tate & Lyle PLC‡‡ | 152,664 | 1,509,317 | ||||||
Tesco PLC‡‡ | 1,469,564 | 9,481,514 | ||||||
TUI Travel PLC | 378,502 | 1,363,183 | ||||||
Tullow Oil PLC | 187,557 | 3,732,657 | ||||||
Unilever PLC‡‡ | 248,491 | 8,000,271 | ||||||
Vodafone Group PLC‡‡ | 3,615,883 | 9,592,910 | ||||||
WH Smith PLC | 6,114 | 48,072 | ||||||
WM Morrison Supermarkets PLC | 625,653 | 2,989,341 | ||||||
|
| |||||||
193,264,212 | ||||||||
|
| |||||||
Total Foreign Common Stocks | 1,285,220,636 | |||||||
|
| |||||||
FOREIGN PREFERRED STOCKS — 0.7% | ||||||||
Belgium — 0.0% | ||||||||
Fortis* | 106,120 | 154 | ||||||
|
| |||||||
Brazil — 0.2% | ||||||||
Ultrapar Participacoes SA | 115,268 | 2,048,848 | ||||||
|
| |||||||
Chile — 0.0% | ||||||||
Embotelladora Andina SA Class A | 38,000 | 162,619 |
See Notes to Financial Statements.
125
Table of Contents
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | |||||||
Embotelladora Andina SA Class B | 22,900 | $ | 109,269 | |||||
|
| |||||||
271,888 | ||||||||
|
| |||||||
Germany — 0.2% | ||||||||
Hugo Boss AG | 500 | 50,763 | ||||||
Porsche Automobil Holding SE | 33,082 | 2,624,185 | ||||||
ProSiebenSat.1 Media AG | 6,400 | 181,444 | ||||||
Volkswagen AG‡‡ | 2,052 | 423,594 | ||||||
|
| |||||||
3,279,986 | ||||||||
|
| |||||||
South Korea — 0.3% | ||||||||
LG Electronics, Inc.D | 82,710 | 2,382,178 | ||||||
Samsung Electronics Co., Ltd. | 3,019 | 1,583,515 | ||||||
|
| |||||||
3,965,693 | ||||||||
|
| |||||||
Total Foreign Preferred Stocks | 9,566,569 | |||||||
|
| |||||||
MONEY MARKET FUNDS — 6.9% | ||||||||
GuideStone Money Market Fund (GS4 Class)¥ | 36,664,324 | 36,664,324 | ||||||
Northern Institutional Liquid Assets Portfolio§ | 56,992,898 | 56,992,898 | ||||||
|
| |||||||
Total Money Market Funds | 93,657,222 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 102.0% | 1,388,552,127 | |||||||
|
| |||||||
SECURITIES SOLD SHORT — (1.7)% | ||||||||
Australia — (0.1)% | ||||||||
Amcor, Ltd. | (9,524 | ) | (73,548 | ) | ||||
Asciano Group | (16,445 | ) | (28,926 | ) | ||||
Billabong International, Ltd. | (24,994 | ) | (161,111 | ) | ||||
BlueScope Steel, Ltd. | (69,057 | ) | (89,251 | ) | ||||
Bradken, Ltd. | (8,877 | ) | (75,787 | ) | ||||
Cochlear, Ltd. | (1,231 | ) | (95,062 | ) | ||||
ConnectEast Group | (111,654 | ) | (55,087 | ) | ||||
David Jones, Ltd. | (5,185 | ) | (22,578 | ) | ||||
Energy Resources of Australia, Ltd. | (3,374 | ) | (14,837 | ) | ||||
Incitec Pivot, Ltd. | (2,672 | ) | (11,062 | ) | ||||
Insurance Australia Group, Ltd. | (17,586 | ) | (64,130 | ) | ||||
JB Hi-Fi, Ltd. | (1,542 | ) | (28,232 | ) | ||||
Macquarie Group, Ltd. | (1,242 | ) | (41,628 | ) | ||||
Onesteel Ltd | (79,261 | ) | (157,271 | ) | ||||
Perpetual, Ltd. | (4,493 | ) | (120,137 | ) | ||||
Primary Health Care, Ltd. | (85 | ) | (313 | ) | ||||
QBE Insurance Group, Ltd. | (2,848 | ) | (52,692 | ) | ||||
Seek, Ltd. | (36,627 | ) | (252,990 | ) | ||||
Seven West Media, Ltd. | (3,275 | ) | (14,226 | ) | ||||
Sims Metal Management, Ltd. | (1,051 | ) | (19,896 | ) | ||||
Toll Holdings, Ltd. | (20,115 | ) | (104,635 | ) | ||||
Transfield Services, Ltd. | (63,828 | ) | (229,336 | ) | ||||
WorleyParsons, Ltd. | (2,765 | ) | (83,748 | ) | ||||
|
| |||||||
(1,796,483 | ) | |||||||
|
| |||||||
Belgium — 0.0% | ||||||||
Dexia SA* | (16,388 | ) | (51,024 | ) | ||||
|
| |||||||
Denmark — (0.1)% | ||||||||
D/S Norden | (2,851 | ) | (98,167 | ) | ||||
FLSmidth & Co. A/S | (2,743 | ) | (232,948 | ) | ||||
Tryg A/S | (9,696 | ) | (559,319 | ) | ||||
Vestas Wind Systems A/S* | (7,036 | ) | (163,472 | ) | ||||
William Demant Holding A/S* | (3,050 | ) | (275,267 | ) | ||||
|
| |||||||
(1,329,173 | ) | |||||||
|
| |||||||
Finland — (0.1)% | ||||||||
Konecranes OYJ | (1,661 | ) | (67,492 | ) | ||||
Outokumpu OYJ | (33,533 | ) | (444,218 | ) | ||||
Rautaruukki OYJ | (14,249 | ) | (321,934 | ) | ||||
YIT OYJ | (4,951 | ) | (123,779 | ) | ||||
|
| |||||||
(957,423 | ) | |||||||
|
| |||||||
France — (0.2)% | ||||||||
Air France-KLM* | (286 | ) | (4,390 | ) | ||||
Alcatel-Lucent* | (30,943 | ) | (178,951 | ) | ||||
EDF SA | (6,386 | ) | (251,012 | ) | ||||
Eiffage SA | (7,634 | ) | (505,147 | ) | ||||
Iliad SA | (1,325 | ) | (177,793 | ) | ||||
Neopost SA | (2,999 | ) | (257,636 | ) | ||||
PagesJaunes Groupe | (8,076 | ) | (72,623 | ) | ||||
Vallourec SA | (7,209 | ) | (878,047 | ) | ||||
|
| |||||||
(2,325,599 | ) | |||||||
|
| |||||||
Germany — (0.1)% | ||||||||
Commerzbank AG | (47,077 | ) | (202,691 | ) | ||||
Hamburger Hafen und Logistik AG | (15,437 | ) | (670,687 | ) | ||||
Puma AG Rudolf Dassler Sport | (689 | ) | (217,966 | ) | ||||
SGL Carbon SE* | (4,284 | ) | (242,287 | ) | ||||
|
| |||||||
(1,333,631 | ) | |||||||
|
| |||||||
Ireland — 0.0% | ||||||||
Charter International PLC | (18,252 | ) | (232,006 | ) | ||||
James Hardie Industries SE ADR* | (30,130 | ) | (189,371 | ) | ||||
United Business Media, Ltd. | (4,043 | ) | (36,110 | ) | ||||
|
| |||||||
(457,487 | ) | |||||||
|
| |||||||
Italy — (0.1)% | ||||||||
A2A SpA | (324,083 | ) | (504,749 | ) | ||||
Banca Carige SpA | (25,954 | ) | (58,827 | ) | ||||
Buzzi Unicem SpA | (24,559 | ) | (342,077 | ) | ||||
Mediolanum SpA | (36,849 | ) | (170,143 | ) | ||||
|
| |||||||
(1,075,796 | ) | |||||||
|
| |||||||
Japan — (0.4)% | ||||||||
ABC-Mart, Inc. | (4,100 | ) | (166,027 | ) | ||||
Advantest Corporation | (6,800 | ) | (124,335 | ) | ||||
Aeon Credit Service Co., Ltd. | (4,500 | ) | (61,375 | ) | ||||
Bank of Kyoto, Ltd. (The) | (9,000 | ) | (82,616 | ) | ||||
Chiyoda Corporation | (14,000 | ) | (160,512 | ) | ||||
Disco Corporation | (2,800 | ) | (176,685 | ) | ||||
Don Quijote Co., Ltd. | (2,400 | ) | (83,264 | ) | ||||
Dowa Holdings Co., Ltd. | (6,000 | ) | (36,967 | ) | ||||
Fast Retailing Co., Ltd. | (600 | ) | (96,665 | ) | ||||
Furukawa Electric Co, Ltd. | (62,000 | ) | (257,226 | ) | ||||
GS Yuasa Corporation | (25,000 | ) | (166,139 | ) | ||||
Hirose Electric Co., Ltd. | (1,000 | ) | (102,105 | ) | ||||
Hiroshima Bank, Ltd. (The) | (5,000 | ) | (21,738 | ) | ||||
Hisamitsu Pharmaceutical Co., Inc. | (1,300 | ) | (55,307 | ) | ||||
Hitachi Construction Machinery Co., Ltd. | (3,000 | ) | (66,853 | ) | ||||
Isetan Mitsukoshi Holdings, Ltd. | (3,500 | ) | (34,128 | ) | ||||
Jafco Co., Ltd. | (4,900 | ) | (122,219 | ) | ||||
Kintetsu Corporation | (30,000 | ) | (96,143 | ) | ||||
Mabuchi Motor Co., Ltd. | (700 | ) | (35,215 | ) | ||||
Matsui Securities Co., Ltd. | (21,500 | ) | (103,087 | ) | ||||
MS&AD Insurance Group Holdings, Inc. | (4,500 | ) | (104,863 | ) | ||||
NGK Insulators, Ltd. | (19,000 | ) | (352,127 | ) |
See Notes to Financial Statements.
126
Table of Contents
Shares | Value | |||||||
Nidec Corporation | (2,200 | ) | $ | (203,317 | ) | |||
Nippon Sheet Glass Co., Ltd. | (30,000 | ) | (92,789 | ) | ||||
Nissha Printing Co., Ltd. | (1,300 | ) | (23,754 | ) | ||||
Nitori Holdings Co., Ltd. | (550 | ) | (52,127 | ) | ||||
NOK Corporation | (100 | ) | (1,706 | ) | ||||
NSK, Ltd. | (6,000 | ) | (59,549 | ) | ||||
Olympus Corporation | (2,900 | ) | (97,297 | ) | ||||
OSAKA Titanium Technologies Co. | (1,200 | ) | (87,349 | ) | ||||
Rakuten, Inc. | (369 | ) | (380,894 | ) | ||||
Seven Bank, Ltd. | (18 | ) | (35,931 | ) | ||||
Shimadzu Corporation | (10,000 | ) | (91,174 | ) | ||||
Shinko Electric Industries Co., Ltd. | (11,000 | ) | (103,025 | ) | ||||
Shiseido Co., Ltd. | (1,800 | ) | (33,516 | ) | ||||
Sumco Corporation | (5,900 | ) | (99,085 | ) | ||||
Sumitomo Chemical Co., Ltd. | (3,000 | ) | (14,906 | ) | ||||
Suruga Bank, Ltd. | (3,000 | ) | (26,048 | ) | ||||
Taiyo Nippon Sanso Corporation | (21,000 | ) | (166,685 | ) | ||||
THK Co., Ltd. | (200 | ) | (5,068 | ) | ||||
Tokyo Broadcasting System, Inc. | (10,800 | ) | (129,994 | ) | ||||
Toyota Boshoku Corporation | (4,300 | ) | (71,092 | ) | ||||
Trend Micro, Inc. | (1,100 | ) | (34,009 | ) | ||||
Tsumura & Co. | (6,900 | ) | (220,272 | ) | ||||
Ushio, Inc. | (3,600 | ) | (70,788 | ) | ||||
Yakult Honsha Co., Ltd. | (5,000 | ) | (144,215 | ) | ||||
Yaskawa Electric Corporation | (11,000 | ) | (122,700 | ) | ||||
|
| |||||||
(4,872,886 | ) | |||||||
|
| |||||||
Luxembourg — 0.0% | ||||||||
Oriflame Cosmetics SA ADR | (11,611 | ) | (571,445 | ) | ||||
|
| |||||||
Netherlands — 0.0% | ||||||||
Koninklijke Boskalis Westminster NV | (9 | ) | (426 | ) | ||||
Koninklijke Vopak NV | (1,679 | ) | (82,272 | ) | ||||
SBM Offshore NV | (12,538 | ) | (331,641 | ) | ||||
|
| |||||||
(414,339 | ) | |||||||
|
| |||||||
Papua New Guinea — 0.0% | ||||||||
Oil Search, Ltd. | (3,551 | ) | (25,327 | ) | ||||
|
| |||||||
Spain — 0.0% | ||||||||
Acerinox SA | (4,905 | ) | (89,482 | ) | ||||
Gestevision Telecinco SA | (42,894 | ) | (372,658 | ) | ||||
Grifols SA | (2,193 | ) | (44,014 | ) | ||||
Zardoya Otis SA | (2,722 | ) | (40,105 | ) | ||||
|
| |||||||
(546,259 | ) | |||||||
|
| |||||||
Sweden — (0.1)% | ||||||||
Hexagon AB | (7,605 | ) | (187,324 | ) | ||||
Meda AB | (23,081 | ) | (251,055 | ) | ||||
SSAB AB | (20,221 | ) | (302,266 | ) | ||||
Trelleborg AB | (11,853 | ) | (131,738 | ) | ||||
|
| |||||||
(872,383 | ) | |||||||
|
| |||||||
Switzerland — (0.1)% | ||||||||
Nobel Biocare Holding AG | (21,924 | ) | (446,955 | ) | ||||
Sonova Holding AG | (3,667 | ) | (342,384 | ) | ||||
Swiss Re, Ltd.* | (1,299 | ) | (72,942 | ) | ||||
Swiss Reinsurance Co., Ltd. | (587 | ) | (32,794 | ) | ||||
Temenos Group AG* | (1,960 | ) | (60,379 | ) | ||||
|
| |||||||
(955,454 | ) | |||||||
|
| |||||||
United Kingdom — (0.4)% | ||||||||
Aegis Group PLC | (44,344 | ) | (113,872 | ) | ||||
Aggreko PLC | (1,778 | ) | (55,046 | ) | ||||
Antofagasta PLC | (13,646 | ) | (305,303 | ) | ||||
ARM Holdings PLC | (21,692 | ) | (204,710 | ) | ||||
Berkeley Group Holdings PLC* | (8,503 | ) | (175,773 | ) | ||||
Britvic PLC | (5,267 | ) | (33,348 | ) | ||||
Bunzl PLC | (3,984 | ) | (49,874 | ) | ||||
Capita Group PLC (The) | (46,534 | ) | (534,371 | ) | ||||
Chemring Group PLC | (10,985 | ) | (112,835 | ) | ||||
Cobham PLC | (94,680 | ) | (321,542 | ) | ||||
Cookson Group PLC | (1,688 | ) | (18,219 | ) | ||||
Dixons Retail PLC* | (10,002 | ) | (2,702 | ) | ||||
easyJet PLC* | (22,496 | ) | (129,653 | ) | ||||
Firstgroup PLC | (13,350 | ) | (73,042 | ) | ||||
Invensys PLC | (48,743 | ) | (251,824 | ) | ||||
Lonmin PLC | (13,390 | ) | (312,255 | ) | ||||
Man Group PLC | (64,118 | ) | (243,889 | ) | ||||
Marks & Spencer Group PLC | (22,627 | ) | (131,244 | ) | ||||
Next PLC | (12,221 | ) | (456,029 | ) | ||||
Pennon Group PLC | (25,179 | ) | (282,070 | ) | ||||
Petrofac, Ltd. | (3,008 | ) | (73,091 | ) | ||||
Provident Financial PLC | (5,561 | ) | (85,949 | ) | ||||
Prudential PLC | (11,697 | ) | (135,167 | ) | ||||
Standard Life PLC | (67,618 | ) | (228,443 | ) | ||||
Thomas Cook Group PLC | (113,072 | ) | (241,363 | ) | ||||
Travis Perkins PLC | (7,095 | ) | (112,676 | ) | ||||
Weir Group PLC (The) | (2,330 | ) | (79,540 | ) | ||||
|
| |||||||
(4,763,830 | ) | |||||||
|
| |||||||
Total Securities Sold Short | (22,348,539 | ) | ||||||
|
| |||||||
Liabilities in Excess of Other Assets — (0.3)% | (4,338,644 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,361,864,944 | ||||||
|
|
Please see abbreviation and footnote definitions beginning on page 130.
See Notes to Financial Statements.
127
Table of Contents
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Foreign Common Stocks | ||||
United Kingdom | 14.2 | |||
Japan | 12.2 | |||
France | 7.9 | |||
Germany | 7.5 | |||
Switzerland | 6.6 | |||
Netherlands | 4.5 | |||
Australia | 3.9 | |||
China | 3.4 | |||
Spain | 3.4 | |||
Brazil | 2.9 | |||
Canada | 2.5 | |||
South Korea | 2.3 | |||
Hong Kong | 2.2 | |||
Italy | 1.9 | |||
Russia | 1.8 | |||
South Africa | 1.7 | |||
Sweden | 1.7 | |||
India | 1.6 | |||
Taiwan | 1.6 | |||
Singapore | 1.5 | |||
Indonesia | 1.0 | |||
Denmark | 0.9 | |||
Mexico | 0.9 | |||
Thailand | 0.6 | |||
Turkey | 0.6 | |||
Finland | 0.5 | |||
Ireland | 0.5 | |||
Malaysia | 0.5 | |||
Norway | 0.5 | |||
Egypt | 0.4 | |||
Hungary | 0.4 | |||
Israel | 0.4 | |||
Nigeria | 0.3 | |||
Argentina | 0.2 | |||
Bermuda | 0.2 | |||
Greece | 0.2 | |||
Poland | 0.2 | |||
Belgium | 0.1 | |||
Colombia | 0.1 | |||
Kazakhstan | 0.1 | |||
Kenya | 0.1 | |||
Luxembourg | 0.1 | |||
Panama | 0.1 | |||
Peru | 0.1 | |||
Philippines | 0.1 | |||
Austria | — | ** | ||
Chile | — | ** | ||
Estonia | — | ** | ||
Guernsey | — | ** | ||
Jersey | — | ** | ||
Lebanon | — | ** | ||
New Zealand | — | ** | ||
Slovenia | — | ** | ||
Sri Lanka | — | ** | ||
|
| |||
Total Foreign Common Stocks | 94.4 | |||
|
| |||
Total Money Market Funds | 6.9 | |||
|
| |||
Total Foreign Preferred Stocks | 0.7 | |||
|
| |||
Total Futures Contracts | 4.6 | |||
|
| |||
Total Forward Foreign Currency Contracts | 1.0 | |||
|
| |||
Total Foreign Bonds | — | ** | ||
|
| |||
Total Securities Sold Short | (1.7 | ) | ||
|
| |||
Total Investments | 105.9 | |||
|
|
** | Rounds to less than 0.005%. |
See Notes to Financial Statements.
128
Table of Contents
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2011, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Foreign Bond | $ | 107,700 | $ | — | $ | 107,700 | $ | — | ||||||||
Foreign Common Stocks | 1,285,220,636 | 1,285,162,895 | — | 57,741 | ||||||||||||
Foreign Preferred Stocks | 9,566,569 | 9,566,569 | — | — | ||||||||||||
Money Market Funds | 93,657,222 | 93,657,222 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 1,388,552,127 | $ | 1,388,386,686 | $ | 107,700 | $ | 57,741 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | 2,148,497 | $ | 2,148,497 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 2,148,497 | $ | 2,148,497 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Securities Sold Short | $ | (22,348,539 | ) | $ | (22,348,539 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities — Investments in Securities | $ | (22,348,539 | ) | $ | (22,348,539 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Forward Foreign Currency Contracts | $ | (238,647 | ) | $ | — | $ | (238,647 | ) | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities — Other Financial Instruments | $ | (238,647 | ) | $ | — | $ | (238,647 | ) | $ | — | ||||||
|
|
|
|
|
|
|
|
*** | 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:
Total Value | Foreign Common Stocks | |||||||
Balance, 12/31/10 | $ | 212,441 | $ | 212,441 | ||||
Accrued discounts/premiums | — | — | ||||||
Realized gain (loss)(1) | 48,732 | 48,732 | ||||||
Change in unrealizedappreciation (depreciation)(2) | (77,762 | ) | (77,762 | ) | ||||
Purchases | 59,027 | 59,027 | ||||||
Sales | (184,697 | ) | (184,697 | ) | ||||
Transfers in and/or out of Level 3 | — | — | ||||||
|
|
|
| |||||
Balance, 06/30/11 | $ | 57,741 | $ | 57,741 | ||||
|
|
|
|
(1) | Realized gain (loss) from the sale of Level 3 securities can be found on the Statement of Operations in Net Realized Gain (loss) from Investment securities and securities sold short. |
(2) | Change in unrealized appreciation (depreciation) can be found on the Statement of Operations in Net change in unrealized appreciation (depreciation) on Investment securities and securities sold short. |
Level 1 - 2 Transfers
The Fund had common stocks valued at $511,892,106 as of December 31, 2010 that were either sold or transferred from Level 2 to Level 1 of the fair value hierarchy. The common stocks that transferred from Level 2 to Level 1 did so as a result of foreign equities that were fair valued at December 31, 2010 that are now being valued based on quoted prices. The value of the securities that were transferred to Level 1 as of June 30, 2011 is $332,322,707.
The Fund had common stocks valued at $4,690,585 as of December 31, 2010 that were either sold or transferred from Level 1 to Level 2 of the fair value hierarchy. The common stocks that transferred from Level 1 to Level 2 did so as a result of foreign equities that were being valued based on quoted prices December 31, 2010 that are now being fair valued. The value of the securities that were transferred to Level 2 as of June 30, 2011 is $0.
See Notes to Financial Statements.
129
Table of Contents
ABBREVIATIONS AND FOOTNOTES |
INVESTMENT ABBREVIATIONS:
ADR | — | American Depository Receipt | ||||
AMBAC | — | American Municipal Bond Assurance Corporation | ||||
CONV | — | Convertible | ||||
GDR | — | Global Depository Receipt | ||||
IO | — | Interest Only (Principal amount shown is notional) | ||||
LLC | — | Limited Liability Company | ||||
LOC | — | Letter of Credit | ||||
LP | — | Limited Partnership | ||||
NATL-RE | — | National Public Finance Guarantee Corporation | ||||
PIK | — | Payment-in-Kind Bonds | ||||
PIPE | — | Private Investment in Public Equity | ||||
PLC | — | Public Limited Company | ||||
PO | — | Principal Only | ||||
REIT | — | Real Estate Investment Trust | ||||
STEP | — | Stepped Coupon Bonds: Interest rates shown reflect the rates currently in effect. | ||||
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, 2011, 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 | ||||||
Low-Duration Bond | $ | 141,249,328 | 18.95 | % | ||||
Medium-Duration Bond | 146,805,586 | 16.71 | ||||||
Extended-Duration Bond | 33,151,448 | 8.42 | ||||||
Global Bond | 19,661,801 | 11.17 | ||||||
Small Cap Equity | 2,671,355 | 0.53 | ||||||
International Equity | 6,626,297 | 0.49 |
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 purchased with the cash proceeds from securities loaned. | ||||
† | — | Variable rate security. Interest rates shown reflect the rates currently in effect. Maturity date for money market instruments is the date of the next interest rate reset. | ||||
W | — | Interest rates shown reflect the effective yields as of June 30, 2011. | ||||
¥ | — | Affiliated fund. | ||||
D | — | Security either partially or fully on loan. | ||||
+ | — | Security is valued at fair value. As of June 30, 2011, the total market values and percentages of net assets for Fair Valued securities by fund were as follows: |
Fund | Value of Fair Valued Securities | Percentage of Net Assets | ||||||
Medium-Duration Bond | $ | 194,552 | 0.02 | % | ||||
Global Bond | 9,075 | 0.01 | ||||||
Equity Index | — | — | ||||||
Value Equity | 1,209 | 0.00 | ||||||
Small Cap Equity | 820,325 | 0.16 | ||||||
International Equity | 49,825 | 0.00 |
130
Table of Contents
ABBREVIATIONS AND FOOTNOTES
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). | ||||
(P) | — | Par is denominated in Peruvian Nuevos Soles (PEN). | ||||
(R) | — | Par is denominated in Malaysian Ringgits (MYR). | ||||
(S) | — | Par is denominated in SouthAfrican Rand (ZAR). | ||||
(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. | ||||
BOA | — | Counterparty to contract is Bank of America. | ||||
CITI | — | Counterparty to contract is Citibank NA London. | ||||
CITIC | — | Counterparty to contract is Citicorp. | ||||
CITIG | — | Counterparty to contract is Citigroup Global Markets, Inc. | ||||
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. | ||||
MFG | — | Counterparty to contract is Merrill Lynch Capital Services, Inc. | ||||
MLCS | — | Counterparty to contract is MF Global. | ||||
MSCS | — | Counterparty to contract is Morgan Stanley Capital Services. | ||||
NT | — | Counterparty to contract is Northern Trust Corporation. | ||||
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. | ||||
SS | — | Counterparty to contract is State Street Global Markets. | ||||
UBS | — | Counterparty to contract is UBS AG. | ||||
WEST | — | Counterparty to contract is Westpac Pollock. |
131
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES | June 30, 2011 (Unaudited) |
Money Market Fund | Low-Duration Bond Fund | Medium-Duration Bond Fund | ||||||||||
Assets | ||||||||||||
Investments in securities of unaffiliated issuers, at value | $ | 1,425,297,058 | $ | 783,059,894 | $ | 1,028,033,820 | ||||||
Investments in repurchase agreements, at value | — | 115,700,000 | 148,600,000 | |||||||||
Investments in securities of affiliated issuers, at value | — | 37,261,410 | 67,866,340 | |||||||||
|
|
|
|
|
| |||||||
Total investments (1)(2) | 1,425,297,058 | 936,021,304 | 1,244,500,160 | |||||||||
Cash | 1,003 | 798,109 | 734,283 | |||||||||
Cash collateral for derivatives | — | 1,030,000 | — | |||||||||
Foreign currency (3) | — | 1,556,759 | 1,063,481 | |||||||||
Receivables: | ||||||||||||
Dividends and reclaims | — | 370 | 602 | |||||||||
Interest | 475,828 | 4,385,089 | 5,866,936 | |||||||||
Securities lending | 1,387 | 6,973 | 6,104 | |||||||||
Receivable from advisor | 15,161 | — | — | |||||||||
Investment securities sold | — | 37,316,557 | 130,413,965 | |||||||||
Maturities | — | 81,710 | 96,020 | |||||||||
Fund shares sold | 5,120,754 | 5,298 | 184,621 | |||||||||
Variation margin | — | 162,083 | 194,880 | |||||||||
Unrealized appreciation on foreign currency exchange contracts | — | 546,232 | 557,165 | |||||||||
Unrealized appreciation on swap agreements | — | 1,698,026 | 871,279 | |||||||||
Prepaid expenses and other assets | 33,971 | 24,731 | 27,749 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 1,430,945,162 | 983,633,241 | 1,384,517,245 | |||||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
TBA sale commitments, at value (4) | — | 18,059,844 | 10,637,656 | |||||||||
Options written at value (5) | — | 90,410 | 83,764 | |||||||||
Unrealized depreciation on foreign currency exchange contracts | — | 915,889 | 903,279 | |||||||||
Unrealized depreciation on swap agreements | — | 320,020 | 1,078,862 | |||||||||
Collateral held for securities on loan at value | 51,917,671 | 97,023,548 | 98,995,617 | |||||||||
Collateral held for derivatives | — | 2,620,000 | 1,020,000 | |||||||||
Payables: | ||||||||||||
Investment securities purchased | — | 118,523,576 | 392,149,756 | |||||||||
Fund shares redeemed | 5,183,308 | 307,644 | 631,265 | |||||||||
Variation margin | — | 81,064 | 272,147 | |||||||||
Distributions | 7,512 | — | — | |||||||||
Securities lending | 278 | 1,395 | 1,221 | |||||||||
Accrued expenses: | ||||||||||||
Investment advisory fees | — | 159,458 | 229,721 | |||||||||
Shareholder servicing fees | 242,711 | 121,216 | 127,588 | |||||||||
Other expenses | 38,690 | 45,706 | 66,403 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 57,390,170 | 238,269,770 | 506,197,279 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 1,373,554,992 | $ | 745,363,471 | $ | 878,319,966 | ||||||
|
|
|
|
|
| |||||||
Net Assets Consist of: | ||||||||||||
Paid-in-capital | $ | 1,373,542,313 | $ | 746,588,384 | $ | 885,444,022 | ||||||
Undistributed (distributions in excess of) net investment income | 7,259 | 2,692,151 | 3,223,974 | |||||||||
Accumulated net realized loss on investments, foreign currency transactions and derivative transactions | 5,420 | (2,523,054 | ) | (6,721,020 | ) | |||||||
Net unrealized appreciation (depreciation) on investments, foreign currency translations and derivative transactions | — | (1,394,010 | ) | (3,627,010 | ) | |||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 1,373,554,992 | $ | 745,363,471 | $ | 878,319,966 | ||||||
|
|
|
|
|
| |||||||
Net Asset Value: | ||||||||||||
$0.001 par value, unlimited shares authorized | ||||||||||||
Net assets applicable to the GS2 Class | $ | 129,214,316 | $ | 131,961,883 | $ | 235,577,682 | ||||||
|
|
|
|
|
| |||||||
GS2 shares outstanding | 129,209,084 | 15,076,812 | 32,061,154 | |||||||||
|
| |||||||||||
Net asset value, offering and redemption price per GS2 share | $ | 1.00 | $ | 8.75 | $ | 7.35 | ||||||
|
|
|
|
|
| |||||||
Net assets applicable to the GS4 Class | $ | 1,244,340,676 | $ | 613,401,588 | $ | 642,742,284 | ||||||
|
|
|
|
|
| |||||||
GS4 shares outstanding | 1,244,298,582 | 45,968,897 | 46,117,533 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering and redemption price per GS4 share | $ | 1.00 | $ | 13.34 | $ | 13.94 | ||||||
|
|
|
|
|
| |||||||
| ||||||||||||
(1) Investments in securities of unaffiliated issuers, at cost | $ | 1,425,297,058 | $ | 784,533,910 | $ | 1,032,013,045 | ||||||
Investments in repurchase agreements, at cost | — | 115,700,000 | 148,600,000 | |||||||||
Investments in securities of affiliated issuers, at cost | — | 37,261,410 | 67,866,340 | |||||||||
|
|
|
|
|
| |||||||
Total investments at cost | $ | 1,425,297,058 | $ | 937,495,320 | $ | 1,248,479,385 | ||||||
|
|
|
|
|
| |||||||
(2) Includes securities loaned of: | $ | 44,137,504 | $ | 120,492,797 | $ | 83,989,194 | ||||||
|
|
|
|
|
| |||||||
(3) Foreign currency at cost | $ | — | $ | 1,552,187 | $ | 1,042,251 | ||||||
|
|
|
|
|
| |||||||
(4) TBA sale commitments at cost | $ | — | $ | 18,069,687 | $ | 10,750,508 | ||||||
|
|
|
|
|
| |||||||
(5) Premiums received on options written | $ | — | $ | 176,278 | $ | 186,979 | ||||||
|
|
|
|
See Notes to Financial Statements.
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133
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STATEMENTS OF ASSETS AND LIABILITIES | June 30, 2011 (Unaudited) |
Extended-Duration Bond fund | Inflation Protected Bond Fund | Global Bond Fund | ||||||||||
Assets | ||||||||||||
Investments in securities of unaffiliated issuers, at value | $ | 422,646,755 | $ | 167,409,497 | $ | 186,522,387 | ||||||
Investments in securities of affiliated issuers, at value | 10,951,116 | 14,275,070 | 18,586,528 | |||||||||
|
|
|
|
|
| |||||||
Total investments (1)(2) | 433,597,871 | 181,684,567 | 205,108,915 | |||||||||
Cash | — | — | 8,562 | |||||||||
Cash collateral for derivatives | — | — | 1,000,000 | |||||||||
Foreign currency (3) | — | — | 1,132,044 | |||||||||
Receivables: | ||||||||||||
Dividends and reclaims | 93 | 139 | 16,454 | |||||||||
Interest | 5,282,626 | 858,645 | 2,575,193 | |||||||||
Securities lending | 6,126 | 1,953 | 2,740 | |||||||||
Investment securities sold | 746,020 | — | 11,378 | |||||||||
Deposits with brokers for securities sold short | — | — | — | |||||||||
Fund shares sold | 88,037 | 5,806 | 175,852 | |||||||||
Variation margin | — | 32,820 | 44,362 | |||||||||
Unrealized appreciation on foreign currency exchange contracts | — | — | 556,316 | |||||||||
Prepaid expenses and other assets | 22,188 | 12,652 | 45,998 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 439,742,961 | 182,596,582 | 210,677,814 | |||||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Securities sold short, at value (4) | — | — | — | |||||||||
Unrealized depreciation on foreign currency exchange contracts | — | — | 185,508 | |||||||||
Collateral held for securities on loan at value | 45,361,796 | 51,391,241 | 28,691,757 | |||||||||
Payables: | ||||||||||||
Investment securities purchased | 51,427 | 765,546 | 5,689,642 | |||||||||
Dividends on short sales | — | — | — | |||||||||
Fund shares redeemed | 414,479 | 48,136 | 39,754 | |||||||||
Variation margin | — | 7,734 | 94 | |||||||||
Securities lending | 1,225 | 390 | 548 | |||||||||
Accrued expenses: | ||||||||||||
Investment advisory fees | 145,447 | 30,018 | 64,096 | |||||||||
Shareholder servicing fees | 65,232 | 25,215 | 34,802 | |||||||||
Other expenses | 34,586 | 7,965 | 26,421 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 46,074,192 | 52,276,245 | 34,732,622 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 393,668,769 | $ | 130,320,337 | $ | 175,945,192 | ||||||
|
|
|
|
|
| |||||||
Net Assets Consist of: | ||||||||||||
Paid-in-capital | $ | 359,942,362 | $ | 124,765,287 | $ | 173,735,915 | ||||||
Undistributed (distributions in excess of) net investment income | 821,744 | 245,140 | 636,952 | |||||||||
Undistributed (accumulated) net realized gain (loss) on investments, foreign currency transactions and derivative transactions | 8,523,170 | 1,096,312 | (10,843,495 | ) | ||||||||
Net unrealized appreciation (depreciation) on investments, foreign currency translations and derivative transactions | 24,381,493 | 4,213,598 | 12,415,820 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 393,668,769 | $ | 130,320,337 | $ | 175,945,192 | ||||||
|
|
|
|
|
| |||||||
Net Asset Value: | ||||||||||||
$0.001 par value, unlimited shares authorized | ||||||||||||
Net assets applicable to the GS2 Class | $ | 73,605,420 | N/A | N/A | ||||||||
|
|
|
|
|
| |||||||
GS2 shares outstanding | 10,858,690 | N/A | N/A | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering and redemption price per GS2 share | $ | 6.78 | N/A | N/A | ||||||||
|
|
|
|
|
| |||||||
Net assets applicable to the GS4 Class | $ | 320,063,349 | $ | 130,320,337 | $ | 175,945,192 | ||||||
|
|
|
|
|
| |||||||
GS4 shares outstanding | 19,415,706 | 12,261,951 | 17,447,755 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering and redemption price per GS4 share | $ | 16.48 | $ | 10.63 | $ | 10.08 | ||||||
|
|
|
|
|
| |||||||
| ||||||||||||
(1) Investments in securities of unaffiliated issuers, at cost | $ | 398,271,931 | $ | 163,228,475 | $ | 174,425,828 | ||||||
Investments in securities of affiliated issuers, at cost | 10,951,116 | 14,275,070 | 18,586,528 | |||||||||
|
|
|
|
|
| |||||||
Total investments at cost | $ | 409,223,047 | $ | 177,503,545 | $ | 193,012,356 | ||||||
|
|
|
|
|
| |||||||
(2) Includes securities loaned of: | $ | 43,715,470 | $ | 56,688,068 | $ | 32,045,209 | ||||||
|
|
|
|
|
| |||||||
(3) Foreign currency at cost | $ | — | $ | — | $ | 1,122,134 | ||||||
|
|
|
|
|
| |||||||
(4) Securities Sold Short at proceeds | $ | — | $ | — | $ | — | ||||||
|
|
|
|
|
| |||||||
(5) Net of ($60,151) accrued foreign capital gains taxes on appreciated securities |
See Notes to Financial Statements.
