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: December 31, 2012
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.
Item 1. Reports to Stockholders.
The Report to Shareholders is attached herewith.
Annual Report
December 31, 2012
Gs2
Gs4
DATE TARGET FunDs
MyDestination 2005 Fund
GMIZX
MyDestination 2015 Fund
GMTZX
MyDestination 2025 Fund
GMWZX
MyDestination 2035 Fund
GMHZX
MyDestination 2045 Fund
GMFZX
MyDestination 2055 Fund
GMGZX
AssET AllocATion FunDs
Conservative Allocation Fund
GFIZX
Balanced Allocation Fund
GGIZX
Growth Allocation Fund
GCOZX
Aggressive Allocation Fund
GGBZX
Conservative Allocation Fund I
GFIYX
Balanced Allocation Fund I
GGIYX
Growth Allocation Fund I
GCOYX
Aggressive Allocation Fund I
GGBYX
sElEcT FunDs
Money Market Fund
GMYXX
GMZXX
Low-Duration Bond Fund
GLDYX
GLDZX
Medium-Duration Bond Fund
GMDYX
GMDZX
Extended-Duration Bond Fund
GEDYX
GEDZX
Inflation Protected Bond Fund
GIPZX
Global Bond Fund
GGBFX
Defensive Market Strategies Fund
GDMYX
GDMZX
Equity Index Fund
GEQYX
GEQZX
Real Estate Securities Fund
GREZX
Value Equity Fund
GVEYX
GVEZX
Growth Equity Fund
GGEYX
GGEZX
Small Cap Equity Fund
GSCYX
GSCZX
International Equity Fund
GIEYX
GIEZX
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 Foreside Funds Distributors LLC 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 products and 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).
TABLE OF CONTENTS
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 Foreside Funds Distributors LLC, 400 Berwyn Park, 899 Cassatt Road, Berwyn, PA 19312.
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LETTER FROM THE PRESIDENT
Dear Shareholder:
We are pleased to present you with the 2012 GuideStone Funds Annual Report. This report reflects our unwavering commitment to integrity in financial reporting; we believe this helps you stay fully informed of your investments. We hope that you will find this information valuable when making investment decisions.
During the first quarter of 2012, GuideStone Funds became the first Christian-based, socially screened fund family to win the Lipper Award for Best Overall Small Fund Group in the U.S., ranking No. 1 out of 182 fund families with up to $40 billion in assets. This notable achievement speaks to the investment expertise of GuideStone Capital Management and its multi-manager investment process.
Since winning the Lipper award, we have continued to augment the products and services delivered to our shareholders. Several examples of our ongoing commitment are noted below:
We have made it easier to invest with GuideStone Funds. Investors may now open a GuideStone Funds personal investment account, traditional IRA or Roth IRA online. Enrollment specialists are also available by phone to assist with rollovers and transfers from other financial institutions.
We have updated your tax forms to reflect changes in cost basis reporting. Investors who sold or exchanged shares within personal investment accounts will receive an IRS Form 1099-B. This form will now report the adjusted cost basis and the holding period for covered shares purchased after January 1, 2012.
We have added additional online tools to track investment performance. Our dynamic, interactive charts allow investors to track the growth of a hypothetical $10,000 investment into any GuideStone Fund. Additionally, investors may explore the chart’s other features which include timing of dividend payments, broad market index comparisons and Morningstar® Ratings.
We invite you to learn more about the new products and services offered by GuideStone Funds. Please visit our website at www.GuideStoneFunds.org or contact us at 1-888-98-GUIDE (1-888-984-8433). Thank you for entrusting GuideStone Funds with your investment assets, and we look forward to continuing to serve you.
| | |
| Sincerely, |
|
 |
|
John R. Jones, CFA President |
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GuideStone Funds shares are distributed by Foreside Funds Distributors LLC, not an advisor affiliate.
For each fund with at least a three-year history, a Morningstar Rating is based on a Morningstar risk-adjusted return measure that accounts for variation in a fund’s monthly historical performance (reflecting sales charges and redemption fees), placing more emphasis on downward variations and rewarding consistent performance. Within each asset class, the top 10%, the next 22.5%, 35%, 22.5%, and the bottom 10% receive 5, 4, 3, 2 or 1 star, respectively. Each fund is rated exclusively against U.S. domiciled funds. The Overall Morningstar Rating™ is based on the weighted average of the number of stars assigned to the fund’s applicable time periods. The 5-yr. rating accounts for 60% and the 3-yr. rating for 40%.
Lipper Inc., a Reuters Company, is a nationally-recognized organization that compares the performance of mutual funds having similar investment objectives. The comparison is made across registered mutual funds, ranking the funds with similar objectives according to total returns. These investment returns are calculated after operating expenses have been deducted from each fund, but the rankings do not take sales charges into account. Lipper rankings are subject to change monthly, and past rankings are no guarantee of future results. Lipper ranked 16 out of 20 GuideStone Funds (GS4 class) above median for the five-year period as of December 31, 2012.
About the Best Overall Small Company Lipper Award: GuideStone Funds ranked No. 1 out of 182 eligible companies in the small company category. To be considered for the Small Company Lipper award, companies must have at least three distinct portfolios in each of the following asset classes-equity, bond, or mixed-asset as well as at least 36 months of performance history as of the end of the calendar year of the respective evaluation year. The overall group award is given to the group with the lowest average decile ranking for Lipper’s Consistent Return measure of its respective asset class results over the three-year period. All rankings are for the three-year period as of November 30, 2011. In cases of identical results the lower average percentile rank will determine the winner. Lipper, a wholly owned subsidiary of Reuters, is a leading global provider of mutual fund information and analysis to fund companies, financial intermediaries, and media organizations. ©2011 Lipper a subsidiary of Thomson Reuters.
3
FROM THE CHIEF INVESTMENT OFFICER
| | |
Rodric E. Cummins, CFA | | Youngsters learn at an early age that the most basic fundamental in baseball is to “keep your eye on the ball,” despite the pressures and distractions of the game situation. In 2012, there was plenty of noise to distract investors from the fundamentals of investing, not the least of which was the political fury in the fourth quarter. In the face of the world’s large-scale debt and economic problems, investment markets surprised on the upside with an exceptional year. Positive economic growth, historically low interest rates, and calming assurances from global central banks provided a rich environment for investors in financial assets. Disciplined investors that maintained a well-diversified portfolio of risky assets, such as stocks and low quality bonds, were well rewarded. |
Non-U.S. markets led global stocks higher during the fourth quarter with the MSCI ACWI Ex-U.S. returning 5.85%, pushing the 2012 annual return to a very impressive 16.83%. U.S. stocks posted similar returns for the year as the Russell 3000® Index was up 16.42%. Interest rates continued to fall and credit spreads narrowed, resulting in solid gains for bonds. The Barclays Capital U.S. Aggregate Bond Index returned 4.22% for the year. More risky segments of the bond market, such as long maturity bonds and high yield bonds, produced double-digit returns.
Global economies remain mired in a long-term deleveraging phase, putting enormous strains on financial systems and policymakers in efforts to reduce debt. In an economic sense, one man’s expenses are another man’s income, so reducing spending in an effort to reduce debt naturally constrains economic growth. Fragile economic conditions promote volatility in the capital markets, which will most certainly continue into 2013. Volatility is further amplified by political systems that are called upon for thoughtful and timely decision-making. The risk of unintended policy mistakes is very real, as investors have learned in Japan over the past two decades. Yet, a well-managed deleveraging phase by policymakers can create an environment in which financial assets do very well, as we have seen in the U.S. beginning in 2009. This is a unique and challenging period for all investors, one that can produce a wide range of outcomes over short time periods for risk-based portfolios. We believe that well-diversified portfolios will continue to serve investors well, so long as investors can maintain a steady hand and a long-term perspective on risk taking. Very conservative investors may experience less volatility, but with interest rates at 100-year lows, these portfolios will struggle to offset the effects of inflation.
Each and every day across financial markets around the world, our investment process scours the globe in search for the best investment ideas for your portfolio. It is a highly disciplined process that never sleeps: it is built upon the foundation of strong intellectual capital and experience that is disbursed globally, sorting fact from noise; and it is a process that is not distracted by complex market conditions. In short, we are very intentional about keeping our eye on the ball and delivering to you industry leading investment management services.
As we turn the corner into a new year, we want to express our thankfulness for the opportunity to serve you, our customer, in the important task of managing your investment portfolio. Thank you for your trust and Happy New Year from the team at GuideStone.
*This report may include statements that constitute “forward-looking statements” under the U.S. securities laws. Forward-looking statements include, among other things, projections, estimates, and information about possible or future results related to GuideStone Funds, market or regulatory developments. The views expressed are not guarantees of future performance or economic results and involve certain risks, uncertainties and assumptions that could cause actual outcomes and results to differ materially from the views expressed herein. The views expressed are subject to change at any time based upon economic, market, or other conditions and GuideStone Funds undertakes no obligation to update the views expressed herein. Any discussions of specific securities should not be considered a recommendation to buy or sell those securities. The views expressed (including any forward-looking statement) may not be relied upon as investment advice or as an indication of GuideStone Funds’ trading intent.
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|
| Asset Class Performance Comparison |
The following graph illustrates the performance of the major assets classes during 2012.
1The 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.
2The 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 (excluding the United States) and emerging markets.
3The Russell 2000® Index measures the performance of the small-cap segment of the U.S. equity universe. The Russell 2000® Index is a subset of the Russell 3000® Index representing approximately 10% of the total market capitalization of that index. It includes approximately 2,000 of the smallest securities based on a combination of their market cap and current index membership. The Russell 2000® Index is constructed to provide a comprehensive and unbiased small-cap barometer and is completely reconstituted annually to ensure that larger stocks do not distort the performance and characteristics of the actual small-cap opportunity set.
4The S&P 500® Index is an unmanaged index (with no defined investment objective) of common stocks, includes reinvestment of dividends and is a registered trademark of McGraw-Hill Co., Inc. The S&P 500® Index includes 500 of the largest stocks (in terms of market value) in the United States.
5
S&P 500® Index Returns
The U.S. large cap equity market, as represented by the S&P 500® Index, posted a positive annual return of 16%. This was the fourth consecutive year of positive results and ninth out of the last ten years. Similar to last year, the start of this year was generally positive, peaking in early April, up about 13% year to date at that time. However, the large cap market pulled back sharply over the next two months until reaching the low point for the year in early June, down almost 10% during this short period. From this point until year-end, this index rallied by approximately 13% to finish the year on a positive note. The best performing sectors in this index this calendar year were Financials, Consumer Discretionary and Telecommunications. The sectors in the index that lagged the most this year were Utilities, Energy and Consumer Staples. Factors such as higher beta, higher price-to-earnings, lower return on equity and smaller market capitalization made the largest positive contributions to performance this year.
The S&P 500® Index includes 500 leading companies in major industries of the U.S. economy. The index represents about 75% of U.S. equity market capitalization. It is a capitalization-weighted index calculated on a total return basis with dividends reinvested. Constituents are selected by a team of Standard & Poor’s economists and analysts.
Data Source: Bloomberg and S&P website
Russell 2000® Index Returns
The U.S. small cap equity market, as represented by the Russell 2000® Index, posted a positive return of 16.35% for the year. This was another volatile year with the index getting off to a good start, peaking in late March, up over 14% year to date at that time. However, the small cap market pulled back noticeably afterwards and bottomed in early June, down almost 13% over this short period. From this point until year-end, this index rallied by approximately 16% to finish the year strong. Two of last year’s worst performing sectors, Materials & Processing and Consumer Discretionary, in this index reversed course in 2012 and were the two best performers for this calendar year along with Financials. The sectors in the index that lagged the most this year were Energy, Technology and Utilities. Factors such as lower beta, lower price-to-earnings and smaller market capitalization made the largest positive contributions to performance this year.
The Russell 2000® Index measures the performance of the small-cap segment of the U.S. equity universe. The Russell 2000® Index is a subset of the Russell 3000® Index representing approximately 10% of the total market capitalization of that index. It includes approximately 2,000 of the smallest securities based on a combination of their market cap and current index membership. The Russell 2000® Index is constructed to provide a comprehensive and unbiased small-cap barometer and is completely reconstituted annually to ensure that larger stocks do not distort the performance and characteristics of the actual small-cap opportunity set.
Data Source: Russell Investments
6
MSCI ACWI Ex-U.S. Index (Net) Returns
The non-U.S. equity market, as represented by the MSCI ACWI Ex-U.S. Index (net), posted a positive return of 16.83% for the year. However, this was a volatile year for international equity markets. The year started with a very positive tone and this index was up over 13% by mid-March. However, non-U.S. markets in aggregate pulled back sharply over the next couple of months due to increasing concerns over Greece and the Euro debt crisis. As a result of these headline issues, this index sold off almost 16% from mid-March until early June. At this juncture, strong assurances made by the European Central Bank helped to calm investors and from this point forward until year-end, this index gained some positive traction and rallied by approximately 23% from its early June low point. The best performing markets during this calendar year were Turkey, Egypt and the Philippines. The markets which did the worst were Morocco, Israel and Brazil. The sectors that led performance results this year were Financials and Consumer Discretionary. The sectors in the index that lagged the most this year were Energy, Utilities and Telecommunications.
The MSCI ACWI (All Country World Index) Ex-U.S. Index is designed to provide a broad measure of stock performance in both developed and emerging markets, excluding the U.S. This index is comprised of approximately 1,800 stocks ranging across 23 developed, non-U.S. equity markets and 21 emerging markets countries. This market capitalization-weighted index is maintained by Morgan Stanley Capital International and represents approximately 85% of the global equity opportunity set outside of the U.S.
Data Source: Factset, MSCI
Barclays Capital U.S. Aggregate Bond Index Returns
The broad U.S. bond market, as measured by the Barclays Capital U.S. Aggregate Bond Index, posted a positive return of 4.21% for the year. Areas of the market that performed the best consisted of debt securities that possessed the following characteristics: longer maturity, corporate issued and lower credit quality. Also, commercial mortgage-backed securities did quite well during this period. Corporate bonds benefitted from improving underlying corporate fundamentals, strong balance sheets, cash positions and high demand (investors’ seeking higher yielding securities). Investors’ preference for income yield replaced their appetite for risk aversion and this change in sentiment versus a year ago increased downward pressure on U.S. Treasury securities relative to riskier corporate bonds.
The Barclays Capital U.S. Aggregate Bond Index is a broad-based benchmark representing approximately 8,200 U.S. dollar-denominated, taxable fixed income securities. To be included in this market capitalization-weighted index, bonds must be rated investment grade quality by Moody’s and Standard & Poor’s and have a maturity of at least one year. The types of fixed income instruments in this index primarily consist of U.S. Treasury securities, government-related securities, mortgage-backed securities, asset-backed securities and corporate bonds.
Data Source: Factset
7
Federal Reserve
The Federal Reserve (“Fed”) maintained the same targeted Fed Funds level of 0-0.25% for the fourth consecutive year. Although the Fed formally met to review this rate level on eight separate occasions during the year, no meaningful action on changing this rate was taken. The last time an action was taken was December 2008 when the Fed cut rates to their current levels. The Fed maintained an accommodative monetary policy stance throughout the year as unemployment levels had remained elevated, and inflation had been fairly muted. The Fed accomplished this objective by extending the average maturity of its holdings of U.S. Treasury securities through the “Operation Twist” program announced last year. Additionally, the Fed injected liquidity into the financial system through its purchases of agency mortgage-backed securities at a rate of $40 billion per month through the end of the year. In mid-December, the Fed announced that it intends to keep the target range at this level of 0-0.25% as long as the unemployment rate remains above 6.5%, inflation is below 2.5% and longer term inflation expectations “continue to be well anchored”. Previous guidance from the Fed expressed its belief that the federal funds rate could likely remain at current levels until mid-2015. This change in the Fed’s attempt at expressing specific guideposts was intended to be more helpful to investors than it had been in the past. The Fed will continue to closely monitor economic and financial developments in its efforts to foster maximum employment and price stability.
The Federal Reserve (“Fed”) is the central bank of the United States. It was created by Congress to provide the nation with a safer, more flexible, and more stable monetary and financial system. The Federal Funds Rate is the interest rate at which depository institutions lend balances at the Fed to other depository institutions overnight. The rate is one tool the Fed can use in their efforts of controlling the supply of money. Changes in the Federal Funds Rate trigger a chain of events that affect other short-term interest rates, foreign exchange rates, long-term interest rates, the amount of money and credit, and, ultimately, a range of economic variables, including employment, output, and prices of goods and services.
Data Source: Bloomberg, Federal Reserve
U.S. Treasury Yield Curve
Short-term rates remained at historically low levels as the Federal Reserve (the “Fed”), through its aggressively accommodative monetary policy, maintained the target federal funds rate at 0-0.25% in an effort to stimulate economic growth all year long. The very short end of the curve where the maturity is less than two years remained basically unchanged again this year. Starting at the 5-year maturity level and longer, there was some minimal reduction in yield levels as the yield curve flattened marginally compared to the end of 2011. At year-end 2012, yields on the 2-year, 5-year, 10-year and 30-year U.S. Treasury securities were 0.25%, 0.72%, 1.76% and 2.95%, respectively.
The Treasury yield curve illustrates the relationship between yields on short-term, intermediate-term and long-term Treasury securities. Normally, the shape of the yield curve is upward sloping with rates increasing from the short end of the curve moving higher to the long end. The short end of the curve is impacted more by monetary policy (demand for money) while inflationary expectations and market forces impact the long end of the curve.
Data Source: Bloomberg
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About Your Expenses
As a shareholder of the Funds, you incur ongoing costs, including advisory fees and to the extent applicable, 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 July 1, 2012 to December 31, 2012.
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.
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Actual |
Fund | | Class | | Beginning
Account Value
07/01/12 | | Ending
Account Value
12/31/12 | | Annualized
Expense
Ratio (1) | | Expenses
Paid During
Period (2) |
MyDestination 2005 | | | | GS4 | | | | $ | 1,000.00 | | | | $ | 1,040.43 | | | | | 0.20 | % | | | $ | 1.03 | |
MyDestination 2015 | | | | GS4 | | | | | 1,000.00 | | | | | 1,053.89 | | | | | 0.15 | | | | | 0.75 | |
MyDestination 2025 | | | | GS4 | | | | | 1,000.00 | | | | | 1,067.53 | | | | | 0.15 | | | | | 0.75 | |
MyDestination 2035 | | | | GS4 | | | | | 1,000.00 | | | | | 1,085.07 | | | | | 0.20 | | | | | 1.05 | |
MyDestination 2045 | | | | GS4 | | | | | 1,000.00 | | | | | 1,085.56 | | | | | 0.20 | | | | | 1.05 | |
MyDestination 2055 | | | | GS4 | | | | | 1,000.00 | | | | | 1,084.31 | | | | | 0.20 | | | | | 1.05 | |
Conservative Allocation | | | | GS4 | | | | | 1,000.00 | | | | | 1,033.08 | | | | | 0.12 | | | | | 0.61 | |
Balanced Allocation | | | | GS4 | | | | | 1,000.00 | | | | | 1,059.34 | | | | | 0.12 | | | | | 0.62 | |
Growth Allocation | | | | GS4 | | | | | 1,000.00 | | | | | 1,079.54 | | | | | 0.12 | | | | | 0.63 | |
Aggressive Allocation | | | | GS4 | | | | | 1,000.00 | | | | | 1,095.40 | | | | | 0.12 | | | | | 0.63 | |
Conservative Allocation I | | | | GS2 | | | | | 1,000.00 | | | | | 1,034.20 | | | | | 0.15 | | | | | 0.79 | |
Balanced Allocation I | | | | GS2 | | | | | 1,000.00 | | | | | 1,061.41 | | | | | 0.13 | | | | | 0.69 | |
Growth Allocation I | | | | GS2 | | | | | 1,000.00 | | | | | 1,080.79 | | | | | 0.15 | | | | | 0.78 | |
Aggressive Allocation I | | | | GS2 | | | | | 1,000.00 | | | | | 1,096.51 | | | | | 0.15 | | | | | 0.79 | |
Money Market | | | | GS2 | | | | | 1,000.00 | | | | | 1,000.47 | | | | | 0.19 | | | | | 0.94 | |
| | | | GS4 | | | | | 1,000.00 | | | | | 1,000.08 | | | | | 0.27 | | | | | 1.35 | |
Low-Duration Bond | | | | GS2 | | | | | 1,000.00 | | | | | 1,020.04 | | | | | 0.36 | | | | | 1.83 | |
| | | | GS4 | | | | | 1,000.00 | | | | | 1,018.72 | | | | | 0.57 | | | | | 2.89 | |
Medium-Duration Bond | | | | GS2 | | | | | 1,000.00 | | | | | 1,033.83 | | | | | 0.48 | | | | | 2.45 | |
| | | | GS4 | | | | | 1,000.00 | | | | | 1,032.88 | | | | | 0.63 | | | | | 3.22 | |
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About Your Expenses (Continued)
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Actual |
Fund | | Class | | Beginning
Account Value
07/01/12 | | Ending
Account Value
12/31/12 | | Annualized
Expense
Ratio (1) | | Expenses
Paid During
Period (2) |
Extended-Duration Bond | | | | GS2 | | | | $ | 1,000.00 | | | | $ | 1,071.77 | | | | | 0.52 | % | | | $ | 2.72 | |
| | | | GS4 | | | | | 1,000.00 | | | | | 1,069.30 | | | | | 0.75 | | | | | 3.90 | |
Inflation Protected Bond | | | | GS4 | | | | | 1,000.00 | | | | | 1,025.01 | | | | | 0.64 | | | | | 3.28 | |
Global Bond | | | | GS4 | | | | | 1,000.00 | | | | | 1,068.27 | | | | | 0.81 | | | | | 4.19 | |
Defensive Market Strategies (3) | | | | GS2 | | | | | 1,000.00 | | | | | 1,035.44 | | | | | 1.04 | | | | | 5.33 | |
| | | | GS4 | | | | | 1,000.00 | | | | | 1,034.15 | | | | | 1.30 | | | | | 6.66 | |
Equity Index | | | | GS2 | | | | | 1,000.00 | | | | | 1,060.65 | | | | | 0.23 | | | | | 1.19 | |
| | | | GS4 | | | | | 1,000.00 | | | | | 1,059.90 | | | | | 0.38 | | | | | 1.97 | |
Real Estate Securities | | | | GS4 | | | | | 1,000.00 | | | | | 1,025.20 | | | | | 1.05 | | | | | 5.33 | |
Value Equity | | | | GS2 | | | | | 1,000.00 | | | | | 1,083.84 | | | | | 0.67 | | | | | 3.49 | |
| | | | GS4 | | | | | 1,000.00 | | | | | 1,082.13 | | | | | 0.91 | | | | | 4.76 | |
Growth Equity | | | | GS2 | | | | | 1,000.00 | | | | | 1,053.84 | | | | | 0.86 | | | | | 4.44 | |
| | | | GS4 | | | | | 1,000.00 | | | | | 1,052.83 | | | | | 1.05 | | | | | 5.44 | |
Small Cap Equity | | | | GS2 | | | | | 1,000.00 | | | | | 1,078.07 | | | | | 1.00 | | | | | 5.21 | |
| | | | GS4 | | | | | 1,000.00 | | | | | 1,076.57 | | | | | 1.19 | | | | | 6.23 | |
International Equity (3) | | | | GS2 | | | | | 1,000.00 | | | | | 1,146.55 | | | | | 1.13 | | | | | 6.08 | |
| | | | GS4 | | | | | 1,000.00 | | | | | 1,144.28 | | | | | 1.37 | | | | | 7.37 | |
|
HYPOTHETICAL (assuming a 5% return before expenses) |
Fund | | Class | | Beginning
Account Value
07/01/12 | | Ending
Account Value
12/31/12 | | Annualized
Expense
Ratio (1) | | Expenses
Paid During
Period (2) |
MyDestination 2005 | | | | GS4 | | | | $ | 1,000.00 | | | | $ | 1,024.13 | | | | | 0.20 | % | | | $ | 1.02 | |
MyDestination 2015 | | | | GS4 | | | | | 1,000.00 | | | | | 1,024.40 | | | | | 0.15 | | | | | 0.74 | |
MyDestination 2025 | | | | GS4 | | | | | 1,000.00 | | | | | 1,024.41 | | | | | 0.15 | | | | | 0.74 | |
MyDestination 2035 | | | | GS4 | | | | | 1,000.00 | | | | | 1,024.13 | | | | | 0.20 | | | | | 1.02 | |
MyDestination 2045 | | | | GS4 | | | | | 1,000.00 | | | | | 1,024.13 | | | | | 0.20 | | | | | 1.02 | |
MyDestination 2055 | | | | GS4 | | | | | 1,000.00 | | | | | 1,024.13 | | | | | 0.20 | | | | | 1.02 | |
Conservative Allocation | | | | GS4 | | | | | 1,000.00 | | | | | 1,024.53 | | | | | 0.12 | | | | | 0.61 | |
Balanced Allocation | | | | GS4 | | | | | 1,000.00 | | | | | 1,024.53 | | | | | 0.12 | | | | | 0.61 | |
Growth Allocation | | | | GS4 | | | | | 1,000.00 | | | | | 1,024.53 | | | | | 0.12 | | | | | 0.61 | |
Aggressive Allocation | | | | GS4 | | | | | 1,000.00 | | | | | 1,024.53 | | | | | 0.12 | | | | | 0.61 | |
Conservative Allocation I | | | | GS2 | | | | | 1,000.00 | | | | | 1,024.36 | | | | | 0.15 | | | | | 0.79 | |
Balanced Allocation I | | | | GS2 | | | | | 1,000.00 | | | | | 1,024.47 | | | | | 0.13 | | | | | 0.67 | |
Growth Allocation I | | | | GS2 | | | | | 1,000.00 | | | | | 1,024.38 | | | | | 0.15 | | | | | 0.76 | |
Aggressive Allocation I | | | | GS2 | | | | | 1,000.00 | | | | | 1,024.38 | | | | | 0.15 | | | | | 0.76 | |
Money Market | | | | GS2 | | | | | 1,000.00 | | | | | 1,024.20 | | | | | 0.19 | | | | | 0.95 | |
| | | | GS4 | | | | | 1,000.00 | | | | | 1,023.79 | | | | | 0.27 | | | | | 1.36 | |
Low-Duration Bond | | | | GS2 | | | | | 1,000.00 | | | | | 1,023.33 | | | | | 0.36 | | | | | 1.83 | |
| | | | GS4 | | | | | 1,000.00 | | | | | 1,022.27 | | | | | 0.57 | | | | | 2.89 | |
Medium-Duration Bond | | | | GS2 | | | | | 1,000.00 | | | | | 1,022.72 | | | | | 0.48 | | | | | 2.44 | |
| | | | GS4 | | | | | 1,000.00 | | | | | 1,021.97 | | | | | 0.63 | | | | | 3.20 | |
Extended-Duration Bond | | | | GS2 | | | | | 1,000.00 | | | | | 1,022.51 | | | | | 0.52 | | | | | 2.65 | |
| | | | GS4 | | | | | 1,000.00 | | | | | 1,021.37 | | | | | 0.75 | | | | | 3.81 | |
Inflation Protected Fund | | | | GS4 | | | | | 1,000.00 | | | | | 1,021.90 | | | | | 0.64 | | | | | 3.27 | |
10
| | | | | | | | | | | | | | | | | | | | | | | | | |
HYPOTHETICAL (assuming a 5% return before expenses) |
Fund | | Class | | Beginning
Account Value
07/01/12 | | Ending
Account Value
12/31/12 | | Annualized
Expense
Ratio (1) | | Expenses
Paid During
Period (2) |
Global Bond | | | | GS4 | | | | $ | 1,000.00 | | | | $ | 1,021.09 | | | | | 0.81 | % | | | $ | 4.09 | |
Defensive Market Strategies (3) | | | | GS2 | | | | | 1,000.00 | | | | | 1,019.90 | | | | | 1.04 | | | | | 5.29 | |
| | | | GS4 | | | | | 1,000.00 | | | | | 1,018.59 | | | | | 1.30 | | | | | 6.61 | |
Equity Index | | | | GS2 | | | | | 1,000.00 | | | | | 1,023.98 | | | | | 0.23 | | | | | 1.17 | |
| | | | GS4 | | | | | 1,000.00 | | | | | 1,023.23 | | | | | 0.38 | | | | | 1.93 | |
Real Estate Securities Fund | | | | GS4 | | | | | 1,000.00 | | | | | 1,019.87 | | | | | 1.05 | | | | | 5.31 | |
Value Equity | | | | GS2 | | | | | 1,000.00 | | | | | 1,021.78 | | | | | 0.67 | | | | | 3.39 | |
| | | | GS4 | | | | | 1,000.00 | | | | | 1,020.57 | | | | | 0.91 | | | | | 4.62 | |
Growth Equity | | | | GS2 | | | | | 1,000.00 | | | | | 1,020.82 | | | | | 0.86 | | | | | 4.37 | |
| | | | GS4 | | | | | 1,000.00 | | | | | 1,019.84 | | | | | 1.05 | | | | | 5.35 | |
Small Cap Equity | | | | GS2 | | | | | 1,000.00 | | | | | 1,020.13 | | | | | 1.00 | | | | | 5.06 | |
| | | | GS4 | | | | | 1,000.00 | | | | | 1,019.14 | | | | | 1.19 | | | | | 6.06 | |
International Equity (3) | | | | GS2 | | | | | 1,000.00 | | | | | 1,019.47 | | | | | 1.13 | | | | | 5.72 | |
| | | | GS4 | | | | | 1,000.00 | | | | | 1,018.27 | | | | | 1.37 | | | | | 6.93 | |
| (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 July 1, 2012 through December 31, 2012, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period). |
| (3) | The expense ratios for the Defensive Market Strategies Fund and the International Equity Fund include the impact of dividend and interest expense on securities sold short. |
11
ABBREVIATIONS AND FOOTNOTES
INVESTMENT ABBREVIATIONS:
| | | | |
ADR | | — | | American Depository Receipt |
AGM | | — | | Assured Guaranty Municipal Corporation |
CONV | | — | | Convertible |
ETF | | — | | Exchange Traded Fund |
GDR | | — | | Global Depository Receipt |
IO | | — | | Interest Only (Principal amount shown is notional) |
LLC | | — | | Limited Liability Company |
LOC | | — | | Letter of Credit |
LP | | — | | Limited Partnership |
NVDR | | — | | Non-Voting Depository Receipt |
PIK | | — | | Payment-in-Kind Bonds |
PIPE | | — | | Private Investment in Public Equity |
PLC | | — | | Public Limited Company |
PO | | — | | Principal Only |
REIT | | — | | Real Estate Investment Trust |
SPDR | | — | | Standard & Poor’s Depositary Receipt |
STEP | | — | | Stepped Coupon Bonds: Interest rates shown reflect the rates currently in effect. |
STRIP | | — | | Stripped Security |
TBA | | — | | To be announced |
VVPR | | — | | Voter Verified Paper Record |
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 December 31, 2012, 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 | | | $ | 176,551,808 | | | | | 21.70 | % |
Medium-Duration Bond | | | | 114,004,879 | | | | | 13.07 | |
Extended-Duration Bond | | | | 48,693,205 | | | | | 10.34 | |
Global Bond | | | | 26,948,483 | | | | | 11.57 | |
Defensive Market Strategies | | | | 16,622,848 | | | | | 4.16 | |
Small Cap Equity | | | | 3,659,353 | | | | | 0.82 | |
International Equity | | | | 920,460 | | | | | 0.06 | |
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 December 31, 2012. |
¥ | | — | | Affiliated fund. |
D | | — | | Security either partially or fully on loan. |
+ | | — | | Security is valued at fair value. As of December 31, 2012, 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 |
Low-Duration Bond | | | $ | — | | | | | — | % |
Medium-Duration Bond | | | | 14 | | | | | — | |
Global Bond | | | | 186,221 | | | | | 0.08 | |
Equity Index | | | | — | | | | | — | |
Small Cap Equity | | | | 561,127 | | | | | 0.13 | |
International Equity | | | | — | | | | | — | |
12
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). |
(J) | | | — | | | Par is denominated in Japanese Yen (JPY). |
(K) | | | — | | | Par is denominated in Norwegian Krone (NOK). |
(M) | | | — | | | Par is denominated in Mexican Pesos (MXN). |
(N) | | | — | | | Par is denominated in Indonesian Rupiahs (IDR). |
(O) | | | — | | | Par is denominated in Switzerland Francs (CHF). |
(P) | | | — | | | Par is denominated in Peruvian Nuevos Soles (PEN). |
(R) | | | — | | | Par is denominated in Malaysian Ringgits (MYR). |
(S) | | | — | | | Par is denominated in South African Rand (ZAR). |
(U) | | | — | | | Par is denominated in British Pounds (GBP). |
(W) | | | — | | | Par is denominated in South KoreanWon (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. |
CME | | — | | Counterparty to contract is Chicago Mercantile Exchange. |
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. |
KS | | — | | Counterparty to contract is Knight Securities. |
MLCS | | — | | Counterparty to contract is Merrill Lynch Capital Services, Inc. |
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. |
13
MyDestination 2005 Fund
The Fund, through investments in the underlying Select Funds, combined a greater percentage of exposure to fixed income securities with a smaller percentage to equity securities. The Fund followed an allocation glide path designed to become more conservative over time, and the December 2012 targeted allocations were approximately 46.50% Fixed Income Select Funds, 28.36% U.S. Equity Select Funds, 8.14% Non-U.S. Equity Select Fund and 17.00% Real Return Select Funds.
As a fund of funds, its performance was based on the performance of the underlying Select Funds. The Fund generated a positive return of 8.92% for the one-year period ending December 31, 2012, which benefited from positive absolute performance from all of the Fixed Income Select Funds, Equity Select Funds and Real Return Select Funds. Overall exposure to the Equity Select Funds was a primary contributor to the Fund’s performance, led by positive investment results of the International Equity Fund. The Value Equity Fund and Growth Equity Fund also made significant contributions. Within the Fund’s fixed income allocation, absolute return was most positively influenced by its exposure to both the Low-Duration Bond Fund and the Medium-Duration Bond Fund, returning 4.15% and 7.68%, respectively, for 2012.
U.S. equity exposure continued to contribute positively to the performance of the Fund. The year began with a very impressive start with the S&P 500® Index’s surging over 12.00% during the first quarter. As the year progressed, equities withstood a series of political and macroeconomic concerns to finish the year with a gain of 16.00%. Serving as a driving force for the market rally was the continued support by the Federal Reserve to keep interest rates low and to encourage economic demand. Following this progression, U.S. consumer confidence and housing improved, China’s economy bounced back and accommodating monetary policies were announced in Europe. Consequently, the riskier segments within stocks and bonds benefited the most from this overall market optimism.
Consistent with the Fund’s conservative asset allocation, the Real Estate Securities Fund and Small Cap Equity Fund were the weakest absolute contributors. However, the Fund’s total equity exposure provided the majority of absolute return for the one-year period ending December 31, 2012. Further, the performance dispersion between U.S. equity and non-U.S. equity markets was not largely significant. Within U.S. equity markets, however, value-oriented equities provided a marginal benefit over growth-oriented equities for the year as measured by the Russell 1000® Value Index and Russell 1000® Growth Index. Both segments provided a material benefit to absolute performance.
In addition to the Federal Reserve’s low interest rate policy, the bond market also benefited from an environment of low inflationary pressures and sluggish economic growth. All major bond market sectors posted positive returns for the year, led by emerging markets debt which generated an annual return of 18.04%. As a further indication of risk sentiment, broad market performance, measured by the Barclays Capital U.S. Aggregate Bond Index, gained 4.22% for the year, while the riskier Barclays Capital U.S. Corporate High Yield - 2% Issuer Capped Index posted a gain of 15.77% for 2012. Both the Low-Duration Bond Fund and Medium-Duration Bond Fund equally provided beneficial contributions to the Fund.
The Fund outperformed its composite benchmark in 2012 (8.92% versus 8.47%), with its exposure to the Fixed Income Select Funds entirely accounting for the positive relative performance. The largest detractors to relative performance were the Inflation Protected Bond Fund, Defensive Market Strategies Fund and Small Cap Equity Fund. The Fund’s relative performance was most positively impacted by exposure to the Low-Duration Bond Fund, which benefited from tactically utilizing spread sectors that trade at a yield premium relative to their U.S. Treasury counterparts and maintaining diversified exposure to multiple spread sectors.
The Fund attempted to achieve its objective by investing in the Select Funds. The Fund is managed to a retirement date (“target date”) by adjusting the percentage of fixed income securities and equity securities to become more conservative each year until reaching the retirement year and then approximately 15 years thereafter. The target date in the name of the Fund is the approximate date when an investor plans to start withdrawing money. This Fund may be suitable for investors who want a simplified “one fund” retirement solution, are willing to pay slightly higher fees to get a diversified mix of investments that becomes more conservative over time and retired at an age that was near the year 2005. The Fund’s value will fluctuate due to changes in interest rates. There is a risk that the issuer of a fixed-income investment may fail to pay interest or even principal due in a timely manner or at all. The Fund’s value will fluctuate due to business developments concerning a particular issuer, industry or country, as well as general market and economic conditions. The Fund is subject to risks presented by investments in foreign issuers and changes in currency exchange rates relative to the U.S. dollar may negatively affect the values of foreign investments held by the Select Funds. By investing in this Fund, you will incur the expenses of the Fund, in addition to those of the underlying Select Funds. The principal risks of the Fund will change depending on the asset mix of the Select Funds in which it invests. You may directly invest in the Select Funds. The Fund’s value will go up and down in response to changes in the share prices of the investments that it owns. The amount invested in the Fund is not guaranteed to increase, is not guaranteed against loss nor is the amount of the original investment guaranteed at the target date. It is possible to lose money by investing in the Fund.
Please see page 16 for information regarding specific portfolio allocations. Portfolio holdings are subject to change and risk at any time.
14
MyDestination 2005 Fund
| | | | |
| Average Annual Total Returns as of 12/31/12 |
| | GS4 Class* | | Benchmark** |
One Year | | 8.92% | | 8.47% |
Five Year | | 3.04% | | 3.34% |
Since Inception | | 3.59% | | 3.91% |
Inception Date | | 12/29/06 | | |
Total Fund Operating Expenses (April 28, 2012 Prospectus, as amended on November 30, 2012)(1) | | 1.15% | | |
(1)The Fund’s shareholders indirectly bear the expenses of the GS4 Class shares of the Select Funds in which the Fund invests. Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph illustrates the results of a hypothetical $10,000 investment in the GS4 Class of the Fund since December 29, 2006 (commencement of operations), with all dividends and capital gains reinvested, with the Fund’s composite benchmark index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
**Represents a composite index as of December 2012, consisting of 30.00% of the Bank of America Merrill Lynch 1-3 Year Treasury Index, 16.50% of the Barclays Capital U.S. Aggregate Bond Index, 15.00% of the Barclays Capital U.S. TIPS Index,
13.25% of the S&P 500® Index, 2.00% of the Dow Jones U.S. Select Real Estate Securities IndexSM, 6.75% of the Russell 1000® Value Index, 6.75% of the Russell 1000® Growth Index, 1.61% of the Russell 2000® Index and 8.14% of the MSCI ACWI (All Country World Index) Ex-U.S. Index.
The construction of the composite index corresponds to the target percentage allocations to the underlying asset classes as represented by the Fund’s investment in the Select Funds. As the target percentage allocations to the underlying investments change according to the MyDestination Funds® glide path, the target percentage allocations to the composite index also change.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
15
| | | | |
MYDESTINATION 2005 FUND SCHEDULE OF INVESTMENTS | | | December 31, 2012 | |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
MUTUAL FUNDS — 99.7% | | | | | | | | | | | | |
GuideStone Money Market
Fund (GS4 Class)¥ | | | | | 1,736,846 | | | | | $ | 1,736,846 | |
GuideStone Low-Duration
Bond Fund (GS4 Class)¥ | | | | | 1,714,401 | | | | | | 23,178,698 | |
GuideStone Medium-Duration Bond Fund (GS4 Class)¥ | | | | | 882,657 | | | | | | 12,957,406 | |
GuideStone Inflation Protected
Bond Fund (GS4 Class)¥ | | | | | 1,035,073 | | | | | | 11,644,573 | |
GuideStone Defensive Market
Strategies Fund
(GS4 Class)¥ | | | | | 977,893 | | | | | | 10,365,666 | |
GuideStone Real Estate
Securities Fund
(GS4 Class)¥ | | | | | 160,071 | | | | | | 1,696,755 | |
GuideStone Value Equity Fund (GS4 Class)¥ | | | | | 332,505 | | | | | | 5,379,933 | |
GuideStone Growth Equity
Fund (GS4 Class)¥ | | | | | 262,632 | | | | | | 5,320,915 | |
GuideStone Small Cap Equity
Fund (GS4 Class)¥ | | | | | 84,628 | | | | | | 1,348,977 | |
GuideStone International
Equity Fund
(GS4 Class)¥ | | | | | 511,531 | | | | | | 6,685,711 | |
| | | | | | | | | | | | |
| | | | |
Total Mutual Funds
(Cost $74,563,460) | | | | | | | | | | | 80,315,480 | |
| | | | | | | | | | | | |
| | |
TOTAL INVESTMENTS — 99.7%
(Cost $74,563,460) | | | | | | 80,315,480 | |
| | | | |
Other Assets in Excess of
Liabilities — 0.3% | | | | | | | | | | | 266,744 | |
| | | | | | | | | | | | |
NET ASSETS — 100.0% | | | | | | | | | | $ | 80,582,224 | |
| | | | | | | | | | | | |
PORTFOLIO SUMMARY (based on net assets)
| | | | |
| | | % | |
Bond Funds | | | 59.3 | |
Domestic Equity Funds | | | 29.9 | |
International Equity Fund | | | 8.3 | |
Money Market Fund | | | 2.2 | |
Futures Contracts | | | 2.1 | |
| | | | |
| | | 101.8 | |
| | | | |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2012, 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 | | | $ | 80,315,480 | | | | $ | 80,315,480 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | | $ | 80,315,480 | | | | $ | 80,315,480 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | $ | 6,912 | | | | $ | 6,912 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | | $ | 6,912 | | | | $ | 6,912 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
***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.
| | | | |
| 16 | | See Notes to Financial Statements. | | |
MyDestination 2015 Fund
The Fund, through investments in the underlying Select Funds, combined a greater percentage of exposure to equity securities with a smaller percentage to fixed income securities. The Fund followed an allocation glide path designed to become more conservative over time, and the December 2012 targeted allocations were approximately 29.25% Fixed income Select Funds, 41.12% U.S. Equity Select Funds, 11.38% Non-U.S. Equity Select Fund and 18.25% Real Return Select Funds.
As a fund of funds, its performance was based on the performance of the underlying Select Funds. The Fund generated a positive return of 11.46% for the one-year period ended December 31, 2012, which benefited from positive absolute performance from all of the Fixed Income Select Funds, Equity Select Funds, and Real Return Select Funds. Overall exposure to the Equity Select Funds was a primary contributor to the Fund’s performance led by positive investment results of the International Equity Fund. The Value Equity Fund and Growth Equity Fund also made significant contributions. Within the Fund’s fixed income allocation, absolute return was most positively influenced by its exposure to both the Extended-Duration Bond Fund and the Global Bond Fund, returning 15.06% and 12.52%, respectively, for 2012.
U.S. equity exposure continued to contribute positively to the performance of the Fund. The year began with a very impressive start with the S&P 500® Index’s surging over 12.00% during the first quarter. As the year progressed, equities withstood a series of political and macroeconomic concerns to finish the year with a gain of 16.00%. Serving as a driving force for the market rally was continued support by the Federal Reserve to keep interest rates low and to encourage economic demand. Following this progression, U.S. consumer confidence and housing improved, China’s economy bounced back and accommodating monetary policies were announced in Europe. Consequently, the riskier segments within stocks and bonds benefited the most from this overall market optimism.
Consistent with the Fund’s asset allocation, the Real Estate Securities Fund and Small Cap Equity Fund were the weakest absolute contributors. However, the Fund’s total equity exposure provided the majority of absolute return for the one-year period ending December 31, 2012. Further, the performance dispersion between U.S. equity and non-U.S. equity markets was not largely significant. Within U.S. equity markets, however, value-oriented equities provided a marginal benefit over growth-oriented equities for the year as measured by the Russell 1000® Value Index and Russell 1000® Growth Index. Both segments provided a material benefit to absolute performance.
In addition to the Federal Reserve’s low interest rate policy, the bond market also benefited from an environment of low inflationary pressures and sluggish economic growth. All major bond market sectors posted positive returns for the year, led by emerging markets debt which generated an annual return of 18.04%. As a further indication of risk sentiment, broad market performance, measured by the Barclays Capital U.S. Aggregate Bond Index, gained 4.22% for the year, while the riskier Barclays Capital U.S. Corporate High Yield – 2% Issuer Capped Index posted a gain of 15.77% for 2012. Both the Medium-Duration Bond Fund and Inflation Protected Bond Fund materially provided beneficial contributions to the Fund.
The Fund underperformed its composite benchmark in 2012 (11.46% versus 11.95%), with its exposure to the Equity Income Select Funds entirely attributable to underperformance. The largest detractors to relative performance were the Inflation Protected Bond Fund, Defensive Market Strategies Fund and Small Cap Equity Fund. The Fund’s relative performance was most positively impacted by exposure to the Medium-Duration Bond Fund, which benefited from exposure to and security selection in non-U.S. Treasury sectors. Generally, the Fund was underweight U.S. Treasuries in favor of spread sectors, which outperformed U.S. Treasuries for the year.
The Fund attempted to achieve its objective by investing in the Select Funds. The Fund is managed to a retirement date (“target date”) by adjusting the percentage of fixed income securities and equity securities to become more conservative each year until reaching the retirement year and then approximately 15 years thereafter. The target date in the name of the Fund is the approximate date when an investor plans to start withdrawing money. This Fund may be suitable for investors who want a simplified “one fund” retirement solution, are willing to pay slightly higher fees to get a diversified mix of investments that becomes more conservative over time and plan to retire at an age that is near the year 2015. The Fund’s value will fluctuate due to changes in interest rates. There is a risk that the issuer of a fixed-income investment may fail to pay interest or even principal due in a timely manner or at all. The Fund’s value will fluctuate due to business developments concerning a particular issuer, industry or country, as well as general market and economic conditions. The Fund is subject to risks presented by investments in foreign issuers, and changes in currency exchange rates relative to the U.S. dollar may negatively affect the values of foreign investments held by the Select Funds. By investing in this Fund, you will incur the expenses of the Fund, in addition to those of the underlying Select Funds. The principal risks of the Fund will change depending on the asset mix of the Select Funds in which it invests. You may directly invest in the Select Funds. The Fund’s value will go up and down in response to changes in the share prices of the investments that it owns. The amount invested in the Fund is not guaranteed to increase, is not guaranteed against loss nor is the amount of the original investment guaranteed at the target date. It is possible to lose money by investing in the Fund.
Please see page 19 for information regarding specific portfolio allocations. Portfolio holdings are subject to change and risk at any time.
17
MyDestination 2015 Fund
| | | | |
| Average Annual Total Returns as of 12/31/12 |
| | GS4 Class* | | Benchmark** |
One Year | | 11.46% | | 11.95% |
Five Year | | 2.84% | | 3.56% |
Since Inception | | 3.38% | | 4.00% |
Inception Date | | 12/29/06 | | |
Total Fund Operating Expenses (April 28, 2012 Prospectus, as amended on November 30, 2012)(1) | | 1.09% | | |
(1)The Fund’s shareholders indirectly bear the expenses of the GS4 Class shares of the Select Funds in which the Fund invests. Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph illustrates the results of a hypothetical $10,000 investment in the GS4 Class of the Fund since December 29, 2006 (commencement of operations), with all dividends and capital gains reinvested, with the Fund’s composite benchmark index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
**Represents a composite index as of December 2012, consisting of 9.25% of the Bank of America Merrill Lynch 1-3 Year Treasury Index, 12.50% of the Barclays Capital U.S. Aggregate Bond Index, 1.75% of the Barclays Capital U.S. Long-Term Government Bond Index, 1.75% of the Barclays Capital U.S. Long-Term Credit Bond Index, 13.00% of the Barclays Capital U.S. TIPS Index, 2.00% of the Barclays Capital Global Aggregate Bond Index — Unhedged, 1.00% of the Barclays U.S. Corporate High Yield — 2% Issuer Capped Index, 1.00% of the J.P. Morgan Emerging Markets Bond Index Plus, 20.00% of the S&P 500® Index, 5.25% of the Dow Jones U.S. Select Real Estate Securities IndexSM, 9.35% of the Russell 1000® Value Index, 9.35% of the Russell 1000® Growth Index, 2.42% of the Russell 2000® Index and 11.38% of the MSCI ACWI (All Country World Index) Ex-U.S. Index.
The construction of the composite index corresponds to the target percentage allocations to the underlying asset classes as represented by the Fund’s investment in the Select Funds. As the target percentage allocations to the underlying investments change according to the MyDestination Funds® glide path, the target percentage allocations to the composite index also change.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
18
| | |
MYDESTINATION 2015 FUND SCHEDULE OF INVESTMENTS | | December 31, 2012 |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
MUTUAL FUNDS — 100.0% | |
GuideStone Money Market
Fund (GS4 Class)¥ | | | | | 4,696,654 | | | | | $ | 4,696,654 | |
GuideStone Low-Duration
Bond Fund
(GS4 Class)¥ | | | | | 2,315,613 | | | | | | 31,307,086 | |
GuideStone Medium-Duration Bond Fund
(GS4 Class)¥ | | | | | 2,909,411 | | | | | | 42,710,156 | |
GuideStone Extended-Duration Bond Fund
(GS4 Class)¥ | | | | | 692,771 | | | | | | 12,871,681 | |
GuideStone Inflation Protected Bond Fund
(GS4 Class)¥ | | | | | 3,881,793 | | | | | | 43,670,168 | |
GuideStone Global Bond Fund (GS4 Class)¥ | | | | | 1,361,263 | | | | | | 14,129,910 | |
GuideStone Defensive Market Strategies Fund
(GS4 Class)¥ | | | | | 6,403,982 | | | | | | 67,882,208 | |
GuideStone Real Estate
Securities Fund
(GS4 Class)¥ | | | | | 1,789,219 | | | | | | 18,965,722 | |
GuideStone Value Equity Fund (GS4 Class)¥ | | | | | 2,053,269 | | | | | | 33,221,896 | |
GuideStone Growth Equity
Fund (GS4 Class)¥ | | | | | 1,581,922 | | | | | | 32,049,744 | |
GuideStone Small Cap Equity Fund
(GS4 Class)¥ | | | | | 553,892 | | | | | | 8,829,041 | |
GuideStone International
Equity Fund
(GS4 Class)¥ | | | | | 3,219,183 | | | | | | 42,074,716 | |
| | | | | | | | | | | | |
| | | | |
Total Mutual Funds
(Cost $314,050,297) | | | | | | | | | | | 352,408,982 | |
| | | | | | | | | | | | |
| | |
TOTAL INVESTMENTS — 100.0%
(Cost $314,050,297) | | | | | | 352,408,982 | |
| | | | |
Other Assets in Excess of
Liabilities — 0.0% | | | | | | | | | | | 167,396 | |
| | | | | | | | | | | | |
NET ASSETS — 100.0% | | | | | | | | | | $ | 352,576,378 | |
| | | | | | | | | | | | |
PORTFOLIO SUMMARY (based on net assets)
| | | | |
| | | % | |
Domestic Equity Funds | | | 45.6 | |
Bond Funds | | | 41.0 | |
International Equity Fund | | | 12.0 | |
Money Market Fund | | | 1.4 | |
Futures Contracts | | | 1.3 | |
| | | | |
| | | 101.3 | |
| | | | |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2012, 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 | | | $ | 352,408,982 | | | | $ | 352,408,982 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | | $ | 352,408,982 | | | | $ | 352,408,982 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | $ | 16,379 | | | | $ | 16,379 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | | $ | 16,379 | | | | $ | 16,379 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
***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 |
MyDestination 2025 Fund
The Fund, through investments in the underlying Select Funds, combined a greater percentage of exposure to equity securities with a much smaller percentage to fixed income securities. The Fund followed an allocation glide path designed to become more conservative over time, and the December 2012 targeted allocations were approximately 24.00% Fixed Income Select Funds, 49.35% U.S. Equity Select Funds, 17.15% Non-U.S. Equity Select Fund and 9.50% Real Return Select Funds.
As a fund of funds, its performance was based on the performance of the underlying Select Funds. The Fund generated a positive return of 13.90% for the one-year period ended December 31, 2012, which benefited from positive absolute performance from all of the Fixed Income Select Funds, Equity Select Funds and Real Return Select Funds. Overall exposure to the Equity Select Funds was a primary contributor to the Fund’s performance led by positive investment results of the International Equity Fund. The Value Equity Fund and Growth Equity Fund also made significant contributions. Within the Fund’s fixed income allocation, absolute return was most positively influenced by its exposure to both the Extended-Duration Bond Fund and the Global Bond Fund, returning 15.06% and 12.52%, respectively, for 2012.
U.S. equity exposure continued to contribute positively to the performance of the Fund. The year began with a very impressive start with the S&P 500® Index’s surging over 12.00% during the first quarter. As the year progressed, equities withstood a series of political and macroeconomic concerns to finish the year with a gain of 16.00%. Serving as a driving force for the market rally was the continued support by the Federal Reserve to keep interest rates low and to encourage economic demand. Following this progression, U.S. consumer confidence and housing improved, China’s economy bounced back and accommodating monetary policies were announced in Europe. Consequently, the riskier segments within stocks and bonds benefited the most from this overall market optimism.
Consistent with the Fund’s asset allocation, the Low-Duration Bond Fund and Inflation Protected Bond Fund were the weakest absolute contributors. However, the Fund’s total equity exposure provided the majority of absolute return for the one-year period ending December 31, 2012. Further, the performance dispersion between U.S. equity and non-U.S. equity markets was not largely significant. Within U.S. equity markets, however, value-oriented equities provided a marginal benefit over growth-oriented equities for the year as measured by the Russell 1000® Value Index and Russell 1000® Growth Index. Both segments provided a material benefit to absolute performance.
In addition to the Federal Reserve’s low interest rate policy, the bond market also benefited from an environment of low inflationary pressures and sluggish economic growth. All major bond market sectors posted positive returns for the year, led by emerging markets debt which generated an annual return of 18.04%. As a further indication of risk sentiment, broad market performance, measured by the Barclays Capital U.S. Aggregate Bond Index, gained 4.22% for the year, while the riskier Barclays Capital U.S. Corporate High Yield - 2% Issuer Capped Index posted a gain of 15.77% for 2012. The Fund’s allocation to fixed income holdings contributed meaningfully to absolute performance. Both the Extended-Duration Bond Fund and Global Bond Fund materially provided beneficial contributions to the Fund.
The Fund underperformed its composite benchmark in 2012 (13.90% versus 14.11%), with its exposure to the Equity Income Select Funds entirely attributable to underperformance. The largest detractors to relative performance were the Inflation Protected Bond Fund, Defensive Market Strategies Fund and Small Cap Equity Fund. The Fund’s relative performance was most positively impacted by exposure to the Extended-Duration Bond Fund, which benefited from significant underweight to the U.S. Treasury sector. Further, the Fund favored higher yielding corporate bonds, non-U.S. bonds and high yield bonds.
The Fund attempted to achieve its objective by investing in the Select Funds. The Fund is managed to a retirement date (“target date”) by adjusting the percentage of fixed income securities and equity securities to become more conservative each year until reaching the retirement year and then approximately 15 years thereafter. The target date in the name of the Fund is the approximate date when an investor plans to start withdrawing money. This Fund may be suitable for investors who want a simplified “one fund” retirement solution, are willing to pay slightly higher fees to get a diversified mix of investments that becomes more conservative over time and plan to retire at an age that is near the year 2025. The Fund’s value will fluctuate due to changes in interest rates. There is a risk that the issuer of a fixed-income investment may fail to pay interest or even principal due in a timely manner or at all. The Fund’s value will fluctuate due to business developments concerning a particular issuer, industry or country, as well as general market and economic conditions. The Fund is subject to risks presented by investments in foreign issuers and changes in currency exchange rates relative to the U.S. dollar may negatively affect the values of foreign investments held by the Select Funds. By investing in this Fund, you will incur the expenses of the Fund, in addition to those of the underlying Select Funds. The principal risks of the Fund will change depending on the asset mix of the Select Funds in which it invests. You may directly invest in the Select Funds. The Fund’s value will go up and down in response to changes in the share prices of the investments that it owns. The amount invested in the Fund is not guaranteed to increase, is not guaranteed against loss nor is the amount of the original investment guaranteed at the target date. It is possible to lose money by investing in the Fund.
Please see page 22 for information regarding specific portfolio allocations. Portfolio holdings are subject to change and risk at any time.
20
MyDestination 2025 Fund
| | | | |
| Average Annual Total Returns as of 12/31/12 |
| | GS4 Class* | | Benchmark** |
One Year | | 13.90% | | 14.11% |
Five Year | | 2.13% | | 2.90% |
Since Inception | | 2.65% | | 3.42% |
Inception Date | | 12/29/06 | | |
Total Fund Operating Expenses (April 28, 2012 Prospectus, as amended on November 30, 2012)(1) | | 1.16% | | |
(1)The Fund’s shareholders indirectly bear the expenses of the GS4 Class shares of the Select Funds in which the Fund invests. Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph illustrates the results of a hypothetical $10,000 investment in the GS4 Class of the Fund since December 29, 2006 (commencement of operations), with all dividends and capital gains reinvested, with the Fund’s composite benchmark index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
**Represents a composite benchmark index as of December 2012, consisting of 2.50% of the Bank of America Merrill Lynch 1-3 Year Treasury Index, 8.75% of the Barclays Capital U.S. Aggregate Bond Index, 3.13% of the Barclays Capital U.S. Long-Term Government Bond Index, 3.13% of the Barclays Capital U.S. Long-Term Credit Bond Index, 3.00% of the Barclays Capital U.S. TIPS Index, 3.25% of the Barclays Capital Global Aggregate Bond Index — Unhedged, 1.62% of the Barclays U.S. Corporate High Yield — 2% Issuer Capped Index, 1.62% of the J.P. Morgan Emerging Markets Bond Index Plus, 17.50% of the S&P 500® Index, 6.50% of the Dow Jones U.S. Select Real Estate Securities IndexSM, 13.88% of the Russell 1000® Value Index, 13.88% of the Russell 1000® Growth Index, 4.09% of the Russell 2000® Index and 17.15% of the MSCI ACWI (All Country World Index) Ex-U.S. Index.
The construction of the composite index corresponds to the target percentage allocations to the underlying asset classes as represented by the Fund’s investment in the Select Funds. As the target percentage allocations to the underlying investments change according to the MyDestination Funds® glide path, the target percentage allocations to the composite index also change.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
21
| | |
MYDESTINATION 2025 FUND SCHEDULE OF INVESTMENTS | | December 31, 2012 |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
MUTUAL FUNDS — 99.9% | | | | | | | | | | | | |
GuideStone Money Market
Fund (GS4 Class)¥ | | | | | 5,298,470 | | | | | $ | 5,298,470 | |
GuideStone Low-Duration
Bond Fund
(GS4 Class)¥ | | | | | 657,881 | | | | | | 8,894,556 | |
GuideStone Medium-Duration Bond Fund
(GS4 Class)¥ | | | | | 2,180,338 | | | | | | 32,007,365 | |
GuideStone Extended-Duration
Bond Fund
(GS4 Class)¥ | | | | | 1,246,552 | | | | | | 23,160,943 | |
GuideStone Inflation Protected Bond Fund
(GS4 Class)¥ | | | | | 949,680 | | | | | | 10,683,899 | |
GuideStone Global Bond Fund (GS4 Class)¥ | | | | | 2,306,849 | | | | | | 23,945,093 | |
GuideStone Defensive Market Strategies Fund
(GS4 Class)¥ | | | | | 5,838,824 | | | | | | 61,891,535 | |
GuideStone Real Estate
Securities Fund
(GS4 Class)¥ | | | | | 2,278,656 | | | | | | 24,153,755 | |
GuideStone Value Equity
Fund (GS4 Class)¥ | | | | | 3,193,642 | | | | | | 51,673,128 | |
GuideStone Growth Equity
Fund (GS4 Class)¥ | | | | | 2,544,234 | | | | | | 51,546,186 | |
GuideStone Small Cap Equity
Fund (GS4 Class)¥ | | | | | 981,803 | | | | | | 15,649,935 | |
GuideStone International
Equity Fund
(GS4 Class)¥ | | | | | 5,058,425 | | | | | | 66,113,612 | |
| | | | | | | | | | | | |
Total Mutual Funds
(Cost $338,454,376) | | | | | | 375,018,477 | |
| | | | | | | | | | | | |
TOTAL INVESTMENTS — 99.9%
(Cost $338,454,376) | | | | | | 375,018,477 | |
Other Assets in Excess of
Liabilities — 0.1% | | | | | | | | | | | 219,450 | |
| | | | | | | | | | | | |
NET ASSETS — 100.0% | | | | | | | | | | $ | 375,237,927 | |
| | | | | | | | | | | | |
PORTFOLIO SUMMARY (based on net assets)
| | | | |
| | | % | |
Domestic Equity Funds | | | 54.6 | |
Bond Funds | | | 26.3 | |
International Equity Fund | | | 17.6 | |
Futures Contracts | | | 1.5 | |
Money Market Fund | | | 1.4 | |
| | | | |
| | | 101.4 | |
| | | | |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2012, 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 | | | $ | 375,018,477 | | | | $ | 375,018,477 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | | $ | 375,018,477 | | | | $ | 375,018,477 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | $ | 27,352 | | | | $ | 27,352 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | | $ | 27,352 | | | | $ | 27,352 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
***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.
| | | | |
| 22 | | See Notes to Financial Statements. | | |
MyDestination 2035 Fund
The Fund, through investments in the underlying Select Funds, combines a high percentage of exposure to equity securities with only a modest percentage to fixed income securities. The Fund followed an allocation glide path designed to become more conservative over time, and the December 2012 targeted allocations were approximately 12.50% Fixed Income Select Funds, 52.32% U.S. Equity Select Funds, 28.18% Non-U.S. Equity Select Fund and 7.00% Real Return Select Fund.
Equity exposure represented approximately 81% of the Fund and, therefore, contributed most of the Fund’s return. As a fund of funds, its performance was based on the performance of the underlying Select Funds. The Fund generated a positive return of 16.30% for the one-year period ended December 31, 2012, which benefited from positive absolute performance from all of the Fixed Income Select Funds, Equity Select Funds and Real Return Select Funds. Overall exposure to the Equity Select Funds was a primary contributor to the Fund’s performance led by positive investment results of the International Equity Fund. The Value Equity Fund and Growth Equity Fund also made significant contributions. Within the Fund’s fixed income allocation, absolute return was most positively influenced by its exposure to both the Extended-Duration Bond Fund and the Global Bond Fund, returning 15.06% and 12.52%, respectively, for 2012.
U.S. equity exposure continued to contribute positively to the performance of the Fund. The year began with a very impressive start with the S&P 500® Index’s surging over 12.00% during the first quarter. As the year progressed, equities withstood a series of political and macroeconomic concerns to finish 2012 with a gain of 16.00%. Serving as a driving force for the market rally was continued support by the Federal Reserve to keep interest rates low and to encourage economic demand. Following this progression, U.S. consumer confidence and housing improved, China’s economy bounced back and accommodating monetary policies were announced in Europe. Consequently, the riskier segments within stocks and bonds benefited the most from this overall market optimism.
Consistent with the Fund’s asset allocation, the Medium-Duration Bond Fund and Extended-Duration Bond Fund were the weakest absolute contributors. However, the Fund’s total equity exposure provided the majority of absolute return for the one-year period ending December 31, 2012. Further, the performance dispersion between U.S. equity and non-U.S. equity markets was not largely significant. Within U.S. equity markets, however, value-oriented equities provided a marginal benefit over growth-oriented equities for the year as measured by the Russell 1000® Value Index and Russell 1000® Growth Index. Both segments provided a material benefit to absolute performance.
In addition to the Federal Reserve’s low interest rate policy, the bond market also benefited from an environment of low inflationary pressures and sluggish economic growth. All major bond market sectors posted positive returns for the year, led by emerging markets debt which generated an annual return of 18.04%. As a further indication of risk sentiment, broad market performance, measured by the Barclays Capital U.S. Aggregate Bond Index, gained 4.22% for the year, while the riskier Barclays Capital U.S. Corporate High Yield - 2% Issuer Capped Index posted a gain of 15.77% for 2012. The Fund’s allocation to fixed income holdings contributed meaningfully to absolute performance. Both the Extended-Duration Bond Fund and Global Bond Fund materially provided beneficial contributions to the Fund.
The Fund outperformed its composite benchmark in 2012 (16.30% versus 15.86%), with exposure to both the Fixed Income Select Funds and Equity Select Funds contributing to relative performance. The largest detractors to relative performance were the Value Equity Fund and Small Cap Equity Fund. The Fund’s relative performance was most positively impacted by exposure to the Growth Equity Fund.
The Fund attempted to achieve its objective by investing in the Select Funds. The Fund is managed to a retirement date (“target date”) by adjusting the percentage of fixed income securities and equity securities to become more conservative each year until reaching the retirement year and then approximately 15 years thereafter. The target date in the name of the Fund is the approximate date when an investor plans to start withdrawing money. This Fund may be suitable for investors who want a simplified “one fund” retirement solution, are willing to pay slightly higher fees to get a diversified mix of investments that becomes more conservative over time and plan to retire at an age that is near the year 2035. The Fund’s value will fluctuate due to changes in interest rates. There is a risk that the issuer of a fixed-income investment may fail to pay interest or even principal due in a timely manner or at all. The Fund’s value will fluctuate due to business developments concerning a particular issuer, industry or country, as well as general market and economic conditions. The Fund is subject to risks presented by investments in foreign issuers, and changes in currency exchange rates relative to the U.S. dollar may negatively affect the values of foreign investments held by the Select Funds. By investing in this Fund, you will incur the expenses of the Fund, in addition to those of the underlying Select Funds. The principal risks of the Fund will change depending on the asset mix of the Select Funds in which it invests. You may directly invest in the Select Funds. The Fund’s value will go up and down in response to changes in the share prices of the investments that it owns. The amount invested in the Fund is not guaranteed to increase, is not guaranteed against loss nor is the amount of the original investment guaranteed at the target date. It is possible to lose money by investing in the Fund.
Please see page 25 for information regarding specific portfolio allocations. Portfolio holdings are subject to change and risk at any time.
23
MyDestination 2035 Fund
| | | | | | |
| Average Annual Total Returns as of 12/31/12 |
| | | GS4 Class* | | | | Benchmark** |
One Year | | 16.30% | | | | 15.86% |
Five Year | | 0.95% | | | | 1.67% |
Since Inception | | 1.64% | | | | 2.37% |
Inception Date | | 12/29/06 | | | | |
Total Fund Operating Expenses (April 28, 2012 Prospectus, as amended on November 30, 2012)(1) | | 1.24% | | | | |
(1)The Fund’s shareholders indirectly bear the expenses of the GS4 Class shares of the Select Funds in which the Fund invests. Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph illustrates the results of a hypothetical $10,000 investment in the GS4 Class of the Fund since December 29, 2006 (commencement of operations), with all dividends and capital gains reinvested, with the Fund’s composite benchmark index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
**Represents a composite benchmark index as of December 2012, consisting of 2.75% of the Barclays Capital U.S. Aggregate Bond Index, 1.38% of the Barclays Capital U.S. Long-Term Government Bond Index, 1.37% of the Barclays Capital U.S. Long-Term Credit Bond Index, 3.50% of the Barclays Capital Global Aggregate Bond Index — Unhedged, 1.75% of the Barclays U.S. Corporate High Yield — 2% Issuer Capped Index, 1.75% of the J.P. Morgan Emerging Markets Bond Index Plus, 7.00% of the Dow Jones U.S. Select Real Estate Securities IndexSM, 22.34% of the Russell 1000® Value Index, 22.34% of the Russell 1000® Growth Index, 7.64% of the Russell 2000® Index and 28.18% of the MSCI ACWI (All Country World Index) Ex-U.S. Index.
The construction of the composite index corresponds to the target percentage allocations to the underlying asset classes as represented by the Fund’s investment in the Select Funds. As the target percentage allocations to the underlying investments change according to the MyDestination Funds® glide path, the target percentage allocations to the composite index also change.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
24
| | |
MYDESTINATION 2035 FUND SCHEDULE OF INVESTMENTS | | December 31, 2012 |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
MUTUAL FUNDS — 99.9% | | | | | | | | | | | | |
GuideStone Money Market
Fund (GS4 Class)¥ | | | | | 3,762,803 | | | | | $ | 3,762,803 | |
GuideStone Medium-Duration
Bond Fund (GS4 Class)¥ | | | | | 340,529 | | | | | | 4,998,964 | |
GuideStone Extended-Duration
Bond Fund (GS4 Class)¥ | | | | | 269,766 | | | | | | 5,012,252 | |
GuideStone Global Bond Fund
(GS4 Class)¥ | | | | | 1,238,608 | | | | | | 12,856,753 | |
GuideStone Real Estate
Securities Fund
(GS4 Class)¥ | | | | | 1,224,991 | | | | | | 12,984,905 | |
GuideStone Value Equity
Fund (GS4 Class)¥ | | | | | 2,527,131 | | | | | | 40,888,978 | |
GuideStone Growth Equity
Fund (GS4 Class)¥ | | | | | 2,017,067 | | | | | | 40,865,787 | |
GuideStone Small Cap Equity
Fund (GS4 Class)¥ | | | | | 887,973 | | | | | | 14,154,286 | |
GuideStone International
Equity Fund (GS4 Class)¥ | | | | | 4,017,323 | | | | | | 52,506,416 | |
| | | | | | | | | | | | |
Total Mutual Funds
(Cost $169,697,031) | | | | | | | | | | | 188,031,144 | |
| | | | | | | | | | | | |
TOTAL INVESTMENTS — 99.9%
(Cost $169,697,031) | | | | | | 188,031,144 | |
Other Assets in Excess of
Liabilities — 0.1% | | | | | | | | | | | 211,328 | |
| | | | | | | | | | | | |
NET ASSETS — 100.0% | | | | | | | | | | $ | 188,242,472 | |
| | | | | | | | | | | | |
PORTFOLIO SUMMARY (based on net assets)
| | | | |
| | | % | |
Domestic Equity Funds | | | 57.8 | |
International Equity Fund | | | 27.9 | |
Bond Funds | | | 12.2 | |
Futures Contracts | | | 2.0 | |
Money Market Fund | | | 2.0 | |
| | | | |
| | | 101.9 | |
| | | | |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2012, 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 | | | $ | 188,031,144 | | | | $ | 188,031,144 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | | $ | 188,031,144 | | | | $ | 188,031,144 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | $ | 19,438 | | | | $ | 19,438 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | | $ | 19,438 | | | | $ | 19,438 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
***Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements.
| | | | |
| | See Notes to Financial Statements. | | 25 |
MyDestination 2045 Fund
The Fund, through investments in the underlying Select Funds, combined a high percentage of exposure to equity securities with only a modest percentage to fixed income securities. The Fund followed an allocation glide path designed to become more conservative over time, and the December 2012 targeted allocations were approximately 6.00% Fixed Income Select Funds, 55.25% U.S. Equity Select Funds, 29.75% Non-U.S. Equity Select Fund and 9.00% Real Return Select Fund.
Equity exposure represented approximately 85% of the Fund and, therefore, contributed most of the Fund’s returns. As a fund of funds, its performance was based on the performance of the underlying Select Funds. The Fund generated a positive return of 16.60% for the one-year period ended December 31, 2012, which benefited from positive absolute performance from all of the Fixed Income Select Funds, Equity Select Funds and Real Return Select Funds. Overall exposure to the Equity Select Funds was a primary contributor to the Fund’s performance led by positive investment results of the International Equity Fund. The Value Equity Fund and Growth Equity Fund also made significant contributions. Within the Fund’s fixed income allocation, absolute return was most positively influenced by its exposure to both the Extended-Duration Bond Fund and the Global Bond Fund, returning 15.06% and 12.52%, respectively, for 2012.
U.S. equity exposure continued to contribute positively to the performance of the Fund. The year began with a very impressive start with the S&P 500® Index’s surging over 12.00% during the first quarter. As the year progressed, equities withstood a series of political and macroeconomic concerns to finish 2012 with a gain of 16.00%. Serving as a driving force for the market rally was continued support by the Federal Reserve to keep interest rates low and to encourage economic demand. Following this progression, U.S. consumer confidence and housing improved, China’s economy bounced back and accommodating monetary policies were announced in Europe. Consequently, the riskier segments within stocks and bonds benefited the most from this overall market optimism.
Consistent with the Fund’s asset allocation, the Extended-Duration Bond Fund and the Global Bond Fund were the weakest absolute contributors. However, the Fund’s prevailing equity exposure provided the majority of absolute return for the one-year period ending December 31, 2012. Further, the performance dispersion between U.S. equity and non-U.S. equity markets was not largely significant. Within U.S. equity markets, however, value-oriented equities provided a marginal benefit over growth-oriented equities for the year as measured by the Russell 1000® Value Index and Russell 1000® Growth Index. Both segments provided a material benefit to absolute performance.
In addition to the Federal Reserve’s low interest rate policy, the bond market also benefited from an environment of low inflationary pressures and sluggish economic growth. All major bond market sectors posted positive returns for the year, led by emerging markets debt which generated an annual return of 18.04%. As a further indication of risk sentiment, broad market performance, measured by the Barclays Capital U.S. Aggregate Bond Index, gained 4.22% for the year, while the riskier Barclays Capital U.S. Corporate High Yield - 2% Issuer Capped Index posted a gain of 15.77% for 2012. The Fund’s allocation to fixed income holdings contributed meaningfully to absolute performance. Both the Extended-Duration Bond Fund and Global Bond Fund materially provided beneficial contributions to the Fund.
The Fund outperformed its composite benchmark in 2012 (16.60% versus 16.39%), with exposure to both the Fixed Income Select Funds and Equity Select Funds contributing to relative performance. The largest detractors to relative performance were the Value Equity Fund and Small Cap Equity Fund. The Fund’s relative performance was most positively impacted by exposure to the Growth Equity Fund.
The Fund attempted to achieve its objective by investing in the Select Funds. The Fund is managed to a retirement date (“target date”) by adjusting the percentage of fixed income securities and equity securities to become more conservative each year until reaching the retirement year and then approximately 15 years thereafter. The target date in the name of the Fund is the approximate date when an investor plans to start withdrawing money. This Fund may be suitable for investors who want a simplified “one fund” retirement solution, are willing to pay slightly higher fees to get a diversified mix of investments that becomes more conservative over time and plan to retire at an age that is near the year 2045. The Fund’s value will fluctuate due to changes in interest rates. There is a risk that the issuer of a fixed-income investment may fail to pay interest or even principal due in a timely manner or at all. The Fund’s value will fluctuate due to business developments concerning a particular issuer, industry or country, as well as general market and economic conditions. The Fund is subject to risks presented by investments in foreign issuers, and changes in currency exchange rates relative to the U.S. dollar may negatively affect the values of foreign investments held by the Select Funds. By investing in this Fund, you will incur the expenses of the Fund, in addition to those of the underlying Select Funds. The principal risks of the Fund will change depending on the asset mix of the Select Funds in which it invests. You may directly invest in the Select Funds. The Fund’s value will go up and down in response to changes in the share prices of the investments that it owns. The amount invested in the Fund is not guaranteed to increase, is not guaranteed against loss nor is the amount of the original investment guaranteed at the target date. It is possible to lose money by investing in the Fund.
Please see page 28 for information regarding specific portfolio allocations. Portfolio holdings are subject to change and risk at any time.
26
MyDestination 2045 Fund
| | | | | | |
| Average Annual Total Returns as of 12/31/12 |
| | | GS4 Class* | | | | Benchmark** |
One Year | | 16.60% | | | | 16.39% |
Five Year | | 0.48% | | | | 1.23% |
Since Inception | | 1.13% | | | | 1.90% |
Inception Date | | 12/29/06 | | | | |
Total Fund Operating Expenses (April 28, 2012 Prospectus, as amended on November 30, 2012)(1) | | 1.32% | | | | |
(1)The Fund’s shareholders indirectly bear the expenses of the GS4 Class shares of the Select Funds in which the Fund invests. Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph illustrates the results of a hypothetical $10,000 investment in the GS4 Class of the Fund since December 29, 2006 (commencement of operations), with all dividends and capital gains reinvested, with the Fund’s composite benchmark index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
**Represents a composite benchmark index as of December 2012, consisting of 0.50% of the Barclays Capital U.S. Long-Term Government Bond Index, 0.50% of the Barclays Capital U.S. Long-Term Credit Bond Index, 2.50% of the Barclays Capital Global Aggregate Bond Index — Unhedged, 1.25% of the Barclays U.S. Corporate High Yield — 2% Issuer Capped Index, 1.25% of the J.P. Morgan Emerging Markets Bond Index Plus, 9.00% of the Dow Jones U.S. Select Real Estate Securities IndexSM, 23.30% of the Russell 1000® Value Index, 23.30% of the Russell 1000® Growth Index, 8.65% of the Russell 2000® Index and 29.75% of the MSCI ACWI (All Country World Index) Ex-U.S. Index.
The construction of the composite index corresponds to the target percentage allocations to the underlying asset classes as represented by the Fund’s investment in the Select Funds. As the target percentage allocations to the underlying investments change according to the MyDestination Funds® glide path, the target percentage allocations to the composite index also change.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
27
| | |
MYDESTINATION 2045 FUND SCHEDULE OF INVESTMENTS | | December 31, 2012 |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
MUTUAL FUNDS — 99.7% | | | | | | | | | | | | |
GuideStone Money Market
Fund (GS4 Class)¥ | | | | | 3,135,660 | | | | | $ | 3,135,660 | |
GuideStone Extended-Duration Bond Fund
(GS4 Class)¥ | | | | | 71,404 | | | | | | 1,326,683 | |
GuideStone Global Bond Fund (GS4 Class)¥ | | | | | 638,987 | | | | | | 6,632,689 | |
GuideStone Real Estate
Securities Fund (GS4 Class)¥ | | | | | 1,127,751 | | | | | | 11,954,159 | |
GuideStone Value Equity
Fund (GS4 Class)¥ | | | | | 1,880,490 | | | | | | 30,426,322 | |
GuideStone Growth Equity
Fund (GS4 Class)¥ | | | | | 1,506,592 | | | | | | 30,523,562 | |
GuideStone Small Cap Equity
Fund (GS4 Class)¥ | | | | | 714,667 | | | | | | 11,391,795 | |
GuideStone International
Equity Fund
(GS4 Class)¥ | | | | | 3,014,342 | | | | | | 39,397,456 | |
| | | | | | | | | | | | |
Total Mutual Funds
(Cost $116,671,159) | | | | | | | | | | | 134,788,326 | |
| | | | | | | | | | | | |
TOTAL INVESTMENTS — 99.7%
(Cost $116,671,159) | | | | | | 134,788,326 | |
Other Assets in Excess of
Liabilities — 0.3% | | | | | | | | | | | 407,577 | |
| | | | | | | | | | | | |
NET ASSETS — 100.0% | | | | | | | | | | $ | 135,195,903 | |
| | | | | | | | | | | | |
PORTFOLIO SUMMARY (based on net assets)
| | | | |
| | | % | |
Domestic Equity Funds | | | 62.4 | |
International Equity Fund | | | 29.1 | |
Bond Funds | | | 5.9 | |
Futures Contracts | | | 2.4 | |
Money Market Fund | | | 2.3 | |
| | | | |
| | | 102.1 | |
| | | | |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2012, 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 | | | $ | 134,788,326 | | | | $ | 134,788,326 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | | $ | 134,788,326 | | | | $ | 134,788,326 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | $ | 14,538 | | | | $ | 14,538 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | | $ | 14,538 | | | | $ | 14,538 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
***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.
| | | | |
| 28 | | See Notes to Financial Statements. | | |
MyDestination 2055 Fund
The Fund, through investments in the underlying Select Funds, combined a high percentage of exposure to equity securities with only a modest percentage to fixed income securities. The Fund followed an allocation glide path designed to become more conservative over time, and the December 2012 targeted allocations were approximately 5.00% Fixed Income Select Funds, 55.25% U.S. Equity Select Funds, 29.75% Non-U.S. Equity Select Fund and 10.00% Real Return Select Fund.
Equity exposure represented approximately 85% of the Fund and, therefore, contributed most of the Fund’s returns. As a fund of funds, its performance was based on the performance of the underlying Select Funds. The Fund generated a positive return of 14.18% for the one-year period ended December 31, 2012, which benefited from positive absolute performance from all of the Fixed Income Select Funds, Equity Select Funds and Real Return Select Funds. Overall exposure to the Equity Select Funds was a primary contributor to the Fund’s performance led by positive investment results of the International Equity Fund. The Value Equity Fund and Growth Equity Fund also made significant contributions. Within the Fund’s fixed income allocation, absolute return was most positively influenced by its exposure to both the Extended-Duration Bond Fund and the Global Bond Fund, returning 15.06% and 12.52%, respectively, for 2012.
U.S. equity exposure continued to contribute positively to the performance of the Fund. The year began with a very impressive start with the S&P 500® Index’s surging over 12.00% during the first quarter. As the year progressed, equities withstood a series of political and macro-economic concerns to finish 2012 with a gain of 16.00%. Serving as a driving force for the market rally was continued support by the Federal Reserve to keep interest rates low and to encourage economic demand. Following this progression, U.S. consumer confidence and housing improved, China’s economy bounced back and accommodating monetary policies were announced in Europe. Consequently, the riskier segments within stocks and bonds benefited the most from this overall market optimism.
Consistent with the Fund’s asset allocation, the Global Bond Fund was the weakest absolute contributor. However, the Fund’s prevailing equity exposure provided the majority of absolute return for the one-year period ending December 31, 2012. Further, the performance dispersion between U.S. equity and non-U.S. equity markets was not largely significant. Within U.S. equity markets; however, value-oriented equities provided a marginal benefit over growth-oriented equities for the year as measured by the Russell 1000® Value Index and Russell 1000® Growth Index. Both segments provided a material benefit to absolute performance.
In addition to the Federal Reserve’s low interest rate policy, the bond market also benefited from an environment of low inflationary pressures and sluggish economic growth. All major bond market sectors posted positive returns for the year, led by emerging markets debt which generated an annual return of 18.04%. As a further indication of risk sentiment, broad market performance, measured by the Barclays Capital U.S. Aggregate Bond Index, gained 4.22% for the year, while the riskier Barclays Capital U.S. Corporate High Yield - 2% Issuer Capped Index posted a gain of 15.77% for 2012. The Fund’s allocation to fixed income holdings contributed meaningfully to absolute performance. Both the Extended-Duration Bond Fund and Global Bond Fund materially provided beneficial contributions to the Fund.
The Fund underperformed its composite benchmark in 2012 (14.18% versus 16.47%), with exposure to both the Fixed Income Select Funds and Equity Select Funds contributing to relative performance. The largest detractors to relative performance were the Value Equity Fund and Small Cap Equity Fund. The Fund’s relative performance was most positively impacted by exposure to the Growth Equity Fund.
The Fund attempted to achieve its objective by investing in the Select Funds. The Fund is managed to a retirement date (“target date”) by adjusting the percentage of fixed income securities and equity securities to become more conservative each year until reaching the retirement year and then approximately 15 years thereafter. The target date in the name of the Fund is the approximate date when an investor plans to start withdrawing money. This Fund may be suitable for investors who want a simplified “one fund” retirement solution, are willing to pay slightly higher fees to get a diversified mix of investments that becomes more conservative over time and plan to retire at an age that is near the year 2055. The Fund’s value will fluctuate due to changes in interest rates. There is a risk that the issuer of a fixed-income investment may fail to pay interest or even principal due in a timely manner or at all. The Fund’s value will fluctuate due to business developments concerning a particular issuer, industry or country, as well as general market and economic conditions. The Fund is subject to risks presented by investments in foreign issuers, and changes in currency exchange rates relative to the U.S. dollar may negatively affect the values of foreign investments held by the Select Funds. By investing in this Fund, you will incur the expenses of the Fund, in addition to those of the underlying Select Funds. The principal risks of the Fund will change depending on the asset mix of the Select Funds in which it invests. You may directly invest in the Select Funds. The Fund’s value will go up and down in response to changes in the share prices of the investments that it owns. The amount invested in the Fund is not guaranteed to increase, is not guaranteed against loss nor is the amount of the original investment guaranteed at the target date. It is possible to lose money by investing in the Fund.
Please see page 31 for information regarding specific portfolio allocations. Portfolio holdings are subject to change and risk at any time.
29
MyDestination 2055 Fund
| | | | |
| Average Annual Total Returns as of 12/31/12 |
| | | GS4 Class* | | Benchmark** |
One Year | | 14.18% | | 16.47% |
Inception Date | | 01/01/12 | | |
Total Fund Operating Expenses (April 28, 2012 Prospectus, as amended on November 30, 2012)(1) | | 2.31% | | |
(1)The Fund’s shareholders indirectly bear the expenses of the GS4 Class shares of the Select Funds in which the Fund invests. Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph illustrates the results of a hypothetical $10,000 investment in the GS4 Class of the Fund since January 1, 2012 (commencement of operations), with all dividends and capital gains reinvested, with the Fund’s composite benchmark index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
**Represents a composite benchmark index as of December 2012, consisting of 2.50% of the Barclays Capital Global Aggregate Bond Index — Unhedged, 1.25% of the Barclays U.S. Corporate High Yield — 2% Issuer Capped Index, 1.25% of the J.P. Morgan Emerging Markets Bond Index Plus, 10.00% of the Dow Jones U.S. Select Real Estate Securities IndexSM, 23.24% of the Russell 1000® Value Index, 23.24% of the Russell 1000® Growth Index, 8.77% of the Russell 2000® Index and 29.75% of the MSCI ACWI (All Country World Index) Ex-U.S. Index.
The construction of the composite index corresponds to the target percentage allocations to the underlying asset classes as represented by the Fund’s investment in the Select Funds. As the target percentage allocations to the underlying investments change according to the MyDestination Funds® glide path, the target percentage allocations to the composite index also change.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
30
| | |
MYDESTINATION 2055 FUND SCHEDULE OF INVESTMENTS | | December 31, 2012 |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
MUTUAL FUNDS — 99.7% | | | | | | | | | | | | |
GuideStone Money Market
Fund (GS4 Class)¥ | | | | | 140,843 | | | | | $ | 140,843 | |
GuideStone Global Bond Fund
(GS4 Class)¥ | | | | | 29,650 | | | | | | 307,765 | |
GuideStone Real Estate
Securities Fund
(GS4 Class)¥ | | | | | 58,410 | | | | | | 619,147 | |
GuideStone Value Equity Fund
(GS4 Class)¥ | | | | | 88,031 | | | | | | 1,424,338 | |
GuideStone Growth Equity
Fund (GS4 Class)¥ | | | | | 70,277 | | | | | | 1,423,806 | |
GuideStone Small Cap Equity
Fund (GS4 Class)¥ | | | | | 33,935 | | | | | | 540,926 | |
GuideStone International
Equity Fund (GS4 Class)¥ | | | | | 140,796 | | | | | | 1,840,197 | |
| | | | | | | | | | | | |
Total Mutual Funds
(Cost $5,966,228) | | | | | | | | | | | 6,297,022 | |
| | | | | | | | | | | | |
TOTAL INVESTMENTS — 99.7%
(Cost $5,966,228) | | | | | | 6,297,022 | |
Other Assets in Excess of
Liabilities — 0.3% | | | | | | | | | | | 19,398 | |
| | | | | | | | | | | | |
NET ASSETS — 100.0% | | | | | | | | | | $ | 6,316,420 | |
| | | | | | | | | | | | |
PORTFOLIO SUMMARY (based on net assets)
| | | | |
| | | % | |
Domestic Equity Funds | | | 63.5 | |
International Equity Fund | | | 29.1 | |
Bond Fund | | | 4.9 | |
Money Market Fund | | | 2.2 | |
| | | | |
| | | 99.7 | |
| | | | |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2012, 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 | | | $ | 6,297,022 | | | | $ | 6,297,022 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | | $ | 6,297,022 | | | | $ | 6,297,022 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 31 |
| | |
STATEMENTS OF ASSETS AND LIABILITIES | | December 31, 2012 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | MyDestination
2005 Fund | | MyDestination
2015 Fund | | MyDestination
2025 Fund | | MyDestination
2035 Fund | | MyDestination
2045 Fund | | MyDestination
2055 Fund |
Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in securities of affiliated issuers, at value(1) | | | $ | 80,315,480 | | | | $ | 352,408,982 | | | | $ | 375,018,477 | | | | $ | 188,031,144 | | | | $ | 134,788,326 | | | | $ | 6,297,022 | |
Cash collateral for derivatives | | | | 77,200 | | | | | 220,000 | | | | | 275,300 | | | | | 199,900 | | | | | 169,500 | | | | | — | |
Receivables: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Dividends from affiliated funds | | | | 12 | | | | | 43 | | | | | 48 | | | | | 31 | | | | | 23 | | | | | 1 | |
Fund shares sold | | | | 192,524 | | | | | 94,528 | | | | | 178,194 | | | | | 120,117 | | | | | 203,590 | | | | | 24,325 | |
Variation margin on financial futures contracts | | | | 15,515 | | | | | 53,846 | | | | | 85,523 | | | | | 67,963 | | | | | 62,231 | | | | | — | |
Receivable from advisor | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | 2,487 | |
Prepaid expenses and other assets | | | | 15,756 | | | | | 17,821 | | | | | 18,766 | | | | | 16,309 | | | | | 16,514 | | | | | 14,791 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Assets | | | | 80,616,487 | | | | | 352,795,220 | | | | | 375,576,308 | | | | | 188,435,464 | | | | | 135,240,184 | | | | | 6,338,626 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Payables: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Fund shares redeemed | | | | — | | | | | 155,915 | | | | | 273,032 | | | | | 138,818 | | | | | — | | | | | — | |
Accrued expenses: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investment advisory fees | | | | 7,093 | | | | | 30,101 | | | | | 31,924 | | | | | 24,603 | | | | | 15,894 | | | | | — | |
Other expenses | | | | 27,170 | | | | | 32,826 | | | | | 33,425 | | | | | 29,571 | | | | | 28,387 | | | | | 22,206 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Liabilities | | | | 34,263 | | | | | 218,842 | | | | | 338,381 | | | | | 192,992 | | | | | 44,281 | | | | | 22,206 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets | | | $ | 80,582,224 | | | | $ | 352,576,378 | | | | $ | 375,237,927 | | | | $ | 188,242,472 | | | | $ | 135,195,903 | | | | $ | 6,316,420 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets Consist of: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Paid-in capital | | | $ | 80,512,909 | | | | $ | 334,173,500 | | | | $ | 343,791,600 | | | | $ | 169,143,733 | | | | $ | 117,757,124 | | | | $ | 5,859,448 | |
Undistributed net investment income | | | | 102,131 | | | | | 1,380,527 | | | | | 606,875 | | | | | 3,087 | | | | | 307 | | | | | — | |
Undistributed (accumulated) net realized gain (loss) on investments and futures transactions | | | | (5,791,748 | ) | | | | (21,352,713 | ) | | | | (5,752,001 | ) | | | | 742,101 | | | | | (693,233 | ) | | | | 126,178 | |
Net unrealized appreciation on investments and futures | | | | 5,758,932 | | | | | 38,375,064 | | | | | 36,591,453 | | | | | 18,353,551 | | | | | 18,131,705 | | | | | 330,794 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets | | | $ | 80,582,224 | | | | $ | 352,576,378 | | | | $ | 375,237,927 | | | | $ | 188,242,472 | | | | $ | 135,195,903 | | | | $ | 6,316,420 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Net Asset Value: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
$0.001 par value, unlimited shares authorized | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets applicable to the GS4 Class | | | $ | 80,582,224 | | | | $ | 352,576,378 | | | | $ | 375,237,927 | | | | $ | 188,242,472 | | | | $ | 135,195,903 | | | | $ | 6,316,420 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
GS4 shares outstanding | | | | 7,858,400 | | | | | 34,530,995 | | | | | 38,117,306 | | | | | 20,027,215 | | | | | 14,792,018 | | | | | 563,901 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, offering and redemption price per GS4 share | | | $ | 10.25 | | | | $ | 10.21 | | | | $ | 9.84 | | | | $ | 9.40 | | | | $ | 9.14 | | | | $ | 11.20 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
(1) Investments in securities of affiliated issuers, at cost | | | $ | 74,563,460 | | | | $ | 314,050,297 | | | | $ | 338,454,376 | | | | $ | 169,697,031 | | | | $ | 116,671,159 | | | | $ | 5,966,228 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| 32 | | See Notes to Financial Statements. | | |
| | |
STATEMENTS OF OPERATIONS | | For the Year Ended December 31, 2012 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | MyDestination
2005 Fund | | MyDestination
2015 Fund | | MyDestination
2025 Fund | | MyDestination
2035 Fund | | MyDestination
2045 Fund | | MyDestination
2055 Fund(1) |
Investment Income | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income dividends received from affiliated funds | | | $ | 1,049,485 | | | | $ | 5,182,934 | | | | $ | 5,474,173 | | | | $ | 2,321,826 | | | | $ | 1,503,421 | | | | $ | 65,198 | |
Interest | | | | — | | | | | — | | | | | — | | | | | — | | | | | 5 | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Investment Income | | | | 1,049,485 | | | | | 5,182,934 | | | | | 5,474,173 | | | | | 2,321,826 | | | | | 1,503,426 | | | | | 65,198 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investment advisory fees | | | | 74,340 | | | | | 326,111 | | | | | 335,668 | | | | | 165,744 | | | | | 114,854 | | | | | 4,535 | |
Transfer agent fees: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
GS4 Shares | | | | 19,906 | | | | | 23,479 | | | | | 23,687 | | | | | 21,542 | | | | | 21,078 | | | | | 17,185 | |
Custodian fees | | | | 16,404 | | | | | 21,133 | | | | | 21,531 | | | | | 17,504 | | | | | 15,895 | | | | | 6,228 | |
Accounting and administration fees | | | | 8,070 | | | | | 20,954 | | | | | 21,435 | | | | | 12,614 | | | | | 10,026 | | | | | 2,477 | |
Professional fees | | | | 41,087 | | | | | 41,096 | | | | | 41,097 | | | | | 41,091 | | | | | 41,090 | | | | | 45,540 | |
Blue sky fees: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
GS4 Shares | | | | 16,701 | | | | | 18,707 | | | | | 17,471 | | | | | 16,663 | | | | | 15,959 | | | | | 20,436 | |
Shareholder reporting fees: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
GS4 Shares | | | | 5,375 | | | | | 11,805 | | | | | 12,399 | | | | | 8,452 | | | | | 7,743 | | | | | 626 | |
Trustee expenses | | | | 1,966 | | | | | 4,590 | | | | | 4,682 | | | | | 2,910 | | | | | 2,383 | | | | | 1,245 | |
Line of credit facility fees | | | | 801 | | | | | 3,508 | | | | | 3,592 | | | | | 1,758 | | | | | 1,207 | | | | | 55 | |
Other expenses | | | | 8,940 | | | | | 8,940 | | | | | 8,940 | | | | | 8,940 | | | | | 8,940 | | | | | 6,343 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Expenses | | | | 193,590 | | | | | 480,323 | | | | | 490,502 | | | | | 297,218 | | | | | 239,175 | | | | | 104,670 | |
Expenses waived/reimbursed net of amount recaptured(2) | | | | (48,296 | ) | | | | — | | | | | — | | | | | 26,917 | | | | | (15,118 | ) | | | | (95,601 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Expenses | | | | 145,294 | | | | | 480,323 | | | | | 490,502 | | | | | 324,135 | | | | | 224,057 | | | | | 9,069 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | 904,191 | | | | | 4,702,611 | | | | | 4,983,671 | | | | | 1,997,691 | | | | | 1,279,369 | | | | | 56,129 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Realized and Unrealized Gain (Loss) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Capital gain distributions received from affiliated funds | | | | 1,319,147 | | | | | 6,919,192 | | | | | 7,434,400 | | | | | 3,703,930 | | | | | 2,707,429 | | | | | 124,195 | |
Net realized gain on investment securities of affiliated issuers | | | | 1,684,504 | | | | | 1,135,318 | | | | | 1,696,017 | | | | | 730,107 | | | | | 345,386 | | | | | 64,731 | |
Net realized gain on futures transactions | | | | 88,115 | | | | | 563,792 | | | | | 589,298 | | | | | 517,261 | | | | | 348,975 | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net realized gain | | | | 3,091,766 | | | | | 8,618,302 | | | | | 9,719,715 | | | | | 4,951,298 | | | | | 3,401,790 | | | | | 188,926 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Change in unrealized appreciation on investment securities of affiliated issuers | | | | 2,096,282 | | | | | 20,312,617 | | | | | 26,661,002 | | | | | 16,456,499 | | | | | 11,902,744 | | | | | 330,794 | |
Change in unrealized appreciation (depreciation) on futures | | | | 1,885 | | | | | (11,188 | ) | | | | (17,159 | ) | | | | (6,765 | ) | | | | 1,817 | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) | | | | 2,098,167 | | | | | 20,301,429 | | | | | 26,643,843 | | | | | 16,449,734 | | | | | 11,904,561 | | | | | 330,794 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Realized and Unrealized Gain | | | | 5,189,933 | | | | | 28,919,731 | | | | | 36,363,558 | | | | | 21,401,032 | | | | | 15,306,351 | | | | | 519,720 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Increase in Net Assets Resulting from Operations | | | $ | 6,094,124 | | | | $ | 33,622,342 | | | | $ | 41,347,229 | | | | $ | 23,398,723 | | | | $ | 16,585,720 | | | | $ | 575,849 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (1) | The MyDestination 2055 Fund commenced operations as a registered |
investment company on January 1, 2012.
| (2) | See Note 3a and 3c in Notes to Financial Statements. |
| | | | |
| | See Notes to Financial Statements. | | 33 |
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | | | | | | | | | |
| | | MyDestination 2005 Fund | | | MyDestination 2015 Fund | |
| | | For the Year Ended | | | For the Year Ended | |
| | | 12/31/12 | | | 12/31/11 | | | 12/31/12 | | | 12/31/11 | |
Operations: | | | | | | | | | | | | | | | | |
Net investment income | | $ | 904,191 | | | $ | 851,849 | | | $ | 4,702,611 | | | $ | 3,859,060 | |
Net realized gain (loss) on investment securities
and futures transactions | | | 3,091,766 | | | | 2,517,678 | | | | 8,618,302 | | | | (6,612,694 | ) |
Net change in unrealized appreciation (depreciation)
on investment securities and futures | | | 2,098,167 | | | | (2,025,552 | ) | | | 20,301,429 | | | | 7,143,228 | |
| | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets resulting from
operations | | | 6,094,124 | | | | 1,343,975 | | | | 33,622,342 | | | | 4,389,594 | |
| | | | | | | | | | | | | | | | |
Dividends and Distributions to Shareholders: | | | | | | | | | | | | | | | | |
Dividends from net investment income(1) | | | (1,578,267 | ) | | | (1,118,885 | ) | | | (7,838,073 | ) | | | (4,639,060 | ) |
Distributions from net realized capital gains | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total dividends and distributions | | | (1,578,267 | ) | | | (1,118,885 | ) | | | (7,838,073 | ) | | | (4,639,060 | ) |
| | | | | | | | | | | | | | | | |
Capital Share Transactions: | | | | | | | | | | | | | | | | |
Proceeds from GS4 shares sold | | | 22,149,640 | | | | 25,225,989 | | | | 71,866,425 | | | | 54,743,331 | |
Reinvestment of dividends and distributions into GS4 shares | | | 1,578,267 | | | | 1,118,483 | | | | 7,838,073 | | | | 4,639,060 | |
Value of GS4 shares redeemed | | | (12,269,397 | ) | | | (16,644,614 | ) | | | (27,008,482 | ) | | | (30,708,423 | ) |
| | | | | | | | | | | | | | | | |
Net increase from capital share transactions(2) | | | 11,458,510 | | | | 9,699,858 | | | | 52,696,016 | | | | 28,673,968 | |
| | | | | | | | | | | | | | | | |
Total increase in net assets | | | 15,974,367 | | | | 9,924,948 | | | | 78,480,285 | | | | 28,424,502 | |
| | | | | | | | | | | | | | | | |
Net Assets: | | | | | | | | | | | | | | | | |
Beginning of Year | | | 64,607,857 | | | | 54,682,909 | | | | 274,096,093 | | | | 245,671,591 | |
| | | | | | | | | | | | | | | | |
End of Year* | | $ | 80,582,224 | | | $ | 64,607,857 | | | $ | 352,576,378 | | | $ | 274,096,093 | |
| | | | | | | | | | | | | | | | |
*Including undistributed net investment income | | $ | 102,131 | | | $ | 101,776 | | | $ | 1,380,527 | | | $ | 1,380,630 | |
| | | | | | | | | | | | | | | | |
| (1) | Includes dividends paid from the short-term portion of capital gain distributions received from affiliated funds. |
| (2) | See Note 6 in Notes to Financial Statements. |
| (3) | The MyDestination 2055 Fund commenced operations as a registered investment company on January 1, 2012. |
| | | | |
| 34 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| MyDestination 2025 Fund | | | MyDestination 2035 Fund | | | MyDestination 2045 Fund | | | MyDestination 2055 Fund | |
| For the Year Ended | | | For the Year Ended | | | For the Year Ended | | | For the Year Ended | |
| 12/31/12 | | | 12/31/11 | | | 12/31/12 | | | 12/31/11 | | | 12/31/12 | | | 12/31/11 | | | 12/31/12(3) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 4,983,671 | | | $ | 3,723,266 | | | $ | 1,997,691 | | | $ | 1,400,976 | | | $ | 1,279,369 | | | $ | 725,744 | | | | | $ | 56,129 | |
| | | | | | | |
| | 9,719,715 | | | | (5,289,907 | ) | | | 4,951,298 | | | | 190,251 | | | | 3,401,790 | | | | 26,074 | | | | | | 188,926 | |
| | | | | | | |
| | 26,643,843 | | | | 877,964 | | | | 16,449,734 | | | | (5,719,088 | ) | | | 11,904,561 | | | | (4,125,970 | ) | | | | | 330,794 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | 41,347,229 | | | | (688,677 | ) | | | 23,398,723 | | | | (4,127,861 | ) | | | 16,585,720 | | | | (3,374,152 | ) | | | | | 575,849 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (7,215,597 | ) | | | (4,085,427 | ) | | | (2,098,516 | ) | | | (1,436,957 | ) | | | (1,290,110 | ) | | | (728,739 | ) | | | | | (56,171 | ) |
| | — | | | | — | | | | (1,022,785 | ) | | | (762,677 | ) | | | (750,228 | ) | | | (1,952,225 | ) | | | | | (62,706 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (7,215,597 | ) | | | (4,085,427 | ) | | | (3,121,301 | ) | | | (2,199,634 | ) | | | (2,040,338 | ) | | | (2,680,964 | ) | | | | | (118,877 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 75,379,767 | | | | 59,628,488 | | | | 40,637,718 | | | | 33,005,073 | | | | 31,566,664 | | | | 27,357,501 | | | | | | 13,215,155 | |
| | 7,215,597 | | | | 4,085,427 | | | | 3,121,301 | | | | 2,199,634 | | | | 2,040,186 | | | | 2,680,965 | | | | | | 118,877 | |
| | (19,728,424 | ) | | | (17,202,341 | ) | | | (7,240,011 | ) | | | (7,637,385 | ) | | | (2,910,235 | ) | | | (9,832,010 | ) | | | | | (7,474,584 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 62,866,940 | | | | 46,511,574 | | | | 36,519,008 | | | | 27,567,322 | | | | 30,696,615 | | | | 20,206,456 | | | | | | 5,859,448 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 96,998,572 | | | | 41,737,470 | | | | 56,796,430 | | | | 21,239,827 | | | | 45,241,997 | | | | 14,151,340 | | | | | | 6,316,420 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 278,239,355 | | | | 236,501,885 | | | | 131,446,042 | | | | 110,206,215 | | | | 89,953,906 | | | | 75,802,566 | | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 375,237,927 | | | $ | 278,239,355 | | | $ | 188,242,472 | | | $ | 131,446,042 | | | $ | 135,195,903 | | | $ | 89,953,906 | | | | | $ | 6,316,420 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 606,875 | | | $ | 607,362 | | | $ | 3,087 | | | $ | — | | | $ | 307 | | | $ | — | | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 35 |
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 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
Distribu- tions
Received
from
Affiliated
Funds | | | Realized
and
Unrealized
Gain (Loss) on
Investments | | | Dividends
from Net
Investment
Income (2) | | | Distribu- tions
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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 2012 | | | $ 9.60 | | | | $0.13 | # | | | $0.18 | | | | $0.55 | | | | $(0.21 | ) | | | $ — | | | | $10.25 | | | | 8.92 | % | | | $80,582 | | | | 0.20 | % | | | 0.27 | % | | | 1.24 | % | | | 8 | % |
| 2011 | | | 9.53 | | | | 0.14 | # | | | 0.05 | | | | 0.05 | | | | (0.17 | ) | | | — | | | | 9.60 | | | | 2.52 | | | | 64,608 | | | | 0.20 | | | | 0.35 | | | | 1.43 | | | | 31 | |
| 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 | |
MyDestination 2015 Fund | |
| | | | | | | | | | | |
GS4 Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 2012 | | | $ 9.37 | | | | $0.15 | # | | | $0.22 | | | | $0.70 | | | | $(0.23 | ) | | | $ — | | | | $10.21 | | | | 11.46 | % | | | $352,576 | | | | 0.15 | % | | | 0.15 | % | | | 1.47 | % | | | 2 | % |
| 2011 | | | 9.36 | | | | 0.14 | # | | | 0.05 | | | | (0.02 | ) | | | (0.16 | ) | | | — | | | | 9.37 | | | | 1.84 | | | | 274,096 | | | | 0.17 | | | | 0.17 | | | | 1.46 | | | | 33 | |
| 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 | |
MyDestination 2025 Fund | |
| | | | | | | | | | | |
GS4 Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 2012 | | | $ 8.81 | | | | $0.14 | # | | | $0.22 | | | | $0.86 | | | | $(0.19 | ) | | | $ — | | | | $9.84 | | | | 13.90 | % | | | $375,238 | | | | 0.15 | % | | | 0.15 | % | | | 1.51 | % | | | 2 | % |
| 2011 | | | 8.94 | | | | 0.13 | # | | | 0.03 | | | | (0.16 | ) | | | (0.13 | ) | | | — | | | | 8.81 | | | | 0.03 | | | | 278,239 | | | | 0.17 | | | | 0.17 | | | | 1.42 | | | | 24 | |
| 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 | |
| # | 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 (higher) than the ratio shown. |
| | | | |
| 36 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 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
Distribu- tions
Received
from
Affiliated
Funds | | | Realized
and
Unrealized
Gain (Loss) on
Investments | | | Dividends
from Net
Investment
Income (2) | | | Distribu- tions
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 2035 Fund | |
|
GS4 Class | |
| 2012 | | $ | 8.22 | | | $ | 0.11 | # | | $ | 0.21 | | | $ | 1.02 | | | $ | (0.11 | ) | | $ | (0.05 | ) | | $ | 9.40 | | | | 16.30 | % | | $ | 188,242 | | | | 0.20 | % | | | 0.18 | % | | | 1.23 | % | | | 1 | % |
| 2011 | | | 8.62 | | | | 0.10 | # | | | 0.01 | | | | (0.37 | ) | | | (0.09 | ) | | | (0.05 | ) | | | 8.22 | | | | (2.99 | ) | | | 131,446 | | | | 0.20 | | | | 0.23 | | | | 1.13 | | | | 10 | |
| 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 | |
MyDestination 2045 Fund | |
|
GS4 Class | |
| 2012 | | $ | 7.96 | | | $ | 0.10 | # | | $ | 0.21 | | | $ | 1.01 | | | $ | (0.09 | ) | | $ | (0.05 | ) | | $ | 9.14 | | | | 16.60 | % | | $ | 135,196 | | | | 0.20 | % | | | 0.21 | % | | | 1.14 | % | | | 1 | % |
| 2011 | | | 8.52 | | | | 0.07 | # | | | — | † | | | (0.38 | ) | | | (0.07 | ) | | | (0.18 | ) | | | 7.96 | | | | (3.63 | ) | | | 89,954 | | | | 0.20 | | | | 0.29 | | | | 0.87 | | | | 25 | |
| 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 | |
MyDestination 2055 Fund | |
|
GS4 Class | |
| 2012* | | $ | 10.00 | | | $ | 0.13 | # | | $ | 0.30 | | | $ | 0.98 | | | $ | (0.10 | ) | | $ | (0.11 | ) | | $ | 11.20 | | | | 14.18 | % | | $ | 6,316 | | | | 0.20 | % | | | 2.31 | % | | | 1.24 | % | | | 18 | % |
| † | Amount represents less than $0.005 per share. |
| # | Calculated using the average shares outstanding method. |
| * | Inception date was January 1, 2012. |
| (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 (higher) than the ratio shown. |
| | | | |
| | See Notes to Financial Statements. | | 37 |
Conservative Allocation Fund
The Fund, through investments in the underlying Select Funds, combined a greater percentage of exposure to fixed income securities with a smaller percentage to equity securities. The Fund had a target of, but was not limited to, an asset allocation of
60.00% Fixed Income Select Funds, 18.88% U.S. Equity Select Funds, 6.12% Non-U.S. Equity Select Fund and 15.00% Real Return Select Fund.
As a fund of funds, its performance was based on the performance of the underlying Select Funds. The Fund generated a return of 7.02% for the one-year period ended December 31, 2012, benefiting from positive absolute performance of the underlying Fixed Income Select Funds, Equity Select Funds and Real Return Select Fund. The Fund’s absolute return was most positively influenced by its exposure to the Low-Duration Bond Fund, followed by exposure to the Value Equity Fund and International Equity Fund.
U.S. equity exposure continued to contribute positively to the performance of the Fund. The year began with a very impressive start with the S&P 500® Index’s surging over 12.00% during the first quarter. As the year progressed, equities withstood a series of political and macroeconomic concerns to finish 2012 with a gain of 16.00%. Performance dispersion between U.S. equity and non-U.S. equity markets was not largely significant. Within U.S. equity markets, however, value-oriented equities provided a marginal benefit over growth-oriented equities for the year as measured by the Russell 1000® Value Index and Russell 1000® Growth Index. Both segments provided a material benefit to absolute performance.
Serving as a driving force for the market rally was continued support by the Federal Reserve to keep interest rates low and to encourage economic demand. Following this progression, U.S. consumer confidence and housing improved, China’s economy bounced back and accommodating monetary policies were announced in Europe. Consequently, the riskier segments within stocks and bonds benefited the most from this overall market optimism.
In addition to the Federal Reserve’s low interest rate policy, the bond market also benefited from an environment of low inflationary pressures and sluggish economic growth. All major bond market sectors posted positive returns for the year, led by emerging markets debt which generated an annual return of 18.04%. As a further indication of risk sentiment, broad market performance, measured by the Barclays Capital U.S. Aggregate Bond Index, gained 4.22% for the year, while the riskier Barclays Capital U.S. Corporate High Yield - 2% Issuer Capped Index posted a gain of 15.77% for 2012.
The Fund outperformed its composite benchmark in 2012 (7.02% versus 5.41%). While the Low-Duration Bond Fund was the largest contributor to the Fund’s absolute return, it also served as the leading driver in the Fund’s relative outperformance during the year. At a target weight of approximately 7%, the Defensive Market Strategies Fund was the primary detractor within the Equity Select Funds. The Inflation-Protected Bond Fund also marginally detracted from relative performance over the period.
The Fund attempted to achieve its objective by investing in the Select Funds. By investing in the Fund you will also incur the expenses and risks of the underlying Select Funds. The principal risks of the Fund will change depending on the asset mix of the Select Funds in which it invests. You may directly invest in the Select Funds. The Fund’s value will go up and down in response to changes in the share prices of the investments that it owns. It is possible to lose money by investing in the Fund. The Fund may be suitable for investors who have a short - to medium-time investment horizon, possess a relatively low tolerance for risk and want some exposure to the growth potential of the stock market tempered by a larger allocation to short-term, fixed income securities. This Fund is subject to interest rate risk. Meaning, when interest rates rise, the value of the existing bonds decrease and vice versa. Changes in interest rates have a bigger impact on long duration holdings than on short duration holdings.
Please see page 40 for information regarding specific portfolio allocations. Portfolio holdings are subject to change and risk at any time.
38
Conservative Allocation Fund
| | | | |
| Average Annual Total Returns as of 12/31/12 |
| | | GS4 Class* | | Benchmark** |
One Year | | 7.02% | | 5.41% |
Five Year | | 3.40% | | 3.19% |
Ten Year | | 4.67% | | 4.75% |
Inception Date | | 08/27/01 | | |
Total Fund Operating Expenses (April 28, 2012 Prospectus, as amended on November 30, 2012)(1) | | 0.87% | | |
(1)The Fund’s shareholders indirectly bear the expenses of the GS4 Class shares of the Select Funds in which the Fund invests. Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph compares the results of a hypothetical $10,000 investment in the GS4 Class of the Fund for the 10 year period from December 31, 2002 to December 31, 2012, with all dividends and capital gains reinvested, with the Fund’s weighted composite benchmark index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
**Represents a composite index consisting of the Bank of America Merrill Lynch 1-3 Year Treasury Index, the Barclays Capital U.S. TIPS Index, the Russell 3000® Index and the MSCI ACWI (All Country World Index) Ex-U.S. Index, weighted 60.00%, 15.00%, 18.88% and 6.12%, respectively.
The Bank of America Merrill Lynch 1-3 Year Treasury Index is composed of all U.S. Treasury notes and bonds with maturities greater than or equal to one year and less than three years.
The Barclays Capital U.S. TIPS Index measures the performance of the U.S. Treasury Inflation Protected Securities (“TIPS”) market and includes TIPS with one or more years remaining until maturity with total outstanding issue size of $500 million or more.
The Russell 3000® Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market.
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 (excluding U.S.) and emerging markets.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
39
| | |
CONSERVATIVE ALLOCATION FUND SCHEDULE OF INVESTMENTS | | December 31, 2012 |
| | | | | | | | | | |
| | | Shares | | | Value | |
MUTUAL FUNDS — 99.8% | | | | | | | | | | |
GuideStone Money Market
Fund (GS4 Class)¥ | | | 5,925,474 | | | | | $ | 5,925,474 | |
GuideStone Low-Duration
Bond Fund (GS4 Class)¥ | | | 14,137,590 | | | | | | 191,140,214 | |
GuideStone Inflation Protected
Bond Fund (GS4 Class)¥ | | | 4,166,746 | | | | | | 46,875,888 | |
GuideStone Defensive Market
Strategies Fund
(GS4 Class)¥ | | | 2,268,237 | | | | | | 24,043,313 | |
GuideStone Value Equity
Fund (GS4 Class)¥ | | | 1,048,364 | | | | | | 16,962,524 | |
GuideStone Growth Equity
Fund (GS4 Class)¥ | | | 835,645 | | | | | | 16,930,172 | |
GuideStone Small Cap Equity
Fund (GS4 Class)¥ | | | 241,925 | | | | | | 3,856,292 | |
GuideStone International
Equity Fund (GS4 Class)¥ | | | 1,599,688 | | | | | | 20,907,918 | |
| | | | | | | | | | |
Total Mutual Funds
(Cost $297,601,586) | | | | | | | | | 326,641,795 | |
| | | | | | | | | | |
TOTAL INVESTMENTS — 99.8%
(Cost $297,601,586) | | | | | | 326,641,795 | |
Other Assets in Excess of
Liabilities — 0.2% | | | | | | | | | 679,057 | |
| | | | | | | | | | |
NET ASSETS — 100.0% | | | | | | | | $ | 327,320,852 | |
| | | | | | | | | | |
| | | | |
PORTFOLIO SUMMARY (based on net assets) | |
| | | % | |
Bond Funds | | | 72.7 | |
Domestic Equity Funds | | | 18.9 | |
International Equity Fund | | | 6.4 | |
Money Market Fund | | | 1.8 | |
Futures Contracts | | | 1.6 | |
| | | | |
| | | 101.4 | |
| | | | |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2012, 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 | | | $ | 326,641,795 | | | | $ | 326,641,795 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Total Assets - Investments in Securities | | | $ | 326,641,795 | | | | $ | 326,641,795 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | $ | 11,733 | | | | $ | 11,733 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Total Assets - Other Financial Instruments | | | $ | 11,733 | | | | $ | 11,733 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
***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.
| | | | |
| 40 | | See Notes to Financial Statements. | | |
Balanced Allocation Fund
The Fund, through investments in the underlying Select Funds, combined approximately equal percentages to equity securities and fixed income securities. The Fund had a target of, but was not limited to, an asset allocation of 50.00% Fixed Income Select Funds, 36.00% U.S. Equity Select Funds and 14.00% Non-U.S. Equity Select Fund.
As a fund of funds, its performance is based on the performance of the underlying Select Funds. The Fund generated a return of 11.79% for the one-year period ending December 31, 2012, benefiting from positive absolute performance of the underlying Fixed Income Select Funds and Equity Select Funds. The Fund’s absolute return was most positively influenced by its exposure to the International Equity Fund. The Value Equity Fund and Growth Equity Fund also provided material benefits over the period.
U.S. equity exposure continued to contribute positively to the performance of the Fund. The year began with a very impressive start with the S&P 500® Index’s surging over 12.00% during the first quarter. As the year progressed, equities withstood a series of political and macroeconomic concerns to finish 2012 with a gain of 16.00%. Performance dispersion between U.S. equity and non-U.S. equity markets was not largely significant. Within U.S. equity markets, however, value-oriented equities provided a marginal benefit over growth-oriented equities for the year as measured by the Russell 1000® Value Index and Russell 1000® Growth Index. Both segments provided a material benefit to absolute performance.
Serving as a driving force for the market rally was continued support by the Federal Reserve to keep interest rates low and to encourage economic demand. Following this progression, U.S. consumer confidence and housing improved, China’s economy bounced back and accommodating monetary policies were announced in Europe. Consequently, the riskier segments within stocks and bonds benefited the most from this overall market optimism.
In addition to the Federal Reserve’s low interest rate policy, the bond market also benefited from an environment of low inflationary pressures and sluggish economic growth. All major bond market sectors posted positive returns for the year, led by emerging markets debt which generated an annual return of 18.04%. As a further indication of risk sentiment, broad market performance, measured by the Barclays Capital U.S. Aggregate Bond Index, gained 4.22% for the year, while the riskier Barclays Capital U.S. Corporate High Yield - 2% Issuer Capped Index posted a gain of 15.77% for 2012.
The Fund outperformed its composite benchmark in 2012 (11.79% versus 10.47%), as the Fixed Income Select Funds contributed positively. Notably, the primary source of outperformance came from the Medium–Duration Bond Fund allocation. The remaining Fixed Income Select Funds also had a positive impact over the period. Within the U.S. Equity Select Funds, both the Value Equity Fund and Small Cap Equity Fund were relatively flat to negative versus their benchmarks.
The Fund attempted to achieve its objective by investing in the Select Funds. By investing in the Fund you will also incur the expenses and risks of the underlying Select Funds. The principal risks of the Fund will change depending on the asset mix of the Select Funds in which it invests. You may directly invest in the Select Funds. The Fund’s value will go up and down in response to changes in the share prices of the investments that it owns. It is possible to lose money by investing in the Fund. This Fund may be suitable for investors who have a medium-to long-term investment horizon, possess a moderate tolerance for risk, and seek to participate in the return potential of stocks but want to achieve this result more slowly and with less volatility through a balanced allocation of fixed-income and equity investments.
Please see page 43 for information regarding specific portfolio allocations. Portfolio holdings are subject to change and risk at any time.
41
Balanced Allocation Fund
| | | | |
| Average Annual Total Returns as of 12/31/12 |
| | | GS4 Class* | | Benchmark** |
One Year | | 11.79% | | 10.47% |
Five Year | | 3.61% | | 3.84% |
Ten Year | | 6.82% | | 7.05% |
Inception Date | | 08/27/01 | | |
Total Fund Operating Expenses (April 28, 2012 Prospectus, as amended on November 30, 2012)(1) | | 0.98% | | |
(1)The Fund’s shareholders indirectly bear the expenses of the GS4 Class shares of the Select Funds in which the Fund invests. Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph compares the results of a hypothetical $10,000 investment in the GS4 Class of the Fund for the 10 year period from December 31, 2002 to December 31, 2012, with all dividends and capital gains reinvested, with the Fund’s weighted composite benchmark index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
****Represents a composite index consisting of the Barclays Capital U.S. Aggregate Bond Index, the Russell 3000® Index and the MSCI ACWI (All Country World Index) Ex-U.S. Index, weighted 50%, 36% and 14%, respectively.
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 fixed-rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities.
The Russell 3000® Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market.
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 (excluding U.S.) and emerging markets.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
42
| | |
BALANCED ALLOCATION FUND SCHEDULE OF INVESTMENTS | | December 31, 2012 |
| | | | | | | | | | |
| | | Shares | | | Value | |
MUTUAL FUNDS — 99.9% | | | | | | | |
GuideStone Money Market
Fund (GS4 Class)¥ | | | 25,212,869 | | | | | $ | 25,212,869 | |
GuideStone Low-Duration
Bond Fund (GS4 Class)¥ | | | 12,710,606 | | | | | | 171,847,392 | |
GuideStone Medium-Duration
Bond Fund (GS4 Class)¥ | | | 16,896,970 | | | | | | 248,047,517 | |
GuideStone Extended-Duration
Bond Fund (GS4 Class)¥ | | | 5,409,882 | | | | | | 100,515,605 | |
GuideStone Global Bond Fund
(GS4 Class)¥ | | | 5,672,938 | | | | | | 58,885,101 | |
GuideStone Defensive Market
Strategies Fund
(GS4 Class)¥ | | | 10,936,846 | | | | | | 115,930,568 | |
GuideStone Value Equity Fund
(GS4 Class)¥ | | | 8,738,599 | | | | | | 141,390,538 | |
GuideStone Growth Equity
Fund (GS4 Class)¥ | | | 6,887,146 | | | | | | 139,533,578 | |
GuideStone Small Cap Equity
Fund (GS4 Class)¥ | | | 2,051,179 | | | | | | 32,695,791 | |
GuideStone International
Equity Fund (GS4 Class)¥ | | | 12,978,515 | | | | | | 169,629,188 | |
| | | | | | | | | | |
Total Mutual Funds
(Cost $1,092,793,984) | | | | | | | | | 1,203,688,147 | |
| | | | | | | | | | |
TOTAL INVESTMENTS — 99.9%
(Cost $1,092,793,984) | | | | | | 1,203,688,147 | |
Other Assets in Excess of
Liabilities — 0.1% | | | | | | | | | 1,180,482 | |
| | | | | | | | | | |
NET ASSETS — 100.0% | | | | | $ | 1,204,868,629 | |
| | | | | | | | | | |
| | | | |
| PORTFOLIO SUMMARY (based on net assets) | |
| | | % | |
Bond Funds | | | 48.1 | |
Domestic Equity Funds | | | 35.6 | |
International Equity Fund | | | 14.1 | |
Money Market Fund | | | 2.1 | |
Futures Contracts | | | 1.9 | |
| | | | |
| | | 101.8 | |
| | | | |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2012, 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 | | | $ | 1,203,688,147 | | | | $ | 1,203,688,147 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | | $ | 1,203,688,147 | | | | $ | 1,203,688,147 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | $ | 70,305 | | | | $ | 70,305 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | | $ | 70,305 | | | | $ | 70,305 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
***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. | | 43 |
Growth Allocation Fund
The Fund, through investments in the underlying Select Funds, combined a greater percentage of exposure to equity securities with a smaller percentage to fixed income securities. The Fund had a target of, but was not limited to, an asset allocation of 25.00% Fixed Income Select Funds, 48.75% U.S. Equity Select Funds and 26.25% Non-U.S. Equity Select Fund.
As a fund of funds, its performance is based on the performance of the underlying Select Funds. The Fund generated a return of 14.84% for the one-year period ended December 31, 2012, benefiting from positive absolute performance of the underlying Fixed Income Select Funds and Equity Select Funds. The Fund’s absolute return was most positively influenced by its exposure to the International Equity Fund. The Value Equity Fund and Growth Equity Fund also provided material benefit over the period.
U.S. equity exposure continued to contribute positively to the performance of the Fund. The year began with a very impressive start with the S&P 500® Index’s surging over 12.00% during the first quarter. As the year progressed, equities withstood a series of political and macroeconomic concerns to finish 2012 with a gain of 16.00%. Performance dispersion between U.S. equity and non-U.S. equity markets was not largely significant. Within U.S. equity markets, however, value-oriented equities provided a marginal benefit over growth-oriented equities for the year as measured by the Russell 1000® Value Index and Russell 1000® Growth Index. Both segments provided a material benefit to absolute performance.
Serving as a driving force for the market rally was continued support by the Federal Reserve to keep interest rates low and to encourage economic demand. Following this progression, U.S. consumer confidence and housing improved, China’s economy bounced back and accommodating monetary policies were announced in Europe. Consequently, the riskier segments within stocks and bonds benefited the most from this overall market optimism.
In addition to the Federal Reserve’s low interest rate policy, the bond market also benefited from an environment of low inflationary pressures and sluggish economic growth. All major bond market sectors posted positive returns for the year, led by emerging markets debt which generated an annual return of 18.04%. As a further indication of risk sentiment, broad market performance, measured by the Barclays Capital U.S. Aggregate Bond Index, gained 4.22% for the year, while the riskier Barclays Capital U.S. Corporate High Yield – 2% Issuer Capped Index posted a gain of 15.77% for 2012.
The Fund outperformed its composite benchmark in 2012 (14.84% versus 13.60%). The largest detractor to the Fund’s relative performance was exposure to the Value Equity Fund, which trailed its respective benchmark due to security selection. The Fund’s relative performance was positively impacted by exposure to the Growth Equity Fund.
The Fund attempted to achieve its objective by investing in the Select Funds. By investing in the Fund you will also incur the expenses and risks of the underlying Select Funds. The principal risks of the Fund will change depending on the asset mix of the Select Funds in which it invests. You may directly invest in the Select Funds. The Fund’s value will go up and down in response to changes in the share prices of the investments that it owns. It is possible to lose money by investing in the Fund. This Fund may be suitable for investors who have a long-term investment horizon, possess a relatively high tolerance for risk and seek to participate in the return potential of stocks at a slightly lower risk level than an all stock portfolio. Foreign securities may be subject to greater risk than domestic securities due to currency volatility, reduced market liquidity and political and economic instability. Small company stocks are subject to greater risk than large company stocks due to more volatility and less liquidity. This Fund is subject to interest rate risk. Meaning, when interest rates rise, the value of the existing bonds decrease and vice versa. Changes in interest rates have a bigger impact on long duration holdings than on short duration holdings.
Please see page 46 for information regarding specific portfolio allocations. Portfolio holdings are subject to change and risk at any time.
44
Growth Allocation Fund
| | | | |
| Average Annual Total Returns as of 12/31/12 |
| | | GS4 Class* | | Benchmark** |
One Year | | 14.84% | | 13.60% |
Five Year | | 1.78% | | 2.27% |
Ten Year | | 7.09% | | 7.63% |
Inception Date | | 08/27/01 | | |
Total Fund Operating Expenses (April 28, 2012 Prospectus, as amended on November 30, 2012)(1) | | 1.07% | | |
(1)The Fund’s shareholders indirectly bear the expenses of the GS4 Class shares of the Select Funds in which the Fund invests. Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph compares the results of a hypothetical $10,000 investment in the GS4 Class of the Fund for the 10 year period from December 31, 2002 to December 31, 2012, with all dividends and capital gains reinvested, with the Fund’s weighted composite benchmark index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
**Represents a composite index consisting of the Barclays Capital U.S. Aggregate Bond Index, the Russell 3000® Index, and the MSCI ACWI (All Country World Index) Ex-U.S. Index, weighted 25.00%, 48.75% and 26.25%, respectively.
The Barclays U.S. Capital Aggregate Bond Index represents securities that are SEC-registered, taxable and dollar denominated. The index covers the U.S. investment grade fixed-rate bond market, with index components for government and corporate securities, mortgage pass-through securities and asset-backed securities.
The Russell 3000® Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market.
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 (excluding U.S.) and emerging markets.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
45
| | |
GROWTH ALLOCATION FUND SCHEDULE OF INVESTMENTS | | December 31, 2012 |
| | | | | | | | | | |
| | | Shares | | | Value | |
MUTUAL FUNDS — 100.0% | | | | | | | | | | |
GuideStone Money Market
Fund (GS4 Class)¥ | | | 18,606,768 | | | | | $ | 18,606,768 | |
GuideStone Low-Duration
Bond Fund (GS4 Class)¥ | | | 4,382,386 | | | | | | 59,249,861 | |
GuideStone Medium-Duration
Bond Fund (GS4 Class)¥ | | | 5,875,803 | | | | | | 86,256,786 | |
GuideStone Extended-Duration
Bond Fund (GS4 Class)¥ | | | 1,887,189 | | | | | | 35,063,972 | |
GuideStone Global Bond Fund
(GS4 Class)¥ | | | 1,992,184 | | | | | | 20,678,872 | |
GuideStone Value Equity Fund
(GS4 Class)¥ | | | 11,384,460 | | | | | | 184,200,559 | |
GuideStone Growth Equity
Fund (GS4 Class)¥ | | | 8,970,502 | | | | | | 181,742,369 | |
GuideStone Small Cap Equity
Fund (GS4 Class)¥ | | | 2,652,586 | | | | | | 42,282,215 | |
GuideStone International
Equity Fund (GS4 Class)¥ | | | 17,211,924 | | | | | | 224,959,845 | |
| | | | | | | | | | |
Total Mutual Funds
(Cost $784,996,671) | | | | | | | | | 853,041,247 | |
| | | | | | | | | | |
TOTAL INVESTMENTS — 100.0%
(Cost $784,996,671) | | | | | | 853,041,247 | |
Other Assets in Excess of
Liabilities — 0.0% | | | | | | | | | 191,411 | |
| | | | | | | | | | |
NET ASSETS — 100.0% | | | | | | | | $ | 853,232,658 | |
| | | | | | | | | | |
| | | | |
| PORTFOLIO SUMMARY (based on net assets) | |
| | | % | |
Domestic Equity Funds | | | 47.8 | |
International Equity Fund | | | 26.4 | |
Bond Funds | | | 23.6 | |
Money Market Fund | | | 2.2 | |
Futures Contracts | | | 2.2 | |
| | | | |
| | | 102.2 | |
| | | | |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2012, 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 | | | $ | 853,041,247 | | | | $ | 853,041,247 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | | $ | 853,041,247 | | | | $ | 853,041,247 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | $ | 102,530 | | | | $ | 102,530 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | | $ | 102,530 | | | | $ | 102,530 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
***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.
| | | | |
| 46 | | See Notes to Financial Statements. | | |
Aggressive Allocation Fund
The Fund, through investments in the underlying Select Funds, combined a greater percentage of exposure to U.S. equity securities with a smaller percentage to non-U.S. equity securities. The Fund had a target of, but was not limited to, an asset allocation of 60.00% U.S. Equity Select Funds and 40.00% Non-U.S. Select Fund.
As a fund of funds, its performance was based on the performance of the underlying Select Funds. The Fund generated a return of 17.19% for the one-year period ended December 31, 2012, as absolute performance was largely attributable to exposure to the International Equity Fund.
U.S. equity exposure continued to contribute positively to the performance of the Fund. The year began with a very impressive start with the S&P 500® Index’s surging over 12.00% during the first quarter. As the year progressed, equities withstood a series of political and macroeconomic concerns to finish 2012 with a gain of 16.00%. Performance dispersion between U.S. equity and Non-U.S. equity markets was not largely significant. Within U.S. equity markets, however, value-oriented equities provided a marginal benefit over growth-oriented equities for the year as measured by the Russell 1000® Value Index and Russell 1000® Growth Index. Both segments provided a material benefit to absolute performance.
Serving as a driving force for the market rally was continued support by the Federal Reserve to keep interest rates low and to encourage economic demand. Following this progression, U.S. consumer confidence and housing improved, China’s economy bounced back and accommodating monetary policies were announced in Europe. Consequently, the riskier segments within stocks and bonds benefited the most from this overall market optimism.
In addition to the Federal Reserve’s low interest rate policy, the bond market also benefited from an environment of low inflationary pressures and sluggish economic growth. All major bond market sectors posted positive returns for the year, led by emerging markets debt which generated an annual return of 18.04%. As a further indication of risk sentiment, broad market performance, measured by the Barclays Capital U.S. Aggregate Bond Index, gained 4.22% for the year, while the riskier Barclays Capital U.S. Corporate High Yield - 2% Issuer Capped Index posted a gain of 15.77% for 2012.
The Fund outperformed its composite benchmark in 2012 (17.19% versus 16.75%). The Growth Equity Fund served as the key driver in the Fund’s relative outperformance for the year. The relative contribution of the remaining Fund allocations was flat to negative over the year.
The Fund attempted to achieve its objective by investing in the Select Funds. By investing in the Fund you will also incur the expenses and risks of the underlying Select Funds. The principal risks of the Fund will change depending on the asset mix of the Select Funds in which it invests. You may directly invest in the Select Funds. The Fund’s value will go up and down in response to changes in the share prices of the investments that it owns. It is possible to lose money by investing in the Fund. This Fund may be suitable for investors who have a long-term investment horizon, possess a relatively high tolerance for risk and want to diversify by adding an aggressive investment option that combines U.S. and international stocks. Foreign securities may be subject to greater risk than domestic securities due to currency volatility, reduced market liquidity and political and economic instability. Small company stocks are subject to greater risk than large company stocks due to more volatility and less liquidity.
Please see page 49 for information regarding specific portfolio allocations. Portfolio holdings are subject to change and risk at any time.
47
Aggressive Allocation Fund
| | | | |
| Average Annual Total Returns as of 12/31/12 |
| | | GS4 Class* | | Benchmark** |
One Year | | 17.19% | | 16.75% |
Five Year | | -0.26% | | 0.54% |
Ten Year | | 7.20% | | 8.08% |
Inception Date | | 08/27/01 | | |
Total Fund Operating Expenses (April 28, 2012 Prospectus, as amended on November 30, 2012)(1) | | 1.17% | | |
(1)The Fund’s shareholders indirectly bear the expenses of the GS4 Class shares of the Select Funds in which the Fund invests. Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph compares the results of a hypothetical $10,000 investment in the GS4 Class of the Fund for the 10 year period from December 31, 2002 to December 31, 2012, with all dividends and capital gains reinvested, with the Fund’s weighted composite benchmark index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
**Represents a composite index consisting of the Russell 3000® Index and the MSCI ACWI (All Country World Index) Ex-U.S. Index, weighted 60.00% and 40.00%, respectively.
The Russell 3000® Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market.
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 (excluding U.S.) and emerging markets.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
48
| | |
AGGRESSIVE ALLOCATION FUND SCHEDULE OF INVESTMENTS | | December 31, 2012 |
| | | | | | | | |
| | | Shares | | Value | |
MUTUAL FUNDS — 99.9% | | | | | | |
GuideStone Money Market
Fund (GS4 Class)¥ | | 14,287,922 | | | | | $14,287,922 | |
GuideStone Value Equity Fund
(GS4 Class)¥ | | 11,795,205 | | | | | 190,846,412 | |
GuideStone Growth Equity
Fund (GS4 Class)¥ | | 9,370,333 | | | | | 189,842,940 | |
GuideStone Small Cap Equity
Fund (GS4 Class)¥ | | 2,686,598 | | | | | 42,824,378 | |
GuideStone International
Equity Fund (GS4 Class)¥ | | 22,061,649 | | | | | 288,345,749 | |
| | | | | | | | |
Total Mutual Funds
(Cost $692,341,709) | | | | | 726,147,401 | |
| | | | | | | | |
TOTAL INVESTMENTS — 99.9%
(Cost $692,341,709) | | | | | 726,147,401 | |
Other Assets in Excess of
Liabilities — 0.1% | | | | | | | 517,907 | |
| | | | | | | | |
NET ASSETS — 100.0% | | | | $ | 726,665,308 | |
| | | | | | | | |
PORTFOLIO SUMMARY (based on net assets)
| | | | |
| | | % | |
Domestic Equity Funds | | | 58.3 | |
International Equity Fund | | | 39.7 | |
Futures Contracts | | | 2.1 | |
Money Market | | | 1.9 | |
| | | | |
| | | 102.0 | |
| | | | |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2012, 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 | | | $ | 726,147,401 | | | | $ | 726,147,401 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | | $ | 726,147,401 | | | | $ | 726,147,401 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | $ | 102,325 | | | | $ | 102,325 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | | $ | 102,325 | | | | $ | 102,325 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
***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. | | 49 |
| | |
| STATEMENTS OF ASSETS AND LIABILITIES | | December 31, 2012 |
| | | | | | | | | | | | | | | | |
| | | Conservative
Allocation Fund | | | Balanced
Allocation Fund | | | Growth
Allocation Fund | | | Aggressive
Allocation Fund | |
Assets | | | | | | | | | | | | | | | | |
Investments in securities of affiliated issuers, at value (1) | | $ | 326,641,795 | | | $ | 1,203,688,147 | | | $ | 853,041,247 | | | $ | 726,147,401 | |
Cash collateral for derivatives | | | 82,200 | | | | 819,600 | | | | 790,400 | | | | 865,200 | |
Receivables: | | | | | | | | | | | | | | | | |
Dividends from affiliated funds | | | 42 | | | | 217 | | | | 161 | | | | 124 | |
Investment securities sold | | | — | | | | — | | | | 1,294 | | | | 7,329 | |
Fund shares sold | | | 652,052 | | | | 398,095 | | | | 38,975 | | | | 25,292 | |
Variation margin on financial futures contracts | | | 28,030 | | | | 262,957 | | | | 302,878 | | | | 309,630 | |
Prepaid expenses and other assets | | | 8,896 | | | | 9,611 | | | | 8,150 | | | | 7,297 | |
| | | | | | | | | | | | | | | | |
Total Assets | | | 327,413,015 | | | | 1,205,178,627 | | | | 854,183,105 | | | | 727,362,273 | |
| | | | | | | | | | | | | | | | |
Liabilities | | | | | | | | | | | | | | | | |
Payables: | | | | | | | | | | | | | | | | |
Fund shares redeemed | | | 24,000 | | | | 127,602 | | | | 817,247 | | | | 583,416 | |
Accrued expenses: | | | | | | | | | | | | | | | | |
Investment advisory fees | | | 27,448 | | | | 113,287 | | | | 78,478 | | | | 67,593 | |
Other expenses | | | 40,715 | | | | 69,109 | | | | 54,722 | | | | 45,956 | |
| | | | | | | | | | | | | | | | |
Total Liabilities | | | 92,163 | | | | 309,998 | | | | 950,447 | | | | 696,965 | |
| | | | | | | | | | | | | | | | |
Net Assets | | $ | 327,320,852 | | | $ | 1,204,868,629 | | | $ | 853,232,658 | | | $ | 726,665,308 | |
| | | | | | | | | | | | | | | | |
Net Assets Consist of: | | | | | | | | | | | | | | | | |
Paid-in-capital | | $ | 298,979,331 | | | $ | 1,086,141,820 | | | $ | 770,545,026 | | | $ | 672,462,469 | |
Undistributed net investment income | | | 1,189 | | | | 1,695 | | | | 7,260 | | | | — | |
Undistributed (accumulated) net realized gain (loss) on investments and futures transactions | | | (711,610 | ) | | | 7,760,646 | | | | 14,533,266 | | | | 20,294,822 | |
Net unrealized appreciation (depreciation) on investments and futures | | | 29,051,942 | | | | 110,964,468 | | | | 68,147,106 | | | | 33,908,017 | |
| | | | | | | | | | | | | | | | |
Net Assets | | $ | 327,320,852 | | | $ | 1,204,868,629 | | | $ | 853,232,658 | | | $ | 726,665,308 | |
| | | | | | | | | | | | | | | | |
Net Asset Value: | | | | | | | | | | | | | | | | |
$0.001 par value, unlimited shares authorized | | | | | | | | | | | | | | | | |
Net assets applicable to the GS4 Class | | $ | 327,320,852 | | | $ | 1,204,868,629 | | | $ | 853,232,658 | | | $ | 726,665,308 | |
| | | | | | | | | | | | | | | | |
GS4 shares outstanding | | | 26,675,586 | | | | 94,635,423 | | | | 65,418,211 | | | | 58,331,956 | |
| | | | | | | | | | | | | | | | |
Net asset value, offering and redemption price per GS4 share | | $ | 12.27 | | | $ | 12.73 | | | $ | 13.04 | | | $ | 12.46 | |
| | | | | | | | | | | | | | | | |
| | | | |
(1) Investments in securities of affiliated issuers, at cost | | $ | 297,601,586 | | | $ | 1,092,793,984 | | | $ | 784,996,671 | | | $ | 692,341,709 | |
| | | | | | | | | | | | | | | | |
| | | | |
| 50 | | See Notes to Financial Statements. | | |
| | |
STATEMENTS OF OPERATIONS | | For the Year Ended December 31, 2012 |
| | | | | | | | | | | | | | | | |
| | | Conservative
Allocation Fund | | | Balanced
Allocation Fund | | | Growth
Allocation Fund | | | Aggressive
Allocation Fund | |
Investment Income | | | | | | | | | | | | | | | | |
Income dividends received from affiliated funds | | $ | 4,349,840 | | | $ | 19,311,907 | | | $ | 10,755,500 | | | $ | 7,403,813 | |
Interest | | | — | | | | 446 | | | | 345 | | | | 311 | |
| | | | | | | | | | | | | | | | |
Total Investment Income | | | 4,349,840 | | | | 19,312,353 | | | | 10,755,845 | | | | 7,404,124 | |
| | | | | | | | | | | | | | | | |
Expenses | | | | | | | | | | | | | | | | |
Investment advisory fees | | | 312,747 | | | | 1,193,236 | | | | 851,536 | | | | 732,543 | |
Transfer agent fees: | | | | | | | | | | | | | | | | |
GS4 shares | | | 34,127 | | | | 62,786 | | | | 42,453 | | | | 37,964 | |
Custodian fees | | | 15,198 | | | | 30,654 | | | | 27,580 | | | | 20,816 | |
Accounting and administration fees | | | 20,966 | | | | 65,603 | | | | 48,333 | | | | 41,964 | |
Professional fees | | | 41,303 | | | | 41,303 | | | | 41,303 | | | | 41,309 | |
Blue sky fees: | | | | | | | | | | | | | | | | |
GS4 shares | | | 16,157 | | | | 17,503 | | | | 17,199 | | | | 16,938 | |
Shareholder reporting fees: | | | | | | | | | | | | | | | | |
GS4 shares | | | 30,223 | | | | 64,292 | | | | 43,407 | | | | 36,919 | |
Trustee expenses | | | 4,448 | | | | 13,543 | | | | 10,043 | | | | 8,826 | |
Line of credit facility fees | | | 3,424 | | | | 12,998 | | | | 9,320 | | | | 8,055 | |
Other expenses | | | 8,940 | | | | 10,240 | | | | 10,250 | | | | 9,740 | |
| | | | | | | | | | | | | | | | |
Total Expenses | | | 487,533 | | | | 1,512,158 | | | | 1,101,424 | | | | 955,074 | |
Expenses waived/reimbursed(1) | | | (119,266 | ) | | | (117,270 | ) | | | (104,633 | ) | | | (97,258 | ) |
| | | | | | | | | | | | | | | | |
Net Expenses | | | 368,267 | | | | 1,394,888 | | | | 996,791 | | | | 857,816 | |
| | | | | | | | | | | | | | | | |
Net investment income | | | 3,981,573 | | | | 17,917,465 | | | | 9,759,054 | | | | 6,546,308 | |
| | | | | | | | | | | | | | | | |
Realized and Unrealized Gain (Loss) | | | | | | | | | | | | | | | | |
Capital gain distributions received from affiliated funds | | | 3,922,603 | | | | 20,739,188 | | | | 16,957,373 | | | | 15,495,043 | |
Net realized gain on investment securities of affiliated issuers | | | 274,209 | | | | 10,622,832 | | | | 4,753,371 | | | | 11,961,768 | |
Net realized gain on futures transactions | | | 191,591 | | | | 2,557,985 | | | | 2,577,050 | | | | 2,731,782 | |
| | | | | | | | | | | | | | | | |
Net realized gain | | | 4,388,403 | | | | 33,920,005 | | | | 24,287,794 | | | | 30,188,593 | |
| | | | | | | | | | | | | | | | |
Change in unrealized appreciation on investment securities of affiliated issuers | | | 12,269,464 | | | | 76,676,655 | | | | 79,971,604 | | | | 75,882,916 | |
Change in unrealized appreciation (depreciation) on futures | | | 248 | | | | (138,861 | ) | | | (175,018 | ) | | | (286,794 | ) |
| | | | | | | | | | | | | | | | |
Net change in unrealized appreciation | | | 12,269,712 | | | | 76,537,794 | | | | 79,796,586 | | | | 75,596,122 | |
| | | | | | | | | | | | | | | | |
Net Realized and Unrealized Gain | | | 16,658,115 | | | | 110,457,799 | | | | 104,084,380 | | | | 105,784,715 | |
| | | | | | | | | | | | | | | | |
Net Increase in Net Assets Resulting from Operations | | $ | 20,639,688 | | | $ | 128,375,264 | | | $ | 113,843,434 | | | $ | 112,331,023 | |
| | | | | | | | | | | | | | | | |
| (1) | See Note 3a and 3c in Notes to Financial Statements. |
| | | | |
| | See Notes to Financial Statements. | | 51 |
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | | | | | | | | | |
| | | Conservative Allocation Fund | | | Balanced Allocation Fund | |
| | | For the Year Ended | | | For the Year Ended | |
| | | 12/31/12 | | | 12/31/11 | | | 12/31/12 | | | 12/31/11 | |
Operations: | | | | | | | | | | | | | | | | |
Net investment income | | $ | 3,981,573 | | | $ | 4,065,834 | | | $ | 17,917,465 | | | $ | 18,557,083 | |
Net realized gain on investment securities and futures transactions | | | 4,388,403 | | | | 102,554 | | | | 33,920,005 | | | | 19,720,584 | |
Net change in unrealized appreciation (depreciation) on investment securities and futures | | | 12,269,712 | | | | 236,103 | | | | 76,537,794 | | | | (26,824,077 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets resulting from operations | | | 20,639,688 | | | | 4,404,491 | | | | 128,375,264 | | | | 11,453,590 | |
| | | | | | | | | | | | | | | | |
Dividends and Distributions to Shareholders: | | | | | | | | | | | | | | | | |
Dividends from net investment income(1) | | | (5,748,208 | ) | | | (4,792,770 | ) | | | (25,053,190 | ) | | | (23,283,553 | ) |
Distributions from net realized capital gains | | | (780,975 | ) | | | (4,309,760 | ) | | | (14,173,968 | ) | | | (19,005,488 | ) |
| | | | | | | | | | | | | | | | |
Total dividends and distributions | | | (6,529,183 | ) | | | (9,102,530 | ) | | | (39,227,158 | ) | | | (42,289,041 | ) |
| | | | | | | | | | | | | | | | |
Capital Share Transactions: | | | | | | | | | | | | | | | | |
Proceeds from GS4 shares sold | | | 45,857,397 | | | | 57,204,012 | | | | 60,529,162 | | | | 60,590,265 | |
Reinvestment of dividends and distributions into GS4 shares | | | 6,526,106 | | | | 9,098,316 | | | | 39,204,104 | | | | 42,263,421 | |
Value of GS4 shares redeemed | | | (32,409,160 | ) | | | (30,360,939 | ) | | | (81,287,742 | ) | | | (95,724,099 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) from capital share transactions(2) | | | 19,974,343 | | | | 35,941,389 | | | | 18,445,524 | | | | 7,129,587 | |
| | | | | | | | | | | | | | | | |
Total increase (decrease) in net assets | | | 34,084,848 | | | | 31,243,350 | | | | 107,593,630 | | | | (23,705,864 | ) |
| | | | | | | | | | | | | | | | |
Net Assets: | | | | | | | | | | | | | | | | |
Beginning of Year | | | 293,236,004 | | | | 261,992,654 | | | | 1,097,274,999 | | | | 1,120,980,863 | |
| | | | | | | | | | | | | | | | |
End of Year* | | $ | 327,320,852 | | | $ | 293,236,004 | | | $ | 1,204,868,629 | | | $ | 1,097,274,999 | |
| | | | | | | | | | | | | | | | |
*Including undistributed net investment income | | $ | 1,189 | | | $ | — | | | $ | 1,695 | | | $ | 3,269 | |
| | | | | | | | | | | | | | | | |
| (1) | Includes dividends paid from the short-term portion of capital gain distributions received from affiliated funds. |
| (2) | See Note 6 in Notes to Financial Statements. |
| | | | |
| 52 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | |
| Growth Allocation Fund | | | Aggressive Allocation Fund | |
| For the Year Ended | | | For the Year Ended | |
| 12/31/12 | | | 12/31/11 | | | 12/31/12 | | | 12/31/11 | |
| | | | | | | | | | | | | | |
| $ | 9,759,054 | | | $ | 10,429,322 | | | $ | 6,546,308 | | | $ | 6,066,977 | |
| | | |
| | 24,287,794 | | | | 10,125,554 | | | | 30,188,593 | | | | 7,554,619 | |
| | | |
| | 79,796,586 | | | | (39,424,655 | ) | | | 75,596,122 | | | | (49,171,255 | ) |
| | | | | | | | | | | | | | |
| | 113,843,434 | | | | (18,869,779 | ) | | | 112,331,023 | | | | (35,549,659 | ) |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | (11,303,246 | ) | | | (11,523,090 | ) | | | (6,549,181 | ) | | | (6,067,329 | ) |
| | (6,704,077 | ) | | | (13,505,147 | ) | | | (10,630,919 | ) | | | (11,387,493 | ) |
| | | | | | | | | | | | | | |
| | (18,007,323 | ) | | | (25,028,237 | ) | | | (17,180,100 | ) | | | (17,454,822 | ) |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | 31,477,784 | | | | 33,158,753 | | | | 76,004,191 | | | | 31,839,557 | |
| | 18,005,817 | | | | 25,025,796 | | | | 17,178,628 | | | | 17,454,013 | |
| | (75,431,090 | ) | | | (72,868,581 | ) | | | (136,458,221 | ) | | | (66,992,296 | ) |
| | | | | | | | | | | | | | |
| | (25,947,489 | ) | | | (14,684,032 | ) | | | (43,275,402 | ) | | | (17,698,726 | ) |
| | | | | | | | | | | | | | |
| | 69,888,622 | | | | (58,582,048 | ) | | | 51,875,521 | | | | (70,703,207 | ) |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | 783,344,036 | | | | 841,926,084 | | | | 674,789,787 | | | | 745,492,994 | |
| | | | | | | | | | | | | | |
| $ | 853,232,658 | | | $ | 783,344,036 | | | $ | 726,665,308 | | | $ | 674,789,787 | |
| | | | | | | | | | | | | | |
| $ | 7,260 | | | $ | — | | | $ | — | | | $ | 1,962 | |
| | | | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 53 |
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 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
Distribut- ions
Received
from
Affiliated
Funds | | | Realized
and
Unrealized
Gain
(Loss) on
Investments | | | Dividends
from Net
Investment
Income (2) | | | Distribu- tions
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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 2012 | | $ | 11.70 | | | $ | 0.16 | # | | $ | 0.16 | | | $ | 0.50 | | | $ | (0.22 | ) | | $ | (0.03 | ) | | $ | 12.27 | | | | 7.02 | % | | $ | 327,321 | | | | 0.12 | % | | | 0.16 | % | | | 1.29 | % | | | 3 | % |
| 2011 | | | 11.87 | | | | 0.18 | # | | | 0.05 | | | | (0.03 | ) | | | (0.19 | ) | | | (0.18 | ) | | | 11.70 | | | | 1.71 | | | | 293,236 | | | | 0.12 | | | | 0.17 | | | | 1.47 | | | | 9 | |
| 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 | |
Balanced Allocation Fund | |
| | | | | | | | | | | | |
GS4 Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 2012 | | $ | 11.77 | | | $ | 0.19 | # | | $ | 0.22 | | | $ | 0.97 | | | $ | (0.27 | ) | | $ | (0.15 | ) | | $ | 12.73 | | | | 11.79 | % | | $ | 1,204,869 | | | | 0.12 | % | | | 0.13 | % | | | 1.54 | % | | | 3 | % |
| 2011 | | | 12.12 | | | | 0.20 | # | | | 0.06 | | | | (0.14 | ) | | | (0.26 | ) | | | (0.21 | ) | | | 11.77 | | | | 1.01 | | | | 1,097,275 | | | | 0.12 | | | | 0.13 | | | | 1.65 | | | | 16 | |
| 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 | |
Growth Allocation Fund | |
| | | | | | | | | | | | |
GS4 Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 2012 | | $ | 11.60 | | | $ | 0.15 | # | | $ | 0.26 | | | $ | 1.30 | | | $ | (0.17 | ) | | $ | (0.10 | ) | | $ | 13.04 | | | | 14.84 | % | | $ | 853,233 | | | | 0.12 | % | | | 0.13 | % | | | 1.17 | % | | | 2 | % |
| 2011 | | | 12.28 | | | | 0.16 | # | | | 0.03 | | | | (0.49 | ) | | | (0.17 | ) | | | (0.21 | ) | | | 11.60 | | | | (2.39 | ) | | | 783,344 | | | | 0.12 | | | | 0.14 | | | | 1.26 | | | | 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 | |
Aggressive Allocation Fund | |
| | | | | | | | | | | | |
GS4 Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 2012 | | $ | 10.89 | | | $ | 0.11 | # | | $ | 0.26 | | | $ | 1.50 | | | $ | (0.11 | ) | | $ | (0.19 | ) | | $ | 12.46 | | | | 17.19 | % | | $ | 726,665 | | | | 0.12 | % | | | 0.13 | % | | | 0.91 | % | | | 5 | % |
| 2011 | | | 11.79 | | | | 0.10 | # | | $ | — | † | | | (0.71 | ) | | | (0.10 | ) | | | (0.19 | ) | | | 10.89 | | | | (5.14 | ) | | | 674,790 | | | | 0.12 | | | | 0.14 | | | | 0.83 | | | | 9 | |
| 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 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| † | 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 (higher) than the ratio shown. |
| | | | |
| 54 | | See Notes to Financial Statements. | | |
Conservative Allocation Fund I
The Fund, through investments in the underlying Select Funds, combines a greater percentage of exposure to fixed income securities with a smaller percentage to equity securities. The Fund had a target of, but was not limited to, an asset allocation of 60.00% Fixed Income Select Funds, 18.88% U.S. Equity Select Funds, 6.12% Non-U.S. Equity Select Fund and 15.00% Real Return Select Fund.
As a fund of funds, its performance was based on the performance of the underlying Select Funds. The Fund generated a return of 7.07% for the one-year period ended December 31, 2012, benefiting from positive absolute performance of the underlying Fixed Income Select Funds, Equity Select Funds and Real Return Select Fund. The Fund’s absolute return was most positively influenced by its exposure to the Low-Duration Bond Fund, followed by exposure to the Value Equity Fund and International Equity Fund.
U.S. equity exposure continued to contribute positively to the performance of the Fund. The year began with a very impressive start with the S&P 500® Index’s surging over 12.00% during the first quarter. As the year progressed, equities withstood a series of political and macroeconomic concerns to finish 2012 with a gain of 16.00%. Performance dispersion between U.S. equity and non-U.S. equity markets was not largely significant. Within U.S. equity markets, however, value-oriented equities provided a marginal benefit over growth-oriented equities for the year as measured by the Russell 1000® Value Index and Russell 1000® Growth Index. Both segments provided a material benefit to absolute performance.
Serving as a driving force for the market rally was continued support by the Federal Reserve to keep interest rates low and to encourage economic demand. Following this progression, U.S. consumer confidence and housing improved, China’s economy bounced back and accommodating monetary policies were announced in Europe. Consequently, the riskier segments within stocks and bonds benefited the most from this overall market optimism.
In addition to the Federal Reserve’s low interest rate policy, the bond market also benefited from an environment of low inflationary pressures and sluggish economic growth. All major bond market sectors posted positive returns for the year, led by emerging market debt which generated an annual return of 18.04%. As a further indication of risk sentiment, broad market performance, measured by the Barclays Capital U.S. Aggregate Bond Index, gained 4.22% for the year, while the riskier Barclays Capital U.S. Corporate High Yield - 2% Issuer Capped Index posted a gain of 15.77% for 2012.
The Fund outperformed its composite benchmark in 2012 (7.07% versus 5.41%). While the Low-Duration Bond Fund was the largest contributor to the Fund’s absolute return, it also served as the leading driver in the Fund’s relative outperformance during the year. At a target weight of approximately 7%, the Defensive Market Strategies Fund was the primary detractor within the Equity Select Funds. The Inflation-Protected Bond Fund also marginally detracted from relative performance over the period.
The Fund attempted to achieve its objective by investing in the Select Funds. By investing in the Fund you will also incur the expenses and risks of the underlying Select Funds. The principal risks of the Fund will change depending on the asset mix of the Select Funds in which it invests. You may directly invest in the Select Funds. The Fund’s value will go up and down in response to changes in the share prices of the investments that it owns. It is possible to lose money by investing in the Fund. The Fund may be suitable for investors who have a short—to medium-time investment horizon, possess a relatively low tolerance for risk and want some exposure to the growth potential of the stock market tempered by a larger allocation to short-term, fixed-income securities. This Fund is subject to interest rate risk. Meaning, when interest rates rise, the value of the existing bonds decrease and vice versa. Changes in interest rates have a bigger impact on long duration holdings than on short duration holdings.
Please see page 57 for information regarding specific portfolio allocations. Portfolio holdings are subject to change and risk at any time.
55
Conservative Allocation Fund I
| | | | |
| Average Annual Total Returns as of 12/31/12 |
| | | GS2 Class* | | Benchmark** |
One Year | | 7.07% | | 5.41% |
Five Year | | 3.59% | | 3.19% |
Since Inception | | 4.56% | | 4.57% |
Inception Date | | 07/01/03 | | |
Total Fund Operating Expenses (April 28, 2012 Prospectus, as amended on November 30, 2012)(1) | | 0.77% | | |
(1)The Fund’s shareholders indirectly bear the expenses of the shares of the Select Funds in which the Fund invests. Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph compares the results of a hypothetical $10,000 investment in the GS2 Class of the Fund since July 1, 2003 (commencement of operations), with all dividends and capital gains reinvested, with the Fund’s weighted composite benchmark index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
**Represents a composite index consisting of the Bank of America Merrill Lynch 1-3 Year Treasury Index, the Barclays Capital U.S. TIPS Index, the Russell 3000® Index and the MSCI ACWI (All Country World Index) Ex-U.S. Index weighted 60.00%, 15.00%, 18.88%, and 6.12%, respectively.
The Bank of America Merrill Lynch 1-3 Year Treasury Index is composed of all U.S. Treasury notes and bonds with maturities greater than or equal to one year and less than three years.
The Barclays Capital U.S. TIPS Index measures the performance of the U.S. Treasury Inflation Protected Securities (“TIPS”) market and includes TIPS with one or more years remaining until maturity with total outstanding issue size of $500 million or more. The Russell 3000® Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market.
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 (excluding U.S.) and emerging markets.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
56
| | |
CONSERVATIVE ALLOCATION FUND I SCHEDULE OF INVESTMENTS | | December 31, 2012 |
| | | | | | | | | | |
| | | Shares | | | Value | |
MUTUAL FUNDS — 99.5% | | | | | | | | | | |
GuideStone Money Market
Fund (GS2 Class)¥ | | | 1,257,792 | | | | | $ | 1,257,792 | |
GuideStone Low-Duration
Bond Fund (GS2 Class)¥ | | | 5,541,998 | | | | | | 48,270,806 | |
GuideStone Inflation Protected
Bond Fund (GS4 Class)¥ | | | 1,052,620 | | | | | | 11,841,975 | |
GuideStone Defensive Market
Strategies Fund
(GS2 Class)¥ | | | 572,670 | | | | | | 6,076,033 | |
GuideStone Value Equity Fund
(GS2 Class)¥ | | | 536,666 | | | | | | 4,287,962 | |
GuideStone Growth Equity
Fund (GS2 Class)¥ | | | 350,939 | | | | | | 4,277,949 | |
GuideStone Small Cap Equity
Fund (GS2 Class)¥ | | | 94,909 | | | | | | 974,717 | |
GuideStone International
Equity Fund (GS2 Class)¥ | | | 530,737 | | | | | | 5,286,140 | |
| | | | | | | | | | |
Total Mutual Funds
(Cost $78,906,110) | | | | | | 82,273,374 | |
| | | | | | | | | | |
TOTAL INVESTMENTS — 99.5%
(Cost $78,906,110) | | | | | | 82,273,374 | |
Other Assets in Excess of Liabilities — 0.5% | | | | | | | | | 444,788 | |
| | | | | | | | | | |
NET ASSETS — 100.0% | | | | | $ | 82,718,162 | |
| | | | | | | | | | |
PORTFOLIO SUMMARY (based on net assets)
| | | | |
| | | % | |
Bond Funds | | | 72.7 | |
Domestic Equity Funds | | | 18.9 | |
International Equity Fund | | | 6.4 | |
Money Market Fund | | | 1.5 | |
Futures Contracts | | | 1.4 | |
| | | | |
| | | 100.9 | |
| | | | |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2012, 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 | | | $ | 82,273,374 | | | | $ | 82,273,374 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | | $ | 82,273,374 | | | | $ | 82,273,374 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | $ | 1,455 | | | | $ | 1,455 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | | $ | 1,455 | | | | $ | 1,455 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
***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. | | 57 |
Balanced Allocation Fund I
The Fund, through investments in the underlying Select Funds, combined approximately equal percentages to equity securities and fixed income securities. The Fund had a target of, but was not limited to, an asset allocation of 50.00% Fixed Income Select Funds, 36.00% U.S. Equity Select Funds and 14.00% Non-U.S. Equity Select Fund.
As a fund of funds, its performance was based on the performance of the underlying Select Funds. The Fund generated a return of 12.05% for the one-year period ending December 31, 2012, benefiting from positive absolute performance of the underlying Fixed Income Select Funds and Equity Select Funds. The Fund’s absolute return was most positively influenced by its exposure to the International Equity Fund. The Value Equity Fund and Growth Equity Fund also provided material benefits over the period.
U.S. equity exposure continued to contribute positively to the performance of the Fund. The year began with a very impressive start with the S&P 500® Index’s surging over 12.00% during the first quarter. As the year progressed, equities withstood a series of political and macroeconomic concerns to finish 2012 with a gain of 16.00%. Performance dispersion between U.S. equity and non-U.S. equity markets was not largely significant. Within U.S. equity markets, however, value-oriented equities provided a marginal benefit over growth-oriented equities for the year as measured by the Russell 1000® Value Index and Russell 1000® Growth Index. Both segments provided a material benefit to absolute performance.
Serving as a driving force for the market rally was continued support by the Federal Reserve to keep interest rates low and to encourage economic demand. Following this progression, U.S. consumer confidence and housing improved, China’s economy bounced back and accommodating monetary policies were announced in Europe. Consequently, the riskier segments within stocks and bonds benefited the most from this overall market optimism.
In addition to the Federal Reserve’s low interest rate policy, the bond market also benefited from an environment of low inflationary pressures and sluggish economic growth. All major bond market sectors posted positive returns for the year, led by emerging markets debt which generated an annual return of 18.04%. As a further indication of risk sentiment, broad market performance, measured by the Barclays Capital U.S. Aggregate Bond Index, gained 4.22% for the year, while the riskier Barclays Capital U.S. Corporate High Yield - 2% Issuer Capped Index posted a gain of 15.77% for 2012.
The Fund outperformed its composite benchmark in 2012 (12.05% versus 10.47%), as the Fixed Income Select Funds contributed positively. Notably, the primary source of outperformance came from the Medium–Duration Bond Fund allocation. The remaining Fixed Income Select Funds also had a positive impact over the period. Within the U.S. Equity Select Funds, both the Value Equity Fund and Small Cap Equity Fund were relatively flat to negative versus their benchmarks.
The Fund attempted to achieve its objective by investing in the Select Funds. By investing in the Fund you will also incur the expenses and risks of the underlying Select Funds. The principal risks of the Fund will change depending on the asset mix of the Select Funds in which it invests. You may directly invest in the Select Funds. The Fund’s value will go up and down in response to changes in the share prices of the investments that it owns. It is possible to lose money by investing in the Fund. This Fund may be suitable for investors who have a medium - to long-term investment horizon, possess a moderate tolerance for risk, and seek to participate in the return potential of stocks but want to achieve this result more slowly and with less volatility through a balanced allocation of fixed-income and equity investments.
Please see page 60 for information regarding specific portfolio allocations. Portfolio holdings are subject to change and risk at any time.
58
Balanced Allocation Fund I
| | | | |
| Average Annual Total Returns as of 12/31/12 |
| | | GS2 Class* | | Benchmark** |
One Year | | 12.05% | | 10.47% |
Five Year | | 3.80% | | 3.84% |
Since Inception | | 6.38% | | 6.55% |
Inception Date | | 07/01/03 | | |
Total Fund Operating Expenses (April 28, 2012 Prospectus, as amended on November 30, 2012)(1) | | 0.81% | | |
(1)The Fund’s shareholders indirectly bear the expenses of the shares of the Select Funds in which the Fund invests. Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph compares the results of a hypothetical $10,000 investment in the GS2 Class of the Fund since July 1, 2003 (commencement of operations), with all dividends and capital gains reinvested, with the Fund’s weighted composite benchmark index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
**Represents a composite index consisting of the Barclays Capital U.S. Aggregate Bond Index, the Russell 3000® Index and the MSCI ACWI (All Country World Index) Ex-U.S. Index, weighted 50%, 36% and 14%, respectively.
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 fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities and asset-backed securities.
The Russell 3000® Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market.
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 (excluding U.S.) and emerging markets.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
59
| | |
BALANCED ALLOCATION FUND I SCHEDULE OF INVESTMENTS | | December 31, 2012 |
| | | | | | | | | | |
| | | Shares | | | Value | |
MUTUAL FUNDS — 99.9% | |
GuideStone Money Market
Fund (GS2 Class)¥ | | | 6,348,888 | | | | | $ | 6,348,888 | |
GuideStone Low-Duration
Bond Fund (GS2 Class)¥ | | | 5,666,264 | | | | | | 49,353,157 | |
GuideStone Medium-Duration
Bond Fund (GS2 Class)¥ | | | 9,736,520 | | | | | | 71,271,324 | |
GuideStone Extended-Duration
Bond Fund (GS2 Class)¥ | | | 4,541,694 | | | | | | 28,885,176 | |
GuideStone Global Bond Fund
(GS4 Class)¥ | | | 1,629,106 | | | | | | 16,910,122 | |
GuideStone Defensive Market
Strategies Fund
(GS2 Class)¥ | | | 3,141,916 | | | | | | 33,335,730 | |
GuideStone Value Equity Fund
(GS2 Class)¥ | | | 5,082,558 | | | | | | 40,609,639 | |
GuideStone Growth Equity
Fund (GS2 Class)¥ | | | 3,287,366 | | | | | | 40,072,993 | |
GuideStone Small Cap Equity
Fund (GS2 Class)¥ | | | 914,281 | | | | | | 9,389,671 | |
GuideStone International
Equity Fund (GS2 Class)¥ | | | 4,895,236 | | | | | | 48,756,549 | |
| | | | | | | | | | |
Total Mutual Funds
(Cost $329,392,992) | | | | | | 344,933,249 | |
| | | | | | | | | | |
TOTAL INVESTMENTS — 99.9%
(Cost $329,392,992) | | | | | | 344,933,249 | |
Other Assets in Excess of
Liabilities — 0.1% | | | | | | | | | 321,238 | |
| | | | | | | | | | |
| | |
NET ASSETS — 100.0% | | | | | $ | 345,254,487 | |
| | | | | | | | | | |
PORTFOLIO SUMMARY (based on net assets)
| | | | |
| | | % | |
Bond Funds | | | 48.2 | |
Domestic Equity Funds | | | 35.7 | |
International Equity Fund | | | 14.2 | |
Money Market Fund | | | 1.8 | |
Futures Contracts | | | 1.7 | |
| | | | |
| | | 101.6 | |
| | | | |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2012, 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 | | | $ | 344,933,249 | | | | $ | 344,933,249 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | | $ | 344,933,249 | | | | $ | 344,933,249 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | $ | 13,670 | | | | $ | 13,670 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | | $ | 13,670 | | | | $ | 13,670 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
***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.
| | | | |
| 60 | | See Notes to Financial Statements. | | |
Growth Allocation Fund I
The Fund, through investments in the underlying Select Funds, combined a greater percentage of exposure to equity securities with a smaller percentage to fixed income securities. The Fund had a target of, but was not limited to, an asset allocation of 25.00% Fixed Income Select Funds, 48.75% U.S. Equity Select Funds and 26.25% Non-U.S. Equity Select Fund.
As a fund of funds, its performance was based on the performance of the underlying Select Funds. The Fund generated a return of 15.09% for the one-year period ended December 31, 2012, benefiting from positive absolute performance of the underlying Fixed Income Select Funds and Equity Select Funds. The Fund’s absolute return was most positively influenced by its exposure to the International Equity Fund. The Value Equity Fund and Growth Equity Fund also provided material benefits over the period.
U.S. equity exposure continued to contribute positively to the performance of the Fund. The year began with a very impressive start with the S&P 500® Index’s surging over 12.00% during the first quarter. As the year progressed, equities withstood a series of political and macroeconomic concerns to finish 2012 with a gain of 16.00%. Performance dispersion between U.S. equity and non-U.S. equity markets was not largely significant. Within U.S. equity markets, however, value-oriented equities provided a marginal benefit over growth-oriented equities for the year as measured by the Russell 1000® Value Index and Russell 1000® Growth Index. Both segments provided a material benefit to absolute performance.
Serving as a driving force for the market rally was continued support by the Federal Reserve to keep interest rates low and to encourage economic demand. Following this progression, U.S. consumer confidence and housing improved, China’s economy bounced back and accommodating monetary policies were announced in Europe. Consequently, the riskier segments within stocks and bonds benefited the most from this overall market optimism.
In addition to the Federal Reserve’s low interest rate policy, the bond market also benefited from an environment of low inflationary pressures and sluggish economic growth. All major bond market sectors posted positive returns for the year, led by emerging markets debt which generated an annual return of 18.04%. As a further indication of risk sentiment, broad market performance, measured by the Barclays Capital U.S. Aggregate Bond Index, gained 4.22% for the year, while the riskier Barclays Capital U.S. Corporate High Yield - 2% Issuer Capped Index posted a gain of 15.77% for 2012.
The Fund outperformed its composite benchmark in 2012 (15.09% versus 13.60%). The largest detractor to the Fund’s relative performance was exposure to the Value Equity Fund, which trailed its respective benchmark due to security selection. The Fund’s relative performance was positively impacted by exposure to the Growth Equity Fund.
The Fund attempted to achieve its objective by investing in the Select Funds. By investing in the Fund you will also incur the expenses and risks of the underlying Select Funds. The principal risks of the Fund will change depending on the asset mix of the Select Funds in which it invests. You may directly invest in the Select Funds. The Fund’s value will go up and down in response to changes in the share prices of the investments that it owns. It is possible to lose money by investing in the Fund. This Fund may be suitable for investors who have a long-term investment horizon, possess a relatively high tolerance for risk and seek to participate in the return potential of stocks at a slightly lower risk level than an all stock portfolio. Foreign securities may be subject to greater risk than domestic securities due to currency volatility, reduced market liquidity and political and economic instability. Small company stocks are subject to greater risk than large company stocks due to more volatility and less liquidity. This Fund is subject to interest rate risk. Meaning, when interest rates rise, the value of the existing bonds decrease and vice versa. Changes in interest rates have a bigger impact on long duration holdings than on short duration holdings.
Please see page 63 for information regarding specific portfolio allocations. Portfolio holdings are subject to change and risk at any time.
