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)
Matthew A. Wolfe, 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, 2017
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.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. 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 2017 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.
2017 was an incredible year for GuideStone®. For the first time ever, GuideStone Funds® exceeded $13 billion in assets under management, thanks to robust growth in the financial markets and growth in numbers of investors. Low interest rates, low deflationary pressures, an improving labor market, improving sentiment about the state of the economy and fiscal policies, and low volatility led to this year’s growth.
During 2017, GuideStone Funds continued the steps to furthering enhancements and rationalizing the Fund lineup. In 2017, we launched the Strategic Alternatives Fund and closed the Global Natural Resources Equity Fund, the Flexible Income Fund and the MyDestination 2005 Fund. We believe these decisions ensure we are meeting the needs of our investors in achieving their goals.
This year also marked another recognition from the Lipper Fund Awards. The GuideStone Funds Defensive Market Strategies Fund-Institutional share class was named the Best Fund Over 3 Years and Best Fund Over 5 Years by Lipper within its Flexible Portfolio Funds category as of November 30, 2016. This award recognized the Defensive Market Strategies Fund within its Flexible Portfolio Funds category, which is made up of 147 similar funds in the 3-year period and 107 similar funds in the 5-year period. The 2017 Lipper Fund Awards honor funds for their consistently strong risk-adjusted performance relative to their peers. The accolades were announced at an investment industry awards dinner March 23 in New York. This marked the seventh and eighth times in six years that Lipper has awarded GuideStone one of its prestigious trophies. We continue to be energized by these recognitions, which we believe continue to give evidence that one does not need to choose between performance and values in their investing 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
Lipper designates award winning funds in most individual classifications for the three-, five- and ten-year periods and fund families with high average scores for the three-year time period. The Lipper Fund Awards are based on the Lipper Leader for Consistent Return rating, which is a risk-adjusted performance measure calculated over 36, 60 and 120 months. The fund with the highest Lipper Leader for Consistent Return (Effective Return) value in each eligible classification wins the Lipper Fund Award. For more information, see www.lipperfundawards.com.
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FROM THE CHIEF INVESTMENT OFFICER
| | |
 | | Unconventional is an appropriate term to characterize calendar year 2017, as many of the traditional relationships that are normally observed within the economy and financial markets did not occur. Over the past 12 months, the financial markets demonstrated unconventionally low volatility and strong returns in the midst of geopolitical pressures that would normally put negative pressure on financial assets, especially those with a higher risk orientation. Last year’s U.S. macroeconomic environment could also be described as unconventional, with low inflation and low wage growth prevalent despite a strengthening economy and accommodative monetary policy. And of course, unconventional is a fitting term for President Trump, whose personality and political style resulted in a non-traditional approach to governing. In a review of 2017, four primary themes stand out: the “risk-on” environment that permeated financial markets across the globe, U.S. central bank monetary policy, stubbornly low U.S. |
Matt L. Peden, CFA | | inflation and the pursuit of comprehensive tax reform legislation. A summary of each is detailed below. |
|
Risk-On Environment
“Synchronized global growth” was frequently used to describe the global macroeconomic environment in 2017. Last year, the world’s major economies grew in fairly harmonious fashion without a major economy contracting – in fact, all 45 countries tracked by the Organization for Economic Cooperation and Development (“OECD”), which include both developed and emerging economies, are forecasted to have expanded in 2017 (final figures will be released by the OECD a couple of months into the next year). According to the International Monetary Fund (IMF), “The global upswing...reaches more broadly than any in a decade – roughly 75% of the world economy.”
With accommodative monetary policy and the strengthening global outlook as a backdrop, business and consumer optimism remained strong throughout the year. Volatility, meanwhile, was unusually muted in 2017. The CBOE Volatility Index® (VIX®), which measures the market’s expectation of volatility of the S&P 500® Index, hit record lows multiple times during the year – in fact, of the 56 lowest closing levels in its history, 47 of them occurred in 2017.
Soaring confidence and near-absent volatility brought a healthy appetite for investment risk, spurring equity markets across the globe to strong double-digit performance during the year. In the United States, the S&P 500® Index ended the year up 21.83%, the Dow Jones Industrial Average was up 28.11% and the NASDAQ produced gains of 29.64%. Astoundingly, all three indexes hit record highs more than 60 times each in 2017 – with the Dow Jones Industrial Average and NASDAQ both closing at all-time highs over 70 times during the year. Non-U.S. equities performed as well as their U.S. counterparts (in U.S. dollar terms). The MSCI EAFE Index, which measures the equity market performance in global developed markets (excluding the United States and Canada), ended the year up 25.03%. The MSCI Emerging Markets Index, which represents the performance of securities in 24 emerging market countries, gained 37.28%. In general, non-U.S. equities were further benefitted from the depreciation of the U.S. dollar versus other currencies.
Directionally, fixed income markets performed the same as equities – the higher the risk, the higher the returns experienced. Indexes for both U.S. investment grade and U.S. high yield bonds closed the year in positive territory. The Bloomberg Barclays U.S. Aggregate Index – a proxy for the broader U.S. bond market – gained 3.54% for the year. The Bloomberg Barclays U.S. High Yield – Corporate Index, which measures the performance of non-investment grade corporate bonds, posted an annual return of 7.50%. The Bloomberg Barclays Global Aggregate Index, which provides a broad-based measure of global investment grade bonds, closed up 7.39% for the year. The higher performance of non-investment grade and global bonds provided further evidence of the “risk-on” environment that was prevalent throughout 2017.
Securities in the Funds do not match those in the indexes and performance of the Funds will differ. It is not possible to invest directly in an index. For current Fund performance, please visit www.guidestonefunds.com.
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The following table summarizes the 2017 fourth quarter and calendar year returns for each index described above.
| | | | | | | | | | |
Index | | | | 4th Quarter 2017 Return | | | 2017 Calendar Year Return | |
| | U.S. Equities | | | | | | | | |
S&P 500® Index | | | | | 6.64 | % | | | 21.83 | % |
Dow Jones Industrial Average | | | | | 10.96 | % | | | 28.11 | % |
NASDAQ | | | | | 6.55 | % | | | 29.64 | % |
| | International Equities | | | | | | | | |
MSCI EAFE | | | | | 4.23 | % | | | 25.03 | % |
MSCI Emerging Markets | | | | | 7.44 | % | | | 37.28 | % |
| | U.S. Fixed Income | | | | | | | | |
Bloomberg Barclays U.S. Aggregate | | | | | 0.39 | % | | | 3.54 | % |
Bloomberg Barclays U.S. High Yield – Corporate | | | | | 0.47 | % | | | 7.50 | % |
| | Global Fixed Income | | | | | | | | |
Bloomberg Barclays Global Aggregate | | | | | 1.08 | % | | | 7.39 | % |
Central Bank Monetary Policy
Nearly 10 years removed from the financial crisis that precariously swept across the world, the Federal Reserve (“Fed”) finds itself in uncharted territory. Now that the U.S. economy is strengthening, the Fed must develop and execute a strategy to withdraw the financial stimulus measures of the past decade. However, these particular stimuli – near zero interest rates and quantitative easing (“QE”) – have never been used by the Fed to such a large degree, either individually or in combination, prior to the financial crisis. As such, there is no historical precedent by which to model the Fed’s actions or gauge the Fed’s success on such a pullback.
Obvious steps in a “return to normalcy” include raising interest rates and discontinuing QE (the purchase of government and other securities in an effort to increase the supply of money in the economy). To that extent, 2017 was a fairly active year for the Fed. After raising the federal funds rate just one time each in 2015 and 2016, respectively, the Fed increased the rate three times in 2017. The third increase, which occurred during the Fed’s December meeting, brought the new rate target to a range of 1.25%-1.50%. Moreover, the Fed also began reducing its $4.5 trillion balance sheet in October, marking the important start of the formal QE unwinding process.
While this tightening of monetary policy signals nearer-term confidence in the direction of the U.S. economy, the Fed has been and will likely continue to be very measured and well-telegraphed in its actions in a concentrated effort to not unduly upset financial markets.
In other Fed news, President Trump in November announced his nomination of Jerome Powell to succeed Janet Yellen, existing Chairman of the Fed, when her term expires in early 2018. While the change from Dr. Yellen to Mr. Powell is expected to be a relative non-event, there is a risk that a Powell-led Fed may deviate from the slow pace of policy normalization favored by Dr. Yellen – especially if inflationary pressures begin to pick up.
Low Inflation
Inflation remained stubbornly low throughout the year. The Consumer Price Index (“CPI”), which represents inflation by measuring the change in prices paid by consumers for retail goods and other items, rose 2.1% for the year. For comparison, the average annual inflation rate from 1958-2016, as calculated by the Bureau of Labor Statistics, is 3.7%.
While persistently low inflation can be the result of many factors, two specific drivers stood out in 2017: continued technological innovation and low wage growth. On the technological front, the advancement of new technologies has reduced production costs and increased consumers’ ability to comparison shop. Regarding wages, wage growth remained somewhat sluggish throughout the
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year – ending 2017 at a 2.5% annualized rate – despite unemployment sitting at a 17-year low of 4.1%. Many market pundits were watching wage growth closely, as a further uptick could be a catalyst for higher inflation and higher interest rates.
Tax Reform
In late December, Congress passed and President Trump signed into law the long-promised and much-anticipated Tax Cuts and Jobs Act. This far-reaching piece of legislation – the biggest overhaul of the U.S. tax code in over 30 years – enacted significant tax changes to both corporations and individual taxpayers. The centerpiece of the bill is a reduction in the corporate tax rate from 35% to 21%.
The tax bill is estimated to result in a tax savings of $1.5 trillion over the next decade. It is projected that individuals and small businesses will see over $120 billion of tax relief in 2018, while the combined tax changes could provide a 10%-12% bump in earnings per share growth of the S&P 500® Index over the next 12 months. While the corporate tax cuts are permanent, those for individual taxpayers will expire in 2025 unless future changes are made.
Conclusion
Many financial pundits described 2017 as a “Goldilocks” environment of “just right” market conditions – a strong increase in financial asset prices driven by steady economic growth and low levels of unemployment, interest rates, inflation and volatility. As we enter 2018, many questions remain. Will markets continue their unabated upward trajectory? When will volatility return? The markets seemed to ignore several major political and geopolitical events in 2017 – what will prove to be the catalyst for market upheaval?
Unfortunately, the answers to these questions are not often apparent until after the fact. For 2018, GuideStone Capital
Management, LLC (“GSCM”) believes that interest rates and inflation are the main indicators on which investors should focus. If both remain low, Goldilocks could extend her stay in 2018, further supporting the long-extended bull market. However, if inflation outpaces expectations and wage growth accelerates, prompting the Fed to quicken the pace of interest rate increases, markets could enter a lower-return environment defined by higher levels of volatility and unpredictability.
In the face of uncertainty, an active manager like GSCM can help investors play multiple positions on the investment field. GSCM works to identify opportunities and risks in financial markets and is well-positioned to make opportunistic moves within the Funds in anticipation of, or in response to, specific market events or changing market conditions.
As investment adviser to GuideStone Funds, GSCM strives to be a prudent steward of your investment assets. Thank you for investing in GuideStone Funds and for allowing GSCM the privilege of managing your investment assets. Please feel free to contact us if you have any comments or questions.
Sincerely,
Matt L. Peden, CFA
Vice President - Chief Investment Officer
GuideStone Funds
There can be no guarantee that any strategy (risk management or otherwise) will be successful. All investing involves risk, including potential loss of principal.
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|
| Asset Class Performance Comparison |
The following graph illustrates the performance of the major assets classes during 2017.
1The Bloomberg Barclays US Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, US dollar-denominated, fixed-rate taxable bond market. The index includes Treasuries, government-related and corporate securities, MBS (agency fixed-rate and hybrid ARM pass-throughs), ABS and CMBS (agency and non-agency).
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 consists of the following 24 emerging market country indices: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Pakistan, 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 a market capitalization-weighted equity index composed of approximately 500 U.S. companies representing all major industries. The index is designed to measure performance of the broad domestic economy through changes in the aggregate market value of its constituents.
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S&P 500® Index Returns
The U.S. large-cap equity market, as measured by the S&P 500® Index, finished the year with an impressive 21.8% total return for 2017; the ninth straight year of positive returns for the index and the third strongest year over that time frame. The positive momentum in the markets that began with 2016’s election gained steam throughout the year with the index posting more than 75 new index level highs since that time. Investor anticipation of, and ultimately reaction to, U.S. tax reform propelled the market past various geopolitical issues (both domestic and abroad). Technology and materials companies led the way in contributing to the index’s strong performance (38.8% and 23.8%, respectively) while the stocks of energy companies marginally weighed on overall performance (-1%). Additionally, the positive performance was broad-based and not just concentrated in a handful of sectors as nine of the 11 S&P 500® sectors posted positive double-digit returns.