134
Table of Contents
Equity Index Fund | Real Estate Securities Fund | Value Equity Fund | Growth Equity Fund | Small Cap Equity Fund | International Equity Fund | |||||||||||||||||
$ | 374,141,126 | $ | 216,409,239 | $ | 1,286,776,103 | $ | 1,392,048,449 | $ | 722,176,521 | $ | 1,351,887,803 | |||||||||||
9,741,461 | 3,260,185 | 28,171,105 | 61,370,368 | 23,722,750 | 36,664,324 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
383,882,587 | 219,669,424 | 1,314,947,208 | 1,453,418,817 | 745,899,271 | 1,388,552,127 | |||||||||||||||||
— | — | — | — | 3,163 | 34,412,614 | |||||||||||||||||
546,000 | 367,250 | 1,934,000 | 4,977,000 | 2,168,465 | 8,981,503 | |||||||||||||||||
— | — | — | — | 41,666 | 3,195,427 | |||||||||||||||||
419,861 | 346,439 | 1,233,532 | 885,393 | 263,245 | 4,896,459 | |||||||||||||||||
— | — | — | — | 296,074 | 1,523 | |||||||||||||||||
5,728 | 6,419 | 7,813 | 18,300 | 68,852 | 194,247 | |||||||||||||||||
42,964 | 175,455 | 6,520,694 | 9,905,146 | 17,370,124 | 6,961,617 | |||||||||||||||||
— | — | — | — | — | 1,709,997 | |||||||||||||||||
69,217 | 595,198 | 295,928 | 319,928 | 188,184 | 735,835 | |||||||||||||||||
94,640 | 17,260 | 263,615 | 506,800 | 503,149 | 1,246,061 | |||||||||||||||||
— | — | — | — | 14,377 | 534,459 | |||||||||||||||||
27,982 | 28,652 | 28,970 | 31,025 | 24,331 | 28,882 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
385,088,979 | 221,206,097 | 1,325,231,760 | 1,470,062,409 | 766,840,901 | 1,451,450,751 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
— | — | — | — | — | 22,348,539 | |||||||||||||||||
— | — | — | — | 14,186 | 773,106 | |||||||||||||||||
24,719,987 | 59,668,352 | 84,857,238 | 128,920,885 | 231,916,927 | 56,992,898 | |||||||||||||||||
— | 412,432 | 5,242,019 | 25,271,673 | 29,253,984 | 7,805,101 | |||||||||||||||||
— | — | — | — | — | 51,684 | |||||||||||||||||
1,111 | 15,132 | 7,051 | 419,080 | 501,247 | 8,064 | |||||||||||||||||
— | — | — | — | 2,555 | 258,934 | |||||||||||||||||
1,145 | 1,283 | 1,562 | 3,659 | 13,764 | 38,850 | |||||||||||||||||
23,116 | 91,073 | 624,232 | 820,331 | 347,680 | 769,910 | |||||||||||||||||
63,408 | 31,228 | 192,928 | 208,443 | 81,867 | 209,082 | |||||||||||||||||
104,039 | 22,959 | 45,928 | 56,571 | 29,471 | 329,639 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
24,912,806 | 60,242,459 | 90,970,958 | 155,700,642 | 262,161,681 | 89,585,807 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 360,176,173 | $ | 160,963,638 | $ | 1,234,260,802 | $ | 1,314,361,767 | $ | 504,679,220 | $ | 1,361,864,944 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 282,291,112 | $ | 158,585,276 | $ | 1,309,734,632 | $ | 1,058,724,306 | $ | 440,613,222 | $ | 1,327,020,269 | |||||||||||
100,219 | 88,581 | 197,498 | (941,070 | ) | (4,831 | ) | 16,175,657 | |||||||||||||||
5,311,005 | (27,386,532 | ) | (153,609,449 | ) | (69,694,277 | ) | (24,695,103 | ) | (127,353,109 | ) | ||||||||||||
72,473,837 | 29,676,313 | 77,938,121 | 326,272,808 | 88,765,932 | 146,022,127 | (5) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 360,176,173 | $ | 160,963,638 | $ | 1,234,260,802 | $ | 1,314,361,767 | $ | 504,679,220 | $ | 1,361,864,944 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 61,073,271 | N/A | $ | 237,832,313 | $ | 224,735,141 | $ | 79,040,420 | $ | 271,721,734 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
6,912,679 | N/A | 31,609,318 | 17,834,151 | 7,392,096 | 25,037,699 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 8.83 | N/A | $ | 7.52 | $ | 12.60 | $ | 10.69 | $ | 10.85 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 299,102,902 | $ | 160,963,638 | $ | 996,428,489 | $ | 1,089,626,626 | $ | 425,638,800 | $ | 1,090,143,210 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
17,565,083 | 16,954,654 | 66,627,477 | 54,517,320 | 26,474,951 | 77,461,444 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 17.03 | $ | 9.49 | $ | 14.96 | $ | 19.99 | $ | 16.08 | $ | 14.07 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 301,977,725 | $ | 186,858,165 | $ | 1,209,874,395 | $ | 1,067,438,285 | $ | 636,135,652 | $ | 1,206,727,147 | |||||||||||
9,741,461 | 3,260,185 | 28,171,105 | 61,370,368 | 23,722,750 | 36,664,324 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 311,719,186 | $ | 190,118,350 | $ | 1,238,045,500 | $ | 1,128,808,653 | $ | 659,858,402 | $ | 1,243,391,471 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 25,634,525 | $ | 61,463,354 | $ | 90,241,251 | $ | 198,454,577 | $ | 230,038,444 | $ | 61,634,949 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | — | $ | — | $ | — | $ | — | $ | 41,024 | $ | 3,172,431 | |||||||||||
|
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| |||||||||||
$ | — | $ | — | $ | — | $ | — | $ | — | $ | 21,118,439 | |||||||||||
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See Notes to Financial Statements.
135
Table of Contents
STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2011 (Unaudited) |
Money Market Fund | Low-Duration Bond Fund | Medium-Duration Bond Fund | ||||||||||
Investment Income | ||||||||||||
Dividends | $ | — | $ | — | $ | 90,000 | ||||||
Income distributions received from affiliated funds | — | 2,165 | 4,206 | |||||||||
Interest | 1,977,597 | 7,995,453 | 13,546,486 | |||||||||
Securities lending | 16,943 | 48,836 | 57,961 | |||||||||
Less foreign taxes withheld | — | — | (39 | ) | ||||||||
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| |||||||
Total Investment Income | 1,994,540 | 8,046,454 | 13,698,614 | |||||||||
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| |||||||
Expenses | ||||||||||||
Investment advisory fees | 1,012,807 | 1,240,432 | 1,802,531 | |||||||||
Transfer agent fees: | ||||||||||||
GS2 shares | 2,414 | 2,648 | 2,675 | |||||||||
GS4 shares | 19,954 | 13,853 | 14,524 | |||||||||
Custodian fees | 12,026 | 52,743 | 105,633 | |||||||||
Shareholder servicing fees: | ||||||||||||
GS4 shares | 1,232,619 | 617,204 | 648,375 | |||||||||
Accounting and administration fees | 138,337 | 120,741 | 179,390 | |||||||||
Professional fees | 27,609 | 30,622 | 33,175 | |||||||||
Blue sky fees: | ||||||||||||
GS2 shares | 1,015 | 760 | 744 | |||||||||
GS4 shares | 18,747 | 11,099 | 9,024 | |||||||||
Shareholder reporting fees: | ||||||||||||
GS2 shares | — | (717 | ) | — | ||||||||
GS4 shares | 16,841 | 6,126 | 7,505 | |||||||||
Trustee expenses | 4,931 | 2,619 | 3,285 | |||||||||
Line of credit facility fees | 7,332 | 4,047 | 5,284 | |||||||||
Dividend expense on securities sold short | — | — | — | |||||||||
Other expenses | 22,081 | 22,783 | 34,428 | |||||||||
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| |||||||
Total expenses | 2,516,713 | 2,124,960 | 2,846,573 | |||||||||
Expenses waived/reimbursed net of amount recaptured(1) | (656,428 | ) | (291,899 | ) | (420,847 | ) | ||||||
Fees paid indirectly | — | — | — | |||||||||
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Net expenses | 1,860,285 | 1,833,061 | 2,425,726 | |||||||||
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| |||||||
Net Investment Income (Loss) | 134,255 | 6,213,393 | 11,272,888 | |||||||||
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| |||||||
Realized and Unrealized Gain (Loss) | ||||||||||||
Net realized gain (loss) from: | ||||||||||||
Investment securities and securities sold short | 5,420 | 1,256,591 | 1,681,111 | |||||||||
Futures transactions | — | (559,699 | ) | (347,923 | ) | |||||||
Swap agreements | — | (269,320 | ) | 634,483 | ||||||||
Option contracts written | — | 648,059 | 403,262 | |||||||||
Option contracts purchased | — | — | (6,035 | ) | ||||||||
Foreign currency transactions | — | (2,236,026 | ) | (2,180,878 | ) | |||||||
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| |||||||
Net realized gain (loss) | 5,420 | (1,160,395 | ) | 184,020 | ||||||||
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| |||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||
Investment securities and securities sold short (net of estimated capital gains taxes of ($114,628) for International Equity) | — | 4,293,143 | 12,707,134 | |||||||||
Futures | — | (93,662 | ) | 336,105 | ||||||||
Swap agreements | — | 33,146 | (746,257 | ) | ||||||||
Option contracts written | — | (76,597 | ) | 122,564 | ||||||||
Option contracts purchased | — | — | 6,035 | |||||||||
Foreign currency translation | — | (83,957 | ) | 497,801 | ||||||||
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| |||||||
Net change in unrealized appreciation (depreciation) | — | 4,072,073 | 12,923,382 | |||||||||
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| |||||||
Net Realized and Unrealized Gain (Loss) | 5,420 | 2,911,678 | 13,107,402 | |||||||||
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Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 139,675 | $ | 9,125,071 | $ | 24,380,290 | ||||||
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(1) | See Note 3a and 3c in Notes to Financial Statements. |
See Notes to Financial Statements.
136
Table of Contents
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 | ||||||||||||||||||||||||||
$ | 4,339 | $ | — | $ | 112,312 | $ | 3,845,980 | $ | 1,315,217 | $ | 13,130,473 | $ | 5,246,955 | $ | 1,876,248 | $ | 28,728,540 | |||||||||||||||||
484 | 631 | 917 | 457 | 194 | 1,718 | 2,626 | 1,363 | 2,127 | ||||||||||||||||||||||||||
12,175,257 | 2,989,596 | 4,920,569 | 522 | (1,064 | ) | 1,694 | 3,789 | 726,374 | (27,324 | ) | ||||||||||||||||||||||||
40,742 | 12,717 | 23,034 | 33,815 | 35,176 | 54,457 | 130,486 | 218,291 | 953,620 | ||||||||||||||||||||||||||
— | — | (1,666 | ) | — | (2,853 | ) | (13,096 | ) | (19,206 | ) | (938 | ) | (2,364,521 | ) | ||||||||||||||||||||
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12,220,822 | 3,002,944 | 5,055,166 | 3,880,774 | 1,346,670 | 13,175,246 | 5,364,650 | 2,821,338 | 27,292,442 | ||||||||||||||||||||||||||
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952,814 | 185,985 | 398,596 | 314,410 | 612,155 | 3,910,133 | 5,455,812 | 2,282,843 | 6,212,807 | ||||||||||||||||||||||||||
2,634 | — | — | 2,637 | — | 2,917 | 2,680 | 2,694 | 2,723 | ||||||||||||||||||||||||||
13,953 | 9,561 | 5,877 | 14,072 | 15,112 | 14,951 | 15,210 | 15,862 | 17,645 | ||||||||||||||||||||||||||
14,307 | 10,115 | 32,645 | 8,779 | 14,352 | 21,530 | 34,204 | 74,746 | 707,949 | ||||||||||||||||||||||||||
342,001 | 121,548 | 176,040 | 356,988 | 157,371 | 1,032,925 | 1,113,157 | 435,520 | 1,091,219 | ||||||||||||||||||||||||||
60,015 | 17,122 | 53,712 | 55,664 | 20,287 | 135,211 | 137,669 | 83,996 | 312,575 | ||||||||||||||||||||||||||
29,842 | 24,451 | 29,223 | 35,317 | 31,242 | 35,318 | 27,909 | 27,908 | 29,593 | ||||||||||||||||||||||||||
4,745 | — | — | 889 | — | 812 | 815 | 808 | 804 | ||||||||||||||||||||||||||
7,636 | 4,433 | 9,171 | 6,348 | 13,855 | 11,875 | 11,371 | 11,309 | 11,614 | ||||||||||||||||||||||||||
— | — | — | — | — | (683 | ) | (994 | ) | (1,121 | ) | (1,586 | ) | ||||||||||||||||||||||
6,206 | 2,188 | 2,087 | 6,790 | 6,072 | 9,392 | 9,082 | 10,156 | 13,246 | ||||||||||||||||||||||||||
1,567 | 356 | 642 | 1,451 | 468 | 4,468 | 4,616 | 1,671 | 4,746 | ||||||||||||||||||||||||||
2,463 | 810 | 1,003 | 2,326 | 625 | 7,057 | 7,415 | 2,648 | 7,596 | ||||||||||||||||||||||||||
— | — | — | — | — | — | — | — | 399,379 | ||||||||||||||||||||||||||
11,270 | 8,002 | 12,592 | 11,334 | 8,606 | 19,398 | 20,625 | 13,822 | 152,185 | ||||||||||||||||||||||||||
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1,449,453 | 384,571 | 721,588 | 817,005 | 880,145 | 5,205,304 | 6,839,571 | 2,962,862 | 8,962,495 | ||||||||||||||||||||||||||
(74,556 | ) | (13,455 | ) | (19,060 | ) | (96,570 | ) | (4,072 | ) | (64,079 | ) | (489,469 | ) | (114,340 | ) | (1,308,864 | ) | |||||||||||||||||
— | — | — | — | — | (35,769 | ) | (44,382 | ) | (17,450 | ) | (28,121 | ) | ||||||||||||||||||||||
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1,374,897 | 371,116 | 702,528 | 720,435 | 876,073 | 5,105,456 | 6,305,720 | 2,831,072 | 7,625,510 | ||||||||||||||||||||||||||
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10,845,925 | 2,631,828 | 4,352,638 | 3,160,339 | 470,597 | 8,069,790 | (941,070 | ) | (9,734 | ) | 19,666,932 | ||||||||||||||||||||||||
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8,291,905 | 1,406,440 | 333,725 | 11,927,451 | 11,820,730 | 23,603,572 | 63,116,512 | 44,556,291 | 87,963,279 | ||||||||||||||||||||||||||
— | (307,184 | ) | (33,373 | ) | 601,293 | 61,879 | 1,560,726 | 2,972,741 | 2,174,354 | 840,390 | ||||||||||||||||||||||||
— | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||
— | — | — | — | — | — | — | 15,554 | — | ||||||||||||||||||||||||||
— | — | (55,446 | ) | — | — | — | — | — | — | |||||||||||||||||||||||||
468,751 | 1,343 | (996,144 | ) | — | — | — | 203 | (99,188 | ) | 267,742 | ||||||||||||||||||||||||
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8,760,656 | 1,100,599 | (751,238 | ) | 12,528,744 | 11,882,609 | 25,164,298 | 66,089,456 | 46,647,011 | 89,071,411 | |||||||||||||||||||||||||
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(4,516,461 | ) | 1,663,118 | 5,163,183 | 5,533,219 | 4,127,430 | 50,056,046 | 6,303,902 | 3,513,376 | (46,780,830 | ) | ||||||||||||||||||||||||
— | 25,686 | (144,264 | ) | 80,066 | 91,338 | 347,554 | 678,454 | 1,564,545 | 1,458,235 | |||||||||||||||||||||||||
— | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||
— | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||
— | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||
262 | 9,536 | 78,254 | — | — | — | — | 8,408 | (690,182 | ) | |||||||||||||||||||||||||
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(4,516,199 | ) | 1,698,340 | 5,097,173 | 5,613,285 | 4,218,768 | 50,403,600 | 6,982,356 | 5,086,329 | (46,012,777 | ) | ||||||||||||||||||||||||
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4,244,457 | 2,798,939 | 4,345,935 | 18,142,029 | 16,101,377 | 75,567,898 | 73,071,812 | 51,733,340 | 43,058,634 | ||||||||||||||||||||||||||
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$ | 15,090,382 | $ | 5,430,767 | $ | 8,698,573 | $ | 21,302,368 | $ | 16,571,974 | $ | 83,637,688 | $ | 72,130,742 | $ | 51,723,606 | $ | 62,725,566 | |||||||||||||||||
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See Notes to Financial Statements.
137
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS |
Money Market Fund | ||||||||
For the Six Months Ended 06/30/11 | For the Year Ended 12/31/10 | |||||||
(Unaudited) | ||||||||
Operations: | ||||||||
Net investment income | $ | 134,255 | $ | 320,874 | ||||
Net realized gain (loss) on investment securities, foreign currency transactions and derivative transactions | 5,420 | 20,216 | ||||||
Net change in unrealized appreciation on investment securities, foreign currency translations and derivative transactions | — | — | ||||||
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| |||||
Net increase in net assets resulting from operations | 139,675 | 341,090 | ||||||
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| |||||
Dividends and Distributions to Shareholders: | ||||||||
Dividends from net investment income | ||||||||
GS2 shares | (74,816 | ) | (212,193 | ) | ||||
GS4 shares | (59,439 | ) | (108,681 | ) | ||||
Distributions from net realized capital gains | ||||||||
GS2 shares | — | (7,509 | ) | |||||
GS4 shares | — | (80,492 | ) | |||||
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| |||||
Total dividends and distributions | (134,255 | ) | (408,875 | ) | ||||
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| |||||
Capital Share Transactions: | ||||||||
Proceeds from shares sold | ||||||||
GS2 shares | 65,157,000 | 94,494,393 | ||||||
GS4 shares | 1,563,263,655 | 4,496,591,499 | ||||||
Reinvestment of dividends and distributions | ||||||||
GS2 shares | 67,316 | 203,577 | ||||||
GS4 shares | 23,394 | 136,473 | ||||||
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| |||||
Total proceeds from shares sold and reinvested | 1,628,511,365 | 4,591,425,942 | ||||||
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| |||||
Value of shares redeemed | ||||||||
GS2 shares | (55,321,466 | ) | (108,704,940 | ) | ||||
GS4 shares | (1,499,091,847 | ) | (4,381,459,310 | ) | ||||
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| |||||
Total value of shares redeemed | (1,554,413,313 | ) | (4,490,164,250 | ) | ||||
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| |||||
Net increase (decrease) from capital share transactions(1) | 74,098,052 | 101,261,692 | ||||||
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| |||||
Total increase (decrease) in net assets | 74,103,472 | 101,193,907 | ||||||
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| |||||
Net Assets: | ||||||||
Beginning of Period | 1,299,451,520 | 1,198,257,613 | ||||||
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| |||||
End of Period* | $ | 1,373,554,992 | $ | 1,299,451,520 | ||||
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*Including undistributed (distributions in excess of) net investment income | $ | 7,259 | $ | 7,259 | ||||
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(1) | See Note 7 in Notes to Financial Statements. |
See Notes to Financial Statements.
138
Table of Contents
Low-Duration Bond Fund | Medium-Duration Bond Fund | Extended-Duration Bond Fund | Inflation Protected Bond Fund | Global Bond Fund | ||||||||||||||||||||||||||||||||||
For the Six Months Ended 06/30/11 | For the Year Ended 12/31/10 | For the Six Months Ended 06/30/11 | For the Year Ended 12/31/10 | For the Six Months Ended 06/30/11 | For the Year Ended 12/31/10 | For the Six Months Ended 06/30/11 | For the Year Ended 12/31/10 | For the Six Months Ended 06/30/11 | For the Year Ended 12/31/10 | |||||||||||||||||||||||||||||
(Unaudited) | (Unaudited) | (Unaudited) | (Unaudited) | (Unaudited) | ||||||||||||||||||||||||||||||||||
$ | 6,213,393 | $ | 15,321,406 | $ | 11,272,888 | $ | 31,561,749 | $ | 10,845,925 | $ | 25,292,007 | $ | 2,631,828 | $ | 1,969,404 | $ | 4,352,638 | $ | 11,663,528 | |||||||||||||||||||
(1,160,395 | ) | 6,039,765 | 184,020 | 23,766,110 | 8,760,656 | 20,047,800 | 1,100,599 | 3,238,449 | (751,238 | ) | 3,321,144 | |||||||||||||||||||||||||||
4,072,073 | 8,281,061 | 12,923,382 | 32,738,309 | (4,516,199 | ) | 7,972,257 | 1,698,340 | 462,900 | 5,097,173 | 8,641,906 | ||||||||||||||||||||||||||||
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9,125,071 | 29,642,232 | 24,380,290 | 88,066,168 | 15,090,382 | 53,312,064 | 5,430,767 | 5,670,753 | 8,698,573 | 23,626,578 | |||||||||||||||||||||||||||||
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(954,939 | ) | (3,973,347 | ) | (3,584,806 | ) | (7,594,121 | ) | (3,749,461 | ) | (7,921,317 | ) | — | — | — | — | |||||||||||||||||||||||
(2,483,391 | ) | (11,817,267 | ) | (4,745,914 | ) | (23,828,942 | ) | (6,769,339 | ) | (18,424,763 | ) | (2,386,688 | ) | (2,038,102 | ) | (4,380,782 | ) | (12,273,443 | ) | |||||||||||||||||||
— | (1,301,794 | ) | — | (8,335,060 | ) | (697,705 | ) | (1,150,059 | ) | — | — | — | — | |||||||||||||||||||||||||
— | (3,870,062 | ) | — | (23,494,123 | ) | (1,340,580 | ) | (2,305,386 | ) | (829,842 | ) | (2,718,888 | ) | — | — | |||||||||||||||||||||||
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(3,438,330 | ) | (20,962,470 | ) | (8,330,720 | ) | (63,252,246 | ) | (12,557,085 | ) | (29,801,525 | ) | (3,216,530 | ) | (4,756,990 | ) | (4,380,782 | ) | (12,273,443 | ) | |||||||||||||||||||
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7,115,630 | 19,547,765 | 9,454,815 | 112,777,863 | 4,442,719 | 11,995,759 | — | — | — | ||||||||||||||||||||||||||||||
40,123,945 | 81,552,147 | 30,148,548 | 142,085,311 | 21,323,721 | 80,583,836 | 27,010,272 | 42,423,880 | 17,035,560 | 27,722,929 | |||||||||||||||||||||||||||||
953,988 | 5,270,201 | 3,583,092 | 15,918,518 | 4,441,830 | 9,060,622 | — | — | — | — | |||||||||||||||||||||||||||||
2,482,507 | 15,682,171 | 4,745,114 | 47,316,666 | 8,109,237 | 20,727,992 | 3,216,350 | 4,756,950 | 4,380,721 | 12,273,386 | |||||||||||||||||||||||||||||
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50,676,070 | 122,052,284 | 47,931,569 | 318,098,358 | 38,317,507 | 122,368,209 | 30,226,622 | 47,180,830 | 21,416,281 | 39,996,315 | |||||||||||||||||||||||||||||
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(5,016,805 | ) | (12,320,194 | ) | (17,007,098 | ) | (28,532,320 | ) | (6,389,253 | ) | (15,032,006 | ) | — | — | — | — | |||||||||||||||||||||||
(14,576,894 | ) | (94,873,974 | ) | (19,105,110 | ) | (472,646,775 | ) | (51,293,089 | ) | (181,007,812 | ) | (9,945,474 | ) | (28,263,358 | ) | (10,858,533 | ) | (111,834,370 | ) | |||||||||||||||||||
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(19,593,699 | ) | (107,194,168 | ) | (36,112,208 | ) | (501,179,095 | ) | (57,682,342 | ) | (196,039,818 | ) | (9,945,474 | ) | (28,263,358 | ) | (10,858,533 | ) | (111,834,370 | ) | |||||||||||||||||||
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31,082,371 | 14,858,116 | 11,819,361 | (183,080,737 | ) | (19,364,835 | ) | (73,671,609 | ) | 20,281,148 | 18,917,472 | 10,557,748 | (71,838,055 | ) | |||||||||||||||||||||||||
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| |||||||||||||||||||
36,769,112 | 23,537,878 | 27,868,931 | (158,266,815 | ) | (16,831,538 | ) | (50,161,070 | ) | 22,495,385 | 19,831,235 | 14,875,539 | (60,484,920 | ) | |||||||||||||||||||||||||
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| |||||||||||||||||||
708,594,359 | 685,056,481 | 850,451,035 | 1,008,717,850 | 410,500,307 | 460,661,377 | 107,824,952 | 87,993,717 | 161,069,653 | 221,554,573 | |||||||||||||||||||||||||||||
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$ | 745,363,471 | $ | 708,594,359 | $ | 878,319,966 | $ | 850,451,035 | $ | 393,668,769 | $ | 410,500,307 | $ | 130,320,337 | $ | 107,824,952 | $ | 175,945,192 | $ | 161,069,653 | |||||||||||||||||||
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$ | 2,692,151 | $ | (82,912 | ) | $ | 3,223,974 | $ | 281,806 | $ | 821,744 | $ | 494,619 | $ | 245,140 | $ | — | $ | 636,952 | $ | 665,096 | ||||||||||||||||||
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See Notes to Financial Statements.
139
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS |
Equity Index Fund | Real Estate Securities Fund | |||||||||||||||
For the Six Months Ended 06/30/11 | For the Year Ended 12/31/10 | For the Six Months Ended 06/30/11 | For the Year Ended 12/31/10 | |||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 3,160,339 | $ | 6,396,499 | $ | 470,597 | $ | 1,905,032 | ||||||||
Net realized gain on investment securities, foreign currency transactions and derivative transactions | 12,528,744 | 5,274,132 | 11,882,609 | 26,904,560 | ||||||||||||
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency translations and derivative transactions | 5,613,285 | 41,477,736 | 4,218,768 | 4,438,375 | ||||||||||||
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| |||||||||
Net increase in net assets resulting from operations | 21,302,368 | 53,148,367 | 16,571,974 | 33,247,967 | ||||||||||||
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Dividends and Distributions to Shareholders: | ||||||||||||||||
Dividends from net investment income | ||||||||||||||||
GS2 shares | (1,227,820 | ) | (2,079,604 | ) | — | — | ||||||||||
GS4 shares | (2,907,813 | ) | (4,864,924 | ) | (382,016 | ) | (2,634,670 | ) | ||||||||
Distributions from net realized capital gains | ||||||||||||||||
GS2 shares | (796,478 | ) | — | — | — | |||||||||||
GS4 shares | (2,061,431 | ) | — | — | — | |||||||||||
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Total dividends and distributions | (6,993,542 | ) | (6,944,528 | ) | (382,016 | ) | (2,634,670 | ) | ||||||||
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Capital Share Transactions: | ||||||||||||||||
Proceeds from shares sold | ||||||||||||||||
GS2 shares | 1,417,511 | 4,602,259 | — | — | ||||||||||||
GS4 shares | 12,413,245 | 20,345,130 | 20,274,152 | 59,543,641 | ||||||||||||
Reinvestment of dividends and distributions | ||||||||||||||||
GS2 shares | 2,021,176 | 2,076,955 | — | — | ||||||||||||
GS4 shares | 4,968,420 | 4,864,576 | 381,965 | 2,634,446 | ||||||||||||
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Total proceeds from shares sold and reinvested | 20,820,352 | 31,888,920 | 20,656,117 | 62,178,087 | ||||||||||||
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| |||||||||
Value of shares redeemed | ||||||||||||||||
GS2 shares | (15,168,955 | ) | (8,023,576 | ) | — | — | ||||||||||
GS4 shares | (66,736,205 | ) | (49,820,804 | ) | (17,782,635 | ) | (72,424,383 | ) | ||||||||
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| |||||||||
Total value of shares redeemed | (81,905,160 | ) | (57,844,380 | ) | (17,782,635 | ) | (72,424,383 | ) | ||||||||
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Net increase (decrease) from capital share transactions(1) | (61,084,808 | ) | (25,955,460 | ) | 2,873,482 | (10,246,296 | ) | |||||||||
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| |||||||||
Total increase (decrease) in net assets | (46,775,982 | ) | 20,248,379 | 19,063,440 | 20,367,001 | |||||||||||
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Net Assets: | ||||||||||||||||
Beginning of Period | 406,952,155 | 386,703,776 | 141,900,198 | 121,533,197 | ||||||||||||
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End of Period* | $ | 360,176,173 | $ | 406,952,155 | $ | 160,963,638 | $ | 141,900,198 | ||||||||
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*Including undistributed (distributions in excess of) net investment income | $ | 100,219 | $ | 1,075,513 | $ | 88,581 | $ | — | ||||||||
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(1) | See Note 7 in Notes to Financial Statements. |
See Notes to Financial Statements.
140
Table of Contents
Value Equity Fund | Growth Equity Fund | Small Cap Equity Fund | International Equity Fund | |||||||||||||||||||||||||||
For the Six Months Ended 06/30/11 | For the Year Ended 12/31/10 | For the Six Months Ended 06/30/11 | For the Year Ended 12/31/10 | For the Six Months Ended 06/30/11 | For the Year Ended 12/31/10 | For the Six Months Ended 06/30/11 | For the Year Ended 12/31/10 | |||||||||||||||||||||||
(Unaudited) | (Unaudited) | (Unaudited) | (Unaudited) | |||||||||||||||||||||||||||
$ | 8,069,790 | $ | 16,020,597 | $ | (941,070 | ) | $ | (265,820 | ) | $ | (9,734 | ) | $ | 1,264,643 | $ | 19,666,932 | $ | 21,771,274 | ||||||||||||
25,164,298 | 21,517,725 | 66,089,456 | 116,443,512 | 46,647,011 | 63,234,872 | 89,071,411 | 69,378,254 | |||||||||||||||||||||||
50,403,600 | 112,791,738 | 6,982,356 | 99,460,370 | 5,086,329 | 43,094,484 | (46,012,777 | ) | 31,319,963 | ||||||||||||||||||||||
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83,637,688 | 150,330,060 | 72,130,742 | 215,638,062 | 51,723,606 | 107,593,999 | 62,725,566 | 122,469,491 | |||||||||||||||||||||||
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(5,269,203 | ) | (4,566,483 | ) | — | (40,561 | ) | — | (415,040 | ) | — | (7,250,286 | ) | ||||||||||||||||||
(10,322,535 | ) | (11,523,832 | ) | — | (133,534 | ) | — | (925,891 | ) | — | (20,213,303 | ) | ||||||||||||||||||
— | — | — | — | — | — | — | — | |||||||||||||||||||||||
— | — | — | — | — | — | — | — | |||||||||||||||||||||||
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(15,591,738 | ) | (16,090,315 | ) | — | (174,095 | ) | — | (1,340,931 | ) | — | (27,463,589 | ) | ||||||||||||||||||
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7,150,080 | 39,754,658 | 5,566,112 | 11,089,301 | 2,714,898 | 6,136,286 | 7,637,911 | 21,416,243 | |||||||||||||||||||||||
37,795,842 | 102,300,386 | 52,348,261 | 97,600,498 | 24,028,745 | 50,387,278 | 50,855,747 | 72,024,528 | |||||||||||||||||||||||
5,264,627 | 4,561,533 | — | 40,520 | — | 414,619 | — | 7,247,462 | |||||||||||||||||||||||
10,321,250 | 11,522,839 | — | 133,532 | — | 925,723 | — | 20,212,073 | |||||||||||||||||||||||
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60,531,799 | 158,139,416 | 57,914,373 | 108,863,851 | 26,743,643 | 57,863,906 | 58,493,658 | 120,900,306 | |||||||||||||||||||||||
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(16,786,233 | ) | (15,449,564 | ) | (9,169,565 | ) | (27,914,876 | ) | (6,222,766 | ) | (12,770,867 | ) | (10,844,556 | ) | (24,804,983 | ) | |||||||||||||||
(66,820,653 | ) | (270,576,572 | ) | (66,436,989 | ) | (300,169,249 | ) | (42,060,497 | ) | (96,926,506 | ) | (39,929,537 | ) | (241,791,703 | ) | |||||||||||||||
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(83,606,886 | ) | (286,026,136 | ) | (75,606,554 | ) | (328,084,125 | ) | (48,283,263 | ) | (109,697,373 | ) | (50,774,093 | ) | (266,596,686 | ) | |||||||||||||||
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(23,075,087 | ) | (127,886,720 | ) | (17,692,181 | ) | (219,220,274 | ) | (21,539,620 | ) | (51,833,467 | ) | 7,719,565 | (145,696,380 | ) | ||||||||||||||||
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44,970,863 | 6,353,025 | 54,438,561 | (3,756,307 | ) | 30,183,986 | 54,419,601 | 70,445,131 | (50,690,478 | ) | |||||||||||||||||||||
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1,189,289,939 | 1,182,936,914 | 1,259,923,206 | 1,263,679,513 | 474,495,234 | 420,075,633 | 1,291,419,813 | 1,342,110,291 | |||||||||||||||||||||||
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$ | 1,234,260,802 | $ | 1,189,289,939 | $ | 1,314,361,767 | $ | 1,259,923,206 | $ | 504,679,220 | $ | 474,495,234 | $ | 1,361,864,944 | $ | 1,291,419,813 | |||||||||||||||
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$ | 197,498 | $ | 7,719,446 | $ | (941,070 | ) | $ | — | $ | (4,831 | ) | $ | 4,903 | $ | 16,175,657 | $ | (3,491,275 | ) | ||||||||||||
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See Notes to Financial Statements.