61
Growth Allocation Fund I
| | | | |
| Average Annual Total Returns as of 12/31/12 |
| | | GS2 Class* | | Benchmark** |
One Year | | 15.09% | | 13.60% |
Five Year | | 1.96% | | 2.27% |
Since Inception | | 6.49% | | 6.95% |
Inception Date | | 07/01/03 | | |
Total Fund Operating Expenses (April 28, 2012 Prospectus, as amended on November 30, 2012)(1) | | 0.90% | | |
(1)The Fund’s shareholders indirectly bear the expenses of the shares of the Select Funds in which the Fund invests. Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph compares the results of a hypothetical $10,000 investment in the GS2 Class of the Fund since July 1, 2003 (commencement of operations), with all dividends and capital gains reinvested, with the Fund’s weighted composite benchmark index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
**Represents a composite index consisting of the Barclays Capital U.S. Aggregate Bond Index, the Russell 3000® Index, and the MSCI ACWI (All Country World Index) Ex-U.S. Index, weighted 25.00%, 48.75% and 26.25%, respectively.
The Barclays U.S. Capital Aggregate Bond Index represents securities that are SEC-registered, taxable and dollar denominated. The index covers the U.S. investment grade fixed-rate bond market, with index components for government and corporate securities, mortgage pass-through securities and asset-backed securities.
The Russell 3000® Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market.
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 (excluding U.S.) and emerging markets.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
62
| | |
GROWTH ALLOCATION FUND I SCHEDULE OF INVESTMENTS | | December 31, 2012 |
| | | | | | | | | | |
| | | Shares | | | Value | |
MUTUAL FUNDS — 100.0% | | | | | | | | | | |
GuideStone Money Market
Fund (GS2 Class)¥ | | | 3,753,596 | | | | | $ | 3,753,596 | |
GuideStone Low-Duration
Bond Fund (GS2 Class)¥ | | | 1,731,781 | | | | | | 15,083,811 | |
GuideStone Medium-Duration
Bond Fund (GS2 Class)¥ | | | 3,003,066 | | | | | | 21,982,444 | |
GuideStone Extended-Duration
Bond Fund (GS2 Class)¥ | | | 1,404,001 | | | | | | 8,929,444 | |
GuideStone Global Bond Fund
(GS4 Class)¥ | | | 507,422 | | | | | | 5,267,041 | |
GuideStone Value Equity Fund
(GS2 Class)¥ | | | 5,868,492 | | | | | | 46,889,255 | |
GuideStone Growth Equity
Fund (GS2 Class)¥ | | | 3,796,802 | | | | | | 46,283,021 | |
GuideStone Small Cap Equity
Fund (GS2 Class)¥ | | | 1,048,745 | | | | | | 10,770,610 | |
GuideStone International
Equity Fund (GS2 Class)¥ | | | 5,751,728 | | | | | | 57,287,210 | |
| | | | | | | | | | |
| | |
Total Mutual Funds
(Cost $213,246,537) | | | | | | 216,246,432 | |
| | | | | | | | | | |
| | |
TOTAL INVESTMENTS — 100.0%
(Cost $213,246,537) | | | | | | 216,246,432 | |
| | | |
Other Assets in Excess of
Liabilities — 0.0% | | | | | | | | | 84,448 | |
| | | | | | | | | | |
| | |
NET ASSETS — 100.0% | | | | | $ | 216,330,880 | |
| | | | | | | | | | |
PORTFOLIO SUMMARY (based on net assets)
| | | | |
| | | % | |
Domestic Equity Funds | | | 48.1 | |
International Equity Fund | | | 26.5 | |
Bond Funds | | | 23.7 | |
Futures Contracts | | | 1.7 | |
Money Market Fund | | | 1.7 | |
| | | | |
| | | 101.7 | |
| | | | |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2012, 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 | | | $ | 216,246,432 | | | | $ | 216,246,432 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | | $ | 216,246,432 | | | | $ | 216,246,432 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
|
Other Financial Instruments*** | |
Futures Contracts | | | $ | 20,636 | | | | $ | 20,636 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | | $ | 20,636 | | | | $ | 20,636 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
***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. | | 63 |
Aggressive Allocation Fund I
The Fund, through investments in the underlying Select Funds, combined a greater percentage of exposure to U.S. equity securities with a smaller percentage to non-U.S. equity securities. The Fund had a target of, but was not limited to, an asset allocation of 60.00% U.S. Equity Select Funds and 40.00% Non-U.S. Select Fund.
As a fund of funds, its performance was based on the performance of the underlying Select Funds. The Fund generated an return of 17.31% for the one-year period ended December 31, 2012, as absolute performance was largely attributable to exposure to the International Equity Fund.
U.S. equity exposure continued to contribute positively to the performance of the Fund. The year began with a very impressive start with the S&P 500® Index’s surging over 12% during the first quarter. As the year progressed, equities withstood a series of political and macroeconomic concerns to finish 2012 with a gain of 16.00%. Performance dispersion between U.S. equity and non-U.S. equity markets was not largely significant. Within U.S. equity markets, however, value-oriented equities provided a marginal benefit over growth-oriented equities for the year as measured by the Russell 1000® Value Index and Russell 1000® Growth Index. Both segments provided a material benefit to absolute performance.
Serving as a driving force for the market rally was continued support by the Federal Reserve to keep interest rates low and to encourage economic demand. Following this progression, U.S. consumer confidence and housing improved, China’s economy bounced back and accommodating monetary policies were announced in Europe. Consequently, the riskier segments within stocks and bonds benefited the most from this overall market optimism.
In addition to the Federal Reserve’s low interest rate policy, the bond market also benefited from an environment of low inflationary pressures and sluggish economic growth. All major bond market sectors posted positive returns for the year, led by emerging markets debt which generated an annual return of 18.04%. As a further indication of risk sentiment, broad market performance, measured by the Barclays Capital U.S. Aggregate Bond Index, gained 4.22% for the year, while the riskier Barclays Capital U.S. Corporate High Yield - 2% Issuer Capped Index posted a gain of 15.77% for 2012.
The Fund outperformed its composite benchmark in 2012 (17.31% versus 16.75%). The Growth Equity Fund served as the key driver in the Fund’s relative outperformance for the year. The relative contribution of the remaining Fund allocations was flat to negative over the year.
The Fund attempted to achieve its objective by investing in the Select Funds. By investing in the Fund you will also incur the expenses and risks of the underlying Select Funds. The principal risks of the Fund will change depending on the asset mix of the Select Funds in which it invests. You may directly invest in the Select Funds. The Fund’s value will go up and down in response to changes in the share prices of the investments that it owns. It is possible to lose money by investing in the Fund. This Fund may be suitable for investors who have a long-term investment horizon, possess a relatively high tolerance for risk and want to diversify by adding an aggressive investment option that combines U.S. and international stocks. Foreign securities may be subject to greater risk than domestic securities due to currency volatility, reduced market liquidity and political and economic instability. Small company stocks are subject to greater risk than large company stocks due to more volatility and less liquidity.
Please see page 66 for information regarding specific portfolio allocations. Portfolio holdings are subject to change and risk at any time.
64
Aggressive Allocation Fund I
| | | | |
| Average Annual Total Returns as of 12/31/12 |
| | | GS2 Class* | | Benchmark** |
One year | | 17.31% | | 16.75% |
Five year | | -0.11% | | 0.54% |
Since Inception | | 6.39% | | 7.22% |
Inception Date | | 07/01/03 | | |
Total Fund Operating Expenses (April 28, 2012 Prospectus, as amended on November 30, 2012)(1) | | 1.01% | | |
(1)The Fund’s shareholders indirectly bear the expenses of the GS2 Class shares of the Select Funds in which the Fund invests. Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph compares the results of a hypothetical $10,000 investment in the GS2 Class of the Fund since July 1, 2003 (commencement of operations), with all dividends and capital gains reinvested, with the Fund’s weighted composite benchmark index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
**Represents a composite index consisting of the Russell 3000® Index and the MSCI ACWI (All Country World Index) Ex-U.S. Index, weighted 60.00% and 40.00%, respectively.
The Russell 3000® Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market.
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 (excluding U.S.) and emerging markets.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
65
| | |
AGGRESSIVE ALLOCATION FUND I SCHEDULE OF INVESTMENTS | | December 31, 2012 |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
MUTUAL FUNDS — 99.9% | | | | | | | | | | | | |
GuideStone Money Market
Fund (GS2 Class)¥ | | | 2,213,460 | | | $ | | | | | 2,213,460 | |
GuideStone Value Equity Fund
(GS2 Class)¥ | | | 4,710,483 | | | | | | | | 37,636,761 | |
GuideStone Growth Equity Fund
(GS2 Class)¥ | | | 3,072,629 | | | | | | | | 37,455,347 | |
GuideStone Small Cap Equity Fund
(GS2 Class)¥ | | | 823,389 | | | | | | | | 8,456,203 | |
GuideStone International
Equity Fund (GS2 Class)¥ | | | 5,714,516 | | | | | | | | 56,916,582 | |
| | | | | | | | | | | | |
Total Mutual Funds
(Cost $147,996,365) | | | | | | | | 142,678,353 | |
| | | | | | | | | | | | |
| | |
TOTAL INVESTMENTS — 99.9%
(Cost $147,996,365) | | | | | | | | 142,678,353 | |
| | | |
Other Assets in Excess of
Liabilities — 0.1% | | | | | | | | | | | 152,424 | |
| | | | | | | | | | | | |
NET ASSETS — 100.0% | | | | | | | $ | 142,830,777 | |
| | | | | | | | | | | | |
PORTFOLIO SUMMARY (based on net assets)
| | | | |
| | | % | |
Domestic Equity Funds | | | 58.5 | |
International Equity Fund | | | 39.9 | |
Futures Contracts | | | 1.6 | |
Money Market Fund | | | 1.5 | |
| | | | |
| | | 101.5 | |
| | | | |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2012, 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 | | | $ | 142,678,353 | | | | $ | 142,678,353 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | | $ | 142,678,353 | | | | $ | 142,678,353 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | $ | 17,731 | | | | $ | 17,731 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | | $ | 17,731 | | | | $ | 17,731 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
***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.
| | | | |
| 66 | | See Notes to Financial Statements. | | |
| | |
STATEMENTS OF ASSETS AND LIABILITIES | | December 31, 2012 |
| | | | | | | | | | | | | | | | |
| | | 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) | | $ | 82,273,374 | | | $ | 344,933,249 | | | $ | 216,246,432 | | | $ | 142,678,353 | |
Cash collateral for derivatives | | | 50,400 | | | | 209,550 | | | | 221,950 | | | | 152,000 | |
Receivables: | | | | | | | | | | | | | | | | |
Dividends from affiliated funds | | | 73 | | | | 334 | | | | 202 | | | | 134 | |
Investment securities sold | | | — | | | | — | | | | — | | | | 3,436 | |
Fund shares sold | | | 409,490 | | | | 98,084 | | | | 627 | | | | 344 | |
Variation margin on financial futures contracts | | | 6,430 | | | | 63,206 | | | | 58,996 | | | | 47,055 | |
Prepaid expenses and other assets | | | 6,887 | | | | 6,610 | | | | 6,610 | | | | 6,610 | |
| | | | | | | | | | | | | | | | |
Total Assets | | | 82,746,654 | | | | 345,311,033 | | | | 216,534,817 | | | | 142,887,932 | |
| | | | | | | | | | | | | | | | |
Liabilities | | | | | | | | | | | | | | | | |
Payables: | | | | | | | | | | | | | | | | |
Fund shares redeemed | | | — | | | | — | | | | 159,920 | | | | 21,184 | |
Accrued expenses: | | | | | | | | | | | | | | | | |
Investment advisory fees | | | 5,555 | | | | 29,531 | | | | 18,527 | | | | 12,496 | |
Other expenses | | | 22,937 | | | | 27,015 | | | | 25,490 | | | | 23,475 | |
| | | | | | | | | | | | | | | | |
Total Liabilities | | | 28,492 | | | | 56,546 | | | | 203,937 | | | | 57,155 | |
| | | | | | | | | | | | | | | | |
Net Assets | | $ | 82,718,162 | | | $ | 345,254,487 | | | $ | 216,330,880 | | | $ | 142,830,777 | |
| | | | | | | | | | | | | | | | |
Net Assets Consist of: | | | | | | | | | | | | | | | | |
Paid-in-capital | | $ | 84,387,158 | | | $ | 368,405,464 | | | $ | 233,642,234 | | | $ | 164,382,258 | |
Undistributed net investment income | | | 705,405 | | | | 5,274,456 | | | | 1,465,336 | | | | 2,572,546 | |
Accumulated net realized loss on investments and futures transactions | | | (5,743,120 | ) | | | (43,979,360 | ) | | | (21,797,221 | ) | | | (18,823,746 | ) |
Net unrealized appreciation (depreciation) on investments and futures | | | 3,368,719 | | | | 15,553,927 | | | | 3,020,531 | | | | (5,300,281 | ) |
| | | | | | | | | | | | | | | | |
Net Assets | | $ | 82,718,162 | | | $ | 345,254,487 | | | $ | 216,330,880 | | | $ | 142,830,777 | |
| | | | | | | | | | | | | | | | |
Net Asset Value: | | | | | | | | | | | | | | | | |
$0.001 par value, unlimited shares authorized | | | | | | | | | | | | | | | | |
Net assets applicable to the GS2 Class | | $ | 82,718,162 | | | $ | 345,254,487 | | | $ | 216,330,880 | | | $ | 142,830,777 | |
| | | | | | | | | | | | | | | | |
GS2 shares outstanding | | | 8,481,297 | | | | 34,331,237 | | | | 20,218,940 | | | | 12,705,324 | |
| | | | | | | | | | | | | | | | |
Net asset value, offering and redemption price per GS2 share | | $ | 9.75 | | | $ | 10.06 | | | $ | 10.70 | | | $ | 11.24 | |
| | | | | | | | | | | | | | | | |
(1) Investments in securities of affiliated issuers, at cost | | $ | 78,906,110 | | | $ | 329,392,992 | | | $ | 213,246,537 | | | $ | 147,996,365 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 67 |
| | | | |
STATEMENTS OF OPERATIONS | | | For the Year Ended December 31, 2012 | |
| | | | | | | | | | | | | | | | |
| | | Conservative
Allocation
Fund I | | | Balanced
Allocation
Fund I | | | Growth
Allocation
Fund I | | | Aggressive
Allocation
Fund I | |
Investment Income | | | | | | | | | | | | | | | | |
Income dividends received from affiliated funds | | $ | 1,769,732 | | | $ | 10,607,277 | | | $ | 5,367,121 | | | $ | 2,782,582 | |
| | | | | | | | | | | | | | | | |
Total Investment Income | | | 1,769,732 | | | | 10,607,277 | | | | 5,367,121 | | | | 2,782,582 | |
| | | | | | | | | | | | | | | | |
Expenses | | | | | | | | | | | | | | | | |
Investment advisory fees | | | 79,663 | | | | 338,404 | | | | 213,351 | | | | 140,346 | |
Transfer agent fees: | | | | | | | | | | | | | | | | |
GS2 Shares | | | 3,972 | | | | 4,073 | | | | 3,913 | | | | 3,916 | |
Custodian fees | | | 12,944 | | | | 21,867 | | | | 20,010 | | | | 12,333 | |
Accounting and administration fees | | | 8,699 | | | | 22,112 | | | | 15,710 | | | | 11,654 | |
Professional fees | | | 41,305 | | | | 41,313 | | | | 41,308 | | | | 41,305 | |
Blue sky fees: | | | | | | | | | | | | | | | | |
GS2 Shares | | | 4,138 | | | | 4,015 | | | | 4,015 | | | | 4,015 | |
Shareholder reporting fees | | | 616 | | | | 832 | | | | 479 | | | | 495 | |
Trustee expenses | | | 2,033 | | | | 4,721 | | | | 3,425 | | | | 2,667 | |
Line of credit facility fees | | | 877 | | | | 3,692 | | | | 2,332 | | | | 1,539 | |
Other expenses | | | 8,940 | | | | 8,940 | | | | 8,940 | | | | 8,940 | |
| | | | | | | | | | | | | | | | |
Total Expenses | | | 163,187 | | | | 449,969 | | | | 313,483 | | | | 227,210 | |
Expenses waived/reimbursed net of amount recaptured(1) | | | (42,753 | ) | | | — | | | | 2,458 | | | | (17,895 | ) |
| | | | | | | | | | | | | | | | |
Net expenses | | | 120,434 | | | | 449,969 | | | | 315,941 | | | | 209,315 | |
| | | | | | | | | | | | | | | | |
Net investment income | | | 1,649,298 | | | | 10,157,308 | | | | 5,051,180 | | | | 2,573,267 | |
| | | | | | | | | | | | | | | | |
Realized and Unrealized Gain (Loss) | | | | | | | | | | | | | | | | |
Capital gain distributions received from affiliated funds | | | 1,248,565 | | | | 9,963,465 | | | | 7,176,735 | | | | 4,805,572 | |
Net realized gain (loss) on investment securities of affiliated issuers | | | 882,856 | | | | (3,062,916 | ) | | | (4,102,306 | ) | | | (2,995,503 | ) |
Net realized gain on futures transactions | | | 39,169 | | | | 657,790 | | | | 521,779 | | | | 419,325 | |
| | | | | | | | | | | | | | | | |
Net realized gain | | | 2,170,590 | | | | 7,558,339 | | | | 3,596,208 | | | | 2,229,394 | |
| | | | | | | | | | | | | | | | |
Change in unrealized appreciation on investment securities of affiliated issuers | | | 1,523,014 | | | | 19,586,124 | | | | 20,644,379 | | | | 17,164,415 | |
Change in unrealized depreciation on futures | | | (2,742 | ) | | | (96,690 | ) | | | (74,714 | ) | | | (61,412 | ) |
| | | | | | | | | | | | | | | | |
Net change in unrealized appreciation | | | 1,520,272 | | | | 19,489,434 | | | | 20,569,665 | | | | 17,103,003 | |
| | | | | | | | | | | | | | | | |
Net Realized and Unrealized Gain | | | 3,690,862 | | | | 27,047,773 | | | | 24,165,873 | | | | 19,332,397 | |
| | | | | | | | | | | | | | | | |
Net Increase in Net Assets Resulting from Operations | | $ | 5,340,160 | | | $ | 37,205,081 | | | $ | 29,217,053 | | | $ | 21,905,664 | |
| | | | | | | | | | | | | | | | |
| (1) | See Note 3a and 3c in Notes to Financial Statements. |
| | | | |
| 68 | | See Notes to Financial Statements. | | |
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | | | | | | | | | |
| | | Conservative Allocation Fund I | | | Balanced Allocation Fund I | |
| | | For the Year Ended | | | For the Year Ended | |
| | | 12/31/12 | | | 12/31/11 | | | 12/31/12 | | | 12/31/11 | |
Operations: | | | | | | | | | | | | | | | | |
Net investment income | | $ | 1,649,298 | | | $ | 1,701,463 | | | $ | 10,157,308 | | | $ | 10,860,289 | |
Net realized gain (loss) on investment securities and futures transactions | | | 2,170,590 | | | | (51,979 | ) | | | 7,558,339 | | | | (15,227,675 | ) |
Net change in unrealized appreciation (depreciation) on investment securities and futures | | | 1,520,272 | | | | (316,884 | ) | | | 19,489,434 | | | | 7,866,278 | |
| | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets resulting from operations | | | 5,340,160 | | | | 1,332,600 | | | | 37,205,081 | | | | 3,498,892 | |
| | | | | | | | | | | | | | | | |
Dividends to Shareholders: | | | | | | | | | | | | | | | | |
Dividends from net investment income(1) | | | (2,141,071 | ) | | | (1,925,326 | ) | | | (13,614,253 | ) | | | (12,643,249 | ) |
| | | | | | | | | | | | | | | | |
Total dividends | | | (2,141,071 | ) | | | (1,925,326 | ) | | | (13,614,253 | ) | | | (12,643,249 | ) |
| | | | | | | | | | | | | | | | |
Capital Share Transactions: | | | | | | | | | | | | | | | | |
Proceeds from GS2 shares sold | | | 12,716,837 | | | | 18,399,863 | | | | 20,064,388 | | | | 20,439,001 | |
Reinvestment of dividends and distributions into GS2 shares | | | 2,125,628 | | | | 1,921,753 | | | | 13,566,365 | | | | 12,613,592 | |
Value of GS2 shares redeemed | | | (9,464,251 | ) | | | (17,513,547 | ) | | | (22,233,722 | ) | | | (61,130,637 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) from capital share transactions(2) | | | 5,378,214 | | | | 2,808,069 | | | | 11,397,031 | | | | (28,078,044 | ) |
| | | | | | | | | | | | | | | | |
Total increase (decrease) in net assets | | | 8,577,303 | | | | 2,215,343 | | | | 34,987,859 | | | | (37,222,401 | ) |
| | | | | | | | | | | | | | | | |
Net Assets: | | | | | | | | | | | | | | | | |
Beginning of Year | | | 74,140,859 | | | | 71,925,516 | | | | 310,266,628 | | | | 347,489,029 | |
| | | | | | | | | | | | | | | | |
End of Year* | | $ | 82,718,162 | | | $ | 74,140,859 | | | $ | 345,254,487 | | | $ | 310,266,628 | |
| | | | | | | | | | | | | | | | |
*Including undistributed net investment income | | $ | 705,405 | | | $ | 710,653 | | | $ | 5,274,456 | | | $ | 5,272,598 | |
| | | | | | | | | | | | | | | | |
| (1) | Includes dividends paid from the short-term portion of capital gain distributions received from affiliated funds. |
| (2) | See Note 6 in Notes to Financial Statements. |
| | | | |
| | See Notes to Financial Statements. | | 69 |
| | | | | | | | | | | | | | |
| Growth Allocation Fund I | | | Aggressive Allocation Fund I | |
| For the Year Ended | | | For the Year Ended | |
| 12/31/12 | | | 12/31/11 | | | 12/31/12 | | | 12/31/11 | |
| | | | | | | | | | | | | | |
| $ | 5,051,180 | | | $ | 5,362,632 | | | $ | 2,573,267 | | | $ | 2,287,649 | |
| | 3,596,208 | | | | (12,340,493 | ) | | | 2,229,394 | | | | (9,111,059 | ) |
| | 20,569,665 | | | | 1,469,485 | | | | 17,103,003 | | | | (846,186 | ) |
| | | | | | | | | | | | | | |
| | 29,217,053 | | | | (5,508,376 | ) | | | 21,905,664 | | | | (7,669,596 | ) |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | (5,883,636) | | | | (5,922,267 | ) | | | (2,288,303 | ) | | | (2,389,446 | ) |
| | | | | | | | | | | | | | |
| | (5,883,636) | | | | (5,922,267 | ) | | | (2,288,303 | ) | | | (2,389,446 | ) |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | 10,082,428 | | | | 10,889,257 | | | | 6,044,994 | | | | 7,071,127 | |
| | 5,877,919 | | | | 5,901,738 | | | | 2,286,963 | | | | 2,387,924 | |
| | (20,845,946) | | | | (41,034,407 | ) | | | (14,584,673 | ) | | | (27,243,948 | ) |
| | | | | | | | | | | | | | |
| | (4,885,599) | | | | (24,243,412 | ) | | | (6,252,716 | ) | | | (17,784,897 | ) |
| | | | | | | | | | | | | | |
| | 18,447,818 | | | | (35,674,055 | ) | | | 13,364,645 | | | | (27,843,939 | ) |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | 197,883,062 | | | | 233,557,117 | | | | 129,466,132 | | | | 157,310,071 | |
| | | | | | | | | | | | | | |
| $ | 216,330,880 | | | $ | 197,883,062 | | | $ | 142,830,777 | | | $ | 129,466,132 | |
| | | | | | | | | | | | | | |
| $ | 1,465,336 | | | $ | 1,464,387 | | | $ | 2,572,546 | | | $ | 2,287,519 | |
| | | | | | | | | | | | | | |
| | | | |
| 70 | | See Notes to Financial Statements. | | |
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 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
Distribu- tions
Received
from
Affiliated
Funds | | | Realized
and
Unrealized
Gain (Loss) on
Investments | | | Dividends
from Net
Investment
Income (2) | | | Distribu- tions
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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 2012 | | $ | 9.35 | | | $ | 0.20 | # | | $ | 0.15 | | | $ | 0.31 | | | $ | (0.26 | ) | | $ | — | | | $ | 9.75 | | | | 7.07 | % | | $ | 82,718 | | | | 0.15 | % | | | 0.21 | % | | | 2.10 | % | | | 8 | % |
| 2011 | | | 9.42 | | | | 0.22 | # | | | 0.05 | | | | (0.09 | ) | | | (0.25 | ) | | | — | | | | 9.35 | | | | 1.92 | | | | 74,141 | | | | 0.15 | | | | 0.24 | | | | 2.26 | | | | 26 | |
| 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 | |
Balanced Allocation Fund I | |
GS2 Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 2012 | | $ | 9.35 | | | $ | 0.31 | # | | $ | 0.30 | | | $ | 0.51 | | | $ | (0.41 | ) | | $ | — | | | $ | 10.06 | | | | 12.05 | % | | $ | 345,254 | | | | 0.14 | % | | | 0.14 | % | | | 3.06 | % | | | 5 | % |
| 2011 | | | 9.64 | | | | 0.31 | # | | | 0.11 | | | | (0.31 | ) | | | (0.40 | ) | | | — | | | | 9.35 | | | | 1.14 | | | | 310,267 | | | | 0.14 | | | | 0.14 | | | | 3.14 | | | | 18 | |
| 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 | |
Growth Allocation Fund I | |
GS2 Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 2012 | | $ | 9.56 | | | $ | 0.25 | # | | $ | 0.36 | | | $ | 0.83 | | | $ | (0.30 | ) | | $ | — | | | $ | 10.70 | | | | 15.09 | % | | $ | 216,331 | | | | 0.15 | % | | | 0.15 | % | | | 2.41 | % | | | 4 | % |
| 2011 | | | 10.08 | | | | 0.24 | # | | | 0.05 | | | | (0.51 | ) | | | (0.30 | ) | | | — | | | | 9.56 | | | | (2.21 | ) | | | 197,883 | | | | 0.15 | | | | 0.15 | | | | 2.34 | | | | 13 | |
| 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 | |
Aggressive Allocation Fund I | |
GS2 Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 2012 | | $ | 9.74 | | | $ | 0.20 | # | | $ | 0.37 | | | $ | 1.11 | | | $ | (0.18 | ) | | $ | — | | | $ | 11.24 | | | | 17.31 | % | | $ | 142,831 | | | | 0.15 | % | | | 0.16 | % | | | 1.87 | % | | | 8 | % |
| 2011 | | | 10.44 | | | | 0.16 | # | | | 0.01 | | | | (0.69 | ) | | | (0.18 | ) | | | — | | | | 9.74 | | | | (4.93 | ) | | | 129,466 | | | | 0.15 | | | | 0.18 | | | | 1.51 | | | | 9 | |
| 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 | |
| † | 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 (higher) than the ratio shown. |
| | | | |
| | See Notes to Financial Statements. | | 71 |
Money Market Fund
During 2012, the Federal Reserve maintained a near zero percent interest rate policy to keep borrowing costs low in a concerted effort to stimulate economic growth, thus keeping short-term rates at historically low levels. At its regularly scheduled Federal Open Market Committee meeting in December, the Federal Reserve announced its intention to maintain an exceptionally low federal funds rate as long as the unemployment rate remained above 6.5% and short-term inflation was no higher than 2.5%. These targets gave the markets guidance related to monetary policy based on specific economic thresholds, which was much different than the previous forward guidance methodology. During the year, the Federal Reserve also implemented unconventional means to stimulate the domestic economy, including Operation Twist and the third round of quantitative easing (QE3). Expectations were for monetary policy to remain very accommodative over the near-term which may continue to result in a low, short-term yield environment.
Given the environment of historically low interest rates, money market funds (which are lenders to borrowers at short-term interest rates) experienced another year of low returns. At the end of 2012, the 90-day U.S. Treasury bill was yielding a very modest 0.04%. The low yield environment, coupled with the regulatory constraints of Rule 2a-7 of the Investment Company Act of 1940, made it extraordinarily difficult for money market funds across the industry to post positive returns after paying expenses.
The Fund was actively managed and invested in a broad range of high quality, short-term money market instruments denominated exclusively in U.S. dollars. The Fund sought to maintain, but did not guarantee, a stable per share price of $1.00, while paying monthly dividends based on the daily account value. The GS4 Class of the Fund returned 0.01% for the one-year period ended December 31, 2012, as compared to a 0.07% return for the Citigroup 3-Month Treasury Bill Index (benchmark index). The Fund’s underperformance was due to the impact of Fund expenses as the low-rate environment provided little opportunity to generate returns sufficient to cover expenses and outpace the benchmark index. In the midst of the difficult interest rate and economic environment, the management of the Fund remained true to its primary objectives of preservation of capital and liquidity versus sacrificing quality in an effort to “stretch for incremental yield.” Throughout the year, the Fund remained well diversified across many sectors including floating rate notes, certificates of deposits, time deposits, commercial paper, U.S. Treasuries and agency obligations. At year-end, the Fund’s weighted average maturity was 53 days.
This Fund may be suitable for investors who have a short-term investment horizon, seek to maintain a stable dollar value for their investment and can accept a long-term rate of return that may be lower than other fixed income and stock investments.
An investment in the Fund is not insured or guaranteed by the Federal Depository Insurance Corporation or any other governmental agency. Although the Fund seeks to maintain a value of $1.00 per share, it is possible to lose money.
Please see page 76 for information regarding specific portfolio allocations. Portfolio holdings are subject to change and risk at any time.
72
Money Market Fund
| | | | | | |
| Average Annual Total Returns as of 12/31/12 |
| | | GS2 Class* | | GS4 Class* | | Benchmark** |
One Year | | 0.10% | | 0.01% | | 0.07% |
Five Year | | 0.75% | | 0.61% | | 0.45% |
Ten Year | | 1.91% | | 1.74% | | 1.69% |
Inception Date | | 08/27/01 | | 08/27/01 | | |
Total Fund Operating Expenses (April 28, 2012 Prospectus, as amended on November 30, 2012)(1) | | 0.19% | | 0.42% | | |
| | | | |
| Yield as of 12/31/12(2) |
| | | GS2 Class* | | GS4 Class* |
7-Day Annualized Yield (Net) | | 0.07% | | 0.01% |
7-Day Annualized Yield (Gross) | | 0.24% | | 0.24% |
| (1) | Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights. |
| (2) | Yield for the Money Market Fund represents the annualization of the Fund’s declared dividends over the period indicated, excluding capital gains distributions. The yield more closely reflects the current earnings of the Fund than the total return. Gross Yield reflects the yield without fee waivers in effect. |
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. Investment return will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. The yield for the Money Market Fund represents annualization of the Fund’s declared dividends over the period indicated, excluding capital gains distributions. The 7-day annualized yield more closely reflects the current earnings of the Fund than the total return.
The graph compares the results of a hypothetical $10,000 investment in the GS4 Class of the Fund for the 10 year period from December 31, 2002 to December 31, 2012, with all dividends and capital gains reinvested, with the Citigroup 3-Month Treasury Bill Index.
*These performance figures reflect expense waivers by the Fund’s investment adviser. Without these waivers, performance would have been lower. Performance figures shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
**The Citigroup 3-Month Treasury Bill Index is an unmanaged index that is generally representative of 3-month U.S. Treasury bills, consisting of an average of the last 3-month U.S. Treasury bill issues.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
73
| | |
MONEY MARKET FUND SCHEDULE OF INVESTMENTS | | December 31, 2012 |
| | | | | | | | | | |
| | | Par | | | Value | |
AGENCY OBLIGATIONS — 9.3% | |
Federal Home Loan Bank | | | | | | | | | | |
0.17%, 05/08/13 | | $ | 8,000,000 | | | | | $ | 7,995,202 | |
0.15%, 06/12/13 | | | 45,000,000 | | | | | | 44,970,187 | |
Federal Home Loan Mortgage
Corporation | | | | | | | | | | |
0.40%, 01/02/13† | | | 15,500,000 | | | | | | 15,497,901 | |
0.15%, 01/14/13† | | | 36,800,000 | | | | | | 36,784,416 | |
Federal National Mortgage
Association | | | | | | | | | | |
0.17%, 05/08/13 | | | 10,000,000 | | | | | | 9,994,109 | |
| | | | | | | | | | |
Total Agency Obligations
(Cost $115,241,815) | | | | | | | | | 115,241,815 | |
| | | | | | | | | | |
CERTIFICATES OF DEPOSIT — 23.4% | |
Bank of Montreal CHI | | | | | | | | | | |
0.39%, 01/14/13† | | | 6,000,000 | | | | | | 6,000,000 | |
0.31%, 02/07/13 | | | 10,000,000 | | | | | | 10,000,000 | |
Bank of Nova Scotia Houston | | | | | | | | | | |
0.41%, 01/02/13† | | | 11,500,000 | | | | | | 11,500,000 | |
0.26%, 01/18/13† | | | 15,000,000 | | | | | | 15,000,000 | |
Bank of Tokyo
Mitsubishi UFJ, Ltd. | | | | | | | | | | |
0.48%, 01/24/13 | | | 15,000,000 | | | | | | 15,000,000 | |
0.26%, 04/08/13 | | | 16,000,000 | | | | | | 15,999,569 | |
BMO Harris Bank | | | | | | | | | | |
0.21%, 01/30/13 | | | 20,000,000 | | | | | | 20,000,000 | |
Canadian Imperial Bank of Commerce NY | | | | | | | | | | |
0.39%, 01/01/13† | | | 13,000,000 | | | | | | 13,000,000 | |
0.32%, 01/02/13† | | | 10,000,000 | | | | | | 10,000,000 | |
Cooperatieve Centrale
Raiffeisen-Boerenleenbank
BA NY | | | | | | | | | | |
0.31%, 01/29/13† | | | 20,500,000 | | | | | | 20,500,000 | |
0.42%, 03/18/13† | | | 14,000,000 | | | | | | 14,000,000 | |
Credit Suisse NY | | | | | | | | | | |
0.32%, 02/04/13 | | | 14,000,000 | | | | | | 14,000,000 | |
National Australia Bank,
Ltd. NY | | | | | | | | | | |
0.40%, 04/18/13 | | | 15,000,000 | | | | | | 15,000,000 | |
National Bank of Canada, Ltd.
NY | | | | | | | | | | |
0.30%, 01/11/13† | | | 15,000,000 | | | | | | 15,000,000 | |
Royal Bank of Canada NY | | | | | | | | | | |
0.45%, 01/16/13† | | | 11,000,000 | | | | | | 11,000,000 | |
Skandinaviska Enskilda Banken
AB | | | | | | | | | | |
0.31%, 03/28/13 | | | 12,000,000 | | | | | | 12,000,000 | |
Sumitomo Mitsui Banking
Corporation NY | | | | | | | | | | |
0.39%, 02/13/13 | | | 15,000,000 | | | | | | 15,000,000 | |
Toronto Dominion Bank NY | | | | | | | | | | |
0.32%, 01/22/13† | | | 8,000,000 | | | | | | 8,000,000 | |
0.30%, 01/28/13† | | | 20,000,000 | | | | | | 20,000,000 | |
0.30%, 07/23/13 | | | 7,000,000 | | | | | | 7,000,000 | |
Westpac Banking
Corporation NY | | | | | | | | | | |
0.40%, 01/04/13† | | | 22,000,000 | | | | | | 22,000,000 | |
| | | | | | | | | | |
Total Certificates of Deposit
(Cost $289,999,569) | | | | | | | | | 289,999,569 | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | Par | | | Value | |
COMMERCIAL PAPER — 36.9% | |
Australia and New Zealand
Banking Group | | | | | | | | | | |
0.32%, 01/30/13 | | $ | 11,000,000 | | | | | $ | 10,997,164 | |
Bank of Tokyo
Mitsubishi UFJ, Ltd. | | | | | | | | | | |
0.38%, 02/20/13 | | | 20,000,000 | | | | | | 19,989,444 | |
0.47%, 03/06/13 | | | 10,000,000 | | | | | | 9,991,644 | |
Commonwealth Bank of
Australia | | | | | | | | | | |
0.31%, 01/11/13 | | | 15,000,000 | | | | | | 15,000,000 | |
0.31%, 02/11/13 | | | 12,000,000 | | | | | | 11,995,763 | |
DNB Bank ASA | | | | | | | | | | |
0.32%, 02/13/13 | | | 12,000,000 | | | | | | 11,995,413 | |
Fairway Finance Co., LLC | | | | | | | | | | |
0.24%, 01/07/13 | | | 16,000,000 | | | | | | 16,000,000 | |
General Electric Capital
Corporation | | | | | | | | | | |
0.31%, 03/04/13 | | | 15,000,000 | | | | | | 14,991,992 | |
HSBC Bank PLC | | | | | | | | | | |
0.66%, 04/25/13 | | | 15,000,000 | | | | | | 14,968,840 | |
Jupiter Securitization Company | | | | | | | | | | |
0.21%, 03/04/13 | | | 5,000,000 | | | | | | 4,998,192 | |
0.22%, 03/27/13 | | | 25,000,000 | | | | | | 24,987,014 | |
Kells Funding LLC | | | | | | | | | | |
0.36%, 01/22/13 | | | 13,000,000 | | | | | | 12,999,676 | |
0.31%, 02/19/13 | | | 20,000,000 | | | | | | 19,991,561 | |
0.32%, 05/21/13 | | | 10,000,000 | | | | | | 9,987,555 | |
Manhattan Asset Funding Co. | | | | | | | | | | |
0.20%, 01/02/13 | | | 7,108,000 | | | | | | 7,107,961 | |
0.23%, 01/22/13 | | | 14,000,000 | | | | | | 13,998,122 | |
National Australia Funding
Delaware | | | | | | | | | | |
0.28%, 01/28/13 | | | 21,200,000 | | | | | | 21,195,628 | |
Nieuw Amsterdam Receivables
Corporation | | | | | | | | | | |
0.45%, 01/02/13 | | | 20,000,000 | | | | | | 19,999,750 | |
0.25%, 02/04/13 | | | 10,000,000 | | | | | | 9,997,639 | |
Nordea North America, Inc. | | | | | | | | | | |
0.36%, 02/08/13 | | | 13,000,000 | | | | | | 12,995,060 | |
0.30%, 05/16/13 | | | 12,000,000 | | | | | | 11,986,500 | |
Regency Markets No. 1 LLC | | | | | | | | | | |
0.22%, 01/23/13 | | | 15,405,000 | | | | | | 15,402,929 | |
Skandinaviska Enskilda Banken
AB | | | | | | | | | | |
0.30%, 03/21/13 | | | 15,000,000 | | | | | | 14,990,125 | |
State Street Corporation | | | | | | | | | | |
0.31%, 01/18/13 | | | 20,000,000 | | | | | | 19,997,072 | |
Sumitomo Mitsui Trust Bank, Ltd. | | | | | | | | | | |
0.33%, 02/11/13 | | | 19,500,000 | | | | | | 19,492,782 | |
Svenska Handelsbanken, Inc. | | | | | | | | | | |
0.29%, 04/04/13 | | | 8,000,000 | | | | | | 7,994,007 | |
Sydney Capital Corporation | | | | | | | | | | |
0.30%, 01/08/13 | | | 12,000,000 | | | | | | 11,999,300 | |
0.28%, 02/14/13 | | | 12,000,000 | | | | | | 11,995,893 | |
0.25%, 03/14/13 | | | 10,000,000 | | | | | | 9,995,000 | |
0.25%, 03/19/13 | | | 25,000,000 | | | | | | 24,986,632 | |
Victory Receivables
Corporation | | | | | | | | | | |
0.21%, 01/18/13 | | | 10,073,000 | | | | | | 10,072,001 | |
Westpac Banking Corporation | | | | | | | | | | |
0.38%, 01/03/13 | | | 13,513,000 | | | | | | 13,512,715 | |
| | | | | | | | | | |
Total Commercial Paper
(Cost $456,613,374) | | | | | | | | | 456,613,374 | |
| | | | | | | | | | |
| | | | |
| 74 | | See Notes to Financial Statements. | | |
MONEY MARKET FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | |
| | | Par | | | Value | |
MUNICIPAL BONDS — 16.1% | |
California Housing Finance Agency, Revenue Bond, Series D | | | | | | | | |
0.10%, 01/07/13† | | $ | 6,100,000 | | | $ | 6,100,000 | |
California Housing Finance Agency, Multi-Family III, Revenue Bond, Series E (LOC-Fannie Mae, Freddie Mac) | | | | | | | | |
0.13%, 01/07/13† | | | 9,600,000 | | | | 9,600,000 | |
California Pollution Control
Financing Authority,
Pollution Control Revenue
Bonds, Series E (LOC-JP
Morgan Chase Bank NA) | | | | | | | | |
0.11%, 01/02/13† | | | 5,800,000 | | | | 5,800,000 | |
California Statewide Communities Development Authority, Hallmark House Apartments, Revenue Bond, Series ZZ | | | | | | | | |
0.13%, 01/07/13† | | | 6,420,000 | | | | 6,420,000 | |
California Statewide Communities Development Authority, Kimberly Woods Apartments, Revenue Bond, Series B | | | | | | | | |
0.13%, 01/07/13† | | | 17,100,000 | | | | 17,100,000 | |
Connecticut State Health & Educational Facilities Authority, Yale-New Haven Hospital, Revenue Bond, Series K2 (LOC-JPMorgan Chase Bank NA) | | | | | | | | |
0.14%, 01/07/13† | | | 11,930,000 | | | | 11,930,000 | |
Los Angeles Community Redevelopment Agency, Hollywood & Vine Apartments, Revenue Bond, Series A | | | | | | | | |
0.12%, 01/07/13† | | | 7,700,000 | | | | 7,700,000 | |
Los Angeles County Housing Authority, Malibu Meadows II, Revenue Bond, Series C | | | | | | | | |
0.12%, 01/07/13† | | | 5,799,000 | | | | 5,799,000 | |
Maryland Department of Housing and Community Development Administration, Multifamily Barrington Apartments Project, Revenue Bond, Series A | | | | | | | | |
0.13%, 01/07/13† | | | 27,575,000 | | | | 27,575,000 | |
New York City Housing Development Corporation, Multi-Family Housing (155 West 21st Street), Revenue Bond, Series A | | | | | | | | |
0.15%, 01/07/13† | | | 3,100,000 | | | | 3,100,000 | |
New York City Housing Development Corporation, Multi-Family Housing (90 West Street), Revenue Bond, Series A | | | | | | | | |
0.15%, 01/07/13† | | | 6,000,000 | | | | 6,000,000 | |
| | | | | | | | |
| | | Par | | | Value | |
New York City Housing Development Corporation, Multi-Family Housing (West 61st Street Apartments), Revenue Bond, Series A | | | | | | | | |
0.15%, 01/07/13† | | $ | 3,000,000 | | | $ | 3,000,000 | |
New York City Industrial Development Agency, New York Law School Project, Revenue Bond, Series A (LOC-JPMorgan Chase Bank NA) | | | | | | | | |
0.13%, 01/07/13† | | | 7,600,000 | | | | 7,600,000 | |
New York City Municipal Water Finance Authority, Water and Sewer System, Revenue Bond, Sub Series B-1 | | | | | | | | |
0.11%, 01/07/13† | | | 6,800,000 | | | | 6,800,000 | |
New York Housing Finance Agency, 10 Barclay Street Housing, Revenue Bond, Series A | | | | | | | | |
0.12%, 01/07/13† | | | 10,000,000 | | | | 10,000,000 | |
New York Housing Finance Agency, Biltmore Tower Housing Project, Revenue Bond, Series A | | | | | | | | |
0.15%, 01/07/13† | | | 4,000,000 | | | | 4,000,000 | |
New York Housing Finance Agency, The Victory Housing, Revenue Bond, Series 2001-A | | | | | | | | |
0.15%, 01/07/13† | | | 2,700,000 | | | | 2,700,000 | |
New York State Dormitory Authority, City University, Revenue Bond, Series B | | | | | | | | |
0.12%, 01/07/13† | | | 10,000,000 | | | | 10,000,000 | |
New York State Housing Finance Agency, 10 Liberty Housing, Revenue Bond, Series A | | | | | | | | |
0.11%, 01/16/13† | | | 18,000,000 | | | | 18,000,000 | |
Pennsylvania Higher Educational Facilities Authority, Thomas Jefferson University, Revenue Bond, Series B (LOC-JP Morgan Chase Bank NA) | | | | | | | | |
0.15%, 01/07/13† | | | 4,800,000 | | | | 4,800,000 | |
Sacramento Housing Authority, Multifamily Housing, The Lofts at Natomas Apartments, Revenue Bond, Series F | | | | | | | | |
0.16%, 01/07/13† | | | 10,190,000 | | | | 10,190,000 | |
State of Texas, Veterans’ Housing Assistance Program, General Obligation, Series A-2 | | | | | | | | |
0.17%, 01/07/13† | | | 7,700,000 | | | | 7,700,000 | |
Wisconsin Housing & Economic Development Authority, Revenue Bond, Series B (LOC-Fannie Mae, Freddie Mac) | | | | | | | | |
0.15%, 01/07/13† | | | 6,700,000 | | | | 6,700,000 | |
| | | | | | | | |
Total Municipal Bonds
(Cost $198,614,000) | | | | | | | 198,614,000 | |
| | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 75 |
| | | | | | | | | | |
| | | Par | | | Value | |
TIME DEPOSIT — 0.5% | |
Bank of Nova Scotia | | | | | | | | | | |
0.01%, 01/02/13 | | | | | | | | | | |
(Cost $6,444,000) | | $ | 6,444,000 | | | | | $ | 6,444,000 | |
| | | | | | | | | | |
U.S. TREASURY OBLIGATIONS — 13.7% | |
U.S. Treasury Bills | | | | | | | | | | |
0.15%, 04/18/13 | | | 7,000,000 | | | | | | 6,996,879 | |
0.15%, 04/25/13 | | | 37,000,000 | | | | | | 36,982,291 | |
0.15%, 05/09/13 | | | 44,000,000 | | | | | | 43,976,773 | |
0.12%, 06/27/13 | | | 20,000,000 | | | | | | 19,987,954 | |
| | | | | | | | | | |
| | | | | | | | | 107,943,897 | |
| | | | | | | | | | |
U.S. Treasury Notes | | | | | | | | | | |
0.63%, 02/28/13 | | | 30,000,000 | | | | | | 30,020,540 | |
0.50%, 05/31/13 | | | 15,000,000 | | | | | | 15,017,175 | |
0.38%, 06/30/13 | | | 17,000,000 | | | | | | 17,011,419 | |
| | | | | | | | | | |
| | | | | | | | | 62,049,134 | |
| | | | | | | | | | |
Total U.S. Treasury Obligations
(Cost $169,993,031) | | | | | | 169,993,031 | |
| | | | | | | | | | |
TOTAL INVESTMENTS — 99.9%
(Cost $1,236,905,789) | | | 1,236,905,789 | |
Other Assets in Excess of Liabilities — 0.1% | | | | | | 1,513,733 | |
| | | | | | | | | | |
NET ASSETS —100.0% | | | | | $ | 1,238,419,522 | |
| | | | | | | | | | |
PORTFOLIO SUMMARY (based on net assets)
| | | | |
| | | % | |
| | | | |
Commercial Paper | | | 36.9 | |
Certificates of Deposit | | | 23.4 | |
Municipal Bonds | | | 16.1 | |
U.S. Treasury Obligations | | | 13.7 | |
Agency Obligations | | | 9.3 | |
Time Deposit | | | 0.5 | |
| | | | |
| | | 99.9 | |
| | | | |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2012, 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 | | | $ | 115,241,815 | | | | $ | — | | | | $ | 115,241,815 | | | | $ | — | |
Certificates of Deposit | | | | 289,999,569 | | | | | — | | | | | 289,999,569 | | | | | — | |
Commercial Paper | | | | 456,613,374 | | | | | — | | | | | 456,613,374 | | | | | — | |
Municipal Bonds | | | | 198,614,000 | | | | | — | | | | | 198,614,000 | | | | | — | |
Time Deposit | | | | 6,444,000 | | | | | — | | | | | 6,444,000 | | | | | — | |
U.S. Treasury Obligations | | | | 169,993,031 | | | | | — | | | | | 169,993,031 | | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | | $ | 1,236,905,789 | | | | $ | — | | | | $ | 1,236,905,789 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
| 76 | | See Notes to Financial Statements. | | |
Low-Duration Bond Fund
Throughout most of 2012, macroeconomic and geopolitical events seemed to dominate the headlines, causing vast changes in investor sentiment and volatility in the capital markets. During the year, the capital markets were absorbing a great deal of information related to the European financial crisis, domestic economic growth, the resolution to the U.S. “fiscal cliff “ and the U.S. Presidential election. Underneath these clouds of uncertainty, the capital markets quietly shrugged off these issues and posted positive annual returns that were higher than many pundits thought at the beginning of the year. During the year, riskier asset classes such as equities, high yield bonds and emerging markets debt dominated as investors were willing to take on more risk in the low interest rate environment. This behavior was somewhat explained by improving corporate fundamentals and the fact that monetary/fiscal policies implemented around the globe had greatly reduced the probability of a “left-tail event” (or a severe global recession). The broad domestic bond market, as measured by the Barclays Capital U.S. Aggregate Bond Index, posted an annual return of 4.22%. In comparison, the S&P 500® Index, a broad performance measure of U.S. stocks, was up 16.00% for the year.
Despite the macroeconomic headwinds and an increase in investors’ risk appetite, all major bond market sectors posted positive returns for the year, led by riskier sectors. Throughout the year, U.S. Treasury yields remained at historically low levels across the yield curve. Short-term rates remained low in response to the Federal Reserve’s implementation of a near zero federal funds rate for the foreseeable future and the implementation of non-traditional strategies such as Operation Twist and the third round of quantitative easing (QE3). Market forces, lack of inflationary pressures and Federal Reserve policies kept mid- and longer-dated U.S. Treasury yields relatively unchanged during the year. The U.S. Treasury sector was one of the worst performing bond sectors during the year as it was negatively impacted by the “risk on” and low yield environment. As a sector, U.S. Treasuries posted an annual return of 1.99%, with longer-dated U.S. Treasuries posting a slightly higher annual return of 3.78%. Shorter-term U.S. Treasuries, as measured by the Bank of America Merrill Lynch 1-3 Year Treasury Index, generated a one-year return of 0.43%. The year ended with Treasury yields at remarkably low levels with the yield on the 10-year U.S. Treasury bond at 1.76% and the 30-year U.S. Treasury bond at 2.95%.
With investors willing to take on more risk for the potential of higher return, non-U.S. Treasury bonds (bonds that trade at a risk premium or “spread” to U.S. Treasuries) outpaced U.S. Treasury securities during 2012. Generally, lower quality bonds outpaced higher quality bonds while longer maturity bonds typically outperformed shorter maturity bonds. Non-U.S. Treasury bond sector returns varied by risk. The Barclays Capital U.S. Aggregate - Investment Grade (defined by credit quality of BBB- or higher) produced an annual return of 9.82%. Corporate bonds benefited from improving underlying corporate fundamentals, strong balance sheets and high investor demand. Within the corporate bond sector, the Barclays Capital U.S. Aggregate - Investment Grade Financial Index led with an annual return of 14.65%. The Barclays Capital U.S. High Yield - Corporate Index (defined by below investment grade corporate bonds) generated an annual return of 15.81%, benefitting from strong corporate fundamentals and a historically low default rate environment. Emerging markets debt was another top performer, as the JP Morgan EMBI+ Index generated an annual return of 18.04%, which outpaced U.S. stocks for the year.
The Fund invested in a diversified portfolio composed primarily of investment grade fixed income securities with an average dollar-weighted duration (a measure of bond prices’ sensitivity to changes in interest rates) normally between one to three years. The GS4 Class of the Fund outpaced its all-U.S. Treasury benchmark index, the Bank of America Merrill Lynch 1-3 Year Treasury Index, for the one-year period ended December 31, 2012 (4.15% versus 0.43%). In an effort to outperform its benchmark index, the Fund tactically utilized spread sectors that traded at a yield premium relative to their U.S. Treasury counterparts. During the year, the Fund maintained diversified exposure to multiple spread sectors including, but not limited to, corporate bonds, mortgage-backed securities, emerging markets debt and high yield. The higher yield orientation and spread compression in these sectors added value relative to the benchmark index.
Other strategies involving derivatives were utilized during the year resulting in an overall modest impact to performance. U.S. Treasury futures contracts were used for the purpose of duration management and yield curve positioning strategies. Overall, these positions had little impact on performance and were primarily used for structure purposes. Currency forwards contracts were utilized to hedge out of the euro while gaining long exposure to the Norwegian krone, Mexican peso and Brazilian real. These currency strategies added very modest value relative to the benchmark index. Credit default swaps, on both indexes and individual corporate bonds, were used to take advantage of the yield narrowing environment which added value. In an effort to gain exposure to non-U.S. interest rates and duration, interest rate swaps added value as rates fell in Mexico, Brazil, Australia and Europe. Exposure to a non-U.S. government futures contract modestly detracted from performance.
During the year, the Fund remained true to its overall objective of seeking current income consistent with conservation of capital.
77
Low-Duration Bond Fund
This Fund may be suitable for investors who have a short-term investment horizon, seek an investment return that is relatively stable and want to diversify their portfolio with a fixed income investment option. This Fund is subject to interest rate risk. Meaning, when interest rates rise, the value of the existing bonds decrease and vice versa. Changes in interest rates have a bigger impact on long duration holdings than on short duration holdings. To the extent that the investment adviser misjudges current market conditions, the Fund’s volatility may be amplified by its use of short sales and derivatives and by its ability to select sub-advisers to allocate assets. Short sales by a fund theoretically involve unlimited loss potential since the market price of securities sold short may continuously increase. Leverage may increase the risk of loss and cause fluctuations in the market value of the Fund’s portfolio to have disproportionately large effects or cause the net asset value of the Fund generally to decline faster than it would otherwise.
Please see page 91 for information regarding specific portfolio allocations. Portfolio holdings are subject to change and risk at any time.
78
Low-Duration Bond Fund
| | | | | | |
| Average Annual Total Returns as of 12/31/12 |
| | | GS2 Class* | | GS4 Class* | | Benchmark** |
One Year | | 4.35% | | 4.15% | | 0.43% |
Five Year | | 3.89% | | 3.70% | | 2.32% |
Ten Year | | 3.52% | | 3.35% | | 2.72% |
Inception Date | | 08/27/01 | | 08/27/01 | | |
Total Fund Operating Expenses (April 28, 2012 Prospectus, as amended on November 30, 2012)(1) | | 0.43% | | 0.67% | | |
(1)Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph compares the results of a hypothetical $10,000 investment in the GS4 Class of the Fund for the 10 year period from December 31, 2002 to December 31, 2012, with all dividends and capital gains reinvested, with the Bank of America Merrill Lynch 1-3 Year Treasury Index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
**The Bank of America Merrill Lynch 1-3 Year Treasury Index is composed of all U.S. Treasury Notes and Bonds with maturities greater than or equal to one year and less than three years.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
79
| | |
LOW-DURATION BOND FUND SCHEDULE OF INVESTMENTS | | December 31, 2012 |
| | | | | | | | | | | | |
| | | Par | | | Value | |
AGENCY OBLIGATIONS — 0.9% | |
Federal National Mortgage
Association | | | | | | | | | | | | |
0.75%, 12/19/14D | | | | $ | 5,000,000 | | | | | $ | 5,041,730 | |
1.09%, 04/04/16 | | | | | 2,305,000 | | | | | | 2,310,491 | |
Small Business Administration | | | | | | | | | | | | |
6.95%, 11/01/16 | | | | | 163,753 | | | | | | 174,311 | |
| | | | | | | | | | | | |
Total Agency Obligations
(Cost $7,469,786) | | | | | | | | | | | 7,526,532 | |
| | | | | | | | | | | | |
ASSET-BACKED SECURITIES — 8.7% | |
AH Mortgage Advance Trust | | | | | | | | | | | | |
2.98%, 03/13/43 144A | | | | | 990,000 | | | | | | 994,243 | |
Aircraft Certificate Owner
Trust 2003 | | | | | | | | | | | | |
6.46%, 09/20/22 144A | | | | | 534,180 | | | | | | 543,528 | |
AmeriCredit Automobile
Receivables Trust | | | | | | | | | | | | |
1.39%, 09/08/15 | | | | | 414,670 | | | | | | 416,513 | |
1.23%, 09/08/16 | | | | | 1,665,000 | | | | | | 1,679,800 | |
4.04%, 07/10/17 | | | | | 1,226,000 | | | | | | 1,300,424 | |
1.31%, 11/08/17 | | | | | 370,000 | | | | | | 371,517 | |
3.38%, 04/09/18 | | | | | 790,000 | | | | | | 819,525 | |
2.35%, 12/10/18 | | | | | 610,000 | | | | | | 609,955 | |
Asset-Backed Securities
Corporation Home Equity | | | | | | | | | | | | |
0.48%, 09/25/34† | | | | | 100,868 | | | | | | 96,883 | |
Bear Stearns Asset-Backed
Securities Trust | | | | | | | | | | | | |
1.21%, 10/25/37† | | | | | 881,767 | | | | | | 708,369 | |
0.40%, 01/25/47† | | | | | 538,041 | | | | | | 529,806 | |
BNC Mortgage Loan Trust | | | | | | | | | | | | |
0.33%, 11/25/36† | | | | | 333,934 | | | | | | 326,570 | |
0.27%, 03/25/37† | | | | | 406,024 | | | | | | 392,943 | |
CenterPoint Energy Transition
Bond Co., LLC | | | | | | | | | | | | |
0.90%, 04/15/18 | | | | | 1,435,168 | | | | | | 1,446,649 | |
Chester Asset Receivables
Dealings PLC | | | | | | | | | | | | |
0.71%, 04/15/16(U)† | | | | | 730,000 | | | | | | 1,185,023 | |
Citibank Omni Master Trust | | | | | | | | | | | | |
2.96%, 08/15/18 144A† | | | | | 2,758,000 | | | | | | 2,869,109 | |
Conseco Financial Corporation | | | | | | | | | | | | |
6.04%, 11/01/29 | | | | | 11,933 | | | | | | 12,580 | |
Credit Acceptance
Auto Loan Trust | | | | | | | | | | | | |
2.61%, 03/15/19 144A | | | | | 1,120,000 | | | | | | 1,139,261 | |
Crusade ABS Trust | | | | | | | | | | | | |
4.11%, 07/12/23(A)† | | | | | 1,600,000 | | | | | | 1,658,087 | |
CSAB Mortgage Backed Trust | | | | | | | | | | | | |
5.72%, 09/25/36 STEP | | | | | 669,297 | | | | | | 547,003 | |
Discover Card Master Trust | | | | | | | | | | | | |
0.81%, 08/15/17 | | | | | 1,100,000 | | | | | | 1,106,090 | |
DT Auto Owner Trust | | | | | | | | | | | | |
0.91%, 11/16/15 144A | | | | | 1,143,584 | | | | | | 1,144,174 | |
1.85%, 04/17/17 144A | | | | | 1,620,000 | | | | | | 1,622,470 | |
Enterprise Fleet Financing LLC | | | | | | | | | | | | |
1.14%, 11/20/17 144A | | | | | 2,200,000 | | | | | | 2,213,441 | |
FHLMC Structured
Pass-Through Securities | | | | | | | | | | | | |
0.47%, 08/25/31† | | | | | 736,162 | | | | | | 717,256 | |
First Investors Auto
Owner Trust | | | | | | | | | | | | |
3.40%, 03/15/16 144A | | | | | 700,000 | | | | | | 704,969 | |
Ford Credit Auto Owner Trust | | | | | | | | | | | | |
2.98%, 08/15/14 | | | | | 838,592 | | | | | | 845,060 | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
Ford Credit Floorplan
Master Owner Trust | | | | | | | | | | | | |
2.07%, 09/15/15 144A | | | | $ | 345,000 | | | | | $ | 347,209 | |
2.37%, 09/15/15 | | | | | 445,000 | | | | | | 448,787 | |
2.86%, 09/15/15 | | | | | 450,000 | | | | | | 450,965 | |
1.39%, 09/15/16 | | | | | 790,000 | | | | | | 793,101 | |
2.14%, 09/15/17 | | | | | 265,000 | | | | | | 265,978 | |
GE Capital Credit Card
Master Note Trust | | | | | | | | | | | | |
1.03%, 01/15/18 | | | | | 1,500,000 | | | | | | 1,515,648 | |
Globaldrive BV | | | | | | | | | | | | |
0.86%, 04/20/19 144A(E)† | | | | | 490,343 | | | | | | 651,331 | |
Gracechurch Card Funding PLC | | | | | | | | | | | | |
0.91%, 02/15/17 144A† | | | | | 1,050,000 | | | | | | 1,056,727 | |
0.91%, 02/15/17 144A(E)† | | | | | 800,000 | | | | | | 1,067,021 | |
Huntington Auto Trust | | | | | | | | | | | | |
0.38%, 09/15/15 | | | | | 2,395,000 | | | | | | 2,395,287 | |
Hyundai Auto Receivables Trust | | | | | | | | | | | | |
1.39%, 03/15/18 | | | | | 450,000 | | | | | | 457,647 | |
Hyundai Capital Auto
Funding, Ltd. | | | | | | | | | | | | |
1.21%, 09/20/16 144A† | | | | | 1,320,088 | | | | | | 1,322,860 | |
IFC SBA Loan-Backed
Adjustable Rate Certificate | | | | | | | | | | | | |
1.25%, 01/15/24 144A† | | | | | 122,256 | | | | | | 122,256 | |
LA Arena Funding LLC | | | | | | | | | | | | |
7.66%, 12/15/26 144A | | | | | 384,304 | | | | | | 422,601 | |
Magnolia Funding, Ltd. | | | | | | | | | | | | |
3.00%, 04/20/17 144A(E) | | | | | 111,860 | | | | | | 147,774 | |
Mercedes-Benz Master
Owner Trust | | | | | | | | | | | | |
0.79%, 11/15/17 144A | | | | | 1,230,000 | | | | | | 1,229,170 | |
MMAF Equipment
Finance LLC | | | | | | | | | | | | |
1.27%, 09/15/15 144A | | | | | 1,345,000 | | | | | | 1,351,677 | |
Motor PLC | | | | | | | | | | | | |
1.29%, 02/25/20 144A | | | | | 252,000 | | | | | | 252,491 | |
Penarth Master Issuer PLC | | | | | | | | | | | | |
0.78%, 03/18/14 144A† | | | | | 600,000 | | | | | | 601,236 | |
0.86%, 05/18/15 144A† | | | | | 610,000 | | | | | | 610,783 | |
Red & Black Auto France | | | | | | | | | | | | |
0.96%, 12/28/21(E)† | | | | | 970,731 | | | | | | 1,287,562 | |
Santander Consumer Acquired
Receivables Trust | | | | | | | | | | | | |
1.40%, 10/15/14 144A | | | | | 767,201 | | | | | | 768,410 | |
1.66%, 08/15/16 144A | | | | | 604,637 | | | | | | 607,055 | |
2.01%, 08/15/16 144A | | | | | 492,906 | | | | | | 495,260 | |
Santander Drive Auto
Receivables Trust | | | | | | | | | | | | |
1.37%, 03/16/15 | | | | | 494,788 | | | | | | 496,227 | |
2.06%, 06/15/17 144A | | | | | 179,479 | | | | | | 180,301 | |
2.86%, 06/15/17 144A | | | | | 185,105 | | | | | | 186,114 | |
1.94%, 03/15/18 | | | | | 270,000 | | | | | | 270,144 | |
3.64%, 05/15/18 | | | | | 1,125,000 | | | | | | 1,168,783 | |
2.70%, 08/15/18 | | | | | 300,000 | | | | | | 305,483 | |
1.78%, 11/15/18 144A | | | | | 770,000 | | | | | | 769,824 | |
2.46%, 12/17/18 144A | | | | | 595,000 | | | | | | 594,834 | |
SLC Student Loan Trust | | | | | | | | | | | | |
0.46%, 01/15/19† | | | | | 387,526 | | | | | | 386,965 | |
SLM Student Loan Trust | | | | | | | | | | | | |
0.32%, 07/25/17† | | | | | 611,393 | | | | | | 610,489 | |
1.86%, 12/15/17 144A† | | | | | 374,577 | | | | | | 376,037 | |
1.62%, 01/25/18† | | | | | 3,975,000 | | | | | | 4,050,557 | |
0.51%, 06/15/21† | | | | | 964,032 | | | | | | 951,222 | |
1.31%, 12/15/21 144A† | | | | | 391,928 | | | | | | 394,930 | |
| | | | |
| 80 | | See Notes to Financial Statements. | | |
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Par | | | Value | |
0.71%, 03/15/22† | | | | $ | 659,479 | | | | | $ | 647,347 | |
1.31%, 08/15/23 144A† | | | | | 1,469,289 | | | | | | 1,481,623 | |
0.96%, 10/16/23 144A† | | | | | 501,473 | | | | | | 501,473 | |
0.43%, 10/25/24† | | | | | 750,000 | | | | | | 747,488 | |
3.50%, 08/17/43 144A†@ | | | | | 4,137,134 | | | | | | 4,003,273 | |
3.46%, 05/16/44 144A† | | | | | 2,963,877 | | | | | | 3,123,636 | |
Soundview Home Equity Loan Trust | | | | | | | | | | | | |
1.06%, 08/25/31† | | | | | 207,447 | | | | | | 205,865 | |
Structured Asset Securities Corporation | | | | | | | | | | | | |
1.71%, 04/25/35† | | | | | 809,594 | | | | | | 776,045 | |
Volkswagen Auto Loan Enhanced Trust | | | | | | | | | | | | |
0.46%, 01/20/17 | | | | | 3,375,000 | | | | | | 3,374,862 | |
Wells Fargo Home Equity Trust | | | | | | | | | | | | |
0.30%, 04/25/37† | | | | | 228,574 | | | | | | 224,263 | |
| | | | | | | | | | | | |
Total Asset-Backed Securities
(Cost $70,262,639) | | | | | | 70,497,869 | |
| | | | | | | | | | | | |
COMMERCIAL PAPER — 0.2% | |
Abu Dhabi Commercial Bank | | | | | | | | | | | | |
0.30%, 03/11/13(J) | | | | | | | | | | | | |
(Cost $1,278,247) | | | | | 100,000,000 | | | | | | 1,152,675 | |
| | | | | | | | | | | | |
CORPORATE BONDS — 21.2% | |
ABB Treasury Center, Inc. | | | | | | | | | | | | |
2.50%, 06/15/16 144A | | | | | 700,000 | | | | | | 728,447 | |
AbbVie, Inc. | | | | | | | | | | | | |
1.20%, 11/06/15 144A | | | | | 1,150,000 | | | | | | 1,158,490 | |
1.75%, 11/06/17 144AD | | | | | 1,130,000 | | | | | | 1,143,614 | |
AEP Texas Central Transition Funding LLC | | | | | | | | | | | | |
4.98%, 07/01/15 | | | | | 641,041 | | | | | | 642,602 | |
Aflac, Inc. | | | | | | | | | | | | |
2.65%, 02/15/17D | | | | | 2,140,000 | | | | | | 2,251,813 | |
Allstate Corporation | | | | | | | | | | | | |
6.20%, 05/16/14 | | | | | 300,000 | | | | | | 322,291 | |
American Express Centurion Bank | | | | | | | | | | | | |
0.88%, 11/13/15 | | | | | 1,063,000 | | | | | | 1,062,968 | |
American Express Credit Corporation | | | | | | | | | | | | |
1.16%, 06/24/14† | | | | | 920,000 | | | | | | 928,594 | |
1.75%, 06/12/15D | | | | | 940,000 | | | | | | 960,261 | |
American Honda Finance Corporation | | | | | | | | | | | | |
1.45%, 02/27/15 144AD | | | | | 910,000 | | | | | | 925,006 | |
American International Group, Inc. | | | | | | | | | | | | |
0.38%, 07/19/13(E)† | | | | | 400,000 | | | | | | 527,450 | |
3.75%, 11/30/13 144A | | | | | 400,000 | | | | | | 410,420 | |
3.00%, 03/20/15D | | | | | 3,665,000 | | | | | | 3,815,540 | |
2.38%, 08/24/15 | | | | | 320,000 | | | | | | 329,526 | |
4.88%, 09/15/16D | | | | | 100,000 | | | | | | 111,944 | |
8.25%, 08/15/18 144A | | | | | 1,350,000 | | | | | | 1,777,923 | |
AmeriGas Partners LP | | | | | | | | | | | | |
6.25%, 08/20/19D | | | | | 500,000 | | | | | | 537,500 | |
Astoria Financial Corporation | | | | | | | | | | | | |
5.00%, 06/19/17D | | | | | 770,000 | | | | | | 819,053 | |
AT&T, Inc. | | | | | | | | | | | | |
0.88%, 02/13/15 | | | | | 1,040,000 | | | | | | 1,045,422 | |
Autodesk, Inc. | | | | | | | | | | | | |
1.95%, 12/15/17D | | | | | 350,000 | | | | | | 348,669 | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
AutoZone, Inc. | | | | | | | | | | | | |
5.50%, 11/15/15 | | | | $ | 525,000 | | | | | $ | 590,543 | |
Ball Corporation | | | | | | | | | | | | |
7.13%, 09/01/16 | | | | | 280,000 | | | | | | 301,000 | |
Bank of America Corporation | | | | | | | | | | | | |
3.75%, 07/12/16 | | | | | 920,000 | | | | | | 984,228 | |
3.88%, 03/22/17 | | | | | 1,860,000 | | | | | | 2,019,183 | |
6.00%, 09/01/17 | | | | | 885,000 | | | | | | 1,037,422 | |
5.65%, 05/01/18 | | | | | 420,000 | | | | | | 489,218 | |
Bank of New York Mellon Corporation | | | | | | | | | | | | |
4.30%, 05/15/14 | | | | | 790,000 | | | | | | 830,543 | |
BB&T Corporation | | | | | | | | | | | | |
3.38%, 09/25/13D | | | | | 400,000 | | | | | | 408,392 | |
1.01%, 04/28/14† | | | | | 310,000 | | | | | | 312,050 | |
1.60%, 08/15/17 | | | | | 755,000 | | | | | | 764,900 | |
Capital One Capital VI | | | | | | | | | | | | |
8.88%, 05/15/40 | | | | | 415,000 | | | | | | 415,000 | |
Capital One Financial Corporation | | | | | | | | | | | | |
2.13%, 07/15/14 | | | | | 600,000 | | | | | | 611,019 | |
1.00%, 11/06/15 | | | | | 920,000 | | | | | | 917,533 | |
Caterpillar Financial Services Corporation | | | | | | | | | | | | |
0.70%, 11/06/15D | | | | | 1,160,000 | | | | | | 1,157,851 | |
CC Holdings GS V LLC | | | | | | | | | | | | |
2.38%, 12/15/17 144A | | | | | 300,000 | | | | | | 301,817 | |
Citigroup, Inc. | | | | | | | | | | | | |
2.31%, 08/13/13† | | | | | 700,000 | | | | | | 706,829 | |
6.00%, 12/13/13 | | | | | 300,000 | | | | | | 314,432 | |
2.25%, 08/07/15D | | | | | 730,000 | | | | | | 748,084 | |
4.45%, 01/10/17D | | | | | 1,250,000 | | | | | | 1,386,035 | |
CMS Energy Corporation | | | | | | | | | | | | |
4.25%, 09/30/15 | | | | | 255,000 | | | | | | 271,845 | |
Computer Sciences Corporation | | | | | | | | | | | | |
2.50%, 09/15/15D | | | | | 848,000 | | | | | | 865,232 | |
ConAgra Foods, Inc. | | | | | | | | | | | | |
1.35%, 09/10/15D | | | | | 160,000 | | | | | | 160,100 | |
Consumers Energy Co. | | | | | | | | | | | | |
5.00%, 03/15/15 | | | | | 469,000 | | | | | | 512,125 | |
Continental Airlines 2010-1
Class B Pass Through Trust | | | | | | | | | | | | |
6.00%, 01/12/19 | | | | | 652,586 | | | | | | 667,269 | |
Corning, Inc. | | | | | | | | | | | | |
1.45%, 11/15/17 | | | | | 250,000 | | | | | | 251,278 | |
Coventry Health Care, Inc. | | | | | | | | | | | | |
5.95%, 03/15/17 | | | | | 575,000 | | | | | | 670,014 | |
Daimler Finance NA LLC | | | | | | | | | | | | |
0.92%, 03/28/14 144A† | | | | | 2,600,000 | | | | | | 2,606,284 | |
1.95%, 03/28/14 144A | | | | | 1,120,000 | | | | | | 1,134,474 | |
1.30%, 07/31/15 144A | | | | | 500,000 | | | | | | 503,220 | |
Danaher Corporation | | | | | | | | | | | | |
1.30%, 06/23/14 | | | | | 300,000 | | | | | | 303,401 | |
Digital Realty Trust LP | | | | | | | | | | | | |
4.50%, 07/15/15 | | | | | 425,000 | | | | | | 452,474 | |
DIRECTV Holdings LLC | | | | | | | | | | | | |
4.75%, 10/01/14 | | | | | 680,000 | | | | | | 726,356 | |
Dollar General Corporation | | | | | | | | | | | | |
4.13%, 07/15/17D | | | | | 1,430,000 | | | | | | 1,508,650 | |
Duke Energy Corporation | | | | | | | | | | | | |
1.63%, 08/15/17 | | | | | 1,500,000 | | | | | | 1,505,586 | |
Duke Realty LP | | | | | | | | | | | | |
5.40%, 08/15/14 | | | | | 440,000 | | | | | | 467,526 | |
| | | | |
| | See Notes to Financial Statements. | | 81 |
| | | | | | | | | | | | |
| | | Par | | | Value | |
Dun & Bradstreet Corporation | | | | | | | | | | | | |
3.25%, 12/01/17 | | | | $ | 333,000 | | | | | $ | 336,907 | |
Eastman Chemical Co. | | | | | | | | | | | | |
2.40%, 06/01/17D | | | | | 400,000 | | | | | | 413,730 | |
Eaton Corporation | | | | | | | | | | | | |
0.95%, 11/02/15 144AD | | | | | 450,000 | | | | | | 451,683 | |
Enterprise Products
Operating LLC | | | | | | | | | | | | |
1.25%, 08/13/15 | | | | | 230,000 | | | | | | 231,561 | |
EOG Resources, Inc. | | | | | | | | | | | | |
1.06%, 02/03/14† | | | | | 2,900,000 | | | | | | 2,921,040 | |
Equifax, Inc. | | | | | | | | | | | | |
4.45%, 12/01/14D | | | | | 140,000 | | | | | | 147,680 | |
ERAC USA Finance LLC | | | | | | | | | | | | |
2.75%, 07/01/13 144AD | | | | | 370,000 | | | | | | 373,980 | |
2.25%, 01/10/14 144A | | | | | 330,000 | | | | | | 333,446 | |
1.40%, 04/15/16 144A | | | | | 490,000 | | | | | | 493,680 | |
Exelon Generation Co., LLC | | | | | | | | | | | | |
5.35%, 01/15/14 | | | | | 808,000 | | | | | | 845,386 | |
6.20%, 10/01/17 | | | | | 655,000 | | | | | | 774,310 | |
Express Scripts Holding Co. | | | | | | | | | | | | |
2.10%, 02/12/15 144A | | | | | 280,000 | | | | | | 285,371 | |
Federal Express Corporation
2012 Pass-Through Trust | | | | | | | | | | | | |
2.63%, 01/15/18 144A | | | | | 587,000 | | | | | | 592,703 | |
Ford Motor Credit Co., LLC | | | | | | | | | | | | |
3.88%, 01/15/15 | | | | | 505,000 | | | | | | 526,894 | |
12.00%, 05/15/15 | | | | | 2,364,000 | | | | | | 2,919,540 | |
8.00%, 12/15/16 | | | | | 1,820,000 | | | | | | 2,202,142 | |
3.00%, 06/12/17D | | | | | 560,000 | | | | | | 575,955 | |
6.63%, 08/15/17 | | | | | 830,000 | | | | | | 970,809 | |
Freeport-McMoRan
Copper & Gold, Inc. | | | | | | | | | | | | |
1.40%, 02/13/15D | | | | | 200,000 | | | | | | 199,684 | |
2.15%, 03/01/17 | | | | | 210,000 | | | | | | 211,325 | |
General Electric Capital
Corporation | | | | | | | | | | | | |
0.98%, 04/07/14† | | | | | 700,000 | | | | | | 704,001 | |
5.90%, 05/13/14 | | | | | 460,000 | | | | | | 493,152 | |
3.75%, 11/14/14D | | | | | 660,000 | | | | | | 696,257 | |
2.15%, 01/09/15D | | | | | 960,000 | | | | | | 986,537 | |
1.00%, 12/11/15 | | | | | 2,000,000 | | | | | | 2,009,500 | |
2.10%, 12/11/19D | | | | | 500,000 | | | | | | 502,220 | |
General Motors
Financial Co., Inc. | | | | | | | | | | | | |
4.75%, 08/15/17 144AD | | | | | 800,000 | | | | | | 842,063 | |
Genzyme Corporation | | | | | | | | | | | | |
3.63%, 06/15/15 | | | | | 395,000 | | | | | | 423,455 | |
George Washington
University | | | | | | | | | | | | |
1.83%, 09/15/17 | | | | | 3,100,000 | | | | | | 3,160,682 | |
Gilead Sciences, Inc. | | | | | | | | | | | | |
2.40%, 12/01/14 | | | | | 280,000 | | | | | | 288,879 | |
Goldman Sachs Group, Inc. | | | | | | | | | | | | |
1.31%, 02/07/14† | | | | | 910,000 | | | | | | 912,907 | |
3.30%, 05/03/15 | | | | | 1,460,000 | | | | | | 1,522,552 | |
0.54%, 05/23/16(E)† | | | | | 2,900,000 | | | | | | 3,682,686 | |
6.25%, 09/01/17 | | | | | 2,730,000 | | | | | | 3,223,677 | |
5.95%, 01/18/18 | | | | | 2,050,000 | | | | | | 2,388,213 | |
Harley-Davidson Financial
Services, Inc. | | | | | | | | | | | | |
1.15%, 09/15/15 144A | | | | | 340,000 | | | | | | 341,119 | |
Hartford Financial Services
Group, Inc. | | | | | | | | | | | | |
4.00%, 03/30/15 | | | | | 320,000 | | | | | | 338,322 | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
HCP, Inc. | | | | | | | | | | | | |
2.70%, 02/01/14D | | | | $ | 210,000 | | | | | $ | 213,826 | |
Health Care REIT, Inc. | | | | | | | | | | | | |
6.00%, 11/15/13 | | | | | 540,000 | | | | | | 563,589 | |
Hewlett-Packard Co. | | | | | | | | | | | | |
0.59%, 05/24/13† | | | | | 4,820,000 | | | | | | 4,806,514 | |
2.63%, 12/09/14 | | | | | 590,000 | | | | | | 597,224 | |
2.35%, 03/15/15D | | | | | 800,000 | | | | | | 803,991 | |
2.20%, 12/01/15D | | | | | 625,000 | | | | | | 626,294 | |
HSBC USA, Inc. | | | | | | | | | | | | |
2.38%, 02/13/15 | | | | | 400,000 | | | | | | 411,663 | |
Hyundai Capital America | | | | | | | | | | | | |
1.63%, 10/02/15 144AD | | | | | 500,000 | | | | | | 503,342 | |
3.75%, 04/06/16 144A | | | | | 190,000 | | | | | | 200,634 | |
Ingredion, Inc. | | | | | | | | | | | | |
3.20%, 11/01/15 | | | | | 200,000 | | | | | | 210,081 | |
Intel Corporation | | | | | | | | | | | | |
1.35%, 12/15/17 | | | | | 2,340,000 | | | | | | 2,342,115 | |
International Lease Finance
Corporation | | | | | | | | | | | | |
4.88%, 04/01/15 | | | | | 550,000 | | | | | | 571,356 | |
Interpublic Group of Cos., Inc. | | | | | | | | | | | | |
6.25%, 11/15/14 | | | | | 790,000 | | | | | | 859,125 | |
2.25%, 11/15/17D | | | | | 473,000 | | | | | | 466,728 | |
Jabil Circuit, Inc. | | | | | | | | | | | | |
7.75%, 07/15/16D | | | | | 295,000 | | | | | | 348,100 | |
JB Hunt Transport
Services, Inc. | | | | | | | | | | | | |
3.38%, 09/15/15 | | | | | 550,000 | | | | | | 565,729 | |
JPMorgan Chase & Co. | | | | | | | | | | | | |
3.70%, 01/20/15 | | | | | 1,000,000 | | | | | | 1,053,404 | |
2.00%, 08/15/17D | | | | | 1,260,000 | | | | | | 1,288,502 | |
Kellogg Co. | | | | | | | | | | | | |
1.13%, 05/15/15D | | | | | 760,000 | | | | | | 767,817 | |
Kentucky Power Co. | | | | | | | | | | | | |
6.00%, 09/15/17 144A | | | | | 1,000,000 | | | | | | 1,161,913 | |
KeyCorp | | | | | | | | | | | | |
3.75%, 08/13/15D | | | | | 360,000 | | | | | | 385,488 | |
Kraft Foods Group, Inc. | | | | | | | | | | | | |
1.63%, 06/04/15 144A | | | | | 350,000 | | | | | | 356,431 | |
Kraft Foods, Inc. | | | | | | | | | | | | |
5.25%, 10/01/13D | | | | | 230,000 | | | | | | 237,358 | |
Kroger Co. | | | | | | | | | | | | |
2.20%, 01/15/17D | | | | | 500,000 | | | | | | 517,206 | |
Lehman Escrow Bonds | | | | | | | | | | | | |
0.00%, 03/01/42+W† | | | | | 2,600,000 | | | | | | — | |
0.00%, 12/31/99W† | | | | | 600,000 | | | | | | 141,750 | |
Lender Processing
Services, Inc. | | | | | | | | | | | | |
5.75%, 04/15/23 | | | | | 350,000 | | | | | | 364,875 | |
Life Technologies Corporation | | | | | | | | | | | | |
4.40%, 03/01/15 | | | | | 680,000 | | | | | | 725,130 | |
3.50%, 01/15/16D | | | | | 800,000 | | | | | | 842,613 | |
Lincoln National Corporation | | | | | | | | | | | | |
4.30%, 06/15/15D | | | | | 1,210,000 | | | | | | 1,302,402 | |
Marathon Oil Corporation | | | | | | | | | | | | |
0.90%, 11/01/15 | | | | | 490,000 | | | | | | 490,736 | |
Masco Corporation | | | | | | | | | | | | |
4.80%, 06/15/15 | | | | | 365,000 | | | | | | 382,553 | |
MBNA Credit Card Master
Note Trust | | | | | | | | | | | | |
5.45%, 09/18/13† | | | | | 675,000 | | | | | | 1,123,367 | |
Merrill Lynch & Co., Inc. | | | | | | | | | | | | |
5.45%, 02/05/13 | | | | | 1,500,000 | | | | | | 1,506,546 | |
| | | | |
| 82 | | See Notes to Financial Statements. | | |
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Par | | | Value | |
6.75%, 05/21/13(E) | | | | $ | 700,000 | | | | | $ | 944,088 | |
5.00%, 01/15/15 | | | | | 2,700,000 | | | | | | 2,885,819 | |
MetLife, Inc. | | | | | | | | | | | | |
2.38%, 02/06/14 | | | | | 290,000 | | | | | | 295,509 | |
Metropolitan Life Global
Funding I | | | | | | | | | | | | |
1.10%, 01/10/14 144A† | | | | | 1,000,000 | | | | | | 1,005,231 | |
Microsoft Corporation | | | | | | | | | | | | |
2.95%, 06/01/14 | | | | | 900,000 | | | | | | 933,479 | |
Morgan Stanley | | | | | | | | | | | | |
1.29%, 04/29/13† | | | | | 1,010,000 | | | | | | 1,012,371 | |
Murphy Oil Corporation | | | | | | | | | | | | |
2.50%, 12/01/17D | | | | | 1,085,000 | | | | | | 1,092,948 | |
Murray Street
Investment Trust I | | | | | | | | | | | | |
4.65%, 03/09/17 STEP | | | | | 250,000 | | | | | | 270,670 | |
National Oilwell Varco, Inc. | | | | | | | | | | | | |
1.35%, 12/01/17 | | | | | 660,000 | | | | | | 664,988 | |
National Rural Utilities
Cooperative Finance
Corporation | | | | | | | | | | | | |
1.13%, 11/01/13 | | | | | 330,000 | | | | | | 331,994 | |
1.00%, 02/02/15 | | | | | 390,000 | | | | | | 393,091 | |
NBCUniversal Media LLC | | | | | | | | | | | | |
3.65%, 04/30/15 | | | | | 550,000 | | | | | | 585,427 | |
NCUA Guaranteed Notes | | | | | | | | | | | | |
1.40%, 06/12/15 | | | | | 1,180,000 | | | | | | 1,207,105 | |
NetApp, Inc. | | | | | | | | | | | | |
2.00%, 12/15/17D | | | | | 400,000 | | | | | | 399,042 | |
New York Life Global Funding | | | | | | | | | | | | |
0.61%, 04/04/14 144A† | | | | | 1,600,000 | | | | | | 1,606,502 | |
NextEra Energy Capital
Holdings, Inc. | | | | | | | | | | | | |
2.55%, 11/15/13 | | | | | 750,000 | | | | | | 762,010 | |
1.20%, 06/01/15 | | | | | 170,000 | | | | | | 171,311 | |
Nissan Motor Acceptance
Corporation | | | | | | | | | | | | |
1.95%, 09/12/17 144A | | | | | 520,000 | | | | | | 527,694 | |
Northwest Airlines 2002-1
Class G-2 Pass Through Trust | | | | | | | | | | | | |
6.26%, 11/20/21 | | | | | 280,350 | | | | | | 297,171 | |
NYSE Euronext | | | | | | | | | | | | |
2.00%, 10/05/17D | | | | | 874,000 | | | | | | 889,496 | |
Oracle Corporation | | | | | | | | | | | | |
1.20%, 10/15/17 | | | | | 520,000 | | | | | | 522,149 | |
Overseas Private Investment
Corporation | | | | | | | | | | | | |
0.00%, 04/15/16W† | | | | | 1,600,000 | | | | | | 2,149,323 | |
PACCAR Financial Corporation | | | | | | | | | | | | |
1.55%, 09/29/14 | | | | | 470,000 | | | | | | 477,908 | |
1.05%, 06/05/15 | | | | | 220,000 | | | | | | 222,026 | |
Penske Truck Leasing Co. LP
PTL Finance Corporation | | | | | | | | | | | | |
2.50%, 07/11/14 144A | | | | | 230,000 | | | | | | 232,490 | |
3.13%, 05/11/15 144A | | | | | 1,915,000 | | | | | | 1,955,058 | |
2.50%, 03/15/16 144AD | | | | | 300,000 | | | | | | 301,038 | |
3.38%, 03/15/18 144A | | | | | 1,115,000 | | | | | | 1,123,567 | |
Petrohawk Energy Corporation | | | | | | | | | | | | |
7.25%, 08/15/18 | | | | | 1,170,000 | | | | | | 1,322,410 | |
Phillips 66 | | | | | | | | | | | | |
1.95%, 03/05/15 144AD | | | | | 210,000 | | | | | | 214,385 | |
2.95%, 05/01/17 144AD | | | | | 210,000 | | | | | | 222,792 | |
Pioneer Natural Resources Co. | | | | | | | | | | | | |
5.88%, 07/15/16 | | | | | 2,410,000 | | | | | | 2,734,885 | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
Principal Financial Group, Inc. | | | | | | | | | | | | |
1.85%, 11/15/17 | | | | $ | 445,000 | | | | | $ | 447,873 | |
Principal Life Global Funding II | | | | | | | | | | | | |
1.13%, 09/18/15 144A | | | | | 1,085,000 | | | | | | 1,087,858 | |
1.00%, 12/11/15 144A | | | | | 1,530,000 | | | | | | 1,528,849 | |
Procter & Gamble Co. | | | | | | | | | | | | |
3.50%, 02/15/15D | | | | | 200,000 | | | | | | 212,459 | |
Prudential Covered Trust 2012-1 | | | | | | | | | | | | |
3.00%, 09/30/15 144A | | | | | 760,000 | | | | | | 788,648 | |
Rock-Tenn Co. | | | | | | | | | | | | |
4.45%, 03/01/19 144A | | | | | 315,000 | | | | | | 340,306 | |
Roper Industries, Inc. | | | | | | | | | | | | |
1.85%, 11/15/17 | | | | | 653,000 | | | | | | 653,268 | |
Samsung Electronics
America, Inc. | | | | | | | | | | | | |
1.75%, 04/10/17 144A | | | | | 1,150,000 | | | | | | 1,164,708 | |
SBA Tower Trust | | | | | | | | | | | | |
4.54%, 04/15/15 144A | | | | | 510,000 | | | | | | 536,807 | |
Simon Property
Group LP REIT | �� | | | | | | | | | | | |
4.20%, 02/01/15 | | | | | 140,000 | | | | | | 148,536 | |
SLM Corporation | | | | | | | | | | | | |
5.00%, 10/01/13 | | | | | 1,380,000 | | | | | | 1,419,675 | |
SteelRiver Transmission Co., LLC | | | | | | | | | | | | |
4.71%, 06/30/17 144A | | | | | 573,768 | | | | | | 598,609 | |
Stryker Corporation | | | | | | | | | | | | |
3.00%, 01/15/15D | | | | | 450,000 | | | | | | 470,616 | |
Superior Energy Services, Inc. | | | | | | | | | | | | |
6.88%, 06/01/14D | | | | | 684,000 | | | | | | 685,710 | |
TD Ameritrade Holding
Corporation | | | | | | | | | | | | |
4.15%, 12/01/14 | | | | | 660,000 | | | | | | 703,722 | |
Tesoro Corporation | | | | | | | | | | | | |
4.25%, 10/01/17 | | | | | 550,000 | | | | | | 572,000 | |
Texas Eastern Transmission LP | | | | | | | | | | | | |
6.00%, 09/15/17 144A | | | | | 510,000 | | | | | | 611,426 | |
Texas Instruments, Inc. | | | | | | | | | | | | |
0.45%, 08/03/15D | | | | | 970,000 | | | | | | 965,694 | |
Tiers Trust United States | | | | | | | | | | | | |
2.06%, 05/12/14 144A† | | | | | 1,385,000 | | | | | | 1,388,462 | |
Time Warner, Inc. | | | | | | | | | | | | |
3.15%, 07/15/15D | | | | | 290,000 | | | | | | 306,861 | |
Toyota Motor Credit
Corporation | | | | | | | | | | | | |
1.00%, 02/17/15 | | | | | 1,460,000 | | | | | | 1,470,566 | |
0.88%, 07/17/15D | | | | | 560,000 | | | | | | 562,659 | |
Unilever Capital Corporation | | | | | | | | | | | | |
0.85%, 08/02/17 | | | | | 1,760,000 | | | | | | 1,744,218 | |
Union Bank NA | | | | | | | | | | | | |
1.26%, 06/06/14† | | | | | 3,000,000 | | | | | | 3,026,283 | |
United Air Lines 2009-1
Pass-Through Trust | | | | | | | | | | | | |
10.40%, 05/01/18D | | | | | 614,148 | | | | | | 707,007 | |
United Airline 2009-2A Pass
Through Trust | | | | | | | | | | | | |
9.75%, 07/15/18 | | | | | 733,546 | | | | | | 849,079 | |
United Technologies
Corporation | | | | | | | | | | | | |
1.20%, 06/01/15D | | | | | 220,000 | | | | | | 223,282 | |
1.80%, 06/01/17D | | | | | 870,000 | | | | | | 896,492 | |
UnitedHealth Group, Inc. | | | | | | | | | | | | |
1.40%, 10/15/17 | | | | | 210,000 | | | | | | 210,571 | |
| | | | |
| | See Notes to Financial Statements. | | 83 |
| | | | | | | | | | | | |
| | | Par | | | Value | |
Ventas Realty LP | | | | | | | | | | | | |
2.00%, 02/15/18 | | | | $ | 1,100,000 | | | | | $ | 1,102,024 | |
Vesey Street Investment Trust I | | | | | | | | | | | | |
4.40%, 09/01/16 STEP | | | | | 700,000 | | | | | | 755,992 | |
Vornado Realty LP | | | | | | | | | | | | |
4.25%, 04/01/15 | | | | | 700,000 | | | | | | 740,307 | |
Wachovia Bank NA | | | | | | | | | | | | |
4.80%, 11/01/14D | | | | | 360,000 | | | | | | 386,578 | |
Walgreen Co. | | | | | | | | | | | | |
1.00%, 03/13/15D | | | | | 460,000 | | | | | | 460,637 | |
WellPoint, Inc. | | | | | | | | | | | | |
1.25%, 09/10/15 | | | | | 440,000 | | | | | | 443,772 | |
2.38%, 02/15/17D | | | | | 1,060,000 | | | | | | 1,098,564 | |
Wells Fargo & Co. | | | | | | | | | | | | |
3.75%, 10/01/14 | | | | | 1,000,000 | | | | | | 1,054,826 | |
1.50%, 07/01/15 | | | | | 440,000 | | | | | | 447,855 | |
Western Union Co. | | | | | | | | | | | | |
2.38%, 12/10/15 | | | | | 1,000,000 | | | | | | 1,005,339 | |
WPX Energy, Inc. | | | | | | | | | | | | |
5.25%, 01/15/17D | | | | | 780,000 | | | | | | 830,700 | |
XTO Energy, Inc. | | | | | | | | | | | | |
6.25%, 04/15/13D | | | | | 600,000 | | | | | | 609,460 | |
| | | | | | | | | | | | |
Total Corporate Bonds
(Cost $169,205,277) | | | | | | | | | | | 172,824,171 | |
| | | | | | | | | | | | |
FOREIGN BONDS — 17.3% | |
Australia — 1.6% | |
Asciano Finance, Ltd. | | | | | | | | | | | | |
3.13%, 09/23/15 144A | | | | | 620,000 | | | | | | 635,457 | |
Australia Government Bond | | | | | | | | | | | | |
5.50%, 12/15/13(A) | | | | | 3,200,000 | | | | | | 3,412,626 | |
BHP Billiton
Finance USA, Ltd. | | | | | | | | | | | | |
1.00%, 02/24/15 | | | | | 1,100,000 | | | | | | 1,109,638 | |
Commonwealth Bank of
Australia | | | | | | | | | | | | |
2.13%, 03/17/14 144A | | | | | 850,000 | | | | | | 861,688 | |
2.90%, 09/17/14 144A | | | | | 1,800,000 | | | | | | 1,875,503 | |
Macquarie Bank, Ltd. | | | | | | | | | | | | |
3.45%, 07/27/15 144A | | | | | 750,000 | | | | | | 780,398 | |
National Australia Bank | | | | | | | | | | | | |
2.00%, 03/09/15 | | | | | 1,040,000 | | | | | | 1,065,448 | |
Perpetual Trustee - Apollo Series 2009-1 | | | | | | | | | | | | |
4.43%, 10/03/40(A) | | | | | 1,279,892 | | | | | | 1,329,109 | |
Rio Tinto Finance USA PLC | | | | | | | | | | | | |
1.13%, 03/20/15 | | | | | 500,000 | | | | | | 504,372 | |
Westfield Capital | | | | | | | | | | | | |
5.13%, 11/15/14 144A | | | | | 730,000 | | | | | | 783,061 | |
Woodside Finance, Ltd. | | | | | | | | | | | | |
4.50%, 11/10/14 144A | | | | | 490,000 | | | | | | 518,514 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 12,875,814 | |
| | | | | | | | | | | | |
| | | | |
Bermuda — 0.2% | | | | | | | | | | | | |
Aircastle, Ltd. | | | | | | | | | | | | |
6.25%, 12/01/19 144A | | | | | 260,000 | | | | | | 272,350 | |
Ingersoll-Rand Global Holding Co., Ltd. | | | | | | | | | | | | |
9.50%, 04/15/14 | | | | | 880,000 | | | | | | 974,202 | |
Qtel International Finance, Ltd. | | | | | | | | | | | | |
6.50%, 06/10/14 144A | | | | | 660,000 | | | | | | 709,170 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,955,722 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
Brazil — 0.4% | | | | | | | | | | | | |
Banco Bradesco SA | | | | | | | | | | | | |
2.41%, 05/16/14 144A† | | | | $ | 520,000 | | | | | $ | 524,004 | |
Banco do Brasil SA | | | | | | | | | | | | |
4.50%, 01/22/15 144AD | | | | | 680,000 | | | | | | 721,820 | |
Banco do Nordeste do
Brasil SA | | | | | | | | | | | | |
3.63%, 11/09/15 144AD | | | | | 710,000 | | | | | | 738,400 | |
Caixa Economica Federal | | | | | | | | | | | | |
2.38%, 11/06/17 144A | | | | | 680,000 | | | | | | 676,600 | |
Companhia de Eletricidade do Estado da Bahia | | | | | | | | | | | | |
11.75%, 04/27/16 144A (B) | | | | | 1,200,000 | | | | | | 624,908 | |
USJ Acucar eAlcool SA | | | | | | | | | | | | |
9.88%, 11/09/19 144AD | | | | | 270,000 | | | | | | 288,225 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,573,957 | |
| | | | | | | | | | | | |
Canada — 1.8% | |
Bank of Nova Scotia | | | | | | | | | | | | |
1.85%, 01/12/15 | | | | | 970,000 | | | | | | 992,859 | |
Manulife Financial Corporation | | | | | | | | | | | | |
3.40%, 09/17/15 | | | | | 5,000 | | | | | | 5,261 | |
Methanex Corporation | | | | | | | | | | | | |
3.25%, 12/15/19 | | | | | 1,037,000 | | | | | | 1,044,645 | |
National Bank of Canada | | | | | | | | | | | | |
1.50%, 06/26/15 | | | | | 1,920,000 | | | | | | 1,954,086 | |
Nexen, Inc. | | | | | | | | | | | | |
5.20%, 03/10/15 | | | | | 790,000 | | | | | | 853,095 | |
NOVA Chemicals Corporation | | | | | | | | | | | | |
8.38%, 11/01/16D | | | | | 1,250,000 | | | | | | 1,375,000 | |
Province of Ontario | | | | | | | | | | | | |
2.30%, 05/10/16 | | | | | 3,000,000 | | | | | | 3,158,556 | |
Rogers Communications, Inc. | | | | | | | | | | | | |
6.38%, 03/01/14 | | | | | 320,000 | | | | | | 341,014 | |
Teck Resources, Ltd. | | | | | | | | | | | | |
3.15%, 01/15/17D | | | | | 346,000 | | | | | | 362,976 | |
TransCanada PipeLines, Ltd. | | | | | | | | | | | | |
3.40%, 06/01/15 | | | | | 360,000 | | | | | | 382,519 | |
Xstrata Finance Canada, Ltd. | | | | | | | | | | | | |
2.45%, 10/25/17 144A | | | | | 4,170,000 | | | | | | 4,215,186 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 14,685,197 | |
| | | | | | | | | | | | |
| | | | |
Cayman Islands — 0.4% | | | | | | | | | | | | |
Baidu, Inc. | | | | | | | | | | | | |
2.25%, 11/28/17 | | | | | 440,000 | | | | | | 443,828 | |
Hutchison Whampoa
International, Ltd. | | | | | | | | | | | | |
2.00%, 11/08/17 144AD | | | | | 370,000 | | | | | | 370,649 | |
International Petroleum
Investment Co. | | | | | | | | | | | | |
3.13%, 11/15/15 144A | | | | | 330,000 | | | | | | 343,695 | |
Petrobras International
Finance Co. | | | | | | | | | | | | |
2.88%, 02/06/15D | | | | | 300,000 | | | | | | 308,578 | |
3.88%, 01/27/16 | | | | | 590,000 | | | | | | 625,402 | |
Trafford Centre Finance, Ltd. | | | | | | | | | | | | |
0.73%, 07/28/15(U)† | | | | | 104,569 | | | | | | 166,249 | |
Transocean, Inc. | | | | | | | | | | | | |
4.95%, 11/15/15D | | | | | 595,000 | | | | | | 651,920 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,910,321 | |
| | | | | | | | | | | | |
| | | | |
| 84 | | See Notes to Financial Statements. | | |
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Par | | | Value | |
Chile — 0.8% | |
Banco de Credito e Inversiones | | | | | | | | | | | | |
3.00%, 09/13/17 144A | | | | $ | 600,000 | | | | | $ | 612,934 | |
Banco del Estado de Chile | | | | | | | | | | | | |
2.00%, 11/09/17 144A | | | | | 1,100,000 | | | | | | 1,100,918 | |
Banco Santander Chile | | | | | | | | | | | | |
1.92%, 01/19/16 144A† | | | | | 2,500,000 | | | | | | 2,491,788 | |
Celulosa Arauco y
Constitucion SA | | | | | | | | | | | | |
5.63%, 04/20/15D | | | | | 1,260,000 | | | | | | 1,368,282 | |
Corporacion Nacional del
Cobre de Chile | | | | | | | | | | | | |
4.75%, 10/15/14 144A | | | | | 960,000 | | | | | | 1,020,563 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,594,485 | |
| | | | | | | | | | | | |
Colombia — 0.0% | |
Bancolombia SA | | | | | | | | | | | | |
4.25%, 01/12/16D | | | | | 210,000 | | | | | | 220,500 | |
| | | | | | | | | | | | |
Denmark — 0.1% | | | | | | | | | | | | |
Danske Bank A/S | | | | | | | | | | | | |
1.39%, 04/14/14 144A† | | | | | 950,000 | | | | | | 941,906 | |
| | | | | | | | | | | | |
France — 2.0% | |
Banque PSA Finance SA | | | | | | | | | | | | |
2.21%, 04/04/14 144A†@ | | | | | 2,000,000 | | | | | | 1,975,658 | |
BNP Paribas SA | | | | | | | | | | | | |
2.38%, 09/14/17 | | | | | 1,265,000 | | | | | | 1,284,571 | |
BPCE SA | | | | | | | | | | | | |
2.06%, 02/07/14 144A†@D | | | | | 2,300,000 | | | | | | 2,325,500 | |
Caisse d’Amortissement de la
Dette Sociale | | | | | | | | | | | | |
2.13%, 04/12/17 144A | | | | | 1,140,000 | | | | | | 1,185,672 | |
Cie de Financement Foncier SA | | | | | | | | | | | | |
2.13%, 04/22/13 144A@ | | | | | 3,000,000 | | | | | | 3,013,725 | |
Credit Agricole SA | | | | | | | | | | | | |
3.00%, 10/01/17 144AD | | | | | 1,451,000 | | | | | | 1,480,677 | |
GDF Suez | | | | | | | | | | | | |
1.63%, 10/10/17 144A | | | | | 260,000 | | | | | | 260,236 | |
RCI Banque SA | | | | | | | | | | | | |
1.12%, 04/07/15(E)† | | | | | 900,000 | | | | | | 1,124,701 | |
Total Capital International SA | | | | | | | | | | | | |
1.50%, 02/17/17D | | | | | 320,000 | | | | | | 322,801 | |
Total Capital SA | | | | | | | | | | | | |
3.00%, 06/24/15 | | | | | 2,800,000 | | | | | | 2,959,272 | |
Veolia Environnement SA | | | | | | | | | | | | |
5.25%, 06/03/13D | | | | | 520,000 | | | | | | 528,120 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 16,460,933 | |
| | | | | | | | | | | | |
Germany — 2.6% | |
Bundesschatzanweisungen | | | | | | | | | | | | |
1.75%, 06/14/13(E) | | | | | 6,100,000 | | | | | | 8,114,860 | |
0.75%, 09/13/13(E) | | | | | 7,300,000 | | | | | | 9,684,786 | |
State of North Rhine-Westphalia | | | | | | | | | | | | |
1.63%, 09/17/14D | | | | | 3,100,000 | | | | | | 3,153,208 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 20,952,854 | |
| | | | | | | | | | | | |
India — 0.1% | |
ICICI Bank, Ltd. | | | | | | | | | | | | |
5.50%, 03/25/15 144A | | | | | 395,000 | | | | | | 417,807 | |
| | | | | | | | | | | | |
Ireland — 0.4% | |
DanFin Funding, Ltd. | | | | | | | | | | | | |
1.03%, 07/16/13 144A† | | | | | 2,800,000 | | | | | | 2,807,857 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
Italy — 0.5% | |
Intesa Sanpaolo SpA | | | | | | | | | | | | |
2.71%, 02/24/14 144A†@ | | | | $ | 2,900,000 | | | | | $ | 2,897,567 | |
Telecom Italia Capital SA | | | | | | | | | | | | |
5.25%, 11/15/13D | | | | | 810,000 | | | | | | 834,300 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,731,867 | |
| | | | | | | | | | | | |
Japan — 0.6% | |
Takeda Pharmaceutical Co., Ltd. | | | | | | | | | | | | |
1.03%, 03/17/15 144A | | | | | 2,450,000 | | | | | | 2,461,042 | |
1.63%, 03/17/17 144A | | | | | 2,500,000 | | | | | | 2,538,698 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,999,740 | |
| | | | | | | | | | | | |
Luxembourg — 0.6% | |
ArcelorMittal | | | | | | | | | | | | |
4.25%, 08/05/15D | | | | | 600,000 | | | | | | 606,414 | |
Covidien International
Finance SA | | | | | | | | | | | | |
1.35%, 05/29/15D | | | | | 270,000 | | | | | | 273,815 | |
Gazprom OAO Via Gaz
Capital SA | | | | | | | | | | | | |
9.25%, 04/23/19 | | | | | 700,000 | | | | | | 930,125 | |
6.00%, 01/23/21 144AD | | | | | 1,300,000 | | | | | | 1,506,700 | |
Pentair Finance SA | | | | | | | | | | | | |
1.35%, 12/01/15 144A | | | | | 450,000 | | | | | | 449,921 | |
Schlumberger Investment SA | | | | | | | | | | | | |
1.25%, 08/01/17 144A | | | | | 1,080,000 | | | | | | 1,078,036 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,845,011 | |
| | | | | | | | | | | | |
Mexico — 0.7% | |
America Movil SAB de CV | | | | | | | | | | | | |
3.63%, 03/30/15D | | | | | 200,000 | | | | | | 213,061 | |
2.38%, 09/08/16 | | | | | 380,000 | | | | | | 396,865 | |
Mexican Bonos | | | | | | | | | | | | |
6.00%, 06/18/15(M) | | | | | 21,582,000 | | | | | | 1,719,249 | |
Petroleos Mexicanos | | | | | | | | | | | | |
4.88%, 03/15/15D | | | | | 1,250,000 | | | | | | 1,353,125 | |
5.50%, 01/21/21 | | | | | 1,400,000 | | | | | | 1,642,900 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,325,200 | |
| | | | | | | | | | | | |
Netherlands — 0.8% | |
Achmea Hypotheekbank NV | | | | | | | | | | | | |
3.20%, 11/03/14 144A | | | | | 1,881,000 | | | | | | 1,972,718 | |
ING Bank NV | | | | | | | | | | | | |
2.00%, 09/25/15 144AD | | | | | 1,275,000 | | | | | | 1,285,285 | |
3.75%, 03/07/17 144A | | | | | 900,000 | | | | | | 957,420 | |
Volkswagen International Finance NV | | | | | | | | | | | | |
1.06%, 03/21/14 144A†@ | | | | | 100,000 | | | | | | 100,563 | |
0.92%, 04/01/14 144A† | | | | | 1,200,000 | | | | | | 1,204,242 | |
1.63%, 03/22/15 144A | | | | | 1,100,000 | | | | | | 1,115,611 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,635,839 | |
| | | | | | | | | | | | |
New Zealand — 0.1% | |
ANZ National
International, Ltd. | | | | | | | | | | | | |
1.85%, 10/15/15 144A | | | | | 630,000 | | | | | | 642,355 | |
| | | | | | | | | | | | |
Norway — 0.2% | |
Nordea Eiendomskreditt AS | | | | | | | | | | | | |
2.13%, 09/22/16 144AD | | | | | 1,250,000 | | | | | | 1,300,944 | |
Sparebank 1 Boligkreditt AS | | | | | | | | | | | | |
2.63%, 05/26/17 144A | | | | | 500,000 | | | | | | 528,334 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,829,278 | |
| | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 85 |
| | | | | | | | | | | | |
| | | Par | | | Value | |
Panama — 0.0% | |
Panama Government
International Bond | | | | | | | | | | | | |
7.25%, 03/15/15 | | | | $ | 265,000 | | | | | $ | 297,860 | |
| | | | | | | | | | | | |
Peru — 0.1% | |
Banco de Credito del Peru | | | | | | | | | | | | |
4.75%, 03/16/16 144A | | | | | 840,000 | | | | | | 890,400 | |
| | | | | | | | | | | | |
Portugal — 0.0% | |
Obrigacoes do Tesouro | | | | | | | | | | | | |
2.17%, 05/16/47(E) | | | | | 95,501 | | | | | | 126,144 | |
| | | | | | | | | | | | |
Qatar — 0.1% | | | | | | | | | | | | |
Qatar Government
International Bond | | | | | | | | | | | | |
3.13%, 01/20/17D | | | | | 580,000 | | | | | | 613,930 | |
| | | | | | | | | | | | |
Singapore — 0.1% | |
Oversea-Chinese Banking
Corporation, Ltd. | | | | | | | | | | | | |
1.63%, 03/13/15 144A | | | | | 500,000 | | | | | | 507,458 | |
| | | | | | | | | | | | |
South Korea — 1.0% | |
Export-Import Bank of Korea | | | | | | | | | | | | |
1.26%, 07/26/13 144A†@ | | | | | 700,000 | | | | | | 700,041 | |
1.46%, 09/21/13 144A@ | | | | | 2,400,000 | | | | | | 2,399,290 | |
Hyundai Capital Services, Inc. | | | | | | | | | | | | |
4.38%, 07/27/16 144A | | | | | 2,900,000 | | | | | | 3,121,290 | |
Korea National Oil Corporation | | | | | | | | | | | | |
2.88%, 11/09/15 | | | | | 770,000 | | | | | | 805,580 | |
Lotte Shopping Co., Ltd. | | | | | | | | | | | | |
3.38%, 05/09/17 144A | | | | | 730,000 | | | | | | 757,999 | |
SK Telecom Co., Ltd. | | | | | | | | | | | | |
2.13%, 05/01/18 144A | | | | | 690,000 | | | | | | 695,498 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,479,698 | |
| | | | | | | | | | | | |
Spain — 0.4% | |
BBVA US Senior SA
Unipersonal | | | | | | | | | | | | |
4.66%, 10/09/15 | | | | | 2,430,000 | | | | | | 2,493,131 | |
Telefonica Emisiones SA
Unipersonal | | | | | | | | | | | | |
2.58%, 04/26/13 | | | | | 710,000 | | | | | | 714,260 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,207,391 | |
| | | | | | | | | | | | |
Sweden — 0.7% | |
Nordea Bank AB | | | | | | | | | | | | |
1.24%, 01/14/14 144A† | | | | | 2,900,000 | | | | | | 2,921,741 | |
Stadshypotek AB | | | | | | | | | | | | |
1.45%, 09/30/13 144AD | | | | | 2,900,000 | | | | | | 2,922,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,843,741 | |
| | | | | | | | | | | | |
Switzerland — 0.2% | |
Credit Suisse NY | | | | | | | | | | | | |
1.30%, 01/14/14† | | | | | 1,200,000 | | | | | | 1,207,261 | |
| | | | | | | | | | | | |
United Kingdom — 0.8% | |
Anglo American Capital PLC | | | | | | | | | | | | |
2.15%, 09/27/13 144A | | | | | 360,000 | | | | | | 362,619 | |
Barclays Bank PLC | | | | | | | | | | | | |
1.38%, 01/13/14† | | | | | 580,000 | | | | | | 583,079 | |
5.20%, 07/10/14 | | | | | 130,000 | | | | | | 138,373 | |
BP Capital Markets PLC | | | | | | | | | | | | |
0.70%, 11/06/15 | | | | | 840,000 | | | | | | 839,386 | |
British Telecom-
munications PLC | | | | | | | | | | | | |
2.00%, 06/22/15 | | | | | 300,000 | | | | | | 308,591 | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
Experian Finance PLC | | | | | | | | | | | | |
2.38%, 06/15/17 144A | | | | $ | 540,000 | | | | | $ | 549,942 | |
GlaxoSmithKline Capital PLC | | | | | | | | | | | | |
0.75%, 05/08/15 | | | | | 670,000 | | | | | | 673,664 | |
HSBC Bank PLC | | | | | | | | | | | | |
1.13%, 01/17/14 144A† | | | | | 1,230,000 | | | | | | 1,238,809 | |
Lloyds TSB Bank PLC | | | | | | | | | | | | |
2.67%, 01/24/14†D | | | | | 340,000 | | | | | | 346,583 | |
6.96%, 05/29/20(U)† | | | | | 710,000 | | | | | | 1,147,066 | |
United Kingdom Gilt Inflation
Linked Bond | | | | | | | | | | | | |
0.13%, 03/22/24(U) | | | | | 100,000 | | | | | | 177,669 | |
Vodafone Group PLC | | | | | | | | | | | | |
1.25%, 09/26/17 | | | | | 370,000 | | | | | | 369,304 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,735,085 | |
| | | | | | | | | | | | |
Total Foreign Bonds
(Cost $137,276,842) | | | | | | 140,315,611 | |
| | | | | | | | | | | | |
LOAN AGREEMENTS — 0.4% | |
Dole Food Co., Inc.,
Tranche B2 | | | | | | | | | | | | |
5.00% - 6.00%, 07/08/18† | | | | | 1,086,934 | | | | | | 1,087,782 | |
Dole Food Co., Inc.,
Tranche C2 | | | | | | | | | | | | |
5.00% - 6.00%, 07/08/18† | | | | | 1,897,915 | | | | | | 1,899,395 | |
| | | | | | | | | | | | |
Total Loan Agreements
(Cost $2,991,985) | | | | | | 2,987,177 | |
| | | | | | | | | | | | |
MORTGAGE-BACKED SECURITIES — 22.1% | |
Adjustable Rate Mortgage Trust | | | | | | | | | | | | |
3.25%, 03/25/37† | | | | | 2,387,149 | | | | | | 1,653,442 | |
American Home Mortgage
Investment Trust | | | | | | | | | | | | |
2.53%, 10/25/34† | | | | | 568,834 | | | | | | 566,754 | |
American Home
Mortgage Assets LLC | | | | | | | | | | | | |
1.09%, 11/25/46† | | | | | 1,030,774 | | | | | | 560,277 | |
Arkle Master Issuer PLC | | | | | | | | | | | | |
1.46%, 05/17/60 144A† | | | | | 1,100,000 | | | | | | 1,101,474 | |
1.56%, 05/17/60† | | | | | 250,000 | | | | | | 251,581 | |
Arkle Master Issuer PLC | | | | | | | | | | | | |
1.56%, 05/17/60 144A† | | | | | 1,240,000 | | | | | | 1,247,803 | |
Arran Residential Mortgages
Funding PLC | | | | | | | | | | | | |
1.64%, 05/16/47 144A† | | | | | 65,259 | | | | | | 65,351 | |
1.51%, 11/19/47 144A† | | | | | 113,239 | | | | | | 113,599 | |
1.76%, 11/19/47 144A† | | | | | 1,800,000 | | | | | | 1,829,638 | |
Banc of America
Funding Corporation | | | | | | | | | | | | |
5.62%, 01/20/47† | | | | | 679,161 | | | | | | 494,548 | |
Banc of America Merrill Lynch
Commercial Mortgage, Inc. | | | | | | | | | | | | |
5.45%, 01/15/49 | | | | | 1,227,482 | | | | | | 1,259,606 | |
5.69%, 06/10/49† | | | | | 204,636 | | | | | | 204,579 | |
Banc of America Mortgage
Securities, Inc. | | | | | | | | | | | | |
6.50%, 10/25/31 | | | | | 102,582 | | | | | | 108,277 | |
Bear Stearns Adjustable Rate Mortgage Trust | | | | | | | | | | | | |
3.12%, 01/25/34† | | | | | 352,590 | | | | | | 352,849 | |
3.33%, 07/25/34† | | | | | 540,397 | | | | | | 537,734 | |
3.09%, 10/25/34† | | | | | 220,223 | | | | | | 213,083 | |
2.57%, 03/25/35† | | | | | 943,885 | | | | | | 950,881 | |
Bear Stearns Alt-A Trust | | | | | | | | | | | | |
0.95%, 11/25/34† | | | | | 302,545 | | | | | | 297,845 | |
| | | | |
| 86 | | See Notes to Financial Statements. | | |
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Par | | | | | Value | |
Bear Stearns Commercial
Mortgage Securities | | | | | | | | | | | | |
5.74%, 06/11/50 | | | | $ | 791,502 | | | | | $ | 823,598 | |
Berica ABS Srl | | | | | | | | | | | | |
0.49%, 12/30/55(E)† | | | | | 2,400,000 | | | | | | 2,936,471 | |
Commercial Mortgage
Pass-Through Certificates | | | | | | | | | | | | |
4.14%, 11/15/45 IOW† | | | | | 4,152,321 | | | | | | 595,400 | |
6.10%, 07/16/34 144A | | | | | 7,120 | | | | | | 7,119 | |
5.76%, 09/15/39† | | | | | 1,155,000 | | | | | | 1,201,239 | |
5.62%, 09/15/40† | | | | | 798,739 | | | | | | 852,116 | |
6.05%, 02/15/41† | | | | | 562,550 | | | | | | 577,728 | |
5.05%, 08/15/45 IOW† | | | | | 2,090,389 | | | | | | 263,650 | |
3.16%, 07/10/46 144A | | | | | 1,265,115 | | | | | | 1,335,735 | |
Countrywide Alternative
Loan Trust | | | | | | | | | | | | |
6.00%, 10/25/32 | | | | | 34,144 | | | | | | 35,841 | |
Countrywide Home Loan
Mortgage Pass-Through Trust | | | | | | | | | | | | |
0.75%, 02/25/35† | | | | | 195,317 | | | | | | 177,711 | |
Credit Suisse Mortgage
Capital Certificates | | | | | | | | | | | | |
1.21%, 02/27/47 144A† | | | | | 1,700,147 | | | | | | 1,690,798 | |
DBRR Trust | | | | | | | | | | | | |
0.95%, 09/24/45 144A | | | | | 1,224,390 | | | | | | 1,227,559 | |
5.74%, 06/17/49 144A† | | | | | 1,805,000 | | | | | | 2,115,061 | |
Deutsche ALT-A Securities, Inc. | | | | | | | | | | | | |
5.87%, 10/25/36 STEP | | | | | 573,480 | | | | | | 396,713 | |
5.89%, 10/25/36 STEP | | | | | 573,480 | | | | | | 397,127 | |
Eclipse, Ltd. | | | | | | | | | | | | |
0.70%, 01/25/20(U)† | | | | | 712,478 | | | | | | 1,105,308 | |
Fannie Mae Grantor Trust | | | | | | | | | | | | |
3.31%, 02/25/32 | | | | | 135,031 | | | | | | 139,674 | |
FDIC Structured Sale
Guaranteed Notes | | | | | | | | | | | | |
0.26%, 10/25/13 144AW† | | | | | 2,300,000 | | | | | | 2,296,115 | |
3.00%, 09/30/19 144A | | | | | 713,458 | | | | | | 731,964 | |
0.93%, 12/04/20 144A† | | | | | 1,904,625 | | | | | | 1,919,505 | |
3.25%, 04/25/38 144A | | | | | 607,665 | | | | | | 642,796 | |
0.76%, 02/25/48 144A† | | | | | 400,374 | | | | | | 401,175 | |
FDIC Trust | | | | | | | | | | | | |
2.18%, 05/25/50 144A | | | | | 1,114,609 | | | | | | 1,095,357 | |
Federal Home Loan
Mortgage Corporation | | | | | | | | | | | | |
5.00%, 01/01/19 | | | | | 277,428 | | | | | | 296,973 | |
5.00%, 02/01/19 | | | | | 303,876 | | | | | | 325,229 | |
5.00%, 12/01/19 | | | | | 601,798 | | | | | | 647,463 | |
5.50%, 05/01/22 | | | | | 1,964,206 | | | | | | 2,112,609 | |
2.48%, 07/01/27† | | | | | 14,117 | | | | | | 15,151 | |
2.38%, 11/01/31† | | | | | 74,402 | | | | | | 79,266 | |
2.38%, 04/01/32† | | | | | 11,577 | | | | | | 12,245 | |
2.16%, 06/01/33† | | | | | 1,135,245 | | | | | | 1,190,499 | |
2.39%, 10/01/34† | | | | | 291,632 | | | | | | 310,655 | |
2.76%, 08/01/35† | | | | | 1,028,739 | | | | | | 1,095,643 | |
2.46%, 09/01/35† | | | | | 508,066 | | | | | | 535,470 | |
2.72%, 10/01/35† | | | | | 818,910 | | | | | | 876,201 | |
2.59%, 04/01/36† | | | | | 775,852 | | | | | | 825,959 | |
5.50%, 05/01/38 | | | | | 1,494,844 | | | | | | 1,613,915 | |
5.50%, 02/01/40 | | | | | 469,123 | | | | | | 506,490 | |
Federal Home Loan Mortgage
Corporation REMIC | | | | | | | | | | | | |
2.00%, 08/15/25 STEP | | | | | 569,599 | | | | | | 605,391 | |
0.56%, 12/15/30† | | | | | 12,043 | | | | | | 12,044 | |
4.50%, 09/15/41 | | | | | 1,220,488 | | | | | | 1,306,747 | |
4.50%, 11/15/41 | | | | | 1,341,233 | | | | | | 1,490,287 | |
| | | | | | | | | | | | |
| | | Par | | | | | Value | |
Federal National Mortgage
Association | | | | | | | | | | | | |
5.00%, 01/01/18 | | | | $ | 608,197 | | | | | $ | 660,952 | |
5.00%, 07/01/19 | | | | | 135,178 | | | | | | 146,904 | |
5.00%, 05/01/21 | | | | | 1,226,913 | | | | | | 1,333,335 | |
5.00%, 11/01/21 | | | | | 508,054 | | | | | | 552,122 | |
2.27%, 12/01/24† | | | | | 38,271 | | | | | | 38,655 | |
9.00%, 05/01/25 | | | | | 11,654 | | | | | | 11,695 | |
9.00%, 07/01/25 | | | | | 30,705 | | | | | | 30,813 | |
2.50%, 09/01/27 | | | | | 72,701 | | | | | | 76,079 | |
2.50%, 11/01/27 | | | | | 5,054,002 | | | | | | 5,288,803 | |
2.50%, 12/01/27 | | | | | 3,300,000 | | | | | | 3,458,984 | |
2.50%, 01/01/28 TBA | | | | | 7,700,000 | | | | | | 8,051,312 | |
2.36%, 09/01/31† | | | | | 119,378 | | | | | | 127,470 | |
1.58%, 08/01/32† | | | | | 980,733 | | | | | | 1,020,951 | |
5.50%, 10/01/32 | | | | | 703,925 | | | | | | 792,332 | |
2.24%, 12/01/32† | | | | | 714,718 | | | | | | 752,454 | |
2.00%, 04/01/33† | | | | | 198,378 | | | | | | 208,558 | |
2.39%, 06/01/33† | | | | | 176,319 | | | | | | 185,206 | |
2.54%, 06/01/33† | | | | | 66,416 | | | | | | 70,684 | |
2.92%, 10/01/33† | | | | | 415,114 | | | | | | 439,394 | |
2.72%, 12/01/33† | | | | | 140,953 | | | | | | 149,502 | |
3.20%, 03/01/34† | | | | | 103,712 | | | | | | 104,607 | |
2.54%, 09/01/34† | | | | | 254,921 | | | | | | 267,469 | |
2.55%, 09/01/34† | | | | | 303,624 | | | | | | 318,393 | |
2.42%, 10/01/34† | | | | | 325,028 | | | | | | 343,146 | |
2.60%, 10/01/34† | | | | | 403,809 | | | | | | 427,586 | |
2.62%, 02/01/35† | | | | | 414,834 | | | | | | 443,296 | |
2.78%, 09/01/35† | | | | | 887,836 | | | | | | 946,999 | |
2.66%, 12/01/35† | | | | | 29,898 | | | | | | 31,282 | |
1.36%, 08/01/42† | | | | | 605,488 | | | | | | 614,415 | |
3.00%, 10/01/42 | | | | | 3,274,532 | | | | | | 3,434,576 | |
1.36%, 07/01/44† | | | | | 455,114 | | | | | | 461,764 | |
1.36%, 10/01/44† | | | | | 350,088 | | | | | | 354,721 | |
Federal National Mortgage
Association REMIC | | | | | | | | | | | | |
4.00%, 11/25/19 | | | | | 192,596 | | | | | | 200,888 | |
2.00%, 06/25/26 STEP | | | | | 1,140,068 | | | | | | 1,224,586 | |
0.81%, 05/25/30† | | | | | 469,852 | | | | | | 470,662 | |
0.86%, 05/25/30† | | | | | 371,511 | | | | | | 371,915 | |
(2.43)%, 10/25/40 IOW | | | | | 4,373,174 | | | | | | 604,701 | |
0.76%, 09/25/41† | | | | | 5,406,684 | | | | | | 5,438,135 | |
FHLMC Multifamily Structured Pass-Through Certificates | | | | | | | | | | | | |
2.23%, 07/25/13 | | | | | 247,414 | | | | | | 248,321 | |
3.61%, 06/25/14 | | | | | 1,095,000 | | | | | | 1,120,829 | |
3.99%, 05/25/19 IOW† | | | | | 5,337,123 | | | | | | 510,274 | |
3.88%, 06/25/22 IOW† | | | | | 4,153,217 | | | | | | 464,096 | |
FHLMC Multifamily VRD Certificates | | | | | | | | | | | | |
5.50%, 08/15/51 STEP | | | | | 3,000,000 | | | | | | 3,391,191 | |
FHLMC Structured Pass-Through Securities | | | | | | | | | | | | |
1.21%, 05/25/43† | | | | | 976,870 | | | | | | 1,001,712 | |
1.53%, 07/25/44† | | | | | 1,502,581 | | | | | | 1,535,432 | |
First Horizon Alternative Mortgage Securities | | | | | | | | | | | | |
2.54%, 06/25/34† | | | | | 550,129 | | | | | | 543,365 | |
German Residential Asset Note Distributor PLC | | | | | | | | | | | | |
0.93%, 07/20/16(E)† | | | | | 706,629 | | | | | | 898,210 | |
GMAC Commercial Mortgage Securities, Inc. | | | | | | | | | | | | |
5.30%, 08/10/38† | | | | | 1,520,000 | | | | | | 1,611,958 | |
| | | | |
| | See Notes to Financial Statements. | | 87 |
| | | | | | | | | | | | |
| | | Par | | | Value | |
Government National Mortgage
Association | | | | | | | | | | | | |
1.75%, 06/20/17† | | | | $ | 6,740 | | | | | $ | 7,056 | |
2.00%, 06/20/21† | | | | | 4,496 | | | | | | 4,674 | |
1.63%, 03/20/22† | | | | | 257,264 | | | | | | 267,261 | |
1.63%, 01/20/23† | | | | | 35,743 | | | | | | 37,132 | |
1.75%, 05/20/24† | | | | | 73,878 | | | | | | 77,340 | |
1.75%, 07/20/25† | | | | | 87,099 | | | | | | 90,512 | |
1.75%, 08/20/25† | | | | | 24,112 | | | | | | 25,056 | |
1.63%, 11/20/25† | | | | | 71,697 | | | | | | 73,922 | |
1.63%, 12/20/26† | | | | | 99,021 | | | | | | 102,094 | |
1.75%, 07/20/27† | | | | | 2,319 | | | | | | 2,410 | |
1.63%, 10/20/27† | | | | | 38,843 | | | | | | 40,048 | |
8.50%, 10/15/29 | | | | | 25,848 | | | | | | 26,898 | |
0.81%, 02/16/30† | | | | | 136,753 | | | | | | 138,741 | |
8.50%, 03/15/30 | | | | | 980 | | | | | | 983 | |
8.50%, 04/15/30 | | | | | 5,447 | | | | | | 5,645 | |
8.50%, 05/15/30 | | | | | 128,162 | | | | | | 140,019 | |
1.75%, 05/20/30† | | | | | 66,017 | | | | | | 69,111 | |
8.50%, 06/15/30 | | | | | 6,576 | | | | | | 6,762 | |
8.50%, 07/15/30 | | | | | 57,556 | | | | | | 63,695 | |
8.50%, 08/15/30 | | | | | 16,672 | | | | | | 19,114 | |
8.50%, 09/15/30 | | | | | 1,928 | | | | | | 1,957 | |
8.50%, 11/15/30 | | | | | 14,058 | | | | | | 16,688 | |
8.50%, 12/15/30 | | | | | 30,932 | | | | | | 37,953 | |
8.50%, 02/15/31 | | | | | 18,067 | | | | | | 19,353 | |
5.16%, 06/16/31† | | | | | 743,808 | | | | | | 753,763 | |
0.51%, 03/20/37† | | | | | 1,416,462 | | | | | | 1,418,809 | |
0.51%, 05/20/37† | | | | | 606,715 | | | | | | 607,699 | |
3.00%, 02/19/43 TBA | | | | | 5,000,000 | | | | | | 5,303,906 | |
Granite Mortgages PLC | | | | | | | | | | | | |
0.84%, 03/20/44(U)† | | | | | 547,363 | | | | | | 876,408 | |
0.59%, 01/20/44(E)† | | | | | 236,916 | | | | | | 309,843 | |
0.84%, 06/20/44(U)† | | | | | 2,050,224 | | | | | | 3,274,384 | |
Greenpoint Mortgage
Funding Trust | | | | | | | | | | | | |
0.39%, 01/25/37† | | | | | 818,223 | | | | | | 480,425 | |
0.48%, 11/25/45† | | | | | 224,765 | | | | | | 163,311 | |
GSR Mortgage Loan Trust | | | | | | | | | | | | |
3.02%, 09/25/34† | | | | | 550,674 | | | | | | 542,116 | |
2.66%, 09/25/35† | | | | | 550,548 | | | | | | 551,437 | |
HarborView Mortgage
Loan Trust | | | | | | | | | | | | |
3.03%, 12/19/35† | | | | | 1,407,424 | | | | | | 1,157,109 | |
Holmes Master Issuer PLC | | | | | | | | | | | | |
1.89%, 10/15/54† | | | | | 850,000 | | | | | | 865,662 | |
1.89%, 10/21/54 144A† | | | | | 608,000 | | | | | | 619,386 | |
1.61%, 10/15/54(E)† | | | | | 388,959 | | | | | | 517,784 | |
1.69%, 10/15/54 144A† | | | | | 380,000 | | | | | | 384,163 | |
1.74%, 10/15/54 144A† | | | | | 1,503,976 | | | | | | 1,517,260 | |
2.29%, 10/15/54(U)† | | | | | 1,165,000 | | | | | | 1,941,897 | |
Holmes Master Issuer PLC | | | | | | | | | | | | |
1.74%, 10/15/54† | | | | | 916,215 | | | | | | 924,486 | |
Indymac Index Mortgage
Loan Trust | | | | | | | | | | | | |
0.48%, 06/25/37† | | | | | 623,530 | | | | | | 178,350 | |
0.40%, 09/25/46† | | | | | 938,851 | | | | | | 653,770 | |
JP Morgan Chase Commercial
Mortgage Securities
Corporation | | | | | | | | | | | | |
2.11%, 11/15/28 144A† | | | | | 4,485,020 | | | | | | 4,527,260 | |
5.12%, 07/15/41 | | | | | 2,185,000 | | | | | | 2,306,851 | |
JP Morgan Mortgage Trust | | | | | | | | | | | | |
4.96%, 02/25/35† | | | | | 198,646 | | | | | | 201,666 | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
Lanark Master Issuer PLC | | | | | | | | | | | | |
1.71%, 12/22/54 144A† | | | | $ | 880,000 | | | | | $ | 898,068 | |
LCP Proudreed PLC | | | | | | | | | | | | |
0.78%, 08/25/16(U)† | | | | | 392,583 | | | | | | 591,500 | |
Luminent Mortgage Trust | | | | | | | | | | | | |
0.38%, 12/25/36† | | | | | 977,677 | | | | | | 688,363 | |
MASTR Adjustable Rate
Mortgages Trust | | | | | | | | | | | | |
2.90%, 12/25/33† | | | | | 420,529 | | | | | | 417,320 | |
Merrill Lynch Floating Trust | | | | | | | | | | | | |
0.75%, 07/09/21 144A† | | | | | 160,894 | | | | | | 160,104 | |
Merrill Lynch Mortgage Trust | | | | | | | | | | | | |
5.24%, 11/12/35† | | | | | 1,260,000 | | | | | | 1,293,138 | |
MLCC Mortgage Investors, Inc. | | | | | | | | | | | | |
2.50%, 12/25/34† | | | | | 722,856 | | | | | | 734,342 | |
2.47%, 02/25/36† | | | | | 790,030 | | | | | | 763,964 | |
Morgan Stanley Bank of
America Merrill Lynch Trust | | | | | | | | | | | | |
1.94%, 08/15/45 IO 144AW† | | | | | 9,806,860 | | | | | | 1,101,271 | |
Morgan Stanley Re-REMIC
Trust | | | | | | | | | | | | |
1.00%, 12/01/42 | | | | | 1,024,825 | | | | | | 1,022,868 | |
5.79%, 08/12/45 144A† | | | | | 880,000 | | | | | | 1,026,722 | |
5.79%, 08/15/45 144A† | | | | | 880,000 | | | | | | 1,026,722 | |
2.50%, 03/23/51 144A | | | | | 626,214 | | | | | | 632,163 | |
Motel 6 Trust | | | | | | | | | | | | |
1.50%, 10/05/25 144A | | | | | 380,000 | | | | | | 380,127 | |
1.95%, 10/05/25 144A | | | | | 1,695,000 | | | | | | 1,709,283 | |
National RMBS Trust | | | | | | | | | | | | |
4.22%, 06/20/44(A)† | | | | | 1,000,000 | | | | | | 1,036,304 | |
NCUA Guaranteed Notes | | | | | | | | | | | | |
1.84%, 10/07/20 | | | | | 198,893 | | | | | | 202,156 | |
2.90%, 10/29/20 | | | | | 730,000 | | | | | | 782,268 | |
0.77%, 12/08/20† | | | | | 3,632,178 | | | | | | 3,650,339 | |
0.74%, 03/09/21† | | | | | 2,720,955 | | | | | | 2,752,926 | |
Opteum Mortgage Acceptance
Corporation | | | | | | | | | | | | |
0.49%, 11/25/35† | | | | | 270,352 | | | | | | 268,233 | |
Permanent Master Issuer PLC | | | | | | | | | | | | |
0.66%, 04/15/20(U)† | | | | | 2,060,000 | | | | | | 3,348,525 | |
Provident Funding Mortgage
Loan Trust | | | | | | | | | | | | |
2.61%, 04/25/34† | | | | | 819,492 | | | | | | 823,968 | |
RCMC LLC | | | | | | | | | | | | |
5.62%, 12/15/18 144A | | | | | 574,892 | | | | | | 577,766 | |
Residential Accredit Loans, Inc. | | | | | | | | | | | | |
0.61%, 01/25/33† | | | | | 156,369 | | | | | | 149,745 | |
Residential Asset
Securitization Trust | | | | | | | | | | | | |
0.51%, 05/25/35† | | | | | 298,072 | | | | | | 284,085 | |
Residential Funding Mortgage
Securities I | | | | | | | | | | | | |
6.50%, 03/25/32 | | | | | 22,647 | | | | | | 23,780 | |
Sequoia Mortgage Trust | | | | | | | | | | | | |
2.87%, 01/25/42† | | | | | 1,519,788 | | | | | | 1,556,725 | |
3.50%, 04/25/42† | | | | | 1,545,701 | | | | | | 1,569,827 | |
Springleaf Mortgage Loan Trust | | | | | | | | | | | | |
1.57%, 12/25/59 144A† | | | | | 768,985 | | | | | | 773,311 | |
2.22%, 10/25/57 144A† | | | | | 565,340 | | | | | | 582,357 | |
Strips 2012-1, Ltd. | | | | | | | | | | | | |
1.50%, 12/25/44 144A | | | | | 772,967 | | | | | | 763,939 | |
| | | | |
| 88 | | See Notes to Financial Statements. | | |
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Par | | | Value | |
Structured Adjustable Rate
Mortgage Loan Trust | | | | | | | | | | | | |
2.81%, 08/25/34† | | | | $ | 886,907 | | | | | $ | 863,758 | |
0.51%, 09/25/34† | | | | | 160,115 | | | | | | 132,048 | |
Structured Asset Mortgage
Investments, Inc. | | | | | | | | | | | | |
2.08%, 10/19/34† | | | | | 394,092 | | | | | | 300,022 | |
0.46%, 07/19/35† | | | | | 147,967 | | | | | | 127,857 | |
0.49%, 02/25/36† | | | | | 742,793 | | | | | | 498,831 | |
Superannuation Members Home
Loans Global Fund | | | | | | | | | | | | |
0.26%, 06/12/40(E)† | | | | | 581,570 | | | | | | 762,445 | |
Talisman Finance PLC | | | | | | | | | | | | |
0.39%, 10/22/16(E)† | | | | | 847,831 | | | | | | 1,023,977 | |
TBW Mortgage Backed
Pass-Through Certificates | | | | | | | | | | | | |
6.01%, 07/25/37 STEP | | | | | 496,031 | | | | | | 388,851 | |
UBS-Barclays Commercial Mortgage Trust 4.25%, | | | | | | | | | | | | |
05/10/63 IO 144AW† | | | | | 6,612,537 | | | | | | 694,882 | |
Wachovia Bank Commercial
Mortgage Trust | | | | | | | | | | | | |
5.42%, 01/15/45† | | | | | 1,366,233 | | | | | | 1,522,198 | |
Washington Mutual Alternative
Mortgage Pass-Through Certificates | | | | | | | | | | | | |
1.01%, 05/25/47† | | | | | 830,284 | | | | | | 118,887 | |
Washington Mutual Mortgage
Pass-Through Certificates | | | | | | | | | | | | |
2.50%, 02/25/37† | | | | | 725,021 | | | | | | 530,704 | |
4.74%, 05/25/37† | | | | | 902,259 | | | | | | 695,710 | |
2.57%, 07/25/37† | | | | | 1,993,922 | | | | | | 1,476,202 | |
1.57%, 06/25/42† | | | | | 25,831 | | | | | | 24,798 | |
0.52%, 01/25/45† | | | | | 880,954 | | | | | | 858,079 | |
0.53%, 08/25/45† | | | | | 362,677 | | | | | | 339,590 | |
0.50%, 10/25/45† | | | | | 383,688 | | | | | | 364,252 | |
1.15%, 06/25/46† | | | | | 1,433,551 | | | | | | 1,243,392 | |
0.91%, 01/25/47† | | | | | 814,853 | | | | | | 587,461 | |
Wells Fargo Mortgage-Backed
Securities Trust | | | | | | | | | | | | |
2.63%, 12/25/34† | | | | | 779,056 | | | | | | 801,907 | |
WF-RBS Commercial
Mortgage Trust | | | | | | | | | | | | |
3.79%, 02/15/44 144A | | | | | 2,310,000 | | | | | | 2,501,490 | |
4.14%, 08/15/45 IO 144AW† | | | | | 3,715,355 | | | | | | 504,027 | |
4.12%, 11/15/45 IO 144AW† | | | | | 6,382,923 | | | | | | 911,475 | |
| | | | | | | | | | | | |
Total Mortgage-Backed Securities
(Cost $181,052,609) | | | | | | 179,631,273 | |
| | | | | | | | | | | | |
MUNICIPAL BONDS — 1.9% | |
California State Public Works
Board, California State
University Projects, Revenue
Bond, Series B-2 | | | | | | | | | | | | |
7.80%, 03/01/35 | | | | | 800,000 | | | | | | 934,008 | |
Chicago Transit Authority,
Revenue Bond Series B | | | | | | | | | | | | |
6.90%, 12/01/40 | | | | | 1,300,000 | | | | | | 1,579,058 | |
Irvine Ranch Water District
Joint Powers Agency,
Revenue Bond, Escrowed to
Maturity | | | | | | | | | | | | |
2.61%, 03/15/14 | | | | | 2,800,000 | | | | | | 2,875,348 | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
New York State Thruway
Authority, Revenue Bond,
Series A | | | | | | | | | | | | |
5.00%, 03/15/26 | | | | $ | 400,000 | | | | | $ | 486,084 | |
5.00%, 03/15/27 | | | | | 400,000 | | | | | | 482,228 | |
North Texas Higher Education
Authority, Taxable Student
Loan Revenue Bond, Series 1 | | | | | | | | | | | | |
1.46%, 04/01/40† | | | | | 398,021 | | | | | | 407,164 | |
North Texas Municipal Water
District
Revenue Bond | | | | | | | | | | | | |
5.00%, 09/01/24 | | | | | 900,000 | | | | | | 1,117,242 | |
State of California, General
Obligation | | | | | | | | | | | | |
5.10%, 08/01/14 | | | | | 105,000 | | | | | | 109,165 | |
5.65%, 04/01/39† | | | | | 1,340,000 | | | | | | 1,356,495 | |
State of Illinois, General
Obligation | | | | | | | | | | | | |
3.32%, 01/01/13 | | | | | 5,500,000 | | | | | | 5,500,000 | |
4.07%, 01/01/14 | | | | | 830,000 | | | | | | 855,174 | |
| | | | | | | | | | | | |
Total Municipal Bonds
(Cost $15,152,108) | | | | | | 15,701,966 | |
| | | | | | | | | | | | |
| | | Notional
Amount | | | | | | |
PURCHASED OPTION — 0.0% | |
Put Swaption — 0.0% | |
3-Month LIBOR, Strike Price
$3.45, Expires 09/21/15
(RBS)
(Cost $151,446) | | | | $ | 1,900,000 | | | | | | 143,757 | |
| | | | | | | | | | | | |
| | | | | Par | | | | | | |
U.S. TREASURY OBLIGATIONS — 21.5% | |
U.S. Treasury Bills | | | | | | | | | | | | |
0.13%, 03/14/13‡‡ | | | | $ | 367,000 | | | | | | 366,977 | |
0.14%, 06/27/13‡‡ | | | | | 22,000 | | | | | | 21,993 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 388,970 | |
| | | | | | | | | | | | |
U.S. Treasury Bonds | | | | | | | | | | | | |
8.13%, 05/15/21 | | | | | 41,000 | | | | | | 62,929 | |
7.25%, 08/15/22 | | | | | 51,000 | | | | | | 76,783 | |
7.63%, 11/15/22 | | | | | 117,000 | | | | | | 181,112 | |
2.75%, 11/15/42 | | | | | 2,300,000 | | | | | | 2,216,266 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,537,090 | |
| | | | | | | | | | | | |
U.S. Treasury Inflationary Index Bonds | | | | | | | |
0.13%, 04/15/17 | | | | | 5,400,000 | | | | | | 5,892,708 | |
1.13%, 01/15/21‡‡ | | | | | 1,700,000 | | | | | | 2,113,099 | |
0.13%, 01/15/22‡‡ | | | | | 10,300,000 | | | | | | 11,441,434 | |
0.13%, 07/15/22 | | | | | 3,700,000 | | | | | | 4,041,967 | |
2.38%, 01/15/25 | | | | | 1,300,000 | | | | | | 2,155,571 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 25,644,779 | |
| | | | | | | | | | | | |
U.S. Treasury Notes | | | | | | | | | | | | |
0.75%, 09/15/13‡‡ | | | | | 180,000 | | | | | | 180,780 | |
0.50%, 11/15/13 | | | | | 6,000,000 | | | | | | 6,017,580 | |
0.25%, 11/30/13 | | | | | 11,000,000 | | | | | | 11,008,162 | |
1.25%, 02/15/14 | | | | | 2,000,000 | | | | | | 2,023,516 | |
0.25%, 02/28/14 | | | | | 2,303,000 | | | | | | 2,304,619 | |
1.25%, 03/15/14 | | | | | 6,200,000 | | | | | | 6,277,984 | |
0.25%, 04/30/14 | | | | | 8,000,000 | | | | | | 8,004,688 | |
0.25%, 06/30/14 | | | | | 7,130,000 | | | | | | 7,133,900 | |
0.25%, 09/30/14 | | | | | 3,000,000 | | | | | | 3,001,173 | |
| | | | |
| | See Notes to Financial Statements. | | 89 |
| | | | | | | | | | | | |
| | | Par | | | Value | |
0.25%, 11/30/14 | | | | $ | 6,000,000 | | | | | $ | 6,001,176 | |
0.25%, 01/15/15 | | | | | 4,200,000 | | | | | | 4,199,345 | |
0.25%, 02/15/15 | | | | | 47,221,000 | | | | | | 47,206,267 | |
0.25%, 05/15/15 | | | | | 8,250,000 | | | | | | 8,240,974 | |
0.25%, 10/15/15 | | | | | 4,500,000 | | | | | | 4,490,509 | |
0.38%, 11/15/15 | | | | | 2,000,000 | | | | | | 2,002,188 | |
2.13%, 02/29/16 | | | | | 772,000 | | | | | | 814,159 | |
0.63%, 12/31/17 | | | | | 4,450,000 | | | | | | 4,457,997 | |
1.38%, 12/31/18 | | | | | 4,300,000 | | | | | | 4,412,540 | |
1.25%, 01/31/19 | | | | | 600,000 | | | | | | 610,968 | |
3.38%, 11/15/19 | | | | | 67,000 | | | | | | 77,045 | |
2.13%, 08/15/21‡‡ | | | | | 9,100,000 | | | | | | 9,567,795 | |
2.00%, 02/15/22 | | | | | 2,100,000 | | | | | | 2,172,024 | |
1.75%, 05/15/22 | | | | | 5,400,000 | | | | | | 5,447,671 | |
1.63%, 08/15/22 | | | | | 1,000,000 | | | | | | 993,594 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 146,646,654 | |
| | | | | | | | | | | | |
Total U.S. Treasury Obligations
(Cost $174,189,721) | | | | | | 175,217,493 | |
| | | | | | | | | | | | |
| | | Shares | | | | |
MONEY MARKET FUNDS — 6.6% | |
GuideStone Money Market
Fund (GS4 Class)¥ | | | | | 16,500,802 | | | | | | 16,500,802 | |
Northern Institutional Liquid
Assets Portfolio§ | | | | | 37,397,181 | | | | | | 37,397,181 | |
| | | | | | | | | | | | |
Total Money Market Funds
(Cost $53,897,983) | | | | | | 53,897,983 | |
| | | | | | | | | | | | |
| | | Par | | | | | | |
REPURCHASE AGREEMENTS — 8.6% | |
BNP Paribas Securities
Corporation | | | | | | | | | | | | |
0.14% (dated 12/28/12, due 01/10/13, repurchase price $8,500,430, collateralized by Federal Home Loan Mortgage Corporation, 3.500%, due 07/01/42, total market value | | | | | | | | | | | | |
$8,867,812) | | | | $ | 8,500,000 | | | | | | 8,500,000 | |
Morgan Stanley & Co., Inc. | | | | | | | | | | | | |
0.25% (dated 12/31/12, due 01/02/13, repurchase price $23,900,332, collateralized by U.S. Treasury Note, 1.500%, due 06/30/16, total market value | | | | | | | | | | | | |
$24,208,622) | | | | | 23,900,000 | | | | | | 23,900,000 | |
0.25% (dated 01/02/13, due 01/03/13, repurchase price $30,400,211, collateralized by Federal Home Loan Mortgage Corporation, 2.650%, due 11/06/14, total market value | | | | | | | | | | | | |
$30,987,903) | | | | | 30,400,000 | | | | | | 30,400,000 | |
Royal Bank of Scotland PLC | | | | | | | | | | | | |
0.23% (dated 12/19/12, due 02/21/13, repurchase price $7,002,862, collateralized by U.S. Treasury Note, 4.250%, due 08/15/14, total market value | | | | | | | | | | | | |
$7,140,208) | | | | | 7,000,000 | | | | | | 7,000,000 | |
| | | | | | | | | | | | |
Total Repurchase Agreements
(Cost $69,800,000) | | | | | | | | | | | 69,800,000 | |
| | | | | | | | | | | | |
TOTAL INVESTMENTS — 109.4%
(Cost $882,728,643) | | | | | | | | | | | 889,696,507 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | Notional
Amount | | | Value | |
WRITTEN OPTIONS — (0.1)% | |
Call Swaption — (0.1)% | |
3-Month LIBOR, Strike Price
$1.40, Expires 03/18/13 | | | | | | | | | | | | |
(DEUT) | | | | $ | (14,000,000 | ) | | | | $ | (346,732 | ) |
| | | | | | | | | | | | |
Put Swaptions — 0.0% | |
3-Month LIBOR, Strike Price
$1.40, Expires 03/18/13 | | | | | | | | | | | | |
(DEUT) | | | | | (14,000,000 | ) | | | | | (4,337 | ) |
3-Month LIBOR, Strike Price
$2.50, Expires 09/21/15 | | | | | | | | | | | | |
(RBS) | | | | | (8,000,000 | ) | | | | | (122,846 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (127,183 | ) |
| | | | | | | | | | | | |
Total Written Options | | | | | | | | | | | | |
(Premiums received $(586,250)) | | | | | | | | | | | (473,915 | ) |
| | | | | | | | | | | | |
| | | | | Par | | | | | | |
TBA SALE COMMITMENTS — (1.9)% | |
Federal Home Loan Mortgage
Corporation | | | | | | | | | | | | |
5.50%, 01/01/39 TBA | | | | $ | (3,000,000 | ) | | | | | (3,237,657 | ) |
Federal National Mortgage
Association | | | | | | | | | | | | |
5.50%, 01/01/40 TBA | | | | | (2,000,000 | ) | | | | | (2,172,813 | ) |
5.50%, 02/01/40 TBA | | | | | (5,000,000 | ) | | | | | (5,434,375 | ) |
4.00%, 01/01/41 TBA | | | | | (4,000,000 | ) | | | | | (4,287,499 | ) |
| | | | | | | | | | | | |
Total TBA Sale Commitments
(Cost $(15,115,625)) | | | | | | (15,132,344 | ) |
| | | | | | | | | | | | |
Liabilities in Excess of Other Assets — (7.4)% | | | | | | | | | | | (60,464,831 | ) |
| | | | | | | | | | | | |
NET ASSETS — 100.0% | | | | | $ | 813,625,417 | |
| | | | | | | | | | | | |
| | | | |
| 90 | | See Notes to Financial Statements. | | |
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
PORTFOLIO SUMMARY (based on net assets)
| | | | |
| | | % | |
Mortgage-Backed Securities | | | 22.1 | |
U.S. Treasury Obligations | | | 21.5 | |
Corporate Bonds | | | 21.2 | |
Foreign Bonds | | | 17.3 | |
Asset-Backed Securities | | | 8.7 | |
Repurchase Agreements | | | 8.6 | |
Money Market Funds | | | 6.6 | |
Municipal Bonds | | | 1.9 | |
Agency Obligations | | | 0.9 | |
Loan Agreements | | | 0.4 | |
Swap Agreements | | | 0.3 | |
Future Contracts | | | 0.2 | |
Commercial Paper | | | 0.2 | |
Purchased Option | | | — | ** |
Written Options | | | (0.1 | ) |
TBA Sale Commitments | | | (1.9 | ) |
Forward Foreign Currency Contracts | | | (7.7 | ) |
| | | | |
| | | 100.2 | |
| | | | |
| ** | Rounds to less than 0.005%. |
| | | | |
| | See Notes to Financial Statements. | | 91 |
Swap agreements outstanding at December 31, 2012:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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 | | | $ | 1,525,000 | | | $ | 79,600 | | | $ | — | | | $ | 79,600 | |
Morgan Stanley ABS Capital I, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
7.02% due 12/27/33 | | | (0.54 | )% | | | 12/27/33 | | | | MSCS | | | | USD | | | | 313,062 | | | | 39,944 | | | | — | | | | 39,944 | |
Long Beach Mortgage Trust, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
6.72% due 02/25/34 | | | (0.49 | )% | | | 02/25/34 | | | | BAR | | | | USD | | | | 334,409 | | | | 158,104 | | | | — | | | | 158,104 | |
Specialty Underwriting &
Residential Finance, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
6.62% due 02/25/35 | | | (0.59 | )% | | | 02/25/35 | | | | BAR | | | | USD | | | | 353,593 | | | | 296,052 | | | | — | | | | 296,052 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 2,526,064 | | | $ | 573,700 | | | $ | — | | | $ | 573,700 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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 | |
General Electric Capital
Corporation, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
5.625% due 09/15/17 | | | 0.16 | % | | | 1.00 | % | | | 09/20/13 | | | | UBS | | | | USD | | | $ | 700,000 | | | $ | 4,387 | | | $ | (7,314 | ) | | $ | 11,701 | |
Barclays Bank PLC, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
1.551% due 10/27/15 | | | 1.24 | % | | | 1.00 | % | | | 12/20/17 | | | | GSC | | | | EUR | | | | 1,200,000 | | | | (17,931 | ) | | | (49,796 | ) | | | 31,865 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | 1,900,000 | | | $ | (13,544 | ) | | $ | (57,110 | ) | | $ | 43,566 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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 | |
CMBX.NA.AAA.4
Index | | | (0.35 | )% | | | 02/17/51 | | | | GSC | | | | USD | | | $ | 5,700,000 | | | $ | 246,846 | | | $ | 802,627 | | | $ | (555,781 | ) |
Dow Jones CDX IG14
Index | | | (1.00 | )% | | | 06/20/15 | | | | CME | | | | USD | | | | 7,900,000 | | | | (105,914 | ) | | | 7,236 | | | | (113,150 | ) |
Dow Jones CDX IG16
Index | | | (1.00 | )% | | | 12/20/15 | | | | CME | | | | USD | | | | 1,800,000 | | | | (24,507 | ) | | | 12,494 | | | | (37,001 | ) |
Dow Jones CDX IG16
Index | | | (1.00 | )% | | | 06/20/16 | | | | CME | | | | USD | | | | 400,000 | | | | (4,862 | ) | | | 6,567 | | | | (11,429 | ) |
Dow Jones iTraxx | | | (1.00 | )% | | | 06/20/17 | | | | BNP | | | | USD | | | | 1,100,000 | | | | 6,847 | | | | 13,859 | | | | (7,012 | ) |
Dow Jones CDX IG9
Index | | | (0.80 | )% | | | 12/20/17 | | | | CME | | | | USD | | | | 16,552,800 | | | | 331,431 | | | | 737,323 | | | | (405,892 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 33,452,800 | | | $ | 449,841 | | | $ | 1,580,106 | | | $ | (1,130,265 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| 92 | | See Notes to Financial Statements. | | |
LOW-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) | |
Interest Rate Swaps | | | | | | | | | | | | | | | | | |
Brazil CETIP Interbank Deposit | | | 7.78 | % | | | 01/02/14 | | | | HKSB | | | | BRL | | | $ | 10,300,000 | | | $ | 36,324 | | | $ | 17,142 | | | $ | 19,182 | |
Brazil CETIP Interbank Deposit | | | 11.94 | % | | | 01/02/14 | | | | HKSB | | | | BRL | | | | 6,600,000 | | | | 242,653 | | | | 6,020 | | | | 236,633 | |
Brazil CETIP Interbank Deposit | | | 11.96 | % | | | 01/02/14 | | | | GSC | | | | BRL | | | | 3,900,000 | | | | 158,293 | | | | (18,541 | ) | | | 176,834 | |
Brazil CETIP Interbank Deposit | | | 12.51 | % | | | 01/02/14 | | | | BAR | | | | BRL | | | | 1,000,000 | | | | 39,340 | | | | 514 | | | | 38,826 | |
Brazil CETIP Interbank Deposit | | | 8.03 | % | | | 01/02/14 | | | | GSC | | | | BRL | | | | 1,000,000 | | | | 5,126 | | | | — | | | | 5,126 | |
Brazil CETIP Interbank Deposit | | | 12.56 | % | | | 01/02/14 | | | | HSBC | | | | BRL | | | | 800,000 | | | | 31,826 | | | | 642 | | | | 31,184 | |
Brazil CETIP Interbank Deposit | | | 7.40 | % | | | 01/02/14 | | | | BAR | | | | BRL | | | | 700,000 | | | | 1,027 | | | | (72 | ) | | | 1,099 | |
Brazil CETIP Interbank Deposit | | | 10.14 | % | | | 01/02/15 | | | | HKSB | | | | BRL | | | | 3,800,000 | | | | 95,742 | | | | 7,380 | | | | 88,362 | |
Brazil CETIP Interbank Deposit | | | 8.08 | % | | | 01/02/15 | | | | HKSB | | | | BRL | | | | 3,200,000 | | | | 13,222 | | | | 5,579 | | | | 7,643 | |
Brazil CETIP Interbank Deposit | | | 8.43 | % | | | 01/02/15 | | | | DEUT | | | | BRL | | | | 1,000,000 | | | | 7,881 | | | | 5,750 | | | | 2,131 | |
Brazil CETIP Interbank Deposit | | | 9.93 | % | | | 01/02/15 | | | | UBS | | | | BRL | | | | 400,000 | | | | 9,218 | | | | 280 | | | | 8,938 | |
Brazil CETIP Interbank Deposit | | | 8.83 | % | | | 01/02/15 | | | | HKSB | | | | BRL | | | | 200,000 | | | | 2,381 | | | | 339 | | | | 2,042 | |
Brazil CETIP Interbank Deposit | | | 8.49 | % | | | 01/02/17 | | | | BNP | | | | BRL | | | | 900,000 | | | | 3,072 | | | | — | | | | 3,072 | |
6-Month EURIBOR | | | 2.00 | % | | | 03/21/17 | | | | CME | | | | EUR | | | | 3,600,000 | | | | 313,844 | | | | 106,494 | | | | 207,350 | |
6-Month BBR BBSW Index | | | 5.50 | % | | | 12/15/17 | | | | BAR | | | | AUD | | | | 1,500,000 | | | | 158,050 | | | | (5,029 | ) | | | 163,079 | |
6-Month BBR BBSW Index | | | 5.50 | % | | | 12/15/17 | | | | DEUT | | | | AUD | | | | 1,000,000 | | | | 105,168 | | | | (2,997 | ) | | | 108,165 | |
3-Month LIBOR | | | 1.50 | % | | | 01/04/18 | | | | CME | | | | USD | | | | 500,000 | | | | (1,223 | ) | | | — | | | | (1,223 | ) |
6-Month BBR BBSW Index | | | 3.75 | % | | | 03/15/18 | | | | CME | | | | AUD | | | | 5,400,000 | | | | 115,607 | | | | 5,510 | | | | 110,097 | |
MXN-TIIE-Banxico | | | 7.50 | % | | | 06/02/21 | | | | UBS | | | | MXN | | | | 300,000 | | | | 2,884 | | | | 847 | | | | 2,037 | |
6-Month BBR BBSW Index | | | 3.75 | % | | | 03/15/23 | | | | CME | | | | AUD | | | | 3,500,000 | | | | (29,039 | ) | | | (22,821 | ) | | | (6,218 | ) |
6-Month BBR BBSW Index | | | 4.00 | % | | | 03/15/23 | | | | CME | | | | AUD | | | | 1,400,000 | | | | 18,603 | | | | 4,422 | | | | 14,181 | |
6-Month BBR BBSW Index | | | 4.25 | % | | | 03/15/23 | | | | CME | | | | AUD | | | | 200,000 | | | | 6,974 | | | | 1,093 | | | | 5,881 | |
6-Month EURIBOR | | | 1.75 | % | | | 03/20/23 | | | | CME | | | | EUR | | | | 800,000 | | | | (12,687 | ) | | | 15,456 | | | | (28,143 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 52,000,000 | | | $ | 1,324,286 | | | $ | 128,008 | | | $ | 1,196,278 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Swap agreements outstanding at December 31, 2012 | | | $ | 89,878,864 | | | $ | 2,334,283 | | | $ | 1,651,004 | | | $ | 683,279 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 93 |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2012, 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 | | | $ | 7,526,532 | | | | $ | — | | | | $ | 7,526,532 | | | | $ | — | |
Asset-Backed Securities | | | | 70,497,869 | | | | | — | | | | | 66,052,033 | | | | | 4,445,836 | |
Commercial Paper | | | | 1,152,675 | | | | | — | | | | | 1,152,675 | | | | | — | |
Corporate Bonds | | | | 172,824,171 | | | | | — | | | | | 167,708,077 | | | | | 5,116,094 | |
Foreign Bonds | | | | 140,315,611 | | | | | — | | | | | 138,860,358 | | | | | 1,455,253 | |
Loan Agreements | | | | 2,987,177 | | | | | — | | | | | 2,987,177 | | | | | — | |
Money Market Funds | | | | 53,897,983 | | | | | 53,897,983 | | | | | — | | | | | — | |
Mortgage-Backed Securities | | | | 179,631,273 | | | | | — | | | | | 159,724,130 | | | | | 19,907,143 | |
Municipal Bonds | | | | 15,701,966 | | | | | — | | | | | 15,701,966 | | | | | — | |
Purchased Option | | | | 143,757 | | | | | — | | | | | 143,757 | | | | | — | |
Repurchase Agreements | | | | 69,800,000 | | | | | — | | | | | 69,800,000 | | | | | — | |
U.S. Treasury Obligations | | | | 175,217,493 | | | | | — | | | | | 175,217,493 | | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | | $ | 889,696,507 | | | | $ | 53,897,983 | | | | $ | 804,874,198 | | | | $ | 30,924,326 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | $ | 111,964 | | | | $ | 111,964 | | | | $ | — | | | | $ | — | |
Swap Agreements | | | | 2,334,283 | | | | | — | | | | | 2,334,283 | | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | | $ | 2,446,247 | | | | $ | 111,964 | | | | $ | 2,334,283 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | |
Investments in Securities: | | | | | | | | | | | | | | | | | | | | |
TBA Sale Commitments | | | $ | (15,132,344 | ) | | | $ | — | | | | $ | (15,132,344 | ) | | | $ | — | |
Written Options | | | | (473,915 | ) | | | | — | | | | | (473,915 | ) | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Liabilities - Investments in Securities | | | $ | (15,606,259 | ) | | | $ | — | | | | $ | (15,606,259 | ) | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | | $ | (1,557,046 | ) | | | $ | — | | | | $ | (1,557,046 | ) | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Liabilities - Other Financial Instruments | | | $ | (1,557,046 | ) | | | $ | — | | | | $ | (1,557,046 | ) | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
***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.
There were no transfers between Level 1 and Level 2 during the year ended December 31, 2012.
The unobservable inputs used in the fair value measurement of the reporting entity’s asset-backed securities, corporate bonds, foreign bonds and mortgage-backed securities are values based on evaluated quotations received from dealers who make markets in such securities. Significant increases (decreases) in those evaluated quotations would result in a significantly higher (lower) fair value measurement.
| | | | |
| 94 | | See Notes to Financial Statements. | | |
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Total
Value | | Asset-Backed
Securities | | Corporate
Bonds | | Foreign
Bonds | | Mortgage-Backed
Securities |
Balance, 12/31/11 | | | $ | 2,080,728 | | | | $ | 884,143 | | | | $ | 1,195,328 | | | | $ | — | | | | $ | 1,257 | |
Accrued discounts/premiums | | | | 59 | | | | | (37 | ) | | | | (84 | ) | | | | (8 | ) | | | | 188 | |
Realized gain (loss)(1) | | | | 261 | | | | | — | | | | | — | | | | | — | | | | | 261 | |
Change in unrealized
appreciation (depreciation)(2) | | | | 7,980 | | | | | (4,497 | ) | | | | 13,390 | | | | | (14,721 | ) | | | | 13,808 | |
Purchases | | | | 12,030,549 | | | | | 2,221,856 | | | | | 2,351,374 | | | | | 1,343,838 | | | | | 6,113,481 | |
Sales | | | | (307,670 | ) | | | | (248,519 | ) | | | | — | | | | | — | | | | | (59,151 | ) |
Transfers in to Level 3(3) | | | | 17,198,161 | | | | | 1,592,890 | | | | | 1,556,086 | | | | | 126,144 | | | | | 13,923,041 | |
Transfers out of Level 3 | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
Maturities | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
Paydowns | | | | (85,742 | ) | | | | — | | | | | — | | | | | — | | | | | (85,742 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Balance, 12/31/12 | | | $ | 30,924,326 | | | | $ | 4,445,836 | | | | $ | 5,116,094 | | | | $ | 1,455,253 | | | | $ | 19,907,143 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| (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. |
| (2) | Change in unrealized appreciation (depreciation) can be found on the Statement of Operations in Net change in unrealized appreciation (depreciation) on investment securities. |
| (3) | Transfers into Level 3 represent the value of securities at December 31, 2012 that were transferred from Level 2 to Level 3 of the fair value hierarchy as a result of the inability of the Fund to obtain a price which was determined using observable inputs. |
| | | | |
| | See Notes to Financial Statements. | | 95 |
Medium-Duration Bond Fund
Throughout most of 2012, macroeconomic and geopolitical events seemed to dominate the headlines, causing vast changes in investor sentiment and volatility in the capital markets. During the year, the capital markets were absorbing a great deal of information related to the European financial crisis, domestic economic growth, the resolution to the U.S. “fiscal cliff” and the U.S. Presidential election. Underneath these clouds of uncertainty, the capital markets quietly shrugged off these issues and posted positive annual returns that were higher than many pundits thought at the beginning of the year. During the year, riskier asset classes such as equities, high yield bonds and emerging markets debt dominated as investors were willing to take on more risk in the low interest rate environment. This behavior was somewhat explained by improving corporate fundamentals and the fact that monetary/fiscal policies implemented around the globe had greatly reduced the probability of a “left-tail event” (or a severe global recession). The broad domestic bond market, as measured by the Barclays Capital U.S. Aggregate Bond Index, posted an annual return of 4.22%. In comparison, the S&P 500® Index, a broad performance measure of U.S. stocks, was up 16.00% for the year.
Despite the macroeconomic headwinds and an increase in investors’ risk appetite, all major bond market sectors posted positive returns for the year, led by riskier sectors. Throughout the year, U.S. Treasury yields remained at historically low levels across the yield curve. Short-term rates remained low in response to the Federal Reserve’s implementation of a near zero federal funds rate for the foreseeable future and the implementation of non-traditional strategies such as Operation Twist and the third round of quantitative easing (QE3). Market forces, lack of inflationary pressures and Federal Reserve policies kept mid- and longer-dated U.S. Treasury yields relatively unchanged during the year. The U.S. Treasury sector was one of the worst performing bond sectors during the year as it was negatively impacted by the “risk on” and low yield environment. As a sector, U.S. Treasuries posted an annual return of 1.99%, with longer-dated U.S. Treasuries posting a slightly higher annual return of 3.78%. Shorter-term U.S. Treasuries, as measured by the Bank of America Merrill Lynch 1-3 Year Treasury Index, generated a one-year return of 0.43%. The year ended with Treasury yields at remarkably low levels with the yield on the 10-year U.S. Treasury bond at 1.76% and the 30-year U.S. Treasury bond at 2.95%.
With investors willing to take on more risk for the potential of higher return, non-U.S. Treasury bonds (bonds that trade at a risk premium or “spread” to U.S. Treasuries) outpaced U.S. Treasury securities during 2012. Generally, lower quality bonds outpaced higher quality bonds while longer maturity bonds typically outperformed shorter maturity bonds. Non-U.S. Treasury bond sector returns varied by risk. The Barclays Capital U.S. Aggregate - Investment Grade (defined by credit quality of BBB- or higher) produced an annual return of 9.82%. Corporate bonds benefited from improving underlying corporate fundamentals, strong balance sheets and high investor demand. Within the corporate bond sector, the Barclays Capital U.S. Aggregate - Investment Grade Financial Index led with an annual return of 14.65%. The Barclays Capital U.S. High Yield - Corporate Index (defined by below investment grade corporate bonds) generated an annual return of 15.81%, benefiting from strong corporate fundamentals and a historically low default rate environment. Emerging markets debt was another top performer, as the JP Morgan EMBI+ Index generated an annual return of 18.04%, which outpaced U.S. stocks for the year.
The Fund invested in a diversified portfolio composed of investment grade fixed income securities with an average dollar-weighted duration (a measure of bond prices’ sensitivity to changes in interest rates) normally between three to seven years. The GS4 Class of the Fund outperformed its benchmark index, the Barclays Capital U.S. Aggregate Bond Index, for the one-year period ended December 31, 2012 (7.68% versus 4.22%). The Fund’s benchmark relative outperformance was largely attributable to the Fund’s exposure to and security selection in non-U.S. Treasury sectors. The Fund was generally underweight U.S. Treasuries in favor of spread sectors, which outperformed U.S. Treasuries for the year. During this historically low interest rate environment, U.S. Treasuries appeared expensive relative to the more attractively valued spread sectors that were demonstrating improving fundamentals while offering a higher yield orientation. During the year, the Fund remained diversified across multiple spread sectors including, but not limited to, corporate bonds, mortgage-backed securities, Yankee bonds and non-U.S. bonds. High yield and emerging markets bonds were also utilized on a tactical basis.
Other strategies involving derivatives were utilized during the year. U.S. Treasury futures contracts were used for the purpose of duration management and yield curve positioning strategies. Overall, these positions had little impact on performance. Currency forward contracts were utilized in an effort to hedge foreign currency risk and to add exposure to rising currencies. These currency strategies resulted in a minimal positive impact to the Fund’s performance. In an effort to take advantage of interest rate and credit quality viewpoints during the year, certain derivative instruments were also used including interest rate swaps and credit default swaps. These strategies had a slight positive impact on the Fund’s performance. During the year, the Fund remained focused on its objective of seeking maximum total return consistent with preservation of capital.
96
Medium-Duration Bond Fund
This Fund may be suitable for investors who have a short- to medium-term investment horizon, seek higher returns than those offered by a shorter maturity bond fund, can accept some short-term fluctuations in account value and want to diversify their portfolio with a fixed income investment option. This Fund is subject to interest rate risk. Meaning, when interest rates rise, the value of the existing bonds decrease and vice versa. Changes in interest rates have a bigger impact on long duration holdings than on short duration holdings. To the extent that the investment adviser misjudges current market conditions, the Fund’s volatility may be amplified by its use of short sales and derivatives and by its ability to select sub-advisers to allocate assets. Short sales by a fund theoretically involve unlimited loss potential since the market price of securities sold short may continuously increase. Leverage may increase the risk of loss and cause fluctuations in the market value of the Fund’s portfolio to have disproportionately large effects or cause the net asset value of the Fund generally to decline faster than it would otherwise.
Please see page 113 for information regarding specific portfolio allocations. Portfolio holdings are subject to change and risk at any time.
