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)
Harold R. Loftin, 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: 214-720-4640
Date of fiscal year end: December 31
Date of reporting period: December 31, 2016
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, 450 Fifth Street, NW, Washington, DC 20549-0609. 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.
GuideStone Funds
Privacy Notice
NOTICE CONCERNING YOUR PRIVACY RIGHTS
This notice will provide you with information concerning our policies with respect to non-public 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 investment 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 non-public personal information about you with regard to your IRA and/or investment 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 non-public 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 Capital Management, LLC, GuideStone Resource Management, Inc., GuideStone Investment Services, GuideStone Trust Services, GuideStone Financial Services and GuideStone Advisors (collectively “GuideStone”) are affiliates of one another. GuideStone and Foreside Funds Distributors LLC do not sell your personal information to non-affiliated third parties.
We may also disclose any of the personal information that we collect about you to non-affiliated third parties as permitted by law. For example, we may provide your information to non-affiliated companies that provide account services or that perform marketing services on our behalf and to other financial institutions with which we have joint marketing agreements. We restrict access to non-public 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 solutions specialist at 1-888-GS-FUNDS (1-888-473-8637).
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. 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 GuidestoneFunds.com. 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. Fund shares are distributed by Foreside Funds Distributors LLC, 400 Berwyn Park, 899 Cassatt Road, Suite 110, Berwyn, PA 19312.
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LETTER FROM THE PRESIDENT
Dear Shareholder:
We are pleased to present you with the 2016 GuideStone Funds Annual Report. This report reflects our unwavering commitment to integrity in financial reporting so you may stay fully informed of your investments. We trust that you will find this information valuable when making investment decisions.
We invite you to learn more about GuideStone Funds and the various investment options available by visiting our website, GuideStoneFunds.com/Disclosures, or contacting us at 1-888-GS-FUNDS (1-888-473-8637). Thank you for choosing to invest in GuideStone Funds.
Sincerely,
John R. Jones, CFA
President
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FROM THE CHIEF INVESTMENT OFFICER
| | |
 | | One of Charles Dickens’ famous books is titled A Tale of Two Cities, which paints a picture of life in London and Paris during the late 1700’s. Today, from an economic, market sentiment and capital market return perspective, I would characterize calendar year 2016 as “A Tale of Two Halves” as there were distinct differences in the economic/financial market environments during the first half of the year compared to the latter. The calendar year 2016 was one full of uncertainty and surprises, causing investor sentiment to shift, especially as the year progressed. While most financial assets posted positive returns during the year, the divergence in returns across asset classes, style-orientation, asset quality and market capitalizations were material. Furthermore, financial asset returns, in general, were driven by macro-economic/political themes and investors’ desired exposures more so than a focus on investing in companies with favorable underlying fundamentals. Therefore, exposure to certain factors (e.g., yield or market capitalization) and/or sectors had a greater impact on investors’ returns than underlying security selection. |
| Matt L. Peden, CFA | |
The tale of the first half of 2016 was somewhat of a continuation of calendar year 2015. The economic backdrop was one consistent with of all the risks associated with a maturing economic cycle, slowing global growth, ineffective monetary policy and a long-in-the-tooth equity bull market entering its eighth year. Investors, realizing they were in a low absolute return environment, were faced with the conundrum of investing in fixed income with very low interest rates or equities that were considered somewhat expensive at high valuations relative to expected earnings growth. During this period, certain segments of the equity market, considered defensive, had higher dividends than bond yields. With a prevailing risk-off sentiment and desire for yields that exceeded those available from investment grade bonds, there was high demand for certain high dividend paying stocks (e.g., utilities), which led to certain stocks outperforming as investors sought current yield (i.e., dividend income) over the prospects of price appreciation based on future corporate earnings.
The tale of the second half of 2016 transitioned as investors’ risk-appetite increased. Entering into the third quarter, the equity markets were spurred by the expectations for additional global central bank stimulus, such as quantitative easing (“QE”), due to the Brexit vote. This caused interest rates to fall and equities to rise as price/earnings multiples expanded in the continued search for the best asset case on a relative basis. In fact, the yield on the 10-year U.S. Treasury note fell to an all-time low of 1.36% in July, while all three major U.S. equity indices hit all-time highs in August.
Then in the 4th quarter, the biggest driver of the markets, without question, was the election of Donald Trump as the 45th President of the United States. Prior to his election, many market pundits warned of a severe market correction if he won the election. Following a very short-lived plunge, equity markets rallied while bond yields soared under the premise that his policies will buoy economic growth from current sluggish levels that will, in turn, lead to higher corporate earnings and greater levels of inflation. By year-end, most risk assets posted annual returns well above beginning-of-the year expectations, with stock indices hitting multiple new all-time highs.
The only consistency threaded throughout 2016 was the number of unique, unexpected events or shocks that occurred. There were many, but a few are noteworthy:
| | • | | Brexit – Despite convincing polling information to the contrary, the United Kingdom’s vote to leave the European Union (“EU”) led to concerns and fears related to the potential impact to these economies, which were already facing headwinds and under pressure. It further led to questions about the long-term viable future of the EU, and the resurgence of global central bank monetary stimulus. |
| | • | | Extreme Accommodative Monetary Policy – Central banks in Europe and Japan implemented additional QE leading to an unprecedented environment of negative interest rates across many financial markets, and extreme levels of liquidity across the globe. In fact, central bank balance sheets rose by more than 10% during the year, reflecting these actions. Notable, this led to further divergence in monetary policy between global central banks and that of the U.S. Federal Reserve (the “Fed”), which remains in a tightening, i.e. rate rising, mode. |
| | • | | Lack of confidence in the Fed – Throughout the year, and prior to their 25 basis point rate hike in December, expectations as to the Fed’s next moves consistently changed based on the most recent economic reports and global economic conditions, materially influencing the U.S. yield curve, especially on the short-end. Short- and mid-term interest rates experienced material moves during the year, subjecting bond investors to interest rate risk. |
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| | • | | U.S. Presidential Election – Opposing almost all polls, Donald Trump was surprisingly elected President of the United States, resulting in the potential for material fiscal stimulus, including tax reform, reduced regulatory pressures and increased infrastructure and defense spending. Trump’s election, in concert with the Brexit vote, also reflects a larger change in the “populist movement” across political environments on a global basis as a “vote against the status quo.” His election resulted in large fund flows into certain economically sensitive sectors, such as financials and defense, which are expected to benefit from his policies. |
Capital Market Returns
Let’s now discuss the returns of the capital markets for calendar year 2016. The table below provides an overview of key capital market returns.
| | | | | | | | | | |
Index | | Description | | 4th Quarter 2016 Return | | | 2016 Calendar Year Return | |
S&P 500® Index | | Large-cap U.S. Stocks | | | 3.82 | % | | | 11.96 | % |
Russell 2000® Index | | Small-cap U.S. Stocks | | | 8.83 | % | | | 21.31 | % |
MSCI EAFE Index | | Developed Market Stocks – Ex-U.S. | | | -0.71 | % | | | 1.00 | % |
MSCI Emerging Markets Index | | Emerging Markets Stocks | | | -4.16 | % | | | 11.19 | % |
Bloomberg Barclays US Aggregate Bond Index | | U.S. Bonds | | | -2.98 | % | | | 2.65 | % |
Outside certain commodities, U.S. equities were the top performing asset classes. Going into 2016, return expectations were below historical averages due to slowing economic conditions, modest earnings growth and high valuations (based on existing earnings expectations). However, U.S. stocks flourished during the year, benefiting from further accommodative monetary policy globally as well as the prospects of incremental higher economic domestic growth under Trump’s presidency. Trump’s policies are viewed as a transition from monetary policy stimulus to fiscal policy stimulus, which is generally viewed positively in the current stage of the economic cycle, but can lead to increased volatility as markets adjust.
In addition to dispersions in sector returns, there were a few notable outcomes in the U.S. equity market. First, value-oriented stocks greatly outpaced growth-oriented stocks. The best performing segment of the U.S. market was small-cap value with the Russell 2000® Value Index posting an annual return of 31.74%. Small-cap stocks materially outperformed large-cap stocks by 9.35% as small cap stocks were viewed more favorably given they are more domestic–oriented, which should help weather them from Trump’s proposed trade policies and the strengthening U.S. dollar. Stocks of non-U.S. developed markets lagged U.S. stocks, posting an annual return of 1.00%. Slower economic growth, reliance on further monetary policy and an appreciating U.S. dollar negatively impacted performance. Emerging markets stocks outperformed their developed markets counterpart, generating an annual return of 11.19%, benefitting from prospects of higher economic growth, stronger commodity prices and attractive valuations. However, emerging markets stocks suffered in the 4th quarter as rising U.S. interest rates and a rapidly appreciating U.S. dollar diminished prospects for near term capital flows into these markets.
Most bond segments posted modest positive returns with a few, higher risk segments, performing much better. The Bloomberg Barclays US Aggregate Bond Index, a proxy for the U.S. broad bond market, generated an annual return of 2.65%. Within the index, investment grade corporate bonds performed best, as investors were seeking yield and were willing to take on the incremental credit risk for the higher return. In general, the lower the credit quality, the better the return for the year, reflecting the “risk on” environment that persisted during the second half of the year. U.S. Treasuries, a large sector in the index, posted the lowest return within the index. High yield bonds, or corporate bonds rated below investment grade, posted an annual return of 17.13%. Emerging market debt performance was also meaningful, up 9.62%. The year ended with yields on the 10-year U.S. Treasury and the 30-year U.S. Treasury at 2.48% and 3.08%, respectively.
Despite accommodative monetary policies by central banks and historic amounts of liquidity in the markets, inflation expectations remained rather benign, adjusting upward some during the latter part of the year. Several areas of the commodity markets performed well, as noted by the MSCI World Commodities Producers Index which was up 30.53% for the year. Notably, a significant increase in WTI crude oil prices from the low of $26/bbl in February to $54/bbl at year-end was a positive for the economy and financial markets. Many view oil in the $50/bbl - $60/bbl range as the “sweet spot” for both producers and consumers.
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After reflecting on 2016, what are our thoughts on the upcoming year?
The landscape changed during 2016, but many of the same headwinds and concerns still exist and will eventually have to be dealt with. The U.S. stock market and other risk-based assets are coming off a tremendous return year, buoyed to high valuation levels by the prospects of incrementally higher economic growth (consensus estimated increase from 2.00% Gross Domestic Product (GDP) to 3.00% GDP in 2017) primarily due to Trump’s economic plans. These plans are expected to stimulate in 2017 and must do so in order to support current valuation multiples, especially if rates rise. The ability of the domestic economy to generate above trend growth that results in improved corporate earnings remains a primary concern of ours, as current valuation levels reflect a very robust growth in 2017 earnings. Headwinds could come from Trump’s plan to restrict trade, China’s continued economic challenges, an appreciating U.S. dollar and the expected decline in global monetary stimulus. In addition, with the uncertainties associated with a new Presidential administration, we could well face a worsening geopolitical landscape. With these challenges, we anticipate volatility to increase as the markets and investors absorb new fiscal based policies and economic challenges.
We would expect U.S. rates to rise somewhat with the consensus being for the Fed to hike rates two to three times during 2017. This is expected to be somewhat bearish for bond investors, but many see less interest rate sensitive sectors, such as investment grade corporate and high yield bonds, as options as long as the economy remains on track and defaults stay low. In addition, note that a gradual increase in both short and long term interest rates is normal at this stage in the economic cycle, and will only occur if the economy is growing at a reasonable pace.
The improvement in sentiment and the potential for fiscal stimulus is a good sign as we move into 2017. We continue to encourage investors to ensure their portfolio is well diversified and corresponds with their underlying risk/return profile. Often higher volatility leads to greater temptation to move away from the appropriate long-term asset allocation. Remember, investing is a long-term process and diversification is key. Also, given the prospects for lower absolute returns, it is prudent for investors to review their savings rate. Any ability to increase savings would be beneficial, especially for those nearing retirement.
On behalf of GuideStone Capital Management, LLC, I would like to thank you for your confidence and trust and for the opportunity to manage assets on your behalf. We consider it a privilege to work diligently on your investment portfolio. Wishing you a happy and prosperous year ahead.
A complete GuideStone Funds performance report can be found at GuideStoneFunds.com.
Sincerely,
Matt L. Peden, CFA
Vice President - Chief Investment Officer
GuideStone Funds
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|
| Asset Class Performance Comparison |
The following graph illustrates the performance of the major assets classes during 2016.
1The Bloomberg Barclays US 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 EAFE Index (Europe, Australasia, Far East) is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada. The MSCI EAFE Index consists of the following 21 developed market country indices: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland and the United Kingdom.
3The MSCI Emerging Markets Index is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets. The index consisted of the following 23 emerging market country indices: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Peru, Philippines, Poland, Qatar, Russia, South Africa, Taiwan, Thailand, Turkey and United Arab Emirates.
4The 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.
5The 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.
6
S&P 500® Index Returns
The U.S. large-cap equity market, as measured by the S&P 500® Index, posted a robust annual return of 12.0%. This marks the eighth straight year of gains for large-cap equities, a rare occurrence in the capital markets. Equity markets did not just go up in a straight line, however. After an approximate 11% performance correction into February to start the year, the S&P 500® Index re-entered a bull market run with a sharp rebound in March followed by robust gains in the third and fourth quarters.
Stocks finally posted positive earnings growth in the third quarter, following a five quarter earnings recession. This upturn in corporate profitability, along with upbeat economic data and a “Trump bump” post the surprise election win, helped push the S&P 500® Index to new highs during the fourth quarter.
The gains in large-cap stocks for the year was broader based, unlike gains posted in stocks the prior year that were narrowly driven by a few names. All sectors had positive performance, with the exception of the healthcare sector that ended down 2.7% for the year. Energy, telecom and financials led gains with returns of 27.4%, 23.5% and 22.8%, respectively.
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, S&P website
Russell 2000® Index Returns
The U.S. small cap equity market, as measured by the Russell 2000® Index, posted a very strong gain of 21.3% during 2016. Gains for small cap stocks were back-end loaded, with the index up 9.1% and 8.8% in the third and fourth quarters, respectively. A material portion of these gains came after a surprise Trump victory, which the market took as a particularly bullish scenario for smaller capitalization stocks based on the potential for pro-growth initiatives.
The best performing sectors during the annual period included energy, materials and financials, while healthcare was the sole sector posting negative returns. Rising commodity prices during the year (crude oil prices rallied roughly 50%) were a tail-wind for the energy and materials sectors, after a difficult adjustment period over the preceding few years.
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 8% 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, Bloomberg
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MSCI EAFE Index Returns
International developed market equities, as measured by the MSCI EAFE Index, rose a modest 1.0% during the year. This index materially underperformed the U.S. market, in part due to a stronger U.S. dollar. As evidence, this index in local currency terms returned 5.3% for the year. In addition, many major developed economies outside the United States, such as those in Europe, faced a more challenging economic and political backdrop in comparison to the United States.
The best performing countries were natural resource export economies including Norway, New Zealand and Australia, which benefited from commodity price strength. Meanwhile, the worst performers included Denmark and Israel.
The MSCI EAFE Index (Europe, Australasia, Far East) is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada. The MSCI EAFE Index consists of the following 21 developed market country indices: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland and the United Kingdom.
Data Source: Factset
MSCI Emerging Markets Index Returns
International emerging markets equities, as measured by the MSCI Emerging Markets Index, gained 11.2% during the year, but still did not overcome losses experienced during a difficult 2015. All gains occurred during the first three quarters of the year. There was a pullback in November seemingly due to investor angst around the potential for higher interest rates under a Trump administration, as well as the unknown factor of more protectionist trade policies. Higher interest rates and a stronger U.S. dollar would have a negative impact on the financing costs for emerging market economies.
Countries with the strongest gains for the year, with rallies in excess of 50%, included Brazil, Russia and Peru (some of the positive performance was due to currency fluctuations). Meanwhile, both Egypt and Greece experienced double digit losses in U.S. dollar terms. Countries with the larger gains were generally those that rely on commodity exports to drive their economies.
The MSCI Emerging Markets Index is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets. The index consisted of the following 23 emerging market country indices: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Peru, Philippines, Poland, Qatar, Russia, South Africa, Taiwan, Thailand, Turkey and United Arab Emirates.
Data Source: Factset
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Bloomberg Barclays US Aggregate Bond Index Returns
The broad U.S. bond market, as measured by the Bloomberg Barclays US Aggregate Bond Index, produced a gain of 2.7% during 2016. Lower quality investment grade bonds outperformed higher quality, and longer duration bonds outperformed shorter duration. From a sector perspective, corporate bonds were the best performers, while U.S. Treasury bonds lagged. All sectors of the bond market produced positive returns for the year, and certain longer-duration bonds, both government and credit, had performance in the low double digits.
After experiencing surprisingly robust gains during the first nine months of the year on the back of ever lower yields, bonds sold-off notably in the fourth quarter, particularly those with longer durations, as investors shied away from this asset class. In particular, a surprise Trump victory caused a substantial repricing given the prospect for higher interest rates under his administration due to potential reflationary policies.
The Bloomberg Barclays US 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
Federal Reserve
The members of the Federal Open Market Committee (“FOMC”) only managed one interest rate increase in 2016, despite beginning the year with an outlook for four rate increases. Expectations for rate increases ebbed and flowed throughout the year based on the most recent economic reports and global economic conditions. Finally, the FOMC voted in December to raise the target Fed Funds rate by 0.25% to a range of 0.50% - 0.75%, roughly one year after it moved off of a “zero” interest rate policy in December 2015. The markets adjusted well to the continuation of the Fed “tightening cycle”, as interest rate increases experienced on the short-end of the curve have thus far not reduced the risk appetite of investors. At its December meeting, the FOMC published its “dot plot points”, which projected three additional interest rate increases during 2017 - 2018, based on a median of the points should economic forecasts set by the FOMC be obtained.
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
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U.S. Treasury Yield Curve
The year experienced significant volatility in interest rates, despite an interest rate curve that finished the year with a modest, mostly parallel shift higher compared to 2015. The very short-end of the curve experienced a notable uptick in rates, as three-month interest rates moved higher in concert with FOMC actions to raise the range for the Fed Funds rate in December 2016 by 25 basis points. The 10-year U.S. Treasury ended the year at 2.45%, modestly higher that its starting yield of 2.27%. However, during the year, the 10-year U.S. Treasury yield fell as low as 1.36% in July on expectations of the continuation of a very accommodative monetary policy around the globe with little risk of inflation. By the end of the year, many pundits believed that the low experience in July marked the bottom in interest rates, after rates had been on a downward trend since their 1981 peak of 15.84% reached roughly 35 years ago.
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 (Unaudited)
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, 2016 to December 31, 2016. The Annualized Expense Ratio may be different from the expense ratio in the Financial Highlights which is for the fiscal year ended December 31, 2016.
Actual Expenses
The first section of the table below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you incurred over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses attributable to your investment during this period.
Hypothetical Example for Comparison Purposes
The second section of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. Thus, you should not use the hypothetical account values and expenses to estimate the actual ending account balance or your expenses for the period. Rather, these figures are provided to enable you to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only. Therefore, the second section of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds.
| | | | | | | | | | |
Actual |
Fund | | Class | | Beginning
Account Value
07/01/16 | | Ending
Account Value
12/31/16 | | Annualized
Expense
Ratio (1) | | Expenses
Paid During
Period (2) |
MyDestination 2005 (3) | | Investor | | $1,000.00 | | $ 1,017.13 | | 0.45% | | $2.30 |
MyDestination 2015 | | Investor | | 1,000.00 | | 1,029.54 | | 0.35 | | 1.78 |
MyDestination 2025 | | Investor | | 1,000.00 | | 1,040.28 | | 0.35 | | 1.79 |
MyDestination 2035 | | Investor | | 1,000.00 | | 1,056.04 | | 0.35 | | 1.80 |
MyDestination 2045 | | Investor | | 1,000.00 | | 1,065.69 | | 0.35 | | 1.81 |
MyDestination 2055 | | Investor | | 1,000.00 | | 1,068.72 | | 0.35 | | 1.81 |
Conservative Allocation | | Institutional
Investor | | 1,000.00
1,000.00 | | 1,018.11
1,017.50 | | 0.13
0.40 | | 0.64
2.05 |
Balanced Allocation | | Institutional
Investor | | 1,000.00
1,000.00 | | 1,029.44
1,027.77 | | 0.11
0.37 | | 0.56
1.89 |
Growth Allocation | | Institutional
Investor | | 1,000.00
1,000.00 | | 1,050.13
1,048.55 | | 0.12
0.38 | | 0.60
1.96 |
Aggressive Allocation | | Institutional
Investor | | 1,000.00
1,000.00 | | 1,073.49
1,072.71 | | 0.13
0.39 | | 0.67
2.03 |
Money Market | | Institutional
Investor | | 1,000.00
1,000.00 | | 1,001.36
1,000.18 | | 0.18
0.41 | | 0.90
2.07 |
Low-Duration Bond | | Institutional
Investor | | 1,000.00
1,000.00 | | 1,003.06
1,001.74 | | 0.37
0.64 | | 1.87
3.22 |
Medium-Duration Bond | | Institutional
Investor | | 1,000.00
1,000.00 | | 984.02
981.72 | | 0.45
0.72 | | 2.23
3.58 |
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About Your Expenses (Unaudited) (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | | |
Fund | | Class | | Beginning
Account Value
07/01/16 | | Ending
Account Value
12/31/16 | | Annualized
Expense
Ratio (1) | | Expenses
Paid During
Period (2) |
Extended-Duration Bond | | Institutional
Investor | | |
| $1,000.00
1,000.00 |
| | |
| $ 950.88
948.99 |
| | |
| 0.55
0.83 | %
| | | $
| 2.72
4.09 |
|
Global Bond | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,021.71
1,020.15 |
| | |
| 0.58
0.87 |
| | |
| 2.95
4.41 |
|
Defensive Market Strategies | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,043.48
1,042.17 |
| | |
| 0.69
0.96 |
| | |
| 3.53
4.94 |
|
Equity Index | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,081.97
1,080.65 |
| | |
| 0.15
0.41 |
| | |
| 0.79
2.17 |
|
Value Equity | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,127.01
1,125.08 |
| | |
| 0.59
0.85 |
| | |
| 3.13
4.55 |
|
Growth Equity | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,030.41
1,028.55 |
| | |
| 0.74
1.00 |
| | |
| 3.79
5.12 |
|
Small Cap Equity | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,160.80
1,158.71 |
| | |
| 1.00
1.26 |
| | |
| 5.43
6.84 |
|
International Equity Index | | Institutional | | | | 1,000.00 | | | | | 1,056.44 | | | | | 0.57 | | | | | 2.94 | |
International Equity (4) | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,057.88
1,055.01 |
| | |
| 0.94
1.21 |
| | |
| 4.87
6.27 |
|
Emerging Markets Equity | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,037.06
1,036.13 |
| | |
| 1.31
1.56 |
| | |
| 6.73
7.99 |
|
Inflation Protected Bond | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 987.38
985.21 |
| | |
| 0.41
0.70 |
| | |
| 2.05
3.48 |
|
Flexible Income | | Investor | | | | 1,000.00 | | | | | 1,036.84 | | | | | 1.11 | | | | | 5.71 | |
Real Estate Securities | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 956.87
955.41 |
| | |
| 0.85
1.13 |
| | |
| 4.16
5.56 |
|
Global Natural Resources Equity | | Investor | | | | 1,000.00 | | | | | 1,103.09 | | | | | 1.24 | | | | | 6.56 | |
| | | | | | | | | | |
HYPOTHETICAL (assuming a 5% return before expenses) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Fund | | Class | | Beginning
Account Value
07/01/16 | | Ending
Account Value
12/31/16 | | Annualized
Expense
Ratio (1) | | Expenses
Paid During
Period (2) |
MyDestination 2005 (3) | | Investor | | | | $1,000.00 | | | | | $1,022.83 | | | | | 0.45 | % | | | $ | 2.31 | |
MyDestination 2015 | | Investor | | | | 1,000.00 | | | | | 1,023.37 | | | | | 0.35 | | | | | 1.77 | |
MyDestination 2025 | | Investor | | | | 1,000.00 | | | | | 1,023.37 | | | | | 0.35 | | | | | 1.77 | |
MyDestination 2035 | | Investor | | | | 1,000.00 | | | | | 1,023.37 | | | | | 0.35 | | | | | 1.77 | |
MyDestination 2045 | | Investor | | | | 1,000.00 | | | | | 1,023.37 | | | | | 0.35 | | | | | 1.77 | |
MyDestination 2055 | | Investor | | | | 1,000.00 | | | | | 1,023.37 | | | | | 0.35 | | | | | 1.77 | |
Conservative Allocation | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,024.49
1,023.09 |
| | |
| 0.13
0.40 |
| | |
| 0.65
2.05 |
|
Balanced Allocation | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,024.58
1,023.25 |
| | |
| 0.11
0.37 |
| | |
| 0.56
1.89 |
|
Growth Allocation | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,024.54
1,023.20 |
| | |
| 0.12
0.38 |
| | |
| 0.60
1.94 |
|
Aggressive Allocation | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,024.48
1,023.16 |
| | |
| 0.13
0.39 |
| | |
| 0.66
1.98 |
|
12
| | | | | | | | | | |
HYPOTHETICAL (assuming a 5% return before expenses) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Fund | | Class | | Beginning
Account Value
07/01/16 | | Ending
Account Value
12/31/16 | | Annualized
Expense
Ratio (1) | | Expenses
Paid During
Period (2) |
Money Market | | Institutional
Investor | | |
| $1,000.00
1,000.00 |
| | |
| $1,024.23
1,023.04 |
| | |
| 0.18
0.41 | %
| | | $
| 0.91
2.10 |
|
Low-Duration Bond | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,023.25
1,021.89 |
| | |
| 0.37
0.64 |
| | |
| 1.89
3.25 |
|
Medium-Duration Bond | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,022.86
1,021.48 |
| | |
| 0.45
0.72 |
| | |
| 2.28
3.66 |
|
Extended-Duration Bond | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,022.32
1,020.89 |
| | |
| 0.55
0.83 |
| | |
| 2.82
4.25 |
|
Global Bond | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,022.18
1,020.72 |
| | |
| 0.58
0.87 |
| | |
| 2.96
4.42 |
|
Defensive Market Strategies | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,021.64
1,020.24 |
| | |
| 0.69
0.96 |
| | |
| 3.50
4.90 |
|
Equity Index | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,024.37
1,023.03 |
| | |
| 0.15
0.41 |
| | |
| 0.77
2.11 |
|
Value Equity | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,022.16
1,020.80 |
| | |
| 0.59
0.85 |
| | |
| 2.98
4.34 |
|
Growth Equity | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,021.36
1,020.03 |
| | |
| 0.74
1.00 |
| | |
| 3.78
5.11 |
|
Small Cap Equity | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,020.05
1,018.72 |
| | |
| 1.00
1.26 |
| | |
| 5.09
6.42 |
|
International Equity Index | | Institutional | | | | 1,000.00 | | | | | 1,022.25 | | | | | 0.57 | | | | | 2.89 | |
International Equity (4) | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,020.34
1,018.96 |
| | |
| 0.94
1.21 |
| | |
| 4.80
6.18 |
|
Emerging Markets Equity | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,018.45
1,017.19 |
| | |
| 1.31
1.56 |
| | |
| 6.69
7.95 |
|
Inflation Protected Bond | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,023.05
1,021.59 |
| | |
| 0.41
0.70 |
| | |
| 2.09
3.55 |
|
Flexible Income | | Investor | | | | 1,000.00 | | | | | 1,019.47 | | | | | 1.11 | | | | | 5.67 | |
Real Estate Securities | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,020.83
1,019.38 |
| | |
| 0.85
1.13 |
| | |
| 4.31
5.76 |
|
Global Natural Resources Equity | | Investor | | | | 1,000.00 | | | | | 1,018.83 | | | | | 1.24 | | | | | 6.31 | |
| (1) | Expenses include the effect of contractual waivers by GuideStone Capital Management, LLC. The Target Date 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, 2016 through December 31, 2016, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period). |
| (3) | Expenses include non-routine extraordinary expenses amounting to 0.10% of average net assets. See Note 13 in Notes to Financial Statements. |
| (4) | The expense ratios for the International Equity Fund include the impact of dividend and interest expense on securities sold short. |
13
ABBREVIATIONS, FOOTNOTES AND INDEX DEFINITIONS
| | | | |
| INVESTMENT ABBREVIATIONS: |
| ACES | | — | | Alternative Credit Enhancement Securities |
| ADR | | — | | American Depositary Receipt |
| CDX | | — | | A series of indices that track North American and emerging market credit derivative indexes. |
| CETIP | | — | | Latin America’s largest central depository for securities and derivatives. |
| CLO | | — | | Collateralized Loan Obligation |
| CMBS | | — | | Commercial Mortgage-Backed Securities |
| CMBX | | — | | A group of indices made up of 25 tranches of commercial mortgage-backed securities (CMBS), each with different credit ratings. |
| CONV | | — | | Convertible |
| CVA | | — | | Dutch Certificate |
| DIP | | — | | Debtor in Possession |
| GDR | | — | | Global Depositary Receipt |
| IO | | — | | Interest Only (Principal amount shown is notional) |
| JIBAR | | — | | Johannesburg Interbank Agreed Rate |
| KLIBOR | | — | | Kuala Lumpur Interbank Offer Rate |
| KORIBOR | | — | | Korea Interbank Offer Rate |
| LIBOR | | — | | London Interbank Offered Rate |
| LLC | | — | | Limited Liability Company |
| LP | | — | | Limited Partnership |
MXN-
TIIE-
Banxico | | — | | The Equilibrium Interbank Interest Rate (“TIIE”) represents interbank credit transactions in local currency (MXN). |
| NVDR | | — | | Non-Voting Depository Receipt |
| PCL | | — | | Public Company Limited |
| PIK | | — | | Payment-in-Kind Bonds |
| PIPE | | — | | Private Investment in Public Equity |
| PLC | | — | | Public Limited Company |
| REIT | | — | | Real Estate Investment Trust |
| REMIC | | — | | Real Estate Mortgage Investment Conduit |
| SDR | | — | | Special Drawing Rights |
| STEP | | — | | Stepped Coupon Bonds: Interest rates shown reflect the rates currently in effect. |
| STRIP | | — | | Stripped Security |
| TBA | | — | | To be announced |
| 144A | | — | | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. As of December 31, 2016, 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 | | | $ | 208,716,341 | | | | | 24.09 | % |
Medium-Duration Bond | | | | 115,402,815 | | | | | 11.19 | |
Extended-Duration Bond | | | | 12,325,559 | | | | | 5.24 | |
Global Bond | | | | 87,599,894 | | | | | 20.47 | |
Defensive Market Strategies | | | | 28,352,060 | | | | | 3.44 | |
International Equity Index | | | | 614,128 | | | | | 0.46 | |
International Equity | | | | 10,649,388 | | | | | 0.83 | |
Emerging Markets Equity | | | | 3,258,513 | | | | | 0.97 | |
Real Estate Securities | | | | 849,464 | | | | | 0.38 | |
Flexible Income Fund | | | | 4,762,619 | | | | | 3.09 | |
| | | | |
| INVESTMENT FOOTNOTES: |
| ‡‡ | | — | | All or a portion of the security was held as collateral for open futures, options, securities sold short and/or swap contracts. |
| * | | — | | Non-income producing security. |
| # | | — | | Security in default. |
| § | | — | | Security purchased with the cash proceeds from securities loaned. |
| † | | — | | Variable rate security. Rate shown reflects the rate in effect as of December 31, 2016. Maturity date for money market instruments is the date of the next interest rate reset. |
| W | | — | | Rate shown reflects the effective yield as of December 31, 2016. |
¥ | | — | | Affiliated fund. |
D | | — | | Security either partially or fully on loan. |
S | | — | | All or a portion of this position has not settled. Full contract rates do not take effect until settlement date. |
+ | | — | | Security is valued at fair value by the Valuation Committee (see Note 1 in Notes to Financial Statements). As of December 31, 2016, 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 | | | $ | 5,208,154 | | | | | 0.60 | % |
Medium-Duration Bond | | | | 6,353,739 | | | | | 0.62 | |
Global Bond | | | | 3,213,002 | | | | | 0.75 | |
Defensive Market Strategies | | | | 4,282,614 | | | | | 0.52 | |
Small Cap Equity | | | | — | | | | | — | |
International Equity Index | | | | 2,641 | | | | | — | |
International Equity | | | | 86,722 | | | | | 0.01 | |
Emerging Markets Equity | | | | 1,393,152 | | | | | 0.42 | |
Flexible Income Fund | | | | 438,845 | | | | | 0.29 | |
Global Natural | | | | | | | | | | |
Resources Equity Fund | | | | 1,561,600 | | | | | 0.70 | |
14
ABBREVIATIONS, FOOTNOTES AND INDEX DEFINITIONS
| | | | |
| 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). |
| (D) | | — | | Par is denominated in Danish Kroner (DKK). |
| (E) | | — | | Par is denominated in Euro (EUR). |
| (J) | | — | | Par is denominated in Japanese Yen (JPY). |
| (K) | | — | | Par is denominated in Norwegian Krone (NOK). |
| (M) | | — | | Par is denominated in Mexican Pesos (MXN). |
| (P) | | — | | Par is denominated in Polish Zloty (PLN). |
| (Q) | | — | | Par is denominated in Russian Ruble (RUB). |
| (S) | | — | | Par is denominated in SouthAfrican Rand (ZAR). |
| (U) | | — | | Par is denominated in British Pounds (GBP). |
| (V) | | — | | Par is denominated in Dominican Peso (DOP). |
| (X) | | — | | Par is denominated in Colombian Peso (COP). |
| (Y) | | — | | Par is denominated in Chinese Yuan (CNY). |
| (Z) | | — | | Par is denominated in NewZealand 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. |
| CME | | — | | Counterparty to contract is Chicago Mercantile Exchange. |
| CS | | — | | Counterparty to contract is Credit Suisse International. |
| CWB | | — | | Counterparty to contract is Commonwealth Bank. |
| 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. |
| ICE | | — | | Counterparty to contract is Intercontinental Exchange. |
| JPM | | — | | Counterparty to contract is JPMorgan Chase Bank. |
| LCH | | — | | Counterparty to contract is LCH.Clearnet |
| MLCS | | — | | Counterparty to contract is Merrill Lynch Capital Services, Inc. |
| MSCS | | — | | Counterparty to contract is Morgan Stanley Capital Services. |
| NAB | | — | | Counterparty to contract is National Australia Bank. |
| RBC | | — | | Counterparty to contract is Royal Bank of Canada. |
| RBS | | — | | Counterparty to contract is Royal Bank of Scotland. |
| SC | | — | | Counterparty to contract is Standard Chartered PLC. |
| SS | | — | | Counterparty to contract is State Street Global Markets. |
| UBS | | — | | Counterparty to contract is UBS AG. |
| WEST | | — | | Counterparty to contract is Westpac Pollock. |
15
ABBREVIATIONS, FOOTNOTES AND INDEX DEFINITIONS
INDEX DEFINITIONS:
The BofA Merrill Lynch 1-3 Year US 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 Bloomberg Barclays Global Aggregate Bond Index provides a broad-based measure of the global investment grade fixed-rate debt markets.
The Bloomberg Barclays US 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 Bloomberg Barclays US Corporate High Yield 2% Issuer Capped Bond Index is an issuer-constrained version of the Bloomberg Barclays US Corporate High Yield Index that measures the market of U.S. dollar denominated, non-investment grade, fixed-rate, taxable corporate bonds. The index follows the same rules as the uncapped index but limits the exposure of each issuer to 2% of the total market value and redistributes any excess market value index-wide on a pro rata basis.
The Bloomberg Barclays US Long Credit Index is composed of a subset of the Bloomberg Barclays US 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.
The Bloomberg Barclays US Long Government Bond Index is composed of securities in the long (more than 10 years) range of the Bloomberg Barclays US Government Index and is composed of a subset of the Bloomberg Barclays 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.
The Bloomberg Barclays US TIPS (Series-L) 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 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.
The FTSE EPRA/NAREIT Developed Index is designed to track the performance of listed real estate companies and REITs worldwide. By making the index constituents free-float adjusted, liquidity, size and revenue screened, the series is suitable for use as the basis for investment products, such as derivatives and Exchange Traded Funds (“ETFs”).
The J.P. Morgan EMBI 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 MSCI ACWI ex USA 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.
The MSCI World Commodity Producers Index is a free float-adjusted market capitalization index designed to reflect the performance of the three underlying commodity markets: energy, metals and agricultural products.
The MSCI EAFE Index is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada. The MSCI EAFE Index consists of the following 21 developed market country indices: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland and the United Kingdom.
The MSCI Emerging Markets Index is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets. The index consisted of the following 23 emerging market country indices: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Peru, Philippines, Poland, Qatar, Russia, South Africa, Taiwan, Thailand, Turkey and United Arab Emirates.
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.
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.
16
ABBREVIATIONS, FOOTNOTES AND INDEX DEFINITIONS
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.
The Russell 3000® Index is composed of 3,000 large companies.This portfolio of securities represents approximately 98% of the investable U.S. equity market.
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.
The S&P/LSTA U.S. BB- Ratings and Above Loan Index is a daily total return index that tracks the current outstanding balance and spread over LIBOR for fully funded term loans. The facilities included in the S&P/LSTA U.S. BB- Ratings and Above Loan Index represent a broad cross section of leveraged loans syndicated in the United States, including dollar-denominated loans to overseas issuers.
17
MyDestination 2005 Fund (Unaudited)
The Fund, through investments in the Select Funds, combined a greater percentage of exposure to fixed-income securities with a smaller percentage allocated to equity and real assets securities. The Fund followed an allocation glide path designed to become more conservative over time, and the targeted allocations were approximately 55.00% Fixed Income Select Funds, 20.00% U.S. Equity Select Funds, 7.00% Non-U.S. Equity Select Funds and 18.00% Real Asset Select Funds as of December 31, 2016.
As a fund of funds, the Fund’s performance was based on the performance of the underlying Select Funds. The Fund generated a return of 5.07% for the one-year period ended December 31, 2016. Contribution to performance from the U.S. Equity Select Funds was positive for absolute performance. The Defensive Market Strategies Fund was the largest Equity Select Fund contributor to absolute performance, benefiting from volatility and strong alpha generation. International equity exposure, including both developed and emerging markets, added modestly to performance. Non-U.S. developed equity markets underperformed their U.S. counterpart due to slower economic growth, a strengthening U.S. dollar and a reliance on further monetary policy. The Fund’s fixed-income allocation meaningfully added to investment returns, as the Low-Duration Bond Fund was the largest contributor overall. Real assets were a significant driver of positive absolute performance, led by the Global Natural Resources Equity Fund which benefited from the rally in commodity prices during the year.
The Fund outperformed its composite benchmark in 2016 (5.07% versus 4.69%). The largest contributors to relative outperformance were the Defensive Market Strategies Fund and the Low-Duration Bond Fund. The largest negative detractor to relative performance was 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 12 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.
At December 31, 2016, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
| | | | |
| | | % | |
Fixed Income Select Funds | | | 55.8 | |
U.S. Equity Select Funds | | | 19.3 | |
Real Return Select Funds | | | 17.7 | |
Non-U.S. Equity Select Funds | | | 7.1 | |
U.S. Treasury Obligations | | | 0.1 | |
| | | | |
| | | 100.0 | |
| | | | |
18
MyDestination 2005 Fund (Unaudited)
| | | | |
| Average Annual Total Returns as of 12/31/16 |
| | Investor Class* | | Benchmark** |
One Year | | 5.07% | | 4.69% |
Five Year | | 4.15% | | 3.99% |
Ten Year | | 3.36% | | 3.49% |
Since Inception | | 3.35% | | 3.49% |
Inception Date | | 12/29/06 | | |
Total Fund Operating Expenses (May 1, 2016 Prospectus)(1) | | 0.89% | | |
(1)The Fund’s shareholders indirectly bear the expenses of the Investor 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 GuideStoneFunds.com. 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 Investor Class of the Fund for the 10-year period from December 31, 2006 to December 31, 2016, 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 2016, consisting of 41.17% of the BofA Merrill Lynch 1-3 Year US Treasury Index, 10.98% of the Bloomberg Barclays US Aggregate Bond Index, 1.39% of the Bloomberg Barclays Global Aggregate Bond Index, 0.70% of the Bloomberg Barclays US Corporate High Yield 2% Issuer Capped Bond Index, 0.70% of the J.P. Morgan EMBI Plus, 10.00% of the Bloomberg Barclays US TIPS (Series-L) Index, 4.52% of the Citigroup 3-Month Treasury Bill Index, 7.73% of the S&P 500® Index, 5.06% of the S&P/LSTA U.S. BB- Ratings and Above Loan Index, 1.02% of the FTSE EPRA/ NAREIT Developed Index, 3.21% of the Russell 1000® Value Index, 3.21% of the Russell 1000® Growth Index, 1.06% of the Russell 2000® Index, 1.99% of the MSCI World Commodity Producers Index, 5.75% of the MSCI EAFE Index and 1.51% of the MSCI Emerging Markets 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.
19
| | | | |
MYDESTINATION 2005 FUND SCHEDULE OF INVESTMENTS | | | December 31, 2015 | |
| | | | | | | | | | | | | | | | |
| | | | | | Shares | | | | | | Value | |
MUTUAL FUNDS — 99.9% | | | | | | | | | | | | | |
GuideStone Money Market Fund
(Institutional Class)¥ | | | | | | | 2,082,944 | | | | | | | $ | 2,082,944 | |
GuideStone Low-Duration Bond Fund
(Institutional Class)¥ | | | | | | | 3,286,417 | | | | | | | | 43,840,804 | |
GuideStone Medium-Duration Bond Fund
(Institutional Class)¥ | | | | | | | 808,651 | | | | | | | | 11,693,091 | |
GuideStone Global Bond Fund
(Institutional Class)¥ | | | | | | | 306,684 | | | | | | | | 2,968,705 | |
GuideStone Defensive Market Strategies Fund
(Institutional Class)¥ | | | | | | | 808,029 | | | | | | | | 9,615,544 | |
GuideStone Equity Index Fund
(Institutional Class)¥ | | | | | | | 138,668 | | | | | | | | 3,422,329 | |
GuideStone Value Equity Fund
(Institutional Class)¥ | | | | | | | 161,251 | | | | | | | | 3,415,296 | |
GuideStone Growth Equity Fund
(Institutional Class)¥ | | | | | | | 162,367 | | | | | | | | 3,422,702 | |
GuideStone Small Cap Equity Fund
(Institutional Class)¥ | | | | | | | 64,643 | | | | | | | | 1,133,189 | |
GuideStone International Equity Index Fund (Institutional Class)¥ | | | | | | | 230,244 | | | | | | | | 2,039,966 | |
GuideStone International Equity Fund
(Institutional Class)¥ | | | | | | | 309,978 | | | | | | | | 4,079,310 | |
GuideStone Emerging Market Equity Fund (Institutional Class)¥ | | | | | | | 196,627 | | | | | | | | 1,608,408 | |
| | | | | | | | |
| | | Shares | | | Value | |
GuideStone Inflation Protected Bond Fund
(Institutional Class)¥ | | | 1,038,646 | | | | $ 10,646,124 | |
GuideStone Flexible Income Fund
(Investor Class)¥ | | | 562,923 | | | | 5,387,169 | |
GuideStone Real Estate Securities Fund (Institutional Class)¥ | | | 118,937 | | | | 1,082,331 | |
GuideStone Global Natural Resources Equity Fund (Investor Class)¥ | | | 286,169 | | | | 2,123,372 | |
| | | | | | | | |
| | |
Total Mutual Funds
(Cost $110,186,574) | | | | | | | 108,561,284 | |
| | | | | | | | |
| | |
| | | Par | | | | |
U.S. TREASURY OBLIGATIONS — 0.1% | |
U.S. Treasury Bills | | | | | | | | |
0.48%, 03/02/17W‡‡ | | | $ 50,000 | | | | 49,962 | |
0.60%, 06/22/17W‡‡ | | | 50,000 | | | | 49,855 | |
| | | | | | | | |
Total U.S. Treasury Obligations
(Cost $99,824) | | | | 99,817 | |
| | | | | | | | |
TOTAL INVESTMENTS — 100.0%
(Cost $110,286,398) | | | | 108,661,101 | |
Liabilities in Excess of Other
Assets — 0.0% | | | | (25,577 | ) |
| | | | | | | | |
NET ASSETS — 100.0% | | | | | | $ | 108,635,524 | |
| | | | | | | | |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2016, 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 | | | $ | 108,561,284 | | | | $ | 108,561,284 | | | | $ | — | | | | $ | — | |
U.S. Treasury Obligations | | | | 99,817 | | | | | — | | | | | 99,817 | | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | | $ | 108,661,101 | | | | $ | 108,561,284 | | | | $ | 99,817 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | $ | 3,850 | | | | $ | 3,850 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | | $ | 3,850 | | | | $ | 3,850 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
***Other financial instruments are derivative instruments not reflected in the Schedule of Investments (such as futures contracts), which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the “Financial Futures Contracts” disclosure in the Notes to Financial Statements.
There were no transfers between Level 1, Level 2 and Level 3 during the year ended December 31, 2016.
| | | | |
| 20 | | See Notes to Financial Statements. | | |
MyDestination 2015 Fund (Unaudited)
The Fund, through investments in the Select Funds, combined a greater percentage of exposure to equity securities with a smaller percentage allocated to fixed-income and real assets securities. The Fund followed an allocation glide path designed to become more conservative over time, and the targeted allocations were approximately 37.00% Fixed Income Select Funds, 36.00% U.S. Equity Select Funds, 15.00% Non-U.S. Equity Select Funds and 12.00% Real Asset Select Funds as of December 31, 2016.
As a fund of funds, the Fund’s performance was based on the performance of the underlying Select Funds. The Fund generated a return of 6.99% for the one-year period ended December 31, 2016. Contribution to performance from the U.S. Equity Select Funds was positive for absolute performance. The Defensive Market Strategies Fund was the largest Equity Select Fund contributor to absolute performance, benefiting from volatility and strong alpha generation. International equity exposure, including both developed and emerging markets, added modestly to performance. Non-U.S. developed equity markets underperformed their U.S. counterpart due to slower economic growth, a strengthening U.S. dollar and a reliance on further monetary policy. The Fund’s fixed-income allocation meaningfully added to investment returns, and the Global Bond Fund was the largest Fixed Income Select Fund contributor. Real assets were a significant driver of positive absolute performance, led by the Global Natural Resources Equity Fund which benefited from the rally in commodity prices during the year.
The Fund outperformed its composite benchmark in 2016 (6.99% versus 6.40%). The largest contributors to relative outperformance were the Global Natural Resources Equity Fund and the Defensive Market Strategies Fund. The largest negative detractor to relative performance was 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 12 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.
At December 31, 2016, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
| | | | |
| | | % | |
Fixed Income Select Funds | | | 37.8 | |
U.S. Equity Select Funds | | | 35.9 | |
Non-U.S. Equity Select Funds | | | 14.4 | |
Real Return Select Funds | | | 11.8 | |
U.S. Treasury Obligation | | | 0.1 | |
| | | | |
| | | 100.0 | |
| | | | |
21
MyDestination 2015 Fund (Unaudited)
| | | | |
| Average Annual Total Returns as of 12/31/16 |
| | Investor Class* | | Benchmark** |
One Year | | 6.99% | | 6.40% |
Five Year | | 6.02% | | 5.76% |
Ten Year | | 3.91% | | 4.07% |
Since Inception | | 3.91% | | 4.06% |
Inception Date | | 12/29/06 | | |
Total Fund Operating Expenses (May 1, 2016 Prospectus)(1) | | 0.96% | | |
(1)The Fund’s shareholders indirectly bear the expenses of the Investor 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 GuideStoneFunds.com. 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 Investor Class of the Fund for the 10-year period from December 31, 2006 to December 31, 2016, 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 2016, consisting of 11.00% of the BofA Merrill Lynch 1-3 Year US Treasury Index, 18.48% of the Bloomberg Barclays US Aggregate Bond Index, 3.67% of the Bloomberg Barclays Global Aggregate Bond Index, 1.83% of the Bloomberg Barclays US Corporate High Yield 2% Issuer Capped Bond Index, 1.83% of the J.P. Morgan EMBI Plus, 6.26% of the Bloomberg Barclays US TIPS (Series-L) Index, 8.65% of the Citigroup 3-Month Treasury Bill Index, 14.18% of the S&P 500® Index, 3.46% of the S&P/LSTA U.S. BB- Ratings and Above Loan Index, 0.79% of the FTSE EPRA/ NAREIT Developed Index, 6.13% of the Russell 1000® Value Index, 5.45% of the Russell 1000® Growth Index, 2.08% of the Russell 2000® Index, 1.51% of the MSCI World Commodity Producers Index, 11.56% of the MSCI EAFE Index and 3.12% of the MSCI Emerging Markets 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.
22
| | | | |
MYDESTINATION 2015 FUND SCHEDULE OF INVESTMENTS | | | December 31, 2016 | |
| | | | | | | | | | | | | | | | |
| | | Shares | | | Value | |
MUTUAL FUNDS — 99.9% | | | | | | | | | |
GuideStone Money Market Fund (Institutional Class)¥ | | | | | | | 8,126,942 | | | | | | | $ | 8,126,942 | |
GuideStone Low-Duration Bond Fund (Institutional Class)¥ | | | | | | | 4,344,876 | | | | | | | | 57,960,641 | |
GuideStone Medium-Duration Bond Fund (Institutional Class)¥ | | | | | | | 6,734,089 | | | | | | | | 97,374,922 | |
GuideStone Global Bond Fund
(Institutional Class)¥ | | | | | | | 3,985,629 | | | | | | | | 38,580,890 | |
GuideStone Defensive Market Strategies Fund (Institutional Class)¥ | | | | | | | 7,657,919 | | | | | | | | 91,129,231 | |
GuideStone Equity Index Fund
(Institutional Class)¥ | | | | | | | 1,181,144 | | | | | | | | 29,150,637 | |
GuideStone Value Equity Fund
(Institutional Class)¥ | | | | | | | 1,525,949 | | | | | | | | 32,319,605 | |
GuideStone Growth Equity Fund (Institutional Class)¥ | | | | | | | 1,363,047 | | | | | | | | 28,733,033 | |
GuideStone Small Cap Equity Fund (Institutional Class)¥ | | | | | | | 625,376 | | | | | | | | 10,962,847 | |
GuideStone International Equity Index Fund (Institutional Class)¥ | | | | | | | 2,263,905 | | | | | | | | 20,058,201 | |
GuideStone International Equity Fund (Institutional Class)¥ | | | | | | | 3,102,968 | | | | | | | | 40,835,063 | |
GuideStone Emerging Market Equity Fund (Institutional Class)¥ | | | | | | | 2,007,525 | | | | | | | | 16,421,555 | |
| | | | | | | | |
| | | Shares | | | Value | |
GuideStone Inflation Protected Bond Fund
(Institutional Class)¥ | | | 3,219,970 | | | $ | 33,004,691 | |
GuideStone Flexible Income Fund
(Investor Class)¥ | | | 1,907,592 | | | | 18,255,658 | |
GuideStone Real Estate Securities Fund
(Institutional Class)¥ | | | 455,138 | | | | 4,141,753 | |
GuideStone Global Natural Resources Equity Fund
(Investor Class)¥ | | | 1,073,768 | | | | 7,967,361 | |
| | | | | | | | |
| |
Total Mutual Funds
(Cost $555,925,819) | | | | 535,023,030 | |
| | | | | | | | |
| | |
| | | Par | | | | |
U.S. TREASURY OBLIGATION — 0.1% | |
U.S. Treasury Bill
0.60%, 06/22/17W‡‡
(Cost $299,161) | | $ | 300,000 | | | | 299,129 | |
| | | | | | | | |
| |
TOTAL INVESTMENTS — 100.0%
(Cost $556,224,980) | | | | 535,322,159 | |
| |
Other Assets in Excess of
Liabilities — 0.0% | | | | 78,421 | |
| | | | | | | | |
NET ASSETS — 100.0% | | | $ | 535,400,580 | |
| | | | | | | | |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2016, 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 | | | $ | 535,023,030 | | | | $ | 535,023,030 | | | | $ | — | | | | $ | — | |
U.S. Treasury Obligation | | | | 299,129 | | | | | — | | | | | 299,129 | | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | | $ | 535,322,159 | | | | $ | 535,023,030 | | | | $ | 299,129 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | $ | (39,534 | ) | | | $ | (39,534 | ) | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Liabilities - Other Financial Instruments | | | $ | (39,534 | ) | | | $ | (39,534 | ) | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
***Other financial instruments are derivative instruments not reflected in the Schedule of Investments (such as futures contracts), which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the “Financial Futures Contracts” disclosure in the Notes to Financial Statements.
There were no transfers between Level 1, Level 2 and Level 3 during the year ended December 31, 2016.
| | | | |
| | See Notes to Financial Statements. | | 23 |
MyDestination 2025 Fund (Unaudited)
The Fund, through investments in the Select Funds, combined a greater percentage of exposure to equity securities with smaller percentages allocated to fixed-income and real assets securities. The Fund followed an allocation glide path designed to become more conservative over time, and the targeted allocations were approximately 26.00% Fixed Income Select Funds, 46.00% U.S. Equity Select Funds, 20.00% Non-U.S. Equity Select Funds and 8.00% Real Asset Select Funds as of December 31, 2016.
As a fund of funds, the Fund’s performance was based on the performance of the underlying Select Funds. The Fund generated a return of 8.01% for the one-year period ended December 31, 2016. Contribution to performance from the U.S. Equity Select Funds was positive for absolute performance. The Defensive Market Strategies Fund was the largest Equity Select Fund contributor to absolute performance, benefiting from volatility and strong alpha generation. International equity exposure, including both developed and emerging markets, added modestly to performance. Non-U.S. developed equity markets underperformed their U.S. counterpart due to slower economic growth, a strengthening U.S. dollar and a reliance on further monetary policy. The Fund’s fixed-income allocation meaningfully added to investment returns, and the Global Bond Fund was the largest Fixed Income Select Fund contributor. Real assets were a significant driver of positive absolute performance, led by the Global Natural Resources Equity Fund which benefited from the rally in commodity prices during the year.
The Fund outperformed its composite benchmark in 2016 (8.01% versus 7.71%). The largest contributors to relative outperformance were the Global Natural Resources Equity Fund and the Defensive Market Strategies Fund. The largest negative detractor to relative performance was 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 12 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.
At December 31, 2016, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
| | | | |
| | | % | |
U.S. Equity Select Funds | | | 45.6 | |
Fixed Income Select Funds | | | 27.3 | |
Non-U.S. Equity Select Funds | | | 19.4 | |
Real Return Select Funds | | | 7.6 | |
U.S. Treasury Obligation | | | 0.1 | |
| | | | |
| | | 100.0 | |
| | | | |
24
MyDestination 2025 Fund (Unaudited)
| | | | |
| Average Annual Total Returns as of 12/31/16 |
| | | Investor Class* | | Benchmark** |
One Year | | 8.01% | | 7.71% |
Five Year | | 7.40% | | 7.28% |
Ten Year | | 3.91% | | 4.26% |
Since Inception | | 3.91% | | 4.25% |
Inception Date | | 12/29/06 | | |
Total Fund Operating Expenses (May 1, 2016 Prospectus)(1) | | 1.00% | | |
(1)The Fund’s shareholders indirectly bear the expenses of the Investor 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 GuideStoneFunds.com. 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 Investor Class of the Fund for the10-year period from December 31, 2006 to December 31, 2016, 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 2016, consisting of 1.42% of the BofA Merrill Lynch 1-3 Year US Treasury Index, 19.33% of the Bloomberg Barclays US Aggregate Bond Index, 2.57% of the Bloomberg Barclays Global Aggregate Bond Index, 1.29% of the Bloomberg Barclays US Corporate High Yield 2% Issuer Capped Bond Index, 1.29% of the J.P. Morgan EMBI Plus, 2.21% of the Bloomberg Barclays US TIPS (Series-L) Index, 8.95% of the Citigroup 3-Month Treasury Bill Index, 17.26% of the S&P 500® Index, 1.97% of the S&P/LSTA U.S. BB- Ratings and Above Loan Index, 1.17% of the FTSE EPRA/ NAREIT Developed Index, 9.00% of the Russell 1000® Value Index, 8.19% of the Russell 1000® Growth Index, 3.11% of the Russell 2000® Index, 2.43% of the MSCI World Commodity Producers Index, 15.66% of the MSCI EAFE Index and 4.15% of the MSCI Emerging Markets 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.
25
| | | | |
MYDESTINATION 2025 FUND SCHEDULE OF INVESTMENTS | | | December 31, 2016 | |
| | | | | | | | | | | | | | | | |
| | | Shares | | | Value | |
MUTUAL FUNDS — 99.9% | | | | | | | | | | | | | | | | |
GuideStone Money
Market Fund
(Institutional Class)¥ | | | | | | | 16,076,040 | | | | | | | $ | 16,076,040 | |
GuideStone Low-Duration
Bond Fund
(Institutional Class)¥ | | | | | | | 893,313 | | | | | | | | 11,916,802 | |
GuideStone Medium-
Duration Bond Fund
(Institutional Class)¥ | | | | | | | 11,205,838 | | | | | | | | 162,036,420 | |
GuideStone Global
Bond Fund
(Institutional Class)¥ | | | | | | | 4,444,538 | | | | | | | | 43,023,128 | |
GuideStone Defensive
Market Strategies Fund
(Institutional Class)¥ | | | | | | | 12,622,312 | | | | | | | | 150,205,509 | |
GuideStone Equity
Index Fund
(Institutional Class)¥ | | | | | | | 2,824,145 | | | | | | | | 69,699,890 | |
GuideStone Value
Equity Fund
(Institutional Class)¥ | | | | | | | 3,562,310 | | | | | | | | 75,449,730 | |
GuideStone Growth
Equity Fund
(Institutional Class)¥ | | | | | | | 3,257,746 | | | | | | | | 68,673,278 | |
GuideStone Small Cap
Equity Fund
(Institutional Class)¥ | | | | | | | 1,488,544 | | | | | | | | 26,094,170 | |
GuideStone International
Equity Index Fund
(Institutional Class)¥ | | | | | | | 4,859,762 | | | | | | | | 43,057,488 | |
GuideStone International
Equity Fund
(Institutional Class)¥ | | | | | | | 6,700,798 | | | | | | | | 88,182,506 | |
GuideStone Emerging
Market Equity Fund
(Institutional Class)¥ | | | | | | | 4,249,357 | | | | | | | | 34,759,743 | |
| | | | | | | | | | | | | | | | |
| | | | | | Shares | | | | | | Value | |
GuideStone Inflation
Protected Bond Fund
(Institutional Class)¥ | | | | | | | 1,810,722 | | | | | | | $ | 18,559,904 | |
GuideStone Flexible
Income Fund
(Investor Class)¥ | | | | | | | 1,721,992 | | | | | | | | 16,479,467 | |
GuideStone Real Estate
Securities Fund
(Institutional Class)¥ | | | | | | | 1,081,270 | | | | | | | | 9,839,557 | |
GuideStone Global Natural
Resources Equity Fund
(Investor Class)¥ | | | | | | | 2,748,056 | | | | | | | | 20,390,572 | |
| | | | | | | | | | | | | | | | |
| | | | |
Total Mutual Funds
(Cost $893,793,152) | | | | | | | | | | | | | | | 854,444,204 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | Par | | | | | | | |
U.S. TREASURY OBLIGATION — 0.1% | | | | | |
U.S. Treasury Bill | | | | | | | | | | | | | | | | |
0.60%, 06/22/17W‡‡
(Cost $498,602) | | | | | | $ | 500,000 | | | | | | | | 498,550 | |
| | | | | | | | | | | | | | | | |
| |
TOTAL INVESTMENTS — 100.0%
(Cost $894,291,754) | | | | 854,942,754 | |
| | |
Other Assets in Excess of
Liabilities — 0.0% | | | | | | | | 228,518 | |
| | | | | | | | | | | | | | | | |
NET ASSETS — 100.0% | | | | | | | | | | | | | | $ | 855,171,272 | |
| | | | | | | | | | | | | | | | |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2016, 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 | | | $ | 854,444,204 | | | | $ | 854,444,204 | | | | $ | — | | | | $ | — | |
U.S. Treasury Obligation | | | | 498,550 | | | | | — | | | | | 498,550 | | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | | $ | 854,942,754 | | | | $ | 854,444,204 | | | | $ | 498,550 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | $ | (76,877 | ) | | | $ | (76,877 | ) | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Liabilities - Other Financial Instruments | | | $ | (76,877 | ) | | | $ | (76,877 | ) | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
***Other financial instruments are derivative instruments not reflected in the Schedule of Investments (such as futures contracts), which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the “Financial Futures Contracts” disclosure in the Notes to Financial Statements.
There were no transfers between Level 1, Level 2 and Level 3 during the year ended December 31, 2016.
| | | | |
| 26 | | See Notes to Financial Statements. | | |
MyDestination 2035 Fund (Unaudited)
The Fund, through investments in the Select Funds, combines a greater percentage of exposure to equity securities with smaller percentages allocated to fixed-income and real assets securities. The Fund followed an allocation glide path designed to become more conservative over time, and the targeted allocations were approximately 20.00% Fixed Income Select Funds, 49.00% U.S. Equity Select Funds, 26.00% Non-U.S. Equity Select Funds and 5.00% Real Asset Select Funds as of December 31, 2016.
As a fund of funds, the Fund’s performance was based on the performance of the underlying Select Funds. The Fund generated a return of 8.38% for the one-year period ended December 31, 2016. Contribution to performance from the U.S. Equity Select Funds was positive for absolute performance. The Value Equity Fund was the largest Equity Select Fund contributor to absolute performance, as value stocks outperformed growth stocks for the year. International equity exposure, including both developed and emerging markets, added modestly to performance. Non-U.S. developed equity markets underperformed their U.S. counterpart due to slower economic growth, a strengthening U.S. dollar and a reliance on further monetary policy. The Fund’s fixed-income allocation meaningfully added to investment returns, and the Global Bond Fund was the largest Fixed Income Select Fund contributor. Real assets were a positive contributor to absolute performance, led by the Global Natural Resources Equity Fund which benefited from the rally in commodity prices during the year.
The Fund underperformed its composite benchmark in 2016 (8.38% versus 9.39%). The largest contributors to relative underperformance were the Growth Equity Fund and the Value Equity Fund. The largest contributors to relative performance were the Global Natural Resource Equity Fund and the International 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 12 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.
At December 31, 2016, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
| | | | |
| | | % | |
| | | | |
U.S. Equity Select Funds | | | 48.2 | |
Non-U.S. Equity Select Funds | | | 25.3 | |
Fixed Income Select Funds | | | 21.5 | |
Real Return Select Funds | | | 4.9 | |
U.S. Treasury Obligation | | | 0.1 | |
| | | | |
| | | 100.0 | |
| | | | |
27
MyDestination 2035 Fund (Unaudited)
| | | | |
| Average Annual Total Returns as of 12/31/16 |
| | | Investor Class* | | Benchmark** |
One Year | | 8.38% | | 9.39% |
Five Year | | 8.51% | | 9.21% |
Ten Year | | 3.61% | | 4.43% |
Since Inception | | 3.61% | | 4.43% |
Inception Date | | 12/29/06 | | |
Total Fund Operating Expenses (May 1, 2016 Prospectus)(1) | | 1.06% | | |
(1)The Fund’s shareholders indirectly bear the expenses of the Investor 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 GuideStoneFunds.com. 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 Investor Class of the Fund for the 10-year period from December 31, 2006 to December 31, 2016, 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 2016, consisting of 0.05% of the BofA Merrill Lynch 1-3 Year US Treasury Index, 15.70% of the Bloomberg Barclays US Aggregate Bond Index, 1.95% of the Bloomberg Barclays Global Aggregate Bond Index, 0.98% of the Bloomberg Barclays US Corporate High Yield 2% Issuer Capped Bond Index, 0.98% of the J.P. Morgan EMBI Plus, 1.42% of the Citigroup 3-Month Treasury Bill Index, 15.10% of the S&P 500® Index, 1.64% of the FTSE EPRA/ NAREIT Developed Index, 14.43% of the Russell 1000® Value Index, 13.59% of the Russell 1000® Growth Index, 4.82% of the Russell 2000® Index, 3.37% of the MSCI World Commodity Producers Index, 20.32% of the MSCI EAFE Index and 5.65% of the MSCI Emerging Markets 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.
28
| | |
MYDESTINATION 2035 FUND SCHEDULE OF INVESTMENTS | | December 31, 2016 |
| | | | | | | | | | | | | | | | |
| | | Shares | | | Value | |
MUTUAL FUNDS — 99.9% | | | | | | | | | | | | | | | | |
GuideStone Money Market Fund (Institutional Class)¥ | | | | | | | 11,320,501 | | | | | | | $ | 11,320,501 | |
GuideStone Low-Duration Bond Fund (Institutional Class)¥ | | | | | | | 16,417 | | | | | | | | 218,997 | |
GuideStone Medium-Duration Bond Fund (Institutional Class)¥ | | | | | | | 5,075,433 | | | | | | | | 73,390,758 | |
GuideStone Global Bond Fund (Institutional Class)¥ | | | | | | | 1,888,339 | | | | | | | | 18,279,121 | |
GuideStone Defensive Market Strategies Fund (Institutional Class)¥ | | | | | | | 1,112,946 | | | | | | | | 13,244,061 | |
GuideStone Equity Index Fund (Institutional Class)¥ | | | | | | | 2,591,547 | | | | | | | | 63,959,378 | |
GuideStone Value Equity Fund (Institutional Class)¥ | | | | | | | 3,185,114 | | | | | | | | 67,460,714 | |
GuideStone Growth Equity Fund (Institutional Class)¥ | | | | | | | 3,013,169 | | | | | | | | 63,517,607 | |
GuideStone Small Cap Equity Fund (Institutional Class)¥ | | | | | | | 1,285,612 | | | | | | | | 22,536,771 | |
GuideStone International Equity Index Fund (Institutional Class)¥ | | | | | | | 3,514,791 | | | | | | | | 31,141,049 | |
GuideStone International Equity Fund (Institutional Class)¥ | | | | | | | 4,852,443 | | | | | | | | 63,858,153 | |
| | | | | | | | |
| | | Shares | | | Value | |
GuideStone Emerging Market Equity Fund (Institutional Class)¥ | | | 3,227,298 | | | $ | 26,399,295 | |
GuideStone Real Estate Securities Fund (Institutional Class)¥ | | | 843,510 | | | | 7,675,943 | |
GuideStone Global Natural Resources Equity Fund (Investor Class)¥ | | | 2,125,876 | | | | 15,774,003 | |
| | | | | | | | |
Total Mutual Funds
(Cost $509,978,061) | | | | 478,776,351 | |
| | | | | | | | |
| | |
| | | Par | | | | |
U.S. TREASURY OBLIGATION — 0.1% | |
U.S. Treasury Bill | | | | | |
0.60%, 06/22/17W‡‡
(Cost $498,601) | | $ | 500,000 | | | | 498,549 | |
| | | | | | | | |
TOTAL INVESTMENTS — 100.0%
(Cost $510,476,662) | | | | 479,274,900 | |
Liabilities in Excess of Other
Assets — 0.0% | | | | (223,435 | ) |
| | | | | | | | |
NET ASSETS — 100.0% | | | | | | $ | 479,051,465 | |
| | | | | | | | |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2016, 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 | | | $ | 478,776,351 | | | | $ | 478,776,351 | | | | $ | — | | | | $ | — | |
U.S. Treasury Obligation | | | | 498,549 | | | | | — | | | | | 498,549 | | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | | $ | 479,274,900 | | | | $ | 478,776,351 | | | | $ | 498,549 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | $ | (79,204 | ) | | | $ | (79,204 | ) | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Liabilities - Other Financial Instruments | | | $ | (79,204 | ) | | | $ | (79,204 | ) | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
***Other financial instruments are derivative instruments not reflected in the Schedule of Investments (such as futures contracts), which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the “Financial Futures Contracts” disclosure in the Notes to Financial Statements.
There were no transfers between Level 1, Level 2 and Level 3 during the year ended December 31, 2016.
| | | | |
| | See Notes to Financial Statements. | | 29 |
MyDestination 2045 Fund (Unaudited)
The Fund, through investments in the Select Funds, combined a high percentage of exposure to equity securities with only modest percentages allocated to fixed-income and real assets securities. The Fund followed an allocation glide path designed to become more conservative over time, and the targeted allocations were approximately 11.00% Fixed Income Select Funds, 55.00% U.S. Equity Select Funds, 29.00% Non-U.S. Equity Select Funds and 5.00% Real Asset Select Funds as of December 31, 2016.
As a fund of funds, the Fund’s performance was based on the performance of the underlying Select Funds. The Fund generated a return of 8.45% for the one-year period ended December 31, 2016. Contribution to performance from the U.S. Equity Select Funds was positive for absolute performance. The Value Equity Fund was the largest Equity Select Fund contributor to absolute performance, as value stocks outperformed growth stocks for the year. International equity exposure, including both developed and emerging markets, added modestly to performance. Non-U.S. developed equity markets underperformed their U.S. counterpart due to slower economic growth, a strengthening U.S. dollar and a reliance on further monetary policy. The Fund’s fixed-income allocation meaningfully added to investment returns, and the Global Bond Fund was the largest Fixed Income Select Fund contributor. Real assets were a positive contributor to absolute performance, led by the Global Natural Resources Equity Fund which benefited from the rally in commodity prices during the year.
The Fund underperformed its composite benchmark in 2016 (8.45% versus 9.90%). The largest contributors to relative underperformance were the Growth Equity Fund and the Value Equity Fund. The largest contributors to relative performance were the Global Natural Resources Equity Fund and the International 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 12 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.
At December 31, 2016, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
| | | | |
| | | % | |
U.S. Equity Select Funds | | | 53.3 | |
Non-U.S. Equity Select Funds | | | 28.7 | |
Fixed Income Select Funds | | | 12.9 | |
Real Return Select Funds | | | 5.0 | |
U.S. Treasury Obligation | | | 0.1 | |
| | | | |
| | | 100.0 | |
| | | | |
30
MyDestination 2045 Fund (Unaudited)
| | | | |
| Average Annual Total Returns as of 12/31/16 |
| | | Investor Class* | | Benchmark** |
One Year | | 8.45% | | 9.90% |
Five Year | | 8.80% | | 9.71% |
Ten Year | | 3.42% | | 4.34% |
Since Inception | | 3.41% | | 4.33% |
Inception Date | | 12/29/06 | | |
Total Fund Operating Expenses (May 1, 2016 Prospectus)(1) | | 1.10% | | |
(1)The Fund’s shareholders indirectly bear the expenses of the Investor 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 GuideStoneFunds.com. 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 Investor Class of the Fund for the 10-year period from December 31, 2006 to December 31, 2016, 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 2016, consisting of 8.68% of the Bloomberg Barclays US Aggregate Bond Index, 2.17% of the Bloomberg Barclays Global Aggregate Bond Index, 16.14% of the S&P 500® Index, 1.68% of the FTSE EPRA/NAREIT Developed Index, 16.75% of the Russell 1000® Value Index, 16.02% of the Russell 1000® Growth Index, 5.71% of the Russell 2000® Index, 3.45% of the MSCI World Commodity Producers Index, 23.20% of the MSCI EAFE Index and 6.20% of the MSCI Emerging Markets 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.
31
| | |
MYDESTINATION 2045 FUND SCHEDULE OF INVESTMENTS | | December 31, 2016 |
| | | | | | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
MUTUAL FUNDS — 99.9% | | | | | | | | | |
GuideStone Money
Market Fund
(Institutional Class)¥ | | | | | | | 7,921,165 | | | | | | | $ | 7,921,165 | |
GuideStone Medium-Duration Bond Fund
(Institutional Class)¥ | | | | | | | 2,077,559 | | | | | | | | 30,041,505 | |
GuideStone Global Bond Fund (Institutional Class)¥ | | | | | | | 774,142 | | | | | | | | 7,493,694 | |
GuideStone Equity Index Fund
(Institutional Class)¥ | | | | | | | 2,261,964 | | | | | | | | 55,825,267 | |
GuideStone Value Equity Fund
(Institutional Class)¥ | | | | | | | 2,734,951 | | | | | | | | 57,926,268 | |
GuideStone Growth Equity Fund
(Institutional Class)¥ | | | | | | | 2,628,451 | | | | | | | | 55,407,757 | |
GuideStone Small Cap Equity Fund
(Institutional Class)¥ | | | | | | | 1,126,548 | | | | | | | | 19,748,385 | |
GuideStone International Equity Index Fund (Institutional Class)¥ | | | | | | | 2,989,128 | | | | | | | | 26,483,670 | |
GuideStone International Equity Fund (Institutional Class)¥ | | | | | | | 4,087,837 | | | | | | | | 53,795,935 | |
GuideStone Emerging Market Equity Fund (Institutional Class)¥ | | | | | | | 2,623,638 | | | | | | | | 21,461,359 | |
| | | | | | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
GuideStone Real Estate Securities Fund (Institutional Class)¥ | | | | | | | 638,419 | | | | | | | $ | 5,809,609 | |
GuideStone Global Natural Resources Equity Fund (Investor Class)¥ | | | | | | | 1,606,170 | | | | | | | | 11,917,783 | |
| | | | | | | | | | | | | | | | |
Total Mutual Funds
(Cost $376,686,527) | | | | | | | | 353,832,397 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | Par | | | | | | | |
U.S. TREASURY OBLIGATION — 0.1% | |
U.S. Treasury Bill | | | | | | | | | | | | | | | | |
0.60%, 06/22/17W‡‡ | | | | | | | | | | | | | | | | |
(Cost $398,881) | | | | | | $ | 400,000 | | | | | | | | 398,840 | |
| | | | | | | | | | | | | | | | |
TOTAL INVESTMENTS — 100.0%
(Cost $377,085,408) | | | | | | | | 354,231,237 | |
Other Assets in Excess of
Liabilities — 0.0% | | | | | | | | | | | | | | | 40,068 | |
| | | | | | | | | | | | | | | | |
NET ASSETS — 100.0% | | | | | | | | | | | | | | $ | 354,271,305 | |
| | | | | | | | | | | | | | | | |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2016, 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 | | | $ | 353,832,397 | | | | $ | 353,832,397 | | | | $ | — | | | | $ | — | |
U.S. Treasury Obligation | | | | 398,840 | | | | | — | | | | | 398,840 | | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | | $ | 354,231,237 | | | | $ | 353,832,397 | | | | $ | 398,840 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | $ | (49,968 | ) | | | $ | (49,968 | ) | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Liabilities - Other Financial Instruments | | | $ | (49,968 | ) | | | $ | (49,968 | ) | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
***Other financial instruments are derivative instruments not reflected in the Schedule of Investments (such as futures contracts), which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the “Financial Futures Contracts” disclosure in the Notes to Financial Statements.
There were no transfers between Level 1, Level 2 and Level 3 during the year ended December 31, 2016.
| | | | |
| 32 | | See Notes to Financial Statements. | | |
MyDestination 2055 Fund (Unaudited)
The Fund, through investments in the Select Funds, combined a high percentage of exposure to equity securities with only modest percentages allocated to fixed-income and real assets securities. The Fund followed an allocation glide path designed to become more conservative over time, and the targeted allocations were approximately 7.00% Fixed Income Select Funds, 57.00% U.S. Equity Select Funds, 31.00% Non-U.S. Equity Select Funds and 5.00% Real Asset Select Funds as of December 31, 2016.
As a fund of funds, the Fund’s performance was based on the performance of the underlying Select Funds. The Fund generated a return of 8.81% for the one-year period ended December 31, 2016. Contribution to performance from the U.S. Equity Select Funds was positive for absolute performance. The Value Equity Fund was the largest Equity Select Fund contributor to absolute performance, as value stocks outperformed growth stocks for the year. International equity exposure, including both developed and emerging markets, added modestly to performance. Non-U.S. developed equity markets underperformed their U.S. counterpart due to slower economic growth, a strengthening U.S. dollar and a reliance on further monetary policy. The Fund’s fixed-income allocation meaningfully added to investment returns, and the Global Bond Fund was the largest Fixed Income Select Fund contributor. Real assets were a positive contributor to absolute performance, led by the Global Natural Resources Equity Fund which benefited from the rally in commodity prices during the year.
The Fund underperformed its composite benchmark in 2016 (8.81% versus 10.05%). The largest contributors to relative underperformance were the Growth Equity Fund and the Value Equity Fund. The largest contributors to relative performance were the Global Natural Resources Equity Fund and the International 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 12 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.
At December 31, 2016, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
| | | | |
| | | % | |
U.S. Equity Select Funds | | | 55.5 | |
Non-U.S. Equity Select Funds | | | 30.4 | |
Fixed Income Select Funds | | | 9.0 | |
Real Return Select Funds | | | 4.9 | |
U.S. Treasury Obligations | | | 0.1 | |
| | | | |
| | | 99.9 | |
| | | | |
33
MyDestination 2055 Fund (Unaudited)
| | | | |
| Average Annual Total Returns as of 12/31/16 |
| | | Investor Class* | | Benchmark** |
One Year | | 8.81% | | 10.05% |
Five Year | | 8.42% | | 9.81% |
Since Inception | | 8.41% | | 9.97% |
Inception Date | | 01/01/12 | | |
Total Fund Operating Expenses (May 1, 2016 Prospectus)(1) | | 1.10% | | |
(1)The Fund’s shareholders indirectly bear the expenses of the Investor 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 GuideStoneFunds.com. 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 Investor 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 index as of December 2016, consisting of 5.62% of the Bloomberg Barclays US Aggregate Bond Index, 1.40% of the Bloomberg Barclays Global Aggregate Bond Index, 16.89% of the S&P 500® Index, 1.70% of the FTSE EPRA/NAREIT Developed Index, 17.15% of the Russell 1000® Value Index, 17.10% of the Russell 1000® Growth Index, 5.70% of the Russell 2000® Index, 3.34% of the MSCI World Commodity Producers Index, 24.55% of the MSCI EAFE Index and 6.55% of the MSCI Emerging Markets 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.
34
| | |
MYDESTINATION 2055 FUND SCHEDULE OF INVESTMENTS | | December 31, 2016 |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
MUTUAL FUNDS — 99.8% | | | | | | | | | | | | |
GuideStone Money Market Fund
(Institutional Class)¥ | | | 1,376,052 | | | | | | | $ | 1,376,052 | |
GuideStone Medium-Duration Bond Fund (Institutional Class)¥ | | | 238,725 | | | | | | | | 3,451,964 | |
GuideStone Global Bond Fund
(Institutional Class)¥ | | | 89,027 | | | | | | | | 861,786 | |
GuideStone Equity Index Fund
(Institutional Class)¥ | | | 420,630 | | | | | | | | 10,381,140 | |
GuideStone Value Equity Fund
(Institutional Class)¥ | | | 497,607 | | | | | | | | 10,539,322 | |
GuideStone Growth Equity Fund
(Institutional Class)¥ | | | 498,538 | | | | | | | | 10,509,181 | |
GuideStone Small Cap Equity Fund (Institutional Class)¥ | | | 199,870 | | | | | | | | 3,503,719 | |
GuideStone International Equity Index Fund (Institutional Class)¥ | | | 561,769 | | | | | | | | 4,977,272 | |
GuideStone International Equity Fund (Institutional Class)¥ | | | 767,968 | | | | | | | | 10,106,465 | |
GuideStone Emerging Market Equity Fund (Institutional Class)¥ | | | 491,756 | | | | | | | | 4,022,560 | |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
GuideStone Real Estate Securities Fund (Institutional Class)¥ | | | 114,898 | | | | | | | $ | 1,045,571 | |
GuideStone Global Natural Resources Equity Fund (Investor Class)¥ | | | 276,335 | | | | | | | | 2,050,406 | |
| | | | | | | | | | | | |
Total Mutual Funds
(Cost $64,204,660) | | | | | | | | 62,825,438 | |
| | | | | | | | | | | | |
| | | |
| | | Par | | | | | | | |
U.S. TREASURY OBLIGATIONS — 0.1% | |
U.S. Treasury Bills | | | | | | | | | | | | |
0.48%, 03/02/17W‡‡ | | $ | 50,000 | | | | | | | | 49,962 | |
0.60%, 06/22/17W‡‡ | | | 50,000 | | | | | | | | 49,855 | |
| | | | | | | | | | | | |
Total U.S. Treasury Obligations
(Cost $99,824) | | | | | | | | 99,817 | |
| | | | | | | | | | | | |
TOTAL INVESTMENTS — 99.9%
(Cost $64,304,484) | | | | | | | | 62,925,255 | |
Other Assets in Excess of
Liabilities — 0.1% | | | | | | | | 48,126 | |
| | | | | | | | | | | | |
NET ASSETS — 100.0% | | | | | | | $ | 62,973,381 | |
| | | | | | | | | | | | |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2016, 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 | | | $ | 62,825,438 | | | | $ | 62,825,438 | | | | $ | — | | | | $ | — | |
U.S. Treasury Obligations | | | | 99,817 | | | | | — | | | | | 99,817 | | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | | $ | 62,925,255 | | | | $ | 62,825,438 | | | | $ | 99,817 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | $ | (3,773 | ) | | | $ | (3,773 | ) | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Liabilities - Other Financial Instruments | | | $ | (3,773 | ) | | | $ | (3,773 | ) | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
***Other financial instruments are derivative instruments not reflected in the Schedule of Investments (such as futures contracts), which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the “Financial Futures Contracts” disclosure in the Notes to Financial Statements.
There were no transfers between Level 1, Level 2 and Level 3 during the year ended December 31, 2016.
| | | | |
| | See Notes to Financial Statements. | | 35 |
| | |
STATEMENTS OF ASSETS AND LIABILITIES | | December 31, 2016 |
| | | | | | | | |
| | | MyDestination
2005 Fund | | | MyDestination
2015 Fund | |
Assets | | | | | | | | |
Investments in securities of unaffiliated issuers, at value | | $ | 99,817 | | | $ | 299,129 | |
Investments in securities of affiliated issuers, at value | | | 108,561,284 | | | | 535,023,030 | |
| | | | | | | | |
Total investments (1) | | | 108,661,101 | | | | 535,322,159 | |
Cash | | | 8,069 | | | | — | |
Receivables: | | | | | | | | |
Dividends | | | 520 | | | | 2,551 | |
Receivable from advisor | | | 9,908 | | | | — | |
Fund shares sold | | | 12,979 | | | | 228,123 | |
Variation margin on financial futures contracts | | | 1,386 | | | | 11,459 | |
Prepaid expenses and other assets | | | 12,960 | | | | 15,227 | |
| | | | | | | | |
Total Assets | | | 108,706,923 | | | | 535,579,519 | |
| | | | | | | | |
Liabilities | | | | | | | | |
Cash overdraft | | | — | | | | 9 | |
Payables: | | | | | | | | |
Fund shares redeemed | | | 13,903 | | | | — | |
Variation margin on financial futures contracts | | | 2,225 | | | | 10,795 | |
Accrued expenses: | | | | | | | | |
Investment advisory fees | | | — | | | | 19,458 | |
Shareholder servicing fees | | | 23,042 | | | | 112,385 | |
Other expenses | | | 32,229 | | | | 36,292 | |
| | | | | | | | |
Total Liabilities | | | 71,399 | | | | 178,939 | |
| | | | | | | | |
Net Assets | | $ | 108,635,524 | | | $ | 535,400,580 | |
| | | | | | | | |
Net Assets Consist of: | | | | | | | | |
Paid-in-capital | | $ | 110,993,321 | | | $ | 552,863,272 | |
Accumulated net investment income | | | 249,533 | | | | 2,262,782 | |
Undistributed (accumulated) net realized gain (loss) on investments and derivative transactions | | | (985,883 | ) | | | 1,216,881 | |
Net unrealized appreciation (depreciation) on investments and derivative transactions | | | (1,621,447 | ) | | | (20,942,355 | ) |
| | | | | | | | |
Net Assets | | $ | 108,635,524 | | | $ | 535,400,580 | |
| | | | | | | | |
| | |
Net Asset Value: | | | | | | | | |
$0.001 par value, unlimited shares authorized | | | | | | | | |
Net assets applicable to the Investor Class | | $ | 108,635,524 | | | $ | 535,400,580 | |
| | | | | | | | |
Investor shares outstanding | | | 10,863,342 | | | | 56,142,721 | |
| | | | | | | | |
Net asset value, offering and redemption price per Investor share | | $ | 10.00 | | | $ | 9.54 | |
| | | | | | | | |
| | | | | | | | |
(1) Investments in securities of unaffiliated issuers, at cost | | $ | 99,824 | | | $ | 299,161 | |
Investments in securities of affiliated issuers, at cost | | | 110,186,574 | | | | 555,925,819 | |
| | | | | | | | |
Total investments at cost | | $ | 110,286,398 | | | $ | 556,224,980 | |
| | | | | | | | |
| | | | |
| 36 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | |
MyDestination
2025 Fund | | | MyDestination
2035 Fund | | | MyDestination
2045 Fund | | | MyDestination
2055 Fund | |
| | | | | | | | | | | | | | | |
| $ | 498,550 | | | $ | 498,549 | | | $ | 398,840 | | | $ | 99,817 | |
| | 854,444,204 | | | | 478,776,351 | | | | 353,832,397 | | | | 62,825,438 | |
| | | | | | | | | | | | | | |
| | 854,942,754 | | | | 479,274,900 | | | | 354,231,237 | | | | 62,925,255 | |
| | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | |
| | 4,357 | | | | 3,056 | | | | 2,236 | | | | 399 | |
| | — | | | | — | | | | — | | | | 10,744 | |
| | 483,204 | | | | 232,957 | | | | 150,895 | | | | 63,264 | |
| | 20,196 | | | | 13,558 | | | | 8,716 | | | | — | |
| | 15,446 | | | | 13,964 | | | | 14,018 | | | | 12,294 | |
| | | | | | | | | | | | | | |
| | 855,465,957 | | | | 479,538,435 | | | | 354,407,102 | | | | 63,011,956 | |
| | | | | | | | | | | | | | |
| | 14 | | | | 29 | | | | 23 | | | | 4 | |
| | | | | | | | | | | | | | | |
| | — | | | | 307,490 | | | | — | | | | 724 | |
| | | | | | | | | | | | | | | |
| | 28,225 | | | | 27,936 | | | | 22,015 | | | | 4,450 | |
| | 40,129 | | | | 16,293 | | | | 8,216 | | | | — | |
| | | | | | | | | | | | | | | |
| | 179,034 | | | | 100,052 | | | | 74,260 | | | | 12,958 | |
| | 47,283 | | | | 35,170 | | | | 31,283 | | | | 20,439 | |
| | | | | | | | | | | | | | |
| | 294,685 | | | | 486,970 | | | | 135,797 | | | | 38,575 | |
| | | | | | | | | | | | | | |
| $ | 855,171,272 | | | $ | 479,051,465 | | | $ | 354,271,305 | | | $ | 62,973,381 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| $ | 887,243,723 | | | $ | 506,863,452 | | | $ | 375,071,714 | | | $ | 64,887,225 | |
| | 4,838,586 | | | | 3,592,329 | | | | 3,015,645 | | | | 105,716 | |
| | 2,514,840 | | | | (123,350 | ) | | | (911,915 | ) | | | (636,558 | ) |
| | (39,425,877 | ) | | | (31,280,966 | ) | | | (22,904,139 | ) | | | (1,383,002 | ) |
| | | | | | | | | | | | | | |
| $ | 855,171,272 | | | $ | 479,051,465 | | | $ | 354,271,305 | | | $ | 62,973,381 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| $ | 855,171,272 | | | $ | 479,051,465 | | | $ | 354,271,305 | | | $ | 62,973,381 | |
| | | | | | | | | | | | | | |
| | 92,198,289 | | | | 54,968,219 | | | | 42,738,200 | | | | 5,448,953 | |
| | | | | | | | | | | | | | |
| $ | 9.28 | | | $ | 8.72 | | | $ | 8.29 | | | $ | 11.56 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| $ | 498,602 | | | $ | 498,601 | | | $ | 398,881 | | | $ | 99,824 | |
| | 893,793,152 | | | | 509,978,061 | | | | 376,686,527 | | | | 64,204,660 | |
| | | | | | | | | | | | | | |
| $ | 894,291,754 | | | $ | 510,476,662 | | | $ | 377,085,408 | | | $ | 64,304,484 | |
| | | | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 37 |
| | |
STATEMENTS OF OPERATIONS | | For the Year Ended December 31, 2016 |
| | | | | | | | |
| | | MyDestination
2005 Fund | | | MyDestination
2015 Fund | |
Investment Income | | | | | | | | |
Income distributions received from affiliated funds | | $ | 1,885,029 | | | $ | 10,195,794 | |
Interest | | | 274 | | | | 936 | |
| | | | | | | | |
Total Investment Income | | | 1,885,303 | | | | 10,196,730 | |
| | | | | | | | |
Expenses | | | | | | | | |
Investment advisory fees | | | 107,286 | | | | 517,286 | |
Transfer agent fees: | | | | | | | | |
Investor Shares | | | 21,287 | | | | 28,854 | |
Custodian fees | | | 20,053 | | | | 22,412 | |
Shareholder servicing fees: | | | | | | | | |
Investor Shares | | | 262,999 | | | | 1,273,251 | |
Accounting and administration fees | | | 9,835 | | | | 30,817 | |
Professional fees | | | 122,534 | | | | 59,492 | |
Blue sky fees: | | | | | | | | |
Investor Shares | | | 17,737 | | | | 22,598 | |
Shareholder reporting fees: | | | | | | | | |
Investor Shares | | | 6,392 | | | | 17,589 | |
Trustee expenses | | | 921 | | | | 4,429 | |
Line of credit facility fees and interest expense | | | 1,285 | | | | 3,628 | |
Other expenses | | | 25,029 | | | | 32,555 | |
| | | | | | | | |
Total Expenses | | | 595,358 | | | | 2,012,911 | |
Expenses waived/reimbursed net of amount recaptured(1) | | | (170,089 | ) | | | (234,596 | ) |
| | | | | | | | |
Net Expenses | | | 425,269 | | | | 1,778,315 | |
| | | | | | | | |
Net investment income | | | 1,460,034 | | | | 8,418,415 | |
| | | | | | | | |
Realized and Unrealized Gain (Loss) | | | | | | | | |
Capital gain distributions received from affiliated funds | | | 810,727 | | | | 7,119,847 | |
Net realized loss on investment securities of affiliated issuers | | | (1,394,493 | ) | | | (4,438,221 | ) |
Net realized gain on futures transactions | | | 47,734 | | | | 448,779 | |
| | | | | | | | |
Net realized gain (loss) | | | (536,032 | ) | | | 3,130,405 | |
| | | | | | | | |
Change in unrealized appreciation (depreciation) on investment securities of affiliated issuers | | | 4,337,887 | | | | 23,148,070 | |
Change in unrealized appreciation (depreciation) on investment securities of unaffiliated issuers | | | (7 | ) | | | (32 | ) |
Change in unrealized appreciation (depreciation) on futures | | | 10,352 | | | | (49,146 | ) |
| | | | | | | | |
Net change in unrealized appreciation (depreciation) | | | 4,348,232 | | | | 23,098,892 | |
| | | | | | | | |
Net Realized and Unrealized Gain | | | 3,812,200 | | | | 26,229,297 | |
| | | | | | | | |
Net Increase in Net Assets Resulting from Operations | | $ | 5,272,234 | | | $ | 34,647,712 | |
| | | | | | | | |
| (1) | See Note 3a and 3c in Notes to Financial Statements. |
| | | | |
| 38 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | |
MyDestination
2025 Fund | | | MyDestination
2035 Fund | | | MyDestination
2045 Fund | | | MyDestination
2055 Fund | |
| | | | | | | | | | | | | | |
| | $15,970,702 | | | $ | 8,535,299 | | | $ | 5,758,794 | | | $ | 961,853 | |
| | 1,561 | | | | 1,717 | | | | 1,249 | | | | 495 | |
| | | | | | | | | | | | | | |
| | 15,972,263 | | | | 8,537,016 | | | | 5,760,043 | | | | 962,348 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | 790,888 | | | | 437,388 | | | | 318,875 | | | | 49,982 | |
| | | | | | | | | | | | | | |
| | 33,252 | | | | 25,892 | | | | 23,872 | | | | 19,357 | |
| | 25,120 | | | | 21,115 | | | | 20,380 | | | | 14,319 | |
| | | | | | | | | | | | | | |
| | 1,944,339 | | | | 1,069,844 | | | | 779,835 | | | | 122,141 | |
| | 44,681 | | | | 26,533 | | | | 20,399 | | | | 5,840 | |
| | 59,493 | | | | 59,492 | | | | 59,493 | | | | 59,493 | |
| | | | | | | | | | | | | | |
| | 19,663 | | | | 17,269 | | | | 17,708 | | | | 16,515 | |
| | | | | | | | | | | | | | |
| | 23,988 | | | | 13,507 | | | | 10,495 | | | | 3,514 | |
| | 6,728 | | | | 3,692 | | | | 2,676 | | | | 417 | |
| | 7,288 | | | | 2,928 | | | | 2,180 | | | | 335 | |
| | 44,518 | | | | 37,232 | | | | 34,026 | | | | 25,440 | |
| | | | | | | | | | | | | | |
| | 2,999,958 | | | | 1,714,892 | | | | 1,289,939 | | | | 317,353 | |
| | (282,323) | | | | (220,516 | ) | | | (200,534 | ) | | | (146,729 | ) |
| | | | | | | | | | | | | | |
| | 2,717,635 | | | | 1,494,376 | | | | 1,089,405 | | | | 170,624 | |
| | | | | | | | | | | | | | |
| | 13,254,628 | | | | 7,042,640 | | | | 4,670,638 | | | | 791,724 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | 13,824,605 | | | | 7,361,465 | | | | 5,758,831 | | | | 996,366 | |
| | (8,188,623) | | | | (6,565,857 | ) | | | (6,025,985 | ) | | | (1,437,780 | ) |
| | 778,520 | | | | 755,529 | | | | 595,811 | | | | 110,788 | |
| | | | | | | | | | | | | | |
| | 6,414,502 | | | | 1,551,137 | | | | 328,657 | | | | (330,626 | ) |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | 41,360,903 | | | | 26,930,084 | | | | 21,927,210 | | | | 4,128,652 | |
| | | | | | | | | | | | | | |
| | (52) | | | | (52 | ) | | | (41 | ) | | | (7 | ) |
| | (95,469) | | | | (104,886 | ) | | | (71,719 | ) | | | (253 | ) |
| | | | | | | | | | | | | | |
| | 41,265,382 | | | | 26,825,146 | | | | 21,855,450 | | | | 4,128,392 | |
| | | | | | | | | | | | | | |
| | 47,679,884 | | | | 28,376,283 | | | | 22,184,107 | | | | 3,797,766 | |
| | | | | | | | | | | | | | |
| | $60,934,512 | | | $ | 35,418,923 | | | $ | 26,854,745 | | | $ | 4,589,490 | |
| | | | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 39 |
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | | | | | | | | | |
| | | MyDestination 2005 Fund | | | MyDestination 2015 Fund | |
| | | For the Year Ended | | | For the Year Ended | |
| | | 12/31/16 | | | 12/31/15 | | | 12/31/16 | | | 12/31/15 | |
Operations: | | | | | | | | | | | | | | | | |
Net investment income | | $ | 1,460,034 | | | $ | 1,150,666 | | | $ | 8,418,415 | | | $ | 6,868,016 | |
Net realized gain (loss) on investment securities and futures transactions | | | (536,032 | ) | | | 4,874,894 | | | | 3,130,405 | | | | 60,681,123 | |
Net change in unrealized appreciation (depreciation) on investment securities and futures | | | 4,348,232 | | | | (7,615,947 | ) | | | 23,098,892 | | | | (78,110,461 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets resulting from operations | | | 5,272,234 | | | | (1,590,387 | ) | | | 34,647,712 | | | | (10,561,322 | ) |
| | | | | | | | | | | | | | | | |
Dividends and Distributions to Shareholders: | | | | | | | | | | | | | | | | |
Dividends from net investment income | | | (1,210,501 | ) | | | (1,152,425 | ) | | | (6,155,633 | ) | | | (6,878,105 | ) |
Distributions from net realized capital gains | | | (944,226 | ) | | | (4,969,548 | ) | | | (9,812,326 | ) | | | (57,954,824 | ) |
| | | | | | | | | | | | | | | | |
Total dividends and distributions | | | (2,154,727 | ) | | | (6,121,973 | ) | | | (15,967,959 | ) | | | (64,832,929 | ) |
| | | | | | | | | | | | | | | | |
Capital Share Transactions: | | | | | | | | | | | | | | | | |
Proceeds from Investor shares sold | | | 29,940,757 | | | | 27,506,031 | | | | 84,788,090 | | | | 73,578,395 | |
Reinvestment of dividends and distributions into Investor shares | | | 2,154,580 | | | | 6,121,233 | | | | 15,963,515 | | | | 64,831,368 | |
| | | | | | | | | | | | | | | | |
Total proceeds from shares sold and reinvested | | | 32,095,337 | | | | 33,627,264 | | | | 100,751,605 | | | | 138,409,763 | |
| | | | | | | | | | | | | | | | |
Value of Investor shares redeemed | | | (22,669,607 | ) | | | (22,044,249 | ) | | | (63,543,088 | ) | | | (63,828,211 | ) |
| | | | | | | | | | | | | | | | |
Net increase from capital share transactions(1) | | | 9,425,730 | | | | 11,583,015 | | | | 37,208,517 | | | | 74,581,552 | |
| | | | | | | | | | | | | | | | |
Total increase (decrease) in net assets | | | 12,543,237 | | | | 3,870,655 | | | | 55,888,270 | | | | (812,699 | ) |
| | | | | | | | | | | | | | | | |
Net Assets: | | | | | | | | | | | | | | | | |
Beginning of Year | | | 96,092,287 | | | | 92,221,632 | | | | 479,512,310 | | | | 480,325,009 | |
| | | | | | | | | | | | | | | | |
End of Year* | | $ | 108,635,524 | | | $ | 96,092,287 | | | $ | 535,400,580 | | | $ | 479,512,310 | |
| | | | | | | | | | | | | | | | |
*Including undistributed net investment income | | $ | 249,533 | | | $ | — | | | $ | 2,262,782 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| (1) | See Note 6 in Notes to Financial Statements. |
| | | | |
| 40 | | 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 | |
| 12/31/16 | | | 12/31/15 | | | 12/31/16 | | | 12/31/15 | | | 12/31/16 | | | 12/31/15 | | | 12/31/16 | | | 12/31/15 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 13,254,628 | | | $ | 10,118,243 | | | $ | 7,042,640 | | | $ | 5,369,781 | | | $ | 4,670,638 | | | $ | 3,345,580 | | | $ | 791,724 | | | $ | 423,709 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 6,414,502 | | | | 96,518,835 | | | | 1,551,137 | | | | 63,641,995 | | | | 328,657 | | | | 47,896,386 | | | | (330,626 | ) | | | 3,112,500 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 41,265,382 | | | | (128,538,405 | ) | | | 26,825,146 | | | | (86,406,268 | ) | | | 21,855,450 | | | | (64,673,589 | ) | | | 4,128,392 | | | | (5,211,897 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 60,934,512 | | | | (21,901,327 | ) | | | 35,418,923 | | | | (17,394,492 | ) | | | 26,854,745 | | | | (13,431,623 | ) | | | 4,589,490 | | | | (1,675,688 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (8,416,042 | ) | | | (10,113,645 | ) | | | (3,450,311 | ) | | | (5,368,991 | ) | | | (1,654,993 | ) | | | (3,351,321 | ) | | | (686,008 | ) | | | (425,054 | ) |
| | (19,446,568 | ) | | | (91,105,779 | ) | | | (14,584,084 | ) | | | (59,976,161 | ) | | | (11,986,023 | ) | | | (43,705,295 | ) | | | (1,723,825 | ) | | | (2,675,837 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (27,862,610 | ) | | | (101,219,424 | ) | | | (18,034,395 | ) | | | (65,345,152 | ) | | | (13,641,016 | ) | | | (47,056,616 | ) | | | (2,409,833 | ) | | | (3,100,891 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 129,211,781 | | | | 107,980,511 | | | | 69,340,421 | | | | 67,002,823 | | | | 55,119,010 | | | | 49,939,603 | | | | 22,719,176 | | | | 18,058,275 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 27,861,817 | | | | 101,215,951 | | | | 18,034,395 | | | | 65,345,152 | | | | 13,641,016 | | | | 47,056,616 | | | | 2,409,832 | | | | 3,100,891 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 157,073,598 | | | | 209,196,462 | | | | 87,374,816 | | | | 132,347,975 | | | | 68,760,026 | | | | 96,996,219 | | | | 25,129,008 | | | | 21,159,166 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (42,672,317 | ) | | | (37,073,023 | ) | | | (16,986,664 | ) | | | (17,141,728 | ) | | | (9,420,875 | ) | | | (8,184,280 | ) | | | (2,800,595 | ) | | | (5,729,952 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 114,401,281 | | | | 172,123,439 | | | | 70,388,152 | | | | 115,206,247 | | | | 59,339,151 | | | | 88,811,939 | | | | 22,328,413 | | | | 15,429,214 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 147,473,183 | | | | 49,002,688 | | | | 87,772,680 | | | | 32,466,603 | | | | 72,552,880 | | | | 28,323,700 | | | | 24,508,070 | | | | 10,652,635 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 707,698,089 | | | | 658,695,401 | | | | 391,278,785 | | | | 358,812,182 | | | | 281,718,425 | | | | 253,394,725 | | | | 38,465,311 | | | | 27,812,676 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 855,171,272 | | | $ | 707,698,089 | | | $ | 479,051,465 | | | $ | 391,278,785 | | | $ | 354,271,305 | | | $ | 281,718,425 | | | $ | 62,973,381 | | | $ | 38,465,311 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 4,838,586 | | | $ | — | | | $ | 3,592,329 | | | $ | — | | | $ | 3,015,645 | | | $ | — | | | $ | 105,716 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 41 |
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
Distributions
Received
from
Affiliated
Funds | | | 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(2)(3) | | | Expenses, Gross(2)(4) | | | Investment
Income,
Net (1)(3) | | | Portfolio
Turnover
Rate | |
MyDestination 2005 Fund | |
| | | | | | | | | | |
Investor Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 2016 | | | $ 9.71 | | | | $0.14 | # | | | $0.08 | | | | $0.27 | | | | $(0.11 | ) | | | $ (0.09 | ) | | | $10.00 | | | | 5.07 | % | | | $108,636 | | | | 0.40 | %(5) | | | 0.57 | %(5) | | | 1.39 | %(5) | | | 12 | % |
| 2015 | | | 10.54 | | | | 0.13 | # | | | 0.21 | | | | (0.52 | ) | | | (0.11 | ) | | | (0.54 | ) | | | 9.71 | | | | (1.63 | ) | | | 96,092 | | | | 0.30 | | | | 0.41 | | | | 1.20 | | | | 110 | (6) |
| 2014 | | | 10.70 | | | | 0.13 | # | | | 0.21 | | | | (0.06 | ) | | | (0.19 | ) | | | (0.25 | ) | | | 10.54 | | | | 2.54 | | | | 92,222 | | | | 0.20 | | | | 0.24 | | | | 1.22 | | | | 9 | |
| 2013 | | | 10.25 | | | | 0.09 | # | | | 0.25 | | | | 0.29 | | | | (0.18 | ) | | | — | | | | 10.70 | | | | 6.18 | | | | 84,817 | | | | 0.20 | | | | 0.25 | | | | 0.87 | | | | 27 | |
| 2012 | | | 9.60 | | | | 0.13 | # | | | 0.18 | | | | 0.55 | | | | (0.21 | ) | | | — | | | | 10.25 | | | | 8.92 | | | | 80,582 | | | | 0.20 | | | | 0.27 | | | | 1.24 | | | | 8 | |
MyDestination 2015 Fund | |
| | | | | | | | | | |
Investor Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 2016 | | | $ 9.19 | | | | $0.16 | # | | | $0.13 | | | | $0.35 | | | | $(0.11 | ) | | | $ (0.18 | ) | | | $9.54 | | | | 6.99 | % | | | $535,401 | | | | 0.35 | % | | | 0.40 | % | | | 1.65 | % | | | 16 | % |
| 2015 | | | 10.84 | | | | 0.15 | # | | | 0.36 | | | | (0.74 | ) | | | (0.14 | ) | | | (1.28 | ) | | | 9.19 | | | | (2.06 | ) | | | 479,512 | | | | 0.28 | | | | 0.31 | | | | 1.41 | | | | 108 | (6) |
| 2014 | | | 10.97 | | | | 0.15 | # | | | 0.35 | | | | (0.07 | ) | | | (0.22 | ) | | | (0.34 | ) | | | 10.84 | | | | 3.92 | | | | 480,325 | | | | 0.14 | | | | 0.14 | | | | 1.29 | | | | 6 | |
| 2013 | | | 10.21 | | | | 0.12 | # | | | 0.44 | | | | 0.49 | | | | (0.28 | ) | | | (0.01 | ) | | | 10.97 | | | | 10.35 | | | | 440,481 | | | | 0.14 | | | | 0.14 | | | | 1.10 | | | | 15 | |
| 2012 | | | 9.37 | | | | 0.15 | # | | | 0.22 | | | | 0.70 | | | | (0.23 | ) | | | — | | | | 10.21 | | | | 11.46 | | | | 352,576 | | | | 0.15 | | | | 0.15 | | | | 1.47 | | | | 2 | |
MyDestination 2025 Fund | |
| | | | | | | | | | |
Investor Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 2016 | | | $ 8.88 | | | | $0.16 | # | | | $0.16 | | | | $0.39 | | | | $(0.09 | ) | | | $ (0.22 | ) | | | $9.28 | | | | 8.01 | % | | | $855,171 | | | | 0.35 | % | | | 0.39 | % | | | 1.70 | % | | | 17 | % |
| 2015 | | | 10.66 | | | | 0.16 | # | | | 0.49 | | | | (0.97 | ) | | | (0.13 | ) | | | (1.33 | ) | | | 8.88 | | | | (2.91 | ) | | | 707,698 | | | | 0.28 | | | | 0.31 | | | | 1.46 | | | | 110 | (6) |
| 2014 | | | 10.80 | | | | 0.14 | # | | | 0.46 | | | | (0.18 | ) | | | (0.22 | ) | | | (0.34 | ) | | | 10.66 | | | | 3.88 | | | | 658,695 | | | | 0.14 | | | | 0.14 | | | | 1.23 | | | | 3 | |
| 2013 | | | 9.84 | | | | 0.13 | # | | | 0.57 | | | | 0.78 | | | | (0.27 | ) | | | (0.25 | ) | | | 10.80 | | | | 15.15 | | | | 545,652 | | | | 0.14 | | | | 0.14 | | | | 1.19 | | | | 16 | |
| 2012 | | | 8.81 | | | | 0.14 | # | | | 0.22 | | | | 0.86 | | | | (0.19 | ) | | | — | | | | 9.84 | | | | 13.90 | | | | 375,238 | | | | 0.15 | | | | 0.15 | | | | 1.51 | | | | 2 | |
| # | 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) | Does not include expenses of the investment companies in which the Fund invests. |
| (3) | 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 higher (lower), respectively, than the ratio shown. |
| (4) | 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. |
| (5) | Includes non-routine extraordinary expenses amounting to 0.05% of average net assets. See Note 13 in Notes to Financial Statements. |
| (6) | The portfolio turnover rate for the year ended December 31, 2015 reflects rebalancing of holdings in the Funds and is not representative of a change in investment strategy for the Funds. |
| | | | |
| 42 | | 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
Distributions
Received
from
Affiliated
Funds | | | 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(2)(3) | | | Expenses,
Gross(2)(4) | | | Investment
Income,
Net (1)(3) | | | Portfolio
Turnover
Rate | |
MyDestination 2035 Fund | |
| | | | | | | | | | |
Investor Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | | $ 8.36 | | | | $0.14 | # | | | $0.15 | | | | $ 0.42 | | | | $(0.07 | ) | | | $(0.28 | ) | | | $ 8.72 | | | | 8.38 | % | | | $479,051 | | | | 0.35 | % | | | 0.40 | % | | | 1.65 | % | | | 16 | % |
2015 | | | 10.49 | | | | 0.15 | # | | | 0.62 | | | | (1.24 | ) | | | (0.12 | ) | | | (1.54 | ) | | | 8.36 | | | | (4.30 | ) | | | 391,279 | | | | 0.28 | | | | 0.32 | | | | 1.41 | | | | 120 | (5) |
2014 | | | 10.79 | | | | 0.12 | # | | | 0.51 | | | | (0.34 | ) | | | (0.19 | ) | | | (0.40 | ) | | | 10.49 | | | | 2.70 | | | | 358,812 | | | | 0.15 | | | | 0.15 | | | | 1.10 | | | | 5 | |
2013 | | | 9.40 | | | | 0.11 | # | | | 0.64 | | | | 1.26 | | | | (0.22 | ) | | | (0.40 | ) | | | 10.79 | | | | 21.41 | | | | 291,874 | | | | 0.19 | | | | 0.16 | | | | 1.05 | | | | 17 | |
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 | |
MyDestination 2045 Fund | |
| | | | | | | | | | |
Investor Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | | $ 7.95 | | | | $0.12 | # | | | $0.15 | | | | $ 0.41 | | | | $(0.04 | ) | | | $(0.30 | ) | | | $ 8.29 | | | | 8.45 | % | | | $354,271 | | | | 0.35 | % | | | 0.41 | % | | | 1.50 | % | | | 16 | % |
2015 | | | 10.00 | | | | 0.12 | # | | | 0.66 | | | | (1.25 | ) | | | (0.09 | ) | | | (1.49 | ) | | | 7.95 | | | | (4.46 | ) | | | 281,718 | | | | 0.29 | | | | 0.34 | | | | 1.22 | | | | 124 | (5) |
2014 | | | 10.37 | | | | 0.10 | # | | | 0.53 | | | | (0.40 | ) | | | (0.17 | ) | | | (0.43 | ) | | | 10.00 | | | | 2.23 | | | | 253,395 | | | | 0.20 | | | | 0.17 | | | | 0.92 | | | | 4 | |
2013 | | | 9.14 | | | | 0.10 | # | | | 0.68 | | | | 1.35 | | | | (0.21 | ) | | | (0.69 | ) | | | 10.37 | | | | 23.44 | | | | 212,102 | | | | 0.20 | | | | 0.18 | | | | 0.94 | | | | 18 | |
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 | |
MyDestination 2055 Fund | |
| | | | | | | | | | |
Investor Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | | $11.05 | | | | $0.18 | # | | | $0.23 | | | | $ 0.57 | | | | $(0.13 | ) | | | $(0.34 | ) | | | $11.56 | | | | 8.81 | % | | | $ 62,973 | | | | 0.35 | % | | | 0.65 | % | | | 1.62 | % | | | 27 | % |
2015 | | | 12.60 | | | | 0.16 | # | | | 0.93 | | | | (1.66 | ) | | | (0.13 | ) | | | (0.85 | ) | | | 11.05 | | | | (4.48 | ) | | | 38,465 | | | | 0.30 | | | | 0.65 | | | | 1.29 | | | | 124 | (5) |
2014 | | | 12.95 | | | | 0.14 | # | | | 0.77 | | | | (0.62 | ) | | | (0.21 | ) | | | (0.43 | ) | | | 12.60 | | | | 2.25 | | | | 27,813 | | | | 0.20 | | | | 0.62 | | | | 1.02 | | | | 5 | |
2013 | | | 11.20 | | | | 0.13 | # | | | 1.02 | | | | 1.47 | | | | (0.26 | ) | | | (0.61 | ) | | | 12.95 | | | | 23.44 | | | | 16,383 | | | | 0.20 | | | | 1.01 | | | | 1.05 | | | | 30 | |
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 | |
| # | 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) | Does not include expenses of the investment companies in which the Fund invests. |
| (3) | 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 higher (lower), respectively, than the ratio shown. |
| (4) | 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. |
| (5) | The portfolio turnover rate for the year ended December 31, 2015 reflects rebalancing of holdings in the Funds and is not representative of a change in investment strategy for the Funds. |
| | | | |
| | See Notes to Financial Statements. | | 43 |
Conservative Allocation Fund (Unaudited)
The Fund, through investments in the Select Funds, combined a greater percentage of exposure to fixed-income securities with a smaller percentage to equity securities and real assets securities. The Fund had a target of, but was not limited to, an asset allocation of 55.00% Fixed Income Select Funds, 20.00% U.S. Equity Select Funds, 7.00% Non-U.S. Equity Select Funds and 18.00% Real Asset Select Funds.
As a fund of funds, the Fund’s performance was based on the performance of the underlying Select Funds. The Investor Class of the Fund generated a return of 4.82% for the one-year period ended December 31, 2016, driven primarily by positive absolute performance of the underlying Equity Select Funds. Within this asset class, the Fund’s absolute return was most positively influenced by its exposure to the Defensive Market Strategies Fund, followed by exposure to the Value Equity Fund and the Emerging Markets Equity Fund. The Fund’s Real Asset Select Funds allocation added to investment returns, as the Global Natural Resources Equity Fund contributed positively. Additionally, the Fund’s Fixed Income Select Funds allocation positively impacted performance, led by contributions from the Low-Duration Bond Fund.
The Investor Class of the Fund underperformed its composite benchmark in 2016 (4.82% versus 5.19%). Relative underperformance was primarily driven by the allocation to U.S. Equity Select Funds, with both the Value Equity Fund and the Growth Equity Fund detracting the most from relative returns. Lastly, the largest positive contributor to relative performance was the Defensive Market Strategies Fund.
Certain derivatives were utilized to provide market exposure for the cash positions held in the Fund. These derivative positions primarily included stock index futures and fixed-income futures. Overall, derivative exposure had a slight positive impact on Fund performance for 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. The Fund may be suitable for investors who have a short- to medium-term 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. It is possible to lose money by investing in the Fund.
At December 31, 2016, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
| | | | |
| | | % | |
Fixed Income Select Funds | | | 55.6 | |
U.S. Equity Select Funds | | | 19.9 | |
Real Return Select Funds | | | 17.5 | |
Non-U.S. Equity Select Funds | | | 7.0 | |
U.S. Treasury Obligations | | | — | ** |
| | | | |
| | | 100.0 | |
| | | | |
**Rounds to less than 0.05%
44
Conservative Allocation Fund (Unaudited)
| | | | | | |
| Average Annual Total Returns as of 12/31/16 |
| | | Institutional Class | | Investor Class* | | Benchmark** |
One Year | | 5.07% | | 4.82% | | 5.19% |
Five Year | | N/A | | 3.00% | | 3.45% |
Ten Year | | N/A | | 3.15% | | 3.53% |
Since Inception(1) | | 3.64% | | 3.53% | | 3.89% |
Inception Date | | 11/23/15 | | 08/27/01 | | |
Total Fund Operating Expenses (May 1, 2016 Prospectus)(2) | | 0.72% | | 0.97% | | |
(1)The Since Inception benchmark performance is based on the start date of August 27, 2001, which corresponds with the inception date of the Investor Class, the longest operating class of the Fund.
(2)The Fund’s shareholders indirectly bear the expenses of the Investor or Institutional 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 GuideStoneFunds.com. 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 Investor Class of the Fund for the 10-year period from December 31, 2006 to December 31, 2016, 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 2016, consisting of the BofA Merrill Lynch 1-3 Year US Treasury Index, the Bloomberg Barclays US Aggregate Bond Index, the Bloomberg Barclays US TIPS (Series-L) Index, the Russell 3000® Index, the FTSE EPRA/NAREIT Developed Index, the S&P/LSTA U.S. BB- Ratings and Above Loan Index, the MSCI World Commodity Producers Index and the MSCI ACWI ex USA Index, weighted 41.00%, 14.00%, 10.00%, 20.00%, 1.00%, 5.00%, 2.00% and 7.00%, respectively.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
45
| | | | |
CONSERVATIVE ALLOCATION FUND SCHEDULE OF INVESTMENTS | | | December 31, 2016 | |
| | | | | | | | | | | | | | | | |
| | | Shares | | | Value | |
MUTUAL FUNDS — 100.0% | |
GuideStone Money Market Fund (Institutional Class)¥ | | | | | | | 6,912,700 | | | | | | | $ | 6,912,700 | |
GuideStone Low-Duration Bond Fund (Institutional Class)¥ | | | | | | | 11,602,500 | | | | | | | | 154,777,355 | |
GuideStone Medium-Duration Bond Fund
(Institutional Class)¥ | | | | | | | 2,781,263 | | | | | | | | 40,217,067 | |
GuideStone Global Bond Fund
(Institutional Class)¥ | | | | | | | 1,055,155 | | | | | | | | 10,213,898 | |
GuideStone Defensive Market Strategies Fund
(Institutional Class)¥ | | | | | | | 2,874,447 | | | | | | | | 34,205,915 | |
GuideStone Value Equity Fund
(Institutional Class)¥ | | | | | | | 935,922 | | | | | | | | 19,822,828 | |
GuideStone Growth Equity Fund
(Institutional Class)¥ | | | | | | | 848,502 | | | | | | | | 17,886,432 | |
GuideStone Small Cap Equity Fund
(Institutional Class)¥ | | | | | | | 227,130 | | | | | | | | 3,981,588 | |
GuideStone International Equity Fund
(Institutional Class)¥ | | | | | | | 1,612,935 | | | | | | | | 21,226,229 | |
GuideStone Emerging Market Equity Fund (Institutional Class)¥ | | | | | | | 683,274 | | | | | | | | 5,589,185 | |
GuideStone Inflation Protected Bond Fund (Institutional Class)¥ | | | | | | | 3,583,928 | | | | | | | | 36,735,265 | |
| | | | | | | | |
| | | Shares | | | | Value | |
GuideStone Flexible Income Fund (Investor Class)¥ | | 1,955,414 | | | | $ | 18,713,314 | |
GuideStone Real Estate Securities Fund
(Institutional Class)¥ | | 416,256 | | | | | 3,787,925 | |
GuideStone Global Natural Resources Equity Fund
(Investor Class)¥ | | 1,008,778 | | | | | 7,485,134 | |
| | | | | | | | |
Total Mutual Funds
(Cost $396,314,073) | | | | | | | 381,554,835 | |
| | | | | | | | |
| | | |
| | | Par | | | | | |
U.S. TREASURY OBLIGATIONS — 0.0% | |
U.S. Treasury Bills | | | | | | |
0.48%, 03/02/17W‡‡ | | $ 50,000 | | | | | 49,962 | |
0.60%, 06/22/17W‡‡ | | 50,000 | | | | | 49,855 | |
| | | | | | | | |
Total U.S. Treasury Obligations
(Cost $99,824) | | | | | 99,817 | |
| | | | | | | | |
TOTAL INVESTMENTS — 100.0%
(Cost $396,413,897) | | | | | 381,654,652 | |
Liabilities in Excess of Other
Assets — 0.0% | | | | | (21,554 | ) |
| | | | | | | | |
NET ASSETS — 100.0% | | | | $ | 381,633,098 | |
| | | | | | | | |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2016, 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 | | | $ | 381,554,835 | | | | $ | 381,554,835 | | | | $ | — | | | | $ | — | |
U.S. Treasury Obligations | | | | 99,817 | | | | | — | | | | | 99,817 | | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Total Assets - Investments in Securities | | | $ | 381,654,652 | | | | $ | 381,554,835 | | | | $ | 99,817 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | $ | (7,949 | ) | | | $ | (7,949 | ) | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Total Liabilities - Other Financial Instruments | | | $ | (7,949 | ) | | | $ | (7,949 | ) | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
***Other financial instruments are derivative instruments not reflected in the Schedule of Investments (such as futures contracts), which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the “Financial Futures Contracts” disclosure in the Notes to Financial Statements.
There were no transfers between Level 1, Level 2 and Level 3 during the year ended December 31, 2016.
| | | | |
| 46 | | See Notes to Financial Statements. | | |
Balanced Allocation Fund (Unaudited)
The Fund, through investments in the Select Funds, combined approximately equal percentages to equity securities and fixed-income securities in addition to a smaller allocation to real assets securities. The Fund had a target of, but was not limited to, an asset allocation of 41.00% Fixed Income Select Funds, 30.00% U.S. Equity Select Funds, 14.00% Non-U.S. Equity Select Funds and 15.00% Real Asset Select Funds.
As a fund of funds, the Fund’s performance was based on the performance of the underlying Select Funds. The Investor Class of the Fund generated a return of 7.00% for the one-year period ended December 31, 2016. While all underlying asset classes generated positive performance for the year, exposure to the underlying U.S. Equity Select Funds, in aggregate, added the most to absolute performance, followed by the Real Asset Select Funds. The Fund’s absolute return was most positively influenced by its exposure to the Value Equity Fund, the Defensive Market Strategies Fund and the Global Natural Resources Equity Fund. The Fund’s Non-U.S. Equity Select Funds allocation added to investment returns, as the contribution from both underlying Non-U.S. Equity Select Funds was notably positive for the year. The Fixed Income Select Fund allocation also provided positive results, with the most positive contributions coming from the Global Bond Fund and Medium-Duration Bond Fund.
The Investor Class of the Fund underperformed its composite benchmark in 2016 (7.00% versus 7.21%), which was driven primarily by allocations to the U.S. Equity Select Funds. Within this asset class, the Growth Equity Fund and the Value Equity Fund had impacts on relative underperformance over the period. Additionally, within the Real Asset Select Funds allocation, both the Inflation Protected Bond Fund and Flexible Income Fund detracted from relative performance over the one-year period ended December 31, 2016.
Certain derivatives were utilized to provide market exposure for the cash positions held in the Fund. These derivative positions primarily included stock index futures and fixed-income futures. Overall, derivative exposure had a slight positive impact on Fund performance for 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. 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. 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. It is possible to lose money by investing in the Fund.
At December 31, 2016, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
| | | | |
| | | % | |
Fixed Income Select Funds | | | 42.2 | |
U.S. Equity Select Funds | | | 29.2 | |
Real Return Select Funds | | | 14.4 | |
Non-U.S. Equity Select Funds | | | 14.1 | |
U.S. Treasury Obligation | | | 0.1 | |
| | | | |
| | | 100.0 | |
| | | | |
47
Balanced Allocation Fund (Unaudited)
| | | | | | |
| Average Annual Total Returns as of 12/31/16 |
| | | Institutional Class* | | Investor Class* | | Benchmark** |
One Year | | 7.27% | | 7.00% | | 7.21% |
Five Year | | N/A | | 5.65% | | 6.46% |
Ten Year | | N/A | | 4.18% | | 4.87% |
Since Inception(1) | | 4.88% | | 5.03% | | 5.58% |
Inception Date | | 11/23/15 | | 08/27/01 | | |
Total Fund Operating Expenses (May 1, 2016 Prospectus)(2) | | 0.77% | | 1.03% | | |
(1)The Since Inception benchmark performance is based on the start date of August 27, 2001, which corresponds with the inception date of the Investor Class, the longest operating class of the Fund.
(2)The Fund’s shareholders indirectly bear the expenses of the Investor or Institutional 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 GuideStoneFunds.com. 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 Investor Class of the Fund for the 10-year period from December 31, 2006 to December 31, 2016, 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 2016, consisting of the Bloomberg Barclays US Aggregate Bond Index, the Bloomberg Barclays US TIPS (Series-L) Index, the Russell 3000® Index, the FTSE EPRA/NAREIT Developed Index, the S&P/ LSTA U.S. BB- Ratings and Above Loan Index, the MSCI World Commodity Producers Index and the MSCI ACWI ex USA Index, weighted 41.00%, 6.00%, 30.00%, 3.00%, 3.00%, 3.00% and 14.00%, respectively.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
48
| | | | |
BALANCED ALLOCATION FUND SCHEDULE OF INVESTMENTS | | | December 31, 2016 | |
| | | | | | | | | | | | | | | | |
| | | Shares | | | Value | |
MUTUAL FUNDS — 99.9% | | | | | | | | | |
GuideStone Money
Market Fund
(Institutional Class)¥ | | | | | | | 32,201,158 | | | | | | | $ | 32,201,158 | |
GuideStone Low-Duration
Bond Fund
(Institutional Class)¥ | | | | | | | 13,352,856 | | | | | | | | 178,127,096 | |
GuideStone Medium-Duration
Bond Fund
(Institutional Class)¥ | | | | | | | 16,382,901 | | | | | | | | 236,896,752 | |
GuideStone Extended-Duration Bond Fund
(Institutional Class)¥ | | | | | | | 3,595,058 | | | | | | | | 60,756,483 | |
GuideStone Global
Bond Fund
(Institutional Class)¥ | | | | | | | 12,207,714 | | | | | | | | 118,170,670 | |
GuideStone Defensive Market Strategies Fund
(Institutional Class)¥ | | | | | | | 9,947,455 | | | | | | | | 118,374,719 | |
GuideStone Value
Equity Fund
(Institutional Class)¥ | | | | | | | 6,918,410 | | | | | | | | 146,531,918 | |
GuideStone Growth
Equity Fund
(Institutional Class)¥ | | | | | | | 6,521,360 | | | | | | | | 137,470,276 | |
GuideStone Small Cap
Equity Fund
(Institutional Class)¥ | | | | | | | 1,780,822 | | | | | | | | 31,217,810 | |
GuideStone International
Equity Fund
(Institutional Class)¥ | | | | | | | 12,530,301 | | | | | | | | 164,898,764 | |
GuideStone Emerging Market Equity Fund
(Institutional Class)¥ | | | | | | | 5,350,938 | | | | | | | | 43,770,671 | |
| | | | | | | | | | | | | | | | |
| | | Shares | | | Value | |
GuideStone Inflation Protected Bond Fund (Institutional Class)¥ | | | | | | | 8,342,209 | | | | | | | $ | 85,507,638 | |
GuideStone Flexible Income Fund (Investor Class)¥ | | | | | | | 4,652,257 | | | | | | | | 44,522,099 | |
GuideStone Real Estate Securities Fund (Institutional Class)¥ | | | | | | | 4,235,984 | | | | | | | | 38,547,450 | |
GuideStone Global Natural Resources Equity Fund (Investor Class)¥ | | | | | | | 6,133,986 | | | | | | | | 45,514,173 | |
| | | | | | | | | | | | | | | | |
Total Mutual Funds
(Cost $1,588,617,657) | | | | | | | | | | | | | | | 1,482,507,677 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | Par | | | | | | | |
U.S. TREASURY OBLIGATION — 0.1% | | | | | |
U.S. Treasury Bill | | | | | | | | | | | | | | | | |
0.60%, 06/22/17W‡‡
(Cost $997,203) | | | | | | $ | 1,000,000 | | | | | | | | 997,099 | |
| | | | | | | | | | | | | | | | |
TOTAL INVESTMENTS — 100.0%
(Cost $1,589,614,860) | | | | | | | | 1,483,504,776 | |
Liabilities in Excess of Other
Assets — 0.0% | | | | | | | | (476,064 | ) |
| | | | | | | | | | | | | | | | |
NET ASSETS — 100.0% | | | | | | | $ | 1,483,028,712 | |
| | | | | | | | | | | | | | | | |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2016, 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 | | | $ | 1,482,507,677 | | | | $ | 1,482,507,677 | | | | $ | — | | | | $ | — | |
U.S. Treasury Obligation | | | | 997,099 | | | | | — | | | | | 997,099 | | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | | $ | 1,483,504,776 | | | | $ | 1,482,507,677 | | | | $ | 997,099 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | $ | (122,073 | ) | | | $ | (122,073 | ) | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Liabilities - Other Financial Instruments | | | $ | (122,073 | ) | | | $ | (122,073 | ) | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
***Other financial instruments are derivative instruments not reflected in the Schedule of Investments (such as futures contracts), which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the “Financial Futures Contracts” disclosure in the Notes to Financial Statements.
There were no transfers between Level 1, Level 2 and Level 3 during the year ended December 31, 2016.
| | | | |
| | See Notes to Financial Statements. | | 49 |
Growth Allocation Fund (Unaudited)
The Fund, through investments in the Select Funds, combined a greater percentage of exposure to equity securities with a smaller percentage to fixed-income securities and real assets securities. The Fund had a target of, but was not limited to, an asset allocation of 25.00% Fixed Income Select Funds, 41.00% U.S. Equity Select Funds, 27.00% Non-U.S. Equity Select Funds and 7.00% Real Asset Select Funds.
As a fund of funds, the Fund’s performance was based on the performance of the underlying Select Funds. The Investor Class of the Fund generated a return of 7.08% for the one-year period ended December 31, 2016. While all underlying asset classes generated positive performance for the year, exposure to the underlying U.S. Equity Select Funds and Real Asset Select Funds contributed the most to performance. The Fund’s absolute return was most positively influenced by its exposures to the Value Equity Fund and the Global Natural Resources Equity Fund. Additionally, the Fund’s Non-U.S. Equity Select Funds allocation contributed meaningfully to investment returns. Lastly, the Fixed Income Select Funds were positive across all underlying strategies, most notably for the Global Bond Fund.
The Investor Class of the Fund underperformed its composite benchmark in 2016 (7.08% versus 8.27%). While underlying U.S. Equity Select Funds holdings detracted from relative performance results, the Fund’s relative performance was most negatively impacted by allocations to the Growth Equity Fund and the Value Equity Fund.
Certain derivatives were utilized to provide market exposure for the cash positions held in the Fund. These derivative positions primarily included stock index futures and fixed-income futures. Overall, derivative exposure had a slight positive impact on Fund performance for 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. 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. It is possible to lose money by investing in the Fund.
At December 31, 2016, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
| | | | |
| | | % | |
U.S. Equity Select Funds | | | 39.9 | |
Fixed Income Select Funds | | | 26.8 | |
Non-U.S. Equity Select Funds | | | 26.6 | |
Real Return Select Funds | | | 6.6 | |
U.S. Treasury Obligation | | | 0.1 | |
| | | | |
| | | 100.0 | |
| | | | |
50
Growth Allocation Fund (Unaudited)
| | | | | | |
| Average Annual Total Returns as of 12/31/16 |
| | | Institutional Class* | | Investor Class* | | Benchmark** |
One Year | | 7.34% | | 7.08% | | 8.27% |
Five Year | | N/A | | 7.60% | | 8.34% |
Ten Year | | N/A | | 3.93% | | 4.72% |
Since Inception(1) | | 4.33% | | 5.04% | | 5.72% |
Inception Date | | 11/23/15 | | 08/27/01 | | |
Total Fund Operating Expenses (May 1, 2016 Prospectus)(2) | | 0.87% | | 1.13% | | |
(1)The Since Inception benchmark performance is based on the start date of August 27, 2001, which corresponds with the inception date of the Investor Class, the longest operating class of the Fund.
(2)The Fund’s shareholders indirectly bear the expenses of the Investor or Institutional 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 GuideStoneFunds.com. 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 Investor Class of the Fund for the 10-year period from December 31, 2006 to December 31, 2016, 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 2016, consisting of the Bloomberg Barclays US Aggregate Bond Index, the Russell 3000® Index, the FTSE EPRA/NAREIT Developed Index, the MSCI World Commodity Producers Index and the MSCI ACWI ex USA Index, weighted 25.00%, 41.00%, 4.00%, 3.00% and 27.00%, respectively.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
51
| | | | |
GROWTH ALLOCATION FUND SCHEDULE OF INVESTMENTS | | | December 31, 2016 | |
| | | | | | | | | | | | | | | | |
| | | Shares | | | Value | |
MUTUAL FUNDS — 99.9% | | | | | | | | | | | | | | | | |
GuideStone Money
Market Fund
(Institutional Class)¥ | | | | | | | 25,622,952 | | | | | | | $ | 25,622,952 | |
GuideStone Low-Duration
Bond Fund
(Institutional Class)¥ | | | | | | | 5,956,208 | | | | | | | | 79,455,818 | |
GuideStone Medium-Duration
Bond Fund
(Institutional Class)¥ | | | | | | | 7,364,092 | | | | | | | | 106,484,768 | |
GuideStone Extended-Duration
Bond Fund
(Institutional Class)¥ | | | | | | | 1,611,465 | | | | | | | | 27,233,756 | |
GuideStone Global
Bond Fund
(Institutional Class)¥ | | | | | | | 5,477,598 | | | | | | | | 53,023,147 | |
GuideStone Value
Equity Fund
(Institutional Class)¥ | | | | | | | 9,411,425 | | | | | | | | 199,333,986 | |
GuideStone Growth
Equity Fund
(Institutional Class)¥ | | | | | | | 9,025,885 | | | | | | | | 190,265,659 | |
GuideStone Small Cap
Equity Fund
(Institutional Class)¥ | | | | | | | 2,552,104 | | | | | | | | 44,738,385 | |
GuideStone International Equity Fund
(Institutional Class)¥ | | | | | | | 17,487,336 | | | | | | | | 230,133,347 | |
| | | | | | | | | | | | | | | | |
| | | Shares | | | Value | |
GuideStone Emerging Market Equity Fund (Institutional Class)¥ | | | | | | | 7,247,369 | | | | | | | $ | 59,283,475 | |
GuideStone Real Estate Securities Fund (Institutional Class)¥ | | | | | | | 4,008,864 | | | | | | | | 36,480,658 | |
GuideStone Global Natural Resources Equity Fund
(Investor Class)¥ | | | | | | | 4,688,310 | | | | | | | | 34,787,260 | |
| | | | | | | | | | | | | | | | |
Total Mutual Funds
(Cost $1,204,298,401) | | | | | | | | | | | | | | | 1,086,843,211 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | Par | | | | | | | |
U.S. TREASURY OBLIGATION — 0.1% | | | | | | | | | |
U.S. Treasury Bill | | | | | | | | | | | | | | | | |
0.60%, 06/22/17W‡‡
(Cost $897,483) | | | | | | $ | 900,000 | | | | | | | | 897,389 | |
| | | | | | | | | | | | | | | | |
TOTAL INVESTMENTS — 100.0%
(Cost $1,205,195,884) | | | | | | | | 1,087,740,600 | |
Liabilities in Excess of Other
Assets — 0.0% | | | | | | | | (89,096 | ) |
| | | | | | | | | | | | | | | | |
NET ASSETS — 100.0% | | | | | | | | | | | | | | $ | 1,087,651,504 | |
| | | | | | | | | | | | | | | | |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2016, 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 | | | $ | 1,086,843,211 | | | | $ | 1,086,843,211 | | | | $ | — | | | | $ | — | |
U.S. Treasury Obligation | | | | 897,389 | | | | | — | | | | | 897,389 | | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | | $ | 1,087,740,600 | | | | $ | 1,086,843,211 | | | | $ | 897,389 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | $ | (140,927 | ) | | | $ | (140,927 | ) | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Liabilities - Other Financial Instruments | | | $ | (140,927 | ) | | | $ | (140,927 | ) | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
***Other financial instruments are derivative instruments not reflected in the Schedule of Investments (such as futures contracts), which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the “Financial Futures Contracts” disclosure in the Notes to Financial Statements.
There were no transfers between Level 1, Level 2 and Level 3 during the year ended December 31, 2016.
| | | | |
| 52 | | See Notes to Schedules of Investments. | | |
Aggressive Allocation Fund (Unaudited)
The Fund, through investments in the 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. Equity Select Funds.
As a fund of funds, its performance was based on the performance of the underlying Select Funds. The Investor Class of the Fund generated a return of 6.38% for the one-year period ended December 31, 2016. Exposure to both the U.S. Equity Select Funds, in aggregate, and non-U.S. Equity Select Funds generated positive performance. The only detractor to absolute performance was the Growth Equity Fund. The largest contributor to absolute performance was the Value Equity Fund, as U.S. value stocks significantly outperformed the overall U.S. equity market.
The Investor Class of the Fund underperformed its composite benchmark in 2016 (6.38% versus 9.46%). The Fund’s relative performance was most negatively impacted by allocations to the Growth Equity Fund and the Value Equity Fund.
Certain derivatives were utilized to provide market exposure for the cash positions held in the Fund. These derivative positions primarily included stock index futures. Overall, derivative exposure had a slight positive impact on Fund performance for 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. 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. It is possible to lose money by investing in the Fund.
At December 31, 2016, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
| | | | |
| | | % | |
U.S. Equity Select Funds | | | 58.6 | |
Non-U.S. Equity Select Funds | | | 39.1 | |
Fixed Income Select Fund | | | 2.2 | |
U.S. Treasury Obligation | | | 0.1 | |
| | | | |
| | | 100.0 | |
| | | | |
53
Aggressive Allocation Fund (Unaudited)
| | | | | | |
| Average Annual Total Returns as of 12/31/16 |
| | | Institutional Class* | | Investor Class* | | Benchmark** |
One Year | | 6.55% | | 6.38% | | 9.46% |
Five Year | | N/A | | 9.89% | | 10.80% |
Ten Year | | N/A | | 3.76% | | 4.72% |
Since Inception(1) | | 3.17% | | 5.04% | | 5.92% |
Inception Date | | 11/23/15 | | 08/27/01 | | |
Total Fund Operating Expenses (May 1, 2016 Prospectus)(2) | | 0.96% | | 1.21% | | |
(1) The Since Inception benchmark performance is based on the start date of August 27, 2001, which corresponds with the inception date of the Investor Class, the longest operating class of the Fund.
(2) The Fund’s shareholders indirectly bear the expenses of the Investor or Institutional 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 GuideStoneFunds.com. 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 Investor Class of the Fund for the 10-year period from December 31, 2006 to December 31, 2016, 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 2016, consisting of the Russell 3000® Index and the MSCI ACWI ex USA Index, weighted 60.00% and 40.00%, respectively.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
54
| | |
AGGRESSIVE ALLOCATION FUND | | |
SCHEDULE OF INVESTMENTS | | December 31, 2016 |
| | | | | | | | | | | | | | | | |
| | | Shares | | | Value | |
MUTUAL FUNDS — 99.9% | |
GuideStone Money Market Fund (Institutional Class)¥ | | | | | | | 18,821,903 | | | | | | | $ | 18,821,903 | |
GuideStone Value Equity Fund (Institutional Class)¥ | | | | | | | 11,105,470 | | | | | | | | 235,213,850 | |
GuideStone Growth Equity Fund (Institutional Class)¥ | | | | | | | 10,721,089 | | | | | | | | 226,000,562 | |
GuideStone Small Cap Equity Fund (Institutional Class)¥ | | | | | | | 2,934,283 | | | | | | | | 51,437,989 | |
GuideStone International Equity Fund (Institutional Class)¥ | | | | | | | 20,618,141 | | | | | | | | 271,334,741 | |
GuideStone Emerging Market Equity Fund (Institutional Class)¥ | | | | | | | 8,645,615 | | | | | | | | 70,721,128 | |
| | | | | | | | | | | | | | | | |
Total Mutual Funds
(Cost $994,875,255) | | | | | | | | | | | | | | | 873,530,173 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | Par | | | Value | |
U.S. TREASURY OBLIGATION — 0.1% | | | | | | | | | | | | | | | | |
U.S. Treasury Bill 0.60%, 06/22/17W‡‡
(Cost $1,096,923) | | | | | | $ | 1,100,000 | | | | | | | $ | 1,096,809 | |
| | | | | | | | | | | | | | | | |
TOTAL INVESTMENTS — 100.0%
(Cost $995,972,178) | | | | | | | | 874,626,982 | |
Liabilities in Excess of Other Assets — 0.0% | | | | | | | | | | | | | | | (229,945 | ) |
| | | | | | | | | | | | | | | | |
NET ASSETS — 100.0% | | | | | | | | | | | | | | $ | 874,397,037 | |
| | | | | | | | | | | | | | | | |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2016, 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 | | | $ | 873,530,173 | | | | $ | 873,530,173 | | | | $ | — | | | | $ | — | |
U.S. Treasury Obligation | | | | 1,096,809 | | | | | — | | | | | 1,096,809 | | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Total Assets - Investments in Securities | | | $ | 874,626,982 | | | | $ | 873,530,173 | | | | $ | 1,096,809 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | $ | (99,064 | ) | | | $ | (99,064 | ) | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Total Liabilities - Other Financial Instruments | | | $ | (99,064 | ) | | | $ | (99,064 | ) | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
***Other financial instruments are derivative instruments not reflected in the Schedule of Investments (such as futures contracts), which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the “Financial Futures Contracts” disclosure in the Notes to Financial Statements.
There were no transfers between Level 1, Level 2 and Level 3 during the year ended December 31, 2016.
| | | | |
| | See Notes to Financial Statements. | | 55 |
| | |
STATEMENTS OF ASSETS AND LIABILITIES | | December 31, 2016 |
| | | | | | | | | | | | | | | | |
| | | Conservative
Allocation Fund | | | Balanced
Allocation Fund | | | Growth
Allocation Fund | | | Aggressive
Allocation Fund | |
Assets | | | | | | | | | | | | | | | | |
Investments in securities of unaffiliated issuers, at value | | $ | 99,817 | | | $ | 997,099 | | | $ | 897,389 | | | $ | 1,096,809 | |
Investments in securities of affiliated issuers, at value | | | 381,554,835 | | | | 1,482,507,677 | | | | 1,086,843,211 | | | | 873,530,173 | |
| | | | | | | | | | | | | | | | |
Total investments, at value (1) | | | 381,654,652 | | | | 1,483,504,776 | | | | 1,087,740,600 | | | | 874,626,982 | |
Cash | | | — | | | | — | | | | 160 | | | | — | |
Cash collateral for derivatives | | | 10,000 | | | | — | | | | 100,000 | | | | — | |
Receivables: | | | | | | | | | | | | | | | | |
Dividends from affiliated funds | | | 1,436 | | | | 8,523 | | | | 6,854 | | | | 4,879 | |
Fund shares sold | | | 65,765 | | | | 95,705 | | | | 204,973 | | | | 62,044 | |
Variation margin on financial futures contracts | | | 3,996 | | | | 49,186 | | | | 33,866 | | | | 19,875 | |
Prepaid expenses and other assets | | | 38,058 | | | | 40,414 | | | | 36,485 | | | | 34,258 | |
| | | | | | | | | | | | | | | | |
Total Assets | | | 381,773,907 | | | | 1,483,698,604 | | | | 1,088,122,938 | | | | 874,748,038 | |
| | | | | | | | | | | | | | | | |
Liabilities | | | | | | | | | | | | | | | | |
Cash overdraft | | | — | | | | — | | | | — | | | | 43 | |
Payables: | | | | | | | | | | | | | | | | |
Fund shares redeemed | | | — | | | | 167,134 | | | | 71,879 | | | | 4,531 | |
Variation margin on financial futures contracts | | | 4,451 | | | | 45,830 | | | | 56,565 | | | | 55,870 | |
Accrued expenses: | | | | | | | | | | | | | | | | |
Investment advisory fees | | | 26,889 | | | | 108,141 | | | | 85,991 | | | | 75,065 | |
Professional fees | | | 9,864 | | | | 9,864 | | | | 9,864 | | | | 9,864 | |
Shareholder servicing fees | | | 64,578 | | | | 244,123 | | | | 177,487 | | | | 149,066 | |
Other expenses | | | 35,027 | | | | 94,800 | | | | 69,648 | | | | 56,562 | |
| | | | | | | | | | | | | | | | |
Total Liabilities | | | 140,809 | | | | 669,892 | | | | 471,434 | | | | 351,001 | |
| | | | | | | | | | | | | | | | |
Net Assets | | $ | 381,633,098 | | | $ | 1,483,028,712 | | | $ | 1,087,651,504 | | | $ | 874,397,037 | |
| | | | | | | | | | | | | | | | |
Net Assets Consist of: | | | | | | | | | | | | | | | | |
Paid-in-capital | | $ | 397,301,278 | | | $ | 1,597,429,083 | | | $ | 1,208,599,634 | | | $ | 992,628,221 | |
Accumulated net investment income | | | 1,270,413 | | | | 18,045,922 | | | | 8,746,893 | | | | 9,664,868 | |
Accumulated net realized loss on investments and derivative transactions | | | (2,171,399 | ) | | | (26,214,136 | ) | | | (12,098,812 | ) | | | (6,451,792 | ) |
Net unrealized appreciation (depreciation) on investments and derivative transactions | | | (14,767,194 | ) | | | (106,232,157 | ) | | | (117,596,211 | ) | | | (121,444,260 | ) |
| | | | | | | | | | | | | | | | |
Net Assets | | $ | 381,633,098 | | | $ | 1,483,028,712 | | | $ | 1,087,651,504 | | | $ | 874,397,037 | |
| | | | | | | | | | | | | | | | |
Net Asset Value: | | | | | | | | | | | | | | | | |
$0.001 par value, unlimited shares authorized | | | | | | | | | | | | | | | | |
Net assets applicable to the Institutional Class | | $ | 75,332,549 | | | $ | 326,164,142 | | | $ | 244,872,605 | | | $ | 166,292,614 | |
| | | | | | | | | | | | | | | | |
Institutional shares outstanding | | | 6,921,058 | | | | 29,417,304 | | | | 22,324,513 | | | | 15,862,608 | |
| | | | | | | | | | | | | | | | |
Net asset value, offering and redemption price per Institutional share | | $ | 10.88 | | | $ | 11.09 | | | $ | 10.97 | | | $ | 10.48 | |
| | | | | | | | | | | | | | | | |
Net assets applicable to the Investor Class | | $ | 306,300,549 | | | $ | 1,156,864,570 | | | $ | 842,778,899 | | | $ | 708,104,423 | |
| | | | | | | | | | | | | | | | |
Investor shares outstanding | | | 28,142,002 | | | | 104,349,555 | | | | 76,859,142 | | | | 67,728,071 | |
| | | | | | | | | | | | | | | | |
Net asset value, offering and redemption price per Investor share | | $ | 10.88 | | | $ | 11.09 | | | $ | 10.97 | | | $ | 10.46 | |
| | | | | | | | | | | | | | | | |
| | | | |
(1) Investments in securities of unaffiliated issuers, at cost | | $ | 99,824 | | | $ | 997,203 | | | $ | 897,483 | | | $ | 1,096,923 | |
Investments in securities of affiliated issuers, at cost | | | 396,314,073 | | | | 1,588,617,657 | | | | 1,204,298,401 | | | | 994,875,255 | |
| | | | | | | | | | | | | | | | |
Total investments, at cost | | $ | 396,413,897 | | | $ | 1,589,614,860 | | | $ | 1,205,195,884 | | | $ | 995,972,178 | |
| | | | | | | | | | | | | | | | |
| | | | |
| 56 | | See Notes to Financial Statements. | | |
| | |
STATEMENTS OF OPERATIONS | | For the Year Ended December 31, 2016 |
| | | | | | | | | | | | | | | | |
| | | Conservative
Allocation Fund | | | Balanced
Allocation Fund | | | Growth
Allocation Fund | | | Aggressive
Allocation Fund | |
Investment Income | | | | | | | | | | | | | | | | |
Income distributions received from affiliated funds | | $ | 6,483,530 | | | $ | 31,004,223 | | | $ | 19,938,758 | | | $ | 12,376,802 | |
Interest | | | 280 | | | | 3,124 | | | | 2,809 | | | | 3,434 | |
| | | | | | | | | | | | | | | | |
Total Investment Income | | | 6,483,810 | | | | 31,007,347 | | | | 19,941,567 | | | | 12,380,236 | |
| | | | | | | | | | | | | | | | |
Expenses | | | | | | | | | | | | | | | | |
Investment advisory fees | | | 377,308 | | | | 1,522,818 | | | | 1,104,447 | | | | 930,678 | |
Transfer agent fees: | | | | | | | | | | | | | | | | |
Institutional shares | | | 4,579 | | | | 4,963 | | | | 4,783 | | | | 4,529 | |
Investor shares | | | 33,985 | | | | 68,772 | | | | 47,106 | | | | 37,807 | |
Custodian fees | | | 23,569 | | | | 44,582 | | | | 39,285 | | | | 28,221 | |
Shareholder servicing fees: | | | | | | | | | | | | | | | | |
Investor shares | | | 749,613 | | | | 2,907,051 | | | | 2,095,002 | | | | 1,870,090 | |
Accounting and administration fees | | | 24,253 | | | | 82,179 | | | | 60,940 | | | | 51,752 | |
Professional fees | | | 49,694 | | | | 49,693 | | | | 49,694 | | | | 49,694 | |
Blue sky fees: | | | | | | | | | | | | | | | | |
Institutional shares | | | 6,170 | | | | 7,176 | | | | 6,916 | | | | 6,733 | |
Investor shares | | | 19,995 | | | | 19,536 | | | | 18,372 | | | | 16,526 | |
Shareholder reporting fees: | | | | | | | | | | | | | | | | |
Institutional shares | | | 414 | | | | 854 | | | | 661 | | | | 346 | |
Investor shares | | | 25,265 | | | | 51,467 | | | | 35,277 | | | | 27,797 | |
Trustee expenses | | | 3,229 | | | | 13,037 | | | | 9,430 | | | | 8,031 | |
Line of credit facility fees and interest expense | | | 2,536 | | | | 10,866 | | | | 7,729 | | | | 6,567 | |
Other expenses | | | 38,219 | | | | 91,099 | | | | 76,149 | | | | 68,348 | |
| | | | | | | | | | | | | | | | |
Total Expenses | | | 1,358,829 | | | | 4,874,093 | | | | 3,555,791 | | | | 3,107,119 | |
Expenses waived/reimbursed(1) | | | (98,389 | ) | | | (229,910 | ) | | | (90,247 | ) | | | (240 | ) |
| | | | | | | | | | | | | | | | |
Net Expenses | | | 1,260,440 | | | | 4,644,183 | | | | 3,465,544 | | | | 3,106,879 | |
| | | | | | | | | | | | | | | | |
Net investment income | | | 5,223,370 | | | | 26,363,164 | | | | 16,476,023 | | | | 9,273,357 | |
| | | | | | | | | | | | | | | | |
Realized and Unrealized Gain (Loss) | | | | | | | | | | | | | | | | |
Capital gain distributions received from affiliated funds | | | 3,235,763 | | | | 22,396,236 | | | | 20,962,173 | | | | 22,285,564 | |
Net realized loss on investment securities of affiliated issuers | | | (3,055,370 | ) | | | (21,410,443 | ) | | | (15,604,337 | ) | | | (15,628,309 | ) |
Net realized gain on futures transactions | | | 140,525 | | | | 1,312,012 | | | | 1,337,248 | | | | 1,543,480 | |
| | | | | | | | | | | | | | | | |
Net realized gain | | | 320,918 | | | | 2,297,805 | | | | 6,695,084 | | | | 8,200,735 | |
| | | | | | | | | | | | | | | | |
Change in unrealized appreciation (depreciation) on investment securities of affiliated issuers | | | 12,281,378 | | | | 72,497,355 | | | | 51,146,013 | | | | 39,560,935 | |
Change in unrealized appreciation (depreciation) on investment securities of unaffiliated issuers | | | (7 | ) | | | (104 | ) | | | (94 | ) | | | (114 | ) |
Change in unrealized appreciation (depreciation) on futures | | | (11,179 | ) | | | (215,863 | ) | | | (243,335 | ) | | | (223,492 | ) |
| | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) | | | 12,270,192 | | | | 72,281,388 | | | | 50,902,584 | | | | 39,337,329 | |
| | | | | | | | | | | | | | | | |
Net Realized and Unrealized Gain | | | 12,591,110 | | | | 74,579,193 | | | | 57,597,668 | | | | 47,538,064 | |
| | | | | | | | | | | | | | | | |
Net Increase in Net Assets Resulting from Operations | | $ | 17,814,480 | | | $ | 100,942,357 | | | $ | 74,073,691 | | | $ | 56,811,421 | |
| | | | | | | | | | | | | | | | |
(1) See Note 3a and 3c in Notes to Financial Statements.
| | | | |
| | See Notes to Financial Statements. | | 57 |
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | | | | | | | | | |
| | | Conservative Allocation Fund | | | Balanced Allocation Fund | |
| | | For the Year Ended | | | For the Year Ended | |
| | | 12/31/16 | | | 12/31/15 | | | 12/31/16 | | | 12/31/15 | |
Operations: | | | | | | | | | | | | | | | | |
Net investment income | | $ | 5,223,370 | | | $ | 4,056,466 | | | $ | 26,363,164 | | | $ | 22,248,842 | |
Net realized gain on investment securities and futures transactions | | | 320,918 | | | | 21,364,449 | | | | 2,297,805 | | | | 209,853,176 | |
Net change in unrealized appreciation (depreciation) on investment securities and futures | | | 12,270,192 | | | | (34,121,239 | ) | | | 72,281,388 | | | | (292,929,539 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets resulting from operations | | | 17,814,480 | | | | (8,700,324 | ) | | | 100,942,357 | | | | (60,827,521 | ) |
| | | | | | | | | | | | | | | | |
Dividends and Distributions to Shareholders: | | | | | | | | | | | | | | | | |
Dividends from net investment income | | | | | | | | | | | | | | | | |
Institutional shares | | | (928,687 | ) | | | (807,878 | ) | | | (2,483,236 | ) | | | (5,045,636 | ) |
Investor shares | | | (3,024,270 | ) | | | (3,250,907 | ) | | | (5,829,103 | ) | | | (17,231,084 | ) |
Distributions from net realized capital gains | | | | | | | | | | | | | | | | |
Institutional shares | | | (951,614 | ) | | | (4,056,696 | ) | | | (8,586,401 | ) | | | (42,122,169 | ) |
Investor shares | | | (3,903,129 | ) | | | (16,914,391 | ) | | | (30,595,881 | ) | | | (151,904,855 | ) |
| | | | | | | | | | | | | | | | |
Total dividends and distributions | | | (8,807,700 | ) | | | (25,029,872 | ) | | | (47,494,621 | ) | | | (216,303,744 | ) |
| | | | | | | | | | | | | | | | |
Capital Share Transactions(1): | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | | | | | | | | | | | | | | |
Institutional shares | | | 10,866,018 | | | | 266,742 | | | | 13,574,551 | | | | 2,393,223 | |
Investor shares | | | 39,269,297 | | | | 30,769,183 | | | | 44,406,902 | | | | 56,861,675 | |
Shares issued from Merger(1) | | | | | | | | | | | | | | | | |
Institutional shares | | | — | | | | 75,356,677 | | | | — | | | | 351,418,265 | |
Reinvestment of dividends and distributions | | | | | | | | | | | | | | | | |
Institutional shares | | | 1,869,987 | | | | 4,835,687 | | | | 11,040,091 | | | | 47,033,321 | |
Investor shares | | | 6,923,060 | | | | 20,157,620 | | | | 36,418,219 | | | | 169,071,981 | |
| | | | | | | | | | | | | | | | |
Total proceeds from shares sold and reinvested | | | 58,928,362 | | | | 131,385,909 | | | | 105,439,763 | | | | 626,778,465 | |
| | | | | | | | | | | | | | | | |
Value of shares redeemed | | | | | | | | | | | | | | | | |
Institutional shares | | | (10,009,301 | ) | | | (1,069,297 | ) | | | (42,649,048 | ) | | | (2,356,453 | ) |
Investor shares | | | (42,185,083 | ) | | | (42,131,709 | ) | | | (157,414,729 | ) | | | (114,945,036 | ) |
| | | | | | | | | | | | | | | | |
Total value of shares redeemed | | | (52,194,384 | ) | | | (43,201,006 | ) | | | (200,063,777 | ) | | | (117,301,489 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) from capital share transactions(2) | | | 6,733,978 | | | | 88,184,903 | | | | (94,624,014 | ) | | | 509,476,976 | |
| | | | | | | | | | | | | | | | |
Total increase (decrease) in net assets | | | 15,740,758 | | | | 54,454,707 | | | | (41,176,278 | ) | | | 232,345,711 | |
| | | | | | | | | | | | | | | | |
Net Assets: | | | | | | | | | | | | | | | | |
Beginning of Year | | | 365,892,340 | | | | 311,437,633 | | | | 1,524,204,990 | | | | 1,291,859,279 | |
| | | | | | | | | | | | | | | | |
End of Year* | | $ | 381,633,098 | | | $ | 365,892,340 | | | $ | 1,483,028,712 | | | $ | 1,524,204,990 | |
| | | | | | | | | | | | | | | | |
*Including undistributed net investment income | | $ | 1,270,413 | | | $ | — | | | $ | 18,045,922 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| (1) | Inception date for Institutional Class for Conservative Allocation Fund, Balanced Allocation Fund, Growth Allocation Fund and Aggressive Allocation Fund was November 23, 2015. |
| (2) | See Note 6 in Notes to Financial Statements. |
| | | | |
| 58 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | |
| Growth Allocation Fund | | | Aggressive Allocation Fund | |
| For the Year Ended | | | For the Year Ended | |
| 12/31/16 | | | 12/31/15 | | | 12/31/16 | | | 12/31/15 | |
| | | | | | | | | | | | | | |
| $ | 16,476,023 | | | $ | 13,963,287 | | | $ | 9,273,357 | | | $ | 8,782,106 | |
| 6,695,084 | | | | 189,714,170 | | | | 8,200,735 | | | | 235,381,765 | |
| 50,902,584 | | | | (248,552,166 | ) | | | 39,337,329 | | | | (265,954,151 | ) |
| | | | | | | | | | | | | | |
| | 74,073,691 | | | | (44,874,709 | ) | | | 56,811,421 | | | | (21,790,280 | ) |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | (2,219,710 | ) | | | (3,245,532 | ) | | | — | | | | (1,573,444 | ) |
| | (5,509,420 | ) | | | (10,728,514 | ) | | | — | | | | (7,205,082 | ) |
| | | | | | | | | | | | | | | |
| | (11,665,660 | ) | | | (37,114,828 | ) | | | (14,529,604 | ) | | | (34,895,055 | ) |
| | (40,312,926 | ) | | | (130,178,683 | ) | | | (61,769,042 | ) | | | (164,370,097 | ) |
| | | | | | | | | | | | | | |
| | (59,707,716 | ) | | | (181,267,557 | ) | | | (76,298,646 | ) | | | (208,043,678 | ) |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | 9,777,898 | | | | 1,175,325 | | | | 5,702,265 | | | | 616,532 | |
| | 26,960,487 | | | | 34,132,116 | | | | 15,744,951 | | | | 25,781,773 | |
| | | | | | | | | | | | | | | |
| | — | | | | 258,734,195 | | | | — | | | | 172,531,801 | |
| | | | | | | | | | | | | | | |
| | 13,871,071 | | | | 40,328,502 | | | | 14,525,136 | | | | 36,455,456 | |
| | 45,817,706 | | | | 140,889,511 | | | | 61,766,425 | | | | 171,567,547 | |
| | | | | | | | | | | | | | |
| | 96,427,162 | | | | 475,259,649 | | | | 97,738,777 | | | | 406,953,109 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | (30,033,973 | ) | | | (2,222,874 | ) | | | (19,296,176 | ) | | | (1,914,451 | ) |
| | (108,056,691 | ) | | | (84,048,090 | ) | | | (150,902,912 | ) | | | (78,585,909 | ) |
| | | | | | | | | | | | | | |
| | (138,090,664 | ) | | | (86,270,964 | ) | | | (170,199,088 | ) | | | (80,500,360 | ) |
| | | | | | | | | | | | | | |
| | (41,663,502 | ) | | | 388,988,685 | | | | (72,460,311 | ) | | | 326,452,749 | |
| | | | | | | | | | | | | | |
| | (27,297,527 | ) | | | 162,846,419 | | | | (91,947,536 | ) | | | 96,618,791 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | 1,114,949,031 | | | | 952,102,612 | | | | 966,344,573 | | | | 869,725,782 | |
| | | | | | | | | | | | | | |
| $ | 1,087,651,504 | | | $ | 1,114,949,031 | | | $ | 874,397,037 | | | $ | 966,344,573 | |
| | | | | | | | | | | | | | |
| $ | 8,746,893 | | | $ | — | | | $ | 9,664,868 | | | $ | — | |
| | | | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 59 |
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
Distributions
Received
from
Affiliated
Funds | | | 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(2)(3) | | | Expenses,
Gross(2)(4) | | | Investment
Income,
Net (1)(3) | | | Portfolio
Turnover
Rate | |
Conservative Allocation Fund | |
| | | | | | | | | | |
Institutional Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | | $10.62 | | | | $0.18 | # | | | $0.10 | | | | $0.25 | | | | $(0.13 | ) | | | $(0.14 | ) | | | $10.88 | | | | 5.07 | % | | | $75,333 | | | | 0.14 | % | | | 0.15 | % | | | 1.61 | % | | | 5 | % |
2015(5) | | | 11.51 | | | | 0.05 | # | | | 0.22 | | | | (0.39 | ) | | | (0.12 | ) | | | (0.65 | ) | | | 10.62 | | | | (0.99 | ) | | | 70,895 | | | | 0.18 | | | | 0.20 | | | | 4.36 | | | | 92 | (6) |
| | | | | | | | | | |
Investor Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | | $10.62 | | | | $0.15 | # | | | $0.10 | | | | $0.26 | | | | $(0.11 | ) | | | $(0.14 | ) | | | $10.88 | | | | 4.82 | % | | | $306,300 | | | | 0.39 | % | | | 0.42 | % | | | 1.36 | % | | | 5 | % |
2015 | | | 11.59 | | | | 0.14 | # | | | 0.26 | | | | (0.60 | ) | | | (0.12 | ) | | | (0.65 | ) | | | 10.62 | | | | (1.69 | ) | | | 294,997 | | | | 0.27 | | | | 0.33 | | | | 1.22 | | | | 92 | (6) |
2014 | | | 11.84 | | | | 0.14 | # | | | 0.19 | | | | (0.17 | ) | | | (0.19 | ) | | | (0.22 | ) | | | 11.59 | | | | 1.40 | | | | 311,438 | | | | 0.12 | | | | 0.16 | | | | 1.17 | | | | 20 | |
2013 | | | 12.27 | | | | 0.11 | # | | | 0.21 | | | | 0.12 | | | | (0.17 | ) | | | (0.70 | ) | | | 11.84 | | | | 3.67 | | | | 319,213 | | | | 0.12 | | | | 0.16 | | | | 0.85 | | | | 12 | |
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 | |
Balanced Allocation Fund | |
| | | | | | | | | | |
Institutional Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | | $10.70 | | | | $0.22 | # | | | $0.17 | | | | $0.39 | | | | $(0.08 | ) | | | $(0.31 | ) | | | $11.09 | | | | 7.27 | % | | | $326,164 | | | | 0.11 | % | | | 0.13 | % | | | 1.97 | % | | | 4 | % |
2015(5) | | | 12.67 | | | | 0.09 | # | | | 0.45 | | | | (0.77 | ) | | | (0.16 | ) | | | (1.58 | ) | | | 10.70 | | | | (1.73 | ) | | | 332,327 | | | | 0.12 | | | | 0.14 | | | | 7.28 | | | | 95 | (6) |
| | | | | | | | | | |
Investor Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | | $10.70 | | | | $0.19 | # | | | $0.17 | | | | $0.39 | | | | $(0.05 | ) | | | $(0.31 | ) | | | $11.09 | | | | 7.00 | % | | | $1,156,865 | | | | 0.37 | % | | | 0.38 | % | | | 1.71 | % | | | 4 | % |
2015 | | | 12.89 | | | | 0.20 | # | | | 0.53 | | | | (1.18 | ) | | | (0.16 | ) | | | (1.58 | ) | | | 10.70 | | | | (3.43 | ) | | | 1,191,878 | | | | 0.28 | | | | 0.30 | | | | 1.56 | | | | 95 | (6) |
2014 | | | 13.14 | | | | 0.19 | # | | | 0.36 | | | | (0.09 | ) | | | (0.27 | ) | | | (0.44 | ) | | | 12.89 | | | | 3.53 | | | | 1,291,859 | | | | 0.12 | | | | 0.13 | | | | 1.38 | | | | 3 | |
2013 | | | 12.73 | | | | 0.16 | # | | | 0.44 | | | | 0.68 | | | | (0.28 | ) | | | (0.59 | ) | | | 13.14 | | | | 10.08 | | | | 1,288,529 | | | | 0.12 | | | | 0.13 | | | | 1.23 | | | | 27 | |
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 | |
| # | 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) | Does not include expenses of the investment companies in which the Fund invests. |
| (3) | 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 higher (lower), respectively, than the ratio shown. |
| (4) | 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. |
| (5) | Inception date was November 23, 2015. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
| (6) | The portfolio turnover rate for the year ended December 31, 2015 reflects rebalancing of holdings in the Funds and is not representative of a change in investment strategy for the Funds. |
| | | | |
| 60 | | 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
Distributions
Received
from
Affiliated
Funds | | | 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(2)(3) | | | Expenses,
Gross(2)(4) | | | Investment
Income,
Net (1)(3) | | | Portfolio
Turnover
Rate | |
Growth Allocation Fund | |
| | | | | | | | | | |
Institutional Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | | $10.83 | | | | $0.19 | # | | | $0.21 | | | | $0.40 | | | | $(0.10 | ) | | | $(0.56 | ) | | | $10.97 | | | | 7.34 | % | | | $244,873 | | | | 0.12 | % | | | 0.13 | % | | | 1.72 | % | | | 4 | % |
2015(5) | | | 13.23 | | | | 0.11 | # | | | 0.76 | | | | (1.20 | ) | | | (0.14 | ) | | | (1.93 | ) | | | 10.83 | | | | (2.36 | ) | | | 247,746 | | | | 0.14 | | | | 0.14 | | | | 8.37 | | | | 97 | (6) |
| | | | | | | | | | |
Investor Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | | $10.83 | | | | $0.16 | # | | | $0.21 | | | | $0.40 | | | | $(0.07 | ) | | | $(0.56 | ) | | | $10.97 | | | | 7.08 | % | | | $842,779 | | | | 0.38 | % | | | 0.39 | % | | | 1.46 | % | | | 4 | % |
2015 | | | 13.43 | | | | 0.17 | # | | | 0.90 | | | | (1.61 | ) | | | (0.13 | ) | | | (1.93 | ) | | | 10.83 | | | | (3.83 | ) | | | 867,203 | | | | 0.29 | | | | 0.30 | | | | 1.26 | | | | 97 | (6) |
2014 | | | 14.00 | | | | 0.15 | # | | | 0.54 | | | | (0.28 | ) | | | (0.25 | ) | | | (0.73 | ) | | | 13.43 | | | | 2.93 | | | | 952,103 | | | | 0.12 | | | | 0.13 | | | | 1.07 | | | | 4 | |
2013 | | | 13.04 | | | | 0.15 | # | | | 0.67 | | | | 1.57 | | | | (0.27 | ) | | | (1.16 | ) | | | 14.00 | | | | 18.49 | | | | 963,902 | | | | 0.12 | | | | 0.13 | | | | 1.03 | | | | 22 | |
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 | |
Aggressive Allocation Fund | |
| | | | | | | | | | |
Institutional Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | | $10.77 | | | | $0.14 | # | | | $0.27 | | | | $0.30 | | | | $ — | | | | $(1.00 | ) | | | $10.48 | | | | 6.55 | % | | | $166,293 | | | | 0.13 | % | | | 0.13 | % | | | 1.28 | % | | | 2 | % |
2015(5) | | | 14.13 | | | | 0.12 | # | | | 1.10 | | | | (1.67 | ) | | | (0.09 | ) | | | (2.82 | ) | | | 10.77 | | | | (2.85 | ) | | | 169,302 | | | | 0.15 | | | | 0.15 | | | | 8.75 | | | | 103 | (6) |
| | | | | | | | | | |
Investor Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | | $10.77 | | | | $0.10 | # | | | $0.26 | | | | $0.33 | | | | $ — | | | | $(1.00 | ) | | | $10.46 | | | | 6.38 | % | | | $708,104 | | | | 0.39 | % | | | 0.39 | % | | | 0.96 | % | | | 2 | % |
2015 | | | 14.06 | | | | 0.12 | # | | | 1.32 | | | | (1.82 | ) | | | (0.09 | ) | | | (2.82 | ) | | | 10.77 | | | | (2.39 | ) | | | 797,043 | | | | 0.29 | | | | 0.30 | | | | 0.85 | | | | 103 | (6) |
2014 | | | 14.82 | | | | 0.12 | # | | | 0.80 | | | | (0.41 | ) | | | (0.23 | ) | | | (1.04 | ) | | | 14.06 | | | | 3.38 | | | | 869,726 | | | | 0.12 | | | | 0.13 | | | | 0.79 | | | | 4 | |
2013 | | | 12.46 | | | | 0.11 | # | | | 0.90 | | | | 2.39 | | | | (0.29 | ) | | | (0.75 | ) | | | 14.82 | | | | 27.41 | | | | 879,563 | | | | 0.12 | | | | 0.13 | | | | 0.77 | | | | 12 | |
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 | |
| # | 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) | Does not include expenses of the investment companies in which the Fund invests. |
| (3) | 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 higher (lower), respectively, than the ratio shown. |
| (4) | 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. |
| (5) | Inception date was November 23, 2015. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
| (6) | The portfolio turnover rate for the year ended December 31, 2015 reflects rebalancing of holdings in the Funds and is not representative of a change in investment strategy for the Funds. |
| | | | |
| | See Notes to Financial Statements. | | 61 |
Money Market Fund (Unaudited)
In December 2016, the Federal Reserve (the “Fed”) saw sufficient evidence of economic strength to raise the federal funds rate by another quarter of a percent. Thus far, the Fed has increased rates by 0.25% in each of the last two years to bring the current target rate to a range of 0.50% to 0.75%. This range remains very accommodative to generate economic growth and to thwart any deflationary pressures. Despite the small increase in the federal funds rate at year-end, short-term rates were at historically low levels throughout the year which negatively impacted the returns available to investors.
In response to new requirements under Rule 2a-7 of the Investment Company Act of 1940, the Money Market Fund altered its holdings in May 2016. The Fund transitioned from a prime money market fund to a government money market fund, and now only holds securities backed in full by the federal government. In general, government funds have lower yields and returns than prime funds given their higher quality orientation. To better reflect the Fund’s new strategies, the benchmark index was changed to the BofA Merrill Lynch 0-3 Month US Treasury Bill Index.
Given the low interest rate environment, which persisted throughout 2016, money market funds (which are lenders to borrowers at short-term interest rates) experienced another year of very moderate returns. At the end of 2016, the three-month U.S. Treasury Bill was yielding 0.50%, although the rate was approximately 0.25% for most of the year. The low yield environment, coupled with the regulatory constraints of Rule 2a-7, made it incredibly difficult for money market funds across the industry to post positive returns net of expenses, including the Fund.
The Fund invested in a broad range of high quality, short-term money market instruments denominated exclusively in U.S. dollars during the year. The Fund maintained a stable per share price of $1.00, while paying monthly dividends based on the daily account value. The Investor Class of the Fund returned 0.04% for the one-year period ended December 31, 2016, as compared to a 0.26% return for its benchmark, the BofA Merrill Lynch 0-3 Month US Treasury Bill Index. In the midst of the difficult interest rate and economic environment, the management of the Fund remained true and steadfast to its primary objectives of preservation of capital and liquidity versus sacrificing quality and taking imprudent risk in an effort to stretch for incremental yield. Stretching for yield in this environment provided an asymmetrical payoff, providing little, if any upside, while increasing the potential for a material negative return event. At year-end, the Fund’s weighted average maturity was 42 days, compared to 39 days at the end of 2015.
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 by investing in the Fund.
At December 31, 2016, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
| | | | |
| | | % | |
Agency Obligations | | | 74.7 | |
Repurchase Agreements | | | 21.2 | |
U.S. Treasury Obligations | | | 4.2 | |
| | | | |
| | | 100.1 | |
| | | | |
62
Money Market Fund (Unaudited)
| | | | | | |
| Average Annual Total Returns as of 12/31/16 |
| | | Institutional Class* | | Investor Class* | | Benchmark** |
One Year | | 0.28% | | 0.04% | | 0.26% |
Five Year | | 0.10% | | 0.02% | | 0.09% |
Ten Year | | 0.93% | | 0.81% | | 0.72% |
Since Inception | | 1.43% | | 1.30% | | 1.30% |
Inception Date | | 08/27/01 | | 08/27/01 | | |
Total Fund Operating Expenses (May 1, 2016 Prospectus)(1) | | 0.15% | | 0.40% | | |
| | | | |
| Yield as of 12/31/16(2) |
| | | Institutional Class* | | Investor Class* |
7-Day Annualized Yield (Net) | | 0.37% | | 0.13% |
7-Day Annualized Yield (Gross) | | 0.51% | | 0.51% |
| (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 expenses. |
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 GuideStoneFunds.com. 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 Investor Class of the Fund for the 10-year period from December 31, 2006 to December 31, 2016, with all dividends and capital gains reinvested, with the BofA Merrill Lynch 0-3 Month US 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.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
63
| | |
MONEY MARKET FUND | | |
SCHEDULE OF INVESTMENTS | | December 31, 2016 |
| | | | | | | | | | | | |
| | | Par | | | Value | |
AGENCY OBLIGATIONS — 74.7% | |
Federal Farm Credit Bank | | | | | | | | | | | | |
0.70%, 09/05/17† | | $ | 15,285,000 | | | | | | | $ | 15,283,937 | |
0.71%, 09/12/17† | | | 6,400,000 | | | | | | | | 6,400,853 | |
0.70%, 09/22/17† | | | 18,000,000 | | | | | | | | 17,999,342 | |
0.70%, 09/25/17† | | | 15,000,000 | | | | | | | | 14,997,847 | |
Federal Farm Credit Bank Discount Notes | | | | | | | | | | | | |
0.60%, 01/03/17 | | | 4,095,000 | | | | | | | | 4,094,864 | |
0.53%, 03/30/17 | | | 4,335,000 | | | | | | | | 4,328,748 | |
0.59%, 07/11/17 | | | 7,870,000 | | | | | | | | 7,844,947 | |
0.64%, 09/29/17 | | | 5,965,000 | | | | | | | | 5,934,017 | |
Federal Home Loan Bank | | | | | | | | | | | | |
0.57%, 01/11/17 | | | 8,000,000 | | | | | | | | 7,999,913 | |
0.73%, 02/14/17† | | | 17,000,000 | | | | | | | | 16,998,950 | |
0.63%, 03/14/17† | | | 12,000,000 | | | | | | | | 11,999,536 | |
0.72%, 03/15/17† | | | 9,000,000 | | | | | | | | 9,000,000 | |
0.46%, 05/04/17† | | | 6,840,000 | | | | | | | | 6,840,000 | |
0.57%, 05/10/17† | | | 11,500,000 | | | | | | | | 11,499,168 | |
0.73%, 05/30/17 | | | 11,900,000 | | | | | | | | 11,895,524 | |
0.83%, 06/15/17† | | | 16,195,000 | | | | | | | | 16,195,000 | |
0.71%, 07/07/17† | | | 18,000,000 | | | | | | | | 18,000,000 | |
0.66%, 08/22/17† | | | 22,000,000 | | | | | | | | 21,999,616 | |
0.68%, 08/25/17† | | | 7,450,000 | | | | | | | | 7,450,000 | |
0.79%, 10/16/17† | | | 10,000,000 | | | | | | | | 10,000,000 | |
0.69%, 10/27/17† | | | 6,200,000 | | | | | | | | 6,199,639 | |
0.81%, 10/27/17† | | | 14,915,000 | | | | | | | | 14,915,000 | |
0.71%, 11/08/17† | | | 9,000,000 | | | | | | | | 9,000,000 | |
0.77%, 02/05/18† | | | 7,000,000 | | | | | | | | 7,000,000 | |
Federal Home Loan Bank Discount Notes | | | | | | | | | | | | |
0.39%, 01/04/17 | | | 37,185,000 | | | | | | | | 37,184,038 | |
0.39%, 01/06/17 | | | 13,000,000 | | | | | | | | 12,999,379 | |
0.39%, 01/11/17 | | | 22,355,000 | | | | | | | | 22,352,562 | |
0.39%, 01/13/17 | | | 12,640,000 | | | | | | | | 12,638,313 | |
0.39%, 01/20/17 | | | 13,000,000 | | | | | | | | 12,997,530 | |
0.39%, 01/25/17 | | | 84,387,000 | | | | | | | | 84,363,417 | |
0.39%, 01/27/17 | | | 63,935,000 | | | | | | | | 63,915,863 | |
0.51%, 02/01/17 | | | 30,500,000 | | | | | | | | 30,489,262 | |
0.51%, 02/02/17 | | | 15,000,000 | | | | | | | | 14,993,867 | |
0.51%, 02/08/17 | | | 20,275,000 | | | | | | | | 20,265,198 | |
0.51%, 02/10/17 | | | 8,780,000 | | | | | | | | 8,775,415 | |
0.51%, 02/15/17 | | | 12,785,000 | | | | | | | | 12,777,361 | |
0.51%, 02/21/17 | | | 8,875,000 | | | | | | | | 8,867,456 | |
0.51%, 02/22/17 | | | 18,310,000 | | | | | | | | 18,296,247 | |
0.53%, 03/03/17 | | | 11,500,000 | | | | | | | | 11,489,672 | |
0.53%, 03/10/17 | | | 9,000,000 | | | | | | | | 8,991,160 | |
0.53%, 03/22/17 | | | 12,715,000 | | | | | | | | 12,699,480 | |
0.53%, 03/24/17 | | | 66,655,000 | | | | | | | | 66,572,028 | |
0.53%, 03/29/17 | | | 7,500,000 | | | | | | | | 7,490,031 | |
0.56%, 04/11/17 | | | 10,500,000 | | | | | | | | 10,485,708 | |
0.56%, 04/19/17 | | | 27,500,000 | | | | | | | | 27,460,070 | |
0.56%, 05/01/17 | | | 15,000,000 | | | | | | | | 14,972,500 | |
Federal Home Loan Mortgage Corporation | | | | | | | | | | | | |
0.63%, 04/27/17† | | | 10,000,000 | | | | | | | | 9,999,353 | |
0.59%, 07/21/17† | | | 6,100,000 | | | | | | | | 6,099,655 | |
0.84%, 01/08/18† | | | 5,870,000 | | | | | | | | 5,870,000 | |
0.84%, 01/12/18† | | | 5,870,000 | | | | | | | | 5,870,000 | |
0.97%, 03/08/18† | | | 7,000,000 | | | | | | | | 7,000,000 | |
Federal Home Loan Mortgage Corporation Discount Notes | | | | | | | | | | | | |
0.51%, 02/03/17 | | | 16,825,000 | | | | | | | | 16,818,291 | |
| | | | | | | | | | |
| | | Par | | | Value | |
0.51%, 02/17/17 | | $ | 8,625,000 | | | | | $ | 8,619,257 | |
0.51%, 02/27/17 | | | 9,760,000 | | | | | | 9,752,119 | |
0.56%, 04/06/17 | | | 6,725,000 | | | | | | 6,716,482 | |
0.56%, 05/10/17 | | | 10,880,000 | | | | | | 10,859,727 | |
0.56%, 05/15/17 | | | 13,920,000 | | | | | | 13,894,093 | |
Federal National Mortgage Association | | | | | | | | | | |
0.73%, 02/13/17 | | | 2,405,000 | | | | | | 2,417,623 | |
0.76%, 10/05/17† | | | 5,500,000 | | | | | | 5,499,363 | |
Federal National Mortgage Association Discount Notes | | | | | | | | | | |
0.57%, 06/01/17 | | | 3,240,000 | | | | | | 3,231,438 | |
| | | | | | | | | | |
Total Agency Obligations
(Cost $897,600,859) | | | | | | 897,600,859 | |
| | | | | | | | | | |
U.S. TREASURY OBLIGATIONS — 4.2% | |
U.S. Treasury Bills | | | | | | | | | | |
0.49%, 03/02/17 | | | 15,000,000 | | | | | | 14,988,000 | |
0.51%, 03/16/17 | | | 12,000,000 | | | | | | 11,986,680 | |
0.56%, 04/27/17 | | | 18,000,000 | | | | | | 17,964,910 | |
| | | | | | | | | | |
| | | | | | | | | 44,939,590 | |
| | | | | | | | | | |
U.S. Treasury Notes | | | | | | | | | | |
0.56%, 10/31/17† | | | 1,663,200 | | | | | | 1,660,946 | |
0.56%, 01/31/18† | | | 4,000,000 | | | | | | 3,999,084 | |
| | | | | | | | | | |
| | | | | | | | | 5,660,030 | |
| | | | | | | | | | |
Total U.S. Treasury Obligations
(Cost $50,599,620) | | | | | | 50,599,620 | |
| | | | | | | | | | |
REPURCHASE AGREEMENTS — 21.2% | |
Bank of Montreal | | | | | | | | | | |
0.50% (dated 12/30/16, due 01/03/17, repurchase price $3,000,042, collateralized by Federal Home Loan Mortgage Corporation and Federal National Mortgage Association, 2.500% to 5.260%, due 09/01/25 to 08/01/36, total market value $3,090,000) | | | 3,000,000 | | | | | | 3,000,000 | |
Bank of Nova Scotia | | | | | | | | | | |
0.50% (dated 12/30/16, due 01/03/17, repurchase price $30,000,417, collateralized by U.S. Treasury Bill and U.S. Treasury Note, 0.875% to 1.750%, due 11/30/17 to 11/30/21, total market value $30,601,743) | | | 30,000,000 | | | | | | 30,000,000 | |
BNP Paribas SA | | | | | | | | | | |
0.50% (dated 12/30/16, due 01/03/17, repurchase price $40,000,556, collateralized by U.S. Treasury Bill, U.S. Treasury Bond and U.S. Treasury Note, 0.000% to 1.375%, due 06/22/17 to 11/15/31, total market value $40,800,014) | | | 40,000,000 | | | | | | 40,000,000 | |
| | | | |
| 64 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
Citigroup Global Markets, Inc. | | | | | | | | | | | | |
0.53% (dated 12/30/16, due 01/03/17, repurchase price $40,000,589, collateralized by U.S. Treasury Note, 1.625%, due 08/15/22, total market value $40,800,044) | | $ | 40,000,000 | | | | | | | $ | 40,000,000 | |
Goldman Sachs & Co. | | | | | | | | | | | | |
0.44% (dated 12/30/16, due 01/03/17, repurchase price $5,000,061, collateralized by Federal Home Loan Mortgage Corporation and Federal National Mortgage Association, 2.500% to 7.500%, due 11/01/17 to 10/01/46, total market value $5,150,000) | | | 5,000,000 | | | | | | | | 5,000,000 | |
HSBC Securities USA, Inc. | | | | | | | | | | | | |
0.45% (dated 12/30/16, due 01/03/17, repurchase price $5,500,069, collateralized by U.S. Treasury Bill, 2.625%, due 07/15/17, total market value $5,613,042) | | | 5,500,000 | | | | | | | | 5,500,000 | |
0.46% (dated 12/30/16, due 01/03/17, repurchase price $3,000,038, collateralized by U.S. Treasury Note, 1.250%, due 10/31/21, total market value $3,061,460) | | | 3,000,000 | | | | | | | | 3,000,000 | |
Mitsubishi UFJ Securities USA, Inc. | | | | | | | | | | | | |
0.50% (dated 12/30/16, due 01/03/17, repurchase price $20,000,278, collateralized by Federal Home Loan Mortgage Corporation, Federal National Mortgage Association and Government National Mortgage Association, 2.260% to 3.543%, due 11/01/24 to 05/20/46, total market value $20,582,273) | | | 20,000,000 | | | | | | | | 20,000,000 | |
Mizuho Securities USA, Inc. | | | | | | | | | | | | |
0.50% (dated 12/30/16, due 01/03/17, repurchase price $4,000,056, collateralized by U.S. Treasury Note, 0.125%, due 04/15/20, total market value $4,080,030) | | | 4,000,000 | | | | | | | | 4,000,000 | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
Morgan Stanley & Co. LLC | | | | | | | | | | | | |
0.51% (dated 12/30/16, due 01/03/17, repurchase price $50,000,708, collateralized by Government National Mortgage Association, U.S. Treasury Bond and U.S. Treasury Notes 1.375% to 5.375%, due 03/31/20 to 04/15/41, total market value $51,000,000) | | $ | 50,000,000 | | | | | | | $ | 50,000,000 | |
RBC Capital Markets LLC | | | | | | | | | | | | |
0.48% (dated 12/30/16, due 01/03/17, repurchase price $15,000,200, collateralized by Federal Home Loan Mortgage Corporation and Federal National Mortgage Association, 2.654% to 3.000%, due 05/01/42 to 01/01/47, total market value $15,450,001) | | | 15,000,000 | | | | | | | | 15,000,000 | |
TD Securities USA LLC | | | | | | | | | | | | |
0.53% (dated 12/30/16, due 01/03/17, repurchase price $40,000,589, collateralized by U.S. Treasury Bill and U.S. Treasury Note, 1.000% to 2.250%, due 03/31/17 to 07/31/21, total market value $40,800,030) | | | 40,000,000 | | | | | | | | 40,000,000 | |
| | | | | | | | | | | | |
Total Repurchase Agreements
(Cost $255,500,000) | | | | | | | | 255,500,000 | |
| | | | | | | | | | | | |
TOTAL INVESTMENTS — 100.1%
(Cost $1,203,700,479) | | | | | | | | 1,203,700,479 | |
Liabilities in Excess of Other
Assets — (0.1)% | | | | | | | | (1,398,154 | ) |
| | | | | | | | | | | | |
NET ASSETS — 100.0% | | | | | | | $ | 1,202,302,325 | |
| | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 65 |
MONEY MARKET FUND
SCHEDULE OF INVESTMENTS (Continued)
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2016, 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 | | | $ | 897,600,859 | | | | $ | — | | | | $ | 897,600,859 | | | | $ | — | |
Repurchase Agreements | | | | 255,500,000 | | | | | — | | | | | 255,500,000 | | | | | — | |
U.S. Treasury Obligations | | | | 50,599,620 | | | | | — | | | | | 50,599,620 | | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | | $ | 1,203,700,479 | | | | $ | — | | | | $ | 1,203,700,479 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
There were no transfers between Level 1, Level 2 and Level 3 during the year ended December 31, 2016.
| | | | |
| 66 | | See Notes to Financial Statements. | | |
Low-Duration Bond Fund (Unaudited)
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 Investor Class of the Fund outperformed its all-U.S. Treasury benchmark, the BofA Merrill Lynch 1-3 Year US Treasury Index, for the one-year period ended December 31, 2016 (1.47% versus 0.89%). In an effort to outpace its benchmark, the Fund tactically utilized spread sectors (such as high yield and investment grade corporates, mortgage-backed securities, emerging market dollar-denominated securities and asset-backed securities) that traded at a yield premium relative to their U.S. Treasury counterparts. The strategy of overweighting non-U.S. Treasuries sectors, particularly investment grade corporate bonds, provided value relative to the benchmark. The Fund’s relative yield advantage versus the benchmark was also a positive contributor to the relative returns.
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 both duration management and yield curve positioning strategies. Over the course of the calendar year, these positions had a negative impact on relative performance as they were used to provide short duration positions when rates declined. Credit default swaps were utilized, and moderately improved the Fund’s relative performance during the year, as spreads narrowed within the corporate bond sector during the period the positions were held. In an effort to gain exposure to non-U.S. interest rates and duration, interest rate swaps were utilized and detracted modestly from relative performance. Currency forward contracts were used to hedge certain non-U.S. dollar positions. On an overall net basis, the currency strategies modestly benefitted relative performance.
During the year, the Fund remained true to its overall objective of seeking current income consistent with conservation of capital.
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 derivatives and by its ability to select sub-advisers to allocate assets. Some derivatives 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. The use of certain derivatives may also have a leveraging effect which may increase the volatility of the Fund and may reduce its returns. It is possible to lose money by investing in the Fund.
At December 31, 2016, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
| | | | |
| | | % | |
Corporate Bonds | | | 29.0 | |
Foreign Bonds | | | 17.5 | |
Mortgage-Backed Securities | | | 16.2 | |
U.S. Treasury Obligations | | | 15.2 | |
Asset-Backed Securities | | | 14.6 | |
Money Market Funds | | | 9.5 | |
Repurchase Agreements | | | 2.7 | |
Certificates of Deposit | | | 2.4 | |
Agency Obligations | | | 1.9 | |
Municipal Bonds | | | 1.5 | |
Commercial Paper | | | 0.6 | |
Purchased Option | | | — | ** |
Written Options | | | — | ** |
Security Sold Short | | | (0.2 | ) |
| | | | |
| | | 110.9 | |
| | | | |
**Rounds to less than 0.05%
67
Low-Duration Bond Fund (Unaudited)
| | | | | | |
| Average Annual Total Returns as of 12/31/16 |
| | | Institutional Class* | | Investor Class* | | Benchmark** |
One Year | | 1.74% | | 1.47% | | 0.89% |
Five Year | | 1.60% | | 1.37% | | 0.57% |
Ten Year | | 2.92% | | 2.72% | | 2.12% |
Since Inception | | 3.01% | | 2.85% | | 2.47% |
Inception Date | | 08/27/01 | | 08/27/01 | | |
Total Fund Operating Expenses (May 1, 2016 Prospectus)(1) | | 0.37% | | 0.64% | | |
(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 GuideStoneFunds.com. 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 Investor Class of the Fund for the 10-year period from December 31, 2006 to December 31, 2016, with all dividends and capital gains reinvested, with the BofA Merrill Lynch 1-3 Year US 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.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
68
| | | | |
LOW-DURATION BOND FUND | | | | |
SCHEDULE OF INVESTMENTS | | | December 31, 2016 | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
AGENCY OBLIGATIONS — 1.9% | | | | | | | |
Federal Home Loan Banks | | | | | | | | | | | | |
1.25%, 01/16/19 | | | | $ | 3,250,000 | | | | | $ | 3,249,844 | |
Federal Home Loan Mortgage Corporation | | | | | | | | | | | | |
1.00%, 04/27/18 | | | | | 2,760,000 | | | | | | 2,757,372 | |
1.00%, 06/29/18 | | | | | 2,870,000 | | | | | | 2,865,881 | |
1.13%, 04/15/19 | | | | | 1,550,000 | | | | | | 1,544,248 | |
0.88%, 07/19/19 | | | | | 2,880,000 | | | | | | 2,843,024 | |
Federal National Mortgage Association | | | | | | | | | | | | |
1.00%, 08/28/19D | | | | | 2,970,000 | | | | | | 2,938,156 | |
| | | | | | | | | | | | |
Total Agency Obligations
(Cost $16,269,433) | | | | | | 16,198,525 | |
| | | | | | | | | | | | |
ASSET-BACKED SECURITIES — 14.6% | |
American Homes 4 Rent
Series 2014-SFR1 | | | | | | | | | | | | |
1.74%, 06/17/31 144A† | | | | | 499,612 | | | | | | 497,841 | |
AmeriCredit Automobile Receivables Trust
Series 2014-1 | | | | | | | | | | | | |
2.15%, 03/09/20 | | | | | 825,000 | | | | | | 829,658 | |
AmeriCredit Automobile Receivables Trust
Series 2014-3 | | | | | | | | | | | | |
3.13%, 10/08/20 | | | | | 915,000 | | | | | | 929,367 | |
AmeriCredit Automobile Receivables Trust
Series 2016-2 | | | | | | | | | | | | |
1.60%, 11/09/20 | | | | | 590,000 | | | | | | 588,923 | |
2.21%, 05/10/21 | | | | | 790,000 | | | | | | 790,209 | |
2.87%, 11/08/21 | | | | | 230,000 | | | | | | 231,271 | |
AmeriCredit Automobile Receivables Trust
Series 2016-3 | | | | | | | | | | | | |
1.46%, 05/10/21 | | | | | 1,280,000 | | | | | | 1,273,583 | |
AMMC CLO XIII, Ltd.
Series 2013-13A | | | | | | | | | | | | |
2.33%, 01/26/26 144A† | | | | | 2,000,000 | | | | | | 2,000,168 | |
Apidos CLO XIV
Series 2013-14A | | | | | | | | | | | | |
2.03%, 04/15/25 144A† | | | | | 2,090,000 | | | | | | 2,081,577 | |
2.58%, 04/15/25 144A† | | | | | 250,000 | | | | | | 248,446 | |
Arbor Realty Commercial Real Estate, Ltd.
Series 2016-FL1A | | | | | | | | | | | | |
2.24%, 09/15/26 144A† | | | | | 490,000 | | | | | | 490,933 | |
ARES XXVI CLO, Ltd.
Series 2013-1A | | | | | | | | | | | | |
1.98%, 04/15/25 144A† | | | | | 515,000 | | | | | | 514,318 | |
ARES XXVII CLO, Ltd. Series 2013-2A | | | | | | | | | | | | |
2.14%, 07/28/25+ 144A† | | | | | 2,215,000 | | | | | | 2,214,506 | |
Atrium X Series 10A | | | | | | | | | | | | |
2.00%, 07/16/25 144A† | | | | | 600,000 | | | | | | 599,698 | |
Babson CLO, Ltd.
Series 2013-IA | | | | | | | | | | | | |
1.98%, 04/20/25 144A† | | | | | 1,200,000 | | | | | | 1,198,766 | |
Babson CLO, Ltd.
Series 2015-IA | | | | | | | | | | | | |
3.73%, 04/20/27 144A† | | | | | 600,000 | | | | | | 600,100 | |
Bear Stearns Asset-Backed Securities Trust
Series 2004-SD1 | | | | | | | | | | | | |
1.21%, 12/25/42† | | | | | 78,062 | | | | | | 76,740 | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
Bear Stearns Asset-Backed Securities Trust
Series 2007-HE7 | | | | | | | | | | | | |
1.76%, 10/25/37† | | | | $ | 545,248 | | | | | $ | 509,914 | |
BlueMountain CLO, Ltd. Series 2012-1A | | | | | | | | | | | | |
2.20%, 07/20/23 144A† | | | | | 1,708,720 | | | | | | 1,708,776 | |
BMW Vehicle Owner Trust Series 2016-A | | | | | | | | | | | | |
1.16%, 11/25/20 | | | | | 1,530,000 | | | | | | 1,515,129 | |
Capital Auto Receivables
Asset Trust
Series 2013-1 | | | | | | | | | | | | |
1.74%, 10/22/18 | | | | | 84,863 | | | | | | 84,897 | |
Capital Auto Receivables
Asset Trust
Series 2016-2 | | | | | | | | | | | | |
2.11%, 03/22/21 | | | | | 170,000 | | | | | | 168,822 | |
2.42%, 06/21/21 | | | | | 340,000 | | | | | | 335,495 | |
Capital One Multi-Asset Execution Trust
Series 2015-A2 | | | | | | | | | | | | |
2.08%, 03/15/23 | | | | | 1,000,000 | | | | | | 1,003,124 | |
Capital One Multi-Asset Execution Trust
Series 2016-A4 | | | | | | | | | | | | |
1.33%, 06/15/22 | | | | | 2,320,000 | | | | | | 2,288,880 | |
Carlyle Global Market Strategies CLO, Ltd.
Series 2014-1A | | | | | | | | | | | | |
2.18%, 04/17/25 144A† | | | | | 475,000 | | | | | | 474,763 | |
Cent CLO 18, Ltd.
Series 2013-18A | | | | | | | | | | | | |
2.00%, 07/23/25 144A† | | | | | 1,400,000 | | | | | | 1,397,319 | |
CenterPoint Energy Transition Bond Co. IV, LLC
Series 2012-1 | | | | | | | | | | | | |
0.90%, 04/15/18 | | | | | 155,612 | | | | | | 155,554 | |
Chesapeake Funding II LLC Series 2016-1A | | | | | | | | | | | | |
2.11%, 03/15/28 144A | | | | | 1,870,000 | | | | | | 1,867,765 | |
Chesapeake Funding II LLC Series 2016-2A | | | | | | | | | | | | |
1.88%, 06/15/28 144A | | | | | 1,950,000 | | | | | | 1,944,940 | |
CIFC Funding 2015-II, Ltd. Series 2015-2A | | | | | | | | | | | | |
3.88%, 04/15/27 144A† | | | | | 700,000 | | | | | | 701,133 | |
CNH Equipment Trust
Series 2016-B | | | | | | | | | | | | |
1.63%, 08/15/21 | | | | | 1,020,000 | | | | | | 1,015,852 | |
CNH Equipment Trust
Series 2016-C | | | | | | | | | | | | |
1.44%, 12/15/21 | | | | | 1,140,000 | | | | | | 1,128,726 | |
Colony American Homes
Series 2014-1A | | | | | | | | | | | | |
2.14%, 05/17/31 144A† | | | | | 538,413 | | | | | | 537,937 | |
Colony American Homes Series 2014-2A | | | | | | | | | | | | |
1.71%, 07/17/31 144A† | | | | | 824,827 | | | | | | 820,790 | |
Colony Starwood Homes Trust
Series 2016-2A | | | | | | | | | | | | |
1.99%, 12/17/33 144A† | | | | | 1,077,530 | | | | | | 1,078,341 | |
Conseco Financial Corporation
Series 1998-1 | | | | | | | | | | | | |
6.04%, 11/01/29 | | | | | 1,658 | | | | | | 1,670 | |
| | | | |
| | See Notes to Financial Statements. | | 69 |
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | | | Par | | | | | Value | |
Credit Acceptance Auto
Loan Trust
Series 2015-1A | | | | | | | | | | | | |
2.00%, 07/15/22 144A | | | | $ | 1,140,000 | | | | | $ | 1,142,050 | |
Credit Acceptance
Auto Loan Trust
Series 2016-2A | | | | | | | | | | | | |
2.42%, 11/15/23 144A | | | | | 2,080,000 | | | | | | 2,077,679 | |
Crusade ABS Trust
Series 2012-1 | | | | | | | | | | | | |
2.62%, 07/12/23(A)† | | | | | 177,902 | | | | | | 128,371 | |
CSAB Mortgage-Backed Trust
Series 2006-2 | | | | | | | | | | | | |
5.72%, 09/25/36 STEP | | | | | 421,487 | | | | | | 262,541 | |
CWABS, Inc. Asset-Backed
Certificates Trust
Series 2004-6 | | | | | | | | | | | | |
1.30%, 12/25/34† | | | | | 1,371,092 | | | | | | 1,299,147 | |
Discover Card Execution Note Trust
Series 2016-A4 | | | | | | | | | | | | |
1.39%, 03/15/22 | | | | | 2,220,000 | | | | | | 2,194,660 | |
Drive Auto Receivables Trust
Series 2015-AA | | | | | | | | | | | | |
2.28%, 06/17/19 144A | | | | | 961,794 | | | | | | 963,150 | |
Drive Auto Receivables Trust
Series 2016-BA | | | | | | | | | | | | |
1.67%, 07/15/19 144A | | | | | 320,000 | | | | | | 320,267 | |
2.56%, 06/15/20 144A | | | | | 290,000 | | | | | | 291,708 | |
3.19%, 07/15/22 144A | | | | | 590,000 | | | | | | 594,453 | |
Drug Royalty II LP 2
Series 2014-1 | | | | | | | | | | | | |
3.73%, 07/15/23 144A† | | | | | 178,231 | | | | | | 179,463 | |
Dryden XXII Senior Loan Fund
Series 2011-22A | | | | | | | | | | | | |
2.05%, 01/15/22 144A† | | | | | 796,960 | | | | | | 796,917 | |
Dryden XXIV Senior Loan Fund
Series 2012-24RA | | | | | | | | | | | | |
2.20%, 11/15/23 144A† | | | | | 800,000 | | | | | | 799,610 | |
Dryden XXVI Senior Loan Fund
Series 2013-26A | | | | | | | | | | | | |
1.98%, 07/15/25 144A† | | | | | 400,000 | | | | | | 398,472 | |
Dryden XXVIII Senior
Loan Fund
Series 2013-28A | | | | | | | | | | | | |
2.01%, 08/15/25 144A† | | | | | 930,000 | | | | | | 925,326 | |
2.46%, 08/15/25 144A† | | | | | 1,175,000 | | | | | | 1,165,021 | |
Dryden XXXI Senior Loan Fund
Series 2014-31A | | | | | | | | | | | | |
3.73%, 04/18/26 144A† | | | | | 675,000 | | | | | | 675,682 | |
Enterprise Fleet Financing LLC
Series 2016-2 | | | | | | | | | | | | |
1.74%, 02/22/22 144A | | | | | 1,550,000 | | | | | | 1,545,612 | |
2.04%, 02/22/22 144A | | | | | 730,000 | | | | | | 720,333 | |
FHLMC Structured
Pass-Through Securities
Series T-32 | | | | | | | | | | | | |
1.02%, 08/25/31† | | | | | 432,267 | | | | | | 423,860 | |
Flatiron CLO, Ltd.
Series 2011-1A | | | | | | | | | | | | |
2.43%, 01/15/23 144A† | | | | | 294,760 | | | | | | 294,926 | |
| | | | | | | | | | | | |
| | | | | Par | | | | | Value | |
GCAT Series 2015-2 3.75%, | | | | | | | | | | | | |
07/25/20 STEP 144A | | | | $ | 341,428 | | | | | $ | 341,677 | |
GM Financial Automobile Leasing Trust
Series 2016-1 | | | | | | | | | | | | |
3.24%, 03/20/20 | | | | | 800,000 | | | | | | 810,234 | |
GoldenTree Loan Opportunities IV, Ltd.
Series 2007-4A | | | | | | | | | | | | |
1.63%, 08/18/22 144A† | | | | | 2,000,000 | | | | | | 1,982,114 | |
GoldenTree Loan Opportunities VII, Ltd.
Series 2013-7A | | | | | | | | | | | | |
2.03%, 04/25/25 144A† | | | | | 500,000 | | | | | | 499,616 | |
GT Loan Financing I Ltd.
Series 2013-1A | | | | | | | | | | | | |
2.16%, 10/28/24 144A† | | | | | 1,100,000 | | | | | | 1,100,046 | |
Honda Auto Receivables
Owner Trust
Series 2016-2 | | | | | | | | | | | | |
1.39%, 04/15/20 | | | | | 1,410,000 | | | | | | 1,407,814 | |
Hyundai Auto Receivables Trust
Series 2016-A | | | | | | | | | | | | |
1.56%, 09/15/20 | | | | | 940,000 | | | | | | 939,248 | |
Hyundai Auto Receivables Trust
Series 2016-B | | | | | | | | | | | | |
2.68%, 09/15/23 | | | | | 680,000 | | | | | | 662,998 | |
IFC SBA Loan-Backed
Adjustable Rate Certificate
Series 1997-1 | | | | | | | | | | | | |
1.50%, 01/15/24 144A† | | | | | 43,973 | | | | | | 42,324 | |
Invitation Homes Trust
Series 2013-SFR1 | | | | | | | | | | | | |
1.89%, 12/17/30 144A† | | | | | 742,938 | | | | | | 742,948 | |
Invitation Homes Trust
Series 2014-SFR1 | | | | | | | | | | | | |
1.74%, 06/17/31 144A† | | | | | 2,349,637 | | | | | | 2,341,100 | |
Invitation Homes Trust
Series 2014-SFR2 | | | | | | | | | | | | |
1.84%, 09/17/31 144A† | | | | | 1,461,862 | | | | | | 1,459,985 | |
JP Morgan Mortgage
Acquisition Corporation
Series 2006-FRE2 | | | | | | | | | | | | |
0.94%, 02/25/36† | | | | | 292,052 | | | | | | 288,670 | |
Kubota Credit Owner Trust
Series 2015-1A | | | | | | | | | | | | |
0.94%, 12/15/17 144A | | | | | 107,450 | | | | | | 107,431 | |
Kubota Credit Owner Trust
Series 2016-1A | | | | | | | | | | | | |
1.25%, 04/15/19 144A | | | | | 870,000 | | | | | | 868,193 | |
LA Arena Funding LLC
Series 1 | | | | | | | | | | | | |
7.66%, 12/15/26 144A | | | | | 159,992 | | | | | | 168,137 | |
LCM XII LP
Series 12A | | | | | | | | | | | | |
2.14%, 10/19/22 144A† | | | | | 1,190,000 | | | | | | 1,189,976 | |
LCM XVII LP
Series 17A | | | | | | | | | | | | |
2.24%, 10/15/26 144A† | | | | | 1,250,000 | | | | | | 1,251,393 | |
Madison Park Funding
XVII, Ltd.
Series 2015-17A | | | | | | | | | | | | |
3.78%, 07/21/27 144A† | | | | | 400,000 | | | | | | 400,088 | |
| | | | |
| 70 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
Mercedes-Benz Master Owner Trust
Series 2016-BA | | | | | | | | | | | | |
1.40%, 05/17/21 144A† | | | | $ | 1,354,000 | | | | | $ | 1,361,959 | |
Navient Private Education Loan Trust
Series 2014-CTA | | | | | | | | | | | | |
1.40%, 09/16/24 144A† | | | | | 110,344 | | | | | | 110,316 | |
Navient Student Loan Trust
Series 2016-5A | | | | | | | | | | | | |
2.01%, 06/25/65 144A† | | | | | 782,667 | | | | | | 794,252 | |
Navient Student Loan Trust Series 2016-6A | | | | | | | | | | | | |
1.51%, 03/25/66 144A† | | | | | 1,500,000 | | | | | | 1,500,013 | |
Nissan Auto Receivables Owner Trust
Series 2016-A | | | | | | | | | | | | |
1.59%, 07/15/22 | | | | | 2,860,000 | | | | | | 2,842,985 | |
Nissan Master Owner Receivables Trust
Series 2016-A | | | | | | | | | | | | |
1.54%, 06/15/21 | | | | | 1,440,000 | | | | | | 1,430,885 | |
Octagon Investment
Partners XIX, Ltd.
Series 2014-1A | | | | | | | | | | | | |
2.40%, 04/15/26 144A† | | | | | 865,000 | | | | | | 865,969 | |
2.88%, 04/15/26 144A† | | | | | 905,000 | | | | | | 905,121 | |
OneMain Financial
Issuance Trust
Series 2014-2A | | | | | | | | | | | | |
2.47%, 09/18/24 144A | | | | | 1,582,086 | | | | | | 1,582,738 | |
OneMain Financial
Issuance Trust
Series 2015-2A | | | | | | | | | | | | |
2.57%, 07/18/25 144A | | | | | 1,300,000 | | | | | | 1,300,046 | |
Option One Mortgage
Loan Asset-Backed Certificates Trust
Series 2005-4 | | | | | | | | | | | | |
1.02%, 11/25/35† | | | | | 176,026 | | | | | | 175,777 | |
OZLM Funding II, Ltd.
Series 2012-2A | | | | | | | | | | | | |
2.31%, 10/30/27 144A† | | | | | 950,000 | | | | | | 954,589 | |
PFS Financing Corporation
Series 2016-BA | | | | | | | | | | | | |
1.87%, 10/15/21 144A | | | | | 290,000 | | | | | | 287,100 | |
Race Point VIII CLO Ltd.
Series 2013-8A | | | | | | | | | | | | |
2.16%, 02/20/25 144A† | | | | | 1,130,000 | | | | | | 1,129,453 | |
Santander Drive Auto Receivables Trust
Series 2013-1 | | | | | | | | | | | | |
1.76%, 01/15/19 | | | | | 426,327 | | | | | | 426,672 | |
Santander Drive Auto Receivables Trust
Series 2013-A | | | | | | | | | | | | |
3.12%, 10/15/19 144A | | | | | 724,789 | | | | | | 729,549 | |
Santander Drive Auto Receivables Trust
Series 2014-3 | | | | | | | | | | | | |
2.65%, 08/17/20 | | | | | 210,000 | | | | | | 212,436 | |
Santander Drive Auto Receivables Trust
Series 2014-4 | | | | | | | | | | | | |
2.60%, 11/16/20 | | | | | 1,350,000 | | | | | | 1,360,891 | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
Santander Drive Auto Receivables Trust
Series 2015-1 | | | | | | | | | | | | |
3.24%, 04/15/21 | | | | $ | 320,000 | | | | | $ | 323,821 | |
Santander Drive Auto Receivables Trust
Series 2015-2 | | | | | | | | | | | | |
3.02%, 04/15/21 | | | | | 555,000 | | | | | | 561,084 | |
Santander Drive Auto Receivables Trust
Series 2016-2 | | | | | | | | | | | | |
1.56%, 05/15/20 | | | | | 500,000 | | | | | | 499,586 | |
2.66%, 11/15/21 | | | | | 640,000 | | | | | | 641,763 | |
Securitized Asset-Backed Receivables LLC Trust
Series 2006-OP1 | | | | | | | | | | | | |
1.13%, 10/25/35† | | | | | 2,460,386 | | | | | | 2,410,401 | |
SLC Student Loan Trust
Series 2006-2 | | | | | | | | | | | | |
1.06%, 09/15/26† | | | | | 1,385,779 | | | | | | 1,373,186 | |
SLM Private Credit Student Loan Trust
Series 2003-B | | | | | | | | | | | | |
1.36%, 03/15/22† | | | | | 120,720 | | | | | | 119,801 | |
SLM Private Credit Student Loan Trust
Series 2004-B | | | | | | | | | | | | |
1.16%, 06/15/21† | | | | | 45,395 | | | | | | 45,326 | |
SLM Private Credit Student Loan Trust
Series 2005-A | | | | | | | | | | | | |
1.16%, 06/15/23† | | | | | 979,101 | | | | | | 948,502 | |
SLM Private Education Loan Trust
Series 2010-A | | | | | | | | | | | | |
3.95%, 05/16/44 144A† | | | | | 1,304,158 | | | | | | 1,354,253 | |
SLM Private Education Loan Trust
Series 2011-B | | | | | | | | | | | | |
3.74%, 02/15/29 144A | | | | | 1,385,350 | | | | | | 1,413,193 | |
SLM Private Education Loan Trust
Series 2013-C | | | | | | | | | | | | |
1.55%, 02/15/22 144A† | | | | | 67,450 | | | | | | 67,476 | |
SLM Private Education Loan Trust
Series 2014-A | | | | | | | | | | | | |
1.85%, 01/15/26 144A† | | | | | 1,245,000 | | | | | | 1,255,656 | |
2.59%, 01/15/26 144A | | | | | 555,000 | | | | | | 556,396 | |
SMB Private Education Loan Trust
Series 2016-A | | | | | | | | | | | | |
2.70%, 05/15/31 144A | | | | | 470,000 | | | | | | 454,276 | |
SMB Private Education Loan Trust
Series 2016-B | | | | | | | | | | | | |
2.43%, 02/17/32 144A | | | | | 298,000 | | | | | | 291,577 | |
SoFi Professional Loan Program LLC
Series 2015-A | | | | | | | | | | | | |
1.79%, 03/25/33 144A† | | | | | 750,540 | | | | | | 754,276 | |
SoFi Professional Loan Program LLC
Series 2015-D | | | | | | | | | | | | |
2.72%, 10/27/36 144A | | | | | 802,789 | | | | | | 805,823 | |
| | | | |
| | See Notes to Financial Statements. | | 71 |
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Par | | | Value | |
SoFi Professional Loan Program LLC
Series 2016-C | | | | | | | | | | | | |
2.36%, 12/27/32 144A | | | | $ | 210,000 | | | | | $ | 206,822 | |
SoFi Professional Loan Program LLC
Series 2016-D | | | | | | | | | | | | |
1.53%, 04/25/33 144A | | | | | 543,716 | | | | | | 543,027 | |
2.34%, 04/25/33 144A | | | | | 190,000 | | | | | | 186,116 | |
SoFi Professional Loan Program LLC
Series 2016-F | | | | | | | | | | | | |
3.02%, 02/25/40+ 144A | | | | | 2,000,000 | | | | | | 1,993,696 | |
Sound Point CLO IV, Ltd.
Series 2013-3A | | | | | | | | | | | | |
2.25%, 01/21/26 144A† | | | | | 250,000 | | | | | | 249,979 | |
Sound Point CLO VI, Ltd.
Series 2014-2A | | | | | | | | | | | | |
2.24%, 10/20/26 144A† | | | | | 250,000 | | | | | | 249,591 | |
Springleaf Funding Trust
Series 2015-AA | | | | | | | | | | | | |
3.16%, 11/15/24 144A | | | | | 545,000 | | | | | | 549,306 | |
Structured Asset Securities
Corporation Mortgage
Loan Trust
Series 2005-7XS | | | | | | | | | | | | |
2.12%, 04/25/35† | | | | | 397,659 | | | | | | 374,691 | |
Symphony CLO VIII LP
Series 2012-8A | | | | | | | | | | | | |
1.98%, 01/09/23 144A† | | | | | 1,533,279 | | | | | | 1,533,276 | |
Symphony CLO XI, Ltd.
Series 2013-11A | | | | | | | | | | | | |
2.18%, 01/17/25 144A† | | | | | 2,210,000 | | | | | | 2,210,013 | |
Symphony CLO XV, Ltd.
Series 2014-15A | | | | | | | | | | | | |
2.33%, 10/17/26 144A† | | | | | 2,650,000 | | | | | | 2,650,678 | |
Synchrony Credit Card Master Note Trust
Series 2015-2 | | | | | | | | | | | | |
1.60%, 04/15/21 | | | | | 1,500,000 | | | | | | 1,501,266 | |
Synchrony Credit Card Master Note Trust
Series 2016-2 | | | | | | | | | | | | |
2.21%, 05/15/24 | | | | | 3,100,000 | | | | | | 3,083,171 | |
Synchrony Credit Card Master Note Trust
Series 2016-3 | | | | | | | | | | | | |
1.58%, 09/15/22 | | | | | 1,710,000 | | | | | | 1,688,524 | |
Toyota Auto Receivables Owner Trust
Series 2016-B | | | | | | | | | | | | |
1.30%, 04/15/20 | | | | | 670,000 | | | | | | 667,852 | |
Treman Park CLO, Ltd.
Series 2015-1A | | | | | | | | | | | | |
2.25%, 04/20/27 144A† | | | | | 1,000,000 | | | | | | 999,500 | |
Tryon Park CLO, Ltd.
Series 2013-1A | | | | | | | | | | | | |
2.00%, 07/15/25 144A† | | | | | 1,770,000 | | | | | | 1,768,756 | |
2.43%, 07/15/25 144A† | | | | | 1,175,000 | | | | | | 1,170,030 | |
Venture XVII CLO, Ltd.
Series 2014-17A | | | | | | | | | | | | |
3.73%, 07/15/26 144A† | | | | | 360,000 | | | | | | 360,198 | |
Verizon Owner Trust
Series 2016-1A | | | | | | | | | | | | |
1.42%, 01/20/21 144A | | | | | 300,000 | | | | | | 297,912 | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
Vibrant CLO III, Ltd.
Series 2015-3A | | | | | | | | | | | | |
2.39%, 04/20/26 144A† | | | | $ | 250,000 | | | | | $ | 249,875 | |
VOLT XL LLC
Series 2015-NP14 | | | | | | | | | | | | |
4.38%, 11/27/45 STEP 144A | | | | | 311,711 | | | | | | 314,088 | |
Voya CLO, Ltd.