141
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||
2011(4) | $ | 1.00 | $ | — | †# | $ | — | † | $ | — | † | $ | — | $ | 1.00 | 0.06 | % | $ | 129,214 | 0.18 | % | 0.19 | % | 0.13 | % | N/A | ||||||||||||||||||||||
2010 | 1.00 | — | † | — | † | — | † | — | † | 1.00 | 0.18 | 119,311 | 0.17 | 0.18 | 0.17 | N/A | ||||||||||||||||||||||||||||||||
2009 | 1.00 | — | † | — | † | — | † | — | † | 1.00 | 0.47 | 133,323 | 0.23 | (3) | 0.23 | (3) | 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 | ||||||||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
2011(4) | $ | 1.00 | $ | — | †# | $ | — | † | $ | — | † | $ | — | $ | 1.00 | 0.01 | % | $ | 1,244,341 | 0.30 | % | 0.40 | % | 0.01 | % | N/A | ||||||||||||||||||||||
2010 | 1.00 | — | † | — | † | — | † | — | † | 1.00 | 0.02 | 1,180,141 | 0.33 | 0.37 | 0.01 | N/A | ||||||||||||||||||||||||||||||||
2009 | 1.00 | — | † | — | † | — | † | — | † | 1.00 | 0.29 | 1,064,934 | 0.41 | (3) | 0.43 | (3) | 0.28 | N/A | ||||||||||||||||||||||||||||||
2008 | 1.00 | 0.03 | — | † | (0.03 | ) | — | 1.00 | 2.75 | 970,146 | 0.40 | (3) | 0.40 | (3) | 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 | ||||||||||||||||||||||||||||||||||
Low-Duration Bond Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||
GS2 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
2011(4) | $ | 8.70 | $ | 0.08 | # | $ | 0.03 | $ | (0.06 | ) | $ | — | $ | 8.75 | 1.31 | % | $ | 131,962 | 0.36 | % | 0.41 | % | 1.86 | % | 114 | % | ||||||||||||||||||||||
2010 | 8.70 | 0.20 | # | 0.17 | (0.28 | ) | (0.09 | ) | 8.70 | 4.35 | 128,143 | 0.36 | 0.41 | 2.27 | 257 | |||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
2011(4) | $ | 13.23 | $ | 0.11 | # | $ | 0.05 | $ | (0.05 | ) | $ | — | $ | 13.34 | 1.25 | % | $ | 613,402 | 0.54 | % | 0.62 | % | 1.68 | % | 114 | % | ||||||||||||||||||||||
2010 | 13.04 | 0.28 | # | 0.26 | (0.26 | ) | (0.09 | ) | 13.23 | 4.20 | 580,452 | 0.52 | 0.61 | 2.11 | 257 | |||||||||||||||||||||||||||||||||
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 |
† | 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) | 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. |
(4) | For the six months ended June 30, 2011. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been |
See Notes to Financial Statements.
142
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2011(3) | $ | 7.25 | $ | 0.10 | # | $ | 0.11 | $ | (0.11 | ) | $ | — | $ | — | $ | 7.35 | 2.93 | % | $ | 235,578 | 0.48 | % | 0.51 | % | 2.73 | % | 322 | % | ||||||||||||||||||||||||
2010 | 7.47 | 0.25 | # | 0.40 | (0.41 | ) | (0.46 | ) | — | 7.25 | 8.86 | 236,369 | 0.48 | 0.49 | 3.21 | 487 | ||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2011(3) | $ | 13.65 | $ | 0.18 | # | $ | 0.21 | $ | (0.10 | ) | $ | — | $ | — | $ | 13.94 | 2.89 | % | $ | 642,742 | 0.60 | % | 0.72 | % | 2.59 | % | 322 | % | ||||||||||||||||||||||||
2010 | 13.36 | 0.43 | # | 0.71 | (0.39 | ) | (0.46 | ) | — | 13.65 | 8.65 | 614,082 | 0.58 | 0.68 | 3.11 | 487 | ||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||
Extended-Duration Bond Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS2 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2011(3) | $ | 6.93 | $ | 0.19 | # | $ | 0.07 | $ | (0.35 | ) | $ | (0.06 | ) | $ | — | $ | 6.78 | 3.87 | % | 73,605 | 0.54 | % | 0.55 | % | 5.50 | % | 23 | % | ||||||||||||||||||||||||
2010 | 7.01 | 0.40 | # | 0.43 | (0.80 | ) | (0.11 | ) | — | 6.93 | 12.25 | 72,741 | 0.53 | 0.53 | 5.60 | 39 | ||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2011(3) | $ | 16.28 | $ | 0.43 | # | $ | 0.16 | $ | (0.33 | ) | $ | (0.06 | ) | $ | — | $ | 16.48 | 3.71 | % | $ | 320,063 | 0.71 | % | 0.75 | % | 5.33 | % | 23 | % | |||||||||||||||||||||||
2010 | 15.34 | 0.88 | # | 0.94 | (0.77 | ) | (0.11 | ) | — | 16.28 | 12.05 | 337,760 | 0.69 | 0.72 | 5.43 | 39 | ||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||
Inflation Protected Bond Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2011(3) | $ | 10.43 | $ | 0.23 | # | $ | 0.25 | $ | (0.21 | ) | $ | (0.07 | ) | $ | — | $ | 10.63 | 4.65 | % | $ | 130,320 | 0.64 | % | 0.66 | % | 4.50 | % | 56 | % | |||||||||||||||||||||||
2010 | $ | 10.32 | $ | 0.20 | # | $ | 0.40 | $ | (0.21 | ) | $ | (0.28 | ) | — | 10.43 | 5.82 | 107,825 | 0.65 | 0.66 | 1.90 | 113 | |||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2011(3) | $ | 9.83 | $ | 0.25 | # | $ | 0.26 | $ | (0.26 | ) | $ | — | $ | — | $ | 10.08 | 5.22 | % | $ | 175,945 | 0.83 | % | 0.85 | % | 5.13 | % | 37 | % | ||||||||||||||||||||||||
2010 | 9.36 | 0.52 | # | 0.51 | (0.56 | ) | — | — | 9.83 | 11.29 | 161,070 | 0.79 | 0.81 | 5.40 | 40 | |||||||||||||||||||||||||||||||||||||
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, 2011. 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) | Due to a procedural error, the Ratios to Average Net Assets were incorrectly reported in the 2009 financial highlights as 0.35%, 0.36% and 1.83% for the Expenses, Net, Expenses, Gross and Investment Income, Net, respectively. Such amounts have been revised in the financial highlights for the year ended December 31, 2009. |
(6) | Total return is not annualized. Ratios are annualized. |
(7) | Inception date was December 29, 2006. |
See Notes to Financial Statements.
143
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2011(6) | $ | 8.63 | $ | 0.07 | # | $ | 0.43 | $ | (0.18 | ) | $ | (0.12 | ) | $ | — | $ | 8.83 | 5.96 | % | $ | 61,073 | 0.21 | % | 0.21 | % | 1.65 | % | 2 | % | |||||||||||||||||||||||
2010 | 7.77 | 0.14 | # | 0.97 | (0.25 | ) | — | — | 8.63 | 14.57 | 71,093 | 0.22 | 0.22 | 1.77 | 5 | |||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2011(6) | $ | 16.36 | $ | 0.13 | # | $ | 0.83 | $ | (0.17 | ) | $ | (0.12 | ) | $ | — | $ | 17.03 | 5.92 | % | $ | 299,103 | 0.37 | % | 0.43 | % | 1.49 | % | 2 | % | |||||||||||||||||||||||
2010 | 14.51 | 0.24 | # | 1.84 | (0.23 | ) | — | — | 16.36 | 14.45 | 335,859 | 0.37 | 0.41 | 1.60 | 5 | |||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||
Real Estate Securities Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2011(6) | $ | 8.52 | $ | 0.03 | # | $ | 0.96 | $ | (0.02 | ) | $ | — | $ | — | $ | 9.49 | 11.66 | % | $ | 160,964 | 1.16 | % | 1.16 | % | 0.62 | % | 40 | % | ||||||||||||||||||||||||
2010 | 6.74 | 0.11 | # | 1.82 | (0.15 | ) | — | — | 8.52 | 28.80 | 141,900 | 1.19 | 1.19 | 1.41 | 105 | |||||||||||||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS2 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2011(6) | $ | 7.18 | $ | 0.06 | # | $ | 0.45 | $ | (0.17 | ) | $ | — | $ | — | $ | 7.52 | 7.20 | % | $ | 237,832 | 0.67 | %(3) | 0.67 | % | 1.48 | % | 20 | % | ||||||||||||||||||||||||
2010 | 6.46 | 0.10 | # | 0.78 | (0.16 | ) | — | — | 7.18 | 14.01 | 231,079 | 0.67 | 0.68 | 1.52 | 36 | |||||||||||||||||||||||||||||||||||||
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 | (3) | 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 | (3) | 0.72 | 1.70 | 76 | |||||||||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2011(6) | $ | 14.12 | $ | 0.09 | # | $ | 0.91 | $ | (0.16 | ) | — | — | $ | 14.96 | 7.10 | % | $ | 996,428 | 0.87 | %(3) | 0.88 | % | 1.27 | % | 20 | % | ||||||||||||||||||||||||||
2010 | 12.54 | 0.17 | # | 1.56 | (0.15 | ) | — | — | 14.12 | 13.96 | 958,211 | 0.85 | 0.87 | 1.35 | 36 | |||||||||||||||||||||||||||||||||||||
2009 | 10.53 | 0.20 | # | 1.98 | (0.17 | ) | — | — | 12.54 | 21.16 | 1,001,814 | 0.85 | (3) | 0.88 | 1.89 | 32 | ||||||||||||||||||||||||||||||||||||
2008 | 17.03 | 0.30 | # | (6.54 | ) | (0.19 | ) | (0.07 | ) | — | 10.53 | (36.95 | ) | 844,459 | 0.85 | (3) | 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 | (3) | 0.91 | 1.52 | 76 |
† | 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) | 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. |
(4) | Inception date was December 29, 2006. |
(5) | Total return is not annualized. Ratios are annualized. |
(6) | For the six months ended June 30, 2011. 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.
144
Table of Contents
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS2 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2011(4) | $ | 11.91 | $ | — | †# | $ | 0.69 | $ | — | $ | — | $ | — | $ | 12.60 | 5.79 | % | $ | 224,735 | 0.88 | %(3) | 0.87 | % | (0.04 | )% | 32 | % | |||||||||||||||||||||||||
2010 | 10.00 | — | † | 1.91 | — | † | — | — | 11.91 | 19.13 | 215,863 | 0.88 | (3) | 0.89 | 0.06 | 63 | ||||||||||||||||||||||||||||||||||||
2009 | 7.26 | 0.02 | 2.74 | (0.02 | ) | — | — | 10.00 | 38.14 | 196,026 | 0.88 | (3) | 0.89 | 0.22 | 78 | |||||||||||||||||||||||||||||||||||||
2008 | 12.76 | 0.03 | (5.49 | ) | (0.04 | ) | — | — | 7.26 | (42.84 | ) | 141,138 | 0.87 | (3) | 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 | (3) | 0.90 | 0.00 | 48 | |||||||||||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2011(4) | $ | 18.90 | $ | (0.02 | )# | $ | 1.11 | $ | — | $ | — | $ | — | $ | 19.99 | 5.77 | % | $ | 1,089,627 | 1.00 | %(3) | 1.08 | % | (0.17 | )% | 32 | % | |||||||||||||||||||||||||
2010 | 15.88 | (0.01 | ) | 3.03 | — | † | — | — | 18.90 | 19.03 | 1,044,060 | 0.97 | (3) | 1.08 | (0.04 | ) | 63 | |||||||||||||||||||||||||||||||||||
2009 | 11.52 | 0.01 | 4.36 | (0.01 | ) | — | — | 15.88 | 37.99 | 1,067,654 | 0.97 | (3) | 1.09 | 0.13 | 78 | |||||||||||||||||||||||||||||||||||||
2008 | 20.22 | 0.02 | (8.70 | ) | (0.02 | ) | — | — | 11.52 | (42.92 | ) | 817,315 | 0.97 | (3) | 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 | (3) | 1.09 | (0.12 | ) | 48 | ||||||||||||||||||||||||||||||||||||
Small Cap Equity Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS2 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2011(4) | $ | 9.61 | $ | 0.01 | # | $ | 1.07 | $ | — | $ | — | $ | — | $ | 10.69 | 11.24 | % | $ | 79,040 | 0.99 | %(3) | 1.00 | % | 0.15 | % | 91 | % | |||||||||||||||||||||||||
2010 | 7.57 | 0.03 | # | 2.06 | (0.05 | ) | — | — | 9.61 | 27.64 | 74,424 | 1.00 | (3) | 1.02 | 0.42 | 177 | ||||||||||||||||||||||||||||||||||||
2009 | 5.94 | 0.03 | # | 1.64 | (0.04 | ) | — | — | 7.57 | 28.12 | 64,033 | 1.04 | (3) | 1.05 | 0.44 | 130 | ||||||||||||||||||||||||||||||||||||
2008 | 9.60 | 0.05 | # | (3.61 | ) | (0.08 | ) | — | (0.02 | ) | 5.94 | (37.05 | ) | 48,159 | 1.03 | (3) | 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 | (3) | 1.06 | (0.05 | ) | 86 | |||||||||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2011(4) | $ | 14.46 | $ | — | †# | $ | 1.62 | $ | — | $ | — | $ | — | $ | 16.08 | 11.20 | % | $ | 425,639 | 1.17 | %(3) | 1.22 | % | (0.03 | )% | 91 | % | |||||||||||||||||||||||||
2010 | 11.37 | 0.03 | # | 3.09 | (0.03 | ) | — | — | 14.46 | 27.47 | 400,072 | 1.15 | (3) | 1.21 | 0.27 | 177 | ||||||||||||||||||||||||||||||||||||
2009 | 8.91 | 0.03 | # | 2.46 | (0.03 | ) | — | — | 11.37 | 27.93 | 356,043 | 1.15 | (3) | 1.25 | 0.33 | 130 | ||||||||||||||||||||||||||||||||||||
2008 | 14.31 | 0.07 | # | (5.39 | ) | (0.06 | ) | — | (0.02 | ) | 8.91 | (37.19 | ) | 272,588 | 1.15 | (3) | 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 | (3) | 1.25 | (0.20 | ) | 86 |
† | 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) | 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. |
(4) | For the six months ended June 30, 2011. 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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FINANCIAL HIGHLIGHTS (Unaudited) (Continued)
For a Share Outstanding For the Years Ended December 31, unless otherwise indicated
Ratios to Average Net Assets | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | 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 Period | Total Return | Net Assets, End of Period (000) | Expenses, Net(1) | Expenses, Gross(2) | Investment Income/ (Loss), Net(3) | Portfolio Turnover Rate | ||||||||||||||||||||||||||||||||||||||||
International Equity Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS2 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2011(5) | $ | 10.35 | $ | 0.16 | # | $ | 0.34 | $ | — | $ | — | $ | — | $ | 10.85 | 4.83 | % | $ | 271,722 | 0.94 | %(4) | 1.18 | % | 3.13 | % | 54 | % | |||||||||||||||||||||||||
2010 | 9.64 | 0.17 | # | 0.83 | (0.29 | ) | — | — | 10.35 | 10.45 | 262,103 | 0.94 | (4) | 1.19 | 1.81 | 56 | ||||||||||||||||||||||||||||||||||||
2009 | 7.32 | 0.17 | # | 2.42 | (0.27 | ) | — | † | — | 9.64 | 35.81 | 240,483 | 0.94 | (4) | 1.21 | 2.12 | 59 | |||||||||||||||||||||||||||||||||||
2008 | 14.61 | 0.34 | # | (6.89 | ) | (0.39 | ) | (0.35 | ) | — | 7.32 | (44.72 | ) | 193,281 | 0.94 | (4) | 1.08 | 2.92 | 88 | |||||||||||||||||||||||||||||||||
2007 | 15.80 | 0.26 | # | 1.79 | (0.27 | ) | (2.97 | ) | — | 14.61 | 13.21 | 279,652 | 0.96 | 1.07 | 1.55 | 66 | ||||||||||||||||||||||||||||||||||||
2006 | 14.71 | 0.25 | 3.23 | (0.35 | ) | (2.04 | ) | — | 15.80 | 23.78 | 199,989 | 0.97 | (4) | 1.10 | 1.60 | 26 | ||||||||||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2011(5) | $ | 13.43 | $ | 0.20 | # | $ | 0.44 | $ | — | $ | — | $ | — | $ | 14.07 | 4.77 | % | $ | 1,090,143 | 1.14 | %(4) | 1.40 | % | 2.94 | % | 54 | % | |||||||||||||||||||||||||
2010 | 12.44 | 0.21 | # | 1.05 | (0.27 | ) | — | — | 13.43 | 10.14 | 1,029,317 | 1.12 | (4) | 1.38 | 1.67 | 56 | ||||||||||||||||||||||||||||||||||||
2009 | 9.38 | 0.20 | # | 3.11 | (0.25 | ) | — | † | — | 12.44 | 35.61 | 1,101,628 | 1.12 | (4) | 1.40 | 1.98 | 59 | |||||||||||||||||||||||||||||||||||
2008 | 18.32 | 0.40 | # | (8.63 | ) | (0.36 | ) | (0.35 | ) | — | 9.38 | (44.81 | ) | 873,618 | 1.12 | (4) | 1.28 | 2.46 | 88 | |||||||||||||||||||||||||||||||||
2007 | 19.09 | 0.28 | # | 2.16 | (0.24 | ) | (2.97 | ) | — | 18.32 | 12.96 | 1,400,548 | 1.14 | 1.27 | 1.11 | 66 | ||||||||||||||||||||||||||||||||||||
2006 | 17.37 | 0.26 | 3.82 | (0.32 | ) | (2.04 | ) | — | 19.09 | 23.58 | 1,254,839 | 1.15 | (4) | 1.29 | 1.10 | 26 |
† | Amount represents less than $0.005 per share. |
# | Calculated using the average shares outstanding method. |
(1) | The ratio has been revised to include the effect of dividend expense on securities sold short which increased the ratio by 0.04% for the year 2009. The effect of dividend expense on securities sold short increased the ratio by 0.04% for the year 2010 and 0.06% for the six months ended June 30, 2011. |
(2) | The ratio excludes expense offsets for fees paid indirectly; if expense offsets were included, the ratio would have been lower than the ratio shown. |
(3) | The ratio has been revised to include 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. |
(4) | The ratio excludes expense offsets for fees paid indirectly; if expense offsets were included, the ratio would have been lower than the ratio shown. The ratio excludes the effect of dividend expense on securities sold short. |
(5) | For the six months ended June 30, 2011. 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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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 are each referred to as a “Date Target Fund” and together as the “Date Target Funds.” 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.”
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.
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 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.
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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 which approximates current market value in accordance with Rule 2a-7 of the 1940 Act.
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, rights 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, rights 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 (“IDC”) as a third party fair valuation vendor. IDC provides a fair value for foreign equity securities held by the Trust based on certain factors and methodologies applied by IDC 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 Board of 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 IDC.
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
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assets and liabilities, that segregates fair value measurements into levels (Levels 1, 2, and 3). Categorizations of fair value measurements, and the criteria used to determine each categorization, are as follows:
Level 1 – | quoted prices in active markets for identical securities which include: |
Equity securities, including restricted securities, for which market quotations are readily available, that are valued at the last reported sale price or official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded; and
Investments in open-end mutual funds, including the GuideStone Funds and the Northern Institutional Liquid Assets Portfolio, which are valued at their closing net asset value each business day.
Level 2 – | prices determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) which include: |
Equity securities for which there were no sales or closing prices for that day, that are valued at the last quoted bid price or that may be valued using the last available price;
Foreign equity securities for which a Significant Event has occurred and a fair value price is provided by IDC;
Debt securities, including restricted securities that are valued based on evaluated quotations received from independent pricing services or from dealers who make markets in such securities. For corporate bonds, pricing services that utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices; and
Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available and are valued at amortized cost.
Level 3 – | prices determined using significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) which include: |
Restricted equity securities and private placements where observable inputs are limited, assumptions about market activity and risk are used.
Valuation levels are not necessarily an indication of the risk associated with investing in those securities and changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy.
Certain foreign equity securities that are fair valued may periodically move between valuation Level 2 and valuation Level 1 based upon the threshold established by the Valuation Committee. Details of such transfers have been included in the Schedules of Investments.
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.
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
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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 pre-payments 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 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 six months ended June 30, 2011, the Low-Duration Bond Fund, Medium-Duration Bond Fund, Global Bond Fund and Small Cap Equity Fund entered into dollar roll transactions, pursuant to which they sell a mortgage-backed TBA or security
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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. 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
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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.
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 or paid are recorded as a component of interest income or interest expense on the Statements of Operations.
The Medium-Duration Bond Fund invests 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. PIPEs
The Small Cap Equity Fund invests in Private Investment in Public Equity (“PIPE”) securities. PIPES involve the purchase of securities directly from a publicly traded company by a Fund. PIPES are restricted securities and cannot be immediately resold into the public markets. These investments are valued at fair value as determined in accordance with the procedures approved by the Board of Trustees. Risks include the potential decline in the value of the publicly traded company, the potential dilution of shareholder equity and the inability of the Fund to liquidate the position quickly.
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f. 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.
g. 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.
h. 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 andMedium-Duration Bond 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, 2011, the value of securities sold short in the International Equity Fund amounted to $22,348,539.
i. 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.
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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.
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.
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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, except the Money Market 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.
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 Schedules of Investments 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 six months ended June 30, 2011, 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
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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 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
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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 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
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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.
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 floating rate interest payments. 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
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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, 2011, the Low-Duration Bond Fund and the Medium-Duration Bond Fund are the buyers (“receiving protection”) on a total notional amount of $44,086,147 and $35,920,000, respectively, and the Medium-Duration Bond Fund is the seller (“providing protection”) on a total notional amount of $5,100,000. 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 | |||||||||||||||||||
Corporate Debt | Sovereign Debt | Asset-Backed Securities | Corporate Debt | Total | ||||||||||||||||
Reference Asset | ||||||||||||||||||||
Medium-Duration Bond Fund | ||||||||||||||||||||
Fair value of written credit derivatives | $ | (4,087 | ) | $ | (7,841 | ) | $ | — | $ | — | $ | (11,928 | ) | |||||||
Maximum potential amount of future payments | 4,100,000 | 1,000,000 | — | — | 5,100,000 | |||||||||||||||
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 Future Payments by Contract Term | ||||||||||||||||||||||||
Current credit spread on | 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 | — | — | — | 1,000,000 | — | 1,000,000 | ||||||||||||||||||
251 - 500 | — | — | — | 4,100,000 | — | 4,100,000 | ||||||||||||||||||
501 - 1,000 | — | — | — | — | — | — | ||||||||||||||||||
Greater than 1,000 | — | — | — | — | — | — | ||||||||||||||||||
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Total | $ | — | $ | — | $ | — | $ | 5,100,000 | $ | — | $ | 5,100,000 | ||||||||||||
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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 Receivables: Variation margin* | Options written at value
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, 2011. |
Asset Derivative Value | ||||||||||||||||||||
Fund | Total Value at 06/30/11 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||||||||||||
MyDestination 2005 Fund | ||||||||||||||||||||
Futures | $ | 74,203 | $ | (5,845 | ) | $ | — | $ | — | $ | 80,048 | |||||||||
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MyDestination 2015 Fund | ||||||||||||||||||||
Futures | $ | 518,949 | $ | (54,348 | ) | $ | — | $ | — | $ | 573,297 | |||||||||
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MyDestination 2025 Fund | ||||||||||||||||||||
Futures | $ | 485,355 | $ | (105,484 | ) | $ | — | $ | — | $ | 590,839 | |||||||||
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MyDestination 2035 Fund | ||||||||||||||||||||
Futures | $ | 60,950 | $ | 1,813 | $ | — | $ | — | $ | 59,137 | ||||||||||
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MyDestination 2045 Fund | ||||||||||||||||||||
Futures | $ | 62,724 | $ | — | $ | — | $ | — | $ | 62,724 | ||||||||||
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Conservative Allocation Fund | ||||||||||||||||||||
Futures | $ | 206,202 | $ | (281 | ) | $ | — | $ | — | $ | 206,483 | |||||||||
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Balanced Allocation Fund | ||||||||||||||||||||
Futures | $ | 1,286,393 | $ | (112,033 | ) | $ | — | $ | — | $ | 1,398,426 | |||||||||
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Growth Allocation Fund | ||||||||||||||||||||
Futures | $ | 344,951 | $ | 7,526 | $ | — | $ | — | $ | 337,425 | ||||||||||
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Aggressive Allocation Fund | ||||||||||||||||||||
Futures | $ | 437,073 | $ | — | $ | — | $ | — | $ | 437,073 | ||||||||||
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Conservative Allocation Fund I | ||||||||||||||||||||
Futures | $ | 62,816 | $ | 328 | $ | — | $ | — | $ | 62,488 | ||||||||||
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Balanced Allocation Fund I | ||||||||||||||||||||
Futures | $ | 355,754 | $ | (42,114 | ) | $ | — | $ | — | $ | 397,868 | |||||||||
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Growth Allocation Fund I | ||||||||||||||||||||
Futures | $ | 109,452 | $ | 622 | $ | — | $ | — | $ | 108,830 | ||||||||||
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Asset Derivative Value | ||||||||||||||||||||
Fund | Total Value at 06/30/11 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||||||||||||
Aggressive Allocation Fund I | ||||||||||||||||||||
Futures | $ | 71,026 | $ | — | $ | — | $ | — | $ | 71,026 | ||||||||||
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Low-Duration Bond Fund | ||||||||||||||||||||
Forwards | $ | 546,232 | $ | — | $ | 546,232 | $ | — | $ | — | ||||||||||
Futures | 333,914 | 333,914 | — | — | — | |||||||||||||||
Swaps | 1,698,026 | 69,251 | — | 1,628,775 | — | |||||||||||||||
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Totals | $ | 2,578,172 | $ | 403,165 | $ | 546,232 | $ | 1,628,775 | $ | — | ||||||||||
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Medium-Duration Bond Fund | ||||||||||||||||||||
Forwards | $ | 557,165 | $ | — | $ | 557,165 | $ | — | $ | — | ||||||||||
Futures | 176,936 | 176,936 | — | — | �� | |||||||||||||||
Swaps | 871,279 | 547,502 | — | 323,777 | — | |||||||||||||||
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Totals | $ | 1,605,380 | $ | 724,438 | $ | 557,165 | $ | 323,777 | $ | — | ||||||||||
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Inflation Protected Bond Fund | ||||||||||||||||||||
Futures | $ | (47,679 | ) | $ | (47,679 | ) | $ | — | $ | — | $ | — | ||||||||
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Global Bond Fund | ||||||||||||||||||||
Forwards | $ | 556,316 | $ | — | $ | 556,316 | $ | — | $ | — | ||||||||||
Futures | (4,025 | ) | (4,025 | ) | — | — | — | |||||||||||||
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Total | $ | 552,291 | $ | (4,025 | ) | $ | 556,316 | $ | — | $ | — | |||||||||
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Equity Index Fund | ||||||||||||||||||||
Futures | $ | 310,436 | $ | — | $ | — | $ | — | $ | 310,436 | ||||||||||
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Real Estate Securities Fund | ||||||||||||||||||||
Futures | $ | 125,240 | $ | — | $ | — | $ | — | $ | 125,240 | ||||||||||
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Value Equity Fund | ||||||||||||||||||||
Futures | $ | 1,036,413 | $ | — | $ | — | $ | — | $ | 1,036,413 | ||||||||||
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Growth Equity Fund | ||||||||||||||||||||
Futures | $ | 1,662,644 | $ | — | $ | — | $ | — | $ | 1,662,644 | ||||||||||
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Small Cap Equity Fund | ||||||||||||||||||||
Forwards | $ | 14,377 | $ | — | $ | 14,377 | $ | — | $ | — | ||||||||||
Futures | 2,702,811 | (90,239 | ) | — | — | 2,793,050 | ||||||||||||||
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Total | $ | 2,717,188 | $ | (90,239 | ) | $ | 14,377 | $ | — | $ | 2,793,050 | |||||||||
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| |||||||||||
International Equity Fund | ||||||||||||||||||||
Forwards | $ | 534,459 | $ | — | $ | 534,459 | $ | — | $ | — | ||||||||||
Futures | 2,298,446 | — | — | — | 2,298,446 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 2,832,905 | $ | — | $ | 534,459 | $ | — | $ | 2,298,446 | ||||||||||
|
|
|
|
|
|
|
|
|
|
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Table of Contents
Liability Derivative Value | ||||||||||||||||||||
Fund | Total Value at 06/30/11 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||||||||||||
Low-Duration Bond Fund | ||||||||||||||||||||
Forwards | $ | 915,889 | $ | — | $ | 915,889 | $ | — | $ | — | ||||||||||
Futures | 228,364 | 228,364 | — | — | — | |||||||||||||||
Written Options | 90,410 | 90,410 | — | — | — | |||||||||||||||
Swaps | 320,020 | 38,893 | — | 281,127 | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | 1,554,683 | $ | 357,667 | $ | 915,889 | $ | 281,127 | $ | — | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Medium-Duration Bond Fund | ||||||||||||||||||||
Forwards | $ | 903,279 | $ | — | $ | 903,279 | $ | — | $ | — | ||||||||||
Futures | 104,112 | 104,112 | — | — | — | |||||||||||||||
Written Options | 83,764 | 83,764 | — | — | — | |||||||||||||||
Swaps | 1,078,862 | 542,343 | — | 536,519 | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | 2,170,017 | $ | 730,219 | $ | 903,279 | $ | 536,519 | $ | — | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Inflation Protected Bond Fund | ||||||||||||||||||||
Futures | $ | (68,932 | ) | $ | (68,932 | ) | $ | — | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Global Bond Fund | ||||||||||||||||||||
Forwards | $ | 185,508 | $ | — | $ | 185,508 | $ | — | $ | — | ||||||||||
Futures | 89,649 | 89,649 | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | 275,157 | $ | 89,649 | $ | 185,508 | $ | — | $ | — | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Small Cap Equity Fund | ||||||||||||||||||||
Forwards | $ | 14,186 | $ | — | $ | 14,186 | $ | — | $ | — | ||||||||||
Futures | (21,361 | ) | (21,361 | ) | — | — | — | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | (7,175 | ) | $ | (21,361 | ) | $ | 14,186 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
International Equity Fund | ||||||||||||||||||||
Forwards | $ | 773,106 | $ | — | $ | 773,106 | $ | — | $ | — | ||||||||||
Futures | 149,949 | — | — | — | 149,949 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | 923,055 | $ | — | $ | 773,106 | $ | — | $ | 149,949 | ||||||||||
|
|
|
|
|
|
|
|
|
|
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Table of Contents
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 |
Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||
Fund | Total Value at 06/30/11 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||||||||||||
MyDestination 2005 Fund | ||||||||||||||||||||
Futures | $ | (5,360 | ) | $ | 5,197 | $ | — | $ | — | $ | (10,557 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
MyDestination 2015 Fund | ||||||||||||||||||||
Futures | $ | 193,843 | $ | 23,910 | $ | — | $ | — | $ | 169,933 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
MyDestination 2025 Fund | ||||||||||||||||||||
Futures | $ | 132,989 | $ | 38,597 | $ | — | $ | — | $ | 94,392 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
MyDestination 2035 Fund | ||||||||||||||||||||
Futures | $ | 103,069 | $ | 4,358 | $ | — | $ | — | $ | 98,711 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
MyDestination 2045 Fund | ||||||||||||||||||||
Futures | $ | 117,066 | $ | — | $ | — | $ | — | $ | 117,066 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Conservative Allocation Fund | ||||||||||||||||||||
Futures | $ | 128,794 | $ | 10,762 | $ | — | $ | — | $ | 118,032 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Balanced Allocation Fund | ||||||||||||||||||||
Futures | $ | 1,082,908 | $ | 195,374 | $ | — | $ | — | $ | 887,534 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Growth Allocation Fund | ||||||||||||||||||||
Futures | $ | 904,995 | $ | 82,146 | $ | — | $ | — | $ | 822,849 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Aggressive Allocation Fund | ||||||||||||||||||||
Futures | $ | 1,098,340 | $ | — | $ | — | $ | — | $ | 1,098,340 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Conservative Allocation Fund I | ||||||||||||||||||||
Futures | $ | (15,367 | ) | $ | 2,807 | $ | — | $ | — | $ | (18,174 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Balanced Allocation Fund I | ||||||||||||||||||||
Futures | $ | 169,504 | $ | 52,048 | $ | — | $ | — | $ | 117,456 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Growth Allocation Fund I | ||||||||||||||||||||
Futures | $ | 164,228 | $ | 16,858 | $ | — | $ | — | $ | 147,370 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Aggressive Allocation Fund I | ||||||||||||||||||||
Futures | $ | 166,549 | $ | — | $ | — | $ | — | $ | 166,549 | ||||||||||
|
|
|
|
|
|
|
|
|
|
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Table of Contents
Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||
Fund | Total Value at 06/30/11 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||||||||||||
Low-Duration Bond Fund | ||||||||||||||||||||
Forwards | $ | (2,390,069 | ) | $ | — | $ | (2,390,069 | ) | $ | — | $ | — | ||||||||
Futures | (559,699 | ) | (559,699 | ) | — | — | — | |||||||||||||
Swaps | (269,320 | ) | (2,362 | ) | — | (266,958 | ) | — | ||||||||||||
Written Options | 648,059 | 578,365 | — | 69,694 | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | (2,571,029 | ) | $ | 16,304 | $ | (2,390,069 | ) | $ | (197,264 | ) | $ | — | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Medium-Duration Bond Fund | ||||||||||||||||||||
Forwards | $ | (2,568,929 | ) | $ | — | $ | (2,568,929 | ) | $ | — | $ | — | ||||||||
Futures | (347,923 | ) | (347,923 | ) | — | — | — | |||||||||||||
Purchased Options | (6,035 | ) | (6,035 | ) | — | — | — | |||||||||||||
Swaps | 634,483 | 568,142 | — | 66,341 | — | |||||||||||||||
Written Options | 403,262 | 394,022 | — | 9,240 | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | (1,885,142 | ) | $ | 608,206 | $ | (2,568,929 | ) | $ | 75,581 | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Inflation Protected Bond Fund | ||||||||||||||||||||
Futures | $ | (307,184 | ) | $ | (307,184 | ) | $ | — | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Global Bond Fund | ||||||||||||||||||||
Forwards | $ | (1,146,511 | ) | $ | — | $ | (1,146,511 | ) | $ | — | $ | — | ||||||||
Futures | (33,373 | ) | (33,373 | ) | — | — | — | |||||||||||||
Purchased Options | (55,446 | ) | (55,446 | ) | — | — | — | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | (1,235,330 | ) | $ | (88,819 | ) | $ | (1,146,511 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Equity Index Fund | ||||||||||||||||||||
Futures | $ | 601,293 | $ | — | $ | — | $ | — | $ | 601,293 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Real Estate Securities Fund | ||||||||||||||||||||
Futures | $ | 61,879 | $ | — | $ | — | $ | — | $ | 61,879 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Value Equity Fund | ||||||||||||||||||||
Futures | $ | 1,560,726 | $ | — | $ | — | $ | — | $ | 1,560,726 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Growth Equity Fund | ||||||||||||||||||||
Futures | $ | 2,972,741 | $ | — | $ | — | $ | — | $ | 2,972,741 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Small Cap Equity Fund | ||||||||||||||||||||
Forwards | $ | (100,301 | ) | $ | — | $ | (100,301 | ) | $ | — | $ | — | ||||||||
Futures | 2,174,354 | 21,568 | — | — | 2,152,786 | |||||||||||||||
Written Options | 15,554 | 15,554 | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 2,089,607 | $ | 37,122 | $ | (100,301 | ) | $ | — | $ | 2,152,786 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
International Equity Fund | ||||||||||||||||||||
Forwards | $ | 1,035,350 | $ | — | $ | 1,035,350 | $ | — | $ | — | ||||||||||
Futures | 840,390 | — | — | — | 840,390 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 1,875,740 | $ | — | $ | 1,035,350 | $ | — | $ | 840,390 | ||||||||||
|
|
|
|
|
|
|
|
|
|
164
Table of Contents
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||||||
Fund | Total Value at 06/30/11 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||||||||||||
MyDestination 2005 Fund | ||||||||||||||||||||
Futures | $ | 74,203 | $ | (5,845 | ) | $ | — | $ | — | $ | 80,048 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
MyDestination 2015 Fund | ||||||||||||||||||||
Futures | $ | 416,227 | $ | (54,348 | ) | $ | — | $ | — | $ | 470,575 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
MyDestination 2025 Fund | ||||||||||||||||||||
Futures | $ | 422,209 | $ | (105,484 | ) | $ | — | $ | — | $ | 527,693 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
MyDestination 2035 Fund | ||||||||||||||||||||
Futures | $ | 29,003 | $ | 1,813 | $ | — | $ | — | $ | 27,190 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
MyDestination 2045 Fund | ||||||||||||||||||||
Futures | $ | 26,388 | $ | — | $ | — | $ | — | $ | 26,388 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Conservative Allocation Fund | ||||||||||||||||||||
Futures | $ | 147,631 | $ | (281 | ) | $ | — | $ | — | $ | 147,912 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Balanced Allocation Fund | ||||||||||||||||||||
Futures | $ | 830,880 | $ | (112,033 | ) | $ | — | $ | — | $ | 942,913 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Growth Allocation Fund | ||||||||||||||||||||
Futures | $ | (63,292 | ) | $ | 7,526 | $ | — | $ | — | $ | (70,818 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Aggressive Allocation Fund | ||||||||||||||||||||
Futures | $ | (48,602 | ) | $ | — | $ | — | $ | — | $ | (48,602 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Conservative Allocation Fund I | ||||||||||||||||||||
Futures | $ | 62,816 | $ | 328 | $ | — | $ | — | $ | 62,488 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Balanced Allocation Fund I | ||||||||||||||||||||
Futures | $ | 297,766 | $ | (42,114 | ) | $ | — | $ | — | $ | 339,880 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Growth Allocation Fund I | ||||||||||||||||||||
Futures | $ | 58,764 | $ | 622 | $ | — | $ | — | $ | 58,142 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Aggressive Allocation Fund I | ||||||||||||||||||||
Futures | $ | 9,682 | $ | — | $ | — | $ | — | $ | 9,682 | ||||||||||
Low-Duration Bond Fund | ||||||||||||||||||||
Forwards | $ | (96,891 | ) | $ | — | $ | (96,891 | ) | $ | — | $ | — | ||||||||
Futures | (93,662 | ) | (93,662 | ) | — | — | — | |||||||||||||
Swaps | (53,365 | ) | 18,437 | — | (71,802 | ) | — | |||||||||||||
Written Options | (76,597 | ) | (12,447 | ) | — | (64,150 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | (320,515 | ) | $ | (87,672 | ) | $ | (96,891 | ) | $ | (135,952 | ) | $ | — | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Medium-Duration Bond Fund | ||||||||||||||||||||
Forwards | $ | 481,166 | $ | — | $ | 481,166 | $ | — | $ | — | ||||||||||
Futures | 336,105 | 336,105 | — | — | — | |||||||||||||||
Purchased Options | 6,035 | 6,035 | — | — | — | |||||||||||||||
Swaps | (2,107,910 | ) | (1,413,101 | ) | — | (694,809 | ) | — | ||||||||||||
Written Options | 122,564 | 125,886 | — | (3,322 | ) | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | (1,162,040 | ) | $ | (945,075 | ) | $ | 481,166 | $ | (698,131 | ) | $ | — | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Inflation Protected Bond Fund | ||||||||||||||||||||
Futures | $ | 25,686 | $ | 25,686 | $ | — | $ | — | $ | — | ||||||||||
|
|
|
|
|
|
|
|
|
|
165
Table of Contents
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||||||
Fund | Total Value at 06/30/11 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||||||||||||
Global Bond Fund | ||||||||||||||||||||
Forwards | $ | 48,607 | $ | — | $ | 48,607 | $ | — | $ | — | ||||||||||
Futures | (144,264 | ) | (144,264 | ) | — | — | — | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | (95,657 | ) | $ | (144,264 | ) | $ | 48,607 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Equity Index Fund | ||||||||||||||||||||
Futures | $ | 80,066 | $ | — | $ | — | $ | — | $ | 80,066 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Real Estate Securities Fund | ||||||||||||||||||||
Futures | $ | 91,338 | $ | — | $ | — | $ | — | $ | 91,338 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Value Equity Fund | ||||||||||||||||||||
Futures | $ | 347,554 | $ | — | $ | — | $ | — | $ | 347,554 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Growth Equity Fund | ||||||||||||||||||||
Futures | $ | 678,454 | $ | — | $ | — | $ | — | $ | 678,454 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Small Cap Equity Fund | ||||||||||||||||||||
Forwards | $ | 7,755 | $ | — | $ | 7,755 | $ | — | $ | — | ||||||||||
Futures | 1,564,545 | (127,447 | ) | — | — | 1,691,992 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 1,572,300 | $ | (127,447 | ) | $ | 7,755 | $ | — | $ | 1,691,992 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
International Equity Fund | ||||||||||||||||||||
Forwards | $ | (758,489 | ) | $ | — | $ | (758,489 | ) | $ | — | $ | — | ||||||||
Futures | 1,458,235 | — | — | — | 1,458,235 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 699,746 | $ | — | $ | (758,489 | ) | $ | — | $ | 1,458,235 | |||||||||
|
|
|
|
|
|
|
|
|
|
Volume of Derivative Transactions
The table below summarizes the average balance of derivative holdings by fund during the six months ended June 30, 2011. The average balance of derivatives held is indicative of the trading volume of each Fund.