97
Medium-Duration Bond Fund
| | | | | | |
| Average Annual Total Returns as of 12/31/12 |
| | | GS2 Class* | | GS4 Class* | | Benchmark** |
One Year | | 7.93% | | 7.68% | | 4.22% |
Five Year | | 7.10% | | 6.97% | | 5.95% |
Ten Year | | 6.13% | | 5.99% | | 5.18% |
Inception Date | | 08/27/01 | | 08/27/01 | | |
Total Fund Operating Expenses (April 28, 2012 Prospectus, as amended on November 30, 2012)(1) | | 0.54% | | 0.77% | | |
(1) Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph compares the results of a hypothetical $10,000 investment in the GS4 Class of the Fund for the 10 year period from December 31, 2002 to December 31, 2012, with all dividends and capital gains reinvested, with the Barclays Capital U.S. Aggregate Bond Index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
**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 fixed-rate bond market, with index components for government and corporate securities, mortgage pass-through securities and asset-backed securities.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
98
| | |
MEDIUM-DURATION BOND FUND SCHEDULE OF INVESTMENTS | | December 31, 2012 |
| | | | | | | | |
| | | Par | | | Value | |
AGENCY OBLIGATIONS — 1.2% | |
Federal Farm Credit Bank | | | | | | | | |
5.05%, 11/06/17 | | $ | 400,000 | | | $ | 480,645 | |
Federal Home Loan Bank | | | | | | | | |
0.21%, 01/04/13‡‡ | | | 1,600,000 | | | | 1,600,010 | |
5.63%, 06/11/21 | | | 700,000 | | | | 912,080 | |
Federal Home Loan Mortgage
Corporation | | | | | | | | |
4.38%, 01/15/14(E) | | | 400,000 | | | | 545,709 | |
1.25%, 08/01/19 | | | 900,000 | | | | 902,667 | |
2.38%, 01/13/22D | | | 2,000,000 | | | | 2,093,602 | |
Federal National Mortgage
Association | | | | | | | | |
0.02%, 02/20/13† | | | 60,000 | | | | 59,999 | |
0.88%, 08/28/17 | | | 500,000 | | | | 502,014 | |
6.10%, 10/09/19† | | | 150,000 | | | | 131,629 | |
6.25%, 05/15/29 | | | 500,000 | | | | 720,341 | |
6.63%, 11/15/30D | | | 1,170,000 | | | | 1,787,266 | |
Tennessee Valley Authority | | | | | | | | |
5.25%, 09/15/39 | | | 350,000 | | | | 462,343 | |
4.63%, 09/15/60 | | | 200,000 | | | | 240,825 | |
Total Agency Obligations
(Cost $9,753,509) | | | | | | | 10,439,130 | |
ASSET-BACKED SECURITIES — 2.8% | |
Access Group, Inc. | | | | | | | | |
1.62%, 10/27/25† | | | 1,165,554 | | | | 1,174,736 | |
Amortizing Residential
Collateral Trust | | | | | | | | |
0.49%, 01/01/32† | | | 31,266 | | | | 23,711 | |
Asset-Backed Securities
Corporation Home Equity | | | | | | | | |
0.48%, 09/25/34† | | | 168,113 | | | | 161,472 | |
Avis Budget Rental Car
Funding AESOP LLC | | | | | | | | |
3.15%, 03/20/17 144A | | | 160,000 | | | | 169,216 | |
2.80%, 05/20/18 144A | | | 200,000 | | | | 210,903 | |
Bayview Financial
Acquisition Trust | | | | | | | | |
0.88%, 02/28/44† | | | 309,867 | | | | 302,101 | |
Bear Stearns Asset-Backed
Securities, Inc. | | | | | | | | |
6.00%, 10/25/36 | | | 2,212,534 | | | | 1,695,042 | |
6.50%, 10/25/36 | | | 2,868,356 | | | | 2,301,515 | |
Brazos Higher Education
Authority | | | | | | | | |
0.42%, 09/25/23† | | | 324,010 | | | | 323,269 | |
CIT Mortgage Loan Trust | | | | | | | | |
1.46%, 10/25/37 144A† | | | 401,693 | | | | 391,336 | |
College Loan Corporation Trust | | | | | | | | |
0.51%, 04/25/24† | | | 500,000 | | | | 471,103 | |
0.41%, 10/25/25† | | | 1,000,000 | | | | 984,385 | |
Countrywide Home Equity
Loan Trust | | | | | | | | |
0.50%, 02/15/34† | | | 281,818 | | | | 208,101 | |
0.45%, 12/15/35† | | | 402,577 | | | | 235,749 | |
0.35%, 07/15/36† | | | 702,090 | | | | 462,782 | |
Education Funding
Capital Trust I | | | | | | | | |
2.80%, 06/15/43Ώ† | | | 700,000 | | | | 630,259 | |
EMC Mortgage Loan Trust | | | | | | | | |
0.76%, 11/25/41 144A† | | | 74,695 | | | | 70,821 | |
Financial Asset Securities
Corporation AAA Trust | | | | | | | | |
0.62%, 02/27/35 144A† | | | 956,168 | | | | 569,208 | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
GCO Education Loan
Funding Trust | | | | | | | | | | | | |
0.54%, 05/25/36† | | | | $ | 150,000 | | | | | $ | 130,377 | |
GMAC Mortgage Corporation
Loan Trust | | | | | | | | | | | | |
7.00%, 09/25/37 | | | | | 305,372 | | | | | | 282,286 | |
Hertz Vehicle Financing LLC | | | | | | | | | | | | |
5.29%, 03/25/16 144A | | | | | 400,000 | | | | | | 435,067 | |
Lehman XS Trust | | | | | | | | | | | | |
0.51%, 11/25/35† | | | | | 670,725 | | | | | | 536,172 | |
Magnolia Funding, Ltd. | | | | | | | | | | | | |
3.00%, 04/20/17 144A(E) | | | | | 305,073 | | | | | | 403,020 | |
Nelnet Education Loan
Funding, Inc. | | | | | | | | | | | | |
1.09%, 02/25/39† | | | | | 800,000 | | | | | | 725,094 | |
Panhandle-Plains Higher
Education Authority, Inc. | | | | | | | | | | | | |
1.44%, 10/01/35† | | | | | 706,978 | | | | | | 719,095 | |
Provident Bank Home Equity Loan Trust | | | | | | | | | | | | |
0.75%, 08/25/31† | | | | | 99,326 | | | | | | 53,747 | |
RAMP Trust | | | | | | | | | | | | |
0.69%, 03/25/34† | | | | | 334,245 | | | | | | 277,874 | |
Residential Funding
Securities LLC | | | | | | | | | | | | |
0.66%, 06/25/33 144A† | | | | | 127,128 | | | | | | 125,411 | |
Salomon Brothers Mortgage
Securities VII, Inc. | | | | | | | | | | | | |
0.69%, 03/25/28† | | | | | 29,834 | | | | | | 28,550 | |
SLM Student Loan Trust | | | | | | | | | | | | |
1.82%, 04/25/23† | | | | | 4,790,751 | | | | | | 4,992,374 | |
2.02%, 07/25/23† | | | | | 1,100,000 | | | | | | 1,160,945 | |
0.60%, 12/15/25 144A† | | | | | 400,000 | | | | | | 390,736 | |
0.44%, 01/25/27† | | | | | 900,000 | | | | | | 879,829 | |
3.50%, 08/17/43 144A† | | | | | 1,088,720 | | | | | | 1,053,493 | |
3.46%, 05/16/44 144A† | | | | | 1,234,949 | | | | | | 1,301,515 | |
Structured Asset Investment Loan Trust | | | | | | | | | | | | |
1.05%, 08/25/34† | | | | | 434,744 | | | | | | 418,642 | |
| | | | | | | | | | | | |
Total Asset-Backed Securities
(Cost $25,855,653) | | | | | | 24,299,936 | |
| | | | | | | | | | | | |
CORPORATE BONDS — 20.9% | |
AbbVie, Inc. | | | | | | | | | | | | |
1.75%, 11/06/17 144AD | | | | | 1,520,000 | | | | | | 1,538,313 | |
2.90%, 11/06/22 144A | | | | | 320,000 | | | | | | 326,578 | |
Access Midstream
Partners LP | | | | | | | | | | | | |
5.88%, 04/15/21 | | | | | 330,000 | | | | | | 352,275 | |
4.88%, 05/15/23 | | | | | 10,000 | | | | | | 10,162 | |
Ally Financial, Inc. | | | | | | | | | | | | |
6.25%, 12/01/17 | | | | | 606,000 | | | | | | 673,246 | |
American Express Co. | | | | | | | | | | | | |
6.80%, 09/01/66† | | | | | 1,320,000 | | | | | | 1,422,300 | |
American Express Credit
Corporation | | | | | | | | | | | | |
5.13%, 08/25/14 | | | | | 160,000 | | | | | | 171,483 | |
American General Capital II | | | | | | | | | | | | |
8.50%, 07/01/30 | | | | | 250,000 | | | | | | 316,250 | |
American Honda Finance
Corporation | | | | | | | | | | | | |
1.00%, 08/11/15 144A | | | | | 480,000 | | | | | | 483,016 | |
American International
Group, Inc. | | | | | | | | | | | | |
3.75%, 11/30/13 144A | | | | | 200,000 | | | | | | 205,210 | |
2.38%, 08/24/15 | | | | | 175,000 | | | | | | 180,210 | |
| | | | |
| | See Notes to Financial Statements. | | 99 |
| | | | | | | | | | | | |
| | | Par | | | Value | |
5.60%, 10/18/16 | | | | $ | 600,000 | | | | | $ | 685,777 | |
5.45%, 05/18/17 | | | | | 125,000 | | | | | | 143,848 | |
8.25%, 08/15/18 144A | | | | | 3,200,000 | | | | | | 4,214,336 | |
6.40%, 12/15/20 | | | | | 150,000 | | | | | | 186,420 | |
6.25%, 03/15/87 | | | | | 380,000 | | | | | | 407,550 | |
Anadarko Petroleum
Corporation | | | | | | | | | | | | |
6.38%, 09/15/17 | | | | | 40,000 | | | | | | 47,829 | |
ANZ Capital Trust II | | | | | | | | | | | | |
5.36%, 11/29/49 144A | | | | | 800,000 | | | | | | 824,000 | |
Apache Corporation | | | | | | | | | | | | |
6.00%, 09/15/13 | | | | | 680,000 | | | | | | 705,968 | |
Arch Coal, Inc. | | | | | | | | | | | | |
7.25%, 06/15/21D | | | | | 500,000 | | | | | | 463,750 | |
Arizona Public Service Co. | | | | | | | | | | | | |
8.75%, 03/01/19D | | | | | 525,000 | | | | | | 692,897 | |
Ashland, Inc. | | | | | | | | | | | | |
4.75%, 08/15/22 144AD | | | | | 550,000 | | | | | | 574,750 | |
ASIF Global Financing XIX | | | | | | | | | | | | |
4.90%, 01/17/13 144A | | | | | 100,000 | | | | | | 100,144 | |
AT&T, Inc. | | | | | | | | | | | | |
5.10%, 09/15/14 | | | | | 530,000 | | | | | | 569,560 | |
2.95%, 05/15/16 | | | | | 825,000 | | | | | | 874,148 | |
5.50%, 02/01/18 | | | | | 590,000 | | | | | | 703,657 | |
5.60%, 05/15/18D | | | | | 30,000 | | | | | | 36,231 | |
3.88%, 08/15/21 | | | | | 200,000 | | | | | | 223,314 | |
2.63%, 12/01/22 | | | | | 805,000 | | | | | | 808,077 | |
6.55%, 02/15/39 | | | | | 130,000 | | | | | | 171,441 | |
4.35%, 06/15/45 144A | | | | | 222,000 | | | | | | 223,968 | |
Baker Hughes, Inc. | | | | | | | | | | | | |
7.50%, 11/15/18 | | | | | 710,000 | | | | | | 941,742 | |
Ball Corporation | | | | | | | | | | | | |
5.00%, 03/15/22 | | | | | 525,000 | | | | | | 564,375 | |
Bank of America Corporation | | | | | | | | | | | | |
1.73%, 01/30/14† | | | | | 900,000 | | | | | | 907,758 | |
0.60%, 10/14/16†D | | | | | 1,700,000 | | | | | | 1,639,992 | |
3.88%, 03/22/17 | | | | | 130,000 | | | | | | 141,126 | |
6.00%, 09/01/17 | | | | | 325,000 | | | | | | 380,974 | |
5.75%, 12/01/17 | | | | | 2,340,000 | | | | | | 2,730,462 | |
5.65%, 05/01/18 | | | | | 950,000 | | | | | | 1,106,564 | |
5.88%, 01/05/21 | | | | | 150,000 | | | | | | 179,887 | |
5.00%, 05/13/21 | | | | | 20,000 | | | | | | 22,873 | |
5.70%, 01/24/22 | | | | | 575,000 | | | | | | 692,725 | |
Barrick North America
Finance LLC | | | | | | | | | | | | |
4.40%, 05/30/21 | | | | | 610,000 | | | | | | 670,134 | |
Bear Stearns Cos. LLC | | | | | | | | | | | | |
5.70%, 11/15/14 | | | | | 1,000,000 | | | | | | 1,087,159 | |
6.40%, 10/02/17D | | | | | 1,200,000 | | | | | | 1,442,707 | |
7.25%, 02/01/18 | | | | | 675,000 | | | | | | 846,732 | |
BellSouth Capital Funding
Corporation | | | | | | | | | | | | |
7.88%, 02/15/30 | | | | | 12,000 | | | | | | 15,855 | |
BellSouth Corporation | | | | | | | | | | | | |
6.88%, 10/15/31 | | | | | 1,000 | | | | | | 1,248 | |
Berkshire Hathaway, Inc. | | | | | | | | | | | | |
3.20%, 02/11/15D | | | | | 280,000 | | | | | | 294,930 | |
Blackstone Holdings
Finance Co. LLC | | | | | | | | | | | | |
4.75%, 02/15/23 144A | | | | | 150,000 | | | | | | 159,780 | |
6.25%, 08/15/42 144A | | | | | 150,000 | | | | | | 169,964 | |
Boeing Capital Corporation | | | | | | | | | | | | |
4.70%, 10/27/19 | | | | | 230,000 | | | | | | 271,777 | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
Boeing Co. | | | | | | | | | | | | |
4.88%, 02/15/20D | | | | $ | 300,000 | | | | | $ | 362,001 | |
6.63%, 02/15/38 | | | | | 210,000 | | | | | | 309,494 | |
Calpine Corporation | | | | | | | | | | | | |
7.88%, 01/15/23 144A | | | | | 700,000 | | | | | | 794,500 | |
Capital One Capital III | | | | | | | | | | | | |
7.69%, 08/01/66 | | | | | 600,000 | | | | | | 600,000 | |
Capital One Capital VI | | | | | | | | | | | | |
8.88%, 05/15/40 | | | | | 200,000 | | | | | | 200,000 | |
Capital One Financial
Corporation | | | | | | | | | | | | |
1.00%, 11/06/15 | | | | | 325,000 | | | | | | 324,128 | |
Caterpillar Financial Services
Corporation | | | | | | | | | | | | |
6.20%, 09/30/13 | | | | | 450,000 | | | | | | 469,512 | |
CCO Holdings LLC | | | | | | | | | | | | |
5.25%, 09/30/22D | | | | | 600,000 | | | | | | 610,500 | |
Cellco Partnership/Verizon
Wireless Capital LLC | | | | | | | | | | | | |
8.50%, 11/15/18 | | | | | 490,000 | | | | | | 674,918 | |
CenterPoint Energy Resources
Corporation | | | | | | | | | | | | |
5.95%, 01/15/14 | | | | | 525,000 | | | | | | 551,239 | |
CF Industries, Inc. | | | | | | | | | | | | |
7.13%, 05/01/20 | | | | | 175,000 | | | | | | 220,571 | |
Chubb Corporation | | | | | | | | | | | | |
6.38%, 03/29/67† | | | | | 375,000 | | | | | | 410,625 | |
Cigna Corporation | | | | | | | | | | | | |
2.75%, 11/15/16 | | | | | 225,000 | | | | | | 236,905 | |
CitiFinancial, Inc. | | | | | | | | | | | | |
6.63%, 06/01/15 | | | | | 300,000 | | | | | | 333,426 | |
Citigroup, Inc. | | | | | | | | | | | | |
6.00%, 12/13/13 | | | | | 980,000 | | | | | | 1,027,144 | |
5.13%, 05/05/14 | | | | | 69,000 | | | | | | 72,712 | |
5.00%, 09/15/14D | | | | | 1,720,000 | | | | | | 1,810,333 | |
6.01%, 01/15/15 | | | | | 150,000 | | | | | | 163,987 | |
5.50%, 02/15/17D | | | | | 1,160,000 | | | | | | 1,287,093 | |
6.13%, 11/21/17D | | | | | 1,205,000 | | | | | | 1,435,685 | |
6.13%, 05/15/18D | | | | | 2,400,000 | | | | | | 2,879,554 | |
4.50%, 01/14/22D | | | | | 175,000 | | | | | | 195,615 | |
6.88%, 03/05/38 | | | | | 330,000 | | | | | | 435,909 | |
5.90%, 12/29/49† | | | | | 130,000 | | | | | | 131,832 | |
5.95%, 12/29/49† | | | | | 200,000 | | | | | | 202,750 | |
Clean Harbors, Inc. | | | | | | | | | | | | |
5.25%, 08/01/20D | | | | | 195,000 | | | | | | 204,262 | |
Cliffs Natural Resources, Inc. | | | | | | | | | | | | |
3.95%, 01/15/18D | | | | | 320,000 | | | | | | 322,440 | |
4.80%, 10/01/20D | | | | | 110,000 | | | | | | 109,493 | |
4.88%, 04/01/21D | | | | | 60,000 | | | | | | 59,690 | |
Comcast Cable
Communications
Holdings, Inc. | | | | | | | | | | | | |
8.38%, 03/15/13 | | | | | 83,000 | | | | | | 84,313 | |
Comcast Corporation | | | | | | | | | | | | |
5.70%, 05/15/18 | | | | | 1,250,000 | | | | | | 1,504,609 | |
6.95%, 08/15/37 | | | | | 40,000 | | | | | | 54,427 | |
Concho Resources, Inc. | | | | | | | | | | | | |
5.50%, 10/01/22 | | | | | 260,000 | | | | | | 275,600 | |
ConocoPhillips Holding Co. | | | | | | | | | | | | |
6.95%, 04/15/29 | | | | | 420,000 | | | | | | 587,139 | |
Continental Airlines 1998-1
Class A Pass Through Trust | | | | | | | | | | | | |
6.65%, 03/15/19 | | | | | 239,983 | | | | | | 257,070 | |
Continental Resources, Inc. | | | | | | | | | | | | |
5.00%, 09/15/22 | | | | | 1,075,000 | | | | | | 1,163,688 | |
| | | | |
| 100 | | See Notes to Financial Statements. | | |
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Par | | | Value | |
COX Communications, Inc. | | | | | | | | | | | | |
5.45%, 12/15/14D | | | | $ | 69,000 | | | | | $ | 75,286 | |
3.25%, 12/15/22 144A | | | | | 300,000 | | | | | | 310,035 | |
Crown Castle International
Corporation | | | | | | | | | | | | |
5.25%, 01/15/23 144A | | | | | 550,000 | | | | | | 590,563 | |
CSC Holdings LLC | | | | | | | | | | | | |
8.63%, 02/15/19 | | | | | 305,000 | | | | | | 366,000 | |
CVS Caremark Corporation | | | | | | | | | | | | |
2.75%, 12/01/22D | | | | | 925,000 | | | | | | 930,403 | |
5.75%, 05/15/41 | | | | | 225,000 | | | | | | 281,221 | |
CVS Pass-Through Trust | | | | | | | | | | | | |
6.94%, 01/10/30 | | | | | 789,592 | | | | | | 996,586 | |
D.R. Horton, Inc. | | | | | | | | | | | | |
4.38%, 09/15/22D | | | | | 550,000 | | | | | | 563,750 | |
Daimler Finance NA LLC | �� | | | | | | | | | | | |
6.50%, 11/15/13 | | | | | 100,000 | | | | | | 104,996 | |
0.92%, 03/28/14 144A† | | | | | 3,400,000 | | | | | | 3,408,218 | |
1.30%, 07/31/15 144A | | | | | 640,000 | | | | | | 644,122 | |
DDR Corporation | | | | | | | | | | | | |
4.63%, 07/15/22D | | | | | 400,000 | | | | | | 437,371 | |
Delta Air Lines 2007-1 Class A Pass Through Trust | | | | | | | | | | | | |
6.82%, 02/10/24 | | | | | 354,847 | | | | | | 396,081 | |
Devon Energy Corporation | | | | | | | | | | | | |
3.25%, 05/15/22D | | | | | 90,000 | | | | | | 94,118 | |
5.60%, 07/15/41 | | | | | 340,000 | | | | | | 405,409 | |
Discover Financial Services | | | | | | | | | | | | |
3.85%, 11/21/22 144A | | | | | 425,000 | | | | | | 439,447 | |
DISH DBS Corporation | | | | | | | | | | | | |
6.63%, 10/01/14 | | | | | 30,000 | | | | | | 32,325 | |
7.75%, 05/31/15D | | | | | 200,000 | | | | | | 224,750 | |
5.88%, 07/15/22 | | | | | 360,000 | | | | | | 388,800 | |
DPL, Inc. | | | | | | | | | | | | |
7.25%, 10/15/21D | | | | | 350,000 | | | | | | 376,250 | |
Eastman Chemical Co. | | | | | | | | | | | | |
2.40%, 06/01/17 | | | | | 575,000 | | | | | | 594,736 | |
Eaton Corporation | | | | | | | | | | | | |
1.50%, 11/02/17 144A | | | | | 180,000 | | | | | | 180,577 | |
2.75%, 11/02/22 144AD | | | | | 520,000 | | | | | | 519,506 | |
4.15%, 11/02/42 144A | | | | | 200,000 | | | | | | 203,128 | |
Ecolab, Inc. | | | | | | | | | | | | |
3.00%, 12/08/16 | | | | | 275,000 | | | | | | 292,518 | |
4.35%, 12/08/21 | | | | | 330,000 | | | | | | 369,029 | |
El Paso LLC | | | | | | | | | | | | |
7.00%, 06/15/17 | | | | | 710,000 | | | | | | 814,610 | |
7.80%, 08/01/31D | | | | | 750,000 | | | | | | 878,214 | |
El Paso Natural Gas Co. | | | | | | | | | | | | |
7.50%, 11/15/26D | | | | | 300,000 | | | | | | 399,252 | |
Enterprise Products
Operating LLC | | | | | | | | | | | | |
5.25%, 01/31/20 | | | | | 10,000 | | | | | | 11,901 | |
6.13%, 10/15/39 | | | | | 30,000 | | | | | | 36,373 | |
5.95%, 02/01/41 | | | | | 60,000 | | | | | | 72,706 | |
5.70%, 02/15/42D | | | | | 510,000 | | | | | | 599,576 | |
8.38%, 08/01/66† | | | | | 325,000 | | | | | | 371,197 | |
7.03%, 01/15/68† | | | | | 475,000 | | | | | | 544,460 | |
EOG Resources, Inc. | | | | | | | | | | | | |
1.06%, 02/03/14† | | | | | 3,500,000 | | | | | | 3,525,392 | |
Equinix, Inc. | | | | | | | | | | | | |
7.00%, 07/15/21 | | | | | 975,000 | | | | | | 1,085,906 | |
ERP Operating LP | | | | | | | | | | | | |
4.63%, 12/15/21 | | | | | 250,000 | | | | | | 282,114 | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
Exelon Corporation | | | | | | | | | | | | |
5.63%, 06/15/35 | | | | $ | 655,000 | | | | | $ | 733,678 | |
Express Scripts Holding Co. | | | | | | | | | | | | |
3.50%, 11/15/16 144A | | | | | 1,020,000 | | | | | | 1,091,539 | |
2.65%, 02/15/17 144A | | | | | 250,000 | | | | | | 260,101 | |
Fifth Third Bancorp | | | | | | | | | | | | |
3.63%, 01/25/16 | | | | | 175,000 | | | | | | 187,111 | |
Fifth Third Bank Ohio | | | | | | | | | | | | |
0.42%, 05/17/13† | | | | | 400,000 | | | | | | 399,939 | |
First Niagara Financial
Group, Inc. | | | | | | | | | | | | |
6.75%, 03/19/20 | | | | | 250,000 | | | | | | 296,274 | |
FirstEnergy Corporation | | | | | | | | | | | | |
7.38%, 11/15/31D | | | | | 890,000 | | | | | | 1,152,742 | |
Ford Motor
Credit Co., LLC | | | | | | | | | | | | |
5.63%, 09/15/15 | | | | | 3,100,000 | | | | | | 3,402,355 | |
8.00%, 12/15/16D | | | | | 1,475,000 | | | | | | 1,784,703 | |
5.00%, 05/15/18 | | | | | 225,000 | | | | | | 248,836 | |
5.88%, 08/02/21D | | | | | 300,000 | | | | | | 349,963 | |
Freeport-McMoRan
Copper & Gold, Inc. | | | | | | | | | | | | |
3.55%, 03/01/22D | | | | | 590,000 | | | | | | 586,283 | |
Fresenius Medical Care US
Finance, Inc. | | | | | | | | | | | | |
6.88%, 07/15/17 | | | | | 250,000 | | | | | | 282,500 | |
Frontier Communications
Corporation | | | | | | | | | | | | |
8.50%, 04/15/20D | | | | | 475,000 | | | | | | 548,625 | |
GE Capital Trust I | | | | | | | | | | | | |
6.38%, 11/15/67†D | | | | | 321,000 | | | | | | 339,056 | |
General Electric Capital
Corporation | | | | | | | | | | | | |
1.63%, 07/02/15D | | | | | 1,170,000 | | | | | | 1,190,143 | |
6.00%, 08/07/19D | | | | | 1,850,000 | | | | | | 2,253,788 | |
4.38%, 09/16/20D | | | | | 330,000 | | | | | | 368,904 | |
5.88%, 01/14/38 | | | | | 150,000 | | | | | | 181,579 | |
General Electric Co. | | | | | | | | | | | | |
0.85%, 10/09/15D | | | | | 210,000 | | | | | | 210,884 | |
2.70%, 10/09/22 | | | | | 525,000 | | | | | | 536,282 | |
George Washington
University | | | | | | | | | | | | |
1.83%, 09/15/17 | | | | | 2,600,000 | | | | | | 2,650,895 | |
GlaxoSmithKline Capital, Inc. | | | | | | | | | | | | |
5.65%, 05/15/18 | | | | | 380,000 | | | | | | 463,406 | |
Goldman Sachs Capital II | | | | | | | | | | | | |
4.00%, 06/01/43† | | | | | 60,000 | | | | | | 46,940 | |
Goldman Sachs Group, Inc. | | | | | | | | | | | | |
4.75%, 07/15/13 | | | | | 20,000 | | | | | | 20,422 | |
5.25%, 10/15/13 | | | | | 160,000 | | | | | | 165,634 | |
6.00%, 05/01/14 | | | | | 90,000 | | | | | | 95,813 | |
5.75%, 10/01/16D | | | | | 1,900,000 | | | | | | 2,163,786 | |
5.95%, 01/18/18D | | | | | 1,000,000 | | | | | | 1,164,982 | |
6.00%, 06/15/20 | | | | | 460,000 | | | | | | 547,419 | |
5.25%, 07/27/21 | | | | | 110,000 | | | | | | 125,617 | |
6.25%, 02/01/41 | | | | | 550,000 | | | | | | 677,271 | |
HCA, Inc. | | | | | | | | | | | | |
6.50%, 02/15/16D | | | | | 686,000 | | | | | | 749,455 | |
7.88%, 02/15/20 | | | | | 125,000 | | | | | | 139,688 | |
7.69%, 06/15/25 | | | | | 250,000 | | | | | | 256,875 | |
HCP, Inc. REIT | | | | | | | | | | | | |
6.00%, 01/30/17 | | | | | 300,000 | | | | | | 344,941 | |
2.63%, 02/01/20D | | | | | 300,000 | | | | | | 299,309 | |
Hess Corporation | | | | | | | | | | | | |
8.13%, 02/15/19 | | | | | 330,000 | | | | | | 434,864 | |
| | | | |
| | See Notes to Financial Statements. | | 101 |
| | | | | | | | | | | | |
| | | Par | | | Value | |
7.88%, 10/01/29 | | | | $ | 260,000 | | | | | $ | 362,450 | |
Hewlett-Packard Co. | | | | | | | | | | | | |
0.59%, 05/24/13† | | | | | 3,000,000 | | | | | | 2,991,606 | |
3.00%, 09/15/16 | | | | | 300,000 | | | | | | 302,182 | |
2.60%, 09/15/17D | | | | | 300,000 | | | | | | 292,567 | |
4.30%, 06/01/21 | | | | | 124,000 | | | | | | 123,037 | |
HSBC USA, Inc. | | | | | | | | | | | | |
2.38%, 02/13/15 | | | | | 1,700,000 | | | | | | 1,749,567 | |
Humana, Inc. | | | | | | | | | | | | |
7.20%, 06/15/18 | | | | | 480,000 | | | | | | 592,587 | |
3.15%, 12/01/22 | | | | | 120,000 | | | | | | 119,584 | |
Hyundai Capital America | | | | | | | | | | | | |
2.13%, 10/02/17 144A | | | | | 130,000 | | | | | | 131,078 | |
ILFC E-Capital Trust II | | | | | | | | | | | | |
6.25%, 12/21/65 144A† | | | | | 280,000 | | | | | | 240,800 | |
International Lease Finance
Corporation | | | | | | | | | | | | |
6.50%, 09/01/14 144A | | | | | 240,000 | | | | | | 257,400 | |
6.75%, 09/01/16 144A | | | | | 840,000 | | | | | | 947,100 | |
8.63%, 01/15/22D | | | | | 250,000 | | | | | | 310,000 | |
John Deere Capital Corporation | | | | | | | | | | | | |
2.25%, 04/17/19D | | | | | 240,000 | | | | | | 247,374 | |
JPMorgan Chase & Co. | | | | | | | | | | | | |
5.75%, 01/02/13 | | | | | 320,000 | | | | | | 320,000 | |
5.15%, 10/01/15 | | | | | 1,890,000 | | | | | | 2,078,730 | |
1.10%, 10/15/15D | | | | | 750,000 | | | | | | 750,490 | |
6.30%, 04/23/19 | | | | | 800,000 | | | | | | 988,333 | |
4.40%, 07/22/20D | | | | | 230,000 | | | | | | 260,056 | |
4.35%, 08/15/21 | | | | | 70,000 | | | | | | 78,419 | |
3.25%, 09/23/22 | | | | | 275,000 | | | | | | 283,779 | |
Kerr-McGee Corporation | | | | | | | | | | | | |
6.95%, 07/01/24 | | | | | 420,000 | | | | | | 533,231 | |
7.88%, 09/15/31 | | | | | 490,000 | | | | | | 652,664 | |
Kinder Morgan Energy
Partners LP | | | | | | | | | | | | |
5.00%, 12/15/13 | | | | | 200,000 | | | | | | 207,610 | |
6.00%, 02/01/17D | | | | | 250,000 | | | | | | 292,271 | |
Kraft Foods Group, Inc. | | | | | | | | | | | | |
5.38%, 02/10/20 144A | | | | | 403,000 | | | | | | 484,618 | |
3.50%, 06/06/22 144AD | | | | | 380,000 | | | | | | 406,417 | |
Kroger Co. | | | | | | | | | | | | |
6.15%, 01/15/20 | | | | | 360,000 | | | | | | 439,304 | |
Lehman Escrow Bonds | | | | | | | | | | | | |
0.00%, 07/19/47+W† | | | | | 150,000 | | | | | | — | |
0.00%, 12/28/47+W† | | | | | 140,000 | | | | | | — | |
0.00%, 11/30/49+W† | | | | | 2,330,000 | | | | | | — | |
0.00%, 12/31/99W† | | | | | 3,200,000 | | | | | | — | |
0.00%, 12/31/99W† | | | | | 2,500,000 | | | | | | 596,375 | |
Lender Processing
Services, Inc. | | | | | | | | | | | | |
5.75%, 04/15/23 | | | | | 250,000 | | | | | | 260,625 | |
Liberty Property LP REIT | | | | | | | | | | | | |
4.75%, 10/01/20D | | | | | 575,000 | | | | | | 629,114 | |
M&T Bank Corporation | | | | | | | | | | | | |
6.88%, 12/29/49 144A | | | | | 430,000 | | | | | | 449,480 | |
MarkWest Energy Partners LP | | | | | | | | | | | | |
6.25%, 06/15/22 | | | | | 290,000 | | | | | | 317,550 | |
Medtronic, Inc. | | | | | | | | | | | | |
4.45%, 03/15/20 | | | | | 300,000 | | | | | | 349,029 | |
Merrill Lynch & Co., Inc. | | | | | | | | | | | | |
5.45%, 02/05/13 | | | | | 2,300,000 | | | | | | 2,310,037 | |
6.05%, 05/16/16 | | | | | 275,000 | | | | | | 302,968 | |
5.70%, 05/02/17D | | | | | 1,100,000 | | | | | | 1,208,416 | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
MetLife Capital Trust IV | | | | | | | | | | | | |
7.88%, 12/15/67 144A | | | | $ | 300,000 | | | | | $ | 370,500 | |
MetLife Capital Trust X | | | | | | | | | | | | |
9.25%, 04/08/68 144A | | | | | 300,000 | | | | | | 415,500 | |
MetLife, Inc. | | | | | | | | | | | | |
4.75%, 02/08/21D | | | | | 270,000 | | | | | | 314,039 | |
6.40%, 12/15/66 | | | | | 50,000 | | | | | | 53,711 | |
MidAmerican Energy
Holdings Co. | | | | | | | | | | | | |
6.50%, 09/15/37 | | | | | 70,000 | | | | | | 93,299 | |
Mondelez International, Inc. | | | | | | | | | | | | |
5.38%, 02/10/20 | | | | | 642,000 | | | | | | 776,234 | |
6.50%, 02/09/40 | | | | | 300,000 | | | | | | 404,482 | |
Morgan Stanley | | | | | | | | | | | | |
0.77%, 10/18/16† | | | | | 340,000 | | | | | | 323,517 | |
4.75%, 03/22/17D | | | | | 60,000 | | | | | | 65,521 | |
6.25%, 08/28/17D | | | | | 525,000 | | | | | | 601,505 | |
6.63%, 04/01/18D | | | | | 1,400,000 | | | | | | 1,651,870 | |
5.50%, 07/24/20 | | | | | 150,000 | | | | | | 169,016 | |
5.50%, 07/28/21 | | | | | 325,000 | | | | | | 369,637 | |
4.88%, 11/01/22D | | | | | 200,000 | | | | | | 207,483 | |
Mylan. Inc. | | | | | | | | | | | | |
7.88%, 07/15/20 144A | | | | | 175,000 | | | | | | 206,929 | |
NBCUniversal Media LLC | | | | | | | | | | | | |
2.88%, 01/15/23 | | | | | 750,000 | | | | | | 754,825 | |
NCUA Guaranteed Notes | | | | | | | | | | | | |
3.00%, 06/12/19 | | | | | 300,000 | | | | | | 330,861 | |
NetApp, Inc. | | | | | | | | | | | | |
2.00%, 12/15/17D | | | | | 375,000 | | | | | | 374,102 | |
News America, Inc. | | | | | | | | | | | | |
6.15%, 02/15/41D | | | | | 450,000 | | | | | | 572,094 | |
Nielsen Finance LLC | | | | | | | | | | | | |
4.50%, 10/01/20 144AD | | | | | 600,000 | | | | | | 600,000 | |
Noble Energy, Inc. | | | | | | | | | | | | |
4.15%, 12/15/21D | | | | | 620,000 | | | | | | 685,705 | |
Northwestern Mutual Life
Insurance | | | | | | | | | | | | |
6.06%, 03/30/40 144A | | | | | 500,000 | | | | | | 640,725 | |
Occidental Petroleum
Corporation | | | | | | | | | | | | |
3.13%, 02/15/22D | | | | | 310,000 | | | | | | 330,383 | |
2.70%, 02/15/23D | | | | | 360,000 | | | | | | 368,128 | |
Oracle Corporation | | | | | | | | | | | | |
1.20%, 10/15/17D | | | | | 490,000 | | | | | | 492,025 | |
Overseas Private Investment Corporation | | | | | | | | | | | | |
0.00%, 11/18/13W† | | | | | 3,500,000 | | | | | | 3,551,132 | |
Pacific Gas & Electric Co. | | | | | | | | | | | | |
8.25%, 10/15/18D | | | | | 130,000 | | | | | | 177,214 | |
6.05%, 03/01/34 | | | | | 40,000 | | | | | | 51,705 | |
5.80%, 03/01/37 | | | | | 250,000 | | | | | | 310,378 | |
Patrons�� Legacy | | | | | | | | | | | | |
5.65%, 07/10/58 144A | | | | | 1,192,942 | | | | | | 1,156,033 | |
Peabody Energy
Corporation | | | | | | | | | | | | |
7.88%, 11/01/26 | | | | | 1,100,000 | | | | | | 1,193,500 | |
Pemex Project Funding
Master Trust | | | | | | | | | | | | |
6.63%, 06/15/35 | | | | | 159,000 | | | | | | 202,725 | |
PepsiCo, Inc. | | | | | | | | | | | | |
0.70%, 08/13/15 | | | | | 520,000 | | | | | | 521,000 | |
7.90%, 11/01/18 | | | | | 140,000 | | | | | | 189,155 | |
Pfizer, Inc. | | | | | | | | | | | | |
7.20%, 03/15/39 | | | | | 600,000 | | | | | | 923,227 | |
Pricoa Global Funding I | | | | | | | | | | | | |
0.51%, 09/27/13 144A† | | | | | 1,700,000 | | | | | | 1,701,231 | |
| | | | |
| 102 | | See Notes to Financial Statements. | | |
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Par | | | Value | |
Principal Financial Group, Inc. | | | | | | | | | | | | |
3.13%, 05/15/23 | | | | $ | 350,000 | | | | | $ | 348,273 | |
Private Export Funding
Corporation | | | | | | | | | | | | |
5.45%, 09/15/17 | | | | | 1,600,000 | | | | | | 1,936,507 | |
Progress Energy, Inc. | | | | | | | | | | | | |
7.75%, 03/01/31 | | | | | 350,000 | | | | | | 479,454 | |
ProLogis LP REIT | | | | | | | | | | | | |
1.88%, 11/15/37 | | | | | 350,000 | | | | | | 351,750 | |
Prudential Financial, Inc. | | | | | | | | | | | | |
5.63%, 06/15/43†D | | | | | 725,000 | | | | | | 754,942 | |
PVH Corporation | | | | | | | | | | | | |
4.50%, 12/15/22 | | | | | 535,000 | | | | | | 543,025 | |
PVNGS II Funding
Corporation, Inc. | | | | | | | | | | | | |
8.00%, 12/30/15 | | | | | 484,000 | | | | | | 509,660 | |
QEP Resources, Inc. | | | | | | | | | | | | |
5.25%, 05/01/23 | | | | | 180,000 | | | | | | 193,500 | |
Raytheon Co. | | | | | | | | | | | | |
3.13%, 10/15/20 | | | | | 200,000 | | | | | | 213,149 | |
Regions Bank | | | | | | | | | | | | |
7.50%, 05/15/18 | | | | | 575,000 | | | | | | 695,031 | |
Rensselaer Polytechnic Institute | | | | | | | | | | | | |
5.60%, 09/01/20 | | | | | 675,000 | | | | | | 780,544 | |
Reynolds Group Issuer, Inc. | | | | | | | | | | | | |
7.13%, 04/15/19 | | | | | 500,000 | | | | | | 540,000 | |
Roche Holdings, Inc. | | | | | | | | | | | | |
6.00%, 03/01/19 144A | | | | | 330,000 | | | | | | 411,327 | |
Rock-Tenn Co. | | | | | | | | | | | | |
3.50%, 03/01/20 144A | | | | | 150,000 | | | | | | 154,202 | |
4.00%, 03/01/23 144A | | | | | 70,000 | | | | | | 71,257 | |
Rockwood Specialties
Group, Inc. | | | | | | | | | | | | |
4.63%, 10/15/20 | | | | | 550,000 | | | | | | 571,312 | |
Rowan Cos., Inc. | | | | | | | | | | | | |
4.88%, 06/01/22D | | | | | 475,000 | | | | | | 516,843 | |
Safeway, Inc. | | | | | | | | | | | | |
3.95%, 08/15/20D | | | | | 20,000 | | | | | | 20,037 | |
4.75%, 12/01/21D | | | | | 260,000 | | | | | | 268,362 | |
Santander Holdings USA, Inc. | | | | | | | | | | | | |
3.00%, 09/24/15 | | | | | 300,000 | | | | | | 305,701 | |
Service Corporation
International | | | | | | | | | | | | |
7.63%, 10/01/18 | | | | | 90,000 | | | | | | 107,550 | |
7.50%, 04/01/27 | | | | | 200,000 | | | | | | 216,000 | |
Simon Property
Group LP REIT | | | | | | | | | | | | |
10.35%, 04/01/19 | | | | | 750,000 | | | | | | 1,073,821 | |
SLM Corporation | | | | | | | | | | | | |
3.88%, 09/10/15 | | | | | 260,000 | | | | | | 267,440 | |
Southern Copper Corporation | | | | | | | | | | | | |
5.25%, 11/08/42D | | | | | 660,000 | | | | | | 663,846 | |
Southern Natural Gas Co. LLC | | | | | | | | | | | | |
8.00%, 03/01/32 | | | | | 400,000 | | | | | | 572,373 | |
Southern Union Co. | | | | | | | | | | | | |
3.33%, 11/01/66† | | | | | 700,000 | | | | | | 602,875 | |
Sprint Capital Corporation | | | | | | | | | | | | |
6.88%, 11/15/28 | | | | | 40,000 | | | | | | 41,800 | |
8.75%, 03/15/32D | | | | | 120,000 | | | | | | 147,300 | |
Sprint Nextel Corporation | | | | | | | | | | | | |
9.00%, 11/15/18 144AD | | | | | 80,000 | | | | | | 99,000 | |
7.00%, 08/15/20D | | | | | 640,000 | | | | | | 702,400 | |
State Street Corporation | | | | | | | | | | | | |
4.96%, 03/15/18D | | | | | 530,000 | | | | | | 601,023 | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
Steel Dynamics, Inc. | | | | | | | | | | | | |
6.75%, 04/01/15 | | | | $ | 225,000 | | | | | $ | 228,938 | |
SunTrust Banks, Inc. | | | | | | | | | | | | |
3.60%, 04/15/16D | | | | | 300,000 | | | | | | 320,693 | |
SunTrust Preferred Capital I | | | | | | | | | | | | |
4.00%, 06/29/49†D | | | | | 357,000 | | | | | | 300,897 | |
Superior Energy Services, Inc. | | | | | | | | | | | | |
7.13%, 12/15/21 | | | | | 80,000 | | | | | | 89,400 | |
Teachers Insurance & Annuity
Association of America | | | | | | | | | | | | |
6.85%, 12/16/39 144A | | | | | 540,000 | | | | | | 735,002 | |
Tenet Healthcare Corporation | | | | | | | | | | | | |
9.25%, 02/01/15D | | | | | 1,262,000 | | | | | | 1,422,905 | |
Tennessee Gas Pipeline Co. | | | | | | | | | | | | |
7.50%, 04/01/17 | | | | | 250,000 | | | | | | 309,035 | |
Thermo Fisher Scientific, Inc. | | | | | | | | | | | | |
3.60%, 08/15/21D | | | | | 160,000 | | | | | | 170,481 | |
Time Warner Cable, Inc. | | | | | | | | | | | | |
8.75%, 02/14/19 | | | | | 560,000 | | | | | | 756,474 | |
4.13%, 02/15/21D | | | | | 70,000 | | | | | | 76,792 | |
5.88%, 11/15/40 | | | | | 330,000 | | | | | | 385,929 | |
Time Warner, Inc. | | | | | | | | | | | | |
4.70%, 01/15/21 | | | | | 10,000 | | | | | | 11,404 | |
6.10%, 07/15/40 | | | | | 140,000 | | | | | | 170,119 | |
6.25%, 03/29/41 | | | | | 40,000 | | | | | | 49,570 | |
Time Warner
Entertainment Co. LP | | | | | | | | | | | | |
8.38%, 07/15/33 | | | | | 390,000 | | | | | | 570,846 | |
Toyota Motor Credit
Corporation | | | | | | | | | | | | |
1.25%, 10/05/17D | | | | | 520,000 | | | | | | 524,302 | |
Transatlantic Holdings, Inc. | | | | | | | | | | | | |
8.00%, 11/30/39 | | | | | 275,000 | | | | | | 367,402 | |
UAL 1993 Pass Through Trust A | | | | | | | | | | | | |
9.21%, 01/21/17+ | | | | | 81,116 | | | | | | — | |
UAL 1995 Pass
Through Trust A | | | | | | | | | | | | |
9.56%, 10/19/18@ | | | | | 130,630 | | | | | | 38,536 | |
Union Bank NA | | | | | | | | | | | | |
1.26%, 06/06/14† | | | | | 2,600,000 | | | | | | 2,622,779 | |
2.13%, 06/16/17 | | | | | 700,000 | | | | | | 720,577 | |
United Airline 2009-2A Pass
Through Trust | | | | | | | | | | | | |
9.75%, 07/15/18D | | | | | 135,547 | | | | | | 156,895 | |
United Parcel Service, Inc. | | | | | | | | | | | | |
4.50%, 01/15/13 | | | | | 770,000 | | | | | | 771,111 | |
United Technologies
Corporation | | | | | | | | | | | | |
3.10%, 06/01/22D | | | | | 50,000 | | | | | | 53,058 | |
4.50%, 06/01/42 | | | | | 290,000 | | | | | | 323,605 | |
UnitedHealth Group, Inc. | | | | | | | | | | | | |
4.88%, 02/15/13 | | | | | 370,000 | | | | | | 371,863 | |
4.88%, 04/01/13 | | | | | 410,000 | | | | | | 414,336 | |
Univision Communic-
ations, Inc. | | | | | | | | | | | | |
6.75%, 09/15/22 144A | | | | | 370,000 | | | | | | 383,875 | |
Verizon Communications, Inc. | | | | | | | | | | | | |
6.10%, 04/15/18 | | | | | 290,000 | | | | | | 356,994 | |
3.50%, 11/01/21 | | | | | 525,000 | | | | | | 575,457 | |
2.45%, 11/01/22 | | | | | 540,000 | | | | | | 541,355 | |
Verizon Global Funding
Corporation | | | | | | | | | | | | |
4.38%, 06/01/13 | | | | | 140,000 | | | | | | 142,293 | |
| | | | |
| | See Notes to Financial Statements. | | 103 |
| | | | | | | | | | |
| | | Par | | | Value | |
Vesey Street Investment Trust I | | | | | | | | | | |
4.40%, 09/01/16 STEP | | $ | 160,000 | | | | | $ | 172,798 | |
Wachovia Bank NA | | | | | | | | | | |
6.60%, 01/15/38 | | | 275,000 | | | | | | 378,802 | |
Wachovia Capital Trust III | | | | | | | | | | |
5.57%, 03/29/49†D | | | 580,000 | | | | | | 579,275 | |
Wachovia Corporation | | | | | | | | | | |
5.25%, 08/01/14D | | | 1,850,000 | | | | | | 1,973,484 | |
5.63%, 10/15/16D | | | 250,000 | | | | | | 286,880 | |
Walgreen Co. | | | | | | | | | | |
1.80%, 09/15/17 | | | 300,000 | | | | | | 302,011 | |
Waste Management, Inc. | | | | | | | | | | |
7.38%, 05/15/29 | | | 140,000 | | | | | | 185,307 | |
WEA Finance LLC | | | | | | | | | | |
7.13%, 04/15/18 144AD | | | 400,000 | | | | | | 493,440 | |
WellPoint, Inc. | | | | | | | | | | |
1.25%, 09/10/15 | | | 110,000 | | | | | | 110,943 | |
5.88%, 06/15/17 | | | 720,000 | | | | | | 855,410 | |
Wells Fargo & Co. | | | | | | | | | | |
4.38%, 01/31/13 | | | 600,000 | | | | | | 601,795 | |
3.68%, 06/15/16 STEP | | | 290,000 | | | | | | 313,776 | |
4.60%, 04/01/21D | | | 70,000 | | | | | | 80,657 | |
Wells Fargo Capital X | | | | | | | | | | |
5.95%, 12/01/86D | | | 200,000 | | | | | | 206,000 | |
Western Gas Partners LP | | | | | | | | | | |
4.00%, 07/01/22 | | | 275,000 | | | | | | 290,007 | |
Williams Cos., Inc. | | | | | | | | | | |
3.70%, 01/15/23 | | | 325,000 | | | | | | 328,496 | |
7.50%, 01/15/31 | | | 10,000 | | | | | | 12,536 | |
7.75%, 06/15/31 | | | 25,000 | | | | | | 31,983 | |
8.75%, 03/15/32D | | | 451,000 | | | | | | 626,827 | |
WPX Energy, Inc. | | | | | | | | | | |
6.00%, 01/15/22 | | | 130,000 | | | | | | 140,725 | |
Xylem, Inc. | | | | | | | | | | |
3.55%, 09/20/16 | | | 350,000 | | | | | | 371,693 | |
| | | | | | | | | | |
Total Corporate Bonds | | | | | | | | | | |
(Cost $167,388,282) | | | | | | | | | 182,650,475 | |
| | | | | | | | | | |
FOREIGN BONDS — 15.9% | |
Australia — 0.5% | |
Australia Government Bond | | | | | | | | | | |
5.50%, 12/15/13(A) | | | 400,000 | | | | | | 426,578 | |
BHP Billiton Finance (USA), Ltd. | | | | | | | | | | |
3.25%, 11/21/21D | | | 940,000 | | | | | | 1,013,640 | |
Commonwealth Bank
of Australia | | | | | | | | | | |
3.75%, 10/15/14 144A | | | 440,000 | | | | | | 462,773 | |
1.25%, 09/18/15 | | | 570,000 | | | | | | 576,611 | |
5.00%, 10/15/19 144A | �� | | 50,000 | | | | | | 58,190 | |
QBE Insurance Group, Ltd. | | | | | | | | | | |
5.65%, 07/01/23 144A†@ | | | 525,000 | | | | | | 522,016 | |
Rio Tinto Finance USA, Ltd. | | | | | | | | | | |
2.50%, 05/20/16 | | | 30,000 | | | | | | 31,343 | |
3.50%, 11/02/20D | | | 770,000 | | | | | | 817,615 | |
4.13%, 05/20/21D | | | 110,000 | | | | | | 121,762 | |
3.75%, 09/20/21 | | | 90,000 | | | | | | 96,417 | |
| | | | | | | | | | |
| | | | | | | | | 4,126,945 | |
| | | | | | | | | | |
Bermuda — 0.1% | |
Arch Capital Group, Ltd. | | | | | | | | | | |
7.35%, 05/01/34D | | | 175,000 | | | | | | 221,829 | |
| | | | | | | | | | |
| | | Par | | | Value | |
Endurance Specialty
Holdings, Ltd. | | | | | | | | | | |
6.15%, 10/15/15 | | $ | 150,000 | | | | | $ | 164,940 | |
Weatherford International, Ltd. | | | | | | | | | | |
9.63%, 03/01/19@ | | | 265,000 | | | | | | 346,151 | |
| | | | | | | | | | |
| | | | | | | | | 732,920 | |
| | | | | | | | | | |
Canada — 0.6% | |
Barrick Gold Corporation | | | | | | | | | | |
3.85%, 04/01/22D | | | 130,000 | | | | | | 137,877 | |
Nexen, Inc. | | | | | | | | | | |
6.40%, 05/15/37 | | | 200,000 | | | | | | 259,451 | |
7.50%, 07/30/39 | | | 250,000 | | | | | | 363,090 | |
Potash Corporation of
Saskatchewan, Inc. | | | | | | | | | | |
4.88%, 03/30/20D | | | 110,000 | | | | | | 126,645 | |
Province of Ontario Canada | | | | | | | | | | |
3.15%, 06/02/22(C) | | | 1,500,000 | | | | | | 1,558,449 | |
PTTEP Canada International
Finance, Ltd. | | | | | | | | | | |
5.69%, 04/05/21 144A | | | 320,000 | | | | | | 368,948 | |
Rogers Communications, Inc. | | | | | | | | | | |
6.38%, 03/01/14D | | | 90,000 | | | | | | 95,910 | |
6.75%, 03/15/15 | | | 10,000 | | | | | | 11,277 | |
TransCanada PipeLines, Ltd. | | | | | | | | | | |
6.35%, 05/15/67† | | | 400,000 | | | | | | 429,162 | |
Videotron, Ltd. | | | | | | | | | | |
5.00%, 07/15/22 | | | 525,000 | | | | | | 553,219 | |
Xstrata Finance Canada, Ltd. | | | | | | | | | | |
1.80%, 10/23/15 144A | | | 360,000 | | | | | | 362,202 | |
2.45%, 10/25/17 144A | | | 1,100,000 | | | | | | 1,111,920 | |
| | | | | | | | | | |
| | | | | | | | | 5,378,150 | |
| | | | | | | | | | |
Cayman Islands — 0.7% | |
Petrobras International
Finance Co. | | | | | | | | | | |
3.88%, 01/27/16 | | | 250,000 | | | | | | 265,001 | |
6.13%, 10/06/16D | | | 271,000 | | | | | | 307,623 | |
5.75%, 01/20/20D | | | 235,000 | | | | | | 268,689 | |
5.38%, 01/27/21D | | | 990,000 | | | | | | 1,119,512 | |
Resona Preferred Global
Securities Cayman, Ltd. | | | | | | | | | | |
7.19%, 12/29/49 144A† | | | 325,000 | | | | | | 354,874 | |
Transocean, Inc. | | | | | | | | | | |
6.00%, 03/15/18 | | | 200,000 | | | | | | 232,221 | |
6.50%, 11/15/20 | | | 1,050,000 | | | | | | 1,273,697 | |
6.38%, 12/15/21D | | | 225,000 | | | | | | 273,926 | |
Vale Overseas, Ltd. | | | | | | | | | | |
4.38%, 01/11/22D | | | 932,000 | | | | | | 999,577 | |
8.25%, 01/17/34D | | | 80,000 | | | | | | 110,208 | |
6.88%, 11/21/36 | | | 511,000 | | | | | | 635,980 | |
| | | | | | | | | | |
| | | | | | | | | 5,841,308 | |
| | | | | | | | | | |
Chile — 0.1% | |
Celulosa Arauco y
Constitucion SA | | | | | | | | | | |
4.75%, 01/11/22 | | | 240,000 | | | | | | 252,938 | |
Chile Government
International Bond | | | | | | | | | | |
3.63%, 10/30/42 | | | 460,000 | | | | | | 456,550 | |
Corporacion Nacional del
Cobre de Chile | | | | | | | | | | |
4.75%, 10/15/14 144AD | | | 210,000 | | | | | | 223,248 | |
| | | | | | | | | | |
| | | | | | | | | 932,736 | |
| | | | | | | | | | |
| | | | |
| 104 | | See Notes to Financial Statements. | | |
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | |
| | | Par | | | Value | |
Colombia — 0.1% | | | | | | | | | | |
Colombia Government
International Bond | | | | | | | | | | |
4.38%, 07/12/21D | | $ | 341,000 | | | | | $ | 393,514 | |
| | | | | | | | | | |
Denmark — 0.3% | | | | | | | | | | |
BRFkredit A/S | | | | | | | | | | |
2.05%, 04/15/13 144A | | | 1,200,000 | | | | | | 1,205,818 | |
FIH Erhvervsbank A/S | | | | | | | | | | |
2.00%, 06/12/13 144A | | | 1,000,000 | | | | | | 1,007,361 | |
| | | | | | | | | | |
| | | | | | | | | 2,213,179 | |
| | | | | | | | | | |
France — 0.8% | | | | | | | | | | |
Banque PSA Finance SA | | | | | | | | | | |
2.21%, 04/04/14 144A† | | | 1,500,000 | | | | | | 1,481,744 | |
BNP Paribas SA | | | | | | | | | | |
2.38%, 09/14/17 | | | 350,000 | | | | | | 355,415 | |
Cie de Financement Foncier SA | | | | | | | | | | |
2.13%, 04/22/13 144A | | | 3,500,000 | | | | | | 3,516,012 | |
Compagnie Generale de
Geophysique - Veritas | | | | | | | | | | |
9.50%, 05/15/16 | | | 250,000 | | | | | | 269,375 | |
7.75%, 05/15/17D | | | 155,000 | | | | | | 161,975 | |
Credit Agricole SA | | | | | | | | | | |
8.38%, 10/29/49 144A†D | | | 980,000 | | | | | | 1,043,700 | |
| | | | | | | | | | |
| | | | | | | | | 6,828,221 | |
| | | | | | | | | | |
Germany — 2.5% | | | | | | | | | | |
Bundesschatzanweisungen | | | | | | | | | | |
1.75%, 06/14/13(E) | | | 5,500,000 | | | | | | 7,316,677 | |
0.75%, 09/13/13(E) | | | 9,000,000 | | | | | | 11,940,146 | |
State of North Rhine-Westphalia | | | | | | | | | | |
1.63%, 09/17/14D | | | 2,500,000 | | | | | | 2,542,910 | |
| | | | | | | | | | |
| | | | | | | | | 21,799,733 | |
| | | | | | | | | | |
Iceland — 0.0% | | | | | | | | | | |
Glitnir Banki HF | | | | | | | | | | |
6.69%, 06/15/16+ 144A#D | | | 1,000,000 | | | | | | 10 | |
7.45%, 03/29/49+ 144A# | | | 100,000 | | | | | | 1 | |
Kaupthing Bank HF | | | | | | | | | | |
7.13%, 05/19/16+ 144A# | | | 350,000 | | | | | | 3 | |
| | | | | | | | | | |
| | | | | | | | | 14 | |
| | | | | | | | | | |
India — 0.4% | | | | | | | | | | |
ICICI Bank, Ltd. | | | | | | | | | | |
2.06%, 02/24/14 144A† | | | 3,400,000 | | | | | | 3,344,927 | |
| | | | | | | | | | |
Indonesia — 0.1% | | | | | | | | | | |
Indonesia Government
International Bond | | | | | | | | | | |
8.50%, 10/12/35 | | | 230,000 | | | | | | 369,725 | |
| | | | | | | | | | |
Ireland — 0.1% | | | | | | | | | | |
Rosneft Oil Co. via Rosneft International Finance, Ltd. | | | | | | | | | | |
4.20%, 03/06/22 144AD | | | 320,000 | | | | | | 326,400 | |
Vimpel Communications Via VIP Finance Ireland, Ltd. OJSC | | | | | | | | | | |
8.38%, 04/30/13 144A | | | 120,000 | | | | | | 122,976 | |
6.49%, 02/02/16 144A | | | 230,000 | | | | | | 248,975 | |
7.75%, 02/02/21 144AD | | | 200,000 | | | | | | 231,500 | |
| | | | | | | | | | |
| | | | | | | | | 929,851 | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | Par | | | Value | |
Israel — 0.1% | | | | | | | | | | |
Israel Government AID Bond | | | | | | | | | | |
5.50%, 09/18/23D | | $ | 300,000 | | | | | $ | 396,302 | |
5.50%, 12/04/23D | | | 100,000 | | | | | | 132,550 | |
5.50%, 04/26/24 | | | 300,000 | | | | | | 397,925 | |
| | | | | | | | | | |
| | | | | | | | | 926,777 | |
| | | | | | | | | | |
Italy — 0.4% | | | | | | | | | | |
Intesa Sanpaolo SpA | | | | | | | | | | |
2.71%, 02/24/14 144A† | | | 3,400,000 | | | | | | 3,397,147 | |
3.63%, 08/12/15 144A | | | 290,000 | | | | | | 290,350 | |
| | | | | | | | | | |
| | | | | | | | | 3,687,497 | |
| | | | | | | | | | |
Japan — 0.3% | | | | | | | | | | |
Bank of Tokyo-Mitsubishi
UFJ, Ltd. | | | | | | | | | | |
3.85%, 01/22/15 144A | | | 330,000 | | | | | | 348,880 | |
Mizuho Corporate Bank, Ltd. | | | | | | | | | | |
2.95%, 10/17/22 144A | | | 600,000 | | | | | | 593,885 | |
Nippon Life Insurance Co. | | | | | | | | | | |
5.00%, 10/18/42 144A† | | | 675,000 | | | | | | 714,348 | |
Resona Bank, Ltd. | | | | | | | | | | |
5.85%, 09/29/49 144A†@D | | | 250,000 | | | | | | 269,272 | |
Sumitomo Mitsui Banking
Corporation | | | | | | | | | | |
3.15%, 07/22/15 144A | | | 540,000 | | | | | | 569,104 | |
| | | | | | | | | | |
| | | | | | | | | 2,495,489 | |
| | | | | | | | | | |
Jersey — 0.2% | | | | | | | | | | |
HSBC Capital Funding LP | | | | | | | | | | |
4.61%, 12/29/49 144A†D | | | 800,000 | | | | | | 800,482 | |
QBE Capital Funding III, Ltd. | | | | | | | | | | |
7.25%, 05/24/41 144A† | | | 200,000 | | | | | | 206,000 | |
UBM PLC | | | | | | | | | | |
5.75%, 11/03/20 144A | | | 260,000 | | | | | | 274,716 | |
| | | | | | | | | | |
| | | | | | | | | 1,281,198 | |
| | | | | | | | | | |
Luxembourg — 0.6% | | | | | | | | | | |
Gazprom OAO Via Gaz
Capital SA | | | | | | | | | | |
9.25%, 04/23/19D | | | 290,000 | | | | | | 385,337 | |
6.51%, 03/07/22 144A | | | 3,100,000 | | | | | | 3,712,250 | |
Intelsat Jackson Holdings SA | | | | | | | | | | |
7.50%, 04/01/21D | | | 500,000 | | | | | | 553,750 | |
TNK-BP Finance SA | | | | | | | | | | |
7.50%, 07/18/16 | | | 190,000 | | | | | | 220,875 | |
| | | | | | | | | | |
| | | | | | | | | 4,872,212 | |
| | | | | | | | | | |
Malaysia — 0.1% | | | | | | | | | | |
Malaysia Government Bond | | | | | | | | | | |
3.84%, 08/12/15(R) | | | 2,280,000 | | | | | | 760,542 | |
4.26%, 09/15/16(R) | | | 650,000 | | | | | | 220,990 | |
| | | | | | | | | | |
| | | | | | | | | 981,532 | |
| | | | | | | | | | |
Mexico — 1.3% | | | | | | | | | | |
America Movil SAB de CV | | | | | | | | | | |
5.63%, 11/15/17D | | | 270,000 | | | | | | 325,957 | |
5.00%, 03/30/20 | | | 240,000 | | | | �� | | 280,433 | |
Mexican Bonos | | | | | | | | | | |
8.00%, 06/11/20(M) | | | 32,757,000 | | | | | | 2,986,489 | |
6.50%, 06/09/22(M) | | | 23,490,700 | | | | | | 1,975,281 | |
Mexico Cetes | | | | | | | | | | |
4.24%, 03/21/13W† | | | 69,800,000 | | | | | | 534,919 | |
4.34%, 06/27/13W† | | | 520,284,200 | | | | | | 3,936,052 | |
| | | | |
| | See Notes to Financial Statements. | | 105 |
| | | | | | | | | | |
| | | Par | | | Value | |
Mexico Government
International Bond | | | | | | | | | | |
6.05%, 01/11/40 | | $ | 134,000 | | | | | $ | 180,364 | |
4.75%, 03/08/44D | | | 758,000 | | | | | | 858,435 | |
Petroleos Mexicanos | | | | | | | | | | |
5.50%, 01/21/21 | | | 370,000 | | | | | | 434,195 | |
| | | | | | | | | | |
| | | | | | | | | 11,512,125 | |
| | | | | | | | | | |
Netherlands — 0.9% | | | | | | | | | | |
Achmea Hypotheekbank NV | | | | | | | | | | |
3.20%, 11/03/14 144A | | | 161,000 | | | | | | 168,850 | |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | | | | | | | | | | |
4.50%, 01/11/21D | | | 2,000,000 | | | | | | 2,251,796 | |
11.00%, 12/29/49 144A† | | | 687,000 | | | | | | 934,838 | |
Deutsche Telekom International
Finance BV | | | | | | | | | | |
5.75%, 03/23/16 | | | 510,000 | | | | | | 581,536 | |
ING Bank NV | | | | | | | | | | |
3.90%, 03/19/14 144A | | | 500,000 | | | | | | 519,956 | |
2.00%, 09/25/15 144A | | | 725,000 | | | | | | 730,849 | |
Lukoil International
Finance BV | | | | | | | | | | |
6.66%, 06/07/22 | | | 500,000 | | | | | | 611,250 | |
Shell International
Finance BV | | | | | | | | | | |
4.38%, 03/25/20D | | | 700,000 | | | | | | 813,244 | |
Volkswagen International
Finance NV | | | | | | | | | | |
1.06%, 03/21/14 144A† | | | 100,000 | | | | | | 100,563 | |
0.92%, 04/01/14 144A† | | | 1,500,000 | | | | | | 1,505,302 | |
| | | | | | | | | | |
| | | | | | | | | 8,218,184 | |
| | | | | | | | | | |
New Zealand — 0.0% | | | | | | | | | | |
ANZ National
International, Ltd. | | | | | | | | | | |
1.85%, 10/15/15 144AD | | | 220,000 | | | | | | 224,314 | |
| | | | | | | | | | |
Norway — 1.2% | | | | | | | | | | |
DNB Boligkreditt AS | | | | | | | | | | |
2.10%, 10/14/15 144A | | | 1,300,000 | | | | | | 1,348,822 | |
2.90%, 03/29/16 144A | | | 3,000,000 | | | | | | 3,195,924 | |
Kommunalbanken AS | | | | | | | | | | |
1.00%, 09/26/17 144A | | | 500,000 | | | | | | 499,514 | |
Sparebank 1 Boligkreditt AS | | | | | | | | | | |
2.63%, 05/26/17 144A | | | 2,900,000 | | | | | | 3,064,334 | |
2.30%, 06/30/18 144A | | | 1,000,000 | | | | | | 1,044,949 | |
1.75%, 11/15/19 144A | | | 1,200,000 | | | | | | 1,187,269 | |
| | | | | | | | | | |
| | | | | | | | | 10,340,812 | |
| | | | | | | | | | |
Portugal — 0.0% | | | | | | | | | | |
Obrigacoes do Tesouro | | | | | | | | | | |
2.17%, 05/16/47(E) | | | 119,376 | | | | | | 157,680 | |
| | | | | | | | | | |
Russia — 0.0% | | | | | | | | | | |
Russian Foreign Bond | | | | | | | | | | |
4.50%, 04/04/22 144A | | | 200,000 | | | | | | 229,500 | |
| | | | | | | | | | |
Singapore — 0.0% | | | | | | | | | | |
Temasek Financial I, Ltd. | | | | | | | | | | |
2.38%, 01/23/23 144A | | | 330,000 | | | | | | 326,669 | |
| | | | | | | | | | |
Slovenia — 0.0% | | | | | | | | | | |
Slovenia Government
International Bond | | | | | | | | | | |
5.50%, 10/26/22 144A | | | 310,000 | | | | | | 326,275 | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | Par | | | Value | |
South Korea — 0.5% | | | | | | | | | | |
Export-Import Bank of Korea | | | | | | | | | | |
5.25%, 02/10/14 144A | | $ | 235,000 | | | | | $ | 246,243 | |
Hyundai Capital Services, Inc. | | | | | | | | | | |
4.38%, 07/27/16 144A | | | 3,400,000 | | | | | | 3,659,444 | |
| | | | | | | | | | |
| | | | | | | | | 3,905,687 | |
| | | | | | | | | | |
Spain — 0.2% | | | | | | | | | | |
BBVA US Senior SA
Unipersonal | | | | | | | | | | |
3.25%, 05/16/14 | | | 560,000 | | | | | | 560,687 | |
4.66%, 10/09/15 | | | 460,000 | | | | | | 471,951 | |
Santander US Debt SA
Unipersonal | | | | | | | | | | |
3.72%, 01/20/15 144A | | | 500,000 | | | | | | 502,515 | |
3.78%, 10/07/15 144A | | | 100,000 | | | | | | 100,634 | |
Telefonica Emisiones SA
Unipersonal | | | | | | | | | | |
5.88%, 07/15/19 | | | 70,000 | | | | | | 76,650 | |
Telefonica Emisiones SAU | | | | | | | | | | |
6.42%, 06/20/16 | | | 90,000 | | | | | | 99,810 | |
6.22%, 07/03/17 | | | 20,000 | | | | | | 22,300 | |
5.13%, 04/27/20 | | | 140,000 | | | | | | 147,525 | |
5.46%, 02/16/21 | | | 100,000 | | | | | | 106,875 | |
| | | | | | | | | | |
| | | | | | | | | 2,088,947 | |
| | | | | | | | | | |
Sweden — 1.1% | | | | | | | | | | |
Nordea Bank AB | | | | | | | | | | |
1.24%, 01/14/14 144A† | | | 3,400,000 | | | | | | 3,425,490 | |
3.70%, 11/13/14 144A | | | 200,000 | | | | | | 210,045 | |
4.88%, 05/13/21 144A | | | 640,000 | | | | | | 687,757 | |
Stadshypotek AB | | | | | | | | | | |
1.45%, 09/30/13 144AD | | | 4,000,000 | | | | | | 4,030,344 | |
1.88%, 10/02/19 144A | | | 900,000 | | | | | | 901,060 | |
Swedbank Hypotek AB | | | | | | | | | | |
0.76%, 03/28/14 144A† | | | 200,000 | | | | | | 198,931 | |
| | | | | | | | | | |
| | | | | | | | | 9,453,627 | |
| | | | | | | | | | |
Switzerland — 0.1% | | | | | | | | | | |
UBS AG | | | | | | | | | | |
2.25%, 01/28/14 | | | 710,000 | | | | | | 720,443 | |
7.63%, 08/17/22 | | | 250,000 | | | | | | 276,613 | |
| | | | | | | | | | |
| | | | | | | | | 997,056 | |
| | | | | | | | | | |
United Kingdom — 2.1% | | | | | | | | | | |
Abbey National Treasury
Services PLC | | | | | | | | | | |
3.88%, 11/10/14 144A | | | 2,900,000 | | | | | | 3,010,412 | |
2.12%, 02/16/16(U)† | | | 200,000 | | | | | | 333,183 | |
Bank of Scotland PLC | | | | | | | | | | |
5.25%, 02/21/17 144A | | | 600,000 | | | | | | 690,442 | |
Barclays Bank PLC | | | | | | | | | | |
1.38%, 01/13/14† | | | 2,800,000 | | | | | | 2,814,865 | |
6.05%, 12/04/17 144A | | | 755,000 | | | | | | 838,911 | |
BP Capital Markets PLC | | | | | | | | | | |
5.25%, 11/07/13 | | | 940,000 | | | | | | 978,376 | |
3.88%, 03/10/15D | | | 310,000 | | | | | | 330,433 | |
3.20%, 03/11/16 | | | 275,000 | | | | | | 293,572 | |
4.50%, 10/01/20D | | | 725,000 | | | | | | 836,923 | |
3.56%, 11/01/21 | | | 50,000 | | | | | | 54,190 | |
GlaxoSmithKline Capital PLC | | | | | | | | | | |
2.85%, 05/08/22 | | | 400,000 | | | | | | 416,313 | |
HSBC Holdings PLC | | | | | | | | | | |
6.80%, 06/01/38 | | | 250,000 | | | | | | 320,802 | |
| | | | |
| 106 | | See Notes to Financial Statements. | | |
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | |
| | | Par | | | Value | |
Lloyds TSB Bank PLC | | | | | | | | | | |
12.00%, 12/29/49 144A†D | | $ | 3,200,000 | | | | | $ | 3,833,261 | |
Northern Rock Asset
Management PLC | | | | | | | | | | |
5.63%, 06/22/17 144A | | | 1,400,000 | | | | | | 1,640,513 | |
Royal Bank of Scotland
Group PLC | | | | | | | | | | |
5.00%, 10/01/14 | | | 40,000 | | | | | | 41,117 | |
2.55%, 09/18/15D | | | 560,000 | | | | | | 573,484 | |
6.40%, 10/21/19 | | | 160,000 | | | | | | 189,329 | |
7.64%, 03/29/49†D | | | 200,000 | | | | | | 182,000 | |
Standard Chartered PLC | | | | | | | | | | |
5.50%, 11/18/14 144A | | | 250,000 | | | | | | 269,675 | |
Virgin Media Finance PLC | | | | | | | | | | |
5.25%, 02/15/22D | | | 525,000 | | | | | | 559,125 | |
WPP Finance UK | | | | | | | | | | |
8.00%, 09/15/14 | | | 336,000 | | | | | | 371,712 | |
| | | | | | | | | | |
| | | | | | | | | 18,578,638 | |
| | | | | | | | | | |
Virgin Islands (British) — 0.5% | | | | | | | |
Gerdau Trade, Inc. | | | | | | | | | | |
5.75%, 01/30/21 144AD | | | 4,000,000 | | | | | | 4,420,000 | |
Sinopec Group Overseas Development 2012, Ltd. | | | | | | | | | | |
2.75%, 05/17/17 144AD | | | 230,000 | | | | | | 239,071 | |
| | | | | | | | | | |
| | | | | | | | | 4,659,071 | |
| | | | | | | | | | |
Total Foreign Bonds
(Cost $133,158,597) | | | | | | | | | 138,154,513 | |
| | | | | | | | | | |
MORTGAGE-BACKED SECURITIES — 35.4% | |
ABN Amro Mortgage
Corporation | | | | | | | | | | |
5.50%, 06/25/33 IO | | | 6,903 | | | | | | 207 | |
Aire Valley Mortgages PLC | | | | | | | | | | |
0.53%, 09/20/66 144A† | | | 158,377 | | | | | | 147,249 | |
American Home Mortgage Assets LLC | | | | | | | | | | |
1.09%, 11/25/46† | | | 1,185,876 | | | | | | 644,583 | |
Banc of America Commercial
Mortgage Trust | | | | | | | | | | |
5.89%, 07/10/44† | | | 900,000 | | | | | | 1,028,241 | |
5.73%, 05/10/45† | | | 420,000 | | | | | | 481,182 | |
5.76%, 05/10/45† | | | 30,000 | | | | | | 33,626 | |
5.42%, 09/10/45† | | | 117,000 | | | | | | 127,768 | |
5.64%, 04/10/49† | | | 75,000 | | | | | | 85,343 | |
Banc of America
Mortgage Trust | | | | | | | | | | |
3.00%, 07/25/34† | | | 207,197 | | | | | | 204,653 | |
Banc of America
Re-REMIC Trust | | | | | | | | | | |
5.63%, 02/17/51 144A† | | | 100,000 | | | | | | 115,517 | |
Bear Stearns Adjustable Rate
Mortgage Trust | | | | | | | | | | |
3.83%, 02/25/33† | | | 39,212 | | | | | | 39,552 | |
5.30%, 05/25/34† | | | 188,467 | | | | | | 187,811 | |
2.57%, 03/25/35† | | | 924,220 | | | | | | 931,071 | |
Bear Stearns Alt-A Trust | | | | | | | | | | |
0.85%, 04/25/34† | | | 79,846 | | | | | | 73,717 | |
2.96%, 05/25/35† | | | 492,810 | | | | | | 475,229 | |
3.00%, 09/25/35† | | | 1 | | | | | | — | |
Bear Stearns Commercial
Mortgage Securities | | | | | | | | | | |
5.72%, 06/11/40† | | | 75,000 | | | | | | 84,427 | |
Bear Stearns Structured
Products, Inc. | | | | | | | | | | |
2.80%, 01/26/36† | | | 1,230,758 | | | | | | 776,787 | |
| | | | | | | | | | |
| | | Par | | | Value | |
Berica ABS Srl | | | | | | | | | | |
0.49%, 12/30/55(E)† | | $ | 2,600,000 | | | | | $ | 3,181,177 | |
Chase Mortgage Finance
Corporation | | | | | | | | | | |
3.00%, 02/25/37† | | | 181,181 | | | | | | 182,975 | |
Citigroup Commercial
Mortgage Trust | | | | | | | | | | |
5.70%, 12/10/49† | | | 60,000 | | | | | | 68,040 | |
COMM Mortgage Trust | | | | | | | | | | |
4.06%, 12/10/44 | | | 200,000 | | | | | | 218,837 | |
4.93%, 12/10/44† | | | 125,000 | | | | | | 140,462 | |
5.65%, 12/10/44† | | | 100,000 | | | | | | 113,237 | |
5.31%, 12/10/46 | | | 500,000 | | | | | | 574,522 | |
5.35%, 12/10/46 | | | 50,000 | | | | | | 55,446 | |
Commercial Mortgage
Pass-Through Certificates | | | | | | | | | | |
5.38%, 02/15/40 | | | 1,550,000 | | | | | | 1,720,271 | |
2.82%, 11/15/45 | | | 1,000,000 | | | | | | 1,027,187 | |
Countrywide Alternative
Loan Trust | | | | | | | | | | |
5.50%, 10/25/33 | | | 105,644 | | | | | | 111,564 | |
0.53%, 11/20/35† | | | 874,737 | | | | | | 585,151 | |
0.54%, 11/20/35† | | | 1,667,869 | | | | | | 1,136,839 | |
0.48%, 01/25/36† | | | 505,584 | | | | | | 403,017 | |
0.40%, 09/25/46† | | | 1,147,499 | | | | | | 788,438 | |
Countrywide Home Loan
Mortgage Pass-Through Trust | | | | | | | | | | |
2.90%, 02/19/34† | | | 964,535 | | | | | | 969,212 | |
0.63%, 11/25/34 144A† | | | 19,640 | | | | | | 16,563 | |
0.57%, 03/25/35 144A† | | | 78,853 | | | | | | 64,922 | |
0.45%, 03/25/36† | | | 357,138 | | | | | | 271,063 | |
Credit Suisse First Boston
Mortgage Securities
Corporation | | | | | | | | | | |
0.00%, 07/25/33 IOW†@ | | | 122,465 | | | | | | — | |
5.25%, 07/25/33 IO@ | | | 33,207 | | | | | | 2,595 | |
0.00%, 08/25/33 IOW†@ | | | 154,185 | | | | | | 2 | |
DBUBS Mortgage Trust | | | | | | | | | | |
7.41%, 08/10/44 IO 144AW† | | | 1,276,996 | | | | | | 59,405 | |
Federal Home Loan Mortgage
Corporation | | | | | | | | | | |
7.00%, 11/01/14 | | | 3,434 | | | | | | 3,570 | |
7.00%, 04/01/15 | | | 5,708 | | | | | | 5,934 | |
7.00%, 12/01/15 | | | 5,877 | | | | | | 5,963 | |
8.50%, 06/01/18 | | | 2,959 | | | | | | 3,292 | |
4.50%, 09/01/18 | | | 10,491 | | | | | | 11,437 | |
8.00%, 08/01/24 | | | 2,036 | | | | | | 2,444 | |
4.00%, 10/01/25 | | | 987,100 | | | | | | 1,043,878 | |
7.50%, 11/01/29 | | | 7,906 | | | | | | 9,630 | |
7.50%, 12/01/29 | | | 12,856 | | | | | | 15,642 | |
7.50%, 02/01/31 | | | 23,957 | | | | | | 28,050 | |
2.36%, 07/01/31† | | | 26,269 | | | | | | 26,695 | |
2.36%, 08/01/31† | | | 3,371 | | | | | | 3,399 | |
7.50%, 11/01/31 | | | 9,640 | | | | | | 9,793 | |
3.10%, 04/01/32† | | | 2,937 | | | | | | 3,141 | |
5.00%, 10/01/33 | | | 17,138 | | | | | | 18,613 | |
2.48%, 03/01/34† | | | 4,131 | | | | | | 4,350 | |
5.00%, 12/01/34 | | | 39,933 | | | | | | 43,170 | |
5.50%, 05/01/35 | | | 703,740 | | | | | | 764,488 | |
5.00%, 07/01/35 | | | 20,217 | | | | | | 21,855 | |
5.00%, 08/01/35 | | | 281,112 | | | | | | 303,548 | |
5.00%, 09/01/35 | | | 17,171 | | | | | | 18,542 | |
5.00%, 11/01/35 | | | 678,828 | | | | | | 733,006 | |
5.50%, 11/01/35 | | | 140,621 | | | | | | 152,657 | |
| | | | |
| | See Notes to Financial Statements. | | 107 |
| | | | | | | | | | |
| | | Par | | | Value | |
5.00%, 12/01/35 | | $ | 89,442 | | | | | $ | 98,474 | |
5.50%, 01/01/36 | | | 89,855 | | | | | | 99,233 | |
6.00%, 02/01/36 | | | 800,510 | | | | | | 877,325 | |
3.13%, 01/01/37† | | | 673,905 | | | | | | 714,318 | |
5.00%, 02/01/37 | | | 1,388,367 | | | | | | 1,499,505 | |
6.00%, 04/01/37 | | | 6,760 | | | | | | 7,502 | |
5.50%, 07/01/37 | | | 187,777 | | | | | | 204,920 | |
6.00%, 07/01/37 | | | 1,692 | | | | | | 1,878 | |
2.18%, 09/01/37† | | | 121,812 | | | | | | 130,240 | |
6.00%, 09/01/37 | | | 66,021 | | | | | | 73,087 | |
5.00%, 02/01/38 | | | 90,434 | | | | | | 97,652 | |
5.00%, 03/01/38 | | | 16,615 | | | | | | 17,894 | |
5.50%, 04/01/38 | | | 62,153 | | | | | | 67,143 | |
6.00%, 07/01/38 | | | 27,349 | | | | | | 30,348 | |
5.00%, 12/01/38 | | | 4,530 | | | | | | 4,875 | |
6.00%, 12/01/38 | | | 75,509 | | | | | | 87,073 | |
6.00%, 01/01/39 | | | 38,437 | | | | | | 42,577 | |
5.00%, 02/01/39 | | | 9,024 | | | | | | 9,710 | |
4.50%, 06/01/39 | | | 500,000 | | | | | | 536,546 | |
6.50%, 09/01/39 | | | 188,647 | | | | | | 214,413 | |
5.00%, 01/01/40 TBA | | | 2,000,000 | | | | | | 2,151,875 | |
4.50%, 03/01/41 | | | 13,114 | | | | | | 14,150 | |
5.00%, 06/01/41 | | | 20,405 | | | | | | 22,173 | |
3.00%, 07/01/42 | | | 2,000,199 | | | | | | 2,093,155 | |
3.00%, 09/01/42 | | | 1,000,000 | | | | | | 1,046,473 | |
3.50%, 10/01/42 | | | 99,816 | | | | | | 108,643 | |
4.00%, 10/01/42 | | | 99,686 | | | | | | 110,688 | |
3.00%, 11/01/42 | | | 6,999,948 | | | | | | 7,325,258 | |
3.50%, 11/01/42 | | | 199,714 | | | | | | 217,376 | |
3.00%, 12/01/42 | | | 2,000,001 | | | | | | 2,092,948 | |
Federal Home Loan Mortgage Corporation REMIC | | | | | | | | | | |
3.24%, 04/15/22 POW† | | | 10,767 | | | | | | 9,923 | |
(1.00)%, 09/15/31 IOW† | | | 970,496 | | | | | | 113,762 | |
6.00%, 05/15/36 | | | 741,462 | | | | | | 853,657 | |
0.71%, 06/15/37† | | | 881,895 | | | | | | 890,532 | |
2.67%, 07/15/37 IOW† | | | 4,213,291 | | | | | | 790,869 | |
20.08%, 04/15/39 IOW† | | | 1,270,752 | | | | | | 275,607 | |
(1.00)%, 09/15/39 IOW† | | | 388,617 | | | | | | 91,985 | |
9.19%, 01/15/40 IOW† | | | 1,099,597 | | | | | | 160,242 | |
6.89%, 02/15/40 IOW† | | | 1,740,177 | | | | | | 282,778 | |
3.94%, 11/15/41 IOW† | | | 469,403 | | | | | | 107,506 | |
3.38%, 06/15/42 IOW† | | | 96,198 | | | | | | 23,091 | |
2.06%, 10/15/42 IOW† | | | 398,313 | | | | | | 112,946 | |
Federal Housing Administration | | | | | | | | | | |
8.70%, 10/01/18@ | | | 92,936 | | | | | | 96,873 | |
Federal National Mortgage
Association | | | | | | | | | | |
8.00%, 06/01/15 | | | 11,021 | | | | | | 11,489 | |
8.00%, 07/01/15 | | | 5,502 | | | | | | 5,517 | |
8.00%, 09/01/15 | | | 10,711 | | | | | | 11,365 | |
3.07%, 12/01/17 | | | 967,678 | | | | | | 1,040,528 | |
5.00%, 12/01/17 | | | 26,007 | | | | | | 28,205 | |
2.80%, 03/01/18 | | | 579,784 | | | | | | 625,169 | |
3.74%, 05/01/18 | | | 1,370,368 | | | | | | 1,550,894 | |
3.84%, 05/01/18 | | | 420,000 | | | | | | 471,442 | |
4.51%, 06/01/19 | | | 1,000,000 | | | | | | 1,158,033 | |
1.52%, 12/25/19 | | | 200,000 | | | | | | 204,650 | |
3.42%, 10/01/20 | | | 291,899 | | | | | | 322,190 | |
3.63%, 12/01/20 | | | 194,765 | | | | | | 217,681 | |
3.76%, 12/01/20 | | | 1,269,418 | | | | | | 1,441,256 | |
4.38%, 06/01/21 | | | 697,471 | | | | | | 811,518 | |
9.50%, 05/01/22 | | | 1,512 | | | | | | 1,741 | |
| | | | | | | | | | |
| | | Par | | | Value | |
2.35%, 05/25/22 | | $ | 200,000 | | | | | $ | 203,051 | |
2.34%, 07/01/22† | | | 7,671 | | | | | | 7,704 | |
5.50%, 09/01/23 | | | 206,593 | | | | | | 223,819 | |
5.50%, 10/01/23 | | | 37,947 | | | | | | 41,496 | |
9.50%, 07/01/24 | | | 3,084 | | | | | | 3,558 | |
5.50%, 05/01/25 | | | 1,239,045 | | | | | | 1,334,613 | |
3.50%, 01/01/26 TBA | | | 4,000,000 | | | | | | 4,243,125 | |
2.50%, 05/01/27 | | | 5,846,508 | | | | | | 6,118,128 | |
2.29%, 07/01/27† | | | 21,603 | | | | | | 22,188 | |
2.26%, 08/01/27† | | | 46,332 | | | | | | 49,463 | |
2.50%, 10/01/27 | | | 3,980,791 | | | | | | 4,165,732 | |
2.29%, 11/01/27† | | | 30,969 | | | | | | 32,043 | |
2.50%, 12/01/27 | | | 994,950 | | | | | | 1,041,174 | |
2.50%, 01/01/28 TBA | | | 5,200,000 | | | | | | 5,437,250 | |
5.50%, 04/01/29 | | | 187 | | | | | | 205 | |
2.76%, 02/01/30† | | | 133,185 | | | | | | 143,033 | |
2.51%, 06/01/30† | | | 17,907 | | | | | | 18,121 | |
8.00%, 10/01/30 | | | 31,136 | | | | | | 38,469 | |
2.68%, 12/01/30† | | | 6,691 | | | | | | 7,172 | |
2.29%, 01/01/31† | | | 7,438 | | | | | | 7,735 | |
4.50%, 04/01/31 | | | 222,854 | | | | | | 242,271 | |
2.32%, 05/01/31† | | | 15,951 | | | | | | 16,255 | |
4.50%, 05/01/31 | | | 738,198 | | | | | | 802,516 | |
4.50%, 06/01/31 | | | 220,127 | | | | | | 239,307 | |
4.50%, 11/01/31 | | | 271,277 | | | | | | 296,269 | |
6.00%, 11/01/31 | | | 7,507 | | | | | | 8,387 | |
4.50%, 12/01/31 | | | 361,794 | | | | | | 395,125 | |
6.00%, 01/01/32 | | | 68,254 | | | | | | 76,240 | |
6.00%, 03/01/32 | | | 35,648 | | | | | | 39,830 | |
6.00%, 04/01/32 | | | 346,448 | | | | | | 391,643 | |
2.29%, 06/01/32† | | | 8,927 | | | | | | 9,111 | |
2.34%, 08/01/32† | | | 21,597 | | | | | | 22,609 | |
2.25%, 02/01/33† | | | 2,964 | | | | | | 2,989 | |
2.34%, 05/01/33† | | | 52,628 | | | | | | 54,926 | |
5.00%, 05/01/33 | | | 23,606 | | | | | | 25,718 | |
6.00%, 05/01/33 | | | 5,049 | | | | | | 5,640 | |
5.00%, 07/01/33 | | | 126,515 | | | | | | 137,838 | |
5.00%, 08/01/33 | | | 9,897 | | | | | | 10,854 | |
5.00%, 09/01/33 | | | 1,149,156 | | | | | | 1,252,003 | |
5.50%, 09/01/33 | | | 4,386 | | | | | | 4,852 | |
5.00%, 10/01/33 | | | 233,169 | | | | | | 254,037 | |
5.00%, 12/01/33 | | | 946,660 | | | | | | 1,031,384 | |
6.00%, 12/01/33 | | | 992 | | | | | | 1,096 | |
5.50%, 02/01/34 | | | 6,163 | | | | | | 6,818 | |
5.50%, 04/01/34 | | | 997 | | | | | | 1,133 | |
5.50%, 08/01/34 | | | 8,610 | | | | | | 9,785 | |
5.50%, 10/01/34 | | | 404 | | | | | | 457 | |
6.00%, 10/01/34 | | | 67,681 | | | | | | 75,592 | |
2.32%, 12/01/34† | | | 258,870 | | | | | | 272,587 | |
5.50%, 12/01/34 | | | 48,874 | | | | | | 53,969 | |
6.00%, 12/01/34 | | | 718 | | | | | | 799 | |
6.00%, 05/01/35 | | | 1,758,989 | | | | | | 1,950,038 | |
5.00%, 07/01/35 | | | 727,202 | | | | | | 793,776 | |
5.50%, 07/01/35 | | | 396 | | | | | | 448 | |
6.00%, 07/01/35 | | | 397,693 | | | | | | 441,224 | |
5.50%, 08/01/35 | | | 888 | | | | | | 1,010 | |
6.00%, 08/01/35 | | | 263 | | | | | | 290 | |
5.50%, 09/01/35 | | | 208,592 | | | | | | 229,297 | |
5.00%, 10/01/35 | | | 400,263 | | | | | | 436,086 | |
6.00%, 10/01/35 | | | 72,732 | | | | | | 80,595 | |
2.11%, 11/01/35† | | | 121,032 | | | | | | 127,121 | |
2.12%, 11/01/35† | | | 143,151 | | | | | | 150,433 | |
2.12%, 11/01/35† | | | 118,374 | | | | | | 124,660 | |
2.13%, 11/01/35† | | | 168,697 | | | | | | 177,242 | |
| | | | |
| 108 | | See Notes to Financial Statements. | | |
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | |
| | | Par | | | Value | |
2.14%, 11/01/35† | | $ | 99,574 | | | | | $ | 104,581 | |
2.29%, 11/01/35† | | | 18,768 | | | | | | 19,424 | |
6.00%, 11/01/35 | | | 867,112 | | | | | | 965,364 | |
5.50%, 12/01/35 | | | 3,994 | | | | | | 4,539 | |
6.00%, 12/01/35 | | | 18,453 | | | | | | 20,606 | |
6.00%, 02/01/36 | | | 10,897 | | | | | | 12,169 | |
6.00%, 03/01/36 | | | 16,817 | | | | | | 18,780 | |
5.50%, 04/01/36 | | | 173,776 | | | | | | 186,532 | |
6.00%, 04/01/36 | | | 16,871 | | | | | | 18,840 | |
3.89%, 05/01/36† | | | 199,048 | | | | | | 210,895 | |
5.00%, 05/01/36 | | | 310,296 | | | | | | 336,127 | |
5.00%, 06/01/36 | | | 132,728 | | | | | | 144,470 | |
6.00%, 08/01/36 | | | 960,389 | | | | | | 1,051,444 | |
6.00%, 09/01/36 | | | 130,126 | | | | | | 142,464 | |
5.00%, 11/01/36 | | | 644,147 | | | | | | 699,381 | |
5.50%, 11/01/36 | | | 449,974 | | | | | | 489,472 | |
6.00%, 11/01/36 | | | 622,119 | | | | | | 681,103 | |
6.00%, 12/01/36 | | | 224 | | | | | | 245 | |
6.00%, 01/01/37 | | | 132,665 | | | | | | 145,243 | |
2.12%, 02/01/37† | | | 822,574 | | | | | | 864,466 | |
5.50%, 02/01/37 | | | 601 | | | | | | 663 | |
6.00%, 02/01/37 | | | 246,200 | | | | | | 269,542 | |
5.50%, 03/01/37 | | | 24,697 | | | | | | 26,989 | |
5.50%, 04/01/37 | | | 875 | | | | | | 968 | |
5.50%, 05/01/37 | | | 1,301 | | | | | | 1,437 | |
6.00%, 05/01/37 | | | 6,491 | | | | | | 7,106 | |
5.50%, 06/01/37 | | | 417 | | | | | | 457 | |
6.00%, 06/01/37 | | | 151,536 | | | | | | 165,902 | |
6.00%, 07/01/37 | | | 3,789,295 | | | | | | 4,224,022 | |
6.00%, 09/01/37 | | | 366,954 | | | | | | 401,745 | |
6.50%, 10/01/37 | | | 253,054 | | | | | | 284,361 | |
7.00%, 10/01/37 | | | 28,318 | | | | | | 33,704 | |
6.00%, 11/01/37 | | | 3,351 | | | | | | 3,668 | |
7.00%, 11/01/37 | | | 17,050 | | | | | | 20,293 | |
2.29%, 12/01/37† | | | 85,190 | | | | | | 88,566 | |
7.00%, 12/01/37 | | | 13,646 | | | | | | 16,241 | |
2.29%, 01/01/38† | | | 45,300 | | | | | | 47,044 | |
6.00%, 01/01/38 | | | 3,138 | | | | | | 3,435 | |
5.00%, 02/01/38 | | | 3,824,549 | | | | | | 4,152,496 | |
5.50%, 02/01/38 | | | 561 | | | | | | 621 | |
6.00%, 02/01/38 | | | 8,299 | | | | | | 9,070 | |
7.00%, 02/01/38 | | | 16,145 | | | | | | 19,236 | |
5.00%, 02/12/38 TBA | | | 1,000,000 | | | | | | 1,083,281 | |
4.50%, 03/01/38 | | | 29,272 | | | | | | 31,630 | |
5.50%, 03/01/38 | | | 1,355 | | | | | | 1,485 | |
6.00%, 03/01/38 | | | 3,680 | | | | | | 4,030 | |
4.50%, 04/01/38 | | | 1,035,694 | | | | | | 1,119,134 | |
6.00%, 04/01/38 | | | 186,858 | | | | | | 204,571 | |
5.50%, 05/01/38 | | | 381 | | | | | | 422 | |
5.50%, 06/01/38 | | | 1,908 | | | | | | 2,110 | |
6.00%, 06/01/38 | | | 9,918 | | | | | | 10,834 | |
5.50%, 07/01/38 | | | 218,216 | | | | | | 240,969 | |
5.50%, 08/01/38 | | | 327,563 | | | | | | 362,348 | |
7.00%, 08/01/38 | | | 22,289 | | | | | | 26,556 | |
5.50%, 09/01/38 | | | 1,093 | | | | | | 1,209 | |
6.00%, 09/01/38 | | | 9,827 | | | | | | 10,738 | |
6.00%, 11/01/38 | | | 2,105,356 | | | | | | 2,310,429 | |
7.00%, 11/01/38 | | | 137,132 | | | | | | 163,384 | |
5.50%, 12/01/38 | | | 793 | | | | | | 877 | |
6.00%, 12/01/38 | | | 949,754 | | | | | | 1,039,800 | |
7.00%, 02/01/39 | | | 51,803 | | | | | | 61,658 | |
5.00%, 04/01/39 | | | 433,865 | | | | | | 469,984 | |
5.00%, 07/01/39 | | | 4,089,843 | | | | | | 4,430,315 | |
4.50%, 08/01/39 | | | 496,383 | | | | | | 536,374 | |
| | | | | | | | | | |
| | | Par | | | Value | |
6.00%, 12/01/39 | | $ | 1,943,175 | | | | | $ | 2,127,409 | |
4.00%, 01/01/40 TBA | | | 3,000,000 | | | | | | 3,212,344 | |
4.50%, 01/01/40 TBA | | | 6,000,000 | | | | | | 6,481,172 | |
1.56%, 06/01/40† | | | 72,934 | | | | | | 75,336 | |
4.50%, 08/01/40 | | | 168,792 | | | | | | 182,918 | |
4.00%, 09/01/40 | | | 601,687 | | | | | | 645,646 | |
4.50%, 09/01/40 | | | 571,188 | | | | | | 634,163 | |
1.56%, 10/01/40† | | | 210,684 | | | | | | 217,683 | |
4.00%, 10/01/40 | | | 17,431 | | | | | | 18,705 | |
4.50%, 10/01/40 | | | 680,001 | | | | | | 736,910 | |
6.00%, 10/01/40 | | | 951,889 | | | | | | 1,042,138 | |
2.29%, 11/01/40† | | | 32,820 | | | | | | 34,406 | |
4.00%, 11/01/40 | | | 86,839 | | | | | | 93,183 | |
4.00%, 12/01/40 | | | 607,474 | | | | | | 651,855 | |
4.50%, 01/01/41 | | | 1,565,057 | | | | | | 1,696,525 | |
4.00%, 01/13/41 TBA | | | 7,000,000 | | | | | | 7,503,125 | |
4.50%, 02/01/41 | | | 855,650 | | | | | | 928,864 | |
4.00%, 02/10/41 TBA | | | 2,000,000 | | | | | | 2,142,500 | |
4.00%, 03/01/41 | | | 35,990 | | | | | | 38,631 | |
4.50%, 03/01/41 | | | 391,563 | | | | | | 424,333 | |
4.50%, 04/01/41 | | | 938,214 | | | | | | 1,018,491 | |
4.50%, 05/01/41 | | | 1,681,735 | | | | | | 1,825,632 | |
6.00%, 05/01/41 | | | 631,183 | | | | | | 691,026 | |
4.50%, 06/01/41 | | | 602,877 | | | | | | 654,462 | |
4.00%, 08/01/41 | | | 25,859 | | | | | | 27,756 | |
4.50%, 08/01/41 | | | 196,505 | | | | | | 213,319 | |
4.00%, 09/01/41 | | | 21,349 | | | | | | 22,915 | |
4.50%, 09/01/41 | | | 845,399 | | | | | | 917,735 | |
4.00%, 10/01/41 | | | 665,000 | | | | | | 713,792 | |
4.50%, 10/01/41 | | | 53,143 | | | | | | 57,690 | |
4.00%, 11/01/41 | | | 1,286,769 | | | | | | 1,381,181 | |
4.50%, 11/01/41 | | | 730,492 | | | | | | 800,849 | |
4.00%, 12/01/41 | | | 1,128,786 | | | | | | 1,211,606 | |
3.50%, 01/01/42 TBA | | | 400,000 | | | | | | 426,453 | |
4.00%, 01/01/42 | | | 21,720 | | | | | | 23,571 | |
4.00%, 01/01/42 TBA | | | 500,000 | | | | | | 535,938 | |
3.50%, 01/13/42 TBA | | | 4,000,000 | | | | | | 4,264,531 | |
4.50%, 04/01/42 | | | 150,972 | | | | | | 164,456 | |
4.00%, 06/01/42 | | | 1,171,497 | | | | | | 1,274,027 | |
2.50%, 10/01/42 | | | 696,423 | | | | | | 710,928 | |
3.50%, 10/01/42 | | | 2,882,538 | | | | | | 3,101,205 | |
3.50%, 12/01/42 | | | 599,405 | | | | | | 651,362 | |
2.50%, 01/01/43 TBA | | | 800,000 | | | | | | 815,250 | |
3.00%, 01/01/43 TBA | | | 30,400,000 | | | | | | 31,853,500 | |
3.00%, 02/01/43 TBA | | | 2,000,000 | | | | | | 2,091,250 | |
Federal National Mortgage
Association Interest STRIP | | | | | | | | | | |
4.25%, 04/25/27 IOW† | | | 890,365 | | | | | | 93,570 | |
12.80%, 11/25/39 IOW† | | | 238,727 | | | | | | 25,611 | |
7.25%, 11/25/41 IOW† | | | 497,029 | | | | | | 54,919 | |
13.57%, 04/25/42 IOW† | | | 1,273,391 | | | | | | 151,045 | |
Federal National Mortgage
Association REMIC | | | | | | | | | | |
5.25%, 08/25/21 IOW† | | | 108 | | | | | | 2,786 | |
4.14%, 10/25/21 IOW† | | | 156 | | | | | | 2,991 | |
3.00%, 07/25/27 IO | | | 2,264,743 | | | | | | 261,732 | |
0.81%, 05/25/30† | | | 387,901 | | | | | | 388,569 | |
0.66%, 10/18/30† | | | 26,768 | | | | | | 26,851 | |
8.51%, 08/25/36 IOW† | | | 2,725,095 | | | | | | 429,310 | |
8.85%, 03/25/37 IOW† | | | 2,859,489 | | | | | | 464,265 | |
7.49%, 11/25/37 IOW† | | | 30,646 | | | | | | 5,191 | |
(1.00)%, 03/25/39 IOW† | | | 584,947 | | | | | | 152,437 | |
6.50%, 06/25/39 | | | 100,000 | | | | | | 111,247 | |
0.47%, 07/25/39 IOW† | | | 277,382 | | | | | | 60,869 | |
| | | | |
| | See Notes to Financial Statements. | | 109 |
| | | | | | | | | | |
| | | Par | | | Value | |
0.64%, 07/25/40 IOW† | | $ | 595,341 | | | | | $ | 151,007 | |
2.86%, 10/25/40 IO† | | | 1,005,889 | | | | | | 237,651 | |
5.33%, 10/25/40 IOW† | | | 473,545 | | | | | | 78,116 | |
10.12%, 12/25/40 IOW† | | | 365,200 | | | | | | 52,785 | |
5.61%, 01/25/41 IOW† | | | 504,037 | | | | | | 87,689 | |
4.66%, 02/25/41 IOW† | | | 96,428 | | | | | | 22,458 | |
5.50%, 07/25/41 | | | 868,635 | | | | | | 1,033,371 | |
8.29%, 07/25/41 IOW† | | | 616,083 | | | | | | 95,457 | |
0.76%, 09/25/41† | | | 6,397,910 | | | | | | 6,435,126 | |
0.79%, 09/25/41 IOW† | | | 1,261,560 | | | | | | 234,935 | |
2.68%, 10/25/41 IOW† | | | 1,461,280 | | | | | | 308,252 | |
5.90%, 03/25/42 IOW† | | | 440,128 | | | | | | 80,432 | |
6.38%, 03/25/42 IOW† | | | 600,000 | | | | | | 116,452 | |
6.50%, 03/25/42 | | | 300,000 | | | | | | 350,776 | |
7.23%, 03/25/42 IOW† | | | 200,000 | | | | | | 37,958 | |
5.50%, 04/25/42 | | | 2,800,000 | | | | | | 3,115,781 | |
6.00%, 05/25/42 | | | 900,000 | | | | | | 1,006,091 | |
6.65%, 06/25/42 IOW† | | | 976,692 | | | | | | 174,736 | |
2.82%, 07/25/42 IOW† | | | 187,164 | | | | | | 44,253 | |
6.50%, 07/25/42 | | | 1,180,000 | | | | | | 1,336,529 | |
1.82%, 09/25/42 IOW† | | | 296,116 | | | | | | 80,537 | |
FHLMC Multifamily Structured
Pass Through Certificates | | | | | | | | | | |
25.00%, 02/25/18 IOW† | | | 5,468,222 | | | | | | 372,547 | |
4.40%, 05/25/18 IOW† | | | 1,964,343 | | | | | | 178,402 | |
4.32%, 11/25/19 | | | 1,100,000 | | | | | | 1,273,810 | |
25.00%, 01/25/20 IOW† | | | 3,837,823 | | | | | | 229,095 | |
3.96%, 04/25/20 IOW† | | | 2,554,116 | | | | | | 171,840 | |
25.00%, 06/25/20 IOW† | | | 2,178,712 | | | | | | 205,499 | |
25.00%, 08/25/20 IOW† | | | 1,279,159 | | | | | | 105,632 | |
25.00%, 04/25/21 IOW† | | | 858,250 | | | | | | 72,244 | |
25.00%, 07/25/21 IOW† | | | 1,438,832 | | | | | | 162,473 | |
25.00%, 10/25/21 IOW† | | | 907,069 | | | | | | 99,266 | |
25.00%, 12/25/21 IOW† | | | 745,072 | | | | | | 74,377 | |
FHLMC Multifamily VRD
Certificates | | | | | | | | | | |
5.50%, 08/15/51 STEP | | | 3,500,000 | | | | | | 3,956,390 | |
FHLMC Structured
Pass-Through Securities | | | | | | | | | | |
1.53%, 07/25/44† | | | 1,515,997 | | | | | | 1,549,141 | |
First Horizon Alternative
Mortgage Securities | | | | | | | | | | |
2.54%, 06/25/34† | | | 733,505 | | | | | | 724,486 | |
FREMF Mortgage Trust | | | | | | | | | | |
4.50%, 12/25/21 | | | 200,000 | | | | | | 211,541 | |
4.02%, 11/25/44 144A† | | | 300,000 | | | | | | 310,828 | |
3.88%, 01/25/47 144A† | | | 225,000 | | | | | | 222,289 | |
Government National Mortgage
Association | | | | | | | | | | |
3.95%, 07/15/25 | | | 171,225 | | | | | | 186,628 | |
7.00%, 10/15/25 | | | 51,376 | | | | | | 60,640 | |
7.00%, 01/15/26 | | | 11,117 | | | | | | 13,188 | |
7.00%, 07/15/27 | | | 85,354 | | | | | | 100,835 | |
7.00%, 12/15/27 | | | 1,370 | | | | | | 1,633 | |
7.00%, 01/15/28 | | | 16,436 | | | | | | 16,555 | |
7.00%, 03/15/28 | | | 112,015 | | | | | | 133,112 | |
7.00%, 07/15/28 | | | 17,773 | | | | | | 21,264 | |
7.50%, 07/15/28 | | | 13,675 | | | | | | 14,172 | |
6.50%, 08/15/28 | | | 9,181 | | | | | | 10,791 | |
7.00%, 08/15/28 | | | 25,894 | | | | | | 30,980 | |
7.50%, 08/15/28 | | | 10,426 | | | | | | 12,639 | |
6.50%, 09/15/28 | | | 37,688 | | | | | | 44,299 | |
7.00%, 10/15/28 | | | 40,674 | | | | | | 48,662 | |
7.50%, 03/15/29 | | | 30,782 | | | | | | 37,145 | |
| | | | | | | | | | |
| | | Par | | | Value | |
7.50%, 11/15/29 | | $ | 22,045 | | | | | $ | 23,096 | |
1.63%, 11/20/29† | | | 51,541 | | | | | | 53,141 | |
8.50%, 08/15/30 | | | 2,196 | | | | | | 2,749 | |
8.50%, 11/20/30 | | | 12,857 | | | | | | 16,072 | |
6.50%, 08/15/31 | | | 68,311 | | | | | | 77,868 | |
7.50%, 08/15/31 | | | 17,167 | | | | | | 20,652 | |
6.50%, 10/15/31 | | | 131,349 | | | | | | 150,110 | |
6.00%, 11/15/31 | | | 427,910 | | | | | | 477,694 | |
6.50%, 11/15/31 | | | 208,595 | | | | | | 237,778 | |
6.00%, 12/15/31 | | | 86,554 | | | | | | 96,624 | |
6.00%, 01/15/32 | | | 152,060 | | | | | | 171,577 | |
6.00%, 02/15/32 | | | 244,804 | | | | | | 273,285 | |
6.50%, 02/15/32 | | | 218,533 | | | | | | 250,860 | |
6.00%, 04/15/32 | | | 107,886 | | | | | | 121,552 | |
7.50%, 04/15/32 | | | 75,420 | | | | | | 79,027 | |
6.50%, 06/15/32 | | | 127,286 | | | | | | 145,093 | |
6.50%, 07/15/32 | | | 3,695 | | | | | | 4,212 | |
6.50%, 08/15/32 | | | 269,814 | | | | | | 307,561 | |
6.50%, 09/15/32 | | | 270,790 | | | | | | 308,674 | |
6.00%, 10/15/32 | | | 210,830 | | | | | | 235,359 | |
6.00%, 11/15/32 | | | 184,310 | | | | | | 206,367 | |
6.00%, 12/15/32 | | | 79,016 | | | | | | 88,209 | |
6.50%, 12/15/32 | | | 22,537 | | | | | | 25,690 | |
6.00%, 01/15/33 | | | 102,620 | | | | | | 114,559 | |
6.00%, 02/15/33 | | | 79,953 | | | | | | 89,255 | |
6.50%, 04/15/33 | | | 566,039 | | | | | | 645,228 | |
6.00%, 05/15/33 | | | 507,305 | | | | | | 566,326 | |
6.00%, 06/15/33 | | | 66,887 | | | | | | 74,668 | |
6.00%, 10/15/33 | | | 211,022 | | | | | | 235,572 | |
6.50%, 10/15/33 | | | 167,972 | | | | | | 191,472 | |
6.00%, 12/15/33 | | | 384,961 | | | | | | 429,748 | |
6.50%, 08/15/34 | | | 507,430 | | | | | | 601,169 | |
(1.00)%, 02/16/36 IOW† | | | 852,287 | | | | | | 111,109 | |
1.79%, 12/16/36 IOW† | | | 273,321 | | | | | | 39,057 | |
0.51%, 03/20/37† | | | 1,435,100 | | | | | | 1,437,478 | |
0.51%, 05/20/37† | | | 626,286 | | | | | | 627,302 | |
8.79%, 05/20/37 IOW† | | | 590,481 | | | | | | 89,155 | |
4.63%, 02/20/38 IOW† | | | 483,627 | | | | | | 72,607 | |
6.00%, 09/20/38 | | | 1,047,211 | | | | | | 1,168,719 | |
(1.00)%, 11/20/38 IOW† | | | 367,373 | | | | | | 50,782 | |
(1.00)%, 03/20/39 IOW† | | | 207,183 | | | | | | 32,554 | |
5.00%, 10/20/39 | | | 885,406 | | | | | | 981,152 | |
4.00%, 01/01/40 TBA | | | 1,100,000 | | | | | | 1,206,391 | |
2.44%, 01/20/40 IOW† | | | 244,402 | | | | | | 42,461 | |
3.33%, 02/16/40 IOW† | | | 227,826 | | | | | | 47,024 | |
4.50%, 03/15/40 | | | 407,872 | | | | | | 450,206 | |
7.06%, 03/20/40 IOW† | | | 1,344,082 | | | | | | 200,392 | |
5.00%, 07/20/40 | | | 64,053 | | | | | | 70,980 | |
5.00%, 08/20/40 | | | 915,138 | | | | | | 1,012,689 | |
2.94%, 09/20/40 IOW† | | | 444,078 | | | | | | 77,987 | |
5.00%, 09/20/40 | | | 250,784 | | | | | | 278,319 | |
6.46%, 09/20/40 IOW† | | | 507,184 | | | | | | 79,614 | |
6.00%, 10/20/40 | | | 116,308 | | | | | | 130,457 | |
3.50%, 01/01/41 TBA | | | 400,000 | | | | | | 434,531 | |
4.50%, 01/01/41 TBA | | | 1,300,000 | | | | | | 1,423,297 | |
6.00%, 01/20/41 | | | 130,060 | | | | | | 145,883 | |
6.16%, 01/20/41 IOW† | | | 265,953 | | | | | | 39,266 | |
5.45%, 03/16/41 IOW† | | | 108,077 | | | | | | 13,027 | |
5.47%, 03/20/41 IOW† | | | 204,572 | | | | | | 32,192 | |
5.61%, 11/16/41 IOW† | | | 174,016 | | | | | | 42,124 | |
3.50%, 01/01/42 TBA | | | 1,600,000 | | | | | | 1,738,375 | |
3.00%, 01/01/43 TBA | | | 4,100,000 | | | | | | 4,358,641 | |
3.00%, 01/22/43 TBA | | | 7,000,000 | | | | | | 7,440,782 | |
3.00%, 02/19/43 TBA | | | 15,000,000 | | | | | | 15,911,719 | |
| | | | |
| 110 | | See Notes to Financial Statements. | | |
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | |
| | | Par | | | Value | |
0.61%, 12/20/60† | | $ | 486,047 | | | | | $ | 486,592 | |
0.69%, 03/20/61† | | | 563,461 | | | | | | 567,157 | |
0.71%, 03/20/61† | | | 378,116 | | | | | | 380,977 | |
0.56%, 12/20/62† | | | 1,800,000 | | | | | | 1,796,634 | |
Granite Master Issuer PLC | | | | | | | | | | |
0.29%, 12/20/54† | | | 2,213,894 | | | | | | 2,179,780 | |
0.31%, 12/20/54(E)† | | | 264,345 | | | | | | 344,040 | |
0.33%, 12/20/54(E)† | | | 33,043 | | | | | | 43,004 | |
0.35%, 12/20/54† | | | 528,691 | | | | | | 520,544 | |
0.61%, 12/20/54(U)† | | | 594,777 | | | | | | 951,215 | |
0.81%, 12/20/54(U)† | | | 66,086 | | | | | | 105,691 | |
Granite Mortgages PLC | | | | | | | | | | |
0.59%, 01/20/44(E)† | | | 197,430 | | | | | | 258,202 | |
0.91%, 01/20/44(U)† | | | 59,937 | | | | | | 96,553 | |
Greenpoint Mortgage Funding Trust | | | | | | | | | | |
0.39%, 01/25/37† | | | 1,036,416 | | | | | | 608,538 | |
Greenwich Capital Commercial Funding Corporation | | | | | | | | | | |
5.87%, 07/10/38† | | | 1,307,000 | | | | | | 1,496,830 | |
GS Mortgage Securities Corporation II | | | | | | | | | | |
3.55%, 04/10/34 144A | | | 116,000 | | | | | | 125,307 | |
4.10%, 08/10/44 IO 144A† | | | 472,625 | | | | | | 40,725 | |
5.79%, 08/10/45† | | | 500,000 | | | | | | 576,453 | |
GSMPS Mortgage Loan Trust | | | | | | | | | | |
0.67%, 02/25/35 144A† | | | 134,390 | | | | | | 117,670 | |
GSR Mortgage Loan Trust | | | | | | | | | | |
2.66%, 09/25/35† | | | 582,933 | | | | | | 583,874 | |
Impac CMB Trust | | | | | | | | | | |
0.93%, 10/25/34†@ | | | 87,974 | | | | | | 68,160 | |
0.47%, 11/25/35† | | | 895,064 | | | | | | 547,153 | |
Indymac ARM Trust | | | | | | | | | | |
1.79%, 01/25/32† | | | 7,783 | | | | | | 7,206 | |
Indymac Index Mortgage Loan Trust | | | | | | | | | | |
0.40%, 09/25/46† | | | 1,174,637 | | | | | | 817,960 | |
JP Morgan Alternative Loan Trust | | | | | | | | | | |
0.47%, 01/25/36† | | | 487,873 | | | | | | 428,225 | |
JP Morgan Chase Commercial Mortgage Securities Corporation | | | | | | | | | | |
5.44%, 05/15/45 | | | 158,000 | | | | | | 177,502 | |
2.83%, 10/15/45 | | | 700,000 | | | | | | 722,140 | |
5.34%, 05/15/47 | | | 1,000,000 | | | | | | 1,143,983 | |
5.88%, 02/12/51† | | | 10,000 | | | | | | 11,595 | |
JP Morgan Mortgage Trust | | | | | | | | | | |
4.96%, 02/25/35† | | | 260,722 | | | | | | 264,687 | |
LB-UBS Commercial Mortgage Trust 0.00%, | | | | | | | | | | |
06/15/36 IO 144AW†@ | | | 625,200 | | | | | | 509 | |
5.42%, 02/15/40 | | | 29,000 | | | | | | 33,666 | |
Luminent Mortgage Trust | | | | | | | | | | |
0.38%, 12/25/36† | | | 2,678,568 | | | | | | 1,885,926 | |
0.41%, 02/25/46† | | | 800,889 | | | | | | 460,132 | |
MASTR Adjustable Rate Mortgages Trust | | | | | | | | | | |
2.75%, 05/25/34† | | | 229,742 | | | | | | 225,350 | |
0.85%, 11/25/34† | | | 538,685 | | | | | | 515,929 | |
2.85%, 11/25/35 144A† | | | 977,263 | | | | | | 532,171 | |
Merrill Lynch Mortgage Investors Trust | | | | | | | | | | |
1.02%, 11/25/29† | | | 352,320 | | | | | | 345,688 | |
| | | | | | | | | | |
| | | Par | | | Value | |
1.76%, 10/25/35† | | $ | 85,498 | | | | | $ | 83,973 | |
MLCC Mortgage Investors, Inc. | | | | | | | |
0.89%, 04/25/28† | | | 417,783 | | | | | | 410,115 | |
Morgan Stanley Bank of America Merrill Lynch Trust 1.94%, | | | | | | | | | | |
08/15/45 IO 144AW† | | | 1,015,018 | | | | | | 113,982 | |
2.86%, 11/15/45 | | | 1,200,000 | | | | | | 1,240,398 | |
Morgan Stanley Capital I, Inc. | | | | | | | | | | |
5.48%, 02/12/44† | | | 50,000 | | | | | | 56,074 | |
Permanent Master Issuer PLC | | | | | | | | | | |
1.71%, 07/15/42 144A† | | | 1,000,000 | | | | | | 1,010,615 | |
Prime Mortgage Trust | | | | | | | | | | |
5.50%, 05/25/35 144A | | | 3,501,602 | | | | | | 3,339,226 | |
6.00%, 05/25/35 144A | | | 3,066,583 | | | | | | 3,040,213 | |
Sequoia Mortgage Trust | | | | | | | | | | |
1.06%, 07/20/33† | | | 192,901 | | | | | | 181,341 | |
Structured Adjustable Rate Mortgage Loan Trust | | | | | | | | | | |
0.55%, 08/25/35† | | | 339,821 | | | | | | 321,741 | |
Structured Asset Mortgage Investments, Inc. | | | | | | | | | | |
0.46%, 07/19/35† | | | 194,207 | | | | | | 167,812 | |
Structured Asset Securities Corporation | | | | | | | | | | |
0.56%, 06/25/35 144A† | | | 200,373 | | | | | | 161,407 | |
UBS-Barclays Commercial Mortgage Trust | | | | | | | | | | |
2.85%, 12/10/45 | | | 1,300,000 | | | | | | 1,336,789 | |
3.32%, 12/10/45 144A | | | 160,000 | | | | | | 162,877 | |
Wachovia Bank Commercial Mortgage Trust | | | | | | | | | | |
5.31%, 11/15/48 | | | 105,000 | | | | | | 120,743 | |
Washington Mutual Mortgage Pass-Through Certificates | | | | | | | | | | |
2.46%, 02/25/33† | | | 13,805 | | | | | | 13,788 | |
2.50%, 02/25/37† | | | 725,862 | | | | | | 531,319 | |
5.00%, 02/25/37† | | | 528,669 | | | | | | 431,122 | |
1.57%, 06/25/42† | | | 30,675 | | | | | | 29,448 | |
0.50%, 07/25/45† | | | 319,076 | | | | | | 301,157 | |
0.50%, 10/25/45† | | | 1,918,442 | | | | | | 1,821,262 | |
0.93%, 04/25/47† | | | 1,191,304 | | | | | | 1,067,584 | |
Wells Fargo Alternative Loan Trust | | | | | | | | | | |
2.90%, 12/28/37† | | | 1,479,473 | | | | | | 1,142,921 | |
Wells Fargo Mortgage-Backed Securities Trust | | | | | | | | | | |
2.76%, 08/25/33† | | | 391,213 | | | | | | 401,070 | |
WF-RBS Commercial Mortgage Trust 5.02%, | | | | | | | | | | |
02/15/44 IO 144AW† | | | 1,561,538 | | | | | | 76,188 | |
25.00%, 06/15/45 IO 144AW† | | | 327,724 | | | | | | 35,771 | |
| | | | | | | | | | |
Total Mortgage-Backed Securities
(Cost $308,089,394) | | | | | | 308,943,256 | |
| | | | | | | | | | |
MUNICIPAL BONDS — 2.7% | |
Alameda County Joint Powers Authority, Revenue Bond, Series Z | | | | | | | | | | |
7.05%, 12/01/44 | | | 3,300,000 | | | | | | 4,184,598 | |
American Municipal Power, Inc., Hydroelectric Project, Revenue Bond, Series B | | | | | | | | | | |
8.08%, 02/15/50 | | | 300,000 | | | | | | 440,949 | |
| | | | |
| | See Notes to Financial Statements. | | 111 |
| | | | | | | | | | |
| | | Par | | | Value | |
American Municipal Power, Inc., Revenue Bond, Series E | | | | | | | | | | |
6.27%, 02/15/50 | | $ | 250,000 | | | | | $ | 299,152 | |
Chicago Transit Authority, Revenue Bond, Series A | | | | | | | | | | |
6.90%, 12/01/40 | | | 1,800,000 | | | | | | 2,186,388 | |
Illinois Finance Authority, Revenue Bond, Series B | | | | | | | | | | |
5.75%, 07/01/33 | | | 1,800,000 | | | | | | 2,182,788 | |
Los Angeles Community College District, General Obligation | | | | | | | | | | |
6.75%, 08/01/49 | | | 300,000 | | | | | | 423,612 | |
Los Angeles Community College District, General Obligation, Series D | | | | | | | | | | |
6.68%, 08/01/36 | | | 300,000 | | | | | | 387,102 | |
New Jersey State Turnpike Authority, Revenue Bond, Series B | | | | | | | | | | |
5.00%, 01/01/25 | | | 200,000 | | | | | | 238,696 | |
5.00%, 01/01/26 | | | 400,000 | | | | | | 477,392 | |
5.00%, 01/01/27 | | | 400,000 | | | | | | 469,756 | |
Pennsylvania Higher Education Assistance Agency, Student Loan, Revenue Bond, Sub-Series HH-10 | | | | | | | | | | |
2.11%, 05/01/46† | | | 2,150,000 | | | | | | 2,043,545 | |
Port Authority of New York & New Jersey, Revenue Bond | | | | | | | | | | |
4.46%, 10/01/62 | | | 2,800,000 | | | | | | 2,766,512 | |
State of California, General Obligation | | | | | | | | | | |
7.95%, 03/01/36 | | | 165,000 | | | | | | 205,209 | |
7.55%, 04/01/39 | | | 385,000 | | | | | | 555,478 | |
State of Illinois, General Obligation | | | | | | | | | | |
3.32%, 01/01/13 | | | 6,500,000 | | | | | | 6,500,000 | |
7.35%, 07/01/35 | | | 375,000 | | | | | | 454,016 | |
| | | | | | | | | | |
Total Municipal Bonds
(Cost $22,472,964) | | | | | | | | | 23,815,193 | |
| | | | | | | | | | |
| | | |
| | | Number of
Contracts | | | | | | |
PURCHASED OPTIONS — 0.0% | |
Call Options — 0.0% | | | | | | | | | | |
10-Year U.S. Treasury Note, Strike Price $133.50, expires 01/25/13 (MLCS) | | | 53 | | | | | | 15,734 | |
U.S. Treasury Long Bond Futures, Strike Price $152.00, Expires 01/25/13 (MLCS) | | | 34 | | | | | | 5,844 | |
| | | | | | | | | | |
| | | | | | | | | 21,578 | |
| | | | | | | | | | |
| | | |
| | | Notional
Amount | | | | | | |
Put Swaptions — 0.0% | | | | | | | | | | |
3-Month LIBOR, Strike Price $3.45, Expires 09/21/15 (RBS) | | $ | 2,300,000 | | | | | | 174,022 | |
| | | | | | | | | | |
Total Purchased Options
(Cost $235,846) | | | | | | | | | 195,600 | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | Par | | | Value | |
U.S. TREASURY OBLIGATIONS — 19.1% | |
U.S. Treasury Bill | | | | | | | | | | |
0.13%, 03/07/13 | | $ | 660,000 | | | | | $ | 659,965 | |
| | | | | | | | | | |
U.S. Treasury Bonds | | | | | | | | | | |
7.50%, 11/15/24 | | | 800,000 | | | | | | 1,274,125 | |
4.38%, 02/15/38 | | | 400,000 | | | | | | 519,062 | |
4.38%, 05/15/40 | | | 300,000 | | | | | | 390,563 | |
3.88%, 08/15/40‡‡ | | | 2,400,000 | | | | | | 2,884,874 | |
3.13%, 02/15/42 | | | 8,730,000 | | | | | | 9,129,668 | |
3.00%, 05/15/42 | | | 1,400,000 | | | | | | 1,426,468 | |
2.75%, 08/15/42 | | | 1,828,000 | | | | | | 1,765,448 | |
2.75%, 11/15/42 | | | 6,220,000 | | | | | | 5,993,555 | |
| | | | | | | | | | |
| | | | | | | | | 23,383,763 | |
| | | | | | | | | | |
U.S. Treasury Inflationary Index Bonds | | | | | | | | | | |
1.63%, 01/15/15 | | | 200,000 | | | | | | 257,528 | |
0.13%, 04/15/17 | | | 2,000,000 | | | | | | 2,182,484 | |
1.13%, 01/15/21‡‡ | | | 4,700,000 | | | | | | 5,842,099 | |
0.13%, 01/15/22 | | | 8,500,000 | | | | | | 9,441,960 | |
0.13%, 07/15/22 | | | 3,200,000 | | | | | | 3,495,755 | |
1.75%, 01/15/28 | | | 710,000 | | | | | | 1,016,516 | |
3.88%, 04/15/29‡‡ | | | 808,000 | | | | | | 1,888,395 | |
2.13%, 02/15/41 | | | 1,700,000 | | | | | | 2,657,231 | |
0.75%, 02/15/42 | | | 600,000 | | | | | | 674,647 | |
| | | | | | | | | | |
| | | | | | | | | 27,456,615 | |
| | | | | | | | | | |
U.S. Treasury Notes | | | | | | | | | | |
0.25%, 10/15/15 | | | 160,000 | | | | | | 159,663 | |
0.38%, 11/15/15 | | | 90,000 | | | | | | 90,098 | |
1.00%, 09/30/16 | | | 10,000 | | | | | | 10,192 | |
0.75%, 10/31/17 | | | 470,000 | | | | | | 471,616 | |
0.75%, 12/31/17 | | | 1,900,000 | | | | | | 1,903,414 | |
2.88%, 03/31/18 | | | 900,000 | | | | | | 997,875 | |
1.25%, 01/31/19 | | | 1,200,000 | | | | | | 1,221,937 | |
1.00%, 09/30/19 | | | 4,320,000 | | | | | | 4,290,974 | |
1.25%, 10/31/19 | | | 13,270,000 | | | | | | 13,381,972 | |
1.13%, 12/31/19 | | | 9,160,000 | | | | | | 9,135,671 | |
2.63%, 08/15/20 | | | 1,300,000 | | | | | | 1,427,765 | |
2.63%, 11/15/20 | | | 2,500,000 | | | | | | 2,744,140 | |
3.13%, 05/15/21 | | | 1,500,000 | | | | | | 1,701,000 | |
2.13%, 08/15/21 | | | 22,300,000 | | | | | | 23,446,354 | |
2.00%, 11/15/21‡‡ | | | 32,400,000 | | | | | | 33,632,723 | |
2.00%, 02/15/22 | | | 6,100,000 | | | | | | 6,309,212 | |
1.75%, 05/15/22 | | | 4,000,000 | | | | | | 4,035,312 | |
1.63%, 08/15/22 | | | 3,020,000 | | | | | | 3,000,654 | |
1.63%, 11/15/22 | | | 7,010,000 | | | | | | 6,934,425 | |
| | | | | | | | | | |
| | | | | | | | | 114,894,997 | |
| | | | | | | | | | |
Total U.S. Treasury Obligations
(Cost $162,813,591) | | | | | | | | | 166,395,340 | |
| | | | | | | | | | |
| | | |
| | | Shares | | | | | | |
PREFERRED STOCKS — 0.4% | |
CoBank ACB 144AD* | | | 867 | | | | | | 90,304 | |
GMAC Capital Trust I* | | | 23,879 | | | | | | 636,375 | |
Wells Fargo & Co.* | | | 2,400 | | | | | | 2,940,000 | |
| | | | | | | | | | |
Total Preferred Stocks
(Cost $2,099,680) | | | | | | | | | 3,666,679 | |
| | | | | | | | | | |
| | | | |
| 112 | | See Notes to Financial Statements. | | |
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | |
| | | Par | | | Value | |
REPURCHASE AGREEMENTS — 7.7% | |
BNP Paribas Securities
Corporation | | | | | | | | | | |
0.14% (dated 12/28/12, due 01/10/13, repurchase price $8,600,435, collateralized by Federal Home Loan Mortgage Corporation, 3.500%, due 07/01/42, total market value $8,972,139) | | $ | 8,600,000 | | | | | $ | 8,600,000 | |
Morgan Stanley & Co., Inc. | | | | | | | | | | |
0.25% (dated 01/02/13, due 01/02/13, repurchase price $22,800,317, collateralized by U.S. Treasury Note, 1.500%, due 06/30/16, total market value $23,094,569) | | | 22,800,000 | | | | | | 22,800,000 | |
0.25% (dated 12/31/12, due 01/03/13, repurchase price $26,530,184, collateralized by Federal Home Loan Mortgage Corporation, 2.650%, due 11/06/14, total market value $27,042,921) | | | 26,530,000 | | | | | | 26,530,000 | |
0.25% (dated 01/02/13, due 01/03/13, repurchase price $3,170,022, collateralized by Federal National Mortgage Association, 3.400%, due 09/27/32,total market value $3,239,157) | | | 3,170,000 | | | | | | 3,170,000 | |
Royal Bank of Scotland PLC | | | | | | | | | | |
0.23% (dated 12/19/12, due 02/21/13, repurchase price $6,102,494, collateralized by U.S. Treasury Note, 4.250%, due 08/15/14,total market value $6,221,610) | | | 6,100,000 | | | | | | 6,100,000 | |
| | | | | | | | | | |
Total Repurchase Agreements
(Cost $67,200,000) | | | | | | | | | 67,200,000 | |
| | | | | | | | | | |
| | | |
| | | Shares | | | | | | |
MONEY MARKET FUNDS — 14.4% | | | | | | | |
GuideStone Money Market Fund (GS4 Class)¥ | | | 74,103,756 | | | | | | 74,103,756 | |
Northern Institutional Liquid Assets Portfolio§ | | | 51,587,361 | | | | | | 51,587,361 | |
| | | | | | | | | | |
Total Money Market Fund
(Cost $125,691,117) | | | | | | | | | 125,691,117 | |
| | | | | | | | | | |
TOTAL INVESTMENTS — 120.5%
(Cost $1,024,758,633) | | | | | | 1,051,451,239 | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | Notional
Amount | | | Value | |
WRITTEN OPTIONS — (0.1)% | | | | | | | |
Call Swaption — (0.1)% | | | | | | | | | | |
3-Month LIBOR, Strike Price $1.40, Expires 03/18/13 (DEUT) | | $ | (16,700,000 | ) | | | | $ | (413,602 | ) |
| | | | | | | | | | |
Put Swaptions — 0.0% | | | | | | | | | | |
3-Month LIBOR, Strike Price $1.40, Expires 03/18/13 (DEUT) | | | (16,700,000 | ) | | | | | (5,174 | ) |
3-Month LIBOR, Strike Price $2.50, Expires 09/21/15 (RBS) | | | (9,700,000 | ) | | | | | (148,950 | ) |
| | | | | | | | | | |
| | | | | | | | | (154,124 | ) |
| | | | | | | | | | |
Total Written Options
(Premiums received $(702,140)) | | | | | | | | | (567,726 | ) |
| | | | | | | | | | |
| | | |
| | | Par | | | | | | |
TBA SALE COMMITMENTS — (1.2)% | |
Federal National Mortgage Association | | | | | | | | | | |
5.00%, 01/01/39 TBA | | $ | (3,000,000 | ) | | | | | (3,249,375 | ) |
3.00%, 02/01/43 TBA | | | (7,000,000 | ) | | | | | (7,319,375 | ) |
| | | | | | | | | | |
Total TBA Sale Commitments
(Cost $(10,529,531)) | | | | | | | | | (10,568,750 | ) |
| | | | | | | | | | |
Liabilities in Excess of Other Assets — (19.2)% | | | | | | | | | (167,804,254 | ) |
| | | | | | | | | | |
NET ASSETS — 100.0% | | | | | | | | $ | 872,510,509 | |
| | | | | | | | | | |
PORTFOLIO SUMMARY (based on net assets)
| | | | |
| | | % | |
Mortgage-Backed Securities | | | 35.4 | |
Corporate Bonds | | | 20.9 | |
U.S. Treasury Obligations | | | 19.1 | |
Foreign Bonds | | | 15.9 | |
Money Market Funds | | | 14.4 | |
Repurchase Agreements | | | 7.7 | |
Futures Contracts | | | 3.4 | |
Asset-Backed Securities | | | 2.8 | |
Municipal Bonds | | | 2.7 | |
Agency Obligations | | | 1.2 | |
Preferred Stocks | | | 0.4 | |
Swap Agreements | | | 0.4 | |
Purchased Options | | | — | ** |
Written Options | | | (0.1 | ) |
TBA Sale Commitments | | | (1.2 | ) |
Forward Foreign Currency Contracts | | | (6.4 | ) |
| | | | |
| | | 116.6 | |
| | | | |
| ** | Rounds to less than 0.005%. |
| | | | |
| | See Notes to Financial Statements. | | 113 |
Swap agreements outstanding at December 31, 2012:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
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 | |
CitiFinancial, | | | | | | | | | | | | | | | | | | | | | | | | | | |
6.63% due 06/01/15 | | | (0.15 | )% | | 06/20/15 | | BAR | | USD | | $ | 300,000 | | | $ | 3,740 | | | $ | — | | | $ | 3,740 | |
Credit Suisse, Inc., | | | | | | | | | | | | | | | | | | | | | | | | | | |
6.50%, due 01/15/12 | | | (1.00 | )% | | 09/20/20 | | GSC | | USD | | | 300,000 | | | | (1,862 | ) | | | 5,968 | | | | (7,830 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | $ | 600,000 | | | $ | 1,878 | | | $ | 5,968 | | | $ | (4,090 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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 | |
General Electric Capital
Corporation, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
5.625% due 09/15/17 | | | 0.16 | % | | | 1.00 | % | | | 09/20/13 | | | | UBS | | | | USD | | | $ | 900,000 | | | $ | 5,641 | | | $ | (9,403 | ) | | $ | 15,044 | |
Federated Republic of Brazil, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
12.50% due 03/06/30 | | | 0.94 | % | | | (1.04 | )% | | | 05/20/17 | | | | DEUT | | | | USD | | | | 1,000,000 | | | | 6,892 | | | | — | | | | 6,892 | |
GMAC LLC, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
6.88% due 08/28/12 | | | 2.38 | % | | | (3.53 | )% | | | 09/20/17 | | | | DEUT | | | | USD | | | | 4,100,000 | | | | 214,819 | | | | — | | | | 214,819 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | 6,000,000 | | | $ | 227,352 | | | $ | (9,403 | ) | | $ | 236,755 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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 IG16
Index | | | 1.00 | % | | | 06/20/14 | | | | JPM | | | | USD | | | $ | 5,600,000 | | | $ | (61,957 | ) | | $ | (33,789 | ) | | $ | (28,168 | ) |
Dow Jones CDX IG16
Index | �� | | 1.00 | % | | | 06/20/14 | | | | JPM | | | | USD | | | | 5,300,000 | | | | (58,638 | ) | | | (34,220 | ) | | | (24,418 | ) |
Dow Jones CDX IG16
Index | | | 1.00 | % | | | 06/20/14 | | | | DEUT | | | | USD | | | | 4,100,000 | | | | (45,361 | ) | | | (25,579 | ) | | | (19,782 | ) |
Dow Jones CDX IG16
Index | | | 1.00 | % | | | 06/20/14 | | | | BOA | | | | USD | | | | 900,000 | | | | (9,957 | ) | | | (5,229 | ) | | | (4,728 | ) |
Dow Jones CDX IG14
Index | | | (1.00 | )% | | | 06/20/15 | | | | CME | | | | USD | | | | 3,900,000 | | | | (52,178 | ) | | | 4,286 | | | | (56,464 | ) |
Dow Jones CDX HY15
Index | | | (5.00 | )% | | | 12/20/15 | | | | CME | | | | USD | | | | 2,112,000 | | | | (121,183 | ) | | | 43,560 | | | | (164,743 | ) |
Dow Jones CDX IG15
Index | | | (1.00 | )% | | | 12/20/15 | | | | CME | | | | USD | | | | 1,200,000 | | | | (16,337 | ) | | | 8,329 | | | | (24,666 | ) |
Dow Jones CDX IG16
Index | | | (1.00 | )% | | | 06/20/16 | | | | CME | | | | USD | | | | 4,000,000 | | | | (48,623 | ) | | | 65,674 | | | | (114,297 | ) |
Dow Jones CDX IG9
Index | | | (0.80 | )% | | | 12/20/17 | | | | CME | | | | USD | | | | 7,163,200 | | | | 143,426 | | | | 319,075 | | | | (175,649 | ) |
Dow Jones CDX IG10
Index | | | (1.50 | )% | | | 06/20/18 | | | | CME | | | | USD | | | | 7,356,800 | | | | (101,005 | ) | | | 66,318 | | | | (167,323 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 41,632,000 | | | $ | (371,813 | ) | | $ | 408,425 | | | $ | (780,238 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| 114 | | See Notes to Financial Statements. | | |
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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 Credit Indices — Sell Protection | | | | | | | | | | | | | | | | | | | | | | | | | |
Dow Jones CDX IG16
Index | | | 1.00 | % | | | 1.00 | % | | | 06/20/16 | | | | JPM | | | | USD | | | $ | 4,825,000 | | | $ | 58,651 | | | $ | 14,047 | | | $ | 44,604 | |
Dow Jones CDX IG16
Index | | | 1.00 | % | | | 1.00 | % | | | 06/20/16 | | | | BOA | | | | USD | | | | 3,000,000 | | | | 36,467 | | | | 4,730 | | | | 31,737 | |
Dow Jones CDX IG16
Index | | | 1.00 | % | | | 1.00 | % | | | 06/20/16 | | | | DEUT | | | | USD | | | | 2,125,000 | | | | 25,831 | | | | 6,048 | | | | 19,783 | |
Dow Jones CDX IG19
Index | | | 1.00 | % | | | 1.00 | % | | | 12/20/17 | | | | DEUT | | | | USD | | | | 9,050,000 | | | | 26,826 | | | | 4,416 | | | | 22,410 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | 19,000,000 | | | $ | 147,775 | | | $ | 29,241 | | | $ | 118,534 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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 | | | 12.12 | % | | | 01/02/14 | | | | HSBC | | | | BRL | | | $ | 15,600,000 | | | $ | 675,619 | | | $ | 9,555 | | | $ | 666,064 | |
Brazil CETIP Interbank Deposit | | | 7.78 | % | | | 01/02/14 | | | | HSBC | | | | BRL | | | | 12,000,000 | | | | 42,319 | | | | 20,011 | | | | 22,308 | |
Brazil CETIP Interbank Deposit | | | 11.94 | % | | | 01/02/14 | | | | HSBC | | | | BRL | | | | 9,100,000 | | | | 334,567 | | | | 26,430 | | | | 308,137 | |
Brazil CETIP Interbank Deposit | | | 10.53 | % | | | 01/02/14 | | | | HSBC | | | | BRL | | | | 5,000,000 | | | | 106,758 | | | | 4,024 | | | | 102,734 | |
Brazil CETIP Interbank Deposit | | | 11.99 | % | | | 01/02/14 | | | | BAR | | | | BRL | | | | 1,700,000 | | | | 69,635 | | | | 154 | | | | 69,481 | |
Brazil CETIP Interbank Deposit | | | 7.40 | % | | | 01/02/14 | | | | BAR | | | | BRL | | | | 800,000 | | | | 1,173 | | | | (83 | ) | | | 1,256 | |
Brazil CETIP Interbank Deposit | | | 8.83 | % | | | 01/02/15 | | | | HSBC | | | | BRL | | | | 9,000,000 | | | | 107,138 | | | | 15,128 | | | | 92,010 | |
Brazil CETIP Interbank Deposit | | | 9.93 | % | | | 01/02/15 | | | | UBS | | | | BRL | | | | 7,700,000 | | | | 177,439 | | | | 4,754 | | | | 172,685 | |
Brazil CETIP Interbank Deposit | | | 10.14 | % | | | 01/02/15 | | | | HSBC | | | | BRL | | | | 5,300,000 | | | | 133,535 | | | | 16,948 | | | | 116,587 | |
Brazil CETIP Interbank Deposit | | | 8.08 | % | | | 01/02/15 | | | | HSBC | | | | BRL | | | | 3,700,000 | | | | 15,288 | | | | 6,463 | | | | 8,825 | |
Brazil CETIP Interbank Deposit | | | 8.43 | % | | | 01/02/15 | | | | DEUT | | | | BRL | | | | 1,000,000 | | | | 7,881 | | | | 5,749 | | | | 2,132 | |
Brazil CETIP Interbank Deposit | | | 8.70 | % | | | 01/02/17 | | | | BOA | | | | BRL | | | | 1,650,000 | | | | 10,633 | | | | — | | | | 10,633 | |
Brazil CETIP Interbank Deposit | | | 8.49 | % | | | 01/02/17 | | | | BNP | | | | BRL | | | | 1,100,000 | | | | 3,755 | | | | — | | | | 3,755 | |
3-Month LIBOR | | | 0.75 | % | | | 02/28/17 | | | | JPM | | | | USD | | | | 44,200,000 | | | | 164,694 | | | | 261,552 | | | | (96,858 | ) |
3-Month LIBOR | | | (0.75 | )% | | | 02/28/17 | | | | DEUT | | | | USD | | | | 36,500,000 | | | | (136,003 | ) | | | (78,813 | ) | | | (57,190 | ) |
3-Month LIBOR | | | (0.75 | )% | | | 02/28/17 | | | | DEUT | | | | USD | | | | 7,700,000 | | | | (28,691 | ) | | | (20,121 | ) | | | (8,570 | ) |
6-Month EURIBOR | | | 2.00 | % | | | 03/21/17 | | | | CME | | | | EUR | | | | 5,500,000 | | | | 479,886 | | | | 63,941 | | | | 415,945 | |
3-Month LIBOR | | | (0.75 | )% | | | 05/31/17 | | | | JPM | | | | USD | | | | 42,000,000 | | | | 53,193 | | | | (47,703 | ) | | | 100,896 | |
6-Month BBR BBSW Index | | | 5.50 | % | | | 12/15/17 | | | | BAR | | | | AUD | | | | 2,200,000 | | | | 233,270 | | | | (7,374 | ) | | | 240,644 | |
6-Month BBR BBSW Index | | | 5.50 | % | | | 12/15/17 | | | | DEUT | | | | AUD | | | | 1,300,000 | | | | 137,841 | | | | (3,863 | ) | | | 141,704 | |
6-Month BBR BBSW Index | | | 3.75 | % | | | 03/15/18 | | | | CME | | | | AUD | | | | 9,000,000 | | | | 192,679 | | | | 18,129 | | | | 174,550 | |
6-Month BBR BBSW Index | | | 3.50 | % | | | 03/15/18 | | | | CME | | | | AUD | | | | 6,400,000 | | | | 61,073 | | | | 17,463 | | | | 43,610 | |
3-Month LIBOR | | | (1.00 | )% | | | 06/19/18 | | | | CITI | | | | USD | | | | 1,000,000 | | | | (345 | ) | | | (3,772 | ) | | | 3,427 | |
3-Month LIBOR | | | 2.56 | % | | | 10/20/20 | | | | DEUT | | | | USD | | | | 2,800,000 | | | | 248,907 | | | | — | | | | 248,907 | |
3-Month LIBOR | | | 1.75 | % | | | 12/19/22 | | | | CME | | | | USD | | | | 14,600,000 | | | | 56,170 | | | | 245,065 | | | | (188,895 | ) |
6-Month BBR BBSW Index | | | 3.75 | % | | | 03/15/23 | | | | CME | | | | AUD | | | | 3,800,000 | | | | (31,528 | ) | | | (24,740 | ) | | | (6,788 | ) |
6-Month BBR BBSW Index | | | 4.25 | % | | | 03/15/23 | | | | CME | | | | AUD | | | | 1,500,000 | | | | 52,308 | | | | 8,178 | | | | 44,130 | |
6-Month BBR BBSW Index | | | 4.00 | % | | | 03/15/23 | | | | GSC | | | | AUD | | | | 100,000 | | | | 1,329 | | | | — | | | | 1,329 | |
6-Month EURIBOR | | | 1.75 | % | | | 03/20/23 | | | | CME | | | | EUR | | | | 1,000,000 | | | | (15,859 | ) | | | 1,932 | | | | (17,791 | ) |
3-Month LIBOR | | | (2.00 | )% | | | 06/19/23 | | | | DEUT | | | | USD | | | | 5,500,000 | | | | (26,536 | ) | | | (103,809 | ) | | | 77,273 | |
3-Month LIBOR | | | (2.50 | )% | | | 06/19/33 | | | | CITI | | | | USD | | | | 2,800,000 | | | | 70,120 | | | | (21,971 | ) | | | 92,091 | |
3-Month LIBOR | | | (2.75 | )% | | | 06/19/43 | | | | DEUT | | | | USD | | | | 500,000 | | | | 7,856 | | | | (15,916 | ) | | | 23,772 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 262,050,000 | | | $ | 3,206,104 | | | $ | 397,311 | | | $ | 2,808,793 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Swap agreements outstanding at December 31, 2012 | | | | | | | $ | 329,282,000 | | | $ | 3,211,296 | | | $ | 831,542 | | | $ | 2,379,754 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 115 |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2012, 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 | | | $ | 10,439,130 | | | | $ | — | | | | $ | 10,439,130 | | | | $ | — | |
Asset-Backed Securities | | | | 24,299,936 | | | | | — | | | | | 22,517,853 | | | | | 1,782,083 | |
Corporate Bonds | | | | 182,650,475 | | | | | — | | | | | 179,804,411 | | | | | 2,846,064 | |
Foreign Bonds | | | | 138,154,513 | | | | | — | | | | | 137,996,818 | | | | | 157,695 | |
Money Market Funds | | | | 125,691,117 | | | | | 125,691,117 | | | | | — | | | | | — | |
Mortgage-Backed Securities | | | | 308,943,256 | | | | | — | | | | | 302,652,694 | | | | | 6,290,562 | |
Municipal Bonds | | | | 23,815,193 | | | | | — | | | | | 23,815,193 | | | | | — | |
Preferred Stocks | | | | 3,666,679 | | | | | 726,679 | | | | | — | | | | | 2,940,000 | |
Purchased Options | | | | 195,600 | | | | | 21,578 | | | | | 174,022 | | | | | — | |
Repurchase Agreements | | | | 67,200,000 | | | | | — | | | | | 67,200,000 | | | | | — | |
U.S. Treasury Obligations | | | | 166,395,340 | | | | | — | | | | | 166,395,340 | | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | | $ | 1,051,451,239 | | | | $ | 126,439,374 | | | | $ | 910,995,461 | | | | $ | 14,016,404 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | $ | 46,343 | | | | $ | 46,343 | | | | $ | — | | | | $ | — | |
Swap Agreements | | | | 3,211,296 | | | | | — | | | | | 3,211,296 | | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | | $ | 3,257,639 | | | | $ | 46,343 | | | | $ | 3,211,296 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | |
Investments in Securities: | | | | | | | | | | | | | | | | | | | | |
TBA Sale Commitments | | | $ | (10,568,750 | ) | | | $ | — | | | | $ | (10,568,750 | ) | | | $ | — | |
Written Options | | | | (567,726 | ) | | | | — | | | | | (567,726 | ) | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Liabilities - Investments in Securities | | | $ | (11,136,476 | ) | | | $ | — | | | | $ | (11,136,476 | ) | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | | $ | (1,545,809 | ) | | | $ | — | | | | $ | (1,545,809 | ) | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Liabilities - Other Financial Instruments | | | $ | (1,545,809 | ) | | | $ | — | | | | $ | (1,545,809 | ) | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
***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.
There were no transfers between Level 1 and Level 2 during the year ended December 31, 2012.
The unobservable inputs used in the fair value measurement of the reporting entity’s asset-backed securities, corporate bonds, foreign bonds, mortgage-backed securities and preferred stock are values based on evaluated quotations received from dealers who make markets in such securities. Significant increases (decreases) in those evaluated quotations would result in a significantly higher (lower) fair value measurement.
| | | | |
| 116 | | See Notes to Financial Statements. | | |
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Total
Value | | Asset-Backed
Securities | | Corporate
Bonds | | Foreign
Bonds | | Mortgage-Backed
Securities | | Preferred
Stock |
Balance, 12/31/11 | | | $ | 1,544,528 | | | | $ | 183,992 | �� | | | $ | 1,244,214 | | | | $ | 14 | | | | $ | 116,308 | | | | $ | — | |
Accrued discounts/premiums | | | | 1,952 | | | | | 2,353 | | | | | (1,579 | ) | | | | — | | | | | 1,178 | | | | | — | |
Realized gain (loss)(1) | | | | 3,754 | | | | | 2,422 | | | | | — | | | | | — | | | | | 1,332 | | | | | — | |
Change in unrealized
appreciation (depreciation)(2) | | | | 1,333 | | | | | 20,393 | | | | | 97,300 | | | | | — | | | | | (116,360 | ) | | | | — | |
Purchases | | | | 3,462,797 | | | | | 609,000 | | | | | 619,533 | | | | | — | | | | | 2,234,264 | | | | | — | |
Sales | | | | (285,316 | ) | | | | (187,901 | ) | | | | (97,415 | ) | | | | — | | | | | — | | | | | — | |
Transfers in to Level 3 (3) | | | | 9,305,423 | | | | | 1,151,824 | | | | | 984,011 | | | | | 157,681 | | | | | 4,071,907 | | | | | 2,940,000 | |
Transfers out of Level 3 | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
Maturities | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
Paydowns | | | | (18,067 | ) | | | | — | | | | | — | | | | | — | | | | | (18,067 | ) | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance, 12/31/12 | | | $ | 14,016,404 | | | | $ | 1,782,083 | | | | $ | 2,846,064 | | | | $ | 157,695 | | | | $ | 6,290,562 | | | | $ | 2,940,000 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (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. |
| (2) | Change in unrealized appreciation (depreciation) can be found on the Statement of Operations in Net change in unrealized appreciation (depreciation) on investment securities. |
| (3) | Transfers into Level 3 represent the value of securities at December 31, 2012 that were transferred from Level 1 and Level 2 to Level 3 of the fair value hierarchy as a result of the inability of the Fund to obtain a price which was determined using observable inputs. |
| | | | |
| | See Notes to Financial Statements. | | 117 |
Extended-Duration Bond Fund
Throughout most of 2012, macroeconomic and geopolitical events seemed to dominate the headlines, causing vast changes in investor sentiment and volatility in the capital markets. During the year, the capital markets were absorbing a great deal of information related to the European financial crisis, domestic economic growth, the resolution to the U.S. “fiscal cliff ” and the U.S. Presidential election. Underneath these clouds of uncertainty, the capital markets quietly shrugged off these issues and posted positive annual returns that were higher than many pundits thought at the beginning of the year. During the year, riskier asset classes such as equities, high yield bonds and emerging markets debt dominated as investors were willing to take on more risk in the low interest rate environment. This behavior was somewhat explained by improving corporate fundamentals and the fact that monetary/fiscal policies implemented around the globe had greatly reduced the probability of a “left-tail event” (or a severe global recession). The broad domestic bond market, as measured by the Barclays Capital U.S. Aggregate Bond Index, posted an annual return of 4.22%. In comparison, the S&P 500® Index, a broad performance measure of U.S. stocks, was up 16.00% for the year.
Despite the macroeconomic headwinds and an increase in investors’ risk appetite, all major bond market sectors posted positive returns for the year, led by riskier sectors. Throughout the year, U.S. Treasury yields remained at historically low levels across the yield curve. Short-term rates remained low in response to the Federal Reserve’s implementation of a near zero federal funds rate for the foreseeable future and the implementation of non-traditional strategies such as Operation Twist and the third round of quantitative easing (QE3). Market forces, lack of inflationary pressures and Federal Reserve policies kept mid- and longer-dated U.S. Treasury yields relatively unchanged during the year. The U.S. Treasury sector was one of the worst performing bond sectors during the year as it was negatively impacted by the “risk on” and low yield environment. As a sector, U.S. Treasuries posted an annual return of 1.99%, with longer-dated U.S. Treasuries posting a slightly higher annual return of 3.78%. Shorter-term U.S. Treasuries, as measured by the Bank of America Merrill Lynch 1-3 Year Treasury Index, generated a one-year return of 0.43%. The year ended with Treasury yields at remarkably low levels with the yield on the 10-year U.S. Treasury bond at 1.76% and the 30-year U.S. Treasury bond at 2.95%.
With investors willing to take on more risk for the potential of higher return, non-U.S. Treasury bonds (bonds that trade at a risk premium or “spread” to U.S. Treasuries) outpaced U.S. Treasury securities during 2012. Generally, lower quality bonds outpaced higher quality bonds while longer maturity bonds typically outperformed shorter maturity bonds. Within the longer maturity space, long-term credit bonds posted an annual return of 12.79%, as measured by the Barclays Capital U.S. Long-Term Credit Index, compared to long-term government bonds which generated an annual return of 3.78%, as measured by the Barclays Capital U.S. Long-Term Government Index, for the one-year period ended December 31, 2012. Non-U.S. Treasury bond sector returns varied by risk. The Barclays Capital U.S. Aggregate - Investment Grade (defined by credit quality of BBB- or higher) produced an annual return of 9.82%. Corporate bonds benefited from improving underlying corporate fundamentals, strong balance sheets and high investor demand. Within the corporate bond sector, the Barclays Capital U.S. Aggregate - Investment Grade Financial Index led with an annual return of 14.65%. The Barclays Capital U.S. High Yield - Corporate Index (defined by below investment grade corporate bonds) generated an annual return of 15.81%, benefiting from strong corporate fundamentals and a historically low default rate environment. Emerging markets debt was another top performer, as the JP Morgan EMBI+ Index generated an annual return of 18.04%, which outpaced U.S. stocks for the year.
The Fund invested in a diversified portfolio composed primarily of investment grade fixed income securities with an average dollar-weighted duration (a measure of bond prices’ sensitivity to changes in interest rates) normally greater than or equal to seven years. The GS4 Class of the Fund outperformed its composite benchmark index, 50% Barclays Capital U.S. Long-Term Government Index and 50% Barclays Capital U.S. Long-Term Credit Index, for the one-year period ended December 31, 2012 (15.06% versus 8.28%). The Fund’s benchmark-relative performance was positively impacted by the Fund’s significant underweight to the U.S. Treasury sector. Throughout the year, the Fund underweighted lower yielding U.S. Treasury securities in favor of higher yielding corporate bonds, non-U.S. bonds and high yield bonds. These sectors, which traded at a yield premium to U.S. Treasuries, benefitted as spreads compressed, or decreased, during the year. A by-product of underweighting U.S. Treasuries was the Fund’s higher than benchmark yield, which provided incremental interest income. During the year, the Fund remained focused on its objective of seeking maximum total return consistent with preservation of capital.
This Fund may be suitable for investors who are seeking higher returns without investing in stocks, can accept short-term fluctuations in account value and want to diversify their portfolio with a fixed income investment option. This Fund is subject to interest rate risk. Meaning, when interest rates rise, the value of the existing bonds decrease and vice versa. Changes in interest rates have a bigger impact on long duration holdings than on short duration holdings. To the extent that the investment adviser misjudges current market conditions, the Fund’s volatility may be amplified by its use of short sales and derivatives and by its ability to select sub-advisers to allocate assets. Short sales by a fund theoretically involve unlimited loss potential since the
118
Extended-Duration Bond Fund
market price of securities sold short may continuously increase. Leverage may increase the risk of loss and cause fluctuations in the market value of the Fund’s portfolio to have disproportionately large effects or cause the net asset value of the Fund generally to decline faster than it would otherwise.
Please see page 125 for information regarding specific portfolio allocations. Portfolio holdings are subject to change and risk at any time.
119
Extended-Duration Bond Fund
| | | | | | |
| Average Annual Total Returns as of 12/31/12 |
| | GS2 Class* | | GS4 Class* | | Benchmark** |
One Year | | 15.41% | | 15.06% | | 8.28% |
Five Year | | 11.06% | | 10.83% | | 10.20% |
Ten Year | | 9.37% | | 9.18% | | 8.04% |
Inception Date | | 08/27/01 | | 08/27/01 | | |
Total Fund Operating Expenses (April 28, 2012 Prospectus, as amended on November 30, 2012)(1) | | 0.55% | | 0.78% | | |
(1) Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph compares the results of a hypothetical $10,000 investment in the GS4 Class of the Fund for the 10 year period from December 31, 2002 to December 31, 2012, with all dividends and capital gains reinvested, with the weighted composite benchmark index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
**Represents a weighted composite benchmark index consisting of 50% Barclays Capital U.S. Long-Term Government Bond Index and 50% Barclays Capital U.S. Long-Term Credit Bond Index.
The Barclays Capital U.S. Long-Term Government Bond Index is composed of all bonds covered by the Barclays Capital U.S. Government Bond Index with maturities of 10 years or greater.