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, returned 14.7% for the year. Since the global financial crisis in 2008, the index has returned positive performance in seven of the past nine years. The divergence in small cap stocks relative to large cap stocks persisted throughout the year as larger companies were favored by investors over their smaller brethren. Larger companies generally stood to benefit greater from tax reform while smaller cap companies faced potentially greater headwinds in the form of higher rates and slightly negative implications from tax reform, on a relative basis. Health care and industrials were stand-outs for positive performance (36.1% and 18.6%, respectively) while small cap energy stocks were unable to gain positive ground (and ended down -17.2% for the year) after enjoying a relatively strong 2016.
The Russell 2000® Index measures the performance of the small-cap segment of the U.S. equity universe. The Russell 2000® Index is a subset of the Russell 3000® Index representing approximately 10% of the total market capitalization of that index. It includes approximately 2,000 of the smallest securities based on a combination of their market cap and current index membership. The Russell 2000® Index is constructed to provide a comprehensive and unbiased small-cap barometer and is completely reconstituted annually to ensure that larger stocks do not distort the performance and characteristics of the actual small-cap opportunity set.
Data Source: Russell Investments, Bloomberg
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MSCI EAFE Index Returns
International developed market equities, as measured by the MSCI Europe, Australasia and Far East (EAFE) Index, rose a spectacular 25.0% for 2017, on the back of a relatively muted 1.0% return in 2016. As a widespread economic recovery began to take hold for the index’s largest region, Europe, investors rewarded the region’s stocks as they simultaneously hailed their future growth prospects. Relative to U.S. markets, international markets have not recovered as dramatically from the global financial crisis, and 2017 was a year in which they gained additional ground in that recovery. All sectors posted positive performance, with financial services and consumer discretionary stocks contributing the largest return to the overall index. The largest regional weighting in the index, Europe, was also the strongest performer for the year as the region made meaningful strides in its economic recovery during 2017.
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 37.3% for the year, more than tripling 2016’s return and marking its highest annual return since 2009. Chinese Internet stocks were the darling of the emerging markets as many returned greater than 100.0% for the year. Technology, as a whole, contributed roughly 40% of the index’s gain. Not unlike many other pockets of the global market landscape, financial services was also a strong contributor of returns as interest rates ticked up globally and aided in the profitability of the sector. At the country level, China and Poland experienced the strongest gains, but it is worth noting that 18 of the index’s 24 constituent countries were able to post gains of 25% or greater.
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 24 emerging market country indices: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Pakistan, 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, logged a 3.5% gain for 2017; its fourth consecutive annual period of positive performance. As was the case last year, corporate bonds were once again the strongest performing group with the utilities sub-sector providing the most lift within the grouping. Strong performance was also seen out of the securitized bonds grouping with commercial mortgage-backed securities doing well in the face of a continued strength in commercial real estate growth. The difference in yield between investment grade and high yield bonds is close to all-time lows and investors are cautiously navigating their fixed-income exposure as the inevitable higher yields will equate to lower bond prices. Because of this, investors tended to favor shorter duration instruments throughout the year as the Federal Reserve (the “Fed”) continued to hike interest rates.
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
After implementing one interest rate increase in 2016, robust U.S. growth aided in the Federal Open Market Committee’s (“FOMC”) decision to raise interest rates three times in 2017, ending the year at a range of 1.25% - 1.50%. Members of the FOMC also embarked on the difficult task of slowly reducing the Fed’s balance sheet after years of injecting liquidity into the system by allowing $10 billion in bonds to mature each month, with the intention of raising this monthly amount over time to $50 billion per month. Strong economic growth and low unemployment readings coupled with a rising inflation rate (albeit at a stubbornly slow pace) led the FOMC to project raising rates more times in 2018. While tax reform will likely lead to further growth, the Fed will continue to delicately reduce its balance sheet and balance rate increases in an attempt to keep the U.S. economy from overheating.
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 U.S. Treasury Yield Curve experienced a flattening throughout 2017 as the Fed raised rates on the short end of the curve and longer-term rates marginally declined. The 10-year U.S. Treasury ended the year at 2.40% after trading in a fairly narrow range, compared to 2.45% at the end of 2016. On the other hand, the shorter end of the curve (one- and three-year rates, for instance) ended the year at 1.76% and 1.98%, compared to 0.85% and 1.47%, respectively, in 2016. While the great bond bull market of the past 30+ years is largely over, as rates have ground ever-lower over that time frame, the flatness of the yield curve might marginally be offset by the reduction of U.S. Treasury securities purchases by global central banks. Additionally, it is wise to not underestimate the safe haven that U.S. government bonds provide in times of equity market fears (thus increasing demand for said securities).
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, 2017 to December 31, 2017. The Annualized Expense Ratio may be different from the expense ratio in the Financial Highlights which is for the fiscal year ended December 31, 2017.
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
07/01/17 | | Ending
Account Value
12/31/17 | | Annualized
Expense
Ratio (1) | | Expenses
Paid During
Period (2) |
MyDestination 2015 | | Institutional
Investor | | $1,000.00
1,000.00 | | $ 1,054.10
1,052.70 | | 0.17%
0.40 | | $0.88
2.05 |
MyDestination 2025 | | Institutional
Investor | | 1,000.00
1,000.00 | | 1,070.10
1,068.50 | | 0.14
0.39 | | 0.74
2.03 |
MyDestination 2035 | | Institutional
Investor | | 1,000.00
1,000.00 | | 1,089.30
1,088.10 | | 0.16
0.40 | | 0.85
2.10 |
MyDestination 2045 | | Institutional
Investor | | 1,000.00
1,000.00 | | 1,101.30
1,100.10 | | 0.17
0.40 | | 0.91
2.09 |
MyDestination 2055 | | Institutional
Investor | | 1,000.00
1,000.00 | | 1,104.90
1,104.50 | | 0.20
0.40 | | 1.06
2.12 |
Conservation Allocation | | Institutional
Investor | | 1,000.00
1,000.00 | | 1,034.40
1,033.10 | | 0.22
0.42 | | 1.14
2.13 |
Balanced Allocation | | Institutional
Investor | | 1,000.00
1,000.00 | | 1,058.80
1,058.20 | | 0.14
0.37 | | 0.72
1.94 |
Growth Allocation | | Institutional
Investor | | 1,000.00
1,000.00 | | 1,087.30
1,085.90 | | 0.14
0.37 | | 0.76
1.97 |
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About Your Expenses (Unaudited) (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | | |
Fund | | Class | | Beginning
Account Value
07/01/17 | | Ending
Account Value
12/31/17 | | Annualized
Expense
Ratio (1) | | Expenses
Paid During
Period (2) |
Aggressive Allocation | | Institutional
Investor | | |
| $1,000.00
1,000.00 |
| | |
| $1,115.20
1,114.30 |
| | |
| 0.16
0.38 | %
| | | $
| 0.85
2.01 |
|
Money Market | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,004.70
1,003.50 |
| | |
| 0.16
0.41 |
| | |
| 0.82
2.08 |
|
Low-Duration Bond | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,004.90
1,003.40 |
| | |
| 0.34
0.61 |
| | |
| 1.74
3.09 |
|
Medium-Duration Bond | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,012.30
1,011.50 |
| | |
| 0.38
0.65 |
| | |
| 1.91
3.30 |
|
Extended-Duration Bond | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,038.90
1,037.90 |
| | |
| 0.57
0.84 |
| | |
| 2.91
4.34 |
|
Global Bond | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,023.80
1,022.40 |
| | |
| 0.56
0.83 |
| | |
| 2.87
4.22 |
|
Defensive Market Strategies | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,062.20
1,059.80 |
| | |
| 0.67
0.97 |
| | |
| 3.50
5.04 |
|
Equity Index | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,117.40
1,116.30 |
| | |
| 0.20
0.46 |
| | |
| 1.09
2.48 |
|
Value Equity | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,101.10
1,100.10 |
| | |
| 0.56
0.82 |
| | |
| 2.98
4.32 |
|
Growth Equity | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,126.20
1,124.70 |
| | |
| 0.71
0.97 |
| | |
| 3.82
5.22 |
|
Small Cap Equity | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,104.00
1,102.20 |
| | |
| 1.00
1.27 |
| | |
| 5.30
6.71 |
|
International Equity Index | | Institutional | | | | 1,000.00 | | | | | 1,092.70 | | | | | 0.39 | | | | | 2.06 | |
International Equity (3) | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,112.50
1,110.50 |
| | |
| 0.90
1.16 |
| | |
| 4.77
6.19 |
|
Emerging Markets Equity | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,144.00
1,143.00 |
| | |
| 1.35
1.61 |
| | |
| 7.31
8.70 |
|
Inflation Protected Bond | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,019.90
1,017.20 |
| | |
| 0.43
0.69 |
| | |
| 2.16
3.49 |
|
Global Real Estate Securities | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,058.90
1,057.30 |
| | |
| 0.90
1.12 |
| | |
| 4.65
5.81 |
|
Strategic Alternatives | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,014.00
1,013.10 |
| | |
| 1.15
1.52 |
| | |
| 5.75
7.65 |
|
| | | | | | | | | | | | | | | | | | | | | | | | | |
|
HYPOTHETICAL (assuming a 5% return before expenses) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Fund | | Class | | Beginning
Account Value
07/01/17 | | Ending
Account Value
12/31/17 | | Annualized
Expense
Ratio (1) | | Expenses
Paid During
Period (2) |
MyDestination 2015 | | Institutional
Investor | | |
| $1,000.00
1,000.00 |
| | |
| $1,024.35
1,023.21 |
| | |
| 0.17
0.40 | %
| | | $
| 0.87
2.02 |
|
MyDestination 2025 | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,024.49
1,023.24 |
| | |
| 0.14
0.39 |
| | |
| 0.73
1.99 |
|
12
| | | | | | | | | | |
|
HYPOTHETICAL (assuming a 5% return before expenses) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Fund | | Class | | Beginning
Account Value
07/01/17 | | Ending
Account Value
12/31/17 | | Annualized
Expense
Ratio (1) | | Expenses
Paid During
Period (2) |
MyDestination 2035 | | Institutional
Investor | | |
| $1,000.00
1,000.00 |
| | |
| $1,024.40
1,023.19 |
| | |
| 0.16
0.40 | %
| | | $
| 0.82
2.03 |
|
MyDestination 2045 | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,024.34
1,023.21 |
| | |
| 0.17
0.40 |
| | |
| 0.88
2.02 |
|
MyDestination 2055 | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,024.20
1,023.19 |
| | |
| 0.20
0.40 |
| | |
| 1.02
2.04 |
|
Conservation Allocation | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,024.08
1,023.11 |
| | |
| 0.22
0.42 |
| | |
| 1.14
2.12 |
|
Balanced Allocation | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,024.51
1,023.32 |
| | |
| 0.14
0.37 |
| | |
| 0.71
1.91 |
|
Growth Allocation | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,024.48
1,023.32 |
| | |
| 0.14
0.37 |
| | |
| 0.74
1.91 |
|
Aggressive Allocation | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,024.41
1,023.30 |
| | |
| 0.16
0.38 |
| | |
| 0.81
1.93 |
|
Money Market | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,024.38
1,023.13 |
| | |
| 0.16
0.41 |
| | |
| 0.83
2.10 |
|
Low-Duration Bond | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,023.47
1,022.12 |
| | |
| 0.34
0.61 |
| | |
| 1.75
3.12 |
|
Medium-Duration Bond | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,023.30
1,021.92 |
| | |
| 0.38
0.65 |
| | |
| 1.93
3.32 |
|
Extended-Duration Bond | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,022.35
1,020.95 |
| | |
| 0.57
0.84 |
| | |
| 2.89
4.30 |
|
Global Bond | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,022.37
1,021.03 |
| | |
| 0.56
0.83 |
| | |
| 2.87
4.22 |
|
Defensive Market Strategies | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,021.81
1,020.32 |
| | |
| 0.67
0.97 |
| | |
| 3.44
4.94 |
|
Equity Index | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,024.18
1,022.86 |
| | |
| 0.20
0.46 |
| | |
| 1.04
2.37 |
|
Value Equity | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,022.37
1,021.09 |
| | |
| 0.56
0.82 |
| | |
| 2.87
4.16 |
|
Growth Equity | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,021.61
1,020.29 |
| | |
| 0.71
0.97 |
| | |
| 3.63
4.96 |
|
Small Cap Equity | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,020.17
1,018.82 |
| | |
| 1.00
1.27 |
| | |
| 5.08
6.45 |
|
International Equity Index | | Institutional | | | | 1,000.00 | | | | | 1,023.24 | | | | | 0.39 | | | | | 1.99 | |