Asset Derivative Volume | ||||||||||||||||
Fund | Forward Foreign Currency Contracts (Average Cost) | Futures Contracts (Average Notional Value) | Purchased Option Contracts (Average Notional Cost) | Swap Contracts (Average Notional Amount) | ||||||||||||
MyDestination 2005 Fund | $ | — | $ | 1,107,251 | $ | — | $ | — | ||||||||
MyDestination 2015 Fund | — | 4,820,338 | — | — | ||||||||||||
MyDestination 2025 Fund | — | 5,226,863 | — | — | ||||||||||||
MyDestination 2035 Fund | — | 2,515,381 | — | — | ||||||||||||
MyDestination 2045 Fund | — | 2,063,509 | — | — | ||||||||||||
Conservative Allocation Fund | — | 2,732,045 | — | — | ||||||||||||
Balanced Allocation Fund | — | 19,779,148 | — | — | ||||||||||||
Growth Allocation Fund | — | 15,382,518 | — | — | ||||||||||||
Aggressive Allocation Fund | — | 16,857,051 | — | — | ||||||||||||
Conservative Allocation Fund I | — | 1,614,412 | — | — | ||||||||||||
Balanced Allocation Fund I | — | 5,282,966 | — | — | ||||||||||||
Growth Allocation Fund I | — | 3,855,159 | — | — | ||||||||||||
Aggressive Allocation Fund I | — | 2,941,501 | — | — | ||||||||||||
Low-Duration Bond Fund | 21,055,714 | 239,130,484 | — | 59,571,337 | ||||||||||||
Medium-Duration Bond Fund | 41,104,696 | 313,243,201 | 6,035 | 174,465,714 | ||||||||||||
Inflation Protected Bond Fund | — | 5,050,050 | — | — | ||||||||||||
Global Bond Fund | 41,140,151 | 370,535 | 48,201 | — | ||||||||||||
Equity Index Fund | — | 2,886,547 | — | — |
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Asset Derivative Volume | ||||||||||||||||
Fund | Forward Foreign Currency Contracts (Average Cost) | Futures Contracts (Average Notional Value) | Purchased Option Contracts (Average Notional Cost) | Swap Contracts (Average Notional Amount) | ||||||||||||
Real Estate Securities Fund | $ | — | $ | 4,468,996 | $ | — | $ | — | ||||||||
Value Equity Fund | — | 1,964,145 | — | — | ||||||||||||
Growth Equity Fund | — | 58,275,764 | — | — | ||||||||||||
Small Cap Equity Fund | 1,012,760 | 57,410,656 | — | — | ||||||||||||
International Equity Fund | 66,915,140 | 34,900,420 | — | — | ||||||||||||
Liability Derivative Volume | ||||||||||||||||
Fund | Forward Foreign Currency Contracts (Average Cost) | Futures Contracts (Average Notional Value) | Written Option Contracts (Average Notional Cost) | Swap Contracts (Average Notional Amount) | ||||||||||||
MyDestination 2005 Fund | $ | — | $ | (83,007 | ) | $ | — | $ | — | |||||||
MyDestination 2015 Fund | — | (833,097 | ) | — | — | |||||||||||
MyDestination 2025 Fund | — | (916,104 | ) | — | — | |||||||||||
MyDestination 2035 Fund | — | (584,074 | ) | — | — | |||||||||||
MyDestination 2045 Fund | — | (501,066 | ) | — | — | |||||||||||
Conservative Allocation Fund | — | (222,360 | ) | — | — | |||||||||||
Balanced Allocation Fund | — | (3,753,469 | ) | — | — | |||||||||||
Growth Allocation Fund | — | (4,088,520 | ) | — | — | |||||||||||
Aggressive Allocation Fund | — | (4,503,558 | ) | — | — | |||||||||||
Conservative Allocation Fund I | — | (83,007 | ) | — | — | |||||||||||
Balanced Allocation Fund I | — | (1,111,183 | ) | — | — | |||||||||||
Growth Allocation Fund I | — | (945,788 | ) | — | — | |||||||||||
Aggressive Allocation Fund I | — | (889,442 | ) | — | — | |||||||||||
Low-Duration Bond Fund | (79,812,351 | ) | (21,055,714 | ) | (4,189 | ) | — | |||||||||
Medium-Duration Bond Fund | (64,539,746 | ) | (41,104,696 | ) | (432,638 | ) | — | |||||||||
Inflation Protected Bond Fund | — | (15,356,060 | ) | — | — | |||||||||||
Global Bond Fund | (45,356,091 | ) | (11,085,736 | ) | — | — | ||||||||||
Small Cap Equity Fund | (1,330,830 | ) | (6,991,924 | ) | (9,333 | ) | — | |||||||||
International Equity Fund | (62,177,670 | ) | (5,314,731 | ) | — | — |
j. 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.
k. 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.
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l. 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.
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 six months ended June 30, 2011, based upon average daily net assets, were as follows:
Fund | Advisory Fees | Sub-Adviser Fees | ||||||
MyDestination 2005 | 0.10 | % | 0.00 | % | ||||
MyDestination 2015 | 0.10 | % | 0.00 | % | ||||
MyDestination 2025 | 0.10 | % | 0.00 | % | ||||
MyDestination 2035 | 0.10 | % | 0.00 | % | ||||
MyDestination 2045 | 0.10 | % | 0.00 | % | ||||
Conservative Allocation | 0.10 | % | 0.00 | % | ||||
Balanced Allocation | 0.10 | % | 0.00 | % | ||||
Growth Allocation | 0.10 | % | 0.00 | % | ||||
Aggressive Allocation | 0.10 | % | 0.00 | % | ||||
Conservative Allocation I | 0.10 | % | 0.00 | % | ||||
Balanced Allocation I | 0.10 | % | 0.00 | % | ||||
Growth Allocation I | 0.10 | % | 0.00 | % | ||||
Aggressive Allocation I | 0.10 | % | 0.00 | % | ||||
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 | % | 0.53 | % | ||||
Value Equity | 0.40 | % | 0.23 | % | ||||
Growth Equity | 0.45 | % | 0.39 | % | ||||
Small Cap Equity | 0.27 | % | 0.65 | % | ||||
International Equity | 0.47 | % | 0.47 | % |
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For the six months ended June 30, 2011, 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 | $ | 28,808 | $ | (37,552 | ) | $ | (8,744 | ) | ||||
MyDestination 2015 | 130,021 | — | 130,021 | |||||||||
MyDestination 2025 | 128,278 | — | 128,278 | |||||||||
MyDestination 2035 | 60,756 | (13,453 | ) | 47,303 | ||||||||
MyDestination 2045 | 40,882 | (31,239 | ) | 9,643 | ||||||||
Conservative Allocation | 133,284 | (64,640 | ) | 68,644 | ||||||||
Balanced Allocation | 571,610 | (57,097 | ) | 514,513 | ||||||||
Growth Allocation | 429,647 | (56,675 | ) | 372,972 | ||||||||
Aggressive Allocation | 382,982 | (55,665 | ) | 327,317 | ||||||||
Conservative Allocation I | 36,631 | (25,406 | ) | 11,225 | ||||||||
Balanced Allocation I | 176,537 | — | 176,537 | |||||||||
Growth Allocation I | 119,144 | — | 119,144 | |||||||||
Aggressive Allocation I | 80,599 | (8,286 | ) | 72,313 | ||||||||
Money Market | 588,081 | — | 588,081 | |||||||||
Low-Duration Bond | 471,329 | (291,899 | ) | 179,430 | ||||||||
Medium-Duration Bond | 900,801 | (420,847 | ) | 479,954 | ||||||||
Extended-Duration Bond | 505,567 | (74,556 | ) | 431,011 | ||||||||
Inflation Protected Bond | 116,902 | (13,455 | ) | 103,447 | ||||||||
Global Bond | 178,305 | (19,060 | ) | 159,245 | ||||||||
Equity Index | 271,389 | (96,570 | ) | 174,819 | ||||||||
Real Estate Securities | 212,240 | (4,072 | ) | 208,168 | ||||||||
Value Equity | 2,473,249 | (64,079 | ) | 2,409,170 | ||||||||
Growth Equity | 2,917,024 | (489,469 | ) | 2,427,555 | ||||||||
Small Cap Equity | 673,063 | (114,340 | ) | 558,723 | ||||||||
International Equity | 3,099,430 | (1,308,864 | ) | 1,790,566 |
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 was authorized to pay service fees of 0.19% of average daily net assets for the period January 1, 2011 to April 30, 2011. As of May 1, 2011, the GS4 Class of each Select Fund is authorized to pay service fees of 0.24% of average daily net assets.
c. Expense Limitation
GSCM has agreed, through April 30, 2012, to waive fees and reimburse expenses of the GS2 Class and GS4 Class of each Fund (excluding interest, taxes, brokerage commissions, dividend expense on securities sold short and extraordinary expenses) which exceed, in the aggregate, the annual percentage rate of each Class’s average daily net assets as follows:
For the Period January 1, 2011 to April 30, 2011 | For the Period May 1, 2011 to June 30, 2011 | |||||||||||||||
Fund | GS2 Class | GS4 Class | GS2 Class | GS4 Class | ||||||||||||
MyDestination 2005 | NA | 0.20 | % | NA | 0.20 | % | ||||||||||
MyDestination 2015 | NA | 0.20 | % | NA | 0.20 | % | ||||||||||
MyDestination 2025 | NA | 0.20 | % | NA | 0.20 | % | ||||||||||
MyDestination 2035 | NA | 0.20 | % | NA | 0.20 | % | ||||||||||
MyDestination 2045 | NA | 0.20 | % | NA | 0.20 | % | ||||||||||
Conservative Allocation | NA | 0.12 | % | NA | 0.12 | % | ||||||||||
Balanced Allocation | NA | 0.12 | % | NA | 0.12 | % |
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For the Period January 1, 2011 to April 30, 2011 | For the Period May 1, 2011 to June 30, 2011 | |||||||||||||||
Fund | GS2 Class | GS4 Class | GS2 Class | GS4 Class | ||||||||||||
Growth Allocation | NA | 0.12 | % | NA | 0.12 | % | ||||||||||
Aggressive Allocation | NA | 0.12 | % | NA | 0.12 | % | ||||||||||
Conservative Allocation I | 0.15 | % | NA | 0.15 | % | NA | ||||||||||
Balanced Allocation I | 0.15 | % | NA | 0.15 | % | NA | ||||||||||
Growth Allocation I | 0.15 | % | NA | 0.15 | % | NA | ||||||||||
Aggressive Allocation I | 0.15 | % | NA | 0.15 | % | NA | ||||||||||
Money Market | 0.20 | % | 0.39 | % | 0.20 | % | 0.39 | % | ||||||||
Low-Duration Bond | 0.36 | % | 0.52 | % | 0.36 | % | 0.57 | % | ||||||||
Medium-Duration Bond | 0.48 | % | 0.58 | % | 0.48 | % | 0.63 | % | ||||||||
Extended-Duration Bond | 0.63 | % | 0.69 | % | 0.63 | % | 0.75 | % | ||||||||
Inflation Protected Bond | NA | 0.67 | % | NA | 0.67 | % | ||||||||||
Global Bond | NA | 1.02 | % | NA | 1.02 | % | ||||||||||
Equity Index | 0.23 | % | 0.37 | % | 0.23 | % | 0.38 | % | ||||||||
Real Estate Securities | NA | 1.29 | % | NA | 1.29 | % | ||||||||||
Value Equity | 0.74 | % | 0.85 | % | 0.74 | % | 0.94 | % | ||||||||
Growth Equity | 0.88 | % | 0.97 | % | 0.88 | % | 1.06 | % | ||||||||
Small Cap Equity | 1.12 | % | 1.15 | % | 1.12 | % | 1.21 | % | ||||||||
International Equity | 0.94 | % | 1.12 | % | 0.94 | % | 1.18 | % |
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, 2011, the amounts subject to possible future reimbursement under the expense limitation agreement are as follows:
GS2 Class | GS4 Class | |||||||||||||||||||||||
2009 | 2010 | 2011 | 2009 | 2010 | 2011 | |||||||||||||||||||
MyDestination 2005 | NA | NA | NA | $ | 34,663 | $ | 37,982 | $ | 37,552 | |||||||||||||||
MyDestination 2035 | NA | NA | NA | 42,923 | 29,344 | 13,453 | ||||||||||||||||||
MyDestination 2045 | NA | NA | NA | 60,981 | 53,661 | 31,239 | ||||||||||||||||||
Conservative Allocation | NA | NA | NA | 94,137 | 85,986 | 64,640 | ||||||||||||||||||
Balanced Allocation | NA | NA | NA | 97,716 | 44,858 | 57,097 | ||||||||||||||||||
Growth Allocation | NA | NA | NA | 102,990 | 65,662 | 56,675 | ||||||||||||||||||
Aggressive Allocation | NA | NA | NA | 116,674 | 59,666 | 55,665 | ||||||||||||||||||
Conservative Allocation I | $ | 41,261 | $ | 33,009 | $ | 25,406 | NA | NA | NA | |||||||||||||||
Aggressive Allocation I | 14,709 | 7,100 | 8,286 | NA | NA | NA | ||||||||||||||||||
Low-Duration Bond | 62,697 | 55,742 | 24,780 | 480,368 | 468,377 | 222,208 | ||||||||||||||||||
Medium-Duration Bond | 21,118 | 962 | 11,273 | 829,796 | 799,436 | 322,609 | ||||||||||||||||||
Extended-Duration Bond | NA | NA | NA | 112,701 | 108,124 | 64,525 | ||||||||||||||||||
Inflation Protected Bond | NA | NA | NA | NA | NA | NA | ||||||||||||||||||
Equity Index | NA | NA | NA | 152,180 | 128,840 | 87,166 | �� | |||||||||||||||||
Value Equity | NA | NA | NA | 233,562 | 159,664 | 28,595 | ||||||||||||||||||
Growth Equity | NA | NA | NA | 990,164 | 1,049,330 | 443,095 | ||||||||||||||||||
Small Cap Equity | NA | NA | NA | 244,965 | 188,066 | 86,217 | ||||||||||||||||||
International Equity | 451,372 | 483,790 | 239,256 | 2,302,219 | 2,260,849 | 1,025,235 |
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During the six months ended June 30, 2011, GSCM recaptured the following amounts:
GS2 Class | GS4 Class | |||||||
Growth Equity | $ | 8,395 | 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 | $ | 35,769 | ||
Growth Equity | 44,382 | |||
Small Cap Equity | 17,450 | |||
International Equity | 28,121 |
e. Administrator, Transfer Agent and Distributor
Certain employees of BNY Mellon Investment Servicing (US) Inc. (“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 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 six months ended June 30, 2011, BNY Mellon received $1,589,299 in aggregate fees and expenses for services rendered under the various agreements described above. BNY Mellon Distributors Inc. (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 six months ended June 30, 2011 is as follows:
Balance at 12/31/10 | Balance at 06/30/11 | Purchases | Sales Proceeds | Dividend Income | Distributions of Realized Gains | |||||||||||||||||||
MyDestination 2005 Fund | ||||||||||||||||||||||||
Money Market Fund | $ | 1,446,944 | $ | 3,739,203 | $ | 11,319,618 | $ | 9,027,360 | $ | — | $ | — | ||||||||||||
Low-Duration Bond Fund | 11,993,701 | 14,085,135 | 2,139,900 | 210,000 | 55,760 | — | ||||||||||||||||||
Medium-Duration Bond Fund | 9,809,284 | 10,428,732 | 740,810 | 420,000 | 78,253 | — | ||||||||||||||||||
Extended-Duration Bond Fund | 41,460 | — | — | 41,520 | 237 | — | ||||||||||||||||||
Inflation Protected Bond Fund | 8,088,222 | 8,646,896 | 733,000 | 576,500 | 169,924 | 60,300 | ||||||||||||||||||
Global Bond Fund | 539,551 | 289,075 | 6,500 | 285,780 | 12,655 | — | ||||||||||||||||||
Equity Index Fund | 1,194,173 | 833,547 | 115,000 | 531,000 | 8,081 | 5,729 | ||||||||||||||||||
Real Estate Securities Fund | �� | 1,612,846 | 1,646,177 | 132,000 | 286,500 | 3,911 | — | |||||||||||||||||
Value Equity Fund | 6,121,558 | 5,884,856 | 627,500 | 1,282,000 | 60,940 | — | ||||||||||||||||||
Growth Equity Fund | 6,105,156 | 5,979,271 | 590,500 | 1,029,500 | — | — | ||||||||||||||||||
Small Cap Equity Fund | 1,612,667 | 1,567,124 | 197,470 | 414,500 | — | — | ||||||||||||||||||
International Equity Fund | 6,456,267 | 6,253,753 | 676,195 | 1,182,780 | — | — | ||||||||||||||||||
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$ | 55,021,829 | $ | 59,353,769 | $ | 17,278,493 | $ | 15,287,440 | $ | 389,761 | $ | 66,029 | |||||||||||||
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Balance at 12/31/10 | Balance at 06/30/11 | Purchases | Sales Proceeds | Dividend Income | Distributions of Realized Gains | |||||||||||||||||||
MyDestination 2015 Fund | ||||||||||||||||||||||||
Money Market Fund | $ | 4,387,484 | $ | 24,613,093 | $ | 39,049,231 | $ | 18,823,621 | $ | 224 | $ | — | ||||||||||||
Low-Duration Bond Fund | 17,164,782 | 20,057,493 | 3,170,000 | 510,000 | 79,123 | — | ||||||||||||||||||
Medium-Duration Bond Fund | 27,311,201 | 31,359,690 | 3,667,500 | 480,000 | 227,447 | — | ||||||||||||||||||
Extended-Duration Bond Fund | 10,190,119 | 10,859,319 | 712,000 | 455,500 | 221,437 | 42,988 | ||||||||||||||||||
Inflation Protected Bond Fund | 26,156,179 | 30,249,330 | 4,259,500 | 1,510,500 | 578,274 | 199,011 | ||||||||||||||||||
Global Bond Fund | 10,702,898 | 11,550,641 | 508,000 | 240,500 | 293,618 | — | ||||||||||||||||||
Equity Index Fund | 6,630,569 | 4,836,638 | 500,860 | 2,582,500 | 46,891 | 33,242 | ||||||||||||||||||
Real Estate Securities Fund | 13,706,233 | 15,255,235 | 778,000 | 874,500 | 36,241 | — | ||||||||||||||||||
Value Equity Fund | 38,315,149 | 37,282,748 | 2,284,000 | 5,829,500 | 386,077 | — | ||||||||||||||||||
Growth Equity Fund | 37,854,982 | 37,888,497 | 3,736,100 | 5,622,500 | — | — | ||||||||||||||||||
Small Cap Equity Fund | 10,812,318 | 10,368,971 | 447,500 | 2,012,500 | — | — | ||||||||||||||||||
International Equity Fund | 39,170,524 | 40,094,926 | 3,400,545 | 4,260,500 | — | — | ||||||||||||||||||
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$ | 242,402,438 | $ | 274,416,581 | $ | 62,513,236 | $ | 43,202,121 | $ | 1,869,332 | $ | 275,241 | |||||||||||||
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MyDestination 2025 Fund | ||||||||||||||||||||||||
Money Market Fund | $ | 3,800,041 | $ | 22,179,430 | $ | 35,878,303 | $ | 17,498,915 | $ | 232 | $ | — | ||||||||||||
Low-Duration Bond Fund | 2,286,679 | 3,288,970 | 969,000 | — | 11,988 | — | ||||||||||||||||||
Medium-Duration Bond Fund | 17,831,697 | 21,334,562 | 3,812,000 | 893,500 | 153,555 | — | ||||||||||||||||||
Extended-Duration Bond Fund | 16,886,834 | 18,321,945 | 2,289,500 | 1,565,500 | 374,252 | 73,593 | ||||||||||||||||||
Inflation Protected Bond Fund | 2,296,373 | 3,982,217 | 1,591,500 | 50,000 | 65,611 | 19,379 | ||||||||||||||||||
Global Bond Fund | 16,204,972 | 18,047,550 | 1,844,500 | 892,000 | 453,997 | — | ||||||||||||||||||
Equity Index Fund | 7,476,167 | 5,683,934 | 842,000 | 2,967,000 | 55,105 | 39,066 | ||||||||||||||||||
Real Estate Securities Fund | 15,487,104 | 17,531,995 | 793,500 | 594,000 | 41,650 | — | ||||||||||||||||||
Value Equity Fund | 44,925,330 | 47,940,019 | 3,926,680 | 4,003,500 | 496,437 | — | ||||||||||||||||||
Growth Equity Fund | 44,322,232 | 48,760,666 | 6,408,700 | 4,469,000 | — | — | ||||||||||||||||||
Small Cap Equity Fund | 15,170,770 | 16,150,774 | 1,519,000 | 2,195,000 | — | — | ||||||||||||||||||
International Equity Fund | 47,547,848 | 52,826,394 | 5,413,920 | 2,455,000 | — | — | ||||||||||||||||||
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$ | 234,236,047 | $ | 276,048,456 | $ | 65,288,603 | $ | 37,583,415 | $ | 1,652,827 | $ | 132,038 | |||||||||||||
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MyDestination 2035 Fund | ||||||||||||||||||||||||
Money Market Fund | $ | 2,254,225 | $ | 3,054,653 | $ | 24,240,296 | $ | 23,439,868 | $ | — | $ | — | ||||||||||||
Medium-Duration Bond Fund | 2,685,978 | 3,089,788 | 721,000 | 407,500 | 23,007 | — | ||||||||||||||||||
Extended-Duration Bond Fund | 2,716,597 | 3,093,406 | 557,000 | 303,000 | 62,595 | 12,181 | ||||||||||||||||||
Global Bond Fund | 4,859,225 | 6,918,951 | 1,779,500 | — | 146,773 | — | ||||||||||||||||||
Equity Index Fund | 4,003,220 | 3,140,928 | 598,000 | 1,638,000 | 30,175 | 21,392 | ||||||||||||||||||
Real Estate Securities Fund | 7,808,060 | 8,978,460 | 434,000 | 200,000 | 21,279 | — | ||||||||||||||||||
Value Equity Fund | 24,439,112 | 29,336,954 | 3,126,850 | 16,500 | 301,511 | — | ||||||||||||||||||
Growth Equity Fund | 24,472,766 | 29,331,430 | 3,730,750 | 401,500 | — | — | ||||||||||||||||||
Small Cap Equity Fund | 9,584,676 | 10,991,283 | 769,000 | 453,000 | — | — | ||||||||||||||||||
International Equity Fund | 26,840,516 | 33,879,053 | 6,115,040 | 495,000 | — | — | ||||||||||||||||||
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$ | 109,664,375 | $ | 131,814,906 | $ | 42,071,436 | $ | 27,354,368 | $ | 585,340 | $ | 33,573 | |||||||||||||
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Balance at 12/31/10 | Balance at 06/30/11 | Purchases | Sales Proceeds | Dividend Income | Distributions of Realized Gains | |||||||||||||||||||
MyDestination 2045 Fund | ||||||||||||||||||||||||
Money Market Fund | $ | 2,192,973 | $ | 1,987,131 | $ | 11,949,770 | $ | 12,155,611 | $ | — | $ | — | ||||||||||||
Global Bond Fund | — | 349,997 | 344,500 | — | 4,049 | — | ||||||||||||||||||
Equity Index Fund | 3,597,917 | 2,798,746 | 655,500 | 1,611,000 | 27,134 | 19,236 | ||||||||||||||||||
Real Estate Securities Fund | 7,480,868 | 8,382,213 | 734,000 | 710,000 | 19,913 | — | ||||||||||||||||||
Value Equity Fund | 17,371,474 | 21,422,727 | 3,777,340 | 996,000 | 221,940 | — | ||||||||||||||||||
Growth Equity Fund | 17,253,914 | 21,812,065 | 3,942,350 | 480,000 | — | — | ||||||||||||||||||
Small Cap Equity Fund | 7,258,225 | 7,524,655 | 1,209,500 | 1,705,000 | — | — | ||||||||||||||||||
International Equity Fund | 19,774,485 | 24,335,823 | 4,648,846 | 1,104,000 | — | — | ||||||||||||||||||
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$ | 74,929,856 | $ | 88,613,357 | $ | 27,261,806 | $ | 18,761,611 | $ | 273,036 | $ | 19,236 | |||||||||||||
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Conservative Allocation Fund | ||||||||||||||||||||||||
Money Market Fund | $ | 9,896,880 | $ | 11,541,879 | $ | 22,196,443 | $ | 20,551,444 | $ | — | $ | — | ||||||||||||
Low-Duration Bond Fund | 151,420,411 | 159,422,552 | 7,804,430 | 1,749,728 | 648,742 | — | ||||||||||||||||||
Inflation Protected Bond Fund | 37,948,411 | 40,319,918 | 1,188,000 | 637,657 | 781,092 | 274,357 | ||||||||||||||||||
Equity Index Fund | 3,979,058 | 2,872,729 | 122,000 | 1,408,037 | 27,851 | 19,744 | ||||||||||||||||||
Value Equity Fund | 17,850,550 | 18,077,706 | 545,000 | 1,540,241 | 187,201 | — | ||||||||||||||||||
Growth Equity Fund | 17,783,462 | 18,613,143 | 1,285,000 | 1,440,203 | — | — | ||||||||||||||||||
Small Cap Equity Fund | 4,371,878 | 4,396,926 | 73,000 | 508,042 | — | — | ||||||||||||||||||
International Equity Fund | 19,379,706 | 19,206,127 | 194,000 | 1,244,127 | — | — | ||||||||||||||||||
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$ | 262,630,356 | $ | 274,450,980 | $ | 33,407,873 | $ | 29,079,479 | $ | 1,644,886 | $ | 294,101 | |||||||||||||
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Balanced Allocation Fund | ||||||||||||||||||||||||
Money Market Fund | $ | 15,760,681 | $ | 60,850,570 | $ | 78,831,302 | $ | 33,741,414 | $ | 965 | $ | — | ||||||||||||
Low-Duration Bond Fund | 159,599,982 | 165,460,147 | 3,840,000 | — | 675,884 | — | ||||||||||||||||||
Medium-Duration Bond Fund | 230,733,468 | 240,038,590 | 2,950,000 | 400,000 | 1,780,249 | — | ||||||||||||||||||
Extended-Duration Bond Fund | 91,023,291 | 95,062,443 | 4,900,000 | 4,500,000 | 1,976,530 | 384,837 | ||||||||||||||||||
Global Bond Fund | 53,160,144 | 56,190,508 | 1,800,000 | 1,620,000 | 1,443,114 | — | ||||||||||||||||||
Equity Index Fund | 34,267,563 | 23,627,553 | 500,000 | 12,650,000 | 233,050 | 165,216 | ||||||||||||||||||
Value Equity Fund | 158,863,675 | 155,217,420 | — | 14,400,000 | 1,607,335 | — | ||||||||||||||||||
Growth Equity Fund | 155,709,280 | 158,321,650 | 600,000 | 6,600,000 | — | — | ||||||||||||||||||
Small Cap Equity Fund | 37,898,076 | 38,516,049 | — | 3,400,000 | — | — | ||||||||||||||||||
International Equity Fund | 165,142,915 | 168,333,344 | — | 4,500,000 | — | — | ||||||||||||||||||
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$ | 1,102,159,075 | $ | 1,161,618,274 | $ | 93,421,302 | $ | 81,811,414 | $ | 7,717,127 | $ | 550,053 | |||||||||||||
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Balance at 12/31/10 | Balance at 06/30/11 | Purchases | Sales Proceeds | Dividend Income | Distributions of Realized Gains | |||||||||||||||||||
Growth Allocation Fund | ||||||||||||||||||||||||
Money Market Fund | $ | 15,088,874 | $ | 15,068,297 | $ | 26,904,148 | $ | 26,924,724 | $ | 726 | $ | — | ||||||||||||
Low-Duration Bond Fund | 58,594,392 | 62,299,694 | 2,956,000 | — | 252,900 | — | ||||||||||||||||||
Medium-Duration Bond Fund | 85,978,945 | 89,292,134 | 1,000,000 | 200,000 | 662,981 | — | ||||||||||||||||||
Extended-Duration Bond Fund | 33,698,549 | 34,851,310 | 2,700,000 | 2,950,000 | 746,613 | 146,049 | ||||||||||||||||||
Global Bond Fund | 19,930,270 | 21,073,191 | 600,000 | 525,000 | 539,106 | — | ||||||||||||||||||
Equity Index Fund | 38,863,303 | 26,631,041 | — | 13,939,000 | 258,186 | 183,035 | ||||||||||||||||||
Value Equity Fund | 179,562,544 | 186,197,717 | 4,100,000 | 10,200,000 | 1,928,148 | — | ||||||||||||||||||
Growth Equity Fund | 176,092,878 | 188,323,931 | 4,500,000 | 2,700,000 | — | — | ||||||||||||||||||
Small Cap Equity Fund | 42,821,695 | 45,680,763 | — | 1,845,000 | — | — | ||||||||||||||||||
International Equity Fund | 184,994,524 | 202,160,495 | 8,000,000 | — | — | — | ||||||||||||||||||
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$ | 835,625,974 | $ | 871,578,573 | $ | 50,760,148 | $ | 59,283,724 | $ | 4,388,660 | $ | 329,084 | |||||||||||||
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Aggressive Allocation Fund | ||||||||||||||||||||||||
Money Market Fund | $ | 17,614,735 | $ | 14,449,087 | $ | 22,366,170 | $ | 25,531,818 | $ | 716 | $ | — | ||||||||||||
Equity Index Fund | 45,524,758 | 31,138,708 | 8,445,000 | 16,383,000 | 301,887 | 214,016 | ||||||||||||||||||
Value Equity Fund | 207,607,061 | 217,332,680 | — | 4,969,000 | 2,250,562 | — | ||||||||||||||||||
Growth Equity Fund | 202,007,163 | 222,523,293 | — | — | — | — | ||||||||||||||||||
Small Cap Equity Fund | 51,156,592 | 53,410,328 | — | 3,358,000 | — | — | ||||||||||||||||||
International Equity Fund | 219,098,245 | 237,589,471 | 13,765,000 | 6,300,000 | — | — | ||||||||||||||||||
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$ | 743,008,554 | $ | 776,443,567 | $ | 44,576,170 | $ | 56,541,818 | $ | 2,553,165 | $ | 214,016 | |||||||||||||
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Conservative Allocation Fund I | ||||||||||||||||||||||||
Money Market Fund | $ | 1,137,030 | $ | 3,447,726 | $ | 9,026,796 | $ | 6,716,099 | $ | 802 | $ | — | ||||||||||||
Low-Duration Bond Fund | 42,348,640 | 44,206,469 | 2,892,587 | 1,598,000 | 317,490 | — | ||||||||||||||||||
Inflation Protected Bond Fund | 10,610,228 | 11,180,576 | 759,657 | 686,000 | 214,649 | 75,722 | ||||||||||||||||||
Equity Index Fund | 1,113,015 | 799,241 | 78,035 | 442,000 | 16,046 | 10,409 | ||||||||||||||||||
Value Equity Fund | 4,992,861 | 5,019,806 | 444,263 | 760,000 | 111,390 | — | ||||||||||||||||||
Growth Equity Fund | 4,971,544 | 5,162,480 | 588,193 | 670,000 | — | — | ||||||||||||||||||
Small Cap Equity Fund | 1,225,339 | 1,219,410 | 83,048 | 216,000 | — | — | ||||||||||||||||||
International Equity Fund | 5,423,583 | 5,324,065 | 321,143 | 665,000 | — | — | ||||||||||||||||||
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$ | 71,822,240 | $ | 76,359,773 | $ | 14,193,722 | $ | 11,753,099 | $ | 660,377 | $ | 86,131 | |||||||||||||
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Balanced Allocation Fund I | ||||||||||||||||||||||||
Money Market Fund | $ | 2,747,513 | $ | 17,410,328 | $ | 28,005,289 | $ | 13,342,474 | $ | 2,708 | $ | — | ||||||||||||
Low-Duration Bond Fund | 50,122,605 | 51,261,342 | 1,480,000 | 1,000,000 | 371,520 | — | ||||||||||||||||||
Medium-Duration Bond Fund | 72,518,533 | 74,380,692 | 844,000 | 1,100,000 | 1,118,019 | — | ||||||||||||||||||
Extended-Duration Bond Fund | 28,558,045 | 29,536,104 | 1,436,000 | 1,624,000 | 1,517,109 | 281,560 | ||||||||||||||||||
Global Bond Fund | 16,685,078 | 17,409,048 | 608,000 | 769,000 | 447,155 | — | ||||||||||||||||||
Equity Index Fund | 10,753,267 | 7,315,170 | 188,000 | 4,104,000 | 149,334 | 96,872 | ||||||||||||||||||
Value Equity Fund | 49,869,304 | 48,048,864 | 232,000 | 5,464,000 | 1,066,244 | — | ||||||||||||||||||
Growth Equity Fund | 48,872,324 | 49,041,662 | 440,000 | 2,980,000 | — | — | ||||||||||||||||||
Small Cap Equity Fund | 11,898,428 | 11,929,296 | 80,000 | 1,304,000 | — | — | ||||||||||||||||||
International Equity Fund | 51,884,281 | 52,132,957 | 280,000 | 2,456,000 | — | — | ||||||||||||||||||
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$ | 343,909,378 | $ | 358,465,463 | $ | 33,593,289 | $ | 34,143,474 | $ | 4,672,089 | $ | 378,432 | |||||||||||||
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Balance at 12/31/10 | Balance at 06/30/11 | Purchases | Sales Proceeds | Dividend Income | Distributions of Realized Gains | |||||||||||||||||||
Growth Allocation Fund I | ||||||||||||||||||||||||
Money Market Fund | $ | 2,983,368 | $ | 4,804,246 | $ | 10,390,931 | $ | 8,570,053 | $ | 2,226 | $ | — | ||||||||||||
Low-Duration Bond Fund | 16,346,241 | 17,328,951 | 907,000 | 144,000 | 124,470 | — | ||||||||||||||||||
Medium-Duration Bond Fund | 24,007,290 | 24,856,986 | 540,000 | 400,000 | 373,278 | — | ||||||||||||||||||
Extended-Duration Bond Fund | 9,393,510 | 9,697,987 | 796,000 | 896,000 | 515,973 | 95,934 | ||||||||||||||||||
Global Bond Fund | 5,555,730 | 5,855,930 | 192,000 | 189,000 | 149,642 | — | ||||||||||||||||||