The Barclays Capital U.S. Long-Term Credit Bond Index is composed of a subset of the Barclays Capital U.S. Credit Bond Index covering all corporate, publicly issued, fixed-rate, nonconvertible U.S. debt issues rated at least Baa with at least $50 million principal outstanding and maturity greater than 10 years.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
120
| | |
EXTENDED-DURATION BOND FUND SCHEDULE OF INVESTMENTS | | December 31, 2012 |
| | | | | | | | | | |
| | | Par | | | Value | |
ASSET-BACKED SECURITY — 1.2% | |
Citibank Credit Card
Issuance Trust | | | | | | | | | | |
6.15%, 06/15/39
(Cost $5,880,428) | | $ | 4,300,000 | | | | | $ | 5,707,321 | |
| | | | | | | | | | |
|
CORPORATE BONDS — 59.4% | |
AbbVie, Inc. | | | | | | | | | | |
4.40%, 11/06/42 144A | | | 642,000 | | | | | | 685,433 | |
Aflac, Inc. | | | | | | | | | | |
6.90%, 12/17/39 | | | 2,669,000 | | | | | | 3,561,604 | |
6.45%, 08/15/40D | | | 5,705,000 | | | | | | 7,241,008 | |
Alcatel-Lucent USA, Inc. | | | | | | | | | | |
6.45%, 03/15/29 | | | 105,000 | | | | | | 80,325 | |
Alcoa, Inc. | | | | | | | | | | |
5.87%, 02/23/22D | | | 10,000 | | | | | | 10,806 | |
6.75%, 01/15/28 | | | 235,000 | | | | | | 254,748 | |
5.95%, 02/01/37D | | | 5,326,000 | | | | | | 5,160,942 | |
Ally Financial, Inc. | | | | | | | | | | |
8.00%, 11/01/31D | | | 177,000 | | | | | | 225,011 | |
Alta Wind Holdings LLC | | | | | | | | | | |
7.00%, 06/30/35 144A | | | 533,801 | | | | | | 576,100 | |
American Express Co. | | | | | | | | | | |
4.05%, 12/03/42 144A | | | 5,065,000 | | | | | | 5,109,790 | |
American International
Group, Inc. | | | | | | | | | | |
5.45%, 05/18/17 | | | 30,000 | | | | | | 34,524 | |
Andarko Holding Co. | | | | | | | | | | |
7.15%, 05/15/28 | | | 250,000 | | | | | | 302,650 | |
AT&T, Inc. | | | | | | | | | | |
4.30%, 12/15/42 144A | | | 1,355,000 | | | | | | 1,366,626 | |
6.50%, 09/01/37 | | | 9,387,000 | | | | | | 12,319,471 | |
Bank of America Corporation | | | | | | | | | | |
5.49%, 03/15/19 | | | 300,000 | | | | | | 333,687 | |
5.00%, 05/13/21 | | | 140,000 | | | | | | 160,109 | |
5.88%, 02/07/42 | | | 1,116,000 | | | | | | 1,397,697 | |
Bank of America NA | | | | | | | | | | |
6.00%, 10/15/36 | | | 8,152,000 | | | | | | 10,022,786 | |
Barrick North America
Finance LLC | | | | | | | | | | |
5.70%, 05/30/41 | | | 3,634,000 | | | | | | 4,182,203 | |
Bruce Mansfield Unit | | | | | | | | | | |
6.85%, 06/01/34 | | | 1,160,872 | | | | | | 1,214,563 | |
Burlington Northern Santa
Fe LLC | | | | | | | | | | |
4.38%, 09/01/42D | | | 1,262,000 | | | | | | 1,331,970 | |
California Institute of
Technology | | | | | | | | | | |
4.70%, 11/01/11 | | | 4,030,000 | | | | | | 4,379,079 | |
Camden Property Trust | | | | | | | | | | |
5.70%, 05/15/17D | | | 25,000 | | | | | | 28,802 | |
CenturyLink, Inc. | | | | | | | | | | |
6.45%, 06/15/21D | | | 260,000 | | | | | | 287,773 | |
6.88%, 01/15/28D | | | 65,000 | | | | | | 67,321 | |
7.60%, 09/15/39 | | | 755,000 | | | | | | 785,974 | |
7.65%, 03/15/42D | | | 295,000 | | | | | | 309,230 | |
Chesapeake Energy
Corporation | | | | | | | | | | |
6.63%, 08/15/20D | | | 10,000 | | | | | | 10,775 | |
6.88%, 11/15/20 | | | 15,000 | | | | | | 16,331 | |
2.75%, 11/15/35 CONV | | | 75,000 | | | | | | 72,094 | |
2.50%, 05/15/37 CONVD | | | 200,000 | | | | | | 181,000 | |
2.25%, 12/15/38 CONVD | | | 50,000 | | | | | | 40,625 | |
| | | | | | | | | | |
| | | Par | | | Value | |
Ciena Corporation | | | | | | | | | | |
3.75%, 10/15/18 CONV 144A | | $ | 155,000 | | | | | $ | 175,247 | |
Citigroup, Inc. | | | | | | | | | | |
6.88%, 06/01/25 | | | 400,000 | | | | | | 512,939 | |
5.88%, 05/29/37 | | | 1,141,000 | | | | | | 1,377,849 | |
8.13%, 07/15/39 | | | 6,084,000 | | | | | | 9,139,202 | |
Comcast Corporation | | | | | | | | | | |
5.65%, 06/15/35D | | | 660,000 | | | | | | 777,011 | |
6.50%, 11/15/35 | | | 555,000 | | | | | | 714,440 | |
6.45%, 03/15/37 | | | 2,415,000 | | | | | | 3,109,469 | |
6.95%, 08/15/37 | | | 625,000 | | | | | | 850,414 | |
Continental Airlines, Inc. | | | | | | | | | | |
9.00%, 07/08/16 | | | 1,714,875 | | | | | | 1,984,968 | |
8.31%, 10/02/19 | | | 138,625 | | | | | | 147,636 | |
7.57%, 09/15/21 | | | 107,964 | | | | | | 112,282 | |
Corning, Inc. | | | | | | | | | | |
7.25%, 08/15/36D | | | 850,000 | | | | | | 1,084,894 | |
Cummins, Inc. | | | | | | | | | | |
6.75%, 02/15/27 | | | 1,000,000 | | | | | | 1,245,220 | |
5.65%, 03/01/98D | | | 2,520,000 | | | | | | 2,630,880 | |
Darden Restaurants, Inc. | | | | | | | | | | |
6.00%, 08/15/35 | | | 990,000 | | | | | | 1,094,683 | |
DCP Midstream LLP | | | | | | | | | | |
6.45%, 11/03/36 144AD | | | 490,000 | | | | | | 562,149 | |
Dillard’s, Inc. | | | | | | | | | | |
7.75%, 07/15/26D | | | 890,000 | | | | | | 941,175 | |
7.00%, 12/01/28D | | | 500,000 | | | | | | 506,250 | |
Dow Chemical Co. | | | | | | | | | | |
9.40%, 05/15/39 | | | 920,000 | | | | | | 1,519,638 | |
Duke Realty LP | | | | | | | | | | |
5.95%, 02/15/17 | | | 70,000 | | | | | | 80,094 | |
Florida Power & Light Co. | | | | | | | | | | |
4.05%, 06/01/42 | | | 2,940,000 | | | | | | 3,075,290 | |
Foot Locker, Inc. | | | | | | | | | | |
8.50%, 01/15/22 | | | 1,000,000 | | | | | | 1,117,500 | |
Ford Motor Co. | | | | | | | | | | |
4.25%, 11/15/16 CONV | | | 175,000 | | | | | | 278,250 | |
6.63%, 10/01/28 | | | 680,000 | | | | | | 788,705 | |
6.38%, 02/01/29 | | | 1,255,000 | | | | | | 1,409,750 | |
General Electric Capital
Corporation | | | | | | | | | | |
4.88%, 03/04/15 | | | 510,000 | | | | | | 552,576 | |
6.75%, 03/15/32 | | | 3,000,000 | | | | | | 3,907,731 | |
6.15%, 08/07/37 | | | 6,114,000 | | | | | | 7,627,319 | |
5.88%, 01/14/38 | | | 150,000 | | | | | | 181,579 | |
Goldman Sachs Group, Inc. | | | | | | | | | | |
5.38%, 03/15/20 | | | 415,000 | | | | | | 476,324 | |
6.75%, 10/01/37 | | | 500,000 | | | | | | 568,469 | |
Halliburton Co. | | | | | | | | | | |
7.45%, 09/15/39 | | | 870,000 | | | | | | 1,328,975 | |
4.50%, 11/15/41D | | | 1,150,000 | | | | | | 1,289,187 | |
HCA, Inc. | | | | | | | | | | |
7.58%, 09/15/25 | | | 1,000,000 | | | | | | 1,017,500 | |
7.05%, 12/01/27 | | | 500,000 | | | | | | 483,750 | |
Hewlett-Packard Co. | | | | | | | | | | |
6.00%, 09/15/41D | | | 5,310,000 | | | | | | 5,274,195 | |
Home Depot, Inc. | | | | | | | | | | |
5.88%, 12/16/36D | | | 875,000 | | | | | | 1,154,044 | |
HSBC Bank USA NA | | | | | | | | | | |
7.00%, 01/15/39D | | | 5,948,000 | | | | | | 8,068,861 | |
Intel Corporation | | | | | | | | | | |
3.25%, 08/01/39 CONV | | | 1,155,000 | | | | | | 1,359,291 | |
| | | | |
| | See Notes to Financial Statements. | | 121 |
| | | | | | | | | | |
| | | Par | | | Value | |
International Lease Finance
Corporation | | | | | | | | | | |
5.65%, 06/01/14 | | $ | 105,000 | | | | | $ | 109,790 | |
5.88%, 08/15/22D | | | 5,000 | | | | | | 5,306 | |
International Paper Co. | | | | | | | | | | |
8.70%, 06/15/38 | | | 2,643,000 | | | | | | 3,940,628 | |
iStar Financial, Inc. | | | | | | | | | | |
8.63%, 06/01/13D | | | 175,000 | | | | | | 180,031 | |
5.95%, 10/15/13 | | | 305,000 | | | | | | 313,006 | |
5.70%, 03/01/14D | | | 1,171,000 | | | | | | 1,203,202 | |
3.00%, 11/15/16 CONV | | | 100,000 | | | | | | 102,375 | |
7.13%, 02/15/18 | | | 180,000 | | | | | | 184,275 | |
JC Penney Corporation, Inc. | | | | | | | | | | |
6.38%, 10/15/36D | | | 414,000 | | | | | | 312,570 | |
7.40%, 04/01/37 | | | 10,000 | | | | | | 8,400 | |
Jefferies Group, Inc. | | | | | | | | | | |
5.13%, 04/13/18 | | | 80,000 | | | | | | 84,400 | |
6.88%, 04/15/21 | | | 365,000 | | | | | | 410,625 | |
6.45%, 06/08/27 | | | 50,000 | | | | | | 53,500 | |
3.88%, 11/01/29 CONV | | | 65,000 | | | | | | 64,716 | |
6.25%, 01/15/36 | | | 185,000 | | | | | | 192,400 | |
JPMorgan Chase & Co. | | | | | | | | | | |
5.60%, 07/15/41 | | | 8,127,000 | | | | | | 10,104,258 | |
Kinder Morgan Energy
Partners LP | | | | | | | | | | |
5.80%, 03/15/35 | | | 280,000 | | | | | | 320,084 | |
Kraft Foods Group, Inc. | | | | | | | | | | |
6.88%, 01/26/39 144AD | | | 4,568,000 | | | | | | 6,171,674 | |
6.50%, 02/09/40 144AD | | | 3,013,000 | | | | | | 3,974,536 | |
Lennar Corporation | | | | | | | | | | |
6.50%, 04/15/16 | | | 625,000 | | | | | | 695,313 | |
Liberty Mutual Group, Inc. | | | | | | | | | | |
6.50%, 03/15/35 144AD | | | 1,400,000 | | | | | | 1,539,163 | |
Macy’s Retail Holdings, Inc. | | | | | | | | | | |
6.38%, 03/15/37 | | | 240,000 | | | | | | 289,873 | |
Masco Corporation | | | | | | | | | | |
7.75%, 08/01/29 | | | 275,000 | | | | | | 306,594 | |
6.50%, 08/15/32 | | | 55,000 | | | | | | 57,050 | |
Massachusetts Institute of
Technology | | | | | | | | | | |
5.60%, 07/01/11 | | | 1,927,000 | | | | | | 2,813,850 | |
Mead Corporation | | | | | | | | | | |
7.55%, 03/01/47D | | | 515,000 | | | | | | 584,938 | |
Merrill Lynch & Co., Inc. | | | | | | | | | | |
6.05%, 05/16/16 | | | 200,000 | | | | | | 220,340 | |
6.11%, 01/29/37D | | | 900,000 | | | | | | 985,603 | |
MetLife, Inc. | | | | | | | | | | |
5.88%, 02/06/41D | | | 6,373,000 | | | | | | 8,100,249 | |
6.40%, 12/15/66 | | | 310,000 | | | | | | 333,010 | |
Micron Technology, Inc. | | | | | | | | | | |
1.88%, 06/01/14 CONV | | | 20,000 | | | | | | 19,925 | |
Morgan Stanley | | | | | | | | | | |
0.77%, 10/18/16† | | | 100,000 | | | | | | 95,152 | |
6.63%, 04/01/18 | | | 70,000 | | | | | | 82,593 | |
5.63%, 09/23/19 | | | 295,000 | | | | | | 334,112 | |
5.50%, 01/26/20 | | | 100,000 | | | | | | 112,345 | |
5.50%, 07/24/20 | | | 300,000 | | | | | | 338,032 | |
5.75%, 01/25/21 | | | 300,000 | | | | | | 343,173 | |
6.25%, 08/09/26 | | | 600,000 | | | | | | 705,843 | |
Motorola Solutions, Inc. | | | | | | | | | | |
6.63%, 11/15/37 | | | 46,000 | | | | | | 52,971 | |
Mutual of Omaha Insurance Co. | | | | | | | | | | |
6.80%, 06/15/36 144A | | | 100,000 | | | | | | 117,762 | |
| | | | | | | | | | |
| | | Par | | | Value | |
Nationwide Mutual
Insurance Co. | | | | | | | | | | |
6.60%, 04/15/34 144A | | $ | 150,000 | | | | | $ | 151,126 | |
New Albertsons, Inc. | | | | | | | | | | |
7.45%, 08/01/29 | | | 55,000 | | | | | | 31,075 | |
8.70%, 05/01/30 | | | 25,000 | | | | | | 14,625 | |
8.00%, 05/01/31 | | | 295,000 | | | | | | 167,412 | |
Old Republic International
Corporation | | | | | | | | | | |
3.75%, 03/15/18 CONVD | | | 2,255,000 | | | | | | 2,357,884 | |
Owens Corning | | | | | | | | | | |
6.50%, 12/01/16D | | | 49,000 | | | | | | 55,108 | |
7.00%, 12/01/36 | | | 3,940,000 | | | | | | 4,372,726 | |
Penn Mutual Life Insurance Co. | | | | | | | | | | |
7.63%, 06/15/40 144A | | | 1,750,000 | | | | | | 2,220,659 | |
Prologis LP | | | | | | | | | | |
5.63%, 11/15/15 | | | 35,000 | | | | | | 38,645 | |
Prudential Financial, Inc. | | | | | | | | | | |
6.63%, 06/21/40D | | | 5,412,000 | | | | | | 6,823,644 | |
5.63%, 05/12/41 | | | 987,000 | | | | | | 1,129,329 | |
PulteGroup, Inc. | | | | | | | | | | |
7.88%, 06/15/32 | | | 1,500,000 | | | | | | 1,638,750 | |
6.38%, 05/15/33 | | | 1,000,000 | | | | | | 1,002,500 | |
Qwest Corporation | | | | | | | | | | |
7.25%, 09/15/25D | | | 1,000,000 | | | | | | 1,161,216 | |
6.88%, 09/15/33 | | | 2,250,000 | | | | | | 2,272,500 | |
RR Donnelley & Sons Co. | | | | | | | | | | |
8.25%, 03/15/19D | | | 250,000 | | | | | | 253,750 | |
SandRidge Energy, Inc. | | | | | | | | | | |
7.50%, 02/15/23D | | | 350,000 | | | | | | 376,250 | |
Sempra Energy | | | | | | | | | | |
6.00%, 10/15/39D | | | 2,491,000 | | | | | | 3,160,959 | |
SLM Corporation | | | | | | | | | | |
5.00%, 10/01/13 | | | 250,000 | | | | | | 257,188 | |
5.38%, 05/15/14 | | | 200,000 | | | | | | 209,853 | |
5.00%, 06/15/18 | | | 1,035,000 | | | | | | 1,044,104 | |
5.63%, 08/01/33 | | | 1,460,000 | | | | | | 1,354,150 | |
Southern Natural Gas Co. LLC | | | | | | | | | | |
7.35%, 02/15/31 | | | 1,750,000 | | | | | | 2,339,615 | |
Sprint Capital Corporation | | | | | | | | | | |
6.90%, 05/01/19 | | | 55,000 | | | | | | 60,225 | |
6.88%, 11/15/28D | | | 2,350,000 | | | | | | 2,455,750 | |
8.75%, 03/15/32 | | | 20,000 | | | | | | 24,550 | |
Target Corporation | | | | | | | | | | |
7.00%, 01/15/38 | | | 2,330,000 | | | | | | 3,434,369 | |
Tennessee Gas Pipeline
Co. LLC | | | | | | | | | | |
7.00%, 10/15/28 | | | 750,000 | | | | | | 1,028,597 | |
Textron, Inc. | | | | | | | | | | |
6.63%, 04/07/20(U) | | | 160,000 | | | | | | 299,823 | |
Time Warner Cable, Inc. | | | | | | | | | | |
6.55%, 05/01/37 | | | 1,049,000 | | | | | | 1,302,174 | |
6.75%, 06/15/39D | | | 2,995,000 | | | | | | 3,811,922 | |
5.88%, 11/15/40 | | | 1,700,000 | | | | | | 1,988,119 | |
Time Warner
Entertainment Co. LP | | | | | | | | | | |
8.38%, 07/15/33 | | | 1,049,000 | | | | | | 1,535,430 | |
Toro Co. | | | | | | | | | | |
6.63%, 05/01/37@D | | | 300,000 | | | | | | 315,913 | |
Travelers Cos., Inc. | | | | | | | | | | |
6.25%, 06/15/37 | | | 4,825,000 | | | | | | 6,555,636 | |
United Technologies
Corporation | | | | | | | | | | |
4.50%, 06/01/42 | | | 2,927,000 | | | | | | 3,266,181 | |
| | | | |
| 122 | | See Notes to Financial Statements. | | |
EXTENDED-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | |
| | | Par | | | Value | |
UnitedHealth Group, Inc. | | | | | | | | | | |
3.95%, 10/15/42 | | $ | 181,000 | | | | | $ | 181,024 | |
5.80%, 03/15/36D | | | 920,000 | | | | | | 1,113,751 | |
6.50%, 06/15/37D | | | 767,000 | | | | | | 1,013,837 | |
6.63%, 11/15/37 | | | 2,526,000 | | | | | | 3,352,260 | |
5.70%, 10/15/40 | | | 1,210,000 | | | | | | 1,472,050 | |
University of Pennsylvania | | | | | | | | | | |
4.67%, 09/01/12 | | | 3,370,000 | | | | | | 3,783,799 | |
University of Southern
California | | | | | | | | | | |
5.25%, 10/01/11 | | | 3,014,000 | | | | | | 3,885,145 | |
US Airways 2012-2 Class A
Pass Through Trust | | | | | | | | | | |
5.90%, 10/01/24D | | | 460,000 | | | | | | 501,400 | |
4.63%, 06/03/25 | | | 305,000 | | | | | | 312,434 | |
Valeant Pharmaceuticals
International | | | | | | | | | | |
6.38%, 10/15/20 144AD | | | 100,000 | | | | | | 107,500 | |
Verizon Communications, Inc. | | | | | | | | | | |
5.85%, 09/15/35 | | | 2,420,000 | | | | | | 3,050,388 | |
6.40%, 02/15/38 | | | 968,000 | | | | | | 1,315,221 | |
6.90%, 04/15/38 | | | 1,000,000 | | | | | | 1,428,201 | |
7.35%, 04/01/39 | | | 979,000 | | | | | | 1,456,382 | |
6.00%, 04/01/41 | | | 2,770,000 | | | | | | 3,629,257 | |
Verizon Maryland, Inc. | | | | | | | | | | |
5.13%, 06/15/33D | | | 150,000 | | | | | | 157,324 | |
VPI Escrow Corporation | | | | | | | | | | |
6.38%, 10/15/20 144A | | | 390,000 | | | | | | 420,225 | |
Wachovia Bank NA | | | | | | | | | | |
5.85%, 02/01/37 | | | 4,577,000 | | | | | | 5,698,713 | |
6.60%, 01/15/38 | | | 2,257,000 | | | | | | 3,108,927 | |
WellPoint, Inc. | | | | | | | | | | |
5.95%, 12/15/34D | | | 846,000 | | | | | | 1,013,416 | |
6.38%, 06/15/37 | | | 2,766,000 | | | | | | 3,468,423 | |
Western Union Co. | | | | | | | | | | |
6.20%, 11/17/36D | | | 3,000,000 | | | | | | 3,045,153 | |
6.20%, 06/21/40D | | | 20,000 | | | | | | 20,402 | |
Weyerhaeuser Co. | | | | | | | | | | |
8.50%, 01/15/25 | | | 520,000 | | | | | | 693,120 | |
6.88%, 12/15/33 | | | 580,000 | | | | | | 694,809 | |
Wyndham Worldwide
Corporation | | | | | | | | | | |
5.75%, 02/01/18 | | | 50,000 | | | | | | 55,953 | |
| | | | | | | | | | |
Total Corporate Bonds
(Cost $233,278,288) | | | | | | | | | 279,631,331 | |
| | | | | | | | | | |
|
FOREIGN BONDS — 21.1% | |
Australia — 1.7% | |
Barrick PD Australia
Finance Pty, Ltd. | | | | | | | | | | |
5.95%, 10/15/39 | | | 2,870,000 | | | | | | 3,326,514 | |
New South Wales Treasury
Corporation | | | | | | | | | | |
6.00%, 02/01/18(A) | | | 730,000 | | | | | | 847,590 | |
Qantas Airways, Ltd. | | | | | | | | | | |
6.05%, 04/15/16 144A | | | 345,000 | | | | | | 365,869 | |
Queensland Treasury
Corporation | | | | | | | | | | |
5.75%, 11/21/14(A) | | | 60,000 | | | | | | 65,505 | |
Rio Tinto Finance USA, Ltd. | | | | | | | | | | |
5.20%, 11/02/40 | | | 2,946,000 | | | | | | 3,475,850 | |
| | | | | | | | | | |
| | | | | | | | | 8,081,328 | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | Par | | | Value | |
Brazil — 0.3% | |
Brazilian Government
International Bond | | | | | | | | | | |
10.25%, 01/10/28(B) | | $ | 2,525,000 | | | | | $ | 1,630,922 | |
| | | | | | | | | | |
Canada — 5.8% | |
Canada Generic Residual
STRIP | | | | | | | | | | |
2.11%, 06/01/25(C)W† | | | 3,685,000 | | | | | | 2,873,611 | |
Methanex Corporation | | | | | | | | | | |
6.00%, 08/15/15 | | | 25,000 | | | | | | 27,034 | |
5.25%, 03/01/22 | | | 100,000 | | | | | | 111,116 | |
Ontario Generic Residual
STRIP | | | | | | | | | | |
3.01%, 07/13/22(C)W† | | | 3,025,000 | | | | | | 2,246,717 | |
3.59%, 03/08/29(C)W† | | | 7,000,000 | | | | | | 4,113,090 | |
Saskatchewan Residual STRIP | | | | | | | | | | |
2.52%, 04/10/14(C)W† | | | 3,535,000 | | | | | | 3,513,775 | |
2.70%, 02/04/22(C)W† | | | 3,000,000 | | | | | | 2,357,435 | |
Talisman Energy, Inc. | | | | | | | | | | |
6.25%, 02/01/38 | | | 450,000 | | | | | | 540,893 | |
TransCanada PipeLines, Ltd. | | | | | | | | | | |
6.20%, 10/15/37 | | | 3,541,000 | | | | | | 4,691,747 | |
7.63%, 01/15/39 | | | 2,000,000 | | | | | | 3,019,156 | |
Xstrata Finance Canada, Ltd. | | | | | | | | | | |
6.00%, 11/15/41 144A | | | 3,511,000 | | | | | | 3,817,591 | |
| | | | | | | | | | |
| | | | | | | | | 27,312,165 | |
| | | | | | | | | | |
|
Cayman Islands — 0.1% | |
Enersis SA | | | | | | | | | | |
7.40%, 12/01/16 | | | 625,000 | | | | | | 739,087 | |
| | | | | | | | | | |
Ireland — 1.3% | |
Ireland Government Bond | | | | | | | | | | |
4.50%, 10/18/18(E)D | | | 1,150,000 | | | | | | 1,586,794 | |
5.00%, 10/18/20(E) | | | 75,000 | | | | | | 102,166 | |
5.40%, 03/13/25(E) | | | 1,300,000 | | | | | | 1,758,432 | |
XL Group PLC | | | | | | | | | | |
6.38%, 11/15/24D | | | 585,000 | | | | | | 704,682 | |
6.25%, 05/15/27D | | | 1,530,000 | | | | | | 1,821,548 | |
| | | | | | | | | | |
| | | | | | | | | 5,973,622 | |
| | | | | | | | | | |
|
Italy — 0.4% | |
Italy Buoni Poliennali
Del Tesoro | | | | | | | | | | |
5.25%, 11/01/29(E) | | | 25,000 | | | | | | 34,144 | |
5.75%, 02/01/33(E) | | | 25,000 | | | | | | 35,995 | |
5.00%, 08/01/34(E) | | | 25,000 | | | | | | 33,061 | |
Telecom Italia Capital SA | | | | | | | | | | |
6.38%, 11/15/33 | | | 755,000 | | | | | | 764,437 | |
6.00%, 09/30/34 | | | 1,010,000 | | | | | | 992,325 | |
| | | | | | | | | | |
| | | | | | | | | 1,859,962 | |
| | | | | | | | | | |
|
Luxembourg — 0.9% | |
ArcelorMittal | | | | | | | | | | |
6.13%, 06/01/18D | | | 435,000 | | | | | | 441,376 | |
6.00%, 03/01/21D | | | 45,000 | | | | | | 44,943 | |
7.50%, 10/15/39D | | | 430,000 | | | | | | 405,320 | |
7.25%, 03/01/41D | | | 975,000 | | | | | | 906,895 | |
Enel Finance International NV | | | | | | | | | | |
6.80%, 09/15/37 144A | | | 100,000 | | | | | | 104,768 | |
6.00%, 10/07/39 144A | | | 2,210,000 | | | | | | 2,147,035 | |
| | | | | | | | | | |
| | | | | | | | | 4,050,337 | |
| | | | | | | | | | |
|
Malaysia — 0.1% | |
Telekom Malaysia Bhd | | | | | | | | | | |
7.88%, 08/01/25 144A | | | 225,000 | | | | | | 325,388 | |
| | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 123 |
| | | | | | | | | | |
| | | Par | | | Value | |
Mexico — 0.7% | |
America Movil SAB de CV | | | | | | | | | | |
6.45%, 12/05/22(M) | | $ | 2,600,000 | | | | | $ | 207,467 | |
Mexican Bonos | | | | | | | | | | |
8.00%, 12/07/23(M) | | | 31,800,000 | | | | | | 2,980,746 | |
| | | | | | | | | | |
| | | | | | | | | 3,188,213 | |
| | | | | | | | | | |
|
Netherlands — 3.1% | |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | | | | | | | | | | |
5.25%, 05/24/41D | | | 1,023,000 | | | | | | 1,206,005 | |
Deutsche Telekom International Finance BV | | | | | | | | | | |
4.88%, 03/06/42 144A | | | 3,800,000 | | | | | | 4,072,658 | |
EDP Finance BV | | | | | | | | | | |
4.75%, 09/26/16(E)D | | | 300,000 | | | | | | 410,467 | |
6.00%, 02/02/18 144A | | | 800,000 | | | | | | 842,790 | |
4.90%, 10/01/19 144A | | | 1,000,000 | | | | | | 996,735 | |
Koninklijke Philips Electronics NV | | | | | | | | | | |
6.88%, 03/11/38 | | | 3,250,000 | | | | | | 4,412,522 | |
5.00%, 03/15/42D | | | 2,500,000 | | | | | | 2,867,320 | |
| | | | | | | | | | |
| | | | | | | | | 14,808,497 | |
| | | | | | | | | | |
|
Norway — 1.1% | |
Norway Government Bond | | | | | | | | | | |
5.00%, 05/15/15(K) | | | 540,000 | | | | | | 105,149 | |
4.25%, 05/19/17(K) | | | 11,940,000 | | | | | | 2,398,482 | |
Statoil ASA | | | | | | | | | | |
4.25%, 11/23/41 | | | 2,601,000 | | | | | | 2,810,367 | |
| | | | | | | | | | |
| | | | | | | | | 5,313,998 | |
| | | | | | | | | | |
|
Portugal — 0.1% | |
Portugal Obrigacoes do Tesouro OT | | | | | | | | | | |
4.80%, 06/15/20(E) | | | 75,000 | | | | | | 88,803 | |
3.85%, 04/15/21(E) | | | 190,000 | | | | | | 206,722 | |
| | | | | | | | | | |
| | | | | | | | | 295,525 | |
| | | | | | | | | | |
|
Spain — 0.4% | |
Telefonica Emisiones SA Unipersonal | | | | | | | | | | |
5.13%, 04/27/20 | | | 75,000 | | | | | | 79,031 | |
7.05%, 06/20/36 | | | 1,720,000 | | | | | | 1,866,200 | |
| | | | | | | | | | |
| | | | | | | | | 1,945,231 | |
| | | | | | | | | | |
|
Supranational — 1.7% | |
Inter-American Development Bank | | | | | | | | | | |
6.00%, 12/15/17(Z) | | | 6,365,000 | | | | | | 5,880,127 | |
International Bank For Reconstruction & Development | | | | | | | | | | |
1.43%, 03/05/14(G) | | | 2,470,000 | | | | | | 2,038,145 | |
| | | | | | | | | | |
| | | | | | | | | 7,918,272 | |
| | | | | | | | | | |
|
United Kingdom — 3.4% | |
Barclays Bank PLC | | | | | | | | | | |
3.68%, 08/20/15(W) | | | 740,000,000 | | | | | | 712,507 | |
10.18%, 06/12/21 144A | | | 7,312,000 | | | | | | 9,994,736 | |
BG Energy Capital PLC | | | | | | | | | | |
5.13%, 10/15/41 144AD | | | 585,000 | | | | | | 685,850 | |
HBOS PLC | | | | | | | | | | |
6.75%, 05/21/18 144A | | | 700,000 | | | | | | 756,875 | |
6.00%, 11/01/33 144A | | | 890,000 | | | | | | 813,433 | |
| | | | | | | | | | |
| | | Par | | | Value | |
HSBC Holdings PLC | | | | | | | | | | |
6.80%, 06/01/38 | | $ | 2,000,000 | | | | | $ | 2,566,412 | |
Tesco PLC | | | | | | | | | | |
6.15%, 11/15/37 144A | | | 400,000 | | | | | | 510,950 | |
| | | | | | | | | | |
| | | | | | | | | 16,040,763 | |
| | | | | | | | | | |
Total Foreign Bonds
(Cost $83,464,149) | | | | | | | | | 99,483,310 | |
| | | | | | | | | | |
MORTGAGE-BACKED SECURITIES — 0.4% | |
Community Program Loan Trust | | | | | | | | | | |
4.50%, 04/01/29 | | | 1,704,031 | | | | | | 1,721,616 | |
Federal Home Loan Mortgage Corporation | | | | | | | | | | |
5.00%, 12/01/31 | | | 69,417 | | | | | | 74,914 | |
| | | | | | | | | | |
Total Mortgage-Backed Securities
(Cost $1,585,116) | | | | | | | | | 1,796,530 | |
| | | | | | | | | | |
MUNICIPAL BONDS — 7.2% | |
California Educational Facilities Authority, Stanford University, Revenue Bond | | | | | | | | | | |
5.25%, 04/01/40 | | | 4,690,000 | | | | | | 6,524,728 | |
Escondido Union High School District, CABS-Election 2008, General Obligation, Series C | | | | | | | | | | |
5.18%, 08/01/46W† | | | 1,875,000 | | | | | | 342,300 | |
Metropolitan Pier & Exposition Authority, McCormick Place Expansion Project, Revenue Bond, Series B (AGM Insured) | | | | | | | | | | |
5.01%, 06/15/45W† | | | 9,800,000 | | | | | | 1,992,634 | |
5.03%, 06/15/46W† | | | 1,240,000 | | | | | | 236,939 | |
5.06%, 06/15/47W† | | | 400,000 | | | | | | 72,744 | |
Metropolitan Transportation Authority, Revenue Bond, Series E | | | | | | | | | | |
6.81%, 11/15/40 | | | 1,020,000 | | | | | | 1,349,246 | |
New Jersey State Turnpike Authority, Build America, Revenue Bond, Series A | | | | | | | | | | |
7.10%, 01/01/41 | | | 706,000 | | | | | | 1,018,285 | |
Ohio State University, Revenue Bond, Series A | | | | | | | | | | |
4.80%, 06/01/11 | | | 1,470,000 | | | | | | 1,657,146 | |
Placentia-Yorba Linda Unified School District, General Obligation, Series D | | | | | | | | | | |
5.03%, 08/01/42W† | | | 905,000 | | | | | | 211,272 | |
Port Authority of New York & New Jersey, Revenue Bond | | | | | | | | | | |
4.46%, 10/01/62 | | | 6,410,000 | | | | | | 6,333,336 | |
San Bernardino Community College District, General Obligation, Series B | | | | | | | | | | |
5.40%, 08/01/48W† | | | 2,845,000 | | | | | | 440,947 | |
Santa Barbara Secondary High School District, General Obligation, Series A | | | | | | | | | | |
4.97%, 08/01/40W† | | | 1,500,000 | | | | | | 399,060 | |
Santa Barbara Unified School District, General Obligation, Series A | | | | | | | | | | |
4.97%, 08/01/41W† | | | 705,000 | | | | | | 178,266 | |
| | | | |
| 124 | | See Notes to Financial Statements. | | |
EXTENDED-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | |
| | | Par | | | Value | |
Southwestern Community
College District, General
Obligation, Series C | | | | | | | | | | |
5.19%, 08/01/46W† | | $ | 3,975,000 | | | | | $ | 797,981 | |
State of California, General
Obligation | | | | | | | | | | |
7.50%, 04/01/34 | | | 2,135,000 | | | | | | 2,971,386 | |
7.55%, 04/01/39 | | | 1,190,000 | | | | | | 1,716,932 | |
State of Illinois, General
Obligation | | | | | | | | | | |
5.10%, 06/01/33 | | | 635,000 | | | | | | 628,752 | |
University of California,
Revenue Bond, Series AD | | | | | | | | | | |
4.86%, 05/15/12 | | | 5,912,000 | | | | | | 6,239,643 | |
Westside Union School District,
General Obligation, Series B | | | | | | | | | | |
5.33%, 08/01/40W† | | | 1,600,000 | | | | | | 383,280 | |
5.44%, 08/01/45W† | | | 2,170,000 | | | | | | 397,349 | |
| | | | | | | | | | |
Total Municipal Bonds
(Cost $28,436,219) | | | | | | | | | 33,892,226 | |
| | | | | | | | | | |
U.S. TREASURY OBLIGATIONS — 5.8% | |
U.S. Treasury Bonds | | | | | | | | | | |
3.13%, 11/15/41 | | | 24,168,000 | | | | | | 25,300,875 | |
2.75%, 08/15/42 | | | 2,300,000 | | | | | | 2,221,296 | |
| | | | | | | | | | |
| | | |
Total U.S. Treasury Obligations
(Cost $28,405,941) | | | | | | | | | 27,522,171 | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | Shares | | | Value | |
PREFERRED STOCKS — 0.1% | |
Ally Financial, Inc. 144AD | | | 82 | | | | | $ | 80,537 | |
Chesapeake Energy
Corporation CONV | | | 330 | | | | | | 24,882 | |
El Paso Energy
Capital Trust I CONV | | | 5,350 | | | | | | 295,320 | |
| | | | | | | | | | |
Total Preferred Stocks
(Cost $272,391) | | | | | | | | | 400,739 | |
| | | | | | | | | | |
MONEY MARKET FUNDS — 11.1% | |
GuideStone Money Market
Fund (GS4 Class)¥ | | | 17,748,920 | | | | | | 17,748,920 | |
Northern Institutional Liquid
Assets Portfolio§ | | | 34,681,684 | | | | | | 34,681,684 | |
| | | | | | | | | | |
Total Money Market Funds
(Cost $52,430,604) | | | | | | | | | 52,430,604 | |
| | | | | | | | | | |
| | |
TOTAL INVESTMENTS — 106.3%
(Cost $433,753,136) | | | | | | 500,864,232 | |
| | | |
Liabilities in Excess of Other
Assets — (6.3)% | | | | | | | | | (29,891,077 | ) |
| | | | | | | | | | |
NET ASSETS — 100.0% | | | | | | | | $ | 470,973,155 | |
| | | | | | | | | | |
PORTFOLIO SUMMARY (based on net assets)
| | | | |
| | | % | |
Corporate Bonds | | | 59.4 | |
Foreign Bonds | | | 21.1 | |
Money Market Funds | | | 11.1 | |
Municipal Bonds | | | 7.2 | |
U.S. Treasury Obligations | | | 5.8 | |
Asset-Backed Security | | | 1.2 | |
Mortgage-Backed Securities | | | 0.4 | |
Preferred Stocks | | | 0.1 | |
| | | | |
| | | 106.3 | |
| | | | |
| | | | |
| | See Notes to Financial Statements. | | 125 |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2012, 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 Security | | | $ | 5,707,321 | | | | $ | — | | | | $ | 5,707,321 | | | | $ | — | |
Corporate Bonds | | | | 279,631,331 | | | | | — | | | | | 275,358,048 | | | | | 4,273,283 | |
Foreign Bonds | | | | 99,483,310 | | | | | — | | | | | 99,483,310 | | | | | — | |
Money Market Funds | | | | 52,430,604 | | | | | 52,430,604 | | | | | — | | | | | — | |
Mortgage-Backed Securities | | | | 1,796,530 | | | | | — | | | | | 1,796,530 | | | | | — | |
Municipal Bonds | | | | 33,892,226 | | | | | — | | | | | 33,892,226 | | | | | — | |
Preferred Stocks | | | | 400,739 | | | | | 320,202 | | | | | — | | | | | 80,537 | |
U.S. Treasury Obligations | | | | 27,522,171 | | | | | — | | | | | 27,522,171 | | | | | — | |
| | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Total Assets - Investments in Securities | | | $ | 500,864,232 | | | | $ | 52,750,806 | | | | $ | 443,759,606 | | | | $ | 4,353,820 | |
| | | | | | | | | | | | | | | | | | | | |
There were no transfers between Level 1 and Level 2 during the year ended December 31, 2012.
Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the reconciliation of Level 3 securities and assumptions is not shown for the period ending December 31, 2012.
| | | | |
| 126 | | See Notes to Financial Statements. | | |
Inflation Protected Bond Fund
Throughout most of 2012, macroeconomic and geopolitical events seemed to dominate the headlines, causing vast changes in investor sentiment and volatility in the capital markets. During the year, the capital markets were absorbing a great deal of information related to the European financial crisis, domestic economic growth, the resolution to the U.S. “fiscal cliff” and the U.S. Presidential election. Underneath these clouds of uncertainty, the capital markets quietly shrugged off these issues and posted positive annual returns that were higher than many pundits thought at the beginning of the year. During the year, riskier asset classes such as equities, high yield bonds and emerging markets debt dominated as investors were willing to take on more risk in the low interest rate environment. This behavior was somewhat explained by improving corporate fundamentals and the fact that monetary/fiscal policies implemented around the globe had greatly reduced the probability of a “left-tail event” (or a severe global recession). The broad domestic bond market, as measured by the Barclays Capital U.S. Aggregate Bond Index, posted an annual return of 4.22%. In comparison, the S&P 500® Index, a broad performance measure of U.S. stocks, was up 16.00% for the year.
Despite the macroeconomic headwinds and an increase in investors’ risk appetite, all major bond market sectors posted positive returns for the year, led by riskier sectors. Throughout the year, U.S. Treasury yields remained at historically low levels across the yield curve. Short-term rates remained low in response to the Federal Reserve’s implementation of a near zero federal funds rate for the foreseeable future and the implementation of non-traditional strategies such as Operation Twist and the third round of quantitative easing (QE3). Market forces, lack of inflationary pressures and Federal Reserve policies kept mid- and longer-dated U.S. Treasury yields relatively unchanged during the year. The U.S. Treasury sector was one of the worst performing bond sectors during the year as it was negatively impacted by the “risk on” and low yield environment. As a sector, U.S. Treasuries posted an annual return of 1.99%, with longer-dated U.S. Treasuries posting a slightly higher annual return of 3.78%. Shorter-term U.S. Treasuries, as measured by the Bank of America Merrill Lynch 1-3 Year Treasury Index, generated a one-year return of 0.43%, while U.S. Treasury inflation protected securities (“TIPS”) posted an annual return of 6.98% as measured by the Barclays Capital U.S. TIPS Index. The year ended with Treasury yields at remarkably low levels with the yield on the 10-year U.S. Treasury bond at 1.76% and the 30-year U.S. Treasury bond at 2.95%.
With investors willing to take on more risk for the potential of higher return, non-U.S. Treasury bonds (bonds that trade at a risk premium or “spread” to U.S. Treasuries) outpaced U.S. Treasury securities during 2012. Generally, lower quality bonds outpaced higher quality bonds while longer maturity bonds typically outperformed shorter maturity bonds. Non-U.S. Treasury bond sector returns varied by risk. The Barclays Capital U.S. Aggregate - Investment Grade (defined by credit quality of BBB- or higher) produced an annual return of 9.82%. Corporate bonds benefited from improving underlying corporate fundamentals, strong balance sheets and high investor demand. Within the corporate bond sector, the Barclays Capital U.S. Aggregate - Investment Grade Financial Index led with an annual return of 14.65%. The Barclays Capital U.S. High Yield - Corporate Index (defined by below investment grade corporate bonds) generated an annual return of 15.81%, benefiting from strong corporate fundamentals and a historically low default rate environment. Emerging markets debt was another top performer, as the JP Morgan EMBI+ Index generated an annual return of 18.04%, which outpaced U.S. stocks for the year.
The Fund was actively managed and was primarily comprised of inflation-indexed debt securities with an average dollar-weighted duration (a measure of bond prices’ sensitivity to changes in interest rates) normally between four and 10 years. The Fund underperformed its benchmark index, the Barclays Capital U.S. TIPS Index, for the period ended December 31, 2012 (6.06% versus 6.98%). The main source of the benchmark-relative underperformance was the Fund’s yield curve strategy during the first three quarters of the year. The yield curve strategy was positioned for a scenario based on expectations for slower than anticipated global growth, weakening energy prices and ongoing tensions in peripheral Europe which would pressure the 10-year inflation expectations relative to longer-term inflation expectations. However, aggressive monetary accommodation, especially the Federal Reserve’s commitment to hold rates low through 2015, caused intermediate real yields to significantly outperform long-end yields, which benefitted less from the Federal Reserve’s shorter-horizon rate guidance. On the other hand, exposure to German inflation-linked bond positions benefitted the Fund’s returns. U.S. Treasury futures were utilized for Fund structuring purposes, including the efficient management of the Fund’s duration, yield curve strategies and inflation breakeven strategies.
The Fund was consistently managed to provide inflation protection and income consistent with investment in inflation-indexed securities. During the year, the Fund did not contradict its primary objective in an effort to stretch for additional yield by investing in nominal bonds with credit risk.
This Fund may be suitable for investors who have a long-term investment horizon, want protection from inflation, can accept short-term fluctuations in account value and want to diversify their portfolio with a fixed income investment option. This Fund is subject to interest rate risk. Meaning, when interest rates rise, the value of the existing bonds decrease and vice versa. Changes in
127
Inflation Protected Bond Fund
interest rates have a bigger impact on long duration holdings than on short duration holdings. To the extent that the investment adviser misjudges current market conditions, the Fund’s volatility may be amplified by its use of short sales and derivatives and by its ability to select sub-advisers to allocate assets. Short sales by a fund theoretically involve unlimited loss potential since the market price of securities sold short may continuously increase. Leverage may increase the risk of loss and cause fluctuations in the market value of the Fund’s portfolio to have disproportionately large effects or cause the net asset value of the Fund generally to decline faster than it would otherwise.
Please see page 130 for information regarding specific portfolio allocations. Portfolio holdings are subject to change and risk at any time.
128
Inflation Protected Bond Fund
| | | | |
Average Annual Total Returns as of 12/31/12 |
| | | GS4 Class* | | Benchmark** |
One Year | | 6.06% | | 6.98% |
Since Inception | | 8.24% | | 9.27% |
Inception Date | | 06/25/09 | | |
Total Fund Operating Expenses (April 28, 2012 Prospectus, as amended on November 30, 2012)(1) | | 0.70% | | |
(1)Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph compares the results of a hypothetical $10,000 investment in the GS4 Class of the Fund since June 25, 2009 (commencement of operations), with all dividends and capital gains reinvested, with the Barclays Capital U.S. TIPS Index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
**The Barclays Capital U.S. TIPS Index measures the performance of the U.S. Treasury Inflation Protected Securities (“TIPS”) market and includes TIPS with one or more years remaining maturity with total outstanding issue size of $500 million or more.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
129
| | |
INFLATION PROTECTED BOND FUND SCHEDULE OF INVESTMENTS | | December 31, 2012 |
| | | | | | | | | | | | |
| | | Par | | | Value | |
U.S. TREASURY OBLIGATIONS — 87.8% | |
U.S. Treasury Bonds | | | | | | | | | | | | |
2.75%, 08/15/42 | | | | $ | 765,000 | | | | | $ | 738,822 | |
2.75%, 11/15/42 | | | | | 675,000 | | | | | | 650,426 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,389,248 | |
| | | | | | | | | | | | |
U.S. Treasury Inflationary Index Bonds | | | | | | | | | | | | |
1.88%, 07/15/13 | | | | | 4,780,000 | | | | | | 6,119,980 | |
2.00%, 01/15/14 | | | | | 3,575,000 | | | | | | 4,620,685 | |
1.25%, 04/15/14 | | | | | 1,820,000 | | | | | | 2,051,772 | |
2.00%, 07/15/14 | | | | | 3,908,200 | | | | | | 5,063,220 | |
1.63%, 01/15/15 | | | | | 1,550,000 | | | | | | 1,995,841 | |
0.50%, 04/15/15 | | | | | 10,656,900 | | | | | | 11,874,725 | |
1.88%, 07/15/15 | | | | | 2,943,700 | | | | | | 3,818,328 | |
2.00%, 01/15/16 | | | | | 2,335,000 | | | | | | 3,019,023 | |
0.13%, 04/15/16 | | | | | 22,905,600 | | �� | | | | 25,291,114 | |
2.50%, 07/15/16 | | | | | 1,967,200 | | | | | | 2,590,909 | |
0.13%, 04/15/17 | | | | | 4,663,300 | | | | | | 5,088,790 | |
2.13%, 01/15/19 | | | | | 735,900 | | | | | | 963,394 | |
1.38%, 01/15/20 | | | | | 1,378,900 | | | | | | 1,749,861 | |
1.13%, 01/15/21 | | | | | 4,690,000 | | | | | | 5,829,669 | |
0.63%, 07/15/21 | | | | | 2,800,000 | | | | | | 3,269,341 | |
0.13%, 01/15/22 | | | | | 5,174,200 | | | | | | 5,747,599 | |
0.13%, 07/15/22 | | | | | 7,360,000 | | | | | | 8,040,237 | |
2.38%, 01/15/25‡‡ | | | | | 8,220,200 | | | | | | 13,630,171 | |
2.00%, 01/15/26 | | | | | 2,275,000 | | | | | | 3,482,921 | |
2.38%, 01/15/27 | | | | | 3,040,000 | | | | | | 4,815,375 | |
1.75%, 01/15/28 | | | | | 4,605,000 | | | | | | 6,593,034 | |
3.63%, 04/15/28 | | | | | 3,480,000 | | | | | | 7,905,027 | |
2.50%, 01/15/29 | | | | | 5,040,000 | | | | | | 7,758,322 | |
3.88%, 04/15/29 | | | | | 3,450,000 | | | | | | 8,063,072 | |
3.38%, 04/15/32 | | | | | 392,100 | | | | | | 844,129 | |
2.13%, 02/15/40 | | | | | 3,097,600 | | | | | | 4,874,817 | |
2.13%, 02/15/41 | | | | | 4,333,900 | | | | | | 6,774,219 | |
0.75%, 02/15/42 | | | | | 7,214,400 | | | | | | 8,111,958 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 169,987,533 | |
| | | | | | | | | | | | |
U.S. Treasury Notes | | | | | | | | | | | | |
0.88%, 04/30/17 | | | | | 1,205,000 | | | | | | 1,219,968 | |
1.63%, 11/15/22 | | | | | 1,080,000 | | | | | | 1,068,357 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,288,325 | |
| | | | | | | | | | | | |
Total U.S. Treasury Obligations
(Cost $161,487,290) | | | 173,665,106 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
MONEY MARKET FUND — 11.5% | | | | | | | |
GuideStone Money Market Fund
(GS4 Class) ¥
(Cost $22,757,052) | | | | | 22,757,052 | | | | | $ | 22,757,052 | |
| | | | | | | | | | | | |
TOTAL INVESTMENTS — 99.3%
(Cost $184,244,342) | | | | | | 196,422,158 | |
Other Assets in Excess of
Liabilities — 0.7% | | | | | | 1,340,138 | |
| | | | | | | | | | | | |
NET ASSETS — 100.0% | | | | | $ | 197,762,296 | |
| | | | | | | | | | | | |
PORTFOLIO SUMMARY (based on net assets)
| | | | |
| | | % | |
U.S. Treasury Obligations | | | 87.8 | |
Money Market Fund | | | 11.5 | |
Futures Contracts | | | 4.5 | |
| | | | |
| | | 103.8 | |
| | | | |
| | | | |
| 130 | | See Notes to Financial Statements. | | |
INFLATION PROTECTED BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2012, 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 Fund | | | $ | 22,757,052 | | | | $ | 22,757,052 | | | | $ | — | | | | $ | — | |
U.S. Treasury Obligations | | | | 173,665,106 | | | | | — | | | | | 173,665,106 | | | | | — | |
| | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Total Assets - Investments in Securities | | | $ | 196,422,158 | | | | $ | 22,757,052 | | | | $ | 173,665,106 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | $ | 122,246 | | | | $ | 122,246 | | | | $ | — | | | | $ | — | |
| | | | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | | $ | 122,246 | | | | $ | 122,246 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
***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.
There were no transfers between Level 1 and Level 2 during the year ended December 31, 2012.
| | | | |
| | See Notes to Financial Statements. | | 131 |
Global Bond Fund
Throughout most of 2012, macroeconomic and geopolitical events seemed to dominate the headlines, causing vast changes in investor sentiment and volatility in the capital markets. During the year, the capital markets were absorbing a great deal of information related to the European financial crisis, domestic economic growth, the resolution to the U.S. “fiscal cliff” and the U.S. Presidential election. Underneath these clouds of uncertainty, the capital markets quietly shrugged off these issues and posted positive annual returns that were higher than many pundits thought at the beginning of the year. During the year, riskier asset classes such as equities, high yield bonds and emerging markets debt dominated as investors were willing to take on more risk in the low interest rate environment. This behavior was somewhat explained by improving corporate fundamentals and the fact that monetary/fiscal policies implemented around the globe had greatly reduced the probability of a “left-tail event” (or a severe global recession). The broad domestic bond market, as measured by the Barclays Capital Aggregate Bond Index, posted an annual return of 4.22%. In comparison, the S&P 500® Index, a broad performance measure of U.S. stocks, was up 16.00% for the year.
Despite the macroeconomic headwinds and an increase in investors’ risk appetite, all major bond market sectors posted positive returns for the year, led by riskier sectors. Throughout the year, U.S. Treasury yields remained at historically low levels across the yield curve. Short-term rates remained low in response to the Federal Reserve’s implementation of a near zero federal funds rate for the foreseeable future and the implementation of non-traditional strategies such as Operation Twist and the third round of quantitative easing (QE3). Market forces, lack of inflationary pressures and Federal Reserve policies kept mid - and longer-dated U.S. Treasury yields relatively unchanged during the year. The U.S. Treasury sector was one of the worst performing bond sectors during the year as it was negatively impacted by the “risk on” and low yield environment. As a sector, U.S. Treasuries posted an annual return of 1.99%, with longer-dated U.S. Treasuries posting a slightly higher annual return of 3.78%. Shorter-term U.S. Treasuries, as measured by the Bank of America Merrill Lynch 1-3 Year Treasury Index, generated a one-year return of 0.43%. The year ended with Treasury yields at remarkably low levels with the yield on the 10-year U.S. Treasury bond at 1.76% and the 30-year U.S. Treasury bond at 2.95%.
With investors willing to take on more risk for the potential of higher return, non-U.S. Treasury bonds (bonds that trade at a risk premium or “spread” to U.S. Treasuries) outpaced U.S. Treasury securities during 2012. Generally, lower quality bonds outpaced higher quality bonds while longer maturity bonds typically outperformed shorter maturity bonds. Non-U.S. Treasury bond sector returns varied by risk. The Barclays Capital U.S. Aggregate - Investment Grade (defined by credit quality of BBB - or higher) produced an annual return of 9.82%. Corporate bonds benefited from improving underlying corporate fundamentals, strong balance sheets and high investor demand. Within the corporate bond sector, the Barclays Capital U.S. Aggregate - Investment Grade Financial Index led with an annual return of 14.65%. The Barclays Capital U.S. High Yield - Corporate Index (defined by below investment grade corporate bonds) generated an annual return of 15.81%, benefiting from strong corporate fundamentals and a historically low default rate environment.
In the non-U.S. markets, the focus was on the European debt crisis, the southern European economies, the euro and the potential for a hard landing in China. The headwinds of deleveraging and fiscal austerity remained powerful forces in the developed markets, but major central banks across the globe were determined through accommodative monetary policy to support economic growth and the financial markets. This support seemed to provide “breathing room” for these markets and eliminated the fear of a “left tail event.” The global bond market, as measured by the Barclays Capital Global Aggregate Index, posted an annual return of 4.32% for the year. Emerging markets debt, benefitting from strong fundamentals and high investor demand, posted an impressive annual return of 18.04%, as measured by the JPMorgan Emerging Markets Bond Index Plus.
The Fund was actively managed and invests in a diversified portfolio composed primarily of global fixed income securities with an average dollar-weighted duration (a measure of bond prices’ sensitivity to changes in interest rates) normally between three to 10 years. The Fund maintained its global focus, seeking investment opportunities across a wide array of economies, credits, yield curves and currencies. For the one-year period ended December 31, 2012, the Fund outperformed its composite benchmark, 50% Barclays Capital Global Aggregate Bond Index – Unhedged, 25% JPMorgan Emerging Markets Bond Index Plus and 25% Barclays Capital U.S. Corporate High Yield Index – 2% Issuer Capped (12.52% versus 10.47%). The outperformance was primarily generated during the first and fourth quarters. The Fund’s benchmark-relative outperformance was attributable to several factors including exposure to and stock selection within the corporate bond, high yield bond and emerging markets debt sectors. Also, strong returns from select convertible bonds allowed this sector to contribute moderately to excess returns. During the year, the Fund utilized government futures and options to manage yield curve strategies. These strategies, in aggregate, detracted modest value to the Fund’s performance. Additionally, the Fund used currency forward contracts for hedging purposes which slightly detracted from performance while certain options on currency forwards contracts added modest value.
132
Global Bond Fund
This Fund may be suitable for investors who have a medium to long-term investment horizon, seek higher returns than those offered by a shorter maturity bond fund, can accept short-term fluctuations in account value and want to diversify their portfolio with a globally diversified fixed-income investment option. This Fund may invest, to a large extent, in high yield securities, commonly known as junk bonds. While offering higher current yields, these securities may be considered speculative and are subject to greater risks than higher-rated bonds. Securities of emerging countries may involve additional risks including price volatility, reduced liquidity, currency fluctuation and financial reporting requirements as well as political and economic instability. This Fund is subject to interest rate risk. Meaning, when interest rates rise, the value of the existing bonds decrease and vice versa. Changes in interest rates have a bigger impact on long duration holdings than on short duration holdings. To the extent that the investment adviser misjudges current market conditions, the Fund’s volatility may be amplified by its use of short sales and derivatives and by its ability to select sub-advisers to allocate assets. Short sales by a fund theoretically involve unlimited loss potential since the market price of securities sold short may continuously increase. Leverage may increase the risk of loss and cause fluctuations in the market value of the Fund’s portfolio to have disproportionately large effects or cause the net asset value of the Fund generally to decline faster than it would otherwise.
Please see page 142 for information regarding specific portfolio allocations. Portfolio holdings are subject to change and risk at any time.
133
Global Bond Fund
| | | | |
| Average Annual Total Returns as of 12/31/12 |
| | | GS4 Class* | | Benchmark** |
One Year | | 12.52% | | 10.47% |
Five Year | | 7.47% | | 8.09% |
Since Inception | | 7.35% | | 7.89% |
Inception Date | | 12/29/06 | | |
Total Fund Operating Expenses (April 28, 2012 Prospectus, as amended on November 30, 2012)(1) | | 0.90% | | |
(1) Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph compares the results of a hypothetical $10,000 investment in the GS4 Class of the Fund since December 29, 2006 (commencement of operations), with all dividends and capital gains reinvested, with the weighted composite index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
**Represents a weighted composite benchmark index consisting of 25% JPMorgan Emerging Markets Bond Index Plus, 50% Barclays Capital Global Aggregate Bond Index — Unhedged and 25% Barclays Capital U.S. Corporate High Yield – 2% Issuer Capped Index.
The JPMorgan Emerging Markets Bond Index Plus is a traditional, market-capitalization weighted index comprised of U.S. dollar denominated Brady bonds, Eurobonds and traded loans issued by sovereign entities.
The Barclays Capital Global Aggregate Bond Index — Unhedged provides a broad-based measure of the global investment grade fixed-rate debt markets.
The Barclays Capital U.S. Corporate High Yield – 2% Issuer Capped Index is an issuer-constrained version of the Barclays Capital U.S. Corporate High Yield Index that covers the U.S.-denominated, non-investment grade, fixed-rate and taxable corporate bond market.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
134
| | |
GLOBAL BOND FUND SCHEDULE OF INVESTMENTS | | December 31, 2012 |
| | | | | | | | | | | | |
| | | Par | | | Value | |
CORPORATE BONDS — 32.0% | | | | | | | |
Acadia Healthcare Co., Inc. | | | | | | | | | | | | |
12.88%, 11/01/18 | | | | $ | 160,000 | | | | | $ | 194,400 | |
Access Midstream Partners LP | | | | | | | | | | | | |
6.13%, 07/15/22 | | | | | 150,000 | | | | | | 162,375 | |
AES Corporation | | | | | | | | | | | | |
9.75%, 04/15/16 | | | | | 10,000 | | | | | | 12,000 | |
8.00%, 06/01/20 | | | | | 350,000 | | | | | | 404,250 | |
Alcatel-Lucent USA, Inc. | | | | | | | | | | | | |
6.45%, 03/15/29 | | | | | 75,000 | | | | | | 57,375 | |
Alcoa, Inc. | | | | | | | | | | | | |
5.87%, 02/23/22D | | | | | 5,000 | | | | | | 5,403 | |
6.75%, 01/15/28 | | | | | 185,000 | | | | | | 200,546 | |
5.95%, 02/01/37D | | | | | 65,000 | | | | | | 62,986 | |
Ally Financial, Inc. | | | | | | | | | | | | |
7.50%, 12/31/13D | | | | | 15,000 | | | | | | 15,881 | |
6.75%, 12/01/14D | | | | | 399,000 | | | | | | 432,915 | |
5.50%, 02/15/17 | | | | | 70,000 | | | | | | 75,229 | |
8.00%, 12/31/18 | | | | | 104,000 | | | | | | 122,200 | |
8.00%, 03/15/20 | | | | | 200,000 | | | | | | 246,000 | |
7.50%, 09/15/20D | | | | | 415,000 | | | | | | 502,669 | |
8.00%, 11/01/31D | | | | | 345,000 | | | | | | 438,581 | |
Altegrity, Inc. | | | | | | | | | | | | |
10.50%, 11/01/15 144A | | | | | 150,000 | | | | | | 132,000 | |
American Axle & Manufacturing, Inc. | | | | | | | | | | | | |
6.63%, 10/15/22D | | | | | 150,000 | | | | | | 153,000 | |
American International Group, Inc. | | | | | | | | | | | | |
5.45%, 05/18/17 | | | | | 25,000 | | | | | | 28,770 | |
Anadarko Petroleum Corporation | | | | | | | | | | | | |
5.95%, 09/15/16 | | | | | 10,000 | | | | | | 11,521 | |
6.38%, 09/15/17 | | | | | 120,000 | | | | | | 143,488 | |
Appleton Papers, Inc. | | | | | | | | | | | | |
11.25%, 12/15/15 | | | | | 102,000 | | | | | | 110,670 | |
Ashton Woods USA LLC | | | | | | | | | | | | |
11.00%, | | | | | | | | | | | | |
06/30/15 STEP 144A@ | | | | | 20,800 | | | | | | 20,800 | |
AT&T, Inc. | | | | | | | | | | | | |
3.88%, 08/15/21 | | | | | 60,000 | | | | | | 66,994 | |
6.55%, 02/15/39 | | | | | 220,000 | | | | | | 290,131 | |
Ball Corporation | | | | | | | | | | | | |
5.75%, 05/15/21D | | | | | 380,000 | | | | | | 413,250 | |
Bank of America Corporation | | | | | | | | | | | | |
4.63%, 08/07/17(E)D | | | | | 300,000 | | | | | | 447,097 | |
5.49%, 03/15/19 | | | | | 100,000 | | | | | | 111,229 | |
5.00%, 05/13/21 | | | | | 100,000 | | | | | | 114,363 | |
Calpine Corporation | | | | | | | | | | | | |
7.88%, 01/15/23 144A | | | | | 392,000 | | | | | | 444,920 | |
CCO Holdings LLC | | | | | | | | | | | | |
7.00%, 01/15/19 | | | | | 230,000 | | | | | | 249,262 | |
6.50%, 04/30/21 | | | | | 190,000 | | | | | | 205,912 | |
Cemex Finance LLC | | | | | | | | | | | | |
9.38%, 10/12/22 | | | | | 350,000 | | | | | | 395,500 | |
Chesapeake Energy
Corporation | | | | | | | | | | | | |
6.78%, 03/15/19 | | | | | 140,000 | | | | | | 140,350 | |
6.63%, 08/15/20D | | | | | 75,000 | | | | | | 80,812 | |
6.88%, 11/15/20 | | | | | 5,000 | | | | | | 5,444 | |
2.75%, 11/15/35 CONV | | | | | 110,000 | | | | | | 105,738 | |
2.50%, 05/15/37 CONVD | | | | | 270,000 | | | | | | 244,350 | |
2.25%, 12/15/38 CONVD | | | | | 25,000 | | | | | | 20,312 | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
Chiquita Brands
International, Inc. | | | | | | | | | | | | |
7.50%, 11/01/14D | | | | $ | 450,000 | | | | | $ | 452,812 | |
Ciena Corporation | | | | | | | | | | | | |
0.88%, 06/15/17 | | | | | 135,000 | | | | | | 117,028 | |
3.75%, | | | | | | | | | | | | |
10/15/18 CONV 144A | | | | | 415,000 | | | | | | 469,209 | |
Cincinnati Bell
Telephone Co. LLC | | | | | | | | | | | | |
6.30%, 12/01/28 | | | | | 155,000 | | | | | | 149,575 | |
Citigroup, Inc. | | | | | | | | | | | | |
7.38%, 09/04/19(E) | | | | | 380,000 | | | | | | 660,181 | |
Cleaver-Brooks, Inc. | | | | | | | | | | | | |
8.75%, 12/15/19 144A | | | | | 110,000 | | | | | | 113,850 | |
Cliffs Natural Resources, Inc. | | | | | | | | | | | | |
3.95%, 01/15/18D | | | | | 200,000 | | | | | | 201,525 | |
Colorado Interstate Gas Co. | | | | | | | | | | | | |
5.95%, 03/15/15 | | | | | 20,000 | | | | | | 21,927 | |
6.80%, 11/15/15 | | | | | 125,000 | | | | | | 145,478 | |
Comcast Corporation | | | | | | | | | | | | |
5.15%, 03/01/20 | | | | | 170,000 | | | | | | 201,803 | |
Concho Resources, Inc. | | | | | | | | | | | | |
5.50%, 10/01/22 | | | | | 520,000 | | | | | | 551,200 | |
ConocoPhillips | | | | | | | | | | | | |
6.50%, 02/01/39D | | | | | 30,000 | | | | | | 42,701 | |
CONSOL Energy | | | | | | | | | | | | |
8.25%, 04/01/20 | | | | | 210,000 | | | | | | 228,375 | |
Continental Airlines, Inc. | | | | | | | | | | | | |
9.00%, 07/08/16 | | | | | 1,071,797 | | | | | | 1,240,605 | |
5.98%, 04/19/22 | | | | | 487,553 | | | | | | 542,987 | |
Continental Rubber Of America Corporation | | | | | | | | | | | | |
4.50%, 09/15/19 144AD | | | | | 350,000 | | | | | | 359,938 | |
Countrywide Financial
Corporation | | | | | | | | | | | | |
6.25%, 05/15/16 | | | | | 280,000 | | | | | | 307,593 | |
Cricket Communications, Inc. | | | | | | | | | | | | |
7.75%, 05/15/16 | | | | | 190,000 | | | | | | 202,112 | |
Cummins, Inc. | | | | | | | | | | | | |
5.65%, 03/01/98 | | | | | 1,500,000 | | | | | | 1,566,000 | |
DAE Aviation Holdings, Inc. | | | | | | | | | | | | |
11.25%, 08/01/15 144A | | | | | 120,000 | | | | | | 123,900 | |
Delta Air Lines, Inc. | | | | | | | | | | | | |
8.02%, 08/10/22 | | | | | 77,008 | | | | | | 84,223 | |
DISH DBS Corporation | | | | | | | | | | | | |
5.88%, 07/15/22 144A | | | | | 600,000 | | | | | | 648,000 | |
Dynegy Holdings Escrow | | | | | | | | | | | | |
7.75%, 06/01/19+# | | | | | 893,000 | | | | | | — | |
El Paso LLC | | | | | | | | | | | | |
7.75%, 01/15/32 | | | | | 50,000 | | | | | | 59,000 | |
El Paso Natural Gas Co. LLC | | | | | | | | | | | | |
8.63%, 01/15/22 | | | | | 90,000 | | | | | | 124,255 | |
8.38%, 06/15/32 | | | | | 75,000 | | | | | | 106,931 | |
El Pollo Loco, Inc. | | | | | | | | | | | | |
17.00%, | | | | | | | | | | | | |
01/01/18 PIK 144AD | | | | | 177,583 | | | | | | 190,014 | |
Embarq Corporation | | | | | | | | | | | | |
8.00%, 06/01/36D | | | | | 995,000 | | | | | | 1,102,055 | |
Enterprise Products
Operating LLC | | | | | | | | | | | | |
9.75%, 01/31/14 | | | | | 100,000 | | | | | | 109,438 | |
8.38%, 08/01/66† | | | | | 60,000 | | | | | | 68,529 | |
ERAC USA Finance LLC | | | | | | | | | | | | |
7.00%, 10/15/37 144A | | | | | 1,065,000 | | | | | | 1,356,822 | |
| | | | |
| | See Notes to Financial Statements. | | 135 |
| | | | | | | | | | |
| | | Par | | | Value | |
Escrow GCB US Oncology | | | | | | | | | | |
9.12%, 08/15/17+ 144A | | $ | 155,000 | | | | | $ | — | |
EXCO Resources, Inc. | | | | | | | | | | |
7.50%, 09/15/18 | | | 200,000 | | | | | | 195,000 | |
FirstEnergy Corporation | | | | | | | | | | |
7.38%, 11/15/31 | | | 325,000 | | | | | | 420,945 | |
Ford Motor Co. | | | | | | | | | | |
4.25%, 11/15/16 CONVD | | | 830,000 | | | | | | 1,319,700 | |
6.63%, 10/01/28 | | | 850,000 | | | | | | 985,881 | |
Ford Motor Credit Co., LLC | | | | | | | | | | |
12.00%, 05/15/15 | | | 100,000 | | | | | | 123,500 | |
Ford Motor | | | | | | | | | | |
Credit Co., LLC | | | | | | | | | | |
5.00%, 05/15/18 | | | 520,000 | | | | | | 575,087 | |
Freescale Semiconductor, Inc. | | | | | | | | | | |
10.13%, 12/15/16 | | | 56,000 | | | | | | 57,820 | |
Fresenius US Finance II, Inc. | | | | | | | | | | |
8.75%, 07/15/15
144A(E) | | | 30,000 | | | | | | 46,608 | |
Frontier Communications
Corporation | | | | | | | | | | |
7.88%, 01/15/27 | | | 405,000 | | | | | | 413,100 | |
General Electric Capital
Corporation | | | | | | | | | | |
7.63%, 12/10/14(Z) | | | 1,025,000 | | | | | | 912,738 | |
4.88%, 03/04/15 | | | 370,000 | | | | | | 400,889 | |
6.50%, 09/28/15(Z) | | | 255,000 | | | | | | 225,102 | |
6.75%, 09/26/16(Z) | | | 150,000 | | | | | | 136,048 | |
3.15%, 09/07/22D | | | 330,000 | | | | | | 337,860 | |
6.75%, 03/15/32 | | | 30,000 | | | | | | 39,077 | |
6.88%, 01/10/39 | | | 200,000 | | | | | | 272,813 | |
Georgia-Pacific LLC | | | | | | | | | | |
8.88%, 05/15/31 | | | 605,000 | | | | | | 909,575 | |
Gerdau Holdings, Inc. | | | | | | | | | | |
7.00%, 01/20/20D | | | 240,000 | | | | | | 280,200 | |
Goldman Sachs Group, Inc. | | | | | | | | | | |
4.75%, 10/12/21(E) | | | 150,000 | | | | | | 211,427 | |
6.75%, 10/01/37 | | | 355,000 | | | | | | 403,613 | |
Goodyear Tire & Rubber Co. | | | | | | | | | | |
7.00%, 03/15/28D | | | 690,000 | | | | | | 698,625 | |
Hanover Insurance
Group, Inc. | | | | | | | | | | |
7.50%, 03/01/20 | | | 385,000 | | | | | | 457,055 | |
HCA, Inc. | | | | | | | | | | |
6.38%, 01/15/15D | | | 150,000 | | | | | | 162,938 | |
7.19%, 11/15/15 | | | 205,000 | | | | | | 226,525 | |
7.50%, 12/15/23 | | | 555,000 | | | | | | 570,262 | |
8.36%, 04/15/24 | | | 90,000 | | | | | | 97,425 | |
7.69%, 06/15/25 | | | 775,000 | | | | | | 796,312 | |
7.58%, 09/15/25 | | | 570,000 | | | | | | 579,975 | |
Hercules Offshore, Inc. | | | | | | | | | | |
10.50%, 10/15/17 144A | | | 80,000 | | | | | | 86,600 | |
Hiland Partners LP | | | | | | | | | | |
7.25%, 10/01/20 144A | | | 100,000 | | | | | | 107,500 | |
Idearc, Inc. Escrow | | | | | | | | | | |
0.00%, 11/15/16+W | | | 185,000 | | | | | | — | |
ING Capital Funding Trust III | | | | | | | | | | |
3.91%, 12/29/49† | | | 160,000 | | | | | | 152,624 | |
Intel Corporation | | | | | | | | | | |
2.95%, 12/15/35 | | | 580,000 | | | | | | 604,288 | |
3.25%, 08/01/39 | | | 460,000 | | | | | | 541,362 | |
International Lease Finance
Corporation | | | | | | | | | | |
5.65%, 06/01/14 | | | 90,000 | | | | | | 94,106 | |
8.63%, 09/15/15 | | | 450,000 | | | | | | 507,375 | |
5.88%, 04/01/19D | | | 210,000 | | | | | | 222,390 | |
| | | | | | | | | | |
| | | Par | | | Value | |
6.25%, 05/15/19 | | $ | 155,000 | | | | | $ | 165,850 | |
5.88%, 08/15/22D | | | 215,000 | | | | | | 228,150 | |
iStar Financial, Inc. | | | | | | | | | | |
5.70%, 03/01/14 | | | 62,000 | | | | | | 63,705 | |
6.05%, 04/15/15 | | | 20,000 | | | | | | 20,300 | |
5.88%, 03/15/16 | | | 22,000 | | | | | | 22,220 | |
3.00%, 11/15/16 CONV | | | 80,000 | | | | | | 81,900 | |
7.13%, 02/15/18 | | | 150,000 | | | | | | 153,562 | |
JC Penney Corporation, Inc. | | | | | | | | | | |
6.38%, 10/15/36D | | | 650,000 | | | | | | 490,750 | |
7.40%, 04/01/37D | | | 5,000 | | | | | | 4,200 | |
7.63%, 03/01/97D | | | 1,300,000 | | | | | | 1,027,000 | |
Jefferies Group, Inc. | | | | | | | | | | |
5.13%, 04/13/18 | | | 55,000 | | | | | | 58,025 | |
6.88%, 04/15/21 | | | 270,000 | | | | | | 303,750 | |
6.45%, 06/08/27 | | | 35,000 | | | | | | 37,450 | |
3.88%, 11/01/29 CONV | | | 55,000 | | | | | | 54,759 | |
6.25%, 01/15/36D | | | 135,000 | | | | | | 140,400 | |
Jones Group, Inc. | | | | | | | | | | |
6.13%, 11/15/34D | | | 135,000 | | | | | | 116,775 | |
JPMorgan Chase & Co. | | | | | | | | | | |
4.50%, 01/24/22D | | | 160,000 | | | | | | 181,340 | |
JPMorgan Chase Bank NA | | | | | | | | | | |
4.38%, 11/30/21(E)†D | | | 350,000 | | | | | | 490,128 | |
K Hovnanian Enterprises, Inc. | | | | | | | | | | |
5.00%, 11/01/21D | | | 795,000 | | | | | | 683,700 | |
Key Energy Services, Inc. | | | | | | | | | | |
6.75%, 03/01/21D | | | 170,000 | | | | | | 170,850 | |
Kinder Morgan Energy
Partners LP | | | | | | | | | | |
6.50%, 02/01/37D | | | 75,000 | | | | | | 91,864 | |
6.95%, 01/15/38 | | | 90,000 | | | | | | 118,827 | |
Lennar Corporation | | | | | | | | | | |
5.60%, 05/31/15D | | | 1,400,000 | | | | | | 1,498,000 | |
Level 3 Financing, Inc. | | | | | | | | | | |
9.38%, 04/01/19 | | | 20,000 | | | | | | 22,450 | |
7.00%, 06/01/20 144A | | | 730,000 | | | | | | 765,588 | |
Masco Corporation | | | | | | | | | | |
5.85%, 03/15/17 | | | 90,000 | | | | | | 98,039 | |
7.75%, 08/01/29 | | | 250,000 | | | | | | 278,722 | |
6.50%, 08/15/32 | | | 175,000 | | | | | | 181,523 | |
MBIA Insurance Corporation | | | | | | | | | | |
14.00%, 01/15/33 144A† | | | 435,000 | | | | | | 78,300 | |
Merrill Lynch & Co., Inc. | | | | | | | | | | |
6.05%, 06/01/34 | | | 700,000 | | | | | | 766,791 | |
6.11%, 01/29/37D | | | 1,300,000 | | | | | | 1,423,648 | |
Mirant Mid Atlantic Pass
Through Trust | | | | | | | | | | |
10.06%, 12/30/28 | | | 165,630 | | | | | | 187,576 | |
Morgan Stanley | | | | | | | | | | |
4.75%, 04/01/14D | | | 40,000 | | | | | | 41,432 | |
5.75%, 01/25/21 | | | 700,000 | | | | | | 800,736 | |
6.25%, 08/09/26 | | | 400,000 | | | | | | 470,562 | |
Motorola Solutions, Inc. | | | | | | | | | | |
6.63%, 11/15/37 | | | 105,000 | | | | | | 120,911 | |
Mutual of Omaha Insurance Co. | | | | | | | | | | |
6.80%, 06/15/36 144A | | | 1,200,000 | | | | | | 1,413,138 | |
NetFlix, Inc. | | | | | | | | | | |
8.50%, 11/15/17D | | | 150,000 | | | | | | 160,500 | |
Old Republic International
Corporation | | | | | | | | | | |
3.75%, 03/15/18 CONVD | | | 1,600,000 | | | | | | 1,673,000 | |
Owens Corning | | | | | | | | | | |
7.00%, 12/01/36 | | | 220,000 | | | | | | 244,162 | |
| | | | |
| 136 | | See Notes to Financial Statements. | | |
GLOBAL BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | |
| | | Par | | | Value | |
Owens-Brockway Glass
Container, Inc. | | | | | | | | | | |
3.00%, 06/01/15 144AD | | $ | 840,000 | | | | | $ | 835,275 | |
Peabody Energy Corporation | | | | | | | | | | |
6.50%, 09/15/20D | | | 490,000 | | | | | | 527,975 | |
Pemex Project Funding
Master Trust | | | | | | | | | | |
6.63%, 06/15/35 | | | 516,000 | | | | | | 657,900 | |
Penn Mutual Life Insurance Co. | | | | | | | | | | |
7.63%, 06/15/40 144A | | | 685,000 | | | | | | 869,229 | |
Pioneer Natural Resources Co. | | | | | | | | | | |
5.88%, 07/15/16 | | | 900,000 | | | | | | 1,021,326 | |
7.20%, 01/15/28 | | | 315,000 | | | | | | 402,412 | |
Plains Exploration &
Production Co. | | | | | | | | | | |
8.63%, 10/15/19D | | | 55,000 | | | | | | 62,838 | |
ProLogis LP | | | | | | | | | | |
6.63%, 05/15/18 | | | 15,000 | | | | | | 18,138 | |
QEP Resources, Inc. | | | | | | | | | | |
6.88%, 03/01/21 | | | 290,000 | | | | | | 335,675 | |
Quicksilver Resources, Inc. | | | | | | | | | | |
11.75%, 01/01/16 | | | 145,000 | | | | | | 143,912 | |
Qwest Capital Funding, Inc. | | | | | | | | | | |
6.50%, 11/15/18 | | | 225,000 | | | | | | 255,514 | |
Qwest Corporation | | | | | | | | | | |
3.56%, 06/15/13† | | | 100,000 | | | | | | 100,781 | |
7.25%, 09/15/25D | | | 105,000 | | | | | | 121,928 | |
6.88%, 09/15/33 | | | 2,500,000 | | | | | | 2,525,000 | |
7.25%, 10/15/35D | | | 110,000 | | | | | | 116,853 | |
Range Resources Corporation | | | | | | | | | | |
6.75%, 08/01/20 | | | 510,000 | | | | | | 555,900 | |
Regency Energy Partners LP | | | | | | | | | | |
5.50%, 04/15/23 | | | 450,000 | | | | | | 482,625 | |
Reliance Holdings USA, Inc. | | | | | | | | | | |
4.50%, 10/19/20 144AD | | | 290,000 | | | | | | 304,148 | |
Republic Services, Inc. | | | | | | | | | | |
4.75%, 05/15/23 | | | 90,000 | | | | | | 102,469 | |
Reynolds Group Issuer, Inc. | | | | | | | | | | |
9.00%, 04/15/19 | | | 330,000 | | | | | | 344,850 | |
5.75%, 10/15/20 144AD | | | 60,000 | | | | | | 62,100 | |
Rock-Tenn Co. | | | | | | | | | | |
4.00%, 03/01/23 144A | | | 600,000 | | | | | | 610,777 | |
Ryerson, Inc. | | | | | | | | | | |
9.00%, 10/15/17 144A | | | 270,000 | | | | | | 276,412 | |
11.25%, 10/15/18 144A | | | 70,000 | | | | | | 64,662 | |
SandRidge Energy, Inc. | | | | | | | | | | |
7.50%, 02/15/23D | | | 250,000 | | | | | | 268,750 | |
Service Corporation
International | | | | | | | | | | |
7.50%, 04/01/27D | | | 75,000 | | | | | | 81,000 | |
Simon Property Group LP | | | | | | | | | | |
5.75%, 12/01/15D | | | 25,000 | | | | | | 28,179 | |
SLM Corporation | | | | | | | | | | |
5.38%, 01/15/13 | | | 650,000 | | | | | | 651,621 | |
5.38%, 05/15/14 | | | 1,000,000 | | | | | | 1,049,264 | |
8.45%, 06/15/18D | | | 769,000 | | | | | | 903,575 | |
8.00%, 03/25/20 | | | 10,000 | | | | | | 11,475 | |
Southern Copper Corporation | | | | | | | | | | |
5.38%, 04/16/20D | | | 70,000 | | | | | | 80,681 | |
6.75%, 04/16/40 | | | 450,000 | | | | | | 546,244 | |
5.25%, 11/08/42 | | | 200,000 | | | | | | 201,166 | |
Springleaf Finance Corporation | | | | | | | | | | |
5.75%, 09/15/16 | | | 700,000 | | | | | | 635,250 | |
6.50%, 09/15/17 | | | 400,000 | | | | | | 356,000 | |
| | | | | | | | | | |
| | | Par | | | Value | |
6.90%, 12/15/17 | | $ | 200,000 | | | | | $ | 180,000 | |
Sprint Capital Corporation | | | | | | | | | | |
6.88%, 11/15/28D | | | 50,000 | | | | | | 52,250 | |
8.75%, 03/15/32 | | | 745,000 | | | | | | 914,488 | |
Steel Dynamics, Inc. | | | | | | | | | | |
7.63%, 03/15/20D | | | 100,000 | | | | | | 111,000 | |
Teachers Insurance & Annuity
Association of America | | | | | | | | | | |
6.85%, 12/16/39 144A | | | 100,000 | | | | | | 136,112 | |
Tenet Healthcare Corporation | | | | | | | | | | |
8.88%, 07/01/19 | | | 462,000 | | | | | | 519,750 | |
6.88%, 11/15/31 | | | 85,000 | | | | | | 76,925 | |
Tesoro Logistics LP | | | | | | | | | | |
5.88%, 10/01/20 144AD | | | 180,000 | | | | | | 187,650 | |
Textron Financial Corporation | | | | | | | | | | |
5.13%, 08/15/14D | | | 30,000 | | | | | | 31,378 | |
Textron, Inc. | | | | | | | | | | |
6.63%, 04/07/20(U) | | | 130,000 | | | | | | 243,606 | |
Time Warner Cable, Inc. | | | | | | | | | | |
8.75%, 02/14/19 | | | 190,000 | | | | | | 256,661 | |
8.25%, 04/01/19 | | | 40,000 | | | | | | 53,298 | |
Time Warner, Inc. | | | | | | | | | | |
4.00%, 01/15/22D | | | 100,000 | | | | | | 109,678 | |
Toys “R” Us, Inc. | | | | | | | | | | |
7.38%, 10/15/18D | | | 335,000 | | | | | | 306,525 | |
tw telecom holdings, Inc. | | | | | | | | | | |
5.38%, 10/01/22 144A | | | 380,000 | | | | | | 399,475 | |
United Air Lines 2009-1
Pass-Through Trust | | | | | | | | | | |
10.40%, 05/01/18D | | | 505,432 | | | | | | 581,853 | |
United Air Lines, Inc. | | | | | | | | | | |
6.64%, 07/02/22 | | | 238,797 | | | | | | 256,707 | |
Univision Communications, Inc. | | | | | | | | | | |
7.88%, 11/01/20 144A | | | 150,000 | | | | | | 163,125 | |
US Airways 2012-2 Class A | | | | | | | | | | |
Pass Through Trust | | | | | | | | | | |
5.90%, 10/01/24D | | | 335,000 | | | | | | 365,150 | |
4.63%, 06/03/25 | | | 270,000 | | | | | | 276,581 | |
US Airways, Inc. | | | | | | | | | | |
9.13%, 10/01/15 | | | 515,000 | | | | | | 531,094 | |
8.00%, 10/01/19D | | | 585,000 | | | | | | 624,488 | |
USG Corporation | | | | | | | | | | |
6.30%, 11/15/16 | | | 1,250,000 | | | | | | 1,300,000 | |
Valeant Pharmaceuticals
International | | | | | | | | | | |
6.38%, 10/15/20 144AD | | | 255,000 | | | | | | 274,125 | |
Vanguard Health Holding | | | | | | | | | | |
Co. II LLC | | | | | | | | | | |
8.00%, 02/01/18D | | | 105,000 | | | | | | 109,200 | |
Verizon Pennsylvania, Inc. | | | | | | | | | | |
6.00%, 12/01/28 | | | 90,000 | | | | | | 105,793 | |
VPI Escrow Corporation | | | | | | | | | | |
6.38%, 10/15/20 144AD | | | 285,000 | | | | | | 307,088 | |
Wachovia Corporation | | | | | | | | | | |
5.25%, 08/01/14 | | | 120,000 | | | | | | 128,010 | |
WellPoint, Inc. | | | | | | | | | | |
7.00%, 02/15/19 | | | 80,000 | | | | | | 99,677 | |
Western Union Co. | | | | | | | | | | |
6.20%, 06/21/40D | | | 5,000 | | | | | | 5,100 | |
Westvaco Corporation | | | | | | | | | | |
8.20%, 01/15/30 | | | 150,000 | | | | | | 198,420 | |
7.95%, 02/15/31 | | | 135,000 | | | | | | 176,905 | |
Weyerhaeuser Co. | | | | | | | | | | |
8.50%, 01/15/25 | | | 405,000 | | | | | | 539,834 | |
| | | | |
| | See Notes to Financial Statements. | | 137 |
| | | | | | | | | | |
| | | Par | | | Value | |
6.95%, 10/01/27 | | $ | 55,000 | | | | | $ | 63,884 | |
7.38%, 03/15/32 | | | 370,000 | | | | | | 467,539 | |
6.88%, 12/15/33 | | | 490,000 | | | | | | 586,994 | |
Williams Cos., Inc. | | | | | | | | | | |
7.50%, 01/15/31 | | | 60,000 | | | | | | 75,215 | |
WPX Energy, Inc. | | | | | | | | | | |
6.00%, 01/15/22 144A | | | 150,000 | | | | | | 162,375 | |
Wyndham Worldwide Corporation | | | | | | | | | | |
7.38%, 03/01/20 | | | 380,000 | | | | | | 458,069 | |
| | | | | | | | | | |
Total Corporate Bonds | | | | | | | | | | |
(Cost $63,674,610) | | | | | | | | | 74,567,643 | |
| | | | | | | | | | |
FOREIGN BONDS — 42.6% | | | | |
Argentina — 0.3% | | | | | | | | | | |
Argentina Boden Bonds | | | | | | | | | | |
7.00%, 10/03/15D | | | 452,000 | | | | | | 411,546 | |
Pan American Energy LLC | | | | | | | | | | |
7.88%, 05/07/21D | | | 156,000 | | | | | | 136,110 | |
7.88%, 05/07/21 144A | | | 61,000 | | | | | | 53,222 | |
| | | | | | | | | | |
| | | | | | | | | 600,878 | |
| | | | | | | | | | |
| | | |
Australia — 1.7% | | | | | | | | | | |
FMG Resources August | | | | | | | | | | |
2006 Proprietary, Ltd. | | | | | | | | | | |
7.00%, 11/01/15 144A | | | 70,000 | | | | | | 73,850 | |
6.88%, 04/01/22 144AD | | | 370,000 | | | | | | 379,712 | |
New South Wales Treasury Corporation | | | | | | | | | | |
6.00%, 02/01/18(A) | | | 2,620,000 | | | | | | 3,042,037 | |
Queensland Treasury Corporation | | | | | | | | | | |
7.13%, 09/18/17(Z) | | | 275,000 | | | | | | 261,209 | |
Rio Tinto Finance (USA), Ltd. | | | | | | | | | | |
9.00%, 05/01/19 | | | 190,000 | | | | | | 261,305 | |
| | | | | | | | | | |
| | | | | | | | | 4,018,113 | |
| | | | | | | | | | |
| | | |
Bermuda — 0.7% | | | | | | | | | | |
Qtel International Finance, Ltd. | | | | | | | | | | |
4.75%, 02/16/21 144AD | | | 200,000 | | | | | | 226,500 | |
Sirius International Group, Ltd. | | | | | | | | | | |
6.38%, 03/20/17 144A | | | 1,250,000 | | | | | | 1,366,467 | |
| | | | | | | | | | |
| | | | | | | | | 1,592,967 | |
| | | | | | | | | | |
| | | |
Brazil — 3.0% | | | | | | | | | | |
Brazil Notas do Tesouro
Nacional | | | | | | | | | | |
10.00%, 01/01/14(B) | | | 131,000 | | | | | | 65,710 | |
10.00%, 01/01/17(B) | | | 4,207,000 | | | | | | 2,168,459 | |
Brazilian Government International Bond | | | | | | | | | | |
4.88%, 01/22/21D | | | 610,000 | | | | | | 738,100 | |
11.00%, 08/17/40D | | | 115,000 | | | | | | 144,181 | |
Centrais Eletricas Brasileiras SA | | | | | | | | | | |
5.75%, 10/27/21D | | | 200,000 | | | | | | 216,000 | |
Federal Republic of Brazil | | | | | | | | | | |
10.25%, 01/10/28(B) | | | 5,250,000 | | | | | | 3,391,026 | |
Hypermarcas SA | | | | | | | | | | |
6.50%, 04/20/21 144AD | | | 150,000 | | | | | | 163,875 | |
Telemar Norte Leste SA | | | | | | | | | | |
5.50%, 10/23/20D | | | 100,000 | | | | | | 104,500 | |
5.50%, 10/23/20 144A | | | 110,000 | | | | | | 114,950 | |
| | | | | | | | | | |
| | | | | | | | | 7,106,801 | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | Par | | | Value | |
Canada — 3.6% | | | | | | | | | | |
Atlantic Power Corporation | | | | | | | | | | |
9.00%, 11/15/18 144A | | $ | 310,000 | | | | | $ | 325,500 | |
Canadian Government Bond | | | | | | | | | | |
2.50%, 06/01/15(C) | | | 4,720,000 | | | | | | 4,895,333 | |
Methanex Corporation | | | | | | | | | | |
5.25%, 03/01/22 | | | 75,000 | | | | | | 83,337 | |
Province of Manitoba | | | | | | | | | | |
6.38%, 09/01/15(Z) | | | 815,000 | | | | | | 725,513 | |
Province of Quebec | | | | | | | | | | |
6.75%, 11/09/15(Z) | | | 2,650,000 | | | | | | 2,389,681 | |
Stone Container Finance Company of Canada II Escrow | | | | | | | | | | |
3.39%, 07/15/14+W | | | 330,000 | | | | | | 6,600 | |
| | | | | | | | | | |
| | | | | | | | | 8,425,964 | |
| | | | | | | | | | |
| | | |
Cayman Islands — 1.5% | | | | | | | | | | |
Braskem Finance, Ltd. | | | | | | | | | | |
7.00%, 05/07/20 | | | 350,000 | | | | | | 396,375 | |
5.75%, 04/15/21 | | | 200,000 | | | | | | 211,500 | |
Fibria Overseas Finance, Ltd. | | | | | | | | | | |
6.75%, 03/03/21 | | | 250,000 | | | | | | 279,375 | |
Odebrecht Finance, Ltd. | | | | | | | | | | |
6.00%, 04/05/23 | | | 300,000 | | | | | | 348,375 | |
6.00%, 04/05/23 144AD | | | 420,000 | | | | | | 487,725 | |
Petrobras International Finance Co. | | | | | | | | | | |
6.88%, 01/20/40 | | | 390,000 | | | | | | 499,342 | |
6.75%, 01/27/41 | | | 270,000 | | | | | | 343,464 | |
Suzano Trading, Ltd. | | | | | | | | | | |
5.88%, 01/23/21 144AD | | | 250,000 | | | | | | 262,500 | |
Vale Overseas, Ltd. | | | | | | | | | | |
6.88%, 11/21/36 | | | 592,000 | | | | | | 736,791 | |
| | | | | | | | | | |
| | | | | | | | | 3,565,447 | |
| | | | | | | | | | |
| | | |
Chile — 0.6% | | | | | | | | | | |
AES Gener SA | | | | | | | | | | |
5.25%, 08/15/21 144A | | | 220,000 | | | | | | 245,266 | |
Celulosa Arauco y Constitucion SA | | | | | | | | | | |
7.25%, 07/29/19 | | | 120,000 | | | | | | 142,970 | |
4.75%, 01/11/22 | | | 255,000 | | | | | | 268,746 | |
Colbun SA | | | | | | | | | | |
6.00%, 01/21/20D | | | 100,000 | | | | | | 111,731 | |
6.00%, 01/21/20 144A | | | 110,000 | | | | | | 122,904 | |
Corporation Nacional del Cobre de Chile | | | | | | | | | | |
3.88%, 11/03/21 144A | | | 220,000 | | | | | | 240,819 | |
Inversiones CMPC SA | | | | | | | | | | |
4.75%, 01/19/18 144A | | | 200,000 | | | | | | 211,841 | |
| | | | | | | | | | |
| | | | | | | | | 1,344,277 | |
| | | | | | | | | | |
| | | |
Colombia — 0.9% | | | | | | | | | | |
Colombia Government
International Bond | | | | | | | | | | |
7.38%, 03/18/19D | | | 200,000 | | | | | | 263,900 | |
7.38%, 09/18/37D | | | 160,000 | | | | | | 249,680 | |
6.13%, 01/18/41D | | | 140,000 | | | | | | 192,920 | |
Ecopetrol SA | | | | | | | | | | |
7.63%, 07/23/19 | | | 440,000 | | | | | | 569,493 | |
Empresa de Energia de
Bogota SA | | | | | | | | | | |
6.13%, 11/10/21 144A | | | 250,000 | | | | | | 281,875 | |
| | | | |
| 138 | | See Notes to Financial Statements. | | |
GLOBAL BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | |
| | | Par | | | Value | |
Empresas Publicas de
Medellin ESP | | | | | | | | | | |
7.63%, 07/29/19 144A | | $ | 120,000 | | | | | $ | 151,200 | |
Transportadora de Gas
Internacional SA ESP | | | | | | | | | | |
5.70%, 03/20/22 | | | 260,000 | | | | | | 288,600 | |
| | | | | | | | | | |
| | | | | | | | | 1,997,668 | |
| | | | | | | | | | |
| | | |
Czech Republic — 0.1% | | | | | | | | | | |
EP Energy AS | | | | | | | | | | |
5.88%, 11/01/19
144A(E) | | | 120,000 | | | | | | 171,067 | |
| | | | | | | | | | |
| | | |
France — 0.6% | | | | | | | | | | |
AXA SA | | | | | | | | | | |
6.21%, 10/29/49(E)†D | | | 210,000 | | | | | | 271,926 | |
Compagnie Generale de
Geophysique - Veritas | | | | | | | | | | |
9.50%, 05/15/16 | | | 650,000 | | | | | | 700,375 | |
Dematic SA | | | | | | | | | | |
8.75%, 05/01/16 144A | | | 250,000 | | | | | | 267,187 | |
Europcar Groupe SA | | | | | | | | | | |
9.38%, 04/15/18
144A(E) | | | 145,000 | | | | | | 170,341 | |
| | | | | | | | | | |
| | | | | | | | | 1,409,829 | |
| | | | | | | | | | |
| | | |
Germany — 10.0% | | | | | | | | | | |
Bundesobligation | | | | | | | | | | |
2.00%, 02/26/16(E) | | | 910,000 | | | | | | 1,275,775 | |
0.75%, 02/24/17(E) | | | 2,880,000 | | | | | | 3,890,965 | |
Bundesrepublik Deutschland | | | | | | | | | | |
4.00%, 07/04/16(E)D | | | 2,000 | | | | | | 3,000 | |
3.75%, 01/04/19(E) | | | 4,570,000 | | | | | | 7,169,254 | |
3.25%, 01/04/20(E) | | | 4,240,000 | | | | | | 6,540,021 | |
3.25%, 07/04/21(E) | | | 2,320,000 | | | | | | 3,600,691 | |
Kabel Deutschland Holding AG | | | | | | | | | | |
6.50%, 07/31/17
144A(E) | | | 100,000 | | | | | | 144,535 | |
Kabel Deutschland Vertrieb und Service GmbH | | | | | | | | | | |
6.50%, 06/29/18
144A(E) | | | 160,000 | | | | | | 229,145 | |
KM Germany Holdings GmbH | | | | | | | | | | |
8.75%, 12/15/20
144A(E) | | | 100,000 | | | | | | 138,926 | |
Rearden G Holdings EINS GmbH | | | | | | | | | | |
7.88%, 03/30/20 144AD | | | 200,000 | | | | | | 224,000 | |
| | | | | | | | | | |
| | | | | | | | | 23,216,312 | |
| | | | | | | | | | |
| | | |
Iceland — 0.0% | | | | | | | | | | |
Kaupthing Bank HF | | | | | | | | | | |
7.13%, 05/19/16+ 144A# | | | 150,000 | | | | | | 2 | |
| | | | | | | | | | |
| | | |
Indonesia — 0.5% | | | | | | | | | | |
Indonesia Government
International Bond | | | | | | | | | | |
6.63%, 02/17/37 | | | 225,000 | | | | | | 302,625 | |
5.25%, 01/17/42D | | | 570,000 | | | | | | 664,763 | |
Pertamina Persero PT | | | | | | | | | | |
5.25%, 05/23/21 144A | | | 200,000 | | | | | | 225,000 | |
| | | | | | | | | | |
| | | | | | | | | 1,192,388 | |
| | | | | | | | | | |
| | | |
Ireland — 1.7% | | | | | | | | | | |
Ardagh Glass Finance PLC | | | | | | | | | | |
7.13%, 06/15/17
144A(E) | | | 112,000 | | | | | | 152,270 | |
Ardagh Packaging Finance PLC | | | | | | | | | | |
9.13%, 10/15/20 144AD | | | 200,000 | | | | | | 218,500 | |
Ireland Government Bond | | | | | | | | | | |
4.50%, 10/18/18(E)D | | | 900,000 | | | | | | 1,241,838 | |
5.00%, 10/18/20(E) | | | 50,000 | | | | | | 68,111 | |
5.40%, 03/13/25(E) | | | 750,000 | | | | | | 1,014,480 | |
| | | | | | | | | | |
| | | Par | | | Value | |
Nara Cable Funding, Ltd. | | | | | | | | | | |
8.88%, 12/01/18 144A | | $ | 360,000 | | | | | $ | 368,100 | |
Novatek OAO via Novatek Finance, Ltd. | | | | | | | | | | |
6.60%, 02/03/21 144A | | | 200,000 | | | | | | 235,500 | |
XL Group PLC | | | | | | | | | | |
6.25%, 05/15/27D | | | 640,000 | | | | | | 761,955 | |
| | | | | | | | | | |
| | | | | | | | | 4,060,754 | |
| | | | | | | | | | |
| | | |
Italy — 0.5% | | | | | | | | | | |
Italy Buoni Poliennali Del Tesoro | | | | | | | | | | |
5.25%, 11/01/29(E) | | | 20,000 | | | | | | 27,315 | |
5.75%, 02/01/33(E) | | | 20,000 | | | | | | 28,796 | |
5.00%, 08/01/34(E) | | | 20,000 | | | | | | 26,448 | |
Seat Pagine Gialle SpA | | | | | | | | | | |
10.50%, 01/31/17(E) | | | 129,000 | | | | | | 103,867 | |
Telecom Italia Capital SA | | | | | | | | | | |
6.38%, 11/15/33 | | | 855,000 | | | | | | 865,688 | |
6.00%, 09/30/34 | | | 155,000 | | | | | | 152,288 | |
| | | | | | | | | | |
| | | | | | | | | 1,204,402 | |
| | | | | | | | | | |
| | | |
Luxembourg — 1.7% | | | | | | | | | | |
Altice Financing SA | | | | | | | | | | |
8.00%, 12/15/19 144A(E) | | | 120,000 | | | | | | 168,295 | |
ArcelorMittal | | | | | | | | | | |
4.25%, 02/25/15 | | | 100,000 | | | | | | 101,058 | |
4.25%, 08/05/15D | | | 140,000 | | | | | | 141,496 | |
6.13%, 06/01/18D | | | 305,000 | | | | | | 309,470 | |
6.00%, 03/01/21D | | | 30,000 | | | | | | 29,962 | |
7.50%, 10/15/39D | | | 295,000 | | | | | | 278,068 | |
7.25%, 03/01/41D | | | 690,000 | | | | | | 641,803 | |
ConvaTec Healthcare E SA | | | | | | | | | | |
10.88%, 12/15/18(E) | | | 100,000 | | | | | | 150,145 | |
CSN Resources SA | | | | | | | | | | |
6.50%, 07/21/20D | | | 200,000 | | | | | | 218,000 | |
6.50%, 07/21/20 144A | | | 150,000 | | | | | | 163,500 | |
Evraz Group SA | | | | | | | | | | |
9.50%, 04/24/18 | | | 270,000 | | | | | | 309,150 | |
6.75%, 04/27/18 144A | | | 240,000 | | | | | | 247,800 | |
Hannover Finance
Luxembourg SA | | | | | | | | | | |
5.75%, 09/14/40(E)†D | | | 50,000 | | | | | | 76,016 | |
Ontex IV SA | | | | | | | | | | |
9.00%, 04/15/19(E) | | | 100,000 | | | | | | 140,246 | |
Spie BondCo 3 SCA | | | | | | | | | | |
11.00%, 08/15/19(E) | | | 200,000 | | | | | | 289,731 | |
TNK-BP Finance SA | | | | | | | | | | |
7.88%, 03/13/18D | | | 290,000 | | | | | | 353,481 | |
Vimpel Communications OJSC Via UBS Luxembourg SA | | | | | | | | | | |
8.25%, 05/23/16 | | | 125,000 | | | | | | 141,412 | |
Wind Acquisition Finance SA | | | | | | | | | | |
7.25%, 02/15/18 144A | | | 200,000 | | | | | | 203,500 | |
Wind Acquisition Holdings Finance SA | | | | | | | | | | |
12.25%, 07/15/17
PIK(E)D | | | 8,783 | | | | | | 11,709 | |
| | | | | | | | | | |
| | | | | | | | | 3,974,842 | |
| | | | | | | | | | |
| | | |
Malaysia — 0.5% | | | | | | | | | | |
Malaysia Government Bond | | | | | | | | | | |
3.84%, 08/12/15(R) | | | 3,365,000 | | | | | | 1,122,467 | |
4.26%, 09/15/16(R) | | | 140,000 | | | | | | 47,598 | |
| | | | | | | | | | |
| | | | | | | | | 1,170,065 | |
| | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 139 |
| | | | | | | | | | |
| | | Par | | | Value | |
Marshall Islands — 0.1% | | | | | | | | | | |
Teekay Corporation | | | | | | | | | | |
8.50%, 01/15/20D | | $ | 150,000 | | | | | $ | 159,000 | |
| | | | | | | | | | |
| | | |
Mexico — 2.7% | | | | | | | | | | |
America Movil SAB de CV | | | | | | | | | | |
5.63%, 11/15/17 | | | 98,000 | | | | | | 118,310 | |
Axtel SAB de CV | | | | | | | | | | |
7.63%, 02/01/17 | | | 20,000 | | | | | | 10,900 | |
7.63%, 02/01/17 144A | | | 170,000 | | | | | | 92,650 | |
9.00%, 09/22/19 | | | 58,000 | | | | | | 32,190 | |
Grupo Televisa SAB | | | | | | | | | | |
6.63%, 03/18/25D | | | 100,000 | | | | | | 129,607 | |
6.63%, 01/15/40D | | | 270,000 | | | | | | 347,164 | |
Kansas City Southern de
Mexico SA de CV | | | | | | | | | | |
12.50%, 04/01/16 | | | 60,000 | | | | | | 66,922 | |
8.00%, 02/01/18D | | | 330,000 | | | | | | 367,125 | |
Mexican Bonos | | | | | | | | | | |
8.00%, 06/11/20(M) | | | 19,619,000 | | | | | | 1,788,684 | |
6.50%, 06/09/22(M) | | | 5,282,100 | | | | | | 444,160 | |
8.00%, 12/07/23(M) | | | 26,500,000 | | | | | | 2,483,956 | |
Petroleos Mexicanos | | | | | | | | | | |
5.50%, 01/21/21 | | | 150,000 | | | | | | 176,025 | |
6.50%, 06/02/41 | | | 135,000 | | | | | | 170,100 | |
| | | | | | | | | | |
| | | | | | | | | 6,227,793 | |
| | | | | | | | | | |
| | | |
Netherlands — 2.0% | | | | | | | | | | |
Clondalkin Acquisition BV | | | | | | | | | | |
2.18%, 12/15/13 144A(E)† | | | 66,000 | | | | | | 83,415 | |
EDP Finance BV | | | | | | | | | | |
4.75%, 09/26/16(E) | | | 300,000 | | | | | | 410,467 | |
6.00%, 02/02/18 144A | | | 200,000 | | | | | | 210,698 | |
4.90%, 10/01/19 144A | | | 1,100,000 | | | | | | 1,096,408 | |
Indosat Palapa Co. BV | | | | | | | | | | |
7.38%, 07/29/20 | | | 100,000 | | | | | | 114,000 | |
7.38%, 07/29/20 144AD | | | 100,000 | | | | | | 114,000 | |
Lukoil International Finance BV | | | | | | | | | | |
6.36%, 06/07/17 | | | 200,000 | | | | | | 229,800 | |
6.66%, 06/07/22D | | | 270,000 | | | | | | 330,075 | |
LyondellBasell Industries NV | | | | | | | | | | |
5.75%, 04/15/24D | | | 260,000 | | | | | | 306,800 | |
OI European Group BV | | | | | | | | | | |
6.88%, 03/31/17
144A(E) | | | 100,000 | | | | | | 137,276 | |
Polish Television Holding BV | | | | | | | | | | |
11.25%, | | | | | | | | | | |
05/15/17 STEP 144A(E) | | | 125,000 | | | | | | 180,669 | |
Swiss Reinsurance Co. Via ELM BV | | | | | | | | | | |
5.25%, 05/29/49(E)†D | | | 400,000 | | | | | | 543,281 | |
UPC Holding BV | | | | | | | | | | |
8.00%, 11/01/16(E) | | | 154,000 | | | | | | 210,795 | |
VimpelCom Holdings BV | | | | | | | | | | |
7.50%, 03/01/22 144A | | | 200,000 | | | | | | 229,750 | |
Ziggo Bond Co. BV | | | | | | | | | | |
8.00%, 05/15/18 144A(E) | | | 250,000 | | | | | | 364,638 | |
| | | | | | | | | | |
| | | | | | | | | 4,562,072 | |
| | | | | | | | | | |
| | | |
Norway — 0.7% | | | | | | | | | | |
Norway Government Bond | | | | | | | | | | |
5.00%, 05/15/15(K) | | | 355,000 | | | | | | 69,126 | |
4.25%, 05/19/17(K) | | | 8,060,000 | | | | | | 1,619,075 | |
| | | | | | | | | | |
| | | | | | | | | 1,688,201 | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | Par | | | Value | |
| | | |
Panama — 0.2% | | | | | | | | | | |
AES El Salvador Trust | | | | | | | | | | |
6.75%, 02/01/16D | | $ | 100,000 | | | | | $ | 103,750 | |
Panama Government
International Bond | | | | | | | | | | |
7.25%, 03/15/15 | | | 1,000 | | | | | | 1,124 | |
6.70%, 01/26/36D | | | 201,000 | | | | | | 286,425 | |
| | | | | | | | | | |
| | | | | | | | | 391,299 | |
| | | | | | | | | | |
| | | |
Peru — 0.8% | | | | | | | | | | |
Peru Government Bond | | | | | | | | | | |
7.84%, 08/12/20(P) | | | 2,116,000 | | | | | | 1,046,850 | |
Peruvian Government
International Bond | | | | | | | | | | |
7.35%, 07/21/25 | | | 40,000 | | | | | | 58,160 | |
8.75%, 11/21/33D | | | 389,000 | | | | | | 677,833 | |
6.55%, 03/14/37 | | | 8,000 | | | | | | 11,600 | |
| | | | | | | | | | |
| | | | | | | | | 1,794,443 | |
| | | | | | | | | | |
| | | |
Philippines — 0.1% | | | | | | | | | | |
Philippine Government International Bond | | | | | | | | | | |
4.00%, 01/15/21 | | | 200,000 | | | | | | 225,000 | |
| | | | | | | | | | |
| | | |
Portugal — 0.1% | | | | | | | | | | |
Portugal Obrigacoes do Tesouro OT | | | | | | | | | | |
4.80%, 06/15/20(E) | | | 50,000 | | | | | | 59,202 | |
3.85%, 04/15/21(E) | | | 150,000 | | | | | | 163,201 | |
| | | | | | | | | | |
| | | | | | | | | 222,403 | |
| | | | | | | | | | |
| | | |
Russia — 0.8% | | | | | | | | | | |
Russian Foreign Bond | | | | | | | | | | |
7.50%, 03/31/30 STEPD | | | 932,325 | | | | | | 1,199,343 | |
5.63%, 04/04/42 | | | 600,000 | | | | | | 747,000 | |
| | | | | | | | | | |
| | | | | | | | | 1,946,343 | |
| | | | | | | | | | |
| | | |
South Africa — 1.1% | | | | | | | | | | |
Edcon Proprietary, Ltd. | | | | | | | | | | |
3.43%, 06/15/14(E)† | | | 320,000 | | | | | | 407,603 | |
South Africa Government Bond | | | | | | | | | | |
10.50%, 12/21/26(S) | | | 14,779,811 | | | | | | 2,236,723 | |
| | | | | | | | | | |
| | | | | | | | | 2,644,326 | |
| | | | | | | | | | |
| | | |
Spain — 0.1% | | | | | | | | | | |
Santander Issuances SA
Unipersonal | | | | | | | | | | |
5.91%, 06/20/16 144A | | | 100,000 | | | | | | 102,979 | |
Telefonica Emisiones SAU | | | | | | | | | | |
5.13%, 04/27/20 | | | 75,000 | | | | | | 79,031 | |
| | | | | | | | | | |
| | | | | | | | | 182,010 | |
| | | | | | | | | | |
| | | |
Supranational — 0.7% | | | | | | | | | | |
Inter-American
Development Bank | | | | | | | | | | |
4.97%, 09/23/13(N)W† | | | 15,900,000,000 | | | | | | 1,591,732 | |
| | | | | | | | | | |
| | | |
Sweden — 0.1% | | | | | | | | | | |
Corral Petroleum Holdings AB | | | | | | | | | | |
15.00%, | | | | | | | | | | |
12/31/17 PIK 144A(E) | | | 164,020 | | | | | | 190,702 | |
| | | | | | | | | | |
| | | |
Trinidad And Tobago — 0.1% | | | | | | | | | | |
Petroleum Co. of Trinidad & | | | | | | | | | | |
Tobago, Ltd. | | | | | | | | | | |
9.75%, 08/14/19 144AD | | | 240,000 | | | | | | 321,360 | |
| | | | | | | | | | |
| | | | |
| 140 | | See Notes to Financial Statements. | | |
GLOBAL BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | |
| | | Par | | | Value | |
Turkey — 0.3% | | | | | | | |
Turkey Government International Bond | | | | | | | | | | |
7.50%, 07/14/17 | | $ | 100,000 | | | | | $ | 122,095 | |
7.00%, 03/11/19 | | | 100,000 | | | | | | 124,725 | |
6.25%, 09/26/22 | | | 345,000 | | | | | | 430,905 | |
6.88%, 03/17/36 | | | 73,000 | | | | | | 98,824 | |
| | | | | | | | | | |
| | | | | | | | | 776,549 | |
| | | | | | | | | | |
| | |
United Arab Emirates — 0.8% | | | | | | | |
DP World, Ltd. | | | | | | | | | | |
6.85%, 07/02/37 144A | | | 1,500,000 | | | | | | 1,764,375 | |
| | | | | | | | | | |
| | |
United Kingdom — 2.7% | | | | | | | |
Anglian Water Osprey
Financing PLC | | | | | | | | | | |
7.00%, 01/31/18(U) | | | 160,000 | | | | | | 282,916 | |
Barclays Bank PLC | | | | | | | | | | |
6.00%, 01/23/18(E)D | | | 450,000 | | | | | | 674,912 | |
Boparan Finance PLC | | | | | | | | | | |
9.88%, 04/30/18
144A(U) | | | 100,000 | | | | | | 184,985 | |
HBOS PLC | | | | | | | | | | |
6.75%, 05/21/18 144A | | | 500,000 | | | | | | 540,625 | |
6.00%, 11/01/33 144A | | | 1,360,000 | | | | | | 1,242,999 | |
HSBC Holdings PLC | | | | | | | | | | |
6.00%, 06/10/19(E) | | | 270,000 | | | | | | 432,401 | |
Lloyds TSB Bank PLC | | | | | | | | | | |
6.50%, 03/24/20(E) | | | 326,000 | | | | | | 492,759 | |
Phones4u Finance PLC | | | | | | | | | | |
9.50%, 04/01/18
144A(U) | | | 130,000 | | | | | | 221,738 | |
Priory Group No. 3 PLC | | | | | | | | | | |
8.88%, 02/15/19(U) | | | 100,000 | | | | | | 168,131 | |
Southern Gas Networks PLC | | | | | | | | | | |
4.88%, 12/21/20(U) | | | 270,000 | | | | | | 496,811 | |
Tesco Property Finance 3 PLC | | | | | | | | | | |
5.74%, 04/13/40(U) | | | 279,290 | | | | | | 498,562 | |
Thames Water Kemble Finance PLC | | | | | | | | | | |
7.75%, 04/01/19(U) | | | 160,000 | | | | | | 282,981 | |
Vedanta Resources PLC | | | | | | | | | | |
8.75%, 01/15/14 | | | 210,000 | | | | | | 221,550 | |
6.75%, 06/07/16 144AD | | | 200,000 | | | | | | 211,500 | |
Virgin Media Finance PLC | | | | | | | | | | |
5.13%, 02/15/22(U)D | | | 250,000 | | | | | | 413,221 | |
| | | | | | | | | | |
| | | | | | | | | 6,366,091 | |
| | | | | | | | | | |
| | |
Venezuela — 1.2% | | | | | | | |
Venezuela Government
International Bond | | | | | | | | | | |
8.50%, 10/08/14D | | | 26,000 | | | | | | 26,728 | |
5.75%, 02/26/16D | | | 1,153,000 | | | | | | 1,103,997 | |
7.75%, 10/13/19 | | | 360,000 | | | | | | 341,100 | |
9.25%, 09/15/27D | | | 1,154,000 | | | | | | 1,159,770 | |
9.38%, 01/13/34D | | | 207,000 | | | | | | 205,965 | |
| | | | | | | | | | |
| | | | | | | | | 2,837,560 | |
| | | | | | | | | | |
| | |
Virgin Islands (British) — 0.1% | | | | | | | |
GTL Trade Finance, Inc. | | | | | | | | | | |
7.25%, 10/20/17 144AD | | | 189,000 | | | | | | 219,240 | |
| | | | | | | | | | |
| | | |
Total Foreign Bonds
(Cost $91,570,348) | | | | | | | | | 99,162,275 | |
| | | | | | | | | | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
LOAN AGREEMENTS — 0.0% | | | | | | | |
El Pollo Loco, Inc. | | | | | | | | | | | | |
9.25%, 07/14/17† | | | | $ | 29,550 | | | | | $ | 30,363 | |
Trico Shipping AS, | | | | | | | | | | | | |
Tranche A | | | | | | | | | | | | |
10.00%, 05/13/14†@ | | | | | 18,802 | | | | | | 18,708 | |
Trico Shipping AS, Tranche B | | | | | | | | | | | | |
1.00% - 10.00%, 05/13/14† | | | | | 33,104 | | | | | | 32,938 | |
| | | | | | | | | | | | |
| | | | |
Total Loan Agreements
(Cost $80,782) | | | | | | | | | | | 82,009 | |
| | | | | | | | | | | | |
|
MORTGAGE-BACKED SECURITIES — 4.6% | |
Credit Suisse Mortgage Capital Certificates | | | | | | | | | | | | |
5.70%, 09/15/40† | | | | | 220,000 | | | | | | 254,937 | |
Federal Home Loan Mortgage Corporation | | | | | | | | | | | | |
3.50%, 08/01/42 | | | | | 297,157 | | | | | | 317,169 | |
Federal National Mortgage Association | | | | | | | | | | | | |
3.00%, 01/01/26 TBA | | | | | 1,100,000 | | | | | | 1,161,016 | |
3.50%, 01/01/41 TBA | | | | | 4,600,000 | | | | | | 4,904,211 | |
3.00%, 01/01/43 TBA | | | | | 1,900,000 | | | | | | 1,990,844 | |
Government National Mortgage
Association | | | | | | | | | | | | |
3.50%, 01/01/41 TBA | | | | | 100,000 | | | | | | 108,633 | |
4.50%, 01/01/41 TBA | | | | | 400,000 | | | | | | 437,937 | |
3.00%, 01/01/43 TBA | | | | | 1,400,000 | | | | | | 1,488,297 | |
| | | | | | | | | | | | |
| | |
Total Mortgage-Backed Securities
(Cost $10,531,375) | | | | | | 10,663,044 | |
| | | | | | | | | | | | |
| | |
MUNICIPAL BOND — 0.2% | | | | | | | |
State of Illinois, General Obligation | | | | | | | | | | | | |
5.10%, 06/01/33 | | | | | | | | | | | | |
(Cost $331,315) | | | | | 435,000 | | | | | | 430,720 | |
| | | | | | | | | | | | |
| | | | |
| | | | | Number of
Contracts | | | | | | |
| | |
PURCHASED OPTIONS — 0.1% | | | | | | | |
Call Options — 0.1% | | | | | | | |
U.S. Dollar vs. European Currency Unit, Strike Price | | | | | | | | | | | | |
$1.25, Expires 02/05/13 | | | | | | | | | | | | |
(DEUT) | | | | | 78,620 | | | | | | 4,513 | |
U.S. Dollar vs. Japanese Yen, Strike Price $83.00, Expires | | | | | | | | | | | | |
02/15/13 (JPM) | | | | | 56,200 | | | | | | 246,847 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 251,360 | |
| | | | | | | | | | | | |
| | | | |
Total Purchased Options
(Cost $88,249) | | | | | | | | | | | 251,360 | |
| | | | | | | | | | | | |
| | | | |
| | | | | Par | | | | | | |
|
U.S. TREASURY OBLIGATIONS — 9.6% | |
U.S. Treasury Bonds | | | | | | | | | | | | |
3.50%, 02/15/39‡‡ | | | | $ | 2,360,000 | | | | | | 2,668,275 | |
4.25%, 05/15/39 | | | | | 40,000 | | | | | | 51,037 | |
4.63%, 02/15/40 | | | | | 140,000 | | | | | | 189,175 | |
3.88%, 08/15/40 | | | | | 30,000 | | | | | | 36,061 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,944,548 | |
| | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 141 |
| | | | | | | | | | |
| | | Par | | | Value | |
U.S. Treasury Notes | | | | | | | | | | |
1.00%, 05/15/14 | | $ | 10,000 | | | | | $ | 10,109 | |
2.63%, 07/31/14 | | | 50,000 | | | | | | 51,889 | |
0.25%, 08/31/14 | | | 2,255,000 | | | | | | 2,255,970 | |
0.25%, 09/30/14 | | | 5,100,000 | | | | | | 5,101,994 | |
2.38%, 09/30/14 | | | 110,000 | | | | | | 114,099 | |
0.25%, 10/31/14 | | | 2,860,000 | | | | | | 2,861,118 | |
0.13%, 12/31/14 | | | 2,780,000 | | | | | | 2,773,484 | |
1.25%, 08/31/15 | | | 90,000 | | | | | | 92,201 | |
0.25%, 10/15/15 | | | 2,310,000 | | | | | | 2,305,128 | |
0.38%, 11/15/15 | | | 2,855,000 | | | | | | 2,858,123 | |
0.25%, 12/15/15 | | | 620,000 | | | | | | 618,256 | |
0.75%, 10/31/17 | | | 20,000 | | | | | | 20,069 | |
1.25%, 10/31/19 | | | 110,000 | | | | | | 110,928 | |
2.00%, 02/15/22 | | | 120,000 | | | | | | 124,116 | |
1.63%, 08/15/22 | | | 150,000 | | | | | | 149,039 | |
| | | | | | | | | | |
| | | | | | | | | 19,446,523 | |
| | | | | | | | | | |
Total U.S. Treasury Obligations
(Cost $21,918,907) | | | | | | 22,391,071 | |
| | | | | | | | | | |
| | | |
| | | Shares | | | | | | |
COMMON STOCKS — 1.1% | | | | | | | |
Healthcare — 0.2% | | | | | | | | | | |
Bristol-Myers Squibb Co. | | | 15,400 | | | | | | 501,886 | |
| | | | | | | | | | |
Materials & Processing — 0.3% | | | | | | | |
Nortek, Inc.* | | | 36 | | | | | | 2,385 | |
PPG Industries, Inc. | | | 5,751 | | | | | | 778,398 | |
Rock-Tenn Co. Class A | | | 183 | | | | | | 12,794 | |
| | | | | | | | | | |
| | | | | | | | | 793,577 | |
| | | | | | | | | | |
Technology — 0.4% | | | | | | | | | | |
Corning, Inc. | | | 70,534 | | | | | | 890,139 | |
| | | | | | | | | | |
Utilities — 0.2% | | | | | | | | | | |
Dynegy, Inc.D* | | | 21,785 | | | | | | 416,747 | |
| | | | | | | | | | |
Total Common Stocks
(Cost $2,132,029) | | | | | | | | | 2,602,349 | |
| | | | | | | | | | |
|
FOREIGN COMMON STOCKS — 0.6% | |
Netherlands — 0.2% | | | | | | | | | | |
Royal Dutch Shell PLC ADRD | | | 6,443 | | | | | | 444,245 | |
| | | | | | | | | | |
| | | |
Norway — 0.1% | | | | | | | | | | |
Deep Ocean Group Holding+@ | | | 8,860 | | | | | | 179,619 | |
| | | | | | | | | | |
| | | |
Spain — 0.3% | | | | | | | | | | |
Repsol SA ADRD | | | 15,820 | | | | | | 330,638 | |
Telefonica SA ADRD | | | 22,180 | | | | | | 299,208 | |
| | | | | | | | | | |
| | | | | | | | | 629,846 | |
| | | | | | | | | | |
Total Foreign Common Stocks
(Cost $1,283,346) | | | | | | 1,253,710 | |
| | | | | | | | | | |
| | | | | | | | | | |
| | |
| | | Shares | | | Value | |
PREFERRED STOCKS — 1.2% | |
Ally Financial, Inc. | | | | | | | | | | |
CONV 144AD | | | 400 | | | | | $ | 392,862 | |
Bank of America | | | | | | | | | | |
Corporation CONV* | | | 602 | | | | | | 683,270 | |
El Paso Energy | | | | | | | | | | |
Capital Trust I CONVD | | | 500 | | | | | | 27,600 | |
Lucent Technologies | | | | | | | | | | |
Capital Trust I CONV | | | 1,891 | | | | | | 1,568,906 | |
| | | | | | | | | | |
| | | |
Total Preferred Stocks
(Cost $2,102,198) | | | | | | | | | 2,672,638 | |
| | | | | | | | | | |
|
RIGHTS/WARRANTS — 0.0% | |
Charter Communications, Inc. | | | | | | | | | | |
(Cost $48,002) | | | 110 | | | | | | 2,997 | |
| | | | | | | | | | |
|
MONEY MARKET FUNDS — 26.6% | |
GuideStone Money Market | | | | | | | | | | |
Fund (GS4 Class)¥ | | | 25,903,040 | | | | | | 25,903,040 | |
Northern Institutional Liquid | | | | | | | | | | |
Assets Portfolio§ | | | 36,111,093 | | | | | | 36,111,093 | |
| | | | | | | | | | |
| | |
Total Money Market Funds
(Cost $62,014,133) | | | | | | 62,014,133 | |
| | | | | | | | | | |
| | |
TOTAL INVESTMENTS — 118.6%
(Cost $255,775,294) | | | | | | 276,093,949 | |
| | |
Liabilities in Excess of Other
Assets — (18.6)% | | | | | | (43,238,334 | ) |
| | | | | | | | | | |
| | | |
NET ASSETS — 100.0% | | | | | | | | $ | 232,855,615 | |
| | | | | | | | | | |
PORTFOLIO SUMMARY (based on net assets)
| | | | |
| | | % | |
Foreign Bonds | | | 42.6 | |
Corporate Bonds | | | 32.0 | |
Money Market Funds | | | 26.6 | |
U.S. Treasury Obligations | | | 9.6 | |
Mortgage-Backed Securities | | | 4.6 | |
Preferred Stocks | | | 1.2 | |
Common Stocks | | | 1.1 | |
Foreign Common Stocks | | | 0.6 | |
Municipal Bond | | | 0.2 | |
Purchased Options | | | 0.1 | |
Loan Agreements | | | — | ** |
Rights/Warrants | | | — | ** |
Forward Foreign Currency Contracts | | | (3.4 | ) |
Futures Contracts | | | (5.1 | ) |
| | | | |
| | | 110.1 | |
| | | | |
| ** | Rounds to less than 0.005%. |
| | | | |
| 142 | | See Notes to Financial Statements. | | |
GLOBAL BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2012, 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 | | | $ | 2,602,349 | | | | $ | 2,599,964 | | | | $ | — | | | | $ | 2,385 | |
Corporate Bonds | | | | 74,567,643 | | | | | — | | | | | 69,876,379 | | | | | 4,691,264 | |
Foreign Bonds | | | | 99,162,275 | | | | | — | | | | | 97,289,825 | | | | | 1,872,450 | |
Foreign Common Stocks | | | | 1,253,710 | | | | | 1,074,091 | | | | | — | | | | | 179,619 | |
Loan Agreements | | | | 82,009 | | | | | — | | | | | 51,646 | | | | | 30,363 | |
Money Market Funds | | | | 62,014,133 | | | | | 62,014,133 | | | | | — | | | | | — | |
Mortgage-Backed Securities | | | | 10,663,044 | | | | | — | | | | | 10,663,044 | | | | | — | |
Municipal Bond | | | | 430,720 | | | | | — | | | | | 430,720 | | | | | — | |
Preferred Stocks | | | | 2,672,638 | | | | | 2,279,776 | | | | | — | | | | | 392,862 | |
Purchased Options | | | | 251,360 | | | | | — | | | | | 251,360 | | | | | — | |
U.S. Treasury Obligations | | | | 22,391,071 | | | | | — | | | | | 22,391,071 | | | | | — | |
Rights/Warrants | | | | 2,997 | | | | | 2,997 | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | | $ | 276,093,949 | | | | $ | 67,970,961 | | | | $ | 200,954,045 | | | | $ | 7,168,943 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | $ | 74,491 | | | | $ | 74,491 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | | $ | 74,491 | | | | $ | 74,491 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | | $ | (1,206,112 | ) | | | $ | — | | | | $ | (1,206,112 | ) | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Liabilities - Other Financial Instruments | | | $ | (1,206,112 | ) | | | $ | — | | | | $ | (1,206,112 | ) | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
***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.
There were no transfers between Level 1 and Level 2 during the year ended December 31, 2012.
The unobservable inputs used in the fair value measurement of the reporting entity’s common stock, corporate bonds, foreign bonds, foreign common stock, loan agreement and preferred stock are values based on evaluated quotations received from dealers who make markets in such securities. Significant increases (decreases) in those evaluated quotations would result in a significantly higher (lower) fair value measurement.
| | | | |
| | See Notes to Financial Statements. | | 143 |
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Total
Value | | Common
Stock | | Corporate
Bonds | | Foreign
Bonds | | Foreign
Common
Stock | | Loan
Agreement | | Preferred
Stock | | Rights/
Warrants |
Balance, 12/31/11 | | | $ | 147,752 | | | | $ | — | | | | $ | — | | | | $ | 8,252 | | | | $ | 130,685 | | | | $ | — | | | | $ | — | | | | $ | 8,815 | |
Accrued discounts/premiums | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
Realized gain (loss)(1) | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
Change in unrealized appreciation (depreciation)(2) | | | | 130,781 | | | | | — | | | | | 92,313 | | | | | (1,651 | ) | | | | 48,934 | | | | | — | | | | | — | | | | | (8,815 | ) |
Purchases | | | | 1,704,999 | | | | | — | | | | | 1,704,999 | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
Sales | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
Transfers in to Level 3(3) | | | | 5,185,411 | | | | | 2,385 | | | | | 2,893,952 | | | | | 1,865,849 | | | | | — | | | | | 30,363 | | | | | 392,862 | | | | | — | |
Transfers out of Level 3 | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
Maturities | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
Paydowns | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance, 12/31/12 | | | $ | 7,168,943 | | | | $ | 2,385 | | | | $ | 4,691,264 | | | | $ | 1,872,450 | | | | $ | 179,619 | | | | $ | 30,363 | | | | $ | 392,862 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (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. |
| (2) | Change in unrealized appreciation (depreciation) can be found on the Statement of Operations in Net change in unrealized appreciation (depreciation) on investment securities. |
| (3) | Transfers into Level 3 represent the value of securities at December 31, 2012 that were transferred from Level 1 and Level 2 to Level 3 of the fair value hierarchy as a result of the inability of the Fund to obtain a price which was determined using observable inputs. |
| | | | |
| 144 | | See Notes to Financial Statements. | | |
| | |
| STATEMENTS OF ASSETS AND LIABILITIES | | December 31, 2012 |
| | | | | | | | |
| | | Money
Market Fund | | | Low-Duration
Bond Fund | |
Assets | | | | | | | | |
Investments in securities of unaffiliated issuers, at value | | $ | 1,236,905,789 | | | $ | 803,395,705 | |
Investments in repurchase agreements, at value | | | — | | | | 69,800,000 | |
Investments in securities of affiliated issuers, at value | | | — | | | | 16,500,802 | |
| | | | | | | | |
Total investments (1)(2) | | | 1,236,905,789 | | | | 889,696,507 | |
Cash | | | 286 | | | | 1,387,121 | |
Cash collateral for derivatives | | | — | | | | 495,000 | |
Foreign currency(3) | | | — | | | | 511,286 | |
Receivables: | | | | | | | | |
Dividends and reclaims | | | — | | | | 205 | |
Interest | | | 308,191 | | | | 3,550,076 | |
Securities lending | | | — | | | | 5,147 | |
Investment securities sold | | | — | | | | 31,913,071 | |
Maturities | | | — | | | | 44,582 | |
Fund shares sold | | | 7,022,378 | | | | 513,991 | |
Variation margin on financial futures contracts | | | — | | | | 4,232 | |
Unrealized appreciation on foreign currency exchange contracts | | | — | | | | 325,179 | |
Unrealized appreciation on swap agreements | | | — | | | | 2,530,446 | |
Prepaid expenses and other assets | | | 44,578 | | | | 26,285 | |
| | | | | | | | |
Total Assets | | | 1,244,281,222 | | | | 931,003,128 | |
| | | | | | | | |
Liabilities | | | | | | | | |
TBA sale commitments, at value (4) | | | — | | | | 15,132,344 | |
Options written at value (5) | | | — | | | | 473,915 | |
Unrealized depreciation on foreign currency exchange contracts | | | — | | | | 1,882,225 | |
Unrealized depreciation on swap agreements | | | — | | | | 196,163 | |
Collateral held for securities on loan at value | | | — | | | | 37,397,181 | |
Collateral held for derivatives | | | — | | | | 1,660,000 | |
Payables: | | | | | | | | |
Investment securities purchased | | | — | | | | 59,774,515 | |
Fund shares redeemed | | | 5,558,958 | | | | 5,500 | |
Variation margin on exchange traded swaps | | | — | | | | 419,662 | |
Variation margin on financial futures contracts | | | — | | | | 2,229 | |
Distributions | | | 6,431 | | | | — | |
Securities lending | | | — | | | | 1,029 | |
Accrued expenses: | | | | | | | | |
Investment advisory fees | | | 167,482 | | | | 177,598 | |
Shareholder servicing fees | | | 66,057 | | | | 136,373 | |
Other expenses | | | 62,772 | | | | 118,977 | |
| | | | | | | | |
Total Liabilities | | | 5,861,700 | | | | 117,377,711 | |
| | | | | | | | |
Net Assets | | $ | 1,238,419,522 | | | $ | 813,625,417 | |
| | | | | | | | |
Net Assets Consist of: | | | | | | | | |
Paid-in-capital | | $ | 1,238,406,947 | | | $ | 806,924,098 | |
Undistributed (distributions in excess of) net investment income | | | — | | | | 281,687 | |
Undistributed (accumulated) net realized gain (loss) on investments, foreign currency translations and derivative transactions | | | 12,575 | | | | 115,947 | |
Net unrealized appreciation (depreciation) on investments, foreign currency translations and derivative transactions | | | — | | | | 6,303,685 | |
| | | | | | | | |
Net Assets | | $ | 1,238,419,522 | | | $ | 813,625,417 | |
| | | | | | | | |
Net Asset Value: | | | | | | | | |
$0.001 par value, unlimited shares authorized | | | | | | | | |
Net assets applicable to the GS2 Class | | $ | 106,663,742 | | | $ | 135,525,869 | |
| | | | | | | | |
GS2 shares outstanding | | | 106,658,389 | | | | 15,566,000 | |
| | | | | | | | |
Net asset value, offering and redemption price per GS2 share | | $ | 1.00 | | | $ | 8.71 | |
| | | | | | | | |
Net assets applicable to the GS4 Class | | $ | 1,131,755,780 | | | $ | 678,099,548 | |
| | | | | | | | |
GS4 shares outstanding | | | 1,131,713,911 | | | | 50,173,212 | |
| | | | | | | | |
Net asset value, offering and redemption price per GS4 share | | $ | 1.00 | | | $ | 13.52 | |
| | | | | | | | |
| | | | | | | | |
(1) Investments in securities of unaffiliated issuers, at cost | | $ | 1,236,905,789 | | | $ | 796,427,841 | |
Investmentsin repurchase agreements, at cost | | | — | | | | 69,800,000 | |
Investmentsin securities of affiliated issuers, at cost | | | — | | | | 16,500,802 | |
| | | | | | | | |
Total investments at cost | | $ | 1,236,905,789 | | | $ | 882,728,643 | |
| | | | | | | | |
(2) Includes securities loaned of: | | $ | — | | | $ | 36,327,987 | |
| | | | | | | | |
(3) Foreign currency at cost | | $ | — | | | $ | 513,319 | |
| | | | | | | | |
(4) TBA sale commitments at cost | | $ | — | | | $ | 15,115,625 | |
| | | | | | | | |
(5) Premiums received on options written | | $ | — | | | $ | 586,250 | |
| | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 145 |
| | | | | | | | | | | | | | |
Medium-Duration Bond Fund | | | Extended-Duration
Bond Fund | | | Inflation Protected
Bond Fund | | | Global
Bond Fund | |
| | | |
| $ | 910,147,483 | | | $ | 483,115,312 | | | $ | 173,665,106 | | | $ | 250,190,909 | |
| | 67,200,000 | | | | — | | | | — | | | | — | |
| | 74,103,756 | | | | 17,748,920 | | | | 22,757,052 | | | | 25,903,040 | |
| | | | | | | | | | | | | | |
| | 1,051,451,239 | | | | 500,864,232 | | | | 196,422,158 | | | | 276,093,949 | |
| | 958,499 | | | | 16,310 | | | | — | | | | 129,378 | |
| | 884,966 | | | | — | | | | — | | | | 500,000 | |
| | 1,083,700 | | | | — | | | | — | | | | 580,733 | |
| | 623 | | | | 145 | | | | 153 | | | | 19,602 | |
| | 4,910,861 | | | | 5,272,291 | | | | 787,698 | | | | 2,991,896 | |
| | 6,382 | | | | 4,184 | | | | — | | | | 6,528 | |
| | 69,611,968 | | | | — | | | | 518,039 | | | | 232,864 | |
| | 447 | | | | — | | | | — | | | | — | |
| | 74,320 | | | | 103,979 | | | | 104,265 | | | | 93,484 | |
| | 60,828 | | | | — | | | | 71,547 | | | | 32,328 | |
| | 677,386 | | | | — | | | | — | | | | 189,231 | |
| | 3,967,359 | | | | — | | | | — | | | | — | |
| | 25,059 | | | | 17,543 | | | | 11,907 | | | | 18,994 | |
| | | | | | | | | | | | | | |
| | 1,133,713,637 | | | | 506,278,684 | | | | 197,915,767 | | | | 280,888,987 | |
| | | | | | | | | | | | | | |
| | | |
| | 10,568,750 | | | | — | | | | — | | | | — | |
| | 567,726 | | | | — | | | | — | | | | — | |
| | 2,223,195 | | | | — | | | | — | | | | 1,395,343 | |
| | 756,063 | | | | — | | | | — | | | | — | |
| | 51,587,361 | | | | 34,681,684 | | | | — | | | | 36,111,093 | |
| | 1,585,000 | | | | — | | | | — | | | | — | |
| | 192,770,932 | | | | — | | | | — | | | | 10,324,444 | |
| | 210,353 | | | | 300,708 | | | | 24,552 | | | | 11,338 | |
| | 362,243 | | | | — | | | | — | | | | — | |
| | 51,574 | | | | — | | | | — | | | | — | |
| | — | | | | — | | | | — | | | | — | |
| | 1,277 | | | | 837 | | | | — | | | | 1,305 | |
| | 236,793 | | | | 178,512 | | | | 48,846 | | | | 84,033 | |
| | 125,740 | | | | 78,281 | | | | 40,061 | | | | 46,847 | |
| | 156,121 | | | | 65,507 | | | | 40,012 | | | | 58,969 | |
| | | | | | | | | | | | | | |
| | 261,203,128 | | | | 35,305,529 | | | | 153,471 | | | | 48,033,372 | |
| | | | | | | | | | | | | | |
| $ | 872,510,509 | | | $ | 470,973,155 | | | $ | 197,762,296 | | | $ | 232,855,615 | |
| | | | | | | | | | | | | | |
| | | |
| $ | 844,713,156 | | | $ | 401,055,442 | | | $ | 184,697,103 | | | $ | 224,649,832 | |
| | 785,897 | | | | (661 | ) | | | 11,998 | | | | (192,456 | ) |
| | | |
| | (661,707 | ) | | | 2,801,138 | | | | 748,794 | | | | (10,818,906 | ) |
| | | |
| | 27,673,163 | | | | 67,117,236 | | | | 12,304,401 | | | | 19,217,145 | |
| | | | | | | | | | | | | | |
| $ | 872,510,509 | | | $ | 470,973,155 | | | $ | 197,762,296 | | | $ | 232,855,615 | |
| | | | | | | | | | | | | | |
| | | |
| $ | 251,565,379 | | | $ | 86,267,776 | | | | N/A | | | | N/A | |
| | | | | | | | | | | | | | |
| | 34,388,646 | | | | 13,568,009 | | | | N/A | | | | N/A | |
| | | | | | | | | | | | | | |
| $ | 7.32 | | | $ | 6.36 | | | | N/A | | | | N/A | |
| | | | | | | | | | | | | | |
| $ | 620,945,130 | | | $ | 384,705,379 | | | $ | 197,762,296 | | | $ | 232,855,615 | |
| | | | | | | | | | | | | | |
| | 42,306,572 | | | | 20,703,990 | | | | 17,574,725 | | | | 22,441,410 | |
| | | | | | | | | | | | | | |
| $ | 14.68 | | | $ | 18.58 | | | $ | 11.25 | | | $ | 10.38 | |
| | | | | | | | | | | | | | |
| | | |
| $ | 883,454,877 | | | $ | 416,004,216 | | | $ | 161,487,290 | | | $ | 229,872,254 | |
| | 67,200,000 | | | | — | | | | — | | | | — | |
| | 74,103,756 | | | | 17,748,920 | | | | 22,757,052 | | | | 25,903,040 | |
| | | | | | | | | | | | | | |
| $ | 1,024,758,633 | | | $ | 433,753,136 | | | $ | 184,244,342 | | | $ | 255,775,294 | |
| | | | | | | | | | | | | | |
| | | |
| $ | 50,308,882 | | | $ | 33,706,223 | | | $ | — | | | $ | 35,007,811 | |
| | | | | | | | | | | | | | |
| $ | 1,079,933 | | | $ | — | | | $ | — | | | $ | 579,184 | |
| | | | | | | | | | | | | | |
| $ | 10,529,531 | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | |
| $ | 702,140 | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | |
| | | | |
| 146 | | See Notes to Financial Statements. | | |
| | |
| STATEMENTS OF OPERATIONS | | For the Year Ended December 31, 2012 |
| | | | | | | | |
| | | Money
Market Fund | | | Low-Duration
Bond Fund | |
Investment Income | | | | | | | | |
Dividends | | $ | — | | | $ | — | |
Income distributions received from affiliated funds | | | — | | | | 3,135 | |
Interest | | | 3,647,682 | | | | 15,948,235 | |
Securities lending | | | 2,239 | | | | 70,602 | |
Less foreign taxes withheld | | | — | | | | — | |
| | | | | | | | |
Total Investment Income | | | 3,649,921 | | | | 16,021,972 | |
| | | | | | | | |
Expenses | | | | | | | | |
Investment advisory fees | | | 2,008,874 | | | | 2,647,608 | |
Transfer agent fees: | | | | | | | | |
GS2 shares | | | 4,128 | | | | 4,155 | |
GS4 shares | | | 41,877 | | | | 27,528 | |
Custodian fees | | | 28,705 | | | | 103,676 | |
Shareholder servicing fees: | | | | | | | | |
GS4 shares | | | 2,845,771 | | | | 1,575,347 | |
Accounting and administration fees | | | 271,549 | | | | 273,789 | |
Professional fees | | | 48,019 | | | | 73,217 | |
Blue sky fees: | | | | | | | | |
GS2 shares | | | 4,654 | | | | 3,686 | |
GS4 shares | | | 35,706 | | | | 17,575 | |
Shareholder reporting fees: | | | | | | | | |
GS2 shares | | | 830 | | | | 766 | |
GS4 shares | | | 44,440 | | | | 18,609 | |
Trustee expenses | | | 14,899 | | | | 9,507 | |
Line of credit facility fees | | | 14,610 | | | | 8,772 | |
Other expenses | | | 40,935 | | | | 47,137 | |
| | | | | | | | |
Total expenses | | | 5,404,997 | | | | 4,811,372 | |
Expenses waived/reimbursed net of amount recaptured(1) | | | (1,981,302 | ) | | | (620,273 | ) |
| | | | | | | | |
Net expenses | | | 3,423,695 | | | | 4,191,099 | |
| | | | | | | | |
| | |
Net Investment Income | | | 226,226 | | | | 11,830,873 | |
| | | | | | | | |
| | |
Realized and Unrealized Gain (Loss) | | | | | | | | |
Net realized gain (loss) from: | | | | | | | | |
Investment securities | | | 43,215 | | | | 3,176,951 | |
Investment securities sold short | | | — | | | | (406,553 | ) |
Futures transactions | | | — | | | | (397,974 | ) |
Swap agreements | | | — | | | | 233,263 | |
Option contracts written | | | — | | | | 103,021 | |
Option contracts purchased | | | — | | | | (88,529 | ) |
Foreign currency transactions | | | — | | | | (1,358,375 | ) |
| | | | | | | | |
| | |
Net realized gain (loss) | | | 43,215 | | | | 1,261,804 | |
| | | | | | | | |
| | |
Net change in unrealized appreciation (depreciation) on: | | | | | | | | |
Investment securities | | | — | | | | 21,298,074 | |
Investment securities sold short | | | — | | | | 135,937 | |
Futures | | | — | | | | 71,844 | |
Swap agreements | | | — | | | | (566,573 | ) |
Option contracts written | | | — | | | | 79,735 | |
Option contracts purchased | | | — | | | | (7,689 | ) |
Foreign currency translation | | | — | | | | (2,451,556 | ) |
| | | | | | | | |
| | |
Net change in unrealized appreciation (depreciation) | | | — | | | | 18,559,772 | |
| | | | | | | | |
Net Realized and Unrealized Gain | | | 43,215 | | | | 19,821,576 | |
| | | | | | | | |
Net Increase in Net Assets Resulting from Operations | | $ | 269,441 | | | $ | 31,652,449 | |
| | | | | | | | |
| (1) | See Note 3a and 3c in Notes to Financial Statements. |
| | | | |
| | See Notes to Financial Statements. | | 147 |
| | | | | | | | | | | | | | |
Medium-Duration
Bond Fund | | | Extended-Duration
Bond Fund | | | Inflation Protected
Bond Fund | | | Global Bond
Fund | |
| | | | | | | | | | | | | | |
| $ | 192,126 | | | $ | 20,096 | | | $ | — | | | $ | 355,012 | |
| | 9,099 | | | | 1,154 | | | | 1,117 | | | | 2,648 | |
| | 25,197,963 | | | | 23,026,447 | | | | 4,385,134 | | | | 9,881,969 | |
| | 80,506 | | | | 43,123 | | | | 4,340 | | | | 76,224 | |
| | — | | | | — | | | | — | | | | (7,999 | ) |
| | | | | | | | | | | | | | |
| | 25,479,694 | | | | 23,090,820 | | | | 4,390,591 | | | | 10,307,854 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | 3,805,863 | | | | 2,071,683 | | | | 563,263 | | | | 921,054 | |
| | | | | | | | | | | | | | |
| | 4,145 | | | | 4,057 | | | | — | | | | — | |
| | 29,141 | | | | 28,891 | | | | 23,169 | | | | 19,995 | |
| | 202,305 | | | | 24,713 | | | | 24,503 | | | | 44,018 | |
| | | | | | | | | | | | | | |
| | 1,604,023 | | | | 871,432 | | | | 428,886 | | | | 472,466 | |
| | 362,063 | | | | 130,835 | | | | 43,671 | | | | 109,044 | |
| | 73,137 | | | | 59,320 | | | | 50,691 | | | | 61,264 | |
| | | | | | | | | | | | | | |
| | 3,704 | | | | 3,641 | | | | — | | | | — | |
| | 17,092 | | | | 16,048 | | | | 25,433 | | | | 16,459 | |
| | | | | | | | | | | | | | |
| | 747 | | | | 529 | | | | — | | | | — | |
| | 21,504 | | | | 21,297 | | | | 11,490 | | | | 5,453 | |
| | 10,908 | | | | 5,880 | | | | 3,079 | | | | 3,270 | |
| | 10,306 | | | | 4,890 | | | | 1,962 | | | | 2,089 | |
| | 108,446 | | | | 15,486 | | | | 9,329 | | | | 30,675 | |
| | | | | | | | | | | | | | |
| | 6,253,384 | | | | 3,258,702 | | | | 1,185,476 | | | | 1,685,787 | |
| | (904,834 | ) | | | (109,541 | ) | | | (26,120 | ) | | | (61,681 | ) |
| | | | | | | | | | | | | | |
| | 5,348,550 | | | | 3,149,161 | | | | 1,159,356 | | | | 1,624,106 | |
| | | | | | | | | | | | | | |
| | | |
| | 20,131,144 | | | | 19,941,659 | | | | 3,231,235 | | | | 8,683,748 | |
| | | | | | | | | | | | | | |
| | | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | 16,787,134 | | | | 15,673,759 | | | | 4,838,723 | | | | 2,606,267 | |
| | (451,934 | ) | | | — | | | | — | | | | — | |
| | 62,384 | | | | — | | | | 230,578 | | | | (195,251 | ) |
| | 706,268 | | | | — | | | | — | | | | — | |
| | 290,292 | | | | — | | | | — | | | | — | |
| | (230,457 | ) | | | — | | | | — | | | | (688 | ) |
| | 262,902 | | | | (48,780 | ) | | | — | | | | 733,757 | |
| | | | | | | | | | | | | | |
| | | |
| | 17,426,589 | | | | 15,624,979 | | | | 5,069,301 | | | | 3,144,085 | |
| | | | | | | | | | | | | | |
| | | |
| | | | | | | | | | | | | | |
| | 29,808,206 | | | | 26,213,310 | | | | 1,796,164 | | | | 12,595,248 | |
| | 20,390 | | | | — | | | | — | | | | — | |
| | (111,957 | ) | | | — | | | | 160,016 | | | | 65,464 | |
| | 1,391,357 | | | | — | | | | — | | | | — | |
| | 86,340 | | | | — | | | | — | | | | — | |
| | (34,152 | ) | | | — | | | | — | | | | 163,111 | |
| | (979,781 | ) | | | 21,277 | | | | 3,181 | | | | (1,924,559 | ) |
| | | | | | | | | | | | | | |
| | | |
| | 30,180,403 | | | | 26,234,587 | | | | 1,959,361 | | | | 10,899,264 | |
| | | | | | | | | | | | | | |
| | 47,606,992 | | | | 41,859,566 | | | | 7,028,662 | | | | 14,043,349 | |
| | | | | | | | | | | | | | |
| $ | 67,738,136 | | | $ | 61,801,225 | | | $ | 10,259,897 | | | $ | 22,727,097 | |
| | | | | | | | | | | | | | |
| | | | |
| 148 | | See Notes to Financial Statements. | | |
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Money Market Fund | |
| |
| | | For the Year Ended | |
| | |
| | | 12/31/12 | | | 12/31/11 | |
Operations: | | | | | | | | |
Net investment income | | $ | 226,226 | | | $ | 236,938 | |
Net realized gain on investment securities, foreign currency transactions and derivative transactions | | | 43,215 | | | | 6,991 | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency translations and derivative transactions | | | — | | | | — | |
| | | | | | | | |
Net increase in net assets resulting from operations | | | 269,441 | | | | 243,929 | |
| | | | | | | | |
Dividends and Distributions to Shareholders: | | | | | | | | |
Dividends from net investment income | | | | | | | | |
GS2 shares | | | (107,325 | ) | | | (112,938 | ) |
GS4 shares | | | (118,901 | ) | | | (124,000 | ) |
Distributions from net realized capital gains | | | | | | | | |
GS2 shares | | | (2,502 | ) | | | (1,243 | ) |
GS4 shares | | | (28,176 | ) | | | (12,969 | ) |
| | | | | | | | |
Total dividends and distributions | | | (256,904 | ) | | | (251,150 | ) |
| | | | | | | | |
Capital Share Transactions: | | | | | | | | |
Proceeds from shares sold | | | | | | | | |
GS2 shares | | | 83,682,824 | | | | 154,616,809 | |
GS4 shares | | | 3,411,426,687 | | | | 3,912,748,853 | |
Reinvestment of dividends and distributions | | | | | | | | |
GS2 shares | | | 96,490 | | | | 100,970 | |
GS4 shares | | | 73,574 | | | | 61,686 | |
| | | | | | | | |
Total proceeds from shares sold and reinvested | | | 3,495,279,575 | | | | 4,067,528,318 | |
| | | | | | | | |
Value of shares redeemed | | | | | | | | |
GS2 shares | | | (93,414,476 | ) | | | (157,730,463 | ) |
GS4 shares | | | (3,441,385,826 | ) | | | (3,931,314,442 | ) |
| | | | | | | | |
Total value of shares redeemed | | | (3,534,800,302 | ) | | | (4,089,044,905 | ) |
| | | | | | | | |
Net increase (decrease) from capital share transactions(1) | | | (39,520,727 | ) | | | (21,516,587 | ) |
| | | | | | | | |
Total increase (decrease) in net assets | | | (39,508,190 | ) | | | (21,523,808 | ) |
| | | | | | | | |
Net Assets: | | | | | | | | |
Beginning of Year | | | 1,277,927,712 | | | | 1,299,451,520 | |
| | | | | | | | |
End of Year* | | $ | 1,238,419,522 | | | $ | 1,277,927,712 | |
| | | | | | | | |
*Including undistributed (distributions in excess of) net investment income | | $ | — | | | $ | 38 | |
| | | | | | | | |
| (1) | See Note 6 in Notes to Financial Statements. |
| | | | |
| | See Notes to Financial Statements. | | 149 |
| | | | | | | | | | | | | | |
Low-Duration
Bond Fund | | | Medium-Duration
Bond Fund | |
| |
| For the Year Ended | | | For the Year Ended | |
| | | |
| 12/31/12 | | | 12/31/11 | | | 12/31/12 | | | 12/31/11 | |
| | | | | | | | | | | | | | |
| $ | 11,830,873 | | | $ | 12,392,085 | | | $ | 20,131,144 | | | $ | 23,025,976 | |
| | | |
| | 1,261,804 | | | | 5,973,137 | | | | 17,426,589 | | | | 18,058,795 | |
| | | |
| | 18,559,772 | | | | (6,790,004 | ) | | | 30,180,403 | | | | 14,043,152 | |
| | | | | | | | | | | | | | |
| | 31,652,449 | | | | 11,575,218 | | | | 67,738,136 | | | | 55,127,923 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | (3,309,118) | | | | (3,504,911 | ) | | | (9,108,772 | ) | | | (11,027,359 | ) |
| | (9,695,948) | | | | (9,679,718 | ) | | | (11,859,266 | ) | | | (14,780,466 | ) |
| | | | | | | | | | | | | | |
| | (380,466) | | | | (435,539 | ) | | | (6,691,198 | ) | | | (4,078,282 | ) |
| | (1,245,870) | | | | (1,363,124 | ) | | | (8,571,353 | ) | | | (5,778,384 | ) |
| | | | | | | | | | | | | | |
| | (14,631,402) | | | | (14,983,292 | ) | | | (36,230,589 | ) | | | (35,664,491 | ) |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | 15,089,463 | | | | 16,099,588 | | | | 25,136,437 | | | | 21,121,078 | |
| | 136,297,000 | | | | 78,836,387 | | | | 67,278,339 | | | | 64,360,174 | |
| | | | | | | | | | | | | | |
| | 3,678,833 | | | | 3,936,833 | | | | 15,787,476 | | | | 15,099,539 | |
| | 10,939,056 | | | | 11,038,772 | | | | 20,426,709 | | | | 20,555,211 | |
| | | | | | | | | | | | | | |
| | 166,004,352 | | | | 109,911,580 | | | | 128,628,961 | | | | 121,136,002 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | (7,405,946) | | | | (24,039,673 | ) | | | (19,481,717 | ) | | | (44,591,542 | ) |
| | (106,169,179) | | | | (46,883,049 | ) | | | (132,385,936 | ) | | | (82,217,273 | ) |
| | | | | | | | | | | | | | |
| | (113,575,125) | | | | (70,922,722 | ) | | | (151,867,653 | ) | | | (126,808,815 | ) |
| | | | | | | | | | | | | | |
| | 52,429,227 | | | | 38,988,858 | | | | (23,238,692 | ) | | | (5,672,813 | ) |
| | | | | | | | | | | | | | |
| | 69,450,274 | | | | 35,580,784 | | | | 8,268,855 | | | | 13,790,619 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | 744,175,143 | | | | 708,594,359 | | | | 864,241,654 | | | | 850,451,035 | |
| | | | | | | | | | | | | | |
| $ | 813,625,417 | | | $ | 744,175,143 | | | $ | 872,510,509 | | | $ | 864,241,654 | |
| | | | | | | | | | | | | | |
| $ | 281,687 | | | $ | 1,213,905 | | | $ | 785,897 | | | $ | (1,003,403 | ) |
| | | | | | | | | | | | | | |
| | | | |
| 150 | | See Notes to Financial Statements. | | |
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Extended-Duration
Bond Fund | |
| |
| | | For the Year Ended | |
| | |
| | | 12/31/12 | | | 12/31/11 | |
Operations: | | | | | | | | |
Net investment income | | $ | 19,941,659 | | | $ | 20,862,046 | |
Net realized gain (loss) on investment securities, foreign currency transactions and derivative transactions | | | 15,624,979 | | | | 16,889,053 | |
Net change in unrealized appreciation on investment securities, foreign currency translations and derivative transactions | | | 26,234,587 | | | | 11,984,957 | |
| | | | | | | | |
Net increase in net assets resulting from operations | | | 61,801,225 | | | | 49,736,056 | |
| | | | | | | | |
Dividends and Distributions to Shareholders: | | | | | | | | |
Dividends from net investment income | | | | | | | | |
GS2 shares | | | (7,919,753 | ) | | | (7,964,758 | ) |
GS4 shares | | | (12,163,609 | ) | | | (13,885,510 | ) |
Distributions from net realized capital gains | | | | | | | | |
GS2 shares | | | (5,298,065 | ) | | | (6,179,790 | ) |
GS4 shares | | | (8,532,365 | ) | | | (10,868,828 | ) |
| | | | | | | | |
Total dividends and distributions | | | (33,913,792 | ) | | | (38,898,886 | ) |
| | | | | | | | |
Capital Share Transactions: | | | | | | | | |
Proceeds from shares sold | | | | | | | | |
GS2 shares | | | 11,430,897 | | | | 9,682,470 | |
GS4 shares | | | 63,160,350 | | | | 58,099,153 | |
Reinvestment of dividends and distributions | | | | | | | | |
GS2 shares | | | 13,205,389 | | | | 14,128,478 | |
GS4 shares | | | 20,684,630 | | | | 24,748,569 | |
| | | | | | | | |
Total proceeds from shares sold and reinvested | | | 108,481,266 | | | | 106,658,670 | |
| | | | | | | | |
Value of shares redeemed | | | | | | | | |
GS2 shares | | | (11,242,800 | ) | | | (17,170,249 | ) |
GS4 shares | | | (59,622,352 | ) | | | (105,356,290 | ) |
| | | | | | | | |
Total value of shares redeemed | | | (70,865,152 | ) | | | (122,526,539 | ) |
| | | | | | | | |
Net increase (decrease) from capital share transactions(1) | | | 37,616,114 | | | | (15,867,869 | ) |
| | | | | | | | |
Total increase (decrease) in net assets | | | 65,503,547 | | | | (5,030,699 | ) |
| | | | | | | | |
Beginning of Period | | | | | | | | |
Beginning of Year | | | 405,469,608 | | | | 410,500,307 | |
| | | | | | | | |
End of Year* | | $ | 470,973,155 | | | $ | 405,469,608 | |
| | | | | | | | |
*Including undistributed (distributions in excess of) net investment income | | $ | (661 | ) | | $ | 106,406 | |
| | | | | | | | |
| (1) | See Note 6 in Notes to Financial Statements. |
| | | | |
| | See Notes to Financial Statements. | | 151 |
| | | | | | | | | | | | | | |
Inflation
Protected
Bond Fund | | | Global
Bond Fund | |
| |
| For the Year Ended | | | For the Year Ended | |
| | | |
| 12/31/12 | | | 12/31/11 | | | 12/31/12 | | | 12/31/11 | |
| | | | | | | | | | | | | | |
| $ | 3,231,235 | | | $ | 3,531,837 | | | $ | 8,683,748 | | | $ | 8,725,553 | |
| | | |
| | 5,069,301 | | | | 3,591,541 | | | | 3,144,085 | | | | (2,617,065 | ) |
| | | |
| | 1,959,361 | | | | 7,829,782 | | | | 10,899,264 | | | | 999,234 | |
| | | | | | | | | | | | | | |
| | 10,259,897 | | | | 14,953,160 | | | | 22,727,097 | | | | 7,107,722 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | — | | | | — | | | | — | | | | — | |
| | (3,186,492) | | | | (3,711,792 | ) | | | (10,523,011 | ) | | | (8,997,511 | ) |
| | | | | | | | | | | | | | |
| | — | | | | — | | | | — | | | | — | |
| | (6,129,916) | | | | (2,460,477 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | |
| | (9,316,408) | | | | (6,172,269 | ) | | | (10,523,011 | ) | | | (8,997,511 | ) |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | — | | | | — | | | | — | | | | — | |
| | 52,030,483 | | | | 75,023,418 | | | | 51,652,945 | | | | 31,454,693 | |
| | | | | | | | | | | | | | |
| | — | | | | — | | | | — | | | | — | |
| | 9,312,059 | | | | 6,171,549 | | | | 10,522,963 | | | | 8,996,898 | |
| | | | | | | | | | | | | | |
| | 61,342,542 | | | | 81,194,967 | | | | 62,175,908 | | | | 40,451,591 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | — | | | | — | | | | — | | | | — | |
| | (27,679,464) | | | | (34,645,081 | ) | | | (11,691,609 | ) | | | (29,464,225 | ) |
| | | | | | | | | | | | | | |
| | (27,679,464) | | | | (34,645,081 | ) | | | (11,691,609 | ) | | | (29,464,225 | ) |
| | | | | | | | | | | | | | |
| | 33,663,078 | | | | 46,549,886 | | | | 50,484,299 | | | | 10,987,366 | |
| | | | | | | | | | | | | | |
| | 34,606,567 | | | | 55,330,777 | | | | 62,688,385 | | | | 9,097,577 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | 163,155,729 | | | | 107,824,952 | | | | 170,167,230 | | | | 161,069,653 | |
| | | | | | | | | | | | | | |
| $ | 197,762,296 | | | $ | 163,155,729 | | | $ | 232,855,615 | | | $ | 170,167,230 | |
| | | | | | | | | | | | | | |
| $ | 11,998 | | | $ | (33,249 | ) | | $ | (192,456 | ) | | $ | 453,534 | |
| | | | | | | | | | | | | | |
| | | | |
| 152 | | See Notes to Financial Statements. | | |
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2012 | | | $ 1.00 | | | | $ — | †# | | | $ — | † | | | $ — | † | | | $ — | † | | | $ 1.00 | | | | 0.10 | % | | | $106,664 | | | | 0.18 | % | | | 0.20 | % | | | 0.10 | % | | | N/A | | | |
2011 | | | 1.00 | | | | — | †# | | | — | † | | | — | † | | | — | † | | | 1.00 | | | | 0.10 | | | | 116,298 | | | | 0.18 | | | | 0.19 | | | | 0.09 | | | | 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 | | | |
GS4 Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2012 | | | $ 1.00 | | | | $ — | †# | | | $ — | † | | | $ — | † | | | $ — | † | | | $ 1.00 | | | | 0.01 | % | | | $1,131,756 | | | | 0.27 | % | | | 0.44 | % | | | 0.01 | % | | | N/A | | | |
2011 | | | 1.00 | | | | — | †# | | | — | † | | | — | † | | | — | † | | | 1.00 | | | | 0.01 | | | | 1,161,630 | | | | 0.27 | | | | 0.42 | | | | 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 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Low-Duration Bond Fund | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
GS2 Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2012 | | | $ 8.59 | | | | $0.15 | # | | | $0.22(4 | ) | | | $(0.22 | ) | | | $(0.03 | ) | | | $ 8.71 | | | | 4.35 | % | | | $135,526 | | | | 0.36 | % | | | 0.41 | % | | | 1.68 | % | | | 228 | % | | |
2011 | | | 8.70 | | | | 0.16 | # | | | (0.01 | )(4) | | | (0.23 | ) | | | (0.03 | ) | | | 8.59 | | | | 1.77 | | | | 122,462 | | | | 0.36 | | | | 0.42 | | | | 1.84 | | | | 221 | | | |
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 | | | |
GS4 Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2012 | | | $13.20 | | | | $0.20 | # | | | $0.35(4 | ) | | | $(0.20 | ) | | | $(0.03 | ) | | | $13.52 | | | | 4.15 | % | | | $678,099 | | | | 0.57 | % | | | 0.65 | % | | | 1.47 | % | | | 228 | % | | |
2011 | | | 13.23 | | | | 0.22 | # | | | (0.01 | )(4) | | | (0.21 | ) | | | (0.03 | ) | | | 13.20 | | | | 1.58 | | | | 621,713 | | | | 0.55 | | | | 0.65 | | | | 1.64 | | | | 221 | | | |
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 | | | |
| † | 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 (higher) 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) | Amount includes Capital Gains distributions received by the Fund from the GuideStone Money Market Fund. The amount of these distributions represents less than $0.005 per share. |
| | | | |
| | See Notes to Financial Statements. | | 153 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 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 | | | Distribu- tions 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) | | | Invest- ment
Income,
Net(2) | | | Portfolio
Turnover
Rate | |
Medium-Duration Bond Fund | |
| | | | | | | | | | |
GS2 Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 2012 | | $ | 7.24 | | | $ | 0.17 | # | | $ | 0.39(3 | ) | | $ | (0.28 | ) | | $ | (0.20 | ) | | $ | — | | | $ | 7.32 | | | | 7.93 | % | | $ | 251,565 | | | | 0.48 | % | | | 0.51 | % | | | 2.32 | % | | | 570 | % |
| 2011 | | | 7.25 | | | | 0.20 | # | | | 0.27(3 | ) | | | (0.35 | ) | | | (0.13 | ) | | | — | | | | 7.24 | | | | 6.56 | | | | 228,024 | | | | 0.48 | | | | 0.52 | | | | 2.76 | | | | 609 | |
| 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 | |
GS4 Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 2012 | | $ | 14.07 | | | $ | 0.32 | # | | $ | 0.75(3 | ) | | $ | (0.26 | ) | | $ | (0.20 | ) | | $ | — | | | $ | 14.68 | | | | 7.68 | % | | $ | 620,945 | | | | 0.63 | % | | | 0.75 | % | | | 2.18 | % | | | 570 | % |
| 2011 | | | 13.65 | | | | 0.37 | # | | | 0.51(3 | ) | | | (0.33 | ) | | | (0.13 | ) | | | — | | | | 14.07 | | | | 6.49 | | | | 636,218 | | | | 0.61 | | | | 0.75 | | | | 2.62 | | | | 609 | |
| 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 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Extended-Duration Bond Fund | |
| | | | | | | | | | |
GS2 Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 2012 | | $ | 6.48 | | | $ | 0.31 | # | | $ | 0.64(3 | ) | | $ | (0.65 | ) | | $ | (0.42 | ) | | $ | — | | | $ | 6.36 | | | | 15.41 | % | | $ | 86,268 | | | | 0.52 | % | | | 0.53 | % | | | 4.68 | % | | | 27 | % |
| 2011 | | | 6.93 | | | | 0.37 | # | | | 0.49(3 | ) | | | (0.74 | ) | | | (0.57 | ) | | | — | | | | 6.48 | | | | 13.33 | | | | 74,591 | | | | 0.54 | | | | 0.55 | | | | 5.32 | | | | 41 | |
| 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 | |
GS4 Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 2012 | | $ | 17.08 | | | $ | 0.81 | # | | $ | 1.72(3 | ) | | $ | (0.61 | ) | | $ | (0.42 | ) | | $ | — | | | $ | 18.58 | | | | 15.06 | % | | $ | 384,705 | | | | 0.75 | % | | | 0.78 | % | | | 4.45 | % | | | 27 | % |
| 2011 | | | 16.28 | | | | 0.86 | # | | | 1.22(3 | ) | | | (0.71 | ) | | | (0.57 | ) | | | — | | | | 17.08 | | | | 13.14 | | | | 330,879 | | | | 0.73 | | | | 0.78 | | | | 5.13 | | | | 41 | |
| 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 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Inflation Protected Bond Fund | |
| | | | | | | | | | |
GS4 Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 2012 | | $ | 11.16 | | | $ | 0.21 | # | | $ | 0.46(3 | ) | | $ | (0.20 | ) | | $ | (0.38 | ) | | $ | — | | | $ | 11.25 | | | | 6.06 | % | | $ | 197,762 | | | | 0.65 | % | | | 0.66 | % | | | 1.80 | % | | | 94 | % |
| 2011 | | | 10.43 | | | | 0.29 | # | | | 0.94(3 | ) | | | (0.31 | ) | | | (0.19 | ) | | | — | | | | 11.16 | | | | 12.00 | | | | 163,156 | | | | 0.66 | | | | 0.68 | | | | 2.65 | | | | 114 | |
| 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) | | | 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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 2012 | | $ | 9.73 | | | $ | 0.45 | # | | $ | 0.74(3 | ) | | $ | (0.54 | ) | | $ | — | | | $ | — | | | $ | 10.38 | | | | 12.52 | % | | $ | 232,856 | | | | 0.83 | % | | | 0.86 | % | | | 4.41 | % | | | 64 | % |
| 2011 | | | 9.83 | | | | 0.51 | # | | | (0.09 | )(3) | | | (0.52 | ) | | | — | | | | — | | | | 9.73 | | | | 4.35 | | | | 170,167 | | | | 0.86 | | | | 0.88 | | | | 5.09 | | | | 68 | |
| 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 | |
| # | 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 (higher) than the ratio shown. |
| (3) | Amount includes Capital Gains distributions received by the Fund from the GuideStone Money Market Fund. The amount of these distributions represents less than $0.005 per share. |
| (4) | Inception date was June 26, 2009. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
| | | | |
| 154 | | See Notes to Financial Statements. | | |
Defensive Market Strategies Fund
The Defensive Market Strategies Fund combined multiple strategies that in aggregate seek to provide long-term capital appreciation with reduced volatility compared to the equity markets.
The Fund met its investment objective during 2012, one in which equity markets climbed the infamous “wall of worry” and provided solid performance results in the face of daunting macroeconomic and fiscal policy concerns. The Fund’s benchmark index, the S&P 500® Index, posted a return of 16.00% for the year as compared to the Fund’s 8.57% return net of fees. The lower capital appreciation of the Fund, relative to that of the S&P 500® Index, was mostly a reflection of the materially lower market sensitivity of the Fund compared to the S&P 500® Index.
The Fund provided lower sensitivity to market movements, thus reducing Fund volatility and helping ensure that the Fund experienced less significant drawdowns during market sell-offs. The Fund provided significant protection during the three negative months for large-cap equities, outperforming the S&P 500® Index by 5.00% when comparing performance over the months of April, May and October when the S&P 500® Index fell in value by 8.32%. Due to the Fund’s defensive posture, the Fund had been expected to participate to a lesser degree in strong market rallies. This was the case in the first and third quarters of the year, when the market generated outsized returns (S&P 500® Index was up 12.59% and 6.35%, respectively during these quarters), and the Fund posted a return of almost 9% in total during those two quarters.
All of the underlying investment strategies underperformed the S&P 500® Index for the year, which should generally characterize performance of the portfolio in very strong up years for equities like the one experienced in 2012. The largest laggard to performance was the equity long/short investment strategy, whose conservative positioning, characterized by low net market exposure, along with poor security selection within its long equity positioning led to muted investment performance for the year. The Fund’s strategic exposure to convertible bonds also lagged the market during the year, despite a strong fourth quarter rally in convertibles that brought performance up into the low-double digits. The two best performing strategies were the higher yielding and defensively postured long-only equity strategies, although their performance lagged the returns of the S&P 500® Index as an emphasis on quality versus higher beta detracted from relative results.
In terms of the underlying dynamics of equity market performance, companies with lower quality and higher price-to-earnings characteristics generally outperformed during the year. This factor contributed negatively to the relative performance of the Fund, which generally emphasized quality and stability themes for most of its long-only equity exposure. From a sector perspective, poor security selection within the two best performing sectors of the year, financial services and consumer discretionary, detracted most from relative performance.
Some of the strategies utilized derivative instruments during the year. Currency forwards were utilized in an effort to hedge foreign currency risk associated with non-U.S. dollar investments. Overall, these positions had a marginally positive contribution to benchmark relative performance. In addition, some call and put options were utilized (all options being fully covered), to reduce the risk associated with long-only equity positions. These positions contributed negatively, although marginally, to the Fund’s performance.
This Fund may be suitable for investors who have a medium - to long-term investment horizon, possess a moderate tolerance for risk and seek to participate in the return potential of stocks at a slightly lower risk level than an all stock portfolio. Convertible securities valuations generally are more closely aligned with a company’s bonds than common stock. This Fund is subject to interest rate risk. Meaning, when interest rates rise, the value of the existing bonds decrease and vice versa. Foreign securities may be subject to greater risk than domestic securities due to currency volatility, reduced market liquidity and political and economic instability. To the extent that the investment adviser misjudges current market conditions, the Fund’s volatility may be amplified by its use of short sales and derivatives and by its ability to select sub-advisers to allocate assets. Short sales by a fund theoretically involve unlimited loss potential since the market price of securities sold short may continuously increase. Leverage may increase the risk of loss and cause fluctuations in the market value of the Fund’s portfolio to have disproportionately large effects or cause the net asset value of the Fund to generally decline faster than it would otherwise.
Please see page 166 for information regarding specific portfolio allocations. Portfolio holdings are subject to change and risk at any time.
155
Defensive Market Strategies Fund
| | | | | | |
| Average Annual Total Returns as of 12/31/12 |
| | | GS2 Class* | | GS4 Class* | | Benchmark** |
One Year | | 8.93% | | 8.57% | | 16.00% |
Since Inception | | 8.62% | | 8.28% | | 15.08% |
Inception Date | | 09/01/11 | | 09/01/11 | | |
Total Fund Operating Expenses (April 28, 2012 Prospectus, as amended on November 30, 2012)(1) | | 1.11% | | 1.35% | | |
(1) Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph compares the results of a hypothetical $10,000 investment in the GS4 Class of the Fund since September 1, 2011 (commencement of operations), with all dividends and capital gains reinvested, with the S&P 500® Index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
**The S&P 500® Index is an unmanaged index (with no defined investment objective) of common stocks, includes reinvestment of dividends, and is a registered trademark of McGraw-Hill Co., Inc. The S&P 500® Index includes 500 of the largest stocks (in terms of market value) in the United States.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
156
| | |
DEFENSIVE MARKET STRATEGIES FUND SCHEDULE OF INVESTMENTS | | December 31, 2012 |
| | | | | | | | | | |
| | | Shares | | | Value | |
COMMON STOCKS — 53.9% | |
Consumer Discretionary — 5.8% | |
Advance Auto Parts, Inc. | | | 1,000 | | | | | $ | 72,350 | |
Aeropostale, Inc.D* | | | 6,260 | | | | | | 81,443 | |
Amazon.com, Inc.* | | | 3,900 | | | | | | 979,446 | |
American Eagle Outfitters, Inc. | | | 8,900 | | | | | | 182,539 | |
Apollo Group, Inc. Class A* | | | 16,230 | | | | | | 339,532 | |
AutoZone, Inc.D* | | | 2,230 | | | | | | 790,379 | |
Bed Bath & Beyond, Inc.* | | | 1,900 | | | | | | 106,229 | |
Best Buy Co., Inc. | | | 15,940 | | | | | | 188,889 | |
Big Lots, Inc.* | | | 4,400 | | | | | | 125,224 | |
Buckle, Inc. (The) | | | 300 | | | | | | 13,392 | |
CBS Corporation Class B | | | 19,910 | | | | | | 757,576 | |
Children’s Place Retail Stores, Inc. (The)* | | | 2,470 | | | | | | 109,396 | |
Chipotle Mexican Grill, Inc.* | | | 700 | | | | | | 208,222 | |
Coldwater Creek, Inc.D* | | | 23,990 | | | | | | 115,392 | |
Costco Wholesale Corporation | | | 12,800 | | | | | | 1,264,256 | |
Dollar Tree, Inc.* | | | 14,600 | | | | | | 592,176 | |
eBay, Inc.* | | | 24,570 | | | | | | 1,253,561 | |
Estee Lauder Cos., Inc. (The) Class A | | | 10,257 | | | | | | 613,984 | |
Expedia, Inc.D | | | 2,150 | | | | | | 132,117 | |
Family Dollar Stores, Inc. | | | 6,000 | | | | | | 380,460 | |
Ford Motor Co.D | | | 71,510 | | | | | | 926,054 | |
Fortune Brands Home & Security, Inc.* | | | 9,350 | | | | | | 273,207 | |
Francesca’s Holdings CorporationD* | | | 1,930 | | | | | | 50,103 | |
Genuine Parts Co. | | | 1,400 | | | | | | 89,012 | |
Hanesbrands, Inc.D* | | | 6,890 | | | | | | 246,800 | |
Harley-Davidson, Inc. | | | 8,060 | | | | | | 393,650 | |
Hasbro, Inc.D | | | 3,600 | | | | | | 129,240 | |
Home Depot, Inc. (The) | | | 13,070 | | | | | | 808,379 | |
ITT Educational Services, Inc.D* | | | 700 | | | | | | 12,117 | |
Kohl’s Corporation | | | 3,800 | | | | | | 163,324 | |
Lamar Advertising Co.D* | | | 12,060 | | | | | | 467,325 | |
Lennar Corporation Class AD | | | 13,260 | | | | | | 512,764 | |
Liberty Global, Inc. Class A* | | | 6,010 | | | | | | 378,570 | |
M/I Homes, Inc.D* | | | 2,410 | | | | | | 63,865 | |
Marriott International, Inc. Class A | | | 3,430 | | | | | | 127,836 | |
McDonald’s Corporation | | | 14,200 | | | | | | 1,252,582 | |
McGraw-Hill Cos., Inc. (The) | | | 5,600 | | | | | | 306,152 | |
NIKE, Inc. Class B | | | 1,600 | | | | | | 82,560 | |
O’Reilly Automotive, Inc.* | | | 1,600 | | | | | | 143,072 | |
Panera Bread Co. Class A* | | | 2,900 | | | | | | 460,607 | |
Penske Automotive Group, Inc.D* | | | 8,370 | | | | | | 251,853 | |
PetSmart, Inc. | | | 6,700 | | | | | | 457,878 | |
PulteGroup, Inc.* | | | 6,180 | | | | | | 112,229 | |
Ross Stores, Inc. | | | 1,900 | | | | | | 102,885 | |
Scripps Networks
Interactive, Inc. Class A | | | 900 | | | | | | 52,128 | |
Shutterfly, Inc.D* | | | 4,280 | | | | | | 127,844 | |
Shutterstock, Inc.* | | | 2,880 | | | | | | 74,880 | |
Stamps.com, Inc.D* | | | 10,190 | | | | | | 256,788 | |
Standard Pacific CorporationD* | | | 50,280 | | | | | | 369,558 | |
Starbucks Corporation | | | 15,580 | | | | | | 835,400 | |
Starwood Hotels & Resorts Worldwide, Inc. | | | 6,600 | | | | | | 378,576 | |
Target Corporation | | | 11,000 | | | | | | 650,870 | |
Tempur-Pedic International, Inc.* | | | 10,280 | | | | | | 323,717 | |
| | | | | | | | | | |
| | | Shares | | | Value | |
Time Warner, Inc. | | | 1,300 | | | | | $ | 62,179 | |
TJX Cos., Inc. | | | 4,400 | | | | | | 186,780 | |
Tupperware Brands Corporation | | | 2,400 | | | | | | 153,840 | |
Urban Outfitters, Inc.* | | | 11,710 | | | | | | 460,906 | |
Vera Bradley, Inc.D* | | | 12,870 | | | | | | 323,037 | |
VF Corporation | | | 840 | | | | | | 126,815 | |
Wal-Mart Stores, Inc. | | | 29,500 | | | | | | 2,012,785 | |
Weight Watchers International, Inc.D | | | 1,740 | | | | | | 91,106 | |
Yum! Brands, Inc. | | | 7,400 | | | | | | 491,360 | |
| | | | | | | | | | |
| | | | | | | | | 23,097,196 | |
| | | | | | | | | | |
Consumer Staples — 6.0% | |
B&G Foods, Inc.D | | | 20,310 | | | | | | 574,976 | |
Campbell Soup Co.D | | | 7,500 | | | | | | 261,675 | |
Church & Dwight Co., Inc.D | | | 23,160 | | | | | | 1,240,681 | |
Clorox Co. (The) | | | 6,900 | | | | | | 505,218 | |
Coca-Cola Co. (The) | | | 19,000 | | | | | | 688,750 | |
Colgate-Palmolive Co. | | | 11,900 | | | | | | 1,244,026 | |
ConAgra Foods, Inc. | | | 2,100 | | | | | | 61,950 | |
CVS Caremark Corporation | | | 7,200 | | | | | | 348,120 | |
Dr. Pepper Snapple Group, Inc. | | | 7,300 | | | | | | 322,514 | |
General Mills, Inc.D | | | 12,300 | | | | | | 497,043 | |
GNC Holdings, Inc. Class A | | | 26,450 | | | | | | 880,256 | |
H.J. Heinz Co.D | | | 11,000 | | | | | | 634,480 | |
Hershey Co. (The) | | | 16,190 | | | | | | 1,169,242 | |
Hormel Foods CorporationD | | | 6,800 | | | | | | 212,228 | |
Kellogg Co. | | | 10,000 | | | | | | 558,500 | |
Kimberly-Clark Corporation | | | 14,500 | | | | | | 1,224,235 | |
Kraft Foods Group, Inc. | | | 45,200 | | | | | | 2,055,244 | |
Kroger Co. (The) | | | 36,700 | | | | | | 954,934 | |
McCormick & Co., Inc.