Series 2013-3A | | | | | | | | | | | | |
2.68%, 01/18/26+ 144A† | | | | | 1,000,000 | | | | | | 999,952 | |
Westlake Automobile Receivables Trust
Series 2016-2A | | | | | | | | | | | | |
1.57%, 06/17/19 144A | | | | | 370,000 | | | | | | 370,324 | |
2.30%, 11/15/19 144A | | | | | 710,000 | | | | | | 710,584 | |
4.10%, 06/15/21 144A | | | | | 350,000 | | | | | | 351,404 | |
Wheels SPV 2 LLC
Series 2016-1A | | | | | | | | | | | | |
1.59%, 05/20/25 144A | | | | | 230,000 | | | | | | 229,568 | |
World Financial Network Credit Card Master Trust
Series 2016-A | | | | | | | | | | | | |
2.03%, 04/15/25 | | | | | 1,430,000 | | | | | | 1,400,572 | |
| | | | | | | | | | | | |
Total Asset-Backed Securities
(Cost $126,824,932) | | | 126,467,089 | |
| | | | | | | | | | | | |
CERTIFICATES OF DEPOSIT — 2.4% | |
Bank of Nova Scotia Houston | | | | | | | | | | | | |
1.35%, 09/27/17† | | | | | 2,170,000 | | | | | | 2,169,179 | |
Bank of Tokyo-Mitsubishi UFJ, Ltd. | | | | | | | | | | | | |
1.57%, 09/27/17† | | | | | 1,070,000 | | | | | | 1,071,341 | |
1.55%, 10/13/17† | | | | | 800,000 | | | | | | 800,811 | |
BNP Paribas | | | | | | | | | | | | |
1.52%, 09/25/17† | | | | | 2,910,000 | | | | | | 2,913,024 | |
Canadian Imperial Bank of Commerce | | | | | | | | | | | | |
1.45%, 09/26/17† | | | | | 300,000 | | | | | | 300,290 | |
Credit Agricole Corporate and Investment Bank | | | | | | | | | | | | |
0.00%, 07/12/17W† | | | | | 750,000 | | | | | | 750,000 | |
Credit Suisse AG | | | | | | | | | | | | |
1.75%, 09/12/17† | | | | | 2,500,000 | | | | | | 2,503,475 | |
Mizuho Bank, Ltd. | | | | | | | | | | | | |
1.55%, 10/03/17† | | | | | 750,000 | | | | | | 751,313 | |
Rabobank Nederland NV | | | | | | | | | | | | |
1.36%, 09/27/17† | | | | | 2,910,000 | | | | | | 2,910,635 | |
Skandinaviska Enskilda Banken | | | | | | | | | | | | |
1.32%, 09/28/17† | | | | | 2,960,000 | | | | | | 2,963,526 | |
Sumitomo Mitsui Banking Corporation | | | | | | | | | | | | |
1.50%, 10/05/17† | | | | | 2,970,000 | | | | | | 2,975,712 | |
Wells Fargo Bank NA | | | | | | | | | | | | |
1.35%, 10/06/17† | | | | | 900,000 | | | | | | 900,749 | |
| | | | | | | | | | | | |
Total Certificates of Deposit
(Cost $20,990,019) | | | 21,010,055 | |
| | | | | | | | | | | | |
COMMERCIAL PAPER — 0.6% | | | | | | | |
Chevron Corporation | | | | | | | | | | | | |
0.00%, 08/29/17W | | | | | 900,000 | | | | | | 893,829 | |
Coca-Cola Co. | | | | | | | | | | | | |
0.00%, 09/13/17W | | | | | 1,800,000 | | | | | | 1,785,467 | |
| | | | |
| 72 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
Toronto Dominion Holdings | | | | | | | | | | | | |
0.00%, 10/05/17W | | | | $ | 2,200,000 | | | | | $ | 2,176,897 | |
| | | | | | | | | | | | |
Total Commercial Paper
(Cost $4,858,835) | | | | | | | | | 4,856,193 | |
| | | | | | | | | | | | |
CORPORATE BONDS — 29.0% | | | | | | | |
Abbott Laboratories | | | | | | | | | | | | |
2.35%, 11/22/19 | | | | | 605,000 | | | | | | 606,133 | |
AbbVie, Inc. | | | | | | | | | | | | |
1.80%, 05/14/18 | | | | | 870,000 | | | | | | 870,944 | |
2.50%, 05/14/20 | | | | | 225,000 | | | | | | 225,239 | |
2.30%, 05/14/21D | | | | | 2,610,000 | | | | | | 2,559,872 | |
2.85%, 05/14/23D | | | | | 1,000,000 | | | | | | 971,474 | |
ACCO Brands Corporation | | | | | | | | | | | | |
6.75%, 04/30/20D | | | | | 130,000 | | | | | | 136,825 | |
ADT Corporation | | | | | | | | | | | | |
6.25%, 10/15/21 | | | | | 150,000 | | | | | | 163,500 | |
AES Corporation | | | | | | | | | | | | |
3.93%, 06/01/19†D | | | | | 260,000 | | | | | | 260,650 | |
7.38%, 07/01/21D | | | | | 125,000 | | | | | | 139,863 | |
Aetna, Inc. | | | | | | | | | | | | |
1.70%, 06/07/18 | | | | | 290,000 | | | | | | 289,832 | |
1.90%, 06/07/19 | | | | | 2,045,000 | | | | | | 2,041,513 | |
Air Lease Corporation | | | | | | | | | | | | |
2.63%, 09/04/18 | | | | | 940,000 | | | | | | 946,938 | |
Ally Financial, Inc. | | | | | | | | | | | | |
2.75%, 01/30/17 | | | | | 2,000,000 | | | | | | 2,000,750 | |
5.50%, 02/15/17 | | | | | 1,500,000 | | | | | | 1,506,563 | |
3.25%, 09/29/17D | | | | | 665,000 | | | | | | 670,403 | |
American Express Credit Corporation | | | | | | | | | | | | |
1.13%, 06/05/17 | | | | | 80,000 | | | | | | 79,992 | |
American Honda Finance Corporation | | | | | | | | | | | | |
1.70%, 02/22/19 | | | | | 500,000 | | | | | | 498,108 | |
1.20%, 07/12/19 | | | | | 650,000 | | | | | | 638,683 | |
American Tower Corporation REIT | | | | | | | | | | | | |
2.25%, 01/15/22D | | | | | 2,700,000 | | | | | | 2,589,289 | |
AmeriGas Partners LP | | | | | | | | | | | | |
5.50%, 05/20/25 | | | | | 270,000 | | | | | | 273,713 | |
Amgen, Inc. | | | | | | | | | | | | |
2.20%, 05/22/19 | | | | | 1,150,000 | | | | | | 1,153,747 | |
Anadarko Petroleum Corporation | | | | | | | | | | | | |
4.85%, 03/15/21D | | | | | 1,030,000 | | | | | | 1,105,437 | |
Analog Devices, Inc. | | | | | | | | | | | | |
3.50%, 12/05/26 | | | | | 315,000 | | | | | | 312,734 | |
Antero Resources Corporation | | | | | | | | | | | | |
6.00%, 12/01/20 | | | | | 265,000 | | | | | | 272,963 | |
Apache Corporation | | | | | | | | | | | | |
3.25%, 04/15/22 | | | | | 640,000 | | | | | | 650,804 | |
Apple, Inc. | | | | | | | | | | | | |
1.30%, 02/23/18D | | | | | 170,000 | | | | | | 170,154 | |
3.85%, 08/04/46 | | | | | 330,000 | | | | | | 317,008 | |
Arconic, Inc. | | | | | | | | | | | | |
5.40%, 04/15/21D | | | | | 500,000 | | | | | | 531,875 | |
Ashland, Inc. | | | | | | | | | | | | |
3.88%, 04/15/18D | | | | | 1,480,000 | | | | | | 1,524,400 | |
Astoria Financial Corporation | | | | | | | | | | | | |
5.00%, 06/19/17 | | | | | 770,000 | | | | | | 779,716 | |
AT&T, Inc. | | | | | | | | | | | | |
2.30%, 03/11/19D | | | | | 1,070,000 | | | | | | 1,074,672 | |
1.93%, 06/30/20† | | | | | 4,000,000 | | | | | | 4,023,728 | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
4.75%, 05/15/46 | | | | $ | 180,000 | | | | | $ | 171,192 | |
Autodesk, Inc. | | | | | | | | | | | | |
1.95%, 12/15/17 | | | | | 350,000 | | | | | | 350,684 | |
AutoZone, Inc. | | | | | | | | | | | | |
1.63%, 04/21/19 | | | | | 280,000 | | | | | | 277,599 | |
Aviation Capital Group Corporation | | | | | | | | | | | | |
4.63%, 01/31/18 144A | | | | | 500,000 | | | | | | 515,000 | |
2.88%, 09/17/18 144A | | | | | 2,000,000 | | | | | | 2,027,500 | |
Bank of America Corporation | | | | | | | | | | | | |
1.70%, 08/25/17 | | | | | 570,000 | | | | | | 570,852 | |
6.40%, 08/28/17D | | | | | 400,000 | | | | | | 412,332 | |
5.75%, 12/01/17D | | | | | 1,700,000 | | | | | | 1,761,334 | |
2.07%, 03/22/18† | | | | | 1,200,000 | | | | | | 1,208,294 | |
6.88%, 04/25/18 | | | | | 800,000 | | | | | | 850,596 | |
1.92%, 01/15/19† | | | | | 280,000 | | | | | | 282,589 | |
2.60%, 01/15/19 | | | | | 1,300,000 | | | | | | 1,311,757 | |
2.65%, 04/01/19 | | | | | 5,050,000 | | | | | | 5,106,116 | |
2.15%, 11/09/20 | | | | | 195,000 | | | | | | 192,642 | |
3.50%, 04/19/26D | | | | | 325,000 | | | | | | 321,299 | |
Baxalta, Inc. | | | | | | | | | | | | |
1.78%, 06/22/18† | | | | | 380,000 | | | | | | 380,176 | |
2.00%, 06/22/18 144A | | | | | 210,000 | | | | | | 210,087 | |
Becton Dickinson and Co. | | | | | | | | | | | | |
1.80%, 12/15/17D | | | | | 541,000 | | | | | | 542,357 | |
BGC Partners, Inc. | | | | | | | | | | | | |
5.13%, 05/27/21D | | | | | 1,400,000 | | | | | | 1,442,081 | |
BMW US Capital LLC | | | | | | | | | | | | |
1.50%, 04/11/19 144A | | | | | 430,000 | | | | | | 426,061 | |
Boston Scientific Corporation | | | | | | | | | | | | |
2.65%, 10/01/18 | | | | | 1,800,000 | | | | | | 1,820,511 | |
3.38%, 05/15/22D | | | | | 1,100,000 | | | | | | 1,119,437 | |
Branch Banking & Trust Co. | | | | | | | | | | | | |
1.45%, 05/10/19 | | | | | 1,180,000 | | | | | | 1,167,264 | |
Bristol-Myers Squibb Co. | | | | | | | | | | | | |
4.50%, 03/01/44 | | | | | 155,000 | | | | | | 168,501 | |
Burlington Northern Santa Fe LLC | | | | | | | | | | | | |
3.40%, 09/01/24 | | | | | 500,000 | | | | | | 515,247 | |
Cameron International Corporation | | | | | | | | | | | | |
1.40%, 06/15/17 | | | | | 270,000 | | | | | | 269,914 | |
Cantor Fitzgerald LP | | | | | | | | | | | | |
6.50%, 06/17/22 144A | | | | | 750,000 | | | | | | 801,782 | |
Capital One Bank USA NA | | | | | | | | | | | | |
2.25%, 02/13/19 | | | | | 500,000 | | | | | | 502,480 | |
Capital One Financial Corporation | | | | | | | | | | | | |
3.75%, 04/24/24 | | | | | 600,000 | | | | | | 608,768 | |
Capital One NA | | | | | | | | | | | | |
1.50%, 09/05/17 | | | | | 690,000 | | | | | | 689,256 | |
Caterpillar Financial Services Corporation | | | | | | | | | | | | |
1.50%, 02/23/18 | | | | | 300,000 | | | | | | 299,938 | |
Celgene Corporation | | | | | | | | | | | | |
2.13%, 08/15/18 | | | | | 310,000 | | | | | | 311,368 | |
CenturyLink, Inc. | | | | | | | | | | | | |
5.63%, 04/01/20D | | | | | 530,000 | | | | | | 562,463 | |
Charter Communications Operating LLC | | | | | | | | | | | | |
4.46%, 07/23/22 144A | | | | | 2,700,000 | | | | | | 2,824,745 | |
CHS/Community Health Systems, Inc. | | | | | | | | | | | | |
5.13%, 08/15/18D | | | | | 41,000 | | | | | | 40,184 | |
| | | | |
| | See Notes to Financial Statements. | | 73 |
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | | | | | |
| | | Par | | | Value | |
CIT Group, Inc. | | | | | | | | | | | | | | | | |
4.25%, 08/15/17 | | | | | | $ | 3,350,000 | | | | | | | $ | 3,400,250 | |
5.25%, 03/15/18 | | | | | | | 1,720,000 | | | | | | | | 1,786,650 | |
6.63%, 04/01/18 144A | | | | | | | 200,000 | | | | | | | | 211,250 | |
5.00%, 05/15/18 144AD | | | | | | | 175,000 | | | | | | | | 177,625 | |
5.50%, 02/15/19 144A | | | | | | | 200,000 | | | | | | | | 211,500 | |
Citigroup, Inc. | | | | | | | | | | | | | | | | |
1.55%, 08/14/17 | | | | | | | 1,300,000 | | | | | | | | 1,301,104 | |
1.80%, 02/05/18 | | | | | | | 2,030,000 | | | | | | | | 2,029,407 | |
1.88%, 06/07/19† | | | | | | | 1,000,000 | | | | | | | | 1,008,122 | |
2.70%, 03/30/21 | | | | | | | 1,100,000 | | | | | | | | 1,098,576 | |
2.07%, 08/02/21† | | | | | | | 4,200,000 | | | | | | | | 4,247,767 | |
2.36%, 09/01/23† | | | | | | | 725,000 | | | | | | | | 740,000 | |
Citizens Bank NA | | | | | | | | | | | | | | | | |
1.60%, 12/04/17 | | | | | | | 900,000 | | | | | | | | 899,258 | |
2.30%, 12/03/18 | | | | | | | 350,000 | | | | | | | | 351,950 | |
2.55%, 05/13/21 | | | | | | | 250,000 | | | | | | | | 248,720 | |
CNH Industrial Capital LLC | | | | | | | | | | | | | | | | |
3.88%, 07/16/18 | | | | | | | 530,000 | | | | | | | | 539,938 | |
3.38%, 07/15/19D | | | | | | | 275,000 | | | | | | | | 277,062 | |
Compass Bank | | | | | | | | | | | | | | | | |
1.85%, 09/29/17 | | | | | | | 500,000 | | | | | | | | 498,955 | |
ConocoPhillips Co. | | | | | | | | | | | | | | | | |
6.00%, 01/15/20 | | | | | | | 135,000 | | | | | | | | 149,190 | |
1.81%, 05/15/22†D | | | | | | | 3,100,000 | | | | | | | | 3,072,066 | |
Continental Airlines Class B Pass-Through Trust Series 2009-2 | | | | | | | | | | | | | | | | |
9.25%, 05/10/17 | | | | | | | 255,534 | | | | | | | | 260,645 | |
Continental Airlines Class B Pass-Through Trust Series 2010-1 | | | | | | | | | | | | | | | | |
6.00%, 01/12/19 | | | | | | | 261,356 | | | | | | | | 267,733 | |
Crown Castle Towers LLC | | | | | | | | | | | | | | | | |
3.22%, 05/15/22 144A | | | | | | | 1,500,000 | | | | | | | | 1,526,670 | |
CVS Health Corporation | | | | | | | | | | | | | | | | |
2.25%, 08/12/19D | | | | | | | 1,110,000 | | | | | | | | 1,116,774 | |
D.R. Horton, Inc. | | | | | | | | | | | | | | | | |
3.63%, 02/15/18 | | | | | | | 700,000 | | | | | | | | 708,750 | |
3.75%, 03/01/19 | | | | | | | 109,000 | | | | | | | | 111,453 | |
4.00%, 02/15/20 | | | | | | | 1,100,000 | | | | | | | | 1,134,375 | |
Daimler Finance North America LLC | | | | | | | | | | | | | | | | |
1.13%, 03/10/17 144A | | | | | | | 300,000 | | | | | | | | 299,941 | |
1.38%, 08/01/17 144A | | | | | | | 660,000 | | | | | | | | 660,066 | |
1.65%, 03/02/18 144A | | | | | | | 750,000 | | | | | | | | 749,152 | |
2.00%, 08/03/18 144A | | | | | | | 3,000,000 | | | | | | | | 3,004,851 | |
1.50%, 07/05/19 144A | | | | | | | 1,090,000 | | | | | | | | 1,072,815 | |
DCP Midstream Operating LP | | | | | | | | | | | | | | | | |
2.70%, 04/01/19D | | | | | | | 420,000 | | | | | | | | 416,850 | |
Devon Energy Corporation | | | | | | | | | | | | | | | | |
3.25%, 05/15/22 | | | | | | | 115,000 | | | | | | | | 114,410 | |
Diamond 1 Finance Corporation | | | | | | | | | | | | | | | | |
3.48%, 06/01/19 144A | | | | | | | 1,455,000 | | | | | | | | 1,486,127 | |
4.42%, 06/15/21 144A | | | | | | | 700,000 | | | | | | | | 725,038 | |
5.88%, 06/15/21 144A | | | | | | | 140,000 | | | | | | | | 149,001 | |
DISH DBS Corporation | | | | | | | | | | | | | | | | |
4.25%, 04/01/18 | | | | | | | 700,000 | | | | | | | | 719,509 | |
Dominion Resources, Inc. | | | | | | | | | | | | | | | | |
1.50%, 09/30/18 144A | | | | | | | 1,005,000 | | | | | | | | 995,798 | |
2.96%, 07/01/19 STEP | | | | | | | 200,000 | | | | | | | | 202,602 | |
DTE Energy Co. | | | | | | | | | | | | | | | | |
1.50%, 10/01/19 | | | | | | | 400,000 | | | | | | | | 393,613 | |
2.40%, 12/01/19 | | | | | | | 100,000 | | | | | | | | 100,562 | |
| | | | | | | | | | | | | | | | |
| | | Par | | | Value | |
eBay, Inc. | | | | | | | | | | | | | | | | |
2.50%, 03/09/18 | | | | | | $ | 280,000 | | | | | | | $ | 282,540 | |
El Paso Natural Gas Co. LLC | | | | | | | | | | | | | | | | |
5.95%, 04/15/17D | | | | | | | 1,500,000 | | | | | | | | 1,516,968 | |
Eli Lilly & Co. | | | | | | | | | | | | | | | | |
1.25%, 03/01/18 | | | | | | | 410,000 | | | | | | | | 410,167 | |
Emera US Finance LP | | | | | | | | | | | | | | | | |
2.15%, 06/15/19 144AD | | | | | | | 250,000 | | | | | | | | 249,734 | |
Energy Transfer Equity LP | | | | | | | | | | | | | | | | |
7.50%, 10/15/20 | | | | | | | 300,000 | | | | | | | | 336,000 | |
Energy Transfer Partners LP | | | | | | | | | | | | | | | | |
4.15%, 10/01/20 | | | | | | | 35,000 | | | | | | | | 36,274 | |
4.65%, 06/01/21 | | | | | | | 291,000 | | | | | | | | 302,436 | |
Enterprise Products Operating LLC | | | | | | | | | | | | | | | | |
1.65%, 05/07/18 | | | | | | | 75,000 | | | | | | | | 74,814 | |
Express Scripts Holding Co. | | | | | | | | | | | | | | | | |
1.25%, 06/02/17D | | | | | | | 380,000 | | | | | | | | 378,625 | |
Exxon Mobil Corporation | | | | | | | | | | | | | | | | |
1.44%, 03/01/18D | | | | | | | 340,000 | | | | | | | | 340,467 | |
Federal Express Corporation Pass-Through Trust Series 2012 | | | | | | | | | | | | | | | | |
2.63%, 01/15/18 144A | | | | | | | 136,637 | | | | | | | | 136,702 | |
Fidelity National Information Services, Inc. | | | | | | | | | | | | | | | | |
2.00%, 04/15/18 | | | | | | | 340,000 | | | | | | | | 341,144 | |
Fifth Third Bank | | | | | | | | | | | | | | | | |
2.30%, 03/15/19 | | | | | | | 370,000 | | | | | | | | 372,611 | |
1.63%, 09/27/19 | | | | | | | 460,000 | | | | | | | | 454,680 | |
Ford Motor Credit Co. LLC | | | | | | | | | | | | | | | | |
3.00%, 06/12/17 | | | | | | | 560,000 | | | | | | | | 563,321 | |
1.82%, 01/09/18† | | | | | | | 500,000 | | | | | | | | 501,546 | |
2.15%, 01/09/18 | | | | | | | 700,000 | | | | | | | | 701,189 | |
2.94%, 01/08/19D | | | | | | | 1,300,000 | | | | | | | | 1,315,474 | |
1.78%, 03/12/19† | | | | | | | 1,160,000 | | | | | | | | 1,162,069 | |
2.02%, 05/03/19 | | | | | | | 875,000 | | | | | | | | 867,461 | |
1.90%, 08/12/19 | | | | | | | 210,000 | | | | | | | | 206,749 | |
Fortive Corporation | | | | | | | | | | | | | | | | |
1.80%, 06/15/19 144A | | | | | | | 200,000 | | | | | | | | 198,874 | |
Freeport-McMoRan, Inc. | | | | | | | | | | | | | | | | |
2.15%, 03/01/17D | | | | | | | 210,000 | | | | | | | | 208,950 | |
3.10%, 03/15/20 | | | | | | | 400,000 | | | | | | | | 392,000 | |
6.50%, 11/15/20 144A | | | | | | | 250,000 | | | | | | | | 258,125 | |
Frontier Communications Corporation | | | | | | | | | | | | | | | | |
8.88%, 09/15/20D | | | | | | | 935,000 | | | | | | | | 999,281 | |
GameStop Corporation | | | | | | | | | | | | | | | | |
6.75%, 03/15/21 144AD | | | | | | | 350,000 | | | | | | | | 353,500 | |
General Electric Co. | | | | | | | | | | | | | | | | |
4.50%, 03/11/44 | | | | | | | 290,000 | | | | | | | | 312,058 | |
General Motors Co. | | | | | | | | | | | | | | | | |
3.50%, 10/02/18 | | | | | | | 953,000 | | | | | | | | 972,376 | |
General Motors Financial Co., Inc. | | | | | | | | | | | | | | | | |
4.75%, 08/15/17 | | | | | | | 5,800,000 | | | | | | | | 5,910,908 | |
3.00%, 09/25/17D | | | | | | | 600,000 | | | | | | | | 605,851 | |
2.40%, 04/10/18 | | | | | | | 1,300,000 | | | | | | | | 1,301,793 | |
3.10%, 01/15/19 | | | | | | | 175,000 | | | | | | | | 176,944 | |
2.40%, 05/09/19 | | | | | | | 780,000 | | | | | | | | 778,374 | |
3.70%, 11/24/20 | | | | | | | 245,000 | | | | | | | | 249,446 | |
3.20%, 07/06/21 | | | | | | | 165,000 | | | | | | | | 163,794 | |
Georgia-Pacific LLC | | | | | | | | | | | | | | | | |
3.73%, 07/15/23 144A | | | | | | | 500,000 | | | | | | | | 515,885 | |
| | | | |
| 74 | | See Notes to Financial Statements. | | |
| | | | | | | | |
| | | Par | | | Value | |
Glencore Funding LLC | | | | | | | | |
2.24%, 01/15/19 144A† | | $ | 680,000 | | | $ | 684,920 | |
Goldman Sachs Group, Inc. | | | | | | | | |
2.01%, 11/15/18† | | | 580,000 | | | | 585,674 | |
2.55%, 10/23/19 | | | 1,080,000 | | | | 1,088,661 | |
2.30%, 12/13/19 | | | 515,000 | | | | 514,779 | |
2.35%, 11/15/21 | | | 260,000 | | | | 252,893 | |
2.54%, 11/29/23†D | | | 4,700,000 | | | | 4,850,330 | |
3.50%, 11/16/26 | | | 215,000 | | | | 210,485 | |
HCA, Inc. | | | | | | | | |
3.75%, 03/15/19 | | | 1,600,000 | | | | 1,648,000 | |
Hewlett Packard Enterprise Co. | | | | | | | | |
2.45%, 10/05/17 144A | | | 3,040,000 | | | | 3,057,468 | |
2.85%, 10/05/18 144A | | | 2,400,000 | | | | 2,424,240 | |
HSBC USA, Inc. | | | | | | | | |
1.70%, 03/05/18 | | | 710,000 | | | | 709,723 | |
1.88%, 09/24/18† | | | 800,000 | | | | 802,028 | |
1.51%, 11/13/19† | | | 2,000,000 | | | | 1,994,270 | |
2.75%, 08/07/20 | | | 1,500,000 | | | | 1,503,742 | |
Hughes Satellite Systems Corporation | | | | | | | | |
6.50%, 06/15/19 | | | 275,000 | | | | 300,094 | |
Huntington National Bank | | | | | | | | |
1.31%, 04/24/17† | | | 250,000 | | | | 250,049 | |
2.20%, 11/06/18 | | | 300,000 | | | | 300,978 | |
Hyundai Capital America | | | | | | | | |
1.45%, 02/06/17 144A | | | 800,000 | | | | 800,153 | |
2.40%, 10/30/18 144A | | | 240,000 | | | | 241,065 | |
2.50%, 03/18/19 144A | | | 710,000 | | | | 712,278 | |
IAC/InterActiveCorp | | | | | | | | |
4.88%, 11/30/18 | | | 252,000 | | | | 256,221 | |
International Lease Finance Corporation | | | | | | | | |
3.88%, 04/15/18 | | | 795,000 | | | | 811,894 | |
5.88%, 04/01/19 | | | 800,000 | | | | 851,584 | |
6.25%, 05/15/19 | | | 1,300,000 | | | | 1,400,750 | |
Interpublic Group of Cos., Inc. | | | | | | | | |
2.25%, 11/15/17 | | | 283,000 | | | | 284,818 | |
Iron Mountain, Inc. REIT | | | | | | | | |
4.38%, 06/01/21 144A | | | 435,000 | | | | 445,875 | |
J.B. Hunt Transport Services, Inc. | | | | | | | | |
2.40%, 03/15/19 | | | 620,000 | | | | 622,066 | |
John Deere Capital Corporation | | | | | | | | |
1.35%, 01/16/18D | | | 195,000 | | | | 194,791 | |
1.95%, 01/08/19D | | | 550,000 | | | | 552,480 | |
JPMorgan Chase & Co. | | | | | | | | |
6.30%, 04/23/19 | | | 320,000 | | | | 349,789 | |
2.20%, 10/22/19D | | | 1,850,000 | | | | 1,858,183 | |
2.09%, 10/29/20† | | | 5,900,000 | | | | 6,010,029 | |
2.30%, 08/15/21 | | | 190,000 | | | | 186,601 | |
2.95%, 10/01/26 | | | 695,000 | | | | 664,201 | |
KeyBank NA | | | | | | | | |
1.70%, 06/01/18 | | | 900,000 | | | | 899,681 | |
2.35%, 03/08/19 | | | 440,000 | | | | 442,668 | |
Kinder Morgan Energy Partners LP | | | | | | | | |
6.50%, 04/01/20D | | | 90,000 | | | | 99,693 | |
3.50%, 03/01/21 | | | 180,000 | | | | 182,912 | |
5.80%, 03/01/21D | | | 100,000 | | | | 109,690 | |
5.00%, 10/01/21D | | | 300,000 | | | | 319,745 | |
4.15%, 03/01/22D | | | 50,000 | | | | 51,365 | |
3.95%, 09/01/22 | | | 80,000 | | | | 82,236 | |
| | | | | | | | |
| | | Par | | | Value | |
Kinder Morgan, Inc. | | | | | | | | |
7.00%, 06/15/17 | | $ | 400,000 | | | $ | 409,326 | |
2.00%, 12/01/17 | | | 210,000 | | | | 210,367 | |
3.05%, 12/01/19D | | | 290,000 | | | | 294,361 | |
Kinder Morgan Finance Co. LLC | | | | | | | | |
6.00%, 01/15/18 144A | | | 2,300,000 | | | | 2,395,358 | |
Kraft Heinz Foods Co. | | | | | | | | |
1.60%, 06/30/17 | | | 850,000 | | | | 850,785 | |
2.00%, 07/02/18 | | | 1,830,000 | | | | 1,831,082 | |
Lam Research Corporation | | | | | | | | |
2.75%, 03/15/20D | | | 203,000 | | | | 203,571 | |
Lehman Escrow Bonds | | | | | | | | |
0.00%, 01/18/12W# | | | 600,000 | | | | 35,250 | |
0.00%, 12/28/17+W# | | | 2,600,000 | | | | — | |
Lennar Corporation | | | | | | | | |
4.50%, 06/15/19 | | | 1,100,000 | | | | 1,141,250 | |
Manufacturers & Traders Trust Co. | | | | | | | | |
1.40%, 07/25/17 | | | 780,000 | | | | 780,467 | |
Medtronic, Inc. | | | | | | | | |
1.50%, 03/15/18 | | | 270,000 | | | | 270,052 | |
Metropolitan Life Global Funding I | | | | | | | | |
1.95%, 12/03/18 144A | | | 670,000 | | | | 672,689 | |
Microsoft Corporation | | | | | | | | |
3.70%, 08/08/46 | | | 500,000 | | | | 471,971 | |
Morgan Stanley | | | | | | | | |
6.63%, 04/01/18 | | | 510,000 | | | | 539,501 | |
2.45%, 02/01/19 | | | 560,000 | | | | 564,129 | |
1.62%, 07/23/19† | | | 940,000 | | | | 944,366 | |
2.38%, 07/23/19 | | | 1,253,000 | | | | 1,257,344 | |
2.03%, 01/27/20†D | | | 1,350,000 | | | | 1,362,548 | |
3.13%, 07/27/26 | | | 550,000 | | | | 526,529 | |
Motorola Solutions, Inc. | | | | | | | | |
3.50%, 09/01/21 | | | 1,900,000 | | | | 1,917,461 | |
National Oilwell Varco, Inc. | | | | | | | | |
1.35%, 12/01/17 | | | 660,000 | | | | 657,574 | |
Navient Corporation | | | | | | | | |
5.00%, 06/15/18D | | | 400,000 | | | | 401,000 | |
5.50%, 01/15/19 | | | 1,800,000 | | | | 1,872,000 | |
4.88%, 06/17/19 | | | 555,000 | | | | 575,813 | |
8.00%, 03/25/20D | | | 200,000 | | | | 222,380 | |
New York Life Global Funding | | | | | | | | |
1.55%, 11/02/18 144A | | | 710,000 | | | | 708,160 | |
Newell Rubbermaid, Inc. | | | | | | | | |
2.15%, 10/15/18 | | | 240,000 | | | | 241,297 | |
2.60%, 03/29/19 | | | 640,000 | | | | 647,372 | |
NextEra Energy Capital Holdings, Inc. | | | | | | | | |
1.65%, 09/01/18 | | | 230,000 | | | | 229,371 | |
Nissan Motor Acceptance Corporation | | | | | | | | |
1.95%, 09/12/17 144A | | | 520,000 | | | | 521,544 | |
2.00%, 03/08/19 144AD | | | 6,120,000 | | | | 6,108,439 | |
Northwest Airlines Class G-2 Pass-Through Trust Series 2002-1 | | | | | | | | |
6.26%, 11/20/21 | | | 100,949 | | | | 108,960 | |
Nuance Communications, Inc. | | | | | | | | |
5.38%, 08/15/20 144A | | | 150,000 | | | | 154,406 | |
NuStar Logistics LP | | | | | | | | |
6.75%, 02/01/21 | | | 250,000 | | | | 271,250 | |
NVIDIA Corporation | | | | | | | | |
2.20%, 09/16/21 | | | 520,000 | | | | 508,135 | |
| | | | |
| | See Notes to Financial Statements. | | 75 |
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | |
| | | Par | | | Value | |
Oracle Corporation | | | | | | | | |
1.90%, 09/15/21 | | $ | 1,100,000 | | | $ | 1,075,632 | |
4.00%, 07/15/46 | | | 505,000 | | | | 484,260 | |
Pennsylvania Electric Co. | | | | | | | | |
5.20%, 04/01/20 | | | 500,000 | | | | 535,847 | |
Penske Truck Leasing Co. LP | | | | | | | | |
3.38%, 03/15/18 144A | | | 2,900,000 | | | | 2,951,646 | |
2.50%, 06/15/19 144A | | | 190,000 | | | | 190,569 | |
3.20%, 07/15/20 144A | | | 1,000,000 | | | | 1,011,910 | |
PepsiCo, Inc. | | | | | | | | |
1.35%, 10/04/19 | | | 320,000 | | | | 317,695 | |
Pioneer Natural Resources Co. | | | | | | | | |
6.65%, 03/15/17 | | | 900,000 | | | | 909,226 | |
6.88%, 05/01/18D | | | 400,000 | | | | 424,788 | |
Plains All American Pipeline LP | | | | | | | | |
6.50%, 05/01/18D | | | 900,000 | | | | 951,397 | |
3.65%, 06/01/22 | | | 35,000 | | | | 35,234 | |
Prudential Financial, Inc. | | | | | | | | |
1.69%, 08/15/18† | | | 500,000 | | | | 501,864 | |
PSEG Power LLC | | | | | | | | |
3.00%, 06/15/21D | | | 1,400,000 | | | | 1,405,727 | |
QEP Resources, Inc. | | | | | | | | |
6.88%, 03/01/21D | | | 75,000 | | | | 80,062 | |
QUALCOMM, Inc. | | | | | | | | |
3.00%, 05/20/22D | | | 1,200,000 | | | | 1,216,844 | |
4.80%, 05/20/45 | | | 235,000 | | | | 251,721 | |
Reliance Standard Life Global Funding II | | | | | | | | |
2.15%, 10/15/18 144A | | | 1,490,000 | | | | 1,497,794 | |
Rockies Express Pipeline LLC | | | | | | | | |
6.00%, 01/15/19 144A | | | 150,000 | | | | 158,250 | |
S&P Global, Inc. | | | | | | | | |
2.50%, 08/15/18 144A | | | 270,000 | | | | 272,362 | |
3.30%, 08/14/20 | | | 800,000 | | | | 816,346 | |
Samsung Electronics America, Inc. | | | | | | | | |
1.75%, 04/10/17 144A | | | 1,150,000 | | | | 1,150,564 | |
Santander Bank NA | | | | | | | | |
2.00%, 01/12/18 | | | 600,000 | | | | 599,900 | |
Schlumberger Holdings Corporation | | | | | | | | |
2.35%, 12/21/18 144A | | | 500,000 | | | | 504,269 | |
Scripps Networks Interactive, Inc. | | | | | | | | |
3.50%, 06/15/22 | | | 900,000 | | | | 910,599 | |
Southern California Edison Co. | | | | | | | | |
1.85%, 02/01/22 | | | 1,178,571 | | | | 1,159,816 | |
Southern Co. | | | | | | | | |
1.85%, 07/01/19 | | | 740,000 | | | | 738,155 | |
2.95%, 07/01/23 | | | 1,500,000 | | | | 1,482,804 | |
Southern Power Co. | | | | | | | | |
1.85%, 12/01/17 | | | 190,000 | | | | 190,545 | |
Sprint Communications, Inc. | | | | | | | | |
9.00%, 11/15/18 144A | | | 845,000 | | | | 933,725 | |
Sprint Spectrum Co., LLC | | | | | | | | |
3.36%, 09/20/21 144A | | | 1,070,000 | | | | 1,074,676 | |
Stanley Black & Decker, Inc. | | | | | | | | |
2.45%, 11/17/18 | | | 530,000 | | | | 534,785 | |
Steel Dynamics, Inc. | | | | | | | | |
6.13%, 08/15/19D | | | 265,000 | | | | 273,096 | |
Stryker Corporation | | | | | | | | |
2.00%, 03/08/19 | | | 550,000 | | | | 550,561 | |
Sunoco LP | | | | | | | | |
5.50%, 08/01/20 | | | 85,000 | | | | 86,806 | |
| | | | | | | | |
| | | Par | | | Value | |
Synchrony Financial | | | | | | | | |
1.88%, 08/15/17 | | $ | 3,050,000 | | | $ | 3,052,861 | |
2.60%, 01/15/19 | | | 370,000 | | | | 372,047 | |
3.00%, 08/15/19 | | | 390,000 | | | | 395,293 | |
2.11%, 02/03/20† | | | 950,000 | | | | 939,668 | |
Targa Resources Partners LP | | | | | | | | |
4.13%, 11/15/19D | | | 150,000 | | | | 152,625 | |
Target Corporation | | | | | | | | |
3.63%, 04/15/46D | | | 165,000 | | | | 153,722 | |
TECO Finance, Inc. | | | | | | | | |
1.48%, 04/10/18† | | | 1,500,000 | | | | 1,498,859 | |
Tenet Healthcare Corporation | | | | | | | | |
6.25%, 11/01/18 | | | 275,000 | | | | 291,500 | |
Tesoro Corporation | | | | | | | | |
4.75%, 12/15/23 144AD | | | 930,000 | | | | 938,138 | |
Thermo Fisher Scientific, Inc. | | | | | | | | |
2.15%, 12/14/18 | | | 200,000 | | | | 201,013 | |
3.30%, 02/15/22D | | | 1,900,000 | | | | 1,932,610 | |
TIAA Asset Management Finance Co. LLC | | | | | | | | |
2.95%, 11/01/19 144A | | | 1,400,000 | | | | 1,425,127 | |
Time Warner Cable LLC | | | | | | | | |
6.75%, 07/01/18 | | | 1,000,000 | | | | 1,068,001 | |
T-Mobile USA, Inc. | | | | | | | | |
5.25%, 09/01/18 | | | 600,000 | | | | 609,750 | |
6.54%, 04/28/20 | | | 525,000 | | | | 541,406 | |
6.63%, 04/28/21 | | | 727,000 | | | | 760,624 | |
Toyota Motor Credit Corporation | | | | | | | | |
1.55%, 07/13/18D | | | 880,000 | | | | 879,979 | |
1.70%, 02/19/19 | | | 490,000 | | | | 488,604 | |
U.S. Bank NA | | | | | | | | |
1.45%, 01/29/18 | | | 450,000 | | | | 449,775 | |
United Airlines Pass-Through Trust Series 2009-2A | | | | | | | | |
9.75%, 01/15/17 | | | 916,715 | | | | 920,785 | |
United States Steel Corporation | | | | | | | | |
8.38%, 07/01/21 144A | | | 135,000 | | | | 149,584 | |
UnitedHealth Group, Inc. | | | | | | | | |
1.90%, 07/16/18 | | | 420,000 | | | | 421,961 | |
US Airways Class B Pass-Through Trust Series 2011-1 | | | | | | | | |
9.75%, 10/22/18 | | | 665,784 | | | | 744,846 | |
US Airways Class B Pass-Through Trust Series 2012-1 | | | | | | | | |
8.00%, 10/01/19 | | | 264,345 | | | | 293,753 | |
Ventas Realty LP REIT | | | | | | | | |
1.25%, 04/17/17 | | | 230,000 | | | | 229,909 | |
VEREIT Operating Partnership LP REIT | | | | | | | | |
4.13%, 06/01/21 | | | 130,000 | | | | 132,600 | |
Verizon Communications, Inc. | | | | | | | | |
1.76%, 06/17/19†D | | | 500,000 | | | | 504,727 | |
4.86%, 08/21/46 | | | 165,000 | | | | 167,852 | |
4.52%, 09/15/48 | | | 165,000 | | | | 158,872 | |
Volkswagen Group of America Finance LLC | | | | | | | | |
1.25%, 05/23/17 144A | | | 1,060,000 | | | | 1,058,384 | |
1.29%, 05/23/17 144A† | | | 2,000,000 | | | | 1,997,996 | |
1.60%, 11/20/17 144A | | | 1,370,000 | | | | 1,365,990 | |
1.65%, 05/22/18 144A | | | 619,000 | | | | 615,849 | |
| | | | |
| 76 | | See Notes to Financial Statements. | | |
| | | | | | | | |
| | | Par | | | Value | |
Walgreens Boots Alliance, Inc. | | | | | | | | |
1.75%, 11/17/17 | | $ | 230,000 | | | $ | 230,623 | |
1.75%, 05/30/18 | | | 420,000 | | | | 420,565 | |
2.70%, 11/18/19 | | | 790,000 | | | | 801,015 | |
WEA Finance LLC REIT | | | | | | | | |
1.75%, 09/15/17 144A | | | 220,000 | | | | 220,175 | |
2.70%, 09/17/19 144A | | | 260,000 | | | | 263,142 | |
Wells Fargo Bank NA | | | | | | | | |
1.65%, 01/22/18 | | | 1,080,000 | | | | 1,080,138 | |
1.75%, 05/24/19 | | | 1,145,000 | | | | 1,139,862 | |
West Corporation | | | | | | | | |
4.75%, 07/15/21 144A | | | 310,000 | | | | 317,750 | |
Western Digital Corporation | | | | | | | | |
10.50%, 04/01/24 144A | | | 430,000 | | | | 509,550 | |
Whirlpool Corporation | | | | | | | | |
1.65%, 11/01/17 | | | 340,000 | | | | 340,556 | |
Williams Partners LP | | | | | | | | |
7.25%, 02/01/17 | | | 1,325,000 | | | | 1,330,201 | |
3.60%, 03/15/22 | | | 40,000 | | | | 40,258 | |
Wm. Wrigley Jr. Co. | | | | | | | | |
2.00%, 10/20/17 144A | | | 200,000 | | | | 201,045 | |
Wyndham Worldwide Corporation | | | | | | | | |
2.95%, 03/01/17 | | | 1,000,000 | | | | 1,001,024 | |
Zimmer Biomet Holdings, Inc. | | | | | | | | |
2.00%, 04/01/18 | | | 820,000 | | | | 821,251 | |
2.70%, 04/01/20 | | | 190,000 | | | | 190,156 | |
Zoetis, Inc. | | | | | | | | |
3.45%, 11/13/20 | | | 300,000 | | | | 308,180 | |
| | | | | | | | �� |
Total Corporate Bonds
(Cost $249,849,714) | | | | 250,790,069 | |
| | | | | | | | |
FOREIGN BONDS — 17.5% | |
Australia — 1.4% | | | | | | | | |
Asciano Finance, Ltd. | | | | | | | | |
5.00%, 04/07/18 144A | | | 1,500,000 | | | | 1,541,579 | |
Australia & New Zealand Banking Group, Ltd. | | | | | | | | |
2.05%, 09/23/19 | | | 975,000 | | | | 971,438 | |
Commonwealth Bank of Australia | | | | | | | | |
1.75%, 11/02/18 | | | 610,000 | | | | 608,653 | |
2.05%, 03/15/19D | | | 590,000 | | | | 589,509 | |
Macquarie Bank, Ltd. | | | | | | | | |
5.00%, 02/22/17 144AD | | | 1,250,000 | | | | 1,256,286 | |
1.52%, 10/27/17 144A† | | | 480,000 | | | | 480,590 | |
1.60%, 10/27/17 144A | | | 860,000 | | | | 860,048 | |
Macquarie Group, Ltd. | | | | | | | | |
4.88%, 08/10/17 144A | | | 355,000 | | | | 361,290 | |
Rio Tinto Finance USA, Ltd. | | | | | | | | |
3.75%, 09/20/21D | | | 30,000 | | | | 31,539 | |
Suncorp-Metway, Ltd. | | | | | | | | |
2.10%, 05/03/19 144A | | | 1,700,000 | | | | 1,688,970 | |
Virgin Australia Pass-Through Trust Series 2013-1A | | | | | | | | |
5.00%, 10/23/23 144A | | | 422,995 | | | | 444,653 | |
Westpac Banking Corporation | | | | | | | | |
1.95%, 11/23/18 | | | 1,270,000 | | | | 1,272,436 | |
1.60%, 08/19/19D | | | 1,760,000 | | | | 1,739,704 | |
Woodside Finance, Ltd. | | | | | | | | |
4.60%, 05/10/21 144A | | | 400,000 | | | | 420,968 | |
| | | | | | | | |
| | | | | | | 12,267,663 | |
| | | | | | | | |
| | | | | | | | |
| | | Par | | | Value | |
Austria — 0.2% | | | | | | | | |
Oesterreichische
Kontrollbank AG
1.13%, 04/26/19 | | $ | 1,889,000 | | | $ | 1,864,908 | |
| | | | | | | | |
Bermuda — 0.2% | | | | | | | | |
Aircastle, Ltd. | | | | | | | | |
6.75%, 04/15/17 | | | 1,546,000 | | | | 1,562,551 | |
| | | | | | | | |
Brazil — 0.1% | | | | | | | | |
Banco Santander Brasil SA | | | | | | | | |
4.63%, 02/13/17 144A | | | 1,000,000 | | | | 1,002,231 | |
| | | | | | | | |
Canada — 1.1% | | | | | | | | |
Air Canada Class C Pass-Through Trust
Series 2013-1 | | | | | | | | |
6.63%, 05/15/18 144A | | | 710,000 | | | | 737,512 | |
Bank of Montreal | | | | | | | | |
1.90%, 08/27/21 | | | 1,690,000 | | | | 1,638,734 | |
Bank of Nova Scotia | | | | | | | | |
1.88%, 04/26/21 | | | 1,535,000 | | | | 1,498,442 | |
Canadian Natural Resources, Ltd. | | | | | | | | |
1.75%, 01/15/18 | | | 480,000 | | | | 478,962 | |
Glencore Finance Canada, Ltd. | | | | | | | | |
2.70%, 10/25/17 144A | | | 1,031,000 | | | | 1,039,094 | |
Rogers Communications, Inc. | | | | | | | | |
1.50%, 03/13/17(C)† | | | 550,000 | | | | 410,111 | |
Royal Bank of Canada | | | | | | | | |
1.63%, 04/15/19D | | | 1,320,000 | | | | 1,313,148 | |
2.20%, 09/23/19 | | | 247,000 | | | | 248,500 | |
2.10%, 10/14/20 | | | 1,050,000 | | | | 1,045,352 | |
Teck Resources, Ltd. | | | | | | | | |
8.00%, 06/01/21 144AD | | | 200,000 | | | | 220,500 | |
Thomson Reuters Corporation | | | | | | | | |
1.65%, 09/29/17 | | | 640,000 | | | | 640,830 | |
TransAlta Corporation | | | | | | | | |
1.90%, 06/03/17D | | | 112,000 | | | | 111,860 | |
TransCanada PipeLines, Ltd. | | | | | | | | |
3.13%, 01/15/19 | | | 115,000 | | | | 117,434 | |
| | | | | | | | |
| | | | | | | 9,500,479 | |
| | | | | | | | |
Cayman Islands — 0.2% | |
Alibaba Group Holding, Ltd. | | | | | | | | |
1.63%, 11/28/17 144A | | | 200,000 | | | | 199,793 | |
Baidu, Inc. | | | | | | | | |
2.25%, 11/28/17 | | | 440,000 | | | | 441,610 | |
Hutchison Whampoa International, (12) (II), Ltd. | | | | | | | | |
2.00%, 11/08/17 144A | | | 370,000 | | | | 370,688 | |
MUFG Capital Finance 4, Ltd. | | | | | | | | |
5.27%, 01/29/49(E)† | | | 200,000 | | | | 211,878 | |
Seagate HDD Cayman | | | | | | | | |
3.75%, 11/15/18D | | | 660,000 | | | | 676,665 | |
| | | | | | | | |
| | | | | | | 1,900,634 | |
| | | | | | | | |
Chile — 0.1% | | | | | | | | |
Itau CorpBanca | | | | | | | | |
3.88%, 09/22/19 144AD | | | 500,000 | | | | 516,304 | |
| | | | | | | | |
Denmark — 3.0% | | | | | | | | |
AP Moeller - Maersk A/S | | | | | | | | |
2.55%, 09/22/19 144A | | | 670,000 | | | | 667,719 | |
Nordea Kredit Realkreditaktieselskab | | | | | | | | |
2.00%, 01/01/17(D) | | | 30,000,000 | | | | 4,247,788 | |
| | | | |
| | See Notes to Financial Statements. | | 77 |
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | |
| | | Par | | | Value | |
Nykredit Realkredit A/S | | | | | | | | |
1.00%, 01/01/17(D) | | $ | 68,000,000 | | | $ | 9,628,319 | |
2.00%, 04/01/17(D) | | | 30,000,000 | | | | 4,271,596 | |
Realkredit Danmark A/S | | | | | | | | |
2.00%, 01/01/17(D) | | | 49,000,000 | | | | 6,938,053 | |
| | | | | | | | |
| | | | | | | 25,753,475 | |
| | | | | | | | |
Finland — 0.0% | | | | | | | | |
Nokia OYJ | | | | | | | | |
5.38%, 05/15/19D | | | 260,000 | | | | 275,405 | |
| | | | | | | | |
France — 2.5% | | | | | | | | |
Air Liquide Finance SA | | | | | | | | |
1.75%, 09/27/21 144A | | | 1,800,000 | | | | 1,732,619 | |
Credit Agricole SA | | | | | | | | |
1.68%, 04/15/19 144A† | | | 1,260,000 | | | | 1,265,896 | |
Dexia Credit Local SA | | | | | | | | |
1.60%, 03/23/18† | | | 9,800,000 | | | | 9,820,766 | |
Engie SA | | | | | | | | |
1.50%, 07/20/17(E) | | | 2,000,000 | | | | 2,125,476 | |
French Discount Treasury Bill | | | | | | | | |
0.00%, 02/15/17(E)W | | | 6,600,000 | | | | 6,954,226 | |
| | | | | | | | |
| | | | | | | 21,898,983 | |
| | | | | | | | |
Germany — 0.4% | | | | | | | | |
IHO Verwaltungs GmbH
| | | | | | | | |
Cash coupon 4.13% or PIK
4.88%, 09/15/21 144A | | | 400,000 | | | | 405,000 | |
KFW | | | | | | | | |
1.00%, 07/15/19D | | | 1,200,000 | | | | 1,182,096 | |
1.88%, 06/30/20D | | | 900,000 | | | | 898,557 | |
1.88%, 11/30/20 | | | 1,095,000 | | | | 1,091,317 | |
| | | | | | | | |
| | | | | | | 3,576,970 | |
| | | | | | | | |
Guernsey — 0.2% | | | | | | | | |
Credit Suisse Group Funding Guernsey, Ltd. | | | | | | | | |
3.17%, 04/16/21† | | | 1,500,000 | | | | 1,556,091 | |
3.80%, 09/15/22 | | | 450,000 | | | | 454,568 | |
| | | | | | | | |
| | | | | | | 2,010,659 | |
| | | | | | | | |
Ireland — 0.7% | | | | | | | | |
AerCap Ireland Capital, Ltd. | | | | | | | | |
2.75%, 05/15/17D | | | 700,000 | | | | 701,505 | |
Johnson Controls International PLC | | | | | | | | |
1.40%, 11/02/17 | | | 130,000 | | | | 130,235 | |
Shire Acquisitions Investments Ireland DAC | | | | | | | | |
1.90%, 09/23/19 | | | 3,465,000 | | | | 3,423,320 | |
2.40%, 09/23/21 | | | 890,000 | | | | 860,678 | |
2.88%, 09/23/23 | | | 200,000 | | | | 190,376 | |
SMBC Aviation Capital Finance DAC | | | | | | | | |
2.65%, 07/15/21 144A | | | 390,000 | | | | 375,836 | |
| | | | | | | | |
| | | | | | | 5,681,950 | |
| | | | | | | | |
Italy — 0.1% | | | | | | | | |
Intesa Sanpaolo SpA | | | | | | | | |
2.38%, 01/13/17 | | | 700,000 | | | | 700,101 | |
| | | | | | | | |
Japan — 1.0% | | | | | | | | |
Bank of Tokyo-Mitsubishi UFJ, Ltd. | | | | | | | | |
1.45%, 09/08/17 144A | | | 750,000 | | | | 749,054 | |
1.98%, 09/14/18 144A† | | | 800,000 | | | | 803,863 | |
| | | | | | | | |
| | | Par | | | Value | |
Japan Finance Organization for Municipalities | | | | | | | | |
1.50%, 09/12/17 | | $ | 200,000 | | | $ | 199,768 | |
Mitsubishi UFJ Lease & Finance Co., Ltd | | | | | | | | |
1.66%, 07/23/19† | | | 875,000 | | | | 873,180 | |
Mitsubishi UFJ Trust & Banking Corporation | | | | | | | | |
1.60%, 10/16/17 144A | | | 500,000 | | | | 499,638 | |
2.65%, 10/19/20 144A | | | 700,000 | | | | 697,895 | |
Mizuho Bank, Ltd. | | | | | | | | |
1.45%, 09/25/17 144A† | | | 300,000 | | | | 299,898 | |
1.70%, 09/25/17 144A | | | 1,110,000 | | | | 1,110,185 | |
ORIX Corporation | | | | | | | | |
3.75%, 03/09/17D | | | 1,000,000 | | | | 1,003,484 | |
Sumitomo Mitsui Banking Corporation | | | | | | | | |
1.76%, 10/19/18 | | | 400,000 | | | | 398,435 | |
Sumitomo Mitsui Financial Group, Inc. | | | | | | | | |
2.06%, 07/14/21 | | | 1,100,000 | | | | 1,064,592 | |
2.44%, 10/19/21D | | | 190,000 | | | | 187,041 | |
Sumitomo Mitsui Trust Bank, Ltd. | | | | | | | | |
2.05%, 10/18/19 144A | | | 520,000 | | | | 515,783 | |
| | | | | | | | |
| | | | | | | 8,402,816 | |
| | | | | | | | |
Jersey — 0.1% | | | | | | | | |
UBS Group Funding Jersey, Ltd. | | | | | | | | |
2.66%, 04/14/21 144A† | | | 900,000 | | | | 928,447 | |
| | | | | | | | |
Luxembourg — 0.3% | | | | | | | | |
ArcelorMittal | | | | | | | | |
6.25%, 08/05/20D | | | 500,000 | | | | 546,250 | |
Pentair Finance SA | | | | | | | | |
2.90%, 09/15/18 | | | 720,000 | | | | 728,621 | |
Telecom Italia Capital SA | | | | | | | | |
7.00%, 06/04/18 | | | 200,000 | | | | 213,500 | |
Wind Acquisition Finance SA | | | | | | | | |
4.75%, 07/15/20 144A | | | 830,000 | | | | 840,375 | |
| | | | | | | | |
| | | | | | | 2,328,746 | |
| | | | | | | | |
Mexico — 0.3% | | | | | | | | |
America Movil Sab de CV | | | | | | | | |
6.00%, 06/09/19(M) | | | 44,300,000 | | | | 2,040,356 | |
Petroleos Mexicanos | | | | | | | | |
3.50%, 07/18/18D | | | 283,000 | | | | 286,255 | |
| | | | | | | | |
| | | | | | | 2,326,611 | |
| | | | | | | | |
Netherlands — 0.9% | | | | | | | | |
Bank Nederlandse Gemeenten NV | | | | | | | | |
1.13%, 05/25/18 144A | | | 1,698,000 | | | | 1,690,666 | |
ING Bank NV | | | | | | | | |
2.00%, 11/26/18 144A | | | 1,010,000 | | | | 1,009,877 | |
2.30%, 03/22/19 144AD | | | 360,000 | | | | 361,057 | |
LeasePlan Corporation NV | | | | | | | | |
2.50%, 05/16/18 144A | | | 700,000 | | | | 701,252 | |
2.88%, 01/22/19 144A | | | 2,500,000 | | | | 2,500,442 | |
Mondelez International Holdings Netherlands BV | | | | | | | | |
1.63%, 10/28/19 144A | | | 560,000 | | | | 549,338 | |
Mylan NV | | | | | | | | |
2.50%, 06/07/19 144A | | | 610,000 | | | | 607,053 | |
| | | | |
| 78 | | See Notes to Financial Statements. | | |
| | | | | | | | |
| | | Par | | | Value | |
Schaeffler Finance BV | | | | | | | | |
4.25%, 05/15/21 144A | | $ | 200,000 | | | $ | 205,000 | |
Shell International Finance BV | | | | | | | | |
4.38%, 03/25/20 | | | 345,000 | | | | 368,716 | |
| | | | | | | | |
| | | | | | | 7,993,401 | |
| | | | | | | | |
New Zealand — 0.2% | | | | | |
BNZ International Funding, Ltd. | | | | | | | | |
1.90%, 02/26/18 144A | | | 2,000,000 | | | | 2,002,114 | |
| | | | | | | | |
Panama — 0.0% | | | | | |
Carnival Corporation | | | | | | | | |
3.95%, 10/15/20 | | | 260,000 | | | | 274,335 | |
| | | | | | | | |
Peru — 0.0% | | | | | |
Banco de Credito del Peru | | | | | | | | |
2.25%, 10/25/19 144A | | | 220,000 | | | | 217,525 | |
| | | | | | | | |
Singapore — 0.0% | | | | | |
DBS Bank, Ltd. | | | | | | | | |
3.63%, 09/21/22†D | | | 200,000 | | | | 201,819 | |
| | | | | | | | |
South Korea — 1.7% | | | | | | | | |
Busan Bank Co., Ltd. | | | | | | | | |
4.13%, 02/09/17 | | | 1,000,000 | | | | 1,002,119 | |
Hyundai Capital Services, Inc. | | | | | | | | |
1.63%, 08/30/19 144AD | | | 520,000 | | | | 512,007 | |
Industrial Bank of Korea | | | | | | | | |
2.38%, 07/17/17 | | | 2,000,000 | | | | 2,006,152 | |
KEB Hana Bank | | | | | | | | |
3.50%, 10/25/17 | | | 800,000 | | | | 811,094 | |
Korea Development Bank | | | | | | | | |
3.88%, 05/04/17D | | | 4,800,000 | | | | 4,835,122 | |
Korea Western Power Co., Ltd. | | | | | | | | |
2.88%, 10/10/18D | | | 3,000,000 | | | | 3,037,875 | |
KT Corporation | | | | | | | | |
1.75%, 04/22/17 144A | | | 2,000,000 | | | | 1,999,792 | |
2.63%, 04/22/19 | | | 800,000 | | | | 811,393 | |
| | | | | | | | |
| | | | | | | 15,015,554 | |
| | | | | | | | |
Sweden — 0.1% | | | | | | | | |
Svenska Handelsbanken AB | | | | | | | | |
1.50%, 09/06/19D | | | 835,000 | | | | 822,473 | |
| | | | | | | | |
Switzerland — 0.5% | | | | | | | | |
Credit Suisse AG | | | | | | | | |
1.75%, 01/29/18 | | | 500,000 | | | | 499,086 | |
2.30%, 05/28/19 | | | 1,055,000 | | | | 1,057,582 | |
3.63%, 09/09/24 | | | 500,000 | | | | 503,844 | |
UBS AG | | | | | | | | |
1.80%, 03/26/18 | | | 1,100,000 | | | | 1,100,960 | |
2.38%, 08/14/19 | | | 700,000 | | | | 703,657 | |
| | | | | | | | |
| | | | | | | 3,865,129 | |
| | | | | | | | |
United Kingdom — 1.7% | | | | | | | | |
Barclays PLC | | | | | | | | |
2.99%, 08/10/21† | | | 700,000 | | | | 717,771 | |
BP Capital Markets PLC | | | | | | | | |
1.68%, 05/03/19 | | | 367,000 | | | | 364,527 | |
2.52%, 01/15/20D | | | 79,000 | | | | 79,493 | |
3.22%, 11/28/23 | | | 500,000 | | | | 505,451 | |
HBOS PLC | | | | | | | | |
1.65%, 09/06/17† | | | 1,000,000 | | | | 998,340 | |
HSBC Bank PLC | | | | | | | | |
1.55%, 05/15/18 144A† | | | 1,190,000 | | | | 1,190,643 | |
| | | | | | | | |
| | | Par | | | Value | |
Jaguar Land Rover Automotive PLC | | | | | | | | |
3.50%, 03/15/20 144A | | $ | 300,000 | | | $ | 303,750 | |
Royal Bank of Scotland PLC | | | | | | | | |
9.50%, 03/16/22† | | | 1,600,000 | | | | 1,626,568 | |
10.50%, 03/16/22(E)† | | | 1,100,000 | | | | 1,181,177 | |
Santander UK Group Holdings PLC | | | | | | | | |
2.88%, 08/05/21 | | | 3,700,000 | | | | 3,665,279 | |
Santander UK PLC | | | | | | | | |
1.65%, 09/29/17 | | | 1,150,000 | | | | 1,151,346 | |
2.50%, 03/14/19 | | | 370,000 | | | | 372,279 | |
Standard Chartered PLC | | | | | | | | |
1.50%, 09/08/17 144A | | | 1,320,000 | | | | 1,315,991 | |
2.10%, 08/19/19 144A | | | 580,000 | | | | 573,735 | |
Yorkshire Building Society | | | | | | | | |
2.13%, 03/18/19(E) | | | 900,000 | | | | 986,203 | |
| | | | | | | | |
| | | | | | | 15,032,553 | |
| | | | | | | | |
Virgin Islands (British) — 0.5% | |
CNPC General Capital, Ltd. | | | | | | | | |
2.75%, 04/19/17 | | | 600,000 | | | | 601,622 | |
Sinopec Group Overseas Development 2014, Ltd. | | | | | | | | |
1.66%, 04/10/17 144A† | | | 3,000,000 | | | | 3,001,407 | |
TSMC Global, Ltd. | | | | | | | | |
1.63%, 04/03/18 144A | | | 370,000 | | | | 368,698 | |
| | | | | | | | |
| | | | | | | 3,971,727 | |
| | | | | | | | |
Total Foreign Bonds
(Cost $154,349,992) | | | | | | | 151,895,563 | |
| | | | | | | | |
MORTGAGE-BACKED SECURITIES — 16.2% | |
American Home Mortgage Assets Trust Series 2006-5 | | | | | | | | |
1.49%, 11/25/46† | | | 781,370 | | | | 404,331 | |
American Home Mortgage Investment Trust Series 2004-3 | | | | | | | | |
3.08%, 10/25/34† | | | 159,204 | | | | 159,193 | |
Apollo Trust Series 2009-1 | | | | | | | | |
2.94%, 10/03/40(A)† | | | 246,669 | | | | 179,453 | |
Banc of America Commercial Mortgage Trust Series 2007-4 | | | | | | | | |
5.81%, 02/10/51† | | | 1,290,000 | | | | 1,313,749 | |
Banc of America Commercial Mortgage Trust Series 2007-5 | | | | | | | | |
5.49%, 02/10/51 | | | 1,720,679 | | | | 1,750,308 | |
Banc of America Funding Trust Series 2006-J | | | | | | | | |
3.21%, 01/20/47† | | | 357,100 | | | | 300,171 | |
Banc of America Mortgage Trust Series 2003-L | | | | | | | | |
3.49%, 01/25/34† | | | 91,761 | | | | 90,022 | |
Banc of America Mortgage Trust Series 2004-2 | | | | | | | | |
6.50%, 10/25/31 | | | 46,618 | | | | 48,493 | |
| | | | |
| | See Notes to Financial Statements. | | 79 |
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Par | | | Value | |
Banc of America Mortgage Trust
Series 2004-I | | | | | | | | | | | | |
3.26%, 10/25/34† | | | | $ | 176,077 | | | | | $ | 174,556 | |
BBCMS Trust
Series 2015-RRI | | | | | | | | | | | | |
1.85%, 05/15/32 144A† | | | | | 2,103,959 | | | | | | 2,104,050 | |
Bear Stearns Adjustable Rate Mortgage Trust
Series 2003-8 | | | | | | | | | | | | |
3.35%, 01/25/34† | | | | | 204,789 | | | | | | 204,887 | |
Bear Stearns Adjustable Rate Mortgage Trust
Series 2004-5 | | | | | | | | | | | | |
3.52%, 07/25/34† | | | | | 228,681 | | | | | | 227,407 | |
Bear Stearns Adjustable Rate Mortgage Trust
Series 2004-7 | | | | | | | | | | | | |
3.29%, 10/25/34† | | | | | 21,758 | | | | | | 21,651 | |
Bear Stearns Adjustable Rate Mortgage Trust
Series 2005-2 | | | | | | | | | | | | |
2.92%, 03/25/35† | | | | | 370,740 | | | | | | 372,526 | |
Bear Stearns ALT-A Trust
Series 2004-10 | | | | | | | | | | | | |
1.42%, 09/25/34† | | | | | 1,457,627 | | | | | | 1,386,756 | |
Bear Stearns ALT-A Trust
Series 2004-13 | | | | | | | | | | | | |
1.50%, 11/25/34† | | | | | 122,562 | | | | | | 119,815 | |
Bear Stearns Commercial Mortgage Securities Trust
Series 2007-PW15 | | | | | | | | | | | | |
5.32%, 02/11/44 | | | | | 1,263,319 | | | | | | 1,264,832 | |
Bear Stearns Commercial Mortgage Securities Trust
Series 2007-PW17 | | | | | | | | | | | | |
5.69%, 06/11/50† | | | | | 1,592,911 | | | | | | 1,620,435 | |
Bear Stearns Commercial Mortgage Securities Trust
Series 2007-PW18 | | | | | | | | | | | | |
6.08%, 06/11/50† | | | | | 1,055,000 | | | | | | 1,088,235 | |
Bear Stearns Commercial Mortgage Securities Trust
Series 2007-T26 | | | | | | | | | | | | |
5.51%, 01/12/45† | | | | | 845,000 | | | | | | 857,251 | |
BLCP Hotel Trust
Series 2014-CLRN | | | | | | | | | | | | |
1.65%, 08/15/29 144A† | | | | | 1,920,448 | | | | | | 1,918,035 | |
CD Commercial Mortgage Trust
Series 2007-CD4 | | | | | | | | | | | | |
5.37%, 12/11/49† | | | | | 395,000 | | | | | | 395,397 | |
CDGJ Commercial Mortgage Trust
Series 2014-BXCH | | | | | | | | | | | | |
2.10%, 12/15/27 144A† | | | | | 676,360 | | | | | | 678,482 | |
CGBAM Commercial Mortgage Trust
Series 2015-SMRT | | | | | | | | | | | | |
3.21%, 04/10/28 144A | | | | | 850,000 | | | | | | 851,676 | |
Citigroup Commercial Mortgage Trust
Series 2013-SMP | | | | | | | | | | | | |
2.11%, 01/12/30 144A | | | | | 1,207,875 | | | | | | 1,210,079 | |
| | | | | | | | | | | | | | |
| | | Par | | | Value | |
COBALT Commercial Mortgage Trust
Series 2007-C3 | | | | | | | | | | | | | | |
5.76%, 05/15/46† | | | | $ | 700,000 | | | | | | | $ | 709,250 | |
COMM Mortgage Trust
Series 2013-CR12 | | | | | | | | | | | | | | |
2.90%, 10/10/46 | | | | | 2,055,000 | | | | | | | | 2,096,731 | |
COMM Mortgage Trust
Series 2013-SFS | | | | | | | | | | | | | | |
1.87%, 04/12/35 144A | | | | | 519,997 | | | | | | | | 510,527 | |
COMM Mortgage Trust
Series 2014-PAT | | | | | | | | | | | | | | |
1.48%, 08/13/27 144A† | | | | | 100,000 | | | | | | | | 99,749 | |
COMM Mortgage Trust
Series 2015-LC21 | | | | | | | | | | | | | | |
3.94%, 07/10/48 IOW† | | | | | 6,801,249 | | | | | | | | 304,481 | |
Countrywide Home Loan Mortgage Pass-Through Trust
Series 2004-29 | | | | | | | | | | | | | | |
1.30%, 02/25/35† | | | | | 114,527 | | | | | | | | 107,726 | |
Credit Suisse Commercial Mortgage Trust
Series 2008-C1 | | | | | | | | | | | | | | |
6.06%, 02/15/41† | | | | | 85,218 | | | | | | | | 85,287 | |
CSAIL Commercial Mortgage Trust
Series 2016-C6 | | | | | | | | | | | | | | |
4.23%, 01/15/49 IOW† | | | | | 997,978 | | | | | | | | 114,854 | |
CSMC Trust
Series 2013-IVR2 | | | | | | | | | | | | | | |
1.55%, 04/25/43 144A† | | | | | 841,297 | | | | | | | | 792,924 | |
DBRR Trust
Series 2011-C32 | | | | | | | | | | | | | | |
5.52%, 06/17/49 144A† | | | | | 1,754,384 | | | | | | | | 1,760,837 | |
Deutsche Alt-B Securities Mortgage Loan Trust
Series 2006-AB4 | | | | | | | | | | | | | | |
5.87%, 10/25/36 STEP | | | | | 296,603 | | | | | | | | 255,116 | |
5.89%, 10/25/36 STEP | | | | | 296,603 | | | | | | | | 255,112 | |
Eurosail-UK PLC
Series 2007-4X | | | | | | | | | | | | | | |
0.68%, 06/13/45(U)† | | | | | 148,027 | | | | | | | | 182,497 | |
Fannie Mae Connecticut Avenue Securities
Series 2013-C01 | | | | | | | | | | | | | | |
2.76%, 10/25/23† | | | | | 429,073 | | | | | | | | 432,601 | |
Fannie Mae Connecticut Avenue Securities
Series 2014-C01 | | | | | | | | | | | | | | |
2.36%, 01/25/24† | | | | | 527,260 | | | | | | | | 530,022 | |
Fannie Mae Connecticut Avenue Securities
Series 2014-C02 | | | | | | | | | | | | | | |
1.71%, 05/25/24† | | | | | 621,269 | | | | | | | | 622,508 | |
Fannie Mae Connecticut Avenue Securities
Series 2014-C03 | | | | | | | | | | | | | | |
1.96%, 07/25/24† | | | | | 349,960 | | | | | | | | 350,881 | |
Fannie Mae Connecticut Avenue Securities
Series 2016-C01 | | | | | | | | | | | | | | |
2.71%, 08/25/28† | | | | | 1,997,528 | | | | | | | | 2,012,239 | |
Fannie Mae Connecticut Avenue Securities
Series 2016-C02 | | | | | | | | | | | | | | |
2.91%, 09/25/28† | | | | | 677,188 | | | | | | | | 684,229 | |
| | | | |
| 80 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | |
| | | Par | | | Value | |
Fannie Mae Connecticut Avenue Securities
Series 2016-C05 | | | | | | | | | | | | | | |
2.11%, 01/25/29† | | | | $ | 777,525 | | | | | | | $ | 779,283 | |
Fannie Mae Grantor Trust
Series 2002-T6 | | | | | | | | | | | | | | |
3.31%, 02/25/32 | | | | | 10,665 | | | | | | | | 10,691 | |
FDIC Guaranteed Notes Trust
Series 2010-S1 | | | | | | | | | | | | | | |
3.25%, 04/25/38 144A | | | | | 242,543 | | | | | | | | 244,212 | |
FDIC Guaranteed Notes Trust
Series 2010-S4 | | | | | | | | | | | | | | |
1.34%, 12/04/20 144A† | | | | | 1,232,211 | | | | | | | | 1,233,384 | |
FDIC Trust
Series 2010-R1 | | | | | | | | | | | | | | |
2.18%, 05/25/50 144A | | | | | 348,384 | | | | | | | | 347,508 | |
Federal Home Loan Mortgage Corporation | | | | | | | | | | | | | | |
5.00%, 01/01/19 | | | | | 41,683 | | | | | | | | 42,948 | |
5.00%, 02/01/19 | | | | | 50,445 | | | | | | | | 51,681 | |
5.00%, 12/01/19 | | | | | 118,803 | | | | | | | | 122,619 | |
5.50%, 05/01/22 | | | | | 344,276 | | | | | | | | 360,995 | |
2.90%, 07/01/27† | | | | | 9,390 | | | | | | | | 9,929 | |
3.00%, 01/01/31 TBA | | | | | 4,100,000 | | | | | | | | 4,207,008 | |
2.85%, 11/01/31† | | | | | 44,372 | | | | | | | | 47,025 | |
2.77%, 04/01/32† | | | | | 6,673 | | | | | | | | 7,019 | |
2.60%, 06/01/33† | | | | | 588,276 | | | | | | | | 615,756 | |
2.75%, 10/01/34† | | | | | 139,110 | | | | | | | | 148,026 | |
3.00%, 08/01/35† | | | | | 536,395 | | | | | | | | 570,143 | |
2.59%, 09/01/35† | | | | | 258,424 | | | | | | | | 271,418 | |
2.92%, 10/01/35† | | | | | 330,734 | | | | | | | | 351,497 | |
2.50%, 04/01/36† | | | | | 416,197 | | | | | | | | 438,869 | |
Federal Home Loan Mortgage Corporation REMIC
Series 3228 | | | | | | | | | | | | | | |
1.20%, 10/15/36† | | | | | 2,241,488 | | | | | | | | 2,247,097 | |
Federal Home Loan Mortgage Corporation REMIC
Series 3710 | | | | | | | | | | | | | | |
4.00%, 08/15/25 STEP | | | | | 235,582 | | | | | | | | 249,277 | |
Federal Home Loan Mortgage Corporation REMIC
Series 3959 | | | | | | | | | | | | | | |
4.50%, 11/15/41 | | | | | 588,088 | | | | | | | | 632,820 | |
Federal Home Loan Mortgage Corporation REMIC
Series 3986 | | | | | | | | | | | | | | |
4.50%, 09/15/41 | | | | | 613,896 | | | | | | | | 657,070 | |
Federal Home Loan Mortgage Corporation REMIC
Series 4390 | | | | | | | | | | | | | | |
3.50%, 06/15/50 | | | | | 627,769 | | | | | | | | 650,245 | |
Federal Home Loan Mortgage Corporation REMIC
Series 4446 | | | | | | | | | | | | | | |
3.50%, 12/15/50 | | | | | 1,201,305 | | | | | | | | 1,255,114 | |
Federal Home Loan Mortgage Corporation REMIC
Series 4593 | | | | | | | | | | | | | | |
4.00%, 04/15/54 | | | | | 1,481,744 | | | | | | | | 1,590,448 | |
Federal National Mortgage Association | | | | | | | | | | | | | | |
5.00%, 07/01/19 | | | | | 24,868 | | | | | | | | 25,572 | |
5.00%, 05/01/21 | | | | | 181,856 | | | | | | | | 186,926 | |
5.00%, 11/01/21 | | | | | 83,019 | | | | | | | | 85,479 | |
| | | | | | | | | | | | | | |
| | | Par | | | Value | |
3.74%, 09/01/23 | | | | $ | 2,862,405 | | | | | | | $ | 3,027,078 | |
2.54%, 12/01/24 CONV† | | | | | 12,488 | | | | | | | | 12,774 | |
3.00%, 01/01/26 TBA | | | | | 865,000 | | | | | | | | 887,639 | |
3.50%, 01/01/26 TBA | | | | | 2,675,000 | | | | | | | | 2,786,859 | |
4.50%, 01/01/26 TBA | | | | | 510,000 | | | | | | | | 523,268 | |
2.50%, 01/01/28 TBA | | | | | 4,100,000 | | | | | | | | 4,106,486 | |
2.76%, 09/01/31† | | | | | 58,194 | | | | | | | | 60,901 | |
1.80%, 08/01/32† | | | | | 496,933 | | | | | | | | 515,657 | |
2.55%, 12/01/32† | | | | | 365,428 | | | | | | | | 388,942 | |
2.41%, 04/01/33† | | | | | 106,721 | | | | | | | | 113,126 | |
2.61%, 06/01/33† | | | | | 66,691 | | | | | | | | 70,804 | |
3.00%, 06/01/33† | | | | | 49,318 | | | | | | | | 52,158 | |
3.29%, 10/01/33† | | | | | 148,043 | | | | | | | | 156,531 | |
3.14%, 12/01/33† | | | | | 69,673 | | | | | | | | 73,064 | |
2.67%, 09/01/34† | | | | | 224,122 | | | | | | | | 238,108 | |
2.59%, 10/01/34† | | | | | 121,057 | | | | | | | | 127,420 | |
2.73%, 10/01/34† | | | | | 156,007 | | | | | | | | 166,020 | |
2.58%, 02/01/35† | | | | | 224,386 | | | | | | | | 236,357 | |
2.97%, 09/01/35† | | | | | 268,594 | | | | | | | | 282,535 | |
2.84%, 12/01/35† | | | | | 8,463 | | | | | | | | 8,642 | |
2.96%, 05/01/38† | | | | | 2,465,425 | | | | | | | | 2,612,772 | |
4.00%, 01/01/40 TBA | | | | | 1,445,000 | | | | | | | | 1,487,560 | |
1.74%, 08/01/42† | | | | | 353,134 | | | | | | | | 359,644 | |
3.58%, 09/01/42† | | | | | 995,771 | | | | | | | | 1,030,465 | |
2.72%, 07/01/43† | | | | | 1,625,492 | | | | | | | | 1,658,986 | |
1.74%, 07/01/44† | | | | | 205,728 | | | | | | | | 209,674 | |
1.74%, 10/01/44† | | | | | 178,151 | | | | | | | | 181,421 | |
2.71%, 06/01/45† | | | | | 1,739,276 | | | | | | | | 1,773,815 | |
Federal National Mortgage Association ACES
Series 2015-M4 | | | | | | | | | | | | | | |
2.78%, 07/25/22 IOW† | | | | | 23,130,766 | | | | | | | | 553,288 | |
Federal National Mortgage Association ACES
Series 2016-M6 | | | | | | | | | | | | | | |
1.79%, 06/25/19 | | | | | 2,000,000 | | | | | | | | 2,004,606 | |
Federal National Mortgage Association REMIC
Series 2004-80 | | | | | | | | | | | | | | |
4.00%, 11/25/19 | | | | | 23,628 | | | | | | | | 23,987 | |
Federal National Mortgage Association REMIC
Series 2006-98 | | | | | | | | | | | | | | |
1.19%, 10/25/36† | | | | | 333,057 | | | | | | | | 333,447 | |
Federal National Mortgage Association REMIC
Series 2007-100 | | | | | | | | | | | | | | |
1.31%, 10/25/37† | | | | | 671,417 | | | | | | | | 679,659 | |
Federal National Mortgage Association REMIC
Series 2010-72 | | | | | | | | | | | | | | |
1.48%, 07/25/40† | | | | | 1,552,721 | | | | | | | | 1,569,663 | |
Federal National Mortgage Association REMIC
Series 2011-48 | | | | | | | | | | | | | | |
4.00%, 06/25/26 STEP | | | | | 352,519 | | | | | | | | 369,165 | |
Federal National Mortgage Association REMIC
Series 2011-87 | | | | | | | | | | | | | | |
1.31%, 09/25/41† | | | | | 1,956,635 | | | | | | | | 1,964,078 | |
Federal National Mortgage Association REMIC
Series 2012-79 | | | | | | | | | | | | | | |
1.21%, 07/25/42† | | | | | 459,154 | | | | | | | | 458,041 | |
| | | | |
| | See Notes to Financial Statements. | | 81 |
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | | | |
| | | Par | | | Value | |
Federal National Mortgage Association REMIC
Series 2015-38 | | | | | | | | | | | | | | |
0.84%, 06/25/55† | | | | $ | 709,911 | | | | | | | $ | 704,244 | |
FHLMC Multifamily Structured Pass-Through Certificates
Series KP03 | | | | | | | | | | | | | | |
1.78%, 07/25/19 | | | | | 2,450,000 | | | | | | | | 2,441,718 | |
FHLMC Multifamily Structured Pass-Through Certificates
Series KW01 | | | | | | | | | | | | | | |
0.00%, 01/25/26 IOW† | | | | | 2,689,118 | | | | | | | | 181,241 | |
FHLMC Structured Pass-Through Securities
Series T-56 | | | | | | | | | | | | | | |
1.76%, 05/25/43† | | | | | 601,930 | | | | | | | | 609,288 | |
FHLMC Structured Pass-Through Securities
Series T-61 | | | | | | | | | | | | | | |
1.94%, 07/25/44† | | | | | 858,138 | | | | | | | | 860,071 | |
First Horizon Alternative Mortgage Securities Trust
Series 2004-AA1 | | | | | | | | | | | | | | |
3.00%, 06/25/34† | | | | | 271,888 | | | | | | | | 265,041 | |
FNBA Mortgage Loan Trust
Series 2004-AR1 | | | | | | | | | | | | | | |
1.14%, 08/19/34† | | | | | 1,263,061 | | | | | | | | 1,228,550 | |
Freddie Mac Structured Agency Credit Risk Debt Notes Series 2013-DN2 | | | | | | | | | | | | | | |
2.21%, 11/25/23† | | | | | 257,653 | | | | | | | | 258,243 | |
Freddie Mac Structured Agency Credit Risk Debt Notes
Series 2016-DNA2 | | | | | | | | | | | | | | |
2.01%, 10/25/28† | | | | | 525,011 | | | | | | | | 525,648 | |
GAHR Commercial Mortgage Trust
Series 2015-NRF | | | | | | | | | | | | | | |
2.00%, 12/15/34 144A† | | | | | 1,971,763 | | | | | | | | 1,974,824 | |
GE Commercial Mortgage Corporation Trust
Series 2007-C1 | | | | | | | | | | | | | | |
5.48%, 12/10/49† | | | | | 734,009 | | | | | | | | 736,375 | |
Giovecca Mortgages S.r.l.
Series 2011-1 | | | | | | | | | | | | | | |
0.29%, 04/23/48(E)† | | | | | 149,330 | | | | | | | | 157,508 | |
Gosforth Funding PLC
Series 2016-1A | | | | | | | | | | | | | | |
1.00%, 02/15/58 144A(U)† | | | | | 1,073,400 | | | | | | | | 1,327,409 | |
Government National Mortgage Association | | | | | | | | | | | | | | |
2.13%, 06/20/17† | | | | | 364 | | | | | | | | 364 | |
2.13%, 06/20/21† | | | | | 1,698 | | | | | | | | 1,732 | |
2.00%, 03/20/22† | | | | | 102,922 | | | | | | | | 105,327 | |
2.00%, 01/20/23† | | | | | 18,829 | | | | | | | | 19,373 | |
2.13%, 05/20/24† | | | | | 35,404 | | | | | | | | 36,372 | |
2.13%, 07/20/25† | | | | | 45,426 | | | | | | | | 46,932 | |
2.13%, 08/20/25† | | | | | 11,942 | | | | | | | | 12,343 | |
2.00%, 11/20/25† | | | | | 41,016 | | | | | | | | 42,279 | |
2.00%, 12/20/26† | | | | | 59,706 | | | | | | | | 61,684 | |
2.13%, 07/20/27† | | | | | 1,386 | | | | | | | | 1,437 | |
2.00%, 10/20/27† | | | | | 22,968 | | | | | | | | 23,746 | |
8.50%, 10/15/29 | | | | | 22,573 | | | | | | | | 23,247 | |
8.50%, 03/15/30 | | | | | 608 | | | | | | | | 611 | |
8.50%, 04/15/30 | | | | | 4,675 | | | | | | | | 4,775 | |
8.50%, 05/15/30 | | | | | 60,681 | | | | | | | | 63,439 | |
| | | | | | | | | | | | | | |
| | | Par | | | Value | |
2.13%, 05/20/30† | | | | $ | 34,174 | | | | | | | $ | 35,360 | |
8.50%, 07/15/30 | | | | | 47,036 | | | | | | | | 50,221 | |
8.50%, 08/15/30 | | | | | 6,702 | | | | | | | | 6,920 | |
8.50%, 11/15/30 | | | | | 7,547 | | | | | | | | 7,942 | |
8.50%, 12/15/30 | | | | | 27,156 | | | | | | | | 30,894 | |
8.50%, 02/15/31 | | | | | 16,122 | | | | | | | | 16,867 | |
Government National Mortgage Association
Series 2000-9 | | | | | | | | | | | | | | |
1.31%, 02/16/30† | | | | | 61,601 | | | | | | | | 62,133 | |
Government National Mortgage Association
Series 2007-30 | | | | | | | | | | | | | | |
1.04%, 05/20/37† | | | | | 181,899 | | | | | | | | 181,155 | |
Government National Mortgage Association
Series 2016-H07 | | | | | | | | | | | | | | |
1.30%, 02/20/66† | | | | | 1,392,530 | | | | | | | | 1,399,144 | |
Government National Mortgage Association
Series 2016-H22 | | | | | | | | | | | | | | |
1.30%, 10/20/66† | | | | | 2,502,124 | | | | | | | | 2,490,422 | |
GRACE Mortgage Trust
Series 2014-GRCE | | | | | | | | | | | | | | |
3.37%, 06/10/28 144A | | | | | 1,250,000 | | | | | | | | 1,296,770 | |
GreenPoint Mortgage Funding Trust
Series 2005-AR5 | | | | | | | | | | | | | | |
0.86%, 11/25/45† | | | | | 169,844 | | | | | | | | 145,576 | |
GreenPoint Mortgage Funding Trust
Series 2006-OH1 | | | | | | | | | | | | | | |
0.94%, 01/25/37† | | | | | 563,366 | | | | | | | | 449,104 | |
GS Mortgage Securities Trust
Series 2007-GG10 | | | | | | | | | | | | | | |
5.79%, 08/10/45† | | | | | 207,743 | | | | | | | | 209,863 | |
GS Mortgage Securities Trust
Series 2013-GC13 | | | | | | | | | | | | | | |
3.72%, 07/10/46† | | | | | 2,700,000 | | | | | | | | 2,816,882 | |
GSR Mortgage Loan Trust
Series 2004-11 | | | | | | | | | | | | | | |
3.31%, 09/25/34† | | | | | 308,216 | | | | | | | | 298,573 | |
GSR Mortgage Loan Trust
Series 2005-AR6 | | | | | | | | | | | | | | |
3.01%, 09/25/35† | | | | | 213,675 | | | | | | | | 220,738 | |
Hilton USA Trust
Series 2013-HLT | | | | | | | | | | | | | | |
4.41%, 11/05/30 144A | | | | | 2,503 | | | | | | | | 2,492 | |
4.45%, 11/05/30 144A† | | | | | 975,000 | | | | | | | | 976,455 | |
Impac CMB Trust
Series 2003-1 | | | | | | | | | | | | | | |
1.56%, 03/25/33† | | | | | 224,778 | | | | | | | | 217,649 | |
IndyMac INDX Mortgage Loan Trust
Series 2006-AR12 | | | | | | | | | | | | | | |
0.95%, 09/25/46† | | | | | 657,937 | | | | | | | | 540,182 | |
IndyMac INDX Mortgage Loan Trust
Series 2007-FLX3 | | | | | | | | | | | | | | |
0.86%, 06/25/37† | | | | | 367,535 | | | | | | | | 264,522 | |
JP Morgan Chase Commercial Mortgage Securities Trust
Series 2002-CIB5 | | | | | | | | | | | | | | |
5.50%, 10/12/37 144A | | | | | 137,403 | | | | | | | | 137,748 | |
| | | | |
| 82 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | |
| | | Par | | | Value | |
JP Morgan Chase Commercial Mortgage Securities Trust
Series 2007-CB19 | | | | | | | | | | | | | | |
5.71%, 02/12/49† | | | | $ | 1,412,153 | | | | | | | $ | 1,421,094 | |
JP Morgan Chase Commercial Mortgage Securities Trust
Series 2007-LD12 | | | | | | | | | | | | | | |
5.85%, 02/15/51† | | | | | 1,040,644 | | | | | | | | 1,052,335 | |
JP Morgan Chase Commercial Mortgage Securities Trust
Series 2011-C4 | | | | | | | | | | | | | | |
4.11%, 07/15/46 144A | | | | | 1,318,174 | | | | | | | | 1,356,423 | |
JP Morgan Chase Commercial Mortgage Securities Trust
Series 2012-CBX | | | | | | | | | | | | | | |
3.48%, 06/15/45 144A | | | | | 800,000 | | | | | | | | 837,331 | |
JP Morgan Chase Commercial Mortgage Securities Trust
Series 2014-FL6 | | | | | | | | | | | | | | |
2.10%, 11/15/31 144A† | | | | | 684,901 | | | | | | | | 684,077 | |
JP Morgan Chase Commercial Mortgage Securities Trust
Series 2016-JP4 | | | | | | | | | | | | | | |
4.37%, 12/15/49 IOW† | | | | | 2,000,000 | | | | | | | | 101,767 | |
JP Morgan Mortgage Trust Series 2005-A1 | | | | | | | | | | | | | | |
3.17%, 02/25/35† | | | | | 56,981 | | | | | | | | 56,068 | |
JP Morgan Mortgage Trust
Series 2013-1 | | | | | | | | | | | | | | |
2.50%, 03/25/43 144A† | | | | | 301,667 | | | | | | | | 297,614 | |
JP Morgan Mortgage Trust
Series 2016-2 | | | | | | | | | | | | | | |
2.69%, 06/25/46 144A | | | | | 1,286,683 | | | | | | | | 1,293,252 | |
LB-UBS Commercial Mortgage Trust Series 2007-C6 | | | | | | | | | | | | | | |
6.11%, 07/15/40† | | | | | 1,645,000 | | | | | | | | 1,688,264 | |
LB-UBS Commercial Mortgage Trust
Series 2007-C7 | | | | | | | | | | | | | | |
6.16%, 09/15/45† | | | | | 2,130,000 | | | | | | | | 2,199,118 | |
Luminent Mortgage Trust
Series 2006-7 | | | | | | | | | | | | | | |
0.75%, 12/25/36† | | | | | 634,120 | | | | | | | | 540,905 | |
MASTR Adjustable Rate Mortgages Trust Series 2003-6 | | | | | | | | | | | | | | |
3.31%, 12/25/33† | | | | | 281,707 | | | | | | | | 278,203 | |
Merrill Lynch Mortgage Investors Trust
Series 2004-1 | | | | | | | | | | | | | | |
2.81%, 12/25/34† | | | | | 331,955 | | | | | | | | 331,604 | |
Merrill Lynch Mortgage Investors Trust
Series 2006-1 | | | | | | | | | | | | | | |
2.76%, 02/25/36† | | | | | 382,958 | | | | | | | | 379,031 | |
Mill City Mortgage Loan Trust
Series 2016-1 | | | | | | | | | | | | | | |
2.50%, 04/25/57 144A† | | | | | 1,635,251 | | | | | | | | 1,627,860 | |
Morgan Stanley Bank of America Merrill Lynch Trust
Series 2013-C9 | | | | | | | | | | | | | | |
2.66%, 05/15/46 | | | | | 300,000 | | | | | | | | 303,872 | |
Morgan Stanley Bank of America Merrill Lynch Trust
Series 2013-C12 | | | | | | | | | | | | | | |
3.82%, 10/15/46 | | | | | 1,500,000 | | | | | | | | 1,584,424 | |
| | | | | | | | | | | | | | |
| | | Par | | | Value | |
Morgan Stanley Bank of America Merrill Lynch Trust
Series 2015-C22 | | | | | | | | | | | | | | |
3.04%, 04/15/48 | | | | $ | 2,000,000 | | | | | | | $ | 2,019,546 | |
Morgan Stanley Bank of America Merrill Lynch Trust
Series 2016-C32 | | | | | | | | | | | | | | |
0.78%, 12/15/49 IO† | | | | | 2,000,000 | | | | | | | | 111,246 | |
Morgan Stanley Capital I Trust
Series 2007-HQ11 | | | | | | | | | | | | | | |
5.48%, 02/12/44† | | | | | 1,531,843 | | | | | | | | 1,530,691 | |
Morgan Stanley Capital I Trust
Series 2007-IQ13 | | | | | | | | | | | | | | |
5.41%, 03/15/44 | | | | | 1,090,000 | | | | | | | | 1,089,050 | |
Morgan Stanley Capital I Trust Series 2007-IQ14 | | | | | | | | | | | | | | |
5.67%, 04/15/49† | | | | | 1,448,198 | | | | | | | | 1,458,516 | |
National RMBS Trust
Series 2012-2 | | | | | | | | | | | | | | |
2.72%, 06/20/44(A)† | | | | | 218,372 | | | | | | | | 157,353 | |
NCUA Guaranteed Notes Trust
Series 2010-R3 | | | | | | | | | | | | | | |
1.21%, 12/08/20† | | | | | 2,175,208 | | | | | | | | 2,180,999 | |
NCUA Guaranteed Notes Trust
Series 2011-C1 | | | | | | | | | | | | | | |
1.18%, 03/09/21 STEP† | | | | | 1,092,742 | | | | | | | | 1,088,679 | |
RFMSI Trust
Series 2003-S9 | | | | | | | | | | | | | | |
6.50%, 03/25/32 | | | | | 11,442 | | | | | | | | 11,882 | |
Rochester Financing No. 1 PLC Series 1 | | | | | | | | | | | | | | |
1.85%, 07/16/46 STEP(U)† | | | | | 270,201 | | | | | | | | 335,084 | |
Sequoia Mortgage Trust
Series 2012-1 | | | | | | | | | | | | | | |
2.87%, 01/25/42† | | | | | 233,245 | | | | | | | | 234,689 | |
Sequoia Mortgage Trust
Series 2013-1 | | | | | | | | | | | | | | |
1.45%, 02/25/43† | | | | | 392,286 | | | | | | | | 381,148 | |
Sequoia Mortgage Trust
Series 2013-4 | | | | | | | | | | | | | | |
1.55%, 04/25/43† | | | | | 499,778 | | | | | | | | 488,712 | |
Springleaf Mortgage Loan Trust
Series 2013-2A | | | | | | | | | | | | | | |
1.78%, 12/25/65 144A† | | | | | 205,448 | | | | | | | | 204,673 | |
STRIPs, Ltd.
Series 2012-1A | | | | | | | | | | | | | | |
1.50%, 12/25/44 144A | | | | | 12,551 | | | | | | | | 12,514 | |
Structured Adjustable Rate Mortgage Loan Trust
Series 2004-10 | | | | | | | | | | | | | | |
3.12%, 08/25/34† | | | | | 418,061 | | | | | | | | 407,391 | |
Structured Adjustable Rate Mortgage Loan Trust
Series 2004-13 | | | | | | | | | | | | | | |
1.06%, 09/25/34† | | | | | 108,779 | | | | | | | | 94,386 | |
Structured Asset Mortgage Investments II Trust
Series 2005-AR5 | | | | | | | | | | | | | | |
0.99%, 07/19/35† | | | | | 99,281 | | | | | | | | 88,617 | |
Structured Asset Mortgage Investments II Trust
Series 2005-AR8 | | | | | | | | | | | | | | |
1.04%, 02/25/36† | | | | | 510,166 | | | | | | | | 428,075 | |
TBW Mortgage-Backed Trust
Series 2007-2 | | | | | | | | | | | | | | |
6.02%, 07/25/37 STEP | | | | | 329,264 | | | | | | | | 243,582 | |
| | | | |
| | See Notes to Financial Statements. | | 83 |
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | |
| | | Par | | | Value | |
TORRENS Trust
Series 2013-1 | | | | | | | | |
2.57%, 04/12/44(A)† | | $ | 1,106,308 | | | $ | 795,116 | |
Towd Point Mortgage Trust
Series 2016-3 | | | | | | | | |
2.25%, 08/25/55 144A† | | | 970,936 | | | | 963,126 | |
UBS-Barclays Commercial Mortgage Trust
Series 2012-C2 | | | | | | | | |
0.00%, 05/10/63 IO 144AW† | | | 6,028,382 | | | | 296,076 | |
Wachovia Bank Commercial Mortgage Trust
Series 2007-C32 | | | | | | | | |
5.71%, 06/15/49† | | | 740,520 | | | | 746,413 | |
Waldorf Astoria Boca Raton Trust
Series 2016-BOCA | | | | | | | | |
2.05%, 06/15/29 144A† | | | 210,000 | | | | 210,754 | |
Washington Mutual Mortgage Pass-Through Certificates
Series 2002-AR6 | | | | | | | | |
1.97%, 06/25/42† | | | 14,854 | | | | 14,268 | |
Washington Mutual Mortgage Pass-Through Certificates
Series 2003-AR8 | | | | | | | | |
2.69%, 08/25/33† | | | 327,122 | | | | 330,225 | |
Washington Mutual Mortgage Pass-Through Certificates
Series 2005-AR2 | | | | | | | | |
1.07%, 01/25/45† | | | 520,201 | | | | 497,880 | |
Washington Mutual Mortgage Pass-Through Certificates
Series 2006-AR5 | | | | | | | | |
1.55%, 06/25/46† | | | 959,312 | | | | 887,451 | |
Washington Mutual Mortgage Pass-Through Certificates
Series 2006-AR19 | | | | | | | | |
1.31%, 01/25/47† | | | 497,917 | | | | 388,339 | |
Washington Mutual Mortgage Pass-Through Certificates Series 2007-HY1 | | | | | | | | |
2.52%, 02/25/37† | | | 391,358 | | | | 351,965 | |
Washington Mutual Mortgage Pass-Through Certificates
Series 2007-HY5 | | | | | | | | |
2.52%, 05/25/37† | | | 434,010 | | | | 344,873 | |
Washington Mutual Mortgage Pass-Through Certificates
Series 2007-HY7 | | | | | | | | |
2.60%, 07/25/37† | | | 1,191,642 | | | | 969,254 | |
Washington Mutual Mortgage Pass-Through Certificates
Series 2007-OA5 | | | | | | | | |
1.41%, 05/25/47 IO† | | | 190,236 | | | | 11,080 | |
Wells Fargo Commercial Mortgage Trust
Series 2010-C1 | | | | | | | | |
3.35%, 11/15/43 144A | | | 755,911 | | | | 774,486 | |
Wells Fargo Commercial Mortgage Trust
Series 2014-LC16 | | | | | | | | |
3.48%, 08/15/50 | | | 200,000 | | | | 207,508 | |
Wells Fargo Commercial Mortgage Trust
Series 2014-TISH | | | | | | | | |
3.29%, 01/15/27 144A† | | | 790,000 | | | | 770,597 | |
| | | | | | | | |
| | | Par | | | Value | |
Wells Fargo Mortgage-Backed Securities Trust
Series 2004-EE | | | | | | | | |
3.03%, 12/25/34† | | $ | 258,746 | | | $ | 260,517 | |
Wells Fargo Mortgage-Backed Securities Trust
Series 2005-AR16 | | | | | | | | |
3.14%, 08/25/33† | | | 51,781 | | | | 52,935 | |
WFRBS Commercial Mortgage Trust
Series 2012-C8 | | | | | | | | |
0.00%, 08/15/45 IO 144AW† | | | 3,028,288 | | | | 221,877 | |
| | | | | | | | |
Total Mortgage-Backed Securities
(Cost $144,399,162) | | | | 140,460,308 | |
| | | | | | | | |
MUNICIPAL BONDS — 1.5% | | | | | |
California Earthquake Authority, Revenue Bond | | | | | | | | |
1.82%, 07/01/17 | | | 480,000 | | | | 481,608 | |
2.81%, 07/01/19 | | | 1,300,000 | | | | 1,322,854 | |
Energy Northwest, Columbia Generating Station, Revenue Bond,
Series 2014-B | | | | | | | | |
1.79%, 07/01/18 | | | 400,000 | | | | 403,236 | |
North Texas Higher Education Authority, Inc., Revenue Bond,
Series 2011-1 | | | | | | | | |
1.95%, 04/01/40† | | | 2,285,753 | | | | 2,273,753 | |
State of California, General Obligation,
Series B | | | | | | | | |
1.19%, 12/01/31† | | | 3,000,000 | | | | 2,954,490 | |
State of Texas, General Obligation,
Series C-2 | | | | | | | | |
1.02%, 06/01/19† | | | 3,300,000 | | | | 3,302,409 | |
University of California, Revenue Bond,
Series Y-1 | | | | | | | | |
1.12%, 07/01/41† | | | 1,100,000 | | | | 1,100,022 | |
University of California, Revenue Bond,
Series Y-2 | | | | | | | | |
1.12%, 07/01/41† | | | 1,000,000 | | | | 1,000,020 | |
| | | | | | | | |
Total Municipal Bonds
(Cost $12,849,925) | | | | | | | 12,838,392 | |
| | | | | | | | |
| | |
| | | Notional
Amount | | | | |
PURCHASED OPTION — 0.0% | | | | | |
Put Swaption — 0.0% | | | | | | | | |
3-Month LIBOR, Strike Price 1.60%, Expires 03/06/17 (GSC)
(Cost $74,362) | | $ | 7,490,000,000 | | | | 93,048 | |
| | | | | | | | |
| | |
| | | Par | | | | |
U.S. TREASURY OBLIGATIONS — 15.2% | |
U.S. Treasury Inflationary Index Bonds | | | | | | | | |
0.13%, 04/15/18‡‡ | | | 3,900,000 | | | | 4,116,162 | |
| | | | | | | | |
U.S. Treasury Notes | | | | | | | | |
0.63%, 11/30/17D | | | 6,900,000 | | | | 6,884,772 | |
0.75%, 12/31/17 | | | 2,500,000 | | | | 2,496,240 | |
0.75%, 01/31/18 | | | 14,000,000 | | | | 13,972,924 | |
0.88%, 01/31/18 | | | 9,500,000 | | | | 9,494,433 | |
1.00%, 02/15/18D | | | 7,414,000 | | | | 7,417,907 | |
| | | | |
| 84 | | See Notes to Financial Statements. | | |
| | | | | | | | |
| | | Par | | | Value | |
0.88%, 05/31/18D | | $ | 9,829,000 | | | $ | 9,811,917 | |
0.63%, 06/30/18 | | | 5,000,000 | | | | 4,968,750 | |
1.00%, 08/15/18D | | | 15,000,000 | | | | 14,982,135 | |
1.00%, 09/15/18‡‡ | | | 5,740,000 | | | | 5,728,899 | |
0.75%, 09/30/18D | | | 2,895,000 | | | | 2,875,832 | |
1.00%, 03/15/19D | | | 6,540,000 | | | | 6,506,149 | |
0.88%, 06/15/19 | | | 515,000 | | | | 509,679 | |
1.63%, 06/30/19 | | | 4,700,000 | | | | 4,735,800 | |
0.75%, 07/15/19 | | | 10,825,000 | | | | 10,669,391 | |
1.00%, 10/15/19D | | | 4,770,000 | | | | 4,719,600 | |
1.00%, 11/15/19D | | | 16,630,000 | | | | 16,431,870 | |
1.38%, 12/15/19D | | | 5,700,000 | | | | 5,686,639 | |
| | | | | | | | |
| | | | | | | 127,892,937 | |
| | | | | | | | |
Total U.S. Treasury Obligations
(Cost $132,391,561) | | | | 132,009,099 | |
| | | | | | | | |
| | |
| | | Shares | | | | |
MONEY MARKET FUNDS — 9.5% | |
GuideStone Money Market Fund (Investor Class)¥ | | | 15,457,326 | | | | 15,457,326 | |
Northern Institutional Liquid Assets Portfolio§ | | | 67,221,467 | | | | 67,221,467 | |
| | | | | | | | |
Total Money Market Funds
(Cost $82,678,793) | | | | | | | 82,678,793 | |
| | | | | | | | |
| | |
| | | Par | | | | |
REPURCHASE AGREEMENTS — 2.7% | |
JP Morgan Securities LLC | | | | | | | | |
0.54% (dated 12/30/16, due 01/03/17, repurchase price $14,900,224, collateralized by U.S. Treasury Inflationary Index Bond, 0.125%, due 04/15/18, total market value $15,955,919) | | | 14,900,000 | | | | 14,900,000 | |
Merrill Lynch Pierce Fenner & Smith | | | | | | | | |
0.53% (dated 12/30/16, due 01/03/17, repurchase price $8,300,122, collateralized by U.S. Treasury Bond, 3.750%, due 11/15/43, total market value $8,668,490) | | | 8,300,000 | | | | 8,300,000 | |
| | | | | | | | |
Total Repurchase Agreements
(Cost $23,200,000) | | | | 23,200,000 | |
| | | | | | | | |
TOTAL INVESTMENTS — 111.1%
(Cost $968,736,728) | | | | 962,497,134 | |
| | | | | | | | |
| | | | | | | | |
| | | Notional
Amount | | | Value | |
WRITTEN OPTIONS — 0.0% | |
Put Swaptions — 0.0% | | | | | | | | |
3-Month LIBOR, Strike Price 1.65%, Expires 02/21/17 (JPM) | | $ | (3,750,000,000 | ) | | $ | (24,176 | ) |
3-Month LIBOR, Strike Price 3.01%, Expires 03/06/17 (GSC) | | | (670,000,000 | ) | | | (28,965 | ) |
| | | | | | | | |
Total Written Options | | | | | | | | |
(Premiums received $(104,147)) | | | | (53,141 | ) |
| | | | | | | | |
| | |
| | | Par | | | | |
SECURITY SOLD SHORT — (0.2)% | | | | | |
U.S. Treasury Note | | | | | | | | |
2.25%, 11/15/25
(Cost $(1,488,703)) | | | (1,500,000 | ) | | | (1,481,075 | ) |
| | | | | | | | |
Liabilities in Excess of Other
Assets — (10.9)% | | | | (94,671,443 | ) |
| | | | | | | | |
NET ASSETS — 100.0% | | | $ | 866,291,475 | |
| | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 85 |
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Swap agreements outstanding at December 31, 2016:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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.NA.IG26 Index | | | (1.00 | )% | | | 06/20/21 | | | | ICE | | | | USD | | | | 15,700,000 | | | $ | (267,105 | ) | | $ | (185,814 | ) | | $ | (81,291 | ) |
Dow Jones CDX.NA.IG26 Index | | | (1.00 | )% | | | 06/20/21 | | | | CME | | | | USD | | | | 2,882,000 | | | | (48,489 | ) | | | (40,482 | ) | | | (8,007 | ) |
Dow Jones iTraxx Index | | | (1.00 | )% | | | 06/20/21 | | | | ICE | | | | EUR | | | | 5,187,000 | | | | (84,264 | ) | | | (62,123 | ) | | | (22,141 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | (399,858 | ) | | $ | (288,419 | ) | | $ | (111,439 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Reference Obligation | | Fixed
Deal
(Pay) Rate | | | Maturity
Date | | | Counterparty | | | Currency | | | Notional
Amount | | | Market Value | | | Upfront
Premiums
Paid/
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
Interest Rate Swaps | |
3-Month LIBOR | | | (1.25 | )% | | | 06/15/18 | | | | CME | | | | USD | | | | 101,000,000 | | | $ | 64,640 | | | $ | 137,100 | | | $ | (72,460 | ) |
3-Month LIBOR | | | 1.35 | % | | | 12/28/18 | | | | CME | | | | USD | | | | 39,100,000 | | | | (75,342 | ) | | | — | | | | (75,342 | ) |
3-Month LIBOR | | | (2.00 | )% | | | 06/15/21 | | | | CME | | | | USD | | | | 13,600,000 | | | | (69,932 | ) | | | (251,891 | ) | | | 181,959 | |
MXN-TIIE-Banxico | | | 5.80 | % | | | 09/06/21 | | | | CME | | | | MXN | | | | 258,400,000 | | | | (872,729 | ) | | | (473,497 | ) | | | (399,232 | ) |
MXN-TIIE-Banxico | | | 7.20 | % | | | 12/03/21 | | | | CME | | | | MXN | | | | 31,700,000 | | | | (17,514 | ) | | | — | | | | (17,514 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | (970,877 | ) | | $ | (588,288 | ) | | $ | (382,589 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Swap agreements outstanding at December 31, 2016 | | | | | | | | | | | $ | (1,370,735 | ) | | $ | (876,707 | ) | | $ | (494,028 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| 86 | | See Notes to Financial Statements. | | |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2016, 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 | | | $ | 16,198,525 | | | | $ | — | | | | $ | 16,198,525 | | | | $ | — | |
Asset-Backed Securities | | | | 126,467,089 | | | | | — | | | | | 81,969,161 | | | | | 44,497,928 | |
Certificates of Deposit | | | | 21,010,055 | | | | | — | | | | | 21,010,055 | | | | | — | |
Commercial Paper | | | | 4,856,193 | | | | | — | | | | | 4,856,193 | | | | | — | |
Corporate Bonds | | | | 250,790,069 | | | | | — | | | | | 250,529,424 | | | | | 260,645 | |
Foreign Bonds: | | | | | | | | | | | | | | | | | | | | |
Australia | | | | 12,267,663 | | | | | — | | | | | 12,267,663 | | | | | — | |
Austria | | | | 1,864,908 | | | | | — | | | | | 1,864,908 | | | | | — | |
Bermuda | | | | 1,562,551 | | | | | — | | | | | 1,562,551 | | | | | — | |
Brazil | | | | 1,002,231 | | | | | — | | | | | 1,002,231 | | | | | — | |
Canada | | | | 9,500,479 | | | | | — | | | | | 9,500,479 | | | | | — | |
Cayman Islands | | | | 1,900,634 | | | | | — | | | | | 1,900,634 | | | | | — | |
Chile | | | | 516,304 | | | | | — | | | | | 516,304 | | | | | — | |
Denmark | | | | 25,753,475 | | | | | — | | | | | 25,753,475 | | | | | — | |
Finland | | | | 275,405 | | | | | — | | | | | 275,405 | | | | | — | |
France | | | | 21,898,983 | | | | | — | | | | | 21,898,983 | | | | | — | |
Germany | | | | 3,576,970 | | | | | — | | | | | 3,576,970 | | | | | — | |
Guernsey | | | | 2,010,659 | | | | | — | | | | | 2,010,659 | | | | | — | |
Ireland | | | | 5,681,950 | | | | | — | | | | | 5,681,950 | | | | | — | |
Italy | | | | 700,101 | | | | | — | | | | | 700,101 | | | | | — | |
Japan | | | | 8,402,816 | | | | | — | | | | | 8,402,816 | | | | | — | |
Jersey | | | | 928,447 | | | | | — | | | | | 928,447 | | | | | — | |
Luxembourg | | | | 2,328,746 | | | | | — | | | | | 2,328,746 | | | | | — | |
Mexico | | | | 2,326,611 | | | | | — | | | | | 2,326,611 | | | | | — | |
Netherlands | | | | 7,993,401 | | | | | — | | | | | 7,993,401 | | | | | — | |
New Zealand | | | | 2,002,114 | | | | | — | | | | | 2,002,114 | | | | | — | |
Panama | | | | 274,335 | | | | | — | | | | | 274,335 | | | | | — | |
Peru | | | | 217,525 | | | | | — | | | | | 217,525 | | | | | — | |
Singapore | | | | 201,819 | | | | | — | | | | | 201,819 | | | | | — | |
South Korea | | | | 15,015,554 | | | | | — | | | | | 15,015,554 | | | | | — | |
Sweden | | | | 822,473 | | | | | — | | | | | 822,473 | | | | | — | |
Switzerland | | | | 3,865,129 | | | | | — | | | | | 3,865,129 | | | | | — | |
United Kingdom | | | | 15,032,553 | | | | | — | | | | | 15,032,553 | | | | | — | |
Virgin Islands (British) | | | | 3,971,727 | | | | | — | | | | | 3,971,727 | | | | | — | |
Money Market Funds | | | | 82,678,793 | | | | | 82,678,793 | | | | | — | | | | | — | |
Mortgage-Backed Securities | | | | 140,460,308 | | | | | — | | | | | 139,214,411 | | | | | 1,245,897 | |
Municipal Bonds | | | | 12,838,392 | | | | | — | | | | | 12,838,392 | | | | | — | |
Purchased Option | | | | 93,048 | | | | | — | | | | | 93,048 | | | | | — | |
Repurchase Agreements | | | | 23,200,000 | | | | | — | | | | | 23,200,000 | | | | | — | |
U.S. Treasury Obligations | | | | 132,009,099 | | | | | — | | | | | 132,009,099 | | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | | $ | 962,497,134 | | | | $ | 82,678,793 | | | | $ | 833,813,871 | | | | $ | 46,004,470 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | | $ | 2,202,851 | | | | $ | — | | | | $ | 2,202,851 | | | | $ | — | |
Futures Contracts | | | | 16,188 | | | | | 16,188 | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | | $ | 2,219,039 | | | | $ | 16,188 | | | | $ | 2,202,851 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 87 |
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | | | | | | | | | |
| | | Total
Value | | Level 1
Quoted Prices | | Level 2
Other Significant
Observable Inputs | | Level 3
Significant
Unobservable Inputs |
Liabilities: | | | | | | | | | | | | | | | | | | | | |
Investments in Securities: | | | | | | | | | | | | | | | | | | | | |
Security Sold Short | | | $ | (1,481,075 | ) | | | $ | — | | | | $ | (1,481,075 | ) | | | $ | — | |
Written Options | | | | (53,141 | ) | | | | — | | | | | (53,141 | ) | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Liabilities - Investments in Securities | | | $ | (1,534,216 | ) | | | $ | — | | | | $ | (1,534,216 | ) | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Swap Agreements | | | $ | (1,370,735 | ) | | | $ | — | | | | $ | (1,370,735 | ) | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Liabilities - Other Financial Instruments | | | $ | (1,370,735 | ) | | | $ | — | | | | $ | (1,370,735 | ) | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
***Other financial instruments are derivative instruments not reflected in the Schedule of Investments (such as futures contracts and forwards contracts) and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the “Financial Futures Contracts” and “Forward Foreign Currency Contracts” disclosures in the Notes to Financial Statements and the “Swap agreements outstanding” disclosure on the preceding page(s), respectively.
There were no transfers between Level 1 and Level 2 during the year ended December 31, 2016.
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 swap agreements 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.
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, 12/31/15 | | $ | 46,369,508 | | | $ | 38,465,686 | | | $ | — | | | $ | 296,500 | | | $ | 7,607,322 | |
Accrued discounts/premiums | | | 1,548 | | | | 5,893 | | | | — | | | | (18 | ) | | | (4,327 | ) |
Realized gain (loss)(1) | | | (276,378 | ) | | | (41,756 | ) | | | — | | | | (47,563 | ) | | | (187,059 | ) |
Change in unrealized appreciation (depreciation)(2) | | | 590,571 | | | | 423,112 | | | | — | | | | 48,981 | | | | 118,478 | |
Purchases | | | 21,716,774 | | | | 21,716,774 | | | | — | | | | — | | | | — | |
Sales | | | (14,345,274 | ) | | | (9,312,265 | ) | | | — | | | | (118,447 | ) | | | (4,914,562 | ) |
Transfers in to Level 3(3) | | | 260,645 | | | | — | | | | 260,645 | | | | — | | | | — | |
Transfers out of Level 3(4) | | | (3,857,353 | ) | | | (2,882,784 | ) | | | — | | | | (179,453 | ) | | | (795,116 | ) |
Maturities | | | 10,037 | | | | 10,037 | | | | — | | | | — | | | | — | |
Paydowns | | | (4,465,608 | ) | | | (3,886,769 | ) | | | — | | | | — | | | | (578,839 | ) |
| | | | | | | | | | | | | | | | | | | | |
Balance, 12/31/16 | | $ | 46,004,470 | | | $ | 44,497,928 | | | $ | 260,645 | | | $ | — | | | $ | 1,245,897 | |
| | | | | | | | | | | | | | | | | | | | |
| (1) | Realized gain (loss) from the sale of Level 3 securities is included on the Statement of Operations in Net realized gain (loss) from: Investment securities. |
| (2) | Change in unrealized appreciation (depreciation) is located on the Statement of Operations in Net change in unrealized appreciation (depreciation) on: Investment securities. |
| (3) | Transfers in to Level 3 represent the value of a security at December 31, 2016 that was 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 using an objective method such as a pricing vendor. |
| (4) | Transfers out of Level 3 represent the value of securities at December 31, 2016 that were transferred from Level 3 to Level 2 of the fair value hierarchy as a result of the ability of the Fund to obtain a price using an objective method such as a pricing vendor. |
| | | | |
| 88 | | See Notes to Financial Statements. | | |
Medium-Duration Bond Fund (Unaudited)
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 three to seven years. The Investor Class of the Fund outperformed its benchmark, the Bloomberg Barclays US Aggregate Bond Index, for the one-year period ended December 31, 2016 (2.88% versus 2.65%).
The Fund maintained relatively less interest rate sensitivity and, therefore, faced a challenging first quarter as interest rates fell but ultimately outperformed its benchmark during the last three quarters. The Fund has outperformed its benchmark over the five-, seven- and 10-year and since inception periods ended December 31, 2016. Exposure to high yield and investment grade corporate credits, Treasury Inflation Protected Securities and emerging markets securities denominated in the U.S. dollar were the strongest contributors to the Fund’s relative performance, as credit spreads narrowed and inflation expectations accelerated. The slightly lower interest rate sensitivity of the Fund was also a positive contributor as rates rose over the year. The Fund maintained a yield advantage versus its benchmark which positively impacted relative performance.
Other strategies involving derivatives were utilized during the year. U.S. Treasury futures contracts, options on U.S. Treasuries and Euro-futures were used for the common purposes of managing duration, implementing yield curve positioning strategies and expressing cross-sector views. Overall, on a net basis, these positions had a modest, negative impact on performance. In an effort to better express the desired credit exposures and risks from a synthetic perspective, credit default swaps were utilized on a very modest basis. These positions were neutral to the performance of the Fund. Currency forward contracts were utilized to hedge foreign currency risk and to express active currency views. The contributions to the Fund’s performance from these currency strategies was mixed. Through the process of implementing interest rate views and emerging markets strategies during the year, interest rate swaps were used and provided a modest negative impact on the performance of the Fund.
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 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 derivatives and by its ability to select sub-advisers to allocate assets. Some derivatives 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. The use of certain derivatives may also have a leveraging effect which may increase the volatility of the Fund and may reduce its returns. It is possible to lose money by investing in the Fund.
89
Medium-Duration Bond Fund (Unaudited)
At December 31, 2016, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
| | | | |
| | | % | |
| Mortgage-Backed Securities | | | 37.2 | |
| U.S. Treasury Obligations | | | 27.9 | |
| Corporate Bonds | | | 19.0 | |
| Money Market Funds | | | 14.5 | |
| Foreign Bonds | | | 12.6 | |
| Repurchase Agreements | | | 7.3 | |
| Asset-Backed Securities | | | 5.1 | |
| Certificates of Deposit | | | 0.9 | |
| Agency Obligations | | | 0.9 | |
| Municipal Bonds | | | 0.9 | |
| Loan Agreements | | | 0.5 | |
| Purchased Options | | | 0.2 | |
| Foreign Government Inflation-Linked Bond | | | 0.1 | |
| Preferred Stock | | | — | ** |
| Written Options | | | (0.3 | ) |
| TBA Sale Commitments | | | (2.9 | ) |
| | | | |
| | | 123.9 | |
| | | | |
**Rounds to less than 0.05%
90
Medium-Duration Bond Fund (Unaudited)
| | | | | | |
| Average Annual Total Returns as of 12/31/16 |
| | | Institutional
Class* | | Investor
Class* | | Benchmark** |
One Year | | 3.21% | | 2.88% | | 2.65% |
Five Year | | 2.99% | | 2.77% | | 2.23% |
Ten Year | | 4.91% | | 4.74% | | 4.34% |
Since Inception | | 5.10% | | 4.99% | | 4.59% |
Inception Date | | 08/27/01 | | 08/27/01 | | |
Total Fund Operating Expenses (May 1, 2016 Prospectus)(1) | | 0.44% | | 0.71% | | |
(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 GuideStoneFunds.com. 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 Investor Class of the Fund for the 10-year period from December 31, 2006 to December 31, 2016, with all dividends and capital gains reinvested, with the Bloomberg Barclays US 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.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
91
| | |
MEDIUM-DURATION BOND FUND SCHEDULE OF INVESTMENTS | | December 31, 2016 |
| | | | | | | | | | | | | | | | |
| | | Par | | | Value | |
AGENCY OBLIGATIONS — 0.9% | |
Federal Home Loan Bank | | | | | | | | | | | | | | | | |
0.88%, 05/24/17 | | | | | | $ | 20,000 | | | | | | | $ | 20,011 | |
3.38%, 12/08/23 | | | | | | | 200,000 | | | | | | | | 211,680 | |
Federal National Mortgage Association | | | | | | | | | | | | | | | | |
1.92%, 10/09/19W | | | | | | | 3,350,000 | | | | | | | | 3,178,121 | |
2.63%, 09/06/24 | | | | | | | 1,000,000 | | | | | | | | 1,009,777 | |
1.88%, 09/24/26 | | | | | | | 1,500,000 | | | | | | | | 1,379,902 | |
6.25%, 05/15/29 | | | | | | | 500,000 | | | | | | | | 663,669 | |
6.63%, 11/15/30 | | | | | | | 1,170,000 | | | | | | | | 1,629,988 | |
Tennessee Valley Authority | | | | | | | | | | | | | | | | |
3.88%, 02/15/21 | | | | | | | 1,000,000 | | | | | | | | 1,076,633 | |
5.25%, 09/15/39 | | | | | | | 230,000 | | | | | | | | 289,500 | |
4.63%, 09/15/60 | | | | | | | 200,000 | | | | | | | | 223,007 | |
| | | | | | | | | | | | | | | | |
Total Agency Obligations
(Cost $9,471,067) | | | | | | | | | | | | 9,682,288 | |
| | | | | | | | | | | | | | | | |
ASSET-BACKED SECURITIES — 5.1% | |
AmeriCredit Automobile Receivables
Series 2016-1 | | | | | | | | | | | | | | | | |
1.52%, 06/10/19 | | | | | | | 482,680 | | | | | | | | 483,209 | |
Ares XXXIII CLO, Ltd.
Series 2015-1A | | | | | | | | | | | | | | | | |
2.31%, 12/05/25 144A† | | | | | | | 1,000,000 | | | | | | | | 999,500 | |
AUTO ABS
Series 2012-3 | | | | | | | | | | | | | | | | |
0.60%, 09/27/24(E) | | | | | | | 301,448 | | | | | | | | 318,471 | |
Avis Budget Rental Car Funding AESOP LLC
Series 2014-2A | | | | | | | | | | | | | | | | |
2.50%, 02/20/21 144A | | | | | | | 550,000 | | | | | | | | 547,744 | |
Bear Stearns Asset-Backed Securities Trust
Series 2007-SD1 | | | | | | | | | | | | | | | | |
6.00%, 10/25/36 | | | | | | | 1,376,506 | | | | | | | | 1,014,532 | |
6.50%, 10/25/36 | | | | | | | 2,334,176 | | | | | | | | 1,773,384 | |
BlueMountain CLO, Ltd.
Series 2012-2A | | | | | | | | | | | | | | | | |
2.30%, 11/20/28 144A† | | | | | | | 1,250,000 | | | | | | | | 1,252,068 | |
BlueMountain CLO, Ltd.
Series 2014-2A | | | | | | | | | | | | | | | | |
4.33%, 07/20/26 144A† | | | | | | | 1,000,000 | | | | | | | | 989,031 | |
BlueMountain CLO, Ltd.
Series 2015-1A | | | | | | | | | | | | | | | | |
2.07%, 04/13/27 144A† | | | | | | | 1,000,000 | | | | | | | | 1,000,000 | |
Capital One Multi-Asset Execution Trust
Series 2016-A1 | | | | | | | | | | | | | | | | |
1.15%, 02/15/22† | | | | | | | 800,000 | | | | | | | | 803,250 | |
Carlyle Global Market Strategies CLO, Ltd.
Series 2014-4 | | | | | | | | | | | | | | | | |
4.48%, 10/15/26 144A† | | | | | | | 1,000,000 | | | | | | | | 991,831 | |
Chapel BV
Series 2007 | | | | | | | | | | | | | | | | |
0.05%, 07/17/66(E)† | | | | | | | 745,614 | | | | | | | | 771,836 | |
Community Funding CLO, Ltd.
Series 2015-1A | | | | | | | | | | | | | | | | |
5.75%, 11/01/27+ STEP 144A | | | | | | | 860,000 | | | | | | | | 804,685 | |
CWHEQ Revolving Home Equity Loan Trust
Series 2005-F | | | | | | | | | | | | | | | | |
0.94%, 12/15/35† | | | | | | | 190,421 | | | | | | | | 177,145 | |
| | | | | | | | | | | | | | | | |
| | | Par | | | Value | |
CWHEQ Revolving Home Equity Loan Trust
Series 2006-E | | | | | | | | | | | | | | | | |
0.84%, 07/15/36† | | | | | | $ | 335,114 | | | | | | | $ | 290,512 | |
ECMC Group Student Loan Trust
Series 2016-1A | | | | | | | | | | | | | | | | |
2.11%, 07/26/66 144A† | | | | | | | 974,893 | | | | | | | | 972,017 | |
Edsouth Indenture No. 7 LLC
Series 2014-3 | | | | | | | | | | | | | | | | |
1.36%, 02/25/36 144A† | | | | | | | 997,896 | | | | | | | | 953,091 | |
EMC Mortgage Loan Trust
Series 2003-B | | | | | | | | | | | | | | | | |
1.31%, 11/25/41 144A† | | | | | | | 17,956 | | | | | | | | 17,088 | |
Financial Asset Securities Corporation AAA Trust
Series 2005-1A | | | | | | | | | | | | | | | | |
1.17%, 02/27/35 144A† | | | | | | | 931,270 | | | | | | | | 830,176 | |
Ford Credit Floorplan Master Owner Trust A
Series 2015-4 | | | | | | | | | | | | | | | | |
1.30%, 08/15/20† | | | | | | | 500,000 | | | | | | | | 502,145 | |
Fremont Home Loan Trust
Series 2005-E | | | | | | | | | | | | | | | | |
1.00%, 01/25/36† | | | | | | | 568,995 | | | | | | | | 568,036 | |
GMACM Home Equity Loan Trust
Series 2007-HE3 | | | | | | | | | | | | | | | | |
6.74%, 09/25/37† | | | | | | | 95,794 | | | | | | | | 98,107 | |
7.00%, 09/25/37† | | | | | | | 37,138 | | | | | | | | 36,208 | |
Goal Capital Funding Trust
Series 2007-1 | | | | | | | | | | | | | | | | |
1.09%, 09/25/28† | | | | | | | 209,059 | | | | | | | | 207,951 | |
Golden Credit Card Trust
Series 2016-5A | | | | | | | | | | | | | | | | |
1.60%, 09/15/21 144A | | | | | | | 900,000 | | | | | | | | 890,338 | |
GSAMP Trust
Series 2007-HS1 | | | | | | | | | | | | | | | | |
1.61%, 02/25/47† | | | | | | | 673,938 | | | | | | | | 667,544 | |
Hertz Vehicle Financing II LP
Series 2015-1A | | | | | | | | | | | | | | | | |
2.73%, 03/25/21 144A | | | | | | | 350,000 | | | | | | | | 347,479 | |
3.52%, 03/25/21 144A | | | | | | | 500,000 | | | | | | | | 495,992 | |
Invitation Homes Trust
Series 2015-SFR2 | | | | | | | | | | | | | | | | |
2.98%, 06/17/32 144A† | | | | | | | 250,000 | | | | | | | | 250,177 | |
Jackson Mill CLO, Ltd.
Series 2015-1A | | | | | | | | | | | | | | | | |
2.42%, 04/15/27 144A† | | | | | | | 1,000,000 | | | | | | | | 1,002,658 | |
JGWPT XXXIII LLC
Series 2014-3A | | | | | | | | | | | | | | | | |
3.50%, 06/15/77 144A | | | | | | | 404,683 | | | | | | | | 387,270 | |
LCM XXIII, Ltd.
Series 23A | | | | | | | | | | | | | | | | |
2.51%, 10/20/29 144A† | | | | | | | 1,000,000 | | | | | | | | 999,992 | |
Mississippi Higher Education Assistance Corporation
Series 2014-1 | | | | | | | | | | | | | | | | |
1.44%, 10/25/35† | | | | | | | 679,623 | | | | | | | | 661,693 | |
Navient Student Loan Trust
Series 2016-5A | | | | | | | | | | | | | | | | |
2.01%, 06/25/65 144A† | | | | | | | 2,250,169 | | | | | | | | 2,283,475 | |
Navient Student Loan Trust
Series 2016-7A | | | | | | | | | | | | | | | | |
1.91%, 03/25/66 144A† | | | | | | | 1,086,825 | | | | | | | | 1,097,905 | |
| | | | |
| 92 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | |
| | | | | | Par | | | | | | Value | |
Nelnet Student Loan Trust
Series 2006-2 | | | | | | | | | | | | | | | | |
0.98%, 01/25/30† | | | | | | $ | 1,336,528 | | | | | | | $ | 1,329,286 | |
Nissan Auto Receivables Owner Trust
Series 2016-B | | | | | | | | | | | | | | | | |
0.63%, 05/15/17 | | | | | | | 51,380 | | | | | | | | 51,380 | |
OHA Loan Funding, Ltd.
Series 2015-1A | | | | | | | | | | | | | | | | |
2.35%, 08/15/29 144A† | | | | | | | 1,000,000 | | | | | | | | 999,996 | |
OZLM XV, Ltd.
Series 2016-15A | | | | | | | | | | | | | | | | |
3.57%, 01/20/29 144A† | | | | | | | 1,000,000 | | | | | | | | 987,400 | |
Panhandle-Plains Higher Education Authority, Inc.
Series 2010-2 | | | | | | | | | | | | | | | | |
1.98%, 10/01/35† | | | | | | | 373,663 | | | | | | | | 375,589 | |
Park Place Securities, Inc. Asset-Backed Pass-Through Trust Certificates
Series 2005-WCH1 | | | | | | | | | | | | | | | | |
1.60%, 01/25/36† | | | | | | | 100,000 | | | | | | | | 98,667 | |
Penarth Master Issuer PLC
Series 2015-2A | | | | | | | | | | | | | | | | |
1.14%, 05/18/19 144A† | | | | | | | 1,700,000 | | | | | | | | 1,699,495 | |
PHEAA Student Loan Trust
Series 2012-1A | | | | | | | | | | | | | | | | |
1.31%, 05/25/57 144A† | | | | | | | 1,238,893 | | | | | | | | 1,223,669 | |
PHEAA Student Loan Trust
Series 2016-1A | | | | | | | | | | | | | | | | |
1.91%, 09/25/65 144A† | | | | | | | 933,362 | | | | | | | | 935,672 | |
PHEAA Student Loan Trust
Series 2016-2A | | | | | | | | | | | | | | | | |
1.51%, 11/25/65 144A† | | | | | | | 2,200,000 | | | | | | | | 2,200,455 | |
RAMP Trust
Series 2005-EFC6 | | | | | | | | | | | | | | | | |
1.19%, 11/25/35† | | | | | | | 1,900,000 | | | | | | | | 1,837,458 | |
Saxon Asset Securities Trust
Series 2004-1 | | | | | | | | | | | | | | | | |
1.38%, 03/25/35† | | | | | | | 622,657 | | | | | | | | 571,134 | |
SBA Small Business Investment Cos.
Series 2016-10A | | | | | | | | | | | | | | | | |
2.51%, 03/10/26 | | | | | | | 519,295 | | | | | | | | 521,743 | |
Scholar Funding Trust
Series 2010-A | | | | | | | | | | | | | | | | |
1.64%, 10/28/41 144A† | | | | | | | 352,771 | | | | | | | | 345,837 | |
SLC Student Loan Trust
Series 2005-3 | | | | | | | | | | | | | | | | |
1.08%, 06/15/29† | | | | | | | 900,000 | | | | | | | | 882,626 | |
SLM Private Education Loan Trust
Series 2010-A | | | | | | | | | | | | | | | | |
3.95%, 05/16/44 144A† | | | | | | | 543,399 | | | | | | | | 564,272 | |
SLM Student Loan EDC Repackaging Trust
Series 2013-M1 | | | | | | | | | | | | | | | | |
3.50%, 10/28/29 144A | | | | | | | 222,935 | | | | | | | | 217,778 | |
SLM Student Loan Trust
Series 2003-11 | | | | | | | | | | | | | | | | |
1.71%, 12/15/25 144A† | | | | | | | 400,000 | | | | | | | | 398,000 | |
SLM Student Loan Trust
Series 2005-4 | | | | | | | | | | | | | | | | |
1.00%, 01/25/27† | | | | | | | 195,793 | | | | | | | | 193,724 | |
| | | | | | | | | | | | |
| | | | | Par | | | | | Value | |
SLM Student Loan Trust
Series 2005-5 | | | | | | | | | | | | |
1.02%, 10/25/28† | | | | $ | 900,000 | | | | | $ | 876,267 | |
SLM Student Loan Trust
Series 2006-2 | | | | | | | | | | | | |
0.99%, 07/25/25† | | | | | 1,117,407 | | | | | | 1,115,033 | |
SLM Student Loan Trust
Series 2007-5 | | | | | | | | | | | | |
0.99%, 01/26/43† | | | | | 1,020,000 | | | | | | 917,267 | |
SLM Student Loan Trust
Series 2007-7 | | | | | | | | | | | | |
1.63%, 10/27/70† | | | | | 400,000 | | | | | | 325,728 | |
SLM Student Loan Trust
Series 2008-2 | | | | | | | | | | | | |
1.63%, 04/25/23† | | | | | 185,014 | | | | | | 180,206 | |
SLM Student Loan Trust
Series 2008-4 | | | | | | | | | | | | |
2.53%, 07/25/22† | | | | | 520,994 | | | | | | 524,014 | |
SLM Student Loan Trust
Series 2008-5 | | | | | | | | | | | | |
2.58%, 07/25/23† | | | | | 880,121 | | | | | | 885,022 | |
SLM Student Loan Trust
Series 2008-9 | | | | | | | | | | | | |
2.38%, 04/25/23† | | | | | 2,708,545 | | | | | | 2,712,047 | |
SoFi Consumer Loan Program Trust
Series 2015-1 | | | | | | | | | | | | |
3.28%, 09/15/23 144A | | | | | 1,102,235 | | | | | | 1,106,001 | |
Soundview Home Loan Trust
Series 2006-OPT2 | | | | | | | | | | | | |
0.94%, 05/25/36† | | | | | 834,902 | | | | | | 800,739 | |
Utah State Board of Regents
Series 2015-1 | | | | | | | | | | | | |
1.36%, 02/25/43† | | | | | 727,505 | | | | | | 710,009 | |
VOLT XLI LLC
Series 2016-NPL1 | | | | | | | | | | | | |
4.25%, 02/26/46 STEP 144A | | | | | 1,049,872 | | | | | | 1,061,002 | |
Washington Mutual Asset-Backed Certificates Trust
Series 2006-HE1 | | | | | | | | | | | | |
0.94%, 04/25/36† | | | | | 259,963 | | | | | | 256,420 | |
| | | | | | | | | | | | |
Total Asset-Backed Securities
(Cost $53,049,774) | | | | | | 52,390,476 | |
| | | | | | | | | | | | |
CERTIFICATES OF DEPOSIT — 0.9% | |
Abbey National Treasury | | | | | | | | | | | | |
1.40%, 07/07/17† | | | | | 100,000 | | | | | | 100,084 | |
Credit Suisse AG | | | | | | | | | | | | |
1.75%, 09/12/17† | | | | | 1,100,000 | | | | | | 1,101,529 | |
Mitsubishi UFJ Trust & Banking Corporation | | | | | | | | | | | | |
1.71%, 09/19/17† | | | | | 1,100,000 | | | | | | 1,102,045 | |
Natixis SA | | | | | | | | | | | | |
1.69%, 09/25/17† | | | | | 1,800,000 | | | | | | 1,806,185 | |
Sumitomo Mitsui Banking Corporation | | | | | | | | | | | | |
1.66%, 09/15/17† | | | | | 2,300,000 | | | | | | 2,303,873 | |
Sumitomo Mitsui Trust Bank, Ltd. | | | | | | | | | | | | |
1.72%, 09/18/17† | | | | | 2,900,000 | | | | | | 2,905,623 | |
1.57%, 10/06/17† | | | | | 400,000 | | | | | | 400,671 | |
| | | | | | | | | | | | |
Total Certificates of Deposit
(Cost $9,700,000) | | | | | | 9,720,010 | |
| | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 93 |
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | | | | | |
| | | | | | Par | | | | | | Value | |
CORPORATE BONDS — 19.0% | |
21st Century Fox America, Inc. | | | | | | | | | | | | | | | | |
3.70%, 09/15/24D | | | | | | $ | 625,000 | | | | | | | $ | 633,871 | |
ABB Finance USA, Inc. | | | | | | | | | | | | | | | | |
4.38%, 05/08/42 | | | | | | | 40,000 | | | | | | | | 42,064 | |
Abbott Laboratories | | | | | | | | | | | | | | | | |
3.75%, 11/30/26 | | | | | | | 300,000 | | | | | | | | 298,539 | |
4.75%, 11/30/36 | | | | | | | 200,000 | | | | | | | | 203,969 | |
4.90%, 11/30/46 | | | | | | | 260,000 | | | | | | | | 267,896 | |
AbbVie, Inc. | | | | | | | | | | | | | | | | |
2.50%, 05/14/20 | | | | | | | 225,000 | | | | | | | | 225,239 | |
2.30%, 05/14/21D | | | | | | | 200,000 | | | | | | | | 196,159 | |
2.85%, 05/14/23D | | | | | | | 1,650,000 | | | | | | | | 1,602,932 | |
3.60%, 05/14/25 | | | | | | | 140,000 | | | | | | | | 138,917 | |
AES Corporation | | | | | | | | | | | | | | | | |
4.88%, 05/15/23 | | | | | | | 80,000 | | | | | | | | 79,416 | |
5.50%, 03/15/24D | | | | | | | 100,000 | | | | | | | | 102,250 | |
Aetna, Inc. | | | | | | | | | | | | | | | | |
2.40%, 06/15/21 | | | | | | | 420,000 | | | | | | | | 418,536 | |
2.80%, 06/15/23 | | | | | | | 225,000 | | | | | | | | 221,951 | |
3.20%, 06/15/26 | | | | | | | 260,000 | | | | | | | | 257,730 | |
4.38%, 06/15/46 | | | | | | | 70,000 | | | | | | | | 70,579 | |
Allison Transmission, Inc. | | | | | | | | | | | | | | | | |
5.00%, 10/01/24 144A | | | | | | | 200,000 | | | | | | | | 202,500 | |
Amazon.com, Inc. | | | | | | | | | | | | | | | | |
3.30%, 12/05/21D | | | | | | | 525,000 | | | | | | | | 544,629 | |
4.95%, 12/05/44 | | | | | | | 220,000 | | | | | | | | 251,911 | |
American Axle & Manufacturing, Inc. | | | | | | | | | | | | | | | | |
6.63%, 10/15/22 | | | | | | | 100,000 | | | | | | | | 103,620 | |
American Campus Communities Operating Partnership LP | | | | | | | | | | | | | | | | |
3.75%, 04/15/23D | | | | | | | 525,000 | | | | | | | | 530,399 | |
American International Group, Inc. | | | | | | | | | | | | | | | | |
2.30%, 07/16/19D | | | | | | | 200,000 | | | | | | | | 201,063 | |
3.75%, 07/10/25D | | | | | | | 430,000 | | | | | | | | 433,539 | |
4.50%, 07/16/44 | | | | | | | 25,000 | | | | | | | | 24,748 | |
4.80%, 07/10/45 | | | | | | | 200,000 | | | | | | | | 208,394 | |
6.25%, 03/15/87† | | | | | | | 278,000 | | | | | | | | 280,085 | |
American Tower Corporation REIT | | | | | | | | | | | | | | | | |
3.40%, 02/15/19 | | | | | | | 200,000 | | | | | | | | 204,494 | |
3.30%, 02/15/21D | | | | | | | 150,000 | | | | | | | | 151,851 | |
3.38%, 10/15/26 | | | | | | | 1,500,000 | | | | | | | | 1,422,951 | |
Amgen, Inc. | | | | | | | | | | | | | | | | |
3.63%, 05/22/24 | | | | | | | 50,000 | | | | | | | | 50,941 | |
4.66%, 06/15/51 144AD | | | | | | | 34,000 | | | | | | | | 32,815 | |
Anadarko Petroleum Corporation | | | | | | | | | | | | | | | | |
4.85%, 03/15/21D | | | | | | | 290,000 | | | | | | | | 311,240 | |
3.45%, 07/15/24 | | | | | | | 95,000 | | | | | | | | 93,409 | |
6.45%, 09/15/36 | | | | | | | 280,000 | | | | | | | | 334,236 | |
6.60%, 03/15/46 | | | | | | | 170,000 | | | | | | | | 210,423 | |
Antero Resources Corporation | | | | | | | | | | | | | | | | |
5.63%, 06/01/23 | | | | | | | 425,000 | | | | | | | | 437,219 | |
Anthem, Inc. | | | | | | | | | | | | | | | | |
5.88%, 06/15/17 | | | | | | | 720,000 | | | | | | | | 734,651 | |
Apache Corporation | | | | | | | | | | | | | | | | |
3.25%, 04/15/22 | | | | | | | 50,000 | | | | | | | | 50,844 | |
2.63%, 01/15/23 | | | | | | | 75,000 | | | | | | | | 72,218 | |
5.10%, 09/01/40 | | | | | | | 60,000 | | | | | | | | 62,990 | |
4.25%, 01/15/44D | | | | | | | 820,000 | | | | | | | | 811,596 | |
| | | | | | | | | | | | | | | | |
| | | | | | Par | | | | | | Value | |
Apple, Inc. | | | | | | | | | | | | | | | | |
2.45%, 08/04/26 | | | | | | $ | 420,000 | | | | | | | $ | 394,688 | |
AT&T, Inc. | | | | | | | | | | | | | | | | |
4.45%, 05/15/21 | | | | | | | 80,000 | | | | | | | | 84,690 | |
3.00%, 02/15/22 | | | | | | | 170,000 | | | | | | | | 168,539 | |
4.45%, 04/01/24D | | | | | | | 125,000 | | | | | | | | 130,500 | |
3.95%, 01/15/25D | | | | | | | 125,000 | | | | | | | | 125,425 | |
3.40%, 05/15/25 | | | | | | | 1,905,000 | | | | | | | | 1,839,384 | |
4.13%, 02/17/26D | | | | | | | 175,000 | | | | | | | | 177,526 | |
4.35%, 06/15/45 | | | | | | | 100,000 | | | | | | | | 89,448 | |
4.75%, 05/15/46 | | | | | | | 200,000 | | | | | | | | 190,214 | |
4.50%, 03/09/48 144A | | | | | | | 190,000 | | | | | | | | 171,408 | |
Bank of America Corporation | | | | | | | | | | | | | | | | |
3.88%, 03/22/17 | | | | | | | 130,000 | | | | | | | | 130,743 | |
5.70%, 05/02/17 | | | | | | | 1,100,000 | | | | | | | | 1,115,080 | |
5.75%, 12/01/17D | | | | | | | 1,890,000 | | | | | | | | 1,958,189 | |
6.88%, 04/25/18 | | | | | | | 1,400,000 | | | | | | | | 1,488,543 | |
5.65%, 05/01/18 | | | | | | | 700,000 | | | | | | | | 733,669 | |
2.60%, 01/15/19 | | | | | | | 320,000 | | | | | | | | 322,894 | |
5.63%, 07/01/20 | | | | | | | 50,000 | | | | | | | | 55,022 | |
5.88%, 01/05/21D | | | | | | | 150,000 | | | | | | | | 167,156 | |
5.00%, 05/13/21 | | | | | | | 320,000 | | | | | | | | 348,835 | |
3.30%, 01/11/23 | | | | | | | 120,000 | | | | | | | | 120,564 | |
4.00%, 04/01/24 | | | | | | | 420,000 | | | | | | | | 433,841 | |
4.20%, 08/26/24 | | | | | | | 390,000 | | | | | | | | 397,941 | |
4.00%, 01/22/25 | | | | | | | 440,000 | | | | | | | | 441,305 | |
3.88%, 08/01/25 | | | | | | | 330,000 | | | | | | | | 336,163 | |
4.45%, 03/03/26 | | | | | | | 70,000 | | | | | | | | 72,273 | |
3.50%, 04/19/26D | | | | | | | 340,000 | | | | | | | | 336,128 | |
4.25%, 10/22/26 | | | | | | | 440,000 | | | | | | | | 446,215 | |
3.25%, 10/21/27D | | | | | | | 275,000 | | | | | | | | 263,133 | |
4.18%, 11/25/27D | | | | | | | 800,000 | | | | | | | | 802,121 | |
5.00%, 01/21/44 | | | | | | | 790,000 | | | | | | | | 868,445 | |
6.25%, 09/29/49†D | | | | | | | 300,000 | | | | | | | | 300,375 | |
6.50%, 10/29/49†D | | | | | | | 150,000 | | | | | | | | 156,938 | |
Barrick North America Finance LLC | | | | | | | | | | | | | | | | |
4.40%, 05/30/21 | | | | | | | 138,000 | | | | | | | | 145,163 | |
Bear Stearns Cos. LLC | | | | | | | | | | | | | | | | |
6.40%, 10/02/17 | | | | | | | 1,200,000 | | | | | | | | 1,243,272 | |
Becton, Dickinson and Co. | | | | | | | | | | | | | | | | |
2.68%, 12/15/19 | | | | | | | 349,000 | | | | | | | | 354,349 | |
3.73%, 12/15/24 | | | | | | | 171,000 | | | | | | | | 175,160 | |
4.69%, 12/15/44 | | | | | | | 120,000 | | | | | | | | 124,799 | |
Berkshire Hathaway Energy Co. | | | | | | | | | | | | | | | | |
6.13%, 04/01/36 | | | | | | | 300,000 | | | | | | | | 375,805 | |
6.50%, 09/15/37 | | | | | | | 130,000 | | | | | | | | 169,750 | |
Boeing Capital Corporation | | | | | | | | | | | | | | | | |
4.70%, 10/27/19D | | | | | | | 230,000 | | | | | | | | 248,226 | |
Boeing Co. | | | | | | | | | | | | | | | | |
4.88%, 02/15/20D | | | | | | | 50,000 | | | | | | | | 54,383 | |
6.63%, 02/15/38 | | | | | | | 210,000 | | | | | | | | 284,874 | |
Capital One Financial Corporation | | | | | | | | | | | | | | | | |
4.20%, 10/29/25 | | | | | | | 350,000 | | | | | | | | 351,802 | |
Catholic Health Initiatives | | | | | | | | | | | | | | | | |
4.35%, 11/01/42 | | | | | | | 40,000 | | | | | | | | 35,658 | |
CCO Holdings LLC | | | | | | | | | | | | | | | | |
5.88%, 04/01/24 144A | | | | | | | 10,000 | | | | | | | | 10,700 | |
CE Generation LLC | | | | | | | | | | | | | | | | |
7.42%, 12/15/18 | | | | | | | 299,700 | | | | | | | | 281,343 | |
Celgene Corporation | | | | | | | | | | | | | | | | |
3.55%, 08/15/22D | | | | | | | 170,000 | | | | | | | | 174,571 | |
3.88%, 08/15/25 | | | | | | | 250,000 | | | | | | | | 254,028 | |
| | | | |
| 94 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | |
| | | Par | | | Value | |
5.00%, 08/15/45 | | | | | | $ | 160,000 | | | | | | | $ | 166,994 | |
Centene Corporation | | | | | | | | | | | | | | | | |
5.63%, 02/15/21 | | | | | | | 10,000 | | | | | | | | 10,539 | |
4.75%, 05/15/22 | | | | | | | 120,000 | | | | | | | | 121,800 | |
6.13%, 02/15/24 | | | | | | | 90,000 | | | | | | | | 95,062 | |
4.75%, 01/15/25D | | | | | | | 50,000 | | | | | | | | 48,937 | |
Charter Communications Operating LLC | | | | | | | | | | | | | | | | |
3.58%, 07/23/20 | | | | | | | 75,000 | | | | | | | | 76,580 | |
4.46%, 07/23/22 | | | | | | | 30,000 | | | | | | | | 31,388 | |
4.36%, 01/15/24+W† | | | | | | | 1,000,000 | | | | | | | | 1,006,250 | |
4.91%, 07/23/25 | | | | | | | 2,275,000 | | | | | | | | 2,401,784 | |
4.91%, 07/23/25 144A | | | | | | | 280,000 | | | | | | | | 293,958 | |
6.38%, 10/23/35 144A | | | | | | | 60,000 | | | | | | | | 68,301 | |
Chesapeake Energy Corporation | | | | | | | | | | | | | | | | |
6.13%, 02/15/21D | | | | | | | 160,000 | | | | | | | | 156,800 | |
Chevron Corporation | | | | | | | | | | | | | | | | |
2.95%, 05/16/26 | | | | | | | 450,000 | | | | | | | | 443,191 | |
CHS/Community Health Systems, Inc. | | | | | | | | | | | | | | | | |
8.00%, 11/15/19D | | | | | | | 100,000 | | | | | | | | 83,500 | |
Chubb Corporation | | | | | | | | | | | | | | | | |
6.38%, 04/15/37†D | | | | | | | 400,000 | | | | | | | | 377,000 | |
Chubb INA Holdings, Inc. | | | | | | | | | | | | | | | | |
2.30%, 11/03/20 | | | | | | | 90,000 | | | | | | | | 90,029 | |
3.35%, 05/03/26 | | | | | | | 120,000 | | | | | | | | 121,691 | |
Cisco Systems, Inc. | | | | | | | | | | | | | | | | |
2.20%, 02/28/21D | | | | | | | 300,000 | | | | | | | | 299,530 | |
CIT Group, Inc. | | | | | | | | | | | | | | | | |
4.25%, 08/15/17 | | | | | | | 1,100,000 | | | | | | | | 1,116,500 | |
5.50%, 02/15/19 144A | | | | | | | 190,000 | | | | | | | | 200,925 | |
Citigroup, Inc. | | | | | | | | | | | | | | | | |
1.88%, 06/07/19† | | | | | | | 700,000 | | | | | | | | 705,685 | |
2.07%, 08/02/21† | | | | | | | 1,300,000 | | | | | | | | 1,314,785 | |
3.50%, 05/15/23 | | | | | | | 220,000 | | | | | | | | 219,600 | |
4.40%, 06/10/25 | | | | | | | 450,000 | | | | | | | | 461,180 | |
5.50%, 09/13/25 | | | | | | | 290,000 | | | | | | | | 319,269 | |
4.30%, 11/20/26 | | | | | | | 1,600,000 | | | | | | | | 1,617,835 | |
4.45%, 09/29/27 | | | | | | | 780,000 | | | | | | | | 794,043 | |
6.63%, 06/15/32 | | | | | | | 50,000 | | | | | | | | 60,810 | |
8.13%, 07/15/39 | | | | | | | 20,000 | | | | | | | | 29,811 | |
6.68%, 09/13/43 | | | | | | | 10,000 | | | | | | | | 12,719 | |
5.30%, 05/06/44 | | | | | | | 24,000 | | | | | | | | 25,948 | |
4.65%, 07/30/45 | | | | | | | 574,000 | | | | | | | | 607,462 | |
4.75%, 05/18/46 | | | | | | | 40,000 | | | | | | | | 40,204 | |
5.35%, 04/29/49†D | | | | | | | 180,000 | | | | | | | | 169,875 | |
8.40%, 04/29/49† | | | | | | | 300,000 | | | | | | | | 323,250 | |
5.95%, 07/29/49† | | | | | | | 170,000 | | | | | | | | 172,550 | |
5.80%, 11/29/49†D | | | | | | | 1,000,000 | | | | | | | | 1,010,000 | |
5.95%, 12/29/49† | | | | | | | 690,000 | | | | | | | | 682,376 | |
6.25%, 12/29/49†D | | | | | | | 150,000 | | | | | | | | 154,538 | |
CNOOC Finance 2015 USA LLC | | | | | | | | | | | | | | | | |
3.50%, 05/05/25 | | | | | | | 760,000 | | | | | | | | 740,007 | |
Comcast Corporation | | | | | | | | | | | | | | | | |
5.70%, 05/15/18 | | | | | | | 1,250,000 | | | | | | | | 1,319,786 | |
3.38%, 08/15/25D | | | | | | | 700,000 | | | | | | | | 704,992 | |
3.20%, 07/15/36D | | | | | | | 490,000 | | | | | | | | 441,674 | |
6.40%, 03/01/40 | | | | | | | 120,000 | | | | | | | | 156,506 | |
Compass Bank | | | | | | | | | | | | | | | | |
5.50%, 04/01/20 | | | | | | | 300,000 | | | | | | | | 314,594 | |
Concho Resources, Inc. | | | | | | | | | | | | | | | | |
5.50%, 10/01/22 | | | | | | | 60,000 | | | | | | | | 62,475 | |
| | | | | | | | | | | | | | | | |
| | | Par | | | Value | |
5.50%, 04/01/23D | | | | | | $ | 60,000 | | | | | | | $ | 62,478 | |
ConocoPhillips Co. | | | | | | | | | | | | | | | | |
3.35%, 11/15/24 | | | | | | | 255,000 | | | | | | | | 253,966 | |
4.95%, 03/15/26D | | | | | | | 175,000 | | | | | | | | 193,553 | |
4.15%, 11/15/34D | | | | | | | 175,000 | | | | | | | | 171,586 | |
ConocoPhillips Holding Co. | | | | | | | | | | | | | | | | |
6.95%, 04/15/29 | | | | | | | 220,000 | | | | | | | | 277,267 | |
Continental Airlines Class A Pass-Through Trust
Series 1998-1 | | | | | | | | | | | | | | | | |
6.65%, 09/15/17 | | | | | | | 44,303 | | | | | | | | 44,967 | |
Crown Castle International Corporation REIT | | | | | | | | | | | | | | | | |
2.25%, 09/01/21D | | | | | | | 125,000 | | | | | | | | 121,063 | |
5.25%, 01/15/23D | | | | | | | 525,000 | | | | | | | | 567,000 | |
Crown Castle Towers LLC | | | | | | | | | | | | | | | | |
4.88%, 08/15/20 144A | | | | | | | 1,900,000 | | | | | | | | 2,025,001 | |
CSEMC 2015-3GNA A1 | | | | | | | | | | | | | | | | |
3.07%, 03/09/17+ | | | | | | | 1,005,943 | | | | | | | | 1,224,234 | |
CSEMC 2015-3GNA A2 | | | | | | | | | | | | | | | | |
4.33%, 03/09/17+ | | | | | | | 374,763 | | | | | | | | 456,087 | |
CVS Health Corporation | | | | | | | | | | | | | | | | |
2.75%, 12/01/22 | | | | | | | 210,000 | | | | | | | | 207,156 | |
4.00%, 12/05/23D | | | | | | | 400,000 | | | | | | | | 422,075 | |
3.88%, 07/20/25 | | | | | | | 133,000 | | | | | | | | 137,446 | |
2.88%, 06/01/26D | | | | | | | 875,000 | | | | | | | | 835,719 | |
5.13%, 07/20/45 | | | | | | | 450,000 | | | | | | | | 503,451 | |
CVS Pass-Through Trust | | | | | | | | | | | | | | | | |
6.94%, 01/10/30 | | | | | | | 678,152 | | | | | | | | 796,609 | |
DDR Corporation REIT | | | | | | | | | | | | | | | | |
4.63%, 07/15/22 | | | | | | | 400,000 | | | | | | | | 424,002 | |
Delta Air Lines Class A Pass-Through Trust
Series 2007-1 | | | | | | | | | | | | | | | | |
6.82%, 08/10/22 | | | | | | | 263,701 | | | | | | | | 303,586 | |
Depository Trust & Clearing Corporation | | | | | | | | | | | | | | | | |
4.88%, 12/29/49 144A† | | | | | | | 750,000 | | | | | | | | 765,000 | |
Devon Energy Corporation | | | | | | | | | | | | | | | | |
3.25%, 05/15/22 | | | | | | | 220,000 | | | | | | | | 218,871 | |
5.85%, 12/15/25D | | | | | | | 250,000 | | | | | | | | 284,526 | |
5.60%, 07/15/41 | | | | | | | 462,000 | | | | | | | | 477,443 | |
4.75%, 05/15/42 | | | | | | | 205,000 | | | | | | | | 194,357 | |
5.00%, 06/15/45D | | | | | | | 660,000 | | | | | | | | 650,774 | |
Devon Financing Corporation LLC | | | | | | | | | | | | | | | | |
7.88%, 09/30/31 | | | | | | | 60,000 | | | | | | | | 76,310 | |
Diamond 1 Finance Corporation | | | | | | | | | | | | | | | | |
3.48%, 06/01/19 144A | | | | | | | 560,000 | | | | | | | | 571,980 | |
4.42%, 06/15/21 144A | | | | | | | 1,860,000 | | | | | | | | 1,926,529 | |
Digital Realty Trust LP REIT | | | | | | | | | | | | | | | | |
3.40%, 10/01/20 | | | | | | | 900,000 | | | | | | | | 916,276 | |
Discover Financial Services | | | | | | | | | | | | | | | | |
3.75%, 03/04/25 | | | | | | | 450,000 | | | | | | | | 440,713 | |
DISH DBS Corporation | | | | | | | | | | | | | | | | |
5.88%, 07/15/22 | | | | | | | 360,000 | | | | | | | | 379,800 | |
5.88%, 11/15/24 | | | | | | | 170,000 | | | | | | | | 175,568 | |
7.75%, 07/01/26 | | | | | | | 300,000 | | | | | | | | 339,000 | |
Dollar Tree, Inc. | | | | | | | | | | | | | | | | |
5.75%, 03/01/23D | | | | | | | 240,000 | | | | | | | | 255,317 | |
Duke Energy Corporation | | | | | | | | | | | | | | | | |
3.75%, 04/15/24 | | | | | | | 200,000 | | | | | | | | 206,563 | |
Eaton Corporation | | | | | | | | | | | | | | | | |
1.50%, 11/02/17 | | | | | | | 120,000 | | | | | | | | 120,124 | |
2.75%, 11/02/22 | | | | | | | 710,000 | | | | | | | | 704,148 | |
| | | | |
| | See Notes to Financial Statements. | | 95 |
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | | | | | |
| | | | | | Par | | | | | | Value | |
4.15%, 11/02/42 | | | | | | $ | 200,000 | | | | | | | $ | 196,261 | |
Ecolab, Inc. | | | | | | | | | | | | | | | | |
4.35%, 12/08/21 | | | | | | | 100,000 | | | | | | | | 108,186 | |
5.50%, 12/08/41D | | | | | | | 175,000 | | | | | | | | 206,542 | |
Education Realty Operating Partnership LP REIT | | | | | | | | | | | | | | | | |
4.60%, 12/01/24D | | | | | | | 325,000 | | | | | | | | 324,480 | |
EMD Finance LLC | | | | | | | | | | | | | | | | |
2.95%, 03/19/22 144A | | | | | | | 750,000 | | | | | | | | 747,715 | |
Energy Transfer Partners LP | | | | | | | | | | | | | | | | |
4.65%, 06/01/21 | | | | | | | 650,000 | | | | | | | | 675,544 | |
5.20%, 02/01/22 | | | | | | | 500,000 | | | | | | | | 535,940 | |
3.60%, 02/01/23D | | | | | | | 75,000 | | | | | | | | 73,863 | |
4.75%, 01/15/26D | | | | | | | 25,000 | | | | | | | | 25,892 | |
Entergy Louisiana LLC | | | | | | | | | | | | | | | | |
5.40%, 11/01/24D | | | | | | | 1,200,000 | | | | | | | | 1,382,004 | |
Enterprise Products Operating LLC | | | | | | | | | | | | | | | | |
5.70%, 02/15/42 | | | | | | | 60,000 | | | | | | | | 65,990 | |
4.59%, 08/01/66† | | | | | | | 650,000 | | | | | | | | 612,157 | |
EOG Resources, Inc. | | | | | | | | | | | | | | | | |
4.15%, 01/15/26 | | | | | | | 140,000 | | | | | | | | 146,779 | |
EP Energy LLC | | | | | | | | | | | | | | | | |
6.38%, 06/15/23 | | | | | | | 160,000 | | | | | | | | 127,200 | |
EQT Midstream Partners LP | | | | | | | | | | | | | | | | |
4.13%, 12/01/26D | | | | | | | 1,800,000 | | | | | | | | 1,758,071 | |
ERP Operating LP REIT | | | | | | | | | | | | | | | | |
4.63%, 12/15/21 | | | | | | | 150,000 | | | | | | | | 163,104 | |
Exelon Corporation | | | | | | | | | | | | | | | | |
5.63%, 06/15/35 | | | | | | | 415,000 | | | | | | | | 460,561 | |
Exxon Mobil Corporation | | | | | | | | | | | | | | | | |
3.04%, 03/01/26 | | | | | | | 300,000 | | | | | | | | 299,950 | |
4.11%, 03/01/46 | | | | | | | 90,000 | | | | | | | | 92,419 | |
Fidelity National Information Services, Inc. | | | | | | | | | | | | | | | | |
3.63%, 10/15/20D | | | | | | | 475,000 | | | | | | | | 492,177 | |
3.00%, 08/15/26 | | | | | | | 275,000 | | | | | | | | 258,737 | |
First Data Corporation | | | | | | | | | | | | | | | | |
6.75%, 11/01/20 144A | | | | | | | 490,000 | | | | | | | | 509,393 | |
5.38%, 08/15/23 144AD | | | | | | | 70,000 | | | | | | | | 72,800 | |
5.00%, 01/15/24 144A | | | | | | | 150,000 | | | | | | | | 151,360 | |
FirstEnergy Corporation | | | | | | | | | | | | | | | | |
2.75%, 03/15/18 | | | | | | | 120,000 | | | | | | | | 121,123 | |
4.25%, 03/15/23D | | | | | | | 490,000 | | | | | | | | 507,223 | |
7.38%, 11/15/31 | | | | | | | 770,000 | | | | | | | | 994,875 | |
Fiserv, Inc. | | | | | | | | | | | | | | | | |
2.70%, 06/01/20D | | | | | | | 350,000 | | | | | | | | 351,968 | |
Florida Power & Light Co. | | | | | | | | | | | | | | | | |
3.80%, 12/15/42D | | | | | | | 425,000 | | | | | | | | 418,960 | |
Ford Motor Credit Co. LLC | | | | | | | | | | | | | | | | |
5.00%, 05/15/18D | | | | | | | 225,000 | | | | | | | | 233,904 | |
2.94%, 01/08/19 | | | | | | | 600,000 | | | | | | | | 607,142 | |
2.46%, 03/27/20D | | | | | | | 800,000 | | | | | | | | 790,336 | |
5.75%, 02/01/21D | | | | | | | 200,000 | | | | | | | | 219,517 | |
3.34%, 03/18/21D | | | | | | | 250,000 | | | | | | | | 251,980 | |
5.88%, 08/02/21D | | | | | | | 875,000 | | | | | | | | 967,298 | |
Freeport-McMoRan, Inc. | | | | | | | | | | | | | | | | |
6.50%, 11/15/20 144A | | | | | | | 46,000 | | | | | | | | 47,495 | |
4.00%, 11/14/21D | | | | | | | 260,000 | | | | | | | | 254,800 | |
6.88%, 02/15/23 144A | | | | | | | 12,000 | | | | | | | | 12,660 | |
5.45%, 03/15/43 | | | | | | | 120,000 | | | | | | | | 99,902 | |
General Electric Co. | | | | | | | | | | | | | | | | |
8.50%, 04/06/18(M) | | | | | | | 2,000,000 | | | | | | | | 97,789 | |
6.00%, 08/07/19 | | | | | | | 301,000 | | | | | | | | 332,685 | |
| | | | | | | | | | | | | | | | |
| | | | | | Par | | | | | | Value | |
4.38%, 09/16/20 | | | | | | $ | 198,000 | | | | | | | $ | 212,930 | |
5.30%, 02/11/21 | | | | | | | 104,000 | | | | | | | | 115,406 | |
4.65%, 10/17/21D | | | | | | | 140,000 | | | | | | | | 153,671 | |
3.15%, 09/07/22 | | | | | | | 230,000 | | | | | | | | 235,081 | |
5.88%, 01/14/38 | | | | | | | 72,000 | | | | | | | | 90,792 | |
6.88%, 01/10/39 | | | | | | | 400,000 | | | | | | | | 565,080 | |
4.50%, 03/11/44 | | | | | | | 100,000 | | | | | | | | 107,606 | |
General Motors Co. | | | | | | | | | | | | | | | | |
6.25%, 10/02/43 | | | | | | | 110,000 | | | | | | | | 122,017 | |
General Motors Financial Co., Inc. | | | | | | | | | | | | | | | | |
3.25%, 05/15/18D | | | | | | | 280,000 | | | | | | | | 283,763 | |
3.50%, 07/10/19 | | | | | | | 625,000 | | | | | | | | 636,791 | |
2.27%, 10/04/19† | | | | | | | 500,000 | | | | | | | | 502,406 | |
3.20%, 07/13/20D | | | | | | | 1,000,000 | | | | | | | | 1,003,819 | |
4.38%, 09/25/21 | | | | | | | 400,000 | | | | | | | | 415,367 | |
3.45%, 04/10/22 | | | | | | | 40,000 | | | | | | | | 39,605 | |
4.25%, 05/15/23 | | | | | | | 40,000 | | | | | | | | 40,581 | |
Georgia-Pacific LLC | | | | | | | | | | | | | | | | |
8.88%, 05/15/31 | | | | | | | 70,000 | | | | | | | | 103,958 | |
Gilead Sciences, Inc. | | | | | | | | | | | | | | | | |
3.70%, 04/01/24 | | | | | | | 210,000 | | | | | | | | 215,748 | |
4.75%, 03/01/46 | | | | | | | 30,000 | | | | | | | | 31,114 | |
4.15%, 03/01/47 | | | | | | | 300,000 | | | | | | | | 285,658 | |
GlaxoSmithKline Capital, Inc. | | | | | | | | | | | | | | | | |
5.65%, 05/15/18 | | | | | | | 380,000 | | | | | | | | 400,603 | |
Glencore Funding LLC | | | | | | | | | | | | | | | | |
4.63%, 04/29/24 144A | | | | | | | 200,000 | | | | | | | | 205,250 | |
Goldman Sachs Capital II | | | | | | | | | | | | | | | | |
4.00%, 12/29/49†D | | | | | | | 3,000 | | | | | | | | 2,456 | |
Goldman Sachs Group, Inc. | | | | | | | | | | | | | | | | |
5.95%, 01/18/18 | | | | | | | 1,000,000 | | | | | | | | 1,042,006 | |
2.01%, 11/15/18† | | | | | | | 3,800,000 | | | | | | | | 3,837,176 | |
5.38%, 03/15/20 | | | | | | | 200,000 | | | | | | | | 217,157 | |
6.00%, 06/15/20 | | | | | | | 540,000 | | | | | | | | 599,298 | |
5.25%, 07/27/21 | | | | | | | 560,000 | | | | | | | | 614,381 | |
3.85%, 07/08/24 | | | | | | | 150,000 | | | | | | | | 153,360 | |
4.25%, 10/21/25D | | | | | | | 620,000 | | | | | | | | 630,972 | |
3.50%, 11/16/26 | | | | | | | 250,000 | | | | | | | | 244,750 | |
6.45%, 05/01/36 | | | | | | | 20,000 | | | | | | | | 23,905 | |
6.75%, 10/01/37 | | | | | | | 110,000 | | | | | | | | 136,245 | |
6.25%, 02/01/41 | | | | | | | 750,000 | | | | | | | | 932,842 | |
5.15%, 05/22/45 | | | | | | | 330,000 | | | | | | | | 348,368 | |
4.75%, 10/21/45 | | | | | | | 530,000 | | | | | | | | 561,712 | |
Goodyear Tire & Rubber Co. | | | | | | | | | | | | | | | | |
5.13%, 11/15/23D | | | | | | | 100,000 | | | | | | | | 103,500 | |
5.00%, 05/31/26 | | | | | | | 140,000 | | | | | | | | 139,712 | |
Halliburton Co. | | | | | | | | | | | | | | | | |
3.80%, 11/15/25D | | | | | | | 445,000 | | | | | | | | 452,901 | |
4.85%, 11/15/35D | | | | | | | 30,000 | | | | | | | | 31,736 | |
5.00%, 11/15/45 | | | | | | | 60,000 | | | | | | | | 64,959 | |
Harris Corporation | | | | | | | | | | | | | | | | |
5.05%, 04/27/45 | | | | | | | 110,000 | | | | | | | | 116,583 | |
HCA, Inc. | | | | | | | | | | | | | | | | |
7.69%, 06/15/25 | | | | | | | 250,000 | | | | | | | | 273,125 | |
HCP, Inc. REIT | | | | | | | | | | | | | | | | |
2.63%, 02/01/20D | | | | | | | 300,000 | | | | | | | | 300,604 | |
HD Supply, Inc. | | | | | | | | | | | | | | | | |
5.25%, 12/15/21 144A | | | | | | | 200,000 | | | | | | | | 211,750 | |
Hewlett Packard Enterprise Co. | | | | | | | | | | | | | | | | |
4.90%, 10/15/25 144AD | | | | | | | 425,000 | | | | | | | | 438,005 | |
Hilton Worldwide Finance LLC | | | | | | | | | | | | | | | | |
5.63%, 10/15/21D | | | | | | | 220,000 | | | | | | | | 227,275 | |
| | | | |
| 96 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | |
| | | | | | Par | | | | | | Value | |
HSBC USA, Inc. | | | | | | | | | | | | | | | | |
1.65%, 08/07/18† | | | | | | $ | 1,700,000 | | | | | | | $ | 1,698,983 | |
Humana, Inc. | | | | | | | | | | | | | | | | |
7.20%, 06/15/18 | | | | | | | 480,000 | | | | | | | | 516,147 | |
3.15%, 12/01/22 | | | | | | | 70,000 | | | | | | | | 70,041 | |
4.63%, 12/01/42 | | | | | | | 60,000 | | | | | | | | 57,777 | |
Hyundai Capital America | | | | | | | | | | | | | | | | |
2.13%, 10/02/17 144A | | | | | | | 80,000 | | | | | | | | 80,166 | |
ILFC E-Capital Trust II | | | | | | | | | | | | | | | | |
4.92%, 12/21/65 144A† | | | | | | | 280,000 | | | | | | | | 247,800 | |
Intel Corporation | | | | | | | | | | | | | | | | |
3.70%, 07/29/25D | | | | | | | 805,000 | | | | | | | | 849,991 | |
4.90%, 07/29/45 | | | | | | | 70,000 | | | | | | | | 78,495 | |
International Lease Finance Corporation | | | | | | | | | | | | | | | | |
8.88%, 09/01/17 | | | | | | | 100,000 | | | | | | | | 104,625 | |
7.13%, 09/01/18 144A | | | | | | | 1,975,000 | | | | | | | | 2,133,000 | |
8.63%, 01/15/22 | | | | | | | 420,000 | | | | | | | | 505,575 | |
International Paper & Co. | | | | | | | | | | | | | | | | |
3.00%, 02/15/27D | | | | | | | 900,000 | | | | | | | | 850,920 | |
John Deere Capital Corporation | | | | | | | | | | | | | | | | |
2.25%, 04/17/19 | | | | | | | 160,000 | | | | | | | | 161,776 | |
1.70%, 01/15/20 | | | | | | | 80,000 | | | | | | | | 79,117 | |
JPMorgan Chase & Co. | | | | | | | | | | | | | | | | |
1.43%, 04/25/18† | | | | | | | 2,200,000 | | | | | | | | 2,206,626 | |
2.25%, 01/23/20D | | | | | | | 1,700,000 | | | | | | | | 1,696,743 | |
4.40%, 07/22/20D | | | | | | | 980,000 | | | | | | | | 1,041,482 | |
2.55%, 03/01/21 | | | | | | | 300,000 | | | | | | | | 299,233 | |
2.40%, 06/07/21D | | | | | | | 1,100,000 | | | | | | | | 1,090,577 | |
4.35%, 08/15/21D | | | | | | | 70,000 | | | | | | | | 74,933 | |
2.97%, 01/15/23D | | | | | | | 475,000 | | | | | | | | 473,799 | |
3.88%, 09/10/24 | | | | | | | 860,000 | | | | | | | | 871,618 | |
2.95%, 10/01/26D | | | | | | | 700,000 | | | | | | | | 668,980 | |
4.25%, 10/01/27D | | | | | | | 90,000 | | | | | | | | 92,668 | |
4.95%, 06/01/45 | | | | | | | 400,000 | | | | | | | | 427,523 | |
5.30%, 12/29/49†D | | | | | | | 1,450,000 | | | | | | | | 1,483,437 | |
Kerr-McGee Corporation | | | | | | | | | | | | | | | | |
6.95%, 07/01/24 | | | | | | | 290,000 | | | | | | | | 342,652 | |
7.88%, 09/15/31 | | | | | | | 280,000 | | | | | | | | 359,392 | |
Kilroy Realty LP REIT | | | | | | | | | | | | | | | | |
3.80%, 01/15/23D | | | | | | | 400,000 | | | | | | | | 403,343 | |
Kimberly-Clark Corporation | | | | | | | | | | | | | | | | |
3.70%, 06/01/43D | | | | | | | 200,000 | | | | | | | | 190,659 | |
Kinder Morgan Energy Partners LP | | | | | | | | | | | | | | | | |
6.00%, 02/01/17 | | | | | | | 500,000 | | | | | | | | 501,524 | |
9.00%, 02/01/19 | | | | | | | 700,000 | | | | | | | | 788,615 | |
3.95%, 09/01/22 | | | | | | | 520,000 | | | | | | | | 534,533 | |
3.50%, 09/01/23 | | | | | | | 30,000 | | | | | | | | 29,676 | |
4.15%, 02/01/24D | | | | | | | 50,000 | | | | | | | | 50,757 | |
Kinder Morgan, Inc. | | | | | | | | | | | | | | | | |
3.05%, 12/01/19D | | | | | | | 575,000 | | | | | | | | 583,647 | |
5.63%, 11/15/23 144A | | | | | | | 900,000 | | | | | | | | 989,223 | |
4.30%, 06/01/25D | | | | | | | 100,000 | | | | | | | | 103,133 | |
KKR Group Finance Co. II LLC | | | | | | | | | | | | | | | | |
5.50%, 02/01/43 144A | | | | | | | 30,000 | | | | | | | | 30,174 | |
Kraft Heinz Foods Co. | | | | | | | | | | | | | | | | |
5.38%, 02/10/20 | | | | | | | 223,000 | | | | | | | | 241,706 | |
2.80%, 07/02/20D | | | | | | | 250,000 | | | | | | | | 252,580 | |
3.50%, 06/06/22 | | | | | | | 320,000 | | | | | | | | 325,830 | |
3.95%, 07/15/25 | | | | | | | 460,000 | | | | | | | | 466,814 | |
5.00%, 07/15/35 | | | | | | | 150,000 | | | | | | | | 157,836 | |
5.20%, 07/15/45 | | | | | | | 60,000 | | | | | | | | 63,045 | |
| | | | | | | | | | | | | | | | |
| | | | | | Par | | | | | | Value | |
4.38%, 06/01/46 | | | | | | $ | 450,000 | | | | | | | $ | 425,143 | |
Kroger Co. | | | | | | | | | | | | | | | | |
6.15%, 01/15/20 | | | | | | | 360,000 | | | | | | | | 398,807 | |
L Brands, Inc. | | | | | | | | | | | | | | | | |
5.63%, 10/15/23D | | | | | | | 60,000 | | | | | | | | 64,950 | |
Laredo Petroleum, Inc. | | | | | | | | | | | | | | | | |
6.25%, 03/15/23D | | | | | | | 100,000 | | | | | | | | 104,000 | |
Lehman Escrow Bonds | | | | | | | | | | | | | | | | |
0.00%, 01/18/12W# | | | | | | | 200,000 | | | | | | | | 11,750 | |
0.00%, 01/24/13W# | | | | | | | 2,300,000 | | | | | | | | 136,275 | |
0.00%, 07/19/17+W# | | | | | | | 150,000 | | | | | | | | — | |
0.00%, 12/28/17+W# | | | | | | | 3,340,000 | | | | | | | | — | |
0.00%, 11/30/49+W# | | | | | | | 2,330,000 | | | | | | | | — | |
Lockheed Martin Corporation | | | | | | | | | | | | | | | | |
3.10%, 01/15/23 | | | | | | | 1,040,000 | | | | | | | | 1,052,772 | |
3.55%, 01/15/26 | | | | | | | 310,000 | | | | | | | | 317,326 | |
4.50%, 05/15/36D | | | | | | | 50,000 | | | | | | | | 53,330 | |
McDonald’s Corporation | | | | | | | | | | | | | | | | |
3.70%, 01/30/26 | | | | | | | 240,000 | | | | | | | | 244,801 | |
Medtronic, Inc. | | | | | | | | | | | | | | | | |
2.50%, 03/15/20D | | | | | | | 125,000 | | | | | | | | 126,457 | |
3.15%, 03/15/22 | | | | | | | 300,000 | | | | | | | | 307,487 | |
3.50%, 03/15/25 | | | | | | | 30,000 | | | | | | | | 30,924 | |
4.63%, 03/15/45 | | | | | | | 250,000 | | | | | | | | 271,012 | |
MetLife Capital Trust IV | | | | | | | | | | | | | | | | |
7.88%, 12/15/37 144A | | | | | | | 300,000 | | | | | | | | 363,150 | |
MetLife, Inc. | | | | | | | | | | | | | | | | |
4.75%, 02/08/21 | | | | | | | 270,000 | | | | | | | | 293,778 | |
6.40%, 12/15/36 | | | | | | | 50,000 | | | | | | | | 54,125 | |
4.05%, 03/01/45D | | | | | | | 25,000 | | | | | | | | 24,033 | |
Microsoft Corporation | | | | | | | | | | | | | | | | |
3.13%, 11/03/25 | | | | | | | 450,000 | | | | | | | | 455,537 | |
2.40%, 08/08/26 | | | | | | | 760,000 | | | | | | | | 718,882 | |
3.45%, 08/08/36 | | | | | | | 10,000 | | | | | | | | 9,524 | |
Moody’s Corporation | | | | | | | | | | | | | | | | |
4.50%, 09/01/22 | | | | | | | 800,000 | | | | | | | | 858,469 | |
Morgan Stanley | | | | | | | | | | | | | | | | |
4.75%, 03/22/17 | | | | | | | 60,000 | | | | | | | | 60,455 | |
6.63%, 04/01/18 | | | | | | | 700,000 | | | | | | | | 740,492 | |
5.50%, 07/24/20 | | | | | | | 250,000 | | | | | | | | 274,024 | |
2.28%, 04/21/21† | | | | | | | 100,000 | | | | | | | | 102,160 | |
2.28%, 10/24/23† | | | | | | | 225,000 | | | | | | | | 227,684 | |
3.88%, 04/29/24D | | | | | | | 275,000 | | | | | | | | 282,480 | |
3.70%, 10/23/24 | | | | | | | 450,000 | | | | | | | | 456,128 | |
5.55%, 12/29/49†D | | | | | | | 375,000 | | | | | | | | 379,688 | |
MPLX LP | | | | | | | | | | | | | | | | |
4.88%, 12/01/24 144A | | | | | | | 230,000 | | | | | | | | 237,207 | |
4.88%, 06/01/25 | | | | | | | 240,000 | | | | | | | | 247,169 | |
National Retail Properties, Inc. REIT | | | | | | | | | | | | | | | | |
3.60%, 12/15/26 | | | | | | | 250,000 | | | | | | | | 246,788 | |
Navient Corporation | | | | | | | | | | | | | | | | |
8.45%, 06/15/18 | | | | | | | 300,000 | | | | | | | | 324,000 | |
NBCUniversal Media LLC | | | | | | | | | | | | | | | | |
2.88%, 01/15/23D | | | | | | | 750,000 | | | | | | | | 748,857 | |
NCUA Guaranteed Notes | | | | | | | | | | | | | | | | |
3.00%, 06/12/19 | | | | | | | 300,000 | | | | | | | | 310,212 | |
Netflix, Inc. | | | | | | | | | | | | | | | | |
5.50%, 02/15/22 | | | | | | | 100,000 | | | | | | | | 108,250 | |
Newell Brands, Inc. | | | | | | | | | | | | | | | | |
3.15%, 04/01/21 | | | | | | | 110,000 | | | | | | | | 112,055 | |
3.85%, 04/01/23 | | | | | | | 200,000 | | | | | | | | 207,742 | |
4.20%, 04/01/26 | | | | | | | 150,000 | | | | | | | | 156,743 | |
| | | | |
| | See Notes to Financial Statements. | | 97 |
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | | | | | |
| | | Par | | | Value | |
Noble Energy, Inc. | | | | | | | | | |
4.15%, 12/15/21D | | | | | | $ | 620,000 | | | | | | | $ | 645,912 | |
Northwestern Mutual Life Insurance Co. | | | | | | | | | | | | | | | | |
6.06%, 03/30/40 144A | | | | | | | 300,000 | | | | | | | | 370,166 | |
NVIDIA Corporation | | | | | | | | | | | | | | | | |
2.20%, 09/16/21D | | | | | | | 200,000 | | | | | | | | 195,437 | |
3.20%, 09/16/26D | | | | | | | 300,000 | | | | | | | | 289,032 | |
Occidental Petroleum Corporation | | | | | | | | | | | | | | | | |
3.13%, 02/15/22 | | | | | | | 100,000 | | | | | | | | 102,279 | |
2.70%, 02/15/23 | | | | | | | 20,000 | | | | | | | | 19,823 | |
3.40%, 04/15/26 | | | | | | | 575,000 | | | | | | | | 580,010 | |
3.00%, 02/15/27 | | | | | | | 150,000 | | | | | | | | 145,324 | |
4.63%, 06/15/45 | | | | | | | 130,000 | | | | | | | | 135,588 | |
4.40%, 04/15/46 | | | | | | | 60,000 | | | | | | | | 61,208 | |
4.10%, 02/15/47 | | | | | | | 210,000 | | | | | | | | 205,072 | |
Oracle Corporation | | | | | | | | | | | | | | | | |
1.20%, 10/15/17 | | | | | | | 470,000 | | | | | | | | 470,166 | |
2.50%, 05/15/22D | | | | | | | 375,000 | | | | | | | | 372,674 | |
Pacific Gas & Electric Co. | | | | | | | | | | | | | | | | |
8.25%, 10/15/18 | | | | | | | 130,000 | | | | | | | | 144,378 | |
6.05%, 03/01/34D | | | | | | | 570,000 | | | | | | | | 715,372 | |
5.80%, 03/01/37 | | | | | | | 210,000 | | | | | | | | 257,008 | |
Penske Truck Leasing Co. LP | | | | | | | | | | | | | | | | |
3.05%, 01/09/20 144A | | | | | | | 575,000 | | | | | | | | 581,690 | |
PetSmart, Inc. | | | | | | | | | | | | | | | | |
7.13%, 03/15/23 144AD | | | | | | | 30,000 | | | | | | | | 30,675 | |
Phillips 66 Partners LP | | | | | | | | | | | | | | | | |
3.55%, 10/01/26D | | | | | | | 175,000 | | | | | | | | 169,705 | |
Pioneer Natural Resources Co. | | | | | | | | | | | | | | | | |
3.45%, 01/15/21D | | | | | | | 275,000 | | | | | | | | 281,277 | |
3.95%, 07/15/22D | | | | | | | 75,000 | | | | | | | | 77,907 | |
Plains All American Pipeline LP | | | | | | | | | | | | | | | | |
3.65%, 06/01/22 | | | | | | | 200,000 | | | | | | | | 201,338 | |
4.50%, 12/15/26D | | | | | | | 450,000 | | | | | | | | 457,393 | |
PNC Preferred Funding Trust I | | | | | | | | | | | | | | | | |
2.61%, 03/29/49 144A† | | | | | | | 100,000 | | | | | | | | 97,125 | |
PNC Preferred Funding Trust II | | | | | | | | | | | | | | | | |
2.19%, 03/29/49 144A† | | | | | | | 500,000 | | | | | | | | 483,750 | |
Priceline Group, Inc. | | | | | | | | | | | | | | | | |
3.60%, 06/01/26D | | | | | | | 425,000 | | | | | | | | 421,158 | |
Pride International, Inc. | | | | | | | | | | | | | | | | |
6.88%, 08/15/20D | | | | | | | 50,000 | | | | | | | | 53,625 | |
Principal Life Global Funding II | | | | | | | | | | | | | | | | |
2.38%, 09/11/19 144A | | | | | | | 2,900,000 | | | | | | | | 2,912,734 | |
Private Export Funding Corporation | | | | | | | | | | | | | | | | |
5.45%, 09/15/17 | | | | | | | 1,600,000 | | | | | | | | 1,648,357 | |
Progress Energy, Inc. | | | | | | | | | | | | | | | | |
7.75%, 03/01/31 | | | | | | | 350,000 | | | | | | | | 482,731 | |
Puget Sound Energy, Inc. | | | | | | | | | | | | | | | | |
6.97%, 06/01/67† | | | | | | | 275,000 | | | | | | | | 234,438 | |
Quicken Loans, Inc. | | | | | | | | | | | | | | | | |
5.75%, 05/01/25 144A | | | | | | | 110,000 | | | | | | | | 107,525 | |
Range Resources Corporation | | | | | | | | | | | | | | | | |
5.00%, 03/15/23 144AD | | | | | | | 410,000 | | | | | | | | 406,925 | |
4.88%, 05/15/25 | | | | | | | 10,000 | | | | | | | | 9,738 | |
Raytheon Co. | | | | | | | | | | | | | | | | |
3.13%, 10/15/20 | | | | | | | 200,000 | | | | | | | | 206,589 | |
Regency Energy Partners LP | | | | | | | | | | | | | | | | |
5.88%, 03/01/22 | | | | | | | 100,000 | | | | | | | | 110,124 | |
4.50%, 11/01/23 | | | | | | | 310,000 | | | | | | | | 315,010 | |
| | | | | | | | | | | | | | | | |
| | | Par | | | Value | |
Reliance Standard Life Global Funding II | | | | | | | | | | | | | | | | |
2.50%, 01/15/20 144A | | | | | | $ | 475,000 | | | | | | | $ | 472,324 | |
Rensselaer Polytechnic Institute | | | | | | | | | | | | | | | | |
5.60%, 09/01/20 | | | | | | | 675,000 | | | | | | | | 738,135 | |
Reynolds Group Issuer, Inc. | | | | | | | | | | | | | | | | |
5.13%, 07/15/23 144AD | | | | | | | 360,000 | | | | | | | | 368,100 | |
Roper Technologies, Inc. | | | | | | | | | | | | | | | | |
2.05%, 10/01/18D | | | | | | | 375,000 | | | | | | | | 376,435 | |
3.00%, 12/15/20 | | | | | | | 250,000 | | | | | | | | 253,481 | |
3.80%, 12/15/26D | | | | | | | 400,000 | | | | | | | | 403,896 | |
Sally Holdings LLC | | | | | | | | | | | | | | | | |
5.63%, 12/01/25D | | | | | | | 250,000 | | | | | | | | 261,250 | |
Santander Bank NA | | | | | | | | | | | | | | | | |
2.00%, 01/12/18 | | | | | | | 450,000 | | | | | | | | 449,925 | |
Santander Holdings USA, Inc. | | | | | | | | | | | | | | | | |
2.70%, 05/24/19 | | | | | | | 700,000 | | | | | | | | 699,869 | |
Schlumberger Holdings Corporation | | | | | | | | | | | | | | | | |
3.00%, 12/21/20 144A | | | | | | | 250,000 | | | | | | | | 255,428 | |
4.00%, 12/21/25 144A | | | | | | | 190,000 | | | | | | | | 199,338 | |
Select Income REIT | | | | | | | | | | | | | | | | |
2.85%, 02/01/18D | | | | | | | 75,000 | | | | | | | | 75,339 | |
3.60%, 02/01/20D | | | | | | | 125,000 | | | | | | | | 125,327 | |
SESI LLC | | | | | | | | | | | | | | | | |
7.13%, 12/15/21D | | | | | | | 20,000 | | | | | | | | 20,450 | |
SM Energy Co. | | | | | | | | | | | | | | | | |
5.00%, 01/15/24 | | | | | | | 40,000 | | | | | | | | 37,900 | |
Southern Co. | | | | | | | | | | | | | | | | |
2.35%, 07/01/21D | | | | | | | 450,000 | | | | | | | | 442,824 | |
Southern Copper Corporation | | | | | | | | | | | | | | | | |
5.25%, 11/08/42 | | | | | | | 760,000 | | | | | | | | 700,075 | |
Southern Natural Gas Co. LLC | | | | | | | | | | | | | | | | |
8.00%, 03/01/32 | | | | | | | 400,000 | | | | | | | | 502,004 | |
Spectrum Brands, Inc. | | | | | | | | | | | | | | | | |
5.75%, 07/15/25 | | | | | | | 110,000 | | | | | | | | 114,675 | |
Spirit Airlines Class A Pass-Through Trust Series 2015-1 | | | | | | | | | | | | | | | | |
4.10%, 04/01/28 | | | | | | | 1,449,079 | | | | | | | | 1,480,162 | |
Sprint Communications, Inc. | | | | | | | | | | | | | | | | |
9.00%, 11/15/18 144A | | | | | | | 80,000 | | | | | | | | 88,400 | |
Sprint Corporation | | | | | | | | | | | | | | | | |
7.25%, 09/15/21 | | | | | | | 30,000 | | | | | | | | 31,950 | |
7.63%, 02/15/25D | | | | | | | 700,000 | | | | | | | | 737,625 | |
State Street Corporation | | | | | | | | | | | | | | | | |
4.96%, 03/15/18 | | | | | | | 480,000 | | | | | | | | 496,042 | |
Stryker Corporation | | | | | | | | | | | | | | | | |
2.63%, 03/15/21D | | | | | | | 125,000 | | | | | | | | 125,604 | |
Sunoco Logistics Partners Operations LP | | | | | | | | | | | | | | | | |
4.25%, 04/01/24D | | | | | | | 100,000 | | | | | | | | 100,924 | |
Synchrony Financial | | | | | | | | | | | | | | | | |
2.60%, 01/15/19D | | | | | | | 300,000 | | | | | | | | 301,660 | |
3.00%, 08/15/19 | | | | | | | 375,000 | | | | | | | | 380,090 | |
2.70%, 02/03/20D | | | | | | | 200,000 | | | | | | | | 199,553 | |
Taylor Morrison Communities, Inc. | | | | | | | | | | | | | | | | |
5.63%, 03/01/24 144A | | | | | | | 150,000 | | | | | | | | 152,250 | |
Teachers Insurance & Annuity Association of America | | | | | | | | | | | | | | | | |
6.85%, 12/16/39 144A | | | | | | | 540,000 | | | | | | | | 702,131 | |
4.90%, 09/15/44 144AD | | | | | | | 435,000 | | | | | | | | 471,666 | |
Tenet Healthcare Corporation | | | | | | | | | | | | | | | | |
8.13%, 04/01/22 | | | | | | | 50,000 | | | | | | | | 47,425 | |
| | | | |
| 98 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | |
| | | Par | | | Value | |
6.75%, 06/15/23D | | | | | | $ | 30,000 | | | | | | | $ | 26,550 | |
Tennessee Gas Pipeline Co. LLC | | | | | | | | | | | | | | | | |
7.50%, 04/01/17 | | | | | | | 250,000 | | | | | | | | 253,234 | |
Thermo Fisher Scientific, Inc | | | | | | | | | | | | | | | | |
3.60%, 08/15/21D | | | | | | | 160,000 | | | | | | | | 165,528 | |
3.00%, 04/15/23 | | | | | | | 325,000 | | | | | | | | 319,885 | |
3.65%, 12/15/25D | | | | | | | 200,000 | | | | | | | | 201,020 | |
Time Warner Cable LLC | | | | | | | | | | | | | | | | |
5.00%, 02/01/20 | | | | | | | 100,000 | | | | | | | | 106,209 | |
4.13%, 02/15/21 | | | | | | | 400,000 | | | | | | | | 413,905 | |
7.30%, 07/01/38 | | | | | | | 210,000 | | | | | | | | 259,096 | |
5.88%, 11/15/40 | | | | | | | 210,000 | | | | | | | | 224,682 | |
Time Warner, Inc. | | | | | | | | | | | | | | | | |
4.70%, 01/15/21D | | | | | | | 10,000 | | | | | | | | 10,699 | |
6.10%, 07/15/40 | | | | | | | 140,000 | | | | | | | | 160,341 | |
6.25%, 03/29/41 | | | | | | | 40,000 | | | | | | | | 46,827 | |
Time Warner Entertainment Co. LP | | | | | | | | | | | | | | | | |
8.38%, 07/15/33 | | | | | | | 390,000 | | | | | | | | 512,249 | |
TJX Cos, Inc. | | | | | | | | | | | | | | | | |
2.25%, 09/15/26D | | | | | | | 60,000 | | | | | | | | 55,330 | |
Toyota Motor Credit Corporation | | | | | | | | | | | | | | | | |
1.25%, 10/05/17 | | | | | | | 520,000 | | | | | | | | 519,989 | |
Transcontinental Gas Pipe Line Co. LLC | | | | | | | | | | | | | | | | |
7.85%, 02/01/26 144A | | | | | | | 350,000 | | | | | | | | 442,074 | |
Tyson Foods, Inc. | | | | | | | | | | | | | | | | |
5.15%, 08/15/44 | | | | | | | 60,000 | | | | | | | | 62,443 | |
United Airlines Class A Pass-Through Trust Series 2016-2 | | | | | | | | | | | | | | | | |
3.10%, 10/07/28 | | | | | | | 800,000 | | | | | | | | 755,520 | |
United Airlines Class AA Pass-Through Trust Series 2016-2 | | | | | | | | | | | | | | | | |
2.88%, 10/07/28 | | | | | | | 800,000 | | | | | | | | 754,000 | |
United Airlines Pass-Through Trust Series 2009-2A | | | | | | | | | | | | | | | | |
9.75%, 01/15/17 | | | | | | | 39,755 | | | | | | | | 39,932 | |
United Rentals North America, Inc. | | | | | | | | | | | | | | | | |
5.50%, 07/15/25D | | | | | | | 180,000 | | | | | | | | 184,275 | |
United Technologies Corporation | | | | | | | | | | | | | | | | |
4.50%, 06/01/42 | | | | | | | 120,000 | | | | | | | | 128,746 | |
UnitedHealth Group, Inc. | | | | | | | | | | | | | | | | |
1.63%, 03/15/19 | | | | | | | 170,000 | | | | | | | | 169,402 | |
3.75%, 07/15/25 | | | | | | | 270,000 | | | | | | | | 279,819 | |
4.63%, 07/15/35 | | | | | | | 225,000 | | | | | | | | 245,725 | |
4.75%, 07/15/45D | | | | | | | 200,000 | | | | | | | | 220,859 | |
Univision Communications, Inc. | | | | | | | | | | | | | | | | |
5.13%, 02/15/25 144A | | | | | | | 150,000 | | | | | | | | 144,000 | |
VEREIT Operating Partnership LP REIT | | | | | | | | | | | | | | | | |
3.00%, 02/06/19D | | | | | | | 500,000 | | | | | | | | 500,000 | |
4.13%, 06/01/21D | | | | | | | 200,000 | | | | | | | | 204,000 | |
4.88%, 06/01/26D | | | | | | | 100,000 | | | | | | | | 101,660 | |
Verizon Communications, Inc. | | | | | | | | | | | | | | | | |
2.71%, 09/14/18† | | | | | | | 400,000 | | | | | | | | 409,030 | |
4.50%, 09/15/20 | | | | | | | 975,000 | | | | | | | | 1,044,251 | |
1.75%, 08/15/21D | | | | | | | 1,000,000 | | | | | | | | 960,353 | |
| | | | | | | | | | | | | | | | |
| | | Par | | | Value | |
5.15%, 09/15/23 | | | | | | $ | 645,000 | | | | | | | $ | 714,223 | |
4.15%, 03/15/24 | | | | | | | 750,000 | | | | | | | | 784,918 | |
2.63%, 08/15/26D | | | | | | | 1,075,000 | | | | | | | | 991,662 | |
6.40%, 09/15/33 | | | | | | | 139,000 | | | | | | | | 168,161 | |
6.55%, 09/15/43 | | | | | | | 599,000 | | | | | | | | 750,761 | |
4.86%, 08/21/46 | | | | | | | 20,000 | | | | | | | | 20,346 | |
4.67%, 03/15/55 | | | | | | | 147,000 | | | | | | | | 138,642 | |
Visa, Inc. | | | | | | | | | | | | | | | | |
3.15%, 12/14/25 | | | | | | | 600,000 | | | | | | | | 603,315 | |
4.30%, 12/14/45 | | | | | | | 360,000 | | | | | | | | 380,937 | |
Voya Financial, Inc. | | | | | | | | | | | | | | | | |
2.90%, 02/15/18 | | | | | | | 46,000 | | | | | | | | 46,582 | |
5.70%, 07/15/43 | | | | | | | 500,000 | | | | | | | | 547,414 | |
Wachovia Capital Trust III | | | | | | | | | | | | | | | | |
5.57%, 03/29/49† | | | | | | | 560,000 | | | | | | | | 550,228 | |
Walgreens Boots Alliance, Inc. | | | | | | | | | | | | | | | | |
2.70%, 11/18/19 | | | | | | | 100,000 | | | | | | | | 101,394 | |
2.60%, 06/01/21 | | | | | | | 200,000 | | | | | | | | 198,950 | |
3.45%, 06/01/26 | | | | | | | 225,000 | | | | | | | | 221,300 | |
Waste Management, Inc. | | | | | | | | | | | | | | | | |
3.50%, 05/15/24 | | | | | | | 140,000 | | | | | | | | 144,572 | |
7.38%, 05/15/29 | | | | | | | 140,000 | | | | | | | | 183,181 | |
WEA Finance LLC REIT | | | | | | | | | | | | | | | | |
3.75%, 09/17/24 144A | | | | | | | 400,000 | | | | | | | | 405,105 | |
Wells Fargo & Co. | | | | | | | | | | | | | | | | |
2.60%, 07/22/20D | | | | | | | 800,000 | | | | | | | | 805,030 | |
4.60%, 04/01/21 | | | | | | | 70,000 | | | | | | | | 75,261 | |
3.45%, 02/13/23 | | | | | | | 200,000 | | | | | | | | 200,884 | |
2.12%, 10/31/23† | | | | | | | 600,000 | | | | | | | | 607,903 | |
4.48%, 01/16/24D | | | | | | | 2,196,000 | | | | | | | | 2,313,734 | |
4.10%, 06/03/26 | | | | | | | 440,000 | | | | | | | | 446,323 | |
3.00%, 10/23/26 | | | | | | | 2,170,000 | | | | | | | | 2,069,299 | |
4.30%, 07/22/27 | | | | | | | 860,000 | | | | | | | | 885,697 | |
5.38%, 11/02/43 | | | | | | | 190,000 | | | | | | | | 210,158 | |
4.65%, 11/04/44 | | | | | | | 130,000 | | | | | | | | 128,247 | |
4.90%, 11/17/45 | | | | | | | 370,000 | | | | | | | | 380,923 | |
4.40%, 06/14/46 | | | | | | | 70,000 | | | | | | | | 67,156 | |
4.75%, 12/07/46 | | | | | | | 260,000 | | | | | | | | 264,497 | |
5.88%, 12/29/49†D | | | | | | | 600,000 | | | | | | | | 630,690 | |
Wells Fargo Capital X | | | | | | | | | | | | | | | | |
5.95%, 12/15/36 | | | | | | | 140,000 | | | | | | | | 146,300 | |
Welltower, Inc. REIT | | | | | | | | | | | | | | | | |
4.25%, 04/01/26 | | | | | | | 900,000 | | | | | | | | 934,669 | |
West Corporation | | | | | | | | | | | | | | | | |
4.75%, 07/15/21 144A | | | | | | | 60,000 | | | | | | | | 61,500 | |
5.38%, 07/15/22 144A | | | | | | | 250,000 | | | | | | | | 242,500 | |
Western Gas Partners LP | | | | | | | | | | | | | | | | |
3.95%, 06/01/25D | | | | | | | 225,000 | | | | | | | | 222,254 | |
Westlake Chemical Corporation | | | | | | | | | | | | | | | | |
4.63%, 02/15/21 144A | | | | | | | 150,000 | | | | | | | | 155,625 | |
4.88%, 05/15/23 144AD | | | | | | | 90,000 | | | | | | | | 93,600 | |
3.60%, 08/15/26 144AD | | | | | | | 200,000 | | | | | | | | 192,752 | |
WestRock RKT Co. | | | | | | | | | | | | | | | | |
3.50%, 03/01/20D | | | | | | | 150,000 | | | | | | | | 153,901 | |
4.00%, 03/01/23 | | | | | | | 30,000 | | | | | | | | 31,020 | |
Whiting Petroleum Corporation | | | | | | | | | | | | | | | | |
5.00%, 03/15/19 | | | | | | | 60,000 | | | | | | | | 60,535 | |
5.75%, 03/15/21D | | | | | | | 10,000 | | | | | | | | 10,008 | |
6.25%, 04/01/23 | | | | | | | 230,000 | | | | | | | | 231,150 | |
Williams Cos., Inc. | | | | | | | | | | | | | | | | |
7.50%, 01/15/31 | | | | | | | 10,000 | | | | | | | | 11,325 | |
7.75%, 06/15/31 | | | | | | | 25,000 | | | | | | | | 28,625 | |
8.75%, 03/15/32 | | | | | | | 451,000 | | | | | | | | 546,838 | |
5.75%, 06/24/44D | | | | | | | 70,000 | | | | | | | | 68,250 | |
| | | | |
| | See Notes to Financial Statements. | | 99 |
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | | | | | |
| | | Par | | | Value | |
Williams Partners LP | | | | | | | | | | | | | | | | |
4.00%, 11/15/21D | | | | | | $ | 600,000 | | | | | | | $ | 616,447 | |
3.60%, 03/15/22D | | | | | | | 655,000 | | | | | | | | 659,218 | |
4.88%, 05/15/23 | | | | | | | 60,000 | | | | | | | | 61,174 | |
3.90%, 01/15/25 | | | | | | | 350,000 | | | | | | | | 343,850 | |
5.10%, 09/15/45 | | | | | | | 105,000 | | | | | | | | 100,163 | |
Wm. Wrigley Jr. Co. | | | | | | | | | | | | | | | | |
2.40%, 10/21/18 144A | | | | | | | 60,000 | | | | | | | | 60,562 | |
2.90%, 10/21/19 144A | | | | | | | 230,000 | | | | | | | | 234,168 | |
WPX Energy, Inc. | | | | | | | | | | | | | | | | |
6.00%, 01/15/22D | | | | | | | 40,000 | | | | | | | | 41,200 | |
ZF North America Capital, Inc. | | | | | | | | | | | | | | | | |
4.50%, 04/29/22 144A | | | | | | | 440,000 | | | | | | | | 455,400 | |
| | | | | | | | | | | | | | | | |
Total Corporate Bonds
(Cost $191,987,353) | | | | | | | | | | | | | | | 195,501,693 | |
| | | | | | | | | | | | | | | | |
FOREIGN BONDS — 12.6% | |
Argentina — 0.1% | | | | | | | | | | | | | | | | |
Argentine Republic Government Inter- national Bond | | | | | | | | | | | | | | | | |
7.13%, 07/06/36 144A | | | | | | | 720,000 | | | | | | | | 686,700 | |
| | | | | | | | | | | | | | | | |
Australia — 0.4% | | | | | | | | | | | | | | | | |
BHP Billiton Finance (USA), Ltd. | | | | | | | | | | | | | | | | |
3.25%, 11/21/21 | | | | | | | 880,000 | | | | | | | | 907,258 | |
2.88%, 02/24/22 | | | | | | | 40,000 | | | | | | | | 40,352 | |
5.00%, 09/30/43 | | | | | | | 220,000 | | | | | | | | 246,298 | |
6.75%, 10/19/75 144A† | | | | | | | 660,000 | | | | | | | | 742,500 | |
CNOOC Finance 2015 Australia Proprietary, Ltd. | | | | | | | | | | | | | | | | |
2.63%, 05/05/20 | | | | | | | 1,300,000 | | | | | | | | 1,296,825 | |
Commonwealth Bank of Australia | | | | | | | | | | | | | | | | |
5.00%, 10/15/19 144A | | | | | | | 50,000 | | | | | | | | 53,737 | |
FMG Resources August 2006 Proprietary, Ltd. | | | | | | | | | | | | | | | | |
9.75%, 03/01/22 144A | | | | | | | 180,000 | | | | | | | | 209,713 | |
Macquarie Bank, Ltd. | | | | | | | | | | | | | | | | |
6.63%, 04/07/21 144AD | | | | | | | 275,000 | | | | | | | | 309,438 | |
Rio Tinto Finance USA, Ltd. | | | | | | | | | | | | | | | | |
3.75%, 09/20/21 | | | | | | | 10,000 | | | | | | | | 10,513 | |
Westpac Banking Corporation | | | | | | | | | | | | | | | | |
4.28%, 11/23/31W†D | | | | | | | 350,000 | | | | | | | | 351,816 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 4,168,450 | |
| | | | | | | | | | | | | | | | |
Austria — 0.0% | | | | | | | | | | | | | | | | |
Sappi Papier Holding GmbH | | | | | | | | | | | | | | | | |
7.75%, 07/15/17 144A | | | | | | | 225,000 | | | | | | | | 228,375 | |
| | | | | | | | | | | | | | | | |
Belgium — 0.0% | | | | | | | | | | | | | | | | |
KBC Bank NV | | | | | | | | | | | | | | | | |
8.00%, 01/25/23† | | | | | | | 400,000 | | | | | | | | 423,000 | |
| | | | | | | | | | | | | | | | |
Bermuda — 0.1% | | | | | | | | | | | | | | | | |
Arch Capital Group, Ltd. | | | | | | | | | | | | | | | | |
7.35%, 05/01/34 | | | | | | | 175,000 | | | | | | | | 228,606 | |
Digicel, Ltd. | | | | | | | | | | | | | | | | |
6.75%, 03/01/23 144AD | | | | | | | 300,000 | | | | | | | | 271,989 | |
NCL Corporation, Ltd. | | | | | | | | | | | | | | | | |
4.63%, 11/15/20 144A | | | | | | | 180,000 | | | | | | | | 184,050 | |
4.75%, 12/15/21 144A | | | | | | | 50,000 | | | | | | | | 50,094 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 734,739 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | Par | | | Value | |
Brazil — 0.5% | | | | | | | | | | | | | | | | |
Brazil Notas do Tesouro Nacional
Serie F | | | | | | | | | | | | | | | | |
10.00%, 01/01/17(B) | | | | | | $ | 3,249,000 | | | | | | | $ | 998,249 | |
0.00%, 01/01/21(B)W | | | | | | | 5,800,000 | | | | | | | | 1,720,609 | |
0.00%, 01/01/23(B)W | | | | | | | 3,079,000 | | | | | | | | 892,418 | |
Brazilian Government International Bond | | | | | | | | | | | | | | | | |
5.63%, 01/07/41 | | | | | | | 750,000 | | | | | | | | 671,025 | |
5.63%, 02/21/47D | | | | | | | 600,000 | | | | | | | | 528,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 4,810,301 | |
| | | | | | | | | | | | | | | | |
Canada — 0.2% | | | | | | | | | | | | | | | | |
Bank of Nova Scotia | | | | | | | | | | | | | | | | |
1.88%, 04/26/21 | | | | | | | 1,600,000 | | | | | | | | 1,561,894 | |
Barrick Gold Corporation | | | | | | | | | | | | | | | | |
4.10%, 05/01/23 | | | | | | | 73,000 | | | | | | | | 74,990 | |
Enbridge, Inc. | | | | | | | | | | | | | | | | |
3.50%, 06/10/24D | | | | | | | 150,000 | | | | | | | | 146,324 | |
Glencore Finance Canada, Ltd. | | | | | | | | | | | | | | | | |
2.70%, 10/25/17 144A | | | | | | | 530,000 | | | | | | | | 534,161 | |
Potash Corporation of Saskatchewan, Inc. | | | | | | | | | | | | | | | | |
4.88%, 03/30/20D | | | | | | | 110,000 | | | | | | | | 117,034 | |
Teck Resources, Ltd. | | | | | | | | | | | | | | | | |
8.00%, 06/01/21 144AD | | | | | | | 150,000 | | | | | | | | 165,375 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 2,599,778 | |
| | | | | | | | | | | | | | | | |
Cayman Islands — 0.1% | | | | | | | | | | | | | | | | |
Shelf Drilling Holdings, Ltd. | | | | | | | | | | | | | | | | |
8.63%, 11/01/18 144A | | | | | | | 20,000 | | | | | | | | 16,900 | |
Vale Overseas, Ltd. | | | | | | | | | | | | | | | | |
6.88%, 11/21/36 | | | | | | | 591,000 | | | | | | | | 585,090 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 601,990 | |
| | | | | | | | | | | | | | | | |
Chile — 0.2% | | | | | | | | | | | | | | | | |
Celulosa Arauco y Constitucion SA | | | | | | | | | | | | | | | | |
4.75%, 01/11/22D | | | | | | | 240,000 | | | | | | | | 250,238 | |
Chile Government International Bond | | | | | | | | | | | | | | | | |
3.63%, 10/30/42 | | | | | | | 160,000 | | | | | | | | 149,664 | |
Corporation Nacional del Cobre de Chile | | | | | | | | | | | | | | | | |
4.50%, 09/16/25 144A | | | | | | | 400,000 | | | | | | | | 407,078 | |
Latam Airlines Class A Pass-Through Trust
Series 2015-1 | | | | | | | | | | | | | | | | |
4.20%, 11/15/27 | | | | | | | 856,818 | | | | | | | | 848,249 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 1,655,229 | |
| | | | | | | | | | | | | | | | |
China — 0.1% | | | | | | | | | | | | | | | | |
China Government Bond | | | | | | | | | | | | | | | | |
3.38%, 11/21/24(Y) | | | | | | | 2,500,000 | | | | | | | | 349,540 | |
3.39%, 05/21/25(Y) | | | | | | | 2,000,000 | | | | | | | | 279,401 | |
3.31%, 11/30/25(Y) | | | | | | | 6,000,000 | | | | | | | | 831,517 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 1,460,458 | |
| | | | | | | | | | | | | | | | |
Colombia — 0.1% | | | | | | | | | | | | | | | | |
Colombia Government International Bond | | | | | | | | | | | | | | | | |
5.63%, 02/26/44D | | | | | | | 700,000 | | | | | | | | 724,500 | |
Ecopetrol SA | | | | | | | | | | | | | | | | |
5.88%, 05/28/45 | | | | | | | 720,000 | | | | | | | | 625,680 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 1,350,180 | |
| | | | | | | | | | | | | | | | |
| | | | |
| 100 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | |
| | | Par | | | Value | |
Denmark — 0.5% | | | | | | | | | | | | | | |
Realkredit Danmark A/S | | | | | | | | | | | | | | |