Equity Index Fund | 10,837,035 | 7,407,596 | 120,000 | 4,028,000 | 148,230 | 96,156 | ||||||||||||||||||
Value Equity Fund | 50,083,969 | 51,791,701 | 1,128,000 | 3,000,000 | 1,139,672 | — | ||||||||||||||||||
Growth Equity Fund | 49,105,636 | 52,435,464 | 1,312,000 | 892,000 | — | — | ||||||||||||||||||
Small Cap Equity Fund | 11,945,987 | 12,708,207 | 52,000 | 600,000 | — | — | ||||||||||||||||||
International Equity Fund | 51,638,527 | 56,272,595 | 2,636,000 | 588,000 | — | — | ||||||||||||||||||
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$ | 231,897,293 | $ | 243,159,663 | $ | 18,073,931 | $ | 19,307,053 | $ | 2,453,491 | $ | 192,090 | |||||||||||||
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Aggressive Allocation Fund I | ||||||||||||||||||||||||
Money Market Fund | $ | 2,697,371 | $ | 2,112,171 | $ | 6,616,230 | $ | 7,201,430 | $ | — | $ | — | ||||||||||||
Equity Index Fund | 9,675,471 | 6,561,965 | 92,000 | 3,632,000 | 131,744 | 85,461 | ||||||||||||||||||
Value Equity Fund | 44,137,128 | 45,832,737 | 304,000 | 1,764,000 | 1,018,636 | — | ||||||||||||||||||
Growth Equity Fund | 42,940,300 | 46,916,448 | 1,828,000 | 412,000 | — | — | ||||||||||||||||||
Small Cap Equity Fund | 10,879,974 | 11,254,643 | 64,000 | 876,000 | — | — | ||||||||||||||||||
International Equity Fund | 46,619,540 | 50,073,738 | 2,792,000 | 1,692,000 | — | — | ||||||||||||||||||
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$ | 156,949,784 | $ | 162,751,702 | $ | 11,696,230 | $ | 15,577,430 | $ | 1,150,380 | $ | 85,461 | |||||||||||||
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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, 2011, 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 | $ | 44,137,504 | $ | 51,917,671 | $ | — | $ | 51,917,671 | ||||||||
Low-Duration Bond | 120,492,797 | 97,023,548 | 5,148,210 | 102,171,758 | ||||||||||||
Medium-Duration Bond | 83,989,194 | 98,995,617 | 2,297,871 | 101,293,488 | ||||||||||||
Extended-Duration Bond | 43,715,470 | 45,361,796 | 1,156,575 | 46,518,371 | ||||||||||||
Inflation Protected Bond | 56,688,068 | 51,391,241 | 9,856,517 | 61,247,758 | ||||||||||||
Global Bond | 32,045,209 | 28,691,757 | 3,416,307 | 32,108,064 | ||||||||||||
Equity Index | 25,634,525 | 24,719,987 | 85,627 | 24,805,614 | ||||||||||||
Real Estate Securities | 61,463,354 | 59,668,352 | — | 59,668,352 | ||||||||||||
Value Equity | 90,241,251 | 84,857,238 | 73,278 | 84,930,516 | ||||||||||||
Growth Equity | 198,454,577 | 128,920,885 | 575,211 | 129,496,096 | ||||||||||||
Small Cap Equity | 230,038,444 | 231,916,927 | 1,110,416 | 233,027,343 | ||||||||||||
International Equity | 61,634,949 | 56,992,898 | 5,098,902 | 62,091,800 |
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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, 2011, 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 | 1.73 | % | 0.96 | % | — | 6.63 | % | 0.16 | % | 0.20 | % | 1.02 | % | 0.40 | % | 0.41 | % | 0.29 | % | 0.43 | % | |||||||||||||||||||||||
MyDestination 2015 | 2.46 | 2.88 | 2.18 | % | 23.21 | 6.57 | 1.16 | 9.48 | 2.54 | 2.62 | 1.90 | 2.78 | ||||||||||||||||||||||||||||||||
MyDestination 2025 | 0.40 | 1.96 | 3.67 | 3.06 | 10.26 | 1.36 | 10.90 | 3.26 | 3.37 | 2.97 | 3.66 | |||||||||||||||||||||||||||||||||
MyDestination 2035 | — | 0.28 | 0.62 | — | 3.93 | 0.75 | 5.58 | 2.00 | 2.03 | 2.02 | 2.35 | |||||||||||||||||||||||||||||||||
MyDestination 2045 | — | — | — | — | 0.20 | 0.67 | 5.21 | 1.46 | 1.51 | 1.38 | 1.69 | |||||||||||||||||||||||||||||||||
Conservative Allocation | 19.58 | — | — | 30.93 | — | 0.69 | — | 1.23 | 1.29 | 0.81 | 1.33 | |||||||||||||||||||||||||||||||||
Balanced Allocation | 20.32 | 22.03 | 19.05 | — | 31.95 | 5.67 | — | 10.56 | 10.95 | 7.07 | 11.67 | |||||||||||||||||||||||||||||||||
Growth Allocation | 7.65 | 8.19 | 6.99 | — | 11.98 | 6.39 | — | 12.67 | 13.02 | 8.39 | 14.02 | |||||||||||||||||||||||||||||||||
Aggressive Allocation | — | — | — | — | — | 7.47 | — | 14.79 | 15.39 | 9.81 | 16.47 | |||||||||||||||||||||||||||||||||
Conservative Allocation I | 8.28 | — | — | 8.58 | — | 0.37 | — | 0.68 | 0.57 | 0.34 | 0.48 | |||||||||||||||||||||||||||||||||
Balanced Allocation I | 9.60 | 12.94 | 14.39 | — | 9.90 | 3.38 | — | 6.50 | 5.38 | 3.30 | 4.69 | |||||||||||||||||||||||||||||||||
Growth Allocation I | 3.24 | 4.33 | 4.72 | — | 3.33 | 3.43 | — | 7.01 | 5.75 | 3.51 | 5.06 | |||||||||||||||||||||||||||||||||
Aggressive Allocation I | — | — | — | — | — | 3.04 | — | 6.20 | 5.15 | 3.11 | 4.50 |
6. INVESTMENT TRANSACTIONS
For the six months ended June 30, 2011, 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 | $ | 6,415,102 | $ | 6,260,081 | $ | — | $ | — | ||||||||
MyDestination 2015 | 25,608,354 | 24,378,500 | 5,220,805 | 8,068,837 | ||||||||||||
MyDestination 2025 | 31,194,934 | 20,084,500 | 4,175,902 | 5,408,354 | ||||||||||||
MyDestination 2035 | 18,450,882 | 3,914,500 | 826,853 | 1,039,284 | ||||||||||||
MyDestination 2045 | 15,604,208 | 6,606,000 | — | — | ||||||||||||
Conservative Allocation | 13,150,151 | 8,528,036 | — | — | ||||||||||||
Balanced Allocation | 22,856,215 | 48,070,000 | 20,937,154 | 38,941,511 | ||||||||||||
Growth Allocation | 28,573,017 | 32,359,000 | 8,946,798 | 14,522,086 | ||||||||||||
Aggressive Allocation | 24,976,465 | 31,010,000 | — | — | ||||||||||||
Conservative Allocation I | 5,503,124 | 5,037,000 | — | — | ||||||||||||
Balanced Allocation I | 25,848,342 | 20,801,000 | 11,657,892 | 11,701,740 | ||||||||||||
Growth Allocation I | 10,326,355 | 10,737,000 | 2,904,695 | 3,987,740 | ||||||||||||
Aggressive Allocation I | 10,173,697 | 8,376,000 | — | — | ||||||||||||
Low-Duration Bond | 495,045,982 | 418,252,034 | 298,810,152 | 287,963,245 | ||||||||||||
Medium-Duration Bond | 2,495,594,613 | 2,535,761,884 | 238,567,907 | 243,045,969 | ||||||||||||
Extended-Duration Bond | 61,452,727 | 86,898,796 | 28,808,396 | 29,011,840 | ||||||||||||
Inflation Protected Bond | — | — | 68,086,355 | 59,324,915 | ||||||||||||
Global Bond | 57,790,107 | 55,839,325 | 465,000 | 3,313,753 | ||||||||||||
Equity Index | 7,041,697 | 73,266,325 | — | — | ||||||||||||
Real Estate Securities | 64,268,107 | 60,869,361 | — | — | ||||||||||||
Value Equity | 236,419,521 | 263,348,816 | — | — |
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Table of Contents
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 | |||||||||||||
Growth Equity | $ | 407,477,812 | $ | 429,872,789 | $ | — | $ | — | ||||||||
Small Cap Equity | 409,640,417 | 418,630,107 | 32,614,262 | 418,630,107 | ||||||||||||
International Equity | 714,561,228 | 725,627,779 | — | — |
Futures Contracts
Investments as of June 30, 2011, 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:
Fund/Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Counter- party | Net Unrealized Appreciation (Depreciation) on Futures | |||||||||||||||
MyDestination 2005 Fund | ||||||||||||||||||||
5-Year U.S. Treasury Note | 10/2011 | 9 | $ | 1,072,758 | GSC | $ | (5,845 | ) | ||||||||||||
MSCI EAFE Index E-Mini | 09/2011 | 5 | 428,975 | GSC | 23,649 | |||||||||||||||
MSCI Emerging Markets E-Mini | 09/2011 | 2 | 115,600 | GSC | 5,653 | |||||||||||||||
S&P 500® E-Mini | 09/2011 | 20 | 1,315,500 | GSC | 50,746 | |||||||||||||||
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$ | 2,932,833 | $ | 74,203 | |||||||||||||||||
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MyDestination 2015 Fund | ||||||||||||||||||||
5-Year U.S. Treasury Note | 10/2011 | 93 | $ | 11,085,164 | GSC | $ | (54,348 | ) | ||||||||||||
MSCI EAFE Index E-Mini | 09/2011 | 30 | 2,573,850 | GSC | 135,605 | |||||||||||||||
MSCI Emerging Markets E-Mini | 09/2011 | 14 | 809,200 | GSC | 39,573 | |||||||||||||||
S&P 500® E-Mini | 09/2011 | 150 | 9,866,250 | GSC | 398,119 | |||||||||||||||
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$ | 24,334,464 | $ | 518,949 | |||||||||||||||||
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MyDestination 2025 Fund | ||||||||||||||||||||
10-Year U.S. Treasury Note | 09/2011 | 85 | $ | 10,397,891 | GSC | $ | (105,484 | ) | ||||||||||||
MSCI EAFE Index E-Mini | 09/2011 | 35 | 3,002,825 | GSC | 164,239 | |||||||||||||||
MSCI Emerging Markets E-Mini | 09/2011 | 14 | 809,200 | GSC | 39,573 | |||||||||||||||
S&P 500® E-Mini | 09/2011 | 150 | 9,866,250 | GSC | 387,027 | |||||||||||||||
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$ | 24,076,166 | $ | 485,355 | |||||||||||||||||
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MyDestination 2035 Fund | ||||||||||||||||||||
10-Year U.S. Treasury Note | 09/2011 | 2 | $ | 244,656 | GSC | $ | 1,813 | |||||||||||||
MSCI EAFE Index E-Mini | 09/2011 | 7 | 600,565 | GSC | 19,999 | |||||||||||||||
MSCI Emerging Markets E-Mini | 09/2011 | 3 | 173,400 | GSC | 5,338 | |||||||||||||||
S&P 500® E-Mini | 09/2011 | 24 | 1,578,600 | GSC | 33,800 | |||||||||||||||
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$ | 2,597,221 | $ | 60,950 | |||||||||||||||||
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MyDestination 2045 Fund | ||||||||||||||||||||
MSCI EAFE Index E-Mini | 09/2011 | 4 | $ | 343,180 | GSC | $ | 12,049 | |||||||||||||
MSCI Emerging Markets E-Mini | 09/2011 | 3 | 173,400 | GSC | 5,337 | |||||||||||||||
S&P 500® E-Mini | 09/2011 | 25 | 1,644,375 | GSC | 45,338 | |||||||||||||||
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$ | 2,160,955 | $ | 62,724 | |||||||||||||||||
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Conservative Allocation Fund | ||||||||||||||||||||
2-Year U.S. Treasury Note | 10/2011 | 28 | $ | 6,141,625 | GSC | $ | (281 | ) | ||||||||||||
MSCI EAFE Index E-Mini | 09/2011 | 11 | 943,745 | GSC | 52,028 | |||||||||||||||
MSCI Emerging Markets E-Mini | 09/2011 | 6 | 346,800 | GSC | 16,959 | |||||||||||||||
S&P 500® E-Mini | 09/2011 | 53 | 3,486,075 | GSC | 137,496 | |||||||||||||||
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$ | 10,918,245 | $ | 206,202 | |||||||||||||||||
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177
Table of Contents
Fund/Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Counter- party | Net Unrealized Appreciation (Depreciation) on Futures | |||||||||||||||
Balanced Allocation Fund | ||||||||||||||||||||
10-Year U.S. Treasury Note | 09/2011 | 63 | $ | 7,706,672 | GSC | $ | (29,983 | ) | ||||||||||||
5-Year U.S. Treasury Note | 10/2011 | 107 | 12,753,898 | GSC | (16,456 | ) | ||||||||||||||
Long U.S. Treasury Bond | 09/2011 | 42 | 5,167,313 | GSC | (65,594 | ) | ||||||||||||||
MSCI EAFE Index E-Mini | 09/2011 | 85 | 7,292,575 | GSC | 397,127 | |||||||||||||||
MSCI Emerging Markets E-Mini | 09/2011 | 43 | 2,485,400 | GSC | 121,545 | |||||||||||||||
S&P 500® E-Mini | 09/2011 | 338 | 22,231,950 | GSC | 879,754 | |||||||||||||||
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$ | 57,637,808 | $ | 1,286,393 | |||||||||||||||||
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Growth Allocation Fund | ||||||||||||||||||||
10-Year U.S. Treasury Note | 09/2011 | 8 | $ | 978,625 | GSC | $ | 1,250 | |||||||||||||
5-Year U.S. Treasury Note | 10/2011 | 14 | 1,668,735 | GSC | 8,464 | |||||||||||||||
Long U.S. Treasury Bond | 09/2011 | 5 | 615,156 | GSC | (2,188 | ) | ||||||||||||||
MSCI EAFE Index E-Mini | 09/2011 | 33 | 2,831,235 | GSC | 98,712 | |||||||||||||||
MSCI Emerging Markets E-Mini | 09/2011 | 15 | 867,000 | GSC | 26,688 | |||||||||||||||
S&P 500® E-Mini | 09/2011 | 130 | 8,550,750 | GSC | 212,025 | |||||||||||||||
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$ | 15,511,501 | $ | 344,951 | |||||||||||||||||
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Aggressive Allocation Fund | ||||||||||||||||||||
MSCI EAFE Index E-Mini | 09/2011 | 40 | $ | 3,431,800 | GSC | $ | 120,487 | |||||||||||||
MSCI Emerging Markets E-Mini | 09/2011 | 22 | 1,271,600 | GSC | 38,536 | |||||||||||||||
S&P 500® E-Mini | 09/2011 | 166 | 10,918,650 | GSC | 278,050 | |||||||||||||||
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$ | 15,622,050 | $ | 437,073 | |||||||||||||||||
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Conservative Allocation Fund I | ||||||||||||||||||||
2-Year U.S. Treasury Note | 10/2011 | 8 | $ | 1,754,750 | GSC | $ | 328 | |||||||||||||
MSCI EAFE Index E-Mini | 09/2011 | 3 | 257,385 | GSC | 14,189 | |||||||||||||||
MSCI Emerging Markets E-Mini | 09/2011 | 2 | 115,600 | GSC | 5,653 | |||||||||||||||
S&P 500® E-Mini | 09/2011 | 16 | 1,052,400 | GSC | 42,646 | |||||||||||||||
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$ | 3,180,135 | $ | 62,816 | |||||||||||||||||
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Balanced Allocation Fund I | ||||||||||||||||||||
10-Year U.S. Treasury Note | 09/2011 | 19 | $ | 2,324,234 | GSC | $ | (12,140 | ) | ||||||||||||
5-Year U.S. Treasury Note | 10/2011 | 31 | 3,695,055 | GSC | (10,083 | ) | ||||||||||||||
Long U.S. Treasury Bond | 09/2011 | 11 | 1,353,344 | GSC | (19,891 | ) | ||||||||||||||
MSCI EAFE Index E-Mini | 09/2011 | 23 | 1,973,285 | GSC | 108,786 | |||||||||||||||
MSCI Emerging Markets E-Mini | 09/2011 | 13 | 751,400 | GSC | 36,746 | |||||||||||||||
S&P 500® E-Mini | 09/2011 | 98 | 6,445,950 | GSC | 252,336 | |||||||||||||||
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$ | 16,543,268 | $ | 355,754 | |||||||||||||||||
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Growth Allocation Fund I | ||||||||||||||||||||
10-Year U.S. Treasury Note | 09/2011 | 2 | $ | 244,656 | GSC | $ | 1,813 | |||||||||||||
5-Year U.S. Treasury Note | 10/2011 | 4 | 476,781 | GSC | 2,543 | |||||||||||||||
Long U.S. Treasury Bond | 09/2011 | 2 | 246,063 | GSC | (3,734 | ) | ||||||||||||||
MSCI EAFE Index E-Mini | 09/2011 | 10 | 857,950 | GSC | 24,327 | |||||||||||||||
MSCI Emerging Markets E-Mini | 09/2011 | 5 | 289,000 | GSC | 8,896 | |||||||||||||||
S&P 500® E-Mini | 09/2011 | 41 | 2,696,775 | GSC | 75,607 | |||||||||||||||
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$ | 4,811,225 | $ | 109,452 | |||||||||||||||||
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Aggressive Allocation Fund I | ||||||||||||||||||||
MSCI EAFE Index E-Mini | 09/2011 | 6 | $ | 514,770 | GSC | $ | 18,073 | |||||||||||||
MSCI Emerging Markets E-Mini | 09/2011 | 4 | 231,200 | GSC | 7,117 | |||||||||||||||
S&P 500® E-Mini | 09/2011 | 25 | 1,644,375 | GSC | 45,836 | |||||||||||||||
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$ | 2,390,345 | $ | 71,026 | |||||||||||||||||
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178
Table of Contents
Fund/Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Counter- party | Net Unrealized Appreciation (Depreciation) on Futures | |||||||||||||||
Low Duration Bond Fund | ||||||||||||||||||||
90-Day EURIBOR | 09/2011 | 264 | $ | 94,054,642 | CITI | $ | 42,190 | |||||||||||||
90-Day Euro | 06/2012 | 2 | 496,925 | CITI | 3,507 | |||||||||||||||
90-Day Euro | 09/2012 | 2 | 495,900 | CITI | 4,357 | |||||||||||||||
90-Day Euro | 03/2013 | 2 | 493,400 | CITI | 4,945 | |||||||||||||||
90-Day Euro | 06/2013 | 3 | 738,113 | CITI | 6,967 | |||||||||||||||
90-Day Euro | 09/2013 | 2 | 490,775 | CITI | 4,845 | |||||||||||||||
90-Day Euro | 12/2013 | 2 | 489,425 | CITI | 4,720 | |||||||||||||||
Euro-BOBL | 09/2011 | 125 | 21,132,428 | CITI | (3,156 | ) | ||||||||||||||
90-Day Euro | 03/2012 | (3 | ) | (746,363 | ) | CITI | (6,146 | ) | ||||||||||||
90-Day Euro | 09/2011 | (1 | ) | (249,138 | ) | CITI | (378 | ) | ||||||||||||
90-Day Euro | 12/2011 | (1 | ) | (248,950 | ) | CITI | (428 | ) | ||||||||||||
5-Year U.S. Treasury Note | 10/2011 | (42 | ) | (5,006,203 | ) | CS | (25,921 | ) | ||||||||||||
90-Day Euro | 03/2012 | 14 | 3,483,025 | GSC | 12,825 | |||||||||||||||
90-Day Euro | 09/2011 | 119 | 29,647,363 | GSC | 8,722 | |||||||||||||||
90-Day Euro | 12/2011 | 252 | 62,735,400 | GSC | 175,687 | |||||||||||||||
10-Year U.S. Treasury Note | 09/2011 | (125 | ) | (15,291,016 | ) | GSC | (166,125 | ) | ||||||||||||
2-Year U.S. Treasury Note | 10/2011 | (37 | ) | (8,115,719 | ) | GSC | (11,117 | ) | ||||||||||||
5-Year U.S. Treasury Note | 10/2011 | (50 | ) | (5,959,766 | ) | GSC | (15,414 | ) | ||||||||||||
2-Year U.S. Treasury Note | 10/2011 | 292 | 64,048,375 | UBS | 67,883 | |||||||||||||||
90-Day Euro | 06/2013 | 1 | 246,038 | UBS | 422 | |||||||||||||||
5-Year U.S. Treasury Note | 10/2011 | (142 | ) | (16,925,734 | ) | UBS | (2,835 | ) | ||||||||||||
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$ | 226,008,920 | $ | 105,550 | |||||||||||||||||
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Medium-Duration Bond Fund | ||||||||||||||||||||
10-Year U.S. Treasury Note | 09/2011 | 8 | $ | 978,625 | BAR | $ | (7,323 | ) | ||||||||||||
Ultra Long U.S. Treasury Bond | 09/2011 | 2 | 252,500 | BAR | (2,921 | ) | ||||||||||||||
2-Year U.S. Treasury Note | 10/2011 | (42 | ) | (9,212,438 | ) | BAR | (20,105 | ) | ||||||||||||
5-Year U.S. Treasury Note | 10/2011 | (41 | ) | (4,887,008 | ) | BAR | (25,641 | ) | ||||||||||||
10-Year U.S. Treasury Note | 09/2011 | 30 | 3,669,844 | CITI | (28,733 | ) | ||||||||||||||
2-Year U.S. Treasury Note | 10/2011 | 93 | 20,398,969 | CITI | 36,299 | |||||||||||||||
5-Year U.S. Treasury Note | 10/2011 | 30 | 3,575,859 | CITI | (26,036 | ) | ||||||||||||||
90-Day Euro | 06/2012 | 3 | 745,388 | CITI | (344 | ) | ||||||||||||||
90-Day Euro | 09/2012 | 3 | 743,850 | CITI | (794 | ) | ||||||||||||||
90-Day Euro | 03/2013 | 3 | 740,100 | CITI | (1,507 | ) | ||||||||||||||
90-Day Euro | 06/2013 | 3 | 738,113 | CITI | (1,732 | ) | ||||||||||||||
90-Day Euro | 03/2012 | 3 | 746,363 | CITI | (44 | ) | ||||||||||||||
90-Day Euro | 09/2011 | 3 | 747,413 | CITI | 31 | |||||||||||||||
90-Day Euro | 12/2011 | 3 | 746,850 | CITI | 31 | |||||||||||||||
90-Day Euro | 12/2012 | 3 | 741,975 | CITI | (1,132 | ) | ||||||||||||||
Long U.S. Treasury Bond | 09/2011 | 3 | 369,094 | CITI | (5 | ) | ||||||||||||||
Ultra Long U.S. Treasury Bond | 09/2011 | 75 | 9,468,750 | CITI | (127,815 | ) | ||||||||||||||
10-Year U.S. Treasury Note | 09/2011 | 44 | 5,382,438 | DEUT | (70,885 | ) | ||||||||||||||
5-Year U.S. Treasury Note | 10/2011 | (15 | ) | (1,787,930 | ) | DEUT | 11,318 | |||||||||||||
10-Year U.S. Treasury Note | 09/2011 | 28 | 3,425,187 | GSC | 13,050 | |||||||||||||||
90-Day EURIBOR | 09/2011 | 341 | 121,487,246 | GSC | 54,926 | |||||||||||||||
90-Day EURIBOR | 03/2012 | 8 | 2,843,180 | GSC | 13,322 | |||||||||||||||
Euro-BOBL | 09/2011 | 91 | 15,384,408 | GSC | 31,216 | |||||||||||||||
2-Year U.S. Treasury Note | 10/2011 | (4 | ) | (877,375 | ) | GSC | (826 | ) | ||||||||||||
5-Year U.S. Treasury Note | 10/2011 | (63 | ) | (7,509,305 | ) | GSC | (29,064 | ) | ||||||||||||
10-Year U.S. Treasury Note | 09/2011 | 40 | 4,893,125 | JPM | 44,870 | |||||||||||||||
2-Year U.S. Treasury Note | 10/2011 | 191 | 41,894,656 | JPM | (54,034 | ) | ||||||||||||||
90-Day Euro | 03/2012 | 41 | 10,200,288 | JPM | 40,338 |
179
Table of Contents
Fund/Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Counter- party | Net Unrealized Appreciation (Depreciation) on Futures | |||||||||||||||
90-Day Euro | 12/2011 | 394 | $ | 98,086,300 | JPM | $ | 284,313 | |||||||||||||
Euro-BOBL | 09/2011 | 261 | 44,124,511 | JPM | (42,753 | ) | ||||||||||||||
10-Year U.S. Treasury Note | 09/2011 | (125 | ) | (15,291,016 | ) | JPM | (166,126 | ) | ||||||||||||
5-Year U.S. Treasury Note | 10/2011 | (13 | ) | (1,549,539 | ) | JPM | 9,871 | |||||||||||||
Long U.S. Treasury Bond | 09/2011 | (100 | ) | (12,303,125 | ) | JPM | 91,691 | |||||||||||||
5-Year U.S. Treasury Note | 10/2011 | (20 | ) | (2,383,906 | ) | MFG | 16,052 | |||||||||||||
10-Year U.S. Treasury Note | 09/2011 | 18 | 2,201,906 | MLCS | 20,052 | |||||||||||||||
90-Day EURIBOR | 09/2011 | 54 | 19,238,449 | MLCS | 23,563 | |||||||||||||||
90-Day Euro | 09/2011 | 107 | 26,657,713 | MLCS | 7,842 | |||||||||||||||
Ultra Long U.S. Treasury Bond | 09/2011 | 11 | 1,388,750 | MLCS | (25,973 | ) | ||||||||||||||
5-Year U.S. Treasury Note | 10/2011 | (35 | ) | (4,171,836 | ) | MLCS | 16,449 | |||||||||||||
Ultra Long U.S. Treasury Bond | 09/2011 | 1 | 126,250 | MSCS | (886 | ) | ||||||||||||||
5-Year U.S. Treasury Note | 10/2011 | (32 | ) | (3,814,250 | ) | MSCS | (31,995 | ) | ||||||||||||
5-Year U.S. Treasury Note | 10/2011 | (38 | ) | (4,529,423 | ) | RBS | 24,486 | |||||||||||||
2-Year U.S. Treasury Note | 10/2011 | (1 | ) | (219,344 | ) | UBS | (222 | ) | ||||||||||||
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$ | 373,461,605 | $ | 72,824 | |||||||||||||||||
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Inflation Protected Bond Fund | ||||||||||||||||||||
10-Year U.S. Treasury Note | 09/2011 | 15 | $ | 1,834,922 | JPM | $ | (7,994 | ) | ||||||||||||
10-Year U.S. Treasury Note | 09/2011 | 39 | 4,770,797 | UBS | (39,685 | ) | ||||||||||||||
2-Year U.S. Treasury Note | 10/2011 | (16 | ) | (3,509,500 | ) | UBS | (7,530 | ) | ||||||||||||
5-Year U.S. Treasury Note | 10/2011 | (85 | ) | (10,131,602 | ) | UBS | (74,745 | ) | ||||||||||||
Long U.S. Treasury Bond | 09/2011 | (36 | ) | (4,429,125 | ) | UBS | 74,934 | |||||||||||||
Ultra Long U.S. Treasury Bond | 09/2011 | (35 | ) | (4,418,750 | ) | UBS | 76,273 | |||||||||||||
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$ | (15,883,258 | ) | $ | 21,253 | ||||||||||||||||
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Global Bond Fund | ||||||||||||||||||||
10-Year U.S. Treasury Note | 09/2011 | (2 | ) | $ | (244,656 | ) | BAR | $ | 2,837 | |||||||||||
5-Year U.S. Treasury Note | 10/2011 | (39 | ) | (4,648,618 | ) | BAR | (17,893 | ) | ||||||||||||
10-Year U.S. Treasury Note | 09/2011 | (2 | ) | (244,656 | ) | GSC | (2,100 | ) | ||||||||||||
5-Year U.S. Treasury Note | 10/2011 | (13 | ) | (1,549,539 | ) | GSC | (11,347 | ) | ||||||||||||
Euro-Bund Future | 09/2011 | (16 | ) | (2,911,453 | ) | GSC | (9,348 | ) | ||||||||||||
10-Year U.S. Treasury Note | 09/2011 | (3 | ) | (366,984 | ) | JPM | (3,564 | ) | ||||||||||||
5-Year U.S. Treasury Note | 10/2011 | (33 | ) | (3,933,446 | ) | JPM | (30,530 | ) | ||||||||||||
Long U.S. Treasury Bond | 09/2011 | 3 | 369,094 | MLCS | (4,025 | ) | ||||||||||||||
5-Year U.S. Treasury Note | 10/2011 | (6 | ) | (715,172 | ) | MLCS | (2,668 | ) | ||||||||||||
5-Year U.S. Treasury Note | 10/2011 | (15 | ) | (1,787,930 | ) | MSCS | (14,822 | ) | ||||||||||||
5-Year U.S. Treasury Note | 10/2011 | (1 | ) | (119,195 | ) | RBS | (214 | ) | ||||||||||||
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$ | (16,152,555 | ) | $ | (93,674 | ) | |||||||||||||||
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Equity Index Fund | ||||||||||||||||||||
S&P 500® | 09/2011 | 10 | $ | 3,288,750 | GSC | $ | 77,361 | |||||||||||||
S&P 500® E-Mini | 09/2011 | 119 | 7,827,225 | GSC | 233,075 | |||||||||||||||
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$ | 11,115,975 | $ | 310,436 | |||||||||||||||||
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Real Estate Securities Fund | ||||||||||||||||||||
S&P® MidCap 400 E-Mini | 09/2011 | 38 | $ | 3,710,700 | GSC | $ | 125,240 | |||||||||||||
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Value Equity Fund | ||||||||||||||||||||
S&P 500® E-Mini | 09/2011 | 494 | $ | 32,492,850 | GSC | $ | 1,036,413 | |||||||||||||
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Growth Equity Fund | ||||||||||||||||||||
S&P 500® E-Mini | 09/2011 | 905 | $ | 59,526,375 | GSC | $ | 1,662,644 | |||||||||||||
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Small Cap Equity Fund | ||||||||||||||||||||
10-Year U.S. Treasury Note | 09/2011 | 24 | $ | 2,935,875 | GSC | $ | (30,266 | ) | ||||||||||||
90-Day EURIBOR | 09/2011 | 11 | 3,918,943 | GSC | 4,578 |
180
Table of Contents
Fund/Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Counter- party | Net Unrealized Appreciation (Depreciation) on Futures | |||||||||||||||
90-Day EURIBOR | 03/2012 | 3 | $ | 1,066,192 | GSC | $ | 4,996 | |||||||||||||
Russell 2000® IMM-Mini | 09/2011 | 768 | 63,390,721 | GSC | 2,793,050 | |||||||||||||||
Ultra Long U.S. Treasury Bond | 09/2011 | 24 | 3,030,000 | GSC | (69,547 | ) | ||||||||||||||
2-Year U.S. Treasury Note | 10/2011 | (16 | ) | (3,509,500 | ) | GSC | (7,120 | ) | ||||||||||||
5-Year U.S. Treasury Note | 10/2011 | (50 | ) | (5,959,765 | ) | GSC | 22,496 | |||||||||||||
Long U.S. Treasury Bond | 09/2011 | (7 | ) | (861,219 | ) | GSC | 5,985 | |||||||||||||
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$ | 64,011,247 | $ | 2,724,172 | |||||||||||||||||
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International Equity Fund | ||||||||||||||||||||
Hang Seng Index | 07/2011 | 23 | $ | 3,314,469 | BAR | $ | 61,002 | |||||||||||||
AEX Index | 07/2011 | (1 | ) | (98,538 | ) | BAR | (2,842 | ) | ||||||||||||
ASX SPI 200 Index® | 09/2011 | (56 | ) | (6,908,704 | ) | BAR | (89,052 | ) | ||||||||||||
OMX 30 Index | 07/2011 | (152 | ) | (2,679,441 | ) | BAR | (46,228 | ) | ||||||||||||
S&P/TSE 60 Index | 09/2011 | (15 | ) | (2,370,885 | ) | BAR | (56,502 | ) | ||||||||||||
CAC40 Index | 07/2011 | 149 | 8,598,647 | GSC | 266,680 | |||||||||||||||
DAX Index | 09/2011 | 22 | 5,895,364 | GSC | 149,229 | |||||||||||||||
FTSE 100 Index® | 09/2011 | 140 | 13,262,554 | GSC | 289,767 | |||||||||||||||
IBEX 35 | 07/2011 | 6 | 893,848 | GSC | 19,084 | |||||||||||||||
MSC1 Singapore Index | 07/2011 | 11 | 645,510 | GSC | 8,813 | |||||||||||||||
MSCI EAFE Index E-Mini | 09/2011 | 327 | 28,054,964 | GSC | 1,053,594 | |||||||||||||||
S&P MIB Index | 09/2011 | 35 | 5,129,608 | GSC | 15,898 | |||||||||||||||
TOPIX Index® | 09/2011 | 46 | 4,853,984 | GSC | 58,464 | |||||||||||||||
MSCI Emerging Markets E-Mini | 09/2011 | 188 | 10,866,400 | JPM | 375,915 | |||||||||||||||
Swiss Market Index Future | 09/2011 | (101 | ) | (7,433,696 | ) | JPM | 44,675 | |||||||||||||
|
|
|
| |||||||||||||||||
$ | 62,024,084 | $ | 2,148,497 | |||||||||||||||||
|
|
|
|
Forward Foreign Currency Contracts
As of June 30, 2011, 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/ | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Low-Duration Bond Fund | ||||||||||||||||||
07/27/11 | U.S. Dollars | 10,014,990 | Euro | 6,889,500 | UBS | $ | 31,866 | |||||||||||
07/27/11 | U.S. Dollars | 1,459 | Euro | 1,000 | CITI | 10 | ||||||||||||
07/27/11 | U.S. Dollars | 1,766,989 | Euro | 1,204,500 | CITI | 21,627 | ||||||||||||
07/27/11 | U.S. Dollars | 662,958 | Euro | 455,500 | CITI | 2,923 | ||||||||||||
07/07/11 | U.S. Dollars | 8,434,965 | United Kingdom Pounds | 5,159,000 | CITI | 155,740 | ||||||||||||
07/07/11 | U.S. Dollars | 446,047 | United Kingdom Pounds | 272,500 | UBS | 8,735 | ||||||||||||
07/07/11 | U.S. Dollars | 1,235,325 | United Kingdom Pounds | 767,000 | UBS | 4,434 | ||||||||||||
07/07/11 | United Kingdom Pounds | 6,012,000 | U.S. Dollars | 9,616,795 | RBS | 31,334 | ||||||||||||
10/07/11 | U.S. Dollars | 9,606,376 | United Kingdom Pounds | 6,012,000 | RBS | (30,698 | ) | |||||||||||
08/02/11 | U.S. Dollars | 8,645 | Brazilian Reals | 13,976 | UBS | (239 | ) | |||||||||||
08/02/11 | Brazilian Reals | 13,976 | U.S. Dollars | 8,740 | BAR | 144 | ||||||||||||
09/02/11 | U.S. Dollars | 8,685 | Brazilian Reals | 13,976 | BAR | (138 | ) | |||||||||||
09/19/11 | U.S. Dollars | 15,879,889 | Canadian Dollars | 15,660,000 | RBC | (323,578 | ) | |||||||||||
09/19/11 | Canadian Dollars | 191,000 | U.S. Dollars | 194,227 | BNP | 3,401 |
181
Table of Contents
Fund/ | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||||||||||
02/01/13 | Chinese Yuan Renminbi | 3,309,368 | U.S. Dollars | 522,229 | DEUT | $ | (7,524 | ) | ||||||||||||