International Equity (3) | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,020.69
1,019.34 |
| | |
| 0.90
1.16 |
| | |
| 4.56
5.92 |
|
Emerging Markets Equity | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,018.39
1,017.08 |
| | |
| 1.35
1.61 |
| | |
| 6.88
8.19 |
|
Inflation Protected Bond | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,023.06
1,021.75 |
| | |
| 0.43
0.69 |
| | |
| 2.17
3.50 |
|
Global Real Estate Securities | | Institutional
Investor | | |
| 1,000.00
1,000.00 |
| | |
| 1,020.69
1,019.56 |
| | |
| 0.90
1.12 |
| | |
| 4.57
5.70 |
|
13
About Your Expenses (Unaudited) (Continued)
| | | | | | | | | | |
|
HYPOTHETICAL (assuming a 5% return before expenses) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Fund | | Class | | Beginning
Account Value
07/01/17 | | Ending
Account Value
12/31/17 | | Annualized
Expense
Ratio (1) | | Expenses
Paid During
Period (2) |
Strategic Alternatives | | Institutional
Investor | | | $
| 1,000.00
1,000.00 |
| | | $
| 1,019.22
1,017.33 |
| | |
| 1.15
1.52 | %
| | | $
| 5.77
7.67 |
|
| (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, 2017 through December 31, 2017, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
| (3) | The expense ratios for the International Equity Fund include the impact of dividend and interest expense on securities sold short. |
14
ABBREVIATIONS, FOOTNOTES AND INDEX DEFINITIONS
| | | | |
| INVESTMENT ABBREVIATIONS: |
| 1M | | — | | 1 Month |
| 1Y | | — | | 1 Year |
| 3M | | — | | 3 Month |
| 5Y | | — | | 5 Year |
| 6M | | — | | 6 Month |
| 7D | | — | | 7 Day |
| ACES | | — | | Alternative Credit Enhancement Securities |
| ADR | | — | | American Depositary Receipt |
| ASX | | — | | Australian Securities Exchange |
| BBSW | | — | | Bank Bill Swap Rate |
| CDI | | — | | Crest Depository Interest |
| CDOR | | — | | Canadian Dollar Offered Rate |
| CDX | | — | | A series of indices that track North American and emerging market credit derivative indices. |
| CLO | | — | | Collateralized Loan Obligation |
| CMBX | | — | | A group of indices made up of 25 tranches of commercial mortgage-backed securities (CMBS), each with different credit ratings. |
| CMT | | — | | Constant Maturity |
| COF | | — | | Cost of Funds |
| CONV | | — | | Convertible |
| CVA | | — | | Dutch Certificate |
| ETF | | — | | Exchange Traded Fund |
| EURIBOR | | — | | Euro Interbank Offered Rate |
| GDR | | — | | Global Depositary Receipt |
| HDD | | — | | Heating Degree Day |
| HIBOR | | — | | Hong Kong Interbank Offered Rate |
| ICE LIBOR | | — | | Intercontinental Exchange London Interbank Offered Rate |
| IO | | — | | Interest Only (Principal amount shown is notional) |
| LIBOR | | — | | London Interbank Offered Rate |
| LLC | | — | | Limited Liability Company |
| LP | | — | | Limited Partnership |
| MMY | | — | | Money Market Yield |
| MXN- TIIE- Banxico | | — | | The Equilibrium Interbank Interest Rate (“TIIE”) represents interbank credit transactions in local currency (MXN). |
| NVDR | | — | | Non-Voting Depository Receipt |
| NZBOR | | — | | New Zealand Interbank Offered Rate |
| PCL | | — | | Public Company Limited |
| PIK | | — | | Payment-in-Kind Bonds |
| PLC | | — | | Public Limited Company |
| REIT | | — | | Real Estate Investment Trust |
| REMIC | | — | | Real Estate Mortgage Investment Conduit |
| SDR | | — | | Special Drawing Rights |
| SIBOR | | — | | Singapore Interbank Offered Rate |
| SPDR | | — | | Standard and Poor’s Depositary |
| STEP | | — | | Stepped Coupon Bonds: Interest rates shown reflect the rates currently in effect. |
| STIBOR | | — | | Stockholm Interbank Offered Rate |
| STRIP | | — | | Stripped Security |
| TBA | | — | | To be announced |
| WIBOR | | — | | Warsaw Interbank Offered Rate |
| 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, 2017, 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 | | | $ | 268,962,916 | | | | | 29.80 | % |
Medium-Duration Bond | | | | 168,580,982 | | | | | 11.97 | |
Extended-Duration Bond | | | | 12,393,945 | | | | | 5.01 | |
Global Bond | | | | 91,047,527 | | | | | 17.23 | |
Defensive Market Strategies | | | | 85,013,938 | | | | | 8.83 | |
International Equity Index | | | | 1,289,547 | | | | | 0.69 | |
International Equity | | | | 15,890,564 | | | | | 0.98 | |
Emerging Markets Equity | | | | 5,323,640 | | | | | 1.07 | |
Global Real Estate Securities | | | | 151,154 | | | | | 0.07 | |
Strategic Alternatives | | | | 30,419,135 | | | | | 8.42 | |
| | | | |
| INVESTMENT FOOTNOTES: |
| p | | — | | Century bond maturing in 2115. |
| ‡‡ | | — | | All or a portion of the security was held as collateral for open futures, options, securities sold short and/or swap contracts. |
| ‡ | | — | | Security represents underlying investment on open options 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, 2017. Maturity date for money market instruments is the date of the next interest rate reset. |
| g | | — | | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. |
| W | | — | | Rate shown reflects the effective yield as of December 31, 2017. |
| ¥ | | — | | 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 a Level 3 investment (see Note 2 in Notes to Financial Statements). |
Y | | — | | Security is valued at fair value by the Valuation Committee (see Note 2 in Notes to Financial Statements). As of December 31, 2017, the total market values and percentages of net assets for Fair Valued securities by fund were as follows: |
| | | | | | | | | | |
Fund | | Value of
Fair
Valued
Securities | | Percentage of
Net Assets |
Low-Duration Bond | | | $ | — | | | | | — | % |
Medium-Duration Bond | | | | 2,660,320 | | | | | 0.19 | |
Global Bond | | | | 53,982 | | | | | 0.01 | |
Small Cap Equity | | | | — | | | | | — | |
International Equity | | | | — | | | | | — | |
Emerging Markets Equity | | | | 3,710,409 | | | | | 0.74 | |
15
ABBREVIATIONS, FOOTNOTES AND INDEX DEFINITIONS
| | | | |
| FOREIGN BOND FOOTNOTES: |
| (A) | | — | | Par is denominated in Australian Dollars (AUD). |
| (B) | | — | | Par is denominated in Brazilian Reals (BRL). |
| (C) | | — | | Par is denominated in Canadian Dollars (CAD). |
| (D) | | — | | Par is denominated in Danish Kroner (DKK). |
| (E) | | — | | Par is denominated in Euro (EUR). |
| (I) | | — | | Par is denominated in Indonesian Rupiahs (IDR). |
| (J) | | — | | Par is denominated in Japanese Yen (JPY). |
| (K) | | — | | Par is denominated in Norwegian Kroner (NOK). |
| (M) | | — | | Par is denominated in Mexican Pesos (MXN). |
| (P) | | — | | Par is denominated in Polish Zloty (PLN). |
| (Q) | | — | | Par is denominated in Russian Rubles (RUB). |
| (S) | | — | | Par is denominated in South African Rand (ZAR). |
| (T) | | — | | Par is denominated in Turkish Lira (TRY). |
| (U) | | — | | Par is denominated in British Pounds (GBP). |
| (V) | | — | | Par is denominated in Dominican Pesos (DOP). |
| (X) | | — | | Par is denominated in Colombian Pesos (COP). |
| (Y) | | — | | Par is denominated in Chinese Yuan (CNY). |
| (Z) | | — | | Par is denominated in New Zealand Dollars (NZD). |
| (ZA) | | — | | Par is denominated in Argentine Pesos (ARS). |
| | | | |
| COUNTERPARTY ABBREVIATIONS: |
| ANZ | | — | | Counterparty to contract is Australia and New Zealand Banking Group. |
| BAR | | — | | Counterparty to contract is Barclays Capital. |
| BBH | | — | | Counterparty to contract is Brown Brothers Harriman. |
| BNP | | — | | Counterparty to contract is BNP Paribas. |
| BOA | | — | | Counterparty to contract is Bank of America. |
| CITI | | — | | Counterparty to contract is Citibank NA London. |
| CME | | — | | Counterparty to contract is Chicago Mercantile Exchange. |
| CS | | — | | Counterparty to contract is Credit Suisse International. |
| DEUT | | — | | Counterparty to contract is Deutsche Bank AG. |
| GSC | | — | | Counterparty to contract is Goldman Sachs Capital Markets, LP. |
| 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. |
| RBC | | — | | Counterparty to contract is Royal Bank of Canada. |
| RBS | | — | | Counterparty to contract is Royal Bank of Scotland. |
| SS | | — | | Counterparty to contract is State Street Global Markets. |
| UBS | | — | | Counterparty to contract is UBS AG. |
| WEST | | — | | Counterparty to contract is Westpac Pollock. |
16
ABBREVIATIONS, FOOTNOTES AND INDEX DEFINITIONS
INDEX DEFINITIONS:
The Bloomberg Barclays Global Aggregate Bond Index is a flagship measure of global investment grade debt from twenty-four local currency markets. This multi-currency benchmark includes treasury, government-related, corporate and securitized fixed-rate bonds from both developed and emerging markets issuers.
The Bloomberg Barclays US Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, US dollar-denominated, fixed-rate taxable bond market. The index includes Treasuries, government-related and corporate securities, MBS (agency fixed-rate and hybrid ARM pass-throughs), ABS and CMBS (agency and non-agency).
The Bloomberg Barclays US Corporate High Yield 2% Issuer Capped Bond Index is an issuer-constrained version of the flagship US Corporate High Yield Index, which measures the USD-denominated, high yield, fixed-rate corporate bond market. The index follows the same rules as the uncapped version, 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 a long maturity constrained version of the Bloomberg Barclays US Credit Index which measures the investment grade, US dollar-denominated, fixed-rate, taxable corporate and government related bond markets. It is composed of the US Corporate Index and a non-corporate component that includes foreign agencies, sovereigns, supranationals and local authorities.
The Bloomberg Barclays US Long Government Bond Index is a long maturity constrained version of the Bloomberg Barclays US Government Bond Index which is comprised of the US Treasury and US Agency Indices. The index includes US dollar-denominated, fixed-rate, nominal US Treasuries and US agency debentures (securities issued by US government owned or government sponsored entities, and debt explicitly guaranteed by the US government).
The Bloomberg Barclays US Long Government/Credit Bond Index is a long maturity constrained version of the Bloomberg Barclays US Government/Credit Bond Index which is a broad-based benchmark that measures the non-securitized component of the US Aggregate Index. It includes investment grade, US dollar-denominated, fixed-rate Treasuries, government-related and corporate securities.
The Bloomberg Barclays US Intermediate Government/Credit Bond Index is an intermediate maturity constrained version of the Bloomberg Barclays US Government/Credit Bond Index which is a broad-based benchmark that measures the non-securitized component of the US Aggregate Index. It includes investment grade, US dollar-denominated, fixed-rate Treasuries, government-related and corporate securities.
The Bloomberg Barclays US Treasury Inflation-Linked Bond Index (Series-L) measures the performance of the US Treasury Inflation Protected Securities (TIPS) market. Federal Reserve holdings of US TIPS are not index eligible and are excluded from the face amount outstanding of each bond in the index.
The FTSE 3-Month Treasury Bill Index measures monthly return equivalents of yield averages that are not marked to market, consisting of the last three three-month 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.
The ICE BofAML 0-3 Month U.S. Treasury Bill Index is a subset of ICE BofAML U.S. Treasury Bill Index including all securities with a remaining term to final maturity less than 3 months.
The ICE BofAML 1-3 Year U.S. Treasury Index is a subset of The ICE BofA Merrill Lynch U.S. Treasury Index including all securities with a remaining term to final maturity less than 3 years.
The ICE BofAML U.S. 3-Month Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month. At the end of the month that issue is sold and rolled into a newly selected issue. The issue selected at each month-end rebalancing is the outstanding Treasury Bill that matures closest to, but not beyond, three months from the rebalancing date. To qualify for selection, an issue must have settled on or before the month-end rebalancing date.
The J.P. Morgan Emerging Markets Bond Index Plus is a traditional, market-capitalization weighted index comprised of U.S. dollar denominated Brady bonds, Eurobonds and traded loans issued by sovereign entities.
The 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.
17
ABBREVIATIONS, FOOTNOTES AND INDEX DEFINITIONS
The MSCI EAFE Index is a free float-adjusted market capitalization index that is designed to measure equity market performance of developed markets, excluding the U.S. & Canada. The 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 consists of the following 24 emerging market country indices: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Pakistan, 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.
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 approximately 3,000 large U.S. companies. This portfolio of securities represents approximately 98% of the investable U.S. equity market.
The S&P 500® Index is a market capitalization-weighted equity index composed of approximately 500 U.S. companies representing all major industries. The index is designed to measure performance of the broad domestic economy through changes in the aggregate market value of its constituents.