1.00%, 04/01/17(D) | | | | $ | 36,400,000 | | | | | | | $ | 5,172,408 | |
1.00%, 04/01/18(D) | | | | | 1,400,000 | | | | | | | | 201,497 | |
2.00%, 04/01/18(D) | | | | | 1,400,000 | | | | | | | | 203,937 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 5,577,842 | |
| | | | | | | | | | | | | | |
Dominican Republic — 0.1% | | | | | | | | | | | | | | |
Dominican Republic
International Bond | | | | | | | | | | | | | | |
10.38%, 03/04/22+(V) | | | | | 800,000 | | | | | | | | 17,421 | |
14.50%, 02/10/23(V) | | | | | 1,300,000 | | | | | | | | 32,600 | |
6.88%, 01/29/26 144A | | | | | 180,000 | | | | | | | | 187,573 | |
11.38%, 07/06/29+(V) | | | | | 700,000 | | | | | | | | 15,636 | |
7.45%, 04/30/44 144A | | | | | 320,000 | | | | | | | | 324,800 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 578,030 | |
| | | | | | | | | | | | | | |
France — 0.8% | | | | | | | | | | | | | | |
BNP Paribas SA | | | | | | | | | | | | | | |
2.38%, 09/14/17 | | | | | 270,000 | | | | | | | | 271,831 | |
BPCE SA | | | | | | | | | | | | | | |
4.63%, 07/11/24 144A | | | | | 400,000 | | | | | | | | 395,848 | |
4.50%, 03/15/25 144A | | | | | 1,300,000 | | | | | | | | 1,268,695 | |
Credit Agricole SA | | | | | | | | | | | | | | |
8.38%, 10/29/49 144A† | | | | | 510,000 | | | | | | | | 562,030 | |
7.88%, 12/29/49 144A† | | | | | 900,000 | | | | | | | | 912,460 | |
Danone SA | | | | | | | | | | | | | | |
2.08%, 11/02/21 144A | | | | | 300,000 | | | | | | | | 291,661 | |
2.59%, 11/02/23 144AD | | | | | 650,000 | | | | | | | | 627,286 | |
2.95%, 11/02/26 144A | | | | | 620,000 | | | | | | | | 592,902 | |
SFR Group SA | | | | | | | | | | | | | | |
6.25%, 05/15/24 144A | | | | | 530,000 | | | | | | | | 534,637 | |
Societe Generale SA | | | | | | | | | | | | | | |
4.25%, 04/14/25 144A | | | | | 1,400,000 | | | | | | | | 1,360,478 | |
Unibail-Rodamco SE REIT | | | | | | | | | | | | | | |
1.65%, 04/16/19† | | | | | 1,600,000 | | | | | | | | 1,593,760 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 8,411,588 | |
| | | | | | | | | | | | | | |
Germany — 0.4% | | | | | | | | | | | | | | |
Deutsche Bank AG | | | | | | | | | | | | | | |
2.50%, 02/13/19D | | | | | 100,000 | | | | | | | | 99,249 | |
2.85%, 05/10/19D | | | | | 1,600,000 | | | | | | | | 1,594,104 | |
4.25%, 10/14/21 144A | | | | | 850,000 | | | | | | | | 854,192 | |
KFW | | | | | | | | | | | | | | |
1.13%, 08/06/18 | | | | | 1,800,000 | | | | | | | | 1,793,311 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 4,340,856 | |
| | | | | | | | | | | | | | |
Greece — 0.1% | | | | | | | | | | | | | | |
Hellenic Railways Organization SA | | | | | | | | | | | | | | |
4.03%, 03/17/17(E) | | | | | 700,000 | | | | | | | | 731,331 | |
5.01%, 12/27/17(E) | | | | | 100,000 | | | | | | | | 103,029 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 834,360 | |
| | | | | | | | | | | | | | |
Guernsey — 0.2% | | | | | | | | | | | | | | |
Credit Suisse Group Funding Guernsey, Ltd. | | | | | | | | | | | | | | |
3.45%, 04/16/21 | | | | | 800,000 | | | | | | | | 805,846 | |
4.55%, 04/17/26 | | | | | 890,000 | | | | | | | | 926,080 | |
4.88%, 05/15/45 | | | | | 350,000 | | | | | | | | 360,658 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 2,092,584 | |
| | | | | | | | | | | | | | |
India — 0.0% | | | | | | | | | | | | | | |
Bharti Airtel, Ltd. | | | | | | | | | | | | | | |
4.38%, 06/10/25 144AD | | | | | 530,000 | | | | | | | | 523,594 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | Par | | | Value | |
Indonesia — 0.2% | | | | | | | | | | | | | | | | |
Indonesia Government International Bond | | | | | | | | | | | | | | | | |
4.88%, 05/05/21 | | | | | | $ | 570,000 | | | | | | | $ | 604,833 | |
3.70%, 01/08/22 144A | | | | | | | 200,000 | | | | | | | | 200,949 | |
5.38%, 10/17/23 | | | | | | | 200,000 | | | | | | | | 217,177 | |
4.75%, 01/08/26 144A | | | | | | | 250,000 | | | | | | | | 258,696 | |
4.35%, 01/08/27 144A | | | | | | | 210,000 | | | | | | | | 210,971 | |
7.75%, 01/17/38 | | | | | | | 100,000 | | | | | | | | 128,788 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 1,621,414 | |
| | | | | | | | | | | | | | | | |
Ireland — 0.4% | | | | | | | | | | | | | | | | |
GE Capital International Funding Co. | | | | | | | | | | | | | | | | |
2.34%, 11/15/20 144A | | | | | | | 1,723,000 | | | | | | | | 1,723,128 | |
3.37%, 11/15/25 144A | | | | | | | 597,000 | | | | | | | | 607,591 | |
4.42%, 11/15/35 | | | | | | | 229,000 | | | | | | | | 240,435 | |
Shire Acquisitions Investments Ireland DAC | | | | | | | | | | | | | | | | |
1.90%, 09/23/19 | | | | | | | 1,500,000 | | | | | | | | 1,481,956 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 4,053,110 | |
| | | | | | | | | | | | | | | | |
Israel — 0.2% | | | | | | | | | | | | | | | | |
Israel Government AID Bond | | | | | | | | | | | | | | | | |
5.50%, 09/18/23 | | | | | | | 1,200,000 | | | | | | | | 1,421,509 | |
5.50%, 12/04/23 | | | | | | | 200,000 | | | | | | | | 238,137 | |
5.50%, 04/26/24 | | | | | | | 500,000 | | | | | | | | 599,929 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 2,259,575 | |
| | | | | | | | | | | | | | | | |
Italy — 0.2% | | | | | | | | | | | | | | | | |
Intesa Sanpaolo SpA | | | | | | | | | | | | | | | | |
2.38%, 01/13/17 | | | | | | | 1,075,000 | | | | | | | | 1,075,155 | |
3.88%, 01/16/18 | | | | | | | 600,000 | | | | | | | | 608,128 | |
5.02%, 06/26/24 144AD | | | | | | | 975,000 | | | | | | | | 902,450 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 2,585,733 | |
| | | | | | | | | | | | | | | | |
Japan — 1.3% | | | | | | | | | | | | | | | | |
Dai-ichi Life Insurance Co., Ltd. | | | | | | | | | | | | | | | | |
4.00%, 12/29/49 144A†D | | | | | | | 375,000 | | | | | | | | 349,688 | |
Development Bank of Japan, Inc. | | | | | | | | | | | | | | | | |
1.63%, 09/01/21 144A | | | | | | | 1,300,000 | | | | | | | | 1,251,550 | |
Japan Finance Organization for Municipalities | | | | | | | | | | | | | | | | |
2.13%, 10/25/23 144A | | | | | | | 2,200,000 | | | | | | | | 2,094,794 | |
Japan Government Two Year Bond | | | | | | | | | | | | | | | | |
0.10%, 12/15/18(J) | | | | | | | 970,000,000 | | | | | | | | 8,347,336 | |
Mitsubishi UFJ Financial Group, Inc. | | | | | | | | | | | | | | | | |
2.95%, 03/01/21 | | | | | | | 250,000 | | | | | | | | 251,816 | |
3.85%, 03/01/26 | | | | | | | 200,000 | | | | | | | | 205,686 | |
Mizuho Financial Group, Inc. | | | | | | | | | | | | | | | | |
2.63%, 04/12/21 144A | | | | | | | 500,000 | | | | | | | | 495,066 | |
Sumitomo Mitsui Financial Group, Inc. | | | | | | | | | | | | | | | | |
4.44%, 04/02/24 144A | | | | | | | 350,000 | | | | | | | | 365,859 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 13,361,795 | |
| | | | | | | | | | | | | | | | |
Jersey — 0.2% | | | | | | | | | | | | | | | | |
UBM PLC | | | | | | | | | | | | | | | | |
5.75%, 11/03/20 144A | | | | | | | 230,000 | | | | | | | | 242,007 | |
UBS Group Funding Jersey, Ltd. | | | | | | | | | | | | | | | | |
3.00%, 04/15/21 144A | | | | | | | 1,500,000 | | | | | | | | 1,502,288 | |
| | | | |
| | See Notes to Financial Statements. | | 101 |
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | | | |
| | | Par | | | Value | |
2.42%, 02/01/22 144A† | | | | $ | 500,000 | | | | | | | $ | 508,447 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 2,252,742 | |
| | | | | | | | | | | | | | |
Jordan — 0.1% | | | | | | | | | | | | | | |
Hashemite Kingdom of Jordan Government AID Bond | | | | | | | | | | | | | | |
2.50%, 10/30/20 | | | | | 1,200,000 | | | | | | | | 1,232,000 | |
| | | | | | | | | | | | | | |
Luxembourg — 0.0% | | | | | | | | | | | | | | |
Altice Financing SA | | | | | | | | | | | | | | |
6.63%, 02/15/23 144A | | | | | 200,000 | | | | | | | | 206,000 | |
ArcelorMittal | | | | | | | | | | | | | | |
7.25%, 02/25/22D | | | | | 50,000 | | | | | | | | 56,625 | |
8.00%, 10/15/39 | | | | | 70,000 | | | | | | | | 77,164 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 339,789 | |
| | | | | | | | | | | | | | |
Mexico — 1.9% | | | | | | | | | | | | | | |
America Movil SAB de CV | | | | | | | | | | | | |
5.63%, 11/15/17 | | | | | 370,000 | | | | | | | | 382,355 | |
6.00%, 06/09/19(M) | | | | | 3,030,000 | | | | | | | | 139,555 | |
5.00%, 03/30/20 | | | | | 240,000 | | | | | | | | 257,030 | |
Mexican Bonos | | | | | | | | | | | | | | |
6.50%, 06/10/21(M) | | | | | 1,625,000 | | | | | | | | 76,512 | |
8.00%, 12/07/23(M) | | | | | 1,761,600 | | | | | | | | 88,264 | |
10.00%, 12/05/24(M) | | | | | 25,130,000 | | | | | | | | 1,404,830 | |
7.50%, 06/03/27(M) | | | | | 174,600 | | | | | | | | 8,397 | |
8.50%, 05/31/29(M) | | | | | 850,600 | | | | | | | | 43,728 | |
8.50%, 11/18/38(M) | | | | | 24,510,000 | | | | | | | | 1,259,073 | |
7.75%, 11/13/42(M) | | | | | 34,565,200 | | | | | | | | 1,645,985 | |
Mexico Cetes | | | | | | | | | | | | | | |
0.00%, 02/02/17(M)W | | | | | 351,352,000 | | | | | | | | 1,685,738 | |
0.00%, 02/16/17(M)W | | | | | 310,955,900 | | | | | | | | 1,488,608 | |
0.00%, 02/23/17(M)W | | | | | 316,745,100 | | | | | | | | 1,514,626 | |
0.00%, 03/02/17(M)W | | | | | 323,836,300 | | | | | | | | 1,546,817 | |
0.00%, 03/16/17(M)W | | | | | 371,865,300 | | | | | | | | 1,771,583 | |
0.00%, 03/30/17(M)W | | | | | 279,130,600 | | | | | | | | 1,326,761 | |
0.00%, 06/08/17(M)W | | | | | 515,217,800 | | | | | | | | 2,418,458 | |
Mexico Government International Bond | | | | | | | | | | | | | | |
4.75%, 03/08/44 | | | | | 440,000 | | | | | | | | 401,192 | |
5.55%, 01/21/45D | | | | | 850,000 | | | | | | | | 872,313 | |
Petroleos Mexicanos | | | | | | | | | | | | | | |
5.50%, 02/04/19 144A | | | | | 50,000 | | | | | | | | 51,920 | |
6.38%, 02/04/21 | | | | | 11,000 | | | | | | | | 11,743 | |
5.13%, 03/15/23(E) | | | | | 110,000 | | | | | | | | 125,451 | |
6.88%, 08/04/26 144A | | | | | 200,000 | | | | | | | | 211,500 | |
6.63%, 06/15/35 | | | | | 159,000 | | | | | | | | 157,410 | |
5.50%, 06/27/44 | | | | | 170,000 | | | | | | | | 142,324 | |
6.38%, 01/23/45D | | | | | 580,000 | | | | | | | | 530,700 | |
Trust F/1401 REIT | | | | | | | | | | | | | | |
5.25%, 12/15/24 144A | | | | | 200,000 | | | | | | | | 196,750 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 19,759,623 | |
| | | | | | | | | | | | | | |
Morocco & Antilles — 0.0% | | | | | | | | | |
OCP SA | | | | | | | | | | | | | | |
4.50%, 10/22/25 144A | | | | | 450,000 | | | | | | | | 431,466 | |
| | | | | | | | | | | | | | |
Netherlands — 0.8% | | | | | | | | | | | | | | |
ABN AMRO Bank NV | | | | | | | | | | | | | | |
4.75%, 07/28/25 144A | | | | | 200,000 | | | | | | | | 203,112 | |
Alcoa Nederland Holding BV | | | | | | | | | | | | | | |
7.00%, 09/30/26 144AD | | | | | 200,000 | | | | | | | | 219,500 | |
Cooperatieve Rabobank UA | | | | | | | | | | | | | | |
4.63%, 12/01/23D | | | | | 400,000 | | | | | | | | 421,458 | |
4.38%, 08/04/25 | | | | | 670,000 | | | | | | | | 688,732 | |
11.00%, 12/29/49 144A† | | | | | 487,000 | | | | | | | | 574,197 | |
| | | | | | | | | | | | | | | | |
| | | Par | | | Value | |
Equate Petrochemical BV | | | | | | | | | | | | | | | | |
4.25%, 11/03/26 144A | | | | | | $ | 260,000 | | | | | | | $ | 248,960 | |
Fiat Chrysler Automobiles NV | | | | | | | | | | | | | | | | |
4.50%, 04/15/20D | | | | | | | 200,000 | | | | | | | | 204,500 | |
ING Bank NV | | | | | | | | | | | | | | | | |
5.80%, 09/25/23 144A | | | | | | | 340,000 | | | | | | | | 374,112 | |
4.13%, 11/21/23† | | | | | | | 600,000 | | | | | | | | 608,295 | |
Majapahit Holding BV | | | | | | | | | | | | | | | | |
7.75%, 01/20/20 | | | | | | | 240,000 | | | | | | | | 270,000 | |
NXP BV | | | | | | | | | | | | | | | | |
4.63%, 06/01/23 144AD | | | | | | | 800,000 | | | | | | | | 842,000 | |
Petrobras Global Finance BV | | | | | | | | | | | | | | | | |
4.88%, 03/17/20 | | | | | | | 20,000 | | | | | | | | 19,824 | |
5.38%, 01/27/21D | | | | | | | 1,230,000 | | | | | | | | 1,206,015 | |
8.38%, 05/23/21D | | | | | | | 90,000 | | | | | | | | 97,200 | |
6.25%, 03/17/24 | | | | | | | 380,000 | | | | | | | | 365,446 | |
6.85%, 06/05/15 | | | | | | | 350,000 | | | | | | | | 285,250 | |
Royal Bank of Scotland NV | | | | | | | | | | | | | | | | |
4.65%, 06/04/18D | | | | | | | 130,000 | | | | | | | | 132,204 | |
Shell International Finance BV | | | | | | | | | | | | | | | | |
4.38%, 03/25/20 | | | | | | | 320,000 | | | | | | | | 341,997 | |
2.88%, 05/10/26 | | | | | | | 410,000 | | | | | | | | 396,867 | |
4.13%, 05/11/35D | | | | | | | 120,000 | | | | | | | | 122,764 | |
4.38%, 05/11/45 | | | | | | | 230,000 | | | | | | | | 233,554 | |
4.00%, 05/10/46 | | | | | | | 70,000 | | | | | | | | 67,108 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 7,923,095 | |
| | | | | | | | | | | | | | | | |
Peru — 0.1% | | | | | | | | | | | | | | | | |
Peruvian Government International Bond | | | | | | | | | | | | | | | | |
6.55%, 03/14/37 | | | | | | | 160,000 | | | | | | | | 201,680 | |
5.63%, 11/18/50D | | | | | | | 330,000 | | | | | | | | 374,550 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 576,230 | |
| | | | | | | | | | | | | | | | |
Poland — 0.4% | | | | | | | | | | | | | | | | |
Poland Government Bond | | | | | | | | | | | | | | | | |
2.00%, 04/25/21(P) | | | | | | | 690,000 | | | | | | | | 159,678 | |
3.25%, 07/25/25(P) | | | | | | | 9,610,000 | | | | | | | | 2,255,358 | |
2.50%, 07/25/26(P) | | | | | | | 2,060,000 | | | | | | | | 448,094 | |
Poland Government International Bond | | | | | | | | | | | | | | | | |
4.00%, 01/22/24 | | | | | | | 980,000 | | | | | | | | 1,004,626 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 3,867,756 | |
| | | | | | | | | | | | | | | | |
Russia — 0.3% | | | | | | | | | | | | | | | | |
Russian Federal Bond - OFZ | | | | | | | | | | | | | | | | |
7.00%, 08/16/23(Q) | | | | | | | 12,100,000 | | | | | | | | 186,110 | |
7.75%, 09/16/26(Q) | | | | | | | 9,710,000 | | | | | | | | 151,761 | |
8.15%, 02/03/27(Q) | | | | | | | 43,040,000 | | | | | | | | 701,432 | |
7.05%, 01/19/28(Q) | | | | | | | 106,530,000 | | | | | | | | 1,594,097 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 2,633,400 | |
| | | | | | | | | | | | | | | | |
South Korea — 0.2% | | | | | | | | | | | | | | | | |
Export-Import Bank of Korea | | | | | | | | | | | | | | | | |
5.00%, 04/11/22 | | | | | | | 1,500,000 | | | | | | | | 1,656,471 | |
| | | | | | | | | | | | | | | | |
Spain — 0.1% | | | | | | | | | | | | | | | | |
Telefonica Emisiones SA Unipersonal | | | | | | | | | | | | | | | | |
6.22%, 07/03/17 | | | | | | | 20,000 | | | | | | | | 20,451 | |
5.88%, 07/15/19 | | | | | | | 70,000 | | | | | | | | 75,914 | |
5.46%, 02/16/21 | | | | | | | 900,000 | | | | | | | | 981,974 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 1,078,339 | |
| | | | | | | | | | | | | | | | |
| | | | |
| 102 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | |
| | | Par | | | Value | |
Supranational — 0.0% | | | | | | | | | | | | | | | | |
Inter-American Development Bank | | | | | | | | | | | | | | | | |
1.00%, 02/27/18 | | | | | | $ | 400,000 | | | | | | | $ | 397,403 | |
| | | | | | | | | | | | | | | | |
Sweden — 0.2% | | | | | | | | | | | | | | | | |
Nordea Bank AB | | | | | | | | | | | | | | | | |
4.88%, 05/13/21 144A | | | | | | | 640,000 | | | | | | | | 688,292 | |
Stadshypotek AB | | | | | | | | | | | | | | | | |
1.88%, 10/02/19 144A | | | | | | | 900,000 | | | | | | | | 895,732 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 1,584,024 | |
| | | | | | | | | | | | | | | | |
Switzerland — 0.2% | | | | | | | | | | | | | | | | |
Credit Suisse AG | | | | | | | | | | | | | | | | |
1.38%, 05/26/17 | | | | | | | 1,500,000 | | | | | | | | 1,500,435 | |
6.50%, 08/08/23 144A | | | | | | | 225,000 | | | | | | | | 239,922 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 1,740,357 | |
| | | | | | | | | | | | | | | | |
Turkey — 0.1% | | | | | | | | | | | | | | | | |
Turkish Airlines Class A Pass-Through Trust Series 2015-1 | | | | | | | | | | | | | | | | |
4.20%, 03/15/27 144A | | | | | | | 1,448,706 | | | | | | | | 1,417,994 | |
| | | | | | | | | | | | | | | | |
United Kingdom — 1.7% | | | | | | | | | | | | | | | | |
Bank of Scotland PLC | | | | | | | | | | | | | | | | |
5.25%, 02/21/17 144A | | | | | | | 100,000 | | | | | | | | 100,694 | |
Barclays Bank PLC | | | | | | | | | | | | | | | | |
1.75%, 09/08/17† | | | | | | | 2,900,000 | | | | | | | | 2,904,591 | |
1.77%, 11/06/17† | | | | | | | 300,000 | | | | | | | | 300,280 | |
6.05%, 12/04/17 144A | | | | | | | 230,000 | | | | | | | | 237,716 | |
Barclays PLC | | | | | | | | | | | | | | | | |
2.99%, 08/10/21† | | | | | | | 1,600,000 | | | | | | | | 1,640,619 | |
6.50%, 12/29/49(E)† | | | | | | | 800,000 | | | | | | | | 819,605 | |
BP Capital Markets PLC | | | | | | | | | | | | | | | | |
3.56%, 11/01/21 | | | | | | | 30,000 | | | | | | | | 31,337 | |
3.22%, 11/28/23 | | | | | | | 370,000 | | | | | | | | 374,034 | |
3.51%, 03/17/25 | | | | | | | 390,000 | | | | | | | | 394,147 | |
3.12%, 05/04/26 | | | | | | | 70,000 | | | | | | | | 68,449 | |
Centrica PLC | | | | | | | | | | | | | | | | |
4.25%, 09/12/44(U) | | | | | | | 200,000 | | | | | | | | 302,652 | |
Ensco PLC | | | | | | | | | | | | | | | | |
4.70%, 03/15/21D | | | | | | | 130,000 | | | | | | | | 125,700 | |
GlaxoSmithKline Capital PLC | | | | | | | | | | | | | | | | |
2.85%, 05/08/22 | | | | | | | 350,000 | | | | | | | | 353,073 | |
5.25%, 12/19/33(U) | | | | | | | 100,000 | | | | | | | | 172,558 | |
Hammerson PLC REIT | | | | | | | | | | | | | | | | |
3.50%, 10/27/25(U)D | | | | | | | 100,000 | | | | | | | | 132,053 | |
HSBC Bank PLC | | | | | | | | | | | | | | | | |
4.75%, 01/19/21 144A | | | | | | | 200,000 | | | | | | | | 214,455 | |
HSBC Holdings PLC | | | | | | | | | | | | | | | | |
3.40%, 03/08/21 | | | | | | | 610,000 | | | | | | | | 620,657 | |
2.50%, 01/05/22† | | | | | | | 400,000 | | | | | | | | 407,740 | |
4.25%, 03/14/24 | | | | | | | 240,000 | | | | | | | | 244,246 | |
4.25%, 08/18/25D | | | | | | | 420,000 | | | | | | | | 424,602 | |
4.30%, 03/08/26 | | | | | | | 220,000 | | | | | | | | 228,370 | |
6.50%, 09/15/37 | | | | | | | 1,000,000 | | | | | | | | 1,243,519 | |
6.00%, 12/29/49(E)† | | | | | | | 800,000 | | | | | | | | 873,008 | |
6.38%, 12/29/49† | | | | | | | 300,000 | | | | | | | | 295,875 | |
Lloyds Bank PLC | | | | | | | | | | | | | | | | |
12.00%, 12/29/49 144A† | | | | | | | 1,200,000 | | | | | | | | 1,605,000 | |
Lloyds Banking Group PLC | | | | | | | | | | | | | | | | |
4.50%, 11/04/24D | | | | | | | 240,000 | | | | | | | | 244,637 | |
Royal Bank of Scotland Group PLC | | | | | | | | | | | | | | | | |
6.13%, 12/15/22 | | | | | | | 180,000 | | | | | | | | 191,639 | |
| | | | | | | | | | | | | | | | |
| | | Par | | | Value | |
6.00%, 12/19/23 | | | | | | $ | 110,000 | | | | | | | $ | 114,419 | |
5.13%, 05/28/24D | | | | | | | 280,000 | | | | | | | | 279,608 | |
Santander UK PLC | | | | | | | | | | | | | | | | |
5.00%, 11/07/23 144A | | | | | | | 350,000 | | | | | | | | 357,253 | |
Severn Trent Utilities Finance PLC | | | | | | | | | | | | | | | | |
6.25%, 06/07/29(U) | | | | | | | 200,000 | | | | | | | | 350,870 | |
Standard Chartered PLC | | | | | | | | | | | | | | | | |
5.70%, 03/26/44 144A | | | | | | | 680,000 | | | | | | | | 681,485 | |
Virgin Media Finance PLC | | | | | | | | | | | | | | | | |
6.38%, 04/15/23 144AD | | | | | | | 200,000 | | | | | | | | 208,750 | |
6.00%, 10/15/24 144AD | | | | | | | 600,000 | | | | | | | | 620,250 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 17,163,891 | |
| | | | | | | | | | | | | | | | |
Virgin Islands (British) — 0.1% | |
Sinopec Group Overseas Development 2014, Ltd. | | | | | | | | | | | | | | | | |
4.38%, 04/10/24 144AD | | | | | | | 750,000 | | | | | | | | 780,756 | |
| | | | | | | | | | | | | | | | |
Total Foreign Bonds
(Cost $133,348,225) | | | | | | | | | | | | | | | 129,795,017 | |
| | | | | | | | | | | | | | | | |
FOREIGN GOVERNMENT INFLATION-LINKED BOND — 0.1% | |
Brazil — 0.1% | | | | | | | | | | | | | | | | |
Brazil Notas do Tesouro Nacional Serie B 6.00%, 08/15/50+(B) (Cost $750,476) | | | | | | | 662,000 | | | | | | | | 624,389 | |
| | | | | | | | | | | | | | | | |
LOAN AGREEMENTS — 0.5% | |
Charter Communications Operating LLC Term I Loan | | | | | | | | | | | | | | | | |
0.00%, 01/24/23 S | | | | | | | 1,000,000 | | | | | | | | 1,005,180 | |
CHS/Community Health Systems, Inc. Term H Loan | | | | | | | | | | | | | | | | |
4.00%, 01/27/21 | | | | | | | 315,094 | | | | | | | | 304,592 | |
First Data Corporation Term Loan | | | | | | | | | | | | | | | | |
0.00%, 03/24/21 S | | | | | | | 1,000,000 | | | | | | | | 1,011,250 | |
Michaels Stores, Inc. Term B-1 Loan | | | | | | | | | | | | | | | | |
3.75%, 01/28/23 | | | | | | | 997,257 | | | | | | | | 1,008,167 | |
Petsmart, Inc. Term B Loan | | | | | | | | | | | | | | | | |
4.00%, 03/10/22 | | | | | | | 997,468 | | | | | | | | 999,962 | |
Univision Communications, Inc. Term C-4 Loan | | | | | | | | | | | | | | | | |
4.00%, 03/01/20 | | | | | | | 997,331 | | | | | | | | 1,002,318 | |
| | | | | | | | | | | | | | | | |
Total Loan Agreements
(Cost $5,333,547) | | | | | | | | | | | | | | | 5,331,469 | |
| | | | | | | | | | | | | | | | |
MORTGAGE-BACKED SECURITIES — 37.2% | |
Alba PLC Series 2007-1 | | | | | | | | | | | | | | | | |
0.54%, 03/17/39(U)† | | | | | | | 916,454 | | | | | | | | 1,046,002 | |
Alba PLC Series 2015-1 | | | | | | | | | | | | | | | | |
1.51%, 04/24/49(U)† | | | | | | | 873,289 | | | | | | | | 1,077,661 | |
Alternative Loan Trust Series 2005-72 | | | | | | | | | | | | | | | | |
1.03%, 01/25/36† | | | | | | | 347,619 | | | | | | | | 286,551 | |
Alternative Loan Trust Series 2006-OA11 | | | | | | | | | | | | | | | | |
0.95%, 09/25/46† | | | | | | | 587,874 | | | | | | | | 450,465 | |
| | | | |
| | See Notes to Financial Statements. | | 103 |
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | | | | | |
| | | Par | | | Value | |
American Home Mortgage Assets Trust Series 2006-5 | | | | | | | | | | | | | | | | |
1.49%, 11/25/46† | | | | | | $ | 898,944 | | | | | | | $ | 465,172 | |
American Home Mortgage Investment Trust Series 2005-2 | | | | | | | | | | | | | | | | |
2.78%, 09/25/45† | | | | | | | 952,949 | | | | | | | | 940,940 | |
Banc of America Commercial Mortgage Trust Series 2007-2 | | | | | | | | | | | | | | | | |
5.65%, 04/10/49† | | | | | | | 75,000 | | | | | | | | 75,215 | |
Banc of America Funding Trust Series 2005-D | | | | | | | | | | | | | | | | |
3.03%, 05/25/35† | | | | | | | 1,093,528 | | | | | | | | 1,115,914 | |
Banc of America Mortgage Trust Series 2004-F | | | | | | | | | | | | | | | | |
3.17%, 07/25/34† | | | | | | | 77,472 | | | | | | | | 78,616 | |
Banc of America Re-REMIC Trust Series 2010-UB5 | | | | | | | | | | | | | | | | |
5.74%, 02/17/51 144A† | | | | | | | 35,305 | | | | | | | | 35,473 | |
Bayview Commercial Asset Trust Series 2004-3 | | | | | | | | | | | | | | | | |
1.13%, 01/25/35 144A† | | | | | | | 484,777 | | | | | | | | 443,951 | |
BBCCRE Trust Series 2015-GTP | | | | | | | | | | | | | | | | |
3.97%, 08/10/33 144A | | | | | | | 1,600,000 | | | | | | | | 1,631,677 | |
4.71%, 08/10/33 144A† | | | | | | | 1,210,000 | | | | | | | | 1,031,352 | |
4.72%, 08/10/33 144A† | | | | | | | 490,000 | | | | | | | | 446,921 | |
BBCMS Trust Series 2015-RRI | | | | | | | | | | | | | | | | |
1.85%, 05/15/32 144A† | | | | | | | 1,625,786 | | | | | | | | 1,625,857 | |
BBCMS Trust Series 2015-STP | | | | | | | | | | | | | | | | |
3.32%, 09/10/28 144A | | | | | | | 1,600,000 | | | | | | | | 1,623,794 | |
Bear Stearns Adjustable Rate Mortgage Trust Series 2002-11 | | | | | | | | | | | | | | | | |
2.75%, 02/25/33† | | | | | | | 9,959 | | | | | | | | 9,882 | |
Bear Stearns Adjustable Rate Mortgage Trust Series 2004-2 | | | | | | | | | | | | | | | | |
2.68%, 05/25/34† | | | | | | | 35,833 | | | | | | | | 32,952 | |
Bear Stearns Adjustable Rate Mortgage Trust Series 2005-2 | | | | | | | | | | | | | | | | |
2.92%, 03/25/35† | | | | | | | 363,017 | | | | | | | | 364,765 | |
Bear Stearns ALT-A Trust Series 2005-4 | | | | | | | | | | | | | | | | |
2.99%, 05/25/35† | | | | | | | 272,858 | | | | | | | | 267,725 | |
Bear Stearns Commercial Mortgage Securities Trust Series 2007-PW18 | | | | | | | | | | | | | | | | |
5.60%, 06/11/50 | | | | | | | 740,634 | | | | | | | | 760,582 | |
Bear Stearns Structured Products, Inc. Trust Series 2007-R6 | | | | | | | | | | | | | | | | |
3.01%, 01/26/36† | | | | | | | 767,887 | | | | | | | | 601,647 | |
Berica 8 Residential MBS S.r.l. Series 8 | | | | | | | | | | | | | | | | |
0.00%, 03/31/48(E)† | | | | | | | 94,700 | | | | | | | | 99,084 | |
| | | | | | | | | | | | | | | | |
| | | Par | | | Value | |
Berica ABS S.r.l. Series 2011-1 | | | | | | | | | | | | | | | | |
0.00%, 12/31/55(E)† | | | | | | $ | 543,788 | | | | | | | $ | 571,401 | |
Bluestone Securities PLC Series 2007-1 | | | | | | | | | | | | | | | | |
0.58%, 06/09/44(U)† | | | | | | | 533,197 | | | | | | | | 636,497 | |
CD Commercial Mortgage Trust Series 2016-CD2 | | | | | | | | | | | | | | | | |
3.53%, 11/10/49† | | | | | | | 380,000 | | | | | | | | 390,697 | |
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-4A | | | | | | | | | | | | | | | | |
0.99%, 10/25/35 144A† | | | | | | | 226,573 | | | | | | | | 200,147 | |
CHL Mortgage Pass-Through Trust Series 2003-58 | | | | | | | | | | | | | | | | |
3.36%, 02/19/34† | | | | | | | 427,480 | | | | | | | | 426,222 | |
CHL Mortgage Pass-Through Trust Series 2004-HYB5 | | | | | | | | | | | | | | | | |
3.04%, 04/20/35† | | | | | | | 1,045,214 | | | | | | | | 1,038,149 | |
Citigroup Commercial Mortgage Trust Series 2008-C7 | | | | | | | | | | | | | | | | |
6.05%, 12/10/49† | | | | | | | 557,607 | | | | | | | | 569,042 | |
Citigroup Commercial Mortgage Trust Series 2014-GC21 | | | | | | | | | | | | | | | | |
5.25%, 05/10/47 IOW† | | | | | | | 1,212,697 | | | | | | | | 82,077 | |
Citigroup Commercial Mortgage Trust Series 2015-GC27 | | | | | | | | | | | | | | | | |
3.14%, 02/10/48 | | | | | | | 1,020,000 | | | | | | | | 1,018,418 | |
Citigroup Commercial Mortgage Trust Series 2015-GC29 | | | | | | | | | | | | | | | | |
3.11%, 04/10/48 144A | | | | | | | 420,000 | | | | | | | | 289,762 | |
COMM Mortgage Trust Series 2007-C9 | | | | | | | | | | | | | | | | |
5.81%, 12/10/49† | | | | | | | 1,079,109 | | | | | | | | 1,093,303 | |
COMM Mortgage Trust Series 2013-CR6 | | | | | | | | | | | | | | | | |
3.40%, 03/10/46 144A | | | | | | | 390,000 | | | | | | | | 389,867 | |
COMM Mortgage Trust Series 2013-CR12 | | | | | | | | | | | | | | | | |
4.30%, 10/10/46 | | | | | | | 50,000 | | | | | | | | 53,028 | |
4.76%, 10/10/46† | | | | | | | 40,000 | | | | | | | | 43,005 | |
5.08%, 10/10/46† | | | | | | | 20,000 | | | | | | | | 20,687 | |
COMM Mortgage Trust Series 2013-CR13 | | | | | | | | | | | | | | | | |
4.39%, 12/10/23 IOW† | | | | | | | 1,092,051 | | | | | | | | 44,019 | |
COMM Mortgage Trust Series 2014-277P | | | | | | | | | | | | | | | | |
3.61%, 08/10/49 144A† | | | | | | | 160,000 | | | | | | | | 165,779 | |
COMM Mortgage Trust Series 2014-CR19 | | | | | | | | | | | | | | | | |
4.72%, 08/10/47† | | | | | | | 218,000 | | | | | | | | 215,780 | |
COMM Mortgage Trust Series 2015-DC1 | | | | | | | | | | | | | | | | |
4.04%, 02/10/48† | | | | | | | 100,000 | | | | | | | | 99,386 | |
4.35%, 02/10/48† | | | | | | | 80,000 | | | | | | | | 75,662 | |
COMM Mortgage Trust Series 2015-LC19 | | | | | | | | | | | | | | | | |
3.83%, 02/10/48† | | | | | | | 100,000 | | | | | | | | 101,717 | |
4.26%, 02/10/48† | | | | | | | 190,000 | | | | | | | | 190,133 | |
| | | | |
| 104 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | |
| | | Par | | | Value | |
Commercial Mortgage Pass-Through Certificates Series 2012-CR3 | | | | | | $ | 30,000 | | | | | | | $ | 30,370 | |
2.82%, 10/15/45 | | | | | | | | | | | | | | | | |
Core Industrial Trust Series 2015-TEXW | | | | | | | | | | | | | | | | |
3.85%, 02/10/34 144A† | | | | | | | 460,000 | | | | | | | | 416,829 | |
Credit Suisse First Boston Mortgage Securities Corporation Series 2003-19 | | | | | | | | | | | | | | | | |
(3.00)%, 07/25/33 IOW | | | | | | | 3,284 | | | | | | | | 67 | |
Credit Suisse First Boston Mortgage Securities Corporation Series 2003-AR18 | | | | | | | | | | | | | | | | |
(3.00)%, 07/25/33 IOW† | | | | | | | 52,201 | | | | | | | | — | |
Credit Suisse First Boston Mortgage Securities Corporation Series 2003-AR20 | | | | | | | | | | | | | | | | |
(3.00)%, 08/25/33 IOW† | | | | | | | 54,970 | | | | | | | | — | |
CSAIL Commercial Mortgage Trust Series 2015-C1 | | | | | | | | | | | | | | | | |
4.04%, 04/15/50† | | | | | | | 60,000 | | | | | | | | 61,806 | |
CSMC Trust Series 2014-TIKI | | | | | | | | | | | | | | | | |
1.60%, 09/15/38 144A† | | | | | | | 300,000 | | | | | | | | 293,911 | |
CSMC Trust Series 2014-USA | | | | | | | | | | | | | | | | |
4.37%, 09/15/37 144A | | | | | | | 210,000 | | | | | | | | 193,407 | |
EQTY Mortgage Trust Series 2014-INNS | | | | | | | | | | | | | | | | |
3.00%, 05/08/31 144A† | | | | | | | 400,000 | | | | | | | | 395,481 | |
Fannie Mae Connecticut Avenue Securities Series 2016-C04 | | | | | | | | | | | | | | | | |
5.01%, 01/25/29† | | | | | | | 200,000 | | | | | | | | 207,366 | |
Federal Home Loan Mortgage Corporation | | | | | | | | | | | | | | | | |
8.50%, 06/01/18 | | | | | | | 162 | | | | | | | | 163 | |
4.50%, 09/01/18 | | | | | | | 1,304 | | | | | | | | 1,338 | |
8.00%, 08/01/24 | | | | | | | 1,165 | | | | | | | | 1,282 | |
4.00%, 10/01/25 | | | | | | | 259,501 | | | | | | | | 272,979 | |
5.50%, 02/01/27 | | | | | | | 41,902 | | | | | | | | 46,416 | |
7.50%, 11/01/29 | | | | | | | 4,513 | | | | | | | | 5,355 | |
7.50%, 12/01/29 | | | | | | | 4,923 | | | | | | | | 5,864 | |
7.50%, 02/01/31 | | | | | | | 4,657 | | | | | | | | 4,845 | |
2.73%, 07/01/31† | | | | | | | 3,336 | | | | | | | | 3,448 | |
7.50%, 11/01/31 | | | | | | | 8,581 | | | | | | | | 8,610 | |
3.10%, 04/01/32† | | | | | | | 2,097 | | | | | | | | 2,192 | |
3.50%, 08/01/33 | | | | | | | 1,187,382 | | | | | | | | 1,239,849 | |
5.00%, 08/01/33 | | | | | | | 6,299 | | | | | | | | 6,924 | |
5.00%, 09/01/33 | | | | | | | 1,218 | | | | | | | | 1,338 | |
5.00%, 10/01/33 | | | | | | | 3,789 | | | | | | | | 4,131 | |
3.01%, 03/01/34† | | | | | | | 1,998 | | | | | | | | 2,112 | |
5.00%, 12/01/34 | | | | | | | 103,254 | | | | | | | | 113,097 | |
5.50%, 05/01/35 | | | | | | | 262,227 | | | | | | | | 294,179 | |
5.00%, 07/01/35 | | | | | | | 5,702 | | | | | | | | 6,268 | |
5.00%, 11/01/35 | | | | | | | 146,686 | | | | | | | | 159,629 | |
5.50%, 11/01/35 | | | | | | | 36,996 | | | | | | | | 40,989 | |
5.00%, 12/01/35 | | | | | | | 15,378 | | | | | | | | 17,056 | |
5.50%, 01/01/36 | | | | | | | 28,863 | | | | | | | | 32,518 | |
6.00%, 02/01/36 | | | | | | | 206,109 | | | | | | | | 232,847 | |
5.00%, 02/01/37 | | | | | | | 15,845 | | | | | | | | 17,308 | |
| | | | | | | | | | | | | | | | | | | | |
| | | Par | | | Value | |
5.50%, 07/01/37 | | | | | | | | | | $ | 46,627 | | | | | | | $ | 52,340 | |
5.50%, 04/01/38 | | | | | | | | | | | 11,138 | | | | | | | | 12,421 | |
7.00%, 02/01/39 | | | | | | | | | | | 147,859 | | | | | | | | 169,212 | |
7.00%, 03/01/39 | | | | | | | | | | | 27,982 | | | | | | | | 30,047 | |
5.50%, 04/01/39 | | | | | | | | | | | 259,367 | | | | | | | | 290,116 | |
4.50%, 06/01/39 | | | | | | | | | | | 124,760 | | | | | | | | 134,509 | |
6.50%, 09/01/39 | | | | | | | | | | | 50,854 | | | | | | | | 57,934 | |
5.50%, 08/01/40 | | | | | | | | | | | 238,803 | | | | | | | | 266,012 | |
4.00%, 02/01/41 | | | | | | | | | | | 82,846 | | | | | | | | 87,341 | |
5.00%, 06/01/41 | | | | | | | | | | | 3,785 | | | | | | | | 4,127 | |
3.50%, 01/01/42 TBA | | | | | | | | | | | 2,200,000 | | | | | | | | 2,252,674 | |
3.50%, 10/01/42 | | | | | | | | | | | 151,892 | | | | | | | | 156,475 | |
4.00%, 10/01/42 | | | | | | | | | | | 69,976 | | | | | | | | 74,141 | |
3.50%, 11/01/42 | | | | | | | | | | | 309,389 | | | | | | | | 318,746 | |
3.50%, 12/01/42 | | | | | | | | | | | 79,055 | | | | | | | | 81,446 | |
3.50%, 01/01/43 | | | | | | | | | | | 477,957 | | | | | | | | 492,399 | |
3.50%, 02/01/43 | | | | | | | | | | | 348,769 | | | | | | | | 359,306 | |
3.50%, 03/01/43 | | | | | | | | | | | 835,214 | | | | | | | | 860,382 | |
3.50%, 04/01/43 | | | | | | | | | | | 739,634 | | | | | | | | 762,166 | |
4.00%, 04/01/43 | | | | | | | | | | | 162,400 | | | | | | | | 172,161 | |
3.50%, 05/01/43 | | | | | | | | | | | 562,042 | | | | | | | | 578,653 | |
4.00%, 05/01/43 | | | | | | | | | | | 76,256 | | | | | | | | 81,086 | |
4.00%, 06/01/43 | | | | | | | | | | | 80,111 | | | | | | | | 85,164 | |
4.00%, 07/01/43 | | | | | | | | | | | 293,305 | | | | | | | | 311,487 | |
4.00%, 08/01/43 | | | | | | | | | | | 169,503 | | | | | | | | 179,704 | |
3.00%, 12/01/43 TBA | | | | | | | | | | | 2,000,000 | | | | | | | | 1,985,949 | |
4.50%, 12/01/43 | | | | | | | | | | | 1,091,048 | | | | | | | | 1,194,122 | |
3.50%, 02/01/44 | | | | | | | | | | | 82,968 | | | | | | | | 85,471 | |
4.50%, 02/01/44 | | | | | | | | | | | 827,199 | | | | | | | | 905,412 | |
4.50%, 03/01/44 | | | | | | | | | | | 264,925 | | | | | | | | 289,997 | |
3.50%, 03/01/45 | | | | | | | | | | | 894,362 | | | | | | | | 921,352 | |
3.50%, 06/01/45 | | | | | | | | | | | 514,589 | | | | | | | | 529,153 | |
3.50%, 10/01/45 | | | | | | | | | | | 405,465 | | | | | | | | 416,759 | |
3.50%, 02/01/46 TBA | | | | | | | | | | | 2,000,000 | | | | | | | | 2,044,796 | |
3.50%, 03/01/46 | | | | | | | | | | | 1,861,340 | | | | | | | | 1,913,201 | |
3.50%, 05/01/46 | | | | | | | | | | | 386,384 | | | | | | | | 396,928 | |
Federal Home Loan Mortgage Corporation Reference REMIC Series R007 | | | | | | | | | | | | | | | | | | | | |
6.00%, 05/15/36 | | | | | | | | | | | 263,993 | | | | | | | | 296,623 | |
Federal Home Loan Mortgage Corporation REMIC Series 3325 | | | | | | | | | | | | | | | | | | | | |
1.20%, 06/15/37† | | | | | | | | | | | 194,869 | | | | | | | | 195,577 | |
Federal Home Loan Mortgage Corporation REMIC Series 3621 | | | | | | | | | | | | | | | | | | | | |
1.55%, 01/15/40 IOW† | | | | | | | | | | | 350,969 | | | | | | | | 62,989 | |
Federal Home Loan Mortgage Corporation REMIC Series 3947 | | | | | | | | | | | | | | | | | | | | |
4.04%, 10/15/41 IOW† | | | | | | | | | | | 236,163 | | | | | | | | 39,694 | |
Federal Home Loan Mortgage Corporation REMIC Series 4076 | | | | | | | | | | | | | | | | | | | | |
4.41%, 07/15/42 IOW† | | | | | | | | | | | 64,072 | | | | | | | | 14,292 | |
Federal Home Loan Mortgage Corporation REMIC Series 4092 | | | | | | | | | | | | | | | | | | | | |
6.58%, 09/15/31 IOW | | | | | | | | | | | 511,900 | | | | | | | | 51,154 | |
Federal Home Loan Mortgage Corporation REMIC Series 4099 | | | | | | | | | | | | | | | | | | | | |
4.99%, 08/15/42 IOW† | | | | | | | | | | | 310,604 | | | | | | | | 61,081 | |
| | | | |
| | See Notes to Financial Statements. | | 105 |
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | | | | | |
| | | Par | | | Value | |
Federal Home Loan Mortgage Corporation REMIC
Series 4194 | | | | | | | | | | | | | | | | |
7.94%, 04/15/43 IOW | | | | | | $ | 1,180,882 | | | | | | | $ | 175,567 | |
Federal Home Loan Mortgage Corporation REMIC
Series 4210 | | | | | | | | | | | | | | | | |
3.00%, 05/15/43 | | | | | | | 327,078 | | | | | | | | 312,742 | |
Federal Home Loan Mortgage Corporation REMIC
Series 4239 | | | | | | | | | | | | | | | | |
0.64%, 06/15/27 IOW | | | | | | | 510,037 | | | | | | | | 55,824 | |
Federal Home Loan Mortgage Corporation REMIC
Series 4298 | | | | | | | | | | | | | | | | |
1.89%, 04/15/43 IOW | | | | | | | 422,002 | | | | | | | | 67,987 | |
Federal Home Loan Mortgage Corporation REMIC
Series 4310 | | | | | | | | | | | | | | | | |
6.07%, 02/15/44 IOW† | | | | | | | 157,949 | | | | | | | | 27,004 | |
Federal Home Loan Mortgage Corporation REMIC
Series 4335 | | | | | | | | | | | | | | | | |
5.04%, 05/15/44 IOW† | | | | | | | 162,244 | | | | | | | | 29,758 | |
Federal Home Loan Mortgage Corporation REMIC
Series 4415 | | | | | | | | | | | | | | | | |
(1.00)%, 04/15/41 IOW† | | | | | | | 324,617 | | | | | | | | 19,566 | |
Federal Housing Administration | | | | | | | | | | | | | | | | |
7.43%, 10/01/18+ | | | | | | | 10,682 | | | | | | | | 10,756 | |
Federal National Mortgage Association | | | | | | | | | | | | | | | | |
5.00%, 12/01/17 | | | | | | | 1,878 | | | | | | | | 1,951 | |
9.50%, 05/01/22 | | | | | | | 266 | | | | | | | | 287 | |
1.94%, 07/01/22† | | | | | | | 3,096 | | | | | | | | 3,163 | |
5.50%, 09/01/23 | | | | | | | 49,805 | | | | | | | | 53,077 | |
5.50%, 10/01/23 | | | | | | | 10,901 | | | | | | | | 11,610 | |
9.50%, 07/01/24 | | | | | | | 542 | | | | | | | | 583 | |
2.81%, 04/01/25 | | | | | | | 50,000 | | | | | | | | 49,704 | |
5.50%, 05/01/25 | | | | | | | 141,460 | | | | | | | | 145,850 | |
3.00%, 01/01/26 TBA | | | | | | | 400,000 | | | | | | | | 410,469 | |
1.85%, 07/01/27† | | | | | | | 11,342 | | | | | | | | 11,819 | |
2.66%, 08/01/27† | | | | | | | 22,463 | | | | | | | | 23,620 | |
1.85%, 11/01/27 CONV† | | | | | | | 12,739 | | | | | | | | 13,387 | |
2.50%, 01/01/28 TBA | | | | | | | 300,000 | | | | | | | | 300,475 | |
3.14%, 02/01/30† | | | | | | | 81,161 | | | | | | | | 83,036 | |
3.00%, 06/01/30 CONV† | | | | | | | 13,709 | | | | | | | | 14,003 | |
8.00%, 10/01/30 | | | | | | | 14,003 | | | | | | | | 16,403 | |
3.06%, 12/01/30 CONV† | | | | | | | 4,857 | | | | | | | | 4,958 | |
1.85%, 01/01/31† | | | | | | | 5,836 | | | | | | | | 5,940 | |
4.50%, 04/01/31 | | | | | | | 75,265 | | | | | | | | 81,041 | |
2.82%, 05/01/31† | | | | | | | 12,308 | | | | | | | | 12,388 | |
4.50%, 05/01/31 | | | | | | | 265,584 | | | | | | | | 285,915 | |
4.50%, 06/01/31 | | | | | | | 80,237 | | | | | | | | 86,400 | |
4.50%, 11/01/31 | | | | | | | 116,753 | | | | | | | | 125,767 | |
6.00%, 11/01/31 | | | | | | | 2,209 | | | | | | | | 2,521 | |
4.50%, 12/01/31 | | | | | | | 177,040 | | | | | | | | 190,717 | |
6.00%, 01/01/32 | | | | | | | 59,527 | | | | | | | | 67,391 | |
6.00%, 03/01/32 | | | | | | | 10,252 | | | | | | | | 11,634 | |
6.00%, 04/01/32 | | | | | | | 136,886 | | | | | | | | 155,156 | |
1.85%, 06/01/32† | | | | | | | 7,482 | | | | | | | | 7,649 | |
1.94%, 08/01/32† | | | | | | | 7,624 | | | | | | | | 7,876 | |
6.00%, 08/01/32 | | | | | | | 1,318 | | | | | | | | 1,507 | |
2.88%, 02/01/33† | | | | | | | 1,001 | | | | | | | | 1,021 | |
5.50%, 04/01/33 | | | | | | | 27,129 | | | | | | | | 31,218 | |
| | | | | | | | | | | | | | | | |
| | | Par | | | Value | |
1.94%, 05/01/33† | | | | | | $ | 27,179 | | | | | | | $ | 28,834 | |
6.00%, 05/01/33 | | | | | | | 465 | | | | | | | | 526 | |
5.00%, 07/01/33 | | | | | | | 34,067 | | | | | | | | 37,312 | |
5.00%, 08/01/33 | | | | | | | 2,849 | | | | | | | | 3,147 | |
5.00%, 09/01/33 | | | | | | | 41,650 | | | | | | | | 45,743 | |
5.50%, 09/01/33 | | | | | | | 1,561 | | | | | | | | 1,755 | |
5.50%, 12/01/33 | | | | | | | 6,602 | | | | | | | | 7,423 | |
6.00%, 12/01/33 | | | | | | | 420 | | | | | | | | 475 | |
5.50%, 02/01/34 | | | | | | | 1,809 | | | | | | | | 2,032 | |
5.50%, 04/01/34 | | | | | | | 360 | | | | | | | | 408 | |
3.50%, 05/01/34 | | | | | | | 228,749 | | | | | | | | 239,265 | |
5.50%, 08/01/34 | | | | | | | 2,999 | | | | | | | | 3,406 | |
5.50%, 10/01/34 | | | | | | | 140 | | | | | | | | 158 | |
6.00%, 10/01/34 | | | | | | | 28,938 | | | | | | | | 32,745 | |
2.33%, 12/01/34† | | | | | | | 59,204 | | | | | | | | 62,843 | |
5.50%, 12/01/34 | | | | | | | 13,303 | | | | | | | | 14,930 | |
6.00%, 05/01/35 | | | | | | | 757,176 | | | | | | | | 860,654 | |
5.50%, 07/01/35 | | | | | | | 180 | | | | | | | | 204 | |
6.00%, 07/01/35 | | | | | | | 139,751 | | | | | | | | 159,165 | |
5.50%, 08/01/35 | | | | | | | 310 | | | | | | | | 352 | |
6.00%, 08/01/35 | | | | | | | 42 | | | | | | | | 48 | |
5.50%, 09/01/35 | | | | | | | 67,371 | | | | | | | | 74,870 | |
5.00%, 10/01/35 | | | | | | | 115,165 | | | | | | | | 126,501 | |
6.00%, 10/01/35 | | | | | | | 29,172 | | | | | | | | 33,153 | |
1.85%, 11/01/35† | | | | | | | 5,091 | | | | | | | | 5,310 | |
2.44%, 11/01/35† | | | | | | | 53,757 | | | | | | | | 55,907 | |
2.47%, 11/01/35† | | | | | | | 50,389 | | | | | | | | 52,695 | |
2.49%, 11/01/35† | | | | | | | 63,219 | | | | | | | | 65,952 | |
2.50%, 11/01/35† | | | | | | | 54,882 | | | | | | | | 57,095 | |
2.54%, 11/01/35† | | | | | | | 60,234 | | | | | | | | 62,644 | |
6.00%, 11/01/35 | | | | | | | 422,474 | | | | | | | | 481,181 | |
5.50%, 12/01/35 | | | | | | | 1,336 | | | | | | | | 1,515 | |
6.00%, 12/01/35 | | | | | | | 5,479 | | | | | | | | 6,300 | |
6.00%, 02/01/36 | | | | | | | 3,049 | | | | | | | | 3,500 | |
6.00%, 03/01/36 | | | | | | | 2,015 | | | | | | | | 2,282 | |
5.50%, 04/01/36 | | | | | | | 14,908 | | | | | | | | 15,777 | |
6.00%, 04/01/36 | | | | | | | 4,550 | | | | | | | | 5,210 | |
3.89%, 05/01/36† | | | | | | | 60,771 | | | | | | | | 63,916 | |
5.50%, 11/01/36 | | | | | | | 97,294 | | | | | | | | 108,814 | |
6.00%, 01/01/37 | | | | | | | 458,076 | | | | | | | | 518,235 | |
5.50%, 02/01/37 | | | | | | | 147 | | | | | | | | 165 | |
6.00%, 02/01/37 | | | | | | | 382,366 | | | | | | | | 433,453 | |
5.50%, 03/01/37 | | | | | | | 5,981 | | | | | | | | 6,694 | |
6.00%, 03/01/37 | | | | | | | 22,830 | | | | | | | | 25,989 | |
5.50%, 04/01/37 | | | | | | | 353 | | | | | | | | 396 | |
5.50%, 05/01/37 | | | | | | | 47 | | | | | | | | 52 | |
5.50%, 06/01/37 | | | | | | | 143 | | | | | | | | 160 | |
6.00%, 07/01/37 | | | | | | | 723,318 | | | | | | | | 820,720 | |
5.50%, 08/01/37 | | | | | | | 280,640 | | | | | | | | 314,393 | |
6.00%, 08/01/37 | | | | | | | 51,484 | | | | | | | | 58,287 | |
6.00%, 09/01/37 | | | | | | | 120,629 | | | | | | | | 136,593 | |
6.50%, 10/01/37 | | | | | | | 54,874 | | | | | | | | 62,083 | |
7.00%, 10/01/37 | | | | | | | 4,141 | | | | | | | | 4,531 | |
7.00%, 11/01/37 | | | | | | | 8,271 | | | | | | | | 9,592 | |
1.85%, 12/01/37† | | | | | | | 40,052 | | | | | | | | 41,560 | |
6.00%, 12/01/37 | | | | | | | 287,677 | | | | | | | | 325,610 | |
7.00%, 12/01/37 | | | | | | | 4,336 | | | | | | | | 5,007 | |
1.85%, 01/01/38† | | | | | | | 19,621 | | | | | | | | 20,760 | |
6.00%, 01/01/38 | | | | | | | 220,633 | | | | | | | | 253,562 | |
5.50%, 02/01/38 | | | | | | | 3,389 | | | | | | | | 3,798 | |
7.00%, 02/01/38 | | | | | | | 3,604 | | | | | | | | 3,969 | |
4.50%, 03/01/38 | | | | | | | 7,924 | | | | | | | | 8,551 | |
5.50%, 03/01/38 | | | | | | | 414 | | | | | | | | 465 | |
6.00%, 03/01/38 | | | | | | | 940 | | | | | | | | 1,064 | |
| | | | |
| 106 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | |
| | | Par | | | Value | |
4.50%, 04/01/38 | | | | | | $ | 107,429 | | | | | | | $ | 115,801 | |
5.00%, 04/01/38 | | | | | | | 117,594 | | | | | | | | 128,032 | |
5.50%, 05/01/38 | | | | | | | 118 | | | | | | | | 131 | |
6.00%, 05/01/38 | | | | | | | 26,192 | | | | | | | | 29,672 | |
5.00%, 06/01/38 | | | | | | | 125,404 | | | | | | | | 136,535 | |
5.50%, 06/01/38 | | | | | | | 501 | | | | | | | | 560 | |
5.50%, 07/01/38 | | | | | | | 70,832 | | | | | | | | 79,286 | |
5.50%, 08/01/38 | | | | | | | 73,016 | | | | | | | | 81,965 | |
7.00%, 08/01/38 | | | | | | | 2,389 | | | | | | | | 2,673 | |
5.50%, 09/01/38 | | | | | | | 242 | | | | | | | | 269 | |
6.00%, 11/01/38 | | | | | | | 33,269 | | | | | | | | 37,672 | |
7.00%, 11/01/38 | | | | | | | 22,021 | | | | | | | | 24,856 | |
5.50%, 12/01/38 | | | | | | | 123 | | | | | | | | 138 | |
6.00%, 12/01/38 | | | | | | | 38,148 | | | | | | | | 43,258 | |
4.50%, 02/01/39 TBA | | | | | | | 8,000,000 | | | | | | | | 8,594,843 | |
7.00%, 02/01/39 | | | | | | | 12,340 | | | | | | | | 14,210 | |
7.00%, 03/01/39 | | | | | | | 106,913 | | | | | | | | 123,284 | |
6.00%, 09/01/39 | | | | | | | 23,227 | | | | | | | | 26,299 | |
6.00%, 12/01/39 | | | | | | | 418,702 | | | | | | | | 474,867 | |
4.50%, 01/01/40 TBA | | | | | | | 7,300,000 | | | | | | | | 7,851,777 | |
5.00%, 01/01/40 TBA | | | | | | | 1,000,000 | | | | | | | | 1,089,375 | |
1.94%, 06/01/40† | | | | | | | 40,825 | | | | | | | | 42,342 | |
1.94%, 10/01/40† | | | | | | | 124,965 | | | | | | | | 128,116 | |
1.85%, 11/01/40† | | | | | | | 15,375 | | | | | | | | 16,071 | |
3.50%, 01/01/41 TBA | | | | | | | 5,200,000 | | | | | | | | 5,329,594 | |
4.00%, 01/01/41 TBA | | | | | | | 8,100,000 | | | | | | | | 8,515,600 | |
4.00%, 02/01/41 TBA | | | | | | | 4,500,000 | | | | | | | | 4,724,561 | |
4.50%, 04/01/41 | | | | | | | 129,677 | | | | | | | | 140,029 | |
6.00%, 05/01/41 | | | | | | | 815,261 | | | | | | | | 923,449 | |
4.50%, 08/01/41 | | | | | | | 96,048 | | | | | | | | 103,788 | |
4.50%, 11/01/41 | | | | | | | 377,911 | | | | | | | | 407,595 | |
3.50%, 02/01/42 TBA | | | | | | | 53,300,000 | | | | | | | | 54,546,098 | |
4.00%, 06/01/42 | | | | | | | 70,700 | | | | | | | | 74,388 | |
3.50%, 09/01/42 | | | | | | | 72,143 | | | | | | | | 74,406 | |
2.50%, 10/01/42 | | | | | | | 490,878 | | | | | | | | 469,585 | |
4.00%, 10/01/42 | | | | | | | 284,871 | | | | | | | | 302,172 | |
2.50%, 11/01/42 | | | | | | | 27,662 | | | | | | | | 26,459 | |
4.00%, 11/01/42 | | | | | | | 2,389,534 | | | | | | | | 2,533,478 | |
2.50%, 12/01/42 | | | | | | | 21,962 | | | | | | | | 21,006 | |
3.00%, 12/01/42 | | | | | | | 22,584 | | | | | | | | 22,554 | |
4.00%, 12/01/42 | | | | | | | 181,446 | | | | | | | | 191,436 | |
2.50%, 01/01/43 | | | | | | | 19,445 | | | | | | | | 18,599 | |
3.00%, 01/01/43 TBA | | | | | | | 8,800,000 | | | | | | | | 8,742,041 | |
3.00%, 01/01/43 | | | | | | | 404,159 | | | | | | | | 402,180 | |
3.50%, 01/01/43 | | | | | | | 2,165,851 | | | | | | | | 2,231,252 | |
2.50%, 02/01/43 | | | | | | | 20,929 | | | | | | | | 20,011 | |
3.00%, 02/01/43 TBA | | | | | | | 15,100,000 | | | | | | | | 14,977,839 | |
2.50%, 03/01/43 | | | | | | | 1,739,668 | | | | | | | | 1,663,400 | |
3.00%, 03/01/43 | | | | | | | 247,854 | | | | | | | | 247,749 | |
2.50%, 04/01/43 | | | | | | | 1,457,270 | | | | | | | | 1,393,679 | |
3.00%, 04/01/43 | | | | | | | 372,330 | | | | | | | | 372,202 | |
3.50%, 04/01/43 | | | | | | | 113,599 | | | | | | | | 117,067 | |
4.00%, 04/01/43 | | | | | | | 70,489 | | | | | | | | 74,728 | |
2.50%, 05/01/43 | | | | | | | 33,624 | | | | | | | | 32,162 | |
3.00%, 05/01/43 | | | | | | | 241,156 | | | | | | | | 241,088 | |
2.50%, 06/01/43 | | | | | | | 33,993 | | | | | | | | 32,515 | |
3.00%, 06/01/43 | | | | | | | 71,866 | | | | | | | | 71,846 | |
4.00%, 06/01/43 | | | | | | | 698,002 | | | | | | | | 739,253 | |
3.00%, 07/01/43 | | | | | | | 638,504 | | | | | | | | 638,322 | |
3.50%, 07/01/43 | | | | | | | 1,194,163 | | | | | | | | 1,230,748 | |
4.00%, 07/01/43 | | | | | | | 712,820 | | | | | | | | 754,685 | |
2.50%, 08/01/43 | | | | | | | 885,695 | | | | | | | | 846,124 | |
3.50%, 08/01/43 | | | | | | | 312,961 | | | | | | | | 322,576 | |
4.00%, 08/01/43 | | | | | | | 241,773 | | | | | | | | 256,481 | |
| | | | | | | | | | | | | | | | |
| | | Par | | | Value | |
4.50%, 09/01/43 | | | | | | $ | 819,454 | | | | | | | $ | 885,424 | |
2.50%, 10/01/43 | | | | | | | 45,601 | | | | | | | | 43,543 | |
4.50%, 10/01/43 | | | | | | | 243,547 | | | | | | | | 266,270 | |
4.50%, 11/01/43 | | | | | | | 162,262 | | | | | | | | 177,396 | |
4.50%, 12/01/43 | | | | | | | 242,051 | | | | | | | | 264,622 | |
4.50%, 01/01/44 | | | | | | | 153,618 | | | | | | | | 167,875 | |
4.50%, 02/01/44 | | | | | | | 1,040,420 | | | | | | | | 1,119,159 | |
4.50%, 07/01/44 | | | | | | | 147,336 | | | | | | | | 159,848 | |
4.50%, 10/01/44 | | | | | | | 639,934 | | | | | | | | 693,816 | |
4.00%, 01/01/45 | | | | | | | 239,452 | | | | | | | | 253,388 | |
4.50%, 02/01/45 | | | | | | | 1,368,168 | | | | | | | | 1,491,696 | |
4.50%, 04/01/45 | | | | | | | 868,763 | | | | | | | | 947,797 | |
4.50%, 05/01/45 | | | | | | | 104,634 | | | | | | | | 113,535 | |
3.50%, 06/01/45 | | | | | | | 839,042 | | | | | | | | 860,629 | |
3.00%, 11/01/45 | | | | | | | 1,765,453 | | | | | | | | 1,755,768 | |
3.50%, 12/01/45 | | | | | | | 2,429,358 | | | | | | | | 2,492,413 | |
3.50%, 01/01/46 | | | | | | | 558,889 | | | | | | | | 574,715 | |
3.50%, 05/01/46 | | | | | | | 576,982 | | | | | | | | 593,156 | |
3.00%, 11/01/46 | | | | | | | 1,296,095 | | | | | | | | 1,290,070 | |
Federal National Mortgage Association ACES
Series 2015-M13 | | | | | | | | | | | | | | | | |
2.71%, 06/25/25† | | | | | | | 90,000 | | | | | | | | 88,875 | |
Federal National Mortgage Association ACES
Series 2016-M11 | | | | | | | | | | | | | | | | |
2.37%, 07/25/26† | | | | | | | 270,000 | | | | | | | | 256,140 | |
2.94%, 07/25/39 | | | | | | | 335,872 | | | | | | | | 330,791 | |
Federal National Mortgage Association Interest STRIP
Series 409 | | | | | | | | | | | | | | | | |
8.09%, 04/25/27 IOW | | | | | | | 412,123 | | | | | | | | 35,721 | |
(0.36)%, 11/25/39 IOW | | | | | | | 69,333 | | | | | | | | 14,016 | |
(1.00)%, 11/25/41 IOW | | | | | | | 233,862 | | | | | | | | 45,107 | |
1.67%, 11/25/41 IOW | | | | | | | 293,435 | | | | | | | | 63,650 | |
5.01%, 04/25/42 IOW | | | | | | | 553,349 | | | | | | | | 101,910 | |
Federal National Mortgage Association REMIC
Series 1991-97 | | | | | | | | | | | | | | | | |
19.40%, 08/25/21 IOW | | | | | | | 33 | | | | | | | | 469 | |
Federal National Mortgage Association REMIC
Series 1991-137 | | | | | | | | | | | | | | | | |
7.28%, 10/25/21 IOW | | | | | | | 49 | | | | | | | | 686 | |
Federal National Mortgage Association REMIC
Series 2000-32 | | | | | | | | | | | | | | | | |
1.19%, 10/18/30† | | | | | | | 11,789 | | | | | | | | 11,830 | |
Federal National Mortgage Association REMIC
Series 2005-29 | | | | | | | | | | | | | | | | |
5.50%, 04/25/35 | | | | | | | 472,713 | | | | | | | | 521,691 | |
Federal National Mortgage Association REMIC
Series 2007-24 | | | | | | | | | | | | | | | | |
12.63%, 03/25/37 IOW† | | | | | | | 815,342 | | | | | | | | 121,705 | |
Federal National Mortgage Association REMIC
Series 2011-52 | | | | | | | | | | | | | | | | |
5.00%, 06/25/41 | | | | | | | 489,664 | | | | | | | | 537,607 | |
Federal National Mortgage Association REMIC
Series 2011-59 | | | | | | | | | | | | | | | | |
5.50%, 07/25/41 | | | | | | | 1,081,842 | | | | | | | | 1,210,236 | |
| | | | |
| | See Notes to Financial Statements. | | 107 |
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | | | | | |
| | | Par | | | Value | |
Federal National Mortgage Association REMIC Series 2011-87 | | | | | | | | | | | | | | | | |
1.31%, 09/25/41† | | | | | | $ | 2,315,352 | | | | | | | $ | 2,324,159 | |
Federal National Mortgage Association REMIC Series 2011-96 | | | | | | | | | | | | | | | | |
2.55%, 10/25/41 IOW† | | | | | | | 590,257 | | | | | | | | 104,616 | |
Federal National Mortgage Association REMIC Series 2012-28 | | | | | | | | | | | | | | | | |
6.50%, 06/25/39 | | | | | | | 24,770 | | | | | | | | 27,325 | |
Federal National Mortgage Association REMIC Series 2012-46 | | | | | | | | | | | | | | | | |
6.00%, 05/25/42 | | | | | | | 217,199 | | | | | | | | 246,162 | |
Federal National Mortgage Association REMIC Series 2012-70 | | | | | | | | | | | | | | | | |
4.79%, 02/25/41 IOW† | | | | | | | 48,094 | | | | | | | | 7,058 | |
Federal National Mortgage Association REMIC Series 2012-74 | | | | | | | | | | | | | | | | |
(1.00)%, 07/25/27 IOW | | | | | | | 1,153,502 | | | | | | | | 125,267 | |
2.58%, 03/25/42 IOW† | | | | | | | 250,379 | | | | | | | | 44,345 | |
Federal National Mortgage Association REMIC Series 2012-75 | | | | | | | | | | | | | | | | |
2.39%, 07/25/42 IOW† | | | | | | | 71,284 | | | | | | | | 14,017 | |
Federal National Mortgage Association REMIC Series 2012-111 | | | | | | | | | | | | | | | | |
7.00%, 10/25/42 | | | | | | | 44,625 | | | | | | | | 51,194 | |
Federal National Mortgage Association REMIC Series 2012-118 | | | | | | | | | | | | | | | | |
2.01%, 12/25/39 IOW | | | | | | | 401,823 | | | | | | | | 52,234 | |
Federal National Mortgage Association REMIC Series 2012-133 | | | | | | | | | | | | | | | | |
7.89%, 12/25/42 IOW† | | | | | | | 182,570 | | | | | | | | 32,833 | |
Federal National Mortgage Association REMIC Series 2012-153 | | | | | | | | | | | | | | | | |
7.00%, 07/25/42 | | | | | | | 147,616 | | | | | | | | 171,345 | |
Federal National Mortgage Association REMIC Series 2013-9 | | | | | | | | | | | | | | | | |
5.50%, 04/25/42 | | | | | | | 871,469 | | | | | | | | 967,425 | |
6.50%, 07/25/42 | | | | | | | 374,238 | | | | | | | | 426,969 | |
Federal National Mortgage Association REMIC Series 2013-14 | | | | | | | | | | | | | | | | |
6.19%, 03/25/43 IOW | | | | | | | 304,581 | | | | | | | | 49,302 | |
Federal National Mortgage Association REMIC Series 2013-29 | | | | | | | | | | | | | | | | |
7.49%, 04/25/43 IOW | | | | | | | 776,593 | | | | | | | | 121,427 | |
Federal National Mortgage Association REMIC Series 2014-47 | | | | | | | | | | | | | | | | |
(1.00)%, 08/25/44 IOW† | | | | | | | 1,627,969 | | | | | | | | 112,985 | |
Federal National Mortgage Association REMIC Series 2015-55 | | | | | | | | | | | | | | | | |
2.17%, 08/25/55 IOW† | | | | | | | 300,096 | | | | | | | | 19,699 | |
| | | | | | | | | | | | | | | | |
| | | Par | | | Value | |
Federal National Mortgage Association REMIC Series 2015-56 | | | | | | | | | | | | | | | | |
2.71%, 08/25/45 IOW† | | | | | | $ | 87,125 | | | | | | | $ | 22,180 | |
FHLMC Multifamily Structured Pass-Through Certificates Series K008 | | | | | | | | | | | | | | | | |
6.89%, 06/25/20 IOW† | | | | | | | 694,381 | | | | | | | | 28,302 | |
FHLMC Multifamily Structured Pass-Through Certificates Series K015 | | | | | | | | | | | | | | | | |
5.33%, 07/25/21 IOW† | | | | | | | 608,309 | | | | | | | | 37,176 | |
FHLMC Multifamily Structured Pass-Through Certificates Series K016 | | | | | | | | | | | | | | | | |
5.08%, 10/25/21 IOW† | | | | | | | 200,412 | | | | | | | | 12,138 | |
FHLMC Multifamily Structured Pass-Through Certificates Series KF11 | | | | | | | | | | | | | | | | |
1.27%, 09/25/25† | | | | | | | 1,314,599 | | | | | | | | 1,315,354 | |
FHLMC Structured Pass-Through Securities Series T-61 | | | | | | | | | | | | | | | | |
1.94%, 07/25/44† | | | | | | | 865,800 | | | | | | | | 867,750 | |
First Horizon Alternative Mortgage Securities Trust Series 2004-AA1 | | | | | | | | | | | | | | | | |
3.00%, 06/25/34† | | | | | | | 362,518 | | | | | | | | 353,388 | |
Freddie Mac Structured Agency Credit Risk Debt Notes Series 2015-DN1 | | | | | | | | | | | | | | | | |
4.91%, 01/25/25† | | | | | | | 400,000 | | | | | | | | 421,446 | |
Freddie Mac Structured Agency Credit Risk Debt Notes Series 2015-DNA1 | | | | | | | | | | | | | | | | |
2.61%, 10/25/27† | | | | | | | 400,000 | | | | | | | | 405,727 | |
Freddie Mac Structured Agency Credit Risk Debt Notes Series 2016-DNA4 | | | | | | | | | | | | | | | | |
4.56%, 03/25/29† | | | | | | | 250,000 | | | | | | | | 250,474 | |
Freddie Mac Structured Agency Credit Risk Debt Notes Series 2016-HQA2 | | | | | | | | | | | | | | | | |
5.91%, 11/25/28† | | | | | | | 300,000 | | | | | | | | 326,522 | |
FREMF Mortgage Trust Series 2012-K20 | | | | | | | | | | | | | | | | |
5.92%, 05/25/45 IO 144AW | | | | | | | 5,587,672 | | | | | | | | 46,744 | |
FREMF Mortgage Trust Series 2014-K40 | | | | | | | | | | | | | | | | |
4.07%, 11/25/47 144A† | | | | | | | 550,000 | | | | | | | | 515,348 | |
FREMF Mortgage Trust Series 2014-K41 | | | | | | | | | | | | | | | | |
3.83%, 11/25/47 144A† | | | | | | | 275,000 | | | | | | | | 272,849 | |
GE Business Loan Trust Series 2007-1A | | | | | | | | | | | | | | | | |
0.87%, 04/16/35 144A† | | | | | | | 378,265 | | | | | | | | 356,572 | |
GE Commercial Mortgage Corporation Trust Series 2007-C1 | | | | | | | | | | | | | | | | |
5.54%, 12/10/49 | | | | | | | 379,467 | | | | | | | | 379,977 | |
Giovecca Mortgages S.r.l. Series 2011-1 | | | | | | | | | | | | | | | | |
0.29%, 04/23/48(E)† | | | | | | | 149,330 | | | | | | | | 157,508 | |
Government National Mortgage Association | | | | | | | | | | | | | | | | |
7.00%, 01/15/26 | | | | | | | 4,023 | | | | | | | | 4,379 | |
| | | | |
| 108 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | |
| | | Par | | | Value | |
7.00%, 07/15/27 | | | | | | $ | 40,697 | | | | | | | $ | 47,002 | |
7.00%, 01/15/28 | | | | | | | 13,639 | | | | | | | | 13,962 | |
7.00%, 03/15/28 | | | | | | | 54,425 | | | | | | | | 62,940 | |
7.00%, 07/15/28 | | | | | | | 8,431 | | | | | | | | 9,194 | |
7.50%, 07/15/28 | | | | | | | 11,589 | | | | | | | | 11,901 | |
6.50%, 08/15/28 | | | | | | | 3,118 | | | | | | | | 3,562 | |
7.00%, 08/15/28 | | | | | | | 12,050 | | | | | | | | 13,408 | |
7.50%, 08/15/28 | | | | | | | 8,344 | | | | | | | | 9,274 | |
6.50%, 09/15/28 | | | | | | | 19,121 | | | | | | | | 21,843 | |
7.00%, 10/15/28 | | | | | | | 34,339 | | | | | | | | 36,421 | |
7.50%, 03/15/29 | | | | | | | 17,512 | | | | | | | | 20,760 | |
2.00%, 11/20/29† | | | | | | | 31,667 | | | | | | | | 32,782 | |
8.50%, 08/15/30 | | | | | | | 683 | | | | | | | | 726 | |
8.50%, 11/20/30 | | | | | | | 7,503 | | | | | | | | 8,787 | |
6.50%, 08/15/31 | | | | | | | 34,828 | | | | | | | | 39,783 | |
7.50%, 08/15/31 | | | | | | | 9,842 | | | | | | | | 11,026 | |
6.50%, 10/15/31 | | | | | | | 60,708 | | | | | | | | 69,647 | |
6.00%, 11/15/31 | | | | | | | 146,644 | | | | | | | | 166,240 | |
6.50%, 11/15/31 | | | | | | | 83,311 | | | | | | | | 95,164 | |
6.00%, 12/15/31 | | | | | | | 30,341 | | | | | | | | 34,396 | |
6.00%, 01/15/32 | | | | | | | 91,392 | | | | | | | | 104,901 | |
6.00%, 02/15/32 | | | | | | | 185,959 | | | | | | | | 210,810 | |
6.50%, 02/15/32 | | | | | | | 108,209 | | | | | | | | 123,604 | |
6.00%, 04/15/32 | | | | | | | 44,877 | | | | | | | | 50,879 | |
7.50%, 04/15/32 | | | | | | | 49,569 | | | | | | | | 50,958 | |
6.50%, 06/15/32 | | | | | | | 60,264 | | | | | | | | 68,838 | |
6.50%, 08/15/32 | | | | | | | 149,526 | | | | | | | | 170,799 | |
6.50%, 09/15/32 | | | | | | | 115,611 | | | | | | | | 132,059 | |
6.00%, 10/15/32 | | | | | | | 91,799 | | | | | | | | 104,066 | |
5.50%, 11/15/32 | | | | | | | 20,940 | | | | | | | | 23,601 | |
6.00%, 11/15/32 | | | | | | | 72,775 | | | | | | | | 82,938 | |
6.00%, 12/15/32 | | | | | | | 34,626 | | | | | | | | 39,253 | |
6.50%, 12/15/32 | | | | | | | 9,510 | | | | | | | | 10,863 | |
5.50%, 01/15/33 | | | | | | | 12,768 | | | | | | | | 14,416 | |
6.00%, 01/15/33 | | | | | | | 39,278 | | | | | | | | 44,526 | |
5.50%, 02/15/33 | | | | | | | 22,046 | | | | | | | | 24,916 | |
6.00%, 02/15/33 | | | | | | | 37,006 | | | | | | | | 41,951 | |
5.50%, 03/15/33 | | | | | | | 24,174 | | | | | | | | 27,313 | |
6.50%, 04/15/33 | | | | | | | 244,667 | | | | | | | | 279,476 | |
6.00%, 06/15/33 | | | | | | | 20,148 | | | | | | | | 22,840 | |
5.50%, 07/15/33 | | | | | | | 20,508 | | | | | | | | 23,126 | |
5.50%, 08/15/33 | | | | | | | 11,183 | | | | | | | | 12,495 | |
5.50%, 09/15/33 | | | | | | | 8,966 | | | | | | | | 10,129 | |
6.00%, 10/15/33 | | | | | | | 59,040 | | | | | | | | 66,930 | |
6.50%, 10/15/33 | | | | | | | 114,112 | | | | | | | | 130,346 | |
6.00%, 12/15/33 | | | | | | | 134,166 | | | | | | | | 152,095 | |
5.50%, 04/15/34 | | | | | | | 12,956 | | | | | | | | 14,629 | |
5.50%, 05/15/34 | | | | | | | 7,776 | | | | | | | | 8,675 | |
6.50%, 08/15/34 | | | | | | | 207,471 | | | | | | | | 236,988 | |
5.50%, 09/15/34 | | | | | | | 107,735 | | | | | | | | 121,732 | |
5.50%, 12/15/34 | | | | | | | 91,121 | | | | | | | | 102,987 | |
5.50%, 01/15/35 | | | | | | | 85,164 | | | | | | | | 96,262 | |
6.00%, 09/20/38 | | | | | | | 253,376 | | | | | | | | 286,540 | |
5.00%, 07/20/40 | | | | | | | 21,128 | | | | | | | | 23,262 | |
5.00%, 09/20/40 | | | | | | | 88,068 | | | | | | | | 96,953 | |
4.00%, 10/20/40 | | | | | | | 11,190 | | | | | | | | 12,002 | |
6.00%, 10/20/40 | | | | | | | 37,019 | | | | | | | | 42,025 | |
4.00%, 01/20/41 TBA | | | | | | | 4,000,000 | | | | | | | | 4,247,890 | |
6.00%, 01/20/41 | | | | | | | 33,277 | | | | | | | | 37,089 | |
4.50%, 04/20/41 | | | | | | | 411,871 | | | | | | | | 443,675 | |
3.50%, 01/20/42 TBA | | | | | | | 3,600,000 | | | | | | | | 3,742,242 | |
3.00%, 01/20/43 TBA | | | | | | | 9,200,000 | | | | | | | | 9,315,179 | |
4.00%, 08/20/43 | | | | | | | 703,085 | | | | | | | | 747,977 | |
4.00%, 10/20/43 | | | | | | | 2,276,053 | | | | | | | | 2,425,285 | |
| | | | | | | | | | | | | | | | |
| | | Par | | | Value | |
3.00%, 01/15/45 | | | | | | $ | 5,567,327 | | | | | | | $ | 5,633,511 | |
3.00%, 02/15/45 | | | | | | | 195,001 | | | | | | | | 197,319 | |
3.50%, 04/15/45 | | | | | | | 1,273,917 | | | | | | | | 1,325,632 | |
4.00%, 08/20/45 | | | | | | | 737,022 | | | | | | | | 783,767 | |
4.00%, 09/20/45 | | | | | | | 1,789,911 | | | | | | | | 1,902,459 | |
4.00%, 10/20/45 | | | | | | | 1,261,490 | | | | | | | | 1,342,056 | |
4.00%, 01/20/46 | | | | | | | 962,438 | | | | | | | | 1,022,955 | |
3.50%, 02/20/46 TBA | | | | | | | 1,000,000 | | | | | | | | 1,037,949 | |
4.00%, 02/20/46 TBA | | | | | | | 1,000,000 | | | | | | | | 1,060,449 | |
4.00%, 03/20/46 | | | | | | | 4,721,870 | | | | | | | | 5,018,778 | |
4.00%, 04/20/46 | | | | | | | 6,000,001 | | | | | | | | 6,377,277 | |
3.00%, 05/20/46 | | | | | | | 3,999,602 | | | | | | | | 4,055,471 | |
4.00%, 06/20/46 | | | | | | | 908,641 | | | | | | | | 965,776 | |
4.00%, 08/20/46 | | | | | | | 972,747 | | | | | | | | 1,033,913 | |
3.00%, 09/20/46 | | | | | | | 7,999,998 | | | | | | | | 8,111,746 | |
3.50%, 09/20/46 | | | | | | | 3,271,342 | | | | | | | | 3,415,048 | |
4.00%, 09/20/46 | | | | | | | 961,583 | | | | | | | | 1,022,046 | |
4.00%, 10/20/46 | | | | | | | 1,000,000 | | | | | | | | 1,063,298 | |
3.00%, 12/20/46 | | | | | | | 13,099,364 | | | | | | | | 13,282,342 | |
Government National Mortgage Association Series 2007-30 | | | | | | | | | | | | | | | | |
1.04%, 05/20/37† | | | | | | | 187,767 | | | | | | | | 186,999 | |
Government National Mortgage Association Series 2010-31 | | | | | | | | | | | | | | | | |
(0.14)%, 03/20/39 IOW† | | | | | | | 44,797 | | | | | | | | 4,210 | |
Government National Mortgage Association Series 2010-85 | | | | | | | | | | | | | | | | |
2.60%, 01/20/40 IOW† | | | | | | | 70,744 | | | | | | | | 10,428 | |
Government National Mortgage Association Series 2010-H28 | | | | | | | | | | | | | | | | |
0.93%, 12/20/60† | | | | | | | 330,484 | | | | | | | | 327,870 | |
Government National Mortgage Association Series 2011-H08 | | | | | | | | | | | | | | | | |
1.01%, 03/20/61† | | | | | | | 412,716 | | | | | | | | 410,579 | |
Government National Mortgage Association Series 2011-H09 | | | | | | | | | | | | | | | | |
1.03%, 03/20/61† | | | | | | | 283,207 | | | | | | | | 281,904 | |
Government National Mortgage Association Series 2012-34 | | | | | | | | | | | | | | | | |
8.13%, 03/20/42 IOW† | | | | | | | 56,592 | | | | | | | | 10,765 | |
Government National Mortgage Association Series 2012-66 | | | | | | | | | | | | | | | | |
10.82%, 02/20/38 IOW | | | | | | | 249,332 | | | | | | | | 23,596 | |
Government National Mortgage Association Series 2012-144 | | | | | | | | | | | | | | | | |
4.13%, 01/16/53 IOW† | | | | | | | 9,519,684 | | | | | | | | 374,984 | |
Government National Mortgage Association Series 2012-H30 | | | | | | | | | | | | | | | | |
0.88%, 12/20/62† | | | | | | | 1,332,840 | | | | | | | | 1,318,785 | |
Government National Mortgage Association Series 2013-113 | | | | | | | | | | | | | | | | |
1.17%, 08/16/43 IOW† | | | | | | | 215,539 | | | | | | | | 40,489 | |
| | | | |
| | See Notes to Financial Statements. | | 109 |
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | | | | | |
| | | Par | | | Value | |
Government National Mortgage Association Series 2013-178 | | | | | | | | | | | | | | | | |
8.96%, 06/16/55 IOW† | | | | | | $ | 771,634 | | | | | | | $ | 31,316 | |
Government National Mortgage Association Series 2014-93 | | | | | | | | | | | | | | | | |
6.03%, 11/16/55 IOW† | | | | | | | 3,629,790 | | | | | | | | 186,903 | |
Government National Mortgage Association Series 2014-117 | | | | | | | | | | | | | | | | |
5.01%, 08/20/44 IOW† | | | | | | | 65,571 | | | | | | | | 9,916 | |
Government National Mortgage Association Series 2014-118 | | | | | | | | | | | | | | | | |
5.88%, 08/20/44 IOW† | | | | | | | 319,451 | | | | | | | | 71,006 | |
Government National Mortgage Association Series 2014-135 | | | | | | | | | | | | | | | | |
6.13%, 01/16/56 IOW† | | | | | | | 6,835,000 | | | | | | | | 381,485 | |
Government National Mortgage Association Series 2015-167 | | | | | | | | | | | | | | | | |
7.36%, 04/16/45 IOW | | | | | | | 171,684 | | | | | | | | 35,522 | |
Government National Mortgage Association Series 2015-H11 | | | | | | | | | | | | | | | | |
1.08%, 05/20/65† | | | | | | | 3,072,859 | | | | | | | | 3,020,960 | |
Government National Mortgage Association Series 2015-H14 | | | | | | | | | | | | | | | | |
0.96%, 05/20/65† | | | | | | | 2,897,797 | | | | | | | | 2,874,116 | |
1.10%, 06/20/65† | | | | | | | 4,901,494 | | | | | | | | 4,824,248 | |
Government National Mortgage Association Series 2015-H15 | | | | | | | | | | | | | | | | |
1.11%, 06/20/65† | | | | | | | 2,025,255 | | | | | | | | 1,993,118 | |
1.13%, 06/20/65† | | | | | | | 4,616,582 | | | | | | | | 4,549,406 | |
Government National Mortgage Association Series 2015-H16 | | | | | | | | | | | | | | | | |
1.13%, 07/20/65† | | | | | | | 4,833,474 | | | | | | | | 4,762,557 | |
Government National Mortgage Association Series 2015-H17 | | | | | | | | | | | | | | | | |
0.99%, 06/20/65† | | | | | | | 713,589 | | | | | | | | 708,472 | |
Government National Mortgage Association Series 2015-H18 | | | | | | | | | | | | | | | | |
1.13%, 07/20/65† | | | | | | | 757,208 | | | | | | | | 746,336 | |
Government National Mortgage Association Series 2015-H19 | | | | | | | | | | | | | | | | |
1.13%, 08/20/65† | | | | | | | 768,802 | | | | | | | | 757,594 | |
Government National Mortgage Association Series 2015-H22 | | | | | | | | | | | | | | | | |
1.13%, 09/20/65† | | | | | | | 766,641 | | | | | | | | 755,096 | |
Government National Mortgage Association Series 2015-H23 | | | | | | | | | | | | | | | | |
1.15%, 09/20/65† | | | | | | | 897,369 | | | | | | | | 884,808 | |
Government National Mortgage Association Series 2015-H26 | | | | | | | | | | | | | | | | |
1.05%, 10/20/65† | | | | | | | 1,680,510 | | | | | | | | 1,669,978 | |
| | | | | | | | | | | | | | | | |
| | | Par | | | Value | |
Government National Mortgage Association Series 2015-H30 | | | | | | | | | | | | | | | | |
1.21%, 08/20/61† | | | | | | $ | 778,644 | | | | | | | $ | 777,838 | |
GreenPoint Mortgage Funding Trust Series 2006-OH1 | | | | | | | | | | | | | | | | |
0.94%, 01/25/37† | | | | | | | 713,597 | | | | | | | | 568,866 | |
GS Mortgage Securities Corporation II Series 2015-GC30 | | | | | | | | | | | | | | | | |
3.38%, 05/10/50 | | | | | | | 490,000 | | | | | | | | 334,636 | |
3.78%, 05/10/50† | | | | | | | 370,000 | | | | | | | | 376,284 | |
GS Mortgage Securities Trust Series
2007-GG10 | | | | | | | | | | | | | | | | |
5.79%, 08/10/45† | | | | | | | 5,017,872 | | | | | | | | 5,033,103 | |
GS Mortgage Securities Trust Series 2011-GC5 | | | | | | | | | | | | | | | | |
5.81%, 08/10/44 IO 144AW† | | | | | | | 288,949 | | | | | | | | 14,343 | |
GS Mortgage Securities Trust Series
2013-GC16 | | | | | | | | | | | | | | | | |
5.16%, 11/10/46† | | | | | | | 130,000 | | | | | | | | 142,837 | |
GSR Mortgage Loan Trust Series 2005-AR6 | | | | | | | | | | | | | | | | |
3.01%, 09/25/35† | | | | | | | 1,030,667 | | | | | | | | 1,064,735 | |
Impac CMB Trust Series 2004-8 | | | | | | | | | | | | | | | | |
1.48%, 10/25/34† | | | | | | | 48,447 | | | | | | | | 42,379 | |
IndyMac ARM Trust Series 2001-H2 | | | | | | | | | | | | | | | | |
2.11%, 01/25/32† | | | | | | | 6,478 | | | | | | | | 5,648 | |
IndyMac INDX Mortgage Loan Trust Series 2006-AR12 | | | | | | | | | | | | | | | | |
0.95%, 09/25/46† | | | | | | | 823,174 | | | | | | | | 675,845 | |
JP Morgan Alternative Loan Trust Series 2005-A2 | | | | | | | | | | | | | | | | |
1.28%, 01/25/36† | | | | | | | 221,872 | | | | | | | | 211,332 | |
JP Morgan Chase Commercial Mortgage Securities Trust Series 2012-C6 | | | | | | | | | | | | | | | | |
5.14%, 05/15/45† | | | | | | | 280,000 | | | | | | | | 292,272 | |
JP Morgan Chase Commercial Mortgage Securities Trust Series 2016-WPT | | | | | | | | | | | | | | | | |
2.15%, 10/15/33 144A† | | | | | | | 800,000 | | | | | | | | 802,334 | |
JP Morgan Mortgage Trust Series 2005-A1 | | | | | | | | | | | | | | | | |
3.17%, 02/25/35† | | | | | | | 74,787 | | | | | | | | 73,589 | |
JPMBB Commercial Mortgage Securities Trust Series 2013-C15 | | | | | | | | | | | | | | | | |
5.05%, 11/15/45† | | | | | | | 90,000 | | | | | | | | 94,686 | |
JPMBB Commercial Mortgage Securities Trust Series 2013-C17 | | | | | | | | | | | | | | | | |
4.89%, 01/15/47† | | | | | | | 50,000 | | | | | | | | 54,299 | |
JPMBB Commercial Mortgage Securities Trust Series 2014-C25 | | | | | | | | | | | | | | | | |
3.41%, 11/15/47 | | | | | | | 840,000 | | | | | | | | 868,628 | |
JPMBB Commercial Mortgage Securities Trust Series 2015-C30 | | | | | | | | | | | | | | | | |
3.82%, 07/15/48 | | | | | | | 880,000 | | | | | | | | 917,262 | |
| | | | |
| 110 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | | | |
| | | | | | Par | | | Value | |
JPMBB Commercial Mortgage Securities Trust Series 2015-C31 | | | | | | | | | | | | | | | | | | |
3.80%, 08/15/48 | | | | | | $ | 1,700,000 | | | | | | | | | $ | 1,769,407 | |
JPMBB Commercial Mortgage Securities Trust Series 2015-C32 | | | | | | | | | | | | | | | | | | |
3.36%, 11/15/48 | | | | | | | 800,000 | | | | | | | | | | 819,272 | |
Kensington Mortgage Securities PLC Series 2007-1X | | | | | | | | | | | | | | | | | | |
1.13%, 06/14/40† | | | | | | | 1,144,206 | | | | | | | | | | 1,079,864 | |
LB Commercial Mortgage Trust Series 2007-C3 | | | | | | | | | | | | | | | | | | |
5.87%, 07/15/44† | | | | | | | 532,311 | | | | | | | | | | 538,137 | |
LB-UBS Commercial Mortgage Trust Series 2001-C3 0.00%, | | | | | | | | | | | | | | | | | | |
06/15/36 IO 144AW† | | | | | | | 386,697 | | | | | | | | | | 1,960 | |
Ludgate Funding PLC Series 2007-1 | | | | | | | | | | | | | | | | | | |
0.54%, 01/01/61(U)† | | | | | | | 923,790 | | | | | | | | | | 1,054,925 | |
Ludgate Funding PLC Series 2008-W1X | | | | | | | | | | | | | | | | | | |
0.98%, 01/01/61(U)† | | | | | | | 802,350 | | | | | | | | | | 942,363 | |
Luminent Mortgage Trust Series 2006-2 | | | | | | | | | | | | | | | | | | |
0.96%, 02/25/46† | | | | | | | 522,389 | | | | | | | | | | 367,001 | |
Mansard Mortgages PLC Series 2007-1X | | | | | | | | | | | | | | | | | | |
0.58%, 04/15/47(U)† | | | | | | | 935,927 | | | | | | | | | | 1,074,807 | |
MASTR Adjustable Rate Mortgages Trust Series 2004-4 | | | | | | | | | | | | | | | | | | |
3.11%, 05/25/34† | | | | | | | 162,009 | | | | | | | | | | 158,919 | |
MASTR Adjustable Rate Mortgages Trust Series 2004-11 | | | | | | | | | | | | | | | | | | |
1.40%, 11/25/34† | | | | | | | 77,448 | | | | | | | | | | 77,455 | |
MASTR Adjustable Rate Mortgages Trust Series 2004-13 | | | | | | | | | | | | | | | | | | |
3.05%, 11/21/34† | | | | | | | 484,351 | | | | | | | | | | 493,900 | |
MASTR Adjustable Rate Mortgages Trust Series 2007-R5 | | | | | | | | | | | | | | | | | | |
3.01%, 11/25/35 144A† | | | | | | | 604,953 | | | | | | | | | | 452,706 | |
Merrill Lynch Mortgage Investors Trust Series 2005-2 | | | | | | | | | | | | | | | | | | |
2.54%, 10/25/35† | | | | | | | 34,079 | | | | | | | | | | 33,902 | |
Morgan Stanley Bank of America Merrill Lynch Trust Series 2013-C7 | | | | | | | | | | | | | | | | | | |
3.21%, 02/15/46 | | | | | | | 41,000 | | | | | | | | | | 41,215 | |
Morgan Stanley Bank of America Merrill Lynch Trust Series 2013-C9 | | | | | | | | | | | | | | | | | | |
3.10%, 05/15/46 | | | | | | | 300,000 | | | | | | | | | | 303,141 | |
3.46%, 05/15/46 | | | | | | | 140,000 | | | | | | | | | | 141,572 | |
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C19 | | | | | | | | | | | | | | | | | | |
4.00%, 12/15/47† | | | | | | | 370,000 | | | | | | | | | | 373,724 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | Par | | | Value | |
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C22 | | | | | | | | | | | | | | | | | | |
3.56%, 04/15/48 | | | | | | $ | 480,000 | | | | | | | | | $ | 479,895 | |
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C25 | | | | | | | | | | | | | | | | | | |
3.37%, 10/15/48 | | | | | | | 1,400,000 | | | | | | | | | | 1,408,259 | |
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C27 | | | | | | | | | | | | | | | | | | |
3.56%, 12/15/47 | | | | | | | 800,000 | | | | | | | | | | 826,676 | |
Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C31 | | | | | | | | | | | | | | | | | | |
3.10%, 11/15/49 | | | | | | | 380,000 | | | | | | | | | | 370,945 | |
Morgan Stanley Capital I Trust Series 2007-HQ11 | | | | | | | | | | | | | | | | | | |
5.48%, 02/12/44† | | | | | | | 46,279 | | | | | | | | | | 46,244 | |
Morgan Stanley Capital I Trust Series 2014-CPT | | | | | | | | | | | | | | | | | | |
3.45%, 07/13/29 144A† | | | | | | | 800,000 | | | | | | | | | | 816,275 | |
Morgan Stanley Capital I Trust Series 2015-XLF1 | | | | | | | | | | | | | | | | | | |
1.84%, 08/14/31 144A† | | | | | | | 253,079 | | | | | | | | | | 252,352 | |
Morgan Stanley Capital I Trust Series 2016-UBS12 | | | | | | | | | | | | | | | | | | |
3.60%, 12/15/49 | | | | | | | 380,000 | | | | | | | | | | 387,900 | |
Morgan Stanley Re-REMIC Trust Series 2009-GG10 | | | | | | | | | | | | | | | | | | |
5.79%, 08/12/45 144A† | | | | | | | 1,370,528 | | | | | | | | | | 1,373,836 | |
Mortgage Repurchase Agreement Financing Trust Series 2016-1 | | | | | | | | | | | | | | | | | | |
1.64%, 09/10/18 144A† | | | | | | | 950,000 | | | | | | | | | | 950,000 | |
Mortgage Repurchase Agreement Financing Trust Series 2016-2 | | | | | | | | | | | | | | | | | | |
1.84%, 03/10/19 144A† | | | | | | | 950,000 | | | | | | | | | | 950,000 | |
Mortgage Repurchase Agreement Financing Trust Series 2016-3 | | | | | | | | | | | | | | | | | | |
1.66%, 11/10/18+ 144A† | | | | | | | 900,000 | | | | | | | | | | 900,000 | |
MortgageIT Trust Series 2005-4 | | | | | | | | | | | | | | | | | | |
1.04%, 10/25/35† | | | | | | | 600,047 | | | | | | | | | | 549,062 | |
Motel 6 Trust Series 2015-MTL6 | | | | | | | | | | | | | | | | | | |
4.53%, 02/05/30 144A | | | | | | | 150,000 | | | | | | | | | | 150,622 | |
MSCG Trust Series 2015-ALDR | | | | | | | | | | | | | | | | | | |
3.46%, 06/07/35 144A† | | | | | | | 580,000 | | | | | | | | | | 574,200 | |
MSCG Trust Series 2016-SNR | | | | | | | | | | | | | | | | | | |
5.21%, 11/15/34 144A | | | | | | | 390,000 | | | | | | | | | | 389,758 | |
Nomura Resecuritization Trust Series 2014-7R | | | | | | | | | | | | | | | | | | |
0.78%, 12/26/35 144A† | | | | | | | 545,462 | | | | | | | | | | 502,747 | |
Prime Mortgage Trust Series 2006-DR1 | | | | | | | | | | | | | | | | | | |
5.50%, 05/25/35 144A | | | | | | | 2,477,860 | | | | | | | | | | 2,307,812 | |
6.00%, 05/25/35 144A | | | | | | | 2,090,167 | | | | | | | | | | 1,982,628 | |
| | | | |
| | See Notes to Financial Statements. | | 111 |
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | |
| | | Par | | | Value | |
RBSCF Trust Series 2009-RR2 | | | | | | | | | | |
5.97%, 02/16/51 144A† | | $ | 1,229,101 | | | | | $ | 1,227,052 | |
ResLoC UK PLC Series 2007-1X | | | | | | | | | | |
0.00%, 12/15/43 IO(E)† | | | 1,333,699 | | | | | | 1,307,506 | |
0.53%, 12/15/43(U)† | | | 333,425 | | | | | | 380,407 | |
RFTI Issuer, Ltd. Series 2015-FL1 | | | | | | | | | | |
2.45%, 08/15/30 144A† | | | 1,536,718 | | | | | | 1,534,766 | |
Sequoia Mortgage Trust Series 2003-4 | | | | | | | | | | |
1.66%, 07/20/33† | | | 94,328 | | | | | | 87,532 | |
Sequoia Mortgage Trust Series 6 | | | | | | | | | | |
1.38%, 04/19/27† | | | 491,396 | | | | | | 456,769 | |
Station Place Securitization Trust Series 2015-2 | | | | | | | | | | |
1.75%, 05/15/18+ 144A† | | | 600,000 | | | | | | 600,000 | |
Structured Adjustable Rate Mortgage Loan Trust Series 2004-5 | | | | | | | | | | |
3.18%, 05/25/34† | | | 277,388 | | | | | | 280,337 | |
Structured Adjustable Rate Mortgage Loan Trust Series 2005-19XS | | | | | | | | | | |
1.06%, 10/25/35† | | | 1,197,436 | | | | | | 1,133,436 | |
Structured Asset Mortgage Investments II Trust Series 2005-AR5 | | | | | | | | | | |
0.99%, 07/19/35† | | | 130,307 | | | | | | 116,310 | |
Thornburg Mortgage Securities Trust Series 2003-4 | | | | | | | | | | |
1.40%, 09/25/43† | | | 12,170 | | | | | | 11,708 | |
Thornburg Mortgage Securities Trust Series 2005-1 | | | | | | | | | | |
2.63%, 04/25/45† | | | 98,814 | | | | | | 99,051 | |
Towd Point Mortgage Funding Vantage1 PLC Series 2016-V1A | | | | | | | | | | |
1.54%, 02/20/54+ 144A(U)† | | | 570,000 | | | | | | 694,281 | |
Trinity Square PLC Series 2015-1A | | | | | | | | | | |
1.55%, 07/15/51 144A(U)† | | | 347,406 | | | | | | 430,763 | |
UBS Commercial Mortgage Trust Series 2012-C1 | | | | | | | | | | |
4.78%, 05/10/45 IO 144AW† | | | 2,251,370 | | | | | | 201,198 | |
UBS-Barclays Commercial Mortgage Trust Series 2012-C4 | | | | | | | | | | |
4.50%, 12/10/45 144A† | | | 320,000 | | | | | | 307,071 | |
VNDO Mortgage Trust Series 2012-6AVE | | | | | | | | | | |
3.00%, 11/15/30 144A | | | 100,000 | | | | | | 100,922 | |
Washington Mutual Mortgage Pass-Through Certificates Series 2002-AR6 | | | | | | | | | | |
1.97%, 06/25/42† | | | 17,639 | | | | | | 16,943 | |
Washington Mutual Mortgage Pass-Through Certificates Series 2002-AR19 | | | | | | | | | | |
2.64%, 02/25/33† | | | 7,636 | | | | | | 7,500 | |
| | | | | | | | | | |
| | | Par | | | Value | |
Washington Mutual Mortgage Pass-Through Certificates Series 2005-AR8 | | | | | | | | | | |
1.03%, 07/25/45† | | $ | 907,985 | | | | | $ | 858,690 | |
Washington Mutual Mortgage Pass-Through Certificates Series 2005-AR8 | | | | | | | | | | |
1.05%, 07/25/45† | | | 187,656 | | | | | | 178,242 | |
Washington Mutual Mortgage Pass-Through Certificates Series 2005-AR13 | | | | | | | | | | |
1.05%, 10/25/45† | | | 1,394,434 | | | | | | 1,333,942 | |
Washington Mutual Mortgage Pass-Through Certificates Series 2007-HY1 | | | | | | | | | | |
2.52%, 02/25/37† | | | 391,812 | | | | | | 352,374 | |
2.60%, 02/25/37† | | | 264,717 | | | | | | 237,475 | |
Washington Mutual Mortgage Pass-Through Certificates Series 2007-OA3 | | | | | | | | | | |
1.33%, 04/25/47† | | | 765,693 | | | | | | 686,108 | |
Waterfall Commercial Mortgage Trust Series 2015-SBC5 | | | | | | | | | | |
4.10%, 09/14/22 144A† | | | 765,573 | | | | | | 753,830 | |
Wells Fargo Alternative Loan Trust Series 2007-PA6 | | | | | | | | | | |
3.16%, 12/28/37† | | | 858,016 | | | | | | 771,420 | |
Wells Fargo Commercial Mortgage Trust Series 2013-LC12 | | | | | | | | | | |
4.30%, 07/15/46† | | | 20,000 | | | | | | 21,161 | |
Wells Fargo Commercial Mortgage Trust Series 2014-LC16 | | | | | | | | | | |
4.72%, 08/15/50 IOW† | | | 3,002,909 | | | | | | 195,056 | |
Wells Fargo Commercial Mortgage Trust Series 2015-NXS1 | | | | | | | | | | |
3.66%, 05/15/48† | | | 350,000 | | | | | | 345,223 | |
Wells Fargo Mortgage-Backed Securities Trust Series 2005-AR2 | | | | | | | | | | |
2.91%, 03/25/35† | | | 96,805 | | | | | | 97,588 | |
Wells Fargo Mortgage-Backed Securities Trust Series 2005-AR13 | | | | | | | | | | |
3.06%, 05/25/35† | | | 23,312 | | | | | | 23,321 | |
Wells Fargo Mortgage-Backed Securities Trust Series 2005-AR16 | | | | | | | | | | |
3.14%, 08/25/33† | | | 155,343 | | | | | | 158,806 | |
WFRBS Commercial Mortgage Trust Series 2012-C7 | | | | | | | | | | |
4.69%, 06/15/45 IO 144AW† | | | 298,192 | | | | | | 18,020 | |
WFRBS Commercial Mortgage Trust Series 2012-C10 | | | | | | | | | | |
5.52%, 12/15/45 IO 144AW† | | | 2,312,900 | | | | | | 162,654 | |
WFRBS Commercial Mortgage Trust Series 2013-C13 | | | | | | | | | | |
4.95%, 05/15/45 IO 144AW† | | | 2,933,618 | | | | | | 171,526 | |
| | | | |
| 112 | | See Notes to Financial Statements. | | |
| | | | | | | | | | |
| | | Par | | | Value | |
WFRBS Commercial Mortgage Trust Series 2014-C19 | | | | | | | | | | |
3.62%, 03/15/47 IOW† | | $ | 1,041,986 | | | | | $ | 60,063 | |
WFRBS Commercial Mortgage Trust Series 2014-C21 | | | | | | | | | | |
5.23%, 08/15/47 IOW† | | | 3,597,792 | | | | | | 214,778 | |
WFRBS Commercial Mortgage Trust Series 2014-C24 | | | | | | | | | | |
3.93%, 11/15/47 | | | 290,000 | | | | | | 293,483 | |
4.29%, 11/15/47† | | | 300,000 | | | | | | 272,584 | |
| | | | | | | | | | |
Total Mortgage-Backed Securities
(Cost $386,354,879) | | | | | | 383,491,421 | |
| | | | | | | | | | |
MUNICIPAL BONDS — 0.9% | |
Alameda County Joint Powers Authority, Revenue Bond, Series Z | | | | | | | | | | |
7.05%, 12/01/44 | | | 2,400,000 | | | | | | 3,305,975 | |
American Municipal Power, Inc., Hydroelectric Projects, Revenue Bond, Series B | | | | | | | | | | |
8.08%, 02/15/50 | | | 600,000 | | | | | | 911,736 | |
American Municipal Power, Inc., Revenue Bond, Series E | | | | | | | | | | |
6.27%, 02/15/50 | | | 250,000 | | | | | | 303,438 | |
Chicago Transit Authority, Revenue Bond, Series A | | | | | | | | | | |
6.90%, 12/01/40 | | | 700,000 | | | | | | 880,670 | |
Chicago Transit Authority, Revenue Bond, Series B | | | | | | | | | | |
6.90%, 12/01/40 | | | 300,000 | | | | | | 375,816 | |
Commonwealth of Puerto Rico, General Obligation, Series A | | | | | | | | | | |
5.50%, 07/01/32# | | | 5,000 | | | | | | 3,125 | |
6.00%, 07/01/34# | | | 10,000 | | | | | | 6,263 | |
8.00%, 07/01/35# | | | 280,000 | | | | | | 189,000 | |
5.25%, 07/01/37# | | | 20,000 | | | | | | 12,450 | |
5.50%, 07/01/39# | | | 85,000 | | | | | | 53,125 | |
5.00%, 07/01/41# | | | 10,000 | | | | | | 6,050 | |
5.75%, 07/01/41# | | | 10,000 | | | | | | 6,162 | |
Commonwealth of Puerto Rico, General Obligation, Series B | | | | | | | | | | |
5.88%, 07/01/36# | | | 10,000 | | | | | | 6,344 | |
Commonwealth of Puerto Rico, General Obligation, Series C | | | | | | | | | | |
6.00%, 07/01/39# | | | 10,000 | | | | | | 6,300 | |
Port Authority of New York & New Jersey, Revenue Bond, Series 192 | | | | | | | | | | |
4.81%, 10/15/65 | | | 300,000 | | | | | | 323,166 | |
Puerto Rico Commonwealth Aqueduct & Sewer Authority, Revenue Bond, Series A | | | | | | | | | | |
5.75%, 07/01/37 | | | 20,000 | | | | | | 15,100 | |
6.00%, 07/01/44 | | | 55,000 | | | | | | 41,869 | |
Puerto Rico Sales Tax Financing Corporation, Revenue Bond, Sub-Series A-1 | | | | | | | | | | |
5.00%, 08/01/43 | | | 20,000 | | | | | | 9,450 | |
5.25%, 08/01/43 | | | 10,000 | | | | | | 4,725 | |
| | | | | | | | | | |
| | | Par | | | Value | |
Puerto Rico Sales Tax Financing Corporation, Revenue Bond, Sub-Series A | | | | | | | | | | |
5.25%, 08/01/27 | | $ | 5,000 | | | | | $ | 2,362 | |
5.50%, 08/01/28 | | | 60,000 | | | | | | 28,350 | |
6.75%, 08/01/32 | | | 85,000 | | | | | | 42,713 | |
15.62%, 08/01/33W | | | 25,000 | | | | | | 8,082 | |
5.50%, 08/01/37 | | | 65,000 | | | | | | 30,712 | |
5.75%, 08/01/37 | | | 45,000 | | | | | | 21,262 | |
5.38%, 08/01/39 | | | 35,000 | | | | | | 16,538 | |
6.38%, 08/01/39 | | | 5,000 | | | | | | 2,475 | |
5.50%, 08/01/42 | | | 120,000 | | | | | | 56,700 | |
6.00%, 08/01/42 | | | 100,000 | | | | | | 48,250 | |
Puerto Rico Sales Tax Financing Corporation, Revenue Bond, Sub-Series C | | | | | | | | | | |
11.54%, 08/01/37W | | | 10,000 | | | | | | 1,005 | |
5.38%, 08/01/38 | | | 15,000 | | | | | | 7,088 | |
6.00%, 08/01/39 | | | 35,000 | | | | | | 17,063 | |
5.25%, 08/01/41 | | | 100,000 | | | | | | 47,250 | |
State of California, General Obligation | | | | | | | | | | |
7.95%, 03/01/36 | | | 265,000 | | | | | | 309,695 | |
7.55%, 04/01/39 | | | 85,000 | | | | | | 125,855 | |
State of Illinois, General Obligation | | | | | | | | | | |
7.35%, 07/01/35 | | | 375,000 | | | | | | 406,193 | |
Utah State Board of Regents Series 1A | | | | | | | | | | |
1.28%, 09/25/56† | | | 2,042,144 | | | | | | 2,027,189 | |
| | | | | | | | | | |
Total Municipal Bonds
(Cost $9,416,395) | | | | | | 9,659,546 | |
| | | | | | | | | | |
| | | |
| | | Number of
Contracts | | | | | | |
PURCHASED OPTIONS — 0.2% | |
Call Option — 0.0% | |
10-Year U.S. Treasury Note, Strike Price $124.50, Expires 01/27/17 (GSC) | | | 14 | | | | | | 7,437 | |
| | | | | | | | | | |
| | | |
| | | Notional
Amount | | | | | | |
Call Swaptions — 0.0% | |
3-Month LIBOR, Strike Price 1.65%, Expires 11/15/18 (MSCS) | | $ | 2,280,000,000 | | | | | | 95,760 | |
U.S. Dollar vs. Brazilian Reals, Strike Price $0.15, Expires 11/28/17 (BAR) | | | 982,000 | | | | | | 76,003 | |
| | | | | | | | | | |
| | | | | | | | | 171,763 | |
| | | | | | | | | | |
| | | |
| | | Number of
Contracts | | | | | | |
Put Option — 0.0% | |
Long U.S. Treasury Bond, Strike Price $152.00, Expires 01/27/17 (GSC) | | | 14 | | | | | | 15,094 | |
| | | | | | | | | | |
| | | |
| | | Notional
Amount | | | | | | |
Put Swaptions — 0.2% | |
3-Month LIBOR, Strike Price 2.30%, Expires 10/21/19 (GSC) | | $ | 770,000,000 | | | | | | 1,132,621 | |
| | | | |
| | See Notes to Financial Statements. | | 113 |
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | |
| | | Notional
Amount | | | Value | |
3-Month LIBOR, Strike Price 2.50%, Expires 11/07/19 (DEUT) | | $ | 310,000,000 | | | | | $ | 387,343 | |
3-Month LIBOR, Strike Price 2.91%, Expires 08/20/18 (MSCS) | | | 160,000,000 | | | | | | 102,344 | |
3-Month LIBOR, Strike Price 2.94%, Expires 08/20/18 (GSC) | | | 50,000,000 | | | | | | 30,649 | |
| | | | | | | | | | |
| | | | | | | | | 1,652,957 | |
| | | | | | | | | | |
Total Purchased Options
(Cost $1,444,093) | | | | | | | | | 1,847,251 | |
| | | | | | | | | | |
| | | |
| | | Par | | | | | | |
U.S. TREASURY OBLIGATIONS — 27.9% | |
U.S. Treasury Bonds | | | | | | | | | | |
4.38%, 11/15/39 | | | 200,000 | | | | | | 246,965 | |
2.75%, 08/15/42 | | | 600,000 | | | | | | 567,012 | |
2.75%, 11/15/42 | | | 7,650,000 | | | | | | 7,227,460 | |
2.88%, 05/15/43D | | | 15,410,000 | | | | | | 14,888,711 | |
3.63%, 08/15/43‡‡ | | | 5,300,000 | | | | | | 5,878,755 | |
3.75%, 11/15/43D | | | 1,650,000 | | | | | | 1,871,138 | |
3.00%, 11/15/44 | | | 4,300,000 | | | | | | 4,248,851 | |
3.00%, 05/15/45 | | | 4,090,000 | | | | | | 4,035,758 | |
2.88%, 08/15/45 | | | 360,000 | | | | | | 346,514 | |
3.00%, 11/15/45 | | | 16,090,000 | | | | | | 15,873,783 | |
2.50%, 02/15/46 | | | 1,970,000 | | | | | | 1,751,031 | |
2.50%, 05/15/46 | | | 7,770,000 | | | | | | 6,905,284 | |
2.25%, 08/15/46D | | | 3,910,000 | | | | | | 3,287,763 | |
2.88%, 11/15/46 | | | 5,980,000 | | | | | | 5,774,557 | |
| | | | | | | | | | |
| | | | | | | | | 72,903,582 | |
| | | | | | | | | | |
U.S. Treasury Inflationary Index Bonds | | | | | | | | | | |
0.13%, 04/15/18 | | | 4,100,000 | | | | | | 4,327,247 | |
0.13%, 04/15/19 | | | 600,000 | | | | | | 626,822 | |
1.13%, 01/15/21 | | | 1,800,000 | | | | | | 2,087,904 | |
0.13%, 04/15/21 | | | 3,100,000 | | | | | | 3,181,665 | |
0.13%, 07/15/22D | | | 3,600,000 | | | | | | 3,796,515 | |
0.13%, 01/15/23 | | | 200,000 | | | | | | 208,058 | |
0.38%, 07/15/23 | | | 2,040,000 | | | | | | 2,139,548 | |
0.63%, 01/15/24 | | | 2,240,000 | | | | | | 2,363,148 | |
0.13%, 07/15/24 | | | 13,305,000 | | | | | | 13,316,893 | |
0.25%, 01/15/25D | | | 1,000,000 | | | | | | 1,004,272 | |
2.38%, 01/15/25D | | | 2,700,000 | | | | | | 3,978,052 | |
0.38%, 07/15/25 | | | 527,000 | | | | | | 534,526 | |
0.63%, 01/15/26 | | | 3,300,000 | | | | | | 3,388,302 | |
0.13%, 07/15/26D | | | 6,110,000 | | | | | | 5,961,406 | |
2.38%, 01/15/27 | | | 500,000 | | | | | | 702,665 | |
2.50%, 01/15/29 | | | 1,500,000 | | | | | | 2,039,141 | |
2.13%, 02/15/40 | | | 920,000 | | | | | | 1,276,228 | |
0.75%, 02/15/42D | | | 380,000 | | | | | | 385,578 | |
1.38%, 02/15/44 | | | 1,200,000 | | | | | | 1,360,360 | |
0.75%, 02/15/45 | | | 1,810,000 | | | | | | 1,751,353 | |
1.00%, 02/15/46 | | | 220,000 | | | | | | 225,610 | |
| | | | | | | | | | |
| | | | | | | | | 54,655,293 | |
| | | | | | | | | | |
U.S. Treasury Notes | | | | | | | | | | |
0.63%, 11/30/17D | | | 1,390,000 | | | | | | 1,386,932 | |
0.88%, 11/30/17 | | | 1,600,000 | | | | | | 1,600,344 | |
0.75%, 12/31/17 | | | 700,000 | | | | | | 698,947 | |
0.75%, 01/31/18 | | | 5,200,000 | | | | | | 5,189,943 | |
0.75%, 02/28/18 | | | 1,870,000 | | | | | | 1,865,763 | |
| | | | | | | | | | |
| | | Par | | | Value | |
0.75%, 07/31/18 | | $ | 3,180,000 | | | | | $ | 3,163,356 | |
1.50%, 08/31/18 | | | 1,410,000 | | | | | | 1,419,033 | |
1.38%, 03/31/20 | | | 1,840,000 | | | | | | 1,830,657 | |
1.63%, 06/30/20 | | | 7,630,000 | | | | | | 7,634,921 | |
1.63%, 07/31/20 | | | 4,100,000 | | | | | | 4,097,917 | |
2.63%, 11/15/20 | | | 670,000 | | | | | | 692,626 | |
1.38%, 04/30/21 | | | 2,570,000 | | | | | | 2,521,460 | |
1.13%, 06/30/21 | | | 3,680,000 | | | | | | 3,562,196 | |
1.13%, 08/31/21 | | | 5,840,000 | | | | | | 5,643,472 | |
1.13%, 09/30/21 | | | 8,250,000 | | | | | | 7,958,033 | |
1.25%, 10/31/21D | | | 7,480,000 | | | | | | 7,254,141 | |
2.00%, 12/31/21 | | | 5,150,000 | | | | | | 5,169,416 | |
1.75%, 03/31/22 | | | 4,040,000 | | | | | | 3,986,894 | |
2.13%, 06/30/22 | | | 330,000 | | | | | | 331,218 | |
1.50%, 02/28/23 | | | 3,620,000 | | | | | | 3,482,342 | |
1.38%, 06/30/23 | | | 8,520,000 | | | | | | 8,094,665 | |
1.25%, 07/31/23 | | | 3,710,000 | | | | | | 3,493,195 | |
1.38%, 08/31/23 | | | 5,280,000 | | | | | | 5,002,800 | |
1.38%, 09/30/23 | | | 720,000 | | | | | | 681,863 | |
2.13%, 11/30/23D | | | 15,430,000 | | | | | | 15,329,643 | |
2.25%, 12/31/23 | | | 7,610,000 | | | | | | 7,614,459 | |
2.38%, 08/15/24 | | | 440,000 | | | | | | 442,123 | |
2.00%, 02/15/25 | | | 6,030,000 | | | | | | 5,870,066 | |
2.25%, 11/15/25D | | | 220,000 | | | | | | 217,224 | |
1.63%, 05/15/26 | | | 160,000 | | | | | | 149,228 | |
1.50%, 08/15/26D | | | 27,860,000 | | | | | | 25,624,681 | |
2.00%, 11/15/26D | | | 19,000,000 | | | | | | 18,283,415 | |
| | | | | | | | | | |
| | | | | | | | | 160,292,973 | |
| | | | | | | | | | |
Total U.S. Treasury Obligations
(Cost $294,714,497) | | | | | | 287,851,848 | |
| | | | | | | | | | |
| | | |
| | | Shares | | | | | | |
PREFERRED STOCK — 0.0% | |
GMAC Capital Trust I 6.69%, 02/15/40†
(Cost $345,587) | | | 13,929 | | | | | | 353,797 | |
| | | | | | | | | | |
| | | |
| | | Par | | | | | | |
REPURCHASE AGREEMENTS — 7.3% | |
Deutsche Bank Securities, Inc. | | | | | | | | | | |
0.62% (dated 12/29/16, due 01/03/17, repurchase price $17,601,212, collateralized by U.S. Treasury Bond, 3.625%, due 02/15/44, total market value $18,104,874) | | | 17,600,000 | | | | | | 17,600,000 | |
JP Morgan Securities LLC | | | | | | | | | | |
0.65% (dated 12/29/16, due 01/03/17, repurchase price $17,601,271, collateralized by U.S. Treasury Inflationary Index Bond, 0.125%, due 04/15/18, total market value $18,688,455) | | | 17,600,000 | | | | | | 17,600,000 | |
0.54% (dated 12/30/16, due 01/03/17, repurchase price $17,600,264, collateralized by U.S. Treasury Note, 1.625%, due 11/30/20, total market value $18,003,656) | | | 17,600,000 | | | | | | 17,600,000 | |
| | | | |
| 114 | | See Notes to Financial Statements. | | |
| | | | | | | | | | |
| | | Par | | | Value | |
Merrill Lynch Pierce Fenner & Smith | | | | | | | | | | |
0.65% (dated 12/29/16, due 01/03/17, repurchase price $5,200,376, collateralized by U.S. Treasury Bond, 3.750%, due 11/15/43, total market value $5,340,288) | | $ | 5,200,000 | | | | | $ | 5,200,000 | |
0.53% (dated 12/30/16, due 01/03/17, repurchase price $17,600,259, collateralized by U.S. Treasury Bond, 3.750%, due 11/15/43, total market value $18,379,063) | | | 17,600,000 | | | | | | 17,600,000 | |
| | | | | | | | | | |
Total Repurchase Agreements
(Cost $75,600,000) | | | 75,600,000 | |
| | | | | | | | | | |
| | | |
| | | Shares | | | | | | |
MONEY MARKET FUNDS — 14.5% | |
GuideStone Money Market Fund (Investor Class)¥ | | | 52,755,666 | | | | | | 52,755,666 | |
Northern Institutional Liquid Assets Portfolio§ | | | 96,263,470 | | | | | | 96,263,470 | |
| | | | | | | | | | |
Total Money Market Funds
(Cost $149,019,136) | | | 149,019,136 | |
| | | | | | | | | | |
TOTAL INVESTMENTS — 127.1%
(Cost $1,320,535,029) | | | 1,310,868,341 | |
| | | | | | | | | | |
| | | |
| | | Number of
Contracts | | | | | | |
WRITTEN OPTIONS — (0.3)% | |
Call Options — (0.1)% | |
10-Year U.S. Treasury Note, Strike Price $125.00, Expires 01/27/17 (GSC) | | | (28 | ) | | | | | (9,625 | ) |
10-Year U.S. Treasury Note, Strike Price $126.00, Expires 01/27/17 (GSC) | | | (14 | ) | | | | | (1,969 | ) |
10-Year U.S. Treasury Note, Strike Price $126.00, Expires 02/24/17 (GSC) | | | (30 | ) | | | | | (11,250 | ) |
10-Year U.S. Treasury Note, Strike Price $126.50, Expires 01/27/17 (GSC) | | | (14 | ) | | | | | (1,313 | ) |
10-Year U.S. Treasury Note, Strike Price $127.50, Expires 01/27/17 (GSC) | | | (14 | ) | | | | | (656 | ) |
10-Year U.S. Treasury Note, Strike Price $127.50, Expires 02/24/17 (GSC) | | | (28 | ) | | | | | (4,375 | ) |
5-Year U.S. Treasury Note, Strike Price $117.75, Expires 02/24/17 (GSC) | | | (15 | ) | | | | | (8,321 | ) |
5-Year U.S. Treasury Note, Strike Price $120.00, Expires 01/27/17 (GSC) | | | (85 | ) | | | | | (1,328 | ) |
Long U.S. Treasury Bond, Strike Price $117.75, Expires 01/27/17 (GSC) | | | (144 | ) | | | | | (51,750 | ) |
| | | | | | | | | | |
| | | Number of
Contracts | | | Value | |
Long U.S. Treasury Bond, Strike Price $150.00, Expires 01/27/17 (GSC) | | | (17 | ) | | | | $ | (34,531 | ) |
Long U.S. Treasury Bond, Strike Price $151.00, Expires 01/27/17 (GSC) | | | (6 | ) | | | | | (9,000 | ) |
| | | | | | | | | | |
| | | | | | | | | (134,118 | ) |
| | | | | | | | | | |
| | | |
| | | Notional
Amount | | | | | | |
Call Swaptions — 0.0% | |
3-Month LIBOR, Strike Price 1.95%, Expires 02/16/17 (GSC) | | $ | (830,000,000 | ) | | | | | (6,900 | ) |
3-Month LIBOR, Strike Price 2.00%, Expires 11/15/18 (MSCS) | | | (490,000,000 | ) | | | | | (93,979 | ) |
U.S. Dollar vs. Brazilian Reals, Strike Price $0.04, Expires 11/28/17 (BAR) | | | (1,964,000 | ) | | | | | (83,672 | ) |
| | | | | | | | | | |
| | | | | | | | | (184,551 | ) |
| | | | | | | | | | |
| | | |
| | | Number of
Contracts | | | | | | |
Put Option — 0.0% | |
Long U.S. Treasury Bond, Strike Price $143.00, Expires 01/27/17 (GSC) | | | (21 | ) | | | | | (2,625 | ) |
| | | | | | | | | | |
| | | |
| | | Notional
Amount | | | | | | |
Put Swaptions — (0.2)% | |
3-Month LIBOR, Strike Price 2.00%, Expires 10/21/19 (GSC) | | $ | (3,850,000,000 | ) | | | | | (1,537,736 | ) |
3-Month LIBOR, Strike Price 2.25%, Expires 11/07/19 (DEUT) | | | (1,550,000,000 | ) | | | | | (522,093 | ) |
3-Month LIBOR, Strike Price 2.40%, Expires 02/16/17 (GSC) | | | (830,000,000 | ) | | | | | (69,097 | ) |
3-Month LIBOR, Strike Price 2.80%, Expires 08/20/18 (GSC) | | | (230,000,000 | ) | | | | | (30,497 | ) |
3-Month LIBOR, Strike Price 2.80%, Expires 08/20/18 (MSCS) | | | (710,000,000 | ) | | | | | (94,144 | ) |
| | | | | | | | | | |
| | | | | | | | | (2,253,567 | ) |
| | | | | | | | | | |
Total Written Options
(Premiums received $(1,719,046)) | | | | | | (2,574,861 | ) |
| | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 115 |
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | |
| | | Par | | | Value | |
TBA SALE COMMITMENTS — (2.9)% | |
Federal Home Loan Mortgage Corporation | | | | | | | | | | |
3.50%, 01/01/42 TBA | | $ | (3,000,000 | ) | | | | $ | (3,071,829 | ) |
Federal National Mortgage Association | | | | | | | | | | |
3.00%, 01/01/43 TBA | | | (1,000,000 | ) | | | | | (993,414 | ) |
Government National Mortgage Association | | | | | | | | | | |
3.00%, 01/15/43 TBA | | | (1,000,000 | ) | | | | | (1,010,586 | ) |
3.00%, 01/20/43 TBA | | | (25,000,000 | ) | | | | | (25,312,987 | ) |
| | | | | | | | | | |
Total TBA Sale Commitments
(Proceeds $(29,992,656)) | | | | | | (30,388,816 | ) |
| | | | | | | | | | |
Liabilities in Excess of Other Assets — (23.9)% | | | | | | (246,692,078 | ) |
| | | | | | | | | | |
NET ASSETS — 100.0% | | | | | $ | 1,031,212,586 | |
| | | | | | | | | | |
| | | | |
| 116 | | See Notes to Financial Statements. | | |
Swap agreements outstanding at December 31, 2016:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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 and Sovereign Issues — Buy Protection | |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 03/20/19 | | | | CITI | | | | USD | | | | 430,000 | | | $ | (4,010 | ) | | $ | (1,177 | ) | | $ | (2,833 | ) |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 03/20/19 | | | | CITI | | | | USD | | | | 220,000 | | | | (2,052 | ) | | | (644 | ) | | | (1,408 | ) |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 03/20/19 | | | | CITI | | | | USD | | | | 190,000 | | | | (1,772 | ) | | | (224 | ) | | | (1,548 | ) |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 03/20/19 | | | | CITI | | | | USD | | | | 190,000 | | | | (1,772 | ) | | | (285 | ) | | | (1,487 | ) |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 03/20/19 | | | | CITI | | | | USD | | | | 180,000 | | | | (1,679 | ) | | | (196 | ) | | | (1,483 | ) |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 03/20/19 | | | | CITI | | | | USD | | | | 140,000 | | | | (1,306 | ) | | | (342 | ) | | | (964 | ) |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 03/20/19 | | | | CITI | | | | USD | | | | 130,000 | | | | (1,212 | ) | | | (99 | ) | | | (1,113 | ) |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 03/20/19 | | | | CITI | | | | USD | | | | 120,000 | | | | (1,119 | ) | | | (100 | ) | | | (1,019 | ) |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 03/20/19 | | | | JPM | | | | USD | | | | 120,000 | | | | (1,119 | ) | | | (176 | ) | | | (943 | ) |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 03/20/19 | | | | CITI | | | | USD | | | | 80,000 | | | | (746 | ) | | | (144 | ) | | | (602 | ) |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 03/20/19 | | | | JPM | | | | USD | | | | 60,000 | | | | (560 | ) | | | (101 | ) | | | (459 | ) |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 03/20/19 | | | | CITI | | | | USD | | | | 20,000 | | | | (187 | ) | | | (57 | ) | | | (130 | ) |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 06/20/19 | | | | CITI | | | | USD | | | | 950,000 | | | | (8,472 | ) | | | — | | | | (8,472 | ) |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 06/20/19 | | | | CITI | | | | USD | | | | 250,000 | | | | (2,230 | ) | | | (821 | ) | | | (1,409 | ) |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 06/20/19 | | | | CITI | | | | USD | | | | 210,000 | | | | (1,873 | ) | | | (727 | ) | | | (1,146 | ) |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 06/20/19 | | | | CITI | | | | USD | | | | 120,000 | | | | (1,070 | ) | | | (376 | ) | | | (694 | ) |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 06/20/19 | | | | CITI | | | | USD | | | | 120,000 | | | | (1,070 | ) | | | (383 | ) | | | (687 | ) |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 06/20/19 | | | | CITI | | | | USD | | | | 120,000 | | | | (1,070 | ) | | | (765 | ) | | | (305 | ) |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 06/20/19 | | | | CITI | | | | USD | | | | 80,000 | | | | (713 | ) | | | (604 | ) | | | (109 | ) |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 06/20/19 | | | | CITI | | | | USD | | | | 60,000 | | | | (535 | ) | | | (189 | ) | | | (346 | ) |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 06/20/19 | | | | CITI | | | | USD | | | | 60,000 | | | | (535 | ) | | | (186 | ) | | | (349 | ) |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 06/20/19 | | | | JPM | | | | USD | | | | 50,000 | | | | (446 | ) | | | (170 | ) | | | (276 | ) |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 06/20/19 | | | | BOA | | | | USD | | | | 30,000 | | | | (268 | ) | | | (89 | ) | | | (179 | ) |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 06/20/19 | | | | BOA | | | | USD | | | | 20,000 | | | | (178 | ) | | | (66 | ) | | | (112 | ) |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 06/20/19 | | | | JPM | | | | USD | | | | 10,000 | | | | (89 | ) | | | (30 | ) | | | (59 | ) |
Credit Suisse, Inc., | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
6.50%, due 01/15/12 | | | (1.00 | )% | | | 09/20/20 | | | | GSC | | | | USD | | | | 300,000 | | | | (5,510 | ) | | | 2,875 | | | | (8,385 | ) |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 12/20/20 | | | | JPM | | | | USD | | | | 340,000 | | | | (555 | ) | | | 479 | | | | (1,034 | ) |
| | | | |
| | See Notes to Financial Statements. | | 117 |
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Reference Obligation | | Fixed
Deal
(Pay) Rate | | | Maturity
Date | | | Counterparty | | | Currency | | | Notional
Amount | | | Market Value | | | Upfront
Premiums
Paid/
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 12/20/20 | | | | BOA | | | | USD | | | | 300,000 | | | $ | (490 | ) | | $ | 1,410 | | | $ | (1,900 | ) |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 12/20/20 | | | | CITI | | | | USD | | | | 270,000 | | | | (441 | ) | | | 1,879 | | | | (2,320 | ) |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 12/20/20 | | | | JPM | | | | USD | | | | 100,000 | | | | (163 | ) | | | 671 | | | | (834 | ) |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 12/20/20 | | | | JPM | | | | USD | | | | 90,000 | | | | (147 | ) | | | 660 | | | | (807 | ) |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 12/20/20 | | | | CITI | | | | USD | | | | 60,000 | | | | (98 | ) | | | 336 | | | | (434 | ) |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 12/20/20 | | | | JPM | | | | USD | | | | 60,000 | | | | (98 | ) | | | 269 | | | | (367 | ) |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 06/20/21 | | | | BOA | | | | USD | | | | 460,000 | | | | 1,425 | | | | 4,809 | | | | (3,384 | ) |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 06/20/21 | | | | CITI | | | | USD | | | | 270,000 | | | | 836 | | | | 1,251 | | | | (415 | ) |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 06/20/21 | | | | CITI | | | | USD | | | | 160,000 | | | | 496 | | | | 321 | | | | 175 | |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 06/20/21 | | | | CITI | | | | USD | | | | 160,000 | | | | 496 | | | | 1,390 | | | | (894 | ) |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 06/20/21 | | | | JPM | | | | USD | | | | 150,000 | | | | 465 | | | | 695 | | | | (230 | ) |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 06/20/21 | | | | DEUT | | | | USD | | | | 130,000 | | | | 403 | | | | 1,251 | | | | (848 | ) |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 06/20/21 | | | | DEUT | | | | USD | | | | 110,000 | | | | 341 | | | | 232 | | | | 109 | |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 06/20/21 | | | | CITI | | | | USD | | | | 90,000 | | | | 279 | | | | 753 | | | | (474 | ) |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 06/20/21 | | | | CITI | | | | USD | | | | 80,000 | | | | 248 | | | | 767 | | | | (519 | ) |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 06/20/21 | | | | CITI | | | | USD | | | | 70,000 | | | | 217 | | | | 690 | | | | (473 | ) |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 06/20/21 | | | | BOA | | | | USD | | | | 60,000 | | | | 186 | | | | 498 | | | | (312 | ) |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 06/20/21 | | | | DEUT | | | | USD | | | | 60,000 | | | | 186 | | | | 629 | | | | (443 | ) |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 06/20/21 | | | | JPM | | | | USD | | | | 60,000 | | | | 186 | | | | 198 | | | | (12 | ) |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 06/20/21 | | | | DEUT | | | | USD | | | | 60,000 | | | | 186 | | | | 205 | | | | (19 | ) |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 06/20/21 | | | | CITI | | | | USD | | | | 60,000 | | | | 186 | | | | 512 | | | | (326 | ) |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 06/20/21 | | | | JPM | | | | USD | | | | 40,000 | | | | 124 | | | | 80 | | | | 44 | |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 06/20/21 | | | | JPM | | | | USD | | | | 40,000 | | | | 124 | | | | 365 | | | | (241 | ) |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 06/20/21 | | | | JPM | | | | USD | | | | 30,000 | | | | 94 | | | | (218 | ) | | | 312 | |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 06/20/21 | | | | CITI | | | | USD | | | | 30,000 | | | | 93 | | | | 251 | | | | (158 | ) |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 12/20/21 | | | | JPM | | | | USD | | | | 220,000 | | | | 1,703 | | | | 821 | | | | 882 | |
Peoples Republic of China, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4.25% due 10/28/14 | | | (1.00 | )% | | | 12/20/21 | | | | DEUT | | | | USD | | | | 20,000 | | | | 155 | | | | 129 | | | | 26 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | (35,156 | ) | | $ | 16,257 | | | $ | (51,413 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| 118 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Reference Obligation | | Implied
Credit
Spread | | | Fixed
Deal
(Pay) Rate | | | Maturity
Date | | | Counterparty | | | Currency | | | Notional
Amount | | | Market Value | | | Upfront
Premiums
Paid/
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
Credit Default Swaps on Corporate Issues — Sell Protection | |
Federated Republic of Brazil, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
12.50% due 03/06/30 | | | 0.65 | % | | | (1.04 | )% | | | 05/20/17 | | | | DEUT | | | | USD | | | | 1,000,000 | | | $ | 2,721 | | | $ | — | | | $ | 2,721 | |
Volkswagon International Finance NV, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
5.375% due 05/22/18 | | | 0.31 | % | | | 1.00 | % | | | 12/20/17 | | | | ICE | | | | EUR | | | | 900,000 | | | | 6,761 | | | | 6,938 | | | | (177 | ) |
Berkshire Hathaway, Inc., | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
1.55% due 02/09/18 | | | 0.84 | % | | | 1.00 | % | | | 12/20/21 | | | | ICE | | | | USD | | | | 500,000 | | | | 4,107 | | | | 4,222 | | | | (115 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | $ | 13,589 | | | $ | 11,160 | | | $ | 2,429 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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.NA.IG27 Index | | | (1.00 | )% | | | 12/20/21 | | | | ICE | | | | USD | | | | 2,655,000 | | | $ | (41,072 | ) | | $ | (31,315 | ) | | $ | (9,757 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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.NA.IG27 Index | | | 0.68 | % | | | 1.00 | % | | | 12/20/21 | | | | ICE | | | | USD | | | | 6,400,000 | | | $ | 99,005 | | | $ | 82,186 | | | $ | 16,819 | |
Dow Jones CDX.NA.IG27 Index | | | 3.58 | % | | | 5.00 | % | | | 12/20/21 | | | | ICE | | | | USD | | | | 3,400,000 | | | | 216,467 | | | | 143,809 | | | | 72,658 | |
Dow Jones CDX.NA.IG27 Index | | | 3.55 | % | | | 5.00 | % | | | 12/20/21 | | | | ICE | | | | USD | | | | 580,000 | | | | 34,993 | | | | 30,375 | | | | 4,618 | |
Dow Jones CMBX.NA.AAA.7 Index | | | 0.59 | % | | | 0.50 | % | | | 01/17/47 | | | | GSC | | | | USD | | | | 1,700,000 | | | | (9,865 | ) | | | (73,449 | ) | | | 63,584 | |
Dow Jones CMBX.NA.AAA.8 Index | | | 0.66 | % | | | 0.50 | % | | | 10/17/57 | | | | GSC | | | | USD | | | | 1,700,000 | | | | (19,555 | ) | | | (100,528 | ) | | | 80,973 | |
Dow Jones CMBX.NA.AAA.8 Index | | | 0.66 | % | | | 0.50 | % | | | 10/17/57 | | | | DEUT | | | | USD | | | | 1,700,000 | | | | (19,594 | ) | | | (114,302 | ) | | | 94,708 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | $ | 301,451 | | | $ | (31,909 | ) | | $ | 333,360 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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 | | | 12.27 | % | | 01/02/17 | | | DEUT | | | | BRL | | | | 20,000 | | | $ | (80 | ) | | $ | — | | | $ | (80 | ) |
Brazil CETIP Interbank Deposit | | | 12.65 | % | | 01/02/17 | | | DEUT | | | | BRL | | | | 10,000 | | | | (10 | ) | | | — | | | | (10 | ) |
3-Month KORIBOR | | | 2.88 | % | | 03/07/17 | | | CITI | | | | KRW | | | | 706,340,000 | | | | 1,958 | | | | — | | | | 1,958 | |
3-Month KORIBOR | | | 2.25 | % | | 10/15/17 | | | DEUT | | | | KRW | | | | 3,619,650,000 | | | | 22,255 | | | | — | | | | 22,255 | |
3-Month KORIBOR | | | 2.17 | % | | 10/28/17 | | | CITI | | | | KRW | | | | 382,410,000 | | | | 2,094 | | | | — | | | | 2,094 | |
3-Month KLIBOR | | | (3.88 | )% | | 11/14/18 | | | DEUT | | | | MYR | | | | 860,000 | | | | (865 | ) | | | — | | | | (865 | ) |
3-Month KLIBOR | | | (3.92 | )% | | 11/19/18 | | | CITI | | | | MYR | | | | 960,000 | | | | (1,180 | ) | | | — | | | | (1,180 | ) |
3-Month KLIBOR | | | (3.97 | )% | | 12/11/18 | | | JPM | | | | MYR | | | | 1,570,000 | | | | (2,408 | ) | | | — | | | | (2,408 | ) |
3-Month JIBAR | | | 7.67 | % | | 03/15/19 | | | LCH | | | | ZAR | | | | 54,640,000 | | | | 12,779 | | | | — | | | | 12,779 | |
3-Month LIBOR | | | (1.50 | )% | | 05/15/19 | | | CME | | | | USD | | | | 17,700,000 | | | | 66,402 | | | | (5,452 | ) | | | 71,854 | |
3-Month LIBOR | | | (1.50 | )% | | 06/15/19 | | | CME | | | | USD | | | | 53,500,000 | | | | 241,713 | | | | (202,765 | ) | | | 444,478 | |
3-Month LIBOR | | | (2.00 | )% | | 12/16/19 | | | CME | | | | USD | | | | 3,500,000 | | | | (37,340 | ) | | | (16,125 | ) | | | (21,215 | ) |
3-Month LIBOR | | | 2.25 | % | | 12/19/19 | | | LCH | | | | USD | | | | 4,800,000 | | | | 6,321 | | | | 434 | | | | 5,887 | |
3-Month LIBOR | | | 2.25 | % | | 12/20/19 | | | LCH | | | | USD | | | | 18,410,000 | | | | 24,086 | | | | 5,257 | | | | 18,829 | |
MXN-TIIE-Banxico | | | 5.25 | % | | 03/11/20 | | | CME | | | | MXN | | | | 1,900,000 | | | | (5,503 | ) | | | (1,607 | ) | | | (3,896 | ) |
3-Month LIBOR | | | (2.00 | )% | | 12/16/20 | | | LCH | | | | USD | | | | 20,100,000 | | | | (149,168 | ) | | | (144,135 | ) | | | (5,033 | ) |
| | | | |
| | See Notes to Financial Statements. | | 119 |
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Reference Obligation | | Fixed
Deal
(Pay) Rate | | | Maturity
Date | | | Counterparty | | | Currency | | | Notional
Amount | | | Market Value | | | Upfront
Premiums
Paid/
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
3-Month LIBOR | | | 1.50 | % | | | 12/21/21 | | | | LCH | | | | USD | | | | 25,300,000 | | | $ | 545,483 | | | $ | 95,483 | | | $ | 450,000 | |
3-Month LIBOR | | | (2.25 | )% | | | 12/16/22 | | | | LCH | | | | USD | | | | 19,700,000 | | | | (236,084 | ) | | | 158,582 | | | | (394,666 | ) |
3-Month KLIBOR | | | (4.49 | )% | | | 08/14/23 | | | | DEUT | | | | MYR | | | | 220,000 | | | | (1,543 | ) | | | — | | | | (1,543 | ) |
3-Month KLIBOR | | | (4.33 | )% | | | 09/26/23 | | | | JPM | | | | MYR | | | | 370,000 | | | | (1,741 | ) | | | — | | | | (1,741 | ) |
3-Month KLIBOR | | | (4.45 | )% | | | 11/15/23 | | | | CITI | | | | MYR | | | | 600,000 | | | | (3,905 | ) | | | — | | | | (3,905 | ) |
3-Month LIBOR | | | (2.60 | )% | | | 12/19/23 | | | | LCH | | | | USD | | | | 1,080,000 | | | | (8,155 | ) | | | (106 | ) | | | (8,049 | ) |
3-Month KORIBOR | | | (3.47 | )% | | | 01/07/24 | | | | CITI | | | | KRW | | | | 172,160,000 | | | | (17,620 | ) | | | — | | | | (17,620 | ) |
3-Month LIBOR | | | (2.35 | )% | | | 08/05/25 | | | | CME | | | | USD | | | | 400,000 | | | | (6,549 | ) | | | — | | | | (6,549 | ) |
3-Month LIBOR | | | (2.50 | )% | | | 12/16/25 | | | | LCH | | | | USD | | | | 1,500,000 | | | | (30,331 | ) | | | 22,759 | | | | (53,090 | ) |
3-Month LIBOR | | | (1.75 | )% | | | 12/21/26 | | | | LCH | | | | USD | | | | 19,900,000 | | | | 1,008,716 | | | | 197,119 | | | | 811,597 | |
3-Month LIBOR | | | (1.75 | )% | | | 12/21/26 | | | | CME | | | | USD | | | | 8,300,000 | | | | 420,721 | | | | 500,266 | | | | (79,545 | ) |
MXN-TIIE-Banxico | | | 6.00 | % | | | 03/03/27 | | | | CME | | | | MXN | | | | 1,180,000 | | | | (7,773 | ) | | | (2,545 | ) | | | (5,228 | ) |
3-Month LIBOR | | | (1.75 | )% | | | 03/15/27 | | | | LCH | | | | USD | | | | 600,000 | | | | 32,517 | | | | 43,293 | | | | (10,776 | ) |
6-Month LIBOR | | | (0.75 | )% | | | 03/15/27 | | | | CME | | | | GBP | | | | 8,500,000 | | | | 502,337 | | | | 501,345 | | | | 992 | |
3-Month LIBOR | | | (2.79 | )% | | | 12/20/28 | | | | LCH | | | | USD | | | | 2,610,000 | | | | (38,875 | ) | | | (3,815 | ) | | | (35,060 | ) |
United Kingdom Retail Price Index | | | 3.14 | % | | | 01/14/30 | | | | GSC | | | | GBP | | | | 1,410,000 | | | | (58,920 | ) | | | — | | | | (58,920 | ) |
3-Month LIBOR | | | (2.75 | )% | | | 12/16/45 | | | | CME | | | | USD | | | | 6,700,000 | | | | (255,828 | ) | | | (398,293 | ) | | | 142,465 | |
3-Month LIBOR | | | (2.50 | )% | | | 06/15/46 | | | | LCH | | | | USD | | | | 3,700,000 | | | | 50,136 | | | | (196,587 | ) | | | 246,723 | |
3-Month LIBOR | | | (2.50 | )% | | | 06/15/46 | | | | CME | | | | USD | | | | 300,000 | | | | 4,065 | | | | (12,920 | ) | | | 16,985 | |
United Kingdom Retail Price Index | | | (3.59 | )% | | | 10/15/46 | | | | LCH | | | | GBP | | | | 180,000 | | | | (7,755 | ) | | | 10,106 | | | | (17,861 | ) |
3-Month LIBOR | | | (2.25 | )% | | | 12/21/46 | | | | CME | | | | USD | | | | 600,000 | | | | 40,342 | | | | (48,831 | ) | | | 89,173 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | 2,110,292 | | | $ | 501,463 | | | $ | 1,608,829 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
Total Swap agreements outstanding at December 31, 2016 | | | | | | | $ | 2,349,104 | | | $ | 465,656 | | | $ | 1,883,448 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| 120 | | See Notes to Financial Statements. | | |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2016, 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 | | | $ | 9,682,288 | | | | $ | — | | | | $ | 9,682,288 | | | | $ | — | |
Asset-Backed Securities | | | | 52,390,476 | | | | | — | | | | | 35,943,952 | | | | | 16,446,524 | |
Certificates of Deposit | | | | 9,720,010 | | | | | — | | | | | 9,720,010 | | | | | — | |
Corporate Bonds | | | | 195,501,693 | | | | | — | | | | | 192,504,910 | | | | | 2,996,783 | |
Foreign Bonds: | | | | | | | | | | | | | | | | | | | | |
Argentina | | | | 686,700 | | | | | — | | | | | 686,700 | | | | | — | |
Australia | | | | 4,168,450 | | | | | — | | | | | 4,168,450 | | | | | — | |
Austria | | | | 228,375 | | | | | — | | | | | 228,375 | | | | | — | |
Belgium | | | | 423,000 | | | | | — | | | | | 423,000 | | | | | — | |
Bermuda | | | | 734,739 | | | | | — | | | | | 734,739 | | | | | — | |
Brazil | | | | 4,810,301 | | | | | — | | | | | 4,810,301 | | | | | — | |
Canada | | | | 2,599,778 | | | | | — | | | | | 2,599,778 | | | | | — | |
Cayman Islands | | | | 601,990 | | | | | — | | | | | 601,990 | | | | | — | |
Chile | | | | 1,655,229 | | | | | — | | | | | 1,655,229 | | | | | — | |
China | | | | 1,460,458 | | | | | — | | | | | 1,460,458 | | | | | — | |
Colombia | | | | 1,350,180 | | | | | — | | | | | 1,350,180 | | | | | — | |
Denmark | | | | 5,577,842 | | | | | — | | | | | 5,577,842 | | | | | — | |
Dominican Republic | | | | 578,030 | | | | | — | | | | | 544,973 | | | | | 33,057 | |
France | | | | 8,411,588 | | | | | — | | | | | 8,411,588 | | | | | — | |
Germany | | | | 4,340,856 | | | | | — | | | | | 4,340,856 | | | | | — | |
Greece | | | | 834,360 | | | | | — | | | | | 834,360 | | | | | — | |
Guernsey | | | | 2,092,584 | | | | | — | | | | | 2,092,584 | | | | | — | |
India | | | | 523,594 | | | | | — | | | | | 523,594 | | | | | — | |
Indonesia | | | | 1,621,414 | | | | | — | | | | | 1,621,414 | | | | | — | |
Ireland | | | | 4,053,110 | | | | | — | | | | | 4,053,110 | | | | | — | |
Israel | | | | 2,259,575 | | | | | — | | | | | 2,259,575 | | | | | — | |
Italy | | | | 2,585,733 | | | | | — | | | | | 2,585,733 | | | | | — | |
Japan | | | | 13,361,795 | | | | | — | | | | | 13,361,795 | | | | | — | |
Jersey | | | | 2,252,742 | | | | | — | | | | | 2,252,742 | | | | | — | |
Jordan | | | | 1,232,000 | | | | | — | | | | | 1,232,000 | | | | | — | |
Luxembourg | | | | 339,789 | | | | | — | | | | | 339,789 | | | | | — | |
Mexico | | | | 19,759,623 | | | | | — | | | | | 19,759,623 | | | | | — | |
Morocco & Antilles | | | | 431,466 | | | | | — | | | | | 431,466 | | | | | — | |
Netherlands | | | | 7,923,095 | | | | | — | | | | | 7,923,095 | | | | | — | |
Peru | | | | 576,230 | | | | | — | | | | | 576,230 | | | | | — | |
Poland | | | | 3,867,756 | | | | | — | | | | | 3,867,756 | | | | | — | |
Russia | | | | 2,633,400 | | | | | — | | | | | 2,633,400 | | | | | — | |
South Korea | | | | 1,656,471 | | | | | — | | | | | 1,656,471 | | | | | — | |
Spain | | | | 1,078,339 | | | | | — | | | | | 1,078,339 | | | | | — | |
Supranational | | | | 397,403 | | | | | — | | | | | 397,403 | | | | | — | |
Sweden | | | | 1,584,024 | | | | | — | | | | | 1,584,024 | | | | | — | |
Switzerland | | | | 1,740,357 | | | | | — | | | | | 1,740,357 | | | | | — | |
Turkey | | | | 1,417,994 | | | | | — | | | | | — | | | | | 1,417,994 | |
United Kingdom | | | | 17,163,891 | | | | | — | | | | | 17,163,891 | | | | | — | |
Virgin Islands (British) | | | | 780,756 | | | | | — | | | | | 780,756 | | | | | — | |
Foreign Government Inflation-Linked Bond | | | | 624,389 | | | | | — | | | | | — | | | | | 624,389 | |
Loan Agreements | | | | 5,331,469 | | | | | — | | | | | 5,331,469 | | | | | — | |
Money Market Funds | | | | 149,019,136 | | | | | 149,019,136 | | | | | — | | | | | — | |
| | | | |
| | See Notes to Financial Statements. | | 121 |
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | | | | | | | | | |
| | | Total
Value | | Level 1
Quoted Prices | | Level 2
Other Significant
Observable Inputs | | Level 3
Significant
Unobservable Inputs |
Mortgage-Backed Securities | | | $ | 383,491,421 | | | | $ | — | | | | $ | 370,248,109 | | | | $ | 13,243,312 | |
Municipal Bonds | | | | 9,659,546 | | | | | — | | | | | 7,632,357 | | | | | 2,027,189 | |
Preferred Stock | | | | 353,797 | | | | | — | | | | | 353,797 | | | | | — | |
Purchased Options: | | | | | | | | | | | | | | | | | | | | |
Call Option | | | | 7,437 | | | | | 7,437 | | | | | — | | | | | — | |
Call Swaptions | | | | 171,763 | | | | | — | | | | | 171,763 | | | | | — | |
Put Option | | | | 15,094 | | | | | 15,094 | | | | | — | | | | | — | |
Put Swaptions | | | | 1,652,957 | | | | | — | | | | | 1,652,957 | | | | | — | |
Repurchase Agreements | | | | 75,600,000 | | | | | — | | | | | 75,600,000 | | | | | — | |
U.S. Treasury Obligations | | | | 287,851,848 | | | | | — | | | | | 287,851,848 | | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | | $ | 1,310,868,341 | | | | $ | 149,041,667 | | | | $ | 1,125,037,426 | | | | $ | 36,789,248 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | | $ | 2,631,743 | | | | $ | — | | | | $ | 2,631,743 | | | | $ | — | |
Swap Agreements | | | | 2,349,104 | | | | | — | | | | | 2,349,104 | | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | | $ | 4,980,847 | | | | $ | — | | | | $ | 4,980,847 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | |
Investments in Securities: | | | | | | | | | | | | | | | | | | | | |
TBA Sale Commitments | | | $ | (30,388,816 | ) | | | $ | — | | | | $ | (30,388,816 | ) | | | $ | — | |
Written Options: | | | | | | | | | | | | | | | | | | | | |
Call Options | | | | (134,118 | ) | | | | (134,118 | ) | | | | — | | | | | — | |
Call Swaptions | | | | (184,551 | ) | | | | — | | | | | (184,551 | ) | | | | — | |
Put Option | | | | (2,625 | ) | | | | (2,625 | ) | | | | — | | | | | — | |
Put Swaptions | | | | (2,253,567 | ) | | | | — | | | | | (2,253,567 | ) | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Liabilities - Investments in Securities | | | $ | (32,963,677 | ) | | | $ | (136,743 | ) | | | $ | (32,826,934 | ) | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | $ | (577,887 | ) | | | $ | (577,887 | ) | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Liabilities - Other Financial Instruments | | | $ | (577,887 | ) | | | $ | (577,887 | ) | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
***Other financial instruments are derivative instruments not reflected in the Schedule of Investments (such as futures contracts and forwards contracts) and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the “Financial Futures Contracts” and “Forward Foreign Currency Contracts” disclosures in the Notes to Financial Statements and the “Swap agreements outstanding” disclosure on the preceding page(s), respectively.
Management has determined that the amount of transfers between Level 1 and Level 2 compared to total net assets is not material; therefore, the amount of transfers between Level 1 and Level 2 is not shown for the year ended December 31, 2016.
The unobservable inputs used in the fair value measurement of the reporting entity’s asset-backed securities, corporate bonds, foreign bonds, foreign government inflation-linked note, mortgage-backed securities, municipal bonds, purchased options and written options 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.
| | | | |
| 122 | | See Notes to Financial Statements. | | |
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Total
Value | | | Asset-Backed
Securities | | | Corporate
Bonds | | | Foreign
Bonds | | | Foreign
Government
Inflation-
Linked
Note | | | Mortgage-Backed
Securities | | | Municipal
Bonds | |
Balance, 12/31/15 | | $ | 18,774,556 | | | $ | 6,817,202 | | | $ | 313,338 | | | $ | 1,500,945 | | | $ | — | | | $ | 10,143,071 | | | $ | — | |
Accrued discounts/premiums | | | 22,118 | | | | 16,725 | | | | 41 | | | | (1,622 | ) | | | — | | | | 6,900 | | | | 74 | |
Realized gain (loss)(1) | | | (1,011,096 | ) | | | (935,374 | ) | | | (183 | ) | | | (757 | ) | | | — | | | | (75,232 | ) | | | 450 | |
Change in unrealized appreciation (depreciation)(2) | | | (544,255 | ) | | | 1,011,982 | | | | (4,234 | ) | | | 34,191 | | | | — | | | | (1,587,121 | ) | | | 927 | |
Purchases | | | 26,089,172 | | | | 12,233,625 | | | | 1,007,500 | | | | — | | | | — | | | | 10,764,453 | | | | 2,083,594 | |
Sales | | | (5,824,726 | ) | | | (1,643,061 | ) | | | — | | | | (57,044 | ) | | | — | | | | (4,124,621 | ) | | | — | |
Transfers in to Level 3(3) | | | 2,337,768 | | | | — | | | | 1,680,321 | | | | 33,058 | | | | 624,389 | | | | — | | | | — | |
Transfers out of Level 3(4) | | | (1,917,718 | ) | | | (347,479 | ) | | | — | | | | — | | | | — | | | | (1,570,239 | ) | | | — | |
Maturities | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Paydowns | | | (1,136,571 | ) | | | (707,096 | ) | | | — | | | | (57,720 | ) | | | — | | | | (313,899 | ) | | | (57,856 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance, 12/31/16 | | $ | 36,789,248 | | | $ | 16,446,524 | | | $ | 2,996,783 | | | $ | 1,451,051 | | | $ | 624,389 | | | $ | 13,243,312 | | | $ | 2,027,189 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (1) | Realized gain (loss) from the sale of Level 3 securities is included on the Statement of Operations in Net realized gain (loss) from: Investment securities. |
| (2) | Change in unrealized appreciation (depreciation) is located on the Statement of Operations in Net change in unrealized appreciation (depreciation) on: Investment securities and Net change in unrealized appreciation (depreciation) on: Option contracts written. |
| (3) | Transfers in to Level 3 represent the value of securities at December 31, 2016 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 using an objective method such as a pricing vendor. |
| (4) | Transfers out of Level 3 represent the value of securities at December 31, 2016 that were transferred from Level 3 to Level 2 of the fair value hierarchy as a result of the ability of the Fund to obtain a price using an objective method such as a pricing vendor. |
| | | | |
| | See Notes to Financial Statements. | | 123 |
Extended-Duration Bond Fund (Unaudited)
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 Investor Class of the Fund outperformed its composite benchmark, 50% Bloomberg Barclays US Long Government Bond Index and 50% Bloomberg Barclays US Long Credit Index, for the one-year period ended December 31, 2016 (7.23% versus 5.83%). The Fund has outperformed its benchmark over the five-, seven- and 10-year and since inception periods ended December 31, 2016.
Sector rotations and credit exposure contributed to the strong relative performance of the Fund during 2016. In particular, the Fund benefited from an underweight to U.S. Treasury bonds in favor of both investment grade and below-investment grade corporate bonds as credit spreads narrowed. Security selection within the industrial segment of the corporate sector also contributed to the strong relative performance of the Fund during the year. The Fund did not invest in derivative investments during the year.
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 derivatives and by its ability to select sub-advisers to allocate assets. Some derivatives 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. The use of certain derivatives may also have a leveraging effect which may increase the volatility of the Fund and may reduce its returns. It is possible to lose money by investing in the Fund.
At December 31, 2016, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
| | | | |
| | | % | |
Corporate Bonds | | | 43.0 | |
U.S. Treasury Obligations | | | 36.2 | |
Foreign Bonds | | | 15.3 | |
Money Market Funds | | | 7.8 | |
Asset-Backed Security | | | 1.3 | |
Municipal Bonds | | | 0.8 | |
Preferred Stocks | | | 0.2 | |
| | | | |
| | | 104.6 | |
| | | | |
124
Extended-Duration Bond Fund (Unaudited)
| | | | | | |
| Average Annual Total Returns as of 12/31/16 |
| | | Institutional
Class* | | Investor
Class* | | Benchmark** |
One Year | | 7.65% | | 7.23% | | 5.83% |
Five Year | | 5.64% | | 5.37% | | 3.94% |
Ten Year | | 7.64% | | 7.42% | | 6.85% |
Since Inception | | 7.75% | | 7.57% | | 6.92% |
Inception Date | | 08/27/01 | | 08/27/01 | | |
Total Fund Operating Expenses (May 1, 2016 Prospectus)(1) | | 0.59% | | 0.84% | | |
(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 GuideStoneFunds.com. 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 Investor Class of the Fund for the 10-year period from December 31, 2006 to December 31, 2016, 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 weighted composite benchmark index consisting of 50% Bloomberg Barclays US Long Credit Index and 50% Bloomberg Barclays US Long Government Bond Index.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
125
| | |
EXTENDED-DURATION BOND FUND SCHEDULE OF INVESTMENTS | | December 31, 2016 |
| | | | | | | | | | | | |
| | | Par | | | | | | Value | |
ASSET-BACKED SECURITY — 1.3% | |
Citibank Credit Card
Issuance Trust Series 2007-A3 6.15%, 06/15/39 (Cost $3,005,478) | | $ | 2,300,000 | | | | | | | $ | 3,026,019 | |
| | | | | | | | | | | | |
|
CORPORATE BONDS — 43.0% | |
21st Century Fox America, Inc. | | | | | | | | | | | | |
4.75%, 09/15/44 | | | 815,000 | | | | | | | | 817,782 | |
Abbott Laboratories | | | | | | | | | | | | |
4.90%, 11/30/46 | | | 1,005,000 | | | | | | | | 1,035,522 | |
AbbVie, Inc. | | | | | | | | | | | | |
4.70%, 05/14/45 | | | 1,154,000 | | | | | | | | 1,136,610 | |
AES Corporation | | | | | | | | | | | | |
4.88%, 05/15/23 | | | 145,000 | | | | | | | | 143,942 | |
Aetna, Inc. | | | | | | | | | | | | |
4.38%, 06/15/46 | | | 482,000 | | | | | | | | 485,984 | |
Aflac, Inc. | | | | | | | | | | | | |
6.45%, 08/15/40 | | | 328,000 | | | | | | | | 428,511 | |
Alcatel-Lucent USA, Inc. | | | | | | | | | | | | |
6.45%, 03/15/29 | | | 105,000 | | | | | | | | 109,988 | |
Ally Financial, Inc. | | | | | | | | | | | | |
8.00%, 11/01/31 | | | 177,000 | | | | | | | | 206,191 | |
Alta Wind Holdings LLC | | | | | | | | | | | | |
7.00%, 06/30/35 144A | | | 425,513 | | | | | | | | 465,088 | |
American Airlines Class B
Pass-Through Trust
Series 2016-1 | | | | | | | | | | | | |
5.25%, 07/15/25 | | | 722,679 | | | | | | | | 744,359 | |
American International
Group, Inc. | | | | | | | | | | | | |
4.38%, 01/15/55 | | | 1,073,000 | | | | | | | | 987,396 | |
Andarko Holding Co. | | | | | | | | | | | | |
7.15%, 05/15/28 | | | 250,000 | | | | | | | | 303,572 | |
Antero Resources Corporation | | | | | | | | | | | | |
5.38%, 11/01/21 | | | 125,000 | | | | | | | | 128,281 | |
5.13%, 12/01/22 | | | 35,000 | | | | | | | | 35,525 | |
Anthem, Inc. | | | | | | | | | | | | |
6.38%, 06/15/37 | | | 1,208,000 | | | | | | | | 1,455,606 | |
Apple, Inc. | | | | | | | | | | | | |
4.38%, 05/13/45D | | | 676,000 | | | | | | | | 696,175 | |
3.85%, 08/04/46D | | | 367,000 | | | | | | | | 352,551 | |
Arconic, Inc. | | | | | | | | | | | | |
5.87%, 02/23/22 | | | 10,000 | | | | | | | | 10,750 | |
6.75%, 01/15/28D | | | 235,000 | | | | | | | | 253,095 | |
5.95%, 02/01/37 | | | 85,000 | | | | | | | | 83,109 | |
AT&T, Inc. | | | | | | | | | | | | |
4.50%, 05/15/35 | | | 529,000 | | | | | | | | 512,675 | |
4.30%, 12/15/42 | | | 1,242,000 | | | | | | | | 1,115,958 | |
4.75%, 05/15/46 | | | 2,704,000 | | | | | | | | 2,571,691 | |
Bank of America Corporation | | | | | | | | | | | | |
6.11%, 01/29/37 | | | 900,000 | | | | | | | | 1,058,290 | |
Bank of America NA | | | | | | | | | | | | |
6.00%, 10/15/36 | | | 2,900,000 | | | | | | | | 3,509,571 | |
Bruce Mansfield Unit 1 2007
Pass-Through Trust | | | | | | | | | | | | |
6.85%, 06/01/34 | | | 872,243 | | | | | | | | 257,312 | |
Burlington Northern
Santa Fe LLC | | | | | | | | | | | | |
4.15%, 04/01/45D | | | 879,000 | | | | | | | | 893,605 | |
California Institute of Technology | | | | | | | | | | | | |
4.70%, 11/01/11 | | | 2,010,000 | | | | | | | | 1,905,872 | |
| | | | | | | | | | | | |
| | | Par | | | | | | Value | |
CenturyLink, Inc. | | | | | | | | | | | | |
6.88%, 01/15/28D | | $ | 65,000 | | | | | | | $ | 59,150 | |
7.65%, 03/15/42 | | | 295,000 | | | | | | | | 259,600 | |
Chesapeake Energy
Corporation | | | | | | | | | | | | |
6.63%, 08/15/20 | | | 25,000 | | | | | | | | 25,375 | |
6.88%, 11/15/20D | | | 15,000 | | | | | | | | 15,075 | |
4.88%, 04/15/22D | | | 70,000 | | | | | | | | 64,225 | |
5.75%, 03/15/23D | | | 20,000 | | | | | | | | 18,900 | |
2.50%, 05/15/37 CONV | | | 33,000 | | | | | | | | 33,454 | |
2.25%, 12/15/38 CONV | | | 50,000 | | | | | | | | 49,250 | |
Ciena Corporation | | | | | | | | | | | | |
3.75%, | | | | | | | | | | | | |
10/15/18 CONV 144A | | | 155,000 | | | | | | | | 210,122 | |
Citigroup, Inc. | | | | | | | | | | | | |
4.60%, 03/09/26D | | | 418,000 | | | | | | | | 432,845 | |
8.13%, 07/15/39D | | | 895,000 | | | | | | | | 1,334,052 | |
Cliffs Natural Resources, Inc. | | | | | | | | | | | | |
8.00%, 09/30/20 144AD | | | 55,000 | | | | | | | | 57,475 | |
ConocoPhillips Co. | | | | | | | | | | | | |
4.30%, 11/15/44 | | | 1,300,000 | | | | | | | | 1,298,345 | |
Continental Airlines Class B
Pass-Through Trust
Series 1999-2 | | | | | | | | | | | | |
7.57%, 09/15/21 | | | 45 | | | | | | | | 44 | |
Continental Resources, Inc. | | | | | | | | | | | | |
4.50%, 04/15/23 | | | 10,000 | | | | | | | | 9,850 | |
3.80%, 06/01/24 | | | 65,000 | | | | | | | | 60,288 | |
Corning, Inc. | | | | | | | | | | | | |
7.25%, 08/15/36 | | | 850,000 | | | | | | | | 1,005,369 | |
Cummins, Inc. | | | | | | | | | | | | |
5.65%, 03/01/98 | | | 1,620,000 | | | | | | | | 1,676,335 | |
CVS Health Corporation | | | | | | | | | | | | |
5.13%, 07/20/45 | | | 240,000 | | | | | | | | 268,507 | |
Darden Restaurants, Inc. | | | | | | | | | | | | |
6.00%, 08/15/35 | | | 990,000 | | | | | | | | 1,023,522 | |
DCP Midstream LLC | | | | | | | | | | | | |
6.45%, 11/03/36 144AD | | | 490,000 | | | | | | | | 492,450 | |
Diamond 1 Finance Corporation | | | | | | | | | | | | |
6.02%, 06/15/26 144A | | | 140,000 | | | | | | | | 151,931 | |
8.10%, 07/15/36 144A | | | 180,000 | | | | | | | | 214,684 | |
8.35%, 07/15/46 144A | | | 130,000 | | | | | | | | 160,564 | |
Dillard’s, Inc. | | | | | | | | | | | | |
7.00%, 12/01/28 | | | 500,000 | | | | | | | | 562,500 | |
Dow Chemical Co. | | | | | | | | | | | | |
9.40%, 05/15/39 | | | 570,000 | | | | | | | | 886,954 | |
Enbridge Energy Partners LP | | | | | | | | | | | | |
7.38%, 10/15/45 | | | 1,000,000 | | | | | | | | 1,244,495 | |
Energy Transfer Partners LP | | | | | | | | | | | | |
5.15%, 03/15/45D | | | 1,000,000 | | | | | | | | 962,567 | |
Enterprise Products
Operating LLC | | | | | | | | | | | | |
5.10%, 02/15/45D | | | 595,000 | | | | | | | | 629,888 | |
4.95%, 10/15/54D | | | 515,000 | | | | | | | | 501,194 | |
Foot Locker, Inc. | | | | | | | | | | | | |
8.50%, 01/15/22 | | | 1,000,000 | | | | | | | | 1,182,500 | |
Ford Motor Co. | | | | | | | | | | | | |
6.63%, 10/01/28 | | | 680,000 | | | | | | | | 801,137 | |
6.38%, 02/01/29 | | | 1,255,000 | | | | | | | | 1,434,641 | |
Freeport-McMoRan, Inc. | | | | | | | | | | | | |
5.45%, 03/15/43 | | | 160,000 | | | | | | | | 133,203 | |
FTS International, Inc. | | | | | | | | | | | | |
6.25%, 05/01/22 | | | 90,000 | | | | | | | | 75,150 | |
General Electric Co. | | | | | | | | | | | | |
6.75%, 03/15/32 | | | 573,000 | | | | | | | | 763,919 | |
| | | | |
| 126 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
5.88%, 01/14/38 | | $ | 150,000 | | | | | | | $ | 189,150 | |
General Motors Co. | | | | | | | | | | | | |
5.20%, 04/01/45 | | | 30,000 | | | | | | | | 29,022 | |
6.75%, 04/01/46 | | | 55,000 | | | | | | | | 64,721 | |
General Motors
Financial Co., Inc. | | | | | | | | | | | | |
3.45%, 04/10/22D | | | 130,000 | | | | | | | | 128,715 | |
5.25%, 03/01/26 | | | 250,000 | | | | | | | | 263,090 | |
Genworth Holdings, Inc. | | | | | | | | | | | | |
4.90%, 08/15/23 | | | 115,000 | | | | | | | | 95,450 | |
4.80%, 02/15/24D | | | 40,000 | | | | | | | | 32,800 | |
6.50%, 06/15/34 | | | 50,000 | | | | | | | | 40,250 | |
Global Marine, Inc. | | | | | | | | | | | | |
7.00%, 06/01/28 | | | 20,000 | | | | | | | | 16,300 | |
Goldman Sachs Group, Inc. | | | | | | | | | | | | |
6.75%, 10/01/37 | | | 500,000 | | | | | | | | 619,295 | |
HCA, Inc. | | | | | | | | | | | | |
7.05%, 12/01/27 | | | 500,000 | | | | | | | | 515,000 | |
Hewlett Packard Enterprise Co. | | | | | | | | | | | | |
6.35%, 10/15/45 144A | | | 135,000 | | | | | | | | 136,813 | |
HSBC Bank USA NA | | | | | | | | | | | | |
7.00%, 01/15/39D | | | 1,138,000 | | | | | | | | 1,506,565 | |
Intel Corporation | | | | | | | | | | | | |
3.25%, 08/01/39 CONV | | | 890,000 | | | | | | | | 1,570,854 | |
International Paper Co. | | | | | | | | | | | | |
8.70%, 06/15/38D | | | 950,000 | | | | | | | | 1,377,832 | |
Jefferies Group LLC | | | | | | | | | | | | |
6.45%, 06/08/27 | | | 50,000 | | | | | | | | 54,941 | |
6.25%, 01/15/36D | | | 185,000 | | | | | | | | 189,200 | |
JPMorgan Chase & Co. | | | | | | | | | | | | |
4.25%, 11/02/18(Z) | | | 385,000 | | | | | | | | 270,652 | |
5.60%, 07/15/41 | | | 2,547,000 | | | | | | | | 3,052,228 | |
4.95%, 06/01/45 | | | 1,400,000 | | | | | | | | 1,496,331 | |
KB Home | | | | | | | | | | | | |
1.38%, 02/01/19 CONV | | | 95,000 | | | | | | | | 92,922 | |
Kinder Morgan Energy
Partners LP | | | | | | | | | | | | |
5.80%, 03/15/35 | | | 280,000 | | | | | | | | 296,864 | |
Kinder Morgan, Inc. | | | | | | | | | | | | |
5.55%, 06/01/45 | | | 1,300,000 | | | | | | | | 1,372,259 | |
Kraft Heinz Foods Co. | | | | | | | | | | | | |
6.88%, 01/26/39D | | | 267,000 | | | | | | | | 336,494 | |
6.50%, 02/09/40 | | | 1,000,000 | | | | | | | | 1,222,398 | |
5.20%, 07/15/45 | | | 655,000 | | | | | | | | 688,237 | |
Liberty Mutual Group, Inc. | | | | | | | | | | | | |
6.50%, 03/15/35 144A | | | 1,400,000 | | | | | | | | 1,677,501 | |
Lockheed Martin Corporation | | | | | | | | | | | | |
4.70%, 05/15/46 | | | 1,238,000 | | | | | | | | 1,352,102 | |
Macy’s Retail Holdings, Inc. | | | | | | | | | | | | |
6.38%, 03/15/37 | | | 240,000 | | | | | | | | 254,299 | |
Marathon Petroleum
Corporation | | | | | | | | | | | | |
5.00%, 09/15/54 | | | 598,000 | | | | | | | | 508,286 | |
Masco Corporation | | | | | | | | | | | | |
7.75%, 08/01/29 | | | 275,000 | | | | | | | | 337,249 | |
6.50%, 08/15/32 | | | 55,000 | | | | | | | | 59,792 | |
McDonald’s Corporation | | | | | | | | | | | | |
4.88%, 12/09/45D | | | 828,000 | | | | | | | | 890,353 | |
Medtronic, Inc. | | | | | | | | | | | | |
4.63%, 03/15/45 | | | 1,852,000 | | | | | | | | 2,007,659 | |
MetLife, Inc. | | | | | | | | | | | | |
5.88%, 02/06/41 | | | 500,000 | | | | | | | | 608,643 | |
6.40%, 12/15/66 | | | 310,000 | | | | | | | | 335,575 | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
Microchip Technology, Inc. | | | | | | | | | | | | |
1.63%, 02/15/25 CONV | | $ | 85,000 | | | | | | | $ | 110,500 | |
Microsoft Corporation | | | | | | | | | | | | |
4.45%, 11/03/45D | | | 595,000 | | | | | | | | 635,489 | |
3.70%, 08/08/46 | | | 594,000 | | | | | | | | 560,701 | |
Monsanto Co. | | | | | | | | | | | | |
4.70%, 07/15/64 | | | 537,000 | | | | | | | | 485,819 | |
Morgan Stanley | | | | | | | | | | | | |
4.75%, 11/16/18(A) | | | 295,000 | | | | | | | | 219,122 | |
3.13%, 08/05/21(C) | | | 235,000 | | | | | | | | 180,682 | |
4.35%, 09/08/26 | | | 410,000 | | | | | | | | 420,974 | |
4.30%, 01/27/45 | | | 1,092,000 | | | | | | | | 1,092,670 | |
Motorola Solutions, Inc. | | | | | | | | | | | | |
6.63%, 11/15/37 | | | 46,000 | | | | | | | | 46,667 | |
Mutual of Omaha Insurance Co. | | | | | | | | | | | | |
6.80%, 06/15/36 144A | | | 100,000 | | | | | | | | 119,806 | |
Navient Corporation | | | | | | | | | | | | |
5.88%, 10/25/24D | | | 30,000 | | | | | | | | 28,650 | |
5.63%, 08/01/33 | | | 1,460,000 | | | | | | | | 1,211,800 | |
New Albertsons, Inc. | | | | | | | | | | | | |
7.45%, 08/01/29D | | | 55,000 | | | | | | | | 52,250 | |
8.70%, 05/01/30 | | | 25,000 | | | | | | | | 25,250 | |
8.00%, 05/01/31D | | | 295,000 | | | | | | | | 283,938 | |
Newell Rubbermaid, Inc. | | | | | | | | | | | | |
5.38%, 04/01/36 | | | 317,000 | | | | | | | | 357,944 | |
Noble Energy, Inc. | | | | | | | | | | | | |
5.05%, 11/15/44D | | | 1,016,000 | | | | | | | | 1,022,767 | |
Old Republic International
Corporation | | | | | | | | | | | | |
4.88%, 10/01/24 | | | 230,000 | | | | | | | | 240,404 | |
ON Semiconductor Corporation | | | | | | | | | | | | |
1.00%, 12/01/20 CONVD | | | 85,000 | | | | | | | | 87,497 | |
ONEOK Partners LP | | | | | | | | | | | | |
6.20%, 09/15/43 | | | 5,000 | | | | | | | | 5,578 | |
Penn Mutual Life Insurance Co. | | | | | | | | | | | | |
7.63%, 06/15/40 144A | | | 1,750,000 | | | | | | | | 2,176,764 | |
Plains All American Pipeline LP | | | | | | | | | | | | |
4.90%, 02/15/45D | | | 995,000 | | | | | | | | 922,568 | |
Priceline Group, Inc. | | | | | | | | | | | | |
0.90%, 09/15/21 CONVD | | | 110,000 | | | | | | | | 116,462 | |
Prudential Financial, Inc. | | | | | | | | | | | | |
6.63%, 06/21/40D | | | 1,236,000 | | | | | | | | 1,580,384 | |
PulteGroup, Inc. | | | | | | | | | | | | |
6.38%, 05/15/33D | | | 1,000,000 | | | | | | | | 1,002,500 | |
Quicken Loans, Inc. | | | | | | | | | | | | |
5.75%, 05/01/25 144A | | | 125,000 | | | | | | | | 122,188 | |
Qwest Corporation | | | | | | | | | | | | |
7.25%, 09/15/25 | | | 490,000 | | | | | | | | 526,499 | |
6.88%, 09/15/33D | | | 1,918,000 | | | | | | | | 1,836,122 | |
RPM International, Inc. | | | | | | | | | | | | |
2.25%, 12/15/20 CONV | | | 22,000 | | | | | | | | 26,441 | |
Sempra Energy | | | | | | | | | | | | |
6.00%, 10/15/39D | | | 991,000 | | | | | | | | 1,184,748 | |
SM Energy Co. | | | | | | | | | | | | |
5.00%, 01/15/24D | | | 15,000 | | | | | | | | 14,212 | |
Southern Co. | | | | | | | | | | | | |
4.40%, 07/01/46 | | | 1,723,000 | | | | | | | | 1,711,234 | |
Sprint Capital Corporation | | | | | | | | | | | | |
6.88%, 11/15/28D | | | 1,025,000 | | | | | | | | 1,014,750 | |
8.75%, 03/15/32D | | | 20,000 | | | | | | | | 22,050 | |
Sprint Communications, Inc. | | | | | | | | | | | | |
6.00%, 11/15/22D | | | 40,000 | | | | | | | | 40,400 | |
Sprint Corporation | | | | | | | | | | | | |
7.13%, 06/15/24 | | | 15,000 | | | | | | | | 15,488 | |
| | | | |
| | See Notes to Financial Statements. | | 127 |
EXTENDED-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Par | | | Value | |
Tenet Healthcare Corporation | | | | | | | | | | | | |
5.00%, 03/01/19D | | $ | 225,000 | | | | | | | $ | 220,500 | |
Textron, Inc. | | | | | | | | | | | | |
6.63%, 04/07/20(U) | | | 160,000 | | | | | | | | 223,335 | |
Time Warner Cable LLC | | | | | | | | | | | | |
5.50%, 09/01/41 | | | 25,000 | | | | | | | | 25,500 | |
4.50%, 09/15/42 | | | 45,000 | | | | | | | | 40,903 | |
Time Warner, Inc. | | | | | | | | | | | | |
4.85%, 07/15/45D | | | 1,039,000 | | | | | | | | 1,044,107 | |
Toro Co. | | | | | | | | | | | | |
6.63%, 05/01/37 | | | 300,000 | | | | | | | | 329,983 | |
Transcontinental
Gas Pipe Line Co. LLC | | | | | | | | | | | | |
7.85%, 02/01/26 144A | | | 455,000 | | | | | | | | 574,697 | |
United Airlines Class A
Pass-Through Trust
Series 2014-1 | | | | | | | | | | | | |
4.00%, 10/11/27D | | | 105,250 | | | | | | | | 107,355 | |
United States Steel Corporation | | | | | | | | | | | | |
6.65%, 06/01/37D | | | 95,000 | | | | | | | | 82,412 | |
University of Pennsylvania | | | | | | | | | | | | |
4.67%, 09/01/12 | | | 3,234,000 | | | | | | | | 3,207,151 | |
Unum Group | | | | | | | | | | | | |
5.75%, 08/15/42D | | | 1,747,000 | | | | | | | | 1,887,344 | |
US Airways Class A
Pass-Through Trust
Series 2012-1 | | | | | | | | | | | | |
5.90%, 04/01/26 | | | 355,940 | | | | | | | | 397,318 | |
Verizon Communications, Inc. | | | | | | | | | | | | |
6.00%, 04/01/41D | | | 1,543,000 | | | | | | | | 1,778,249 | |
5.01%, 08/21/54 | | | 491,000 | | | | | | | | 492,144 | |
4.67%, 03/15/55D | | | 580,000 | | | | | | | | 547,024 | |
Visa, Inc. | | | | | | | | | | | | |
4.30%, 12/14/45 | | | 1,798,000 | | | | | | | | 1,902,568 | |
Wells Fargo & Co. | | | | | | | | | | | | |
5.61%, 01/15/44 | | | 3,000,000 | | | | | | | | 3,406,602 | |
4.75%, 12/07/46 | | | 344,000 | | | | | | | | 349,949 | |
WestRock MWV LLC | | | | | | | | | | | | |
7.55%, 03/01/47 | | | 515,000 | | | | | | | | 609,499 | |
Weyerhaeuser Co. REIT | | | | | | | | | | | | |
6.88%, 12/15/33 | | | 580,000 | | | | | | | | 707,235 | |
| | | | | | | | | | | | |
Total Corporate Bonds
(Cost $92,057,833) | | | | | | | | | | | 100,929,606 | |
| | | | | | | | | | | | |
FOREIGN BONDS — 15.3% | | | | | | | | | | | | |
Australia — 1.0% | | | | | | | | | | | | |
Barrick PD Australia Finance Proprietary, Ltd. | | | | | | | | | | | | |
5.95%, 10/15/39 | | | 1,650,000 | | | | | | | | 1,750,638 | |
New South Wales Treasury
Corporation | | | | | | | | | | | | |
6.00%, 02/01/18(A) | | | 730,000 | | | | | | | | 550,129 | |
3.50%, 03/20/19(A) | | | 60,000 | | | | | | | | 44,682 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,345,449 | |
| | | | | | | | | | | | |
Brazil — 0.3% | | | | | | | | | | | | |
Brazilian Government International Bond | | | | | | | | | | | | |
10.25%, 01/10/28(B) | | | 2,525,000 | | | | | | | | 726,344 | |
| | | | | | | | | | | | |
Canada — 4.5% | | | | | | | | | | | | |
Bombardier, Inc. | | | | | | | | | | | | |
6.00%, 10/15/22 144AD | | | 745,000 | | | | | | | | 704,025 | |
Canadian Government Bond
Residual STRIP | | | | | | | | | | | | |
1.65%, 06/01/25(C)W | | | 3,685,000 | | | | | | | | 2,397,439 | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
Enbridge, Inc. | | | | | | | | | | | | |
5.50%, 12/01/46D | | $ | 549,000 | | | | | | | $ | 589,648 | |
Glencore Finance Canada, Ltd. | | | | | | | | | | | | |
6.00%, 11/15/41 144AD | | | 807,000 | | | | | | | | 801,487 | |
Ontario Generic Residual STRIP | | | | | | | | | | | | |
3.08%, 03/08/29(C)W | | | 4,600,000 | | | | | | | | 2,368,059 | |
Saskatchewan Residual STRIP | | | | | | | | | | | | |
2.14%, 02/04/22(C)W | | | 3,000,000 | | | | | | | | 2,016,646 | |
TransCanada PipeLines, Ltd. | | | | | | | | | | | | |
6.20%, 10/15/37 | | | 1,300,000 | | | | | | | | 1,614,922 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 10,492,226 | |
| | | | | | | | | | | | |
Cayman Islands — 0.1% | | | | | | | | | | | | |
Transocean, Inc. | | | | | | | | | | | | |
5.55%, 10/15/22D | | | 205,000 | | | | | | | | 180,913 | |
6.80%, 03/15/38D | | | 20,000 | | | | | | | | 15,600 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 196,513 | |
| | | | | | | | | | | | |
Ireland — 1.1% | | | | | | | | | | | | |
GE Capital International
Funding Co. | | | | | | | | | | | | |
4.42%, 11/15/35 | | | 2,405,000 | | | | | | | | 2,525,091 | |
| | | | | | | | | | | | |
Italy — 0.4% | | | | | | | | | | | | |
Telecom Italia Capital SA | | | | | | | | | | | | |
6.00%, 09/30/34 | | | 1,010,000 | | | | | | | | 939,300 | |
| | | | | | | | | | | | |
Luxembourg — 0.5% | | | | | | | | | | | | |
ArcelorMittal | | | | | | | | | | | | |
8.00%, 10/15/39D | | | 215,000 | | | | | | | | 237,003 | |
7.75%, 03/01/41 STEPD | | | 975,000 | | | | | | | | 1,043,250 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,280,253 | |
| | | | | | | | | | | | |
Mexico — 0.9% | | | | | | | | | | | | |
America Movil SAB de CV | | | | | | | | | | | | |
6.45%, 12/05/22(M) | | | 2,600,000 | | | | | | | | 114,293 | |
8.46%, 12/18/36(M) | | | 12,000,000 | | | | | | | | 509,483 | |
Mexican Bonos | | | | | | | | | | | | |
8.00%, 12/07/23(M) | | | 21,300,000 | | | | | | | | 1,067,226 | |
10.00%, 12/05/24(M) | | | 3,500,000 | | | | | | | | 195,659 | |
7.50%, 06/03/27(M) | | | 3,500,000 | | | | | | | | 168,332 | |
8.50%, 05/31/29(M) | | | 500,000 | | | | | | | | 25,704 | |
7.75%, 05/29/31(M) | | | 1,000,000 | | | | | | | | 48,233 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,128,930 | |
| | | | | | | | | | | | |
Netherlands — 2.1% | | | | | | | | | | | | |
Cooperatieve Rabobank UA | | | | | | | | | | | | |
4.63%, 12/01/23D | | | 2,996,000 | | | | | | | | 3,156,720 | |
5.25%, 05/24/41D | | | 1,023,000 | | | | | | | | 1,193,249 | |
Enel Finance International NV | | | | | | | | | | | | |
6.00%, 10/07/39 144A | | | 500,000 | | | | | | | | 560,399 | |
Petrobras Global Finance BV | | | | | | | | | | | | |
5.63%, 05/20/43 | | | 120,000 | | | | | | | | 89,304 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,999,672 | |
| | | | | | | | | | | | |
New Zealand — 0.3% | | | | | | | | | | | | |
New Zealand Government Bond | | | | | | | | | | | | |
5.00%, 03/15/19(Z) | | | 945,000 | | | | | | | | 694,871 | |
| | | | | | | | | | | | |
Norway — 0.4% | | | | | | | | | | | | |
Norway Government Bond | | | | | | | | | | | | |
4.25%, 05/19/17 144A(K) | | | 7,670,000 | | | | | | | | 900,458 | |
4.50%, 05/22/19 144A(K) | | | 265,000 | | | | | | | | 33,418 | |
3.75%, 05/25/21 144A(K) | | | 196,000 | | | | | | | | 25,286 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 959,162 | |
| | | | | | | | | | | | |
| | | | |
| 128 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | Par | | | | | | Value | |
Saudi Arabia — 0.2% | |
Saudi Government
International Bond | | | | | | | | | | | | |
4.50%, 10/26/46 144AD | | $ | 520,000 | | | | | | | $ | 499,461 | |
| | | | | | | | | | | | |
Spain — 0.4% | |
Telefonica Emisiones SA Unipersonal | | | | | | | | | | | | |
7.05%, 06/20/36 | | | 900,000 | | | | | | | | 1,047,564 | |
| | | | | | | | | | | | |
Supranational — 1.0% | |
Inter-American
Development Bank | | | | | | | | | | | | |
6.00%, 12/15/17(Z) | | | 3,115,000 | | | | | | | | 2,233,526 | |
| | | | | | | | | | | | |
United Kingdom — 2.1% | |
Barclays PLC | | | | | | | | | | | | |
3.65%, 03/16/25 | | | 2,300,000 | | | | | | | | 2,232,086 | |
Ensco PLC | | | | | | | | | | | | |
5.75%, 10/01/44 | | | 690,000 | | | | | | | | 503,700 | |
Lloyds Banking Group PLC | | | | | | | | | | | | |
5.30%, 12/01/45 144A | | | 1,056,000 | | | | | | | | 1,094,592 | |
Standard Chartered PLC | | | | | | | | | | | | |
5.70%, 03/26/44 144A | | | 1,100,000 | | | | | | | | 1,102,401 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,932,779 | |
| | | | | | | | | | | | |
Total Foreign Bonds
(Cost $37,363,101) | | | | | | | | | | | 36,001,141 | |
| | | | | | | | | | | | |
MUNICIPAL BONDS — 0.8% | |
State of Illinois, General
Obligation | | | | | | | | | | | | |
5.10%, 06/01/33 | | | 235,000 | | | | | | | | 207,933 | |
University of California,
Revenue Bond, Series AD | | | | | | | | | | | | |
4.86%, 05/15/12 | | | 1,768,000 | | | | | | | | 1,710,557 | |
| | | | | | | | | | | | |
Total Municipal Bonds
(Cost $1,967,794) | | | | | | | | | | | 1,918,490 | |
| | | | | | | | | | | | |
U.S. TREASURY OBLIGATIONS — 36.2% | |
U.S. Treasury Bonds | | | | | | | | | | | | |
4.63%, 02/15/40 | | | 2,689,000 | | | | | | | | 3,437,351 | |
4.38%, 05/15/40 | | | 26,024,200 | | | | | | | | 32,162,242 | |
2.75%, 11/15/42 | | | 1,200,000 | | | | | | | | 1,133,719 | |
2.88%, 05/15/43D | | | 1,691,000 | | | | | | | | 1,633,797 | |
3.13%, 08/15/44D | | | 2,805,000 | | | | | | | | 2,839,625 | |
2.88%, 08/15/45 | | | 6,285,000 | | | | | | | | 6,049,558 | |
2.50%, 02/15/46D | | | 5,212,800 | | | | | | | | 4,633,387 | |
2.50%, 05/15/46D | | | 22,503,200 | | | | | | | | 19,998,841 | |
2.25%, 08/15/46D | | | 2,105,000 | | | | | | | | 1,770,010 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 73,658,530 | |
| | | | | | | | | | | | |
U.S. Treasury Notes | | | | | | | | | | | | |
1.63%, 05/15/26 | | | 9,127,000 | | | | | | | | 8,512,534 | |
1.50%, 08/15/26 | | | 3,127,000 | | | | | | | | 2,876,108 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 11,388,642 | |
| | | | | | | | | | | | |
Total U.S. Treasury Obligations
(Cost $93,554,355) | | | | | | | | | | | 85,047,172 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | |
| | | Shares | | | | | | Value | |
PREFERRED STOCKS — 0.2% | |
Arconic, Inc. | | | | | | | | | | | | |
5.38%, 10/01/17 CONV | | $ | 1,660 | | | | | | | $ | 50,165 | |
Chesapeake Energy
Corporation | | | | | | | | | | | | |
5.00%, 12/31/49 CONV | | | 620 | | | | | | | | 33,263 | |
5.75%, | | | | | | | | | | | | |
12/31/49 CONV 144AD | | | 80 | | | | | | | | 43,950 | |
El Paso Energy Capital Trust I | | | | | | | | | | | | |
4.75%, 03/31/28 CONV | | | 5,350 | | | | | | | | 265,628 | |
| | | | | | | | | | | | |
Total Preferred Stocks
(Cost $435,264) | | | | | | | | | | | 393,006 | |
| | | | | | | | | | | | |
MONEY MARKET FUNDS — 7.8% | |
GuideStone Money
Market Fund | | | | | | | | | | | | |
(Investor Class)¥ | | | 6,093,198 | | | | | | | | 6,093,198 | |
Northern Institutional Liquid
Assets Portfolio§ | | | 12,338,183 | | | | | | | | 12,338,183 | |
| | | | | | | | | | | | |
Total Money Market Funds
(Cost $18,431,381) | | | | | | | | | | | 18,431,381 | |
| | | | | | | | | | | | |
TOTAL INVESTMENTS — 104.6%
(Cost $246,815,206) | | | | | | | | 245,746,815 | |
Liabilities in Excess of
Other Assets — (4.6)% | | | | | | | | (10,745,893 | ) |
| | | | | | | | | | | | |
NET ASSETS — 100.0% | | | | | | | $ | 235,000,922 | |
| | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 129 |
EXTENDED-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2016, 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 | | $ | 3,026,019 | | | $ | — | | | $ | 3,026,019 | | | $ | — | |
Corporate Bonds | | | 100,929,606 | | | | — | | | | 100,929,562 | | | | 44 | |
Foreign Bonds | | | 36,001,141 | | | | — | | | | 36,001,141 | | | | — | |
Money Market Funds | | | 18,431,381 | | | | 18,431,381 | | | | — | | | | — | |
Municipal Bonds | | | 1,918,490 | | | | — | | | | 1,918,490 | | | | — | |
Preferred Stocks | | | 393,006 | | | | 83,428 | | | | 309,578 | | | | — | |
U.S. Treasury Obligations | | | 85,047,172 | | | | — | | | | 85,047,172 | | | | — | |
| | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | $ | 245,746,815 | | | $ | 18,514,809 | | | $ | 227,231,962 | | | $ | 44 | |
| | | | | | | | | | | | | | | | |
Management has determined that the amount of transfers between Level 1 and Level 2 compared to total net assets is not material; therefore, the amount of transfers between Level 1 and Level 2 is not shown for the year ended December 31, 2016.
There were no transfers between Level 2 and Level 3 during the year ended December 31, 2016.
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 year ended December 31, 2016.
| | | | |
| 130 | | See Notes to Financial Statements. | | |
Global Bond Fund (Unaudited)
The divergence of monetary policies among the major central banks continued during 2016 creating both risks and potential opportunities for global bond investors. In response to a low unemployment rate and an inflation level near its target, the Federal Reserve (the “Fed”) increased the federal funds rate by 0.25% in December. In fact, growing evidence such as rising oil prices suggested that price deflation fears for much of the global economy may be waning. Economic growth remained below the long-term averages, however, prompting the European Central Bank and the Bank of Japan to continue to purchase securities throughout 2016 in an attempt to drive stronger economic expansion. This dynamic of differing policies will continue to be a major factor in the relative attractiveness of bonds and currencies around the globe.
The U.S. dollar continued to gain in value relative to other major currencies, including the Great Britain pound, the Japanese yen and the euro. This dollar strength dampened returns for U.S. investors on international bonds denominated in currencies other than U.S. dollars. This trend may well continue should the Fed continue to increase short-term interest rates in the United States while the other major central banks maintain their stimulus efforts. The global bond market, as measured by the Bloomberg Barclays Global Aggregate Bond Index, posted an annual return of 2.09% for 2016. Emerging market debt, as measured by the J.P. Morgan EMBI Plus (“J.P. Morgan EMBI+”) (a U.S. dollar denominated index), generated an annual return of 9.62%.
The Fund is 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, 2016, the Investor Class of the Fund outperformed its composite benchmark, 50% Bloomberg Barclays Global Aggregate Bond Index, 25% J.P. Morgan EMBI+ and 25% Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Bond Index, (10.91% versus 7.62%). The outperformance was primarily due to the narrowing of credit spreads during the year. High yield exposure, particularly in the industrials segment of the corporate sector, was a strong contributor to the relative annual performance of the Fund. A shorter duration and an underweight to U.S. Treasury bonds also contributed positively. The strengthening of the U.S. dollar detracted from the Fund’s relative performance during the year.
Additionally, U.S. Treasury and currency futures contracts along with options on U.S. Treasuries and Euro-futures were used for the common purposes of implementing yield curve positioning strategies within the Fund. Currency options and forward contracts were used to hedge against foreign currency fluctuations. While some of the currency forward contracts added value, overall these strategies detracted modestly from performance during the year.
During the year, the Fund remained focused on its objective of seeking to maximize total return through capital gains and current income while preserving principal value.
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 derivatives and by its ability to select sub-advisers to allocate assets. Some derivatives 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. The use of certain derivatives may also have a leveraging effect which may increase the volatility of the Fund and may reduce its returns. It is possible to lose money by investing in the Fund.
Global Bond Fund (Unaudited)
At December 31, 2016, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
| | | | |
| | | % | |
Corporate Bonds | | | 45.4 | |
Foreign Bonds | | | 24.2 | |
Money Market Funds | | | 17.9 | |
U.S. Treasury Obligations | | | 15.0 | |
Loan Agreements | | | 2.2 | |
Mortgage-Backed Securities | | | 2.0 | |
Common Stocks | | | 1.0 | |
Foreign Government Inflation-Linked Bond | | | 0.7 | |
Preferred Stocks | | | 0.5 | |
Purchased Option | | | 0.2 | |
Foreign Common Stocks | | | 0.1 | |
Municipal Bond | | | 0.1 | |
Written Option | | | — | ** |
| | | | |
| | | 109.3 | |
| | | | |
**Rounds to less than 0.05%
132
Global Bond Fund (Unaudited)
| | | | | | |
| Average Annual Total Returns as of 12/31/16 |
| | | Institutional
Class* | | Investor
Class* | | Benchmark** |
One Year | | 11.24% | | 10.91% | | 7.62% |
Five Year | | N/A | | 3.90% | | 3.22% |
Ten Year | | N/A | | 5.12% | | 5.28% |
Since Inception(1) | | 1.69% | | 5.12% | | 5.29% |
Inception Date | | 04/30/15 | | 12/29/06 | | |
Total Fund Operating Expenses (May 1, 2016 Prospectus)(2) | | 0.61% | | 0.85% | | |
(1)The Since Inception benchmark performance is based on the start date of December 29, 2006, which corresponds with the inception date of the Investor Class, the longest operating class of the Fund.