(Non-Voting Shares)D | | | 11,700 | | | | | | 743,301 | |
PepsiCo, Inc. | | | 18,160 | | | | | | 1,242,689 | |
Procter & Gamble Co. (The) | | | 87,000 | | | | | | 5,906,430 | |
Sysco CorporationD | | | 37,900 | | | | | | 1,199,914 | |
Walgreen Co. | | | 17,900 | | | | | | 662,479 | |
Whole Foods Market, Inc. | | | 10,450 | | | | | | 954,398 | |
| | | | | | | | | | |
| | | | | | | | | 24,143,283 | |
| | | | | | | | | | |
Energy — 3.8% | |
Anadarko Petroleum Corporation | | | 5,920 | | | | | | 439,915 | |
Cabot Oil & Gas Corporation | | | 7,440 | | | | | | 370,066 | |
Cameron International Corporation* | | | 3,410 | | | | | | 192,528 | |
CARBO Ceramics, Inc.D | | | 1,200 | | | | | | 94,008 | |
Chevron Corporation | | | 22,600 | | | | | | 2,443,964 | |
Cobalt International Energy, Inc.D* | | | 18,480 | | | | | | 453,869 | |
Comstock Resources, Inc.D* | | | 7,290 | | | | | | 110,298 | |
Concho Resources, Inc.D* | | | 7,690 | | | | | | 619,506 | |
Delek US Holdings, Inc.D | | | 9,550 | | | | | | 241,806 | |
EOG Resources, Inc. | | | 1,330 | | | | | | 160,651 | |
EQT Corporation | | | 6,400 | | | | | | 377,472 | |
Exxon Mobil Corporation | | | 55,400 | | | | | | 4,794,870 | |
Gulfport Energy CorporationD* | | | 3,760 | | | | | | 143,707 | |
Halcon Resources Corporation* | | | 1 | | | | | | 7 | |
Hess Corporation | | | 8,330 | | | | | | 441,157 | |
Kodiak Oil & Gas CorporationD* | | | 57,260 | | | | | | 506,751 | |
LinnCo LLCD | | | 5,120 | | | | | | 185,037 | |
Marathon Oil Corporation | | | 17,130 | | | | | | 525,206 | |
Occidental Petroleum Corporation | | | 8,200 | | | | | | 628,202 | |
| | | | |
| | See Notes to Financial Statements. | | 157 |
| | | | | | | | | | |
| | | Shares | | | Value | |
PBF Energy, Inc.* | | | 11,050 | | | | | $ | 321,002 | |
Phillips 66 | | | 6,680 | | | | | | 354,708 | |
Pioneer Natural Resources Co. | | | 1,730 | | | | | | 184,401 | |
Rex Energy CorporationD* | | | 5,500 | | | | | | 71,610 | |
Schlumberger, Ltd. | | | 4,330 | | | | | | 300,026 | |
SemGroup Corporation Class AD* | | | 5,800 | | | | | | 226,664 | |
Spectra Energy CorporationD | | | 10,900 | | | | | | 298,442 | |
Stone Energy CorporationD* | | | 15,820 | | | | | | 324,626 | |
Williams Cos., Inc. (The) | | | 9,877 | | | | | | 323,373 | |
| | | | | | | | | | |
| | | | | | | | | 15,133,872 | |
| | | | | | | | | | |
Financial Services — 9.7% | |
Affiliated Managers Group, Inc.* | | | 4,810 | | | | | | 626,022 | |
Allstate Corporation (The) | | | 10,770 | | | | | | 432,631 | |
American Campus Communities, Inc. REIT | | | 2,590 | | | | | | 119,477 | |
American Tower Corporation REIT | | | 700 | | | | | | 54,089 | |
Annaly Capital Management, Inc. REITD | | | 16,590 | | | | | | 232,924 | |
Bank of Hawaii CorporationD | | | 17,300 | | | | | | 762,065 | |
Bank of the Ozarks, Inc.D | | | 7,130 | | | | | | 238,641 | |
Brown & Brown, Inc. | | | 15,770 | | | | | | 401,504 | |
Camden Property Trust REIT | | | 3,630 | | | | | | 247,602 | |
Capitol Federal Financial, Inc. | | | 168,900 | | | | | | 1,974,441 | |
Cardinal Financial Corporation | | | 7,380 | | | | | | 120,073 | |
Cardtronics, Inc.* | | | 22,550 | | | | | | 535,337 | |
Chubb Corporation (The) | | | 48,260 | | | | | | 3,634,943 | |
Citigroup, Inc. | | | 10,080 | | | | | | 398,765 | |
City National CorporationD | | | 2,900 | | | | | | 143,608 | |
Comerica, Inc. | | | 14,800 | | | | | | 449,032 | |
Commerce Bancshares, Inc.D | | | 67,395 | | | | | | 2,362,869 | |
Cullen/Frost Bankers, Inc.D | | | 18,100 | | | | | | 982,287 | |
Dun & Bradstreet Corporation (The)D | | | 3,600 | | | | | | 283,140 | |
Education Realty Trust, Inc. REIT | | | 33,510 | | | | | | 356,546 | |
Equifax, Inc. | | | 10,240 | | | | | | 554,189 | |
EverBank Financial Corporation | | | 11,860 | | | | | | 176,833 | |
Factset Research Systems, Inc.D | | | 5,400 | | | | | | 475,524 | |
Fidelity National Financial, Inc. Class A | | | 6,390 | | | | | | 150,485 | |
Fidelity National Information Services, Inc. | | | 11,370 | | | | | | 395,790 | |
First Niagara Financial Group, Inc. | | | 1,300 | | | | | | 10,309 | |
Fiserv, Inc.D* | | | 300 | | | | | | 23,709 | |
Fortegra Financial CorporationD* | | | 28,380 | | | | | | 252,298 | |
Goldman Sachs Group, Inc. (The) | | | 2,500 | | | | | | 318,900 | |
Hanover Insurance Group, Inc. | | | 4,760 | | | | | | 184,402 | |
Heritage Oaks BancorpD* | | | 16,240 | | | | | | 94,192 | |
Hersha Hospitality Trust REIT | | | 21,210 | | | | | | 106,050 | |
Host Hotels & Resorts, Inc. REITD | | | 14,450 | | | | | | 226,432 | |
Intercontinental Exchange, Inc.D* | | | 4,040 | | | | | | 500,192 | |
JPMorgan Chase & Co. | | | 53,456 | | | | | | 2,350,460 | |
KeyCorp | | | 118,200 | | | | | | 995,244 | |
M&T Bank CorporationD | | | 5,900 | | | | | | 580,973 | |
Marsh & McLennan Cos., Inc. | | | 79,300 | | | | | | 2,733,471 | |
Mastercard, Inc. Class A | | | 900 | | | | | | 442,152 | |
| | | | | | | | | | |
| | | Shares | | | Value | |
MetroCorp Bancshares, Inc.D* | | | 16,710 | | | | | $ | 183,643 | |
New York Community Bancorp, Inc.D | | | 31,500 | | | | | | 412,650 | |
Northern Trust Corporation | | | 75,600 | | | | | | 3,792,096 | |
Ocwen Financial Corporation* | | | 23,180 | | | | | | 801,796 | |
OmniAmerican Bancorp, Inc.D* | | | 5,880 | | | | | | 136,004 | |
People’s United Financial, Inc.D | | | 91,700 | | | | | | 1,108,653 | |
PNC Financial Services Group, Inc. | | | 13,300 | | | | | | 775,523 | |
ProAssurance Corporation | | | 16,560 | | | | | | 698,666 | |
Progressive Corporation (The)D | | | 4,800 | | | | | | 101,280 | |
Raymond James Financial, Inc. | | | 8,630 | | | | | | 332,514 | |
Signature BankD* | | | 4,970 | | | | | | 354,560 | |
Silver Bay Realty Trust Corporation REIT* | | | 7,440 | | | | | | 140,095 | |
Simon Property Group, Inc. REIT | | | 3,340 | | | | | | 528,021 | |
Summit Hotel Properties, Inc. REITD | | | 21,550 | | | | | | 204,725 | |
Sun Communities, Inc. REITD | | | 5,980 | | | | | | 238,542 | |
SunTrust Banks, Inc. | | | 11,200 | | | | | | 317,520 | |
Texas Capital Bancshares, Inc.D* | | | 6,640 | | | | | | 297,605 | |
Total System Services, Inc. | | | 12,600 | | | | | | 269,892 | |
Travelers Cos., Inc. (The) | | | 9,900 | | | | | | 711,018 | |
US Bancorp | | | 5,900 | | | | | | 188,446 | |
Visa, Inc. Class A | | | 11,830 | | | | | | 1,793,191 | |
W.R. Berkley Corporation | | | 12,500 | | | | | | 471,750 | |
Wells Fargo & Co. | | | 3,540 | | | | | | 120,997 | |
| | | | | | | | | | |
| | | | | | | | | 38,906,788 | |
| | | | | | | | | | |
Healthcare — 9.1% | |
Abbott Laboratories | | | 18,560 | | | | | | 1,215,680 | |
Achillion Pharma-ceuticals, Inc.D* | | | 5,570 | | | | | | 44,671 | |
Aetna, Inc. | | | 2,200 | | | | | | 101,860 | |
Air Methods CorporationD* | | | 13,470 | | | | | | 496,908 | |
Akorn, Inc.D* | | | 7,440 | | | | | | 99,398 | |
Alexion Pharmaceuticals, Inc.* | | | 4,810 | | | | | | 451,226 | |
Align Technology, Inc.D* | | | 12,620 | | | | | | 350,205 | |
Allergan, Inc. | | | 9,300 | | | | | | 853,089 | |
AmerisourceBergen Corporation | | | 11,800 | | | | | | 509,524 | |
Amgen, Inc. | | | 9,600 | | | | | | 828,672 | |
Analogic Corporation | | | 5,870 | | | | | | 436,141 | |
ArthroCare CorporationD* | | | 13,350 | | | | | | 461,777 | |
Baxter International, Inc. | | | 12,090 | | | | | | 805,919 | |
Becton, Dickinson and Co.D | | | 17,100 | | | | | | 1,337,049 | |
Biogen Idec, Inc.* | | | 6,800 | | | | | | 997,356 | |
BioMarin Pharmaceutical, Inc.D* | | | 2,480 | | | | | | 122,140 | |
Bio-Rad Laboratories, Inc. Class A* | | | 400 | | | | | | 42,020 | |
Bristol-Myers Squibb Co. | | | 35,600 | | | | | | 1,160,204 | |
C.R. Bard, Inc. | | | 6,700 | | | | | | 654,858 | |
Cardinal Health, Inc. | | | 5,700 | | | | | | 234,726 | |
Celgene Corporation* | | | 6,600 | | | | | | 519,552 | |
Cooper Cos., Inc. (The) | | | 2,210 | | | | | | 204,381 | |
Covance, Inc.* | | | 500 | | | | | | 28,885 | |
Cubist Pharmaceuticals, Inc.D* | | | 1,760 | | | | | | 74,026 | |
Cynosure, Inc. Class A* | | | 6,120 | | | | | | 147,553 | |
DaVita HealthCare Partners, Inc.* | | | 100 | | | | | | 11,053 | |
Edwards Lifesciences CorporationD* | | | 1,500 | | | | | | 135,255 | |
| | | | |
| 158 | | See Notes to Financial Statements. | | |
DEFENSIVE MARKET STRATEGIES FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | |
| | | Shares | | | Value | |
Eli Lilly & Co. | | | 37,500 | | | | | $ | 1,849,500 | |
Emeritus Corporation* | | | 7,140 | | | | | | 176,501 | |
Express Scripts Holding Co.* | | | 6,810 | | | | | | 367,740 | |
Forest Laboratories, Inc.* | | | 9,300 | | | | | | 328,476 | |
Gilead Sciences, Inc.* | | | 5,380 | | | | | | 395,161 | |
Health Net, Inc.* | | | 5,260 | | | | | | 127,818 | |
Henry Schein, Inc.D* | | | 2,400 | | | | | | 193,104 | |
Humana, Inc. | | | 2,000 | | | | | | 137,260 | |
IDEXX Laboratories, Inc.D* | | | 3,600 | | | | | | 334,080 | |
Incyte Corporation, Ltd.D* | | | 3,000 | | | | | | 49,830 | |
Intuitive Surgical, Inc.* | | | 245 | | | | | | 120,141 | |
Johnson & Johnson | | | 106,100 | | | | | | 7,437,610 | |
Laboratory Corporation of America Holdings* | | | 7,900 | | | | | | 684,298 | |
McKesson Corporation | | | 10,150 | | | | | | 984,144 | |
Medivation, Inc.D* | | | 3,600 | | | | | | 184,176 | |
Merck & Co., Inc. | | | 64,600 | | | | | | 2,644,724 | |
Momenta Pharma-ceuticals, Inc.D* | | | 6,310 | | | | | | 74,332 | |
Mylan, Inc.* | | | 18,560 | | | | | | 510,029 | |
Myriad Genetics, Inc.D* | | | 15,300 | | | | | | 416,925 | |
Neurocrine Biosciences, Inc.D* | | | 5,650 | | | | | | 42,262 | |
Onyx Pharmaceuticals, Inc.* | | | 950 | | | | | | 71,754 | |
Optimer Pharmaceuticals, Inc.* | | | 4,040 | | | | | | 36,562 | |
Patterson Cos., Inc.D | | | 13,400 | | | | | | 458,682 | |
Pfizer, Inc. | | | 91,840 | | | | | | 2,303,347 | |
PSS World Medical, Inc.* | | | 10,210 | | | | | | 294,865 | |
Quest Diagnostics, Inc. | | | 2,500 | | | | | | 145,675 | |
Salix Pharmaceuticals, Ltd.* | | | 3,770 | | | | | | 152,610 | |
Sarepta Therapeutics, Inc.* | | | 2,520 | | | | | | 65,016 | |
Sirona Dental Systems, Inc.* | | | 1,480 | | | | | | 95,401 | |
St. Jude Medical, Inc. | | | 3,900 | | | | | | 140,946 | |
Stryker Corporation | | | 11,000 | | | | | | 603,020 | |
Synageva BioPharma Corporation* | | | 780 | | | | | | 36,106 | |
Teleflex, Inc. | | | 6,640 | | | | | | 473,498 | |
United Therapeutics CorporationD* | | | 3,460 | | | | | | 184,833 | |
UnitedHealth Group, Inc. | | | 10,200 | | | | | | 553,248 | |
Universal Health Services, Inc. Class B | | | 6,060 | | | | | | 293,001 | |
Vertex Pharmaceuticals, Inc.* | | | 4,850 | | | | | | 203,409 | |
ViroPharma, Inc.D* | | | 6,190 | | | | | | 140,884 | |
WellCare Health Plans, Inc.* | | | 1,890 | | | | | | 92,024 | |
WellPoint, Inc. | | | 700 | | | | | | 42,644 | |
Zimmer Holdings, Inc. | | | 8,380 | | | | | | 558,611 | |
| | | | | | | | | | |
| | | | | | | | | 36,328,375 | |
| | | | | | | | | | |
Materials & Processing — 1.7% | |
Air Products & Chemicals, Inc. | | | 2,200 | | | | | | 184,844 | |
Ashland, Inc. | | | 1,670 | | | | | | 134,285 | |
CF Industries Holdings, Inc. | | | 3,560 | | | | | | 723,249 | |
Cliffs Natural Resources, Inc.D | | | 6,360 | | | | | | 245,242 | |
Crown Holdings, Inc.* | | | 9,490 | | | | | | 349,327 | |
E.I. du Pont de Nemours & Co.D | | | 16,500 | | | | | | 742,005 | |
Eagle Materials, Inc. | | | 8,170 | | | | | | 477,945 | |
Eastman Chemical Co. | | | 6,320 | | | | | | 430,076 | |
Fastenal Co. | | | 4,800 | | | | | | 224,112 | |
Haynes International, Inc. | | | 930 | | | | | | 48,239 | |
Metals USA Holdings Corporation | | | 8,730 | | | | | | 152,688 | |
Monsanto Co. | | | 10,020 | | | | | | 948,393 | |
Newmont Mining Corporation | | | 14,400 | | | | | | 668,736 | |
PPG Industries, Inc. | | | 1,900 | | | | | | 257,165 | |
| | | | | | | | | | |
| | | Shares | | | Value | |
Rock-Tenn Co. Class A | | | 2,960 | | | | | $ | 206,934 | |
Sherwin-Williams Co. (The) | | | 2,100 | | | | | | 323,022 | |
Trex Co., Inc.* | | | 1,780 | | | | | | 66,269 | |
Westlake Chemical CorporationD | | | 8,010 | | | | | | 635,193 | |
| | | | | | | | | | |
| | | | | | | | | 6,817,724 | |
| | | | | | | | | | |
Producer Durables — 4.6% | |
3M Co. | | | 5,600 | | | | | | 519,960 | |
ADT Corporation (The) | | | 8,400 | | | | | | 390,516 | |
AGCO Corporation* | | | 2,750 | | | | | | 135,080 | |
Agilent Technologies, Inc. | | | 4,330 | | | | | | 177,270 | |
AMETEK, Inc. | | | 8,760 | | | | | | 329,113 | |
Automatic Data Processing, Inc. | | | 21,700 | | | | | | 1,237,117 | |
B/E Aerospace, Inc.* | | | 2,540 | | | | | | 125,476 | |
Boeing Co. (The) | | | 3,100 | | | | | | 233,616 | |
C.H. Robinson Worldwide, Inc.D | | | 5,100 | | | | | | 322,422 | |
CAI International, Inc.* | | | 16,470 | | | | | | 361,516 | |
Clean Harbors, Inc.* | | | 8,150 | | | | | | 448,332 | |
Corrections Corporation of America | | | 7,020 | | | | | | 248,999 | |
Cummins, Inc. | | | 2,030 | | | | | | 219,950 | |
Danaher Corporation | | | 2,200 | | | | | | 122,980 | |
Delta Air Lines, Inc.* | | | 35,680 | | | | | | 423,522 | |
General Dynamics Corporation | | | 3,700 | | | | | | 256,299 | |
General Electric Co. | | | 15,600 | | | | | | 327,444 | |
Honeywell International, Inc. | | | 8,850 | | | | | | 561,710 | |
Huron Consulting Group, Inc.D* | | | 10,650 | | | | | | 358,798 | |
Iron Mountain, Inc. | | | 18,490 | | | | | | 574,114 | |
Lockheed Martin Corporation | | | 5,200 | | | | | | 479,908 | |
Mettler Toledo International, Inc.D* | | | 1,400 | | | | | | 270,620 | |
Middleby CorporationD* | | | 950 | | | | | | 121,800 | |
MSC Industrial Direct Co., Inc. Class A | | | 1,100 | | | | | | 82,918 | |
Navistar International Corporation* | | | 13,850 | | | | | | 301,514 | |
Northrop Grumman Corporation | | | 2,800 | | | | | | 189,224 | |
OSI Systems, Inc.* | | | 6,190 | | | | | | 396,408 | |
Parker Hannifin CorporationD | | | 1,590 | | | | | | 135,245 | |
Paychex, Inc.D | | | 16,100 | | | | | | 501,354 | |
Raytheon Co. | | | 12,700 | | | | | | 731,012 | |
Republic Services, Inc.D | | | 34,700 | | | | | | 1,017,751 | |
Rockwell Collins, Inc.D | | | 10,174 | | | | | | 591,822 | |
Stericycle, Inc.* | | | 9,100 | | | | | | 848,757 | |
Titan International, Inc.D | | | 5,930 | | | | | | 128,800 | |
Union Pacific Corporation | | | 1,420 | | | | | | 178,522 | |
United Parcel Service, Inc. Class B | | | 32,300 | | | | | | 2,381,479 | |
United Technologies Corporation | | | 3,670 | | | | | | 300,977 | |
Verisk Analytics, Inc. Class A* | | | 5,270 | | | | | | 268,770 | |
Waste Management, Inc. | | | 56,900 | | | | | | 1,919,806 | |
Werner Enterprises, Inc.D | | | 8,310 | | | | | | 180,078 | |
| | | | | | | | | | |
| | | | | | | | | 18,400,999 | |
| | | | | | | | | | |
Technology — 5.1% | |
ADTRAN, Inc.* | | | 3,200 | | | | | | 62,528 | |
Akamai Technologies, Inc.* | | | 6,370 | | | | | | 260,597 | |
Altera Corporation | | | 4,500 | | | | | | 154,980 | |
Analog Devices, Inc. | | | 11,800 | | | | | | 496,308 | |
Apple, Inc. | | | 2,215 | | | | | | 1,180,661 | |
| | | | |
| | See Notes to Financial Statements. | | 159 |
| | | | | | | | | | |
| | | Shares | | | Value | |
Applied Materials, Inc. | | | 60,500 | | | | | $ | 692,120 | |
Autodesk, Inc.* | | | 700 | | | | | | 24,745 | |
Bottomline Technologies, Inc.D* | | | 7,980 | | | | | | 210,592 | |
Broadcom Corporation Class A* | | | 10,880 | | | | | | 361,325 | |
Cavium, Inc.D* | | | 3,930 | | | | | | 122,655 | |
Cisco Systems, Inc. | | | 63,600 | | | | | | 1,249,740 | |
Citrix Systems, Inc.* | | | 800 | | | | | | 52,600 | |
Digimarc Corporation | | | 13,180 | | | | | | 272,826 | |
EMC Corporation* | | | 8,650 | | | | | | 218,845 | |
F5 Networks, Inc.* | | | 1,240 | | | | | | 120,466 | |
Facebook, Inc. Class A* | | | 24,600 | | | | | | 655,098 | |
Fusion-io, Inc.D* | | | 9,760 | | | | | | 223,797 | |
Google, Inc. Class A* | | | 2,180 | | | | | | 1,546,427 | |
Groupon, Inc.D* | | | 64,510 | | | | | | 314,809 | |
IAC/InterActiveCorp | | | 8,300 | | | | | | 392,590 | |
Intel Corporation | | | 52,100 | | | | | | 1,074,823 | |
International Business Machines Corporation | | | 5,900 | | | | | | 1,130,145 | |
Intuit, Inc. | | | 13,500 | | | | | | 803,250 | |
IPG Photonics CorporationD | | | 2,250 | | | | | | 149,962 | |
Juniper Networks, Inc.* | | | 7,790 | | | | | | 153,229 | |
Linear Technology CorporationD | | | 19,300 | | | | | | 661,990 | |
Manhattan Associates, Inc.D* | | | 7,080 | | | | | | 427,207 | |
Maxim Integrated Products, Inc. | | | 16,190 | | | | | | 475,986 | |
Microchip Technology, Inc. | | | 2,800 | | | | | | 91,252 | |
Microsoft Corporation | | | 38,800 | | | | | | 1,037,124 | |
Molex, Inc. | | | 114,200 | | | | | | 2,548,944 | |
Monolithic Power Systems, Inc.D | | | 4,550 | | | | | | 101,374 | |
Palo Alto Networks, Inc.D* | | | 5,030 | | | | | | 269,206 | |
QUALCOMM, Inc. | | | 7,930 | | | | | | 491,819 | |
Red Hat, Inc.* | | | 200 | | | | | | 10,592 | |
Riverbed Technology, Inc.* | | | 9,300 | | | | | | 183,396 | |
SAIC, Inc.D | | | 7,100 | | | | | | 80,372 | |
Salesforce.com, Inc.* | | | 750 | | | | | | 126,075 | |
ServiceNow, Inc.D* | | | 3,210 | | | | | | 96,396 | |
Silicon Laboratories, Inc.* | | | 4,300 | | | | | | 179,783 | |
Synchronoss Technologies, Inc.D* | | | 2,940 | | | | | | 62,005 | |
Synopsys, Inc.* | | | 8,600 | | | | | | 273,824 | |
Tech Data Corporation* | | | 300 | | | | | | 13,659 | |
Texas Instruments, Inc. | | | 2,300 | | | | | | 71,162 | |
TIBCO Software, Inc.* | | | 8,040 | | | | | | 176,960 | |
Tyler Technologies, Inc.D* | | | 3,450 | | | | | | 167,118 | |
Ultimate Software Group, Inc.* | | | 3,510 | | | | | | 331,379 | |
VeriSign, Inc.D* | | | 1,200 | | | | | | 46,584 | |
VMware, Inc.* | | | 600 | | | | | | 56,484 | |
Xilinx, Inc. | | | 10,800 | | | | | | 387,720 | |
| | | | | | | | | | |
| | | | | | | | | 20,293,529 | |
| | | | | | | | | | |
Utilities — 8.1% | |
AGL Resources, Inc.D | | | 47,956 | | | | | | 1,916,801 | |
American Electric Power Co., Inc. | | | 11,600 | | | | | | 495,088 | |
American Water Works Co., Inc. | | | 23,000 | | | | | | 853,990 | |
AT&T, Inc. | | | 121,100 | | | | | | 4,082,281 | |
CenterPoint Energy, Inc. | | | 10,800 | | | | | | 207,900 | |
CenturyLink, Inc.D | | | 47,000 | | | | | | 1,838,640 | |
Cincinnati Bell, Inc.D* | | | 16,870 | | | | | | 92,448 | |
Consolidated Edison, Inc. | | | 45,400 | | | | | | 2,521,516 | |
Dominion Resources, Inc. | | | 24,000 | | | | | | 1,243,200 | |
| | | | | | | | | | |
| | | Shares | | | Value | |
DTE Energy Co. | | | 7,100 | | | | | $ | 426,355 | |
Duke Energy CorporationD | | | 9,700 | | | | | | 618,860 | |
Entergy Corporation | | | 4,200 | | | | | | 267,750 | |
NextEra Energy, Inc. | | | 4,100 | | | | | | 283,679 | |
NiSource, Inc. | | | 8,900 | | | | | | 221,521 | |
NV Energy, Inc.D | | | 133,700 | | | | | | 2,425,318 | |
ONEOK, Inc. | | | 9,300 | | | | | | 397,575 | |
PG&E Corporation | | | 71,000 | | | | | | 2,852,780 | |
Piedmont Natural Gas Co., Inc.D | | | 71,101 | | | | | | 2,226,172 | |
Pinnacle West Capital Corporation | | | 6,100 | | | | | | 310,978 | |
Public Service Enterprise Group, Inc. | | | 13,200 | | | | | | 403,920 | |
Questar Corporation | | | 23,500 | | | | | | 464,360 | |
Sempra Energy | | | 17,300 | | | | | | 1,227,262 | |
Southern Co. (The)D | | | 22,200 | | | | | | 950,382 | |
tw telecom, Inc.D* | | | 9,300 | | | | | | 236,871 | |
UGI Corporation | | | 16,000 | | | | | | 523,360 | |
Verizon Communications, Inc. | | | 26,800 | | | | | | 1,159,636 | |
WGL Holdings, Inc.D | | | 96,500 | | | | | | 3,781,835 | |
Wisconsin Energy Corporation | | | 2,600 | | | | | | 95,810 | |
Xcel Energy, Inc. | | | 8,500 | | | | | | 227,035 | |
| | | | | | | | | | |
| | | | | | | | | 32,353,323 | |
| | | | | | | | | | |
Total Common Stocks
(Cost $201,223,886) | | | | | | 215,475,089 | |
| | | | | | | | | | |
EQUITY LINKED SECURITIES — 0.4% | |
Morgan Stanley@* | | | 11,500 | | | | | | 773,375 | |
UBS AG@* | | | 17,000 | | | | | | 693,770 | |
| | | | | | | | | | |
Total Equity Linked Securities
(Cost $1,460,395) | | | | | | 1,467,145 | |
| | | | | | | | | | |
FOREIGN COMMON STOCKS — 5.2% | |
Bermuda — 0.6% | |
Alterra Capital Holdings, Ltd. | | | 13,150 | | | | | | 370,698 | |
AXIS Capital Holdings, Ltd.D | | | 9,190 | | | | | | 318,342 | |
Energy XXI (Bermuda), Ltd.D | | | 6,780 | | | | | | 218,248 | |
Everest Re Group, Ltd. | | | 10,600 | | | | | | 1,165,470 | |
Invesco, Ltd. | | | 10,010 | | | | | | 261,161 | |
| | | | | | | | | | |
| | | | | | | | | 2,333,919 | |
| | | | | | | | | | |
Canada — 0.8% | |
Augusta Resource CorporationD* | | | 10,460 | | | | | | 25,627 | |
AuRico Gold, Inc.D* | | | 58,430 | | | | | | 477,957 | |
Bellatrix Exploration, Ltd.* | | | 17,310 | | | | | | 74,307 | |
Eldorado Gold CorporationD | | | 12,360 | | | | | | 159,197 | |
Epsilon Energy, Ltd.D* | | | 15,650 | | | | | | 60,101 | |
HudBay Minerals, Inc. | | | 8,830 | | | | | | 88,948 | |
Hudson’s Bay Co. | | | 12,647 | | | | | | 212,585 | |
Inmet Mining Corporation | | | 1,670 | | | | | | 124,255 | |
Methanex Corporation | | | 4,020 | | | | | | 128,117 | |
Nexen, Inc. | | | 16,240 | | | | | | 437,506 | |
QLT, Inc.D* | | | 14,260 | | | | | | 112,084 | |
Silver Wheaton Corporation | | | 6,560 | | | | | | 236,685 | |
Silvercrest Mines, Inc.D* | | | 17,767 | | | | | | 45,369 | |
Teck Resources, Ltd. Class BD | | | 10,640 | | | | | | 386,764 | |
Thompson Creek Metals Co., Inc.D* | | | 22,800 | | | | | | 94,392 | |
Trioil Resources, Ltd.D* | | | 20,860 | | | | | | 62,704 | |
Yamana Gold, Inc. | | | 24,980 | | | | | | 429,906 | |
| | | | | | | | | | |
| | | | | | | | | 3,156,504 | |
| | | | | | | | | | |
Cayman Islands — 0.1% | |
Herbalife, Ltd.D | | | 7,320 | | | | | | 241,121 | |
| | | | | | | | | | |
| | | | |
| 160 | | See Notes to Financial Statements. | | |
DEFENSIVE MARKET STRATEGIES FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | |
| | | Shares | | | Value | |
China — 0.1% | |
China Petroleum & Chemical
Corporation Class H | | | 133,260 | | | | | $ | 153,419 | |
Dongfeng Motor Group Co.,
Ltd. Class H | | | 72,740 | | | | | | 114,522 | |
Golden Eagle Retail
Group, Ltd.D | | | 42,790 | | | | | | 106,574 | |
| | | | | | | | | | |
| | | | | | | | | 374,515 | |
| | | | | | | | | | |
France — 0.2% | |
Total SA | | | 16,700 | | | | | | 868,954 | |
| | | | | | | | | | |
Germany — 0.1% | |
Siemens AG | | | 2,200 | | | | | | 240,573 | |
Stada Arzneimittel AG | | | 1,130 | | | | | | 36,570 | |
| | | | | | | | | | |
| | | | | | | | | 277,143 | |
| | | | | | | | | | |
Guernsey — 0.0% | |
Tetragon Financial Group, Ltd. | | | 14,640 | | | | | | 141,569 | |
| | | | | | | | | | |
Hong Kong — 0.4% | |
AIA Group, Ltd. | | | 95,372 | | | | | | 378,277 | |
Michael Kors Holdings, Ltd.* | | | 23,870 | | | | | | 1,218,086 | |
| | | | | | | | | | |
| | | | | | | | | 1,596,363 | |
| | | | | | | | | | |
Ireland — 0.5% | |
Accenture PLC Class A | | | 11,600 | | | | | | 771,400 | |
Covidien PLC | | | 3,640 | | | | | | 210,174 | |
Elan Corporation PLC ADR* | | | 7,750 | | | | | | 79,127 | |
Prothena Corporation PLC* | | | 150 | | | | | | 1,103 | |
Shire PLC | | | 7,260 | | | | | | 223,327 | |
Shire PLC ADR | | | 6,040 | | | | | | 556,767 | |
Warner Chilcott PLC Class A* | | | 7,170 | | | | | | 86,327 | |
| | | | | | | | | | |
| | | | | | | | | 1,928,225 | |
| | | | | | | | | | |
Japan — 0.3% | |
Astellas Pharma, Inc. | | | 5,150 | | | | | | 231,552 | |
Honda Motor Co., Ltd. | | | 21,900 | | | | | | 811,059 | |
| | | | | | | | | | |
| | | | | | | | | 1,042,611 | |
| | | | | | | | | | |
Mexico — 0.0% | |
Compartamos SAB de CV | | | 55,759 | | | | | | 79,672 | |
| | | | | | | | | | |
Netherlands — 0.4% | |
Royal Dutch Shell PLC
Class A | | | 49,944 | | | | | | 1,719,092 | |
| | | | | | | | | | |
Philippines — 0.1% | |
Metropolitan Bank & Trust | | | 114,830 | | | | | | 285,897 | |
| | | | | | | | | | |
Singapore — 0.0% | |
Avago Technologies, Ltd. | | | 7,180 | | | | | | 227,319 | |
| | | | | | | | | | |
Switzerland — 0.9% | |
ABB, Ltd. | | | 22,300 | | | | | | 462,447 | |
ACE, Ltd. | | | 7,000 | | | | | | 558,600 | |
Glencore International PLCD | | | 46,980 | | | | �� | | 271,397 | |
Roche Holding AG ADRD | | | 3,560 | | | | | | 179,780 | |
Tyco International, Ltd. | | | 74,188 | | | | | | 2,169,999 | |
| | | | | | | | | | |
| | | | | | | | | 3,642,223 | |
| | | | | | | | | | |
United Kingdom — 0.7% | |
Aon PLC | | | 4,700 | | | | | | 261,320 | |
Ophir Energy PLC* | | | 39,755 | | | | | | 328,531 | |
Vodafone Group PLC | | | 672,800 | | | | | | 1,693,625 | |
Vodafone Group PLC ADR | | | 24,100 | | | | | | 607,079 | |
| | | | | | | | | | |
| | | | | | | | | 2,890,555 | |
| | | | | | | | | | |
Total Foreign Common Stocks
(Cost $19,906,800) | | | | | | 20,805,682 | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | Shares | | | Value | |
PREFERRED STOCKS — 4.3% | |
Apache CorporationD* | | | 24,400 | | | | | $ | 1,115,080 | |
Bank of America
Corporation* | | | 2,400 | | | | | | 2,724,000 | |
Health Care REIT, Inc.* | | | 30,700 | | | | | | 1,755,733 | |
MetLife, Inc.* | | | 13,800 | | | | | | 613,686 | |
Stanley Black & Decker, Inc.* | | | 18,000 | | | | | | 2,172,960 | |
US Bancorp | | | 87,500 | | | | | | 2,427,250 | |
Wells Fargo & Co.* | | | 5,191 | | | | | | 6,358,975 | |
| | | | | | | | | | |
Total Preferred Stocks
(Cost $15,970,990) | | | | | | 17,167,684 | |
| | | | | | | | | | |
RIGHT/WARRANT — 0.0% | |
Kinder Morgan, Inc.*
(Cost $16,925) | | | 8,672 | | | | | | 32,780 | |
| | | | | | | | | | |
MASTER LIMITED PARTNERSHIPS — 0.8% | |
El Paso Pipeline Partners LP | | | 28,300 | | | | | | 1,046,251 | |
Spectra Energy Partners LP | | | 69,100 | | | | | | 2,157,993 | |
| | | | | | | | | | |
Total Master Limited Partnerships
(Cost $3,043,653) | | | | | | 3,204,244 | |
| | | | | | | | | | |
MONEY MARKET FUNDS — 19.5% | |
GuideStone Money Market
Fund (GS4 Class)¥ | | | 19,718,563 | | | | | | 19,718,563 | |
Northern Institutional Liquid
Assets Portfolio§ | | | 58,145,020 | | | | | | 58,145,020 | |
| | | | | | | | | | |
Total Money Market Funds
(Cost $77,863,583) | | | | | | 77,863,583 | |
| | | | | | | | | | |
| | | |
| | | Par | | | | | | |
CORPORATE BONDS — 24.9% | |
Affiliated Managers Group, Inc. | | | | | | | | | | |
3.95%, 08/15/38 | | $ | 1,605,000 | | | | | | 1,785,562 | |
Alere, Inc. | | | | | | | | | | |
3.00%, 05/15/16D | | | 1,525,000 | | | | | | 1,433,500 | |
Alliant Techsystems, Inc. | | | | | | | | | | |
3.00%, 08/15/24D | | | 1,440,000 | | | | | | 1,528,200 | |
American Axle &
Manufacturing, Inc. | | | | | | | | | | |
7.88%, 03/01/17D | | | 350,000 | | | | | | 363,125 | |
AmeriGas Finance LLC | | | | | | | | | | |
6.75%, 05/20/20D | | | 300,000 | | | | | | 330,750 | |
Amgen, Inc. | | | | | | | | | | |
0.38%, 02/01/13D | | | 1,070,000 | | | | | | 1,203,081 | |
ARAMARK Corporation | | | | | | | | | | |
8.50%, 02/01/15 | | | 500,000 | | | | | | 503,130 | |
Archer-Daniels-Midland Co. | | | | | | | | | | |
0.88%, 02/15/14 | | | 1,320,000 | | | | | | 1,327,425 | |
Arris Group, Inc. | | | | | | | | | | |
2.00%, 11/15/26 | | | 1,415,000 | | | | | | 1,510,512 | |
Avis Budget Group, Inc. | | | | | | | | | | |
3.50%, 10/01/14 | | | 1,110,000 | | | | | | 1,525,556 | |
Boston Properties LP | | | | | | | | | | |
3.63%, 02/15/14 144A | | | 1,340,000 | | | | | | 1,418,725 | |
Bristow Group, Inc. | | | | | | | | | | |
3.00%, 06/15/38 | | | 800,000 | | | | | | 854,000 | |
CCO Holdings LLC | | | | | | | | | | |
5.25%, 09/30/22D | | | 300,000 | | | | | | 305,250 | |
CenturyLink, Inc. | | | | | | | | | | |
5.80%, 03/15/22D | | | 200,000 | | | | | | 211,803 | |
Charles River Laboratories
International, Inc. | | | | | | | | | | |
2.25%, 06/15/13D | | | 1,695,000 | | | | | | 1,707,712 | |
| | | | |
| | See Notes to Financial Statements. | | 161 |
| | | | | | | | | | |
| | | Par | | | Value | |
Chesapeake Energy
Corporation | | | | | | | | | | |
2.50%, 05/15/37 CONVD | | $ | 2,090,000 | | | | | $ | 1,891,450 | |
CIT Group, Inc. | | | | | | | | | | |
5.00%, 05/15/17 | | | 240,000 | | | | | | 255,600 | |
5.00%, 08/15/22 | | | 500,000 | | | | | | 535,687 | |
Citigroup, Inc. | | | | | | | | | | |
5.95%, 12/29/49† | | | 771,000 | | | | | | 781,601 | |
Covanta Holding Corporation | | | | | | | | | | |
3.25%, 06/01/14 | | | 875,000 | | | | | | 1,061,484 | |
DaVita HealthCare
Partners, Inc. | | | | | | | | | | |
6.63%, 11/01/20D | | | 500,000 | | | | | | 546,250 | |
Electronic Arts, Inc. | | | | | | | | | | |
0.75%, 07/15/16 | | | 2,120,000 | | | | | | 1,964,975 | |
Exterran Holdings, Inc. | | | | | | | | | | |
4.25%, 06/15/14 | | | 2,035,000 | | | | | | 2,340,250 | |
Frontier Communications
Corporation | | | | | | | | | | |
8.50%, 04/15/20D | | | 450,000 | | | | | | 519,750 | |
General Cable Corporation | | | | | | | | | | |
0.88%, 11/15/13 | | | 2,200,000 | | | | | | 2,190,375 | |
General Electric Capital
Corporation | | | | | | | | | | |
6.25%, 12/15/49†D | | | 2,100,000 | | | | | | 2,296,772 | |
Goodrich Petroleum
Corporation | | | | | | | | | | |
5.00%, 10/01/29D | | | 1,145,000 | | | | | | 1,080,594 | |
Goodyear Tire & Rubber Co. | | | | | | | | | | |
7.00%, 05/15/22 | | | 325,000 | | | | | | 350,188 | |
Greenbrier Cos., Inc. | | | | | | | | | | |
3.50%, 04/01/18D | | | 505,000 | | | | | | 461,128 | |
Griffon Corporation | | | | | | | | | | |
4.00%, 01/15/17 144A | | | 425,000 | | | | | | 453,156 | |
Group 1 Automotive, Inc. | | | | | | | | | | |
2.25%, 06/15/36 STEP | | | 1,640,000 | | | | | | 1,933,150 | |
Hanesbrands, Inc. | | | | | | | | | | |
6.38%, 12/15/20 | | | 500,000 | | | | | | 552,500 | |
HCA, Inc. | | | | | | | | | | |
5.88%, 05/01/23D | | | 400,000 | | | | | | 415,000 | |
Health Care REIT, Inc. | | | | | | | | | | |
3.00%, 12/01/29 | | | 1,070,000 | | | | | | 1,318,106 | |
Hologic, Inc. | | | | | | | | | | |
2.00%, 12/15/37 STEPD | | | 916,000 | | | | | | 917,718 | |
2.00%, 03/01/42 STEPD | | | 2,000,000 | | | | | | 1,993,750 | |
Hornbeck Offshore
Services, Inc. | | | | | | | | | | |
1.63%, 11/15/26 STEP | | | 1,685,000 | | | | | | 1,701,850 | |
Host Hotels & Resorts LP | | | | | | | | | | |
3.25%, 04/15/24 144A@ | | | 3,306,000 | | | | | | 3,789,503 | |
Iconix Brand Group, Inc. | | | | | | | | | | |
2.50%, 06/01/16 144A | | | 1,705,000 | | | | | | 1,774,266 | |
Illumina, Inc. | | | | | | | | | | |
0.25%, 03/15/16 144A | | | 1,805,000 | | | | | | 1,758,747 | |
Integra LifeSciences
Holdings Corporation | | | | | | | | | | |
1.63%, 12/15/16D | | | 1,750,000 | | | | | | 1,768,594 | |
Intel Corporation | | | | | | | | | | |
2.95%, 12/15/35 | | | 1,196,000 | | | | | | 1,246,083 | |
Janus Capital Group, Inc. | | | | | | | | | | |
3.25%, 07/15/14 | | | 2,257,000 | | | | | | 2,355,744 | |
Jarden Corporation | | | | | | | | | | |
7.50%, 05/01/17 | | | 500,000 | | | | | | 565,625 | |
1.88%, 09/15/18 144A | | | 865,000 | | | | | | 879,597 | |
| | | | | | | | | | |
| | | Par | | | Value | |
L-3 Communications
Holdings, Inc. | | | | | | | | | | |
3.00%, 08/01/35 | | $ | 1,723,000 | | | | | $ | 1,753,152 | |
Leap Wireless
International, Inc. | | | | | | | | | | |
4.50%, 07/15/14D | | | 2,275,000 | | | | | | 2,181,156 | |
Lennar Corporation | | | | | | | | | | |
2.00%, 12/01/20 144A | | | 1,200,000 | | | | | | 1,746,750 | |
Liberty Interactive LLC | | | | | | | | | | |
3.13%, 03/30/23 | | | 700,000 | | | | | | 1,019,375 | |
LifePoint Hospitals, Inc. | | | | | | | | | | |
3.50%, 05/15/14 | | | 5,314,000 | | | | | | 5,490,026 | |
Limited Brands, Inc. | | | | | | | | | | |
5.63%, 02/15/22 | | | 200,000 | | | | | | 218,500 | |
Linear Technology Corporation | | | | | | | | | | |
3.00%, 05/01/27 | | | 1,440,000 | | | | | | 1,506,600 | |
Live Nation Entertainment, Inc. | | | | | | | | | | |
2.88%, 07/15/27D | | | 1,725,000 | | | | | | 1,716,375 | |
Mediacom LLC | | | | | | | | | | |
7.25%, 02/15/22 | | | 350,000 | | | | | | 378,000 | |
Medtronic, Inc. | | | | | | | | | | |
1.63%, 04/15/13 | | | 1,120,000 | | | | | | 1,124,900 | |
Microchip Technology, Inc. | | | | | | | | | | |
2.13%, 12/15/37 | | | 1,217,000 | | | | | | 1,542,548 | |
Micron Technology, Inc. | | | | | | | | | | |
1.88%, 06/01/14 CONV | | | 1,835,000 | | | | | | 1,828,119 | |
NBTY, Inc. | | | | | | | | | | |
9.00%, 10/01/18 | | | 500,000 | | | | | | 567,500 | |
NuVasive, Inc. | | | | | | | | | | |
2.75%, 07/01/17 | | | 2,270,000 | | | | | | 1,997,600 | |
Omnicare, Inc. | | | | | | | | | | |
3.25%, 12/15/35 | | | 1,935,000 | | | | | | 1,939,838 | |
Owens-Brockway Glass
Container, Inc. | | | | | | | | | | |
3.00%, 06/01/15 144AD | | | 1,925,000 | | | | | | 1,914,172 | |
Prologis LP | | | | | | | | | | |
3.25%, 03/15/15 | | | 1,415,000 | | | | | | 1,610,447 | |
Reynolds Group Issuer, Inc. | | | | | | | | | | |
9.88%, 08/15/19 | | | 250,000 | | | | | | 268,750 | |
Rovi Corporation | | | | | | | | | | |
2.63%, 02/15/40 | | | 1,295,000 | | | | | | 1,294,191 | |
Sally Holdings LLC | | | | | | | | | | |
5.75%, 06/01/22 | | | 300,000 | | | | | | 327,000 | |
SanDisk Corporation | | | | | | | | | | |
1.00%, 05/15/13D | | | 1,235,000 | | | | | | 1,225,738 | |
SBA Communications
Corporation | | | | | | | | | | |
1.88%, 05/01/13 | | | 305,000 | | | | | | 519,834 | |
Steel Dynamics, Inc. | | | | | | | | | | |
5.13%, 06/15/14D | | | 1,795,000 | | | | | | 1,962,159 | |
Terex Corporation | | | | | | | | | | |
6.50%, 04/01/20 | | | 400,000 | | | | | | 426,000 | |
TIBCO Software, Inc. | | | | | | | | | | |
2.25%, 05/01/32 144A | | | 1,770,000 | | | | | | 1,691,456 | |
Trinity Industries, Inc. | | | | | | | | | | |
3.88%, 06/01/36D | | | 2,110,000 | | | | | | 2,369,794 | |
tw telecom, Inc. | | | | | | | | | | |
2.38%, 04/01/26 | | | 2,329,000 | | | | | | 3,198,008 | |
Vanguard Health Holding
Co. II LLC | | | | | | | | | | |
8.00%, 02/01/18D | | | 250,000 | | | | | | 260,000 | |
WebMD Health Corporation | | | | | | | | | | |
2.50%, 01/31/18 | | | 1,025,000 | | | | | | 863,562 | |
WellPoint, Inc. | | | | | | | | | | |
2.75%, 10/15/42 144A@ | | | 709,000 | | | | | | 766,163 | |
| | | | |
| 162 | | See Notes to Financial Statements. | | |
DEFENSIVE MARKET STRATEGIES FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | |
| | | Par | | | Value | |
XM Satellite Radio, Inc. | | | | | | | | | | |
7.00%, 12/01/14 144A | | $ | 250,000 | | | | | $ | 430,313 | |
| | | | | | | | | | |
Total Corporate Bonds
(Cost $93,989,294) | | | | | | | | | 99,845,850 | |
| | | | | | | | | | |
FOREIGN BONDS — 1.3% | |
Canada — 0.5% | |
PetroBakken Energy, Ltd. | | | | | | | | | | |
3.13%, 02/08/16 | | | 2,000,000 | | | | | | 1,989,000 | |
| | | | | | | | | | |
Luxembourg — 0.2% | |
ArcelorMittal | | | | | | | | | | |
5.00%, 05/15/14 | | | 880,000 | | | | | | 919,050 | |
| | | | | | | | | | |
Netherlands — 0.4% | |
Siemens Financierings-
maatschappij NV | | | | | | | | | | |
1.05%, 08/16/17 | | | 1,750,000 | | | | | | 1,805,825 | |
| | | | | | | | | | |
United Kingdom — 0.2% | |
Virgin Media Finance PLC | | | | | | | | | | |
4.88%, 02/15/22 | | | 200,000 | | | | | | 205,500 | |
5.25%, 02/15/22D | | | 400,000 | | | | | | 426,000 | |
| | | | | | | | | | |
| | | | | | | | | 631,500 | |
| | | | | | | | | | |
Total Foreign Bonds
(Cost $5,250,799) | | | | | | | | | 5,345,375 | |
| | | | | | | | | | |
| | | |
| | | Number of
Contracts | | | | | | |
PURCHASED OPTIONS — 0.0% | |
Call Options — 0.0% | |
WellCare Health Plans, Inc., | | | | | | | | | | |
Strike Price $50.00, Expires | | | | | | | | | | |
01/19/13 (MSCS) | | | 40 | | | | | | 5,400 | |
WellCare Health Plans, Inc., | | | | | | | | | | |
Strike Price $55.00, Expires | | | | | | | | | | |
01/19/13 (MSCS) | | | 49 | | | | | | 1,715 | |
| | | | | | | | | | |
| | | | | | | | | 7,115 | |
| | | | | | | | | | |
Put Option — 0.0% | |
iShares Russell 2000 Index
Fund, Strike Price $80.00,
Expires 01/19/13 (KS) | | | 100 | | | | | | 4,000 | |
| | | | | | | | | | |
Total Purchased Options
(Cost $37,662) | | | | | | 11,115 | |
| | | | | | | | | | |
TOTAL INVESTMENTS — 110.3%
(Cost $418,763,987) | | | | | | 441,218,547 | |
| | | | | | | | | | |
| | | |
| | | Shares | | | | | | |
COMMON STOCKS SOLD SHORT — (8.5)% | |
Consumer Discretionary — (1.7)% | |
Ascena Retail Group, Inc.* | | | (15,870 | ) | | | | | (293,436 | ) |
Buckle, Inc. (The) | | | (3,670 | ) | | | | | (163,829 | ) |
Chipotle Mexican Grill, Inc.* | | | (895 | ) | | | | | (266,227 | ) |
Dunkin’ Brands Group, Inc. | | | (2,750 | ) | | | | | (91,245 | ) |
Fifth & Pacific Cos., Inc.* | | | (14,310 | ) | | | | | (178,159 | ) |
Fossil, Inc.* | | | (1,790 | ) | | | | | (166,649 | ) |
General Motors Co.* | | | (4,980 | ) | | | | | (143,573 | ) |
Genuine Parts Co. | | | (2,150 | ) | | | | | (136,697 | ) |
Jarden Corporation* | | | (1,980 | ) | | | | | (102,366 | ) |
LKQ Corporation* | | | (15,850 | ) | | | | | (334,435 | ) |
Lowes Cos., Inc. | | | (8,980 | ) | | | | | (318,970 | ) |
Mattel, Inc. | | | (11,240 | ) | | | | | (411,609 | ) |
MDC Holdings, Inc. | | | (3,490 | ) | | | | | (128,292 | ) |
Netflix, Inc.* | | | (1,110 | ) | | | | | (102,131 | ) |
News Corporation Class B | | | (7,450 | ) | | | | | (195,488 | ) |
NIKE, Inc. Class B | | | (4,110 | ) | | | | | (212,076 | ) |
| | | | | | | | | | |
| | | Shares | | | Value | |
Nordstrom, Inc. | | | (5,100 | ) | | | | $ | (272,850 | ) |
NVR, Inc.* | | | (340 | ) | | | | | (312,800 | ) |
Panera Bread Co. Class A* | | | (1,540 | ) | | | | | (244,598 | ) |
priceline.com, Inc.* | | | (675 | ) | | | | | (419,310 | ) |
Ross Stores, Inc. | | | (2,810 | ) | | | | | (152,162 | ) |
Scripps Networks
Interactive, Inc. Class A | | | (2,130 | ) | | | | | (123,370 | ) |
Stage Stores, Inc. | | | (5,980 | ) | | | | | (148,184 | ) |
Sturm Ruger & Co., Inc. | | | (2,770 | ) | | | | | (125,758 | ) |
Target Corporation | | | (16,140 | ) | | | | | (955,004 | ) |
Tiffany & Co. | | | (1,640 | ) | | | | | (94,038 | ) |
WABCO Holdings, Inc.* | | | (3,930 | ) | | | | | (256,197 | ) |
Wal-Mart Stores, Inc. | | | (2,650 | ) | | | | | (180,809 | ) |
Winnebago Industries, Inc.* | | | (7,170 | ) | | | | | (122,822 | ) |
Wolverine World Wide, Inc. | | | (4,360 | ) | | | | | (178,673 | ) |
| | | | | | | | | | |
| | | | | | | | | (6,831,757 | ) |
| | | | | | | | | | |
Consumer Staples — (0.3)% | |
Campbell Soup Co. | | | (6,380 | ) | | | | | (222,598 | ) |
Coca-Cola Enterprises, Inc. | | | (3,790 | ) | | | | | (120,257 | ) |
General Mills Inc | | | (9,500 | ) | | | | | (383,895 | ) |
Green Mountain Coffee
Roasters, Inc.* | | | (1,710 | ) | | | | | (70,725 | ) |
J.M. Smucker Co. (The) | | | (1,780 | ) | | | | | (153,507 | ) |
Kimberly-Clark Corporation | | | (2,690 | ) | | | | | (227,117 | ) |
Mondelez International, Inc.
Class A | | | (3,660 | ) | | | | | (93,220 | ) |
Monster Beverage
Corporation* | | | (1,560 | ) | | | | | (82,493 | ) |
| | | | | | | | | | |
| | | | | | | | | (1,353,812 | ) |
| | | | | | | | | | |
Energy — (1.1)% | |
Apache Corporation | | | (4,990 | ) | | | | | (391,715 | ) |
Arch Coal, Inc. | | | (17,500 | ) | | | | | (123,550 | ) |
Baker Hughes, Inc. | | | (3,840 | ) | | | | | (156,826 | ) |
Berry Petroleum Co. Class A | | | (7,140 | ) | | | | | (239,547 | ) |
Chesapeake Energy Corporation | | | (14,220 | ) | | | | | (236,336 | ) |
Chevron Corporation | | | (5,210 | ) | | | | | (563,409 | ) |
Cimarex Energy Co. | | | (4,570 | ) | | | | | (263,826 | ) |
ConocoPhillips | | | (8,350 | ) | | | | | (484,217 | ) |
Continental Resources, Inc.* | | | (2,380 | ) | | | | | (174,906 | ) |
Diamond Offshore Drilling, Inc. | | | (3,240 | ) | | | | | (220,190 | ) |
Helmerich & Payne, Inc. | | | (2,390 | ) | | | | | (133,864 | ) |
Oasis Petroleum, Inc.* | | | (6,040 | ) | | | | | (192,072 | ) |
Patterson-UTI Energy, Inc. | | | (6,990 | ) | | | | | (130,224 | ) |
Southwestern Energy Co.* | | | (6,770 | ) | | | | | (226,186 | ) |
Ultra Petroleum Corporation* | | | (24,570 | ) | | | | | (445,454 | ) |
W&T Offshore, Inc. | | | (5,720 | ) | | | | | (91,692 | ) |
Whiting Petroleum
Corporation* | | | (5,440 | ) | | | | | (235,933 | ) |
| | | | | | | | | | |
| | | | | | | | | (4,309,947 | ) |
| | | | | | | | | | |
Financial Services — (2.1)% | |
Advent Software, Inc.* | | | (8,790 | ) | | | | | (187,930 | ) |
Assurant, Inc. | | | (5,590 | ) | | | | | (193,973 | ) |
Capital One Financial Corporation | | | (6,570 | ) | | | | | (380,600 | ) |
Cincinnati Financial
Corporation | | | (8,940 | ) | | | | | (350,090 | ) |
City National Corporation | | | (6,640 | ) | | | | | (328,813 | ) |
CME Group, Inc. | | | (7,470 | ) | | | | | (378,804 | ) |
Eaton Vance Corporation | | | (2,870 | ) | | | | | (91,409 | ) |
Endurance Specialty
Holdings, Ltd. | | | (4,880 | ) | | | | | (193,687 | ) |
Equity Residential REIT | | | (2,320 | ) | | | | | (131,474 | ) |
Fiserv, Inc.* | | | (8,780 | ) | | | | | (693,883 | ) |
| | | | |
| | See Notes to Financial Statements. | | 163 |
| | | | | | | | | | |
| | | Shares | | | Value | |
FleetCor Technologies, Inc.* | | | (5,080 | ) | | | | $ | (272,542 | ) |
Greenhill & Co., Inc. | | | (3,130 | ) | | | | | (162,729 | ) |
Jack Henry & Associates, Inc. | | | (11,580 | ) | | | | | (454,631 | ) |
Jones Lang Lasalle, Inc. | | | (6,350 | ) | | | | | (533,019 | ) |
LaSalle Hotel Properties REIT | | | (8,070 | ) | | | | | (204,897 | ) |
Legg Mason, Inc. | | | (7,880 | ) | | | | | (202,674 | ) |
Lender Processing
Services, Inc. | | | (15,690 | ) | | | | | (386,288 | ) |
Mastercard, Inc. Class A | | | (2,070 | ) | | | | | (1,016,950 | ) |
MSCI, Inc.* | | | (12,290 | ) | | | | | (380,867 | ) |
Nationstar Mortgage
Holdings, Inc.* | | | (3,610 | ) | | | | | (111,838 | ) |
State Street Corporation | | | (4,980 | ) | | | | | (234,110 | ) |
T Rowe Price Group, Inc. | | | (3,690 | ) | | | | | (240,330 | ) |
Tanger Factory Outlet Centers
REIT | | | (21,620 | ) | | | | | (739,404 | ) |
UDR, Inc. REIT | | | (9,690 | ) | | | | | (230,428 | ) |
Zions Bancorporation | | | (13,150 | ) | | | | | (281,410 | ) |
| | | | | | | | | | |
| | | | | | | | | (8,382,780 | ) |
| | | | | | | | | | |
Healthcare — (1.3)% | |
Amedisys, Inc.* | | | (2,600 | ) | | | | | (29,302 | ) |
Arena Pharmaceuticals, Inc.* | | | (29,410 | ) | | | | | (265,278 | ) |
athenahealth, Inc.* | | | (1,370 | ) | | | | | (100,626 | ) |
Becton, Dickinson and Co. | | | (2,210 | ) | | | | | (172,800 | ) |
C.R. Bard, Inc. | | | (5,440 | ) | | | | | (531,705 | ) |
Cardinal Health, Inc. | | | (3,650 | ) | | | | | (150,307 | ) |
Celgene Corporation* | | | (2,050 | ) | | | | | (161,376 | ) |
Chemed Corporation | | | (690 | ) | | | | | (47,327 | ) |
Community Health
Systems, Inc. | | | (1,980 | ) | | | | | (60,865 | ) |
DENTSPLY International, Inc. | | | (10,360 | ) | | | | | (410,360 | ) |
Edwards Lifesciences
Corporation* | | | (8,110 | ) | | | | | (731,279 | ) |
Eli Lilly & Co. | | | (2,460 | ) | | | | | (121,327 | ) |
Endo Pharmaceuticals
Holdings, Inc.* | | | (3,270 | ) | | | | | (85,903 | ) |
Gentiva Health Services, Inc.* | | | (2,300 | ) | | | | | (23,115 | ) |
Greenway Medical
Technologies* | | | (6,480 | ) | | | | | (99,533 | ) |
Henry Schein, Inc.* | | | (1,190 | ) | | | | | (95,747 | ) |
Hologic, Inc.* | | | (4,500 | ) | | | | | (90,135 | ) |
Impax Laboratories, Inc.* | | | (3,000 | ) | | | | | (61,470 | ) |
Johnson & Johnson | | | (3,440 | ) | | | | | (241,144 | ) |
Kindred Healthcare, Inc.* | | | (4,330 | ) | | | | | (46,851 | ) |
Life Technologies Corporation* | | | (1,970 | ) | | | | | (96,688 | ) |
Merck & Co., Inc. | | | (2,930 | ) | | | | | (119,954 | ) |
Myriad Genetics, Inc.* | | | (2,210 | ) | | | | | (60,222 | ) |
Nektar Therapeutics* | | | (5,360 | ) | | | | | (39,718 | ) |
Neogen Corporation* | | | (1,570 | ) | | | | | (71,152 | ) |
NPS Pharmaceuticals, Inc.* | | | (5,360 | ) | | | | | (48,776 | ) |
Patterson Cos., Inc. | | | (3,710 | ) | | | | | (126,993 | ) |
Quest Diagnostics, Inc. | | | (5,480 | ) | | | | | (319,320 | ) |
Select Medical Holdings
Corporation | | | (4,720 | ) | | | | | (44,510 | ) |
Stryker Corporation | | | (2,190 | ) | | | | | (120,056 | ) |
Tenet Healthcare Corporation* | | | (2,830 | ) | | | | | (91,890 | ) |
UnitedHealth Group, Inc. | | | (1,770 | ) | | | | | (96,005 | ) |
Varian Medical Systems, Inc.* | | | (4,480 | ) | | | | | (314,675 | ) |
Vivus, Inc.* | | | (6,300 | ) | | | | | (84,546 | ) |
| | | | | | | | | | |
| | | | | | | | | (5,160,955 | ) |
| | | | | | | | | | |
|
Materials & Processing — (1.0)% | |
Alcoa, Inc. | | | (22,580 | ) | | | | | (195,994 | ) |
Allegheny Technologies, Inc. | | | (6,390 | ) | | | | | (194,000 | ) |
Ball Corporation | | | (8,550 | ) | | | | | (382,612 | ) |
| | | | | | | | | | |
| | | Shares | | | Value | |
Compass Minerals
International, Inc. | | | (6,580 | ) | | | | $ | (491,592 | ) |
E.I. du Pont de
Nemours & Co. | | | (5,530 | ) | | | | | (248,684 | ) |
Freeport-Mcmoran Copper &
Gold, Inc. | | | (10,690 | ) | | | | | (365,598 | ) |
Globe Specialty Metals, Inc. | | | (2,650 | ) | | | | | (36,438 | ) |
Huntsman Corporation | | | (7,550 | ) | | | | | (120,045 | ) |
Molycorp, Inc.* | | | (9,450 | ) | | | | | (89,208 | ) |
Mosaic Co. (The) | | | (8,030 | ) | | | | | (454,739 | ) |
Newmont Mining Corporation | | | (9,780 | ) | | | | | (454,183 | ) |
Praxair, Inc. | | | (1,160 | ) | | | | | (126,962 | ) |
Royal Gold, Inc. | | | (1,260 | ) | | | | | (102,451 | ) |
Schnitzer Steel Industries, Inc. | | | (4,200 | ) | | | | | (127,386 | ) |
Sherwin Williams Co. (The) | | | (2,010 | ) | | | | | (309,178 | ) |
Sigma-Aldrich Corporation | | | (2,560 | ) | | | | | (188,365 | ) |
| | | | | | | | | | |
| | | | | | | | | (3,887,435 | ) |
| | | | | | | | | | |
Producer Durables — (0.6)% | |
3M Co. | | | (4,980 | ) | | | | | (462,393 | ) |
Allegiant Travel Co.* | | | (2,450 | ) | | | | | (179,855 | ) |
Cintas Corporation | | | (3,870 | ) | | | | | (158,283 | ) |
CSX Corporation | | | (4,090 | ) | | | | | (80,696 | ) |
Dover Corporation | | | (2,830 | ) | | | | | (185,959 | ) |
Mettler-Toledo
International, Inc.* | | | (750 | ) | | | | | (144,975 | ) |
Northrop Grumman
Corporation | | | (1,360 | ) | | | | | (91,909 | ) |
Paychex, Inc. | | | (6,370 | ) | | | | | (198,362 | ) |
Rockwell Automation, Inc. | | | (1,110 | ) | | | | | (93,229 | ) |
Ryder System, Inc. | | | (2,480 | ) | | | | | (123,826 | ) |
Southwest Airlines Co. | | | (15,550 | ) | | | | | (159,232 | ) |
Stericycle, Inc.* | | | (1,410 | ) | | | | | (131,511 | ) |
TransDigm Group, Inc.* | | | (750 | ) | | | | | (102,270 | ) |
Waste Connections, Inc. | | | (12,800 | ) | | | | | (432,512 | ) |
Waters Corporation* | | | (770 | ) | | | | | (67,082 | ) |
| | | | | | | | | | |
| | | | | | | | | (2,612,094 | ) |
| | | | | | | | | | |
Technology — (0.4)% | |
Concur Technologies, Inc.* | | | (4,780 | ) | | | | | (322,746 | ) |
International Business
Machines Corporation | | | (2,190 | ) | | | | | (419,494 | ) |
Parametric Technology
Corporation* | | | (4,540 | ) | | | | | (102,195 | ) |
Rackspace Hosting, Inc.* | | | (1,300 | ) | | | | | (96,551 | ) |
SanDisk Corporation* | | | (1,410 | ) | | | | | (61,420 | ) |
Tech Data Corporation* | | | (2,130 | ) | | | | | (96,979 | ) |
Teradata Corporation* | | | (1,990 | ) | | | | | (123,161 | ) |
Texas Instruments, Inc. | | | (3,050 | ) | | | | | (94,367 | ) |
VeriSign, Inc.* | | | (4,650 | ) | | | | | (180,513 | ) |
Vocera Communications, Inc.* | | | (5,210 | ) | | | | | (130,771 | ) |
| | | | | | | | | | |
| | | | | | | | | (1,628,197 | ) |
| | | | | | | | | | |
Total Common Stocks Sold Short
(Cost $(33,642,008)) | | | | | | (34,166,977 | ) |
| | | | | | | | | | |
FOREIGN COMMON STOCKS SOLD
SHORT — (1.7)% | |
Brazil — (0.1)% | |
Banco Bradesco SA ADR | | | (14,690 | ) | | | | | (255,165 | ) |
| | | | | | | | | | |
Canada — (0.1)% | |
Barrick Gold Corporation | | | (5,020 | ) | | | | | (175,750 | ) |
EnCana Corporation | | | (15,830 | ) | | | | | (312,801 | ) |
Research In Motion, Ltd.* | | | (4,310 | ) | | | | | (51,203 | ) |
| | | | | | | | | | |
| | | | | | | | | (539,754 | ) |
| | | | | | | | | | |
|
Chile — 0.0% | |
Banco Santander Chile ADR | | | (5,760 | ) | | | | | (164,098 | ) |
| | | | | | | | | | |
| | | | |
| 164 | | See Notes to Financial Statements. | | |
DEFENSIVE MARKET STRATEGIES FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | |
| | | Shares | | | Value | |
China — (0.1)% | |
Aluminum Corporation of
China, Ltd. Class H* | | | (140,590 | ) | | | | $ | (66,112 | ) |
Baidu, Inc. ADR* | | | (1,960 | ) | | | | | (204,075 | ) |
PetroChina Co., Ltd. Class H | | | (95,490 | ) | | | | | (137,760 | ) |
| | | | | | | | | | |
| | | | | | | | | (407,947 | ) |
| | | | | | | | | | |
Colombia — (0.1)% | |
Ecopetrol SA ADR | | | (7,360 | ) | | | | | (439,171 | ) |
| | | | | | | | | | |
Finland — 0.0% | |
Nokia OYJ ADR | | | (15,800 | ) | | | | | (62,410 | ) |
| | | | | | | | | | |
Germany — (0.3)% | |
Daimler AG | | | (1,720 | ) | | | | | (94,696 | ) |
Muenchener Rueckversi-
cherungs AG | | | (2,670 | ) | | | | | (482,012 | ) |
SAP AG ADR | | | (2,870 | ) | | | | | (230,690 | ) |
SGL Carbon SE | | | (2,580 | ) | | | | | (102,848 | ) |
ThyssenKrupp AG | | | (5,810 | ) | | | | | (137,190 | ) |
| | | | | | | | | | |
| | | | | | | | | (1,047,436 | ) |
| | | | | | | | | | |
Hong Kong — 0.0% | |
Hong Kong Exchanges and Clearing, Ltd. | | | (23 | ) | | | | | (398 | ) |
| | | | | | | | | | |
India — (0.1)% | |
Infosys, Ltd. ADR | | | (11,440 | ) | | | | | (483,912 | ) |
| | | | | | | | | | |
Ireland — 0.0% | |
Amarin Corporation PLC
ADR* | | | (6,280 | ) | | | | | (50,805 | ) |
| | | | | | | | | | |
Israel — (0.1)% | |
Check Point Software
Technologies, Ltd.* | | | (5,180 | ) | | | | | (246,775 | ) |
| | | | | | | | | | |
Japan — (0.1)% | |
Eisai Co., Ltd. | | | (2,490 | ) | | | | | (103,939 | ) |
Takeda Pharma-ceutical Co., Ltd. | | | (2,280 | ) | | | | | (101,905 | ) |
| | | | | | | | | | |
| | | | | | | | | (205,844 | ) |
| | | | | | | | | | |
Mexico — (0.1)% | |
Coca-Cola Femsa SAB de CV ADR | | | (870 | ) | | | | | (129,665 | ) |
Grupo Financiero Banorte SAB de CV | | | (13,290 | ) | | | | | (85,819 | ) |
| | | | | | | | | | |
| | | | | | | | | (215,484 | ) |
| | | | | | | | | | |
South Korea — 0.0% | |
LG Display Co., Ltd. ADR | | | (6,760 | ) | | | | | (97,885 | ) |
| | | | | | | | | | |
Sweden — 0.0% | |
Svenska Handelsbanken AB | | | (5,657 | ) | | | | | (203,380 | ) |
| | | | | | | | | | |
Switzerland — (0.2)% | |
Novartis AG ADR | | | (10,750 | ) | | | | | (680,475 | ) |
| | | | | | | | | | |
United Kingdom — (0.4)% | |
Anglo American PLC | | | (9,034 | ) | | | | | (284,781 | ) |
Aon PLC | | | (4,470 | ) | | | | | (248,532 | ) |
ARM Holdings PLC ADR | | | (8,720 | ) | | | | | (329,878 | ) |
Astrazeneca PLC | | | (4,720 | ) | | | | | (223,681 | ) |
AstraZeneca PLC ADR | | | (3,200 | ) | | | | | (151,264 | ) |
Marks & Spencer Group PLC | | | (30,346 | ) | | | | | (190,623 | ) |
Smith & Nephew PLC ADR | | | (1,090 | ) | | | | | (60,386 | ) |
| | | | | | | | | | |
| | | | | | | | | (1,489,145 | ) |
| | | | | | | | | | |
Total Foreign Common Stocks Sold Short
(Cost $(6,397,488)) | | | | | | | | | (6,590,084 | ) |
| | | | | | | | | | |
| | | | | | | | | | |
| | | Shares | | | Value | |
EXCHANGE TRADED FUNDS SOLD SHORT — (1.7)% | |
CurrencyShares
Japanese Yen Trust | | | (520 | ) | | | | $ | (58,776 | ) |
Health Care Select Sector
SPDR Fund | | | (15,380 | ) | | | | | (614,431 | ) |
iShares Nasdaq Biotechnology
Index Fund | | | (4,550 | ) | | | | | (624,351 | ) |
iShares Russell 2000 Growth
Index Fund | | | (11,350 | ) | | | | | (1,081,768 | ) |
iShares Russell 2000
Index Fund | | | (17,350 | ) | | | | | (1,462,432 | ) |
Market Vectors Oil Service ETF | | | (6,470 | ) | | | | | (250,260 | ) |
Market Vectors Pharmaceutical ETF | | | (3,770 | ) | | | | | (149,782 | ) |
Market Vectors Gold Miners ETF | | | (3,220 | ) | | | | | (149,376 | ) |
PowerShares QQQ Trust, Series 1 | | | (4,780 | ) | | | | | (311,226 | ) |
SPDR S&P 500 ETF Trust | | | (9,320 | ) | | | | | (1,328,286 | ) |
SPDR S&P Retail ETF | | | (9,840 | ) | | | | | (614,114 | ) |
| | | | | | | | | | |
Total Exchange Traded
Funds Sold Short
(Cost $(6,639,721)) | | | | | | (6,644,802 | ) |
| | | | | | | | | | |
| | | |
| | | Par | | | | | | |
FOREIGN BOND SOLD SHORT — 0.0% | |
Guernsey — 0.0% | |
Credit Suisse Group
4.00%, 03/29/13 CONV(O)@
(Cost $(12,299)) | | $ | (12,000 | ) | | | | | (18,158 | ) |
| | | | | | | | | | |
TOTAL SECURITIES SOLD SHORT — (11.9)%
(Cost $(46,691,516)) | | | | | | (47,420,021 | ) |
| | | | | | | | | | |
Other Assets in Excess of Liabilities — 1.6% | | | | | | | | | 6,186,406 | |
| | | | | | | | | | |
NET ASSETS — 100.0% | | | | | $ | 399,984,932 | |
| | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 165 |
PORTFOLIO SUMMARY (based on net assets)
| | | | |
| | | % | |
Corporate Bonds | | | 24.9 | |
Money Market Funds | | | 19.5 | |
Financial Services | | | 9.7 | |
Healthcare | | | 9.1 | |
Utilities | | | 8.1 | |
Consumer Staples | | | 6.0 | |
Consumer Discretionary | | | 5.8 | |
Foreign Common Stocks | | | 5.2 | |
Technology | | | 5.1 | |
Producer Durables | | | 4.6 | |
Futures Contracts | | | 4.4 | |
Preferred Stocks | | | 4.3 | |
Energy | | | 3.8 | |
Materials & Processing | | | 1.7 | |
Foreign Bonds | | | 1.3 | |
Master Limited Partnerships | | | 0.8 | |
Equity Linked Securities | | | 0.4 | |
Right/Warrant | | | — | ** |
Purchased Options | | | — | ** |
Foreign Bond Sold Short | | | — | ** |
Forward Foreign Currency Contracts | | | (1.3 | ) |
Exchange Traded Funds Sold Short | | | (1.7 | ) |
Foreign Common Stocks Sold Short | | | (1.7 | ) |
Common Stocks Sold Short | | | (8.5 | ) |
| | | | |
| | | 101.5 | |
| | | | |
| ** | Rounds to less than 0.005%. |
| | | | |
| 166 | | See Notes to Financial Statements. | | |
DEFENSIVE MARKET STRATEGIES FUND
SCHEDULE OF INVESTMENTS (Continued)
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2012, 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 | | | $ | 215,475,089 | | | | $ | 215,475,089 | | | | $ | — | | | | $ | — | |
Corporate Bonds | | | | 99,845,850 | | | | | — | | | | | 90,566,321 | | | | | 9,279,529 | |
Equity Linked Securities | | | | 1,467,145 | | | | | — | | | | | — | | | | | 1,467,145 | |
Foreign Bonds | | | | 5,345,375 | | | | | — | | | | | 5,345,375 | | | | | — | |
Foreign Common Stocks | | | | 20,805,682 | | | | | 12,879,866 | | | | | 7,925,816 | | | | | — | |
Master Limited Partnerships | | | | 3,204,244 | | | | | 3,204,244 | | | | | — | | | | | — | |
Money Market Funds | | | | 77,863,583 | | | | | 77,863,583 | | | | | — | | | | | — | |
Preferred Stocks | | | | 17,167,684 | | | | | 10,808,709 | | | | | — | | | | | 6,358,975 | |
Purchased Options | | | | 11,115 | | | | | 11,115 | | | | | — | | | | | — | |
Right/Warrant | | | | 32,780 | | | | | 32,780 | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | | $ | 441,218,547 | | | | $ | 320,275,386 | | | | $ | 103,837,512 | | | | $ | 17,105,649 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | | $ | 16,020 | | | | $ | — | | | | $ | 16,020 | | | | $ | — | |
Futures Contracts | | | | 106,850 | | | | | 106,850 | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | | $ | 122,870 | | | | $ | 106,850 | | | | $ | 16,020 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | |
Investments in Securities: | | | | | | | | | | | | | | | | | | | | |
Common Stocks Sold Short | | | $ | (34,166,977 | ) | | | $ | (34,166,977 | ) | | | $ | — | | | | $ | — | |
Exchange Traded Funds Sold Short | | | | (6,644,802 | ) | | | | (6,644,802 | ) | | | | — | | | | | — | |
Foreign Bond Sold Short | | | | (18,158 | ) | | | | — | | | | | (18,158 | ) | | | | — | |
Foreign Common Stocks Sold Short | | | | (6,590,084 | ) | | | | (4,460,759 | ) | | | | (2,129,325 | ) | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Liabilities - Investments in Securities | | | $ | (47,420,021 | ) | | | $ | (45,272,538 | ) | | | $ | (2,147,483 | ) | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
***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 unobservable inputs used in the fair value measurement of the reporting entity’s corporate bonds, equity linked securities and preferred stock are values based on evaluated quotations received from dealers who make markets in such securities. Significant increases (decreases) in those evaluated quotations would result in a significantly higher (lower) fair value measurement.
LEVEL1 - 2 TRANSFERS
The Fund had securities that transferred from Level 1 to Level 2 of the fair value hierarchy as a result of foreign equities that were being valued based on quoted prices at December 31, 2011 that are now being fair valued. The value of the securities that were transferred to Level 2 as of December 31, 2012 is $5,006,793.
There were no securities transferred from Level 2 to Level 1 during the year ended December 31, 2012.
| | | | |
| | See Notes to Financial Statements. | | 167 |
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:
| | | | | | | | | | | | | | | | |
| | | Total
Value | | | Corporate
Bonds | | | Equity Linked
Securities | | | Preferred
Stock | |
Balance, 12/31/11 | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Accrued discounts/premiums | | | — | | | | — | | | | — | | | | — | |
Realized gain (loss)(1) | | | — | | | | — | | | | — | | | | — | |
Change in unrealized appreciation (depreciation)(2) | | | 6,750 | | | | — | | | | 6,750 | | | | — | |
Purchases | | | 1,460,395 | | | | — | | | | 1,460,395 | | | | — | |
Sales | | | — | | | | — | | | | — | | | | — | |
Transfers in to Level 3(3) | | | 15,638,504 | | | | 9,279,529 | | | | — | | | | 6,358,975 | |
Transfers out of Level 3 | | | — | | | | — | | | | — | | | | — | |
Maturities | | | — | | | | — | | | | — | | | | — | |
Paydowns | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Balance, 12/31/12 | | $ | 17,105,649 | | | $ | 9,279,529 | | | $ | 1,467,145 | | | $ | 6,358,975 | |
| | | | | | | | | | | | | | | | |
| (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. |
| (2) | Change in unrealized appreciation (depreciation) can be found on the Statement of Operations in Net change in unrealized appreciation (depreciation) on Investment securities. |
| (3) | Transfers into Level 3 represent the value of securities at December 31, 2012 that were transferred from Level 1 and Level 2 to Level 3 of the fair value hierarchy as a result of the inability of the Fund to obtain a price which was determined using observable inputs. |
| | | | |
| 168 | | See Notes to Financial Statements. | | |
Equity Index Fund
Familiar themes such as the sovereign debt crisis in Europe, recession fears and moderating growth expectations in China continued to dominate headlines during 2012. In the United States, the elections in November resulted in a similar polarized and gridlocked government that was finally able to strike a tax deal to avoid the “fiscal cliff” at the end of the year. Despite all of the political and economic turmoil, U.S. consumer confidence and housing improved, China’s economy bounced back and accommodating monetary policies were announced in Europe. The S&P 500® Index posted an impressive 16.00% return for 2012, while the broader U.S. market, as measured by the Russell 3000® Index, gained 16.42% for the same period.
From a sector perspective, performance was unanimously in positive territory as all sectors within the Russell 3000® Index advanced during the year. Six of nine sectors posted double-digit gains with the best performance coming from the financial services and consumer discretionary sectors. The weakest performers were the energy and utilities sectors which still experienced solid single-digit gains for the year.
In terms of the underlying dynamics of equity market performance, companies with lower quality and higher price-to-earnings characteristics generally outperformed during the year. Regarding market capitalization, large-cap companies slightly outpaced their small-cap counterparts as the Russell 1000® Index posted a one-year return of 16.42%, while the Russell 2000® Index returned 16.35%, respectively. Style differentiation was evident as value-oriented stocks outperformed growth-oriented stocks across all market capitalization segments. In the large capitalization segment, the Russell 1000® Value Index outpaced the Russell 1000® Growth Index, posting one-year returns of 17.51% and 15.26%, respectively.
The Fund was passively managed and benchmarked against the S&P 500® Index. The Fund was comprised of domestic, large-cap equity stocks with both value-and growth-style orientations. The objective of the Fund was to provide investment results approximating the aggregate price and dividend performance of the securities included in the S&P 500® Index. The GS4 Class of the Fund returned 15.76% for the one-year period ended December 31, 2012, as compared to a 16.00% return for the S&P 500® Index. The return differential was primarily a result of socially responsible investment restrictions and expenses of the Fund.
This Fund may be suitable for investors who seek higher, long-term rates of return, can accept significant short-term fluctuations in account value and want to diversify their portfolio by adding a potentially higher return, higher risk option of stocks.
Please see page 176 for information regarding specific portfolio allocations. Portfolio holdings are subject to change and risk at any time.
Equity Index Fund
| | | | | | | | | | |
| Average Annual Total Returns as of 12/31/12 |
| | | GS2 Class* | | | | GS4 Class* | | | | Benchmark** |
One Year | | 15.92% | | | | 15.76% | | | | 16.00% |
Five Year | | 1.62% | | | | 1.47% | | | | 1.66% |
Ten Year | | 6.94% | | | | 6.77% | | | | 7.10% |
Inception Date | | 08/27/01 | | | | 08/27/01 | | | | |
Total Fund Operating Expenses (April 28, 2012 Prospectus, as amended on November 30, 2012)(1) | | 0.24% | | | | 0.47% | | | | |
(1)Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph compares the results of a hypothetical $10,000 investment in the GS4 Class of the Fund for the 10 year period from December 31, 2002 to December 31, 2012, with all dividends and capital gains reinvested, with the S&P 500® Index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
**The S&P 500® Index is an unmanaged index (with no defined investment objective) of common stocks, includes reinvestment of dividends, and is a registered trademark of McGraw-Hill Co., Inc. The S&P 500® Index includes 500 of the largest stocks (in terms of market value) in the United States.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
| | |
| EQUITY INDEX FUND | | |
| SCHEDULE OF INVESTMENTS | | December 31, 2012 |
| | | | | | | | | | |
| | | Shares | | | Value | |
COMMON STOCKS — 94.0% | |
Consumer Discretionary — 12.9% | |
Amazon.com, Inc.* | | | 7,174 | | | | | $ | 1,801,678 | |
Apollo Group, Inc. Class AD* | | | 1,935 | | | | | | 40,480 | |
AutoNation, Inc.* | | | 815 | | | | | | 32,356 | |
AutoZone, Inc.* | | | 736 | | | | | | 260,860 | |
Avon Products, Inc. | | | 8,565 | | | | | | 122,993 | |
Bed Bath & Beyond, Inc.* | | | 4,570 | | | | | | 255,509 | |
Best Buy Co., Inc.D | | | 5,352 | | | | | | 63,421 | |
Big Lots, Inc.D* | | | 1,078 | | | | | | 30,680 | |
BorgWarner, Inc.* | | | 2,259 | | | | | | 161,790 | |
Cablevision Systems Corporation Class AD | | | 4,129 | | | | | | 61,687 | |
CarMax, Inc.D* | | | 4,488 | | | | | | 168,480 | |
Carnival Corporation | | | 8,811 | | | | | | 323,980 | |
CBS Corporation Class B | | | 11,728 | | | | | | 446,250 | |
Chipotle Mexican Grill, Inc.D* | | | 624 | | | | | | 185,615 | |
Coach, Inc. | | | 5,626 | | | | | | 312,299 | |
Comcast Corporation Class A | | | 52,443 | | | | | | 1,960,319 | |
Costco Wholesale Corporation | | | 8,514 | | | | | | 840,928 | |
D.R. Horton, Inc.D | | | 5,490 | | | | | | 108,592 | |
Darden Restaurants, Inc.D | | | 2,510 | | | | | | 113,126 | |
Delphi Automotive PLCD* | | | 5,919 | | | | | | 226,402 | |
DIRECTV* | | | 12,008 | | | | | | 602,321 | |
Discovery Communications, Inc. Class AD* | | | 4,666 | | | | | | 296,198 | |
Dollar General CorporationD* | | | 5,246 | | | | | | 231,296 | |
Dollar Tree, Inc.* | | | 4,531 | | | | | | 183,777 | |
eBay, Inc.* | | | 23,040 | | | | | | 1,175,501 | |
Estee Lauder Cos., Inc. (The) Class A | | | 4,725 | | | | | | 282,838 | |
Expedia, Inc.D | | | 1,843 | | | | | | 113,252 | |
Family Dollar Stores, Inc. | | | 1,907 | | | | | | 120,923 | |
Ford Motor Co. | | | 75,095 | | | | | | 972,480 | |
Fossil, Inc.* | | | 1,078 | | | | | | 100,362 | |
GameStop Corporation Class AD | | | 2,459 | | | | | | 61,696 | |
Gannett Co., Inc.D | | | 4,431 | | | | | | 79,802 | |
Gap, Inc. (The) | | | 5,869 | | | | | | 182,174 | |
Genuine Parts Co. | | | 3,077 | | | | | | 195,636 | |
Goodyear Tire & Rubber Co. (The)* | | | 4,943 | | | | | | 68,263 | |
H&R Block, Inc.D | | | 5,261 | | | | | | 97,697 | |
Harley-Davidson, Inc. | | | 4,487 | | | | | | 219,145 | |
Harman International Industries, Inc. | | | 1,346 | | | | | | 60,085 | |
Hasbro, Inc.D | | | 2,303 | | | | | | 82,678 | |
Home Depot, Inc. (The) | | | 29,518 | | | | | | 1,825,688 | |
Interpublic Group of Cos., Inc. (The) | | | 8,721 | | | | | | 96,105 | |
J.C. Penney Co., Inc.D* | | | 2,818 | | | | | | 55,543 | |
Johnson Controls, Inc. | | | 13,452 | | | | | | 412,976 | |
Kohl’s Corporation | | | 4,244 | | | | | | 182,407 | |
Leggett & Platt, Inc.D | | | 2,803 | | | | | | 76,298 | |
Lennar Corporation Class AD | | | 3,248 | | | | | | 125,600 | |
Limited Brands, Inc.D | | | 4,699 | | | | | | 221,135 | |
Lowe’s Cos., Inc. | | | 22,128 | | | | | | 785,987 | |
Macy’s, Inc. | | | 7,898 | | | | | | 308,180 | |
Marriott International, Inc. Class A | | | 4,928 | | | | | | 183,667 | |
Marriott International, Ltd. Placeholder Shares+* | | | 82,125 | | | | | | — | |
Mattel, Inc. | | | 6,749 | | | | | | 247,148 | |
McDonald’s Corporation | | | 19,860 | | | | | | 1,751,851 | |
| | | | | | | | | | |
| | | Shares | | | Value | |
McGraw-Hill Cos., Inc. (The) | | | 5,517 | | | | | $ | 301,614 | |
Netflix, Inc.D* | | | 1,102 | | | | | | 102,244 | |
Newell Rubbermaid, Inc.D | | | 5,589 | | | | | | 124,467 | |
News Corporation Class A | | | 39,699 | | | | | | 1,013,912 | |
NIKE, Inc. Class B | | | 14,474 | | | | | | 746,858 | |
Nordstrom, Inc. | | | 3,020 | | | | | | 161,570 | |
Omnicom Group, Inc. | | | 5,251 | | | | | | 262,340 | |
O’Reilly Automotive, Inc.* | | | 2,231 | | | | | | 199,496 | |
PetSmart, Inc. | | | 2,131 | | | | | | 145,633 | |
priceline.com, Inc.* | | | 981 | | | | | | 609,397 | |
PulteGroup, Inc.D* | | | 6,765 | | | | | | 122,852 | |
Ralph Lauren Corporation | | | 1,200 | | | | | | 179,904 | |
Ross Stores, Inc. | | | 4,405 | | | | | | 238,531 | |
Scripps Networks Interactive, Inc. Class A | | | 1,727 | | | | | | 100,028 | |
Snap-on, Inc. | | | 1,158 | | | | | | 91,470 | |
Staples, Inc.D | | | 13,423 | | | | | | 153,022 | |
Starbucks Corporation | | | 14,712 | | | | | | 788,857 | |
Starwood Hotels & Resorts Worldwide, Inc. | | | 3,871 | | | | | | 222,041 | |
Target Corporation | | | 12,892 | | | | | | 762,820 | |
Tiffany & Co.D | | | 2,340 | | | | | | 134,176 | |
Time Warner Cable, Inc. | | | 5,932 | | | | | | 576,531 | |
Time Warner, Inc. | | | 18,689 | | | | | | 893,895 | |
TJX Cos., Inc. | | | 14,488 | | | | | | 615,016 | |
TripAdvisor, Inc.D* | | | 2,157 | | | | | | 90,508 | |
Urban Outfitters, Inc.D* | | | 2,121 | | | | | | 83,483 | |
VF Corporation | | | 1,729 | | | | | | 261,027 | |
Wal-Mart Stores, Inc. | | | 33,053 | | | | | | 2,255,206 | |
Walt Disney Co. (The) | | | 35,102 | | | | | | 1,747,729 | |
Washington Post Co. (The) | | | | | | | | | | |
Class BD | | | 84 | | | | | | 30,678 | |
Whirlpool Corporation | | | 1,521 | | | | | | 154,762 | |
Wyndham Worldwide Corporation | | | 2,789 | | | | | | 148,403 | |
Yum! Brands, Inc. | | | 8,978 | | | | | | 596,139 | |
| | | | | | | | | | |
| | | | | | | | | 32,830,763 | |
| | | | | | | | | | |
Consumer Staples — 7.1% | |
Archer-Daniels-Midland Co. | | | 12,968 | | | | | | 355,193 | |
Campbell Soup Co.D | | | 3,495 | | | | | | 121,941 | |
Clorox Co. (The) | | | 2,547 | | | | | | 186,491 | |
Coca-Cola Co. (The) | | | 76,248 | | | | | | 2,763,990 | |
Coca-Cola Enterprises, Inc.D | | | 5,447 | | | | | | 172,833 | |
Colgate-Palmolive Co. | | | 8,777 | | | | | | 917,548 | |
ConAgra Foods, Inc. | | | 8,052 | | | | | | 237,534 | |
CVS Caremark Corporation | | | 24,691 | | | | | | 1,193,810 | |
Dean Foods Co.* | | | 3,527 | | | | | | 58,231 | |
Dr. Pepper Snapple Group, Inc. | | | 4,140 | | | | | | 182,905 | |
General Mills, Inc. | | | 12,758 | | | | | | 515,551 | |
H.J. Heinz Co.D | | | 6,304 | | | | | | 363,615 | |
Hershey Co. (The) | | | 3,016 | | | | | | 217,815 | |
Hormel Foods CorporationD | | | 2,583 | | | | | | 80,615 | |
J.M. Smucker Co. (The)D | | | 2,154 | | | | | | 185,761 | |
Kellogg Co. | | | 4,893 | | | | | | 273,274 | |
Kimberly-Clark Corporation | | | 7,774 | | | | | | 656,359 | |
Kraft Foods Group, Inc. | | | 11,649 | | | | | | 529,680 | |
Kroger Co. (The) | | | 10,136 | | | | | | 263,739 | |
McCormick & Co., Inc. (Non-Voting Shares)D | | | 2,614 | | | | | | 166,067 | |
Mead Johnson Nutrition Co. | | | 4,010 | | | | | | 264,219 | |
Mondelez International, Inc. Class A | | | 34,947 | | | | | | 890,100 | |
Monster Beverage Corporation* | | | 3,034 | | | | | | 160,438 | |
| | | | |
| | See Notes to Financial Statements. | | 171 |
| | | | | | | | | | |
| | | Shares | | | Value | |
PepsiCo, Inc. | | | 30,487 | | | | | $ | 2,086,225 | |
Procter & Gamble Co. (The) | | | 54,058 | | | | | | 3,669,998 | |
Safeway, Inc.D | | | 4,601 | | | | | | 83,232 | |
Sysco Corporation | | | 11,551 | | | | | | 365,705 | |
Tyson Foods, Inc. Class A | | | 5,763 | | | | | | 111,802 | |
Walgreen Co. | | | 16,877 | | | | | | 624,618 | |
Whole Foods Market, Inc. | | | 3,382 | | | | | | 308,878 | |
| | | | | | | | | | |
| | | | | | | | | 18,008,167 | |
| | | | | | | | | | |
Energy — 10.6% | |
Anadarko Petroleum Corporation | | | 9,967 | | | | | | 740,648 | |
Apache Corporation | | | 7,823 | | | | | | 614,105 | |
Baker Hughes, Inc. | | | 8,649 | | | | | | 353,225 | |
Cabot Oil & Gas Corporation | | | 4,131 | | | | | | 205,476 | |
Cameron International Corporation* | | | 4,844 | | | | | | 273,492 | |
Chesapeake Energy CorporationD | | | 10,216 | | | | | | 169,790 | |
Chevron Corporation | | | 38,735 | | | | | | 4,188,803 | |
ConocoPhillips | | | 24,120 | | | | | | 1,398,719 | |
CONSOL Energy, Inc.D | | | 4,506 | | | | | | 144,643 | |
Denbury Resources, Inc.D* | | | 7,628 | | | | | | 123,573 | |
Devon Energy Corporation | | | 7,401 | | | | | | 385,148 | |
Diamond Offshore Drilling, Inc.D | | | 1,404 | | | | | | 95,416 | |
EOG Resources, Inc. | | | 5,397 | | | | | | 651,904 | |
EQT Corporation | | | 2,957 | | | | | | 174,404 | |
Exterran Holdings, Inc.* | | | 13 | | | | | | 285 | |
Exxon Mobil Corporation | | | 90,153 | | | | | | 7,802,742 | |
First Solar, Inc.D* | | | 1,151 | | | | | | 35,543 | |
FMC Technologies, Inc.* | | | 4,713 | | | | | | 201,858 | |
Halliburton Co. | | | 18,597 | | | | | | 645,130 | |
Helmerich & Payne, Inc.D | | | 2,051 | | | | | | 114,876 | |
Hess Corporation | | | 5,880 | | | | | | 311,405 | |
Kinder Morgan, Inc. | | | 12,458 | | | | | | 440,141 | |
Marathon Oil Corporation | | | 13,870 | | | | | | 425,254 | |
Marathon Petroleum Corporation | | | 6,708 | | | | | | 422,604 | |
Murphy Oil CorporationD | | | 3,618 | | | | | | 215,452 | |
National Oilwell Varco, Inc. | | | 8,392 | | | | | | 573,593 | |
Newfield Exploration Co.* | | | 2,688 | | | | | | 71,985 | |
Noble Energy, Inc. | | | 3,495 | | | | | | 355,581 | |
Occidental Petroleum Corporation | | | 16,003 | | | | | | 1,225,990 | |
Peabody Energy Corporation | | | 5,193 | | | | | | 138,186 | |
Phillips 66 | | | 12,343 | | | | | | 655,413 | |
Pioneer Natural Resources Co. | | | 2,421 | | | | | | 258,054 | |
QEP Resources, Inc. | | | 3,559 | | | | | | 107,731 | |
Range Resources CorporationD | | | 3,196 | | | | | | 200,805 | |
Schlumberger, Ltd. | | | 26,239 | | | | | | 1,818,100 | |
Southwestern Energy Co.* | | | 6,850 | | | | | | 228,858 | |
Spectra Energy CorporationD | | | 13,299 | | | | | | 364,127 | |
Tesoro CorporationD | | | 2,765 | | | | | | 121,798 | |
Valero Energy Corporation | | | 10,857 | | | | | | 370,441 | |
Williams Cos., Inc. (The) | | | 13,274 | | | | | | 434,591 | |
WPX Energy, Inc.D* | | | 4,056 | | | | | | 60,353 | |
| | | | | | | | | | |
| | | | | | | | | 27,120,242 | |
| | | | | | | | | | |
Financial Services — 16.2% | | | | | | | | | | |
Aflac, Inc. | | | 9,222 | | | | | | 489,873 | |
Allstate Corporation (The) | | | 9,551 | | | | | | 383,664 | |
American Express Co. | | | 19,239 | | | | | | 1,105,858 | |
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| | | Shares | | | Value | |
American International Group, Inc.* | | | 29,119 | | | | | $ | 1,027,901 | |
American Tower Corporation REIT | | | 7,778 | | | | | | 601,006 | |
Ameriprise Financial, Inc. | | | 4,026 | | | | | | 252,148 | |
Apartment Investment & Management Co. Class A REIT | | | 2,872 | | | | | | 77,716 | |
Assurant, Inc. | | | 1,564 | | | | | | 54,271 | |
AvalonBay Communities, Inc. REIT | | | 2,286 | | | | | | 309,959 | |
Bank of America Corporation | | | 213,416 | | | | | | 2,475,626 | |
Bank of New York Mellon Corporation (The)D | | | 23,296 | | | | | | 598,707 | |
BB&T Corporation | | | 13,746 | | | | | | 400,146 | |
Berkshire Hathaway, Inc. Class B* | | | 36,070 | | | | | | 3,235,479 | |
BlackRock, Inc. | | | 2,472 | | | | | | 510,987 | |
Boston Properties, Inc. REIT | | | 2,966 | | | | | | 313,832 | |
Capital One Financial Corporation | | | 11,437 | | | | | | 662,545 | |
CBRE Group, Inc. Class A* | | | 5,931 | | | | | | 118,027 | |
Charles Schwab Corporation (The)D | | | 21,602 | | | | | | 310,205 | |
Chubb Corporation (The) | | | 5,228 | | | | | | 393,773 | |
Cincinnati Financial CorporationD | | | 2,882 | | | | | | 112,859 | |
Citigroup, Inc. | | | 58,075 | | | | | | 2,297,447 | |
CME Group, Inc. | | | 6,019 | | | | | | 305,223 | |
Comerica, Inc. | | | 3,797 | | | | | | 115,201 | |
Discover Financial Services | | | 9,892 | | | | | | 381,337 | |
Dun & Bradstreet Corporation (The)D | | | 881 | | | | | | 69,291 | |
E*TRADE Financial CorporationD* | | | 4,860 | | | | | | 43,497 | |
Equifax, Inc. | | | 2,346 | | | | | | 126,966 | |
Equity Residential REIT | | | 6,311 | | | | | | 357,644 | |
Fidelity National Information Services, Inc. | | | 4,926 | | | | | | 171,474 | |
Fifth Third Bancorp | | | 18,067 | | | | | | 274,438 | |
First Horizon National CorporationD | | | 5,011 | | | | | | 49,659 | |
First Horizon National Corporation Placeholder Shares+* | | | 271,852 | | | | | | — | |
Fiserv, Inc.D* | | | 2,674 | | | | | | 211,326 | |
Franklin Resources, Inc. | | | 2,727 | | | | | | 342,784 | |
Genworth Financial, Inc. Class A* | | | 9,789 | | | | | | 73,515 | |
Goldman Sachs Group, Inc. (The) | | | 8,778 | | | | | | 1,119,722 | |
Hartford Financial Services Group, Inc. | | | 8,562 | | | | | | 192,131 | |
HCP, Inc. REIT | | | 8,910 | | | | | | 402,554 | |
Health Care REIT, Inc.D | | | 5,181 | | | | | | 317,543 | |
Host Hotels & Resorts, Inc. REIT | | | 14,223 | | | | | | 222,874 | |
Hudson City Bancorp, Inc. | | | 9,338 | | | | | | 75,918 | |
Huntington Bancshares, Inc. | | | 17,141 | | | | | | 109,531 | |
IntercontinentalExchange, Inc.* | | | 1,449 | | | | | | 179,401 | |
JPMorgan Chase & Co. | | | 75,061 | | | | | | 3,300,432 | |
KeyCorp | | | 18,690 | | | | | | 157,370 | |
Kimco Realty Corporation REITD | | | 8,068 | | | | | | 155,874 | |
Legg Mason, Inc. | | | 2,303 | | | | | | 59,233 | |
| | | | |
| 172 | | See Notes to Financial Statements. | | |
EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | |
| | | Shares | | | Value | |
Leucadia National CorporationD | | | 4,008 | | | | | $ | 95,350 | |
Lincoln National CorporationD | | | 5,427 | | | | | | 140,559 | |
Loews Corporation | | | 6,157 | | | | | | 250,898 | |
M&T Bank CorporationD | | | 2,457 | | | | | | 241,941 | |
Marsh & McLennan Cos., Inc. | | | 10,712 | | | | | | 369,243 | |
Mastercard, Inc. Class A | | | 2,113 | | | | | | 1,038,075 | |
MetLife, Inc. | | | 21,675 | | | | | | 713,974 | |
Moody’s CorporationD | | | 3,806 | | | | | | 191,518 | |
Morgan Stanley | | | 27,238 | | | | | | 520,791 | |
NASDAQ OMX Group, Inc. (The) | | | 2,287 | | | | | | 57,198 | |
Northern Trust Corporation | | | 4,250 | | | | | | 213,180 | |
NYSE Euronext | | | 4,832 | | | | | | 152,401 | |
People’s United Financial, Inc. | | | 7,109 | | | | | | 85,948 | |
Plum Creek Timber Co., Inc. REITD | | | 3,212 | | | | | | 142,516 | |
PNC Financial Services Group, Inc. | | | 10,418 | | | | | | 607,474 | |
Principal Financial Group, Inc.D | | | 5,459 | | | | | | 155,691 | |
Progressive Corporation (The)D | | | 11,027 | | | | | | 232,670 | |
Prologis, Inc. REIT | | | 9,070 | | | | | | 330,964 | |
Prudential Financial, Inc. | | | 9,176 | | | | | | 489,356 | |
Public Storage REIT | | | 2,836 | | | | | | 411,107 | |
Regions Financial Corporation | | | 27,819 | | | | | | 198,071 | |
Simon Property Group, Inc. REIT | | | 6,143 | | | | | | 971,147 | |
SLM Corporation | | | 9,277 | | | | | | 158,915 | |
State Street Corporation | | | 9,212 | | | | | | 433,056 | |
SunTrust Banks, Inc. | | | 10,592 | | | | | | 300,283 | |
T Rowe Price Group, Inc. | | | 4,978 | | | | | | 324,217 | |
Torchmark Corporation | | | 1,902 | | | | | | 98,276 | |
Total System Services, Inc. | | | 3,083 | | | | | | 66,038 | |
Travelers Cos., Inc. (The) | | | 7,588 | | | | | | 544,970 | |
Unum Group | | | 5,644 | | | | | | 117,508 | |
US Bancorp | | | 37,146 | | | | | | 1,186,443 | |
Ventas, Inc. REIT | | | 5,813 | | | | | | 376,217 | |
Visa, Inc. Class A | | | 10,291 | | | | | | 1,559,910 | |
Vornado Realty Trust REIT | | | 3,326 | | | | | | 266,346 | |
Wells Fargo & Co. | | | 96,815 | | | | | | 3,309,137 | |
Western Union Co. (The) | | | 11,846 | | | | | | 161,224 | |
Weyerhaeuser Co. REIT | | | 10,944 | | | | | | 304,462 | |
Zions Bancorporation | | | 3,603 | | | | | | 77,104 | |
| | | | | | | | | | |
| | | | | | | | | 41,441,145 | |
| | | | | | | | | | |
Healthcare — 11.3% | |
Abbott Laboratories | | | 31,269 | | | | | | 2,048,120 | |
Aetna, Inc.D | | | 6,578 | | | | | | 304,561 | |
Alexion Pharmaceuticals, Inc.* | | | 3,801 | | | | | | 356,572 | |
Allergan, Inc. | | | 6,055 | | | | | | 555,425 | |
AmerisourceBergen Corporation | | | 4,646 | | | | | | 200,614 | |
Amgen, Inc. | | | 15,179 | | | | | | 1,310,251 | |
Baxter International, Inc. | | | 10,924 | | | | | | 728,194 | |
Becton, Dickinson and Co. | | | 3,918 | | | | | | 306,348 | |
Biogen Idec, Inc.* | | | 4,720 | | | | | | 692,282 | |
Boston Scientific Corporation* | | | 26,615 | | | | | | 152,504 | |
Bristol-Myers Squibb Co. | | | 32,664 | | | | | | 1,064,520 | |
C.R. Bard, Inc. | | | 1,531 | | | | | | 149,640 | |
Cardinal Health, Inc. | | | 6,730 | | | | | | 277,141 | |
CareFusion Corporation* | | | 4,289 | | | | | | 122,580 | |
Celgene Corporation* | | | 8,363 | | | | | | 658,335 | |
Cerner Corporation* | | | 2,862 | | | | | | 222,206 | |
Cigna Corporation | | | 5,674 | | | | | | 303,332 | |
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| | | Shares | | | Value | |
Conventry Health Care, Inc. | | | 2,634 | | | | | $ | 118,082 | |
DaVita HealthCare Partners, Inc.* | | | 1,676 | | | | | | 185,248 | |
DENTSPLY International, Inc.D | | | 2,837 | | | | | | 112,374 | |
Edwards Lifesciences CorporationD* | | | 2,277 | | | | | | 205,317 | |
Eli Lilly & Co. | | | 20,309 | | | | | | 1,001,640 | |
Express Scripts Holding Co.* | | | 16,150 | | | | | | 872,100 | |
Forest Laboratories, Inc.* | | | 4,602 | | | | | | 162,543 | |
Gilead Sciences, Inc.* | | | 15,031 | | | | | | 1,104,027 | |
Hospira, Inc.* | | | 3,221 | | | | | | 100,624 | |
Humana, Inc. | | | 3,189 | | | | | | 218,861 | |
Intuitive Surgical, Inc.* | | | 786 | | | | | | 385,431 | |
Johnson & Johnson | | | 54,758 | | | | | | 3,838,536 | |
Laboratory Corporation of America Holdings* | | | 1,887 | | | | | | 163,452 | |
Life Technologies CorporationD* | | | 3,431 | | | | | | 168,394 | |
McKesson Corporation | | | 4,646 | | | | | | 450,476 | |
Medtronic, Inc. | | | 20,085 | | | | | | 823,887 | |
Merck & Co., Inc. | | | 60,059 | | | | | | 2,458,816 | |
Mylan, Inc.* | | | 7,996 | | | | | | 219,730 | |
Patterson Cos., Inc.D | | | 1,684 | | | | | | 57,643 | |
PerkinElmer, Inc. | | | 2,326 | | | | | | 73,827 | |
Pfizer, Inc. | | | 145,592 | | | | | | 3,651,447 | |
Quest Diagnostics, Inc.D | | | 3,123 | | | | | | 181,977 | |
St. Jude Medical, Inc.D | | | 6,178 | | | | | | 223,273 | |
Stryker Corporation | | | 5,690 | | | | | | 311,926 | |
Tenet Healthcare CorporationD* | | | 2,046 | | | | | | 66,434 | |
Thermo Fisher Scientific, Inc. | | | 7,195 | | | | | | 458,897 | |
UnitedHealth Group, Inc. | | | 20,150 | | | | | | 1,092,936 | |
Varian Medical Systems, Inc.D* | | | 2,193 | | | | | | 154,036 | |
WellPoint, Inc. | | | 5,992 | | | | | | 365,033 | |
Zimmer Holdings, Inc. | | | 3,438 | | | | | | 229,177 | |
| | | | | | | | | | |
| | | | | | | | | 28,908,769 | |
| | | | | | | | | | |
Materials & Processing — 3.8% | |
Air Products & Chemicals, Inc. | | | 4,170 | | | | | | 350,363 | |
Airgas, Inc.D | | | 1,340 | | | | | | 122,329 | |
Alcoa, Inc.D | | | 21,087 | | | | | | 183,035 | |
Allegheny Technologies, Inc. | | | 2,039 | | | | | | 61,904 | |
Ball CorporationD | | | 3,080 | | | | | | 137,830 | |
Bemis Co., Inc.D | | | 1,966 | | | | | | 65,782 | |
CF Industries Holdings, Inc. | | | 1,234 | | | | | | 250,700 | |
Cliffs Natural Resources, Inc.D | | | 2,836 | | | | | | 109,356 | |
Dow Chemical Co. (The) | | | 23,901 | | | | | | 772,480 | |
E.I. du Pont de Nemours & Co. | | | 18,546 | | | | | | 834,014 | |
Eastman Chemical Co. | | | 3,013 | | | | | | 205,035 | |
Ecolab, Inc. | | | 5,185 | | | | | | 372,802 | |
Fastenal Co.D | | | 5,306 | | | | | | 247,737 | |
FMC Corporation | | | 2,705 | | | | | | 158,297 | |
Freeport-McMoRan Copper & Gold, Inc. | | | 18,702 | | | | | | 639,608 | |
International Flavors & Fragrances, Inc.D | | | 1,618 | | | | | | 107,662 | |
International Paper Co. | | | 8,611 | | | | | | 343,062 | |
Masco CorporationD | | | 6,879 | | | | | | 114,604 | |
MeadWestvaco Corporation | | | 3,413 | | | | | | 108,772 | |
Monsanto Co. | | | 10,619 | | | | | | 1,005,088 | |
Mosaic Co. (The) | | | 5,443 | | | | | | 308,237 | |
Newmont Mining Corporation | | | 9,772 | | | | | | 453,812 | |
Nucor CorporationD | | | 6,273 | | | | | | 270,868 | |
Owens-Illinois, Inc.* | | | 3,309 | | | | | | 70,382 | |
PPG Industries, Inc. | | | 3,006 | | | | | | 406,862 | |
| | | | |
| | See Notes to Financial Statements. | | 173 |
| | | | | | | | | | |
| | | Shares | | | Value | |
Praxair, Inc. | | | 5,873 | | | | | $ | 642,800 | |
Precision Castparts Corporation | | | 2,863 | | | | | | 542,310 | |
Sealed Air CorporationD | | | 4,014 | | | | | | 70,285 | |
Sherwin-Williams Co. (The) | | | 1,678 | | | | | | 258,110 | |
Sigma-Aldrich Corporation | | | 2,400 | | | | | | 176,592 | |
Titanium Metals Corporation | | | 1,357 | | | | | | 22,404 | |
United States Steel
CorporationD | | | 2,762 | | | | | | 65,929 | |
Vulcan Materials Co. | | | 2,596 | | | | | | 135,122 | |
| | | | | | | | | | |
| | | | | | | | | 9,614,173 | |
| | | | | | | | | | |
Producer Durables — 9.6% | |
3M Co. | | | 12,633 | | | | | | 1,172,974 | |
ADT Corporation (The) | | | 4,527 | | | | | | 210,460 | |
Agilent Technologies, Inc. | | | 6,857 | | | | | | 280,726 | |
Automatic Data
Processing, Inc. | | | 9,534 | | | | | | 543,533 | |
Avery Dennison Corporation | | | 1,980 | | | | | | 69,142 | |
Boeing Co. (The) | | | 13,460 | | | | | | 1,014,346 | |
C.H. Robinson
Worldwide, Inc.D | | | 3,211 | | | | | | 202,999 | |
Caterpillar, Inc. | | | 12,985 | | | | | | 1,163,196 | |
Cintas CorporationD | | | 2,141 | | | | | | 87,567 | |
CSX Corporation | | | 20,476 | | | | | | 403,991 | |
Cummins, Inc. | | | 3,487 | | | | | | 377,816 | |
Danaher Corporation | | | 11,500 | | | | | | 642,850 | |
Deere & Co. | | | 7,712 | | | | | | 666,471 | |
Dover Corporation | | | 3,599 | | | | | | 236,490 | |
Emerson Electric Co. | | | 14,328 | | | | | | 758,811 | |
Expeditors International of Washington, Inc. | | | 4,201 | | | | | | 166,150 | |
FedEx Corporation | | | 5,741 | | | | | | 526,565 | |
FLIR Systems, Inc. | | | 3,049 | | | | | | 68,023 | |
Flowserve Corporation | | | 1,008 | | | | | | 147,974 | |
Fluor Corporation | | | 3,302 | | | | | | 193,959 | |
General Dynamics Corporation | | | 6,535 | | | | | | 452,679 | |
General Electric Co. | | | 207,462 | | | | | | 4,354,627 | |
Honeywell International, Inc. | | | 15,535 | | | | | | 986,006 | |
Illinois Tool Works, Inc. | | | 8,495 | | | | | | 516,581 | |
Iron Mountain, Inc. | | | 3,234 | | | | | | 100,416 | |
Jacobs Engineering
Group, Inc.* | | | 2,559 | | | | | | 108,937 | |
Joy Global, Inc.D | | | 2,090 | | | | | | 133,300 | |
L-3 Communications
Holdings, Inc. | | | 1,883 | | | | | | 144,275 | |
Lockheed Martin Corporation | | | 5,313 | | | | | | 490,337 | |
Norfolk Southern Corporation | | | 6,292 | | | | | | 389,097 | |
Northrop Grumman
CorporationD | | | 4,844 | | | | | | 327,358 | |
PACCAR, Inc. | | | 6,910 | | | | | | 312,401 | |
Pall CorporationD | | | 2,134 | | | | | | 128,595 | |
Parker Hannifin Corporation | | | 2,959 | | | | | | 251,693 | |
Paychex, Inc. | | | 6,346 | | | | | | 197,614 | |
Pitney Bowes, Inc.D | | | 4,372 | | | | | | 46,518 | |
Quanta Services, Inc.* | | | 4,125 | | | | | | 112,571 | |
Raytheon Co. | | | 6,551 | | | | | | 377,076 | |
Republic Services, Inc. | | | 5,896 | | | | | | 172,930 | |
Robert Half International, Inc.D | | | 2,799 | | | | | | 89,064 | |
Rockwell Automation, Inc. | | | 2,758 | | | | | | 231,644 | |
Rockwell Collins, Inc.D | | | 2,786 | | | | | | 162,062 | |
Roper Industries, Inc. | | | 1,929 | | | | | | 215,045 | |
Ryder System, Inc. | | | 987 | | | | | | 49,281 | |
Southwest Airlines Co. | | | 14,624 | | | | | | 149,750 | |
Stanley Black & Decker, Inc.D | | | 3,310 | | | | | | 244,841 | |
Stericycle, Inc.* | | | 1,699 | | | | | | 158,466 | |
| | | | | | | | | | |
| | | Shares | | | Value | |
Textron, Inc.D | | | 5,535 | | | | | $ | 137,213 | |
Union Pacific Corporation | | | 9,306 | | | | | | 1,169,950 | |
United Parcel Service, Inc.
Class B | | | 14,152 | | | | | | 1,043,427 | |
United Technologies
Corporation | | | 16,625 | | | | | | 1,363,416 | |
W.W. Grainger, Inc. | | | 1,176 | | | | | | 237,987 | |
Waste Management, Inc.D | | | 8,575 | | | | | | 289,321 | |
Waters CorporationD* | | | 1,722 | | | | | | 150,021 | |
Xerox Corporation | | | 25,524 | | | | | | 174,074 | |
Xylem, Inc. | | | 3,570 | | | | | | 96,747 | |
| | | | | | | | | | |
| | | | | | | | | 24,499,363 | |
| | | | | | | | | | |
Technology — 16.3% | |
Adobe Systems, Inc.* | | | 9,700 | | | | | | 365,496 | |
Advanced Micro
Devices, Inc.D* | | | 12,208 | | | | | | 29,299 | |
Akamai Technologies, Inc.D* | | | 3,491 | | | | | | 142,817 | |
Altera Corporation | | | 6,324 | | | | | | 217,799 | |
Amphenol Corporation
Class A | | | 3,142 | | | | | | 203,287 | |
Analog Devices, Inc.D | | | 5,897 | | | | | | 248,028 | |
Apple, Inc. | | | 18,600 | | | | | | 9,914,358 | |
Applied Materials, Inc. | | | 23,449 | | | | | | 268,257 | |
Autodesk, Inc.* | | | 4,499 | | | | | | 159,040 | |
BMC Software, Inc.D* | | | 2,882 | | | | | | 114,300 | |
Broadcom Corporation
Class A* | | | 10,429 | | | | | | 346,347 | |
CA, Inc. | | | 6,776 | | | | | | 148,936 | |
Cisco Systems, Inc. | | | 104,985 | | | | | | 2,062,955 | |
Citrix Systems, Inc.* | | | 3,680 | | | | | | 241,960 | |
Cognizant Technology Solutions
Corporation Class A* | | | 5,898 | | | | | | 436,747 | |
Computer Sciences Corporation | | | 3,120 | | | | | | 124,956 | |
Corning, Inc. | | | 29,121 | | | | | | 367,507 | |
Crown Castle International
Corporation* | | | 5,786 | | | | | | 417,518 | |
Dell, Inc.D | | | 28,806 | | | | | | 291,805 | |
Electronic Arts, Inc.D* | | | 6,387 | | | | | | 92,803 | |
EMC Corporation* | | | 41,714 | | | | | | 1,055,364 | |
F5 Networks, Inc.* | | | 1,535 | | | | | | 149,125 | |
Google, Inc. Class A* | | | 5,262 | | | | | | 3,732,705 | |
Harris CorporationD | | | 2,245 | | | | | | 109,915 | |
Hewlett-Packard Co. | | | 38,715 | | | | | | 551,689 | |
Intel Corporation | | | 98,412 | | | | | | 2,030,240 | |
International Business
Machines Corporation | | | 20,999 | | | | | | 4,022,358 | |
Intuit, Inc.D | | | 5,588 | | | | | | 332,486 | |
Jabil Circuit, Inc. | | | 3,722 | | | | | | 71,797 | |
JDS Uniphase CorporationD* | | | 4,745 | | | | | | 64,247 | |
Juniper Networks, Inc.* | | | 10,243 | | | | | | 201,480 | |
KLA-Tencor Corporation | | | 3,331 | | | | | | 159,089 | |
Lam Research Corporation* | | | 3,319 | | | | | | 119,915 | |
Linear Technology
CorporationD | | | 4,548 | | | | | | 155,996 | |
LSI Corporation* | | | 10,894 | | | | | | 77,130 | |
Microchip Technology, Inc. | | | 3,818 | | | | | | 124,429 | |
Micron Technology, Inc.* | | | 20,027 | | | | | | 127,171 | |
Microsoft Corporation | | | 149,740 | | | | | | 4,002,550 | |
Molex, Inc.D | | | 2,666 | | | | | | 72,862 | |
Motorola Solutions, Inc. | | | 5,635 | | | | | | 313,757 | |
NetApp, Inc.* | | | 7,153 | | | | | | 239,983 | |
NVIDIA Corporation | | | 12,198 | | | | | | 149,913 | |
Oracle Corporation | | | 74,302 | | | | | | 2,475,743 | |
QUALCOMM, Inc. | | | 33,634 | | | | | | 2,085,981 | |
Red Hat, Inc.* | | | 3,798 | | | | | | 201,142 | |
| | | | |
| 174 | | See Notes to Financial Statements. | | |
EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | |
| | | Shares | | | Value | |
SAIC, Inc.D | | | 5,715 | | | | | $ | 64,694 | |
Salesforce.com, Inc.* | | | 2,590 | | | | | | 435,379 | |
SanDisk Corporation* | | | 4,756 | | | | | | 207,171 | |
Symantec Corporation* | | | 13,868 | | | | | | 260,857 | |
Teradata Corporation* | | | 3,319 | | | | | | 205,413 | |
Teradyne, Inc.D* | | | 3,577 | | | | | | 60,416 | |
Texas Instruments, Inc. | | | 22,417 | | | | | | 693,582 | |
VeriSign, Inc.D* | | | 3,080 | | | | | | 119,566 | |
Western Digital Corporation | | | 4,331 | | | | | | 184,024 | |
Xilinx, Inc. | | | 5,102 | | | | | | 183,162 | |
Yahoo!, Inc.* | | | 20,525 | | | | | | 408,447 | |
| | | | | | | | | | |
| | | | | | | | | 41,643,993 | |
| | | | | | | | | | |
Utilities — 6.2% | |
AES Corporation (The) | | | 12,164 | | | | | | 130,155 | |
AGL Resources, Inc.D | | | 2,368 | | | | | | 94,649 | |
Ameren Corporation | | | 4,802 | | | | | | 147,517 | |
American Electric
Power Co., Inc. | | | 9,542 | | | | | | 407,253 | |
AT&T, Inc. | | | 112,478 | | | | | | 3,791,633 | |
CenterPoint Energy, Inc. | | | 8,410 | | | | | | 161,893 | |
CenturyLink, Inc.D | | | 12,273 | | | | | | 480,120 | |
CMS Energy CorporationD | | | 5,209 | | | | | | 126,995 | |
Consolidated Edison, Inc. | | | 5,767 | | | | | | 320,299 | |
Dominion Resources, Inc.D | | | 11,501 | | | | | | 595,752 | |
DTE Energy Co. | | | 3,385 | | | | | | 203,269 | |
Duke Energy CorporationD | | | 14,038 | | | | | | 895,624 | |
Edison InternationalD | | | 6,420 | | | | | | 290,120 | |
Entergy Corporation | | | 3,496 | | | | | | 222,870 | |
Exelon Corporation | | | 16,804 | | | | | | 499,751 | |
FirstEnergy CorporationD | | | 8,233 | | | | | | 343,810 | |
Frontier Communications
CorporationD | | | 19,145 | | | | | | 81,941 | |
Integrys Energy Group, Inc.D | | | 1,533 | | | | | | 80,053 | |
MetroPCS Com-
munications, Inc.* | | | 6,080 | | | | | | 60,435 | |
NextEra Energy, Inc. | | | 8,325 | | | | | | 576,007 | |
NiSource, Inc. | | | 6,109 | | | | | | 152,053 | |
Northeast Utilities | | | 6,170 | | | | | | 241,124 | |
NRG Energy, Inc. | | | 6,347 | | | | | | 145,918 | |
ONEOK, Inc. | | | 4,001 | | | | | | 171,043 | |
Pepco Holdings, Inc.D | | | 4,584 | | | | | | 89,892 | |
PG&E Corporation | | | 8,683 | | | | | | 348,883 | |
Pinnacle West Capital
Corporation | | | 2,190 | | | | | | 111,646 | |
PPL CorporationD | | | 11,421 | | | | | | 326,983 | |
Public Service Enterprise
Group, Inc. | | | 9,958 | | | | | | 304,715 | |
SCANA CorporationD | | | 2,585 | | | | | | 117,979 | |
Sempra Energy | | | 4,432 | | | | | | 314,406 | |
Southern Co. (The)D | | | 17,203 | | | | | | 736,460 | |
Sprint Nextel Corporation* | | | 59,083 | | | | | | 335,001 | |
TECO Energy, Inc.D | | | 3,986 | | | | | | 66,805 | |
Verizon Communications, Inc. | | | 56,377 | | | | | | 2,439,433 | |
Windstream CorporationD | | | 11,506 | | | | | | 95,270 | |
Wisconsin Energy Corporation | | | 4,484 | | | | | | 165,235 | |
Xcel Energy, Inc. | | | 9,584 | | | | | | 255,989 | |
| | | | | | | | | | |
| | | | | | | | | 15,928,981 | |
| | | | | | | | | | |
Total Common Stocks
(Cost $179,875,755) | | | | | | 239,995,596 | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | Shares | | | Value | |
FOREIGN COMMON STOCKS — 2.2% | |
Bermuda — 0.1% | |
Invesco, Ltd. | | | 8,786 | | | | | $ | 229,227 | |
Nabors Industries, Ltd.* | | | 5,841 | | | | | | 84,402 | |
| | | | | | | | | | |
| | | | | | | | | 313,629 | |
| | | | | | | | | | |
Ireland — 1.0% | |
Accenture PLC Class A | | | 12,654 | | | | | | 841,491 | |
Covidien PLC | | | 9,278 | | | | | | 535,712 | |
Eaton Corporation PLCD | | | 9,086 | | | | | | 492,461 | |
Ingersoll-Rand PLC | | | 5,645 | | | | | | 270,734 | |
Seagate Technology PLCD | | | 6,635 | | | | | | 202,235 | |
XL Group PLC | | | 5,999 | | | | | | 150,335 | |
| | | | | | | | | | |
| | | | | | | | | 2,492,968 | |
| | | | | | | | | | |
Netherlands — 0.2% | |
LyondellBasell Industries NV
Class A | | | 7,485 | | | | | | 427,318 | |
| | | | | | | | | | |
Switzerland — 0.6% | |
ACE, Ltd. | | | 6,677 | | | | | | 532,825 | |
Garmin, Ltd.D* | | | 2,153 | | | | | | 87,885 | |
Noble Corporation | | | 4,972 | | | | | | 173,125 | |
Pentair, Ltd. | | | 4,124 | | | | | | 202,695 | |
TE Connectivity, Ltd. | | | 8,440 | | | | | | 313,293 | |
Tyco International, Ltd. | | | 9,397 | | | | | | 274,862 | |
| | | | | | | | | | |
| | | | | | | | | 1,584,685 | |
| | | | | | | | | | |
United Kingdom — 0.3% | |
Aon PLC | | | 6,338 | | | | | | 352,393 | |
Ensco PLC Class A | | | 4,564 | | | | | | 270,554 | |
Rowan Cos. PLC Class A* | | | 2,445 | | | | | | 76,455 | |
| | | | | | | | | | |
| | | | | | | | | 699,402 | |
| | | | | | | | | | |
Total Foreign Common Stocks
(Cost $4,839,431) | | | | | | 5,518,002 | |
| | | | | | | | | | |
RIGHTS/WARRANTS — 0.0% | |
American International
Group, Inc. Fractional
Warrants+*
(Cost $0) | | | 65,600 | | | | | | — | |
| | | | | | | | | | |
MONEY MARKET FUNDS — 11.0% | |
GuideStone Money Market Fund (GS4 Class)D | | | 8,429,650 | | | | | | 8,429,650 | |
Northern Institutional Liquid Assets Portfolio§ | | | 19,621,368 | | | | | | 19,621,368 | |
| | | | | | | | | | |
Total Money Market Funds
(Cost $28,051,018) | | | | | | 28,051,018 | |
| | | | | | | | | | |
| | | |
| | | Par | | | | | | |
U.S. TREASURY OBLIGATION — 0.2% | |
U.S. Treasury Bill
0.14%, 04/25/13‡‡
(Cost $534,771) | | $ | 535,000 | | | | | | 534,878 | |
| | | | | | | | | | |
TOTAL INVESTMENTS — 107.4% | |
(Cost $213,300,975) | | | | | | | | | 274,099,494 | |
Liabilities in Excess of Other
Assets - (7.4)% | | | | | | | | | (18,836,813 | ) |
| | | | | | | | | | |
NET ASSETS — 100.0% | | | | | $ | 255,262,681 | |
| | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 175 |
PORTFOLIO SUMMARY (based on net assets)
| | | | |
| | | % | |
Technology | | | 16.3 | |
Financial Services | | | 16.2 | |
Consumer Discretionary | | | 12.9 | |
Healthcare | | | 11.3 | |
Money Market Funds | | | 11.0 | |
Energy | | | 10.6 | |
Producer Durables | | | 9.6 | |
Consumer Staples | | | 7.1 | |
Utilities | | | 6.2 | |
Materials & Processing | | | 3.8 | |
Futures Contracts | | | 3.8 | |
Foreign Common Stocks | | | 2.2 | |
U.S. Treasury Obligation | | | 0.2 | |
Rights/Warrants | | | — | ** |
| | | | |
| | | 111.2 | |
| | | | |
** Rounds to less than 0.005%.
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2012, 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 | | | $ | 239,995,596 | | | | $ | 239,995,596 | | | | $ | — | | | | $ | — | |
Foreign Common Stocks | | | | 5,518,002 | | | | | 5,518,002 | | | | | — | | | | | — | |
Money Market Funds | | | | 28,051,018 | | | | | 28,051,018 | | | | | — | | | | | — | |
Rights/Warrants | | | | — | | | | | — | | | | | — | | | | | — | |
U.S. Treasury Obligation | | | | 534,878 | | | | | — | | | | | 534,878 | | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | | $ | 274,099,494 | | | | $ | 273,564,616 | | | | $ | 534,878 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | $ | 36,495 | | | | $ | 36,495 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | | $ | 36,495 | | | | $ | 36,495 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
***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.
There were no transfers between Level 1 and Level 2 during the year ended December 31, 2012.
| | | | |
| 176 | | See Notes to Financial Statements. | | |
Real Estate Securities Fund
The Fund provided exposure to real estate by investing in public real estate securities with strong cash flow growth potential that provided the capacity for sustained dividend increases. The Fund was diversified among property sectors and geographical locations. The Fund became a registered mutual fund on December 29, 2006, but prior to that, it was offered as a private fund from 2000 to 2006.
In the face of economic uncertainty and broad market volatility, U.S. real estate investment trusts (“REITs”) outperformed the broader equity market in 2012 as real estate fundamentals remained solid, driven by the same low supply, low interest rates and moderate economic growth REITs have enjoyed for the last several years. The Fund performed in-line with its benchmark, the Dow Jones U.S. Select Real Estate Securities IndexSM, (17.09% versus 17.09%) in 2012 as solid stock selection drove performance while sector allocation had a minimal impact. Stock selection was strongest in hotel, office, apartment and storage sectors. Positive relative performance in these areas was somewhat offset by unfavorable stock selection in the retail and industrial sectors. Sector allocation provided a neutral effect on performance during the year as an overweight to the regional mall sector and underweight to the office sector was offset by an underweight to the industrial sector.
This Fund may be suitable for investors who seek the potential for current income and long-term capital appreciation. Investors should be willing to accept significant short-term fluctuations in account value and want to diversify their portfolio through exposure to publicly traded real estate securities.
This Fund invests substantial assets in REITs that involve equity market risks as well as risks linked directly to the real estate market. 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.
Please see page 179 for information regarding specific portfolio allocations. Portfolio holdings are subject to change and risk at any time.
177
Real Estate Securities Fund
| | | | | | |
| Average Annual Total Returns as of 12/31/12 |
| | | GS4 Class* | | | | Benchmark** |
One Year | | 17.09% | | | | 17.09% |
Five Year | | 5.07% | | | | 4.92% |
Since Inception | | 1.25% | | | | 0.81% |
Inception Date | | 12/29/06 | | | | |
Total Fund Operating Expenses (April 28, 2012 Prospectus, as amended on November 30, 2012)(1) | | 1.14% | | | | |
(1)Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph compares the results of a hypothetical $10,000 investment in the GS4 Class of the Fund since December 29, 2006 (commencement of operations), with all dividends and capital gains reinvested, with the Dow Jones Wilshire Real Estate Securities Index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
**The Dow Jones U.S. Select Real Estate Securities IndexSM is an unmanaged, broad-based, market capitalization-weighted index comprised of publicly traded REITs and real estate operating companies, not including special purpose or healthcare REITs. It is comprised of major companies engaged in the equity ownership and operation of commercial real estate. Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
178
| | |
REAL ESTATE SECURITIES FUND SCHEDULE OF INVESTMENTS | | December 31, 2012 |
| | | | | | | | | | |
| | | Shares | | | Value | |
COMMON STOCKS — 96.9% | |
Financial Services — 96.9% | |
Acadia Realty Trust REITD | | | 90,455 | | | | | $ | 2,268,611 | |
Alexander’s, Inc. REITD | | | 4,145 | | | | | | 1,371,166 | |
American Campus
Communities, Inc. REIT | | | 97,707 | | | | | | 4,507,224 | |
Apartment Investment &
Management Co. Class A
REIT | | | 31,683 | | | | | | 857,342 | |
AvalonBay Communities, Inc. REIT | | | 16,609 | | | | | | 2,252,014 | |
Boston Properties, Inc. REIT | | | 59,689 | | | | | | 6,315,693 | |
BRE Properties, Inc. REIT | | | 44,697 | | | | | | 2,271,948 | |
Camden Property Trust REIT | | | 83,511 | | | | | | 5,696,285 | |
Chesapeake Lodging Trust
REITD | | | 58,788 | | | | | | 1,227,494 | |
Colonial Properties Trust
REITD | | | 124,800 | | | | | | 2,666,976 | |
CubeSmart REITD | | | 263,896 | | | | | | 3,844,965 | |
DDR Corporation REITD | | | 189,665 | | | | | | 2,970,154 | |
DiamondRock Hospitality Co. REIT | | | 226,145 | | | | | | 2,035,305 | |
Digital Realty Trust, Inc. REITD | | | 7,606 | | | | | | 516,371 | |
Douglas Emmett, Inc. REITD | | | 246,714 | | | | | | 5,748,436 | |
Duke Realty Corporation REITD | | | 334,517 | | | | | | 4,639,751 | |
DuPont Fabros Technology, Inc. REITD | | | 215,142 | | | | | | 5,197,831 | |
Education Realty Trust, Inc. REIT | | | 43,454 | | | | | | 462,351 | |
Equity Residential REIT | | | 183,871 | | | | | | 10,419,970 | |
Essex Property Trust, Inc. REIT | | | 21,604 | | | | | | 3,168,227 | |
Extra Space Storage, Inc. REIT | | | 99,836 | | | | | | 3,633,032 | |
Federal Realty Investment Trust
REIT | | | 52,446 | | | | | | 5,455,433 | |
Glimcher Realty Trust REITD | | | 401,842 | | | | | | 4,456,428 | |
Health Care REIT, Inc.D | | | 182,556 | | | | | | 11,188,857 | |
Healthcare Realty Trust, Inc. REITD | | | 194,203 | | | | | | 4,662,814 | |
Healthcare Trust of America, Inc. Class A REITD | | | 30,671 | | | | | | 303,643 | |
Home Properties, Inc. REITD | | | 24,984 | | | | | | 1,531,769 | |
LaSalle Hotel Properties REIT | | | 94,202 | | | | | | 2,391,789 | |
Pebblebrook Hotel Trust REITD | | | 86,672 | | | | | | 2,002,123 | |
Pennsylvania Real Estate
Investment Trust REIT | | | 29,675 | | | | | | 523,467 | |
Post Properties, Inc. REITD | | | 79,349 | | | | | | 3,963,483 | |
Prologis, Inc. REITD | | | 133,804 | | | | | | 4,882,508 | |
PS Business Parks, Inc. REIT | | | 21,293 | | | | | | 1,383,619 | |
Public Storage REIT | | | 42,606 | | | | | | 6,176,166 | |
Regency Centers Corporation
REIT | | | 91,102 | | | | | | 4,292,726 | |
| | | | | | | | | | |
| | | Shares | | | Value | |
Silver Bay Realty Trust
Corporation REITD* | | | 49,718 | | | | | $ | 936,190 | |
Simon Property Group, Inc. REIT | | | 161,645 | | | | | | 25,554,458 | |
SL Green Realty Corporation REITD | | | 72,810 | | | | | | 5,580,886 | |
Strategic Hotels & Resorts, Inc. REITD* | | | 240,680 | | | | | | 1,540,352 | |
Sunstone Hotel Investors, Inc. REIT* | | | 247,751 | | | | | | 2,653,413 | |
Taubman Centers, Inc. REIT | | | 51,671 | | | | | | 4,067,541 | |
UDR, Inc. REIT | | | 6,429 | | | | | | 152,882 | |
Ventas, Inc. REIT | | | 139,968 | | | | | | 9,058,729 | |
Vornado Realty Trust REIT | | | 103,539 | | | | | | 8,291,403 | |
Washington Real Estate
Investment Trust REITD | | | 77,880 | | | | | | 2,036,562 | |
| | | | | | | | | | |
| | | | | | | | | 185,158,387 | |
| | | | | | | | | | |
Total Common Stocks
(Cost $164,699,932) | | | | | | | | | 185,158,387 | |
| | | | | | | | | | |
MONEY MARKET FUNDS — 21.5% | |
GuideStone Money
Market Fund (GS4 Class)¥ | | | 4,949,171 | | | | | | 4,949,171 | |
Northern Institutional Liquid
Assets Portfolio§ | | | 36,159,270 | | | | | | 36,159,270 | |
| | | | | | | | | | |
Total Money Market Funds
(Cost $41,108,441) | | | | | | 41,108,441 | |
| | | | | | | | | | |
| | |
TOTAL INVESTMENTS — 118.4%
(Cost $205,808,373) | | | | | | 226,266,828 | |
| | |
Liabilities in Excess of
Other Assets — (18.4)% | | | | | | (35,118,657 | ) |
| | | | | | | | | | |
NET ASSETS — 100.0% | | | | | $ | 191,148,171 | |
| | | | | | | | | | |
PORTFOLIO SUMMARY (based on net assets)
| | | | |
| | | % | |
Financial Services | | | 96.9 | |
Money Market Funds | | | 21.5 | |
Futures Contracts | | | 2.9 | |
| | | | |
| | | 121.3 | |
| | | | |
| | | | |
| | See Notes to Financial Statements. | | 179 |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2012, 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 | | | $ | 185,158,387 | | | | $ | 185,158,387 | | | | $ | — | | | | $ | — | |
Money Market Funds | | | | 41,108,441 | | | | | 41,108,441 | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | | $ | 226,266,828 | | | | $ | 226,266,828 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | $ | 90,761 | | | | $ | 90,761 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | | $ | 90,761 | | | | $ | 90,761 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
***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.
| | | | |
| 180 | | See Notes to Financial Statements. | | |
Value Equity Fund
Familiar themes such as the sovereign debt crisis in Europe, recession fears and moderating growth expectations in China continued to dominate headlines during 2012. In the U.S., the elections in November resulted in a similar polarized and gridlocked government that was finally able to strike a tax deal to avoid the “fiscal cliff” at the end of the year. Despite all of the political and economic turmoil, U.S. consumer confidence and housing improved, China’s economy bounced back and accommodating monetary policies were announced in Europe. The S&P 500® Index posted an impressive 16.00% return for 2012, while the broader U.S. market, as measured by the Russell 3000® Index, gained 16.42% for the same period.
From a sector perspective, performance was unanimously in positive territory as all sectors within the Russell 3000® Index advanced during the year. Six of nine sectors posted double-digit gains with the best performance coming from the financial services and consumer discretionary sectors. The weakest performers were the energy and utilities sectors which still experienced solid single-digit gains for the year.
In terms of the underlying dynamics of equity market performance, companies with lower quality and higher price-to-earnings characteristics generally outperformed during the year. Regarding market capitalization, large-cap companies slightly outpaced their small-cap counterparts as the Russell 1000® Index posted a one-year return of 16.42%, while the Russell 2000® Index returned 16.35%, respectively. Style differentiation was evident as value-oriented stocks outperformed growth-oriented stocks across all market capitalization segments. In the large capitalization segment, the Russell 1000® Value Index outpaced the Russell 1000® Growth Index, posting one-year returns of 17.51% and 15.26%, respectively.
The Fund invested in a diversified portfolio of large- and medium-sized U.S. companies whose stocks were considered to be attractive from a valuation perspective. The GS4 Class of the Fund posted double-digit positive performance but slightly underperformed its benchmark, the Russell 1000® Value Index, for the one-year period ended December 31, 2012 (17.20% versus 17.51%). Security selection to the consumer discretionary sector detracted from benchmark-relative returns, while security selection to the financials sector contributed to benchmark-relative performance for the year.
This Fund may be suitable for investors who seek higher, long-term rates of return, can accept significant short-term fluctuations in account value and want to diversify their portfolio by adding a potentially higher return, higher risk option of value stocks. This Fund is subject to value investing risk. This involves the risk that an investment in companies whose securities are believed to be undervalued, relative to their underlying profitability, will not appreciate in value as anticipated.
Please see page 185 for information regarding specific portfolio allocations. Portfolio holdings are subject to change and risk at any time.
181
Value Equity Fund
| | | | | | | | | | |
| Average Annual Total Returns as of 12/31/12 |
| | | GS2 Class* | | | | GS4 Class* | | | | Benchmark** |
One Year | | 17.47% | | | | 17.20% | | | | 17.51% |
Five Year | | 0.65% | | | | 0.46% | | | | 0.59% |
Ten Year | | 7.23% | | | | 7.04% | | | | 7.38% |
Inception Date | | 08/27/01 | | | | 08/27/01 | | | | |
Total Fund Operating Expenses (April 28, 2012 Prospectus, as amended on November 30, 2012)(1) | | 0.68% | | | | 0.91% | | | | |
(1)Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph compares the results of a hypothetical $10,000 investment in the GS4 Class of the Fund for the 10 year period from December 31, 2002 to December 31, 2012, with all dividends and capital gains reinvested, with the Russell 1000® Value Index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
**The Russell 1000® Value Index is a large-cap index consisting of those Russell 1000® Index securities with a less-than-average growth orientation. Companies in this index tend to exhibit lower price-to-book and price-to-earnings ratios, higher dividend yields and lower forecasted growth values than the growth universe.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
182
| | |
VALUE EQUITY FUND SCHEDULE OF INVESTMENTS | | December 31, 2012 |
| | | | | | | | | | |
| | | Shares | | | Value | |
COMMON STOCKS — 91.3% | |
Consumer Discretionary — 9.3% | |
Apollo Group, Inc. Class AD* | | | 87,600 | | | | | $ | 1,832,592 | |
Carnival CorporationD | | | 266,277 | | | | | | 9,791,005 | |
CBS Corporation Class B | | | 92,161 | | | | | | 3,506,726 | |
Comcast Corporation
Class A | | | 424,338 | | | | | | 15,861,754 | |
Dana Holding Corporation | | | 321,700 | | | | | | 5,021,737 | |
Dillard’s, Inc. Class AD | | | 15,900 | | | | | | 1,331,943 | |
DIRECTV* | | | 75,900 | | | | | | 3,807,144 | |
Ford Motor Co.D | | | 138,741 | | | | | | 1,796,696 | |
GameStop Corporation
Class AD | | | 92,200 | | | | | | 2,313,298 | |
Gap, Inc. (The) | | | 294,200 | | | | | | 9,131,968 | |
General Motors Co.D* | | | 100,999 | | | | | | 2,911,801 | |
Home Depot, Inc. (The) | | | 141,600 | | | | | | 8,757,960 | |
Johnson Controls, Inc. | | | 25,491 | | | | | | 782,574 | |
Lear Corporation | | | 34,400 | | | | | | 1,611,296 | |
Lennar Corporation
Class AD | | | 181,851 | | | | | | 7,032,178 | |
Lowe’s Cos., Inc. | | | 36,303 | | | | | | 1,289,483 | |
News Corporation Class A | | | 107,984 | | | | | | 2,757,911 | |
Target Corporation | | | 169,846 | | | | | | 10,049,788 | |
Time Warner, Inc. | | | 125,084 | | | | | | 5,982,768 | |
TJX Cos., Inc. | | | 30,600 | | | | | | 1,298,970 | |
Wal-Mart Stores, Inc. | | | 13,094 | | | | | | 893,404 | |
Walt Disney Co. (The) | | | 41,933 | | | | | | 2,087,844 | |
Whirlpool CorporationD | | | 38,100 | | | | | | 3,876,675 | |
Wyndham Worldwide
Corporation | | | 48,000 | | | | | | 2,554,080 | |
| | | | | | | | | | |
| | | | | | | | | 106,281,595 | |
| | | | | | | | | | |
Consumer Staples — 5.6% | |
Archer-Daniels-Midland Co. | | | 97,097 | | | | | | 2,659,487 | |
Colgate-Palmolive Co. | | | 1,453 | | | | | | 151,897 | |
CVS Caremark Corporation | | | 156,485 | | | | | | 7,566,050 | |
Dean Foods Co.* | | | 79,300 | | | | | | 1,309,243 | |
Energizer Holdings, Inc.D | | | 59,500 | | | | | | 4,758,810 | |
General Mills, Inc. | | | 5,252 | | | | | | 212,233 | |
Kellogg Co. | | | 445 | | | | | | 24,853 | |
Kimberly-Clark Corporation | | | 1,563 | | | | | | 131,964 | |
Kraft Foods Group, Inc. | | | 20,564 | | | | | | 935,045 | |
Kroger Co. (The)D | | | 142,400 | | | | | | 3,705,248 | |
Mondelez International, Inc.
Class A | | | 254,476 | | | | | | 6,481,504 | |
PepsiCo, Inc. | | | 65,200 | | | | | | 4,461,636 | |
Procter & Gamble Co. (The) | | | 94,326 | | | | | | 6,403,792 | |
Sysco CorporationD | | | 230,418 | | | | | | 7,295,034 | |
Tyson Foods, Inc. Class A | | | 58,600 | | | | | | 1,136,840 | |
Walgreen Co.D | | | 463,356 | | | | | | 17,148,805 | |
| | | | | | | | | | |
| | | | | | | | | 64,382,441 | |
| | | | | | | | | | |
Energy — 12.8% | |
Anadarko Petroleum
Corporation | | | 18,517 | | | | | | 1,375,998 | |
Apache Corporation | | | 14,450 | | | | | | 1,134,325 | |
Baker Hughes, Inc. | | | 162,036 | | | | | | 6,617,550 | |
Chevron Corporation | | | 269,439 | | | | | | 29,137,134 | |
ConocoPhillips | | | 310,886 | | | | | | 18,028,279 | |
Devon Energy Corporation | | | 83,158 | | | | | | 4,327,542 | |
Exxon Mobil Corporation | | | 386,986 | | | | | | 33,493,638 | |
First Solar, Inc.D* | | | 48,200 | | | | | | 1,488,416 | |
Halliburton Co. | | | 23,559 | | | | | | 817,262 | |
Hess Corporation | | | 11,409 | | | | | | 604,221 | |
HollyFrontier Corporation | | | 96,000 | | | | | | 4,468,800 | |
Marathon Oil Corporation | | | 234,935 | | | | | | 7,203,107 | |
| | | | | | | | | | |
| | | Shares | | | Value | |
Marathon Petroleum
Corporation | | | 85,500 | | | | | $ | 5,386,500 | |
Murphy Oil CorporationD | | | 79,600 | | | | | | 4,740,180 | |
National Oilwell Varco, Inc. | | | 12,040 | | | | | | 822,934 | |
Occidental Petroleum
Corporation | | | 151,169 | | | | | | 11,581,057 | |
Phillips 66 | | | 54,896 | | | | | | 2,914,978 | |
Spectra Energy CorporationD | | | 24,468 | | | | | | 669,934 | |
Tesoro Corporation | | | 46,400 | | | | | | 2,043,920 | |
Valero Energy Corporation | | | 270,300 | | | | | | 9,222,636 | |
Western Refining, Inc.D | | | 51,200 | | | | | | 1,443,328 | |
| | | | | | | | | | |
| | | | | | | | | 147,521,739 | |
| | | | | | | | | | |
Financial Services — 22.4% | |
Aflac, Inc.D | | | 62,725 | | | | | | 3,331,952 | |
Allstate Corporation (The) | | | 128,084 | | | | | | 5,145,134 | |
American Express Co. | | | 328,698 | | | | | | 18,893,561 | |
American International
Group, Inc.* | | | 24,160 | | | | | | 852,848 | |
Ameriprise Financial, Inc.D | | | 147,900 | | | | | | 9,262,977 | |
Assurant, Inc. | | | 85,800 | | | | | | 2,977,260 | |
Bank of America Corporation | | | 1,309,138 | | | | | | 15,186,001 | |
Bank of New York Mellon
Corporation (The)D | | | 44,108 | | | | | | 1,133,576 | |
BB&T Corporation | | | 26,182 | | | | | | 762,158 | |
Berkshire Hathaway, Inc. Class B* | | | 66,054 | | | | | | 5,925,044 | |
BlackRock, Inc. | | | 2,215 | | | | | | 457,863 | |
Capital One Financial
Corporation | | | 214,733 | | | | | | 12,439,483 | |
Charles Schwab Corporation
(The)D | | | 40,278 | | | | | | 578,392 | |
Chubb Corporation (The) | | | 10,121 | | | | | | 762,314 | |
Citigroup, Inc. | | | 691,589 | | | | | | 27,359,261 | |
CME Group, Inc. | | | 12,457 | | | | | | 631,694 | |
Discover Financial Services | | | 143,685 | | | | | | 5,539,057 | |
Equity Residential REIT | | | 11,102 | | | | | | 629,150 | |
Fifth Third Bancorp | | | 322,100 | | | | | | 4,892,699 | |
Franklin Resources, Inc. | | | 4,009 | | | | | | 503,931 | |
Goldman Sachs
Group, Inc. (The) | | | 72,551 | | | | | | 9,254,605 | |
Huntington Bancshares, Inc. | | | 645,900 | | | | | | 4,127,301 | |
JPMorgan Chase & Co. | | | 855,331 | | | | | | 37,608,904 | |
KeyCorp | | | 477,800 | | | | | | 4,023,076 | |
Lender Processing
Services, Inc. | | | 49,100 | | | | | | 1,208,842 | |
Lincoln National CorporationD | | | 53,400 | | | | | | 1,383,060 | |
Loews Corporation | | | 11,680 | | | | | | 475,960 | |
Marsh & McLennan Cos., Inc. | | | 4,263 | | | | | | 146,946 | |
MetLife, Inc. | | | 31,466 | | | | | | 1,036,490 | |
Morgan Stanley | | | 57,745 | | | | | | 1,104,084 | |
PNC Financial Services
Group, Inc. | | | 19,458 | | | | | | 1,134,596 | |
Prudential Financial, Inc. | | | 17,123 | | | | | | 913,170 | |
Regions Financial Corporation | | | 427,700 | | | | | | 3,045,224 | |
Simon Property Group, Inc. REIT | | | 1,815 | | | | | | 286,933 | |
SLM Corporation | | | 586,900 | | | | | | 10,053,597 | |
State Street CorporationD | | | 339,764 | | | | | | 15,972,306 | |
SunTrust Banks, Inc. | | | 48,100 | | | | | | 1,363,635 | |
Thomson Reuters CorporationD | | | 13,889 | | | | | | 403,614 | |
Travelers Cos., Inc. (The)D | | | 185,054 | | | | | | 13,290,578 | |
US Bancorp | | | 178,071 | | | | | | 5,687,588 | |
Wells Fargo & Co. | | | 810,146 | | | | | | 27,690,790 | |
| | | | | | | | | | |
| | | | | | | | | 257,475,654 | |
| | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 183 |
| | | | | | | | | | |
| | | Shares | | | Value | |
Healthcare — 13.7% | |
Abbott Laboratories | | | 3,077 | | | | | $ | 201,544 | |
Aetna, Inc. | | | 117,324 | | | | | | 5,432,101 | |
Amgen, Inc. | | | 19,500 | | | | | | 1,683,240 | |
Baxter International, Inc. | | | 150,844 | | | | | | 10,055,261 | |
Becton, Dickinson and Co.D | | | 538 | | | | | | 42,066 | |
Bristol-Myers Squibb Co.D | | | 5,748 | | | | | | 187,327 | |
Cardinal Health, Inc. | | | 201,951 | | | | | | 8,316,342 | |
Cigna Corporation | | | 51,300 | | | | | | 2,742,498 | |
Eli Lilly & Co. | | | 24,029 | | | | | | 1,185,110 | |
Hologic, Inc.D* | | | 266,750 | | | | | | 5,343,002 | |
Humana, Inc. | | | 59,100 | | | | | | 4,056,033 | |
Johnson & Johnson | | | 271,074 | | | | | | 19,002,287 | |
McKesson Corporation | | | 32,800 | | | | | | 3,180,288 | |
Medtronic, Inc. | | | 393,029 | | | | | | 16,122,050 | |
Merck & Co., Inc. | | | 173,182 | | | | | | 7,090,071 | |
Mylan, Inc.* | | | 161,700 | | | | | | 4,443,516 | |
Pfizer, Inc. | | | 1,433,212 | | | | | | 35,944,957 | |
Stryker Corporation | | | 2,999 | | | | | | 164,405 | |
Thermo Fisher Scientific, Inc. | | | 62,356 | | | | | | 3,977,066 | |
United Therapeutics
CorporationD* | | | 29,600 | | | | | | 1,581,232 | |
UnitedHealth Group, Inc. | | | 295,203 | | | | | | 16,011,811 | |
WellPoint, Inc.D | | | 174,580 | | | | | | 10,635,414 | |
| | | | | | | | | | |
| | | | | | | | | 157,397,621 | |
| | | | | | | | | | |
Materials & Processing — 1.9% | |
Air Products &
Chemicals, Inc. | | | 7,928 | | | | | | 666,111 | |
CF Industries Holdings, Inc. | | | 20,900 | | | | | | 4,246,044 | |
Dow Chemical Co. (The)
| | | 44,263 | | | | | | 1,430,580 | |
E.I. du Pont de
Nemours & Co.D | | | 116,700 | | | | | | 5,247,999 | |
Freeport-McMoRan Copper &
Gold, Inc. | | | 35,056 | | | | | | 1,198,915 | |
Huntsman Corporation | | | 167,000 | | | | | | 2,655,300 | |
MeadWestvaco Corporation | | | 86,700 | | | | | | 2,763,129 | |
Mosaic Co. (The) | | | 11,114 | | | | | | 629,386 | |
Newmont Mining Corporation | | | 18,391 | | | | | | 854,078 | |
Sealed Air Corporation | | | 128,200 | | | | | | 2,244,782 | |
Southern Copper CorporationD | | | 1,484 | | | | | | 56,184 | |
| | | | | | | | | | |
| | | | | | | | | 21,992,508 | |
| | | | | | | | | | |
Producer Durables — 11.0% | |
3M Co. | | | 2,630 | | | | | | 244,196 | |
ADT Corporation (The) | | | 79,310 | | | | | | 3,687,122 | |
AGCO Corporation* | | | 31,000 | | | | | | 1,522,720 | |
Boeing Co. (The) | | | 2,694 | | | | | | 203,020 | |
CSX Corporation | | | 12,665 | | | | | | 249,880 | |
Danaher Corporation | | | 14,339 | | | | | | 801,550 | |
Delta Air Lines, Inc.* | | | 163,300 | | | | | | 1,938,371 | |
Emerson Electric Co.D | | | 176,357 | | | | | | 9,339,867 | |
FedEx Corporation | | | 10,875 | | | | | | 997,455 | |
General Dynamics Corporation | | | 38,008 | | | | | | 2,632,814 | |
General Electric Co. | | | 1,611,724 | | | | | | 33,830,087 | |
Honeywell International, Inc. | | | 269,400 | | | | | | 17,098,818 | |
Illinois Tool Works, Inc.D | | | 172,931 | | | | | | 10,515,934 | |
Lockheed Martin Corporation | | | 22,798 | | | | | | 2,104,027 | |
Norfolk Southern Corporation | | | 12,203 | | | | | | 754,634 | |
Northrop Grumman
CorporationD | | | 75,023 | | | | | | 5,070,054 | |
Oshkosh Corporation* | | | 47,000 | | | | | | 1,393,550 | |
Raytheon Co.D | | | 197,188 | | | | | | 11,350,141 | |
Stanley Black & Decker, Inc.D | | | 90,700 | | | | | | 6,709,079 | |
Terex CorporationD* | | | 215,100 | | | | | | 6,046,461 | |
Textron, Inc.D | | | 315,300 | | | | | | 7,816,287 | |
| | | | | | | | | | |
| | | Shares | | | Value | |
Union Pacific Corporation | | | 13,500 | | | | | $ | 1,697,220 | |
Waste Management, Inc.D | | | 17,355 | | | | | | 585,558 | |
| | | | | | | | | | |
| | | | | | | | | 126,588,845 | |
| | | | | | | | | | |
Technology — 7.1% | |
Adobe Systems, Inc.* | | | 7,957 | | | | | | 299,820 | |
Applied Materials, Inc. | | | 202,400 | | | | | | 2,315,456 | |
BMC Software, Inc.D* | | | 32,800 | | | | | | 1,300,848 | |
Broadcom Corporation
Class A* | | | 7,883 | | | | | | 261,794 | |
CA, Inc.D | | | 185,800 | | | | | | 4,083,884 | |
Cisco Systems, Inc. | | | 740,179 | | | | | | 14,544,517 | |
Computer Sciences Corporation | | | 35,400 | | | | | | 1,417,770 | |
Corning, Inc. | | | 56,877 | | | | | | 717,788 | |
Dell, Inc. | | | 273,465 | | | | | | 2,770,201 | |
Hewlett-Packard Co. | | | 72,633 | | | | | | 1,035,020 | |
Intel Corporation | | | 287,651 | | | | | | 5,934,240 | |
International Business
Machines Corporation | | | 42,500 | | | | | | 8,140,875 | |
Lam Research CorporationD* | | | 60,500 | | | | | | 2,185,865 | |
Microsoft Corporation | | | 475,200 | | | | | | 12,702,096 | |
Oracle Corporation | | | 57,900 | | | | | | 1,929,228 | |
SAIC, Inc. | | | 134,700 | | | | | | 1,524,804 | |
Symantec Corporation* | | | 173,100 | | | | | | 3,256,011 | |
Texas Instruments, Inc. | | | 390,558 | | | | | | 12,083,864 | |
Western Digital Corporation | | | 84,800 | | | | | | 3,603,152 | |
Yahoo!, Inc.* | | | 45,680 | | | | | | 909,032 | |
| | | | | | | | | | |
| | | | | | | | | 81,016,265 | |
| | | | | | | | | | |
Utilities — 7.5% | |
AES Corporation (The) | | | 619,800 | | | | | | 6,631,860 | |
Ameren Corporation | | | 117,900 | | | | | | 3,621,888 | |
American Electric
Power Co., Inc. | | | 192,656 | | | | | | 8,222,558 | |
AT&T, Inc.D | | | 911,781 | | | | | | 30,736,138 | |
CenturyLink, Inc. | | | 23,290 | | | | | | 911,105 | |
Consolidated Edison, Inc. | | | 10,985 | | | | | | 610,107 | |
Dominion Resources, Inc. | | | 21,059 | | | | | | 1,090,856 | |
DTE Energy Co. | | | 30,400 | | | | | | 1,825,520 | |
Duke Energy CorporationD | | | 26,085 | | | | | | 1,664,223 | |
Edison International | | | 54,800 | | | | | | 2,476,412 | |
Entergy CorporationD | | | 132,800 | | | | | | 8,466,000 | |
Exelon Corporation | | | 31,265 | | | | | | 929,821 | |
FirstEnergy CorporationD | | | 15,678 | | | | | | 654,713 | |
NextEra Energy, Inc. | | | 15,338 | | | | | | 1,061,236 | |
NV Energy, Inc.D | | | 123,700 | | | | | | 2,243,918 | |
PG&E Corporation | | | 15,834 | | | | | | 636,210 | |
Public Service Enterprise
Group, Inc. | | | 131,469 | | | | | | 4,022,951 | |
Southern Co. (The)D | | | 32,129 | | | | | | 1,375,443 | |
Verizon Communications, Inc.D | | | 204,624 | | | | | | 8,854,081 | |
| | | | | | | | | | |
| | | | | | | | | 86,035,040 | |
| | | | | | | | | | |
Total Common Stocks
(Cost $935,127,494) | | | | | | 1,048,691,708 | |
| | | | | | | | | | |
FOREIGN COMMON STOCKS — 6.9% | |
Bermuda — 0.6% | |
Everest Re Group, Ltd. | | | 38,900 | | | | | | 4,277,055 | |
Nabors Industries, Ltd.* | | | 170,000 | | | | | | 2,456,500 | |
| | | | | | | | | | |
| | | | | | | | | 6,733,555 | |
| | | | | | | | | | |
Canada — 0.4% | |
Agrium, Inc. | | | 37,300 | | | | | | 3,726,643 | |
Domtar Corporation | | | 16,400 | | | | | | 1,369,728 | |
| | | | | | | | | | |
| | | | | | | | | 5,096,371 | |
| | | | | | | | | | |
| | | | |
| 184 | | See Notes to Financial Statements. | | |
VALUE EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | |
| | | Shares | | | Value | |
Cayman Islands — 0.1% | |
Herbalife, Ltd.D | | | 20,500 | | | | | $ | 675,270 | |
| | | | | | | | | | |
France — 0.9% | |
Sanofi ADR | | | 219,200 | | | | | | 10,385,696 | |
| | | | | | | | | | |
Guernsey — 0.1% | | | | | | | | | | |
Amdocs, Ltd. | | | 42,500 | | | | | | 1,444,575 | |
| | | | | | | | | | |
Ireland — 1.0% | |
Accenture PLC
Class A | | | 20,800 | | | | | | 1,383,200 | |
Covidien PLC | | | 16,817 | | | | | | 971,014 | |
Warner Chilcott PLC
Class A* | | | 314,600 | | | | | | 3,787,784 | |
XL Group PLC | | | 198,800 | | | | | | 4,981,928 | |
| | | | | | | | | | |
| | | | | | | | | 11,123,926 | |
| | | | | | | | | | |
Netherlands — 0.5% | |
LyondellBasell Industries NV
Class A | | | 11,156 | | | | | | 636,896 | |
Royal Dutch Shell PLC ADRD | | | 81,100 | | | | | | 5,591,845 | |
| | | | | | | | | | |
| | | | | | | | | 6,228,741 | |
| | | | | | | | | | |
Switzerland — 1.5% | |
ACE, Ltd. | | | 35,045 | | | | | | 2,796,591 | |
Allied World Assurance
Company Holdings AGD | | | 17,100 | | | | | | 1,347,480 | |
Pentair, Ltd. | | | 40,039 | | | | | | 1,967,917 | |
TE Connectivity, Ltd.D | | | 167,075 | | | | | | 6,201,824 | |
Tyco International, Ltd. | | | 147,921 | | | | | | 4,326,689 | |
| | | | | | | | | | |
| | | | | | | | | 16,640,501 | |
| | | | | | | | | | |
United Kingdom — 1.8% | |
BP PLC ADRD | | | 204,900 | | | | | | 8,532,036 | |
Ensco PLC Class AD | | | 132,500 | | | | | | 7,854,600 | |
Vodafone Group PLC ADR | | | 183,500 | | | | | | 4,622,365 | |
| | | | | | | | | | |
| | | | | | | | | 21,009,001 | |
| | | | | | | | | | |
Total Foreign Common Stocks
(Cost $76,631,367) | | | | | | 79,337,636 | |
| | | | | | | | | | |
MONEY MARKET FUNDS — 8.9% | |
GuideStone Money
Market Fund (GS4 Class)¥ | | | 19,170,658 | | | | | | 19,170,658 | |
Northern Institutional Liquid
Assets Portfolio§ | | | 83,136,798 | | | | | | 83,136,798 | |
| | | | | | | | | | |
Total Money Market Funds
(Cost $102,307,456) | | | | | | 102,307,456 | |
| | | | | | | | | | |
| | | |
| | | Par | | | | | | |
U.S. TREASURY OBLIGATION — 0.1% | |
U.S. Treasury Bill
0.14%, 04/25/13‡‡
(Cost $649,722) | | $ | 650,000 | | | | | | 649,852 | |
| | | | | | | | | | |
TOTAL INVESTMENTS — 107.2%
(Cost $1,114,716,039) | | | | | | 1,230,986,652 | |
Liabilities in Excess of Other
Assets — (7.2)% | | | | | | | | | (82,365,134 | ) |
| | | | | | | | | | |
Net Assets — 100.0% | | | | | $ | 1,148,621,518 | |
| | | | | | | | | | |
PORTFOLIO SUMMARY (based on net assets)
| | | | |
| | | % | |
Financial Services | | | 22.4 | |
Healthcare | | | 13.7 | |
Energy | | | 12.8 | |
Producer Durables | | | 11.0 | |
Consumer Discretionary | | | 9.3 | |
Money Market Funds | | | 8.9 | |
Utilities | | | 7.5 | |
Technology | | | 7.1 | |
Foreign Common Stocks | | | 6.9 | |
Consumer Staples | | | 5.6 | |
Materials & Processing | | | 1.9 | |
Futures Contracts | | | 1.8 | |
U.S. Treasury Obligation | | | 0.1 | |
| | | | |
| | | 109.0 | |
| | | | |
| | | | |
| | See Notes to Financial Statements. | | 185 |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2012, 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 | | | $ | 1,048,691,708 | | | | $ | 1,048,691,708 | | | | $ | — | | | | $ | — | |
Foreign Common Stocks | | | | 79,337,636 | | | | | 79,337,636 | | | | | — | | | | | — | |
Money Market Funds | | | | 102,307,456 | | | | | 102,307,456 | | | | | — | | | | | — | |
U.S. Treasury Obligation | | | | 649,852 | | | | | — | | | | | 649,852 | | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | | $ | 1,230,986,652 | | | | $ | 1,230,336,800 | | | | $ | 649,852 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | $ | 105,463 | | | | $ | 105,463 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | | $ | 105,463 | | | | $ | 105,463 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
***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.
There were no transfers between Level 1 and Level 2 during the year ended December 31, 2012.
| | | | |
| 186 | | See Notes to Financial Statements. | | |
Growth Equity Fund
Familiar themes such as the sovereign debt crisis in Europe, recession fears and moderating growth expectations in China continued to dominate headlines during 2012. In the U.S., the elections in November resulted in a similar polarized and gridlocked government that was finally able to strike a tax deal to avoid the “fiscal cliff” at the end of the year. Despite all of the political and economic turmoil, U.S. consumer confidence and housing improved, China’s economy bounced back and accommodating monetary policies were announced in Europe. The S&P 500® Index posted an impressive 16.00% return for 2012, while the broader U.S. market, as measured by the Russell 3000® Index, gained 16.42% for the same period.
From a sector perspective, performance was unanimously in positive territory as all sectors within the Russell 3000® Index advanced during the year. Six of nine sectors posted double-digit gains with the best performance coming from the financial services and consumer discretionary sectors. The weakest performers were the energy and utilities sectors which still experienced solid single-digit gains for the year.
In terms of the underlying dynamics of equity market performance, companies with lower quality and higher price-to-earnings characteristics generally outperformed during the year. Regarding market capitalization, large-cap companies slightly outpaced their small-cap counterparts as the Russell 1000® Index posted a one-year return of 16.42%, while the Russell 2000® Index returned 16.35%, respectively. Style differentiation was evident as value-oriented stocks outperformed growth-oriented stocks across all market capitalization segments. In the large capitalization segment, the Russell 1000® Value Index outpaced the Russell 1000® Growth Index, posting one-year returns of 17.51% and 15.26%, respectively.
The Fund invested in a diversified portfolio of large—and medium-sized U.S. companies whose stocks were considered to have above average potential for growth in revenue and earnings. The GS4 Class of the Fund outperformed its benchmark, the Russell 1000® Growth Index, for the one-year period ended December 31, 2012 (17.21% versus 15.26%). Overweight exposure and security selection within the financial services sector contributed to benchmark-relative returns, while security selection within the consumer discretionary and energy sectors detracted from benchmark-relative performance during the year.
This Fund may be suitable for investors who seek high, long-term rates of return, can accept significant short-term fluctuations in account value, want to invest in growth-oriented stocks and would like to diversify their portfolio by adding a potentially higher return, higher risk option of stocks. The Fund will not concentrate in any particular industry, but at times, it may be heavily invested in a particular economic sector. This may result in greater short-term price volatility.
Please see page 191 for information regarding specific portfolio allocations. Portfolio holdings are subject to change and risk at any time.
187
Growth Equity Fund
| | | | | | | | | | | | |
| Average Annual Total Returns as of 12/31/12 | | |
| | | GS2 Class* | | | | GS4 Class* | | | | Benchmark** | | |
One Year | | 17.39% | | | | 17.21% | | | | 15.26% | | |
Five Year | | 1.75% | | | | 1.61% | | | | 3.12% | | |
Ten Year | | 7.04% | | | | 6.92% | | | | 7.52% | | |
Inception Date | | 08/27/01 | | | | 08/27/01 | | | | | | |
Total Fund Operating Expenses (April 28, 2012 Prospectus,as amended on November 30, 2012)(1) | | 0.90% | | | | 1.12% | | | | | | |
(1)Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph compares the results of a hypothetical $10,000 investment in the GS4 Class of the Fund for the 10 year period from December 31, 2002 to December 31, 2012, with all dividends and capital gains reinvested, with the Russell 1000® Growth Index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
**The Russell 1000® Growth Index is a large-cap index consisting of those Russell 1000® Index securities with greater-than-average growth orientation. Companies in this index tend to exhibit higher price-to-book and price-to-earnings-ratios, lower dividend yields and higher forecasted growth values than the value universe.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
188
| | |
GROWTH EQUITY FUND SCHEDULE OF INVESTMENTS | | December 31, 2012 |
| | | | | | | | | | |
| | | Shares | | | Value | |
COMMON STOCKS — 88.4% | |
Consumer Discretionary — 22.7% | |
Amazon.com, Inc.* | | | 116,490 | | | | | $ | 29,255,299 | |
AutoZone, Inc.* | | | 12,958 | | | | | | 4,592,704 | |
CBS Corporation Class B | | | 347,877 | | | | | | 13,236,720 | |
Chipotle Mexican Grill, Inc.D* | | | 39,937 | | | | | | 11,879,660 | |
Coach, Inc. | | | 184,760 | | | | | | 10,256,028 | |
Comcast Corporation
Class AD | | | 378,369 | | | | | | 14,143,433 | |
Costco Wholesale Corporation | | | 83,420 | | | | | | 8,239,393 | |
Dick’s Sporting Goods, Inc.D | | | 21,389 | | | | | | 972,986 | |
Discovery Communications,
Inc. Class A* | | | 7,060 | | | | | | 448,169 | |
Dollar General CorporationD* | | | 126,780 | | | | | | 5,589,730 | |
eBay, Inc.* | | | 403,064 | | | | | | 20,564,325 | |
Estee Lauder Cos., Inc. (The)
Class A | | | 206,006 | | | | | | 12,331,519 | |
Foot Locker, Inc. | | | 35,924 | | | | | | 1,153,879 | |
Hertz Global Holdings, Inc.D* | | | 186,205 | | | | | | 3,029,555 | |
Home Depot, Inc. (The) | | | 287,081 | | | | | | 17,755,960 | |
Liberty Global, Inc. Class A* | | | 48,283 | | | | | | 3,041,346 | |
Limited Brands, Inc.D | | | 110,624 | | | | | | 5,205,966 | |
Lowe’s Cos., Inc. | | | 131,782 | | | | | | 4,680,897 | |
McDonald’s Corporation | | | 27,358 | | | | | | 2,413,249 | |
NIKE, Inc. Class B | | | 344,704 | | | | | | 17,786,726 | |
Nordstrom, Inc. | | | 76,290 | | | | | | 4,081,515 | |
priceline.com, Inc.* | | | 28,936 | | | | | | 17,975,043 | |
Ralph Lauren Corporation | | | 26,450 | | | | | | 3,965,384 | |
Sirius XM Radio, Inc.D* | | | 868,400 | | | | | | 2,509,676 | |
Starbucks Corporation | | | 310,373 | | | | | | 16,642,200 | |
Starwood Hotels & Resorts
Worldwide, Inc.D | | | 271,363 | | | | | | 15,565,382 | |
TJX Cos., Inc. | | | 142,087 | | | | | | 6,031,593 | |
Tractor Supply Co. | | | 19,350 | | | | | | 1,709,766 | |
Ulta Salon Cosmetics &
Fragrance, Inc.D* | | | 24,100 | | | | | | 2,368,066 | |
Urban Outfitters, Inc.D* | | | 60,400 | | | | | | 2,377,344 | |
VF CorporationD | | | 24,570 | | | | | | 3,709,333 | |
Walt Disney Co. (The) | | | 134,630 | | | | | | 6,703,228 | |
Whirlpool Corporation | | | 24,037 | | | | | | 2,445,765 | |
Yum! Brands, Inc. | | | 67,971 | | | | | | 4,513,274 | |
| | | | | | | | | | |
| | | | | | | | | 277,175,113 | |
| | | | | | | | | | |
Consumer Staples — 3.0% | |
Church & Dwight Co., Inc.D | | | 53,190 | | | | | | 2,849,388 | |
Coca-Cola Co. (The) | | | 186,200 | | | | | | 6,749,750 | |
GNC Holdings, Inc. Class A | | | 49,169 | | | | | | 1,636,344 | |
Kraft Foods Group, Inc. | | | 120,030 | | | | | | 5,457,764 | |
Mondelez International, Inc.
Class A | | | 251,650 | | | | | | 6,409,526 | |
Procter & Gamble Co. (The) | | | 70,400 | | | | | | 4,779,456 | |
Whole Foods Market, Inc. | | | 100,600 | | | | | | 9,187,798 | |
| | | | | | | | | | |
| | | | | | | | | 37,070,026 | |
| | | | | | | | | | |
Energy — 6.5% | |
Anadarko Petroleum
Corporation | | | 48,850 | | | | | | 3,630,044 | |
Cabot Oil & Gas Corporation | | | 56,595 | | | | | | 2,815,035 | |
Cameron International
Corporation* | | | 120,490 | | | | | | 6,802,865 | |
Chevron Corporation | | | 29,310 | | | | | | 3,169,583 | |
EOG Resources, Inc. | | | 24,440 | | | | | | 2,952,108 | |
FMC Technologies, Inc.D* | | | 159,700 | | | | | | 6,839,951 | |
Kinder Morgan, Inc. | | | 70,000 | | | | | | 2,473,100 | |
National Oilwell Varco, Inc. | | | 183,174 | | | | | | 12,519,943 | |
| | | | | | | | | | |
| | | Shares | | | Value | |
Noble Energy, Inc.D | | | 56,307 | | | | | $ | 5,728,674 | |
Pioneer Natural Resources Co. | | | 23,100 | | | | | | 2,462,229 | |
Schlumberger, Ltd.D | | | 355,867 | | | | | | 24,658,025 | |
Southwestern Energy Co.* | | | 152,900 | | | | | | 5,108,389 | |
| | | | | | | | | | |
| | | | | | | | | 79,159,946 | |
| | | | | | | | | | |
Financial Services — 11.7% | |
American International
Group, Inc.* | | | 36,752 | | | | | | 1,297,346 | |
American Tower Corporation
REIT | | | 178,847 | | | | | | 13,819,508 | |
Capital One Financial
Corporation | | | 172,905 | | | | | | 10,016,387 | |
CBRE Group, Inc. Class A* | | | 63,500 | | | | | | 1,263,650 | |
Citigroup, Inc. | | | 256,695 | | | | | | 10,154,854 | |
Discover Financial Services | | | 193,891 | | | | | | 7,474,498 | |
IntercontinentalExchange, Inc.* | | | 55,200 | | | | | | 6,834,312 | |
JPMorgan Chase & Co. | | | 82,890 | | | | | | 3,644,673 | |
Mastercard, Inc. Class AD | | | 31,980 | | | | | | 15,711,134 | |
Morgan Stanley | | | 144,750 | | | | | | 2,767,620 | |
Raymond James Financial, Inc. | | | 38,060 | | | | | | 1,466,452 | |
SunTrust Banks, Inc. | | | 77,370 | | | | | | 2,193,440 | |
T Rowe Price Group, Inc.D | | | 33,800 | | | | | | 2,201,394 | |
US BancorpD | | | 74,476 | | | | | | 2,378,763 | |
Visa, Inc. Class A | | | 328,991 | | | | | | 49,868,456 | |
Wells Fargo & Co. | | | 356,996 | | | | | | 12,202,123 | |
| | | | | | | | | | |
| | | | | | | | | 143,294,610 | |
| | | | | | | | | | |
Healthcare — 12.3% | |
Abbott Laboratories | | | 28,000 | | | | | | 1,834,000 | |
Alexion Pharmaceuticals,
Inc.D* | | | 156,468 | | | | | | 14,678,263 | |
Allergan, Inc. | | | 232,370 | | | | | | 21,315,300 | |
athenahealth, Inc.D* | | | 45,500 | | | | | | 3,341,975 | |
Biogen Idec, Inc.* | | | 79,823 | | | | | | 11,707,640 | |
BioMarin Pharmaceutical, Inc.D* | | | 103,000 | | | | | | 5,072,750 | |
Bristol-Myers Squibb Co. | | | 104,820 | | | | | | 3,416,084 | |
Catamaran CorporationD* | | | 46,720 | | | | | | 2,200,979 | |
Celgene Corporation* | | | 29,470 | | | | | | 2,319,878 | |
Cerner Corporation* | | | 113,900 | | | | | | 8,843,196 | |
Cooper Cos., Inc. (The)D | | | 16,270 | | | | | | 1,504,650 | |
Edwards Lifesciences
CorporationD* | | | 20,970 | | | | | | 1,890,865 | |
Express Scripts Holding Co.* | | | 189,742 | | | | | | 10,246,068 | |
Gilead Sciences, Inc.* | | | 263,433 | | | | | | 19,349,154 | |
Illumina, Inc.D* | | | 29,310 | | | | | | 1,629,343 | |
Intuitive Surgical, Inc.* | | | 31,628 | | | | | | 15,509,422 | |
Merck & Co., Inc. | | | 161,370 | | | | | | 6,606,488 | |
Pfizer, Inc. | | | 307,600 | | | | | | 7,714,608 | |
Regeneron Pharmaceuticals,
Inc.D* | | | 51,601 | | | | | | 8,827,383 | |
UnitedHealth Group, Inc. | | | 34,030 | | | | | | 1,845,787 | |
| | | | | | | | | | |
| | | | | | | | | 149,853,833 | |
| | | | | | | | | | |
Materials & Processing — 5.1% | |
Airgas, Inc.D | | | 12,470 | | | | | | 1,138,386 | |
Ecolab, Inc. | | | 62,510 | | | | | | 4,494,469 | |
Freeport-McMoRan Copper &
Gold, Inc. | | | 62,230 | | | | | | 2,128,266 | |
Masco CorporationD | | | 138,200 | | | | | | 2,302,412 | |
Monsanto Co. | | | 210,741 | | | | | | 19,946,636 | |
PPG Industries, Inc. | | | 8,800 | | | | | | 1,191,080 | |
Praxair, Inc. | | | 118,930 | | | | | | 13,016,888 | |
Precision Castparts
CorporationD | | | 78,676 | | | | | | 14,902,808 | |
| | | | |
| | See Notes to Financial Statements. | | 189 |
| | | | | | | | | | |
| | | Shares | | | Value | |
Sherwin-Williams Co.