18
MyDestination 2015 Fund (Unaudited)
The Fund, through investments in the Select Funds, combined a greater percentage of exposure to equity and fixed-income securities with a smaller percentage allocated to real assets and alternative investments. The Fund followed an allocation glide path designed to become more conservative over time, and the targeted allocations were approximately 50.00% fixed income securities, 38.00% equity securities, 8.00% real assets and 4.00% alternative investments as of December 31, 2017.
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 11.67% for the one-year period ended December 31, 2017. Contribution to absolute performance from U.S. equities was positive, largely due to an acceleration of global economic growth. International equity exposure, including both developed and emerging markets, added meaningfully to performance. Non-U.S. equity markets outperformed their U.S. counterparts due in part to higher economic growth and a depreciating U.S. dollar. The International Equity Fund benefited from these macroeconomic tailwinds, along with strong security selection, and was the largest equity investment contributor to absolute performance. The Fund’s fixed-income allocation modestly added to investment returns, and the Medium-Duration Bond Fund was the largest fixed-income investment contributor. The contribution to absolute performance by the Fund’s exposure to real assets was roughly flat, with a positive performance by the Global Real Estate Securities Fund offset by a negative performance from the Global Natural Resources Equity Fund, which was liquidated and terminated on September 22, 2017. An allocation to alternative investments was added on July 1, 2017, and was a small contributor to absolute performance.
The Fund outperformed its composite benchmark in 2017 (11.67% versus 10.88%). The largest contributors to relative outperformance were the International Equity Fund and the Defensive Market Strategies Fund. The largest negative detractor to relative performance was the Global Natural Resource 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 positive impact on Fund performance for the year.
The Fund attempted to achieve its objective by investing in a diversified portfolio of the Select Funds that represent various asset classes. The Fund is managed to the specific year included in its name (“Target Date”) and assumes a retirement age of 65. The Target Date refers to the approximate year an investor in the Fund would plan to retire and likely stop making any new investments in the Fund. The Fund is designed for an investor who anticipates retiring at or near the Target Date and who plans to withdraw the value of the account in the Fund gradually after retirement. Over time, the allocation to asset classes will change according to a predetermined “glide path,” which adjusts the percentage of fixed-income securities and equity securities to become more conservative each year until 12 years after Target Date. (Effective January 12, 2018, the glide path was extended to 15 years after Target Date.) 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. Securities of foreign issuers may be negatively impacted by political events, economic conditions or inefficient, illiquid or unregulated markets in foreign countries, and they also may be subject to inadequate regulatory or accounting standards, which may increase investment risk. By investing in this Fund, you will incur the expenses of the Fund, in addition to those of the underlying Select Funds. 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, 2017, 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 | | | 46.8 | |
U.S. Equity Select Fund | | | 31.0 | |
Non-U.S. Equity Select Funds | | | 13.3 | |
Real Return Select Funds | | | 4.7 | |
Alternative Select Funds | | | 4.3 | |
U.S. Treasury Obligation | | | 0.1 | |
| | | | |
| | | 100.2 | |
| | | | |
19
MyDestination 2015 Fund (Unaudited)
| | | | | | |
| Average Annual Total Returns as of 12/31/17 |
| | Institutional Class | | Investor Class* | | Benchmark** |
One Year | | N/A | | 11.67% | | 10.88% |
Five Year | | N/A | | 6.06% | | 5.87% |
Ten Year | | N/A | | 4.44% | | 4.50% |
Since Inception(1) | | 6.99% | | 4.59% | | 4.67% |
Inception Date | | 05/01/17 | | 12/29/06 | | |
Total Fund Operating Expenses (May 1, 2017 Prospectus as amended July 1,
2017)(2) | | 0.74% | | 0.96% | | |
(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)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, 2007 to December 31, 2017, 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 2017, consisting of 14.91% of the ICE BofAML 1-3 Year U.S. Treasury Index, 4.38% of the ICE BofAML U.S. 3-Month Treasury Bill Index, 24.85% of the Bloomberg Barclays US Aggregate Bond Index, 4.97% of the Bloomberg Barclays Global Aggregate Bond Index, 2.49% of the Bloomberg Barclays US Corporate High Yield 2% Issuer Capped Bond Index, 2.49% of the J.P. Morgan EMBI Plus, 5.74% of the FTSE 3-Month Treasury Bill Index, 11.78% of the S&P 500® Index, 0.92% of the FTSE EPRA/ NAREIT Developed Index, 6.13% of the Russell 1000® Value Index, 6.13% of the Russell 1000® Growth Index, 1.81% of the Russell 2000® Index, 10.46% of the MSCI EAFE Index and 2.95% 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 My Destination 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.
20
| | |
MYDESTINATION 2015 FUND SCHEDULE OF INVESTMENTS | | December 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | Shares | | | Value | |
MUTUAL FUNDS — 100.1% | | | | | | | | | |
GuideStone Money Market Fund (Institutional Class)¥ | | | | | | | 12,106,316 | | | | | | | $ | 12,106,316 | |
GuideStone Low-Duration Bond Fund (Institutional Class)¥ | | | | | | | 6,267,908 | | | | | | | | 83,676,573 | |
GuideStone Medium-Duration Bond Fund (Institutional Class)¥ | | | | | | | 9,696,957 | | | | | | | | 143,030,117 | |
GuideStone Global Bond Fund (Institutional Class)¥ | | | | | | | 5,561,579 | | | | | | | | 56,060,712 | |
GuideStone Defensive Market Strategies Fund (Institutional Class)¥ | | | | | | | 5,563,683 | | | | | | | | 70,547,503 | |
GuideStone Equity Index Fund (Institutional Class)¥ | | | | | | | 1,232,144 | | | | | | | | 36,262,006 | |
GuideStone Value Equity Fund (Institutional Class)¥ | | | | | | | 1,710,209 | | | | | | | | 38,924,363 | |
GuideStone Growth Equity Fund (Institutional Class)¥ | | | | | | | 1,536,433 | | | | | | | | 38,687,371 | |
GuideStone Small Cap Equity Fund (Institutional Class)¥ | | | | | | | 615,120 | | | | | | | | 11,293,600 | |
GuideStone International Equity Index Fund (Institutional Class)¥ | | | | | | | 1,995,733 | | | | | | | | 21,474,090 | |
GuideStone International Equity Fund (Institutional Class)¥ | | | | | | | 2,764,562 | | | | | | | | 43,458,921 | |
GuideStone Emerging Markets Equity Fund (Institutional Class)¥ | | | | | | | 1,702,971 | | | | | | | | 18,732,682 | |
| | | | | | | | |
| | | Shares | | | Value | |
GuideStone Inflation Protected Bond Fund (Institutional Class)¥ | | | 2,358,664 | | | $ | 24,223,482 | |
GuideStone Global Real Estate Securities Fund (Institutional Class)¥ | | | 581,692 | | | | 5,636,595 | |
GuideStone Strategic Alternatives Fund (Institutional Class)¥ | | | 2,670,359 | | | | 26,890,519 | |
| | | | | | | | |
| | |
Total Mutual Funds
(Cost $612,226,543) | | | | | | | 631,004,850 | |
| | | | | | | | |
| | |
| | | Par | | | | |
U.S. TREASURY OBLIGATION — 0.1% | |
U.S. Treasury Bill
| | | | | | | | |
1.42%, 06/07/18W‡‡
(Cost $496,925) | | $ | 500,000 | | | | 496,831 | |
| | | | | | | | |
| |
TOTAL INVESTMENTS — 100.2%
(Cost $612,723,468) | | | | 631,501,681 | |
| |
Liabilities in Excess of Other
Assets — (0.2)% | | | | (1,187,595 | ) |
| | | | | | | | |
NET ASSETS — 100.0% | | | $ | 630,314,086 | |
| | | | | | | | |
Futures Contracts outstanding at December 31, 2017:
| | | | | | | | | | | | | | | | | | | | | | | | | |
Future Type | | Expiration Date | | Open Long
(Short) Contracts | | Notional
Market Value
of Contracts | | Counter-
party | | Value and
Unrealized
Appreciation
(Depreciation) |
MSCI EAFE Index E-Mini | | | | 03/2018 | | | | | 14 | | | | $ | 1,431,850 | | | | | GSC | | | | $ | 14,446 | |
MSCI Emerging Markets E-Mini | | | | 03/2018 | | | | | 6 | | | | | 349,110 | | | | | GSC | | | | | 16,069 | |
S&P 500® E-Mini | | | | 03/2018 | | | | | 23 | | | | | 3,077,400 | | | | | GSC | | | | | 23,481 | |
10-Year U.S. Treasury Note | | | | 03/2018 | | | | | 41 | | | | | 5,085,922 | | | | | GSC | | | | | (14,173 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Futures Contracts outstanding at December 31, 2017 | | | | | | | | | | | | | $ | 9,944,282 | | | | | | | | | $ | 39,823 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 21 |
MYDESTINATION 2015 FUND
SCHEDULE OF INVESTMENTS (Continued)
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2017, 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 | | $ | 631,004,850 | | | $ | 631,004,850 | | | $ | — | | | $ | — | |
U.S. Treasury Obligation | | | 496,831 | | | | — | | | | 496,831 | | | | — | |
| | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | $ | 631,501,681 | | | $ | 631,004,850 | | | $ | 496,831 | | | $ | — | |
| | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 53,996 | | | $ | 53,996 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | $ | 53,996 | | | $ | 53,996 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | (14,173 | ) | | $ | (14,173 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Total Liabilities - Other Financial Instruments | | $ | (14,173 | ) | | $ | (14,173 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
***Other financial instruments are derivative instruments, 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 preceding “Futures Contracts outstanding” disclosures.
There were no transfers between Level 1, Level 2 and Level 3 during the year ended December 31, 2017.
| | | | |
| 22 | | See Notes to Financial Statements. | | |
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 securities, real assets and alternative investments. The Fund followed an allocation glide path designed to become more conservative over time, and the targeted allocations were approximately 27.00% fixed income securities, 67.00% equity securities, 4.00% real assets and 2.00% alternative investments as of December 31, 2017.
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 14.92% for the one-year period ended December 31, 2017. Contribution to absolute performance from the U.S. equities was positive, largely due to an acceleration of global economic growth. International equity exposure, including both developed and emerging markets, added meaningfully to performance. Non-U.S. equity markets outperformed their U.S. counterparts due in part to higher economic growth and a depreciating U.S. dollar. The International Equity Fund benefited from these macroeconomic tailwinds, along with strong security selection, and was the largest equity investment contributor to absolute performance. The Fund’s fixed-income allocation meaningfully added to investment returns, and the Medium-Duration Bond Fund was the largest fixed-income investment contributor. The contribution to absolute performance by the Fund’s exposure to real assets was roughly flat with a positive performance by the Global Real Estate Securities Fund offset by a negative performance from the Global Natural Resources Equity Fund, which liquidated and terminated on September 22, 2017. An allocation to alternatives investments was added on July 1, 2017, and was a small contributor to absolute performance.
The Fund outperformed its composite benchmark in 2017 (14.92% versus 14.20%). The largest contributors to relative outperformance were the International Equity Fund and the Defensive Market Strategies Fund. The largest negative detractor to relative performance was the Global Natural Resource 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 positive impact on Fund performance for the year.