(2)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 GuideStoneFunds.com. 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 Investor Class of the Fund for the 10-year period from December 31, 2006 to December 31, 2016, 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 weighted composite benchmark index consisting of 25% J.P. Morgan EMBI Plus, 50% Bloomberg
Barclays Global Aggregate Bond Index and 25% Bloomberg Barclays US Corporate High Yield 2% Issuer Capped Bond Index.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
133
| | |
GLOBAL BOND FUND SCHEDULE OF INVESTMENTS | | December 31, 2016 |
| | | | | | | | | | | | |
| | | Par | | | | | | Value | |
CORPORATE BONDS — 45.4% | | | | | | | | | | | | |
Abbott Laboratories | | | | | | | | | | | | |
3.75%, 11/30/26 | | $ | 1,540,000 | | | | | | | $ | 1,532,500 | |
Activision Blizzard, Inc. | | | | | | | | | | | | |
6.13%, 09/15/23 144A | | | 60,000 | | | | | | | | 65,673 | |
AECOM | | | | | | | | | | | | |
5.75%, 10/15/22 | | | 55,000 | | | | | | | | 58,410 | |
5.88%, 10/15/24 | | | 55,000 | | | | | | | | 58,994 | |
AES Corporation | | | | | | | | | | | | |
4.88%, 05/15/23 | | | 1,350,000 | | | | | | | | 1,340,145 | |
Ally Financial, Inc. | | | | | | | | | | | | |
5.50%, 02/15/17 | | | 70,000 | | | | | | | | 70,306 | |
8.00%, 12/31/18 | | | 104,000 | | | | | | | | 113,750 | |
3.50%, 01/27/19 | | | 1,000,000 | | | | | | | | 1,007,500 | |
8.00%, 03/15/20 | | | 161,000 | | | | | | | | 182,735 | |
5.13%, 09/30/24D | | | 920,000 | | | | | | | | 938,400 | |
8.00%, 11/01/31 | | | 345,000 | | | | | | | | 401,897 | |
American Airlines Class B Pass-Through Trust Series 2016-1 | | | | | | | | | | | | |
5.25%, 07/15/25 | | | 1,834,109 | | | | | | | | 1,889,132 | |
American Airlines Group, Inc. | | | | | | | | | | | | |
5.50%, 10/01/19 144A | | | 1,825,000 | | | | | | | | 1,893,438 | |
American Axle & Manufacturing, Inc. | | | | | | | | | | | | |
6.63%, 10/15/22 | | | 150,000 | | | | | | | | 155,430 | |
Anadarko Petroleum Corporation | | | | | | | | | | | | |
3.45%, 07/15/24 | | | 135,000 | | | | | | | | 132,740 | |
4.50%, 07/15/44 | | | 215,000 | | | | | | | | 202,778 | |
Antero Resources Corporation | | | | | | | | | | | | |
5.38%, 11/01/21 | | | 365,000 | | | | | | | | 374,581 | |
5.13%, 12/01/22 | | | 475,000 | | | | | | | | 482,125 | |
5.63%, 06/01/23 | | | 155,000 | | | | | | | | 159,456 | |
Anthem, Inc. | | | | | | | | | | | | |
6.38%, 06/15/37 | | | 221,000 | | | | | | | | 266,299 | |
Arconic, Inc. | | | | | | | | | | | | |
5.87%, 02/23/22 | | | 5,000 | | | | | | | | 5,375 | |
5.90%, 02/01/27 | | | 825,000 | | | | | | | | 864,188 | |
6.75%, 01/15/28 | | | 1,380,000 | | | | | | | | 1,486,260 | |
5.95%, 02/01/37 | | | 65,000 | | | | | | | | 63,554 | |
Ashtead Capital, Inc. | | | | | | | | | | | | |
5.63%, 10/01/24 144A | | | 330,000 | | | | | | | | 347,325 | |
AT&T, Inc. | | | | | | | | | | | | |
3.88%, 08/15/21 | | | 60,000 | | | | | | | | 62,012 | |
Atrium Windows & Doors, Inc. | | | | | | | | | | | | |
7.75%, 05/01/19 144A | | | 565,000 | | | | | | | | 525,450 | |
Avon Products, Inc. | | | | | | | | | | | | |
8.95%, 03/15/43 | | | 115,000 | | | | | | | | 101,488 | |
Bank of America Corporation | | | | | | | | | | | | |
5.49%, 03/15/19 | | | 100,000 | | | | | | | | 106,195 | |
4.25%, 10/22/26 | | | 100,000 | | | | | | | | 101,412 | |
6.05%, 06/01/34 | | | 700,000 | | | | | | | | 784,960 | |
6.11%, 01/29/37 | | | 1,300,000 | | | | | | | | 1,528,641 | |
6.50%, 10/29/49† | | | 920,000 | | | | | | | | 962,550 | |
5.20%, 12/29/49†D | | | 300,000 | | | | | | | | 288,000 | |
Barrick North America Finance LLC | | | | | | | | | | | | |
5.75%, 05/01/43 | | | 1,970,000 | | | | | | | | 2,077,909 | |
Baytex Energy Corporation | | | | | | | | | | | | |
5.63%, 06/01/24 144A | | | 110,000 | | | | | | | | 97,625 | |
Beazer Homes USA, Inc. | | | | | | | | | | | | |
7.25%, 02/01/23D | | | 50,000 | | | | | | | | 51,000 | |
Berry Petroleum Co. LLC | | | | | | | | | | | | |
6.38%, 09/15/22#D | | | 60,000 | | | | | | | | 38,550 | |
| | | | | | | | | | | | |
| | | Par | | | | | | Value | |
Best Buy Co., Inc. | | | | | | | | | | | | |
5.00%, 08/01/18 | | $ | 3,455,000 | | | | | | | $ | 3,617,869 | |
Blue Cube Spinco, Inc. | | | | | | | | | | | | |
10.00%, 10/15/25 | | | 1,525,000 | | | | | | | | 1,849,062 | |
Blue Racer Midstream LLC | | | | | | | | | | | | |
6.13%, 11/15/22 144AD | | | 200,000 | | | | | | | | 201,000 | |
Braskem America Finance Co. | | | | | | | | | | | | |
7.13%, 07/22/41D | | | 900,000 | | | | | | | | 911,250 | |
CalAmp Corporation | | | | | | | | | | | | |
1.63%, 05/15/20 CONV | | | 65,000 | | | | | | | | 62,969 | |
CalAtlantic Group, Inc. | | | | | | | | | | | | |
0.25%, 06/01/19 CONV | | | 140,000 | | | | | | | | 131,075 | |
California Resources Corporation | | | | | | | | | | | | |
8.00%, 12/15/22 144A | | | 420,000 | | | | | | | | 375,900 | |
Calpine Corporation | | | | | | | | | | | | |
5.88%, 01/15/24 144AD | | | 274,000 | | | | | | | | 287,015 | |
Care Capital Properties LP REIT | | | | | | | | | | | | |
5.13%, 08/15/26 144A | | | 220,000 | | | | | | | | 214,706 | |
Carrizo Oil & Gas, Inc. | | | | | | | | | | | | |
6.25%, 04/15/23D | | | 320,000 | | | | | | | | 329,600 | |
CBC Ammo LLC | | | | | | | | | | | | |
7.25%, 11/15/21 144A | | | 350,000 | | | | | | | | 345,625 | |
CCO Holdings LLC | | | | | | | | | | | | |
5.38%, 05/01/25 144AD | | | 130,000 | | | | | | | | 134,225 | |
Celgene Corporation | | | | | | | | | | | | |
5.00%, 08/15/45 | | | 310,000 | | | | | | | | 323,550 | |
Cemex Finance LLC | | | | | | | | | | | | |
9.38%, 10/12/22D | | | 550,000 | | | | | | | | 600,875 | |
Cengage Learning, Inc. | | | | | | | | | | | | |
9.50%, 06/15/24 144A | | | 430,000 | | | | | | | | 383,775 | |
Centene Corporation | | | | | | | | | | | | |
5.63%, 02/15/21 | | | 180,000 | | | | | | | | 189,702 | |
4.75%, 05/15/22 | | | 370,000 | | | | | | | | 375,550 | |
6.13%, 02/15/24 | | | 200,000 | | | | | | | | 211,250 | |
4.75%, 01/15/25 | | | 260,000 | | | | | | | | 254,475 | |
Century Intermediate Holding Co. 2 Cash coupon | | | | | | | | | | | | |
9.75%, 02/15/19 PIK 144A | | | 130,000 | | | | | | | | 129,188 | |
CenturyLink, Inc. | | | | | | | | | | | | |
5.63%, 04/01/20D | | | 295,000 | | | | | | | | 313,069 | |
7.60%, 09/15/39 | | | 810,000 | | | | | | | | 710,775 | |
7.65%, 03/15/42 | | | 165,000 | | | | | | | | 145,200 | |
Charter Communications Operating LLC | | | | | | | | | | | | |
6.48%, 10/23/45 | | | 900,000 | | | | | | | | 1,044,101 | |
Chemours Co. | | | | | | | | | | | | |
6.63%, 05/15/23D | | | 1,055,000 | | | | | | | | 1,049,725 | |
7.00%, 05/15/25D | | | 195,000 | | | | | | | | 193,050 | |
Chesapeake Energy Corporation | | | | | | | | | | | | |
4.13%, 04/15/19† | | | 20,000 | | | | | | | | 20,200 | |
6.63%, 08/15/20 | | | 145,000 | | | | | | | | 147,175 | |
6.88%, 11/15/20D | | | 5,000 | | | | | | | | 5,025 | |
6.13%, 02/15/21D | | | 665,000 | | | | | | | | 651,700 | |
5.38%, 06/15/21 | | | 80,000 | | | | | | | | 75,400 | |
4.88%, 04/15/22D | | | 2,620,000 | | | | | | | | 2,403,850 | |
5.75%, 03/15/23D | | | 800,000 | | | | | | | | 756,000 | |
5.50%, 09/15/26 CONV 144A | | | 40,000 | | | | | | | | 43,500 | |
2.50%, 05/15/37 CONV | | | 67,000 | | | | | | | | 67,921 | |
2.25%, 12/15/38 CONV | | | 1,560,000 | | | | | | | | 1,536,600 | |
| | | | |
| 134 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
Ciena Corporation | | | | | | | | | | | | |
0.88%, 06/15/17 CONV | | $ | 950,000 | | | | | | | $ | 950,594 | |
3.75%, 10/15/18 CONV 144A | | | 415,000 | | | | | | | | 562,584 | |
Cincinnati Bell, Inc. | | | | | | | | | | | | |
7.00%, 07/15/24 144A | | | 355,000 | | | | | | | | 376,300 | |
Cincinnati Bell Telephone Co. LLC | | | | | | | | | | | | |
6.30%, 12/01/28 | | | 155,000 | | | | | | | | 151,900 | |
CIT Group, Inc. | | | | | | | | | | | | |
5.00%, 08/15/22 | | | 500,000 | | | | | | | | 522,500 | |
5.00%, 08/01/23 | | | 670,000 | | | | | | | | 693,450 | |
Citigroup, Inc. | | | | | | | | | | | | |
5.13%, 11/12/19(Z) | | | 640,000 | | | | | | | | 457,182 | |
3.50%, 05/15/23 | | | 1,305,000 | | | | | | | | 1,302,629 | |
5.35%, 04/29/49†D | | | 360,000 | | | | | | | | 339,750 | |
5.95%, 12/29/49† | | | 250,000 | | | | | | | | 247,238 | |
6.30%, 12/29/49†D | | | 1,330,000 | | | | | | | | 1,320,358 | |
Clear Channel Worldwide Holdings, Inc. | | | | | | | | | | | | |
7.63%, 03/15/20 | | | 345,000 | | | | | | | | 346,076 | |
Cleaver-Brooks, Inc. | | | | | | | | | | | | |
8.75%, 12/15/19 144A | | | 110,000 | | | | | | | | 115,088 | |
Cliffs Natural Resources, Inc. | | | | | | | | | | | | |
8.00%, 09/30/20 144AD | | | 748,000 | | | | | | | | 781,660 | |
CME Group, Inc. | | | | | | | | | | | | |
5.30%, 09/15/43 | | | 860,000 | | | | | | | | 1,009,765 | |
Comcast Corporation | | | | | | | | | | | | |
5.15%, 03/01/20D | | | 170,000 | | | | | | | | 185,649 | |
3.15%, 03/01/26D | | | 1,010,000 | | | | | | | | 997,719 | |
Communications Sales & Leasing, Inc. REIT | | | | | | | | | | | | |
8.25%, 10/15/23 | | | 170,000 | | | | | | | | 181,050 | |
Compiler Finance Sub, Inc. | | | | | | | | | | | | |
7.00%, 05/01/21 144A | | | 70,000 | | | | | | | | 32,550 | |
ConocoPhillips | | | | | | | | | | | | |
6.50%, 02/01/39 | | | 20,000 | | | | | | | | 25,400 | |
Consolidated Communications, Inc. | | | | | | | | | | | | |
6.50%, 10/01/22D | | | 60,000 | | | | | | | | 59,850 | |
Continental Airlines Class A Pass-Through Trust Series 2007-1 | | | | | | | | | | | | |
5.98%, 10/19/23 | | | 411,175 | | | | | | | | 454,862 | |
Continental Resources, Inc. | | | | | | | | | | | | |
4.50%, 04/15/23 | | | 30,000 | | | | | | | | 29,550 | |
3.80%, 06/01/24 | | | 130,000 | | | | | | | | 120,575 | |
4.90%, 06/01/44D | | | 370,000 | | | | | | | | 318,200 | |
Crestwood Midstream Partners LP | | | | | | | | | | | | |
6.13%, 03/01/22 | | | 240,000 | | | | | | | | 247,200 | |
6.25%, 04/01/23 | | | 120,000 | | | | | | | | 123,000 | |
Crown Americas LLC | | | | | | | | | | | | |
4.25%, 09/30/26 144A | | | 250,000 | | | | | | | | 235,938 | |
CSC Holdings LLC | | | | | | | | | | | | |
10.88%, 10/15/25 144A | | | 1,070,000 | | | | | | | | 1,275,975 | |
CST Brands, Inc. | | | | | | | | | | | | |
5.00%, 05/01/23 | | | 170,000 | | | | | | | | 176,375 | |
CTR Partnership LP REIT | | | | | | | | | | | | |
5.88%, 06/01/21 | | | 500,000 | | | | | | | | 511,250 | |
Cummins, Inc. | | | | | | | | | | | | |
5.65%, 03/01/98 | | | 860,000 | | | | | | | | 889,906 | |
D.R. Horton, Inc. | | | | | | | | | | | | |
4.38%, 09/15/22 | | | 1,405,000 | | | | | | | | 1,434,856 | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
DaVita, Inc. | | | | | | | | | | | | |
5.00%, 05/01/25 | | $ | 90,000 | | | | | | | $ | 88,762 | |
Delta Air Lines Class B Pass-Through Trust Series 2007-1 | | | | | | | | | | | | |
8.02%, 02/10/24 | | | 50,671 | | | | | | | | 58,275 | |
Diamond 1 Finance Corporation | | | | | | | | | | | | |
4.42%, 06/15/21 144A | | | 970,000 | | | | | | | | 1,004,695 | |
5.88%, 06/15/21 144A | | | 500,000 | | | | | | | | 532,148 | |
7.13%, 06/15/24 144AD | | | 290,000 | | | | | | | | 322,133 | |
6.02%, 06/15/26 144A | | | 260,000 | | | | | | | | 282,158 | |
8.10%, 07/15/36 144A | | | 440,000 | | | | | | | | 524,782 | |
8.35%, 07/15/46 144A | | | 240,000 | | | | | | | | 296,427 | |
Dillard’s, Inc. | | | | | | | | | | | | |
7.75%, 07/15/26 | | | 890,000 | | | | | | | | 1,023,500 | |
DISH DBS Corporation | | | | | | | | | | | | |
5.88%, 07/15/22 | | | 600,000 | | | | | | | | 633,000 | |
5.00%, 03/15/23 | | | 410,000 | | | | | | | | 408,975 | |
5.88%, 11/15/24 | | | 1,510,000 | | | | | | | | 1,559,452 | |
7.75%, 07/01/26D | | | 290,000 | | | | | | | | 327,700 | |
DJO Finance LLC | | | | | | | | | | | | |
8.13%, 06/15/21 144A | | | 830,000 | | | | | | | | 724,175 | |
Dollar Tree, Inc. | | | | | | | | | | | | |
5.75%, 03/01/23 | | | 920,000 | | | | | | | | 978,714 | |
DPL, Inc. | | | | | | | | | | | | |
6.75%, 10/01/19D | | | 390,000 | | | | | | | | 398,775 | |
DS Services of America, Inc. | | | | | | | | | | | | |
10.00%, 09/01/21 144A | | | 265,000 | | | | | | | | 291,831 | |
El Paso Natural Gas Co. LLC | | | | | | | | | | | | |
8.63%, 01/15/22D | | | 90,000 | | | | | | | | 110,318 | |
8.38%, 06/15/32 | | | 75,000 | | | | | | | | 93,227 | |
Embarq Corporation | | | | | | | | | | | | |
8.00%, 06/01/36 | | | 995,000 | | | | | | | | 935,300 | |
Enbridge Energy Partners LP | | | | | | | | | | | | |
5.88%, 10/15/25D | | | 460,000 | | | | | | | | 513,735 | |
7.38%, 10/15/45 | | | 435,000 | | | | | | | | 541,355 | |
Enterprise Products Operating LLC | | | | | | | | | | | | |
4.59%, 08/01/66† | | | 60,000 | | | | | | | | 56,507 | |
ERAC USA Finance LLC | | | | | | | | | | | | |
7.00%, 10/15/37 144A | | | 1,065,000 | | | | | | | | 1,353,480 | |
Extraction Oil & Gas Holdings LLC | | | | | | | | | | | | |
7.88%, 07/15/21 144A | | | 400,000 | | | | | | | | 430,000 | |
First Data Corporation | | | | | | | | | | | | |
7.00%, 12/01/23 144A | | | 260,000 | | | | | | | | 277,550 | |
FirstCash, Inc. | | | | | | | | | | | | |
6.75%, 04/01/21 | | | 40,000 | | | | | | | | 41,500 | |
FirstEnergy Corporation | | | | | | | | | | | | |
7.38%, 11/15/31 | | | 185,000 | | | | | | | | 239,029 | |
Florida East Coast Holdings Corporation | | | | | | | | | | | | |
6.75%, 05/01/19 144A | | | 630,000 | | | | | | | | 653,625 | |
9.75%, 05/01/20 144A | | | 40,000 | | | | | | | | 41,300 | |
Ford Motor Co. | | | | | | | | | | | | |
6.63%, 10/01/28 | | | 850,000 | | | | | | | | 1,001,422 | |
4.75%, 01/15/43D | | | 510,000 | | | | | | | | 485,962 | |
Ford Motor Credit Co. LLC | | | | | | | | | | | | |
4.39%, 01/08/26 | | | 3,085,000 | | | | | | | | 3,132,355 | |
Freeport-McMoRan, Inc. | | | | | | | | | | | | |
3.55%, 03/01/22D | | | 380,000 | | | | | | | | 355,300 | |
5.40%, 11/14/34D | | | 115,000 | | | | | | | | 97,175 | |
5.45%, 03/15/43 | | | 1,800,000 | | | | | | | | 1,498,536 | |
| | | | |
| | See Notes to Financial Statements. | | 135 |
GLOBAL BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Par | | | Value | |
Fresenius Medical Care US Finance II, Inc. | | | | | | | | | | | | |
5.88%, 01/31/22 144A | | $ | 750,000 | | | | | | | $ | 825,000 | |
Frontier Communications Corporation | | | | | | | | | | | | |
11.00%, 09/15/25 144A | | | 295,000 | | | | | | | | 305,694 | |
7.88%, 01/15/27 | | | 405,000 | | | | | | | | 337,162 | |
FTS International, Inc. | | | | | | | | | | | | |
6.25%, 05/01/22 | | | 210,000 | | | | | | | | 175,350 | |
GameStop Corporation | | | | | | | | | | | | |
5.50%, 10/01/19 144AD | | | 295,000 | | | | | | | | 303,112 | |
Gates Global LLC | | | | | | | | | | | | |
6.00%, 07/15/22 144A | | | 195,000 | | | | | | | | 191,685 | |
General Electric Co. | | | | | | | | | | | | |
3.15%, 09/07/22 | | | 95,000 | | | | | | | | 97,099 | |
6.75%, 03/15/32 | | | 30,000 | | | | | | | | 39,996 | |
6.88%, 01/10/39 | | | 161,000 | | | | | | | | 227,445 | |
General Motors Co. | | | | | | | | | | | | |
6.25%, 10/02/43 | | | 840,000 | | | | | | | | 931,762 | |
5.20%, 04/01/45 | | | 80,000 | | | | | | | | 77,393 | |
6.75%, 04/01/46 | | | 130,000 | | | | | | | | 152,976 | |
General Motors Financial Co., Inc. | | | | | | | | | | | | |
4.38%, 09/25/21 | | | 120,000 | | | | | | | | 124,610 | |
3.45%, 04/10/22 | | | 300,000 | | | | | | | | 297,034 | |
5.25%, 03/01/26 | | | 625,000 | | | | | | | | 657,726 | |
Genesis Energy LP | | | | | | | | | | | | |
5.63%, 06/15/24 | | | 130,000 | | | | | | | | 128,375 | |
Genworth Holdings, Inc. | | | | | | | | | | | | |
4.90%, 08/15/23 | | | 250,000 | | | | | | | | 207,500 | |
4.80%, 02/15/24 | | | 90,000 | | | | | | | | 73,800 | |
6.50%, 06/15/34 | | | 110,000 | | | | | | | | 88,550 | |
GEO Group, Inc. REIT | | | | | | | | | | | | |
5.88%, 10/15/24 | | | 100,000 | | | | | | | | 99,125 | |
Georgia-Pacific LLC | | | | | | | | | | | | |
8.88%, 05/15/31 | | | 605,000 | | | | | | | | 898,493 | |
Gilead Sciences, Inc. | | | | | | | | | | | | |
4.00%, 09/01/36 | | | 480,000 | | | | | | | | 461,179 | |
4.75%, 03/01/46 | | | 820,000 | | | | | | | | 850,445 | |
4.15%, 03/01/47 | | | 540,000 | | | | | | | | 514,185 | |
Global Marine, Inc. | | | | | | | | | | | | |
7.00%, 06/01/28D | | | 45,000 | | | | | | | | 36,675 | |
Goldman Sachs Capital II | | | | | | | | | | | | |
4.00%, 12/29/49†D | | | 58,000 | | | | | | | | 47,478 | |
Goldman Sachs Group, Inc. | | | | | | | | | | | | |
2.90%, 07/19/18 | | | 130,000 | | | | | | | | 131,845 | |
6.75%, 10/01/37 | | | 355,000 | | | | | | | | 439,699 | |
Goodyear Tire & Rubber Co. | | | | | | | | | | | | |
5.13%, 11/15/23D | | | 1,030,000 | | | | | | | | 1,066,050 | |
7.00%, 03/15/28 | | | 690,000 | | | | | | | | 734,850 | |
Guitar Center, Inc. | | | | | | | | | | | | |
6.50%, 04/15/19 144A | | | 310,000 | | | | | | | | 282,875 | |
Hanesbrands, Inc. | | | | | | | | | | | | |
4.63%, 05/15/24 144A | | | 160,000 | | | | | | | | 156,000 | |
4.88%, 05/15/26 144AD | | | 150,000 | | | | | | | | 147,375 | |
Hardwoods Acquisition, Inc. | | | | | | | | | | | | |
7.50%, 08/01/21 144A | | | 40,000 | | | | | | | | 34,000 | |
Harris Corporation | | | | | | | | | | | | |
5.05%, 04/27/45 | | | 950,000 | | | | | | | | 1,006,852 | |
HCA, Inc. | | | | | | | | | | | | |
7.50%, 02/15/22 | | | 40,000 | | | | | | | | 45,500 | |
5.88%, 05/01/23 | | | 80,000 | | | | | | | | 85,200 | |
8.36%, 04/15/24 | | | 90,000 | | | | | | | | 102,600 | |
5.38%, 02/01/25 | | | 190,000 | | | | | | | | 190,712 | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
7.69%, 06/15/25 | | $ | 815,000 | | | | | | | $ | 890,388 | |
7.58%, 09/15/25 | | | 715,000 | | | | | | | | 773,988 | |
5.88%, 02/15/26 | | | 880,000 | | | | | | | | 908,600 | |
5.25%, 06/15/26 | | | 500,000 | | | | | | | | 518,125 | |
7.05%, 12/01/27 | | | 20,000 | | | | | | | | 20,600 | |
7.50%, 11/06/33 | | | 205,000 | | | | | | | | 218,325 | |
7.75%, 07/15/36 | | | 120,000 | | | | | | | | 127,500 | |
Hercules, LLC | | | | | | | | | | | | |
6.50%, 06/30/29 | | | 250,000 | | | | | | | | 243,125 | |
Hexion, Inc. | | | | | | | | | | | | |
9.00%, 11/15/20 | | | 185,000 | | | | | | | | 145,225 | |
Hilton Worldwide Finance LLC | | | | | | | | | | | | |
5.63%, 10/15/21 | | | 380,000 | | | | | | | | 392,565 | |
IASIS Healthcare LLC | | | | | | | | | | | | |
8.38%, 05/15/19 | | | 530,000 | | | | | | | | 463,750 | |
Iconix Brand Group, Inc. | | | | | | | | | | | | |
1.50%, 03/15/18 CONVD | | | 225,000 | | | | | | | | 212,625 | |
Intel Corporation | | | | | | | | | | | | |
3.25%, 08/01/39 CONV | | | 365,000 | | | | | | | | 644,227 | |
International Lease Finance Corporation | | | | | | | | | | | | |
3.88%, 04/15/18 | | | 10,000 | | | | | | | | 10,212 | |
6.25%, 05/15/19 | | | 75,000 | | | | | | | | 80,812 | |
4.63%, 04/15/21 | | | 300,000 | | | | | | | | 311,625 | |
5.88%, 08/15/22 | | | 230,000 | | | | | | | | 250,125 | |
INVISTA Finance LLC | | | | | | | | | | | | |
4.25%, 10/15/19 144A | | | 915,000 | | | | | | | | 911,701 | |
Iron Mountain, Inc. REIT | | | | | | | | | | | | |
6.00%, 10/01/20 144A | | | 70,000 | | | | | | | | 74,025 | |
iStar, Inc. REIT | | | | | | | | | | | | |
7.13%, 02/15/18 | | | 150,000 | | | | | | | | 155,062 | |
4.88%, 07/01/18 | | | 95,000 | | | | | | | | 95,238 | |
J.C. Penney Corporation, Inc. | | | | | | | | | | | | |
6.38%, 10/15/36D | | | 480,000 | | | | | | | | 406,200 | |
7.63%, 03/01/97D | | | 815,000 | | | | | | | | 676,450 | |
Jefferies Finance LLC | | | | | | | | | | | | |
7.50%, 04/15/21 144A | | | 275,000 | | | | | | | | 273,281 | |
6.88%, 04/15/22 144A | | | 200,000 | | | | | | | | 194,000 | |
Jefferies Group LLC | | | | | | | | | | | | |
5.13%, 04/13/18 | | | 55,000 | | | | | | | | 56,868 | |
6.88%, 04/15/21 | | | 270,000 | | | | | | | | 307,450 | |
5.13%, 01/20/23 | | | 305,000 | | | | | | | | 319,609 | |
6.45%, 06/08/27 | | | 35,000 | | | | | | | | 38,459 | |
3.88%, 11/01/29 CONV | | | 55,000 | | | | | | | | 55,756 | |
6.25%, 01/15/36 | | | 1,135,000 | | | | | | | | 1,160,766 | |
6.50%, 01/20/43 | | | 510,000 | | | | | | | | 526,451 | |
JPMorgan Chase & Co. | | | | | | | | | | | | |
4.25%, 11/02/18(Z) | | | 360,000 | | | | | | | | 253,077 | |
6.13%, 12/29/49†D | | | 260,000 | | | | | | | | 261,625 | |
K. Hovnanian Enterprises, Inc. | | | | | | | | | | | | |
7.00%, 01/15/19 144AD | | | 115,000 | | | | | | | | 98,325 | |
8.00%, 11/01/19 144A | | | 165,000 | | | | | | | | 132,825 | |
5.00%, 11/01/21 | | | 795,000 | | | | | | | | 645,938 | |
KB Home | | | | | | | | | | | | |
1.38%, 02/01/19 CONV | | | 440,000 | | | | | | | | 430,375 | |
Kinder Morgan Energy Partners LP | | | | | | | | | | | | |
6.50%, 02/01/37 | | | 75,000 | | | | | | | | 82,426 | |
6.95%, 01/15/38 | | | 90,000 | | | | | | | | 104,704 | |
Kinder Morgan, Inc. | | | | | | | | | | | | |
7.75%, 01/15/32 | | | 80,000 | | | | | | | | 98,269 | |
Kraft Heinz Foods Co. | | | | | | | | | | | | |
4.88%, 02/15/25 144A | | | 196,000 | | | | | | | | 211,593 | |
5.20%, 07/15/45 | | | 960,000 | | | | | | | | 1,008,713 | |
| | | | |
| 136 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
Lamb Weston Holdings, Inc. | | | | | | | | | | | | |
4.63%, 11/01/24 144A | | $ | 440,000 | | | | | | | $ | 442,200 | |
4.88%, 11/01/26 144A | | | 310,000 | | | | | | | | 307,481 | |
Lennar Corporation | | | | | | | | | | | | |
4.75%, 11/15/22 | | | 315,000 | | | | | | | | 324,450 | |
Lockheed Martin Corporation | | | | | | | | | | | | |
3.80%, 03/01/45 | | | 1,090,000 | | | | | | | | 1,036,616 | |
Magnum Hunter Resources Corporation (Escrow) | | | | | | | | | | | | |
0.00%, 12/31/20+W | | | 470,000 | | | | | | | | — | |
Masco Corporation | | | | | | | | | | | | |
7.75%, 08/01/29 | | | 250,000 | | | | | | | | 306,590 | |
6.50%, 08/15/32 | | | 175,000 | | | | | | | | 190,246 | |
MBIA Insurance Corporation | | | | | | | | | | | | |
12.14%, 01/15/33 144A† | | | 435,000 | | | | | | | | 202,275 | |
Meccanica Holdings USA, Inc. | | | | | | | | | | | | |
6.25%, 01/15/40 144A | | | 335,000 | | | | | | | | 341,700 | |
Michael Baker International LLC | | | | | | | | | | | | |
8.25%, 10/15/18 144A | | | 60,000 | | | | | | | | 59,400 | |
Microchip Technology, Inc. | | | | | | | | | | | | |
1.63%, 02/15/25 CONV | | | 280,000 | | | | | | | | 364,000 | |
Micron Technology, Inc. | | | | | | | | | | | | |
5.25%, 08/01/23 144A | | | 330,000 | | | | | | | | 332,888 | |
5.50%, 02/01/25 | | | 1,055,000 | | | | | | | | 1,055,000 | |
5.63%, 01/15/26 144AD | | | 985,000 | | | | | | | | 981,306 | |
Midas Intermediate Holdco II LLC | | | | | | | | | | | | |
7.88%, 10/01/22 144A | | | 1,015,000 | | | | | | | | 1,053,062 | |
Miran Mid-Atlantic Pass-Through Trust Series C | | | | | | | | | | | | |
10.06%, 12/30/28 | | | 769,693 | | | | | | | | 657,125 | |
Morgan Stanley | | | | | | | | | | | | |
4.75%, 11/16/18(A) | | | 275,000 | | | | | | | | 204,267 | |
5.75%, 01/25/21 | | | 205,000 | | | | | | | | 227,671 | |
3.13%, 08/05/21(C) | | | 535,000 | | | | | | | | 411,340 | |
3.75%, 02/25/23 | | | 125,000 | | | | | | | | 128,568 | |
4.10%, 05/22/23 | | | 370,000 | | | | | | | | 380,344 | |
6.25%, 08/09/26 | | | 400,000 | | | | | | | | 478,915 | |
4.35%, 09/08/26 | | | 940,000 | | | | | | | | 965,160 | |
Motorola Solutions, Inc. | | | | | | | | | | | | |
6.63%, 11/15/37 | | | 105,000 | | | | | | | | 106,523 | |
MPH Acquisition Holdings LLC | | | | | | | | | | | | |
7.13%, 06/01/24 144A | | | 350,000 | | | | | | | | 369,285 | |
MPLX LP | | | | | | | | | | | | |
5.50%, 02/15/23 | | | 240,000 | | | | | | | | 249,723 | |
4.50%, 07/15/23 | | | 20,000 | | | | | | | | 20,340 | |
4.88%, 12/01/24 144AD | | | 460,000 | | | | | | | | 474,413 | |
4.88%, 06/01/25 | | | 75,000 | | | | | | | | 77,240 | |
MPT Operating Partnership LP REIT | | | | | | | | | | | | |
5.25%, 08/01/26 | | | 340,000 | | | | | | | | 334,050 | |
Murray Energy Corporation | | | | | | | | | | | | |
11.25%, 04/15/21 144A | | | 310,000 | | | | | | | | 241,800 | |
Mutual of Omaha Insurance Co. | | | | | | | | | | | | |
6.80%, 06/15/36 144A | | | 1,200,000 | | | | | | | | 1,437,668 | |
Navient Corporation | | | | | | | | | | | | |
5.00%, 06/15/18 | | | 700,000 | | | | | | | | 701,750 | |
8.45%, 06/15/18 | | | 472,000 | | | | | | | | 509,760 | |
5.50%, 01/15/19 | | | 75,000 | | | | | | | | 78,000 | |
4.88%, 06/17/19 | | | 220,000 | | | | | | | | 228,250 | |
8.00%, 03/25/20 | | | 600,000 | | | | | | | | 667,140 | |
5.88%, 03/25/21D | | | 320,000 | | | | | | | | 333,200 | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
5.50%, 01/25/23 | | $ | 1,720,000 | | | | | | | $ | 1,674,850 | |
6.13%, 03/25/24 | | | 1,480,000 | | | | | | | | 1,444,850 | |
5.88%, 10/25/24D | | | 600,000 | | | | | | | | 573,000 | |
Neiman Marcus Group, Ltd. LLC | | | | | | | | | | | | |
8.00%, 10/15/21 144AD | | | 80,000 | | | | | | | | 59,800 | |
Cash coupon 8.75% or PIK 9.50%, 10/15/21 144AD | | | 50,000 | | | | | | | | 35,625 | |
NES Rentals Holdings, Inc. | | | | | | | | | | | | |
7.88%, 05/01/18 144A | | | 10,000 | | | | | | | | 10,000 | |
New Albertsons, Inc. | | | | | | | | | | | | |
7.75%, 06/15/26 | | | 410,000 | | | | | | | | 407,950 | |
7.45%, 08/01/29 | | | 1,375,000 | | | | | | | | 1,306,250 | |
8.00%, 05/01/31D | | | 1,210,000 | | | | | | | | 1,164,625 | |
Newell Brands, Inc. | | | | | | | | | | | | |
3.85%, 04/01/23 | | | 1,280,000 | | | | | | | | 1,329,548 | |
4.00%, 12/01/24 | | | 445,000 | | | | | | | | 455,866 | |
4.20%, 04/01/26 | | | 470,000 | | | | | | | | 491,127 | |
Newfield Exploration Co. | | | | | | | | | | | | |
5.63%, 07/01/24 | | | 955,000 | | | | | | | | 1,000,362 | |
Newmont Mining Corporation | | | | | | | | | | | | |
4.88%, 03/15/42 | | | 575,000 | | | | | | | | 541,394 | |
NGL Energy Partners LP | | | | | | | | | | | | |
7.50%, 11/01/23 144A | | | 460,000 | | | | | | | | 477,250 | |
NGPL PipeCo LLC | | | | | | | | | | | | |
7.77%, 12/15/37 144AD | | | 200,000 | | | | | | | | 213,000 | |
Nine West Holdings, Inc. | | | | | | | | | | | | |
6.13%, 11/15/34 | | | 125,000 | | | | | | | | 23,750 | |
NRG Energy, Inc. | | | | | | | | | | | | |
7.25%, 05/15/26 144AD | | | 350,000 | | | | | | | | 350,000 | |
6.63%, 01/15/27 144A | | | 140,000 | | | | | | | | 133,000 | |
NRG REMA LLC | | | | | | | | | | | | |
9.68%, 07/02/26 | | | 300,000 | | | | | | | | 193,875 | |
Nuance Communications, Inc. | | | | | | | | | | | | |
1.00%, 12/15/35 CONV 144AD | | | 1,215,000 | | | | | | | | 1,100,425 | |
NWH Escrow Corporation | | | | | | | | | | | | |
7.50%, 08/01/21 144A | | | 100,000 | | | | | | | | 84,500 | |
Oasis Petroleum, Inc. | | | | | | | | | | | | |
6.50%, 11/01/21D | | | 190,000 | | | | | | | | 194,512 | |
6.88%, 03/15/22D | | | 700,000 | | | | | | | | 721,000 | |
6.88%, 01/15/23 | | | 190,000 | | | | | | | | 195,700 | |
Old Republic International Corporation | | | | | | | | | | | | |
3.75%, 03/15/18 CONV | | | 1,600,000 | | | | | | | | 2,010,000 | |
4.88%, 10/01/24 | | | 520,000 | | | | | | | | 543,521 | |
ON Semiconductor Corporation | | | | | | | | | | | | |
1.00%, 12/01/20 CONVD | | | 645,000 | | | | | | | | 663,947 | |
ONEOK Partners LP | | | | | | | | | | | | |
4.90%, 03/15/25D | | | 60,000 | | | | | | | | 64,464 | |
6.20%, 09/15/43 | | | 20,000 | | | | | | | | 22,313 | |
Outfront Media Capital LLC | | | | | | | | | | | | |
5.25%, 02/15/22 | | | 110,000 | | | | | | | | 114,538 | |
5.88%, 03/15/25 | | | 170,000 | | | | | | | | 178,712 | |
Owens Corning | | | | | | | | | | | | |
7.00%, 12/01/36 | | | 1,800,000 | | | | | | | | 2,140,299 | |
Owens-Brockway Glass Container, Inc. | | | | | | | | | | | | |
5.38%, 01/15/25 144AD | | | 1,500,000 | | | | | | | | 1,516,875 | |
Pactiv LLC | | | | | | | | | | | | |
8.38%, 04/15/27 | | | 200,000 | | | | | | | | 219,500 | |
Penn Mutual Life Insurance Co. | | | | | | | | | | | | |
7.63%, 06/15/40 144A | | | 685,000 | | | | | | | | 852,048 | |
PetSmart, Inc. | | | | | | | | | | | | |
7.13%, 03/15/23 144AD | | | 50,000 | | | | | | | | 51,125 | |
| | | | |
| | See Notes to Financial Statements. | | 137 |
GLOBAL BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Par | | | Value | |
Post Holdings, Inc. | | | | | | | | | | | | |
5.00%, 08/15/26 144A | | $ | 590,000 | | | | | | | $ | 566,400 | |
Priceline Group, Inc. | | | | | | | | | | | | |
0.90%, 09/15/21 CONVD | | | 570,000 | | | | | | | | 603,487 | |
Pride International, Inc. | | | | | | | | | | | | |
7.88%, 08/15/40 | | | 270,000 | | | | | | | | 243,000 | |
PulteGroup, Inc. | | | | | | | | | | | | |
7.88%, 06/15/32 | | | 1,500,000 | | | | | | | | 1,672,500 | |
6.38%, 05/15/33 | | | 470,000 | | | | | | | | 471,175 | |
6.00%, 02/15/35 | | | 180,000 | | | | | | | | 173,700 | |
QEP Resources, Inc. | | | | | | | | | | | | |
6.88%, 03/01/21D | | | 180,000 | | | | | | | | 192,150 | |
5.38%, 10/01/22 | | | 135,000 | | | | | | | | 136,012 | |
5.25%, 05/01/23 | | | 1,500,000 | | | | | | | | 1,511,250 | |
Quicken Loans, Inc. | | | | | | | | | | | | |
5.75%, 05/01/25 144A | | | 1,395,000 | | | | | | | | 1,363,612 | |
Qwest Capital Funding, Inc. | | | | | | | | | | | | |
6.50%, 11/15/18 | | | 225,000 | | | | | | | | 239,906 | |
Qwest Corporation | | | | | | | | | | | | |
6.88%, 09/15/33 | | | 2,124,000 | | | | | | | | 2,033,329 | |
7.25%, 10/15/35D | | | 110,000 | | | | | | | | 104,440 | |
R.R. Donnelley & Sons Co. | | | | | | | | | | | | |
7.00%, 02/15/22 | | | 38,000 | | | | | | | | 38,380 | |
6.00%, 04/01/24 | | | 465,000 | | | | | | | | 440,587 | |
Rain CII Carbon LLC | | | | | | | | | | | | |
8.50%, 01/15/21(E) | | | 100,000 | | | | | | | | 105,002 | |
Range Resources Corporation | | | | | | | | | | | | |
5.00%, 08/15/22 144A | | | 520,000 | | | | | | | | 519,350 | |
5.00%, 03/15/23 144AD | | | 1,450,000 | | | | | | | | 1,439,125 | |
4.88%, 05/15/25D | | | 240,000 | | | | | | | | 233,700 | |
Regency Energy Partners LP | | | | | | | | | | | | |
5.88%, 03/01/22 | | | 340,000 | | | | | | | | 374,421 | |
5.00%, 10/01/22 | | | 80,000 | | | | | | | | 84,878 | |
Reliance Holding USA, Inc. | | | | | | | | | | | | |
4.50%, 10/19/20 144A | | | 540,000 | | | | | | | | 570,076 | |
Reynolds Group Issuer, Inc. | | | | | | | | | | | | |
5.75%, 10/15/20 | | | 60,000 | | | | | | | | 61,950 | |
Rovi Corporation | | | | | | | | | | | | |
0.50%, 03/01/20 CONV | | | 985,000 | | | | | | | | 1,008,394 | |
RPM International, Inc. | | | | | | | | | | | | |
2.25%, 12/15/20 CONV | | | 47,000 | | | | | | | | 56,488 | |
Sabine Pass Liquefaction LLC | | | | | | | | | | | | |
5.63%, 02/01/21 | | | 440,000 | | | | | | | | 473,000 | |
Sanchez Energy Corporation | | | | | | | | | | | | |
7.75%, 06/15/21 | | | 70,000 | | | | | | | | 71,575 | |
6.13%, 01/15/23D | | | 170,000 | | | | | | | | 162,350 | |
Sealed Air Corporation | | | | | | | | | | | | |
4.88%, 12/01/22 144A | | | 25,000 | | | | | | | | 25,781 | |
5.50%, 09/15/25 144AD | | | 555,000 | | | | | | | | 574,425 | |
ServiceMaster Co. LLC | | | | | | | | | | | | |
7.45%, 08/15/27 | | | 1,195,000 | | | | | | | | 1,263,712 | |
Sidewinder Drilling, Inc. | | | | | | | | | | | | |
9.75%, 11/15/19 144A† | | | 820,000 | | | | | | | | 55,350 | |
Simmons Foods, Inc. | | | | | | | | | | | | |
7.88%, 10/01/21 144AD | | | 500,000 | | | | | | | | 516,250 | |
SM Energy Co. | | | | | | | | | | | | |
5.00%, 01/15/24 | | | 40,000 | | | | | | | | 37,900 | |
Southern Copper Corporation | | | | | | | | | | | | |
5.25%, 11/08/42 | | | 550,000 | | | | | | | | 506,633 | |
Southwestern Energy Co. | | | | | | | | | | | | |
6.70%, 01/23/25D | | | 280,000 | | | | | | | | 287,700 | |
Spectrum Brands, Inc. | | | | | | | | | | | | |
5.75%, 07/15/25 | | | 910,000 | | | | | | | | 948,675 | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
Springleaf Finance Corporation | | | | | | | | | | | | |
7.75%, 10/01/21D | | $ | 145,000 | | | | | | | $ | 153,519 | |
8.25%, 10/01/23 | | | 55,000 | | | | | | | | 57,750 | |
Sprint Capital Corporation | | | | | | | | | | | | |
6.88%, 11/15/28 | | | 2,865,000 | | | | | | | | 2,836,350 | |
8.75%, 03/15/32D | | | 645,000 | | | | | | | | 711,112 | |
Sprint Communications, Inc. | | | | | | | | | | | | |
11.50%, 11/15/21 | | | 570,000 | | | | | | | | 702,525 | |
Sprint Corporation | | | | | | | | | | | | |
7.88%, 09/15/23 | | | 680,000 | | | | | | | | 727,600 | |
Steel Dynamics, Inc. | | | | | | | | | | | | |
6.38%, 08/15/22D | | | 400,000 | | | | | | | | 419,000 | |
Targa Resources Partners LP | | | | | | | | | | | | |
4.13%, 11/15/19D | | | 2,125,000 | | | | | | | | 2,162,188 | |
4.25%, 11/15/23 | | | 110,000 | | | | | | | | 105,738 | |
6.75%, 03/15/24 | | | 1,050,000 | | | | | | | | 1,131,375 | |
5.13%, 02/01/25 144AD | | | 370,000 | | | | | | | | 368,612 | |
5.38%, 02/01/27 144A | | | 390,000 | | | | | | | | 388,050 | |
Taylor Morrison Communities, Inc. | | | | | | | | | | | | |
5.25%, 04/15/21 144A | | | 410,000 | | | | | | | | 422,300 | |
Tenet Healthcare Corporation | | | | | | | | | | | | |
5.00%, 03/01/19 144A | | | 560,000 | | | | | | | | 548,800 | |
7.50%, 01/01/22 144AD | | | 110,000 | | | | | | | | 114,950 | |
8.13%, 04/01/22 | | | 310,000 | | | | | | | | 294,035 | |
6.75%, 06/15/23 144AD | | | 285,000 | | | | | | | | 252,225 | |
6.88%, 11/15/31 | | | 85,000 | | | | | | | | 65,981 | |
Tesoro Logistics LP | | | | | | | | | | | | |
6.13%, 10/15/21 | | | 70,000 | | | | | | | | 73,675 | |
6.38%, 05/01/24D | | | 190,000 | | | | | | | | 204,250 | |
Textron, Inc. | | | | | | | | | | | | |
6.63%, 04/07/20(U) | | | 130,000 | | | | | | | | 181,460 | |
Time Warner Cable LLC | | | | | | | | | | | | |
8.75%, 02/14/19 | | | 190,000 | | | | | | | | 214,224 | |
8.25%, 04/01/19 | | | 40,000 | | | | | | | | 44,971 | |
5.50%, 09/01/41 | | | 60,000 | | | | | | | | 61,201 | |
4.50%, 09/15/42 | | | 105,000 | | | | | | | | 95,441 | |
Time Warner, Inc. | | | | | | | | | | | | |
4.00%, 01/15/22 | | | 100,000 | | | | | | | | 103,940 | |
TMX Finance LLC | | | | | | | | | | | | |
8.50%, 09/15/18 144A | | | 50,000 | | | | | | | | 43,875 | |
TransDigm, Inc. | | | | | | | | | | | | |
6.50%, 07/15/24 | | | 199,000 | | | | | | | | 209,199 | |
6.50%, 05/15/25 | | | 195,000 | | | | | | | | 204,994 | |
Transocean Proteus, Ltd. | | | | | | | | | | | | |
6.25%, 12/01/24 144AD | | | 1,605,000 | | | | | | | | 1,628,080 | |
TRI Pointe Group, Inc. | | | | | | | | | | | | |
4.38%, 06/15/19 | | | 100,000 | | | | | | | | 102,250 | |
5.88%, 06/15/24D | | | 5,000 | | | | | | | | 5,175 | |
TRU Taj LLC | | | | | | | | | | | | |
12.00%, 08/15/21 144A | | | 193,000 | | | | | | | | 190,105 | |
United Airlines Class A Pass-Through Trust Series 2014-1 | | | | | | | | | | | | |
4.00%, 10/11/27 | | | 228,804 | | | | | | | | 233,380 | |
United Airlines Class B Pass-Through Trust Series 2014-2 | | | | | | | | | | | | |
4.63%, 03/03/24 | | | 81,380 | | | | | | | | 83,313 | |
United Airlines Pass-Through Trust Series 2007-1 | | | | | | | | | | | | |
6.64%, 01/02/24 | | | 178,324 | | | | | | | | 192,367 | |
| | | | |
| 138 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
United Rentals North America, Inc. | | | | | | | | | | | | |
6.13%, 06/15/23 | | $ | 400,000 | | | | | | | $ | 426,000 | |
5.75%, 11/15/24D | | | 540,000 | | | | | | | | 569,700 | |
5.50%, 05/15/27 | | | 390,000 | | | | | | | | 387,562 | |
United States Steel Corporation | | | | | | | | | | | | |
6.65%, 06/01/37D | | | 760,000 | | | | | | | | 659,300 | |
US Airways Class A Pass-Through Trust Series 2012-1 | | | | | | | | | | | | |
5.90%, 04/01/26 | | | 259,217 | | | | | | | | 289,351 | |
US Airways Class A Pass-Through Trust Series 2012-2 | | | | | | | | | | | | |
4.63%, 12/03/26 | | | 206,435 | | | | | | | | 219,595 | |
US Airways Class B Pass-Through Trust Series 2012-1 | | | | | | | | | | | | |
8.00%, 04/01/21 | | | 441,833 | | | | | | | | 490,987 | |
Valeant Pharmaceuticals International | | | | | | | | | | | | |
6.38%, 10/15/20 144AD | | | 30,000 | | | | | | | | 25,922 | |
Verizon Communications, Inc. | | | | | | | | | | | | |
6.00%, 04/01/41 | | | 70,000 | | | | | | | | 80,672 | |
6.55%, 09/15/43 | | | 500,000 | | | | | | | | 626,679 | |
5.01%, 08/21/54 | | | 341,000 | | | | | | | | 341,795 | |
Wells Fargo & Co. | | | | | | | | | | | | |
4.48%, 01/16/24D | | | 124,000 | | | | | | | | 130,648 | |
5.88%, 12/29/49†D | | | 240,000 | | | | | | | | 252,276 | |
West Corporation | | | | | | | | | | | | |
4.75%, 07/15/21 144A | | | 50,000 | | | | | | | | 51,250 | |
5.38%, 07/15/22 144A | | | 690,000 | | | | | | | | 669,300 | |
Westlake Chemical Corporation | | | | | | | | | | | | |
4.63%, 02/15/21 144A | | | 360,000 | | | | | | | | 373,500 | |
4.88%, 05/15/23 144A | | | 20,000 | | | | | | | | 20,800 | |
WestRock MWV LLC | | | | | | | | | | | | |
8.20%, 01/15/30 | | | 145,000 | | | | | | | | 189,705 | |
7.95%, 02/15/31 | | | 45,000 | | | | | | | | 59,358 | |
WestRock RKT Co. | | | | | | | | | | | | |
4.00%, 03/01/23D | | | 430,000 | | | | | | | | 444,614 | |
WEX, Inc. | | | | | | | | | | | | |
4.75%, 02/01/23 144A | | | 440,000 | | | | | | | | 431,750 | |
Weyerhaeuser Co. REIT | | | | | | | | | | | | |
8.50%, 01/15/25 | | | 405,000 | | | | | | | | 524,482 | |
6.95%, 10/01/27 | | | 55,000 | | | | | | | | 66,290 | |
7.38%, 03/15/32 | | | 370,000 | | | | | | | | 469,710 | |
6.88%, 12/15/33 | | | 490,000 | | | | | | | | 597,492 | |
Whiting Petroleum Corporation | | | | | | | | | | | | |
6.50%, 10/01/18 | | | 430,000 | | | | | | | | 429,462 | |
5.00%, 03/15/19 | | | 755,000 | | | | | | | | 761,727 | |
5.75%, 03/15/21 | | | 470,000 | | | | | | | | 470,395 | |
6.25%, 04/01/23D | | | 1,210,000 | | | | | | | | 1,216,050 | |
William Lyon Homes, Inc. | | | | | | | | | | | | |
7.00%, 08/15/22D | | | 20,000 | | | | | | | | 20,800 | |
Williams Cos., Inc. | | | | | | | | | | | | |
7.50%, 01/15/31 | | | 60,000 | | | | | | | | 67,950 | |
5.75%, 06/24/44D | | | 440,000 | | | | | | | | 429,000 | |
Williams Partners LP | | | | | | | | | | | | |
6.13%, 07/15/22 | | | 150,000 | | | | | | | | 154,717 | |
Windstream Services LLC | | | | | | | | | | | | |
7.75%, 10/15/20 | | | 180,000 | | | | | | | | 185,940 | |
7.75%, 10/01/21D | | | 485,000 | | | | | | | | 501,005 | |
7.50%, 06/01/22D | | | 40,000 | | | | | | | | 39,400 | |
7.50%, 04/01/23D | | | 235,000 | | | | | | | | 227,362 | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
WPX Energy, Inc. | | | | | | | | | | | | |
8.25%, 08/01/23 | | $ | 430,000 | | | | | | | $ | 482,675 | |
XPO Logistics, Inc. | | | | | | | | | | | | |
6.50%, 06/15/22 144AD | | | 20,000 | | | | | | | | 21,075 | |
6.13%, 09/01/23 144A | | | 490,000 | | | | | | | | 513,888 | |
ZF North America Capital, Inc. | | | | | | | | | | | | |
4.50%, 04/29/22 144A | | | 150,000 | | | | | | | | 155,250 | |
4.75%, 04/29/25 144A | | | 550,000 | | | | | | | | 561,688 | |
| | | | | | | | | | | | |
Total Corporate Bonds
(Cost $180,782,803) | | | | | | | | | | | 194,042,444 | |
| | | | | | | | | | | | |
FOREIGN BONDS — 24.2% | | | | | | | | | |
Argentina — 0.5% | | | | | | | | | | | | |
Argentine Republic Government Inter- national Bond | | | | | | | | | | | | |
6.88%, 04/22/21 144A | | | 680,000 | | | | | | | | 725,900 | |
7.50%, 04/22/26 144A | | | 540,000 | | | | | | | | 568,350 | |
7.63%, 04/22/46 144AD | | | 300,000 | | | | | | | | 300,750 | |
YPF SA | | | | | | | | | | | | |
8.50%, 03/23/21 144A | | | 460,000 | | | | | | | | 494,546 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,089,546 | |
| | | | | | | | | | | | |
Armenia — 0.1% | | | | | | | | | | | | |
Armenia International Bond | | | | | | | | | | | | |
6.00%, 09/30/20 | | | 520,000 | | | | | | | | 538,512 | |
Australia — 0.6% | | | | | | | | | | | | |
FMG Resources August | | | | | | | | | | | | |
2006 Proprietary, Ltd. | | | | | | | | | | | | |
9.75%, 03/01/22 144A | | | 240,000 | | | | | | | | 279,617 | |
New South Wales Treasury Corporation | | | | | | | | | | | | |
6.00%, 02/01/18(A) | | | 2,620,000 | | | | | | | | 1,974,436 | |
Queensland Treasury Corporation | | | | | | | | | | | | |
7.13%, 09/18/17 144A(Z) | | | 275,000 | | | | | | | | 197,277 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,451,330 | |
| | | | | | | | | | | | |
Bermuda — 0.3%
Digicel, Ltd. | | | | | | | | | | | | |
6.75%, 03/01/23D | | | 540,000 | | | | | | | | 489,580 | |
NCL Corporation, Ltd. | | | | | | | | | | | | |
4.63%, 11/15/20 144A | | | 600,000 | | | | | | | | 613,500 | |
Ooredoo International Finance, Ltd. | | | | | | | | | | | | |
4.75%, 02/16/21 144A | | | 200,000 | | | | | | | | 213,514 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,316,594 | |
| | | | | | | | | | | | |
Brazil — 1.1% | | | | | | | | | | | | |
Brazil Notas do Tesouro Nacional Serie F | | | | | | | | | | | | |
0.00%, 01/01/21(B)W | | | 8,000,000 | | | | | | | | 2,373,255 | |
0.00%, 01/01/23(B)W | | | 1,825,000 | | | | | | | | 528,958 | |
Brazilian Government International Bond | | | | | | | | | | | | |
10.25%, 01/10/28(B) | | | 5,250,000 | | | | | | | | 1,510,220 | |
Oi Brasil Holdings Cooperatief UA | | | | | | | | | | | | |
5.75%, 02/10/22 144A# | | | 933,000 | | | | | | | | 300,892 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,713,325 | |
| | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 139 |
GLOBAL BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Par | | | Value | |
Canada — 3.9% | | | | | | | | | | | | |
1011778 BC ULC | | | | | | | | | | | | |
6.00%, 04/01/22 144AD | | $ | 890,000 | | | | | | | $ | 932,275 | |
Baytex Energy Corporation | | | | | | | | | | | | |
5.13%, 06/01/21 144A | | | 110,000 | | | | | | | | 99,825 | |
Bombardier, Inc. | | | | | | | | | | | | |
6.00%, 10/15/22 144AD | | | 1,645,000 | | | | | | | | 1,554,525 | |
Canadian Government Bond | | | | | | | | | | | | |
0.25%, 05/01/17(C) | | | 4,720,000 | | | | | | | | 3,512,131 | |
0.25%, 11/01/17(C) | | | 3,550,000 | | | | | | | | 2,636,093 | |
Entertainment One, Ltd. | | | | | | | | | | | | |
6.88%, 12/15/22 144A(U) | | | 180,000 | | | | | | | | 242,353 | |
HudBay Minerals, Inc. | | | | | | | | | | | | |
7.25%, 01/15/23 144A | | | 190,000 | | | | | | | | 197,125 | |
7.63%, 01/15/25 144A | | | 450,000 | | | | | | | | 468,846 | |
MEG Energy Corporation | | | | | | | | | | | | |
6.38%, 01/30/23 144A | | | 45,000 | | | | | | | | 40,275 | |
7.00%, 03/31/24 144A | | | 395,000 | | | | | | | | 359,450 | |
Methanex Corporation | | | | | | | | | | | | |
5.25%, 03/01/22D | | | 75,000 | | | | | | | | 77,436 | |
Ontario Generic Residual STRIP | | | | | | | | | | | | |
2.15%, 07/13/22(C)W | | | 2,600,000 | | | | | | | | 1,723,225 | |
3.08%, 03/08/29(C)W | | | 2,400,000 | | | | | | | | 1,235,509 | |
Province of Ontario | | | | | | | | | | | | |
2.10%, 09/08/18(C) | | | 3,500,000 | | | | | | | | 2,654,880 | |
Stone Container Finance Company of Canada II Escrow | | | | | | | | | | | | |
0.00%, 07/15/25+W | | | 330,000 | | | | | | | | 6,600 | |
Teck Resources, Ltd. | | | | | | | | | | | | |
8.00%, 06/01/21 144AD | | | 440,000 | | | | | | | | 485,100 | |
Teine Energy, Ltd. | | | | | | | | | | | | |
6.88%, 09/30/22 144A | | | 60,000 | | | | | | | | 61,575 | |
Valeant Pharmaceuticals International, Inc. | | | | | | | | | | | | |
5.38%, 03/15/20 144AD | | | 50,000 | | | | | | | | 42,500 | |
5.50%, 03/01/23 144A | | | 190,000 | | | | | | | | 143,450 | |
5.88%, 05/15/23 144A | | | 90,000 | | | | | | | | 68,400 | |
6.13%, 04/15/25 144A | | | 380,000 | | | | | | | | 286,900 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 16,828,473 | |
| | | | | | | | | | | | |
Cayman Islands — 0.6% | | | | | | | | | | | | |
Transocean, Inc. | | | | | | | | | | | | |
5.55%, 10/15/22D | | | 430,000 | | | | | | | | 379,475 | |
6.80%, 03/15/38D | | | 50,000 | | | | | | | | 39,000 | |
UPCB Finance IV, Ltd. | | | | | | | | | | | | |
5.38%, 01/15/25 144A | | | 250,000 | | | | | | | | 253,125 | |
Vale Overseas, Ltd. | | | | | | | | | | | | |
6.88%, 11/21/36 | | | 592,000 | | | | | | | | 586,080 | |
XLIT, Ltd. | | | | | | | | | | | | |
6.38%, 11/15/24 | | | 585,000 | | | | | | | | 683,891 | |
6.25%, 05/15/27 | | | 640,000 | | | | | | | | 757,619 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,699,190 | |
| | | | | | | | | | | | |
Chile — 0.2% | | | | | | | | | | | | |
AES Gener SA | | | | | | | | | | | | |
5.25%, 08/15/21 144A | | | 420,000 | | | | | | | | 441,243 | |
Corporation Nacional del Cobre de Chile | | | | | | | | | | | | |
3.88%, 11/03/21 144AD | | | 220,000 | | | | | | | | 224,888 | |
Empresa Nacional de Telecomunicaciones SA | | | | | | | | | | | | |
4.88%, 10/30/24 144AD | | | 220,000 | | | | | | | | 220,945 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 887,076 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
Colombia — 0.7% | | | | | | | | | | | | |
Colombia Government International Bond | | | | | | | | | | | | |
5.63%, 02/26/44 | | $ | 1,847,000 | | | | | | | $ | 1,911,645 | |
Colombian TES | | | | | | | | | | | | |
10.00%, 07/24/24(X) | | | 23,100,000 | | | | | | | | 9,103 | |
Ecopetrol SA | | | | | | | | | | | | |
5.88%, 09/18/23D | | | 190,000 | | | | | | | | 201,590 | |
4.13%, 01/16/25 | | | 170,000 | | | | | | | | 159,630 | |
5.38%, 06/26/26 | | | 80,000 | | | | | | | | 79,800 | |
Empresa de Energia de Bogota SA ESP | | | | | | | | | | | | |
6.13%, 11/10/21 144A | | | 250,000 | | | | | | | | 258,125 | |
Transportadora de Gas Internacional SA ESP | | | | | | | | | | | | |
5.70%, 03/20/22 | | | 260,000 | | | | | | | | 269,100 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,888,993 | |
| | | | | | | | | | | | |
Ecuador — 0.1% | | | | | | | | | | | | |
Ecuador Government International Bond | | | | | | | | | | | | |
9.65%, 12/13/26 144A | | | 580,000 | | | | | | | | 594,500 | |
| | | | | | | | | | | | |
France — 1.0% | | | | | | | | | | | | |
3AB Optique Developpement SAS | | | | | | | | | | | | |
5.63%, 04/15/19(E) | | | 660,000 | | | | | | | | 708,334 | |
AXA SA | | | | | | | | | | | | |
6.21%, 10/29/49(E)† | | | 210,000 | | | | | | | | 230,127 | |
Electricite de France SA | | | | | | | | | | | | |
5.25%, 01/29/49 144A† | | | 380,000 | | | | | | | | 358,625 | |
5.63%, 12/29/49 144A† | | | 680,000 | | | | | | | | 646,850 | |
Europcar Groupe SA | | | | | | | | | | | | |
5.75%, 06/15/22 144A(E) | | | 170,000 | | | | | | | | 189,738 | |
SFR Group SA | | | | | | | | | | | | |
5.63%, 05/15/24 144A(E) | | | 160,000 | | | | | | | | 178,188 | |
Societe Generale SA | | | | | | | | | | | | |
5.63%, 11/24/45 144AD | | | 1,985,000 | | | | | | | | 2,061,357 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,373,219 | |
| | | | | | | | | | | | |
Germany — 0.8% | | | | | | | | | | | | |
Bundesrepublik Deutschland | | | | | | | | | | | | |
1.00%, 08/15/24(E) | | | 2,180,000 | | | | | | | | 2,493,470 | |
CeramTec Group GmbH | | | | | | | | | | | | |
8.25%, 08/15/21(E) | | | 580,000 | | | | | | | | 652,886 | |
IHO Verwaltungs GmbH Cash coupon 4.13% or PIK | | | | | | | | | | | | |
4.88%, 09/15/21 144A | | | 210,000 | | | | | | | | 212,625 | |
Cash coupon 4.75% or PIK | | | | | | | | | | | | |
5.50%, 09/15/26 144A | | | 210,000 | | | | | | | | 203,175 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,562,156 | |
| | | | | | | | | | | | |
Honduras — 0.1% | | | | | | | | | | | | |
Honduras Government International Bond | | | | | | | | | | | | |
7.50%, 03/15/24 | | | 460,000 | | | | | | | | 493,764 | |
| | | | | | | | | | | | |
India — 0.2% | | | | | | | | | | | | |
ICICI Bank, Ltd. | | | | | | | | | | | | |
4.80%, 05/22/19 144A | | | 920,000 | | | | | | | | 969,677 | |
| | | | | | | | | | | | |
Indonesia — 0.6% | | | | | | | | | | | | |
Indonesia Government International Bond | | | | | | | | | | | | |
5.88%, 01/15/24 144A | | | 400,000 | | | | | | | | 442,322 | |
| | | | |
| 140 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
6.63%, 02/17/37 | | $ | 225,000 | | | | | | | $ | 261,031 | |
5.25%, 01/17/42 144AD | | | 1,710,000 | | | | | | | | 1,730,200 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,433,553 | |
| | | | | | | | | | | | |
Ireland — 0.4% | | | | | | | | | | | | |
Ardagh Packaging Finance PLC | | | | | | | | | | | | |
4.63%, 05/15/23 144A | | | 250,000 | | | | | | | | 248,908 | |
7.25%, 05/15/24 144A | | | 460,000 | | | | | | | | 486,450 | |
GE Capital International Funding Co. | | | | | | | | | | | | |
3.37%, 11/15/25 144A | | | 246,000 | | | | | | | | 250,364 | |
4.42%, 11/15/35 | | | 569,000 | | | | | | | | 597,412 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,583,134 | |
| | | | | | | | | | | | |
Italy — 0.4% | | | | | | | | | | | | |
Enel SpA | | | | | | | | | | | | |
7.75%, 09/10/75(U)† | | | 440,000 | | | | | | | | 594,842 | |
Telecom Italia Capital SA | | | | | | | | | | | | |
6.38%, 11/15/33D | | | 995,000 | | | | | | | | 955,200 | |
6.00%, 09/30/34 | | | 250,000 | | | | | | | | 232,500 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,782,542 | |
| | | | | | | | | | | | |
Jersey — 0.1% | | | | | | | | | | | | |
Adient Global Holdings, Ltd. | | | | | | | | | | | | |
4.88%, 08/15/26 144AD | | | 430,000 | | | | | | | | 422,475 | |
| | | | | | | | | | | | |
Kenya — 0.1% | | | | | | | | | | | | |
Kenya Government International Bond | | | | | | | | | | | | |
6.88%, 06/24/24 144A | | | 470,000 | | | | | | | | 446,003 | |
| | | | | | | | | | | | |
Luxembourg — 1.1% | | | | | | | | | | | | |
Altice Financing SA | | | | | | | | | | | | |
6.63%, 02/15/23 144A | | | 400,000 | | | | | | | | 412,000 | |
7.50%, 05/15/26 144A | | | 260,000 | | | | | | | | 271,050 | |
ArcelorMittal | | | | | | | | | | | | |
6.50%, 03/01/21 | | | 30,000 | | | | | | | | 33,000 | |
8.00%, 10/15/39 STEP | | | 510,000 | | | | | | | | 562,194 | |
7.75%, 03/01/41 STEPD | | | 690,000 | | | | | | | | 738,300 | |
Coveris Holdings SA | | | | | | | | | | | | |
7.88%, 11/01/19 144AD | | | 210,000 | | | | | | | | 209,475 | |
Evraz Group SA | | | | | | | | | | | | |
6.75%, 04/27/18 144A | | | 440,000 | | | | | | | | 459,272 | |
6.50%, 04/22/20 144A | | | 480,000 | | | | | | | | 503,779 | |
Globe Luxembourg SCA | | | | | | | | | | | | |
9.63%, 05/01/18 144A | | | 200,000 | | | | | | | | 198,500 | |
Intelsat Jackson Holdings SA | | | | | | | | | | | | |
7.25%, 10/15/20D | | | 80,000 | | | | | | | | 62,400 | |
7.50%, 04/01/21 | | | 30,000 | | | | | | | | 23,025 | |
5.50%, 08/01/23D | | | 330,000 | | | | | | | | 224,004 | |
LSF9 Balta Issuer SA | | | | | | | | | | | | |
7.75%, 09/15/22 144A(E) | | | 360,000 | | | | | | | | 418,753 | |
Ultrapar International SA | | | | | | | | | | | | |
5.25%, 10/06/26 144AD | | | 420,000 | | | | | | | | 413,658 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,529,410 | |
| | | | | | | | | | | | |
Marshall Islands — 0.0% | | | | | | | | | | | | |
Navios Maritime Acquisition Corporation | | | | | | | | | | | | |
8.13%, 11/15/21 144A | | | 90,000 | | | | | | | | 76,950 | |
| | | | | | | | | | | | |
Mexico — 2.3% | | | | | | | | | | | | |
Cemex SAB de CV | | | | | | | | | | | | |
6.50%, 12/10/19 144AD | | | 1,100,000 | | | | | | | | 1,166,000 | |
Mexican Bonos | | | | | | | | | | | | |
6.50%, 06/09/22(M) | | | 45,803,100 | | | | | | | | 2,135,667 | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
8.00%, 12/07/23(M) | | $ | 41,500,000 | | | | | | | $ | 2,079,337 | |
10.00%, 12/05/24(M) | | | 31,500,000 | | | | | | | | 1,760,928 | |
7.50%, 06/03/27(M) | | | 7,500,000 | | | | | | | | 360,712 | |
8.50%, 05/31/29(M) | | | 2,000,000 | | | | | | | | 102,816 | |
7.75%, 05/29/31(M) | | | 3,000,000 | | | | | | | | 144,699 | |
7.75%, 11/13/42(M) | | | 22,750,000 | | | | | | | | 1,083,349 | |
Petroleos Mexicanos | | | | | | | | | | | | |
5.50%, 01/21/21 | | | 750,000 | | | | | | | | 772,500 | |
6.50%, 06/02/41 | | | 135,000 | | | | | | | | 127,109 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 9,733,117 | |
| | | | | | | | | | | | |
Morocco & Antilles — 0.3% | | | | | | | | | | | | |
OCP SA | | | | | | | | | | | | |
5.63%, 04/25/24 144A | | | 550,000 | | | | | | | | 570,877 | |
4.50%, 10/22/25 144AD | | | 520,000 | | | | | | | | 498,583 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,069,460 | |
| | | | | | | | | | | | |
Netherlands — 2.2% | | | | | | | | | | | | |
Alcoa Nederland Holding BV | | | | | | | | | | | | |
6.75%, 09/30/24 144A | | | 380,000 | | | | | | | | 413,250 | |
7.00%, 09/30/26 144AD | | | 250,000 | | | | | | | | 274,375 | |
Bharti Airtel International Netherlands BV | | | | | | | | | | | | |
5.35%, 05/20/24 144A | | | 280,000 | | | | | | | | 294,176 | |
CIMPOR Financial Operations BV | | | | | | | | | | | | |
5.75%, 07/17/24 144AD | | | 360,000 | | | | | | | | 301,536 | |
Cooperatieve Rabobank UA | | | | | | | | | | | | |
5.75%, 12/01/43 | | | 880,000 | | | | | | | | 1,023,505 | |
DPx Holdings BV | | | | | | | | | | | | |
7.50%, 02/01/22 144A | | | 90,000 | | | | | | | | 95,288 | |
EDP Finance BV | | | | | | | | | | | | |
4.90%, 10/01/19 144A | | | 1,600,000 | | | | | | | | 1,679,843 | |
4.13%, 01/15/20 144A | | | 540,000 | | | | | | | | 553,288 | |
LyondellBasell Industries NV | | | | | | | | | | | | |
5.75%, 04/15/24 | | | 260,000 | | | | | | | | 297,988 | |
Majapahit Holding BV | | | | | | | | | | | | |
7.75%, 01/20/20D | | | 890,000 | | | | | | | | 1,001,250 | |
Marfrig Holdings Europe BV | | | | | | | | | | | | |
8.00%, 06/08/23 144A | | | 480,000 | | | | | | | | 498,048 | |
Petrobras Global Finance BV | | | | | | | | | | | | |
4.38%, 05/20/23 | | | 250,000 | | | | | | | | 219,050 | |
6.25%, 03/17/24 | | | 1,160,000 | | | | | | | | 1,115,572 | |
6.88%, 01/20/40D | | | 390,000 | | | | | | | | 336,648 | |
6.75%, 01/27/41 | | | 270,000 | | | | | | | | 228,150 | |
5.63%, 05/20/43 | | | 275,000 | | | | | | | | 204,655 | |
Telefonica Europe BV | | | | | | | | | | | | |
6.75%, 11/29/49(U)† | | | 300,000 | | | | | | | | 385,860 | |
VimpelCom Holdings BV | | | | | | | | | | | | |
7.50%, 03/01/22 | | | 200,000 | | | | | | | | 222,760 | |
Ziggo Bond Finance BV | | | | | | | | | | | | |
5.88%, 01/15/25 144A | | | 200,000 | | | | | | | | 201,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 9,346,242 | |
| | | | | | | | | | | | |
New Zealand — 0.4% | | | | | | | | | | | | |
New Zealand Government Bond | | | | | | | | | | | | |
5.00%, 03/15/19(Z) | | | 2,385,000 | | | | | | | | 1,753,721 | |
| | | | | | | | | | | | |
Norway — 0.4% | | | | | | | | | | | | |
Norway Government Bond | | | | | | | | | | | | |
4.25%, 05/19/17 144A(K) | | | 12,330,000 | | | | | | | | 1,447,542 | |
4.50%, 05/22/19 144A(K) | | | 172,000 | | | | | | | | 21,691 | |
3.75%, 05/25/21 144A(K) | | | 129,000 | | | | | | | | 16,642 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,485,875 | |
| | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 141 |
GLOBAL BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Par | | | Value | |
Panama — 0.0% | | | | | | | | | | | | |
Panama Government International Bond | | | | | | | | | | | | |
6.70%, 01/26/36 | | $ | 3,000 | | | | | | | $ | 3,655 | |
| | | | | | | | | | | | |
Peru — 0.1% | | | | | | | | | | | | |
Transportadora de Gas del Peru SA | | | | | | | | | | | | |
4.25%, 04/30/28 144A | | | 550,000 | | | | | | | | 544,500 | |
| | | | | | | | | | | | |
Philippines — 0.1% | | | | | | | | | | | | |
Philippine Government International Bond | | | | | | | | | | | | |
4.00%, 01/15/21D | | | 200,000 | | | | | | | | 212,738 | |
| | | | | | | | | | | | |
Portugal — 0.3% | | | | | | | | | | | | |
Portugal Government International Bond | | | | | | | | | | | | |
5.13%, 10/15/24 144A | | | 1,210,000 | | | | | | | | 1,176,880 | |
| | | | | | | | | | | | |
Russia — 0.5% | | | | | | | | | | | | |
Russian Federal Bond - OFZ | | | | | | | | | | | | |
8.15%, 02/03/27(Q) | | | 129,029,000 | | | | | | | | 2,102,814 | |
| | | | | | | | | | | | |
Saudi Arabia — 0.3% | | | | | | | | | | | | |
Saudi Government International Bond | | | | | | | | | | | | |
2.38%, 10/26/21 144A | | | 395,000 | | | | | | | | 383,893 | |
3.25%, 10/26/26 144A | | | 875,000 | | | | | | | | 830,735 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,214,628 | |
| | | | | | | | | | | | |
Singapore — 0.2% | | | | | | | | | | | | |
BOC Aviation, Ltd. | | | | | | | | | | | | |
3.00%, 03/30/20 144A | | | 1,000,000 | | | | | | | | 1,002,589 | |
| | | | | | | | | | | | |
Spain — 0.0% | | | | | | | | | | | | |
Telefonica Emisiones SA Unipersonal | | | | | | | | | | | | |
5.13%, 04/27/20 | | | 75,000 | | | | | | | | 80,421 | |
| | | | | | | | | | | | |
Supranational — 0.5% | | | | | | | | | | | | |
Inter-American Development Bank | | | | | | | | | | | | |
6.00%, 12/15/17(Z) | | | 3,250,000 | | | | | | | | 2,330,324 | |
| | | | | | | | | | | | |
Turkey — 0.2% | | | | | | | | | | | | |
Turk Telekomunikasyon AS | | | | | | | | | | | | |
4.88%, 06/19/24 144A | | | 680,000 | | | | | | | | 637,520 | |
Turkey Government International Bond | | | | | | | | | | | | |
4.88%, 04/16/43 | | | 500,000 | | | | | | | | 404,663 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,042,183 | |
| | | | | | | | | | | | |
United Kingdom — 3.3% | | | | | | | | | |
Anglian Water Osprey Financing PLC | | | | | | | | | | | | |
7.00%, 01/31/18(U) | | | 310,000 | | | | | | | | 406,020 | |
Annington Finance No. 4 PLC | | | | | | | | | | | | |
1.57%, 01/10/23(U)† | | | 304,474 | | | | | | | | 375,761 | |
Barclays Bank PLC | | | | | | | | | | | | |
7.63%, 11/21/22 | | | 680,000 | | | | | | | | 747,575 | |
Boparan Finance PLC | | | | | | | | | | | | |
5.50%, 07/15/21(U)D | | | 270,000 | | | | | | | | 326,511 | |
Ensco PLC | | | | | | | | | | | | |
4.70%, 03/15/21D | | | 70,000 | | | | | | | | 67,684 | |
5.75%, 10/01/44 | | | 60,000 | | | | | | | | 43,800 | |
HBOS PLC | | | | | | | | | | | | |
6.75%, 05/21/18 144A | | | 500,000 | | | | | | | | 528,499 | |
HSBC Holdings PLC | | | | | | | | | | | | |
6.00%, 06/10/19(E) | | | 270,000 | | | | | | | | 324,064 | |
6.38%, 12/29/49†D | | | 600,000 | | | | | | | | 598,500 | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
Interoute Finco PLC | | | | | | | | | | | | |
7.38%, 10/15/20 144A(E)D | | $ | 600,000 | | | | | | | $ | 682,183 | |
KCA Deutag UK Finance PLC | | | | | | | | | | | | |
7.25%, 05/15/21 144A | | | 540,000 | | | | | | | | 481,950 | |
Lloyds Bank PLC | | | | | | | | | | | | |
6.50%, 03/24/20(E) | | | 326,000 | | | | | | | | 403,696 | |
Lloyds Banking Group PLC | | | | | | | | | | | | |
5.30%, 12/01/45 144A | | | 1,581,000 | | | | | | | | 1,638,779 | |
Paragon Offshore PLC | | | | | | | | | | | | |
6.75%, 07/15/22 144A# | | | 177,000 | | | | | | | | 31,860 | |
7.25%, 08/15/24 144A# | | | 410,000 | | | | | | | | 73,800 | |
Pizzaexpress Financing 2 PLC | | | | | | | | | | | | |
6.63%, 08/01/21(U) | | | 400,000 | | | | | | | | 502,822 | |
Rio Tinto Finance USA PLC | | | | | | | | | | | | |
4.13%, 08/21/42D | | | 145,000 | | | | | | | | 142,976 | |
Royal Bank of Scotland Group PLC | | | | | | | | | | | | |
6.10%, 06/10/23 | | | 1,880,000 | | | | | | | | 1,970,426 | |
6.00%, 12/19/23 | | | 275,000 | | | | | | | | 286,048 | |
3.63%, 03/25/24(E)†D | | | 890,000 | | | | | | | | 936,680 | |
Santander UK Group Holdings PLC | | | | | | | | | | | | |
7.38%, 12/29/49(U)†D | | | 390,000 | | | | | | | | 483,739 | |
Southern Gas Networks PLC | | | | | | | | | | | | |
4.88%, 12/21/20(U) | | | 270,000 | | | | | | | | 381,746 | |
Standard Chartered PLC | | | | | | | | | | | | |
5.13%, 06/06/34(U)D | | | 321,000 | | | | | | | | 394,810 | |
Synlab Bondco PLC | | | | | | | | | | | | |
6.25%, 07/01/22(E)D | | | 270,000 | | | | | | | | 311,217 | |
Synlab Unsecured Bondco PLC | | | | | | | | | | | | |
8.25%, 07/01/23(E)D | | | 170,000 | | | | | | | | 195,504 | |
Tesco Property Finance 3 PLC | | | | | | | | | | | | |
5.74%, 04/13/40(U) | | | 275,225 | | | | | | | | 328,372 | |
Tesco Property Finance 6 PLC | | | | | | | | | | | | |
5.41%, 07/13/44(U) | | | 591,196 | | | | | | | | 679,156 | |
Virgin Media Finance PLC | | | | | | | | | | | | |
6.38%, 10/15/24 144A(U) | | | 360,000 | | | | | | | | 471,382 | |
Virgin Media Secured Finance PLC | | | | | | | | | | | | |
5.50%, 01/15/21(U) | | | 100,000 | | | | | | | | 136,726 | |
5.50%, 08/15/26 144A | | | 200,000 | | | | | | | | 200,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 14,152,286 | |
| | | | | | | | | | | | |
Virgin Islands (British) — 0.2% | | | | | | | | | |
GTL Trade Finance, Inc. | | | | | | | | | | | | |
7.25%, 04/16/44 144A | | | 730,000 | | | | | | | | 685,287 | |
| | | | | | | | | | | | |
Total Foreign Bonds
(Cost $114,478,501) | | | | | | | | | | | 103,617,142 | |
| | | | | | | | | | | | |
FOREIGN GOVERNMENT | | | | | | | | | |
INFLATION-LINKED BOND — 0.7% | |
Brazil — 0.7% | | | | | | | | | | | | |
Brazil Notas do Tesouro Nacional Serie B | | | | | | | | | | | | |
6.00%, 08/15/50+(B)
(Cost $2,934,118) | | | 3,263,000 | | | | | | | | 3,077,615 | |
| | | | | | | | | | | | |
LOAN AGREEMENTS — 2.2% | | | | | | | | | |
1011778 BC ULC | | | | | | | | | | | | |
Term B-2 Loan | | | | | | | | | | | | |
3.75%, 12/12/21 | | | 496,195 | | | | | | | | 500,229 | |
Air Medical Group Holdings, Inc. Term B Loan | | | | | | | | | | | | |
4.25%, 04/28/2022 | | | 298,485 | | | | | | | | 297,739 | |
| | | | |
| 142 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
American Airlines, Inc. Term B Loan | | | | | | | | | | | | |
3.26%, 06/27/20 | | $ | 984,994 | | | | | | | $ | 989,357 | |
American Builders & Contractors Supply Co., Inc. Term B Loan | | | | | | | | | | | | |
3.52%, 10/31/23 | | | 543,561 | | | | | | | | 548,165 | |
Berry Plastics Group, Inc. Term H Loan | | | | | | | | | | | | |
3.75%, 10/01/22 | | | 284,961 | | | | | | | | 287,633 | |
CSC Holdings LLC Term B Loan | | | | | | | | | | | | |
3.88%, 10/11/24 | | | 263,158 | | | | | | | | 265,734 | |
Energy Future Intermediate Holding Co., LLC DIP Term Loan | | | | | | | | | | | | |
4.25%, 06/30/17 | | | 347,944 | | | | | | | | 349,945 | |
First Data Corporation Term Loan | | | | | | | | | | | | |
0.00%, 03/24/21 S | | | 541,185 | | | | | | | | 547,273 | |
Hilton Worldwide Finance LLC Term B-1 Loan | | | | | | | | | | | | |
3.50%, 10/26/20 | | | 41,428 | | | | | | | | 41,767 | |
Hilton Worldwide Finance LLC Term B-2 Loan | | | | | | | | | | | | |
3.26%, 10/25/23 | | | 563,256 | | | | | | | | 569,311 | |
Magnum Hunter Resources Corporation Exit Term Loan | | | | | | | | | | | | |
8.00%, 05/06/19+ | | | 41,670 | | | | | | | | 41,879 | |
Nord Anglia Education Finance LLC Term B Loan | | | | | | | | | | | | |
5.00%, 03/31/21 | | | 992,366 | | | | | | | | 1,006,011 | |
Party City Holdings, Inc. Term B Loan | | | | | | | | | | | | |
0.00%, 08/19/22 S | | | 679,601 | | | | | | | | 685,337 | |
Petco Animal Supplies, Inc. Term B-1 Loan | | | | | | | | | | | | |
5.00%, 01/26/23 | | | 408,970 | | | | | | | | 410,724 | |
PetSmart, Inc. Term B Loan | | | | | | | | | | | | |
0.00%, 3/10/2022 S | | | 985,000 | | | | | | | | 987,462 | |
Univision Communications, Inc. Term C-4 Loan | | | | | | | | | | | | |
4.00%, 03/01/20 | | | 732,361 | | | | | | | | 736,023 | |
Valeant Pharmaceuticals International, Inc. Term BF1 Loan | | | | | | | | | | | | |
5.50%, 04/01/22 | | | 707,350 | | | | | | | | 707,485 | |
Virgin Media Bristol LLC Term I Loan | | | | | | | | | | | | |
0.00%, 01/31/25 S | | | 413,428 | | | | | | | | 415,032 | |
| | | | | | | | | | | | |
Total Loan Agreements
(Cost $9,321,365) | | | | | | | | | | | 9,387,106 | |
| | | | | | | | | | | | |
MORTGAGE-BACKED SECURITIES — 2.0% | |
Banc of America Funding Corporation Series 2015-R3 | | | | | | | | | | | | |
0.84%, 06/29/37 144A | | | 2,515,862 | | | | | | | | 1,198,512 | |
0.93%, 06/29/37 144A† | | | 683,486 | | | | | | | | 675,797 | |
Commercial Mortgage Trust Series 2007-CD4 | | | | | | | | | | | | |
5.40%, 12/11/49† | | | 164,911 | | | | | | | | 142,648 | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
Credit Suisse Commercial Mortgage Trust Series 2006-C5 | | | | | | | | | | | | |
5.37%, 12/15/39 | | $ | 180,348 | | | | | | | $ | 172,225 | |
Credit Suisse Commercial Mortgage Trust Series 2007-C5 | | | | | | | | | | | | |
5.70%, 09/15/40† | | | 145,194 | | | | | | | | 147,270 | |
5.87%, 09/15/40† | | | 240,000 | | | | | | | | 226,008 | |
CSMC Trust Series 2015-SAMZ | | | | | | | | | | | | |
6.44%, 08/15/22 144A† | | | 1,000,000 | | | | | | | | 999,910 | |
Fannie Mae Connecticut Avenue Securities Series 2014-C02 | | | | | | | | | | | | |
3.36%, 05/25/24† | | | 1,600,000 | | | | | | | | 1,580,000 | |
Fannie Mae Connecticut Avenue Securities Series 2015-C03 | | | | | | | | | | | | |
5.76%, 07/25/25† | | | 1,390,000 | | | | | | | | 1,496,318 | |
JP Morgan Chase Commercial Mortgage Securities Trust Series 2007-LD12 | | | | | | | | | | | | |
6.04%, 02/15/51† | | | 40,000 | | | | | | | | 36,701 | |
Lone Star Portfolio Trust Series 2015-LSP | | | | | | | | | | | | |
7.92%, 09/15/20 144A† | | | 762,759 | | | | | | | | 755,253 | |
7.60%, 09/15/28 144A† | | | 767,900 | | | | | | | | 738,456 | |
Morgan Stanley Resecuritization Trust Series 2015-R6 | | | | | | | | | | | | |
0.85%, 07/26/45 144A† | | | 1,144,798 | | | | | | | | 483,086 | |
| | | | | | | | | | | | |
Total Mortgage-Backed Securities
(Cost $8,556,935) | | | | | | | | | | | 8,652,184 | |
| | | | | | | | | | | | |
MUNICIPAL BOND — 0.1% | | | | | | | | | |
State of Illinois, General Obligation | | | | | | | | | | | | |
5.10%, 06/01/33 (Cost $126,363) | | | 160,000 | | | | | | | | 141,571 | |
| | | | | | | | | | | | |
| | |
| | | Notional
Amount | | | | |
PURCHASED OPTION — 0.2% | | | | | | | | | |
Call Option — 0.2% | | | | | | | | | | | | |
U.S. Dollar vs. Japanese Yen, Strike Price $104.00, Expires 01/11/17 (GSC)
(Cost $165,807) | | $ | 81,000 | | | | | | | | 871,293 | |
| | | | | | | | | | | | |
| | |
| | | Par | | | | |
U.S. TREASURY OBLIGATIONS — 15.0% | |
U.S. Treasury Bill | | | | | | | | | | | | |
0.60%, 06/22/17W | | | 10,500,000 | | | | | | | | 10,469,540 | |
| | | | | | | | | | | | |
U.S. Treasury Bonds | | | | | | | | | | | | |
3.50%, 02/15/39 | | | 860,000 | | | | | | | | 940,810 | |
4.25%, 05/15/39 | | | 40,000 | | | | | | | | 48,579 | |
3.88%, 08/15/40 | | | 30,000 | | | | | | | | 34,455 | |
2.75%, 08/15/42 | | | 120,000 | | | | | | | | 113,402 | |
3.13%, 02/15/43 | | | 9,116,000 | | | | | | | | 9,239,030 | |
2.88%, 05/15/43D | | | 120,000 | | | | | | | | 115,941 | |
3.00%, 05/15/45 | | | 40,000 | | | | | | | | 39,469 | |
| | | | |
| | See Notes to Financial Statements. | | 143 |
GLOBAL BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Par | | | Value | |
3.00%, 11/15/45 | | $ | 920,000 | | | | | | | $ | 907,637 | |
2.50%, 05/15/46 | | | 820,000 | | | | | | | | 728,743 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 12,168,066 | |
| | | | | | | | | | | | |
U.S. Treasury Notes | | | | | | | | | | | | |
0.88%, 04/15/17 | | | 30,000 | | | | | | | | 30,033 | |
0.75%, 10/31/17D | | | 10,780,000 | | | | | | | | 10,771,786 | |
0.63%, 04/30/18 | | | 530,000 | | | | | | | | 527,526 | |
0.75%, 08/31/18 | | | 4,000,000 | | | | | | | | 3,975,472 | |
1.38%, 09/30/18 | | | 250,000 | | | | | | | | 250,976 | |
1.50%, 12/31/18 | | | 5,875,000 | | | | | | | | 5,910,115 | |
1.63%, 06/30/19 | | | 10,000 | | | | | | | | 10,076 | |
1.25%, 10/31/19 | | | 110,000 | | | | | | | | 109,549 | |
3.63%, 02/15/21D | | | 14,549,000 | | | | | | | | 15,620,563 | |
2.00%, 02/15/22 | | | 120,000 | | | | | | | | 120,204 | |
1.63%, 08/15/22 | | | 3,380,000 | | | | | | | | 3,296,886 | |
2.75%, 02/15/24 | | | 150,000 | | | | | | | | 154,951 | |
2.25%, 11/15/24 | | | 30,000 | | | | | | | | 29,821 | |
2.00%, 02/15/25 | | | 100,000 | | | | | | | | 97,348 | |
1.63%, 02/15/26 | | | 180,000 | | | | | | | | 168,219 | |
1.63%, 05/15/26 | | | 470,000 | | | | | | | | 438,358 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 41,511,883 | |
| | | | | | | | | | | | |
Total U.S. Treasury Obligations
(Cost $63,695,549) | | | | | | | | 64,149,489 | |
| | | | | | | | | | | | |
| | |
| | | Shares | | | | |
COMMON STOCKS — 1.0% | | | | | | | | | |
Consumer Discretionary — 0.3% | | | | | | | | | |
Ford Motor Co. | | | 96,849 | | | | | | | | 1,174,778 | |
| | | | | | | | | | | | |
Energy — 0.1% | | | | | | | | | | | | |
Hercules Offshore, Inc.+D* | | | 46,644 | | | | | | | | 52,708 | |
Magnum Hunter Resources Corporation* | | | 24,068 | | | | | | | | 264,750 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 317,458 | |
| | | | | | | | | | | | |
Financial Services — 0.0% | | | | | | | | | |
Weyerhaeuser Co. REIT | | | 9,387 | | | | | | | | 282,459 | |
| | | | | | | | | | | | |
Healthcare — 0.2% | | | | | | | | | | | | |
Bristol-Myers Squibb Co. | | | 15,400 | | | | | | | | 899,976 | |
| | | | | | | | | | | | |
Technology — 0.4% | | | | | | | | | | | | |
Corning, Inc. | | | 70,534 | | | | | | | | 1,711,860 | |
| | | | | | | | | | | | |
Total Common Stocks
(Cost $5,534,008) | | | | | | | | | | | 4,386,531 | |
| | | | | | | | | | | | |
FOREIGN COMMON STOCKS — 0.1% | |
Canada — 0.0% | | | | | | | | | | | | |
Pacific Exploration and Production Corporation* | | | 2,827 | | | | | | | | 115,047 | |
| | | | | | | | | | | | |
Norway — 0.0% | | | | | | | | | | | | |
Deep Ocean Group Holding+* | | | 8,860 | | | | | | | | 34,200 | |
| | | | | | | | | | | | |
Spain — 0.1% | | | | | | | | | | | | |
Repsol SA ADRD | | | 13,627 | | | | | | | | 192,140 | |
Telefonica SA ADRD | | | 14,683 | | | | | | | | 135,084 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 327,224 | |
| | | | | | | | | | | | |
Total Foreign Common Stocks
(Cost $812,034) | | | | | | | | 476,471 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
PREFERRED STOCKS — 0.5% | | | | | | | | | |
Arconic, Inc. | | | | | | | | | | | | |
5.38%, 10/01/17 CONV | | | 9,400 | | | | | | | $ | 284,068 | |
Bank of America Corporation | | | | | | | | | | | | |
7.25%, 12/31/49 CONV | | | 602 | | | | | | | | 702,414 | |
Chesapeake Energy Corporation | | | | | | | | | | | | |
4.50%, 12/31/49 CONV | | | 1,229 | | | | | | | | 56,964 | |
5.00%, 12/31/49 CONV | | | 3,950 | | | | | | | | 211,917 | |
5.75%, 12/31/49 CONV 144AD | | | 50 | | | | | | | | 27,469 | |
5.75%, 12/31/49 CONVD | | | 30 | | | | | | | | 16,481 | |
5.75%, 12/31/49 CONV | | | 780 | | | | | | | | 467,610 | |
El Paso Energy Capital Trust I | | | | | | | | | | | | |
4.75%, 03/31/28 CONV | | | 3,880 | | | | | | | | 192,642 | |
iStar, Inc. REIT | | | | | | | | | | | | |
4.50%, 12/31/49 CONV | | | 50 | | | | | | | | 2,600 | |
| | | | | | | | | | | | |
Total Preferred Stocks
(Cost $1,972,490) | | | | | | | | | | | 1,962,165 | |
| | | | | | | | | | | | |
MONEY MARKET FUNDS — 17.9% | | | | | | | | | |
GuideStone Money Market Fund (Investor Class)¥ | | | 31,918,034 | | | | | | | | 31,918,034 | |
Northern Institutional Liquid Assets Portfolio§ | | | 44,809,823 | | | | | | | | 44,809,823 | |
| | | | | | | | | | | | |
Total Money Market Funds (Cost $76,727,857) | | | | | | | | | | | 76,727,857 | |
| | | | | | | | | | | | |
TOTAL INVESTMENTS — 109.3%
(Cost $465,107,830) | | | | | | | | 467,491,868 | |
| | | | | | | | | | | | |
| | |
| | | Number of
Contracts | | | | |
WRITTEN OPTION — 0.0% | | | | | | | | | |
Call Option — 0.0% | | | | | | | | | | | | |
5-Year U.S. Treasury Note, Strike Price $120.00, Expires 01/27/17 (GSC) | | | | | | | | | | | | |
(Premiums received $(16,694)) | | | (99 | ) | | | | | | | (1,547 | ) |
| | | | | | | | | | | | |
Liabilities in Excess of Other
Assets — (9.3)% | | | | | | | | (39,603,343 | ) |
| | | | | | | | | | | | |
NET ASSETS — 100.0% | | | | | | | | | | $ | 427,886,978 | |
| | | | | | | | | | | | |
| | | | |
| 144 | | See Notes to Financial Statements. | | |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2016, 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 | | $ | 4,386,531 | | | $ | 4,333,823 | | | $ | — | | | $ | 52,708 | |
Corporate Bonds | | | 194,042,444 | | | | — | | | | 194,042,444 | | | | — | |
Foreign Bonds: | | | | | | | | | | | | | | | | |
Argentina | | | 2,089,546 | | | | — | | | | 2,089,546 | | | | — | |
Armenia | | | 538,512 | | | | — | | | | 538,512 | | | | — | |
Australia | | | 2,451,330 | | | | — | | | | 2,451,330 | | | | — | |
Bermuda | | | 1,316,594 | | | | — | | | | 1,316,594 | | | | — | |
Brazil | | | 4,713,325 | | | | — | | | | 4,713,325 | | | | — | |
Canada | | | 16,828,473 | | | | — | | | | 16,821,873 | | | | 6,600 | |
Cayman Islands | | | 2,699,190 | | | | — | | | | 2,699,190 | | | | — | |
Chile | | | 887,076 | | | | — | | | | 887,076 | | | | — | |
Colombia | | | 2,888,993 | | | | — | | | | 2,888,993 | | | | — | |
Ecuador | | | 594,500 | | | | — | | | | 594,500 | | | | — | |
France | | | 4,373,219 | | | | — | | | | 4,373,219 | | | | — | |
Germany | | | 3,562,156 | | | | — | | | | 3,562,156 | | | | — | |
Honduras | | | 493,764 | | | | — | | | | 493,764 | | | | — | |
India | | | 969,677 | | | | — | | | | 969,677 | | | | — | |
Indonesia | | | 2,433,553 | | | | — | | | | 2,433,553 | | | | — | |
Ireland | | | 1,583,134 | | | | — | | | | 1,583,134 | | | | — | |
Italy | | | 1,782,542 | | | | — | | | | 1,782,542 | | | | — | |
Jersey | | | 422,475 | | | | — | | | | 422,475 | | | | — | |
Kenya | | | 446,003 | | | | — | | | | 446,003 | | | | — | |
Luxembourg | | | 4,529,410 | | | | — | | | | 4,529,410 | | | | — | |
Marshall Islands | | | 76,950 | | | | — | | | | 76,950 | | | | — | |
Mexico | | | 9,733,117 | | | | — | | | | 9,733,117 | | | | — | |
Morocco & Antilles | | | 1,069,460 | | | | — | | | | 1,069,460 | | | | — | |
Netherlands | | | 9,346,242 | | | | — | | | | 9,346,242 | | | | — | |
New Zealand | | | 1,753,721 | | | | — | | | | 1,753,721 | | | | — | |
Norway | | | 1,485,875 | | | | — | | | | 1,485,875 | | | | — | |
Panama | | | 3,655 | | | | — | | | | 3,655 | | | | — | |
Peru | | | 544,500 | | | | — | | | | 544,500 | | | | — | |
Philippines | | | 212,738 | | | | — | | | | 212,738 | | | | — | |
Portugal | | | 1,176,880 | | | | — | | | | 1,176,880 | | | | — | |
Russia | | | 2,102,814 | | | | — | | | | 2,102,814 | | | | — | |
Saudi Arabia | | | 1,214,628 | | | | — | | | | 1,214,628 | | | | — | |
Singapore | | | 1,002,589 | | | | — | | | | 1,002,589 | | | | — | |
Spain | | | 80,421 | | | | — | | | | 80,421 | | | | — | |
Supranational | | | 2,330,324 | | | | — | | | | 2,330,324 | | | | — | |
Turkey | | | 1,042,183 | | | | — | | | | 1,042,183 | | | | — | |
United Kingdom | | | 14,152,286 | | | | — | | | | 14,152,286 | | | | — | |
Virgin Islands (British) | | | 685,287 | | | | — | | | | 685,287 | | | | — | |
Foreign Common Stocks: | | | | | | | | | | | | | | | | |
Canada | | | 115,047 | | | | 115,047 | | | | — | | | | — | |
Norway | | | 34,200 | | | | — | | | | — | | | | 34,200 | |
Spain | | | 327,224 | | | | 327,224 | | | | — | | | | — | |
Foreign Government Inflation-Linked Bond | | | 3,077,615 | | | | — | | | | — | | | | 3,077,615 | |
Loan Agreements | | | 9,387,106 | | | | — | | | | 9,345,227 | | | | 41,879 | |
Money Market Funds | | | 76,727,857 | | | | 76,727,857 | | | | — | | | | — | |
Mortgage-Backed Securities | | | 8,652,184 | | | | — | | | | 4,539,627 | | | | 4,112,557 | |
Municipal Bond | | | 141,571 | | | | — | | | | 141,571 | | | | — | |
Preferred Stocks | | | 1,962,165 | | | | 495,985 | | | | 1,466,180 | | | | — | |
Purchased Option | | | 871,293 | | | | — | | | | 871,293 | | | | — | |
U.S. Treasury Obligations | | | 64,149,489 | | | | — | | | | 64,149,489 | | | | — | |
| | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | $ | 467,491,868 | | | $ | 81,999,936 | | | $ | 378,166,373 | | | $ | 7,325,559 | |
| | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 59,840 | | | $ | 59,840 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | $ | 59,840 | | | $ | 59,840 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 145 |
GLOBAL BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | | | | | |
| | | Total
Value | | | Level 1
Quoted Prices | | | Level 2
Other Significant
Observable Inputs | | | Level 3
Significant
Unobservable Inputs | |
Liabilities: | | | | | | | | | | | | | | | | |
Investments in Securities: | | | | | | | | | | | | | | | | |
Written Option | | $ | (1,547 | ) | | $ | (1,547 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Total Liabilities - Investments in Securities | | $ | (1,547 | ) | | $ | (1,547 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | $ | (1,552,717 | ) | | $ | — | | | $ | (1,552,717 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
Total Liabilities - Other Financial Instruments | | $ | (1,552,717 | ) | | $ | — | | | $ | (1,552,717 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
***Other financial instruments are derivative instruments not reflected in the Schedule of Investments (such as futures contracts and forwards contracts), which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the “Financial Futures Contracts” and “Forward Foreign Currency Contracts” disclosures 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 is not material; therefore, the amount of transfers between Level 1 and Level 2 is not shown for the year ended December 31, 2016.
The unobservable inputs used in the fair value measurement of the reporting entity’s mortgage-backed securities, corporate bonds, foreign bonds, common stocks, foreign common stocks, foreign government inflation-linked note and loan agreements 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.
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Total Value | | | Mortgage-
Backed
Securities | | | Corporate
Bonds | | | Foreign
Bonds | | | Common
Stocks | | | Foreign
Common
Stocks | | | Foreign
Government
Inflation-
Linked
Note | | | Loan
Agreements | |
Balance, 12/31/15 | | $ | 4,344,973 | | | $ | 2,978,229 | | | $ | 1,288,775 | | | $ | 6,602 | | | $ | — | | | $ | 41,367 | | | $ | — | | | $ | 30,000 | |
Accrued discounts/premiums | | | 62,531 | | | | 61,278 | | | | (425 | ) | | | — | | | | — | | | | — | | | | — | | | | 1,678 | |
Realized gain (loss)(1) | | | 52,815 | | | | 81,522 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | (28,707 | ) |
Change in unrealized appreciation (depreciation)(2) | | | (4,112,147 | ) | | | (143,222 | ) | | | (1,094,475 | ) | | | (2 | ) | | | (2,868,432 | ) | | | (7,167 | ) | | | — | | | | 1,151 | |
Purchases | | | 6,056,946 | | | | 2,980,069 | | | | — | | | | — | | | | 2,921,140 | | | | — | | | | — | | | | 155,737 | |
Sales | | | (1,733,475 | ) | | | (1,615,495 | ) | | | — | | | | — | | | | — | | | | — | | | | — | | | | (117,980 | ) |
Transfers in to Level 3(3) | | | 3,077,615 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 3,077,615 | | | | — | |
Transfers out of Level 3(4) | | | (193,875 | ) | | | — | | | | (193,875 | ) | | | — | | | | — | | | | — | | | | — | | | | — | |
Maturities | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Paydowns | | | (229,824 | ) | | | (229,824 | ) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance, 12/31/16 | | $ | 7,325,559 | | | $ | 4,112,557 | | | $ | — | | | $ | 6,600 | | | $ | 52,708 | | | $ | 34,200 | | | $ | 3,077,615 | | | $ | 41,879 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (1) | Realized gain (loss) from the sale of Level 3 securities is included on the Statement of Operations in Net realized gain (loss) from: Investment securities. |
| (2) | Change in unrealized appreciation (depreciation) is located on the Statement of Operations in Net change in unrealized appreciation (depreciation) on: Investment securities. |
| (3) | Transfers in to Level 3 represent the value of securities at December 31, 2016 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 using an objective method such as a pricing vendor. |
| (4) | Transfers out of Level 3 represent the value of securities at December 31, 2016 that were transferred from Level 3 to Level 2 of the fair value hierarchy as a result of the ability of the Fund to obtain a price using an objective method such as a pricing vendor. |
| | | | |
| 146 | | See Notes to Financial Statements. | | |
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147
| | |
| STATEMENTS OF ASSETS AND LIABILITIES | | December 31, 2016 |
| | | | | | | | |
| | | Money
Market Fund | | | Low-Duration
Bond Fund | |
Assets | | | | | | | | |
Investments in securities of unaffiliated issuers, at value | | $ | 948,200,479 | | | $ | 923,839,808 | |
Investments in repurchase agreements, at value | | | 255,500,000 | | | | 23,200,000 | |
Investments in securities of affiliated issuers, at value | | | — | | | | 15,457,326 | |
| | | | | | | | |
Total investments, at value (1)(2) | | | 1,203,700,479 | | | | 962,497,134 | |
Cash | | | 123,446 | | | | 1,302,768 | |
Cash collateral for derivatives | | | — | | | | 414,000 | |
Foreign currency (3) | | | — | | | | 585,468 | |
Upfront premiums paid from swap contracts | | | — | | | | 137,100 | |
Receivables: | | | | | | | | |
Dividends and reclaims | | | — | | | | 1,209 | |
Interest | | | 223,882 | | | | 4,447,862 | |
Securities lending | | | — | | | | 27,405 | |
Investment securities sold | | | — | | | | 5,669,159 | |
Maturities | | | — | | | | 41,884 | |
Fund shares sold | | | 9,788,908 | | | | 502,717 | |
Variation margin on centrally cleared swaps | | | — | | | | 1,673,393 | |
Variation margin on financial futures contracts | | | — | | | | 99,081 | |
Unrealized appreciation on foreign currency exchange contracts | | | — | | | | 2,593,545 | |
Unrealized appreciation on swap agreements | | | — | | | | 181,959 | |
Prepaid expenses and other assets | | | 42,640 | | | | 29,574 | |
| | | | | | | | |
Total Assets | | | 1,213,879,355 | | | | 980,204,258 | |
| | | | | | | | |
Liabilities | | | | | | | | |
Securities sold short, at value (4) | | | — | | | | 1,481,075 | |
TBA sale commitments, at value (5) | | | — | | | | — | |
Options written, at value (6) | | | — | | | | 53,141 | |
Upfront premiums received from swap contracts | | | — | | | | 1,013,807 | |
Unrealized depreciation on foreign currency exchange contracts | | | — | | | | 390,694 | |
Unrealized depreciation on swap agreements | | | — | | | | 675,987 | |
Collateral held for securities on loan, at value | | | — | | | | 67,221,467 | |
Collateral held for derivatives | | | — | | | | 1,840,000 | |
Payables: | | | | | | | | |
Investment securities purchased | | | — | | | | 40,704,226 | |
Fund shares redeemed | | | 11,077,903 | | | | 3,325 | |
Variation margin on centrally cleared swaps | | | — | | | | — | |
Variation margin on financial futures contracts | | | — | | | | 103,097 | |
Distributions | | | 80,442 | | | | — | |
Securities lending | | | — | | | | 4,106 | |
Accrued expenses: | | | | | | | | |
Investment advisory fees | | | 128,265 | | | | 218,508 | |
Shareholder servicing fees | | | 214,641 | | | | 59,378 | |
Other expenses | | | 75,779 | | | | 143,972 | |
| | | | | | | | |
Total Liabilities | | | 11,577,030 | | | | 113,912,783 | |
| | | | | | | | |
Net Assets | | $ | 1,202,302,325 | | | $ | 866,291,475 | |
| | | | | | | | |
Net Assets Consist of: | | | | | | | | |
Paid-in-capital | | $ | 1,202,302,327 | | | $ | 877,095,585 | |
Accumulated (distributions in excess of) net investment income | | | (2 | ) | | | 352,788 | |
Undistributed (accumulated) net realized gain (loss) on investments, foreign currency and derivative transactions | | | — | | | | (6,669,084 | ) |
Net unrealized appreciation (depreciation) on investments, foreign currency and derivative transactions | | | — | | | | (4,487,814 | ) |
| | | | | | | | |
Net Assets | | $ | 1,202,302,325 | | | $ | 866,291,475 | |
| | | | | | | | |
Net Asset Value: | | | | | | | | |
$0.001 par value, unlimited shares authorized | | | | | | | | |
Net assets applicable to the Institutional Class | | $ | 251,639,187 | | | $ | 585,590,034 | |
| | | | | | | | |
Institutional shares outstanding | | | 251,640,793 | | | | 43,910,236 | |
| | | | | | | | |
Net asset value, offering and redemption price per Institutional share | | $ | 1.00 | | | $ | 13.34 | |
| | | | | | | | |
Net assets applicable to the Investor Class | | $ | 950,663,138 | | | $ | 280,701,441 | |
| | | | | | | | |
Investor shares outstanding | | | 950,626,878 | | | | 21,043,746 | |
| | | | | | | | |
Net asset value, offering and redemption price per Investor share | | $ | 1.00 | | | $ | 13.34 | |
| | | | | | | | |
(1) Investments in securities of unaffiliated issuers, at cost | | $ | 948,200,479 | | | $ | 930,079,402 | |
Investments in repurchase agreements, at cost | | | 255,500,000 | | | | 23,200,000 | |
Investments in securities of affiliated issuers, at cost | | | — | | | | 15,457,326 | |
| | | | | | | | |
Total investments, at cost | | $ | 1,203,700,479 | | | $ | 968,736,728 | |
| | | | | | | | |
(2) Includes securities loaned of: | | $ | — | | | $ | 93,964,033 | |
| | | | | | | | |
(3) Foreign currency, at cost | | $ | — | | | $ | 592,894 | |
| | | | | | | | |
(4) Proceeds from securities sold short | | $ | — | | | $ | 1,488,703 | |
| | | | | | | | |
(5) TBA sale commitments, at cost | | $ | — | | | $ | — | |
| | | | | | | | |
(6) Premiums received on options written | | $ | — | | | $ | 104,147 | |
| | | | | | | | |
| | | | |
| 148 | | See Notes to Financial Statements. | | |
| | | | | | | | | | |
Medium-Duration
Bond Fund | | | Extended-Duration
Bond Fund | | | Global
Bond Fund | |
| | |
| $ | 1,182,512,675 | | | $ | 239,653,617 | | | $ | 435,573,834 | |
| | 75,600,000 | | | | — | | | | — | |
| | 52,755,666 | | | | 6,093,198 | | | | 31,918,034 | |
| | | | | | | | | | |
| | 1,310,868,341 | | | | 245,746,815 | | | | 467,491,868 | |
| | 1,138,225 | | | | 8,196 | | | | 429,155 | |
| | 2,994,769 | | | | — | | | | 287,057 | |
| | 1,639,864 | | | | — | | | | 1,551,945 | |
| | 1,826,600 | | | | — | | | | — | |
| | | | | | | | | | |
| | 5,327 | | | | 4,718 | | | | 31,141 | |
| | 5,400,447 | | | | 2,234,543 | | | | 4,832,764 | |
| | 74,062 | | | | 5,898 | | | | 42,748 | |
| | 142,398,980 | | | | — | | | | 2,547,435 | |
| | 67 | | | | — | | | | — | |
| | 186,064 | | | | 80,937 | | | | 213,802 | |
| | — | | | | — | | | | — | |
| | 734,256 | | | | — | | | | 59,247 | |
| | 3,325,831 | | | | — | | | | 449,610 | |
| | 2,675,698 | | | | — | | | | — | |
| | 28,267 | | | | 16,928 | | | | 94,628 | |
| | | | | | | | | | |
| | 1,473,296,798 | | | | 248,098,035 | | | | 478,031,400 | |
| | | | | | | | | | |
| | | | | | | | | | |
| | — | | | | — | | | | — | |
| | 30,388,816 | | | | — | | | | — | |
| | 2,574,861 | | | | — | | | | 1,547 | |
| | 1,360,944 | | | | — | | | | — | |
| | 694,088 | | | | — | | | | 2,002,327 | |
| | 792,250 | | | | — | | | | — | |
| | 96,263,470 | | | | 12,338,183 | | | | 44,809,823 | |
| | 1,350,021 | | | | — | | | | — | |
| | | | | | | | | | |
| | 304,873,704 | | | | 509,671 | | | | 2,912,502 | |
| | 147,474 | | | | 73,111 | | | | 11,068 | |
| | 2,759,741 | | | | — | | | | — | |
| | 337,657 | | | | — | | | | 112,976 | |
| | — | | | | — | | | | — | |
| | 11,099 | | | | 881 | | | | 6,408 | |
| | | | | | | | | | |
| | 269,989 | | | | 93,495 | | | | 171,144 | |
| | 45,725 | | | | 25,211 | | | | 18,681 | |
| | 214,373 | | | | 56,561 | | | | 97,946 | |
| | | | | | | | | | |
| | 442,084,212 | | | | 13,097,113 | | | | 50,144,422 | |
| | | | | | | | | | |
| $ | 1,031,212,586 | | | $ | 235,000,922 | | | $ | 427,886,978 | |
| | | | | | | | | | |
| | | | | | | | | | |
| $ | 1,052,480,598 | | | $ | 235,985,539 | | | $ | 443,292,826 | |
| | (1,417,991 | ) | | | (3,237 | ) | | | (384,515 | ) |
| | | | | | | | | | |
| | (12,819,439 | ) | | | 89,367 | | | | (15,861,754 | ) |
| | | | | | | | | | |
| | (7,030,582 | ) | | | (1,070,747 | ) | | | 840,421 | |
| | | | | | | | | | |
| $ | 1,031,212,586 | | | $ | 235,000,922 | | | $ | 427,886,978 | |
| | | | | | | | | | |
| | | | | | | | | | |
| $ | 815,429,763 | | | $ | 115,558,316 | | | $ | 338,474,811 | |
| | | | | | | | | | |
| | 56,400,152 | | | | 6,839,669 | | | | 34,949,224 | |
| | | | | | | | | | |
| $ | 14.46 | | | $ | 16.90 | | | $ | 9.68 | |
| | | | | | | | | | |
| $ | 215,782,823 | | | $ | 119,442,606 | | | $ | 89,412,167 | |
| | | | | | | | | | |
| | 14,921,346 | | | | 7,067,912 | | | | 9,233,370 | |
| | | | | | | | | | |
| $ | 14.46 | | | $ | 16.90 | | | $ | 9.68 | |
| | | | | | | | | | |
| | | | | | | | | | |
| $ | 1,192,179,363 | | | $ | 240,722,008 | | | $ | 433,189,796 | |
| | 75,600,000 | | | | — | | | | — | |
| | 52,755,666 | | | | 6,093,198 | | | | 31,918,034 | |
| | | | | | | | | | |
| $ | 1,320,535,029 | | | $ | 246,815,206 | | | $ | 465,107,830 | |
| | | | | | | | | | |
| $ | 127,977,505 | | | $ | 38,006,351 | | | $ | 67,239,912 | |
| | | | | | | | | | |
| $ | 1,685,364 | | | $ | — | | | $ | 1,609,540 | |
| | | | | | | | | | |
| $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | |
| $ | 29,992,656 | | | $ | — | | | $ | — | |
| | | | | | | | | | |
| $ | 1,719,046 | | | $ | — | | | $ | 16,694 | |
| | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 149 |
| | |
STATEMENTS OF OPERATIONS | | For the Year Ended December 31, 2016 |
| | | | | | | | |
| | | Money
Market Fund | | | Low-Duration
Bond Fund | |
Investment Income | | | | | | | | |
Dividends | | $ | — | | | $ | — | |
Income distributions received from affiliated funds | | | — | | | | 11,033 | |
Interest | | | 5,672,791 | | | | 16,017,770 | |
Securities lending | | | — | | | | 127,695 | |
Less foreign taxes withheld | | | — | | | | (3,110 | ) |
| | | | | | | | |
Total Investment Income | | | 5,672,791 | | | | 16,153,388 | |
| | | | | | | | |
Expenses | | | | | | | | |
Investment advisory fees | | | 1,600,753 | | | | 2,662,693 | |
Transfer agent fees: | | | | | | | | |
Institutional shares | | | 4,247 | | | | 4,655 | |
Investor shares | | | 43,683 | | | | 26,822 | |
Custodian fees | | | 20,190 | | | | 100,595 | |
Shareholder servicing fees: | | | | | | | | |
Investor shares | | | 2,615,857 | | | | 664,706 | |
Accounting and administration fees | | | 270,124 | | | | 368,245 | |
Professional fees | | | 75,623 | | | | 97,728 | |
Blue sky fees: | | | | | | | | |
Institutional shares | | | 38,721 | | | | 15,894 | |
Investor shares | | | 37,053 | | | | 18,076 | |
Shareholder reporting fees: | | | | | | | | |
Institutional shares | | | 1,049 | | | | 1,554 | |
Investor shares | | | 37,203 | | | | 14,477 | |
Trustee expenses | | | 11,530 | | | | 7,726 | |
Line of credit facility fees and interest expense | | | 8,762 | | | | 9,144 | |
Other expenses | | | 59,560 | | | | 73,112 | |
| | | | | | | | |
Total expenses | | | 4,824,355 | | | | 4,065,427 | |
Expenses waived/reimbursed net of amount recaptured(1) | | | (144,756 | ) | | | (62,363 | ) |
| | | | | | | | |
Net expenses | | | 4,679,599 | | | | 4,003,064 | |
| | | | | | | | |
| | |
Net Investment Income | | | 993,192 | | | | 12,150,324 | |
| | | | | | | | |
| | |
Realized and Unrealized Gain (Loss) | | | | | | | | |
Net realized gain (loss) from: | | | | | | | | |
Capital gain distributions received from affiliated funds | | | — | | | | 932 | |
Investment securities | | | 53,322 | | | | (5,160,082 | ) |
Investment securities sold short | | | — | | | | 2,020,539 | |
Futures transactions | | | — | | | | 762,388 | |
Swap agreements | | | — | | | | (401,620 | ) |
Option contracts written | | | — | | | | (429,069 | ) |
Option contracts purchased | | | — | | | | 471,043 | |
Foreign currency | | | — | | | | (1,008,482 | ) |
| | | | | | | | |
| | |
Net realized gain (loss) | | | 53,322 | | | | (3,744,351 | ) |
| | | | | | | | |
| | |
Net change in unrealized appreciation (depreciation) on: | | | | | | | | |
Investment securities | | | — | | | | 4,927,516 | |
Investment securities sold short | | | — | | | | 7,628 | |
Futures | | | — | | | | 263,788 | |
Swap agreements | | | — | | | | (899,105 | ) |
Option contracts written | | | — | | | | (482,274 | ) |
Option contracts purchased | | | — | | | | 237,261 | |
Foreign currency | | | — | | | | 2,412,094 | |
| | | | | | | | |
| | |
Net change in unrealized appreciation (depreciation) | | | — | | | | 6,466,908 | |
| | | | | | | | |
Net Realized and Unrealized Gain (Loss) | | | 53,322 | | | | 2,722,557 | |
| | | | | | | | |
Net Increase in Net Assets Resulting from Operations | | $ | 1,046,514 | | | $ | 14,872,881 | |
| | | | | | | | |
| (1) | See Note 3a and 3c in Notes to Financial Statements. |
| | | | |
| 150 | | See Notes to Financial Statements. | | |
| | | | | | | | | | |
Medium-Duration
Bond Fund | | | Extended-Duration
Bond Fund | | | Global
Bond Fund | |
| | | | | | | | | | |
| $ | 35,622 | | | $ | 17,167 | | | $ | 293,327 | |
| | 15,697 | | | | 2,773 | | | | 10,083 | |
| | 26,925,418 | | | | 11,857,018 | | | | 21,089,589 | |
| | 204,335 | | | | 53,308 | | | | 204,149 | |
| | 16,997 | | | | — | | | | (8,476 | ) |
| | | | | | | | | | |
| | 27,198,069 | | | | 11,930,266 | | | | 21,588,672 | |
| | | | | | | | | | |
| | | | | | | | | | |
| | 3,063,626 | | | | 1,319,932 | | | | 2,029,936 | |
| | | | | | | | | | |
| | 4,690 | | | | 4,088 | | | | 4,379 | |
| | 26,221 | | | | 27,386 | | | | 20,492 | |
| | 355,197 | | | | 6,756 | | | | 33,151 | |
| | | | | | | | | | |
| | 526,273 | | | | 329,034 | | | | 211,255 | |
| | 474,233 | | | | 96,384 | | | | 223,449 | |
| | 97,726 | | | | 74,120 | | | | 78,948 | |
| | | | | | | | | | |
| | 15,818 | | | | 15,043 | | | | 9,225 | |
| | 14,500 | | | | 14,674 | | | | 13,579 | |
| | | | | | | | | | |
| | 1,618 | | | | 984 | | | | 1,683 | |
| | 13,688 | | | | 15,634 | | | | 6,411 | |
| | 7,880 | | | | 2,388 | | | | 3,521 | |
| | 6,153 | | | | 3,170 | | | | 4,007 | |
| | 206,983 | | | | 29,157 | | | | 45,458 | |
| | | | | | | | | | |
| | 4,814,606 | | | | 1,938,750 | | | | 2,685,494 | |
| | (91,563 | ) | | | (26,552 | ) | | | (54,007 | ) |
| | | | | | | | | | |
| | 4,723,043 | | | | 1,912,198 | | | | 2,631,487 | |
| | | | | | | | | | |
| | 22,475,026 | | | | 10,018,068 | | | | 18,957,185 | |
| | | | | | | | | | |
| | | | | | | | | | |
| | 4,296 | | | | 220 | | | | 1,795 | |
| | 4,369,544 | | | | 9,546,040 | | | | (6,915,397 | ) |
| | (262,809 | ) | | | — | | | | — | |
| | (3,247,678 | ) | | | — | | | | 260,059 | |
| | (9,895,135 | ) | | | — | | | | — | |
| | 2,354,750 | | | | — | | | | — | |
| | (1,836,238 | ) | | | — | | | | (388,314 | ) |
| | (2,130,795 | ) | | | (39,930 | ) | | | (2,681,292 | ) |
| | | | | | | | | | |
| | (10,644,065 | ) | | | 9,506,330 | | | | (9,723,149 | ) |
| | | | | | | | | | |
| | | | | | | | | | |
| | 5,878,737 | | | | 1,011,103 | | | | 34,644,055 | |
| | (406,305 | ) | | | — | | | | — | |
| | 507,392 | | | | — | | | | 29,451 | |
| | 6,512,646 | | | | — | | | | — | |
| | (1,220,835 | ) | | | — | | | | 15,147 | |
| | 478,350 | | | | — | | | | 683,076 | |
| | 1,908,949 | | | | 1,489 | | | | (1,883,944 | ) |
| | | | | | | | | | |
| | 13,658,934 | | | | 1,012,592 | | | | 33,487,785 | |
| | | | | | | | | | |
| | 3,014,869 | | | | 10,518,922 | | | | 23,764,636 | |
| | | | | | | | | | |
| $ | 25,489,895 | | | $ | 20,536,990 | | | $ | 42,721,821 | |
| | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 151 |
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Money Market Fund | |
| |
| | | For the Year Ended | |
| | |
| | | 12/31/16 | | | 12/31/15 | |
Operations: | | | | | | | | |
Net investment income | | $ | 993,192 | | | $ | 267,444 | |
Net realized gain (loss) on investment securities, foreign currency and derivatives | | | 53,322 | | | | 88,237 | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | | | — | | | | — | |
| | | | | | | | |
Net increase in net assets resulting from operations | | | 1,046,514 | | | | 355,681 | |
| | | | | | | | |
Dividends and Distributions to Shareholders: | | | | | | | | |
Dividends from net investment income | | | | | | | | |
Institutional shares | | | (628,794 | ) | | | (159,948 | ) |
Investor shares | | | (364,398 | ) | | | (107,496 | ) |
Distributions from net realized capital gains | | | | | | | | |
Institutional shares | | | (11,523 | ) | | | (17,343 | ) |
Investor shares | | | (48,479 | ) | | | (71,893 | ) |
| | | | | | | | |
Total dividends and distributions | | | (1,053,194 | ) | | | (356,680 | ) |
| | | | | | | | |
Capital Share Transactions: | | | | | | | | |
Proceeds from shares sold | | | | | | | | |
Institutional shares | | | 649,810,099 | | | | 716,417,103 | |
Investor shares | | | 4,364,775,848 | | | | 3,839,326,751 | |
Reinvestment of dividends and distributions | | | | | | | | |
Institutional shares | | | 305,772 | | | | 93,916 | |
Investor shares | | | 209,397 | | | | 113,201 | |
| | | | | | | | |
Total proceeds from shares sold and reinvested | | | 5,015,101,116 | | | | 4,555,950,971 | |
| | | | | | | | |
Value of shares redeemed | | | | | | | | |
Institutional shares | | | (644,356,936 | ) | | | (592,248,516 | ) |
Investor shares | | | (4,455,737,775 | ) | | | (3,961,518,030 | ) |
| | | | | | | | |
Total value of shares redeemed | | | (5,100,094,711 | ) | | | (4,553,766,546 | ) |
| | | | | | | | |
Net increase (decrease) from capital share transactions(1) | | | (84,993,595 | ) | | | 2,184,425 | |
| | | | | | | | |
Total increase (decrease) in net assets | | | (85,000,275 | ) | | | 2,183,426 | |
| | | | | | | | |
Net Assets: | | | | | | | | |
Beginning of Year | | | 1,287,302,600 | | | | 1,285,119,174 | |
| | | | | | | | |
End of Year* | | $ | 1,202,302,325 | | | $ | 1,287,302,600 | |
| | | | | | | | |
*Including undistributed (distributions in excess of) net investment income | | $ | (2 | ) | | $ | — | |
| | | | | | | | |
| (1) | See Note 6 in Notes to Financial Statements. |
| | | | |
| 152 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | |
Low-Duration
Bond Fund | | | Medium-Duration
Bond Fund | |
| |
| For the Year Ended | | | For the Year Ended | |
| | | |
| 12/31/16 | | | 12/31/15 | | | 12/31/16 | | | 12/31/15 | |
| | | | | | | | | | | | | | |
| $ | 12,150,324 | | | $ | 11,691,675 | | | $ | 22,475,026 | | | $ | 20,516,851 | |
| | (3,744,351 | ) | | | (1,277,847 | ) | | | (10,644,065 | ) | | | 12,284,796 | |
| | | | | | | | | | | | | | |
| | 6,466,908 | | | | (5,598,881 | ) | | | 13,658,934 | | | | (32,595,404 | ) |
| | | | | | | | | | | | | | |
| | 14,872,881 | | | | 4,814,947 | | | | 25,489,895 | | | | 206,243 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | (9,332,720 | ) | | | (6,206,090 | ) | | | (19,149,627 | ) | | | (19,835,112 | ) |
| | (2,592,772 | ) | | | (4,004,414 | ) | | | (3,212,334 | ) | | | (5,372,791 | ) |
| | | | | | | | | | | | | | |
| | — | | | | — | | | | (2,396,364 | ) | | | (8,134,050 | ) |
| | — | | | | — | | | | (645,755 | ) | | | (2,134,885 | ) |
| | | | | | | | | | | | | | |
| | (11,925,492 | ) | | | (10,210,504 | ) | | | (25,404,080 | ) | | | (35,476,838 | ) |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | 75,052,450 | | | | 533,537,034 | | | | 259,641,101 | | | | 538,487,348 | |
| | 74,656,288 | | | | 56,861,484 | | | | 48,285,449 | | | | 35,790,325 | |
| | | | | | | | | | | | | | |
| | 9,329,322 | | | | 6,202,579 | | | | 21,529,595 | | | | 27,940,007 | |
| | 2,590,031 | | | | 4,003,486 | | | | 3,852,247 | | | | 7,503,003 | |
| | | | | | | | | | | | | | |
| | 161,628,091 | | | | 600,604,583 | | | | 333,308,392 | | | | 609,720,683 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | (118,188,777 | ) | | | (56,796,481 | ) | | | (171,216,394 | ) | | | (65,371,757 | ) |
| | (40,118,621 | ) | | | (524,728,254 | ) | | | (25,588,210 | ) | | | (523,381,325 | ) |
| | | | | | | | | | | | | | |
| | (158,307,398 | ) | | | (581,524,735 | ) | | | (196,804,604 | ) | | | (588,753,082 | ) |
| | | | | | | | | | | | | | |
| | 3,320,693 | | | | 19,079,848 | | | | 136,503,788 | | | | 20,967,601 | |
| | | | | | | | | | | | | | |
| | 6,268,082 | | | | 13,684,291 | | | | 136,589,603 | | | | (14,302,994 | ) |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | 860,023,393 | | | | 846,339,102 | | | | 894,622,983 | | | | 908,925,977 | |
| | | | | | | | | | | | | | |
| $ | 866,291,475 | | | $ | 860,023,393 | | | $ | 1,031,212,586 | | | $ | 894,622,983 | |
| | | | | | | | | | | | | | |
| $ | 352,788 | | | $ | 356,265 | | | $ | (1,417,991 | ) | | $ | 194,284 | |
| | | | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 153 |
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Extended-Duration
Bond Fund | |
| |
| | | For the Year Ended | |
| | |
| | | 12/31/16 | | | 12/31/15 | |
Operations: | | | | | | | | |
Net investment income | | $ | 10,018,068 | | | $ | 10,894,985 | |
Net realized gain (loss) on investment securities, foreign currency and derivative | | | 9,506,330 | | | | 8,433,293 | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivative | | | 1,012,592 | | | | (34,267,413 | ) |
| | | | | | | | |
Net increase (decrease) in net assets resulting from operations | | | 20,536,990 | | | | (14,939,135 | ) |
| | | | | | | | |
Dividends and Distributions to Shareholders: | | | | | | | | |
Dividends from net investment income | | | | | | | | |
Institutional shares | | | (7,560,818 | ) | | | (8,255,611 | ) |
Investor shares | | | (2,465,545 | ) | | | (2,613,268 | ) |
Distributions from net realized capital gains | | | | | | | | |
Institutional shares | | | (5,541,003 | ) | | | (8,221,411 | ) |
Investor shares | | | (4,868,635 | ) | | | (3,229,289 | ) |
| | | | | | | | |
Total dividends and distributions | | | (20,436,001 | ) | | | (22,319,579 | ) |
| | | | | | | | |
Capital Share Transactions: | | | | | | | | |
Proceeds from shares sold | | | | | | | | |
Institutional shares | | | 19,454,193 | | | | 119,793,129 | |
Investor shares | | | 49,316,598 | | | | 28,567,162 | |
Reinvestment of dividends and distributions | | | | | | | | |
Institutional shares | | | 13,095,046 | | | | 16,470,485 | |
Investor shares | | | 7,324,265 | | | | 5,835,124 | |
| | | | | | | | |
Total proceeds from shares sold and reinvested | | | 89,190,102 | | | | 170,665,900 | |
| | | | | | | | |
Value of shares redeemed | | | | | | | | |
Institutional shares | | | (65,143,260 | ) | | | (18,375,581 | ) |
Investor shares | | | (44,984,790 | ) | | | (160,827,372 | ) |
| | | | | | | | |
Total value of shares redeemed | | | (110,128,050 | ) | | | (179,202,953 | ) |
| | | | | | | | |
Net increase (decrease) from capital share transactions(1) | | | (20,937,948 | ) | | | (8,537,053 | ) |
| | | | | | | | |
Total increase (decrease) in net assets | | | (20,836,959 | ) | | | (45,795,767 | ) |
| | | | | | | | |
Net Assets: | | | | | | | | |
Beginning of Year | | | 255,837,881 | | | | 301,633,648 | |
| | | | | | | | |
End of Year* | | $ | 235,000,922 | | | $ | 255,837,881 | |
| | | | | | | | |
*Including distributions in excess of net investment income | | $ | (3,237 | ) | | $ | (696 | ) |
| | | | | | | | |
| (1) | See Note 6 in Notes to Financial Statements. |
| | | | |
| 154 | | See Notes to Financial Statements. | | |
| | | | | | |
Global
Bond Fund | |
|
| For the Year Ended | |
| |
| 12/31/16 | | | 12/31/15 | |
| |
| $ | 18,957,185 | | | $ | 15,259,976 | |
| | (9,723,149 | ) | | | (904,056 | ) |
| |
| | 33,487,785 | | | | (38,276,775 | ) |
| | | | | | |
| | 42,721,821 | | | | (23,920,855 | ) |
| | | | | | |
| | | | | | |
| | | | | | |
| | (13,837,022 | ) | | | (8,590,342 | ) |
| | (3,392,928 | ) | | | (7,161,903 | ) |
| | | | | | |
| | — | | | | — | |
| | — | | | | — | |
| | | | | | |
| | (17,229,950 | ) | | | (15,752,245 | ) |
| | | | | | |
| | | | | | |
| | 62,834,081 | | | | 344,440,917 | |
| | 22,304,414 | | | | 18,823,824 | |
| | 13,705,988 | | | | 8,590,341 | |
| | 3,388,544 | | | | 7,159,800 | |
| | | | | | |
| | 102,233,027 | | | | 379,014,882 | |
| | | | | | |
| | | | | | |
| | (69,877,520 | ) | | | (8,005,220 | ) |
| | (19,969,937 | ) | | | (342,648,454 | ) |
| | | | | | |
| | (89,847,457 | ) | | | (350,653,674 | ) |
| | | | | | |
| | 12,385,570 | | | | 28,361,208 | |
| | | | | | |
| | 37,877,441 | | | | (11,311,892 | ) |
| | | | | | |
| | | | | | |
| | 390,009,537 | | | | 401,321,429 | |
| $ | 427,886,978 | | | $ | 390,009,537 | |
| | | | | | |
| $ | (384,515 | ) | | $ | (399,581 | ) |
| | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 155 |
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(1) | | | Expenses,
Gross(2) | | | Investment
Income,
Net(1) | | | Portfolio
Turnover
Rate | |
Money Market Fund | |
| | | | | | | | | | |
Institutional Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | $ | 1.00 | | | $ | — | †# | | $ | — | † | | $ | — | † | | $ | — | † | | $ | 1.00 | | | | 0.28 | % | | $ | 251,639 | | | | 0.17 | % | | | 0.18 | % | | | 0.27 | % | | | N/A | |
2015 | | | 1.00 | | | | — | †# | | | — | † | | | — | † | | | — | † | | | 1.00 | | | | 0.08 | | | | 245,882 | | | | 0.17 | | | | 0.18 | | | | 0.08 | | | | N/A | |
2014 | | | 1.00 | | | | — | †# | | | — | † | | | — | † | | | — | † | | | 1.00 | | | | 0.02 | | | | 121,624 | | | | 0.18 | | | | 0.19 | | | | 0.01 | | | | N/A | |
2013(3) | | | 1.00 | | | | — | †# | | | — | † | | | — | † | | | — | † | | | 1.00 | | | | 0.04 | | | | 106,060 | | | | 0.18 | | | | 0.20 | | | | 0.04 | | | | N/A | |
2012 | | | 1.00 | | | | — | †# | | | — | † | | | — | † | | | — | † | | | 1.00 | | | | 0.10 | | | | 106,664 | | | | 0.18 | | | | 0.20 | | | | 0.10 | | | | N/A | |
| | | | | | | | | | |
Investor Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | $ | 1.00 | | | $ | — | †# | | $ | — | † | | $ | — | † | | $ | — | † | | $ | 1.00 | | | | 0.04 | % | | $ | 950,663 | | | | 0.41 | % | | | 0.42 | % | | | 0.03 | % | | | N/A | |
2015 | | | 1.00 | | | | — | †# | | | — | † | | | — | † | | | — | † | | | 1.00 | | | | 0.02 | | | | 1,041,421 | | | | 0.24 | | | | 0.43 | | | | 0.01 | | | | N/A | |
2014 | | | 1.00 | | | | — | †# | | | — | † | | | — | † | | | — | † | | | 1.00 | | | | 0.02 | | | | 1,163,495 | | | | 0.19 | | | | 0.44 | | | | 0.01 | | | | N/A | |
2013(3) | | | 1.00 | | | | — | †# | | | — | † | | | — | † | | | — | † | | | 1.00 | | | | 0.02 | | | | 1,262,938 | | | | 0.21 | | | | 0.44 | | | | 0.01 | | | | N/A | |
2012 | | | 1.00 | | | | — | †# | | | — | † | | | — | † | | | — | † | | | 1.00 | | | | 0.01 | | | | 1,131,756 | | | | 0.27 | | | | 0.44 | | | | 0.01 | | | | N/A | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Low-Duration Bond Fund | |
| | | | | | | | | | |
Institutional Class(4) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | $ | 13.30 | | | $ | 0.19 | # | | $ | 0.05 | (5) | | $ | (0.20 | ) | | $ | — | | | $ | 13.34 | | | | 1.74 | % | | $ | 585,590 | | | | 0.37 | % | | | 0.38 | % | | | 1.46 | % | | | 398 | % |
2015 | | | 13.41 | | | | 0.21 | # | | | (0.10 | )(5) | | | (0.22 | ) | | | — | | | | 13.30 | | | | 0.79 | | | | 617,698 | | | | 0.37 | | | | 0.38 | | | | 1.52 | | | | 746 | |
2014 | | | 13.57 | | | | 0.14 | # | | | 0.02 | (5) | | | (0.30 | ) | | | (0.02 | ) | | | 13.41 | | | | 1.16 | | | | 141,461 | | | | 0.36 | | | | 0.42 | | | | 1.06 | | | | 529 | |
2013(6) | | | 13.84 | | | | 0.17 | # | | | (0.17 | )(5) | | | (0.25 | ) | | | (0.02 | ) | | | 13.57 | | | | 0.02 | | | | 136,966 | | | | 0.36 | | | | 0.42 | | | | 1.26 | | | | 202 | |
2012 | | | 13.65 | | | | 0.24 | # | | | 0.35 | (5) | | | (0.35 | ) | | | (0.05 | ) | | | 13.84 | | | | 4.35 | | | | 135,526 | | | | 0.36 | | | | 0.41 | | | | 1.68 | | | | 228 | |
| | | | | | | | | | |
Investor Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | $ | 13.27 | | | $ | 0.16 | # | | $ | 0.03 | (5) | | $ | (0.12 | ) | | $ | — | | | $ | 13.34 | | | | 1.47 | % | | $ | 280,701 | | | | 0.64 | % | | | 0.65 | % | | | 1.18 | % | | | 398 | % |
2015 | | | 13.31 | | | | 0.16 | # | | | (0.09 | )(5) | | | (0.11 | ) | | | — | | | | 13.27 | | | | 0.49 | | | | 242,325 | | | | 0.60 | | | | 0.65 | | | | 1.17 | | | | 746 | |
2014 | | | 13.35 | | | | 0.11 | # | | | 0.02 | (5) | | | (0.16 | ) | | | (0.01 | ) | | | 13.31 | | | | 0.97 | | | | 704,878 | | | | 0.57 | | | | 0.66 | | | | 0.85 | | | | 529 | |
2013(6) | | | 13.52 | | | | 0.14 | # | | | (0.16 | )(5) | | | (0.14 | ) | | | (0.01 | ) | | | 13.35 | | | | (0.20 | ) | | | 701,299 | | | | 0.57 | | | | 0.66 | | | | 1.04 | | | | 202 | |
2012 | | | 13.20 | | | | 0.20 | # | | | 0.35 | (5) | | | (0.20 | ) | | | (0.03 | ) | | | 13.52 | | | | 4.15 | | | | 678,099 | | | | 0.57 | | | | 0.65 | | | | 1.47 | | | | 228 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Medium-Duration Bond Fund | |
| | | | | | | | | | |
Institutional Class(4) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | $ | 14.44 | | | $ | 0.37 | # | | $ | 0.08 | (5) | | $ | (0.39 | ) | | $ | (0.04 | ) | | $ | 14.46 | | | | 3.21 | % | | $ | 815,430 | | | | 0.45 | % | | | 0.46 | % | | | 2.50 | % | | | 337 | % |
2015 | | | 15.18 | | | | 0.37 | # | | | (0.35 | )(5) | | | (0.54 | ) | | | (0.22 | ) | | | 14.44 | | | | 0.03 | | | | 706,760 | | | | 0.45 | | | | 0.47 | | | | 2.46 | | | | 346 | |
2014 | | | 15.01 | | | | 0.33 | # | | | 0.56 | (5) | | | (0.63 | ) | | | (0.09 | ) | | | 15.18 | | | | 6.03 | | | | 239,389 | | | | 0.48 | | | | 0.52 | | | | 2.14 | | | | 408 | |
2013(7) | | | 15.90 | | | | 0.35 | # | | | (0.63 | )(5) | | | (0.59 | ) | | | (0.02 | ) | | | 15.01 | | | | (1.90 | ) | | | 227,172 | | | | 0.48 | | | | 0.52 | | | | 2.21 | | | | 409 | |
2012 | | | 15.72 | | | | 0.37 | # | | | 0.85 | (5) | | | (0.61 | ) | | | (0.43 | ) | | | 15.90 | | | | 7.93 | | | | 251,565 | | | | 0.48 | | | | 0.51 | | | | 2.32 | | | | 570 | |
| | | | | | | | | | |
Investor Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | $ | 14.31 | | | $ | 0.33 | # | | $ | 0.08 | (5) | | $ | (0.22 | ) | | $ | (0.04 | ) | | $ | 14.46 | | | | 2.88 | % | | $ | 215,783 | | | | 0.72 | % | | | 0.73 | % | | | 2.24 | % | | | 337 | % |
2015 | | | 14.65 | | | | 0.28 | # | | | (0.31 | )(5) | | | (0.21 | ) | | | (0.10 | ) | | | 14.31 | | | | (0.22 | ) | | | 187,863 | | | | 0.66 | | | | 0.75 | | | | 1.92 | | | | 346 | |
2014 | | | 14.14 | | | | 0.29 | # | | | 0.53 | (5) | | | (0.27 | ) | | | (0.04 | ) | | | 14.65 | | | | 5.82 | | | | 669,537 | | | | 0.63 | | | | 0.77 | | | | 1.98 | | | | 408 | |
2013(7) | | | 14.68 | | | | 0.30 | # | | | (0.59 | )(5) | | | (0.24 | ) | | | (0.01 | ) | | | 14.14 | | | | (1.98 | ) | | | 582,451 | | | | 0.63 | | | | 0.77 | | | | 2.06 | | | | 409 | |
2012 | | | 14.07 | | | | 0.32 | # | | | 0.75 | (5) | | | (0.26 | ) | | | (0.20 | ) | | | 14.68 | | | | 7.68 | | | | 620,945 | | | | 0.63 | | | | 0.75 | | | | 2.18 | | | | 570 | |
| † | Amount represents less than $0.005 per share. |
| # | Calculated using the average shares outstanding method. |
| (1) | 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 higher (lower), respectively, than the ratio shown. |
| (2) | 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. |
| (3) | An out of period adjustment to Investment Income had no impact on Net Investment Income per Share, Total Return or the Ratio of Net Investment Income to Average Net Assets for Institutional Class and Investor Class. |
| (4) | All per share amounts and net asset values have been adjusted as a result of the reverse stock split effected on October 14, 2016. (See Note 1 in Notes to Financial Statements). |
| (5) | 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. |
| (6) | An out of period adjustment to Investment Income had no impact on Net Investment Income per Share or Total Return; however, the Ratio of Net Investment Income to Average Net Assets increased by 0.02% and 0.02% for Institutional Class and Investor Class, respectively. |
| (7) | An out of period adjustment to Investment Income increased Net Investment Income per Share by $0.00 and $0.01, Total Return by 0.00% and 0.07%, and the Ratio of Net Investment Income to Average Net Assets by 0.04% and 0.04% for Institutional Class and Investor Class, respectively. |
| | | | |
| 156 | | 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 | | | 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
Period
(000) | | | Expenses,
Net(1) | | | Expenses,
Gross(2) | | | Investment
Income,
Net(1) | | | Portfolio
Turnover
Rate | |
| Extended-Duration Bond Fund | |
| | | | | | | | | | |
Institutional Class(3) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 2016 | | $ | 17.37 | | | $ | 0.70 | # | | $ | 0.63 | (4) | | $ | (0.98 | ) | | $ | (0.82 | ) | | $ | 16.90 | | | | 7.65 | % | | $ | 115,558 | | | | 0.56 | % | | | 0.57 | % | | | 3.81 | % | | | 50 | % |
| 2015 | | | 21.26 | | | | 0.78 | # | | | (1.74 | )(4) | | | (1.42 | ) | | | (1.51 | ) | | | 17.37 | | | | (5.01 | ) | | | 148,920 | | | | 0.60 | | | | 0.60 | | | | 4.09 | | | | 42 | |
| 2014 | | | 21.85 | | | | 0.96 | # | | | 2.70 | (4) | | | (2.42 | ) | | | (1.83 | ) | | | 21.26 | | | | 17.47 | | | | 56,216 | | | | 0.56 | | | | 0.57 | | | | 4.19 | | | | 48 | |
| 2013(5) | | | 29.08 | | | | 1.23 | # | | | (2.65 | )(4) | | | (2.88 | ) | | | (2.93 | ) | | | 21.85 | | | | (5.10 | ) | | | 51,959 | | | | 0.55 | | | | 0.55 | | | | 4.61 | | | | 37 | |
| 2012 | | | 29.62 | | | | 1.42 | # | | | 2.93 | (4) | | | (2.97 | ) | | | (1.92 | ) | | | 29.08 | | | | 15.41 | | | | 86,268 | | | | 0.52 | | | | 0.53 | | | | 4.68 | | | | 27 | |
| | | | | | | | | | |
Investor Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 2016 | | $ | 16.76 | | | $ | 0.64 | # | | $ | 0.56 | (4) | | $ | (0.34 | ) | | $ | (0.72 | ) | | $ | 16.90 | | | | 7.23 | % | | $ | 119,443 | | | | 0.84 | % | | | 0.85 | % | | | 3.51 | % | | | 50 | % |
| 2015 | | | 18.30 | | | | 0.66 | # | | | (1.60 | )(4) | | | (0.27 | ) | | | (0.33 | ) | | | 16.76 | | | | (5.30 | ) | | | 106,918 | | | | 0.82 | | | | 0.85 | | | | 3.65 | | | | 42 | |
| 2014 | | | 16.39 | | | | 0.71 | # | | | 2.10 | (4) | | | (0.50 | ) | | | (0.40 | ) | | | 18.30 | | | | 17.32 | | | | 245,417 | | | | 0.75 | | | | 0.83 | | | | 3.99 | | | | 48 | |
| 2013(5) | | | 18.58 | | | | 0.78 | # | | | (1.74 | )(4) | | | (0.59 | ) | | | (0.64 | ) | | | 16.39 | | | | (5.24 | ) | | | 218,822 | | | | 0.75 | | | | 0.80 | | | | 4.40 | | | | 37 | |
| 2012 | | | 17.08 | | | | 0.81 | # | | | 1.72 | (4) | | | (0.61 | ) | | | (0.42 | ) | | | 18.58 | | | | 15.06 | | | | 384,705 | | | | 0.75 | | | | 0.78 | | | | 4.45 | | | | 27 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Global Bond Fund | |
| | | | | | | | | | |
Institutional Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 2016 | | $ | 9.08 | | | $ | 0.45 | # | | $ | 0.56 | (4) | | $ | (0.41 | ) | | $ | — | | | $ | 9.68 | | | | 11.24 | % | | $ | 338,475 | | | | 0.59 | % | | | 0.60 | % | | | 4.73 | % | | | 28 | % |
| 2015(6) | | | 10.09 | | | | 0.27 | # | | | (1.02 | )(4) | | | (0.26 | ) | | | — | | | | 9.08 | | | | (7.54 | ) | | | 311,374 | | | | 0.59 | | | | 0.62 | | | | 4.15 | | | | 30 | |
| | | | | | | | | | |
Investor Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 2016 | | $ | 9.08 | | | $ | 0.42 | # | | $ | 0.56 | (4) | | $ | (0.38 | ) | | $ | — | | | $ | 9.68 | | | | 10.91 | % | | $ | 89,412 | | | | 0.88 | % | | | 0.89 | % | | | 4.42 | % | | | 28 | % |
| 2015 | | | 10.03 | | | | 0.33 | # | | | (0.92 | )(4) | | | (0.36 | ) | | | — | | | | 9.08 | | | | (6.00 | ) | | | 78,636 | | | | 0.82 | | | | 0.84 | | | | 3.35 | | | | 30 | |
| 2014 | | | 10.09 | | | | 0.37 | # | | | (0.07 | )(4) | | | (0.36 | ) | | | — | | | | 10.03 | | | | 2.90 | | | | 401,321 | | | | 0.79 | | | | 0.82 | | | | 3.64 | | | | 57 | |
| 2013(7) | | | 10.38 | | | | 0.39 | # | | | (0.36 | )(4) | | | (0.32 | ) | | | — | | | | 10.09 | | | | 0.30 | | | | 357,842 | | | | 0.80 | | | | 0.83 | | | | 3.77 | | | | 101 | |
| 2012 | | | 9.73 | | | | 0.45 | # | | | 0.74 | (4) | | | (0.54 | ) | | | — | | | | 10.38 | | | | 12.52 | | | | 232,856 | | | | 0.83 | | | | 0.86 | | | | 4.41 | | | | 64 | |
| # | Calculated using the average shares outstanding method. |
| (1) | 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 higher (lower), respectively, than the ratio shown. |
| (2) | 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. |
| (3) | All per share amounts and net asset values have been adjusted as a result of the reverse stock split effected on October 14, 2016. (See Note 1 in Notes to Financial Statements). |
| (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. |
| (5) | An out of period adjustment to Investment Income increased Net Investment Income per Share by $0.00 and $0.01, Total Return by 0.00% and 0.05%, and the Ratio of Net Investment Income to Average Net Assets by 0.04% and 0.04% for Institutional Class and Investor Class, respectively. |
| (6) | Inception date was April 30, 2015. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
| (7) | An out of period adjustment to Investment Income increased Net Investment Income per Share by $0.01, Total Return by 0.10%, and the Ratio of Net Investment Income to Average Net Assets by 0.02%. |
| | | | |
| | See Notes to Financial Statements. | | 157 |
Defensive Market Strategies Fund (Unaudited)
The Fund combines multiple strategies that in aggregate seek to provide long-term capital appreciation with reduced volatility compared to the equity markets.
The Investor Class of the Fund achieved its investment objective during 2016, outperforming its composite benchmark of 50% S&P 500® Index and 50% Citigroup 3-Month Treasury Bill Index (11.53% versus 6.09%). In a year of solid gains for U.S. equities, the Fund also performed in line with its reference benchmark, represented by the S&P 500® Index, slightly trailing by 0.43% net of fees. The Fund’s similar returns to that of the S&P 500® Index, was achieved with materially lower market sensitivity and volatility compared to the S&P 500® Index.
The Fund currently has assets allocated between three principal investment strategies, including long-only equity, options equity and convertible bonds. For the calendar year 2016, all three strategies contributed positively to absolute and benchmark-relative returns.
The long-only equity strategy outperformed the S&P 500® Index for the year, benefiting from its allocation to, and strong security selection within, the healthcare and utilities sectors. In addition, the long-only equity strategy benefited from a backdrop where the market rewarded value stocks with higher yields.
The options equity strategy contributed positively to benchmark relative performance. All excess returns from selling options were derived from selling put options, as the year experienced very little downside volatility. In contrast, selling call options subtracted from results.
The convertible bonds strategy contributed positively to benchmark relative outperformance, yet trailed the broader convertible bond market as measured by the BofA Merrill Lynch U.S. All Convertibles Index. Broad beta exposure to convertibles was the primary contributor to positive absolute performance, while more conservative positioning in convertibles detracted from results relative to that of the overall convertible bond market.
Some of the underlying strategies may utilize derivative instruments within the Fund. During 2016, the Fund sold equity options in order to hedge (reduce) equity exposure and to collect the option premium from selling. The use of equity options contributed meaningfully to performance during 2016. Currency forwards were used to hedge foreign currency exposure back to the U.S. dollar and also contributed positively to the Fund’s absolute and benchmark-relative 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. It is possible to lose money by investing in the Fund.
158
Defensive Market Strategies Fund (Unaudited)
At December 31, 2016, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
PORTFOLIO SUMMARY (based on net assets)
| | | | |
| | | % | |
Corporate Bonds | | | 23.7 | |
U.S. Treasury Obligations | | | 20.2 | |
Financial Services | | | 8.5 | |
Money Market Funds | | | 8.4 | |
Consumer Staples | | | 6.1 | |
Producer Durables | | | 5.9 | |
Utilities | | | 5.9 | |
Healthcare | | | 4.6 | |
Consumer Discretionary | | | 4.3 | |
Technology | | | 4.3 | |
Foreign Common Stocks | | | 3.6 | |
Foreign Bonds | | | 2.5 | |
Preferred Stocks | | | 2.5 | |
Energy | | | 2.0 | |
Materials & Processing | | | 1.0 | |
Master Limited Partnership | | | 0.5 | |
Synthetic Convertible Instruments | | | 0.5 | |
Written Options | | | (0.1 | ) |
| | | | |
| | | 104.4 | |
| | | | |
159
Defensive Market Strategies Fund (Unaudited)
| | | | | | |
| Average Annual Total Returns as of 12/31/16 |
| | | Institutional Class* | | Investor Class* | | Benchmark** |
One Year | | 11.80% | | 11.53% | | 6.09% |
Five Year | | 10.31% | | 10.04% | | 7.29% |
Since Inception | | 10.15% | | 9.88% | | 7.25% |
Inception Date | | 09/01/11 | | 09/01/11 | | |
Total Fund Operating Expenses (May 1, 2016 Prospectus)(1) | | 0.72% | | 0.99% | | |
(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 GuideStoneFunds.com. 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 Investor Class of the Fund since September 1, 2011 (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 weighted composite benchmark index as a reference benchmark consisting of 50% S&P 500® Index and 50% Citigroup 3-Month Treasury Bill Index.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
160
| | |
| DEFENSIVE MARKET STRATEGIES FUND SCHEDULE OF INVESTMENTS | | December 31, 2016 |
| | | | | | | | | | |
| | | Shares | | | Value | |
COMMON STOCKS — 42.6% | |
Consumer Discretionary — 4.3% | |
Advance Auto Parts, Inc. | | | 294 | | | | | $ | 49,721 | |
Amazon.com, Inc.* | | | 2,418 | | | | | | 1,813,186 | |
AutoNation, Inc.* | | | 58 | | | | | | 2,822 | |
AutoZone, Inc.D* | | | 1,301 | | | | | | 1,027,517 | |
Bed Bath & Beyond, Inc. | | | 4,170 | | | | | | 169,469 | |
Best Buy Co., Inc. | | | 458 | | | | | | 19,543 | |
BorgWarner, Inc. | | | 232 | | | | | | 9,150 | |
Cable One, Inc. | | | 53 | | | | | | 32,952 | |
CarMax, Inc.* | | | 253 | | | | | | 16,291 | |
CBS Corporation Class B (Non-Voting Shares) | | | 629 | | | | | | 40,017 | |
Charter Communications, Inc. Class A* | | | 432 | | | | | | 124,381 | |
Chipotle Mexican Grill, Inc.D* | | | 413 | | | | | | 155,833 | |
Coach, Inc. | | | 466 | | | | | | 16,319 | |
Comcast Corporation Class A | | | 9,393 | | | | | | 648,587 | |
Costco Wholesale Corporation | | | 12,518 | | | | | | 2,004,257 | |
COTY, Inc. Class A | | | 700 | | | | | | 12,817 | |
D.R. Horton, Inc. | | | 552 | | | | | | 15,086 | |
Darden Restaurants, Inc. | | | 10,008 | | | | | | 727,782 | |
Discovery Communications, Inc. Class A* | | | 180 | | | | | | 4,934 | |
Discovery Communications, Inc. Class C* | | | 364 | | | | | | 9,748 | |
Dollar General Corporation | | | 460 | | | | | | 34,072 | |
Dollar Tree, Inc.* | | | 1,706 | | | | | | 131,669 | |
Domino’s Pizza, Inc. | | | 2,746 | | | | | | 437,273 | |
eBay, Inc.* | | | 2,656 | | | | | | 78,857 | |
Estee Lauder Cos., Inc. (The) Class A | | | 21,510 | | | | | | 1,645,300 | |
Expedia, Inc. | | | 247 | | | | | | 27,980 | |
Foot Locker, Inc. | | | 247 | | | | | | 17,510 | |
Ford Motor Co. | | | 6,620 | | | | | | 80,301 | |
Fortune Brands Home & Security, Inc. | | | 114 | | | | | | 6,094 | |
Gap, Inc. (The) | | | 301 | | | | | | 6,754 | |
General Motors Co. | | | 2,773 | | | | | | 96,611 | |
Genuine Parts Co. | | | 802 | | | | | | 76,623 | |
Goodyear Tire & Rubber Co. (The) | | | 280 | | | | | | 8,644 | |
H&R Block, Inc. | | | 43,558 | | | | | | 1,001,398 | |
Hanesbrands, Inc. | | | 491 | | | | | | 10,591 | |
Harley-Davidson, Inc. | | | 250 | | | | | | 14,585 | |
Harman International Industries, Inc. | | | 122 | | | | | | 13,562 | |
Hasbro, Inc. | | | 196 | | | | | | 15,247 | |
Home Depot, Inc. (The) | | | 13,867 | | | | | | 1,859,287 | |
Interpublic Group of Cos., Inc. (The) | | | 849 | | | | | | 19,875 | |
Kohl’s Corporation | | | 339 | | | | | | 16,740 | |
L Brands, Inc. | | | 443 | | | | | | 29,167 | |
Leggett & Platt, Inc. | | | 135 | | | | | | 6,599 | |
Lennar Corporation Class A | | | 243 | | | | | | 10,432 | |
LKQ Corporation* | | | 551 | | | | | | 16,888 | |
Lowe’s Cos., Inc. | | | 11,593 | | | | | | 824,494 | |
Macy’s, Inc. | | | 543 | | | | | | 19,445 | |
Marriott International, Inc. Class A | | | 694 | | | | | | 57,380 | |
Mattel, Inc. | | | 628 | | | | | | 17,301 | |
McDonald’s Corporation | | | 17,548 | | | | | | 2,135,943 | |
Mohawk Industries, Inc.* | | | 62 | | | | | | 12,380 | |
Netflix, Inc.D* | | | 2,794 | | | | | | 345,897 | |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
Newell Brands, Inc. | | | 917 | | | | | | | $ | 40,944 | |
News Corporation Class A | | | 567 | | | | | | | | 6,498 | |
News Corporation Class B | | | 636 | | | | | | | | 7,505 | |
NIKE, Inc. Class B | | | 16,561 | | | | | | | | 841,796 | |
Nordstrom, Inc. | | | 287 | | | | | | | | 13,756 | |
Omnicom Group, Inc. | | | 448 | | | | | | | | 38,129 | |
O’Reilly Automotive, Inc.* | | | 3,834 | | | | | | | | 1,067,424 | |
Panera Bread Co. Class A* | | | 2,200 | | | | | | | | 451,198 | |
Polaris Industries, Inc.D | | | 1,708 | | | | | | | | 140,722 | |
Priceline Group, Inc. (The)* | | | 303 | | | | | | | | 444,216 | |
PulteGroup, Inc. | | | 257 | | | | | | | | 4,724 | |
PVH Corporation | | | 138 | | | | | | | | 12,453 | |
Ralph Lauren Corporation | | | 53 | | | | | | | | 4,787 | |
Ross Stores, Inc. | | | 4,600 | | | | | | | | 301,760 | |
Scripps Networks Interactive, Inc. Class A | | | 121 | | | | | | | | 8,636 | |
Staples, Inc. | | | 1,015 | | | | | | | | 9,186 | |
Starbucks Corporation | | | 36,440 | | | | | | | | 2,023,149 | |
Target Corporation | | | 15,697 | | | | | | | | 1,133,794 | |
TEGNA, Inc. | | | 255 | | | | | | | | 5,454 | |
Tiffany & Co. | | | 162 | | | | | | | | 12,544 | |
Time Warner, Inc. | | | 7,409 | | | | | | | | 715,191 | |
TJX Cos., Inc. (The) | | | 19,294 | | | | | | | | 1,449,558 | |
Tractor Supply Co. | | | 3,591 | | | | | | | | 272,234 | |
TripAdvisor, Inc.* | | | 7,685 | | | | | | | | 356,353 | |
Tupperware Brands CorporationD | | | 11,697 | | | | | | | | 615,496 | |
Twenty-First Century Fox, Inc. Class A | | | 1,877 | | | | | | | | 52,631 | |
Twenty-First Century Fox, Inc. Class B | | | 766 | | | | | | | | 20,874 | |
Ulta Salon Cosmetics & Fragrance, Inc.* | | | 1,230 | | | | | | | | 313,576 | |
Under Armour, Inc. Class A* | | | 210 | | | | | | | | 6,100 | |
Under Armour, Inc. Class C* | | | 211 | | | | | | | | 5,311 | |
Urban Outfitters, Inc.* | | | 140 | | | | | | | | 3,987 | |
VF Corporation | | | 493 | | | | | | | | 26,302 | |
Wal-Mart Stores, Inc. | | | 89,855 | | | | | | | | 6,210,778 | |
Walt Disney Co. (The) | | | 15,037 | | | | | | | | 1,567,156 | |
Whirlpool Corporation | | | 160 | | | | | | | | 29,083 | |
Williams-Sonoma, Inc.D | | | 5,521 | | | | | | | | 267,161 | |
Wyndham Worldwide Corporation | | | 274 | | | | | | | | 20,925 | |
Yum! Brands, Inc. | | | 16,334 | | | | | | | | 1,034,432 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 35,511,134 | |
| | | | | | | | | | | | |
Consumer Staples — 6.1% | |
Archer-Daniels-Midland Co. | | | 895 | | | | | | | | 40,857 | |
Campbell Soup Co. | | | 11,289 | | | | | | | | 682,646 | |
Casey’s General Stores, Inc. | | | 1,186 | | | | | | | | 140,992 | |
Church & Dwight Co., Inc. | | | 22,634 | | | | | | | | 1,000,196 | |
Clorox Co. (The) | | | 9,761 | | | | | | | | 1,171,515 | |
Coca-Cola Co. (The) | | | 67,016 | | | | | | | | 2,778,483 | |
Colgate-Palmolive Co. | | | 30,572 | | | | | | | | 2,000,632 | |
ConAgra Foods, Inc. | | | 781 | | | | | | | | 30,889 | |
CVS Health Corporation | | | 39,890 | | | | | | | | 3,147,720 | |
Dr. Pepper Snapple Group, Inc. | | | 11,574 | | | | | | | | 1,049,415 | |
General Mills, Inc. | | | 122,387 | | | | | | | | 7,559,845 | |
Hershey Co. (The) | | | 1,975 | | | | | | | | 204,274 | |
Hormel Foods Corporation | | | 20,100 | | | | | | | | 699,681 | |
Ingredion, Inc. | | | 2,921 | | | | | | | | 365,008 | |
J.M. Smucker Co. (The) | | | 682 | | | | | | | | 87,337 | |
Kellogg Co. | | | 7,398 | | | | | | | | 545,307 | |
Kimberly-Clark Corporation | | | 25,307 | | | | | | | | 2,888,035 | |
Kraft Heinz Co. (The) | | | 11,299 | | | | | | | | 986,629 | |
| | | | |
| | See Notes to Financial Statements. | | 161 |
| | |
DEFENSIVE MARKET STRATEGIES FUND SCHEDULE OF INVESTMENTS (Continued) | | |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
Kroger Co. (The) | | | 10,111 | | | | | | | $ | 348,931 | |
McCormick & Co., Inc. (Non-Voting Shares) | | | 11,905 | | | | | | | | 1,111,094 | |
Mead Johnson Nutrition Co. | | | 81,068 | | | | | | | | 5,736,372 | |
Mondelez International, Inc. Class A | | | 2,750 | | | | | | | | 121,907 | |
Monster Beverage Corporation* | | | 20,199 | | | | | | | | 895,624 | |
Nu Skin Enterprises, Inc. Class A | | | 6,923 | | | | | | | | 330,781 | |
PepsiCo, Inc. | | | 66,699 | | | | | | | | 6,978,716 | |
Procter & Gamble Co. (The) | | | 84,522 | | | | | | | | 7,106,610 | |
Sysco Corporation | | | 22,699 | | | | | | | | 1,256,844 | |
Tyson Foods, Inc. Class A | | | 3,416 | | | | | | | | 210,699 | |
Walgreens Boots Alliance, Inc. | | | 8,598 | | | | | | | | 711,570 | |
Whole Foods Market, Inc. | | | 3,744 | | | | | | | | 115,165 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 50,303,774 | |
| | | | | | | | | | | | |
Energy — 2.0% | |
Anadarko Petroleum Corporation | | | 883 | | | | | | | | 61,572 | |
Apache Corporation | | | 713 | | | | | | | | 45,254 | |
Baker Hughes, Inc. | | | 716 | | | | | | | | 46,519 | |
Cabot Oil & Gas Corporation | | | 793 | | | | | | | | 18,525 | |
Chesapeake Energy Corporation* | | | 1,423 | | | | | | | | 9,989 | |
Chevron Corporation | | | 47,123 | | | | | | | | 5,546,377 | |
Cimarex Energy Co. | | | 158 | | | | | | | | 21,472 | |
Concho Resources, Inc.* | | | 216 | | | | | | | | 28,642 | |
ConocoPhillips | | | 3,933 | | | | | | | | 197,201 | |
Devon Energy Corporation | | | 909 | | | | | | | | 41,514 | |
EOG Resources, Inc. | | | 1,002 | | | | | | | | 101,302 | |
EQT Corporation | | | 244 | | | | | | | | 15,958 | |
Exxon Mobil Corporation | | | 64,732 | | | | | | | | 5,842,710 | |
First Solar, Inc.* | | | 87 | | | | | | | | 2,792 | |
FMC Technologies, Inc.* | | | 280 | | | | | | | | 9,948 | |
Halliburton Co. | | | 1,553 | | | | | | | | 84,002 | |
Helmerich & Payne, Inc. | | | 350 | | | | | | | | 27,090 | |
Hess Corporation | | | 400 | | | | | | | | 24,916 | |
Kinder Morgan, Inc. | | | 2,911 | | | | | | | | 60,287 | |
Marathon Oil Corporation | | | 1,361 | | | | | | | | 23,559 | |
Marathon Petroleum Corporation | | | 921 | | | | | | | | 46,372 | |
Murphy Oil Corporation | | | 380 | | | | | | | | 11,829 | |
National Oilwell Varco, Inc. | | | 635 | | | | | | | | 23,774 | |
Newfield Exploration Co.* | | | 284 | | | | | | | | 11,502 | |
Noble Energy, Inc. | | | 885 | | | | | | | | 33,683 | |
Occidental Petroleum Corporation | | | 55,735 | | | | | | | | 3,970,004 | |
ONEOK, Inc. | | | 397 | | | | | | | | 22,792 | |
Phillips 66 | | | 702 | | | | | | | | 60,660 | |
Pioneer Natural Resources Co. | | | 320 | | | | | | | | 57,622 | |
Range Resources Corporation | | | 186 | | | | | | | | 6,391 | |
Southwestern Energy Co.* | | | 876 | | | | | | | | 9,478 | |
Spectra Energy Corporation | | | 1,307 | | | | | | | | 53,705 | |
Tesoro Corporation | | | 143 | | | | | | | | 12,505 | |
Valero Energy Corporation | | | 716 | | | | | | | | 48,917 | |
Williams Cos., Inc. (The) | | | 1,187 | | | | | | | | 36,963 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 16,615,826 | |
| | | | | | | | | | | | |
Financial Services — 8.5% | |
Affiliated Managers Group, Inc.* | | | 64 | | | | | | | | 9,299 | |
Aflac, Inc. | | | 1,630 | | | | | | | | 113,448 | |
Alleghany Corporation* | | | 1,440 | | | | | | | | 875,693 | |
Alliance Data Systems Corporation | | | 78 | | | | | | | | 17,823 | |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
Allstate Corporation (The) | | | 51,545 | | | | | | | $ | 3,820,515 | |
American Express Co. | | | 8,059 | | | | | | | | 597,011 | |
American Financial Group, Inc. | | | 7,038 | | | | | | | | 620,189 | |
American International Group, Inc. | | | 1,986 | | | | | | | | 129,706 | |
American Tower Corporation REIT | | | 15,334 | | | | | | | | 1,620,497 | |
Ameriprise Financial, Inc. | | | 269 | | | | | | | | 29,843 | |
Apartment Investment & Management Co. Class A REIT | | | 481 | | | | | | | | 21,861 | |
Arthur J. Gallagher & Co. | | | 357 | | | | | | | | 18,550 | |
Assurant, Inc. | | | 75 | | | | | | | | 6,964 | |
AvalonBay Communities, Inc. REIT | | | 351 | | | | | | | | 62,180 | |
Bank of America Corporation | | | 17,723 | | | | | | | | 391,678 | |
Bank of Hawaii CorporationD | | | 9,804 | | | | | | | | 869,517 | |
Bank of New York Mellon Corporation (The) | | | 1,670 | | | | | | | | 79,125 | |
BB&T Corporation | | | 6,450 | | | | | | | | 303,279 | |
Berkshire Hathaway, Inc. Class B* | | | 3,177 | | | | | | | | 517,787 | |
BlackRock, Inc. | | | 2,840 | | | | | | | | 1,080,734 | |
Boston Properties, Inc. REIT | | | 7,557 | | | | | | | | 950,519 | |
Capital One Financial Corporation | | | 785 | | | | | | | | 68,483 | |
Capitol Federal Financial, Inc. | | | 235,600 | | | | | | | | 3,877,976 | |
CBOE Holdings, Inc.D | | | 5,112 | | | | | | | | 377,726 | |
CBRE Group, Inc. Class A* | | | 315 | | | | | | | | 9,919 | |
Charles Schwab Corporation (The) | | | 2,096 | | | | | | | | 82,729 | |
Cincinnati Financial Corporation | | | 334 | | | | | | | | 25,300 | |
Citigroup, Inc. | | | 5,046 | | | | | | | | 299,884 | |
Citizens Financial Group, Inc. | | | 400 | | | | | | | | 14,252 | |
CME Group, Inc. | | | 662 | | | | | | | | 76,362 | |
Comerica, Inc. | | | 23,102 | | | | | | | | 1,573,477 | |
Commerce Bancshares, Inc. | | | 31,504 | | | | | | | | 1,821,246 | |
Crown Castle International Corporation REIT | | | 1,012 | | | | | | | | 87,811 | |
Digital Realty Trust, Inc. REIT | | | 278 | | | | | | | | 27,316 | |
Discover Financial Services | | | 1,687 | | | | | | | | 121,616 | |
Dun & Bradstreet Corporation (The) | | | 354 | | | | | | | | 42,947 | |
E*TRADE Financial Corporation* | | | 326 | | | | | | | | 11,296 | |
Equifax, Inc. | | | 179 | | | | | | | | 21,163 | |
Equinix, Inc. REIT | | | 119 | | | | | | | | 42,532 | |
Equity Residential REIT | | | 543 | | | | | | | | 34,947 | |
Erie Indemnity Co. Class A | | | 1,754 | | | | | | | | 197,237 | |
Essex Property Trust, Inc. REIT | | | 90 | | | | | | | | 20,925 | |
Extra Space Storage, Inc. REIT | | | 139 | | | | | | | | 10,736 | |
FactSet Research Systems, Inc.D | | | 1,168 | | | | | | | | 190,886 | |
Federal Realty Investment Trust REIT | | | 55 | | | | | | | | 7,816 | |
Fidelity National Information Services, Inc. | | | 549 | | | | | | | | 41,526 | |
Fifth Third Bancorp | | | 1,381 | | | | | | | | 37,246 | |
Fiserv, Inc.* | | | 888 | | | | | | | | 94,377 | |
FNF Group | | | 1,309 | | | | | | | | 44,454 | |
Franklin Resources, Inc. | | | 4,632 | | | | | | | | 183,335 | |
General Growth Properties, Inc. REIT | | | 589 | | | | | | | | 14,713 | |
Global Payments, Inc. | | | 200 | | | | | | | | 13,882 | |
| | | | |
| 162 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
Goldman Sachs Group, Inc. (The) | | | 655 | | | | | | | $ | 156,840 | |
Hartford Financial Services Group, Inc. (The) | | | 633 | | | | | | | | 30,162 | |
HCP, Inc. REIT | | | 895 | | | | | | | | 26,599 | |
Host Hotels & Resorts, Inc. REIT | | | 6,712 | | | | | | | | 126,454 | |
Huntington Bancshares, Inc. | | | 1,372 | | | | | | | | 18,138 | |
Intercontinental Exchange, Inc. | | | 960 | | | | | | | | 54,163 | |
Iron Mountain, Inc. REIT | | | 502 | | | | | | | | 16,305 | |
Jack Henry & Associates, Inc. | | | 2,600 | | | | | | | | 230,828 | |
JPMorgan Chase & Co. | | | 49,553 | | | | | | | | 4,275,928 | |
KeyCorp | | | 1,880 | | | | | | | | 34,348 | |
Kimco Realty Corporation REIT | | | 474 | | | | | | | | 11,926 | |
Leucadia National Corporation | | | 355 | | | | | | | | 8,254 | |
Lincoln National Corporation | | | 300 | | | | | | | | 19,881 | |
Loews Corporation | | | 130 | | | | | | | | 6,088 | |
M&T Bank Corporation | | | 11,620 | | | | | | | | 1,817,717 | |
Macerich Co. (The) REIT | | | 159 | | | | | | | | 11,264 | |
Markel Corporation* | | | 1,618 | | | | | | | | 1,463,481 | |
Marsh & McLennan Cos., Inc. | | | 74,372 | | | | | | | | 5,026,803 | |
MasterCard, Inc. Class A | | | 16,325 | | | | | | | | 1,685,556 | |
Mercury General CorporationD | | | 5,424 | | | | | | | | 326,579 | |
MetLife, Inc. | | | 12,202 | | | | | | | | 657,566 | |
Moody’s Corporation | | | 279 | | | | | | | | 26,301 | |
Morgan Stanley | | | 2,825 | | | | | | | | 119,356 | |
Nasdaq, Inc. | | | 251 | | | | | | | | 16,847 | |
Navient Corporation | | | 520 | | | | | | | | 8,544 | |
New York Community Bancorp, Inc. | | | 31,852 | | | | | | | | 506,765 | |
Northern Trust Corporation | | | 37,670 | | | | | | | | 3,354,513 | |
PayPal Holdings, Inc.* | | | 1,878 | | | | | | | | 74,125 | |
People’s United Financial, Inc. | | | 674 | | | | | | | | 13,049 | |
PNC Financial Services Group, Inc. (The) | | | 40,882 | | | | | | | | 4,781,559 | |
Principal Financial Group, Inc. | | | 542 | | | | | | | | 31,360 | |
ProAssurance Corporation | | | 6,126 | | | | | | | | 344,281 | |
Progressive Corporation (The) | | | 60,100 | | | | | | | | 2,133,550 | |
Prologis, Inc. REIT | | | 1,007 | | | | | | | | 53,160 | |
Prudential Financial, Inc. | | | 899 | | | | | | | | 93,550 | |
Public Storage REIT | | | 226 | | | | | | | | 50,511 | |
Realty Income Corporation REIT | | | 388 | | | | | | | | 22,302 | |
Regions Financial Corporation | | | 4,384 | | | | | | | | 62,954 | |
S&P Global, Inc. | | | 430 | | | | | | | | 46,242 | |
Signature Bank* | | | 1,800 | | | | | | | | 270,360 | |
Simon Property Group, Inc. REIT | | | 789 | | | | | | | | 140,182 | |
SL Green Realty Corporation REIT | | | 174 | | | | | | | | 18,714 | |
State Street Corporation | | | 604 | | | | | | | | 46,943 | |
SunTrust Banks, Inc. | | | 65,407 | | | | | | | | 3,587,574 | |
SVB Financial Group* | | | 1,112 | | | | | | | | 190,886 | |
Synchrony Financial | | | 1,268 | | | | | | | | 45,990 | |
T. Rowe Price Group, Inc. | | | 3,277 | | | | | | | | 246,627 | |
TCF Financial Corporation | | | 9,485 | | | | | | | | 185,811 | |
TFS Financial Corporation | | | 8,840 | | | | | | | | 168,314 | |
Torchmark Corporation | | | 321 | | | | | | | | 23,677 | |
Total System Services, Inc. | | | 261 | | | | | | | | 12,797 | |
Travelers Cos., Inc. (The) | | | 17,895 | | | | | | | | 2,190,706 | |
U.S. Bancorp | | | 81,008 | | | | | | | | 4,161,381 | |
UDR, Inc. REIT | | | 300 | | | | | | | | 10,944 | |
Unum Group | | | 295 | | | | | | | | 12,959 | |
Ventas, Inc. REIT | | | 697 | | | | | | | | 43,576 | |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
Visa, Inc. Class AD | | | 32,904 | | | | | | | $ | 2,567,170 | |
Vornado Realty Trust REIT | | | 299 | | | | | | | | 31,207 | |
W.R. Berkley Corporation | | | 4,601 | | | | | | | | 306,013 | |
Wells Fargo & Co. | | | 70,645 | | | | | | | | 3,893,246 | |
Welltower, Inc. REIT | | | 643 | | | | | | | | 43,036 | |
Western Union Co. (The) | | | 622 | | | | | | | | 13,510 | |
Weyerhaeuser Co. REIT | | | 91,407 | | | | | | | | 2,750,437 | |
Zions Bancorporation | | | 159 | | | | | | | | 6,843 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 70,323,085 | |
| | | | | | | | | | | | |
Healthcare — 4.6% | |
Abbott Laboratories | | | 13,113 | | | | | | | | 503,670 | |
AbbVie, Inc. | | | 3,182 | | | | | | | | 199,257 | |
ABIOMED, Inc.* | | | 2,890 | | | | | | | | 325,645 | |
Aetna, Inc. | | | 4,708 | | | | | | | | 583,839 | |
Agilent Technologies, Inc. | | | 647 | | | | | | | | 29,477 | |
Alexion Pharmaceuticals, Inc.* | | | 399 | | | | | | | | 48,818 | |
Align Technology, Inc.* | | | 2,927 | | | | | | | | 281,373 | |
Amgen, Inc. | | | 2,100 | | | | | | | | 307,041 | |
Anthem, Inc. | | | 4,222 | | | | | | | | 606,997 | |
Baxter International, Inc. | | | 34,968 | | | | | | | | 1,550,481 | |
Becton Dickinson and Co. | | | 6,732 | | | | | | | | 1,114,483 | |
Biogen, Inc.* | | | 710 | | | | | | | | 201,342 | |
Bio-Rad Laboratories, Inc. Class A* | | | 292 | | | | | | | | 53,226 | |
Boston Scientific Corporation* | | | 2,122 | | | | | | | | 45,899 | |
Bristol-Myers Squibb Co. | | | 40,140 | | | | | | | | 2,345,782 | |
Bruker Corporation | | | 5,197 | | | | | | | | 110,072 | |
C.R. Bard, Inc. | | | 4,228 | | | | | | | | 949,862 | |
Cardinal Health, Inc. | | | 19,360 | | | | | | | | 1,393,339 | |
Celgene Corporation* | | | 1,324 | | | | | | | | 153,253 | |
Centene Corporation* | | | 253 | | | | | | | | 14,297 | |
Cerner Corporation* | | | 2,127 | | | | | | | | 100,756 | |
Cigna Corporation | | | 450 | | | | | | | | 60,025 | |
Cooper Cos., Inc. (The) | | | 110 | | | | | | | | 19,242 | |
Danaher Corporation | | | 4,960 | | | | | | | | 386,086 | |
DaVita, Inc.* | | | 200 | | | | | | | | 12,840 | |
DENTSPLY SIRONA, Inc. | | | 281 | | | | | | | | 16,222 | |
DexCom, Inc.D* | | | 4,979 | | | | | | | | 297,246 | |
Edwards Lifesciences Corporation* | | | 6,349 | | | | | | | | 594,901 | |
Eli Lilly & Co. | | | 44,511 | | | | | | | | 3,273,784 | |
Express Scripts Holding Co.* | | | 4,732 | | | | | | | | 325,514 | |
Gilead Sciences, Inc. | | | 2,291 | | | | | | | | 164,059 | |
HCA Holdings, Inc.* | | | 500 | | | | | | | | 37,010 | |
Henry Schein, Inc.* | | | 4,011 | | | | | | | | 608,509 | |
Hologic, Inc.* | | | 233 | | | | | | | | 9,348 | |
Humana, Inc. | | | 232 | | | | | | | | 47,335 | |
IDEXX Laboratories, Inc.* | | | 1,043 | | | | | | | | 122,313 | |
Illumina, Inc.* | | | 568 | | | | | | | | 72,727 | |
Intuitive Surgical, Inc.* | | | 958 | | | | | | | | 607,535 | |
Johnson & Johnson | | | 118,533 | | | | | | | | 13,656,187 | |
Laboratory Corporation of America Holdings* | | | 195 | | | | | | | | 25,034 | |
McKesson Corporation | | | 1,911 | | | | | | | | 268,400 | |
Patterson Cos., Inc.D | | | 3,219 | | | | | | | | 132,076 | |
PerkinElmer, Inc. | | | 318 | | | | | | | | 16,584 | |
Quest Diagnostics, Inc. | | | 8,302 | | | | | | | | 762,954 | |
Regeneron Pharmaceuticals, Inc.* | | | 312 | | | | | | | | 114,532 | |
ResMed, Inc.D | | | 3,044 | | | | | | | | 188,880 | |
Seattle Genetics, Inc.D* | | | 2,476 | | | | | | | | 130,659 | |
St. Jude Medical, Inc. | | | 480 | | | | | | | | 38,491 | |
Stryker Corporation | | | 11,779 | | | | | | | | 1,411,242 | |
Thermo Fisher Scientific, Inc. | | | 705 | | | | | | | | 99,475 | |
| | | | |
| | See Notes to Financial Statements. | | 163 |
DEFENSIVE MARKET STRATEGIES FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Shares | | | Value | |
United Therapeutics CorporationD* | | | 1,627 | | | | | | | $ | 233,361 | |
UnitedHealth Group, Inc. | | | 16,191 | | | | | | | | 2,591,208 | |
Universal Health Services, Inc. Class B | | | 174 | | | | | | | | 18,510 | |
Veeva Systems, Inc. Class A* | | | 2,650 | | | | | | | | 107,855 | |
Vertex Pharmaceuticals, Inc.* | | | 417 | | | | | | | | 30,720 | |
Zimmer Biomet Holdings, Inc. | | | 334 | | | | | | | | 34,469 | |
Zoetis, Inc. | | | 2,866 | | | | | | | | 153,417 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 37,587,659 | |
| | | | | | | | | | | | |
Materials & Processing — 1.0% | |
Acuity Brands, Inc.D | | | 847 | | | | | | | | 195,538 | |
Air Products & Chemicals, Inc. | | | 4,066 | | | | | | | | 584,772 | |
Albemarle Corporation | | | 163 | | | | | | | | 14,031 | |
Ball Corporation | | | 226 | | | | | | | | 16,966 | |
Bemis Co., Inc. | | | 73,900 | | | | | | | | 3,533,898 | |
CF Industries Holdings, Inc. | | | 530 | | | | | | | | 16,684 | |
Dow Chemical Co. (The) | | | 1,849 | | | | | | | | 105,800 | |
E.I. du Pont de Nemours & Co. | | | 2,940 | | | | | | | | 215,796 | |
Eastman Chemical Co. | | | 174 | | | | | | | | 13,086 | |
Ecolab, Inc. | | | 6,488 | | | | | | | | 760,523 | |
Fastenal Co.D | | | 6,147 | | | | | | | | 288,786 | |
FMC Corporation | | | 151 | | | | | | | | 8,540 | |
Freeport-McMoRan, Inc.* | | | 1,994 | | | | | | | | 26,301 | |
International Flavors & Fragrances, Inc. | | | 693 | | | | | | | | 81,656 | |
International Paper Co. | | | 550 | | | | | | | | 29,183 | |
Martin Marietta Materials, Inc. | | | 107 | | | | | | | | 23,704 | |
Masco Corporation | | | 401 | | | | | | | | 12,680 | |
Monsanto Co. | | | 713 | | | | | | | | 75,015 | |
Mosaic Co. (The) | | | 713 | | | | | | | | 20,912 | |
NewMarket CorporationD | | | 415 | | | | | | | | 175,894 | |
Newmont Mining Corporation | | | 1,042 | | | | | | | | 35,501 | |
Nucor Corporation | | | 459 | | | | | | | | 27,320 | |
PPG Industries, Inc. | | | 6,926 | | | | | | | | 656,308 | |
Praxair, Inc. | | | 2,185 | | | | | | | | 256,060 | |
Sealed Air Corporation | | | 225 | | | | | | | | 10,201 | |
Sherwin-Williams Co. (The) | | | 4,551 | | | | | | | | 1,223,036 | |
Vulcan Materials Co. | | | 294 | | | | | | | | 36,794 | |
WestRock Co. | | | 409 | | | | | | | | 20,765 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,465,750 | |
| | | | | | | | | | | | |
Producer Durables — 5.9% | |
3M Co. | | | 27,954 | | | | | | | | 4,991,746 | |
Alaska Air Group, Inc. | | | 2,858 | | | | | | | | 253,590 | |
American Airlines Group, Inc. | | | 837 | | | | | | | | 39,079 | |
AMETEK, Inc. | | | 278 | | | | | | | | 13,511 | |
Arconic, Inc. | | | 520 | | | | | | | | 9,641 | |
Automatic Data Processing, Inc. | | | 46,653 | | | | | | | | 4,794,995 | |
Boeing Co. (The) | | | 13,104 | | | | | | | | 2,040,031 | |
C.H. Robinson Worldwide, Inc. | | | 2,398 | | | | | | | | 175,677 | |
Carlisle Cos., Inc. | | | 299 | | | | | | | | 32,977 | |
Caterpillar, Inc. | | | 1,029 | | | | | | | | 95,429 | |
Cintas Corporation | | | 3,375 | | | | | | | | 390,015 | |
CSX Corporation | | | 1,818 | | | | | | | | 65,321 | |
Cummins, Inc. | | | 1,515 | | | | | | | | 207,055 | |
Deere & Co. | | | 484 | | | | | | | | 49,871 | |
Delta Air Lines, Inc. | | | 1,480 | | | | | | | | 72,801 | |
Dover Corporation | | | 192 | | | | | | | | 14,386 | |
Emerson Electric Co. | | | 23,353 | | | | | | | | 1,301,930 | |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
Expeditors International of Washington, Inc. | | | 15,163 | | | | | | | $ | 803,032 | |
FedEx Corporation | | | 3,371 | | | | | | | | 627,680 | |
FLIR Systems, Inc. | | | 1,545 | | | | | | | | 55,914 | |
Flowserve Corporation | | | 133 | | | | | | | | 6,391 | |
Fluor Corporation | | | 182 | | | | | | | | 9,559 | |
Fortive Corporation | | | 430 | | | | | | | | 23,061 | |
General Dynamics Corporation | | | 4,692 | | | | | | | | 810,121 | |
General Electric Co. | | | 61,230 | | | | | | | | 1,934,868 | |
Honeywell International, Inc. | | | 13,327 | | | | | | | | 1,543,933 | |
Huntington Ingalls Industries, Inc. | | | 1,631 | | | | | | | | 300,414 | |
Illinois Tool Works, Inc. | | | 497 | | | | | | | | 60,863 | |
J.B. Hunt Transport Services, Inc. | | | 1,066 | | | | | | | | 103,477 | |
Jacobs Engineering Group, Inc.* | | | 78 | | | | | | | | 4,446 | |
Kansas City Southern | | | 154 | | | | | | | | 13,067 | |
L-3 Communications Holdings, Inc. | | | 139 | | | | | | | | 21,143 | |
Landstar System, Inc. | | | 8,070 | | | | | | | | 688,371 | |
Lockheed Martin Corporation | | | 5,365 | | | | | | | | 1,340,928 | |
Mettler-Toledo International, Inc.* | | | 1,916 | | | | | | | | 801,961 | |
Norfolk Southern Corporation | | | 455 | | | | | | | | 49,172 | |
Northrop Grumman Corporation | | | 4,232 | | | | | | | | 984,279 | |
PACCAR, Inc. | | | 655 | | | | | | | | 41,854 | |
Parker-Hannifin Corporation | | | 429 | | | | | | | | 60,060 | |
Paychex, Inc. | | | 21,326 | | | | | | | | 1,298,327 | |
Pitney Bowes, Inc. | | | 332 | | | | | | | | 5,043 | |
Quanta Services, Inc.* | | | 139 | | | | | | | | 4,844 | |
Raytheon Co. | | | 8,084 | | | | | | | | 1,147,928 | |
Republic Services, Inc. | | | 124,693 | | | | | | | | 7,113,736 | |
Robert Half International, Inc. | | | 3,476 | | | | | | | | 169,559 | |
Rockwell Automation, Inc. | | | 12,041 | | | | | | | | 1,618,310 | |
Rockwell Collins, Inc.D | | | 3,303 | | | | | | | | 306,386 | |
Rollins, Inc.D | | | 10,864 | | | | | | | | 366,986 | |
Roper Technologies, Inc. | | | 165 | | | | | | | | 30,208 | |
Ryder System, Inc. | | | 111 | | | | | | | | 8,263 | |
Snap-on, Inc. | | | 44 | | | | | | | | 7,536 | |
Southwest Airlines Co. | | | 7,558 | | | | | | | | 376,691 | |
Stanley Black & Decker, Inc. | | | 11,720 | | | | | | | | 1,344,167 | |
Stericycle, Inc.* | | | 97 | | | | | | | | 7,473 | |
Textron, Inc. | | | 272 | | | | | | | | 13,208 | |
TransDigm Group, Inc. | | | 70 | | | | | | | | 17,427 | |
Union Pacific Corporation | | | 7,297 | | | | | | | | 756,553 | |
United Continental Holdings, Inc.* | | | 462 | | | | | | | | 33,671 | |
United Parcel Service, Inc. Class B | | | 48,568 | | | | | | | | 5,567,836 | |
United Rentals, Inc.* | | | 123 | | | | | | | | 12,986 | |
United Technologies Corporation | | | 8,131 | | | | | | | | 891,320 | |
Verisk Analytics, Inc.* | | | 195 | | | | | | | | 15,828 | |
W.W. Grainger, Inc.D | | | 878 | | | | | | | | 203,915 | |
Waste Management, Inc. | | | 31,272 | | | | | | | | 2,217,498 | |
Waters Corporation* | | | 738 | | | | | | | | 99,180 | |
Xerox Corporation | | | 1,257 | | | | | | | | 10,974 | |
Xylem, Inc. | | | 389 | | | | | | | | 19,263 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 48,497,765 | |
| | | | | | | | | | | | |
Technology — 4.3% | | | | | | | | | | | | |
Activision Blizzard, Inc. | | | 1,188 | | | | | | | | 42,899 | |
Adobe Systems, Inc.* | | | 8,263 | | | | | | | | 850,676 | |
Akamai Technologies, Inc.* | | | 203 | | | | | | | | 13,536 | |
| | | | |
| 164 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
Alphabet, Inc. Class A* | | | 3,482 | | | | | | | $ | 2,759,311 | |
Alphabet, Inc. Class C* | | | 513 | | | | | | | | 395,944 | |
Amphenol Corporation Class A | | | 516 | | | | | | | | 34,675 | |
Analog Devices, Inc. | | | 2,927 | | | | | | | | 212,559 | |
ANSYS, Inc.* | | | 733 | | | | | | | | 67,795 | |
Apple, Inc. | | | 19,858 | | | | | | | | 2,299,953 | |
Applied Materials, Inc. | | | 69,914 | | | | | | | | 2,256,125 | |
Arista Networks, Inc.D* | | | 1,572 | | | | | | | | 152,122 | |
Autodesk, Inc.* | | | 417 | | | | | | | | 30,862 | |
CA, Inc. | | | 706 | | | | | | | | 22,430 | |
Cisco Systems, Inc. | | | 53,789 | | | | | | | | 1,625,504 | |
Citrix Systems, Inc.* | | | 271 | | | | | | | | 24,203 | |
Cognizant Technology Solutions Corporation Class A* | | | 772 | | | | | | | | 43,255 | |
Corning, Inc. | | | 1,580 | | | | | | | | 38,347 | |
CSRA, Inc. | | | 165 | | | | | | | | 5,254 | |
Electronic Arts, Inc.* | | | 523 | | | | | | | | 41,191 | |
F5 Networks, Inc.* | | | 2,946 | | | | | | | | 426,345 | |
Facebook, Inc. Class A* | | | 13,534 | | | | | | | | 1,557,087 | |
Gartner, Inc.* | | | 4,526 | | | | | | | | 457,443 | |
Harris Corporation | | | 176 | | | | | | | | 18,035 | |
Hewlett Packard Enterprise Co. | | | 2,988 | | | | | | | | 69,142 | |
HP, Inc. | | | 2,972 | | | | | | | | 44,104 | |
Intel Corporation | | | 34,316 | | | | | | | | 1,244,641 | |
International Business Machines Corporation | | | 9,919 | | | | | | | | 1,646,455 | |
Intuit, Inc. | | | 13,910 | | | | | | | | 1,594,225 | |
IPG Photonics Corporation* | | | 367 | | | | | | | | 36,227 | |
Juniper Networks, Inc. | | | 571 | | | | | | | | 16,136 | |
KLA-Tencor Corporation | | | 188 | | | | | | | | 14,792 | |
Lam Research Corporation | | | 181 | | | | | | | | 19,137 | |
Linear Technology Corporation | | | 268 | | | | | | | | 16,710 | |
Maxim Integrated Products, Inc. | | | 127,965 | | | | | | | | 4,935,610 | |
Microchip Technology, Inc. | | | 519 | | | | | | | | 33,294 | |
Micron Technology, Inc.* | | | 1,555 | | | | | | | | 34,086 | |
Microsoft Corporation | | | 80,979 | | | | | | | | 5,032,035 | |
Motorola Solutions, Inc. | | | 226 | | | | | | | | 18,733 | |
NetApp, Inc. | | | 374 | | | | | | | | 13,191 | |
NVIDIA CorporationD | | | 9,194 | | | | | | | | 981,368 | |
Oracle Corporation | | | 55,735 | | | | | | | | 2,143,011 | |
Palo Alto Networks, Inc.* | | | 1,328 | | | | | | | | 166,066 | |
Qorvo, Inc.* | | | 175 | | | | | | | | 9,228 | |
QUALCOMM, Inc. | | | 12,959 | | | | | | | | 844,927 | |
Red Hat, Inc.* | | | 303 | | | | | | | | 21,119 | |
salesforce.com, Inc.* | | | 1,070 | | | | | | | | 73,252 | |
Skyworks Solutions, Inc. | | | 314 | | | | | | | | 23,443 | |
Symantec Corporation | | | 1,290 | | | | | | | | 30,818 | |
Synopsys, Inc.* | | | 600 | | | | | | | | 35,316 | |
Teradata Corporation* | | | 9,710 | | | | | | | | 263,821 | |
Texas Instruments, Inc. | | | 23,588 | | | | | | | | 1,721,216 | |
VeriSign, Inc.* | | | 180 | | | | | | | | 13,693 | |
Western Digital Corporation | | | 476 | | | | | | | | 32,344 | |
Xilinx, Inc. | | | 6,137 | | | | | | | | 370,491 | |
Yahoo!, Inc.* | | | 1,518 | | | | | | | | 58,701 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 34,932,883 | |
| | | | | | | | | | | | |
Utilities — 5.9% | | | | | | | | | | | | |
AES Corporation | | | 1,420 | | | | | | | | 16,500 | |
Alliant Energy Corporation | | | 4,100 | | | | | | | | 155,349 | |
Ameren Corporation | | | 18,862 | | | | | | | | 989,500 | |
American Electric Power Co., Inc. | | | 16,406 | | | | | | | | 1,032,922 | |
American Water Works Co., Inc. | | | 21,200 | | | | | | | | 1,534,032 | |
Aqua America, Inc. | | | 38,993 | | | | | | | | 1,171,350 | |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
AT&T, Inc. | | | 91,542 | | | | | | | $ | 3,893,281 | |
Atmos Energy Corporation | | | 49,757 | | | | | | | | 3,689,482 | |
CenterPoint Energy, Inc. | | | 11,510 | | | | | | | | 283,606 | |
CenturyLink, Inc. | | | 1,162 | | | | | | | | 27,632 | |
CMS Energy Corporation | | | 355 | | | | | | | | 14,775 | |
Consolidated Edison, Inc. | | | 16,860 | | | | | | | | 1,242,245 | |
Dominion Resources, Inc. | | | 15,147 | | | | | | | | 1,160,109 | |
DTE Energy Co. | | | 9,728 | | | | | | | | 958,305 | |
Duke Energy Corporation | | | 13,455 | | | | | | | | 1,044,377 | |
Edison International | | | 18,286 | | | | | | | | 1,316,409 | |
Entergy Corporation | | | 614 | | | | | | | | 45,111 | |
Eversource Energy | | | 27,353 | | | | | | | | 1,510,706 | |
Exelon Corporation | | | 9,302 | | | | | | | | 330,128 | |
FirstEnergy Corporation | | | 1,116 | | | | | | | | 34,563 | |
Frontier Communications Corporation | | | 3,719 | | | | | | | | 12,570 | |
Level 3 Communications, Inc.* | | | 391 | | | | | | | | 22,037 | |
NextEra Energy, Inc. | | | 11,087 | | | | | | | | 1,324,453 | |
NiSource, Inc. | | | 15,696 | | | | | | | | 347,509 | |
NRG Energy, Inc. | | | 370 | | | | | | | | 4,536 | |
OGE Energy Corporation | | | 10,332 | | | | | | | | 345,606 | |
ONE Gas, Inc. | | | 70,749 | | | | | | | | 4,525,106 | |
PG&E Corporation | | | 60,807 | | | | | | | | 3,695,241 | |
Pinnacle West Capital Corporation | | | 18,265 | | | | | | | | 1,425,218 | |
PPL Corporation | | | 5,163 | | | | | | | | 175,800 | |
Public Service Enterprise Group, Inc. | | | 42,817 | | | | | | | | 1,878,810 | |
SCANA Corporation | | | 161 | | | | | | | | 11,798 | |
Sempra Energy | | | 9,189 | | | | | | | | 924,781 | |
Southern Co. (The) | | | 31,693 | | | | | | | | 1,558,979 | |
UGI Corporation | | | 26,917 | | | | | | | | 1,240,335 | |
Vectren Corporation | | | 15,886 | | | | | | | | 828,455 | |
Verizon Communications, Inc. | | | 108,949 | | | | | | | | 5,815,698 | |
WEC Energy Group, Inc. | | | 8,713 | | | | | | | | 511,017 | |
WGL Holdings, Inc. | | | 30,200 | | | | | | | | 2,303,656 | |
Xcel Energy, Inc. | | | 19,740 | | | | | | | | 803,418 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 48,205,405 | |
| | | | | | | | | | | | |
Total Common Stocks
(Cost $293,545,070) | | | | | | | | | | | 350,443,281 | |
| | | | | | | | | | | | |
FOREIGN COMMON STOCKS — 3.6% | |
Bermuda — 0.6% | | | | | | | | | | | | |
Arch Capital Group, Ltd.* | | | 14,300 | | | | | | | | 1,233,947 | |
Axis Capital Holdings, Ltd. | | | 3,742 | | | | | | | | 244,240 | |
Everest Re Group, Ltd. | | | 8,316 | | | | | | | | 1,799,582 | |
Invesco, Ltd. | | | 19,616 | | | | | | | | 595,149 | |
RenaissanceRe Holdings, Ltd. | | | 4,600 | | | | | | | | 626,612 | |
Signet Jewelers, Ltd. | | | 97 | | | | | | | | 9,143 | |
White Mountains Insurance Group, Ltd. | | | 230 | | | | | | | | 192,292 | |
XL Group, Ltd. | | | 452 | | | | | | | | 16,842 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,717,807 | |
| | | | | | | | | | | | |
British Virgin Islands — 0.0% | |
Michael Kors Holdings, Ltd.* | | | 280 | | | | | | | | 12,034 | |
| | | | | | | | | | | | |
Curacao — 0.6% | | | | | | | | | | | | |
Schlumberger, Ltd. | | | 60,442 | | | | | | | | 5,074,106 | |
| | | | | | | | | | | | |
France — 0.9% | | | | | | | | | | | | |
TOTAL SA | | | 139,160 | | | | | | | | 7,136,861 | |
| | | | | | | | | | | | |
Guernsey — 0.0% | | | | | | | | | | | | |
Amdocs, Ltd. | | | 1,249 | | | | | | | | 72,754 | |
| | | | | | | | | | | | |
Ireland — 0.7% | | | | | | | | | | | | |
Accenture PLC Class A | | | 10,842 | | | | | | | | 1,269,923 | |
Allegion PLC | | | 94 | | | | | | | | 6,016 | |
| | | | |
| | See Notes to Financial Statements. | | 165 |
DEFENSIVE MARKET STRATEGIES FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
Eaton Corporation PLC | | | 837 | | | | | | | $ | 56,154 | |
Ingersoll-Rand PLC | | | 431 | | | | | | | | 32,342 | |
Johnson Controls International PLC | | | 1,765 | | | | | | | | 72,700 | |
Mallinckrodt PLC* | | | 1,829 | | | | | | | | 91,121 | |
Medtronic PLC | | | 56,202 | | | | | | | | 4,003,268 | |
Pentair PLC | | | 224 | | | | | | | | 12,560 | |
Seagate Technology PLC | | | 738 | | | | | | | | 28,170 | |
Willis Towers Watson PLC | | | 205 | | | | | | | | 25,067 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,597,321 | |
| | | | | | | | | | | | |
Jersey — 0.1% | | | | | | | | | | | | |
Delphi Automotive PLC | | | 10,051 | | | | | | | | 676,935 | |
| | | | | | | | | | | | |
Liberia — 0.0% | | | | | | | | | | | | |
Royal Caribbean Cruises, Ltd. | | | 290 | | | | | | | | 23,792 | |
| | | | | | | | | | | | |
Netherlands — 0.1% | | | | | | | | | | | | |
Frank’s International NVD | | | 41,302 | | | | | | | | 508,428 | |
LyondellBasell Industries NV Class A | | | 618 | | | | | | | | 53,012 | |
Mylan NV* | | | 3,383 | | | | | | | | 129,061 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 690,501 | |
| | | | | | | | | | | | |
Panama — 0.0% | | | | | | | | | | | | |
Carnival Corporation | | | 789 | | | | | | | | 41,075 | |
| | | | | | | | | | | | |
Singapore — 0.0% | | | | | | | | | | | | |
Broadcom, Ltd. | | | 669 | | | | | | | | 118,259 | |
| | | | | | | | | | | | |
Switzerland — 0.5% | | | | | | | | | | | | |
Chubb, Ltd. | | | 31,448 | | | | | | | | 4,154,910 | |
Garmin, Ltd.D | | | 5,460 | | | | | | | | 264,755 | |
TE Connectivity, Ltd. | | | 617 | | | | | | | | 42,746 | |
Transocean, Ltd.* | | | 893 | | | | | | | | 13,163 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,475,574 | |
| | | | | | | | | | | | |
United Kingdom — 0.1% | | | | | | | | | | | | |
Aon PLC | | | 7,128 | | | | | | | | 794,986 | |
Nielsen Holdings PLC | | | 545 | | | | | | | | 22,863 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 817,849 | |
| | | | | | | | | | | | |
Total Foreign Common Stocks
(Cost $25,544,172) | | | | | | | | 29,454,868 | |
| | | | | | | | | | | | |
PREFERRED STOCKS — 2.5% | |
Bank of America Corporation | | | | | | | | | | | | |
7.25%, 12/31/49 CONV | | | 4,108 | | | | | | | | 4,793,214 | |
Spire, Inc. | | | | | | | | | | | | |
6.75%, 04/01/17 CONV | | | 69,676 | | | | | | | | 4,015,665 | |
U.S. Bancorp | | | | | | | | | | | | |
6.00%, 12/31/49† | | | 264,700 | | | | | | | | 6,673,087 | |
Wells Fargo & Co. | | | | | | | | | | | | |
7.50%, 12/31/49 CONV | | | 3,999 | | | | | | | | 4,758,810 | |
Welltower, Inc., | | | | | | | | | | | | |
6.50%, 12/31/49 CONV | | | 9,600 | | | | | | | | 577,728 | |
| | | | | | | | | | | | |
Total Preferred Stocks
(Cost $21,352,206) | | | | | | | | | | | 20,818,504 | |
| | | | | | | | | | | | |
MASTER LIMITED PARTNERSHIP — 0.5% | |
Spectra Energy Partners LP
(Cost $4,173,725) | | | 95,472 | | | | | | | | 4,376,437 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
MONEY MARKET FUNDS — 8.4% | |
GuideStone Money Market Fund (Investor Class)¥ | | | 29,868,692 | | | | | | | $ | 29,868,692 | |
Northern Institutional Liquid Assets Portfolio§ | | | 39,313,038 | | | | | | | | 39,313,038 | |
| | | | | | | | | | | | |
Total Money Market Funds
(Cost $69,181,730) | | | | | | | | | | | 69,181,730 | |
| | | | | | | | | | | | |
SYNTHETIC CONVERTIBLE INSTRUMENTS — 0.5% | |
Credit Suisse AG+ 144A | | | 10,400 | | | | | | | | 694,637 | |
Goldman Sachs International+ CONV | | | 9,100 | | | | | | | | 598,361 | |
Morgan Stanley BV+ | | | 12,300 | | | | | | | | 1,300,233 | |
UBS AG+ CONV 144A | | | 5,900 | | | | | | | | 424,092 | |
Wells Fargo Bank NA+ 144A | | | 17,000 | | | | | | | | 1,265,291 | |
| | | | | | | | | | | | |
Total Synthetic Convertible Instruments
(Cost $4,238,899) | | | | 4,282,614 | |
| | | | | | | | | | | | |
| | | |
| | | Par | | | | | | | |
CORPORATE BONDS — 23.7% | |
Akamai Technologies, Inc. | | | | | | | | | | | | |
(1.84)%, 02/15/19 CONVW | | $ | 4,380,000 | | | | | | | | 4,555,222 | |
Allscripts Healthcare Solutions, Inc. | | | | | | | | | | | | |
1.25%, 07/01/20 CONV | | | 3,600,000 | | | | | | | | 3,384,000 | |
Ares Capital Corporation | | | | | | | | | | | | |
4.38%, 01/15/19 CONV | | | 4,596,000 | | | | | | | | 4,774,095 | |
BioMarin Pharmaceutical, Inc. | | | | | | | | | | | | |
1.50%, 10/15/20 CONV | | | 3,306,000 | | | | | | | | 3,890,749 | |
Blackhawk Network Holdings, Inc. | | | | | | | | | | | | |
1.50%, 01/15/22 CONV 144AD | | | 3,030,000 | | | | | | | | 3,120,900 | |
Brookdale Senior Living, Inc. | | | | | | | | | | | | |
2.75%, 06/15/18 CONV | | | 1,665,000 | | | | | | | | 1,626,497 | |
CalAtlantic Group, Inc. | | | | | | | | | | | | |
1.63%, 05/15/18 CONVD | | | 1,542,000 | | | | | | | | 1,852,327 | |
0.25%, 06/01/19 CONV | | | 2,465,000 | | | | | | | | 2,307,856 | |
Chart Industries, Inc. | | | | | | | | | | | | |
2.00%, 08/01/18 CONVD | | | 2,192,000 | | | | | | | | 2,153,640 | |
Chesapeake Energy | | | | | | | | | | | | |
5.50%, 09/15/26 CONV 144A | | | 485,000 | | | | | | | | 527,437 | |
Ciena Corporation | | | | | | | | | | | | |
0.88%, 06/15/17 CONV | | | 1,135,000 | | | | | | | | 1,135,709 | |
Citigroup, Inc. | | | | | | | | | | | | |
5.95%, 07/29/49†D | | | 2,874,000 | | | | | | | | 2,917,110 | |
Citrix Systems, Inc. | | | | | | | | | | | | |
0.50%, 04/15/19 CONV | | | 3,065,000 | | | | | | | | 3,563,062 | |
Colony Starwood Homes REIT | | | | | | | | | | | | |
3.00%, 07/01/19 CONV | | | 1,640,000 | | | | | | | | 1,795,800 | |
DISH Network Corporation | | | | | | | | | | | | |
3.38%, 08/15/26 CONV 144A | | | 3,050,000 | | | | | | | | 3,486,531 | |
Dycom Industries, Inc. | | | | | | | | | | | | |
0.75%, 09/15/21 CONV | | | 1,888,000 | | | | | | | | 2,069,720 | |
Echo Global Logistics, Inc. | | | | | | | | | | | | |
2.50%, 05/01/20 CONVD | | | 1,370,000 | | | | | | | | 1,349,450 | |
Electronics for Imaging, Inc. | | | | | | | | | | | | |
0.75%, 09/01/19 CONVD | | | 3,270,000 | | | | | | | | 3,476,419 | |
Empire State Realty OP LP REIT | | | | | | | | | | | | |
2.63%, 08/15/19 CONV 144AD | | | 1,060,000 | | | | | | | | 1,202,438 | |
| | | | |
| 166 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
Envestnet, Inc. | | | | | | | | | | | | |
1.75%, 12/15/19 CONV | | $ | 1,280,000 | | | | | | | $ | 1,225,600 | |
Euronet Worldwide, Inc. | | | | | | | | | | | | |
1.50%, 10/01/44 CONVD | | | 751,000 | | | | | | | | 873,038 | |
Extra Space Storage LP REIT | | | | | | | | | | | | |
3.13%, 10/01/35 CONV 144A | | | 3,010,000 | | | | | | | | 3,216,937 | |
FireEye, Inc. | | | | | | | | | | | | |
1.00%, 06/01/35 CONV | | | 825,000 | | | | | | | | 766,219 | |
1.63%, 06/01/35 CONVD | | | 855,000 | | | | | | | | 774,309 | |
General Electric Co. | | | | | | | | | | | | |
5.00%, 12/29/49† | | | 5,268,000 | | | | | | | | 5,473,189 | |
Goldman Sachs Group, Inc. | | | | | | | | | | | | |
5.30%, 12/29/49†D | | | 1,496,000 | | | | | | | | 1,438,030 | |
Hologic, Inc. | | | | | | | | | | | | |
1.87%, 12/15/43 STEP CONVW | | | 2,190,000 | | | | | | | | 2,689,594 | |
Huron Consulting Group, Inc. | | | | | | | | | | | | |
1.25%, 10/01/19 CONVD | | | 2,375,000 | | | | | | | | 2,331,953 | |
Illumina, Inc. | | | | | | | | | | | | |
0.50%, 06/15/21 CONV | | | 2,021,000 | | | | | | | | 1,946,476 | |
Impax Laboratories, Inc. | | | | | | | | | | | | |
2.00%, 06/15/22 CONV | | | 2,324,000 | | | | | | | | 1,846,128 | |
Integrated Device Technology, Inc. | | | | | | | | | | | | |
0.88%, 11/15/22 CONVD | | | 2,444,000 | | | | | | | | 2,528,012 | |
Intel Corporation | | | | | | | | | | | | |
2.95%, 12/15/35 CONV | | | 5,652,000 | | | | | | | | 7,647,863 | |
InterDigital, Inc. | | | | | | | | | | | | |
1.50%, 03/01/20 CONV | | | 830,000 | | | | | | | | 1,126,206 | |
Janus Capital Group, Inc. | | | | | | | | | | | | |
0.75%, 07/15/18 CONV | | | 416,000 | | | | | | | | 550,680 | |
Lam Research Corporation | | | | | | | | | | | | |
1.25%, 05/15/18 CONV | | | 1,482,000 | | | | | | | | 2,607,394 | |
Liberty Interactive Corporation | | | | | | | | | | | | |
1.75%, 09/30/46 CONV 144A | | | 1,110,000 | | | | | | | | 1,198,800 | |
Liberty Media Corporation | | | | | | | | | | | | |
1.38%, 10/15/23 CONV | | | 1,156,000 | | | | | | | | 1,247,035 | |
2.25%, 09/30/46 CONV 144A | | | 1,180,000 | | | | | | | | 1,249,325 | |
Live Nation Entertainment, Inc. | | | | | | | | | | | | |
2.50%, 05/15/19 CONVD | | | 3,140,000 | | | | | | | | 3,361,762 | |
Macquarie Infrastructure Corporation | | | | | | | | | | | | |
2.88%, 07/15/19 CONV | | | 2,028,000 | | | | | | | | 2,365,155 | |
2.00%, 10/01/23 CONVD | | | 2,400,000 | | | | | | | | 2,428,500 | |
Medidata Solutions, Inc. | | | | | | | | | | | | |
1.00%, 08/01/18 CONVD | | | 3,687,000 | | | | | | | | 4,014,221 | |
Meritor, Inc. | | | | | | | | | | | | |
7.88%, 03/01/26 CONV | | | 860,000 | | | | | | | | 1,247,538 | |
Microchip Technology, Inc. | | | | | | | | | | | | |
1.63%, 02/15/25 CONV | | | 7,402,000 | | | | | | | | 9,622,600 | |
Molina Healthcare, Inc. | | | | | | | | | | | | |
1.63%, 08/15/44 CONVD | | | 2,191,000 | | | | | | | | 2,501,848 | |
National Health Investors, Inc. REIT | | | | | | | | | | | | |
3.25%, 04/01/21 CONVD | | | 1,744,000 | | | | | | | | 1,964,180 | |
Navistar International Corporation | | | | | | | | | | | | |
4.75%, 04/15/19 CONVD | | | 2,364,000 | | | | | | | | 2,346,270 | |
NRG Yield, Inc. | | | | | | | | | | | | |
3.50%, 02/01/19 CONV 144AD | | | 2,571,000 | | | | | | | | 2,571,000 | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
Nuance Communications, Inc. | | | | | | | | | | | | |
1.00%, 12/15/35 CONVD | | $ | 2,665,000 | | | | | | | $ | 2,420,153 | |
NuVasive, Inc. | | | | | | | | | | | | |
2.25%, 03/15/21 CONV 144A | | | 2,423,000 | | | | | | | | 3,087,811 | |
Oasis Petroleum, Inc. | | | | | | | | | | | | |
2.63%, 09/15/23 CONV | | | 380,000 | | | | | | | | 530,100 | |
ON Semiconductor Corporation | | | | | | | | | | | | |
1.00%, 12/01/20 CONVD | | | 3,722,000 | | | | | | | | 3,831,334 | |
Palo Alto Networks, Inc. | | | | | | | | | | | | |
(9.42)%, 07/01/19 CONVW | | | 743,000 | | | | | | | | 945,932 | |
PDC Energy, Inc. | | | | | | | | | | | | |
1.13%, 09/15/21 CONV | | | 235,000 | | | | | | | | 263,494 | |
Priceline Group, Inc. | | | | | | | | | | | | |
0.90%, 09/15/21 CONVD | | | 4,598,000 | | | | | | | | 4,868,132 | |
Proofpoint, Inc. | | | | | | | | | | | | |
0.75%, 06/15/20 CONV | | | 2,886,000 | | | | | | | | 3,273,806 | |
Red Hat, Inc. | | | | | | | | | | | | |
0.25%, 10/01/19 CONVD | | | 1,739,000 | | | | | | | | 2,037,891 | |
Rovi Corporation | | | | | | | | | | | | |
0.50%, 03/01/20 CONV | | | 1,630,000 | | | | | | | | 1,668,712 | |
Royal Gold, Inc. | | | | | | | | | | | | |
2.88%, 06/15/19 CONV | | | 1,475,000 | | | | | | | | 1,565,344 | |
RTI International Metals, Inc. | | | | | | | | | | | | |
1.63%, 10/15/19 CONV | | | 2,205,000 | | | | | | | | 2,291,822 | |
salesforce.com, Inc. | | | | | | | | | | | | |
0.25%, 04/01/18 CONV | | | 1,776,000 | | | | | | | | 2,072,370 | |
ServiceNow, Inc. | | | | | | | | | | | | |
(8.81)%, 11/01/18 CONVW | | | 1,865,000 | | | | | | | | 2,200,700 | |
Shutterfly, Inc. | | | | | | | | | | | | |
0.25%, 05/15/18 CONV | | | 956,000 | | | | | | | | 972,132 | |
SM Energy Co. | | | | | | | | | | | | |
1.50%, 07/01/21 CONV | | | 287,000 | | | | | | | | 333,458 | |
SolarCity Corporation | | | | | | | | | | | | |
2.75%, 11/01/18 CONV | | | 770,000 | | | | | | | | 719,469 | |
1.63%, 11/01/19 CONV | | | 445,000 | | | | | | | | 377,972 | |
Spirit Realty Capital, Inc. REIT | | | | | | | | | | | | |
2.88%, 05/15/19 CONV | | | 1,984,000 | | | | | | | | 2,068,330 | |
Starwood Property Trust, Inc. REIT | | | | | | | | | | | | |
4.55%, 03/01/18 CONV | | | 3,801,000 | | | | | | | | 4,159,719 | |
Teradyne, Inc. | | | | | | | | | | | | |
1.25%, 12/15/23 CONV 144AD | | | 1,871,000 | | | | | | | | 1,985,599 | |
Tesla Motors, Inc. | | | | | | | | | | | | |
1.25%, 03/01/21 CONV | | | 2,465,000 | | | | | | | | 2,146,091 | |
Toll Brothers Finance Corporation | | | | | | | | | | | | |
0.50%, 09/15/32 CONV | | | 4,355,000 | | | | | | | | 4,306,006 | |
Tutor Perini Corporation | | | | | | | | | | | | |
2.88%, 06/15/21 CONV 144A | | | 1,120,000 | | | | | | | | 1,281,700 | |
Twitter, Inc. | | | | | | | | | | | | |
1.00%, 09/15/21 CONVD | | | 4,623,000 | | | | | | | | 4,276,275 | |
VEREIT, Inc. REIT | | | | | | | | | | | | |
3.00%, 08/01/18 CONV | | | 1,520,000 | | | | | | | | 1,520,000 | |
Verint Systems, Inc. | | | | | | | | | | | | |
1.50%, 06/01/21 CONVD | | | 5,056,000 | | | | | | | | 4,762,120 | |
Web.com Group, Inc. | | | | | | | | | | | | |
1.00%, 08/15/18 CONV | | | 3,425,000 | | | | | | | | 3,311,547 | |
WebMD Health Corporation | | | | | | | | | | | | |
2.63%, 06/15/23 CONV 144A | | | 3,225,000 | | | | | | | | 3,039,562 | |
Whiting Petroleum Corporation | | | | | | | | | | | | |
1.25%, 04/01/20 CONVD | | | 1,276,000 | | | | | | | | 1,126,070 | |
| | | | |
| | See Notes to Financial Statements. | | 167 |
DEFENSIVE MARKET STRATEGIES FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Par | | | Value | |
Workday, Inc. | | | | | | | | | | | | |
0.75%, 07/15/18 CONVD | | $ | 2,535,000 | | | | | | | $ | 2,671,256 | |
Wright Medical Group, Inc. | | | | | | | | | | | | |
2.00%, 02/15/20 CONV | | | 2,355,000 | | | | | | | | 2,465,391 | |
| | | | | | | | | | | | |
Total Corporate Bonds
(Cost $190,056,482) | | | | 194,929,122 | |
| | | | | | | | | | | | |
FOREIGN BONDS — 2.5% | |
Bermuda — 0.7% | | | | | | | | | | | | |
Jazz Investments I, Ltd. | | | | | | | | | | | | |
1.88%, 08/15/21 CONV | | | 4,375,000 | | | | | | | | 4,213,672 | |
Weatherford International, Ltd. | | | | | | | | | | | | |
5.88%, 07/01/21 CONV | | | 1,170,000 | | | | | | | | 1,272,375 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,486,047 | |
| | | | | | | | | | | | |
France — 0.3% | | | | | | | | | | | | |
TOTAL SA | | | | | | | | | | | | |
0.50%, 12/02/22 CONV | | | 2,800,000 | | | | | | | | 2,912,000 | |
| | | | | | | | | | | | |
Netherlands — 1.2% | | | | | | | | | | | | |
NXP Semiconductors NV | | | | | | | | | | | | |
1.00%, 12/01/19 CONV | | | 3,295,000 | | | | | | | | 3,764,537 | |
QIAGEN NV | | | | | | | | | | | | |
0.38%, 03/19/19 CONV | | | 1,000,000 | | | | | | | | 1,131,500 | |
Siemens Financierings-maatschappij NV | | | | | | | | | | | | |
1.65%, 08/16/19 CONVD | | | 1,500,000 | | | | | | | | 1,796,565 | |
STMicroelectronics NV | | | | | | | | | | | | |
(4.27)%, 07/03/19 CONVW | | | 3,200,000 | | | | | | | | 3,570,560 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 10,263,162 | |
| | | | | | | | | | | | |
United Kingdom — 0.3% | | | | | | | | | | | | |
Inmarsat PLC | | | | | | | | | | | | |
3.88%, 09/09/23 CONV | | | 2,200,000 | | | | | | | | 2,313,630 | |
| | | | | | | | | | | | |
Total Foreign Bonds
(Cost $20,356,366) | | | | 20,974,839 | |
| | | | | | | | | | | | |
U.S. TREASURY OBLIGATIONS — 20.2% | |
U.S. Treasury Bills | | | | | | | | | | | | |
0.48%, 03/02/17W | | | 500,000 | | | | | | | | 499,618 | |
0.52%, 03/02/17W | | | 2,300,000 | | | | | | | | 2,298,240 | |
0.61%, 03/02/17W | | | 500,000 | | | | | | | | 499,617 | |
0.66%, 03/02/17W | | | 31,475,000 | | | | | | | | 31,450,922 | |
0.54%, 06/22/17W | | | 28,340,000 | | | | | | | | 28,257,786 | |
0.60%, 06/22/17W‡‡ | | | 4,750,000 | | | | | | | | 4,736,220 | |
U.S. Treasury Notes | | | | | | | | | | | | |
0.75%, 06/30/17 | | | 32,050,000 | | | | | | | | 32,068,782 | |
0.88%, 08/15/17 | | | 36,200,000 | | | | | | | | 36,237,467 | |
0.88%, 11/30/17 | | | 30,080,000 | | | | | | | | 30,086,467 | |
| | | | | | | | | | | | |
Total U.S. Treasury Obligations
(Cost $166,143,349) | | | | 166,135,119 | |
| | | | | | | | | | | | |
TOTAL INVESTMENTS — 104.5%
(Cost $794,591,999) | | | | 860,596,514 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | Number of
Contracts | | | Value | |
WRITTEN OPTIONS — (0.1)% | |
Call Options — 0.0% | | | | | | | | | | | | |
S&P 500®, Strike Price $2,250.00, Expires 01/06/17 (CITI) | | | (17 | ) | | | | | | $ | (12,410 | ) |
S&P 500®, Strike Price $2,300.00, Expires 01/06/17 (RBC) | | | (16 | ) | | | | | | | (528 | ) |
S&P 500®, Strike Price $2,305.00, Expires 01/13/17 (MSCS) | | | (18 | ) | | | | | | | (1,980 | ) |
S&P 500®, Strike Price $2,310.00, Expires 01/13/17 (UBS) | | | (17 | ) | | | | | | | (1,360 | ) |
S&P 500®, Strike Price $2,315.00, Expires 01/18/17 (BOA) | | | (16 | ) | | | | | | | (2,080 | ) |
S&P 500®, Strike Price $2,315.00, Expires 01/20/17 (RBC) | | | (16 | ) | | | | | | | (3,408 | ) |
S&P 500®, Strike Price $2,320.00, Expires 01/25/17 (CITIC) | | | (15 | ) | | | | | | | (3,825 | ) |
S&P 500®, Strike Price $2,325.00, Expires 01/27/17 (RBC) | | | (17 | ) | | | | | | | (3,706 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (29,297 | ) |
| | | | | | | | | | | | |
Put Options — (0.1)% | | | | | | | | | | | | |
S&P 500®, Strike Price $2,140.00, Expires 01/06/17 (CITI) | | | (88 | ) | | | | | | | (9,680 | ) |
S&P 500®, Strike Price $2,190.00, Expires 01/13/17 (UBS) | | | (84 | ) | | | | | | | (69,720 | ) |
S&P 500®, Strike Price $2,195.00, Expires 01/06/17 (RBC) | | | (84 | ) | | | | | | | (24,360 | ) |
S&P 500®, Strike Price $2,195.00, Expires 01/13/17 (MSCS) | | | (80 | ) | | | | | | | (62,800 | ) |
S&P 500®, Strike Price $2,195.00, Expires 01/27/17 (RBC) | | | (83 | ) | | | | | | | (137,365 | ) |
S&P 500®, Strike Price $2,200.00, Expires 01/20/17 (RBC) | | | (81 | ) | | | | | | | (107,325 | ) |
S&P 500®, Strike Price $2,210.00, Expires 01/25/17 (CITIC) | | | (80 | ) | | | | | | | (126,400 | ) |
S&P 500®, Strike Price $2,215.00, Expires 01/18/17 (BOA) | | | (81 | ) | | | | | | | (138,834 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (676,484 | ) |
| | | | | | | | | | | | |
Total Written Options
(Premiums received $(744,676)) | | | | (705,781 | ) |
| | | | | | | | | | | | |
Liabilities in Excess of Other
Assets — (4.4)% | | | | (36,654,590 | ) |
| | | | | | | | | | | | |
NET ASSETS — 100.0% | | | $ | 823,236,143 | |
| | | | | | | | | | | | |
| | | | |
| 168 | | See Notes to Financial Statements. | | |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2016, 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 | | $ | 350,443,281 | | | $ | 350,443,281 | | | $ | — | | | $ | — | |
Corporate Bonds | | | 194,929,122 | | | | — | | | | 194,929,122 | | | | — | |
Foreign Bonds: | | | | | | | | | | | | | | | | |
Bermuda | | | 5,486,047 | | | | — | | | | 5,486,047 | | | | — | |
France | | | 2,912,000 | | | | — | | | | 2,912,000 | | | | — | |
Netherlands | | | 10,263,162 | | | | — | | | | 10,263,162 | | | | — | |
United Kingdom | | | 2,313,630 | | | | — | | | | 2,313,630 | | | | — | |
Foreign Common Stocks: | | | | | | | | | | | | | | | | |
Bermuda | | | 4,717,807 | | | | 4,717,807 | | | | — | | | | — | |
British Virgin Islands | | | 12,034 | | | | 12,034 | | | | — | | | | — | |
Curacao | | | 5,074,106 | | | | 5,074,106 | | | | — | | | | — | |
France | | | 7,136,861 | | | | 7,136,861 | | | | — | | | | — | |
Guernsey | | | 72,754 | | | | 72,754 | | | | — | | | | — | |
Ireland | | | 5,597,321 | | | | 5,597,321 | | | | — | | | | — | |
Jersey | | | 676,935 | | | | 676,935 | | | | — | | | | — | |
Liberia | | | 23,792 | | | | 23,792 | | | | — | | | | — | |
Netherlands | | | 690,501 | | | | 690,501 | | | | — | | | | — | |
Panama | | | 41,075 | | | | 41,075 | | | | — | | | | — | |
Singapore | | | 118,259 | | | | 118,259 | | | | — | | | | — | |
Switzerland | | | 4,475,574 | | | | 4,475,574 | | | | — | | | | — | |
United Kingdom | | | 817,849 | | | | 817,849 | | | | — | | | | — | |
Master Limited Partnership | | | 4,376,437 | | | | 4,376,437 | | | | — | | | | — | |
Money Market Funds | | | 69,181,730 | | | | 69,181,730 | | | | — | | | | — | |
Preferred Stocks | | | 20,818,504 | | | | 12,009,625 | | | | 8,808,879 | | | | — | |
U.S. Treasury Obligations | | | 166,135,119 | | | | — | | | | 166,135,119 | | | | — | |
Synthetic Convertible Instruments | | | 4,282,614 | | | | — | | | | — | | | | 4,282,614 | |
| | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | $ | 860,596,514 | | | $ | 465,465,941 | | | $ | 390,847,959 | | | $ | 4,282,614 | |
| | | | | | | | | | | | | | | | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
Investments in Securities: | | | | | | | | | | | | | | | | |
Written Options | | $ | (705,781 | ) | | $ | (705,781 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Total Liabilities - Investments in Securities | | $ | (705,781 | ) | | $ | (705,781 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | $ | (81,339 | ) | | $ | — | | | $ | (81,339 | ) | | $ | — | |
Futures Contracts | | | (38,690 | ) | | | (38,690 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total Liabilities - Other Financial Instruments | | $ | (120,029 | ) | | $ | (38,690 | ) | | $ | (81,339 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
***Other financial instruments are derivative instruments not reflected in the Schedule of Investments (such as futures contracts and forwards contracts), which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the “Financial Futures Contracts” and “Forward Foreign Currency Contracts” disclosures 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 is not material; therefore, the amount of transfers between Level 1 and Level 2 is not shown for the year ended December 31, 2016.
There were no transfers between Level 2 and Level 3 during the year ended December 31, 2016.
| | | | |
| | See Notes to Financial Statements. | | 169 |
DEFENSIVE MARKET STRATEGIES FUND
SCHEDULE OF INVESTMENTS (Continued)
The unobservable inputs used in the fair value measurement of the reporting entity’s synthetic convertible instruments 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.
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:
| | | | | | | | |
| | | Total
Value | | | Synthetic
Convertible
Instruments | |
Balance, 12/31/15 | | $ | 5,550,877 | | | $ | 5,550,877 | |
Accrued discounts/premiums | | | — | | | | — | |
Realized gain (loss)(1) | | | (3,474 | ) | | | (3,474 | ) |
Change in unrealized appreciation (depreciation)(2) | | | 121,256 | | | | 121,256 | |
Purchases | | | 4,238,899 | | | | 4,238,899 | |
Sales | | | (5,624,944 | ) | | | (5,624,944 | ) |
Transfers in to Level 3 | | | — | | | | — | |
Transfers out of Level 3 | | | — | | | | — | |
Maturities | | | — | | | | — | |
Paydowns | | | — | | | | — | |
| | | | | | | | |
Balance, 12/31/16 | | $ | 4,282,614 | | | $ | 4,282,614 | |
| | | | | | | | |
| (1) | Realized gain (loss) from the sale of Level 3 securities is included on the Statement of Operations in Net realized gain (loss) from: Investment securities. |
| (2) | Change in unrealized appreciation (depreciation) is located on the Statement of Operations in Net change in unrealized appreciation (depreciation) on: Investment securities. |
| | | | |
| 170 | | See Notes to Financial Statements. | | |
Equity Index Fund (Unaudited)
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 correlation between the Fund’s performance and the S&P 500® Index is expected to be greater than 98%. However, it could be lower in certain market environments and due to certain stocks that are excluded from the Fund’s portfolio because of social investment policies and restrictions (100% would indicate perfect correlation). The Investor Class of the Fund returned 11.84% for the one-year period ended December 31, 2016, as compared to a return of 11.96% for the S&P 500® Index. The return differential was primarily a result of social restrictions and expenses of the Fund.
In 2016, exchange listed equity index futures contracts were utilized to provide market exposure to the cash positions held in the Fund. Overall, derivative exposure had a slight positive impact on Fund 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 stocks. It is possible to lose money by investing in the Fund.
At December 31, 2016, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
| | | | |
| | | % | |
Financial Services | | | 18.7 | |
Technology | | | 16.9 | |
Consumer Discretionary | | | 12.5 | |
Healthcare | | | 11.8 | |
Producer Durables | | | 9.8 | |
Consumer Staples | | | 7.0 | |
Energy | | | 6.8 | |
Utilities | | | 6.2 | |
Foreign Common Stocks | | | 4.1 | |
Money Market Funds | | | 3.8 | |
Materials & Processing | | | 2.7 | |
U.S. Treasury Obligation | | | 0.2 | |
| | | | |
| | | 100.5 | |
| | | | |
171
Equity Index Fund (Unaudited)
| | | | | | | | | | |
| Average Annual Total Returns as of 12/31/16 |
| | | Institutional Class* | | | | Investor Class* | | | | Benchmark** |
One Year | | 12.16% | | | | 11.84% | | | | 11.96% |
Five Year | | 14.49% | | | | 14.28% | | | | 14.66% |
Ten Year | | 6.82% | | | | 6.63% | | | | 6.95% |
Since Inception | | 6.13% | | | | 6.00% | | | | 6.35% |
Inception Date | | 08/27/01 | | | | 08/27/01 | | | | |
Total Fund Operating Expenses (May 1, 2016 Prospectus)(1) | | 0.16% | | | | 0.42% | | | | |
(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 GuideStoneFunds.com. 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 Investor Class of the Fund for the 10-year period from December 31, 2006 to December 31, 2016, 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.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
172
| | |
EQUITY INDEX FUND SCHEDULE OF INVESTMENTS | | December 31, 2016 |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
COMMON STOCKS — 92.4% | |
Consumer Discretionary — 12.5% | |
Advance Auto Parts, Inc. | | | 2,745 | | | | | | | $ | 464,234 | |
Amazon.com, Inc.* | | | 14,815 | | | | | | | | 11,109,324 | |
AutoNation, Inc.D* | | | 2,542 | | | | | | | | 123,668 | |
AutoZone, Inc.D* | | | 1,114 | | | | | | | | 879,826 | |
Bed Bath & Beyond, Inc. | | | 5,670 | | | | | | | | 230,429 | |
Best Buy Co., Inc. | | | 10,393 | | | | | | | | 443,469 | |
BorgWarner, Inc. | | | 8,065 | | | | | | | | 318,084 | |
CarMax, Inc.D* | | | 7,247 | | | | | | | | 466,634 | |
CBS Corporation Class B (Non-Voting Shares) | | | 15,355 | | | | | | | | 976,885 | |
Charter Communications, Inc. Class A* | | | 3,449 | | | | | | | | 993,036 | |
Chipotle Mexican Grill, Inc.D* | | | 1,095 | | | | | | | | 413,165 | |
Coach, Inc. | | | 10,404 | | | | | | | | 364,348 | |
Comcast Corporation Class A | | | 92,846 | | | | | | | | 6,411,016 | |
Costco Wholesale Corporation | | | 16,271 | | | | | | | | 2,605,150 | |
D.R. Horton, Inc. | | | 12,145 | | | | | | | | 331,923 | |
Darden Restaurants, Inc. | | | 4,259 | | | | | | | | 309,715 | |
Discovery Communications, Inc. Class AD* | | | 5,482 | | | | | | | | 150,262 | |
Discovery Communications, Inc. Class C* | | | 8,967 | | | | | | | | 240,136 | |
Dollar General Corporation | | | 10,512 | | | | | | | | 778,624 | |
Dollar Tree, Inc.* | | | 8,698 | | | | | | | | 671,312 | |
eBay, Inc.* | | | 39,141 | | | | | | | | 1,162,096 | |
Estee Lauder Cos., Inc. (The) Class A | | | 8,204 | | | | | | | | 627,524 | |
Expedia, Inc.D | | | 4,322 | | | | | | | | 489,596 | |
Foot Locker, Inc. | | | 5,069 | | | | | | | | 359,341 | |
Ford Motor Co. | | | 144,543 | | | | | | | | 1,753,307 | |
Fortune Brands Home & Security, Inc. | | | 5,687 | | | | | | | | 304,027 | |
Gap, Inc. (The)D | | | 8,085 | | | | | | | | 181,427 | |
General Motors Co. | | | 51,917 | | | | | | | | 1,808,788 | |
Genuine Parts Co. | | | 5,571 | | | | | | | | 532,253 | |
Goodyear Tire & Rubber Co. (The) | | | 10,038 | | | | | | | | 309,873 | |
H&R Block, Inc.D | | | 8,300 | | | | | | | | 190,817 | |
Hanesbrands, Inc. | | | 14,216 | | | | | | | | 306,639 | |
Harley-Davidson, Inc.D | | | 6,786 | | | | | | | | 395,895 | |
Harman International Industries, Inc. | | | 2,581 | | | | | | | | 286,904 | |
Hasbro, Inc.D | | | 4,114 | | | | | | | | 320,028 | |
Home Depot, Inc. (The) | | | 46,132 | | | | | | | | 6,185,379 | |
Interpublic Group of Cos., Inc. (The) | | | 14,688 | | | | | | | | 343,846 | |
Kohl’s CorporationD | | | 6,969 | | | | | | | | 344,129 | |
L Brands, Inc. | | | 9,448 | | | | | | | | 622,056 | |
Leggett & Platt, Inc. | | | 4,991 | | | | | | | | 243,960 | |
Lennar Corporation Class A | | | 6,785 | | | | | | | | 291,280 | |
LKQ Corporation* | | | 11,558 | | | | | | | | 354,253 | |
Lowe’s Cos., Inc. | | | 32,842 | | | | | | | | 2,335,723 | |
Macy’s, Inc. | | | 11,632 | | | | | | | | 416,542 | |
Marriott International, Inc. Class A | | | 11,967 | | | | | | | | 989,432 | |
Mattel, Inc.D | | | 12,746 | | | | | | | | 351,152 | |
McDonald’s Corporation | | | 33,606 | | | | | | | | 4,090,522 | |
Mohawk Industries, Inc.* | | | 2,387 | | | | | | | | 476,636 | |
Netflix, Inc.D* | | | 16,186 | | | | | | | | 2,003,827 | |
Newell Brands, Inc. | | | 16,864 | | | | | | | | 752,978 | |
News Corporation Class A | | | 13,865 | | | | | | | | 158,893 | |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
News Corporation Class B | | | 3,661 | | | | | | | $ | 43,200 | |
NIKE, Inc. Class B | | | 49,355 | | | | | | | | 2,508,715 | |
Nordstrom, Inc.D | | | 4,745 | | | | | | | | 227,428 | |
Omnicom Group, Inc. | | | 8,892 | | | | | | | | 756,798 | |
O’Reilly Automotive, Inc.D* | | | 3,583 | | | | | | | | 997,543 | |
Priceline Group, Inc. (The)* | | | 1,881 | | | | | | | | 2,757,659 | |
PulteGroup, Inc. | | | 11,415 | | | | | | | | 209,808 | |
PVH Corporation | | | 2,959 | | | | | | | | 267,020 | |
Ralph Lauren CorporationD | | | 2,058 | | | | | | | | 185,879 | |
Ross Stores, Inc. | | | 14,955 | | | | | | | | 981,048 | |
Scripps Networks Interactive, Inc. Class AD | | | 3,568 | | | | | | | | 254,648 | |
Staples, Inc. | | | 24,605 | | | | | | | | 222,675 | |
Starbucks Corporation | | | 56,112 | | | | | | | | 3,115,338 | |
Target Corporation | | | 21,807 | | | | | | | | 1,575,120 | |
TEGNA, Inc. | | | 8,303 | | | | | | | | 177,601 | |
Tiffany & Co.D | | | 4,009 | | | | | | | | 310,417 | |
Time Warner, Inc. | | | 29,635 | | | | | | | | 2,860,667 | |
TJX Cos., Inc. (The) | | | 24,515 | | | | | | | | 1,841,812 | |
Tractor Supply Co. | | | 4,911 | | | | | | | | 372,303 | |
TripAdvisor, Inc.* | | | 4,311 | | | | | | | | 199,901 | |
Twenty-First Century Fox, Inc. Class A | | | 40,561 | | | | | | | | 1,137,330 | |
Twenty-First Century Fox, Inc. Class B | | | 27,297 | | | | | | | | 743,843 | |
Ulta Salon Cosmetics & Fragrance, Inc.* | | | 2,317 | | | | | | | | 590,696 | |
Under Armour, Inc. Class AD* | | | 6,728 | | | | | | | | 195,448 | |
Under Armour, Inc. Class C* | | | 6,794 | | | | | | | | 171,005 | |
Urban Outfitters, Inc.* | | | 3,039 | | | | | | | | 86,551 | |
VF Corporation | | | 12,323 | | | | | | | | 657,432 | |
Wal-Mart Stores, Inc. | | | 61,101 | | | | | | | | 4,223,301 | |
Walt Disney Co. (The) | | | 55,353 | | | | | | | | 5,768,890 | |
Whirlpool Corporation | | | 2,806 | | | | | | | | 510,047 | |
Wyndham Worldwide Corporation | | | 4,156 | | | | | | | | 317,394 | |
Yum! Brands, Inc. | | | 15,176 | | | | | | | | 961,096 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 92,498,976 | |
| | | | | | | | | | | | |
Consumer Staples — 7.0% | |
Archer-Daniels-Midland Co. | | | 21,937 | | | | | | | | 1,001,424 | |
Campbell Soup Co. | | | 9,374 | | | | | | | | 566,846 | |
Church & Dwight Co., Inc. | | | 9,614 | | | | | | | | 424,843 | |
Clorox Co. (The) | | | 7,450 | | | | | | | | 894,149 | |
Coca-Cola Co. (The) | | | 157,888 | | | | | | | | 6,546,037 | |
Colgate-Palmolive Co. | | | 42,845 | | | | | | | | 2,803,777 | |
ConAgra Foods, Inc. | | | 19,638 | | | | | | | | 776,683 | |
CVS Health Corporation | | | 39,814 | | | | | | | | 3,141,723 | |
Dr. Pepper Snapple Group, Inc. | | | 10,724 | | | | | | | | 972,345 | |
General Mills, Inc. | | | 26,012 | | | | | | | | 1,606,761 | |
Hershey Co. (The) | | | 6,604 | | | | | | | | 683,052 | |
Hormel Foods Corporation | | | 10,098 | | | | | | | | 351,511 | |
J.M. Smucker Co. (The) | | | 5,685 | | | | | | | | 728,021 | |
Kellogg Co. | | | 14,617 | | | | | | | | 1,077,419 | |
Kimberly-Clark Corporation | | | 15,359 | | | | | | | | 1,752,769 | |
Kraft Heinz Co. (The) | | | 29,767 | | | | | | | | 2,599,254 | |
Kroger Co. (The) | | | 35,332 | | | | | | | | 1,219,307 | |
McCormick & Co., Inc. (Non-Voting Shares) | | | 7,331 | | | | | | | | 684,202 | |
Mead Johnson Nutrition Co. | | | 6,927 | | | | | | | | 490,155 | |
Mondelez International, Inc. Class A | | | 57,683 | | | | | | | | 2,557,087 | |
Monster Beverage Corporation* | | | 16,689 | | | | | | | | 739,990 | |
PepsiCo, Inc. | | | 60,786 | | | | | | | | 6,360,039 | |
Procter & Gamble Co. (The) | | | 106,849 | | | | | | | | 8,983,864 | |
| | | | |
| | See Notes to Financial Statements. | | 173 |
| | |
EQUITY INDEX FUND SCHEDULE OF INVESTMENTS (Continued) | | |
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Sysco Corporation | | | 24,037 | | | | | | | $ | 1,330,929 | |
Tyson Foods, Inc. Class A | | | 17,363 | | | | | | | | 1,070,950 | |
Walgreens Boots Alliance, Inc. | | | 32,042 | | | | | | | | 2,651,796 | |
Whole Foods Market, Inc. | | | 11,874 | | | | | | | | 365,244 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 52,380,177 | |
| | | | | | | | | | | | |
Energy — 6.8% | |
Anadarko Petroleum Corporation | | | 18,968 | | | | | | | | 1,322,639 | |
Apache Corporation | | | 13,964 | | | | | | | | 886,295 | |
Archrock, Inc. | | | 13 | | | | | | | | 172 | |
Baker Hughes, Inc. | | | 16,191 | | | | | | | | 1,051,929 | |
Cabot Oil & Gas CorporationD | | | 17,428 | | | | | | | | 407,118 | |
Chesapeake Energy CorporationD* | | | 22,454 | | | | | | | | 157,627 | |
Chevron Corporation | | | 72,955 | | | | | | | | 8,586,803 | |
Cimarex Energy Co. | | | 3,553 | | | | | | | | 482,853 | |
Concho Resources, Inc.D* | | | 5,101 | | | | | | | | 676,393 | |
ConocoPhillips | | | 45,845 | | | | | | | | 2,298,668 | |
Devon Energy Corporation | | | 19,349 | | | | | | | | 883,669 | |
EOG Resources, Inc. | | | 21,159 | | | | | | | | 2,139,175 | |
EQT Corporation | | | 6,378 | | | | | | | | 417,121 | |
Exterran Corporation* | | | 6 | | | | | | | | 143 | |
Exxon Mobil Corporation | | | 157,725 | | | | | | | | 14,236,258 | |
First Solar, Inc.D* | | | 2,733 | | | | | | | | 87,702 | |
FMC Technologies, Inc.* | | | 8,312 | | | | | | | | 295,325 | |
Halliburton Co. | | | 33,676 | | | | | | | | 1,821,535 | |
Helmerich & Payne, Inc.D | | | 3,908 | | | | | | | | 302,479 | |
Hess Corporation | | | 9,841 | | | | | | | | 612,996 | |
Kinder Morgan, Inc. | | | 69,739 | | | | | | | | 1,444,295 | |
Marathon Oil Corporation | | | 31,833 | | | | | | | | 551,029 | |
Marathon Petroleum Corporation | | | 19,594 | | | | | | | | 986,558 | |
Murphy Oil CorporationD | | | 6,037 | | | | | | | | 187,932 | |
National Oilwell Varco, Inc.D | | | 14,152 | | | | | | | | 529,851 | |
Newfield Exploration Co.* | | | 7,387 | | | | | | | | 299,173 | |
Noble Energy, Inc. | | | 15,961 | | | | | | | | 607,476 | |
Occidental Petroleum Corporation | | | 28,240 | | | | | | | | 2,011,535 | |
ONEOK, Inc. | | | 8,458 | | | | | | | | 485,574 | |
Phillips 66 | | | 17,414 | | | | | | | | 1,504,744 | |
Pioneer Natural Resources Co. | | | 6,090 | | | | | | | | 1,096,626 | |
Range Resources Corporation | | | 6,377 | | | | | | | | 219,114 | |
Southwestern Energy Co.* | | | 14,157 | | | | | | | | 153,179 | |
Spectra Energy Corporation | | | 28,685 | | | | | | | | 1,178,667 | |
Tesoro Corporation | | | 4,429 | | | | | | | | 387,316 | |
Valero Energy Corporation | | | 17,333 | | | | | | | | 1,184,190 | |
Williams Cos., Inc. (The) | | | 25,384 | | | | | | | | 790,458 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 50,284,617 | |
| | | | | | | | | | | | |
Financial Services — 18.7% | |
Affiliated Managers Group, Inc.* | | | 2,010 | | | | | | | | 292,053 | |
Aflac, Inc. | | | 15,268 | | | | | | | | 1,062,653 | |
Alliance Data Systems CorporationD | | | 2,165 | | | | | | | | 494,703 | |
Allstate Corporation (The) | | | 13,929 | | | | | | | | 1,032,418 | |
American Express Co. | | | 29,985 | | | | | | | | 2,221,289 | |
American International Group, Inc. | | | 41,489 | | | | | | | | 2,709,647 | |
American Tower Corporation REIT | | | 15,727 | | | | | | | | 1,662,029 | |
Ameriprise Financial, Inc. | | | 6,100 | | | | | | | | 676,734 | |
Apartment Investment & Management Co. Class A REITD | | | 5,951 | | | | | | | | 270,473 | |
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| | | Shares | | | Value | |
Arthur J. Gallagher & Co. | | | 6,517 | | | | | | | $ | 338,623 | |
Assurant, Inc. | | | 2,341 | | | | | | | | 217,385 | |
AvalonBay Communities, Inc. REIT | | | 5,117 | | | | | | | | 906,477 | |
Bank of America Corporation | | | 381,055 | | | | | | | | 8,421,316 | |
Bank of New York Mellon Corporation (The) | | | 39,883 | | | | | | | | 1,889,657 | |
BB&T Corporation | | | 30,463 | | | | | | | | 1,432,370 | |
Berkshire Hathaway, Inc. Class B* | | | 69,910 | | | | | | | | 11,393,932 | |
BlackRock, Inc. | | | 4,670 | | | | | | | | 1,777,122 | |
Boston Properties, Inc. REIT | | | 5,686 | | | | | | | | 715,185 | |
Capital One Financial Corporation | | | 18,963 | | | | | | | | 1,654,332 | |
CBRE Group, Inc. Class A* | | | 10,731 | | | | | | | | 337,919 | |
Charles Schwab Corporation (The) | | | 44,611 | | | | | | | | 1,760,796 | |
Cincinnati Financial CorporationD | | | 5,441 | | | | | | | | 412,156 | |
Citigroup, Inc. | | | 108,814 | | | | | | | | 6,466,816 | |
Citizens Financial Group, Inc. | | | 19,869 | | | | | | | | 707,932 | |
CME Group, Inc. | | | 12,596 | | | | | | | | 1,452,949 | |
Comerica, Inc. | | | 6,388 | | | | | | | | 435,087 | |
Crown Castle International Corporation REIT | | | 14,996 | | | | | | | | 1,301,203 | |
Digital Realty Trust, Inc. REITD | | | 6,683 | | | | | | | | 656,672 | |
Discover Financial Services | | | 15,300 | | | | | | | | 1,102,977 | |
Dun & Bradstreet Corporation (The) | | | 1,346 | | | | | | | | 163,297 | |
E*TRADE Financial Corporation* | | | 10,478 | | | | | | | | 363,063 | |
Equifax, Inc. | | | 4,433 | | | | | | | | 524,114 | |
Equinix, Inc. REIT | | | 3,383 | | | | | | | | 1,209,118 | |
Equity Residential REIT | | | 13,641 | | | | | | | | 877,935 | |
Essex Property Trust, Inc. REIT | | | 2,400 | | | | | | | | 558,000 | |
Extra Space Storage, Inc. REITD | | | 4,684 | | | | | | | | 361,792 | |
Federal Realty Investment Trust REIT | | | 2,600 | | | | | | | | 369,486 | |
Fidelity National Information Services, Inc. | | | 12,827 | | | | | | | | 970,234 | |
Fifth Third Bancorp | | | 28,756 | | | | | | | | 775,549 | |
Fiserv, Inc.* | | | 8,225 | | | | | | | | 874,153 | |
Franklin Resources, Inc. | | | 13,630 | | | | | | | | 539,475 | |
General Growth Properties, Inc. REIT | | | 21,627 | | | | | | | | 540,242 | |
Global Payments, Inc. | | | 5,633 | | | | | | | | 390,987 | |
Goldman Sachs Group, Inc. (The) | | | 14,296 | | | | | | | | 3,423,177 | |
Hartford Financial Services Group, Inc. (The) | | | 14,682 | | | | | | | | 699,597 | |
HCP, Inc. REIT | | | 17,306 | | | | | | | | 514,334 | |
Host Hotels & Resorts, Inc. REITD | | | 27,531 | | | | | | | | 518,684 | |
Huntington Bancshares, Inc. | | | 38,337 | | | | | | | | 506,815 | |
Intercontinental Exchange, Inc. | | | 22,125 | | | | | | | | 1,248,292 | |
Iron Mountain, Inc. REIT | | | 8,763 | | | | | | | | 284,622 | |
JPMorgan Chase & Co. | | | 135,599 | | | | | | | | 11,700,838 | |
KeyCorp | | | 31,726 | | | | | | | | 579,634 | |
Kimco Realty Corporation REIT | | | 15,470 | | | | | | | | 389,225 | |
Leucadia National Corporation | | | 12,259 | | | | | | | | 285,022 | |
Lincoln National Corporation | | | 8,875 | | | | | | | | 588,146 | |
Loews CorporationD | | | 9,771 | | | | | | | | 457,576 | |
M&T Bank CorporationD | | | 5,892 | | | | | | | | 921,686 | |
| | | | |
| 174 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
Macerich Co. (The) REIT | | | 4,614 | | | | | | | $ | 326,856 | |
Marsh & McLennan Cos., Inc. | | | 19,396 | | | | | | | | 1,310,976 | |
MasterCard, Inc. Class A | | | 36,310 | | | | | | | | 3,749,007 | |
MetLife, Inc. | | | 40,735 | | | | | | | | 2,195,209 | |
Moody’s Corporation | | | 6,297 | | | | | | | | 593,618 | |
Morgan Stanley | | | 56,134 | | | | | | | | 2,371,662 | |
Nasdaq, Inc. | | | 4,269 | | | | | | | | 286,535 | |
Navient Corporation | | | 12,116 | | | | | | | | 199,066 | |
Northern Trust Corporation | | | 7,800 | | | | | | | | 694,590 | |
PayPal Holdings, Inc.* | | | 40,945 | | | | | | | | 1,616,099 | |
People’s United Financial, Inc.D | | | 11,480 | | | | | | | | 222,253 | |
PNC Financial Services Group, Inc. (The) | | | 18,467 | | | | | | | | 2,159,900 | |
Principal Financial Group, Inc. | | | 10,001 | | | | | | | | 578,658 | |
Progressive Corporation (The) | | | 21,632 | | | | | | | | 767,936 | |
Prologis, Inc. REIT | | | 19,570 | | | | | | | | 1,033,100 | |
Prudential Financial, Inc. | | | 16,373 | | | | | | | | 1,703,774 | |
Public Storage REIT | | | 5,457 | | | | | | | | 1,219,640 | |
Realty Income Corporation REITD | | | 9,546 | | | | | | | | 548,704 | |
Regions Financial Corporation | | | 46,314 | | | | | | | | 665,069 | |
S&P Global, Inc. | | | 10,813 | | | | | | | | 1,162,830 | |
Simon Property Group, Inc. REIT | | | 11,898 | | | | | | | | 2,113,918 | |
SL Green Realty Corporation REIT | | | 3,720 | | | | | | | | 400,086 | |
State Street Corporation | | | 14,760 | | | | | | | | 1,147,147 | |
SunTrust Banks, Inc. | | | 18,647 | | | | | | | | 1,022,788 | |
Synchrony Financial | | | 30,761 | | | | | | | | 1,115,701 | |
T. Rowe Price Group, Inc. | | | 9,221 | | | | | | | | 693,972 | |
Torchmark Corporation | | | 4,186 | | | | | | | | 308,759 | |
Total System Services, Inc. | | | 6,366 | | | | | | | | 312,125 | |
Travelers Cos., Inc. (The) | | | 10,854 | | | | | | | | 1,328,747 | |
U.S. Bancorp | | | 60,165 | | | | | | | | 3,090,676 | |
UDR, Inc. REIT | | | 9,879 | | | | | | | | 360,386 | |
Unum Group | | | 8,642 | | | | | | | | 379,643 | |
Ventas, Inc. REIT | | | 12,583 | | | | | | | | 786,689 | |
Visa, Inc. Class AD | | | 71,114 | | | | | | | | 5,548,314 | |
Vornado Realty Trust REIT | | | 6,562 | | | | | | | | 684,876 | |
Wells Fargo & Co. | | | 171,339 | | | | | | | | 9,442,492 | |
Welltower, Inc. REIT | | | 13,263 | | | | | | | | 887,693 | |
Western Union Co.