02/01/13 | Chinese Yuan Renminbi | 2,090,196 | U.S. Dollars | 332,146 | DEUT | (7,058 | ) | |||||||||||||
02/13/12 | Chinese Yuan Renminbi | 5,083,996 | U.S. Dollars | 789,747 | CITI | 3,247 | ||||||||||||||
02/13/12 | Chinese Yuan Renminbi | 2,482,791 | U.S. Dollars | 385,347 | DEUT | 1,915 | ||||||||||||||
02/13/12 | Chinese Yuan Renminbi | 2,619,822 | U.S. Dollars | 406,300 | BAR | 2,336 | ||||||||||||||
02/13/12 | Chinese Yuan Renminbi | 2,496,098 | U.S. Dollars | 387,172 | CITI | 2,166 | ||||||||||||||
02/13/12 | Chinese Yuan Renminbi | 8,799,062 | U.S. Dollars | 1,367,801 | BAR | 4,664 | ||||||||||||||
02/13/12 | Chinese Yuan Renminbi | 3,029,001 | U.S. Dollars | 471,000 | JPM | 1,459 | ||||||||||||||
02/13/12 | Chinese Yuan Renminbi | 7,223,298 | U.S. Dollars | 1,124,074 | CITI | 2,606 | ||||||||||||||
02/13/12 | Chinese Yuan Renminbi | 2,526,343 | U.S. Dollars | 392,076 | JPM | 1,979 | ||||||||||||||
02/13/12 | Chinese Yuan Renminbi | 2,388,307 | U.S. Dollars | 370,654 | DEUT | 1,871 | ||||||||||||||
02/13/12 | Chinese Yuan Renminbi | 1,994,287 | U.S. Dollars | 309,696 | UBS | 1,370 | ||||||||||||||
02/13/12 | Chinese Yuan Renminbi | 567,800 | U.S. Dollars | 87,461 | DEUT | 1,103 | ||||||||||||||
11/04/11 | Chinese Yuan Renminbi | 2,490,150 | U.S. Dollars | 390,000 | DEUT | (3,456 | ) | |||||||||||||
02/01/13 | Chinese Yuan Renminbi | 1,254,600 | U.S. Dollars | 200,000 | GSC | (4,872 | ) | |||||||||||||
02/01/13 | Chinese Yuan Renminbi | 319,176 | U.S. Dollars | 50,832 | JPM | (1,191 | ) | |||||||||||||
07/18/11 | U.S. Dollars | 14,252,316 | Euro | 9,882,000 | CS | (70,743 | ) | |||||||||||||
07/18/11 | Euro | 113,000 | U.S. Dollars | 167,325 | RBS | (3,541 | ) | |||||||||||||
07/18/11 | Euro | 565,000 | U.S. Dollars | 823,502 | RBC | (4,586 | ) | |||||||||||||
07/18/11 | Euro | 924,000 | U.S. Dollars | 1,305,351 | CITI | 33,903 | ||||||||||||||
09/19/11 | U.S. Dollars | 15,896,460 | Canadian Dollars | 15,660,000 | DEUT | (307,008 | ) | |||||||||||||
07/18/11 | Euro | 533,000 | U.S. Dollars | 777,101 | HSBC | (4,566 | ) | |||||||||||||
01/11/12 | Taiwan Dollars | 36,726,480 | U.S. Dollars | 1,281,454 | BAR | 3,055 | ||||||||||||||
09/13/11 | U.S. Dollars | 1,353,019 | United Kingdom Pounds | 824,000 | UBS | 31,791 | ||||||||||||||
08/12/11 | South Korean Won | 2,172,283,300 | U.S. Dollars | 1,978,130 | JPM | 50,926 | ||||||||||||||
08/08/11 | Norwegian Krone | 3,585,000 | U.S. Dollars | 679,775 | DEUT | (16,965 | ) | |||||||||||||
09/09/11 | Singapore Dollars | 235,045 | U.S. Dollars | 189,099 | RBS | 2,276 | ||||||||||||||
07/11/11 | U.S. Dollars | 7,014,533 | Canadian Dollars | 6,866,000 | RBS | (102,521 | ) | |||||||||||||
07/28/11 | Canadian Dollars | 927,000 | U.S. Dollars | 945,407 | RBC | 15,065 | ||||||||||||||
07/28/11 | Canadian Dollars | 894,000 | U.S. Dollars | 925,523 | RBC | 758 | ||||||||||||||
07/11/11 | U.S. Dollars | 9,384,666 | Euro | 6,434,000 | CITIG | 57,295 | ||||||||||||||
07/11/11 | U.S. Dollars | 1,118,059 | Euro | 790,000 | CITI | (27,205 | ) | |||||||||||||
07/11/11 | U.S. Dollars | 2,449,595 | United Kingdom Pounds | 1,493,000 | HKSB | 53,734 | ||||||||||||||
07/28/11 | Singapore Dollars | 1,150,000 | U.S. Dollars | 923,769 | MSCS | 12,499 | ||||||||||||||
|
| |||||||||||||||||||
$ | (369,657 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
Medium-Duration Bond Fund | ||||||||||||||||||||
09/21/11 | Australian Dollars | 51,000 | U.S. Dollars | 48,350 | WEST | $ | 322 | |||||||||||||
09/21/11 | Australian Dollars | 221,803 | U.S. Dollars | 210,310 | CITI | 1,437 | ||||||||||||||
09/21/11 | U.S. Dollars | 49,923 | Australian Dollars | 52,000 | MLCS | (1,015 | ) | |||||||||||||
09/21/11 | U.S. Dollars | 196,413 | Australian Dollars | 205,000 | UBS | (3,569 | ) | |||||||||||||
09/21/11 | U.S. Dollars | 40,665 | Australian Dollars | 42,000 | WEST | (1,189 | ) | |||||||||||||
09/21/11 | Canadian Dollars | 107,223 | U.S. Dollars | 109,000 | RBS | 1,938 | ||||||||||||||
09/21/11 | Canadian Dollars | 176,004 | U.S. Dollars | 179,991 | RBS | 2,112 | ||||||||||||||
09/21/11 | Canadian Dollars | 54,000 | U.S. Dollars | 55,410 | RBS | 461 | ||||||||||||||
09/21/11 | U.S. Dollars | 54,138 | Canadian Dollars | 53,000 | RBS | (698 | ) | |||||||||||||
09/21/11 | U.S. Dollars | 137,000 | Canadian Dollars | 134,557 | RBS | (2,219 | ) | |||||||||||||
09/21/11 | U.S. Dollars | 79,000 | Switzerland Francs | 66,120 | DEUT | 311 | ||||||||||||||
09/21/11 | U.S. Dollars | 230,772 | Switzerland Francs | 191,596 | SS | 2,756 | ||||||||||||||
09/21/11 | Switzerland Francs | 91,689 | U.S. Dollars | 108,991 | UBS | 127 |
182
Table of Contents
Fund/ | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||||||||||
09/21/11 | U.S. Dollars | 110,203 | Switzerland Francs | 92,333 | UBS | $ | 318 | |||||||||||||
09/21/11 | U.S. Dollars | 92,134 | Switzerland Francs | 76,330 | DEUT | 1,295 | ||||||||||||||
09/21/11 | Euro | 43,479 | U.S. Dollars | 63,549 | UBS | (649 | ) | |||||||||||||
09/21/11 | Euro | 157,174 | U.S. Dollars | 230,772 | SS | (3,393 | ) | |||||||||||||
09/21/11 | U.S. Dollars | 109,998 | Euro | 75,000 | MLCS | 1,498 | ||||||||||||||
09/21/11 | U.S. Dollars | 108,991 | Euro | 75,000 | UBS | 491 | ||||||||||||||
09/21/11 | U.S. Dollars | 217,563 | Euro | 151,000 | CITI | (884 | ) | |||||||||||||
07/27/11 | U.S. Dollars | 3,167,486 | Euro | 2,217,905 | DEUT | (46,336 | ) | |||||||||||||
09/21/11 | Euro | 77,000 | U.S. Dollars | 110,203 | UBS | 1,190 | ||||||||||||||
09/21/11 | U.S. Dollars | 108,890 | Euro | 76,000 | DEUT | (1,057 | ) | |||||||||||||
09/21/11 | Euro | 64,000 | U.S. Dollars | 92,134 | DEUT | 453 | ||||||||||||||
09/21/11 | U.S. Dollars | 110,120 | Euro | 76,000 | DEUT | 173 | ||||||||||||||
09/21/11 | U.S. Dollars | 90,985 | Euro | 63,000 | CITI | (155 | ) | |||||||||||||
09/21/11 | Euro | 75,000 | U.S. Dollars | 109,183 | MLCS | (683 | ) | |||||||||||||
09/21/11 | United Kingdom Pounds | 66,359 | U.S. Dollars | 108,877 | DEUT | (2,484 | ) | |||||||||||||
09/21/11 | U.S. Dollars | 161,325 | United Kingdom Pounds | 101,000 | DEUT | (606 | ) | |||||||||||||
09/21/11 | U.S. Dollars | 261,567 | Japanese Yen | 20,959,396 | BAR | 1,091 | ||||||||||||||
09/21/11 | U.S. Dollars | 55,410 | Japanese Yen | 4,420,818 | RBS | 470 | ||||||||||||||
09/21/11 | Japanese Yen | 4,341,351 | U.S. Dollars | 54,138 | RBS | (186 | ) | |||||||||||||
09/21/11 | Japanese Yen | 13,049,604 | U.S. Dollars | 161,325 | DEUT | 851 | ||||||||||||||
07/26/11 | U.S. Dollars | 916,931 | Mexican Pesos | 10,759,267 | CS | 141 | ||||||||||||||
07/26/11 | Mexican Pesos | 2,868,100 | U.S. Dollars | 246,623 | MSCS | (2,234 | ) | |||||||||||||
09/21/11 | Norwegian Krone | 1,376,920 | U.S. Dollars | 255,962 | JPM | (2,148 | ) | |||||||||||||
09/21/11 | U.S. Dollars | 175,000 | Norwegian Krone | 979,298 | UBS | (5,518 | ) | |||||||||||||
09/21/11 | Norwegian Krone | 544,876 | U.S. Dollars | 99,000 | HKSB | 1,439 | ||||||||||||||
09/21/11 | Norwegian Krone | 473,430 | U.S. Dollars | 87,000 | HSBC | 270 | ||||||||||||||
09/21/11 | U.S. Dollars | 108,359 | New Zealand Dollars | 135,000 | MLCS | (2,849 | ) | |||||||||||||
09/21/11 | U.S. Dollars | 188,909 | New Zealand Dollars | 232,220 | WEST | (2,386 | ) | |||||||||||||
09/21/11 | New Zealand Dollars | 133,154 | U.S. Dollars | 109,998 | MLCS | (311 | ) | |||||||||||||
09/21/11 | New Zealand Dollars | 133,000 | U.S. Dollars | 109,120 | WEST | 441 | ||||||||||||||
09/21/11 | New Zealand Dollars | 133,000 | U.S. Dollars | 108,082 | MLCS | 1,479 | ||||||||||||||
09/21/11 | Swedish Kronor | 1,234,591 | U.S. Dollars | 199,498 | MLCS | (5,278 | ) | |||||||||||||
09/21/11 | U.S. Dollars | 62,000 | Swedish Kronor | 394,827 | HKSB | (112 | ) | |||||||||||||
09/21/11 | U.S. Dollars | 44,000 | Swedish Kronor | 281,080 | HSBC | (218 | ) | |||||||||||||
09/21/11 | U.S. Dollars | 193,277 | Swedish Kronor | 1,263,238 | HKSB | (5,449 | ) | |||||||||||||
09/21/11 | U.S. Dollars | 55,000 | Swedish Kronor | 356,054 | RBS | (1,013 | ) | |||||||||||||
09/21/11 | Swedish Kronor | 701,556 | U.S. Dollars | 110,120 | DEUT | 246 | ||||||||||||||
07/07/11 | U.S. Dollars | 1,088,343 | South African Rand | 7,656,492 | RBC | (42,802 | ) | |||||||||||||
08/11/11 | Brazilian Reals | 65,520 | U.S. Dollars | 40,976 | BAR | 589 | ||||||||||||||
09/02/11 | U.S. Dollars | 40,716 | Brazilian Reals | 65,520 | BAR | (647 | ) | |||||||||||||
09/19/11 | U.S. Dollars | 7,248,368 | Canadian Dollars | 7,148,000 | RBS | (147,697 | ) | |||||||||||||
09/19/11 | Canadian Dollars | 313,000 | U.S. Dollars | 318,288 | BNP | 5,574 | ||||||||||||||
02/01/13 | Chinese Yuan Renminbi | 3,959,304 | U.S. Dollars | 624,792 | DEUT | (9,001 | ) | |||||||||||||
02/01/13 | Chinese Yuan Renminbi | 4,127,477 | U.S. Dollars | 655,884 | DEUT | (13,938 | ) | |||||||||||||
02/13/12 | Chinese Yuan Renminbi | 6,402,937 | U.S. Dollars | 994,631 | CITI | 4,090 | ||||||||||||||
02/13/12 | Chinese Yuan Renminbi | 3,324,821 | U.S. Dollars | 515,636 | BAR | 2,965 | ||||||||||||||
02/13/12 | Chinese Yuan Renminbi | 3,167,798 | U.S. Dollars | 491,360 | CITI | 2,749 | ||||||||||||||
02/13/12 | Chinese Yuan Renminbi | 3,150,917 | U.S. Dollars | 489,045 | DEUT | 2,430 | ||||||||||||||
02/13/12 | Chinese Yuan Renminbi | 9,097,230 | U.S. Dollars | 1,415,691 | CITI | 3,282 | ||||||||||||||
02/13/12 | Chinese Yuan Renminbi | 11,081,793 | U.S. Dollars | 1,722,648 | BAR | 5,874 | ||||||||||||||
02/13/12 | Chinese Yuan Renminbi | 3,839,307 | U.S. Dollars | 597,000 | JPM | 1,850 | ||||||||||||||
02/13/12 | Chinese Yuan Renminbi | 3,032,686 | U.S. Dollars | 470,658 | DEUT | 2,376 |
183
Table of Contents
Fund/ | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||||||||||
02/13/12 | Chinese Yuan Renminbi | 3,207,965 | U.S. Dollars | 497,861 | JPM | $ | 2,513 | |||||||||||||
02/13/12 | Chinese Yuan Renminbi | 2,532,357 | U.S. Dollars | 393,254 | UBS | 1,740 | ||||||||||||||
02/13/12 | Chinese Yuan Renminbi | 821,640 | U.S. Dollars | 126,562 | DEUT | 1,596 | ||||||||||||||
02/01/13 | Chinese Yuan Renminbi | 6,583,005 | U.S. Dollars | 1,048,750 | CITI | (24,896 | ) | |||||||||||||
08/15/11 | Chinese Yuan Renminbi | 1,000,000 | U.S. Dollars | 159,642 | DEUT | (4,911 | ) | |||||||||||||
09/14/11 | Chinese Yuan Renminbi | 2,088,450 | U.S. Dollars | 315,000 | UBS | 8,426 | ||||||||||||||
09/14/11 | Chinese Yuan Renminbi | 1,401,040 | U.S. Dollars | 211,000 | CITI | 5,971 | ||||||||||||||
09/14/11 | Chinese Yuan Renminbi | 875,160 | U.S. Dollars | 132,000 | RBS | 3,531 | ||||||||||||||
09/14/11 | U.S. Dollars | 155,063 | Chinese Yuan Renminbi | 1,000,000 | DEUT | 199 | ||||||||||||||
11/04/11 | Chinese Yuan Renminbi | 5,139,925 | U.S. Dollars | 805,000 | DEUT | (7,133 | ) | |||||||||||||
11/15/11 | Chinese Yuan Renminbi | 2,900,436 | U.S. Dollars | 438,000 | DEUT | 12,481 | ||||||||||||||
07/18/11 | Euro | 2,014,000 | U.S. Dollars | 2,845,214 | CITI | 73,896 | ||||||||||||||
07/18/11 | U.S. Dollars | 989,378 | Euro | 688,000 | BAR | (7,815 | ) | |||||||||||||
07/29/11 | U.S. Dollars | 10,340,658 | Australian Dollars | 10,776,000 | DEUT | (284,354 | ) | |||||||||||||
08/02/11 | U.S. Dollars | 40,530 | Brazilian Reals | 65,520 | UBS | (1,119 | ) | |||||||||||||
07/18/11 | U.S. Dollars | 16,334,925 | Euro | 11,326,000 | CS | (81,082 | ) | |||||||||||||
07/18/11 | Euro | 387,000 | U.S. Dollars | 555,209 | RBC | 5,712 | ||||||||||||||
07/18/11 | Euro | 717,000 | U.S. Dollars | 1,045,368 | HSBC | (6,142 | ) | |||||||||||||
08/12/11 | Indian Rupees | 56,916,480 | U.S. Dollars | 1,260,330 | HSBC | 2,541 | ||||||||||||||
07/14/11 | U.S. Dollars | 1,405,865 | Japanese Yen | 117,763,000 | JPM | (57,041 | ) | |||||||||||||
07/07/11 | Mexican Pesos | 74,599 | U.S. Dollars | 6,009 | HSBC | 359 | ||||||||||||||
07/07/11 | U.S. Dollars | 6,331 | Mexican Pesos | 74,599 | MSCS | (36 | ) | |||||||||||||
11/18/11 | Mexican Pesos | 74,599 | U.S. Dollars | 6,248 | MSCS | 39 | ||||||||||||||
08/11/11 | Malaysian Ringgits | 8,484 | U.S. Dollars | 2,742 | CITI | 59 | ||||||||||||||
08/08/11 | Norwegian Krone | 1,133,000 | U.S. Dollars | 214,836 | DEUT | (5,362 | ) | |||||||||||||
01/11/12 | Taiwan Dollars | 48,062,980 | U.S. Dollars | 1,677,006 | BAR | 3,998 | ||||||||||||||
09/13/11 | U.S. Dollars | 1,958,922 | United Kingdom Pounds | 1,193,000 | UBS | 46,028 | ||||||||||||||
08/12/11 | South Korean Won | 7,715,551,500 | U.S. Dollars | 7,025,954 | JPM | 180,879 | ||||||||||||||
08/12/11 | U.S. Dollars | 1,240,000 | South Korean Won | 1,338,704,000 | BAR | (10,438 | ) | |||||||||||||
08/12/11 | U.S. Dollars | 1,130,000 | South Korean Won | 1,219,948,000 | RBS | (9,512 | ) | |||||||||||||
08/12/11 | U.S. Dollars | 1,240,000 | South Korean Won | 1,338,704,000 | UBS | (10,438 | ) | |||||||||||||
09/09/11 | Singapore Dollars | 1,000,000 | U.S. Dollars | 804,525 | RBS | 9,682 | ||||||||||||||
09/09/11 | Singapore Dollars | 1,000,000 | U.S. Dollars | 812,222 | GSC | 1,985 | ||||||||||||||
09/09/11 | Singapore Dollars | 1,000,000 | U.S. Dollars | 811,622 | DEUT | 2,585 | ||||||||||||||
09/09/11 | Singapore Dollars | 300,000 | U.S. Dollars | 244,245 | UBS | 17 | ||||||||||||||
09/09/11 | Singapore Dollars | 466,498 | U.S. Dollars | 378,998 | JPM | 827 | ||||||||||||||
09/09/11 | Singapore Dollars | 400,000 | U.S. Dollars | 324,844 | DEUT | 839 | ||||||||||||||
08/15/11 | Brazilian Reals | 1,265,162 | U.S. Dollars | 761,000 | JPM | 40,876 | ||||||||||||||
08/15/11 | Brazilian Reals | 1,216,880 | U.S. Dollars | 742,000 | JPM | 29,274 | ||||||||||||||
08/18/11 | U.S. Dollars | 1,904,554 | Canadian Dollars | 1,842,980 | CS | (3,923 | ) | |||||||||||||
08/18/11 | Canadian Dollars | 1,175,203 | U.S. Dollars | 1,213,489 | JPM | 3,480 | ||||||||||||||
08/18/11 | U.S. Dollars | 2,263,091 | Euro | 1,524,701 | CITIC | 55,204 | ||||||||||||||
08/18/11 | U.S. Dollars | 1,195,594 | Euro | 824,514 | UBS | 1,634 | ||||||||||||||
08/18/11 | U.S. Dollars | 3,031,016 | Euro | 2,150,000 | CITIC | (82,353 | ) | |||||||||||||
08/18/11 | U.S. Dollars | 1,948,843 | Japanese Yen | 156,230,000 | CITIC | 7,705 | ||||||||||||||
|
| |||||||||||||||||||
$ | (346,114 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
Global Bond Fund | ||||||||||||||||||||
08/18/11 | U.S. Dollars | 142,012 | Euro | 100,000 | CS | $ | (2,796 | ) | ||||||||||||
08/18/11 | U.S. Dollars | 531,052 | Australian Dollars | 567,400 | BAR | 1,597 | ||||||||||||||
08/18/11 | U.S. Dollars | 594,803 | Australian Dollars | 631,336 | CITIC | (2,658 | ) | |||||||||||||
08/18/11 | Australian Dollars | 745,608 | U.S. Dollars | 704,448 | DEUT | 5,369 |
184
Table of Contents
Fund/ | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||||||||||
08/18/11 | Australian Dollars | 630,000 | U.S. Dollars | 597,496 | CS | $ | 7,075 | |||||||||||||
08/18/11 | Australian Dollars | 587,221 | U.S. Dollars | 558,328 | MSCS | 8,151 | ||||||||||||||
08/18/11 | U.S. Dollars | 721,473 | Australian Dollars | 760,000 | JPM | (9,295 | ) | |||||||||||||
08/18/11 | Australian Dollars | 20,198 | U.S. Dollars | 19,238 | JPM | 318 | ||||||||||||||
08/18/11 | Canadian Dollars | 820,000 | U.S. Dollars | 852,577 | DEUT | (3,435 | ) | |||||||||||||
08/18/11 | Canadian Dollars | 1,005,536 | U.S. Dollars | 1,038,294 | JPM | 2,978 | ||||||||||||||
08/18/11 | U.S. Dollars | 1,750,000 | Canadian Dollars | 1,728,685 | DEUT | (40,121 | ) | |||||||||||||
08/18/11 | U.S. Dollars | 4,515,216 | Euro | 3,046,552 | SG | 103,568 | ||||||||||||||
08/18/11 | U.S. Dollars | 2,222,681 | Euro | 1,500,000 | BAR | 50,562 | ||||||||||||||
08/18/11 | U.S. Dollars | 458,582 | Euro | 309,451 | RBS | 10,472 | ||||||||||||||
08/18/11 | U.S. Dollars | 2,886,647 | Euro | 1,947,319 | GSC | 66,776 | ||||||||||||||
08/18/11 | U.S. Dollars | 232,148 | Euro | 156,522 | DEUT | 5,491 | ||||||||||||||
08/18/11 | U.S. Dollars | 5,348,806 | Euro | 3,603,624 | CITIC | 130,474 | ||||||||||||||
08/18/11 | Euro | 1,570,000 | U.S. Dollars | 2,276,594 | UBS | (3,111 | ) | |||||||||||||
08/18/11 | Euro | 1,566,003 | U.S. Dollars | 2,266,899 | CS | 797 | ||||||||||||||
08/18/11 | U.S. Dollars | 2,621,220 | Euro | 1,808,255 | MSCS | 2,724 | ||||||||||||||
08/18/11 | U.S. Dollars | 1,503,788 | Euro | 1,035,952 | JPM | 3,648 | ||||||||||||||
08/18/11 | U.S. Dollars | 289,080 | Euro | 200,000 | JPM | (536 | ) | |||||||||||||
08/18/11 | U.S. Dollars | 214,350 | Euro | 150,000 | UBS | (2,862 | ) | |||||||||||||
08/18/11 | United Kingdom Pounds | 1,277,800 | U.S. Dollars | 2,108,229 | SG | (58,716 | ) | |||||||||||||
08/18/11 | U.S. Dollars | 1,299,193 | United Kingdom Pounds | 787,510 | BAR | 36,075 | ||||||||||||||
08/18/11 | U.S. Dollars | 329,336 | United Kingdom Pounds | 200,000 | GSC | 8,548 | ||||||||||||||
08/18/11 | U.S. Dollars | 1,063,049 | United Kingdom Pounds | 650,000 | CS | 20,489 | ||||||||||||||
08/18/11 | United Kingdom Pounds | 1,088,000 | U.S. Dollars | 1,780,588 | JPM | (35,502 | ) | |||||||||||||
08/18/11 | U.S. Dollars | 735,029 | �� | Japanese Yen | 59,645,180 | SG | (6,055 | ) | ||||||||||||
08/18/11 | Japanese Yen | 736,299,570 | U.S. Dollars | 9,088,547 | GSC | 59,882 | ||||||||||||||
08/18/11 | Japanese Yen | 279,428,760 | U.S. Dollars | 3,482,152 | DEUT | (10,284 | ) | |||||||||||||
08/18/11 | U.S. Dollars | 1,597,015 | Japanese Yen | 128,025,470 | CITIC | 6,314 | ||||||||||||||
08/18/11 | Japanese Yen | 59,000,000 | U.S. Dollars | 735,065 | CS | (1,997 | ) | |||||||||||||
08/18/11 | U.S. Dollars | 5,775,621 | Japanese Yen | 464,261,748 | JPM | 7,227 | ||||||||||||||
08/18/11 | U.S. Dollars | 867,921 | Japanese Yen | 70,000,000 | UBS | (1,820 | ) | |||||||||||||
08/25/11 | South Korean Won | 590,596,400 | U.S. Dollars | 538,374 | DEUT | 12,824 | ||||||||||||||
08/18/11 | Mexican Pesos | 4,650,275 | U.S. Dollars | 398,334 | GSC | (2,948 | ) | |||||||||||||
09/15/11 | Russian Rubles | 23,142,534 | U.S. Dollars | 825,340 | JPM | (3,371 | ) | |||||||||||||
08/18/11 | South African Rand | 988,065 | U.S. Dollars | 140,093 | GSC | 4,956 | ||||||||||||||
|
| |||||||||||||||||||
$ | 370,808 | |||||||||||||||||||
|
| |||||||||||||||||||
Small Cap Equity Fund | ||||||||||||||||||||
08/18/11 | U.S. Dollars | 536,123 | Euro | 361,200 | CITIC | $ | 13,078 | |||||||||||||
08/18/11 | U.S. Dollars | 568,237 | Euro | 392,000 | MSCS | 590 | ||||||||||||||
08/18/11 | U.S. Dollars | 507,519 | Euro | 360,000 | CITI | (13,789 | ) | |||||||||||||
08/18/11 | U.S. Dollars | 60,262 | Japanese Yen | 4,882,084 | GSC | (397 | ) | |||||||||||||
08/18/11 | U.S. Dollars | 179,379 | Japanese Yen | 14,380,000 | CITIC | 709 | ||||||||||||||
|
| |||||||||||||||||||
$ | 191 | |||||||||||||||||||
|
| |||||||||||||||||||
International Equity Fund | ||||||||||||||||||||
07/29/11 | U.S. Dollars | 11,438,062 | Australian Dollars | 12,155,000 | NT | $ | (70,593 | ) | ||||||||||||
07/01/11 | South African Rand | 287,285 | U.S. Dollars | 41,651 | UBS | 835 | ||||||||||||||
09/21/11 | U.S. Dollars | 483,590 | Australian Dollars | 512,000 | RBS | (1,218 | ) |
185
Table of Contents
Fund/ | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||||||||||
09/21/11 | Australian Dollars | 5,808,000 | U.S. Dollars | 5,499,907 | RBS | $ | 29,681 | |||||||||||||
09/21/11 | U.S. Dollars | 49,234 | Australian Dollars | 52,000 | RBS | (258 | ) | |||||||||||||
09/21/11 | U.S. Dollars | 605,890 | Australian Dollars | 627,000 | RBS | (16,481 | ) | |||||||||||||
09/21/11 | Australian Dollars | 5,519,000 | U.S. Dollars | 5,236,988 | RBS | 40,168 | ||||||||||||||
09/21/11 | U.S. Dollars | 832,346 | Canadian Dollars | 808,000 | RBS | (3,654 | ) | |||||||||||||
09/21/11 | Canadian Dollars | 377,000 | U.S. Dollars | 388,588 | RBS | 1,476 | ||||||||||||||
09/21/11 | U.S. Dollars | 975,039 | Switzerland Francs | 832,000 | RBS | (15,116 | ) | |||||||||||||
09/21/11 | U.S. Dollars | 4,740,372 | Switzerland Francs | 4,009,000 | RBS | (30,700 | ) | |||||||||||||
09/21/11 | Switzerland Francs | 67,000 | U.S. Dollars | 80,177 | RBS | (441 | ) | |||||||||||||
09/21/11 | U.S. Dollars | 612,514 | Switzerland Francs | 511,000 | RBS | 4,378 | ||||||||||||||
09/21/11 | U.S. Dollars | 14,523,328 | Switzerland Francs | 12,137,000 | RBS | 79,203 | ||||||||||||||
09/21/11 | Danish Kroner | 193,000 | U.S. Dollars | 37,169 | RBS | 277 | ||||||||||||||
09/21/11 | U.S. Dollars | 39,218 | Danish Kroner | 203,000 | RBS | (169 | ) | |||||||||||||
09/21/11 | Danish Kroner | 793,000 | U.S. Dollars | 154,486 | RBS | (626 | ) | |||||||||||||
09/21/11 | U.S. Dollars | 54,255 | Danish Kroner | 284,000 | RBS | (847 | ) | |||||||||||||
09/21/11 | U.S. Dollars | 1,924,518 | Danish Kroner | 9,992,000 | RBS | (14,154 | ) | |||||||||||||
09/21/11 | U.S. Dollars | 396,806 | Euro | 276,000 | RBS | (2,474 | ) | |||||||||||||
09/21/11 | Euro | 1,039,000 | U.S. Dollars | 1,494,745 | RBS | 8,343 | ||||||||||||||
09/21/11 | U.S. Dollars | 344,144 | Euro | 237,000 | RBS | 1,284 | ||||||||||||||
09/21/11 | U.S. Dollars | 869,314 | Euro | 610,000 | RBS | (13,153 | ) | |||||||||||||
09/21/11 | Euro | 2,542,000 | U.S. Dollars | 3,651,329 | RBS | 26,100 | ||||||||||||||
09/21/11 | U.S. Dollars | 921,790 | Australian Dollars | 968,000 | RBS | (10,646 | ) | |||||||||||||
09/21/11 | U.S. Dollars | 490,593 | Australian Dollars | 513,000 | RBS | (7,929 | ) | |||||||||||||
09/21/11 | U.S. Dollars | 178,207 | Canadian Dollars | 174,000 | RBS | (1,823 | ) | |||||||||||||
09/21/11 | U.S. Dollars | 495,177 | Canadian Dollars | 485,000 | RBS | (6,629 | ) | |||||||||||||
09/21/11 | U.S. Dollars | 733,855 | Switzerland Francs | 614,000 | RBS | 3,139 | ||||||||||||||
09/21/11 | Danish Kroner | 165,000 | U.S. Dollars | 32,325 | RBS | (312 | ) | |||||||||||||
09/21/11 | U.S. Dollars | 20,123 | Danish Kroner | 104,000 | RBS | (55 | ) | |||||||||||||
09/21/11 | U.S. Dollars | 20,941 | Danish Kroner | 109,000 | RBS | (207 | ) | |||||||||||||
09/21/11 | Euro | 879,000 | U.S. Dollars | 1,284,427 | RBS | (12,807 | ) | |||||||||||||
09/21/11 | Euro | 549,000 | U.S. Dollars | 791,864 | RBS | 2,357 | ||||||||||||||
09/21/11 | U.S. Dollars | 2,849 | Euro | 2,000 | RBS | (45 | ) | |||||||||||||
09/21/11 | U.S. Dollars | 492,344 | Euro | 344,000 | RBS | (5,309 | ) | |||||||||||||
09/21/11 | U.S. Dollars | 91,771 | United Kingdom Pounds | 56,000 | RBS | 1,987 | ||||||||||||||
09/21/11 | United Kingdom Pounds | 236,000 | U.S. Dollars | 382,567 | RBS | (4,191 | ) | |||||||||||||
09/21/11 | Hong Kong Dollars | 16,000 | U.S. Dollars | 2,058 | RBS | (1 | ) | |||||||||||||
09/21/11 | U.S. Dollars | 27,769 | Hong Kong Dollars | 216,000 | RBS | (3 | ) | |||||||||||||
09/21/11 | Hong Kong Dollars | 18,000 | U.S. Dollars | 2,312 | RBS | 2 | ||||||||||||||
09/21/11 | U.S. Dollars | 11,794 | Israeli Shekels | 40,000 | RBS | 93 | ||||||||||||||
09/21/11 | U.S. Dollars | 13,185 | Israeli Shekels | 45,000 | RBS | 21 | ||||||||||||||
09/21/11 | U.S. Dollars | 7,551 | Israeli Shekels | 26,000 | RBS | (54 | ) | |||||||||||||
09/21/11 | U.S. Dollars | 8,674,932 | Japanese Yen | 695,692,000 | RBS | 29,112 | ||||||||||||||
09/21/11 | U.S. Dollars | 368,114 | Japanese Yen | 29,558,000 | RBS | 777 | ||||||||||||||
09/21/11 | Japanese Yen | 34,910,000 | U.S. Dollars | 434,686 | RBS | (836 | ) | |||||||||||||
09/21/11 | U.S. Dollars | 20,957 | Norwegian Krone | 114,000 | RBS | (58 | ) | |||||||||||||
09/21/11 | U.S. Dollars | 168,587 | Norwegian Krone | 936,000 | RBS | (3,950 | ) | |||||||||||||
09/21/11 | New Zealand Dollars | 942,000 | U.S. Dollars | 766,332 | RBS | 9,654 |
186
Table of Contents
Fund/ | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||||||||||
09/21/11 | New Zealand Dollars | 1,305,000 | U.S. Dollars | 1,054,905 | RBS | $ | 20,107 | |||||||||||||
09/21/11 | U.S. Dollars | 545,279 | Swedish Kronor | 3,373,000 | RBS | 14,654 | ||||||||||||||
09/21/11 | U.S. Dollars | 13,591 | Swedish Kronor | 84,000 | RBS | 376 | ||||||||||||||
09/21/11 | Swedish Kronor | 78,645,000 | U.S. Dollars | 12,655,390 | RBS | (283,324 | ) | |||||||||||||
09/21/11 | U.S. Dollars | 405,674 | Swedish Kronor | 2,566,000 | RBS | 2,002 | ||||||||||||||
09/21/11 | Singapore Dollars | 231,000 | U.S. Dollars | 187,630 | RBS | 460 | ||||||||||||||
09/21/11 | U.S. Dollars | 5,691 | Singapore Dollars | 7,000 | RBS | (9 | ) | |||||||||||||
09/21/11 | U.S. Dollars | 16,234 | Singapore Dollars | 20,000 | RBS | (51 | ) | |||||||||||||
09/21/11 | U.S. Dollars | 3,241 | Singapore Dollars | 4,000 | RBS | (16 | ) | |||||||||||||
09/21/11 | United Kingdom Pounds | 936,000 | U.S. Dollars | 1,542,725 | RBS | (42,050 | ) | |||||||||||||
09/21/11 | United Kingdom Pounds | 880,000 | U.S. Dollars | 1,446,052 | RBS | (35,161 | ) | |||||||||||||
09/21/11 | United Kingdom Pounds | 90,000 | U.S. Dollars | 146,872 | RBS | (2,576 | ) | |||||||||||||
09/21/11 | United Kingdom Pounds | 170,000 | U.S. Dollars | 270,900 | RBS | 1,658 | ||||||||||||||
09/21/11 | United Kingdom Pounds | 5,907,000 | U.S. Dollars | 9,456,516 | RBS | 14,086 | ||||||||||||||
09/21/11 | Hong Kong Dollars | 260,000 | U.S. Dollars | 33,442 | RBS | (13 | ) | |||||||||||||
09/21/11 | Hong Kong Dollars | 1,195,000 | U.S. Dollars | 153,646 | RBS | 2 | ||||||||||||||
09/21/11 | U.S. Dollars | 31,131 | Hong Kong Dollars | 242,000 | RBS | 15 | ||||||||||||||
09/21/11 | Hong Kong Dollars | 235,000 | U.S. Dollars | 30,196 | RBS | 20 | ||||||||||||||
09/21/11 | Hong Kong Dollars | 2,456,000 | U.S. Dollars | 315,712 | RBS | 71 | ||||||||||||||
09/21/11 | Israeli Shekels | 1,693,000 | U.S. Dollars | 490,796 | RBS | 4,437 | ||||||||||||||
09/21/11 | Israeli Shekels | 34,000 | U.S. Dollars | 9,878 | RBS | 68 | ||||||||||||||
09/21/11 | Israeli Shekels | 6,000 | U.S. Dollars | 1,719 | RBS | 36 | ||||||||||||||
09/21/11 | Israeli Shekels | 3,748,000 | U.S. Dollars | 1,088,586 | RBS | 7,771 | ||||||||||||||
09/21/11 | U.S. Dollars | 827,104 | Japanese Yen | 67,294,000 | RBS | (9,203 | ) | |||||||||||||
09/21/11 | Japanese Yen | 881,000 | U.S. Dollars | 11,010 | RBS | (62 | ) | |||||||||||||
09/21/11 | U.S. Dollars | 22,111,517 | Japanese Yen | 1,787,694,000 | RBS | (105,329 | ) | |||||||||||||
09/21/11 | U.S. Dollars | 955,502 | Norwegian Krone | 5,163,000 | RBS | 3,783 | �� | |||||||||||||
09/21/11 | Norwegian Krone | 26,069,000 | U.S. Dollars | 4,815,553 | RBS | (10,137 | ) | |||||||||||||
09/21/11 | Norwegian Krone | 3,442,000 | U.S. Dollars | 626,124 | RBS | 8,356 | ||||||||||||||
09/21/11 | Norwegian Krone | 67,879,000 | U.S. Dollars | 12,487,513 | RBS | 24,928 | ||||||||||||||
09/21/11 | New Zealand Dollars | 857,000 | U.S. Dollars | 700,449 | RBS | 5,517 | ||||||||||||||
09/21/11 | U.S. Dollars | 2,278,597 | New Zealand Dollars | 2,811,000 | RBS | (37,005 | ) | |||||||||||||
09/21/11 | New Zealand Dollars | 596,000 | U.S. Dollars | 477,491 | RBS | 13,473 | ||||||||||||||
09/21/11 | New Zealand Dollars | 1,926,000 | U.S. Dollars | 1,569,883 | RBS | 16,688 | ||||||||||||||
09/21/11 | U.S. Dollars | 1,005,094 | Swedish Kronor | 6,538,000 | RBS | (23,433 | ) | |||||||||||||
09/21/11 | Swedish Kronor | 144,184,000 | U.S. Dollars | 22,527,518 | RBS | 154,840 | ||||||||||||||
09/21/11 | Singapore Dollars | 7,000 | U.S. Dollars | 5,691 | RBS | 8 | ||||||||||||||
09/21/11 | U.S. Dollars | 35,014 | Singapore Dollars | 43,000 | RBS | 2 | ||||||||||||||
09/21/11 | Singapore Dollars | 10,000 | U.S. Dollars | 8,048 | RBS | 94 | ||||||||||||||
09/21/11 | Singapore Dollars | 594,000 | U.S. Dollars | 481,537 | RBS | 2,122 | ||||||||||||||
|
| |||||||||||||||||||
$ | (238,647 | ) | ||||||||||||||||||
|
|
Please see abbreviation and footnote definitions beginning on page 130.