The Fund attempted to achieve its objective by investing in a diversified portfolio of the Select Funds that represent various asset classes. The Fund is managed to the specific year included in its name (“Target Date”) and assumes a retirement age of 65. The Target Date refers to the approximate year an investor in the Fund would plan to retire and likely stop making any new investments in the Fund. The Fund is designed for an investor who anticipates retiring at or near the Target Date and who plans to withdraw the value of the account in the Fund gradually after retirement. Over time, the allocation to asset classes will change according to a predetermined “glide path,” which adjusts the percentage of fixed-income securities and equity securities to become more conservative each year until 12 years after Target Date. (Effective January 12, 2018, the glide path was extended to 15 years after Target Date.) 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. Securities of foreign issuers may be negatively impacted by political events, economic conditions or inefficient, illiquid or unregulated markets in foreign countries, and they also may be subject to inadequate regulatory or accounting standards, which may increase investment risk. By investing in this Fund, you will incur the expenses of the Fund, in addition to those of the underlying Select Funds. 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, 2017, 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 | | | 39.8 | |
Fixed Income Select Funds | | | 35.6 | |
Non-U.S. Equity Select Funds | | | 19.4 | |
Real Return Select Funds | | | 2.8 | |
Alternative Select Funds | | | 2.4 | |
U.S. Treasury Obligation | | | 0.1 | |
| | | | |
| | | 100.1 | |
| | | | |
| | | | |
| | See Notes to Financial Statements. | | 23 |
MyDestination 2025 Fund (Unaudited)
| | | | | | |
| Average Annual Total Returns as of 12/31/17 |
| | | Institutional Class | | Investor Class* | | Benchmark** |
One Year | | N/A | | 14.92% | | 14.20% |
Five Year | | N/A | | 7.59% | | 7.55% |
Ten Year | | N/A | | 4.82% | | 5.03% |
Since Inception(1) | | 9.08% | | 4.86% | | 5.12% |
Inception Date | | 05/01/17 | | 12/29/06 | | |
Total Fund Operating Expenses (May 1, 2017 Prospectus as amended July 1,
2017)(2) | | 0.81% | | 1.05% | | |
(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)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, 2007 to December 31, 2017, 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 2017, consisting of 3.15% of the ICE of BofAML 1-3 Year U.S. Treasury Index, 2.44% of the ICE of BofAML U.S. 3-Month Treasury Bill Index, 25.63% of the Bloomberg Barclays US Aggregate Bond Index, 3.60% of the Bloomberg Barclays Global Aggregate Bond Index, 1.80% of the Bloomberg Barclays US Corporate High Yield 2% Issuer Capped Bond Index, 1.80% of the J.P. Morgan EMBI Plus, 5.52% of the FTSE 3-Month Treasury Bill Index, 14.41% of the S&P 500® Index, 1.23% of the FTSE EPRA/ NAREIT Developed Index, 9.02% of the Russell 1000® Value Index, 9.02% of the Russell 1000® Growth Index, 2.66% of the Russell 2000® Index, 15.39% of the MSCI EAFE Index and 4.34% 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 My Destination Funds® glide path, the target percentage allocations to the composite index also change.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
| | | | |
| 24 | | See Notes to Financial Statements. | | |
| | |
MYDESTINATION 2025 FUND SCHEDULE OF INVESTMENTS | | December 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | Shares | | | Value | |
MUTUAL FUNDS — 100.1% | | | | | | | | | |
GuideStone Money Market Fund (Institutional Class)¥ | | | | | | | 22,192,320 | | | | | | | $ | 22,192,320 | |
GuideStone Low-Duration Bond Fund (Institutional Class)¥ | | | | | | | 2,239,301 | | | | | | | | 29,894,668 | |
GuideStone Medium-Duration Bond Fund (Institutional Class)¥ | | | | | | | 18,007,821 | | | | | | | | 265,615,355 | |
GuideStone Global Bond Fund (Institutional Class)¥ | | | | | | | 7,332,582 | | | | | | | | 73,912,430 | |
GuideStone Defensive Market Strategies Fund
(Institutional Class)¥ | | | | | | | 9,320,038 | | | | | | | | 118,178,085 | |
GuideStone Equity Index Fund (Institutional Class)¥ | | | | | | | 3,208,354 | | | | | | | | 94,421,860 | |
GuideStone Value Equity Fund (Institutional Class)¥ | | | | | | | 4,303,150 | | | | | | | | 97,939,697 | |
GuideStone Growth Equity Fund (Institutional Class)¥ | | | | | | | 3,919,566 | | | | | | | | 98,694,667 | |
GuideStone Small Cap Equity Fund (Institutional Class)¥ | | | | | | | 1,591,911 | | | | | | | | 29,227,496 | |
GuideStone International Equity Index Fund (Institutional Class)¥ | | | | | | | 5,107,220 | | | | | | | | 54,953,689 | |
GuideStone International Equity Fund
(Institutional Class)¥ | | | | | | | 7,095,544 | | | | | | | | 111,541,953 | |
GuideStone Emerging Markets Equity Fund
(Institutional Class)¥ | | | | | | | 4,325,574 | | | | | | | | 47,581,311 | |
| | | | | | | | |
| | | Shares | | | Value | |
GuideStone Inflation Protected Bond Fund
(Institutional Class)¥ | | | 1,741,424 | | | $ | 17,884,422 | |
GuideStone Global Real Estate Securities Fund
(Institutional Class)¥ | | | 1,371,700 | | | | 13,291,770 | |
GuideStone Strategic Alternatives Fund
(Institutional Class)¥ | | | 2,600,618 | | | | 26,188,220 | |
| | | | | | | | |
| |
Total Mutual Funds
(Cost $1,056,272,893) | | | | 1,101,517,943 | |
| | | | | | | | |
| | |
| | | Par | | | | |
U.S. TREASURY OBLIGATION — 0.0% | | | | | |
U.S. Treasury Bill | | | | | | | | |
1.42%, 06/07/18W‡‡
(Cost $596,311) | | $ | 600,000 | | | | 596,198 | |
| | | | | | | | |
| |
TOTAL INVESTMENTS — 100.1%
(Cost $1,056,869,204) | | | | 1,102,114,141 | |
| | |
Liabilities in Excess of Other
Assets — (0.1)% | | | | | | | (1,504,319 | ) |
| | | | | | | | |
NET ASSETS — 100.0% | | | | | | $ | 1,100,609,822 | |
| | | | | | | | |
Futures Contracts outstanding at December 31, 2017:
| | | | | | | | | | | | | | | | |
Future Type | | Expiration Date | | Open Long
(Short) Contracts | | Notional
Market Value
of Contracts | | | Counter-
party | | | Value and
Unrealized
Appreciation
(Depreciation) | |
10-Year U.S. Treasury Note | | 03/2018 | | 57 | | $ | 7,070,672 | | | | GSC | | | $ | (38,297 | ) |
MSCI EAFE Index | | 03/2018 | | 26 | | | 2,659,150 | | | | GSC | | | | 35,015 | |
MSCI Emerging Markets E-Mini | | 03/2018 | | 17 | | | 989,145 | | | | GSC | | | | 47,837 | |
S&P 500® E-Mini | | 03/2018 | | 56 | | | 7,492,800 | | | | GSC | | | | 94,545 | |
| | | | | | | | | | | | | | | | |
Total Futures Contracts outstanding at December 31, 2017 | | | | | | $ | 18,211,767 | | | | | | | $ | 139,100 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 25 |
MYDESTINATION 2025 FUND
SCHEDULE OF INVESTMENTS (Continued)
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2017, 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 | | | $ | 1,101,517,943 | | | | $ | 1,101,517,943 | | | | $ | — | | | | $ | — | |
U.S. Treasury Obligation | | | | 596,198 | | | | | — | | | | | 596,198 | | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | | $ | 1,102,114,141 | | | | $ | 1,101,517,943 | | | | $ | 596,198 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | $ | 177,397 | | | | $ | 177,397 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | | $ | 177,397 | | | | $ | 177,397 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | $ | (38,297 | ) | | | $ | (38,297 | ) | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Liabilities - Other Financial Instruments | | | $ | (38,297 | ) | | | $ | (38,297 | ) | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
***Other financial instruments are derivative instruments, 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 preceding “Futures Contracts outstanding” disclosure.
There were no transfers between Level 1, Level 2 and Level 3 during the year ended December 31, 2017.
| | | | |
| 26 | | See Notes to Financial Statements. | | |
MyDestination 2035 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 securities and real assets. The Fund followed an allocation glide path designed to become more conservative over time, and the targeted allocations were approximately 20.00% fixed-income securities, 78.00% equity securities and 2.00% real assets as of December 31, 2017.
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 18.54% for the one-year period ended December 31, 2017. Contribution to absolute performance from U.S. equities was significantly positive, largely due to an acceleration of global economic growth. The Growth Equity Fund was the largest equity investment contributor to absolute performance, benefiting from macroeconomic tailwinds and strong alpha generation. International equity exposure, including both developed and emerging markets, added meaningfully to performance. Non-U.S. equity markets outperformed their U.S. counterparts due in part to higher economic growth and a depreciating U.S. dollar. The Fund’s fixed-income allocation modestly added to investment returns, and the Medium-Duration Bond Fund was the largest fixed-income investment contributor. The contribution to absolute performance by the Fund’s exposure to real assets was roughly flat, with a positive performance by the Global Real Estate Securities Fund offset by a negative performance from the Global Natural Resources Equity Fund, which liquidated and terminated on September 22, 2017.
The Fund outperformed its composite benchmark in 2017 (18.54% versus 18.16%). The largest contributors to relative outperformance were the International Equity Fund and the Growth Equity Fund. The largest negative detractor to relative performance was the Global Natural Resource 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 positive impact on Fund performance for the year.
The Fund attempted to achieve its objective by investing in a diversified portfolio of the Select Funds that represent various asset classes. The Fund is managed to the specific year included in its name (“Target Date”) and assumes a retirement age of 65. The Target Date refers to the approximate year an investor in the Fund would plan to retire and likely stop making any new investments in the Fund. The Fund is designed for an investor who anticipates retiring at or near the Target Date and who plans to withdraw the value of the account in the Fund gradually after retirement. Over time, the allocation to asset classes will change according to a predetermined “glide path,” which adjusts the percentage of fixed-income securities and equity securities to become more conservative each year until 12 years after Target Date. (Effective January 12, 2018, the glide path was extended to 15 years after Target Date.) 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. Securities of foreign issuers may be negatively impacted by political events, economic conditions or inefficient, illiquid or unregulated markets in foreign countries, and they also may be subject to inadequate regulatory or accounting standards, which may increase investment risk. By investing in this Fund, you will incur the expenses of the Fund, in addition to those of the underlying Select Funds. 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, 2017, 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 | | | 47.4 | |
Non-U.S. Equity Select Funds | | | 29.4 | |
Fixed Income Select Funds | | | 21.7 | |
Real Return Select Funds | | | 1.6 | |
U.S. Treasury Obligation | | | 0.1 | |
| | | | |
| | | 100.2 | |
| | | | |
| | | | |
| | See Notes to Financial Statements. | | 27 |
MyDestination 2035 Fund (Unaudited)
| | | | | | |
| Average Annual Total Returns as of 12/31/17 |
| | | Institutional Class | | Investor Class* | | Benchmark** |
One Year | | N/A | | 18.54% | | 18.16% |
Five Year | | N/A | | 8.92% | | 9.64% |
Ten Year | | N/A | | 4.86% | | 5.58% |
Since Inception(1) | | 11.51% | | 4.89% | | 5.61% |
Inception Date | | 05/01/17 | | 12/29/06 | | |
Total Fund Operating Expenses (May 1, 2017 Prospectus as amended July 1,
2017)(2) | | 0.83% | | 1.06% | | |
(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)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, 2007 to December 31, 2017, 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 2017, consisting of 15.74% of the Bloomberg Barclays US Aggregate Bond Index, 1.97% 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, 1.88% of the FTSE 3-Month Treasury Bill Index, 15.39% of the S&P 500® Index, 1.61% of the FTSE EPRA/NAREIT Developed Index, 13.71% of the Russell 1000® Value Index, 13.71% of the Russell 1000® Growth Index, 4.05% of the Russell 2000® Index, 23.39% of the MSCI EAFE Index and 6.60% 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 My Destination 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 | | See Notes to Financial Statements. | | |
| | |
MYDESTINATION 2035 FUND SCHEDULE OF INVESTMENTS | | December 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | Shares | | | Value | |
MUTUAL FUNDS — 100.1% | | | | | | | | | | | | | | | | |
GuideStone Money Market Fund
(Institutional Class)¥ | | | | | | | 16,753,228 | | | | | | | $ | 16,753,228 | |
GuideStone Medium-Duration Bond Fund
(Institutional Class)¥ | | | | | | | 6,776,475 | | | | | | | | 99,953,005 | |
GuideStone Global Bond Fund
(Institutional Class)¥ | | | | | | | 2,469,981 | | | | | | | | 24,897,410 | |
GuideStone Defensive Market Strategies Fund
(Institutional Class)¥ | | | | | | | 1,853,885 | | | | | | | | 23,507,261 | |
GuideStone Equity Index Fund
(Institutional Class)¥ | | | | | | | 2,913,180 | | | | | | | | 85,734,900 | |
GuideStone Value Equity Fund
(Institutional Class)¥ | | | | | | | 3,830,076 | | | | | | | | 87,172,532 | |
GuideStone Growth Equity Fund
(Institutional Class)¥ | | | | | | | 3,435,403 | | | | | | | | 86,503,459 | |
GuideStone Small Cap Equity Fund
(Institutional Class)¥ | | | | | | | 1,409,400 | | | | | | | | 25,876,584 | |
GuideStone International Equity Index Fund
(Institutional Class)¥ | | | | | | | 4,569,214 | | | | | | | | 49,164,741 | |
GuideStone International Equity Fund
(Institutional Class)¥ | | | | | | | 6,322,431 | | | | | | | | 99,388,613 | |
| | | | | | | | | | | | | | | | |
| | | Shares | | | Value | |
GuideStone Emerging Markets Equity Fund
(Institutional Class)¥ | | | | | | | 3,903,341 | | | | | | | $ | 42,936,748 | |
GuideStone Global Real Estate Securities Fund
(Institutional Class)¥ | | | | | | | 1,061,128 | | | | | | | | 10,282,334 | |
| | | | | | | | | | | | | | | | |
Total Mutual Funds
(Cost $618,354,551) | | | | | | | | | | | | | | | 652,170,815 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | Par | | | | | | | |
U.S. TREASURY OBLIGATION — 0.1% | |
U.S. Treasury Bill | | | | | | | | | | | | | | | | |
1.42%, 06/07/18W‡‡ (Cost $596,311) | | | | | | $ | 600,000 | | | | | | | | 596,198 | |
| | | | | | | | | | | | | | | | |
TOTAL INVESTMENTS — 100.2%
(Cost $618,950,862) | | | | | | | | 652,767,013 | |
Liabilities in Excess of Other
Assets — (0.2)% | | | | | | | | | | | | | | | (1,538,506 | ) |
| | | | | | | | | | | | | | | | |
NET ASSETS — 100.0% | | | | | | | | | | | $ | 651,228,507 | |
| | | | | | | | | | | | | | | | |
Futures Contracts outstanding at December 31, 2017:
| | | | | | | | | | | | | | | | | | | | | | | | | |
Future Type | | Expiration Date | | Open Long
(Short) Contracts | | Notional
Market Value
of Contracts | | Counter-
party | | Value and
Unrealized
Appreciation
(Depreciation) |
MSCI EAFE Index E-Mini | | | | 03/2018 | | | | | 30 | | | | $ | 3,068,250 | | | | | GSC | | | | $ | 40,365 | |
MSCI Emerging Markets E-Mini | | | | 03/2018 | | | | | 13 | | | | | 756,405 | | | | | GSC | | | | | 36,237 | |
S&P 500® E-Mini | | | | 03/2018 | | | | | 54 | | | | | 7,225,200 | | | | | GSC | | | | | 91,169 | |
10-Year U.S. Treasury Note | | | | 03/2018 | | | | | 25 | | | | | 3,101,172 | | | | | GSC | | | | | (16,797 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Futures Contracts outstanding at December 31, 2017 | | | | | | | | | | | | | $ | 14,151,027 | | | | | | | | | $ | 150,974 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 29 |
MYDESTINATION 2035 FUND
SCHEDULE OF INVESTMENTS (Continued)
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2017, 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 | | | $ | 652,170,815 | | | | $ | 652,170,815 | | | | $ | — | | | | $ | — | |
U.S. Treasury Obligation | | | | 596,198 | | | | | — | | | | | 596,198 | | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | | $ | 652,767,013 | | | | $ | 652,170,815 | | | | $ | 596,198 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | $ | 167,771 | | | | $ | 167,771 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | | $ | 167,771 | | | | $ | 167,771 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | $ | (16,797 | ) | | | $ | (16,797 | ) | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Liabilities - Other Financial Instruments | | | $ | (16,797 | ) | | | $ | (16,797 | ) | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
***Other financial instruments are derivative instruments, 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 preceding “Futures Contracts outstanding” disclosure.