(The)D | | | 18,512 | | | | | | | | 402,081 | |
Weyerhaeuser Co. REIT | | | 27,654 | | | | | | | | 832,109 | |
Zions Bancorporation | | | 7,446 | | | | | | | | 320,476 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 139,022,158 | |
| | | | | | | | | | | | |
Healthcare — 11.8% | |
Abbott Laboratories | | | 67,655 | | | | | | | | 2,598,629 | |
AbbVie, Inc. | | | 71,634 | | | | | | | | 4,485,721 | |
Aetna, Inc. | | | 12,965 | | | | | | | | 1,607,790 | |
Agilent Technologies, Inc. | | | 12,235 | | | | | | | | 557,427 | |
Alexion Pharmaceuticals, Inc.* | | | 8,882 | | | | | | | | 1,086,713 | |
Amgen, Inc. | | | 32,287 | | | | | | | | 4,720,682 | |
Anthem, Inc. | | | 9,726 | | | | | | | | 1,398,307 | |
Baxter International, Inc. | | | 20,435 | | | | | | | | 906,088 | |
Becton, Dickinson and Co. | | | 11,057 | | | | | | | | 1,830,486 | |
Biogen, Inc.* | | | 9,287 | | | | | | | | 2,633,607 | |
Boston Scientific Corporation* | | | 53,252 | | | | | | | | 1,151,841 | |
Bristol-Myers Squibb Co. | | | 81,169 | | | | | | | | 4,743,516 | |
C.R. Bard, Inc. | | | 3,634 | | | | | | | | 816,414 | |
Cardinal Health, Inc. | | | 26,586 | | | | | | | | 1,913,394 | |
Celgene Corporation* | | | 32,130 | | | | | | | | 3,719,047 | |
Centene Corporation* | | | 6,406 | | | | | | | | 362,003 | |
Cerner Corporation* | | | 11,227 | | | | | | | | 531,823 | |
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| | | Shares | | | Value | |
Cigna Corporation | | | 9,875 | | | | | | | $ | 1,317,226 | |
Danaher Corporation | | | 22,223 | | | | | | | | 1,729,838 | |
DaVita, Inc.* | | | 6,108 | | | | | | | | 392,134 | |
DENTSPLY SIRONA, Inc. | | | 8,772 | | | | | | | | 506,408 | |
Edwards Lifesciences Corporation* | | | 10,109 | | | | | | | | 947,213 | |
Eli Lilly & Co. | | | 50,722 | | | | | | | | 3,730,603 | |
Express Scripts Holding Co.* | | | 23,515 | | | | | | | | 1,617,597 | |
Gilead Sciences, Inc. | | | 51,942 | | | | | | | | 3,719,567 | |
HCA Holdings, Inc.* | | | 12,336 | | | | | | | | 913,111 | |
Henry Schein, Inc.* | | | 3,300 | | | | | | | | 500,643 | |
Hologic, Inc.* | | | 10,733 | | | | | | | | 430,608 | |
Humana, Inc. | | | 6,104 | | | | | | | | 1,245,399 | |
Illumina, Inc.* | | | 5,434 | | | | | | | | 695,769 | |
Intuitive Surgical, Inc.D* | | | 1,911 | | | | | | | | 1,211,899 | |
Johnson & Johnson | | | 111,393 | | | | | | | | 12,833,588 | |
Laboratory Corporation of America Holdings* | | | 7,436 | | | | | | | | 954,634 | |
McKesson Corporation | | | 12,655 | | | | | | | | 1,777,395 | |
Patterson Cos., Inc.D | | | 3,194 | | | | | | | | 131,050 | |
PerkinElmer, Inc. | | | 4,105 | | | | | | | | 214,076 | |
Quest Diagnostics, Inc. | | | 9,445 | | | | | | | | 867,996 | |
Regeneron Pharmaceuticals, Inc.* | | | 3,094 | | | | | | | | 1,135,776 | |
St. Jude Medical, Inc. | | | 12,250 | | | | | | | | 982,328 | |
Stryker Corporation | | | 14,409 | | | | | | | | 1,726,342 | |
Thermo Fisher Scientific, Inc. | | | 14,611 | | | | | | | | 2,061,612 | |
UnitedHealth Group, Inc. | | | 40,786 | | | | | | | | 6,527,391 | |
Universal Health Services, Inc. Class B | | | 3,301 | | | | | | | | 351,160 | |
Varian Medical Systems, Inc.* | | | 3,565 | | | | | | | | 320,066 | |
Vertex Pharmaceuticals, Inc.* | | | 10,852 | | | | | | | | 799,467 | |
Zimmer Biomet Holdings, Inc. | | | 7,732 | | | | | | | | 797,942 | |
Zoetis, Inc. | | | 38,657 | | | | | | | | 2,069,309 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 87,571,635 | |
| | | | | | | | | | | | |
Materials & Processing — 2.7% | |
Acuity Brands, Inc.D | | | 1,643 | | | | | | | | 379,303 | |
Air Products & Chemicals, Inc. | | | 7,234 | | | | | | | | 1,040,394 | |
Ball Corporation | | | 5,173 | | | | | | | | 388,337 | |
CF Industries Holdings, Inc.D | | | 8,828 | | | | | | | | 277,905 | |
Dow Chemical Co. (The) | | | 41,609 | | | | | | | | 2,380,867 | |
E.I. du Pont de Nemours & Co. | | | 32,369 | | | | | | | | 2,375,885 | |
Eastman Chemical Co. | | | 5,449 | | | | | | | | 409,819 | |
Ecolab, Inc. | | | 12,318 | | | | | | | | 1,443,916 | |
Fastenal Co.D | | | 10,759 | | | | | | | | 505,458 | |
FMC Corporation | | | 4,848 | | | | | | | | 274,203 | |
Freeport-McMoRan, Inc.* | | | 46,615 | | | | | | | | 614,852 | |
International Flavors & Fragrances, Inc. | | | 2,950 | | | | | | | | 347,599 | |
International Paper Co.D | | | 15,226 | | | | | | | | 807,892 | |
Martin Marietta Materials, Inc. | | | 2,361 | | | | | | | | 523,032 | |
Masco Corporation | | | 12,522 | | | | | | | | 395,946 | |
Monsanto Co. | | | 16,554 | | | | | | | | 1,741,646 | |
Mosaic Co. (The) | | | 12,935 | | | | | | | | 379,384 | |
Newmont Mining Corporation | | | 19,655 | | | | | | | | 669,646 | |
Nucor Corporation | | | 11,797 | | | | | | | | 702,157 | |
PPG Industries, Inc. | | | 9,813 | | | | | | | | 929,880 | |
Praxair, Inc. | | | 10,601 | | | | | | | | 1,242,331 | |
Sealed Air Corporation | | | 7,210 | | | | | | | | 326,901 | |
Sherwin-Williams Co. (The) | | | 2,937 | | | | | | | | 789,289 | |
| | | | |
| | See Notes to Financial Statements. | | 175 |
| | |
EQUITY INDEX FUND SCHEDULE OF INVESTMENTS (Continued) | | |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
Vulcan Materials Co. | | | 4,979 | | | | | | | $ | 623,122 | |
WestRock Co. | | | 9,470 | | | | | | | | 480,792 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 20,050,556 | |
| | | | | | | | | | | | |
Producer Durables — 9.8% | | | | | |
3M Co. | | | 23,081 | | | | | | | | 4,121,574 | |
Alaska Air Group, Inc. | | | 4,535 | | | | | | | | 402,391 | |
American Airlines Group, Inc. | | | 21,202 | | | | | | | | 989,921 | |
AMETEK, Inc. | | | 8,745 | | | | | | | | 425,007 | |
Arconic, Inc. | | | 16,474 | | | | | | | | 305,428 | |
Automatic Data Processing, Inc. | | | 17,785 | | | | | | | | 1,827,942 | |
Avery Dennison Corporation | | | 3,272 | | | | | | | | 229,760 | |
Boeing Co. (The) | | | 22,195 | | | | | | | | 3,455,318 | |
C.H. Robinson Worldwide, Inc.D | | | 5,208 | | | | | | | | 381,538 | |
Caterpillar, Inc. | | | 21,616 | | | | | | | | 2,004,668 | |
Cintas Corporation | | | 3,159 | | | | | | | | 365,054 | |
CSX Corporation | | | 35,484 | | | | | | | | 1,274,940 | |
Cummins, Inc. | | | 5,861 | | | | | | | | 801,023 | |
Deere & Co. | | | 11,036 | | | | | | | | 1,137,149 | |
Delta Air Lines, Inc. | | | 28,602 | | | | | | | | 1,406,932 | |
Dover Corporation | | | 5,776 | | | | | | | | 432,796 | |
Emerson Electric Co. | | | 23,868 | | | | | | | | 1,330,641 | |
Expeditors International of Washington, Inc. | | | 6,818 | | | | | | | | 361,081 | |
FedEx Corporation | | | 9,248 | | | | | | | | 1,721,978 | |
FLIR Systems, Inc. | | | 5,180 | | | | | | | | 187,464 | |
Flowserve CorporationD | | | 4,858 | | | | | | | | 233,427 | |
Fluor Corporation | | | 5,110 | | | | | | | | 268,377 | |
Fortive Corporation | | | 11,111 | | | | | | | | 595,883 | |
General Dynamics Corporation | | | 10,638 | | | | | | | | 1,836,757 | |
General Electric Co. | | | 340,945 | | | | | | | | 10,773,862 | |
Honeywell International, Inc. | | | 28,314 | | | | | | | | 3,280,177 | |
Illinois Tool Works, Inc. | | | 12,023 | | | | | | | | 1,472,337 | |
J.B. Hunt Transport Services, Inc. | | | 3,269 | | | | | | | | 317,322 | |
Jacobs Engineering Group, Inc.* | | | 4,647 | | | | | | | | 264,879 | |
Kansas City Southern | | | 4,046 | | | | | | | | 343,303 | |
L-3 Communications Holdings, Inc. | | | 2,814 | | | | | | | | 428,038 | |
Lockheed Martin Corporation | | | 9,730 | | | | | | | | 2,431,916 | |
Mettler-Toledo International, Inc.* | | | 900 | | | | | | | | 376,704 | |
Norfolk Southern Corporation | | | 10,996 | | | | | | | | 1,188,338 | |
Northrop Grumman Corporation | | | 6,714 | | | | | | | | 1,561,542 | |
PACCAR, Inc. | | | 12,988 | | | | | | | | 829,933 | |
Parker-Hannifin Corporation | | | 5,009 | | | | | | | | 701,260 | |
Paychex, Inc. | | | 11,954 | | | | | | | | 727,759 | |
Pitney Bowes, Inc. | | | 6,878 | | | | | | | | 104,477 | |
Quanta Services, Inc.* | | | 5,431 | | | | | | | | 189,270 | |
Raytheon Co. | | | 11,002 | | | | | | | | 1,562,284 | |
Republic Services, Inc. | | | 8,715 | | | | | | | | 497,191 | |
Robert Half International, Inc. | | | 4,920 | | | | | | | | 239,998 | |
Rockwell Automation, Inc. | | | 4,778 | | | | | | | | 642,163 | |
Rockwell Collins, Inc.D | | | 4,858 | | | | | | | | 450,628 | |
Roper Technologies, Inc. | | | 3,753 | | | | | | | | 687,099 | |
Ryder System, Inc. | | | 1,991 | | | | | | | | 148,210 | |
Snap-on, Inc. | | | 2,136 | | | | | | | | 365,833 | |
Southwest Airlines Co. | | | 23,826 | | | | | | | | 1,187,488 | |
Stanley Black & Decker, Inc. | | | 5,530 | | | | | | | | 634,236 | |
Stericycle, Inc.* | | | 3,095 | | | | | | | | 238,439 | |
Textron, Inc. | | | 9,853 | | | | | | | | 478,462 | |
TransDigm Group, Inc. | | | 1,980 | | | | | | | | 492,941 | |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
Union Pacific Corporation | | | 31,122 | | | | | | | $ | 3,226,729 | |
United Continental Holdings, Inc.* | | | 12,532 | | | | | | | | 913,332 | |
United Parcel Service, Inc. Class B | | | 25,671 | | | | | | | | 2,942,923 | |
United Rentals, Inc.* | | | 3,295 | | | | | | | | 347,886 | |
United Technologies Corporation | | | 28,853 | | | | | | | | 3,162,866 | |
Verisk Analytics, Inc.* | | | 6,177 | | | | | | | | 501,387 | |
W.W. Grainger, Inc.D | | | 2,114 | | | | | | | | 490,976 | |
Waste Management, Inc. | | | 17,366 | | | | | | | | 1,231,423 | |
Waters CorporationD* | | | 3,017 | | | | | | | | 405,455 | |
Xerox Corporation | | | 35,948 | | | | | | | | 313,826 | |
Xylem, Inc. | | | 6,524 | | | | | | | | 323,068 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 72,573,009 | |
| | | | | | | | | | | | |
Technology — 16.9% | | | | | |
Activision Blizzard, Inc. | | | 20,562 | | | | | | | | 742,494 | |
Adobe Systems, Inc.* | | | 18,956 | | | | | | | | 1,951,520 | |
Akamai Technologies, Inc.* | | | 6,606 | | | | | | | | 440,488 | |
Alphabet, Inc. Class A* | | | 10,888 | | | | | | | | 8,628,196 | |
Alphabet, Inc. Class C* | | | 11,408 | | | | | | | | 8,804,922 | |
Amphenol Corporation Class A | | | 11,410 | | | | | | | | 766,752 | |
Analog Devices, Inc. | | | 11,473 | | | | | | | | 833,169 | |
Apple, Inc. | | | 203,107 | | | | | | | | 23,523,853 | |
Applied Materials, Inc. | | | 40,351 | | | | | | | | 1,302,127 | |
Autodesk, Inc.* | | | 8,418 | | | | | | | | 623,016 | |
CA, Inc. | | | 10,805 | | | | | | | | 343,275 | |
Cisco Systems, Inc. | | | 186,490 | | | | | | | | 5,635,728 | |
Citrix Systems, Inc.* | | | 5,780 | | | | | | | | 516,212 | |
Cognizant Technology Solutions Corporation Class A* | | | 22,410 | | | | | | | | 1,255,632 | |
Corning, Inc. | | | 39,819 | | | | | | | | 966,407 | |
CSRA, Inc. | | | 4,813 | | | | | | | | 153,246 | |
Electronic Arts, Inc.* | | | 11,627 | | | | | | | | 915,742 | |
F5 Networks, Inc.* | | | 2,480 | | | | | | | | 358,906 | |
Facebook, Inc. Class A* | | | 88,720 | | | | | | | | 10,207,236 | |
Harris Corporation | | | 4,630 | | | | | | | | 474,436 | |
Hewlett Packard Enterprise Co. | | | 61,571 | | | | | | | | 1,424,753 | |
HP, Inc. | | | 63,789 | | | | | | | | 946,629 | |
Intel Corporation | | | 175,112 | | | | | | | | 6,351,312 | |
International Business Machines Corporation | | | 32,963 | | | | | | | | 5,471,528 | |
Intuit, Inc. | | | 10,001 | | | | | | | | 1,146,215 | |
Juniper Networks, Inc. | | | 12,864 | | | | | | | | 363,537 | |
KLA-Tencor Corporation | | | 5,691 | | | | | | | | 447,768 | |
Lam Research Corporation | | | 5,942 | | | | | | | | 628,248 | |
Linear Technology Corporation | | | 8,974 | | | | | | | | 559,529 | |
Microchip Technology, Inc.D | | | 8,063 | | | | | | | | 517,241 | |
Micron Technology, Inc.* | | | 37,945 | | | | | | | | 831,754 | |
Microsoft Corporation | | | 296,380 | | | | | | | | 18,417,053 | |
Motorola Solutions, Inc. | | | 5,961 | | | | | | | | 494,107 | |
NetApp, Inc. | | | 10,744 | | | | | | | | 378,941 | |
NVIDIA CorporationD | | | 18,866 | | | | | | | | 2,013,757 | |
Oracle Corporation | | | 115,374 | | | | | | | | 4,436,130 | |
Qorvo, Inc.* | | | 4,807 | | | | | | | | 253,473 | |
QUALCOMM, Inc. | | | 54,450 | | | | | | | | 3,550,140 | |
Red Hat, Inc.* | | | 6,794 | | | | | | | | 473,542 | |
salesforce.com, Inc.* | | | 24,147 | | | | | | | | 1,653,104 | |
Skyworks Solutions, Inc. | | | 6,957 | | | | | | | | 519,410 | |
Symantec Corporation | | | 23,019 | | | | | | | | 549,924 | |
Teradata CorporationD* | | | 5,001 | | | | | | | | 135,877 | |
Texas Instruments, Inc. | | | 37,229 | | | | | | | | 2,716,600 | |
VeriSign, Inc.D* | | | 3,542 | | | | | | | | 269,440 | |
| | | | |
| 176 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
Western Digital Corporation | | | 10,322 | | | | | | | $ | 701,380 | |
Xilinx, Inc. | | | 9,444 | | | | | | | | 570,134 | |
Yahoo!, Inc.* | | | 32,370 | | | | | | | | 1,251,748 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 125,516,631 | |
| | | | | | | | | | | | |
Utilities — 6.2% | | | | | |
AES Corporation | | | 24,428 | | | | | | | | 283,853 | |
Alliant Energy Corporation | | | 6,500 | | | | | | | | 246,285 | |
Ameren Corporation | | | 9,053 | | | | | | | | 474,920 | |
American Electric Power Co., Inc. | | | 20,487 | | | | | | | | 1,289,862 | |
American Water Works Co., Inc. | | | 8,825 | | | | | | | | 638,577 | |
AT&T, Inc. | | | 233,496 | | | | | | | | 9,930,585 | |
CenterPoint Energy, Inc. | | | 17,352 | | | | | | | | 427,553 | |
CenturyLink, Inc. | | | 20,302 | | | | | | | | 482,782 | |
CMS Energy Corporation | | | 10,396 | | | | | | | | 432,682 | |
Consolidated Edison, Inc. | | | 11,311 | | | | | | | | 833,395 | |
Dominion Resources, Inc. | | | 28,714 | | | | | | | | 2,199,205 | |
DTE Energy Co. | | | 7,638 | | | | | | | | 752,419 | |
Duke Energy Corporation | | | 31,288 | | | | | | | | 2,428,575 | |
Edison International | | | 13,183 | | | | | | | | 949,044 | |
Entergy Corporation | | | 6,638 | | | | | | | | 487,694 | |
Eversource Energy | | | 11,754 | | | | | | | | 649,174 | |
Exelon Corporation | | | 34,174 | | | | | | | | 1,212,835 | |
FirstEnergy Corporation | | | 24,029 | | | | | | | | 744,178 | |
Frontier Communications CorporationD | | | 44,092 | | | | | | | | 149,031 | |
Level 3 Communications, Inc.* | | | 10,744 | | | | | | | | 605,532 | |
NextEra Energy, Inc. | | | 23,020 | | | | | | | | 2,749,969 | |
NiSource, Inc. | | | 23,079 | | | | | | | | 510,969 | |
NRG Energy, Inc. | | | 11,763 | | | | | | | | 144,214 | |
PG&E Corporation | | | 22,213 | | | | | | | | 1,349,884 | |
Pinnacle West Capital Corporation | | | 4,108 | | | | | | | | 320,547 | |
PPL Corporation | | | 25,139 | | | | | | | | 855,983 | |
Public Service Enterprise Group, Inc. | | | 18,690 | | | | | | | | 820,117 | |
SCANA Corporation | | | 5,221 | | | | | | | | 382,595 | |
Sempra Energy | | | 8,812 | | | | | | | | 886,840 | |
Southern Co. (The) | | | 49,020 | | | | | | | | 2,411,294 | |
Verizon Communications, Inc. | | | 156,619 | | | | | | | | 8,360,322 | |
WEC Energy Group, Inc. | | | 18,016 | | | | | | | | 1,056,638 | |
Xcel Energy, Inc. | | | 18,729 | | | | | | | | 762,270 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 45,829,823 | |
| | | | | | | | | | | | |
Total Common Stocks
(Cost $486,437,017) | | | | | | | | | | | 685,727,582 | |
| | | | | | | | | | | | |
FOREIGN COMMON STOCKS — 4.1% | |
Bermuda — 0.2% | |
Invesco, Ltd. | | | 15,292 | | | | | | | | 463,959 | |
Signet Jewelers, Ltd.D | | | 2,931 | | | | | | | | 276,276 | |
XL Group, Ltd. | | | 10,702 | | | | | | | | 398,757 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,138,992 | |
| | | | | | | | | | | | |
British Virgin Islands — 0.0% | |
Michael Kors Holdings, Ltd.* | | | 6,578 | | | | | | | | 282,722 | |
| | | | | | | | | | | | |
Curacao — 0.6% | |
Schlumberger, Ltd. | | | 53,074 | | | | | | | | 4,455,562 | |
| | | | | | | | | | | | |
Ireland — 1.7% | |
Accenture PLC Class A | | | 23,860 | | | | | | | | 2,794,722 | |
Allegion PLC | | | 3,479 | | | | | | | | 222,656 | |
Eaton Corporation PLC | | | 16,887 | | | | | | | | 1,132,949 | |
Ingersoll-Rand PLC | | | 9,510 | | | | | | | | 713,630 | |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
Johnson Controls International PLC | | | 35,200 | | | | | | | $ | 1,449,888 | |
Mallinckrodt PLC* | | | 11,491 | | | | | | | | 572,482 | |
Medtronic PLC | | | 56,253 | | | | | | | | 4,006,901 | |
Pentair PLC | | | 6,692 | | | | | | | | 375,220 | |
Seagate Technology PLCD | | | 11,230 | | | | | | | | 428,649 | |
Willis Towers Watson PLC | | | 5,120 | | | | | | | | 626,074 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 12,323,171 | |
| | | | | | | | | | | | |
Jersey — 0.1% | | | | | |
Delphi Automotive PLC | | | 10,057 | | | | | | | | 677,339 | |
| | | | | | | | | | | | |
Liberia — 0.1% | | | | | |
Royal Caribbean Cruises, Ltd.D | | | 6,147 | | | | | | | | 504,300 | |
| | | | | | | | | | | | |
Netherlands — 0.3% | | | | | |
LyondellBasell Industries NV Class A | | | 12,725 | | | | | | | | 1,091,550 | |
Mylan NV* | | | 34,170 | | | | | | | | 1,303,586 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,395,136 | |
| | | | | | | | | | | | |
Panama — 0.1% | | | | | |
Carnival Corporation | | | 16,223 | | | | | | | | 844,569 | |
| | | | | | | | | | | | |
Singapore — 0.3% | | | | | |
Broadcom, Ltd. | | | 14,057 | | | | | | | | 2,484,856 | |
| | | | | | | | | | | | |
Switzerland — 0.5% | | | | | | | | | | | | |
Chubb, Ltd. | | | 20,002 | | | | | | | | 2,642,664 | |
Garmin, Ltd.D | | | 4,430 | | | | | | | | 214,811 | |
TE Connectivity, Ltd. | | | 13,229 | | | | | | | | 916,505 | |
Transocean, Ltd.D* | | | 12,739 | | | | | | | | 187,773 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,961,753 | |
| | | | | | | | | | | | |
United Kingdom — 0.2% | | | | | |
Aon PLC | | | 9,821 | | | | | | | | 1,095,336 | |
Nielsen Holdings PLC | | | 13,413 | | | | | | | | 562,676 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,658,012 | |
| | | | | | | | | | | | |
Total Foreign Common Stocks
(Cost $26,854,222) | | | | | | | | | | | 30,726,412 | |
| | | | | | | | | | | | |
MONEY MARKET FUNDS — 3.8% | | | | | |
GuideStone Money Market Fund (Investor Class)¥ | | | 23,274,030 | | | | | | | | 23,274,030 | |
Northern Institutional Liquid Assets Portfolio§ | | | 5,051,715 | | | | | | | | 5,051,715 | |
| | | | | | | | | | | | |
Total Money Market Funds
(Cost $28,325,745) | | | | | | | | 28,325,745 | |
| | | | | | | | | | | | |
| | | Par | | | | | | | |
U.S. TREASURY OBLIGATION — 0.2% | |
U.S. Treasury Bill 0.60%, 06/22/17W‡‡
(Cost $1,196,643) | | $ | 1,200,000 | | | | | | | | 1,196,519 | |
| | | | | | | | | | | | |
TOTAL INVESTMENTS — 100.5%
(Cost $542,813,627) | | | | | | | | 745,976,258 | |
Liabilities in Excess of Other
Assets — (0.5)% | | | | (3,776,651 | ) |
| | | | | | | | | | | | |
NET ASSETS — 100.0% | | | | | | | $ | 742,199,607 | |
| | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 177 |
EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS (Continued)
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2016, 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 | | $ | 685,727,582 | | | $ | 685,727,582 | | | $ | — | | | $ | — | |
Foreign Common Stocks | | | 30,726,412 | | | | 30,726,412 | | | | — | | | | — | |
Money Market Funds | | | 28,325,745 | | | | 28,325,745 | | | | — | | | | — | |
U.S. Treasury Obligation | | | 1,196,519 | | | | — | | | | 1,196,519 | | | | — | |
| | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | $ | 745,976,258 | | | $ | 744,779,739 | | | $ | 1,196,519 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | (128,715 | ) | | $ | (128,715 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Total Liabilities - Other Financial Instruments | | $ | (128,715 | ) | | $ | (128,715 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
***Other financial instruments are derivative instruments not reflected in the Schedule of Investments (such as futures contracts), which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the “Financial Futures Contracts” disclosure in the Notes to Financial Statements.
There were no transfers between Level 1, Level 2 and Level 3 during the year ended December 31, 2016.
| | | | |
| 178 | | See Notes to Financial Statements. | | |
Value Equity Fund (Unaudited)
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 Investor Class of the Fund underperformed its benchmark, the Russell 1000® Value Index, for the one-year period ended December 31, 2016 (13.84% versus 17.34%). Security selection within energy, financial services and the materials & processing sectors were the primary detractors during the period. Overweight exposure and security selection within healthcare also detracted from benchmark-relative performance for the year.
In 2016, exchange listed equity index futures contracts were utilized to provide market exposure to the cash positions held in the Fund. Overall, derivative exposure had a slight positive impact on Fund 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. It is possible to lose money by investing in the Fund.
At December 31, 2016, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
| | | | |
| | | % | |
Financial Services | | | 24.5 | |
Technology | | | 11.4 | |
Foreign Common Stocks | | | 10.0 | |
Healthcare | | | 9.8 | |
Producer Durables | | | 9.0 | |
Energy | | | 8.9 | |
Consumer Discretionary | | | 8.1 | |
Utilities | | | 7.2 | |
Consumer Staples | | | 5.1 | |
Money Market Funds | | | 4.6 | |
Materials & Processing | | | 3.3 | |
U.S. Treasury Obligation | | | 0.3 | |
| | | | |
| | | 102.2 | |
| | | | |
Value Equity Fund (Unaudited)
| | | | | | | | | | |
| Average Annual Total Returns as of 12/31/16 |
| | | Institutional Class* | | | | Investor Class* | | | | Benchmark** |
One Year | | 14.11% | | | | 13.84% | | | | 17.34% |
Five Year | | 14.24% | | | | 13.95% | | | | 14.80% |
Ten Year | | 5.39% | | | | 5.16% | | | | 5.72% |
Since Inception | | 6.63% | | | | 6.35% | | | | 7.01% |
Inception Date | | 08/27/01 | | | | 08/27/01 | | | | |
Total Fund Operating Expenses (May 1, 2016 Prospectus)(1) | | 0.59% | | | | 0.86% | | | | |
(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 GuideStoneFunds.com. 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 Investor Class of the Fund for the 10-year period from December 31, 2006 to December 31, 2016, 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.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
180
| | | | |
VALUE EQUITY FUND SCHEDULE OF INVESTMENTS | | | December 31, 2016 | |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
COMMON STOCKS — 87.3% | |
Consumer Discretionary — 8.1% | |
Bed Bath & Beyond, Inc. | | | 18,324 | | | | | | | $ | 744,687 | |
Best Buy Co., Inc.D | | | 53,250 | | | | | | | | 2,272,178 | |
Big Lots, Inc.D | | | 11,277 | | | | | | | | 566,218 | |
Coach, Inc. | | | 111,793 | | | | | | | | 3,914,991 | |
Comcast Corporation Class A | | | 169,967 | | | | | | | | 11,736,221 | |
Cooper Tire & Rubber Co. | | | 21,561 | | | | | | | | 837,645 | |
Dana, Inc. | | | 284,463 | | | | | | | | 5,399,108 | |
DISH Network Corporation Class A* | | | 1,641 | | | | | | | | 95,063 | |
eBay, Inc.* | | | 157,913 | | | | | | | | 4,688,437 | |
Ford Motor Co. | | | 604,043 | | | | | | | | 7,327,042 | |
General Motors Co. | | | 85,037 | | | | | | | | 2,962,689 | |
Goodyear Tire & Rubber Co. (The) | | | 99,483 | | | | | | | | 3,071,040 | |
Home Depot, Inc. (The) | | | 34,308 | | | | | | | | 4,600,017 | |
J.C. Penney Co., Inc.D* | | | 819,656 | | | | | | | | 6,811,341 | |
Lear Corporation | | | 28,735 | | | | | | | | 3,803,652 | |
Lennar Corporation
Class A | | | 165,851 | | | | | | | | 7,119,983 | |
Lowe’s Cos., Inc. | | | 54,700 | | | | | | | | 3,890,264 | |
Ralph Lauren CorporationD | | | 81,500 | | | | | | | | 7,361,080 | |
Target Corporation | | | 93,616 | | | | | | | | 6,761,884 | |
Tenneco, Inc.D* | | | 9,126 | | | | | | | | 570,101 | |
Tesla Motors, Inc.D* | | | 190 | | | | | | | | 40,601 | |
Time Warner, Inc. | | | 8,419 | | | | | | | | 812,686 | |
Twenty-First Century Fox, Inc. Class A | | | 300,023 | | | | | | | | 8,412,645 | |
Twenty-First Century Fox, Inc. Class B | | | 3,602 | | | | | | | | 98,155 | |
Visteon Corporation | | | 4,668 | | | | | | | | 375,027 | |
Wal-Mart Stores, Inc. | | | 149,570 | | | | | | | | 10,338,278 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 104,611,033 | |
| | | | | | | | | | | | |
Consumer Staples — 5.1% | | | | | | | | | | | | |
Archer-Daniels-Midland Co. | | | 16,518 | | | | | | | | 754,047 | |
Coca-Cola Co. (The) | | | 30,482 | | | | | | | | 1,263,784 | |
Colgate-Palmolive Co. | | | 20,679 | | | | | | | | 1,353,234 | |
ConAgra Foods, Inc. | | | 85,600 | | | | | | | | 3,385,480 | |
CVS Health Corporation | | | 156,331 | | | | | | | | 12,336,079 | |
Dean Foods Co.D | | | 107,227 | | | | | | | | 2,335,404 | |
Dr. Pepper Snapple Group, Inc. | | | 34,910 | | | | | | | | 3,165,290 | |
Ingredion, Inc.D | | | 23,259 | | | | | | | | 2,906,444 | |
Kimberly-Clark Corporation | | | 2,682 | | | | | | | | 306,070 | |
Kraft Heinz Co. (The) | | | 17,275 | | | | | | | | 1,508,453 | |
Mondelez International, Inc. Class A | | | 44,973 | | | | | | | | 1,993,653 | |
Nu Skin Enterprises, Inc. Class A | | | 24,474 | | | | | | | | 1,169,368 | |
PepsiCo, Inc. | | | 116,617 | | | | | | | | 12,201,637 | |
Procter & Gamble Co. (The) | | | 81,690 | | | | | | | | 6,868,495 | |
Sanderson Farms, Inc.D | | | 26,733 | | | | | | | | 2,519,318 | |
Sysco Corporation | | | 142,488 | | | | | | | | 7,889,561 | |
Tyson Foods, Inc.
Class A | | | 27,977 | | | | | | | | 1,725,621 | |
Walgreens Boots Alliance, Inc. | | | 19,759 | | | | | | | | 1,635,255 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 65,317,193 | |
| | | | | | | | | | | | |
Energy — 8.9% | | | | | | | | | | | | |
Anadarko Petroleum Corporation | | | 11,600 | | | | | | | | 808,868 | |
Apache Corporation | | | 2,438 | | | | | | | | 154,740 | |
Baker Hughes, Inc. | | | 145,100 | | | | | | | | 9,427,147 | |
Chevron Corporation | | | 222,423 | | | | | | | | 26,179,187 | |
ConocoPhillips | | | 242,719 | | | | | | | | 12,169,931 | |
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| | | Shares | | | | | | Value | |
CONSOL Energy, Inc. | | | 97,547 | | | | | | | $ | 1,778,282 | |
Dril-Quip, Inc.D* | | | 19,093 | | | | | | | | 1,146,535 | |
EOG Resources, Inc. | | | 12,244 | | | | | | | | 1,237,868 | |
Exxon Mobil Corporation | | | 252,557 | | | | | | | | 22,795,795 | |
Halliburton Co. | | | 19,015 | | | | | | | | 1,028,521 | |
Helmerich & Payne, Inc.D | | | 11,549 | | | | | | | | 893,893 | |
Kinder Morgan, Inc. | | | 52,593 | | | | | | | | 1,089,201 | |
Newfield Exploration Co.* | | | 78,300 | | | | | | | | 3,171,150 | |
Occidental Petroleum Corporation | | | 191,223 | | | | | | | | 13,620,814 | |
Oceaneering International, Inc. | | | 64,098 | | | | | | | | 1,808,205 | |
Patterson-UTI Energy, Inc.D | | | 120,507 | | | | | | | | 3,244,048 | |
Phillips 66 | | | 12,906 | | | | | | | | 1,115,207 | |
Pioneer Natural Resources Co. | | | 3,840 | | | | | | | | 691,469 | |
Southwestern Energy Co.* | | | 28,364 | | | | | | | | 306,899 | |
Spectra Energy Corporation | | | 18,790 | | | | | | | | 772,081 | |
Tesoro Corporation | | | 57,069 | | | | | | | | 4,990,684 | |
Valero Energy Corporation | | | 103,220 | | | | | | | | 7,051,990 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 115,482,515 | |
| | | | | | | | | | | | |
Financial Services — 24.5% | |
Aflac, Inc. | | | 41,856 | | | | | | | | 2,913,178 | |
Allstate Corporation (The) | | | 93,592 | | | | | | | | 6,937,039 | |
Ally Financial, Inc. | | | 178,911 | | | | | | | | 3,402,887 | |
American Express Co. | | | 192,543 | | | | | | | | 14,263,585 | |
American Homes 4 Rent Class A REITD | | | 115,857 | | | | | | | | 2,430,680 | |
American International Group, Inc. | | | 306,495 | | | | | | | | 20,017,188 | |
Bank of America Corporation | | | 1,386,500 | | | | | | | | 30,641,650 | |
Bank of New York Mellon Corporation (The) | | | 23,401 | | | | | | | | 1,108,739 | |
BB&T Corporation | | | 15,858 | | | | | | | | 745,643 | |
Berkshire Hathaway, Inc. Class B* | | | 58,592 | | | | | | | | 9,549,324 | |
BlackRock, Inc. | | | 3,741 | | | | | | | | 1,423,600 | |
Capital One Financial Corporation | | | 10,962 | | | | | | | | 956,325 | |
CBL & Associates Properties, Inc. REITD | | | 101,322 | | | | | | | | 1,165,203 | |
Charles Schwab Corporation (The) | | | 8,238 | | | | | | | | 325,154 | |
Citigroup, Inc. | | | 665,041 | | | | | | | | 39,523,387 | |
Citizens Financial Group, Inc. | | | 153,662 | | | | | | | | 5,474,977 | |
CME Group, Inc. | | | 11,043 | | | | | | | | 1,273,810 | |
Crown Castle International Corporation REIT | | | 1,260 | | | | | | | | 109,330 | |
Discover Financial Services | | | 8,957 | | | | | | | | 645,710 | |
DuPont Fabros Technology, Inc. REITD | | | 40,554 | | | | | | | | 1,781,537 | |
Equity Residential REIT | | | 11,082 | | | | | | | | 713,238 | |
First Data CorporationD* | | | 51,600 | | | | | | | | 732,204 | |
Franklin Resources, Inc. | | | 5,897 | | | | | | | | 233,403 | |
Genworth Financial, Inc. Class A* | | | 43,664 | | | | | | | | 166,360 | |
Goldman Sachs Group, Inc. (The) | | | 11,313 | | | | | | | | 2,708,898 | |
Hartford Financial Services Group, Inc. (The) | | | 194,893 | | | | | | | | 9,286,651 | |
Hospitality Properties Trust REIT | | | 101,545 | | | | | | | | 3,223,038 | |
Host Hotels & Resorts, Inc. REITD | | | 83,397 | | | | | | | | 1,571,199 | |
Hudson Pacific Properties, Inc. REIT | | | 37,664 | | | | | | | | 1,309,954 | |
Intercontinental Exchange, Inc. | | | 147,485 | | | | | | | | 8,321,104 | |
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| | See Notes to Financial Statements. | | 181 |
VALUE EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
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Jones Lang LaSalle, Inc. | | | 45,100 | | | | | | | $ | 4,556,904 | |
JPMorgan Chase & Co. | | | 543,584 | | | | | | | | 46,905,863 | |
Lincoln National Corporation | | | 15,199 | | | | | | | | 1,007,238 | |
Mack-Cali Realty Corporation REIT | | | 44,658 | | | | | | | | 1,295,975 | |
MetLife, Inc. | | | 25,158 | | | | | | | | 1,355,765 | |
Morgan Stanley | | | 39,424 | | | | | | | | 1,665,664 | |
New York Community Bancorp, Inc. | | | 255,900 | | | | | | | | 4,071,369 | |
NorthStar Realty Finance Corporation REIT | | | 44,510 | | | | | | | | 674,327 | |
Piedmont Office Realty Trust, Inc. Class A REIT | | | 26,627 | | | | | | | | 556,771 | |
PNC Financial Services Group, Inc. (The) | | | 12,332 | | | | | | | | 1,442,351 | |
Prudential Financial, Inc. | | | 62,826 | | | | | | | | 6,537,674 | |
Reinsurance Group of America, Inc. | | | 17,055 | | | | | | | | 2,146,031 | |
Senior Housing Properties Trust REIT | | | 35,452 | | | | | | | | 671,106 | |
Simon Property Group, Inc. REIT | | | 926 | | | | | | | | 164,522 | |
State Street Corporation | | | 143,997 | | | | | | | | 11,191,447 | |
SunTrust Banks, Inc. | | | 109,751 | | | | | | | | 6,019,842 | |
Synchrony Financial | | | 128,589 | | | | | | | | 4,663,923 | |
Taubman Centers, Inc. REIT | | | 18,290 | | | | | | | | 1,352,180 | |
Travelers Cos., Inc. (The) | | | 59,888 | | | | | | | | 7,331,489 | |
U.S. Bancorp | | | 47,848 | | | | | | | | 2,457,952 | |
Unum Group | | | 59,032 | | | | | | | | 2,593,276 | |
Voya Financial, Inc. | | | 129,632 | | | | | | | | 5,084,167 | |
Wells Fargo & Co. | | | 396,835 | | | | | | | | 21,869,577 | |
Zions Bancorporation | | | 177,800 | | | | | | | | 7,652,512 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 316,222,920 | |
| | | | | | | | | | | | |
Healthcare — 9.8% | |
Abbott Laboratories | | | 55,238 | | | | | | | | 2,121,692 | |
Aetna, Inc. | | | 7,418 | | | | | | | | 919,906 | |
Amgen, Inc. | | | 30,577 | | | | | | | | 4,470,663 | |
Anthem, Inc. | | | 92,011 | | | | | | | | 13,228,421 | |
Baxter International, Inc. | | | 78,718 | | | | | | | | 3,490,356 | |
Biogen, Inc.* | | | 14,440 | | | | | | | | 4,094,895 | |
Cardinal Health, Inc. | | | 246,363 | | | | | | | | 17,730,745 | |
Cigna Corporation | | | 30,998 | | | | | | | | 4,134,823 | |
Danaher Corporation | | | 16,060 | | | | | | | | 1,250,111 | |
Express Scripts Holding Co.* | | | 163,935 | | | | | | | | 11,277,089 | |
Gilead Sciences, Inc. | | | 161,541 | | | | | | | | 11,567,951 | |
HCA Holdings, Inc.* | | | 8,164 | | | | | | | | 604,299 | |
Humana, Inc. | | | 1,198 | | | | | | | | 244,428 | |
Johnson & Johnson | | | 289,482 | | | | | | | | 33,351,221 | |
Quest Diagnostics, Inc. | | | 51,247 | | | | | | | | 4,709,599 | |
Thermo Fisher Scientific, Inc. | | | 7,278 | | | | | | | | 1,026,926 | |
United Therapeutics CorporationD* | | | 36,540 | | | | | | | | 5,240,932 | |
UnitedHealth Group, Inc. | | | 47,800 | | | | | | | | 7,649,912 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 127,113,969 | |
| | | | | | | | | | | | |
Materials & Processing — 3.3% | |
Air Products & Chemicals, Inc. | | | 74,525 | | | | | | | | 10,718,185 | |
Celanese Corporation Series A | | | 17,040 | | | | | | | | 1,341,730 | |
Domtar CorporationD | | | 9,318 | | | | | | | | 363,682 | |
Dow Chemical Co. (The) | | | 120,571 | | | | | | | | 6,899,073 | |
E.I. du Pont de Nemours & Co. | | | 51,700 | | | | | | | | 3,794,780 | |
Freeport-McMoRan, Inc.* | | | 248,700 | | | | | | | | 3,280,353 | |
Monsanto Co. | | | 5,007 | | | | | | | | 526,786 | |
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Owens Corning | | | 92,224 | | | | | | | $ | 4,755,069 | |
Praxair, Inc. | | | 1,017 | | | | | | | | 119,182 | |
Reliance Steel & Aluminum Co. | | | 22,280 | | | | | | | | 1,772,151 | |
Sealed Air Corporation | | | 101,934 | | | | | | | | 4,621,688 | |
Versum Materials, Inc.* | | | 36,850 | | | | | | | | 1,034,379 | |
WestRock Co. | | | 57,300 | | | | | | | | 2,909,121 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 42,136,179 | |
| | | | | | | | | | | | |
Producer Durables — 9.0% | |
Avery Dennison Corporation | | | 4,591 | | | | | | | | 322,380 | |
Caterpillar, Inc.D | | | 12,999 | | | | | | | | 1,205,527 | |
CSX Corporation | | | 22,872 | | | | | | | | 821,791 | |
Deere & Co. | | | 64,251 | | | | | | | | 6,620,423 | |
Delta Air Lines, Inc. | | | 37,113 | | | | | | | | 1,825,588 | |
Emerson Electric Co. | | | 10,538 | | | | | | | | 587,493 | |
FedEx Corporation | | | 22,316 | | | | | | | | 4,155,239 | |
Fortive Corporation | | | 2,992 | | | | | | | | 160,461 | |
General Dynamics Corporation | | | 38,959 | | | | | | | | 6,726,661 | |
General Electric Co. | | | 594,311 | | | | | | | | 18,780,228 | |
Hawaiian Holdings, Inc.* | | | 73,320 | | | | | | | | 4,179,240 | |
Honeywell International, Inc. | | | 55,800 | | | | | | | | 6,464,430 | |
Huntington Ingalls Industries, Inc. | | | 6,888 | | | | | | | | 1,268,701 | |
Norfolk Southern Corporation | | | 46,034 | | | | | | | | 4,974,894 | |
Northrop Grumman Corporation | | | 19,596 | | | | | | | | 4,557,638 | |
Quanta Services, Inc.* | | | 131,627 | | | | | | | | 4,587,201 | |
Raytheon Co. | | | 6,870 | | | | | | | | 975,540 | |
Southwest Airlines Co. | | | 32,175 | | | | | | | | 1,603,602 | |
Spirit AeroSystems Holdings, Inc. Class A | | | 79,453 | | | | | | | | 4,636,083 | |
Spirit Airlines, Inc.* | | | 25,929 | | | | | | | | 1,500,252 | |
Terex Corporation | | | 186,260 | | | | | | | | 5,872,778 | |
Textron, Inc. | | | 234,195 | | | | | | | | 11,372,509 | |
Union Pacific Corporation | | | 19,764 | | | | | | | | 2,049,131 | |
United Continental Holdings, Inc.* | | | 79,661 | | | | | | | | 5,805,694 | |
United Technologies Corporation | | | 133,093 | | | | | | | | 14,589,655 | |
Waste Management, Inc. | | | 4,414 | | | | | | | | 312,997 | |
Xerox Corporation | | | 98,936 | | | | | | | | 863,711 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 116,819,847 | |
| | | | | | | | | | | | |
Technology — 11.4% | |
Apple, Inc. | | | 12,968 | | | | | | | | 1,501,954 | |
Applied Materials, Inc. | | | 308,071 | | | | | | | | 9,941,451 | |
Aspen Technology, Inc.* | | | 20,856 | | | | | | | | 1,140,406 | |
CA, Inc. | | | 51,114 | | | | | | | | 1,623,892 | |
Cisco Systems, Inc. | | | 459,679 | | | | | | | | 13,891,499 | |
Citrix Systems, Inc.* | | | 33,801 | | | | | | | | 3,018,767 | |
Corning, Inc. | | | 336,736 | | | | | | | | 8,172,583 | |
Cypress Semiconductor CorporationD | | | 464,500 | | | | | | | | 5,313,880 | |
Dell Technologies, Inc. Class V* | | | 6,353 | | | | | | | | 349,224 | |
Hewlett Packard Enterprise Co. | | | 56,439 | | | | | | | | 1,305,998 | |
HP, Inc. | | | 126,637 | | | | | | | | 1,879,293 | |
Intel Corporation | | | 465,019 | | | | | | | | 16,866,239 | |
International Business Machines CorporationD | | | 8,340 | | | | | | | | 1,384,357 | |
Intuit, Inc. | | | 40,568 | | | | | | | | 4,649,498 | |
Micron Technology, Inc.* | | | 197,700 | | | | | | | | 4,333,584 | |
Microsoft Corporation | | | 359,789 | | | | | | | | 22,357,288 | |
ON Semiconductor Corporation* | | | 62,500 | | | | | | | | 797,500 | |
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| 182 | | See Notes to Financial Statements. | | |
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Oracle Corporation | | | 365,468 | | | | | | | $ | 14,052,245 | |
QUALCOMM, Inc. | | | 187,077 | | | | | | | | 12,197,420 | |
Take-Two Interactive Software, Inc.* | | | 23,375 | | | | | | | | 1,152,154 | |
Texas Instruments, Inc. | | | 104,200 | | | | | | | | 7,603,474 | |
VeriSign, Inc.D* | | | 58,829 | | | | | | | | 4,475,122 | |
VMware,Inc. Class AD* | | | 1,087 | | | | | | | | 85,580 | |
Western Digital Corporation | | | 113,825 | | | | | | | | 7,734,409 | |
Yahoo!, Inc.* | | | 28,336 | | | | | | | | 1,095,753 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 146,923,570 | |
| | | | | | | | | | | | |
Utilities — 7.2% | |
AES Corporation | | | 891,443 | | | | | | | | 10,358,568 | |
American Electric Power Co., Inc. | | | 79,373 | | | | | | | | 4,997,324 | |
AT&T, Inc. | | | 763,874 | | | | | | | | 32,487,561 | |
Dominion Resources, Inc. | | | 16,762 | | | | | | | | 1,283,801 | |
Duke Energy Corporation | | | 20,285 | | | | | | | | 1,574,522 | |
Edison International | | | 68,413 | | | | | | | | 4,925,052 | |
Entergy Corporation | | | 43,272 | | | | | | | | 3,179,194 | |
Exelon Corporation | | | 59,722 | | | | | | | | 2,119,534 | |
NextEra Energy, Inc. | | | 14,530 | | | | | | | | 1,735,754 | |
NRG Energy, Inc. | | | 34,135 | | | | | | | | 418,495 | |
PG&E Corporation | | | 29,344 | | | | | | | | 1,783,235 | |
Public Service Enterprise Group, Inc. | | | 66,103 | | | | | | | | 2,900,600 | |
Southern Co. (The) | | | 27,363 | | | | | | | | 1,345,986 | |
T-Mobile US, Inc.D* | | | 3,811 | | | | | | | | 219,170 | |
Verizon Communications, Inc. | | | 436,829 | | | | | | | | 23,317,932 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 92,646,728 | |
| | | | | | | | | | | | |
Total Common Stocks | |
(Cost $893,152,351) | | | | | | | | | | | 1,127,273,954 | |
| | | | | | | | | | | | |
FOREIGN COMMON STOCKS — 10.0% | |
Bermuda — 1.5% | |
Assured Guaranty, Ltd. | | | 63,458 | | | | | | | | 2,396,809 | |
Axis Capital Holdings, Ltd.D | | | 8,814 | | | | | | | | 575,290 | |
Everest Re Group, Ltd.D | | | 7,129 | | | | | | | | 1,542,715 | |
Nabors Industries, Ltd. | | | 432,104 | | | | | | | | 7,086,506 | |
XL Group, Ltd. | | | 211,400 | | | | | | | | 7,876,764 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 19,478,084 | |
| | | | | | | | | | | | |
British Virgin Islands — 0.3% | |
Michael Kors Holdings, Ltd.* | | | 79,638 | | | | | | | | 3,422,841 | |
| | | | | | | | | | | | |
Canada — 0.4% | |
Canadian Natural Resources, Ltd. | | | 132,316 | | | | | | | | 4,218,234 | |
Teck Resources, Ltd. Class BD | | | 15,556 | | | | | | | | 311,587 | |
Thomson Reuters Corporation | | | 9,792 | | | | | | | | 428,694 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,958,515 | |
| | | | | | | | | | | | |
Curacao — 0.3% | |
Schlumberger, Ltd. | | | 40,152 | | | | | | | | 3,370,760 | |
| | | | | | | | | | | | |
France — 0.9% | | | | | | | | | | | | |
Sanofi ADRD | | | 275,700 | | | | | | | | 11,149,308 | |
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Ireland — 3.1% | |
Adient PLC* | | | 23,165 | | | | | | | $ | 1,357,469 | |
Eaton Corporation PLC | | | 13,122 | | | | | | | | 880,355 | |
Johnson Controls International PLC | | | 379,353 | | | | | | | | 15,625,550 | |
Medtronic PLC | | | 255,942 | | | | | | | | 18,230,749 | |
Pentair PLC | | | 71,964 | | | | | | | | 4,035,021 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 40,129,144 | |
| | | | | | | | | | | | |
Luxembourg — 0.1% | |
Trinseo SAD | | | 28,135 | | | | | | | | 1,668,406 | |
| | | | | | | | | | | | |
Netherlands — 0.5% | |
LyondellBasell Industries NV Class A | | | 65,870 | | | | | | | | 5,650,329 | |
Mylan NV* | | | 31,612 | | | | | | | | 1,205,998 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,856,327 | |
| | | | | | | | | | | | |
Panama — 0.5% | |
Carnival Corporation | | | 129,327 | | | | | | | | 6,732,764 | |
| | | | | | | | | | | | |
Puerto Rico — 0.1% | |
Popular, Inc. | | | 39,297 | | | | | | | | 1,721,995 | |
| | | | | | | | | | | | |
Switzerland — 0.1% | |
Chubb, Ltd. | | | 14,590 | | | | | | | | 1,927,631 | |
| | | | | | | | | | | | |
United Kingdom — 2.2% | |
BP PLC ADRD | | | 338,300 | | | | | | | | 12,645,654 | |
Ensco PLC Class AD | | | 275,586 | | | | | | | | 2,678,696 | |
GlaxoSmithKline PLC ADRD | | | 235,200 | | | | | | | | 9,057,552 | |
Rowan Cos. PLC Class AD* | | | 200,969 | | | | | | | | 3,796,304 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 28,178,206 | |
| | | | | | | | | | | | |
Total Foreign Common Stocks | |
(Cost $131,248,993) | | | | | | | | | | | 129,593,981 | |
| | | | | | | | | | | | |
MONEY MARKET FUNDS — 4.6% | |
GuideStone Money Market Fund (Investor Class)¥ | | | 30,846,106 | | | | | | | | 30,846,106 | |
Northern Institutional Liquid Assets Portfolio§ | | | 28,320,677 | | | | | | | | 28,320,677 | |
| | | | | | | | | | | | |
Total Money Market Funds | |
(Cost $59,166,783) | | | | | | | | | | | 59,166,783 | |
| | | | | | | | | | | | |
| | | Par | | | | | | | | | |
| | | | | | | | | | | | |
U.S. TREASURY OBLIGATION — 0.3% | |
U.S. Treasury Bill 0.60%,
06/22/17W‡‡ | | | | | | | | | | | | |
(Cost $3,191,048) | | $ | 3,200,000 | | | | | | | | 3,190,717 | |
| | | | | | | | | | | | |
TOTAL INVESTMENTS — 102.2% | |
(Cost $1,086,759,175) | | | | | | | | | | | 1,319,225,435 | |
Liabilities in Excess of Other | |
Assets — (2.2)% | | | | | | | | | | | (28,203,532 | ) |
| | | | | | | | | | | | |
Net Assets — 100.0% | | | | | | | | | | $ | 1,291,021,903 | |
| | | | | | | | | | | | |
| | | | |
See Notes to Financial Statements. 183 |
VALUE EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2016, 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 | | $ | 1,127,273,954 | | | $ | 1,127,273,954 | | | $ | — | | | $ | — | |
Foreign Common Stocks | | | 129,593,981 | | | | 129,593,981 | | | | — | | | | — | |
Money Market Funds | | | 59,166,783 | | | | 59,166,783 | | | | — | | | | — | |
U.S. Treasury Obligation | | | 3,190,717 | | | | — | | | | 3,190,717 | | | | — | |
| | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | $ | 1,319,225,435 | | | $ | 1,316,034,718 | | | $ | 3,190,717 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | (172,183 | ) | | $ | (172,183 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Total Liabilities - Other Financial Instruments | | $ | (172,183 | ) | | $ | (172,183 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
***Other financial instruments are derivative instruments not reflected in the Schedule of Investments (such as futures contracts), which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the “Financial Futures Contracts” disclosure in the Notes to Financial Statements.
There were no transfers between Level 1, Level 2 and Level 3 during the year ended December 31, 2016.
| | | | |
| 184 | | See Notes to Financial Statements. | | |
Growth Equity Fund (Unaudited)
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 Investor Class of the Fund underperformed its benchmark, the Russell 1000® Growth Index, for the one-year period ended December 31, 2016 (-1.30% versus 7.08%). Slow growth, yield-oriented stocks within the benchmark were the primary drivers of benchmark returns for the year. Underweight exposure to these areas detracted from benchmark-relative performance for the year. Security selection within the consumer discretionary, technology and healthcare sectors also detracted from benchmark-relative performance during the year.
In 2016, exchange listed equity index futures contracts were utilized to provide market exposure to the cash positions held in the Fund. Overall, derivative exposure had a slight positive impact on Fund performance for 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. It is possible to lose money by investing in the Fund.
At December 31, 2016, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
| | | | |
| | | % | |
Technology | | | 30.1 | |
Consumer Discretionary | | | 16.0 | |
Financial Services | | | 14.6 | |
Healthcare | | | 14.4 | |
Foreign Common Stocks | | | 9.3 | |
Producer Durables | | | 5.4 | |
Money Market Funds | | | 5.2 | |
Consumer Staples | | | 5.1 | |
Materials & Processing | | | 0.9 | |
U.S. Treasury Obligation | | | 0.2 | |
| | | | |
| | | 101.2 | |
| | | | |
185
Growth Equity Fund (Unaudited)
| | | | | | | | | | |
| Average Annual Total Returns as of 12/31/16 |
| | | Institutional Class* | | | | Investor Class* | | | | Benchmark** |
One Year | | -0.98% | | | | -1.30% | | | | 7.08% |
Five Year | | 12.77% | | | | 12.52% | | | | 14.50% |
Ten Year | | 6.80% | | | | 6.62% | | | | 8.33% |
Since Inception | | 5.17% | | | | 5.01% | | | | 6.14% |
Inception Date | | 08/27/01 | | | | 08/27/01 | | | | |
Total Fund Operating Expenses (May 1, 2016 Prospectus)(1) | | 0.75% | | | | 1.03% | | | | |
(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 GuideStoneFunds.com. 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 Investor Class of the Fund for the 10-year period from December 31, 2006 to December 31, 2016, 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.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
186
| | |
GROWTH EQUITY FUND SCHEDULE OF INVESTMENTS | | December 31, 2016 |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
COMMON STOCKS — 86.5% | |
Consumer Discretionary — 16.0% | |
Amazon.com, Inc.* | | | 80,564 | | | | | | | $ | 60,412,527 | |
Chipotle Mexican Grill, Inc.D* | | | 22,087 | | | | | | | | 8,333,867 | |
Costco Wholesale Corporation | | | 76,525 | | | | | | | | 12,252,418 | |
Dollar General Corporation | | | 52,636 | | | | | | | | 3,898,749 | |
eBay, Inc.* | | | 344,071 | | | | | | | | 10,215,468 | |
Estee Lauder Cos., Inc. (The) Class A | | | 131,750 | | | | | | | | 10,077,557 | |
L Brands, Inc. | | | 104,410 | | | | | | | | 6,874,354 | |
Liberty Interactive Corporation QVC Group Class A* | | | 518,713 | | | | | | | | 10,363,886 | |
Netflix, Inc.D* | | | 120,129 | | | | | | | | 14,871,970 | |
Priceline Group, Inc. (The)* | | | 15,667 | | | | | | | | 22,968,762 | |
Starbucks Corporation | | | 239,321 | | | | | | | | 13,287,102 | |
TripAdvisor, Inc.* | | | 299,117 | | | | | | | | 13,870,055 | |
Under Armour, Inc. Class AD* | | | 177,918 | | | | | | | | 5,168,518 | |
Under Armour, Inc. Class C* | | | 264,159 | | | | | | | | 6,648,882 | |
Yum China Holdings, Inc.* | | | 158,692 | | | | | | | | 4,145,035 | |
Yum! Brands, Inc. | | | 120,705 | | | | | | | | 7,644,248 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 211,033,398 | |
| | | | | | | | | | | | |
Consumer Staples — 5.1% | |
Coca-Cola Co. (The) | | | 330,567 | | | | | | | | 13,705,308 | |
Mead Johnson Nutrition Co. | | | 118,301 | | | | | | | | 8,370,979 | |
Monster Beverage Corporation* | | | 598,124 | | | | | | | | 26,520,818 | |
Procter & Gamble Co. (The) | | | 166,583 | | | | | | | | 14,006,298 | |
Walgreens Boots Alliance, Inc. | | | 53,979 | | | | | | | | 4,467,302 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 67,070,705 | |
| | | | | | | | | | | | |
Financial Services — 14.6% | |
American Express Co. | | | 79,570 | | | | | | | | 5,894,546 | |
Charles Schwab Corporation (The) | | | 426,379 | | | | | | | | 16,829,179 | |
Crown Castle International Corporation REIT | | | 127,309 | | | | | | | | 11,046,602 | |
Equinix, Inc. REIT | | | 16,268 | | | | | | | | 5,814,346 | |
FactSet Research Systems, Inc. | | | 47,679 | | | | | | | | 7,792,179 | |
FleetCor Technologies, Inc.* | | | 53,405 | | | | | | | | 7,557,875 | |
Intercontinental Exchange, Inc. | | | 164,571 | | | | | | | | 9,285,096 | |
LendingClub CorporationD* | | | 529,485 | | | | | | | | 2,779,796 | |
MasterCard, Inc. Class A | | | 110,357 | | | | | | | | 11,394,360 | |
PayPal Holdings, Inc.* | | | 570,578 | | | | | | | | 22,520,714 | |
SEI Investments Co. | | | 245,756 | | | | | | | | 12,130,516 | |
Visa, Inc. Class AD | | | 1,009,796 | | | | | | | | 78,784,284 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 191,829,493 | |
| | | | | | | | | | | | |
Healthcare — 14.4% | |
Alexion Pharmaceuticals, Inc.* | | | 184,091 | | | | | | | | 22,523,534 | |
Amgen, Inc. | | | 58,103 | | | | | | | | 8,495,240 | |
athenahealth, Inc.D* | | | 49,763 | | | | | | | | 5,233,575 | |
Biogen, Inc.* | | | 62,058 | | | | | | | | 17,598,408 | |
BioMarin Pharmaceutical, Inc.* | | | 113,316 | | | | | | | | 9,387,097 | |
Celgene Corporation* | | | 120,589 | | | | | | | | 13,958,177 | |
Cerner Corporation* | | | 164,042 | | | | | | | | 7,770,670 | |
Danaher Corporation | | | 151,062 | | | | | | | | 11,758,666 | |
DaVita, Inc.* | | | 111,391 | | | | | | | | 7,151,302 | |
DENTSPLY SIRONA, Inc. | | | 93,886 | | | | | | | | 5,420,039 | |
DexCom, Inc.D* | | | 121,800 | | | | | | | | 7,271,460 | |
Edwards Lifesciences | | | | | | | | | | | | |
Corporation* | | | 90,930 | | | | | | | | 8,520,141 | |
Illumina, Inc.* | | | 68,257 | | | | | | | | 8,739,626 | |
Incyte Corporation* | | | 67,900 | | | | | | | | 6,808,333 | |
Intuitive Surgical, Inc.* | | | 17,082 | | | | | | | | 10,832,892 | |
Quintiles IMS Holdings, Inc.* | | | 98,126 | | | | | | | | 7,462,482 | |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
Regeneron Pharmaceuticals, Inc.* | | | 54,479 | | | | | | | $ | 19,998,696 | |
Varian Medical Systems, Inc.* | | | 114,196 | | | | | | | | 10,252,517 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 189,182,855 | |
| | | | | | | | | | | | |
Materials & Processing — 0.9% | |
Ecolab, Inc. | | | 98,768 | | | | | | | | 11,577,585 | |
| | | | | | | | | | | | |
Producer Durables — 5.4% | |
A.O. Smith Corporation | | | 80,524 | | | | | | | | 3,812,811 | |
Automatic Data Processing, Inc. | | | 42,792 | | | | | | | | 4,398,162 | |
Deere & Co. | | | 100,328 | | | | | | | | 10,337,797 | |
Expeditors International of | | | | | | | | | | | | |
Washington, Inc. | | | 256,128 | | | | | | | | 13,564,539 | |
Fortive Corporation | | | 162,639 | | | | | | | | 8,722,330 | |
Roper Technologies, Inc. | | | 55,379 | | | | | | | | 10,138,787 | |
United Parcel Service, Inc. Class B | | | 108,043 | | | | | | | | 12,386,049 | |
Wabtec CorporationD | | | 98,282 | | | | | | | | 8,159,372 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 71,519,847 | |
| | | | | | | | | | | | |
Technology — 30.1% | |
Adobe Systems, Inc.* | | | 256,260 | | | | | | | | 26,381,967 | |
Akamai Technologies, Inc.* | | | 125,121 | | | | | | | | 8,343,068 | |
Alphabet, Inc. Class A* | | | 53,797 | | | | | | | | 42,631,432 | |
Alphabet, Inc. Class C* | | | 45,821 | | | | | | | | 35,365,564 | |
Amphenol Corporation Class A | | | 175,903 | | | | | | | | 11,820,682 | |
Analog Devices, Inc. | | | 28,540 | | | | | | | | 2,072,575 | |
ANSYS, Inc.* | | | 61,746 | | | | | | | | 5,710,888 | |
Autodesk, Inc.* | | | 182,171 | | | | | | | | 13,482,476 | |
Cisco Systems, Inc. | | | 595,898 | | | | | | | | 18,008,038 | |
Cognizant Technology Solutions Corporation Class A* | | | 154,614 | | | | | | | | 8,663,022 | |
Electronic Arts, Inc.* | | | 120,841 | | | | | | | | 9,517,437 | |
Facebook, Inc. Class A* | | | 585,514 | | | | | | | | 67,363,386 | |
Intuit, Inc. | | | 44,694 | | | | | | | | 5,122,379 | |
Microsoft Corporation | | | 436,891 | | | | | | | | 27,148,407 | |
Oracle Corporation | | | 481,786 | | | | | | | | 18,524,672 | |
Palo Alto Networks, Inc.* | | | 70,367 | | | | | | | | 8,799,393 | |
QUALCOMM, Inc. | | | 405,093 | | | | | | | | 26,412,064 | |
salesforce.com, Inc.* | | | 432,342 | | | | | | | | 29,598,133 | |
SBA Communications Corporation Class A* | | | 87,267 | | | | | | | | 9,011,190 | |
ServiceNow, Inc.* | | | 71,100 | | | | | | | | 5,285,574 | |
Splunk, Inc.D* | | | 185,883 | | | | | | | | 9,507,916 | |
Symantec Corporation | | | 281,152 | | | | | | | | 6,716,721 | |
TiVo Corporation* | | | 7 | | | | | | | | 146 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 395,487,130 | |
| | | | | | | | | | | | |
Total Common Stocks
(Cost $963,948,877) | | | | | | | | | | | 1,137,701,013 | |
| | | | | | | | | | | | |
FOREIGN COMMON STOCKS — 9.3% | |
Bermuda — 0.5% | |
Genpact, Ltd.* | | | 293,575 | | | | | | | | 7,145,616 | |
| | | | | | | | | | | | |
China — 3.5% | |
Alibaba Group Holding, Ltd. ADRD* | | | 381,380 | | | | | | | | 33,488,978 | |
Baidu, Inc. ADR* | | | 75,300 | | | | | | | | 12,380,073 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 45,869,051 | |
| | | | | | | | | | | | |
Curacao — 1.5% | |
Schlumberger, Ltd. | | | 228,344 | | | | | | | | 19,169,479 | |
| | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 187 |
GROWTH EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
France — 1.0% | |
Danone SA ADRD | | | 1,066,178 | | | | | | | $ | 13,412,519 | |
| | | | | | | | | | | | |
Netherlands — 1.3% | | | | | | | | | | | | |
Mobileye NVD* | | | 152,681 | | | | | | | | 5,820,200 | |
NXP Semiconductor NV* | | | 109,353 | | | | | | | | 10,717,687 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 16,537,887 | |
| | | | | | | | | | | | |
Switzerland — 0.7% | | | | | | | | | | | | |
Novartis AG ADR | | | 124,783 | | | | | | | | 9,089,194 | |
| | | | | | | | | | | | |
United Kingdom — 0.8% | | | | | |
Liberty Global PLC
Class A* | | | 38,959 | | | | | | | | 1,191,756 | |
Liberty Global PLC,
Series C* | | | 147,140 | | | | | | | | 4,370,058 | |
Nielsen Holdings PLC | | | 119,007 | | | | | | | | 4,992,343 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 10,554,157 | |
| | | | | | | | | | | | |
Total Foreign Common Stocks
(Cost $122,309,585) | | | | | | | | | | | 121,777,903 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
MONEY MARKET FUNDS — 5.2% | | | | | |
GuideStone Money Market Fund (Investor Class)¥ | | | 54,388,015 | | | | | | | $ | 54,388,015 | |
Northern Institutional Liquid Assets Portfolio§ | | | 14,082,344 | | | | | | | | 14,082,344 | |
| | | | | | | | | | | | |
Total Money Market Funds
(Cost $68,470,359) | | | | | | | | 68,470,359 | |
| | | | | | | | | | | | |
| | | Par | | | | | | | |
U.S. TREASURY OBLIGATION — 0.2% | | | | | |
U.S. Treasury Bill 0.60%,
06/22/17W‡‡ | | | | | | | | | |
(Cost $3,091,328) | | $ | 3,100,000 | | | | | | | | 3,091,007 | |
| | | | | | | | | | | | |
TOTAL INVESTMENTS — 101.2% | | | | | |
(Cost $1,157,820,149) | | | | | | | | | | | 1,331,040,282 | |
Liabilities in Excess of Other
Assets — (1.2)% | | | | (16,300,164 | ) |
| | | | | | | | | | | | |
NET ASSETS — 100.0% | | | | | | | | | | $ | 1,314,740,118 | |
| | | | | | | | | | | | |
| | | | |
| 188 | | See Notes to Financial Statements. | | |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2016, 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 | | $ | 1,137,701,013 | | | $ | 1,137,701,013 | | | $ | — | | | $ | — | |
Foreign Common Stocks | | | 121,777,903 | | | | 121,777,903 | | | | — | | | | — | |
Money Market Funds | | | 68,470,359 | | | | 68,470,359 | | | | — | | | | — | |
U.S. Treasury Obligation | | | 3,091,007 | | | | — | | | | 3,091,007 | | | | — | |
| | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | $ | 1,331,040,282 | | | $ | 1,327,949,275 | | | $ | 3,091,007 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | (207,890 | ) | | $ | (207,890 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Total Liabilities - Other Financial Instruments | | $ | (207,890 | ) | | $ | (207,890 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
***Other financial instruments are derivative instruments not reflected in the Schedule of Investments (such as futures contracts), which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the “Financial Futures Contracts” disclosure in the Notes to Financial Statements.
There were no transfers between Level 1, Level 2 and Level 3 during the year ended December 31, 2016.
| | | | |
| | See Notes to Financial Statements. | | 189 |
Small Cap Equity Fund (Unaudited)
The Fund was comprised of domestic, small-cap stocks with both value- and growth-style orientations. The Investor Class of the Fund underperformed its benchmark, the Russell 2000® Index, for the one-year period ended December 31, 2016 (17.17% versus 21.31%). During the year, the Fund remained diversified across all sectors, with a modest overweight to the producer durables sector and modest underweights to the healthcare and financial services sectors. Security selection within the energy, financial services and producer durables sectors were the primary detractors from benchmark-relative performance during the year.
In 2016, exchange listed equity index futures contracts were utilized to provide market exposure to the cash positions held in the Fund. Overall, derivative exposure had a slight positive impact on Fund 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, 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. It is possible to lose money by investing in the Fund.
At December 31, 2016, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
| | | | |
| | | % | |
Financial Services | | | 20.2 | |
Producer Durables | | | 18.8 | |
Money Market Funds | | | 15.7 | |
Consumer Discretionary | | | 12.1 | |
Technology | | | 11.5 | |
Healthcare | | | 7.4 | |
Materials & Processing | | | 7.4 | |
Foreign Common Stocks | | | 7.3 | |
Energy | | | 4.6 | |
Utilities | | | 4.0 | |
Consumer Staples | | | 1.2 | |
Master Limited Partnership | | | 0.8 | |
U.S. Treasury Obligation | | | 0.2 | |
Corporate Bonds | | | — | ** |
| | | | |
| | | 111.2 | |
| | | | |
**Rounds to less than 0.005%
190
Small Cap Equity Fund (Unaudited)
| | | | | | | | | | | | |
| Average Annual Total Returns as of 12/31/16 | | |
| | Institutional Class* | | | | Investor Class* | | | | Benchmark** | | |
One Year | | 17.48% | | | | 17.17% | | | | 21.31% | | |
Five Year | | 12.96% | | | | 12.70% | | | | 14.46% | | |
Ten Year | | 6.85% | | | | 6.65% | | | | 7.07% | | |
Since Inception | | 7.54% | | | | 7.35% | | | | 8.43% | | |
Inception Date | | 08/27/01 | | | | 08/27/01 | | | | | | |
Total Fund Operating Expenses (May 1, 2016 Prospectus)(1) | | 1.06% | | | | 1.30% | | | | | | |
(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 GuideStoneFunds.com. 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 Investor Class of the Fund for the 10-year period from December 31, 2006 to December 31, 2016, 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.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
191
| | |
SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS | | December 31, 2016 |
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| | | Shares | | | Value | |
COMMON STOCKS — 87.2% | | | | | | | | | |
Consumer Discretionary — 12.1% | | | | | | | | | |
2U, Inc.D* | | | 71,100 | | | | | | | $ | 2,143,665 | |
Aaron’s, Inc. | | | 51,931 | | | | | | | | 1,661,273 | |
American Axle & Manufacturing Holdings, Inc.* | | | 31,575 | | | | | | | | 609,397 | |
Avis Budget Group, Inc.D* | | | 6,989 | | | | | | | | 256,356 | |
Big Lots, Inc.D | | | 52,351 | | | | | | | | 2,628,544 | |
Bloomin’ Brands, Inc. | | | 45,030 | | | | | | | | 811,891 | |
Bright Horizons Family Solutions, Inc.* | | | 53,900 | | | | | | | | 3,774,078 | |
Burlington Stores, Inc.* | | | 12,200 | | | | | | | | 1,033,950 | |
Cable One, Inc.D | | | 4,610 | | | | | | | | 2,866,175 | |
Capella Education Co. | | | 11,316 | | | | | | | | 993,545 | |
Carriage Services, Inc.D | | | 34,040 | | | | | | | | 974,906 | |
Cavco Industries, Inc.* | | | 4,450 | | | | | | | | 444,332 | |
Chegg, Inc.D* | | | 177,300 | | | | | | | | 1,308,474 | |
Children’s Place, Inc. (The)D | | | 3,305 | | | | | | | | 333,640 | |
Cooper Tire & Rubber Co. | | | 32,855 | | | | | | | | 1,276,417 | |
Destination XL Group, Inc.D* | | | 330,288 | | | | | | | | 1,403,724 | |
Drew Industries, Inc. | | | 24,800 | | | | | | | | 2,672,200 | |
Ethan Allen Interiors, Inc.D | | | 44,797 | | | | | | | | 1,650,769 | |
Express, Inc.* | | | 22,700 | | | | | | | | 244,252 | |
Fox Factory Holding Corporation* | | | 62,717 | | | | | | | | 1,740,397 | |
Francesca’s Holdings Corporation* | | | 32,622 | | | | | | | | 588,175 | |
Gannett Co., Inc. | | | 52,698 | | | | | | | | 511,698 | |
Gentherm, Inc.* | | | 5,000 | | | | | | | | 169,250 | |
G-III Apparel Group, Ltd.D* | | | 42,500 | | | | | | | | 1,256,300 | |
Goodyear Tire & Rubber Co. (The) | | | 5,307 | | | | | | | | 163,827 | |
Grand Canyon Education, Inc.D* | | | 39,040 | | | | | | | | 2,281,888 | |
Hibbett Sports, Inc.D* | | | 47,600 | | | | | | | | 1,775,480 | |
Inter Parfums, Inc. | | | 34,000 | | | | | | | | 1,113,500 | |
JAKKS Pacific, Inc.D* | | | 88,836 | | | | | | | | 457,505 | |
Kona Grill, Inc.D* | | | 32,360 | | | | | | | | 406,118 | |
Lear Corporation | | | 4,528 | | | | | | | | 599,371 | |
Libbey, Inc. | | | 80,299 | | | | | | | | 1,562,619 | |
Lithia Motors, Inc. Class A | | | 18,400 | | | | | | | | 1,781,672 | |
Malibu Boats, Inc. Class A* | | | 53,433 | | | | | | | | 1,019,502 | |
MCBC Holdings, Inc.* | | | 13,988 | | | | | | | | 203,945 | |
Meritor, Inc.* | | | 14,386 | | | | | | | | 178,674 | |
Monro Muffler Brake, Inc.D | | | 57,850 | | | | | | | | 3,309,020 | |
MSG Networks, Inc. Class A* | | | 53,772 | | | | | | | | 1,156,098 | |
New Media Investment Group, Inc. | | | 27,538 | | | | | | | | 440,333 | |
Ollie’s Bargain Outlet Holdings, Inc.D* | | | 63,500 | | | | | | | | 1,806,575 | |
Rent-A-Center, Inc.D | | | 86,012 | | | | | | | | 967,635 | |
Scholastic CorporationD | | | 6,415 | | | | | | | | 304,648 | |
Skechers U.S.A., Inc. Class A* | | | 17,285 | | | | | | | | 424,865 | |
Smith & Wesson Holding CorporationD* | | | 69,996 | | | | | | | | 1,475,516 | |
Sportsman’s Warehouse Holdings, Inc.D* | | | 106,800 | | | | | | | | 1,002,852 | |
Steven Madden, Ltd.* | | | 25,910 | | | | | | | | 926,282 | |
Strayer Education, Inc.* | | | 3,541 | | | | | | | | 285,511 | |
Time, Inc.D | | | 76,340 | | | | | | | | 1,362,669 | |
Universal Electronics, Inc.* | | | 56,116 | | | | | | | | 3,622,288 | |
Visteon Corporation | | | 21,531 | | | | | | | | 1,729,800 | |
William Lyon Homes Class AD* | | | 69,700 | | | | | | | | 1,326,391 | |
ZAGG, Inc.* | | | 171,290 | | | | | | | | 1,216,159 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 64,254,151 | |
| | | | | | | | | | | | |
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Consumer Staples — 1.2% | | | | | | | | | |
Andersons, Inc. (The) | | | 20,115 | | | | | | | $ | 899,141 | |
Dean Foods Co.D | | | 87,653 | | | | | | | | 1,909,082 | |
Ingredion, Inc. | | | 1,374 | | | | | | | | 171,695 | |
Medifast, Inc. | | | 25,780 | | | | | | | | 1,073,221 | |
Nu Skin Enterprises, Inc. Class A | | | 2,637 | | | | | | | | 125,996 | |
Omega Protein Corporation* | | | 66,208 | | | | | | | | 1,658,510 | |
Sanderson Farms, Inc.D | | | 6,427 | | | | | | | | 605,681 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,443,326 | |
| | | | | | | | | | | | |
Energy — 4.6% | | | | | | | | | |
Archrock, Inc. | | | 33,841 | | | | | | | | 446,701 | |
Atwood Oceanics, Inc.D* | | | 52,866 | | | | | | | | 694,131 | |
Bill Barrett CorporationD* | | | 100,153 | | | | | | | | 700,070 | |
Callon Petroleum Co.* | | | 45,740 | | | | | | | | 703,024 | |
CONSOL Energy, Inc. | | | 51,251 | | | | | | | | 934,306 | |
Dril-Quip, Inc.D* | | | 10,623 | | | | | | | | 637,911 | |
Gulfport Energy Corporation* | | | 125,290 | | | | | | | | 2,711,276 | |
Matador Resources Co.D* | | | 64,900 | | | | | | | | 1,671,824 | |
Matrix Service Co.* | | | 23,673 | | | | | | | | 537,377 | |
PBF Energy, Inc. Class AD | | | 90,097 | | | | | | | | 2,511,904 | |
PDC Energy, Inc.D* | | | 27,000 | | | | | | | | 1,959,660 | |
Pioneer Energy Services Corporation* | | | 30,414 | | | | | | | | 208,336 | |
Renewable Energy Group, Inc.D* | | | 122,062 | | | | | | | | 1,184,001 | |
REX American Resources Corporation* | | | 19,513 | | | | | | | | 1,926,909 | |
Ring Energy, Inc.D* | | | 149,663 | | | | | | | | 1,944,122 | |
RSP Permian, Inc.* | | | 29,300 | | | | | | | | 1,307,366 | |
Southwestern Energy Co.* | | | 157,670 | | | | | | | | 1,705,989 | |
Westmoreland Coal Co.* | | | 30,829 | | | | | | | | 544,749 | |
Whiting Petroleum CorporationD* | | | 104,700 | | | | | | | | 1,258,494 | |
WildHorse Resource Development CorporationD* | | | 73,500 | | | | | | | | 1,073,100 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 24,661,250 | |
| | | | | | | | | | | | |
Financial Services — 20.2% | | | | | | | | | |
Alleghany Corporation* | | | 3,420 | | | | | | | | 2,079,770 | |
American Assets Trust, Inc. REIT | | | 4,848 | | | | | | | | 208,852 | |
American Equity Investment Life Holding Co. | | | 73,995 | | | | | | | | 1,667,847 | |
American Financial Group, Inc. | | | 14,267 | | | | | | | | 1,257,208 | |
American Homes 4 Rent Class A REIT | | | 50,937 | | | | | | | | 1,068,658 | |
AMERISAFE, Inc. | | | 61,015 | | | | | | | | 3,804,285 | |
AmTrust Financial Services, Inc. | | | 59,670 | | | | | | | | 1,633,765 | |
Armada Hoffler Properties, Inc. REIT | | | 24,898 | | | | | | | | 362,764 | |
Ashford Hospitality Trust, Inc. REIT | | | 260,360 | | | | | | | | 2,020,394 | |
Banc of California, Inc.D | | | 41,753 | | | | | | | | 724,415 | |
BancFirst Corporation | | | 6,110 | | | | | | | | 568,536 | |
Bancorp, Inc. (The)* | | | 100,901 | | | | | | | | 793,082 | |
Beneficial Bancorp, Inc. | | | 8,011 | | | | | | | | 147,402 | |
Berkshire Hills Bancorp, Inc. | | | 32,253 | | | | | | | | 1,188,523 | |
Blackhawk Network Holdings, Inc.* | | | 49,300 | | | | | | | | 1,857,377 | |
CardConnect CorporationD* | | | 77,600 | | | | | | | | 985,520 | |
Care Capital Properties, Inc. REITD | | | 6,309 | | | | | | | | 157,725 | |
| | | | |
| 192 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
CBL & Associates Properties, Inc. REIT | | | 151,740 | | | | | | | $ | 1,745,010 | |
Central Pacific Financial Corporation | | | 64,025 | | | | | | | | 2,011,666 | |
Chemical Financial Corporation | | | 33,661 | | | | | | | | 1,823,416 | |
Community Bank System, Inc.D | | | 15,650 | | | | | | | | 967,013 | |
CubeSmart REIT | | | 20,760 | | | | | | | | 555,745 | |
Customers Bancorp, Inc.* | | | 27,627 | | | | | | | | 989,599 | |
DiamondRock Hospitality Co. REITD | | | 76,837 | | | | | | | | 885,931 | |
DuPont Fabros Technology, Inc. REIT | | | 8,156 | | | | | | | | 358,293 | |
Enova International, Inc.* | | | 8,702 | | | | | | | | 109,210 | |
Enterprise Financial Services Corporation | | | 19,389 | | | | | | | | 833,727 | |
Fair Isaac CorporationD | | | 19,300 | | | | | | | | 2,300,946 | |
Federal Agricultural Mortgage Corporation Class C | | | 27,632 | | | | | | | | 1,582,485 | |
Fifth Street Finance CorporationD | | | 117,200 | | | | | | | | 629,364 | |
Financial Institutions, Inc. | | | 22,869 | | | | | | | | 782,120 | |
First Commonwealth Financial Corporation | | | 120,840 | | | | | | | | 1,713,511 | |
First Financial Bancorp | | | 21,772 | | | | | | | | 619,413 | |
First Potomac Realty Trust REITD | | | 46,728 | | | | | | | | 512,606 | |
Flagstar Bancorp, Inc.* | | | 64,957 | | | | | | | | 1,749,942 | |
FNB Corporation | | | 148,710 | | | | | | | | 2,383,821 | |
GAMCO Investors, Inc. Class AD | | | 4,506 | | | | | | | | 139,190 | |
Genworth Financial, Inc. Class A* | | | 50,025 | | | | | | | | 190,595 | |
Gramercy Property Trust REITD | | | 53,639 | | | | | | | | 492,406 | |
Green Dot Corporation Class A* | | | 59,349 | | | | | | | | 1,397,669 | |
Hanmi Financial CorporationD | | | 29,332 | | | | | | | | 1,023,687 | |
Hanover Insurance Group, Inc. (The) | | | 20,316 | | | | | | | | 1,848,959 | |
HCI Group, Inc.D | | | 25,247 | | | | | | | | 996,752 | |
Heritage Insurance Holdings, Inc. | | | 18,435 | | | | | | | | 288,876 | |
Hersha Hospitality Trust REIT | | | 25,789 | | | | | | | | 554,463 | |
HFF, Inc. Class A* | | | 76,200 | | | | | | | | 2,305,050 | |
HomeTrust Bancshares, Inc.D* | | | 6,241 | | | | | | | | 161,642 | |
Hospitality Properties Trust REIT | | | 54,572 | | | | | | | | 1,732,115 | |
Independent Bank Corporation | | | 40,708 | | | | | | | | 883,364 | |
Investment Technology Group, Inc. | | | 16,708 | | | | | | | | 329,816 | |
Kennedy-Wilson Holdings, Inc. | | | 141,725 | | | | | | | | 2,905,362 | |
LaSalle Hotel Properties REIT | | | 9,050 | | | | | | | | 275,754 | |
Mack-Cali Realty Corporation REIT | | | 73,126 | | | | | | | | 2,122,117 | |
Meta Financial Group, Inc. | | | 7,020 | | | | | | | | 722,358 | |
National Bank Holdings Corporation Class A | | | 49,625 | | | | | | | | 1,582,541 | |
National General Holdings Corporation | | | 78,420 | | | | | | | | 1,959,716 | |
National Storage Affiliates Trust REIT | | | 91,900 | | | | | | | | 2,028,233 | |
Nationstar Mortgage Holdings, Inc.D* | | | 15,939 | | | | | | | | 287,858 | |
Navient Corporation | | | 27,849 | | | | | | | | 457,559 | |
New Senior Investment Group, Inc. REITD | | | 130,697 | | | | | | | | 1,279,524 | |
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| | | Shares | | | Value | |
NexPoint Residential Trust, Inc. REIT | | | 7,920 | | | | | | | $ | 176,933 | |
NorthStar Realty Finance Corporation REITD | | | 14,020 | | | | | | | | 212,403 | |
Pacific Premier Bancorp, Inc.* | | | 45,975 | | | | | | | | 1,625,216 | |
Peapack Gladstone Financial CorporationD | | | 9,400 | | | | | | | | 290,272 | |
Physicians Realty Trust REIT | | | 57,240 | | | | | | | | 1,085,270 | |
PICO Holdings, Inc.* | | | 17,391 | | | | | | | | 263,474 | |
Piedmont Office Realty Trust, Inc. Class A REIT | | | 56,862 | | | | | | | | 1,188,984 | |
Pinnacle Financial Partners, Inc. | | | 12,690 | | | | | | | | 879,417 | |
Piper Jaffray Cos.* | | | 17,119 | | | | | | | | 1,241,127 | |
Preferred Apartment Communities, Inc. Class A REITD | | | 87,996 | | | | | | | | 1,312,020 | |
ProAssurance Corporation | | | 36,470 | | | | | | | | 2,049,614 | |
Radian Group, Inc. | | | 69,215 | | | | | | | | 1,244,486 | |
Regional Management Corporation* | | | 26,305 | | | | | | | | 691,295 | |
Reinsurance Group of America, Inc. | | | 20,002 | | | | | | | | 2,516,852 | |
RMR Group, Inc. (The) Class A | | | 12,476 | | | | | | | | 492,802 | |
Safeguard Scientifics, Inc.D* | | | 54,300 | | | | | | | | 730,335 | |
Senior Housing Properties Trust REIT | | | 34,957 | | | | | | | | 661,736 | |
Taubman Centers, Inc. REIT | | | 24,189 | | | | | | | | 1,788,293 | |
Texas Capital Bancshares, Inc.* | | | 25,570 | | | | | | | | 2,004,688 | |
Union Bankshares Corporation | | | 10,717 | | | | | | | | 383,026 | |
United Community Banks, Inc. | | | 61,380 | | | | | | | | 1,818,076 | |
Universal Insurance Holdings, Inc.D | | | 27,936 | | | | | | | | 793,382 | |
Voya Financial, Inc. | | | 77,964 | | | | | | | | 3,057,748 | |
Walker & Dunlop, Inc.* | | | 35,318 | | | | | | | | 1,101,922 | |
Washington Prime Group, Inc. REIT | | | 161,741 | | | | | | | | 1,683,724 | |
WEX, Inc.D* | | | 31,600 | | | | | | | | 3,526,560 | |
WisdomTree Investments, Inc.D | | | 130,000 | | | | | | | | 1,448,200 | |
Xenia Hotels & Resorts, Inc. REIT | | | 107,391 | | | | | | | | 2,085,533 | |
Zions Bancorporation | | | 52,395 | | | | | | | | 2,255,081 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 107,654,016 | |
| | | | | | | | | | | | |
Healthcare — 7.4% | | | | | | | | | | | | |
Air Methods CorporationD* | | | 43,170 | | | | | | | | 1,374,964 | |
Akorn, Inc.D* | | | 32,500 | | | | | | | | 709,475 | |
AMAG Pharmaceuticals, Inc.D* | | | 19,778 | | | | | | | | 688,274 | |
Amedisys, Inc.* | | | 25,300 | | | | | | | | 1,078,539 | |
American Renal Associates Holdings, Inc.D* | | | 44,800 | | | | | | | | 953,344 | |
Analogic Corporation | | | 5,690 | | | | | | | | 471,986 | |
Anika Therapeutics, Inc.* | | | 11,676 | | | | | | | | 571,657 | |
Applied Genetic Technologies CorporationD* | | | 60,063 | | | | | | | | 561,589 | |
ARIAD Pharmaceuticals, Inc.D* | | | 87,500 | | | | | | | | 1,088,500 | |
BioScrip, Inc.D* | | | 62,719 | | | | | | | | 65,228 | |
Civitas Solutions, Inc.D* | | | 87,000 | | | | | | | | 1,731,300 | |
Cynosure, Inc. Class A* | | | 30,700 | | | | | | | | 1,399,920 | |
Dermira, Inc.D* | | | 53,000 | | | | | | | | 1,607,490 | |
Emergent BioSolutions, Inc.* | | | 36,402 | | | | | | | | 1,195,442 | |
Enanta Pharmaceuticals, Inc.D* | | | 27,268 | | | | | | | | 913,478 | |
| | | | |
| | See Notes to Financial Statements. | | 193 |
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
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Endologix, Inc.D* | | | 136,700 | | | | | | | $ | 781,924 | |
Five Star Quality Care, Inc.+* | | | 2,086 | | | | | | | | — | |
Globus Medical, Inc. Class A* | | | 23,290 | | | | | | | | 577,825 | |
Halyard Health, Inc.* | | | 4,147 | | | | | | | | 153,356 | |
Inogen, Inc.* | | | 24,400 | | | | | | | | 1,638,948 | |
Integra LifeSciences Holdings Corporation* | | | 9,320 | | | | | | | | 799,563 | |
Intra-Cellular Therapies, Inc.D* | | | 33,600 | | | | | | | | 507,024 | |
K2M Group Holdings, Inc.D* | | | 60,800 | | | | | | | | 1,218,432 | |
Kindred Healthcare, Inc.D | | | 68,430 | | | | | | | | 537,176 | |
Lannett Co., Inc.D* | | | 103,369 | | | | | | | | 2,279,286 | |
Masimo Corporation* | | | 14,060 | | | | | | | | 947,644 | |
PRA Health Sciences, Inc.* | | | 46,500 | | | | | | | | 2,563,080 | |
Repligen Corporation* | | | 30,100 | | | | | | | | 927,682 | |
Retrophin, Inc.* | | | 7,640 | | | | | | | | 144,625 | |
Surgical Care Affiliates, Inc.* | | | 40,600 | | | | | | | | 1,878,562 | |
Team Health Holdings, Inc.* | | | 50,500 | | | | | | | | 2,194,225 | |
United Therapeutics Corporation* | | | 14,473 | | | | | | | | 2,075,862 | |
US Physical Therapy, Inc.D | | | 17,520 | | | | | | | | 1,229,904 | |
Vanda Pharmaceuticals, Inc.* | | | 101,463 | | | | | | | | 1,618,335 | |
West Pharmaceutical Services, Inc. | | | 37,390 | | | | | | | | 3,171,794 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 39,656,433 | |
| | | | | | | | | | | | |
Materials & Processing — 7.4% | | | | | | | | | | | | |
A. Schulman, Inc. | | | 44,276 | | | | | | | | 1,481,032 | |
Beacon Roofing Supply, Inc.* | | | 41,900 | | | | | | | | 1,930,333 | |
Cabot Corporation | | | 7,164 | | | | | | | | 362,069 | |
Ferro Corporation* | | | 20,910 | | | | | | | | 299,640 | |
FMC Corporation | | | 12,540 | | | | | | | | 709,262 | |
FutureFuel Corporation | | | 52,237 | | | | | | | | 726,094 | |
Global Brass & Copper Holdings, Inc. | | | 18,115 | | | | | | | | 621,345 | |
Innophos Holdings, Inc. | | | 10,755 | | | | | | | | 562,056 | |
Insteel Industries, Inc. | | | 58,282 | | | | | | | | 2,077,170 | |
Interface, Inc. | | | 36,059 | | | | | | | | 668,894 | |
Koppers Holdings, Inc.* | | | 68,443 | | | | | | | | 2,758,253 | |
Landec Corporation* | | | 35,820 | | | | | | | | 494,316 | |
LB Foster Co. Class A | | | 49,757 | | | | | | | | 676,695 | |
LSB Industries, Inc.D* | | | 135,260 | | | | | | | | 1,138,889 | |
Mercer International, Inc.D | | | 39,054 | | | | | | | | 415,925 | |
Myers Industries, Inc. | | | 41,659 | | | | | | | | 595,724 | |
NN, Inc.D | | | 86,814 | | | | | | | | 1,653,807 | |
Olympic Steel, Inc. | | | 12,334 | | | | | | | | 298,853 | |
OMNOVA Solutions, Inc.* | | | 149,019 | | | | | | | | 1,490,190 | |
Owens Corning | | | 31,769 | | | | | | | | 1,638,010 | |
Owens-Illinois, Inc.* | | | 31,550 | | | | | | | | 549,286 | |
P.H. Glatfelter Co. | | | 35,690 | | | | | | | | 852,634 | |
Patrick Industries, Inc.* | | | 69,534 | | | | | | | | 5,305,444 | |
PolyOne Corporation | | | 83,075 | | | | | | | | 2,661,723 | |
RBC Bearings, Inc.D* | | | 18,400 | | | | | | | | 1,707,704 | |
Reliance Steel & Aluminum Co. | | | 12,040 | | | | | | | | 957,662 | |
Resolute Forest Products* | | | 41,726 | | | | | | | | 223,234 | |
Rexnord Corporation* | | | 103,900 | | | | | | | | 2,035,401 | |
Ryerson Holding Corporation* | | | 14,771 | | | | | | | | 197,193 | |
Steel Dynamics, Inc. | | | 9,796 | | | | | | | | 348,542 | |
Summit Materials, Inc. Class A* | | | 67,024 | | | | | | | | 1,594,501 | |
Unifi, Inc.* | | | 10,730 | | | | | | | | 350,120 | |
United States Steel CorporationD | | | 31,702 | | | | | | | | 1,046,483 | |
Universal Stainless & Alloy Products, Inc.* | | | 55,449 | | | | | | | | 749,116 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 39,177,600 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
Producer Durables — 18.8% | | | | | | | | | | | | |
ACCO Brands Corporation* | | | 331,509 | | | | | | | $ | 4,326,192 | |
Advanced Energy Industries, Inc.* | | | 7,015 | | | | | | | | 384,071 | |
Advisory Board Co. (The)D* | | | 64,300 | | | | | | | | 2,137,975 | |
Aegion Corporation* | | | 76,278 | | | | | | | | 1,807,789 | |
Air Transport Services Group, Inc.* | | | 8,155 | | | | | | | | 130,154 | |
Albany International Corporation Class A | | | 70,600 | | | | | | | | 3,268,780 | |
Allegiant Travel Co. | | | 13,250 | | | | | | | | 2,204,800 | |
Astronics CorporationD* | | | 65,401 | | | | | | | | 2,213,170 | |
Astronics Corporation Class BD* | | | 10,215 | | | | | | | | 344,246 | |
Atlas Air Worldwide Holdings, Inc.* | | | 35,426 | | | | | | | | 1,847,466 | |
AZZ, Inc. | | | 47,127 | | | | | | | | 3,011,415 | |
Babcock & Wilcox Enterprises, Inc.* | | | 33,340 | | | | | | | | 553,111 | |
BWX Technologies, Inc. | | | 21,933 | | | | | | | | 870,740 | |
CEB, Inc. | | | 37,300 | | | | | | | | 2,260,380 | |
Clean Harbors, Inc.D* | | | 23,700 | | | | | | | | 1,318,905 | |
Columbus McKinnon Corporation | | | 107,035 | | | | | | | | 2,894,226 | |
CRA International, Inc. | | | 5,625 | | | | | | | | 205,875 | |
Crane Co.D | | | 15,365 | | | | | | | | 1,108,124 | |
DHI Group, Inc.D* | | | 96,355 | | | | | | | | 602,219 | |
Ducommun, Inc.* | | | 53,357 | | | | | | | | 1,363,805 | |
Electronics For Imaging, Inc.D* | | | 42,500 | | | | | | | | 1,864,050 | |
EMCOR Group, Inc. | | | 24,843 | | | | | | | | 1,757,891 | |
EnerSys, Inc. | | | 33,620 | | | | | | | | 2,625,722 | |
Essendant, Inc. | | | 8,435 | | | | | | | | 176,292 | |
ExlService Holdings, Inc.* | | | 53,250 | | | | | | | | 2,685,930 | |
Exponent, Inc. | | | 33,900 | | | | | | | | 2,044,170 | |
FARO Technologies, Inc.* | | | 27,100 | | | | | | | | 975,600 | |
Greenbrier Cos., Inc. (The)D | | | 45,887 | | | | | | | | 1,906,605 | |
Hawaiian Holdings, Inc.* | | | 19,059 | | | | | | | | 1,086,363 | |
Healthcare Services Group, Inc. | | | 49,250 | | | | | | | | 1,929,122 | |
Huntington Ingalls Industries, Inc. | | | 6,064 | | | | | | | | 1,116,928 | |
Huron Consulting Group, Inc.* | | | 32,300 | | | | | | | | 1,635,995 | |
ICF International, Inc.* | | | 30,500 | | | | | | | | 1,683,600 | |
JetBlue Airways Corporation* | | | 26,599 | | | | | | | | 596,350 | |
KBR, Inc. | | | 98,000 | | | | | | | | 1,635,620 | |
Keysight Technologies, Inc.* | | | 26,117 | | | | | | | | 955,099 | |
Knight Transportation, Inc.D | | | 50,100 | | | | | | | | 1,655,805 | |
Littelfuse, Inc. | | | 10,000 | | | | | | | | 1,517,700 | |
Lydall, Inc.* | | | 30,532 | | | | | | | | 1,888,404 | |
Manpowergroup, Inc. | | | 3,201 | | | | | | | | 284,473 | |
MAXIMUS, Inc. | | | 35,600 | | | | | | | | 1,986,124 | |
Milacron Holdings CorporationD* | | | 82,000 | | | | | | | | 1,527,660 | |
MYR Group, Inc.* | | | 49,855 | | | | | | | | 1,878,536 | |
Old Dominion Freight Line, Inc.* | | | 9,360 | | | | | | | | 802,994 | |
On Assignment, Inc.D* | | | 103,300 | | | | | | | | 4,561,728 | |
Orbital ATK, Inc. | | | 30,631 | | | | | | | | 2,687,258 | |
OSI Systems, Inc.* | | | 6,670 | | | | | | | | 507,720 | |
Proto Labs, Inc.D* | | | 31,400 | | | | | | | | 1,612,390 | |
Quanta Services, Inc.* | | | 61,304 | | | | | | | | 2,136,444 | |
RPX Corporation* | | | 123,920 | | | | | | | | 1,338,336 | |
Spirit AeroSystems Holdings, Inc. Class A | | | 30,519 | | | | | | | | 1,780,784 | |
Spirit Airlines, Inc.* | | | 41,963 | | | | | | | | 2,427,979 | |
| | | | |
| 194 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
Swift Transportation Co.D* | | | 17,619 | | | | | | | $ | 429,199 | |
Terex Corporation | | | 11,725 | | | | | | | | 369,689 | |
Tidewater, Inc.D* | | | 264,745 | | | | | | | | 902,780 | |
TriNet Group, Inc.* | | | 59,700 | | | | | | | | 1,529,514 | |
Triumph Group, Inc. | | | 70,357 | | | | | | | | 1,864,460 | |
Wabash National CorporationD* | | | 62,459 | | | | | | | | 988,101 | |
Wabtec CorporationD | | | 7,480 | | | | | | | | 620,990 | |
WageWorks, Inc.D* | | | 39,650 | | | | | | | | 2,874,625 | |
Watts Water Technologies, Inc. Class AD | | | 13,800 | | | | | | | | 899,760 | |
Wesco Aircraft Holdings, Inc.* | | | 74,635 | | | | | | | | 1,115,793 | |
Zebra Technologies Corporation Class A* | | | 25,565 | | | | | | | | 2,192,454 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 99,910,480 | |
| | | | | | | | | | | | |
Technology — 11.5% | | | | | | | | | | | | |
Acacia Research Corporation* | | | 87,541 | | | | | | | | 569,017 | |
Amkor Technology, Inc.* | | | 64,696 | | | | | | | | 682,543 | |
Aspen Technology, Inc.* | | | 35,444 | | | | | | | | 1,938,078 | |
Black Box Corporation | | | 82,685 | | | | | | | | 1,260,946 | |
Blackline, Inc.D* | | | 33,100 | | | | | | | | 914,553 | |
BroadSoft, Inc.D* | | | 27,400 | | | | | | | | 1,130,250 | |
comScore, Inc.D* | | | 27,200 | | | | | | | | 858,976 | |
Cypress Semiconductor CorporationD | | | 108,641 | | | | | | | | 1,242,853 | |
DigitalGlobe, Inc.* | | | 55,436 | | | | | | | | 1,588,241 | |
Envestnet, Inc.* | | | 78,900 | | | | | | | | 2,781,225 | |
Evolent Health, Inc. Class AD* | | | 55,700 | | | | | | | | 824,360 | |
Extreme Networks, Inc.* | | | 96,387 | | | | | | | | 484,827 | |
Global Eagle Entertainment, Inc.D* | | | 73,500 | | | | | | | | 474,810 | |
Integrated Device Technology, Inc.* | | | 6,900 | | | | | | | | 162,564 | |
InterDigital, Inc.D | | | 38,330 | | | | | | | | 3,501,446 | |
Ixia* | | | 28,982 | | | | | | | | 466,610 | |
Kulicke & Soffa Industries, Inc.* | | | 118,437 | | | | | | | | 1,889,070 | |
MACOM Technology Solutions Holdings, Inc.D* | | | 42,600 | | | | | | | | 1,971,528 | |
MKS Instruments, Inc. | | | 103,357 | | | | | | | | 6,139,406 | |
NCR Corporation* | | | 5,687 | | | | | | | | 230,665 | |
NIC, Inc.* | | | 82,000 | | | | | | | | 1,959,800 | |
Paycom Software, Inc.D* | | | 59,000 | | | | | | | | 2,683,910 | |
Pegasystems, Inc. | | | 32,700 | | | | | | | | 1,177,200 | |
Q2 Holdings, Inc.D* | | | 83,800 | | | | | | | | 2,417,630 | |
RetailMeNot, Inc.* | | | 134,392 | | | | | | | | 1,249,846 | |
Rubicon Project, Inc. (The)* | | | 18,880 | | | | | | | | 140,090 | |
Science Applications International Corporation | | | 25,500 | | | | | | | | 2,162,400 | |
Sparton Corporation* | | | 4,525 | | | | | | | | 107,921 | |
Synaptics, Inc.D* | | | 25,880 | | | | | | | | 1,386,650 | |
Synchronoss Technologies, Inc.* | | | 55,054 | | | | | | | | 2,108,568 | |
Synopsys, Inc.* | | | 12,154 | | | | | | | | 715,384 | |
Take-Two Interactive Software, Inc.* | | | 55,526 | | | | | | | | 2,736,876 | |
Teradyne, Inc. | | | 40,933 | | | | | | | | 1,039,698 | |
TESSCO Technologies, Inc. | | | 50,499 | | | | | | | | 656,487 | |
Tyler Technologies, Inc.D* | | | 17,694 | | | | | | | | 2,526,172 | |
Ultimate Software Group, Inc. (The)D* | | | 17,300 | | | | | | | | 3,154,655 | |
VeriFone Systems, Inc.D* | | | 119,925 | | | | | | | | 2,126,270 | |
Vishay Intertechnology, Inc.D | | | 131,039 | | | | | | | | 2,122,832 | |
Web.com Group, Inc.* | | | 73,380 | | | | | | | | 1,551,987 | |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
Zix CorporationD* | | | 68,817 | | | | | | | $ | 339,956 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 61,476,300 | |
| | | | | | | | | | | | |
Utilities — 4.0% | | | | | |
AquaVenture Holdings, Ltd.D* | | | 45,300 | | | | | | | | 1,111,209 | |
Cogent Communications Holdings, Inc.D | | | 37,500 | | | | | | | | 1,550,625 | |
Dynegy, Inc.* | | | 25,679 | | | | | | | | 217,245 | |
El Paso Electric Co. | | | 15,126 | | | | | | | | 703,359 | |
General Communication, Inc. Class A* | | | 10,851 | | | | | | | | 211,052 | |
j2 Global, Inc.D | | | 46,700 | | | | | | | | 3,820,060 | |
NRG Energy, Inc. | | | 65,867 | | | | | | | | 807,530 | |
Pinnacle West Capital Corporation | | | 9,064 | | | | | | | | 707,264 | |
PNM Resources, Inc. | | | 18,581 | | | | | | | | 637,328 | |
Portland General Electric Co. | | | 40,919 | | | | | | | | 1,773,020 | |
Shenandoah Telecommunications CoD | | | 59,300 | | | | | | | | 1,618,890 | |
Southwest Gas Corporation | | | 15,839 | | | | | | | | 1,213,584 | |
Spire, Inc.D | | | 13,300 | | | | | | | | 858,515 | |
UGI Corporation | | | 51,616 | | | | | | | | 2,378,465 | |
Vectren Corporation | | | 32,435 | | | | | | | | 1,691,485 | |
Vonage Holdings Corporation* | | | 100,060 | | | | | | | | 685,411 | |
West Corporation | | | 53,750 | | | | | | | | 1,330,850 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 21,315,892 | |
| | | | | | | | | | | | |
Total Common Stocks
(Cost $396,352,451) | | | | | | | | 464,549,448 | |
| | | | | | | | | | | | |
FOREIGN COMMON STOCKS — 7.3% | | | | | |
Belgium — 0.2% | | | | | | | | | | | | |
Euronav NVD | | | 102,223 | | | | | | | | 812,673 | |
| | | | | | | | | | | | |
Bermuda — 2.3% | | | | | |
Aspen Insurance Holdings, Ltd. | | | 40,751 | | | | | | | | 2,241,305 | |
Assured Guaranty, Ltd. | | | 61,135 | | | | | | | | 2,309,069 | |
Axis Capital Holdings, Ltd. | | | 14,294 | | | | | | | | 932,969 | |
Cosan, Ltd. Class A | | | 90,540 | | | | | | | | 679,955 | |
Everest Re Group, Ltd. | | | 10,276 | | | | | | | | 2,223,726 | |
Helen of Troy, Ltd.* | | | 8,870 | | | | | | | | 749,072 | |
Nabors Industries, Ltd. | | | 53,715 | | | | | | | | 880,926 | |
Tsakos Energy Navigation, Ltd.D | | | 35,224 | | | | | | | | 165,201 | |
Validus Holdings, Ltd. | | | 39,604 | | | | | | | | 2,178,616 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 12,360,839 | |
| | | | | | | | | | | | |
Canada — 1.2% | | | | | |
Celestica, Inc.* | | | 54,655 | | | | | | | | 647,662 | |
Dominion Diamond CorporationD | | | 156,327 | | | | | | | | 1,513,245 | |
IMAX CorporationD* | | | 75,800 | | | | | | | | 2,380,120 | |
Just Energy Group, Inc.D | | | 86,065 | | | | | | | | 469,915 | |
Open Text Corporation Performance Sports | | | 18,340 | | | | | | | | 1,133,595 | |
Group, Ltd.* | | | 39,230 | | | | | | | | 58,453 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,202,990 | |
| | | | | | | | | | | | |
Cayman Islands — 0.3% | | | | | |
Nord Anglia Education, Inc.D* | | | 72,500 | | | | | | | | 1,689,250 | |
| | | | | | | | | | | | |
Curacao — 0.1% | | | | | |
Orthofix International NV* | | | 16,716 | | | | | | | | 604,785 | |
| | | | | | | | | | | | |
France — 0.2% | | | | | |
DBV Technologies SA ADRD* | | | 28,800 | | | | | | | | 1,011,744 | |
| | | | | | | | | | | | |
Israel — 0.3% | | | | | |
magicJack VocalTec, Ltd.D* | | | 42,709 | | | | | | | | 292,557 | |
Orbotech, Ltd.* | | | 13,895 | | | | | | | | 464,232 | |
| | | | |
| | See Notes to Financial Statements. | | 195 |
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Shares | | | Value | |
SodaStream Inter-national, Ltd.D* | | | 12,700 | | | | | | | $ | 501,269 | |
Syneron Medical, Ltd.* | | | 44,720 | | | | | | | | 375,648 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,633,706 | |
| | | | | | | | | | | | |
Luxembourg — 0.6% | |
Altisource Portfolio Solutions SAD* | | | 18,129 | | | | | | | | 482,050 | |
Orion Engineered Carbons SAD | | | 38,583 | | | | | | | | 727,289 | |
Trinseo SA | | | 31,679 | | | | | | | | 1,878,565 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,087,904 | |
| | | | | | | | | | | | |
Marshall Islands — 0.3% | |
Aegean Marine Petroleum | | | | | | | | | | | | |
Network, Inc.D | | | 63,160 | | | | | | | | 641,074 | |
DHT Holdings, Inc.D | | | 187,985 | | | | | | | | 778,258 | |
Navigator Holdings, Ltd.D* | | | 18,735 | | | | | | | | 174,235 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,593,567 | |
| | | | | | | | | | | | |
Netherlands — 0.1% | |
Chicago Bridge & Iron Co. NVD | | | 10,495 | | | | | | | | 333,216 | |
Constellium NV Class A* | | | 22,374 | | | | | | | | 132,007 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 465,223 | |
| | | | | | | | | | | | |
Panama — 0.0% | |
Copa Holdings SA Class AD | | | 3,043 | | | | | | | | 276,396 | |
| | | | | | | | | | | | |
Puerto Rico — 1.1% | | | | | | | | | | | | |
OFG BancorpD | | | 255,631 | | | | | | | | 3,348,766 | |
Popular, Inc. | | | 51,917 | | | | | | | | 2,275,003 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,623,769 | |
| | | | | | | | | | | | |
United Kingdom — 0.6% | | | | | | | | | | | | |
Cardtronics PLC Class AD* | | | 29,600 | | | | | | | | 1,615,272 | |
Ensco PLC Class AD | | | 40,470 | | | | | | | | 393,369 | |
Rowan Cos. PLC Class A* | | | 67,280 | | | | | | | | 1,270,919 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,279,560 | |
| | | | | | | | | | | | |
Total Foreign Common Stocks
(Cost $32,150,633) | | | | | | | | 38,642,406 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
MASTER LIMITED PARTNERSHIP — 0.8% | |
Compass Diversified Holdings
(Cost $3,442,223) | | | 226,765 | | | | | | | $ | 4,059,093 | |
| | | | | | | | | | | | |
|
MONEY MARKET FUNDS — 15.7% | |
GuideStone Money Market Fund (Investor Class)¥ | | | 23,247,942 | | | | | | | | 23,247,942 | |
Northern Institutional Liquid | | | | | | | | | | | | |
Assets Portfolio§ | | | 60,252,614 | | | | | | | | 60,252,614 | |
| | | | | | | | | | | | |
Total Money Market Funds
(Cost $83,500,556) | | | | 83,500,556 | |
| | | | | | | | | | | | |
| | | |
| | | Par | | | | | | | |
CORPORATE BONDS — 0.0% | |
Lehman Escrow Bonds | | | | | | | | | | | | |
0.00%, 07/19/17+W# | | $ | 160,000 | | | | | | | | — | |
0.00%, 12/28/17+W# | | | 120,000 | | | | | | | | — | |
0.00%, 08/19/45+W# | | | 50,000 | | | | | | | | — | |
0.00%, 11/30/49+W# | | | 10,000 | | | | | | | | — | |
| | | | | | | | | | | | |
Total Corporate Bonds
(Cost $0) | | | | — | |
| | | | | | | | | | | | |
U.S. TREASURY OBLIGATION — 0.2% | |
U.S. Treasury Bill 0.60%,
06/22/17W‡‡ | | | | | | | | | | | | |
(Cost $1,296,363) | | | 1,300,000 | | | | | | | | 1,296,229 | |
| | | | | | | | | | | | |
| | |
TOTAL INVESTMENTS — 111.2%
(Cost $516,742,226) | | | | | | | | 592,047,732 | |
Liabilities in Excess of Other
Assets — (11.2)% | | | | | | | | (59,426,389 | ) |
| | | | | | | | | | | | |
NET ASSETS — 100.0% | | | | | | | $ | 532,621,343 | |
| | | | | | | | | | | | |
| | | | |
| 196 | | See Notes to Financial Statements. | | |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2016, 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: | | | | | | | | | | | | | | | | |
Consumer Discretionary | | $ | 64,254,151 | | | $ | 64,254,151 | | | $ | — | | | $ | — | |
Consumer Staples | | | 6,443,326 | | | | 6,443,326 | | | | — | | | | — | |
Energy | | | 24,661,250 | | | | 24,661,250 | | | | — | | | | — | |
Financial Services | | | 107,654,016 | | | | 107,654,016 | | | | — | | | | — | |
Healthcare | | | 39,656,433 | | | | 39,656,433 | | | | — | | | | — | |
Materials & Processing | | | 39,177,600 | | | | 39,177,600 | | | | — | | | | — | |
Producer Durables | | | 99,910,480 | | | | 99,910,480 | | | | — | | | | — | |
Technology | | | 61,476,300 | | | | 61,476,300 | | | | — | | | | — | |
Utilities | | | 21,315,892 | | | | 21,315,892 | | | | — | | | | — | |
Corporate Bonds | | | — | | | | — | | | | — | | | | — | |
Foreign Common Stocks | | | 38,642,406 | | | | 38,642,406 | | | | — | | | | — | |
Master Limited Partnership | | | 4,059,093 | | | | 4,059,093 | | | | — | | | | — | |
Money Market Funds | | | 83,500,556 | | | | 83,500,556 | | | | — | | | | — | |
U.S. Treasury Obligation | | | 1,296,229 | | | | — | | | | 1,296,229 | | | | — | |
| | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | $ | 592,047,732 | | | $ | 590,751,503 | | | $ | 1,296,229 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | (544,618 | ) | | $ | (544,618 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | $ | (544,618 | ) | | $ | (544,618 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
***Other financial instruments are derivative instruments not reflected in the Schedule of Investments (such as futures contracts), which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the “Financial Futures Contracts” disclosure in the Notes to Financial Statements.
There were no transfers between Level 1, Level 2 and Level 3 during the year ended December 31, 2016.
| | | | |
| | See Notes to Financial Statements. | | 197 |
International Equity Index Fund (Unaudited)
Developed non-U.S. markets underperformed their U.S. counterparts and were negatively impacted by slower economic growth, reliance on further monetary policy and the U.S. dollar, which strengthened against most currencies during the year. The MSCI EAFE Index, a measure of international developed country returns, posted a fourth quarter return of -0.71%, bringing the return to 1.00% for the one-year period ended December 31, 2016. Value styles outperformed growth styles, and small capitalization stocks generally outperformed large capitalization stocks during the year. From a country perspective, the best performers were natural resource export economies including Norway, New Zealand and Australia, which benefited from commodity price strength. Meanwhile, Denmark and Israel were among the worst performing countries for the year. In a reversal from last year, the strongest performance was registered in the energy and materials sectors, while the weakest performance came from the healthcare sector.
The Fund was passively managed and attempted to duplicate the investment composition and performance of its benchmark, the MSCI EAFE Index. The MSCI EAFE Index is an equity index which captures large- and mid-cap representation across developed market countries around the world, excluding the United States and Canada. The objective of the Fund was to provide investment results approximating the aggregate price and dividend performance of the securities included in the MSCI EAFE Index. The correlation between the Fund’s performance and the MSCI EAFE Index is expected to be greater than 98%. However, it could be lower in certain market environments and due to certain stocks that are excluded from the Fund’s portfolio because of social investment policies and restrictions (100% would indicate perfect correlation). The Fund returned 1.63% for the one-year period ended December 31, 2016, as compared to a 1.00% return for the MSCI EAFE Index. The return differential was primarily a result of social restrictions and expenses of the Fund.
In 2016, exchange listed equity index futures contracts were utilized to provide market exposure to the cash positions held in the Fund. Overall, derivative exposure had a slight positive impact on Fund performance for 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 involves 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 the 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. It is possible to lose money by investing in the Fund.
At December 31, 2016, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
| | | | |
| | | % | |
Financial Services | | | 24.3 | |
Consumer Discretionary | | | 14.4 | |
Producer Durables | | | 11.7 | |
Technology | | | 10.2 | |
Healthcare | | | 9.6 | |
Materials & Processing | | | 8.8 | |
Money Market Funds | | | 7.1 | |
Consumer Staples | | | 5.9 | |
Energy | | | 5.2 | |
Utilities | | | 3.4 | |
Foreign Preferred Stocks | | | 0.6 | |
U.S. Treasury Obligations | | | 0.3 | |
Rights | | | — | ** |
| | | | |
| | | 101.5 | |
| | | | |
**Rounds to less than 0.005%
198
International Equity Index Fund (Unaudited)
| | | | | | | | | | | | | | |
| Average Annual Total Returns as of 12/31/16 | |
| | | Institutional Class* | | | | | Benchmark** | | | | |
One Year | | 1.63% | | | | | | | 1.00% | | | | | |
Since Inception | | -5.40% | | | | | | | -4.97% | | | | | |
Inception Date | | 06/01/15 | | | | | | | | | | | | |
Total Fund Operating Expenses (May 1, 2016 Prospectus)(1) | | 0.57% | | | | | | | | | | | | |
(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 GuideStoneFunds.com. 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 Investor Class of the Fund since June 1, 2015 (commencement of operations), with all dividends and capital gains reinvested, with the MSCI EAFE 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.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
199
| | | | |
INTERNATIONAL EQUITY INDEX FUND SCHEDULE OF INVESTMENTS | | | December 31, 2016 | |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
FOREIGN COMMON STOCKS — 93.5% | |
Australia — 6.8% | |
AGL Energy, Ltd. | | | 7,957 | | | | | | | $ | 126,845 | |
Alumina, Ltd.D | | | 20,465 | | | | | | | | 27,027 | |
Amcor, Ltd. | | | 11,424 | | | | | | | | 123,250 | |
AMP, Ltd. | | | 32,305 | | | | | | | | 117,497 | |
APA Group | | | 13,194 | | | | | | | | 81,599 | |
ASX, Ltd. | | | 2,247 | | | | | | | | 80,656 | |
Aurizon Holdings, Ltd. | | | 25,222 | | | | | | | | 91,918 | |
AusNet Services | | | 27,770 | | | | | | | | 31,664 | |
Australia & New Zealand Banking Group, Ltd. | | | 31,151 | | | | | | | | 683,847 | |
Bank of Queensland, Ltd.D | | | 3,948 | | | | | | | | 33,819 | |
Bendigo and Adelaide Bank, Ltd.D | | | 5,153 | | | | | | | | 47,264 | |
BHP Billiton, Ltd. | | | 32,891 | | | | | | | | 594,821 | |
Boral, Ltd. | | | 12,539 | | | | | | | | 48,954 | |
Brambles, Ltd. | | | 15,826 | | | | | | | | 141,619 | |
Caltex Australia, Ltd. | | | 2,589 | | | | | | | | 56,910 | |
Challenger, Ltd. | | | 5,442 | | | | | | | | 44,142 | |
CIMIC Group, Ltd. | | | 826 | | | | | | | | 20,827 | |
Coca-Cola Amatil, Ltd. | | | 13,078 | | | | | | | | 95,510 | |
Cochlear, Ltd. | | | 613 | | | | | | | | 54,213 | |
Commonwealth Bank of Australia | | | 17,683 | | | | | | | | 1,051,632 | |
Computershare, Ltd. | | | 5,174 | | | | | | | | 46,523 | |
CSL, Ltd. | | | 4,822 | | | | | | | | 349,407 | |
Dexus Property Group REIT | | | 9,600 | | | | | | | | 66,646 | |
Domino’s Pizza Enterprises, Ltd.D | | | 1,020 | | | | | | | | 47,838 | |
DUET Group | | | 22,568 | | | | | | | | 44,624 | |
Flight Centre Travel Group, Ltd.D | | | 1,053 | | | | | | | | 23,785 | |
Fortescue Metals Group, Ltd.D | | | 15,263 | | | | | | | | 64,876 | |
Goodman Group REIT | | | 17,779 | | | | | | | | 91,480 | |
GPT Group (The) REIT | | | 20,139 | | | | | | | | 73,103 | |
Harvey Norman Holdings, Ltd. | | | 9,185 | | | | | | | | 34,070 | |
Healthscope, Ltd. | | | 21,042 | | | | | | | | 34,774 | |
Incitec Pivot, Ltd. | | | 17,247 | | | | | | | | 44,807 | |
Insurance Australia Group, Ltd. | | | 26,988 | | | | | | | | 116,661 | |
Lend Lease Group | | | 5,556 | | | | | | | | 58,619 | |
Macquarie Group, Ltd. | | | 3,282 | | | | | | | | 206,340 | |
Medibank Pvt., Ltd. | | | 28,244 | | | | | | | | 57,478 | |
Mirvac Group REIT | | | 37,367 | | | | | | | | 57,437 | |
National Australia Bank, Ltd. | | | 27,124 | | | | | | | | 600,337 | |
Newcrest Mining, Ltd. | | | 7,513 | | | | | | | | 109,791 | |
Orica, Ltd. | | | 4,853 | | | | | | | | 61,918 | |
Origin Energy, Ltd. | | | 19,723 | | | | | | | | 93,796 | |
Qantas Airways, Ltd. | | | 4,384 | | | | | | | | 10,535 | |
QBE Insurance Group, Ltd. | | | 15,735 | | | | | | | | 141,031 | |
Ramsay Health Care, Ltd. | | | 1,607 | | | | | | | | 79,207 | |
REA Group, Ltd. | | | 873 | | | | | | | | 34,795 | |
Rio Tinto, Ltd. | | | 4,176 | | | | | | | | 180,516 | |
Santos, Ltd. | | | 17,955 | | | | | | | | 52,088 | |
Scentre Group REIT | | | 56,458 | | | | | | | | 189,048 | |
SEEK, Ltd. | | | 3,958 | | | | | | | | 42,502 | |
Sonic Healthcare, Ltd. | | | 3,771 | | | | | | | | 58,237 | |
South32, Ltd. | | | 53,136 | | | | | | | | 105,451 | |
Stockland REIT | | | 26,872 | | | | | | | | 88,816 | |
Suncorp Group, Ltd. | | | 13,771 | | | | | | | | 134,360 | |
Sydney AirportD | | | 10,990 | | | | | | | | 47,506 | |
Telstra Corporation, Ltd. | | | 44,619 | | | | | | | | 164,217 | |
TPG Telecom, Ltd. | | | 4,589 | | | | | | | | 22,585 | |
Transurban Group | | | 23,481 | | | | | | | | 174,874 | |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
Vicinity Centres REIT | | | 34,448 | | | | | | | $ | 74,330 | |
Vocus Communications, Ltd.D | | | 8,549 | | | | | | | | 23,876 | |
Wesfarmers, Ltd. | | | 16,210 | | | | | | | | 492,953 | |
Westfield Corporation REIT | | | 21,009 | | | | | | | | 142,212 | |
Westpac Banking Corporation | | | 34,419 | | | | | | | | 809,736 | |
Woodside Petroleum, Ltd. | | | 8,023 | | | | | | | | 180,411 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 9,087,610 | |
| | | | | | | | | | | | |
Austria — 0.2% | |
ANDRITZ AG | | | 720 | | | | | | | | 36,149 | |
Erste Group Bank AG* | | | 3,328 | | | | | | | | 97,478 | |
OMV AG | | | 1,545 | | | | | | | | 54,580 | |
Raiffeisen Bank International AG* | | | 950 | | | | | | | | 17,380 | |
Voestalpine AG | | | 1,220 | | | | | | | | 47,889 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 253,476 | |
| | | | | | | | | | | | |
Belgium — 0.7% | |
Ageas | | | 2,590 | | | | | | | | 102,539 | |
Colruyt SA | | | 841 | | | | | | | | 41,613 | |
Groupe Bruxelles Lambert SA | | | 1,139 | | | | | | | | 95,582 | |
KBC Groep NV* | | | 2,902 | | | | | | | | 179,714 | |
Proximus SADP | | | 1,749 | | | | | | | | 50,372 | |
Solvay SA | | | 1,065 | | | | | | | | 124,832 | |
Telenet Group Holding NV* | | | 1,213 | | | | | | | | 67,316 | |
UCB SA | | | 2,703 | | | | | | | | 173,309 | |
Umicore SA | | | 1,008 | | | | | | | | 57,457 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 892,734 | |
| | | | | | | | | | | | |
Bermuda — 0.3% | |
Cheung Kong Infrastructure Holdings, Ltd. | | | 7,000 | | | | | | | | 55,697 | |
First Pacific Co., Ltd. | | | 18,000 | | | | | | | | 12,581 | |
Jardine Matheson Holdings, Ltd. | | | 2,600 | | | | | | | | 143,650 | |
Kerry Properties, Ltd. | | | 5,000 | | | | | | | | 13,573 | |
Li & Fung, Ltd. | | | 60,000 | | | | | | | | 26,384 | |
NWS Holdings, Ltd.D | | | 13,066 | | | | | | | | 21,298 | |
Shangri-La Asia, Ltd. | | | 32,000 | | | | | | | | 33,756 | |
Yue Yuen Industrial Holdings, Ltd. | | | 8,000 | | | | | | | | 29,041 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 335,980 | |
| | | | | | | | | | | | |
Denmark — 1.2% | | | | | | | | | | | | |
AP Moeller - Maersk A/S Class A | | | 54 | | | | | | | | 81,583 | |
AP Moeller - Maersk A/S Class B | | | 64 | | | | | | | | 102,128 | |
Chr. Hansen Holding A/S | | | 1,203 | | | | | | | | 66,619 | |
Coloplast A/S Class BD | | | 2,646 | | | | | | | | 178,448 | |
Danske Bank A/S | | | 8,248 | | | | | | | | 250,155 | |
DONG Energy A/S 144A* | | | 1,363 | | | | | | | | 51,645 | |
DSV A/S | | | 1,815 | | | | | | | | 80,747 | |
Genmab A/S* | | | 757 | | | | | | | | 125,729 | |
ISS A/S | | | 2,857 | | | | | | | | 96,440 | |
Novozymes A/S, B Shares | | | 3,610 | | | | | | | | 124,465 | |
Pandora A/S | | | 1,433 | | | | | | | | 187,482 | |
TDC A/S* | | | 8,509 | | | | | | | | 43,687 | |
Tryg A/S | | | 2,118 | | | | | | | | 38,296 | |
Vestas Wind Systems A/S | | | 2,437 | | | | | | | | 158,383 | |
William Demant Holding A/S* | | | 2,918 | | | | | | | | 50,737 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,636,544 | |
| | | | | | | | | | | | |
Finland — 1.0% | |
Elisa OYJD | | | 1,415 | | | | | | | | 46,070 | |
| | | | |
| 200 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
Fortum OYJ | | | 4,227 | | | | | | | $ | 64,830 | |
Kone OYJ Class BD | | | 3,899 | | | | | | | | 174,720 | |
Metso OYJD | | | 913 | | | | | | | | 26,045 | |
Neste OYJ | | | 1,361 | | | | | | | | 52,292 | |
Nokia OYJD | | | 62,578 | | | | | | | | 302,225 | |
Nokia OYJ | | | 2,899 | | | | | | | | 13,934 | |
Nokian Renkaat OYJ | | | 1,196 | | | | | | | | 44,593 | |
Orion OYJ Class B | | | 1,825 | | | | | | | | 81,243 | |
Sampo OYJ, A Shares | | | 5,305 | | | | | | | | 237,837 | |
Stora Enso OYJ, R Shares | | | 7,178 | | | | | | | | 77,146 | |
UPM-Kymmene OYJ | | | 5,350 | | | | | | | | 131,444 | |
Wartsila OYJ Abp | | | 1,465 | | | | | | | | 65,819 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,318,198 | |
| | | | | | | | | | | | |
France — 9.1% | |
Accor SA | | | 2,363 | | | | | | | | 88,129 | |
Aeroports de Paris | | | 378 | | | | | | | | 40,507 | |
Air Liquide SA | | | 4,178 | | | | | | | | 464,647 | |
Alstom SA* | | | 1,430 | | | | | | | | 39,401 | |
Arkema SA | | | 687 | | | | | | | | 67,212 | |
Atos SE | | | 879 | | | | | | | | 92,760 | |
AXA SA | | | 21,679 | | | | | | | | 547,349 | |
BNP Paribas SA | | | 11,299 | | | | | | | | 720,178 | |
Bollore SAD* | | | 81 | | | | | | | | 279 | |
Bollore SAD | | | 12,114 | | | | | | | | 42,719 | |
Bouygues SA | | | 1,998 | | | | | | | | 71,603 | |
Bureau Veritas SA | | | 2,626 | | | | | | | | 50,890 | |
Capgemini SA | | | 1,772 | | | | | | | | 149,504 | |
Carrefour SA | | | 6,639 | | | | | | | | 159,968 | |
Casino Guichard Perrachon SA | | | 458 | | | | | | | | 21,980 | |
Christian Dior SE | | | 1,038 | | | | | | | | 217,711 | |
Cie de St-Gobain | | | 5,123 | | | | | | | | 238,656 | |
Cie Generale des Etablissements Michelin | | | 1,609 | | | | | | | | 179,026 | |
CNP Assurances | | | 1,390 | | | | | | | | 25,752 | |
Credit Agricole SA | | | 11,379 | | | | | | | | 141,103 | |
Danone SA | | | 10,206 | | | | | | | | 646,752 | |
Dassault Systemes | | | 1,483 | | | | | | | | 113,007 | |
Edenred | | | 2,232 | | | | | | | | 44,253 | |
Eiffage SA | | | 593 | | | | | | | | 41,355 | |
Electricite de France SA | | | 3,498 | | | | | | | | 35,643 | |
Engie SA | | | 15,202 | | | | | | | | 193,950 | |
Essilor International SA | | | 2,592 | | | | | | | | 292,902 | |
Eurazeo SA | | | 340 | | | | | | | | 19,892 | |
Eutelsat Communications SA* | | | 1,634 | | | | | | | | 31,640 | |
Fonciere Des Regions REIT | | | 471 | | | | | | | | 41,122 | |
Gecina SA REIT | | | 503 | | | | | | | | 69,601 | |
Groupe Eurotunnel SE | | | 5,218 | | | | | | | | 49,621 | |
Hermes International | | | 409 | | | | | | | | 167,909 | |
ICADE REIT | | | 531 | | | | | | | | 37,892 | |
Iliad SA | | | 257 | | | | | | | | 49,413 | |
Imerys SA | | | 277 | | | | | | | | 21,014 | |
Ingenico Group | | | 660 | | | | | | | | 52,711 | |
JCDecaux SAD | | | 1,071 | | | | | | | | 31,488 | |
Kering | | | 979 | | | | | | | | 219,816 | |
Klepierre REIT | | | 2,895 | | | | | | | | 113,806 | |
Lagardere SCA | | | 1,481 | | | | | | | | 41,149 | |
Legrand SA | | | 2,924 | | | | | | | | 166,056 | |
L’Oreal SA | | | 3,043 | | | | | | | | 555,439 | |
Natixis SA | | | 11,553 | | | | | | | | 65,185 | |
Orange SA | | | 20,797 | | | | | | | | 316,012 | |
Peugeot SA* | | | 3,414 | | | | | | | | 55,685 | |
Publicis Groupe SA | | | 2,076 | | | | | | | | 143,247 | |
Renault SA | | | 1,789 | | | | | | | | 159,149 | |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
Rexel SA | | | 1,668 | | | | | | | $ | 27,452 | |
Safran SA | | | 3,222 | | | | | | | | 232,057 | |
Sanofi | | | 13,428 | | | | | | | | 1,086,984 | |
Schneider Electric SE | | | 5,713 | | | | | | | | 397,573 | |
SCOR SE | | | 1,503 | | | | | | | | 51,942 | |
SEB SA | | | 93 | | | | | | | | 12,604 | |
SFR Group SA* | | | 1,485 | | | | | | | | 41,940 | |
Societe BIC SA | | | 295 | | | | | | | | 40,105 | |
Societe Generale SA | | | 7,967 | | | | | | | | 392,027 | |
Sodexo SA | | | 1,070 | | | | | | | | 122,996 | |
Suez | | | 3,491 | | | | | | | | 51,502 | |
Technip SA | | | 1,015 | | | | | | | | 72,451 | |
Thales SA | | | 1,122 | | | | | | | | 108,813 | |
TOTAL SA | | | 23,911 | | | | | | | | 1,226,283 | |
Unibail-Rodamco SE REIT | | | 1,239 | | | | | | | | 295,736 | |
Valeo SA | | | 2,146 | | | | | | | | 123,364 | |
Veolia Environnement SA | | | 4,506 | | | | | | | | 76,722 | |
Vinci SA | | | 5,341 | | | | | | | | 363,758 | |
Vivendi SA | | | 11,829 | | | | | | | | 224,818 | |
Wendel SA | | | 233 | | | | | | | | 28,059 | |
Zodiac Aerospace | | | 2,009 | | | | | | | | 46,134 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 12,158,403 | |
| | | | | | | | | | | | |
Germany — 8.1% | |
Adidas AG | | | 2,042 | | | | | | | | 322,750 | |
Allianz SE | | | 5,172 | | | | | | | | 854,759 | |
Axel Springer SED | | | 360 | | | | | | | | 17,481 | |
BASF SE | | | 9,888 | | | | | | | | 919,187 | |
Bayerische Motoren Werke AG | | | 3,526 | | | | | | | | 329,410 | |
Beiersdorf AG | | | 1,275 | | | | | | | | 108,176 | |
Brenntag AG | | | 1,776 | | | | | | | | 98,710 | |
Commerzbank AGD | | | 11,608 | | | | | | | | 88,540 | |
Continental AG | | | 1,223 | | | | | | | | 236,495 | |
Covestro AG 144A | | | 783 | | | | | | | | 53,723 | |
Daimler AG | | | 10,243 | | | | | | | | 762,527 | |
Deutsche Bank AG* | | | 15,900 | | | | | | | | 288,717 | |
Deutsche Boerse AG* | | | 2,301 | | | | | | | | 187,814 | |
Deutsche Lufthansa AGD | | | 3,585 | | | | | | | | 46,304 | |
Deutsche Post AG | | | 10,173 | | | | | | | | 334,485 | |
Deutsche Telekom AG | | | 36,147 | | | | | | | | 622,312 | |
Deutsche Wohnen AG | | | 3,313 | | | | | | | | 104,065 | |
E.ON SE | | | 22,240 | | | | | | | | 156,854 | |
Evonik Industries AG | | | 1,417 | | | | | | | | 42,332 | |
Fraport AG Frankfurt Airport Services WorldwideD | | | 338 | | | | | | | | 19,985 | |
Fresenius Medical Care AG & Co. KGaA | | | 2,795 | | | | | | | | 236,697 | |
Fresenius SE & Co. KGaA | | | 5,229 | | | | | | | | 408,751 | |
GEA Group AG | | | 2,114 | | | | | | | | 85,074 | |
Hannover Rueck SE | | | 608 | | | | | | | | 65,793 | |
HeidelbergCement AG | | | 1,514 | | | | | | | | 141,251 | |
Henkel AG & Co KGaA | | | 1,285 | | | | | | | | 133,886 | |
HOCHTIEF AG | | | 215 | | | | | | | | 30,112 | |
HUGO BOSS AGD | | | 951 | | | | | | | | 58,192 | |
Infineon Technologies AG | | | 11,974 | | | | | | | | 208,100 | |
Innogy SE 144A* | | | 1,400 | | | | | | | | 48,647 | |
K+S AG | | | 1,931 | | | | | | | | 46,121 | |
LANXESS AG | | | 939 | | | | | | | | 61,629 | |
Linde AG | | | 2,042 | | | | | | | | 335,540 | |
MAN SE | | | 379 | | | | | | | | 37,634 | |
Merck KGaA | | | 2,589 | | | | | | | | 270,216 | |
METRO AG | | | 2,082 | | | | | | | | 69,223 | |
Muenchener Rueckversicherungs- Gesellschaft AG | | | 1,695 | | | | | | | | 320,540 | |
| | | | |
| | See Notes to Financial Statements. | | 201 |
INTERNATIONAL EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
OSRAM Licht AG | | | 947 | | | | | | | $ | 49,669 | |
ProSiebenSat.1 Media SE | | | 2,829 | | | | | | | | 109,023 | |
RWE AG* | | | 4,702 | | | | | | | | 58,479 | |
SAP SE | | | 10,171 | | | | | | | | 886,609 | |
Siemens AG | | | 7,967 | | | | | | | | 979,542 | |
Symrise AG | | | 1,436 | | | | | | | | 87,416 | |
Telefonica Deutschland Holding AGD | | | 8,893 | | | | | | | | 38,100 | |
thyssenKrupp AGD | | | 3,534 | | | | | | | | 84,223 | |
TUI AG | | | 5,007 | | | | | | | | 71,765 | |
United Internet AG | | | 1,502 | | | | | | | | 58,650 | |
Volkswagen AG | | | 361 | | | | | | | | 51,966 | |
Vonovia SE | | | 5,333 | | | | | | | | 173,495 | |
Zalando SE 144AD* | | | 800 | | | | | | | | 30,561 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 10,831,530 | |
| | | | | | | | | | | | |
Hong Kong — 2.8% | |
AIA Group, Ltd. | | | 126,600 | | | | | | | | 714,263 | |
ASM Pacific Technology, Ltd. | | | 3,200 | | | | | | | | 33,900 | |
Bank of East Asia, Ltd. (The) | | | 12,553 | | | | | | | | 48,078 | |
BOC Hong Kong Holdings, Ltd. | | | 37,500 | | | | | | | | 134,196 | |
Cathay Pacific Airways, Ltd. | | | 10,000 | | | | | | | | 13,154 | |
Cheung Kong Property Holdings, Ltd. | | | 29,000 | | | | | | | | 177,826 | |
CK Hutchison Holdings, Ltd. | | | 29,000 | | | | | | | | 328,725 | |
CLP Holdings, Ltd. | | | 17,500 | | | | | | | | 160,794 | |
Hang Lung Group, Ltd. | | | 12,000 | | | | | | | | 41,782 | |
Hang Lung Properties, Ltd. | | | 26,000 | | | | | | | | 55,121 | |
Hang Seng Bank, Ltd. | | | 8,100 | | | | | | | | 150,729 | |
Henderson Land
Development Co., Ltd. | | | 12,980 | | | | | | | | 69,047 | |
HK Electric Investments & HK Electric Investments, Ltd. 144A | | | 25,000 | | | | | | | | 20,633 | |
HKT Trust & HKT, Ltd. | | | 29,000 | | | | | | | | 35,565 | |
Hong Kong & China Gas Co., Ltd. | | | 77,110 | | | | | | | | 136,629 | |
Hong Kong Exchanges and Clearing, Ltd. | | | 13,013 | | | | | | | | 307,432 | |
Hongkong Land Holdings, Ltd. | | | 12,800 | | | | | | | | 81,024 | |
Hysan Development Co., Ltd. | | | 9,000 | | | | | | | | 37,198 | |
Link REIT | | | 24,500 | | | | | | | | 159,237 | |
MTR Corporation, Ltd. | | | 16,387 | | | | | | | | 79,669 | |
New World
Development Co., Ltd. | | | 73,518 | | | | | | | | 77,742 | |
PCCW, Ltd. | | | 55,000 | | | | | | | | 29,789 | |
Power Assets Holdings, Ltd. | | | 15,000 | | | | | | | | 132,214 | |
Sino Land Co., Ltd. | | | 30,335 | | | | | | | | 45,456 | |
Sun Hung Kai Properties, Ltd. | | | 16,000 | | | | | | | | 202,205 | |
Swire Pacific, Ltd. Class A | | | 5,500 | | | | | | | | 52,521 | |
Swire Properties, Ltd. | | | 13,000 | | | | | | | | 35,876 | |
Techtronic Industries Co., Ltd. | | | 17,500 | | | | | | | | 62,738 | |
WH Group, Ltd. 144A | | | 113,500 | | | | | | | | 91,772 | |
Wharf Holdings, Ltd. (The) | | | 15,000 | | | | | | | | 99,716 | |
Wheelock & Co., Ltd. | | | 8,000 | | | | | | | | 45,032 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,660,063 | |
| | | | | | | | | | | | |
Ireland — 0.5% | |
Bank of Ireland* | | | 288,122 | | | | | | | | 70,970 | |
CRH PLC | | | 9,009 | | | | | | | | 312,524 | |
DCC PLC | | | 905 | | | | | | | | 67,366 | |
James Hardie Industries PLC CDI | | | 4,486 | | | | | | | | 71,124 | |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
Kerry Group PLC Class A | | | 2,819 | | | | | | | $ | 201,489 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 723,473 | |
| | | | | | | | | | | | |
Israel — 0.5% | |
Azrieli Group | | | 1,369 | | | | | | | | 59,387 | |
Bank Hapoalim BM | | | 12,664 | | | | | | | | 75,319 | |
Bank Leumi Le-Israel BM* | | | 24,541 | | | | | | | | 101,042 | |
Bezeq The Israeli
Telecommunication
Corporation, Ltd. | | | 51,814 | | | | | | | | 98,461 | |
Check Point Software Technologies, Ltd.D* | | | 1,500 | | | | | | | | 126,690 | |
Elbit Systems, Ltd. | | | 330 | | | | | | | | 33,411 | |
Israel Chemicals, Ltd. | | | 26,155 | | | | | | | | 107,280 | |
Mizrahi Tefahot Bank, Ltd. | | | 1,129 | | | | | | | | 16,516 | |
NICE, Ltd. | | | 1,027 | | | | | | | | 70,012 | |
Taro Pharmaceuticals IndustriesD* | | | 300 | | | | | | | | 31,581 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 719,699 | |
| | | | | | | | | | | | |
Italy — 1.7% | |
Assicurazioni Generali SpA | | | 11,806 | | | | | | | | 175,478 | |
Atlantia SpA | | | 4,528 | | | | | | | | 106,100 | |
Enel SpA | | | 80,388 | | | | | | | | 354,392 | |
Eni SpA | | | 27,270 | | | | | | | | 444,080 | |
Intesa Sanpaolo SpA | | | 142,218 | | | | | | | | 361,651 | |
Leonardo SpA* | | | 3,992 | | | | | | | | 56,057 | |
Luxottica Group SpAD | | | 2,060 | | | | | | | | 110,809 | |
Mediobanca SpA | | | 3,955 | | | | | | | | 32,286 | |
Poste Italiane SpA 144A | | | 1,382 | | | | | | | | 9,172 | |
Prysmian SpA | | | 218 | | | | | | | | 5,599 | |
Saipem SpA* | | | 74,124 | | | | | | | | 41,744 | |
Snam SpA | | | 25,621 | | | | | | | | 105,561 | |
Telecom Italia SpA* | | | 168,026 | | | | | | | | 138,805 | |
Terna Rete Elettrica Nazionale SpA | | | 17,592 | | | | | | | | 80,592 | |
UniCredit SpA | | | 59,234 | | | | | | | | 170,473 | |
UnipolSai SpAD | | | 11,476 | | | | | | | | 24,523 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,217,322 | |
| | | | | | | | | | | | |
Japan — 22.6% | |
ABC-Mart, Inc. | | | 500 | | | | | | | | 28,321 | |
Acom Co., Ltd.* | | | 3,200 | | | | | | | | 13,991 | |
AEON Co., Ltd. | | | 7,100 | | | | | | | | 100,600 | |
AEON Financial Service Co., Ltd. | | | 800 | | | | | | | | 14,217 | |
AEON Mall Co., Ltd. | | | 900 | | | | | | | | 12,660 | |
Air Water, Inc. | | | 2,000 | | | | | | | | 36,107 | |
Aisin Seiki Co., Ltd. | | | 1,900 | | | | | | | | 82,421 | |
Ajinomoto Co., Inc. | | | 7,900 | | | | | | | | 159,115 | |
Alfresa Holdings Corporation | | | 1,900 | | | | | | | | 31,440 | |
Alps Electric Co., Ltd. | | | 2,100 | | | | | | | | 50,777 | |
Amada Holdings Co., Ltd. | | | 2,800 | | | | | | | | 31,264 | |
ANA Holdings, Inc. | | | 13,000 | | | | | | | | 35,015 | |
Aozora Bank, Ltd. | | | 5,000 | | | | | | | | 17,668 | |
Asahi Glass Co., Ltd. | | | 10,000 | | | | | | | | 68,107 | |
Asahi Kasei Corporation | | | 13,000 | | | | | | | | 113,399 | |
ASICS CorporationD | | | 1,100 | | | | | | | | 21,976 | |
Astellas Pharma, Inc. | | | 23,300 | | | | | | | | 323,658 | |
Bandai Namco Holdings, Inc. | | | 1,800 | | | | | | | | 49,668 | |
Bank of Kyoto, Ltd. (The) | | | 3,000 | | | | | | | | 22,280 | |
Benesse Holdings, Inc. | | | 500 | | | | | | | | 13,775 | |
Bridgestone Corporation | | | 6,700 | | | | | | | | 241,573 | |
Brother Industries, Ltd. | | | 1,900 | | | | | | | | 34,285 | |
Calbee, Inc.D | | | 1,500 | | | | | | | | 46,973 | |
Canon, Inc. | | | 11,200 | | | | | | | | 315,756 | |
Casio Computer Co., Ltd. | | | 2,100 | | | | | | | | 29,701 | |
| | | | |
| 202 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
Central Japan Railway Co. | | | 1,500 | | | | | | | $ | 246,802 | |
Chiba Bank, Ltd. (The) | | | 7,000 | | | | | | | | 42,943 | |
Chubu Electric Power Co., Inc. | | | 6,200 | | | | | | | | 86,628 | |
Chugai Pharmaceutical Co., Ltd. | | | 2,600 | | | | | | | | 74,635 | |
Chugoku Bank, Ltd. (The) | | | 1,300 | | | | | | | | 18,664 | |
Chugoku Electric Power Co., Inc. (The) | | | 3,100 | | | | | | | | 36,365 | |
Concordia Financial Group, Ltd. | | | 13,500 | | | | | | | | 64,985 | �� |
Credit Saison Co., Ltd. | | | 1,200 | | | | | | | | 21,325 | |
CYBERDYNE, Inc.D* | | | 1,200 | | | | | | | | 16,962 | |
Dai Nippon Printing Co., Ltd. | | | 6,000 | | | | | | | | 59,294 | |
Daicel Corporation | | | 3,100 | | | | | | | | 34,216 | |
Dai-ichi Life Insurance Co., Ltd. (The) | | | 11,500 | | | | | | | | 191,478 | |
Daiichi Sankyo Co., Ltd. | | | 7,000 | | | | | | | | 143,234 | |
Daikin Industries, Ltd. | | | 2,400 | | | | | | | | 220,441 | |
Daito Trust Construction Co., Ltd. | | | 700 | | | | | | | | 105,292 | |
Daiwa House Investment Corporation REIT | | | 13 | | | | | | | | 32,880 | |
Daiwa House Industry Co., Ltd. | | | 6,300 | | | | | | | | 172,276 | |
Daiwa Securities Group, Inc. | | | 17,000 | | | | | | | | 104,771 | |
DeNA Co., Ltd. | | | 1,200 | | | | | | | | 26,223 | |
Denso Corporation | | | 5,000 | | | | | | | | 216,599 | |
Dentsu, Inc. | | | 2,200 | | | | | | | | 103,529 | |
Don Quijote Holdings Co., Ltd. | | | 1,000 | | | | | | | | 37,005 | |
East Japan Railway Co. | | | 3,600 | | | | | | | | 311,102 | |
Eisai Co., Ltd. | | | 2,700 | | | | | | | | 154,966 | |
Electric Power Development Co., Ltd.D | | | 1,500 | | | | | | | | 34,524 | |
FamilyMart UNY Holdings Co., Ltd. | | | 800 | | | | | | | | 53,253 | |
FANUC Corporation | | | 2,000 | | | | | | | | 339,080 | |
Fast Retailing Co., Ltd. | | | 500 | | | | | | | | 178,952 | |
Fuji Electric Co., Ltd. | | | 5,000 | | | | | | | | 25,925 | |
Fuji Heavy Industries, Ltd. | | | 6,300 | | | | | | | | 257,229 | |
FUJIFILM Holdings Corporation | | | 4,700 | | | | | | | | 178,349 | |
Fujitsu, Ltd. | | | 18,000 | | | | | | | | 100,030 | |
Fukuoka Financial Group, Inc. | | | 8,000 | | | | | | | | 35,525 | |
Hachijuni Bank, Ltd. (The) | | | 5,000 | | | | | | | | 29,005 | |
Hakuhodo DY Holdings, Inc. | | | 1,900 | | | | | | | | 23,410 | |
Hamamatsu Photonics KK | | | 1,200 | | | | | | | | 31,572 | |
Hankyu Hanshin Holdings, Inc. | | | 2,600 | | | | | | | | 83,422 | |
Hikari Tsushin, Inc. | | | 200 | | | | | | | | 18,635 | |
Hino Motors, Ltd. | | | 2,100 | | | | | | | | 21,382 | |
Hirose Electric Co., Ltd. | | | 300 | | | | | | | | 37,194 | |
Hiroshima Bank, Ltd. (The) | | | 6,000 | | | | | | | | 28,030 | |
Hisamitsu Pharmaceutical Co., Inc. | | | 500 | | | | | | | | 25,027 | |
Hitachi Chemical Co., Ltd. | | | 800 | | | | | | | | 20,008 | |
Hitachi Construction Machinery
Co., Ltd. | | | 900 | | | | | | | | 19,490 | |
Hitachi High-Technologies Corporation | | | 600 | | | | | | | | 24,205 | |
Hitachi Metals, Ltd. | | | 2,000 | | | | | | | | 27,106 | |
Hitachi, Ltd. | | | 50,000 | | | | | | | | 270,374 | |
Hokuriku Electric Power Co. | | | 1,400 | | | | | | | | 15,692 | |
Honda Motor Co., Ltd. | | | 17,100 | | | | | | | | 499,649 | |
Hoshizaki Corporation | | | 600 | | | | | | | | 47,487 | |
Hoya Corporation | | | 4,100 | | | | | | | | 172,279 | |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
Hulic Co., Ltd. | | | 2,400 | | | | | | | $ | 21,336 | |
Idemitsu Kosan Co., Ltd. | | | 700 | | | | | | | | 18,597 | |
IHI CorporationD* | | | 15,000 | | | | | | | | 39,016 | |
Iida Group Holdings Co., Ltd. | | | 1,200 | | | | | | | | 22,763 | |
Inpex Corporation | | | 9,300 | | | | | | | | 93,179 | |
Isetan Mitsukoshi Holdings, Ltd. | | | 3,600 | | | | | | | | 38,811 | |
Isuzu Motors, Ltd. | | | 6,800 | | | | | | | | 86,167 | |
ITOCHU Corporation | | | 15,500 | | | | | | | | 205,827 | |
J. Front Retailing Co., Ltd. | | | 3,400 | | | | | | | | 45,818 | |
Japan Airlines Co., Ltd. | | | 500 | | | | | | | | 14,610 | |
Japan Airport Terminal Co., Ltd. | | | 400 | | | | | | | | 14,460 | |
Japan Exchange Group, Inc. | | | 5,200 | | | | | | | | 74,302 | |
Japan Post Bank Co., Ltd. | | | 3,800 | | | | | | | | 45,616 | |
Japan Post Holdings Co., Ltd. | | | 5,700 | | | | | | | | 71,156 | |
Japan Prime Realty Investment Corporation REIT | | | 9 | | | | | | | | 35,461 | |
Japan Real Estate Investment Corporation REIT | | | 13 | | | | | | | | 70,853 | |
Japan Retail Fund Investment Corporation REIT | | | 25 | | | | | | | | 50,610 | |
JFE Holdings, Inc. | | | 5,300 | | | | | | | | 80,719 | |
JGC Corporation | | | 2,000 | | | | | | | | 36,347 | |
JSR Corporation | | | 1,500 | | | | | | | | 23,653 | |
JTEKT Corporation | | | 2,600 | | | | | | | | 41,600 | |
JX Holdings, Inc. | | | 21,000 | | | | | | | | 88,887 | |
Kajima Corporation | | | 9,000 | | | | | | | | 62,297 | |
Kakaku.com, Inc.D | | | 1,200 | | | | | | | | 19,857 | |
Kamigumi Co., Ltd. | | | 2,000 | | | | | | | | 19,063 | |
Kaneka Corporation | | | 3,000 | | | | | | | | 24,436 | |
Kansai Electric Power Co., Inc. (The)* | | | 7,200 | | | | | | | | 78,730 | |
Kansai Paint Co., Ltd.D | | | 2,000 | | | | | | | | 36,843 | |
Kao Corporation | | | 5,400 | | | | | | | | 256,012 | |
Kawasaki Heavy Industries, Ltd.D | | | 15,000 | | | | | | | | 47,102 | |
KDDI Corporation | | | 18,800 | | | | | | | | 476,052 | |
Keihan Holdings Co., Ltd. | | | 6,000 | | | | | | | | 39,427 | |
Keikyu Corporation | | | 6,000 | | | | | | | | 69,562 | |
Keio Corporation | | | 7,000 | | | | | | | | 57,557 | |
Keisei Electric Railway Co., Ltd. | | | 1,500 | | | | | | | | 36,411 | |
Keyence Corporation | | | 500 | | | | | | | | 343,102 | |
Kikkoman Corporation | | | 3,000 | | | | | | | | 96,000 | |
Kintetsu Group Holdings Co., Ltd. | | | 21,000 | | | | | | | | 80,137 | |
Kobe Steel, Ltd.* | | | 2,500 | | | | | | | | 23,893 | |
Koito Manufacturing Co., Ltd. | | | 1,100 | | | | | | | | 58,259 | |
Komatsu, Ltd. | | | 9,400 | | | | | | | | 212,933 | |
Konami Holdings Corporation | | | 800 | | | | | | | | 32,308 | |
Konica Minolta, Inc. | | | 4,700 | | | | | | | | 46,688 | |
Kose Corporation | | | 300 | | | | | | | | 24,924 | |
Kubota CorporationD | | | 10,800 | | | | | | | | 154,180 | |
Kuraray Co., Ltd. | | | 3,600 | | | | | | | | 54,089 | |
Kurita Water Industries, Ltd. | | | 900 | | | | | | | | 19,821 | |
Kyocera Corporation | | | 3,400 | | | | | | | | 169,076 | |
Kyowa Hakko Kirin Co., Ltd. | | | 3,000 | | | | | | | | 41,480 | |
Kyushu Electric Power Co., Inc. | | | 4,400 | | | | | | | | 47,736 | |
Kyushu Financial Group, Inc. | | | 3,700 | | | | | | | | 25,105 | |
Lawson, Inc. | | | 600 | | | | | | | | 42,148 | |
LINE CorporationD* | | | 300 | | | | | | | | 10,293 | |
Lion Corporation | | | 2,000 | | | | | | | | 32,856 | |
LIXIL Group Corporation | | | 2,600 | | | | | | | | 59,041 | |
| | | | |
| | See Notes to Financial Statements. | | 203 |
INTERNATIONAL EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
M3, Inc. | | | 2,100 | | | | | | | $ | 52,916 | |
Mabuchi Motor Co., Ltd.D | | | 400 | | | | | | | | 20,877 | |
Makita Corporation | | | 1,100 | | | | | | | | 73,694 | |
Marubeni Corporation | | | 16,300 | | | | | | | | 92,438 | |
Marui Group Co., Ltd.D | | | 1,900 | | | | | | | | 27,750 | |
Maruichi Steel Tube, Ltd. | | | 400 | | | | | | | | 13,022 | |
Mazda Motor Corporation | | | 5,700 | | | | | | | | 93,248 | |
McDonald’s Holdings Co. Japan, Ltd. | | | 500 | | | | | | | | 13,091 | |
Mebuki Financial Group, Inc. | | | 9,150 | | | | | | | | 33,899 | |
Medipal Holdings Corporation | | | 2,200 | | | | | | | | 34,692 | |
MEIJI Holdings Co., Ltd. | | | 1,600 | | | | | | | | 125,399 | |
Minebea Co., Ltd. | | | 3,000 | | | | | | | | 28,133 | |
Miraca Holdings, Inc. | | | 500 | | | | | | | | 22,460 | |
MISUMI Group, Inc. | | | 1,600 | | | | | | | | 26,339 | |
Mitsubishi Chemical Holdings Corporation | | | 15,400 | | | | | | | | 99,878 | |
Mitsubishi Corporation | | | 15,700 | | | | | | | | 334,486 | |
Mitsubishi Electric Corporation | | | 20,000 | | | | | | | | 278,845 | |
Mitsubishi Estate Co., Ltd. | | | 13,000 | | | | | | | | 258,888 | |
Mitsubishi Gas Chemical Co., Inc. | | | 1,500 | | | | | | | | 25,604 | |
Mitsubishi Heavy Industries, Ltd. | | | 32,000 | | | | | | | | 145,824 | |
Mitsubishi Logistics Corporation | | | 1,000 | | | | | | | | 14,143 | |
Mitsubishi Materials Corporation | | | 1,200 | | | | | | | | 36,860 | |
Mitsubishi Motors Corporation | | | 6,300 | | | | | | | | 35,900 | |
Mitsubishi Tanabe Pharma Corporation | | | 2,400 | | | | | | | | 47,086 | |
Mitsubishi UFJ Financial Group, Inc. | | | 132,600 | | | | | | | | 817,100 | |
Mitsubishi UFJ Lease & Finance Co., Ltd. | | | 4,000 | | | | | | | | 20,672 | |
Mitsui & Co., Ltd. | | | 18,300 | | | | | | | | 251,620 | |
Mitsui Chemicals, Inc. | | | 13,000 | | | | | | | | 58,396 | |
Mitsui Fudosan Co., Ltd. | | | 10,000 | | | | | | | | 231,444 | |
Mitsui OSK Lines, Ltd. | | | 13,000 | | | | | | | | 36,039 | |
Mixi, Inc. | | | 300 | | | | | | | | 10,960 | |
Mizuho Financial Group, Inc. | | | 253,200 | | | | | | | | 454,514 | |
MS&AD Insurance Group Holdings, Inc. | | | 5,400 | | | | | | | | 167,440 | |
Murata Manufacturing Co., Ltd. | | | 2,000 | | | | | | | | 267,807 | |
Nabtesco Corporation | | | 1,000 | | | | | | | | 23,264 | |
Nagoya Railroad Co., Ltd. | | | 10,000 | | | | | | | | 48,342 | |
NEC Corporation | | | 25,000 | | | | | | | | 66,310 | |
Nexon Co., Ltd. | | | 2,200 | | | | | | | | 31,887 | |
NGK Insulators, Ltd. | | | 3,000 | | | | | | | | 58,190 | |
NGK Spark Plug Co., Ltd.D | | | 1,900 | | | | | | | | 42,235 | |
NH Foods, Ltd. | | | 3,000 | | | | | | | | 80,984 | |
Nidec Corporation | | | 2,500 | | | | | | | | 215,722 | |
Nikon CorporationD | | | 3,500 | | | | | | | | 54,413 | |
Nintendo Co., Ltd. | | | 1,200 | | | | | | | | 251,962 | |
Nippon Building Fund, Inc. REITD | | | 14 | | | | | | | | 77,502 | |
Nippon Electric Glass Co., Ltd. | | | 3,000 | | | | | | | | 16,222 | |
Nippon Express Co., Ltd. | | | 10,000 | | | | | | | | 53,818 | |
Nippon Paint Holdings Co., Ltd.D | | | 1,900 | | | | | | | | 51,778 | |
Nippon Prologis, Inc. REIT | | | 17 | | | | | | | | 34,749 | |
Nippon Steel & Sumitomo
Metal Corporation | | | 8,200 | | | | | | | | 182,908 | |
Nippon Telegraph & Telephone Corporation | | | 7,200 | | | | | | | | 302,600 | |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
Nippon Yusen KK | | | 17,000 | | | | | | | $ | 31,564 | |
Nissan Chemical Industries, Ltd. | | | 1,000 | | | | | | | | 33,412 | |
Nissan Motor Co., Ltd. | | | 26,600 | | | | | | | | 267,536 | |
Nisshin Seifun Group, Inc. | | | 4,800 | | | | | | | | 72,036 | |
Nissin Foods Holdings Co., Ltd. | | | 1,400 | | | | | | | | 73,549 | |
Nitori Holdings Co., Ltd. | | | 900 | | | | | | | | 102,879 | |
Nitto Denko Corporation | | | 1,600 | | | | | | | | 122,784 | |
NOK Corporation | | | 800 | | | | | | | | 16,195 | |
Nomura Holdings, Inc. | | | 36,600 | | | | | | | | 215,795 | |
Nomura Real Estate Master Fund, Inc. REIT | | | 37 | | | | | | | | 55,971 | |
Nomura Real Estate Holdings, Inc. | | | 1,000 | | | | | | | | 17,010 | |
Nomura Research Institute, Ltd. | | | 1,419 | | | | | | | | 43,223 | |
NSK, Ltd. | | | 4,700 | | | | | | | | 54,450 | |
NTT Data Corporation | | | 1,400 | | | | | | | | 67,679 | |
NTT DOCOMO, Inc. | | | 14,000 | | | | | | | | 318,990 | |
Obayashi Corporation | | | 7,300 | | | | | | | | 69,768 | |
Obic Co., Ltd. | | | 600 | | | | | | | | 26,233 | |
Odakyu Electric Railway Co., Ltd.D | | | 3,000 | | | | | | | | 59,371 | |
Oji Holdings Corporation | | | 8,000 | | | | | | | | 32,582 | |
Olympus Corporation | | | 3,200 | | | | | | | | 110,614 | |
Omron Corporation | | | 2,100 | | | | | | | | 80,586 | |
Ono Pharmaceutical Co., Ltd. | | | 4,400 | | | | | | | | 96,207 | |
Oracle Corporation | | | 300 | | | | | | | | 15,119 | |
Oriental Land Co., Ltd. | | | 2,400 | | | | | | | | 135,653 | |
ORIX Corporation | | | 14,100 | | | | | | | | 220,050 | |
Osaka Gas Co., Ltd. | | | 23,000 | | | | | | | | 88,477 | |
Otsuka Corporation | | | 400 | | | | | | | | 18,687 | |
Otsuka Holdings Co., Ltd. | | | 4,200 | | | | | | | | 183,021 | |
Panasonic Corporation | | | 22,700 | | | | | | | | 231,030 | |
Park24 Co., Ltd. | | | 800 | | | | | | | | 21,698 | |
Pola Orbis Holdings, Inc.D | | | 200 | | | | | | | | 16,513 | |
Rakuten, Inc.* | | | 9,500 | | | | | | | | 93,110 | |
Recruit Holdings Co., Ltd. | | | 4,000 | | | | | | | | 160,513 | |
Resona Holdings, Inc. | | | 23,900 | | | | | | | | 122,593 | |
Ricoh Co., Ltd. | | | 6,400 | | | | | | | | 54,102 | |
Rinnai Corporation | | | 300 | | | | | | | | 24,205 | |
Rohm Co., Ltd. | | | 1,000 | | | | | | | | 57,583 | |
Ryohin Keikaku Co., Ltd.D | | | 300 | | | | | | | | 58,806 | |
Santen Pharmaceutical Co., Ltd. | | | 3,600 | | | | | | | | 44,047 | |
SBI Holdings, Inc. | | | 3,200 | | | | | | | | 40,714 | |
Secom Co., Ltd. | | | 2,300 | | | | | | | | 168,217 | |
Seibu Holdings, Inc.D | | | 1,100 | | | | | | | | 19,727 | |
Seiko Epson Corporation | | | 3,000 | | | | | | | | 63,529 | |
Sekisui Chemical Co., Ltd. | | | 4,000 | | | | | | | | 63,795 | |
Sekisui House, Ltd. | | | 6,200 | | | | | | | | 103,205 | |
Seven & i Holdings Co., Ltd. | | | 7,900 | | | | | | | | 300,994 | |
Seven Bank, Ltd. | | | 4,800 | | | | | | | | 13,758 | |
Sharp Corporation* | | | 14,000 | | | | | | | | 32,342 | |
Shimadzu Corporation | | | 2,000 | | | | | | | | 31,863 | |
Shimamura Co., Ltd. | | | 200 | | | | | | | | 24,967 | |
Shimano, Inc.D | | | 800 | | | | | | | | 125,536 | |
Shimizu Corporation | | | 6,000 | | | | | | | | 54,879 | |
Shin-Etsu Chemical Co., Ltd. | | | 4,000 | | | | | | | | 310,314 | |
Shinsei Bank, Ltd. | | | 4,000 | | | | | | | | 6,708 | |
Shionogi & Co., Ltd. | | | 3,200 | | | | | | | | 153,299 | |
Shiseido Co., Ltd. | | | 4,300 | | | | | | | | 108,848 | |
Shizuoka Bank, Ltd. (The)D | | | 5,000 | | | | | | | | 42,011 | |
Showa Shell Sekiyu KK | | | 1,500 | | | | | | | | 13,951 | |
SMC Corporation | | | 600 | | | | | | | | 143,256 | |
SoftBank Group Corporation | | | 9,800 | | | | | | | | 651,097 | |
| | | | |
| 204 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
Sohgo Security
Services Co., Ltd. | | | 600 | | | | | | | $ | 23,076 | |
Sompo Holdings, Inc. | | | 3,300 | | | | | | | | 111,812 | |
Sony Corporation | | | 13,200 | | | | | | | | 369,882 | |
Sony Financial Holdings, Inc. | | | 1,400 | | | | | | | | 21,849 | |
Stanley Electric Co., Ltd. | | | 1,300 | | | | | | | | 35,538 | |
Start Today Co., Ltd. | | | 1,500 | | | | | | | | 25,912 | |
Sumitomo Chemical Co., Ltd. | | | 17,000 | | | | | | | | 80,873 | |
Sumitomo Corporation | | | 12,400 | | | | | | | | 145,935 | |
Sumitomo Dainippon Pharma
Co., Ltd.D | | | 1,300 | | | | | | | | 22,357 | |
Sumitomo Electric
Industries, Ltd. | | | 8,000 | | | | | | | | 115,440 | |
Sumitomo Heavy
Industries, Ltd. | | | 6,000 | | | | | | | | 38,657 | |
Sumitomo Metal
Mining Co., Ltd. | | | 5,000 | | | | | | | | 64,471 | |
Sumitomo Mitsui Financial
Group, Inc. | | | 14,100 | | | | | | | | 538,062 | |
Sumitomo Mitsui Trust
Holdings, Inc. | | | 3,300 | | | | | | | | 118,108 | |
Sumitomo Realty &
Development Co., Ltd. | | | 4,000 | | | | | | | | 106,302 | |
Sumitomo Rubber
Industries, Inc. | | | 1,400 | | | | | | | | 22,232 | |
Sundrug Co., Ltd. | | | 400 | | | | | | | | 27,688 | |
Suntory Beverage & Food, Ltd. | | | 2,400 | | | | | | | | 99,696 | |
Suruga Bank, Ltd.D | | | 1,500 | | | | | | | | 33,485 | |
Suzuken Co., Ltd. | | | 900 | | | | | | | | 29,416 | |
Suzuki Motor Corporation | | | 3,600 | | | | | | | | 126,720 | |
Sysmex Corporation | | | 1,700 | | | | | | | | 98,473 | |
T&D Holdings, Inc. | | | 6,200 | | | | | | | | 81,986 | |
Taiheiyo Cement Corporation | | | 12,000 | | | | | | | | 37,989 | |
Taisei Corporation | | | 10,000 | | | | | | | | 69,989 | |
Taisho Pharmaceutical
Holdings Co., Ltd. | | | 300 | | | | | | | | 24,898 | |
Taiyo Nippon
Sanso CorporationD | | | 1,200 | | | | | | | | 13,902 | |
Takashimaya Co., Ltd.D | | | 3,000 | | | | | | | | 24,744 | |
Takeda Pharmaceutical Co., Ltd. | | | 8,100 | | | | | | | | 335,089 | |
TDK Corporation | | | 1,200 | | | | | | | | 82,550 | |
Teijin, Ltd. | | | 1,600 | | | | | | | | 32,431 | |
Terumo Corporation | | | 3,800 | | | | | | | | 140,295 | |
THK Co., Ltd. | | | 1,000 | | | | | | | | 22,126 | |
Tobu Railway Co., Ltd. | | | 10,000 | | | | | | | | 49,626 | |
Toho Co., Ltd. | | | 1,600 | | | | | | | | 45,245 | |
Toho Gas Co., Ltd. | | | 5,000 | | | | | | | | 40,685 | |
Tohoku Electric Power Co., Inc. | | | 3,100 | | | | | | | | 39,176 | |
Tokio Marine Holdings, Inc. | | | 7,200 | | | | | | | | 295,454 | |
Tokyo Electric
Power Co. Holdings, Inc.* | | | 14,000 | | | | | | | | 56,539 | |
Tokyo Electron, Ltd. | | | 1,600 | | | | | | | | 151,204 | |
Tokyo Gas Co., Ltd. | | | 22,000 | | | | | | | | 99,558 | |
Tokyo Tatemono Co., Ltd. | | | 2,300 | | | | | | | | 30,759 | |
Tokyu Corporation | | | 11,000 | | | | | | | | 80,847 | |
Tokyu Fudosan Holdings Corporation | | | 5,600 | | | | | | | | 33,061 | |
TonenGeneral Sekiyu KK | | | 3,000 | | | | | | | | 31,624 | |
Toppan Printing Co., Ltd. | | | 5,000 | | | | | | | | 47,743 | |
Toray Industries, Inc. | | | 16,000 | | | | | | | | 129,533 | |
Toshiba Corporation* | | | 41,000 | | | | | | | | 99,312 | |
TOTO, Ltd. | | | 1,200 | | | | | | | | 47,487 | |
Toyo Seikan Group
Holdings, Ltd. | | | 2,300 | | | | | | | | 42,940 | |
Toyo Suisan Kaisha, Ltd. | | | 1,800 | | | | | | | | 65,224 | |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
Toyoda Gosei Co., Ltd. | | | 500 | | | | | | | $ | 11,696 | |
Toyota Industries Corporation | | | 1,400 | | | | | | | | 66,721 | |
Toyota Motor Corporation | | | 27,716 | | | | | | | | 1,631,064 | |
Toyota Tsusho Corporation | | | 2,100 | | | | | | | | 54,712 | |
Trend Micro, Inc.* | | | 1,200 | | | | | | | | 42,661 | |
Tsuruha Holdings, Inc. | | | 400 | | | | | | | | 37,989 | |
Unicharm Corporation | | | 4,000 | | | | | | | | 87,529 | |
United Urban Investment Corporation REIT | | | 28 | | | | | | | | 42,620 | |
USS Co., Ltd. | | | 2,500 | | | | | | | | 39,829 | |
West Japan Railway Co. | | | 1,900 | | | | | | | | 116,609 | |
Yahoo Japan Corporation | | | 17,200 | | | | | | | | 66,077 | |
Yakult Honsha Co., Ltd. | | | 1,500 | | | | | | | | 69,562 | |
Yamada Denki Co., Ltd. | | | 7,600 | | | | | | | | 40,967 | |
Yamaguchi Financial
Group, Inc. | | | 2,000 | | | | | | | | 21,784 | |
Yamaha Corporation | | | 1,800 | | | | | | | | 54,982 | |
Yamaha Motor Co., Ltd. | | | 2,600 | | | | | | | | 57,261 | |
Yamato Holdings Co., Ltd. | | | 4,400 | | | | | | | | 89,468 | |
Yamazaki Baking Co., Ltd. | | | 3,000 | | | | | | | | 57,959 | |
Yaskawa Electric CorporationD | | | 2,600 | | | | | | | | 40,443 | |
Yokogawa Electric Corporation | | | 1,800 | | | | | | | | 26,074 | |
Yokohama Rubber Co.,
Ltd. (The)D | | | 1,000 | | | | | | | | 17,934 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 30,044,344 | |
| | | | | | | | | | | | |
Jersey — 1.4% | | | | | | | | | | | | |
Experian PLC | | | 12,870 | | | | | | | | 249,653 | |
Glencore PLC* | | | 122,192 | | | | | | | | 417,662 | |
Petrofac, Ltd. | | | 4,133 | | | | | | | | 44,263 | |
Randgold Resources, Ltd. | | | 1,112 | | | | | | | | 87,913 | |
Shire PLC | | | 9,425 | | | | | | | | 544,067 | |
Wolseley PLC | | | 2,983 | | | | | | | | 182,417 | |
WPP PLC | | | 14,627 | | | | | | | | 327,360 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,853,335 | |
| | | | | | | | | | | | |
Luxembourg — 0.3% | | | | | | | | | | | | |
ArcelorMittal* | | | 19,656 | | | | | | | | 145,168 | |
Eurofins Scientific SE | | | 166 | | | | | | | | 70,770 | |
Millicom International
Cellular SA SDR | | | 902 | | | | | | | | 38,543 | |
RTL Group SA | | | 285 | | | | | | | | 20,919 | |
SES SA | | | 3,858 | | | | | | | | 84,979 | |
Tenaris SA | | | 5,417 | | | | | | | | 96,767 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 457,146 | |
| | | | | | | | | | | | |
Mauritius — 0.0% | | | | | | | | | | | | |
Golden Agri-Resources, Ltd. | | | 62,700 | | | | | | | | 18,618 | |
| | | | | | | | | | | | |
Netherlands — 3.8% | | | | | | | | | | | | |
ABN AMRO Group NV
CVA 144A | | | 2,939 | | | | | | | | 65,123 | |
Aegon NV | | | 21,999 | | | | | | | | 121,067 | |
AerCap Holdings NV* | | | 1,900 | | | | | | | | 79,059 | |
Airbus Group SE | | | 6,194 | | | | | | | | 409,725 | |
Akzo Nobel NV | | | 2,671 | | | | | | | | 166,983 | |
Altice NV Class A* | | | 3,520 | | | | | | | | 69,772 | |
Altice NV Class B* | | | 2,107 | | | | | | | | 41,986 | |
ASML Holding NV | | | 3,932 | | | | | | | | 441,428 | |
Boskalis Westminster | | | 963 | | | | | | | | 33,442 | |
CNH Industrial NV | | | 9,819 | | | | | | | | 85,427 | |
EXOR NV | | | 1,031 | | | | | | | | 44,475 | |
Ferrari NV | | | 1,166 | | | | | | | | 67,875 | |
Fiat Chrysler
Automobiles NV* | | | 7,494 | | | | | | | | 68,355 | |
Gemalto NVD | | | 809 | | | | | | | | 46,770 | |
ING Groep NV | | | 41,477 | | | | | | | | 583,746 | |
| | | | |
| | See Notes to Financial Statements. | | 205 |
INTERNATIONAL EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Shares | | | Value | |
Koninklijke Ahold Delhaize NV | | | 13,901 | | | | | | | $ | 293,098 | |
Koninklijke DSM NV | | | 1,776 | | | | | | | | 106,487 | |
Koninklijke KPN NV | | | 34,534 | | | | | | | | 102,295 | |
Koninklijke Philips NV | | | 10,392 | | | | | | | | 317,236 | |
Koninklijke Vopak NV | | | 953 | | | | | | | | 45,018 | |
Mobileye NVD* | | | 1,900 | | | | | | | | 72,428 | |
NN Group NV | | | 3,121 | | | | | | | | 105,771 | |
NXP Semiconductor NV* | | | 2,862 | | | | | | | | 280,505 | |
QIAGEN NV* | | | 3,941 | | | | | | | | 110,682 | |
Randstad Holding NV | | | 1,430 | | | | | | | | 77,568 | |
RELX NV | | | 11,975 | | | | | | | | 201,562 | |
STMicroelectronics NV | | | 6,571 | | | | | | | | 74,531 | |
Unilever NV CVA | | | 20,720 | | | | | | | | 853,137 | |
Wolters Kluwer NV | | | 3,324 | | | | | | | | 120,436 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,085,987 | |
| | | | | | | | | | | | |
New Zealand — 0.2% | |
Auckland International Airport, Ltd. | | | 8,625 | | | | | | | | 37,449 | |
Contact Energy, Ltd. | | | 7,151 | | | | | | | | 23,150 | |
Fletcher Building, Ltd. | | | 7,398 | | | | | | | | 54,478 | |
Mercury NZ, Ltd. | | | 12,874 | | | | | | | | 23,253 | |
Mighty River Power, Ltd. | | | 4,302 | | | | | | | | 8,846 | |
Ryman Healthcare, Ltd. | | | 2,667 | | | | | | | | 15,026 | |
Spark New Zealand, Ltd. | | | 18,489 | | | | | | | | 43,799 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 206,001 | |
| | | | | | | | | | | | |
Norway — 0.8% | |
DNB ASA | | | 9,875 | | | | | | | | 146,832 | |
Gjensidige Forsikring ASA | | | 2,501 | | | | | | | | 39,678 | |
Marine Harvest ASA* | | | 6,218 | | | | | | | | 112,114 | |
Norsk Hydro ASA | | | 13,545 | | | | | | | | 64,781 | |
Orkla ASA | | | 23,909 | | | | | | | | 216,515 | |
Schibsted ASA Class A | | | 715 | | | | | | | | 16,403 | |
Schibsted ASA, B Shares | | | 1,488 | | | | | | | | 31,534 | |
Statoil ASA | | | 13,609 | | | | | | | | 249,633 | |
Telenor ASA | | | 8,188 | | | | | | | | 122,317 | |
Yara International ASA | | | 1,747 | | | | | | | | 68,785 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,068,592 | |
| | | | | | | | | | | | |
Papua New Guinea — 0.1% | |
Oil Search, Ltd. | | | 15,218 | | | | | | | | 78,742 | |
| | | | | | | | | | | | |
Portugal — 0.1% | | | | | | | | | | | | |
EDP — Energias de Portugal SA | | | 17,470 | | | | | | | | 53,220 | |
Galp Energia SGPS SA | | | 5,590 | | | | | | | | 83,499 | |
Jeronimo Martins SGPS SA | | | 2,979 | | | | | | | | 46,222 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 182,941 | |
| | | | | | | | | | | | |
Singapore — 1.2% | |
Ascendas Real Estate Investment Trust REIT | | | 25,800 | | | | | | | | 40,442 | |
CapitaLand Commercial Trust REIT | | | 16,400 | | | | | | | | 16,761 | |
CapitaLand Mall Trust REIT | | | 20,600 | | | | | | | | 26,814 | |
CapitaLand, Ltd. | | | 30,000 | | | | | | | | 62,563 | |
City Developments, Ltd. | | | 5,900 | | | | | | | | 33,734 | |
ComfortDelGro Corporation, Ltd. | | | 29,600 | | | | | | | | 50,486 | |
DBS Group Holdings, Ltd.D | | | 19,230 | | | | | | | | 230,258 | |
Global Logistic Properties, Ltd. | | | 36,100 | | | | | | | | 54,842 | |
Hutchison Port Holdings Trust Class U | | | 53,700 | | | | | | | | 23,359 | |
Jardine Cycle & Carriage, Ltd. | | | 1,111 | | | | | | | | 31,631 | |
Keppel Corporation, Ltd.D | | | 17,700 | | | | | | | | 70,768 | |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
Oversea-Chinese Banking Corporation, Ltd. | | | 32,762 | | | | | | | $ | 201,800 | |
SATS, Ltd. | | | 4,900 | | | | | | | | 16,411 | |
Sembcorp Industries, Ltd. | | | 15,900 | | | | | | | | 31,292 | |
Singapore Airlines, Ltd. | | | 5,600 | | | | | | | | 37,394 | |
Singapore Exchange, Ltd. | | | 7,800 | | | | | | | | 38,565 | |
Singapore Press Holdings, Ltd. | | | 18,400 | | | | | | | | 44,852 | |
Singapore Technologies Engineering, Ltd. | | | 16,100 | | | | | | | | 35,910 | |
Singapore Telecommunications, Ltd. | | | 83,700 | | | | | | | | 210,962 | |
StarHub, Ltd.D | | | 4,000 | | | | | | | | 7,762 | |
Suntec Real Estate Investment Trust REIT | | | 18,200 | | | | | | | | 20,737 | |
United Overseas Bank, Ltd. | | | 13,594 | | | | | | | | 191,498 | |
UOL Group, Ltd. | | | 7,390 | | | | | | | | 30,567 | |
Wilmar International, Ltd. | | | 25,500 | | | | | | | | 63,215 | |
Yangzijiang Shipbuilding Holdings, Ltd. | | | 23,400 | | | | | | | | 13,169 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,585,792 | |
| | | | | | | | | | | | |
Spain — 3.0% | |
Abertis Infraestructuras SA | | | 5,559 | | | | | | | | 77,798 | |
ACS Actividades de Construccion y Servicios SA | | | 2,270 | | | | | | | | 71,734 | |
Aena SA 144A | | | 664 | | | | | | | | 90,620 | |
Amadeus IT Group SA | | | 4,852 | | | | | | | | 220,490 | |
Banco Bilbao Vizcaya Argentaria SA | | | 65,965 | | | | | | | | 445,377 | |
Banco de Sabadell SA | | | 45,142 | | | | | | | | 62,868 | |
Banco Popular Espanol SAD | | | 47,871 | | | | | | | | 46,259 | |
Banco Santander SA | | | 149,851 | | | | | | | | 782,239 | |
Bankia SA | | | 45,814 | | | | | | | | 46,828 | |
CaixaBank SA | | | 31,666 | | | | | | | | 104,667 | |
Distribuidora Internacional de Alimentacion SAD | | | 6,556 | | | | | | | | 32,194 | |
Enagas SAD | | | 2,158 | | | | | | | | 54,803 | |
Endesa SA | | | 3,073 | | | | | | | | 65,100 | |
Ferrovial SA | | | 4,865 | | | | | | | | 87,034 | |
Gas Natural SDG SA | | | 3,746 | | | | | | | | 70,623 | |
Grifols SA | | | 6,644 | | | | | | | | 132,044 | |
Iberdrola SAD | | | 58,971 | | | | | | | | 386,982 | |
Industria de Diseno Textil SA | | | 11,719 | | | | | | | | 400,058 | |
International Consolidated Airlines Group SA | | | 15,016 | | | | | | | | 81,072 | |
Mapfre SAD | | | 6,599 | | | | | | | | 20,145 | |
Red Electrica Corporation SA | | | 4,224 | | | | | | | | 79,702 | |
Repsol SA | | | 9,441 | | | | | | | | 133,369 | |
Telefonica SA* | | | 48,891 | | | | | | | | 453,924 | |
Zardoya Otis SA | | | 1,520 | | | | | | | | 12,848 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,958,778 | |
| | | | | | | | | | | | |
Sweden — 2.8% | |
Alfa Laval AB | | | 2,935 | | | | | | | | 48,581 | |
Assa Abloy AB Class B | | | 10,719 | | | | | | | | 198,953 | |
Atlas Copco AB, A Shares | | | 7,121 | | | | | | | | 216,899 | |
Atlas Copco AB, B Shares | | | 4,698 | | | | | | | | 128,194 | |
Boliden AB | | | 2,787 | | | | | | | | 72,775 | |
Electrolux AB, Series B | | | 3,663 | | | | | | | | 90,986 | |
Getinge AB, B Shares | | | 4,733 | | | | | | | | 75,900 | |
Hennes & Mauritz AB, B Shares | | | 10,227 | | | | | | | | 284,451 | |
Hexagon AB, B Shares | | | 2,571 | | | | | | | | 91,856 | |
Husqvarna AB, B Shares | | | 7,015 | | | | | | | | 54,553 | |
ICA Gruppen AB | | | 628 | | | | | | | | 19,156 | |
| | | | |
| 206 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
Industrivarden AB, C Shares | | | 1,472 | | | | | | | $ | 27,435 | |
Investor AB, B Shares | | | 4,535 | | | | | | | | 169,491 | |
Kinnevik AB Class B | | | 2,697 | | | | | | | | 64,623 | |
Lundin Petroleum AB* | | | 1,760 | | | | | | | | 38,269 | |
Nordea Bank AB | | | 33,143 | | | | | | | | 368,514 | |
Sandvik AB | | | 11,727 | | | | | | | | 145,065 | |
Securitas AB, B Shares | | | 3,202 | | | | | | | | 50,399 | |
Skandinaviska Enskilda Banken AB Class A | | | 17,179 | | | | | | | | 180,170 | |
Skanska AB, B Shares | | | 3,302 | | | | | | | | 77,960 | |
SKF AB, B Shares | | | 4,349 | | | | | | | | 80,005 | |
Svenska Cellulosa AB SCA Class B | | | 6,633 | | | | | | | | 187,328 | |
Svenska Handelsbanken AB, A Shares | | | 15,993 | | | | | | | | 222,237 | |
Swedbank AB, A Shares | | | 9,578 | | | | | | | | 231,602 | |
Tele2 AB, B Shares | | | 2,911 | | | | | | | | 23,341 | |
Telefonaktiebolaget LM Ericsson, B SharesD | | | 36,577 | | | | | | | | 214,790 | |
Telia Co. ABD | | | 28,287 | | | | | | | | 113,979 | |
Volvo AB, B Shares | | | 17,174 | | | | | | | | 200,570 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,678,082 | |
| | | | | | | | | | | | |
Switzerland — 8.7% | |
ABB, Ltd.* | | | 17,481 | | | | | | | | 368,744 | |
Actelion, Ltd.* | | | 1,089 | | | | | | | | 235,809 | |
Adecco Group SA | | | 1,870 | | | | | | | | 122,396 | |
Aryzta AGD* | | | 1,207 | | | | | | | | 53,161 | |
Barry Callebaut AGD* | | | 40 | | | | | | | | 48,944 | |
Chocoladefabriken Lindt & Spruengli AG | | | 17 | | | | | | | | 199,278 | |
Cie Financiere Richemont SA | | | 5,563 | | | | | | | | 368,481 | |
Coca-Cola HBC AG* | | | 9,685 | | | | | | | | 211,265 | |
Credit Suisse Group AG* | | | 21,401 | | | | | | | | 307,050 | |
Dufry AG* | | | 461 | | | | | | | | 57,495 | |
EMS-Chemie Holding AG | | | 55 | | | | | | | | 27,951 | |
Galenica AG | | | 55 | | | | | | | | 62,059 | |
Geberit AG | | | 183 | | | | | | | | 73,358 | |
Givaudan SA | | | 100 | | | | | | | | 183,247 | |
Julius Baer Group, Ltd.* | | | 2,594 | | | | | | | | 115,218 | |
Kuehne + Nagel International AG | | | 173 | | | | | | | | 22,867 | |
LafargeHolcim, Ltd.* | | | 4,629 | | | | | | | | 243,679 | |
Lonza Group AG* | | | 584 | | | | | | | | 101,109 | |
Nestle SA | | | 35,400 | | | | | | | | 2,539,503 | |
Novartis AG | | | 24,967 | | | | | | | | 1,816,807 | |
Pargesa Holding SA | | | 251 | | | | | | | | 16,342 | |
Partners Group Holding AGD | | | 150 | | | | | | | | 70,301 | |
Roche Holding AG | | | 8,105 | | | | | | | | 1,851,343 | |
Schindler Holding AG | | | 586 | | | | | | | | 103,075 | |
SGS SA | | | 61 | | | | | | | | 124,121 | |
Sika AG | | | 24 | | | | | | | | 115,298 | |
Sonova Holding AG | | | 623 | | | | | | | | 75,497 | |
Swatch Group AG (The) | | | 949 | | | | | | | | 143,472 | |
Swiss Prime Site AG* | | | 669 | | | | | | | | 54,759 | |
Swiss Re AG | | | 3,050 | | | | | | | | 289,036 | |
Swisscom AG | | | 278 | | | | | | | | 124,517 | |
Syngenta AG | | | 905 | | | | | | | | 357,716 | |
UBS Group AG* | | | 39,183 | | | | | | | | 613,737 | |
Zurich Insurance Group AG* | | | 1,570 | | | | | | | | 432,317 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 11,529,952 | |
| | | | | | | | | | | | |
United Kingdom — 15.6% | | | | | | | | | | | | |
3i Group PLC | | | 9,582 | | | | | | | | 83,135 | |
Aberdeen Asset Management PLC | | | 11,716 | | | | | | | | 37,151 | |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
Admiral Group PLC | | | 2,090 | | | | | | | $ | 47,059 | |
Anglo American PLC* | | | 14,334 | | | | | | | | 204,918 | |
Antofagasta PLCD | | | 6,400 | | | | | | | | 53,240 | |
Ashtead Group PLC | | | 5,181 | | | | | | | | 100,885 | |
Associated British Foods PLC | | | 5,456 | | | | | | | | 184,574 | |
AstraZeneca PLC | | | 14,751 | | | | | | | | 806,704 | |
Auto Trader Group PLC 144A | | | 10,555 | | | | | | | | 53,203 | |
Aviva PLC | | | 48,236 | | | | | | | | 289,147 | |
Babcock International Group PLC | | | 3,096 | | | | | | | | 36,362 | |
BAE Systems PLC | | | 33,502 | | | | | | | | 244,219 | |
Barclays PLC | | | 156,780 | | | | | | | | 431,743 | |
Barratt Developments PLC | | | 5,701 | | | | | | | | 32,488 | |
Berkeley Group Holdings PLC | | | 1,246 | | | | | | | | 43,119 | |
BHP Billiton PLC | | | 22,353 | | | | | | | | 359,915 | |
BP PLC | | | 203,986 | | | | | | | | 1,281,103 | |
British Land Co. PLC (The) REIT | | | 10,403 | | | | | | | | 80,706 | |
BT Group PLC | | | 91,292 | | | | | | | | 412,795 | |
Bunzl PLC | | | 3,880 | | | | | | | | 100,847 | |
Burberry Group PLC | | | 5,023 | | | | | | | | 92,670 | |
Capita PLC | | | 7,184 | | | | | | | | 47,013 | |
Carnival PLC | | | 2,057 | | | | | | | | 104,571 | |
Centrica PLC | | | 68,982 | | | | | | | | 199,018 | |
Cobham PLC | | | 17,193 | | | | | | | | 34,686 | |
Coca-Cola European Partners PLC | | | 4,852 | | | | | | | | 153,326 | |
Compass Group PLC | | | 21,397 | | | | | | | | 395,811 | |
Croda International PLC | | | 1,285 | | | | | | | | 50,613 | |
Direct Line Insurance Group PLC | | | 12,441 | | | | | | | | 56,638 | |
Dixons Carphone PLC | | | 9,192 | | | | | | | | 40,170 | |
easyJet PLC | | | 1,707 | | | | | | | | 21,142 | |
Fresnillo PLC | | | 2,448 | | | | | | | | 36,837 | |
G4S PLC | | | 14,238 | | | | | | | | 41,235 | |
GKN PLC | | | 19,375 | | | | | | | | 79,203 | |
GlaxoSmithKline PLC | | | 56,569 | | | | | | | | 1,088,964 | |
Hammerson PLC REIT | | | 9,324 | | | | | | | | 65,843 | |
Hargreaves Lansdown PLC | | | 2,583 | | | | | | | | 38,613 | |
Hikma Pharmaceuticals PLCD | | | 2,086 | | | | | | | | 48,665 | |
HSBC Holdings PLC | | | 193,632 | | | | | | | | 1,567,583 | |
IMI PLC | | | 2,914 | | | | | | | | 37,349 | |
Inmarsat PLC | | | 6,175 | | | | | | | | 57,190 | |
Intercontinental Hotels Group PLC | | | 2,203 | | | | | | | | 98,771 | |
Intertek Group PLC | | | 1,829 | | | | | | | | 78,464 | |
Intu Properties PLC REIT | | | 9,698 | | | | | | | | 33,621 | |
Investec PLC | | | 7,632 | | | | | | | | 50,415 | |
ITV PLC | | | 47,151 | | | | | | | | 119,937 | |
J Sainsbury PLCD | | | 27,505 | | | | | | | | 84,506 | |
Johnson Matthey PLC | | | 1,909 | | | | | | | | 74,862 | |
Kingfisher PLC | | | 30,114 | | | | | | | | 130,006 | |
Land Securities Group PLC REIT | | | 8,373 | | | | | | | | 110,000 | |
Legal & General Group PLC | | | 60,308 | | | | | | | | 184,026 | |
Lloyds Banking Group PLC | | | 609,148 | | | | | | | | 469,274 | |
London Stock | | | | | | | | | | | | |
Exchange Group PLC | | | 4,365 | | | | | | | | 156,757 | |
Marks & Spencer Group PLC | | | 17,667 | | | | | | | | 76,205 | |
Mediclinic International PLC | | | 3,843 | | | | | | | | 36,516 | |
Meggitt PLC | | | 10,067 | | | | | | | | 56,897 | |
Merlin Entertainments PLC 144A | | | 7,366 | | | | | | | | 40,723 | |
Mondi PLC | | | 4,308 | | | | | | | | 88,451 | |
National Grid PLC | | | 47,205 | | | | | | | | 553,601 | |
| | | | |
| | See Notes to Financial Statements. | | 207 |
INTERNATIONAL EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Shares | | | Value | |
Next PLC | | | 1,452 | | | | | | | $ | 89,169 | |
Old Mutual PLC | | | 53,546 | | | | | | | | 136,798 | |
Pearson PLC | | | 9,585 | | | | | | | | 96,686 | |
Persimmon PLC | | | 3,346 | | | | | | | | 73,236 | |
Provident Financial PLC | | | 1,851 | | | | | | | | 64,991 | |
Prudential PLC | | | 32,119 | | | | | | | | 644,224 | |
Reckitt Benckiser | | | | | | | | | | | | |
Group PLC | | | 8,974 | | | | | | | | 761,565 | |
RELX PLC | | | 12,372 | | | | | | | | 220,934 | |
Rio Tinto PLC | | | 13,114 | | | | | | | | 510,470 | |
Rolls-Royce Holdings PLC+* | | | 894,838 | | | | | | | | 1,103 | |
Rolls-Royce Holdings PLC* | | | 19,453 | | | | | | | | 160,146 | |
Royal Bank of Scotland | | | | | | | | | | | | |
Group PLC* | | | 26,652 | | | | | | | | 73,772 | |
Royal Dutch Shell PLC, | | | | | | | | | | | | |
A Shares | | | 45,289 | | | | | | | | 1,251,640 | |
Royal Dutch Shell PLC, | | | | | | | | | | | | |
B Shares | | | 38,279 | | | | | | | | 1,110,507 | |
Royal Mail PLC | | | 8,349 | | | | | | | | 47,547 | |
RSA Insurance Group PLC | | | 11,830 | | | | | | | | 85,435 | |
Sage Group PLC (The) | | | 10,537 | | | | | | | | 85,057 | |
Schroders PLC | | | 1,632 | | | | | | | | 60,298 | |
Segro PLC REIT | | | 7,707 | | | | | | | | 43,511 | |
Severn Trent PLC | | | 4,038 | | | | | | | | 110,577 | |
Sky PLC | | | 12,731 | | | | | | | | 155,486 | |
Smith & Nephew PLC | | | 12,106 | | | | | | | | 182,167 | |
Smiths Group PLC | | | 4,838 | | | | | | | | 84,427 | |
SSE PLC | | | 14,316 | | | | | | | | 273,998 | |
St. James’s Place PLC | | | 6,083 | | | | | | | | 76,017 | |
Standard Chartered PLC* | | | 34,320 | | | | | | | | 280,678 | |
Standard Life PLC | | | 23,344 | | | | | | | | 107,022 | |
Tate & Lyle PLC | | | 11,792 | | | | | | | | 102,818 | |
Taylor Wimpey PLC | | | 35,050 | | | | | | | | 66,306 | |
Tesco PLC* | | | 104,660 | | | | | | | | 266,803 | |
Travis Perkins PLC | | | 1,607 | | | | | | | | 28,757 | |
Unilever PLC | | | 21,263 | | | | | | | | 862,789 | |
United Utilities Group PLC | | | 6,575 | | | | | | | | 73,009 | |
Vodafone Group PLC | | | 280,698 | | | | | | | | 691,349 | |
Weir Group PLC (The) | | | 2,386 | | | | | | | | 55,576 | |
Whitbread PLC | | | 1,997 | | | | | | | | 92,932 | |
WM Morrison | | | | | | | | | | | | |
Supermarkets PLC | | | 30,812 | | | | | | | | 87,604 | |
Worldpay Group PLC 144A | | | 17,529 | | | | | | | | 58,306 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 20,757,195 | |
| | | | | | | | | | | | |
Total Foreign Common Stocks
(Cost $134,482,983) | | | | 124,340,537 | |
| | | | | | | | | | | | |
FOREIGN PREFERRED STOCKS — 0.6% | |
Germany — 0.6% | | | | | | | | | | | | |
Bayerische Motoren Werke AG | | | | | | | | | | | | |
4.34%, 05/13/16 | | | 887 | | | | | | | | 67,880 | |
FUCHS PETROLUB SE | | | | | | | | | | | | |
2.03%, 05/05/16 | | | 942 | | | | | | | | 39,545 | |
Henkel AG & Co. KGaA | | | | | | | | | | | | |
1.30%, 04/12/16 | | | 2,017 | | | | | | | | 240,453 | |
Porsche Automobil Holding SE | | | | | | | | | | | | |
1.88%, 06/30/16 | | | 1,662 | | | | | | | | 90,520 | |
Schaeffler AG | | | | | | | | | | | | |
2.48%, 04/25/16 | | | 1,753 | | | | | | | | 25,936 | |
Volkswagen AG | | | | | | | | | | | | |
0.12%, 06/23/16 | | | 1,943 | | | | | | | | 272,741 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 737,075 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
United Kingdom — 0.0% | | | | | | | | | | | | |
Rolls-Royce Holdings PLC | | | | | | | | | | | | |
0.00%, 02/14/17+* | | | 1,248,393 | | | | | | | $ | 1,538 | |
| | | | | | | | | | | | |
Total Foreign Preferred Stocks
(Cost $903,018) | | | | | | | | 738,613 | |
| | | | | | | | | | | | |
RIGHTS — 0.0% | | | | | | | | | | | | |
Repsol SA* | | | | | | | | | | | | |
(Cost $3,293) | | | 9,441 | | | | | | | | 3,498 | |
| | | | | | | | | | | | |
MONEY MARKET FUNDS — 7.1% | |
GuideStone Money | | | | | | | | | | | | |
Market Fund | | | | | | | | | | | | |
(Institutional Class)¥ | | | 6,944,453 | | | | | | | | 6,944,453 | |
Northern Institutional Liquid | | | | | | | | | | | | |
Assets Portfolio§ | | | 2,545,642 | | | | | | | | 2,545,642 | |
| | | | | | | | | | | | |
Total Money Market Funds
(Cost $9,490,095) | | | | | | | | 9,490,095 | |
| | | | | | | | | | | | |
| | | Par | | | | | | | |
U.S. TREASURY OBLIGATIONS — 0.3% | |
U.S. Treasury Bills | | | | | | | | | | | | |
0.53%, 05/04/17W‡‡ | | $ | 100,000 | | | | | | | | 99,805 | |
0.60%, 06/22/17W‡‡ | | | 300,000 | | | | | | | | 299,130 | |
| | | | | | | | | | | | |
Total U.S. Treasury Obligations
(Cost $398,983) | | | | 398,935 | |
| | | | | | | | | | | | |
TOTAL INVESTMENTS — 101.5%
(Cost $145,278,372) | | | | 134,971,678 | |
Liabilities in Excess of Other
Assets — (1.5)% | | | | | | | | (1,950,521 | ) |
| | | | | | | | | | | | |
NET ASSETS — 100.0% | | | | | | | | | | $ | 133,021,157 | |
| | | | | | | | | | | | |
| | | | |
| 208 | | See Notes to Financial Statements. | | |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2016, 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: | | | | | | | | | | | | | | | | |
Australia | | $ | 9,087,610 | | | $ | 9,087,610 | | | $ | — | | | $ | — | |
Austria | | | 253,476 | | | | 253,476 | | | | — | | | | — | |
Belgium | | | 892,734 | | | | 892,734 | | | | — | | | | — | |
Bermuda | | | 335,980 | | | | 335,980 | | | | — | | | | — | |
Denmark | | | 1,636,544 | | | | 1,636,544 | | | | — | | | | — | |
Finland | | | 1,318,198 | | | | 1,318,198 | | | | — | | | | — | |
France | | | 12,158,403 | | | | 12,158,403 | | | | — | | | | — | |
Germany | | | 10,831,530 | | | | 10,831,530 | | | | — | | | | — | |
Hong Kong | | | 3,660,063 | | | | 3,660,063 | | | | — | | | | — | |
Ireland | | | 723,473 | | | | 723,473 | | | | — | | | | — | |
Israel | | | 719,699 | | | | 719,699 | | | | — | | | | — | |
Italy | | | 2,217,322 | | | | 2,217,322 | | | | — | | | | — | |
Japan | | | 30,044,344 | | | | 30,044,344 | | | | — | | | | — | |
Jersey | | | 1,853,335 | | | | 1,853,335 | | | | — | | | | — | |
Luxembourg | | | 457,146 | | | | 457,146 | | | | — | | | | — | |
Mauritius | | | 18,618 | | | | 18,618 | | | | — | | | | — | |
Netherlands | | | 5,085,987 | | | | 5,085,987 | | | | — | | | | — | |
New Zealand | | | 206,001 | | | | 206,001 | | | | — | | | | — | |
Norway | | | 1,068,592 | | | | 1,068,592 | | | | — | | | | — | |
Papua New Guinea | | | 78,742 | | | | 78,742 | | | | — | | | | — | |
Portugal | | | 182,941 | | | | 182,941 | | | | — | | | | — | |
Singapore | | | 1,585,792 | | | | 1,585,792 | | | | — | | | | — | |
Spain | | | 3,958,778 | | | | 3,958,778 | | | | — | | | | — | |
Sweden | | | 3,678,082 | | | | 3,678,082 | | | | — | | | | — | |
Switzerland | | | 11,529,952 | | | | 11,529,952 | | | | — | | | | — | |
United Kingdom | | | 20,757,195 | | | | 20,756,092 | | | | — | | | | 1,103 | |
Foreign Preferred Stocks: | | | | | | | | | | | | | | | | |
Germany | | | 737,075 | | | | 737,075 | | | | — | | | | — | |
United Kingdom | | | 1,538 | | | | — | | | | — | | | | 1,538 | |
Money Market Funds | | | 9,490,095 | | | | 9,490,095 | | | | — | | | | — | |
Rights | | | 3,498 | | | | 3,498 | | | | — | | | | — | |
U.S. Treasury Obligations | | | 398,935 | | | | — | | | | 398,935 | | | | — | |
| | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | $ | 134,971,678 | | | $ | 134,570,102 | | | $ | 398,935 | | | $ | 2,641 | |
| | | | | | | | | | | | | | | | |
| | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | (37,291 | ) | | $ | (37,291 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | $ | (37,291 | ) | | $ | (37,291 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
***Other financial instruments are derivative instruments not reflected in the Schedule of Investments (such as futures contracts), which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the “Financial Futures Contracts” disclosure in the Notes to Financial Statements.
There were no transfers between Level 1, Level 2 and Level 3 during the year ended December 31, 2016.
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 year ended December 31, 2016.
| | | | |
| | See Notes to Financial Statements. | | 209 |
International Equity Fund (Unaudited)
Developed non-U.S. markets underperformed their U.S. counterparts and were negatively impacted by slower economic growth, reliance on further monetary policy and the U.S. dollar, which strengthened against most currencies during the year. The MSCI EAFE Index, a measure of international developed country returns, posted a fourth quarter return of -0.71%, bringing the return to 1.00% for the one-year period ended December 31, 2016. Value styles outperformed growth styles, and small capitalization stocks generally outperformed large capitalization stocks during the year. From a country perspective, the best performers were natural resource export economies including Norway, New Zealand and Australia, which benefited from commodity price strength. Meanwhile, Denmark and Israel were among the worst performing countries for the year. In a reversal from last year, the strongest performance was registered in the energy and materials sectors, while the weakest performance came from the healthcare sector.
The Fund continued to be invested in markets deemed to be developed and, to a much lesser extent, in markets deemed to be emerging or non-developed. The Fund was primarily comprised of equities of foreign companies and was diversified among a large number of companies across different industries and economic sectors. The Investor Class of the Fund outperformed its benchmark, the MSCI EAFE Index, for the one-year period ended December 31, 2016 (2.62% versus 1.00%). On a country basis, underweight exposure and security selection within Japan and security selection within Denmark and Italy positively impacted benchmark-relative performance. Tactical exposure to emerging markets also had a positive impact during the period. On the negative side, security selection within the United Kingdom and Sweden detracted from benchmark-relative performance. On a sector basis, security selection to the healthcare and technology sectors contributed, while underweight exposure and security selection to the materials sector detracted from benchmark-relative returns during the year.
Within the Fund, certain derivatives were utilized to express active views in currency and country selection. These derivative positions primarily included currency forward contracts, stock index futures and stock index future swaps. 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. It is possible to lose money by investing in the Fund.