(The)D | | | 16,900 | | | | | $ | 2,599,558 | |
| | | | | | | | | | |
| | | | | | | | | 61,720,503 | |
| | | | | | | | | | |
Producer Durables — 6.5% | |
AMETEK, Inc.D | | | 143,635 | | | | | | 5,396,367 | |
B/E Aerospace, Inc.* | | | 30,640 | | | | | | 1,513,616 | |
Caterpillar, Inc. | | | 29,600 | | | | | | 2,651,568 | |
Cummins, Inc. | | | 105,399 | | | | | | 11,419,982 | |
Danaher Corporation | | | 45,482 | | | | | | 2,542,444 | |
Deere & Co. | | | 32,063 | | | | | | 2,770,884 | |
Delta Air Lines, Inc.* | | | 80,300 | | | | | | 953,161 | |
FedEx Corporation | | | 35,900 | | | | | | 3,292,748 | |
Fluor Corporation | | | 33,420 | | | | | | 1,963,091 | |
General Electric Co. | | | 407,430 | | | | | | 8,551,956 | |
Honeywell International, Inc. | | | 119,170 | | | | | | 7,563,720 | |
Kansas City SouthernD | | | 38,210 | | | | | | 3,189,771 | |
Stericycle, Inc.* | | | 23,600 | | | | | | 2,201,172 | |
Trimble Navigation, Ltd.D* | | | 87,680 | | | | | | 5,241,510 | |
Union Pacific Corporation | | | 85,594 | | | | | | 10,760,878 | |
United Rentals, Inc.* | | | 13,737 | | | | | | 625,308 | |
Verisk Analytics, Inc. Class A* | | | 70,860 | | | | | | 3,613,860 | |
W.W. Grainger, Inc. | | | 24,104 | | | | | | 4,877,926 | |
| | | | | | | | | | |
| | | | | | | | | 79,129,962 | |
| | | | | | | | | | |
Technology — 19.9% | |
Apple, Inc. | | | 119,324 | | | | | | 63,603,271 | |
Citrix Systems, Inc.* | | | 64,270 | | | | | | 4,225,752 | |
Crown Castle International
Corporation* | | | 25,820 | | | | | | 1,863,171 | |
EMC Corporation* | | | 470,571 | | | | | | 11,905,446 | |
Equinix, Inc.D* | | | 17,969 | | | | | | 3,705,208 | |
F5 Networks, Inc.D* | | | 130,930 | | | | | | 12,719,850 | |
Facebook, Inc. Class AD* | | | 417,800 | | | | | | 11,126,014 | |
Google, Inc. Class A* | | | 62,696 | | | | | | 44,474,662 | |
Intuit, Inc. | | | 73,340 | | | | | | 4,363,730 | |
LinkedIn Corporation, Class
AD* | | | 33,267 | | | | | | 3,819,717 | |
Microsoft Corporation | | | 197,130 | | | | | | 5,269,285 | |
QUALCOMM, Inc. | | | 542,696 | | | | | | 33,658,006 | |
Red Hat, Inc.* | | | 62,070 | | | | | | 3,287,227 | |
Rovi Corporation* | | | 7 | | | | | | 108 | |
Salesforce.com, Inc.D* | | | 173,240 | | | | | | 29,121,644 | |
Teradata CorporationD* | | | 104,450 | | | | | | 6,464,410 | |
VMware, Inc.D* | | | 37,657 | | | | | | 3,545,030 | |
| | | | | | | | | | |
| | | | | | | | | 243,152,531 | |
| | | | | | | | | | |
Utilities — 0.7% | |
American Water
Works Co., Inc. | | | 31,640 | | | | | | 1,174,793 | |
AT&T, Inc. | | | 143,900 | | | | | | 4,850,869 | |
ITC Holdings CorporationD | | | 16,250 | | | | | | 1,249,787 | |
NiSource, Inc. | | | 64,430 | | | | | | 1,603,663 | |
| | | | | | | | | | |
| | | | | | | | | 8,879,112 | |
| | | | | | | | | | |
Total Common Stocks
(Cost $839,378,733) | | | | | | 1,079,435,636 | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | Shares | | | Value | |
FOREIGN COMMON STOCKS — 7.7% | |
Bermuda — 0.2% | |
Invesco, Ltd. | | | 97,120 | | | | | $ | 2,533,861 | |
| | | | | | | | | | |
Canada — 1.0% | |
Canadian Pacific Railway, Ltd. | | | 20,700 | | | | | | 2,103,534 | |
Lululemon Athletica, Inc.D* | | | 72,367 | | | | | | 5,516,536 | |
Valeant Pharmaceuticals
International, Inc.D* | | | 68,671 | | | | | | 4,104,466 | |
| | | | | | | | | | |
| | | | | | | | | 11,724,536 | |
| | | | | | | | | | |
Denmark — 0.5% | |
Novo Nordisk A/S ADRD | | | 37,100 | | | | | | 6,055,091 | |
| | | | | | | | | | |
Germany — 0.4% | |
SAP AG ADRD | | | 62,500 | | | | | | 5,023,750 | |
| | | | | | | | | | |
Hong Kong — 0.5% | |
Michael Kors Holdings, Ltd.D* | | | 110,485 | | | | | | 5,638,050 | |
| | | | | | | | | | |
Ireland — 1.8% | |
Accenture PLC Class A | | | 194,773 | | | | | | 12,952,405 | |
Eaton Corporation PLCD | | | 103,220 | | | | | | 5,594,524 | |
Shire PLC ADRD | | | 41,150 | | | | | | 3,793,207 | |
| | | | | | | | | | |
| | | | | | | | | 22,340,136 | |
| | | | | | | | | | |
Netherlands — 2.0% | |
ASML Holding NVD | | | 166,269 | | | | | | 10,709,386 | |
LyondellBasell Industries NV
Class A | | | 245,777 | | | | | | 14,031,409 | |
| | | | | | | | | | |
| | | | | | | | | 24,740,795 | |
| | | | | | | | | | |
Singapore — 0.7% | |
Avago Technologies, Ltd. | | | 186,900 | | | | | | 5,917,254 | |
Hutchison Port Holdings Trust | | | 3,282,000 | | | | | | 2,626,811 | |
| | | | | | | | | | |
| | | | | | | | | 8,544,065 | |
| | | | | | | | | | |
Switzerland — 0.3% | |
Pentair, Ltd.D | | | 80,153 | | | | | | 3,939,520 | |
| | | | | | | | | | |
United Kingdom — 0.3% | |
Ensco PLC Class A | | | 35,580 | | | | | | 2,109,182 | |
Rolls-Royce Holdings PLC | | | 68,223 | | | | | | 978,554 | |
| | | | | | | | | | |
| | | | | | | | | 3,087,736 | |
| | | | | | | | | | |
Total Foreign Common Stocks
(Cost $82,430,642) | | | | | | 93,627,540 | |
| | | | | | | | | | |
PREFERRED STOCK — 0.1% | |
Wells Fargo & Co.*
(Cost $678,134) | | | 35,400 | | | | | | 1,038,990 | |
| | | | | | | | | | |
MONEY MARKET FUNDS — 12.3% | |
GuideStone Money Market
Fund (GS4 Class)¥ | | | 46,333,046 | | | | | | 46,333,046 | |
Northern Institutional Liquid
Assets Portfolio§ | | | 104,150,787 | | | | | | 104,150,787 | |
| | | | | | | | | | |
Total Money Market Funds
(Cost $150,483,833) | | | | | | | | | 150,483,833 | |
| | | | | | | | | | |
TOTAL INVESTMENTS — 108.5%
(Cost $1,072,971,342) | | | | | | 1,324,585,999 | |
Liabilities in Excess of Other Assets — (8.5)% | | | | | | | | | (103,322,599 | ) |
| | | | | | | | | | |
NET ASSETS — 100.0% | | | | | $ | 1,221,263,400 | |
| | | | | | | | | | |
| | | | |
| 190 | | See Notes to Financial Statements. | | |
GROWTH EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
PORTFOLIO SUMMARY (based on net assets)
| | | | |
| | | % | |
Consumer Discretionary | | | 22.7 | |
Technology | | | 19.9 | |
Healthcare | | | 12.3 | |
Money Market Funds | | | 12.3 | |
Financial Services | | | 11.7 | |
Foreign Common Stocks | | | 7.7 | |
Energy | | | 6.5 | |
Producer Durables | | | 6.5 | |
Materials & Processing | | | 5.1 | |
Futures Contracts | | | 4.1 | |
Consumer Staples | | | 3.0 | |
Utilities | | | 0.7 | |
Preferred Stock | | | 0.1 | |
| | | | |
| | | 112.6 | |
| | | | |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2012, 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 | | | $ | 1,079,435,636 | | | | $ | 1,079,435,636 | | | | $ | — | | | | $ | — | |
Foreign Common Stocks | | | | 93,627,540 | | | | | 90,022,175 | | | | | 3,605,365 | | | | | — | |
Money Market Funds | | | | 150,483,833 | | | | | 150,483,833 | | | | | — | | | | | — | |
Preferred Stock | | | | 1,038,990 | | | | | 1,038,990 | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | | $ | 1,324,585,999 | | | | $ | 1,320,980,634 | | | | $ | 3,605,365 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | $ | 166,024 | | | | $ | 166,024 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | | $ | 166,024 | | | | $ | 166,024 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
***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.
Management has determined that the amount of transfers between Level 1 and Level 2 compared to total net assets of the Funds is not material, therefore, the transfers between Level 1 and Level 2 are not shown for the year ended December 31, 2012.
| | | | |
| | See Notes to Financial Statements. | | 191 |
Small Cap Equity Fund
Familiar themes such as the sovereign debt crisis in Europe, recession fears and moderating growth expectations in China continued to dominate headlines during 2012. In the U.S., the elections in November resulted in a similar polarized and gridlocked government that was finally able to strike a tax deal to avoid the “fiscal cliff” at the end of the year. Despite all of the political and economic turmoil, U.S. consumer confidence and housing improved, China’s economy bounced back and accommodating monetary policies were announced in Europe. The S&P 500® Index posted an impressive 16.00% return for 2012, while the broader U.S. market, as measured by the Russell 3000® Index, gained 16.42% for the same period.
From a sector perspective, performance was unanimously in positive territory as all sectors within the Russell 3000® Index advanced during the year. Six of nine sectors posted double-digit gains with the best performance coming from the financial services and consumer discretionary sectors. The weakest performers were the energy and utilities sectors which still experienced solid single-digit gains for the year.
In terms of the underlying dynamics of equity market performance, companies with lower quality and higher price-to-earnings characteristics generally outperformed during the year. Regarding market capitalization, large-cap companies slightly outpaced their small-cap counterparts as the Russell 1000® Index posted a one-year return of 16.42%, while the Russell 2000® Index returned 16.35%, respectively. Style differentiation was evident as value-oriented stocks outperformed growth-oriented stocks across all market capitalization segments. In the large capitalization segment, the Russell 1000® Value Index outpaced the Russell 1000® Growth Index, posting one-year returns of 17.51% and 15.26%, respectively.
The Fund was comprised of domestic, small-cap stocks with both value-and growth-style orientations. The GS4 Class of the Fund generated double-digit positive performance but underperformed its benchmark, the Russell 2000® Index, for the one-year period ended December 31, 2012 (15.02% versus 16.35%). Security selection within the consumer discretionary sector detracted from benchmark-relative returns, while security selection within the healthcare and energy sectors contributed to benchmark-relative performance during the year. The Fund’s relative performance further benefited from a portable alpha strategy, where stock index futures contracts were used to gain small cap equity beta exposure and the underlying cash was invested in fixed income securities. Within this portion of the Fund, the fixed income securities’ performance outpaced the futures contracts’ financing costs which generated excess return for the Fund. Within the fixed income portion of the portfolio, certain derivative contracts were used to manage duration and adjust exposure along the yield curve, including U.S. Treasuries futures and options, Eurodollar futures and options and Euro-Bund futures. The Fund also used currency forwards to manage foreign currency exposure. At the Fund level, overall derivative exposure had a very slight negative impact on performance over the course of the year.
This Fund may be suitable for investors who seek higher, long-term rates of return, can accept significant short-term fluctuations in account value, want to invest in stocks of small-to medium-sized U.S. companies and would like to diversify their portfolio by adding a potentially higher return, higher risk option of stocks. Small company stocks are subject to greater risk than large company stocks due to more volatility and less liquidity. To the extent that the investment adviser misjudges current market conditions, the Fund’s volatility may be amplified by its use of short sales and derivatives and by its ability to select sub-advisers to allocate assets. Short sales by a fund theoretically involve unlimited loss potential since the market price of securities sold short may continuously increase. Leverage may increase the risk of loss and cause fluctuations in the market value of the Fund’s portfolio to have disproportionately large effects or cause the net asset value of the Fund generally to decline faster than it would otherwise.
Please see page 204 for information regarding specific portfolio allocations. Portfolio holdings are subject to change and risk at any time.
192
Small Cap Equity Fund
| | | | | | | | | | |
| Average Annual Total Returns as of 12/31/12 |
| | GS2 Class* | | | | GS4 Class* | | | | Benchmark** |
One Year | | 15.25% | | | | 15.02% | | | | 16.35% |
Five Year | | 3.77% | | | | 3.61% | | | | 3.56% |
Ten Year | | 9.28% | | | | 9.13% | | | | 9.72% |
Inception Date | | 08/27/01 | | | | 08/27/01 | | | | |
Total Fund Operating Expenses (April 28, 2012 Prospectus, as amended on November 30, 2012)(1) | | 1.04% | | | | 1.27% | | | | |
(1)Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph compares the results of a hypothetical $10,000 investment in the GS4 Class of the Fund for the 10 year period from December 31, 2002 to December 31, 2012, with all dividends and capital gains reinvested, with the Russell 2000® Index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
**The Russell 2000® Index is a small-cap equity index comprised of the 2,000 smallest companies in the Russell 3000® Index, which represents approximately 10% of the total market capitalization of the Russell 3000® Index.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
193
| | |
SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS | | December 31, 2012 |
| | | | | | | | | | |
| | | Shares | | | Value | |
COMMON STOCKS — 77.9% | |
Consumer Discretionary — 11.2% | |
Aaron’s, Inc.* | | | 41,500 | | | | | $ | 1,173,620 | |
American Eagle Outfitters, Inc. | | | 34,800 | | | | | | 713,748 | |
American Public
Education, Inc.D* | | | 22,600 | | | | | | 816,086 | |
ANN, Inc.* | | | 43,800 | | | | | | 1,482,192 | |
Apollo Group, Inc. Class AD* | | | 34,600 | | | | | | 723,832 | |
Arbitron, Inc. | | | 15,500 | | | | | | 723,540 | |
Arctic Cat, Inc.D* | | | 36,500 | | | | | | 1,218,735 | |
Avis Budget Group, Inc.D* | | | 31,900 | | | | | | 632,258 | |
Beazer Homes USA, Inc.D* | | | 19,260 | | | | | | 325,301 | |
Brown Shoe Co., Inc. | | | 33,300 | | | | | | 611,721 | |
Cabela’s, Inc.* | | | 8,600 | | | | | | 359,050 | |
Capella Education Co.D* | | | 48,500 | | | | | | 1,369,155 | |
Carter’s, Inc.D* | | | 6,300 | | | | | | 350,595 | |
Central Garden and Pet Co.* | | | 85,000 | | | | | | 851,700 | |
Chico’s FAS, Inc. | | | 97,200 | | | | | | 1,794,312 | |
Crocs, Inc.* | | | 90,000 | | | | | | 1,295,100 | |
Dillard’s, Inc. Class A | | | 8,200 | | | | | | 686,914 | |
Domino’s Pizza, Inc.D* | | | 23,908 | | | | | | 1,041,193 | |
DSW, Inc. | | | 32,500 | | | | | | 2,134,925 | |
Elizabeth Arden, Inc.D* | | | 15,550 | | | | | | 699,906 | |
Francesca’s Holdings
CorporationD* | | | 17,000 | | | | | | 441,320 | |
GameStop Corporation
Class AD | | | 51,800 | | | | | | 1,299,662 | |
H&R Block, Inc. | | | 36,100 | | | | | | 670,377 | |
Hibbett Sports, Inc.D* | | | 38,700 | | | | | | 2,039,490 | |
Hot Topic, Inc.D | | | 60,000 | | | | | | 579,000 | |
Inter Parfums, Inc.D | | | 33,600 | | | | | | 653,856 | |
John Wiley & Sons, Inc. | | | 28,400 | | | | | | 1,105,612 | |
Jos. A. Bank Clothiers, Inc.D* | | | 18,200 | | | | | | 774,956 | |
K12, Inc.D* | | | 43,600 | | | | | | 891,184 | |
Lear Corporation | | | 22,900 | | | | | | 1,072,636 | |
Life Time Fitness, Inc.D* | | | 25,100 | | | | | | 1,235,171 | |
Lumber Liquidators
Holdings, Inc.D* | | | 12,300 | | | | | | 649,809 | |
Mattress Firm Holding
CorporationD* | | | 26,100 | | | | | | 640,233 | |
Meritage Homes Corporation* | | | 11,195 | | | | | | 418,133 | |
Meritor, Inc.* | | | 118,400 | | | | | | 560,032 | |
Monro Muffler Brake, Inc.D | | | 39,400 | | | | | | 1,377,818 | |
National American University
Holdings, Inc.D | | | 54,700 | | | | | | 210,595 | |
Pier 1 Imports, Inc.D | | | 48,260 | | | | | | 965,200 | |
Pool Corporation | | | 33,800 | | | | | | 1,430,416 | |
PulteGroup, Inc.* | | | 46,000 | | | | | | 835,360 | |
Ryland Group, Inc. (The)D | | | 35,000 | | | | | | 1,277,500 | |
Shutterstock, Inc.* | | | 20,000 | | | | | | 520,000 | |
Smith & Wesson Holding
CorporationD* | | | 149,800 | | | | | | 1,264,312 | |
Sotheby’sD | | | 74,600 | | | | | | 2,508,052 | |
Thor Industries, Inc.D | | | 19,700 | | | | | | 737,371 | |
TRW Automotive Holdings
Corporation* | | | 13,800 | | | | | | 739,818 | |
Ulta Salon Cosmetics &
Fragrance, Inc.* | | | 4,784 | | | | | | 470,076 | |
Vera Bradley, Inc.D* | | | 34,200 | | | | | | 858,420 | |
Vitamin Shoppe, Inc.D* | | | 29,850 | | | | | | 1,712,196 | |
WABCO Holdings, Inc.* | | | 30,800 | | | | | | 2,007,852 | |
Williams-Sonoma, Inc. | | | 14,700 | | | | | | 643,419 | |
| | | | | | | | | | |
| | | | | | | | | 49,593,759 | |
| | | | | | | | | | |
Consumer Staples — 2.5% | |
Annie’s, Inc.D* | | | 14,900 | | | | | | 498,107 | |
| | | | | | | | | | |
| | | Shares | | | Value | |
Casey’s General
Stores, Inc.D | | | 9,600 | | | | | $ | 509,760 | |
Chef’s Warehouse, Inc.
(The)D* | | | 32,400 | | | | | | 512,244 | |
Dean Foods Co.* | | | 35,600 | | | | | | 587,756 | |
Fresh Market, Inc. (The)* | | | 13,900 | | | | | | 668,451 | |
GNC Holdings, Inc. Class A | | | 21,883 | | | | | | 728,266 | |
Hain Celestial
Group, Inc. (The)D* | | | 16,101 | | | | | | 872,996 | |
Ingredion, Inc. | | | 9,500 | | | | | | 612,085 | |
J & J Snack Foods
Corporation | | | 10,352 | | | | | | 661,907 | |
Medifast, Inc.D* | | | 36,200 | | | | | | 955,318 | |
Natural Grocers by Vitamin
Cottage, Inc.D* | | | 8,700 | | | | | | 166,083 | |
PetMed Express, Inc.D | | | 58,700 | | | | | | 651,570 | |
Smart Balance, Inc.D* | | | 26,538 | | | | | | 342,340 | |
Susser Holdings CorporationD* | | | 8,100 | | | | | | 279,369 | |
United Natural Foods, Inc.D* | | | 33,300 | | | | | | 1,784,547 | |
USANA Health Sciences,
Inc.D* | | | 25,000 | | | | | | 823,250 | |
WhiteWave Foods Co.
Class AD* | | | 20,600 | | | | | | 320,124 | |
| | | | | | | | | | |
| | | | | | | | | 10,974,173 | |
| | | | | | | | | | |
Energy — 5.0% | |
American Standard Energy
Corporation@* | | | 8,702 | | | | | | 4,003 | |
Approach Resources, Inc.D* | | | 11,600 | | | | | | 290,116 | |
Cloud Peak Energy, Inc.* | | | 33,500 | | | | | | 647,555 | |
Delek US Holdings, Inc.D | | | 23,800 | | | | | | 602,616 | |
Dril-Quip, Inc.D* | | | 10,000 | | | | | | 730,500 | |
Endeavour International
CorporationD* | | | 183,700 | | | | | | 951,566 | |
First Solar, Inc.D* | | | 39,000 | | | | | | 1,204,320 | |
Gulfport Energy Corporation* | | | 52,500 | | | | | | 2,006,550 | |
Helix Energy Solutions
Group, Inc.* | | | 59,700 | | | | | | 1,232,208 | |
HollyFrontier Corporation | | | 58,300 | | | | | | 2,713,865 | |
Hornbeck Offshore
Services, Inc.* | | | 22,300 | | | | | | 765,782 | |
ION Geophysical
CorporationD* | | | 151,100 | | | | | | 983,661 | |
Key Energy Services, Inc.* | | | 87,800 | | | | | | 610,210 | |
Matador Resources Co.D* | | | 48,000 | | | | | | 393,600 | |
Oasis Petroleum, Inc.* | | | 45,523 | | | | | | 1,447,631 | |
PDC Energy, Inc.D* | | | 10,300 | | | | | | 342,063 | |
Plains Exploration &
Production Co.* | | | 12,800 | | | | | | 600,832 | |
Rex Energy CorporationD* | | | 28,635 | | | | | | 372,828 | |
Sanchez Energy CorporationD* | | | 28,600 | | | | | | 514,800 | |
Swift Energy Co.D* | | | 42,800 | | | | | | 658,692 | |
Tesoro Corporation | | | 57,100 | | | | | | 2,515,255 | |
Vaalco Energy, Inc.D* | | | 184,000 | | | | | | 1,591,600 | |
Western Refining, Inc.D | | | 40,400 | | | | | | 1,138,876 | |
| | | | | | | | | | |
| | | | | | | | | 22,319,129 | |
| | | | | | | | | | |
Financial Services — 17.5% | |
American Capital, Ltd.* | | | 73,000 | | | | | | 876,000 | |
American Equity Investment
Life Holding Co.D | | | 88,500 | | | | | | 1,080,585 | |
Assurant, Inc. | | | 51,300 | | | | | | 1,780,110 | |
BOK Financial Corporation | | | 10,300 | | | | | | 560,938 | |
Brown & Brown, Inc. | | | 21,600 | | | | | | 549,936 | |
Calamos Asset Management,
Inc. Class A | | | 46,100 | | | | | | 487,277 | |
CapitalSource, Inc. | | | 228,700 | | | | | | 1,733,546 | |
Cardinal Financial Corporation | | | 67,000 | | | | | | 1,090,090 | |
| | | | |
| 194 | | See Notes to Financial Statements. | | |
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | |
| | | Shares | | | Value | |
Cardtronics, Inc.* | | | 182,900 | | | | | $ | 4,342,046 | |
CBOE Holdings, Inc.* | | | 28,400 | | | | | | 836,664 | |
City National CorporationD | | | 37,500 | | | | | | 1,857,000 | |
Comerica, Inc. | | | 57,600 | | | | | | 1,747,584 | |
CommonWealth REIT | | | 100,300 | | | | | | 1,588,752 | |
CoreLogic, Inc.* | | | 73,879 | | | | | | 1,988,823 | |
Coresite Realty Corporation
REITD | | | 25,700 | | | | | | 710,862 | |
Duff & Phelps Corporation
Class AD | | | 45,500 | | | | | | 710,710 | |
East West Bancorp, Inc. | | | 47,700 | | | | | | 1,025,073 | |
Encore Capital Group, Inc.* | | | 46,100 | | | | | | 1,411,582 | |
First American Financial
Corporation | | | 74,000 | | | | | | 1,782,660 | |
FleetCor Technologies, Inc.* | | | 44,800 | | | | | | 2,403,520 | |
Global Payments, Inc. | | | 24,500 | | | | | | 1,109,850 | |
Heartland Payment
Systems, Inc.D | | | 57,100 | | | | | | 1,684,450 | |
Hospitality Properties Trust
REITD | | | 82,200 | | | | | | 1,925,124 | |
Huntington Bancshares, Inc. | | | 352,600 | | | | | | 2,253,114 | |
IBERIABANK Corporation | | | 26,100 | | | | | | 1,282,032 | |
Inland Real Estate Corporation
REITD | | | 79,700 | | | | | | 667,886 | |
Jack Henry & Associates, Inc. | | | 41,900 | | | | | | 1,644,994 | |
Jefferies Group, Inc. | | | 84,400 | | | | | | 1,567,308 | |
Jones Lang LaSalle, Inc. | | | 48,700 | | | | | | 4,087,878 | |
Lender Processing
Services, Inc. | | | 32,900 | | | | | | 809,998 | |
MarketAxess Holdings, Inc.D | | | 20,600 | | | | | | 727,180 | |
Medical Properties Trust, Inc.
REITD | | | 49,700 | | | | | | 594,412 | |
Mid-America Apartment
Communities, Inc. REITD | | | 21,000 | | | | | | 1,359,750 | |
National Health Investors, Inc.
REITD | | | 16,400 | | | | | | 927,092 | |
NBH Holdings Corporation
PIPE+@ | | | 30,300 | | | | | | 558,126 | |
Nelnet, Inc. Class AD | | | 25,200 | | | | | | 750,708 | |
Netspend Holdings, Inc.D* | | | 82,900 | | | | | | 979,878 | |
Ocwen Financial Corporation* | | | 52,900 | | | | | | 1,829,811 | |
PacWest BancorpD | | | 32,100 | | | | | | 795,438 | |
Pebblebrook Hotel Trust REITD | | | 60,600 | | | | | | 1,399,860 | |
Piper Jaffray Cos.* | | | 26,700 | | | | | | 857,871 | |
Portfolio Recovery
Associates, Inc.* | | | 22,500 | | | | | | 2,404,350 | |
PrivateBancorp, Inc.D | | | 52,950 | | | | | | 811,194 | |
ProAssurance Corporation | | | 14,400 | | | | | | 607,536 | |
PS Business Parks, Inc. REIT | | | 12,700 | | | | | | 825,246 | |
Realogy Holdings Corporation* | | | 20,500 | | | | | | 860,180 | |
Reinsurance Group of
America, Inc. | | | 11,600 | | | | | | 620,832 | |
RLI CorporationD | | | 19,000 | | | | | | 1,228,540 | |
Safety Insurance Group, Inc.D | | | 16,600 | | | | | | 766,422 | |
SCBT Financial CorporationD | | | 11,700 | | | | | | 470,106 | |
Ship Finance International,
Ltd.D | | | 28,900 | | | | | | 480,607 | |
Signature BankD* | | | 16,040 | | | | | | 1,144,293 | |
SVB Financial Group* | | | 22,200 | | | | | | 1,242,534 | |
Synovus Financial
CorporationD | | | 380,500 | | | | | | 932,225 | |
Texas Capital
Bancshares, Inc.D* | | | 5,700 | | | | | | 255,474 | |
Walter Investment Management
CorporationD* | | | 11,400 | | | | | | 490,428 | |
Washington Federal, Inc.D | | | 81,000 | | | | | | 1,366,470 | |
Webster Financial CorporationD | | | 46,200 | | | | | | 949,410 | |
| | | | | | | | | | |
| | | Shares | | | Value | |
WEX, Inc.* | | | 26,900 | | | | | $ | 2,027,453 | |
Wilshire Bancorp, Inc.* | | | 244,500 | | | | | | 1,435,215 | |
Wintrust Financial
CorporationD | | | 32,900 | | | | | | 1,207,430 | |
WisdomTree Investments, Inc.* | | | 102,300 | | | | | | 626,076 | |
Zions BancorporationD | | | 30,000 | | | | | | 642,000 | |
| | | | | | | | | | |
| | | | | | | | | 77,770,539 | |
| | | | | | | | | | |
Healthcare — 8.1% | |
Acadia Healthcare Co., Inc.* | | | 20,700 | | | | | | 482,931 | |
Air Methods CorporationD* | | | 24,600 | | | | | | 907,494 | |
Align Technology, Inc.D* | | | 20,300 | | | | | | 563,325 | |
AVANIR Pharmaceuticals,
Inc.D* | | | 104,600 | | | | | | 275,098 | |
BioMarin Pharmaceutical, Inc.* | | | 5,300 | | | | | | 261,025 | |
Bio-Rad Laboratories, Inc.
Class A* | | | 6,100 | | | | | | 640,805 | |
Brookdale Senior Living, Inc.* | | | 29,900 | | | | | | 757,068 | |
Celldex Therapeutics, Inc.* | | | 36,800 | | | | | | 246,928 | |
Community Health
Systems, Inc.* | | | 19,600 | | | | | | 602,504 | |
Computer Programs &
Systems, Inc. | | | 13,400 | | | | | | 674,556 | |
Cooper Cos., Inc. (The) | | | 9,666 | | | | | | 893,912 | |
Covance, Inc.D* | | | 17,100 | | | | | | 987,867 | |
Cyberonics, Inc.* | | | 9,000 | | | | | | 472,770 | |
ExamWorks Group, Inc.D* | | | 98,300 | | | | | | 1,375,217 | |
Five Star Quality Care, Inc.+ | | | 2,086 | | | | | | — | |
Genomic Health, Inc.* | | | 7,700 | | | | | | 209,902 | |
Gentiva Health Services, Inc.D* | | | 73,500 | | | | | | 738,675 | |
Globus Medical, Inc. Class AD* | | | 37,000 | | | | | | 388,130 | |
Greatbatch, Inc.* | | | 21,200 | | | | | | 492,688 | |
Haemonetics CorporationD* | | | 25,400 | | | | | | 1,037,336 | |
Hill-Rom Holdings, Inc. | | | 27,900 | | | | | | 795,150 | |
Incyte Corporation, Ltd.D* | | | 31,800 | | | | | | 528,198 | |
Infinity Pharmaceuticals, Inc.* | | | 4,700 | | | | | | 164,500 | |
Invacare CorporationD | | | 38,800 | | | | | | 632,440 | |
IPC The Hospitalist Co., Inc.D* | | | 58,300 | | | | | | 2,315,093 | |
Magellan Health
Services, Inc.* | | | 24,400 | | | | | | 1,195,600 | |
Masimo CorporationD* | | | 55,100 | | | | | | 1,157,651 | |
MedAssets, Inc.D* | | | 49,100 | | | | | | 823,407 | |
Medivation, Inc.D* | | | 21,200 | | | | | | 1,084,592 | |
Myriad Genetics, Inc.D* | | | 51,600 | | | | | | 1,406,100 | |
PDL BioPharma, Inc.D | | | 228,900 | | | | | | 1,613,745 | |
PerkinElmer, Inc. | | | 35,800 | | | | | | 1,136,292 | |
Providence Service
Corporation (The)* | | | 60,000 | | | | | | 1,019,400 | |
Sirona Dental Systems, Inc.* | | | 24,100 | | | | | | 1,553,486 | |
Team Health Holdings, Inc.* | | | 39,200 | | | | | | 1,127,784 | |
Tenet Healthcare CorporationD* | | | 70,500 | | | | | | 2,289,135 | |
Thoratec Corporation* | | | 16,300 | | | | | | 611,576 | |
United Therapeutics
Corporation* | | | 27,200 | | | | | | 1,453,024 | |
VCA Antech, Inc.D* | | | 61,600 | | | | | | 1,296,680 | |
Volcano CorporationD* | | | 22,700 | | | | | | 535,947 | |
WellCare Health Plans, Inc.* | | | 27,300 | | | | | | 1,329,237 | |
| | | | | | | | | | |
| | | | | | | | | 36,077,268 | |
| | | | | | | | | | |
Materials & Processing — 5.2% | |
A. Schulman, Inc.D | | | 55,600 | | | | | | 1,608,508 | |
Acuity Brands, Inc. | | | 5,326 | | | | | | 360,730 | |
Allied Nevada Gold
CorporationD* | | | 45,800 | | | | | | 1,379,954 | |
Berry Plastics Group, Inc.* | | | 70,100 | | | | | | 1,127,208 | |
Boise, Inc. | | | 224,900 | | | | | | 1,787,955 | |
| | | | |
| | See Notes to Financial Statements. | | 195 |
| | | | | | | | | | |
| | | Shares | | | Value | |
Carpenter Technology
Corporation | | | 10,000 | | | | | $ | 516,300 | |
Chemtura Corporation* | | | 30,800 | | | | | | 654,808 | |
Cytec Industries, Inc. | | | 8,700 | | | | | | 598,821 | |
Eagle Materials, Inc.D | | | 25,700 | | | | | | 1,503,450 | |
Georgia Gulf CorporationD | | | 5,800 | | | | | | 239,424 | |
H.B. Fuller Co. | | | 23,900 | | | | | | 832,198 | |
Huntsman Corporation | | | 117,900 | | | | | | 1,874,610 | |
KapStone Paper and Packaging
Corporation* | | | 33,800 | | | | | | 750,022 | |
Lennox International, Inc.D | | | 14,000 | | | | | | 735,280 | |
Louisiana-Pacific Corporation* | | | 40,745 | | | | | | 787,194 | |
Martin Marietta Materials,
Inc.D | | | 12,600 | | | | | | 1,187,928 | |
Molycorp, Inc.D* | | | 117,700 | | | | | | 1,111,088 | |
MRC Global, Inc.* | | | 33,300 | | | | | | 925,074 | |
P.H. Glatfelter Co.D | | | 83,700 | | | | | | 1,463,076 | |
Packaging Corporation of
America | | | 16,000 | | | | | | 615,520 | |
PolyOne Corporation | | | 58,000 | | | | | | 1,184,360 | |
RBC Bearings, Inc.D* | | | 16,500 | | | | | | 826,155 | |
Royal Gold, Inc.D | | | 7,600 | | | | | | 617,956 | |
Texas Industries, Inc.D* | | | 10,129 | | | | | | 516,680 | |
| | | | | | | | | | |
| | | | | | | | | 23,204,299 | |
| | | | | | | | | | |
Producer Durables — 12.8% | |
A.O. Smith CorporationD | | | 12,200 | | | | | | 769,454 | |
Advisory Board Co. (The)D* | | | 23,300 | | | | | | 1,090,207 | |
AGCO Corporation* | | | 44,500 | | | | | | 2,185,840 | |
Alaska Air Group, Inc.D* | | | 18,800 | | | | | | 810,092 | |
Albany International
Corporation Class AD | | | 47,300 | | | | | | 1,072,764 | |
Allegiant Travel Co.* | | | 14,700 | | | | | | 1,079,127 | |
Alliant Techsystems, Inc. | | | 31,300 | | | | | | 1,939,348 | |
Altra Holdings, Inc. | | | 32,600 | | | | | | 718,830 | |
Angie’s List, Inc.D* | | | 48,900 | | | | | | 586,311 | |
Clean Harbors, Inc.D* | | | 37,300 | | | | | | 2,051,873 | |
Columbus McKinnon
CorporationD* | | | 36,500 | | | | | | 602,980 | |
Corporate Executive
Board Co. (The)D | | | 30,600 | | | | | | 1,452,276 | |
CoStar Group, Inc.* | | | 28,557 | | | | | | 2,552,139 | |
DXP Enterprises, Inc.D* | | | 26,300 | | | | | | 1,290,541 | |
EMCOR Group, Inc. | | | 83,800 | | | | | | 2,900,318 | |
Esterline Technologies
Corporation* | | | 15,300 | | | | | | 973,233 | |
ExlService Holdings, Inc.* | | | 43,100 | | | | | | 1,142,150 | |
Generac Holdings, Inc.D* | | | 14,100 | | | | | | 483,771 | |
Genesee & Wyoming, Inc.
Class AD* | | | 32,150 | | | | | | 2,445,972 | |
Granite Construction, Inc. | | | 8,000 | | | | | | 268,960 | |
Healthcare Services
Group, Inc.D | | | 39,850 | | | | | | 925,715 | |
HEICO Corporation
Class AD | | | 35,561 | | | | | | 1,339,817 | |
Huron Consulting
Group, Inc.D* | | | 9,472 | | | | | | 319,112 | |
Kennametal, Inc.D | | | 21,200 | | | | | | 848,000 | |
MasTec, Inc.D* | | | 19,200 | | | | | | 478,656 | |
MAXIMUS, Inc. | | | 20,000 | | | | | | 1,264,400 | |
McGrath RentCorpD | | | 35,400 | | | | | | 1,027,308 | |
Middleby Corporation* | | | 15,500 | | | | | | 1,987,255 | |
Mistras Group, Inc.* | | | 53,100 | | | | | | 1,311,039 | |
Monster Worldwide, Inc.D* | | | 216,100 | | | | | | 1,214,482 | |
MYR Group, Inc.* | | | 37,100 | | | | | | 825,475 | |
Nordson CorporationD | | | 4,800 | | | | | | 302,976 | |
| | | | | | | | | | |
| | | Shares | | | Value | |
Old Dominion Freight
Line, Inc.D* | | | 28,000 | | | | | $ | 959,840 | |
On Assignment, Inc.D* | | | 84,000 | | | | | | 1,703,520 | |
Orbital Sciences
Corporation* | | | 95,600 | | | | | | 1,316,412 | |
Oshkosh Corporation* | | | 101,700 | | | | | | 3,015,405 | |
OSI Systems, Inc.D* | | | 7,224 | | | | | | 462,625 | |
PHH CorporationD* | | | 96,700 | | | | | | 2,199,925 | |
Quanta Services, Inc.* | | | 32,200 | | | | | | 878,738 | |
Standard Parking
CorporationD* | | | 30,800 | | | | | | 677,292 | |
Trinity Industries, Inc. | | | 22,200 | | | | | | 795,204 | |
Triumph Group, Inc.D | | | 13,300 | | | | | | 868,490 | |
URS Corporation | | | 29,600 | | | | | | 1,162,096 | |
US Airways Group, Inc.D* | | | 49,800 | | | | | | 672,300 | |
WageWorks, Inc.D* | | | 40,000 | | | | | | 712,000 | |
Watts Water Technologies, Inc.D | | | 18,400 | | | | | | 791,016 | |
WESCO International, Inc.D* | | | 35,700 | | | | | | 2,407,251 | |
| | | | | | | | | | |
| | | | | | | | | 56,882,535 | |
| | | | | | | | | | |
Technology — 12.5% | |
ACI Worldwide, Inc.D* | | | 6,465 | | | | | | 282,456 | |
Amkor Technology, Inc.D* | | | 117,100 | | | | | | 497,675 | |
Applied Micro Circuits Corporation* | | | 118,900 | | | | | | 998,760 | |
Arris Group, Inc.* | | | 76,100 | | | | | | 1,136,934 | |
Bottomline Technologies,
Inc.D* | | | 60,600 | | | | | | 1,599,234 | |
Brightcove, Inc.* | | | 42,000 | | | | | | 379,680 | |
BroadSoft, Inc.* | | | 18,800 | | | | | | 683,004 | |
Brocade Communications
Systems, Inc.* | | | 113,000 | | | | | | 602,290 | |
CACI International, Inc.
Class AD* | | | 28,800 | | | | | | 1,584,864 | |
Cadence Design Systems,
Inc.D* | | | 98,100 | | | | | | 1,325,331 | |
CommVault Systems, Inc.* | | | 36,100 | | | | | | 2,516,531 | |
Computer Sciences Corporation | | | 20,500 | | | | | | 821,025 | |
Cree, Inc.D* | | | 23,300 | | | | | | 791,734 | |
Dealertrack Holdings, Inc.D* | | | 44,500 | | | | | | 1,278,040 | |
DigitalGlobe, Inc.D* | | | 133,600 | | | | | | 3,265,184 | |
Ebix, Inc.D | | | 37,500 | | | | | | 602,625 | |
Ellie Mae, Inc.* | | | 9,682 | | | | | | 268,675 | |
Fortinet, Inc.* | | | 33,200 | | | | | | 699,524 | |
Fusion-io, Inc.D* | | | 37,800 | | | | | | 866,754 | |
Hittite Microwave
CorporationD* | | | 14,300 | | | | | | 888,030 | |
IAC/InterActiveCorp | | | 23,541 | | | | | | 1,113,489 | |
Infoblox, Inc.* | | | 25,000 | | | | | | 449,250 | |
Informatica CorporationD* | | | 72,100 | | | | | | 2,186,072 | |
Ingram Micro, Inc. Class A* | | | 56,700 | | | | | | 959,364 | |
Kulicke & Soffa
Industries, Inc.* | | | 73,900 | | | | | | 886,061 | |
Mercury Systems, Inc.D* | | | 82,300 | | | | | | 757,160 | |
Millennial Media, Inc.D* | | | 27,500 | | | | | | 344,575 | |
Monotype Imaging
Holdings, Inc. | | | 43,500 | | | | | | 695,130 | |
NetSuite, Inc.* | | | 14,300 | | | | | | 962,390 | |
NeuStar, Inc. Class A* | | | 21,000 | | | | | | 880,530 | |
NIC, Inc.D* | | | 117,600 | | | | | | 1,921,584 | |
Omnivision Technologies, Inc.* | | | 42,400 | | | | | | 596,992 | |
QLIK Technologies, Inc.* | | | 48,800 | | | | | | 1,059,936 | |
RealPage, Inc.D* | | | 30,600 | | | | | | 660,042 | |
Ruckus Wireless, Inc.D* | | | 59,200 | | | | | | 1,333,776 | |
Rudolph Technologies, Inc.D* | | | 28,300 | | | | | | 380,635 | |
Saba Software, Inc.D* | | | 40,400 | | | | | | 353,096 | |
| | | | |
| 196 | | See Notes to Financial Statements. | | |
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | |
| | | Shares | | | Value | |
SAIC, Inc. | | | 58,900 | | | | | $ | 666,748 | |
Sanmina Corporation* | | | 54,000 | | | | | | 597,780 | |
Semtech Corporation* | | | 72,167 | | | | | | 2,089,235 | |
ServiceNow, Inc.D* | | | 12,400 | | | | | | 372,372 | |
Silicon Laboratories, Inc.* | | | 25,700 | | | | | | 1,074,517 | |
Solera Holdings, Inc. | | | 38,200 | | | | | | 2,042,554 | |
Splunk, Inc.* | | | 20,600 | | | | | | 597,812 | |
SS&C Technologies
Holdings, Inc.* | | | 115,000 | | | | | | 2,658,800 | |
Tangoe, Inc.D* | | | 26,209 | | | | | | 311,101 | |
Tech Data Corporation* | | | 23,000 | | | | | | 1,047,190 | |
Ultimate Software
Group, Inc.D* | | | 23,800 | | | | | | 2,246,958 | |
Ultratech, Inc.D* | | | 14,956 | | | | | | 557,859 | |
Unisys CorporationD* | | | 80,200 | | | | | | 1,387,460 | |
United Online, Inc.D | | | 293,500 | | | | | | 1,640,665 | |
Vocera Communications, Inc.D* | | | 40,500 | | | | | | 1,016,550 | |
Volterra Semiconductor
Corporation* | | | 43,700 | | | | | | 750,329 | |
| | | | | | | | | | |
| | | | | | | | | 55,686,362 | |
| | | | | | | | | | |
Utilities — 3.1% | |
Alliant Energy Corporation | | | 42,000 | | | | | | 1,844,220 | |
American Water
Works Co., Inc. | | | 52,600 | | | | | | 1,953,038 | |
Cbeyond, Inc.D* | | | 96,500 | | | | | | 872,360 | |
General Communication, Inc.
Class AD* | | | 43,700 | | | | | | 419,083 | |
j2 Global, Inc.D | | | 35,000 | | | | | | 1,070,300 | |
NV Energy, Inc.D | | | 98,200 | | | | | | 1,781,348 | |
OGE Energy Corporation | | | 11,000 | | | | | | 619,410 | |
Pinnacle West Capital
Corporation | | | 45,400 | | | | | | 2,314,492 | |
PNM Resources, Inc.D | | | 76,500 | | | | | | 1,569,015 | |
Portland General Electric Co.D | | | 51,600 | | | | | | 1,411,776 | |
| | | | | | | | | | |
| | | | | | | | | 13,855,042 | |
| | | | | | | | | | |
Total Common Stocks
(Cost $299,885,192) | | | | | | 346,363,106 | |
| | | | | | | | | | |
FOREIGN COMMON STOCKS — 8.6% | |
Bermuda — 3.8% | |
Aircastle, Ltd. | | | 52,600 | | | | | | 659,604 | |
Aspen Insurance Holdings, Ltd. | | | 18,600 | | | | | | 596,688 | |
AXIS Capital Holdings, Ltd. | | | 16,200 | | | | | | 561,168 | |
Endurance Specialty
Holdings, Ltd.D | | | 26,000 | | | | | | 1,031,940 | |
Energy XXI (Bermuda), Ltd.D | | | 69,300 | | | | | | 2,230,767 | |
Everest Re Group, Ltd. | | | 22,500 | | | | | | 2,473,875 | |
Maiden Holdings, Ltd.D | | | 79,000 | | | | | | 726,010 | |
Montpelier Re Holdings, Ltd.D | | | 164,400 | | | | | | 3,758,184 | |
Nabors Industries, Ltd.* | | | 101,700 | | | | | | 1,469,565 | |
PartnerRe, Ltd.D | | | 8,400 | | | | | | 676,116 | |
Platinum Underwriters
Holdings, Ltd. | | | 19,600 | | | | | | 901,600 | |
RenaissanceRe Holdings, Ltd. | | | 22,900 | | | | | | 1,860,854 | |
| | | | | | | | | | |
| | | | | | | | | 16,946,371 | |
| | | | | | | | | | |
British Virgin Islands — 0.2% | |
UTi Worldwide, Inc. | | | 59,300 | | | | | | 794,620 | |
| | | | | | | | | | |
Canada — 1.3% | |
AuRico Gold, Inc.D* | | | 199,800 | | | | | | 1,634,364 | |
Domtar Corporation | | | 16,000 | | | | | | 1,336,320 | |
Franco-Nevada CorporationD | | | 9,600 | | | | | | 548,832 | |
Gran Tierra Energy, Inc.D* | | | 109,200 | | | | | | 601,692 | |
New Gold, Inc.D* | | | 158,900 | | | | | | 1,752,667 | |
| | | | | | | | | | |
| | | | | | | | | 5,873,875 | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | Shares | | | Value | |
Guernsey — 0.3% | | | | | | | | | | |
Amdocs, Ltd. | | | 38,000 | | | | | $ | 1,291,620 | |
| | | | | | | | | | |
Ireland — 0.6% | |
Amarin Corporation PLC
ADRD* | | | 36,400 | | | | | | 294,476 | |
ICON PLC ADR* | | | 17,900 | | | | | | 496,904 | |
Warner Chilcott PLC Class A* | | | 148,500 | | | | | | 1,787,940 | |
| | | | | | | | | | |
| | | | | | | | | 2,579,320 | |
| | | | | | | | | | |
Israel — 0.3% | |
Allot Communications, Ltd.D* | | | 46,900 | | | | | | 835,758 | |
EZchip Semiconductor, Ltd.D* | | | 9,755 | | | | | | 322,598 | |
Mellanox Technologies, Ltd.D* | | | 7,775 | | | | | | 461,679 | |
| | | | | | | | | | |
| | | | | | | | | 1,620,035 | |
| | | | | | | | | | |
Luxembourg — 0.4% | |
Altisource Portfolio
Solutions SA* | | | 19,800 | | | | | | 1,715,769 | |
| | | | | | | | | | |
Marshall Islands — 0.1% | |
Aegean Marine Petroleum
Network, Inc.D | | | 92,500 | | | | | | 488,400 | |
| | | | | | | | | | |
Netherlands — 0.4% | |
AerCap Holdings NV* | | | 44,500 | | | | | | 610,540 | |
Chicago Bridge & Iron Co.
NVD | | | 15,600 | | | | | | 723,060 | |
QIAGEN NV* | | | 20,200 | | | | | | 366,630 | |
| | | | | | | | | | |
| | | | | | | | | 1,700,230 | |
| | | | | | | | | | |
Puerto Rico — 0.2% | |
Popular, Inc.* | | | 41,100 | | | | | | 854,469 | |
| | | | | | | | | | |
Supranational — 0.1% | |
Banco Latinoamericano de
Commercio Exterior SA
Class ED | | | 29,500 | | | | | | 636,020 | |
| | | | | | | | | | |
Switzerland — 0.9% | |
Allied World Assurance
Company Holdings AG | | | 22,400 | | | | | | 1,765,120 | |
Foster Wheeler AG* | | | 89,400 | | | | | | 2,174,208 | |
| | | | | | | | | | |
| | | | | | | | | 3,939,328 | |
| | | | | | | | | | |
Total Foreign Common Stocks
(Cost $35,641,010) | | | | | | 38,440,057 | |
| | | | | | | | | | |
RIGHTS/WARRANTS — 0.0% | |
Asen Warrants A+ | | | 25,000 | | | | | | 1,000 | |
Asen Warrants B+ | | | 25,000 | | | | | | 500 | |
Asen Warrants C+ | | | 25,000 | | | | | | 1,500 | |
| | | | | | | | | | |
Total Rights/Warrants
(Cost $0) | | | | | | 3,000 | |
| | | | | | | | | | |
MONEY MARKET FUNDS — 34.2% | |
GuideStone Money Market Fund (GS4 Class)¥ | | | 17,383,865 | | | | | | 17,383,865 | |
Northern Institutional Liquid
Assets Portfolio§ | | | 134,832,566 | | | | | | 134,832,566 | |
| | | | | | | | | | |
Total Money Market Funds
(Cost $152,216,431) | | | | | | 152,216,431 | |
| | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 197 |
| | | | | | | | | | | | |
| | | Par | | | Value | |
AGENCY OBLIGATIONS — 0.4% | | | | |
Farmer Mac Guaranteed
Notes Trust | | | | | | | | | | | | |
5.13%, 04/19/17 144A | | | | $ | 250,000 | | | | | $ | 293,990 | |
Federal Home Loan Bank | | | | | | | | | | | | |
5.50%, 07/15/36 | | | | | 120,000 | | | | | | 165,723 | |
Federal Home Loan Mortgage
Corporation | | | | | | | | | | | | |
0.75%, 01/12/18D | | | | | 110,000 | | | | | | 109,389 | |
1.25%, 08/01/19 | | | | | 180,000 | | | | | | 180,533 | |
1.25%, 10/02/19D | | | | | 130,000 | | | | | | 129,829 | |
Federal National Mortgage
Association | | | | | | | | | | | | |
3.38%, 10/09/19† | | | | | 680,000 | | | | | | 596,718 | |
6.25%, 05/15/29 | | | | | 110,000 | | | | | | 158,475 | |
6.63%, 11/15/30 | | | | | 200,000 | | | | | | 305,516 | |
Tennessee Valley Authority | | | | | | | | | | | | |
5.25%, 09/15/39 | | | | | 50,000 | | | | | | 66,049 | |
| | | | | | | | | | | | |
Total Agency Obligations
(Cost $1,815,775) | | | | | | | | | | | 2,006,222 | |
| | | | | | | | | | | | |
ASSET-BACKED SECURITIES — 0.3% | | | | |
Ameriquest Mortgage
Securities, Inc. | | | | | | | | | | | | |
0.56%, 04/25/34† | | | | | 35,531 | | | | | | 34,108 | |
Asset Backed Securities
Corporation Home Equity | | | | | | | | | | | | |
1.18%, 12/15/33† | | | | | 28,312 | | | | | | 26,161 | |
Avis Budget Rental Car
Funding AESOP LLC | | | | | | | | | | | | |
2.80%, 05/20/18 144A | | | | | 25,000 | | | | | | 26,363 | |
2.10%, 03/20/19 144A | | | | | 100,000 | | | | | | 102,009 | |
Bear Stearns Asset-Backed
Securities Trust | | | | | | | | | | | | |
1.11%, 10/27/32† | | | | | 10,235 | | | | | | 9,334 | |
0.66%, 12/25/33† | | | | | 129,564 | | | | | | 122,282 | |
Education Funding
Capital Trust I | | | | | | | | | | | | |
2.80%, 06/15/43W† | | | | | 100,000 | | | | | | 90,037 | |
EFS Volunteer No 2 LLC | | | | | | | | | | | | |
1.56%, 03/25/36 144A† | | | | | 100,000 | | | | | | 101,966 | |
EMC Mortgage Loan Trust | | | | | | | | | | | | |
0.86%, 02/25/41 144A† | | | | | 45,120 | | | | | | 40,526 | |
Greenpoint Manufactured
Housing | | | | | | | | | | | | |
2.98%, 03/18/29† | | | | | 75,000 | | | | | | 63,391 | |
3.60%, 06/19/29† | | | | | 50,000 | | | | | | 43,109 | |
3.71%, 02/20/30† | | | | | 50,000 | | | | | | 42,810 | |
GSAA Trust | | | | | | | | | | | | |
0.48%, 07/25/37† | | | | | 180,390 | | | | | | 149,117 | |
Hertz Vehicle Financing LLC | | | | | | | | | | | | |
5.29%, 03/25/16 144A | | | | | 90,000 | | | | | | 97,890 | |
KeyCorporation Student
Loan Trust | | | | | | | | | | | | |
0.58%, 10/25/32† | | | | | 53,827 | | | | | | 49,650 | |
Lehman XS Trust | | | | | | | | | | | | |
0.51%, 11/25/35† | | | | | 172,360 | | | | | | 140,763 | |
0.51%, 12/25/35† | | | | | 79,013 | | | | | | 28,175 | |
MASTR Specialized Loan Trust | | | | | | | | | | | | |
0.56%, 05/25/37 144A† | | | | | 178,864 | | | | | | 109,398 | |
Option One Mortgage
Loan Trust | | | | | | | | | | | | |
1.01%, 11/25/32† | | | | | 15,559 | | | | | | 13,876 | |
Renaissance Home Equity
Loan Trust | | | | | | | | | | | | |
1.07%, 06/25/33† | | | | | 18,679 | | | | | | 14,593 | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
SLM Student Loan Trust | | | | | | | | | | | | |
0.74%, 09/16/24† | | | | $ | 100,000 | | | | | $ | 91,677 | |
1.06%, 03/15/33 144A† | | | | | 84,040 | | | | | | 82,996 | |
SunTrust Student Loan Trust | | | | | | | | | | | | |
0.43%, 01/30/23 144A† | | | | | 100,000 | | | | | | 99,065 | |
| | | | | | | | | | | | |
Total Asset-Backed Securities
(Cost $1,692,956) | | | | | | | | | | | 1,579,296 | |
| | | | | | | | | | | | |
CORPORATE BONDS — 2.6% | | | | |
AbbVie, Inc. | | | | | | | | | | | | |
1.75%, 11/06/17 144AD | | | | | 80,000 | | | | | | 80,964 | |
2.90%, 11/06/22 144A | | | | | 50,000 | | | | | | 51,028 | |
Access Midstream
Partners LP | | | | | | | | | | | | |
4.88%, 05/15/23 | | | | | 30,000 | | | | | | 30,488 | |
AES Corporation | | | | | | | | | | | | |
7.75%, 10/15/15 | | | | | 30,000 | | | | | | 33,825 | |
8.00%, 06/01/20 | | | | | 40,000 | | | | | | 46,200 | |
American Express Co. | | | | | | | | | | | | |
6.80%, 09/01/66† | | | | | 140,000 | | | | | | 150,850 | |
American International
Group, Inc. | | | | | | | | | | | | |
5.85%, 01/16/18 | | | | | 180,000 | | | | | | 213,269 | |
Amgen, Inc. | | | | | | | | | | | | |
3.88%, 11/15/21D | | | | | 150,000 | | | | | | 165,032 | |
Apache Corporation | | | | | | | | | | | | |
5.63%, 01/15/17 | | | | | 110,000 | | | | | | 128,961 | |
Arch Coal, Inc. | | | | | | | | | | | | |
7.00%, 06/15/19D | | | | | 70,000 | | | | | | 65,450 | |
AT&T, Inc. | | | | | | | | | | | | |
5.50%, 02/01/18 | | | | | 180,000 | | | | | | 214,675 | |
3.88%, 08/15/21 | | | | | 30,000 | | | | | | 33,497 | |
2.63%, 12/01/22 | | | | | 40,000 | | | | | | 40,153 | |
6.30%, 01/15/38 | | | | | 60,000 | | | | | | 77,203 | |
BAC Capital Trust XIV | | | | | | | | | | | | |
4.00%, 09/29/49† | | | | | 10,000 | | | | | | 8,464 | |
Baker Hughes, Inc. | | | | | | | | | | | | |
7.50%, 11/15/18 | | | | | 60,000 | | | | | | 79,584 | |
Bank of America Corporation | | | | | | | | | | | | |
5.42%, 03/15/17 | | | | | 60,000 | | | | | | 65,784 | |
3.88%, 03/22/17 | | | | | 20,000 | | | | | | 21,712 | |
5.75%, 12/01/17 | | | | | 200,000 | | | | | | 233,373 | |
Boeing Capital Corporation | | | | | | | | | | | | |
4.70%, 10/27/19 | | | | | 40,000 | | | | | | 47,266 | |
Boeing Co. | | | | | | | | | | | | |
4.88%, 02/15/20 | | | | | 60,000 | | | | | | 72,400 | |
Calpine Corporation | | | | | | | | | | | | |
7.88%, 01/15/23 144A | | | | | 80,000 | | | | | | 90,800 | |
Caterpillar Financial Services
Corporation | | | | | | | | | | | | |
6.20%, 09/30/13 | | | | | 110,000 | | | | | | 114,770 | |
CCO Holdings LLC | | | | | | | | | | | | |
7.00%, 01/15/19 | | | | | 70,000 | | | | | | 75,862 | |
6.50%, 04/30/21 | | | | | 10,000 | | | | | | 10,838 | |
Cellco Partnership/Verizon
Wireless Capital LLC | | | | | | | | | | | | |
8.50%, 11/15/18 | | | | | 10,000 | | | | | | 13,774 | |
Cengage Learning
Acquisitions, Inc. | | | | | | | | | | | | |
11.50%, 04/15/20 144A | | | | | 10,000 | | | | | | 8,675 | |
CIT Group, Inc. | | | | | | | | | | | | |
4.25%, 08/15/17 | | | | | 20,000 | | | | | | 20,689 | |
Citigroup, Inc. | | | | | | | | | | | | |
6.00%, 12/13/13 | | | | | 110,000 | | | | | | 115,292 | |
6.38%, 08/12/14 | | | | | 20,000 | | | | | | 21,621 | |
| | | | |
| 198 | | See Notes to Financial Statements. | | |
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Par | | | Value | |
5.00%, 09/15/14 | | | | $ | 170,000 | | | | | $ | 178,928 | |
5.50%, 10/15/14 | | | | | 50,000 | | | | | | 53,665 | |
3.95%, 06/15/16 | | | | | 70,000 | | | | | | 75,406 | |
6.00%, 08/15/17 | | | | | 30,000 | | | | | | 35,381 | |
6.88%, 03/05/38 | | | | | 60,000 | | | | | | 79,256 | |
5.90%, 12/29/49† | | | | | 20,000 | | | | | | 20,282 | |
5.95%, 12/29/49†D | | | | | 30,000 | | | | | | 30,412 | |
Cliffs Natural Resources, Inc. | | | | | | | | | | | | |
3.95%, 01/15/18D | | | | | 40,000 | | | | | | 40,305 | |
4.80%, 10/01/20D | | | | | 20,000 | | | | | | 19,908 | |
Comcast Cable
Communications
Holdings, Inc. | | | | | | | | | | | | |
9.46%, 11/15/22 | | | | | 30,000 | | | | | | 45,437 | |
Comcast Corporation | | | | | | | | | | | | |
6.50%, 01/15/17 | | | | | 120,000 | | | | | | 144,857 | |
5.15%, 03/01/20 | | | | | 20,000 | | | | | | 23,742 | |
5.65%, 06/15/35D | | | | | 10,000 | | | | | | 11,773 | |
Concho Resources Inc. | | | | | | | | | | | | |
6.50%, 01/15/22 | | | | | 33,000 | | | | | | 36,465 | |
ConocoPhillips Holding Co. | | | | | | | | | | | | |
6.95%, 04/15/29 | | | | | 60,000 | | | | | | 83,877 | |
CONSOL Energy, Inc. | | | | | | | | | | | | |
6.38%, 03/01/21D | | | | | 50,000 | | | | | | 51,500 | |
Countrywide Financial
Corporation | | | | | | | | | | | | |
6.25%, 05/15/16 | | | | | 50,000 | | | | | | 54,927 | |
CVS Caremark Corporation | | | | | | | | | | | | |
2.75%, 12/01/22D | | | | | 160,000 | | | | | | 160,935 | |
CVS Pass-Through Trust | | | | | | | | | | | | |
6.94%, 01/10/30 | | | | | 62,103 | | | | | | 78,383 | |
Devon Energy Corporation | | | | | | | | | | | | |
5.60%, 07/15/41 | | | | | 90,000 | | | | | | 107,314 | |
Duke Energy Carolinas LLC | | | | | | | | | | | | |
5.30%, 02/15/40 | | | | | 50,000 | | | | | | 60,236 | |
Eaton Corporation | | | | | | | | | | | | |
1.50%, 11/02/17 144A | | | | | 30,000 | | | | | | 30,096 | |
2.75%, 11/02/22 144AD | | | | | 60,000 | | | | | | 59,943 | |
4.15%, 11/02/42 144A | | | | | 20,000 | | | | | | 20,313 | |
Ecolab, Inc. | | | | | | | | | | | | |
4.35%, 12/08/21 | | | | | 20,000 | | | | | | 22,365 | |
Energy Future Intermediate
Holding Co., LLC | | | | | | | | | | | | |
10.00%, 12/01/20 | | | | | 50,000 | | | | | | 56,625 | |
Enterprise Products
Operating LLC | | | | | | | | | | | | |
6.30%, 09/15/17 | | | | | 170,000 | | | | | | 205,852 | |
6.13%, 10/15/39 | | | | | 10,000 | | | | | | 12,124 | |
Express Scripts Holding Co. | | | | | | | | | | | | |
3.50%, 11/15/16 144A | | | | | 150,000 | | | | | | 160,520 | |
FirstEnergy Corporation | | | | | | | | | | | | |
7.38%, 11/15/31 | | | | | 130,000 | | | | | | 168,378 | |
Ford Motor Credit Co., LLC | | | | | | | | | | | | |
12.00%, 05/15/15 | | | | | 140,000 | | | | | | 172,900 | |
Freeport-McMoRan
Copper & Gold, Inc. | | | | | | | | | | | | |
3.55%, 03/01/22D | | | | | 145,000 | | | | | | 144,087 | |
Fresenius Medical Care US
Finance, Inc. | | | | | | | | | | | | |
6.88%, 07/15/17 | | | | | 40,000 | | | | | | 45,200 | |
General Electric Capital
Corporation | | | | | | | | | | | | |
1.63%, 07/02/15 | | | | | 30,000 | | | | | | 30,516 | |
6.00%, 08/07/19 | | | | | 260,000 | | | | | | 316,749 | |
4.63%, 01/07/21D | | | | | 30,000 | | | | | | 34,087 | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
6.38%, 11/15/67† | | | | $ | 130,000 | | | | | $ | 137,475 | |
General Electric Co. | | | | | | | | | | | | |
0.85%, 10/09/15 | | | | | 30,000 | | | | | | 30,126 | |
Goldman Sachs Capital II | | | | | | | | | | | | |
4.00%, 06/01/43† | | | | | 10,000 | | | | | | 7,823 | |
Goldman Sachs Group, Inc. | | | | | | | | | | | | |
5.25%, 10/15/13 | | | | | 20,000 | | | | | | 20,704 | |
6.00%, 05/01/14 | | | | | 10,000 | | | | | | 10,646 | |
3.30%, 05/03/15 | | | | | 100,000 | | | | | | 104,284 | |
5.95%, 01/18/18D | | | | | 100,000 | | | | | | 116,498 | |
6.00%, 06/15/20 | | | | | 40,000 | | | | | | 47,602 | |
5.25%, 07/27/21 | | | | | 10,000 | | | | | | 11,420 | |
6.25%, 02/01/41 | | | | | 130,000 | | | | | | 160,082 | |
Hess Corporation | | | | | | | | | | | | |
8.13%, 02/15/19 | | | | | 90,000 | | | | | | 118,599 | |
HSBC Finance Corporation | | | | | | | | | | | | |
6.68%, 01/15/21 | | | | | 220,000 | | | | | | 261,418 | |
Humana, Inc. | | | | | | | | | | | | |
7.20%, 06/15/18 | | | | | 60,000 | | | | | | 74,073 | |
3.15%, 12/01/22 | | | | | 20,000 | | | | | | 19,931 | |
Hyundai Capital America | | | | | | | | | | | | |
2.13%, 10/02/17 144A | | | | | 20,000 | | | | | | 20,166 | |
International Lease Finance
Corporation | | | | | | | | | | | | |
6.50%, 09/01/14 144A | | | | | 30,000 | | | | | | 32,175 | |
6.75%, 09/01/16 144A | | | | | 140,000 | | | | | | 157,850 | |
JPMorgan Chase & Co. | | | | | | | | | | | | |
1.10%, 10/15/15 | | | | | 110,000 | | | | | | 110,072 | |
6.13%, 06/27/17 | | | | | 200,000 | | | | | | 233,889 | |
4.40%, 07/22/20 | | | | | 60,000 | | | | | | 67,841 | |
4.25%, 10/15/20 | | | | | 40,000 | | | | | | 44,560 | |
4.35%, 08/15/21 | | | | | 10,000 | | | | | | 11,203 | |
4.50%, 01/24/22D | | | | | 100,000 | | | | | | 113,337 | |
Kerr-McGee Corporation | | | | | | | | | | | | |
6.95%, 07/01/24 | | | | | 120,000 | | | | | | 152,352 | |
Kinder Morgan Energy
Partners LP | | | | | | | | | | | | |
6.00%, 02/01/17 | | | | | 70,000 | | | | | | 81,836 | |
Kraft Foods Group, Inc. | | | | | | | | | | | | |
5.38%, 02/10/20 144A | | | | | 62,000 | | | | | | 74,557 | |
3.50%, 06/06/22 144A | | | | | 60,000 | | | | | | 64,171 | |
Lehman Escrow Bonds | | | | | | | | | | | | |
0.00%, 03/01/42+W† | | | | | 120,000 | | | | | | — | |
0.00%, 08/19/45+W† | | | | | 50,000 | | | | | | — | |
0.00%, 07/19/47+W† | | | | | 160,000 | | | | | | — | |
0.00%, 11/30/49+W† | | | | | 10,000 | | | | | | — | |
M&T Bank Corporation | | | | | | | | | | | | |
6.88%, 12/29/49 144A | | | | | 70,000 | | | | | | 73,171 | |
MarkWest Energy Partners LP | | | | | | | | | | | | |
6.25%, 06/15/22 | | | | | 10,000 | | | | | | 10,950 | |
5.50%, 02/15/23D | | | | | 20,000 | | | | | | 21,800 | |
Medtronic, Inc. | | | | | | | | | | | | |
4.45%, 03/15/20 | | | | | 40,000 | | | | | | 46,537 | |
Merrill Lynch & Co., Inc. | | | | | | | | | | | | |
5.45%, 02/05/13 | | | | | 220,000 | | | | | | 220,960 | |
MetLife, Inc. | | | | | | | | | | | | |
6.75%, 06/01/16 | | | | | 50,000 | | | | | | 59,263 | |
6.40%, 12/15/66 | | | | | 100,000 | | | | | | 107,423 | |
Mondelez International, Inc. | | | | | | | | | | | | |
5.38%, 02/10/20 | | | | | 58,000 | | | | | | 70,127 | |
Morgan Stanley | | | | | | | | | | | | |
4.75%, 03/22/17 | | | | | 10,000 | | | | | | 10,920 | |
Noble Energy, Inc. | | | | | | | | | | | | |
4.15%, 12/15/21D | | | | | 90,000 | | | | | | 99,538 | |
| | | | |
| | See Notes to Financial Statements. | | 199 |
| | | | | | | | | | | | |
| | | Par | | | Value | |
NVR, Inc. | | | | | | | | | | | | |
3.95%, 09/15/22 | | | | $ | 10,000 | | | | | $ | 10,383 | |
Occidental Petroleum
Corporation | | | | | | | | | | | | |
3.13%, 02/15/22 | | | | | 50,000 | | | | | | 53,288 | |
2.70%, 02/15/23D | | | | | 30,000 | | | | | | 30,677 | |
Oracle Corporation | | | | | | | | | | | | |
1.20%, 10/15/17 | | | | | 70,000 | | | | | | 70,289 | |
Pacific Gas & Electric Co. | | | | | | | | | | | | |
5.63%, 11/30/17 | | | | | 30,000 | | | | | | 36,260 | |
6.05%, 03/01/34 | | | | | 80,000 | | | | | | 103,409 | |
Pemex Project Funding
Master Trust | | | | | | | | | | | | |
6.63%, 06/15/35D | | | | | 90,000 | | | | | | 114,750 | |
PepsiCo, Inc. | | | | | | | | | | | | |
0.70%, 08/13/15 | | | | | 70,000 | | | | | | 70,135 | |
7.90%, 11/01/18 | | | | | 13,000 | | | | | | 17,564 | |
Pfizer, Inc. | | | | | | | | | | | | |
6.20%, 03/15/19 | | | | | 70,000 | | | | | | 88,596 | |
QEP Resources, Inc. | | | | | | | | | | | | |
5.25%, 05/01/23 | | | | | 30,000 | | | | | | 32,250 | |
Range Resources Corporation | | | | | | | | | | | | |
5.75%, 06/01/21D | | | | | 60,000 | | | | | | 64,500 | |
Raytheon Co. | | | | | | | | | | | | |
3.13%, 10/15/20 | | | | | 30,000 | | | | | | 31,972 | |
Regency Energy Partners LP | | | | | | | | | | | | |
6.50%, 07/15/21 | | | | | 42,000 | | | | | | 46,200 | |
Reynolds Group Issuer, Inc. | | | | | | | | | | | | |
5.75%, 10/15/20 144AD | | | | | 70,000 | | | | | | 72,450 | |
Roche Holdings, Inc. | | | | | | | | | | | | |
6.00%, 03/01/19 144A | | | | | 50,000 | | | | | | 62,322 | |
Rock-Tenn Co. | | | | | | | | | | | | |
3.50%, 03/01/20 144A | | | | | 30,000 | | | | | | 30,840 | |
4.00%, 03/01/23 144A | | | | | 20,000 | | | | | | 20,359 | |
Safeway, Inc. | | | | | | | | | | | | |
3.95%, 08/15/20D | | | | | 10,000 | | | | | | 10,019 | |
4.75%, 12/01/21D | | | | | 30,000 | | | | | | 30,965 | |
SLM Corporation | | | | | | | | | | | | |
3.88%, 09/10/15 | | | | | 30,000 | | | | | | 30,859 | |
Southern Copper Corporation | | | | | | | | | | | | |
5.25%, 11/08/42 | | | | | 100,000 | | | | | | 100,583 | |
Sprint Nextel Corporation | | | | | | | | | | | | |
7.00%, 08/15/20D | | | | | 120,000 | | | | | | 131,700 | |
State Street Corporation | | | | | | | | | | | | |
4.96%, 03/15/18 | | | | | 100,000 | | | | | | 113,400 | |
Superior Energy Services, Inc. | | | | | | | | | | | | |
7.13%, 12/15/21 | | | | | 10,000 | | | | | | 11,175 | |
Taylor Morrison
Communities, Inc. | | | | | | | | | | | | |
7.75%, 04/15/20 144A | | | | | 20,000 | | | | | | 21,300 | |
Teachers Insurance & Annuity
Association of America | | | | | | | | | | | | |
6.85%, 12/16/39 144A | | | | | 60,000 | | | | | | 81,667 | |
Thermo Fisher Scientific, Inc. | | | | | | | | | | | | |
3.60%, 08/15/21 | | | | | 20,000 | | | | | | 21,310 | |
Time Warner Cable, Inc. | | | | | | | | | | | | |
6.75%, 07/01/18D | | | | | 110,000 | | | | | | 137,573 | |
8.25%, 04/01/19 | | | | | 40,000 | | | | | | 53,298 | |
4.13%, 02/15/21 | | | | | 10,000 | | | | | | 10,970 | |
5.88%, 11/15/40 | | | | | 70,000 | | | | | | 81,864 | |
Time Warner, Inc. | | | | | | | | | | | | |
4.70%, 01/15/21 | | | | | 30,000 | | | | | | 34,211 | |
6.25%, 03/29/41 | | | | | 10,000 | | | | | | 12,392 | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
Toyota Motor Credit
Corporation | | | | | | | | | | | | |
1.25%, 10/05/17 | | | | $ | 40,000 | | | | | $ | 40,331 | |
United Airline 2009-2A Pass
Through Trust | | | | | | | | | | | | |
9.75%, 07/15/18 | | | | | 39,867 | | | | | | 46,146 | |
United Parcel Service, Inc. | | | | | | | | | | | | |
4.50%, 01/15/13 | | | | | 50,000 | | | | | | 50,072 | |
United Technologies
Corporation | | | | | | | | | | | | |
4.50%, 06/01/42 | | | | | 10,000 | | | | | | 11,159 | |
UnitedHealth Group, Inc. | | | | | | | | | | | | |
4.88%, 02/15/13 | | | | | 100,000 | | | | | | 100,504 | |
Univision Communications, Inc. | | | | | | | | | | | | |
6.75%, 09/15/22 144A | | | | | 40,000 | | | | | | 41,500 | |
Verizon Communications, Inc. | | | | | | | | | | | | |
8.75%, 11/01/18 | | | | | 8,000 | | | | | | 11,121 | |
2.45%, 11/01/22 | | | | | 90,000 | | | | | | 90,226 | |
Wachovia Capital Trust III | | | | | | | | | | | | |
5.57%, 03/29/49† | | | | | 40,000 | | | | | | 39,950 | |
Wachovia Corporation | | | | | | | | | | | | |
5.63%, 10/15/16 | | | | | 270,000 | | | | | | 309,831 | |
Wal-Mart Stores, Inc. | | | | | | | | | | | | |
6.50%, 08/15/37 | | | | | 100,000 | | | | | | 141,119 | |
Waste Management, Inc. | | | | | | | | | | | | |
7.38%, 05/15/29 | | | | | 20,000 | | | | | | 26,472 | |
WellPoint, Inc. | | | | | | | | | | | | |
1.25%, 09/10/15 | | | | | 20,000 | | | | | | 20,171 | |
5.88%, 06/15/17 | | | | | 110,000 | | | | | | 130,688 | |
Wells Fargo & Co. | | | | | | | | | | | | |
3.68%, 06/15/16 STEP | | | | | 50,000 | | | | | | 54,099 | |
2.10%, 05/08/17D | | | | | 30,000 | | | | | | 31,048 | |
1.50%, 01/16/18 | | | | | 30,000 | | | | | | 30,086 | |
4.60%, 04/01/21D | | | | | 10,000 | | | | | | 11,522 | |
Williams Cos., Inc. | | | | | | | | | | | | |
7.88%, 09/01/21 | | | | | 24,000 | | | | | | 30,972 | |
7.50%, 01/15/31 | | | | | 15,000 | | | | | | 18,804 | |
7.75%, 06/15/31 | | | | | 24,000 | | | | | | 30,704 | |
8.75%, 03/15/32 | | | | | 5,000 | | | | | | 6,949 | |
Williams Partners LP | | | | | | | | | | | | |
5.25%, 03/15/20 | | | | | 20,000 | | | | | | 23,074 | |
WPX Energy, Inc. | | | | | | | | | | | | |
6.00%, 01/15/22D | | | | | 20,000 | | | | | | 21,650 | |
Wyeth LLC | | | | | | | | | | | | |
5.95%, 04/01/37 | | | | | 10,000 | | | | | | 13,388 | |
| | | | | | | | | | | | |
Total Corporate Bonds
(Cost $10,259,962) | | | | | | | | | | | 11,381,738 | |
| | | | | | | | | | | | |
FOREIGN BONDS — 1.0% | | | | | | | | | | | | |
Australia — 0.1% | | | | | | | | | | | | |
BHP Billiton Finance
(USA), Ltd. | | | | | | | | | | | | |
6.50%, 04/01/19D | | | | | 110,000 | | | | | | 140,470 | |
3.25%, 11/21/21 | | | | | 10,000 | | | | | | 10,783 | |
Commonwealth Bank of Australia | | | | | | | | | | | | |
3.75%, 10/15/14 144A | | | | | 60,000 | | | | | | 63,105 | |
5.00%, 10/15/19 144A | | | | | 20,000 | | | | | | 23,276 | |
FMG Resources August
2006 Proprietary, Ltd. | | | | | | | | | | | | |
7.00%, 11/01/15 144A | | | | | 50,000 | | | | | | 52,750 | |
Rio Tinto Finance (USA), Ltd. | | | | | | | | | | | | |
9.00%, 05/01/19 | | | | | 90,000 | | | | | | 123,776 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 414,160 | |
| | | | | | | | | | | | |
| | | | |
| 200 | | See Notes to Financial Statements. | | |
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Par | | | Value | |
Canada — 0.3% | | | | | | | | | | | | |
Anadarko Finance Co. | | | | | | | | | | | | |
7.50%, 05/01/31D | | | | $ | 60,000 | | | | | $ | 79,604 | |
Barrick Gold Corporation | | | | | | | | | | | | |
6.95%, 04/01/19 | | | | | 100,000 | | | | | | 124,585 | |
Hydro Quebec | | | | | | | | | | | | |
1.38%, 06/19/17 | | | | | 240,000 | | | | | | 243,479 | |
Potash Corporation of
Saskatchewan, Inc. | | | | | | | | | | | | |
4.88%, 03/30/20D | | | | | 20,000 | | | | | | 23,026 | |
Province of British Columbia | | | | | | | | | | | | |
2.00%, 10/23/22 | | | | | 120,000 | | | | | | 118,513 | |
Province of Ontario | | | | | | | | | | | | |
1.10%, 10/25/17D | | | | | 220,000 | | | | | | 220,500 | |
4.40%, 04/14/20D | | | | | 160,000 | | | | | | 188,723 | |
Xstrata Finance Canada, Ltd. | | | | | | | | | | | | |
1.80%, 10/23/15 144A | | | | | 60,000 | | | | | | 60,367 | |
2.45%, 10/25/17 144A | | | | | 60,000 | | | | | | 60,650 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,119,447 | |
| | | | | | | | | | | | |
Cayman Islands — 0.1% | | | | | | | | | | | | |
Petrobras International
Finance Co. | | | | | | | | | | | | |
3.88%, 01/27/16 | | | | | 50,000 | | | | | | 53,000 | |
6.13%, 10/06/16 | | | | | 40,000 | | | | | | 45,406 | |
5.75%, 01/20/20 | | | | | 32,000 | | | | | | 36,587 | |
5.38%, 01/27/21 | | | | | 150,000 | | | | | | 169,623 | |
Vale Overseas, Ltd. | | | | | | | | | | | | |
4.38%, 01/11/22 | | | | | 195,000 | | | | | | 209,139 | |
6.88%, 11/21/36 | | | | | 60,000 | | | | | | 74,675 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 588,430 | |
| | | | | | | | | | | | |
Chile — 0.0% | | | | | | | | | | | | |
Celulosa Arauco y
Constitucion SA | | | | | | | | | | | | |
4.75%, 01/11/22 | | | | | 40,000 | | | | | | 42,156 | |
| | | | | | | | | | | | |
France — 0.0% | | | | | | | | | | | | |
BNP Paribas SA | | | | | | | | | | | | |
2.38%, 09/14/17 | | | | | 50,000 | | | | | | 50,774 | |
Credit Agricole SA | | | | | | | | | | | | |
8.38%, 10/29/49 144A† | | | | | 120,000 | | | | | | 127,800 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 178,574 | |
| | | | | | | | | | | | |
Iceland — 0.0% | | | | | | | | | | | | |
Glitnir Banki HF | | | | | | | | | | | | |
6.69%, 06/15/16+ 144A# | | | | | 130,000 | | | | | | 1 | |
| | | | | | | | | | | | |
Japan — 0.0% | | | | | | | | | | | | |
Sumitomo Mitsui Banking Corporation | | | | | | | | | | | | |
3.15%, 07/22/15 144A | | | | | 100,000 | | | | | | 105,390 | |
| | | | | | | | | | | | |
Jersey — 0.0% | | | | | | | | | | | | |
UBM PLC | | | | | | | | | | | | |
5.75%, 11/03/20 144A | | | | | 30,000 | | | | | | 31,698 | |
| | | | | | | | | | | | |
Luxembourg — 0.0% | | | | | | | | | | | | |
ArcelorMittal | | | | | | | | | | | | |
5.00%, 02/25/17D | | | | | 10,000 | | | | | | 10,103 | |
| | | | | | | | | | | | |
Mexico — 0.1% | | | | | | | | | | | | |
America Movil SAB de CV | | | | | | | | | | | | |
5.63%, 11/15/17 | | | | | 30,000 | | | | | | 36,217 | |
Mexican Bonos | | | | | | | | | | | | |
8.00%, 06/11/20(M) | | | | | 2,670,000 | | | | | | 243,427 | |
6.50%, 06/09/22(M) | | | | | 2,930,000 | | | | | | 246,377 | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
Mexico Government
International Bond | | | | | | | | | | | | |
6.05%, 01/11/40 | | | | $ | 10,000 | | | | | $ | 13,460 | |
4.75%, 03/08/44D | | | | | 50,000 | | | | | | 56,625 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 596,106 | |
| | | | | | | | | | | | |
Netherlands — 0.2% | | | | | | | | | | | | |
Achmea Hypotheekbank NV | | | | | | | | | | | | |
3.20%, 11/03/14 144A | | | | | 370,000 | | | | | | 388,041 | |
Cooperatieve Centrale
Raiffeisen-Boerenleenbank
BA | | | | | | | | | | | | |
3.38%, 01/19/17D | | | | | 100,000 | | | | | | 107,531 | |
Deutsche Telekom International
Finance BV | | | | | | | | | | | | |
5.75%, 03/23/16 | | | | | 75,000 | | | | | | 85,520 | |
Shell International Finance BV | | | | | | | | | | | | |
4.38%, 03/25/20 | | | | | 90,000 | | | | | | 104,560 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 685,652 | |
| | | | | | | | | | | | |
Spain — 0.1% | | | | | | | | | | | | |
BBVA US Senior SA
Unipersonal | | | | | | | | | | | | |
3.25%, 05/16/14 | | | | | 100,000 | | | | | | 100,123 | |
Santander US Debt SA
Unipersonal | | | | | | | | | | | | |
3.72%, 01/20/15 144A | | | | | 100,000 | | | | | | 100,503 | |
Telefonica Emisiones SA
Unipersonal | | | | | | | | | | | | |
5.88%, 07/15/19 | | | | | 30,000 | | | | | | 32,850 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 233,476 | |
| | | | | | | | | | | | |
United Kingdom — 0.1% | | | | | | | | | | | | |
BP Capital Markets PLC | | | | | | | | | | | | |
5.25%, 11/07/13 | | | | | 90,000 | | | | | | 93,674 | |
3.88%, 03/10/15 | | | | | 30,000 | | | | | | 31,977 | |
3.56%, 11/01/21 | | | | | 10,000 | | | | | | 10,838 | |
3.25%, 05/06/22 | | | | | 50,000 | | | | | | 52,782 | |
GlaxoSmithKline Capital PLC | | | | | | | | | | | | |
2.85%, 05/08/22 | | | | | 60,000 | | | | | | 62,447 | |
Royal Bank of Scotland | | | | | | | | | | | | |
Group PLC | | | | | | | | | | | | |
2.55%, 09/18/15D | | | | | 10,000 | | | | | | 10,241 | |
7.65%, 08/29/49† | | | | | 10,000 | | | | | | 10,200 | |
WPP Finance UK | | | | | | | | | | | | |
8.00%, 09/15/14 | | | | | 100,000 | | | | | | 110,629 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 382,788 | |
| | | | | | | | | | | | |
Total Foreign Bonds | | | | | | | | | | | | |
(Cost $4,224,582) | | | | | | | | | | | 4,387,981 | |
| | | | | | | | | | | | |
MORTGAGE-BACKED SECURITIES — 4.0% | |
American Home Mortgage
Investment Trust | | | | | | | | | | | | |
0.91%, 04/25/44† | | | | | 32,466 | | | | | | 29,237 | |
0.50%, 11/25/45† | | | | | 164,796 | | | | | | 133,132 | |
Banc of America Commercial
Mortgage Trust | | | | | | | | | | | | |
5.42%, 09/10/45† | | | | | 17,000 | | | | | | 18,565 | |
5.63%, 07/10/46 | | | | | 90,000 | | | | | | 102,963 | |
Bear Stearns Adjustable Rate
Mortgage Trust | | | | | | | | | | | | |
2.83%, 02/25/35† | | | | | 61,463 | | | | | | 50,259 | |
Bear Stearns Mortgage
Funding Trust | | | | | | | | | | | | |
0.42%, 12/25/46† | | | | | 130,927 | | | | | | 22,381 | |
| | | | |
| | See Notes to Financial Statements. | | 201 |
| | | | | | | | | | | | |
| | | Par | | | Value | |
CD 2006-CD2 Mortgage Trust | | | | | | | | | | | | |
5.35%, 01/15/46† | | | | $ | 10,000 | | | | | $ | 10,924 | |
Commercial Mortgage
Lease-Backed Certificates | | | | | | | | | | | | |
6.75%, 06/20/31 144A | | | | | 152,257 | | | | | | 161,402 | |
Countrywide Alternative
Loan Trust | | | | | | | | | | | | |
0.45%, 07/25/35† | | | | | 161,067 | | | | | | 110,638 | |
0.47%, 07/25/35† | | | | | 208,048 | | | | | | 150,960 | |
Credit Suisse First Boston
Mortgage Securities
Corporation | | | | | | | | | | | | |
6.00%, 10/25/35 | | | | | 95,041 | | | | | | 60,532 | |
Federal Home Loan Mortgage
Corporation | | | | | | | | | | | | |
4.00%, 10/01/25 | | | | | 455,584 | | | | | | 481,790 | |
3.10%, 05/01/37† | | | | | 9,081 | | | | | | 9,703 | |
5.50%, 12/01/38 | | | | | 180,266 | | | | | | 194,738 | |
6.00%, 11/01/39 | | | | | 300,039 | | | | | | 326,598 | |
4.00%, 10/01/42 | | | | | 99,686 | | | | | | 110,688 | |
Federal Home Loan Mortgage
Corporation REMIC | | | | | | | | | | | | |
(1.00)%, 09/15/31 IOW† | | | �� | | 776,397 | | | | | | 91,009 | |
6.00%, 05/15/36 | | | | | 148,292 | | | | | | 170,731 | |
20.08%, 04/15/39 IOW† | | | | | 97,750 | | | | | | 21,201 | |
9.19%, 01/15/40 IOW† | | | | | 91,633 | | | | | | 13,353 | |
Federal National Mortgage
Association | | | | | | | | | | | | |
2.50%, 01/01/28 TBA | | | | | 400,000 | | | | | | 418,250 | |
4.50%, 05/01/31 | | | | | 73,820 | | | | | | 80,252 | |
6.00%, 04/01/33 | | | | | 25,703 | | | | | | 28,711 | |
5.00%, 07/01/33 | | | | | 28,115 | | | | | | 30,631 | |
5.00%, 09/01/33 | | | | | 29,769 | | | | | | 32,433 | |
6.00%, 02/01/34 | | | | | 9,233 | | | | | | 10,314 | |
2.76%, 09/01/35† | | | | | 56,282 | | | | | | 59,861 | |
5.00%, 10/01/35 | | | | | 57,180 | | | | | | 62,298 | |
6.00%, 11/01/35 | | | | | 56,813 | | | | | | 63,460 | |
7.00%, 04/01/37 | | | | | 77,022 | | | | | | 88,152 | |
6.00%, 08/01/37 | | | | | 98,844 | | | | | | 110,660 | |
6.50%, 11/01/37 | | | | | 80,249 | | | | | | 90,177 | |
5.50%, 08/01/38 | | | | | 65,205 | | | | | | 72,131 | |
7.00%, 02/01/39 | | | | | 346,898 | | | | | | 406,152 | |
6.00%, 10/01/40 | | | | | 380,755 | | | | | | 416,855 | |
3.50%, 01/01/41 TBA | | | | | 300,000 | | | | | | 319,840 | |
4.00%, 09/01/41 | | | | | 537,147 | | | | | | 576,544 | |
4.00%, 11/01/41 | | | | | 142,974 | | | | | | 153,464 | |
4.00%, 04/01/42 | | | | | 290,275 | | | | | | 322,821 | |
4.00%, 06/01/42 | | | | | 97,487 | | | | | | 105,797 | |
3.00%, 09/01/42 | | | | | 494,590 | | | | | | 521,738 | |
4.00%, 09/01/42 | | | | | 99,594 | | | | | | 110,761 | |
3.50%, 10/01/42 | | | | | 298,486 | | | | | | 322,493 | |
4.00%, 12/01/42 | | | | | 99,840 | | | | | | 111,034 | |
2.50%, 01/01/43 TBA | | | | | 200,000 | | | | | | 203,812 | |
3.00%, 01/01/43 TBA | | | | | 2,100,000 | | | | | | 2,200,406 | |
4.00%, 01/01/43 | | | | | 100,000 | | | | | | 111,837 | |
Federal National Mortgage
Association Interest STRIP | | | | | | | | | | | | |
4.25%, 04/25/27 IOW† | | | | | 178,073 | | | | | | 18,714 | |
12.80%, 11/25/39 IOW† | | | | | 79,576 | | | | | | 8,537 | |
7.25%, 11/25/41 IOW† | | | | | 82,838 | | | | | | 9,153 | |
13.57%, 04/25/42 IOW† | | | | | 169,785 | | | | | | 20,139 | |
Federal National Mortgage
Association REMIC | | | | | | | | | | | | |
3.40%, 06/25/27 IOW† | | | | | 387,812 | | | | | | 48,225 | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
(1.00)%, 03/25/39 IOW† | | | | $ | 97,491 | | | | | $ | 25,406 | |
6.50%, 06/25/39 | | | | | 100,000 | | | | | | 111,247 | |
11.20%, 12/25/39 IOW† | | | | | 28,999 | | | | | | 3,658 | |
5.33%, 10/25/40 IOW† | | | | | 52,616 | | | | | | 8,680 | |
10.12%, 12/25/40 IOW† | | | | | 107,687 | | | | | | 15,565 | |
5.61%, 01/25/41 IOW† | | | | | 63,005 | | | | | | 10,961 | |
5.50%, 07/25/41 | | | | | 108,579 | | | | | | 129,171 | |
8.29%, 07/25/41 IOW† | | | | | 246,433 | | | | | | 38,183 | |
0.79%, 09/25/41 IOW† | | | | | 180,223 | | | | | | 33,562 | |
2.68%, 10/25/41 IOW† | | | | | 230,728 | | | | | | 48,671 | |
6.38%, 03/25/42 IOW† | | | | | 100,000 | | | | | | 19,409 | |
6.50%, 03/25/42 | | | | | 300,000 | | | | | | 350,776 | |
5.50%, 04/25/42 | | | | | 400,000 | | | | | | 445,112 | |
6.00%, 05/25/42 | | | | | 200,000 | | | | | | 223,576 | |
7.00%, 05/25/42 | | | | | 198,089 | | | | | | 232,977 | |
6.65%, 06/25/42 IOW† | | | | | 266,371 | | | | | | 47,655 | |
6.50%, 07/25/42 | | | | | 290,000 | | | | | | 328,469 | |
FHLMC Multifamily Structured
Pass Through Certificates | | | | | | | | | | | | |
25.00%, 01/25/20 IOW† | | | | | 213,752 | | | | | | 12,760 | |
3.96%, 04/25/20 IOW† | | | | | 718,648 | | | | | | 48,350 | |
25.00%, 06/25/20 IOW† | | | | | 664,361 | | | | | | 62,663 | |
25.00%, 08/25/20 IOW† | | | | | 205,056 | | | | | | 16,933 | |
25.00%, 04/25/21 IOW† | | | | | 522,842 | | | | | | 44,011 | |
25.00%, 06/25/21 IOW† | | | | | 273,164 | | | | | | 23,329 | |
25.00%, 07/25/21 IOW† | | | | | 208,383 | | | | | | 23,531 | |
25.00%, 10/25/21 IOW† | | | | | 183,798 | | | | | | 20,114 | |
25.00%, 12/25/21 IOW† | | | | | 109,277 | | | | | | 10,909 | |
0.00%, 05/25/22 IOW† | | | | | 90 | | | | | | 10 | |
First Horizon Alternative
Mortgage Securities | | | | | | | | | | | | |
2.53%, 02/25/36† | | | | | 146,338 | | | | | | 107,095 | |
0.58%, 02/25/37† | | | | | 63,215 | | | | | | 38,741 | |
Government National Mortgage
Association | | | | | | | | | | | | |
1.79%, 12/16/36 IOW† | | | | | 68,330 | | | | | | 9,764 | |
8.79%, 05/20/37 IOW† | | | | | 73,810 | | | | | | 11,144 | |
6.50%, 10/20/37 | | | | | 58,948 | | | | | | 66,925 | |
4.63%, 02/20/38 IOW† | | | | | 483,627 | | | | | | 72,607 | |
6.00%, 07/20/38 | | | | | 77,319 | | | | | | 86,290 | |
6.00%, 09/20/38 | | | | | 513,726 | | | | | | 573,334 | |
(1.00)%, 11/20/38 IOW† | | | | | 108,771 | | | | | | 15,035 | |
5.00%, 10/20/39 | | | | | 110,676 | | | | | | 122,644 | |
5.00%, 01/15/40 | | | | | 358,015 | | | | | | 392,952 | |
2.44%, 01/20/40 IOW† | | | | | 72,523 | | | | | | 12,600 | |
4.50%, 01/20/40 | | | | | 68,668 | | | | | | 75,709 | |
7.06%, 03/20/40 IOW† | | | | | 201,612 | | | | | | 30,059 | |
4.50%, 05/20/40 | | | | | 71,751 | | | | | | 79,108 | |
4.50%, 07/20/40 | | | | | 70,256 | | | | | | 77,685 | |
5.00%, 08/20/40 | | | | | 130,734 | | | | | | 144,670 | |
2.94%, 09/20/40 IOW† | | | | | 63,440 | | | | | | 11,141 | |
6.46%, 09/20/40 IOW† | | | | | 63,398 | | | | | | 9,952 | |
6.00%, 10/20/40 | | | | | 58,154 | | | | | | 65,228 | |
4.50%, 01/20/41 | | | | | 74,545 | | | | | | 82,235 | |
6.16%, 01/20/41 IOW† | | | | | 66,488 | | | | | | 9,817 | |
4.50%, 03/20/41 | | | | | 427,802 | | | | | | 470,697 | |
3.50%, 01/01/42 TBA | | | | | 400,000 | | | | | | 434,594 | |
3.00%, 01/01/43 TBA | | | | | 200,000 | | | | | | 212,609 | |
1.36%, 11/20/59† | | | | | 283,433 | | | | | | 292,475 | |
1.21%, 05/20/60† | | | | | 157,820 | | | | | | 162,230 | |
0.71%, 01/20/61† | | | | | 218,507 | | | | | | 220,094 | |
0.66%, 02/20/61† | | | | | 226,090 | | | | | | 227,240 | |
0.71%, 03/20/61† | | | | | 94,529 | | | | | | 95,244 | |
| | | | |
| 202 | | See Notes to Financial Statements. | | |
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Par | | | Value | |
Granite Mortgages PLC | | | | | | | | | | | | |
0.82%, 07/20/43† | | | | $ | 22,616 | | | | | $ | 22,458 | |
Greenpoint Mortgage
Funding Trust | | | | | | | | | | | | |
0.47%, 10/25/45† | | | | | 42,911 | | | | | | 31,937 | |
GS Mortgage Securities
Corporation II | | | | | | | | | | | | |
3.55%, 04/10/34 144A | | | | | 26,000 | | | | | | 28,086 | |
5.79%, 08/10/45† | | | | | 40,000 | | | | | | 46,116 | |
GSMPS Mortgage Loan Trust | | | | | | | | | | | | |
0.56%, 03/25/35 144A† | | | | | 27,574 | | | | | | 23,089 | |
0.56%, 09/25/35 144A† | | | | | 83,755 | | | | | | 70,143 | |
Harborview Mortgage | | | | | | | | | | | | |
Loan Trust | | | | | | | | | | | | |
0.45%, 06/19/35† | | | | | 202,710 | | | | | | 162,782 | |
Homestar Mortgage Acceptance
Corporation | | | | | | | | | | | | |
0.66%, 07/25/34† | | | | | 75,214 | | | | | | 73,439 | |
Impac CMB Trust | | | | | | | | | | | | |
1.01%, 03/25/33† | | | | | 14,644 | | | | | | 13,872 | |
JP Morgan Chase Commercial
Mortgage Securities
Corporation | | | | | | | | | | | | |
5.44%, 05/15/45 | | | | | 26,000 | | | | | | 29,209 | |
5.88%, 02/12/51† | | | | | 10,000 | | | | | | 11,595 | |
MASTR Adjustable Rate
Mortgages Trust | | | | | | | | | | | | |
0.95%, 12/25/46† | | | | | 260,956 | | | | | | 98,962 | |
Merrill Lynch Mortgage
Investors, Inc. | | | | | | | | | | | | |
4.98%, 05/25/34† | | | | | 16,501 | | | | | | 16,774 | |
Merrill Lynch/Countrywide
Commercial Mortgage Trust | | | | | | | | | | | | |
5.20%, 12/12/49† | | | | | 25,000 | | | | | | 27,639 | |
Morgan Stanley Bank of
America Merrill Lynch Trust | | | | | | | | | | | | |
1.94%, 08/15/45 IO 144AW† | | | | | 139,316 | | | | | | 15,645 | |
Morgan Stanley Capital I | | | | | | | | | | | | |
5.69%, 04/15/49† | | | | | 100,000 | | | | | | 116,118 | |
RBSSP Resecuritization Trust | | | | | | | | | | | | |
3.46%, 12/26/35 144A† | | | | | 27,528 | | | | | | 27,583 | |
Residential Accredit Loans, Inc. | | | | | | | | | | | | |
3.41%, 12/26/34† | | | | | 204,011 | | | | | | 159,416 | |
Structured Adjustable Rate
Mortgage Loan Trust | | | | | | | | | | | | |
2.81%, 11/25/34† | | | | | 64,675 | | | | | | 59,360 | |
Structured Asset Securities
Corporation | | | | | | | | | | | | |
0.51%, 10/25/27† | | | | | 19,585 | | | | | | 19,348 | |
UBS-Barclays Commercial
Mortgage Trust | | | | | | | | | | | | |
3.32%, 12/10/45 144A | | | | | 25,000 | | | | | | 25,449 | |
Wachovia Bank Commercial
Mortgage Trust | | | | | | | | | | | | |
5.34%, 12/15/43 | | | | | 30,000 | | | | | | 34,372 | |
Washington Mutual Mortgage
Pass-Through Certificates | | | | | | | | | | | | |
2.46%, 02/25/33† | | | | | 25,205 | | | | | | 25,175 | |
2.51%, 10/25/33† | | | | | 74,319 | | | | | | 76,378 | |
2.45%, 01/25/35† | | | | | 88,599 | | | | | | 88,895 | |
2.42%, 11/25/36† | | | | | 161,103 | | | | | | 129,169 | |
0.53%, 08/25/45† | | | | | 108,803 | | | | | | 101,877 | |
Wells Fargo Mortgage
Loan Trust | | | | | | | | | | | | |
3.11%, 08/27/35 144A† | | | | | 75,949 | | | | | | 76,633 | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
Wells Fargo Mortgage-Backed
Securities Trust | | | | | | | | | | | | |
2.72%, 04/25/36† | | | | $ | 54,679 | | | | | $ | 49,893 | |
WF-RBS Commercial
Mortgage Trust | | | | | | | | | | | | |
25.00%, 06/15/45 IO 144AW† | | | | | 79,448 | | | | | | 8,672 | |
| | | | | | | | | | | | |
Total Mortgage-Backed Securities
(Cost $18,151,051) | | | | | | | | | | | 17,622,146 | |
| | | | | | | | | | | | |
MUNICIPAL BOND — 0.0% | | | | | | | |
Northstar Education Finance,
Inc., Revenue Bond | | | | | | | | | | | | |
1.71%, 01/29/46† | | | | | | | | | | | | |
(Cost $62,377) | | | | | 75,000 | | | | | | 62,701 | |
| | | | | | | | | | | | |
| | | |
| | | Number of
Contracts | | | | | | |
| | |
PURCHASED OPTIONS — 0.0% | | | | | | | |
Call Options — 0.0% | | | | | | | | | | | | |
10-Year U.S. Treasury Note,
Strike Price $133.50, expires | | | | | | | | | | | | |
01/25/13 (MLCS) | | | | | 8 | | | | | | 2,375 | |
U.S. Treasury Long Bond
Futures, Strike Price $151.00,
Expires 02/22/13 (MLCS) | | | | | 6 | | | | | | 4,312 | |
U.S. Treasury Long Bond
Futures, Strike Price $152.00,
Expires 01/25/13 (MLCS) | | | | | 3 | | | | | | 516 | |
| | | | | | | | | | | | |
Total Purchased Options
(Cost $18,071) | | | | | | | | | | | 7,203 | |
| | | | | | | | | | | | |
| | | |
| | | Par | | | | | | |
|
U.S. TREASURY OBLIGATIONS — 1.2% | |
U.S. Treasury Bonds | | | | | | | | | | | | |
3.13%, 02/15/42 | | | | $ | 195,000 | | | | | | 203,927 | |
2.75%, 08/15/42 | | | | | 1,280,000 | | | | | | 1,236,200 | |
2.75%, 11/15/42 | | | | | 190,000 | | | | | | 183,083 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,623,210 | |
| | | | | | | | | | | | |
U.S. Treasury Inflationary Index
Bond | | | | | | | | | | | | |
0.75%, 02/15/42 | | | | | 430,000 | | | | | | 483,497 | |
| | | | | | | | | | | | |
| | | | |
U.S. Treasury Notes | | | | | | | | | | | | |
2.75%, 10/31/13 | | | | | 150,000 | | | | | | 153,205 | |
0.38%, 06/15/15 | | | | | 100,000 | | | | | | 100,172 | |
0.25%, 09/15/15 | | | | | 10,000 | | | | | | 9,980 | |
0.25%, 10/15/15 | | | | | 20,000 | | | | | | 19,958 | |
0.75%, 10/31/17 | | | | | 970,000 | | | | | | 973,335 | |
1.25%, 10/31/19 | | | | | 900,000 | | | | | | 907,594 | |
1.13%, 12/31/19 | | | | | 470,000 | | | | | | 468,752 | |
1.63%, 11/15/22 | | | | | 550,000 | | | | | | 544,070 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,177,066 | |
| | | | | | | | | | | | |
| | |
Total U.S. Treasury Obligations
(Cost $5,268,720) | | | | | | 5,283,773 | |
| | | | | | | | | | | | |
| | |
TOTAL INVESTMENTS — 130.2%
(Cost $529,236,127) | | | | | | 579,353,654 | |
| | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 203 |
| | | | | | | | | | | | |
| | | Number of
Contracts | | | Value | | | |
WRITTEN OPTIONS — 0.0% | | | |
Call Options — 0.0% | | | | | | |
U.S. Treasury Long Bond
Futures, Strike Price $155.00,
Expires 02/22/13 (MLCS) | | | (6 | ) | | | | $ | (938 | ) | | |
U.S. Treasury Long Bond
Futures, Strike Price $156.00,
Expires 02/22/13 (MLCS) | | | (6 | ) | | | | | (562 | ) | | |
| | | | | | | | | | | | |
| | | | | | | | | (1,500 | ) | | |
| | | | | | | | | | | | |
Put Option — 0.0% | | | | | | | | | |
U.S. Treasury Long Bond
Futures, Strike Price $142.00,
Expires 02/22/13 (MLCS) | | | (6 | ) | | | | | (2,906 | ) | | |
| | | | | | | | | | | | |
Total Written Options | | | | | | | | | | | | |
(Premiums received $(11,848)) | | | | | | | | | (4,406 | ) | | |
| | | | | | | | | | | | |
Liabilities in Excess of Other
Assets — (30.2)% | | | | | | (134,525,748 | ) | | |
| | | | | | | | | | | | |
| | | |
NET ASSETS — 100.0% | | | | | $ | 444,823,500 | | | |
| | | | | | | | | | | | |
PORTFOLIO SUMMARY (based on net assets)
| | | | | | | | |
| | | | | % | | | |
Money Market Funds | | | | | 34.2 | | | |
Financial Services | | | | | 17.5 | | | |
Producer Durables | | | | | 12.8 | | | |
Technology | | | | | 12.5 | | | |
Consumer Discretionary | | | | | 11.2 | | | |
Foreign Common Stocks | | | | | 8.6 | | | |
Healthcare | | | | | 8.1 | | | |
Futures Contracts | | | | | 7.1 | | | |
Materials & Processing | | | | | 5.2 | | | |
Energy | | | | | 5.0 | | | |
Mortgage-Backed Securities | | | | | 4.0 | | | |
Utilities | | | | | 3.1 | | | |
Corporate Bonds | | | | | 2.6 | | | |
Consumer Staples | | | | | 2.5 | | | |
U.S. Treasury Obligations | | | | | 1.2 | | | |
Foreign Bonds | | | | | 1.0 | | | |
Agency Obligations | | | | | 0.4 | | | |
Asset-Backed Securities | | | | | 0.3 | | | |
Municipal Bond | | | | | — | ** | | |
Purchased Options | | | | | — | ** | | |
Rights/Warrants | | | | | — | ** | | |
Written Options | | | | | — | ** | | |
Forward Foreign Currency Contracts | | | | | (0.6 | ) | | |
| | | | | | | | |
| | | | | 136.7 | | | |
| | | | | | | | |
| | | | | | | |
| ** Rounds to less than 0.005%. | | | | | | | |
| | | | |
| 204 | | See Notes to Financial Statements. | | |
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2012, 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 | | | $ | 2,006,222 | | | | $ | — | | | | $ | 2,006,222 | | | | $ | — | |
Asset-Backed Securities | | | | 1,579,296 | | | | | — | | | | | 1,489,259 | | | | | 90,037 | |
Common Stocks | | | | 346,363,106 | | | | | 345,804,980 | | | | | — | | | | | 558,126 | |
Corporate Bonds | | | | 11,381,738 | | | | | — | | | | | 11,335,592 | | | | | 46,146 | |
Foreign Common Stocks | | | | 38,440,057 | | | | | 38,440,057 | | | | | — | | | | | — | |
Foreign Bonds | | | | 4,387,981 | | | | | — | | | | | 4,387,980 | | | | | 1 | |
Money Market Funds | | | | 152,216,431 | | | | | 152,216,431 | | | | | — | | | | | — | |
Mortgage-Backed Securities | | | | 17,622,146 | | | | | — | | | | | 17,565,602 | | | | | 56,544 | |
Municipal Bond | | | | 62,701 | | | | | — | | | | | 62,701 | | | | | — | |
Purchased Options | | | | 7,203 | | | | | 7,203 | | | | | — | | | | | — | |
Rights/Warrants | | | | 3,000 | | | | | — | | | | | — | | | | | 3,000 | |
U.S. Treasury Obligations | | | | 5,283,773 | | | | | — | | | | | 5,283,773 | | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | | $ | 579,353,654 | | | | $ | 536,468,671 | | | | $ | 42,131,129 | | | | $ | 753,854 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | $ | 1,183,260 | | | | $ | 1,183,260 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | | $ | 1,183,260 | | | | $ | 1,183,260 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | |
Investments in Securities: | | | | | | | | | | | | | | | | | | | | |
Written Options | | | $ | (4,406 | ) | | | $ | (4,406 | ) | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Liabilities - Investments in Securities | | | $ | (4,406 | ) | | | $ | (4,406 | ) | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | | $ | (21,696 | ) | | | $ | — | | | | $ | (21,696 | ) | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Liabilities - Other Financial Instruments | | | $ | (21,696 | ) | | | $ | — | | | | $ | (21,696 | ) | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
***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.
There were no transfers between Level 1 and Level 2 during the year ended December 31, 2012.
Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the reconciliation of Level 3 securities and assumptions is not shown for the period ending December 31, 2012.
| | | | |
| | See Notes to Financial Statements. | | 205 |
International Equity Fund
Despite the continued uncertainty regarding the sovereign debt crisis in Europe, recession fears and moderating growth expectations in China, international equity markets enjoyed healthy double-digit returns in 2012. The MSCI EAFE Index (Net), a measure of international developed country returns, posted solid gains in three out of four quarters, bringing the one-year return to 17.32%. Emerging markets equities, as measured by the MSCI Emerging Markets Index (Net), outperformed developed markets and gained 18.22% for the year.
All regions within the MSCI ACWI (All Country World Index) ex-U.S. Index (representing both developed and emerging international markets) ended the year in positive territory. The best performing markets were predominantly in Europe, while the only negative performing markets were in the Africa/Mideast region. The U.K. and Japanese markets generated a solid positive gain for the year, though both finished behind the overall market. From a sector perspective, all groups generated positive results for the one-year period. The financial services and consumer discretionary sectors were the best performers and posted gains of over 20% for the year, while the energy and utilities sectors, though still positive, experienced the weakest returns for the calendar year. From a style perspective, developed value-oriented stocks outperformed growth-oriented stocks over the one-year period ending December 31, 2012.
The Fund was primarily comprised of equities of foreign companies and is diversified among a large number of companies across different industries and economic sectors. The GS4 Class of the Fund outperformed its benchmark, the MSCI ACWI (All Country World Index) Ex-U.S., for the one-year period ended December 31, 2012 (17.05% versus 16.83%). On a country basis, overweight exposure and security selection to Germany and security selection to Spain contributed positively to the Fund, while security selection to Japan and Brazil negatively impacted performance. On a sector basis, security selection to the industrials and materials sectors added value, while underweight exposure to the financial services sector and security selection to the consumer staples sector detracted from benchmark-relative returns during the year. Within the Fund, certain derivatives were utilized to determine active views in currency and country selection and to hedge foreign currency exposure back to the U.S. dollar. These derivative positions primarily included forward currency exchange contracts, currency forward contracts and stock index futures. Overall, derivative exposure had a slight positive impact on Fund performance over the course of the year.
This Fund may be suitable to investors who seek higher, long-term rates of return, can accept significant short-term fluctuations in account value and want to diversify their portfolio with international stocks. The Fund invests in foreign and emerging market securities which involve certain risks such as currency volatility, political and social instability and reduced market liquidity. To the extent that the investment adviser misjudges current market conditions, the Fund’s volatility may be amplified by its use of short sales and derivatives and by its ability to select sub-advisers to allocate assets. Short sales by a fund theoretically involve unlimited loss potential since the market price of securities sold short may continuously increase. Leverage may increase the risk of loss and cause fluctuations in the market value of the Fund’s portfolio to have disproportionately large effects or cause the net asset value of the Fund generally to decline faster than it would otherwise.
Please see page 220 for information regarding specific portfolio allocations. Portfolio holdings are subject to change and risk at any time.
International Equity Fund
| | | | | | | | | | |
| Average Annual Total Returns as of 12/31/12 |
| | | GS2 Class* | | | | GS4 Class* | | | | Benchmark** |
One Year | | 17.43% | | | | 17.05% | | | | 16.83% |
Five Year | | -3.46% | | | | -3.67% | | | | -2.89% |
Ten Year | | 8.39% | | | | 8.17% | | | | 9.74% |
Inception Date | | 08/27/01 | | | | 08/27/01 | | | | |
Total Fund Operating Expenses (April 28, 2012 Prospectus, as amended on November 30, 2012)(1) | | 1.24% | | | | 1.48% | | | | |
(1)Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph compares the results of a hypothetical $10,000 investment in the GS4 Class of the Fund for the 10 year period from December 31, 2002 to December 31, 2012, with all dividends and capital gains reinvested, with the MSCI ACWI (All Country World Index) Ex-U.S. Index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
**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 (excluding U.S.) and emerging markets.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
207
| | |
INTERNATIONAL EQUITY FUND SCHEDULE OF INVESTMENTS | | December 31, 2012 |
| | | | | | | | |
| | | Shares | | | Value | |
FOREIGN COMMON STOCKS — 95.4% | | | | | |
Argentina — 0.1% | | | | | | | | |
Banco Macro SA ADRD | | | 11,078 | | | $ | 200,955 | |
MercadoLibre, Inc.D | | | 10,600 | | | | 832,842 | |
| | | | | | | | |
| | | | | | | 1,033,797 | |
| | | | | | | | |
Australia — 3.8% | | | | | | | | |
AGL Energy, Ltd.‡‡ | | | 31,924 | | | | 513,215 | |
Alumina, Ltd. | | | 34,920 | | | | 33,514 | |
Amcor, Ltd.‡‡ | | | 508,815 | | | | 4,300,392 | |
AMP, Ltd. | | | 833,453 | | | | 4,227,601 | |
Arrium, Ltd. | | | 275,826 | | | | 268,829 | |
Asciano, Ltd. | | | 49,499 | | | | 242,150 | |
ASX, Ltd.‡‡ | | | 2,537 | | | | 82,793 | |
Aurizon Holdings, Ltd. | | | 39,419 | | | | 155,011 | |
Australia & New Zealand
Banking Group, Ltd.‡‡ | | | 64,485 | | | | 1,698,316 | |
Bank of Queensland, Ltd. | | | 24,743 | | | | 190,960 | |
BHP Billiton, Ltd.‡‡ | | | 64,383 | | | | 2,513,550 | |
BlueScope Steel, Ltd. | | | 83,582 | | | | 305,726 | |
Boart Longyear, Ltd.‡‡ | | | 461,505 | | | | 898,597 | |
Brambles, Ltd. | | | 219,301 | | | | 1,738,908 | |
Caltex Australia, Ltd.‡‡ | | | 30,606 | | | | 617,315 | |
CFS Retail Property Trust
Group REIT‡‡ | | | 37,629 | | | | 75,276 | |
Coca-Cola Amatil, Ltd.‡‡ | | | 27,227 | | | | 382,632 | |
Cochlear, Ltd.D | | | 23,994 | | | | 1,989,101 | |
Commonwealth Bank of
Australia‡‡ | | | 30,622 | | | | 1,994,309 | |
Computershare, Ltd.‡‡ | | | 6,176 | | | | 58,262 | |
CSL, Ltd.‡‡ | | | 41,183 | | | | 2,325,091 | |
Dexus Property Group REIT‡‡ | | | 84,924 | | | | 90,199 | |
Downer EDI, Ltd.*‡‡ | | | 579,101 | | | | 2,482,566 | |
Fairfax Media, Ltd.‡‡ | | | 89,241 | | | | 47,692 | |
Flight Centre, Ltd.‡‡ | | | 10,666 | | | | 301,804 | |
Fortescue Metals Group, Ltd.D‡‡ | | | 538,076 | | | | 2,681,480 | |
Goodman Group REIT‡‡ | | | 33,286 | | | | 151,670 | |
GPT Group+ | | | 63,198 | | | | — | |
GPT Group REIT | | | 26,294 | | | | 101,211 | |
Iluka Resources, Ltd.D | | | 101,583 | | | | 981,699 | |
Incitec Pivot, Ltd.‡‡ | | | 138,430 | | | | 471,962 | |
Insurance Australia Group,
Ltd.‡‡ | | | 51,029 | | | | 251,336 | |
JB Hi-Fi, Ltd. | | | 42,830 | | | | 463,563 | |
Leighton Holdings, Ltd.‡‡ | | | 3,018 | | | | 56,971 | |
Lend Lease Group‡‡ | | | 7,753 | | | | 75,714 | |
Macquarie Group, Ltd.‡‡ | | | 4,285 | | | | 160,521 | |
Mirvac Group REIT‡‡ | | | 47,808 | | | | 74,401 | |
Monadelphous Group, Ltd.‡‡ | | | 5,824 | | | | 149,942 | |
Mount Gibson Iron, Ltd. | | | 781,599 | | | | 692,018 | |
Myer Holdings, Ltd. | | | 45,547 | | | | 103,051 | |
National Australia Bank, Ltd.‡‡ | | | 135,078 | | | | 3,552,983 | |
Newcrest Mining, Ltd.‡‡ | | | 13,780 | | | | 322,353 | |
OZ Minerals, Ltd.‡‡ | | | 4,583 | | | | 32,547 | |
Pacific Brands, Ltd.‡‡ | | | 208,436 | | | | 135,541 | |
Primary Health Care, Ltd.‡‡ | | | 103,917 | | | | 433,532 | |
Qantas Airways, Ltd.*‡‡ | | | 332,519 | | | | 520,699 | |
QBE Insurance Group, Ltd.‡‡ | | | 290,139 | | | | 3,324,402 | |
Ramsay Health Care, Ltd.‡‡ | | | 8,544 | | | | 243,695 | |
Rio Tinto, Ltd. | | | 5,051 | | | | 355,132 | |
Santos, Ltd. | | | 20,768 | | | | 243,332 | |
Sims Metal
Management, Ltd.‡‡ | | | 27,622 | | | | 265,329 | |
Sonic Healthcare, Ltd.‡‡ | | | 34,559 | | | | 482,398 | |
Spark Infrastructure Group‡‡ | | | 136,217 | | | | 238,146 | |
| | | | | | | | |
| | | Shares | | | Value | |
Stockland REIT‡‡ | | | 46,149 | | | $ | 170,637 | |
Suncorp Group, Ltd.‡‡ | | | 57,856 | | | | 617,837 | |
Telstra Corporation, Ltd.‡‡ | | | 555,398 | | | | 2,530,808 | |
Toll Holdings, Ltd. | | | 251,853 | | | | 1,207,118 | |
Transfield Services, Ltd. | | | 138,157 | | | | 282,750 | |
Wesfarmers, Ltd.‡‡ | | | 16,828 | | | | 649,246 | |
Westfield Group REIT‡‡ | | | 40,245 | | | | 444,462 | |
Westfield Retail Trust REIT‡‡ | | | 59,197 | | | | 186,765 | |
Westpac Banking
Corporation‡‡ | | | 52,135 | | | | 1,428,494 | |
Woodside Petroleum, Ltd. | | | 43,859 | | | | 1,562,923 | |
WorleyParsons, Ltd. | | | 12,357 | | | | 304,391 | |
| | | | | | | | |
| | | | | | | 53,484,868 | |
| | | | | | | | |
Austria — 0.2% | | | | | | | | |
Erste Group Bank AG | | | 74,600 | | | | 2,371,889 | |
Wiener Versicherung Gruppe | | | 14,958 | | | | 798,369 | |
| | | | | | | | |
| | | | | | | 3,170,258 | |
| | | | | | | | |
Belgium — 0.1% | | | | | | | | |
Ageas STRIP VVPR* | | | 5,306 | | | | 7 | |
Groupe Bruxelles
Lambert SA‡‡ | | | 457 | | | | 36,449 | |
UCB SA | | | 8,081 | | | | 462,950 | |
Umicore SA | | | 10,536 | | | | 583,413 | |
| | | | | | | | |
| | | | | | | 1,082,819 | |
| | | | | | | | |
Bermuda — 0.3% | | | | | | | | |
Catlin Group, Ltd.‡‡ | | | 731 | | | | 6,015 | |
Credicorp, Ltd.D | | | 24,188 | | | | 3,544,993 | |
Kosmos Energy, Ltd.* | | | 28,468 | | | | 351,580 | |
| | | | | | | | |
| | | | | | | 3,902,588 | |
| | | | | | | | |
Brazil — 2.7% | | | | | | | | |
All America Latina
Logistica SA | | | 190,500 | | | | 773,165 | |
Amil Participacoes SA | | | 99,590 | | | | 1,500,538 | |
Banco Bradesco SA ADRD | | | 24,000 | | | | 416,880 | |
Banco do Brasil SA | | | 39,500 | | | | 493,870 | |
Banco do Brasil SA ADRD | | | 110,780 | | | | 1,403,583 | |
Banco Santander
Brasil SA | | | 170,783 | | | | 1,248,655 | |
Banco Santander
Brasil SA ADR | | | 275,489 | | | | 2,002,805 | |
BM&FBovespa SA | | | 313,400 | | | | 2,142,906 | |
BR Malls Participacoes SA | | | 92,800 | | | | 1,224,643 | |
Brookfield Incorporacoes SA | | | 560,200 | | | | 935,719 | |
Centrais Eletricas Brasileiras
SA ADRD | | | 36,100 | | | | 112,632 | |
Cia Brasileira de Distribuicao Grupo Pao de Acucar ADRD | | | 17,700 | | | | 785,703 | |
Cia de Saneamento Basico do Estado de Sao Paulo | | | 45,300 | | | | 1,921,959 | |
Cia Energetica de
Minas Gerais ADR | | | 22,000 | | | | 238,920 | |
Cielo SA | | | 32,800 | | | | 912,953 | |
Companhia Hering | | | 11,700 | | | | 239,943 | |
Cosan SA Industria e Comercio | | | 1,200 | | | | 24,469 | |
Duratex SA | | | 151,800 | | | | 1,100,967 | |
EDP - Energias do Brasil SA | | | 1,900 | | | | 11,590 | |
Embraer SA ADRD | | | 77,700 | | | | 2,215,227 | |
Itau Unibanco
Holding SA ADR | | | 256,694 | | | | 4,225,183 | |
JBS SA | | | 68,900 | | | | 201,905 | |
Lojas Renner SA | | | 13,668 | | | | 532,368 | |
Magnesita Refratarios SA | | | 52,339 | | | | 210,890 | |
Marfrig Alimentos SA | | | 75,597 | | | | 313,095 | |
| | | | |
| 208 | | See Notes to Financial Statements. | | |
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Shares | | | Value | |
Metalurgica Gerdau SA | | | | | 14,100 | | | | | $ | 157,700 | |
Multiplan Empreendimentos
Imobiliarios SA | | | | | 2,500 | | | | | | 73,504 | |
OGX Petroleo e Gas
Participacoes SA* | | | | | 965,320 | | | | | | 2,065,007 | |
Petroleo Brasileiro SA ADRD | | | | | 176,750 | | | | | | 3,423,659 | |
Porto Seguro SA | | | | | 36,100 | | | | | | 414,158 | |
Raia Drogasil SA | | | | | 94,100 | | | | | | 1,060,262 | |
Totvs SA | | | | | 26,611 | | | | | | 524,942 | |
Tractebel Energia SA | | | | | 26,714 | | | | | | 435,122 | |
Ultrapar Participacoes SA | | | | | 32,168 | | | | | | 727,256 | |
Vale SA ADRD | | | | | 187,400 | | | | | | 3,804,220 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 37,876,398 | |
| | | | | | | | | | | | |
Canada — 0.9% | | | | | | | | | | | | |
Barrick Gold Corporation | | | | | 49,933 | | | | | | 1,748,154 | |
Canadian National Railway Co.D | | | | | 53,110 | | | | | | 4,833,541 | |
First Quantum Minerals, Ltd.D | | | | | 205,839 | | | | | | 4,533,963 | |
Westjet Airlines, Ltd. | | | | | 64,975 | | | | | | 1,294,013 | |
Yamana Gold, Inc.D | | | | | 53,840 | | | | | | 926,586 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 13,336,257 | |
| | | | | | | | | | | | |
Chile — 0.2% | | | | | | | | | | | | |
Banco Santander Chile ADRD | | | | | 1,039 | | | | | | 29,601 | |
Cap SA | | | | | 1,007 | | | | | | 33,770 | |
Embotelladora Andina SA ADR Class AD | | | | | 8,434 | | | | | | 252,514 | |
Embotelladora Andina SA ADR Class BD | | | | | 13,344 | | | | | | 506,672 | |
Empresa Nacional de Electricidad SA | | | | | 124,712 | | | | | | 202,694 | |
Empresas COPEC SA | | | | | 11,100 | | | | | | 157,442 | |
Enersis SA ADRD | | | | | 36,600 | | | | | | 666,852 | |
ENTEL Chile SA | | | | | 31,900 | | | | | | 659,609 | |
Sociedad Quimica y Minera de Chile SA ADR | | | | | 13,800 | | | | | | 795,432 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,304,586 | |
| | | | | | | | | | | | |
China — 3.2% | | | | | | | | | | | | |
AAC Technologies
Holdings, Inc. | | | | | 27,077 | | | | | | 96,010 | |
Agricultural Bank
of China, Ltd.D | | | | | 452,000 | | | | | | 228,100 | |
Anhui Conch Cement Co., Ltd. Class HD | | | | | 629,096 | | | | | | 2,349,901 | |
Anta Sports Products, Ltd.D | | | | | 164,000 | | | | | | 147,562 | |
Baidu, Inc. ADRD* | | | | | 71,721 | | | | | | 7,192,899 | |
Bank of China, Ltd. Class H | | | | | 2,328,000 | | | | | | 1,054,311 | |
Bank of Communications Co., Ltd. Class A | | | | | 249,000 | | | | | | 190,422 | |
China BlueChemical, Ltd. | | | | | 416,000 | | | | | | 283,779 | |
China Citic Bank
Corporation, Ltd.D | | | | | 49,000 | | | | | | 29,695 | |
China Communications
Construction Co., Ltd.
Class H | | | | | 304,000 | | | | | | 299,338 | |
China Construction Bank
Corporation Class H | | | | | 2,044,000 | | | | | | 1,670,382 | |
China Life Insurance Co., Ltd.
Class H | | | | | 249,000 | | | | | | 824,704 | |
China Merchants Bank Co., Ltd. Class HD | | | | | 1,093,190 | | | | | | 2,457,871 | |
China Minsheng Banking
Corporation, Ltd.D | | | | | 353,500 | | | | | | 415,263 | |
China Petroleum & Chemical Corporation Class H | | | | | 820,000 | | | | | | 944,045 | |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
China Railway Construction
Corporation, Ltd. | | | | | 1,729,200 | | | | | $ | 2,000,407 | |
China Railway Group, Ltd. | | | | | 485,000 | | | | | | 288,390 | |
China Shenhua Energy Co.,
Ltd. Class H | | | | | 288,151 | | | | | | 1,290,720 | |
China Telecom Corporation,
Ltd. Class H | | | | | 384,000 | | | | | | 217,131 | |
Chongqing Rural
Commercial Bank Class H | | | | | 127,000 | | | | | | 70,894 | |
CNOOC, Ltd. | | | | | 1,489,900 | | | | | | 3,282,269 | |
Ctrip.com International, Ltd.
ADRD* | | | | | 37,014 | | | | | | 843,549 | |
Dongyue Group | | | | | 312,500 | | | | | | 211,270 | |
ENN Energy Holdings, Ltd. | | | | | 162,433 | | | | | | 711,763 | |
Evergrande Real
Estate Group, Ltd. | | | | | 169,000 | | | | | | 95,326 | |
Foxconn International
Holdings, Ltd.*‡‡ | | | | | 16,000 | | | | | | 7,848 | |
Industrial & Commercial Bank of China Ltd. Class HD | | | | | 1,735,000 | | | | | | 1,252,283 | |
Jiangsu Express Co., Ltd.
Class H | | | | | 128,000 | | | | | | 133,269 | |
Li Ning Co, Ltd.D | | | | | 614,342 | | | | | | 405,630 | |
Longfor Properties Co., Ltd.D | | | | | 521,458 | | | | | | 1,036,796 | |
New Oriental Education &
Technology Group ADRD | | | | | 34,300 | | | | | | 666,449 | |
NVC Lighting Holdings, Ltd. | | | | | 1,837,000 | | | | | | 485,818 | |
Parkson Retail Group, Ltd.D | | | | | 1,238,427 | | | | | | 1,006,559 | |
PetroChina Co., Ltd. Class H | | | | | 46,000 | | | | | | 66,363 | |
PICC Property &
Casualty Co., Ltd. | | | | | 936,000 | | | | | | 1,336,857 | |
Sinopharm Group Co., Ltd.
Class H | | | | | 115,200 | | | | | | 365,820 | |
Sun Art Retail Group, Ltd. | | | | | 762,500 | | | | | | 1,178,858 | |
Tencent Holdings, Ltd. | | | | | 249,000 | | | | | | 8,166,380 | |
Want Want China
Holdings, Ltd.D | | | | | 652,283 | | | | | | 914,113 | |
West China Cement, Ltd. | | | | | 1,597,528 | | | | | | 325,423 | |
Wumart Stores, Inc. Class HD | | | | | 120,574 | | | | | | 260,795 | |
Yangzijiang Shipbuilding
Holdings, Ltd. | | | | | 152,800 | | | | | | 122,420 | |
Youku, Inc. ADRD* | | | | | 34,104 | | | | | | 622,057 | |
Zhejiang Expressway Co., Ltd. | | | | | 128,000 | | | | | | 101,250 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 45,650,989 | |
| | | | | | | | | | | | |
Colombia — 0.1% | | | | | | | | | | | | |
BanColombia SA | | | | | 64,300 | | | | | | 1,091,681 | |
BanColombia SA ADR | | | | | 8,443 | | | | | | 562,135 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,653,816 | |
| | | | | | | | | | | | |
Cyprus — 0.1% | | | | | | | | | | | | |
Eurasia Drilling Co., Ltd. GDR | | | | | 15,275 | | | | | | 545,318 | |
Global Ports Investment,
Ltd. GDR | | | | | 15,948 | | | | | | 224,867 | |
Global Ports Investment,
Ltd. GDR 144A | | | | | 18,105 | | | | | | 255,280 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,025,465 | |
| | | | | | | | | | | | |
Denmark — 0.8% | | | | | | | | | | | | |
Coloplast A/S Class B | | | | | 1,475 | | | | | | 72,334 | |
Danske Bank A/S* | | | | | 58,611 | | | | | | 995,459 | |
DSV A/S‡‡ | | | | | 44,739 | | | | | | 1,157,507 | |
GN Store Nord A/S | | | | | 58,451 | | | | | | 849,468 | |
Novo Nordisk A/S Class B‡‡ | | | | | 47,686 | | | | | | 7,765,029 | |
Novozymes A/S | | | | | 36,890 | | | | | | 1,047,183 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 11,886,980 | |
| | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 209 |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
Egypt — 0.2% | | | | | | | | | | | | |
ElSwedy Electric Co. | | | | | 80,671 | | | | | $ | 290,593 | |
Orascom Construction
Industries* | | | | | 53,155 | | | | | | 2,109,150 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,399,743 | |
| | | | | | | | | | | | |
Estonia — 0.0% | | | | | | | | | | | | |
Tallink Group AS* | | | | | 491,560 | | | | | | 563,229 | |
| | | | | | | | | | | | |
Finland — 0.4% | | | | | | | | | | | | |
Kone OYJ | | | | | 8,457 | | | | | | 625,481 | |
Metso OYJ‡‡ | | | | | 45,531 | | | | | | 1,943,810 | |
Outotec OYJ | | | | | 9,013 | | | | | | 509,202 | |
Sampo OYJ | | | | | 12,161 | | | | | | 393,844 | |
UPM-Kymmene OYJ | | | | | 167,027 | | | | | | 1,965,041 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,437,378 | |
| | | | | | | | | | | | |
France — 7.6% | | | | | | | | | | | | |
Arkema SA‡‡ | | | | | 38,348 | | | | | | 4,026,509 | |
AtoS‡‡ | | | | | 12,728 | | | | | | 893,852 | |
AXA SA‡‡ | | | | | 30,296 | | | | | | 543,991 | |
BNP Paribas SA‡‡ | | | | | 72,823 | | | | | | 4,145,839 | |
Bouygues SA | | | | | 17,919 | | | | | | 533,221 | |
Carrefour SA | | | | | 195,330 | | | | | | 5,029,254 | |
Casino Guichard | | | | | | | | | | | | |
Perrachon SAD | | | | | 42,681 | | | | | | 4,088,114 | |
Christian Dior SA | | | | | 27,469 | | | | | | 4,682,228 | |
Cie de St-Gobain | | | | | 162,381 | | | | | | 6,973,304 | |
Cie Generale des | | | | | | | | | | | | |
Etablissements Michelin
Class B | | | | | 39,385 | | | | | | 3,773,850 | |
Cie Generale d’Optique Essilor
International SA | | | | | 8,954 | | | | | | 903,081 | |
Credit Agricole SA‡‡ | | | | | 29,800 | | | | | | 242,695 | |
Danone SA | | | | | 70,239 | | | | | | 4,626,818 | |
Etablissements
Maurel et Prom | | | | | 33,321 | | | | | | 561,636 | |
Faurecia | | | | | 991 | | | | | | 15,564 | |
France Telecom SA‡‡ | | | | | 446,344 | | | | | | 4,951,685 | |
GDF Suez | | | | | 79,200 | | | | | | 1,631,218 | |
Klepierre REIT‡‡ | | | | | 623 | | | | | | 24,901 | |
Lagardere SCA | | | | | 29,072 | | | | | | 977,868 | |
L’Oreal SA | | | | | 45,608 | | | | | | 6,346,046 | |
Natixis‡‡ | | | | | 44,299 | | | | | | 151,420 | |
PPR‡‡ | | | | | 26,316 | | | | | | 4,942,454 | |
Publicis Groupe SA | | | | | 7,064 | | | | | | 424,995 | |
Renault SA | | | | | 24,692 | | | | | | 1,340,981 | |
Sanofi‡‡ | | | | | 170,468 | | | | | | 16,165,549 | |
Schneider Electric SA | | | | | 68,437 | | | | | | 5,012,404 | |
Societe BIC SA‡‡ | | | | | 12,202 | | | | | | 1,462,633 | |
Societe Generale SA‡‡ | | | | | 107,853 | | | | | | 4,100,859 | |
Total SA‡‡ | | | | | 173,349 | | | | | | 9,019,902 | |
UBISOFT Entertainment* | | | | | 99,900 | | | | | | 1,052,094 | |
Unibail-Rodamco SE REIT‡‡ | | | | | 1,611 | | | | | | 390,674 | |
Valeo SA‡‡ | | | | | 25,703 | | | | | | 1,291,068 | |
Vallourec SA | | | | | 40,179 | | | | | | 2,109,091 | |
Vinci SA | | | | | 76,812 | | | | | | 3,698,297 | |
Vivendi SA‡‡ | | | | | 93,357 | | | | | | 2,111,368 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 108,245,463 | |
| | | | | | | | | | | | |
Germany — 7.6% | | | | | | | | | | | | |
Adidas AG‡‡ | | | | | 21,098 | | | | | | 1,882,990 | |
Aixtron SE NAD | | | | | 53,489 | | | | | | 637,870 | |
Allianz SE | | | | | 23,015 | | | | | | 3,208,238 | |
Aurubis AG‡‡ | | | | | 20,734 | | | | | | 1,483,289 | |
Axel Springer AGD | | | | | 3,386 | | | | | | 144,955 | |
BASF SE‡‡ | | | | | 61,575 | | | | | | 5,822,559 | |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
Bayer AG‡‡ | | | | | 130,280 | | | | | $ | 12,423,805 | |
Beiersdorf AG | | | | | 63,880 | | | | | | 5,230,566 | |
Bilfinger SE‡‡ | | | | | 14,223 | | | | | | 1,379,090 | |
Brenntag AG | | | | | 425 | | | | | | 55,992 | |
Continental AG‡‡ | | | | | 29,965 | | | | | | 3,492,540 | |
Daimler AG | | | | | 39,098 | | | | | | 2,152,574 | |
Deutsche Bank AG‡‡ | | | | | 53,195 | | | | | | 2,340,316 | |
Deutsche Boerse AG | | | | | 34,500 | | | | | | 2,115,620 | |
Deutsche Lufthansa AG | | | | | 79,099 | | | | | | 1,495,318 | |
Deutsche Post AG‡‡ | | | | | 94,688 | | | | | | 2,085,563 | |
Deutsche Telekom AG | | | | | 413,059 | | | | | | 4,701,838 | |
E.ON AG‡‡ | | | | | 78,983 | | | | | | 1,481,415 | |
Fresenius Medical Care AG & Co. KGaAD | | | | | 20,562 | | | | | | 1,419,034 | |
Fresenius SE & Co. KGaA‡‡ | | | | | 1,995 | | | | | | 229,563 | |
GEA Group AGD‡‡ | | | | | 42,079 | | | | | | 1,368,237 | |
Hannover Rueckversicherung
AGD‡‡ | | | | | 30,876 | | | | | | 2,418,336 | |
HeidelbergCement AG‡‡ | | | | | 35,208 | | | | | | 2,154,450 | |
Kabel Deutschland Holding AG | | | | | 19,110 | | | | | | 1,438,334 | |
Leoni AG‡‡ | | | | | 39,098 | | | | | | 1,487,445 | |
Linde AG | | | | | 37,291 | | | | | | 6,524,034 | |
Merck KGaA‡‡ | | | | | 15,358 | | | | | | 2,024,115 | |
Metro AGD | | | | | 57,630 | | | | | | 1,601,046 | |
MTU Aero Engines
Holding AGD | | | | | 33,100 | | | | | | 3,020,710 | |
Rheinmetall AG‡‡ | | | | | 30,012 | | | | | | 1,457,980 | |
RWE AG | | | | | 137,493 | | | | | | 5,702,893 | |
Salzgitter AG‡‡ | | | | | 21,578 | | | | | | 1,130,879 | |
SAP AG‡‡ | | | | | 150,304 | | | | | | 12,086,410 | |
Siemens AG | | | | | 22,841 | | | | | | 2,497,690 | |
SMA Solar Technology AGD | | | | | 14,534 | | | | | | 368,181 | |
Suedzucker AGD | | | | | 30,270 | | | | | | 1,242,502 | |
Telefonica Deutschland
Holding AG* | | | | | 197,003 | | | | | | 1,501,446 | |
TUI AG‡‡ | | | | | 118,191 | | | | | | 1,235,966 | |
Volkswagen AG | | | | | 23,021 | | | | | | 4,994,140 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 108,037,929 | |
| | | | | | | | | | | | |
Greece — 0.1% | | | | | | | | | | | | |
Coca Cola Hellenic
Bottling Co. SA | | | | | 47,731 | | | | | | 1,115,151 | |
| | | | | | | | | | | | |
Guernsey — 0.0% | | | | | | | | | | | | |
Resolution, Ltd. | | | | | 7,614 | | | | | | 30,977 | |
| | | | | | | | | | | | |
Hong Kong — 2.9% | | | | | | | | | | | | |
AIA Group, Ltd.‡‡ | | | | | 1,424,600 | | | | | | 5,650,441 | |
ASM Pacific
Technology, Ltd.D‡‡ | | | | | 95,457 | | | | | | 1,171,932 | |
Belle International
Holdings, Ltd. | | | | | 359,000 | | | | | | 793,955 | |
BOC Hong Kong
Holdings, Ltd.‡‡ | | | | | 157,000 | | | | | | 493,888 | |
Cheung Kong Holdings, Ltd.‡‡ | | | | | 12,000 | | | | | | 186,713 | |
Cheung Kong Infrastructure
Holdings, Ltd.‡‡ | | | | | 7,000 | | | | | | 43,239 | |
China Mengniu
Dairy Co., Ltd. | | | | | 298,500 | | | | | | 853,222 | |
China Mobile, Ltd. | | | | | 509,618 | | | | | | 5,997,033 | |
China Overseas Land &
Investment, Ltd. | | | | | 832,372 | | | | | | 2,530,769 | |
China Resources Cement
Holdings, Ltd.D | | | | | 818,782 | | | | | | 550,178 | |
China Resources Gas
Group, Ltd. | | | | | 315,469 | | | | | | 654,102 | |
China Resources Land, Ltd. | | | | | 64,000 | | | | | | 177,325 | |
CLP Holdings, Ltd.‡‡ | | | | | 21,500 | | | | | | 180,639 | |
| | | | |
| 210 | | See Notes to Financial Statements. | | |
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | |
| | | Shares | | | Value | |
COSCO Pacific, Ltd. | | | 446,000 | | | | | $ | 646,684 | |
Esprit Holdings, Ltd. | | | 77 | | | | | | 109 | |
First Pacific Co., Ltd. | | | 38,000 | | | | | | 41,964 | |
GOME Electrical Appliances
Holdings, Ltd.* | | | 9,550,000 | | | | | | 1,155,543 | |
Guangdong Investment, Ltd. | | | 272,000 | | | | | | 215,431 | |
Hang Seng Bank, Ltd. | | | 4,000 | | | | | | 61,748 | |
Henderson Land
Development Co., Ltd. | | | 14,000 | | | | | | 100,229 | |
HKT Trust | | | 954 | | | | | | 937 | |
Hong Kong & China
Gas Co., Ltd. | | | 24,200 | | | | | | 66,490 | |
Hong Kong Exchanges and
Clearing, Ltd.D‡‡ | | | 99,400 | | | | | | 1,720,233 | |
Hopewell Holdings, Ltd. | | | 10,500 | | | | | | 45,526 | |
Hutchison Whampoa, Ltd.‡‡ | | | 58,000 | | | | | | 614,623 | |
Hysan Development Co., Ltd. | | | 66,000 | | | | | | 320,947 | |
Jardine Matheson
Holdings, Ltd. | | | 61,540 | | | | | | 3,839,900 | |
Kerry Properties, Ltd.‡‡ | | | 35,100 | | | | | | 184,398 | |
Li & Fung, Ltd.D | | | 2,502,924 | | | | | | 4,516,492 | |
Lifestyle International
Holdings, Ltd. | | | 27,500 | | | | | | 68,026 | |
Link (The) REIT‡‡ | | | 39,500 | | | | | | 197,820 | |
MMG, Ltd.* | | | 492,000 | | | | | | 208,566 | |
New World Department
Store China, Ltd.D | | | 463,337 | | | | | | 301,496 | |
New World
Development Co., Ltd.‡‡ | | | 64,000 | | | | | | 101,323 | |
Noble Group, Ltd. | | | 162,000 | | | | | | 156,512 | |
NWS Holdings, Ltd.‡‡ | | | 21,000 | | | | | | 35,692 | |
Orient Overseas
International, Ltd. | | | 30,500 | | | | | | 201,351 | |
PCCW, Ltd.‡‡ | | | 68,000 | | | | | | 30,056 | |
Power Assets Holdings, Ltd. | | | 35,500 | | | | | | 304,575 | |
Shangri-La Asia, Ltd. | | | 1,000 | | | | | | 2,014 | |
Shimao Property
Holdings, Ltd.D | | | 724,500 | | | | | | 1,398,576 | |
Shougang Fushan Resources
Group, Ltd. | | | 1,608,000 | | | | | | 603,518 | |
Sino Land Co., Ltd. | | | 246,000 | | | | | | 450,462 | |
Sun Hung Kai
Properties, Ltd. | | | 15,000 | | | | | | 227,479 | |
Swire Pacific, Ltd. Class A‡‡ | | | 13,000 | | | | | | 162,616 | |
Swire Properties, Ltd. | | | 100 | | | | | | 337 | |
Techtronic Industries Co. | | | 538,500 | | | | | | 1,019,299 | |
Television Broadcasts, Ltd. | | | 800 | | | | | | 6,015 | |
Wharf Holdings, Ltd. | | | 63,000 | | | | | | 502,093 | |
Wheelock & Co., Ltd. | | | 94,000 | | | | | | 479,503 | |
Wing Hang Bank, Ltd. | | | 3,000 | | | | | | 31,600 | |
Yue Yuen Industrial
Holdings, Ltd.‡‡ | | | 500,100 | | | | | | 1,691,439 | |
| | | | | | | | | | |
| | | | | | | | | 40,995,058 | |
| | | | | | | | | | |
Hungary — 0.1% | | | | | | | | | | |
MOL Hungarian Oil
and Gas PLC | | | 24,833 | | | | | | 2,003,207 | |
OTP Bank PLC | | | 5,200 | | | | | | 97,952 | |
| | | | | | | | | | |
| | | | | | | | | 2,101,159 | |
| | | | | | | | | | |
India — 1.9% | | | | | | | | | | |
ACC, Ltd. | | | 61,140 | | | | | | 1,612,725 | |
Ambuja Cements, Ltd. | | | 287,333 | | | | | | 1,065,503 | |
Andhra Bank | | | 214,848 | | | | | | 464,859 | |
Axis Bank, Ltd. | | | 97,695 | | | | | | 2,454,680 | |
Bank of India | | | 16,700 | | | | | | 105,446 | |
Bharat Heavy Electricals, Ltd. | | | 65,187 | | | | | | 275,507 | |
| | | | | | | | | | |
| | | Shares | | | Value | |
Canara Bank | | | 8,600 | | | | | $ | 78,478 | |
Container Corporation of India | | | 10,705 | | | | | | 180,927 | |
Dabur India, Ltd. | | | 308,256 | | | | | | 725,209 | |
DLF, Ltd. | | | 15,015 | | | | | | 64,018 | |
Dr. Reddys Laboratories, Ltd.
ADRD | | | 6,500 | | | | | | 216,385 | |
GAIL India, Ltd.* | | | 4,800 | | | | | | 31,541 | |
Glenmark Pharmaceuticals, Ltd. | | | 60,150 | | | | | | 583,150 | |
HCL Technologies, Ltd. | | | 16,600 | | | | | | 188,575 | |
Hindustan Unilever, Ltd. | | | 89,285 | | | | | | 860,114 | |
Housing Development Finance
Corporation | | | 96,100 | | | | | | 1,468,101 | |
ICICI Bank, Ltd. ADRD | | | 73,650 | | | | | | 3,211,877 | |
IDFC, Ltd. | | | 418,848 | | | | | | 1,328,462 | |
Infosys, Ltd. | | | 26,078 | | | | | | 1,104,543 | |
Infosys, Ltd. ADR D | | | 54,724 | | | | | | 2,314,825 | |
Kotak Mahindra Bank, Ltd. | | | 150,208 | | | | | | 1,797,545 | |
Lupin, Ltd. | | | 128,849 | | | | | | 1,455,182 | |
Maruti Suzuki India, Ltd. | | | 31,255 | | | | | | 856,447 | |
Oil & Natural Gas
Corporation, Ltd. | | | 108,755 | | | | | | 536,076 | |
Opto Circuits India, Ltd.* | | | 101,293 | | | | | | 200,196 | |
Ranbaxy Laboratories, Ltd.* | | | 39,500 | | | | | | 365,148 | |
Rural Electrification
Corporation, Ltd.* | | | 256,800 | | | | | | 1,163,453 | |
Shriram Transport
Finance Co., Ltd. | | | 94,657 | | | | | | 1,315,887 | |
SKS Microfinance, Ltd.* | | | 17,272 | | | | | | 51,648 | |
Tata Consultancy Services, Ltd. | | | 36,201 | | | | | | 834,075 | |
Tata Motors, Ltd. ADRD | | | 10,600 | | | | | | 304,432 | |
Ultratech Cement, Ltd. | | | 4,745 | | | | | | 173,343 | |
| | | | | | | | | | |
| | | | | | | | | 27,388,357 | |
| | | | | | | | | | |
Indonesia — 0.5% | | | | | | | | | | |
PT Bank Negara Indonesia
Persero Tbk | | | 596,000 | | | | | | 229,705 | |
PT Bank Rakyat Indonesia
Persero Tbk | | | 759,634 | | | | | | 550,928 | |
PT Indo Tambangraya
Megah Tbk | | | 39,500 | | | | | | 170,999 | |
PT Indocement Tunggal
Prakarsa Tbk | | | 976,280 | | | | | | 2,280,633 | |
PT Indofood Sukses
Makmur Tbk | | | 1,104,500 | | | | | | 671,872 | |
PT Ramayana Lestari
Sentosa Tbk | | | 2,662,000 | | | | | | 338,338 | |
PT Semen Gresik
Persero Tbk | | | 305,637 | | | | | | 504,857 | |
PT Telekomunikasi
Indonesia Tbk | | | 1,297,694 | | | | | | 1,223,112 | |
PT Telekomunikasi
Indonesia Tbk ADR | | | 13,300 | | | | | | 491,435 | |
PT Unilever
Indonesia Tbk | | | 166,500 | | | | | | 360,975 | |
| | | | | | | | | | |
| | | | | | | | | 6,822,854 | |
| | | | | | | | | | |
Ireland — 0.4% | | | | | | | | | | |
Experian PLC‡‡ | | | 100,071 | | | | | | 1,612,845 | |
James Hardie
Industries PLC SE | | | 148,080 | | | | | | 1,433,694 | |
Shire PLC | | | 60,960 | | | | | | 1,875,207 | |
WPP PLC‡‡ | | | 51,727 | | | | | | 755,693 | |
| | | | | | | | | | |
| | | | | | | | | 5,677,439 | |
| | | | | | | | | | |
Italy — 2.0% | | | | | | | | | | |
Assicurazioni Generali SpA | | | 20,976 | | | | | | 383,332 | |
Enel SpA‡‡ | | | 436,063 | | | | | | 1,813,806 | |
Eni SpA‡‡ | | | 412,138 | | | | | | 10,096,413 | |
Fiat Industrial SpA | | | 76,612 | | | | | | 839,333 | |
| | | | |
| | See Notes to Financial Statements. | | 211 |
| | | | | | | | | | |
| | | Shares | | | Value | |
Fiat SpA | | | 466,437 | | | | | $ | 2,349,649 | |
Finmeccanica SpA | | | 113,400 | | | | | | 656,273 | |
Impregilo SpA | | | 264,305 | | | | | | 1,238,972 | |
Intesa Sanpaolo SpA‡‡ | | | 1,515,622 | | | | | | 2,620,998 | |
Prysmian SpA | | | 68,503 | | | | | | 1,367,395 | |
Snam SpA | | | 448,600 | | | | | | 2,093,880 | |
Telecom Italia SpA | | | 3,174,981 | | | | | | 2,879,933 | |
UniCredit SpA | | | 532,350 | | | | | | 2,621,548 | |
Unione di Banche
Italiane SCPA | | | 14,202 | | | | | | 66,226 | |
| | | | | | | | | | |
| | | | | | | | | 29,027,758 | |
| | | | | | | | | | |
Japan — 12.6% | | | | | | | | | | |
ABC-Mart, Inc. | | | 24,200 | | | | | | 1,053,558 | |
Ajinomoto Co., Inc.‡‡ | | | 40,000 | | | | | | 529,298 | |
Amada Co., Ltd. | | | 324,000 | | | | | | 2,108,286 | |
Anritsu Corporation | | | 16,000 | | | | | | 190,080 | |
Aozora Bank, Ltd. | | | 600 | | | | | | 1,845 | |
Asahi Glass Co., Ltd. | | | 200 | | | | | | 1,460 | |
Asahi Kasei Corporation‡‡ | | | 200 | | | | | | 1,183 | |
Astellas Pharma, Inc.‡‡ | | | 115,800 | | | | | | 5,206,553 | |
Azbil Corporation‡‡ | | | 21,000 | | | | | | 424,703 | |
Bridgestone Corporation | | | 7,800 | | | | | | 203,046 | |
Calsonic Kansei Corporation‡‡ | | | 200,000 | | | | | | 823,677 | |
Canon, Inc.D‡‡ | | | 272,950 | | | | | | 10,579,476 | |
Central Japan Railway Co.‡‡ | | | 9,300 | | | | | | 754,783 | |
Chiyoda Corporation‡‡ | | | 93,000 | | | | | | 1,332,241 | |
Chubu Electric Power Co.,
Inc.‡‡ | | | 68,800 | | | | | | 918,120 | |
Chugai Pharma-
ceutical Co., Ltd. | | | 19,900 | | | | | | 381,286 | |
Citizen Holdings Co., Ltd. | | | 151,500 | | | | | | 800,288 | |
COMSYS Holdings
Corporation‡‡ | | | 86,000 | | | | | | 1,104,550 | |
Credit Saison Co., Ltd. | | | 6,400 | | | | | | 160,081 | |
Daicel Corporation‡‡ | | | 31,000 | | | | | | 205,107 | |
Daihatsu Motor Co., Ltd.‡‡ | | | 47,000 | | | | | | 936,374 | |
Daiichi Sankyo Co., Ltd. | | | 5,100 | | | | | | 78,296 | |
Daito Trust
Construction Co., Ltd.‡‡ | | | 1,100 | | | | | | 103,961 | |
Daiwa House
Industry Co., Ltd.‡‡ | | | 10,000 | | | | | | 171,928 | |
Daiwa Securities Group, Inc. | | | 31,000 | | | | | | 172,950 | |
Dena Co., Ltd.D | | | 86,500 | | | | | | 2,837,571 | |
Denki Kagaku Kogyo KK | | | 119,000 | | | | | | 407,430 | |
Denso Corporation | | | 175,800 | | | | | | 6,122,097 | |
DIC Corporation | | | 103,000 | | | | | | 191,120 | |
East Japan Railway Co.‡‡ | | | 35,900 | | | | | | 2,321,443 | |
Ebara Corporation‡‡ | | | 147,000 | | | | | | 618,629 | |
Exedy Corporation | | | 11,700 | | | | | | 259,534 | |
FamilyMart Co., Ltd. | | | 19,100 | | | | | | 786,884 | |
Fuji Electric Co., Ltd. | | | 158,000 | | | | | | 388,745 | |
Fuji Heavy Industries, Ltd.‡‡ | | | 70,900 | | | | | | 894,072 | |
Fuji Media Holdings, Inc. | | | 138 | | | | | | 208,582 | |
Fujikura, Ltd. | | | 144,000 | | | | | | 449,483 | |
Fujitsu, Ltd.‡‡ | | | 133,000 | | | | | | 557,799 | |
Fukuoka Financial
Group, Inc.‡‡ | | | 128,000 | | | | | | 512,611 | |
Furukawa Electric Co., Ltd. | | | 52,000 | | | | | | 116,954 | |
Gree, Inc.D | | | 68,200 | | | | | | 1,058,431 | |
Hitachi High-Technologies
Corporation | | | 10,400 | | | | | | 215,214 | |
Hitachi, Ltd.‡‡ | | | 435,000 | | | | | | 2,559,761 | |
Hokuetsu Kishu Paper Co., Ltd. | | | 25,000 | | | | | | 145,093 | |
Honda Motor Co., Ltd.‡‡ | | | 8,500 | | | | | | 314,794 | |
Hoya Corporation | | | 117,700 | | | | | | 2,319,153 | |
| | | | | | | | | | |
| | | Shares | | | Value | |
IHI Corporation‡‡ | | | 268,000 | | | | | $ | 694,952 | |
Inpex Corporation | | | 787 | | | | | | 4,209,159 | |
Isetan Mitsukoshi
Holdings, Ltd. | | | 19,400 | | | | | | 189,855 | |
Isuzu Motors, Ltd.‡‡ | | | 122,100 | | | | | | 728,623 | |
ITOCHU Corporation‡‡ | | | 344,400 | | | | | | 3,639,998 | |
J Front Retailing Co., Ltd. | | | 47,000 | | | | | | 260,491 | |
Japan Airlines Co., Ltd.* | | | 23,500 | | | | | | 1,010,115 | |
Japan Petroleum
Exploration Co.‡‡ | | | 5,400 | | | | | | 190,715 | |
Japan Real Estate Investment
Corporation REIT | | | 7 | | | | | | 68,965 | |
Japan Retail Fund Investment
Corporation REIT | | | 20 | | | | | | 36,765 | |
JGC Corporation‡‡ | | | 43,000 | | | | | | 1,339,943 | |
JSR Corporation | | | 87,400 | | | | | | 1,668,259 | |
JTEKT Corporation‡‡ | | | 85,400 | | | | | | 814,155 | |
JX Holdings, Inc. | | | 70 | | | | | | 395 | |
Kajima Corporation | | | 48,000 | | | | | | 158,817 | |
Kao Corporation‡‡ | | | 155,800 | | | | | | 4,059,766 | |
KDDI Corporation‡‡ | | | 24,300 | | | | | | 1,717,944 | |
Keisei Electric
Railway Co., Ltd.‡‡ | | | 54,000 | | | | | | 455,696 | |
Kobe Steel, Ltd.* | | | 38,000 | | | | | | 48,554 | |
Komatsu, Ltd. | | | 70,800 | | | | | | 1,816,756 | |
Konami Corporation | | | 4,500 | | | | | | 101,337 | |
Konica Minolta
Holdings, Inc.‡‡ | | | 146,000 | | | | | | 1,050,665 | |
Kuraray Co., Ltd.D | | | 89,200 | | | | | | 1,169,337 | |
KYB Co., Ltd. | | | 25,000 | | | | | | 101,861 | |
Kyocera Corporation | | | 9,200 | | | | | | 834,121 | |
Lawson, Inc. | | | 41,300 | | | | | | 2,801,591 | |
Mabuchi Motor Co., Ltd.D | | | 40,700 | | | | | | 1,735,612 | |
Marubeni Corporation‡‡ | | | 78,800 | | | | | | 565,409 | |
Marui Group Co., Ltd. | | | 38,800 | | | | | | 309,961 | |
Mazda Motor Corporation | | | 88,000 | | | | | | 180,604 | |
Miraca Holdings, Inc.‡‡ | | | 8,700 | | | | | | 350,791 | |
Mitsubishi Corporation | | | 109,800 | | | | | | 2,113,975 | |
Mitsubishi Electric
Corporation‡‡ | | | 263,800 | | | | | | 2,246,087 | |
Mitsubishi Estate Co., Ltd.‡‡ | | | 24,000 | | | | | | 574,577 | |
Mitsubishi Heavy
Industries, Ltd.‡‡ | | | 46,000 | | | | | | 222,513 | |
Mitsubishi Motors
Corporation* | | | 25,000 | | | | | | 25,847 | |
Mitsubishi UFJ Financial
Group, Inc.‡‡ | | | 805,700 | | | | | | 4,359,734 | |
Mitsubishi UFJ Lease &
Finance Co., Ltd.‡‡ | | | 14,760 | | | | | | 634,919 | |
Mitsui & Co., Ltd.‡‡ | | | 85,200 | | | | | | 1,277,051 | |
Mitsui Chemicals, Inc.‡‡ | | | 85,000 | | | | | | 221,515 | |
Mitsui Engineering &
Shipbuilding Co., Ltd. | | | 491,000 | | | | | | 757,505 | |
Mitsui Fudosan Co., Ltd.‡‡ | | | 18,000 | | | | | | 440,335 | |
Mitsui Mining &
Smelting Co., Ltd.‡‡ | | | 248,000 | | | | | | 612,240 | |
Mizuho Financial Group, Inc.‡‡ | | | 583,940 | | | | | | 1,070,646 | |
Namco Bandai Holdings, Inc. | | | 10,300 | | | | | | 133,511 | |
NET One Systems Co., Ltd.‡‡ | | | 40,600 | | | | | | 400,898 | |
NHK Spring Co., Ltd.‡‡ | | | 64,000 | | | | | | 527,361 | |
Nintendo Co., Ltd. | | | 16,200 | | | | | | 1,729,792 | |
Nippon Building Fund, Inc.
REIT | | | 8 | | | | | | 82,758 | |
Nippon Electric
Glass Co., Ltd.‡‡ | | | 49,100 | | | | | | 279,575 | |
Nippon Kayaku Co., Ltd.‡‡ | | | 13,000 | | | | | | 143,306 | |
| | | | |
| 212 | | See Notes to Financial Statements. | | |
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | |
| | | Shares | | | Value | |
Nippon Meat Packers, Inc.‡‡ | | | 11,000 | | | | | $ | 152,482 | |
Nippon Shokubai Co., Ltd.‡‡ | | | 17,000 | | | | | | 174,133 | |
Nippon Steel & Sumitomo
Metal Corporation | | | 230 | | | | | | 566 | |
Nippon Telegraph & Telephone
Corporation‡‡ | | | 6,900 | | | | | | 290,511 | |
Nippon Yusen KK | | | 33,800 | | | | | | 79,560 | |
Nishi-Nippon
City Bank, Ltd. (The) | | | 200 | | | | | | 496 | |
Nissan Chemical
Industries, Ltd. | | | 62,100 | | | | | | 735,182 | |
Nissan Motor Co., Ltd. | | | 269,100 | | | | | | 2,553,457 | |
Nisshin Seifun Group, Inc.‡‡ | | | 19,500 | | | | | | 244,026 | |
NKSJ Holdings, Inc. | | | 66,250 | | | | | | 1,421,000 | |
Nomura Holdings, Inc. | | | 68,200 | | | | | | 403,696 | |
Nomura Research
Institute, Ltd. | | | 58,900 | | | | | | 1,226,930 | |
NTT DOCOMO, Inc.‡‡ | | | 306 | | | | | | 441,105 | |
Obayashi Corporation‡‡ | | | 125,000 | | | | | | 704,764 | |
OKUMA Corporation‡‡ | | | 112,000 | | | | | | 772,937 | |
Ono Pharmaceutical Co., Ltd. | | | 1,400 | | | | | | 71,518 | |
Oriental Land Co., Ltd. | | | 10,000 | | | | | | 1,211,044 | |
ORIX Corporation‡‡ | | | 1,590 | | | | | | 179,604 | |
Osaka Gas Co., Ltd.‡‡ | | | 77,000 | | | | | | 279,689 | |
Pacific Metals Co., Ltd. | | | 59,000 | | | | | | 279,586 | |
Pioneer Corporation*‡‡ | | | 216,800 | | | | | | 543,173 | |
Rakuten, Inc.D | | | 354,600 | | | | | | 2,765,332 | |
Resona Holdings, Inc.‡‡ | | | 491,600 | | | | | | 2,247,777 | |
Sanrio Co., Ltd.D | | | 21,600 | | | | | | 689,124 | |
Secom Co., Ltd. | | | 2,100 | | | | | | 105,803 | |
Sekisui Chemical Co., Ltd.‡‡ | | | 74,000 | | | | | | 645,554 | |
Sekisui House, Ltd.‡‡ | | | 8,000 | | | | | | 87,597 | |
Seven & I Holdings
Co., Ltd.‡‡ | | | 201,700 | | | | | | 5,686,078 | |
Shimamura Co., Ltd. | | | 2,300 | | | | | | 223,504 | |
Shin-Etsu Chemical Co., Ltd. | | | 123,300 | | | | | | 7,525,007 | |
Shinko Electric
Industries Co., Ltd. | | | 31,700 | | | | | | 252,378 | |
Shionogi & Co., Ltd. | | | 37,200 | | | | | | 619,894 | |
SMC Corporation | | | 12,000 | | | | | | 2,179,854 | |
Softbank Corporation‡‡ | | | 54,100 | | | | | | 1,982,291 | |
Sojitz Corporation | | | 118,100 | | | | | | 174,616 | |
Sumco Corporation* | | | 39,800 | | | | | | 391,490 | |
Sumitomo CorporationD‡‡ | | | 220,000 | | | | | | 2,822,557 | |
Sumitomo Heavy
Industries, Ltd.‡‡ | | | 121,000 | | | | | | 579,896 | |
Sumitomo Metal
Mining Co., Ltd.‡‡ | | | 38,000 | | | | | | 536,404 | |
Sumitomo Mitsui Financial
Group, Inc.‡‡ | | | 54,000 | | | | | | 1,962,458 | |
Sumitomo Mitsui Trust
Holdings, Inc. | | | 562,900 | | | | | | 1,983,271 | |
Sumitomo Realty &
Development Co., Ltd.‡‡ | | | 10,000 | | | | | | 333,139 | |
Suzuki Motor Corporation‡‡ | | | 28,700 | | | | | | 751,031 | |
T&D Holdings, Inc. | | | 44,100 | | | | | | 536,929 | |
Taisei Corporation‡‡ | | | 292,000 | | | | | | 970,980 | |
Takeda Pharm-
aceutical Co., Ltd.‡‡ | | | 147,100 | | | | | | 6,574,635 | |
Tohoku Electric Power Co., Inc. | | | 2,300 | | | | | | 21,446 | |
Tokai Carbon Co., Ltd. | | | 3,000 | | | | | | 12,624 | |
Tokio Marine Holdings, Inc. | | | 163,100 | | | | | | 4,543,847 | |
Tokuyama Corporation | | | 155,000 | | | | | | 341,807 | |
Tokyo Electric
Power Co., Inc.* | | | 8,900 | | | | | | 21,450 | |
Tokyo Electron, Ltd. | | | 45,500 | | | | | | 2,098,517 | |
| | | | | | | | | | |
| | | Shares | | | Value | |
Tokyo Gas Co., Ltd. | | | 30,000 | | | | | $ | 137,072 | |
Tokyo Steel Manufacturing
Co., Ltd. | | | 181,100 | | | | | | 886,123 | |
Toshiba Corporation | | | 481,300 | | | | | | 1,905,093 | |
Toshiba TEC Corporation | | | 132,000 | | | | | | 672,177 | |
Tosoh Corporation | | | 32,000 | | | | | | 76,992 | |
Toyo Suisan Kaisha, Ltd. | | | 32,000 | | | | | | 852,601 | |
Toyota Boshoku Corporation | | | 48,800 | | | | | | 565,808 | |
Toyota Motor CorporationD‡‡ | | | 118,500 | | | | | | 5,533,493 | |
Trend Micro, Inc.D* | | | 35,500 | | | | | | 1,072,636 | |
UNY Co., Ltd.‡‡ | | | 77,700 | | | | | | 575,773 | |
USS Co., Ltd.‡‡ | | | 4,040 | | | | | | 420,683 | |
West Japan Railway Co.‡‡ | | | 10,200 | | | | | | 401,846 | |
Yamada Denki Co., Ltd.D | | | 9,120 | | | | | | 352,497 | |
Yamaha Corporation | | | 7,900 | | | | | | 83,786 | |
Yamato Holdings Co., Ltd.‡‡ | | | 5,200 | | | | | | 79,024 | |
Yokogawa Electric Corporation | | | 292,300 | | | | | | 3,205,142 | |
| | | | | | | | | | |
| | | | | | | | | 179,947,382 | |
| | | | | | | | | | |
Jersey — 0.0% | | | | | | | | | | |
Randgold Resources, Ltd.‡‡ | | | 1,533 | | | | | | 151,656 | |
| | | | | | | | | | |
Luxembourg — 0.7% | | | | | | | | | | |
APERAM‡‡ | | | 157,396 | | | | | | 2,402,337 | |
ArcelorMittal | | | 134,983 | | | | | | 2,349,025 | |
Millicom International
Cellular SA ADR | | | 19,179 | | | | | | 1,664,755 | |
O’Key Group SA GDR | | | 8,377 | | | | | | 98,011 | |
Oriflame Cosmetics SA ADRD | | | 65,186 | | | | | | 2,084,869 | |
Ternium SA ADRD | | | 31,504 | | | | | | 741,919 | |
| | | | | | | | | | |
| | | | | | | | | 9,340,916 | |
| | | | | | | | | | |
Malaysia — 0.7% | | | | | | | | | | |
AirAsia Bhd | | | 801,965 | | | | | | 721,588 | |
Alliance Financial Group Bhd | | | 158,100 | | | | | | 228,310 | |
AMMB Holdings Bhd | | | 618,500 | | | | | | 1,375,343 | |
Axiata Group Bhd | | | 575,900 | | | | | | 1,245,637 | |
CIMB Group Holdings Bhd | | | 281,996 | | | | | | 705,870 | |
Gamuda Bhd | | | 840,500 | | | | | | 1,003,782 | |
Kuala Lumpur Kepong Bhd | | | 49,700 | | | | | | 391,626 | |
Lafarge Malayan Cement Bhd | | | 135,480 | | | | | | 426,199 | |
Malayan Banking Bhd | | | 189,500 | | | | | | 571,538 | |
Public Bank Bhd | | | 88,500 | | | | | | 471,730 | |
RHB Capital Bhd | | | 129,377 | | | | | | 326,266 | |
Tenaga Nasional Bhd | | | 388,800 | | | | | | 883,877 | |
UMW Holdings Bhd | | | 232,500 | | | | | | 907,799 | |
| | | | | | | | | | |
| | | | | | | | | 9,259,565 | |
| | | | | | | | | | |
Mexico — 1.1% | | | | | | | | | | |
Alfa SAB de CV | | | 331,700 | | | | | | 705,160 | |
America Movil SAB de CV | | | 1,715,600 | | | | | | 1,976,226 | |
America Movil SAB de CV
ADRD | | | 270,737 | | | | | | 6,264,854 | |
Arca Continental SAB de CV | | | 11,200 | | | | | | 83,379 | |
Corporacion Moctezuma
SAB de CV | | | 152,307 | | | | | | 371,156 | |
Genomma Lab Internacional
SAB de CV Class BD* | | | 425,114 | | | | | | 873,493 | |
Grupo Bimbo SAB de CVD | | | 120,100 | | | | | | 310,974 | |
Grupo Financiero Banorte
SAB de CV | | | 151,679 | | | | | | 979,449 | |
Grupo Financiero Inbursa
SAB de CV | | | 524,286 | | | | | | 1,589,126 | |
Grupo Mexico SAB de CV
Series B | | | 292,700 | | | | | | 1,055,878 | |
Grupo Televisa SAB ADRD | | | 12,100 | | | | | | 321,618 | |
Industrias Penoles SAB de CV | | | 3,685 | | | | | | 185,873 | |
| | | | |
| | See Notes to Financial Statements. | | 213 |
| | | | | | | | | | |
| | | Shares | | | Value | |
Kimberly-Clark de Mexico
SAB de CV Class A | | | 259,300 | | | | | $ | 665,988 | |
Megacable Holdings
SAB de CV | | | 215,295 | | | | | | 536,310 | |
| | | | | | | | | | |
| | | | | | | | | 15,919,484 | |
| | | | | | | | | | |
Mongolia — 0.0% | | | | | | | | | | |
Mongolian Mining
Corporation* | | | 1,199,180 | | | | | | 594,293 | |
| | | | | | | | | | |
Netherlands — 4.5% | | | | | | | | | | |
Aegon NV‡‡ | | | 438,064 | | | | | | 2,829,829 | |
ASML Holding NV‡‡ | | | 8,670 | | | | | | 556,042 | |
Corio NV REIT | | | 368 | | | | | | 16,875 | |
Delta Lloyd NV | | | 118,127 | | | | | | 1,945,999 | |
Gemalto NV | | | 8,894 | | | | | | 802,820 | |
ING Groep NV*‡‡ | | | 1,171,381 | | | | | | 11,125,820 | |
Koninklijke Ahold NV‡‡ | | | 660,737 | | | | | | 8,859,875 | |
Koninklijke DSM NV‡‡ | | | 16,819 | | | | | | 1,025,051 | |
Koninklijke KPN NV | | | 134,689 | | | | | | 666,085 | |
Koninklijke Philips
Electronics NV | | | 119,105 | | | | | | 3,153,941 | |
QIAGEN NV* | | | 4,199 | | | | | | 76,259 | |
Randstad Holding NV | | | 130,495 | | | | | | 4,843,626 | |
Reed Elsevier NV | | | 431,521 | | | | | | 6,398,494 | |
Royal Dutch Shell PLC
Class A‡‡ | | | 330,323 | | | | | | 11,388,569 | |
Royal Dutch Shell PLC
Class B‡‡ | | | 198,782 | | | | | | 7,091,847 | |
Unilever NV‡‡ | | | 83,487 | | | | | | 3,194,531 | |
| | | | | | | | | | |
| | | | | | | | | 63,975,663 | |
| | | | | | | | | | |
New Zealand — 0.0% | | | | | | | | | | |
Telecom Corporation of New
Zealand, Ltd.‡‡ | | | 269,985 | | | | | | 505,790 | |
| | | | | | | | | | |
Nigeria — 0.2% | | | | | | | | | | |
FBN Holdings PLC | | | 1,882,522 | | | | | | 189,518 | |
First City Monument
Bank PLC* | | | 9,211,834 | | | | | | 221,226 | |
Guaranty Trust Bank PLC | | | 6,895,739 | | | | | | 1,015,703 | |
Guaranty Trust Bank PLC GDR | | | 73,563 | | | | | | 529,653 | |
United Bank for Africa PLC* | | | 10,931,249 | | | | | | 319,222 | |
| | | | | | | | | | |
| | | | | | | | | 2,275,322 | |
| | | | | | | | | | |
Norway — 1.3% | | | | | | | | | | |
Aker Solutions ASA | | | 5,503 | | | | | | 113,960 | |
DNB ASA | | | 187,200 | | | | | | 2,392,726 | |
Marine Harvest ASAD | | | 3,864,500 | | | | | | 3,600,025 | |
Orkla ASA | | | 215,100 | | | | | | 1,885,036 | |
Petroleum Geo-Services ASA‡‡ | | | 87,060 | | | | | | 1,516,357 | |
Schibsted ASA | | | 17,814 | | | | | | 761,815 | |
Seadrill, Ltd.D | | | 82,228 | | | | | | 3,027,861 | |
Statoil ASA | | | 62,416 | | | | | | 1,573,172 | |
TGS Nopec
Geophysical Co. ASA‡‡ | | | 69,165 | | | | | | 2,284,223 | |
Yara International ASA‡‡ | | | 29,395 | | | | | | 1,465,595 | |
| | | | | | | | | | |
| | | | | | | | | 18,620,770 | |
| | | | | | | | | | |
Peru — 0.0% | | | | | | | | | | |
Cia de Minas Buenaventura SA
ADRD | | | 4,800 | | | | | | 172,560 | |
Southern Copper CorporationD | | | 4,200 | | | | | | 159,012 | |
| | | | | | | | | | |
| | | | | | | | | 331,572 | |
| | | | | | | | | | |
Philippines — 0.2% | | | | | | | | | | |
International Container
Terminal Services, Inc. | | | 625,480 | | | | | | 1,129,986 | |
| | | | | | | | | | |
| | | Shares | | | Value | |
Megaworld Corporation | | | 14,916,000 | | | | | $ | 1,009,658 | |
Metropolitan Bank & Trust | | | 347,100 | | | | | | 864,188 | |
| | | | | | | | | | |
| | | | | | | | | 3,003,832 | |
| | | | | | | | | | |
Poland — 0.3% | | | | | | | | | | |
Alior Bank SA* | | | 19,193 | | | | | | 388,492 | |
KGHM Polska Miedz SA | | | 17,730 | | | | | | 1,095,309 | |
PGE SA | | | 155,232 | | | | | | 915,809 | |
Powszechna Kasa Oszczednosci
Bank Polski SA | | | 7,000 | | | | | | 83,831 | |
Powszechny Zaklad
Ubezpieczen SA | | | 11,231 | | | | | | 1,589,991 | |
Tauron Polska Energia SA | | | 196,500 | | | | | | 301,830 | |
| | | | | | | | | | |
| | | | | | | | | 4,375,262 | |
| | | | | | | | | | |
Portugal — 0.1% | | | | | | | | | | |
Jeronimo Martins SGPS SA | | | 58,249 | | | | | | 1,126,332 | |
| | | | | | | | | | |
Russia — 1.4% | | | | | | | | | | |
Gazprom OAO ADR | | | 180,900 | | | | | | 1,711,314 | |
LSR Group* | | | 3,640 | | | | | | 66,957 | |
LSR Group GDR | | | 89,320 | | | | | | 378,272 | |
Lukoil OAO ADR | | | 22,800 | | | | | | 1,539,000 | |
Magnit OJSC | | | 13,868 | | | | | | 2,190,728 | |
Mail.ru Group, Ltd. GDR* | | | 21,550 | | | | | | 743,475 | |
NOMOS-BANK GDR* | | | 11,774 | | | | | | 159,538 | |
NOMOS-BANK GDR144A* | | | 19,426 | | | | | | 263,222 | |
NovaTek OAO GDR | | | 18,189 | | | | | | 2,222,108 | |
Novolipetsk Steel OJSC GDR | | | 21,717 | | | | | | 435,078 | |
Novorossiysk Commercial
Sea Port GDR 144A | | | 10,302 | | | | | | 72,085 | |
Novorossiysk Commercial
Sea Port PJSC GDR | | | 66,881 | | | | | | 465,575 | |
Raspadskaya OAO* | | | 187,769 | | | | | | 355,662 | |
Rosneft OAO GDR | | | 199,900 | | | | | | 1,766,896 | |
Sberbank of Russia | | | 1,267,639 | | | | | | 3,885,314 | |
Severstal OAO GDRD | | | 32,831 | | | | | | 396,684 | |
Surgutneftegas OAO ADR | | | 55,500 | | | | | | 500,610 | |
Tatneft OAO ADR | | | 18,900 | | | | | | 820,260 | |
X5 Retail Group NV GDR* | | | 78,659 | | | | | | 1,423,864 | |
| | | | | | | | | | |
| | | | | | | | | 19,396,642 | |
| | | | | | | | | | |
Singapore — 1.4% | | | | | | | | | | |
Ascendas Real Estate
Investment Trust REIT‡‡ | | | 30,000 | | | | | | 58,708 | |
CapitaCommercial Trust REIT | | | 38,000 | | | | | | 52,733 | |
CapitaMall Trust REIT‡‡ | | | 33,000 | | | | | | 57,990 | |
ComfortDelgro
Corporation, Ltd. | | | 133,000 | | | | | | 195,660 | |
DBS Group Holdings, Ltd. | | | 55,000 | | | | | | 675,209 | |
Global Logistic Properties, Ltd. | | | 34,000 | | | | | | 78,632 | |
Golden Agri-Resources, Ltd. | | | 99,300 | | | | | | 53,438 | |
Hutchison Port Holdings Trust | | | 95,000 | | | | | | 76,035 | |
Jardine Cycle &
Carriage, Ltd. | | | 105,000 | | | | | | 4,182,127 | |
Keppel Corporation, Ltd. | | | 167,700 | | | | | | 1,531,363 | |
Keppel Land, Ltd. | | | 83,000 | | | | | | 277,989 | |
Olam International, Ltd. | | | 130,000 | | | | | | 166,989 | |
Ov ersea-Chinese Banking
Corporation, Ltd.‡‡ | | | 15,000 | | | | | | 120,870 | |
SembCorp Industries, Ltd.‡‡ | | | 514,300 | | | | | | 2,242,514 | |
Singapore Airlines, Ltd. | | | 10,000 | | | | | | 88,696 | |
Singapore Exchange, Ltd.‡‡ | | | 127,000 | | | | | | 738,009 | |
Singapore Press Holdings, Ltd. | | | 12,000 | | | | | | 39,738 | |
Singapore Technologies
Engineering, Ltd.‡‡ | | | 26,000 | | | | | | 82,061 | |
| | | | |
| 214 | | See Notes to Financial Statements. | | |
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | |
| | | Shares | | | Value | |
Singapore Telecommunications, Ltd.‡‡ | | | 1,255,700 | | | | | $ | 3,416,797 | |
StarHub, Ltd.‡‡ | | | 11,000 | | | | | | 34,454 | |
United Overseas Bank, Ltd.‡‡ | | | 391,417 | | | | | | 6,420,821 | |
UOL Group, Ltd.‡‡ | | | 9,186 | | | | | | 45,304 | |
| | | | | | | | | | |
| | | | | | | | | 20,636,137 | |
| | | | | | | | | | |
South Africa — 0.9% | | | | | | | | | | |
ABSA Group, Ltd. | | | 21,300 | | | | | | 414,674 | |
African Bank Investments, Ltd. | | | 47,608 | | | | | | 181,677 | |
Aveng, Ltd. | | | 52,200 | | | | | | 188,788 | |
Barloworld, Ltd. | | | 14,240 | | | | | | 147,682 | |
Bidvest Group, Ltd. | | | 114,068 | | | | | | 2,918,281 | |
Discovery Holdings, Ltd. | | | 7,357 | | | | | | 54,265 | |
FirstRand, Ltd. | | | 59,100 | | | | | | 217,474 | |
Gold Fields, Ltd. ADRD | | | 12,400 | | | | | | 154,876 | |
Growthpoint Properties, Ltd. | | | 48,500 | | | | | | 140,338 | |
Impala Platinum Holdings, Ltd. | | | 27,100 | | | | | | 541,976 | |
Imperial Holdings, Ltd. | | | 45,500 | | | | | | 1,073,019 | |
Liberty Holdings, Ltd. | | | 43,700 | | | | | | 575,686 | |
Life Healthcare Group
Holdings, Ltd. | | | 39,000 | | | | | | 156,414 | |
MTN Group, Ltd. | | | 86,366 | | | | | | 1,817,894 | |
Naspers, Ltd. | | | 8,700 | | | | | | 561,940 | |
Nedbank Group, Ltd. | | | 9,451 | | | | | | 211,210 | |
Pick’n Pay Stores, Ltd. | | | 148,694 | | | | | | 780,348 | |
Redefine Properties, Ltd.* | | | 82,300 | | | | | | 91,256 | |
Royal Bafokeng
Platinum, Ltd.* | | | 20,766 | | | | | | 140,849 | |
Standard Bank Group, Ltd. | | | 77,009 | | | | | | 1,086,209 | |
Woolworths Holdings, Ltd. | | | 122,100 | | | | | | 1,027,804 | |
| | | | | | | | | | |
| | | | | | | | | 12,482,660 | |
| | | | | | | | | | |
South Korea — 3.4% | | | | | | | | | | |
Celltrion, Inc. | | | 38,882 | | | | | | 949,489 | |
Daelim Industrial Co., Ltd. | | | 5,494 | | | | | | 449,993 | |
Daum Communications
Corporation | | | 4,230 | | | | | | 360,360 | |
DGB Financial Group, Inc. | | | 2,400 | | | | | | 32,743 | |
Dongbu Insurance Co., Ltd. | | | 6,500 | | | | | | 280,814 | |
Doosan Corporation | | | 2,913 | | | | | | 353,896 | |
Hana Financial Group, Inc. | | | 790 | | | | | | 25,826 | |
Hanwha Corporation | | | 7,030 | | | | | | 225,400 | |
Hanwha Life Insurance Co.,
Ltd. | | | 56,500 | | | | | | 408,155 | |
Honam Petrochemical
Corporation | | | 58 | | | | | | 13,339 | |
Hyundai Glovis Co., Ltd. | | | 1,190 | | | | | | 247,686 | |
Hyundai Motor Co. | | | 2,156 | | | | | | 444,447 | |
Hyundai Securities Co., Ltd. | | | 25,700 | | | | | | 218,542 | |
Hyundai Wia Corporation | | | 9,286 | | | | | | 1,512,551 | |
Industrial Bank of Korea | | | 900 | | | | | | 10,062 | |
KCC Corporation | | | 600 | | | | | | 167,683 | |
Kia Motors Corporation | | | 38,047 | | | | | | 2,023,096 | |
KIWOOM Securities Co., Ltd. | | | 5,133 | | | | | | 284,418 | |
Korea Electric Power
Corporation* | | | 133,556 | | | | | | 3,792,344 | |
Korea Exchange Bank | | | 31,800 | | | | | | 227,507 | |
Korea Zinc Co, Ltd. | | | 316 | | | | | | 120,793 | |
Korean Air Lines Co., Ltd. | | | 7,180 | | | | | | 305,812 | |
KT Corporation ADRD | | | 28,500 | | | | | | 477,090 | |
LG Display Co., Ltd.* | | | 28,710 | | | | | | 846,812 | |
LG Uplus Corporation | | | 5,700 | | | | | | 41,713 | |
Lotte Shopping Co., Ltd. | | | 5,948 | | | | | | 2,100,576 | |
MegaStudy Co., Ltd. | | | 2,999 | | | | | | 221,225 | |
Mirae Asset Securities Co., Ltd. | | | 2,900 | | | | | | 97,435 | |
| | | | | | | | | | |
| | | Shares | | | Value | |
NHN Corporation | | | 6,434 | | | | | $ | 1,366,728 | |
POSCO ADR | | | 16,131 | | | | | | 1,325,162 | |
Samsung Card Co., Ltd. | | | 5,200 | | | | | | 178,225 | |
Samsung Electronics Co., Ltd. | | | 13,561 | | | | | | 19,484,442 | |
Samsung Electronics Co., Ltd.