There were no transfers between Level 1, Level 2 and Level 3 during the year ended December 31, 2017.
| | | | |
| 30 | | See Notes to Financial Statements. | | |
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 securities and real assets. The Fund followed an allocation glide path designed to become more conservative over time, and the targeted allocations were approximately 12.00% fixed-income securities, 86.00% equity securities and 2.00% real assets as of December 31, 2017.
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 20.90% for the one-year period ended December 31, 2017. Contribution to absolute performance from U.S. equities was significantly positive, largely due to an acceleration of global economic growth. The Growth Equity Fund was the largest equity investment contributor to absolute performance, benefiting from macroeconomic tailwinds and strong alpha generation. International equity exposure, including both developed and emerging markets, added meaningfully to performance. Non-U.S. equity markets outperformed their U.S. counterparts due in part to higher economic growth and a depreciating U.S. dollar. The Fund’s fixed-income allocation modestly added to investment returns, and the Medium-Duration Bond Fund was the largest fixed-income investment contributor. The contribution to absolute performance by the Fund’s exposure to real assets was roughly flat with a positive performance by the Global Real Estate Securities Fund offset by a negative performance from the Global Natural Resources Equity Fund, which liquidated and terminated on September 22, 2017.
The Fund outperformed its composite benchmark in 2017 (20.90% versus 20.39%). The largest contributors to relative outperformance were the International Equity Fund and the Growth Equity Fund. The largest negative detractor to relative performance was the Global Natural Resource 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 positive impact on Fund performance for the year.
The Fund attempted to achieve its objective by investing in a diversified portfolio of the Select Funds that represent various asset classes. The Fund is managed to the specific year included in its name (“Target Date”) and assumes a retirement age of 65. The Target Date refers to the approximate year an investor in the Fund would plan to retire and likely stop making any new investments in the Fund. The Fund is designed for an investor who anticipates retiring at or near the Target Date and who plans to withdraw the value of the account in the Fund gradually after retirement. Over time, the allocation to asset classes will change according to a predetermined “glide path,” which adjusts the percentage of fixed-income securities and equity securities to become more conservative each year until 12 years after Target Date. (Effective January 12, 2018, the glide path was extended to 15 years after Target Date.) 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. Securities of foreign issuers may be negatively impacted by political events, economic conditions or inefficient, illiquid or unregulated markets in foreign countries, and they also may be subject to inadequate regulatory or accounting standards, which may increase investment risk. By investing in this Fund, you will incur the expenses of the Fund, in addition to those of the underlying Select Funds. 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, 2017, 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 | | | 51.8 | |
Non-U.S. Equity Select Funds | | | 34.9 | |
Fixed Income Select Funds | | | 11.7 | |
Real Return Select Funds | | | 1.8 | |
U.S. Treasury Obligation | | | 0.1 | |
| | | | |
| | | 100.3 | |
| | | | |
| | | | |
| | See Notes to Financial Statements. | | 31 |
MyDestination 2045 Fund (Unaudited)
| | | | | | |
| Average Annual Total Returns as of 12/31/17 |
| | | Institutional Class | | Investor Class* | | Benchmark** |
One Year | | N/A | | 20.90% | | 20.39% |
Five Year | | N/A | | 9.59% | | 10.46% |
Ten Year | | N/A | | 4.94% | | 5.74% |
Since Inception(1) | | 12.85% | | 4.89% | | 5.70% |
Inception Date | | 05/01/17 | | 12/29/06 | | |
Total Fund Operating Expenses (May 1, 2017 Prospectus as amended
July 1, 2017)(2) | | 0.85% | | 1.07% | | |
(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)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, 2007 to December 31, 2017, 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 2017, consisting of 7.47% of the Bloomberg Barclays US Aggregate Bond Index, 0.94% of the Bloomberg Barclays Global Aggregate Bond Index, 0.47% of the Bloomberg Barclays US Corporate High Yield 2% Issuer Capped Bond Index, 0.47% of the J.P. Morgan EMBI Plus, 16.01% of the S&P 500® Index, 1.81% of the FTSE EPRA/NAREIT Developed Index, 16.25% of the Russell 1000® Value Index, 16.25% of the Russell 1000® Growth Index, 4.80% of the Russell 2000® Index, 27.72% of the MSCI EAFE Index and 7.82% 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 My Destination 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.
| | | | |
| 32 | | See Notes to Financial Statements. | | |
| | |
| MYDESTINATION 2045 FUND | | |
| SCHEDULE OF INVESTMENTS | | December 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | Shares | | | Value | |
MUTUAL FUNDS — 100.2% | | | | | | | | | | | | | | | | |
GuideStone Money Market Fund
(Institutional Class)¥ | | | | | | | 12,587,681 | | | | | | | $ | 12,587,681 | |
GuideStone Medium-Duration Bond Fund
(Institutional Class)¥ | | | | | | | 2,421,211 | | | | | | | | 35,712,858 | |
GuideStone Global Bond Fund
(Institutional Class)¥ | | | | | | | 886,032 | | | | | | | | 8,931,205 | |
GuideStone Equity Index Fund
(Institutional Class)¥ | | | | | | | 2,589,513 | | | | | | | | 76,209,365 | |
GuideStone Value Equity Fund
(Institutional Class)¥ | | | | | | | 3,418,924 | | | | | | | | 77,814,705 | |
GuideStone Growth Equity Fund
(Institutional Class)¥ | | | | | | | 3,050,952 | | | | | | | | 76,822,973 | |
GuideStone Small Cap Equity Fund
(Institutional Class)¥ | | | | | | | 1,247,024 | | | | | | | | 22,895,366 | |
GuideStone International Equity Index Fund
(Institutional Class)¥ | | | | | | | 4,061,844 | | | | | | | | 43,705,438 | |
GuideStone International Equity Fund
(Institutional Class)¥ | | | | | | | 5,651,013 | | | | | | | | 88,833,931 | |
GuideStone Emerging Markets Equity Fund
(Institutional Class)¥ | | | | | | | 3,462,288 | | | | | | | | 38,085,166 | |
| | | | | | | | | | | | | | | | |
| | | Shares | | | Value | |
GuideStone Global Real Estate Securities Fund
(Institutional Class)¥ | | | | | | | 901,396 | | | | | | | $ | 8,734,528 | |
| | | | | | | | | | | | | | | | |
Total Mutual Funds
(Cost $458,657,486) | | | | | | | | 490,333,216 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | Par | | | | | | | |
U.S. TREASURY OBLIGATION — 0.1% | |
U.S. Treasury Bill | | | | | | | | | | | | | | | | |
1.42%, 06/07/18W‡‡
(Cost $496,925) | | | | | | $ | 500,000 | | | | | | | | 496,831 | |
| | | | | | | | | | | | | | | | |
TOTAL INVESTMENTS — 100.3%
(Cost $459,154,411) | | | | | | | | 490,830,047 | |
Liabilities in Excess of Other
Assets — (0.3)% | | | | | | | | | | | | | | | (1,339,635 | ) |
| | | | | | | | | | | | | | | | |
NET ASSETS — 100.0% | | | | | | | | | | | | | | $ | 489,490,412 | |
| | | | | | | | | | | | | | | | |
Futures Contracts outstanding at December 31, 2017:
| | | | | | | | | | | | | | | | | | | | | | | | | |
Future Type | | Expiration Date | | Open Long
(Short) Contracts | | Notional
Market Value
of Contracts | | Counter-
party | | Value and
Unrealized
Appreciation
(Depreciation) |
MSCI EAFE Index E-Mini | | | | 03/2018 | | | | | 26 | | | | $ | 2,659,150 | | | | | GSC | | | | $ | 35,015 | |
MSCI Emerging Markets E-Mini | | | | 03/2018 | | | | | 10 | | | | | 581,850 | | | | | GSC | | | | | 27,718 | |
S&P 500® E-Mini | | | | 03/2018 | | | | | 47 | | | | | 6,288,600 | | | | | GSC | | | | | 79,351 | |
10-Year U.S. Treasury Note | | | | 03/2018 | | | | | 8 | | | | | 992,375 | | | | | GSC | | | | | (5,375 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Futures Contracts outstanding at December 31, 2017 | | | | | | | | | | | | | $ | 10,521,975 | | | | | | | | | $ | 136,709 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 33 |
MYDESTINATION 2045 FUND
SCHEDULE OF INVESTMENTS (Continued)
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2017, 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 | | | $ | 490,333,216 | | | | $ | 490,333,216 | | | | $ | — | | | | $ | — | |
U.S. Treasury Obligation | | | | 496,831 | | | | | — | | | | | 496,831 | | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | | $ | 490,830,047 | | | | $ | 490,333,216 | | | | $ | 496,831 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | $ | 142,084 | | | | $ | 142,084 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | | $ | 142,084 | | | | $ | 142,084 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | $ | (5,375 | ) | | | $ | (5,375 | ) | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Liabilities - Other Financial Instruments | | | $ | (5,375 | ) | | | $ | (5,375 | ) | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
***Other financial instruments are derivative instruments, 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 preceding “Futures Contracts outstanding” disclosure.
There were no transfers between Level 1, Level 2 and Level 3 during the year ended December 31, 2017.
| | | | |
| 34 | | 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 securities and real assets. The Fund followed an allocation glide path designed to become more conservative over time, and the targeted allocations were approximately 7.00% fixed-income investments, 91.00% equity investments and 2.00% real assets as of December 31, 2017.
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 21.73% for the one-year period ended December 31, 2017. Contribution to absolute performance from U.S. equities was significantly positive, largely due to an acceleration of global economic growth. The Growth Equity Fund was the largest equity investment contributor to absolute performance benefiting from macroeconomic tailwinds and strong alpha generation. International equity exposure, including both developed and emerging markets, added meaningfully to performance. Non-U.S. equity markets outperformed their U.S. counterparts due in part to higher economic growth and a depreciating U.S. dollar. The Fund’s fixed-income allocation modestly added to investment returns, and the Medium-Duration Bond Fund was the largest fixed-income investment contributor. The contribution to absolute performance by the Fund’s exposure to real assets was roughly flat, with a positive performance by the Global Real Estate Securities Fund offset by a negative performance from the Global Natural Resources Equity Fund, which liquidated and terminated on September 22, 2017.
The Fund outperformed its composite benchmark in 2017 (21.73% versus 21.22%). The largest contributors to relative outperformance were the International Equity Fund and the Growth Equity Fund. The largest negative detractor to relative performance was the Global Natural Resource 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 positive impact on Fund performance for the year.