At December 31, 2016, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
| | | | |
| | | % | |
Financial Services | | | 18.2 | |
Technology | | | 17.7 | |
Consumer Discretionary | | | 17.2 | |
Producer Durables | | | 14.6 | |
Healthcare | | | 8.9 | |
Materials & Processing | | | 8.2 | |
Money Market Funds | | | 6.5 | |
Consumer Staples | | | 5.5 | |
Energy | | | 5.3 | |
Utilities | | | 3.0 | |
U.S. Treasury Obligations | | | 0.2 | |
Foreign Preferred Stocks | | | 0.1 | |
Foreign Preferred Stocks Sold Short | | | (0.1 | ) |
Foreign Common Stocks Sold Short | | | (4.9 | ) |
| | | | |
| | | 100.4 | |
| | | | |
210
International Equity Fund (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| Average Annual Total Returns as of 12/31/16 | | | | |
| | | Institutional Class* | | | | | Investor Class* | | | | | Benchmark** | | | | |
One Year | | 2.96% | | | | | | 2.62% | | | | | | | 1.00% | | | | | |
Five Year | | 5.77% | | | | | | 5.49% | | | | | | | 6.53% | | | | | |
Ten Year | | 0.68% | | | | | | 0.45% | | | | | | | 0.75% | | | | | |
Since Inception | | 5.02% | | | | | | 4.81% | | | | | | | 4.65% | | | | | |
Inception Date | | 08/27/01 | | | | | | 08/27/01 | | | | | | | | | | | | |
Total Fund Operating Expenses (May 1, 2016 Prospectus)(1) | | 1.00% | | | | | | 1.34% | | | | | | | | | | | | |
(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 GuideStoneFunds.com. 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 Investor Class of the Fund for the 10-year period from December 31, 2006 to December 31, 2016, with all dividends and capital gains reinvested, with the MSCI EAFE 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.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
211
| | |
INTERNATIONAL EQUITY FUND SCHEDULE OF INVESTMENTS | | December 31, 2016 |
| | | | | | | | |
| | | Shares | | | Value | |
FOREIGN COMMON STOCKS — 98.6% | |
Australia — 2.3% | | | | | | | | |
AGL Energy, Ltd. | | | 25,831 | | | $ | 411,780 | |
ASX, Ltd. | | | 2,303 | | | | 82,666 | |
Aurizon Holdings, Ltd. | | | 47,037 | | | | 171,419 | |
Australia & New Zealand Banking Group, Ltd. | | | 76,884 | | | | 1,687,808 | |
Bendigo and Adelaide
Bank, Ltd. | | | 46,701 | | | | 428,351 | |
BHP Billiton, Ltd. | | | 58,894 | | | | 1,065,074 | |
Caltex Australia, Ltd. | | | 28,277 | | | | 621,571 | |
CIMIC Group, Ltd. | | | 91,255 | | | | 2,300,951 | |
Coca-Cola Amatil, Ltd. | | | 48,065 | | | | 351,024 | |
Cochlear, Ltd. | | | 4,587 | | | | 405,667 | |
Computershare, Ltd. | | | 5,607 | | | | 50,417 | |
Dexus Property Group REIT | | | 12,849 | | | | 89,202 | |
Flight Centre Travel Group, Ltd. | | | 7,220 | | | | 163,083 | |
Fortescue Metals Group, Ltd. | | | 369,604 | | | | 1,571,013 | |
Goodman Group REIT | | | 30,218 | | | | 155,483 | |
GPT Group (The) REIT+* | | | 63,198 | | | | — | |
GPT Group (The) REIT | | | 23,870 | | | | 86,646 | |
Lend Lease Group | | | 323,499 | | | | 3,413,093 | |
Mirvac Group REIT | | | 50,120 | | | | 77,040 | |
National Australia Bank, Ltd. | | | 47,040 | | | | 1,041,140 | |
Newcrest Mining, Ltd. | | | 96,978 | | | | 1,417,184 | |
Origin Energy, Ltd. | | | 123,863 | | | | 589,054 | |
QBE Insurance Group, Ltd. | | | 1,025,211 | | | | 9,188,882 | |
Rio Tinto, Ltd. | | | 8,019 | | | | 346,637 | |
Scentre Group REIT | | | 93,514 | | | | 313,128 | |
South32, Ltd. | | | 1,063,899 | | | | 2,111,353 | |
Stockland REIT | | | 41,895 | | | | 138,470 | |
Vicinity Centres REIT | | | 52,810 | | | | 113,950 | |
Westfield Corporation REIT | | | 35,358 | | | | 239,342 | |
Westpac Banking Corporation | | | 23,454 | | | | 551,775 | |
WorleyParsons, Ltd.* | | | 30,017 | | | | 210,553 | |
| | | | | | | | |
| | | | | | | 29,393,756 | |
| | | | | | | | |
Austria — 0.4% | | | | | | | | |
Erste Group Bank AG* | | | 185,240 | | | | 5,425,696 | |
| | | | | | | | |
Belgium — 0.3% | | | | | | | | |
Ageas | | | 30,375 | | | | 1,202,556 | |
bpost SA | | | 30,046 | | | | 711,631 | |
Galapagos NV* | | | 6,021 | | | | 386,239 | |
Groupe Bruxelles
Lambert SA | | | 415 | | | | 34,826 | |
KBC Groep NV* | | | 9,911 | | | | 613,765 | |
Proximus SADP | | | 25,124 | | | | 723,586 | |
Umicore SA | | | 7,146 | | | | 407,330 | |
| | | | | | | | |
| | | | | | | 4,079,933 | |
| | | | | | | | |
Bermuda — 0.4% | | | | | | | | |
Cheung Kong Infrastructure Holdings, Ltd. | | | 11,000 | | | | 87,523 | |
Jardine Matheson
Holdings, Ltd. | | | 54,200 | | | | 2,994,550 | |
Kerry Properties, Ltd. | | | 316,500 | | | | 859,156 | |
Li & Fung, Ltd. | | | 468,000 | | | | 205,801 | |
NWS Holdings, Ltd. | | | 19,000 | | | | 30,970 | |
Yue Yuen Industrial
Holdings, Ltd. | | | 237,500 | | | | 862,161 | |
| | | | | | | | |
| | | | | | | 5,040,161 | |
| | | | | | | | |
| | | | | | | | |
| | | Shares | | | Value | |
Brazil — 0.3% | | | | | | | | |
Embraer SA ADR | | | 172,600 | | | $ | 3,322,550 | |
| | | | | | | | |
Canada — 0.8% | | | | | | | | |
Canadian National
Railway Co.D | | | 116,215 | | | | 7,832,891 | |
Suncor Energy, Inc. | | | 96,403 | | | | 3,152,044 | |
| | | | | | | | |
| | | | | | | 10,984,935 | |
| | | | | | | | |
China — 4.0% | | | | | | | | |
Alibaba Group Holding, Ltd. ADRD* | | | 127,744 | | | | 11,217,201 | |
Baidu, Inc. ADR* | | | 79,010 | | | | 12,990,034 | |
Ctrip.com International, Ltd. ADRD* | | | 114,608 | | | | 4,584,320 | |
JD.com, Inc. ADRD* | | | 51,674 | | | | 1,314,587 | |
New Oriental Education & Technology Group, Inc. ADR* | | | 111,625 | | | | 4,699,412 | |
TAL Education Group ADRD* | | | 29,634 | | | | 2,078,825 | |
Tencent Holdings, Ltd. | | | 577,300 | | | | 14,122,614 | |
| | | | | | | | |
| | | | | | | 51,006,993 | |
| | | | | | | | |
Colombia — 0.1% | | | | | | | | |
Ecopetrol SA ADRD* | | | 136,200 | | | | 1,232,610 | |
| | | | | | | | |
Czech Republic — 0.0% | | | | | | | | |
Komercni Banka AS | | | 13,500 | | | | 465,418 | |
| | | | | | | | |
Denmark — 1.4% | | | | | | | | |
Chr. Hansen Holding A/S | | | 28,397 | | | | 1,572,540 | |
Danske Bank A/S | | | 2,903 | | | | 88,046 | |
Genmab A/S* | | | 35,935 | | | | 5,968,390 | |
GN Store Nord A/S | | | 11,340 | | | | 234,909 | |
H Lundbeck A/S* | | | 29,555 | | | | 1,202,287 | |
ISS A/S | | | 114,935 | | | | 3,879,717 | |
Novozymes A/S, B Shares | | | 60,736 | | | | 2,094,048 | |
TDC A/S* | | | 75,235 | | | | 386,269 | |
Vestas Wind Systems A/S | | | 32,285 | | | | 2,098,239 | |
| | | | | | | | |
| | | | | | | 17,524,445 | |
| | | | | | | | |
Finland — 0.3% | | | | | | | | |
Cargotec OYJ, B Shares | | | 4,176 | | | | 188,539 | |
Kesko OYJ, B Shares | | | 8,145 | | | | 407,087 | |
Neste OYJ | | | 23,671 | | | | 909,484 | |
Orion OYJ Class B | | | 14,507 | | | | 645,804 | |
Stora Enso OYJ, R Shares | | | 20,613 | | | | 221,540 | |
UPM-Kymmene OYJ | | | 63,952 | | | | 1,571,233 | |
| | | | | | | | |
| | | | | | | 3,943,687 | |
| | | | | | | | |
France — 9.2% | | | | | | | | |
Air France-KLM* | | | 36,024 | | | | 196,202 | |
Air Liquide SA | | | 33,800 | | | | 3,758,995 | |
Alstom SA* | | | 2,600 | | | | 71,638 | |
Arkema SA | | | 7,541 | | | | 737,764 | |
Atos SE | | | 25,408 | | | | 2,681,269 | |
AXA SA | | | 19,440 | | | | 490,819 | |
BNP Paribas SA | | | 47,237 | | | | 3,010,801 | |
Capgemini SA | | | 21,973 | | | | 1,853,866 | |
Casino Guichard Perrachon SA | | | 15,127 | | | | 725,952 | |
Christian Dior SE | | | 24,633 | | | | 5,166,556 | |
Cie de St-Gobain | | | 290,417 | | | | 13,529,131 | |
Cie Generale des
Etablissements Michelin | | | 25,066 | | | | 2,788,981 | |
Danone SA | | | 94,256 | | | | 5,972,980 | |
Eiffage SA | | | 4,780 | | | | 333,349 | |
Engie SA | | | 244,885 | | | | 3,124,283 | |
| | | | |
| 212 | | See Notes to Financial Statements. | | |
| | | | | | | | |
| | | Shares | | | Value | |
Essilor International SA | | | 17,650 | | | $ | 1,994,492 | |
Faurecia | | | 21,939 | | | | 850,674 | |
Gecina SA REIT | | | 674 | | | | 93,262 | |
Kering | | | 19,365 | | | | 4,348,044 | |
Klepierre REIT | | | 4,327 | | | | 170,100 | |
Lagardere SCA | | | 65,682 | | | | 1,824,961 | |
L’Oreal SA | | | 60,978 | | | | 11,130,324 | |
Orange SA | | | 59,164 | | | | 899,000 | |
Peugeot SA* | | | 193,798 | | | | 3,161,014 | |
Plastic Omnium SA | | | 2,569 | | | | 82,020 | |
Renault SA | | | 4,003 | | | | 356,106 | |
Rexel SA | | | 8,549 | | | | 140,702 | |
Safran SA | | | 4,000 | | | | 288,090 | |
Sanofi | | | 235,976 | | | | 19,102,038 | |
Schneider Electric SE | | | 118,889 | | | | 8,273,597 | |
SCOR SE | | | 13,764 | | | | 475,665 | |
SEB SA | | | 1,212 | | | | 164,261 | |
Societe BIC SA | | | 7,599 | | | | 1,033,086 | |
Societe Generale SA | | | 145,184 | | | | 7,143,967 | |
Sodexo SA | | | 4,328 | | | | 497,503 | |
Suez | | | 9,930 | | | | 146,497 | |
Technip SA | | | 78,834 | | | | 5,627,206 | |
Teleperformance | | | 7,901 | | | | 792,612 | |
Thales SA | | | 7,946 | | | | 770,611 | |
TOTAL SA | | | 2,986 | | | | 153,138 | |
Ubisoft Entertainment SA* | | | 11,169 | | | | 397,390 | |
Unibail-Rodamco SE REIT | | | 1,666 | | | | 397,656 | |
Valeo SA | | | 43,721 | | | | 2,513,320 | |
Veolia Environnement SA | | | 37,483 | | | | 638,211 | |
Vinci SA | | | 9,965 | | | | 678,683 | |
| | | | | | | | |
| | | | | | | 118,586,816 | |
| | | | | | | | |
Germany — 7.9% | | | | | | | | |
AIXTRON SE* | | | 137,111 | | | | 447,280 | |
Allianz SE | | | 53,786 | | | | 8,889,031 | |
Aurubis AG | | | 16,637 | | | | 959,712 | |
BASF SE | | | 38,957 | | | | 3,621,437 | |
Bayerische Motoren Werke AG | | | 15,042 | | | | 1,405,269 | |
Beiersdorf AG | | | 73,748 | | | | 6,257,067 | |
Covestro AG 144A | | | 38,152 | | | | 2,617,684 | |
Daimler AG | | | 97,859 | | | | 7,284,983 | |
Deutsche Boerse AG* | | | 57,126 | | | | 4,662,782 | |
Deutsche Post AG | | | 31,089 | | | | 1,022,195 | |
Deutsche Telekom AG | | | 436,847 | | | | 7,520,824 | |
Deutsche Wohnen AG | | | 6,238 | | | | 195,943 | |
Evonik Industries AG | | | 10,105 | | | | 301,880 | |
Freenet AG | | | 35,755 | | | | 1,007,183 | |
Fresenius SE & Co. KGaA | | | 5,433 | | | | 424,698 | |
Hannover Rueck SE | | | 3,762 | | | | 407,097 | |
HeidelbergCement AG | | | 899 | | | | 83,874 | |
HOCHTIEF AG | | | 8,198 | | | | 1,148,176 | |
Infineon Technologies AG | | | 59,961 | | | | 1,042,081 | |
KION Group AG | | | 11,012 | | | | 612,744 | |
LANXESS AG | | | 4,849 | | | | 318,254 | |
Linde AG | | | 60,544 | | | | 9,948,545 | |
METRO AG | | | 2,252 | | | | 74,875 | |
MorphoSys AGD* | | | 20,344 | | | | 1,043,990 | |
Muenchener Rueckversicherungs- Gesellschaft AG | | | 8,267 | | | | 1,563,366 | |
OSRAM Licht AG | | | 36,686 | | | | 1,924,125 | |
Rheinmetall AG | | | 22,294 | | | | 1,499,596 | |
RHOEN KLINIKUM AG | | | 6,954 | | | | 187,835 | |
Rocket Internet SE 144AD* | | | 51,093 | | | | 1,029,142 | |
| | | | | | | | |
| | | Shares | | | Value | |
RWE AG* | | | 71,970 | | | $ | 895,098 | |
Salzgitter AG | | | 8,731 | | | | 308,349 | |
SAP SE | | | 220,156 | | | | 19,191,055 | |
Siemens AG | | | 7,556 | | | | 929,010 | |
Software AG | | | 30,818 | | | | 1,118,717 | |
STADA Arzneimittel AG | | | 44,923 | | | | 2,325,878 | |
Suedzucker AG | | | 76,483 | | | | 1,826,775 | |
Talanx AG | | | 7,358 | | | | 246,072 | |
thyssenKrupp AG | | | 2,861 | | | | 68,184 | |
Vonovia SE | | | 8,154 | | | | 265,268 | |
Zalando SE 144AD* | | | 163,753 | | | | 6,255,496 | |
| | | | | | | | |
| | | | | | | 100,931,570 | |
| | | | | | | | |
Hong Kong — 2.5% | | | | | | | | |
AIA Group, Ltd. | | | 2,954,200 | | | | 16,667,258 | |
ASM Pacific Technology, Ltd. | | | 3,100 | | | | 32,841 | |
Cheung Kong Property Holdings, Ltd. | | | 45,000 | | | | 275,937 | |
China Mobile, Ltd. | | | 429,000 | | | | 4,547,527 | |
CLP Holdings, Ltd. | | | 8,500 | | | | 78,100 | |
Global Brands Group Holding, Ltd.* | | | 3,366,924 | | | | 447,215 | |
Guangdong Investment, Ltd. | | | 1,521,000 | | | | 2,008,516 | |
Hong Kong Exchanges and Clearing, Ltd. | | | 127,907 | | | | 3,021,802 | |
Link REIT | | | 41,000 | | | | 266,478 | |
New World Development Co., Ltd. | | | 1,089,000 | | | | 1,151,564 | |
PCCW, Ltd. | | | 62,000 | | | | 33,581 | |
Sino Land Co., Ltd. | | | 564,000 | | | | 845,145 | |
Sun Hung Kai Properties, Ltd. | | | 54,000 | | | | 682,442 | |
WH Group, Ltd. 144A | | | 844,500 | | | | 682,831 | |
Wharf Holdings, Ltd. (The) | | | 43,000 | | | | 285,853 | |
Wheelock & Co., Ltd. | | | 129,000 | | | | 726,140 | |
| | | | | | | | |
| | | | | | | 31,753,230 | |
| | | | | | | | |
India — 0.6% | | | | | | | | |
Housing Development Finance Corporation, Ltd. | | | 96,395 | | | | 1,793,256 | |
Tata Consultancy Services, Ltd. | | | 186,383 | | | | 6,496,218 | |
| | | | | | | | |
| | | | | | | 8,289,474 | |
| | | | | | | | |
Ireland — 0.7% | | | | | | | | |
CRH PLC | | | 262,951 | | | | 9,170,973 | |
DCC PLC | | | 4,864 | | | | 362,063 | |
| | | | | | | | |
| | | | | | | 9,533,036 | |
| | | | | | | | |
Isle of Man (U.K.) — 0.0% | | | | | | | | |
Paysafe Group PLC* | | | 28,903 | | | | 132,258 | |
| | | | | | | | |
Italy — 2.4% | | | | | | | | |
A2A SpA | | | 2,576,749 | | | | 3,336,282 | |
Autogrill SpA | | | 54,656 | | | | 493,928 | |
BPER Banca | | | 296,925 | | | | 1,581,550 | |
Enel SpA | | | 1,694,303 | | | | 7,469,358 | |
Eni SpA | | | 818,365 | | | | 13,326,708 | |
FinecoBank Banca Fineco SpA | | | 12,562 | | | | 70,481 | |
Intesa Sanpaolo SpA | | | 431,132 | | | | 1,100,998 | |
Leonardo SpA* | | | 87,654 | | | | 1,230,872 | |
Mediobanca SpA | | | 39,724 | | | | 324,280 | |
Prysmian SpA | | | 38,264 | | | | 982,801 | |
Recordati SpA | | | 14,023 | | | | 397,376 | |
Unipol Gruppo Finanziario SpA | | | 76,382 | | | | 275,303 | |
| | | | | | | | |
| | | | | | | 30,589,937 | |
| | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 213 |
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | |
| | | Shares | | | Value | |
Japan — 16.6% | | | | | | | | |
Advantest Corporation | | | 34,500 | | | $ | 580,928 | |
Ajinomoto Co., Inc. | | | 13,700 | | | | 275,934 | |
Alfresa Holdings Corporation | | | 5,100 | | | | 84,393 | |
Amada Holdings Co., Ltd. | | | 67,400 | | | | 752,573 | |
Aozora Bank, Ltd. | | | 20,000 | | | | 70,674 | |
Asahi Kasei Corporation | | | 37,000 | | | | 322,751 | |
Astellas Pharma, Inc. | | | 431,700 | | | | 5,996,705 | |
Bandai Namco Holdings, Inc. | | | 69,200 | | | | 1,909,476 | |
Brother Industries, Ltd. | | | 42,300 | | | | 763,300 | |
Canon, Inc. | | | 458,950 | | | | 12,938,954 | |
Chubu Electric Power Co., Inc. | | | 28,700 | | | | 401,002 | |
Citizen Holdings Co., Ltd. | | | 69,600 | | | | 416,260 | |
COOKPAD, Inc.D* | | | 76,300 | | | | 701,797 | |
Daicel Corporation | | | 22,000 | | | | 242,824 | |
Daiichi Sankyo Co., Ltd. | | | 23,900 | | | | 489,043 | |
Daikin Industries, Ltd. | | | 87,100 | | | | 8,000,158 | |
Daito Trust Construction Co., Ltd. | | | 1,000 | | | | 150,417 | |
Daiwa House Industry Co., Ltd. | | | 9,100 | | | | 248,844 | |
DeNA Co., Ltd. | | | 4,800 | | | | 104,892 | |
Denso Corporation | | | 166,400 | | | | 7,208,412 | |
Don Quijote Holdings Co., Ltd. | | | 48,200 | | | | 1,783,658 | |
Fuji Electric Co., Ltd. | | | 1,302,000 | | | | 6,750,905 | |
Fuji Heavy Industries, Ltd. | | | 16,900 | | | | 690,026 | |
FUJIFILM Holdings Corporation | | | 38,100 | | | | 1,445,763 | |
Fujitsu, Ltd. | | | 178,000 | | | | 989,185 | |
Fukuoka Financial Group, Inc. | | | 77,000 | | | | 341,929 | |
GungHo Online Entertainment, Inc.* | | | 64,300 | | | | 136,990 | |
Haseko Corporation | | | 102,700 | | | | 1,044,794 | |
Hitachi Chemical Co., Ltd. | | | 59,600 | | | | 1,490,574 | |
Hitachi Construction Machinery Co., Ltd. | | | 19,500 | | | | 422,284 | |
Hitachi High-Technologies Corporation | | | 37,900 | | | | 1,528,971 | |
Hitachi Metals, Ltd. | | | 17,500 | | | | 237,176 | |
Hitachi, Ltd. | | | 874,000 | | | | 4,726,143 | |
Honda Motor Co., Ltd. | | | 327,500 | | | | 9,569,305 | |
Hoya Corporation | | | 271,700 | | | | 11,416,631 | |
Idemitsu Kosan Co., Ltd. | | | 8,600 | | | | 228,475 | |
IHI CorporationD* | | | 1,765,000 | | | | 4,590,888 | |
ITOCHU Corporation | | | 34,600 | | | | 459,458 | |
Itochu Techno-Solutions Corporation | | | 3,900 | | | | 101,442 | |
J. Front Retailing Co., Ltd. | | | 15,700 | | | | 211,572 | |
Japan Real Estate Investment Corporation REIT | | | 13 | | | | 70,853 | |
Japan Retail Fund Investment Corporation REIT | | | 34 | | | | 68,829 | |
JTEKT Corporation | | | 29,200 | | | | 467,200 | |
Kajima Corporation | | | 66,000 | | | | 456,847 | |
Kaken Pharmaceutical Co., Ltd. | | | 12,700 | | | | 673,711 | |
Kaneka Corporation | | | 43,000 | | | | 350,255 | |
Konami Holdings Corporation | | | 48,000 | | | | 1,938,481 | |
Konica Minolta, Inc. | | | 77,900 | | | | 773,834 | |
Kyushu Financial Group, Inc. | | | 21,500 | | | | 145,878 | |
Kyushu Railway Co.* | | | 56,000 | | | | 1,466,182 | |
Lion Corporation | | | 4,000 | | | | 65,711 | |
M3, Inc. | | | 239,000 | | | | 6,022,289 | |
| | | | | | | | |
| | | Shares | | | Value | |
Matsumotokiyoshi Holdings Co., Ltd. | | | 6,100 | | | $ | 300,629 | |
Mazda Motor Corporation | | | 62,000 | | | | 1,014,280 | |
Medipal Holdings Corporation | | | 12,800 | | | | 201,843 | |
MEIJI Holdings Co., Ltd. | | | 17,800 | | | | 1,395,063 | |
Mitsubishi Chemical Holdings Corporation | | | 65,200 | | | | 422,859 | |
Mitsubishi Corporation | | | 42,500 | | | | 905,455 | |
Mitsubishi Electric Corporation | | | 438,800 | | | | 6,117,858 | |
Mitsubishi Estate Co., Ltd. | | | 22,000 | | | | 438,118 | |
Mitsubishi Gas Chemical Co., Inc. | | | 40,700 | | | | 694,729 | |
Mitsubishi Tanabe Pharma Corporation | | | 10,900 | | | | 213,850 | |
Mitsubishi UFJ Financial Group, Inc. | | | 189,600 | | | | 1,168,342 | |
Mitsui Chemicals, Inc. | | | 518,000 | | | | 2,326,845 | |
Mitsui Fudosan Co., Ltd. | | | 16,000 | | | | 370,310 | |
Mixi, Inc. | | | 34,300 | | | | 1,253,142 | |
Mizuho Financial Group, Inc. | | | 427,600 | | | | 767,576 | |
MS&AD Insurance Group Holdings, Inc. | | | 61,800 | | | | 1,916,263 | |
Nexon Co., Ltd. | | | 78,700 | | | | 1,140,687 | |
NHK Spring Co., Ltd. | | | 7,300 | | | | 69,580 | |
Nippon Building Fund, Inc. REIT | | | 15 | | | | 83,037 | |
Nippon Express Co., Ltd. | | | 285,000 | | | | 1,533,818 | |
Nippon Shokubai Co., Ltd. | | | 4,600 | | | | 287,315 | |
Nippon Telegraph & Telephone Corporation | | | 30,000 | | | | 1,260,834 | |
Nitto Denko Corporation | | | 5,300 | | | | 406,723 | |
NTN Corporation | | | 162,000 | | | | 655,624 | |
NTT DOCOMO, Inc. | | | 63,500 | | | | 1,446,849 | |
ORIX Corporation | | | 65,100 | | | | 1,015,978 | |
Otsuka Corporation | | | 1,500 | | | | 70,075 | |
Pigeon CorporationD | | | 51,900 | | | | 1,327,308 | |
Rakuten, Inc.* | | | 444,500 | | | | 4,356,575 | |
Resona Holdings, Inc. | | | 374,000 | | | | 1,918,400 | |
Rohm Co., Ltd. | | | 11,400 | | | | 656,445 | |
SBI Holdings, Inc. | | | 94,000 | | | | 1,195,961 | |
Secom Co., Ltd. | | | 117,700 | | | | 8,608,339 | |
Seiko Epson Corporation | | | 11,400 | | | | 241,412 | |
Sekisui House, Ltd. | | | 7,300 | | | | 121,516 | |
Shimamura Co., Ltd. | | | 5,700 | | | | 711,555 | |
Shinsei Bank, Ltd. | | | 37,000 | | | | 62,049 | |
Shionogi & Co., Ltd. | | | 43,300 | | | | 2,074,325 | |
SMC Corporation | | | 15,800 | | | | 3,772,398 | |
SoftBank Group Corporation | | | 163,700 | | | | 10,875,983 | |
Sojitz Corporation | | | 611,100 | | | | 1,484,940 | |
Sompo Japan Nipponkoa Holdings, Inc. | | | 33,600 | | | | 1,138,447 | |
Square Enix Holdings Co., Ltd. | | | 2,600 | | | | 66,849 | |
Sumitomo Chemical Co., Ltd. | | | 128,000 | | | | 608,924 | |
Sumitomo Corporation | | | 428,100 | | | | 5,038,302 | |
Sumitomo Dainippon Pharma
Co., Ltd. | | | 18,000 | | | | 309,561 | |
Sumitomo Electric Industries, Ltd. | | | 74,000 | | | | 1,067,816 | |
Sumitomo Heavy Industries, Ltd. | | | 169,000 | | | | 1,088,830 | |
Sumitomo Mitsui Financial Group, Inc. | | | 44,100 | | | | 1,682,875 | |
Sumitomo Mitsui Trust Holdings, Inc. | | | 15,600 | | | | 558,330 | |
Sumitomo Osaka Cement Co., Ltd. | | | 687,000 | | | | 2,592,231 | |
| | | | |
| 214 | | See Notes to Financial Statements. | | |
| | | | | | | | |
| | | Shares | | | Value | |
Sumitomo Realty & Development Co., Ltd. | | | 6,000 | | | $ | 159,452 | |
Suzuken Co., Ltd. | | | 3,900 | | | | 127,470 | |
Suzuki Motor Corporation | | | 8,600 | | | | 302,720 | |
Sysmex Corporation | | | 28,700 | | | | 1,662,451 | |
Taisei Corporation | | | 22,000 | | | | 153,976 | |
Takeda Pharmaceutical Co., Ltd. | | | 201,500 | | | | 8,335,850 | |
TDK Corporation | | | 9,600 | | | | 660,398 | |
Teijin, Ltd. | | | 30,600 | | | | 620,247 | |
Terumo Corporation | | | 13,200 | | | | 487,341 | |
Tokio Marine Holdings, Inc. | | | 169,100 | | | | 6,939,068 | |
Tokyo Electric Power Co. Holdings, Inc.* | | | 62,400 | | | | 252,003 | |
Tokyo Electron, Ltd. | | | 39,300 | | | | 3,713,955 | |
Toshiba Corporation* | | | 48,000 | | | | 116,268 | |
Tosoh Corporation | | | 361,000 | | | | 2,554,413 | |
Toyota Boshoku Corporation | | | 10,200 | | | | 234,502 | |
Toyota Motor Corporation | | | 12,600 | | | | 741,500 | |
Trend Micro, Inc.* | | | 78,200 | | | | 2,780,073 | |
Yamaha Corporation | | | 21,500 | | | | 656,727 | |
Yamazaki Baking Co., Ltd. | | | 24,800 | | | | 479,131 | |
Yokohama Rubber Co., Ltd. (The) | | | 6,400 | | | | 114,776 | |
| | | | | | | | |
| | | | | | | 212,454,950 | |
| | | | | | | | |
Jersey — 1.1% | | | | | | | | |
Experian PLC | | | 211,909 | | | | 4,110,629 | |
Glencore PLC* | | | 216,215 | | | | 739,041 | |
IWG PLC | | | 23,138 | | | | 70,148 | |
Petrofac, Ltd. | | | 20,938 | | | | 224,238 | |
Randgold Resources, Ltd. | | | 1,392 | | | | 110,050 | |
Wolseley PLC | | | 34,558 | | | | 2,113,292 | |
WPP PLC | | | 288,455 | | | | 6,455,770 | |
| | | | | | | | |
| | | | | | | 13,823,168 | |
| | | | | | | | |
Luxembourg — 0.1% | | | | | | | | |
APERAM SA | | | 3,703 | | | | 169,426 | |
Subsea 7 SA* | | | 74,786 | | | | 946,587 | |
| | | | | | | | |
| | | | | | | 1,116,013 | |
| | | | | | | | |
Netherlands — 8.0% | | | | | | | | |
ABN AMRO Group NV CVA 144A | | | 41,294 | | | | 915,007 | |
Aegon NV | | | 936,684 | | | | 5,154,828 | |
Airbus Group SE | | | 93,100 | | | | 6,158,450 | |
Akzo Nobel NV | | | 5,215 | | | | 326,027 | |
ASM International NV | | | 10,524 | | | | 472,316 | |
ASML Holding NV | | | 99,975 | | | | 11,223,746 | |
CNH Industrial NVD | | | 669,051 | | | | 5,819,502 | |
EXOR NV | | | 55,618 | | | | 2,399,235 | |
Ferrari NV | | | 89,442 | | | | 5,206,575 | |
Fiat Chrysler Automobiles NV* | | | 1,310,900 | | | | 11,957,040 | |
Gemalto NVD | | | 18,131 | | | | 1,048,185 | |
ING Groep NV | | | 1,370,654 | | | | 19,290,558 | |
Koninklijke Ahold Delhaize NV | | | 400,707 | | | | 8,448,769 | |
Koninklijke DSM NV | | | 14,151 | | | | 848,482 | |
Koninklijke Philips NV | | | 212,033 | | | | 6,472,723 | |
Koninklijke Vopak NV | | | 3,682 | | | | 173,930 | |
Mobileye NVD* | | | 45,997 | | | | 1,753,406 | |
NN Group NV | | | 47,008 | | | | 1,593,110 | |
Randstad Holding NV | | | 170,786 | | | | 9,263,987 | |
STMicroelectronics NV | | | 174,244 | | | | 1,980,921 | |
Wolters Kluwer NV | | | 47,417 | | | | 1,718,029 | |
| | | | | | | | |
| | | | | | | 102,224,826 | |
| | | | | | | | |
| | | | | | | | |
| | | Shares | | | Value | |
New Zealand — 0.0% | | | | | | | | |
Spark New Zealand, Ltd. | | | 131,259 | | | $ | 311,640 | |
Nigeria — 0.0% | | | | | | | | |
Afriland Properties PLC REIT+* | | | 331,249 | | | | — | |
| | | | | | | | |
Norway — 0.2% | | | | | | | | |
Leroy Seafood Group ASA | | | 5,520 | | | | 307,535 | |
Marine Harvest ASA* | | | 16,577 | | | | 298,892 | |
Salmar ASA | | | 10,051 | | | | 300,412 | |
Schibsted ASA Class A | | | 24,634 | | | | 565,118 | |
Schibsted ASA, B Shares | | | 45,543 | | | | 965,146 | |
Yara International ASA | | | 14,969 | | | | 589,375 | |
| | | | | | | | |
| | | | | | | 3,026,478 | |
| | | | | | | | |
Portugal — 0.1% | | | | | | | | |
Jeronimo Martins SGPS SA | | | 103,873 | | | | 1,611,706 | |
| | | | | | | | |
Singapore — 2.7% | | | | | | | | |
Ascendas Real Estate Investment Trust REIT | | | 1,953,500 | | | | 3,062,145 | |
CapitaLand Commercial Trust REIT | | | 68,000 | | | | 69,496 | |
CapitaLand Mall Trust REIT | | | 50,000 | | | | 65,083 | |
City Developments, Ltd. | | | 27,900 | | | | 159,522 | |
ComfortDelGro Corporation, Ltd. | | | 52,200 | | | | 89,034 | |
DBS Group Holdings, Ltd. | | | 450,800 | | | | 5,397,833 | |
Jardine Cycle & Carriage, Ltd. | | | 122,200 | | | | 3,479,133 | |
Sembcorp Industries, Ltd. | | | 1,072,300 | | | | 2,110,317 | |
Singapore Airlines, Ltd. | | | 33,900 | | | | 226,367 | |
Singapore Exchange, Ltd. | | | 13,600 | | | | 67,242 | |
Singapore Technologies Engineering, Ltd. | | | 23,600 | | | | 52,638 | |
Singapore Telecommunications, Ltd. | | | 2,092,200 | | | | 5,273,300 | |
Suntec Real Estate Investment Trust REIT | | | 59,600 | | | | 67,907 | |
United Overseas Bank, Ltd. | | | 942,282 | | | | 13,273,869 | |
UOL Group, Ltd. | | | 15,686 | | | | 64,882 | |
Wilmar International, Ltd. | | | 91,900 | | | | 227,822 | |
Yangzijiang Shipbuilding Holdings, Ltd. | | | 983,700 | | | | 553,614 | |
| | | | | | | | |
| | | | | | | 34,240,204 | |
| | | | | | | | |
South Korea — 1.0% | | | | | | | | |
Celltrion, Inc.* | | | 28,536 | | | | 2,530,880 | |
Hankook Tire Co., Ltd.* | | | 58,968 | | | | 2,834,926 | |
NAVER Corporation* | | | 4,266 | | | | 2,731,851 | |
Shinhan Financial Group Co., Ltd.* | | | 117,786 | | | | 4,417,115 | |
| | | | | | | | |
| | | | | | | 12,514,772 | |
| | | | | | | | |
Spain — 4.9% | | | | | | | | |
ACS Actividades de Construccion y Servicios SA | | | 31,824 | | | | 1,005,660 | |
Amadeus IT Group SA | | | 184,416 | | | | 8,380,428 | |
Banco Bilbao Vizcaya Argentaria SA | | | 336,935 | | | | 2,274,891 | |
Banco de Sabadell SA | | | 2,454,893 | | | | 3,418,834 | |
Banco Popular Espanol SAD | | | 1,265,995 | | | | 1,223,377 | |
Banco Santander SA | | | 838,830 | | | | 4,378,785 | |
Distribuidora Internacional de Alimentacion SA | | | 212,751 | | | | 1,044,741 | |
Ebro Foods SA | | | 278,736 | | | | 5,840,376 | |
Endesa SA | | | 81,147 | | | | 1,719,071 | |
| | | | |
| | See Notes to Financial Statements. | | 215 |
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | |
| | | Shares | | | Value | |
Gamesa Corporacion Tecnologica SA | | | 40,326 | | | $ | 817,998 | |
Iberdrola SAD | | | 1,319,715 | | | | 8,660,291 | |
Industria de Diseno Textil SA | | | 301,998 | | | | 10,309,475 | |
International Consolidated Airlines Group SA | | | 343,735 | | | | 1,867,747 | |
Mapfre SA | | | 168,187 | | | | 513,424 | |
Mediaset Espana Comunicacion SA | | | 40,606 | | | | 476,596 | |
Repsol SA | | | 284,701 | | | | 4,021,861 | |
Tecnicas Reunidas SA | | | 4,935 | | | | 202,417 | |
Telefonica SA* | | | 682,526 | | | | 6,336,848 | |
| | | | | | | | |
| | | | | | | 62,492,820 | |
| | | | | | | | |
Sweden — 3.5% | | | | | | | | |
Alfa Laval AB | | | 120,532 | | | | 1,995,063 | |
Atlas Copco AB, A Shares | | | 242,229 | | | | 7,378,059 | |
BillerudKorsnas AB | | | 22,550 | | | | 378,696 | |
Boliden AB | | | 79,518 | | | | 2,076,409 | |
Electrolux AB, Series B | | | 57,582 | | | | 1,430,291 | |
Elekta AB, B Shares | | | 159,979 | | | | 1,415,308 | |
Hennes & Mauritz AB, B SharesD | | | 190,728 | | | | 5,304,862 | |
Investor AB, B Shares | | | 3,071 | | | | 114,776 | |
Kinnevik AB Class B | | | 160,873 | | | | 3,854,694 | |
NCC AB, B Shares | | | 7,492 | | | | 185,355 | |
Saab AB Class B | | | 11,645 | | | | 435,221 | |
Skanska AB, B Shares | | | 22,516 | | | | 531,600 | |
SSAB AB, A Shares* | | | 123,306 | | | | 468,018 | |
Svenska Cellulosa AB SCA Class B | | | 44,474 | | | | 1,256,027 | |
Svenska Handelsbanken AB, A Shares | | | 382,622 | | | | 5,316,877 | |
Telefonaktiebolaget LM Ericsson, B Shares | | | 798,926 | | | | 4,691,518 | |
Telia Co. ABD | | | 2,108,955 | | | | 8,497,765 | |
| | | | | | | | |
| | | | | | | 45,330,539 | |
| | | | | | | | |
Switzerland — 9.0% | | | | | | | | |
ABB, Ltd.* | | | 615,976 | | | | 12,993,386 | |
ABB, Ltd. ADRD* | | | 56,000 | | | | 1,179,920 | |
Actelion, Ltd.* | | | 5,580 | | | | 1,208,279 | |
Adecco Group SA | | | 20,900 | | | | 1,367,951 | |
Baloise Holding AG | | | 3,839 | | | | 483,692 | |
Cie Financiere Richemont SA | | | 57,280 | | | | 3,794,104 | |
Coca-Cola HBC AG* | | | 29,201 | | | | 636,979 | |
Credit Suisse Group AG* | | | 370,060 | | | | 5,309,414 | |
Galenica AG | | | 736 | | | | 830,466 | |
Georg Fischer AG | | | 369 | | | | 302,215 | |
Helvetia Holding AG | | | 4,126 | | | | 2,222,440 | |
Lonza Group AG* | | | 2,807 | | | | 485,981 | |
Nestle SA | | | 220,840 | | | | 15,842,445 | |
Novartis AG | | | 221,210 | | | | 16,097,084 | |
OC Oerlikon Corporation AGD* | | | 41,700 | | | | 409,506 | |
Partners Group Holding AG | | | 693 | | | | 324,791 | |
Roche Holding AG | | | 62,322 | | | | 14,235,586 | |
Sika AG | | | 79 | | | | 379,523 | |
Swiss Life Holding AG* | | | 21,217 | | | | 6,004,851 | |
Swiss Re AG | | | 23,277 | | | | 2,205,863 | |
Syngenta AG | | | 25,583 | | | | 10,112,106 | |
Temenos Group AG* | | | 6,239 | | | | 434,396 | |
UBS Group AG* | | | 600,547 | | | | 9,406,584 | |
Zurich Insurance Group AG* | | | 33,348 | | | | 9,182,735 | |
| | | | | | | | |
| | | | | | | 115,450,297 | |
| | | | | | | | |
| | | | | | | | |
| | | Shares | | | Value | |
Taiwan — 1.0% | | | | | | | | |
Taiwan Semiconductor Manufacturing Co., Ltd. ADRD | | | 374,299 | | | $ | 10,761,096 | |
Teco Electric and Machinery Co., Ltd. | | | 2,655,800 | | | | 2,299,073 | |
| | | | | | | | |
| | | | | | | 13,060,169 | |
| | | | | | | | |
Thailand — 0.2% | | | | | | | | |
Bangkok Bank PCL | | | 172,800 | | | | 779,302 | |
Charoen Pokphand Foods PCL | | | 1,553,300 | | | | 1,279,579 | |
| | | | | | | | |
| | | | | | | 2,058,881 | |
| | | | | | | | |
Turkey — 0.0% | | | | | | | | |
Türkiye Garanti Bankasi AS | | | — | | | | — | |
Yapi ve Kredi Bankasi AS* | | | 1 | | | | 1 | |
| | | | | | | | |
| | | | | | | 1 | |
| | | | | | | | |
United Kingdom — 14.6% | | | | | | | | |
3i Group PLC | | | 34,312 | | | | 297,696 | |
Aberdeen Asset Management PLC | | | 88,155 | | | | 279,538 | |
Aggreko PLC | | | 140,036 | | | | 1,584,297 | |
Amec Foster Wheeler PLC | | | 621,046 | | | | 3,597,293 | |
Anglo American PLC* | | | 9,868 | | | | 141,072 | |
ASOS PLC* | | | 12,729 | | | | 778,718 | |
AstraZeneca PLC | | | 4,245 | | | | 232,151 | |
BAE Systems PLC | | | 146,857 | | | | 1,070,542 | |
Barclays PLC | | | 644,878 | | | | 1,775,874 | |
Barratt Developments PLC | | | 299,344 | | | | 1,705,857 | |
Bellway PLC | | | 18,940 | | | | 577,943 | |
BP PLC | | | 2,664,057 | | | | 16,731,200 | |
BP PLC ADRD | | | 75,300 | | | | 2,814,714 | |
British Land Co. PLC (The) REIT | | | 18,907 | | | | 146,681 | |
Britvic PLC | | | 31,976 | | | | 223,440 | |
BT Group PLC | | | 351,297 | | | | 1,588,460 | |
Close Brothers Group PLC | | | 14,726 | | | | 262,245 | |
Cobham PLC | | | 1,357,500 | | | | 2,738,689 | |
Coca-Cola European Partners PLC | | | 121,400 | | | | 3,811,960 | |
Compass Group PLC | | | 653,654 | | | | 12,091,572 | |
Dairy Crest Group PLCD | | | 672,353 | | | | 5,133,255 | |
Dialog Semiconductor PLC* | | | 47,865 | | | | 2,023,724 | |
Dixons Carphone PLC | | | 110,130 | | | | 481,281 | |
DS Smith PLC | | | 1,618,927 | | | | 8,142,317 | |
G4S PLC | | | 1,849,548 | | | | 5,356,580 | |
GKN PLC | | | 31,500 | | | | 128,769 | |
GlaxoSmithKline PLC | | | 878,879 | | | | 16,918,594 | |
Hammerson PLC REIT | | | 15,352 | | | | 108,411 | |
Howden Joinery Group PLC | | | 21,396 | | | | 101,203 | |
HSBC Holdings PLC | | | 192,408 | | | | 1,557,674 | |
Inchcape PLC | | | 107,617 | | | | 931,048 | |
Indivior PLC | | | 130,559 | | | | 476,591 | |
Intermediate Capital Group PLC | | | 119,557 | | | | 1,031,400 | |
Investec PLC | | | 69,711 | | | | 460,490 | |
ITV PLC | | | 49,182 | | | | 125,104 | |
John Wood Group PLC | | | 48,979 | | | | 528,772 | |
Jupiter Fund Management PLC | | | 19,236 | | | | 105,162 | |
Kingfisher PLC | | | 1,867,168 | | | | 8,060,791 | |
Land Securities Group PLC REIT | | | 15,437 | | | | 202,803 | |
Lloyds Banking Group PLC | | | 11,066,857 | | | | 8,525,659 | |
London Stock Exchange Group PLC | | | 5,849 | | | | 210,051 | |
| | | | |
| 216 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
Man Group PLC | | | 1,215,510 | | | | | | | $ | 1,772,138 | |
Marks & Spencer Group PLC | | | 37,312 | | | | | | | | 160,942 | |
Micro Focus International PLC | | | 7,478 | | | | | | | | 200,815 | |
Mondi PLC | | | 79,051 | | | | | | | | 1,623,067 | |
National Grid PLC | | | 766,376 | | | | | | | | 8,987,740 | |
Ocado Group PLCD* | | | 253,031 | | | | | | | | 823,562 | |
Pearson PLC | | | 491,984 | | | | | | | | 4,962,766 | |
Persimmon PLC | | | 154,688 | | | | | | | | 3,385,741 | |
Reckitt Benckiser Group PLC | | | 16,774 | | | | | | | | 1,423,501 | |
RELX PLC | | | 20,897 | | | | | | | | 373,170 | |
Rio Tinto PLC | | | 12,803 | | | | | | | | 498,364 | |
Rolls-Royce Holdings PLC* | | | 1,394,816 | | | | | | | | 11,482,793 | |
Rolls-Royce Holdings PLC +* | | | 70,368,178 | | | | | | | | 86,722 | |
Royal Dutch Shell PLC, A Shares | | | 7,716 | | | | | | | | 213,245 | |
Royal Dutch Shell PLC, B Shares | | | 475,556 | | | | | | | | 13,796,289 | |
Royal Mail PLC | | | 339,525 | | | | | | | | 1,933,579 | |
Sage Group PLC (The) | | | 119,939 | | | | | | | | 968,179 | |
Segro PLC REIT | | | 14,592 | | | | | | | | 82,381 | |
Sports Direct International PLC* | | | 32,259 | | | | | | | | 110,761 | |
Standard Chartered PLC* | | | 169,927 | | | | | | | | 1,389,706 | |
Tate & Lyle PLC | | | 113,253 | | | | | | | | 987,485 | |
Taylor Wimpey PLC | | | 1,033,557 | | | | | | | | 1,955,226 | |
Tesco PLC* | | | 3,388,417 | | | | | | | | 8,637,867 | |
Thomas Cook Group PLC* | | | 90,156 | | | | | | | | 96,887 | |
Travis Perkins PLC | | | 33,698 | | | | | | | | 603,010 | |
Unilever PLC | | | 162,704 | | | | | | | | 6,602,040 | |
Vodafone Group PLC | | | 109,280 | | | | | | | | 269,153 | |
WM Morrison Supermarkets PLC | | | 151,673 | | | | | | | | 431,231 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 186,917,981 | |
| | | | | | | | | | | | |
United States of America — 2.0% | |
Amazon.com, Inc.* | | | 7,061 | | | | | | | | 5,294,832 | |
Illumina, Inc.* | | | 44,670 | | | | | | | | 5,719,547 | |
MercadoLibre, Inc. | | | 25,367 | | | | | | | | 3,960,803 | |
Tesla Motors, Inc.D* | | | 23,093 | | | | | | | | 4,934,743 | |
Yum China Holdings, Inc.* | | | 234,775 | | | | | | | | 6,132,323 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 26,042,248 | |
| | | | | | | | | | | | |
Total Foreign Common Stocks (Cost $1,263,521,065) | | | | | | | | 1,264,913,198 | |
| | | | | | | | | | | | |
FOREIGN PREFERRED STOCKS — 0.1% | |
Germany — 0.1% | | | | | | | | | | | | |
Bayerische Motoren Werke AG | | | | | | | | | | | | |
4.34%, 05/13/16 | | | 5,728 | | | | | | | | 438,352 | |
Porsche Automobil Holding SE | | | | | | | | | | | | |
1.88%, 06/30/16 | | | 6,053 | | | | | | | | 329,672 | |
| | | | | | | | | | | | |
Total Foreign Preferred Stocks
(Cost $1,040,239) | | | | | | | | 768,024 | |
| | | | | | | | | | | | |
MONEY MARKET FUNDS — 6.5% | |
GuideStone Money Market Fund (Investor Class)¥ | | | 59,346,657 | | | | | | | | 59,346,657 | |
Northern Institutional Liquid Assets Portfolio§ | | | 23,851,659 | | | | | | | | 23,851,659 | |
| | | | | | | | | | | | |
Total Money Market Funds
(Cost $83,198,316) | | | | | | | | 83,198,316 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
U.S. TREASURY OBLIGATIONS — 0.2% | |
U.S. Treasury Bills | | | | | | | | | | | | |
0.45%, 04/27/17W‡‡ | | $ | 700,000 | | | | | | | $ | 698,809 | |
0.60%, 06/22/17W‡‡ | | | 1,800,000 | | | | | | | | 1,794,778 | |
| | | | | | | | | | | | |
Total U.S. Treasury Obligations
(Cost $2,493,972) | | | | | | | | 2,493,587 | |
| | | | | | | | | | | | |
TOTAL INVESTMENTS — 105.4%
(Cost $1,350,253,592) | | | | | | | | 1,351,373,125 | |
| | | | | | | | | | | | |
| | | |
| | | Shares | | | | | | | |
FOREIGN COMMON STOCKS SOLD SHORT — (4.9)% | |
Australia — (0.4)% | | | | | | | | | | | | |
Alumina, Ltd. | | | (1,506,122 | ) | | | | | | | (1,989,020 | ) |
AMP, Ltd. | | | (35,827 | ) | | | | | | | (130,307 | ) |
Iluka Resources, Ltd. | | | (28,719 | ) | | | | | | | (150,672 | ) |
Magellan Financial Group, Ltd. | | | (9,972 | ) | | | | | | | (171,056 | ) |
Platinum Asset Management, Ltd. | | | (188,521 | ) | | | | | | | (718,326 | ) |
REA Group, Ltd. | | | (12,598 | ) | | | | | | | (502,116 | ) |
SEEK, Ltd. | | | (92,447 | ) | | | | | | | (992,713 | ) |
TPG Telecom, Ltd. | | | (44,993 | ) | | | | | | | (221,440 | ) |
Transurban Group | | | (35,716 | ) | | | | | | | (265,993 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (5,141,643 | ) |
| | | | | | | | | | | | |
Austria — 0.0% | | | | | | | | | | | | |
ams AG | | | (2,435 | ) | | | | | | | (69,107 | ) |
| | | | | | | | | | | | |
Belgium — 0.0% | | | | | | | | | | | | |
Telenet Group Holding NV* | | | (4,342 | ) | | | | | | | (240,963 | ) |
| | | | | | | | | | | | |
Finland — 0.0% | | | | | | | | | | | | |
Nokia OYJ | | | (90,078 | ) | | | | | | | (435,039 | ) |
Wartsila OYJ Abp | | | (3,380 | ) | | | | | | | (151,854 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (586,893 | ) |
| | | | | | | | | | | | |
France — (0.7)% | | | | | | | | | | | | |
Aeroports de Paris | | | (2,910 | ) | | | | | | | (311,836 | ) |
Bollore SA | | | (395,571 | ) | | | | | | | (1,394,938 | ) |
Edenred | | | (135,109 | ) | | | | | | | (2,678,770 | ) |
Electricite de France SA | | | (79,047 | ) | | | | | | | (805,464 | ) |
Eutelsat Communications SA | | | (7,976 | ) | | | | | | | (154,444 | ) |
Groupe Eurotunnel SE | | | (156,969 | ) | | | | | | | (1,492,724 | ) |
Ingenico | | | (4,813 | ) | | | | | | | (384,389 | ) |
SFR Group SA* | | | (24,265 | ) | | | | | | | (685,309 | ) |
Zodiac Aerospace | | | (47,365 | ) | | | | | | | (1,087,673 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (8,995,547 | ) |
| | | | | | | | | | | | |
Germany — (0.2)% | | | | | | | | | | | | |
Bayerische Motoren Werke AG | | | (1,688 | ) | | | | | | | (157,698 | ) |
Bilfinger SE* | | | (8,370 | ) | | | | | | | (322,252 | ) |
Deutsche Bank AG* | | | (22,434 | ) | | | | | | | (407,363 | ) |
Fraport AG Frankfurt Airport Services Worldwide | | | (13,038 | ) | | | | | | | (770,905 | ) |
MAN SE | | | (677 | ) | | | | | | | (67,224 | ) |
Telefonica Deutschland Holding AG | | | (73,116 | ) | | | | | | | (313,251 | ) |
United Internet AG* | | | (10,232 | ) | | | | | | | (399,541 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (2,438,234 | ) |
| | | | | | | | | | | | |
Italy — (0.4)% | | | | | | | | | | | | |
Atlantia SpA | | | (15,834 | ) | | | | | | | (371,023 | ) |
Azimut Holding SpA* | | | (66,282 | ) | | | | | | | (1,106,584 | ) |
Banca Generali SpA | | | (16,174 | ) | | | | | | | (385,801 | ) |
Banco Popolare SC | | | (84,716 | ) | | | | | | | (204,393 | ) |
| | | | |
| | See Notes to Financial Statements. | | 217 |
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
Luxottica Group SpA | | | (17,057 | ) | | | | | | $ | (917,506 | ) |
Salvatore Ferragamo SpA | | | (92,380 | ) | | | | | | | (2,181,186 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (5,166,493 | ) |
| | | | | | | | | | | | |
Japan — (1.1)% | | | | | | | | | | | | |
Acom Co., Ltd.* | | | (110,500 | ) | | | | | | | (483,127 | ) |
AEON Financial Service Co., Ltd. | | | (31,900 | ) | | | | | | | (566,899 | ) |
Alps Electric Co., Ltd. | | | (32,800 | ) | | | | | | | (793,093 | ) |
ASICS Corporation | | | (20,100 | ) | | | | | | | (401,570 | ) |
Bank of Kyoto, Ltd. (The) | | | (173,000 | ) | | | | | | | (1,284,826 | ) |
Calbee, Inc. | | | (6,100 | ) | | | | | | | (191,025 | ) |
Chugoku Electric Power Co., Inc. (The) | | | (39,500 | ) | | | | | | | (463,354 | ) |
Electric Power Development Co., Ltd. | | | (13,400 | ) | | | | | | | (308,415 | ) |
Hokuriku Electric Power Co | | | (41,000 | ) | | | | | | | (459,551 | ) |
Japan Post Holdings Co., Ltd. | | | (5,500 | ) | | | | | | | (68,659 | ) |
Kakaku.com, Inc. | | | (25,300 | ) | | | | | | | (418,654 | ) |
Keikyu Corporation | | | (33,000 | ) | | | | | | | (382,588 | ) |
Kyushu Electric Power Co., Inc. | | | (158,200 | ) | | | | | | | (1,716,343 | ) |
Mitsubishi Logistics Corporation | | | (5,000 | ) | | | | | | | (70,717 | ) |
Nankai Electric Railway Co., Ltd. | | | (15,000 | ) | | | | | | | (76,107 | ) |
NGK Spark Plug Co., Ltd. | | | (51,100 | ) | | | | | | | (1,135,896 | ) |
Nippon Paint Holdings Co., Ltd. | | | (2,400 | ) | | | | | | | (65,403 | ) |
Odakyu Electric Railway Co., Ltd. | | | (7,000 | ) | | | | | | | (138,533 | ) |
Rakuten, Inc.* | | | (14,800 | ) | | | | | | | (145,056 | ) |
Ricoh Co., Ltd. | | | (82,900 | ) | | | | | | | (700,793 | ) |
Rinnai Corporation | | | (1,500 | ) | | | | | | | (121,027 | ) |
Seven Bank, Ltd. | | | (220,000 | ) | | | | | | | (630,588 | ) |
Shikoku Electric Power Co., Inc.* | | | (106,400 | ) | | | | | | | (1,077,883 | ) |
Sony Financial Holdings, Inc. | | | (121,300 | ) | | | | | | | (1,893,058 | ) |
Taiyo Nippon Sanso Corporation | | | (6,100 | ) | | | | | | | (70,669 | ) |
Toyota Industries Corporation | | | (7,400 | ) | | | | | | | (352,667 | ) |
Yakult Honsha Co., Ltd. | | | (5,400 | ) | | | | | | | (250,421 | ) |
Yamaha Motor Co., Ltd. | | | (9,200 | ) | | | | | | | (202,616 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (14,469,538 | ) |
| | | | | | | | | | | | |
Luxembourg — (0.4)% | | | | | | | | | | | | |
Eurofins Scientific SE | | | (780 | ) | | | | | | | (332,534 | ) |
Millicom International Cellular SA SDR | | | (18,512 | ) | | | | | | | (791,026 | ) |
SES SA | | | (7,964 | ) | | | | | | | (175,421 | ) |
Tenaris SA | | | (181,862 | ) | | | | | | | (3,248,698 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (4,547,679 | ) |
| | | | | | | | | | | | |
Netherlands — (0.4)% | | | | | | | | | | | | |
Altice NV Class A* | | | (131,755 | ) | | | | | | | (2,611,578 | ) |
OCI NV* | | | (12,741 | ) | | | | | | | (222,369 | ) |
Qiagen NV* | | | (27,636 | ) | | | | | | | (776,151 | ) |
SBM Offshore NV | | | (139,000 | ) | | | | | | | (2,182,346 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (5,792,444 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
Norway — (0.2)% | | | | | | | | | | | | |
Schibsted ASA Class A | | | (66,706 | ) | | | | | | $ | (1,530,275 | ) |
Schibsted ASA, B Shares | | | (27,799 | ) | | | | | | | (589,115 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (2,119,390 | ) |
| | | | | | | | | | | | |
Papua New Guinea — (0.1)% | | | | | | | | | |
Oil Search, Ltd. | | | (160,338 | ) | | | | | | | (829,628 | ) |
| | | | | | | | | | | | |
Spain — (0.3)% | | | | | | | | | | | | |
Abertis Infraestructuras SA | | | (39,354 | ) | | | | | | | (550,761 | ) |
Atresmedia Corporation de Medios de Comunicacion SA | | | (25,437 | ) | | | | | | | (278,206 | ) |
Banco Popular Espanol SA | | | (1,411,988 | ) | | | | | | | (1,364,455 | ) |
Cellnex Telecom SA 144A | | | (59,145 | ) | | | | | | | (850,772 | ) |
Zardoya Otis SA | | | (75,431 | ) | | | | | | | (637,604 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (3,681,798 | ) |
| | | | | | | | | | | | |
Switzerland — (0.1)% | | | | | | | | | | | | |
Chocoladefabriken Lindt & Spruengli AG | | | (58 | ) | | | | | | | (300,452 | ) |
Cie Financiere Richemont SA | | | (3,644 | ) | | | | | | | (241,371 | ) |
Credit Suisse Group AG* | | | (32,890 | ) | | | | | | | (471,887 | ) |
Swatch Group AG (The) | | | (1,150 | ) | | | | | | | (357,660 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (1,371,370 | ) |
| | | | | | | | | | | | |
United Kingdom — (0.6)% | | | | | | | | | |
AA PLC | | | (21,923 | ) | | | | | | | (74,867 | ) |
Aggreko PLC | | | (6,690 | ) | | | | | | | (75,687 | ) |
Antofagasta PLC | | | (232,549 | ) | | | | | | | (1,934,516 | ) |
BTG PLC* | | | (73,821 | ) | | | | | | | (536,767 | ) |
Hargreaves Lansdown PLC | | | (93,972 | ) | | | | | | | (1,404,797 | ) |
Hikma Pharmaceuticals PLC | | | (38,817 | ) | | | | | | | (905,580 | ) |
Inmarsat PLC | | | (25,098 | ) | | | | | | | (232,446 | ) |
Just Eat PLC* | | | (37,811 | ) | | | | | | | (271,902 | ) |
Legal & General Group PLC | | | (25,609 | ) | | | | | | | (78,144 | ) |
Pennon Group PLC | | | (38,684 | ) | | | | | | | (394,268 | ) |
Prudential PLC | | | (3,824 | ) | | | | | | | (76,700 | ) |
Rightmove PLC | | | (1,453 | ) | | | | | | | (69,890 | ) |
Serco Group PLC* | | | (247,452 | ) | | | | | | | (437,010 | ) |
St. James’s Place PLC | | | (25,601 | ) | | | | | | | (319,926 | ) |
Standard Life PLC | | | (30,854 | ) | | | | | | | (141,452 | ) |
United Utilities Group PLC | | | (36,454 | ) | | | | | | | (404,785 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (7,358,737 | ) |
| | | | | | | | | | | | |
Total Foreign Common Stocks Sold Short
(Proceeds $(64,026,862)) | | | | | | | | | | | (62,809,464 | ) |
| | | | | | | | | | | | |
FOREIGN PREFERRED STOCKS SOLD SHORT — (0.1)% | | | | | | | | | |
Germany — (0.1)% | | | | | | | | | | | | |
Sartorius AG | | | | | | | | | | | | |
0.53%, 06/13/16 | | | (917 | ) | | | | | | | (68,052 | ) |
Volkswagen AG | | | | | | | | | | | | |
0.12%, 06/23/16 | | | (6,651 | ) | | | | | | | (933,610 | ) |
| | | | | | | | | | | | |
Total Foreign Preferred Stocks Sold Short
(Proceeds $(904,569)) | | | | | | | | (1,001,662 | ) |
| | | | | | | | | | | | |
Liabilities in Excess of Other
Assets — (0.4)% | | | | | | | | (5,337,549 | ) |
| | | | | | | | | | | | |
NET ASSETS — 100.0% | | | | | | | $ | 1,282,224,450 | |
| | | | | | | | | | | | |
| | | | |
| 218 | | See Notes to Financial Statements. | | |
Swap agreements outstanding at December 31, 2016:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation | | Maturity
Date | | | Counterparty | | | Currency | | | Notional
Amount | | | Market
Value | | | Upfront
Premiums
Paid/
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
Total Return Swaps | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
MSCI Australia Index | | | 03/15/17 | | | | GSC | | | | AUD | | | | 1,376,979 | | | $ | (21,020 | ) | | $ | — | | | $ | (21,020 | ) |
MSCI Netherlands Index | | | 03/15/17 | | | | GSC | | | | EUR | | | | 791,356 | | | | (7,939 | ) | | | — | | | | (7,939 | ) |
MSCI Spain Index | | | 03/15/17 | | | | GSC | | | | EUR | | | | 9,540,698 | | | | 76,916 | | | | — | | | | 76,916 | |
MSCI Sweden Index | | | 03/15/17 | | | | GSC | | | | SEK | | | | 103,452,739 | | | | 204,795 | | | | — | | | | 204,795 | |
MSCI Switzerland Index | | | 03/15/17 | | | | GSC | | | | CHF | | | | 2,962,598 | | | | (3,824 | ) | | | — | | | | (3,824 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Swap agreements outstanding at December 31, 2016 | | | | | | | | | | | $ | 248,928 | | | $ | — | | | $ | 248,928 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2016, 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: | | | | | | | | | | | | |
Australia | | $ 29,393,756 | | $29,393,756 | | $ | — | | | $ | — | |
Austria | | 5,425,696 | | 5,425,696 | | | — | | | | — | |
Belgium | | 4,079,933 | | 4,079,933 | | | — | | | | — | |
Bermuda | | 5,040,161 | | 5,040,161 | | | — | | | | — | |
Brazil | | 3,322,550 | | 3,322,550 | | | — | | | | — | |
Canada | | 10,984,935 | | 10,984,935 | | | — | | | | — | |
China | | 51,006,993 | | 51,006,993 | | | — | | | | — | |
Colombia | | 1,232,610 | | 1,232,610 | | | — | | | | — | |
Czech Republic | | 465,418 | | 465,418 | | | — | | | | — | |
Denmark | | 17,524,445 | | 17,524,445 | | | — | | | | — | |
Finland | | 3,943,687 | | 3,943,687 | | | — | | | | — | |
France | | 118,586,816 | | 118,586,816 | | | — | | | | — | |
Germany | | 100,931,570 | | 100,931,570 | | | — | | | | — | |
Hong Kong | | 31,753,230 | | 31,753,230 | | | — | | | | — | |
India | | 8,289,474 | | 8,289,474 | | | — | | | | — | |
Ireland | | 9,533,036 | | 9,533,036 | | | — | | | | — | |
Isle of Man (U.K.) | | 132,258 | | 132,258 | | | — | | | | — | |
Italy | | 30,589,937 | | 30,589,937 | | | — | | | | — | |
Japan | | 212,454,950 | | 212,454,950 | | | — | | | | — | |
Jersey | | 13,823,168 | | 13,823,168 | | | — | | | | — | |
Luxembourg | | 1,116,013 | | 1,116,013 | | | — | | | | — | |
Netherlands | | 102,224,826 | | 102,224,826 | | | — | | | | — | |
New Zealand | | 311,640 | | 311,640 | | | — | | | | — | |
Nigeria | | — | | — | | | — | | | | — | |
Norway | | 3,026,478 | | 3,026,478 | | | — | | | | — | |
Portugal | | 1,611,706 | | 1,611,706 | | | — | | | | — | |
Singapore | | 34,240,204 | | 34,240,204 | | | — | | | | — | |
South Korea | | 12,514,772 | | — | | | 12,514,772 | | | | — | |
Spain | | 62,492,820 | | 62,492,820 | | | — | | | | — | |
Sweden | | 45,330,539 | | 45,330,539 | | | — | | | | — | |
Switzerland | | 115,450,297 | | 115,450,297 | | | — | | | | — | |
Taiwan | | 13,060,169 | | 13,060,169 | | | — | | | | — | |
Thailand | | 2,058,881 | | 2,058,881 | | | — | | | | — | |
Turkey | | 1 | | 1 | | | — | | | | — | |
United Kingdom | | 186,917,981 | | 186,831,259 | | | — | | | | 86,722 | |
United States of America | | 26,042,248 | | 26,042,248 | | | — | | | | — | |
Foreign Preferred Stocks: | | | | | | | | | | | | |
Germany | | 768,024 | | 768,024 | | | — | | | | — | |
Money Market Funds | | 83,198,316 | | 83,198,316 | | | — | | | | — | |
U.S. Treasury Obligations | | 2,493,587 | | — | | | 2,493,587 | | | | — | |
| | | | | | | | | | | | |
Total Assets - Investments in Securities | | $1,351,373,125 | | $1,336,278,044 | | $ | 15,008,359 | | | $ | 86,722 | |
| | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 219 |
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | | | | | |
| | | Total
Value | | | Level 1
Quoted Prices | | | Level 2
Other Significant
Observable Inputs | | | Level 3
Significant
Unobservable Inputs | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 597,154 | | | $ | 597,154 | | | $ | — | | | $ | — | |
Swap Agreements | | | 248,928 | | | | — | | | | 248,928 | | | | — | |
| | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | $ | 846,082 | | | $ | 597,154 | | | $ | 248,928 | | | $ | — | |
| | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | |
Investments in Securities: | | | | | | | | | | | | | | | | |
Foreign Common Stocks Sold Short: | | | | | | | | | | | | | | | | |
Australia | | $ | (5,141,643 | ) | | $ | (5,141,643 | ) | | $ | — | | | $ | — | |
Austria | | | (69,107 | ) | | | (69,107 | ) | | | — | | | | — | |
Belgium | | | (240,963 | ) | | | (240,963 | ) | | | — | | | | — | |
Finland | | | (586,893 | ) | | | (586,893 | ) | | | — | | | | — | |
France | | | (8,995,547 | ) | | | (8,995,547 | ) | | | — | | | | — | |
Germany | | | (2,438,234 | ) | | | (2,438,234 | ) | | | — | | | | — | |
Italy | | | (5,166,493 | ) | | | (5,166,493 | ) | | | — | | | | — | |
Japan | | | (14,469,538 | ) | | | (14,469,538 | ) | | | — | | | | — | |
Luxembourg | | | (4,547,679 | ) | | | (4,547,679 | ) | | | — | | | | — | |
Netherlands | | | (5,792,444 | ) | | | (5,792,444 | ) | | | — | | | | — | |
Norway | | | (2,119,390 | ) | | | (2,119,390 | ) | | | — | | | | — | |
Papua New Guinea | | | (829,628 | ) | | | (829,628 | ) | | | — | | | | — | |
Spain | | | (3,681,798 | ) | | | (3,681,798 | ) | | | — | | | | — | |
Switzerland | | | (1,371,370 | ) | | | (1,371,370 | ) | | | — | | | | — | |
United Kingdom | | | (7,358,737 | ) | | | (7,358,737 | ) | | | — | | | | — | |
Foreign Preferred Stocks Sold Short: | | | | | | | | | | | | | | | | |
Germany | | | (1,001,662 | ) | | | (1,001,662 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total Liabilities - Investments in Securities | | $ | (63,811,126 | ) | | $ | (63,811,126 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | $ | (2,109,889 | ) | | $ | — | | | $ | (2,109,889 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
Total Liabilities - Other Financial Instruments | | $ | (2,109,889 | ) | | $ | — | | | $ | (2,109,889 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
***Other financial instruments are derivative instruments not reflected in the Schedule of Investments (such as futures contracts and forwards contracts) and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the “Financial Futures Contracts” and “Forward Foreign Currency Contracts” disclosures in the Notes to Financial Statements and the “Swap agreements outstanding” disclosure on the preceding page(s), respectively.
There were no transfers between Level 1, Level 2 and Level 3 during the year ended December 31, 2016.
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 year ended December 31, 2016.
| | | | |
| 220 | | See Notes to Financial Statements. | | |
Emerging Markets Equity Fund (Unaudited)
Emerging markets stocks outperformed their developed markets counterparts during the year and benefitted from prospects of higher economic growth and attractive valuations. The MSCI Emerging Markets Index posted a loss of -4.16% for the fourth quarter but advanced 11.19% for the year. Countries with the strongest gains for 2016, with rallies in excess of 50%, included Brazil, Russia and Peru (some of the positive performance was due to currency fluctuations). Meanwhile, both Egypt and Greece experienced double digit losses in U.S. dollars. Countries with the larger gains were generally those that rely on commodity exports to drive their economies. Eight of 11 sectors were positive for the year. The energy and materials sectors were the best performers, while the healthcare and real estate sectors were the weakest performing sectors for 2016.
The Fund is actively managed and invests mainly in a diversified portfolio of stocks of foreign companies of any market capitalization located in emerging markets. The Investor Class of the Fund outperformed its benchmark, the MSCI Emerging Markets Index, for the one-year period ended December 31, 2016 (13.20% versus 11.19%). On a country basis, security selection in Russia, South Africa and South Korea contributed to benchmark-relative performance. Underweight exposure and security selection to China also positively impacted performance. On a sector basis, security selection to the industrials, financials and materials sectors contributed to benchmark-relative returns, while security selection to the real estate and consumer discretionary sectors detracted from benchmark-relative returns during the year.
Within the Fund, certain derivatives were utilized to express active views in currency and country selection. These derivative positions primarily included currency forward contracts, stock index futures and stock index future swaps. 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 emerging market stocks. The Fund invests in emerging market securities which involves certain risks such as currency volatility, political and social instability and reduced market liquidity. Medium and small companies have limited product lines, markets and financial resources, and their stocks historically have been more volatile and less liquid than large company stocks. To the extent that the investment adviser misjudges current market conditions, the Fund’s volatility may be amplified by its use of derivatives, and by its ability to select sub-advisers to allocate assets. Some derivatives 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. The use of certain derivatives may also have a leveraging effect which may increase the volatility of the Fund and may reduce its returns. It is possible to lose money by investing in the Fund.
At December 31, 2016, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
| | | | |
| | | % | |
Financial Services | | | 27.3 | |
Technology | | | 25.3 | |
Consumer Discretionary | | | 9.6 | |
Consumer Staples | | | 7.9 | |
Energy | | | 6.3 | |
Money Market Funds | | | 6.2 | |
Materials & Processing | | | 5.7 | |
Foreign Preferred Stocks | | | 3.1 | |
Producer Durables | | | 2.9 | |
Healthcare | | | 2.4 | |
Utilities | | | 1.9 | |
U.S. Treasury Obligation | | | 0.4 | |
| | | | |
| | | 99.0 | |
| | | | |
221
Emerging Markets Equity Fund (Unaudited)
| | | | | | |
| Average Annual Total Returns as of 12/31/16 |
| | Institutional Class* | | Investor Class* | | Benchmark** |
One Year | | 13.46% | | 13.20% | | 11.19% |
Since Inception | | -4.66% | | -4.88% | | -3.32% |
Inception Date | | 10/31/13 | | 10/31/13 | | |
Total Fund Operating Expenses (May 1, 2016 Prospectus)(1) | | 1.33% | | 1.58% | | |
(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 GuideStoneFunds.com. 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 Investor Class of the Fund since October 31, 2013 (commencement of operations), with all dividends and capital gains reinvested, with the MSCI Emerging Markets 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.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
222
| | | | |
EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS | | | December 31, 2016 | |
| | | | | | | | |
| | | Shares | | | Value | |
FOREIGN COMMON STOCKS — 89.3% | |
Argentina — 0.2% | | | | | | | | |
Banco Macro SA ADR | | | 8,775 | | | $ | 564,671 | |
| | | | | | | | |
Bermuda — 1.4% | | | | | | | | |
Credicorp, Ltd. | | | 21,287 | | | | 3,360,366 | |
GOME Electrical Appliances Holdings, Ltd.D | | | 496,619 | | | | 60,200 | |
Kosmos Energy, Ltd.D* | | | 81,500 | | | | 571,315 | |
Nine Dragons Paper Holdings, Ltd. | | | 599,000 | | | | 543,036 | |
| | | | | | | | |
| | | | | | | 4,534,917 | |
| | | | | | | | |
Brazil — 4.8% | | | | | | | | |
AES Tiete Energia SA | | | 50,800 | | | | 218,515 | |
Banco Bradesco SA ADR | | | 237,997 | | | | 2,072,954 | |
Banco do Brasil SA | | | 31,900 | | | | 275,316 | |
Banco Santander Brasil SA ADRD | | | 14,986 | | | | 133,226 | |
BB Seguridade Participacoes SA | | | 23,700 | | | | 206,074 | |
BM&FBovespa SA | | | 43,900 | | | | 222,555 | |
BTG Pactual Group | | | 112,763 | | | | 504,101 | |
Cia de Saneamento Basico do Estado de Sao Paulo ADR | | | 66,096 | | | | 573,713 | |
Cia Energetica de Minas Gerais ADR | | | 17,035 | | | | 38,840 | |
Cielo SA | | | 10,400 | | | | 89,119 | |
Cosan SA Industria e Comercio | | | 3,200 | | | | 37,509 | |
CVC Brasil Operadora e Agencia de Viagens SA | | | 42,600 | | | | 310,204 | |
EDP—Energias do Brasil SA | | | 36,200 | | | | 149,040 | |
Engie Brasil Energia SA | | | 102,900 | | | | 1,106,554 | |
Equatorial Energia SA | | | 28,000 | | | | 468,000 | |
Hypermarcas SA | | | 20,500 | | | | 164,582 | |
Itau Unibanco Holding SA ADR | | | 309,859 | | | | 3,185,350 | |
JBS SA | | | 245,100 | | | | 858,494 | |
Kroton Educacional SA | | | 41,700 | | | | 170,787 | |
Linx SA | | | 121,828 | | | | 649,435 | |
Lojas Renner SA | | | 15,000 | | | | 106,784 | |
M Dias Branco SA | | | 6,500 | | | | 229,688 | |
Odontoprev SA | | | 247,200 | | | | 956,991 | |
Qualicorp SA | | | 50,900 | | | | 301,049 | |
Rumo Logistica Operadora Multimodal SA* | | | 506,810 | | | | 956,098 | |
Sul America SA | | | 47,400 | | | | 262,144 | |
TOTVS SA | | | 67,500 | | | | 498,571 | |
Ultrapar Participacoes SA | | | 42,900 | | | | 902,235 | |
Ultrapar Participacoes SA ADRD | | | 8,307 | | | | 172,287 | |
WEG SA | | | 32,200 | | | | 153,348 | |
| | | | | | | | |
| | | | | | | 15,973,563 | |
| | | | | | | | |
British Virgin Islands — 0.2% | | | | | | | | |
Lenta, Ltd. GDR* | | | 72,040 | | | | 590,728 | |
| | | | | | | | |
Canada — 0.5% | | | | | | | | |
First Quantum Minerals, Ltd. | | | 145,899 | | | | 1,450,677 | |
Platinum Group Metals, Ltd.* | | | 43,200 | | | | 62,420 | |
| | | | | | | | |
| | | | | | | 1,513,097 | |
| | | | | | | | |
Chile — 1.0% | | | | | | | | |
Aguas Andinas SA Class A | | | 213,053 | | | | 110,926 | |
Banco de Chile ADR | | | 6,244 | | | | 439,890 | |
Banco Santander Chile ADRD | | | 26,062 | | | | 569,976 | |
Cencosud SA | | | 204,107 | | | | 572,863 | |
| | | | | | | | |
| | | Shares | | | Value | |
Embotelladora Andina SA ADR Class BD | | | 41,089 | | | $ | 923,270 | |
Empresas COPEC SA | | | 4,886 | | | | 46,821 | |
Enel Generacion Chile SA ADRD | | | 5,080 | | | | 98,755 | |
Enersis Americas SA ADRD | | | 62,190 | | | | 510,580 | |
Enersis Chile SA ADR | | | 19,629 | | | | 89,312 | |
| | | | | | | | |
| | | | | | | 3,362,393 | |
| | | | | | | | |
China — 11.6% | | | | | | | | |
58.com, Inc. ADRD* | | | 2,939 | | | | 82,292 | |
Agricultural Bank of China, Ltd. Class H | | | 480,000 | | | | 196,841 | |
Air China, Ltd. Class H | | | 284,679 | | | | 181,722 | |
Alibaba Group Holding, Ltd. ADRD* | | | 68,250 | | | | 5,993,032 | |
Anhui Conch Cement Co., Ltd. Class H | | | 780,000 | | | | 2,122,380 | |
Baidu, Inc. ADR* | | | 9,329 | | | | 1,533,781 | |
Bank of China, Ltd. Class H | | | 1,738,000 | | | | 771,000 | |
Bank of Communications Co., Ltd. Class H | | | 558,000 | | | | 403,686 | |
Beijing Capital International Airport Co., Ltd. Class H | | | 120,000 | | | | 121,323 | |
Belle International Holdings, Ltd. | | | 970,000 | | | | 545,387 | |
China Cinda Asset Management Co., Ltd. Class H | | | 1,764,000 | | | | 639,221 | |
China CITIC Bank Corporation, Ltd. Class H | | | 867,000 | | | | 551,204 | |
China Communications Services Corporation, Ltd. Class H | | | 1,080,000 | | | | 688,013 | |
China Construction Bank Corporation Class H | | | 4,050,000 | | | | 3,117,996 | |
China Evergrande Group | | | 359,000 | | | | 223,608 | |
China Galaxy Securities Co., Ltd. Class H | | | 441,000 | | | | 397,523 | |
China Mengniu Dairy Co., Ltd. | | | 1,088,000 | | | | 2,096,166 | |
China Petroleum & Chemical Corporation Class H | | | 1,482,000 | | | | 1,051,132 | |
China Shenhua Energy Co., Ltd. Class H | | | 333,500 | | | | 627,906 | |
China Telecom Corporation, Ltd. Class H | | | 470,000 | | | | 216,984 | |
China Vanke Co., Ltd. Class H | | | 97,700 | | | | 223,005 | |
Chongqing Rural Commercial Bank Co., Ltd. Class H | | | 781,000 | | | | 458,256 | |
Country Garden Holdings Co., Ltd. | | | 209,000 | | | | 116,972 | |
Ctrip.com International, Ltd. ADRD* | | | 12,870 | | | | 514,800 | |
Dongfeng Motor Group Co., Ltd. Class H | | | 43,545 | | | | 42,509 | |
Fuyao Glass Industry Group Co., Ltd. Class H 144A | | | 239,200 | | | | 741,861 | |
Geely Automobile Holdings, Ltd. | | | 1,205,000 | | | | 1,151,467 | |
Great Wall Motor Co., Ltd. Class H | | | 680,000 | | | | 634,883 | |
Huaneng Renewables Corporation, Ltd. Class H | | | 302,000 | | | | 98,142 | |
Industrial & Commercial Bank of China, Ltd. Class H | | | 3,973,000 | | | | 2,382,417 | |
JD.com, Inc. ADR* | | | 26,152 | | | | 665,307 | |
| | | | |
| | See Notes to Financial Statements. | | 223 |
EMERGING MARKETS EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | | | | | |
| | | Shares | | | Value | |
NetEase, Inc. ADR | | | | | | | 3,057 | | | | | | | $ | 658,294 | |
New Oriental Education & Technology Group, Inc. ADR* | | | | | | | 5,104 | | | | | | | | 214,878 | |
People’s Insurance Co. Group of China, Ltd. (The) Class H | | | | | | | 2,183,000 | | | | | | | | 861,433 | |
PetroChina Co., Ltd. Class H | | | | | | | 146,000 | | | | | | | | 108,825 | |
PICC Property & Casualty Co., Ltd. Class H | | | | | | | 62,000 | | | | | | | | 96,584 | |
Qinhuangdao Port Co., Ltd. Class H | | | | | | | 280,500 | | | | | | | | 64,387 | |
Sina Corporation* | | | | | | | 876 | | | | | | | | 53,252 | |
Sinopec Engineering Group Co., Ltd. Class H | | | | | | | 285,000 | | | | | | | | 237,791 | |
Sinopec Shanghai Petrochemical Co., Ltd. Class H | | | | | | | 1,428,000 | | | | | | | | 773,435 | |
Sinopharm Group Co., Ltd. Class H | | | | | | | 74,588 | | | | | | | | 307,317 | |
Sinotrans, Ltd. Class H | | | | | | | 1,142,000 | | | | | | | | 509,552 | |
Tencent Holdings, Ltd. | | | | | | | 134,500 | | | | | | | | 3,290,302 | |
Tingyi Cayman Islands Holding CorporationD | | | | | | | 1,980,000 | | | | | | | | 2,407,815 | |
Vipshop Holdings, Ltd. ADR* | | | | | | | 15,338 | | | | | | | | 168,871 | |
Weichai Power Co., Ltd. Class H | | | | | | | 120,000 | | | | | | | | 184,770 | |
Zhuzhou CRRC Times Electric Co., Ltd. Class H | | | | | | | 30,000 | | | | | | | | 152,234 | |
Zijin Mining Group Co., Ltd. Class H | | | | | | | 320,000 | | | | | | | | 103,166 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 38,783,722 | |
| | | | | | | | | | | | | | | | |
Colombia — 0.3% | | | | | | | | | | | | | | | | |
Bancolombia SA | | | | | | | 76,606 | | | | | | | | 643,572 | |
Bancolombia SA ADRD | | | | | | | 10,824 | | | | | | | | 397,024 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 1,040,596 | |
| | | | | | | | | | | | | | | | |
Cyprus — 0.1% | | | | | | | | | | | | | | | | |
Global Ports Investments PLC GDR* | | | | | | | 49,037 | | | | | | | | 196,148 | |
| | | | | | | | | | | | | | | | |
Egypt — 0.2% | | | | | | | | | | | | | | | | |
Arabian Food Industries Co. DOMTY GDR* | | | | | | | 17,026 | | | | | | | | 35,754 | |
Edita Food Industries SAE | | | | | | | 315,401 | | | | | | | | 252,425 | |
Edita Food Industries SAE GDR | | | | | | | 15,770 | | | | | | | | 63,107 | |
ElSewedy Electric Co. | | | | | | | 77,900 | | | | | | | | 318,604 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 669,890 | |
| | | | | | | | | | | | | | | | |
Hong Kong — 6.0% | | | | | | | | | | | | | | | | |
AIA Group, Ltd. | | | | | | | 889,958 | | | | | | | | 5,021,041 | |
China Everbright International, Ltd. | | | | | | | 64,000 | | | | | | | | 72,546 | |
China Merchants Port Holdings International Co., Ltd. | | | | | | | 30,000 | | | | | | | | 74,434 | |
China Mobile, Ltd. | | | | | | | 629,000 | | | | | | | | 6,667,587 | |
China Overseas Land & Investment, Ltd. | | | | | | | 1,340,000 | | | | | | | | 3,551,099 | |
China Resources Land, Ltd. | | | | | | | 204,000 | | | | | | | | 458,799 | |
China Resources Power Holdings Co., Ltd. | | | | | | | 44,000 | | | | | | | | 69,905 | |
CNOOC, Ltd. | | | | | | | 1,182,000 | | | | | | | | 1,478,548 | |
Sino Biopharmaceutical, Ltd. | | | | | | | 95,620 | | | | | | | | 67,327 | |
WH Group, Ltd. 144A | | | | | | | 3,112,500 | | | | | | | | 2,516,652 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 19,977,938 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | Shares | | | Value | |
Hungary — 0.4% | | | | | | | | | | | | | | | | |
OTP Bank PLC | | | | | | | 52,327 | | | | | | | $ | 1,496,140 | |
| | | | | | | | | | | | | | | | |
India — 7.7% | | | | | | | | | | | | | | | | |
Aurobindo Pharma, Ltd. | | | | | | | 5,813 | | | | | | | | 57,325 | |
Axis Bank, Ltd. | | | | | | | 604,710 | | | | | | | | 4,008,976 | |
Bharat Petroleum Corporation, Ltd. | | | | | | | 99,935 | | | | | | | | 935,740 | |
Dabur India, Ltd. | | | | | | | 244,225 | | | | | | | | 1,000,901 | |
Divi’s Laboratories, Ltd. | | | | | | | 17,122 | | | | | | | | 197,709 | |
Dr. Reddy’s Laboratories, Ltd. | | | | | | | 3,448 | | | | | | | | 155,477 | |
Eicher Motors, Ltd. | | | | | | | 173 | | | | | | | | 55,576 | |
GAIL India, Ltd. | | | | | | | 35,319 | | | | | | | | 228,556 | |
Godrej Consumer Products, Ltd. | | | | | | | 2,851 | | | | | | | | 63,428 | |
HCL Technologies, Ltd. | | | | | | | 25,081 | | | | | | | | 305,965 | |
HDFC Bank, Ltd.+ | | | | | | | 71,577 | | | | | | | | 1,393,152 | |
Hero MotoCorp, Ltd. | | | | | | | 21,035 | | | | | | | | 943,321 | |
Hindalco Industries, Ltd. | | | | | | | 148,650 | | | | | | | | 339,593 | |
Hindustan Unilever, Ltd. | | | | | | | 10,196 | | | | | | | | 124,141 | |
Housing Development Finance Corporation, Ltd. | | | | | | | 14,437 | | | | | | | | 268,575 | |
Indiabulls Housing Finance, Ltd. | | | | | | | 12,789 | | | | | | | | 122,529 | |
Infosys, Ltd. | | | | | | | 128,543 | | | | | | | | 1,914,035 | |
Infosys, Ltd. ADRD | | | | | | | 132,500 | | | | | | | | 1,964,975 | |
JSW Steel, Ltd. | | | | | | | 7,893 | | | | | | | | 189,271 | |
Kotak Mahindra Bank, Ltd. | | | | | | | 440,160 | | | | | | | | 4,667,499 | |
Marico, Ltd. | | | | | | | 151,772 | | | | | | | | 582,423 | |
Nestle India, Ltd. | | | | | | | 362 | | | | | | | | 32,154 | |
NTPC, Ltd. | | | | | | | 31,287 | | | | | | | | 75,947 | |
Oil & Natural Gas Corporation, Ltd. | | | | | | | 296,578 | | | | | | | | 836,160 | |
Power Finance Corporation, Ltd. | | | | | | | 368,464 | | | | | | | | 662,063 | |
Reliance Industries, Ltd. | | | | | | | 10,334 | | | | | | | | 164,808 | |
Tata Consultancy Services, Ltd. | | | | | | | 115,794 | | | | | | | | 4,035,899 | |
Tata Motors, Ltd. ADR | | | | | | | 10,261 | | | | | | | | 352,876 | |
Tata Steel, Ltd. | | | | | | | 11,878 | | | | | | | | 68,473 | |
Tech Mahindra, Ltd. | | | | | | | 21,768 | | | | | | | | 156,805 | |
Wipro, Ltd. | | | | | | | 10,702 | | | | | | | | 74,813 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 25,979,165 | |
| | | | | | | | | | | | | | | | |
Indonesia — 1.8% | | | | | | | | | | | | | | | | |
PT Adaro Energy Tbk | | | | | | | 3,127,200 | | | | | | | | 393,439 | |
PT Bank Central Asia Tbk | | | | | | | 2,251,600 | | | | | | | | 2,590,447 | |
PT Bank Mandiri Persero Tbk | | | | | | | 156,900 | | | | | | | | 134,802 | |
PT Bank Negara Indonesia Persero Tbk | | | | | | | 737,100 | | | | | | | | 302,281 | |
PT Bank Rakyat Indonesia Persero Tbk | | | | | | | 427,700 | | | | | | | | 370,636 | |
PT Indofood CBP Sukses Makmur Tbk | | | | | | | 257,800 | | | | | | | | 164,085 | |
PT Indofood Sukses Makmur Tbk | | | | | | | 729,935 | | | | | | | | 429,373 | |
PT Matahari Department Store Tbk | | | | | | | 64,383 | | | | | | | | 72,280 | |
PT Semen Indonesia Persero Tbk | | | | | | | 276,900 | | | | | | | | 188,574 | |
PT Telekomunikasi Indonesia Persero Tbk | | | | | | | 1,627,400 | | | | | | | | 480,761 | |
PT Telekomunikasi Indonesia Persero Tbk ADRD | | | | | | | 10,592 | | | | | | | | 308,863 | |
PT Unilever Indonesia Tbk | | | | | | | 27,470 | | | | | | | | 79,112 | |
PT United Tractors Tbk | | | | | | | 417,969 | | | | | | | | 659,257 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 6,173,910 | |
| | | | | | | | | | | | | | | | |
| | | | |
| 224 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | |
| | | Shares | | | Value | |
Isle of Man (U.K.) — 0.1% | | | | | | | | | | | | | | | | |
New Europe Property Investments PLC | | | | | | | 15,777 | | | | | | | $ | 182,655 | |
| | | | | | | | | | | | | | | | |
Jersey — 0.0% | | | | | | | | | | | | | | | | |
West China Cement, Ltd.* | | | | | | | 1,414,000 | | | | | | | | 158,641 | |
| | | | | | | | | | | | | | | | |
Kenya — 0.5% | | | | | | | | | | | | | | | | |
Equity Group Holdings, Ltd. | | | | | | | 3,054,447 | | | | | | | | 894,246 | |
Safaricom, Ltd. | | | | | | | 3,473,870 | | | | | | | | 649,211 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 1,543,457 | |
| | | | | | | | | | | | | | | | |
Luxembourg — 0.3% | | | | | | | | | | | | | | | | |
Ternium SA ADR | | | | | | | 40,719 | | | | | | | | 983,364 | |
| | | | | | | | | | | | | | | | |
Malaysia — 1.5% | | | | | | | | | | | | | | | | |
AirAsia Bhd | | | | | | | 2,005,900 | | | | | | | | 1,023,966 | |
Axiata Group Bhd | | | | | | | 20,445 | | | | | | | | 21,511 | |
CIMB Group Holdings Bhd | | | | | | | 115,300 | | | | | | | | 115,917 | |
Hong Leong Bank Bhd | | | | | | | 25,900 | | | | | | | | 77,943 | |
IHH Healthcare Bhd | | | | | | | 34,961 | | | | | | | | 49,488 | |
IJM Corporation Bhd | | | | | | | 37,900 | | | | | | | | 27,035 | |
Kuala Lumpur Kepong Bhd | | | | | | | 6,700 | | | | | | | | 35,845 | |
Malayan Banking Bhd | | | | | | | 198,600 | | | | | | | | 363,023 | |
MISC Bhd | | | | | | | 73,067 | | | | | | | | 119,715 | |
Petronas Chemicals Group Bhd | | | | | | | 202,600 | | | | | | | | 315,236 | |
Petronas Gas Bhd | | | | | | | 7,800 | | | | | | | | 37,035 | |
Public Bank Bhd | | | | | | | 161,100 | | | | | | | | 708,179 | |
Tenaga Nasional Bhd | | | | | | | 396,200 | | | | | | | | 1,227,637 | |
Westports Holdings Bhd | | | | | | | 787,100 | | | | | | | | 754,465 | |
YTL Corporation Bhd | | | | | | | 412,300 | | | | | | | | 142,458 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 5,019,453 | |
| | | | | | | | | | | | | | | | |
Mexico — 3.3% | | | | | | | | | | | | | | | | |
America Movil SAB de CV ADR Class L | | | | | | | 105,188 | | | | | | | | 1,322,213 | |
America Movil SAB de CV, Series L | | | | | | | 2,012,645 | | | | | | | | 1,264,114 | |
Arca Continental SAB de CV | | | | | | | 25,888 | | | | | | | | 134,675 | |
Cemex SAB de CV ADR* | | | | | | | 21,592 | | | | | | | | 173,384 | |
Fibra Uno Administracion SA de CV REIT | | | | | | | 181,600 | | | | | | | | 277,529 | |
Gruma SAB de CV Class B | | | | | | | 52,505 | | | | | | | | 667,151 | |
Grupo Bimbo SAB de CV Series A | | | | | | | 33,400 | | | | | | | | 75,534 | |
Grupo Financiero Banorte SAB de CV Class O | | | | | | | 655,987 | | | | | | | | 3,230,941 | |
Grupo Financiero Inbursa SAB de CV Class OD | | | | | | | 432,000 | | | | | | | | 654,784 | |
Grupo Lala SAB de CV | | | | | | | 16,800 | | | | | | | | 24,434 | |
Grupo Mexico SAB de CV Series B | | | | | | | 426,700 | | | | | | | | 1,158,676 | |
Industrias Penoles SAB de CV | | | | | | | 13,714 | | | | | | | | 254,233 | |
Kimberly-Clark de Mexico SAB de CV Class A | | | | | | | 108,534 | | | | | | | | 195,448 | |
Megacable Holdings SAB de CV | | | | | | | 279,200 | | | | | | | | 942,131 | |
OHL Mexico SAB de CV | | | | | | | 82,051 | | | | | | | | 80,706 | |
Telesites SAB de CVD* | | | | | | | 464,916 | | | | | | | | 252,535 | |
Wal-Mart de Mexico SAB de CV | | | | | | | 232,982 | | | | | | | | 416,969 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 11,125,457 | |
| | | | | | | | | | | | | | | | |
Morocco & Antilles — 0.2% | | | | | | | | | | | | | | | | |
Attijariwafa Bank | | | | | | | 17,539 | | | | | | | | 714,818 | |
| | | | | | | | | | | | | | | | |
Nigeria — 0.5% | | | | | | | | | | | | | | | | |
FCMB Group PLC | | | | | | | 12,000,000 | | | | | | | | 41,907 | |
| | | | | | | | | | | | | | | | |
| | | Shares | | | Value | |
Guaranty Trust Bank PLC | | | | | | | 17,349,626 | | | | | | | $ | 1,360,517 | |
Nestle Nigeria PLC | | | | | | | 147,659 | | | | | | | | 379,719 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 1,782,143 | |
| | | | | | | | | | | | | | | | |
Philippines — 1.4% | | | | | | | | | | | | | | | | |
Ayala Corporation | | | | | | | 4,130 | | | | | | | | 60,635 | |
Ayala Land, Inc. | | | | | | | 46,600 | | | | | | | | 29,940 | |
Bank of the Philippine Islands | | | | | | | 491,523 | | | | | | | | 877,993 | |
BDO Unibank, Inc. | | | | | | | 33,230 | | | | | | | | 74,882 | |
Globe Telecom, Inc. | | | | | | | 8,360 | | | | | | | | 253,517 | |
JG Summit Holdings, Inc. | | | | | | | 171,460 | | | | | | | | 233,010 | |
Jollibee Foods Corporation | | | | | | | 10,680 | | | | | | | | 41,605 | |
Metro Pacific Investments Corporation | | | | | | | 859,000 | | | | | | | | 114,968 | |
SM Prime Holdings, Inc. | | | | | | | 56,100 | | | | | | | | 31,940 | |
Universal Robina Corporation | | | | | | | 867,610 | | | | | | | | 2,849,841 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 4,568,331 | |
| | | | | | | | | | | | | | | | |
Poland — 0.6% | | | | | | | | | | | | | | | | |
Alior Bank SA* | | | | | | | 3,521 | | | | | | | | 45,596 | |
Bank Pekao SA | | | | | | | 1,932 | | | | | | | | 58,080 | |
Eurocash SA | | | | | | | 89,302 | | | | | | | | 839,530 | |
KGHM Polska Miedz SA | | | | | | | 13,056 | | | | | | | | 288,535 | |
PGE Polska Grupa Energetyczna SA | | | | | | | 116,791 | | | | | | | | 291,653 | |
Polskie Gornictwo Naftowe i Gazownictwo SA | | | | | | | 346,404 | | | | | | | | 466,050 | |
Powszechna Kasa Oszczednosci Bank Polski SA* | | | | | | | 13,952 | | | | | | | | 93,821 | |
Tauron Polska Energia SA* | | | | | | | 127,827 | | | | | | | | 87,058 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 2,170,323 | |
| | | | | | | | | | | | | | | | |
Portugal — 0.6% | | | | | | | | | | | | | | | | |
Jeronimo Martins SGPS SA | | | | | | | 137,850 | | | | | | | | 2,138,897 | |
| | | | | | | | | | | | | | | | |
Russia — 4.6% | | | | | | | | | | | | | | | | |
Gazprom PJSC ADR | | | | | | | 213,336 | | | | | | | | 1,085,880 | |
Lukoil PJSC ADR | | | | | | | 14,861 | | | | | | | | 833,999 | |
Mobile Telesystems PJSC ADR | | | | | | | 35,323 | | | | | | | | 321,793 | |
Novatek OJSC GDR | | | | | | | 43,475 | | | | | | | | 5,642,831 | |
Rosneft Oil Co. PJSC GDR | | | | | | | 27,856 | | | | | | | | 183,808 | |
Sberbank of Russia PJSC ADRD | | | | | | | 402,289 | | | | | | | | 4,658,507 | |
Severstal PJSC GDR | | | | | | | 50,593 | | | | | | | | 780,893 | |
Sistema JSFC GDR | | | | | | | 68,805 | | | | | | | | 619,245 | |
Surgutneftegas OJSC ADR | | | | | | | 42,924 | | | | | | | | 214,620 | |
Tatneft PJSC ADR | | | | | | | 27,728 | | | | | | | | 1,155,980 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 15,497,556 | |
| | | | | | | | | | | | | | | | |
South Africa — 6.7% | | | | | | | | | | | | | | | | |
African Bank Investments, Ltd.+* | | | | | | | 642,081 | | | | | | | | — | |
Anglo American Platinum, Ltd.* | | | | | | | 25,481 | | | | | | | | 490,575 | |
AngloGold Ashanti, Ltd. ADRD* | | | | | | | 42,354 | | | | | | | | 445,141 | |
Aspen Pharmacare Holdings, Ltd. | | | | | | | 145,267 | | | | | | | | 2,999,532 | |
Barclays Africa Group, Ltd. | | | | | | | 66,041 | | | | | | | | 811,174 | |
Bid Corporation, Ltd. | | | | | | | 171,270 | | | | | | | | 3,057,201 | |
Bidvest Group, Ltd. (The) | | | | | | | 155,279 | | | | | | | | 2,049,281 | |
Discovery, Ltd. | | | | | | | 105,466 | | | | | | | | 879,283 | |
Exxaro Resources, Ltd. | | | | | | | 22,755 | | | | | | | | 148,290 | |
Gold Fields, Ltd. ADR | | | | | | | 65,185 | | | | | | | | 196,207 | |
Growthpoint Properties, Ltd. REIT | | | | | | | 170,095 | | | | | | | | 320,652 | |
Hyprop Investments, Ltd. REIT | | | | | | | 4,255 | | | | | | | | 36,345 | |
| | | | |
| | See Notes to Financial Statements. | | 225 |
EMERGING MARKETS EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | | | | | |
| | | Shares | | | Value | |
Imperial Holdings, Ltd. | | | | | | | 23,724 | | | | | | | $ | 315,151 | |
Investec, Ltd. | | | | | | | 40,192 | | | | | | | | 265,581 | |
Liberty Holdings, Ltd. | | | | | | | 3,539 | | | | | | | | 28,603 | |
MMI Holdings, Ltd. | | | | | | | 39,965 | | | | | | | | 68,647 | |
Mondi, Ltd. | | | | | | | 3,660 | | | | | | | | 74,616 | |
Naspers, Ltd. N Shares | | | | | | | 39,242 | | | | | | | | 5,754,941 | |
Nedbank Group, Ltd. | | | | | | | 7,803 | | | | | | | | 135,297 | |
Pick n Pay Stores, Ltd. | | | | | | | 213,636 | | | | | | | | 991,199 | |
Redefine Properties, Ltd. REIT | | | | | | | 190,199 | | | | | | | | 154,971 | |
Remgro, Ltd. | | | | | | | 16,075 | | | | | | | | 261,074 | |
Resilient, Ltd. REIT | | | | | | | 12,543 | | | | | | | | 104,490 | |
RMB Holdings, Ltd. | | | | | | | 13,838 | | | | | | | | 66,904 | |
Sappi, Ltd.* | | | | | | | 3,975 | | | | | | | | 26,035 | |
Sasol, Ltd. | | | | | | | 1,827 | | | | | | | | 53,066 | |
Sibanye Gold, Ltd. | | | | | | | 61,294 | | | | | | | | 113,316 | |
Sibanye Gold, Ltd. ADRD | | | | | | | 9,533 | | | | | | | | 67,303 | |
SPAR Group, Ltd. (The) | | | | | | | 6,922 | | | | | | | | 100,087 | |
Standard Bank Group, Ltd. | | | | | | | 166,097 | | | | | | | | 1,835,276 | |
Telkom SA SOC, Ltd. | | | | | | | 119,825 | | | | | | | | 645,552 | |
Tiger Brands, Ltd. | | | | | | | 1,149 | | | | | | | | 33,283 | |
Woolworths Holdings, Ltd. | | | | | | | 6,496 | | | | | | | | 33,592 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 22,562,665 | |
| | | | | | | | | | | | | | | | |
South Korea — 12.4% | | | | | | | | | | | | | | | | |
AMOREPACIFIC Group* | | | | | | | 668 | | | | | | | | 73,417 | |
Daelim Industrial Co., Ltd.* | | | | | | | 1,900 | | | | | | | | 136,764 | |
DGB Financial Group, Inc.* | | | | | | | 2,199 | | | | | | | | 17,769 | |
Doosan Heavy Industries & Construction Co., Ltd.* | | | | | | | 12,980 | | | | | | | | 291,611 | |
E-MART, Inc.* | | | | | | | 4,596 | | | | | | | | 695,958 | |
Hana Financial Group, Inc. | | | | | | | 13,672 | | | | | | | | 352,875 | |
Hanwha Chemical Corporation* | | | | | | | 38,907 | | | | | | | | 793,121 | |
Hanwha Corporation* | | | | | | | 24,189 | | | | | | | | 700,814 | |
Hanwha Life Insurance Co., Ltd.* | | | | | | | 28,108 | | | | | | | | 151,855 | |
Hyundai Department Store Co., Ltd.* | | | | | | | 836 | | | | | | | | 75,470 | |
Hyundai Development Co-Engineering & Construction* | | | | | | | 21,775 | | | | | | | | 808,970 | |
Hyundai Engineering & Construction Co., Ltd.* | | | | | | | 16,032 | | | | | | | | 567,137 | |
Hyundai Glovis Co., Ltd.* | | | | | | | 2,031 | | | | | | | | 259,486 | |
Hyundai Marine & Fire Insurance Co., Ltd.* | | | | | | | 794 | | | | | | | | 20,668 | |
Hyundai Mobis Co., Ltd.* | | | | | | | 3,492 | | | | | | | | 762,385 | |
KB Financial Group, Inc.* | | | | | | | 19,712 | | | | | | | | 696,612 | |
Kia Motors Corporation* | | | | | | | 24,943 | | | | | | | | 809,566 | |
KIWOOM Securities Co., Ltd.* | | | | | | | 7,364 | | | | | | | | 438,016 | |
Korea Electric Power Corporation* | | | | | | | 17,893 | | | | | | | | 652,702 | |
Korea Zinc Co., Ltd.* | | | | | | | 680 | | | | | | | | 267,477 | |
Korean Air Lines Co., Ltd.* | | | | | | | 1,841 | | | | | | | | 41,544 | |
KT Corporation ADRD* | | | | | | | 9,472 | | | | | | | | 133,461 | |
LG Chem, Ltd.* | | | | | | | 2,152 | | | | | | | | 464,072 | |
LG Corporation* | | | | | | | 9,562 | | | | | | | | 474,736 | |
LG Uplus Corporation* | | | | | | | 20,696 | | | | | | | | 196,155 | |
Lotte Chemical Corporation* | | | | | | | 4,078 | | | | | | | | 1,242,735 | |
NAVER Corporation* | | | | | | | 2,635 | | | | | | | | 1,687,395 | |
POSCO | | | | | | | 3,204 | | | | | | | | 680,256 | |
Posco Daewoo Corporation* | | | | | | | 21,265 | | | | | | | | 474,686 | |
Samsung Electronics Co., Ltd. | | | | | | | 9,014 | | | | | | | | 13,415,654 | |
Samsung Fire & Marine | | | | | | | | | | | | | | | | |
Insurance Co., Ltd.* | | | | | | | 24,766 | | | | | | | | 5,502,914 | |
Samsung SDI Co., Ltd.* | | | | | | | 6,737 | | | | | | | | 606,487 | |
| | | | | | | | | | | | | | | | |
| | | Shares | | | Value | |
Shinhan Financial Group Co., Ltd.* | | | | | | | 119,466 | | | | | | | $ | 4,480,116 | |
Shinsegae, Inc.* | | | | | | | 756 | | | | | | | | 110,084 | |
SK Hynix, Inc.* | | | | | | | 38,475 | | | | | | | | 1,415,730 | |
SK Innovation Co., Ltd.* | | | | | | | 8,352 | | | | | | | | 1,010,743 | |
SK Networks Co., Ltd.* | | | | | | | 49,414 | | | | | | | | 282,779 | |
SK Telecom Co., Ltd. | | | | | | | 3,219 | | | | | | | | 596,613 | |
Woori Bank* | | | | | | | 9,468 | | | | | | | | 99,781 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 41,488,614 | |
| | | | | | | | | | | | | | | | |
Switzerland — 1.3% | | | | | | | | | | | | | | | | |
Cie Financiere Richemont SA | | | | | | | 42,367 | | | | | | | | 2,806,299 | |
Coca-Cola HBC AG* | | | | | | | 77,495 | | | | | | | | 1,690,445 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 4,496,744 | |
| | | | | | | | | | | | | | | | |
Taiwan — 9.1% | | | | | | | | | | | | | | | | |
Acer, Inc.* | | | | | | | 57,000 | | | | | | | | 23,169 | |
Casetek Holdings, Ltd. | | | | | | | 63,000 | | | | | | | | 167,914 | |
Cathay Financial Holding Co., Ltd. | | | | | | | 75,185 | | | | | | | | 112,443 | |
China Airlines, Ltd. | | | | | | | 294,902 | | | | | | | | 85,097 | |
China Life Insurance Co., Ltd. | | | | | | | 869,820 | | | | | | | | 864,989 | |
Chunghwa Telecom Co., Ltd. | | | | | | | 12,000 | | | | | | | | 37,792 | |
Compal Electronics, Inc. | | | | | | | 887,000 | | | | | | | | 507,777 | |
CTBC Financial Holding Co., Ltd. | | | | | | | 1,303,173 | | | | | | | | 713,674 | |
E.Sun Financial Holding Co., Ltd. | | | | | | | 123,000 | | | | | | | | 70,032 | |
Eva Airways Corporation | | | | | | | 54,880 | | | | | | | | 24,861 | |
Feng TAY Enterprise Co., Ltd. | | | | | | | 27,480 | | | | | | | | 102,744 | |
First Financial Holding Co., Ltd. | | | | | | | 423,225 | | | | | | | | 225,867 | |
Foxconn Technology Co., Ltd. | | | | | | | 151,152 | | | | | | | | 400,052 | |
Fubon Financial Holding Co., Ltd. | | | | | | | 264,000 | | | | | | | | 417,760 | |
Hon Hai Precision Industry Co., Ltd. | | | | | | | 895,778 | | | | | | | | 2,340,268 | |
Innolux Corporation | | | | | | | 252,651 | | | | | | | | 90,935 | |
Inventec Corporation | | | | | | | 252,000 | | | | | | | | 172,801 | |
Lite-On Technology Corporation | | | | | | | 177,883 | | | | | | | | 268,240 | |
MediaTek, Inc. | | | | | | | 406,000 | | | | | | | | 2,727,326 | |
Mega Financial Holding Co, Ltd. | | | | | | | 203,000 | | | | | | | | 144,870 | |
Novatek Microelectronics Corporation | | | | | | | 114,000 | | | | | | | | 376,710 | |
Pegatron Corporation | | | | | | | 214,089 | | | | | | | | 511,491 | |
Phison Electronics Corporation | | | | | | | 64,000 | | | | | | | | 507,369 | |
Pou Chen Corporation | | | | | | | 702,000 | | | | | | | | 875,621 | |
Powertech Technology, Inc. | | | | | | | 472,000 | | | | | | | | 1,274,132 | |
Quanta Computer, Inc. | | | | | | | 46,000 | | | | | | | | 86,065 | |
Realtek Semiconductor Corporation | | | | | | | 226,000 | | | | | | | | 715,256 | |
Siliconware Precision Industries Co., Ltd. | | | | | | | 64,920 | | | | | | | | 96,386 | |
Taiwan Fertilizer Co., Ltd. | | | | | | | 146,000 | | | | | | | | 181,883 | |
Taiwan Semiconductor Manufacturing Co., Ltd. | | | | | | | 1,716,000 | | | | | | | | 9,663,781 | |
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | | | | | | | 197,935 | | | | | | | | 5,690,631 | |
Teco Electric and Machinery Co., Ltd. | | | | | | | 59,000 | | | | | | | | 51,075 | |
Uni-President Enterprises Corporation | | | | | | | 248,000 | | | | | | | | 410,909 | |
Wistron Corporation | | | | | | | 921,200 | | | | | | | | 713,145 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 30,653,065 | |
| | | | | | | | | | | | | | | | |
| | | | |
| 226 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | |
| | | Shares | | | Value | |
Thailand — 4.1% | | | | | | | | | | | | | | | | |
Bangkok Bank PCL NVDR | | | | | | | 37,100 | | | | | | | $ | 165,243 | |
Bangkok Dusit Medical Services PCLD | | | | | | | 4,143,200 | | | | | | | | 2,672,622 | |
Central Pattana PCL | | | | | | | 2,274,800 | | | | | | | | 3,604,946 | |
Charoen Pokphand Foods PCL NVDR | | | | | | | 1,165,300 | | | | | | | | 959,952 | |
CP ALL PCL | | | | | | | 1,286,700 | | | | | | | | 2,245,675 | |
Home Product Center PCL NVDR | | | | | | | 315,300 | | | | | | | | 89,808 | |
Krung Thai Bank PCL NVDR | | | | | | | 256,435 | | | | | | | | 126,748 | |
PTT Exploration & Production PCL NVDR | | | | | | | 251,200 | | | | | | | | 675,165 | |
PTT Global Chemical PCL NVDR | | | | | | | 303,254 | | | | | | | | 533,503 | |
Robinson Department Store PCL | | | | | | | 416,700 | | | | | | | | 738,902 | |
Siam Cement PCL (The) NVDRD | | | | | | | 6,070 | | | | | | | | 84,074 | |
Siam Commercial Bank PCL (The) NVDR | | | | | | | 4,700 | | | | | | | | 20,015 | |
Thai Oil PCL NVDR | | | | | | | 425,362 | | | | | | | | 858,195 | |
Thai Union Group PCL NVDR | | | | | | | 1,807,000 | | | | | | | | 1,059,661 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 13,834,509 | |
| | | | | | | | | | | | | | | | |
Turkey — 1.7% | | | | | | | | | | | | | | | | |
Akbank TAS | | | | | | | 55,117 | | | | | | | | 122,208 | |
Arcelik AS | | | | | | | 77,747 | | | | | | | | 467,333 | |
BIM Birlesik Magazalar AS | | | | | | | 3,656 | | | | | | | | 50,794 | |
Coca-Cola Icecek AS | | | | | | | 46,316 | | | | | | | | 434,676 | |
Eregli Demir ve Celik Fabrikalari TAS | | | | | | | 166,247 | | | | | | | | 242,283 | |
Petkim Petrokimya Holding AS | | | | | | | 104,098 | | | | | | | | 109,207 | |
Tupras Turkiye Petrol Rafinerileri AS | | | | | | | 9,605 | | | | | | | | 192,677 | |
Türkiye Garanti Bankasi AS | | | | | | | 1,289,233 | | | | | | | | 2,785,436 | |
Türkiye Halk Bankasi AS | | | | | | | 31,528 | | | | | | | | 83,493 | |
Ulker Biskuvi Sanayi AS | | | | | | | 114,163 | | | | | | | | 523,087 | |
Yapi ve Kredi Bankasi AS* | | | | | | | 736,764 | | | | | | | | 716,522 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 5,727,716 | |
| | | | | | | | | | | | | | | | |
United Kingdom — 2.6% | | | | | | | | | | | | | | | | |
Anglo American PLC* | | | | | | | 135,617 | | | | | | | | 1,930,004 | |
Hikma Pharmaceuticals PLCD | | | | | | | 51,267 | | | | | | | | 1,196,032 | |
Liberty Global PLC LiLAC Class AD* | | | | | | | 63,843 | | | | | | | | 1,401,992 | |
Liberty Global PLC LiLAC Class C* | | | | | | | 73,133 | | | | | | | | 1,548,226 | |
Mediclinic International PLC | | | | | | | 24,165 | | | | | | | | 229,612 | |
Tullow Oil PLC* | | | | | | | 598,394 | | | | | | | | 2,306,053 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 8,611,919 | |
| | | | | | | | | | | | | | | | |
United States of America — 1.6% | | | | | | | | | | | | | |
Cognizant Technology Solutions Corporation Class A* | | | | | | | 69,000 | | | | | | | | 3,866,070 | |
FirstCash, Inc. | | | | | | | 16,400 | | | | | | | | 770,800 | |
PriceSmart, Inc.D | | | | | | | 1,300 | | | | | | | | 108,550 | |
Southern Copper CorporationD | | | | | | | 4,037 | | | | | | | | 128,942 | |
Yum China Holdings, Inc.* | | | | | | | 14,541 | | | | | | | | 379,811 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 5,254,173 | |
| | | | | | | | | | | | | | | | |
Total Foreign Common Stocks
(Cost $314,631,179) | | | | 299,371,378 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
| Shares | | | Value | |
FOREIGN PREFERRED STOCKS — 3.1% | |
Brazil — 2.0% | | | | | | | | | | | | |
Braskem SA Class A | | | | | | | | | | | | |
3.51%, 10/04/16 | | | 75,600 | | | | | | | $ | 795,557 | |
Centrais Eletricas Brasileiras SA Class B | | | | | | | | | | | | |
0.10%, 05/04/15* | | | 17,000 | | | | | | | | 135,229 | |
Cia Brasileira de Distribuicao ADR | | | | | | | | | | | | |
0.10%, 04/28/16D | | | 21,218 | | | | | | | | 351,158 | |
Cia Brasileira de Distribuicao | | | | | | | | | | | | |
0.11%, 04/28/16 | | | 54,600 | | | | | | | | 918,472 | |
Itau Unibanco Holding SA | | | | | | | | | | | | |
0.51%, 12/01/16 | | | 58,707 | | | | | | | | 610,573 | |
Itausa-Investimentos Itau SA | | | | | | | | | | | | |
0.69%, 12/01/16 | | | 977,932 | | | | | | | | 2,487,872 | |
Petroleo Brasileiro SA | | | | | | | | | | | | |
1.00%, 4/03/14* | | | 129,600 | | | | | | | | 592,114 | |
Vale SA | | | | | | | | | | | | |
0.67%, 12/02/16 | | | 88,100 | | | | | | | | 631,780 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,522,755 | |
| | | | | | | | | | | | |
Chile — 0.0% | | | | | | | | | | | | |
Embotelladora Andina SA Class A | | | | | | | | | | | | |
2.33%, 10/24/16 | | | 16,611 | | | | | | | | 56,768 | |
Embotelladora Andina SA Class B | | | | | | | | | | | | |
2.48%, 10/24/16 | | | 1,770 | | | | | | | | 6,583 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 63,351 | |
| | | | | | | | | | | | |
South Korea — 1.1% | | | | | | | | | | | | |
Samsung Electronics Co., Ltd. | | | | | | | | | | | | |
1.49%, 06/29/16 | | | 2,991 | | | | | | | | 3,541,451 | |
Samsung Fire & Marine Insurance Co., Ltd. | | | | | | | | | | | | |
2.86%, 12/29/15* | | | 1,572 | | | | | | | | 236,710 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,778,161 | |
| | | | | | | | | | | | |
Total Foreign Preferred Stocks
(Cost $10,816,553) | | | | 10,364,267 | |
| | | | | | | | | | | | |
MONEY MARKET FUNDS — 6.2% | |
GuideStone Money Market Fund (Investor Class)¥ | | | 13,793,115 | | | | | | | | 13,793,115 | |
Northern Institutional Liquid Assets Portfolio§ | | | 6,870,752 | | | | | | | | 6,870,752 | |
| | | | | | | | | | | | |
Total Money Market Funds
(Cost $20,663,867) | | | | | | | | 20,663,867 | |
| | | | | | | | | | | | |
| | |
| | | Par | | | | |
U.S. TREASURY OBLIGATION — 0.4% | |
U.S. Treasury Bill 0.60%, 06/22/17W‡‡
(Cost $1,296,364) | | $ | 1,300,000 | | | | | | | | 1,296,228 | |
| | | | | | | | | | | | |
TOTAL INVESTMENTS — 99.0%
(Cost $347,407,963) | | | | | | | | 331,695,740 | |
Other Assets in Excess of Liabilities — 1.0% | | | | 3,491,840 | |
| | | | | | | | | | | | |
NET ASSETS — 100.0% | | | | | | | $ | 335,187,580 | |
| | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 227 |
EMERGING MARKETS EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Swap agreements outstanding at December 31, 2016:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Reference Obligation | | Maturity
Date | | | Counterparty | | | Currency | | | Notional
Amount | | | Market Value | | | Upfront
Premiums
Paid/
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
Total Return Swaps | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
MSCI Brazil Index | | | 03/15/17 | | | | GSC | | | | BRL | | | | 286,639 | | | $ | (2,773 | ) | | $ | — | | | $ | (2,773 | ) |
MSCI Poland Index | | | 03/15/17 | | | | GSC | | | | PLN | | | | 302,831 | | | | (837 | ) | | | — | | | | (837 | ) |
MSCI South Africa Index | | | 03/15/17 | | | | GSC | | | | ZAR | | | | 18,822,822 | | | | (48,121 | ) | | | — | | | | (48,121 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Swap agreements outstanding at December 31, 2016 | | | | | | | | | | | $ | (51,731 | ) | | $ | — | | | $ | (51,731 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| 228 | | See Notes to Financial Statements. | | |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2016, 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: | | | | | | | | | | | | | | | | | | | | |
Argentina | | | $ | 564,671 | | | | $ | 564,671 | | | | $ | — | | | | $ | — | |
Bermuda | | | | 4,534,917 | | | | | 4,534,917 | | | | | — | | | | | — | |
Brazil | | | | 15,973,563 | | | | | 15,973,563 | | | | | — | | | | | — | |
British Virgin Islands | | | | 590,728 | | | | | 590,728 | | | | | — | | | | | — | |
Canada | | | | 1,513,097 | | | | | 1,513,097 | | | | | — | | | | | — | |
Chile | | | | 3,362,393 | | | | | 3,362,393 | | | | | — | | | | | — | |
China | | | | 38,783,722 | | | | | 38,783,722 | | | | | — | | | | | — | |
Colombia | | | | 1,040,596 | | | | | 1,040,596 | | | | | — | | | | | — | |
Cyprus | | | | 196,148 | | | | | 196,148 | | | | | — | | | | | — | |
Egypt | | | | 669,890 | | | | | 669,890 | | | | | — | | | | | — | |
Hong Kong | | | | 19,977,938 | | | | | 19,977,938 | | | | | — | | | | | — | |
Hungary | | | | 1,496,140 | | | | | 1,496,140 | | | | | — | | | | | — | |
India | | | | 25,979,165 | | | | | 24,586,013 | | | | | — | | | | | 1,393,152 | |
Indonesia | | | | 6,173,910 | | | | | 6,173,910 | | | | | — | | | | | — | |
Isle of Man (U.K.) | | | | 182,655 | | | | | 182,655 | | | | | — | | | | | — | |
Jersey | | | | 158,641 | | | | | 158,641 | | | | | — | | | | | — | |
Kenya | | | | 1,543,457 | | | | | 1,543,457 | | | | | — | | | | | — | |
Luxembourg | | | | 983,364 | | | | | 983,364 | | | | | — | | | | | — | |
Malaysia | | | | 5,019,453 | | | | | 5,019,453 | | | | | — | | | | | — | |
Mexico | | | | 11,125,457 | | | | | 11,125,457 | | | | | — | | | | | — | |
Morocco & Antilles | | | | 714,818 | | | | | 714,818 | | | | | — | | | | | — | |
Nigeria | | | | 1,782,143 | | | | | 1,782,143 | | | | | — | | | | | — | |
Philippines | | | | 4,568,331 | | | | | 877,993 | | | | | 3,690,338 | | | | | — | |
Poland | | | | 2,170,323 | | | | | 2,170,323 | | | | | — | | | | | — | |
Portugal | | | | 2,138,897 | | | | | 2,138,897 | | | | | — | | | | | — | |
Russia | | | | 15,497,556 | | | | | 15,497,556 | | | | | — | | | | | — | |
South Africa | | | | 22,562,665 | | | | | 22,562,665 | | | | | — | | | | | — | |
South Korea | | | | 41,488,614 | | | | | 133,461 | | | | | 41,355,153 | | | | | — | |
Switzerland | | | | 4,496,744 | | | | | 4,496,744 | | | | | — | | | | | — | |
Taiwan | | | | 30,653,065 | | | | | 30,653,065 | | | | | — | | | | | — | |
Thailand | | | | 13,834,509 | | | | | 13,834,509 | | | | | — | | | | | — | |
Turkey | | | | 5,727,716 | | | | | 5,727,716 | | | | | — | | | | | — | |
United Kingdom | | | | 8,611,919 | | | | | 8,611,919 | | | | | — | | | | | — | |
United States of America | | | | 5,254,173 | | | | | 5,254,173 | | | | | — | | | | | — | |
Foreign Preferred Stocks: | | | | | | | | | | | | | | | | | | | | |
Brazil | | | | 6,522,755 | | | | | 6,522,755 | | | | | — | | | | | — | |
Chile | | | | 63,351 | | | | | 63,351 | | | | | — | | | | | — | |
South Korea | | | | 3,778,161 | | | | | — | | | | | 3,778,161 | | | | | — | |
Money Market Funds | | | | 20,663,867 | | | | | 20,663,867 | | | | | — | | | | | — | |
U.S. Treasury Obligation | | | | 1,296,228 | | | | | — | | | | | 1,296,228 | | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets—Investments in Securities | | | $ | 331,695,740 | | | | $ | 280,182,708 | | | | $ | 50,119,880 | | | | $ | 1,393,152 | |
| | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | | $ | 933,171 | | | | $ | — | | | | $ | 933,171 | | | | $ | — | |
Futures Contracts | | | | 179,238 | | | | | 179,238 | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets—Other Financial Instruments | | | $ | 1,112,409 | | | | $ | 179,238 | | | | $ | 933,171 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Swap Agreements | | | $ | (51,731 | ) | | | $ | — | | | | $ | (51,731 | ) | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Liabilities—Other Financial Instruments | | | $ | (51,731 | ) | | | $ | — | | | | $ | (51,731 | ) | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
***Other financial instruments are derivative instruments not reflected in the Schedule of Investments (such as futures contracts and forwards contracts) and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the “Financial Futures Contracts” and “Forward Foreign Currency Contracts” disclosures in the Notes to Financial Statements and the “Swap agreements outstanding” disclosure on the preceding page(s), respectively.
There were no transfers between Level 1, Level 2 and Level 3 during the year ended December 31, 2016.
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 year ended December 31, 2016.
| | | | |
| | See Notes to Financial Statements. | | 229 |
| | |
STATEMENTS OF ASSETS AND LIABILITIES | | December 31, 2016 |
| | | | | | | | |
| | | Defensive Market
Strategies Fund | | | Equity Index
Fund | |
Assets | | | | | | | | |
Investments in securities of unaffiliated issuers, at value | | $ | 830,727,822 | | | $ | 722,702,228 | |
Investments in securities of affiliated issuers, at value | | | 29,868,692 | | | | 23,274,030 | |
| | | | | | | | |
Total investments, at value (1)(2) | | | 860,596,514 | | | | 745,976,258 | |
Cash | | | 1,334,742 | | | | 403,078 | |
Cash collateral for derivatives | | | — | | | | — | |
Deposits with broker | | | 5,441 | | | | — | |
Foreign currency(3) | | | 34,053 | | | | — | |
Receivables: | | | | | | | | |
Dividends and reclaims | | | 915,031 | | | | 771,480 | |
Interest | | | 1,228,489 | | | | — | |
Securities lending | | | 42,128 | | | | 10,506 | |
Receivable from advisor | | | — | | | | — | |
Investment securities sold | | | 2,275,875 | | | | — | |
Fund shares sold | | | 498,885 | | | | 544,716 | |
Variation margin on financial futures contracts | | | — | | | | — | |
Unrealized appreciation on foreign currency exchange contracts | | | 433 | | | | — | |
Unrealized appreciation on swap agreements | | | — | | | | — | |
Prepaid expenses and other assets | | | 60,850 | | | | 26,145 | |
| | | | | | | | |
Total Assets | | | 866,992,441 | | | | 747,732,183 | |
| | | | | | | | |
Liabilities | | | | | | | | |
Foreign currency overdraft(3) | | | — | | | | — | |
Securities sold short, at value (4) | | | — | | | | — | |
Options written, at value (5) | | | 705,781 | | | | — | |
Unrealized depreciation on foreign currency exchange contracts | | | 81,772 | | | | — | |
Unrealized depreciation on swap agreements | | | — | | | | — | |
Collateral held for securities on loan, at value | | | 39,313,038 | | | | 5,051,715 | |
Collateral held for derivatives | | | — | | | | — | |
Collateral held for securities sold short | | | — | | | | — | |
Payables: | | | | | | | | |
Investment securities purchased | | | 2,988,236 | | | | — | |
Dividends on short sales | | | — | | | | — | |
Fund shares redeemed | | | 47,598 | | | | 83,581 | |
Variation margin on financial futures contracts | | | 54,735 | | | | 96,120 | |
Securities lending | | | 6,317 | | | | 1,574 | |
Foreign capital gains taxes | | | — | | | | — | |
Accrued expenses: | | | | | | | | |
Investment advisory fees | | | 430,590 | | | | 54,553 | |
Shareholder servicing fees | | | 57,541 | | | | 81,369 | |
Other expenses | | | 70,690 | | | | 163,664 | |
| | | | | | | | |
Total Liabilities | | | 43,756,298 | | | | 5,532,576 | |
| | | | | | | | |
Net Assets | | $ | 823,236,143 | | | $ | 742,199,607 | |
| | | | | | | | |
Net Assets Consist of: | | | | | | | | |
Paid-in-capital | | $ | 753,318,265 | | | $ | 543,532,343 | |
Accumulated (distributions in excess of) net investment income (loss) | | | 605,946 | | | | 71,855 | |
Undistributed (accumulated) net realized gain (loss) on investments, foreign currency and derivative transactions | | | 3,401,567 | | | | (4,438,507 | ) |
Net unrealized appreciation (depreciation) on investments, foreign currency and derivative transactions | | | 65,910,365 | | | | 203,033,916 | |
| | | | | | | | |
Net Assets | | $ | 823,236,143 | | | $ | 742,199,607 | |
| | | | | | | | |
Net Asset Value: | | | | | | | | |
$0.001 par value, unlimited shares authorized | | | | | | | | |
Net assets applicable to the Institutional Class | | $ | 547,132,469 | | | $ | 355,403,328 | |
| | | | | | | | |
Institutional shares outstanding | | | 45,972,753 | | | | 14,398,039 | |
| | | | | | | | |
Net asset value, offering and redemption price per Institutional share | | $ | 11.90 | | | $ | 24.68 | |
| | | | | | | | |
Net assets applicable to the Investor Class | | $ | 276,103,674 | | | $ | 386,796,279 | |
| | | | | | | | |
Investor shares outstanding | | | 23,186,457 | | | | 15,657,725 | |
| | | | | | | | |
Net asset value, offering and redemption price per Investor share | | $ | 11.91 | | | $ | 24.70 | |
| | | | | | | | |
| | | | | | | | |
(1) Investments in securities of unaffiliated issuers, at cost | | $ | 764,723,307 | | | $ | 519,539,597 | |
Investments in securities of affiliated issuers, at cost | | | 29,868,692 | | | | 23,274,030 | |
| | | | | | | | |
Total investments, at cost | | $ | 794,591,999 | | | $ | 542,813,627 | |
| | | | | | | | |
(2) Includes securities loaned of: | | $ | 46,608,710 | | | $ | 26,746,836 | |
| | | | | | | | |
(3) Foreign currency, at cost | | $ | 41,827 | | | $ | — | |
| | | | | | | | |
(4) Proceeds from securities sold short | | $ | — | | | $ | — | |
| | | | | | | | |
(5) Premiums received on options written | | $ | 744,676 | | | $ | — | |
| | | | | | | | |
(6) Net of $(11,681) and $(71,014) accrued foreign capital gains taxes on appreciated securities for International Equity Fund and Emerging Markets Equity Fund, respectively | | | | | |
| | | | |
| 230 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | | | | | | | |
Value Equity
Fund | | | Growth Equity
Fund | | | Small Cap
Equity Fund | | | International Equity
Index Fund | | | International
Equity Fund | | | Emerging Markets
Equity Fund | |
| | | | | | | | | | | | | | | | | | | | | | | |
| $ | 1,288,379,329 | | | $ | 1,276,652,267 | | | $ | 568,799,790 | | | $ | 128,027,225 | | | $ | 1,292,026,468 | | | $ | 317,902,625 | |
| | 30,846,106 | | | | 54,388,015 | | | | 23,247,942 | | | | 6,944,453 | | | | 59,346,657 | | | | 13,793,115 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1,319,225,435 | | | | 1,331,040,282 | | | | 592,047,732 | | | | 134,971,678 | | | | 1,351,373,125 | | | | 331,695,740 | |
| | 96,101 | | | | 737 | | | | 1,083,736 | | | | 349,983 | | | | 390,000 | | | | 8,332,443 | |
| | — | | | | — | | | | — | | | | — | | | | 3,341,568 | | | | 240,268 | |
| | — | | | | — | | | | — | | | | — | | | | 9,542,134 | | | | — | |
| | — | | | | — | | | | 1 | | | | 3,539 | | | | 7,138,433 | | | | 1,099,184 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1,818,673 | | | | 452,631 | | | | 785,386 | | | | 279,811 | | | | 5,939,460 | | | | 917,298 | |
| | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | 29,628 | | | | 122,043 | | | | 62,578 | | | | 3,227 | | | | 70,114 | | | | 8,415 | |
| | | | | — | | | | — | | | | 37,299 | | | | — | | | | — | |
| | 563,131 | | | | 343,308 | | | | 673,985 | | | | 42,386 | | | | 8,947,867 | | | | 11,958,802 | |
| | 276,159 | | | | 98,179 | | | | 318,649 | | | | 33 | | | | 167,151 | | | | 287,638 | |
| | — | | | | — | | | | — | | | | 24,118 | | | | 958,898 | | | | 232,981 | |
| | — | | | | — | | | | — | | | | — | | | | 908,668 | | | | 1,354,959 | |
| | — | | | | — | | | | — | | | | — | | | | 281,711 | | | | — | |
| | 31,919 | | | | 33,148 | | | | 21,676 | | | | 6,883 | | | | 31,295 | | | | 27,805 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1,322,041,046 | | | | 1,332,090,328 | | | | 594,993,743 | | | | 135,718,957 | | | | 1,389,090,424 | | | | 356,155,533 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | — | | | | — | | | | — | | | | — | | | | 343,178 | | | | — | |
| | — | | | | — | | | | — | | | | — | | | | 63,811,126 | | | | — | |
| | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | — | | | | — | | | | — | | | | — | | | | 3,018,557 | | | | 421,788 | |
| | — | | | | — | | | | — | | | | — | | | | 32,783 | | | | 51,731 | |
| | 28,320,677 | | | | 14,082,344 | | | | 60,252,614 | | | | 2,545,642 | | | | 23,851,659 | | | | 6,870,752 | |
| | — | | | | — | | | | — | | | | — | | | | 110,000 | | | | 1,080,000 | |
| | — | | | | — | | | | — | | | | — | | | | 5,145,397 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1,607,094 | | | | 1,608,612 | | | | 1,408,817 | | | | — | | | | 9,131,969 | | | | 11,879,093 | |
| | — | | | | — | | | | — | | | | — | | | | 81,386 | | | | — | |
| | 193,639 | | | | 460,225 | | | | 61,729 | | | | 278 | | | | 66,868 | | | | 504 | |
| | 134,398 | | | | 218,050 | | | | 106,590 | | | | — | | | | 183,700 | | | | 260,068 | |
| | 4,442 | | | | 18,305 | | | | 9,375 | | | | 484 | | | | 10,516 | | | | 1,261 | |
| | — | | | | — | | | | — | | | | — | | | | 11,866 | | | | 71,226 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 597,666 | | | | 799,673 | | | | 412,136 | | | | — | | | | 782,451 | | | | 282,173 | |
| | 78,469 | | | | 91,094 | | | | 55,937 | | | | — | | | | 55,198 | | | | 9,388 | |
| | 82,758 | | | | 71,907 | | | | 65,202 | | | | 151,396 | | | | 229,320 | | | | 39,969 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 31,019,143 | | | | 17,350,210 | | | | 62,372,400 | | | | 2,697,800 | | | | 106,865,974 | | | | 20,967,953 | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | 1,291,021,903 | | | $ | 1,314,740,118 | | | $ | 532,621,343 | | | $ | 133,021,157 | | | $ | 1,282,224,450 | | | $ | 335,187,580 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
| $ | 1,068,572,170 | | | $ | 1,137,192,883 | | | $ | 456,219,512 | | | $ | 145,188,624 | | | $ | 1,302,128,854 | | | $ | 387,567,789 | |
| | 158,865 | | | | — | | | | 27,294 | | | | (188,056 | ) | | | (1,844,748 | ) | | | 196,901 | |
| | (10,003,209 | ) | |
|
4,534,992 |
| | | 1,613,651 | | | | (1,627,929 | ) | | | (18,518,118 | ) | | | (37,856,136 | ) |
|
232,294,077 |
| | | 173,012,243 | | | | 74,760,886 | | | | (10,351,482 | ) | | | 458,462 | (6) | | | (14,720,974 | )(6) |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | 1,291,021,903 | | | $ | 1,314,740,118 | | | $ | 532,621,343 | | | $ | 133,021,157 | | | $ | 1,282,224,450 | | | $ | 335,187,580 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | 920,432,960 | | | $ | 890,530,541 | | | $ | 265,627,474 | | | $ | 133,021,157 | | | $ | 1,017,929,154 | | | $ | 290,081,570 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 43,451,029 | | | | 42,246,221 | | | | 15,149,527 | | | | 15,012,395 | | | | 77,365,576 | | | | 35,443,983 | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | 21.18 | | | $ | 21.08 | | | $ | 17.53 | | | $ | 8.86 | | | $ | 13.16 | | | $ | 8.18 | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | 370,588,943 | | | $ | 424,209,577 | | | $ | 266,993,869 | | | | N/A | | | $ | 264,295,296 | | | $ | 45,106,010 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 17,480,799 | | | | 20,135,415 | | | | 15,202,144 | | | | N/A | | | | 20,045,611 | | | | 5,508,814 | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | 21.20 | | | $ | 21.07 | | | $ | 17.56 | | | | N/A | | | $ | 13.18 | | | $ | 8.19 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | 1,055,913,069 | | | $ | 1,103,432,134 | | | $ | 493,494,284 | | | $ | 138,333,919 | | | $ | 1,290,906,935 | | | $ | 333,614,848 | |
| | 30,846,106 | | | | 54,388,015 | | | | 23,247,942 | | | | 6,944,453 | | | | 59,346,657 | | | | 13,793,115 | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | 1,086,759,175 | | | $ | 1,157,820,149 | | | $ | 516,742,226 | | | $ | 145,278,372 | | | $ | 1,350,253,592 | | | $ | 347,407,963 | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | 55,198,953 | | | $ | 159,066,977 | | | $ | 87,478,772 | | | $ | 3,209,911 | | | $ | 43,253,802 | | | $ | 14,075,072 | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | — | | | $ | — | | | $ | 3 | | | $ | 2,891 | | | $ | 7,165,968 | | | $ | 1,101,242 | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 64,931,431 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 231 |
| | |
STATEMENTS OF OPERATIONS | | For the Year Ended December 31, 2016 |
| | | | | | | | |
| | | Defensive Market
Strategies Fund | | | Equity Index
Fund | |
Investment Income | | | | | | | | |
Dividends | | $ | 9,915,110 | | | $ | 13,745,344 | |
Income distributions received from affiliated funds | | | 8,971 | | | | 7,772 | |
Interest | | | 4,362,280 | | | | 5,087 | |
Securities lending | | | 251,971 | | | | 98,265 | |
Less foreign taxes withheld | | | (63,648 | ) | | | — | |
| | | | | | | | |
Total Investment Income | | | 14,474,684 | | | | 13,856,468 | |
| | | | | | | | |
Expenses | | | | | | | | |
Investment advisory fees | | | 4,383,544 | | | | 633,831 | |
Transfer agent fees: | | | | | | | | |
Institutional shares | | | 4,482 | | | | 4,140 | |
Investor shares | | | 24,439 | | | | 30,475 | |
Custodian fees | | | 51,773 | | | | 52,388 | |
Shareholder servicing fees: | | | | | | | | |
Investor shares | | | 521,227 | | | | 868,833 | |
Accounting and administration fees | | | 200,775 | | | | 162,955 | |
Professional fees | | | 70,734 | | | | 68,663 | |
Blue sky fees: | | | | | | | | |
Institutional shares | | | 19,625 | | | | 16,202 | |
Investor shares | | | 24,583 | | | | 19,285 | |
Shareholder reporting fees: | | | | | | | | |
Institutional shares | | | 1,420 | | | | 959 | |
Investor shares | | | 11,771 | | | | 23,608 | |
Trustee expenses | | | 5,796 | | | | 5,657 | |
Line of credit facility fees and interest expense | | | 4,596 | | | | 10,392 | |
Other expenses | | | 55,436 | | | | 52,931 | |
| | | | | | | | |
Total expenses before dividends on securities sold short | | | 5,380,201 | | | | 1,950,319 | |
Dividends on securities sold short | | | — | | | | — | |
Expenses waived/reimbursed net of amount recaptured(1) | | | (59,628 | ) | | | (37,381 | ) |
Fees paid indirectly | | | — | | | | — | |
| | | | | | | | |
Net expenses | | | 5,320,573 | | | | 1,912,938 | |
| | | | | | | | |
Net Investment Income (Loss) | | | 9,154,111 | | | | 11,943,530 | |
| | | | | | | | |
Realized and Unrealized Gain (Loss) | | | | | | | | |
Net realized gain (loss) from: | | | | | | | | |
Capital gain distributions received from affiliated funds | | | 1,281 | | | | 1,652 | |
Investment securities | | | 27,508,365 | | | | 5,988,617 | |
Investment securities sold short | | | — | | | | — | |
Futures transactions | | | 2,371,381 | | | | 2,901,921 | |
Swap agreements | | | — | | | | — | |
Option contracts written | | | 7,290,501 | | | | — | |
Option contracts purchased | | | (446 | ) | | | — | |
Foreign currency | | | 314,303 | | | | — | |
| | | | | | | | |
Net realized gain (loss) | | | 37,485,385 | | | | 8,892,190 | |
| | | | | | | | |
Net change in unrealized appreciation (depreciation) on: | | | | | | | | |
Investment securities (net of estimated capital gains taxes of $(10,707) and $(50,980) for International Equity Fund and Emerging Markets Fund, respectively) | | | 29,675,030 | | | | 57,369,790 | |
Investment securities sold short | | | — | | | | — | |
Futures | | | 35,027 | | | | (87,166 | ) |
Swap agreements | | | — | | | | — | |
Option contracts written | | | (307,844 | ) | | | — | |
Foreign currency | | | (96,895 | ) | | | — | |
| | | | | | | | |
Net change in unrealized appreciation (depreciation) | | | 29,305,318 | | | | 57,282,624 | |
| | | | | | | | |
Net Realized and Unrealized Gain (Loss) | | | 66,790,703 | | | | 66,174,814 | |
| | | | | | | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | $ | 75,944,814 | | | $ | 78,118,344 | |
| | | | | | | | |
| (1) | See Note 3a and 3c in Notes to Financial Statements. |
| | | | |
| 232 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | | | | | | | |
Value Equity
Fund | | | Growth Equity
Fund | | | Small Cap
Equity Fund | | | International Equity
Index Fund | | | International
Equity Fund | | | Emerging Markets
Equity Fund | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | 32,325,885 | | | $ | 9,840,882 | | | $ | 6,309,549 | | | $ | 4,046,716 | | | $ | 40,954,525 | | | $ | 8,299,699 | |
| | 14,783 | | | | 17,394 | | | | 6,996 | | | | 16,006 | | | | 21,537 | | | | 4,394 | |
| | 10,976 | | | | 9,676 | | | | 7,734 | | | | — | | | | — | | | | 4,479 | |
| | 392,084 | | | | 508,435 | | | | 527,157 | | | | 46,865 | | | | 959,489 | | | | 103,412 | |
| | (80,910 | ) | | | (178,874 | ) | | | (34,828 | ) | | | (306,430 | ) | | | (2,875,927 | ) | | | (927,889 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | 32,662,818 | | | | 10,197,513 | | | | 6,816,608 | | | | 3,803,157 | | | | 39,059,624 | | | | 7,484,095 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 6,915,015 | | | | 9,715,264 | | | | 4,760,157 | | | | 177,844 | | | | 9,427,133 | | | | 3,493,840 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 4,619 | | | | 4,577 | | | | 4,532 | | | | 3,992 | | | | 4,547 | | | | 4,427 | |
| | 29,119 | | | | 30,540 | | | | 28,433 | | | | — | | | | 28,729 | | | | 19,405 | |
| | 70,103 | | | | 54,940 | | | | 61,456 | | | | 109,245 | | | | 343,623 | | | | 657,214 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 829,657 | | | | 1,115,209 | | | | 571,947 | | | | — | | | | 634,243 | | | | 93,973 | |
| | 276,459 | | | | 287,907 | | | | 133,436 | | | | 253,183 | | | | 477,802 | | | | 288,030 | |
| | 98,663 | | | | 68,663 | | | | 74,805 | | | | 168,434 | | | | 72,574 | | | | 143,123 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 15,936 | | | | 15,957 | | | | 15,768 | | | | 21,305 | | | | 15,843 | | | | 16,680 | |
| | 15,637 | | | | 15,750 | | | | 15,423 | | | | — | | | | 14,949 | | | | 24,326 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1,636 | | | | 1,393 | | | | 1,650 | | | | 433 | | | | 1,330 | | | | 2,364 | |
| | 19,950 | | | | 18,703 | | | | 19,475 | | | | — | | | | 17,484 | | | | 6,980 | |
| | 10,724 | | | | 11,864 | | | | 4,233 | | | | 917 | | | | 11,112 | | | | 3,003 | |
| | 9,351 | | | | 10,307 | | | | 3,365 | | | | 1,854 | | | | 114,823 | | | | 2,338 | |
| | 31,097 | | | | 60,753 | | | | 40,630 | | | | 43,015 | | | | 622,515 | | | | 258,047 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 8,327,966 | | | | 11,411,827 | | | | 5,735,310 | | | | 780,222 | | | | 11,786,707 | | | | 5,013,750 | |
| | — | | | | — | | | | — | | | | — | | | | 1,779,302 | | | | — | |
| | (87,710 | ) | | | (110,503 | ) | | | (72,379 | ) | | | (98,308 | ) | | | (115,386 | ) | | | (639,785 | ) |
| | (25,000 | ) | | | (19,000 | ) | | | (48,601 | ) | | | — | | | | (7,000 | ) | | | (4,000 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | 8,215,256 | | | | 11,282,324 | | | | 5,614,330 | | | | 681,914 | | | | 13,443,623 | | | | 4,369,965 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 24,447,562 | | | | (1,084,811 | ) | | | 1,202,278 | | | | 3,121,243 | | | | 25,616,001 | | | | 3,114,130 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1,804 | | | | 2,134 | | | | 4,014 | | | | 430 | | | | 2,663 | | | | 578 | |
| | 52,300,592 | | | | 37,718,011 | | | | 8,571,905 | | | | (1,124,223 | ) | | | 747,320 | | | | (19,885,000 | ) |
| | — | | | | — | | | | — | | | | — | | | | 3,621,287 | | | | — | |
| | 6,008,768 | | | | 5,581,688 | | | | 4,009,845 | | | | 288,663 | | | | 3,367,734 | | | | 2,389,336 | |
| | — | | | | — | | | | — | | | | — | | | | (424,145 | ) | | | 98,542 | |
| | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | — | | | | — | | | | — | | | | (7,334 | ) | | | 8,787,170 | | | | 2,964,331 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 58,311,164 | | | | 43,301,833 | | | | 12,585,764 | | | | (842,464 | ) | | | 16,102,029 | | | | (14,432,213 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
|
86,387,289 |
| | | (55,358,222 | ) | | | 68,974,594 | | | | 617,068 | | | | 9,590,375 | | | | 54,570,093 | |
| | — | | | | — | | | | — | | | | — | | | | (6,028,557 | ) | | | — | |
| | (77,286 | ) | | | (63,290 | ) | | | (785,942 | ) | | | (124,472 | ) | | | (438,194 | ) | | | 333,819 | |
| | — | | | | — | | | | — | | | | — | | | | 250,372 | | | | (32,752 | ) |
| | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | — | | | | — | | | | (1 | ) | | | (14,796 | ) | | | (5,451,654 | ) | | | 424,717 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 86,310,003 | | | | (55,421,512 | ) | | | 68,188,651 | | | | 477,800 | | | | (2,077,658 | ) | | | 55,295,877 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 144,621,167 | | | | (12,119,679 | ) | | | 80,774,415 | | | | (364,664 | ) | | | 14,024,371 | | | | 40,863,664 | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | 169,068,729 | | | $ | (13,204,490 | ) | | $ | 81,976,693 | | | $ | 2,756,579 | | | $ | 39,640,372 | | | $ | 43,977,794 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 233 |
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Defensive Market
Strategies Fund | |
| | | For the Year Ended | |
| | | 12/31/16 | | | 12/31/15 | |
Operations: | | | | | | | | |
Net investment income (loss) | | $ | 9,154,111 | | | $ | 7,779,144 | |
Net realized gain on investment securities, foreign currency and derivatives | | | 37,485,385 | | | | 25,245,667 | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | | | 29,305,318 | | | | (19,891,616 | ) |
| | | | | | | | |
Net increase (decrease) in net assets resulting from operations | | | 75,944,814 | | | | 13,133,195 | |
| | | | | | | | |
Dividends and Distributions to Shareholders: | | | | | | | | |
Dividends from net investment income | | | | | | | | |
Institutional shares | | | (6,782,198 | ) | | | (6,575,193 | ) |
Investor shares | | | (2,584,867 | ) | | | (1,657,589 | ) |
Distributions from net realized capital gains | | | | | | | | |
Institutional shares | | | (20,422,901 | ) | | | (19,172,510 | ) |
Investor shares | | | (10,089,480 | ) | | | (7,060,542 | ) |
| | | | | | | | |
Total dividends and distributions | | | (39,879,446 | ) | | | (34,465,834 | ) |
| | | | | | | | |
Capital Share Transactions: | | | | | | | | |
Proceeds from shares sold | | | | | | | | |
Institutional shares | | | 86,759,491 | | | | 370,644,668 | |
Investor shares | | | 120,050,570 | | | | 63,439,406 | |
Reinvestment of dividends and distributions | | | | | | | | |
Institutional shares | | | 27,129,944 | | | | 25,741,918 | |
Investor shares | | | 12,666,913 | | | | 8,711,001 | |
| | | | | | | | |
Total proceeds from shares sold and reinvested | | | 246,606,918 | | | | 468,536,993 | |
| | | | | | | | |
Value of shares redeemed | | | | | | | | |
Institutional shares | | | (36,641,159 | ) | | | (30,412,966 | ) |
Investor shares | | | (33,410,504 | ) | | | (381,207,938 | ) |
| | | | | | | | |
Total value of shares redeemed | | | (70,051,663 | ) | | | (411,620,904 | ) |
| | | | | | | | |
Net increase (decrease) from capital share transactions(1) | | | 176,555,255 | | | | 56,916,089 | |
| | | | | | | | |
Total increase (decrease) in net assets | | | 212,620,623 | | | | 35,583,450 | |
| | | | | | | | |
Net Assets: | | | | | | | | |
Beginning of Year | | | 610,615,520 | | | | 575,032,070 | |
| | | | | | | | |
End of Year* | | $ | 823,236,143 | | | $ | 610,615,520 | |
| | | | | | | | |
*Including undistributed net investment income | | $ | 605,946 | | | $ | 445,399 | |
| | | | | | | | |
| (1) | See Note 6 in Notes to Financial Statements. |
| | | | |
| 234 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | | | | | | | |
| Equity Index Fund | | | Value Equity Fund | | | Growth Equity Fund | |
| For the Year Ended | | | For the Year Ended | | | For the Year Ended | |
| | | | | | | | |
| 12/31/16 | | | 12/31/15 | | | 12/31/16 | | | 12/31/15 | | | 12/31/16 | | | 12/31/15 | |
| $ | 11,943,530 | | | $ | 9,491,203 | | | $ | 24,447,562 | | | $ | 20,188,663 | | | $ | (1,084,811 | ) | | $ | (959,374 | ) |
| | 8,892,190 | | | | 14,044,153 | | | | 58,311,164 | | | | 116,305,177 | | | | 43,301,833 | | | | 203,128,460 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 57,282,624 | | | | (22,022,980 | ) | | | 86,310,003 | | | | (180,424,665 | ) | | | (55,421,512 | ) | | | (124,167,046 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 78,118,344 | | | | 1,512,376 | | | | 169,068,729 | | | | (43,930,825 | ) | | | (13,204,490 | ) | | | 78,002,040 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | (7,539,949 | ) | | | (7,056,268 | ) | | | (20,652,060 | ) | | | (19,036,191 | ) | | | — | | | | — | |
| | (4,493,334 | ) | | | (2,560,882 | ) | | | (4,414,829 | ) | | | (1,264,602 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | |
| | (4,164,984 | ) | | | (9,195,422 | ) | | | (35,799,929 | ) | | | (105,461,430 | ) | | | (39,566,114 | ) | | | (174,932,173 | ) |
| | (3,860,904 | ) | | | (4,373,863 | ) | | | (11,488,346 | ) | | | (15,752,143 | ) | | | (13,379,455 | ) | | | (42,957,853 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | (20,059,171 | ) | | | (23,186,435 | ) | | | (72,355,164 | ) | | | (141,514,366 | ) | | | (52,945,569 | ) | | | (217,890,026 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 62,887,840 | | | | 368,510,576 | | | | 72,695,633 | | | | 836,419,140 | | | | 78,821,400 | | | | 831,966,195 | |
| | 61,970,285 | | | | 43,778,466 | | | | 46,876,464 | | | | 37,097,759 | | | | 28,018,112 | | | | 63,629,886 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 11,688,033 | | | | 16,244,073 | | | | 56,444,119 | | | | 124,476,508 | | | | 39,563,140 | | | | 174,915,603 | |
| | 8,347,177 | | | | 6,930,359 | | | | 15,889,798 | | | | 17,001,799 | | | | 13,376,181 | | | | 42,949,552 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 144,893,335 | | | | 435,463,474 | | | | 191,906,014 | | | | 1,014,995,206 | | | | 159,778,833 | | | | 1,113,461,236 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | (22,108,055 | ) | | | (186,575,659 | ) | | | (193,720,488 | ) | | | (151,854,454 | ) | | | (114,360,239 | ) | | | (176,712,798 | ) |
| | (47,248,664 | ) | | | (48,577,199 | ) | | | (45,525,237 | ) | | | (851,404,094 | ) | | | (80,144,960 | ) | | | (865,778,812 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | (69,356,719 | ) | | | (235,152,858 | ) | | | (239,245,725 | ) | | | (1,003,258,548 | ) | | | (194,505,199 | ) | | | (1,042,491,610 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | 75,536,616 | | | | 200,310,616 | | | | (47,339,711 | ) | | | 11,736,658 | | | | (34,726,366 | ) | | | 70,969,626 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 133,595,789 | | | | 178,636,557 | | | | 49,373,854 | | | | (173,708,533 | ) | | | (100,876,425 | ) | | | (68,918,360 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 608,603,818 | | | | 429,967,261 | | | | 1,241,648,049 | | | | 1,415,356,582 | | | | 1,415,616,543 | | | | 1,484,534,903 | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | 742,199,607 | | | $ | 608,603,818 | | | $ | 1,291,021,903 | | | $ | 1,241,648,049 | | | $ | 1,314,740,118 | | | $ | 1,415,616,543 | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | 71,855 | | | $ | 159,956 | | | $ | 158,865 | | | $ | 776,388 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 235 |
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Small Cap Equity Fund | |
| | | For the Year Ended | |
| | | 12/31/16 | | | 12/31/15 | |
Operations: | | | | | | | | |
Net investment income | | $ | 1,202,278 | | | $ | 1,380,367 | |
Net realized gain (loss) on investment securities, foreign currency and derivatives | | | 12,585,764 | | | | 31,466,524 | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | | | 68,188,651 | | | | (63,655,105 | ) |
| | | | | | | | |
Net increase (decrease) in net assets resulting from operations | | | 81,976,693 | | | | (30,808,214 | ) |
| | | | | | | | |
Dividends and Distributions to Shareholders: | | | | | | | | |
Dividends from net investment income | | | | | | | | |
Institutional shares | | | (985,933 | ) | | | (1,207,226 | ) |
Investor shares | | | (386,414 | ) | | | — | |
Distributions from net realized capital gains | | | | | | | | |
Institutional shares | | | (2,849,693 | ) | | | (27,812,036 | ) |
Investor shares | | | (2,825,962 | ) | | | (13,086,307 | ) |
| | | | | | | | |
Total dividends and distributions | | | (7,048,002 | ) | | | (42,105,569 | ) |
| | | | | | | | |
Capital Share Transactions: | | | | | | | | |
Proceeds from shares sold | | | | | | | | |
Institutional shares | | | 24,829,412 | | | | 219,772,080 | |
Investor shares | | | 29,247,158 | | | | 25,998,341 | |
Reinvestment of dividends and distributions | | | | | | | | |
Institutional shares | | | 3,835,372 | | | | 29,017,402 | |
Investor shares | | | 3,211,578 | | | | 13,081,613 | |
| | | | | | | | |
Total proceeds from shares sold and reinvested | | | 61,123,520 | | | | 287,869,436 | |
| | | | | | | | |
Value of shares redeemed | | | | | | | | |
Institutional shares | | | (69,413,390 | ) | | | (18,395,855 | ) |
Investor shares | | | (35,829,083 | ) | | | (248,011,005 | ) |
| | | | | | | | |
Total value of shares redeemed | | | (105,242,473 | ) | | | (266,406,860 | ) |
| | | | | | | | |
Net increase (decrease) from capital share transactions(2) | | | (44,118,953 | ) | | | 21,462,576 | |
| | | | | | | | |
Total increase (decrease) in net assets | | | 30,809,738 | | | | (51,451,207 | ) |
| | | | | | | | |
Net Assets: | | | | | | | | |
Beginning of Year | | | 501,811,605 | | | | 553,262,812 | |
| | | | | | | | |
End of Year* | | $ | 532,621,343 | | | $ | 501,811,605 | |
| | | | | | | | |
*Including undistributed (distributions in excess of) net investment income | | $ | 27,294 | | | $ | 189,221 | |
| | | | | | | | |
| (1) | Inception Date for the International Equity Index Fund was June 1, 2015. |
| (2) | See Note 6 in Notes to Financial Statements. |
| | | | |
| 236 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | | | | | | | |
International Equity Index Fund | | | International Equity Fund | | | Emerging Markets Equity Fund | |
| For the Year Ended | | | For the Period | | | For the Year Ended | | | For the Year Ended | |
12/31/16 | | | 06/01/2015(1) -12/31/2015 | | | 12/31/16 | | | 12/31/15 | | | 12/31/16 | | | 12/31/15 | |
| $ | 3,121,243 | | | $ | 810,400 | | | $ | 25,616,001 | | | $ | 21,350,257 | | | $ | 3,114,130 | | | $ | 3,245,525 | |
| | (842,464 | ) | | | (788,949 | ) | | | 16,102,029 | | | | 53,701,816 | | | | (14,432,213 | ) | | | (20,920,033 | ) |
| | 477,800 | | | | (10,829,282 | ) | | | (2,077,658 | ) | | | (92,018,303 | ) | | | 55,295,877 | | | | (44,424,095 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 2,756,579 | | | | (10,807,831 | ) | | | 39,640,372 | | | | (16,966,230 | ) | | | 43,977,794 | | | | (62,098,603 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | (3,270,902 | ) | | | (896,896 | ) | | | (20,646,972 | ) | | | (20,206,965 | ) | | | (5,024,983 | ) | | | (1,112,618 | ) |
| | — | | | | — | | | | (4,679,834 | ) | | | (2,298,387 | ) | | | (685,333 | ) | | | — | |
| | — | | | | — | | | | (7,893,727 | ) | | | (41,580,822 | ) | | | — | | | | — | |
| | — | | | | — | | | | (2,052,816 | ) | | | (7,475,378 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | |
| | (3,270,902 | ) | | | (896,896 | ) | | | (35,273,349 | ) | | | (71,561,552 | ) | | | (5,710,316 | ) | | | (1,112,618 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 28,861,034 | | | | 122,367,899 | | | | 81,012,704 | | | | 1,031,090,766 | | | | 37,111,251 | | | | 308,789,283 | |
| | — | | | | — | | | | 37,895,139 | | | | 38,211,464 | | | | 32,263,177 | | | | 27,025,822 | |
| | 3,270,443 | | | | 896,896 | | | | 28,538,676 | | | | 61,783,296 | | | | 5,024,983 | | | | 1,112,618 | |
| | — | | | | — | | | | 6,730,219 | | | | 9,767,134 | | | | 683,941 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 32,131,477 | | | | 123,264,795 | | | | 154,176,738 | | | | 1,140,852,660 | | | | 75,083,352 | | | | 336,927,723 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | (9,620,613 | ) | | | (535,452 | ) | | | (126,371,248 | ) | | | (147,652,014 | ) | | | (59,145,682 | ) | | | (8,070,282 | ) |
| | — | | | | — | | | | (26,653,486 | ) | | | (1,007,234,140 | ) | | | (16,799,903 | ) | | | (268,123,636 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | (9,620,613 | ) | | | (535,452 | ) | | | (153,024,734 | ) | | | (1,154,886,154 | ) | | | (75,945,585 | ) | | | (276,193,918 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | 22,510,864 | | | | 122,729,343 | | | | 1,152,004 | | | | (14,033,494 | ) | | | (862,233 | ) | | | 60,733,805 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 21,996,541 | | | | 111,024,616 | | | | 5,519,027 | | | | (102,561,276 | ) | | | 37,405,245 | | | | (2,477,416 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 111,024,616 | | | | — | | | | 1,276,705,423 | | | | 1,379,266,699 | | | | 297,782,335 | | | | 300,259,751 | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | 133,021,157 | | | $ | 111,024,616 | | | $ | 1,282,224,450 | | | $ | 1,276,705,423 | | | $ | 335,187,580 | | | $ | 297,782,335 | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | (188,056 | ) | | $ | (64,289 | ) | | $ | (1,844,748 | ) | | $ | (198,895 | ) | | $ | 196,901 | | | $ | (484,679 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 237 |
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(1) | | | Expenses,
Gross(2) | | | Investment
Income,
Net(1) | | | Portfolio
Turnover
Rate | |
Defensive Market Strategies Fund | |
| | | | | | | | | | |
Institutional Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | $ | 11.21 | | | $ | 0.17 | # | | $ | 1.15 | (3) | | $ | (0.16 | ) | | $ | (0.47 | ) | | $ | 11.90 | | | | 11.80 | % | | $ | 547,132 | | | | 0.69 | % | | | 0.70 | % | | | 1.42 | % | | | 78 | % |
2015 | | | 11.61 | | | | 0.17 | # | | | 0.11 | (3) | | | (0.17 | ) | | | (0.51 | ) | | | 11.21 | | | | 2.43 | | | | 443,499 | | | | 0.72 | (4) | | | 0.73 | | | | 1.46 | | | | 55 | |
2014 | | | 11.43 | | | | 0.15 | # | | | 1.05 | (3) | | | (0.15 | ) | | | (0.87 | ) | | | 11.61 | | | | 10.55 | | | | 98,903 | | | | 0.88 | (4)(5) | | | 0.83 | (5) | | | 1.24 | | | | 102 | |
2013(6) | | | 10.61 | | | | 0.14 | # | | | 1.80 | (3) | | | (0.15 | ) | | | (0.97 | ) | | | 11.43 | | | | 18.47 | | | | 89,430 | | | | 1.10 | (4)(5) | | | 1.13 | (5) | | | 1.25 | | | | 208 | |
2012 | | | 10.20 | | | | 0.18 | # | | | 0.73 | (3) | | | (0.18 | ) | | | (0.32 | ) | | | 10.61 | | | | 8.93 | | | | 85,347 | | | | 1.04 | (5) | | | 1.12 | (5) | | | 1.67 | | | | 304 | |
| | | | | | | | | | |
Investor Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | $ | 11.22 | | | $ | 0.14 | # | | $ | 1.15 | (3) | | $ | (0.13 | ) | | $ | (0.47 | ) | | $ | 11.91 | | | | 11.53 | % | | $ | 276,104 | | | | 0.97 | % | | | 0.98 | % | | | 1.15 | % | | | 78 | % |
2015 | | | 11.60 | | | | 0.13 | # | | | 0.12 | (3) | | | (0.12 | ) | | | (0.51 | ) | | | 11.22 | | | | 2.16 | | | | 167,117 | | | | 0.99 | (4) | | | 1.00 | | | | 1.12 | | | | 55 | |
2014 | | | 11.42 | | | | 0.12 | # | | | 1.06 | (3) | | | (0.13 | ) | | | (0.87 | ) | | | 11.60 | | | | 10.35 | | | | 476,129 | | | | 1.09 | (4)(5) | | | 1.07 | (5) | | | 1.03 | | | | 102 | |
2013(6) | | | 10.60 | | | | 0.12 | # | | | 1.79 | (3) | | | (0.12 | ) | | | (0.97 | ) | | | 11.42 | | | | 18.22 | | | | 395,277 | | | | 1.36 | (4)(5) | | | 1.38 | (5) | | | 0.99 | | | | 208 | |
2012 | | | 10.20 | | | | 0.15 | # | | | 0.72 | (3) | | | (0.15 | ) | | | (0.32 | ) | | | 10.60 | | | | 8.57 | | | | 314,638 | | | | 1.30 | (5) | | | 1.37 | (5) | | | 1.42 | | | | 304 | |
Equity Index Fund | |
| | | | | | | | | | |
Institutional Class(7) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | $ | 22.81 | | | $ | 0.46 | # | | $ | 2.27 | (3) | | $ | (0.56 | ) | | $ | (0.30 | ) | | $ | 24.68 | | | | 12.16 | % | | $ | 355,404 | | | | 0.15 | % | | | 0.16 | % | | | 1.97 | % | | | 3 | % |
2015 | | | 23.99 | | | | 0.48 | # | | | (0.26 | )(3) | | | (0.61 | ) | | | (0.79 | ) | | | 22.81 | | | | 0.92 | | | | 276,599 | | | | 0.17 | | | | 0.18 | | | | 1.94 | | | | 6 | |
2014 | | | 22.48 | | | | 0.40 | # | | | 2.62 | (3) | | | (0.74 | ) | | | (0.77 | ) | | | 23.99 | | | | 13.54 | | | | 95,134 | | | | 0.22 | | | | 0.22 | | | | 1.72 | | | | 5 | |
2013(8) | | | 18.12 | | | | 0.37 | # | | | 5.34 | (3) | | | (0.69 | ) | | | (0.66 | ) | | | 22.48 | | | | 32.04 | | | | 66,378 | | | | 0.23 | | | | 0.24 | | | | 1.81 | | | | 4 | |
2012 | | | 16.65 | | | | 0.34 | # | | | 2.27 | (3) | | | (0.66 | ) | | | (0.48 | ) | | | 18.12 | | | | 15.92 | | | | 47,071 | | | | 0.23 | | | | 0.24 | | | | 1.95 | | | | 3 | |
| | | | | | | | | | |
Investor Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | $ | 22.58 | | | $ | 0.39 | # | | $ | 2.27 | (3) | | $ | (0.29 | ) | | $ | (0.25 | ) | | $ | 24.70 | | | | 11.84 | % | | $ | 386,796 | | | | 0.42 | % | | | 0.42 | % | | | 1.70 | % | | | 3 | % |
2015 | | | 22.90 | | | | 0.37 | # | | | (0.21 | )(3) | | | (0.18 | ) | | | (0.30 | ) | | | 22.58 | | | | 0.70 | | | | 332,005 | | | | 0.41 | | | | 0.44 | | | | 1.62 | | | | 6 | |
2014 | | | 20.69 | | | | 0.34 | # | | | 2.40 | (3) | | | (0.24 | ) | | | (0.29 | ) | | | 22.90 | | | | 13.31 | | | | 334,833 | | | | 0.38 | | | | 0.48 | | | | 1.56 | | | | 5 | |
2013(8) | | | 16.07 | | | | 0.31 | # | | | 4.79 | (3) | | | (0.23 | ) | | | (0.25 | ) | | | 20.69 | | | | 31.95 | | | | 289,937 | | | | 0.38 | | | | 0.48 | | | | 1.66 | | | | 4 | |
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 | |
| # | Calculated using the average shares outstanding method. |
| (1) | 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 higher (lower), respectively, than the ratio shown. |
| (2) | 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. |
| (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 for the Defensive Market Strategies Fund includes the effect of fees paid indirectly which decreased the ratio by 0.00%, 0.01% and 0.00% for the years 2013, 2014 and 2015. |
| (5) | The ratio for the Defensive Market Strategies Fund includes the effect of dividend expense on securities sold short which increased the ratio by 0.05%, 0.11% and 0.02% for the years 2012, 2013 and 2014. |
| (6) | An out of period adjustment to Investment Income increased Net Investment Income per Share by $0.00 and $0.01, the Total Return did not change, and the Ratio of Net Investment Income to Average Net Assets increased by 0.01% and 0.00% for Institutional Class and Investor Class, respectively. |
| (7) | All per share amounts and net asset values have been adjusted as a result of the reverse stock split effected on October 14, 2016. (See Note 1 in Notes to Financial Statements). |
| (8) | An out of period adjustment to Investment Income increased Net Investment Income per Share by $0.00 and $0.01, the Total Return did not change, and the Ratio of Net Investment Income to Average Net Assets increased by 0.03% and 0.03% for Institutional Class and Investor Class, respectively. |
| | | | |
| 238 | | 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/
(Loss) | | | 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(1) | | | Expenses,
Gross(2) | | | Investment
Income/
(Loss),
Net(1) | | | Portfolio
Turnover
Rate | |
Value Equity Fund | |
| | | | | | | | | | |
Institutional Class(3) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | $ | 19.75 | | | $ | 0.41 | # | | $ | 2.30 | (4) | | $ | (0.46 | ) | | $ | (0.82 | ) | | $ | 21.18 | | | | 14.11 | % | | $ | 920,433 | | | | 0.59 | %(5) | | | 0.60 | % | | | 2.05 | % | | | 36 | % |
2015 | | | 23.56 | | | | 0.39 | # | | | (1.20 | )(4) | | | (0.44 | ) | | | (2.56 | ) | | | 19.75 | | | | (3.44 | ) | | | 917,208 | | | | 0.61 | (5) | | | 0.62 | | | | 1.73 | | | | 32 | |
2014 | | | 25.88 | | | | 0.37 | # | | | 2.46 | (4) | | | (0.65 | ) | | | (4.50 | ) | | | 23.56 | | | | 10.91 | | | | 273,359 | | | | 0.65 | (5) | | | 0.67 | | | | 1.40 | | | | 41 | |
2013(6) | | | 20.89 | | | | 0.39 | # | | | 6.90 | (4) | | | (0.89 | ) | | | (1.41 | ) | | | 25.88 | | | | 35.52 | | | | 253,988 | | | | 0.66 | (5) | | | 0.67 | | | | 1.61 | | | | 45 | |
2012 | | | 18.38 | | | | 0.39 | # | | | 2.77 | (4) | | | (0.65 | ) | | | — | | | | 20.89 | | | | 17.47 | | | | 215,512 | | | | 0.67 | (5) | | | 0.68 | | | | 1.90 | | | | 27 | |
| | | | | | | | | | |
Investor Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | $ | 19.46 | | | $ | 0.35 | # | | $ | 2.33 | (4) | | $ | (0.26 | ) | | | (0.68 | ) | | $ | 21.20 | | | | 13.84 | % | | $ | 370,589 | | | | 0.86 | %(5) | | | 0.87 | % | | | 1.78 | % | | | 36 | % |
2015 | | | 21.31 | | | | 0.27 | # | | | (1.06 | )(4) | | | (0.08 | ) | | | (0.98 | ) | | | 19.46 | | | | (3.70 | ) | | | 324,440 | | | | 0.89 | (5) | | | 0.89 | | | | 1.26 | | | | 32 | |
2014 | | | 21.00 | | | | 0.25 | # | | | 1.97 | (4) | | | (0.19 | ) | | | (1.72 | ) | | | 21.31 | | | | 10.61 | | | | 1,141,998 | | | | 0.90 | (5) | | | 0.91 | | | | 1.16 | | | | 41 | |
2013(6) | | | 16.18 | | | | 0.26 | # | | | 5.39 | (4) | | | (0.29 | ) | | | (0.54 | ) | | | 21.00 | | | | 35.22 | | | | 1,089,026 | | | | 0.90 | (5) | | | 0.91 | | | | 1.36 | | | | 45 | |
2012 | | | 14.00 | | | | 0.25 | # | | | 2.14 | (4) | | | (0.21 | ) | | | — | | | | 16.18 | | | | 17.20 | | | | 933,110 | | | | 0.92 | (5) | | | 0.92 | | | | 1.66 | | | | 27 | |
Growth Equity Fund | |
| | | | | | | | | | |
Institutional Class(3) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | $ | 22.25 | | | $ | — | †# | | $ | (0.22 | )(4) | | $ | — | | | $ | (0.95 | ) | | $ | 21.08 | | | | (0.98 | )% | | $ | 890,530 | | | | 0.75 | %(7) | | | 0.76 | % | | | 0.01 | % | | | 24 | % |
2015 | | | 25.80 | | | | 0.02 | # | | | 1.38 | (4) | | | — | | | | (4.95 | ) | | | 22.25 | | | | 5.67 | | | | 932,232 | | | | 0.77 | (7) | | | 0.78 | | | | 0.09 | | | | 79 | |
2014 | | | 28.49 | | | | (0.05 | )# | | | 2.92 | (4) | | | — | | | | (5.56 | ) | | | 25.80 | | | | 10.12 | | | | 244,281 | | | | 0.85 | (7) | | | 0.87 | | | | (0.12 | ) | | | 54 | |
2013(8) | | | 28.47 | | | | — | †# | | | 9.62 | (4) | | | — | | | | (9.60 | ) | | | 28.49 | | | | 34.83 | | | | 227,934 | | | | 0.84 | (7) | | | 0.88 | | | | 0.00 | | | | 83 | |
2012 | | | 27.47 | | | | 0.09 | # | | | 4.67 | (4) | | | (0.14 | ) | | | (3.62 | ) | | | 28.47 | | | | 17.39 | | | | 198,329 | | | | 0.87 | (7) | | | 0.89 | | | | 0.33 | | | | 67 | |
| | | | | | | | | | |
Investor Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | $ | 22.02 | | | $ | (0.05 | )# | | $ | (0.24 | )(4) | | $ | — | | | $ | (0.66 | ) | | $ | 21.07 | | | | (1.30 | )% | | $ | 424,210 | | | | 1.01 | %(7) | | | 1.02 | % | | | (0.26 | )% | | | 24 | % |
2015 | | | 22.92 | | | | (0.05 | )# | | | 1.27 | (4) | | | — | | | | (2.12 | ) | | | 22.02 | | | | 5.44 | | | | 483,385 | | | | 1.04 | (7) | | | 1.06 | | | | (0.21 | ) | | | 79 | |
2014 | | | 23.02 | | | | (0.08 | )# | | | 2.36 | (4) | | | — | | | | (2.38 | ) | | | 22.92 | | | | 9.93 | | | | 1,240,254 | | | | 1.06 | (7) | | | 1.11 | | | | (0.33 | ) | | | 54 | |
2013(8) | | | 20.26 | | | | (0.05 | )# | | | 6.92 | (4) | | | — | | | | (4.11 | ) | | | 23.02 | | | | 34.52 | | | | 1,190,710 | | | | 1.05 | (7) | | | 1.12 | | | | (0.22 | ) | | | 83 | |
2012 | | | 18.63 | | | | 0.03 | # | | | 3.17 | (4) | | | (0.02 | ) | | | (1.55 | ) | | | 20.26 | | | | 17.21 | | | | 1,022,934 | | | | 1.05 | (7) | | | 1.13 | | | | 0.15 | | | | 67 | |
| † | Amount represents less than $0.005 per share. |
| # | Calculated using the average shares outstanding method. |
| (1) | 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 higher (lower), respectively, than the ratio shown. |
| (2) | 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. |
| (3) | All per share amounts and net asset values have been adjusted as a result of the reverse stock split effected on October 14, 2016. (See Note 1 in Notes to Financial Statements). |
| (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. |
| (5) | The ratio for the Value Equity Fund includes the effect of fees paid indirectly which decreased the ratio by 0.01% for the years 2012, 2013 and 2014, and 0.00% for the years 2015 and 2016. |
| (6) | An out of period adjustment to Investment Income increased Net Investment Income per Share by $0.00 and $0.01, the Total Return did not change, and the Ratio of Net Investment Income to Average Net Assets increased by 0.02% and 0.02% for Institutional Class and Investor Class, respectively. |
| (7) | The ratio for the Growth Equity Fund includes the effect of fees paid indirectly which decreased the ratio by 0.01% for the years 2012 and 2013, and 0.00% for the years 2014, 2015 and 2016. |
| (8) | An out of period adjustment to Investment Income increased Net Investment Income per Share by $0.00 and $0.01, Total Return by 0.00% and 0.05%, and the Ratio of Net Investment Income to Average Net Assets by 0.03% and 0.03% for Institutional Class and Investor Class, respectively. |
| | | | |
| | See Notes to Financial Statements. | | 239 |
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 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(1) | | | Expenses,
Gross(2) | | | Investment
Income,
Net(1) | | | Portfolio
Turnover
Rate | |
Small Cap Equity Fund | |
| | | | | | | | | | |
Institutional Class(3) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | $ | 15.14 | | | $ | 0.06 | # | | $ | 2.59 | (4) | | $ | (0.07 | ) | | $ | (0.19 | ) | | $ | 17.53 | | | | 17.48 | % | | $ | 265,627 | | | | 1.01 | %(5) | | | 1.03 | % | | | 0.36 | % | | | 77 | % |
2015 | | | 18.05 | | | | 0.08 | # | | | (1.13 | )(4) | | | (0.06 | ) | | | (1.80 | ) | | | 15.14 | | | | (5.66 | ) | | | 264,962 | | | | 1.00 | (5) | | | 1.03 | | | | 0.45 | | | | 74 | |
2014 | | | 20.94 | | | | 0.06 | # | | | 0.75 | (4) | | | (0.12 | ) | | | (3.58 | ) | | | 18.05 | | | | 4.03 | | | | 84,324 | | | | 0.97 | (5) | | | 0.99 | | | | 0.27 | | | | 103 | |
2013(6) | | | 20.78 | | | | 0.12 | # | | | 7.73 | (4) | | | (0.16 | ) | | | (7.53 | ) | | | 20.94 | | | | 38.39 | | | | 84,139 | | | | 0.92 | (5) | | | 0.94 | | | | 0.45 | | | | 161 | |
2012 | | | 19.63 | | | | 0.16 | # | | | 2.83 | (4) | | | (0.26 | ) | | | (1.58 | ) | | | 20.78 | | | | 15.25 | | | | 67,723 | | | | 0.99 | (5) | | | 1.02 | | | | 0.79 | | | | 128 | |
| | | | | | | | | | |
Investor Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | $ | 15.17 | | | $ | 0.02 | # | | $ | 2.59 | (4) | | $ | (0.03 | ) | | $ | (0.19 | ) | | $ | 17.56 | | | | 17.17 | % | | $ | 266,994 | | | | 1.27 | %(5) | | | 1.30 | % | | | 0.11 | % | | | 77 | % |
2015 | | | 17.08 | | | | 0.02 | # | | | (1.04 | )(4) | | | — | | | | (0.89 | ) | | | 15.17 | | | | (5.91 | ) | | | 236,850 | | | | 1.24 | (5) | | | 1.27 | | | | 0.13 | | | | 74 | |
2014 | | | 18.19 | | | | 0.01 | # | | | 0.67 | (4) | | | (0.02 | ) | | | (1.77 | ) | | | 17.08 | | | | 3.83 | | | | 468,938 | | | | 1.20 | (5) | | | 1.24 | | | | 0.03 | | | | 103 | |
2013(6) | | | 15.94 | | | | 0.04 | # | | | 5.97 | (4) | | | (0.04 | ) | | | (3.72 | ) | | | 18.19 | | | | 38.09 | | | | 490,706 | | | | 1.16 | (5) | | | 1.19 | | | | 0.22 | | | | 161 | |
2012 | | | 14.62 | | | | 0.09 | # | | | 2.10 | (4) | | | (0.09 | ) | | | (0.78 | ) | | | 15.94 | | | | 15.02 | | | | 377,101 | | | | 1.19 | (5) | | | 1.27 | | | | 0.59 | | | | 128 | |
International Equity Index Fund | |
| | | | | | | | | | |
Institutional Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | $ | 8.94 | | | $ | 0.23 | # | | $ | (0.09 | )(4) | | $ | (0.22 | ) | | $ | — | | | $ | 8.86 | | | | 1.63 | % | | $ | 133,021 | | | | 0.57 | % | | | 0.65 | % | | | 2.61 | % | | | 6 | % |
2015(7) | | | 10.00 | | | | 0.07 | # | | | (1.06 | )(4) | | | (0.07 | ) | | | — | | | | 8.94 | | | | (9.88 | ) | | | 111,025 | | | | 0.57 | | | | 0.66 | | | | 1.33 | | | | 4 | |
| # | Calculated using the average shares outstanding method. |
| (1) | 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 higher (lower), respectively, than the ratio shown. |
| (2) | 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. |
| (3) | All per share amounts and net asset values have been adjusted as a result of the reverse stock split effected on October 14, 2016. (See Note 1 in Notes to Financial Statements). |
| (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. |
| (5) | The ratio for the Small Cap Equity Fund includes the effect of fees paid indirectly which decreased the ratio by 0.02%, 0.01%, 0.01%, 0.02% and 0.01% for the years 2012, 2013, 2014, 2015 and 2016. |
| (6) | An out of period adjustment to Investment Income increased Net Investment Income per Share by $0.01 and $0.01, Total Return by 0.14% and 0.08%, and the Ratio of Net Investment Income to Average Net Assets by 0.07% and 0.08% for Institutional Class and Investor Class, respectively. |
| (7) | Inception date was June 1, 2015. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
| | | | |
| 240 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 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 Investment
Income/
(Loss) | | | 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(1) | | | Expenses,
Gross(2) | | | Investment
Income/
(Loss),
Net(1) | | | Portfolio
Turnover
Rate | |
International Equity Fund | |
| | | | | | | | | | |
Institutional Class(3) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | $ | 13.14 | | | $ | 0.27 | # | | $ | 0.13 | (4) | | $ | (0.27 | ) | | $ | (0.11 | ) | | $ | 13.16 | | | | 2.96 | % | | $ | 1,017,929 | | | | 1.00 | %(5)(6) | | | 1.01 | %(6) | | | 2.09 | % | | | 33 | % |
2015 | | | 14.25 | | | | 0.22 | # | | | (0.50 | )(4) | | | (0.26 | ) | | | (0.57 | ) | | | 13.14 | | | | (1.93 | ) | | | 1,030,729 | | | | 1.03 | (5)(6) | | | 1.05 | (6) | | | 1.49 | | | | 43 | |
2014 | | | 15.61 | | | | 0.36 | # | | | (1.26 | )(4) | | | (0.46 | ) | | | — | | | | 14.25 | | | | (5.80 | ) | | | 235,545 | | | | 1.13 | (5)(6) | | | 1.20 | (6) | | | 2.36 | | | | 36 | |
2013(7) | | | 13.47 | | | | 0.24 | # | | | 2.24 | (4) | | | (0.34 | ) | | | — | | | | 15.61 | | | | 18.49 | | | | 269,499 | | | | 1.11 | (5)(6) | | | 1.25 | (6) | | | 1.69 | | | | 51 | |
2012 | | | 11.73 | | | | 0.24 | # | | | 1.80 | (4) | | | (0.30 | ) | | | — | | | | 13.47 | | | | 17.43 | | | | 270,130 | | | | 1.15 | (5)(6) | | | 1.32 | (6) | | | 1.89 | | | | 53 | |
| | | | | | | | | | |
Investor Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | $ | 13.18 | | | $ | 0.24 | # | | $ | 0.11 | (4) | | $ | (0.24 | ) | | $ | (0.11 | ) | | $ | 13.18 | | | | 2.62 | % | | $ | 264,295 | | | | 1.27 | %(5)(6) | | | 1.28 | %(6) | | | 1.81 | % | | | 33 | % |
2015 | | | 14.03 | | | | 0.24 | # | | | (0.55 | )(4) | | | (0.12 | ) | | | (0.42 | ) | | | 13.18 | | | | (2.16 | ) | | | 245,976 | | | | 1.35 | (5)(6) | | | 1.39 | (6) | | | 1.68 | | | | 43 | |
2014 | | | 15.24 | | | | 0.32 | # | | | (1.23 | )(4) | | | (0.30 | ) | | | — | | | | 14.03 | | | | (6.00 | ) | | | 1,143,722 | | | | 1.37 | (5)(6) | | | 1.44 | (6) | | | 2.09 | | | | 36 | |
2013(7) | | | 13.07 | | | | 0.20 | # | | | 2.18 | (4) | | | (0.21 | ) | | | — | | | | 15.24 | | | | 18.23 | | | | 1,147,181 | | | | 1.35 | (5)(6) | | | 1.49 | (6) | | | 1.44 | | | | 51 | |
2012 | | | 11.33 | | | | 0.20 | # | | | 1.73 | (4) | | | (0.19 | ) | | | — | | | | 13.07 | | | | 17.05 | | | | 1,156,306 | | | | 1.39 | (5)(6) | | | 1.57 | (6) | | | 1.65 | | | | 53 | |
Emerging Markets Equity Fund | |
| | | | | | | | | | |
Institutional Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | $ | 7.34 | | | $ | 0.08 | # | | $ | 0.90 | (4) | | $ | (0.14 | ) | | $ | — | | | $ | 8.18 | | | | 13.46 | % | | $ | 290,082 | | | | 1.30 | %(8) | | | 1.48 | % | | | 0.98 | % | | | 54 | % |
2015 | | | 9.09 | | | | 0.11 | # | | | (1.83 | )(4) | | | (0.03 | ) | | | — | | | | 7.34 | | | | (18.93 | ) | | | 272,123 | | | | 1.28 | (8) | | | 1.50 | | | | 1.36 | | | | 39 | |
2014 | | | 9.75 | | | | 0.11 | # | | | (0.51 | )(4) | | | (0.07 | ) | | | (0.19 | ) | | | 9.09 | | | | (4.14 | ) | | | 45,058 | | | | 1.25 | | | | 1.63 | | | | 1.07 | | | | 39 | |
2013(9)(10) | | | 10.00 | | | | (0.01 | )# | | | (0.24 | )(4) | | | — | | | | — | | | | 9.75 | | | | (2.50 | ) | | | 46,420 | | | | 1.25 | | | | 1.55 | | | | (0.34 | ) | | | 6 | |
| | | | | | | | | | |
Investor Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | $ | 7.35 | | | $ | 0.06 | # | | $ | 0.91 | (4) | | $ | (0.13 | ) | | $ | — | | | $ | 8.19 | | | | 13.20 | % | | $ | 45,106 | | | | 1.56 | %(8) | | | 1.87 | % | | | 0.73 | % | | | 54 | % |
2015 | | | 9.09 | | | | 0.05 | # | | | (1.79 | )(4) | | | — | | | | — | | | | 7.35 | | | | (19.14 | ) | | | 25,659 | | | | 1.51 | (8) | | | 1.83 | | | | 0.58 | | | | 39 | |
2014 | | | 9.75 | | | | 0.08 | # | | | (0.51 | )(4) | | | (0.04 | ) | | | (0.19 | ) | | | 9.09 | | | | (4.38 | ) | | | 255,202 | | | | 1.50 | | | | 1.84 | | | | 0.81 | | | | 39 | |
2013(9)(10) | | | 10.00 | | | | (0.01 | )# | | | (0.24 | )(4) | | | — | | | | — | | | | 9.75 | | | | (2.50 | ) | | | 244,181 | | | | 1.50 | | | | 1.78 | | | | (0.58 | ) | | | 6 | |
| # | Calculated using the average shares outstanding method. |
| (1) | 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 higher (lower), respectively, than the ratio shown. |
| (2) | 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. |
| (3) | All per share amounts and net asset values have been adjusted as a result of the reverse stock split effected on October 14, 2016. (See Note 1 in Notes to Financial Statements). |
| (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. |
| (5) | The ratio for the International Equity Fund includes the effect of fees paid indirectly which decreased the ratio by 0.00% for the years 2012, 2013, 2014, 2015 and 2016. |
| (6) | The ratio for the International Equity Fund includes the effect of dividend expense on securities sold short which increased the ratio by 0.20%, 0.15%, 0.17%, 0.17% and 0.14% for the years 2012, 2013, 2014, 2015 and 2016. |
| (7) | An out of period adjustment to Investment Income had no impact on Net Investment Income per Share or Total Return; however, the Ratio of Net Investment Income to Average Net Assets increased by 0.02% and 0.03% for Institutional Class and Investor Class, respectively. |
| (8) | The ratio for the Emerging Markets Equity Fund includes the effect of fees paid indirectly which decreased the ratio by 0.00% for the years 2015 and 2016. |
| (9) | An out of period adjustment to Investment Income had no impact on Net Investment Income per Share or Total Return; however, the Ratio of Net Investment Income to Average Net Assets increased by 0.00% and 0.01% for Institutional Class and Investor Class, respectively. |
| (10) | Inception Date was October 31, 2013. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
| | | | |
| | See Notes to Financial Statements. | | 241 |
Inflation Protected Bond Fund (Unaudited)
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 Investor Class of the Fund underperformed its benchmark, the Bloomberg Barclays US TIPS (Series-L) Index, for the one-year period ended December 31, 2016 (3.66% versus 4.68%).
The Fund was invested predominately in U.S. Treasury Inflation Protected Securities (“TIPS”) throughout the year. U.S. TIPS were positive in the first three quarters, with the benchmark index rising 7.27% in part due to the Fed’s forward guidance viewed as dovish, further delaying expected rate hikes. TIPS faced a more challenging environment during the fourth quarter of 2016 as the index returned -2.41%. Optimism surrounding a pro-business and pro-inflation environment under a Trump administration propelled the market based inflation expectations approximately 0.30% higher. The 10-year breakeven inflation levels ended 2016 at 1.97%.
The Fund was consistently managed to provide inflation protection and income consistent with investment in inflation-indexed securities.
Certain strategies involving derivatives were utilized during the year. Interest rate futures and interest rate options were utilized to manage duration and yield curve exposure and to express active views on valuations of securities. These securities had a positive impact on the Fund’s performance for the year. The Fund also utilized currency forwards and options to hedge non-U.S. dollar positions and to express active views in foreign currencies. The use of these strategies had a slightly negative impact on the performance of the Fund over the year.
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 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 derivatives and by its ability to select sub-advisers to allocate assets. Some derivatives 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. The use of certain derivatives may also have a leveraging effect which may increase the volatility of the Fund and may reduce its returns. It is possible to lose money by investing in the Fund.
At December 31, 2016, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
| | | | |
| | | % | |
U.S. Treasury Obligations | | | 95.3 | |
Foreign Government Inflation-Linked Bonds | | | 2.5 | |
Money Market Fund | | | 1.4 | |
Purchased Options | | | 0.1 | |
Written Options | | | (0.1 | ) |
| | | | |
| | | 99.2 | |
| | | | |
242
Inflation Protected Bond Fund (Unaudited)
| | | | | | |
| Average Annual Total Returns as of 12/31/16 |
| | | Institutional
Class* | | Investor
Class* | | Benchmark** |
One Year | | 3.99% | | 3.66% | | 4.68% |
Five Year | | N/A | | 0.18% | | 0.89% |
Since Inception(1) | | -0.19% | | 3.09% | | 3.92% |
Inception Date | | 04/30/15 | | 06/25/09 | | |
Total Fund Operating Expenses (May 1, 2016 Prospectus)(2) | | 0.41% | | 0.67% | | |
(1)The Since Inception benchmark performance is based on the start date of June 25, 2009, which corresponds with the inception date of the Investor Class, the longest operating class of the Fund.
(2)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 GuideStoneFunds.com. 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 Investor Class of the Fund since June 25, 2009 (commencement of operations), with all dividends and capital gains reinvested, with the Bloomberg Barclays US TIPS (Series-L) 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.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
243
| | |
INFLATION PROTECTED BOND FUND SCHEDULE OF INVESTMENTS | | December 31, 2016 |
| | | | | | | | | | | | | | | | |
| | | | | | Par | | | | | | Value | |
U.S. TREASURY OBLIGATIONS — 95.3% | |
U.S. Treasury Inflationary Index Bonds | | | | | | | | | | | | | | | | |
0.13%, 04/15/19 | | | | | | $ | 26,785,000 | | | | | | | $ | 27,982,383 | |
1.38%, 01/15/20 | | | | | | | 5,110,000 | | | | | | | | 6,009,642 | |
0.13%, 04/15/20 | | | | | | | 10,830,000 | | | | | | | | 11,297,713 | |
1.25%, 07/15/20 | | | | | | | 4,790,000 | | | | | | | | 5,609,374 | |
1.13%, 01/15/21 | | | | | | | 10,590,000 | | | | | | | | 12,283,835 | |
0.13%, 04/15/21 | | | | | | | 11,990,000 | | | | | | | | 12,305,859 | |
0.63%, 07/15/21 | | | | | | | 11,160,000 | | | | | | | | 12,358,757 | |
0.13%, 01/15/22 | | | | | | | 5,884,200 | | | | | | | | 6,299,598 | |
0.13%, 07/15/22 | | | | | | | 4,095,000 | | | | | | | | 4,318,536 | |
0.13%, 01/15/23 | | | | | | | 13,519,000 | | | | | | | | 14,063,668 | |
0.38%, 07/15/23 | | | | | | | 14,525,000 | | | | | | | | 15,233,789 | |
0.63%, 01/15/24 | | | | | | | 18,696,000 | | | | | | | | 19,723,849 | |
0.13%, 07/15/24 | | | | | | | 8,077,000 | | | | | | | | 8,084,220 | |
0.25%, 01/15/25‡‡ | | | | | | | 9,740,000 | | | | | | | | 9,781,609 | |
2.38%, 01/15/25 | | | | | | | 5,205,200 | | | | | | | | 7,669,094 | |
0.38%, 07/15/25 | | | | | | | 2,300,000 | | | | | | | | 2,332,847 | |
0.63%, 01/15/26 | | | | | | | 5,435,000 | | | | | | | | 5,580,431 | |
2.00%, 01/15/26 | | | | | | | 4,030,000 | | | | | | | | 5,533,664 | |
0.13%, 07/15/26 | | | | | | | 9,085,000 | | | | | | | | 8,864,055 | |
2.38%, 01/15/27 | | | | | | | 3,785,000 | | | | | | | | 5,319,176 | |
1.75%, 01/15/28 | | | | | | | 5,650,000 | | | | | | | | 7,285,348 | |
3.63%, 04/15/28 | | | | | | | 2,910,000 | | | | | | | | 5,724,244 | |
2.50%, 01/15/29 | | | | | | | 4,785,000 | | | | | | | | 6,504,859 | |
3.88%, 04/15/29 | | | | | | | 4,295,000 | | | | | | | | 8,643,599 | |
3.38%, 04/15/32 | | | | | | | 747,100 | | | | | | | | 1,408,071 | |
2.13%, 02/15/40 | | | | | | | 2,457,600 | | | | | | | | 3,409,193 | |
2.13%, 02/15/41 | | | | | | | 6,288,900 | | | | | | | | 8,654,669 | |
0.75%, 02/15/42 | | | | | | | 6,679,400 | | | | | | | | 6,777,439 | |
0.63%, 02/15/43 | | | | | | | 9,375,000 | | | | | | | | 9,041,999 | |
1.38%, 02/15/44 | | | | | | | 4,213,700 | | | | | | | | 4,776,791 | |
0.75%, 02/15/45 | | | | | | | 1,350,000 | | | | | | | | 1,306,258 | |
1.00%, 02/15/46 | | | | | | | 945,000 | | | | | | | | 969,100 | |
| | | | | | | | | | | | | | | | |
Total U.S. Treasury Obligations
(Cost $264,797,888) | | | | 265,153,669 | |
| | | | | | | | | | | | | | | | |
FOREIGN GOVERNMENT INFLATION-LINKED BONDS — 2.5% | |
Australia — 0.2% | | | | | | | | | | | | | | | | |
Australia Government Bond 3.75%, 04/21/37(A) | | | | | | | 795,000 | | | | | | | | 595,270 | |
| | | | | | | | | | | | | | | | |
Japan — 1.4% | | | | | | | | | | | | | | | | |
Japanese Government Inflation-Linked Bond 0.10%, 03/10/26(J) | | | | | | | 430,000,000 | | | | | | | | 3,915,483 | |
| | | | | | | | | | | | | | | | |
New Zealand — 0.9% | | | | | | | | | | | | | | | | |
New Zealand Government Bond 3.00%, 09/20/30(Z) | | | | | | | 1,758,000 | | | | | | | | 1,437,576 | |
2.50%, 09/20/35(Z) | | | | | | | 1,431,000 | | | | | | | | 1,045,323 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 2,482,899 | |
| | | | | | | | | | | | | | | | |
Total Foreign Government Inflation-Linked Bonds
(Cost $7,035,805) | | | | 6,993,652 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | Number of
Contracts | | | | | | Value | |
PURCHASED OPTIONS — 0.1% | |
Put Options — 0.1% | | | | | | | | | | | | | | | | |
10-Year U.S. Treasury Note, Strike Price $123.50, Expires 01/27/17 (JPM) | | | | | | | 340 | | | | | | | $ | 127,500 | |
| | | | |
| | | | | | Notional
Amount | | | | | | | |
Euro vs. U.S. Dollar, Strike Price $1.07, Expires 01/30/17 (DEUT) | | | | | | $ | 50,400 | | | | | | | | 86,319 | |
Switzerland Franc vs. Norwegian Krone, Strike Price $8.00, Expires 02/14/17 (UBS) | | | | | | | 29,700 | | | | | | | | 1,178 | |
Switzerland Franc vs. Norwegian Krone, Strike Price $8.10, Expires 02/17/17 (UBS) | | | | | | | 29,700 | | | | | | | | 2,998 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 217,995 | |
| | | | | | | | | | | | | | | | |
Total Purchased Options
(Cost $377,917) | | | | 217,995 | |
| | | | | | | | | | | | | | | | |
| | | | | | | Shares | | | | | | | | | |
MONEY MARKET FUND — 1.4% | |
GuideStone Money Market Fund (Investor Class)¥ (Cost $3,843,344) | | | | | | | 3,843,344 | | | | | | | | 3,843,344 | |
| | | | | | | | | | | | | | | | |
TOTAL INVESTMENTS — 99.3%
(Cost $276,054,954) | | | | 276,208,660 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | Number of
Contracts | | | | | | | |
WRITTEN OPTIONS — (0.1)% | |
Put Options — (0.1)% | |
10-Year U.S. Treasury Note, Strike Price $122.00, Expires 01/27/17 (JPM) | | | | | | | (224 | ) | | | | | | | (28,000 | ) |
| | | | |
| | | | | | Notional
Amount | | | | | | | |
Euro vs. U.S. Dollar, Strike Price $1.07, Expires 01/30/17 (DEUT) | | | | | | $ | (50,400 | ) | | | | | | | (86,319 | ) |
Switzerland Franc vs. Norwegian Krone, Strike Price $7.90, Expires 02/17/17 (UBS) | | | | | | | (29,700 | ) | | | | | | | (653 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | (114,972 | ) |
| | | | | | | | | | | | | | | | |
Total Written Options | |
(Premiums received $(171,168)) | | | | (114,972 | ) |
| | | | | | | | | | | | | | | | |
Other Assets in Excess of Liabilities — 0.8% | | | | 2,152,149 | |
| | | | | | | | | | | | | | | | |
NET ASSETS — 100.0% | | | $ | 278,245,837 | |
| | | | | | | | | | | | | | | | |
| | | | |
See Notes to Financial Statements. 244 |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2016, 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 Government Inflation-Linked Bonds | | | $ | 6,993,652 | | | | $ | — | | | | $ | 6,993,652 | | | | $ | — | |
Money Market Fund | | | | 3,843,344 | | | | | 3,843,344 | | | | | — | | | | | — | |
Purchased Options | | | | 217,995 | | | | | 127,500 | | | | | 90,495 | | | | | — | |
U.S. Treasury Obligations | | | | 265,153,669 | | | | | — | | | | | 265,153,669 | | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | | $ | 276,208,660 | | | | $ | 3,970,844 | | | | $ | 272,237,816 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | | $ | 269,131 | | | | $ | — | | | | $ | 269,131 | | | | $ | — | |
Futures Contracts | | | | 26,019 | | | | | 26,019 | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | | $ | 295,150 | | | | $ | 26,019 | | | | $ | 269,131 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | |
Investments in Securities: | | | | | | | | | | | | | | | | | | | | |
Written Options | | | $ | (114,972 | ) | | | $ | (28,000 | ) | | | $ | (86,972 | ) | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Liabilities - Investments in Securities | | | $ | (114,972 | ) | | | $ | (28,000 | ) | | | $ | (86,972 | ) | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
***Other financial instruments are derivative instruments not reflected in the Schedule of Investments (such as futures contracts and forwards contracts), which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the “Financial Futures Contracts” and “Forward Foreign Currency Contracts” disclosures in the Notes to Financial Statements.
There were no transfers between Level 1, Level 2 and Level 3 during the year ended December 31, 2016.
| | | | |
| | See Notes to Financial Statements. | | 245 |
Flexible Income Fund (Unaudited)
The Flexible Income Fund primarily invests in below-investment-grade, senior secured floating rate loans issued by U.S. banks or other financial institutions, otherwise referred to as “bank loans” or “leveraged loans.” To a lesser extent, the Fund may also invest in other below investment grade corporate fixed-income securities or unsecured floating rate loans and may include non-U.S. securities. The Fund underperformed its benchmark, the S&P/LSTA U.S. BB- Rating and Above Loan Index, for the 2016 calendar year (6.40% vs. 8.82%). The Fund is designed to have a more conservative orientation relative to the benchmark and is expected to underperform in a market environment like 2016.
After the rough start to 2016, the markets began pricing in the prospect of an accelerating economic expansion in 2017 and beyond. Propelling these prospects were improving economic data and new potential pro-growth government policies in the form of lower taxes and less regulation, which could bode well for improved corporate profitability. Moreover, higher consumer confidence and spending, falling default rate expectations, demand from international investors seeking yield and a possibly accelerating merger and acquisition environment provided a good backdrop for bank loans.
From a benchmark-relative performance perspective, the Fund’s security selection within B-rated loans hurt performance. In addition, negative security selection within, and an underweight to, the oil and gas industry also negatively impacted relative performance. Positive security selection within the retail and utilities industries contributed positively to benchmark-relative results.
During the year, the Fund remained focused on its objective of seeking a high level of current income. At year-end, the current yield of the Fund was 4.69%.
The Fund did not invest in derivative instruments during the year.
This Fund may be suitable for investors who have a medium- to long-term investment horizon, possess a moderate tolerance for risk and are seeking income which may be more sensitive to interest rates than traditional bonds. There is a risk that the issuer of a fixed-income investment owned by the Fund may fail to pay interest or principal due in a timely manner or at all. If the Fund acquires a participation interest in a senior secured or unsecured floating rate loan (“Senior Loans”), the Fund may not be able to control the exercise of any remedies that the lender would have under the loan and likely would not have any rights against the borrower directly. Senior Loans made to finance highly leveraged corporate acquisitions may be especially vulnerable to adverse changes in economic or market conditions. The Fund is subject to collateral risk in that the value of collateral securing a Senior Loan may decline after investment and that the collateral may not be sufficient to cover the amount owed. The Fund might not be able to sell a security promptly and at an acceptable price, which could have the effect of decreasing the overall level of the Fund’s liquidity. High yield securities (“junk bonds”) involve greater risks of default and are more volatile than securities rated investment grade. It is possible to lose money by investing in the Fund.
At December 31, 2016, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
| | | | |
| | | % | |
Loan Agreements | | | 85.0 | |
Money Market Fund | | | 8.7 | |
Corporate Bonds | | | 7.6 | |
Foreign Bonds | | | 0.7 | |
Common Stocks | | | 0.1 | |
| | | | |
| | | 102.1 | |
| | | | |
246
Flexible Income Fund (Unaudited)
| | | | |
| Average Annual Total Returns as of 12/31/16 |
| | Investor Class* | | Benchmark** |
One Year | | 6.40% | | 8.82% |
Since Inception | | 1.85% | | 3.94% |
Inception Date | | 07/01/13 | | |
Total Fund Operating Expenses (May 1, 2016 Prospectus)(1) | | 1.13% | | |
(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 GuideStoneFunds.com. 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 Investor Class of the Fund since July 1, 2013 (commencement of operations), with all dividends and capital gains reinvested, with the S&P/LSTA U.S. BB- Ratings and Above Loan 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.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
247
| | |
FLEXIBLE INCOME FUND SCHEDULE OF INVESTMENTS | | December 31, 2016 |
| | | | | | | | | | | | | | | | |
| | | | | | Par | | | | | | Value | |
CORPORATE BONDS — 7.6% | | | | | | | | | | | | | | | | |
Ally Financial, Inc. | | | | | | | | | | | | | | | | |
5.50%, 02/15/17 | | | | | | $ | 650,000 | | | | | | | $ | 652,844 | |
4.75%, 09/10/18 | | | | | | | 650,000 | | | | | | | | 671,125 | |
Cablevision Systems Corporation | | | | | | | | | | | | | | | | |
7.75%, 04/15/18 | | | | | | | 350,000 | | | | | | | | 370,125 | |
Cequel Communications Holdings I LLC | | | | | | | | | | | | | | | | |
6.38%, 09/15/20 144A | | | | | | | 350,000 | | | | | | | | 361,375 | |
CIT Group, Inc. | | | | | | | | | | | | | | | | |
5.25%, 03/15/18 | | | | | | | 300,000 | | | | | | | | 311,625 | |
6.63%, 04/01/18 144A | | | | | | | 1,000,000 | | | | | | | | 1,056,250 | |
Clear Channel Worldwide Holdings, Inc. | | | | | | | | | | | | | | | | |
7.63%, 03/15/20 | | | | | | | 250,000 | | | | | | | | 250,780 | |
CNH Industrial Capital LLC | | | | | | | | | | | | | | | | |
3.88%, 07/16/18 | | | | | | | 500,000 | | | | | | | | 509,375 | |
Covanta Holding Corporation | | | | | | | | | | | | | | | | |
7.25%, 12/01/20 | | | | | | | 50,000 | | | | | | | | 51,088 | |
Diamond 1 Finance Corporation | | | | | | | | | | | | | | | | |
4.42%, 06/15/21 144A | | | | | | | 400,000 | | | | | | | | 414,307 | |
DISH DBS Corporation | | | | | | | | | | | | | | | | |
4.25%, 04/01/18 | | | | | | | 500,000 | | | | | | | | 513,935 | |
Hertz Corporation | | | | | | | | | | | | | | | | |
6.75%, 04/15/19 | | | | | | | 432,000 | | | | | | | | 433,080 | |
6.25%, 10/15/22 | | | | | | | 400,000 | | | | | | | | 377,000 | |
International Lease Finance Corporation | | | | | | | | | | | | | | | | |
6.25%, 05/15/19 | | | | | | | 450,000 | | | | | | | | 484,875 | |
MPT Operating Partnership LP REIT | | | | | | | | | | | | | | | | |
6.38%, 02/15/22 | | | | | | | 500,000 | | | | | | | | 518,750 | |
NCR Corporation | | | | | | | | | | | | | | | | |
4.63%, 02/15/21 | | | | | | | 400,000 | | | | | | | | 408,700 | |
Post Holdings, Inc. | | | | | | | | | | | | | | | | |
6.75%, 12/01/21 144A | | | | | | | 675,000 | | | | | | | | 722,250 | |
Reynolds Group Issuer, Inc. | | | | | | | | | | | | | | | | |
6.88%, 02/15/21 | | | | | | | 194,441 | | | | | | | | 200,080 | |
Sprint Communications, Inc. | | | | | | | | | | | | | | | | |
9.00%, 11/15/18 144A | | | | | | | 300,000 | | | | | | | | 331,500 | |
Tenet Healthcare Corporation | | | | | | | | | | | | | | | | |
6.25%, 11/01/18 | | | | | | | 500,000 | | | | | | | | 530,000 | |
T-Mobile USA, Inc. | | | | | | | | | | | | | | | | |
6.46%, 04/28/19 | | | | | | | 1,200,000 | | | | | | | | 1,222,500 | |
United Rentals North America, Inc. | | | | | | | | | | | | | | | | |
7.63%, 04/15/22 | | | | | | | 115,000 | | | | | | | | 121,612 | |
Valeant Pharmaceuticals International | | | | | | | | | | | | | | | | |
6.38%, 10/15/20 144A | | | | | | | 300,000 | | | | | | | | 259,218 | |
VEREIT Operating Partnership LP REIT | | | | | | | | | | | | | | | | |
4.13%, 06/01/21 | | | | | | | 450,000 | | | | | | | | 459,000 | |
West Corporation | | | | | | | | | | | | | | | | |
4.75%, 07/15/21 144A | | | | | | | 500,000 | | | | | | | | 512,500 | |
| | | | | | | | | | | | | | | | |
Total Corporate Bonds
(Cost $11,655,604) | | | | | | | | | | | | | | | 11,743,894 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | Par | | | | | | Value | |
FOREIGN BONDS — 0.7% | | | | | | | | | | | | | | | | |
Bermuda — 0.2% | | | | | | | | | | | | | | | | |
Viking Cruises, Ltd. | | | | | | | | | | | | | | | | |
8.50%, 10/15/22 144A | | | | | | $ | 350,000 | | | | | | | $ | 364,438 | |
| | | | | | | | | | | | | | | | |
Ireland — 0.5% | | | | | | | | | | | | | | | | |
Ardagh Packaging Finance PLC | | | | | | | | | | | | | | | | |
3.96%, 12/15/19 144A† | | | | | | | 500,000 | | | | | | | | 508,750 | |
4.16%, 05/15/21 144A† | | | | | | | 225,000 | | | | | | | | 232,031 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 740,781 | |
| | | | | | | | | | | | | | | | |
Total Foreign Bonds
(Cost $1,042,235) | | | | | | | | | | | | | | | 1,105,219 | |
| | | | | | | | | | | | | | | | |
LOAN AGREEMENTS — 85.0% | | | | | | | | | | | | | | | | |
1011778 BC ULC Term B-2 Loan | | | | | | | | | | | | | | | | |
3.75%, 12/12/21 | | | | | | | 513,067 | | | | | | | | 517,238 | |
Abacus Innovations Corporation Term B Loan | | | | | | | | | | | | | | | | |
3.52%, 08/16/23 | | | | | | | 420,000 | | | | | | | | 423,826 | |
ABB Con-Cise Optical Group LLC Term B Loan | | | | | | | | | | | | | | | | |
6.00%, 06/15/23 | | | | | | | 200,000 | | | | | | | | 202,250 | |
ABG Intermediate Holdings 2 LLC Term Loan | | | | | | | | | | | | | | | | |
5.50%, 05/27/21 | | | | | | | 568,153 | | | | | | | | 570,994 | |
Acadia Healthcare Co., Inc.
Term B-1 Loan | | | | | | | | | | | | | | | | |
3.76%, 02/11/22 | | | | | | | 183,966 | | | | | | | | 185,346 | |
0.00%, 02/11/22 S | | | | | | | 515,010 | | | | | | | | 518,873 | |
Access CIG LLC Term B Loan | | | | | | | | | | | | | | | | |
6.00%, 10/17/21 | | | | | | | 691,445 | | | | | | | | 689,716 | |
Aclara Technologies LLC Term B Loan | | | | | | | | | | | | | | | | |
6.75%, 08/29/23 | | | | | | | 448,875 | | | | | | | | 456,730 | |
Acosta, Inc. Term B Loan | | | | | | | | | | | | | | | | |
4.25%, 09/26/21 | | | | | | | 183,171 | | | | | | | | 178,363 | |
Acrisure LLC Delayed Draw
Term B-DD Loan | | | | | | | | | | | | | | | | |
0.00%, 05/19/22 S | | | | | | | 17,085 | | | | | | | | 17,298 | |
Acrisure LLC Term B Loan | | | | | | | | | | | | | | | | |
0.00%, 11/22/23 S | | | | | | | 575,000 | | | | | | | | 581,290 | |
Advanced Disposal Services, Inc. Term B Loan | | | | | | | | | | | | | | | | |
3.50%, 11/10/23 | | | | | | | 567,333 | | | | | | | | 571,946 | |
AdvancePierre Foods, Inc. Term B Loan | | | | | | | | | | | | | | | | |
4.00%, 06/02/23 | | | | | | | 148,170 | | | | | | | | 150,393 | |
Advantage Sales & Marketing, Inc. Term B Loan | | | | | | | | | | | | | | | | |
4.25%, 07/25/21 | | | | | | | 359,082 | | | | | | | | 360,069 | |
Air Medical Group Holdings, Inc. Term B Loan | | | | | | | | | | | | | | | | |
4.25%, 04/28/22 | | | | | | | 814,545 | | | | | | | | 812,509 | |
| | | | |
| 248 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | |
| | | | | | Par | | | | | | Value | |
Albany Molecular Research, Inc. Term B Loan | | | | | | | | | | | | | | | | |
6.01%, 07/16/21 | | | | | | $ | 388,035 | | | | | | | $ | 391,916 | |
Albertsons LLC Term B-4 Loan | | | | | | | | | | | | | | | | |
4.50%, 08/22/21 | | | | | | | 592,690 | | | | | | | | 599,233 | |
Albertsons LLC Term B-5 Loan | | | | | | | | | | | | | | | | |
4.75%, 12/22/22 | | | | | | | 161,462 | | | | | | | | 163,481 | |
Albertsons LLC Term B-6 Loan | | | | | | | | | | | | | | | | |
4.75%, 06/22/23 | | | | | | | 106,667 | | | | | | | | 107,955 | |
Alere, Inc. Term B Loan | | | | | | | | | | | | | | | | |
4.25%, 06/18/22 | | | | | | | 298,485 | | | | | | | | 298,112 | |
AlixPartners LLP Term B Loan | | | | | | | | | | | | | | | | |
4.00%, 07/28/22 | | | | | | | 987,525 | | | | | | | | 994,576 | |
Allflex Holdings III, Inc. Term B Loan | | | | | | | | | | | | | | | | |
4.25%, 07/17/20 | | | | | | | 908,483 | | | | | | | | 911,608 | |
Allied Universal HoldCo LLC Delayed Draw Term DD Loan | | | | | | | | | | | | | | | | |
0.00%, 07/28/22 S | | | | | | | 87,637 | | | | | | | | 88,240 | |
Allied Universal HoldCo LLC Term Loan | | | | | | | | | | | | | | | | |
5.50%, 07/28/22 | | | | | | | 441,146 | | | | | | | | 444,181 | |
American Tire Distributors, Inc.
Term B Loan | | | | | | | | | | | | | | | | |
5.25%, 09/26/21 | | | | | | | 320,917 | | | | | | | | 319,646 | |
Ancestry.com Operations, Inc.
Term B Loan | | | | | | | | | | | | | | | | |
1.04%, 10/19/23 | | | | | | | 825,000 | | | | | | | | 832,474 | |
Anchor Glass Container Corporation Term Loan | | | | | | | | | | | | | | | | |
4.25%, 12/07/23 | | | | | | | 375,000 | | | | | | | | 377,696 | |
Aramark Services, Inc. Term F Loan | | | | | | | | | | | | | | | | |
3.50%, 02/24/21 | | | | | | | 972,500 | | | | | | | | 980,659 | |
Aretec Group, Inc. Term Exit Loan | | | | | | | | | | | | | | | | |
8.00%, 11/23/20 | | | | | | | 254,651 | | | | | | | | 254,651 | |
2.00%-4.50%, 05/23/21 | | | | | | | 664,315 | | | | | | | | 574,632 | |
Ascena Retail Group, Inc. Term B Loan | | | | | | | | | | | | | | | | |
5.25%, 08/21/22 | | | | | | | 554,688 | | | | | | | | 540,266 | |
AssuredPartners, Inc. Term Loan | | | | | | | | | | | | | | | | |
5.25%, 10/21/22 | | | | | | | 299,250 | | | | | | | | 303,290 | |
Asurion LLC Term B-1 Loan | | | | | | | | | | | | | | | | |
5.00%, 05/24/19 | | | | | | | 141,823 | | | | | | | | 142,931 | |
Asurion LLC Term B-2 Loan | | | | | | | | | | | | | | | | |
5.00%, 07/08/20 | | | | | | | 452,800 | | | | | | | | 458,573 | |
Asurion LLC Term B-5 Loan | | | | | | | | | | | | | | | | |
4.75%, 11/03/23 | | | | | | | 413,962 | | | | | | | | 419,654 | |
Asurion LLC Term Loan | | | | | | | | | | | | | | | | |
8.50%, 03/03/21 | | | | | | | 500,000 | | | | | | | | 507,815 | |
| | | | | | | | | | | | | | | | |
| | | | | | Par | | | | | | Value | |
Avago Technologies Cayman Finance, Ltd. Term B-1 Loan | | | | | | | | | | | | | | | | |
3.70%, 02/01/23 | | | | | | $ | 942,239 | | | | | | | $ | 955,195 | |
Avantor Performance Materials Holdings, Inc. Term Loan | | | | | | | | | | | | | | | | |
6.00%, 06/21/22 | | | | | | | 266,129 | | | | | | | | 270,787 | |
B&G Foods, Inc. Term B Loan | | | | | | | | | | | | | | | | |
3.75%, 11/02/22 | | | | | | | 361,447 | | | | | | | | 365,708 | |
B/E Aerospace, Inc. Term B Loan | | | | | | | | | | | | | | | | |
3.85%-3.94%, 12/16/21 | | | | | | | 990,000 | | | | | | | | 994,455 | |
Bass Pro Group LLC Term B Loan | | | | | | | | | | | | | | | | |
5.97%, 12/16/23 | | | | | | | 475,000 | | | | | | | | 470,250 | |
Berry Plastics Corporation
Term D Loan | | | | | | | | | | | | | | | | |
3.50%, 02/08/20 | | | | | | | 374,591 | | | | | | | | 377,146 | |
BJ’s Wholesale Club, Inc.
Term B Loan | | | | | | | | | | | | | | | | |
4.50%, 09/26/19 | | | | | | | 1,057,760 | | | | | | | | 1,067,185 | |
Block Communications, Inc. Term B Loan | | | | | | | | | | | | | | | | |
4.25%, 11/07/21 | | | | | | | 470,201 | | | | | | | | 474,315 | |
Brand Energy & Infrastructure Services, Inc. Term B Loan | | | | | | | | | | | | | | | | |
4.75%, 11/26/20 | | | | | | | 668,821 | | | | | | | | 666,554 | |
Brightview Land-scapes LLC Term B Loan | | | | | | | | | | | | | | | | |
4.00%, 12/18/20 | | | | | | | 1,462,405 | | | | | | | | 1,464,891 | |
BWAY Holding Co. Term B Loan | | | | | | | | | | | | | | | | |
5.50%, 08/14/20 | | | | | | | 478,716 | | | | | | | | 479,673 | |
BWAY Holding Co Term B Loan | | | | | | | | | | | | | | | | |
4.75%-6.50%, 09/09/23 | | | | | | | 144,638 | | | | | | | | 144,927 | |
Calpine Corporation Term B-5 Loan | | | | | | | | | | | | | | | | |
0.00%, 05/27/22 S | | | | | | | 871,065 | | | | | | | | 874,236 | |
Camelot Finance LP Term B Loan | | | | | | | | | | | | | | | | |
4.75%, 09/16/23 | | | | | | | 992,512 | | | | | | | | 1,003,470 | |
Casella Waste Systems, Inc. Term B Loan | | | | | | | | | | | | | | | | |
4.00%, 10/17/23 | | | | | | | 255,000 | | | | | | | | 257,073 | |
Catalent Pharma Solutions, Inc. Term B Loan | | | | | | | | | | | | | | | | |
0.00%, 05/20/21 S | | | | | | | 505,631 | | | | | | | | 508,791 | |
CBS Radio, Inc. Term B Loan | | | | | | | | | | | | | | | | |
4.50%, 10/17/23 | | | | | | | 475,472 | | | | | | | | 479,632 | |
CCO Safari III LLC Term I Loan | | | | | | | | | | | | | | | | |
3.50%, 01/21/23 | | | | | | | 745,502 | | | | | | | | 749,364 | |
CDS US InTermediate Holdings, Inc. Term Loan | | | | | | | | | | | | | | | | |
0.00%, 07/08/22 S | | | | | | | 189,370 | | | | | | | | 190,791 | |
Cengage Learning, Inc. Term B Loan | | | | | | | | | | | | | | | | |
5.25%, 06/07/23 | | | | | | | 407,950 | | | | | | | | 396,287 | |
| | | | |
| | See Notes to Financial Statements. | | 249 |
FLEXIBLE INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | | | |
| | | | | Par | | | | | | Value | |
Chemours Co. Term B Loan | | | | | | | | | | | | | | |
3.77%, 05/12/22 | | | | $ | 355,049 | | | | | | | $ | 352,610 | |
CHG Healthcare Services, Inc.
Term B-1 Loan | | | | | | | | | | | | | | |
4.75%, 06/07/23 | | | | | 238,200 | | | | | | | | 240,642 | |
CHS/Community Health Systems, Inc. Term G Loan | | | | | | | | | | | | | | |
3.75%, 12/31/19 | | | | | 134,318 | | | | | | | | 130,037 | |
CHS/Community Health Systems, Inc. Term H Loan | | | | | | | | | | | | | | |
4.00%, 01/27/21 | | | | | 354,104 | | | | | | | | 342,301 | |
Ciena Corporation Term Loan | | | | | | | | | | | | | | |
4.25%, 04/25/21 | | | | | 298,500 | | | | | | | | 299,992 | |
Cincinnati Bell, Inc. Term B Loan | | | | | | | | | | | | | | |
4.00%, 09/10/20 | | | | | 433,059 | | | | | | | | 434,064 | |
Clark Equipment Co. Term B Loan | | | | | | | | | | | | | | |
4.50%, 05/28/21 | | | | | 290,086 | | | | | | | | 293,895 | |
ColourOZ Investment 2 LLC Term Loan | | | | | | | | | | | | | | |
0.00%, 09/07/21 S | | | | | 180,209 | | | | | | | | 180,885 | |
Communications Sales & Leasing, Inc. Term B Loan | | | | | | | | | | | | | | |
4.50%, 10/24/22 | | | | | 874,306 | | | | | | | | 886,109 | |
Concentra, Inc. Term B Loan | | | | | | | | | | | | | | |
4.00%-5.75%, 06/01/22 | | | | | 348,232 | | | | | | | | 349,103 | |
Concordia International Corporation Term B Loan | | | | | | | | | | | | | | |
5.25%, 10/21/21 | | | | | 167,305 | | | | | | | | 129,766 | |
Consolidated Communications, Inc. Term B Loan | | | | | | | | | | | | | | |
4.00%, 10/05/23 | | | | | 369,075 | | | | | | | | 370,987 | |
Consolidated Communications, Inc. Term B-2 Loan | | | | | | | | | | | | | | |
0.00%, 10/05/23 S | | | | | 175,000 | | | | | | | | 175,906 | |
Cooper-Standard Automotive, Inc. Term B-1 Loan | | | | | | | | | | | | | | |
3.75%, 11/02/23 | | | | | 470,000 | | | | | | | | 474,503 | |
Cortes NP Intermediate Holding II Corporation Term B Loan | | | | | | | | | | | | | | |
6.00%, 11/30/23 | | | | | 555,000 | | | | | | | | 561,938 | |
CPG International, Inc. Term B Loan | | | | | | | | | | | | | | |
4.75%, 09/30/20 | | | | | 967,500 | | | | | | | | 973,547 | |
CSC Holdings LLC Term B Loan | | | | | | | | | | | | | | |
3.88%, 10/11/24 | | | | | 500,000 | | | | | | | | 504,895 | |
Cumulus Media Holdings, Inc. Term B Loan | | | | | | | | | | | | | | |
4.25%, 12/23/20 | | | | | 848,130 | | | | | | | | 575,312 | |
CWGS Group LLC Term B Loan | | | | | | | | | | | | | | |
4.50%, 11/08/23 | | | | | 520,000 | | | | | | | | 527,582 | |
| | | | | | | | | | | | | | |
| | | | | Par | | | | | | Value | |
DaVita, Inc. Term B Loan | | | | | | | | | | | | | | |
3.52%, 06/24/21 | | | | $ | 487,500 | | | | | | | $ | 491,644 | |
Dell International LLC Term B Loan | | | | | | | | | | | | | | |
4.02%, 09/07/23 | | | | | 900,000 | | | | | | | | 914,823 | |
Delta 2 Lux S.à r.l. Term B Loan | | | | | | | | | | | | | | |
5.07%, 04/30/19 | | | | | 1,534,962 | | | | | | | | 1,549,836 | |
Diebold Nixdorf, Inc. Term B Loan | | | | | | | | | | | | | | |
5.25%, 11/06/23 | | | | | 390,775 | | | | | | | | 396,027 | |
DigitalGlobe, Inc. Term B Loan | | | | | | | | | | | | | | |
3.51%, 12/22/23 | | | | | 250,000 | | | | | | | | 251,562 | |
Dole Food Co., Inc. Term B Loan | | | | | | | | | | | | | | |
4.50%-6.25%, 11/01/18 | | | | | 457,123 | | | | | | | | 459,522 | |
DPx Holdings BV Term B Loan | | | | | | | | | | | | | | |
4.25%, 03/11/21 | | | | | 1,065,131 | | | | | | | | 1,072,236 | |
Dynegy, Inc. Term C Loan | | | | | | | | | | | | | | |
5.00%, 06/27/23 | | | | | 470,000 | | | | | | | | 475,678 | |
Eastern Power LLC Term B Loan | | | | | | | | | | | | | | |
5.00%, 10/02/21 | | | | | 699,189 | | | | | | | | 704,783 | |
Entegris, Inc. Term B Loan | | | | | | | | | | | | | | |
2.75%, 04/30/21 | | | | | 508,370 | | | | | | | | 511,969 | |
Envision Healthcare Corporation Term C Loan | | | | | | | | | | | | | | |
4.00%, 12/01/23 | | | | | 720,000 | | | | | | | | 726,754 | |
Equinix, Inc. Term B Loan | | | | | | | | | | | | | | |
0.00%, 01/09/23 S | | | | | 290,000 | | | | | | | | 292,900 | |
ESH Hospitality, Inc. Term B Loan | | | | | | | | | | | | | | |
3.77%, 08/30/23 | | | | | 633,412 | | | | | | | | 640,437 | |
EVO Payments International LLC Term Loan | | | | | | | | | | | | | | |
6.00%, 12/22/23 | | | | | 680,000 | | | | | | | | 683,400 | |
EWT Holdings III Corporation Term Loan | | | | | | | | | | | | | | |
4.75%, 01/15/21 | | | | | 411,816 | | | | | | | | 414,134 | |
5.50%, 01/15/21 | | | | | 258,050 | | | | | | | | 260,148 | |
FCA US LLC Term B Loan | | | | | | | | | | | | | | |
3.50%, 05/24/17 | | | | | 292,153 | | | | | | | | 292,746 | |
Federal-Mogul Holdings Corporation Term C Loan | | | | | | | | | | | | | | |
4.75%, 04/15/21 | | | | | 217,326 | | | | | | | | 214,948 | |
Filtration Group, Inc. Term B Loan | | | | | | | | | | | | | | |
4.25%, 11/21/20 | | | | | 705,049 | | | | | | | | 709,674 | |
Filtration Group, Inc. Term DD Loan | | | | | | | | | | | | | | |
0.00%, 11/21/20 S | | | | | 101,038 | | | | | | | | 101,228 | |
First Data Corporation Term Loan | | | | | | | | | | | | | | |
3.76%, 03/24/21 | | | | | 681,777 | | | | | | | | 689,447 | |
| | | | |
| 250 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | | | Par | | | | | Value | |
Flex Acquisition Co., Inc. Term Loan | | | | | | | | | | | | |
0.00%, 12/29/23 S | | | | $ | 215,000 | | | | | $ | 216,791 | |
Flint Group GmbH Term C Loan | | | | | | | | | | | | |
0.00%, 09/07/21 S | | | | | 29,791 | | | | | | 29,902 | |
Floor & Decor Outlets of America, Inc. Term B Loan | | | | | | | | | | | | |
5.25%, 09/30/24 | | | | | 319,200 | | | | | | 319,998 | |
Frank Russell Co. Term B Loan | | | | | | | | | | | | |
6.75%, 06/01/23 | | | | | 398,000 | | | | | | 403,970 | |
Garda World Security Corporation Term B Loan | | | | | | | | | | | | |
4.00%-5.50%, 11/09/20 | | | | | 932,350 | | | | | | 932,350 | |
Garda World Security Corporation Term B-DD Loan | | | | | | | | | | | | |
4.00%-5.75%, 11/09/20 | | | | | 238,508 | | | | | | 238,508 | |
Gardner Denver, Inc. Term Loan | | | | | | | | | | | | |
4.25%-4.57%, 07/30/20 | | | | | 442,725 | | | | | | 437,846 | |
Genesys Telecommunications Laboratories, Inc. Term B Loan | | | | | | | | | | | | |
6.25%, 12/02/23 | | | | | 775,000 | | | | | | 788,082 | |
Global Eagle Entertainment, Inc. Term Loan | | | | | | | | | | | | |
0.00%, 12/22/22 S | | | | | 260,000 | | | | | | 254,800 | |
Granite Acquisition, Inc. Term B Loan | | | | | | | | | | | | |
5.00%, 12/17/21 | | | | | 804,698 | | | | | | 805,366 | |
Granite Acquisition, Inc. Term C Loan | | | | | | | | | | | | |
5.00%, 12/17/21 | | | | | 36,145 | | | | | | 36,175 | |
Granite Acquisition, Inc. Term Loan | | | | | | | | | | | | |
8.25%, 12/17/22 | | | | | 150,000 | | | | | | 143,250 | |
Gray Television, Inc. Term B Loan | | | | | | | | | | | | |
3.94%, 06/13/21 | | | | | 375,900 | | | | | | 381,069 | |
Greatbatch, Ltd. Term B Loan | | | | | | | | | | | | |
5.25%, 10/27/22 | | | | | 554,400 | | | | | | 556,651 | |
Harbor Freight Tools USA, Inc. Term Loan | | | | | | | | | | | | |
3.89%, 08/16/23 | | | | | 468,825 | | | | | | 475,074 | |
Harland Clarke Holdings Corporation Term B-5 Loan | | | | | | | | | | | | |
7.00%, 12/31/19 | | | | | 251,750 | | | | | | 252,694 | |
HC Group Holdings III, Inc. Term B Loan | | | | | | | | | | | | |
6.00%, 04/07/22 | | | | | 619,354 | | | | | | 593,032 | |
HCA, Inc. Term B-6 Loan | | | | | | | | | | | | |
4.02%, 03/17/23 | | | | | 393,334 | | | | | | 397,924 | |
HD Supply, Inc. Term B Loan | | | | | | | | | | | | |
3.75%, 08/13/21 | | | | | 345,634 | | | | | | 347,148 | |
3.75%, 10/17/23 | | | | | 94,762 | | | | | | 95,395 | |
Headwaters, Inc. Term B-1 Loan | | | | | | | | | | | | |
4.00%, 03/24/22 | | | | | 912,472 | | | | | | 916,751 | |
| | | | | | | | | | | | |
| | | | | Par | | | | | Value | |
Hilton Worldwide Finance LLC Term B-1 Loan | | | | | | | | | | | | |
3.50%, 10/26/20 | | | | $ | 48,279 | | | | | $ | 48,674 | |
Hilton Worldwide Finance LLC Term B-2 Loan | | | | | | | | | | | | |
3.26%, 10/25/23 | | | | | 308,168 | | | | | | 311,481 | |
HNC Holdings, Inc. Term B Loan | | | | | | | | | | | | |
5.50%, 09/30/23 | | | | | 295,000 | | | | | | 297,767 | |
Hoffmaster Group, Inc. Term Loan | | | | | | | | | | | | |
5.50%, 11/23/23 | | | | | 395,000 | | | | | | 398,950 | |
HUB International, Ltd. Term B Loan | | | | | | | | | | | | |
4.00%, 10/02/20 | | | | | 153,573 | | | | | | 154,655 | |
Hubbard Radio LLC Term B Loan | | | | | | | | | | | | |
4.25%, 05/27/22 | | | | | 457,770 | | | | | | 453,480 | |
Impax Laboratories, Inc. Term A-1 Loan | | | | | | | | | | | | |
4.09%, 08/03/21+ | | | | | 434,500 | | | | | | 438,845 | |
Ineos Styrolution US Holding LLC Term B Loan | | | | | | | | | | | | |
4.75%, 09/30/21 | | | | | 453,862 | | | | | | 459,536 | |
Infinity Acquisition LLC Term B Loan | | | | | | | | | | | | |
4.25%, 08/06/21 | | | | | 683,898 | | | | | | 658,252 | |
Infor US, Inc. Term B-3 Loan | | | | | | | | | | | | |
3.75%, 06/03/20 | | | | | 545,372 | | | | | | 545,274 | |
Informatica LLC Term B Loan | | | | | | | | | | | | |
4.50%, 08/06/22 | | | | | 320,938 | | | | | | 319,198 | |
Information Resources, Inc. Term B Loan | | | | | | | | | | | | |
4.75%-6.50%, 09/26/20 | | | | | 448,378 | | | | | | 450,431 | |
0.00%, 12/20/23 S | | | | | 730,000 | | | | | | 734,562 | |
Information Resources, Inc. Term Loan | | | | | | | | | | | | |
0.00%, 12/20/24 S | | | | | 525,000 | | | | | | 520,627 | |
Intrawest Operations Group LLC Term B Loan | | | | | | | | | | | | |
4.50%, 12/09/20 | | | | | 440,000 | | | | | | 445,315 | |
inVentiv Group Holdings Inc. Term B Loan | | | | | | | | | | | | |
4.75%, 11/09/23 | | | | | 385,000 | | | | | | 388,161 | |
ION Media Networks, Inc. Term B Loan | | | | | | | | | | | | |
4.75%, 12/18/20 | | | | | 950,062 | | | | | | 958,974 | |
Jazz Acquisition, Inc. Term Loan | | | | | | | | | | | | |
4.50%, 06/19/21 | | | | | 430,792 | | | | | | 402,252 | |
KAR Auction Services, Inc. Term B-3 Loan | | | | | | | | | | | | |
4.50%, 03/09/23 | | | | | 397,000 | | | | | | 401,962 | |
KFC Holding Co. Term B Loan | | | | | | | | | | | | |
3.49%, 06/16/23 | | | | | 746,250 | | | | | | 756,048 | |
KIK Custom Products, Inc. Term B Loan | | | | | | | | | | | | |
6.00%, 08/26/22 | | | | | 771,297 | | | | | | 777,082 | |
Kronos Worldwide, Inc. Term B Loan | | | | | | | | | | | | |
0.00%, 02/18/20 S | | | | | 650,000 | | | | | | 654,875 | |
| | | | |
| | See Notes to Financial Statements. | | 251 |
FLEXIBLE INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | | | | | |
| | | | | | Par | | | | | | Value | |
Landslide Holdings, Inc.
Term Loan | | | | | | | | | | | | | | | | |
5.50%, 09/21/22 | | | | | | $ | 305,000 | | | | | | | $ | 308,431 | |
Level 3 Financing, Inc.