187
Table of Contents
Options Written
Transactions in options written during the six months ended June 30, 2011 were as follows:
Fund | Number of Contracts | Notional Amount | Premiums Received | |||||||||
Low-Duration Bond Fund | ||||||||||||
Options written, 12/31/10 | 60 | $ | 89,500,000 | $ | 728,747 | |||||||
|
|
|
|
|
| |||||||
Options written | 530 | 14,200,000 | 267,543 | |||||||||
Options expired | (426 | ) | (61,200,000 | ) | (621,617 | ) | ||||||
Options closed | — | (23,900,000 | ) | (198,395 | ) | |||||||
|
|
|
|
|
| |||||||
Options written, 06/30/11 | 164 | $ | 18,600,000 | $ | 176,278 | |||||||
|
|
|
|
|
| |||||||
Medium-Duration Bond Fund | ||||||||||||
Options written, 12/31/10 | 36 | $ | 80,100,000 | $ | 652,009 | |||||||
|
|
|
|
|
| |||||||
Options written | 383 | 500,000 | 178,201 | |||||||||
Options expired | (322 | ) | (32,700,000 | ) | (386,341 | ) | ||||||
Options closed | — | (30,500,000 | ) | (256,890 | ) | |||||||
|
|
|
|
|
| |||||||
Options written, 06/30/11 | 97 | $ | 17,400,000 | $ | 186,979 | |||||||
|
|
|
|
|
| |||||||
Small Cap Equity Fund | ||||||||||||
Options written, 12/31/10 | — | $ | — | $ | — | |||||||
|
|
|
|
|
| |||||||
Options written | 68 | — | 23,038 | |||||||||
Options expired | — | — | — | |||||||||
Options closed | (68 | ) | — | (28,038 | ) | |||||||
|
|
|
|
|
| |||||||
Options written, 06/30/11 | — | $ | — | $ | — | |||||||
|
|
|
|
|
|
7. CAPITAL SHARE TRANSACTIONS
Transactions in shares of capital stock were as follows:
Six Months Ended June 30, 2011 | Year Ended December 31, 2010 | |||||||||||
GS2 | GS4 | GS2 | GS4 | |||||||||
MyDestination 2005 | ||||||||||||
Shares sold | 1,031,468 | 1,782,281 | ||||||||||
Shares exchanged | — | — | ||||||||||
Shares reinvested | — | 145,545 | ||||||||||
Shares redeemed | (775,408 | ) | (3,748,045 | ) | ||||||||
|
|
|
| |||||||||
Net increase (decrease) | 256,060 | (1,820,219 | ) | |||||||||
|
|
|
| |||||||||
MyDestination 2015 | ||||||||||||
Shares sold | 2,915,574 | 5,359,331 | ||||||||||
Shares exchanged | — | — | ||||||||||
Shares reinvested | — | 547,026 | ||||||||||
Shares redeemed | (1,159,868 | ) | (5,686,881 | ) | ||||||||
|
|
|
| |||||||||
Net increase | 1,755,706 | 219,476 | ||||||||||
|
|
|
| |||||||||
MyDestination 2025 | ||||||||||||
Shares sold | 3,321,523 | 6,117,622 | ||||||||||
Shares exchanged | — | — | ||||||||||
Shares reinvested | — | 425,744 | ||||||||||
Shares redeemed | (462,228 | ) | (1,598,263 | ) | ||||||||
|
|
|
| |||||||||
Net increase | 2,859,295 | 4,945,103 | ||||||||||
|
|
|
|
188
Table of Contents
Six Months Ended June 30, 2011 | Year Ended December 31, 2010 | |||||||||||||||
GS2 | GS4 | GS2 | GS4 | |||||||||||||
MyDestination 2035 | ||||||||||||||||
Shares sold | 1,895,114 | 3,628,903 | ||||||||||||||
Shares exchanged | — | — | ||||||||||||||
Shares reinvested | — | 152,793 | ||||||||||||||
Shares redeemed | (341,453 | ) | (1,024,122 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase | 1,553,661 | 2,757,574 | ||||||||||||||
|
|
|
| |||||||||||||
MyDestination 2045 | ||||||||||||||||
Shares sold | 1,610,087 | 3,312,450 | ||||||||||||||
Shares exchanged | — | — | ||||||||||||||
Shares reinvested | — | 101,676 | ||||||||||||||
Shares redeemed | (744,678 | ) | (501,015 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase | 865,409 | 2,913,111 | ||||||||||||||
|
|
|
| |||||||||||||
Conservative Allocation Fund | ||||||||||||||||
Shares sold | 1,667,839 | 3,187,360 | ||||||||||||||
Shares reinvested | 2 | 615,888 | ||||||||||||||
Shares redeemed | (1,241,418 | ) | (6,746,128 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | 426,423 | (2,942,880 | ) | |||||||||||||
|
|
|
| |||||||||||||
Balanced Allocation Fund | ||||||||||||||||
Shares sold | 2,701,328 | 3,835,756 | ||||||||||||||
Shares exchanged | — | — | ||||||||||||||
Shares reinvested | — | 2,548,485 | ||||||||||||||
Shares redeemed | (3,213,803 | ) | (15,601,452 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net decrease | (512,475 | ) | (9,217,211 | ) | ||||||||||||
|
|
|
| |||||||||||||
Growth Allocation Fund | ||||||||||||||||
Shares sold | 1,250,011 | 2,474,913 | ||||||||||||||
Shares reinvested | — | 1,888,651 | ||||||||||||||
Shares redeemed | (2,382,049 | ) | (11,457,649 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net decrease | (1,132,038 | ) | (7,094,085 | ) | ||||||||||||
|
|
|
| |||||||||||||
Aggressive Allocation Fund | ||||||||||||||||
Shares sold | 1,168,265 | 3,255,212 | ||||||||||||||
Shares reinvested | — | 1,206,218 | ||||||||||||||
Shares redeemed | (2,282,653 | ) | (11,200,914 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net decrease | (1,114,388 | ) | (6,739,484 | ) | ||||||||||||
|
|
|
| |||||||||||||
Conservative Allocation Fund I | ||||||||||||||||
Shares sold | 729,730 | 1,241,966 | ||||||||||||||
Shares reinvested | — | 232,413 | ||||||||||||||
Shares redeemed | (476,090 | ) | (930,456 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase | 253,640 | 543,923 | ||||||||||||||
|
|
|
|
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Six Months Ended June 30, 2011 | Year Ended December 31, 2010 | |||||||||||||||
GS2 | GS4 | GS2 | GS4 | |||||||||||||
Balanced Allocation Fund I | ||||||||||||||||
Shares sold | 1,166,935 | 2,147,224 | ||||||||||||||
Shares reinvested | — | 1,582,934 | ||||||||||||||
Shares redeemed | (1,551,381 | ) | (3,979,021 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net decrease | (384,446 | ) | (248,863 | ) | ||||||||||||
|
|
|
| |||||||||||||
Growth Allocation Fund I | ||||||||||||||||
Shares sold | 592,812 | 1,349,275 | ||||||||||||||
Shares reinvested | — | 663,740 | ||||||||||||||
Shares redeemed | (846,571 | ) | (1,755,410 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | (253,759 | ) | 257,605 | |||||||||||||
|
|
|
| |||||||||||||
Aggressive Allocation Fund I | ||||||||||||||||
Shares sold | 340,030 | 906,542 | ||||||||||||||
Shares reinvested | — | 243,843 | ||||||||||||||
Shares redeemed | (707,586 | ) | (1,640,107 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net decrease | (367,556 | ) | (489,722 | ) | ||||||||||||
|
|
|
| |||||||||||||
Money Market Fund | ||||||||||||||||
Shares sold | 65,157,000 | 1,563,263,655 | 94,494,393 | 4,496,591,499 | ||||||||||||
Shares reinvested | 67,315 | 23,394 | 203,577 | 136,473 | ||||||||||||
Shares redeemed | (55,321,466 | ) | (1,499,091,847 | ) | (108,704,940 | ) | (4,381,459,309 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 9,902,849 | 64,195,202 | (14,006,970 | ) | 115,268,663 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Low-Duration Bond Fund | ||||||||||||||||
Shares sold | 814,311 | 3,017,745 | 2,213,591 | 6,135,841 | ||||||||||||
Shares reinvested | 109,151 | 186,394 | 600,976 | 1,182,586 | ||||||||||||
Shares redeemed | (574,044 | ) | (1,094,875 | ) | (1,397,531 | ) | (7,123,322 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 349,418 | 2,109,264 | 1,417,036 | 195,105 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Medium-Duration Bond Fund | ||||||||||||||||
Shares sold | 1,290,875 | 2,185,992 | 15,423,343 | 10,208,086 | ||||||||||||
Shares reinvested | 488,815 | 342,272 | 2,148,938 | 3,449,151 | ||||||||||||
Shares redeemed | (2,324,932 | ) | (1,384,616 | ) | (3,689,932 | ) | (33,721,553 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (545,242 | ) | 1,143,648 | 13,882,349 | (20,064,316 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Extended-Duration Bond Fund | ||||||||||||||||
Shares sold | 647,060 | 1,304,902 | 1,659,903 | 4,938,166 | ||||||||||||
Shares reinvested | 651,817 | 496,193 | 1,280,612 | 1,288,882 | ||||||||||||
Shares redeemed | (933,964 | ) | (3,130,318 | ) | (2,100,789 | ) | (11,095,823 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 364,913 | (1,329,223 | ) | 839,726 | (4,868,775 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Inflation Protected Bond Fund | ||||||||||||||||
Shares sold | 2,558,422 | 4,018,816 | ||||||||||||||
Shares reinvested | 304,851 | 454,380 | ||||||||||||||
Shares redeemed | (944,186 | ) | (2,653,937 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase | 1,919,087 | 1,819,259 | ||||||||||||||
|
|
|
|
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Six Months Ended June 30, 2011 | Year Ended December 31, 2010 | |||||||||||||||
GS2 | GS4 | GS2 | GS4 | |||||||||||||
Global Bond Fund | ||||||||||||||||
Shares sold | 1,704,449 | 2,860,387 | ||||||||||||||
Shares reinvested | 439,698 | 1,274,719 | ||||||||||||||
Shares redeemed | (1,082,976 | ) | (11,423,859 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | 1,061,171 | (7,288,753 | ) | |||||||||||||
|
|
|
| |||||||||||||
Equity Index Fund | ||||||||||||||||
Shares sold | 157,865 | 728,827 | 585,990 | 1,370,881 | ||||||||||||
Shares reinvested | 238,065 | 303,508 | 258,866 | 322,192 | ||||||||||||
Shares redeemed | (1,719,180 | ) | (3,995,670 | ) | (1,003,321 | ) | (3,317,757 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net decrease | (1,323,250 | ) | (2,963,335 | ) | (158,465 | ) | (1,624,684 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Real Estate Securities Fund | ||||||||||||||||
Shares sold | 2,218,992 | 7,796,557 | ||||||||||||||
Shares reinvested | 41,204 | 327,689 | ||||||||||||||
Shares redeemed | (1,959,323 | ) | (9,499,201 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | 300,873 | (1,374,955 | ) | |||||||||||||
|
|
|
| |||||||||||||
Value Equity Fund | ||||||||||||||||
Shares sold | 948,437 | 2,552,633 | 5,728,105 | 7,904,174 | ||||||||||||
Shares reinvested | 726,155 | 716,256 | 714,341 | 918,154 | ||||||||||||
Shares redeemed | (2,230,339 | ) | (4,519,331 | ) | (2,327,670 | ) | (20,837,377 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (555,747 | ) | (1,250,442 | ) | 4,114,776 | (12,015,049 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Growth Equity Fund | ||||||||||||||||
Shares sold | 460,495 | 2,720,392 | 1,101,945 | 5,750,705 | ||||||||||||
Shares reinvested | — | — | 4,036 | 8,372 | ||||||||||||
Shares redeemed | (753,256 | ) | (3,447,778 | ) | (2,591,161 | ) | (17,764,875 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net decrease | (292,761 | ) | (727,386 | ) | (1,485,180 | ) | (12,005,798 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Small Cap Equity Fund | ||||||||||||||||
Shares sold | 262,514 | 1,566,093 | 751,626 | 4,013,808 | ||||||||||||
Shares reinvested | — | — | 42,800 | 63,528 | ||||||||||||
Shares redeemed | (614,936 | ) | (2,755,488 | ) | (1,509,442 | ) | (7,727,717 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net decrease | (352,422 | ) | (1,189,395 | ) | (715,016 | ) | (3,650,381 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
International Equity Fund | ||||||||||||||||
Shares sold | 728,528 | 3,725,196 | 2,244,270 | 6,022,331 | ||||||||||||
Shares reinvested | — | — | 706,621 | 1,518,407 | ||||||||||||
Shares redeemed | (1,026,696 | ) | (2,912,990 | ) | (2,551,588 | ) | (19,455,495 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (298,168 | ) | 812,206 | 399,303 | (11,914,757 | ) | ||||||||||
|
|
|
|
|
|
|
|
8. BANK BORROWINGS
On October 28, 2010, the Board of Trustees approved a credit agreement with Bank of America, N.A. dated December 3, 2010, through December 1, 2011. The agreement permits up to $50 million, collectively. Interest is charged to each Fund based on its
191
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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.
On March 25, 2011, the Inflation Protected Bond Fund borrowed $250,000 at rate of 1.2495%. The Inflation Protected Bond Fund repaid the loan in the amount of $250,026, which represents principal and three days of accrued interest, on March 28, 2011. No other Funds borrowed for the period ended June 30, 2011, and there were no outstanding loans at June 30, 2011.
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 and capital gains 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, 2011, the International Equity Fund accrued non-U.S. taxes on unrealized gains of $60,151.
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 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.
Net investment income (loss) and net realized gains (losses) may differ for financial statements and tax purposes primarily because of deferred losses on straddles 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, straddles and investments in Passive Foreign Investment Companies (“PFIC’s”). Distributions during the year ended December 31, 2010, 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 | 2010 | $ | 1,382,009 | $ | — | $ | — | $ | 1,382,009 | |||||||||||
2009 | 1,564,404 | — | — | 1,564,404 | ||||||||||||||||
MyDestination 2015 | 2010 | 5,104,591 | — | — | 5,104,591 | |||||||||||||||
2009 | 4,412,565 | — | — | 4,412,565 | ||||||||||||||||
MyDestination 2025 | 2010 | 3,787,639 | — | — | 3,787,639 | |||||||||||||||
2009 | 2,884,184 | — | — | 2,884,184 | ||||||||||||||||
MyDestination 2035 | 2010 | 1,312,038 | — | — | 1,312,038 | |||||||||||||||
2009 | 1,043,907 | 124,488 | — | 1,168,395 | ||||||||||||||||
MyDestination 2045 | 2010 | 774,737 | 86,307 | — | 861,044 | |||||||||||||||
2009 | 683,723 | 4,334 | — | 688,057 | ||||||||||||||||
Conservative Allocation | 2010 | 6,148,217 | 1,177,999 | — | 7,326,216 | |||||||||||||||
2009 | 6,283,221 | 9,111,208 | — | 15,394,429 | ||||||||||||||||
Balanced Allocation | 2010 | 30,794,116 | — | — | 30,794,116 | |||||||||||||||
2009 | 26,391,713 | 6,797,379 | — | 33,189,092 | ||||||||||||||||
Growth Allocation | 2010 | 17,932,584 | 5,229,092 | — | 23,161,676 | |||||||||||||||
2009 | 11,529,071 | 3,868,509 | — | 15,397,580 | ||||||||||||||||
Aggressive Allocation | 2010 | 7,735,097 | 6,394,992 | — | 14,130,089 | |||||||||||||||
2009 | 7,894,855 | 4,792,148 | — | 12,687,003 | ||||||||||||||||
Conservative Allocation I | 2010 | 2,200,764 | — | — | 2,200,764 | |||||||||||||||
2009 | 2,128,240 | — | — | 2,128,240 | ||||||||||||||||
Balanced Allocation I | 2010 | 15,332,084 | — | — | 15,332,084 | |||||||||||||||
2009 | 15,067,834 | — | — | 15,067,834 | ||||||||||||||||
Growth Allocation I | 2010 | 6,706,135 | — | — | 6,706,135 | |||||||||||||||
2009 | 6,560,814 | — | — | 6,560,814 | ||||||||||||||||
Aggressive Allocation I | 2010 | 2,510,802 | — | — | 2,510,802 | |||||||||||||||
2009 | 3,254,796 | — | — | 3,254,796 | ||||||||||||||||
Money Market | 2010 | 408,875 | — | — | 408,875 | |||||||||||||||
2009 | 3,671,028 | — | — | 3,671,028 | ||||||||||||||||
Low-Duration Bond | 2010 | 19,384,900 | 1,577,570 | — | 20,962,470 | |||||||||||||||
2009 | 20,184,508 | — | — | 20,184,508 | ||||||||||||||||
Medium-Duration Bond | 2010 | 56,868,924 | 6,383,322 | — | 63,252,246 | |||||||||||||||
2009 | 62,933,294 | — | — | 62,933,294 | ||||||||||||||||
Extended-Duration Bond | 2010 | 26,346,080 | 3,455,445 | — | 29,801,525 | |||||||||||||||
2009 | 26,490,239 | 632,726 | — | 27,122,965 | ||||||||||||||||
Inflation Protected Bond | 2010 | 4,258,151 | 498,839 | — | 4,756,990 | |||||||||||||||
2009 | 1,409,572 | 41,466 | — | 1,451,038 | ||||||||||||||||
Global Bond | 2010 | 12,273,443 | — | — | 12,273,443 | |||||||||||||||
2009 | 13,789,431 | — | — | 13,789,431 | ||||||||||||||||
Equity Index | 2010 | 6,944,528 | — | — | 6,944,528 | |||||||||||||||
2009 | 6,217,465 | — | — | 6,217,465 | ||||||||||||||||
Real Estate Securities | 2010 | 2,634,670 | — | — | 2,634,670 | |||||||||||||||
2009 | 2,070,541 | — | 45,334 | 2,115,875 | ||||||||||||||||
Value Equity | 2010 | 16,090,315 | — | — | 16,090,315 | |||||||||||||||
2009 | 19,742,615 | — | — | 19,742,615 | ||||||||||||||||
Growth Equity | 2010 | 174,095 | — | — | 174,095 | |||||||||||||||
2009 | 1,374,244 | — | — | 1,374,244 | ||||||||||||||||
Small Cap Equity | 2010 | 1,340,931 | — | — | 1,340,931 | |||||||||||||||
2009 | 1,121,177 | — | — | 1,121,177 | ||||||||||||||||
International Equity | 2010 | 27,463,589 | — | — | 27,463,589 | |||||||||||||||
2009 | 29,748,575 | 5,380 | — | 29,753,955 |
193
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At December 31, 2010, 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 | $ | 149,327 | $ | (4,792,433 | ) | $ | (472,988 | ) | $ | 443,716 | ||||||
MyDestination 2015 | 1,490,826 | (7,250,592 | ) | (2,484,824 | ) | 1,112,516 | ||||||||||
MyDestination 2025 | 642,853 | (1,284,239 | ) | — | 2,730,185 | |||||||||||
MyDestination 2035 | 124,835 | 47,692 | — | 4,975,460 | ||||||||||||
MyDestination 2045 | 51,091 | 76,265 | — | 8,821,157 | ||||||||||||
Conservative Allocation | 139,529 | 4,058,953 | — | 14,730,573 | ||||||||||||
Balanced Allocation | 2,195,907 | 3,410,197 | — | 54,808,050 | ||||||||||||
Growth Allocation | 444,300 | 5,077,773 | — | 25,227,464 | ||||||||||||
Aggressive Allocation | 748,061 | 4,650,064 | — | 6,658,272 | ||||||||||||
Conservative Allocation I | 724,828 | (3,904,509 | ) | (103,307 | ) | (992,371 | ) | |||||||||
Balanced Allocation I | 5,589,325 | (13,653,728 | ) | (239,985 | ) | (29,293,097 | ) | |||||||||
Growth Allocation I | 1,563,564 | (4,174,277 | ) | — | (26,603,415 | ) | ||||||||||
Aggressive Allocation I | 2,389,297 | (6,510,682 | ) | — | (26,988,415 | ) | ||||||||||
Money Market | 7,259 | — | — | — | ||||||||||||
Low-Duration Bond | 553,405 | — | (1,167,629 | ) | (6,297,430 | ) | ||||||||||
Medium-Duration Bond | 247,194 | — | (5,056,236 | ) | (18,364,584 | ) | ||||||||||
Extended-Duration Bond | 494,619 | 2,037,838 | — | 28,660,653 | ||||||||||||
Inflation Protected Bond | 163,978 | 664,227 | — | 2,512,608 | ||||||||||||
Global Bond | 1,332,533 | (9,652,729 | ) | — | 6,211,682 | |||||||||||
Equity Index | 1,075,513 | 2,856,137 | — | 59,644,585 | ||||||||||||
Real Estate Securities | — | (30,921,622 | ) | — | 17,110,026 | |||||||||||
Value Equity | 7,719,446 | (151,602,699 | ) | — | 363,473 | |||||||||||
Growth Equity | — | (101,927,562 | ) | — | 285,434,281 | |||||||||||
Small Cap Equity | — | (67,481,437 | ) | (2,661 | ) | 79,826,490 | ||||||||||
International Equity | 505,860 | (175,843,352 | ) | (129,398 | ) | 147,585,999 |
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, 2010:
Expiring December 31, | 2016 | 2017 | 2018 | Total | ||||||||||||
MyDestination 2005 | $ | 42,414 | $ | 3,181,689 | $ | 1,568,330 | $ | 4,792,433 | ||||||||
MyDestination 2015 | 889,637 | 3,304,014 | 3,056,941 | 7,250,592 | ||||||||||||
MyDestination 2025 | — | 1,284,239 | — | 1,284,239 | ||||||||||||
Conservative Allocation I | 650,405 | 2,885,574 | 368,530 | 3,904,509 | ||||||||||||
Balanced Allocation I | 4,262,186 | 5,929,663 | 3,461,879 | 13,653,728 | ||||||||||||
Growth Allocation I | 412,556 | 2,508,443 | 1,253,278 | 4,174,277 | ||||||||||||
Aggressive Allocation I | 3,489,043 | 902,289 | 2,119,350 | 6,510,682 | ||||||||||||
Global Bond | — | 9,652,729 | — | 9,652,729 | ||||||||||||
Real Estate Securities | — | 30,921,622 | — | 30,921,622 | ||||||||||||
Value Equity | 48,251,938 | 103,350,761 | — | 151,602,699 | ||||||||||||
Growth Equity | — | 101,927,562 | — | 101,927,562 | ||||||||||||
Small Cap Equity | 7,930,222 | 59,551,215 | — | 67,481,437 | ||||||||||||
International Equity | — | 175,843,352 | — | 175,843,352 |
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Table of Contents
At June 30, 2011, 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 | $ | 57,561,635 | $ | 1,792,134 | $ | 1,792,141 | $ | (7 | ) | |||||||
MyDestination 2015 | 258,640,795 | 15,775,786 | 15,775,798 | (12 | ) | |||||||||||
MyDestination 2025 | 257,726,651 | 18,321,805 | 18,321,817 | (12 | ) | |||||||||||
MyDestination 2035 | 119,645,949 | 12,168,957 | 12,168,962 | (5 | ) | |||||||||||
MyDestination 2045 | 74,572,244 | 14,041,113 | 14,041,118 | (5 | ) | |||||||||||
Conservative Allocation | 253,660,912 | 20,790,068 | 20,790,150 | (82 | ) | |||||||||||
Balanced Allocation | 1,070,763,355 | 90,854,919 | 90,855,234 | (315 | ) | |||||||||||
Growth Allocation | 812,721,186 | 58,857,387 | 63,664,134 | (4,806,747 | ) | |||||||||||
Aggressive Allocation | 732,738,322 | 43,705,245 | 52,069,271 | (8,364,026 | ) | |||||||||||
Conservative Allocation I | 75,534,796 | 824,977 | 1,264,577 | (439,600 | ) | |||||||||||
Balanced Allocation I | 372,664,359 | (14,198,896 | ) | — | (14,198,896 | ) | ||||||||||
Growth Allocation I | 257,503,049 | (14,343,386 | ) | 3,441,901 | (17,785,287 | ) | ||||||||||
Aggressive Allocation I | 179,493,572 | (16,741,870 | ) | 2,285,005 | (19,026,875 | ) | ||||||||||
Money Market | 1,425,297,058 | — | — | — | ||||||||||||
Low-Duration Bond | 938,527,032 | (2,505,728 | ) | 11,673,260 | (14,178,988 | ) | ||||||||||
Medium-Duration Bond | 1,251,107,111 | (6,606,951 | ) | 27,223,124 | (33,830,075 | ) | ||||||||||
Extended-Duration Bond | 409,460,086 | 24,137,785 | 27,650,487 | (3,512,702 | ) | |||||||||||
Inflation Protected Bond | 177,510,628 | 4,173,939 | 7,185,916 | (3,011,977 | ) | |||||||||||
Global Bond | 193,754,261 | 11,354,654 | 14,392,272 | (3,037,618 | ) | |||||||||||
Equity Index | 318,704,782 | 65,177,805 | 98,076,768 | (32,898,963 | ) | |||||||||||
Real Estate Securities | 197,954,750 | 21,714,674 | 21,967,894 | (253,220 | ) | |||||||||||
Value Equity | 1,264,527,689 | 50,419,519 | 148,258,201 | (97,838,682 | ) | |||||||||||
Growth Equity | 1,161,680,634 | 291,738,183 | 302,172,487 | (10,434,304 | ) | |||||||||||
Small Cap Equity | 662,554,680 | 83,344,591 | 92,778,395 | (9,433,804 | ) | |||||||||||
International Equity | 1,286,469,363 | 102,082,764 | 135,083,445 | (33,000,681 | ) |
The differences between book basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales and on investments in PFIC’s.
At December 31, 2010, 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 PFICs, paydown losses, net operating losses, swaps, foreign currency transactions, distributions received from regulated investment companies, defaulted bonds, reclassifications of dividends paid and non-deductible expenses.
The following amounts were reclassified within the capital accounts:
Fund | Paid in Capital | Undistributed Net Investment Income | Accumulated Net Realized Gain (Loss) on Investments, Currency Translations and Derivative Transactions | |||||||||
MyDestination 2005 | $ | — | $ | 471,606 | $ | (471,606 | ) | |||||
MyDestination 2015 | — | 1,299,973 | (1,299,973 | ) | ||||||||
MyDestination 2025 | — | 495,722 | (495,722 | ) | ||||||||
MyDestination 2035 | — | 63,776 | (63,776 | ) | ||||||||
MyDestination 2045 | — | 119 | (119 | ) | ||||||||
Conservative Allocation | — | 1,487,987 | (1,487,987 | ) | ||||||||
Balanced Allocation | — | 6,697,327 | (6,697,327 | ) |
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Fund | Paid in Capital | Undistributed Net Investment Income | Accumulated Net Realized Gain (Loss) on Investments, Currency Translations and Derivative Transactions | |||||||||
Growth Allocation | $ | — | $ | 2,461,601 | $ | (2,461,601 | ) | |||||
Aggressive Allocation | — | 2,708 | (2,708 | ) | ||||||||
Conservative Allocation I | — | 517,134 | (517,134 | ) | ||||||||
Balanced Allocation I | — | 3,743,893 | (3,743,893 | ) | ||||||||
Growth Allocation I | — | 1,211,865 | (1,211,865 | ) | ||||||||
Aggressive Allocation I | — | 154 | (154 | ) | ||||||||
Money Market | — | (67,785 | ) | 67,785 | ||||||||
Low-Duration Bond | — | 538,938 | (538,938 | ) | ||||||||
Medium-Duration Bond | — | 202,235 | (202,235 | ) | ||||||||
Extended-Duration Bond | — | 856,597 | (856,597 | ) | ||||||||
Inflation Protected Bond | (1,343 | ) | 4,206 | (2,863 | ) | |||||||
Global Bond | — | 1,926,958 | (1,926,958 | ) | ||||||||
Real Estate Securities | (729,638 | ) | 729,638 | — | ||||||||
Growth Equity | (273,038 | ) | 270,717 | 2,321 | ||||||||
Small Cap Equity | (38,656 | ) | 33,676 | 4,980 | ||||||||
International Equity | — | 5,363,485 | (5,363,485 | ) |
Net investment income, net realized gain (loss) on investments and net assets were not affected by these reclassifications.