The Fund attempted to achieve its objective by investing in a diversified portfolio of the Select Funds that represent various asset classes. The Fund is managed to the specific year included in its name (“Target Date”) and assumes a retirement age of 65. The Target Date refers to the approximate year an investor in the Fund would plan to retire and likely stop making any new investments in the Fund. The Fund is designed for an investor who anticipates retiring at or near the Target Date and who plans to withdraw the value of the account in the Fund gradually after retirement. Over time, the allocation to asset classes will change according to a predetermined “glide path,” which adjusts the percentage of fixed-income securities and equity securities to become more conservative each year until 12 years after Target Date. (Effective January 12, 2018, the glide path was extended to 15 years after Target Date.) 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. Securities of foreign issuers may be negatively impacted by political events, economic conditions or inefficient, illiquid or unregulated markets in foreign countries, and they also may be subject to inadequate regulatory or accounting standards, which may increase investment risk. By investing in this Fund, you will incur the expenses of the Fund, in addition to those of the underlying Select Funds. 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, 2017, 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 | | | 54.2 | |
Non-U.S. Equity Select Funds | | | 36.4 | |
Fixed Income Select Funds | | | 7.6 | |
Real Return Select Funds | | | 1.9 | |
U.S. Treasury Obligation | | | 0.1 | |
| | | | |
| | | 100.2 | |
| | | | |
| | | | |
| | See Notes to Financial Statements. | | 35 |
MyDestination 2055 Fund (Unaudited)
| | | | | | |
| Average Annual Total Returns as of 12/31/17 |
| | | Institutional Class | | Investor Class* | | Benchmark** |
One Year | | N/A | | 21.73% | | 21.22% |
Five Year | | N/A | | 9.81% | | 10.69% |
Ten Year | | N/A | | N/A | | N/A |
Since Inception(1) | | 13.33% | | 10.53% | | 11.64% |
Inception Date | | 05/01/17 | | 01/01/12 | | |
Total Fund Operating Expenses (May 1, 2017 Prospectus as amended July 1, 2017)(2) | | 0.92% | | 1.12% | | |
(1)The Since Inception benchmark performance is based on the start date of January 1, 2012, 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 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 2017, consisting of 4.00% of the Bloomberg Barclays US Aggregate Bond Index, 0.50% of the Bloomberg Barclays Global Aggregate Bond Index, 0.25% of the Bloomberg Barclays US Corporate High Yield 2% Issuer Capped Bond Index, 0.25% of the J.P. Morgan EMBI Plus, 16.77% of the S&P 500® Index, 1.90% of the FTSE EPRA/NAREIT Developed Index, 17.03% of the Russell 1000® Value Index, 17.03% of the Russell 1000® Growth Index, 5.03% of the Russell 2000® Index, 29.05% of the MSCI EAFE Index and 8.19% 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 My Destination 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.
| | | | |
| 36 | | See Notes to Financial Statements. | | |
| | |
MYDESTINATION 2055 FUND SCHEDULE OF INVESTMENTS | | December 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
MUTUAL FUNDS — 100.1% | | | | | | | | | |
GuideStone Money Market Fund
(Institutional Class)¥ | | | | | | | 3,137,695 | | | | | | | $ | 3,137,695 | |
GuideStone Medium-Duration Bond Fund
(Institutional Class)¥ | | | | | | | 307,243 | | | | | | | | 4,531,841 | |
GuideStone Global Bond Fund
(Institutional Class)¥ | | | | | | | 112,268 | | | | | | | | 1,131,662 | |
GuideStone Equity Index Fund
(Institutional Class)¥ | | | | | | | 643,339 | | | | | | | | 18,933,451 | |
GuideStone Value Equity Fund
(Institutional Class)¥ | | | | | | | 844,470 | | | | | | | | 19,220,144 | |
GuideStone Growth Equity Fund
(Institutional Class)¥ | | | | | | | 762,330 | | | | | | | | 19,195,469 | |
GuideStone Small Cap Equity Fund
(Institutional Class)¥ | | | | | | | 308,468 | | | | | | | | 5,663,465 | |
GuideStone International Equity Index Fund
(Institutional Class)¥ | | | | | | | 1,012,341 | | | | | | | | 10,892,784 | |
GuideStone International Equity Fund
(Institutional Class)¥ | | | | | | | 1,405,199 | | | | | | | | 22,089,726 | |
GuideStone Emerging Markets Equity Fund
(Institutional Class)¥ | | | | | | | 853,427 | | | | | | | | 9,387,700 | |
| | | | | | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
GuideStone Global Real Estate Securities Fund
(Institutional Class)¥ | | | | | | | 224,263 | | | | | | | $ | 2,173,105 | |
| | | | | | | | | | | | | | | | |
Total Mutual Funds
(Cost $107,028,638) | | | | | | | | | | | | | | | 116,357,042 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | Par | | | | | | | |
U.S. TREASURY OBLIGATION — 0.1% | |
U.S. Treasury Bill 1.08%, | | | | | | | | | | | | | | | | |
02/15/18W‡‡
(Cost $99,866) | | | | | | $ | 100,000 | | | | | | | | 99,849 | |
| | | | | | | | | | | | | | | | |
TOTAL INVESTMENTS — 100.2%
(Cost $107,128,504) | | | | | | | | 116,456,891 | |
Liabilities in Excess of Other
Assets — (0.2)% | | | | | | | | | | | | | | | (272,227 | ) |
| | | | | | | | | | | | | | | | |
NET ASSETS — 100.0% | | | | | | | | | | | | | | $ | 116,184,664 | |
| | | | | | | | | | | | | | | | |
Futures Contracts outstanding at December 31, 2017:
| | | | | | | | | | | | | | | | | | | | | | | | | |
Future Type | | Expiration Date | | Open Long
(Short) Contracts | | Notional
Market Value
of Contracts | | Counter-
party | | Value and
Unrealized
Appreciation/
(Depreciation) |
S&P 500® E-Mini | | | | 03/2018 | | | | | 18 | | | | $ | 2,408,400 | | | | | GSC | | | | $ | 23,628 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2017, 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 | | | $ | 116,357,042 | | | | $ | 116,357,042 | | | | $ | — | | | | $ | — | |
U.S. Treasury Obligation | | | | 99,849 | | | | | — | | | | | 99,849 | | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | | $ | 116,456,891 | | | | $ | 116,357,042 | | | | $ | 99,849 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | $ | 23,628 | | | | $ | 23,628 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | | $ | 23,628 | | | | $ | 23,628 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
***Other financial instruments are derivative instruments, 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 preceding “Futures Contracts outstanding” disclosure.
There were no transfers between Level 1, Level 2 and Level 3 during the year ended December 31, 2017.
| | | | |
| | See Notes to Financial Statements. | | 37 |
| | |
STATEMENTS OF ASSETS AND LIABILITIES | | December 31, 2017 |
| | | | | | | | |
| | | MyDestination
2015 Fund | | | MyDestination
2025 Fund | |
Assets | | | | | | | | |
Investments in securities of unaffiliated issuers, at value | | $ | 496,831 | | | $ | 596,198 | |
Investments in securities of affiliated issuers, at value | | | 631,004,850 | | | | 1,101,517,943 | |
| | | | | | | | |
Total investments, at value(1) | | | 631,501,681 | | | | 1,102,114,141 | |
Receivables: | | | | | | | | |
Dividends | | | 9,411 | | | | 18,730 | |
From advisor | | | — | | | | — | |
Fund shares sold | | | 122,996 | | | | 325,463 | |
Variation margin on financial futures contracts | | | 10,088 | | | | 16,428 | |
Prepaid expenses and other assets | | | 13,331 | | | | 16,602 | |
| | | | | | | | |
Total Assets | | | 631,657,507 | | | | 1,102,491,364 | |
| | | | | | | | |
Liabilities | | | | | | | | |
Cash Overdraft | | | 1,004,415 | | | | 1,501,880 | |
Payables: | | | | | | | | |
Fund shares redeemed | | | 109,976 | | | | 3,948 | |
Variation margin on financial futures contracts | | | 11,212 | | | | 27,300 | |
Accrued expenses: | | | | | | | | |
Investment advisory fees | | | 52,952 | | | | 92,192 | |
Professional fees | | | 17,849 | | | | 17,849 | |
Shareholder servicing fees | | | 109,313 | | | | 183,972 | |
Other expenses | | | 37,704 | | | | 54,401 | |
| | | | | | | | |
Total Liabilities | | | 1,343,421 | | | | 1,881,542 | |
| | | | | | | | |
Net Assets | | $ | 630,314,086 | | | $ | 1,100,609,822 | |
| | | | | | | | |
| | |
Net Assets Consist of: | | | | | | | | |
Paid-in-capital | | $ | 599,633,969 | | | $ | 1,037,899,331 | |
Accumulated net investment income | | | 10,046,638 | | | | 11,522,343 | |
Undistributed (accumulated) net realized gain (loss) on investments and derivative transactions | | | 1,815,443 | | | | 5,804,111 | |
Net unrealized appreciation (depreciation) on investments and derivative transactions | | | 18,818,036 | | | | 45,384,037 | |
| | | | | | | | |
Net Assets | | $ | 630,314,086 | | | $ | 1,100,609,822 | |
| | | | | | | | |
Net Asset Value: | | | | | | | | |
$0.001 par value, unlimited shares authorized | | | | | | | | |
Net assets applicable to the Institutional Class | | $ | 108,975,386 | | | $ | 222,030,507 | |
| | | | | | | | |
Institutional shares outstanding | | | 10,504,035 | | | | 21,656,127 | |
| | | | | | | | |
Net asset value, offering and redemption price per Institutional share | | $ | 10.37 | | | $ | 10.25 | |
| | | | | | | | |
Net assets applicable to the Investor Class | | $ | 521,338,700 | | | $ | 878,579,315 | |
| | | | | | | | |
Investor shares outstanding | | | 50,232,755 | | | | 85,597,893 | |
| | | | | | | | |
Net asset value, offering and redemption price per Investor share | | $ | 10.38 | | | $ | 10.26 | |
| | | | | | | | |
(1) Investments in securities of unaffiliated issuers, at cost | | $ | 496,925 | | | $ | 596,311 | |
Investments in securities of affiliated issuers, at cost | | | 612,226,543 | | | | 1,056,272,893 | |
| | | | | | | | |
Total investments, at cost | | $ | 612,723,468 | | | $ | 1,056,869,204 | |
| | | | | | | | |
| | | | |
| 38 | | See Notes to Financial Statements. | | |
| | | | | | | | | | |
MyDestination
2035 Fund | | | MyDestination
2045 Fund | | | MyDestination
2055 Fund | |
| | | | | | | | | | | |
| | |
| | $ 596,198 | | | $ | 496,831 | | | $ | 99,849 | |
| | 652,170,815 | | | | 490,333,216 | | | | 116,357,042 | |
| | | | | | | | | | |
| | 652,767,013 | | | | 490,830,047 | | | | 116,456,891 | |
| | | | | | | | | | |
| | 13,649 | | | | 10,225 | | | | 2,559 | |
| | — | | | | 7,096 | | | | 13,264 | |
| | 296,136 | | | | 120,369 | | | | 142,301 | |
| | 8,888 | | | | 4,585 | | | | — | |
| | 13,760 | | | | 13,646 | | | | 12,176 | |
| | | | | | | | | | |
| | 653,099,446 | | | | 490,985,968 | | | | 116,627,191 | |
| | | | | | | | | | |
| | | | | | | | | | |
| | 1,498,681 | | | | 1,312,445 | | | | 370,365 | |
| | | | | | | | | | |
| | 134,309 | | | | 80 | | | | 2,942 | |
| | 26,325 | | | | 22,913 | | | | 8,775 | |
| | | | | | | | | | |
| | 54,330 | | | | 40,778 | | | | 9,546 | |
| | 17,849 | | | | 17,850 | | | | 17,849 | |
| | 104,144 | | | | 71,783 | | | | 16,021 | |
| | 35,301 | | | | 29,707 | | | | 17,029 | |
| | | | | | | | | | |
| | 1,870,939 | | | | 1,495,556 | | | | 442,527 | |