(Non-Voting Shares)
GDR 144A | | | 829 | | | | | | 329,873 | |
Samsung Fire & Marine
Insurance Co., Ltd. | | | 12,343 | | | | | | 2,507,451 | |
Samsung Heavy
Industries Co., Ltd. | | | 30,710 | | | | | | 1,122,087 | |
Shinhan Financial
Group Co., Ltd. | | | 109,311 | | | | | | 4,000,512 | |
SK Holdings Co., Ltd. | | | 4,500 | | | | | | 761,035 | |
SK Innovation Co., Ltd. | | | 1,441 | | | | | | 238,433 | |
SK Telecom Co., Ltd. ADRD | | | 56,100 | | | | | | 888,063 | |
Woori Finance
Holdings Co., Ltd. | | | 49,900 | | | | | | 556,630 | |
| | | | | | | | | | |
| | | | | | | | | 48,998,448 | |
| | | | | | | | | | |
Spain — 2.8% | | | | | | | | | | |
Amadeus IT Holding SA‡‡ | | | 225,202 | | | | | | 5,691,201 | |
Banco Bilbao Vizcaya
Argentaria SA‡‡ | | | 70,923 | | | | | | 658,937 | |
Banco Santander SA‡‡ | | | 1,340,829 | | | | | | 10,896,993 | |
Distribuidora Internacional de
Alimentacion SA | | | 116,564 | | | | | | 744,749 | |
Ebro Foods SA | | | 105,151 | | | | | | 2,087,606 | |
Endesa SA‡‡ | | | 50,391 | | | | | | 1,122,091 | |
Grifols SA* | | | 2,523 | | | | | | 88,225 | |
Iberdrola SA | | | 1,163,982 | | | | | | 6,500,531 | |
Inditex SA‡‡ | | | 44,603 | | | | | | 6,267,038 | |
Tecnicas Reunidas SA‡‡ | | | 28,835 | | | | | | 1,350,608 | |
Telefonica SA | | | 350,049 | | | | | | 4,739,358 | |
| | | | | | | | | | |
| | | | | | | | | 40,147,337 | |
| | | | | | | | | | |
Sri Lanka — 0.0% | | | | | | | | | | |
Dialog Axiata PLC | | | 2,452,710 | | | | | | 159,417 | |
| | | | | | | | | | |
Sweden — 1.8% | | | | | | | | | | |
Alfa Laval AB | | | 77,624 | | | | | | 1,623,102 | |
Atlas Copco AB
Class A | | | 214,189 | | | | | | 5,939,521 | |
Boliden AB‡‡ | | | 22,034 | | | | | | 418,668 | |
Electrolux AB‡‡ | | | 10,514 | | | | | | 277,722 | |
Elekta ABD | | | 66,553 | | | | | | 1,037,724 | |
Hennes & Mauritz AB
Class BD | | | 102,340 | | | | | | 3,546,802 | |
Investor AB‡‡ | | | 3,383 | | | | | | 88,872 | |
NCC AB‡‡ | | | 1,499 | | | | | | 31,516 | |
Nordea Bank AB‡‡ | | | 125,373 | | | | | | 1,205,954 | |
Sandvik AB | | | 125,791 | | | | | | 2,021,683 | |
Scania AB‡‡ | | | 18,275 | | | | | | 379,962 | |
Skandinaviska Enskilda
Banken AB‡‡ | | | 50,367 | | | | | | 430,924 | |
SKF AB‡‡ | | | 41,425 | | | | | | 1,049,196 | |
Svenska Cellulosa AB‡‡ | | | 69,339 | | | | | | 1,507,611 | |
Svenska Handelsbanken AB | | | 61,149 | | | | | | 2,198,422 | |
Swedbank AB | | | 97,700 | | | | | | 1,919,353 | |
TeliaSonera AB‡‡ | | | 37,643 | | | | | | 255,558 | |
Trelleborg AB‡‡ | | | 149,595 | | | | | | 1,870,884 | |
| | | | | | | | | | |
| | | | | | | | | 25,803,474 | |
| | | | | | | | | | |
Switzerland — 6.5% | | | | | | | | | | |
ABB, Ltd.D | | | 328,972 | | | | | | 6,822,067 | |
ABB, Ltd. ADRD | | | 32,100 | | | | | | 667,359 | |
Actelion, Ltd. | | | 2,037 | | | | | | 97,472 | |
| | | | |
| | See Notes to Financial Statements. | | 215 |
| | | | | | | | | | |
| | | Shares | | | Value | |
Adecco SA‡‡ | | | 17,151 | | | | | $ | 908,287 | |
Cie Financiere
Richemont SA‡‡ | | | 57,663 | | | | | | 4,526,289 | |
Credit Suisse Group AGD | | | 112,000 | | | | | | 2,733,514 | |
Ferrexpo PLC‡‡ | | | 62,007 | | | | | | 260,355 | |
Geberit AGD | | | 7,310 | | | | | | 1,620,447 | |
Glencore International PLC‡‡ | | | 72,723 | | | | | | 420,110 | |
Helvetia Holding AGD | | | 1,600 | | | | | | 610,274 | |
Julius Baer Group, Ltd. | | | 119,134 | | | | | | 4,241,506 | |
Kuehne + Nagel
International AGD | | | 13,820 | | | | | | 1,666,128 | |
Logitech International SA‡‡ | | | 182,499 | | | | | | 1,401,045 | |
Lonza Group AG | | | 35,055 | | | | | | 1,899,497 | |
Nestle SA‡‡ | | | 177,337 | | | | | | 11,570,081 | |
Novartis AGD‡‡ | | | 231,316 | | | | | | 14,612,992 | |
OC Oerlikon Corporation
AG*‡‡ | | | 240,979 | | | | | | 2,744,353 | |
Roche Holding AG‡‡ | | | 55,920 | | | | | | 11,305,972 | |
STMicroelectronics NV‡‡ | | | 100,136 | | | | | | 726,945 | |
Swatch Group AG (The)D | | | 1,706 | | | | | | 865,120 | |
Swiss Life Holding AG‡‡ | | | 12,495 | | | | | | 1,667,786 | |
Swiss Re AG | | | 47,944 | | | | | | 3,475,884 | |
Syngenta AG‡‡ | | | 12,126 | | | | | | 4,898,738 | |
Transocean, Ltd.‡‡ | | | 4,575 | | | | | | 205,114 | |
Wolseley PLC‡‡ | | | 67,521 | | | | | | 3,228,784 | |
Xstrata PLC‡‡ | | | 38,258 | | | | | | 667,828 | |
Zurich Insurance Group AG | | | 35,301 | | | | | | 9,459,186 | |
| | | | | | | | | | |
| | | | | | | | | 93,303,133 | |
| | | | | | | | | | |
Taiwan — 2.1% | | | | | | | | | | |
Asustek Computer, Inc. | | | 34,000 | | | | | | 385,029 | |
China Petrochemical
Development Corporation | | | 924,725 | | | | | | 577,487 | |
Chroma ATE, Inc. | | | 131,573 | | | | | | 294,494 | |
Chunghwa Telecom Co., Ltd.
ADRD | | | 6,600 | | | | | | 213,444 | |
Eva Airways Corporation* | | | 577,000 | | | | | | 339,317 | |
Far EasTone Telecommunications Co., Ltd. | | | 144,000 | | | | | | 367,686 | |
Feng Hsin Iron & Steel Co. | | | 66,000 | | | | | | 117,967 | |
Foxconn Technology Co., Ltd. | | | 118,150 | | | | | | 373,248 | |
Fubon Financial
Holding Co., Ltd. | | | 243,000 | | | | | | 295,031 | |
Hon Hai Precision
Industry Co., Ltd. | | | 382,700 | | | | | | 1,184,579 | |
HTC Corporation | | | 34,000 | | | | | | 355,143 | |
Kinsus Interconnect
Technology Corporation | | | 4,000 | | | | | | 12,637 | |
Largan Precision Co., Ltd. | | | 32,000 | | | | | | 861,956 | |
Lite-On Technology
Corporation | | | 92,460 | | | | | | 123,403 | |
MediaTek, Inc. | | | 99,719 | | | | | | 1,115,565 | |
MStar Semiconductor, Inc. | | | 5,000 | | | | | | 37,804 | |
Nan Ya Printed Circuit Board
Corporation | | | 148,000 | | | | | | 184,128 | |
Pou Chen Corporation | | | 193,000 | | | | | | 203,313 | |
President Chain Store
Corporation | | | 34,000 | | | | | | 182,422 | |
Quanta Computer, Inc. | | | 239,000 | | | | | | 565,660 | |
Realtek Semiconductor
Corporation | | | 349,460 | | | | | | 744,165 | |
Richtek Technology
Corporation | | | 52,337 | | | | | | 308,680 | |
Shin Kong Financial
Holding Co., Ltd.* | | | 965,000 | | | | | | 273,782 | |
Siliconware Precision
Industries Co. ADR | | | 59,100 | | | | | | 315,594 | |
| | | | | | | | | | |
| | | Shares | | | Value | |
Sinopac Financial
Holdings Co., Ltd. | | | 250,678 | | | | | $ | 108,199 | |
Taiwan Cooperative
Financial Holding | | | 54,600 | | | | | | 30,873 | |
Taiwan Semiconductor
Manufacturing Co., Ltd. | | | 2,994,011 | | | | | | 10,014,399 | |
Taiwan Semiconductor
Manufacturing Co., Ltd.
ADRD | | | 416,036 | | | | | | 7,139,178 | |
Teco Electric and
Machinery Co., Ltd. | | | 1,715,500 | | | | | | 1,320,100 | |
Uni-President Enterprises
Corporation | | | 921,270 | | | | | | 1,697,164 | |
Walsin Lihwa Corporation | | | 379,000 | | | | | | 130,506 | |
Wistron Corporation | | | 73,500 | | | | | | 76,947 | |
| | | | | | | | | | |
| | | | | | | | | 29,949,900 | |
| | | | | | | | | | |
Thailand — 1.0% | | | | | | | | | | |
Advanced Info Service PCL
NVDR | | | 78,000 | | | | | | 536,469 | |
Advanced Info Service PCL D | | | 156,600 | | | | | | 1,069,938 | |
Bangkok Bank PCL NVDR | | | 195,700 | | | | | | 1,258,225 | |
Bangkok Dusit Medical
Services PCL | | | 294,700 | | | | | | 1,093,444 | |
Bank of Ayudhya PCL | | | 165,600 | | | | | | 176,907 | |
Bank of Ayudhya PCL NVDR | | | 2,664,348 | | | | | | 2,849,313 | |
Big C Supercenter PCL NVDR | | | 81,700 | | | | | | 555,937 | |
Central Pattana PCLD | | | 700,766 | | | | | | 1,872,756 | |
Kasikornbank PCL NVDR | | | 90,700 | | | | | | 577,170 | |
Krung Thai Bank PCL NVDR | | | 1,037,375 | | | | | | 669,868 | |
Minor International PCL | | | 1,470,700 | | | | | | 942,325 | |
Robinson Department
Store PCL | | | 225,000 | | | | | | 489,130 | |
Siam Commercial Bank PCLD | | | 82,226 | | | | | | 486,528 | |
Siam Commercial Bank PCL
NVDR | | | 20,600 | | | | | | 122,933 | |
Supalai PCL NVDR | | | 1,725,400 | | | | | | 1,002,690 | |
Thai Oil PCL NVDR | | | 47,100 | | | | | | 105,125 | |
Total Access Communication
PCL NVDR | | | 355,700 | | | | | | 1,031,595 | |
| | | | | | | | | | |
| | | | | | | | | 14,840,353 | |
| | | | | | | | | | |
Turkey — 0.9% | | | | | | | | | | |
Akfen Holding AS* | | | 43,863 | | | | | | 228,664 | |
Asya Katilim Bankasi AS* | | | 243,800 | | | | | | 303,591 | |
BIM Birlesik Magazalar AS | | | 16,414 | | | | | | 804,855 | |
Coca-Cola Icecek AS | | | 65,888 | | | | | | 1,373,145 | |
TAV Havalimanlari
Holding AS* | | | 47,600 | | | | | | 243,821 | |
Turk Hava Yollari* | | | 377,939 | | | | | | 1,333,037 | |
Turk Sise ve Cam
Fabrikalari AS | | | 148,936 | | | | | | 247,538 | |
Türkiye Garanti Bankasi AS | | | 979,479 | | | | | | 5,112,322 | |
Türkiye Halk Bankasi AS | | | 134,740 | | | | | | 1,328,220 | |
Turkiye Vakiflar Bankasi Tao | | | 100,600 | | | | | | 261,692 | |
Yapi ve Kredi Bankasi AS* | | | 437,139 | | | | | | 1,282,094 | |
| | | | | | | | | | |
| | | | | | | | | 12,518,979 | |
| | | | | | | | | | |
United Kingdom — 15.3% | | | | | | | | | | |
Aberdeen Asset
Management PLC | | | 244,200 | | | | | | 1,469,460 | |
Aggreko PLC | | | 26,244 | | | | | | 748,970 | |
Alent PLC*‡‡ | | | 102,909 | | | | | | 516,225 | |
AMEC PLC | | | 94,900 | | | | | | 1,568,796 | |
Anglo American PLC | | | 346,232 | | | | | | 10,776,431 | |
ARM Holdings PLC | | | 304,800 | | | | | | 3,849,260 | |
AstraZeneca PLC‡‡ | | | 55,099 | | | | | | 2,611,139 | |
| | | | |
| 216 | | See Notes to Financial Statements. | | |
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | |
| | | Shares | | | Value | |
Aviva PLC‡‡ | | | 446,370 | | | | | $ | 2,762,127 | |
Babcock International
Group PLC‡‡ | | | 46,176 | | | | | | 728,893 | |
BAE Systems PLC‡‡ | | | 162,980 | | | | | | 905,878 | |
Barclays PLC‡‡ | | | 1,900,138 | | | | | | 8,254,204 | |
Barratt Developments PLC*‡‡ | | | 558,319 | | | | | | 1,906,924 | |
BG Group PLC | | | 401,395 | | | | | | 6,695,225 | |
BHP Billiton PLC‡‡ | | | 321,709 | | | | | | 11,347,855 | |
BP PLC‡‡ | | | 2,071,116 | | | | | | 14,400,362 | |
British Land Co. PLC REIT‡‡ | | | 11,811 | | | | | | 109,118 | |
Britvic PLC | | | 241,594 | | | | | | 1,610,058 | |
BT Group PLC‡‡ | | | 386,964 | | | | | | 1,476,353 | |
Cairn Energy PLC* | | | 7,744 | | | | | | 33,817 | |
Capital Shopping Centres
Group PLC REIT | | | 3,152 | | | | | | 18,134 | |
Centrica PLC‡‡ | | | 553,555 | | | | | | 3,021,150 | |
Cobham PLC‡‡ | | | 11,978 | | | | | | 43,523 | |
Cognizant Technology Solutions
Corporation Class A* | | | 18,008 | | | | | | 1,333,492 | |
Compass Group PLC | | | 917,822 | | | | | | 10,895,299 | |
Daily Mail & General
Trust PLC‡‡ | | | 23,864 | | | | | | 215,801 | |
Dairy Crest Group PLC | | | 270,700 | | | | | | 1,715,045 | |
Darty PLC‡‡ | | | 87,373 | | | | | | 82,074 | |
Drax Group PLC‡‡ | | | 21,021 | | | | | | 188,192 | |
DS Smith PLC | | | 427,100 | | | | | | 1,439,730 | |
easyJet PLC‡‡ | | | 6,564 | | | | | | 82,561 | |
G4S PLC‡‡ | | | 71,267 | | | | | | 298,610 | |
GKN PLC‡‡ | | | 731,937 | | | | | | 2,761,455 | |
GlaxoSmithKline PLC‡‡ | | | 429,612 | | | | | | 9,353,690 | |
Hammerson PLC REIT‡‡ | | | 6,134 | | | | | | 49,187 | |
Hikma Pharmaceuticals PLC | | | 17,326 | | | | | | 215,988 | |
HSBC Holdings PLC‡‡ | | | 1,628,946 | | | | | | 17,261,656 | |
IMI PLC | | | 13,025 | | | | | | 235,744 | |
Inchcape PLC‡‡ | | | 80,879 | | | | | | 574,775 | |
InterContinental
Hotels Group PLC‡‡ | | | 17,487 | | | | | | 490,344 | |
Invensys PLC | | | 531,100 | | | | | | 2,842,222 | |
ITV PLC‡‡ | | | 772,579 | | | | | | 1,340,251 | |
J Sainsbury PLC‡‡ | | | 144,927 | | | | | | 819,949 | |
John Wood Group PLC | | | 36,211 | | | | | | 432,888 | |
Johnson Matthey PLC‡‡ | | | 28,395 | | | | | | 1,115,450 | |
Kingfisher PLC‡‡ | | | 57,471 | | | | | | 268,539 | |
Land Securities Group PLC
REIT‡‡ | | | 10,536 | | | | | | 140,562 | |
Legal & General Group PLC‡‡ | | | 648,959 | | | | | | 1,556,126 | |
Man Strategic Holdings PLC* | | | 78,989 | | | | | | 108,334 | |
Meggitt PLC | | | 490,424 | | | | | | 3,070,928 | |
Mondi PLC‡‡ | | | 87,827 | | | | | | 969,434 | |
National Grid PLC‡‡ | | | 527,620 | | | | | | 6,051,524 | |
Next PLC‡‡ | | | 33,710 | | | | | | 2,046,290 | |
Persimmon PLC‡‡ | | | 8,890 | | | | | | 116,696 | |
Premier Oil PLC* | | | 261,735 | | | | | | 1,448,313 | |
Provident Financial PLC‡‡ | | | 1,710 | | | | | | 38,124 | |
Prudential PLC‡‡ | | | 510,028 | | | | | | 7,276,784 | |
Reckitt Benckiser
Group PLC‡‡ | | | 18,477 | | | | | | 1,172,918 | |
Reed Elsevier PLC‡‡ | | | 17,027 | | | | | | 179,766 | |
Rexam PLC | | | 16,878 | | | | | | 120,766 | |
Rio Tinto PLC‡‡ | | | 96,800 | | | | | | 5,645,952 | |
Rolls-Royce Holdings PLC‡‡ | | | 453,169 | | | | | | 6,500,012 | |
Rotork PLC | | | 59,458 | | | | | | 2,481,996 | |
Royal Bank of Scotland
Group PLC*‡‡ | | | 145,053 | | | | | | 775,303 | |
RSA Insurance Group PLC‡‡ | | | 262,850 | | | | | | 542,833 | |
Sage Group PLC (The)‡‡ | | | 269,404 | | | | | | 1,295,437 | |
| | | | | | | | | | |
| | | Shares | | | Value | |
Segro PLC REIT | | | 12,232 | | | | | $ | 49,650 | |
Smith & Nephew PLC | | | 144,419 | | | | | | 1,596,401 | |
Spirax-Sarco Engineering PLC | | | 49,416 | | | | | | 1,850,318 | |
SSE PLC‡‡ | | | 20,478 | | | | | | 476,405 | |
Standard Chartered PLC | | | 420,230 | | | | | | 10,875,499 | |
Standard Life PLC | | | 79,109 | | | | | | 432,448 | |
Tate & Lyle PLC‡‡ | | | 72,178 | | | | | | 893,005 | |
Tesco PLC‡‡ | | | 1,478,770 | | | | | | 8,145,960 | |
Thomas Cook Group PLC | | | 40,467 | | | | | | 32,102 | |
TUI Travel PLC‡‡ | | | 67,031 | | | | | | 311,043 | |
Tullow Oil PLC‡‡ | | | 221,395 | | | | | | 4,615,537 | |
Unilever PLC‡‡ | | | 167,679 | | | | | | 6,517,869 | |
Vesuvius PLC‡‡ | | | 102,909 | | | | | | 578,413 | |
Vodafone Group PLC‡‡ | | | 3,285,914 | | | | | | 8,271,559 | |
Whitbread PLC | | | 28,700 | | | | | | 1,153,301 | |
WM Morrison
Supermarkets PLC | | | 395,321 | | | | | | 1,697,382 | |
| | | | | | | | | | |
| | | | | | | | | 217,901,834 | |
| | | | | | | | | | |
Total Foreign Common Stocks
(Cost $1,247,739,074) | | | | | | | | | 1,360,817,469 | |
| | | | | | | | | | |
FOREIGN PREFERRED STOCKS — 1.0% | |
Brazil — 0.3% | | | | | | | | | | |
AES Tiete SA | | | 27,500 | | | | | | 316,838 | |
Banco do Estado do Rio
Grande do Sul SA | | | 7,900 | | | | | | 59,843 | |
Cia Energeticade Sao Paulo | | | 53,400 | | | | | | 505,703 | |
Eletropaulo Metropolitana
Eletricidade de Sao Paulo SA | | | 40,700 | | | | | | 333,949 | |
Investimentos Itau SA | | | 144,009 | | | | | | 681,537 | |
Itau Unibanco Holding SA | | | 15,200 | | | | | | 247,877 | |
Lojas Americanas SA | | | 70,300 | | | | | | 629,352 | |
Usinas Siderurgicas de Minas
Gerais SA | | | 85,500 | | | | | | 534,506 | |
| | | | | | | | | | |
| | | | | | | | | 3,309,605 | |
| | | | | | | | | | |
Chile — 0.0% | | | | | | | | | | |
Embotelladora Andina SA
Class A | | | 38,000 | | | | | | 193,671 | |
Embotelladora Andina SA
Class B | | | 22,900 | | | | | | 144,058 | |
| | | | | | | | | | |
| | | | | | | | | 337,729 | |
| | | | | | | | | | |
Germany — 0.5% | | | | | | | | | | |
Henkel AG & Co. KGaAD‡‡ | | | 30,249 | | | | | | 2,488,631 | |
Porsche Automobil
Holding SE | | | 32,097 | | | | | | 2,642,075 | |
ProSiebenSat.1 Media AG‡‡ | | | 58,787 | | | | | | 1,674,488 | |
Volkswagen AG‡‡ | | | 2,052 | | | | | | 470,832 | |
| | | | | | | | | | |
| | | | | | | | | 7,276,026 | |
| | | | | | | | | | |
South Korea — 0.2% | | | | | | | | | | |
Samsung Electronics Co., Ltd. | | | 3,127 | | | | | | 2,512,718 | |
| | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 217 |
| | | | | | | | | | |
| | | Shares | | | Value | |
United Kingdom — 0.0% | | | | | | | | | | |
Rolls-Royce Holdings PLC*‡‡ | | | 36,036,844 | | | | | $ | 58,540 | |
| | | | | | | | | | |
Total Foreign Preferred Stocks | | | | | | | | | | |
(Cost $10,734,985) | | | | | | | | | 13,494,618 | |
| | | | | | | | | | |
RIGHTS — 0.0% | | | | | | | | | | |
Olam International, Ltd.*
(Cost $0) | | | 40,690 | | | | | | — | |
| | | | | | | | | | |
MONEY MARKET FUNDS — 14.0% | |
GuideStone Money Market
Fund (GS4 Class)¥ | | | 91,536,895 | | | | | | 91,536,895 | |
Northern Institutional Liquid
Assets Portfolio§ | | | 108,425,281 | | | | | | 108,425,281 | |
| | | | | | | | | | |
Total Money Market Funds | | | | | | | | | | |
(Cost $199,962,176) | | | | | | | | | 199,962,176 | |
| | | | | | | | | | |
TOTAL INVESTMENTS — 110.4% | |
(Cost $1,458,436,235) | | | | | | | | | 1,574,274,263 | |
| | | | | | | | | | |
FOREIGN COMMON STOCKS SOLD
SHORT — (5.6)% | |
Australia — (0.5)% | | | | | | | | | | |
Adelaide Brighton, Ltd. | | | (31,864 | ) | | | | | (104,342 | ) |
ALS, Ltd. | | | (48,004 | ) | | | | | (547,602 | ) |
AMP, Ltd. | | | (27,681 | ) | | | | | (140,409 | ) |
Ansell, Ltd. | | | (6,437 | ) | | | | | (103,158 | ) |
APA Group | | | (41,012 | ) | | | | | (236,764 | ) |
Bendigo and Adelaide
Bank, Ltd. | | | (19,237 | ) | | | | | (171,367 | ) |
Boral, Ltd. | | | (51,124 | ) | | | | | (234,581 | ) |
Bradken, Ltd. | | | (116,487 | ) | | | | | (673,245 | ) |
Brambles, Ltd. | | | (49,661 | ) | | | | | (393,778 | ) |
Challenger, Ltd. | | | (68,932 | ) | | | | | (256,849 | ) |
Cochlear, Ltd. | | | (2,253 | ) | | | | | (186,773 | ) |
David Jones, Ltd. | | | (94,154 | ) | | | | | (231,862 | ) |
DUET Group | | | (45,367 | ) | | | | | (98,419 | ) |
Harvey Norman Holdings, Ltd. | | | (151,166 | ) | | | | | (300,927 | ) |
Iluka Resources, Ltd. | | | (41,010 | ) | | | | | (396,321 | ) |
Mineral Resources, Ltd. | | | (77,841 | ) | | | | | (800,833 | ) |
Mount Gibson Iron, Ltd. | | | (146,398 | ) | | | | | (129,619 | ) |
Oil Search, Ltd. | | | (75,951 | ) | | | | | (561,665 | ) |
Orica, Ltd. | | | (11,085 | ) | | | | | (291,605 | ) |
Origin Energy, Ltd. | | | (10,533 | ) | | | | | (129,480 | ) |
Seek, Ltd. | | | (24,725 | ) | | | | | (182,715 | ) |
SP AusNet | | | (151,745 | ) | | | | | (176,345 | ) |
Toll Holdings, Ltd. | | | (69,755 | ) | | | | | (334,332 | ) |
Transurban Group | | | (28,196 | ) | | | | | (179,231 | ) |
UGL, Ltd. | | | (42,702 | ) | | | | | (487,463 | ) |
Whitehaven Coal, Ltd. | | | (39,834 | ) | | | | | (148,455 | ) |
| | | | | | | | | | |
| | | | | | | | | (7,498,140 | ) |
| | | | | | | | | | |
Belgium — 0.0% | | | | | | | | | | |
Delhaize Group SA | | | (6,408 | ) | | | | | (258,108 | ) |
| | | | | | | | | | |
Denmark — (0.3)% | | | | | | | | | | |
FLSmidth & Co. A/S | | | (35,453 | ) | | | | | (2,064,888 | ) |
Novozymes A/S | | | (90,844 | ) | | | | | (2,578,755 | ) |
| | | | | | | | | | |
| | | | | | | | | (4,643,643 | ) |
| | | | | | | | | | |
Finland — (0.1)% | | | | | | | | | | |
Cargotec OYJ | | | (2,512 | ) | | | | | (66,863 | ) |
Nokian Renkaat OYJ | | | (38,678 | ) | | | | | (1,549,337 | ) |
| | | | | | | | | | |
| | | | | | | | | (1,616,200 | ) |
| | | | | | | | | | |
France — (0.7)% | | | | | | | | | | |
Air France-KLM* | | | (56,328 | ) | | | | | (528,154 | ) |
Alcatel-Lucent* | | | (1,006,594 | ) | | | | | (1,357,163 | ) |
| | | | | | | | | | |
| | | Shares | | | Value | |
Carrefour SA | | | (54,570 | ) | | | | $ | (1,405,040 | ) |
Eutelsat Communications SA | | | (14,537 | ) | | | | | (483,506 | ) |
Hermes International | | | (750 | ) | | | | | (224,230 | ) |
Neopost SA | | | (8,715 | ) | | | | | (462,174 | ) |
Nexans SA | | | (19,834 | ) | | | | | (887,580 | ) |
Vallourec SA | | | (62,612 | ) | | | | | (3,286,652 | ) |
Veolia Environnement SA | | | (95,153 | ) | | | | | (1,153,550 | ) |
| | | | | | | | | | |
| | | | | | | | | (9,788,049 | ) |
| | | | | | | | | | |
Germany — (0.7)% | | | | | | | | | | |
Aixtron SE NA | | | (42,536 | ) | | | | | (507,253 | ) |
Commerzbank AG* | | | (1,152,990 | ) | | | | | (2,208,860 | ) |
Dialog Semiconductor PLC* | | | (83,001 | ) | | | | | (1,470,294 | ) |
Fraport AG Frankfurt Airport
Services Worldwide | | | (8,899 | ) | | | | | (519,136 | ) |
Hochtief AG | | | (4,089 | ) | | | | | (239,181 | ) |
Infineon Technologies AG | | | (127,000 | ) | | | | | (1,034,604 | ) |
K+S AG | | | (23,895 | ) | | | | | (1,109,779 | ) |
Sky Deutschland AG* | | | (190,466 | ) | | | | | (1,056,284 | ) |
Stada Arzneimittel AG | | | (16,481 | ) | | | | | (533,374 | ) |
ThyssenKrupp AG | | | (80,111 | ) | | | | | (1,891,638 | ) |
| | | | | | | | | | |
| | | | | | | | | (10,570,403 | ) |
| | | | | | | | | | |
Ireland — 0.0% | | | | | | | | | | |
Shire PLC | | | (3,767 | ) | | | | | (115,878 | ) |
| | | | | | | | | | |
Italy — (0.4)% | | | | | | | | | | |
A2A SpA | | | (3,593,403 | ) | | | | | (2,082,239 | ) |
Enel Green Power SpA | | | (653,735 | ) | | | | | (1,217,763 | ) |
Mediaset SpA | | | (936,612 | ) | | | | | (1,945,870 | ) |
Pirelli & C. SpA | | | (24,060 | ) | | | | | (277,213 | ) |
| | | | | | | | | | |
| | | | | | | | | (5,523,085 | ) |
| | | | | | | | | | |
Japan — (1.2)% | | | | | | | | | | |
ABC-Mart, Inc. | | | (1,200 | ) | | | | | (52,243 | ) |
Acom Co., Ltd. | | | (5,270 | ) | | | | | (151,794 | ) |
Advantest Corporation | | | (5,700 | ) | | | | | (90,020 | ) |
Alps Electric Co., Ltd. | | | (20,300 | ) | | | | | (122,891 | ) |
Asics Corporation | | | (15,700 | ) | | | | | (239,842 | ) |
Capcom Co., Ltd. | | | (5,400 | ) | | | | | (82,558 | ) |
Cyberagent, Inc. | | | (225 | ) | | | | | (462,323 | ) |
Daikin Industries, Ltd. | | | (5,700 | ) | | | | | (195,790 | ) |
Dainippon Screen
Manufacturing Co., Ltd. | | | (134,000 | ) | | | | | (823,618 | ) |
Disco Corporation | | | (15,400 | ) | | | | | (802,759 | ) |
Don Quijote Co., Ltd. | | | (2,400 | ) | | | | | (88,286 | ) |
GS Yuasa Corporation | | | (130,000 | ) | | | | | (524,134 | ) |
Hitachi Metals, Ltd. | | | (62,000 | ) | | | | | (528,729 | ) |
Kakaku.com, Inc. | | | (19,700 | ) | | | | | (650,360 | ) |
Kansai Paint Co., Ltd. | | | (20,000 | ) | | | | | (215,538 | ) |
LIXIL Group Corporation | | | (4,400 | ) | | | | | (98,144 | ) |
Makita Corporation | | | (8,400 | ) | | | | | (390,217 | ) |
Minebea Co., Ltd. | | | (108,000 | ) | | | | | (383,679 | ) |
Mitsubishi Gas
Chemical Co., Inc. | | | (55,000 | ) | | | | | (337,363 | ) |
Mitsui OSK Lines, Ltd. | | | (84,000 | ) | | | | | (250,232 | ) |
Mori Seiki Co., Ltd. | | | (28,300 | ) | | | | | (247,793 | ) |
Murata Manufacturing Co. Ltd. | | | (9,900 | ) | | | | | (584,015 | ) |
Nabtesco Corporation | | | (25,200 | ) | | | | | (562,874 | ) |
Nachi-Fujikoshi Corporation | | | (144,000 | ) | | | | | (588,375 | ) |
NGK Insulators, Ltd. | | | (25,000 | ) | | | | | (296,567 | ) |
Nidec Corporation | | | (12,700 | ) | | | | | (741,666 | ) |
Nitori Holdings Co., Ltd. | | | (550 | ) | | | | | (40,297 | ) |
NOK Corporation | | | (10,100 | ) | | | | | (158,158 | ) |
NTN Corporation | | | (396,000 | ) | | | | | (1,073,303 | ) |
OSAKA Titanium
Technologies Co. | | | (31,100 | ) | | | | | (695,750 | ) |
| | | | |
| 218 | | See Notes to Financial Statements. | | |
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Shares | | | Value | |
Rakuten, Inc. | | | | | (103,800 | ) | | | | $ | (809,479 | ) |
Rinnai Corporation | | | | | (4,700 | ) | | | | | (319,336 | ) |
SBI Holdings, Inc. | | | | | (124,540 | ) | | | | | (1,113,301 | ) |
Shikoku Electric
Power Co., Inc. | | | | | (53,500 | ) | | | | | (853,500 | ) |
SMC Corporation | | | | | (1,000 | ) | | | | | (181,654 | ) |
Start Today Co., Ltd. | | | | | (63,900 | ) | | | | | (591,537 | ) |
Terumo Corporation | | | | | (11,500 | ) | | | | | (456,664 | ) |
Toho Titanium Co., Ltd. | | | | | (3,900 | ) | | | | | (38,823 | ) |
Trend Micro, Inc.* | | | | | (1,100 | ) | | | | | (33,237 | ) |
Tsumura & Co. | | | | | (6,900 | ) | | | | | (208,591 | ) |
Yamaha Motor Co., Ltd. | | | | | (16,400 | ) | | | | | (181,675 | ) |
Yaskawa Electric Corporation | | | | | (13,000 | ) | | | | | (125,450 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (16,392,565 | ) |
| | | | | | | | | | | | |
| | | | |
Liberia — 0.0% | | | | | | | | | | | | |
Royal Caribbean Cruises, Ltd. | | | | | (8,768 | ) | | | | | (290,282 | ) |
| | | | | | | | | | | | |
Netherlands — (0.3)% | | | | | | | | | | | | |
Fugro NV | | | | | (7,718 | ) | | | | | (457,972 | ) |
Koninklijke KPN NV | | | | | (382,000 | ) | | | | | (1,889,124 | ) |
Royal Imtech NV | | | | | (47,647 | ) | | | | | (1,106,704 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (3,453,800 | ) |
| | | | | | | | | | | | |
| | | | |
New Zealand — 0.0% | | | | | | | | | | | | |
Fletcher Building, Ltd. | | | | | (17,938 | ) | | | | | (125,445 | ) |
| | | | | | | | | | | | |
| | | | |
Norway — (0.1)% | | | | | | | | | | | | |
Seadrill, Ltd. | | | | | (9,431 | ) | | | | | (347,456 | ) |
Storebrand ASA | | | | | (312,005 | ) | | | | | (1,530,217 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (1,877,673 | ) |
| | | | | | | | | | | | |
| | | | |
Spain — (0.1)% | | | | | | | | | | | | |
ACS Actividades de | | | | | | | | | | | | |
Construccion y Servicios SA | | | | | (17,430 | ) | | | | | (441,741 | ) |
Indra Sistemas SA | | | | | (32,625 | ) | | | | | (436,392 | ) |
Obrascon Huarte Lain SA | | | | | (14,173 | ) | | | | | (414,140 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (1,292,273 | ) |
| | | | | | | | | | | | |
| | | | |
Sweden — (0.1)% | | | | | | | | | | | | |
Elekta AB | | | | | (42,868 | ) | | | | | (668,417 | ) |
Hexagon AB | | | | | (9,949 | ) | | | | | (251,592 | ) |
Modern Times Group AB | | | | | (19,129 | ) | | | | | (670,399 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (1,590,408 | ) |
| | | | | | | | | | | | |
| | | | |
Switzerland — (0.3)% | | | | | | | | | | | | |
Clariant AG | | | | | (135,497 | ) | | | | | (1,848,142 | ) |
Credit Suisse Group AG | | | | | (40,359 | ) | | | | | (985,017 | ) |
Informa PLC | | | | | (78,111 | ) | | | | | (575,841 | ) |
Kuehne + Nagel | | | | | | | | | | | | |
International AG | | | | | (7,907 | ) | | | | | (953,261 | ) |
Sika AG | | | | | (33 | ) | | | | | (76,327 | ) |
Sonova Holding AG | | | | | (321 | ) | | | | | (35,587 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (4,474,175 | ) |
| | | | | | | | | | | | |
| | | | |
United Kingdom — (0.8)% | | | | | | | | | | | | |
Admiral Group PLC | | | | | (64,001 | ) | | | | | (1,219,132 | ) |
Aggreko PLC | | | | | (4,505 | ) | | | | | (128,567 | ) |
Antofagasta PLC | | | | | (30,526 | ) | | | | | (668,979 | ) |
Burberry Group PLC | | | | | (3,089 | ) | | | | | (62,094 | ) |
Capita PLC | | | | | (109,503 | ) | | | | | (1,353,125 | ) |
Eurasian Natural Resources
Corporation PLC | | | | | (166,809 | ) | | | | | (788,921 | ) |
Home Retail Group PLC | | | | | (43,578 | ) | | | | | (90,930 | ) |
Invensys PLC | | | | | (45,679 | ) | | | | | (244,455 | ) |
Kazakhmys PLC | | | | | (116,919 | ) | | | | | (1,511,148 | ) |
Lonmin PLC | | | | | (44,187 | ) | | | | | (209,123 | ) |
Michael Page International PLC | | | | | (61,047 | ) | | | | | (399,036 | ) |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
Rolls-Royce Holdings PLC
Class C+ | | | | | (42,669 | ) | | | | $ | — | |
Vedanta Resources PLC | | | | | (95,047 | ) | | | | | (1,835,126 | ) |
Weir Group PLC (The) | | | | | (70,204 | ) | | | | | (2,170,937 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (10,681,573 | ) |
| | | | | | | | | | | | |
Total Foreign Common Stocks Sold Short
(Cost $(77,878,097)) | | | | | | | | | | | (80,191,700 | ) |
| | | | | | | | | | | | |
Liabilities in Excess of Other | | | | | | | | | | | | |
Assets — (4.8)% | | | | | | | | | | | (67,646,096 | ) |
| | | | | | | | | | | | |
NET ASSETS — 100.0% | | | | | | | | | | $ | 1,426,436,467 | |
| | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 219 |
PORTFOLIO SUMMARY (based on net assets)
| | | | |
| | | % | |
Financial Services | | | 21.6 | |
Money Market Funds | | | 14.0 | |
Consumer Discretionary | | | 13.1 | |
Materials & Processing | | | 11.9 | |
Technology | | | 10.6 | |
Producer Durables | | | 10.0 | |
Futures Contracts | | | 9.2 | |
Healthcare | | | 7.8 | |
Energy | | | 7.6 | |
Utilities | | | 6.4 | |
Consumer Staples | | | 6.3 | |
Foreign Preferred Stocks | | | 1.0 | |
Insurance | | | 0.1 | |
Other Energy | | | — | ** |
Rights | | | — | ** |
Forward Foreign Currency Contracts | | | (0.7 | ) |
Foreign Common Stocks Sold Short | | | (5.6 | ) |
| | | | |
| | | 113.3 | |
| | | | |
** Rounds to less than 0.005%.
| | | | |
| 220 | | See Notes to Financial Statements. | | |
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2012, 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 Common Stocks | | | $ | 1,360,817,469 | | | | $ | 152,785,479 | | | | $ | 1,205,418,642 | | | | $ | 2,613,348 | |
Foreign Preferred Stocks | | | | 13,494,618 | | | | | 3,647,334 | | | | | 9,788,744 | | | | | 58,540 | |
Money Market Funds | | | | 199,962,176 | | | | | 199,962,176 | | | | | — | | | | | — | |
Rights | | | | — | | | | | — | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | | $ | 1,574,274,263 | | | | $ | 356,394,989 | | | | $ | 1,215,207,386 | | | | $ | 2,671,888 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | | $ | 3,896,822 | | | | $ | — | | | | $ | 3,896,822 | | | | $ | — | |
Futures Contracts | | | | 1,433,149 | | | | | 1,433,149 | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | | $ | 5,329,971 | | | | $ | 1,433,149 | | | | $ | 3,896,822 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | |
Investments in Securities: | | | | | | | | | | | | | | | | | | | | |
Foreign Common Stocks Sold Short | | | $ | (80,191,700 | ) | | | $ | (1,585,822 | ) | | | $ | (78,605,878 | ) | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Liabilities - Investments in Securities | | | $ | (80,191,700 | ) | | | $ | (1,585,822 | ) | | | $ | (78,605,878 | ) | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
***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.
LEVEL 1 - 2 TRANSFERS
The Fund had securities that transferred from Level 1 to Level 2 of the fair value hierarchy as a result of foreign equities that were being valued based on quoted prices at December 31, 2011 that are now being fair valued. The value of the securities that were transferred to Level 2 as of December 31, 2012 is $931,005,395.
There were no securities transferred from Level 2 to Level 1 during the year ended December 31, 2012.
Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the reconciliation of Level 3 securities and assumptions is not shown for the period ending December 31, 2012.
| | | | |
| | See Notes to Financial Statements. | | 221 |
| | |
| STATEMENTS OF ASSETS AND LIABILITIES | | December 31, 2012 |
| | | | | | | | | | |
| | | Defensive Market
Strategies Fund | | | Equity Index
Fund | |
Assets | | | | | | | | | | |
Investments in securities of unaffiliated issuers, at value | | | | $ | 421,499,984 | | | $ | 265,669,844 | |
Investments in securities of affiliated issuers, at value | | | | | 19,718,563 | | | | 8,429,650 | |
| | | | | | | | | | |
Total investments (1)(2) | | | | | 441,218,547 | | | | 274,099,494 | |
Cash | | | | | — | | | | — | |
Cash collateral for derivatives | | | | | 979,000 | | | | 346,000 | |
Deposits with broker for securities sold short | | | | | 63,566,494 | | | | — | |
Foreign currency(3) | | | | | 27,393 | | | | — | |
Receivables: | | | | | | | | | | |
Dividends and reclaims | | | | | 425,827 | | | | 228,488 | |
Interest | | | | | 668,847 | | | | — | |
Securities lending | | | | | 19,925 | | | | 3,724 | |
Investment securities sold | | | | | 6,834,312 | | | | 34,389 | |
Fund shares sold | | | | | 18,260 | | | | 169,469 | |
Variation margin on financial futures contracts | | | | | 451,250 | | | | 243,675 | |
Unrealized appreciation on foreign currency exchange contracts | | | | | 22,106 | | | | — | |
Prepaid expenses and other assets | | | | | 17,823 | | | | 14,229 | |
| | | | | | | | | | |
Total Assets | | | | | 514,249,784 | | | | 275,139,468 | |
| | | | | | | | | | |
Liabilities | | | | | | | | | | |
Cash overdraft | | | | | 715,608 | | | | — | |
Securities sold short, at value (4) | | | | | 47,420,021 | | | | — | |
Options written at value (5) | | | | | — | | | | — | |
Unrealized depreciation on foreign currency exchange contracts | | | | | 6,086 | | | | — | |
Collateral held for securities on loan at value | | | | | 58,145,020 | | | | 19,621,368 | |
Collateral held for derivatives | | | | | — | | | | — | |
Payables: | | | | | | | | | | |
Investment securities purchased | | | | | 7,456,024 | | | | — | |
Dividends on short sales | | | | | 12,254 | | | | — | |
Fund shares redeemed | | | | | 26,850 | | | | 66,076 | |
Variation margin on financial futures contracts | | | | | — | | | | — | |
Securities lending | | | | | 3,983 | | | | 745 | |
Deferred foreign capital gains taxes | | | | | — | | | | — | |
Accrued expenses: | | | | | | | | | | |
Investment advisory fees | | | | | 279,912 | | | | 18,456 | |
Shareholder servicing fees | | | | | 63,394 | | | | 42,437 | |
Other expenses | | | | | 135,700 | | | | 127,705 | |
| | | | | | | | | | |
Total Liabilities | | | | | 114,264,852 | | | | 19,876,787 | |
| | | | | | | | | | |
Net Assets | | | | $ | 399,984,932 | | | $ | 255,262,681 | |
| | | | | | | | | | |
Net Assets Consist of: | | | | | | | | | | |
Paid-in-capital | | | | $ | 382,121,430 | | | $ | 201,097,552 | |
Undistributed (distributions in excess of) net investment income | | | | | (2,176 | ) | | | 3,817 | |
Undistributed (accumulated) net realized gain (loss) on investments, foreign currency translations and derivative transactions | | | | | (3,983,238 | ) | | | (6,673,702 | ) |
Net unrealized appreciation (depreciation) on investments, foreign currency translations and derivative transactions | | | | | 21,848,916 | | | | 60,835,014 | |
| | | | | | | | | | |
Net Assets | | | | $ | 399,984,932 | | | $ | 255,262,681 | |
| | | | | | | | | | |
Net Asset Value: | | | | | | | | | | |
$0.001 par value, unlimited shares authorized | | | | | | | | | | |
Net assets applicable to the GS2 Class | | | | $ | 85,346,855 | | | $ | 47,070,539 | |
| | | | | | | | | | |
GS2 shares outstanding | | | | | 8,046,410 | | | | 6,875,189 | |
| | | | | | | | | | |
Net asset value, offering and redemption price per GS2 share | | | | $ | 10.61 | | | $ | 6.85 | |
| | | | | | | | | | |
Net assets applicable to the GS4 Class | | | | $ | 314,638,077 | | | $ | 208,192,142 | |
| | | | | | | | | | |
GS4 shares outstanding | | | | | 29,674,753 | | | | 12,956,523 | |
| | | | | | | | | | |
Net asset value, offering and redemption price per GS4 share | | | | $ | 10.60 | | | $ | 16.07 | |
| | | | | | | | | | |
____________ | | | | | | | | | | |
| | | |
| (1) Investments in securities of unaffiliated issuers, at cost | | | | $399,045,424 | | | $204,871,325 | |
Investments in securities of affiliated issuers, at cost | | | | | 19,718,563 | | | | 8,429,650 | |
| | | | | | | | | | |
Total investments at cost | | | | $ | 418,763,987 | | | $ | 213,300,975 | |
| | | | | | | | | | |
(2) Includes securities loaned of: | | | | $ | 57,437,969 | | | $ | 19,449,940 | |
| | | | | | | | | | |
(3) Foreign currency at cost | | | | $ | 27,473 | | | $ | — | |
| | | | | | | | | | |
(4) Proceeds from securities sold short | | | | $ | 46,691,516 | | | $ | — | |
| | | | | | | | | | |
(5) Premiums received on options written | | | | $ | — | | | $ | — | |
| | | | | | | | | | |
(6) Net of $(192,221) accrued foreign capital gains taxes on appreciated securities | | | | | | | | | | |
| | | | |
| 222 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | | | |
Real Estate Securities Fund | | | Value Equity
Fund | | | Growth Equity
Fund | | | Small Cap
Equity Fund | | | International
Equity Fund | |
| | | | | | | | | | | | | | | | | | |
| $ | 221,317,657 | | | $ | 1,211,815,994 | | | $ | 1,278,252,953 | | | $ | 561,969,789 | | | $ | 1,482,737,368 | |
| | 4,949,171 | | | | 19,170,658 | | | | 46,333,046 | | | | 17,383,865 | | | | 91,536,895 | |
| | | | | | | | | | | | | | | | | | |
| | 226,266,828 | | | | 1,230,986,652 | | | | 1,324,585,999 | | | | 579,353,654 | | | | 1,574,274,263 | |
| | — | | | | 18,401 | | | | — | | | | 4,312 | | | | 34,332 | |
| | 240,250 | | | | 972,000 | | | | 2,509,000 | | | | 3,291,591 | | | | 11,831,321 | |
| | — | | | | — | | | | — | | | | — | | | | 14,282,160 | |
| | — | | | | — | | | | — | | | | 98,182 | | | | 12,588,114 | |
| | | | | | | | | | | | | | | | | | |
| | 627,786 | | | | 1,277,465 | | | | 582,629 | | | | 150,824 | | | | 2,934,723 | |
| | — | | | | — | | | | — | | | | 274,751 | | | | — | |
| | 2,929 | | | | 21,311 | | | | 21,940 | | | | 72,525 | | | | 60,955 | |
| | 203,205 | | | | 646,006 | | | | 3,231,843 | | | | 2,135,598 | | | | 377,671 | |
| | 194,624 | | | | 29,308 | | | | 136,800 | | | | 86,374 | | | | 137,110 | |
| | 124,740 | | | | 537,890 | | | | 1,261,695 | | | | 1,590,384 | | | | 1,815,328 | |
| | — | | | | — | | | | — | | | | 36,471 | | | | 5,064,210 | |
| | 19,025 | | | | 27,982 | | | | 29,766 | | | | 18,224 | | | | 29,941 | |
| | | | | | | | | | | | | | | | | | |
| | 227,679,387 | | | | 1,234,517,015 | | | | 1,332,359,672 | | | | 587,112,890 | | | | 1,623,430,128 | |
| | �� | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| | — | | | | — | | | | — | | | | — | | | | — | |
| | — | | | | — | | | | — | | | | — | | | | 80,191,700 | |
| | — | | | | — | | | | — | | | | 4,406 | | | | — | |
| | — | | | | — | | | | — | | | | 58,167 | | | | 1,167,388 | |
| | 36,159,270 | | | | 83,136,798 | | | | 104,150,787 | | | | 134,832,566 | | | | 108,425,281 | |
| | — | | | | — | | | | — | | | | — | | | | 3,820,018 | |
| | | | | | | | | | | | | | | | | | |
| | 151,877 | | | | 1,620,805 | | | | 5,631,166 | | | | 6,745,208 | | | | 1,153,835 | |
| | — | | | | — | | | | — | | | | — | | | | 35,666 | |
| | 25,466 | | | | 255,395 | | | | 214,070 | | | | 135,318 | | | | 5,696 | |
| | — | | | | — | | | | — | | | | — | | | | 384,944 | |
| | 586 | | | | 4,263 | | | | 4,388 | | | | 14,501 | | | | 12,190 | |
| | — | | | | — | | | | — | | | | — | | | | 196,480 | |
| | | | | | | | | | | | | | | | | | |
| | 110,463 | | | | 615,975 | | | | 810,410 | | | | 328,080 | | | | 963,073 | |
| | 38,049 | | | | 189,289 | | | | 206,896 | | | | 75,606 | | | | 228,221 | |
| | 45,505 | | | | 72,972 | | | | 78,555 | | | | 95,538 | | | | 409,169 | |
| | | | | | | | | | | | | | | | | | |
| | 36,531,216 | | | | 85,895,497 | | | | 111,096,272 | | | | 142,289,390 | | | | 196,993,661 | |
| | | | | | | | | | | | | | | | | | |
| $ | 191,148,171 | | | $ | 1,148,621,518 | | | $ | 1,221,263,400 | | | $ | 444,823,500 | | | $ | 1,426,436,467 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| $ | 171,212,216 | | | $ | 1,148,335,694 | | | $ | 963,781,869 | | | $ | 390,088,464 | | | $ | 1,478,571,089 | |
| | 468,376 | | | | 7,694,927 | | | | (865 | ) | | | 51,833 | | | | (1,019,310 | ) |
|
(1,081,637 |
) | | | (123,785,179 | ) | | | 5,703,325 | | | | 3,386,318 | | | | (169,931,590 | ) |
|
20,549,216 |
| | | 116,376,076 | | | | 251,779,071 | | | | 51,296,885 | | | | 118,816,278 | (6) |
| | | | | | | | | | | | | | | | | | |
| $ | 191,148,171 | | | $ | 1,148,621,518 | | | $ | 1,221,263,400 | | | $ | 444,823,500 | | | $ | 1,426,436,467 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| | N/A | | | $ | 215,512,016 | | | $ | 198,329,294 | | | $ | 67,723,023 | | | $ | 270,130,000 | |
| | | | | | | | | | | | | | | | | | |
| | N/A | | | | 26,975,235 | | | | 16,265,123 | | | | 6,595,721 | | | | 27,130,414 | |
| | | | | | | | | | | | | | | | | | |
| | N/A | | | $ | 7.99 | | | $ | 12.19 | | | $ | 10.27 | | | $ | 9.96 | |
| | | | | | | | | | | | | | | | | | |
| $ | 191,148,171 | | | $ | 933,109,502 | | | $ | 1,022,934,106 | | | $ | 377,100,477 | | | $ | 1,156,306,467 | |
| | | | | | | | | | | | | | | | | | |
| | 18,040,377 | | | | 57,681,540 | | | | 50,478,526 | | | | 23,653,827 | | | | 88,448,140 | |
| | | | | | | | | | | | | | | | | | |
| $ | 10.60 | | | $ | 16.18 | | | $ | 20.26 | | | $ | 15.94 | | | $ | 13.07 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| $ | 200,859,202 | | | $ | 1,095,545,381 | | | $ | 1,026,638,296 | | | $ | 511,852,262 | | | $ | 1,366,899,340 | |
| | 4,949,171 | | | | 19,170,658 | | | | 46,333,046 | | | | 17,383,865 | | | | 91,536,895 | |
| | | | | | | | | | | | | | | | | | |
| $ | 205,808,373 | | | $ | 1,114,716,039 | | | $ | 1,072,971,342 | | | $ | 529,236,127 | | | $ | 1,458,436,235 | |
| | | | | | | | | | | | | | | | | | |
| $ | 35,673,196 | | | $ | 82,970,907 | | | $ | 103,969,297 | | | $ | 134,571,282 | | | $ | 116,486,260 | |
| | | | | | | | | | | | | | | | | | |
| $ | — | | | $ | — | | | $ | — | | | $ | 96,686 | | | $ | 12,533,859 | |
| | | | | | | | | | | | | | | | | | |
| $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 77,878,097 | |
| | | | | | | | | | | | | | | | | | |
| $ | — | | | $ | — | | | $ | — | | | $ | 11,848 | | | $ | — | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 223 |
| | |
| STATEMENTS OF OPERATIONS | | For the Year Ended December 31, 2012 |
| | | | | | | | | | |
| | | Defensive Market
Strategies Fund | | | Equity Index
Fund | |
Investment Income | | | | | | | | | | |
Dividends | | | | $ | 7,243,447 | | | $ | 5,291,525 | |
Income distributions received from affiliated funds | | | | | 2,698 | | | | 1,102 | |
Interest | | | | | 2,428,987 | | | | 344 | |
Securities lending | | | | | 186,336 | | | | 38,218 | |
Less foreign taxes withheld | | | | | (41,167 | ) | | | (3,156 | ) |
| | | | | | | | | | |
Total Investment Income | | | | | 9,820,301 | | | | 5,328,033 | |
| | | | | | | | | | |
Expenses | | | | | | | | | | |
Investment advisory fees | | | | | 3,119,630 | | | | 381,381 | |
Transfer agent fees: | | | | | | | | | | |
GS2 shares | | | | | 3,859 | | | | 3,918 | |
GS4 shares | | | | | 17,127 | | | | 26,087 | |
Custodian fees | | | | | 217,379 | | | | 13,070 | |
Shareholder servicing fees: | | | | | | | | | | |
GS4 shares | | | | | 675,612 | | | | 490,128 | |
Accounting and administration fees | | | | | 153,584 | | | | 76,499 | |
Professional fees | | | | | 54,737 | | | | 57,675 | |
Blue sky fees: | | | | | | | | | | |
GS2 shares | | | | | 2,433 | | | | 3,648 | |
GS4 shares | | | | | 25,384 | | | | 14,983 | |
Shareholder reporting fees: | | | | | | | | | | |
GS2 shares | | | | | 352 | | | | 306 | |
GS4 shares | | | | | 2,110 | | | | 16,375 | |
Trustee expenses | | | | | 5,013 | | | | 3,805 | |
Line of credit facility fees | | | | | 3,957 | | | | 2,725 | |
Other expenses | | | | | 261,404 | | | | 16,125 | |
| | | | | | | | | | |
Total expenses | | | | | 4,542,581 | | | | 1,106,725 | |
Dividends and interest on securities sold short | | | | | 190,095 | | | | — | |
Expenses waived/reimbursed net of amount recaptured(1) | | | | | (236,093 | ) | | | (237,787 | ) |
Fees paid indirectly | | | | | — | | | | — | |
| | | | | | | | | | |
Net expenses | | | | | 4,496,583 | | | | 868,938 | |
| | | | | | | | | | |
Net Investment Income | | | | | 5,323,718 | | | | 4,459,095 | |
| | | | | | | | | | |
| | | |
Realized and Unrealized Gain (Loss) | | | | | | | | | | |
Net realized gain (loss) from: | | | | | | | | | | |
Investment securities | | | | | 14,467,720 | | | | 1,711,646 | |
Investment securities sold short | | | | | (5,115,445 | ) | | | — | |
Futures transactions | | | | | 1,475,895 | | | | 1,812,985 | |
Option contracts written | | | | | 57,049 | | | | — | |
Option contracts purchased | | | | | (233,287 | ) | | | — | |
Foreign currency transactions | | | | | (60,009 | ) | | | — | |
| | | | | | | | | | |
Net realized gain (loss) | | | | | 10,591,923 | | | | 3,524,631 | |
| | | | | | | | | | |
| | | |
Net change in unrealized appreciation (depreciation) on: | | | | | | | | | | |
Investment securities | | | | | | | | | | |
(net of estimated capital gains taxes of $(147,339) for International Equity) | | | | | 13,411,418 | | | | 26,937,523 | |
Investment securities sold short | | | | | (520,893 | ) | | | — | |
Futures | | | | | (6,617 | ) | | | (218,063 | ) |
Option contracts written | | | | | (3,192 | ) | | | — | |
Option contracts purchased | | | | | 4,578 | | | | — | |
Foreign currency translation | | | | | (126 | ) | | | — | |
| | | | | | | | | | |
Net change in unrealized appreciation | | | | | 12,885,168 | | | | 26,719,460 | |
| | | | | | | | | | |
Net Realized and Unrealized Gain | | | | | 23,477,091 | | | | 30,244,091 | |
| | | | | | | | | | |
Net Increase in Net Assets Resulting from Operations | | | | $ | 28,800,809 | | | $ | 34,703,186 | |
| | | | | | | | | | |
| (1) | See Note 3a and 3c in Notes to Financial Statements. |
| | | | |
224 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | | | |
Real Estate
Securities Fund | | | Value Equity
Fund | | | Growth Equity
Fund | | | Small Cap
Equity Fund | | | International
Equity Fund | |
| | | | | | | | | | | | | | | | | | |
| $ | 4,640,025 | | | $ | 29,109,884 | | | $ | 14,516,080 | | | $ | 5,929,241 | | | $ | 41,054,266 | |
| | 527 | | | | 2,298 | | | | 5,638 | | | | 1,779 | | | | 8,095 | |
| | — | | | | 209 | | | | 1,433 | | | | 1,242,455 | | | | — | |
| | 39,124 | | | | 162,492 | | | | 220,796 | | | | 669,835 | | | | 1,135,611 | |
| | — | | | | (104,850 | ) | | | (138,690 | ) | | | (1,436 | ) | | | (3,306,249 | ) |
| | | | | | | | | | | | | | | | | | |
| | 4,679,676 | | | | 29,170,033 | | | | 14,605,257 | | | | 7,841,874 | | | | 38,891,723 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| | 1,229,447 | | | | 7,248,720 | | | | 10,317,331 | | | | 4,053,867 | | | | 12,123,882 | |
| | | | | | | | | | | | | | | | | | |
| | — | | | | 4,138 | | | | 4,225 | | | | 4,208 | | | | 4,176 | |
| | 25,363 | | | | 28,476 | | | | 28,683 | | | | 30,343 | | | | 31,860 | |
| | 34,782 | | | | 49,646 | | | | 76,809 | | | | 131,633 | | | | 932,655 | |
| | | | | | | | | | | | | | | | | | |
| | 419,273 | | | | 2,208,180 | | | | 2,443,548 | | | | 899,507 | | | | 2,493,266 | |
| | 42,483 | | | | 248,245 | | | | 258,720 | | | | 174,170 | | | | 628,266 | |
| | 55,757 | | | | 57,670 | | | | 54,190 | | | | 57,989 | | | | 57,571 | |
| | | | | | | | | | | | | | | | | | |
| | — | | | | 3,725 | | | | 3,818 | | | | 3,698 | | | | 3,660 | |
| | 16,459 | | | | 17,168 | | | | 18,607 | | | | 16,536 | | | | 16,063 | |
| | | | | | | | | | | | | | | | | | |
| | — | | | | 700 | | | | 610 | | | | 876 | | | | 979 | |
| | 15,209 | | | | 20,499 | | | | 21,168 | | | | 23,664 | | | | 26,261 | |
| | 3,053 | | | | 13,231 | | | | 14,196 | | | | 5,912 | | | | 14,724 | |
| | 1,926 | | | | 12,735 | | | | 13,693 | | | | 4,995 | | | | 14,170 | |
| | 11,281 | | | | 29,396 | | | | 32,686 | | | | 22,822 | | | | 635,833 | |
| | | | | | | | | | | | | | | | | | |
| | 1,855,033 | | | | 9,942,529 | | | | 13,288,284 | | | | 5,430,220 | | | | 16,983,366 | |
| | — | | | | — | | | | — | | | | — | | | | 2,516,279 | |
| | (12,368 | ) | | | (53,834 | ) | | | (768,403 | ) | | | (228,435 | ) | | | (2,281,757 | ) |
| | — | | | | (75,329 | ) | | | (62,169 | ) | | | (94,590 | ) | | | (41,960 | ) |
| | | | | | | | | | | | | | | | | | |
| | 1,842,665 | | | | 9,813,366 | | | | 12,457,712 | | | | 5,107,195 | | | | 17,175,928 | |
| | | | | | | | | | | | | | | | | | |
| | 2,837,011 | | | | 19,356,667 | | | | 2,147,545 | | | | 2,734,679 | | | | 21,715,795 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | | | | | | | | | | |
| | 20,175,944 | | | | 24,991,841 | | | | 115,108,824 | | | | 33,418,079 | | | | (27,425,535 | ) |
| | — | | | | — | | | | — | | | | — | | | | 5,819,874 | |
| | 945,201 | | | | 3,722,834 | | | | 9,606,985 | | | | 8,533,418 | | | | 9,533,447 | |
| | — | | | | — | | | | — | | | | 74,243 | | | | — | |
| | — | | | | — | | | | — | | | | (48,153 | ) | | | — | |
| | — | | | | — | | | | (713 | ) | | | 118,896 | | | | 4,985,563 | |
| | | | | | | | | | | | | | | | | | |
| | 21,121,145 | | | | 28,714,675 | | | | 124,715,096 | | | | 42,096,483 | | | | (7,086,651 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| | 2,155,427 | | | | 129,583,630 | | | | 62,477,932 | | | | 16,586,545 | | | | 202,036,299 | |
| | — | | | | — | | | | — | | | | — | | | | (12,773,480 | ) |
| | 37,141 | | | | (608,223 | ) | | | (588,060 | ) | | | 12,383 | | | | 245,641 | |
| | — | | | | — | | | | — | | | | 7,090 | | | | — | |
| | — | | | | — | | | | — | | | | (10,514 | ) | | | — | |
| | — | | | | — | | | | 296 | | | | (113,802 | ) | | | 3,611,201 | |
| | | | | | | | | | | | | | | | | | |
| | 2,192,568 | | | | 128,975,407 | | | | 61,890,168 | | | | 16,481,702 | | | | 193,119,661 | |
| | | | | | | | | | | | | | | | | | |
| | 23,313,713 | | | | 157,690,082 | | | | 186,605,264 | | | | 58,578,185 | | | | 186,033,010 | |
| | | | | | | | | | | | | | | | | | |
| $ | 26,150,724 | | | $ | 177,046,749 | | | $ | 188,752,809 | | | $ | 61,312,864 | | | $ | 207,748,805 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 225 |
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Defensive Market
Strategies Fund | |
| | | For the Year
Ended
12/31/12 | | | For the Period
09/01/11(1) -
12/31/11 | |
Operations: | | | | | | | | |
Net investment income | | $ | 5,323,718 | | | $ | 936,692 | |
Net realized gain (loss) on investment securities, foreign currency transactions and derivative transactions | | | 10,591,923 | | | | (2,374,664 | ) |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency translations and derivative transactions | | | 12,885,168 | | | | 8,963,748 | |
| | | | | | | | |
Net increase in net assets resulting from operations | | | 28,800,809 | | | | 7,525,776 | |
| | | | | | | | |
Dividends and Distributions to Shareholders: | | | | | | | | |
Dividends from net investment income | | | | | | | | |
GS2 shares | | | (1,340,492 | ) | | | (318,933 | ) |
GS4 shares | | | (4,192,927 | ) | | | (817,166 | ) |
Distributions from net realized capital gains | | | | | | | | |
GS2 shares | | | (2,470,784 | ) | | | (59,110 | ) |
GS4 shares | | | (9,083,204 | ) | | | (180,504 | ) |
| | | | | | | | |
Total dividends and distributions | | | (17,087,407 | ) | | | (1,375,713 | ) |
| | | | | | | | |
Capital Share Transactions: | | | | | | | | |
Proceeds from shares sold | | | | | | | | |
GS2 shares | | | 15,153,959 | | | | 79,296,691 | |
GS4 shares | | | 57,511,353 | | | | 237,229,968 | |
Reinvestment of dividends and distributions | | | | | | | | |
GS2 shares | | | 3,807,041 | | | | 377,748 | |
GS4 shares | | | 13,276,131 | | | | 997,670 | |
| | | | | | | | |
Total proceeds from shares sold and reinvested | | | 89,748,484 | | | | 317,902,077 | |
| | | | | | | | |
Value of shares redeemed | | | | | | | | |
GS2 shares | | | (10,919,229 | ) | | | (6,649,396 | ) |
GS4 shares | | | (5,602,873 | ) | | | (2,357,596 | ) |
| | | | | | | | |
Total value of shares redeemed | | | (16,522,102 | ) | | | (9,006,992 | ) |
| | | | | | | | |
Net increase (decrease) from capital share transactions(2) | | | 73,226,382 | | | | 308,895,085 | |
| | | | | | | | |
Total increase (decrease) in net assets | | | 84,939,784 | | | | 315,045,148 | |
| | | | | | | | |
Net Assets: | | | | | | | | |
Beginning of Year | | | 315,045,148 | | | | — | |
| | | | | | | | |
End of Year* | | $ | 399,984,932 | | | $ | 315,045,148 | |
| | | | | | | | |
* Including undistributed (distributions in excess of) net investment income | | $ | (2,176 | ) | | $ | (19,092 | ) |
| | | | | | | | |
| (1) | Inception date was September 1, 2011. |
| (2) | See Note 6 in Notes to Financial Statements. |
| | | | |
| 226 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | | | | | | | |
| Equity Index Fund | | | Real Estate
Securities Fund | | | Value Equity Fund | |
| For the Year Ended | | | For the Year Ended | | | For the Year Ended | |
| | | | | |
| 12/31/12 | | | 12/31/11 | | | 12/31/12 | | | 12/31/11 | | | 12/31/12 | | | 12/31/11 | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | 4,459,095 | | | $ | 5,258,974 | | | $ | 2,837,011 | | | $ | 1,263,887 | | | $ | 19,356,667 | | | $ | 16,621,802 | |
| | | | | |
| | 3,524,631 | | | | 32,991,580 | | | | 21,121,145 | | | | 17,066,499 | | | | 28,714,675 | | | | 26,274,574 | |
| | | | | |
| | 26,719,460 | | | | (32,744,998 | ) | | | 2,192,568 | | | | (7,100,897 | ) | | | 128,975,407 | | | | (40,133,852 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | 34,703,186 | | | | 5,505,556 | | | | 26,150,724 | | | | 11,229,489 | | | | 177,046,749 | | | | 2,762,524 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | (1,571,769 | ) | | | (1,954,809 | ) | | | — | | | | — | | | | (6,831,856 | ) | | | (5,981,447 | ) |
| | (2,883,760 | ) | | | (4,382,332 | ) | | | (2,553,245 | ) | | | (1,079,417 | ) | | | (12,514,527 | ) | | | (10,675,839 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | (1,164,145 | ) | | | (9,790,218 | ) | | | — | | | | — | | | | — | | | | — | |
| | (2,337,106 | ) | | | (25,535,709 | ) | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | |
| | (7,956,780 | ) | | | (41,663,068 | ) | | | (2,553,245 | ) | | | (1,079,417 | ) | | | (19,346,383 | ) | | | (16,657,286 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 9,096,280 | | | | 2,712,853 | | | | — | | | | — | | | | 9,537,724 | | | | 18,209,835 | |
| | 23,839,386 | | | | 22,558,530 | | | | 48,804,620 | | | | 43,753,345 | | | | 45,285,927 | | | | 78,987,992 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 2,732,297 | | | | 11,720,330 | | | | — | | | | — | | | | 6,825,833 | | | | 5,976,208 | |
| | 5,219,194 | | | | 29,913,775 | | | | 2,553,036 | | | | 1,079,272 | | | | 12,513,223 | | | | 10,674,516 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 40,887,157 | | | | 66,905,488 | | | | 51,357,656 | | | | 44,832,617 | | | | 74,162,707 | | | | 113,848,551 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | (4,607,900 | ) | | | (38,120,249 | ) | | | — | | | | — | | | | (28,255,572 | ) | | | (49,726,476 | ) |
| | (27,559,476 | ) | | | (179,783,388 | ) | | | (34,033,826 | ) | | | (46,656,025 | ) | | | (108,252,456 | ) | | | (186,250,779 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | (32,167,376 | ) | | | (217,903,637 | ) | | | (34,033,826 | ) | | | (46,656,025 | ) | | | (136,508,028 | ) | | | (235,977,255 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | 8,719,781 | | | | (150,998,149 | ) | | | 17,323,830 | | | | (1,823,408 | ) | | | (62,345,321 | ) | | | (122,128,704 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | 35,466,187 | | | | (187,155,661 | ) | | | 40,921,309 | | | | 8,326,664 | | | | 95,355,045 | | | | (136,023,466 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | 219,796,494 | | | | 406,952,155 | | | | 150,226,862 | | | | 141,900,198 | | | | 1,053,266,473 | | | | 1,189,289,939 | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | 255,262,681 | | | $ | 219,796,494 | | | $ | 191,148,171 | | | $ | 150,226,862 | | | $ | 1,148,621,518 | | | $ | 1,053,266,473 | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | 3,817 | | | $ | — | | | $ | 468,376 | | | $ | 184,497 | | | $ | 7,694,927 | | | $ | 7,684,176 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 227 |
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Growth Equity Fund | |
| | | For the Year Ended | |
| | |
| | | 12/31/12 | | | 12/31/11 | |
Operations: | | | | | | | | |
Net investment income (loss) | | $ | 2,147,545 | | | $ | (1,251,646 | ) |
Net realized gain (loss) on investment securities, foreign currency transactions and derivative transactions | | | 124,715,096 | | | | 112,048,038 | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency translations and derivative transactions | | | 61,890,168 | | | | (129,401,549 | ) |
| | | | | | | | |
Net increase (decrease) in net assets resulting from operations | | | 188,752,809 | | | | (18,605,157 | ) |
| | | | | | | | |
Dividends and Distributions to Shareholders: | | | | | | | | |
Dividends from net investment income | | | | | | | | |
GS2 shares | | | (997,169 | ) | | | — | |
GS4 shares | | | (1,161,213 | ) | | | — | |
Distributions from net realized capital gains | | | | | | | | |
GS2 shares | | | (22,360,470 | ) | | | — | |
GS4 shares | | | (72,908,150 | ) | | | — | |
| | | | | | | | |
Total dividends and distributions | | | (97,427,002 | ) | | | — | |
| | | | | | | | |
Capital Share Transactions: | | | | | | | | |
Proceeds from shares sold | | | | | | | | |
GS2 shares | | | 8,038,745 | | | | 12,614,849 | |
GS4 shares | | | 62,823,460 | | | | 84,754,555 | |
Reinvestment of dividends and distributions | | | | | | | | |
GS2 shares | | | 23,338,265 | | | | — | |
GS4 shares | | | 74,068,713 | | | | — | |
| | | | | | | | |
Total proceeds from shares sold and reinvested | | | 168,269,183 | | | | 97,369,404 | |
| | | | | | | | |
Value of shares redeemed | | | | | | | | |
GS2 shares | | | (25,997,419 | ) | | | (41,012,966 | ) |
GS4 shares | | | (112,712,284 | ) | | | (197,296,374 | ) |
| | | | | | | | |
Total value of shares redeemed | | | (138,709,703 | ) | | | (238,309,340 | ) |
| | | | | | | | |
Net increase (decrease) from capital share transactions(1) | | | 29,559,480 | | | | (140,939,936 | ) |
| | | | | | | | |
Total increase (decrease) in net assets | | | 120,885,287 | | | | (159,545,093 | ) |
| | | | | | | | |
Net Assets: | | | | | | | | |
Beginning of Year | | | 1,100,378,113 | | | | 1,259,923,206 | |
| | | | | | | | |
End of Year* | | $ | 1,221,263,400 | | | $ | 1,100,378,113 | |
| | | | | | | | |
* Including undistributed (distributions in excess of) net investment income | | $ | (865 | ) | | $ | (540 | ) |
| | | | | | | | |
| (1) | See Note 6 in Notes to Financial Statements. |
| | | | |
| 228 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | |
| Small Cap Equity Fund | | | International Equity Fund | |
| For the Year Ended | | | For the Year Ended | |
| | | |
| 12/31/12 | | | 12/31/11 | | | 12/31/12 | | | 12/31/11 | |
| | | | | | | | | | | | | | |
| $ | 2,734,679 | | | $ | 588,385 | | | $ | 21,715,795 | | | $ | 25,408,601 | |
| | | |
| | 42,096,483 | | | | 55,393,288 | | | | (7,086,651 | ) | | | 55,235,655 | |
| | | |
| | 16,481,702 | | | | (48,864,420 | ) | | | 193,119,661 | | | | (266,338,287 | ) |
| | | | | | | | | | | | | | |
| | | |
| | 61,312,864 | | | | 7,117,253 | | | | 207,748,805 | | | | (185,694,031 | ) |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | (824,580 | ) | | | (296,485 | ) | | | (5,831,914 | ) | | | (6,224,885 | ) |
| | (2,228,182 | ) | | | (407,452 | ) | | | (16,637,904 | ) | | | (18,014,995 | ) |
| | | | | | | | | | | | | | |
| | (4,730,877 | ) | | | — | | | | — | | | | — | |
| | (17,549,897 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | |
| | (25,333,536 | ) | | | (703,937 | ) | | | (22,469,818 | ) | | | (24,239,880 | ) |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | 3,532,639 | | | | 5,576,712 | | | | 22,643,677 | | | | 34,462,759 | |
| | 26,607,000 | | | | 47,768,412 | | | | 98,709,445 | | | | 181,280,843 | |
| | | | | | | | | | | | | | |
| | 5,551,218 | | | | 296,176 | | | | 5,830,084 | | | | 6,222,532 | |
| | 19,776,480 | | | | 407,371 | | | | 16,637,209 | | | | 18,014,075 | |
| | | | | | | | | | | | | | |
| | 55,467,337 | | | | 54,048,671 | | | | 143,820,415 | | | | 239,980,209 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | (9,202,703 | ) | | | (17,341,615 | ) | | | (15,820,816 | ) | | | (35,990,466 | ) |
| | (55,335,902 | ) | | | (99,700,166 | ) | | | (65,824,409 | ) | | | (106,493,355 | ) |
| | | | | | | | | | | | | | |
| | (64,538,605 | ) | | | (117,041,781 | ) | | | (81,645,225 | ) | | | (142,483,821 | ) |
| | | | | | | | | | | | | | |
| | (9,071,268 | ) | | | (62,993,110 | ) | | | 62,175,190 | | | | 97,496,388 | |
| | | | | | | | | | | | | | |
| | 26,908,060 | | | | (56,579,794 | ) | | | 247,454,177 | | | | (112,437,523 | ) |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | 417,915,440 | | | | 474,495,234 | | | | 1,178,982,290 | | | | 1,291,419,813 | |
| | | | | | | | | | | | | | |
| $ | 444,823,500 | | | $ | 417,915,440 | | | $ | 1,426,436,467 | | | $ | 1,178,982,290 | |
| | | | | | | | | | | | | | |
| $ | 51,833 | | | $ | (27,881) | | | $ | (1,019,310) | | | $ | (703,735) | |
| | | | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 229 |
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 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
Invest- ment
Income | | | Realized and Unrealized Gain (Loss) on
Investments | | | Dividends from Net Investment
Income | | | Distribu- tions from Net Realized Capital
Gains | | | Excess Distribu- tion/ Return
of
Capital | | | Net
Asset Value, End of
Year | | | Total
Return | | | Net Assets, End of Year (000) | | | Expenses,
Net | | | Expenses,
Gross(1) | | | Invest- ment
Income/ (Loss),
Net(2) | | | Portfolio
Turnover
Rate | |
Defensive Market Strategies Fund | |
| | | | | | | | | | | |
GS2 Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 2012 | | $ | 10.20 | | | $ | 0.18 | # | | $ | 0.73(3 | ) | | $ | (0.18 | ) | | $ | (0.32 | ) | | $ | — | | | $ | 10.61 | | | | 8.93 | % | | $ | 85,347 | | | | 0.99 | %(4) | | | 1.12 | % | | | 1.67 | % | | | 304 | % |
| 2011(5) | | | 10.00 | | | | 0.04 | # | | | 0.21(3 | ) | | | (0.04 | ) | | | (0.01 | ) | | | — | | | | 10.20 | | | | 2.51 | | | | 74,516 | | | | 0.99 | (4) | | | 1.10 | | | | 1.11 | | | | 120 | |
GS4 Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 2012 | | $ | 10.20 | | | $ | 0.15 | # | | $ | 0.72(3 | ) | | $ | (0.15 | ) | | $ | (0.32 | ) | | $ | — | | | $ | 10.60 | | | | 8.57 | % | | $ | 314,638 | | | | 1.25 | %(4) | | | 1.37 | % | | | 1.42 | % | | | 304 | % |
| 2011(5) | | | 10.00 | | | | 0.03 | # | | | 0.21(3 | ) | | | (0.03 | ) | | | (0.01 | ) | | | — | | | | 10.20 | | | | 2.43 | | | | 240,529 | | | | 1.25 | (4) | | | 1.35 | | | | 0.86 | | | | 120 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Equity Index Fund | |
| | | | | | | | | | | |
GS2 Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 2012 | | $ | 6.29 | | | $ | 0.13 | # | | $ | 0.86(3 | ) | | $ | (0.25 | ) | | $ | (0.18 | ) | | $ | — | | | $ | 6.85 | | | | 15.92 | % | | $ | 47,071 | | | | 0.23 | % | | | 0.24 | % | | | 1.95 | % | | | 3 | % |
| 2011 | | | 8.63 | | | | 0.15 | # | | | 0.04(3 | ) | | | (0.31 | ) | | | (2.22 | ) | | | — | | | | 6.29 | | | | 3.00 | | | | 36,721 | | | | 0.23 | | | | 0.24 | | | | 1.71 | | | | 4 | |
| 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 | |
GS4 Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 2012 | | $ | 14.24 | | | $ | 0.28 | # | | $ | 1.95(3 | ) | | $ | (0.22 | ) | | $ | (0.18 | ) | | $ | — | | | $ | 16.07 | | | | 15.76 | % | | $ | 208,192 | | | | 0.38 | % | | | 0.49 | % | | | 1.79 | % | | | 3 | % |
| 2011 | | | 16.36 | | | | 0.26 | # | | | 0.12(3 | ) | | | (0.28 | ) | | | (2.22 | ) | | | — | | | | 14.24 | | | | 2.75 | | | | 183,076 | | | | 0.38 | | | | 0.47 | | | | 1.57 | | | | 4 | |
| 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 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Real Estate Securities Fund | |
| | | | | | | | | | | |
GS4 Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 2012 | | $ | 9.18 | | | $ | 0.17 | # | | $ | 1.40(3 | ) | | $ | (0.15 | ) | | $ | — | | | $ | — | | | $ | 10.60 | | | | 17.09 | % | | $ | 191,148 | | | | 1.05 | % | | | 1.06 | % | | | 1.62 | % | | | 95 | % |
| 2011 | | | 8.52 | | | | 0.08 | # | | | 0.65(3 | ) | | | (0.07 | ) | | | — | | | | — | | | | 9.18 | | | | 8.51 | | | | 150,227 | | | | 1.14 | | | | 1.14 | | | | 0.85 | | | | 90 | |
| 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 | |
| † | 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 and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were included, the ratio would have been lower than the ratio shown. The ratio for the Defensive Market Strategies Fund includes the effect of dividend expense on securities sold short which increased the ratio by 0.04% for the year 2011 and 0.05% for the year 2012. |
| (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 (higher) than the ratio shown. |
| (3) | Amount includes Capital Gains distributions received by the Fund from the GuideStone Money Market Fund. The amount of these distributions represents less than $0.005 per share. |
| (4) | The ratio excludes the effect of expense offsets for fees paid indirectly; if expense offsets were included, the ratio would have been lower than the ratio shown. The ratio for the Defensive Market Strategies Fund excludes the effect of dividend expense on securities sold short. |
| (5) | Inception date was September 1, 2011. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
| | | | |
| 230 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 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
Invest- ment
Income/ (Loss) | | | Realized and Unrealized Gain (Loss) on
Investments | | | Dividends from Net Investment
Income | | | Distribu- tions from Net Realized Capital
Gains | | | Excess Distribu-
tion/ Return
of
Capital | | | Net
Asset Value, End of
Year | | | Total
Return | | | Net Assets, End of Year (000) | | | Expenses,
Net | | | Expenses,
Gross(1) | | | Invest- ment
Income/ (Loss),
Net(2) | | | Portfolio
Turnover
Rate | |
Value Equity Fund | |
| | | | | | | | | | | |
GS2 Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 2012 | | $ | 7.03 | | | $ | 0.15 | # | | $ | 1.06 | (3) | | $ | (0.25 | ) | | $ | — | | | $ | — | | | $ | 7.99 | | | | 17.47 | % | | $ | 215,512 | | | | 0.67 | %(4) | | | 0.68 | % | | | 1.90 | % | | | 27 | % |
| 2011 | | | 7.18 | | | | 0.12 | # | | | (0.07 | )(3) | | | (0.20 | ) | | | — | | | | — | | | | 7.03 | | | | 0.57 | | | | 200,308 | | | | 0.67 | (4) | | | 0.68 | | | | 1.62 | | | | 35 | |
| 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 | (4) | | | 0.67 | | | | 2.29 | | | | 52 | |
GS4 Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 2012 | | $ | 14.00 | | | $ | 0.25 | # | | $ | 2.14 | (3) | | $ | (0.21 | ) | | | — | | | | — | | | $ | 16.18 | | | | 17.20 | % | | $ | 933,110 | | | | 0.92 | %(4) | | | 0.92 | % | | | 1.66 | % | | | 27 | % |
| 2011 | | | 14.12 | | | | 0.20 | # | | | (0.16 | )(3) | | | (0.16 | ) | | | — | | | | — | | | | 14.00 | | | | 0.27 | | | | 852,958 | | | | 0.90 | (4) | | | 0.91 | | | | 1.39 | | | | 35 | |
| 2010 | | | 12.54 | | | | 0.17 | # | | | 1.56 | | | | (0.15 | ) | | | — | | | | — | | | | 14.12 | | | | 13.96 | | | | 958,211 | | | | 0.85 | (4) | | | 0.87 | | | | 1.35 | | | | 36 | |
| 2009 | | | 10.53 | | | | 0.20 | # | | | 1.98 | | | | (0.17 | ) | | | — | | | | — | | | | 12.54 | | | | 21.16 | | | | 1,001,814 | | | | 0.85 | (4) | | | 0.88 | | | | 1.89 | | | | 32 | |
| 2008 | | | 17.03 | | | | 0.30 | # | | | (6.54 | ) | | | (0.19 | ) | | | (0.07 | ) | | | — | | | | 10.53 | | | | (36.95 | ) | | | 844,459 | | | | 0.85 | (4) | | | 0.86 | | | | 2.09 | | | | 52 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Growth Equity Fund | |
| | | | | | | | | | | |
GS2 Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 2012 | | $ | 11.76 | | | $ | 0.04 | # | | $ | 2.00 | (3) | | $ | (0.06 | ) | | $ | (1.55 | ) | | $ | — | | | $ | 12.19 | | | | 17.39 | % | | $ | 198,329 | | | | 0.87 | %(4) | | | 0.89 | % | | | 0.33 | % | | | 67 | % |
| 2011 | | | 11.91 | | | | — | †# | | | (0.15 | )(3) | | | — | | | | — | | | | — | | | | 11.76 | | | | (1.26 | ) | | | 184,418 | | | | 0.88 | (4) | | | 0.89 | | | | 0.02 | | | | 60 | |
| 2010 | | | 10.00 | | | | — | † | | | 1.91 | | | | — | † | | | — | | | | — | | | | 11.91 | | | | 19.13 | | | | 215,863 | | | | 0.88 | (4) | | | 0.89 | | | | 0.06 | | | | 63 | |
| 2009 | | | 7.26 | | | | 0.02 | | | | 2.74 | | | | (0.02 | ) | | | — | | | | — | | | | 10.00 | | | | 38.14 | | | | 196,026 | | | | 0.88 | (4) | | | 0.89 | | | | 0.22 | | | | 78 | |
| 2008 | | | 12.76 | | | | 0.03 | | | | (5.49 | ) | | | (0.04 | ) | | | — | | | | — | | | | 7.26 | | | | (42.84 | ) | | | 141,138 | | | | 0.87 | (4) | | | 0.87 | | | | 0.26 | | | | 99 | |
�� GS4 Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 2012 | | $ | 18.63 | | | $ | 0.03 | # | | $ | 3.17 | (3) | | $ | (0.02 | ) | | $ | (1.55 | ) | | $ | — | | | $ | 20.26 | | | | 17.21 | % | | $ | 1,022,934 | | | | 1.06 | %(4) | | | 1.13 | % | | | 0.15 | % | | | 67 | % |
| 2011 | | | 18.90 | | | | (0.02 | )# | | | (0.25 | )(3) | | | — | | | | — | | | | — | | | | 18.63 | | | | (1.43 | ) | | | 915,960 | | | | 1.03 | (4) | | | 1.11 | | | | (0.13 | ) | | | 60 | |
| 2010 | | | 15.88 | | | | (0.01 | ) | | | 3.03 | | | | — | † | | | — | | | | — | | | | 18.90 | | | | 19.03 | | | | 1,044,060 | | | | 0.97 | (4) | | | 1.08 | | | | (0.04 | ) | | | 63 | |
| 2009 | | | 11.52 | | | | 0.01 | | | | 4.36 | | | | (0.01 | ) | | | — | | | | — | | | | 15.88 | | | | 37.99 | | | | 1,067,654 | | | | 0.97 | (4) | | | 1.09 | | | | 0.13 | | | | 78 | |
| 2008 | | | 20.22 | | | | 0.02 | | | | (8.70 | ) | | | (0.02 | ) | | | — | | | | — | | | | 11.52 | | | | (42.92 | ) | | | 817,315 | | | | 0.97 | (4) | | | 1.06 | | | | 0.16 | | | | 99 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Small Cap Equity Fund | |
| | | | | | | | | | | |
GS2 Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 2012 | | $ | 9.70 | | | $ | 0.08 | # | | $ | 1.40 | (3) | | $ | (0.13 | ) | | $ | (0.78 | ) | | $ | — | | | $ | 10.27 | | | | 15.25 | % | | $ | 67,723 | | | | 1.01 | %(4) | | | 1.02 | % | | | 0.79 | % | | | 128 | % |
| 2011 | | | 9.61 | | | | 0.03 | # | | | 0.11 | (3) | | | (0.05 | ) | | | — | | | | — | | | | 9.70 | | | | 1.40 | | | | 63,903 | | | | 1.01 | (4) | | | 1.03 | | | | 0.27 | | | | 165 | |
| 2010 | | | 7.57 | | | | 0.03 | # | | | 2.06 | | | | (0.05 | ) | | | — | | | | — | | | | 9.61 | | | | 27.64 | | | | 74,424 | | | | 1.00 | (4) | | | 1.02 | | | | 0.42 | | | | 177 | |
| 2009 | | | 5.94 | | | | 0.03 | # | | | 1.64 | | | | (0.04 | ) | | | — | | | | — | | | | 7.57 | | | | 28.12 | | | | 64,033 | | | | 1.04 | (4) | | | 1.05 | | | | 0.44 | | | | 130 | |
| 2008 | | | 9.60 | | | | 0.05 | # | | | (3.61 | ) | | | (0.08 | ) | | | — | | | | (0.02 | ) | | | 5.94 | | | | (37.05 | ) | | | 48,159 | | | | 1.03 | (4) | | | 1.04 | | | | 0.66 | | | | 147 | |
GS4 Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 2012 | | $ | 14.62 | | | $ | 0.09 | # | | $ | 2.10 | (3) | | $ | (0.09 | ) | | $ | (0.78 | ) | | $ | — | | | $ | 15.94 | | | | 15.02 | % | | $ | 377,101 | | | | 1.21 | %(4) | | | 1.27 | % | | | 0.59 | % | | | 128 | % |
| 2011 | | | 14.46 | | | | 0.01 | # | | | 0.17 | (3) | | | (0.02 | ) | | | — | | | | — | | | | 14.62 | | | | 1.22 | | | | 354,013 | | | | 1.19 | (4) | | | 1.26 | | | | 0.10 | | | | 165 | |
| 2010 | | | 11.37 | | | | 0.03 | # | | | 3.09 | | | | (0.03 | ) | | | — | | | | — | | | | 14.46 | | | | 27.47 | | | | 400,072 | | | | 1.15 | (4) | | | 1.21 | | | | 0.27 | | | | 177 | |
| 2009 | | | 8.91 | | | | 0.03 | # | | | 2.46 | | | | (0.03 | ) | | | — | | | | — | | | | 11.37 | | | | 27.93 | | | | 356,043 | | | | 1.15 | (4) | | | 1.25 | | | | 0.33 | | | | 130 | |
| 2008 | | | 14.31 | | | | 0.07 | # | | | (5.39 | ) | | | (0.06 | ) | | | — | | | | (0.02 | ) | | | 8.91 | | | | (37.19 | ) | | | 272,588 | | | | 1.15 | (4) | | | 1.24 | | | | 0.55 | | | | 147 | |
| † | 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 and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were included, the ratio would have been lower than the ratio shown. |
| (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 (higher) than the ratio shown. |
| (3) | Amount includes Capital Gains distributions received by the Fund from the GuideStone Money Market Fund. The amount of these distributions represents less than $0.005 per share. |
| (4) | The ratio excludes the effect of expense offsets for fees paid indirectly; if expense offsets were included, the ratio would have been lower than the ratio shown. |
| | | | |
| | See Notes to Financial Statements. | | 231 |
FINANCIAL HIGHLIGHTS (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| For a Share Outstanding For the Years Ended December 31, unless otherwise indicated | | | | | | | | | Ratios to Average Net Assets | | | | |
| | | Net Asset
Value,
Beginning
of Year | | | Net
Invest- ment
Income | | | Realized and Unrealized Gain (Loss) on
Investm- ents | | | Dividends from Net Investment
Income | | | Distribu- tions from Net Realized Capital
Gains | | | Excess Distribu- tion/ Return
of
Capital | | | Net
Asset Value, End of
Year | | | Total
Return | | | Net Assets, End of Year (000) | | | Expenses,
Net | | | Expenses,
Gross(1) | | | Invest- ment
Income/ (Loss),
Net(2) | | | Portfolio
Turnover
Rate | |
International Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | |
GS2 Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 2012 | | $ | 8.67 | | | $ | 0.18 | # | | $ | 1.33 | (3) | | $ | (0.22 | ) | | $ | — | | | $ | — | | | $ | 9.96 | | | | 17.43 | % | | $ | 270,130 | | | | 0.95 | %(4) | | | 1.32 | % | | | 1.89 | % | | | 53 | % |
| 2011 | | | 10.35 | | | | 0.22 | # | | | (1.66) | (3) | | | (0.24 | ) | | | — | | | | — | | | | 8.67 | | | | (13.86 | ) | | | 223,677 | | | | 0.94 | (4) | | | 1.22 | | | | 2.17 | | | | 82 | |
| 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 | |
| | | | | | | | | | | |
GS4 Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 2012 | | $ | 11.33 | | | $ | 0.20 | # | | $ | 1.73 | (3) | | $ | (0.19 | ) | | $ | — | | | $ | — | | | $ | 13.07 | | | | 17.05 | % | | $ | 1,156,306 | | | | 1.19 | %(4) | | | 1.57 | % | | | 1.65 | % | | | 53 | % |
| 2011 | | | 13.43 | | | | 0.25 | # | | | (2.13) | (3) | | | (0.22 | ) | | | — | | | | — | | | | 11.33 | | | | (14.01 | ) | | | 955,305 | | | | 1.16 | (4) | | | 1.45 | | | | 1.95 | | | | 82 | |
| 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 | |
| † | 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 and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were included, the ratio would have been lower than the ratio shown. The effect of dividend expense on securities sold short increased the ratio by 0.04%, 0.08% and 0.20% for the years 2010, 2011, and 2012, respectively. |
| (2) | 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 (higher) than the ratio shown. |
| (3) | Amount includes Capital Gains distributions received by the Fund from the GuideStone Money Market Fund. The amount of these distributions represents less than $0.005 per share. |
| (4) | The ratio excludes the effect of expense offsets for fees paid indirectly; if expense offsets were included, the ratio would have been lower than the ratio shown. The ratio excludes the effect of dividend expense on securities sold short. |
| | | | |
| 232 | | See Notes to Financial Statements. | | |
NOTES TO FINANCIAL STATEMENTS
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-seven 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, MyDestination 2045 and MyDestination 2055 Funds, 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 Money Market Fund is referred to as the “Money Market Fund.” 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 Defensive Market Strategies Fund, 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 Inflation Protected Bond Fund and the Real Estate Securities Fund may also be referenced as the “Real Return Select Fund(s).” The Defensive Market Strategies Fund commenced operations as a registered investment company on September 1, 2011. The MyDestination 2055 Fund commenced operations as a registered investment company on January 1, 2012.
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 Conservative Allocation Fund, the Balanced Allocation Fund, the Growth Allocation Fund, the Aggressive Allocation Fund, 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
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securities will be determined through procedures established by or under the direction of the Board of Trustees of the Trust (the “Board of Trustees”). Non-exchange traded securities for which an over-the-counter quotation is readily available are valued at the last quoted bid price.
Debt securities, excluding asset-backed and mortgage-backed securities, are valued at the mean of the last bid and ask prices available. Asset-backed and mortgage-backed securities are generally valued at the last bid price, if available. 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 methods that take 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. (Please see Note j, “Derivative Financial Instruments” for additional information regarding the valuation of swap agreements).
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.
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The Financial Accounting Standards Board’s (“FASB”) “Fair Value Measurements and Disclosures” defines fair value as the price that a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes and requires disclosure of a fair value hierarchy, separately for each major category of assets and liabilities, that segregates fair value measurements into levels (Levels 1, 2, and 3). 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. 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; and
Debt securities, including restricted securities that are valued based on evaluated quotations received from dealers who make markets in such securities.
Valuation levels are not necessarily an indication of the risk associated with investing in those securities. Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. Transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the end of the reporting period.
In accordance with FASB “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and International Financial Reporting Standards (“IFRSs”),” management has not presented quantitative disclosures as the securities which are advisor priced or valued by the valuation committee are immaterial. Additionally, there have been no adjustments to prices received from third parties as of December 31, 2012.
A valuation hierarchy including information regarding transfers between levels and Level 3 securities, where applicable, is shown at the end of each Fund’s Schedule of Investments.
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b. Equity Linked Securities
The Defensive Market Strategies Fund invests in equity-linked securities. Equity-linked securities are hybrid financial instruments that generally combine both debt and equity characteristics into a single note form. Income received from equity linked securities will be recorded as realized gains in the Statement of Operations and may be based on the performance of an underlying equity security, an equity index, or an option position. The risks of investing in equity-linked securities include unfavorable price movements in the underlying security and the credit risk of the issuing financial institution. There may be no guarantee of a return of principal with equity linked securities and the appreciation potential may be limited. Equity-linked securities may be more volatile and less liquid than other investments held by the Fund.
c. Fixed Income Securities
The Bond Funds, Defensive Market Strategies Fund and the Small Cap Equity Fund may invest in mortgage-related and other asset-backed securities. These securities include mortgage pass-through securities, collateralized mortgage obligations, commercial mortgage-backed securities, stripped mortgage-backed securities, asset-backed securities, collateralized debt obligations and other securities that directly or indirectly represent a participation in, or are secured by and payable from, mortgage loans on real property. Mortgage-related and other asset-backed securities are interests in pools of loans or other receivables. Mortgage-related securities are created from pools of residential or commercial mortgage loans, including mortgage loans made by savings and loan institutions, mortgage bankers, commercial banks and others. Asset-backed securities are created from many types of assets, including auto loans, credit card receivables, home equity loans and student loans. These securities provide a monthly payment which consists of both interest and principal payments. Interest payments may be determined by fixed or adjustable rates. The rate of 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
236
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 year ended December 31, 2012, the Low-Duration Bond Fund and Medium-Duration Bond Fund entered into dollar roll transactions, pursuant to which they sell a mortgage-backed TBA or security and simultaneously purchase a similar, but not identical, TBA with the same issuer, rate and terms. The Funds may execute a “roll” to obtain better underlying mortgage securities or to increase yield. The Funds account for dollar roll transactions as purchases and sales, which has the effect of increasing their portfolio turnover rates. Risks associated with dollar rolls are that actual mortgages received by the Funds may be less favorable than those anticipated or that counterparties may fail to perform under the terms of the contracts.
TBA sale commitments are commitments to sell mortgage-backed securities for a fixed price at a future date. TBAs may be considered securities in themselves and involve a risk of loss if the value of the security to be sold increases prior to settlement date 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.
237
The U.S. Treasury has historically had the authority to purchase obligations of Fannie Mae and Freddie Mac (collectively, the “GSEs”). However, in 2008, due to capitalization concerns, Congress provided the U.S. Treasury with additional authority to lend the GSEs emergency funds and to purchase their stock. In September 2008, those capital concerns led the U.S. Treasury and the Federal Housing Finance Authority (“FHFA”) to announce that the GSEs had been placed in conservatorship.
Since that time, the GSEs have received significant capital support through U.S. Treasury preferred stock purchases, as well as Treasury and Federal Reserve purchases, of their mortgage backed securities (“MBS”). The FHFA and the U.S. Treasury (through its agreement to purchase GSE preferred stock) have imposed strict limits on the size of their mortgage portfolios. While the MBS purchase programs ended in 2010, the U.S. Treasury announced in December 2009 that it would continue its support for the entities’ capital as necessary to prevent a negative net worth through at least 2012. While the U.S. Treasury is committed to offset negative equity at the GSEs through its preferred stock purchases through 2012, no assurance can be given that the Federal Reserve, U.S. Treasury, or FHFA initiatives will ensure that the GSEs will remain successful in meeting their obligations with respect to the debt and MBS they issue beyond that date.
The problems faced by the GSEs, resulting in their being placed into federal conservatorship and receiving significant U.S. Government support, have sparked serious debate among federal policy makers regarding the continued role of the U.S. Government in providing liquidity for mortgage loans. The Obama Administration produced a report to Congress on February 11, 2011, outlining a proposal to wind down the GSEs by increasing their guarantee fees, reducing their conforming loan limits (the maximum amount of each loan they are authorized to purchase) and continuing progressive limits on the size of their investment portfolio. Congress is currently considering several pieces of legislation that would reform the GSEs and possibly wind down their existence, addressing portfolio limits and guarantee fees, among other issues.
Based on quarterly loss figures, in August 2011, both GSEs requested additional support from the U.S. Treasury (Fannie Mae requested $2.8 billion and Freddie Mac requested $1.5 billion, net of dividend payments to the U.S. Treasury). In November 2011, Freddie Mac also requested an additional $6 billion in aid from the U.S. Treasury. Further, when a ratings agency down graded long-term U.S. government debt in August 2011, the agency also down graded the GSEs’ bond ratings, from AAA to AA+, based on their direct reliance on the U.S. Government (although that rating did not directly relate to their MBS). The U.S. Government’s commitment to ensure that the GSEs have sufficient capital to meet their obligations is, however, unaffected by the down grade.
Serious discussions among policymakers continue, however, as to whether the GSEs should be nationalized, privatized, restructured or eliminated altogether. Fannie Mae and Freddie Mac also are the subject to several continuing legal actions and investigations over certain accounting, disclosure or corporate governance matters, which (along with any resulting financial restatements) may continue to have an adverse effect on the guaranteeing entities. Importantly, the future of the GSEs is in serious question as the U.S. Government considers multiple options.
d.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
238
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.
e. Loan Agreements
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.
f. 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.
g. 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.
h. Repurchase Agreements
Each Fund may agree to purchase securities from financial institutions subject to the seller’s agreement to repurchase them at a mutually agreed upon date and price. It is the Fund’s policy that repurchase agreements are fully collateralized by U.S. Treasury and Government Agency securities. All collateral is held by the Fund’s custodian bank or a bank with which the custodian bank has entered into a subcustodian agreement, or is segregated in the Federal Reserve Book Entry System. In connection with transactions in repurchase agreements, if the seller defaults and the value of the collateral declines, or if the seller enters an insolvency proceeding, realization of the collateral by the Fund may be delayed or limited.
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i. 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 and Medium-Duration Bond Funds will occasionally enter into a short sale to initiate a dollar roll transaction. The Defensive Market Strategies Fund may establish short positions in stocks of companies with a market value of up to 30% of the Fund’s assets. 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 December 31, 2012, the value of securities sold short in the Defensive Market Strategies and International Equity Fund amounted to $47,420,021 and $80,191,700, respectively.
j. Derivative Financial Instruments
The Funds may engage in various portfolio strategies to seek to increase its return by hedging its portfolio against adverse movements in the equity, debt and currency markets. Losses may arise due to changes in the value of the contract if the counterparty does not perform under the contract. The Funds, in their normal course of business, may enter into contracts that contain a variety of representations and warranties and which provide general indemnifications. The Funds’ exposure may include future claims that may be made against the Funds that have not yet occurred.
Financial Futures Contracts — The Funds (except the Money Market Fund) may purchase or sell financial futures contracts and the options on such futures contracts for the purpose of hedging risk on existing securities, demonstrating purchase of securities or gaining market exposure on cash balances. Financial futures contracts are contracts for the delivery of securities at a specified future date at an agreed upon price or yield. Upon entering into a contract, the Funds deposit and maintain as collateral such initial margin as required by the exchange on which the transaction is effected.
Pursuant to the contract, the Funds agree to pay to or receive from the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such payments or receipts are known as variation margin and are recorded by the Funds as unrealized gains or losses until the contract is closed or settled.
Risks of entering into futures contracts include the possibility that there will be an imperfect price correlation between the futures and the underlying securities. Second, it is possible that a lack of liquidity for futures contracts could exist in the secondary market, resulting in an inability to close a futures position prior to its maturity date. Third, the purchase of a futures contract involves the risk that a Fund could lose more than the original margin deposit required to initiate a futures transaction. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed on the Statements of Assets and Liabilities.
Foreign Currency Options and Futures — The Bond Funds, Defensive Market Strategies Fund, Small Cap Equity Fund and International Equity Fund 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
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recorded as an unrealized gain or loss. When the contract is closed, a realized gain or loss is recorded equal to the difference between the opening value and the closing value of the contract. These contracts may involve market risk in excess of the unrealized gain or loss reflected on the Statements of Assets and Liabilities. The Funds could be exposed to risk if the counterparties to the contracts are unable to meet the terms of the contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
Options — Certain Funds are authorized to write and purchase put and call options. The risk in writing a call option is that the Funds give up the opportunity for profit if the market price of the security increases. The risk in writing a put option is that the Funds may incur a loss if the market price of the security decreases and the option is exercised. The risk in purchasing an option is that the Funds pay a premium whether or not the option is exercised. The Funds also have the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. The Funds also may write over-the-counter options where completing the obligation depends upon the credit standing of the other party and that party’s ability to perform. Option contracts also involve the risk that they may not work as intended due to unanticipated developments in market conditions or other causes.
Options purchased are recorded as an asset, and written options are recorded as liabilities to the extent of premiums paid or received. Each Fund will realize a gain or loss when the option transaction expires or closes. When an option is exercised, the proceeds on sales for a written call option, the purchase cost for a written put option or the cost of a security for a purchased put or call option is adjusted by the amount of the premium received or paid.
When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and subsequently marked to market to reflect the current value of the option written. These liabilities are reflected as written options outstanding on the Statements of Assets and Liabilities.
Certain Funds may write swaption contracts to manage exposure to fluctuations in interest rates and to enhance portfolio yield. Swaption contracts written by the Funds represent an option that gives the purchaser the right, but not the obligation, to enter into a previously agreed upon swap contract on a future date. If a written call swaption is exercised, the writer will enter a swap and is obligated to pay the fixed-rate and receive a floating rate in exchange. If a written put swaption is exercised, the writer will enter a swap and is obligated to pay the floating rate and receive a fixed rate in exchange. Swaptions are marked-to-market daily based upon quotations from market makers. When a Fund writes a swaption, the premium received is recorded as a liability and is subsequently adjusted to the current market value of the swaption. Entering into a swaption contract involves, to varying degrees, the elements of credit, market and interest rate risk in excess of the associated option and swap contract amounts reported in the Statement of Assets and Liabilities. The Funds bear the market risk arising from any change in index values or interest rates.
Swap Agreements — Each Select Fund, 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
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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, generally based upon recommendations provided by the Fund’s sub-adviser. Payments received or made at the beginning of the measurement period are reflected as such on the Statements of Assets and Liabilities and represent payments made or received upon entering into the swap agreement to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors). These upfront payments are recorded as realized gains or losses on the Statements of Operations upon termination or maturity of the swap. A liquidation payment received or made at the termination of the swap is recorded as realized gain or loss on the Statements of Operations. Net periodic payments received or paid by a Fund are included as part of realized gains or losses on the Statements of Operations.
Certain of the Fund’s derivative agreements contain provisions that require the Fund to maintain a predetermined level of net assets, and/or provide limits regarding the decline of the Fund’s NAV over one-month, three-month and 12-month periods. If a 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 year ended December 31, 2012, all of the Funds maintained the required level of net assets and/or the NAV of the Fund did not decline below the limits set forth in the derivative agreements.
Entering into these agreements involves, to varying degrees, elements of credit, market and documentation risk in excess of the amounts recognized on the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of contractual terms in the agreements and that there may be unfavorable changes in interest rates.
Credit Default Swaps — Credit default swap agreements involve one party making a stream of payments (referred to as the buyer of protection) to another party (the seller of protection) in exchange for the right to receive a specified return in the event of a default or other credit event for the referenced entity, obligation or index. As a seller of protection on credit default swap agreements, a Fund will generally receive from the buyer of protection a fixed rate of income throughout the 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
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fair value of the swap may be partially offset by upfront payments received by the Fund as a seller of protection if applicable. The change in value is recorded within unrealized appreciation (depreciation) until the occurrence of a credit event or the termination of the swap, at which time a realized gain (loss) is recorded.
If a Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. If a Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Recovery values are assumed by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.
Credit default swap agreements on corporate issues or sovereign issues of an emerging country involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a default or other credit event. If a credit event occurs and cash settlement is not elected, a variety of other deliverable obligations may be delivered in lieu of the specific referenced obligation. The ability to deliver other obligations may result in a cheapest-to-deliver option (the buyer of protection’s right to choose the deliverable obligation with the lowest value following a credit event). A Fund may use credit default swaps on corporate issues or sovereign issues of an emerging country to provide a measure of protection against defaults of the issuers (i.e., to reduce risk where a Fund owns or has exposure to the referenced obligation) or to take an active long or short position with respect to the likelihood of a particular issuer’s default.
Credit default swap agreements on asset-backed securities involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a default or other credit event. Unlike credit default swaps on corporate issues or sovereign issues of an emerging country, deliverable obligations in most instances would be 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
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securities, high yield securities, asset-backed securities, emerging markets, and/or various credit ratings within each sector. Credit indices are traded using credit default swaps with standardized terms including a fixed spread and standard maturity dates. An index credit default swap references all the names in the index, and if there is a default, the credit event is settled based on that name’s weight in the index. The composition of the indices changes periodically, usually every six months, and for most indices, each name has an equal weight in the index. A Fund may use credit default swaps on credit indices to hedge a portfolio of credit default swaps or bonds with a credit default swap on indices which is less expensive than it would be to buy many credit default swaps to achieve a similar effect. Credit-default swaps on indices are benchmarks for protecting investors owning bonds against default, and traders use them to speculate on changes in credit quality.
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues or sovereign issues of an emerging country as of period end are disclosed in the footnotes to the Schedules of Investments and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. For credit default swap agreements on asset-backed securities and credit indices, the quoted market prices and resulting values serve as the indicator of the current status of the payment/performance risk. Wider credit spreads and increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
The maximum potential amount of future payments (undiscounted) that a Fund as a seller of protection could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by a Fund for the same referenced entity or entities.
Credit default swaps involve greater risks than if the Funds had invested in the referenced obligation directly. In addition to general market risks, credit default swaps are subject to liquidity risk and counterparty credit risk. The Funds enter into credit default swaps with counterparties meeting defined criteria for financial strength. A buyer also may lose its investment and recover nothing should a credit event not occur. If a credit event did occur, the value of the referenced obligation received by the seller, coupled with the periodic payments previously received, may be less than the full notional value it pays to the buyer, resulting in a loss of value.
Exchange Traded Swap Agreements — Exchange traded swaps are either interest rate or credit default swap agreements brokered by the Chicago Mercantile Exchange (the “CME”) where the CME is the counterparty to both the buyer and seller of protection. Exchange traded swaps involve a lesser degree of risk because the CME, as counterparty, monitors risk factors for the involved parties. Exchange traded swaps are subject to general market risks and to liquidity risk. Pursuant to the agreement, 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 (the “Margin”) and daily interest on the margin. In the case of exchange traded interest rate swaps, the daily settlement also includes the daily portion of interest. Such payments are recorded by the Funds as unrealized gains or losses until the contract is closed or settled.
Exchange traded swaps require no payments at the beginning of the measurement period nor are there liquidation payments at the termination of the swap.
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
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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 are based on the price of a commodity and in return a Fund receives either fixed or determined by floating price or rate. One party would receive payments based on the market value of the commodity involved and pay a fixed amount. Total return swap agreements on indices involve commitments to pay interest in exchange for a market-linked return. One counterparty pays out the total return of a specific reference asset, which may be an equity, index, or bond, and in return receives a regular stream of payments. To the extent the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, a Fund will receive a payment from or make a payment to the counterparty.
FASB “Derivatives and Hedging” includes required disclosure for (i) the nature and terms of the derivative, reasons for entering into the derivative, the events or circumstances that would require the seller to perform under the derivative, and the current status of the payment/performance risk of the derivative, (ii) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the derivative, (iii) the fair value of the derivative, and (iv) the nature of any recourse provisions and assets held either as collateral or by third parties. FASB “Guarantees” require additional disclosures about the current status of the payment/performance risk of a guarantee. All of this information has been incorporated for the current period as part of the Schedules of Investments within the Swap agreements outstanding disclosure and in the Notes to Financial Statements.
As of December 31, 2012, the Low-Duration Bond Fund and the Medium-Duration Bond Fund are the buyers (“receiving protection”) on a total notional amount of $35,978,864 and $42,232,000, respectively, and the sellers (“providing protection”) on a total notional amount of $1,900,000 and $25,000,000, respectively. 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 was to occur. Those credit default swaps for which the Funds are providing protection at balance sheet date are summarized as follows:
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| | | | | | | | | | | | | | | | | | | | |
| Written Credit Derivative Contracts | | Single Name
Credit Default Swaps | | | Credit Default
Swap Index | | | | |
| Reference Asset | | Corporate
Debt | | | Sovereign
Debt | | | Asset-Backed
Securities | | | Corporate
Debt | | | Total | |
| Low-Duration Bond Fund | | | | | | | | | | | | | | | | | | | | |
| Fair value of written credit derivatives | | $ | (13,544 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | (13,544 | ) |
| Maximum potential amount of future payments | | | 1,900,000 | | | | — | | | | — | | | | — | | | | 1,900,000 | |
| Recourse provisions with third parties to recover any amounts paid under the credit derivative (including any purchased credit protection) | | | — | | | | — | | | | — | | | | — | | | | — | |
| Collateral held by the Funds or other third parties which the Funds can obtain upon occurrence of triggering event | | | — | | | | — | | | | — | | | | — | | | | — | |
| Medium-Duration Bond Fund | | | | | | | | | | | | | | | | | | | | |
| Fair value of written credit derivatives | | $ | 220,460 | | | $ | 6,892 | | | $ | 147,775 | | | $ | — | | | $ | 375,127 | |
| Maximum potential amount of future payments | | | 5,000,000 | | | | 1,000,000 | | | | 19,000,000 | | | | — | | | | 25,000,000 | |
| 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 underlying (in basis points) | | 0-6
Months | | | 6-12
Months | | | 1-5
Years | | | 5-10
Years | | | More
Than
10 Years | | | Total | |
Low-Duration Bond Fund | | | | | | | | | | | | | | | | | | | | | | | | |
0 - 100 | | $ | — | | | $ | 700,000 | | | $ | — | | | $ | — | | | $ | — | | | $ | 700,000 | |
101 - 250 | | | — | | | | — | | | | 1,200,000 | | | | — | | | | — | | | | 1,200,000 | |
251 - 500 | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
501 - 1,000 | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Greater than 1,000 | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | — | | | $ | 700,000 | | | $ | 1,200,000 | | | $ | — | | | $ | — | | | $ | 1,900,000 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Medium-Duration Bond Fund | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
0 - 100 | | $ | — | | | $ | 900,000 | | | $ | 20,000,000 | | | $ | — | | | $ | — | | | $ | 20,900,000 | |
101 - 250 | | | — | | | | — | | | | 4,100,000 | | | | — | | | | — | | | | 4,100,000 | |
251 - 500 | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
501 - 1,000 | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Greater than 1,000 | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | — | | | $ | 900,000 | | | $ | 24,100,000 | | | $ | — | | | $ | — | | | $ | 25,000,000 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
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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 | | Options written at value |
| | Receivables: Variation margin* | | Payables: Variation margin* |
| | Unrealized appreciation on swap agreements | | Unrealized depreciation on swap agreements |
| Foreign exchange contracts | | Investments in securities of unaffiliated issuers, at value | | Options written at value |
| | Receivables: Variation margin* | | Payables: Variation margin* |
| | 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 | | Investments in securities of unaffiliated issuers, at value | | Options written at value |
| | 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 and exchange traded swap contracts. The variation margin presented below is the cumulative change in unrealized appreciation (depreciation) from the date the contract was opened until December 31, 2012.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Asset Derivative Value |
| Fund | | Total Value
at
12/31/12 | | Interest Rate
Contracts | | Foreign Exchange
Contracts | | Credit
Contracts | | Equity
Contracts |
MyDestination 2005
Futures | | | $ | 6,912 | | | | $ | 688 | | | | $ | — | | | | $ | — | | | | $ | 6,224 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
MyDestination 2015
Futures | | | $ | 16,379 | | | | $ | (7,274 | ) | | | $ | — | | | | $ | — | | | | $ | 23,653 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
MyDestination 2025
Futures | | | $ | 27,352 | | | | $ | (4,109 | ) | | | $ | — | | | | $ | — | | | | $ | 31,461 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
MyDestination 2035
Futures | | | $ | 19,438 | | | | $ | (2,164 | ) | | | $ | — | | | | $ | — | | | | $ | 21,602 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
MyDestination 2045
Futures | | | $ | 14,538 | | | | $ | (578 | ) | | | $ | — | | | | $ | — | | | | $ | 15,116 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Conservative Allocation
Futures | | | $ | 11,733 | | | | $ | 281 | | | | $ | — | | | | $ | — | | | | $ | 11,452 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Balanced Allocation
Futures | | | $ | 70,305 | | | | $ | (37,310 | ) | | | $ | — | | | | $ | — | | | | $ | 107,615 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Growth Allocation
Futures | | | $ | 102,530 | | | | $ | (16,442 | ) | | | $ | — | | | | $ | — | | | | $ | 118,972 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Aggressive Allocation
Futures | | | $ | 102,325 | | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | 102,325 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Conservative Allocation I
Futures | | | $ | 1,455 | | | | $ | 65 | | | | $ | — | | | | $ | — | | | | $ | 1,390 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Balanced Allocation I
Futures | | | $ | 13,670 | | | | $ | (4,303 | ) | | | $ | — | | | | $ | — | | | | $ | 17,973 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
247
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Asset Derivative Value |
| Fund | | Total Value
at
12/31/12 | | Interest Rate
Contracts | | Foreign Exchange
Contracts | | Credit
Contracts | | Equity
Contracts |
Growth Allocation I
Futures | | | $ | 20,636 | | | | $ | (2,773 | ) | | | $ | — | | | | $ | — | | | | $ | 23,409 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Aggressive Allocation I
Futures | | | $ | 17,731 | | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | 17,731 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Low-Duration Bond
Forwards | | | $ | 325,179 | | | | $ | — | | | | $ | 325,179 | | | | $ | — | | | | $ | — | |
Futures | | | | 23,922 | | | | | 23,922 | | | | | — | | | | | — | | | | | — | |
Purchased Options | | | | 143,757 | | | | | 143,757 | | | | | — | | | | | — | | | | | — | |
Swaps | | | | 2,530,446 | | | | | 1,367,235 | | | | | — | | | | | 1,163,211 | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Totals | | | $ | 3,023,304 | | | | $ | 1,534,914 | | | | $ | 325,179 | | | | $ | 1,163,211 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Medium-Duration Bond
Forwards | | | $ | 677,386 | | | | $ | — | | | | $ | 677,386 | | | | $ | — | | | | $ | — | |
Futures | | | | (233,888 | ) | | | | (233,888 | ) | | | | — | | | | | — | | | | | — | |
Purchased Options | | | | 195,600 | | | | | 195,600 | | | | | — | | | | | — | | | | | — | |
Swaps | | | | 3,967,359 | | | | | 3,445,066 | | | | | — | | | | | 522,293 | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Totals | | | $ | 4,606,457 | | | | $ | 3,406,778 | | | | $ | 677,386 | | | | $ | 522,293 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Inflation Protected Bond
Futures | | | $ | (79,817 | ) | | | $ | (79,817 | ) | | | $ | — | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Global Bond Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
Forwards | | | $ | 189,231 | | | | $ | — | | | | $ | 189,231 | | | | $ | — | | | | $ | — | |
Purchased Options | | | | 251,360 | | | | | — | | | | | 251,360 | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 440,591 | | | | $ | — | | | | $ | 440,591 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Defensive Market Strategies
Forwards | | | $ | 22,106 | | | | $ | — | | | | $ | 22,106 | | | | $ | — | | | | $ | — | |
Futures | | | | 106,850 | | | | | — | | | | | — | | | | | — | | | | | 106,850 | |
Purchased Options | | | | 11,115 | | | | | — | | | | | — | | | | | — | | | | | 11,115 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 140,071 | | | | $ | — | | | | $ | 22,106 | | | | $ | — | | | | $ | 117,965 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Equity Index | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures | | | $ | 36,495 | | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | 36,495 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Real Estate Securities | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures | | | $ | 90,761 | | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | 90,761 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Value Equity | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures | | | $ | 105,463 | | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | 105,463 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Growth Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures | | | $ | 166,024 | | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | 166,024 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Small Cap Equity
Forwards | | | $ | 36,471 | | | | $ | — | | | | $ | 36,471 | | | | $ | — | | | | $ | — | |
Futures | | | | 1,083,362 | | | | | (905 | ) | | | | — | | | | | — | | | | | 1,084,267 | |
Purchased Options | | | | 7,203 | | | | | 7,203 | | | | | — | | | | | — | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 1,127,036 | | | | $ | 6,298 | | | | $ | 36,471 | | | | $ | — | | | | $ | 1,084,267 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
248
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Asset Derivative Value |
| Fund | | Total Value
at
12/31/12 | | Interest Rate
Contracts | | Foreign Exchange
Contracts | | Credit
Contracts | | Equity
Contracts |
International Equity
Forwards | | | $ | 5,064,210 | | | | $ | — | | | | $ | 5,064,210 | | | | $ | — | | | | $ | — | |
Futures | | | | 2,142,852 | | | | | — | | | | | (233,840 | ) | | | | — | | | | | 2,376,692 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 7,207,062 | | | | $ | — | | | | $ | 4,830,370 | | | | $ | — | | | | $ | 2,376,692 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | | Liability Derivative Value |
| Fund | | Total Value
at
12/31/12 | | Interest Rate
Contracts | | Foreign Exchange
Contracts | | Credit
Contracts | | Equity
Contracts |
Low-Duration Bond
Forwards | | | $ | 1,882,225 | | | | $ | — | | | | $ | 1,882,225 | | | | $ | — | | | | $ | — | |
Futures | | | | (88,042 | ) | | | | (88,042 | ) | | | | — | | | | | — | | | | | — | |
Written Options | | | | 473,915 | | | | | 473,915 | | | | | — | | | | | — | | | | | — | |
Swaps | | | | 196,163 | | | | | 42,949 | | | | | — | | | | | 153,214 | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Totals | | | $ | 2,464,261 | | | | $ | 428,822 | | | | $ | 1,882,225 | | | | $ | 153,214 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Medium-Duration Bond
Forwards | | | $ | 2,223,195 | | | | $ | — | | | | $ | 2,223,195 | | | | $ | — | | | | $ | — | |
Futures | | | | (280,231 | ) | | | | (280,231 | ) | | | | — | | | | | — | | | | | — | |
Written Options | | | | 567,726 | | | | | 567,726 | | | | | — | | | | | — | | | | | — | |
Swaps | | | | 756,063 | | | | | 238,962 | | | | | — | | | | | 517,101 | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Totals | | | $ | 3,266,753 | | | | $ | 526,457 | | | | $ | 2,223,195 | | | | $ | 517,101 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Inflation Protected Bond
Futures | | | $ | (202,063 | ) | | | $ | (202,063 | ) | | | $ | — | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Global Bond | | | | | | | | | | | | | | | | | | | | | | | | | |
Forwards | | | $ | 1,395,343 | | | | $ | — | | | | $ | 1,395,343 | | | | $ | — | | | | $ | — | |
Futures | | | | (74,491 | ) | | | | (74,491 | ) | | | | — | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Totals | | | $ | 1,320,852 | | | | $ | (74,491 | ) | | | $ | 1,395,343 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Defensive Market Strategies
Forwards | | | $ | 6,086 | | | | $ | — | | | | $ | 6,086 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Totals | | | $ | 6,086 | | | | $ | — | | | | $ | 6,086 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Small Cap Equity
Forwards | | | $ | 58,167 | | | | $ | — | | | | $ | 58,167 | | | | $ | — | | | | $ | — | |
Futures | | | | (99,898 | ) | | | | (99,898 | ) | | | | — | | | | | — | | | | | — | |
Written Options | | | | 4,406 | | | | | 4,406 | | | | | — | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Totals | | | $ | (37,325 | ) | | | $ | (95,492 | ) | | | $ | 58,167 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
International Equity
Forwards | | | $ | 1,167,388 | | | | $ | — | | | | $ | 1,167,388 | | | | $ | — | | | | $ | — | |
Futures | | | | 709,703 | | | | | — | | | | | — | | | | | — | | | | | 709,703 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Totals | | | $ | 1,877,091 | | | | $ | — | | | | $ | 1,167,388 | | | | $ | — | | | | $ | 709,703 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
249
| | |
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 realized gain (loss) from: Option contracts written |
| | Net realized gain (loss) from: Option contracts purchased |
| | Net realized gain (loss) from: Futures transactions |
| | Net change in unrealized appreciation (depreciation) on: Foreign currency translations |
| | Net change in unrealized appreciation (depreciation) on: Option contracts purchased |
| | Net change in unrealized appreciation (depreciation) on: Option contracts written |
| | Net change in unrealized appreciation (depreciation) on: Futures |
| Credit contracts | | Net realized gain (loss) from: Swap agreements |
| | Net change in unrealized appreciation (depreciation) on: Swap agreements |
| Equity contracts | | Net realized gain (loss) from: Futures transactions |
| | 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: Option contracts written |
| | Net change in unrealized appreciation (depreciation) on: Option contracts purchased |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Realized Gain (Loss) on Derivatives Recognized in Income |
| | | Total Value
at
12/31/12 | | Interest Rate
Contracts | | Foreign Exchange
Contracts | | Credit
Contracts | | Equity
Contracts |
MyDestination 2005
Futures | | | $ | 88,115 | | | | $ | 12,917 | | | | $ | — | | | | $ | — | | | | $ | 75,198 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
MyDestination 2015
Futures | | | $ | 563,792 | | | | $ | 78,671 | | | | $ | — | | | | $ | — | | | | $ | 485,121 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
MyDestination 2025
Futures | | | $ | 589,298 | | | | $ | 70,676 | | | | $ | — | | | | $ | — | | | | $ | 518,622 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
MyDestination 2035
Futures | | | $ | 517,261 | | | | $ | 18,123 | | | | $ | — | | | | $ | — | | | | $ | 499,138 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
MyDestination 2045
Futures | | | $ | 348,975 | | | | $ | 5,042 | | | | $ | — | | | | $ | — | | | | $ | 343,933 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Conservative Allocation
Futures | | | $ | 191,591 | | | | $ | 1,779 | | | | $ | — | | | | $ | — | | | | $ | 189,812 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Balanced Allocation
Futures | | | $ | 2,557,985 | | | | $ | 365,559 | | | | $ | — | | | | $ | — | | | | $ | 2,192,426 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Growth Allocation
Futures | | | $ | 2,577,050 | | | | $ | 116,850 | | | | $ | — | | | | $ | — | | | | $ | 2,460,200 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Aggressive Allocation
Futures | | | $ | 2,731,782 | | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | 2,731,782 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
250
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Realized Gain (Loss) on Derivatives Recognized in Income |
| | | Total Value
at
12/31/12 | | Interest Rate
Contracts | | Foreign Exchange
Contracts | | Credit
Contracts | | Equity
Contracts |
Conservative Allocation I
Futures | | | $ | 39,169 | | | | $ | 253 | | | | $ | — | | | | $ | — | | | | $ | 38,916 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Balanced Allocation I
Futures | | | $ | 657,790 | | | | $ | 62,275 | | | | $ | — | | | | $ | — | | | | $ | 595,515 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Growth Allocation I
Futures | | | $ | 521,779 | | | | $ | 22,702 | | | | $ | — | | | | $ | — | | | | $ | 499,077 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Aggressive Allocation I
Futures | | | $ | 419,325 | | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | 419,325 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Low-Duration Bond
Forwards | | | $ | 1,193,851 | | | | $ | — | | | | $ | 1,193,851 | | | | $ | — | | | | $ | — | |
Futures | | | | (397,974 | ) | | | | (397,974 | ) | | | | — | | | | | — | | | | | — | |
Purchased Options | | | | (88,529 | ) | | | | 4,959 | | | | | (93,488 | ) | | | | — | | | | | — | |
Swaps | | | | 233,263 | | | | | 332,226 | | | | | — | | | | | (98,963 | ) | | | | — | |
Written Options | | | | 103,021 | | | | | 42,365 | | | | | 60,656 | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Totals | | | $ | 1,043,632 | | | | $ | (18,424 | ) | | | $ | 1,161,019 | | | | $ | (98,963 | ) | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Medium-Duration Bond
Forwards | | | $ | (474,090 | ) | | | $ | — | | | | $ | (474,090 | ) | | | $ | — | | | | $ | — | |
Futures | | | | 62,384 | | | | | 62,384 | | | | | — | | | | | — | | | | | — | |
Purchased Options | | | | (230,457 | ) | | | | (230,457 | ) | | | | — | | | | | — | | | | | — | |
Swaps | | | | 706,268 | | | | | 778,888 | | | | | — | | | | | (72,620 | ) | | | | — | |
Written Options | | | | 290,292 | | | | | 290,292 | | | | | — | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Totals | | | $ | 354,397 | | | | $ | 901,107 | | | | $ | (474,090 | ) | | | $ | (72,620 | ) | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Inflation Protected Bond
Futures | | | $ | 230,578 | | | | $ | 230,578 | | | | $ | — | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Global Bond | | | | | | | | | | | | | | | | | | | | | | | | | |
Forwards | | | $ | 850,291 | | | | $ | — | | | | $ | 850,291 | | | | $ | — | | | | $ | — | |
Futures | | | | (195,251 | ) | | | | (195,251 | ) | | | | — | | | | | — | | | | | — | |
Purchased Options | | | | (688 | ) | | | | (21,398 | ) | | | | 20,710 | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 654,352 | | | | $ | (216,649 | ) | | | $ | 871,001 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Defensive Market Strategies
Forwards | | | $ | (53,416 | ) | | | $ | — | | | | $ | (53,416 | ) | | | $ | — | | | | $ | — | |
Futures | | | | 1,475,895 | | | | | — | | | | | — | | | | | — | | | | | 1,475,895 | |
Purchased Options | | | | (233,287 | ) | | | | — | | | | | — | | | | | — | | | | | (233,287 | ) |
Written Options | | | | 57,049 | | | | | — | | | | | — | | | | | — | | | | | 57,049 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 1,246,241 | | | | $ | — | | | | $ | (53,416 | ) | | | $ | — | | | | $ | 1,299,657 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Equity Index
Futures | | | $ | 1,812,985 | | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | 1,812,985 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Real Estate Securities
Futures | | | $ | 945,201 | | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | 945,201 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Value Equity
Futures | | | $ | 3,722,834 | | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | 3,722,834 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Growth Equity
Futures | | | $ | 9,606,985 | | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | 9,606,985 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
251
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Realized Gain (Loss) on Derivatives Recognized in Income |
| | | Total Value
at
12/31/12 | | Interest Rate
Contracts | | Foreign Exchange
Contracts | | Credit
Contracts | | Equity
Contracts |
Small Cap Equity
Forwards | | | $ | 110,374 | | | | $ | — | | | | $ | 110,374 | | | | $ | — | | | | $ | — | |
Futures | | | | 8,533,418 | | | | | (579,664 | ) | | | | — | | | | | — | | | | | 9,113,082 | |
Purchased Options | | | | (48,153 | ) | | | | (48,153 | ) | | | | — | | | | | — | | | | | — | |
Written Options | | | | 74,243 | | | | | 74,243 | | | | | — | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 8,669,882 | | | | $ | (553,574 | ) | | | $ | 110,374 | | | | $ | — | | | | $ | 9,113,082 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
International Equity
Forwards | | | $ | 6,318,718 | | | | $ | — | | | | $ | 6,318,718 | | | | $ | — | | | | $ | — | |
Futures | | | | 9,533,447 | | | | | — | | | | | 1,533,570 | | | | | — | | | | | 7,999,877 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 15,852,165 | | | | $ | — | | | | $ | 7,852,288 | | | | $ | — | | | | $ | 7,999,877 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
| | | Total Value
at
12/31/12 | | Interest Rate
Contracts | | Foreign Exchange
Contracts | | Credit
Contracts | | Equity
Contracts |
MyDestination 2005
Futures | | | $ | 1,885 | | | | $ | (1,765 | ) | | | $ | — | | | | $ | — | | | | $ | 3,650 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
MyDestination 2015
Futures | | | $ | (11,188 | ) | | | $ | (22,775 | ) | | | $ | — | | | | $ | — | | | | $ | 11,587 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
MyDestination 2025
Futures | | | $ | (17,159 | ) | | | $ | (13,860 | ) | | | $ | — | | | | $ | — | | | | $ | (3,299 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
MyDestination 2035
Futures | | | $ | (6,765 | ) | | | $ | (4,117 | ) | | | $ | — | | | | $ | — | | | | $ | (2,648 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
MyDestination 2045
Futures | | | $ | 1,817 | | | | $ | (1,062 | ) | | | $ | — | | | | $ | — | | | | $ | 2,879 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Conservative Allocation
Futures | | | $ | 248 | | | | $ | (1,970 | ) | | | $ | — | | | | $ | — | | | | $ | 2,218 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Balanced Allocation
Futures | | | $ | (138,861 | ) | | | $ | (92,208 | ) | | | $ | — | | | | $ | — | | | | $ | (46,653 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Growth Allocation
Futures | | | $ | (175,018 | ) | | | $ | (29,892 | ) | | | $ | — | | | | $ | — | | | | $ | (145,126 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Aggressive Allocation
Futures | | | $ | (286,794 | ) | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | (286,794 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Conservative Allocation I
Futures | | | $ | (2,742 | ) | | | $ | 440 | | | | $ | — | | | | $ | — | | | | $ | (3,182 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Balanced Allocation I
Futures | | | $ | (96,690 | ) | | | $ | (2,287 | ) | | | $ | — | | | | $ | — | | | | $ | (94,403 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Growth Allocation I
Futures | | | $ | (74,714 | ) | | | $ | (1,820 | ) | | | $ | — | | | | $ | — | | | | $ | (72,894 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Aggressive Allocation I
Futures | | | $ | (61,412 | ) | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | (61,412 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
252
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
| | | Total Value
at
12/31/12 | | Interest Rate
Contracts | | Foreign Exchange
Contracts | | Credit
Contracts | | Equity
Contracts |
Low-Duration Bond
Forwards | | | $ | (2,474,560 | ) | | | $ | — | | | | $ | (2,474,560 | ) | | | $ | — | | | | $ | — | |
Futures | | | | 71,844 | | | | | 71,844 | | | | | — | | | | | — | | | | | — | |
Purchased Options | | | | (7,689 | ) | | | | (7,689 | ) | | | | — | | | | | — | | | | | — | |
Swaps | | | | (566,573 | ) | | | | 603,887 | | | | | — | | | | | (1,170,460 | ) | | | | — | |
Written Options | | | | 79,735 | | | | | 79,735 | | | | | — | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Totals | | | $ | (2,897,243 | ) | | | $ | 747,777 | | | | $ | (2,474,560 | ) | | | $ | (1,170,460 | ) | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Medium-Duration Bond
Forwards | | | $ | (1,006,315 | ) | | | $ | — | | | | $ | (1,006,315 | ) | | | $ | — | | | | $ | — | |
Futures | | | | (111,957 | ) | | | | (111,957 | ) | | | | — | | | | | — | | | | | — | |
Purchased Options | | | | (34,152 | ) | | | | (34,152 | ) | | | | — | | | | | — | | | | | — | |
Swaps | | | | 1,391,357 | | | | | 1,506,975 | | | | | — | | | | | (115,618 | ) | | | | — | |
Written Options | | | | 86,340 | | | | | 86,340 | | | | | — | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Totals | | | $ | 325,273 | | | | $ | 1,447,206 | | | | $ | (1,006,315 | ) | | | $ | (115,618 | ) | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Inflation Protected Bond | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures | | | $ | 160,016 | | | | $ | 160,016 | | | | $ | — | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Global Bond
Forwards | | | $ | (2,010,489 | ) | | | $ | — | | | | $ | (2,010,489 | ) | | | $ | — | | | | $ | — | |
Futures | | | | 65,464 | | | | | 65,464 | | | | | — | | | | | — | | | | | — | |
Purchased Options | | | | 163,111 | | | | | — | | | | | 163,111 | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | (1,781,914 | ) | | | $ | 65,464 | | | | $ | (1,847,378 | ) | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Defensive Market Strategies
Forwards | | | $ | (1,875 | ) | | | $ | — | | | | $ | (1,875 | ) | | | $ | — | | | | $ | — | |
Futures | | | | (6,617 | ) | | | | — | | | | | — | | | | | — | | | | | (6,617 | ) |
Purchased Options | | | | 4,578 | | | | | — | | | | | — | | | | | — | | | | | 4,578 | |
Written Options | | | | (3,192 | ) | | | | — | | | | | — | | | | | — | | | | | (3,192 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | (7,106 | ) | | | $ | — | | | | $ | (1,875 | ) | | | $ | — | | | | $ | (5,231 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Equity Index | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures | | | $ | (218,063 | ) | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | (218,063 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Real Estate Securities | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures | | | $ | 37,141 | | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | 37,141 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Value Equity | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures | | | $ | (608,223 | ) | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | (608,223 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Growth Equity | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures | | | $ | (588,060 | ) | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | (588,060 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Small Cap Equity
Forwards | | | $ | (115,466 | ) | | | $ | — | | | | $ | (115,466 | ) | | | $ | — | | | | $ | — | |
Futures | | | | 12,383 | | | | | 71,142 | | | | | — | | | | | — | | | | | (58,759 | ) |
Purchased Options | | | | (10,514 | ) | | | | (10,514 | ) | | | | — | | | | | — | | | | | — | |
Written Options | | | | 7,090 | | | | | 7,090 | | | | | — | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | (106,507 | ) | | | $ | 67,718 | | | | $ | (115,466 | ) | | | $ | — | | | | $ | (58,759 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
International Equity
Forwards | | | $ | 3,435,683 | | | | $ | — | | | | $ | 3,435,683 | | | | $ | — | | | | $ | — | |
Futures | | | | 245,641 | | | | | — | | | | | (683,719 | ) | | | | — | | | | | 929,360 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 3,681,324 | | | | $ | — | | | | $ | 2,751,964 | | | | $ | — | | | | $ | 929,360 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
253
Volume of Derivative Transactions
The table below summarizes the average balance of derivative holdings by fund during the year ended December 31, 2012. The average balance of derivatives held is indicative of the trading volume of each Fund.
| | | | | | | | | | | | | | | | | | | | |
| | | Long Derivative Volume |
| | | Forward Foreign
Currency
Contracts
(Average Cost) | | Futures
Contracts
(Average Notional Value) | | Purchased
Option
Contracts
(Average Notional Cost) | | Swap
Contracts
(Average Notional Amount) |
MyDestination 2005 | | | $ | — | | | | $ | 1,409,822 | | | | $ | — | | | | $ | — | |
MyDestination 2015 | | | | — | | | | | 5,008,548 | | | | | — | | | | | — | |
MyDestination 2025 | | | | — | | | | | 5,427,954 | | | | | — | | | | | — | |
MyDestination 2035 | | | | — | | | | | 3,431,864 | | | | | — | | | | | — | |
MyDestination 2045 | | | | — | | | | | 2,367,071 | | | | | — | | | | | — | |
Conservative Allocation | | | | — | | | | | 4,452,883 | | | | | — | | | | | — | |
Balanced Allocation | | | | — | | | | | 24,031,897 | | | | | — | | | | | — | |
Growth Allocation | | | | — | | | | | 17,185,453 | | | | | — | | | | | — | |
Aggressive Allocation | | | | — | | | | | 15,537,242 | | | | | — | | | | | — | |
Conservative Allocation I | | | | — | | | | | 1,046,202 | | | | | — | | | | | — | |
Balanced Allocation I | | | | — | | | | | 5,598,281 | | | | | — | | | | | — | |
Growth Allocation I | | | | — | | | | | 3,639,886 | | | | | — | | | | | — | |
Aggressive Allocation I | | | | — | | | | | 2,450,284 | | | | | — | | | | | — | |
Low-Duration Bond | | | | 25,309,394 | | | | | 98,317,820 | | | | | 115,406 | | | | | 62,098,604 | |
Medium-Duration Bond | | | | 41,265,104 | | | | | 90,011,286 | | | | | 150,183 | | | | | 164,094,450 | |
Inflation Protected Bond | | | | — | | | | | 21,887,535 | | | | | — | | | | | — | |
Global Bond | | | | 36,288,149 | | | | | 1,845,318 | | | | | 51,671 | | | | | — | |
Defensive Market Strategies | | | | 729,450 | | | | | 13,273,161 | | | | | 51,049 | | | | | — | |
Equity Index | | | | — | | | | | 11,495,006 | | | | | — | | | | | — | |
Real Estate Securities | | | | — | | | | | 5,414,814 | | | | | — | | | | | — | |
Value Equity | | | | — | | | | | 24,911,888 | | | | | — | | | | | — | |
Growth Equity | | | | — | | | | | 84,187,780 | | | | | — | | | | | — | |
Small Cap Equity | | | | 564,568 | | | | | 61,898,057 | | | | | 24,628 | | | | | — | |
International Equity | | | | 213,616,900 | | | | | 170,211,951 | | | | | — | | | | | — | |
| |
| | | Short Derivative Volume |
| | | Forward Foreign
Currency
Contracts
(Average Cost) | | Futures
Contracts
(Average Notional Value) | | Written
Option
Contracts
(Average Notional Cost) | | Swap
Contracts
(Average Notional Amount) |
Low-Duration Bond | | | $ | 76,981,602 | | | | | $40,668,831 | | | | $ | 403,836 | | | | | $15,725,000 | |
Medium-Duration Bond | | | | 85,525,988 | | | | | 83,531,266 | | | | | 535,639 | | | | | 89,949,300 | |
Inflation Protected Bond | | | | — | | | | | 17,745,649 | | | | | — | | | | | — | |
Global Bond | | | | 37,314,822 | | | | | 7,608,383 | | | | | — | | | | | — | |
Defensive Market Strategies | | | | 5,532,312 | | | | | — | | | | | 16,769 | | | | | — | |
Small Cap Equity | | | | 2,001,830 | | | | | 26,384,969 | | | | | 20,996 | | | | | — | |
International Equity | | | | 226,268,781 | | | | | 38,024,550 | | | | | — | | | | | — | |
k. 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 Defensive Market Strategies Fund, 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
254
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.
l. 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.
m. 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 are computed daily based upon the net assets of each Fund. The actual advisory fees accrued and the sub-advisory fees accrued during the year ended December 31, 2012, 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% |
MyDestination 2055 | | 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% |
255
| | | | |
Fund | | Advisory Fees | | Sub-Adviser Fees |
Extended-Duration Bond | | 0.25% | | 0.22% |
Inflation Protected Bond | | 0.20% | | 0.12% |
Global Bond | | 0.21% | | 0.26% |
Defensive Market Strategies | | 0.37% | | 0.49% |
Equity Index | | 0.13% | | 0.03% |
Real Estate Securities | | 0.28% | | 0.42% |
Value Equity | | 0.40% | | 0.24% |
Growth Equity | | 0.45% | | 0.40% |
Small Cap Equity | | 0.27% | | 0.65% |
International Equity | | 0.47% | | 0.48% |
For the year ended December 31, 2012, advisory fees and waivers for each Fund were as follows:
| | | | | | | | | | | | | | | |
| | | Gross
Advisory Fee | | Waiver/
Reimbursements | | Net Advisory Fee
(Reimbursement) |
MyDestination 2005 | | | $ | 72,824 | | | | $ | (48,296 | ) | | | $ | 24,528 | |
MyDestination 2015 | | | | 320,573 | | | | | — | | | | | 320,573 | |
MyDestination 2025 | | | | 329,954 | | | | | — | | | | | 329,954 | |
MyDestination 2035 | | | | 162,068 | | | | | 26,917 | | | | | 188,985 | |
MyDestination 2045 | | | | 112,274 | | | | | (15,118 | ) | | | | 97,156 | |
MyDestination 2055 | | | | 4,535 | | | | | (95,601 | ) | | | | (91,066 | ) |
Conservative Allocation | | | | 307,693 | | | | | (119,266 | ) | | | | 188,427 | |
Balanced Allocation | | | | 1,165,414 | | | | | (117,270 | ) | | | | 1,048,144 | |
Growth Allocation | | | | 832,805 | | | | | (104,633 | ) | | | | 728,172 | |
Aggressive Allocation | | | | 716,703 | | | | | (97,258 | ) | | | | 619,445 | |
Conservative Allocation I | | | | 78,464 | | | | | (42,753 | ) | | | | 35,711 | |
Balanced Allocation I | | | | 331,854 | | | | | — | | | | | 331,854 | |
Growth Allocation I | | | | 209,359 | | | | | 2,458 | | | | | 211,817 | |
Aggressive Allocation I | | | | 137,803 | | | | | (17,895 | ) | | | | 119,908 | |
Money Market(1) | | | | 1,166,443 | | | | | — | | | | | 1,166,443 | |
Low-Duration Bond | | | | 1,020,463 | | | | | (620,273 | ) | | | | 400,190 | |
Medium-Duration Bond | | | | 1,908,010 | | | | | (904,834 | ) | | | | 1,003,176 | |
Extended-Duration Bond | | | | 1,110,858 | | | | | (109,541 | ) | | | | 1,001,317 | |
Inflation Protected Bond | | | | 357,405 | | | | | (26,120 | ) | | | | 331,285 | |
Global Bond | | | | 413,407 | | | | | (61,681 | ) | | | | 351,726 | |
Defensive Market Strategies | | | | 1,335,946 | | | | | (236,093 | ) | | | | 1,099,853 | |
Equity Index | | | | 319,203 | | | | | (237,787 | ) | | | | 81,416 | |
Real Estate Securities | | | | 489,152 | | | | | (12,368 | ) | | | | 476,784 | |
Value Equity | | | | 4,536,710 | | | | | (53,834 | ) | | | | 4,482,876 | |
Growth Equity(1) | | | | 5,488,188 | | | | | (672,416 | ) | | | | 4,815,772 | |
Small Cap Equity | | | | 1,193,115 | | | | | (228,435 | ) | | | | 964,680 | |
International Equity | | | | 6,018,441 | | | | | (2,281,757 | ) | | | | 3,736,684 | |
| (1) | The Statement of Operations “Expenses waived/reimbursed net of amount recaptured” for the Money Market Fund and the Growth Equity Fund include a shareholder servicing fee waiver and other waivers, respectively, in addition to the advisory fee waiver. |
b. Shareholder Servicing Fees
The Board of Trustees has adopted a Shareholder Service Plan for the GS4 Class of each Select Fund. Under this Plan, the GS4 Class of each Select Fund is authorized to pay fees to parties that provide services for and maintain shareholder accounts. The GS4 Class of each Select Fund is authorized to pay service fees of 0.24% of average daily net assets.
The Board of Trustees voluntarily agreed to waive shareholder servicing fees and/or reimburse expenses for the GS4 Class of the Money Market Fund to the extent necessary to maintain a minimum daily net yield of at least 0.01%. This voluntary shareholder servicing fee waiver and expense reimbursement may be changed or terminated by the Board of Trustees at any time.
256
c. Expense Limitation
GSCM has agreed, through April 30, 2013, 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:
| | | | |
Fund | | GS2 Class | | GS4 Class |
MyDestination 2005 | | N/A | | 0.20% |
MyDestination 2015 | | N/A | | 0.20% |
MyDestination 2025 | | N/A | | 0.20% |
MyDestination 2035 | | N/A | | 0.20% |
MyDestination 2045 | | N/A | | 0.20% |
MyDestination 2055 | | N/A | | 0.20% |
Conservative Allocation | | N/A | | 0.12% |
Balanced Allocation | | N/A | | 0.12% |
Growth Allocation | | N/A | | 0.12% |
Aggressive Allocation | | N/A | | 0.12% |
Conservative Allocation I | | 0.15% | | N/A |
Balanced Allocation I | | 0.15% | | N/A |
Growth Allocation I | | 0.15% | | N/A |
Aggressive Allocation I | | 0.15% | | N/A |
Money Market | | 0.20% | | 0.39% |
Low-Duration Bond | | 0.36% | | 0.57% |
Medium-Duration Bond | | 0.48% | | 0.63% |
Extended-Duration Bond | | 0.63% | | 0.75% |
Inflation Protected Bond | | N/A | | 0.67% |
Global Bond | | N/A | | 1.02% |
Defensive Market Strategies | | 0.99% | | 1.25% |
Equity Index | | 0.23% | | 0.38% |
Real Estate Securities | | N/A | | 1.29% |
Value Equity | | 0.74% | | 0.94% |
Growth Equity | | 0.88% | | 1.06% |
Small Cap Equity | | 1.12% | | 1.21% |
International Equity(1) | | 0.96% | | 1.20% |
| (1) | Expense limitation for the period May 1, 2012 to December 31, 2012. For the period January 1, 2012 to April 30, 2012, the expense limitation was 0.94% for GS2 Class and 1.18% for GS4 Class. |
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 December 31, 2012, the amounts subject to possible future reimbursement under the expense limitation agreement are as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | GS2 Class | | | | | GS4 Class | |
| | | 2010 | | | | | 2011 | | | | | 2012 | | | | | 2010 | | | | | 2011 | | | | | 2012 | |
MyDestination 2005 | | | N/A | | | | | | N/A | | | | | | N/A | | | | | $ | 37,982 | | | | | $ | 91,223 | | | | | $ | 48,296 | |
MyDestination 2015 | | | N/A | | | | | | N/A | | | | | | N/A | | | | | | N/A | | | | | | N/A | | | | | | N/A | |
MyDestination 2025 | | | N/A | | | | | | N/A | | | | | | N/A | | | | | | N/A | | | | | | N/A | | | | | | N/A | |
MyDestination 2035 | | | N/A | | | | | | N/A | | | | | | N/A | | | | | | 29,344 | | | | | | 40,727 | | | | | | N/A | |
MyDestination 2045 | | | N/A | | | | | | N/A | | | | | | N/A | | | | | | 53,661 | | | | | | 74,220 | | | | | | 15,118 | |
MyDestination 2055 | | | N/A | | | | | | N/A | | | | | | N/A | | | | | | N/A | | | | | | N/A | | | | | | 95,601 | |
257
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | GS2 Class | | | | GS4 Class |
| | | 2010 | | | | 2011 | | | | 2012 | | | | 2010 | | | | 2011 | | | | 2012 |
Conservative Allocation | | | | N/A | | | | | | | N/A | | | | | | | N/A | | | | | | $ | 85,986 | | | | | | $ | 148,927 | | | | | | $ | 119,266 | |
Balanced Allocation | | | | N/A | | | | | | | N/A | | | | | | | N/A | | | | | | | 44,858 | | | | | | | 157,363 | | | | | | | 117,270 | |
Growth Allocation | | | | N/A | | | | | | | N/A | | | | | | | N/A | | | | | | | 65,662 | | | | | | | 133,967 | | | | | | | 104,633 | |
Aggressive Allocation | | | | N/A | | | | | | | N/A | | | | | | | N/A | | | | | | | 59,666 | | | | | | | 129,580 | | | | | | | 97,258 | |
Conservative Allocation I | | | $ | 33,009 | | | | | | $ | 66,248 | | | | | | $ | 42,753 | | | | | | | N/A | | | | | | | N/A | | | | | | | N/A | |
Balanced Allocation I | | | | N/A | | | | | | | N/A | | | | | | | N/A | | | | | | | N/A | | | | | | | N/A | | | | | | | N/A | |
Growth Allocation I | | | | N/A | | | | | | | N/A | | | | | | | N/A | | | | | | | N/A | | | | | | | N/A | | | | | | | N/A | |
Aggressive Allocation I | | | | 7,100 | | | | | | | 38,072 | | | | | | | 17,895 | | | | | | | N/A | | | | | | | N/A | | | | | | | N/A | |
Money Market | | | | N/A | | | | | | | N/A | | | | | | | N/A | | | | | | | N/A | | | | | | | N/A | | | | | | | N/A | |
Low-Duration Bond | | | | 55,742 | | | | | | | 59,610 | | | | | | | 53,538 | | | | | | | 468,377 | | | | | | | 501,417 | | | | | | | 493,263 | |
Medium-Duration Bond | | | | 962 | | | | | | | 34,814 | | | | | | | 12,070 | | | | | | | 799,436 | | | | | | | 701,423 | | | | | | | 679,378 | |
Extended-Duration Bond | | | | N/A | | | | | | | N/A | | | | | | | N/A | | | | | | | 108,124 | | | | | | | 141,631 | | | | | | | 82,647 | |
Inflation Protected Bond | | | | N/A | | | | | | | N/A | | | | | | | N/A | | | | | | | N/A | | | | | | | N/A | | | | | | | N/A | |
Global Bond | | | | N/A | | | | | | | N/A | | | | | | | N/A | | | | | | | N/A | | | | | | | N/A | | | | | | | N/A | |
Defensive Market Strategies | | | | N/A | | | | | | | 8,654 | | | | | | | 46,439 | | | | | | | N/A | | | | | | | 20,289 | | | | | | | 133,940 | |
Equity Index | | | | N/A | | | | | | | 963 | | | | | | | 1,408 | | | | | | | 128,840 | | | | | | | 240,739 | | | | | | | 210,543 | |
Real Estate Securities | | | | N/A | | | | | | | N/A | | | | | | | N/A | | | | | | | N/A | | | | | | | N/A | | | | | | | N/A | |
Value Equity | | | | N/A | | | | | | | N/A | | | | | | | N/A | | | | | | | 159,664 | | | | | | | 28,595 | | | | | | | N/A | |
Growth Equity | | | | N/A | | | | | | | N/A | | | | | | | N/A | | | | | | | 1,049,330 | | | | | | | 775,619 | | | | | | | 544,115 | |
Small Cap Equity | | | | N/A | | | | | | | N/A | | | | | | | N/A | | | | | | | 188,066 | | | | | | | 232,755 | | | | | | | 186,783 | |
International Equity | | | | 483,790 | | | | | | | 494,427 | | | | | | | 388,370 | | | | | | | 2,260,849 | | | | | | | 2,083,992 | | | | | | | 1,703,913 | |
During the year ended December 31, 2012, GSCM recaptured the following amounts:
| | | | | | | | |
| | | GS2
Class | | | GS4
Class | |
MyDestination 2035 | | | N/A | | | $ | 26,917 | |
Growth Allocation I | | $ | 2,458 | | | | N/A | |
Growth Equity | | | 4,179 | | | | N/A | |
d.Brokerage Service Arrangements
The Adviser directs the sub-advisers to place a certain percentage of security trades (if feasible) 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.
| | | | | |
| | | Expenses Paid |
| | | Through Brokerage |
Fund | | Service Arrangements |
Value Equity | | | | $75,329 | |
Growth Equity | | | | 62,169 | |
Small Cap Equity | | | | 94,590 | |
International Equity | | | | 41,960 | |
e. Administrator,Transfer Agent and Distributor
For its services as Administrator, BNY Mellon Investment Servicing (US) Inc. (“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 year ended December 31, 2012, BNY Mellon received $3,645,172 in aggregate fees and expenses for services rendered under the various agreements described above.
258
Certain employees of BNY Mellon are officers of the Funds. BNY Mellon serves as Administrator and Transfer Agent of the Funds.