Term B Loan | | | | | | | | | | | | | | | | |
3.50%, 01/31/22 | | | | | | | 290,000 | | | | | | | | 293,262 | |
Liberty Cablevision of Puerto Rico LLC Term B Loan | | | | | | | | | | | | | | | | |
4.50%, 01/07/22 | | | | | | | 800,000 | | | | | | | | 793,504 | |
Life Time Fitness, Inc.
Term B Loan | | | | | | | | | | | | | | | | |
4.25%, 06/10/22 | | | | | | | 443,994 | | | | | | | | 446,423 | |
Lightstone Generation LLC
Term B Loan | | | | | | | | | | | | | | | | |
0.00%, 12/15/23 S | | | | | | | 465,652 | | | | | | | | 470,891 | |
Lightstone Generation LLC
Term C Loan | | | | | | | | | | | | | | | | |
0.00%, 12/24/23 S | | | | | | | 44,348 | | | | | | | | 44,847 | |
Lions Gate Entertainment Corporation Term B Loan | | | | | | | | | | | | | | | | |
3.75%, 12/08/23 | | | | | | | 730,000 | | | | | | | | 733,650 | |
LTS Buyer LLC Term B Loan | | | | | | | | | | | | | | | | |
4.09%, 04/13/20 | | | | | | | 761,825 | | | | | | | | 765,398 | |
Lully Finance LLC
Term B-1 Loan | | | | | | | | | | | | | | | | |
5.00%, 07/11/22 | | | | | | | 290,738 | | | | | | | | 290,252 | |
MacDermid, Inc. Term B-4 Loan | | | | | | | | | | | | | | | | |
5.00%, 06/07/23 | | | | | | | 364,088 | | | | | | | | 368,504 | |
Mallinckrodt International Finance SA Term B Loan | | | | | | | | | | | | | | | | |
3.50%, 03/19/21 | | | | | | | 500,372 | | | | | | | | 501,103 | |
Manitowoc Foodservice, Inc.
Term B Loan | | | | | | | | | | | | | | | | |
5.75%, 03/03/23 | | | | | | | 346,923 | | | | | | | | 351,693 | |
Masergy Communications, Inc.
Term Loan | | | | | | | | | | | | | | | | |
5.50%, 12/15/23 | | | | | | | 350,000 | | | | | | | | 351,897 | |
Match Group, Inc. Term B Loan | | | | | | | | | | | | | | | | |
4.20%, 11/16/22 | | | | | | | 225,000 | | | | | | | | 228,094 | |
Mauser Holding S.à.r.l Term Loan | | | | | | | | | | | | | | | | |
4.50%, 07/31/21 | | | | | | | 614,008 | | | | | | | | 617,845 | |
McGraw-Hill Global Education Holdings LLC Term Loan | | | | | | | | | | | | | | | | |
5.00%, 05/04/22 | | | | | | | 586,526 | | | | | | | | 586,620 | |
Media General, Inc. Term B Loan | | | | | | | | | | | | | | | | |
4.00%, 07/31/20 | | | | | | | 674,675 | | | | | | | | 674,783 | |
Methanol Holdings Trinidad, Ltd.
Term B Loan | | | | | | | | | | | | | | | | |
4.27%, 06/30/22 | | | | | | | 295,500 | | | | | | | | 288,482 | |
Midas Intermediate Holdco II LLC Term B Loan | | | | | | | | | | | | | | | | |
4.50%, 08/18/21 | | | | | | | 203,439 | | | | | | | | 205,728 | |
Mission Broadcasting, Inc.
Term B Loan | | | | | | | | | | | | | | | | |
0.00%, 09/26/23 S | | | | | | | 35,591 | | | | | | | | 35,869 | |
| | | | | | | | | | | | | | | | |
| | | | | | Par | | | | | | Value | |
Mission Broadcasting, Inc.
Term B-2 Loan | | | | | | | | | | | | | | | | |
3.75%, 10/01/20 | | | | | | $ | 569,148 | | | | | | | $ | 572,990 | |
Mitel U.S. Holdings, Inc.
Term B Loan | | | | | | | | | | | | | | | | |
5.50%, 04/29/22 | | | | | | | 403,284 | | | | | | | | 407,116 | |
MoneyGram International, Inc. Term B Loan | | | | | | | | | | | | | | | | |
4.25%, 03/28/20 | | | | | | | 619,954 | | | | | | | | 611,690 | |
MPH Acquisition Holdings LLC Term B Loan | | | | | | | | | | | | | | | | |
4.00%, 06/07/23 | | | | | | | 1,596,081 | | | | | | | | 1,622,592 | |
MRC Global US, Inc.
Term B Loan | | | | | | | | | | | | | | | | |
5.00%, 11/09/19 | | | | | | | 263,208 | | | | | | | | 264,195 | |
MTL Publishing LLC
Term B-3 Loan | | | | | | | | | | | | | | | | |
3.38%, 08/20/22 | | | | | | | 452,551 | | | | | | | | 454,940 | |
MTS Systems Corporation
Term B Loan | | | | | | | | | | | | | | | | |
5.00%, 07/05/23 | | | | | | | 623,438 | | | | | | | | 631,623 | |
Multi Packaging Solutions, Inc. Term B Loan | | | | | | | | | | | | | | | | |
4.25%, 09/30/20 | | | | | | | 757,911 | | | | | | | | 757,911 | |
Nature’s Bounty Co.
Term B Loan | | | | | | | | | | | | | | | | |
5.00%, 05/05/23 | | | | | | | 487,550 | | | | | | | | 491,055 | |
Nautilus Merger Sub, Inc.
Term B Loan | | | | | | | | | | | | | | | | |
4.00%, 03/13/21 | | | | | | | 328,862 | | | | | | | | 327,079 | |
Navistar, Inc. Term B Loan | | | | | | | | | | | | | | | | |
6.50%-7.75%, 08/07/20 | | | | | | | 360,750 | | | | | | | | 364,899 | |
Neiman Marcus Group, Ltd. LLC Term Loan | | | | | | | | | | | | | | | | |
4.25%, 10/25/20 | | | | | | | 509,246 | | | | | | | | 441,389 | |
Nexeo Solutions LLC
Term B Loan | | | | | | | | | | | | | | | | |
5.25%, 06/09/23 | | | | | | | 741,275 | | | | | | | | 746,835 | |
Nexstar Broadcasting, Inc.
Term B Loan | | | | | | | | | | | | | | | | |
0.00%, 09/26/23 S | | | | | | | 399,409 | | | | | | | | 402,528 | |
Nexstar Broadcasting, Inc.
Term B-2 Loan | | | | | | | | | | | | | | | | |
3.75%, 10/01/20 | | | | | | | 645,423 | | | | | | | | 649,780 | |
NFP Corporation
Term B Loan | | | | | | | | | | | | | | | | |
0.00%, 12/09/23 S | | | | | | | 585,000 | | | | | | | | 589,388 | |
NFP Corporation Term Loan | | | | | | | | | | | | | | | | |
6.25%, 07/01/20 | | | | | | | 778,530 | | | | | | | | 784,696 | |
NMSC Holdings, Inc.
Term B Loan | | | | | | | | | | | | | | | | |
6.00%, 04/19/23 | | | | | | | 270,935 | | | | | | | | 272,967 | |
North American Lifting Holdings, Inc. Term Loan | | | | | | | | | | | | | | | | |
5.50%, 11/27/20 | | | | | | | 485,195 | | | | | | | | 416,865 | |
10.00%, 11/27/21 | | | | | | | 250,000 | | | | | | | | 122,500 | |
Ocwen Loan Servicing LLC
Term B Loan | | | | | | | | | | | | | | | | |
6.00%, 12/05/20 | | | | | | | 370,000 | | | | | | | | 373,545 | |
| | | | |
| 252 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | |
| | | | | | Par | | | | | | Value | |
ON Semiconductor Corporation
Term B Loan | | | | | | | | | | | | | | | | |
4.02%, 03/31/23 | | | | | | $ | 528,675 | | | | | | | $ | 535,093 | |
Orion Engineered Carbons GmbH Term Loan | | | | | | | | | | | | | | | | |
3.84%, 07/25/21 | | | | | | | 408,788 | | | | | | | | 409,299 | |
Peak 10, Inc. Term Loan | | | | | | | | | | | | | | | | |
5.00%, 06/17/21 | | | | | | | 356,312 | | | | | | | | 359,430 | |
Penn Engineering & Manufacturing Corporation
Term B Loan | | | | | | | | | | | | | | | | |
4.00%, 08/29/21 | | | | | | | 502,430 | | | | | | | | 502,847 | |
Petco Animal Supplies, Inc.
Term B-1 Loan | | | | | | | | | | | | | | | | |
5.00%, 01/26/23 | | | | | | | 286,925 | | | | | | | | 288,156 | |
PetSmart, Inc. Term B Loan | | | | | | | | | | | | | | | | |
4.00%, 03/10/22 | | | | | | | 563,570 | | | | | | | | 564,979 | |
Pharmaceutical Product Development LLC
Term B Loan | | | | | | | | | | | | | | | | |
4.25%, 08/18/22 | | | | | | | 952,497 | | | | | | | | 962,261 | |
Pinnacle Foods Finance LLC
Term I Loan | | | | | | | | | | | | | | | | |
3.51%, 01/13/23 | | | | | | | 492,513 | | | | | | | | 500,107 | |
Press Ganey Holdings, Inc.
Term Loan | | | | | | | | | | | | | | | | |
4.25%, 10/21/23 | | | | | | | 475,000 | | | | | | | | 477,375 | |
Prestige Brand, Inc.
Term B-3 Loan | | | | | | | | | | | | | | | | |
3.50%, 09/03/21 | | | | | | | 81,964 | | | | | | | | 82,497 | |
Quebecor Media, Inc.
Term B-1 Loan | | | | | | | | | | | | | | | | |
3.40%, 08/17/20 | | | | | | | 1,162,310 | | | | | | | | 1,162,798 | |
Quikrete Holdings, Inc.
Term B Loan | | | | | | | | | | | | | | | | |
0.00%, 11/15/23 S | | | | | | | 595,000 | | | | | | | | 600,456 | |
Quincy Media, Inc.
Term B Loan | | | | | | | | | | | | | | | | |
5.00%-6.75%, 11/02/22 | | | | | | | 557,228 | | | | | | | | 559,668 | |
Radiate Holdco LLC
Term Loan | | | | | | | | | | | | | | | | |
0.00%, 12/09/23 S | | | | | | | 615,000 | | | | | | | | 618,758 | |
Reynolds Group Holdings, Inc. Term Loan | | | | | | | | | | | | | | | | |
4.25%, 02/05/23 | | | | | | | 559,676 | | | | | | | | 566,543 | |
Road Infrastructure Investment LLC
Term A Loan | | | | | | | | | | | | | | | | |
5.00%, 06/13/23 | | | | | | | 200,000 | | | | | | | | 201,438 | |
Rocket Software, Inc.
Term Loan | | | | | | | | | | | | | | | | |
5.25%, 09/28/23 | | | | | | | 413,962 | | | | | | | | 418,620 | |
RP Crown Parent LLC
Term B Loan | | | | | | | | | | | | | | | | |
4.50%, 10/12/23 | | | | | | | 330,000 | | | | | | | | 333,218 | |
RPI Finance Trust
Term B-5 Loan | | | | | | | | | | | | | | | | |
3.50%, 10/14/22 | | | | | | | 768,075 | | | | | | | | 776,716 | |
Sabre GLBL, Inc.
Term B-2 Loan | | | | | | | | | | | | | | | | |
4.50%, 02/19/19 | | | | | | | 806,726 | | | | | | | | 810,090 | |
Safway Group Holding LLC Term B Loan | | | | | | | | | | | | | | | | |
0.00%, 08/19/23 S | | | | | | | 653,788 | | | | | | | | 662,777 | |
| | | | | | | | | | | | | | | | |
| | | | | | Par | | | | | | Value | |
SAM Finance Lux S.à r.l.
Term B Loan | | | | | | | | | | | | | | | | |
4.25%, 12/17/20 | | | | | | $ | 441,542 | | | | | | | $ | 443,198 | |
Sandy Creek Energy Associates LP Term B Loan | | | | | | | | | | | | | | | | |
5.00%-6.25%, 11/08/20 | | | | | | | 126,324 | | | | | | | | 105,480 | |
SBA Senior Finance II LLC
Term B-2 Loan | | | | | | | | | | | | | | | | |
3.27%, 06/10/22 | | | | | | | 573,083 | | | | | | | | 574,911 | |
Seadrill Operating LP
Term B Loan | | | | | | | | | | | | | | | | |
4.00%, 02/21/21 | | | | | | | 485,000 | | | | | | | | 330,285 | |
SeaWorld Parks & Entertainment, Inc. Term B-2 Loan | | | | | | | | | | | | | | | | |
3.09%, 05/14/20 | | | | | | | 246,728 | | | | | | | | 243,336 | |
Sedgwick Claims Management Services, Inc. Term Loan | | | | | | | | | | | | | | | | |
3.75%-6.75%, 02/28/21 | | | | | | | 289,379 | | | | | | | | 289,793 | |
ServiceMaster Co. LLC
Term B Loan | | | | | | | | | | | | | | | | |
3.27%, 11/08/23 | | | | | | | 645,000 | | | | | | | | 646,612 | |
SFR Group Term B-7 Loan | | | | | | | | | | | | | | | | |
5.14%, 01/15/24 | | | | | | | 845,750 | | | | | | | | 855,721 | |
SFR Group Term B-10 Loan | | | | | | | | | | | | | | | | |
4.04%, 01/31/25 | | | | | | | 230,000 | | | | | | | | 231,782 | |
SIG Combibloc US Acquisition, Inc. Term B Loan | | | | | | | | | | | | | | | | |
4.00%, 03/13/22 | | | | | | | 594,092 | | | | | | | | 598,328 | |
Signode Industrial Group US, Inc.
Term B Loan | | | | | | | | | | | | | | | | |
3.75%, 05/01/21 | | | | | | | 703,653 | | | | | | | | 708,930 | |
Sinclair Television Group, Inc.
Term B-2 Loan | | | | | | | | | | | | | | | | |
0.00%, 01/31/24 S | | | | | | | 365,000 | | | | | | | | 364,544 | |
SiteOne Supply Holding LLC
Term B Loan | | | | | | | | | | | | | | | | |
6.25%, 04/29/22 | | | | | | | 233,825 | | | | | | | | 234,994 | |
SolarWinds Holdings, Inc.
Term B Loan | | | | | | | | | | | | | | | | |
5.50%, 02/05/23 | | | | | | | 636,800 | | | | | | | | 644,079 | |
Solenis International LP
Term Loan | | | | | | | | | | | | | | | | |
4.25%, 07/31/21 | | | | | | | 682,776 | | | | | | | | 683,630 | |
Southcross Holdings Borrower LP
Term B Loan | | | | | | | | | | | | | | | | |
0.00%, 04/13/23 S | | | | | | | 135,729 | | | | | | | | 102,927 | |
Spectrum Brands, Inc.
Term B Loan | | | | | | | | | | | | | | | | |
3.31%-3.37%, 06/23/22 | | | | | | | 433,899 | | | | | | | | 439,479 | |
Spin Holdco, Inc. Term B Loan | | | | | | | | | | | | | | | | |
4.25%, 11/08/19 | | | | | | | 967,775 | | | | | | | | 963,623 | |
Sterigenics-Nordion Holdings LLC Term B Loan | | | | | | | | | | | | | | | | |
4.25%, 05/15/22 | | | | | | | 593,985 | | | | | | | | 595,844 | |
Summit Materials LLC
Term B Loan | | | | | | | | | | | | | | | | |
4.00%, 07/17/22 | | | | | | | 492,500 | | | | | | | | 496,504 | |
| | | | |
| | See Notes to Financial Statements. | | 253 |
FLEXIBLE INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Par | | | | | | Value | |
Surgical Care Affiliates, Inc. Term Loan | | | | | | | | | | | | |
3.75%, 03/17/22 | | $ | 389,025 | | | | | | | $ | 391,215 | |
Sybil Software LLC Term B Loan | | | | | | | | | | | | |
5.00%, 08/03/22 | | | 399,938 | | | | | | | | 405,689 | |
Team Health, Inc. Term B Loan | | | | | | | | | | | | |
3.77%, 11/23/22 | | | 386,078 | | | | | | | | 386,240 | |
Telesat Canada Term B Loan | | | | | | | | | | | | |
4.50%, 11/17/23 | | | 450,000 | | | | | | | | 455,764 | |
Texas Competitive Electric Holdings Co. LLC DIP Term B Loan | | | | | | | | | | | | |
5.00%, 10/31/17 | | | 647,357 | | | | | | | | 654,744 | |
Texas Competitive Electric Holdings Co. LLC DIP Term C Loan | | | | | | | | | | | | |
5.00%, 10/31/17 | | | 147,643 | | | | | | | | 149,327 | |
TierPoint LLC Term B Loan | | | | | | | | | | | | |
5.25%, 12/02/21 | | | 482,538 | | | | | | | | 482,842 | |
Time, Inc. Term B-DD Loan | | | | | | | | | | | | |
4.25%, 04/24/21 | | | 731,808 | | | | | | | | 734,098 | |
Tower Automotive Holdings USA LLC Term B Loan | | | | | | | | | | | | |
4.00%, 04/23/20 | | | 260,803 | | | | | | | | 262,107 | |
Trans Union LLC Term B-2 Loan | | | | | | | | | | | | |
3.52%, 04/09/21 | | | 1,243,434 | | | | | | | | 1,253,431 | |
Tribune Media Co. Term B Loan | | | | | | | | | | | | |
3.77%, 12/27/20 | | | 738,750 | | | | | | | | 744,106 | |
TricorBraun, Inc. Delayed Draw Term DD Loan | | | | | | | | | | | | |
0.00%, 10/31/23 S | | | 52,273 | | | | | | | | 52,752 | |
TricorBraun, Inc. Term Loan | | | | | | | | | | | | |
4.75%, 10/30/23 | | | 522,727 | | | | | | | | 527,521 | |
tronc, Inc. Term B Loan | | | | | | | | | | | | |
5.75%, 08/04/21 | | | 380,424 | | | | | | | | 378,997 | |
Tronox Pigments Holland BV Term B Loan | | | | | | | | | | | | |
4.50%, 03/19/20 | | | 420,641 | | | | | | | | 422,042 | |
TTM Technologies, Inc. Term B Loan | | | | | | | | | | | | |
5.25%, 07/31/21 | | | 221,290 | | | | | | | | 224,056 | |
UFC Holdings LLC Term B Loan | | | | | | | | | | | | |
5.00%, 08/18/23 | | | 530,000 | | | | | | | | 536,360 | |
Univar USA, Inc. Term B Loan | | | | | | | | | | | | |
4.25%, 07/01/22 | | | 340,688 | | | | | | | | 343,597 | |
Univision Communications, Inc. Term C-4 Loan | | | | | | | | | | | | |
4.00%, 03/01/20 | | | 1,098,801 | | | | | | | | 1,104,295 | |
UPC Financing Partnership Term AN Loan | | | | | | | | | | | | |
4.08%, 08/31/24 | | | 460,000 | | | | | | | | 464,600 | |
| | | | | | | | | | | | |
| | | Par | | | | | | Value | |
US Foods, Inc. Term B Loan | | | | | | | | | | | | |
3.77%, 06/27/23 | | $ | 407,950 | | | | | | | $ | 412,030 | |
USIC Holdings, Inc. Term Loan | | | | | | | | | | | | |
4.75%, 12/09/23 | | | 370,000 | | | | | | | | 372,157 | |
Valeant Pharmaceuticals International, Inc. Term BC-2 Loan | | | | | | | | | | | | |
5.25%, 12/11/19 | | | 253,498 | | | | | | | | 252,773 | |
Valeant Pharmaceuticals International, Inc. Term BF-1 Loan | | | | | | | | | | | | |
5.50%, 04/01/22 | | | 779,834 | | | | | | | | 779,982 | |
Vantiv LLC Term B Loan | | | | | | | | | | | | |
3.25%, 10/14/23 | | | 511,250 | | | | | | | | 515,340 | |
VCVH Holding Corporation Term Loan | | | | | | | | | | | | |
6.00%, 06/01/23 | | | 348,250 | | | | | | | | 346,073 | |
VF Holdings Corporation Term Loan | | | | | | | | | | | | |
4.75%, 06/17/23 | | | 350,000 | | | | | | | | 350,749 | |
VFH Parent LLC Term B Loan | | | | | | | | | | | | |
4.25%, 10/27/23 | | | 220,000 | | | | | | | | 221,307 | |
Virgin Media Bristol LLC Term I Loan | | | | | | | | | | | | |
0.00%, 01/31/25 S | | | 655,000 | | | | | | | | 657,541 | |
Vistra Operations Co. LLC Term B-2 Loan | | | | | | | | | | | | |
4.00%, 08/04/23 | | | 210,000 | | | | | | | | 212,625 | |
Walter Investment Management Corporation Term Loan | | | | | | | | | | | | |
4.75%, 12/18/20 | | | 274,583 | | | | | | | | 260,580 | |
WASH Multifamily Laundry Systems LLC Term B Loan | | | | | | | | | | | | |
4.25%, 05/14/22 | | | 295,588 | | | | | | | | 295,219 | |
4.25%, 05/14/22 | | | 51,766 | | | | | | | | 51,702 | |
Waste Industries USA, Inc. Term B Loan | | | | | | | | | | | | |
3.52%, 02/27/20 | | | 544,458 | | | | | | | | 547,181 | |
WaveDivision Holdings LLC Term Loan | | | | | | | | | | | | |
4.00%, 10/15/19 | | | 806,459 | | | | | | | | 810,693 | |
West Corporation Term B-12 Loan | | | | | | | | | | | | |
3.75%, 06/17/23 | | | 442,079 | | | | | | | | 442,631 | |
Western Digital Corporation Term B Loan | | | | | | | | | | | | |
4.52%, 04/29/23 | | | 417,900 | | | | | | | | 424,298 | |
WEX, Inc. Term B Loan | | | | | | | | | | | | |
4.27%, 07/01/23 | | | 278,600 | | | | | | | | 282,300 | |
WideOpenWest Finance LLC Term B Loan | | | | | | | | | | | | |
4.50%, 08/19/23 | | | 1,002,488 | | | | | | | | 1,012,332 | |
William Morris Endeavor Entertainment LLC Term B Loan | | | | | | | | | | | | |
5.25%, 05/06/21 | | | 1,338,402 | | | | | | | | 1,350,956 | |
WMG Acquisition Corporation Term Loan | | | | | | | | | | | | |
3.75%, 11/01/23 | | | 590,000 | | | | | | | | 594,549 | |
| | | | |
| 254 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | Par | | | | | | Value | |
Xplornet Communications, Inc. Term B Loan | | | | | | | | | | | | |
0.00%, 09/09/21 S | | $ | 449,100 | | | | | | | $ | 452,468 | |
XPO Logistics, Inc. Term B-2 Loan | | | | | | | | | | | | |
4.25%, 10/30/21 | | | 471,710 | | | | | | | | 477,460 | |
Yankee Cable Acquisition LLC Term B Loan | | | | | | | | | | | | |
4.25%, 03/01/20 | | | 458,011 | | | | | | | | 458,203 | |
Zayo Group LLC Term B Loan | | | | | | | | | | | | |
3.75%, 07/02/19 | | | 404,522 | | | | | | | | 408,624 | |
Zebra Technologies Corporation Term B Loan | | | | | | | | | | | | |
3.45%, 10/27/21 | | | 335,781 | | | | | | | | 339,417 | |
Zekelman Industries, Inc. Term B Loan | | | | | | | | | | | | |
6.00%, 06/14/21 | | | 313,425 | | | | | | | | 315,776 | |
Ziggo BV Term B-1 Loan | | | | | | | | | | | | |
3.50%, 01/15/22 | | | 306,251 | | | | | | | | 307,528 | |
Ziggo BV Term B-2 Loan | | | | | | | | | | | | |
3.50%, 01/15/22 | | | 181,495 | | | | | | | | 182,252 | |
Ziggo BV Term B3-DD Loan | | | | | | | | | | | | |
3.50%, 01/15/22 | | | 56,396 | | | | | | | | 56,631 | |
| | | | | | | | | | | | |
Total Loan Agreements
(Cost $130,155,993) | | | | | | | | | | | 130,772,452 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
COMMON STOCKS — 0.1% | | | | | | | | | |
Energy — 0.0% | | | | | | | | | | | | |
SouthCross Holdings LP Class A* | | | 148 | | | | | | | $ | 52,540 | |
| | | | | | | | | | | | |
Technology — 0.1% | | | | | | | | | | | | |
Aretec Group, Inc.* | | | 7,976 | | | | | | | | 103,688 | |
| | | | | | | | | | | | |
Total Common Stocks
(Cost $72,110) | | | | | | | | 156,228 | |
| | | | | | | | | | | | |
MONEY MARKET FUND — 8.7% | | | | | | | | | |
GuideStone Money Market Fund (Investor Class)¥
(Cost $13,334,211) | | | 13,334,211 | | | | | | | | 13,334,211 | |
| | | | | | | | | | | | |
TOTAL INVESTMENTS — 102.1%
(Cost $156,260,153) | | | | | | | | 157,112,004 | |
Liabilities in Excess of Other
Assets — (2.1)% | | | | | | | | (3,178,339 | ) |
| | | | | | | | | | | | |
NET ASSETS — 100.0% | | | | | | | | | | $ | 153,933,665 | |
| | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 255 |
FLEXIBLE INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2016, 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: | | | | | | | | | | | | | | | | | | | | |
Corporate Bonds | | | $ | 11,743,894 | | | | $ | — | | | | $ | 11,743,894 | | | | $ | — | |
Foreign Bonds | | | | 1,105,219 | | | | | — | | | | | 1,105,219 | | | | | — | |
Loan Agreements | | | | 130,772,452 | | | | | — | | | | | 120,875,402 | | | | | 9,897,050 | |
Common Stocks | | | | 156,228 | | | | | — | | | | | — | | | | | 156,228 | |
Money Market Fund | | | | 13,334,211 | | | | | 13,334,211 | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | | $ | 157,112,004 | | | | $ | 13,334,211 | | | | $ | 133,724,515 | | | | $ | 10,053,278 | |
| | | | | | | | | | | | | | | | | | | | |
There were no transfers between Level 1 and Level 2 during the year ended December 31, 2016.
The unobservable inputs used in the fair value measurement of the reporting entity’s common stock and loan agreements 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.
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:
| | | | | | | | | | | | |
| | | Total
Value | | | Common
Stock | | | Loan
Agreements | |
Balance, 12/31/15 | | $ | 7,948,758 | | | $ | — | | | $ | 7,948,758 | |
Accrued discounts/premiums | | | — | | | | — | | | | — | |
Realized gain (loss)(1) | | | 1,154,861 | | | | — | | | | 1,154,861 | |
Change in unrealized appreciation (depreciation)(2) | | | 444,828 | | | | 84,118 | | | | 360,710 | |
Purchases | | | 8,549,471 | | | | 72,110 | | | | 8,477,361 | |
Sales | | | (5,118,663 | ) | | | — | | | | (5,118,663 | ) |
Transfers in to Level 3(3) | | | 1,591,496 | | | | — | | | | 1,591,496 | |
Transfers out of Level 3(4) | | | (4,517,473 | ) | | | — | | | | (4,517,473 | ) |
Maturities | | | — | | | | — | | | | — | |
Paydowns | | | — | | | | — | | | | — | |
| | | | | | | | | | | | |
Balance, 12/31/16 | | $ | 10,053,278 | | | $ | 156,228 | | | $ | 9,897,050 | |
| | | | | | | | | | | | |
| (1) | Realized gain (loss) from the sale of Level 3 securities is included on the Statement of Operations in Net realized gain (loss) from: Investment securities. |
| (2) | Change in unrealized appreciation (depreciation) is located on the Statement of Operations in Net change in unrealized appreciation (depreciation) on: Investment securities. |
| (3) | Transfers in to Level 3 represent the value of securities at December 31, 2016 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 using an objective method such as a pricing vendor. |
| (4) | Transfers out of Level 3 represent the value of securities at December 31, 2016 that were transferred from Level 3 to Level 2 of the fair value hierarchy as a result of the ability of the Fund to obtain a price using an objective method such as a pricing vendor. |
| | | | |
256 | | See Notes to Financial Statements. | | |
Real Estate Securities Fund (Unaudited)
Global real estate securities performed well in the first half of 2016 before reversing course and giving up some of the gains in the second half. In the first half of 2016, global real estate securities were in a sweet spot of low rates and slow growth, but as economic data improved in the second half year, interest rates rose and put pressure on valuations. The FTSE EPRA/NAREIT Developed Index rose 4.06% for the year.
The direction of global property markets (and to a large extent broader equities) was dictated by central bank policy, resulting in brief bouts of volatility during 2016.
The Fund provides exposure to real estate by investing in public real estate securities with strong cash flow growth potential that provides the capacity for sustained dividend increases. The Fund was diversified among property sectors and geographical locations. The Fund slightly underperformed its benchmark, the FTSE EPRA/NAREIT Developed Index, for the 2016 calendar year (3.78% vs. 4.06%). Stock selection was neutral to positive in all regions and specifically strong in Japan and the Americas. Relative performance was negatively impacted by overweighting cyclical office names early in the year.
In 2016, exchange-listed equity index futures contracts were utilized to provide market exposure to the cash positions held in the Fund. Overall, derivative exposure had a slight positive impact on Fund performance for the year.
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 real estate investment trusts 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. It is possible to lose money by investing in the Fund.
At December 31, 2016, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
| | | | |
| | | % | |
Financial Services | | | 53.0 | |
Foreign Common Stocks | | | 43.5 | |
Money Market Funds | | | 3.9 | |
Consumer Discretionary | | | 0.4 | |
U.S. Treasury Obligation | | | 0.2 | |
| | | | |
| | | 101.0 | |
| | | | |
257
Real Estate Securities Fund (Unaudited)
| | | | | | |
Average Annual Total Returns as of 12/31/16 |
| | | Institutional Class* | | Investor Class* | | Benchmark*** |
One Year | | 4.07% | | 3.78% | | 4.06% |
Five Year | | N/A | | 7.52% | | 7.18% |
Ten Year | | N/A | | 2.79% | | 1.48% |
Since Inception(1) | | 1.25% | | 2.83% | | 1.48% |
Inception Date | | 04/30/15 | | 12/29/06 | | |
Total Fund Operating Expenses (May 1, 2016 Prospectus)(2) | | 0.93% | | 1.17% | | |
| (1) | The Since Inception benchmark performance is based on the start date of December 29, 2006, which corresponds with the inception date of the Investor Class, the longest operating class of the Fund. |
| (2) | 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 GuideStoneFunds.com. 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 Investor Class of the Fund for the 10-year period from December 31, 2006 to December 31, 2016, with all dividends and capital gains reinvested, with the FTSE EPRA/NAREIT Developed 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.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
| | |
REAL ESTATE SECURITIES FUND SCHEDULE OF INVESTMENTS | | December 31, 2016 |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
COMMON STOCKS — 53.4% | | | | | | | | | |
Consumer Discretionary — 0.4% | | | | | | | | | |
Hilton Worldwide Holdings, Inc.* | | | 35,247 | | | | | | | $ | 958,718 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 958,718 | |
| | | | | | | | | | | | |
Financial Services — 53.0% | | | | | | | | | | | | |
Agree Realty Corporation REIT | | | 19,084 | | | | | | | | 878,818 | |
Alexandria Real Estate Equities, Inc. REIT | | | 35,290 | | | | | | | | 3,921,778 | |
American Homes 4 Rent Class A REIT | | | 90,468 | | | | | | | | 1,898,019 | |
Apartment Investment & Management Co. Class A REITD | | | 35,561 | | | | | | | | 1,616,247 | |
Apple Hospitality REIT, Inc. | | | 38,876 | | | | | | | | 776,742 | |
AvalonBay Communities, Inc. REIT | | | 27,227 | | | | | | | | 4,823,263 | |
Boston Properties, Inc. REIT | | | 10,522 | | | | | | | | 1,323,457 | |
Brandywine Realty Trust REIT | | | 81,280 | | | | | | | | 1,341,933 | |
Brixmor Property Group, Inc. REIT | | | 78,056 | | | | | | | | 1,906,128 | |
Camden Property Trust REIT | | | 31,808 | | | | | | | | 2,674,099 | |
CoreSite Realty Corporation REITD | | | 16,051 | | | | | | | | 1,273,968 | |
Corporate Office Properties Trust REIT | | | 37,317 | | | | | | | | 1,165,037 | |
CubeSmart REIT | | | 57,104 | | | | | | | | 1,528,674 | |
CyrusOne, Inc. REIT | | | 30,951 | | | | | | | | 1,384,438 | |
DiamondRock Hospitality Co. REIT | | | 108,297 | | | | | | | | 1,248,664 | |
Douglas Emmett, Inc. REIT | | | 41,193 | | | | | | | | 1,506,016 | |
Duke Realty Corporation REIT | | | 56,230 | | | | | | | | 1,493,469 | |
DuPont Fabros Technology, Inc. REIT | | | 21,223 | | | | | | | | 932,326 | |
Empire State Realty Trust, Inc. Class A REIT | | | 29,763 | | | | | | | | 600,915 | |
Equity LifeStyle Properties, Inc. REIT | | | 13,563 | | | | | | | | 977,892 | |
Equity Residential REIT | | | 14,278 | | | | | | | | 918,932 | |
Essex Property Trust, Inc. REIT | | | 9,361 | | | | | | | | 2,176,433 | |
Federal Realty Investment Trust REIT | | | 12,400 | | | | | | | | 1,762,164 | |
Four Corners Property Trust, Inc. REIT | | | 84,995 | | | | | | | | 1,744,097 | |
General Growth Properties, Inc. REIT | | | 199,235 | | | | | | | | 4,976,890 | |
Gramercy Property Trust REIT | | | 107,746 | | | | | | | | 989,108 | |
HCP, Inc. REIT | | | 139,141 | | | | | | | | 4,135,270 | |
Healthcare Trust of America, Inc. Class A REIT | | | 63,165 | | | | | | | | 1,838,733 | |
Host Hotels & Resorts, Inc. REIT | | | 47,402 | | | | | | | | 893,054 | |
Hudson Pacific Properties, Inc. REIT | | | 22,094 | | | | | | | | 768,429 | |
Kimco Realty Corporation REIT | | | 42,244 | | | | | | | | 1,062,859 | |
LaSalle Hotel Properties REIT | | | 39,240 | | | | | | | | 1,195,643 | |
Liberty Property Trust REIT | | | 20,247 | | | | | | | | 799,757 | |
Medical Properties Trust, Inc. REIT | | | 52,597 | | | | | | | | 646,943 | |
Mid-America Apartment Communities, Inc. REIT | | | 48,373 | | | | | | | | 4,736,684 | |
New York REIT, Inc. | | | 93,781 | | | | | | | | 949,064 | |
Omega Healthcare Investors, Inc. REITD | | | 40,190 | | | | | | | | 1,256,339 | |
Paramount Group, Inc. REIT | | | 59,306 | | | | | | | | 948,303 | |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
Pebblebrook Hotel Trust REITD | | | 28,935 | | | | | | | $ | 860,816 | |
Pennsylvania Real Estate Investment Trust REITD | | | 62,993 | | | | | | | | 1,194,347 | |
Piedmont Office Realty Trust, Inc. Class A REIT | | | 38,824 | | | | | | | | 811,810 | |
Prologis, Inc. REIT | | | 142,085 | | | | | | | | 7,500,667 | |
Public Storage REIT | | | 29,273 | | | | | | | | 6,542,516 | |
Regency Centers Corporation REITD | | | 28,441 | | | | | | | | 1,961,007 | |
Retail Properties of America, Inc. Class A REIT | | | 183,238 | | | | | | | | 2,809,038 | |
Rexford Industrial Realty, Inc. REIT | | | 64,073 | | | | | | | | 1,485,853 | |
Simon Property Group, Inc. REIT | | | 49,470 | | | | | | | | 8,789,335 | |
Spirit Realty Capital, Inc. REIT | | | 120,875 | | | | | | | | 1,312,703 | |
STORE Capital Corporation REIT | | | 106,346 | | | | | | | | 2,627,810 | |
Sunstone Hotel Investors, Inc. REIT | | | 175,158 | | | | | | | | 2,671,160 | |
Urban Edge Properties REIT | | | 46,439 | | | | | | | | 1,277,537 | |
VEREIT, Inc. REIT | | | 199,093 | | | | | | | | 1,684,327 | |
Vornado Realty Trust REIT | | | 59,279 | | | | | | | | 6,186,949 | |
Welltower, Inc. REIT | | | 90,742 | | | | | | | | 6,073,362 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 118,859,822 | |
| | | | | | | | | | | | |
Total Common Stocks
(Cost $119,885,592) | | | | | | | | | | | 119,818,540 | |
| | | | | | | | | | | | |
FOREIGN COMMON STOCKS — 43.5% | |
Australia — 5.8% | | | | | | | | | | | | |
Charter Hall Retail REIT | | | 40,694 | | | | | | | | 124,222 | |
Dexus Property Group REIT | | | 54,787 | | | | | | | | 380,347 | |
Goodman Group REIT | | | 191,410 | | | | | | | | 984,877 | |
GPT Group (The) REIT | | | 275,426 | | | | | | | | 999,771 | |
Ingenia Communities Group REIT | | | 183,935 | | | | | | | | 357,063 | |
Investa Office Fund REIT | | | 127,840 | | | | | | | | 435,448 | |
Mirvac Group REIT | | | 867,713 | | | | | | | | 1,333,778 | |
Scentre Group REIT | | | 1,133,865 | | | | | | | | 3,796,708 | |
Vicinity Centres REIT | | | 911,135 | | | | | | | | 1,965,992 | |
Viva Energy REIT* | | | 88,120 | | | | | | | | 152,621 | |
Westfield Corporation REIT | | | 385,439 | | | | | | | | 2,609,073 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 13,139,900 | |
| | | | | | | | | | | | |
Austria — 0.7% | | | | | | | | | | | | |
BUWOG AG* | | | 67,768 | | | | | | | | 1,575,818 | |
| | | | | | | | | | | | |
Belgium — 0.1% | | | | | | | | | | | | |
Aedifica SA REIT | | | 3,016 | | | | | | | | 225,665 | |
| | | | | | | | | | | | |
Bermuda — 0.2% | | | | | | | | | | | | |
Kerry Properties, Ltd. | | | 141,000 | | | | | | | | 382,752 | |
| | | | | | | | | | | | |
Canada — 2.1% | | | | | | | | | | | | |
Allied Properties Real Estate Investment Trust REIT | | | 41,190 | | | | | | | | 1,102,879 | |
Chartwell Retirement Residences | | | 137,561 | | | | | | | | 1,500,963 | |
First Capital Realty, Inc.D | | | 134,153 | | | | | | | | 2,065,276 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,669,118 | |
| | | | | | | | | | | | |
France — 3.6% | | | | | | | | | | | | |
Gecina SA REIT | | | 12,376 | | | | | | | | 1,712,484 | |
ICADE REIT | | | 8,966 | | | | | | | | 639,808 | |
Klepierre REIT | | | 48,416 | | | | | | | | 1,903,299 | |
Unibail-Rodamco SE REIT | | | 15,617 | | | | | | | | 3,727,610 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 7,983,201 | |
| | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 259 |
REAL ESTATE SECURITIES FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
Germany — 2.7% | | | | | | | | | | | | |
alstria office REIT-AGD* | | | 64,476 | | | | | | | $ | 808,342 | |
Deutsche Wohnen AG | | | 47,342 | | | | | | | | 1,487,069 | |
LEG Immobilien AG* | | | 11,492 | | | | | | | | 892,766 | |
TAG Immobilien AG | | | 22,275 | | | | | | | | 294,505 | |
TLG Immobilien AG | | | 19,049 | | | | | | | | 358,931 | |
Vonovia SE | | | 67,029 | | | | | | | | 2,180,605 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,022,218 | |
| | | | | | | | | | | | |
Hong Kong — 5.8% | | | | | | | | | | | | |
Cheung Kong Property Holdings, Ltd. | | | 479,809 | | | | | | | | 2,942,152 | |
Hongkong Land Holdings, Ltd. | | | 177,600 | | | | | | | | 1,124,208 | |
Hysan Development Co., Ltd. | | | 129,000 | | | | | | | | 533,168 | |
Link REIT | | | 446,077 | | | | | | | | 2,899,256 | |
Sino Land Co., Ltd. | | | 1,106,885 | | | | | | | | 1,658,650 | |
Sun Hung Kai Properties, Ltd. | | | 206,995 | | | | | | | | 2,615,966 | |
Swire Properties, Ltd. | | | 397,676 | | | | | | | | 1,097,462 | |
Wharf Holdings, Ltd. (The) | | | 41,071 | | | | | | | | 273,030 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 13,143,892 | |
| | | | | | | | | | | | |
Ireland — 0.7% | | | | | | | | | | | | |
Green REIT PLC | | | 369,624 | | | | | | | | 533,826 | |
Hibernia REIT PLC | | | 747,997 | | | | | | | | 969,267 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,503,093 | |
| | | | | | | | | | | | |
Italy — 0.1% | | | | | | | | | | | | |
COIMA RES SpA 144A* | | | 27,608 | | | | | | | | 188,320 | |
| | | | | | | | | | | | |
Japan — 11.1% | | | | | | | | | | | | |
Activia Properties, Inc. REIT | | | 131 | | | | | | | | 617,591 | |
Advance Residence Investment Corporation REIT | | | 273 | | | | | | | | 721,771 | |
Daibiru Corporation | | | 55,600 | | | | | | | | 476,198 | |
Frontier Real Estate Investment Corporation REITD | | | 213 | | | | | | | | 910,319 | |
Global One Real Estate Investment Corporation REITD | | | 237 | | | | | | | | 888,180 | |
GLP J-REIT | | | 587 | | | | | | | | 676,023 | |
Hulic REIT, Inc. | | | 282 | | | | | | | | 473,157 | |
Invesco Office J-REIT, Inc. | | | 494 | | | | | | | | 407,458 | |
Japan Hotel REIT Investment Corporation | | | 644 | | | | | | | | 433,099 | |
Japan Logistics Fund, Inc. REIT | | | 493 | | | | | | | | 1,039,360 | |
Japan Real Estate Investment Corporation REIT | | | 305 | | | | | | | | 1,662,332 | |
Japan Retail Fund Investment Corporation REIT | | | 319 | | | | | | | | 645,779 | |
Mitsubishi Estate Co., Ltd. | | | 257,185 | | | | | | | | 5,121,695 | |
Mitsui Fudosan Co., Ltd. | | | 216,068 | | | | | | | | 5,000,761 | |
Mitsui Fudosan Logistics Park, Inc. REITD* | | | 80 | | | | | | | | 227,936 | |
Mori Hills REIT Investment Corporation | | | 654 | | | | | | | | 883,564 | |
Mori Trust Sogo REIT, Inc. | | | 723 | | | | | | | | 1,140,716 | |
Nippon Accommodations Fund, Inc. REIT | | | 158 | | | | | | | | 690,806 | |
Nippon Building Fund, Inc. REITD | | | 135 | | | | | | | | 747,337 | |
Nippon Prologis, Inc. REIT | | | 192 | | | | | | | | 392,460 | |
NTT Urban Development Corporation | | | 95,000 | | | | | | | | 836,406 | |
Sekisui House REIT, Inc. | | | 206 | | | | | | | | 264,561 | |
Sekisui House SI Residential Investment Corporation REIT | | | 430 | | | | | | | | 477,921 | |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
United Urban Investment Corporation REITD | | | 118 | | | | | | | $ | 179,612 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 24,915,042 | |
| | | | | | | | | | | | |
Luxembourg — 0.2% | | | | | | | | | | | | |
ADO Properties SA 144AD | | | 12,828 | | | | | | | | 432,245 | |
| | | | | | | | | | | | |
Netherlands — 0.7% | | | | | | | | | | | | |
InterXion Holding NV* | | | 42,701 | | | | | | | | 1,497,524 | |
| | | | | | | | | | | | |
Norway — 0.1% | | | | | | | | | | | | |
Entra ASA 144A | | | 23,051 | | | | | | | | 228,899 | |
| | | | | | | | | | | | |
Singapore — 2.3% | | | | | | | | | | | | |
CapitaLand Mall Trust REIT | | | 813,606 | | | | | | | | 1,059,039 | |
CapitaLand, Ltd. | | | 445,700 | | | | | | | | 929,471 | |
CDL Hospitality Trusts REIT | | | 25,400 | | | | | | | | 23,503 | |
City Developments, Ltd. | | | 146,303 | | | | | | | | 836,508 | |
Fortune Real Estate Investment Trust REIT | | | 428,965 | | | | | | | | 492,885 | |
Frasers Logistics & Industrial Trust REITD* | | | 1,029,200 | | | | | | | | 657,397 | |
Global Logistic Properties, Ltd. | | | 186,000 | | | | | | | | 282,568 | |
Keppel REITD | | | 451,500 | | | | | | | | 318,013 | |
Mapletree Commercial Trust REIT | | | 607,178 | | | | | | | | 584,893 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,184,277 | |
| | | | | | | | | | | | |
Spain — 0.4% | | | | | | | | | | | | |
Inmobiliaria Colonial SA | | | 20,425 | | | | | | | | 141,537 | |
Merlin Properties Socimi SA REIT | | | 71,705 | | | | | | | | 779,714 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 921,251 | |
| | | | | | | | | | | | |
Sweden — 1.4% | | | | | | | | | | | | |
Castellum AB | | | 63,858 | | | | | | | | 875,449 | |
D Carnegie & Co. AB* | | | 23,040 | | | | | | | | 275,653 | |
Fabege AB | | | 65,285 | | | | | | | | 1,066,992 | |
Hufvudstaden AB, A Shares | | | 58,616 | | | | | | | | 925,827 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,143,921 | |
| | | | | | | | | | | | |
Switzerland — 0.6% | | | | | | | | | | | | |
PSP Swiss Property AG | | | 16,408 | | | | | | | | 1,417,955 | |
| | | | | | | | | | | | |
United Kingdom — 4.9% | | | | | | | | | | | | |
Assura PLC REIT | | | 498,242 | | | | | | | | 350,001 | |
Big Yellow Group PLC REIT | | | 44,816 | | | | | | | | 378,612 | |
British Land Co. PLC (The) REIT | | | 244,419 | | | | | | | | 1,896,203 | |
Derwent London PLC REIT | | | 14,615 | | | | | | | | 499,282 | |
Empiric Student Property PLC REIT | | | 204,705 | | | | | | | | 267,417 | |
Great Portland Estates PLC REIT | | | 103,947 | | | | | | | | 856,382 | |
Hammerson PLC REIT | | | 183,139 | | | | | | | | 1,293,271 | |
Land Securities Group PLC REIT | | | 140,641 | | | | | | | | 1,847,665 | |
LondonMetric Property PLC REIT | | | 201,555 | | | | | | | | 386,258 | |
Primary Health Properties PLC REIT | | | 314,856 | | | | | | | | 431,684 | |
Safestore Holdings PLC REIT | | | 62,269 | | | | | | | | 268,593 | |
Segro PLC REIT | | | 222,352 | | | | | | | | 1,255,323 | |
Shaftesbury PLC REIT | | | 41,315 | | | | | | | | 462,835 | |
St. Modwen Properties PLC | | | 92,243 | | | | | | | | 345,476 | |
UNITE Group PLC (The) | | | 65,339 | | | | | | | | 487,977 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 11,026,979 | |
| | | | | | | | | | | | |
Total Foreign Common Stocks
(Cost $103,662,022) | | | | | | | | | | | 97,602,070 | |
| | | | | | | | | | | | |
| | | | |
260 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
MONEY MARKET FUNDS — 3.9% | |
GuideStone Money Market Fund (Investor Class)¥ | | | 5,227,865 | | | | | | | $ | 5,227,865 | |
Northern Institutional Liquid Assets Portfolio§ | | | 3,596,402 | | | | | | | | 3,596,402 | |
| | | | | | | | | | | | |
Total Money Market Funds
(Cost $8,824,267) | | | | | | | | | | | 8,824,267 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
U.S. TREASURY OBLIGATION — 0.2% | |
U.S. Treasury Bill | | | | | | | | | | | | |
0.60%, 06/22/17W‡‡
(Cost $398,881) | | $ | 400,000 | | | | | | | $ | 398,840 | |
| | | | | | | | | | | | |
TOTAL INVESTMENTS — 101.0%
(Cost $232,770,762) | | | | | | | | 226,643,717 | |
Liabilities in Excess of Other
Assets — (1.0)% | | | | | | | | (2,259,841 | ) |
| | | | | | | | | | | | |
NET ASSETS — 100.0% | | | | | | | | | | $ | 224,383,876 | |
| | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 261 |
REAL ESTATE SECURITIES FUND
SCHEDULE OF INVESTMENTS (Continued)
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2016, 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 | | $ | 119,818,540 | | | $ | 119,818,540 | | | $ | — | | | $ | — | |
Foreign Common Stocks: | | | | | | | | | | | | | | | | |
Australia | | | 13,139,900 | | | | 13,139,900 | | | | — | | | | — | |
Austria | | | 1,575,818 | | | | 1,575,818 | | | | — | | | | — | |
Belgium | | | 225,665 | | | | 225,665 | | | | — | | | | — | |
Bermuda | | | 382,752 | | | | 382,752 | | | | — | | | | — | |
Canada | | | 4,669,118 | | | | 4,669,118 | | | | — | | | | — | |
France | | | 7,983,201 | | | | 7,983,201 | | | | — | | | | — | |
Germany | | | 6,022,218 | | | | 6,022,218 | | | | — | | | | — | |
Hong Kong | | | 13,143,892 | | | | 13,143,892 | | | | — | | | | — | |
Ireland | | | 1,503,093 | | | | 1,503,093 | | | | — | | | | — | |
Italy | | | 188,320 | | | | 188,320 | | | | — | | | | — | |
Japan | | | 24,915,042 | | | | 24,915,042 | | | | — | | | | — | |
Luxembourg | | | 432,245 | | | | 432,245 | | | | — | | | | — | |
Netherlands | | | 1,497,524 | | | | 1,497,524 | | | | — | | | | — | |
Norway | | | 228,899 | | | | 228,899 | | | | — | | | | — | |
Singapore | | | 5,184,277 | | | | 5,184,277 | | | | — | | | | — | |
Spain | | | 921,251 | | | | 921,251 | | | | — | | | | — | |
Sweden | | | 3,143,921 | | | | 3,143,921 | | | | — | | | | — | |
Switzerland | | | 1,417,955 | | | | 1,417,955 | | | | — | | | | — | |
United Kingdom | | | 11,026,979 | | | | 11,026,979 | | | | — | | | | — | |
Money Market Funds | | | 8,824,267 | | | | 8,824,267 | | | | — | | | | — | |
U.S. Treasury Obligation | | | 398,840 | | | | — | | | | 398,840 | | | | — | |
| | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | $ | 226,643,717 | | | $ | 226,244,877 | | | $ | 398,840 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | (92,554 | ) | | $ | (92,554 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | $ | (92,554 | ) | | $ | (92,554 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
***Other financial instruments are derivative instruments not reflected in the Schedule of Investments (such as futures contracts), which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the “Financial Futures Contracts” disclosure in the Notes to Financial Statements.
There were no transfers between Level 1, Level 2 and Level 3 during the year ended December 31, 2016.
| | | | |
262 | | See Notes to Financial Statements. | | |
Global Natural Resources Equity Fund (Unaudited)
The Global Natural Resources Equity Fund primarily invests in equity securities of companies considered to be principally engaged in natural resources industries and related sectors or that supply goods, technology and services to such companies. The Fund outperformed its benchmark, the MSCI World Commodity Producers Index, for the 2016 calendar year (45.50% versus 30.53%).
After over two years of declines in the broad commodity market, commodity prices were quite strong in 2016, with natural gas, oil and copper prices rising by 59%, 45% and 17%, respectively. The increase in commodity prices has been driven by the ongoing improvement in fundamentals as inventory overhangs continue to be reduced. From an allocation perspective, all major commodity segments within the Fund generated positive returns, led by investments in North American natural gas and base metal producers.
From a stock selection perspective, the Fund’s benchmark-relative results benefited from strong stock selection within the North American natural gas and fertilizers sub-sectors. Stock selection within precious metals was a detractor to relative performance.
During the year, the Fund remained focused on achieving its objective of seeking long-term capital appreciation.
During the year, exchange-listed equity index futures contracts were utilized to provide market exposure to the cash positions held in the Fund. Overall, derivative exposure had a positive impact on Fund performance for the year.
This Fund may be suitable for investors who have a medium- to long-term investment horizon, possess a high tolerance for risk and seek to participate in the return potential of natural resources related equity securities. An investment in medium-, small- and micro-cap companies may involve greater risk and be more volatile and less liquid than an investment in a larger company. Investment in companies in natural resources industries may be significantly affected by (often rapid) changes in supply of, or demand for, various natural resources. Concentrating investments in the natural resources sector increases the risk of loss because the securities of many or all of the companies in the sector may decline in value due to developments adversely affecting the sector, including market, economic, political or regulatory developments. Prices of precious metals and of precious metal-related securities have historically been very volatile due to various economic, financial, social and political factors and may adversely affect the financial condition of companies involved with precious metals. It is possible to lose money by investing in the Fund.
At December 31, 2016, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
| | | | |
| | | % | |
Foreign Common Stocks | | | 50.1 | |
Energy | | | 39.0 | |
Money Market Funds | | | 12.7 | |
Utilities | | | 3.4 | |
Materials & Processing | | | 1.5 | |
Financial Services | | | 0.7 | |
U.S. Treasury Obligation | | | 0.7 | |
Consumer Staples | | | 0.4 | |
Rights | | | — | ** |
| | | | |
| | | 108.5 | |
| | | | |
**Rounds to less than 0.05%
263
Global Natural Resources Equity Fund (Unaudited)
| | | | |
| Average Annual Total Returns as of 12/31/16 |
| | Investor Class* | | Benchmark** |
One Year | | 45.50% | | 30.53% |
Since Inception | | -7.09% | | -0.83% |
Inception Date | | 07/01/13 | | |
Total Fund Operating Expenses (May 1, 2016 Prospectus)(1) | | 1.29% | | |
| (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 GuideStoneFunds.com. 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 Investor Class of the Fund since July 1, 2013 (commencement of operations), with all dividends and capital gains reinvested, with the MSCI World Commodity Producers 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.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
| | |
| GLOBAL NATURAL RESOURCES EQUITY FUND SCHEDULE OF INVESTMENTS | | December 31, 2016 |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
COMMON STOCKS — 45.0% | | | | | | | | | |
Consumer Staples — 0.4% | | | | | |
Archer-Daniels-Midland Co. | | | 15,269 | | | | | | | $ | 697,030 | |
Ingredion, Inc. | | | 1,894 | | | | | | | | 236,674 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 933,704 | |
| | | | | | | | | | | | |
Energy — 39.0% | | | | | |
Anadarko Petroleum Corporation | | | 14,529 | | | | | | | | 1,013,107 | |
Antero Resources Corporation* | | | 314,167 | | | | | | | | 7,430,049 | |
Apache Corporation | | | 9,957 | | | | | | | | 631,971 | |
Cabot Oil & Gas Corporation | | | 345,365 | | | | | | | | 8,067,726 | |
Chevron Corporation | | | 49,583 | | | | | | | | 5,835,919 | |
Cimarex Energy Co. | | | 2,493 | | | | | | | | 338,799 | |
Concho Resources, Inc.D* | | | 3,695 | | | | | | | | 489,957 | |
ConocoPhillips | | | 32,506 | | | | | | | | 1,629,851 | |
Continental Resources, Inc.D* | | | 2,458 | | | | | | | | 126,685 | |
Denbury Resources, Inc.D* | | | 1,505,459 | | | | | | | | 5,540,089 | |
Devon Energy Corporation | | | 12,368 | | | | | | | | 564,847 | |
Diamondback Energy, Inc.* | | | 2,322 | | | | | | | | 234,661 | |
EOG Resources, Inc. | | | 15,129 | | | | | | | | 1,529,542 | |
EQT Corporation | | | 4,534 | | | | | | | | 296,524 | |
Exxon Mobil Corporation | | | 108,982 | | | | | | | | 9,836,715 | |
Hess Corporation | | | 7,480 | | | | | | | | 465,929 | |
Laredo Petroleum, Inc.* | | | 758,360 | | | | | | | | 10,723,210 | |
Marathon Oil Corporation | | | 22,237 | | | | | | | | 384,922 | |
Murphy Oil CorporationD | | | 4,293 | | | | | | | | 133,641 | |
Newfield Exploration Co.* | | | 5,213 | | | | | | | | 211,127 | |
Noble Energy, Inc. | | | 279,228 | | | | | | | | 10,627,418 | |
Occidental Petroleum Corporation | | | 20,051 | | | | | | | | 1,428,233 | |
Parsley Energy, Inc. Class A* | | | 4,007 | | | | | | | | 141,207 | |
Pioneer Natural Resources Co. | | | 4,452 | | | | | | | | 801,672 | |
Range Resources Corporation | | | 254,532 | | | | | | | | 8,745,719 | |
Southwestern Energy Co.* | | | 530,768 | | | | | | | | 5,742,910 | |
Synergy Resources CorporationD* | | | 510,310 | | | | | | | | 4,546,862 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 87,519,292 | |
| | | | | | | | | | | | |
Financial Services — 0.7% | | | | | |
CDEV PIPE+* | | | 87,802 | | | | | | | | 1,561,600 | |
| | | | | | | | | | | | |
Materials & Processing — 1.5% | | | | | |
CF Industries Holdings, Inc.D | | | 6,119 | | | | | | | | 192,626 | |
FMC Corporation | | | 3,512 | | | | | | | | 198,639 | |
Freeport-McMoRan, Inc.* | | | 33,120 | | | | | | | | 436,853 | |
Monsanto Co. | | | 11,485 | | | | | | | | 1,208,337 | |
Mosaic Co. (The) | | | 8,731 | | | | | | | | 256,080 | |
Newmont Mining Corporation | | | 13,926 | | | | | | | | 474,459 | |
Nucor Corporation | | | 8,355 | | | | | | | | 497,289 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,264,283 | |
| | | | | | | | | | | | |
Utilities — 3.4% | | | | | |
Calpine Corporation* | | | 664,175 | | | | | | | | 7,591,520 | |
| | | | | | | | | | | | |
Total Common Stocks
(Cost $102,052,957) | | | | 100,870,399 | |
| | | | | | | | | | | | |
FOREIGN COMMON STOCKS — 50.1% | |
Australia — 5.7% | | | | | |
Alumina, Ltd.D | | | 64,407 | | | | | | | | 85,057 | |
BHP Billiton, Ltd. | | | 84,504 | | | | | | | | 1,528,221 | |
Fortescue Metals Group, Ltd.D | | | 40,964 | | | | | | | | 174,119 | |
Iluka Resources, Ltd. | | | 1,220,993 | | | | | | | | 6,405,830 | |
Mineral Resources, Ltd. | | | 324,933 | | | | | | | | 2,842,001 | |
Newcrest Mining, Ltd. | | | 20,168 | | | | | | | | 294,724 | |
Origin Energy, Ltd. | | | 46,134 | | | | | | | | 219,399 | |
Rio Tinto, Ltd. | | | 11,161 | | | | | | | | 482,456 | |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
Santos, Ltd. | | | 48,038 | | | | | | | $ | 139,360 | |
South32, Ltd. | | | 140,076 | | | | | | | | 277,987 | |
Woodside Petroleum, Ltd. | | | 19,949 | | | | | | | | 448,587 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 12,897,741 | |
| | | | | | | | | | | | |
Austria — 0.1% | | | | | |
OMV AG | | | 3,875 | | | | | | | | 136,893 | |
voestalpine AG | | | 2,992 | | | | | | | | 117,446 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 254,339 | |
| | | | | | | | | | | | |
Bermuda — 3.8% | | | | | |
Bunge, Ltd. | | | 3,660 | | | | | | | | 264,399 | |
Kosmos Energy, Ltd.D* | | | 1,169,737 | | | | | | | | 8,199,856 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,464,255 | |
| | | | | | | | | | | | |
Canada — 22.5% | | | | | |
Agnico Eagle Mines, Ltd. | | | 5,904 | | | | | | | | 248,226 | |
Agrium, Inc. | | | 3,490 | | | | | | | | 350,807 | |
ARC Resources, Ltd. | | | 9,263 | | | | | | | | 159,437 | |
Barrick Gold Corporation | | | 30,643 | | | | | | | | 490,461 | |
Cameco Corporation | | | 10,420 | | | | | | | | 108,961 | |
Canadian Natural Resources, Ltd.D | | | 28,922 | | | | | | | | 921,739 | |
Cenovus Energy Inc | | | 21,869 | | | | | | | | 330,645 | |
Crescent Point Energy Corporation | | | 14,219 | | | | | | | | 193,272 | |
Eldorado Gold Corporation* | | | 18,849 | | | | | | | | 60,647 | |
Encana Corporation | | | 25,093 | | | | | | | | 294,541 | |
First Quantum Minerals, Ltd.D | | | 1,306,010 | | | | | | | | 12,985,688 | |
Franco-Nevada Corporation | | | 4,715 | | | | | | | | 281,920 | |
Goldcorp, Inc. | | | 22,413 | | | | | | | | 305,150 | |
HudBay Minerals, Inc. | | | 515,035 | | | | | | | | 2,946,016 | |
Husky Energy Inc* | | | 9,271 | | | | | | | | 112,482 | |
Imperial Oil, Ltd.D | | | 7,739 | | | | | | | | 269,235 | |
Kinross Gold Corporation* | | | 32,653 | | | | | | | | 101,900 | |
Peyto Exploration & Development Corporation | | | 55,053 | | | | | | | | 1,361,717 | |
Potash Corporation of Saskatchewan | | | 22,050 | | | | | | | | 398,909 | |
Prairiesky Royalty LtdD | | | 5,421 | | | | | | | | 128,959 | |
Seven Generations Energy Ltd, Class A* | | | 6,348 | | | | | | | | 148,033 | |
Silver Wheaton Corporation | | | 11,564 | | | | | | | | 223,416 | |
Suncor Energy, Inc. | | | 43,700 | | | | | | | | 1,428,839 | |
Teck Resources, Ltd. Class BD | | | 14,930 | | | | | | | | 298,789 | |
Tourmaline Oil Corporation* | | | 96,295 | | | | | | | | 2,575,469 | |
Turquoise Hill Resources, Ltd.* | | | 26,374 | | | | | | | | 84,662 | |
Turquoise Hill Resources, Ltd.D* | | | 5,015,258 | | | | | | | | 16,199,284 | |
Vermilion Energy, Inc. | | | 3,014 | | | | | | | | 126,810 | |
West Fraser Timber Co., Ltd | | | 1,771 | | | | | | | | 63,327 | |
Whitecap Resources, Inc.D | | | 801,533 | | | | | | | | 7,259,257 | |
Yamana Gold, Inc. | | | 24,897 | | | | | | | | 69,908 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 50,528,506 | |
| | | | | | | | | | | | |
Chile — 6.2% | | | | | |
Sociedad Quimica y Minera de Chile SA ADRD | | | 486,615 | | | | | | | | 13,941,520 | |
| | | | | | | | | | | | |
Finland — 0.2% | | | | | |
Stora Enso OYJ, R Shares | | | 14,495 | | | | | | | | 155,786 | |
UPM-Kymmene OYJ | | | 14,043 | | | | | | | | 345,022 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 500,808 | |
| | | | | | | | | | | | |
France — 1.3% | | | | | |
TOTAL SA | | | 58,412 | | | | | | | | 2,995,676 | |
| | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 265 |
GLOBAL NATURAL RESOURCES EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
Germany — 0.2% | | | | | | | | | | | | |
K+S AG | | | 5,036 | | | | | | | $ | 120,283 | |
thyssenKrupp AGD | | | 9,679 | | | | | | | | 230,671 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 350,954 | |
| | | | | | | | | | | | |
Israel — 0.0% | | | | | | | | | | | | |
Israel Chemicals, Ltd. | | | 13,431 | | | | | | | | 55,090 | |
| | | | | | | | | | | | |
Italy — 0.5% | | | | | | | | | | | | |
Eni SpA | | | 66,934 | | | | | | | | 1,089,990 | |
| | | | | | | | | | | | |
Japan — 0.7% | | | | | | | | | | | | |
Hitachi Metals, Ltd. | | | 5,600 | | | | | | | | 75,897 | |
Inpex Corporation | | | 25,000 | | | | | | | | 250,481 | |
JFE Holdings, Inc. | | | 13,700 | | | | | | | | 208,650 | |
Kobe Steel, Ltd.* | | | 8,100 | | | | | | | | 77,414 | |
Maruichi Steel Tube, Ltd. | | | 1,500 | | | | | | | | 48,834 | |
Mitsubishi Materials Corporation | | | 2,600 | | | | | | | | 79,863 | |
Nippon Steel & Sumitomo Metal Corporation | | | 21,300 | | | | | | | | 475,115 | |
Oji Holdings Corporation | | | 21,000 | | | | | | | | 85,527 | |
Sumitomo Metal Mining Co., Ltd. | | | 13,000 | | | | | | | | 167,624 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,469,405 | |
| | | | | | | | | | | | |
Jersey — 0.6% | | | | | | | | | | | | |
Glencore PLC* | | | 321,934 | | | | | | | | 1,100,397 | |
Randgold Resources, Ltd. | | | 2,465 | | | | | | | | 194,880 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,295,277 | |
| | | | | | | | | | | | |
Luxembourg — 0.2% | | | | | | | | | | | | |
ArcelorMittal* | | | 48,398 | | | | | | | | 357,439 | |
| | | | | | | | | | | | |
Mauritius — 0.0% | | | | | | | | | | | | |
Golden Agri-Resources, Ltd. | | | 185,800 | | | | | | | | 55,170 | |
| | | | | | | | | | | | |
Norway — 0.4% | | | | | | | | | | | | |
Norsk Hydro ASA | | | 35,385 | | | | | | | | 169,235 | |
Statoil ASA | | | 29,749 | | | | | | | | 545,692 | |
Yara International ASA | | | 4,673 | | | | | | | | 183,990 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 898,917 | |
| | | | | | | | | | | | |
Papua New Guinea — 0.1% | | | | | | | | | | | | |
Oil Search, Ltd. | | | 36,058 | | | | | | | | 186,573 | |
| | | | | | | | | | | | |
Portugal — 0.1% | | | | | | | | | | | | |
Galp Energia SGPS SA | | | 13,189 | | | | | | | | 197,006 | |
| | | | | | | | | | | | |
Singapore — 0.1% | | | | | | | | | | | | |
Wilmar International, Ltd. | | | 50,500 | | | | | | | | 125,191 | |
| | | | | | | | | | | | |
Spain — 0.2% | | | | | | | | | | | | |
Repsol SA | | | 28,922 | | | | | | | | 408,570 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
Sweden — 0.1% | | | | | | | | | | | | |
Boliden AB | | | 7,196 | | | | | | | $ | 187,906 | |
Lundin Petroleum AB* | | | 4,926 | | | | | | | | 107,110 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 295,016 | |
| | | | | | | | | | | | |
Switzerland — 0.4% | | | | | | | | | | | | |
Syngenta AG | | | 2,436 | | | | | | | | 962,869 | |
| | | | | | | | | | | | |
United Kingdom — 6.7% | | | | | | | | | | | | |
Anglo American PLC* | | | 36,895 | | | | | | | | 527,448 | |
Antofagasta PLC | | | 10,376 | | | | | | | | 86,315 | |
BHP Billiton PLC | | | 55,572 | | | | | | | | 894,787 | |
BP PLC | | | 494,227 | | | | | | | | 3,103,917 | |
Fresnillo PLC | | | 5,817 | | | | | | | | 87,532 | |
Mondi PLC | | | 9,663 | | | | | | | | 198,400 | |
Ophir Energy PLC* | | | 2,402,838 | | | | | | | | 2,857,630 | |
Rio Tinto PLC | | | 32,550 | | | | | | | | 1,267,027 | |
Royal Dutch Shell PLC, A Shares | | | 113,819 | | | | | | | | 3,145,585 | |
Royal Dutch Shell PLC, B Shares | | | 98,549 | | | | | | | | 2,858,991 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 15,027,632 | |
| | | | | | | | | | | | |
Total Foreign Common Stocks
(Cost $103,041,852) | | | | | | | | 112,357,944 | |
| | | | | | | | | | | | |
| | | |
| | | Par | | | | | | | |
U.S. TREASURY OBLIGATION — 0.7% | |
U.S. Treasury Bills | | | | | | | | | | | | |
0.53%, 05/04/17W‡‡
(Cost $1,496,925) | | $ | 1,500,000 | | | | | | | | 1,497,076 | |
| | | | | | | | | | | | |
| | | |
| | | Shares | | | | | | | |
RIGHTS — 0.0% | | | | | | | | | | | | |
Repsol SA*
(Cost $10,086) | | | 28,922 | | | | | | | | 10,717 | |
| | | | | | | | | | | | |
MONEY MARKET FUNDS — 12.7% | | | | | | | | | |
GuideStone Money Market Fund (Investor Class)¥ | | | 7,533,955 | | | | | | | | 7,533,955 | |
Northern Institutional Liquid Assets Portfolio§ | | | 20,834,068 | | | | | | | | 20,834,068 | |
| | | | | | | | | | | | |
Total Money Market Funds
(Cost $28,368,023) | | | | | | | | 28,368,023 | |
| | | | | | | | | | | | |
TOTAL INVESTMENTS — 108.5% | | | | | | | | | |
(Cost $234,969,843) | | | | | | | | | | | 243,104,159 | |
Liabilities in Excess of Other
Assets — (8.5)% | | | | | | | | (18,951,096 | ) |
| | | | | | | | | | | | |
NET ASSETS — 100.0% | | | | | | | | | | $ | 224,153,063 | |
| | | | | | | | | | | | |
| | | | |
| 266 | | See Notes to Financial Statements. | | |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2016, 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 | | $ | 100,870,399 | | | $ | 99,308,799 | | | $ | 1,561,600 | | | $ | — | |
Foreign Common Stocks: | | | | | | | | | | | | | | | | |
Australia | | | 12,897,741 | | | | 12,897,741 | | | | — | | | | — | |
Austria | | | 254,339 | | | | 254,339 | | | | — | | | | — | |
Bermuda | | | 8,464,255 | | | | 8,464,255 | | | | — | | | | — | |
Canada | | | 50,528,506 | | | | 50,528,506 | | | | — | | | | — | |
Chile | | | 13,941,520 | | | | 13,941,520 | | | | — | | | | — | |
Finland | | | 500,808 | | | | 500,808 | | | | — | | | | — | |
France | | | 2,995,676 | | | | 2,995,676 | | | | — | | | | — | |
Germany | | | 350,954 | | | | 350,954 | | | | — | | | | — | |
Israel | | | 55,090 | | | | 55,090 | | | | — | | | | — | |
Italy | | | 1,089,990 | | | | 1,089,990 | | | | — | | | | — | |
Japan | | | 1,469,405 | | | | 1,469,405 | | | | — | | | | — | |
Jersey | | | 1,295,277 | | | | 1,295,277 | | | | — | | | | — | |
Luxembourg | | | 357,439 | | | | 357,439 | | | | — | | | | — | |
Mauritius | | | 55,170 | | | | 55,170 | | | | — | | | | — | |
Norway | | | 898,917 | | | | 898,917 | | | | — | | | | — | |
Papua New Guinea | | | 186,573 | | | | 186,573 | | | | — | | | | — | |
Portugal | | | 197,006 | | | | 197,006 | | | | — | | | | — | |
Singapore | | | 125,191 | | | | 125,191 | | | | — | | | | — | |
Spain | | | 408,570 | | | | 408,570 | | | | — | | | | — | |
Sweden | | | 295,016 | | | | 295,016 | | | | — | | | | — | |
Switzerland | | | 962,869 | | | | 962,869 | | | | — | | | | — | |
United Kingdom | | | 15,027,632 | | | | 15,027,632 | | | | — | | | | — | |
Money Market Funds | | | 28,368,023 | | | | 28,368,023 | | | | — | | | | — | |
Rights | | | 10,717 | | | | 10,717 | | | | — | | | | — | |
U.S. Treasury Obligation | | | 1,497,076 | | | | — | | | | 1,497,076 | | | | — | |
| | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | $ | 243,104,159 | | | $ | 240,045,483 | | | $ | 3,058,676 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | (151,774 | ) | | $ | (151,774 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | $ | (151,774 | ) | | $ | (151,774 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
***Other financial instruments are derivative instruments not reflected in the Schedule of Investments (such as futures contracts), which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the “Financial Futures Contracts” disclosure in the Notes to Financial Statements.
There were no transfers between Level 1, Level 2 and Level 3 during the year ended December 31, 2016.
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 year ended December 31, 2016.
| | | | |
| | See Notes to Financial Statements. | | 267 |
| | |
| STATEMENTS OF ASSETS AND LIABILITIES | | December 31, 2016 |
| | | | | | | | |
| | | Inflation Protected
Bond Fund | | | Flexible Income
Fund | |
Assets | | | | | | | | |
Investments in securities of unaffiliated issuers, at value | | $ | 272,365,316 | | | $ | 143,777,793 | |
Investments in securities of affiliated issuers, at value | | | 3,843,344 | | | | 13,334,211 | |
| | | | | | | | |
Total investments, at value (1)(2) | | | 276,208,660 | | | | 157,112,004 | |
Cash | | | 286,721 | | | | 2,392,418 | |
Foreign currency (3) | | | 928,325 | | | | — | |
Receivables: | | | | | | | | |
Dividends and reclaims | | | 413 | | | | 1,006 | |
Interest | | | 849,690 | | | | 585,622 | |
Securities lending | | | — | | | | — | |
Investment securities sold | | | 1,766,912 | | | | 2,685,657 | |
Fund shares sold | | | 140,466 | | | | 77,301 | |
Variation margin on financial futures contracts | | | 81,101 | | | | — | |
Unrealized appreciation on foreign currency exchange contracts | | | 400,851 | | | | — | |
Prepaid expenses and other assets | | | 25,192 | | | | 7,610 | |
| | | | | | | | |
Total Assets | | | 280,688,331 | | | | 162,861,618 | |
| | | | | | | | |
Liabilities | | | | | | | | |
Options written, at value (4) | | | 114,972 | | | | — | |
Unrealized depreciation on foreign currency exchange contracts | | | 131,720 | | | | — | |
Collateral held for securities on loan, at value | | | — | | | | — | |
Payables: | | | | | | | | |
Investment securities purchased | | | 1,920,325 | | | | 8,761,583 | |
Fund shares redeemed | | | 56,767 | | | | 11,315 | |
Variation margin on financial futures contracts | | | 85,825 | | | | — | |
Securities lending | | | — | | | | — | |
Accrued expenses: | | | | | | | | |
Investment advisory fees | | | 69,621 | | | | 82,372 | |
Shareholder servicing fees | | | 17,105 | | | | 32,409 | |
Other expenses | | | 46,159 | | | | 40,274 | |
| | | | | | | | |
Total Liabilities | | | 2,442,494 | | | | 8,927,953 | |
| | | | | | | | |
Net Assets | | $ | 278,245,837 | | | $ | 153,933,665 | |
| | | | | | | | |
Net Assets Consist of: | | | | | | | | |
Paid-in-capital | | $ | 284,005,276 | | | $ | 159,871,592 | |
Undistributed (distributions in excess of) net investment income | | | 1,479,806 | | | | — | |
Accumulated net realized loss on investments, foreign currency translations and derivative transactions | | | (7,748,602 | ) | | | (6,789,778 | ) |
Net unrealized appreciation (depreciation) on investments, foreign currency translations and derivative transactions | | | 509,357 | | | | 851,851 | |
| | | | | | | | |
Net Assets | | $ | 278,245,837 | | | $ | 153,933,665 | |
| | | | | | | | |
Net Asset Value: | | | | | | | | |
$0.001 par value, unlimited shares authorized | | | | | | | | |
Net assets applicable to the Institutional Class | | $ | 196,913,783 | | | | N/A | |
| | | | | | | | |
Institutional shares outstanding | | | 19,212,916 | | | | N/A | |
| | | | | | | | |
Net asset value, offering and redemption price per Institutional share | | $ | 10.25 | | | | N/A | |
| | | | | | | | |
Net assets applicable to the Investor Class | | $ | 81,332,054 | | | $ | 153,933,665 | |
| | | | | | | | |
Investor shares outstanding | | | 7,927,074 | | | | 16,083,179 | |
| | | | | | | | |
Net asset value, offering and redemption price per Investor share | | $ | 10.26 | | | $ | 9.57 | |
| | | | | | | | |
(1) Investments in securities of unaffiliated issuers, at cost | | $ | 272,211,610 | | | $ | 142,925,942 | |
Investments in securities of affiliated issuers, at cost | | | 3,843,344 | | | | 13,334,211 | |
| | | | | | | | |
Total investments, at cost | | $ | 276,054,954 | | | $ | 156,260,153 | |
| | | | | | | | |
(2) Includes securities loaned of: | | $ | — | | | $ | — | |
| | | | | | | | |
(3) Foreign currency, at cost | | $ | 926,762 | | | $ | — | |
| | | | | | | | |
(4) Premiums received on options written | | $ | 171,168 | | | $ | — | |
| | | | | | | | |
| | | | |
| 268 | | See Notes to Financial Statements. | | |
| | | | | | |
Real Estate Securities Fund | | | Global Natural
Resources
Equity Fund | |
| |
| $ | 221,415,852 | | | $ | 235,570,204 | |
| | 5,227,865 | | | | 7,533,955 | |
| | | | | | |
| | 226,643,717 | | | | 243,104,159 | |
| | — | | | | 1,162,362 | |
| | 217,625 | | | | 520,487 | |
| | | | | | | |
| | 1,090,502 | | | | 400,341 | |
| | — | | | | — | |
| | 4,045 | | | | 14,105 | |
| | 1,586,974 | | | | — | |
| | 112,108 | | | | 103,382 | |
| | — | | | | 17,880 | |
| | — | | | | — | |
| | 35,220 | | | | 8,518 | |
| | | | | | |
| | 229,690,191 | | | | 245,331,234 | |
| | | | | | |
| | | | | | | |
| | — | | | | — | |
| | — | | | | — | |
| | 3,596,402 | | | | 20,834,068 | |
| | | | | | | |
| | 1,324,426 | | | | — | |
| | 130,455 | | | | 48,873 | |
| | 24,150 | | | | 47,190 | |
| | 607 | | | | 2,114 | |
| | | | | | | |
| | 129,932 | | | | 153,465 | |
| | 20,938 | | | | 48,232 | |
| | 79,405 | | | | 44,229 | |
| | | | | | |
| | 5,306,315 | | | | 21,178,171 | |
| | | | | | |
| $ | 224,383,876 | | | $ | 224,153,063 | |
| | | | | | |
| | | | | | | |
| $ | 239,855,474 | | | $ | 314,692,883 | |
| | (2,470,618 | ) | | | (59,317 | ) |
| |
| | (6,761,795 | ) | | | (98,458,865 | ) |
| |
| | (6,239,185 | ) | | | 7,978,362 | |
| | | | | | |
| $ | 224,383,876 | | | $ | 224,153,063 | |
| | | | | | |
| | | | | | | |
| | | | | | | |
| $ | 123,574,011 | | | | N/A | |
| | | | | | |
| | 13,584,693 | | | | N/A | |
| | | | | | |
| $ | 9.10 | | | | N/A | |
| | | | | | |
| $ | 100,809,865 | | | $ | 224,153,063 | |
| | | | | | |
| | 11,046,304 | | | | 30,209,911 | |
| | | | | | |
| $ | 9.13 | | | $ | 7.42 | |
| | | | | | |
| |
| $ | 227,542,897 | | | $ | 227,435,888 | |
| | 5,227,865 | | | | 7,533,955 | |
| | | | | | |
| $ | 232,770,762 | | | $ | 234,969,843 | |
| | | | | | |
| $ | 11,029,030 | | | $ | 37,420,856 | |
| | | | | | |
| $ | 219,280 | | | $ | 523,731 | |
| | | | | | |
| $ | — | | | $ | — | |
| | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 269 |
| | |
| STATEMENTS OF OPERATIONS | | For the Year Ended December 31, 2016 |
| | | | | | | | |
| | | Inflation Protected
Bond Fund | | | Flexible Income
Fund | |
Investment Income | | | | | | | | |
Dividends | | $ | — | | | $ | — | |
Income distributions received from affiliated funds | | | 3,354 | | | | 5,043 | |
Interest | | | 6,243,300 | | | | 6,541,956 | |
Securities lending | | | 340 | | | | 3,785 | |
Less foreign taxes withheld | | | — | | | | — | |
| | | | | | | | |
Total Investment Income | | | 6,246,994 | | | | 6,550,784 | |
| | | | | | | | |
Expenses | | | | | | | | |
Investment advisory fees | | | 930,641 | | | | 1,015,961 | |
Transfer agent fees: | | | | | | | | |
Institutional shares | | | 4,139 | | | | — | |
Investor shares | | | 20,877 | | | | 20,200 | |
Custodian fees | | | 74,388 | | | | 11,404 | |
Shareholder servicing fees: | | | | | | | | |
Investor shares | | | 189,479 | | | | 376,208 | |
Accounting and administration fees | | | 77,880 | | | | 78,928 | |
Professional fees | | | 71,313 | | | | 86,337 | |
Blue sky fees: | | | | | | | | |
Institutional shares | | | 10,370 | | | | — | |
Investor shares | | | 14,932 | | | | 18,832 | |
Shareholder reporting fees: | | | | | | | | |
Institutional shares | | | 979 | | | | — | |
Investor shares | | | 5,801 | | | | 5,431 | |
Trustee expenses | | | 2,686 | | | | 1,291 | |
Line of credit facility fees and interest expense | | | 2,101 | | | | 18,933 | |
Other expenses | | | 65,009 | | | | 27,601 | |
| | | | | | | | |
Total Expenses | | | 1,470,595 | | | | 1,661,126 | |
Expenses waived/reimbursed net of amount recaptured(1) | | | (16,409 | ) | | | 19,998 | |
Fees paid indirectly | | | — | | | | — | |
| | | | | | | | |
Net expenses | | | 1,454,186 | | | | 1,681,124 | |
| | | | | | | | |
Net Investment Income | | | 4,792,808 | | | | 4,869,660 | |
| | | | | | | | |
Realized and Unrealized Gain (Loss) | | | | | | | | |
Net realized gain (loss) from: | | | | | | | | |
Capital gain distributions received from affiliated funds | | | 349 | | | | 565 | |
Investment securities | | | 1,588,413 | | | | (4,402,786 | ) |
Futures transactions | | | (588,148 | ) | | | — | |
Option contracts written | | | 1,869,454 | | | | — | |
Option contracts purchased | | | (2,723,022 | ) | | | — | |
Foreign currency | | | (422,708 | ) | | | — | |
| | | | | | | | |
Net realized gain (loss) | | | (275,662 | ) | | | (4,402,221 | ) |
| | | | | | | | |
Net change in unrealized appreciation (depreciation) on: | | | | | | | | |
Investment securities | | | 7,087,955 | | | | 8,788,098 | |
Futures | | | 173,241 | | | | — | |
Option contracts written | | | (83,162 | ) | | | — | |
Option contracts purchased | | | (18,511 | ) | | | — | |
Foreign currency | | | 703,661 | | | | — | |
| | | | | | | | |
Net change in unrealized appreciation (depreciation) | | | 7,863,184 | | | | 8,788,098 | |
| | | | | | | | |
Net Realized and Unrealized Gain | | | 7,587,522 | | | | 4,385,877 | |
| | | | | | | | |
Net Increase in Net Assets Resulting from Operations | | $ | 12,380,330 | | | $ | 9,255,537 | |
| | | | | | | | |
(1)See Note 3a and 3c in Notes to Financial Statements.
| | | | |
| 270 | | See Notes to Financial Statements. | | |
| | | | | | |
Real Estate
Securities Fund | | | Global Natural
Resources
Equity Fund | |
| | | | | | | |
| $ | 7,515,672 | | | $ | 3,569,700 | |
| | 2,783 | | | | 5,061 | |
| | 2,122 | | | | 731 | |
| | 66,922 | | | | 304,479 | |
| | (343,005 | ) | | | (309,596 | ) |
| | | | | | |
| | 7,244,494 | | | | 3,570,375 | |
| | | | | | |
| | | | | | | |
| | 1,811,141 | | | | 1,869,333 | |
| | | | | | | |
| | 4,140 | | | | — | |
| | 24,759 | | | | 19,391 | |
| | 148,606 | | | | 39,359 | |
| | | | | | | |
| | 265,078 | | | | 526,086 | |
| | 100,580 | | | | 65,345 | |
| | 67,664 | | | | 68,549 | |
| | | | | | | |
| | 8,475 | | | | — | |
| | 14,589 | | | | 18,112 | |
| | | | | | | |
| | 1,208 | | | | — | |
| | 14,388 | | | | 6,490 | |
| | 2,274 | | | | 1,656 | |
| | 3,030 | | | | 5,284 | |
| | 85,508 | | | | 38,834 | |
| | | | | | |
| | 2,551,440 | | | | 2,658,439 | |
| | (62,548) | | | | (24,465 | ) |
| | (21,209 | ) | | | — | |
| | | | | | |
| | 2,467,683 | | | | 2,633,974 | |
| | | | | | |
| | 4,776,811 | | | | 936,401 | |
| | | | | | |
| | | | | | | |
| | 1,006 | | | | 452 | |
| | 7,770,383 | | | | (17,754,504 | ) |
| | 1,604,097 | | | | 1,517,932 | |
| | — | | | | — | |
| | — | | | | — | |
| | (33,436 | ) | | | (138,608 | ) |
| | | | | | |
| | 9,342,050 | | | | (16,374,728 | ) |
| | | | | | |
| | | | | | | |
| | (4,574,171) | | | | 94,431,719 | |
| | (132,084) | | | | (151,774 | ) |
| | — | | | | — | |
| | — | | | | — | |
| | (12,011 | ) | | | (2,594 | ) |
| | | | | | |
| | (4,718,266 | ) | | | 94,277,351 | |
| | | | | | |
| | 4,623,784 | | | | 77,902,623 | |
| | | | | | |
| $ | 9,400,595 | | | $ | 78,839,024 | |
| | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 271 |
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Inflation Protected Bond Fund | |
| | | For the Year Ended | |
| | |
| | | 12/31/16 | | | 12/31/15 | |
Operations: | | | | | | | | |
Net investment income (loss) | | $ | 4,792,808 | | | $ | (1,254,956 | ) |
Net realized gain (loss) on investment securities, foreign currency and derivative | | | (275,662 | ) | | | 1,426,417 | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | | | 7,863,184 | | | | (6,954,259 | ) |
| | | | | | | | |
Net increase (decrease) in net assets resulting from operations | | | 12,380,330 | | | | (6,782,798 | ) |
| | | | | | | | |
Dividends and Distributions to Shareholders: | | | | | | | | |
Dividends from net investment income | | | | | | | | |
Institutional shares | | | (2,777,588 | ) | | | — | |
Investor shares | | | (500,592 | ) | | | (939,144 | ) |
Distributions from net realized capital gains | | | | | | | | |
Institutional shares | | | — | | | | — | |
Investor shares | | | — | | | | — | |
| | | | | | | | |
Total dividends and distributions | | | (3,278,180 | ) | | | (939,144 | ) |
| | | | | | | | |
Capital Share Transactions(1): | | | | | | | | |
Proceeds from shares sold | | | | | | | | |
Institutional shares | | | 16,595,943 | | | | 259,093,292 | |
Investor shares | | | 21,330,260 | | | | 20,592,691 | |
Reinvestment of dividends and distributions | | | | | | | | |
Institutional shares | | | 2,777,587 | | | | — | |
Investor shares | | | 500,089 | | | | 938,919 | |
| | | | | | | | |
Total proceeds from shares sold and reinvested | | | 41,203,879 | | | | 280,624,902 | |
| | | | | | | | |
Value of shares redeemed | | | | | | | | |
Institutional shares | | | (64,223,909 | ) | | | (14,235,444 | ) |
Investor shares | | | (9,663,957 | ) | | | (259,752,863 | ) |
| | | | | | | | |
Total value of shares redeemed | | | (73,887,866 | ) | | | (273,988,307 | ) |
| | | | | | | | |
Net increase (decrease) from capital share transactions(2) | | | (32,683,987 | ) | | | 6,636,595 | |
| | | | | | | | |
Total increase (decrease) in net assets | | | (23,581,837 | ) | | | (1,085,347 | ) |
| | | | | | | | |
Net Assets: | | | | | | | | |
Beginning of Year | | | 301,827,674 | | | | 302,913,021 | |
| | | | | | | | |
End of Year* | | $ | 278,245,837 | | | $ | 301,827,674 | |
| | | | | | | | |
*Including undistributed (distributions in excess of) net investment income | | $ | 1,479,806 | | | $ | 387,537 | |
| | | | | | | | |
| (1) | Inception date for Institutional Class for Inflation Protected Bond Fund and Real Estate Securities Fund was May 1, 2015. |
| (2) | See Note 6 in Notes to Financial Statements. |
| | | | |
| 272 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | | | | | | | |
Flexible Income Fund | | | Real Estate Securities Fund | | | Global Natural Resources Equity Fund | |
| For the Year Ended | | | For the Year Ended | | | For the Year Ended | |
| 12/31/16 | | | 12/31/15 | | | 12/31/16 | | | 12/31/15 | | | 12/31/16 | | | 12/31/15 | |
| | | | | | | | | | | | | | | | | | | | | | | |
| $ | 4,869,660 | | | $ | 4,736,552 | | | $ | 4,776,811 | | | $ | 4,369,399 | | | $ | 936,401 | | | $ | (167,453 | ) |
| | (4,402,221) | | | | (2,275,964 | ) | | | 9,342,050 | | | | 9,716,638 | | | | (16,374,728 | ) | | | (77,934,673 | ) |
| | | | | |
| | 8,788,098 | | | | (4,835,703 | ) | | | (4,718,266 | ) | | | (13,447,095 | ) | | | 94,277,351 | | | | (21,819,393 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | 9,255,537 | | | | (2,375,115 | ) | | | 9,400,595 | | | | 638,942 | | | | 78,839,024 | | | | (99,921,519 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | — | | | | — | | | | (6,784,103 | ) | | | (4,450,951 | ) | | | — | | | | — | |
| | (4,892,519) | | | | (4,764,206 | ) | | | (5,147,664 | ) | | | (2,446,585 | ) | | | (446,118 | ) | | | (220,488 | ) |
| | | | | | | | | | | | | | | | | | | | | | | |
| | — | | | | — | | | | (3,087,591 | ) | | | (8,892,323 | ) | | | — | | | | — | |
| | — | | | | — | | | | (2,500,943 | ) | | | (5,666,016 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | |
| | (4,892,519) | | | | (4,764,206 | ) | | | (17,520,301 | ) | | | (21,455,875 | ) | | | (446,118 | ) | | | (220,488 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | — | | | | — | | | | 13,242,076 | | | | 169,837,132 | | | | — | | | | — | |
| | 30,475,798 | | | | 31,155,171 | | | | 21,840,266 | | | | 34,118,123 | | | | 57,349,533 | | | | 82,083,602 | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | — | | | | — | | | | 9,833,784 | | | | 13,324,780 | | | | — | | | | — | |
| | 4,891,969 | | | | 4,746,733 | | | | 7,641,677 | | | | 8,108,339 | | | | 445,882 | | | | 220,392 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 35,367,767 | | | | 35,901,904 | | | | 52,557,803 | | | | 225,388,374 | | | | 57,795,415 | | | | 82,303,994 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | — | | | | — | | | | (54,985,357 | ) | | | (7,513,684 | ) | | | — | | | | — | |
| | (27,236,179) | | | | (17,964,410 | ) | | | (23,622,194 | ) | | | (208,387,457 | ) | | | (94,765,721 | ) | | | (64,793,444 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | (27,236,179) | | | | (17,964,410 | ) | | | (78,607,551 | ) | | | (215,901,141 | ) | | | (94,765,721 | ) | | | (64,793,444 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | 8,131,588 | | | | 17,937,494 | | | | (26,049,748 | ) | | | 9,487,233 | | | | (36,970,306 | ) | | | 17,510,550 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 12,494,606 | | | | 10,798,173 | | | | (34,169,454 | ) | | | (11,329,700 | ) | | | 41,422,600 | | | | (82,631,457 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | 141,439,059 | | | | 130,640,886 | | | | 258,553,330 | | | | 269,883,030 | | | | 182,730,463 | | | | 265,361,920 | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | 153,933,665 | | | $ | 141,439,059 | | | $ | 224,383,876 | | | $ | 258,553,330 | | | $ | 224,153,063 | | | $ | 182,730,463 | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | — | | | $ | — | | | $ | (2,470,618 | ) | | $ | (994,893 | ) | | $ | (59,317 | ) | | $ | (430,342 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 273 |
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/
(Loss) | | | 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
Period
(000) | | | Expenses,
Net(1) | | | Expenses,
Gross(2) | | | Investment
Income/
(Loss),
Net(1) | | | Portfolio Turnover Rate | |
Inflation Protected Bond Fund | |
| | | | | | | | | | |
Institutional Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | $ | 9.98 | | | $ | 0.17 | # | | $ | 0.23 | (3) | | $ | (0.13 | ) | | $ | — | | | $ | 10.25 | | | | 3.99 | % | | $ | 196,914 | | | | 0.40 | % | | | 0.41 | % | | | 1.63 | % | | | 61 | % |
2015(4) | | | 10.41 | | | | 0.12 | # | | | (0.55 | ) | | | — | | | | — | | | | 9.98 | | | | (4.13 | ) | | | 234,584 | | | | 0.40 | | | | 0.41 | | | | 1.75 | | | | 45 | |
| | | | | | | | | | |
Investor Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | $ | 9.96 | | | $ | 0.15 | # | | $ | 0.22 | (3) | | $ | (0.07 | ) | | $ | — | | | $ | 10.26 | | | | 3.66 | % | | $ | 81,332 | | | | 0.70 | % | | | 0.71 | % | | | 1.43 | % | | | 61 | % |
2015 | | | 10.22 | | | | (0.28 | )# | | | 0.05 | | | | (0.03 | ) | | | — | | | | 9.96 | | | | (2.25 | ) | | | 67,244 | | | | 0.66 | | | | 0.67 | | | | (2.77 | ) | | | 45 | |
2014 | | | 10.15 | | | | 0.06 | # | | | 0.22 | | | | (0.21 | ) | | | — | | | | 10.22 | | | | 2.77 | | | | 302,913 | | | | 0.62 | | | | 0.63 | | | | 0.61 | | | | 88 | |
2013(5) | | | 11.25 | | | | 0.10 | # | | | (1.06 | ) | | | (0.09 | ) | | | (0.05 | ) | | | 10.15 | | | | (8.64 | ) | | | 274,111 | | | | 0.64 | | | | 0.65 | | | | 0.98 | | | | 75 | |
2012 | | | 11.16 | | | | 0.21 | # | | | 0.46 | | | | (0.20 | ) | | | (0.38 | ) | | | 11.25 | | | | 6.06 | | | | 197,762 | | | | 0.65 | | | | 0.66 | | | | 1.80 | | | | 94 | |
Flexible Income Fund | |
| | | | | | | | | | |
Investor Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | $ | 9.29 | | | $ | 0.31 | # | | $ | 0.28 | (3) | | $ | (0.31 | ) | | $ | — | | | $ | 9.57 | | | | 6.40 | % | | $ | 153,934 | | | | 1.12 | % | | | 1.10 | % | | | 3.24 | % | | | 68 | % |
2015 | | | 9.76 | | | | 0.33 | # | | | (0.47 | ) | | | (0.33 | ) | | | — | | | | 9.29 | | | | (1.54 | ) | | | 141,439 | | | | 1.15 | | | | 1.20 | | | | 3.37 | | | | 50 | |
2014 | | | 10.06 | | | | 0.31 | # | | | (0.29 | ) | | | (0.30 | ) | | | (0.02 | ) | | | 9.76 | | | | 0.22 | | | | 130,641 | | | | 1.20 | | | | 1.23 | | | | 3.06 | | | | 77 | |
2013(6) | | | 10.00 | | | | 0.11 | # | | | 0.05 | | | | (0.10 | ) | | | — | † | | | 10.06 | | | | 1.57 | | | | 109,163 | | | | 1.20 | | | | 1.26 | | | | 2.22 | | | | 25 | |
| † | Amount represents less than $0.005 per share. |
| # | Calculated using the average shares outstanding method. |
| (1) | 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 higher (lower), respectively, than the ratio shown. |
| (2) | 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. |
| (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 April 30, 2015. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
| (5) | An out of period adjustment to Investment Income had no impact on Net Investment Income per Share or Total Return; however, the Ratio of Net Investment Income to Average Net Assets increased by 0.01%. |
| (6) | Inception date was July 1, 2013. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
| | | | |
| 274 | | 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/
(Loss) | | | 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 | | | Investment
Income/
(Loss),
Net(1) | | | Portfolio
Turnover
Rate | |
Real Estate Securities Fund | |
| | | | | | | | | | |
Institutional Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | $ | 9.46 | | | $ | 0.20 | # | | $ | 0.18 | (2) | | $ | (0.50 | ) | | $ | (0.24 | ) | | $ | 9.10 | | | | 4.07 | % | | $ | 123,574 | | | | 0.88 | %(3) | | | 0.90 | % | | | 2.07 | % | | | 130 | % |
2015(4) | | | 10.50 | | | | 0.12 | # | | | (0.33 | ) | | | (0.27 | ) | | | (0.56 | ) | | | 9.46 | | | | (1.89 | ) | | | 159,196 | | | | 0.93 | (3) | | | 0.94 | | | | 1.83 | | | | 137 | |
| | | | | | | | | | |
Investor Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | $ | 9.49 | | | $ | 0.16 | # | | $ | 0.19 | (2) | | $ | (0.47 | ) | | $ | (0.24 | ) | | $ | 9.13 | | | | 3.78 | % | | $ | 100,810 | | | | 1.14 | %(3) | | | 1.19 | % | | | 1.68 | % | | | 130 | % |
2015 | | | 10.26 | | | | 0.16 | # | | | (0.13 | ) | | | (0.24 | ) | | | (0.56 | ) | | | 9.49 | | | | 0.34 | | | | 99,357 | | | | 1.12 | (3) | | | 1.17 | | | | 1.50 | | | | 137 | |
2014 | | | 9.36 | | | | 0.23 | # | | | 1.28 | | | | (0.25 | ) | | | (0.36 | ) | | | 10.26 | | | | 16.13 | | | | 269,883 | | | | 1.15 | | | | 1.15 | | | | 2.23 | | | | 129 | |
2013(5) | | | 10.60 | | | | 0.17 | # | | | (0.02 | ) | | | (0.21 | ) | | | (1.18 | ) | | | 9.36 | | | | 1.49 | | | | 234,903 | | | | 1.05 | | | | 1.05 | | | | 1.56 | | | | 168 | |
2012 | | | 9.18 | | | | 0.17 | # | | | 1.40 | | | | (0.15 | ) | | | — | | | | 10.60 | | | | 17.09 | | | | 191,148 | | | | 1.05 | | | | 1.06 | | | | 1.62 | | | | 95 | |
Global Natural Resources Equity Fund | |
| | | | | | | | | | |
Investor Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | $ | 5.11 | | | $ | 0.03 | # | | $ | 2.29 | (2) | | $ | (0.01 | ) | | $ | — | | | $ | 7.42 | | | | 45.50 | % | | $ | 224,153 | | | | 1.25 | % | | | 1.26 | % | | | 0.44 | % | | | 32 | % |
2015 | | | 7.81 | | | | — | # | | | (2.69 | ) | | | (0.01 | ) | | | — | | | | 5.11 | | | | (34.49 | ) | | | 182,730 | | | | 1.36 | (6) | | | 1.37 | | | | (0.06 | ) | | | 63 | |
2014 | | | 9.71 | | | | (0.02 | )# | | | (1.68 | ) | | | (0.02 | ) | | | (0.18 | ) | | | 7.81 | | | | (17.49 | ) | | | 265,362 | | | | 1.35 | (6) | | | 1.37 | | | | (0.17 | ) | | | 37 | |
2013(7)(8) | | | 10.00 | | | | (0.01 | )# | | | (0.16 | ) | | | (0.03 | ) | | | (0.09 | ) | | | 9.71 | | | | 1.69 | | | | 260,722 | | | | 1.42 | | | | 1.42 | | | | (0.24 | ) | | | 18 | |
| # | Calculated using the average shares outstanding method. |
| (1) | 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 higher (lower), respectively, than the ratio shown. |
| (2) | 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. |
| (3) | The ratio for the Real Estate Securities Fund includes the effect of fees paid indirectly which decreased the ratio by 0.01% for the years 2015 and 2016. |
| (4) | Inception date was April 30, 2015. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
| (5) | An out of period adjustment to Investment Income had no impact on Net Investment Income per Share or Total Return; however, the Ratio of Net Investment Income to Average Net Assets increased by 0.03%. |
| (6) | The ratio for the Global Natural Resources Equity Fund includes the effect of fees paid indirectly which decreased the ratio by 0.01% and 0.00% for the years 2014 and 2015. |
| (7) | An out of period adjustment to Investment Income had no impact on Net Investment Income per Share or Total Return; however, the Ratio of Net Investment Income to Average Net Assets increased by 0.01%. |
| (8) | Inception date was July 1, 2013. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
| | | | |
| | See Notes to Financial Statements. | | 275 |
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 Fund are each referred to as a “Target Date Fund” and together as the “Target Date Funds.”
The Conservative Allocation Fund, Balanced Allocation Fund, Growth Allocation Fund and Aggressive Allocation Fund 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 and Global Bond Fund are together referred to as the “Fixed Income Funds.”
The Defensive Market Strategies Fund, Equity Index Fund, Value Equity Fund, Growth Equity Fund, Small Cap Equity Fund, International Equity Index Fund, International Equity Fund and Emerging Markets Equity Fund are together referred to as the “Equity Funds.”
The Inflation Protected Bond Fund, Flexible Income Fund, Real Estate Securities Fund and the Global Natural Resources Equity Fund are together referred to as the “Real Return Select Funds.”
There are two classes of shares issued by the Funds — the Institutional Class and the Investor Class (each, a “Class” and together the “Classes”). The International Equity Index Fund issued the Institutional Class only. The Target Date Funds, Flexible Income Fund and the Global Natural Resources Equity Fund issued the Investor 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 Target Date and Asset Allocation Funds primarily invest in a different mix of the Select Funds to meet a specified investment strategy. The Target Date Funds and Asset Allocation Funds are commonly referred to as “Fund of Funds.”
Following the close of business on November 20, 2015, pursuant to the Plan, the Asset Allocation Funds received all of the assets and liabilities of the I Series Funds. The transfer was treated as a non-taxable event and, accordingly, the I Series Funds’ basis in securities transferred reflected historical cost basis as of the date of the transfer. The shareholders of the I Series Funds received Institutional Class Shares of the respective Allocation Fund with an aggregate net asset value equal to the aggregate net asset value of their shares in the I Series Fund immediately prior to the transfer.
| | |
I Series Funds | | Asset Allocation Funds |
| Conservative Allocation I | | Conservative Allocation |
| Institutional Class | | Institutional Class |
| Balanced Allocation I | | Balanced Allocation |
| Institutional Class | | Institutional Class |
| Growth Allocation I | | Growth Allocation |
| Institutional Class | | Institutional Class |
| Aggressive Allocation I | | Aggressive Allocation |
| Institutional Class | | Institutional Class |
276
The plan of reorganization and termination was completed at the close of business on November 20, 2015, with the transfer of all of the assets of each I Series Fund to the corresponding Asset Allocation Fund in exchange solely for the Asset Allocation Fund’s assumption of all of the liabilities of the I Series Fund and Institutional Class shares of the Asset Allocation Fund having an aggregate net asset value equal to the aggregate net asset value of the shares held in the I Series Fund.
The table below summarized the asset transfers and conversion ratios for each exchange.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | Net Assets | | | Unrealized | | | Accumulated | | | Share | | | | | | | | Net Assets | |
| | | Shares | | | on | | | Appreciation | | | Net Realized | | | Conversion | | | | | Shares | | | on | |
| I Series Fund | | Redeemed | | | 11/20/15 | | | (Depreciation) | | | Gains | | | Ratio | | | Asset Allocation Fund | | Issued | | | 11/20/15 | |
Conservative Allocation I | | | | | | | | | | | | | | | Conservative Allocation | |
Institutional Class | | | 7,794,876 | | | $ | 72,465,073 | | | $ | (2,891,208 | ) | | $ | (458,962 | ) | | | 0.807689 | | | Institutional Class | | | 6,295,836 | | | $ | 299,192,438 | |
Balanced Allocation I | | | | | | | | | | | | | | | Balanced Allocation | |
Institutional Class | | | 35,336,274 | | | | 338,149,233 | | | | (13,269,032 | ) | | | 3,517,469 | | | | 0.755288 | | | Institutional Class | | | 26,689,066 | | | | 1,213,930,818 | |
Growth Allocation I | | | | | | | | | | | | | | | Growth Allocation | |
Institutional Class | | | 24,036,312 | | | | 254,805,506 | | | | (3,928,689 | ) | | | 2,404,171 | | | | 0.801277 | | | Institutional Class | | | 19,259,753 | | | | 892,421,579 | |
Aggressive Allocation I | | | | | | | | | | | | | | | Aggressive Allocation | |
Institutional Class | | | 14,571,696 | | | | 175,568,965 | | | | 3,037,164 | | | | 1,172,794 | | | | 0.852696 | | | Institutional Class | | | 12,425,233 | | | | 822,337,476 | |
On September 15-16, 2016, the Board of Trustees of GuideStone Funds (the “Board of Trustees”) approved a reverse share split (the “Reverse Split”) of the issued and outstanding shares of the Institutional Class of Low-Duration Bond Fund, Medium-Duration Bond Fund, Extended-Duration Bond Fund, Equity Index Fund, Value Equity Fund, Growth Equity Fund, Small Cap Equity Fund, and International Equity Fund (each a “Split Impacted Fund” and together, the “Split Impacted Funds”). As a result of the Reverse Split, for each one share of the Institutional Class of each Split Impacted Fund a shareholder currently holds, the shareholder received a proportional number of Institutional Class shares of the Split Impacted Fund with the same dollar value, in accordance with a ratio calculated in order to result in each Institutional Class share having a net asset value (“NAV”) substantially equivalent to each Investor Class share of the Split Impacted Fund.
Shareholders of record in the Institutional Class of each Split Impacted Fund at the close of business on October 14, 2016, participated in the Reverse Split, and the ratio for the Reverse Split was calculated as of that date. Each Split Impacted Fund effected the Reverse Split after the close of the New York Stock Exchange on October 14, 2016.
| | |
Fund | | Reverse Share Split Ratio |
| Low-Duration Bond Fund | | 1:0.6287972 |
| Medium-Duration Bond Fund | | 1:0.4607397 |
| Extended-Duration Bond Fund | | 1:0.2187215 |
| Equity Index Fund | | 1:0.3780577 |
| Value Equity Fund | | 1:0.3824891 |
| Growth Equity Fund | | 1:0.4281844 |
| Small Cap Equity Fund | | 1:0.4941101 |
| International Equity Fund | | 1:0.7398548 |
Beginning October 17, 2016, the Institutional Class shares of each Split Impacted Fund were offered, sold and redeemed on a Reverse Split-adjusted basis. Per share data, including the proportionate impact to NAV, in the Financial Highlights and Capital share activity presented in the Capital Share Transactions disclosure (see Note 6) have been restated to reflect the reverse stock split.
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by the Funds in the accounting and the preparation of its financial statements. The Funds are investment companies and follow accounting and reporting guidance in the Financial
277
Accounting Standards Board Accounting Standards Codification Topic 946 (“ASC 946”). The policies are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), including but not limited to ASC 946. The preparation of financial statements requires the Funds’ management to make estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of income and expenses for the period. The Funds utilize various methods to measure the value of its investments on a recurring basis. Amounts received upon the sale of such investments could differ from estimated values 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. The valuation committee is comprised of individuals from GuideStone Capital Management (“GSCM” or “Adviser”) and BNY Mellon Investment Servicing (US) Inc. who previously have been identified to 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, which approximates fair value. Asset-backed and mortgage-backed securities are generally valued at the last bid price, if available.
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 2i, “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
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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 Target Date and Asset Allocation Funds value their investments in the underlying Select Funds daily at the closing NAV of each respective Fund.
The Financial Accounting Standards Board’s (“FASB”) “Fair Value Measurements and Disclosures” defines fair value as the price that a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes and requires disclosure of a fair value hierarchy, separately for each major category of assets and liabilities, that segregates fair value measurements into levels (Levels 1, 2, and 3). 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 Select Funds and the Northern Institutional Liquid Assets Portfolio, which are valued at their closing NAV each business day.
Derivative financial instruments such as financial futures contracts and written and purchased put and call options 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.
| | | | |
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 which approximates fair value.
Derivative financial instruments such as forward foreign exchange contracts and swap agreements that are valued based on pricing models using inputs observed on actively quoted markets or observable correlated market inputs.
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Securities for which there is a short or temporary lapse in the provision of a price by the regular pricing source which is an
Approved Pricing Service.
| | | | |
Level 3 | | – | | prices determined using significant unobservable inputs (including the valuation committee’s own assumptions in determining the fair value of investments) which include: |
Restricted equity securities, private placements and derivative financial instruments where observable inputs are limited, assumptions about market activity and risk are used; and
Debt securities, including restricted securities, and derivative financial instruments 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.
The Funds’ policy is to disclose transfers between levels based on valuations at the end of the reporting period. The Select Funds (with the exception of the Money Market Fund) may hold securities which are periodically fair valued in accordance with the Funds’ fair value procedures which may result in transfers into or out of an assigned level within the disclosure hierarchy. Such transfers between levels due to the periodic use of fair value procedures are not included in the disclosure of transfers between levels included with the Valuation Hierarchy of each respective Fund.
In accordance with FASB “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S.GAAP and International Financial Reporting Standards (“IFRS”),” management has not presented quantitative disclosures for the securities which are advisor priced or valued by the valuation committee as there have been no adjustments to prices received from third parties as of December 31, 2016.
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.
b. Fixed Income Securities
The Fixed Income 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.
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Collateralized Mortgage Obligations (“CMOs”) are debt obligations of a legal entity that are collateralized by mortgages and divided into classes. CMOs are structured into multiple classes, often referred to as “tranches,” with each class bearing a different stated maturity and entitled to a different schedule for payments of principal and interest, including pre-payments. Commercial Mortgage-Backed Securities (“CMBS”) include securities that reflect an interest in, and are secured by, mortgage loans on commercial real property. Many of the risks of investing in CMBS reflect the risks of investing in the real estate securing the underlying mortgage loans. These risks reflect the effects of local and other economic conditions on real estate markets, the ability of tenants to make loan payments, and the ability of a property to attract and retain tenants. CMOs and CMBS may be less liquid and may exhibit greater price volatility than other types of mortgage- or asset-backed securities. Stripped Mortgage-Backed Securities (“SMBS”) are derivative multi-class mortgage securities. SMBS are usually structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. A common type of SMBS will have one class receiving some of the interest and most of the principal from the mortgage assets, while the other class will receive most of the interest and the remainder of the principal. In the most extreme case, one class will receive all of the interest (the interest-only or “IO” class), while the other class will receive the entire principal (the principal-only or “PO” class). Payments received for IOs are included in interest income on the Statements of Operations. Because little to no principal will be received at the maturity of an IO, adjustments are made to the book value of the security on a monthly basis until maturity. These adjustments are included in interest income on the Statements of Operations. Payments received for POs are treated as reductions to the cost and par value of the securities.
Inflation-indexed bonds are fixed-income securities whose principal value is periodically adjusted to the rate of inflation. The interest rate on these bonds is generally fixed at issuance at a rate lower than typical bonds. Over the life of an inflation-indexed bond, however, interest will be paid based on a principal value, which is adjusted for inflation. Any increase or decrease in the principal amount of an inflation-indexed bond will be included as interest income on the Statements of Operations, even though investors do not receive their principal until maturity.
“TBA” (to be announced) commitments are commitments to purchase or sell mortgage-backed 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”.
The Low-Duration Bond Fund and Medium-Duration Bond Fund may enter 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. At December 31, 2016, there were no mortgage-backed TBA dollar roll transactions.
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
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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.
c. Foreign Currency Translations
Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions.
The Funds isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held.
Reported net realized foreign exchange gains or losses arise from sales of portfolio securities, sales and maturities of short-term securities, sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the values of assets and liabilities, including investments in securities at fiscal period end, resulting from changes in the exchange rate.
d. Loan Participations
The Fixed Income Funds, the Small Cap Equity Fund and the Flexible Income Fund may invest in direct debt instruments which are interests in amounts owed to lenders or lending syndicates by corporate borrowers. 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. The holder may invest in multiple series of a loan, which may have varying terms and carry different associated risks. The holder generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, these instruments 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, the holder 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.
The Fixed Income Funds, the Small Cap Equity Fund and the Flexible Income Fund may invest in floating rate loans, some of which may be unfunded corporate loan commitments (“commitments”). Commitments may obligate the holder to furnish temporary financing to a borrower until permanent financing can be arranged. The holder 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, the holder may
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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.
| | | | | | | | |
| | | Security | | | Unfunded | |
Fund | | Name | | | Commitment | |
Flexible Income | | | Acrisure LLC | | | | 88,988 | |
Flexible Income | | | Allied Universal HoldCo LLC | | | | 43,172 | |
Flexible Income | | | TricorBraun, Inc. | | | | 52,273 | |
e. PIPEs
The Global Natural Resources 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. The CDEV PIPE security was priced by applying a 10% illiquidity discount to the traded price of CDEV (NASDAQ), with the illiquidity discount being amortized over the period from December 28, 2016 to April 15, 2017, which is the latest estimated date that the sub-adviser expects SEC registration of the CDEV PIPE security.
f. REITs
The Real Estate Securities Fund invests substantial assets in real estate investment trusts (“REITs”) that involve risks not associated with investing in stocks. Risks include declines in the value of real estate, general and economic conditions, changes in the value of the underlying property and defaults by borrowers. The value of assets in the real estate industry may go through cycles of relative underperformance and outperformance in comparison to equity securities markets in general.
Dividend income is recorded using management’s estimate of the income included in distributions received from REIT investments. The actual amounts of income, return of capital and capital gains are only determined by each REIT after its fiscal year-end and may differ from the estimated amount. Estimates of income are adjusted in the Funds to the actual amounts when the amounts are determined.
g. Repurchase Agreements
Each Fund may agree to purchase securities from financial institutions subject to the seller’s agreement to repurchase them at a mutually agreed upon date and price. It is the Fund’s policy that repurchase agreements are fully collateralized by U.S. Treasury and Government Agency securities. All collateral is held by the Fund’s custodian bank or a bank with which the custodian bank has entered into a subcustodian agreement, or is segregated in the Federal Reserve Book Entry System. In connection with transactions in repurchase agreements, if the seller defaults and the value of the collateral declines, or if the seller enters an insolvency proceeding, realization of the collateral by the Fund may be delayed or limited.
Repurchase transactions are entered into by the Funds under Master Repurchase Agreements (“MRA”) which permit the Funds, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from the Fund.
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At December 31, 2016, the open repurchase agreements by counterparty which are subject to an MRA on a net payment basis are as follows:
| | | | | | | | | | | | | | | | |
| Fund/Counterparty | | Repurchase
Agreements | | | Fair Value of
Non-cash
Collateral
Received(1) | | | Cash
Collateral
Received | | | Net Amount(2) | |
Money Market | | | | | | | | | | | | | | | | |
Bank of Montreal | | $ | 3,000,000 | | | $ | (3,000,000 | ) | | $ | — | | | $ | — | |
Bank of Nova Scotia | | | 30,000,000 | | | | (30,000,000 | ) | | | — | | | | — | |
BNP Paribas SA | | | 40,000,000 | | | | (40,000,000 | ) | | | — | | | | — | |
Citigroup Global Markets, Inc. | | | 40,000,000 | | | | (40,000,000 | ) | | | — | | | | — | |
Goldman Sachs & Co. | | | 5,000,000 | | | | (5,000,000 | ) | | | — | | | | — | |
HSBC Securities USA, Inc. | | | 8,500,000 | | | | (8,500,000 | ) | | | — | | | | — | |
Mitsubishi UFJ Securities USA, Inc. | | | 20,000,000 | | | | (20,000,000 | ) | | | — | | | | — | |
Mizuho Securities USA, Inc. | | | 4,000,000 | | | | (4,000,000 | ) | | | — | | | | — | |
Morgan Stanley & Co. LLC | | | 50,000,000 | | | | (50,000,000 | ) | | | — | | | | — | |
RBC Capital Markets LLC | | | 15,000,000 | | | | (15,000,000 | ) | | | — | | | | — | |
TD Securities USA LLC | | | 40,000,000 | | | | (40,000,000 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total Repurchase Agreements | | $ | 255,500,000 | | | $ | (255,500,000 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Low-Duration Bond | | | | | | | | | | | | | | | | |
JP Morgan Securities LLC | | $ | 14,900,000 | | | $ | (14,900,000 | ) | | $ | — | | | $ | — | |
Merrill Lynch, Pierce, Fenner & Smith | | | 8,300,000 | | | | (8,300,000 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total Repurchase Agreements | | $ | 23,200,000 | | | $ | (23,200,000 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Medium-Duration Bond | | | | | | | | | | | | | | | | |
Deutsche Bank Securities, Inc. | | $ | 17,600,000 | | | $ | (17,600,000 | ) | | $ | — | | | $ | — | |
JP Morgan Securities LLC | | | 35,200,000 | | | | (35,200,000 | ) | | | — | | | | — | |
Merrill Lynch, Pierce, Fenner & Smith | | | 22,800,000 | | | | (22,800,000 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total Repurchase Agreements | | $ | 75,600,000 | | | $ | (75,600,000 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| (1) | The value of the related collateral received exceeded the value of the repurchase agreements as of December 31, 2016. |
| (2) | Net amount represents the net amount receivable due from (payable to) the counterparty in the event of default. |
Additional information about master netting arrangements can be found in the Derivative Financial Instruments and Securities Lending sections of the Notes to Financial Statements.
h. Short Sales
A short sale is a transaction in which a Fund sells a security it does not own. The Fund’s obligation to replace the security borrowed and sold short will be collateralized by cash equivalents maintained in a segregated account with the broker. Cash deposited with the broker is recorded as an asset on the Statement of Assets and Liabilities. 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 Target Date Funds, Asset Allocation Funds, Fixed Income 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 Low-Duration Bond Fund was involved in dollar roll transactions with U.S. Treasury Securities throughout the year. At December 31, 2016, the Low-Duration Bond Fund was involved in a dollar roll transaction with a U.S. Treasury Note for the net amount of $(1,481,075). The Low-Duration Bond Fund and Medium-Duration Bond Fund had no other dollar roll transactions at December 31,2016. The Defensive Market Strategies
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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 7% of the Fund’s assets.
At December 31, 2016, the value of securities sold short in the Low-Duration Bond Fund and International Equity Fund amounted to $1,481,075 and $63,811,126, respectively.
i. Synthetic Convertible Instruments
The Defensive Market Strategies Fund invests in synthetic convertible instruments. Synthetic convertible instruments are hybrid financial instruments that generally combine both debt and equity characteristics into a single note form. The risks of investing in synthetic convertible instruments 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 synthetic convertible instruments and the appreciation potential may be limited. Synthetic convertible instruments may be more volatile and less liquid than other investments held by the Fund.
j. Derivative Financial Instruments
The Funds may engage in various portfolio strategies to seek to increase their return by hedging their portfolios 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 Fixed Income 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 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
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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 Fixed Income Funds and the Small Cap Equity Fund may enter into interest rate and credit default swaps. The Fixed Income Funds and International Equity Fund may enter into cross-currency swaps, and each Select Fund may enter into total return swaps.
Swap agreements are privately negotiated agreements between a Fund and a counterparty to exchange or swap investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals. A swap may be entered into in order to, among other things, change the maturity of a Fund’s portfolio, to protect a Fund’s value from changes in interest rates, to expose a Fund to a different security or market, or to help a Fund achieve a strategy relative to an index or other benchmark. By entering into a swap agreement, a Fund is exposed to the risk of unanticipated movements in interest rates or in the value of an underlying security or index (or the risk that the counterparty will not fulfill its obligation under the agreement). Credit default swaps involve the payment of amounts based on a specified rate multiplied by a notional amount as well as upon an event of default. In connection with these agreements, securities are set aside as collateral by the Fund’s custodian.
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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 Funds’ 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, 2016, all of the Funds maintained the required level of net assets and/or the NAVs of the Funds 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 (“CDS”) 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 CDS 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.
Upfront payments made or received in connection with CDS agreements are amortized over the expected life of the CDS agreements as unrealized gains or losses on swap agreements. The change in value of the CDS agreements is recorded daily as unrealized appreciation or depreciation. A realized gain or loss is recorded upon a credit event (as defined in the CDS agreement) or the maturity or termination of the agreement.
The sub-advisers monitor a variety of factors including cash flow assumptions, market activity, market sentiment and valuation as part of their ongoing process of assessing payment and performance risk. As payment and performance risk increases, the value of a CDS increases, resulting in recognition of unrealized gains for long positions and unrealized losses for short positions. Conversely, as payment and performance risk decreases, unrealized gains are recognized for short positions and unrealized losses are recognized for long positions. Any current or future declines in the fair value of the swap may be partially offset by upfront payments received by the Fund as a seller of protection if applicable. The
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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.
CDS 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 CDS 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.
CDS 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 CDS 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 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 CDS 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. At December 31, 2016, there were no investments in CDS agreements on asset-backed securities.
CDS 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 CDS market based on the sector of the index. Components of the indices may include, but are not limited to, investment grade securities, high yield securities, asset-backed securities, emerging markets, and/or various credit ratings within each sector. Credit indices are traded using CDS with standardized terms including a fixed spread and standard maturity dates. An index CDS references all the names in
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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 CDS on credit indices to hedge a portfolio of CDS or bonds with a CDS on indices which is less expensive than it would be to buy many CDS to achieve a similar effect. CDS 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 CDS 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 CDS 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 CDS 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 CDS agreements entered into by a Fund for the same referenced entity or entities.
CDS involve greater risks than if the Funds had invested in the referenced obligation directly. In addition to general market risks, CDS are subject to liquidity risk and counterparty credit risk. The Funds enter into CDS 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.
Centrally Cleared Swap Agreements — Centrally cleared swaps are either interest rate or CDS agreements brokered by the Chicago Mercantile Exchange or the Intercontinental Exchange (the “Exchanges”) where the Exchanges are the counterparty to both the buyer and seller of protection. Centrally cleared swaps involve a lesser degree of risk because the Exchanges, as counterparties, monitor risk factors for the involved parties. Centrally cleared 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 centrally cleared 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.
Centrally cleared 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 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
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and investment banks. Some cross-currency swaps may not provide for exchanging principal cash flows but only for exchanging interest cash flows. At December 31, 2016, there were no cross-currency swap agreements.
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 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.
Variance Swap Agreements — Variance swap agreements involve two parties exchanging cash payments based on the difference between the stated level of variance (“Variance Strike Price”) and the actual variance realized on an underlying asset or index. As a receiver of the realized price variance, a Fund would receive the payoff amount when the realized price variance of the underlying asset is greater than the strike price and would owe the payoff amount when the variance is less than the strike price. As a payer of the realized price variance, a Fund would owe the payoff amount when the realized price variance of the underlying asset is greater than the strike price and would receive the payoff amount when the variance is less than the strike. A Fund may enter into variance swaps in an attempt to hedge market risk or adjust exposure to the markets. At December 31, 2016, there were no variance swap agreements.
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, 2016, the Low-Duration Bond Fund and the Medium-Duration Bond Fund are the buyers (“receiving protection”) on a total notional amount of $23,769,000 and $10,495,000, respectively, and the sellers (“providing protection”) on a total notional amount of $0 and $17,880,000, 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
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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:
| | | | | | | | | | | | | | | | | | | | |
| | | Single Name
Credit Default Swaps | | | Credit Default
Swap Index | | | | |
| | | Corporate | | | Sovereign | | | Asset-Backed | | | Corporate | | | | |
| Reference Asset | | Debt | | | Debt | | | Securities | | | Debt | | | Total | |
| Medium-Duration Bond Fund | | | | | | | | | | | | | | | | | | | | |
Fair value of written credit derivatives | | $ | 10,868 | | | $ | 2,721 | | | $ | 301,451 | | | $ | — | | | $ | 315,040 | |
Maximum potential amount of future payments | | | 1,400,000 | | | | 1,000,000 | | | | 15,480,000 | | | | — | | | | 17,880,000 | |
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 | | | — | | | | — | | | | — | | | | — | | | | — | |
At December 31, 2016, there were no recourse provisions with third parties to recover any amounts paid under the credit derivative agreement (including any purchased credit protection) nor was any collateral held by the Funds or other third parties which the Funds can obtain upon occurrence of a 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 | |
Medium-Duration Bond Fund | | | | | | | | | | | | | | | | | | | | | | | | |
0 - 100 | | $ | 1,000,000 | | | $ | 900,000 | | | $ | 6,900,000 | | | $ | — | | | $ | 5,100,000 | | | $ | 13,900,000 | |
101 - 250 | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
251 - 500 | | | — | | | | — | | | | 3,980,000 | | | | — | | | | — | | | | 3,980,000 | |
501 - 1,000 | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Greater than 1,000 | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 1,000,000 | | | $ | 900,000 | | | $ | 10,880,000 | | | $ | — | | | $ | 5,100,000 | | | $ | 17,880,000 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Offsetting of Financial and Derivative Assets and Liabilities
Certain Funds are parties to International Swap and Derivatives Association, Inc. (“ISDA”) Master Agreements (“MA”) with various counterparties that govern over-the-counter derivative and foreign exchange contracts entered into from time to time. The ISDA MA 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 ISDA MA, collateral posted to the Fund is held in a segregated account by the Fund’s custodian and with respect to those amounts which can be sold or repledged, are presented in the Fund’s portfolio or Statements of Assets and Liabilities. For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to an ISDA MA in the Statements of Assets and Liabilities.
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At December 31, 2016, derivative assets and liabilities (by type) held by the Funds are as follows:
| | | | | | | | |
| Fund | | Assets | | | Liabilities | |
MyDestination 2005 | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Financial futures contracts | | $ | 1,386 | | | $ | 2,225 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 1,386 | | | | 2,225 | |
Derivatives not subject to an MA or similar agreement | | | 1,386 | | | | 2,225 | |
| | | | | | | | |
Total assets and liabilities subject to an MA | | $ | — | | | $ | — | |
| | | | | | | | |
MyDestination 2015 | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Financial futures contracts | | $ | 11,459 | | | $ | 10,795 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 11,459 | | | | 10,795 | |
Derivatives not subject to an MA or similar agreement | | | 11,459 | | | | 10,795 | |
| | | | | | | | |
Total assets and liabilities subject to an MA | | $ | — | | | $ | — | |
| | | | | | | | |
MyDestination 2025 | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Financial futures contracts | | $ | 20,196 | | | $ | 28,225 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 20,196 | | | | 28,225 | |
Derivatives not subject to an MA or similar agreement | | | 20,196 | | | | 28,225 | |
| | | | | | | | |
Total assets and liabilities subject to an MA | | $ | — | | | $ | — | |
| | | | | | | | |
MyDestination 2035 | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Financial futures contracts | | $ | 13,558 | | | $ | 27,936 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 13,558 | | | | 27,936 | |
Derivatives not subject to an MA or similar agreement | | | 13,558 | | | | 27,936 | |
| | | | | | | | |
Total assets and liabilities subject to an MA | | $ | — | | | $ | — | |
| | | | | | | | |
MyDestination 2045 | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Financial futures contracts | | $ | 8,716 | | | $ | 22,015 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 8,716 | | | | 22,015 | |
Derivatives not subject to an MA or similar agreement | | | 8,716 | | | | 22,015 | |
| | | | | | | | |
Total assets and liabilities subject to an MA | | $ | — | | | $ | — | |
| | | | | | | | |
MyDestination 2055 | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Financial futures contracts | | $ | — | | | $ | 4,450 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | — | | | | 4,450 | |
Derivatives not subject to an MA or similar agreement | | | — | | | | 4,450 | |
| | | | | | | | |
Total assets and liabilities subject to an MA | | $ | — | | | $ | — | |
| | | | | | | | |
Conservative Allocation | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Financial futures contracts | | $ | 3,996 | | | $ | 4,451 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 3,996 | | | | 4,451 | |
Derivatives not subject to an MA or similar agreement | | | 3,996 | | | | 4,451 | |
| | | | | | | | |
Total assets and liabilities subject to an MA | | $ | — | | | $ | — | |
| | | | | | | | |
292
| | | | | | | | |
| Fund | | Assets | | | Liabilities | |
Balanced Allocation | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Financial futures contracts | | $ | 49,186 | | | $ | 45,830 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 49,186 | | | | 45,830 | |
Derivatives not subject to an MA or similar agreement | | | 49,186 | | | | 45,830 | |
| | | | | | | | |
Total assets and liabilities subject to an MA | | $ | — | | | $ | — | |
| | | | | | | | |
Growth Allocation | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Financial futures contracts | | $ | 33,866 | | | $ | 56,565 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 33,866 | | | | 56,565 | |
Derivatives not subject to an MA or similar agreement | | | 33,866 | | | | 56,565 | |
| | | | | | | | |
Total assets and liabilities subject to an MA | | $ | — | | | $ | — | |
| | | | | | | | |
Aggressive Allocation | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Financial futures contracts | | $ | 19,875 | | | $ | 55,870 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 19,875 | | | | 55,870 | |
Derivatives not subject to an MA or similar agreement | | | 19,875 | | | | 55,870 | |
| | | | | | | | |
Total assets and liabilities subject to an MA | | $ | — | | | $ | — | |
| | | | | | | | |
Low-Duration Bond | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Financial futures contracts | | $ | 99,081 | | | $ | 103,097 | |
Forward foreign exchange contracts | | | 2,593,545 | | | | 390,694 | |
Options | | | 93,048 | | | | 53,141 | |
Swaps | | | 181,959 | | | | 675,987 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 2,967,633 | | | | 1,222,919 | |
Derivatives not subject to an MA or similar agreement | | | 679,016 | | | | 1,036,680 | |
| | | | | | | | |
Total assets and liabilities subject to an MA | | $ | 2,288,617 | | | $ | 186,239 | |
| | | | | | | | |
Medium-Duration Bond | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Financial futures contracts | | $ | 734,256 | | | $ | 337,657 | |
Forward foreign exchange contracts | | | 3,325,831 | | | | 694,088 | |
Options | | | 1,847,251 | | | | 2,574,861 | |
Swaps | | | 2,675,698 | | | | 792,250 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 8,583,036 | | | | 4,398,856 | |
Derivatives not subject to an MA or similar agreement | | | 3,186,272 | | | | 1,195,474 | |
| | | | | | | | |
Total assets and liabilities subject to an MA | | $ | 5,396,764 | | | $ | 3,203,382 | |
| | | | | | | | |
Global Bond | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Financial futures contracts | | $ | 59,247 | | | $ | 112,976 | |
Forward foreign exchange contracts | | | 449,610 | | | | 2,002,327 | |
Options | | | 871,293 | | | | 1,547 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 1,380,150 | | | | 2,116,850 | |
Derivatives not subject to an MA or similar agreement | | | 930,540 | | | | 114,523 | |
| | | | | | | | |
Total assets and liabilities subject to an MA | | $ | 449,610 | | | $ | 2,002,327 | |
| | | | | | | | |
293
| | | | | | | | |
| Fund | | Assets | | | Liabilities | |
Defensive Market Strategies | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Financial futures contracts | | $ | — | | | $ | 54,735 | |
Forward foreign exchange contracts | | | 433 | | | | 81,772 | |
Options | | | — | | | | 705,781 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 433 | | | | 842,288 | |
Derivatives not subject to an MA or similar agreement | | | 433 | | | | 842,288 | |
| | | | | | | | |
Total assets and liabilities subject to an MA | | $ | — | | | $ | — | |
| | | | | | | | |
Equity Index | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Financial futures contracts | | $ | — | | | $ | 96,120 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | — | | | | 96,120 | |
Derivatives not subject to an MA or similar agreement | | | — | | | | 96,120 | |
| | | | | | | | |
Total assets and liabilities subject to an MA | | $ | — | | | $ | — | |
| | | | | | | | |
Value Equity | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Financial futures contracts | | $ | — | | | $ | 134,398 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | — | | | | 134,398 | |
Derivatives not subject to an MA or similar agreement | | | — | | | | 134,398 | |
| | | | | | | | |
Total assets and liabilities subject to an MA | | $ | — | | | $ | — | |
| | | | | | | | |
Growth Equity | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Financial futures contracts | | $ | — | | | $ | 218,050 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | — | | | | 218,050 | |
Derivatives not subject to an MA or similar agreement | | | — | | | | 218,050 | |
| | | | | | | | |
Total assets and liabilities subject to an MA | | $ | — | | | $ | — | |
| | | | | | | | |
Small Cap Equity | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Financial futures contracts | | $ | — | | | $ | 106,590 | |
Forward foreign exchange contracts | | | — | | | | — | |
Options | | | — | | | | — | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | — | | | | 106,590 | |
Derivatives not subject to an MA or similar agreement | | | — | | | | 106,590 | |
| | | | | | | | |
Total assets and liabilities subject to an MA | | $ | — | | | $ | — | |
| | | | | | | | |
International Equity Index | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Financial futures contracts | | $ | 24,118 | | | $ | — | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 24,118 | | | | — | |
Derivatives not subject to an MA or similar agreement | | | 24,118 | | | | — | |
| | | | | | | | |
Total assets and liabilities subject to an MA | | $ | — | | | $ | — | |
| | | | | | | | |
294
| | | | | | | | |
| Fund | | Assets | | | Liabilities | |
International Equity | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Financial futures contracts | | $ | 958,898 | | | $ | 183,700 | |
Forward foreign exchange contracts | | | 908,668 | | | | 3,018,557 | |
Swaps | | | 281,711 | | | | 32,783 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 2,149,277 | | | | 3,235,040 | |
Derivatives not subject to an MA or similar agreement | | | 137,270 | | | | — | |
| | | | | | | | |
Total assets and liabilities subject to an MA | | $ | 2,012,007 | | | $ | 3,235,040 | |
| | | | | | | | |
Emerging Markets Equity | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Financial futures contracts | | $ | 232,981 | | | $ | 260,068 | |
Forward foreign exchange contracts | | | 1,354,959 | | | | 421,788 | |
Swaps | | | — | | | | 51,731 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 1,587,940 | | | | 733,587 | |
Derivatives not subject to an MA or similar agreement | | | — | | | | 152,250 | |
| | | | | | | | |
Total assets and liabilities subject to an MA | | $ | 1,587,940 | | | $ | 581,337 | |
| | | | | | | | |
Inflation Protected Bond | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Financial futures contracts | | $ | 81,101 | | | $ | 85,825 | |
Forward foreign exchange contracts | | | 400,851 | | | | 131,720 | |
Options | | | 217,995 | | | | 114,972 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 699,947 | | | | 332,517 | |
Derivatives not subject to an MA or similar agreement | | | 699,947 | | | | 332,517 | |
| | | | | | | | |
Total assets and liabilities subject to an MA | | $ | — | | | $ | — | |
| | | | | | | | |
Real Estate Securities | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Financial futures contracts | | $ | — | | | $ | 24,150 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | — | | | | 24,150 | |
Derivatives not subject to an MA or similar agreement | | | — | | | | 24,150 | |
| | | | | | | | |
Total assets and liabilities subject to an MA | | $ | — | | | $ | — | |
| | | | | | | | |
Global Natural Resources | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Financial futures contracts | | $ | 17,880 | | | $ | 47,190 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 17,880 | | | | 47,190 | |
Derivatives not subject to an MA or similar agreement | | | 17,880 | | | | 47,190 | |
| | | | | | | | |
Total assets and liabilities subject to an MA | | $ | — | | | $ | — | |
| | | | | | | | |
295
At December 31, 2016, derivative assets and liabilities by counterparty net of amounts available for offset under an MA and net of the related collateral (received)/pledged by the Trust are as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Fund/Sub-adviser/Counterparty | | Derivative Assets
Subject to
an MA | | Derivative Liabilities
Subject to
an MA | | Value of
Derivatives Subject to
an MA | | Collateral
(Received)/
Pledged | | Net Exposure |
Low-Duration Bond | |
Sub-adviser A | | | | | | | | | | | | | | | | | | | | | | | | | |
Other Counterparties* | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Sub-adviser B | | | | | | | | | | | | | | | | | | | | | | | | | |
CITI | | | | 418,656 | | | | | — | | | | | 418,656 | | | | | — | | | | | 418,656 | |
Other Counterparties* | | | | 1,869,961 | | | | | (186,239 | ) | | | | 1,683,722 | | | | | (1,336,900 | ) | | | | 346,822 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | 2,288,617 | | | | | (186,239 | ) | | | | 2,102,378 | | | | | (1,336,900 | ) | | | | 765,478 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Derivatives | | | $ | 2,288,617 | | | | $ | (186,239 | ) | | | $ | 2,102,378 | | | | $ | (1,336,900 | ) | | | $ | 765,478 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Medium-Duration Bond | | | | | | | | | | | | | | | | | | | | | | | | | |
Sub-adviser A | | | | | | | | | | | | | | | | | | | | | | | | | |
Other Counterparties* | | | $ | 508,181 | | | | $ | (179,407 | ) | | | $ | 328,774 | | | | $ | — | | | | $ | 328,774 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Sub-adviser B | | | | | | | | | | | | | | | | | | | | | | | | | |
Other Counterparties* | | | | 3,460,299 | | | | | (2,612,976 | ) | | | | 847,323 | | | | | (1,157,040 | ) | | | | (309,717 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Sub-adviser C | | | | | | | | | | | | | | | | | | | | | | | | | |
CITIC | | | | 1,085,067 | | | | | (200,721 | ) | | | | 884,346 | | | | | — | | | | | 884,346 | |
Other Counterparties* | | | | 343,217 | | | | | (210,278 | ) | | | | 132,939 | | | | | — | | | | | 132,939 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | 1,428,284 | | | | | (410,999 | ) | | | | 1,017,285 | | | | | — | | | | | 1,017,285 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Derivatives | | | $ | 5,396,764 | | | | $ | (3,203,382 | ) | | | $ | 2,193,382 | | | | $ | (1,157,040 | ) | | | $ | 1,036,342 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Global Bond | | | | | | | | | | | | | | | | | | | | | | | | | |
Sub-adviser A | | | | | | | | | | | | | | | | | | | | | | | | | |
BAR | | | $ | — | | | | $ | (195,675 | ) | | | $ | (195,675 | ) | | | $ | — | | | | $ | (195,675 | ) |
CITIG | | | | 27,080 | | | | | (394,576 | ) | | | | (367,496 | ) | | | | — | | | | | (367,496 | ) |
DEUT | | | | — | | | | | (850,309 | ) | | | | (850,309 | ) | | | | — | | | | | (850,309 | ) |
UBS | | | | 56,956 | | | | | (395,339 | ) | | | | (338,383 | ) | | | | — | | | | | (338,383 | ) |
Other Counterparties* | | | | 365,574 | | | | | (166,428 | ) | | | | 199,146 | | | | | — | | | | | 199,146 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Derivatives | | | $ | 449,610 | | | | $ | (2,002,327 | ) | | | $ | (1,552,717 | ) | | | $ | — | | | | $ | (1,552,717 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
296
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Fund/Sub-adviser/Counterparty | | Derivative Assets
Subject to
an MA | | Derivative Liabilities
Subject to
an MA | | Value of
Derivatives Subject to
an MA | | Collateral
(Received)/
Pledged | | Net Exposure |
International Equity | | | | | | | | | | | | | | | | | | | | | | | | | |
Sub-adviser A | | | | | | | | | | | | | | | | | | | | | | | | | |
BAR | | | $ | 612,380 | | | | $ | (31,855 | ) | | | $ | 580,525 | | | | $ | — | | | | $ | 580,525 | |
Other Counterparties* | | | | 1,399,627 | | | | | (3,203,185 | ) | | | | (1,803,558 | ) | | | | 1,710,000 | | | | | (93,558 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Derivatives | | | $ | 2,012,007 | | | | $ | (3,235,040 | ) | | | $ | (1,223,033 | ) | | | $ | 1,710,000 | | | | $ | 486,967 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Emerging Markets Equity | | | | | | | | | | | | | | | | | | | | | | | | | |
Sub-adviser A | | | | | | | | | | | | | | | | | | | | | | | | | |
Other Counterparties* | | | $ | 1,587,940 | | | | $ | (581,337 | ) | | | $ | 1,006,603 | | | | $ | (945,386 | ) | | | $ | 61,217 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Derivatives | | | $ | 1,587,940 | | | | $ | (581,337 | ) | | | $ | 1,006,603 | | | | $ | (945,386 | ) | | | $ | 61,217 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
*Other Counterparties represent amounts that are held with counterparties where the absolute value of the total net exposure is less than 0.05% of the net assets of the respective Fund. Those holdings are deemed individually immaterial to the respective Fund and are listed collectively.
Additional information about master netting arrangements can be found in the Repurchase Agreements and Securities Lending sections of the Notes to Financial Statements.
297
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 |
| | 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, 2016.
| | | | | | | | | | | | | | | | | | | | |
| | | Asset Derivative Value | |
| Fund | | Total Value
at
12/31/16 | | | Interest Rate
Contracts | | | Foreign Exchange
Contracts | | | Credit
Contracts | | | Equity
Contracts | |
MyDestination 2005 | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 5,423 | | | $ | 5,423 | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Low-Duration Bond | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | 2,593,545 | | | $ | — | | | $ | 2,593,545 | | | $ | — | | | $ | — | |
Futures | | | 290,704 | | | | 290,704 | | | | — | | | | — | | | | — | |
Purchased Options | | | 93,048 | | | | 93,048 | | | | — | | | | — | | | | — | |
Swaps | | | 181,959 | | | | 181,959 | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 3,159,256 | | | $ | 565,711 | | | $ | 2,593,545 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Medium-Duration Bond | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | 3,325,831 | | | $ | — | | | $ | 3,325,831 | | | $ | — | | | $ | — | |
Futures | | | 815,228 | | | | 815,228 | | | | — | | | | — | | | | — | |
Purchased Options | | | 1,847,251 | | | | 1,847,251 | | | | — | | | | — | | | | — | |
Swaps | | | 2,675,698 | | | | 2,338,069 | | | | — | | | | 337,629 | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 8,664,008 | | | $ | 5,000,548 | | | $ | 3,325,831 | | | $ | 337,629 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Global Bond Fund | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | 449,610 | | | $ | — | | | $ | 449,610 | | | $ | — | | | $ | — | |
Futures | | | 170,573 | | | | 170,573 | | | | — | | | | — | | | | — | |
Purchased Options | | | 871,293 | | | | — | | | | 871,293 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 1,491,476 | | | $ | 170,573 | | | $ | 1,320,903 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Defensive Market Strategies | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | 433 | | | $ | — | | | $ | 433 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
298
| | | | | | | | | | | | | | | | | | | | |
| | | Asset Derivative Value | |
| Fund | | Total Value
at
12/31/16 | | | Interest Rate
Contracts | | | Foreign Exchange
Contracts | | | Credit
Contracts | | | Equity
Contracts | |
International Equity | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | 908,668 | | | $ | — | | | $ | 908,668 | | | $ | — | | | $ | — | |
Futures | | | 2,149,617 | | | | — | | | | — | | | | — | | | | 2,149,617 | |
Swaps | | | 281,711 | | | | — | | | | — | | | | — | | | | 281,711 | |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 3,339,996 | | | $ | — | | | $ | 908,668 | | | $ | — | | | $ | 2,431,328 | |
| | | | | | | | | | | | | | | | | | | | |
Emerging Markets Equity | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | 1,354,959 | | | $ | — | | | $ | 1,354,959 | | | $ | — | | | $ | — | |
Futures | | | 443,255 | | | | — | | | | — | | | | — | | | | 443,255 | |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 1,798,214 | | | $ | — | | | $ | 1,354,959 | | | $ | — | | | $ | 443,255 | |
| | | | | | | | | | | | | | | | | | | | |
Inflation Protected Bond | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | 400,851 | | | $ | — | | | $ | 400,851 | | | $ | — | | | $ | — | |
Futures | | | 227,479 | | | | 227,479 | | | | — | | | | — | | | | — | |
Purchased Options | | | 217,995 | | | | 127,500 | | | | 90,495 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 846,325 | | | $ | 354,979 | | | $ | 491,346 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Global Natural | | | | | | | | | | | | | | | | | | | | |
Resources Equity | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 40,643 | | | $ | — | | | $ | — | | | $ | — | | | $ | 40,643 | |
| | | | | | | | | | | | | | | | | | | | |
| |
| | | Liability Derivative Value | |
| Fund | | Total Value
at
12/31/16 | | | Interest Rate
Contracts | | | Foreign Exchange
Contracts | | | Credit
Contracts | | | Equity
Contracts | |
MyDestination 2005 | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 1,573 | | | $ | — | | | $ | — | | | $ | — | | | $ | 1,573 | |
| | | | | | | | | | | | | | | | | | | | |
MyDestination 2015 | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 39,534 | | | $ | 15,633 | | | $ | — | | | $ | — | | | $ | 23,901 | |
| | | | | | | | | | | | | | | | | | | | |
MyDestination 2025 | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 76,877 | | | $ | 23,077 | | | $ | — | | | $ | — | | | $ | 53,800 | |
| | | | | | | | | | | | | | | | | | | | |
MyDestination 2035 | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 79,204 | | | $ | 10,422 | | | $ | — | | | $ | — | | | $ | 68,782 | |
| | | | | | | | | | | | | | | | | | | | |
MyDestination 2045 | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 49,968 | | | $ | 2,233 | | | $ | — | | | $ | — | | | $ | 47,735 | |
| | | | | | | | | | | | | | | | | | | | |
MyDestination 2055 | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 3,773 | | | $ | — | | | $ | — | | | $ | — | | | $ | 3,773 | |
| | | | | | | | | | | | | | | | | | | | |
Conservative Allocation | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 7,949 | | | $ | 693 | | | $ | — | | | $ | — | | | $ | 7,256 | |
| | | | | | | | | | | | | | | | | | | | |
Balanced Allocation | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 122,073 | | | $ | 31,470 | | | $ | — | | | $ | — | | | $ | 90,603 | |
| | | | | | | | | | | | | | | | | | | | |
Growth Allocation | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 140,927 | | | $ | 23,337 | | | $ | — | | | $ | — | | | $ | 117,590 | |
| | | | | | | | | | | | | | | | | | | | |
Aggressive Allocation | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 99,064 | | | $ | — | | | $ | — | | | $ | — | | | $ | 99,064 | |
| | | | | | | | | | | | | | | | | | | | |
299
| | | | | | | | | | | | | | | | | | | | |
| | | Liability Derivative Value | |
| Fund | | Total Value
at
12/31/16 | | | Interest Rate
Contracts | | | Foreign Exchange
Contracts | | | Credit
Contracts | | | Equity
Contracts | |
Low-Duration Bond | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | 390,694 | | | $ | — | | | $ | 390,694 | | | $ | — | | | $ | — | |
Futures | | | 274,516 | | | | 274,516 | | | | — | | | | — | | | | — | |
Swaps | | | 675,987 | | | | 564,548 | | | | — | | | | 111,439 | | | | — | |
Written Options | | | 53,141 | | | | 53,141 | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 1,394,338 | | | $ | 892,205 | | | $ | 390,694 | | | $ | 111,439 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Medium-Duration Bond | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | 694,088 | | | $ | — | | | $ | 694,088 | | | $ | — | | | $ | — | |
Futures | | | 1,393,115 | | | | 1,393,115 | | | | — | | | | — | | | | — | |
Swaps | | | 792,250 | | | | 729,240 | | | | — | | | | 63,010 | | | | — | |
Written Options | | | 2,574,861 | | | | 2,574,861 | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 5,454,314 | | | $ | 4,697,216 | | | $ | 694,088 | | | $ | 63,010 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Global Bond Fund | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | 2,002,327 | | | $ | — | | | $ | 2,002,327 | | | $ | — | | | $ | — | |
Futures | | | 110,733 | | | | 110,733 | | | | — | | | | — | | | | — | |
Written Options | | | 1,547 | | | | 1,547 | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 2,114,607 | | | $ | 112,280 | | | $ | 2,002,327 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Defensive Market Strategies | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | 81,772 | | | $ | — | | | $ | 81,772 | | | $ | — | | | $ | — | |
Futures | | | 38,690 | | | | — | | | | — | | | | — | | | | 38,690 | |
Written Options | | | 705,781 | | | | — | | | | — | | | | — | | | | 705,781 | |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 826,243 | | | $ | — | | | $ | 81,772 | | | $ | — | | | $ | 744,471 | |
| | | | | | | | | | | | | | | | | | | | |
Equity Index | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 128,715 | | | $ | — | | | $ | — | | | $ | — | | | $ | 128,715 | |
| | | | | | | | | | | | | | | | | | | | |
Value Equity | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 172,183 | | | $ | — | | | $ | — | | | $ | — | | | $ | 172,183 | |
| | | | | | | | | | | | | | | | | | | | |
Growth Equity | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 207,890 | | | $ | — | | | $ | — | | | $ | — | | | $ | 207,890 | |
| | | | | | | | | | | | | | | | | | | | |
Small Cap Equity | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 544,618 | | | $ | — | | | $ | — | | | $ | — | | | $ | 544,618 | |
| | | | | | | | | | | | | | | | | | | | |
International Equity Index | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 37,291 | | | $ | — | | | $ | — | | | $ | — | | | $ | 37,291 | |
| | | | | | | | | | | | | | | | | | | | |
International Equity | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | 3,018,557 | | | $ | — | | | $ | 3,018,557 | | | $ | — | | | $ | — | |
Futures | | | 1,552,463 | | | | — | | | | — | | | | — | | | | 1,552,463 | |
Swaps | | | 32,783 | | | | — | | | | — | | | | — | | | | 32,783 | |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 4,603,803 | | | $ | — | | | $ | 3,018,557 | | | $ | — | | | $ | 1,585,246 | |
| | | | | | | | | | | | | | | | | | | | |
300
| | | | | | | | | | | | | | | | | | | | |
| | | Liability Derivative Value | |
| Fund | | Total Value
at
12/31/16 | | | Interest Rate
Contracts | | | Foreign Exchange
Contracts | | | Credit
Contracts | | | Equity
Contracts | |
Emerging Markets Equity | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | 421,788 | | | $ | — | | | $ | 421,788 | | | $ | — | | | $ | — | |
Futures | | | 264,017 | | | | — | | | | — | | | | — | | | | 264,017 | |
Swaps | | | 51,731 | | | | — | | | | — | | | | — | | | | 51,731 | |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 737,536 | | | $ | — | | | $ | 421,788 | | | $ | — | | | $ | 315,748 | |
| | | | | | | | | | | | | | | | | | | | |
Inflation Protected Bond | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | 131,720 | | | $ | — | | | $ | 131,720 | | | $ | — | | | $ | — | |
Futures | | | 201,460 | | | | 201,460 | | | | — | | | | — | | | | — | |
Written Options | | | 114,972 | | | | — | | | | 86,972 | | | | — | | | | 28,000 | |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 448,152 | | | $ | 201,460 | | | $ | 218,692 | | | $ | — | | | $ | 28,000 | |
| | | | | | | | | | | | | | | | | | | | |
Real Estate Securities | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 92,554 | | | $ | — | | | $ | — | | | $ | — | | | $ | 92,554 | |
| | | | | | | | | | | | | | | | | | | | |
Global Natural | | | | | | | | | | | | | | | | | | | | |
Resources Equity | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 192,417 | | | $ | — | | | $ | 102,333 | | | $ | — | | | $ | 90,084 | |
| | | | | | | | | | | | | | | | | | | | |
301
| | |
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 |
| | Net realized gain (loss) from: Option contracts written |
| | Net realized gain (loss) from: Option contracts purchased |
| | Net change in unrealized appreciation (depreciation) on: Foreign currency |
| | Net change in unrealized appreciation (depreciation) on: Option contracts purchased |
| | Net change in unrealized appreciation (depreciation) on: Option contracts written |
| 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
12/31/16 | | | Interest Rate
Contracts | | | Foreign Exchange
Contracts | | | Credit
Contracts | | | Equity
Contracts | |
MyDestination 2005 | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 47,734 | | | $ | (11,793 | ) | | $ | — | | | $ | — | | | $ | 59,527 | |
| | | | | | | | | | | | | | | | | | | | |
MyDestination 2015 | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 448,779 | | | $ | (30,003 | ) | | $ | — | | | $ | — | | | $ | 478,782 | |
| | | | | | | | | | | | | | | | | | | | |
MyDestination 2025 | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 778,520 | | | $ | (73,357 | ) | | $ | — | | | $ | — | | | $ | 851,877 | |
| | | | | | | | | | | | | | | | | | | | |
MyDestination 2035 | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 755,529 | | | $ | (18,084 | ) | | $ | — | | | $ | — | | | $ | 773,613 | |
| | | | | | | | | | | | | | | | | | | | |
MyDestination 2045 | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 595,811 | | | $ | 2,030 | | | $ | — | | | $ | — | | | $ | 593,781 | |
| | | | | | | | | | | | | | | | | | | | |
MyDestination 2055 | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 110,788 | | | $ | — | | | $ | — | | | $ | — | | | $ | 110,788 | |
| | | | | | | | | | | | | | | | | | | | |
Conservative Allocation | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 140,525 | | | $ | (15,840 | ) | | $ | — | | | $ | — | | | $ | 156,365 | |
| | | | | | | | | | | | | | | | | | | | |
Balanced Allocation | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 1,312,012 | | | $ | 117,262 | | | $ | — | | | $ | — | | | $ | 1,194,750 | |
| | | | | | | | | | | | | | | | | | | | |
Growth Allocation | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 1,337,248 | | | $ | 41,001 | | | $ | — | | | $ | — | | | $ | 1,296,247 | |
| | | | | | | | | | | | | | | | | | | | |
Aggressive Allocation | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 1,543,480 | | | $ | — | | | $ | — | | | $ | — | | | $ | 1,543,480 | |
| | | | | | | | | | | | | | | | | | | | |
302
| | | | | | | | | | | | | | | | | | | | |
| | | Realized Gain (Loss) on Derivatives Recognized in Income | |
| | | Total Value
at
12/31/16 | | | Interest Rate
Contracts | | | Foreign Exchange
Contracts | | | Credit
Contracts | | | Equity
Contracts | |
Low-Duration Bond | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | (969,813 | ) | | $ | — | | | $ | (969,813 | ) | | $ | — | | | $ | — | |
Futures | | | 762,388 | | | | 762,388 | | | | — | | | | — | | | | — | |
Purchased Options | | | 471,043 | | | | 471,043 | | | | — | | | | — | | | | — | |
Swaps | | | (401,620 | ) | | | (925,335 | ) | | | — | | | | 523,715 | | | | — | |
Written Options | | | (429,069 | ) | | | (509,871 | ) | | | 19,619 | | | | 61,183 | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | (567,071 | ) | | $ | (201,775 | ) | | $ | (950,194 | ) | | $ | 584,898 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Medium-Duration Bond | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | 304,534 | | | $ | — | | | $ | 304,534 | | | $ | — | | | $ | — | |
Futures | | | (3,247,678 | ) | | | (3,234,326 | ) | | | (13,352 | ) | | | — | | | | — | |
Purchased Options | | | (1,836,238 | ) | | | (1,805,536 | ) | | | (30,702 | ) | | | — | | | | — | |
Swaps | | | (9,895,135 | ) | | | (9,186,147 | ) | | | — | | | | (708,988 | ) | | | — | |
Written Options | | | 2,354,750 | | | | 2,044,493 | | | | 310,257 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | (12,319,767 | ) | | $ | (12,181,516 | ) | | $ | 570,737 | | | $ | (708,988 | ) | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Global Bond | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | 1,866,154 | | | $ | — | | | $ | 1,866,154 | | | $ | — | | | $ | — | |
Futures | | | 260,059 | | | | 260,059 | | | | — | | | | — | | | | — | |
Purchased Options | | | (388,314 | ) | | | — | | | | (388,314 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 1,737,899 | | | $ | 260,059 | | | $ | 1,477,840 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Defensive Market Strategies | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | 332,606 | | | $ | — | | | $ | 332,606 | | | $ | — | | | $ | — | |
Futures | | | 2,371,381 | | | | — | | | | — | | | | — | | | | 2,371,381 | |
Purchased Options | | | (446 | ) | | | — | | | | — | | | | — | | | | (446 | ) |
Written Options | | | 7,290,501 | | | | — | | | | — | | | | — | | | | 7,290,501 | |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 9,994,042 | | | $ | — | | | $ | 332,606 | | | $ | — | | | $ | 9,661,436 | |
| | | | | | | | | | | | | | | | | | | | |
Equity Index | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 2,901,921 | | | $ | — | | | $ | — | | | $ | — | | | $ | 2,901,921 | |
| | | | | | | | | | | | | | | | | | | | |
Value Equity | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 6,008,768 | | | $ | — | | | $ | — | | | $ | — | | | $ | 6,008,768 | |
| | | | | | | | | | | | | | | | | | | | |
Growth Equity | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 5,581,688 | | | $ | — | | | $ | — | | | $ | — | | | $ | 5,581,688 | |
| | | | | | | | | | | | | | | | | | | | |
Small Cap Equity | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 4,009,845 | | | $ | — | | | $ | — | | | $ | — | | | $ | 4,009,845 | |
| | | | | | | | | | | | | | | | | | | | |
International Equity Index | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 288,663 | | | $ | — | | | $ | — | | | $ | — | | | $ | 288,663 | |
| | | | | | | | | | | | | | | | | | | | |
International Equity | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | 10,955,594 | | | $ | — | | | $ | 10,955,594 | | | $ | — | | | $ | — | |
Futures | | | 3,367,734 | | | | — | | | | — | | | | — | | | | 3,367,734 | |
Swaps | | | (424,145 | ) | | | — | | | | — | | | | — | | | | (424,145 | ) |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 13,899,183 | | | $ | — | | | $ | 10,955,594 | | | $ | — | | | $ | 2,943,589 | |
| | | | | | | | | | | | | | | | | | | | |
Emerging Markets Equity | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | 2,984,825 | | | $ | — | | | $ | 2,984,825 | | | $ | — | | | $ | — | |
Futures | | | 2,389,336 | | | | — | | | | — | | | | — | | | | 2,389,336 | |
Swaps | | | 98,542 | | | | — | | | | — | | | | — | | | | 98,542 | |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 5,472,703 | | | $ | — | | | $ | 2,984,825 | | | $ | — | | | $ | 2,487,878 | |
| | | | | | | | | | | | | | | | | | | | |
303
| | | | | | | | | | | | | | | | | | | | |
| | | Realized Gain (Loss) on Derivatives Recognized in Income | |
| | | Total Value
at
12/31/16 | | | Interest Rate
Contracts | | | Foreign Exchange
Contracts | | | Credit
Contracts | | | Equity
Contracts | |
Inflation Protected Bond | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | (759,398 | ) | | $ | — | | | $ | (759,398 | ) | | $ | — | | | $ | — | |
Futures | | | (588,148 | ) | | | (588,148 | ) | | | — | | | | — | | | | — | |
Purchased Options | | | (2,723,022 | ) | | | (595,913 | ) | | | (2,127,109 | ) | | | — | | | | — | |
Written Options | | | 1,869,454 | | | | 116,815 | | | | 1,753,146 | | | | — | | | | (507 | ) |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | (2,201,114 | ) | | $ | (1,067,246 | ) | | $ | (1,133,361 | ) | | $ | — | | | $ | (507 | ) |
| | | | | | | | | | | | | | | | | | | | |
Real Estate Securities | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 1,604,097 | | | $ | — | | | $ | — | | | $ | — | | | $ | 1,604,097 | |
| | | | | | | | | | | | | | | | | | | | |
Global Natural | | | | | | | | | | | | | | | | | | | | |
Resources Equity | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 1,517,932 | | | $ | — | | | $ | (51,598 | ) | | $ | — | | | $ | 1,569,530 | |
| | | | | | | | | | | | | | | | | | | | |
| |
| | | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | |
| | | Total Value
at
12/31/16 | | | Interest Rate
Contracts | | | Foreign Exchange
Contracts | | | Credit
Contracts | | | Equity
Contracts | |
MyDestination 2005 | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 10,352 | | | $ | 7,290 | | | $ | — | | | $ | — | | | $ | 3,062 | |
| | | | | | | | | | | | | | | | | | | | |
MyDestination 2015 | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | (49,146 | ) | | $ | (10,712 | ) | | $ | — | | | $ | — | | | $ | (38,434 | ) |
| | | | | | | | | | | | | | | | | | | | |
MyDestination 2025 | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | (95,469 | ) | | $ | (17,101 | ) | | $ | — | | | $ | — | | | $ | (78,368 | ) |
| | | | | | | | | | | | | | | | | | | | |
MyDestination 2035 | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | (104,886 | ) | | $ | (8,626 | ) | | $ | — | | | $ | — | | | $ | (96,260 | ) |
| | | | | | | | | | | | | | | | | | | | |
MyDestination 2045 | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | (71,719 | ) | | $ | (1,874 | ) | | $ | — | | | $ | — | | | $ | (69,845 | ) |
| | | | | | | | | | | | | | | | | | | | |
MyDestination 2055 | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | (253 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | (253 | ) |
| | | | | | | | | | | | | | | | | | | | |
Conservative Allocation | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | (11,179 | ) | | $ | 4,821 | | | $ | — | | | $ | — | | | $ | (16,000 | ) |
| | | | | | | | | | | | | | | | | | | | |
Balanced Allocation | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | (215,863 | ) | | $ | (24,167 | ) | | $ | — | | | $ | — | | | $ | (191,696 | ) |
| | | | | | | | | | | | | | | | | | | | |
Growth Allocation | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | (243,335 | ) | | $ | (20,392 | ) | | $ | — | | | $ | — | | | $ | (222,943 | ) |
| | | | | | | | | | | | | | | | | | | | |
Aggressive Allocation | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | (223,492 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | (223,492 | ) |
| | | | | | | | | | | | | | | | | | | | |
Low-Duration Bond | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | 2,430,775 | | | $ | — | | | $ | 2,430,775 | | | $ | — | | | $ | — | |
Futures | | | 263,788 | | | | 263,788 | | | | — | | | | — | | | | — | |
Purchased Options | | | 237,261 | | | | 237,261 | | | | — | | | | — | | | | — | |
Swaps | | | (899,105 | ) | | | (760,478 | ) | | | — | | | | (138,627 | ) | | | — | |
Written Options | | | (482,274 | ) | | | (482,274 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 1,550,445 | | | $ | (741,703 | ) | | $ | 2,430,775 | | | $ | (138,627 | ) | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
304
| | | | | | | | | | | | | | | | | | | | |
| |
| | | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | |
| | | Total Value
at
12/31/16 | | | Interest Rate
Contracts | | | Foreign Exchange
Contracts | | | Credit
Contracts | | | Equity
Contracts | |
Medium-Duration Bond | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | 1,975,647 | | | $ | — | | | $ | 1,975,647 | | | $ | — | | | $ | — | |
Futures | | | 507,392 | | | | 505,966 | | | | 1,426 | | | | — | | | | — | |
Purchased Options | | | 478,350 | | | | 478,350 | | | | — | | | | — | | | | — | |
Swaps | | | 6,512,646 | | | | 6,223,923 | | | | (25,302 | ) | | | 314,025 | | | | — | |
Written Options | | | (1,220,835 | ) | | | (1,099,834 | ) | | | (121,001 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 8,253,200 | | | $ | 6,108,405 | | | $ | 1,830,770 | | | $ | 314,025 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Global Bond | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | (2,042,770 | ) | | $ | — | | | $ | (2,042,770 | ) | | $ | �� | | | $ | — | |
Futures | | | 29,451 | | | | 29,451 | | | | — | | | | — | | | | — | |
Purchased Options | | | 683,076 | | | | — | | | | 683,076 | | | | — | | | | — | |
Written Options | | | 15,147 | | | | 15,147 | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | (1,315,096 | ) | | $ | 44,598 | | | $ | (1,359,694 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Defensive Market Strategies | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | (94,176 | ) | | $ | — | | | $ | (94,176 | ) | | $ | — | | | $ | — | |
Futures | | | 35,027 | | | | — | | | | — | | | | — | | | | 35,027 | |
Written Options | | | (307,844 | ) | | | — | | | | — | | | | — | | | | (307,844 | ) |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | (366,993 | ) | | $ | — | | | $ | (94,176 | ) | | $ | — | | | $ | (272,817 | ) |
| | | | | | | | | | | | | | | | | | | | |
Equity Index | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | (87,166 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | (87,166 | ) |
| | | | | | | | | | | | | | | | | | | | |
Value Equity | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | (77,286 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | (77,286 | ) |
| | | | | | | | | | | | | | | | | | | | |
Growth Equity | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | (63,290 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | (63,290 | ) |
| | | | | | | | | | | | | | | | | | | | |
Small Cap Equity | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | (785,942 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | (785,942 | ) |
| | | | | | | | | | | | | | | | | | | | |
International Equity Index | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | (124,472 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | (124,472 | ) |
| | | | | | | | | | | | | | | | | | | | |
International Equity | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | (5,585,235 | ) | | $ | — | | | $ | (5,585,235 | ) | | $ | — | | | $ | — | |
Futures | | | (438,194 | ) | | | — | | | | — | | | | — | | | | (438,194 | ) |
Swaps | | | 250,372 | | | | — | | | | — | | | | — | | | | 250,372 | |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | (5,773,057 | ) | | $ | — | | | $ | (5,585,235 | ) | | $ | — | | | $ | (187,822 | ) |
| | | | | | | | | | | | | | | | | | | | |
Emerging Markets Equity | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | 431,263 | | | $ | — | | | $ | 431,263 | | | $ | — | | | $ | — | |
Futures | | | 333,819 | | | | — | | | | — | | | | — | | | | 333,819 | |
Swaps | | | (32,752 | ) | | | — | | | | — | | | | — | | | | (32,752 | ) |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 732,330 | | | $ | — | | | $ | 431,263 | | | $ | — | | | $ | 301,067 | |
| | | | | | | | | | | | | | | | | | | | |
Inflation Protected Bond | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | 708,712 | | | $ | — | | | $ | 708,712 | | | $ | — | | | $ | — | |
Futures | | | 173,241 | | | | 173,241 | | | | — | | | | — | | | | — | |
Purchased Options | | | (18,511 | ) | | | (74,440 | ) | | | 55,929 | | | | — | | | | — | |
Written Options | | | (83,162 | ) | | | 95,153 | | | | (178,315 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 780,280 | | | $ | 193,954 | | | $ | 586,326 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
305
| | | | | | | | | | | | | | | | | | | | |
| |
| | | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | |
| | | Total Value
at
12/31/16 | | | Interest Rate
Contracts | | | Foreign Exchange
Contracts | | | Credit
Contracts | | | Equity
Contracts | |
Real Estate Securities | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | (132,084 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | (132,084 | ) |
| | | | | | | | | | | | | | | | | | | | |
Global Natural | | | | | | | | | | | | | | | | | | | | |
Resources Equity | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | (151,774 | ) | | $ | — | | | $ | (102,333 | ) | | $ | — | | | $ | (49,441 | ) |
| | | | | | | | | | | | | | | | | | | | |
Volume of Derivative Transactions
The table below summarizes the average balance of derivative holdings by fund during the year ended December 31, 2016. The average balance of derivatives held is indicative of the trading volume of each Fund.
| | | | | | | | | | | | | | | | |
| | | Long Derivative Volume | |
| | | Forward Foreign
Currency
Contracts(1) | | | Financial
Futures
Contracts(2) | | | Purchased
Option
Contracts(3) | | | Swap
Contracts(4) | |
MyDestination 2005 | | | — | | | | 1,648,725 | | | | — | | | | — | |
MyDestination 2015 | | | — | | | | 6,678,125 | | | | — | | | | — | |
MyDestination 2025 | | | — | | | | 11,771,280 | | | | — | | | | — | |
MyDestination 2035 | | | — | | | | 9,384,867 | | | | — | | | | — | |
MyDestination 2045 | | | — | | | | 6,767,700 | | | | — | | | | — | |
MyDestination 2055 | | | — | | | | 913,089 | | | | — | | | | — | |
Conservative Allocation | | | — | | | | 6,438,325 | | | | — | | | | — | |
Balanced Allocation | | | — | | | | 28,926,266 | | | | — | | | | — | |
Growth Allocation | | | — | | | | 21,559,037 | | | | — | | | | — | |
Aggressive Allocation | | | — | | | | 18,609,217 | | | | — | | | | — | |
Low-Duration Bond | | | 698,943,716 | | | | 449,183,269 | | | | 152,700 | | | | 70,600,000 | |
Medium-Duration Bond | | | 7,947,872,667 | | | | 377,020,379 | | | | 653,122 | | | | 4,920,742,400 | |
Global Bond | | | 2,826,457,649 | | | | 41,322,957 | | | | 101,866 | | | | — | |
Defensive Market Strategies | | | 15,769,361 | | | | 22,460,498 | | | | — | | | | — | |
Equity Index | | | — | | | | 20,399,572 | | | | — | | | | — | |
Value Equity | | | — | | | | 40,948,550 | | | | — | | | | — | |
Growth Equity | | | — | | | | 48,290,964 | | | | — | | | | — | |
Small Cap Equity | | | — | | | | 19,109,771 | | | | — | | | | — | |
International Equity Index | | | — | | | | 6,842,376 | | | | — | | | | — | |
International Equity | | | 986,820,497 | | | | 102,743,310 | | | | — | | | | 22,932,544 | |
Emerging Markets Equity | | | 8,483,053,442 | | | | 40,544,561 | | | | — | | | | 2,268,653 | |
Inflation Protected Bond | | | 224,558,539 | | | | 35,655,804 | | | | 715,850 | | | | — | |
Real Estate Securities | | | — | | | | 10,648,354 | | | | — | | | | — | |
Global Natural Resources Equity | | | — | | | | 2,938,283 | | | | — | | | | — | |
306
| | | | | | | | | | | | | | | | |
| |
| | | Short Derivative Volume | |
| | | Forward Foreign
Currency
Contracts(1) | | | Financial
Futures
Contracts(2) | | | Written
Option
Contracts(5) | | | Swap
Contracts(4) | |
Low-Duration Bond | | | 36,043,356 | | | | 147,930,794 | | | | 374,204 | | | | 260,284,400 | |
Medium-Duration Bond | | | 96,067,513 | | | | 456,834,138 | | | | 825,351 | | | | 844,427,000 | |
Global Bond | | | 31,829,244 | | | | 27,660,112 | | | | 3,339 | | | | — | |
Defensive Market Strategies | | | 1,169,080 | | | | — | | | | 790,561 | | | | — | |
International Equity | | | 147,883,020 | | | | 37,828,258 | | | | — | | | | 8,112,927 | |
Emerging Markets Equity | | | 54,913,700 | | | | 8,364,916 | | | | — | | | | 9,899,546 | |
Inflation Protected Bond | | | 163,321,639 | | | | 58,054,216 | | | | 396,899 | | | | — | |
| (1) | Calculated based on the amount of currency purchased/sold, in its base currency, as presented in the section entitled “Forward Foreign Currency Contracts.” |
| (2) | Calculated based on the notional market value of the contracts, in their base currency, as presented in the section entitled “Financial Futures Contracts.” |
| (3) | Calculated based on the cost of purchased options as as presented in the Schedules of Investments for the applicable Funds. |
| (4) | Calculated based on the notional amount of the contracts, in their base currency, as presented in the Schedules of Investments for the applicable Funds. |
| (5) | Calculated based on the premiums received for written options as as presented in the Schedules of Investments for the applicable Funds. |
j. Dividends and Distributions to Shareholders
The Low-Duration Bond Fund, Medium-Duration Bond Fund, Extended-Duration Bond Fund, Inflation Protected Bond Fund, Global Bond Fund and Flexible Income Fund declare and pay dividends from net investment income monthly. The Money Market Fund declares income dividends daily and pays them monthly. Each of the Defensive Market Strategies Fund, Equity Index Fund, Real Estate Securities Fund, Value Equity Fund and Growth Equity Fund declares and pays dividends from net investment income semi-annually. Each of the other Funds (including all the Target Date Funds and Asset Allocation Funds) declares and pays dividends from net investment income annually. Each Fund also distributes to its shareholders at least annually any realized net capital gains and net gains, if any, from certain foreign currency transactions. Dividends and distributions to shareholders are recorded on the ex-dividend date.
k. Expenses
Expenses arising in connection with a Fund are charged directly to that Fund. Expenses common to all Funds are generally allocated to each Fund in proportion to their relative net assets. Each Class of shares bears its pro-rata portion of expenses attributable to its Class, except that each Class separately bears expenses related specifically to that Class, such as shareholder reporting, registration, transfer agent, shareholder servicing and distribution fees.
l. Security Transactions, Income and Realized Gains and Losses
Security transactions are accounted for on the date securities are purchased or sold (the trade date). Dividend income is recognized on the ex-dividend date, except certain dividends from foreign securities where the ex-date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Interest income is accrued daily, including the amortization of market premium and the accretion of market discount using the effective interest method. Realized gains and losses from security transactions are on an identified cost basis.
307
3. FEES AND OTHER TRANSACTIONS
a. Investment Advisory Fees (Affiliate)
Pursuant to a separate investment advisory agreement, GSCM 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 aggregate advisory fees and sub-adviser fees are included in the Statements of Assets and Liabilities and Statements of Operations under “Investment advisory fees”.
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, 2016, 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% |
Money Market | | 0.07% | | 0.06% |
Low-Duration Bond | | 0.11% | | 0.19% |
Medium-Duration Bond | | 0.13% | | 0.20% |
Extended-Duration Bond | | 0.25% | | 0.23% |
Global Bond | | 0.25% | | 0.25% |
Defensive Market Strategies | | 0.33% | | 0.31% |
Equity Index | | 0.08% | | 0.02% |
Value Equity | | 0.33% | | 0.23% |
Growth Equity | | 0.33% | | 0.39% |
Small Cap Equity | | 0.33% | | 0.63% |
International Equity Index | | 0.10% | | 0.05% |
International Equity | | 0.33% | | 0.41% |
Emerging Markets Equity | | 0.33% | | 0.73% |
Inflation Protected Bond | | 0.20% | | 0.11% |
Flexible Income | | 0.20% | | 0.48% |
Real Estate Securities | | 0.30% | | 0.42% |
Global Natural Resources Equity | | 0.36% | | 0.53% |
308
For the year ended December 31, 2016, advisory fees and waivers for each Fund were as follows:
| | | | | | | | | | | | |
| | | Gross
Advisory Fee | | | Waiver/
Reimbursements(1) | | | Net Advisory Fee
(Reimbursement) | |
MyDestination 2005 | | $ | 105,200 | | | $ | (170,089 | ) | | $ | (64,889 | ) |
MyDestination 2015 | | | 509,301 | | | | (234,596 | ) | | | 274,705 | |
MyDestination 2025 | | | 777,736 | | | | (282,323 | ) | | | 495,413 | |
MyDestination 2035 | | | 427,938 | | | | (220,516 | ) | | | 207,422 | |
MyDestination 2045 | | | 311,934 | | | | (200,534 | ) | | | 111,400 | |
MyDestination 2055 | | | 48,857 | | | | (146,729 | ) | | | (97,872 | ) |
Conservative Allocation | | | 371,924 | | | | (98,389 | ) | | | 273,535 | |
Balanced Allocation | | | 1,491,723 | | | | (229,910 | ) | | | 1,261,813 | |
Growth Allocation | | | 1,082,644 | | | | (90,247 | ) | | | 992,397 | |
Aggressive Allocation | | | 912,600 | | | | (240 | ) | | | 912,360 | |
Money Market(2) | | | 896,088 | | | | — | | | | 896,088 | |
Low-Duration Bond | | | 973,596 | | | | (62,363 | ) | | | 911,233 | |
Medium-Duration Bond | | | 1,196,264 | | | | (91,563 | ) | | | 1,104,701 | |
Extended-Duration Bond | | | 683,602 | | | | (26,552 | ) | | | 657,050 | |
Global Bond | | | 1,015,756 | | | | (54,007 | ) | | | 961,749 | |
Defensive Market Strategies | | | 2,258,682 | | | | (59,628 | ) | | | 2,199,054 | |
Equity Index | | | 524,639 | | | | (37,381 | ) | | | 487,258 | |
Value Equity | | | 4,080,212 | | | | (87,710 | ) | | | 3,992,502 | |
Growth Equity | | | 4,442,920 | | | | (110,503 | ) | | | 4,332,417 | |
Small Cap Equity | | | 1,643,623 | | | | (72,379 | ) | | | 1,571,244 | |
International Equity Index | | | 119,705 | | | | (98,308 | ) | | | 21,397 | |
International Equity | | | 4,185,687 | | | | (115,386 | ) | | | 4,070,301 | |
Emerging Markets Equity | | | 1,084,531 | | | | (639,785 | ) | | | 444,746 | |
Inflation Protected Bond | | | 606,104 | | | | (16,409 | ) | | | 589,695 | |
Flexible Income | | | 300,967 | | | | 19,998 | | | | 320,965 | |
Real Estate Securities | | | 751,201 | | | | (62,548 | ) | | | 688,653 | |
Global Natural Resources Equity | | | 757,564 | | | | (24,465 | ) | | | 733,099 | |
| (1) | Also includes Shareholder Servicing Fee waivers as disclosed in Note 3b. |
| (2) | The Statement of Operations “Expenses waived/reimbursed net of amount recaptured” for the Money Market Fund includes shareholder servicing fee waiver and other waivers. |
b. Shareholder Servicing Fees (Affiliate)
The Board of Trustees has adopted a Shareholder Service Plan for the Investor Class of each Fund. Under this Plan, the Investor Class of each Fund, was authorized to pay fees of 0.25% of average daily net assets to parties that provide services for and maintain shareholder accounts.
GuideStone Financial Resources (or its affiliate) voluntarily agreed to waive shareholder servicing fees and/or reimburse expenses for the Investor 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 with the consent of the Board of Trustees at any time.
GSCM and/or its affiliates have agreed to waive shareholder service fees attributable to the Funds’ investment of cash balances in the Money Market Fund through April 30, 2017.
309
c. Expense Limitation (Affiliate)
On February 26, 2016, GSCM agreed, through April 30, 2017, to waive fees and reimburse expenses of the Institutional Class and Investor Class of each Fund (excluding interest, taxes, brokerage commissions, expense incurred in connection with acquired fund fees, expenses on securities sold short, and extraordinary expenses) which exceed, in the aggregate, the annual percentage rate of each Class’s average daily net assets as follows:
| | | | | | | | | | | | | | | | |
| | | For the Period
January 1, 2016
to
April 30, 2016 | | | For the Period
May 1, 2016
to
December 31, 2016 | |
Fund | | Institutional
Class | | | Investor
Class | | | Institutional
Class | | | Investor
Class | |
MyDestination 2005 | | | N/A | | | | 0.35% | | | | N/A | | | | 0.35% | |
MyDestination 2015 | | | N/A | | | | 0.35% | | | | N/A | | | | 0.35% | |
MyDestination 2025 | | | N/A | | | | 0.35% | | | | N/A | | | | 0.35% | |
MyDestination 2035 | | | N/A | | | | 0.35% | | | | N/A | | | | 0.35% | |
MyDestination 2045 | | | N/A | | | | 0.35% | | | | N/A | | | | 0.35% | |
MyDestination 2055 | | | N/A | | | | 0.35% | | | | N/A | | | | 0.35% | |
Conservative Allocation | | | N/A | | | | 0.35% | | | | N/A | | | | N/A | |
Global Bond | | | N/A | | | | 0.92% | | | | N/A | | | | N/A | |
Small Cap Equity | | | 1.03% | | | | 1.29% | | | | N/A | | | | N/A | |
International Equity Index | | | 0.57% | | | | N/A | | | | 0.57% | | | | N/A | |
Emerging Markets Equity | | | 1.28% | | | | 1.55% | | | | 1.32% | | | | 1.57% | |
Flexible Income | | | N/A | | | | 1.12% | | | | N/A | | | | 1.12% | |
Real Estate Securities | | | N/A | | | | 1.12% | | | | N/A | | | | N/A | |
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, 2016, for those funds that had operating expenses in excess of the expense limitation paid, waived or assumed by GSCM during the limitation period, the amounts subject to possible future reimbursement under the expense limitation agreement are as follow:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Institutional Class | | | Investor Class | |
| | | 2014 | | | 2015 | | | 2016 | | | 2014 | | | 2015 | | | 2016 | |
MyDestination 2005 | | | N/A | | | | N/A | | | | N/A | | | $ | 32,879 | | | $ | 96,582 | | | $ | 151,771 | |
MyDestination 2015 | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | 93,914 | | | | 149,936 | |
MyDestination 2025 | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | 126,742 | | | | 185,515 | |
MyDestination 2035 | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | 118,651 | | | | 182,759 | |
MyDestination 2045 | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | 98,363 | | | | 173,281 | |
MyDestination 2055 | | | N/A | | | | N/A | | | | N/A | | | | 91,150 | | | | 110,496 | | | | 142,645 | |
International Equity Index | | | N/A | | | | N/A | | | $ | 98,252 | | | | N/A | | | | N/A | | | | N/A | |
Emerging Markets Equity | | $ | 176,022 | | | $ | 415,435 | | | | 501,656 | | | | 849,038 | | | | 327,548 | | | | 113,682 | |
Flexible Income | | | N/A | | | | N/A | | | | N/A | | | | — | | | | 17,331 | | | | N/A | |
310
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. These payments can be found on the Statement of Operations under the heading “Fees Paid Indirectly.”
| | | | |
Fund | | Expenses Paid
Through Brokerage
Service Arrangements | |
Value Equity | | $ | 25,000 | |
Growth Equity | | | 19,000 | |
Small Cap Equity | | | 48,601 | |
International Equity | | | 7,000 | |
Emerging Markets Equity | | | 4,000 | |
Real Estate Securities | | | 21,209 | |
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, 2016, BNY Mellon received $3,273,633 in aggregate fees and expenses for services rendered under the various agreements described above.
Foreside Funds Distributors LLC serves as the Underwriter and does not receive any fees in its capacity as Underwriter from GuideStone Funds. The fees are paid by GSCM.
311
f. Investments in Affiliates
The Target Date, Asset Allocation Funds do not invest in the underlying Select Funds for the purpose of exercising management or control; however, investments made by each Target Date 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, 2016, the Target Date 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 | | MyDestination
2005 | | | MyDestination
2015 | | | MyDestination
2025 | | | MyDestination
2035 | | | MyDestination
2045 | | | MyDestination
2055 | |
Low-Duration Bond | | | 5.06 | % | | | 6.69 | % | | | 1.38 | % | | | 0.03 | % | | | — | | | | — | |
Medium-Duration Bond | | | 1.13 | | | | 9.44 | | | | 15.71 | | | | 7.12 | | | | 2.91 | % | | | 0.33 | % |
Global Bond | | | 0.69 | | | | 9.02 | | | | 10.06 | | | | 4.27 | | | | 1.75 | | | | — | |
Defensive Market Strategies | | | 1.17 | | | | 11.07 | | | | 18.25 | | | | 1.61 | | | | — | | | | — | |
Equity Index | | | 0.46 | | | | 3.93 | | | | 9.40 | | | | 8.62 | | | | 7.53 | | | | 1.40 | |
Value Equity | | | 0.26 | | | | 2.50 | | | | 5.85 | | | | 5.23 | | | | 4.49 | | | | 0.82 | |
Growth Equity | | | 0.26 | | | | 2.19 | | | | 5.22 | | | | 4.83 | | | | 4.21 | | | | 0.80 | |
Small Cap Equity | | | 0.21 | | | | 2.06 | | | | 4.90 | | | | 4.24 | | | | 3.71 | | | | 0.66 | |
International Equity Index | | | 1.53 | | | | 15.08 | | | | 32.37 | | | | 23.41 | | | | 19.91 | | | | 3.74 | |
International Equity | | | 0.32 | | | | 3.19 | | | | 6.88 | | | | 4.98 | | | | 4.20 | | | | 0.79 | |
Emerging Markets Equity | | | 0.48 | | | | 4.90 | | | | 10.38 | | | | 7.88 | | | | 6.41 | | | | 1.20 | |
Inflation Protected Bond | | | 3.83 | | | | 11.86 | | | | 6.67 | | | | — | | | | — | | | | — | |
Flexible Income | | | 3.50 | | | | 11.86 | | | | 10.71 | | | | — | | | | — | | | | — | |
Real Estate Securities | | | 0.48 | | | | 1.85 | | | | 4.39 | | | | 3.42 | | | | 2.59 | | | | 0.47 | |
Global Natural Resources Equity | | | 0.95 | | | | 3.55 | | | | 9.10 | | | | 7.04 | | | | 5.32 | | | | 0.91 | |
| | | | | | | | | | | | | | | | |
Fund | | Conservative Allocation
Fund | | | Balanced Allocation
Fund | | | Growth Allocation
Fund | | | Aggressive Allocation
Fund | |
Low-Duration Bond | | | 17.86 | % | | | 20.56 | % | | | 9.17 | % | | | — | |
Medium-Duration Bond | | | 3.90 | | | | 22.97 | | | | 10.33 | | | | — | |
Extended-Duration Bond | | | — | | | | 25.85 | | | | 11.59 | | | | — | |
Global Bond | | | 2.39 | | | | 27.63 | | | | 12.40 | | | | — | |
Defensive Market Strategies | | | 4.16 | | | | 14.38 | | | | — | | | | — | |
Value Equity | | | 1.54 | | | | 11.35 | | | | 15.45 | | | | 18.23 | % |
Growth Equity | | | 1.36 | | | | 10.45 | | | | 14.47 | | | | 17.19 | |
Small Cap Equity | | | 0.75 | | | | 5.87 | | | | 8.41 | | | | 9.67 | |
International Equity | | | 1.66 | | | | 12.86 | | | | 17.95 | | | | 21.17 | |
Emerging Markets Equity | | | 1.67 | | | | 13.07 | | | | 17.70 | | | | 21.11 | |
Inflation Protected Bond | | | 13.21 | | | | 30.74 | | | | — | | | | — | |
Flexible Income | | | 12.16 | | | | 28.93 | | | | — | | | | — | |
Real Estate Securities | | | 1.69 | | | | 17.20 | | | | 16.28 | | | | — | |
Global Natural Resources Equity | | | 3.34 | | | | 20.30 | | | | 15.52 | | | | — | |
312
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, 2016 is as follows:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Total Value
at
12/31/15 | | | Total Value
at
12/31/16 | | | Purchases | | | Sales Proceeds | | | Dividend
Income | | | Distributions
of Realized
Gains | |
MyDestination 2005 | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 2,260,204 | | | $ | 2,082,944 | | | $ | 29,603,403 | | | $ | 29,780,664 | | | $ | 5,579 | | | $ | 88 | |
Low-Duration Bond | | | 37,094,911 | | | | 43,840,804 | | | | 9,294,672 | | | | 2,608,105 | | | | 647,142 | | | | — | |
Medium-Duration Bond | | | 9,918,748 | | | | 11,693,091 | | | | 2,386,100 | | | | 596,200 | | | | 299,739 | | | | 34,806 | |
Global Bond | | | 2,468,525 | | | | 2,968,705 | | | | 520,816 | | | | 195,664 | | | | 121,213 | | | | — | |
Defensive Market Strategies | | | 9,506,353 | | | | 9,615,544 | | | | 1,563,256 | | | | 2,077,676 | | | | 130,530 | | | | 368,035 | |
Equity Index | | | 3,230,478 | | | | 3,422,329 | | | | 669,720 | | | | 782,436 | | | | 80,230 | | | | 42,313 | |
Value Equity | | | 3,213,837 | | | | 3,415,296 | | | | 863,116 | | | | 954,603 | | | | 77,029 | | | | 142,755 | |
Growth Equity | | | 3,238,253 | | | | 3,422,702 | | | | 919,959 | | | | 593,160 | | | | — | | | | 152,231 | |
Small Cap Equity | | | 1,092,769 | | | | 1,133,189 | | | | 275,006 | | | | 434,120 | | | | 4,206 | | | | 12,218 | |
International Equity Index | | | 1,875,689 | | | | 2,039,966 | | | | 552,814 | | | | 392,710 | | | | 50,385 | | | | — | |
International Equity | | | 3,784,279 | | | | 4,079,310 | | | | 964,741 | | | | 708,877 | | | | 82,772 | | | | 31,880 | |
Emerging Markets Equity | | | 1,464,847 | | | | 1,608,408 | | | | 456,363 | | | | 511,516 | | | | 27,909 | | | | — | |
Inflation Protected Bond | | | 9,443,214 | | | | 10,646,124 | | | | 1,797,612 | | | | 847,219 | | | | 130,661 | | | | — | |
Flexible Income | | | 4,733,235 | | | | 5,387,169 | | | | 917,361 | | | | 420,064 | | | | 168,090 | | | | — | |
Real Estate Securities | | | 948,592 | | | | 1,082,331 | | | | 316,957 | | | | 146,714 | | | | 55,317 | | | | 26,401 | |
Global Natural Resources Equity | | | 1,758,019 | | | | 2,123,372 | | | | 692,004 | | | | 1,158,234 | | | | 4,227 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 96,031,953 | | | $ | 108,561,284 | | | $ | 51,793,900 | | | $ | 42,207,962 | | | $ | 1,885,029 | | | $ | 810,727 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
MyDestination 2015 | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 7,564,983 | | | $ | 8,126,942 | | | $ | 60,896,809 | | | $ | 60,334,849 | | | $ | 21,785 | | | $ | 421 | |
Low-Duration Bond | | | 64,048,691 | | | | 57,960,641 | | | | 15,085,355 | | | | 21,375,000 | | | | 983,355 | | | | — | |
Medium-Duration Bond | | | 61,585,084 | | | | 97,374,922 | | | | 39,181,928 | | | | 2,400,000 | | | | 1,961,458 | | | | 285,471 | |
Extended-Duration Bond | | | 7,044,821 | | | | — | | | | 355,585 | | | | 7,981,020 | | | | 302,936 | | | | 52,649 | |
Global Bond | | | 21,596,735 | | | | 38,580,890 | | | | 16,169,924 | | | | 350,000 | | | | 1,159,924 | | | | — | |
Defensive Market Strategies | | | 84,004,598 | | | | 91,129,231 | | | | 6,016,409 | | | | 4,087,000 | | | | 1,206,115 | | | | 3,436,294 | |
Equity Index | | | 26,515,934 | | | | 29,150,637 | | | | 2,117,915 | | | | 1,900,000 | | | | 267,791 | | | | 259,280 | |
Value Equity | | | 26,204,711 | | | | 32,319,605 | | | | 4,822,760 | | | | 980,000 | | | | 674,913 | | | | 1,199,847 | |
Growth Equity | | | 26,603,227 | | | | 28,733,033 | | | | 4,243,576 | | | | 900,000 | | | | — | | | | 1,253,576 | |
Small Cap Equity | | | 10,253,010 | | | | 10,962,847 | | | | 1,257,873 | | | | 2,300,000 | | | | 40,687 | | | | 117,186 | |
International Equity Index | | | 15,788,788 | | | | 20,058,201 | | | | 4,745,416 | | | | 359,000 | | | | 495,416 | | | | — | |
International Equity | | | 31,409,631 | | | | 40,835,063 | | | | 10,321,132 | | | | 950,000 | | | | 828,574 | | | | 317,557 | |
Emerging Markets Equity | | | 12,264,465 | | | | 16,421,555 | | | | 4,184,947 | | | | 1,518,000 | | | | 284,947 | | | | — | |
Inflation Protected Bond | | | 47,449,917 | | | | 33,004,691 | | | | 3,525,241 | | | | 19,625,000 | | | | 575,241 | | | | — | |
Flexible Income | | | 23,439,077 | | | | 18,255,658 | | | | 1,999,292 | | | | 7,890,000 | | | | 749,292 | | | | — | |
Real Estate Securities | | | 5,043,631 | | | | 4,141,753 | | | | 479,222 | | | | 1,250,000 | | | | 627,500 | | | | 197,566 | |
Global Natural Resources Equity | | | 8,646,505 | | | | 7,967,361 | | | | 345,860 | | | | 4,700,000 | | | | 15,860 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 479,463,808 | | | $ | 535,023,030 | | | $ | 175,749,244 | | | $ | 138,899,869 | | | $ | 10,195,794 | | | $ | 7,119,847 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
313
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Total Value
at
12/31/15 | | | Total Value
at
12/31/16 | | | Purchases | | | Sales Proceeds | | | Dividend
Income | | | Distributions
of Realized
Gains | |
MyDestination 2025 | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 11,309,093 | | | $ | 16,076,040 | | | $ | 88,167,182 | | | $ | 83,400,235 | | | $ | 35,719 | | | $ | 730 | |
Low-Duration Bond | | | 48,072,204 | | | | 11,916,802 | | | | 14,457,189 | | | | 50,990,000 | | | | 604,189 | | | | — | |
Medium-Duration Bond | | | 69,486,725 | | | | 162,036,420 | | | | 98,707,005 | | | | 3,500,000 | | | | 2,670,982 | | | | 476,023 | |
Extended-Duration Bond | | | 17,431,820 | | | | — | | | | 2,255,913 | | | | 21,054,404 | | | | 838,411 | | | | 127,503 | |
Global Bond | | | 38,560,397 | | | | 43,023,128 | | | | 3,614,530 | | | | 1,710,000 | | | | 1,764,530 | | | | — | |
Defensive Market Strategies | | | 123,486,696 | | | | 150,205,509 | | | | 19,981,766 | | | | 790,000 | | | | 1,909,322 | | | | 5,622,444 | |
Equity Index | | | 55,427,358 | | | | 69,699,890 | | | | 11,681,929 | | | | 2,750,000 | | | | 640,295 | | | | 619,945 | |
Value Equity | | | 55,427,379 | | | | 75,449,730 | | | | 15,452,968 | | | | 500,000 | | | | 1,500,483 | | | | 2,731,485 | |
Growth Equity | | | 55,885,629 | | | | 68,673,278 | | | | 17,393,939 | | | | 1,625,000 | | | | — | | | | 2,829,939 | |
Small Cap Equity | | | 22,620,789 | | | | 26,094,170 | | | | 2,927,774 | | | | 3,320,000 | | | | 96,844 | | | | 278,930 | |
International Equity Index | | | 33,352,119 | | | | 43,057,488 | | | | 10,161,473 | | | | 180,000 | | | | 1,063,473 | | | | — | |
International Equity | | | 66,721,372 | | | | 88,182,506 | | | | 22,344,429 | | | | 1,000,000 | | | | 1,789,290 | | | | 676,339 | |
Emerging Markets Equity | | | 26,316,876 | | | | 34,759,743 | | | | 6,658,151 | | | | 1,290,000 | | | | 603,151 | | | | — | |
Inflation Protected Bond | | | 30,909,229 | | | | 18,559,904 | | | | 5,250,664 | | | | 18,800,000 | | | | 400,664 | | | | — | |
Flexible Income | | | 13,552,494 | | | | 16,479,467 | | | | 3,966,646 | | | | 1,500,000 | | | | 516,646 | | | | — | |
Real Estate Securities | | | 18,823,024 | | | | 9,839,557 | | | | 1,615,691 | | | | 10,371,000 | | | | 1,496,113 | | | | 461,267 | |
Global Natural Resources Equity | | | 20,141,519 | | | | 20,390,572 | | | | 540,590 | | | | 8,650,000 | | | | 40,590 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 707,524,723 | | | $ | 854,444,204 | | | $ | 325,177,839 | | | $ | 211,430,639 | | | $ | 15,970,702 | | | $ | 13,824,605 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
MyDestination 2035 | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 8,731,577 | | | $ | 11,320,501 | | | $ | 49,262,865 | | | $ | 46,673,941 | | | $ | 25,285 | | | $ | 539 | |
Low-Duration Bond | | | 3,790,237 | | | | 218,997 | | | | 1,740,680 | | | | 5,346,000 | | | | 46,680 | | | | — | |
Medium-Duration Bond | | | 22,844,297 | | | | 73,390,758 | | | | 53,271,777 | | | | 1,276,500 | | | | 1,041,820 | | | | 216,957 | |
Extended-Duration Bond | | | 3,812,608 | | | | — | | | | 1,451,804 | | | | 5,581,826 | | | | 198,684 | | | | 28,120 | |
Global Bond | | | 32,520,137 | | | | 18,279,121 | | | | 4,939,901 | | | | 21,845,000 | | | | 1,282,901 | | | | — | |
Defensive Market Strategies | | | 7,540,848 | | | | 13,244,061 | | | | 5,321,986 | | | | 85,500 | | | | 155,183 | | | | 488,803 | |
Equity Index | | | 49,086,392 | | | | 63,959,378 | | | | 11,525,151 | | | | 1,200,000 | | | | 1,322,672 | | | | 742,478 | |
Value Equity | | | 48,973,198 | | | | 67,460,714 | | | | 15,058,297 | | | | 1,000,000 | | | | 1,325,214 | | | | 2,427,083 | |
Growth Equity | | | 49,127,124 | | | | 63,517,607 | | | | 17,254,342 | | | | — | | | | — | | | | 2,524,842 | |
Small Cap Equity | | | 24,468,156 | | | | 22,536,771 | | | | 2,345,045 | | | | 7,950,000 | | | | 83,642 | | | | 240,904 | |
International Equity Index | | | 30,130,432 | | | | 31,141,049 | | | | 4,308,650 | | | | 3,190,000 | | | | 769,150 | | | | — | |
International Equity | | | 60,330,943 | | | | 63,858,153 | | | | 10,780,479 | | | | 7,730,000 | | | | 1,295,730 | | | | 488,749 | |
Emerging Markets Equity | | | 23,833,404 | | | | 26,399,295 | | | | 1,665,081 | | | | 2,005,000 | | | | 458,081 | | | | — | |
Real Estate Securities | | | 13,004,386 | | | | 7,675,943 | | | | 2,331,847 | | | | 7,372,000 | | | | 498,857 | | | | 202,990 | |
Global Natural Resources Equity | | | 12,816,847 | | | | 15,774,003 | | | | 741,400 | | | | 3,342,000 | | | | 31,400 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 391,010,586 | | | $ | 478,776,351 | | | $ | 181,999,305 | | | $ | 114,597,767 | | | $ | 8,535,299 | | | $ | 7,361,465 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
314
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Total Value
at
12/31/15 | | | Total Value
at
12/31/16 | | | Purchases | | | Sales
Proceeds | | | Dividend
Income | | | Distributions of
Realized
Gains | |
MyDestination 2045 | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 6,667,359 | | | $ | 7,921,165 | | | $ | 38,964,628 | | | $ | 37,710,822 | | | $ | 18,529 | | | $ | 388 | |
Medium-Duration Bond | | | 1,966,542 | | | | 30,041,505 | | | | 29,034,559 | | | | 55,000 | | | | 267,935 | | | | 89,124 | |
Global Bond | | | 17,205,989 | | | | 7,493,694 | | | | 2,689,313 | | | | 13,884,000 | | | | 653,312 | | | | — | |
Equity Index | | | 40,078,647 | | | | 55,825,267 | | | | 12,210,888 | | | | 300,000 | | | | 1,128,472 | | | | 641,916 | |
Value Equity | | | 40,047,404 | | | | 57,926,268 | | | | 15,320,787 | | | | 1,243,000 | | | | 1,133,290 | | | | 2,097,497 | |
Growth Equity | | | 40,096,168 | | | | 55,407,757 | | | | 17,817,856 | | | | 74,500 | | | | — | | | | 2,151,856 | |
Small Cap Equity | | | 22,101,990 | | | | 19,748,385 | | | | 3,254,391 | | | | 8,873,500 | | | | 73,293 | | | | 211,098 | |
International Equity Index | | | 25,017,796 | | | | 26,483,670 | | | | 5,613,227 | | | | 4,085,000 | | | | 641,727 | | | | — | |
International Equity | | | 49,990,802 | | | | 53,795,935 | | | | 12,620,811 | | | | 9,390,000 | | | | 1,081,368 | | | | 414,442 | |
Emerging Markets Equity | | | 19,726,878 | | | | 21,461,359 | | | | 2,774,186 | | | | 3,579,500 | | | | 367,186 | | | | — | |
Real Estate Securities | | | 9,352,191 | | | | 5,809,609 | | | | 2,168,468 | | | | 5,473,000 | | | | 369,958 | | | | 152,510 | |
Global Natural Resources Equity | | | 9,206,392 | | | | 11,917,783 | | | | 522,724 | | | | 1,850,500 | | | | 23,724 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 281,458,158 | | | $ | 353,832,397 | | | $ | 142,991,838 | | | $ | 86,518,822 | | | $ | 5,758,794 | | | $ | 5,758,831 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
MyDestination 2055 | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 864,216 | | | $ | 1,376,052 | | | $ | 14,536,479 | | | $ | 14,024,644 | | | $ | 2,930 | | | $ | 62 | |
Medium-Duration Bond | | | — | | | | 3,451,964 | | | | 5,863,742 | | | | 2,295,230 | | | | 25,390 | | | | 10,158 | |
Global Bond | | | 1,886,080 | | | | 861,786 | | | | 1,126,551 | | | | 2,334,758 | | | | 80,805 | | | | — | |
Equity Index | | | 5,578,177 | | | | 10,381,140 | | | | 4,287,575 | | | | 126,064 | | | | 190,961 | | | | 112,729 | |
Value Equity | | | 5,573,463 | | | | 10,539,322 | | | | 4,524,335 | | | | 226,000 | | | | 188,971 | | | | 357,943 | |
Growth Equity | | | 5,574,906 | | | | 10,509,181 | | | | 5,624,152 | | | | 283,600 | | | | — | | | | 374,056 | |
Small Cap Equity | | | 3,148,528 | | | | 3,503,719 | | | | 1,697,657 | | | | 1,930,224 | | | | 13,427 | | | | 38,673 | |
International Equity Index | | | 3,493,301 | | | | 4,977,272 | | | | 2,372,094 | | | | 915,631 | | | | 121,406 | | | | — | |
International Equity | | | 6,989,558 | | | | 10,106,465 | | | | 4,830,537 | | | | 1,829,154 | | | | 203,193 | | | | 76,818 | |
Emerging Markets Equity | | | 2,764,097 | | | | 4,022,560 | | | | 1,947,365 | | | | 1,094,664 | | | | 68,895 | | | | — | |
Real Estate Securities | | | 1,253,420 | | | | 1,045,571 | | | | 929,346 | | | | 1,109,873 | | | | 61,848 | | | | 25,927 | |
Global Natural Resources Equity | | | 1,247,143 | | | | 2,050,406 | | | | 1,033,525 | | | | 841,840 | | | | 4,027 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 38,372,889 | | | $ | 62,825,438 | | | $ | 48,773,358 | | | $ | 27,011,682 | | | $ | 961,853 | | | $ | 996,366 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
315
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Total Value
at
12/31/15 | | | Total Value
at
12/31/16 | | | Purchases | | | Sales Proceeds | | | Dividend
Income | | | Distributions
of Realized
Gains | |
Conservative Allocation | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 4,583,563 | | | $ | 6,912,700 | | | $ | 49,658,304 | | | $ | 47,329,167 | | | $ | 14,749 | | | $ | 236 | |
Low-Duration Bond | | | 150,222,650 | | | | 154,777,355 | | | | 10,724,873 | | | | 6,437,000 | | | | 2,304,873 | | | | — | |
Medium-Duration Bond | | | 40,046,340 | | | | 40,217,067 | | | | 2,064,128 | | | | 1,940,000 | | | | 1,069,417 | | | | 119,711 | |
Global Bond | | | 9,770,811 | | | | 10,213,898 | | | | 582,744 | | | | 795,000 | | | | 429,744 | | | | — | |
Defensive Market Strategies | | | 32,613,520 | | | | 34,205,915 | | | | 2,458,619 | | | | 2,819,000 | | | | 450,144 | | | | 1,288,475 | |
Value Equity | | | 17,065,496 | | | | 19,822,828 | | | | 3,131,388 | | | | 1,792,000 | | | | 419,934 | | | | 741,453 | |
Growth Equity | | | 17,406,201 | | | | 17,886,432 | | | | 3,223,847 | | | | 1,895,000 | | | | — | | | | 785,847 | |
Small Cap Equity | | | 3,762,956 | | | | 3,981,588 | | | | 603,338 | | | | 1,050,000 | | | | 14,777 | | | | 42,561 | |
International Equity | | | 20,226,463 | | | | 21,226,229 | | | | 2,308,764 | | | | 1,395,000 | | | | 430,696 | | | | 165,067 | |
Emerging Markets Equity | | | 5,090,634 | | | | 5,589,185 | | | | 665,984 | | | | 830,000 | | | | 96,984 | | | | — | |
Inflation Protected Bond | | | 36,163,674 | | | | 36,735,265 | | | | 953,289 | | | | 1,350,000 | | | | 453,289 | | | | — | |
Flexible Income | | | 17,974,169 | | | | 18,713,314 | | | | 590,308 | | | | 391,000 | | | | 590,308 | | | | — | |
Real Estate Securities | | | 3,684,974 | | | | 3,787,925 | | | | 709,129 | | | | 484,000 | | | | 193,715 | | | | 92,413 | |
Global Natural Resources Equity | | | 6,875,930 | | | | 7,485,134 | | | | 523,900 | | | | 2,850,000 | | | | 14,900 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 365,487,381 | | | $ | 381,554,835 | | | $ | 78,198,615 | | | $ | 71,357,167 | | | $ | 6,483,530 | | | $ | 3,235,763 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Balanced Allocation | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 42,453,581 | | | $ | 32,201,158 | | | $ | 86,907,582 | | | $ | 97,160,005 | | | $ | 85,359 | | | $ | 1,443 | |
Low-Duration Bond | | | 181,725,741 | | | | 178,127,096 | | | | 5,137,343 | | | | 9,118,000 | | | | 2,692,342 | | | | — | |
Medium-Duration Bond | | | 245,812,360 | | | | 236,896,752 | | | | 11,047,545 | | | | 20,582,000 | | | | 6,302,887 | | | | 694,658 | |
Extended-Duration Bond | | | 65,152,208 | | | | 60,756,483 | | | | 10,979,974 | | | | 13,970,000 | | | | 3,212,304 | | | | 2,799,670 | |
Global Bond | | | 120,548,248 | | | | 118,170,670 | | | | 5,055,644 | | | | 15,234,000 | | | | 5,055,644 | | | | — | |
Defensive Market Strategies | | | 122,548,531 | | | | 118,374,719 | | | | 6,810,668 | | | | 18,264,000 | | | | 1,597,078 | | | | 4,513,590 | |
Value Equity | | | 140,741,304 | | | | 146,531,918 | | | | 18,771,108 | | | | 24,250,000 | | | | 3,223,141 | | | | 5,697,967 | |
Growth Equity | | | 143,152,463 | | | | 137,470,276 | | | | 16,680,394 | | | | 15,643,000 | | | | — | | | | 6,125,394 | |
Small Cap Equity | | | 30,990,313 | | | | 31,217,810 | | | | 3,278,675 | | | | 8,178,000 | | | | 115,860 | | | | 335,815 | |
International Equity | | | 165,334,059 | | | | 164,898,764 | | | | 12,321,700 | | | | 13,500,000 | | | | 3,345,921 | | | | 1,280,779 | |
Emerging Markets Equity | | | 40,953,235 | | | | 43,770,671 | | | | 6,759,509 | | | | 9,397,000 | | | | 759,509 | | | | — | |
Inflation Protected Bond | | | 89,932,438 | | | | 85,507,638 | | | | 3,281,382 | | | | 10,225,000 | | | | 1,071,382 | | | | — | |
Flexible Income | | | 45,357,702 | | | | 44,522,099 | | | | 1,437,033 | | | | 3,591,000 | | | | 1,437,033 | | | | — | |
Real Estate Securities | | | 44,462,159 | | | | 38,547,450 | | | | 4,805,081 | | | | 9,739,000 | | | | 2,015,161 | | | | 946,920 | |
Global Natural Resources Equity | | | 44,193,189 | | | | 45,514,173 | | | | 318,602 | | | | 16,678,000 | | | | 90,602 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 1,523,357,531 | | | $ | 1,482,507,677 | | | $ | 193,592,240 | | | $ | 285,529,005 | | | $ | 31,004,223 | | | $ | 22,396,236 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
316
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Total Value
at
12/31/15 | | | Total Value
at
12/31/16 | | | Purchases | | | Sales Proceeds | | | Dividend
Income | | | Distributions
of Realized
Gains | |
Growth Allocation | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 27,757,264 | | | $ | 25,622,952 | | | $ | 78,599,225 | | | $ | 80,733,537 | | | $ | 59,252 | | | $ | 1,078 | |
Low-Duration Bond | | | 82,705,113 | | | | 79,455,818 | | | | 6,374,488 | | | | 9,785,000 | | | | 1,188,488 | | | | — | |
Medium-Duration Bond | | | 110,995,806 | | | | 106,484,768 | | | | 10,278,259 | | | | 15,029,000 | | | | 2,781,291 | | | | 310,968 | |
Extended-Duration Bond | | | 28,805,675 | | | | 27,233,756 | | | | 5,972,120 | | | | 6,935,000 | | | | 1,413,445 | | | | 1,248,675 | |
Global Bond | | | 54,003,392 | | | | 53,023,147 | | | | 2,755,618 | | | | 7,221,000 | | | | 2,255,618 | | | | — | |
Value Equity | | | 198,432,917 | | | | 199,333,986 | | | | 18,566,847 | | | | 32,650,000 | | | | 4,410,174 | | | | 7,749,673 | |
Growth Equity | | | 205,396,019 | | | | 190,265,659 | | | | 12,149,259 | | | | 17,165,000 | | | | — | | | | 8,489,259 | |
Small Cap Equity | | | 41,521,669 | | | | 44,738,385 | | | | 4,144,264 | | | | 7,889,000 | | | | 166,039 | | | | 478,225 | |
International Equity | | | 230,986,326 | | | | 230,133,347 | | | | 10,959,231 | | | | 12,433,000 | | | | 4,669,580 | | | | 1,789,651 | |
Emerging Markets Equity | | | 57,702,803 | | | | 59,283,475 | | | | 4,228,687 | | | | 9,853,000 | | | | 1,028,687 | | | | — | |
Real Estate Securities | | | 42,946,950 | | | | 36,480,658 | | | | 4,541,578 | | | | 9,995,000 | | | | 1,896,935 | | | | 894,644 | |
Global Natural Resources Equity | | | 33,035,311 | | | | 34,787,260 | | | | 569,249 | | | | 12,438,000 | | | | 69,249 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 1,114,289,245 | | | $ | 1,086,843,211 | | | $ | 159,138,825 | | | $ | 222,126,537 | | | $ | 19,938,758 | | | $ | 20,962,173 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Aggressive Allocation | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 23,772,781 | | | $ | 18,821,903 | | | $ | 59,600,911 | | | $ | 64,551,790 | | | $ | 48,635 | | | $ | 759 | |
Value Equity | | | 254,768,426 | | | | 235,213,850 | | | | 14,850,856 | | | | 51,757,578 | | | | 5,404,522 | | | | 9,246,335 | |
Growth Equity | | | 262,055,612 | | | | 226,000,562 | | | | 12,755,636 | | | | 36,329,259 | | | | — | | | | 10,370,636 | |
Small Cap Equity | | | 55,397,826 | | | | 51,437,989 | | | | 3,355,059 | | | | 15,640,372 | | | | 190,904 | | | | 557,777 | |
International Equity | | | 295,949,517 | | | | 271,334,741 | | | | 13,247,340 | | | | 39,202,303 | | | | 5,505,588 | | | | 2,110,057 | |
Emerging Markets Equity | | | 73,918,724 | | | | 70,721,128 | | | | 7,433,474 | | | | 20,027,314 | | | | 1,227,153 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 965,862,886 | | | $ | 873,530,173 | | | $ | 111,243,276 | | | $ | 227,508,616 | | | $ | 12,376,802 | | | $ | 22,285,564 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Low-Duration Bond | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 36,182,778 | | | $ | 15,457,326 | | | $ | 543,706,290 | | | $ | 564,431,742 | | | $ | 11,033 | | | $ | 932 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Medium-Duration Bond | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 14,520,090 | | | $ | 52,755,666 | | | $ | 600,045,770 | | | $ | 561,810,194 | | | $ | 15,697 | | | $ | 4,296 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Extended-Duration Bond | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 7,390,825 | | | $ | 6,093,198 | | | $ | 128,962,061 | | | $ | 130,259,688 | | | $ | 2,773 | | | $ | 220 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Global Bond | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 15,382,420 | | | $ | 31,918,034 | | | $ | 193,875,579 | | | $ | 177,339,965 | | | $ | 10,083 | | | $ | 1,795 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Defensive Market Strategies | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 25,859,833 | | | $ | 29,868,692 | | | $ | 368,424,813 | | | $ | 364,415,954 | | | $ | 8,971 | | | $ | 1,281 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Equity Index | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 19,879,456 | | | $ | 23,274,030 | | | $ | 164,391,842 | | | $ | 160,997,268 | | | $ | 7,772 | | | $ | 1,652 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Value Equity | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 40,813,334 | | | $ | 30,846,106 | | | $ | 415,512,071 | | | $ | 425,479,299 | | | $ | 14,783 | | | $ | 1,804 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Growth Equity | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 50,737,188 | | | $ | 54,388,015 | | | $ | 382,675,321 | | | $ | 379,024,494 | | | $ | 17,394 | | | $ | 2,134 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
317
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Total Value
at
12/31/15 | | | Total Value
at
12/31/16 | | | Purchases | | | Sales Proceeds | | | Dividend
Income | | | Distributions
of Realized
Gains | |
Small Cap Equity | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 21,115,220 | | | $ | 23,247,942 | | | $ | 198,187,187 | | | $ | 196,054,465 | | | $ | 6,996 | | | $ | 4,014 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
International Equity Index | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 3,754,870 | | | $ | 6,944,453 | | | $ | 58,021,225 | | | $ | 54,831,642 | | | $ | 16,006 | | | $ | 430 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
International Equity | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 68,102,593 | | | $ | 59,346,657 | | | $ | 382,785,560 | | | $ | 391,541,496 | | | $ | 21,537 | | | $ | 2,663 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Emerging Markets Equity | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 15,162,635 | | | $ | 13,793,115 | | | $ | 139,113,572 | | | $ | 140,483,092 | | | $ | 4,394 | | | $ | 578 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Inflation Protected Bond | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 3,447,125 | | | $ | 3,843,344 | | | $ | 202,006,589 | | | $ | 201,610,370 | | | $ | 3,354 | | | $ | 349 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Flexible Income | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 14,734,600 | | | $ | 13,334,211 | | | $ | 108,660,495 | | | $ | 110,060,884 | | | $ | 5,043 | | | $ | 565 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Real Estate Securities | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 7,407,916 | | | $ | 5,227,865 | | | $ | 111,556,133 | | | $ | 113,736,184 | | | $ | 2,783 | | | $ | 1,006 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Global Natural Resources Equity | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 16,074,034 | | | $ | 7,533,955 | | | $ | 155,251,726 | | | $ | 163,791,805 | | | $ | 5,061 | | | $ | 452 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
318
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. This investment is presented on the Funds’ Schedules of Investments. The Funds do not have control of non-cash securities lending collateral: as such, this amount is not presented on the Funds’ Schedules of Investments. At December 31, 2016, the market values of loaned securities and collateral received were as follows:
| | | | | | | | | | | | | | | | |
Fund | | Value of
Securities Loaned | | | Value of
Non-cash
Collateral | | | Value of
Cash
Collateral | | | Total
Value of
Collateral | |
Low-Duration Bond | | $ | 93,964,033 | | | $ | 28,659,176 | | | $ | 67,221,467 | | | $ | 95,880,643 | |
Medium-Duration Bond | | | 127,977,505 | | | | 33,892,993 | | | | 96,263,470 | | | | 130,156,463 | |
Extended-Duration Bond | | | 38,006,351 | | | | 26,255,432 | | | | 12,338,183 | | | | 38,593,615 | |
Global Bond | | | 67,239,912 | | | | 23,907,343 | | | | 44,809,823 | | | | 68,717,166 | |
Defensive Market Strategies | | | 46,608,710 | | | | 8,256,421 | | | | 39,313,038 | | | | 47,569,459 | |
Equity Index | | | 26,746,836 | | | | 22,343,856 | | | | 5,051,715 | | | | 27,395,571 | |
Value Equity | | | 55,198,953 | | | | 28,094,453 | | | | 28,320,677 | | | | 56,415,130 | |
Growth Equity | | | 159,066,977 | | | | 148,915,801 | | | | 14,082,344 | | | | 162,998,145 | |
Small Cap Equity | | | 87,478,772 | | | | 29,055,950 | | | | 60,252,614 | | | | 89,308,564 | |
International Equity Index | | | 3,209,911 | | | | 827,638 | | | | 2,545,642 | | | | 3,373,280 | |
International Equity | | | 43,253,802 | | | | 20,935,375 | | | | 23,851,659 | | | | 44,787,034 | |
Emerging Markets Equity | | | 14,075,072 | | | | 7,592,390 | | | | 6,870,752 | | | | 14,463,142 | |
Real Estate Securities | | | 11,029,030 | | | | 7,951,769 | | | | 3,596,402 | | | | 11,548,171 | |
Global Natural Resources Equity | | | 37,420,856 | | | | 18,957,764 | | | | 20,834,068 | | | | 39,791,832 | |
Securities lending transactions are entered into by the Funds under a Securities Lending Authorization Agreement which permit the Funds, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts payable by the Fund to the same counterparty against amounts to be received and create one single net payment due to or from the Fund.
At December 31, 2016, the securities loaned which are subject to an MA on a net payment basis are as follows:
| | | | | | | | | | | | | | | | |
Fund | | Value of
Securities Loaned | | | Fair Value of
Non-cash
Collateral | | | Cash
Collateral
(Pledged) | | | Net Amount(1) | |
Low-Duration Bond | | $ | 93,964,033 | | | $ | (28,659,176 | ) | | $ | (65,304,857 | ) | | $ | — | |
Medium-Duration Bond | | | 127,977,505 | | | | (33,892,993 | ) | | | (94,084,512 | ) | | | — | |
Extended-Duration Bond | | | 38,006,351 | | | | (26,255,432 | ) | | | (11,750,919 | ) | | | — | |
Global Bond | | | 67,239,912 | | | | (23,907,343 | ) | | | (43,332,569 | ) | | | — | |
Defensive Market Strategies | | | 46,608,710 | | | | (8,256,421 | ) | | | (38,352,289 | ) | | | — | |
Equity Index | | | 26,746,836 | | | | (22,343,856 | ) | | | (4,402,980 | ) | | | — | |
Value Equity | | | 55,198,953 | | | | (28,094,453 | ) | | | (27,104,500 | ) | | | — | |
Growth Equity | | | 159,066,977 | | | | (148,915,801 | ) | | | (10,151,176 | ) | | | — | |
Small Cap Equity | | | 87,478,772 | | | | (29,055,950 | ) | | | (58,422,822 | ) | | | — | |
International Equity Index | | | 3,209,911 | | | | (827,638 | ) | | | (2,382,273 | ) | | | — | |
International Equity | | | 43,253,802 | | | | (20,935,375 | ) | | | (22,318,427 | ) | | | — | |
Emerging Markets Equity | | | 14,075,072 | | | | (7,592,390 | ) | | | (6,482,682 | ) | | | — | |
Real Estate Securities | | | 11,029,030 | | | | (7,951,769 | ) | | | (3,077,261 | ) | | | — | |
Global Natural Resources Equity | | | 37,420,856 | | | | (18,957,764 | ) | | | (18,463,092 | ) | | | — | |
| (1) | Net amount represents the net amount receivable due from (payable to) the counterparty in the event of default. |
319
Additional information about master netting arrangements can be found in the Repurchase Agreements and Derivative Financial
Instruments sections of the Notes to Financial Statements.