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.
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
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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 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 $2,620,000 and $1,020,000 in the Low-Duration Bond Fund and Medium-Duration Bond Fund, respectively, at June 30, 2011. 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,
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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. NEW ACCOUNTING PROUNCEMENTS
In May 2011, the FASB issued “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and International Financial Reporting Standards (“IFRS”), together (the “Standard”). The Standard includes common requirements for measurement of and disclosure about fair value between U.S. GAAP and IFRS. The Standard will require reporting entities to disclose quantitative information about the unobservable inputs used in the fair value measurements categorized within Level 3 of the fair value hierarchy. In addition, the Standard will require reporting entities to make disclosures about amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2011. Management is currently evaluating the impact the new Standard will have on its financial statement disclosures.
13. 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 | Term of Office and Length of Time Served1 | Principal Occupation(s) | Number of Portfolios in Fund Complex Overseen by Trustee | Other Trusteeships/ | ||||
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. | ||||
Carson L. Eddy (1943) 2401 Cedar Springs Road Dallas, TX 75201-1407 Trustee | Since 2011 | Partner in Charge (Orlando office), Carr, Riggs & Ingram,LLC, 2007 - present – Certified Public Accountants; President, Quantum Consulting Group LLC, 2000 - present; Managing Partner, Cuthill & Eddy LLC, 1993 - 2007 - Certified Public Accountants | 25 | N/A | ||||
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 | ||||
Grady R. Hazel (1947) 2401 Cedar Springs Road Dallas, TX 75201-1407 Trustee | Since 2011 | Executive Director, Society of Louisiana CPAs, 1995 - present. | 25 | Neighbors Federal Credit Union — Board of Directors Member and Chairman of Audit Committee; Stonetrust Commercial Insurance Company — Board of Directors Member and Member of Audit Committee | ||||
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 R. 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 |
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FUND MANAGEMENT (Continued)
Name, (DOB), Address and | Term of Office and Length of Time Served1 | Principal Occupation(s) | Number of Portfolios in Fund Complex Overseen by Trustee | Other Trusteeships/ Directorships Held by Trusteee | ||||
INTERESTED TRUSTEES2,3 | ||||||||
Barry D. 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 | ||||
OFFICERS WHO ARE NOT TRUSTEES4 | ||||||||
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, Secretary and Chief Legal Officer | 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 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 are “interested persons” of the Trust as the term is defined in Section 2(a)19 of 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 website at www.GuideStoneFunds.org or by visiting the SEC’s website at www.sec.gov.
FORM N-MFP
Beginning December 2009, the GuideStone Money Market Fund began filing Form N-MFP with the SEC. Form N-MFP is filed on a monthly basis by money market mutual funds and includes detailed information about a money market fund’s investments and the market-based price of its portfolio known as its “shadow NAV” or mark-to-market valuation. The portfolio holdings information is posted on our website, www.GuideStoneFunds.org within five business days after the end of the month. Form N-MFP is made available online with a 60-day delay 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 website, GuideStone Funds files a complete schedule of portfolio holdings with the 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 website, www.GuideStoneFunds.org. You may also obtain the Form N-Q filings by accessing the SEC’s website 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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BOARD REVIEW OF NEW SUB-ADVISORY AGREEMENTS FOR INTERNATIONAL EQUITY FUND AND CASH OVERLAY PROGRAM (FOR ALL FUNDS EXCEPT THE MONEY MARKET FUND) AND AMENDED SUB-ADVISORY FEE SCHEDULES FOR REAL ESTATE SECURITIES FUND, VALUE EQUITY FUND, SMALL CAP EQUITY FUND AND INTERNATIONAL EQUITY FUND (UNAUDITED)
As required by the Investment Company Act of 1940, as amended (the “1940 Act”), the Board of Trustees (the “Board”) of GuideStone Funds (the “Trust”), including all of the Trustees who are not “interested persons” of the Trust, as that term is defined in the 1940 Act (the “Independent Trustees”), considered the approval of the following new sub-advisory agreements among: (i) Tradewinds Global Investors, LLC (“Tradewinds”), GuideStone Capital Management (the “Adviser”) and the Trust on behalf of the International Equity Fund; (ii) The Clifton Group Investment Management Company (“Clifton”), the Adviser and the Trust on behalf of each series of the Trust, with the exception of the Money Market Fund (each a “Fund” and collectively, the “Funds”), for the purpose of investing cash balances (the “Cash Overlay Program”); and (iii) Baillie Gifford Overseas Limited (“Baillie Gifford”), the Adviser and the Trust on behalf of the International Equity Fund. The Board approved the new sub-advisory agreements with Tradewinds and Clifton for a two-year term at an in-person meeting of the Board held on February 25, 2011. The Board approved the new sub-advisory agreement with Baillie Gifford for a two-year term at an in-person meeting of the Board held on May 24, 2011 (the sub-advisory agreements for Tradewinds, Clifton and Baillie Gifford are collectively referred to herein as the “New Sub-Advisory Agreements”).
Additionally, the Board, including all of the Independent Trustees, considered the approval of an amendment to the fee schedule for each of the following sub-advisory agreements: (i) RREEF America L.L.C (“RREEF”), the Adviser and the Trust on behalf of the Real Estate Securities Fund; (ii) Aronson Johnson Ortiz, LP (“AJO”), the Adviser and the Trust on behalf of the Value Equity Fund; (iii) Lord, Abbett & Co. LLC (“Lord Abbett”), the Adviser and the Trust on behalf of the Small Cap Equity Fund; and (iv) AQR Capital Management, LLC (“AQR”), McKinley Capital Management, LLC (“McKinley Capital”) and MFS Institutional Advisors, Inc. (“MFSI”), the Adviser and the Trust on behalf of the International Equity Fund (collectively, the “Amended Sub-Advisory Fee Schedules”). The Board approved the Amended Sub-Advisory Fee Schedules at an in-person meeting of the Board held on May 24, 2011.
The Board’s decision to approve the New Sub-Advisory Agreements and the Amended Sub-Advisory Fee Schedules reflects the exercise of its business judgment to enter into new or amended sub-advisory arrangements. In approving the New Sub-Advisory Agreements and the Amended Sub-Advisory Fee Schedules, the Board considered information provided by the Adviser and each of the aforementioned sub-advisers with the assistance and advice of counsel to the Independent Trustees and counsel to the Trust.
With respect to the International Equity Fund and the Cash Overlay Program, the Board’s consideration of various factors and its conclusions with respect to such factors formed the basis for the Board’s determination to approve the New Sub-Advisory Agreements. The factors considered by the Board included, but were not limited to: (i) the resources of Tradewinds, Clifton and Baillie Gifford; (ii) the experience and expertise of Tradewinds, Clifton and Baillie Gifford; (iii) the financial capability of Tradewinds, Clifton and Baillie Gifford; (iv) the compliance procedures and history of Tradewinds, Clifton and Baillie Gifford; (v) the performance of similarly managed funds and accounts in comparison to relevant benchmarks for the International Equity Fund and the Cash Overlay Program; (vi) the amount of the contractual sub-advisory fee in comparison to similarly managed funds and any available information for Tradewinds, Clifton and Baillie Gifford’s other similarly situated clients and the effect of any fee waiver and expense reimbursement arrangement; (vii) the total expenses of the International Equity Fund and the Cash Overlay Program in comparison to similarly managed funds and the use of any anticipated expense caps; (viii) to the extent available, the anticipated profitability of Tradewinds, Clifton and Baillie Gifford with respect to the International Equity Fund and the Cash Overlay Program and its overall business; (ix) the extent of any economies of scale and whether the fee structure reflects such economies of scale; (x) the existence of any collateral benefits to be realized by Tradewinds, Clifton and Baillie Gifford; and (xi) the existence of any collateral benefits to be realized by the International Equity Fund and the Cash Overlay Program. No one factor was determinative in the Board’s consideration of the New Sub-Advisory Agreements.
The Board undertook a review of the terms of the New Sub-Advisory Agreements, and the nature and quality of the services to be provided by Tradewinds, Clifton and Baillie Gifford. The Adviser provided the Board with detailed information in the form of
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reports about Tradewinds, Clifton and Baillie Gifford prior to the meeting which addressed most, if not all, of the factors listed previously. The Adviser also provided additional information about Tradewinds, Clifton and Baillie Gifford in a presentation made during the meeting, discussed the comprehensive screening process used to recommend Tradewinds, Clifton and Baillie Gifford and responded to questions from the Board.
The Board also undertook a review of the terms of the Amended Sub-Advisory Fee Schedules and the proposed fee changes to RREEF, AJO, Lord Abbett, AQR, McKinley Capital and MFSI. The Adviser provided the Board with details regarding the proposed new fees to be charged under the Amended Sub-Advisory Fee Schedules and responded to questions from the Board regarding these matters.
The Independent Trustees met separately in executive session with counsel to the Independent Trustees to discuss and consider information presented in connection with the approval of the New Sub-Advisory Agreements and the Amended Sub-Advisory Fee Schedules, including the Board’s responsibilities and duties in approving each matter.
BOARD APPROVAL OF NEW SUB-ADVISORY AGREEMENTS FOR INTERNATIONAL EQUITY FUND AND CASH OVERLAY PROGRAM (FOR ALL FUNDS EXCEPT THE MONEY MARKET FUND)
In considering the approval of the New Sub-Advisory Agreements for the International Equity Fund and the Cash Overlay Program for each Fund except the Money Market Fund, the Board took into account the materials provided prior to and during the meeting, the presentations made during the meeting and the extensive discussions during the meeting, including the discussions the Independent Trustees had during their executive session with independent legal counsel. The Board considered its responsibilities with respect to reviewing and approving the terms of the New Sub-Advisory Agreements, the investment management teams at Tradewinds, Clifton and Baillie Gifford, the reasonableness of the sub-advisory fees and whether the appointment of each sub-adviser would be reasonable and fair to the shareholders of the International Equity Fund and each Fund that utilizes the Cash Overlay Program. The Board reviewed the factors that it should consider in evaluating whether to approve the New Sub-Advisory Agreements and the materials provided to support each factor.
The Board considered the reputation, compliance history, compliance program and financial condition of Tradewinds, Clifton and Baillie Gifford. The Board also considered the experience of key personnel at each sub-adviser in providing investment management services to the International Equity Fund and each Fund that utilizes the Cash Overlay Program, the systems and resources used by such persons to implement and manage the strategy and the ability of each sub-adviser to attract and retain capable personnel. The Board also noted the terms of the New Sub-Advisory Agreements and the responsibilities that each sub-adviser has to the International Equity Fund and each Fund that utilizes the Cash Overlay Program, including the responsibility of day-to-day management and compliance with a Fund’s policies and objective. The Board concluded that the International Equity Fund and each Fund that utilizes the Cash Overlay Program are likely to benefit from the extent and quality of the services with respect to each sub-adviser’s experience, personnel, operations and resources.
More specifically, the Board examined the nature, extent and quality of the services to be provided by Tradewinds on behalf of the International Equity Fund. The Board noted that, although Tradewinds’ Emerging Markets strategy had a relatively brief performance history, the Emerging Markets strategy had significantly outperformed its benchmark index in each of the last two calendar years and since its inception in the third quarter of 2008 and resided in the top quartile among comparable peers for each such period. The Board also took into account the longer performance history of Tradewinds’ international value strategy as further support for Tradewinds’ capability to provide sub-advisory services to the International Equity Fund. The Board noted that the emerging markets strategy would provide diversification benefits to the overall sub-adviser composite in the International Equity Fund. The Board noted that the Adviser had been able to negotiate fees that were favorable in comparison to the previous sub-adviser’s fee schedule and below Tradewinds’ standard fee schedule. The Board considered the extent to which Tradewinds’ fee schedule reflected economies of scale. The Board noted that Tradewinds’ fee schedule includes a breakpoint at a future specified asset level.
The Board examined the nature, extent and quality of the services to be provided by Clifton on behalf of each series of the Trust, with the exception of the Money Market Fund. The Board noted the experience of Clifton in providing cash overlay services. The Board noted the various dimensions that Clifton brought to the Cash Overlay Program, namely the ability to use both U.S.
Treasury futures and physical securities and the firm’s performance reporting capabilities. The Board noted that although Clifton’s fee schedule did not provide for any future breakpoints, the Adviser had been able to negotiate fees that were favorable
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to the Funds that utilize the Cash Overlay Program up to certain specified asset levels.
The Board examined the nature, extent and quality of the services to be provided by Baillie Gifford on behalf of the International Equity Fund. The Board noted that the Baillie Gifford EAFE Plus Alpha strategy is complementary to the International Equity Fund’s other growth investment strategies utilized by MFSI and McKinley Capital and has a history of favorable investment performance. The Board noted that the EAFE Plus Alpha strategy had significantly outperformed the benchmark index for the one-, three-, five- and seven-year and since inception periods ended March 31, 2011. The Board also noted that the investment performance of the EAFE Plus Alpha strategy ranked in the second quartile among peers with comparable investment strategies for the one- and three-year and since inceptions periods ended March 31, 2011 and straddled the first and second quartiles for the five- and seven-year periods ended March 31, 2011. The Trustees noted that although Baillie Gifford was unwilling to negotiate below its standard fee schedule, there would be no material impact upon the International Equity Fund’s overall sub-advisory fee composite. The Board noted that Baillie Gifford’s fee schedule included a breakpoint at a future specified asset level.
The Board noted the terms of the New Sub-Advisory Agreements and the responsibilities of each sub-adviser, including oversight of general fund compliance and compliance with the Trust’s social restrictions. The Board considered the Adviser’s assessment of each sub-adviser’s financial condition. The Board noted that the Adviser, after reviewing certain financial information provided by each sub-adviser, felt comfortable that each sub-adviser was financially sound.
Based on all the information presented to the Board and its consideration of relevant factors, the Board, in the exercise of its reasonable business judgment, concluded that the Trust, as a while, and each Fund, individually, are likely to benefit from the extent and quality of these services, and the Board determined to approve the New Sub-Advisory Agreements.
The Board considered the costs to GSCM of serving as the Adviser to the Funds, including the costs associated with the personnel, systems and equipment necessary to manage the Funds in accordance with the existing Advisory Agreement. The Board considered the anticipated revenues that GSCM expected to receive for serving as the Adviser to the Funds, the fact that any profit realized by the Adviser is forwarded to GuideStone Financial Resources, which historically has operated at a deficit with respect to the Trust. The Board also considered the profitability estimates for the Adviser, one without taking into account sub-advisory fees and one taking into account sub-advisory fees. The Board then considered whether any direct or indirect collateral benefits inured to either the Adviser or the Trust as a result of their affiliation with one another. In light of these considerations, the Board concluded that any profits realized in connection with the Adviser’s services appeared reasonable.
BOARD APPROVAL OF AMENDED SUB-ADVISORY FEE SCHEDULES FOR REAL ESTATE SECURITIES FUND, VALUE EQUITY FUND, SMALL CAP EQUITY FUND AND INTERNATIONAL EQUITY FUND
With respect to the Amended Sub-Advisory Fee Schedules, the Board commended the Adviser’s efforts on negotiating fee reductions that were favorable to the Trust and the Trust’s shareholders. The Board noted that, with the exception of the sub-advisory fee, there would be no change to the terms of the sub-advisory agreements. The Board noted that there would be no modification in services provided to the Trust as a result of the fee reductions. The Board also noted that the McKinley Capital and RREEF fee re-negotiations would result in a significant decrease to each sub-adviser’s fee schedule. The Board noted, however, that the effect of the sub-advisory fee reductions on the overall sub-advisory fee composites for the Small Cap Equity and International Equity Funds would be minimal and perhaps result in only a one basis point reduction in the composite sub-advisory fees. The Board noted that the overall impact to the sub-adviser fee composite for the International Equity and Small Cap Equity Funds would be essentially flat or roughly a one basis point reduction. The Board noted that the fee re-negotiations with RREEF resulted in approximately a 16 basis point reduction to the net annual operating expenses for the Real Estate Securities Fund, which would benefit both the fund’s shareholders and the Adviser insofar as the lower expenses would reduce or eliminate any fee waiver or expense reimbursement under the current expense cap. The Board noted that although MFSI’s proposed fee schedule did not include two breakpoints at higher specified asset levels that were included under the current fee schedule, the proposed fee schedule would not affect the sub-advisory fee payable to MFSI at current asset levels or the composite sub-advisory fee for the International Equity Fund.
Based on all of the information presented to the Board and its consideration of relevant factors, the Board, in the exercise of its reasonable business judgment, concluded that the Trust, as a whole, and each applicable series, individually, are likely to benefit
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from the Amended Sub-Advisory Fee Schedules, and the Board determined to approve the Amended Sub-Advisory Fee Schedules.
BOARD REVIEW OF INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS FOR DEFENSIVE MARKET STRATEGIES FUND
As required by the 1940 Act, the Board, including all of the Independent Trustees, considered the approval of the advisory agreement between the Adviser and the Trust on behalf of the Defensive Market Strategies Fund (the “New Fund” or “DMS”) (the “Advisory Agreement”) and the approval of sub-advisory agreements with four sub-advisers: American Century Investment Management, Inc. (“American Century”), AQR, Shenkman Capital Management, Inc. (“Shenkman”) and Turner Investment Partners, Inc. (“Turner”) (collectively, the “DMS Sub-Advisory Agreements”). Each sub-adviser was selected to manage a portion of the New Fund’s assets. The Board approved the Advisory Agreement for a one-year term and the DMS Sub-Advisory Agreements for a two-year term at an in-person meeting of the Board held on May 24, 2011. The New Fund is expected to commence operations on or about September 1, 2011. The New Fund’s performance will first be discussed in the Annual Report to shareholders dated December 31, 2011.
The Board’s decision to approve the Advisory Agreement and the DMS Sub-Advisory Agreements reflects the exercise of its business judgment to enter into advisory and sub-advisory agreements. In approving the Advisory Agreement and the DMS Sub-Advisory Agreements, the Board considered information provided by the Adviser and each of the four sub-advisers to the New Fund with the assistance and advice of counsel to the Independent Trustees and counsel to the Trust.
The Board’s consideration of various factors and its conclusions with respect to such factors formed the basis for the Board’s determination to approve the Advisory Agreement and the DMS Sub-Advisory Agreements. The factors considered by the Board included, but were not limited to: (i) the resources of the Adviser and each sub-adviser; (ii) the experience and expertise of the Adviser and each sub-adviser; (iii) the financial capability of the Adviser and each sub-adviser; (iv) the compliance procedures and history of the Adviser and each sub-adviser; (v) the performance of similarly managed funds and accounts in comparison to relevant benchmarks for the New Fund; (vi) the amount of the contractual advisory and sub-advisory fees in comparison to similarly managed funds and the Adviser’s and each sub-adviser’s other clients and the effect of any fee waiver and expense reimbursement arrangement; (vii) the total expenses of the New Fund in comparison to similarly managed funds and the use of past and anticipated expense caps; (viii) the anticipated profitability of the Adviser and each sub-adviser with respect to the New Fund and its overall business; (ix) the extent of any anticipated economies of scale and whether the fee structure reflects such economies of scale; (x) the existence of any collateral benefits to be realized by the Adviser and each sub-adviser; and (xi) the existence of any collateral benefits to be realized by the New Fund. No one factor was determinative in the Board’s consideration of the Advisory Agreement and the DMS Sub-Advisory Agreements.
The Board undertook a review of the terms of the Advisory Agreement and the DMS Sub-Advisory Agreements and the nature and quality of the services to be provided by the Adviser and each sub-adviser. The Adviser provided the Board with substantial detailed information in the form of reports about the New Fund, the Adviser and each sub-adviser prior to the meeting which addressed most, if not all, of the factors listed previously. The Adviser also provided additional information about the Adviser and each sub-adviser in a presentation made during the meeting, discussed the comprehensive screening process used to recommend each sub-adviser and responded to questions from the Board. In addition, the Independent Trustees met separately in executive session with counsel to the Independent Trustees to discuss and consider information presented in connection with the approval of the Advisory Agreement and the DMS Sub-Advisory Agreements as well as the Board’s responsibilities and duties in approving the Advisory Agreement and the DMS Sub-Advisory Agreements.
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT AND SUB-ADVISORY AGREEMENTS FOR DEFENSIVE MARKET STRATEGIES FUND
In considering the approval of the Advisory Agreement with the Adviser on behalf of the New Fund, the Board took into account all the materials provided prior to and during the meeting, the presentations made during the meeting and the extensive discussions during the meeting, including the discussion the Independent Trustees had during their executive session with their independent legal counsel. More specifically, the Board examined the nature, extent and quality of the services to be provided by the Adviser to the New Fund. The Board evaluated the Adviser’s experience in serving as an investment adviser, including overseeing and managing the allocation of existing Fund assets among the underlying Select Funds. The Board noted the
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experience of key personnel in providing investment management and administrative services, the systems used by such persons and the Adviser’s ability to attract and retain capable personnel. The Board noted the reputation, compliance history, compliance program and financial condition of the Adviser. The Board noted the terms of the agreement and the responsibilities that the Adviser has as an investment adviser to the New Fund, including oversight of general Fund compliance, compliance with social restrictions and the implementation of Board directives as they relate to the New Fund. The Board also noted that, except for the identity of the New Fund and its management fee, the Advisory Agreement is identical in all material respects to other advisory agreements entered into by the other series of the Trust. The Board concluded that the New Fund is likely to benefit from the extent and quality of these services as a result of the Adviser’s experience, personnel, operations and resources.
The Board also reviewed a memorandum prepared by a third-party independent consulting firm engaged by the Adviser for, among other things, supplying research on expense comparisons. The Board noted that the aggregate management fee, taking into account the proposed fee cap for the New Fund, was competitive relative to other comparable funds with similar investment objectives and policies.
Based on all of the information presented to the Board and its consideration of relevant factors, the Board, in the exercise of its reasonable business judgment, determined to approve the Advisory Agreement.
In considering approval of the DMS Sub-Advisory Agreements on behalf of the New Fund, the Board took into account all the materials provided prior to and during the meeting, the presentations made during the meeting and the extensive discussions during the meeting, including the discussion the Independent Trustees had during their executive session with their independent legal counsel. The Board considered its responsibilities with respect to reviewing and approving the terms of the DMS Sub-Advisory Agreements, the investment management team at each sub-adviser, the reasonableness of the sub-advisory fees and whether the appointment of each sub-adviser would benefit the New Fund. The Board reviewed the factors that it should consider in evaluating whether to approve the DMS Sub-Advisory Agreements and the materials provided to support each factor.
The Board considered the reputation, compliance history, compliance program and financial condition of each sub-adviser. The Board also considered the experience of key personnel at each sub-adviser in providing investment management services to the New Fund, the systems and resources used by such persons to implement and manage the strategy and the ability of each sub-adviser to attract and retain capable personnel. The Board also noted the terms of the DMS Sub-Advisory Agreements and the responsibilities that each sub-adviser has to the New Fund, including the responsibility of day-to-day management of an investment portfolio of the New Fund, compliance with the New Fund’s policies and objective and the implementation of Board directives as they relate to the New Fund.
The Board noted that the investment objective of the New Fund is to provide a return similar to the equity market over a full market cycle with substantially lower volatility while providing greater protection of share net asset value in declining equity markets. In that regard, the Board noted that the investment performance of the New Fund is expected to generally lag the investment performance of the equity market in sharply rising markets, keep pace in slowly upward trending markets and outperform in declining markets.
More specifically, the Board examined the nature, extent and quality of the services to be provided by American Century to the New Fund. The Board noted that the American Century Value Yield strategy outperformed the relevant benchmark index for the three-, five- and seven-year and since inception periods ended March 31, 2011. The Board noted that the investment performance of the Value Yield strategy straddled the second and third quartiles among peers with comparable investment strategies for the three- and five-year and since inceptions periods ended March 31, 2011, and fell within the third quartile for the seven-year period. The Board also noted that the Value Yield strategy underperformed the relevant benchmark index for the one-year period ended March 31, 2011, and fell within the bottom quartile for that period. The Board noted that although American Century’s fee schedule did not provide for any future breakpoints, the Adviser was able to negotiate a fee that was a significant discount from American Century’s standard fee schedule.
The Board examined the nature, extent and quality of the services to be provided by AQR to the New Fund. The Board noted that AQR would manage its U.S. Defensive Equity strategy. The Board noted that the AQR U.S. Defensive Equity strategy is a new investment strategy and has only recently been made available for investment. As such, the U.S. Defensive Equity strategy does not have an actual history of investment performance. The Board noted that although AQR did not currently manage the strategy
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for other client accounts, AQR has extensive experience in managing quantitative strategies and that the Adviser expressed confidence in AQR managing the U.S. Defensive Equity Strategy for the New Fund. The Board also noted that AQR developed hypothetical investment performance results for the U.S. Defensive Equity Strategy for a period of roughly over 27 years which indicate returns above the Russell 1000® Index in stressed market environments, notably 2000 to 2002 and 2008, and returns below the Russell 1000® Index in bull markets. The Board noted that based on such hypothetical investment performance results the U.S. Defensive Equity Strategy outperformed the benchmark Russell 1000® Index for the three-, five- and seven-year and since inception periods ended March 31, 2011, and slightly underperformed the benchmark index for the one-year period. The Board noted that although AQR’s fee schedule did not provide for any future breakpoints, the Adviser was able to negotiate a fee that was below AQR’s standard fee schedule.
The Board examined the nature, extent and quality of the services to be provided by Shenkman to the New Fund. The Board noted that the Shenkman Convertible Bond Investment Strategy had generally very favorable investment performance since its inception. The Board noted that the Convertible Bond Investment Strategy outperformed the relevant benchmark index for the three- and five-year and since inception periods ended March 31, 2011, and fell within the first quartile among peers with comparable investment strategies for those periods. The Board noted that the Convertible Bond Investment Strategy underperformed the relevant benchmark index for the one-year period ended March 31, 2011, and fell within the third quartile for that period. The Board noted Shenkman’s expertise in managing convertible securities. The Board noted that the sub-adviser’s fee schedule included a breakpoint at a future specified asset level. The Board also noted that the Adviser was able to negotiate fees that were below Shenkman’s standard fee schedule.
The Board examined the nature, extent and quality of the services to be provided by Shenkman to the New Fund. The Board noted that the Shenkman Convertible Bond Investment Strategy had generally very favorable investment performance since its inception. The Board noted that the Convertible Bond Investment Strategy outperformed the relevant benchmark index for the three- and five-year and since inception periods ended March 31, 2011, and fell within the first quartile among peers with comparable investment strategies for those periods. The Board noted that the Convertible Bond Investment Strategy underperformed the relevant benchmark index for the one-year period ended March 31, 2011, and fell within the third quartile for that period. The Board noted Shenkman’s expertise in managing convertible securities. The Board noted that the sub-adviser’s fee schedule included a breakpoint at a future specified asset level. The Board also noted that the Adviser was able to negotiate fees that were below Shenkman’s standard fee schedule.
The Board examined the nature, extent and quality of the services to be provided by Turner to the New Fund. The Board noted that the Turner Spectrum Equity Strategy is a multi-strategy portfolio that seeks long-term capital appreciation through investments in eight underlying long/short equity strategies, each of which is independently managed by a separate portfolio management team at Turner. The Board noted that the Spectrum Equity Strategy would be the lowest risk investment strategy within the New Fund and that the Spectrum Equity Strategy had generally favorable investment performance since its inception in November 2008. The Board noted that the Spectrum Equity Strategy placed within the second quartile among peers with comparable investment strategies for the one-year and since inception periods ended March 31, 2011, but underperformed the benchmark index during those periods. The Board also noted that Turner managed other long/short equity investment strategies prior to the development of the Spectrum Equity Strategy and that those other strategies also had favorable investment performance histories. The Board noted that although Turner’s fee schedule did not provide for any future breakpoints, the Adviser was able to negotiate fees that were significantly below Turner’s standard fee schedule.
The Board considered the Adviser’s assessment of each sub-adviser’s financial condition. The Board noted that the Adviser, after reviewing certain financial information provided by each sub-adviser, felt comfortable that each sub-adviser was financially sound.
Based on all of the information presented to the Board and its consideration of relevant factors, the Board, in the exercise of its reasonable business judgment, concluded that the New Fund is likely to benefit from the extent and quality of these services as a result of each sub-adviser’s experience, personnel, operations and resources and determined to approve the DMS Sub-Advisory Agreements.
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BOARD REVIEW OF INTERIM SUB-ADVISORY AGREEMENT FOR THE INTERNATIONAL EQUITY FUND
As required by the 1940 Act, the Board of the Trust, including all of the Independent Trustees, considered the approval of an interim sub-advisory agreement (“Interim Sub-Advisory Agreement”) among the Adviser, Mondrian Investment Partners Ltd. (“Mondrian”) and the Trust on behalf of the International Equity Fund. At a meeting of the Board held on June 30, 2011, the Board approved an Interim Sub-Advisory Agreement with Mondrian to take effect immediately upon the change of control of Mondrian.
The Board’s consideration of various factors and its conclusions with respect to such factors formed the basis for the Board’s determination to approve the Interim Sub-Advisory Agreement. The factors considered by the Board included, but were not limited to: (i) the changes, if any, in fees, services or other terms of the Interim Sub-Advisory Agreement; (ii) Mondrian’s corporate structure after the transaction causing the assignment of the sub-advisory agreement and any potential effects on the ability of Mondrian to provide services to the International Equity Fund; (iii) any changes to Mondrian’s personnel, systems or policies arising from the transaction; and (iv) any other possible effects of the transaction on the operations of Mondrian or the services it provides to the International Equity Fund.
Mondrian provided the Board with a memorandum summarizing the details of the transaction prior to the meeting which addressed most, if not all, of the critical aspects of the transaction.
The Independent Trustees consulted with counsel to the Independent Trustees and Trust counsel to discuss and consider the information presented in connection with the approval of the Interim Sub-Advisory Agreement, including the Board’s responsibilities and duties in approving the Interim Sub-Advisory Agreement.
BOARD APPROVAL OF INTERIM SUB-ADVISORY AGREEMENT FOR THE INTERNATIONAL EQUITY FUND
In considering the approval of the Interim Sub-Advisory Agreement for the International Equity Fund, the Board took into account the materials provided prior to the meeting, the presentations made during the meeting and the extensive discussions during the meeting. The Board examined the nature, extent and quality of the services provided by Mondrian to the International Equity Fund. The Board took into account that the Interim Sub-Advisory Agreement with Mondrian was identical in all material respects to the prior agreement, including compensation. The Board noted that the Adviser had been assured by Mondrian that there will be no impact to the quality of services, investment philosophy or the International Equity Fund’s investment team as a result of the transaction. The Board noted that the Adviser had reviewed cash flow forecasts and operating projections provided by Mondrian and felt comfortable that the firm’s financial plans were based on conservative forecasts of future business performance. The Board noted that the Adviser has been pleased with Mondrian’s overall performance to date, as Mondrian’s historical performance outperformed the relevant benchmark for the one-, three-, five- and ten-year periods ended May 31, 2011, and that the Adviser recommended retaining Mondrian as a sub-adviser to the International Equity Fund.
Based on all of the information presented to the Board and its consideration of relevant factors, the Board, in the exercise of its reasonable business judgment, the Board concluded that the International Equity Fund is likely to continue to benefit from the extent and quality of Mondrian’s services and determined to approve the Interim Sub-Advisory Agreement with Mondrian.
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INVESTMENT SUB-ADVISERS (Assets under management as of 06/30/11) (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 | $ | 3.7Tr | ||||||
Low-Duration Bond | BlackRock Financial Management, Inc. | 1988 | $ | 3.7Tr | ||||||
Payden & Rygel | 1983 | $ | 60.0B | |||||||
PIMCO (Pacific Investment Management Company LLC) | 1971 | $ | 1.3Tr | |||||||
Medium-Duration Bond | Goldman Sachs Asset Management, L.P. | 1984 | $ | 720.3B | ||||||
PIMCO (Pacific Investment Management Company LLC) | 1971 | $ | 1.3Tr | |||||||
Western Asset Management Company | 1971 | $ | 331.5B | |||||||
Western Asset Management Company Limited | 1971 | $ | 45.7B | |||||||
Extended-Duration Bond | Loomis, Sayles & Company, L.P. | 1926 | $ | 162.3B | ||||||
STW Fixed Income Management Ltd. | 1977 | $ | 11.0B | |||||||
Inflation Protected Bond | BlackRock Financial Management, Inc. | 1988 | $ | 3.7Tr | ||||||
Global Bond | Loomis, Sayles & Company, L.P. | 1926 | $ | 162.3B | ||||||
Western Asset Management Company | 1971 | $ | 331.5B | |||||||
Western Asset Management Company Limited | 1971 | $ | 45.7B | |||||||
Equity Index | Northern Trust Investments, Inc. | 1889 | $ | 662B | ||||||
Real Estate Securities | RREEF America L.L.C. | 1975 | $ | 17.0B | ||||||
Value Equity | Aronson Johnson Ortiz, LP | 1984 | $ | 20.6B | ||||||
Barrow, Hanley, Mewhinney & Straus, LLC | 1979 | $ | 63.1B | |||||||
Northern Trust Investments, Inc. | 1889 | $ | 662B | |||||||
TCW Investment Management Company | 1971 | $ | 119B | |||||||
Growth Equity | Columbus Circle Investors | 1975 | $ | 17.0B | ||||||
Marsico Capital Management, LLC | 1997 | $ | 49.3B | |||||||
Rainier Investment Management, Inc.® | 1991 | $ | 18.1B | |||||||
Sands Capital Management, LLC | 1992 | $ | 18.0B | |||||||
Small Cap Equity | Aronson Johnson Ortiz, LP | 1984 | $ | 20.6B | ||||||
Columbus Circle Investors | 1975 | $ | 17.0B | |||||||
Lord, Abbett & Co. LLC | 1929 | $ | 114.4B | |||||||
TimesSquare Capital Management, LLC | 2000 | $ | 14.8B | |||||||
Western Asset Management Company | 1971 | $ | 331.5B | |||||||
Western Asset Management Company Limited | 1971 | $ | 45.7B | |||||||
International Equity | AQR Capital Management, LLC | 1998 | $ | 41.2B | ||||||
Baillie Gifford Overseas Limited | 1908 | $ | 123.5B | |||||||
Genesis Asset Managers, LLP | 1989 | $ | 31.1B | |||||||
McKinley Capital Management, LLC | 1990 | $ | 11.2B | |||||||
MFS Institutional Advisors, Inc. | 1970 | $ | 73B | |||||||
Mondrian Investment Partners Ltd. | 1990 | $ | 72.9B | |||||||
Philadelphia International Advisors, L.P. | 1956 | $ | 5.2B | |||||||
Tradewinds Global Investors, LLC | 1990 | $ | 38.9B | |||||||
Custodian for GuideStone Funds Assets | The Northern Trust Company | 1889 | $ | 4.4Tr | ||||||
Cash Overlay for Date Target, Asset Allocation, Bond and Equity Funds | The Clifton Group Investment Management Company | 1992 | $ | 315B |
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 (1-888-984-8433), 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 |
© 2011 GuideStone Funds 18634 8/11 2239
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Item 2. | Code of Ethics. |
Not applicable.
Item 3. | Audit Committee Financial Expert. |
As of the end of the period covered by the report, the registrant’s board of directors has determined that Carson Eddy is qualified to serve as an audit committee financial expert serving on its audit committee and that he is “independent,” as defined by Item 3 of Form N-CSR.
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 25, 2011 |
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 25, 2011 |
By (Signature and Title)* | /s/ Jeffrey P. Billinger | |
Jeffrey P. Billinger, Vice President and Treasurer | ||
(principal financial officer) |
Date | August 25, 2011 |
* | Print the name and title of each signing officer under his or her signature. |