BNY Mellon Distributors, Inc. serves as the Underwriter and does not receive any fees in its capacity as Underwriter from GuideStone Funds. The fees are paid by GSCM.
f. Investments in Affiliates
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 December 31, 2012, 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 | | | Defensive
Market
Strategies | | | Real
Estate
Securities | | | Value
Equity | | | Growth
Equity | | | Small
Cap
Equity | | | International
Equity | |
MyDestination 2005 | | | 2.61 | % | | | 1.15 | % | | | — | | | | 5.89 | % | | | — | | | | 2.59 | % | | | 0.89 | % | | | 0.39 | % | | | 0.39 | % | | | 0.28 | % | | | 0.44 | % |
MyDestination 2015 | | | 3.52 | | | | 3.79 | | | | 2.02 | % | | | 22.09 | | | | 6.07 | % | | | 16.98 | | | | 9.92 | | | | 2.43 | | | | 2.37 | | | | 1.83 | | | | 2.79 | |
MyDestination 2025 | | | 1.00 | | | | 2.84 | | | | 3.64 | | | | 5.40 | | | | 10.28 | | | | 15.48 | | | | 12.63 | | | | 3.77 | | | | 3.81 | | | | 3.25 | | | | 4.38 | |
MyDestination 2035 | | | — | | | | 0.44 | | | | 0.79 | | | | — | | | | 5.52 | | | | — | | | | 6.79 | | | | 2.99 | | | | 3.02 | | | | 2.94 | | | | 3.48 | |
MyDestination 2045 | | | — | | | | — | | | | 0.21 | | | | — | | | | 2.85 | | | | — | | | | 6.25 | | | | 2.22 | | | | 2.26 | | | | 2.36 | | | | 2.61 | |
MyDestination 2055 | | | — | | | | — | | | | — | | | | — | | | | 0.13 | | | | — | | | | 0.32 | | | | 0.10 | | | | 0.11 | | | | 0.11 | | | | 0.12 | |
Conservative Allocation | | | 21.51 | | | | — | | | | — | | | | 23.71 | | | | — | | | | 6.01 | | | | — | | | | 1.24 | | | | 1.25 | | | | 0.80 | | | | 1.38 | |
Balanced Allocation | | | 19.33 | | | | 22.03 | | | | 15.79 | | | | — | | | | 25.28 | | | | 28.99 | | | | — | | | | 10.32 | | | | 10.32 | | | | 6.78 | | | | 11.23 | |
Growth Allocation | | | 6.67 | | | | 7.66 | | | | 5.51 | | | | — | | | | 8.88 | | | | — | | | | — | | | | 13.45 | | | | 13.44 | | | | 8.77 | | | | 14.89 | |
Aggressive Allocation | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 13.93 | | | | 14.04 | | | | 8.88 | | | | 19.09 | |
Conservative Allocation I | | | 8.43 | | | | — | | | | — | | | | 5.99 | | | | — | | | | 1.52 | | | | — | | | | 0.63 | | | | 0.53 | | | | 0.31 | | | | 0.46 | |
Balanced Allocation I | | | 8.62 | | | | 12.70 | | | | 13.25 | | | | — | | | | 7.26 | | | | 8.33 | | | | — | | | | 6.00 | | | | 4.93 | | | | 3.02 | | | | 4.24 | |
Growth Allocation I | | | 2.63 | | | | 3.92 | | | | 4.10 | | | | — | | | | 2.26 | | | | — | | | | — | | | | 6.93 | | | | 5.69 | | | | 3.47 | | | | 4.98 | |
Aggressive Allocation I | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 5.56 | | | | 4.60 | | | | 2.72 | | | | 4.94 | |
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 year ended December 31, 2012 is as follows:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Total Value
at
12/31/11 | | | Total Value
at
12/31/12 | | | Purchases | | | Sales Proceeds | | | Dividend
Income | | | Distributions
of Realized
Gains | |
MyDestination 2005 | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 1,386,612 | | | $ | 1,736,846 | | | $ | 22,980,796 | | | $ | 22,630,563 | | | $ | 146 | | | $ | 39 | |
Low-Duration Bond | | | 16,235,367 | | | | 23,178,698 | | | | 7,153,552 | | | | 664,500 | | | | 292,679 | | | | 38,684 | |
Medium-Duration Bond | | | 11,308,110 | | | | 12,957,406 | | | | 2,143,375 | | | | 1,008,500 | | | | 220,515 | | | | 174,599 | |
Inflation Protected Bond | | | 9,377,236 | | | | 11,644,573 | | | | 3,089,365 | | | | 884,000 | | | | 191,578 | | | | 363,413 | |
Global Bond | | | 52,899 | | | | — | | | | 233 | | | | 55,583 | | | | 233 | | | | — | |
Defensive Market Strategies | | | 9,038,741 | | | | 10,365,666 | | | | 1,369,497 | | | | 387,840 | | | | 141,267 | | | | 301,240 | |
Real Estate Securities | | | 1,702,039 | | | | 1,696,755 | | | | 237,150 | | | | 492,000 | | | | 23,270 | | | | — | |
Value Equity | | | 4,541,842 | | | | 5,379,933 | | | | 797,491 | | | | 684,500 | | | | 69,991 | | | | — | |
Growth Equity | | | 4,431,783 | | | | 5,320,915 | | | | 1,206,207 | | | | 715,500 | | | | 6,034 | | | | 378,674 | |
Small Cap Equity | | | 1,126,770 | | | | 1,348,977 | | | | 312,948 | | | | 199,500 | | | | 7,950 | | | | 62,498 | |
International Equity | | | 5,341,531 | | | | 6,685,711 | | | | 1,383,936 | | | | 960,300 | | | | 96,236 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 64,542,930 | | | $ | 80,315,480 | | | $ | 40,674,550 | | | $ | 28,682,786 | | | $ | 1,049,899 | | | $ | 1,319,147 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
259
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Total Value
at
12/31/11 | | | Total Value
at
12/31/12 | | | Purchases | | | Sales Proceeds | | | Dividend
Income | | | Distributions
of Realized
Gains | |
MyDestination 2015 | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 4,844,410 | | | $ | 4,696,654 | | | $ | 53,264,884 | | | $ | 53,412,641 | | | $ | 536 | | | $ | 127 | |
Low-Duration Bond | | | 21,071,512 | | | | 31,307,086 | | | | 9,861,084 | | | | 240,000 | | | | 394,466 | | | | 52,748 | |
Medium-Duration Bond | | | 32,459,757 | | | | 42,710,156 | | | | 8,854,980 | | | | 175,000 | | | | 697,910 | | | | 570,590 | |
Extended-Duration Bond | | | 11,127,277 | | | | 12,871,681 | | | | 1,020,549 | | | | 275,000 | | | | 406,848 | | | | 285,201 | |
Inflation Protected Bond | | | 31,725,979 | | | | 43,670,168 | | | | 14,138,980 | | | | 2,362,000 | | | | 699,263 | | | | 1,351,777 | |
Global Bond | | | 11,504,217 | | | | 14,129,910 | | | | 2,068,021 | | | | 265,000 | | | | 696,021 | | | | — | |
Defensive Market Strategies | | | 52,836,889 | | | | 67,882,208 | | | | 13,095,229 | | | | — | | | | 916,489 | | | | 1,968,810 | |
Real Estate Securities | | | 15,453,303 | | | | 18,965,722 | | | | 3,166,274 | | | | 2,053,000 | | | | 252,274 | | | | — | |
Value Equity | | | 27,702,598 | | | | 33,221,896 | | | | 1,585,133 | | | | 500,000 | | | | 425,133 | | | | — | |
Growth Equity | | | 26,610,921 | | | | 32,049,744 | | | | 3,602,229 | | | | 500,000 | | | | 36,342 | | | | 2,280,886 | |
Small Cap Equity | | | 7,117,321 | | | | 8,829,041 | | | | 1,043,583 | | | | — | | | | 52,030 | | | | 409,053 | |
International Equity | | | 31,421,274 | | | | 42,074,716 | | | | 6,344,285 | | | | 1,177,000 | | | | 605,635 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 273,875,458 | | | $ | 352,408,982 | | | $ | 118,045,231 | | | $ | 60,959,641 | | | $ | 5,182,947 | | | $ | 6,919,192 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
MyDestination 2025 | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 4,563,617 | | | $ | 5,298,470 | | | $ | 61,684,277 | | | $ | 60,949,424 | | | $ | 552 | | | $ | 145 | |
Low-Duration Bond | | | 3,907,553 | | | | 8,894,556 | | | | 4,847,495 | | | | — | | | | 91,758 | | | | 13,205 | |
Medium-Duration Bond | | | 22,775,602 | | | | 32,007,365 | | | | 9,350,170 | | | | 1,233,500 | | | | 501,049 | | | | 425,121 | |
Extended-Duration Bond | | | 18,932,605 | | | | 23,160,943 | | | | 4,734,337 | | | | 2,280,000 | | | | 718,455 | | | | 512,882 | |
Inflation Protected Bond | | | 5,127,095 | | | | 10,683,899 | | | | 5,787,878 | | | | 219,435 | | | | 144,393 | | | | 306,485 | |
Global Bond | | | 18,375,272 | | | | 23,945,093 | | | | 4,492,721 | | | | 275,000 | | | | 1,150,371 | | | | — | |
Defensive Market Strategies | | | 42,253,683 | | | | 61,891,535 | | | | 18,162,012 | | | | — | | | | 809,379 | | | | 1,783,103 | |
Real Estate Securities | | | 18,463,641 | | | | 24,153,755 | | | | 4,618,489 | | | | 1,830,000 | | | | 315,489 | | | | — | |
Value Equity | | | 41,020,132 | | | | 51,673,128 | | | | 3,990,454 | | | | — | | | | 640,454 | | | | — | |
Growth Equity | | | 39,763,711 | | | | 51,546,186 | | | | 8,441,841 | | | | — | | | | 58,450 | | | | 3,668,391 | |
Small Cap Equity | | | 12,987,798 | | | | 15,649,935 | | | | 1,463,293 | | | | — | | | | 92,226 | | | | 725,068 | |
International Equity | | | 49,595,383 | | | | 66,113,612 | | | | 8,584,757 | | | | 475,000 | | | | 951,657 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 277,766,092 | | | $ | 375,018,477 | | | $ | 136,157,724 | | | $ | 67,262,359 | | | $ | 5,474,233 | | | $ | 7,434,400 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
MyDestination 2035 | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 3,087,962 | | | $ | 3,762,803 | | | $ | 33,463,926 | | | $ | 32,789,085 | | | $ | 351 | | | $ | 104 | |
Medium-Duration Bond | | | 2,765,813 | | | | 4,998,964 | | | | 2,079,998 | | | | — | | | | 71,552 | | | | 63,447 | |
Extended-Duration Bond | | | 2,903,731 | | | | 5,012,252 | | | | 1,927,628 | | | | 130,000 | | | | 134,377 | | | | 104,751 | |
Global Bond | | | 8,136,904 | | | | 12,856,753 | | | | 4,317,853 | | | | 260,000 | | | | 574,173 | | | | — | |
Real Estate Securities | | | 9,369,933 | | | | 12,984,905 | | | | 3,300,878 | | | | 1,200,000 | | | | 167,603 | | | | — | |
Value Equity | | | 29,263,689 | | | | 40,888,978 | | | | 6,730,057 | | | | — | | | | 488,232 | | | | — | |
Growth Equity | | | 28,653,926 | | | | 40,865,787 | | | | 9,969,274 | | | | — | | | | 46,339 | | | | 2,879,855 | |
Small Cap Equity | | | 10,461,907 | | | | 14,154,286 | | | | 2,726,185 | | | | — | | | | 83,412 | | | | 655,773 | |
International Equity | | | 36,407,178 | | | | 52,506,416 | | | | 9,656,779 | | | | — | | | | 755,791 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 131,051,043 | | | $ | 188,031,144 | | | $ | 74,172,578 | | | $ | 34,379,085 | | | $ | 2,321,830 | | | $ | 3,703,930 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
260
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Total Value
at
12/31/11 | | | Total Value
at
12/31/12 | | | Purchases | | | Sales Proceeds | | | Dividend
Income | | | Distributions
of Realized
Gains | |
MyDestination 2045 | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 2,134,540 | | | $ | 3,135,660 | | | $ | 24,466,896 | | | $ | 23,465,776 | | | $ | 244 | | | $ | 72 | |
Extended-Duration Bond | | | 823,344 | | | | 1,326,683 | | | | 457,062 | | | | 43,500 | | | | 37,831 | | | | 28,631 | |
Global Bond | | | 4,414,133 | | | | 6,632,689 | | | | 2,002,800 | | | | 125,000 | | | | 297,300 | | | | — | |
Real Estate Securities | | | 7,964,747 | | | | 11,954,159 | | | | 3,481,359 | | | | 818,000 | | | | 151,859 | | | | — | |
Value Equity | | | 20,375,280 | | | | 30,426,322 | | | | 6,540,895 | | | | — | | | | 347,345 | | | | — | |
Growth Equity | | | 20,022,846 | | | | 30,523,562 | | | | 9,049,082 | | | | 35,500 | | | | 34,612 | | | | 2,150,940 | |
Small Cap Equity | | | 7,707,387 | | | | 11,391,795 | | | | 3,010,919 | | | | 19,500 | | | | 67,132 | | | | 527,786 | |
International Equity | | | 26,136,474 | | | | 39,397,456 | | | | 8,829,709 | | | | 370,000 | | | | 567,098 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 89,578,751 | | | $ | 134,788,326 | | | $ | 57,838,722 | | | $ | 24,877,276 | | | $ | 1,503,421 | | | $ | 2,707,429 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
MyDestination 2055 | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | — | | | $ | 140,843 | | | $ | 6,151,680 | | | $ | 6,010,837 | | | $ | 15 | | | $ | 3 | |
Global Bond | | | — | | | | 307,765 | | | | 338,737 | | | | 43,500 | | | | 12,087 | | | | — | |
Real Estate Securities | | | — | | | | 619,147 | | | | 631,049 | | | | 66,500 | | | | 7,599 | | | | — | |
Value Equity | | | — | | | | 1,424,338 | | | | 1,486,236 | | | | 183,500 | | | | 14,736 | | | | — | |
Growth Equity | | | — | | | | 1,423,806 | | | | 1,592,474 | | | | 188,500 | | | | 1,614 | | | | 99,459 | |
Small Cap Equity | | | — | | | | 540,926 | | | | 593,020 | | | | 71,500 | | | | 3,188 | | | | 24,733 | |
International Equity | | | — | | | | 1,840,197 | | | | 1,956,138 | | | | 283,500 | | | | 26,488 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | 6,297,022 | | | $ | 12,749,334 | | | $ | 6,847,837 | | | $ | 65,727 | | | $ | 124,195 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Conservative Allocation | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 6,146,479 | | | $ | 5,925,474 | | | $ | 37,072,635 | | | $ | 37,293,639 | | | $ | 502 | | | $ | 100 | |
Low-Duration Bond | | | 171,140,785 | | | | 191,140,214 | | | | 16,794,296 | | | | 1,050,000 | | | | 2,660,154 | | | | 345,532 | |
Inflation Protected Bond | | | 42,477,796 | | | | 46,875,888 | | | | 4,681,885 | | | | 590,000 | | | | 794,047 | | | | 1,493,838 | |
Defensive Market Strategies | | | 21,686,756 | | | | 24,043,313 | | | | 2,138,174 | | | | 625,000 | | | | 329,575 | | | | 699,599 | |
Value Equity | | | 15,809,176 | | | | 16,962,524 | | | | 814,685 | | | | 2,100,000 | | | | 222,685 | | | | — | |
Growth Equity | | | 15,024,688 | | | | 16,930,172 | | | | 2,158,068 | | | | 1,650,000 | | | | 19,198 | | | | 1,204,871 | |
Small Cap Equity | | | 3,594,583 | | | | 3,856,292 | | | | 678,389 | | | | 800,000 | | | | 22,725 | | | | 178,663 | |
International Equity | | | 17,324,412 | | | | 20,907,918 | | | | 2,113,954 | | | | 1,450,000 | | | | 300,954 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 293,204,675 | | | $ | 326,641,795 | | | $ | 66,452,086 | | | $ | 45,558,639 | | | $ | 4,349,840 | | | $ | 3,922,603 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Balanced Allocation | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 27,644,304 | | | $ | 25,212,869 | | | $ | 59,225,329 | | | $ | 61,656,764 | | | $ | 2,713 | | | $ | 654 | |
Low-Duration Bond | | | 158,119,436 | | | | 171,847,392 | | | | 11,559,898 | | | | 1,750,000 | | | | 2,444,218 | | | | 315,680 | |
Medium-Duration Bond | | | 224,775,387 | | | | 248,047,517 | | | | 15,946,595 | | | | 2,700,000 | | | | 4,287,018 | | | | 3,359,577 | |
Extended-Duration Bond | | | 91,687,129 | | | | 100,515,605 | | | | 10,804,248 | | | | 10,220,000 | | | | 3,265,565 | | | | 2,236,682 | |
Global Bond | | | 52,881,287 | | | | 58,885,101 | | | | 3,718,644 | | | | 1,350,000 | | | | 3,018,644 | | | | — | |
Defensive Market Strategies | | | 108,238,087 | | | | 115,930,568 | | | | 4,988,945 | | | | 1,500,000 | | | | 1,607,354 | | | | 3,381,592 | |
Value Equity | | | 130,871,501 | | | | 141,390,538 | | | | 3,343,806 | | | | 12,800,000 | | | | 1,893,806 | | | | — | |
Growth Equity | | | 126,729,193 | | | | 139,533,578 | | | | 12,088,417 | | | | 10,850,000 | | | | 158,223 | | | | 9,930,195 | |
Small Cap Equity | | | 29,331,011 | | | | 32,695,791 | | | | 1,707,487 | | | | 1,000,000 | | | | 192,678 | | | | 1,514,808 | |
International Equity | | | 146,063,033 | | | | 169,629,188 | | | | 6,491,688 | | | | 6,000,000 | | | | 2,441,688 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 1,096,340,368 | | | $ | 1,203,688,147 | | | $ | 129,875,057 | | | $ | 109,826,764 | | | $ | 19,311,907 | | | $ | 20,739,188 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
261
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Total Value
at
12/31/11 | | | Total Value
at
12/31/12 | | | Purchases | | | Sales Proceeds | | | Dividend
Income | | | Distributions
of Realized
Gains | |
Growth Allocation | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 19,900,650 | | | $ | 18,606,768 | | | $ | 56,516,742 | | | $ | 57,810,624 | | | $ | 1,804 | | | $ | — | |
Low-Duration Bond | | | 56,051,733 | | | | 59,249,861 | | | | 3,221,839 | | | | 1,400,000 | | | | 860,945 | | | | 110,893 | |
Medium-Duration Bond | | | 79,774,068 | | | | 86,256,786 | | | | 6,706,962 | | | | 3,850,000 | | | | 1,532,235 | | | | 1,174,727 | |
Extended-Duration Bond | | | 31,171,733 | | | | 35,063,972 | | | | 5,149,009 | | | | 4,075,000 | | | | 1,120,764 | | | | 778,244 | |
Global Bond | | | 18,983,314 | | | | 20,678,872 | | | | 1,064,752 | | | | 650,000 | | | | 1,064,752 | | | | — | |
Value Equity | | | 173,231,995 | | | | 184,200,559 | | | | 2,481,612 | | | | 17,550,000 | | | | 2,481,612 | | | | 488 | |
Growth Equity | | | 167,612,841 | | | | 181,742,369 | | | | 13,140,155 | | | | 14,225,000 | | | | 206,085 | | | | 12,934,070 | |
Small Cap Equity | | | 39,738,385 | | | | 42,282,215 | | | | 2,653,123 | | | | 3,750,000 | | | | 249,171 | | | | 1,958,951 | |
International Equity | | | 195,689,851 | | | | 224,959,845 | | | | 8,688,132 | | | | 10,150,000 | | | | 3,238,132 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 782,154,570 | | | $ | 853,041,247 | | | $ | 99,622,326 | | | $ | 113,460,624 | | | $ | 10,755,500 | | | $ | 16,957,373 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Aggressive Allocation | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 16,535,540 | | | $ | 14,287,922 | | | $ | 55,005,339 | | | $ | 57,252,957 | | | $ | 1,510 | | | $ | — | |
Value Equity | | | 197,124,381 | | | | 190,846,412 | | | | 2,784,140 | | | | 38,506,000 | | | | 2,784,140 | | | | 409 | |
Growth Equity | | | 192,888,334 | | | | 189,842,940 | | | | 13,725,834 | | | | 35,628,000 | | | | 215,271 | | | | 13,510,564 | |
Small Cap Equity | | | 44,228,930 | | | | 42,824,378 | | | | 2,726,436 | | | | 8,257,000 | | | | 252,366 | | | | 1,984,070 | |
International Equity | | | 225,653,215 | | | | 288,345,749 | | | | 39,048,526 | | | | 11,774,000 | | | | 4,150,526 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 676,430,400 | | | $ | 726,147,401 | | | $ | 113,290,275 | | | $ | 151,417,957 | | | $ | 7,403,813 | | | $ | 15,495,043 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Conservative Allocation I | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 859,133 | | | $ | 1,257,792 | | | $ | 13,318,152 | | | $ | 12,919,493 | | | $ | 1,130 | | | $ | 54 | |
Low-Duration Bond | | | 43,559,455 | | | | 48,270,806 | | | | 6,717,376 | | | | 2,630,000 | | | | 1,185,602 | | | | 136,333 | |
Inflation Protected Bond | | | 10,807,705 | | | | 11,841,975 | | | | 1,897,039 | | | | 944,000 | | | | 202,716 | | | | 381,323 | |
Defensive Market Strategies | | | 5,515,960 | | | | 6,076,033 | | | | 819,713 | | | | 476,000 | | | | 97,847 | | | | 177,866 | |
Value Equity | | | 4,017,696 | | | | 4,287,962 | | | | 517,992 | | | | 795,000 | | | | 133,992 | | | | — | |
Growth Equity | | | 3,819,314 | | | | 4,277,949 | | | | 942,504 | | | | 646,000 | | | | 21,655 | | | | 484,849 | |
Small Cap Equity | | | 911,766 | | | | 974,717 | | | | 242,034 | | | | 247,500 | | | | 11,895 | | | | 68,140 | |
International Equity | | | 4,406,763 | | | | 5,286,140 | | | | 844,895 | | | | 672,000 | | | | 114,895 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 73,897,792 | | | $ | 82,273,374 | | | $ | 25,299,705 | | | $ | 19,329,993 | | | $ | 1,769,732 | | | $ | 1,248,565 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Balanced Allocation I | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 7,010,111 | | | $ | 6,348,888 | | | $ | 24,380,700 | | | $ | 25,041,923 | | | $ | 6,164 | | | $ | 142 | |
Low-Duration Bond | | | 44,791,872 | | | | 49,353,157 | | | | 4,789,317 | | | | 868,000 | | | | 1,219,684 | | | | 139,633 | |
Medium-Duration Bond | | | 63,623,363 | | | | 71,271,324 | | | | 8,361,095 | | | | 1,400,000 | | | | 2,615,918 | | | | 1,904,145 | |
Extended-Duration Bond | | | 25,954,308 | | | | 28,885,176 | | | | 6,444,323 | | | | 3,023,000 | | | | 2,716,130 | | | | 1,784,193 | |
Global Bond | | | 14,982,036 | | | | 16,910,122 | | | | 1,476,015 | | | | 584,000 | | | | 864,015 | | | | — | |
Defensive Market Strategies | | | 30,655,348 | | | | 33,335,730 | | | | 2,315,774 | | | | 857,000 | | | | 537,641 | | | | 970,133 | |
Value Equity | | | 37,077,070 | | | | 40,609,639 | | | | 2,559,911 | | | | 4,078,000 | | | | 1,279,911 | | | | — | |
Growth Equity | | | 35,923,504 | | | | 40,072,993 | | | | 6,028,333 | | | | 3,395,000 | | | | 201,474 | | | | 4,510,859 | |
Small Cap Equity | | | 8,320,866 | | | | 9,389,671 | | | | 1,000,589 | | | | 425,000 | | | | 114,229 | | | | 654,360 | |
International Equity | | | 41,343,318 | | | | 48,756,549 | | | | 3,408,111 | | | | 2,364,000 | | | | 1,052,111 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 309,681,796 | | | $ | 344,933,249 | | | $ | 60,764,168 | | | $ | 42,035,923 | | | $ | 10,607,277 | | | $ | 9,963,465 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
262
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Total Value
at
12/31/11 | | | Total Value
at
12/31/12 | | | Purchases | | | Sales Proceeds | | | Dividend
Income | | | Distributions
of Realized
Gains | |
Growth Allocation I | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 3,847,733 | | | $ | 3,753,596 | | | $ | 17,898,238 | | | $ | 17,992,375 | | | $ | 3,706 | | | $ | 95 | |
Low-Duration Bond | | | 14,239,026 | | | | 15,083,811 | | | | 1,476,158 | | | | 832,000 | | | | 376,992 | | | | 43,166 | |
Medium-Duration Bond | | | 20,245,166 | | | | 21,982,444 | | | | 3,091,328 | | | | 1,586,000 | | | | 822,263 | | | | 591,066 | |
Extended-Duration Bond | | | 7,916,608 | | | | 8,929,444 | | | | 2,393,470 | | | | 1,222,000 | | | | 822,921 | | | | 551,548 | |
Global Bond | | | 4,821,627 | | | | 5,267,041 | | | | 420,333 | | | | 301,000 | | | | 268,333 | | | | — | |
Value Equity | | | 44,000,680 | | | | 46,889,255 | | | | 2,161,011 | | | | 5,155,000 | | | | 1,472,990 | | | | — | |
Growth Equity | | | 42,565,649 | | | | 46,283,021 | | | | 6,345,427 | | | | 4,414,000 | | | | 232,695 | | | | 5,236,731 | |
Small Cap Equity | | | 10,088,993 | | | | 10,770,610 | | | | 1,207,157 | | | | 1,154,000 | | | | 131,028 | | | | 754,129 | |
International Equity | | | 49,669,938 | | | | 57,287,210 | | | | 4,130,193 | | | | 4,158,000 | | | | 1,236,193 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 197,395,420 | | | $ | 216,246,432 | | | $ | 39,123,315 | | | $ | 36,814,375 | | | $ | 5,367,121 | | | $ | 7,176,735 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Aggressive Allocation I | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 2,463,786 | | | $ | 2,213,460 | | | $ | 13,106,720 | | | $ | 13,357,046 | | | $ | 2,318 | | | $ | 63 | |
Value Equity | | | 37,889,295 | | | | 37,636,761 | | | | 1,593,998 | | | | 6,906,000 | | | | 1,260,998 | | | | — | |
Growth Equity | | | 37,068,247 | | | | 37,455,347 | | | | 5,376,514 | | | | 6,927,000 | | | | 188,313 | | | | 4,216,201 | |
Small Cap Equity | | | 8,495,806 | | | | 8,456,203 | | | | 1,063,180 | | | | 1,660,000 | | | | 102,873 | | | | 589,308 | |
International Equity | | | 43,344,744 | | | | 56,916,582 | | | | 9,773,196 | | | | 2,816,000 | | | | 1,228,080 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 129,261,878 | | | $ | 142,678,353 | | | $ | 30,913,608 | | | $ | 31,666,046 | | | $ | 2,782,582 | | | $ | 4,805,572 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
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, which invests in securities that satisfy the quality requirements of Rule 2a-7 and have short maturities. At December 31, 2012, 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 | |
Low-Duration Bond | | $ | 36,327,987 | | | $ | 37,397,181 | | | $ | — | | | $ | 37,397,181 | |
Medium-Duration Bond | | | 50,308,882 | | | | 51,587,361 | | | | — | | | | 51,587,361 | |
Extended-Duration Bond | | | 33,706,223 | | | | 34,681,684 | | | | — | | | | 34,681,684 | |
Global Bond | | | 35,007,811 | | | | 36,111,093 | | | | — | | | | 36,111,093 | |
Defensive Market Strategies | | | 57,437,969 | | | | 58,145,020 | | | | 93,232 | | | | 58,238,252 | |
Equity Index | | | 19,449,940 | | | | 19,621,368 | | | | 13,595 | | | | 19,634,963 | |
Real Estate Securities | | | 35,673,196 | | | | 36,159,270 | | | | — | | | | 36,159,270 | |
Value Equity | | | 82,970,907 | | | | 83,136,798 | | | | — | | | | 83,136,798 | |
Growth Equity | | | 103,969,297 | | | | 104,150,787 | | | | 343,224 | | | | 104,494,011 | |
Small Cap Equity | | | 134,571,282 | | | | 134,832,566 | | | | 509,536 | | | | 135,342,102 | |
International Equity | | | 116,486,260 | | | | 108,425,281 | | | | 12,692,376 | | | | 121,117,657 | |
263
5. INVESTMENT TRANSACTIONS
For the year ended December 31, 2012, 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 | | | $ | 15,324,894 | | | | $ | 6,052,223 | | | | $ | — | | | | $ | — | |
MyDestination 2015 | | | | 52,678,870 | | | | | 7,547,000 | | | | | — | | | | | — | |
MyDestination 2025 | | | | 61,565,512 | | | | | 6,312,935 | | | | | — | | | | | — | |
MyDestination 2035 | | | | 34,683,348 | | | | | 1,590,000 | | | | | — | | | | | — | |
MyDestination 2045 | | | | 29,161,291 | | | | | 1,411,500 | | | | | — | | | | | — | |
MyDestination 2055 | | | | 6,407,750 | | | | | 837,000 | | | | | — | | | | | — | |
Conservative Allocation | | | | 21,107,580 | | | | | 8,265,000 | | | | | — | | | | | — | |
Balanced Allocation | | | | 30,602,000 | | | | | 48,170,000 | | | | | — | | | | | — | |
Growth Allocation | | | | 15,395,000 | | | | | 55,650,000 | | | | | — | | | | | — | |
Aggressive Allocation | | | | 35,388,000 | | | | | 94,165,000 | | | | | — | | | | | — | |
Conservative Allocation I | | | | 8,964,000 | | | | | 6,410,500 | | | | | — | | | | | — | |
Balanced Allocation I | | | | 15,819,000 | | | | | 16,994,000 | | | | | — | | | | | — | |
Growth Allocation I | | | | 8,685,000 | | | | | 18,822,000 | | | | | — | | | | | — | |
Aggressive Allocation I | | | | 10,221,000 | | | | | 18,309,000 | | | | | — | | | | | — | |
Low-Duration Bond | | | | 1,244,572,228 | | | | | 1,277,106,670 | | | | | 429,934,384 | | | | | 352,855,117 | |
Medium-Duration Bond | | | | 4,584,665,476 | | | | | 4,791,876,187 | | | | | 517,475,111 | | | | | 492,380,255 | |
Extended-Duration Bond | | | | 75,056,116 | | | | | 108,674,984 | | | | | 39,249,122 | | | | | 11,450,802 | |
Inflation Protected Bond | | | | — | | | | | — | | | | | 173,149,690 | | | | | 157,149,009 | |
Global Bond | | | | 139,310,100 | | | | | 107,177,377 | | | | | 19,355,066 | | | | | 4,220,520 | |
Defensive Market Strategies | | | | 1,131,861,746 | | | | | 1,085,758,116 | | | | | — | | | | | — | |
Equity Index | | | | 13,039,002 | | | | | 8,045,425 | | | | | — | | | | | — | |
Real Estate Securities | | | | 181,010,012 | | | | | 161,530,764 | | | | | — | | | | | — | |
Value Equity | | | | 296,082,871 | | | | | 352,773,836 | | | | | — | | | | | — | |
Growth Equity | | | | 780,404,320 | | | | | 835,340,590 | | | | | — | | | | | — | |
Small Cap Equity | | | | 519,474,881 | | | | | 542,378,041 | | | | | 23,849,808 | | | | | 21,897,804 | |
International Equity | | | | 743,400,432 | | | | | 686,262,902 | | | | | — | | | | | — | |
Financial Futures Contracts
Investments as of December 31, 2012, 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 | | | | | | | | | | | | | | | | |
MSCI EAFE Index E-Mini | | 03/2013 | | 2 | | | $ | 162,030 | | | GSC | | | $ | 1,662 | |
MSCI Emerging Markets E-Mini | | 03/2013 | | 1 | | | | 53,675 | | | GSC | | | | 1,180 | |
S&P 500® E-Mini | | 03/2013 | | 7 | | | | 497,035 | | | GSC | | | | 3,382 | |
5-Year U.S. Treasury Note | | 03/2013 | | 8 | | | | 995,312 | | | GSC | | | | 688 | |
| | | | | | | | | | | | | | | | |
| | | | | | | $ | 1,708,052 | | | | | | $ | 6,912 | |
| | | | | | | | | | | | | | | | |
264
| | | | | | | | | | | | | | | | |
Fund/Future Type | | Expiration Date | �� | Open Long
(Short) Contracts | | Notional
Market Value
of Contracts | | Counter-
party | | Net Unrealized Appreciation
(Depreciation) on Futures |
MyDestination 2015 Fund | | | | | | | | | | | | | | | | |
MSCI EAFE Index E-Mini | | 03/2013 | | 9 | | | $ | 729,135 | | | GSC | | | $ | 7,479 | |
MSCI Emerging Markets E-Mini | | 03/2013 | | 5 | | | | 268,375 | | | GSC | | | | 6,591 | |
S&P 500® E-Mini | | 03/2013 | | 24 | | | | 1,704,120 | | | GSC | | | | 9,583 | |
10-Year U.S. Treasury Note | | 03/2013 | | 13 | | | | 1,726,156 | | | GSC | | | | (7,274 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | $ | 4,427,786 | | | | | | $ | 16,379 | |
| | | | | | | | | | | | | | | | |
MyDestination 2025 Fund | | | | | | | | | | | | | | | | |
MSCI EAFE Index E-Mini | | 03/2013 | | 13 | | | $ | 1,053,195 | | | GSC | | | $ | 10,365 | |
MSCI Emerging Markets E-Mini | | 03/2013 | | 8 | | | | 429,400 | | | GSC | | | | 10,114 | |
S&P 500® E-Mini | | 03/2013 | | 38 | | | | 2,698,190 | | | GSC | | | | 10,982 | |
10-Year U.S. Treasury Note | | 03/2013 | | 12 | | | | 1,593,375 | | | GSC | | | | (4,109 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | $ | 5,774,160 | | | | | | $ | 27,352 | |
| | | | | | | | | | | | | | | | |
MyDestination 2035 Fund | | | | | | | | | | | | | | | | |
MSCI EAFE Index E-Mini | | 03/2013 | | 10 | | | $ | 810,150 | | | GSC | | | $ | 6,668 | |
MSCI Emerging Markets E-Mini | | 03/2013 | | 6 | | | | 322,050 | | | GSC | | | | 7,082 | |
S&P 500® E-Mini | | 03/2013 | | 30 | | | | 2,130,150 | | | GSC | | | | 7,852 | |
10-Year U.S. Treasury Note | | 03/2013 | | 4 | | | | 531,125 | | | GSC | | | | (2,164 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | $ | 3,793,475 | | | | | | $ | 19,438 | |
| | | | | | | | | | | | | | | | |
MyDestination 2045 Fund | | | | | | | | | | | | | | | | |
MSCI EAFE Index E-Mini | | 03/2013 | | 9 | | | $ | 729,135 | | | GSC | | | $ | 7,479 | |
MSCI Emerging Markets E-Mini | | 03/2013 | | 4 | | | | 214,700 | | | GSC | | | | 4,721 | |
S&P 500® E-Mini | | 03/2013 | | 28 | | | | 1,988,140 | | | GSC | | | | 2,916 | |
10-Year U.S. Treasury Note | | 03/2013 | | 2 | | | | 265,563 | | | GSC | | | | (578 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | $ | 3,197,538 | | | | | | $ | 14,538 | |
| | | | | | | | | | | | | | | | |
Conservative Allocation Fund | | | | | | | | | | | | | | | | |
MSCI EAFE Index E-Mini | | 03/2013 | | 4 | | | $ | 324,060 | | | GSC | | | $ | 2,630 | |
MSCI Emerging Markets E-Mini | | 03/2013 | | 2 | | | | 107,350 | | | GSC | | | | 2,361 | |
S&P 500® E-Mini | | 03/2013 | | 14 | | | | 994,070 | | | GSC | | | | 6,461 | |
2-Year U.S. Treasury Note | | 03/2013 | | 18 | | | | 3,968,438 | | | GSC | | | | 281 | |
| | | | | | | | | | | | | | | | |
| | | | | | | $ | 5,393,918 | | | | | | $ | 11,733 | |
| | | | | | | | | | | | | | | | |
Balanced Allocation Fund | | | | | | | | | | | | | | | | |
MSCI EAFE Index E-Mini | | 03/2013 | | 42 | | | $ | 3,402,630 | | | GSC | | | $ | 34,901 | |
MSCI Emerging Markets E-Mini | | 03/2013 | | 20 | | | | 1,073,500 | | | GSC | | | | 23,606 | |
S&P 500® E-Mini | | 03/2013 | | 123 | | | | 8,733,615 | | | GSC | | | | 49,108 | |
10-Year U.S. Treasury Note | | 03/2013 | | 12 | | | | 1,593,375 | | | GSC | | | | (4,852 | ) |
Long U.S. Treasury Bond | | 03/2013 | | 17 | | | | 2,507,500 | | | GSC | | | | (30,818 | ) |
5-Year U.S. Treasury Note | | 03/2013 | | 48 | | | | 5,971,875 | | | GSC | | | | (1,640 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | $ | 23,282,495 | | | | | | $ | 70,305 | |
| | | | | | | | | | | | | | | | |
Growth Allocation Fund | | | | | | | | | | | | | | | | |
MSCI EAFE Index E-Mini | | 03/2013 | | 48 | | | $ | 3,888,720 | | | GSC | | | $ | 39,887 | |
MSCI Emerging Markets E-Mini | | 03/2013 | | 21 | | | | 1,127,175 | | | GSC | | | | 24,787 | |
S&P 500® E-Mini | | 03/2013 | | 136 | | | | 9,656,680 | | | GSC | | | | 54,298 | |
10-Year U.S. Treasury Note | | 03/2013 | | 4 | | | | 531,125 | | | GSC | | | | (1,094 | ) |
Long U.S. Treasury Bond | | 03/2013 | | 7 | | | | 1,032,500 | | | GSC | | | | (13,528 | ) |
5-Year U.S. Treasury Note | | 03/2013 | | 17 | | | | 2,115,039 | | | GSC | | | | (1,820 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | $ | 18,351,239 | | | | | | $ | 102,530 | |
| | | | | | | | | | | | | | | | |
265
| | | | | | | | | | | | | | | | |
Fund/Future Type | | Expiration Date | | Open Long
(Short) Contracts | | Notional
Market Value
of Contracts | | Counter-
party | | Net Unrealized Appreciation
(Depreciation) on Futures |
Aggressive Allocation Fund | | | | | | | | | | | | | | | | |
MSCI EAFE Index E-Mini | | 03/2013 | | 56 | | | $ | 4,536,840 | | | GSC | | | $ | 39,485 | |
MSCI Emerging Markets E-Mini | | 03/2013 | | 30 | | | | 1,610,250 | | | GSC | | | | 34,698 | |
S&P 500® E-Mini | | 03/2013 | | 128 | | | | 9,088,640 | | | GSC | | | | 28,142 | |
| | | | | | | | | | | | | | | | |
| | | | | | | $ | 15,235,730 | | | | | | $ | 102,325 | |
| | | | | | | | | | | | | | | | |
Conservative Allocation Fund I | | | | | | | | | | | | | | | | |
MSCI EAFE Index E-Mini | | 03/2013 | | 1 | | | $ | 81,015 | | | GSC | | | $ | 831 | |
S&P 500® E-Mini | | 03/2013 | | 3 | | | | 213,015 | | | GSC | | | | 559 | |
2-Year U.S. Treasury Note | | 03/2013 | | 4 | | | | 881,875 | | | GSC | | | | 65 | |
| | | | | | | | | | | | | | | | |
| | | | | | | $ | 1,175,905 | | | | | | $ | 1,455 | |
| | | | | | | | | | | | | | | | |
Balanced Allocation Fund I | | | | | | | | | | | | | | | | |
MSCI EAFE Index E-Mini | | 03/2013 | | 10 | | | $ | 810,150 | | | GSC | | | $ | 8,310 | |
MSCI Emerging Markets E-Mini | | 03/2013 | | 5 | | | | 268,375 | | | GSC | | | | 5,901 | |
S&P 500® E-Mini | | 03/2013 | | 30 | | | | 2,130,150 | | | GSC | | | | 3,762 | |
10-Year U.S. Treasury Note | | 03/2013 | | 3 | | | | 398,344 | | | GSC | | | | (820 | ) |
Long U.S. Treasury Bond | | 03/2013 | | 5 | | | | 737,500 | | | GSC | | | | (3,483 | ) |
5-Year U.S. Treasury Note | | 03/2013 | | 11 | | | | 1,368,554 | | | GSC | | | | — | |
| | | | | | | | | | | | | | | | |
| | | | | | | $ | 5,713,073 | | | | | | $ | 13,670 | |
| | | | | | | | | | | | | | | | |
Growth Allocation Fund I | | | | | | | | | | | | | | | | |
MSCI EAFE Index E-Mini | | 03/2013 | | 10 | | | $ | 810,150 | | | GSC | | | $ | 8,310 | |
MSCI Emerging Markets E-Mini | | 03/2013 | | 4 | | | | 214,700 | | | GSC | | | | 4,721 | |
S&P 500® E-Mini | | 03/2013 | | 26 | | | | 1,846,130 | | | GSC | | | | 10,378 | |
10-Year U.S. Treasury Note | | 03/2013 | | 1 | | | | 132,781 | | | GSC | | | | (274 | ) |
Long U.S. Treasury Bond | | 03/2013 | | 1 | | | | 147,500 | | | GSC | | | | (1,773 | ) |
5-Year U.S. Treasury Note | | 03/2013 | | 4 | | | | 497,656 | | | GSC | | | | (726 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | $ | 3,648,917 | | | | | | $ | 20,636 | |
| | | | | | | | | | | | | | | | |
Aggressive Allocation Fund I | | | | | | | | | | | | | | | | |
MSCI EAFE Index E-Mini | | 03/2013 | | 9 | | | $ | 729,135 | | | GSC | | | $ | 6,394 | |
MSCI Emerging Markets E-Mini | | 03/2013 | | 5 | | | | 268,375 | | | GSC | | | | 6,621 | |
S&P 500® E-Mini | | 03/2013 | | 19 | | | | 1,349,095 | | | GSC | | | | 4,716 | |
| | | | | | | | | | | | | | | | |
| | | | | | | $ | 2,346,605 | | | | | | $ | 17,731 | |
| | | | | | | | | | | | | | | | |
Low-Duration Bond Fund | | | | | | | | | | | | | | | | |
Euro-OAT | | 03/2013 | | (9) | | | $ | (1,617,529 | ) | | GSC | | | $ | (10,108 | ) |
10-Year Japanese Bond | | 03/2013 | | (5) | | | | (8,290,529 | ) | | GSC | | | | 59,956 | |
5-Year Interest Rate Swaps | | 03/2013 | | (34) | | | | (3,415,938 | ) | | CITI | | | | (9,082 | ) |
90-Day Euro | | 03/2013 | | 3 | | | | 747,750 | | | CITI | | | | 1,829 | |
10-Year U.S. Treasury Note | | 03/2013 | | (2) | | | | (265,563 | ) | | GSC | | | | 723 | |
10-Year U.S. Treasury Note | | 03/2013 | | (4) | | | | (531,125 | ) | | BAR | | | | 4,243 | |
10-Year U.S. Treasury Note | | 03/2013 | | (8) | | | | (1,062,250 | ) | | UBS | | | | 4,334 | |
10-Year U.S. Treasury Note | | 03/2013 | | (9) | | | | (1,195,031 | ) | | CS | | | | 2,378 | |
10-Year U.S. Treasury Note | | 03/2013 | | (21) | | | | (2,788,406 | ) | | CITI | | | | 5,882 | |
2-Year U.S. Treasury Note | | 03/2013 | | 201 | | | | 44,314,219 | | | UBS | | | | (1,163 | ) |
2-Year U.S. Treasury Note | | 03/2013 | | 74 | | | | 16,314,688 | | | CS | | | | 4,774 | |
2-Year U.S. Treasury Note | | 03/2013 | | 6 | | | | 1,322,812 | | | CITI | | | | 722 | |
5-Year U.S. Treasury Note | | 03/2013 | | (4) | | | | (497,656 | ) | | BAR | | | | 1,400 | |
5-Year U.S. Treasury Note | | 03/2013 | | (10) | | | | (1,244,141 | ) | | JPM | | | | 3,501 | |
5-Year U.S. Treasury Note | | 03/2013 | | (54) | | | | (6,718,359 | ) | | GSC | | | | (7,271 | ) |
5-Year U.S. Treasury Note | | 03/2013 | | (95) | | | | (11,819,336 | ) | | CITI | | | | 8,237 | |
266
| | | | | | | | | | | | | | | | | | | | | | |
Fund/Future Type | | Expiration Date | | Open Long
(Short) Contracts | | Notional
Market Value
of Contracts | | Counter-
party | | Net Unrealized Appreciation
(Depreciation) on Futures |
5-Year U.S. Treasury Note | | 03/2013 | | | | (189 | ) | | | $ | (23,514,258 | ) | | | | CS | | | | $ | 28,642 | |
90-Day Euro | | 06/2013 | | | | 4 | | | | | 996,750 | | | | | CITI | | | | | 12,376 | |
90-Day Euro | | 09/2013 | | | | 2 | | | | | 498,275 | | | | | CITI | | | | | 1,244 | |
90-Day Euro | | 12/2013 | | | | 2 | | | | | 498,125 | | | | | CITI | | | | | 1,320 | |
90-Day Euro | | 06/2014 | | | | (1 | ) | | | | (248,875 | ) | | | | CITI | | | | | (2,203 | ) |
90-Day Euro | | 09/2014 | | | | (1 | ) | | | | (248,750 | ) | | | | CITI | | | | | (2,590 | ) |
90-Day Euro | | 12/2014 | | | | 1 | | | | | 248,600 | | | | | CITI | | | | | 1,285 | |
90-Day Euro | | 03/2015 | | | | 1 | | | | | 248,450 | | | | | CITI | | | | | 1,535 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | $ | 1,731,923 | | | | | | | | | $ | 111,964 | |
| | | | | | | | | | | | | | | | | | | | | | |
Medium-Duration Bond Fund | | | | | | | | | | | | | | | | | | | | | | |
Euro-OAT | | 03/2013 | | | | (11 | ) | | | $ | (1,976,980 | ) | | | | BAR | | | | $ | 3,049 | |
10-Year U.S. Treasury Note | | 03/2013 | | | | (14 | ) | | | | (1,858,938 | ) | | | | MSCS | | | | | 4,329 | |
10-Year U.S. Treasury Note | | 03/2013 | | | | (14 | ) | | | | (1,858,938 | ) | | | | BAR | | | | | 1,486 | |
10-Year U.S. Treasury Note | | 03/2013 | | | | (154 | ) | | | | (20,448,312 | ) | | | | GSC | | | | | 91,062 | |
10-Year U.S. Treasury Note | | 03/2013 | | | | (178 | ) | | | | (23,635,062 | ) | | | | CITI | | | | | 46,883 | |
Long U.S. Treasury Bond | | 03/2013 | | | | (18 | ) | | | | (2,655,000 | ) | | | | BAR | | | | | 21,598 | |
Long U.S. Treasury Bond | | 03/2013 | | | | (24 | ) | | | | (3,540,000 | ) | | | | GSC | | | | | 57,274 | |
Long U.S. Treasury Bond | | 03/2013 | | | | (46 | ) | | | | (6,785,000 | ) | | | | CITI | | | | | 45,386 | |
Ultra Long U.S. Treasury Bond | | 03/2013 | | | | 91 | | | | | 14,796,031 | | | | | CITI | | | | | (224,794 | ) |
Ultra Long U.S. Treasury Bond | | 03/2013 | | | | 5 | | | | | 812,969 | | | | | GSC | | | | | (17,141 | ) |
2-Year U.S. Treasury Note | | 03/2013 | | | | 178 | | | | | 39,243,438 | | | | | CITI | | | | | (44 | ) |
2-Year U.S. Treasury Note | | 03/2013 | | | | (8 | ) | | | | (1,763,750 | ) | | | | MSCS | | | | | (901 | ) |
5-Year U.S. Treasury Note | | 03/2013 | | | | 484 | | | | | 60,216,406 | | | | | CITI | | | | | 2,659 | |
5-Year U.S. Treasury Note | | 03/2013 | | | | (1 | ) | | | | (124,414 | ) | | | | BAR | | | | | 12 | |
5-Year U.S. Treasury Note | | 03/2013 | | | | (50 | ) | | | | (6,220,703 | ) | | | | GSC | | | | | 369 | |
5-Year U.S. Treasury Note | | 03/2013 | | | | (61 | ) | | | | (7,589,258 | ) | | | | BAR | | | | | 18,110 | |
5-Year U.S. Treasury Note | | 03/2013 | | | | (64 | ) | | | | (7,962,500 | ) | | | | MLCS | | | | | (8,208 | ) |
90-Day Euro | | 06/2014 | | | | 94 | | | | | 23,394,250 | | | | | GSC | | | | | 5,432 | |
90-Day Euro | | 06/2015 | | | | (94 | ) | | | | (23,337,850 | ) | | | | GSC | | | | | (218 | ) |
| | | | | | | | | | $ | 28,706,389 | | | | | | | | | $ | 46,343 | |
Inflation Protected Bond Fund | | | | | | | | | | | | | | | | | | | | | | |
10-Year U.S. Treasury Note | | 03/2013 | | | | 176 | | | | $ | 23,369,500 | | | | | UBS | | | | $ | (66,171 | ) |
Long U.S. Treasury Bond | | 03/2013 | | | | (57 | ) | | | | (8,407,500 | ) | | | | UBS | | | | | 107,024 | |
Ultra Long U.S. Treasury Bond | | 03/2013 | | | | (40 | ) | | | | (6,503,750 | ) | | | | UBS | | | | | 97,433 | |
2-Year U.S. Treasury Note | | 03/2013 | | | | (21 | ) | | | | (4,629,844 | ) | | | | UBS | | | | | (2,394 | ) |
5-Year U.S. Treasury Note | | 03/2013 | | | | 43 | | | | | 5,349,805 | | | | | UBS | | | | | (13,646 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | $ | 9,178,211 | | | | | | | | | $ | 122,246 | |
| | | | | | | | | | | | | | | | | | | | | | |
Global Bond Fund | | | | | | | | | | | | | | | | | | | | | | |
10-Year U.S. Treasury Note | | 03/2013 | | | | (12 | ) | | | $ | (1,593,375 | ) | | | | MSCS | | | | $ | 5,133 | |
10-Year U.S. Treasury Note | | 03/2013 | | | | (24 | ) | | | | (3,186,750 | ) | | | | BAR | | | | | 9,266 | |
10-Year U.S. Treasury Note | | 03/2013 | | | | (27 | ) | | | | (3,585,094 | ) | | | | GSC | | | | | 15,803 | |
Long U.S. Treasury Bond | | 03/2013 | | | | (3 | ) | | | | (442,500 | ) | | | | GSC | | | | | 5,310 | |
Long U.S. Treasury Bond | | 03/2013 | | | | (7 | ) | | | | (1,032,500 | ) | | | | BAR | | | | | 8,399 | |
Ultra Long U.S. Treasury Bond | | 03/2013 | | | | (10 | ) | | | | (1,625,937 | ) | | | | MSCS | | | | | 29,499 | |
5-Year U.S. Treasury Note | | 03/2013 | | | | (4 | ) | | | | (497,656 | ) | | | | BAR | | | | | 1,081 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | $ | (11,963,812 | ) | | | | | | | | $ | 74,491 | |
| | | | | | | | | | | | | | | | | | | | | | |
267
| | | | | | | | | | | | | | | | | | | |
Fund/Future Type | | Expiration Date | | Open Long
(Short) Contracts | | Notional
Market Value
of Contracts | | Counter-
party | | Net Unrealized Appreciation
(Depreciation) on Futures |
Defensive Market Strategies Fund | | | | | | | | | | | | | | | | | | | |
S&P 500® E-Mini | | 03/2013 | | | | 250 | | | | $ | 17,751,250 | | | GSC | | | $ | 106,850 | |
| | | | | | | | | | | | | | | | | | | |
Equity Index Fund | | | | | | | | | | | | | | | | | | | |
S&P 500® | | 03/2013 | | | | 10 | | | | $ | 3,550,250 | | | GSC | | | $ | 2,558 | |
S&P 500® E-Mini | | 03/2013 | | | | 85 | | | | | 6,035,425 | | | GSC | | | | 33,937 | |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | $ | 9,585,675 | | | | | | $ | 36,495 | |
| | | | | | | | | | | | | | | | | | | |
Real Estate Securities Fund | | | | | | | | | | | | | | | | | | | |
S&P 500® MidCap 400 | | 03/2013 | | | | 54 | | | | $ | 5,497,740 | | | GSC | | | $ | 90,761 | |
| | | | | | | | | | | | | | | | | | | |
Value Equity Fund | | | | | | | | | | | | | | | | | | | |
S&P 500® E-Mini | | 03/2013 | | | | 298 | | | | $ | 21,159,490 | | | GSC | | | $ | 105,463 | |
| | | | | | | | | | | | | | | | | | | |
Growth Equity Fund | | | | | | | | | | | | | | | | | | | |
S&P 500® E-Mini | | 03/2013 | | | | 699 | | | | $ | 49,632,495 | | | GSC | | | $ | 166,024 | |
| | | | | | | | | | | | | | | | | | | |
| | | | | |
Small Cap Equity Fund | | | | | | | | | | | | | | | | | | | |
Russell 2000® IMM-Mini | | 03/2013 | | | | 711 | | | | $ | 60,193,260 | | | GSC | | | $ | 1,084,267 | |
90-Day Euro | | 03/2013 | | | | (11 | ) | | | | (2,741,750 | ) | | GSC | | | | (673 | ) |
10-Year U.S. Treasury Note | | 03/2013 | | | | (94 | ) | | | | (12,481,437 | ) | | GSC | | | | 63,492 | |
Long U.S. Treasury Bond | | 03/2013 | | | | (2 | ) | | | | (295,000 | ) | | GSC | | | | 2,994 | |
Ultra Long U.S. Treasury Bond | | 03/2013 | | | | (13 | ) | | | | (2,113,719 | ) | | GSC | | | | 38,958 | |
2-Year U.S. Treasury Note | | 03/2013 | | | | (49 | ) | | | | (10,802,969 | ) | | GSC | | | | (4,847 | ) |
5-Year U.S. Treasury Note | | 03/2013 | | | | 14 | | | | | 1,741,797 | | | GSC | | | | (905 | ) |
90-Day Euro | | 12/2013 | | | | (8 | ) | | | | (1,992,500 | ) | | GSC | | | | (26 | ) |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | $ | 31,507,682 | | | | | | $ | 1,183,260 | |
| | | | | | | | | | | | | | | | | | | |
| | | | | |
International Equity Fund | | | | | | | | | | | | | | | | | | | |
AEX Index | | 01/2013 | | | | 45 | | | | $ | 4,075,898 | | | BAR | | | $ | (7,693 | ) |
CAC40 Index | | 01/2013 | | | | 476 | | | | | 22,882,682 | | | BAR | | | | (52,201 | ) |
IBEX 35 | | 01/2013 | | | | 67 | | | | | 7,137,764 | | | BAR | | | | 67,965 | |
OMX 30 Index | | 01/2013 | | | | (463 | ) | | | | (7,895,524 | ) | | BAR | | | | (80,985 | ) |
Hang Seng Index | | 01/2013 | | | | 104 | | | | | 15,211,854 | | | BAR | | | | 50,145 | |
MSCI Singapore Index | | 01/2013 | | | | 9 | | | | | 530,621 | | | BAR | | | | (201 | ) |
TOPIX Index® | | 03/2013 | | | | 136 | | | | | 13,523,865 | | | BAR | | | | 1,100,019 | |
S&P/TSE 60 Index | | 03/2013 | | | | 254 | | | | | 36,331,678 | | | GSC | | | | 527,044 | |
S&P/TSE 60 Index | | 03/2013 | | | | (113 | ) | | | | (16,163,306 | ) | | BAR | | | | (206,172 | ) |
DAX Index | | 03/2013 | | | | 42 | | | | | 10,558,903 | | | BAR | | | | (14,272 | ) |
FTSE 100 Index® | | 03/2013 | | | | 80 | | | | | 7,599,864 | | | BAR | | | | (77,373 | ) |
FTSE MIB Index | | 03/2013 | | | | (26 | ) | | | | (2,797,677 | ) | | BAR | | | | (53,930 | ) |
MSCI EAFE Index E-Mini | | 03/2013 | | | | 522 | | | | | 42,289,830 | | | GSC | | | | 429,390 | |
MSCI Emerging Markets E-Mini | | 03/2013 | | | | 294 | | | | | 15,780,450 | | | GSC | | | | 353,869 | |
Canadian Dollar | | 03/2013 | | | | 296 | | | | | 29,709,520 | | | GSC | | | | (233,840 | ) |
ASX SPI 200 Index | | 03/2013 | | | | (341 | ) | | | | (40,864,619 | ) | | BAR | | | | (299,674 | ) |
Swiss Market Index Future | | 03/2013 | | | | (87 | ) | | | | (6,489,430 | ) | | JPM | | | | (68,942 | ) |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | $ | 131,422,373 | | | | | | $ | 1,433,149 | |
| | | | | | | | | | | | | | | | | | | |
268
Forward Foreign Currency Contracts
As of December 31, 2012, the following Funds have forward foreign currency exchange contracts that obligate them to deliver currencies at specified future dates. The unrealized appreciation and/or depreciation on these contracts is included in the accompanying financial statements. The terms of the open contracts are as follows:
| | | | | | | | | | | | | | | | | | | | |
Fund/Expiration Date | | Currency Purchased | | Amount
of Currency
Purchased | | | Currency Sold | | Amount
of Currency
Sold | | | Counter-
party | | | Net Unrealized
Appreciation
(Depreciation) | |
Low-Duration Bond Fund | | | | | | | | | | | | | | | | | | | | |
01/09/13 | | Euro | | | 136,000 | | | U.S. Dollars | | | 179,921 | | | | CITI | | | $ | (393 | ) |
01/09/13 | | U.S. Dollars | | | 2,969,787 | | | Euro | | | 2,271,000 | | | | CITIG | | | | (28,073 | ) |
01/09/13 | | U.S. Dollars | | | 2,336,355 | | | British Pounds | | | 1,452,000 | | | | HSBC | | | | (22,295 | ) |
01/09/13 | | U.S. Dollars | | | 1,195,720 | | | Japanese Yen | | | 98,600,000 | | | | BAR | | | | 57,524 | |
01/10/13 | | U.S. Dollars | | | 3,656,849 | | | Australian Dollars | | | 3,539,000 | | | | JPM | | | | (15,334 | ) |
01/10/13 | | U.S. Dollars | | | 61,452 | | | Australian Dollars | | | 59,000 | | | | MSCS | | | | 231 | |
01/15/13 | | Euro | | | 236,000 | | | U.S. Dollars | | | 302,322 | | | | DEUT | | | | 9,229 | |
01/15/13 | | Euro | | | 122,000 | | | U.S. Dollars | | | 158,347 | | | | CITI | | | | 2,709 | |
01/15/13 | | U.S. Dollars | | | 4,132,364 | | | Euro | | | 3,160,000 | | | | UBS | | | | (39,252 | ) |
01/15/13 | | U.S. Dollars | | | 4,078,237 | | | Euro | | | 3,162,000 | | | | BNP | | | | (96,019 | ) |
01/15/13 | | U.S. Dollars | | | 2,743,094 | | | Euro | | | 2,153,000 | | | | MSCS | | | | (99,149 | ) |
01/16/13 | | Euro | | | 523,000 | | | U.S. Dollars | | | 692,966 | | | | GSC | | | | (2,531 | ) |
01/16/13 | | U.S. Dollars | | | 6,013,859 | | | British Pounds | | | 3,752,000 | | | | GSC | | | | (80,818 | ) |
01/16/13 | | U.S. Dollars | | | 2,721,472 | | | Australian Dollars | | | 2,600,000 | | | | DEUT | | | | 24,907 | |
01/16/13 | | U.S. Dollars | | | 1,340,331 | | | Australian Dollars | | | 1,283,521 | | | | DEUT | | | | 9,140 | |
01/16/13 | | U.S. Dollars | | | 658,560 | | | Brazilian Reals | | | 1,354,000 | | | | HSBC | | | | (1,247 | ) |
01/16/13 | | U.S. Dollars | | | 582,015 | | | British Pounds | | | 362,695 | | | | DEUT | | | | (7,140 | ) |
01/16/13 | | U.S. Dollars | | | 545,815 | | | British Pounds | | | 338,159 | | | | DEUT | | | | (3,484 | ) |
01/16/13 | | U.S. Dollars | | | 384,924 | | | British Pounds | | | 240,000 | | | | UBS | | | | (4,927 | ) |
01/16/13 | | U.S. Dollars | | | 205,918 | | | British Pounds | | | 129,000 | | | | UBS | | | | (3,627 | ) |
01/23/13 | | U.S. Dollars | | | 4,218,475 | | | Euro | | | 3,211,800 | | | | UBS | | | | (21,824 | ) |
01/23/13 | | U.S. Dollars | | | 844,262 | | | Euro | | | 652,000 | | | | UBS | | | | (16,525 | ) |
01/23/13 | | U.S. Dollars | | | 470,253 | | | Euro | | | 364,000 | | | | UBS | | | | (10,309 | ) |
01/23/13 | | U.S. Dollars | | | 237,085 | | | Euro | | | 186,000 | | | | JPM | | | | (8,476 | ) |
01/23/13 | | U.S. Dollars | | | 212,585 | | | Euro | | | 163,000 | | | | CITI | | | | (2,611 | ) |
01/30/13 | | U.S. Dollars | | | 1,728,028 | | | Mexican Pesos | | | 22,670,000 | | | | RBS | | | | (20,688 | ) |
02/01/13 | | Chinese Yuan Renminbi | | | 2,090,196 | | | U.S. Dollars | | | 332,146 | | | | DEUT | | | | 2,490 | |
02/01/13 | | Chinese Yuan Renminbi | | | 39,210,806 | | | U.S. Dollars | | | 6,220,482 | | | | UBS | | | | 57,081 | |
02/01/13 | | Chinese Yuan Renminbi | | | 3,309,368 | | | U.S. Dollars | | | 522,229 | | | | DEUT | | | | 7,593 | |
02/01/13 | | Chinese Yuan Renminbi | | | 2,490,150 | | | U.S. Dollars | | | 390,826 | | | | JPM | | | | 7,841 | |
02/01/13 | | Chinese Yuan Renminbi | | | 1,254,600 | | | U.S. Dollars | | | 200,000 | | | | GSC | | | | 859 | |
02/01/13 | | Chinese Yuan Renminbi | | | 319,176 | | | U.S. Dollars | | | 50,832 | | | | JPM | | | | 267 | |
02/01/13 | | U.S. Dollars | | | 4,489,075 | | | Chinese Yuan Renminbi | | | 28,550,516 | | | | HSBC | | | | (81,799 | ) |
02/01/13 | | U.S. Dollars | | | 3,092,000 | | | Chinese Yuan Renminbi | | | 19,754,788 | | | | UBS | | | | (70,697 | ) |
02/01/13 | | U.S. Dollars | | | 30,000 | | | Chinese Yuan Renminbi | | | 191,880 | | | | HKSB | | | | (720 | ) |
02/04/13 | | U.S. Dollars | | | 193,017 | | | Brazilian Reals | | | 398,465 | | | | HSBC | | | | (667 | ) |
02/14/13 | | Norwegian Krone | | | 3,585,000 | | | U.S. Dollars | | | 620,521 | | | | HSBC | | | | 23,434 | |
03/12/13 | | British Pounds | | | 160,000 | | | U.S. Dollars | | | 258,506 | | | | BAR | | | | 1,349 | |
03/12/13 | | U.S. Dollars | | | 5,208,231 | | | British Pounds | | | 3,252,000 | | | | JPM | | | | (73,315 | ) |
04/03/13 | | Mexican Pesos | | | 1,168,232 | | | U.S. Dollars | | | 89,386 | | | | JPM | | | | 208 | |
06/14/13 | | U.S. Dollars | | | 8,014,755 | | | Euro | | | 6,200,000 | | | | JPM | | | | (181,511 | ) |
09/13/13 | | U.S. Dollars | | | 9,163,326 | | | Euro | | | 7,300,000 | | | | HKSB | | | | (497,093 | ) |
10/11/13 | | Euro | | | 5,400,000 | | | U.S. Dollars | | | 7,028,100 | | | | JPM | | | | 120,317 | |
10/11/13 | | U.S. Dollars | | | 6,394,724 | | | Euro | | | 5,184,000 | | | | JPM | | | | (467,756 | ) |
10/11/13 | | U.S. Dollars | | | 261,992 | | | Euro | | | 216,000 | | | | JPM | | | | (23,945 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | (1,557,046 | ) |
| | | | | | | | | | | | | | | | | | | | |
269
| | | | | | | | | | | | | | | | | | | | |
Fund/Expiration Date | | Currency Purchased | | Amount
of Currency
Purchased | | | Currency Sold | | Amount
of Currency
Sold | | | Counter-
party | | | Net Unrealized
Appreciation
(Depreciation) | |
Medium-Duration Bond Fund | | | | | | | | | | | | | | | | | | |
01/09/13 | | U.S. Dollars | | | 1,221,678 | | | British Pounds | | | 767,806 | | | | JPM | | | $ | (25,558 | ) |
01/15/13 | | Euro | | | 295,000 | | | U.S. Dollars | | | 377,902 | | | | DEUT | | | | 11,537 | |
01/15/13 | | Euro | | | 205,000 | | | U.S. Dollars | | | 266,076 | | | | CITI | | | | 4,551 | |
01/15/13 | | Euro | | | 203,000 | | | U.S. Dollars | | | 268,461 | | | | JPM | | | | (474 | ) |
01/15/13 | | Euro | | | 106,000 | | | U.S. Dollars | | | 137,483 | | | | CS | | | | 2,451 | |
01/15/13 | | U.S. Dollars | | | 5,927,850 | | | Euro | | | 4,533,000 | | | | UBS | | | | (56,307 | ) |
01/15/13 | | U.S. Dollars | | | 3,031,037 | | | Euro | | | 2,379,000 | | | | MSCS | | | | (109,557 | ) |
01/15/13 | | U.S. Dollars | | | 23,302 | | | Euro | | | 18,000 | | | | HSBC | | | | (460 | ) |
01/15/13 | | U.S. Dollars | | | 18,216 | | | Euro | | | 14,000 | | | | CITI | | | | (266 | ) |
01/17/13 | | U.S. Dollars | | | 524,421 | | | Japanese Yen | | | 43,010,000 | | | | DEUT | | | | 27,899 | |
01/25/13 | | Mexican Pesos | | | 5,336,188 | | | U.S. Dollars | | | 407,094 | | | | BAR | | | | (7,480 | ) |
01/25/13 | | U.S. Dollars | | | 3,407,354 | | | Euro | | | 2,612,000 | | | | CITI | | | | (41,135 | ) |
01/31/13 | | U.S. Dollars | | | 1,443,078 | | | Australian Dollars | | | 1,383,000 | | | | BAR | | | | 10,402 | |
02/01/13 | | Chinese Yuan Renminbi | | | 49,659,451 | | | U.S. Dollars | | | 7,878,076 | | | | UBS | | | | 72,291 | |
02/01/13 | | Chinese Yuan Renminbi | | | 8,277,236 | | | U.S. Dollars | | | 1,299,103 | | | | JPM | | | | 26,064 | |
02/01/13 | | Chinese Yuan Renminbi | | | 6,583,005 | | | U.S. Dollars | | | 1,048,750 | | | | CITI | | | | 5,174 | |
02/01/13 | | Chinese Yuan Renminbi | | | 3,959,304 | | | U.S. Dollars | | | 624,792 | | | | DEUT | | | | 9,084 | |
02/01/13 | | U.S. Dollars | | | 8,211,528 | | | Chinese Yuan Renminbi | | | 52,225,316 | | | | HKSB | | | | (149,629 | ) |
02/01/13 | | U.S. Dollars | | | 2,335,000 | | | Chinese Yuan Renminbi | | | 14,920,650 | | | | RBS | | | | (53,763 | ) |
02/01/13 | | U.S. Dollars | | | 1,390,000 | | | Chinese Yuan Renminbi | | | 8,880,710 | | | | UBS | | | | (31,782 | ) |
02/01/13 | | Chinese Yuan Renminbi | | | 4,127,477 | | | U.S. Dollars | | | 655,884 | | | | DEUT | | | | 4,916 | |
02/01/13 | | U.S. Dollars | | | 74,000 | | | Chinese Yuan Renminbi | | | 473,304 | | | | HKSB | | | | (1,775 | ) |
02/04/13 | | U.S. Dollars | | | 909,115 | | | Brazilian Reals | | | 1,876,778 | | | | HSBC | | | | (3,141 | ) |
02/08/13 | | U.S. Dollars | | | 1,132,005 | | | Euro | | | 858,413 | | | | CITI | | | | (1,448 | ) |
02/14/13 | | Norwegian Krone | | | 1,133,000 | | | U.S. Dollars | | | 196,109 | | | | HSBC | | | | 7,406 | |
02/15/13 | | Brazilian Reals | | | 3,050,000 | | | U.S. Dollars | | | 1,476,998 | | | | JPM | | | | 3,727 | |
02/15/13 | | U.S. Dollars | | | 4,684,362 | | | Euro | | | 3,674,701 | | | | CITIC | | | | (168,015 | ) |
02/15/13 | | U.S. Dollars | | | 4,506,133 | | | Japanese Yen | | | 369,388,000 | | | | CITIC | | | | 240,814 | |
02/15/13 | | U.S. Dollars | | | 3,351,271 | | | British Pounds | | | 2,102,000 | | | | CITIC | | | | (62,856 | ) |
02/15/13 | | U.S. Dollars | | | 1,059,789 | | | Euro | | | 824,514 | | | | UBS | | | | (28,967 | ) |
03/12/13 | | U.S. Dollars | | | 1,852,990 | | | British Pounds | | | 1,157,000 | | | | JPM | | | | (26,084 | ) |
03/20/13 | | Australian Dollars | | | 124,175 | | | U.S. Dollars | | | 129,105 | | | | WEST | | | | (902 | ) |
03/20/13 | | British Pounds | | | 35,595 | | | U.S. Dollars | | | 57,079 | | | | BAR | | | | 728 | |
03/20/13 | | Euro | | | 83,000 | | | U.S. Dollars | | | 107,645 | | | | CITI | | | | 1,989 | |
03/20/13 | | U.S. Dollars | | | 1,326,398 | | | Switzerland Francs | | | 1,234,359 | | | | BAR | | | | (25,138 | ) |
03/20/13 | | U.S. Dollars | | | 190,858 | | | Canadian Dollars | | | 189,652 | | | | UBS | | | | 517 | |
03/20/13 | | U.S. Dollars | | | 47,000 | | | Norwegian Krone | | | 267,844 | | | | HSBC | | | | (1,053 | ) |
03/20/13 | | Australian Dollars | | | 104,000 | | | U.S. Dollars | | | 107,203 | | | | CITI | | | | 170 | |
03/20/13 | | British Pounds | | | 33,000 | | | U.S. Dollars | | | 53,315 | | | | DEUT | | | | 278 | |
03/20/13 | | Canadian Dollars | | | 46,536 | | | U.S. Dollars | | | 47,000 | | | | RBC | | | | (295 | ) |
03/20/13 | | Euro | | | 905,966 | | | U.S. Dollars | | | 1,186,326 | | | | DEUT | | | | 10,352 | |
03/20/13 | | Euro | | | 534,679 | | | Norwegian Krone | | | 3,939,673 | | | | MSCS | | | | (552 | ) |
03/20/13 | | Euro | | | 138,824 | | | Swedish Kronor | | | 1,205,911 | | | | HKSB | | | | (1,731 | ) |
03/20/13 | | Euro | | | 82,000 | | | U.S. Dollars | | | 107,367 | | | | UBS | | | | 946 | |
03/20/13 | | Euro | | | 82,000 | | | Swedish Kronor | | | 709,874 | | | | UBS | | | | (650 | ) |
03/20/13 | | Euro | | | 82,000 | | | Swedish Kronor | | | 710,251 | | | | JPM | | | | (708 | ) |
03/20/13 | | Euro | | | 82,000 | | | Swedish Kronor | | | 713,425 | | | | JPM | | | | (1,194 | ) |
03/20/13 | | Euro | | | 41,000 | | | U.S. Dollars | | | 53,785 | | | | MSCS | | | | 372 | |
03/20/13 | | Euro | | | 41,000 | | | U.S. Dollars | | | 54,052 | | | | BAR | | | | 105 | |
03/20/13 | | Euro | | | 41,000 | | | U.S. Dollars | | | 54,100 | | | | JPM | | | | 57 | |
03/20/13 | | Euro | | | 41,000 | | | U.S. Dollars | | | 54,227 | | | | DEUT | | | | (70 | ) |
270
| | | | | | | | | | | | | | | | | | | | |
Fund/Expiration Date | | Currency Purchased | | Amount
of Currency
Purchased | | | Currency Sold | | Amount
of Currency
Sold | | | Counter-
party | | | Net Unrealized
Appreciation
(Depreciation) | |
03/20/13 | | Euro | | | 41,000 | | | U.S. Dollars | | | 54,241 | | | | MSCS | | | $ | (85 | ) |
03/20/13 | | Euro | | | 41,000 | | | Swedish Kronor | | | 353,528 | | | | RBS | | | | (108 | ) |
03/20/13 | | New Zealand Dollars | | | 256,259 | | | Australian Dollars | | | 204,000 | | | | WEST | | | | 84 | |
03/20/13 | | New Zealand Dollars | | | 124,792 | | | U.S. Dollars | | | 102,963 | | | | RBS | | | | (357 | ) |
03/20/13 | | Norwegian Krone | | | 305,229 | | | Euro | | | 41,000 | | | | DEUT | | | | 604 | |
03/20/13 | | Norwegian Krone | | | 304,665 | | | Euro | | | 41,000 | | | | HKSB | | | | 502 | |
03/20/13 | | Norwegian Krone | | | 303,687 | | | Euro | | | 41,000 | | | | HSBC | | | | 327 | |
03/20/13 | | Swedish Kronor | | | 717,063 | | | Euro | | | 82,000 | | | | HKSB | | | | 1,753 | |
03/20/13 | | Swedish Kronor | | | 716,618 | | | Euro | | | 82,000 | | | | HSBC | | | | 1,685 | |
03/20/13 | | Swedish Kronor | | | 361,436 | | | Euro | | | 41,000 | | | | CITI | | | | 1,322 | |
03/20/13 | | Swedish Kronor | | | 354,787 | | | Euro | | | 41,000 | | | | HSBC | | | | 302 | |
03/20/13 | | U.S. Dollars | | | 108,000 | | | Canadian Dollars | | | 107,140 | | | | RBC | | | | 470 | |
03/20/13 | | U.S. Dollars | | | 107,671 | | | Euro | | | 81,000 | | | | DEUT | | | | 679 | |
03/20/13 | | U.S. Dollars | | | 107,537 | | | British Pounds | | | 66,000 | | | | HSBC | | | | 350 | |
03/20/13 | | U.S. Dollars | | | 107,342 | | | British Pounds | | | 66,000 | | | | UBS | | | | 155 | |
03/20/13 | | U.S. Dollars | | | 107,018 | | | New Zealand Dollars | | | 128,000 | | | | CITI | | | | 1,774 | |
03/20/13 | | U.S. Dollars | | | 106,951 | | | Australian Dollars | | | 103,000 | | | | WEST | | | | 611 | |
03/20/13 | | U.S. Dollars | | | 106,339 | | | New Zealand Dollars | | | 129,000 | | | | UBS | | | | 273 | |
03/20/13 | | U.S. Dollars | | | 105,786 | | | Australian Dollars | | | 101,000 | | | | CITI | | | | 1,510 | |
03/20/13 | | U.S. Dollars | | | 95,843 | | | Australian Dollars | | | 92,000 | | | | WEST | | | | 859 | |
03/20/13 | | U.S. Dollars | | | 54,366 | | | Euro | | | 41,000 | | | | DEUT | | | | 210 | |
03/20/13 | | U.S. Dollars | | | 53,222 | | | Euro | | | 40,000 | | | | JPM | | | | 387 | |
03/21/13 | | U.S. Dollars | | | 1,501,971 | | | Canadian Dollars | | | 1,484,000 | | | | CITI | | | | 12,609 | |
03/21/13 | | U.S. Dollars | | | 107,000 | | | Japanese Yen | | | 8,814,553 | | | | SS | | | | 5,190 | |
03/21/13 | | Japanese Yen | | | 9,221,580 | | | U.S. Dollars | | | 108,000 | | | | DEUT | | | | (1,489 | ) |
03/21/13 | | Japanese Yen | | | 9,059,028 | | | U.S. Dollars | | | 108,000 | | | | CITI | | | | (3,367 | ) |
03/21/13 | | Japanese Yen | | | 4,648,671 | | | U.S. Dollars | | | 54,000 | | | | BAR | | | | (307 | ) |
03/21/13 | | Japanese Yen | | | 4,640,652 | | | U.S. Dollars | | | 54,000 | | | | DEUT | | | | (400 | ) |
03/21/13 | | Japanese Yen | | | 4,556,007 | | | U.S. Dollars | | | 54,000 | | | | DEUT | | | | (1,377 | ) |
03/21/13 | | Japanese Yen | | | 4,547,016 | | | U.S. Dollars | | | 54,000 | | | | CITI | | | | (1,481 | ) |
03/21/13 | | Japanese Yen | | | 4,523,958 | | | U.S. Dollars | | | 54,000 | | | | DEUT | | | | (1,747 | ) |
03/21/13 | | Japanese Yen | | | 3,627,394 | | | U.S. Dollars | | | 43,000 | | | | UBS | | | | (1,103 | ) |
03/21/13 | | U.S. Dollars | | | 431,000 | | | Japanese Yen | | | 36,290,182 | | | | DEUT | | | | 11,842 | |
03/21/13 | | U.S. Dollars | | | 296,060 | | | Japanese Yen | | | 24,712,819 | | | | CITI | | | | 10,623 | |
03/21/13 | | U.S. Dollars | | | 214,000 | | | Japanese Yen | | | 17,698,827 | | | | CITI | | | | 9,575 | |
03/21/13 | | U.S. Dollars | | | 108,000 | | | Japanese Yen | | | 9,214,235 | | | | CITI | | | | 1,574 | |
03/21/13 | | U.S. Dollars | | | 54,000 | | | Japanese Yen | | | 4,518,450 | | | | SS | | | | 1,811 | |
04/03/13 | | Mexican Pesos | | | 320,170 | | | U.S. Dollars | | | 24,498 | | | | JPM | | | | 57 | |
06/14/13 | | U.S. Dollars | | | 7,239,135 | | | Euro | | | 5,600,000 | | | | JPM | | | | (163,945 | ) |
06/27/13 | | U.S. Dollars | | | 3,861,651 | | | Mexican Pesos | | | 50,902,347 | | | | JPM | | | | (9,483 | ) |
08/05/13 | | Chinese Yuan Renminbi | | | 3,364,650 | | | U.S. Dollars | | | 532,803 | | | | UBS | | | | 73 | |
08/15/13 | | Chinese Yuan Renminbi | | | 1,000,000 | | | U.S. Dollars | | | 159,642 | | | | DEUT | | | | (1,353 | ) |
09/13/13 | | U.S. Dollars | | | 11,171,726 | | | Euro | | | 8,900,000 | | | | HKSB | | | | (606,040 | ) |
09/13/13 | | U.S. Dollars | | | 123,225 | | | Euro | | | 100,000 | | | | JPM | | | | (9,109 | ) |
10/11/13 | | Euro | | | 6,588,000 | | | U.S. Dollars | | | 8,574,282 | | | | JPM | | | | 146,787 | |
10/11/13 | | U.S. Dollars | | | 7,860,182 | | | Euro | | | 6,372,000 | | | | JPM | | | | (574,951 | ) |
10/11/13 | | U.S. Dollars | | | 261,992 | | | Euro | | | 216,000 | | | | JPM | | | | (23,945 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | (1,545,809 | ) |
| | | | | | | | | | | | | | | | | | | | |
271
| | | | | | | | | | | | | | | | | | | | |
Fund/Expiration Date | | Currency
Purchased | | Amount
of Currency
Purchased | | | Currency
Sold | | Amount
of Currency
Sold | | | Counter-
party | | | Net Unrealized
Appreciation
(Depreciation) | |
Global Bond Fund | | | | | | | | | | | | | | | | | | | | |
02/08/13 | | Indian Rupees | | | 51,960,000 | | | U.S. Dollars | | | 948,175 | | | | JPM | | | $ | (7,350 | ) |
02/08/13 | | Russian Rubles | | | 34,760,000 | | | U.S. Dollars | | | 1,087,201 | | | | DEUT | | | | 42,649 | |
02/08/13 | | South Korean Won | | | 590,596,400 | | | U.S. Dollars | | | 535,931 | | | | DEUT | | | | 14,338 | |
02/08/13 | | U.S. Dollars | | | 1,081,434 | | | Russian Rubles | | | 34,760,000 | | | | DEUT | | | | (48,416 | ) |
02/15/13 | | Australian Dollars | | | 745,608 | | | U.S. Dollars | | | 773,815 | | | | DEUT | | | | (2,223 | ) |
02/15/13 | | Australian Dollars | | | 630,000 | | | U.S. Dollars | | | 651,218 | | | | CS | | | | 736 | |
02/15/13 | | Australian Dollars | | | 587,221 | | | U.S. Dollars | | | 607,381 | | | | MSCS | | | | 304 | |
02/15/13 | | British Pounds | | | 897,800 | | | U.S. Dollars | | | 1,434,451 | | | | SG | | | | 23,781 | |
02/15/13 | | British Pounds | | | 658,959 | | | U.S. Dollars | | | 1,054,659 | | | | JPM | | | | 15,640 | |
02/15/13 | | Canadian Dollars | | | 1,570,000 | | | U.S. Dollars | | | 1,567,664 | | | | CS | | | | 9,161 | |
02/15/13 | | Canadian Dollars | | | 691,338 | | | U.S. Dollars | | | 697,786 | | | | JPM | | | | (3,443 | ) |
02/15/13 | | Canadian Dollars | | | 191,315 | | | U.S. Dollars | | | 192,952 | | | | DEUT | | | | (806 | ) |
02/15/13 | | Euro | | | 1,308,621 | | | U.S. Dollars | | | 1,681,912 | | | | DEUT | | | | 46,099 | |
02/15/13 | | Japanese Yen | | | 495,199,132 | | | U.S. Dollars | | | 6,176,016 | | | | GSC | | | | (457,957 | ) |
02/15/13 | | Japanese Yen | | | 160,311,470 | | | U.S. Dollars | | | 2,005,874 | | | | CITIC | | | | (154,759 | ) |
02/15/13 | | Japanese Yen | | | 90,152,160 | | | U.S. Dollars | | | 1,122,986 | | | | JPM | | | | (82,000 | ) |
02/15/13 | | Polish Zloty | | | 346,297 | | | U.S. Dollars | | | 107,149 | | | | JPM | | | | 4,193 | |
02/15/13 | | South African Rand | | | 988,065 | | | U.S. Dollars | | | 111,627 | | | | GSC | | | | 4,172 | |
02/15/13 | | Swedish Kronor | | | 5,133,306 | | | U.S. Dollars | | | 765,211 | | | | BAR | | | | 23,284 | |
02/15/13 | | U.S. Dollars | | | 5,372,763 | | | Euro | | | 4,180,000 | | | | UBS | | | | (146,852 | ) |
02/15/13 | | U.S. Dollars | | | 3,822,591 | | | Euro | | | 2,972,008 | | | | JPM | | | | (101,892 | ) |
02/15/13 | | U.S. Dollars | | | 3,494,232 | | | Euro | | | 2,700,000 | | | | HSBC | | | | (71,070 | ) |
02/15/13 | | U.S. Dollars | | | 2,493,133 | | | Euro | | | 1,947,319 | | | | GSC | | | | (78,267 | ) |
02/15/13 | | U.S. Dollars | | | 2,466,055 | | | Euro | | | 1,934,524 | | | | CITIC | | | | (88,450 | ) |
02/15/13 | | U.S. Dollars | | | 2,312,216 | | | Euro | | | 1,808,255 | | | | MSCS | | | | (75,553 | ) |
02/15/13 | | U.S. Dollars | | | 1,802,026 | | | British Pounds | | | 1,127,510 | | | | BAR | | | | (29,307 | ) |
02/15/13 | | U.S. Dollars | | | 1,374,629 | | | Australian Dollars | | | 1,324,802 | | | | JPM | | | | 3,661 | |
02/15/13 | | U.S. Dollars | | | 1,146,757 | | | Euro | | | 867,520 | | | | HSBC | | | | 1,213 | |
02/15/13 | | U.S. Dollars | | | 1,037,923 | | | British Pounds | | | 650,000 | | | | CS | | | | (17,825 | ) |
02/15/13 | | U.S. Dollars | | | 851,001 | | | South African Rand | | | 7,449,407 | | | | DEUT | | | | (22,051 | ) |
02/15/13 | | U.S. Dollars | | | 651,539 | | | Australian Dollars | | | 631,336 | | | | CITIC | | | | (1,798 | ) |
02/15/13 | | U.S. Dollars | | | 319,522 | | | British Pounds | | | 200,000 | | | | GSC | | | | (5,324 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | (1,206,112 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Defensive Market Strategies Fund | | | | | | | | | | | | | | | | | | |
01/31/13 | | Japanese Yen | | | 1,379,700 | | | U.S. Dollars | | | 16,319 | | | | CS | | | $ | (390 | ) |
01/31/13 | | U.S. Dollars | | | 2,249,761 | | | Euro | | | 1,705,469 | | | | UBS | | | | (1,999 | ) |
01/31/13 | | U.S. Dollars | | | 1,854,957 | | | British Pounds | | | 1,144,040 | | | | CS | | | | (3,315 | ) |
01/31/13 | | U.S. Dollars | | | 720,568 | | | Japanese Yen | | | 60,509,700 | | | | CS | | | | 21,940 | |
01/31/13 | | U.S. Dollars | | | 369,863 | | | Switzerland Francs | | | 338,425 | | | | CS | | | | (382 | ) |
01/31/13 | | U.S. Dollars | | | 25,198 | | | Japanese Yen | | | 2,168,100 | | | | CS | | | | 166 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 16,020 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Small Cap Equity Fund | | | | | | | | | | | | | | | | | | | | |
01/25/13 | | U.S. Dollars | | | 41,942 | | | Euro | | | 33,000 | | | | CS | | | $ | (1,626 | ) |
02/15/13 | | U.S. Dollars | | | 919,356 | | | Euro | | | 721,200 | | | | CITI | | | | (32,975 | ) |
02/15/13 | | U.S. Dollars | | | 682,456 | | | Japanese Yen | | | 55,944,000 | | | | CITIG | | | | 36,471 | |
02/15/13 | | U.S. Dollars | | | 459,489 | | | Euro | | | 359,341 | | | | MSCS | | | | (15,014 | ) |
02/15/13 | | U.S. Dollars | | | 455,977 | | | British Pounds | | | 286,000 | | | | CITI | | | | (8,552 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | (21,696 | ) |
| | | | | | | | | | | | | | | | | | | | |
272
| | | | | | | | | | | | | | | | | | | | |
Fund/Expiration Date | | Currency
Purchased | | Amount
of Currency
Purchased | | | Currency
Sold | | Amount
of Currency
Sold | | | Counter-
party | | | Net Unrealized
Appreciation
(Depreciation) | |
International Equity Fund | | | | | | | | | | | | | | | | | | | | |
01/31/13 | | U.S. Dollars | | | 8,951,223 | | | Australian Dollars | | | 8,712,500 | | | | NT | | | $ | (74,221 | ) |
03/20/13 | | British Pounds | | | 3,286,000 | | | U.S. Dollars | | | 5,283,415 | | | | RBS | | | | 53,200 | |
03/20/13 | | British Pounds | | | 3,233,000 | | | U.S. Dollars | | | 5,202,382 | | | | RBS | | | | 48,159 | |
03/20/13 | | British Pounds | | | 598,000 | | | U.S. Dollars | | | 964,813 | | | | RBS | | | | 6,366 | |
03/20/13 | | Canadian Dollars | | | 6,089,000 | | | U.S. Dollars | | | 6,120,809 | | | | RBS | | | | (9,671 | ) |
03/20/13 | | Danish Kroner | | | 8,021,000 | | | U.S. Dollars | | | 1,407,514 | | | | RBS | | | | 13,403 | |
03/20/13 | | Danish Kroner | | | 1,565,000 | | | U.S. Dollars | | | 274,657 | | | | RBS | | | | 2,582 | |
03/20/13 | | Danish Kroner | | | 800,000 | | | U.S. Dollars | | | 140,453 | | | | RBS | | | | 1,267 | |
03/20/13 | | Danish Kroner | | | 236,000 | | | U.S. Dollars | | | 41,715 | | | | RBS | | | | 92 | |
03/20/13 | | Danish Kroner | | | 133,000 | | | U.S. Dollars | | | 23,602 | | | | RBS | | | | (41 | ) |
03/20/13 | | Euro | | | 7,700,000 | | | U.S. Dollars | | | 10,082,586 | | | | RBS | | | | 88,239 | |
03/20/13 | | Euro | | | 2,983,000 | | | U.S. Dollars | | | 3,933,597 | | | | RBS | | | | 6,607 | |
03/20/13 | | Euro | | | 1,229,000 | | | U.S. Dollars | | | 1,592,491 | | | | RBS | | | | 30,878 | |
03/20/13 | | Euro | | | 2,000 | | | U.S. Dollars | | | 2,633 | | | | RBS | | | | 9 | |
03/20/13 | | Hong Kong Dollars | | | 5,600,000 | | | U.S. Dollars | | | 722,697 | | | | RBS | | | | (5 | ) |
03/20/13 | | Hong Kong Dollars | | | 1,032,000 | | | U.S. Dollars | | | 133,187 | | | | RBS | | | | (6 | ) |
03/20/13 | | Hong Kong Dollars | | | 91,000 | | | U.S. Dollars | | | 11,744 | | | | RBS | | | | — | |
03/20/13 | | Hong Kong Dollars | | | 23,000 | | | U.S. Dollars | | | 2,968 | | | | RBS | | | | — | |
03/20/13 | | Israeli Shekels | | | 5,179,000 | | | U.S. Dollars | | | 1,355,617 | | | | RBS | | | | 27,594 | |
03/20/13 | | Israeli Shekels | | | 156,000 | | | U.S. Dollars | | | 40,794 | | | | RBS | | | | 870 | |
03/20/13 | | Israeli Shekels | | | 54,000 | | | U.S. Dollars | | | 14,392 | | | | RBS | | | | 30 | |
03/20/13 | | New Zealand Dollars | | | 6,203,000 | | | U.S. Dollars | | | 5,151,800 | | | | RBS | | | | (51,585 | ) |
03/20/13 | | New Zealand Dollars | | | 3,812,000 | | | U.S. Dollars | | | 3,191,905 | | | | RBS | | | | (57,612 | ) |
03/20/13 | | New Zealand Dollars | | | 3,020,000 | | | U.S. Dollars | | | 2,470,322 | | | | RBS | | | | 12,775 | |
03/20/13 | | Norwegian Krone | | | 260,586,000 | | | U.S. Dollars | | | 46,001,901 | | | | RBS | | | | 748,855 | |
03/20/13 | | Singapore Dollars | | | 855,000 | | | U.S. Dollars | | | 700,826 | | | | RBS | | | | (944 | ) |
03/20/13 | | Singapore Dollars | | | 47,000 | | | U.S. Dollars | | | 38,533 | | | | RBS | | | | (60 | ) |
03/20/13 | | Singapore Dollars | | | 45,000 | | | U.S. Dollars | | | 36,828 | | | | RBS | | | | 8 | |
03/20/13 | | Swedish Kronor | | | 125,092,000 | | | U.S. Dollars | | | 18,874,912 | | | | RBS | | | | 326,089 | |
03/20/13 | | Swedish Kronor | | | 42,747,000 | | | U.S. Dollars | | | 6,457,465 | | | | RBS | | | | 103,988 | |
03/20/13 | | Switzerland Francs | | | 5,881,000 | | | U.S. Dollars | | | 6,460,364 | | | | RBS | | | | (21,087 | ) |
03/20/13 | | Switzerland Francs | | | 3,302,000 | | | U.S. Dollars | | | 3,607,759 | | | | RBS | | | | 7,696 | |
03/20/13 | | Switzerland Francs | | | 117,000 | | | U.S. Dollars | | | 126,419 | | | | RBS | | | | 1,687 | |
03/20/13 | | U.S. Dollars | | | 10,864,789 | | | Switzerland Francs | | | 10,050,000 | | | | RBS | | | | (139,248 | ) |
03/20/13 | | U.S. Dollars | | | 8,566,469 | | | New Zealand Dollars | | | 10,297,000 | | | | RBS | | | | 100,095 | |
03/20/13 | | U.S. Dollars | | | 7,507,191 | | | Euro | | | 5,762,000 | | | | RBS | | | | (103,756 | ) |
03/20/13 | | U.S. Dollars | | | 6,849,319 | | | Norwegian Krone | | | 38,214,000 | | | | RBS | | | | (6,512 | ) |
03/20/13 | | U.S. Dollars | | | 5,723,174 | | | Norwegian Krone | | | 32,479,000 | | | | RBS | | | | (103,762 | ) |
03/20/13 | | U.S. Dollars | | | 5,538,250 | | | Norwegian Krone | | | 31,256,000 | | | | RBS | | | | (69,272 | ) |
03/20/13 | | U.S. Dollars | | | 5,486,552 | | | British Pounds | | | 3,384,000 | | | | RBS | | | | (9,220 | ) |
03/20/13 | | U.S. Dollars | | | 5,123,473 | | | New Zealand Dollars | | | 6,256,000 | | | | RBS | | | | (20,320 | ) |
03/20/13 | | U.S. Dollars | | | 3,813,658 | | | Australian Dollars | | | 3,663,000 | | | | RBS | | | | 31,858 | |
03/20/13 | | U.S. Dollars | | | 3,604,824 | | | British Pounds | | | 2,217,000 | | | | RBS | | | | 4,314 | |
03/20/13 | | U.S. Dollars | | | 3,577,724 | | | Swedish Kronor | | | 23,910,000 | | | | RBS | | | | (92,342 | ) |
03/20/13 | | U.S. Dollars | | | 3,016,761 | | | Australian Dollars | | | 2,917,000 | | | | RBS | | | | 5,156 | |
03/20/13 | | U.S. Dollars | | | 2,801,532 | | | Euro | | | 2,116,000 | | | | RBS | | | | 6,537 | |
03/20/13 | | U.S. Dollars | | | 1,519,918 | | | Swedish Kronor | | | 10,145,000 | | | | RBS | | | | (37,290 | ) |
03/20/13 | | U.S. Dollars | | | 1,210,849 | | | Canadian Dollars | | | 1,199,000 | | | | RBS | | | | 7,490 | |
03/20/13 | | U.S. Dollars | | | 1,099,717 | | | Switzerland Francs | | | 1,027,000 | | | | RBS | | | | (24,775 | ) |
03/20/13 | | U.S. Dollars | | | 538,045 | | | Switzerland Francs | | | 497,000 | | | | RBS | | | | (6,135 | ) |
03/20/13 | | U.S. Dollars | | | 238,418 | | | Singapore Dollars | | | 291,000 | | | | RBS | | | | 213 | |
273
| | | | | | | | | | | | | | | | | | | | |
Fund/Expiration Date | | Currency
Purchased | | Amount
of Currency
Purchased | | | Currency
Sold | | Amount
of Currency
Sold | | | Counter-
party | | | Net Unrealized
Appreciation
(Depreciation) | |
03/20/13 | | U.S. Dollars | | | 161,975 | | | British Pounds | | | 101,000 | | | | RBS | | | $ | (2,054) | |
03/20/13 | | U.S. Dollars | | | 153,935 | | | Australian Dollars | | | 147,000 | | | | RBS | | | | 2,167 | |
03/20/13 | | U.S. Dollars | | | 91,758 | | | Hong Kong Dollars | | | 711,000 | | | | RBS | | | | 2 | |
03/20/13 | | U.S. Dollars | | | 90,194 | | | Israeli Shekels | | | 341,000 | | | | RBS | | | | (881) | |
03/20/13 | | U.S. Dollars | | | 62,753 | | | Euro | | | 48,000 | | | | RBS | | | | (649) | |
03/20/13 | | U.S. Dollars | | | 43,457 | | | Danish Kroner | | | 250,000 | | | | RBS | | | | (831) | |
03/20/13 | | U.S. Dollars | | | 11,710 | | | Israeli Shekels | | | 45,000 | | | | RBS | | | | (309) | |
03/20/13 | | U.S. Dollars | | | 9,844 | | | Singapore Dollars | | | 12,000 | | | | RBS | | | | 21 | |
03/21/13 | | Japanese Yen | | | 724,691,000 | | | U.S. Dollars | | | 8,618,579 | | | | RBS | | | | (248,265) | |
03/21/13 | | Japanese Yen | | | 114,955,000 | | | U.S. Dollars | | | 1,397,196 | | | | RBS | | | | (69,444) | |
03/21/13 | | Japanese Yen | | | 45,512,000 | | | U.S. Dollars | | | 542,763 | | | | RBS | | | | (17,091) | |
03/21/13 | | U.S. Dollars | | | 59,726,507 | | | Japanese Yen | | | 4,912,772,000 | | | | RBS | | | | 2,983,094 | |
03/21/13 | | U.S. Dollars | | | 7,132,051 | | | Japanese Yen | | | 584,019,000 | | | | RBS | | | | 386,525 | |
03/21/13 | | U.S. Dollars | | | 1,415,327 | | | Japanese Yen | | | 117,659,000 | | | | RBS | | | | 56,344 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 3,896,822 | |
| | | | | | | | | | | | | | | | | | | | |
Options Written
Transactions in options written during the year ended December 31, 2012 were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Fund | | Number of
Contracts | | Premiums
Received | | Notional
Amount | | Premiums
Received | | Total
Premiums
Received |
Low-Duration Bond | | | | | | | | | | | | | | | | | | | | | | | | | |
Options written, 12/31/11 | | | | — | | | | $ | — | | | | $ | 5,300,000 | | | | $ | 32,965 | | | | $ | 32,965 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Options written | | | | 375 | | | | | 60,656 | | | | | 39,000,000 | | | | | 595,850 | | | | | 656,506 | |
Options expired | | | | (375 | ) | | | | (60,656 | ) | | | | — | | | | | — | | | | | (60,656 | ) |
Options closed | | | | — | | | | | — | | | | | (8,300,000 | ) | | | | (42,565 | ) | | | | (42,565 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Options written, 12/31/12 | | | | — | | | | $ | — | | | | $ | 36,000,000 | | | | $ | 586,250 | | | | $ | 586,250 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Medium-Duration Bond | | | | | | | | | | | | | | | | | | | | | | | | | |
Options written, 12/31/11 | | | | — | | | | $ | — | | | | $ | 7,800,000 | | | | $ | 48,601 | | | | $ | 48,601 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Options written | | | | 931 | | | | | 374,218 | | | | | 43,100,000 | | | | | 702,140 | | | | | 1,076,358 | |
Options expired | | | | (399 | ) | | | | (105,144 | ) | | | | — | | | | | — | | | | | (105,144 | ) |
Options closed | | | | (532 | ) | | | | (269,074 | ) | | | | (7,800,000 | ) | | | | (48,601 | ) | | | | (317,675 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Options written, 12/31/12 | | | | — | | | | $ | — | | | | $ | 43,100,000 | | | | $ | 702,140 | | | | $ | 702,140 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Defensive Market Strategies | | | | | | | | | | | | | | | | | | | | | | | | | |
Options written, 12/31/11 | | | | 168 | | | | $ | 4,032 | | | | $ | — | | | | $ | — | | | | $ | 4,032 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Options written | | | | 1,033 | | | | | 127,191 | | | | | — | | | | | — | | | | | 127,191 | |
Options expired | | | | (212 | ) | | | | (7,591 | ) | | | | — | | | | | — | | | | | (7,591 | ) |
Options closed | | | | (989 | ) | | | | (123,632 | ) | | | | — | | | | | — | | | | | (123,632 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Options written, 12/31/12 | | | | — | | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Small Cap Equity | | | | | | | | | | | | | | | | | | | | | | | | | |
Options written, 12/31/11 | | | | 7 | | | | $ | 2,015 | | | | $ | — | | | | $ | — | | | | $ | 2,015 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Options written | | | | 183 | | | | | 106,697 | | | | | — | | | | | — | | | | | 106,697 | |
Options expired | | | | (82 | ) | | | | (44,710 | ) | | | | — | | | | | — | | | | | (44,710 | ) |
Options closed | | | | (90 | ) | | | | (52,154 | ) | | | | — | | | | | — | | | | | (52,154 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Options written, 12/31/12 | | | | 18 | | | | $ | 11,848 | | | | $ | — | | | | $ | — | | | | $ | 11,848 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
274
6. CAPITAL SHARE TRANSACTIONS
Transactions in shares of capital stock were as follows:
| | | | | | | | | | | | |
| | | Year Ended 12/31/12 | | | Year Ended 12/31/11 | |
| | | | |
| | | GS2 | | GS4 | | | GS2 | | GS4 | |
MyDestination 2005 | | | | | | | | | | | | |
Shares sold | | | | | 2,186,065 | | | | | | 2,593,793 | |
Shares reinvested | | | | | 154,580 | | | | | | 116,996 | |
Shares redeemed | | | | | (1,213,387 | ) | | | | | (1,716,136 | ) |
| | | | | | | | | | | | |
Net increase | | | | | 1,127,258 | | | | | | 994,653 | |
| | | | | | | | | | | | |
MyDestination 2015 | | | | | | | | | | | | |
Shares sold | | | | | 7,180,208 | | | | | | 5,730,134 | |
Shares reinvested | | | | | 772,986 | | | | | | 497,753 | |
Shares redeemed | | | | | (2,677,229 | ) | | | | | (3,226,397 | ) |
| | | | | | | | | | | | |
Net increase | | | | | 5,275,965 | | | | | | 3,001,490 | |
| | | | | | | | | | | | |
MyDestination 2025 | | | | | | | | | | | | |
Shares sold | | | | | 7,889,241 | | | | | | 6,560,758 | |
Shares reinvested | | | | | 740,061 | | | | | | 466,906 | |
Shares redeemed | | | | | (2,077,575 | ) | | | | | (1,915,678 | ) |
| | | | | | | | | | | | |
Net increase | | | | | 6,551,727 | | | | | | 5,111,986 | |
| | | | | | | | | | | | |
MyDestination 2035 | | | | | | | | | | | | |
Shares sold | | | | | 4,505,585 | | | | | | 3,815,906 | |
Shares reinvested | | | | | 334,266 | | | | | | 270,804 | |
Shares redeemed | | | | | (801,820 | ) | | | | | (889,088 | ) |
| | | | | | | | | | | | |
Net increase | | | | | 4,038,031 | | | | | | 3,197,622 | |
| | | | | | | | | | | | |
MyDestination 2045 | | | | | | | | | | | | |
Shares sold | | | | | 3,601,217 | | | | | | 3,205,647 | |
Shares reinvested | | | | | 224,875 | | | | | | 342,765 | |
Shares redeemed | | | | | (336,308 | ) | | | | | (1,142,646 | ) |
| | | | | | | | | | | | |
Net increase | | | | | 3,489,784 | | | | | | 2,405,766 | |
| | | | | | | | | | | | |
MyDestination 2055(1) | | | | | | | | | | | | |
Shares sold | | | | | 1,228,311 | | | | | | | |
Shares reinvested | | | | | 10,652 | | | | | | | |
Shares redeemed | | | | | (675,062 | ) | | | | | | |
| | | | | | | | | | | | |
Net increase (decrease) | | | | | 563,901 | | | | | | | |
| | | | | | | | | | | | |
(1)Inception date was January 1, 2012
275
| | | | | | | | | | | | | | | | |
| | | Year Ended 12/31/12 | | | Year Ended 12/31/11 | |
| | | | |
| | | GS2 | | | GS4 | | | GS2 | | | GS4 | |
Conservative Allocation | | | | | | | | | | | | | | | | |
Shares sold | | | | | | | 3,749,359 | | | | | | | | 4,736,842 | |
Shares reinvested | | | | | | | 532,286 | | | | | | | | 774,598 | |
Shares redeemed | | | | | | | (2,659,967 | ) | | | | | | | (2,522,493 | ) |
| | | | | | | | | | | | | | | | |
Net increase | | | | | | | 1,621,678 | | | | | | | | 2,988,947 | |
| | | | | | | | | | | | | | | | |
Balanced Allocation | | | | | | | | | | | | | | | | |
Shares sold | | | | | | | 4,803,801 | | | | | | | | 4,925,459 | |
Shares reinvested | | | | | | | 3,071,332 | | | | | | | | 3,591,708 | |
Shares redeemed | | | | | | | (6,451,079 | ) | | | | | | | (7,775,874 | ) |
| | | | | | | | | | | | | | | | |
Net increase | | | | | | | 1,424,054 | | | | | | | | 741,293 | |
| | | | | | | | | | | | | | | | |
Growth Allocation | | | | | | | | | | | | | | | | |
Shares sold | | | | | | | 2,499,289 | | | | | | | | 2,685,458 | |
Shares reinvested | | | | | | | 1,385,054 | | | | | | | | 2,175,136 | |
Shares redeemed | | | | | | | (5,983,566 | ) | | | | | | | (5,925,560 | ) |
| | | | | | | | | | | | | | | | |
Net decrease | | | | | | | (2,099,223 | ) | | | | | | | (1,064,966 | ) |
| | | | | | | | | | | | | | | | |
Aggressive Allocation | | | | | | | | | | | | | | | | |
Shares sold | | | | | | | 6,233,287 | | | | | | | | 2,783,580 | |
Shares reinvested | | | | | | | 1,382,510 | | | | | | | | 1,630,524 | |
Shares redeemed | | | | | | | (11,235,355 | ) | | | | | | | (5,718,840 | ) |
| | | | | | | | | | | | | | | | |
Net decrease | | | | | | | (3,619,558 | ) | | | | | | | (1,304,736 | ) |
| | | | | | | | | | | | | | | | |
Conservative Allocation I | | | | | | | | | | | | | | | | |
Shares sold | | | 1,302,574 | | | | | | | | 1,923,738 | | | | | |
Shares reinvested | | | 218,686 | | | | | | | | 206,197 | | | | | |
Shares redeemed | | | (971,386 | ) | | | | | | | (1,832,819 | ) | | | | |
| | | | | | | | | | | | | | | | |
Net increase | | | 549,874 | | | | | | | | 297,116 | | | | | |
| | | | | | | | | | | | | | | | |
Balanced Allocation I | | | | | | | | | | | | | | | | |
Shares sold | | | 2,004,250 | | | | | | | | 2,078,500 | | | | | |
Shares reinvested | | | 1,359,355 | | | | | | | | 1,356,300 | | | | | |
Shares redeemed | | | (2,221,689 | ) | | | | | | | (6,285,739 | ) | | | | |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | 1,141,916 | | | | | | | | (2,850,939 | ) | | | | |
| | | | | | | | | | | | | | | | |
Growth Allocation I | | | | | | | | | | | | | | | | |
Shares sold | | | 968,767 | | | | | | | | 1,070,053 | | | | | |
Shares reinvested | | | 556,094 | | | | | | | | 622,547 | | | | | |
Shares redeemed | | | (2,009,594 | ) | | | | | | | (4,153,900 | ) | | | | |
| | | | | | | | | | | | | | | | |
Net decrease | | | (484,733 | ) | | | | | | | (2,461,300 | ) | | | | |
| | | | | | | | | | | | | | | | |
Aggressive Allocation I | | | | | | | | | | | | | | | | |
Shares sold | | | 563,200 | | | | | | | | 669,885 | | | | | |
Shares reinvested | | | 206,778 | | | | | | | | 247,967 | | | | | |
Shares redeemed | | | (1,360,178 | ) | | | | | | | (2,692,430 | ) | | | | |
| | | | | | | | | | | | | | | | |
Net decrease | | | (590,200 | ) | | | | | | | (1,774,578 | ) | | | | |
| | | | | | | | | | | | | | | | |
276
| | | | | | | | | | | | | | | | | | | | |
| | | Year Ended 12/31/12 | | Year Ended 12/31/11 |
| | | | |
| | | GS2 | | GS4 | | GS2 | | GS4 |
Money Market | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | 83,682,824 | | | | | 3,411,426,687 | | | | | 154,616,809 | | | | | 3,912,748,853 | |
Shares reinvested | | | | 96,490 | | | | | 73,574 | | | | | 100,970 | | | | | 61,686 | |
Shares redeemed | | | | (93,414,476 | ) | | | | (3,441,385,827 | ) | | | | (157,730,463 | ) | | | | (3,931,314,442 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net decrease | | | | (9,635,162 | ) | | | | (29,885,566 | ) | | | | (3,012,684 | ) | | | | (18,503,903 | ) |
| | | | | | | | | | | | | | | | | | | | |
Low-Duration Bond | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | 1,736,358 | | | | | 10,131,882 | | | | | 1,843,874 | | | | | 5,924,041 | |
Shares reinvested | | | | 425,569 | | | | | 818,950 | | | | | 453,647 | | | | | 831,464 | |
Shares redeemed | | | | (853,542 | ) | | | | (7,872,202 | ) | | | | (2,767,300 | ) | | | | (3,520,556 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) | | | | 1,308,385 | | | | | 3,078,630 | | | | | (469,779 | ) | | | | 3,234,949 | |
| | | | | | | | | | | | | | | | | | | | |
Medium-Duration Bond | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | 3,397,961 | | | | | 4,647,929 | | | | | 2,860,917 | | | | | 4,602,896 | |
Shares reinvested | | | | 2,151,022 | | | | | 1,406,047 | | | | | 2,063,646 | | | | | 1,463,559 | |
Shares redeemed | | | | (2,638,135 | ) | | | | (8,957,431 | ) | | | | (6,053,161 | ) | | | | (5,830,313 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) | | | | 2,910,848 | | | | | (2,903,455 | ) | | | | (1,128,598 | ) | | | | 236,142 | |
| | | | | | | | | | | | | | | | | | | | |
Extended-Duration Bond | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | 1,716,122 | | | | | 3,486,474 | | | | | 1,402,230 | | | | | 3,436,087 | |
Shares reinvested | | | | 2,028,140 | | | | | 1,132,113 | | | | | 2,118,633 | | | | | 1,472,133 | |
Shares redeemed | | | | (1,682,883 | ) | | | | (3,286,612 | ) | | | | (2,508,010 | ) | | | | (6,281,134 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) | | | | 2,061,379 | | | | | 1,331,975 | | | | | 1,012,853 | | | | | (1,372,914 | ) |
| | | | | | | | | | | | | | | | | | | | |
Inflation Protected Bond | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | | | | | 4,566,757 | | | | | | | | | | 6,870,551 | |
Shares reinvested | | | | | | | | | 824,710 | | | | | | | | | | 571,192 | |
Shares redeemed | | | | | | | | | (2,437,517 | ) | | | | | | | | | (3,163,833 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net increase | | | | | | | | | 2,953,950 | | | | | | | | | | 4,277,910 | |
| | | | | | | | | | | | | | | | | | | | |
Global Bond | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | | | | | 5,063,867 | | | | | | | | | | 3,165,430 | |
Shares reinvested | | | | | | | | | 1,042,050 | | | | | | | | | | 909,471 | |
Shares redeemed | | | | | | | | | (1,155,096 | ) | | | | | | | | | (2,970,896 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net increase | | | | | | | | | 4,950,821 | | | | | | | | | | 1,104,005 | |
| | | | | | | | | | | | | | | | | | | | |
Defensive Market Strategies (1) | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | 1,394,675 | | | | | 5,372,393 | | | | | 7,926,676 | | | | | 23,725,418 | |
Shares reinvested | | | | 357,500 | | | | | 1,246,865 | | | | | 37,096 | | | | | 98,014 | |
Shares redeemed | | | | (1,010,990 | ) | | | | (527,398 | ) | | | | (658,547 | ) | | | | (240,539 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net increase | | | | 741,185 | | | | | 6,091,860 | | | | | 7,305,225 | | | | | 23,582,893 | |
| | | | | | | | | | | | | | | | | | | | |
(1)Inception date was September 1, 2011. | | | | | | | | | | | | | | | | | | | | |
Equity Index | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | 1,309,015 | | | | | 1,535,150 | | | | | 317,917 | | | | | 1,368,781 | |
Shares reinvested | | | | 400,508 | | | | | 330,280 | | | | | 1,795,569 | | | | | 2,092,530 | |
Shares redeemed | | | | (674,532 | ) | | | | (1,761,582 | ) | | | | (4,509,217 | ) | | | | (11,137,054 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) | | | | 1,034,991 | | | | | 103,848 | | | | | (2,395,731 | ) | | | | (7,675,743 | ) |
| | | | | | | | | | | | | | | | | | | | |
277
| | | | | | | | | | | | | | | | |
| | | Year Ended 12/31/12 | | | Year Ended 12/31/11 | |
| | | | |
| | | GS2 | | | GS4 | | | GS2 | | | GS4 | |
Real Estate Securities | | | | | | | | | | | | | | | | |
Shares sold | | | | | | | 4,786,237 | | | | | | | | 4,891,242 | |
Shares reinvested | | | | | | | 246,062 | | | | | | | | 116,999 | |
Shares redeemed | | | | | | | (3,358,942 | ) | | | | | | | (5,295,002 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | | | | | 1,673,357 | | | | | | | | (286,761 | ) |
| | | | | | | | | | | | | | | | |
Value Equity | | | | | | | | | | | | | | | | |
Shares sold | | | 1,248,320 | | | | 2,949,920 | | | | 2,589,631 | | | | 5,616,574 | |
Shares reinvested | | | 919,754 | | | | 839,556 | | | | 826,519 | | | | 741,275 | |
Shares redeemed | | | (3,682,506 | ) | | | (7,027,650 | ) | | | (7,091,548 | ) | | | (13,316,054 | ) |
| | | | | | | | | | | | | | | | |
Net decrease | | | (1,514,432 | ) | | | (3,238,174 | ) | | | (3,675,398 | ) | | | (6,958,205 | ) |
| | | | | | | | | | | | | | | | |
Growth Equity | | | | | | | | | | | | | | | | |
Shares sold | | | 608,864 | | | | 2,980,715 | | | | 1,066,279 | | | | 4,475,293 | |
Shares reinvested | | | 1,904,890 | | | | 3,649,389 | | | | — | | | | — | |
Shares redeemed | | | (1,935,265 | ) | | | (5,320,301 | ) | | | (3,506,557 | ) | | | (10,551,276 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | 578,489 | | | | 1,309,803 | | | | (2,440,278 | ) | | | (6,075,983 | ) |
| | | | | | | | | | | | | | | | |
Small Cap Equity | | | | | | | | | | | | | | | | |
Shares sold | | | 335,769 | | | | 1,682,203 | | | | 570,932 | | | | 3,248,230 | |
Shares reinvested | | | 537,278 | | | | 1,237,825 | | | | 30,315 | | | | 27,656 | |
Shares redeemed | | | (866,465 | ) | | | (3,478,641 | ) | | | (1,756,626 | ) | | | (6,727,792 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | 6,582 | | | | (558,613 | ) | | | (1,155,379 | ) | | | (3,451,906 | ) |
| | | | | | | | | | | | | | | | |
International Equity | | | | | | | | | | | | | | | | |
Shares sold | | | 2,421,769 | | | | 8,188,523 | | | | 3,565,561 | | | | 14,411,184 | |
Shares reinvested | | | 589,493 | | | | 1,281,757 | | | | 719,368 | | | | 1,592,756 | |
Shares redeemed | | | (1,678,205 | ) | | | (5,351,027 | ) | | | (3,823,440 | ) | | | (8,324,290 | ) |
| | | | | | | | | | | | | | | | |
Net increase | | | 1,333,057 | | | | 4,119,253 | | | | 461,489 | | | | 7,679,650 | |
| | | | | | | | | | | | | | | | |
7. BANK BORROWINGS
The Board of Trustees approved the renewal of a credit agreement with Bank of America, N.A. dated December 2, 2012 through December 1, 2013. The agreement permits up to $50 million, collectively. Interest is charged to each Fund based on its borrowings at a rate equal to the Bank Prime plus 0.60% or the Wall Street Journal LIBOR One Month Floating Rate plus 1.00%. Each Fund also pays a facility fee equal to its pro rata share of the amount of the credit facility at a rate of 0.30% per annum.
On August 7, 2012, the MyDestination 2055 Fund borrowed $250,000 at rate of 1.243%. The MyDestination 2055 Fund repaid the loan in the amount of $250,009, which represents principal and one day of accrued interest, August 8, 2012.
No other Funds borrowed for the period ended December 31, 2012, and there were no outstanding loans at December 31, 2012.
8. 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.
278
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 year ended December 31, 2012, the International Equity Fund accrued non-U.S. taxes on unrealized gains of $192,221.
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 (years ended December 31, 2009 through December 31, 2011) remains subject to examination by the Internal Revenue Service.
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, 2012, were characterized as follows for tax purposes:
279
| | | | | | | | | | | | | | | | | | | | |
Fund | | | | | Ordinary
Income | | | Long-Term
Capital Gain | | | Return
of Capital | | | Total
Distribution | |
MyDestination 2005 | | | 2012 | | | $ | 1,578,267 | | | $ | — | | | $ | — | | | $ | 1,578,267 | |
| | | 2011 | | | | 1,118,885 | | | | — | | | | — | | | | 1,118,885 | |
MyDestination 2015 | | | 2012 | | �� | | 7,838,073 | | | | — | | | | — | | | | 7,838,073 | |
| | | 2011 | | | | 4,639,060 | | | | — | | | | — | | | | 4,639,060 | |
MyDestination 2025 | | | 2012 | | | | 7,215,597 | | | | — | | | | — | | | | 7,215,597 | |
| | | 2011 | | | | 4,085,427 | | | | — | | | | — | | | | 4,085,427 | |
MyDestination 2035 | | | 2012 | | | | 2,242,099 | | | | 879,202 | | | | — | | | | 3,121,301 | |
| | | 2011 | | | | 1,557,736 | | | | 641,898 | | | | — | | | | 2,199,634 | |
MyDestination 2045 | | | 2012 | | | | 1,379,906 | | | | 660,432 | | | | — | | | | 2,040,338 | |
| | | 2011 | | | | 778,529 | | | | 1,902,435 | | | | — | | | | 2,680,964 | |
MyDestination 2055 | | | 2012 | | | | 118,877 | | | | — | | | | — | | | | 118,877 | |
Conservative Allocation | | | 2012 | | | | 5,840,997 | | | | 688,186 | | | | — | | | | 6,529,183 | |
| | | 2011 | | | | 4,849,965 | | | | 4,252,565 | | | | — | | | | 9,102,530 | |
Balanced Allocation | | | 2012 | | | | 25,943,077 | | | | 13,284,081 | | | | — | | | | 39,227,158 | |
| | | 2011 | | | | 24,215,019 | | | | 18,074,022 | | | | — | | | | 42,289,041 | |
Growth Allocation | | | 2012 | | | | 12,093,852 | | | | 5,913,471 | | | | — | | | | 18,007,323 | |
| | | 2011 | | | | 12,007,052 | | | | 13,021,185 | | | | — | | | | 25,028,237 | |
Aggressive Allocation | | | 2012 | | | | 7,350,220 | | | | 9,829,880 | | | | — | | | | 17,180,100 | |
| | | 2011 | | | | 7,015,783 | | | | 10,439,039 | | | | — | | | | 17,454,822 | |
Conservative Allocation I | | | 2012 | | | | 2,141,071 | | | | — | | | | — | | | | 2,141,071 | |
| | | 2011 | | | | 1,925,326 | | | | — | | | | — | | | | 1,925,326 | |
Balanced Allocation I | | | 2012 | | | | 13,614,253 | | | | — | | | | — | | | | 13,614,253 | |
| | | 2011 | | | | 12,643,249 | | | | — | | | | — | | | | 12,643,249 | |
Growth Allocation I | | | 2012 | | | | 5,883,636 | | | | — | | | | — | | | | 5,883,636 | |
| | | 2011 | | | | 5,922,267 | | | | — | | | | — | | | | 5,922,267 | |
Aggressive Allocation I | | | 2012 | | | | 2,288,303 | | | | — | | | | — | | | | 2,288,303 | |
| | | 2011 | | | | 2,389,446 | | | | — | | | | — | | | | 2,389,446 | |
Money Market | | | 2012 | | | | 256,904 | | | | — | | | | — | | | | 256,904 | |
| | | 2011 | | | | 251,150 | | | | — | | | | — | | | | 251,150 | |
Low-Duration Bond | | | 2012 | | | | 14,200,533 | | | | 430,869 | | | | — | | | | 14,631,402 | |
| | | 2011 | | | | 14,375,468 | | | | 607,824 | | | | — | | | | 14,983,292 | |
Medium-Duration Bond | | | 2012 | | | | 36,230,589 | | | | — | | | | — | | | | 36,230,589 | |
| | | 2011 | | | | 35,664,491 | | | | — | | | | — | | | | 35,664,491 | |
Extended-Duration Bond | | | 2012 | | | | 25,350,803 | | | | 8,562,989 | | | | — | | | | 33,913,792 | |
| | | 2011 | | | | 22,914,621 | | | | 15,984,265 | | | | — | | | | 38,898,886 | |
Inflation Protected Bond | | | 2012 | | | | 7,052,735 | | | | 2,263,673 | | | | — | | | | 9,316,408 | |
| | | 2011 | | | | 5,135,441 | | | | 1,036,828 | | | | — | | | | 6,172,269 | |
Global Bond | | | 2012 | | | | 10,523,011 | | | | — | | | | — | | | | 10,523,011 | |
| | | 2011 | | | | 8,997,511 | | | | — | | | | — | | | | 8,997,511 | |
Defensive Market Strategies | | | 2012 | | | | 14,722,792 | | | | 2,364,615 | | | | — | | | | 17,087,407 | |
| | | 2011 | | | | 1,375,713 | | | | — | | | | — | | | | 1,375,713 | |
Equity Index | | | 2012 | | | | 5,289,625 | | | | 2,667,155 | | | | — | | | | 7,956,780 | |
| | | 2011 | | | | 6,801,014 | | | | 34,862,054 | | | | — | | | | 41,663,068 | |
Real Estate Securities | | | 2012 | | | | 2,553,245 | | | | — | | | | — | | | | 2,553,245 | |
| | | 2011 | | | | 1,079,417 | | | | — | | | | — | | | | 1,079,417 | |
Value Equity | | | 2012 | | | | 19,346,383 | | | | — | | | | — | | | | 19,346,383 | |
| | | 2011 | | | | 16,657,286 | | | | — | | | | — | | | | 16,657,286 | |
Growth Equity | | | 2012 | | | | 2,148,451 | | | | 95,278,551 | | | | — | | | | 97,427,002 | |
| | | 2011 | | | | — | | | | — | | | | — | | | | — | |
Small Cap Equity | | | 2012 | | | | 3,052,762 | | | | 22,280,774 | | | | — | | | | 25,333,536 | |
| | | 2011 | | | | 703,937 | | | | — | | | | — | | | | 703,937 | |
International Equity | | | 2012 | | | | 22,469,818 | | | | — | | | | — | | | | 22,469,818 | |
| | | 2011 | | | | 24,239,880 | | | | — | | | | — | | | | 24,239,880 | |
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At December 31, 2012, the components of distributable earnings on a tax basis were as follows:
| | | | | | | | | | | | | | | | |
Fund | | Undistributed
Ordinary
Income | | | Undistributed
Long-Term
Capital
Gain/ (Capital
Loss
Carryforward) | | | Late Year
Loss
Deferrals | | | Net Unrealized
Appreciation
(Depreciation)
on Investments | |
MyDestination 2005 | | $ | 102,131 | | | $ | (1,881,232 | ) | | $ | — | | | $ | 1,848,416 | |
MyDestination 2015 | | | 1,380,527 | | | | (9,086,079 | ) | | | — | | | | 26,108,430 | |
MyDestination 2025 | | | 606,875 | | | | 4,996,344 | | | | — | | | | 25,843,108 | |
MyDestination 2035 | | | 44,599 | | | | 3,655,886 | | | | — | | | | 15,398,254 | |
MyDestination 2045 | | | 36,521 | | | | 2,748,611 | | | | — | | | | 14,653,647 | |
MyDestination 2055 | | | 1,987 | | | | 124,191 | | | | — | | | | 330,794 | |
Conservative Allocation | | | 12,108 | | | | 2,072,553 | | | | — | | | | 26,256,860 | |
Balanced Allocation | | | 193,133 | | | | 15,269,958 | | | | — | | | | 103,263,718 | |
Growth Allocation | | | 222,505 | | | | 17,119,879 | | | | — | | | | 65,345,248 | |
Aggressive Allocation | | | 217,143 | | | | 20,506,141 | | | | — | | | | 33,479,555 | |
Conservative Allocation I | | | 705,405 | | | | (2,058,253 | ) | | | — | | | | (316,148 | ) |
Balanced Allocation I | | | 5,274,456 | | | | (17,415,548 | ) | | | — | | | | (11,009,885 | ) |
Growth Allocation I | | | 1,465,336 | | | | (7,761,554 | ) | | | — | | | | (11,015,136 | ) |
Aggressive Allocation I | | | 2,572,546 | | | | (7,608,540 | ) | | | — | | | | (16,515,487 | ) |
Money Market | | | 12,575 | | | | — | | | | — | | | | — | |
Low-Duration Bond | | | 820,288 | | | | — | | | | — | | | | 5,881,031 | |
Medium-Duration Bond | | | 789,057 | | | | — | | | | — | | | | 27,008,296 | |
Extended-Duration Bond | | | 30,667 | | | | 2,965,168 | | | | — | | | | 66,921,878 | |
Inflation Protected Bond | | | 210,990 | | | | 682,106 | | | | — | | | | 12,172,097 | |
Global Bond | | | 323,777 | | | | (10,404,225 | ) | | | — | | | | 18,286,231 | |
Defensive Market Strategies | | | 376,033 | | | | 1,856,663 | | | | — | | | | 15,630,806 | |
Equity Index | | | 56,177 | | | | 448,720 | | | | — | | | | 53,660,232 | |
Real Estate Securities | | | 468,376 | | | | 1,057,070 | | | | — | | | | 18,410,509 | |
Value Equity | | | 7,694,927 | | | | (91,152,620 | ) | | | — | | | | 83,743,517 | |
Growth Equity | | | — | | | | 23,692,796 | | | | (579,420 | ) | | | 234,368,155 | |
Small Cap Equity | | | 94,978 | | | | 5,770,339 | | | | — | | | | 48,869,719 | |
International Equity | | | 208,040 | | | | (135,079,850 | ) | | | — | | | | 82,737,188 | |
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, 2012:
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| Expiring December 31, | | 2016 | | | 2017 | | | 2018 | | | Unlimited | | | Total | |
MyDestination 2005 | | $ | — | | | $ | 312,902 | | | $ | 1,568,330 | | | $ | — | | | $ | 1,881,232 | |
MyDestination 2015 | | | 889,637 | | | | 3,304,014 | | | | 3,056,941 | | | | 1,835,487 | | | | 9,086,079 | |
Conservative Allocation I | | | — | | | | 1,689,723 | | | | 368,530 | | | | — | | | | 2,058,253 | |
Balanced Allocation I | | | 4,262,186 | | | | 5,929,663 | | | | 3,461,879 | | | | 3,761,820 | | | | 17,415,548 | |
Growth Allocation I | | | 412,556 | | | | 2,508,443 | | | | 1,253,278 | | | | 3,587,277 | | | | 7,761,554 | |
Aggressive Allocation I | | | 3,489,043 | | | | 902,289 | | | | 2,119,350 | | | | 1,097,858 | | | | 7,608,540 | |
Global Bond | | | — | | | | 9,635,041 | | | | — | | | | 769,184 | | | | 10,404,225 | |
Value Equity | | | — | | | | 91,152,620 | | | | — | | | | — | | | | 91,152,620 | |
International Equity | | | — | | | | 116,531,925 | | | | — | | | | 18,547,925 | | | | 135,079,850 | |
Under the Regulated Investment Company Modernization Act of 2010, Funds will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010, for an unlimited period. Such losses are presented in the table above under the column heading “Unlimited.” However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this ordering rule, pre-enactment capital loss
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carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term losses as under previous law.
During the year ended December 31, 2012, the following Funds utilized capital loss carryforwards to offset capital gains:
| | | | |
| | | Carryforward
Utilized | |
MyDestination 2005 | | $ | 2,019,843 | |
MyDestination 2015 | | | 5,074,382 | |
MyDestination 2025 | | | 2,461,097 | |
Conservative Allocation I | | | 1,770,742 | |
Balanced Allocation I | | | 3,227,376 | |
Aggressive Allocation I | | | 1,796,658 | |
Global Bond | | | 1,290,052 | |
Real Estate Securities | | | 18,541,454 | |
Value Equity | | | 24,672,820 | |
Small Cap Equity | | | 9,852,173 | |
For federal income tax purposes, late year loss deferrals, which will reverse in 2013, were as follows as of December 31, 2012:
| | | | | | | | | | | | |
| | | Capital | | | Ordinary
Income | | | Total | |
Growth Equity | | $ | 578,555 | | | $ | 865 | | | $ | 579,420 | |
At December 31, 2012, 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 | | $ | 78,467,064 | | | $ | 1,848,416 | | | $ | 1,848,423 | | | $ | (7 | ) |
MyDestination 2015 | | | 326,300,552 | | | | 26,108,430 | | | | 26,108,442 | | | | (12 | ) |
MyDestination 2025 | | | 349,175,369 | | | | 25,843,108 | | | | 25,843,120 | | | | (12 | ) |
MyDestination 2035 | | | 172,632,890 | | | | 15,398,254 | | | | 15,398,259 | | | | (5 | ) |
MyDestination 2045 | | | 120,134,679 | | | | 14,653,647 | | | | 14,653,652 | | | | (5 | ) |
MyDestination 2055 | | | 5,966,228 | | | | 330,794 | | | | 331,861 | | | | (1,067 | ) |
Conservative Allocation | | | 300,384,935 | | | | 26,256,860 | | | | 26,256,942 | | | | (82 | ) |
Balanced Allocation | | | 1,100,424,430 | | | | 103,263,717 | | | | 105,636,494 | | | | (2,372,777 | ) |
Growth Allocation | | | 787,695,999 | | | | 65,345,248 | | | | 70,203,250 | | | | (4,858,002 | ) |
Aggressive Allocation | | | 692,667,846 | | | | 33,479,555 | | | | 52,813,437 | | | | (19,333,882 | ) |
Conservative Allocation I | | | 82,589,522 | | | | (316,148 | ) | | | 3,530,203 | | | | (3,846,351 | ) |
Balanced Allocation I | | | 355,943,134 | | | | (11,009,885 | ) | | | 20,861,091 | | | | (31,870,976 | ) |
Growth Allocation I | | | 227,261,568 | | | | (11,015,136 | ) | | | 7,145,548 | | | | (18,160,684 | ) |
Aggressive Allocation I | | | 159,193,840 | | | | (16,515,487 | ) | | | 3,828,778 | | | | (20,344,265 | ) |
Money Market | | | 1,236,905,789 | | | | — | | | | — | | | | — | |
Low-Duration Bond | | | 884,322,044 | | | | 5,374,463 | | | | 10,745,451 | | | | (5,370,988 | ) |
Medium-Duration Bond | | | 1,026,889,628 | | | | 24,561,611 | | | | 35,866,650 | | | | (11,305,039 | ) |
Extended-Duration Bond | | | 433,947,833 | | | | 66,916,399 | | | | 70,161,991 | | | | (3,245,592 | ) |
Inflation Protected Bond | | | 184,253,745 | | | | 12,168,413 | | | | 16,815,866 | | | | (4,647,453 | ) |
Global Bond | | | 257,654,056 | | | | 18,439,893 | | | | 19,381,093 | | | | (941,200 | ) |
Defensive Market Strategies | | | 424,824,046 | | | | 16,394,501 | | | | 23,751,419 | | | | (7,356,918 | ) |
Equity Index | | | 220,439,262 | | | | 53,660,232 | | | | 73,612,457 | | | | (19,952,225 | ) |
Real Estate Securities | | | 207,856,319 | | | | 18,410,509 | | | | 21,756,485 | | | | (3,345,976 | ) |
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| | | | | | | | | | | | | | | | | | | | | | | | |
Fund | | Federal Tax Cost | | | | | Net Unrealized
Appreciation
(Depreciation) | | | | | Appreciated
Securities | | | | | Depreciated
Securities | | | |
Value Equity | | $ | 1,147,243,135 | | | | | $ | 83,743,517 | | | | | $ | 180,397,828 | | | | | $ | (96,654,311 | ) | |
Growth Equity | | | 1,090,216,234 | | | | | | 234,369,765 | | | | | | 263,685,068 | | | | | | (29,315,303 | ) | |
Small Cap Equity | | | 530,505,156 | | | | | | 48,848,498 | | | | | | 61,776,365 | | | | | | (12,927,867 | ) | |
International Equity | | | 1,490,162,160 | | | | | | 84,112,103 | | | | | | 191,839,315 | | | | | | (107,727,212 | ) | |
The differences between book basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales and investments in PFIC’s.
At December 31, 2012, 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 | | | $ | | — | | | | | $ | 674,431 | | | | | | $ | (674,431 | ) |
MyDestination 2015 | | | | | — | | | | | | 3,135,359 | | | | | | | (3,135,359 | ) |
MyDestination 2025 | | | | | — | | | | | | 2,231,439 | | | | | | | (2,231,439 | ) |
MyDestination 2035 | | | | | — | | | | | | 103,912 | | | | | | | (103,912 | ) |
MyDestination 2045 | | | | | — | | | | | | 11,048 | | | | | | | (11,048 | ) |
MyDestination 2055 | | | | | — | | | | | | 42 | | | | | | | (42 | ) |
Conservative Allocation | | | | | — | | | | | | 1,767,824 | | | | | | | (1,767,824 | ) |
Balanced Allocation | | | | | — | | | | | | 7,134,151 | | | | | | | (7,134,151 | ) |
Growth Allocation | | | | | — | | | | | | 1,551,452 | | | | | | | (1,551,452 | ) |
Aggressive Allocation | | | | | — | | | | | | 911 | | | | | | | (911 | ) |
Conservative Allocation I | | | | | — | | | | | | 486,525 | | | | | | | (486,525 | ) |
Balanced Allocation I | | | | | — | | | | | | 3,458,803 | | | | | | | (3,458,803 | ) |
Growth Allocation I | | | | | — | | | | | | 833,405 | | | | | | | (833,405 | ) |
Aggressive Allocation I | | | | | — | | | | | | 63 | | | | | | | (63 | ) |
Money Market | | | | | — | | | | | | (38 | ) | | | | | | 38 | |
Low-Duration Bond | | | | | — | | | | | | 241,975 | | | | | | | (241,975 | ) |
Medium-Duration Bond | | | | | — | | | | | | 2,626,194 | | | | | | | (2,626,194 | ) |
Extended-Duration Bond | | | | | — | | | | | | 34,636 | | | | | | | (34,636 | ) |
Inflation Protected Bond | | | | | — | | | | | | 504 | | | | | | | (504 | ) |
Global Bond | | | | | — | | | | | | 1,193,273 | | | | | | | (1,193,273 | ) |
Defensive Market Strategies | | | | | (37) | | | | | | 226,617 | | | | | | | (226,580 | ) |
Equity Index | | | | | — | | | | | | 251 | | | | | | | (251 | ) |
Real Estate Securities | | | | | — | | | | | | 113 | | | | | | | (113 | ) |
Value Equity | | | | | — | | | | | | 467 | | | | | | | (467 | ) |
Growth Equity | | | | | — | | | | | | 10,512 | | | | | | | (10,512 | ) |
Small Cap Equity | | | | | — | | | | | | 397,797 | | | | | | | (397,797 | ) |
International Equity | | | | | — | | | | | | 438,448 | | | | | | | (438,448 | ) |
Net investment income, net realized gain (loss) on investments and net assets were not affected by these reclassifications.
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9. 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 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,
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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, Medium-Duration Bond Fund and International Equity 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 and with respect to those amounts which can be repledged, are presented in the Fund’s Schedule of Investments or Statements of Assets and Liabilities. Cash collateral posted to the Funds which can not be repledged totaled $1,660,000, $1,585,000 and $3,820,018 in the Low-Duration Bond Fund, Medium-Duration Bond Fund and International Equity Fund, respectively, at December 31, 2012. Collateral can also be in the form of 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. Securities pledged as collateral are designated in the Fund’s Schedule of Investments, as applicable.
10. NEW ACCOUNTING PRONOUNCEMENTS
In December 2011, FASB issued Accounting Standards Update (“ASU”) No. 2011-11 “Disclosures about Offsetting Assets and Liabilities.” ASU No. 2011-11 changes requires an entity to make additional disclosures about offsetting assets and liabilities and related arrangements. The new guidance seeks to enhance disclosures by requiring improved information about financial instruments and derivatives instruments that are either (1) offset in according with GAAP or (2) subject to enforceable master netting arrangement or similar agreement, irrespective of whether they are offset in accordance with GAAP. The objective of this information is to enable users of an entity’s financial statements to evaluate the effect or potential effect of netting arrangements on an entity’s financial position, including the effect or potential effect of rights of netting associated with certain financial instruments and derivative instruments in the scope of the update. The ASU is effective for annual periods beginning on or after January 1, 2013 and interim periods within those fiscal periods. At this time, management is evaluating the implications of ASU No. 2011-11, and its impact on the financial statements has not been determined.
11. 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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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees and
Shareholders of GuideStone Funds:
In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of MyDestination 2005 Fund, MyDestination 2015 Fund, MyDestination 2025 Fund, MyDestination 2035 Fund, MyDestination 2045 Fund, MyDestination 2055 Fund, Conservative Allocation Fund, Balanced Allocation Fund, Growth Allocation Fund, Aggressive Allocation Fund, Conservative Allocation Fund I, Balanced Allocation Fund I, Growth Allocation Fund I, Aggressive Allocation Fund I, Money Market Fund, Low-Duration Bond Fund, Medium-Duration Bond Fund, Extended-Duration Bond Fund, Inflation Protected Bond Fund, Global Bond Fund, Defensive Market Strategies Fund, Equity Index Fund, Real Estate Securities Fund, Value Equity Fund, Growth Equity Fund, Small Cap Equity Fund, and International Equity Fund (constituting GuideStone Funds, hereafter referred to as the “Trust”) at December 31, 2012, the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Trust’s management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2012 by correspondence with the custodian, brokers and transfer agent of the investee funds, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
February 28, 2013
286
NOTICE TO SHAREHOLDERS (Unaudited)
Each Fund is required by Subchapter M of the Internal Revenue Code of 1986, as amended, to advise its shareholders of the federal tax status of distributions received by each Fund’s shareholders. During the year ended December 31, 2012, the Funds hereby designate the following dividends and distributions paid by each of the Funds:
| | | | | | | | | | | | |
Fund | | Ordinary
Income | | | Long-Term
Capital Gain | | | Return
of Capital | |
MyDestination 2005 | | $ | 1,578,267 | | | $ | — | | | $ | — | |
MyDestination 2015 | | | 7,838,073 | | | | — | | | | — | |
MyDestination 2025 | | | 7,215,597 | | | | — | | | | — | |
MyDestination 2035 | | | 2,242,099 | | | | 879,202 | | | | — | |
MyDestination 2045 | | | 1,379,906 | | | | 660,432 | | | | — | |
MyDestination 2055 | | | 118,877 | | | | — | | | | — | |
Conservative Allocation | | | 5,840,997 | | | | 688,186 | | | | — | |
Balanced Allocation | | | 25,943,077 | | | | 13,284,081 | | | | — | |
Growth Allocation | | | 12,093,852 | | | | 5,913,471 | | | | — | |
Aggressive Allocation | | | 7,350,220 | | | | 9,829,880 | | | | — | |
Conservative Allocation I | | | 2,141,071 | | | | — | | | | — | |
Balanced Allocation I | | | 13,614,253 | | | | — | | | | — | |
Growth Allocation I | | | 5,883,636 | | | | — | | | | — | |
Aggressive Allocation I | | | 2,288,303 | | | | — | | | | — | |
Money Market | | | 256,904 | | | | — | | | | — | |
Low-Duration Bond | | | 14,200,533 | | | | 430,869 | | | | — | |
Medium-Duration Bond | | | 36,230,589 | | | | — | | | | — | |
Extended-Duration Bond | | | 25,350,803 | | | | 8,562,989 | | | | — | |
Inflation Protected Bond | | | 7,052,735 | | | | 2,263,673 | | | | — | |
Global Bond | | | 10,523,011 | | | | — | | | | — | |
Defensive Market Strategies | | | 14,722,792 | | | | 2,364,615 | | | | — | |
Equity Index | | | 5,289,625 | | | | 2,667,155 | | | | — | |
Real Estate Securities | | | 2,553,245 | | | | — | | | | — | |
Value Equity | | | 19,346,383 | | | | — | | | | — | |
Growth Equity | | | 2,148,451 | | | | 95,278,551 | | | | — | |
Small Cap Equity | | | 3,052,762 | | | | 22,280,774 | | | | — | |
International Equity | | | 22,469,818 | | | | — | | | | — | |
Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes. Long-term capital gain distributions are taxable as capital gain dividends.
287
NOTICE TO SHAREHOLDERS (Continued)
The following percentages of ordinary income dividends paid for the year ended December 31, 2012, have been designated as qualified for the reduced tax rate under The Job and Growth Tax Relief Reconciliation Act of 2003.
| | | | |
Fund | | | |
MyDestination 2005 | | | 19.99 | % |
MyDestination 2015 | | | 26.03 | % |
MyDestination 2025 | | | 35.19 | % |
MyDestination 2035 | | | 60.62 | % |
MyDestination 2045 | | | 72.05 | % |
MyDestination 2055 | | | 36.04 | % |
Conservative Allocation | | | 15.10 | % |
Balanced Allocation | | | 24.16 | % |
Growth Allocation | | | 50.82 | % |
Aggressive Allocation | | | 93.87 | % |
Conservative Allocation I | | | 16.91 | % |
Balanced Allocation I | | | 22.73 | % |
Growth Allocation I | | | 51.50 | % |
Aggressive Allocation I | | | 100.00 | % |
Defensive Market Strategies | | | 37.56 | % |
Equity Index | | | 81.33 | % |
Value Equity | | | 100.00 | % |
Growth Equity | | | 100.00 | % |
Small Cap Equity | | | 100.00 | % |
International Equity | | | 100.00 | % |
All above designations are based on financial information available as of the date of this annual report, and accordingly, are subject to change. It is the intention of the Funds to designate the maximum amount permitted under the Internal Revenue Code and the regulations thereunder. Shareholders are advised to consult their own tax advisers with respect to the tax consequences of their investment in the Funds.
288
FUND MANAGEMENT (Unaudited)
Information pertaining to the Trustees and officers of the Trust is set forth below. The statement of additional information (SAI) includes additional information about the Trustees and is available without charge, upon request, by calling 1-888-98-GUIDE (1-888-984-8433).
| | | | | | | | | | |
| | | | | | | | | | | |
Name, (DOB),Address and Position(s) with Trust | | Term of Office
and Length of
Time Served1 | | | | Principal Occupation(s) During Past 5 Years | | Number of
Portfolios
in Fund
Complex
Overseen
by Trustee | | Other Trusteeships/ Directorships Held by Trusteee |
DISINTERESTED TRUSTEES2 |
Michael R. Buster (1957) 2401 Cedar Springs Road Dallas, TX 75201-1407 Trustee | | Since 2002 | | | | Executive Pastor, Prestonwood Baptist Church, 1989 - present. | | 27 | | Ouachita Baptist University - Board of Trustees Member |
Peter L. Chamberlain, Ph.D. (1951) 2401 Cedar Springs Road Dallas, TX 75201-1407 Trustee | | Since 2008 | | | | Chief Executive Officer, B.R. Chamberlain Foundation, June 2011 – present; Investment Advisor, BRC Management, June 2011 – present; Retired - Senior Financial Analyst, Summit Wealth Management, Inc., 2007 - 2010; President, B.R. Chamberlain & Sons, Inc., 1990 - 2006 Registered Investment Adviser. | | 27 | | 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. | | 27 | | N/A |
William Craig George (1958) 2401 Cedar Springs Road Dallas, TX 75201-1407 Trustee | | Since 2004 | | | | Chief Credit Officer, CapStone Bank, 2011 - present; Executive Vice President/ Regional Credit Officer, SunTrust Bank, 1995 - 2011. | | 27 | | N/A |
Grady R. Hazel (1947) 2401 Cedar Springs Road Dallas, TX 75201-1407 Trustee | | Since 2011 | | | | G400 Field Representative, American Institute of Certified Public Accountants, 2012 - present; Executive Director, Society of Louisiana CPAs, 1995 - 2012. | | 27 | | 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 | | | | Retired - Director, Office of Public Policy, South Carolina Baptist Convention, 1999 - 2010. | | 27 | | 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. | | 27 | | 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; Senior Vice President, Wachovia Securities LLC, July 2003 – January 2007; Senior Vice President, Prudential Financial Inc., October 2000 – July 2003. | | 27 | | Therizo Capital Management — Director and Chairman of Audit Committee |
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| | | | | | | | | | | |
289
FUND MANAGEMENT (Continued)
| | | | | | | | | | |
| | | | | | | | | | | |
Name, (DOB), Address and Position(s) with Trust | | Term of Office
and Length of
Time Served1 | | | | Principal Occupation(s) During Past 5 Years | | Number of
Portfolios
in Fund
Complex
Overseen
by Trustee | | Other Trusteeships/ Directorships Held by Trusteee |
| INTERESTED TRUSTEES2,3 |
Thomas G. Evans (1961) 2401 Cedar Springs Road Dallas, TX 75201-1407 Trustee | | Since 2012 | | | | President and Owner, Encompass Financial Services, Inc., 1984 – present, President and Owner, Custom Land Management, LLC, 1984 – present; Manager, Private Partners Opportunity Fund, LLC, 2011 – present. | | 27 | | GuideStone Financial Resources – Board of Trustees Member, June 2010 – present; Baptist Foundation of Oklahoma, Board of Directors Member and Chairman, 2004 – present; Pioneer Spirit Foundation – Board of Trustees Member, 1993 – present; GuideStone Capital Management, Board of Directors Member, July 2011 – July 2012 |
James W. Hixson (1931) 2401 Cedar Springs Road Dallas, TX 75201-1407 Trustee | | Since 2010 | | | | Retired | | 27 | | GuideStone Financial Resources – Board of Trustees Member, June 2008 – present; GuideStone Advisors – Board of Directors Member, July 2008 – present; GuideStone Financial Services – Board of Directors Member, July 2008 – present |
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 | | | | Director of Broker/Dealer and RIA Compliance, GuideStone Financial Resources, June 2009 – present; Manager of Broker/Dealer and RIA Compliance, GuideStone Financial Resources, 2008 – May 2009; Marketing Compliance Manager, GuideStone Financial Resources, 2005 - present; Compliance Specialist, GuideStone Financial Resources, 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, 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, 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, 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, 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, 2006 - present; Director, Mutual Funds, GuideStone Financial Resources, 2000 - 2006. | | N/A | | N/A |
| 1 | Each Independent Trustee serves until his or her resignation, removal or mandatory retirement. Each Interested Trustee serves until his or her resignation, removal or mandatory retirement or until he or she ceases to be a member of the board of trustees of GuideStone Financial Resources. All Trustees must retire after reaching the age of seventy-seven years or after achieving ten years of service, whichever occurs last. 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. Evans and Hixson are “interested persons” of the Trust as the term is defined in the Investment Company Act of 1940, due to their positions on the Board of Trustees of GuideStone Financial Resources. |
| 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. |
290
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.
291
BOARD REVIEW OF ADVISORY AGREEMENT AND SUB-ADVISORY AGREEMENTS (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 Section 2(a)(19) of the 1940 Act (the “Independent Trustees”), recently considered the renewal of (i) the investment advisory agreement between GuideStone Capital Management (the “Adviser” or “GSCM”) and the Trust on behalf of the Date Target, Asset Allocation and Select Funds (each a “Fund” and together, the “Funds”) of the Trust (the “Advisory Agreement”); (ii) the sub-advisory agreements among the Adviser, each sub-adviser and the Trust on behalf of each Select Fund; and (iii) the sub-advisory agreement among the Adviser, The Clifton Group Investment Management Company (“Clifton”) and the Trust on behalf of each Fund participating in the cash overlay program (“Cash Overlay Program”) (Items ii and iii are referred to collectively as the “Sub-Advisory Agreements”). The Advisory Agreement and the Sub-Advisory Agreements presented for renewal (collectively, the “Agreements”) were approved for an additional one-year term at a meeting of the Board held on September 13, 2012. The Board’s decision to approve the Agreements reflects the exercise of its business judgment to continue each existing arrangement. In approving the Agreements, the Board considered information provided by the Adviser, each applicable sub-adviser and a consulting firm engaged by the Adviser with the assistance and advice of counsel to the Independent Trustees and counsel to the Trust. The following matters were not subject to annual renewal at the September 13, 2012 Board meeting: (i) the Clifton sub-advisory agreement with respect to the Cash Overlay Program for the MyDestination 2055 Fund; (ii) the Barrow, Hanley, Mewhinney & Strauss, LLC sub-advisory agreement with respect to the GuideStone Funds International Equity Fund (“International Equity Fund”); (iii) the AQR Capital Management, LLC sub-advisory agreement with respect to the International Equity Fund emerging markets equity strategy investment mandate; and (iv) the advisory agreement with GSCM on behalf of the MyDestination 2055 Fund.
The Board’s consideration of various factors and its conclusions with respect to such factors formed the basis for the Board’s determination to continue the Agreements. The factors considered by the Board included, but were not limited to: (i) the resources of the Adviser or sub-adviser; (ii) the experience and expertise of the Adviser or sub-adviser; (iii) the financial capabilities of the Adviser or sub-adviser; (iv) the compliance procedures and history of the Adviser or sub-adviser; (v) the performance of the Fund or portfolio account in comparison to relevant benchmarks, similarly managed funds and the Adviser’s or sub-adviser’s other clients; (vi) the costs of the services to be provided by the Adviser or sub-adviser; (vii) the amount of the contractual advisory fee in comparison to similarly managed funds and the Adviser’s or sub-adviser’s other clients and the effect of any fee waiver and expense reimbursement arrangement; (viii) the total expenses of the Fund in comparison to similarly managed funds and the use of past and anticipated expense caps; (ix) the profitability of the Adviser or sub-adviser with respect to the Fund or portfolio account and its overall business as well as the effect of fee waivers and expense caps on profitability; (x) the extent of any economies of scale and whether the fee structure reflects such economies of scale through breakpoints; (xi) the existence of any collateral benefits realized by the Adviser or sub-adviser; and (xii) the existence of any collateral benefits realized by the Fund. In its decision to renew the Agreements, the Board was also mindful of the potential disruptions of the Trust’s operations and various risks, uncertainties and other effects that could occur as a result of a decision to terminate or not renew an Agreement. The Board also evaluated whether the approval of an Agreement is in the best interests of each Fund and its shareholders. No one factor was determinative in the Board’s consideration of the Agreements.
The Board undertook a review of the terms of the Agreements and the nature, extent and quality of the services provided by the Adviser and each applicable sub-adviser. The Board conducted its analysis on a fund-by-fund basis with respect to the Adviser and each applicable sub-adviser. The Adviser provided the Board with substantial detailed information in the form of reports about each Date Target Fund, Asset Allocation Fund, Select Fund, applicable sub-advisory firm and the Adviser prior to and during the meeting, which addressed the factors listed previously. The Adviser also provided additional information about the Adviser and each sub-adviser in presentations made during the meeting and responded to questions from the Trustees. 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 continuation of the Agreements as well as the Trustees’ responsibilities and duties in approving the Agreements.
292
BOARD APPROVAL OF CONTINUATION OF ADVISORY AGREEMENT WITH GSCM
In considering the renewal of the existing Advisory Agreement with GSCM, the Board took into account all the materials provided prior to and during the meeting, the presentations made during the meeting and the comprehensive discussions during the meeting, including the discussions between the Independent Trustees and their independent legal counsel during the executive session. More specifically, the Board examined the nature, extent and quality of the services to be provided by the Adviser to the Funds. The Board evaluated the Adviser’s experience in serving as an investment adviser, including overseeing and managing the allocation of each Fund’s assets among the sub-advisers. The Board considered the experience of key personnel at the Adviser in providing investment management and administrative services and the systems used by such persons and the ability of the Adviser to attract and retain capable personnel. The Board considered the reputation, compliance history, compliance program and financial condition of the Adviser. The Board also considered the terms of the Advisory Agreement and the responsibilities that the Adviser has as investment adviser to the Funds, including oversight of sub-adviser compliance with each Fund’s policies and objectives, oversight of general Fund compliance, including compliance with social restrictions and the implementation of Board directives as they relate to the Funds. The Board concluded that each 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. In their deliberations, the Board members did not identify any particular information that was all-important or controlling, and each Trustee may have attributed different weights to the various factors deliberated upon, among others.
The Board also reviewed a memorandum prepared by a consulting firm engaged by the Adviser for, among other things, supplying research on expense comparisons and investment performance of other similar funds. The memorandum compared each Date Target, Asset Allocation and Select Fund with other funds having the same investment style or objective, and compared the share class of each Fund with other funds in the same distribution channel. The Board analyzed the comparative expense information for each Fund and the performance information for each Select Fund in the memorandum, including comparative expense information for each Fund based on a sampling of funds similar in asset size. The Board considered the comparative fee and expense information that had been provided in its evaluation of the management fees charged to each Fund. The Board evaluated the annualized performance results comparing the Select Funds against their peers.
The Board examined fee and expense information for the Select Funds, as compared to other funds in the Funds’ asset-stratified peer groups for the GS4 Class as of June 30, 2012. The Board determined that the management fees (combined advisory and sub-advisory fees) net of any fee waiver or expense reimbursement, for each Select Fund were the same or lower than the median management fees for other mutual funds in the Fund’s asset-stratified peer group, except for the Medium-Duration Bond, Defensive Market Strategies, Equity Index, Value Equity, Growth Equity, Small Cap Equity and International Equity Funds. The Board took into account that the management fees, net of any fee waiver or expense reimbursement, for the Extended-Duration Bond, Inflation Protected Bond and Real Estate Securities Funds ranked in the second quartile, and the Money Market Fund, Low-Duration Bond and Global Bond Funds ranked in the first quartile among similar funds at similar asset levels. The Board also considered that the management fees, net of any fee waiver or expense reimbursement, for the Medium-Duration Bond, Equity Index and Value Equity Funds ranked in the third quartile and for the Defensive Market Strategies, Growth Equity, Small Cap Equity and International Equity Funds ranked in the fourth quartile, among similar funds at similar asset levels. The Board also evaluated the total expense ratios for other funds in the Funds’ asset-stratified peer groups and determined that each Fund’s total expense ratio, with the exception of the Money Market and Defensive Market Strategies Funds, was lower than the median total expense ratio for such other funds. The Board took into account that the total expense ratios for the Money Market and Defensive Market Strategies Funds ranked in the fourth quartile, among similar funds at similar asset levels.
The Board also examined fee and expense information for the Select Funds, as compared to other funds in the peer groups for the GS2 Class as of June 30, 2012. The Board determined that the management fees, net of any fee waiver or expense reimbursement, for each Select Fund were the same or lower than the median management fees for other mutual funds in each Fund’s peer group, except for the Money Market, Medium-Duration Bond, Defensive Market Strategies, Equity Index, Growth Equity, Small Cap Equity and International Equity Funds. The Board noted that the management fees, net of any fee waiver or expense reimbursement, for the Low-Duration Bond, Extended-Duration Bond and Value Equity Funds ranked in the second quartile; the Money Market, Medium-Duration Bond, Equity Index and Small Cap Equity Funds ranked in the third quartile; and the Defensive Market Strategies, Growth Equity and International Equity Funds ranked in the fourth quartile, among similar
293
funds. The Board also evaluated the total expense ratios for other funds in the Funds’ peer groups and determined that each Fund’s total expense ratio was the same as, or lower than, the median total expense ratio for such other funds, except for the Money Market, Defensive Market Strategies, Equity Index and Small Cap Equity Funds. The Board took into account that the total expense ratios for the Money Market, Equity Index and Small Cap Equity Funds ranked in the third quartile and the Defensive Market Strategies Fund ranked in the fourth quartile.
The Board also examined fee and expense information for the Date Target Funds and the Asset Allocation Funds, as compared to other funds in the Funds’ asset-stratified peer groups for the GS4 Class of the Date Target Funds and the GS2 and GS4 Classes of the Asset Allocation Funds as of June 30, 2012. The Board determined that the management fees, net of any fee waiver or expense reimbursement, for each Date Target Fund were higher than the median management fees for other mutual funds in each Fund’s asset-stratified peer group and that the total expense ratios for each Date Target Fund were lower than the median total expense ratio (top quartile) for such other funds. For the Asset Allocation Funds, the Board determined that the management fees, net of any fee waiver or expense reimbursement, for each Asset Allocation Fund for both the GS2 and GS4 Classes were higher than the median management fees for other mutual funds in each Fund’s asset-stratified peer group and that the total expense ratios for each Asset Allocation Fund for both the GS2 and GS4 Classes were lower than the median total expense ratio for such other funds. The Board concluded that the level of the management fees for each Select Fund, Date Target Fund and Asset Allocation Fund was reasonable and compared fairly to that of comparable mutual funds.
The Board examined the performance information for the GS4 Class of the Select Funds compared to the relevant benchmark and to Lipper peer rankings, specifically for the three-, five- and 10-year average annual total returns for the period ended June 30, 2012. The Board noted that the average annual total returns for the three-, five- and 10-year periods ended June 30, 2012, for the Extended-Duration Bond Fund ranked in the first quartile. For the period ended June 30, 2012, the Board noted that for the three-year average annual total returns the Global Bond, Equity Index, Value Equity, Growth Equity and Small Cap Equity Funds ranked in the first quartile; the Low-Duration Bond, Medium-Duration Bond, Real Estate Securities and International Equity Funds ranked in the second quartile; and the Money Market and Inflation Protected Bond Funds ranked in the third quartile. For the five-year average annual total return for the period ended June 30, 2012, the Board noted that the Low-Duration Bond, Medium-Duration Bond and Global Bond Fund ranked in the first quartile; the Money Market, Equity Index, Growth Equity, Small Cap Equity and International Equity Funds ranked in the second quartile; and the Real Estate Securities and Value Equity Funds ranked in the third quartile. For the 10-year average annual total return period ended June 30, 2012, the Board noted that the Medium-Duration Bond Fund ranked in the first quartile; the Low-Duration Bond, Equity Index, Real Estate Securities, Value Equity, Growth Equity and International Equity Funds ranked in the second quartile; and the Money Market and Small Cap Equity Funds ranked in the third quartile. The Board recognized the inception dates of the Global Bond Fund (2006) and Inflation Protected Bond Fund (2009), noting the 10-year average annual total return information for the Global Bond Fund and the five- and 10-year average annual total return information for the Inflation Protected Bond Fund was not available. In addition, the Board noted that the Defensive Market Strategies Fund had commenced operations in September 2011, and therefore, no performance or comparison data was available.
The Board examined the performance information for the GS4 Class of each Asset Allocation Fund compared to the relevant benchmark and to Lipper peer rankings for the three-, five- and 10-year periods ended June 30, 2012, and for the Date Target Funds for the three- and five-year periods ended June 30, 2012. The Board noted that the Conservative Allocation Fund ranked in the fourth quartile among Lipper peers for the three-year period and the third quartile for the five- and 10-year periods ended June 30, 2012; the Balanced Allocation Fund ranked in the second quartile among Lipper peers for the three- and 10-year periods and the first quartile for the five-year period ended June 30, 2012; and the Growth Allocation Fund ranked in the second quartile among Lipper peers for the three- and 10-year periods and the third quartile for the five-year period ended June 30, 2012; and the Aggressive Allocation Fund ranked in the first quartile among Lipper peers for the three-year period, second quartile for the five-year period and third quartile for the 10-year period ended June 30, 2012. The Board also noted that the MyDestination 2015, 2025, 2035 and 2045 Funds each ranked in the first quartile among Lipper peers for the three-year period ended June 30, 2012, while the MyDestination 2005 Fund ranked in the second quartile among Lipper peers for the same period. Among Lipper peers for the five-year period ended June 30, 2012, the Board noted that the MyDestination 2005 Fund ranked in the first quartile; the MyDestination 2015 and 2025 Funds ranked in the second quartile; and the MyDestination 2035
294
and 2045 Funds ranked in the third quartile. In addition, the Board noted that the MyDestination 2055 Fund had commenced operations in January 2012, and therefore, no performance or comparison data was available.
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 and the fact that any profit realized by the Adviser is forwarded to its affiliate 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, first without taking into account sub-advisory fees, and second, 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.
The Board considered the extent to which the advisory fee to be paid to the Adviser reflected economies of scale. The Board noted that all of the Funds are subject to an expense cap. The Board also noted that the total expense ratios net of any fee waiver and expense reimbursement were below the median total expense ratio for other similar funds at the same asset levels for the GS4 Class, except for the Money Market and Defensive Market Strategies Funds. Based on their review, the Board concluded that each Fund’s advisory fee was reasonable.
Based on all of the information presented to the Board and its consideration of relevant factors, the Board concluded that the fee paid to the Adviser by each Fund was reasonable, and in the exercise of its business judgment, determined to approve the continuation of the Advisory Agreement for each Fund. The Board also determined that approval of the continuation of each Advisory Agreement is in the best interests of each Fund and its shareholders.
BOARD APPROVAL OF CONTINUATION OF SUB-ADVISORY AGREEMENTS FOR THE SELECT FUNDS AND THE FUNDS PARTICIPATING IN THE CASH OVERLAY PROGRAM
In considering the existing Sub-Advisory Agreements with each of the applicable sub-advisers, 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 their independent legal counsel. The Board also took into account the Investment Management Committee’s (the “Committee”) review of information related to the Trust’s sub-advisers, questions submitted by the Committee to Trust management regarding various sub-advisers, Trust management’s responses to those questions and recommendations made by the Committee. More specifically, the Board examined the nature, extent and quality of the services to be provided by the sub-advisers to the Select Funds, including the services to be provided by Clifton to each Fund participating in the Cash Overlay Program. The Board evaluated each sub-adviser’s experience in serving as a sub-adviser to the applicable Fund. The Board noted that each sub-adviser currently provides investment advice to various clients, including, in some cases, other pooled investment vehicles. The Board noted the experience of key personnel at each sub-adviser in providing investment management services and the systems used by such persons and the ability of each sub-adviser to attract and retain capable personnel. The Board noted the reputation, compliance history, compliance program and financial condition of each sub-adviser. The Board also noted the terms of the existing Sub-Advisory Agreements and the responsibilities that each sub-adviser has towards a Fund, including the responsibility of the day-to-day management of the investment portfolio of each Fund, compliance with each Fund’s policies and objectives and the implementation of Board directives as they relate to the Funds. The Board also noted that market conditions presented extraordinary challenges for active management. The Board concluded that each 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. In their deliberations, the Board members did not identify any particular information that was all-important or controlling, and each Trustee may have attributed different weights to the various factors deliberated upon, among others.
The Board examined performance information for each segment of a Select Fund managed by a sub-adviser. The Board noted that, for many of the sub-advisers, the performance record of the segment of the Select Fund managed by the sub-adviser compared favorably to the relevant Fund’s benchmark, the composite performance for the sub-adviser’s clients (on a gross fee basis) and the peer universe of similarly managed funds for the period of time the sub-adviser performed advisory services on behalf of the Select Fund. In cases where the sub-adviser’s performance lagged behind the Fund’s benchmark, the Board also
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considered more recent investment performance, performance measured against other relevant benchmarks and any reductions in the sub-advisory fee.
The Board also noted that, in certain cases, market trends due to the economic downturn have contributed to the underperformance of some of the sub-advisers. The Board concluded that, although past performance is no guarantee of future performance, the performance of each Select Fund was satisfactory and the Select Funds, as well as the Funds participating in the Cash Overlay Program, were likely to benefit from each sub-adviser continuing to serve as sub-adviser to the Trust’s Funds.
The Board also examined the fee schedule for each sub-adviser, noting how the fee levels charged to the Trust compared with available information about fees charged by the sub-advisers to their other similarly situated clients, which in many cases include separately managed accounts, as well as how the sub-adviser fee levels for each Select Fund compared to the median sub-advisory fee for the peer universe of similarly managed funds.
The Board also took into account the profitability and the financial capability of each sub-adviser in light of information presented at the meeting. In light of these considerations, the Board concluded that the profits realized by each sub-adviser who completed a profitability questionnaire appeared reasonable. For those sub-advisers that did not provide profitability information, the Board relied upon other relevant information, particularly the independent negotiation of the fee schedules, the level of the fees and the sub-adviser’s performance history. The Board noted that, based on the Adviser’s representations, the financial statements of the sub-advisers did not appear to raise any concerns regarding the financial capability of those sub-advisers. The Board also considered the Adviser’s representations in the materials prepared for this meeting that to its knowledge no sub-adviser experienced any material change in its financial condition since the date of its most recent audited financial statements.
The Board considered the extent to which sub-adviser fees to be paid to each sub-adviser reflected economies of scale. The Board noted that each sub-adviser’s fee schedule either reflected economies of scale by reducing the fee on assets in excess of certain stated breakpoints or the fee level negotiated was below or on par with the standard fee level for the sub-adviser.
In evaluating the benefits that are expected to accrue to each sub-adviser through its relationship as sub-adviser to a Select Fund, the Board noted that certain sub-advisers allocate portfolio brokerage to affiliated broker-dealers that receive commissions from the execution of Fund trades. The Board also noted that certain sub-advisers expect to benefit from “soft dollar” arrangements by which brokers will provide research and other services to the sub-adviser in exchange for commissions on trades of the portfolio securities of the Select Fund. The Board considered whether any direct or indirect collateral benefits inured to the Trust as a result of its affiliation with each sub-adviser.
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 continuation of each Sub-Advisory Agreement. The Board also determined that approval of the continuation of each Sub-Advisory Agreement is in the best interests of each Select Fund and each Fund participating in the Cash Overlay Program and their respective shareholders.
BOARD REVIEW OF NEW SUB-ADVISORY AGREEMENT FOR THE VALUE EQUITY FUND
As required by the 1940 Act, the Board of the Trust, including all of the Independent Trustees, considered the approval of a new sub-advisory agreement among the Adviser, TCW Investment Management Company (“TCW”) and the Trust on behalf of the GuideStone Funds Value Equity Fund (“Value Equity Fund”). The Board approved a new sub-advisory agreement with TCW (the “New Sub-Advisory Agreement”) at an in-person meeting of the Board held on November 8, 2012, which will be entered into effective upon the change of control of TCW.
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 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 New Sub-Advisory Agreement; (ii) TCW’s corporate structure after the transaction causing the assignment of the sub-advisory agreement and any potential effects on the ability of TCW to provide services to the Value Equity Fund; (iii) any changes to TCW’s personnel, systems or policies arising from the transaction; and (iv) any other possible effects of the transaction on the operations of TCW or the services it provides to the Value Equity Fund.
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TCW provided the Board with a memorandum summarizing the details of the change of control 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 change of control and the approval of the New Sub-Advisory Agreement, including the Board’s responsibilities and duties in approving the agreement.
The Board’s decision to approve the New Sub-Advisory Agreement reflects the exercise of its business judgment to enter into new or amended sub-advisory arrangements. In approving the New Sub-Advisory Agreement, the Board considered information provided by the Adviser and the relevant parties to the change of control 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 New Sub-Advisory Agreement. The factors considered by the Board included, but were not limited to: (i) the resources of the sub-adviser; (ii) the experience and expertise of the sub-adviser; (iii) the financial capability of the sub-adviser; (iv) the compliance procedures and history of the sub-adviser; (v) the performance of similarly managed funds and accounts in comparison to relevant benchmarks for the Value Equity Fund; (vi) the costs of the services to be provided by the sub-adviser; (vii) the amount of the contractual sub-advisory fee in comparison to similarly managed funds and any available information for the sub-adviser’s other similarly situated clients and the effect of any fee waiver and expense reimbursement arrangement; (viii) the total expenses of the Value Equity Fund in comparison to similarly managed funds and the use of any anticipated expense caps; (ix) to the extent available, the anticipated profitability of the sub-adviser with respect to the Value Equity Fund and its overall business; (x) the extent of any economies of scale and whether the fee structure reflects such economies of scale; (xi) the existence of any collateral benefits to be realized by the sub-adviser; and (xii) the existence of any collateral benefits to be realized by the Value Equity Fund. The Board evaluated the material aspects of the change of control and considered whether the approval of the New Sub-Advisory Agreement is in the best interests of the Value Equity Fund and its shareholders. No one factor was determinative in the Board’s consideration of the New Sub-Advisory Agreement.
The Independent Trustees met separately in executive session with counsel to the Independent Trustees to discuss and consider the information presented in connection with the change of control and the approval of the New Sub-Advisory Agreement, including the Board’s responsibilities and duties in approving the new agreement.
BOARD APPROVAL OF NEW SUB-ADVISORY AGREEMENT FOR THE VALUE EQUITY FUND
In considering the approval of the New Sub-Advisory Agreement, 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 Agreement, the investment management team at TCW, the reasonableness of the sub-advisory fees, the material aspects of the change of control and whether the appointment of TCW would be in the best interests of the shareholders of the Value Equity Fund. The Board reviewed the above factors in evaluating whether to approve the New Sub-Advisory Agreement and the materials provided to support each factor.
The Board considered the reputation, compliance history, compliance program and financial condition of TCW. The Board also considered the experience of key personnel at TCW in providing investment management services to the Value Equity Fund, the systems and resources used by such persons to implement and manage the strategy and the ability of the sub-adviser to attract and retain capable personnel. The Board also noted the terms of the New Sub-Advisory Agreement and the responsibilities that TCW has to the Value Equity Fund, including the responsibility of day-to-day management and compliance with the Value Equity Fund’s investment objective and policies. The Board concluded that the Value Equity Fund is likely to benefit from the nature, extent and quality of the services with respect to TCW’s experience, personnel, operations and resources.
In considering the approval of the New Sub-Advisory Agreement, the Board examined the nature, extent and quality of the services to be provided by TCW on behalf of the Value Equity Fund. The Board noted the terms of the New Sub-Advisory Agreement and the responsibilities of TCW, including oversight of general fund compliance and compliance with the Trust’s social restrictions. The Board noted that TCW has been a sub-adviser to the Value Equity Fund since June 2006, and took into
297
account that the New Sub-Advisory Agreement was identical in all material respects to the prior agreement, including compensation. The Board considered the Adviser’s assessment of TCW’s financial condition. The Board noted that the Adviser, after reviewing certain financial information provided by TCW regarding the change of control, felt comfortable that TCW 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 Value Equity Fund is likely to benefit from the extent and quality of TCW’s services, and the Board determined to approve the New Sub-Advisory Agreement effective upon the change of control of TCW. The Board also determined that approval of the New Sub-Advisory Agreement is in the best interests of the Value Equity Fund and its shareholders.
BOARD REVIEW OF INTERIM SUB-ADVISORY AGREEMENTS FOR THE INTERNATIONAL EQUITY FUND AND THE FUNDS PARTICIPATING IN THE CASH OVERLAY PROGRAM
As required by the 1940 Act, the Board of the Trust, including all of the Independent Trustees, considered the approval of two interim sub-advisory agreements (“Interim Sub-Advisory Agreements”) among the Adviser, The Clifton Group, a division of Parametric Portfolio Associates LLC (“Parametric”), (“The Clifton Group”) and the Trust on behalf of the International Equity Fund and the Funds participating in the Cash Overlay Program. At a meeting of the Board held on December 18, 2012, the Board approved the two Interim Sub-Advisory Agreements with The Clifton Group to take effect immediately upon the change of control of Clifton. The Interim Sub-Advisory Agreements were entered into effective December 31, 2012, and will be in effect for a maximum period of 150 days.
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 two Interim Sub-Advisory Agreements. 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 Agreements; (ii) The Clifton Group’s corporate structure after the transaction causing the assignment of the sub-advisory agreements and any potential effects on the ability of The Clifton Group to provide services to the International Equity Fund and the Funds participating in the Cash Overlay Program; (iii) any changes to The Clifton Group’s personnel, systems or policies arising from the transaction; and (iv) any other possible effects of the transaction on the operations of The Clifton Group or the services it provides to the International Equity Fund and the Funds participating in the Cash Overlay Program.
The Clifton Group provided GSCM with a memorandum summarizing the details of the change of control 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 change of control and the approval of the two Interim Sub-Advisory Agreements, including the Board’s responsibilities and duties in approving the agreements.
BOARD APPROVAL OF INTERIM SUB-ADVISORY AGREEMENTS FOR THE INTERNATIONAL EQUITY FUND AND THE FUNDS PARTICIPATING IN THE CASH OVERLAY PROGRAM
In considering the approval of the Interim Sub-Advisory Agreements for the International Equity Fund and the Funds participating in the Cash Overlay Program, 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 Clifton to the International Equity Fund and the Funds participating in the Cash Overlay Program. The Board took into account that the Interim Sub-Advisory Agreements with The Clifton Group were identical in all material respects to the prior agreements, including compensation, except that the Interim Sub-Advisory Agreements would be with The Clifton Group, a division of Parametric, instead of with Clifton. The Board noted that the Adviser had been assured by Clifton that there will be no impact to the quality of services, investment philosophy or the investment teams as a result of the transaction. The Board noted that the Adviser had reviewed cash flow forecasts and operating projections provided by the relevant parties to the change of control and felt comfortable that the firm’s financial plans were based on conservative forecasts of future business performance.
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 and the Funds participating in the Cash
298
Overlay Program are likely to continue to benefit from the extent and quality of The Clifton Group’s services and determined to approve the Interim Sub-Advisory Agreements with The Clifton Group.
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INVESTMENT SUB-ADVISERS (Assets under management as of December 31, 2012) (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 Advisors, LLC | | 1994 | | | $ | 3.8Tr | |
Low-Duration Bond | | BlackRock Financial Management, Inc. | | 1988 | | | $ | 3.8Tr | |
| | Payden & Rygel | | 1983 | | | $ | 81.8B | |
| | PIMCO (Pacific Investment Management Company LLC) | | 1971 | | | $ | 2.0Tr | |
Medium-Duration Bond | | Goldman Sachs Asset Management, L.P. | | 1984 | | | $ | 742.4B | |
| | PIMCO (Pacific Investment Management Company LLC) | | 1971 | | | $ | 2.0Tr | |
| | Western Asset Management Company | | 1971 | | | $ | 361.0B | |
| | Western Asset Management Company Limited | | 1971 | | | $ | 41.4B | |
Extended-Duration Bond | | Loomis, Sayles & Company, L.P. | | 1926 | | | $ | 186.1B | |
| | STW Fixed Income Management Ltd. | | 1977 | | | $ | 11.6B | |
Inflation Protected Bond | | BlackRock Financial Management, Inc. | | 1988 | | | $ | 3.8Tr | |
Global Bond | | Loomis, Sayles & Company, L.P. | | 1926 | | | $ | 186.1B | |
| | Western Asset Management Company | | 1971 | | | $ | 361.0B | |
| | Western Asset Management Company Limited | | 1971 | | | $ | 41.4B | |
Defensive Market Strategies | | American Century Investment Management, Inc. | | 1958 | | | $ | 124.6B | |
| | AQR Capital Management, LLC | | 1998 | | | $ | 70.7B | |
| | Shenkman Capital Management, Inc. | | 1985 | | | $ | 23.0B | |
| | Turner Investments, L.P. | | 1990 | | | $ | 10.7B | |
Equity Index | | Northern Trust Investments, Inc. | | 1889 | | | $ | 758.9B | |
Real Estate Securities | | RREEF America L.L.C. | | 1975 | | | $ | 53.5B | |
Value Equity | | Aronson Johnson Ortiz, LP | | 1984 | | | $ | 20.1B | |
| | Barrow, Hanley, Mewhinney & Straus, LLC | | 1979 | | | $ | 67.7B | |
| | Northern Trust Investments, Inc. | | 1889 | | | $ | 758.9B | |
| | TCW Investment Management Company | | 1971 | | | $ | 138.4B | |
Growth Equity | | Columbus Circle Investors | | 1975 | | | $ | 15.0B | |
| | Marsico Capital Management, LLC | | 1997 | | | $ | 26.8B | |
| | Rainier Investment Management, Inc.® | | 1991 | | | $ | 12.6B | |
| | Sands Capital Management, LLC | | 1992 | | | $ | 27.0B | |
Small Cap Equity | | Aronson Johnson Ortiz, LP | | 1984 | | | $ | 20.1B | |
| | Columbus Circle Investors | | 1975 | | | $ | 15.0B | |
| | Lord, Abbett & Co. LLC | | 1929 | | | $ | 127.7B | |
| | TimesSquare Capital Management, LLC | | 2000 | | | $ | 14.7B | |
| | Western Asset Management Company | | 1971 | | | $ | 361.0B | |
| | Western Asset Management Company Limited | | 1971 | | | $ | 41.4B | |
International Equity | | AQR Capital Management, LLC | | 1998 | | | $ | 70.7B | |
| | Baillie Gifford Overseas Limited | | 1908 | | | $ | 138.1B | |
| | Barrow, Hanley, Mewhinney & Strauss | | 1979 | | | $ | 67.7B | |
| | Genesis Asset Managers, LLP | | 1989 | | | $ | 36.2B | |
| | McKinley Capital Management, LLC | | 1990 | | | $ | 7.4B | |
| | MFS Institutional Advisors, Inc. | | 1970 | | | $ | 321.0B | |
| | Mondrian Investment Partners Ltd. | | 1990 | | | $ | 68.2B | |
| | Philadelphia International Advisors, L.P. | | 1956 | | | $ | 3.8B | |
| | The Clifton Group Investment Management Company | | 1992 | | | $ | 34.8B | |
Custodian for GuideStone Funds Assets | | The Northern Trust Company | | 1889 | | | $ | 4.8Tr | |
Cash Overlay for Date Target, Asset Allocation, Fixed Income and Equity Funds | | The Clifton Group Investment Management Company | | 1992 | | | $ | 34.8B | |
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| | | | |
 | | | | |
| | 2401 Cedar Springs Road, Dallas, TX 75201-1498 | | Funds distributed by Foreside Funds Distributors LLC |
| | 1-888-98-GUIDE • www.GuideStoneFunds.org | | 400 Berwyn Park, 899 Cassatt Road, Berwyn, PA 19312 |
| | |
| | | | © 2013 GuideStone Funds 21694 2/13 2233 |
Item 2. Code of Ethics.
| | (a) | The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
| | (c) | There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description. |
| | (d) | The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions. |
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 L. 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.
Audit Fees
| | (a) | The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are $572,558 and $601,323 for 2011 and 2012, respectively. |
Audit-Related Fees
| | (b) | The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item are $37,842 and $38,977 for 2011 and 2012, respectively. Audit-related fees are related to procedures performed and the issuance of the auditors’ reports in connection with the Funds’ 17F-2 security counts. |
Tax Fees
| | (c) | The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning are $94,200 and |
| | $102,900 for 2011 and 2012, respectively. Tax fees are related to tax services in connection with Funds’ excise tax calculations and review of the Funds’ applicable tax returns. |
All Other Fees
| | |
| (d) | | The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $0 and $0 for 2011 and 2012, respectively. |
| |
| (e)(1) | | Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X. |
GuideStone
Non-Audit Services Provided to the Company, Advisor, and Others
The Audit Committee shall pre-approve all permissible non-audit services (e.g., tax services) to be provided to the Company by the Auditors, including the fees therefor;
provided, that if the Committee chooses to delegate the authority to grant pre-approvals to one or more Committee members, each acting on behalf of the Committee, then the Committee shall adopt policies and procedures detailed as to the particular service and designed to safeguard the continued independence of the auditors, consistent with the requirements of the Sarbanes-Oxley Act of 2002 (the “S-O Act”) and related SEC regulations, which shall then be used in making such pre-approvals; and,
further provided, that each delegated pre-approval shall be reported to the Committee during its next regularly scheduled meeting.
The pre-approval requirement for a permitted non-audit service may be waived if:
| | (1) | the aggregate amount of all such non-audit services provided constitutes not more than 5% of the total revenues paid by the Company to the Auditors in the fiscal year in which the non-audit services are provided; |
| | (2) | such services were not recognized by the Company at the time of the engagement to be non-audit services; and |
| | (3) | such services are promptly brought to the attention of, and approved by, the Audit Committee or by a member of the Audit Committee to whom the Committee has delegated the authority to grant such approvals, if any, prior to the Auditors’ completion of the Company’s audit. |
Additionally, if the Auditors’ engagement relates directly to the operations and financial reporting of the Company, to the extent required by Rule 2-01 of Regulation S-X, the Audit Committee shall pre-approve their engagements for non-audit services with:
| | (1) | the Advisor (excluding any subadviser whose role is primarily portfolio management and is sub-contracted or overseen by the Advisor), and |
| | (2) | any entity controlling, controlled by, or under common control with such Advisor that provides ongoing services to the Company (each, a “Control Entity”) |
in accordance with the foregoing paragraph, unless the aggregate amount of all services provided constitutes no more than 5% of the total amount of revenues paid to the Auditors by the Company, the Advisor and any such Control Entity during the fiscal year in which the services are provided that would have to be pre-approved by the Audit Committee pursuant to this paragraph (in the absence of this exception). The Auditors may not perform contemporaneously any prohibited non-audit services for the Company, which currently include the following:
| | 1. | bookkeeping or other services related to the accounting records or financial statements of the Company; |
| | 2. | financial information systems design and implementation; |
| | 3. | appraisal or valuation services, fairness opinions, or contribution-in-kind reports; |
| | 5. | internal audit outsourcing services; |
| | 6. | management functions or human resources; |
| | 7. | broker or dealer, investment adviser, or investment banking services; |
| | 8. | legal services and expert services unrelated to the audit; and |
| | 9. | any other service that the Public Company Accounting Oversight Board determines, by regulation, is impermissible. |
| | |
| (e)(2) | | The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X are as follows: |
| | (f) | The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was 0%. |
| | (g) | The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the |
| | adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant was $0 and $0 for 2011 and 2012, respectively. |
| | (h) | The registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence. |
Item 5. Audit Committee of Listed registrants.
Not applicable.
| (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. |
| Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
| Item 8. | Portfolio Managers of Closed-End Management Investment Companies. |
Not applicable.
| Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
| Item 10. | Submission of Matters to a Vote of Security Holders. |
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the
registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
| Item 11. | Controls and Procedures. |
| | (a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are 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. |
| | |
| (a)(1) | | Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto. |
| |
| (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. |
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) | | |
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) | | |
| | | | |
| | |
| By (Signature and Title)* | | /s/ Jeffrey P. Billinger | | |
| | Jeffrey P. Billinger, Vice President and Treasurer | | |
| | (principal financial officer) | | |
* Print the name and title of each signing officer under his or her signature.