The following table reflects a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of
collateral pledged, and the remaining contractual maturity of those transactions as of December 31, 2016.
| | | | | | | | | | | | | | | | |
Fund | | Overnight
and
Continuous | | | 30 — 90
Days | | | Greater
than 90
Days | | | Total | |
Low-Duration Bond | | | | | | | | | | | | | | | | |
Agency Obligations, Corporate Bonds, Foreign Bonds, U.S. Treasury Obligations | | $ | 67,221,467 | | | $ | — | | | $ | — | | | $ | 67,221,467 | |
Medium-Duration Bond | | | | | | | | | | | | | | | | |
Corporate Bonds, Foreign Bonds, U.S. Treasury Obligations | | | 96,263,470 | | | | — | | | | — | | | | 96,263,470 | |
Extended-Duration Bond | | | | | | | | | | | | | | | | |
Corporate Bonds, Foreign Bonds, Preferred Stocks, U.S. Treasury Obligations | | | 12,338,183 | | | | — | | | | — | | | | 12,338,183 | |
Global Bond | | | | | | | | | | | | | | | | |
Common Stocks, Corporate Bonds, Foreign Bonds, Foreign Common Stocks, Preferred Stocks, U.S. Treasury Obligations | | | 44,809,823 | | | | — | | | | — | | | | 44,809,823 | |
Defensive Market Strategies | | | | | | | | | | | | | | | | |
Common Stocks, Corporate Bonds, Foreign Bonds, Foreign Common Stocks | | | 39,313,038 | | | | — | | | | — | | | | 39,313,038 | |
Equity Index | | | | | | | | | | | | | | | | |
Common Stocks, Foreign Common Stocks | | | 5,051,715 | | | | — | | | | — | | | | 5,051,715 | |
Value Equity | | | | | | | | | | | | | | | | |
Common Stocks, Foreign Common Stocks | | | 28,320,677 | | | | — | | | | — | | | | 28,320,677 | |
Growth Equity | | | | | | | | | | | | | | | | |
Common Stocks, Foreign Common Stocks | | | 14,082,344 | | | | — | | | | — | | | | 14,082,344 | |
Small Cap Equity | | | | | | | | | | | | | | | | |
Common Stocks, Foreign Common Stocks | | | 60,252,614 | | | | — | | | | — | | | | 60,252,614 | |
International Equity Index | | | | | | | | | | | | | | | | |
Foreign Common Stocks | | | 2,545,642 | | | | — | | | | — | | | | 2,545,642 | |
International Equity | | | | | | | | | | | | | | | | |
Foreign Common Stocks | | | 23,851,659 | | | | — | | | | — | | | | 23,851,659 | |
Emerging Markets Equity | | | | | | | | | | | | | | | | |
Foreign Common Stocks, Foreign Preferred Stocks | | | 6,870,752 | | | | — | | | | — | | | | 6,870,752 | |
Real Estate Securities | | | | | | | | | | | | | | | | |
Common Stocks, Foreign Common Stocks | | | 3,596,402 | | | | — | | | | — | | | | 3,596,402 | |
Global Natural Resources Equity | | | | | | | | | | | | | | | | |
Common Stocks, Foreign Common Stocks | | | 20,834,068 | | | | — | | | | — | | | | 20,834,068 | |
320
5. INVESTMENT TRANSACTIONS
For the year ended December 31, 2016, 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 | | $ | 19,500,407 | | | $ | 12,427,298 | | | $ | — | | | $ | — | |
MyDestination 2015 | | | 97,559,000 | | | | 78,565,020 | | | | — | | | | — | |
MyDestination 2025 | | | 207,251,800 | | | | 128,030,404 | | | | — | | | | — | |
MyDestination 2035 | | | 116,865,500 | | | | 67,923,826 | | | | — | | | | — | |
MyDestination 2045 | | | 92,528,500 | | | | 48,808,000 | | | | — | | | | — | |
MyDestination 2055 | | | 32,281,653 | | | | 12,987,037 | | | | — | | | | — | |
Conservative Allocation | | | 18,836,000 | | | | 24,028,000 | | | | — | | | | — | |
Balanced Allocation | | | 53,371,000 | | | | 188,369,000 | | | | — | | | | — | |
Growth Allocation | | | 39,699,000 | | | | 141,393,000 | | | | — | | | | — | |
Aggressive Allocation | | | 17,029,394 | | | | 162,956,826 | | | | — | | | | — | |
Low-Duration Bond | | | 1,349,194,704 | | | | 1,294,195,893 | | | | 1,920,624,753 | | | | 2,006,036,091 | |
Medium-Duration Bond | | | 2,751,877,852 | | | | 2,744,940,844 | | | | 608,006,098 | | | | 531,125,129 | |
Extended-Duration Bond | | | 15,772,599 | | | | 89,267,174 | | | | 113,500,823 | | | | 70,121,100 | |
Global Bond | | | 76,167,125 | | | | 106,318,675 | | | | 28,152,657 | | | | 14,637,966 | |
Defensive Market Strategies | | | 504,900,475 | | | | 412,826,691 | | | | — | | | | — | |
Equity Index | | | 83,539,071 | | | | 20,131,524 | | | | — | | | | — | |
Value Equity | | | 435,895,414 | | | | 526,286,550 | | | | — | | | | — | |
Growth Equity | | | 314,411,848 | | | | 400,498,342 | | | | — | | | | — | |
Small Cap Equity | | | 369,645,601 | | | | 419,208,678 | | | | — | | | | — | |
International Equity Index | | | 25,671,580 | | | | 6,780,896 | | | | — | | | | — | |
International Equity | | | 442,442,675 | | | | 460,022,043 | | | | — | | | | — | |
Emerging Markets Equity | | | 164,991,422 | | | | 165,408,720 | | | | — | | | | — | |
Inflation Protected Bond | | | 14,675,163 | | | | 22,240,316 | | | | 164,212,042 | | | | 193,094,318 | |
Flexible Income | | | 108,186,516 | | | | 95,122,945 | | | | — | | | | — | |
Real Estate Securities | | | 312,205,143 | | | | 344,293,364 | | | | — | | | | — | |
Global Natural Resources Equity | | | 61,657,707 | | | | 93,031,555 | | | | — | | | | — | |
321
Financial Futures Contracts
Investments as of December 31, 2016, 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 | | | | | | | | | | | | | | | | | | | | | | | | | |
S&P 500® E-Mini | | | | 03/2017 | | | | | 5 | | | | $ | 559,050 | | | | | GSC | | | | $ | (1,573 | ) |
5-Year U.S. Treasury Note | | | | 04/2017 | | | | | 10 | | | | | 1,176,641 | | | | | GSC | | | | | 5,423 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | $ | 1,735,691 | | | | | | | | | $ | 3,850 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
MyDestination 2015 Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
MSCI EAFE Index E-Mini | | | | 03/2017 | | | | | 16 | | | | $ | 1,340,480 | | | | | GSC | | | | $ | (13,389 | ) |
MSCI Emerging Markets E-Mini | | | | 03/2017 | | | | | 5 | | | | | 214,725 | | | | | GSC | | | | | (3,906 | ) |
S&P 500® E-Mini | | | | 03/2017 | | | | | 21 | | | | | 2,348,010 | | | | | GSC | | | | | (6,606 | ) |
10-Year U.S. Treasury Note | | | | 03/2017 | | | | | 21 | | | | | 2,609,906 | | | | | GSC | | | | | (15,633 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | $ | 6,513,121 | | | | | | | | | $ | (39,534 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
MyDestination 2025 Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
MSCI EAFE Index E-Mini | | | | 03/2017 | | | | | 36 | | | | $ | 3,016,080 | | | | | GSC | | | | $ | (30,125 | ) |
MSCI Emerging Markets E-Mini | | | | 03/2017 | | | | | 16 | | | | | 687,120 | | | | | GSC | | | | | (7,004 | ) |
S&P 500® E-Mini | | | | 03/2017 | | | | | 53 | | | | | 5,925,930 | | | | | GSC | | | | | (16,671 | ) |
10-Year U.S. Treasury Note | | | | 03/2017 | | | | | 31 | | | | | 3,852,719 | | | | | GSC | | | | | (23,077 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | $ | 13,481,849 | | | | | | | | | $ | (76,877 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
MyDestination 2035 Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
MSCI EAFE Index E-Mini | | | | 03/2017 | | | | | 33 | | | | $ | 2,764,740 | | | | | GSC | | | | $ | (28,414 | ) |
MSCI Emerging Markets E-Mini | | | | 03/2017 | | | | | 15 | | | | | 644,175 | | | | | GSC | | | | | (6,872 | ) |
S&P 500® E-Mini | | | | 03/2017 | | | | | 53 | | | | | 5,925,930 | | | | | GSC | | | | | (33,496 | ) |
10-Year U.S. Treasury Note | | | | 03/2017 | | | | | 14 | | | | | 1,739,938 | | | | | GSC | | | | | (10,422 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | $ | 11,074,783 | | | | | | | | | $ | (79,204 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
MyDestination 2045 Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
MSCI EAFE Index E-Mini | | | | 03/2017 | | | | | 29 | | | | $ | 2,429,620 | | | | | GSC | | | | $ | (12,012 | ) |
MSCI Emerging Markets E-Mini | | | | 03/2017 | | | | | 13 | | | | | 558,285 | | | | | GSC | | | | | (6,083 | ) |
S&P 500® E-Mini | | | | 03/2017 | | | | | 41 | | | | | 4,584,210 | | | | | GSC | | | | | (29,640 | ) |
10-Year U.S. Treasury Note | | | | 03/2017 | | | | | 3 | | | | | 372,844 | | | | | GSC | | | | | (2,233 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | $ | 7,944,959 | | | | | | | | | $ | (49,968 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
MyDestination 2055 Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
S&P 500® E-Mini | | | | 03/2017 | | | | | 10 | | | | $ | 1,118,100 | | | | | GSC | | | | $ | (3,773 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Conservative Allocation Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
MSCI EAFE Index E-Mini | | | | 03/2017 | | | | | 8 | | | | $ | 670,240 | | | | | GSC | | | | $ | (4,029 | ) |
S&P 500® E-Mini | | | | 03/2017 | | | | | 10 | | | | | 1,118,100 | | | | | GSC | | | | | (3,227 | ) |
2-Year U.S. Treasury Note | | | | 04/2017 | | | | | 30 | | | | | 6,500,625 | | | | | GSC | | | | | (693 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | $ | 8,288,965 | | | | | | | | | $ | (7,949 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
322
| | | | | | | | | | | | | | | | | | | | | | | | | |
Fund/Future Type | | Expiration Date | | Open Long
(Short) Contracts | | Notional
Market Value
of Contracts | | Counter-
party | | Net Unrealized Appreciation
(Depreciation) on Futures |
Balanced Allocation Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
MSCI EAFE Index E-Mini | | | | 03/2017 | | | | | 53 | | | | $ | 4,440,340 | | | | | GSC | | | | $ | (45,471 | ) |
MSCI Emerging Markets E-Mini | | | | 03/2017 | | | | | 23 | | | | | 987,735 | | | | | GSC | | | | | (10,374 | ) |
S&P 500® E-Mini | | | | 03/2017 | | | | | 88 | | | | | 9,839,280 | | | | | GSC | | | | | (34,758 | ) |
10-Year U.S. Treasury Note | | | | 03/2017 | | | | | 41 | | | | | 5,095,531 | | | | | GSC | | | | | (5,725 | ) |
Long U.S. Treasury Bond | | | | 03/2017 | | | | | 18 | | | | | 2,711,813 | | | | | GSC | | | | | (8,470 | ) |
5-Year U.S. Treasury Note | | | | 04/2017 | | | | | 46 | | | | | 5,412,547 | | | | | GSC | | | | | (17,275 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | $ | 28,487,246 | | | | | | | | | $ | (122,073 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Growth Allocation Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
MSCI EAFE Index E-Mini | | | | 03/2017 | | | | | 77 | | | | $ | 6,451,060 | | | | | GSC | | | | $ | (52,438 | ) |
MSCI Emerging Markets E-Mini | | | | 03/2017 | | | | | 37 | | | | | 1,588,965 | | | | | GSC | | | | | (15,746 | ) |
S&P 500® E-Mini | | | | 03/2017 | | | | | 103 | | | | | 11,516,430 | | | | | GSC | | | | | (49,406 | ) |
10-Year U.S. Treasury Note | | | | 03/2017 | | | | | 17 | | | | | 2,112,781 | | | | | GSC | | | | | (7,343 | ) |
Long U.S. Treasury Bond | | | | 03/2017 | | | | | 6 | | | | | 903,938 | | | | | GSC | | | | | (7,467 | ) |
5-Year U.S. Treasury Note | | | | 04/2017 | | | | | 19 | | | | | 2,235,617 | | | | | GSC | | | | | (8,527 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | $ | 24,808,791 | | | | | | | | | $ | (140,927 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Aggressive Allocation Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
MSCI EAFE Index E-Mini | | | | 03/2017 | | | | | 75 | | | | $ | 6,283,500 | | | | | GSC | | | | $ | (50,015 | ) |
MSCI Emerging Markets E-Mini | | | | 03/2017 | | | | | 30 | | | | | 1,288,350 | | | | | GSC | | | | | (14,201 | ) |
S&P 500® E-Mini | | | | 03/2017 | | | | | 106 | | | | | 11,851,860 | | | | | GSC | | | | | (34,848 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | $ | 19,423,710 | | | | | | | | | $ | (99,064 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Low-Duration Bond Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
90-Day Euro | | | | 03/2017 | | | | | (73 | ) | | | $ | (18,060,200 | ) | | | | CITI | | | | $ | (5,549 | ) |
10-Year Australian Treasury Bond | | | | 03/2017 | | | | | 31 | | | | | 21,744,818 | | | | | CITI | | | | | 13,818 | |
3-Year Australia Treasury Bond | | | | 03/2017 | | | | | 158 | | | | | 34,603,107 | | | | | CITI | | | | | (20,115 | ) |
10-Year U.S. Treasury Note | | | | 03/2017 | | | | | (48 | ) | | | | (5,965,500 | ) | | | | UBS | | | | | 31,028 | |
10-Year U.S. Ultra Note | | | | 03/2017 | | | | | (34 | ) | | | | (4,558,125 | ) | | | | UBS | | | | | (10,645 | ) |
Long U.S. Treasury Bond | | | | 03/2017 | | | | | (6 | ) | | | | (903,938 | ) | | | | UBS | | | | | 940 | |
Ultra Long U.S. Treasury Bond | | | | 03/2017 | | | | | (12 | ) | | | | (1,923,000 | ) | | | | UBS | | | | | 21,180 | |
2-Year U.S. Treasury Note | | | | 04/2017 | | | | | 885 | | | | | 191,768,438 | | | | | CITI | | | | | (130,422 | ) |
2-Year U.S. Treasury Note | | | | 04/2017 | | | | | 389 | | | | | 84,291,438 | | | | | UBS | | | | | (83,176 | ) |
2-Year U.S. Treasury Note | | | | 04/2017 | | | | | 88 | | | | | 19,068,500 | | | | | GSC | | | | | (24,609 | ) |
5-Year U.S. Treasury Note | | | | 04/2017 | | | | | (232 | ) | | | | (27,298,063 | ) | | | | UBS | | | | | 42,436 | |
90-Day Euro | | | | 06/2018 | | | | | (97 | ) | | | | (23,823,200 | ) | | | | CITI | | | | | 23,550 | |
90-Day Euro | | | | 06/2019 | | | | | (77 | ) | | | | (18,831,313 | ) | | | | CITI | | | | | 157,752 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | $ | 250,112,962 | | | | | | | | | $ | 16,188 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Medium-Duration Bond Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
90-Day Euro | | | | 03/2017 | | | | | (409 | ) | | | $ | (101,186,600 | ) | | | | GSC | | | | $ | 6,271 | |
90-Day Euro | | | | 03/2017 | | | | | 344 | | | | | 85,105,600 | | | | | DEUT | | | | | 193 | |
10-Year Japanese Bond | | | | 03/2017 | | | | | (4 | ) | | | | (5,141,904 | ) | | | | GSC | | | | | (3,792 | ) |
Euro | | | | 03/2017 | | | | | (8 | ) | | | | (1,057,400 | ) | | | | GSC | | | | | 11,001 | |
10-Year U.S. Treasury Note | | | | 03/2017 | | | | | 113 | | | | | 14,043,781 | | | | | GSC | | | | | 79,586 | |
10-Year U.S. Treasury Note | | | | 03/2017 | | | | | (39 | ) | | | | (4,846,969 | ) | | | | DEUT | | | | | 29,514 | |
10-Year U.S. Treasury Note | | | | 03/2017 | | | | | (472 | ) | | | | (58,660,750 | ) | | | | GSC | | | | | 112,552 | |
10-Year U.S. Ultra Note | | | | 03/2017 | | | | | (53 | ) | | | | (7,105,313 | ) | | | | GSC | | | | | 37,764 | |
Euro-Bund | | | | 03/2017 | | | | | (10 | ) | | | | (1,727,931 | ) | | | | DEUT | | | | | (25,537 | ) |
Euro-Bund | | | | 03/2017 | | | | | (92 | ) | | | | (15,896,966 | ) | | | | GSC | | | | | (212,154 | ) |
FTSE Bursa Malaysia KLCI | | | | 03/2017 | | | | | 59 | | | | | 8,403,640 | | | | | GSC | | | | | 122,542 | |
Long U.S. Treasury Bond | | | | 03/2017 | | | | | 60 | | | | | 9,039,375 | | | | | DEUT | | | | | (67,555 | ) |
323
| | | | | | | | | | | | | | | | | | | | | | | | | |
Fund/Future Type | | Expiration Date | | Open Long
(Short) Contracts | | Notional
Market Value
of Contracts | | Counter-
party | | Net Unrealized Appreciation
(Depreciation) on Futures |
Long U.S. Treasury Bond | | | | 03/2017 | | | | | 51 | | | | $ | 7,683,469 | | | | | GSC | | | | $ | (13,885 | ) |
Long U.S. Treasury Bond | | | | 03/2017 | | | | | (88 | ) | | | | (13,257,750 | ) | | | | GSC | | | | | 52,337 | |
Ultra Long U.S. Treasury Bond | | | | 03/2017 | | | | | 179 | | | | | 28,684,750 | | | | | DEUT | | | | | (258,858 | ) |
Ultra Long U.S. Treasury Bond | | | | 03/2017 | | | | | 33 | | | | | 5,288,250 | | | | | GSC | | | | | 22,976 | |
2-Year U.S. Treasury Note | | | | 04/2017 | | | | | 167 | | | | | 36,186,813 | | | | | GSC | | | | | 887 | |
5-Year U.S. Treasury Note | | | | 04/2017 | | | | | 1,033 | | | | | 121,546,977 | | | | | DEUT | | | | | (473,073 | ) |
5-Year U.S. Treasury Note | | | | 04/2017 | | | | | 890 | | | | | 104,721,016 | | | | | GSC | | | | | (265,790 | ) |
5-Year U.S. Treasury Note | | | | 04/2017 | | | | | 133 | | | | | 15,649,320 | | | | | CITI | | | | | 49,655 | |
90-Day Euro | | | | 06/2017 | | | | | 155 | | | | | 38,283,063 | | | | | DEUT | | | | | 24,285 | |
90-Day Euro | | | | 12/2017 | | | | | (205 | ) | | | | (50,471,000 | ) | | | | DEUT | | | | | 220,166 | |
90-Day Euro | | | | 06/2018 | | | | | (72 | ) | | | | (17,683,200 | ) | | | | DEUT | | | | | 45,499 | |
90-Day Euro | | | | 06/2019 | | | | | (346 | ) | | | | (84,618,625 | ) | | | | DEUT | | | | | (72,471 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | $ | 112,981,646 | | | | | | | | | $ | (577,887 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Global Bond Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
Euro-Bund | | | | 03/2017 | | | | | 33 | | | | $ | 5,702,173 | | | | | GSC | | | | $ | 89,460 | |
Euro-Buxl® | | | | 03/2017 | | | | | (3 | ) | | | | (547,969 | ) | | | | GSC | | | | | (2,552 | ) |
10-Year U.S. Treasury Note | | | | 03/2017 | | | | | (193 | ) | | | | (23,986,281 | ) | | | | GSC | | | | | 25,061 | |
Ultra Long U.S. Treasury Bond | | | | 03/2017 | | | | | (32 | ) | | | | (5,128,000 | ) | | | | GSC | | | | | 56,052 | |
5-Year U.S. Treasury Note | | | | 04/2017 | | | | | 313 | | | | | 36,828,852 | | | | | GSC | | | | | (108,181 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | $ | 12,868,775 | | | | | | | | | $ | 59,840 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Defensive Market Strategies Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
S&P 500® E-Mini | | | | 03/2017 | | | | | 123 | | | | $ | 13,752,630 | | | | | GSC | | | | $ | (38,690 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Equity Index Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
S&P 500® E-Mini | | | | 03/2017 | | | | | 216 | | | | $ | 24,150,960 | | | | | GSC | | | | $ | (128,715 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Value Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
S&P 500® E-Mini | | | | 03/2017 | | | | | 303 | | | | $ | 33,878,430 | | | | | GSC | | | | $ | (172,183 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Growth Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
S&P 500® E-Mini | | | | 03/2017 | | | | | 490 | | | | $ | 54,786,900 | | | | | GSC | | | | $ | (207,890 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Small Cap Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
Russell 2000® IMM-Mini | | | | 03/2017 | | | | | 374 | | | | $ | 25,374,030 | | | | | GSC | | | | $ | (544,618 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
International Equity Index Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
MSCI EAFE Index E-Mini | | | | 03/2017 | | | | | 91 | | | | $ | 7,623,980 | | | | | GSC | | | | $ | (37,291 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
International Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
AEX Index | | | | 01/2017 | | | | | (95 | ) | | | $ | (9,662,203 | ) | | | | BAR | | | | $ | (214,294 | ) |
CAC40 Index | | | | 01/2017 | | | | | 294 | | | | | 15,050,022 | | | | | BAR | | | | | 276,311 | |
Hang Seng Index | | | | 01/2017 | | | | | 88 | | | | | 12,461,513 | | | | | BAR | | | | | 210,465 | |
Hang Seng Index | | | | 01/2017 | | | | | 31 | | | | | 4,389,851 | | | | | JPM | | | | | 86,806 | |
Hang Seng Index | | | | 01/2017 | | | | | 23 | | | | | 3,256,986 | | | | | GSC | | | | | 51,262 | |
IBEX 35 | | | | 01/2017 | | | | | (16 | ) | | | | (1,568,606 | ) | | | | BAR | | | | | (16,299 | ) |
MSCI Singapore Index | | | | 01/2017 | | | | | 62 | | | | | 1,369,168 | | | | | BAR | | | | | (6,469 | ) |
OMX 30 Index | | | | 01/2017 | | | | | (117 | ) | | | | (1,950,728 | ) | | | | BAR | | | | | 31,099 | |
FTSE 100 Index® | | | | 03/2017 | | | | | 247 | | | | | 21,460,519 | | | | | BAR | | | | | 501,663 | |
MSCI EAFE Index E-Mini | | | | 03/2017 | | | | | 518 | | | | | 43,398,040 | | | | | GSC | | | | | (394,199 | ) |
ASX SPI 200 Index | | | | 03/2017 | | | | | (416 | ) | | | | (42,261,673 | ) | | | | BAR | | | | | (766,359 | ) |
DAX Index | | | | 03/2017 | | | | | 99 | | | | | 29,869,971 | | | | | BAR | | | | | 526,364 | |
S&P/TSE 60 Index | | | | 03/2017 | | | | | (79 | ) | | | | (10,554,515 | ) | | | | BAR | | | | | (2,999 | ) |
324
| | | | | | | | | | | | | | | | | | | | | | | | | |
Fund/Future Type | | Expiration Date | | Open Long
(Short) Contracts | | Notional
Market Value
of Contracts | | Counter-
party | | Net Unrealized Appreciation
(Depreciation) on Futures |
Swiss Market Index Future | | | | 03/2017 | | | | | (92 | ) | | | $ | (7,384,032 | ) | | | | JPM | | | | $ | (151,844 | ) |
TOPIX Index® | | | | 03/2017 | | | | | 222 | | | | | 28,833,882 | | | | | BAR | | | | | 465,647 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | $ | 86,708,195 | | | | | | | | | $ | 597,154 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Emerging Markets Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
FTSE Bursa Malaysia KLCI | | | | 02/2017 | | | | | (20) | | | | $ | (364,579 | ) | | | | BAR | | | | $ | (2,618 | ) |
HSCEI Index | | | | 02/2017 | | | | | 75 | | | | | 4,540,945 | | | | | BAR | | | | | 97,373 | |
HSCEI Index | | | | 02/2017 | | | | | 74 | | | | | 4,388,180 | | | | | GSC | | | | | 87,880 | |
MSCI Singapore Index | | | | 02/2017 | | | | | (23) | | | | | (507,917 | ) | | | | BAR | | | | | 1,265 | |
MSCI Taiwan Index | | | | 02/2017 | | | | | 25 | | | | | 851,420 | | | | | GSC | | | | | 8,081 | |
MSCI Taiwan Index | | | | 02/2017 | | | | | 15 | | | | | 515,700 | | | | | BAR | | | | | 2,034 | |
SGX CNX Nifty Index | | | | 02/2017 | | | | | (274) | | | | | (4,485,106 | ) | | | | GSC | | | | | (96,821 | ) |
TA-25 Index | | | | 02/2017 | | | | | 5 | | | | | 190,909 | | | | | GSC | | | | | 1,170 | |
TAIEX | | | | 02/2017 | | | | | 29 | | | | | 1,675,141 | | | | | GSC | | | | | 2,372 | |
BIST 30 Index | | | | 03/2017 | | | | | 15 | | | | | 40,946 | | | | | JPM | | | | | 337 | |
Bovespa Index | | | | 03/2017 | | | | | (10) | | | | | (187,676 | ) | | | | GSC | | | | | (1,412 | ) |
MSCI Emerging Markets E-Mini | | | | 03/2017 | | | | | 525 | | | | | 22,546,125 | | | | | GSC | | | | | (153,656 | ) |
FTSE/JSE Top 40 Index | | | | 04/2017 | | | | | (100) | | | | | (3,226,067 | ) | | | | BAR | | | | | 42,698 | |
KOSPI 200 Index | | | | 04/2017 | | | | | 22 | | | | | 2,368,397 | | | | | JPM | | | | | 67,437 | |
KOSPI 200 Index | | | | 04/2017 | | | | | 21 | | | | | 2,260,743 | | | | | GSC | | | | | 72,188 | |
KOSPI 200 Index | | | | 04/2017 | | | | | 18 | | | | | 1,937,779 | | | | | BAR | | | | | 57,648 | |
Mexican Bolsa IPC Index | | | | 04/2017 | | | | | (6) | | | | | (132,517 | ) | | | | JPM | | | | | 2,725 | |
SET50 Index | | | | 04/2017 | | | | | (4) | | | | | (21,478 | ) | | | | BAR | | | | | 47 | |
WIG20 Index | | | | 04/2017 | | | | | (37) | | | | | (332,599 | ) | | | | GSC | | | | | (9,510 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | $ | 32,058,346 | | | | | | | | | $ | 179,238 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Inflation Protected Bond Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
Euro-Bund | | | | 03/2017 | | | | | 3 | | | | $ | 518,379 | | | | | UBS | | | | $ | 11,247 | |
Euro-Buxl® | | | | 03/2017 | | | | | (2) | | | | | (365,313 | ) | | | | UBS | | | | | (5,939 | ) |
Euro-Schatz | | | | 03/2017 | | | | | (167) | | | | | (19,739,816 | ) | | | | UBS | | | | | (24,158 | ) |
FTSE Bursa Malaysia KLCI | | | | 03/2017 | | | | | (3) | | | | | (427,304 | ) | | | | UBS | | | | | (4,385 | ) |
90-Day Euro | | | | 03/2017 | | | | | (23) | | | | | (5,690,200 | ) | | | | UBS | | | | | (2,044 | ) |
10-Year Australian Treasury Bond | | | | 03/2017 | | | | | (12) | | | | | (8,417,349 | ) | | | | UBS | | | | | (4,091 | ) |
10-Year Japanese Bond | | | | 03/2017 | | | | | (4) | | | | | (5,141,904 | ) | | | | UBS | | | | | (1,295 | ) |
10-Year U.S. Treasury Note | | | | 03/2017 | | | | | 91 | | | | | 11,309,594 | | | | | UBS | | | | | 12,952 | |
10-Year U.S. Ultra Note | | | | 03/2017 | | | | | (25) | | | | | (3,351,563 | ) | | | | UBS | | | | | (1,272 | ) |
Long Gilt | | | | 03/2017 | | | | | (4) | | | | | (620,295 | ) | | | | UBS | | | | | (10,454 | ) |
Long U.S. Treasury Bond | | | | 03/2017 | | | | | (11) | | | | | (1,657,219 | ) | | | | UBS | | | | | 1,723 | |
Ultra Long U.S. Treasury Bond | | | | 03/2017 | | | | | (56) | | | | | (8,974,000 | ) | | | | UBS | | | | | 64,607 | |
2-Year U.S. Treasury Note | | | | 04/2017 | | | | | (23) | | | | | (4,983,813 | ) | | | | UBS | | | | | 2,777 | |
5-Year U.S. Treasury Note | | | | 04/2017 | | | | | 243 | | | | | 28,592,367 | | | | | UBS | | | | | (65,864 | ) |
90-Day Euro | | | | 12/2017 | | | | | 59 | | | | | 14,525,800 | | | | | UBS | | | | | (81,958 | ) |
90-Day Euro | | | | 12/2018 | | | | | (59) | | | | | (14,455,000 | ) | | | | UBS | | | | | 134,173 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | $ | (18,877,636 | ) | | | | | | | | $ | 26,019 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Real Estate Securities Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
S&P 500® MidCap 400 | | | | 03/2017 | | | | | 35 | | | | $ | 5,806,850 | | | | | GSC | | | | $ | (92,554 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Global Natural Resources Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
British Pound | | | | 03/2017 | | | | | 24 | | | | $ | 1,853,700 | | | | | GSC | | | | $ | (56,316 | ) |
Canadian Dollar | | | | 03/2017 | | | | | 22 | | | | | 1,637,130 | | | | | GSC | | | | | (46,017 | ) |
FTSE 100 Index® | | | | 03/2017 | | | | | 20 | | | | | 1,737,694 | | | | | GSC | | | | | 40,643 | |
325
| | | | | | | | | | | | | | | | | | | | | | | | | |
Fund/Future Type | | Expiration Date | | Open Long
(Short) Contracts | | Notional
Market Value
of Contracts | | Counter-
party | | Net Unrealized Appreciation
(Depreciation) on Futures |
S&P 500® E-Mini | | | | 03/2017 | | | | | 1 | | | | $ | 111,810 | | | | | GSC | | | | $ | (799 | ) |
S&P/TSE 60 Index | | | | 03/2017 | | | | | 14 | | | | | 1,872,652 | | | | | GSC | | | | | (595 | ) |
XAE Energy | | | | 03/2017 | | | | | 72 | | | | | 5,427,360 | | | | | GSC | | | | | (88,690 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | $ | 12,640,346 | | | | | | | | | $ | (151,774 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts
As of December 31, 2016, 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 statements of assets and liabilities. 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 | | | | | | | | | | | | | | | | |
01/03/17 | | U.S. Dollars | | | 10,121,759 | | | Danish Kroner | | | 68,000,000 | | | DEUT | | $ | 491,122 | |
01/03/17 | | U.S. Dollars | | | 7,401,704 | | | Danish Kroner | | | 50,037,000 | | | UBS | | | 315,113 | |
01/03/17 | | U.S. Dollars | | | 4,845,186 | | | Danish Kroner | | | 31,254,840 | | | CITI | | | 418,656 | |
01/03/17 | | U.S. Dollars | | | 111,998 | | | Danish Kroner | | | 750,000 | | | DEUT | | | 5,778 | |
01/05/17 | | Canadian Dollars | | | 17,094,292 | | | U.S. Dollars | | | 12,967,001 | | | BOA | | | (234,271 | ) |
01/05/17 | | U.S. Dollars | | | 13,430,748 | | | Canadian Dollars | | | 18,052,000 | | | JPM | | | (15,332 | ) |
01/05/17 | | U.S. Dollars | | | 1,028,122 | | | Australian Dollars | | | 1,383,000 | | | NAB | | | 30,241 | |
01/05/17 | | Canadian Dollars | | | 826,000 | | | U.S. Dollars | | | 612,412 | | | WEST | | | 2,837 | |
01/05/17 | | Canadian Dollars | | | 312,236 | | | U.S. Dollars | | | 237,000 | | | BOA | | | (4,430 | ) |
01/05/17 | | U.S. Dollars | | | 252,267 | | | British Pounds | | | 202,000 | | | RBS | | | 3,277 | |
01/06/17 | | U.S. Dollars | | | 4,625,451 | | | Euro | | | 4,361,000 | | | BNP | | | 33,065 | |
01/06/17 | | Euro | | | 4,360,000 | | | U.S. Dollars | | | 4,538,442 | | | HSBC | | | 52,891 | |
01/06/17 | | Australian Dollars | | | 3,908,000 | | | U.S. Dollars | | | 2,874,134 | | | JPM | | | (54,456 | ) |
01/06/17 | | U.S. Dollars | | | 3,122,202 | | | Australian Dollars | | | 4,194,000 | | | HSBC | | | 96,170 | |
01/06/17 | | U.S. Dollars | | | 3,000,057 | | | Canadian Dollars | | | 3,984,000 | | | JPM | | | 32,527 | |
01/06/17 | | U.S. Dollars | | | 2,883,100 | | | Australian Dollars | | | 3,901,000 | | | JPM | | | 68,471 | |
01/06/17 | | U.S. Dollars | | | 1,482,666 | | | Euro | | | 1,411,000 | | | GSC | | | (3,199 | ) |
01/06/17 | | Euro | | | 1,412,000 | | | U.S. Dollars | | | 1,478,432 | | | GSC | | | 8,486 | |
01/10/17 | | U.S. Dollars | | | 1,516,689 | | | British Pounds | | | 1,192,000 | | | HSBC | | | 47,195 | |
01/10/17 | | U.S. Dollars | | | 1,023,308 | | | Euro | | | 950,000 | | | CITI | | | 22,683 | |
01/10/17 | | U.S. Dollars | | | 418,394 | | | Canadian Dollars | | | 554,000 | | | RBC | | | 5,719 | |
01/10/17 | | British Pounds | | | 114,000 | | | U.S. Dollars | | | 144,080 | | | HSBC | | | (3,542 | ) |
01/10/17 | | Canadian Dollars | | | 2,000 | | | U.S. Dollars | | | 1,511 | | | RBC | | | (21 | ) |
01/18/17 | | Canadian Dollars | | | 934,185 | | | U.S. Dollars | | | 690,000 | | | JPM | | | 5,946 | |
01/18/17 | | U.S. Dollars | | | 690,000 | | | Canadian Dollars | | | 925,830 | | | UBS | | | 278 | |
02/02/17 | | U.S. Dollars | | | 4,544,716 | | | Euro | | | 4,360,000 | | | HSBC | | | (53,213 | ) |
02/13/17 | | Mexican Pesos | | | 6,060,456 | | | U.S. Dollars | | | 292,000 | | | JPM | | | (1,514 | ) |
02/13/17 | | U.S. Dollars | | | 2,372,994 | | | Mexican Pesos | | | 45,463,000 | | | HSBC | | | 193,888 | |
02/13/17 | | Mexican Pesos | | | 2,156,000 | | | U.S. Dollars | | | 104,447 | | | BAR | | | (1,107 | ) |
02/13/17 | | U.S. Dollars | | | 696,962 | | | Euro | | | 652,000 | | | BOA | | | 9,059 | |
02/13/17 | | U.S. Dollars | | | 695,779 | | | British Pounds | | | 552,000 | | | BOA | | | 14,701 | |
02/13/17 | | U.S. Dollars | | | 235,701 | | | Mexican Pesos | | | 5,035,000 | | | HSBC | | | (5,634 | ) |
02/13/17 | | U.S. Dollars | | | 227,485 | | | Mexican Pesos | | | 4,746,000 | | | HSBC | | | 3 | |
02/13/17 | | U.S. Dollars | | | 189,459 | | | Mexican Pesos | | | 4,001,000 | | | BNP | | | (2,314 | ) |
02/14/17 | | Norwegian Krone | | | 3,585,000 | | | U.S. Dollars | | | 426,963 | | | GSC | | | (11,661 | ) |
02/14/17 | | U.S. Dollars | | | 274,148 | | | British Pounds | | | 217,000 | | | UBS | | | 6,400 | |
02/15/17 | | U.S. Dollars | | | 7,220,077 | | | Euro | | | 6,600,000 | | | RBS | | | 256,042 | |
326
| | | | | | | | | | | | | | | | | | |
Fund/Expiration Date | | Currency Purchased | | Amount
of Currency
Purchased | | | Currency Sold | | Amount
of Currency
Sold | | | Counter-
party | | Net Unrealized
Appreciation
(Depreciation) | |
04/03/17 | | U.S. Dollars | | | 4,666,875 | | | Danish Kroner | | | 30,600,000 | | | BNP | | $ | 311,055 | |
07/20/17 | | U.S. Dollars | | | 2,326,952 | | | Euro | | | 2,035,000 | | | GSC | | | 161,942 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | $ | 2,202,851 | |
| | | | | | | | | | | | | | | | | | |
Medium-Duration Bond Fund | |
01/03/17 | | U.S. Dollars | | | 405,460 | | | Danish Kroner | | | 2,895,000 | | | HKSB | | $ | (4,550 | ) |
01/06/17 | | Euro | | | 5,599,119 | | | U.S. Dollars | | | 5,828,274 | | | HKSB | | | 67,923 | |
01/06/17 | | U.S. Dollars | | | 11,336,580 | | | British Pounds | | | 9,066,000 | | | BNP | | | 161,329 | |
01/06/17 | | U.S. Dollars | | | 6,998,229 | | | Euro | | | 6,598,119 | | | BNP | | | 50,027 | |
01/06/17 | | Euro | | | 999,000 | | | U.S. Dollars | | | 1,063,799 | | | JPM | | | (11,794 | ) |
01/17/17 | | South Korean Won | | | 7,672,734,950 | | | U.S. Dollars | | | 6,433,080 | | | UBS | | | (80,427 | ) |
01/17/17 | | Indian Rupees | | | 9,281,162 | | | U.S. Dollars | | | 137,224 | | | GSC | | | (741 | ) |
01/17/17 | | U.S. Dollars | | | 6,182,012 | | | South Korean Won | | | 7,007,619,200 | | | UBS | | | 380,042 | |
01/17/17 | | U.S. Dollars | | | 585,000 | | | South Korean Won | | | 665,115,750 | | | BAR | | | 34,316 | |
01/17/17 | | U.S. Dollars | | | 136,327 | | | Indian Rupees | | | 9,281,162 | | | UBS | | | (156 | ) |
01/20/17 | | Mexican Pesos | | | 2,590,000 | | | U.S. Dollars | | | 126,446 | | | GSC | | | (1,921 | ) |
01/20/17 | | Indonesian Rupiahs | | | 22,179,120,000 | | | U.S. Dollars | | | 1,681,510 | | | CITIC | | | (40,588 | ) |
01/20/17 | | Indian Rupees | | | 107,180,000 | | | U.S. Dollars | | | 1,587,617 | | | CITIC | | | (11,996 | ) |
01/20/17 | | Indian Rupees | | | 87,040,000 | | | U.S. Dollars | | | 1,287,764 | | | CITIC | | | (8,216 | ) |
01/20/17 | | Mexican Pesos | | | 45,220,000 | | | U.S. Dollars | | | 2,315,910 | | | JPM | | | (141,762 | ) |
01/20/17 | | U.S. Dollars | | | 7,229,646 | | | Chinese Yuan Renminbi | | | 48,702,511 | | | BAR | | | 228,109 | |
01/20/17 | | U.S. Dollars | | | 5,590,467 | | | Japanese Yen | | | 576,120,000 | | | CITIC | | | 654,908 | |
01/20/17 | | Mexican Pesos | | | 2,550,000 | | | U.S. Dollars | | | 133,114 | | | JPM | | | (10,512 | ) |
01/20/17 | | Euro | | | 1,949,043 | | | U.S. Dollars | | | 2,187,645 | | | CITIC | | | (133,609 | ) |
01/20/17 | | U.S. Dollars | | | 1,750,746 | | | Polish Zloty | | | 6,730,000 | | | CITIC | | | 143,159 | |
01/20/17 | | U.S. Dollars | | | 1,526,944 | | | Chinese Yuan Renminbi | | | 10,300,000 | | | CITIG | | | 46,202 | |
01/20/17 | | U.S. Dollars | | | 986,456 | | | Chinese Yuan Renminbi | | | 6,780,000 | | | CITIC | | | 11,754 | |
01/20/17 | | U.S. Dollars | | | 978,289 | | | Japanese Yen | | | 103,888,523 | | | CITIC | | | 88,287 | |
01/20/17 | | British Pounds | | | 850,000 | | | U.S. Dollars | | | 1,056,159 | | | BAR | | | (7,980 | ) |
01/20/17 | | U.S. Dollars | | | 772,841 | | | Mexican Pesos | | | 15,100,000 | | | CITIC | | | 46,843 | |
01/20/17 | | U.S. Dollars | | | 709,304 | | | British Pounds | | | 563,373 | | | BOA | | | 14,579 | |
01/20/17 | | British Pounds | | | 484,000 | | | U.S. Dollars | | | 603,157 | | | CITIC | | | (6,312 | ) |
01/20/17 | | U.S. Dollars | | | 455,769 | | | Mexican Pesos | | | 9,436,741 | | | CS | | | 2,056 | |
01/20/17 | | U.S. Dollars | | | 67,184 | | | Euro | | | 63,001 | | | CITIC | | | 790 | |
01/20/17 | | U.S. Dollars | | | 56,496 | | | Euro | | | 51,001 | | | CITIC | | | 2,748 | |
02/02/17 | | U.S. Dollars | | | 5,836,331 | | | Euro | | | 5,599,119 | | | HKSB | | | (68,337 | ) |
02/02/17 | | U.S. Dollars | | | 869,922 | | | Mexican Pesos | | | 17,906,558 | | | BAR | | | 10,593 | |
02/02/17 | | U.S. Dollars | | | 834,925 | | | Mexican Pesos | | | 16,970,693 | | | MSCS | | | 20,509 | |
02/02/17 | | U.S. Dollars | | | 821,132 | | | Brazilian Reals | | | 2,664,000 | | | JPM | | | 11,050 | |
02/02/17 | | Brazilian Reals | | | 810,508 | | | U.S. Dollars | | | 240,478 | | | MSCS | | | 5,985 | |
02/09/17 | | U.S. Dollars | | | 224,058 | | | Euro | | | 215,501 | | | JPM | | | (3,270 | ) |
02/13/17 | | U.S. Dollars | | | 2,536,852 | | | Euro | | | 2,282,121 | | | CITIC | | | 129,062 | |
02/13/17 | | U.S. Dollars | | | 1,703,403 | | | British Pounds | | | 1,379,296 | | | BOA | | | 1,576 | |
02/13/17 | | U.S. Dollars | | | 983,633 | | | Euro | | | 882,297 | | | BOA | | | 52,751 | |
02/13/17 | | Euro | | | 792,686 | | | U.S. Dollars | | | 884,440 | | | UBS | | | (48,103 | ) |
02/13/17 | | U.S. Dollars | | | 140,458 | | | Euro | | | 126,001 | | | CITIC | | | 7,519 | |
02/13/17 | | U.S. Dollars | | | 91,371 | | | Mexican Pesos | | | 1,750,525 | | | HKSB | | | 7,466 | |
02/16/17 | | U.S. Dollars | | | 1,509,611 | | | Mexican Pesos | | | 30,788,526 | | | UBS | | | 34,362 | |
02/23/17 | | U.S. Dollars | | | 1,518,122 | | | Mexican Pesos | | | 31,189,057 | | | RBC | | | 24,833 | |
03/02/17 | | U.S. Dollars | | | 752,046 | | | Mexican Pesos | | | 15,360,530 | | | UBS | | | 17,205 | |
03/02/17 | | U.S. Dollars | | | 751,953 | | | Mexican Pesos | | | 15,357,131 | | | RBC | | | 17,275 | |
327
| | | | | | | | | | | | | | | | | | |
Fund/Expiration Date | | Currency Purchased | | Amount
of Currency
Purchased | | | Currency Sold | | Amount
of Currency
Sold | | | Counter-
party | | Net Unrealized
Appreciation
(Depreciation) | |
03/02/17 | | U.S. Dollars | | | 61,669 | | | Mexican Pesos | | | 1,273,270 | | | MSCS | | $ | 756 | |
03/15/17 | | Japanese Yen | | | 17,149,387 | | | U.S. Dollars | | | 147,000 | | | UBS | | | 288 | |
03/15/17 | | Switzerland Francs | | | 149,276 | | | Euro | | | 139,000 | | | CS | | | 407 | |
03/15/17 | | Japanese Yen | | | 34,279,665 | | | U.S. Dollars | | | 294,000 | | | UBS | | | 411 | |
03/15/17 | | Japanese Yen | | | 34,273,135 | | | U.S. Dollars | | | 292,000 | | | MLCS | | | 2,355 | |
03/15/17 | | Japanese Yen | | | 33,668,349 | | | U.S. Dollars | | | 286,000 | | | SS | | | 3,161 | |
03/15/17 | | Japanese Yen | | | 17,175,994 | | | U.S. Dollars | | | 146,000 | | | MSCS | | | 1,516 | |
03/15/17 | | Japanese Yen | | | 17,127,216 | | | U.S. Dollars | | | 146,000 | | | UBS | | | 1,097 | |
03/15/17 | | Japanese Yen | | | 17,116,533 | | | U.S. Dollars | | | 147,000 | | | SS | | | 6 | |
03/15/17 | | Japanese Yen | | | 16,885,239 | | | U.S. Dollars | | | 143,000 | | | BNP | | | 2,019 | |
03/15/17 | | Japanese Yen | | | 16,858,699 | | | U.S. Dollars | | | 143,000 | | | CITIG | | | 1,791 | |
03/15/17 | | Japanese Yen | | | 16,831,171 | | | U.S. Dollars | | | 143,000 | | | SS | | | 1,555 | |
03/15/17 | | Japanese Yen | | | 16,376,703 | | | U.S. Dollars | | | 143,000 | | | UBS | | | (2,349 | ) |
03/15/17 | | Swedish Kronor | | | 13,683,918 | | | Euro | | | 1,408,194 | | | JPM | | | 20,700 | |
03/15/17 | | Swedish Kronor | | | 10,351,229 | | | Euro | | | 1,066,752 | | | RBS | | | 14,052 | |
03/15/17 | | Swedish Kronor | | | 6,980,799 | | | Euro | | | 715,101 | | | BAR | | | 14,030 | |
03/15/17 | | Norwegian Krone | | | 3,537,816 | | | Euro | | | 393,782 | | | CITIG | | | (6,206 | ) |
03/15/17 | | Norwegian Krone | | | 2,422,818 | | | Euro | | | 270,000 | | | SS | | | (4,593 | ) |
03/15/17 | | U.S. Dollars | | | 1,690,641 | | | Australian Dollars | | | 2,284,243 | | | WEST | | | 45,232 | |
03/15/17 | | Swedish Kronor | | | 1,571,207 | | | U.S. Dollars | | | 169,007 | | | SS | | | 4,224 | |
03/15/17 | | Swedish Kronor | | | 1,325,456 | | | Euro | | | 136,000 | | | BNP | | | 2,428 | |
03/15/17 | | Swedish Kronor | | | 1,314,772 | | | Euro | | | 135,000 | | | SS | | | 2,307 | |
03/15/17 | | Swedish Kronor | | | 1,311,422 | | | Euro | | | 135,000 | | | BNP | | | 1,938 | |
03/15/17 | | Norwegian Krone | | | 1,283,997 | | | Euro | | | 141,000 | | | JPM | | | (226 | ) |
03/15/17 | | Norwegian Krone | | | 1,278,111 | | | Euro | | | 141,000 | | | BNP | | | (909 | ) |
03/15/17 | | Norwegian Krone | | | 1,277,498 | | | Euro | | | 140,000 | | | RBC | | | 77 | |
03/15/17 | | Norwegian Krone | | | 1,276,748 | | | Euro | | | 140,000 | | | JPM | | | (9 | ) |
03/15/17 | | Norwegian Krone | | | 1,274,237 | | | Euro | | | 140,000 | | | RBC | | | (300 | ) |
03/15/17 | | U.S. Dollars | | | 1,021,568 | | | British Pounds | | | 808,190 | | | SC | | | 23,677 | |
03/15/17 | | U.S. Dollars | | | 702,850 | | | Canadian Dollars | | | 922,498 | | | SS | | | 15,164 | |
03/15/17 | | New Zealand Dollars | | | 701,666 | | | U.S. Dollars | | | 501,168 | | | CS | | | (14,819 | ) |
03/15/17 | | Swedish Kronor | | | 680,960 | | | Euro | | | 70,000 | | | SS | | | 1,111 | |
03/15/17 | | Norwegian Krone | | | 561,460 | | | Swedish Kronor | | | 590,151 | | | SS | | | (16 | ) |
03/15/17 | | Norwegian Krone | | | 507,989 | | | U.S. Dollars | | | 58,494 | | | CITIG | | | 362 | |
03/15/17 | | U.S. Dollars | | | 487,374 | | | Japanese Yen | | | 56,144,323 | | | SS | | | 5,178 | |
03/15/17 | | Switzerland Francs | | | 464,266 | | | Euro | | | 431,835 | | | UBS | | | 1,765 | |
03/15/17 | | Australian Dollars | | | 453,810 | | | U.S. Dollars | | | 338,123 | | | BNP | | | (11,229 | ) |
03/15/17 | | U.S. Dollars | | | 294,381 | | | British Pounds | | | 238,000 | | | UBS | | | 516 | |
03/15/17 | | U.S. Dollars | | | 287,000 | | | Japanese Yen | | | 33,241,373 | | | RBC | | | 1,506 | |
03/15/17 | | Euro | | | 286,828 | | | U.S. Dollars | | | 300,760 | | | SC | | | 2,323 | |
03/15/17 | | U.S. Dollars | | | 286,525 | | | Euro | | | 275,000 | | | CITIG | | | (4,059 | ) |
03/15/17 | | U.S. Dollars | | | 286,000 | | | Japanese Yen | | | 33,535,216 | | | SS | | | (2,018 | ) |
03/15/17 | | U.S. Dollars | | | 285,281 | | | Australian Dollars | | | 386,000 | | | SS | | | 7,233 | |
03/15/17 | | Euro | | | 272,000 | | | British Pounds | | | 228,360 | | | RBS | | | 5,452 | |
03/15/17 | | Australian Dollars | | | 204,000 | | | New Zealand Dollars | | | 211,386 | | | WEST | | | 428 | |
03/15/17 | | Australian Dollars | | | 202,000 | | | U.S. Dollars | | | 145,780 | | | WEST | | | (273 | ) |
03/15/17 | | Australian Dollars | | | 200,000 | | | U.S. Dollars | | | 145,649 | | | UBS | | | (1,582 | ) |
03/15/17 | | Canadian Dollars | | | 199,294 | | | U.S. Dollars | | | 147,000 | | | RBC | | | 1,566 | |
03/15/17 | | Canadian Dollars | | | 198,174 | | | U.S. Dollars | | | 147,000 | | | RBC | | | 731 | |
03/15/17 | | Canadian Dollars | | | 194,996 | | | U.S. Dollars | | | 146,000 | | | MSCS | | | (638 | ) |
03/15/17 | | Australian Dollars | | | 194,000 | | | U.S. Dollars | | | 142,448 | | | CITIG | | | (2,704 | ) |
328
| | | | | | | | | | | | | | | | | | | | |
Fund/Expiration Date | | Currency Purchased | | Amount
of Currency
Purchased | | | Currency Sold | | Amount
of Currency
Sold | | | Counter-
party | | | Net Unrealized
Appreciation
(Depreciation) | |
03/15/17 | | Australian Dollars | | | 193,000 | | | U.S. Dollars | | | 142,204 | | | | SS | | | $ | (3,180 | ) |
03/15/17 | | Canadian Dollars | | | 191,197 | | | U.S. Dollars | | | 143,000 | | | | RBC | | | | (470 | ) |
03/15/17 | | Canadian Dollars | | | 191,150 | | | U.S. Dollars | | | 143,000 | | | | RBC | | | | (505 | ) |
03/15/17 | | Canadian Dollars | | | 190,789 | | | U.S. Dollars | | | 143,000 | | | | RBC | | | | (775 | ) |
03/15/17 | | Canadian Dollars | | | 187,257 | | | U.S. Dollars | | | 143,000 | | | | RBC | | | | (3,407 | ) |
03/15/17 | | U.S. Dollars | | | 148,963 | | | Euro | | | 141,316 | | | | BAR | | | | (361 | ) |
03/15/17 | | U.S. Dollars | | | 147,591 | | | Euro | | | 140,293 | | | | SS | | | | (652 | ) |
03/15/17 | | U.S. Dollars | | | 147,325 | | | Euro | | | 141,000 | | | | BNP | | | | (1,665 | ) |
03/15/17 | | U.S. Dollars | | | 147,115 | | | Euro | | | 140,000 | | | | MLCS | | | | (819 | ) |
03/15/17 | | U.S. Dollars | | | 147,000 | | | Japanese Yen | | | 17,038,770 | | | | CITIG | | | | 662 | |
03/15/17 | | U.S. Dollars | | | 147,000 | | | Japanese Yen | | | 17,049,060 | | | | CITIG | | | | 574 | |
03/15/17 | | U.S. Dollars | | | 147,000 | | | Japanese Yen | | | 17,050,089 | | | | SS | | | | 565 | |
03/15/17 | | U.S. Dollars | | | 147,000 | | | Japanese Yen | | | 17,121,207 | | | | HKSB | | | | (46 | ) |
03/15/17 | | U.S. Dollars | | | 147,000 | | | Canadian Dollars | | | 197,924 | | | | RBC | | | | (545 | ) |
03/15/17 | | U.S. Dollars | | | 147,000 | | | Canadian Dollars | | | 198,365 | | | | RBC | | | | (873 | ) |
03/15/17 | | U.S. Dollars | | | 147,000 | | | Japanese Yen | | | 17,226,342 | | | | SS | | | | (949 | ) |
03/15/17 | | Switzerland Francs | | | 146,983 | | | Euro | | | 137,000 | | | | CS | | | | 258 | |
03/15/17 | | U.S. Dollars | | | 146,941 | | | Euro | | | 140,000 | | | | BNP | | | | (993 | ) |
03/15/17 | | U.S. Dollars | | | 146,915 | | | Euro | | | 140,000 | | | | SS | | | | (1,019 | ) |
03/15/17 | | U.S. Dollars | | | 146,906 | | | Euro | | | 140,000 | | | | UBS | | | | (1,027 | ) |
03/15/17 | | U.S. Dollars | | | 146,710 | | | Euro | | | 140,000 | | | | SC | | | | (1,223 | ) |
03/15/17 | | U.S. Dollars | | | 146,414 | | | Australian Dollars | | | 203,000 | | | | HKSB | | | | 187 | |
03/15/17 | | Australian Dollars | | | 146,405 | | | U.S. Dollars | | | 105,498 | | | | CITIG | | | | (38 | ) |
03/15/17 | | U.S. Dollars | | | 146,000 | | | Japanese Yen | | | 16,976,734 | | | | SC | | | | 195 | |
03/15/17 | | U.S. Dollars | | | 146,000 | | | Japanese Yen | | | 17,045,792 | | | | CS | | | | (398 | ) |
03/15/17 | | U.S. Dollars | | | 146,000 | | | Japanese Yen | | | 17,057,326 | | | | BAR | | | | (497 | ) |
03/15/17 | | U.S. Dollars | | | 146,000 | | | Japanese Yen | | | 17,084,978 | | | | MSCS | | | | (735 | ) |
03/15/17 | | U.S. Dollars | | | 146,000 | | | Japanese Yen | | | 17,124,632 | | | | BAR | | | | (1,075 | ) |
03/15/17 | | U.S. Dollars | | | 146,000 | | | Japanese Yen | | | 17,133,100 | | | | MSCS | | | | (1,148 | ) |
03/15/17 | | U.S. Dollars | | | 146,000 | | | Japanese Yen | | | 17,188,288 | | | | MLCS | | | | (1,622 | ) |
03/15/17 | | U.S. Dollars | | | 146,000 | | | Japanese Yen | | | 17,188,507 | | | | SS | | | | (1,624 | ) |
03/15/17 | | U.S. Dollars | | | 145,660 | | | New Zealand Dollars | | | 210,000 | | | | CITIG | | | | 102 | |
03/15/17 | | U.S. Dollars | | | 144,227 | | | Euro | | | 135,000 | | | | BAR | | | | 1,576 | |
03/15/17 | | U.S. Dollars | | | 143,356 | | | British Pounds | | | 114,000 | | | | BAR | | | | 2,597 | |
03/15/17 | | U.S. Dollars | | | 143,339 | | | Euro | | | 135,000 | | | | MLCS | | | | 689 | |
03/15/17 | | U.S. Dollars | | | 143,000 | | | Canadian Dollars | | | 189,031 | | | | JPM | | | | 2,085 | |
03/15/17 | | U.S. Dollars | | | 143,000 | | | Canadian Dollars | | | 189,868 | | | | JPM | | | | 1,461 | |
03/15/17 | | U.S. Dollars | | | 143,000 | | | Japanese Yen | | | 16,810,522 | | | | MLCS | | | | (1,377 | ) |
03/15/17 | | U.S. Dollars | | | 142,996 | | | British Pounds | | | 113,000 | | | | MLCS | | | | 3,472 | |
03/15/17 | | U.S. Dollars | | | 142,786 | | | New Zealand Dollars | | | 200,000 | | | | UBS | | | | 4,159 | |
03/15/17 | | U.S. Dollars | | | 142,768 | | | Australian Dollars | | | 192,000 | | | | SC | | | | 4,464 | |
03/15/17 | | U.S. Dollars | | | 142,599 | | | Australian Dollars | | | 191,000 | | | | BAR | | | | 5,016 | |
03/15/17 | | Euro | | | 141,000 | | | U.S. Dollars | | | 147,169 | | | | BNP | | | | 1,821 | |
03/15/17 | | Euro | | | 141,000 | | | U.S. Dollars | | | 147,234 | | | | SS | | | | 1,757 | |
03/15/17 | | Euro | | | 141,000 | | | Swedish Kronor | | | 1,349,976 | | | | SS | | | | 151 | |
03/15/17 | | Euro | | | 141,000 | | | Swedish Kronor | | | 1,358,758 | | | | SS | | | | (817 | ) |
03/15/17 | | Euro | | | 141,000 | | | Swedish Kronor | | | 1,363,139 | | | | SS | | | | (1,300 | ) |
03/15/17 | | Euro | | | 137,000 | | | U.S. Dollars | | | 143,323 | | | | HKSB | | | | 1,441 | |
03/15/17 | | Euro | | | 135,360 | | | U.S. Dollars | | | 140,873 | | | | DEUT | | | | 2,157 | |
03/15/17 | | Euro | | | 134,900 | | | Swedish Kronor | | | 1,287,521 | | | | CITIG | | | | 591 | |
03/15/17 | | Euro | | | 126,629 | | | U.S. Dollars | | | 132,468 | | | | MLCS | | | | 1,337 | |
03/15/17 | | British Pounds | | | 120,267 | | | Euro | | | 140,000 | | | | CITIG | | | | 563 | |
329
| | | | | | | | | | | | | | | | | | | | |
Fund/Expiration Date | | Currency Purchased | | Amount
of Currency
Purchased | | | Currency Sold | | Amount
of Currency
Sold | | | Counter-
party | | | Net Unrealized
Appreciation
(Depreciation) | |
03/15/17 | | British Pounds | | | 119,224 | | | Euro | | | 140,000 | | | | BAR | | | $ | (725 | ) |
03/15/17 | | British Pounds | | | 119,000 | | | U.S. Dollars | | | 146,677 | | | | SS | | | | 255 | |
03/15/17 | | New Zealand Dollars | | | 118,870 | | | U.S. Dollars | | | 81,937 | | | | CS | | | | 456 | |
03/15/17 | | British Pounds | | | 118,000 | | | U.S. Dollars | | | 145,906 | | | | RBS | | | | (208 | ) |
03/15/17 | | British Pounds | | | 118,000 | | | Japanese Yen | | | 17,088,170 | | | | SS | | | | (1,064 | ) |
03/15/17 | | British Pounds | | | 115,000 | | | U.S. Dollars | | | 143,902 | | | | BAR | | | | (1,909 | ) |
03/15/17 | | U.S. Dollars | | | 105,888 | | | Swedish Kronor | | | 970,573 | | | | CS | | | | (1,120 | ) |
03/15/17 | | Australian Dollars | | | 97,950 | | | U.S. Dollars | | | 70,333 | | | | CS | | | | 223 | |
03/15/17 | | New Zealand Dollars | | | 93,374 | | | U.S. Dollars | | | 64,472 | | | | MLCS | | | | 249 | |
03/15/17 | | Euro | | | 90,727 | | | Australian Dollars | | | 129,651 | | | | DEUT | | | | 2,477 | |
03/15/17 | | New Zealand Dollars | | | 85,170 | | | U.S. Dollars | | | 58,587 | | | | BAR | | | | 448 | |
03/15/17 | | U.S. Dollars | | | 82,313 | | | Swedish Kronor | | | 760,864 | | | | SS | | | | (1,574 | ) |
03/15/17 | | Euro | | | 77,144 | | | U.S. Dollars | | | 80,783 | | | | SS | | | | 733 | |
03/15/17 | | U.S. Dollars | | | 70,597 | | | Swedish Kronor | | | 646,460 | | | | SS | | | | (677 | ) |
03/15/17 | | U.S. Dollars | | | 58,855 | | | Swedish Kronor | | | 548,791 | | | | MSCS | | | | (1,651 | ) |
03/15/17 | | U.S. Dollars | | | 58,611 | | | Euro | | | 55,920 | | | | CS | | | | (478 | ) |
03/15/17 | | U.S. Dollars | | | 58,498 | | | Australian Dollars | | | 79,806 | | | | CS | | | | 1,011 | |
03/16/17 | | U.S. Dollars | | | 884,033 | | | Mexican Pesos | | | 18,085,292 | | | | CITIG | | | | 20,453 | |
03/16/17 | | U.S. Dollars | | | 375,078 | | | Mexican Pesos | | | 7,662,093 | | | | MLCS | | | | 9,210 | |
03/16/17 | | U.S. Dollars | | | 294,824 | | | Mexican Pesos | | | 6,098,142 | | | | MSCS | | | | 3,635 | |
03/16/17 | | U.S. Dollars | | | 233,308 | | | Mexican Pesos | | | 4,815,233 | | | | MLCS | | | | 3,378 | |
03/21/17 | | U.S. Dollars | | | 6,436,750 | | | South Korean Won | | | 7,672,734,950 | | | | UBS | | | | 83,387 | |
03/22/17 | | Swedish Kronor | | | 5,694,767 | | | Euro | | | 583,444 | | | | SS | | | | 11,376 | |
03/22/17 | | U.S. Dollars | | | 1,076,950 | | | Canadian Dollars | | | 1,443,148 | | | | RBC | | | | 1,043 | |
03/30/17 | | U.S. Dollars | | | 746,896 | | | Mexican Pesos | | | 15,288,517 | | | | CITIG | | | | 18,219 | |
03/30/17 | | U.S. Dollars | | | 587,227 | | | Mexican Pesos | | | 12,168,526 | | | | UBS | | | | 7,255 | |
04/03/17 | | U.S. Dollars | | | 5,686,235 | | | Danish Kroner | | | 36,813,115 | | | | UBS | | | | 445,996 | |
04/03/17 | | Danish Kroner | | | 49,115 | | | U.S. Dollars | | | 7,458 | | | | HKSB | | | | (467 | ) |
04/20/17 | | Indian Rupees | | | 9,281,162 | | | U.S. Dollars | | | 134,861 | | | | UBS | | | | 102 | |
06/08/17 | | U.S. Dollars | | | 2,393,298 | | | Mexican Pesos | | | 50,098,902 | | | | JPM | | | | 31,549 | |
12/17/18 | | U.S. Dollars | | | 8,859,257 | | | Japanese Yen | | | 970,000,000 | | | | BNP | | | | 163,005 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 2,631,743 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Global Bond Fund | | | | | | | | | | | | | | | | | | | | |
02/13/17 | | Japanese Yen | | | 744,255,000 | | | U.S. Dollars | | | 7,128,128 | | | | DEUT | | | $ | (745,159 | ) |
02/13/17 | | Japanese Yen | | | 646,590,000 | | | U.S. Dollars | | | 5,921,696 | | | | CITIG | | | | (376,333 | ) |
02/13/17 | | Japanese Yen | | | 494,970,000 | | | U.S. Dollars | | | 4,203,317 | | | | UBS | | | | 41,704 | |
02/13/17 | | Japanese Yen | | | 231,200,000 | | | U.S. Dollars | | | 2,249,946 | | | | UBS | | | | (267,101 | ) |
02/13/17 | | Japanese Yen | | | 226,850,000 | | | U.S. Dollars | | | 2,028,261 | | | | UBS | | | | (82,722 | ) |
02/13/17 | | Mexican Pesos | | | 18,065,079 | | | U.S. Dollars | | | 943,110 | | | | DEUT | | | | (77,225 | ) |
02/13/17 | | Swedish Kronor | | | 5,133,306 | | | U.S. Dollars | | | 577,214 | | | | BAR | | | | (12,187 | ) |
02/13/17 | | U.S. Dollars | | | 4,394,199 | | | British Pounds | | | 3,584,041 | | | | DEUT | | | | (27,925 | ) |
02/13/17 | | Euro | | | 4,010,000 | | | U.S. Dollars | | | 4,197,103 | | | | HKSB | | | | 33,714 | |
02/13/17 | | Euro | | | 3,850,000 | | | U.S. Dollars | | | 4,080,249 | | | | CITIG | | | | (18,243 | ) |
02/13/17 | | Euro | | | 2,891,122 | | | U.S. Dollars | | | 3,216,374 | | | | HSBC | | | | (166,047 | ) |
02/13/17 | | U.S. Dollars | | | 2,015,943 | | | Euro | | | 1,808,255 | | | | BOA | | | | 108,113 | |
02/13/17 | | U.S. Dollars | | | 1,552,225 | | | Euro | | | 1,395,000 | | | | JPM | | | | 80,407 | |
02/13/17 | | U.S. Dollars | | | 1,485,087 | | | Euro | | | 1,335,966 | | | | CITI | | | | 75,553 | |
02/13/17 | | Euro | | | 750,058 | | | U.S. Dollars | | | 836,878 | | | | UBS | | | | (45,516 | ) |
02/13/17 | | U.S. Dollars | | | 579,727 | | | Swedish Kronor | | | 5,130,000 | | | | UBS | | | | 15,063 | |
02/13/17 | | U.S. Dollars | | | 319,140 | | | British Pounds | | | 259,710 | | | | BAR | | | | (1,300 | ) |
330
| | | | | | | | | | | | | | | | | | | | |
Fund/Expiration Date | | Currency Purchased | | Amount
of Currency
Purchased | | | Currency Sold | | Amount
of Currency
Sold | | | Counter-
party | | | Net Unrealized
Appreciation
(Depreciation) | |
02/13/17 | | U.S. Dollars | | | 311,715 | | | Japanese Yen | | | 32,140,000 | | | | HSBC | | | $ | 36,072 | |
02/13/17 | | U.S. Dollars | | | 246,386 | | | British Pounds | | | 200,000 | | | | GSC | | | | (381 | ) |
02/13/17 | | U.S. Dollars | | | 185,265 | | | British Pounds | | | 150,000 | | | | UBS | | | | 189 | |
03/07/17 | | Indonesian Rupiahs | | | 26,810,100,000 | | | U.S. Dollars | | | 1,945,298 | | | | CITIG | | | | 24,705 | |
03/07/17 | | Indian Rupees | | | 235,950,000 | | | U.S. Dollars | | | 3,418,822 | | | | JPM | | | | 31,715 | |
03/07/17 | | Indian Rupees | | | 20,867,535 | | | U.S. Dollars | | | 302,792 | | | | CITIG | | | | 2,375 | |
03/07/17 | | U.S. Dollars | | | 2,908,260 | | | Brazilian Reals | | | 10,249,000 | | | | BAR | | | | (182,188 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | (1,552,717 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Defensive Market Strategies Fund | | | | | | | | | | | | | | | | | | |
03/31/17 | | Japanese Yen | | | 20,518,720 | | | U.S. Dollars | | | 175,953 | | | | CS | | | $ | 433 | |
03/31/17 | | U.S. Dollars | | | 5,404,293 | | | Euro | | | 5,182,433 | | | | UBS | | | | (76,912 | ) |
03/31/17 | | U.S. Dollars | | | 174,195 | | | Japanese Yen | | | 20,518,720 | | | | CS | | | | (2,192 | ) |
03/31/17 | | U.S. Dollars | | | 163,819 | | | Euro | | | 156,346 | | | | UBS | | | | (1,540 | ) |
03/31/17 | | U.S. Dollars | | | 146,188 | | | Euro | | | 139,287 | | | | UBS | | | | (1,128 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | (81,339 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
International Equity Fund | | | | | | | | | | | | | | | | | | |
03/15/17 | | Japanese Yen | | | 1,092,218,284 | | | U.S. Dollars | | | 9,609,600 | | | | CITIG | | | $ | (229,072 | ) |
03/15/17 | | Japanese Yen | | | 1,038,151,204 | | | U.S. Dollars | | | 9,058,911 | | | | CITIG | | | | (142,739 | ) |
03/15/17 | | Japanese Yen | | | 867,169,343 | | | U.S. Dollars | | | 7,745,367 | | | | CITIG | | | | (297,674 | ) |
03/15/17 | | Japanese Yen | | | 844,470,606 | | | U.S. Dollars | | | 7,454,225 | | | | CITIG | | | | (201,480 | ) |
03/15/17 | | Japanese Yen | | | 534,658,351 | | | U.S. Dollars | | | 4,722,585 | | | | CITIG | | | | (130,666 | ) |
03/15/17 | | Japanese Yen | | | 524,082,740 | | | U.S. Dollars | | | 4,563,210 | | | | CITIG | | | | (62,120 | ) |
03/15/17 | | Japanese Yen | | | 520,840,608 | | | U.S. Dollars | | | 4,570,398 | | | | CITIG | | | | (97,153 | ) |
03/15/17 | | Japanese Yen | | | 427,360,864 | | | U.S. Dollars | | | 3,749,971 | | | | CITIG | | | | (79,578 | ) |
03/15/17 | | Japanese Yen | | | 397,866,000 | | | U.S. Dollars | | | 3,467,587 | | | | CITIG | | | | (50,511 | ) |
03/15/17 | | Japanese Yen | | | 345,060,000 | | | U.S. Dollars | | | 3,042,895 | | | | CITIG | | | | (79,344 | ) |
03/15/17 | | Japanese Yen | | | 281,678,000 | | | U.S. Dollars | | | 2,402,409 | | | | CITIG | | | | 16,786 | |
03/15/17 | | Norwegian Krone | | | 60,006,000 | | | U.S. Dollars | | | 6,873,506 | | | | CITIG | | | | 78,784 | |
03/15/17 | | Norwegian Krone | | | 31,764,000 | | | U.S. Dollars | | | 3,773,648 | | | | CITIG | | | | (93,474 | ) |
03/15/17 | | Norwegian Krone | | | 25,475,000 | | | U.S. Dollars | | | 2,972,590 | | | | CITIG | | | | (21,058 | ) |
03/15/17 | | Norwegian Krone | | | 20,152,763 | | | U.S. Dollars | | | 2,408,290 | | | | CITIG | | | | (73,393 | ) |
03/15/17 | | Norwegian Krone | | | 19,399,226 | | | U.S. Dollars | | | 2,297,654 | | | | CITIG | | | | (50,061 | ) |
03/15/17 | | Norwegian Krone | | | 19,188,167 | | | U.S. Dollars | | | 2,289,890 | | | | CITIG | | | | (66,751 | ) |
03/15/17 | | Norwegian Krone | | | 14,908,000 | | | U.S. Dollars | | | 1,779,964 | | | | CITIG | | | | (52,725 | ) |
03/15/17 | | Canadian Dollars | | | 12,068,000 | | | U.S. Dollars | | | 9,024,457 | | | | CITIG | | | | (28,235 | ) |
03/15/17 | | U.S. Dollars | | | 10,689,716 | | | Euro | | | 10,026,000 | | | | CITIG | | | | 95,556 | |
03/15/17 | | Norwegian Krone | | | 9,594,084 | | | U.S. Dollars | | | 1,148,996 | | | | CITIG | | | | (37,427 | ) |
03/15/17 | | Norwegian Krone | | | 9,531,832 | | | U.S. Dollars | | | 1,127,458 | | | | CITIG | | | | (23,101 | ) |
03/15/17 | | Norwegian Krone | | | 8,100,317 | | | U.S. Dollars | | | 965,482 | | | | CITIG | | | | (26,980 | ) |
03/15/17 | | U.S. Dollars | | | 7,480,157 | | | Switzerland Francs | | | 7,663,000 | | | | CITIG | | | | (80,607 | ) |
03/15/17 | | U.S. Dollars | | | 7,465,060 | | | Euro | | | 6,921,000 | | | | CITIG | | | | 151,855 | |
03/15/17 | | Swedish Kronor | | | 7,084,000 | | | U.S. Dollars | | | 774,872 | | | | CITIG | | | | 6,162 | |
03/15/17 | | Euro | | | 7,008,000 | | | U.S. Dollars | | | 7,294,024 | | | | CITIG | | | | 111,110 | |
03/15/17 | | U.S. Dollars | | | 6,869,133 | | | Japanese Yen | | | 808,761,000 | | | | CITIG | | | | (76,920 | ) |
03/15/17 | | Canadian Dollars | | | 5,686,000 | | | U.S. Dollars | | | 4,186,845 | | | | CITIG | | | | 51,845 | |
03/15/17 | | Norwegian Krone | | | 4,568,611 | | | U.S. Dollars | | | 540,850 | | | | CITIG | | | | (11,531 | ) |
03/15/17 | | Norwegian Krone | | | 4,504,000 | | | U.S. Dollars | | | 517,943 | | | | CITIG | | | | 3,890 | |
03/15/17 | | U.S. Dollars | | | 4,490,076 | | | Swedish Kronor | | | 40,747,948 | | | | CITIG | | | | (2,513 | ) |
03/15/17 | | U.S. Dollars | | | 4,288,957 | | | Swedish Kronor | | | 39,081,528 | | | | CITIG | | | | (19,904 | ) |
331
| | | | | | | | | | | | | | | | | | | | |
Fund/Expiration Date | | Currency Purchased | | Amount
of Currency
Purchased | | | Currency Sold | | Amount
of Currency
Sold | | | Counter-
party | | | Net Unrealized
Appreciation
(Depreciation) | |
03/15/17 | | U.S. Dollars | | | 4,185,051 | | | Canadian Dollars | | | 5,612,279 | | | | CITIG | | | $ | 1,316 | |
03/15/17 | | Canadian Dollars | | | 3,914,000 | | | U.S. Dollars | | | 2,946,180 | | | | CITIG | | | | (28,446 | ) |
03/15/17 | | New Zealand Dollars | | | 3,540,836 | | | U.S. Dollars | | | 2,498,619 | | | | CITIG | | | | (44,341 | ) |
03/15/17 | | U.S. Dollars | | | 3,456,453 | | | Switzerland Francs | | | 3,467,657 | | | | CITIG | | | | 35,060 | |
03/15/17 | | U.S. Dollars | | | 3,426,055 | | | Switzerland Francs | | | 3,442,220 | | | | CITIG | | | | 29,759 | |
03/15/17 | | British Pounds | | | 3,380,974 | | | U.S. Dollars | | | 4,229,141 | | | | CITIG | | | | (54,571 | ) |
03/15/17 | | New Zealand Dollars | | | 3,307,491 | | | U.S. Dollars | | | 2,355,015 | | | | CITIG | | | | (62,477 | ) |
03/15/17 | | U.S. Dollars | | | 3,249,176 | | | Switzerland Francs | | | 3,264,410 | | | | CITIG | | | | 28,318 | |
03/15/17 | | U.S. Dollars | | | 3,181,301 | | | Swedish Kronor | | | 28,838,647 | | | | CITIG | | | | 1,750 | |
03/15/17 | | New Zealand Dollars | | | 3,138,929 | | | U.S. Dollars | | | 2,228,370 | | | | CITIG | | | | (52,669 | ) |
03/15/17 | | Australian Dollars | | | 3,068,789 | | | U.S. Dollars | | | 2,263,124 | | | | CITIG | | | | (52,581 | ) |
03/15/17 | | Canadian Dollars | | | 2,870,000 | | | U.S. Dollars | | | 2,137,091 | | | | CITIG | | | | 2,382 | |
03/15/17 | | Hong Kong Dollars | | | 2,867,127 | | | U.S. Dollars | | | 369,991 | | | | CITIG | | | | (149 | ) |
03/15/17 | | U.S. Dollars | | | 2,808,867 | | | Canadian Dollars | | | 3,728,574 | | | | CITIG | | | | 29,361 | |
03/15/17 | | British Pounds | | | 2,798,026 | | | U.S. Dollars | | | 3,530,534 | | | | CITIG | | | | (75,744 | ) |
03/15/17 | | U.S. Dollars | | | 2,762,248 | | | Switzerland Francs | | | 2,791,552 | | | | CITIG | | | | 7,940 | |
03/15/17 | | Hong Kong Dollars | | | 2,720,891 | | | U.S. Dollars | | | 351,016 | | | | CITIG | | | | (38 | ) |
03/15/17 | | U.S. Dollars | | | 2,693,104 | | | Switzerland Francs | | | 2,720,341 | | | | CITIG | | | | 9,056 | |
03/15/17 | | U.S. Dollars | | | 2,692,064 | | | Switzerland Francs | | | 2,720,341 | | | | CITIG | | | | 8,017 | |
03/15/17 | | U.S. Dollars | | | 2,645,733 | | | Canadian Dollars | | | 3,500,543 | | | | CITIG | | | | 36,215 | |
03/15/17 | | U.S. Dollars | | | 2,613,385 | | | Canadian Dollars | | | 3,470,483 | | | | CITIG | | | | 26,275 | |
03/15/17 | | U.S. Dollars | | | 2,532,062 | | | Swedish Kronor | | | 23,038,000 | | | | CITIG | | | | (7,950 | ) |
03/15/17 | | U.S. Dollars | | | 2,391,493 | | | Swedish Kronor | | | 21,784,410 | | | | CITIG | | | | (10,307 | ) |
03/15/17 | | New Zealand Dollars | | | 2,317,149 | | | U.S. Dollars | | | 1,638,905 | | | | CITIG | | | | (32,808 | ) |
03/15/17 | | New Zealand Dollars | | | 2,314,864 | | | U.S. Dollars | | | 1,648,620 | | | | CITIG | | | | (44,106 | ) |
03/15/17 | | New Zealand Dollars | | | 2,303,675 | | | U.S. Dollars | | | 1,630,229 | | | | CITIG | | | | (33,471 | ) |
03/15/17 | | Norwegian Krone | | | 2,208,000 | | | U.S. Dollars | | | 261,778 | | | | CITIG | | | | (5,960 | ) |
03/15/17 | | Danish Kroner | | | 2,197,000 | | | U.S. Dollars | | | 318,640 | | | | CITIG | | | | (6,267 | ) |
03/15/17 | | U.S. Dollars | | | 2,039,249 | | | Swedish Kronor | | | 18,718,460 | | | | CITIG | | | | (24,520 | ) |
03/15/17 | | U.S. Dollars | | | 1,992,830 | | | Swedish Kronor | | | 18,188,926 | | | | CITIG | | | | (12,556 | ) |
03/15/17 | | U.S. Dollars | | | 1,980,983 | | | Switzerland Francs | | | 2,030,000 | | | | CITIG | | | | (21,934 | ) |
03/15/17 | | U.S. Dollars | | | 1,966,275 | | | Canadian Dollars | | | 2,617,269 | | | | CITIG | | | | 15,203 | |
03/15/17 | | U.S. Dollars | | | 1,872,727 | | | British Pounds | | | 1,531,000 | | | | CITIG | | | | (17,635 | ) |
03/15/17 | | Hong Kong Dollars | | | 1,818,982 | | | U.S. Dollars | | | 234,810 | | | | CITIG | | | | (172 | ) |
03/15/17 | | U.S. Dollars | | | 1,768,201 | | | Canadian Dollars | | | 2,347,852 | | | | CITIG | | | | 17,969 | |
03/15/17 | | Australian Dollars | | | 1,746,000 | | | U.S. Dollars | | | 1,299,177 | | | | CITIG | | | | (41,480 | ) |
03/15/17 | | Israeli Shekels | | | 1,621,009 | | | U.S. Dollars | | | 425,639 | | | | CITIG | | | | (3,929 | ) |
03/15/17 | | U.S. Dollars | | | 1,596,134 | | | Swedish Kronor | | | 14,381,941 | | | | CITIG | | | | 10,480 | |
03/15/17 | | U.S. Dollars | | | 1,547,942 | | | Switzerland Francs | | | 1,560,602 | | | | CITIG | | | | 8,161 | |
03/15/17 | | U.S. Dollars | | | 1,532,086 | | | British Pounds | | | 1,203,000 | | | | CITIG | | | | 46,713 | |
03/15/17 | | Australian Dollars | | | 1,518,542 | | | U.S. Dollars | | | 1,133,133 | | | | CITIG | | | | (39,280 | ) |
03/15/17 | | British Pounds | | | 1,473,000 | | | U.S. Dollars | | | 1,847,622 | | | | CITIG | | | | (28,873 | ) |
03/15/17 | | Australian Dollars | | | 1,468,448 | | | U.S. Dollars | | | 1,092,471 | | | | CITIG | | | | (34,702 | ) |
03/15/17 | | Danish Kroner | | | 1,354,000 | | | U.S. Dollars | | | 194,683 | | | | CITIG | | | | (2,169 | ) |
03/15/17 | | U.S. Dollars | | | 1,289,277 | | | Swedish Kronor | | | 11,811,022 | | | | CITIG | | | | (12,925 | ) |
03/15/17 | | Israeli Shekels | | | 1,225,167 | | | U.S. Dollars | | | 323,807 | | | | CITIG | | | | (5,076 | ) |
03/15/17 | | Israeli Shekels | | | 1,211,986 | | | U.S. Dollars | | | 320,709 | | | | CITIG | | | | (5,407 | ) |
03/15/17 | | New Zealand Dollars | | | 1,190,000 | | | U.S. Dollars | | | 856,024 | | | | CITIG | | | | (31,193 | ) |
03/15/17 | | U.S. Dollars | | | 1,046,655 | | | Swedish Kronor | | | 9,523,118 | | | | CITIG | | | | (3,299 | ) |
03/15/17 | | Australian Dollars | | | 1,004,514 | | | U.S. Dollars | | | 743,906 | | | | CITIG | | | | (20,323 | ) |
03/15/17 | | Australian Dollars | | | 991,696 | | | U.S. Dollars | | | 736,590 | | | | CITIG | | | | (22,241 | ) |
03/15/17 | | Switzerland Francs | | | 941,000 | | | U.S. Dollars | | | 931,600 | | | | CITIG | | | | (3,154 | ) |
332
| | | | | | | | | | | | | | | | | | | | |
Fund/Expiration Date | | Currency Purchased | | Amount
of Currency
Purchased | | | Currency Sold | | Amount
of Currency
Sold | | | Counter-
party | | | Net Unrealized
Appreciation
(Depreciation) | |
03/15/17 | | U.S. Dollars | | | 940,380 | | | Switzerland Francs | | | 950,516 | | | | CITIG | | | $ | 2,545 | |
03/15/17 | | U.S. Dollars | | | 930,565 | | | Switzerland Francs | | | 936,361 | | | | CITIG | | | | 6,696 | |
03/15/17 | | Israeli Shekels | | | 903,513 | | | U.S. Dollars | | | 236,802 | | | | CITIG | | | | (1,750 | ) |
03/15/17 | | U.S. Dollars | | | 871,398 | | | Japanese Yen | | | 100,121,000 | | | | CITIG | | | | 11,507 | |
03/15/17 | | Israeli Shekels | | | 804,866 | | | U.S. Dollars | | | 212,101 | | | | CITIG | | | | (2,712 | ) |
03/15/17 | | Australian Dollars | | | 786,456 | | | U.S. Dollars | | | 584,465 | | | | CITIG | | | | (17,956 | ) |
03/15/17 | | New Zealand Dollars | | | 717,777 | | | U.S. Dollars | | | 515,481 | | | | CITIG | | | | (17,964 | ) |
03/15/17 | | New Zealand Dollars | | | 702,279 | | | U.S. Dollars | | | 502,246 | | | | CITIG | | | | (15,472 | ) |
03/15/17 | | Israeli Shekels | | | 675,459 | | | U.S. Dollars | | | 176,762 | | | | CITIG | | | | (1,040 | ) |
03/15/17 | | Euro | | | 643,000 | | | U.S. Dollars | | | 685,001 | | | | CITIG | | | | (5,563 | ) |
03/15/17 | | Hong Kong Dollars | | | 621,000 | | | U.S. Dollars | | | 80,055 | | | | CITIG | | | | 50 | |
03/15/17 | | U.S. Dollars | | | 529,205 | | | Danish Kroner | | | 3,658,727 | | | | CITIG | | | | 9,001 | |
03/15/17 | | Australian Dollars | | | 515,000 | | | U.S. Dollars | | | 385,245 | | | | CITIG | | | | (14,275 | ) |
03/15/17 | | U.S. Dollars | | | 500,511 | | | Danish Kroner | | | 3,440,273 | | | | CITIG | | | | 11,367 | |
03/15/17 | | Australian Dollars | | | 494,555 | | | U.S. Dollars | | | 369,215 | | | | CITIG | | | | (12,972 | ) |
03/15/17 | | U.S. Dollars | | | 451,268 | | | Swedish Kronor | | | 4,211,000 | | | | CITIG | | | | (13,008 | ) |
03/15/17 | | Singapore Dollars | | | 359,168 | | | U.S. Dollars | | | 252,140 | | | | CITIG | | | | (4,215 | ) |
03/15/17 | | Singapore Dollars | | | 351,293 | | | U.S. Dollars | | | 246,554 | | | | CITIG | | | | (4,066 | ) |
03/15/17 | | Canadian Dollars | | | 341,000 | | | U.S. Dollars | | | 260,294 | | | | CITIG | | | | (6,092 | ) |
03/15/17 | | Singapore Dollars | | | 333,735 | | | U.S. Dollars | | | 234,297 | | | | CITIG | | | | (3,929 | ) |
03/15/17 | | U.S. Dollars | | | 305,669 | | | Euro | | | 283,639 | | | | CITIG | | | | 5,956 | |
03/15/17 | | U.S. Dollars | | | 304,435 | | | Euro | | | 285,327 | | | | CITIG | | | | 2,939 | |
03/15/17 | | Singapore Dollars | | | 289,940 | | | U.S. Dollars | | | 204,811 | | | | CITIG | | | | (4,673 | ) |
03/15/17 | | U.S. Dollars | | | 288,460 | | | Swedish Kronor | | | 2,646,000 | | | | CITIG | | | | (3,269 | ) |
03/15/17 | | U.S. Dollars | | | 285,753 | | | Euro | | | 264,235 | | | | CITIG | | | | 6,544 | |
03/15/17 | | Singapore Dollars | | | 274,516 | | | U.S. Dollars | | | 191,730 | | | | CITIG | | | | (2,239 | ) |
03/15/17 | | U.S. Dollars | | | 267,345 | | | Hong Kong Dollars | | | 2,074,000 | | | | CITIG | | | | (189 | ) |
03/15/17 | | U.S. Dollars | | | 248,227 | | | Euro | | | 231,258 | | | | CITIG | | | | 3,864 | |
03/15/17 | | U.S. Dollars | | | 201,411 | | | Euro | | | 189,092 | | | | CITIG | | | | 1,603 | |
03/15/17 | | U.S. Dollars | | | 201,360 | | | Euro | | | 189,093 | | | | CITIG | | | | 1,551 | |
03/15/17 | | U.S. Dollars | | | 181,202 | | | Euro | | | 169,719 | | | | CITIG | | | | 1,865 | |
03/15/17 | | U.S. Dollars | | | 172,220 | | | British Pounds | | | 135,000 | | | | CITIG | | | | 5,532 | |
03/15/17 | | U.S. Dollars | | | 146,160 | | | Danish Kroner | | | 1,042,000 | | | | CITIG | | | | (1,993 | ) |
03/15/17 | | Singapore Dollars | | | 142,661 | | | U.S. Dollars | | | 100,517 | | | | CITIG | | | | (2,042 | ) |
03/15/17 | | Singapore Dollars | | | 137,000 | | | U.S. Dollars | | | 96,582 | | | | CITIG | | | | (2,014 | ) |
03/15/17 | | U.S. Dollars | | | 135,032 | | | Danish Kroner | | | 941,000 | | | | CITIG | | | | 1,239 | |
03/15/17 | | Danish Kroner | | | 135,000 | | | U.S. Dollars | | | 18,963 | | | | CITIG | | | | 231 | |
03/15/17 | | Singapore Dollars | | | 134,544 | | | U.S. Dollars | | | 93,954 | | | | CITIG | | | | (1,082 | ) |
03/15/17 | | Singapore Dollars | | | 134,143 | | | U.S. Dollars | | | 94,204 | | | | CITIG | | | | (1,608 | ) |
03/15/17 | | U.S. Dollars | | | 119,643 | | | Swedish Kronor | | | 1,085,000 | | | | CITIG | | | | 18 | |
03/15/17 | | Euro | | | 100,000 | | | U.S. Dollars | | | 104,983 | | | | CITIG | | | | 684 | |
03/15/17 | | Israeli Shekels | | | 94,000 | | | U.S. Dollars | | | 24,783 | | | | CITIG | | | | (329 | ) |
03/15/17 | | U.S. Dollars | | | 89,280 | | | Hong Kong Dollars | | | 692,000 | | | | CITIG | | | | 16 | |
03/15/17 | | U.S. Dollars | | | 80,667 | | | Euro | | | 75,637 | | | | CITIG | | | | 744 | |
03/15/17 | | U.S. Dollars | | | 78,020 | | | Euro | | | 73,000 | | | | CITIG | | | | 884 | |
03/15/17 | | U.S. Dollars | | | 63,004 | | | Hong Kong Dollars | | | 489,000 | | | | CITIG | | | | (74 | ) |
03/15/17 | | Israeli Shekels | | | 49,000 | | | U.S. Dollars | | | 12,936 | | | | CITIG | | | | (188 | ) |
03/15/17 | | U.S. Dollars | | | 43,176 | | | British Pounds | | | 34,000 | | | | CITIG | | | | 1,195 | |
03/15/17 | | Hong Kong Dollars | | | 39,000 | | | U.S. Dollars | | | 5,032 | | | | CITIG | | | | (1 | ) |
03/15/17 | | U.S. Dollars | | | 35,720 | | | Singapore Dollars | | | 51,000 | | | | CITIG | | | | 516 | |
03/15/17 | | Swedish Kronor | | | 35,000 | | | U.S. Dollars | | | 3,847 | | | | CITIG | | | | 12 | |
333
| | | | | | | | | | | | | | | | | | | | |
Fund/Expiration Date | | Currency Purchased | | Amount
of Currency
Purchased | | | Currency Sold | | Amount
of Currency
Sold | | | Counter-
party | | | Net Unrealized
Appreciation
(Depreciation) | |
03/15/17 | | U.S. Dollars | | | 29,372 | | | Danish Kroner | | | 205,000 | | | | CITIG | | | $ | 224 | |
03/15/17 | | U.S. Dollars | | | 27,959 | | | British Pounds | | | 22,000 | | | | CITIG | | | | 795 | |
03/15/17 | | U.S. Dollars | | | 25,238 | | | Singapore Dollars | | | 36,000 | | | | CITIG | | | | 388 | |
03/15/17 | | U.S. Dollars | | | 21,061 | | | Singapore Dollars | | | 30,000 | | | | CITIG | | | | 353 | |
03/15/17 | | U.S. Dollars | | | 18,926 | | | Hong Kong Dollars | | | 147,000 | | | | CITIG | | | | (36 | ) |
03/15/17 | | U.S. Dollars | | | 17,950 | | | Singapore Dollars | | | 26,000 | | | | CITIG | | | | 2 | |
03/15/17 | | U.S. Dollars | | | 12,546 | | | Israeli Shekels | | | 48,000 | | | | CITIG | | | | 59 | |
03/15/17 | | U.S. Dollars | | | 9,035 | | | Norwegian Krone | | | 76,000 | | | | CITIG | | | | 230 | |
03/15/17 | | U.S. Dollars | | | 8,195 | | | Danish Kroner | | | 57,000 | | | | CITIG | | | | 91 | |
03/15/17 | | U.S. Dollars | | | 5,207 | | | Israeli Shekels | | | 20,000 | | | | CITIG | | | | 4 | |
03/15/17 | | U.S. Dollars | | | 4,418 | | | Israeli Shekels | | | 17,000 | | | | CITIG | | | | (4 | ) |
03/15/17 | | Switzerland Francs | | | 4,000 | | | U.S. Dollars | | | 3,979 | | | | CITIG | | | | (32 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | (2,109,889 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Emerging Markets Equity Fund | | | | | | | | | | | | | | | | | | |
03/15/17 | | Indonesian Rupiahs | | | 8,424,518,535 | | | U.S. Dollars | | | 622,141 | | | | CITIG | | | $ | (3,714 | ) |
03/15/17 | | Indonesian Rupiahs | | | 7,356,707,483 | | | U.S. Dollars | | | 545,979 | | | | CITIG | | | | (5,939 | ) |
03/15/17 | | Indonesian Rupiahs | | | 7,126,106,356 | | | U.S. Dollars | | | 513,966 | | | | CITIG | | | | 9,147 | |
03/15/17 | | Indonesian Rupiahs | | | 7,060,635,735 | | | U.S. Dollars | | | 508,693 | | | | CITIG | | | | 9,614 | |
03/15/17 | | Indonesian Rupiahs | | | 6,920,261,824 | | | U.S. Dollars | | | 501,745 | | | | CITIG | | | | 6,258 | |
03/15/17 | | Indonesian Rupiahs | | | 6,911,635,855 | | | U.S. Dollars | | | 508,625 | | | | CITIG | | | | (1,256 | ) |
03/15/17 | | Columbian Peso | | | 1,510,000,000 | | | U.S. Dollars | | | 484,909 | | | | CITIG | | | | 11,639 | |
03/15/17 | | South Korean Won | | | 780,000,000 | | | U.S. Dollars | | | 666,408 | | | | CITIG | | | | (20,538 | ) |
03/15/17 | | South Korean Won | | | 680,000,000 | | | U.S. Dollars | | | 579,467 | | | | CITIG | | | | (16,401 | ) |
03/15/17 | | South Korean Won | | | 600,000,000 | | | U.S. Dollars | | | 511,856 | | | | CITIG | | | | (15,034 | ) |
03/15/17 | | Columbian Peso | | | 570,000,000 | | | U.S. Dollars | | | 178,305 | | | | CITIG | | | | 9,133 | |
03/15/17 | | Columbian Peso | | | 560,000,000 | | | U.S. Dollars | | | 174,061 | | | | CITIG | | | | 10,089 | |
03/15/17 | | Columbian Peso | | | 560,000,000 | | | U.S. Dollars | | | 178,874 | | | | CITIG | | | | 5,276 | |
03/15/17 | | Chilean Peso | | | 549,899,848 | | | U.S. Dollars | | | 816,684 | | | | CITIG | | | | (12 | ) |
03/15/17 | | Chilean Peso | | | 544,372,037 | | | U.S. Dollars | | | 802,616 | | | | CITIG | | | | 5,847 | |
03/15/17 | | Chilean Peso | | | 543,581,115 | | | U.S. Dollars | | | 799,563 | | | | CITIG | | | | 7,724 | |
03/15/17 | | South Korean Won | | | 470,000,000 | | | U.S. Dollars | | | 401,883 | | | | CITIG | | | | (12,705 | ) |
03/15/17 | | Columbian Peso | | | 450,000,000 | | | U.S. Dollars | | | 146,963 | | | | CITIG | | | | 1,014 | |
03/15/17 | | Columbian Peso | | | 390,000,000 | | | U.S. Dollars | | | 127,813 | | | | CITIG | | | | 434 | |
03/15/17 | | Columbian Peso | | | 390,000,000 | | | U.S. Dollars | | | 128,420 | | | | CITIG | | | | (173 | ) |
03/15/17 | | South Korean Won | | | 370,000,000 | | | U.S. Dollars | | | 316,463 | | | | CITIG | | | | (10,090 | ) |
03/15/17 | | Columbian Peso | | | 350,000,000 | | | U.S. Dollars | | | 116,552 | | | | CITIG | | | | (1,458 | ) |
03/15/17 | | Columbian Peso | | | 330,000,000 | | | U.S. Dollars | | | 108,653 | | | | CITIG | | | | (136 | ) |
03/15/17 | | Columbian Peso | | | 310,000,000 | | | U.S. Dollars | | | 100,906 | | | | CITIG | | | | 1,034 | |
03/15/17 | | Columbian Peso | | | 310,000,000 | | | U.S. Dollars | | | 102,194 | | | | CITIG | | | | (253 | ) |
03/15/17 | | South Korean Won | | | 310,000,000 | | | U.S. Dollars | | | 263,918 | | | | CITIG | | | | (7,226 | ) |
03/15/17 | | South Korean Won | | | 310,000,000 | | | U.S. Dollars | | | 265,344 | | | | CITIG | | | | (8,652 | ) |
03/15/17 | | Columbian Peso | | | 290,000,000 | | | U.S. Dollars | | | 92,890 | | | | CITIG | | | | 2,474 | |
03/15/17 | | Columbian Peso | | | 280,000,000 | | | U.S. Dollars | | | 89,911 | | | | CITIG | | | | 2,164 | |
03/15/17 | | South Korean Won | | | 223,298,000 | | | U.S. Dollars | | | 192,002 | | | | CITIG | | | | (7,103 | ) |
03/15/17 | | Columbian Peso | | | 200,000,000 | | | U.S. Dollars | | | 63,788 | | | | CITIG | | | | 1,980 | |
03/15/17 | | South Korean Won | | | 190,000,000 | | | U.S. Dollars | | | 163,968 | | | | CITIG | | | | (6,641 | ) |
03/15/17 | | Columbian Peso | | | 170,000,000 | | | U.S. Dollars | | | 55,894 | | | | CITIG | | | | 8 | |
03/15/17 | | Columbian Peso | | | 110,000,000 | | | U.S. Dollars | | | 36,316 | | | | CITIG | | | | (143 | ) |
03/15/17 | | Russian Rubles | | | 66,697,831 | | | U.S. Dollars | | | 1,023,392 | | | | CITIG | | | | 46,888 | |
03/15/17 | | Russian Rubles | | | 66,193,330 | | | U.S. Dollars | | | 1,017,854 | | | | CITIG | | | | 44,330 | |
334
| | | | | | | | | | | | | | | | | | | | |
Fund/Expiration Date | | Currency Purchased | | Amount
of Currency
Purchased | | | Currency Sold | | Amount
of Currency
Sold | | | Counter-
party | | | Net Unrealized
Appreciation
(Depreciation) | |
03/15/17 | | Russian Rubles | | | 66,091,297 | | | U.S. Dollars | | | 1,016,121 | | | | CITIG | | | $ | 44,426 | |
03/15/17 | | Indian Rupees | | | 58,012,911 | | | U.S. Dollars | | | 853,435 | | | | CITIG | | | | (5,913 | ) |
03/15/17 | | Indian Rupees | | | 43,514,956 | | | U.S. Dollars | | | 634,287 | | | | CITIG | | | | 1,432 | |
03/15/17 | | Indian Rupees | | | 42,886,965 | | | U.S. Dollars | | | 629,139 | | | | CITIG | | | | (2,594 | ) |
03/15/17 | | Russian Rubles | | | 41,743,542 | | | U.S. Dollars | | | 639,917 | | | | CITIG | | | | 29,929 | |
03/15/17 | | Indian Rupees | | | 40,090,010 | | | U.S. Dollars | | | 577,502 | | | | CITIG | | | | 8,182 | |
03/15/17 | | South Korean Won | | | 20,000,000 | | | U.S. Dollars | | | 17,081 | | | | CITIG | | | | (520 | ) |
03/15/17 | | Indian Rupees | | | 19,356,847 | | | U.S. Dollars | | | 280,312 | | | | CITIG | | | | 2,476 | |
03/15/17 | | Philippine Peso | | | 18,400,000 | | | U.S. Dollars | | | 366,389 | | | | CITIG | | | | 2,764 | |
03/15/17 | | Taiwan Dollars | | | 17,593,294 | | | U.S. Dollars | | | 552,684 | | | | CITIG | | | | (4,922 | ) |
03/15/17 | | Philippine Peso | | | 17,300,000 | | | U.S. Dollars | | | 344,109 | | | | CITIG | | | | 2,976 | |
03/15/17 | | Czech Republic Koruna | | | 16,900,000 | | | U.S. Dollars | | | 668,383 | | | | CITIG | | | | (7,432 | ) |
03/15/17 | | Philippine Peso | | | 14,900,000 | | | U.S. Dollars | | | 296,224 | | | | CITIG | | | | 2,710 | |
03/15/17 | | Indian Rupees | | | 14,177,311 | | | U.S. Dollars | | | 205,068 | | | | CITIG | | | | 2,051 | |
03/15/17 | | Mexican Pesos | | | 13,700,000 | | | U.S. Dollars | | | 654,753 | | | | CITIG | | | | (485 | ) |
03/15/17 | | Mexican Pesos | | | 13,400,000 | | | U.S. Dollars | | | 639,651 | | | | CITIG | | | | 290 | |
03/15/17 | | Mexican Pesos | | | 12,600,000 | | | U.S. Dollars | | | 601,549 | | | | CITIG | | | | 187 | |
03/15/17 | | Mexican Pesos | | | 12,400,000 | | | U.S. Dollars | | | 605,959 | | | | CITIG | | | | (13,775 | ) |
03/15/17 | | South African Rand | | | 12,299,889 | | | U.S. Dollars | | | 886,914 | | | | CITIG | | | | (3,862 | ) |
03/15/17 | | Philippine Peso | | | 12,000,000 | | | U.S. Dollars | | | 238,096 | | | | CITIG | | | | 2,656 | |
03/15/17 | | Mexican Pesos | | | 9,900,000 | | | U.S. Dollars | | | 475,353 | | | | CITIG | | | | (2,560 | ) |
03/15/17 | | South African Rand | | | 9,311,441 | | | U.S. Dollars | | | 660,755 | | | | CITIG | | | | 7,746 | |
03/15/17 | | Russian Rubles | | | 9,000,000 | | | U.S. Dollars | | | 143,278 | | | | CITIG | | | | 1,142 | |
03/15/17 | | Brazilian Reals | | | 8,688,756 | | | U.S. Dollars | | | 2,492,840 | | | | CITIG | | | | 121,735 | |
03/15/17 | | South African Rand | | | 8,588,856 | | | U.S. Dollars | | | 599,734 | | | | CITIG | | | | 16,889 | |
03/15/17 | | Taiwan Dollars | | | 8,500,511 | | | U.S. Dollars | | | 265,783 | | | | CITIG | | | | (1,122 | ) |
03/15/17 | | Taiwan Dollars | | | 8,463,195 | | | U.S. Dollars | | | 264,352 | | | | CITIG | | | | (853 | ) |
03/15/17 | | South African Rand | | | 8,404,924 | | | U.S. Dollars | | | 608,500 | | | | CITIG | | | | (5,081 | ) |
03/15/17 | | South African Rand | | | 8,199,926 | | | U.S. Dollars | | | 585,399 | | | | CITIG | | | | 3,302 | |
03/15/17 | | Hong Kong Dollars | | | 7,348,779 | | | U.S. Dollars | | | 948,331 | | | | CITIG | | | | (383 | ) |
03/15/17 | | Russian Rubles | | | 7,155,000 | | | U.S. Dollars | | | 110,043 | | | | CITIG | | | | 4,771 | |
03/15/17 | | South African Rand | | | 7,148,177 | | | U.S. Dollars | | | 514,574 | | | | CITIG | | | | (1,382 | ) |
03/15/17 | | Hong Kong Dollars | | | 6,973,959 | | | U.S. Dollars | | | 899,695 | | | | CITIG | | | | (96 | ) |
03/15/17 | | Mexican Pesos | | | 6,300,000 | | | U.S. Dollars | | | 306,419 | | | | CITIG | | | | (5,551 | ) |
03/15/17 | | Brazilian Reals | | | 5,805,713 | | | U.S. Dollars | | | 1,637,702 | | | | CITIG | | | | 109,322 | |
03/15/17 | | Brazilian Reals | | | 5,558,300 | | | U.S. Dollars | | | 1,557,718 | | | | CITIG | | | | 114,857 | |
03/15/17 | | Mexican Pesos | | | 5,400,000 | | | U.S. Dollars | | | 258,975 | | | | CITIG | | | | (1,088 | ) |
03/15/17 | | Mexican Pesos | | | 5,000,000 | | | U.S. Dollars | | | 239,239 | | | | CITIG | | | | (455 | ) |
03/15/17 | | Brazilian Reals | | | 4,793,889 | | | U.S. Dollars | | | 1,355,279 | | | | CITIG | | | | 87,273 | |
03/15/17 | | Hong Kong Dollars | | | 4,662,262 | | | U.S. Dollars | | | 601,845 | | | | CITIG | | | | (441 | ) |
03/15/17 | | Czech Republic Koruna | | | 4,300,000 | | | U.S. Dollars | | | 166,903 | | | | CITIG | | | | 1,268 | |
03/15/17 | | U.S. Dollars | | | 4,250,873 | | | Turkish Lira | | | 14,944,000 | | | | CITIG | | | | 81,690 | |
03/15/17 | | South African Rand | �� | | 4,247,422 | | | U.S. Dollars | | | 303,458 | | | | CITIG | | | | 1,479 | |
03/15/17 | | Polish Zloty | | | 4,223,000 | | | U.S. Dollars | | | 1,003,291 | | | | CITIG | | | | 4,550 | |
03/15/17 | | South African Rand | | | 4,099,963 | | | U.S. Dollars | | | 293,778 | | | | CITIG | | | | 572 | |
03/15/17 | | Mexican Pesos | | | 4,000,000 | | | U.S. Dollars | | | 191,995 | | | | CITIG | | | | (967 | ) |
03/15/17 | | Mexican Pesos | | | 4,000,000 | | | U.S. Dollars | | | 193,555 | | | | CITIG | | | | (2,528 | ) |
03/15/17 | | Brazilian Reals | | | 3,603,342 | | | U.S. Dollars | | | 1,032,776 | | | | CITIG | | | | 51,523 | |
03/15/17 | | Mexican Pesos | | | 3,100,000 | | | U.S. Dollars | | | 150,377 | | | | CITIG | | | | (2,330 | ) |
03/15/17 | | Russian Rubles | | | 3,000,000 | | | U.S. Dollars | | | 48,670 | | | | CITIG | | | | (530 | ) |
03/15/17 | | Taiwan Dollars | | | 2,900,000 | | | U.S. Dollars | | | 91,425 | | | | CITIG | | | | (1,135 | ) |
335
| | | | | | | | | | | | | | | | | | | | |
Fund/Expiration Date | | Currency Purchased | | Amount
of Currency
Purchased | | | Currency Sold | | Amount
of Currency
Sold | | | Counter-
party | | | Net Unrealized
Appreciation
(Depreciation) | |
03/15/17 | | Mexican Pesos | | | 2,800,000 | | | U.S. Dollars | | | 135,633 | | | | CITIG | | | $ | (1,914 | ) |
03/15/17 | | Brazilian Reals | | | 2,580,000 | | | U.S. Dollars | | | 736,134 | | | | CITIG | | | | 40,226 | |
03/15/17 | | Israeli Shekels | | | 2,330,000 | | | U.S. Dollars | | | 602,434 | | | | CITIG | | | | 3,722 | |
03/15/17 | | Thailand Baht | | | 2,200,000 | | | U.S. Dollars | | | 61,729 | | | | CITIG | | | | (316 | ) |
03/15/17 | | South African Rand | | | 2,154,402 | | | U.S. Dollars | | | 150,287 | | | | CITIG | | | | 4,385 | |
03/15/17 | | Hong Kong Dollars | | | 2,100,000 | | | U.S. Dollars | | | 270,920 | | | | CITIG | | | | (32 | ) |
03/15/17 | | Russian Rubles | | | 2,000,000 | | | U.S. Dollars | | | 32,568 | | | | CITIG | | | | (475 | ) |
03/15/17 | | Brazilian Reals | | | 1,920,000 | | | U.S. Dollars | | | 549,201 | | | | CITIG | | | | 28,555 | |
03/15/17 | | U.S. Dollars | | | 1,913,501 | | | Singapore Dollars | | | 2,725,766 | | | | CITIG | | | | 31,976 | |
03/15/17 | | U.S. Dollars | | | 1,871,110 | | | Singapore Dollars | | | 2,665,995 | | | | CITIG | | | | 30,843 | |
03/15/17 | | U.S. Dollars | | | 1,778,095 | | | Singapore Dollars | | | 2,532,752 | | | | CITIG | | | | 29,802 | |
03/15/17 | | U.S. Dollars | | | 1,554,325 | | | Singapore Dollars | | | 2,200,389 | | | | CITIG | | | | 35,454 | |
03/15/17 | | U.S. Dollars | | | 1,455,049 | | | Singapore Dollars | | | 2,083,333 | | | | CITIG | | | | 16,979 | |
03/15/17 | | Hong Kong Dollars | | | 1,400,000 | | | U.S. Dollars | | | 180,366 | | | | CITIG | | | | 226 | |
03/15/17 | | U.S. Dollars | | | 1,335,706 | | | Mexican Pesos | | | 28,084,000 | | | | CITIG | | | | (5,496 | ) |
03/15/17 | | Mexican Pesos | | | 1,300,000 | | | U.S. Dollars | | | 62,843 | | | | CITIG | | | | (759 | ) |
03/15/17 | | Turkish Lira | | | 1,300,000 | | | U.S. Dollars | | | 365,231 | | | | CITIG | | | | (2,548 | ) |
03/15/17 | | Brazilian Reals | | | 1,290,000 | | | U.S. Dollars | | | 361,701 | | | | CITIG | | | | 26,480 | |
03/15/17 | | U.S. Dollars | | | 1,247,095 | | | Philippine Peso | | | 62,807,383 | | | | CITIG | | | | (12,991 | ) |
03/15/17 | | Hong Kong Dollars | | | 1,200,000 | | | U.S. Dollars | | | 154,520 | | | | CITIG | | | | 273 | |
03/15/17 | | Turkish Lira | | | 1,140,000 | | | U.S. Dollars | | | 319,123 | | | | CITIG | | | | (1,078 | ) |
03/15/17 | | Thailand Baht | | | 1,100,000 | | | U.S. Dollars | | | 30,879 | | | | CITIG | | | | (173 | ) |
03/15/17 | | Brazilian Reals | | | 1,000,000 | | | U.S. Dollars | | | 287,077 | | | | CITIG | | | | 13,838 | |
03/15/17 | | Hong Kong Dollars | | | 1,000,000 | | | U.S. Dollars | | | 129,039 | | | | CITIG | | | | (45 | ) |
03/15/17 | | Hong Kong Dollars | | | 900,000 | | | U.S. Dollars | | | 116,013 | | | | CITIG | | | | 81 | |
03/15/17 | | Hong Kong Dollars | | | 900,000 | | | U.S. Dollars | | | 116,047 | | | | CITIG | | | | 48 | |
03/15/17 | | Thailand Baht | | | 900,000 | | | U.S. Dollars | | | 25,077 | | | | CITIG | | | | 46 | |
03/15/17 | | Turkish Lira | | | 890,000 | | | U.S. Dollars | | | 248,193 | | | | CITIG | | | | 105 | |
03/15/17 | | U.S. Dollars | | | 848,052 | | | Philippine Peso | | | 42,716,943 | | | | CITIG | | | | (8,965 | ) |
03/15/17 | | Turkish Lira | | | 820,000 | | | U.S. Dollars | | | 229,198 | | | | CITIG | | | | (429 | ) |
03/15/17 | | U.S. Dollars | | | 795,706 | | | Hong Kong Dollars | | | 6,168,000 | | | | CITIG | | | | 71 | |
03/15/17 | | U.S. Dollars | | | 777,331 | | | South Korean Won | | | 920,000,000 | | | | CITIG | | | | 15,537 | |
03/15/17 | | U.S. Dollars | | | 762,831 | | | Singapore Dollars | | | 1,082,671 | | | | CITIG | | | | 15,491 | |
03/15/17 | | U.S. Dollars | | | 714,914 | | | Singapore Dollars | | | 1,018,024 | | | | CITIG | | | | 12,199 | |
03/15/17 | | U.S. Dollars | | | 713,025 | | | Singapore Dollars | | | 1,021,070 | | | | CITIG | | | | 8,207 | |
03/15/17 | | Hong Kong Dollars | | | 700,000 | | | U.S. Dollars | | | 90,232 | | | | CITIG | | | | 64 | |
03/15/17 | | U.S. Dollars | | | 648,167 | | | Israeli Shekels | | | 2,468,504 | | | | CITIG | | | | 5,978 | |
03/15/17 | | U.S. Dollars | | | 644,214 | | | Russian Rubles | | | 40,000,000 | | | | CITIG | | | | 2,346 | |
03/15/17 | | U.S. Dollars | | | 619,187 | | | Indian Rupees | | | 43,000,000 | | | | CITIG | | | | (9,009 | ) |
03/15/17 | | Czech Republic Koruna | | | 600,000 | | | U.S. Dollars | | | 23,176 | | | | CITIG | | | | 289 | |
03/15/17 | | Hong Kong Dollars | | | 600,000 | | | U.S. Dollars | | | 77,411 | | | | CITIG | | | | (14 | ) |
03/15/17 | | Thailand Baht | | | 600,000 | | | U.S. Dollars | | | 16,863 | | | | CITIG | | | | (114 | ) |
03/15/17 | | U.S. Dollars | | | 579,191 | | | Indian Rupees | | | 40,000,000 | | | | CITIG | | | | (5,177 | ) |
03/15/17 | | Singapore Dollars | | | 570,000 | | | U.S. Dollars | | | 395,080 | | | | CITIG | | | | (1,624 | ) |
03/15/17 | | U.S. Dollars | | | 561,127 | | | Indian Rupees | | | 39,000,000 | | | | CITIG | | | | (8,632 | ) |
03/15/17 | | U.S. Dollars | | | 533,170 | | | Indian Rupees | | | 37,000,000 | | | | CITIG | | | | (7,371 | ) |
03/15/17 | | Brazilian Reals | | | 530,000 | | | U.S. Dollars | | | 152,927 | | | | CITIG | | | | 6,558 | |
03/15/17 | | Turkish Lira | | | 530,000 | | | U.S. Dollars | | | 148,367 | | | | CITIG | | | | (504 | ) |
03/15/17 | | Thailand Baht | | | 500,000 | | | U.S. Dollars | | | 13,915 | | | | CITIG | | | | 42 | |
03/15/17 | | Hong Kong Dollars | | | 500,000 | | | U.S. Dollars | | | 64,512 | | | | CITIG | | | | (16 | ) |
03/15/17 | | Thailand Baht | | | 500,000 | | | U.S. Dollars | | | 14,000 | | | | CITIG | | | | (42 | ) |
03/15/17 | | U.S. Dollars | | | 493,096 | | | Israeli Shekels | | | 1,865,708 | | | | CITIG | | | | 7,726 | |
336
| | | | | | | | | | | | | | | | | | | | |
Fund/Expiration Date | | Currency Purchased | | Amount
of Currency
Purchased | | | Currency Sold | | Amount
of Currency
Sold | | | Counter-
party | | | Net Unrealized
Appreciation
(Depreciation) | |
03/15/17 | | U.S. Dollars | | | 488,377 | | | Israeli Shekels | | | 1,845,634 | | | | CITIG | | | $ | 8,230 | |
03/15/17 | | U.S. Dollars | | | 477,277 | | | Indian Rupees | | | 33,000,000 | | | | CITIG | | | | (4,826 | ) |
03/15/17 | | U.S. Dollars | | | 472,234 | | | South Korean Won | | | 560,000,000 | | | | CITIG | | | | 8,533 | |
03/15/17 | | U.S. Dollars | | | 468,636 | | | Indonesian Rupiahs | | | 6,500,000,000 | | | | CITIG | | | | (8,516 | ) |
03/15/17 | | U.S. Dollars | | | 411,225 | | | South Korean Won | | | 490,000,000 | | | | CITIG | | | | 5,487 | |
03/15/17 | | U.S. Dollars | | | 407,192 | | | Brazilian Reals | | | 1,360,000 | | | | CITIG | | | | (2,052 | ) |
03/15/17 | | U.S. Dollars | | | 402,265 | | | Czech Republic Koruna | | | 10,200,000 | | | | CITIG | | | | 3,347 | |
03/15/17 | | Thailand Baht | | | 400,000 | | | U.S. Dollars | | | 11,110 | | | | CITIG | | | | 56 | |
03/15/17 | | Hong Kong Dollars | | | 400,000 | | | U.S. Dollars | | | 51,565 | | | | CITIG | | | | 32 | |
03/15/17 | | Hong Kong Dollars | | | 400,000 | | | U.S. Dollars | | | 51,603 | | | | CITIG | | | | (5 | ) |
03/15/17 | | Hong Kong Dollars | | | 400,000 | | | U.S. Dollars | | | 51,603 | | | | CITIG | | | | (5 | ) |
03/15/17 | | U.S. Dollars | | | 399,969 | | | South Korean Won | | | 467,133,472 | | | | CITIG | | | | 13,165 | |
03/15/17 | | U.S. Dollars | | | 393,909 | | | Brazilian Reals | | | 1,360,000 | | | | CITIG | | | | (15,335 | ) |
03/15/17 | | Brazilian Reals | | | 390,000 | | | U.S. Dollars | | | 112,348 | | | | CITIG | | | | 5,009 | |
03/15/17 | | U.S. Dollars | | | 360,603 | | | Israeli Shekels | | | 1,375,887 | | | | CITIG | | | | 2,662 | |
03/15/17 | | U.S. Dollars | | | 355,881 | | | South Korean Won | | | 430,000,000 | | | | CITIG | | | | (175 | ) |
03/15/17 | | U.S. Dollars | | | 353,644 | | | Philippine Peso | | | 17,781,310 | | | | CITIG | | | | (3,097 | ) |
03/15/17 | | Philippine Peso | | | 352,000 | | | U.S. Dollars | | | 7,004 | | | | CITIG | | | | 58 | |
03/15/17 | | U.S. Dollars | | | 322,989 | | | Israeli Shekels | | | 1,225,666 | | | | CITIG | | | | 4,128 | |
03/15/17 | | Turkish Lira | | | 320,000 | | | U.S. Dollars | | | 89,533 | | | | CITIG | | | | (258 | ) |
03/15/17 | | U.S. Dollars | | | 319,003 | | | Brazilian Reals | | | 1,130,000 | | | | CITIG | | | | (21,031 | ) |
03/15/17 | | U.S. Dollars | | | 300,724 | | | South Korean Won | | | 360,000,000 | | | | CITIG | | | | 2,630 | |
03/15/17 | | Thailand Baht | | | 300,000 | | | U.S. Dollars | | | 8,403 | | | | CITIG | | | | (28 | ) |
03/15/17 | | Thailand Baht | | | 300,000 | | | U.S. Dollars | | | 8,419 | | | | CITIG | | | | (44 | ) |
03/15/17 | | U.S. Dollars | | | 299,267 | | | Philippine Peso | | | 15,035,251 | | | | CITIG | | | | (2,380 | ) |
03/15/17 | | U.S. Dollars | | | 296,096 | | | Philippine Peso | | | 14,855,196 | | | | CITIG | | | | (1,939 | ) |
03/15/17 | | U.S. Dollars | | | 295,612 | | | Philippine Peso | | | 14,825,884 | | | | CITIG | | | | (1,835 | ) |
03/15/17 | | U.S. Dollars | | | 295,121 | | | Philippine Peso | | | 14,883,011 | | | | CITIG | | | | (3,472 | ) |
03/15/17 | | U.S. Dollars | | | 294,437 | | | Philippine Peso | | | 14,766,064 | | | | CITIG | | | | (1,810 | ) |
03/15/17 | | U.S. Dollars | | | 294,427 | | | Philippine Peso | | | 14,848,017 | | | | CITIG | | | | (3,464 | ) |
03/15/17 | | U.S. Dollars | | | 294,238 | | | Philippine Peso | | | 14,839,941 | | | | CITIG | | | | (3,491 | ) |
03/15/17 | | U.S. Dollars | | | 293,021 | | | Brazilian Reals | | | 1,030,000 | | | | CITIG | | | | (16,921 | ) |
03/15/17 | | Turkish Lira | | | 290,000 | | | U.S. Dollars | | | 80,876 | | | | CITIG | | | | 31 | |
03/15/17 | | U.S. Dollars | | | 287,056 | | | Russian Rubles | | | 18,000,000 | | | | CITIG | | | | (1,785 | ) |
03/15/17 | | U.S. Dollars | | | 284,894 | | | South Korean Won | | | 340,000,000 | | | | CITIG | | | | 3,361 | |
03/15/17 | | Russian Rubles | | | 280,000 | | | U.S. Dollars | | | 4,328 | | | | CITIG | | | | 165 | |
03/15/17 | | U.S. Dollars | | | 278,576 | | | South Korean Won | | | 326,239,201 | | | | CITIG | | | | 8,438 | |
03/15/17 | | U.S. Dollars | | | 269,878 | | | South Korean Won | | | 312,704,742 | | | | CITIG | | | | 10,947 | |
03/15/17 | | U.S. Dollars | | | 269,175 | | | Israeli Shekels | | | 1,028,601 | | | | CITIG | | | | 1,581 | |
03/15/17 | | U.S. Dollars | | | 266,041 | | | South Korean Won | | | 320,000,000 | | | | CITIG | | | | 1,069 | |
03/15/17 | | U.S. Dollars | | | 265,031 | | | South Korean Won | | | 320,000,000 | | | | CITIG | | | | 59 | |
03/15/17 | | U.S. Dollars | | | 264,549 | | | Indian Rupees | | | 18,000,000 | | | | CITIG | | | | 1,584 | |
03/15/17 | | U.S. Dollars | | | 264,510 | | | Indian Rupees | | | 18,000,000 | | | | CITIG | | | | 1,545 | |
03/15/17 | | U.S. Dollars | | | 264,302 | | | South Korean Won | | | 308,197,648 | | | | CITIG | | | | 9,103 | |
03/15/17 | | U.S. Dollars | | | 249,229 | | | Brazilian Reals | | | 890,000 | | | | CITIG | | | | (18,585 | ) |
03/15/17 | | U.S. Dollars | | | 245,397 | | | South Korean Won | | | 287,436,718 | | | | CITIG | | | | 7,389 | |
03/15/17 | | U.S. Dollars | | | 235,293 | | | Brazilian Reals | | | 800,000 | | | | CITIG | | | | (5,439 | ) |
03/15/17 | | U.S. Dollars | | | 231,858 | | | Hong Kong Dollars | | | 1,800,000 | | | | CITIG | | | | (331 | ) |
03/15/17 | | U.S. Dollars | | | 225,475 | | | Brazilian Reals | | | 770,000 | | | | CITIG | | | | (6,229 | ) |
03/15/17 | | U.S. Dollars | | | 219,074 | | | Hong Kong Dollars | | | 1,700,000 | | | | CITIG | | | | (215 | ) |
03/15/17 | | U.S. Dollars | | | 208,690 | | | South African Rand | | | 2,900,000 | | | | CITIG | | | | 489 | |
03/15/17 | | U.S. Dollars | | | 206,919 | | | Polish Zloty | | | 870,000 | | | | CITIG | | | | (711 | ) |
337
| | | | | | | | | | | | | | | | | | | | |
Fund/Expiration Date | | Currency Purchased | | Amount
of Currency
Purchased | | | Currency Sold | | Amount
of Currency
Sold | | | Counter-
party | | | Net Unrealized
Appreciation
(Depreciation) | |
03/15/17 | | Hong Kong Dollars | | | 200,000 | | | U.S. Dollars | | | 25,796 | | | | CITIG | | | $ | 3 | |
03/15/17 | | U.S. Dollars | | | 174,672 | | | Indian Rupees | | | 12,000,000 | | | | CITIG | | | | (639 | ) |
03/15/17 | | U.S. Dollars | | | 171,367 | | | South Korean Won | | | 201,220,731 | | | | CITIG | | | | 4,749 | |
03/15/17 | | U.S. Dollars | | | 167,625 | | | Thailand Baht | | | 5,974,000 | | | | CITIG | | | | 860 | |
03/15/17 | | U.S. Dollars | | | 164,636 | | | Columbian Peso | | | 500,000,000 | | | | CITIG | | | | 216 | |
03/15/17 | | U.S. Dollars | | | 154,787 | | | Hong Kong Dollars | | | 1,200,000 | | | | CITIG | | | | (6 | ) |
03/15/17 | | U.S. Dollars | | | 152,637 | | | Brazilian Reals | | | 520,000 | | | | CITIG | | | | (3,839 | ) |
03/15/17 | | Polish Zloty | | | 151,000 | | | U.S. Dollars | | | 36,530 | | | | CITIG | | | | (493 | ) |
03/15/17 | | Brazilian Reals | | | 150,000 | | | U.S. Dollars | | | 44,157 | | | | CITIG | | | | 980 | |
03/15/17 | | Singapore Dollars | | | 150,000 | | | U.S. Dollars | | | 104,361 | | | | CITIG | | | | (820 | ) |
03/15/17 | | U.S. Dollars | | | 148,592 | | | Taiwan Dollars | | | 4,800,000 | | | | CITIG | | | | (854 | ) |
03/15/17 | | U.S. Dollars | | | 146,156 | | | Indian Rupees | | | 10,000,000 | | | | CITIG | | | | 64 | |
03/15/17 | | U.S. Dollars | | | 144,597 | | | Polish Zloty | | | 610,000 | | | | CITIG | | | | (982 | ) |
03/15/17 | | Brazilian Reals | | | 140,000 | | | U.S. Dollars | | | 40,778 | | | | CITIG | | | | 1,351 | |
03/15/17 | | U.S. Dollars | | | 137,527 | | | South Korean Won | | | 161,291,696 | | | | CITIG | | | | 3,971 | |
03/15/17 | | U.S. Dollars | | | 132,197 | | | Indian Rupees | | | 9,000,000 | | | | CITIG | | | | 714 | |
03/15/17 | | U.S. Dollars | | | 132,112 | | | Chilean Peso | | | 90,000,000 | | | | CITIG | | | | (1,550 | ) |
03/15/17 | | U.S. Dollars | | | 128,832 | | | Hong Kong Dollars | | | 1,000,000 | | | | CITIG | | | | (162 | ) |
03/15/17 | | U.S. Dollars | | | 116,460 | | | Thailand Baht | | | 4,153,000 | | | | CITIG | | | | 529 | |
03/15/17 | | U.S. Dollars | | | 116,228 | | | Indian Rupees | | | 8,000,000 | | | | CITIG | | | | (646 | ) |
03/15/17 | | U.S. Dollars | | | 116,105 | | | Hong Kong Dollars | | | 900,000 | | | | CITIG | | | | 10 | |
03/15/17 | | Mexican Pesos | | | 114,000 | | | U.S. Dollars | | | 5,527 | | | | CITIG | | | | (82 | ) |
03/15/17 | | Brazilian Reals | | | 110,000 | | | U.S. Dollars | | | 31,903 | | | | CITIG | | | | 1,198 | |
03/15/17 | | U.S. Dollars | | | 109,305 | | | Chilean Peso | | | 72,076,000 | | | | CITIG | | | | 2,263 | |
03/15/17 | | U.S. Dollars | | | 103,166 | | | Chilean Peso | | | 70,000,000 | | | | CITIG | | | | (793 | ) |
03/15/17 | | U.S. Dollars | | | 103,146 | | | Chilean Peso | | | 70,000,000 | | | | CITIG | | | | (813 | ) |
03/15/17 | | U.S. Dollars | | | 102,991 | | | Hong Kong Dollars | | | 800,000 | | | | CITIG | | | | (204 | ) |
03/15/17 | | U.S. Dollars | | | 101,922 | | | Indian Rupees | | | 7,000,000 | | | | CITIG | | | | (343 | ) |
03/15/17 | | Thailand Baht | | | 100,000 | | | U.S. Dollars | | | 2,771 | | | | CITIG | | | | 21 | |
03/15/17 | | Thailand Baht | | | 100,000 | | | U.S. Dollars | | | 2,782 | | | | CITIG | | | | 9 | |
03/15/17 | | Thailand Baht | | | 100,000 | | | U.S. Dollars | | | 2,806 | | | | CITIG | | | | (15 | ) |
03/15/17 | | Mexican Pesos | | | 100,000 | | | U.S. Dollars | | | 4,866 | | | | CITIG | | | | (90 | ) |
03/15/17 | | Israeli Shekels | | | 100,000 | | | U.S. Dollars | | | 26,435 | | | | CITIG | | | | (420 | ) |
03/15/17 | | U.S. Dollars | | | 94,894 | | | Czech Republic Koruna | | | 2,400,000 | | | | CITIG | | | | 1,031 | |
03/15/17 | | U.S. Dollars | | | 90,791 | | | South Korean Won | | | 105,958,495 | | | | CITIG | | | | 3,054 | |
03/15/17 | | Singapore Dollars | | | 90,000 | | | U.S. Dollars | | | 62,125 | | | | CITIG | | | | — | |
03/15/17 | | U.S. Dollars | | | 88,017 | | | Indian Rupees | | | 5,994,000 | | | | CITIG | | | | 450 | |
03/15/17 | | Peruvian Nuevos Soles | | | 79,874 | | | U.S. Dollars | | | 23,052 | | | | CITIG | | | | 516 | |
03/15/17 | | U.S. Dollars | | | 74,241 | | | Chilean Peso | | | 50,000,000 | | | | CITIG | | | | (16 | ) |
03/15/17 | | U.S. Dollars | | | 69,357 | | | Taiwan Dollars | | | 2,200,000 | | | | CITIG | | | | 860 | |
03/15/17 | | U.S. Dollars | | | 64,506 | | | Hong Kong Dollars | | | 500,000 | | | | CITIG | | | | 9 | |
03/15/17 | | U.S. Dollars | | | 58,823 | | | Brazilian Reals | | | 205,000 | | | | CITIG | | | | (2,864 | ) |
03/15/17 | | U.S. Dollars | | | 57,389 | | | Brazilian Reals | | | 200,000 | | | | CITIG | | | | (2,794 | ) |
03/15/17 | | U.S. Dollars | | | 55,997 | | | Indonesian Rupiahs | | | 755,959,000 | | | | CITIG | | | | 503 | |
03/15/17 | | U.S. Dollars | | | 55,119 | | | Mexican Pesos | | | 1,133,000 | | | | CITIG | | | | 1,011 | |
03/15/17 | | U.S. Dollars | | | 51,554 | | | Hong Kong Dollars | | | 400,000 | | | | CITIG | | | | (44 | ) |
03/15/17 | | U.S. Dollars | | | 50,952 | | | Brazilian Reals | | | 180,000 | | | | CITIG | | | | (3,212 | ) |
03/15/17 | | Israeli Shekels | | | 50,000 | | | U.S. Dollars | | | 13,120 | | | | CITIG | | | | (113 | ) |
03/15/17 | | U.S. Dollars | | | 49,501 | | | Taiwan Dollars | | | 1,600,000 | | | | CITIG | | | | (314 | ) |
03/15/17 | | U.S. Dollars | | | 48,899 | | | South African Rand | | | 700,000 | | | | CITIG | | | | (1,356 | ) |
03/15/17 | | U.S. Dollars | | | 47,842 | | | Polish Zloty | | | 200,000 | | | | CITIG | | | | 111 | |
03/15/17 | | U.S. Dollars | | | 44,698 | | | South Korean Won | | | 52,236,297 | | | | CITIG | | | | 1,444 | |
338
| | | | | | | | | | | | | | | | | | | | |
Fund/Expiration Date | | Currency Purchased | | Amount
of Currency
Purchased | | | Currency Sold | | Amount
of Currency
Sold | | | Counter-
party | | | Net Unrealized
Appreciation
(Depreciation) | |
03/15/17 | | Israeli Shekels | | | 40,000 | | | U.S. Dollars | | | 10,471 | | | | CITIG | | | $ | (65 | ) |
03/15/17 | | U.S. Dollars | | | 38,625 | | | Hong Kong Dollars | | | 300,000 | | | | CITIG | | | | (74 | ) |
03/15/17 | | U.S. Dollars | | | 37,219 | | | Taiwan Dollars | | | 1,200,000 | | | | CITIG | | | | (143 | ) |
03/15/17 | | U.S. Dollars | | | 31,912 | | | South African Rand | | | 439,000 | | | | CITIG | | | | 395 | |
03/15/17 | | U.S. Dollars | | | 29,791 | | | Chilean Peso | | | 20,000,000 | | | | CITIG | | | | 89 | |
03/15/17 | | U.S. Dollars | | | 29,654 | | | Columbian Peso | | | 90,000,000 | | | | CITIG | | | | 58 | |
03/15/17 | | U.S. Dollars | | | 29,206 | | | Indian Rupees | | | 2,000,000 | | | | CITIG | | | | (13 | ) |
03/15/17 | | U.S. Dollars | | | 29,026 | | | Mexican Pesos | | | 600,000 | | | | CITIG | | | | 371 | |
03/15/17 | | U.S. Dollars | | | 24,925 | | | Thailand Baht | | | 900,000 | | | | CITIG | | | | (198 | ) |
03/15/17 | | U.S. Dollars | | | 19,151 | | | Polish Zloty | | | 80,000 | | | | CITIG | | | | 58 | |
03/15/17 | | U.S. Dollars | | | 19,059 | | | Polish Zloty | | | 80,000 | | | | CITIG | | | | (33 | ) |
03/15/17 | | U.S. Dollars | | | 16,795 | | | Thailand Baht | | | 600,000 | | | | CITIG | | | | 46 | |
03/15/17 | | U.S. Dollars | | | 14,345 | | | South African Rand | | | 200,000 | | | | CITIG | | | | (13 | ) |
03/15/17 | | U.S. Dollars | | | 13,843 | | | Thailand Baht | | | 500,000 | | | | CITIG | | | | (114 | ) |
03/15/17 | | Peruvian Nuevos Soles | | | 10,000 | | | U.S. Dollars | | | 2,893 | | | | CITIG | | | | 58 | |
03/15/17 | | Peruvian Nuevos Soles | | | 10,000 | | | U.S. Dollars | | | 2,899 | | | | CITIG | | | | 52 | |
03/15/17 | | Peruvian Nuevos Soles | | | 10,000 | | | U.S. Dollars | | | 2,905 | | | | CITIG | | | | 45 | |
03/15/17 | | Peruvian Nuevos Soles | | | 10,000 | | | U.S. Dollars | | | 2,948 | | | | CITIG | | | | 2 | |
03/15/17 | | Peruvian Nuevos Soles | | | 10,000 | | | U.S. Dollars | | | 2,956 | | | | CITIG | | | | (5 | ) |
03/15/17 | | U.S. Dollars | | | 9,904 | | | Columbian Peso | | | 30,000,000 | | | | CITIG | | | | 39 | |
03/15/17 | | Turkish Lira | | | 7,000 | | | U.S. Dollars | | | 2,022 | | | | CITIG | | | | (69 | ) |
03/15/17 | | U.S. Dollars | | | 5,614 | | | Thailand Baht | | | 200,000 | | | | CITIG | | | | 31 | |
03/15/17 | | U.S. Dollars | | | 5,579 | | | Thailand Baht | | | 200,000 | | | | CITIG | | | | (4 | ) |
03/15/17 | | U.S. Dollars | | | 3,158 | | | Brazilian Reals | | | 11,000 | | | | CITIG | | | | (152 | ) |
03/15/17 | | Turkish Lira | | | 3,000 | | | U.S. Dollars | | | 849 | | | | CITIG | | | | (12 | ) |
03/15/17 | | U.S. Dollars | | | 2,911 | | | Peruvian Nuevos Soles | | | 10,000 | | | | CITIG | | | | (39 | ) |
03/15/17 | | U.S. Dollars | | | 2,907 | | | Peruvian Nuevos Soles | | | 10,000 | | | | CITIG | | | | (43 | ) |
03/15/17 | | U.S. Dollars | | | 2,901 | | | Peruvian Nuevos Soles | | | 10,000 | | | | CITIG | | | | (50 | ) |
03/15/17 | | U.S. Dollars | | | 2,884 | | | Peruvian Nuevos Soles | | | 10,000 | | | | CITIG | | | | (66 | ) |
03/15/17 | | U.S. Dollars | | | 2,883 | | | Peruvian Nuevos Soles | | | 10,000 | | | | CITIG | | | | (68 | ) |
03/15/17 | | U.S. Dollars | | | 2,805 | | | Thailand Baht | | | 100,000 | | | | CITIG | | | | 13 | |
03/15/17 | | U.S. Dollars | | | 1,668 | | | Polish Zloty | | | 7,000 | | | | CITIG | | | | (2 | ) |
03/15/17 | | U.S. Dollars | | | 1,011 | | | Taiwan Dollars | | | 32,000 | | | | CITIG | | | | 15 | |
03/15/17 | | U.S. Dollars | | | 810 | | | Chilean Peso | | | 533,000 | | | | CITIG | | | | 18 | |
03/15/17 | | U.S. Dollars | | | 774 | | | Hong Kong Dollars | | | 6,000 | | | | CITIG | | | | — | |
03/16/17 | | Hungarian Forint | | | 289,262,666 | | | U.S. Dollars | | | 988,417 | | | | CITIG | | | | (1,861 | ) |
03/16/17 | | Hungarian Forint | | | 143,030,535 | | | U.S. Dollars | | | 491,761 | | | | CITIG | | | | (3,942 | ) |
03/16/17 | | Hungarian Forint | | | 126,376,893 | | | U.S. Dollars | | | 433,066 | | | | CITIG | | | | (2,047 | ) |
03/16/17 | | Hungarian Forint | | | 126,203,413 | | | U.S. Dollars | | | 435,464 | | | | CITIG | | | | (5,036 | ) |
03/16/17 | | Hungarian Forint | | | 124,782,493 | | | U.S. Dollars | | | 422,592 | | | | CITIG | | | | 2,990 | |
03/16/17 | | U.S. Dollars | | | 443,110 | | | Hungarian Forint | | | 130,000,000 | | | | CITIG | | | | (268 | ) |
03/16/17 | | U.S. Dollars | | | 292,663 | | | Hungarian Forint | | | 86,000,000 | | | | CITIG | | | | (647 | ) |
03/16/17 | | U.S. Dollars | | | 291,874 | | | Hungarian Forint | | | 85,000,000 | | | | CITIG | | | | 1,974 | |
03/16/17 | | U.S. Dollars | | | 283,058 | | | Hungarian Forint | | | 83,000,000 | | | | CITIG | | | | (21 | ) |
03/16/17 | | U.S. Dollars | | | 267,122 | | | Hungarian Forint | | | 78,000,000 | | | | CITIG | | | | 1,096 | |
03/16/17 | | U.S. Dollars | | | 250,439 | | | Hungarian Forint | | | 74,000,000 | | | | CITIG | | | | (1,945 | ) |
03/16/17 | | U.S. Dollars | | | 237,432 | | | Hungarian Forint | | | 70,000,000 | | | | CITIG | | | | (1,309 | ) |
03/16/17 | | U.S. Dollars | | | 233,708 | | | Hungarian Forint | | | 68,000,000 | | | | CITIG | | | | 1,788 | |
03/16/17 | | U.S. Dollars | | | 232,636 | | | Hungarian Forint | | | 69,000,000 | | | | CITIG | | | | (2,695 | ) |
03/16/17 | | U.S. Dollars | | | 228,395 | | | Hungarian Forint | | | 67,000,000 | | | | CITIG | | | | (114 | ) |
03/16/17 | | U.S. Dollars | | | 214,796 | | | Hungarian Forint | | | 63,000,000 | | | | CITIG | | | | (71 | ) |
03/16/17 | | U.S. Dollars | | | 169,359 | | | Hungarian Forint | | | 50,000,000 | | | | CITIG | | | | (1,171 | ) |
339
| | | | | | | | | | | | | | | | | | | | |
Fund/Expiration Date | | Currency Purchased | | Amount
of Currency
Purchased | | | Currency Sold | | Amount
of Currency
Sold | | | Counter-
party | | | Net Unrealized
Appreciation
(Depreciation) | |
03/16/17 | | U.S. Dollars | | | 87,926 | | | Hungarian Forint | | | 26,000,000 | | | | CITIG | | | $ | (749 | ) |
03/16/17 | | U.S. Dollars | | | 6,716 | | | Hungarian Forint | | | 2,000,000 | | | | CITIG | | | | (105 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 933,171 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Inflation Protected Bond Fund | | | | | | | | | | | | | | | | | | |
01/05/17 | | U.S. Dollars | | | 3,845,483 | | | Japanese Yen | | | 433,311,000 | | | | HSBC | | | $ | 136,680 | |
01/05/17 | | U.S. Dollars | | | 2,590,092 | | | New Zealand Dollars | | | 3,638,000 | | | | CWB | | | | 63,334 | |
01/05/17 | | U.S. Dollars | | | 676,378 | | | Euro | | | 636,000 | | | | GSC | | | | 6,670 | |
01/05/17 | | U.S. Dollars | | | 317,318 | | | Australian Dollars | | | 430,000 | | | | HSBC | | | | 7,058 | |
01/05/17 | | Euro | | | 315,806 | | | U.S. Dollars | | | 330,000 | | | | MSCS | | | | 2,544 | |
01/05/17 | | U.S. Dollars | | | 234,914 | | | Australian Dollars | | | 316,000 | | | | NAB | | | | 6,910 | |
01/27/17 | | British Pounds | | | 1,185,000 | | | U.S. Dollars | | | 1,449,374 | | | | UBS | | | | 12,206 | |
01/27/17 | | U.S. Dollars | | | 702,406 | | | British Pounds | | | 565,000 | | | | CITI | | | | 5,535 | |
02/01/17 | | U.S. Dollars | | | 1,399,366 | | | Euro | | | 1,260,000 | | | | BOA | | | | 70,664 | |
02/01/17 | | U.S. Dollars | | | 1,396,862 | | | Euro | | | 1,240,000 | | | | GSC | | | | 89,250 | |
02/01/17 | | Euro | | | 1,240,000 | | | U.S. Dollars | | | 1,371,573 | | | | CITI | | | | (63,961 | ) |
02/01/17 | | Euro | | | 1,240,000 | | | U.S. Dollars | | | 1,375,371 | | | | DEUT | | | | (67,759 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 269,131 | |
| | | | | | | | | | | | | | | | | | | | |
Options Written
Transactions in options written during the year ended December 31, 2016 were as follows:
| | | | | | | | | | | | | | | | | | | | |
| Fund | | Number of
Contracts | | | Premiums
Received | | | Notional
Amount | | | Premiums
Received | | | Total
Premiums
Received | |
Low-Duration Bond | | | | | | | | | | | | | | | | | | | | |
Options written, 12/31/15 | | | 1,700 | | | $ | 1,095,730 | | | $ | 23,300,000 | | | $ | 99,250 | | | $ | 1,194,980 | |
| | | | | | | | | | | | | | | | | | | | |
Options written | | | 591 | | | | 47,330 | | | | 21,576,130,000 | | | | 792,372 | | | | 839,702 | |
Options expired | | | (430 | ) | | | (160,605 | ) | | | (3,973,530,000 | ) | | | (193,088 | ) | | | (353,693 | ) |
Options closed | | | (1,861 | ) | | | (982,455 | ) | | | (13,205,900,000 | ) | | | (594,387 | ) | | | (1,576,842 | ) |
| | | | | | | | | | | | | | | | | | | | |
Options written, 12/31/16 | | | — | | | $ | — | | | $ | 4,420,000,000 | | | $ | 104,147 | | | $ | 104,147 | |
| | | | | | | | | | | | | | | | | | | | |
Medium-Duration Bond | | | | | | | | | | | | | | | | | | | | |
Options written, 12/31/15 | | | 909 | | | $ | 182,223 | | | $ | 8,276,400,000 | | | $ | 621,897 | | | $ | 804,120 | |
| | | | | | | | | | | | | | | | | | | | |
Options written | | | 5,224 | | | | 1,917,839 | | | | 11,575,964,000 | | | | 1,886,714 | | | | 3,804,553 | |
Options expired | | | (3,295 | ) | | | (1,014,959 | ) | | | (11,355,300,000 | ) | | | (909,253 | ) | | | (1,924,212 | ) |
Options closed | | | (2,422 | ) | | | (930,853 | ) | | | (5,100,000 | ) | | | (34,562 | ) | | | (965,415 | ) |
| | | | | | | | | | | | | | | | | | | | |
Options written, 12/31/16 | | | 416 | | | $ | 154,250 | | | $ | 8,491,964,000 | | | $ | 1,564,796 | | | $ | 1,719,046 | |
| | | | | | | | | | | | | | | | | | | | |
Global Bond | | | | | | | | | | | | | | | | | | | | |
Options written, 12/31/15 | | | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Options written | | | 99 | | | | 16,694 | | | | — | | | | — | | | | 16,694 | |
Options expired | | | — | | | | — | | | | — | | | | — | | | | — | |
Options closed | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Options written, 12/31/16 | | | 99 | | | $ | 16,694 | | | $ | — | | | $ | — | | | $ | 16,694 | |
| | | | | | | | | | | | | | | | | | | | |
Defensive Market Strategies | | | | | | | | | | | | | | | | | | | | |
Options written, 12/31/15 | | | 606 | | | $ | 840,327 | | | $ | — | | | $ | — | | | $ | 840,327 | |
| | | | | | | | | | | | | | | | | | | | |
Options written | | | 8,918 | | | | 9,991,598 | | | | — | | | | — | | | | 9,991,598 | |
Options expired | | | (883 | ) | | | (935,320 | ) | | | — | | | | — | | | | (935,320 | ) |
Options closed | | | (7,848 | ) | | | (9,151,929 | ) | | | — | | | | — | | | | (9,151,929 | ) |
| | | | | | | | | | | | | | | | | | | | |
Options written, 12/31/16 | | | 793 | | | $ | 744,676 | | | $ | — | | | $ | — | | | $ | 744,676 | |
| | | | | | | | | | | | | | | | | | | | |
340
| | | | | | | | | | | | | | | | | | | | |
| Fund | | Number of
Contracts | | | Premiums
Received | | | Notional
Amount | | | Premiums
Received | | | Total
Premiums
Received | |
Inflation Protected Bond | | | | | | | | | | | | | | | | | | | | |
Options written, 12/31/15 | | | — | | | $ | — | | | $ | 63,640,000 | | | $ | 423,332 | | | $ | 423,332 | |
| | | | | | | | | | | | | | | | | | | | |
Options written | | | 1,841 | | | | 341,331 | | | | 163,631,600 | | | | 1,905,526 | | | | 2,246,857 | |
Options expired | | | (815 | ) | | | (99,978 | ) | | | (163,746,500 | ) | | | (1,967,626 | ) | | | (2,067,604 | ) |
Options closed | | | (802 | ) | | | (118,200 | ) | | | (63,445,000 | ) | | | (313,217 | ) | | | (431,417 | ) |
| | | | | | | | | | | | | | | | | | | | |
Options written, 12/31/16 | | | 224 | | | $ | 123,153 | | | $ | 80,100 | | | $ | 48,015 | | | $ | 171,168 | |
| | | | | | | | | | | | | | | | | | | | |
6. CAPITAL SHARE TRANSACTIONS
Transactions in shares of capital stock were as follows:
| | | | | | | | | | | | | | | | |
| | | Year Ended 12/31/16 | | | Year Ended 12/31/15 | |
| | | | |
| | | Institutional
Class | | | Investor
Class | | | Institutional
Class | | | Investor
Class | |
MyDestination 2005 | | | | | | | | | | | | | | | | |
Shares sold | | | | | | | 3,025,545 | | | | | | | | 2,607,627 | |
Shares reinvested | | | | | | | 214,699 | | | | | | | | 625,352 | |
Shares redeemed | | | | | | | (2,273,148 | ) | | | | | | | (2,083,197 | ) |
| | | | | | | | | | | | | | | | |
Net increase | | | | | | | 967,096 | | | | | | | | 1,149,782 | |
| | | | | | | | | | | | | | | | |
MyDestination 2015 | | | | | | | | | | | | | | | | |
Shares sold | | | | | | | 8,974,684 | | | | | | | | 6,806,840 | |
Shares reinvested | | | | | | | 1,663,394 | | | | | | | | 6,982,808 | |
Shares redeemed | | | | | | | (6,682,695 | ) | | | | | | | (5,903,256 | ) |
| | | | | | | | | | | | | | | | |
Net increase | | | | | | | 3,955,383 | | | | | | | | 7,886,392 | |
| | | | | | | | | | | | | | | | |
MyDestination 2025 | | | | | | | | | | | | | | | | |
Shares sold | | | | | | | 14,133,695 | | | | | | | | 10,150,281 | |
Shares reinvested | | | | | | | 2,981,057 | | | | | | | | 11,307,203 | |
Shares redeemed | | | | | | | (4,654,799 | ) | | | | | | | (3,524,510 | ) |
| | | | | | | | | | | | | | | | |
Net increase | | | | | | | 12,459,953 | | | | | | | | 17,932,974 | |
| | | | | | | | | | | | | | | | |
MyDestination 2035 | | | | | | | | | | | | | | | | |
Shares sold | | | | | | | 8,104,455 | | | | | | | | 6,443,510 | |
Shares reinvested | | | | | | | 2,053,661 | | | | | | | | 7,779,306 | |
Shares redeemed | | | | | | | (1,981,672 | ) | | | | | | | (1,642,409 | ) |
| | | | | | | | | | | | | | | | |
Net increase | | | | | | | 8,176,444 | | | | | | | | 12,580,407 | |
| | | | | | | | | | | | | | | | |
MyDestination 2045 | | | | | | | | | | | | | | | | |
Shares sold | | | | | | | 6,808,741 | | | | | | | | 5,025,680 | |
Shares reinvested | | | | | | | 1,635,150 | | | | | | | | 5,909,639 | |
Shares redeemed | | | | | | | (1,150,891 | ) | | | | | | | (823,435 | ) |
| | | | | | | | | | | | | | | | |
Net increase | | | | | | | 7,293,000 | | | | | | | | 10,111,884 | |
| | | | | | | | | | | | | | | | |
MyDestination 2055 | | | | | | | | | | | | | | | | |
Shares sold | | | | | | | 2,008,972 | | | | | | | | 1,438,059 | |
Shares reinvested | | | | | | | 206,380 | | | | | | | | 280,164 | |
Shares redeemed | | | | | | | (248,290 | ) | | | | | | | (444,155 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | | | | | 1,967,062 | | | | | | | | 1,274,068 | |
| | | | | | | | | | | | | | | | |
341
| | | | | | | | | | | | | | | | |
| | | Year Ended 12/31/16 | | | Year Ended 12/31/15 | |
| | | | |
| | | Institutional
Class | | | Investor
Class | | | Institutional
Class | | | Investor
Class | |
Conservative Allocation(1) | | | | | | | | | | | | | | | | |
Shares sold | | | 994,037 | | | | 3,605,797 | | | | 23,991 | | | | 2,657,646 | |
Shares issued for merger | | | — | | | | — | | | | 6,295,836 | | | | — | |
Shares reinvested | | | 171,047 | | | | 633,748 | | | | 451,701 | | | | 1,882,885 | |
Shares redeemed | | | (921,640 | ) | | | (3,883,152 | ) | | | (93,914 | ) | | | (3,628,514 | ) |
| | | | | | | | | | | | | | | | |
Net increase | | | 243,444 | | | | 356,393 | | | | 6,677,614 | | | | 912,017 | |
| | | | | | | | | | | | | | | | |
Balanced Allocation(1) | | | | | | | | | | | | | | | | |
Shares sold | | | 1,228,719 | | | | 4,030,356 | | | | 203,852 | | | | 4,465,243 | |
Shares issued for merger | | | — | | | | — | | | | 26,689,066 | | | | — | |
Shares reinvested | | | 991,355 | | | | 3,275,512 | | | | 4,345,704 | | | | 15,621,502 | |
Shares redeemed | | | (3,851,034 | ) | | | (14,315,038 | ) | | | (190,358 | ) | | | (8,977,571 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | (1,630,960 | ) | | | (7,009,170 | ) | | | 31,048,264 | | | | 11,109,174 | |
| | | | | | | | | | | | | | | | |
Growth Allocation(1) | | | | | | | | | | | | | | | | |
Shares sold | | | 893,112 | | | | 2,434,417 | | | | 96,179 | | | | 2,556,121 | |
Shares issued for merger | | | — | | | | — | | | | 19,259,753 | | | | — | |
Shares reinvested | | | 1,254,237 | | | | 4,150,859 | | | | 3,697,139 | | | | 12,926,773 | |
Shares redeemed | | | (2,697,544 | ) | | | (9,813,358 | ) | | | (178,363 | ) | | | (6,281,510 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | (550,195 | ) | | | (3,228,082 | ) | | | 22,874,708 | | | | 9,201,384 | |
| | | | | | | | | | | | | | | | |
Aggressive Allocation(1) | | | | | | | | | | | | | | | | |
Shares sold | | | 546,022 | | | | 1,469,425 | | | | 50,824 | | | | 1,828,001 | |
Shares issued for merger | | | — | | | | — | | | | 12,425,233 | | | | — | |
Shares reinvested | | | 1,380,716 | | | | 5,888,125 | | | | 3,380,597 | | | | 15,910,154 | |
Shares redeemed | | | (1,781,536 | ) | | | (13,620,552 | ) | | | (139,248 | ) | | | (5,608,985 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | 145,202 | | | | (6,263,002 | ) | | | 15,717,406 | | | | 12,129,170 | |
| | | | | | | | | | | | | | | | |
Money Market | | | | | | | | | | | | | | | | |
Shares sold | | | 649,810,099 | | | | 4,364,775,848 | | | | 716,417,103 | | | | 3,839,326,751 | |
Shares reinvested | | | 305,772 | | | | 209,397 | | | | 93,907 | | | | 113,202 | |
Shares redeemed | | | (644,356,936 | ) | | | (4,455,737,775 | ) | | | (592,248,517 | ) | | | (3,961,518,030 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | 5,758,935 | | | | (90,752,530 | ) | | | 124,262,493 | | | | (122,078,077 | ) |
| | | | | | | | | | | | | | | | |
Low-Duration Bond | | | | | | | | | | | | | | | | |
Shares sold | | | 8,429,766 | | | | 5,581,554 | | | | 39,663,155 | | | | 4,257,195 | |
Shares reinvested | | | 919,845 | | | | 193,716 | | | | 426,909 | | | | 299,903 | |
Shares redeemed | | | (10,527,899 | ) | | | (2,998,911 | ) | | | (4,233,560 | ) | | | (39,250,353 | ) |
Shares reduced by reverse share split(4) | | | (28,750,566 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | (29,928,854 | ) | | | 2,776,359 | | | | 35,856,504 | | | | (34,693,255 | ) |
| | | | | | | | | | | | | | | | |
342
| | | | | | | | | | | | | | | | |
| | | Year Ended 12/31/16 | | | Year Ended 12/31/15 | |
| | | | |
| | | Institutional
Class | | | Investor
Class | | | Institutional
Class | | | Investor
Class | |
Medium-Duration Bond | | | | | | | | | | | | | | | | |
Shares sold | | | 21,557,645 | | | | 3,275,354 | | | | 35,627,558 | | | | 2,440,961 | |
Shares reinvested | | | 2,389,962 | | | | 264,351 | | | | 1,899,803 | | | | 511,606 | |
Shares redeemed | | | (24,399,164 | ) | | | (1,742,097 | ) | | | (4,373,453 | ) | | | (35,543,020 | ) |
Shares reduced by reverse share split(4) | | | (49,371,447 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | (49,823,004 | ) | | | 1,797,608 | | | | 33,153,908 | | | | (32,590,453 | ) |
| | | | | | | | | | | | | | | | |
Extended-Duration Bond | | | | | | | | | | | | | | | | |
Shares sold | | | 3,154,014 | | | | 2,748,742 | | | | 5,966,398 | | | | 1,561,833 | |
Shares reinvested | | | 2,105,800 | | | | 431,964 | | | | 885,583 | | | | 323,774 | |
Shares redeemed | | | (9,293,585 | ) | | | (2,493,027 | ) | | | (930,162 | ) | | | (8,917,404 | ) |
Shares reduced by reverse share split(4) | | | (28,283,084 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | (32,316,855 | ) | | | 687,679 | | | | 5,921,819 | | | | (7,031,797 | ) |
| | | | | | | | | | | | | | | | |
Global Bond(2) | | | | | | | | | | | | | | | | |
Shares sold | | | 6,428,532 | | | | 2,320,383 | | | | 34,205,252 | | | | 1,898,836 | |
Shares reinvested | | | 1,419,909 | | | | 350,881 | | | | 911,828 | | | | 724,012 | |
Shares redeemed | | | (7,178,496 | ) | | | (2,096,563 | ) | | | (837,801 | ) | | | (33,991,846 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | 669,945 | | | | 574,701 | | | | 34,279,279 | | | | (31,368,998 | ) |
| | | | | | | | | | | | | | | | |
Defensive Market Strategies | | | | | | | | | | | | | | | | |
Shares sold | | | 7,249,464 | | | | 10,068,347 | | | | 31,370,314 | | | | 5,411,179 | |
Shares reinvested | | | 2,270,927 | | | | 1,059,742 | | | | 2,278,236 | | | | 773,706 | |
Shares redeemed | | | (3,118,383 | ) | | | (2,837,905 | ) | | | (2,594,668 | ) | | | (32,333,107 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | 6,402,008 | | | | 8,290,184 | | | | 31,053,882 | | | | (26,148,222 | ) |
| | | | | | | | | | | | | | | | |
Equity Index | | | | | | | | | | | | | | | | |
Shares sold | | | 5,516,466 | | | | 2,652,286 | | | | 15,136,977 | | | | 1,906,716 | |
Shares reinvested | | | 864,727 | | | | 340,273 | | | | 701,410 | | | | 306,429 | |
Shares redeemed | | | (1,872,587 | ) | | | (2,039,395 | ) | | | (7,674,890 | ) | | | (2,129,453 | ) |
Shares reduced by reverse share split(4) | | | (22,192,494 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | (17,683,888 | ) | | | 953,164 | | | | 8,163,497 | | | | 83,692 | |
| | | | | | | | | | | | | | | | |
Value Equity | | | | | | | | | | | | | | | | |
Shares sold | | | 7,765,196 | | | | 2,348,625 | | | | 35,198,004 | | | | 1,766,957 | |
Shares reinvested | | | 4,583,518 | | | | 752,540 | | | | 6,136,876 | | | | 869,607 | |
Shares redeemed | | | (20,652,537 | ) | | | (2,289,677 | ) | | | (6,479,667 | ) | | | (39,567,421 | ) |
Shares reduced by reverse share split(4) | | | (69,721,567 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | (78,025,390 | ) | | | 811,488 | | | | 34,855,213 | | | | (36,930,857 | ) |
| | | | | | | | | | | | | | | | |
343
| | | | | | | | | | | | | | | | |
| | | Year Ended 12/31/16 | | | Year Ended 12/31/15 | |
| | | | |
| | | Institutional
Class | | | Investor
Class | | | Institutional
Class | | | Investor
Class | |
Growth Equity | | | | | | | | | | | | | | | | |
Shares sold | | | 6,739,524 | | | | 1,321,265 | | | | 31,384,481 | | | | 2,711,820 | |
Shares reinvested | | | 3,186,328 | | | | 631,139 | | | | 7,734,452 | | | | 1,950,186 | |
Shares redeemed | | | (11,376,419 | ) | | | (3,773,776 | ) | | | (6,716,925 | ) | | | (36,823,684 | ) |
Shares reduced by reverse share split(4) | | | (54,078,879 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | (55,529,446 | ) | | | (1,821,372 | ) | | | 32,402,008 | | | | (32,161,678 | ) |
| | | | | | | | | | | | | | | | |
Small Cap Equity | | | | | | | | | | | | | | | | |
Shares sold | | | 3,294,839 | | | | 1,765,169 | | | | 11,903,357 | | | | 1,485,794 | |
Shares reinvested | | | 217,024 | | | | 181,795 | | | | 1,938,034 | | | | 876,783 | |
Shares redeemed | | | (6,295,704 | ) | | | (2,360,708 | ) | | | (1,003,586 | ) | | | (14,204,642 | ) |
Shares reduced by reverse share split(4) | | | (17,499,626 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | (20,283,467 | ) | | | (413,744 | ) | | | 12,837,805 | | | | (11,842,065 | ) |
| | | | | | | | | | | | | | | | |
International Equity Index(3) | | | | | | | | | | | | | | | | |
Shares sold | | | 3,289,530 | | | | | | | | 12,379,725 | | | | | |
Shares reinvested | | | 370,799 | | | | | | | | 99,655 | | | | | |
Shares redeemed | | | (1,071,898 | ) | | | | | | | (55,416 | ) | | | | |
| | | | | | | | | | | | | | | | |
Net increase | | | 2,588,431 | | | | | | | | 12,423,964 | | | | | |
| | | | | | | | | | | | | | | | |
International Equity | | | | | | | | | | | | | | | | |
Shares sold | | | 7,623,237 | | | | 2,904,960 | | | | 66,908,514 | | | | 2,594,470 | |
Shares reinvested | | | 2,172,069 | | | | 511,485 | | | | 4,669,218 | | | | 742,205 | |
Shares redeemed | | | (11,904,472 | ) | | | (2,040,198 | ) | | | (9,705,133 | ) | | | (66,207,107 | ) |
Shares reduced by reverse share split(4) | | | (26,488,092 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | (28,597,258 | ) | | | 1,376,247 | | | | 61,872,599 | | | | (62,870,432 | ) |
| | | | | | | | | | | | | | | | |
Emerging Markets Equity | | | | | | | | | | | | | | | | |
Shares sold | | | 4,886,512 | | | | 3,992,224 | | | | 32,938,017 | | | | 3,178,785 | |
Shares reinvested | | | 627,339 | | | | 85,386 | | | | 148,746 | | | | — | |
Shares redeemed | | | (7,138,353 | ) | | | (2,061,182 | ) | | | (974,451 | ) | | | (27,771,992 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | (1,624,502 | ) | | | 2,016,428 | | | | 32,112,312 | | | | (24,593,207 | ) |
| | | | | | | | | | | | | | | | |
Inflation Protected Bond(2) | | | | | | | | | | | | | | | | |
Shares sold | | | 1,604,095 | | | | 2,063,847 | | | | 24,922,762 | | | | 2,005,829 | |
Shares reinvested | | | 267,202 | | | | 48,305 | | | | — | | | | 90,455 | |
Shares redeemed | | | (6,173,420 | ) | | | (939,174 | ) | | | (1,407,723 | ) | | | (24,973,021 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | (4,302,123 | ) | | | 1,172,978 | | | | 23,515,039 | | | | (22,876,737 | ) |
| | | | | | | | | | | | | | | | |
Flexible Income | | | | | | | | | | | | | | | | |
Shares sold | | | | | | | 3,232,240 | | | | | | | | 3,180,615 | |
Shares reinvested | | | | | | | 517,902 | | | | | | | | 490,290 | |
Shares redeemed | | | | | | | (2,884,061 | ) | | | | | | | (1,841,459 | ) |
| | | | | | | | | | | | | | | | |
Net increase | | | | | | | 866,081 | | | | | | | | 1,829,446 | |
| | | | | | | | | | | | | | | | |
344
| | | | | | | | | | | | | | | | |
| | | Year Ended 12/31/16 | | | Year Ended 12/31/15 | |
| | | | |
| | | Institutional
Class | | | Investor
Class | | | Institutional
Class | | | Investor
Class | |
Real Estate Securities(2) | | | | | | | | | | | | | | | | |
Shares sold | | | 1,359,799 | | | | 2,198,067 | | | | 16,192,141 | | | | 3,237,393 | |
Shares reinvested | | | 1,061,875 | | | | 823,889 | | | | 1,381,699 | | | | 838,902 | |
Shares redeemed | | | (5,659,612 | ) | | | (2,445,088 | ) | | | (751,209 | ) | | | (19,905,339 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | (3,237,938 | ) | | | 576,868 | | | | 16,822,631 | | | | (15,829,044 | ) |
| | | | | | | | | | | | | | | | |
Global Natural Resources Equity | | | | | | | | | | | | | | | | |
Shares sold | | | | | | | 8,950,514 | | | | | | | | 12,135,519 | |
Shares reinvested | | | | | | | 60,173 | | | | | | | | 42,140 | |
Shares redeemed | | | | | | | (14,530,700 | ) | | | | | | | (10,422,963 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | | | | | (5,520,013 | ) | | | | | | | 1,754,696 | |
| | | | | | | | | | | | | | | | |
(1)Inception date for Institutional Class for Conservative Allocation Fund, Balanced Allocation Fund, Growth Allocation Fund and Aggressive Allocation Fund was November 23, 2015.
(2)Inception date for Institutional Class for Global Bond Fund, Inflation Protected Bond Fund and Real Estate Securities Fund was May 1, 2015.
(3)Commencement of operations was June 1, 2015.
(4) See Note 1 in Notes to Financial Statements.
7. BANK BORROWINGS
The credit agreement with Bank of America, N.A. dated November 27, 2015 to November 25, 2016 expired with no outstanding loans. On November 23, 2016, the Funds entered into a new Line of Credit Agreement with The Northern Trust Company (Northern Trust). The terms of the credit agreement permit the Funds to borrow cash from Northern Trust up to a limit of $50 million, collectively. Each Fund was individually, and not jointly, liable for its particular advances, if any, under the line of credit. Interest is charged to each Fund based on its borrowings at a rate equal to the greater of the Federal Funds Rate plus 1.00% or 1.50%. Each Fund also pays a facility fee equal to its pro rata share of the amount of the credit facility, based on average net assets, at a rate of 0.20% per annum.
No Funds borrowed for the year ended December 31, 2016, and there were no outstanding loans at December 31, 2016.
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.
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. 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, 2016, the International Equity Fund and Emerging Markets Equity Fund accrued non-U.S. taxes on unrealized gains of $11,681 and $71,014, respectively.
Management has analyzed the Funds’ tax positions and has concluded that no provision for income tax is required in the Funds’ financial statements except as noted above. 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
345
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, 2013 through December 31, 2016) remains subject to examination by the Internal Revenue Service. In regard to foreign taxes only, certain Funds have open tax years in certain foreign countries they invest in that may date back to the inception of the Funds.
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 years ended December 31, 2016 and December 31, 2015, were characterized as follows for tax purposes:
| | | | | | | | | | | | | | | | | | | | |
Fund | | Year | | | Ordinary
Income | | | Long-Term
Capital Gain | | | Return
of Capital | | | Total
Distribution | |
MyDestination 2005 | | | 2016 | | | $ | 1,388,327 | | | $ | 766,400 | | | $ | — | | | $ | 2,154,727 | |
| | | 2015 | | | | 1,488,763 | | | | 4,633,210 | | | | — | | | | 6,121,973 | |
MyDestination 2015 | | | 2016 | | | | 7,649,735 | | | | 8,318,224 | | | | — | | | | 15,967,959 | |
| | | 2015 | | | | 9,221,001 | | | | 55,611,928 | | | | — | | | | 64,832,929 | |
MyDestination 2025 | | | 2016 | | | | 10,993,508 | | | | 16,869,102 | | | | — | | | | 27,862,610 | |
| | | 2015 | | | | 14,743,086 | | | | 86,476,338 | | | | — | | | | 101,219,424 | |
MyDestination 2035 | | | 2016 | | | | 4,122,302 | | | | 13,912,093 | | | | — | | | | 18,034,395 | |
| | | 2015 | | | | 7,786,505 | | | | 57,558,647 | | | | — | | | | 65,345,152 | |
MyDestination 2045 | | | 2016 | | | | 1,987,737 | | | | 11,653,279 | | | | — | | | | 13,641,016 | |
| | | 2015 | | | | 5,286,977 | | | | 41,769,639 | | | | — | | | | 47,056,616 | |
MyDestination 2055 | | | 2016 | | | | 739,515 | | | | 1,670,318 | | | | — | | | | 2,409,833 | |
| | | 2015 | | | | 722,260 | | | | 2,378,631 | | | | — | | | | 3,100,891 | |
Conservative Allocation | | | 2016 | | | | 4,576,586 | | | | 4,231,114 | | | | — | | | | 8,807,700 | |
| | | 2015 | | | | 5,146,319 | | | | 19,883,553 | | | | — | | | | 25,029,872 | |
Balanced Allocation | | | 2016 | | | | 11,827,868 | | | | 35,666,753 | | | | — | | | | 47,494,621 | |
| | | 2015 | | | | 30,811,159 | | | | 185,492,585 | | | | — | | | | 216,303,744 | |
Growth Allocation | | | 2016 | | | | 9,341,558 | | | | 50,366,158 | | | | — | | | | 59,707,716 | |
| | | 2015 | | | | 21,827,804 | | | | 159,439,753 | | | | — | | | | 181,267,557 | |
Aggressive Allocation | | | 2016 | | | | — | | | | 76,298,646 | | | | — | | | | 76,298,646 | |
| | | 2015 | | | | 15,096,267 | | | | 192,947,411 | | | | — | | | | 208,043,678 | |
Money Market | | | 2016 | | | | 1,053,194 | | | | — | | | | — | | | | 1,053,194 | |
| | | 2015 | | | | 354,779 | | | | 1,901 | | | | — | | | | 356,680 | |
Low-Duration Bond | | | 2016 | | | | 11,925,492 | | | | — | | | | — | | | | 11,925,492 | |
| | | 2015 | | | | 10,210,504 | | | | — | | | | — | | | | 10,210,504 | |
Medium-Duration Bond | | | 2016 | | | | 25,404,080 | | | | — | | | | — | | | | 25,404,080 | |
| | | 2015 | | | | 29,877,794 | | | | 5,599,044 | | | | — | | | | 35,476,838 | |
Extended-Duration Bond | | | 2016 | | | | 11,423,388 | | | | 9,012,613 | | | | — | | | | 20,436,001 | |
| | | 2015 | | | | 15,068,462 | | | | 7,251,117 | | | | — | | | | 22,319,579 | |
Global Bond | | | 2016 | | | | 17,229,950 | | | | — | | | | — | | | | 17,229,950 | |
| | | 2015 | | | | 15,752,245 | | | | — | | | | — | | | | 15,752,245 | |
Defensive Market Strategies | | | 2016 | | | | 18,729,301 | | | | 21,150,145 | | | | — | | | | 39,879,446 | |
| | | 2015 | | | | 14,319,869 | | | | 20,145,965 | | | | — | | | | 34,465,834 | |
Equity Index | | | 2016 | | | | 12,542,180 | | | | 7,516,991 | | | | — | | | | 20,059,171 | |
| | | 2015 | | | | 10,123,913 | | | | 13,062,522 | | | | — | | | | 23,186,435 | |
346
| | | | | | | | | | | | | | | | | | | | |
Fund | | Year | | | Ordinary
Income | | | Long-Term
Capital Gain | | | Return
of Capital | | | Total
Distribution | |
Value Equity | | | 2016 | | | $ | 25,066,889 | | | $ | 47,288,275 | | | $ | — | | | $ | 72,355,164 | |
| | | 2015 | | | | 23,442,851 | | | | 118,071,515 | | | | — | | | | 141,514,366 | |
Growth Equity | | | 2016 | | | | — | | | | 52,945,569 | | | | — | | | | 52,945,569 | |
| | | 2015 | | | | 18,902,593 | | | | 198,987,433 | | | | — | | | | 217,890,026 | |
Small Cap Equity | | | 2016 | | | | 1,372,347 | | | | 5,675,655 | | | | — | | | | 7,048,002 | |
| | | 2015 | | | | 4,060,828 | | | | 38,044,741 | | | | — | | | | 42,105,569 | |
International Equity Index | | | 2016 | | | | 3,270,902 | | | | — | | | | — | | | | 3,270,902 | |
| | | 2015 | | | | 896,896 | | | | — | | | | — | | | | 896,896 | |
International Equity | | | 2016 | | | | 27,198,921 | | | | 8,074,428 | | | | — | | | | 35,273,349 | |
| | | 2015 | | | | 26,090,595 | | | | 45,470,957 | | | | — | | | | 71,561,552 | |
Emerging Markets Equity | | | 2016 | | | | 5,710,316 | | | | — | | | | — | | | | 5,710,316 | |
| | | 2015 | | | | 1,112,618 | | | | — | | | | — | | | | 1,112,618 | |
Inflation Protected Bond | | | 2016 | | | | 3,278,180 | | | | — | | | | — | | | | 3,278,180 | |
| | | 2015 | | | | 939,144 | | | | — | | | | — | | | | 939,144 | |
Flexible Income | | | 2016 | | | | 4,892,519 | | | | — | | | | — | | | | 4,892,519 | |
| | | 2015 | | | | 4,764,206 | | | | — | | | | — | | | | 4,764,206 | |
Real Estate Securities | | | 2016 | | | | 16,886,427 | | | | 633,874 | | | | — | | | | 17,520,301 | |
| | | 2015 | | | | 11,697,003 | | | | 9,758,872 | | | | — | | | | 21,455,875 | |
Global Natural Resources Equity | | | 2016 | | | | 446,118 | | | | — | | | | — | | | | 446,118 | |
| | | 2015 | | | | 220,488 | | | | — | | | | — | | | | 220,488 | |
At December 31, 2016, 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 | | $ | 249,533 | | | $ | 141,379 | | | $ | — | | | $ | (2,748,709 | ) |
MyDestination 2015 | | | 2,262,782 | | | | 1,484,348 | | | | — | | | | (21,209,822 | ) |
MyDestination 2025 | | | 4,838,586 | | | | 3,287,312 | | | | — | | | | (40,198,349 | ) |
MyDestination 2035 | | | 3,592,329 | | | | 1,081,131 | | | | — | | | | (32,485,447 | ) |
MyDestination 2045 | | | 3,015,645 | | | | 658,704 | | | | — | | | | (24,474,758 | ) |
MyDestination 2055 | | | 108,949 | | | | 635,623 | | | | — | | | | (2,658,416 | ) |
Conservative Allocation | | | 1,270,413 | | | | 216,005 | | | | — | | | | (17,154,598 | ) |
Balanced Allocation | | | 18,045,922 | | | | (6,936,433 | ) | | | — | | | | (125,509,860 | ) |
Growth Allocation | | | 8,746,893 | | | | 968,769 | | | | — | | | | (130,663,792 | ) |
Aggressive Allocation | | | 9,878,805 | | | | 233,312 | | | | — | | | | (128,343,301 | ) |
Money Market | | | (2 | ) | | | — | | | | — | | | | — | |
Low-Duration Bond | | | 1,013,915 | | | | (6,060,155 | ) | | | — | | | | (5,757,870 | ) |
Medium-Duration Bond | | | 1,039,824 | | | | — | | | | (11,323,140 | ) | | | (10,984,696 | ) |
Extended-Duration Bond | | | — | | | | 778,776 | | | | (440,509 | ) | | | (1,322,884 | ) |
Global Bond | | | — | | | | (14,731,318 | ) | | | (1,220,843 | ) | | | 546,313 | |
Defensive Market Strategies | | | 5,162,575 | | | | 4,192,240 | | | | — | | | | 60,563,063 | |
Equity Index | | | 787,710 | | | | 1,144,033 | | | | — | | | | 196,735,521 | |
Value Equity | | | 427,579 | | | | 14,291,187 | | | | — | | | | 207,730,967 | |
Growth Equity | | | — | | | | 11,843,188 | | | | — | | | | 165,704,047 | |
Small Cap Equity | | | 27,294 | | | | 6,619,477 | | | | — | | | | 69,755,060 | |
International Equity Index | | | — | | | | (953,378 | ) | | | (63,516 | ) | | | (11,150,573 | ) |
International Equity | | | — | | | | — | | | | (4,018,846 | ) | | | (15,885,558 | ) |
Emerging Markets Equity | | | 1,113,836 | | | | (36,180,367 | ) | | | — | | | | (17,313,678 | ) |
347
| | | | | | | | | | | | | | | | |
Fund | | Undistributed
Ordinary
Income | | | Undistributed
Long-Term
Capital
Gain/(Capital
Loss
Carryforward) | | | Late Year
Loss Deferrals | | | Net Unrealized
Appreciation
(Depreciation)
on Investments | |
Inflation Protected Bond | | $ | 1,771,475 | | | $ | (7,820,922 | ) | | $ | — | | | $ | 290,008 | |
Flexible Income | | | — | | | | (6,789,585 | ) | | | — | | | | 851,658 | |
Real Estate Securities | | | — | | | | — | | | | (1,496,991 | ) | | | (13,974,607 | ) |
Global Natural Resources Equity | | | — | | | | (81,677,283 | ) | | | (8,152 | ) | | | (8,854,385 | ) |
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, 2016:
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| Expiring December 31, | | 2017 | | | 2018 | | | Unlimited | | | Total | |
Balanced Allocation | | $ | — | | | $ | — | | | $ | 6,936,433 | | | $ | 6,936,433 | |
Low-Duration Bond | | | — | | | | — | | | | 6,060,155 | | | | 6,060,155 | |
Global Bond | | | 6,001,516 | | | | — | | | | 8,729,802 | | | | 14,731,318 | |
International Equity Index | | | — | | | | — | | | | 953,378 | | | | 953,378 | |
Emerging Markets Equity | | | — | | | | — | | | | 36,180,367 | | | | 36,180,367 | |
Inflation Protected Bond | | | — | | | | — | | | | 7,820,922 | | | | 7,820,922 | |
Flexible Income | | | — | | | | — | | | | 6,789,585 | | | | 6,789,585 | |
Global Natural Resources Equity | | | — | | | | — | | | | 81,677,283 | | | | 81,677,283 | |
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 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, 2016, the following Funds utilized capital loss carryforwards to offset capital gains:
| | | | |
| | | Carryforward
Utilized | |
Inflation Protected Bond | | $ | 177,016 | |
For federal income tax purposes, late year loss deferrals, which will reverse in 2017, were as follows as of December 31, 2016:
| | | | | | | | | | | | |
| | | Capital | | | Ordinary
Income | | | Total | |
Medium-Duration Bond | | $ | 11,323,140 | | | $ | — | | | $ | 11,323,140 | |
Extended-Duration Bond | | | 437,899 | | | | 2,610 | | | | 440,509 | |
Global Bond | | | — | | | | 1,220,843 | | | | 1,220,843 | |
International Equity Index | | | — | | | | 63,516 | | | | 63,516 | |
International Equity | | | 2,795,121 | | | | 1,223,725 | | | | 4,018,846 | |
Real Estate Securities | | | 812,555 | | | | 684,436 | | | | 1,496,991 | |
Global Natural Resources Equity | | | — | | | | 8,152 | | | | 8,152 | |
At December 31, 2016, 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
348
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 | | $ | 111,409,810 | | | $ | (2,748,709 | ) | | $ | 799,317 | | | $ | (3,548,026 | ) |
MyDestination 2015 | | | 556,531,981 | | | | (21,209,822 | ) | | | 1,875,741 | | | | (23,085,563 | ) |
MyDestination 2025 | | | 895,141,103 | | | | (40,198,349 | ) | | | 3,674,443 | | | | (43,872,792 | ) |
MyDestination 2035 | | | 511,760,347 | | | | (32,485,447 | ) | | | 1,560,917 | | | | (34,046,364 | ) |
MyDestination 2045 | | | 378,705,995 | | | | (24,474,758 | ) | | | 1,587,609 | | | | (26,062,367 | ) |
MyDestination 2055 | | | 65,583,671 | | | | (2,658,416 | ) | | | 1,097,776 | | | | (3,756,192 | ) |
Conservative Allocation | | | 398,809,250 | | | | (17,154,598 | ) | | | 380,140 | | | | (17,534,738 | ) |
Balanced Allocation | | | 1,609,014,635 | | | | (125,509,859 | ) | | | 1,389,220 | | | | (126,899,079 | ) |
Growth Allocation | | | 1,218,404,392 | | | | (130,663,792 | ) | | | — | | | | (130,663,792 | ) |
Aggressive Allocation | | | 1,002,970,284 | | | | (128,343,302 | ) | | | — | | | | (128,343,302 | ) |
Money Market | | | 1,203,700,479 | | | | — | | | | — | | | | — | |
Low-Duration Bond | | | 969,056,946 | | | | (6,559,812 | ) | | | 3,607,481 | | | | (10,167,293 | ) |
Medium-Duration Bond | | | 1,322,823,761 | | | | (11,955,420 | ) | | | 14,530,363 | | | | (26,485,783 | ) |
Extended-Duration Bond | | | 247,066,716 | | | | (1,319,901 | ) | | | 15,875,659 | | | | (17,195,560 | ) |
Global Bond | | | 466,198,433 | | | | 1,293,435 | | | | 22,625,870 | | | | (21,332,435 | ) |
Defensive Market Strategies | | | 800,009,164 | | | | 60,587,350 | | | | 71,308,234 | | | | (10,720,884 | ) |
Equity Index | | | 549,240,737 | | | | 196,735,521 | | | | 212,237,148 | | | | (15,501,627 | ) |
Value Equity | | | 1,111,494,468 | | | | 207,730,967 | | | | 257,573,804 | | | | (49,842,837 | ) |
Growth Equity | | | 1,165,336,235 | | | | 165,704,047 | | | | 226,207,237 | | | | (60,503,190 | ) |
Small Cap Equity | | | 522,292,670 | | | | 69,755,062 | | | | 95,427,255 | | | | (25,672,193 | ) |
International Equity Index | | | 146,114,754 | | | | (11,143,076 | ) | | | 3,942,795 | | | | (15,085,871 | ) |
International Equity | | | 1,368,221,508 | | | | (16,848,383 | ) | | | 127,753,236 | | | | (144,601,619 | ) |
Emerging Markets Equity | | | 349,450,091 | | | | (17,754,351 | ) | | | 24,742,691 | | | | (42,497,042 | ) |
Inflation Protected Bond | | | 276,054,954 | | | | 153,706 | | | | 2,665,731 | | | | (2,512,025 | ) |
Flexible Income | | | 156,260,346 | | | | 851,658 | | | | 1,891,689 | | | | (1,040,031 | ) |
Real Estate Securities | | | 240,598,738 | | | | (13,955,021 | ) | | | 4,131,995 | | | | (18,087,016 | ) |
Global Natural Resources | | | 251,954,364 | | | | (8,850,205 | ) | | | 26,496,110 | | | | (35,346,315 | ) |
The differences between book basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales, the deferral of losses on straddles, gains on constructive sales and investments in PFIC’s, partnerships and other securities with book and tax cost differences.
At December 31, 2016, 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 | |
Balanced Allocation | | $ | — | | | | | $ | (4,903) | | | | | $ | 4,903 | |
Aggressive Allocation | | | — | | | | | | 391,511 | | | | | | (391,511) | |
Money Market | | | — | | | | | | (2) | | | | | | 2 | |
Low-Duration Bond | | | — | | | | | | (228,309) | | | | | | 228,309 | |
Medium-Duration Bond | | | — | | | | | | (1,725,340) | | | | | | 1,725,340 | |
Extended-Duration Bond | | | — | | | | | | 5,754 | | | | | | (5,754) | |
349
| | | | | | | | | | | | | | | | |
Fund | | Paid in
Capital | | | | | Undistributed
Net Investment
Income | | | | | Accumulated
Net Realized
Gain (Loss) on
Investments,
Currency Translations
and Derivative
Transactions | |
Global Bond | | $ | — | | | | | $ | (1,712,169) | | | | | $ | 1,712,169 | |
Defensive Market Strategies | | | (927) | | | | | | 373,501 | | | | | | (372,574) | |
Equity Index | | | — | | | | | | 1,652 | | | | | | (1,652) | |
Value Equity | | | — | | | | | | 1,804 | | | | | | (1,804) | |
Growth Equity | | | (1,082,677) | | | | | | 1,084,811 | | | | | | (2,134) | |
Small Cap Equity | | | — | | | | | | 8,142 | | | | | | (8,142) | |
International Equity Index | | | (30,667) | | | | | | 25,892 | | | | | | 4,775 | |
International Equity | | | — | | | | | | (1,935,048) | | | | | | 1,935,048 | |
Emerging Markets Equity | | | — | | | | | | 3,277,766 | | | | | | (3,277,766) | |
Inflation Protected Bond | | | — | | | | | | (422,359) | | | | | | 422,359 | |
Flexible Income | | | (22,294) | | | | | | 22,859 | | | | | | (565) | |
Real Estate Securities | | | (14,273) | | | | | | 5,679,231 | | | | | | (5,664,958) | |
Global Natural Resources Equity | | | (16,861) | | | | | | (119,258) | | | | | | 136,119 | |
Net investment income, net realized gain (loss) on investments and net assets were not affected by these reclassifications.
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,
350
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.
In countries with limited or developing markets, investments may present greater risks than in more developed markets and the prices of such investments may be volatile. The consequences of political, social or economic changes in these markets may have disruptive effects on the market prices of these investments and the income they generate, as well as the Fund’s ability to repatriate such amounts.
Credit and Counterparty Risks — A Fund will be exposed to credit risk on parties with whom it trades and will also bear the risk of settlement default. A Fund minimizes concentrations of credit risk by undertaking transactions with a large number of customers and counterparties on recognized and reputable exchanges. A Fund could lose money if the issuer or guarantor of a fixed income security, or the counterparty to a derivatives contract, repurchase agreement or a loan of portfolio securities, is unable or unwilling to make timely principal and/or interest payments, or to otherwise honor its obligations. Securities are subject to varying degrees of credit risk, which are often reflected in credit ratings.
Similar to credit risk, a Fund may be exposed to counterparty risk, or the risk that an institution or other entity with which the Fund has unsettled or open transactions will default. Financial assets, which potentially expose a Fund to counterparty risk, consist principally of cash due from counterparties and investments. The investment advisers minimize counterparty risks to the Funds by performing extensive reviews of each counterparty and obtaining approval from the Counterparty Risk Committee prior to entering into transactions with a third party. All transactions in listed securities are settled/paid for upon delivery using approved counterparties. The risk of default is considered minimal, as delivery of securities sold is only made once a Fund has received payment. Payment is made on a purchase once the securities have been delivered by the counterparty. The trade will fail if either party fails to meet its obligation.
Each Fund may face potential risks associated with the United Kingdom’s vote on June 23, 2016 to leave the European Union (the “EU”), commonly referred to as “Brexit.” There are considerable uncertainties about the repercussions resulting from Brexit, including the impact on trade agreements, regulations, and treaties. Brexit is expected to occur within two years, but the exact time frame is unknown and may change. Brexit may also increase the likelihood that other EU members may decide to leave the EU. These potential consequences may result in increased market volatility and illiquidity in the United Kingdom, the EU and other financial markets, as well as slower economic growth and fluctuations in exchange rates. Any of these events may have a significant adverse effect on global markets and economies, which in turn could negatively impact the value of each Fund’s investments.
10. RECENT SEC RULE AMENDMENTS
On July 23, 2014, the U.S. Securities and Exchange Commission (the “SEC”) adopted amendments to money market fund regulations, which structurally change the way that certain money market funds are required to operate.
The Board, on behalf of the Money Market Fund, has approved an investment policy in order for the Fund to meet the definition of a “government money market fund” under Rule 2a-7 under the Investment Company Act of 1940, as amended. Under
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amended Rule 2a-7, a government money market fund is a money market fund that invests at least 99.5% of its total assets in U.S. government securities, cash, and/or repurchase agreements that are fully collateralized by U.S. government securities or cash. These changes became effective on May 1, 2016.
On October 13, 2016, The SEC adopted amendments to Regulation S-X which will modernize and enhance the reporting and disclosure of information by registered investment companies and to enhance liquidity risk management by open-end funds, including mutual funds. The amended rules will enhance the quality of information available to investors and will allow the SEC to more effectively collect and use data reported by funds. The amended rules also will promote effective liquidity risk management across the open-end fund industry and will enhance disclosure regarding fund liquidity and redemption practices. These amendments are generally not effective until sometime in 2018. Management is currently evaluating the implications of the amendments. The impact on the Funds’ financial statement disclosures, if any, is currently being assessed.
11. REGULATORY EXAMINATIONS
Federal and state regulatory authorities from time to time make inquiries and conduct examinations regarding compliance by the Trust and its affiliates with securities and other laws and regulations affecting the Funds. There are currently no such matters which the Trust and its affiliates believe will be material to these financial statements.
12. LIQUIDATION
On April 26, 2016, the Real Assets Fund was liquidated in accordance with the Plan of Liquidation and Termination approved by the Board of Trustees on February 26, 2016.
13. SUBSEQUENT EVENTS
Subsequent events have been evaluated through the date that the financial statements were available to be issued. All subsequent events determined to be relevant and material to the financial statements have been appropriately recorded or disclosed.
Over time, the MyDestination 2005 Fund (“2005 Fund”) has changed its asset allocation following its predetermined glide path and its allocations are now substantially similar to those of the Conservative Allocation Fund. As described in the Prospectus, the assets of the 2005 Fund will be transferred to the Conservative Allocation Fund approximately 12 years after 2005 through a merger with the Conservative Allocation Fund, provided that the Board of Trustees determines that the combination would be in the best interests of the 2005 Fund and its shareholders. Legal expenses incurred as a result of the merger were deemed to be extraordinary expenses due to the unusual nature and infrequency of occurrence. The Board has approved the reorganization of the 2005 Fund into the Conservative Allocation Fund (the “Reorganization”), effective on February 10, 2017.
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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, Money Market Fund, Low-Duration Bond Fund, Medium-Duration Bond Fund, Extended-Duration Bond Fund, Inflation Protected Bond Fund, Global Bond Fund, Flexible Income Fund, Defensive Market Strategies Fund, Equity Index Fund, Real Estate Securities Fund, Value Equity Fund, Growth Equity Fund, Small Cap Equity Fund, International Equity Index Fund, International Equity Fund, Emerging Markets Equity Fund and Global Natural Resources Equity Fund (constituting GuideStone Funds, hereafter referred to as the “Trust”) as of December 31, 2016, the results of each of their operations for the year then ended and 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 as of December 31, 2016 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 27, 2017
353
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, 2016, the Funds hereby designate the following dividends and distributions paid by each of the Funds:
| | | | | | | | | | | | |
Fund | | Ordinary
Income | | | Long-Term
Capital Gain
(20% rate) | | | Return
of Capital | |
MyDestination 2005 | | $ | 1,388,327 | | | $ | 766,400 | | | $ | — | |
MyDestination 2015 | | | 7,649,735 | | | | 8,318,224 | | | | — | |
MyDestination 2025 | | | 10,993,508 | | | | 16,869,102 | | | | — | |
MyDestination 2035 | | | 4,122,302 | | | | 13,912,093 | | | | — | |
MyDestination 2045 | | | 1,987,737 | | | | 11,653,279 | | | | — | |
MyDestination 2055 | | | 739,515 | | | | 1,670,318 | | | | — | |
Conservative Allocation | | | 4,576,586 | | | | 4,231,114 | | | | — | |
Balanced Allocation | | | 11,827,868 | | | | 35,666,753 | | | | — | |
Growth Allocation | | | 9,341,558 | | | | 50,366,158 | | | | — | |
Aggressive Allocation | | | — | | | | 76,298,646 | | | | — | |
Money Market | | | 1,053,194 | | | | — | | | | — | |
Low-Duration Bond | | | 11,925,492 | | | | — | | | | — | |
Medium-Duration Bond | | | 25,404,080 | | | | — | | | | — | |
Extended-Duration Bond | | | 11,423,388 | | | | 9,012,613 | | | | — | |
Global Bond | | | 17,229,950 | | | | — | | | | — | |
Defensive Market Strategies | | | 18,729,301 | | | | 21,150,145 | | | | — | |
Equity Index | | | 12,542,180 | | | | 7,516,991 | | | | — | |
Value Equity | | | 25,066,889 | | | | 47,288,275 | | | | — | |
Growth Equity | | | — | | | | 52,945,569 | | | | — | |
Small Cap Equity | | | 1,372,347 | | | | 5,675,655 | | | | — | |
International Equity Index | | | 3,270,902 | | | | — | | | | — | |
International Equity | | | 27,198,921 | | | | 8,074,428 | | | | — | |
Emerging Markets Equity | | | 5,710,316 | | | | — | | | | — | |
Inflation Protected Bond | | | 3,278,180 | | | | — | | | | — | |
Flexible Income | | | 4,892,519 | | | | — | | | | — | |
Real Estate Securities | | | 16,886,427 | | | | 633,874 | | | | — | |
Global Natural Resources Equity | | | 446,118 | | | | — | | | | — | |
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.
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NOTICE TO SHAREHOLDERS (Continued)
The following percentages of ordinary income dividends paid for the year ended December 31, 2016, have been designated as qualified for the reduced tax rate under The Job and Growth Tax Relief Reconciliation Act of 2003.
| | | | |
Fund | | | |
MyDestination 2005 | | | 26.12 | % |
MyDestination 2015 | | | 51.60 | % |
MyDestination 2025 | | | 73.31 | % |
MyDestination 2035 | | | 100.00 | % |
MyDestination 2045 | | | 100.00 | % |
MyDestination 2055 | | | 100.00 | % |
Conservative Allocation | | | 30.01 | % |
Balanced Allocation | | | 76.78 | % |
Growth Allocation | | | 100.00 | % |
Defensive Market Strategies | | | 44.16 | % |
Equity Index | | | 94.13 | % |
Value Equity | | | 100.00 | % |
Small Cap Equity | | | 100.00 | % |
International Equity Index | | | 100.00 | % |
International Equity | | | 100.00 | % |
Emerging Markets Equity | | | 76.89 | % |
Real Estate Securities | | | 6.58 | % |
Global Natural Resources 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.
355
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-GS-FUNDS(1-888-473-8637).
| | | | | | | | | | |
| | | | | | | | | | | |
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 Trustee During Past 5 Years |
| INDEPENDENT TRUSTEES |
William Craig George (1958) 2401 Cedar Springs Road Dallas, TX 75201-1498 Trustee | | Since 2004 | | | | Senior Credit Officer, NewBridge Bank, 2014 - present; Chief Credit Officer, CapStone Bank, 2011 - 2014 (bank acquired by NewBridge Bank); Executive Vice President/Regional Credit Officer, SunTrust Bank, 1995 - 2011. | | 27 | | None |
Barry D. Hartis (1945) 2401 Cedar Springs Road Dallas, TX 75201-1498 Trustee | | Since 2014 | | | | Certified Public Accountant, 1987 - present; Client Services and Firm Development, Haynes Strand and Company, PLLC, 2005 - 2010. | | 27 | | GuideStone Financial Resources – Board of Trustees Member, 2004 – 2012; GuideStone Funds – Board of Trustees, Interested Trustee, 2005 – 2012. |
Grady R. Hazel (1947) 2401 Cedar Springs Road Dallas, TX 75201-1498 Trustee | | Since 2011 | | | | Chief Financial Officer – The Dunham School, 2016 – present; Certified Public Accountant, 2015 - present; G400 Relations Manager, American Institute of Certified Public Accountants, 2012 - 2015; Executive Director, Society of Louisiana CPAs, 1995 - 2012. | | 27 | | Neighbors Federal Credit Union – Chairman of the Board; Stonetrust Commercial Insurance Company – Board of Directors Member and Chairman of Audit Committee. |
Joseph A. Mack (1939) 2401 Cedar Springs Road Dallas, TX 75201-1498 Trustee | | Since 2002 | | | | Independent Consultant, 2010 - present; Retired - Director, Office of Public Policy, South Carolina Baptist Convention, 1999 - 2011. | | 27 | | None |
Franklin R. Morgan (1943) 2401 Cedar Springs Road Dallas, TX 75201-1498 Trustee | | Since 2005 | | | | Retired - Senior Vice President, Director of International Administration, Prudential Securities, Inc., 1960 - 2003. | | 27 | | None |
Kyle L. Tucker (1981) 2401 Cedar Springs Road Dallas, TX 75201-1498 Trustee | | Since 2013 | | | | Vice President and Financial Advisor – CAPTRUST Financial Advisors, 2006 - Present. | | 27 | | Fellowship of Christian Athletes (NC) Triangle Board, 2012 – 2015; Wake County Parks and Open Spaces Board 2012 – present; NC Values Coalition Board, 2015 – present. |
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FUND MANAGEMENT (Continued)
| | | | | | | | | | |
| | | | | | | | | | | |
Name, (DOB),Address and Position(s) with Trust | | Term of Office
and Length of
Time Served1 | | | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios
in Fund
Complex
Overseen
by Trustee | | Other Trusteeships/ Directorships Held by Trustee During Past 5 Years |
| INTERESTED TRUSTEES2 |
Thomas G. Evans (1961) 2401 Cedar Springs Road Dallas, TX 75201-1498 Trustee | | Since 2012 | | | | Owner, Encompass Financial Services, Inc., 1985 – 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; Cherokee Strip Foundation – Board of Trustees Member, 2013 – present; Enid Regional Development Alliance – Board of Trustees member, 2010 – present; Leadership Oklahoma – Board of Trustees Member. |
James W. Hixson (1931) 2401 Cedar Springs Road Dallas, TX 75201-1498 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 TRUSTEES 3 |
Ron W. Bass (1966) 2401 Cedar Springs Road Dallas, TX 75201-1498 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. | | N/A | | N/A |
Melanie Childers (1971) 2401 Cedar Springs Road Dallas, TX 75201-1498 Vice President – Fund Operations | | Since 2014 | | | | Managing Director, Fund Operations, GuideStone Financial Resources, 2014 - present; Director, Funds Administration and Operations, GuideStone Financial Resources, 2009 - 2014. | | N/A | | N/A |
John R. Jones (1953) 2401 Cedar Springs Road Dallas, TX 75201-1498 President | | Since 2000 | | | | Executive Vice President and Chief Operating Officer, GuideStone Financial Resources, 1997 - present. | | N/A | | N/A |
Harold R. Loftin, Jr. (1959) 2401 Cedar Springs Road Dallas, TX 75201-1498 Chief Legal Officer and Secretary | | Since 2015 | | | | Vice President, General Counsel and Secretary, GuideStone Financial Resources, 2014 - present; Associate Counsel Fiduciary and Corporate Services, GuideStone Financial Resources, 2013 - 2014; Counsel, Dentons, 2011 - 2013; Trial Attorney, U.S. Securities and Exchange Commission, 2000 - 2011. | | N/A | | N/A |
Patrick Pattison (1974) 2401 Cedar Springs Road Dallas, TX 75201-1498 Vice President and Treasurer | | Since 2008 | | | | Chief Accounting Officer, GuideStone Financial Resources, 2015 - present; Director of Financial Reporting & Process Review, GuideStone Financial Resources, 2008 - 2015. | | N/A | | N/A |
Matt L. Peden (1967) 2401 Cedar Springs Road Dallas, TX 75201-1498 Vice President and Investment Officer | | Since 2001 | | | | Vice President and Chief Investment Officer, GuideStone Financial Resources, 2015 - present; Director of Portfolio Management, GuideStone Financial Resources, 2010 - 2015. | | 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 | Messrs. Evans and Hixson are “interested persons” of the Trust as the term is defined in the 1940 Act, due to their positions on the Board of Trustees of GuideStone Financial Resources. |
| 3 | The 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. |
357
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-GS-FUNDS (1-888-473-8637), by visiting our website at www.GuideStoneFunds.com 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.com 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.com. 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.
358
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 the Trustees who are not “interested persons” of the Trust, as that term is defined within the meaning of 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, LLC (the “Adviser” or “GSCM”) and the Trust on behalf of the Target Date, Asset Allocation and Select Funds (each a “Fund” and together, the “Funds”) (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, Parametric Portfolio Associates LLC (“Parametric”) and the Trust on behalf of each Fund participating in the cash overlay program (“Cash Overlay Program”) (items ii and iii referred to collectively as the “Sub-Advisory Agreements”). The Advisory Agreement and the Sub-Advisory Agreements presented for renewal (each an “Agreement” and collectively, the “Agreements”) were approved for an additional one-year term, except as noted below, at a meeting of the Board held on September 15-16, 2016. 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 (“Independent Counsel”) and counsel to the Trust. Because the Board had recently approved them for an initial two-year term, the following agreements were not subject to annual renewal at the September 15-16, 2016 Board meeting: the sub-advisory agreements for the Equity Index Fund, Value Equity Fund, International Equity Index Fund and Global Natural Resources Equity Fund with Legal & General Investment Management America, Inc.
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 personnel resources of the Adviser and sub-advisers; (ii) the experience and expertise of the Adviser and sub-advisers; (iii) the financial capabilities and resources of the Adviser and sub-advisers; (iv) the compliance procedures and histories of the Adviser and sub-advisers; (v) the performance of the Funds or portfolio accounts in comparison to relevant benchmarks, peer universes of similarly managed funds and the Adviser’s and sub-advisers’ other clients; (vi) the amount of the contractual advisory fees in comparison to similarly managed funds and the Adviser’s and sub-advisers’ other clients and the effect of any fee waiver and expense reimbursement arrangements; (vii) the total expenses of the Funds in comparison to similarly managed funds and the use of past and anticipated expense caps; (viii) the profitability of the Adviser and, to the extent available, of sub-advisers with respect to the Funds or portfolio accounts and their overall businesses, as well as the effect of fee waivers and expense caps on profitability levels; (ix) the extent of any economies of scale and whether the fee structures reflect such economies of scale through breakpoints or effectively do so as a result of recent reductions in fee levels; (x) the existence of any collateral benefits realized by the Adviser or sub-advisers, such as affiliated brokerage arrangements or the use of soft dollars; and (xi) the existence of any collateral benefits realized by the Funds resulting from relationships with the Adviser or sub-advisers. In addition, with respect to the Funds that utilize a multi-manager approach (i.e., the Fund is advised by multiple sub-advisers), the Board considered the ongoing role each sub-adviser plays in the overall structuring of the portfolio, including how that sub-adviser’s strategy complements the strategies of the other sub-advisers.
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 each Agreement is in the best interests of the applicable 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 Target Date 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 Independent Counsel to discuss and consider
359
information presented in connection with the continuation of the Agreements as well as the Trustees’ responsibilities and duties in approving the Agreements.
BOARD APPROVAL OF CONTINUATION OF THE 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 Counsel during the executive sessions.
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 serving as the Trust’s investment adviser, including the Adviser’s experience overseeing and managing the allocation of each Fund’s assets among the Trust’s sub-advisers, continually reviewing the investment performance of each Fund, continually reviewing the nature and quality of the services provided by the Trust’s sub-advisers and recommending changes to the Trust’s sub-advisers as and when appropriate. With respect to the Target Date Funds and the Asset Allocation Funds, the Board evaluated the nature, extent and quality of the services that the Adviser provides that are in addition to, rather than duplicative of, services provided pursuant to any underlying Select Fund’s advisory contract. Specifically, the Board evaluated the Adviser’s services in determining the glide path or the asset mix for each Fund and selecting the specific underlying Select Funds in which to invest, as well as rebalancing services. The Board considered the experience of key personnel at the Adviser providing investment management and administrative services to the Trust, 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 and oversight of general Fund compliance, including compliance with social restrictions and Board directives. The Board concluded that each Fund is likely to benefit from the nature, extent and quality of the Adviser’s services as a result of the Adviser’s experience, personnel, operations and resources. During their deliberations, the Board members did not identify any particular information that was all-important or controlling, and each Board member may have attributed different weights to the various factors deliberated upon, among others.
The Board also examined fee and expense information for each Select Fund, as compared to other funds in each Fund’s asset-stratified peer group for the Investor Class, provided by the report of an outside consulting firm, as of June 30, 2016. The Board took into account that the management fees, net of any fee waiver or expense reimbursements, and as compared to similar funds with similar asset levels, for the Money Market, Low-Duration Bond and Medium-Duration Funds ranked in the first quartile; the Inflation Protected Bond, Global Bond, Defensive Market Strategies, Equity Index, Real Estate Securities, Value Equity and International Equity Funds ranked in the second quartile; the Extended-Duration Bond, Flexible Income, Growth Equity, Small Cap Equity, Emerging Markets Equity and Global Natural Resources Equity Funds ranked in the third quartile; and no Funds ranked in the fourth quartile. The Board also evaluated the total expense ratios for other funds in each Fund’s asset-stratified peer group and determined that each Fund’s total expense ratio, with the exception of the Money Market, Extended-Duration Bond, Flexible Income, International Equity and Global Natural Resources Equity Funds, was the same as, or lower than, the median total expense ratio for such other funds. The Board took into account that the total expense ratio for the Money Market, Extended-Duration Bond, Flexible Income and Global Natural Resources Equity Funds ranked in the third quartile, and that the International Equity Fund ranked in the fourth quartile, among similar funds at similar asset levels.
The Board also examined the fee and expense information for each Select Fund, as compared to other funds in the peer groups for the Institutional Class, provided by the report of an outside consulting firm, as of June 30, 2016. The Board determined that the management fees, net of any fee waiver or expense reimbursement, for the Real Estate Securities Fund ranked in the first quartile; the Money Market, Low-Duration Bond, Medium-Duration Bond, Global Bond, Inflation Protected Bond, Value Equity and International Equity Funds ranked in the second quartile; the Extended-Duration Bond, Defensive Market Strategies, Equity Index, Growth Equity, Small Cap Equity, International Equity Index and Emerging Markets Equity Funds ranked in the third quartile; and no Funds ranked in the fourth quartile among each Fund’s broad peer group. The Board also evaluated the total expense ratios for other funds in each Fund’s broad peer group for the Institutional Class 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,
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Extended-Duration Bond, Small Cap Equity, International Equity, International Equity Index and Emerging Markets Equity Funds. The Board took into account that the total expense ratios for the Money Market, Extended-Duration Bond, Small Cap Equity, International Equity and Emerging Markets Equity Funds ranked in the third quartile and the International Equity Index Fund ranked in the fourth quartile.
The Board also examined fee and expense information for the Target Date Funds and the Asset Allocation Funds, as compared to other funds in the Funds’ asset-stratified peer groups for the Investor Class of the Target Date Funds and the Institutional and Investor Classes of the Asset Allocation Funds, provided by the report of an outside consulting firm, as of June 30, 2016. The Board determined that the management fees, net of any fee waiver or expense reimbursement, for each Target Date 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 Target Date Fund were slightly higher than the median total expense ratio 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 the Institutional and Investor Classes were slightly lower 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 the Institutional and Investor Class were lower than the median total expense ratio for such other funds.
The Board examined the performance information for the Investor Class of the Select Funds compared to the relevant benchmark and to Morningstar peer rankings, specifically for the three-, five- and 10-year average annual total returns for the period ended June 30, 2016. Among Morningstar peers, the Board noted that the average annual total returns for the three-, five- and 10-year periods ended June 30, 2016, for the Money Market and Extended-Duration Bond Funds ranked in the first quartile.
For the period ended June 30, 2016, the Board noted that for the three-year average annual total return, the Money Market, Extended-Duration Bond and Defensive Market Strategies Funds ranked in the first quartile; the Inflation Protected Bond, Global Bond and International Equity Funds ranked in the second quartile; the Low-Duration Bond, Medium-Duration Bond, Real Estate Securities, Value Equity, Growth Equity and Small Cap Equity Funds ranked in the third quartile; and no Funds ranked in the fourth quartile.
For the five-year average annual total return for the period ended June 30, 2016, the Board noted that the Money Market, Extended-Duration Bond, Global Bond and Real Estate Securities Funds ranked in the first quartile; the Medium-Duration Bond, Inflation Protected Bond, Value Equity and Growth Equity Funds ranked in the second quartile; the Low-Duration Bond, Small Cap Equity and International Equity Funds ranked in the third quartile; and no Funds ranked in the fourth quartile.
For the 10-year average annual total return for the period ended June 30, 2016, the Board noted that the Money Market, Medium-Duration Bond, Extended-Duration Bond and Real Estate Securities Funds ranked in the first quartile; the Low-Duration Bond Fund ranked in the second quartile; the Value Equity, Growth Equity, Small Cap Equity and International Equity Funds ranked in the third quartile; and no Funds ranked in the fourth quartile.
The Board then examined the performance information included in the September 2016 Board Meeting materials for the Investor 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, 2016, and for the Target Date Funds for the three- and five-year periods ended June 30, 2016.
Among Morningstar peers, the Board noted that the Conservative Allocation Fund ranked in the fourth quartile for the one-, three- and five-year periods and the third quartile for the 10-year period ended June 30, 2016; the Balanced Allocation Fund ranked in the third quartile for the five- and 10-year periods and the fourth quartile for the one- and three-year periods ended June 30, 2016; the Growth Allocation Fund ranked in the third quartile for the 10-year period and the fourth quartile for the one-, three- and five-year periods ended June 30, 2016; and the Aggressive Allocation Fund ranked in the third quartile for the one-, three- and 10-year periods and the second quartile for the five-year period ended June 30, 2016.
The Board also noted that among Morningstar peers, the MyDestination 2005 Fund ranked in the fourth quartile for the three- and five-year periods ended June 30, 2016; the MyDestination 2015 Fund ranked in the third quartile for the three- and five-year periods ended June 30, 2016; the MyDestination 2025 Fund ranked in the fourth quartile for the three-year period and in the third quartile for the five-year period ended June 30, 2016; the MyDestination 2035 Fund ranked in the fourth quartile for the three-year period and in the third quartile for the five-year period ended June 30, 2016; the MyDestination 2045 Fund ranked in the fourth quartile for the three- and five-year periods ended June 30, 2016; and the MyDestination 2055 Fund ranked in the
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fourth quartile for the three-year period ended June 30, 2016. The Board recognized the inception date of the MyDestination 2055 Fund is 2012.
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 revenues that GSCM received for serving as the Adviser to the Funds and the fact that any profit realized by the Adviser is forwarded to GuideStone Financial Resources of the Southern Baptist Convention, which for many years operated at a deficit with respect to the Trust. The Board also considered the profitability information 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 also considered the extent to which the advisory fee to be paid to the Adviser reflected economies of scale. The Board noted that the Select Funds’ advisory fees were restructured in 2015 and that, as of May 1, 2016, only certain Funds are subject to an expense cap. The Board considered the amount of any fees waived by the Adviser for each applicable Fund and the total amount of fees waived for the Trust as a whole during the past year. The Board also noted that the total expense ratios, net of any fee waiver and expense reimbursement, if applicable, were below the median total expense ratio for other similar funds at the same asset levels for the Investor Class, except for the Money Market, Extended-Duration Bond, Flexible Income, International Equity and Global Natural Resources Equity Funds.
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 fair and reasonable in light of the services to be performed, 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 sessions with their Independent 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 GSCM and Trust management regarding various sub-advisers, GSCM and 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. The Board evaluated each sub-adviser’s experience serving as a sub-adviser to the applicable Fund(s). 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 providing investment management services, 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 with respect to the applicable Fund(s), including the responsibility of the day-to-day management of the investment portfolio of each such Fund, compliance with each such Fund’s policies and objectives and the implementation of Board directives as they relate to such Funds. The Board also took into account the overall structure of each Fund and the particular role each sub-adviser plays in that structure and in achieving each Fund’s overall investment objective. The Board also noted that market conditions presented challenges for certain active management strategies during recent periods. The Board concluded that each Fund is likely to benefit from the nature, extent and quality of these services as a result of each sub-adviser’s experience, personnel, operations and resources. During 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.
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The Board examined performance information for each segment of a Fund managed by a sub-adviser. The Board noted that, for many of the sub-advisers, the performance record of the segment of the Fund managed by the sub-adviser compared favorably to the relevant benchmark, the composite performance for the sub-adviser’s clients (on a gross fee basis) and/or the peer universe of similarly managed funds. In cases where the sub-adviser’s performance lagged behind the relevant benchmark, the Board also considered more recent investment performance, performance measured against other relevant benchmarks or how the sub-adviser’s strategy deviated from the composition of the benchmark, any recent reductions in the sub-advisory fee and the sub-adviser’s role within the Fund.
The Board also noted that, in certain cases, market trends that have developed since the recent economic downturn have contributed to the underperformance of some of the sub-advisers. The Board also considered whether a sub-adviser’s underperformance was within the expected tracking error for the sub-adviser’s investment strategy. The Board concluded that, although past performance is no guarantee of future performance, the performance of each sub-adviser’s segment was satisfactory and the Funds were likely to benefit from each sub-adviser continuing to serve as sub-adviser to the Trust.
The Board 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 the limited number of 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, the sub-adviser’s performance history and feedback received from the sub-adviser regarding the firm’s inability to estimate profitability. The Board noted that, based on the Adviser’s representations, the financial statements of the sub-advisers did not appear to raise any significant concerns regarding the financial capability of those sub-advisers. The Board also considered the Adviser’s representations in the materials prepared for this meeting, and the discussions earlier in the meeting, that no sub-adviser experienced any material adverse change in its financial condition since the date of its most recent audited financial statements, and took into account the Adviser’s representation that it would continue to monitor the financial condition of each sub-adviser.
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 interest of each Select Fund and each Fund participating in the Cash Overlay Program and their respective shareholders.
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INVESTMENT SUB-ADVISERS (Assets under management as of December 31, 2016) (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 | | | $ | 5.2Tr | |
Low-Duration Bond | | BlackRock Financial Management, Inc. | | 1988 | | | $ | 5.2Tr | |
| | Pacific Investment Management Company LLC | | 1971 | | | $ | 1.5Tr | |
| | Payden & Rygel | | 1983 | | | $ | 106.0B | |
Medium-Duration Bond | | Goldman Sachs Asset Management, L.P. | | 1984 | | | $ | 1.2Tr | |
| | Pacific Investment Management Company LLC | | 1971 | | | $ | 1.5Tr | |
| | Western Asset Management Company and | | | | | | | |
| | Western Asset Management Company Limited | | 1971 | | | $ | 425.9B | |
Extended-Duration Bond | | Loomis, Sayles & Company, L.P. | | 1926 | | | $ | 240.2B | |
| | Schroder Investment Management North America Inc.1 | | 1804 | | | $ | 487.1B | |
Global Bond | | Loomis, Sayles & Company, L.P. | | 1926 | | | $ | 240.2B | |
| | Western Asset Management Company and | | | | | | | |
| | Western Asset Management Company Limited | | 1971 | | | $ | 425.9B | |
Defensive Market Strategies | | American Century Investment Management, Inc. | | 1958 | | | $ | 156.8B | |
| | AQR Capital Management, LLC | | 1998 | | | $ | 175.2B | |
| | Parametric Portfolio Associates LLC | | 1992 | | | $ | 178.6B | |
| | Shenkman Capital Management, Inc. | | 1985 | | | $ | 30.7B | |
Equity Index | | Legal & General Investment Management America, Inc. | | 2006 | | | $ | 140.1B | |
Value Equity | | AJO, LP | | 1984 | | | $ | 28.3B | |
| | Barrow, Hanley, Mewhinney & Strauss, LLC | | 1979 | | | $ | 92.3B | |
| | Legal & General Investment Management America, Inc. | | 2006 | | | $ | 140.1B | |
| | TCW Investment Management Company LLC | | 1971 | | | $ | 191.5B | |
Growth Equity | | Brown Advisory, LLC | | 1993 | | | $ | 30.4B | |
| | Jackson Square Partners, LLC | | 2013 | | | $ | 22.0B | |
| | Loomis, Sayles & Company, L.P. | | 1926 | | | $ | 240.2B | |
| | Sands Capital Management, LLC | | 1992 | | | $ | 34.9B | |
Small Cap Equity | | AJO, LP | | 1984 | | | $ | 28.3B | |
| | RBC Global Asset Management (U.S.) Inc. | | 1983 | | | $ | 40.3B | |
| | Snow Capital Management L.P. | | 1980 | | | $ | 2.8B | |
| | TimesSquare Capital Management, LLC | | 2000 | | | $ | 16.2B | |
International Equity Index | | Legal & General Investment Management America, Inc. | | 2006 | | | $ | 140.1B | |
International Equity | | AQR Capital Management, LLC | | 1998 | | | $ | 175.2B | |
| | Baillie Gifford Overseas Limited | | 1983 | | | $ | 179.7B | |
| | Barrow, Hanley, Mewhinney & Strauss, LLC | | 1979 | | | $ | 92.3B | |
| | MFS Institutional Advisors, Inc. | | 1970 | | | $ | 425.6B | |
| | Mondrian Investment Partners Ltd. | | 1990 | | | $ | 59.0B | |
Emerging Markets Equity | | AQR Capital Management, LLC | | 1998 | | | $ | 175.2B | |
| | Genesis Asset Managers, LLP and | | | | | | | |
| | Genesis Investment Management, LLP | | 1989 | | | $ | 26.4B | |
Inflation Protected Bond | | BlackRock Financial Management, Inc. | | 1988 | | | $ | 5.2Tr | |
Flexible Income | | Shenkman Capital Management, Inc. | | 1985 | | | $ | 30.7B | |
Real Estate Securities | | Heitman Real Estate Securities, LLC, | | | | | | | |
| | Heitman International Real Estate Securities GmbH and | | | | | | | |
| | Heitman International Real Estate Securities HK Limited | | 1989 | | | $ | 36.4B | |
| | RREEF America L.L.C., | | | | | | | |
| | Deutsche Investments Australia Limited and | | | | | | | |
| | Deutsche Alternative Asset Management (Global) Limited | | 1975 | | | $ | 52.8B | |
Global Natural Resources Equity | | Legal & General Investment Management America, Inc. | | 2006 | | | $ | 140.1B | |
| | SailingStone Capital Partners LLC | | 2014 | | | $ | 6.5B | |
Custodian for GuideStone Funds Assets | | The Northern Trust Company | | 1889 | | | $ | 6.7Tr | |
Cash Overlay for Target Date,Asset Allocation, Fixed Income, Equity and Real Return Funds | | Parametric Portfolio Associates LLC | | 1992 | | | $ | 178.6B | |
(1)Assets as of September 30, 2016.
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| | | | |
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2401 Cedar Springs Road, Dallas, TX 75201-1498 1-888-GS-FUNDS • GuideStoneFunds.com | | | | Funds distributed by Foreside Funds Distributors LLC 400 Berwyn Park, 899 Cassatt Road, Suite 110, Berwyn, PA 19312 |
| | |
| | | | 55780 01/17 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 Grady R. Hazel 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 $763,000 and $655,800 for 2015 and 2016, 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 $67,000 and $52,167 for 2015 and 2016, 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 $142,000 and $129,760 for 2015 and 2016, 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 $67,000 and $0 for 2015 and 2016, respectively. Other fees for fiscal year 2015 relate to procedures performed in connection with an assessment of the medical claims processed by Highmark Blue Cross Blue Shield. |
| | (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 less than fifty percent. |
| | (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 2015 and 2016, 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.
Item 6. Investments.
| (a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
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. |
Item 12. Exhibits.
| | (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. |
| | (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. |
| (12.other) | Not applicable. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| | | | |
| (Registrant) GuideStone Funds | | |
| | |
| By (Signature and Title)* | | /s/ John R. Jones | | |
| | John R. Jones, President | | |
| | (principal executive officer) | | |
Date 3/3/2017
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| | | | |
| By (Signature and Title)* | | /s/ John R. Jones | | |
| | John R. Jones, President | | |
| | (principal executive officer) | | |
Date 3/3/2017
| | | | |
| By (Signature and Title)* | | /s/ Patrick Pattison | | |
| | Patrick Pattison, Vice President and Treasurer | | |
| | (principal financial officer) | | |
Date 3/3/2017
| * | Print the name and title of each signing officer under his or her signature. |