| | | | | | | | | | |
| | $651,228,507 | | | $ | 489,490,412 | | | $ | 116,184,664 | |
| | | | | | | | | | |
| | |
| | | | | | | | | | |
| | $607,425,538 | | | $ | 451,234,673 | | | $ | 105,821,466 | |
| | 10,442,871 | | | | 7,684,341 | | | | 1,781,017 | |
| | (607,027 | ) | | | (1,240,947 | ) | | | (769,834 | ) |
| | 33,967,125 | | | | 31,812,345 | | | | 9,352,015 | |
| | | | | | | | | | |
| | $651,228,507 | | | $ | 489,490,412 | | | $ | 116,184,664 | |
| | | | | | | | | | |
| | | | | | | | | | | |
| | | | | | | | | | |
| | $152,421,331 | | | $ | 145,343,185 | | | $ | 38,161,106 | |
| | | | | | | | | | |
| | 15,316,630 | | | | 15,135,713 | | | | 2,836,524 | |
| | | | | | | | | | |
| | $ 9.95 | | | $ | 9.60 | | | $ | 13.45 | |
| | | | | | | | | | |
| | $498,807,176 | | | $ | 344,147,227 | | | $ | 78,023,558 | |
| | | | | | | | | | |
| | 50,102,798 | | | | 35,842,230 | | | | 5,802,380 | |
| | | | | | | | | | |
| | $ 9.96 | | | $ | 9.60 | | | $ | 13.45 | |
| | | | | | | | | | |
| | | | | | | | | | |
| | |
| | | | | | | | | | |
| | $ 596,311 | | | $ | 496,925 | | | $ | 99,866 | |
| | 618,354,551 | | | | 458,657,486 | | | | 107,028,638 | |
| | | | | | | | | | |
| | $618,950,862 | | | $ | 459,154,411 | | | $ | 107,128,504 | |
| | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 39 |
| | |
STATEMENTS OF OPERATIONS | | For the Year Ended December 31, 2017 |
| | | | |
| | | MyDestination
2015 Fund | |
Investment Income | | | | |
Income distributions received from affiliated funds | | $ | 9,585,350 | |
Interest | | | — | |
| | | | |
Total Investment Income | | | 9,585,350 | |
| | | | |
Expenses | | | | |
Investment advisory fees | | | 588,039 | |
Transfer agent fees: | | | | |
Institutional shares(1) | | | 3,366 | |
Investor shares | | | 33,528 | |
Custodian fees | | | 21,828 | |
Shareholder servicing fees: | | | | |
Investor shares | | | 1,288,128 | |
Accounting and administration fees | | | 35,260 | |
Professional fees | | | 76,446 | |
Blue sky fees: | | | | |
Institutional shares(1) | | | 20,405 | |
Investor shares | | | 31,874 | |
Trustees expenses | | | 6,581 | |
Line of credit facility fees and interest expense | | | 4,005 | |
Interest expense | | | 19 | |
Other expenses | | | 15,697 | |
| | | | |
Total Expenses | | | 2,125,176 | |
Expenses waived/reimbursed net of amount recaptured(2) | | | (53,852 | ) |
| | | | |
Net Expenses | | | 2,071,324 | |
| | | | |
| |
Net Investment Income | | | 7,514,026 | |
| | | | |
| |
Realized and Unrealized Gain (Loss) | | | | |
Capital gain distributions received from affiliated funds | | | 13,600,726 | |
Net realized gain (loss) on investment securities of affiliated issuers | | | 2,295,439 | |
Net realized gain on futures transactions | | | 1,345,077 | |
| | | | |
Net realized gain | | | 17,241,242 | |
| | | | |
Change in unrealized appreciation (depreciation) on investment securities of affiliated issuers | | | 39,681,096 | |
Change in unrealized appreciation (depreciation) on investment securities of unaffiliated issuers | | | (62 | ) |
Change in unrealized appreciation (depreciation) on futures | | | 79,357 | |
| | | | |
| |
Net change in unrealized appreciation (depreciation) | | | 39,760,391 | |
| | | | |
Net Realized and Unrealized Gain | | | 57,001,633 | |
| | | | |
Net Increase in Net Assets Resulting from Operations | | $ | 64,515,659 | |
| | | | |
| (1) | Inception date for Institutional Class for MyDestination 2015 Fund, MyDestination 2025 Fund, MyDestination 2035 Fund, MyDestination 2045 Fund and MyDestination 2055 Fund was May 1, 2017. |
| (2) | See Note 3a and 3c in Notes to Financial Statements. |
| | | | |
| 40 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | |
MyDestination
2025 Fund | | | MyDestination
2035 Fund | | | MyDestination
2045 Fund | | | MyDestination
2055 Fund | |
| | | | | | | | | | | | | | |
| $ | 15,403,241 | | | $ | 9,265,510 | | | $ | 6,717,888 | | | $ | 1,503,413 | |
| | — | | | | — | | | | 5 | | | | — | |
| | | | | | | | | | | | | | |
| | 15,403,241 | | | | 9,265,510 | | | | 6,717,893 | | | | 1,503,413 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | 990,332 | | | | 567,918 | | | | 424,084 | | | | 89,594 | |
| | | | | | | | | | | | | | |
| | 3,366 | | | | 3,366 | | | | 3,366 | | | | 3,365 | |
| | 41,932 | | | | 30,300 | | | | 27,317 | | | | 20,527 | |
| | 27,447 | | | | 21,845 | | | | 20,386 | | | | 12,541 | |
| | | | | | | | | | | | | | |
| | 2,120,556 | | | | 1,181,633 | | | | 836,073 | | | | 169,654 | |
| | 58,697 | | | | 33,827 | | | | 25,439 | | | | 5,885 | |
| | 76,446 | | | | 76,446 | | | | 76,446 | | | | 76,446 | |
| | | | | | | | | | | | | | |
| | 20,216 | | | | 20,216 | | | | 22,440 | | | | 20,437 | |
| | 32,229 | | | | 25,903 | | | | 26,009 | | | | 24,033 | |
| | 10,274 | | | | 6,287 | | | | 4,957 | | | | 1,791 | |
| | 6,269 | | | | 5,225 | | | | 3,116 | | | | 940 | |
| | 1,969 | | | | 366 | | | | — | | | | 1,879 | |
| | 27,010 | | | | 18,354 | | | | 14,893 | | | | 18,640 | |
| | | | | | | | | | | | | | |
| | 3,416,743 | | | | 1,991,686 | | | | 1,484,526 | | | | 445,732 | |
| | (36,942 | ) | | | (45,219 | ) | | | (74,894 | ) | | | (141,738 | ) |
| | | | | | | | | | | | | | |
| | 3,379,801 | | | | 1,946,467 | | | | 1,409,632 | | | | 303,994 | |
| | | | | | | | | | | | | | |
| | | |
| | 12,023,440 | | | | 7,319,043 | | | | 5,308,261 | | | | 1,199,419 | |
| | | | | | | | | | | | | | |
| | | |
| | | | | | | | | | | | | | |
| | 31,184,042 | | | | 23,059,069 | | | | 19,439,902 | | | | 4,721,667 | |
| | 6,407,884 | | | | (1,290,299 | ) | | | (1,176,915 | ) | | | 357,205 | |
| | 2,561,176 | | | | 1,782,040 | | | | 1,515,158 | | | | 281,082 | |
| | | | | | | | | | | | | | |
| | 40,153,102 | | | | 23,550,810 | | | | 19,778,145 | | | | 5,359,954 | |
| | | | | | | | | | | | | | |
| | 84,593,998 | | | | 65,017,974 | | | | 54,529,860 | | | | 10,707,626 | |
| | (61 | ) | | | (61 | ) | | | (53 | ) | | | (10 | ) |
| | 215,977 | | | | 230,178 | | | | 186,677 | | | | 27,401 | |
| | | | | | | | | | | | | | |
| | | |
| | 84,809,914 | | | | 65,248,091 | | | | 54,716,484 | | | | 10,735,017 | |
| | | | | | | | | | | | | | |
| | 124,963,016 | | | | 88,798,901 | | | | 74,494,629 | | | | 16,094,971 | |
| | | | | | | | | | | | | | |
| $ | 136,986,456 | | | $ | 96,117,944 | | | $ | 79,802,890 | | | $ | 17,294,390 | |
| | | | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 41 |
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | | | | | | | | | |
| | | MyDestination 2015 Fund | | | MyDestination 2025 Fund | |
| | | For the Year Ended | | | For the Year Ended | |
| | | 12/31/17 | | | 12/31/16 | | | 12/31/17 | | | 12/31/16 | |
Operations: | | | | | | | | | | | | | | | | |
Net investment income | | $ | 7,514,026 | | | $ | 8,418,415 | | | $ | 12,023,440 | | | $ | 13,254,628 | |
Net realized gain (loss) on investment securities and futures transactions | | | 17,241,242 | | | | 3,130,405 | | | | 40,153,102 | | | | 6,414,502 | |
Net change in unrealized appreciation (depreciation) on investment securities and futures | | | 39,760,391 | | | | 23,098,892 | | | | 84,809,914 | | | | 41,265,382 | |
| | | | | | | | | | | | | | | | |
Net increase in net assets resulting from operations | | | 64,515,659 | | | | 34,647,712 | | | | 136,986,456 | | | | 60,934,512 | |
| | | | | | | | | | | | | | | | |
Dividends and Distributions to Shareholders:(1) | | | | | | | | | | | | | | | | |
Dividends from net investment income | | | | | | | | | | | | | | | | |
Institutional shares | | | (641,478 | ) | | | — | | | | (2,639,827 | ) | | | — | |
Investor shares | | | (1,860,261 | ) | | | (6,155,633 | ) | | | (8,364,170 | ) | | | (8,416,042 | ) |
Distributions from net realized capital gains | | | | | | | | | | | | | | | | |
Institutional shares | | | (2,417,980 | ) | | | — | | | | (6,291,456 | ) | | | — | |
Investor shares | | | (11,453,131 | ) | | | (9,812,326 | ) | | | (24,908,061 | ) | | | (19,446,568 | ) |
| | | | | | | | | | | | | | | | |
Total dividends and distributions | | | (16,372,850 | ) | | | (15,967,959 | ) | | | (42,203,514 | ) | | | (27,862,610 | ) |
| | | | | | | | | | | | | | | | |
Capital Share Transactions:(1) | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | | | | | | | | | | | | | | |
Institutional shares | | | 113,256,141 | | | | — | | | | 214,353,950 | | | | — | |
Investor shares | | | 82,501,857 | | | | 84,788,090 | | | | 138,861,919 | | | | 129,211,781 | |
Reinvestment of dividends and distributions | | | | | | | | | | | | | | | | |
Institutional shares | | | 3,059,458 | | | | — | | | | 8,931,283 | | | | — | |
Investor shares | | | 13,312,314 | | | | 15,963,515 | | | | 33,271,048 | | | | 27,861,817 | |
| | | | | | | | | | | | | | | | |
Total proceeds from shares sold and reinvested | | | 212,129,770 | | | | 100,751,605 | | | | 395,418,200 | | | | 157,073,598 | |
| | | | | | | | | | | | | | | | |
Value of shares redeemed | | | | | | | | | | | | | | | | |
Institutional shares | | | (11,401,387 | ) | | | — | | | | (10,202,150 | ) | | | — | |
Investor shares | | | (153,957,686 | ) | | | (63,543,088 | ) | | | (234,560,442 | ) | | | (42,672,317 | ) |
| | | | | | | | | | | | | | | | |
Total value of shares redeemed | | | (165,359,073 | ) | | | (63,543,088 | ) | | | (244,762,592 | ) | | | (42,672,317 | ) |
| | | | | | | | | | | | | | | | |
Net increase from capital share transactions(2) | | | 46,770,697 | | | | 37,208,517 | | | | 150,655,608 | | | | 114,401,281 | |
| | | | | | | | | | | | | | | | |
Total increase in net assets | | | 94,913,506 | | | | 55,888,270 | | | | 245,438,550 | | | | 147,473,183 | |
| | | | | | | | | | | | | | | | |
Net Assets: | | | | | | | | | | | | | | | | |
Beginning of Year | | | 535,400,580 | | | | 479,512,310 | | | | 855,171,272 | | | | 707,698,089 | |
| | | | | | | | | | | | | | | | |
End of Year* | | $ | 630,314,086 | | | $ | 535,400,580 | | | $ | 1,100,609,822 | | | $ | 855,171,272 | |
| | | | | | | | | | | | | | | | |
*Including undistributed net investment income | | $ | 10,046,638 | | | $ | 2,262,782 | | | $ | 11,522,343 | | | $ | 4,838,586 | |
| | | | | | | | | | | | | | | | |
| (1) | Inception date for Institutional Class for MyDestination 2015 Fund, MyDestination 2025 Fund, MyDestination 2035 Fund, MyDestination 2045 Fund and MyDestination 2055 Fund was May 1, 2017. |
| (2) | See Note 6 in Notes to Financial Statements. |
| | | | |
| 42 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | | | | | |
MyDestination 2035 Fund | | | MyDestination 2045 Fund | | | MyDestination 2055 Fund | |
| For the Year Ended | | | For the Year Ended | | | For the Year Ended | |
12/31/17 | | 12/31/16 | | | 12/31/17 | | | 12/31/16 | | | 12/31/17 | | | 12/31/16 | |
| | | | | | | | | | | | | | | | | | | | |
$ 7,319,043 | | $ | 7,042,640 | | | $ | 5,308,261 | | | $ | 4,670,638 | | | $ | 1,199,419 | | | $ | 791,724 | |
| | | | | |
23,550,810 | | | 1,551,137 | | | | 19,778,145 | | | | 328,657 | | | | 5,359,954 | | | | (330,626 | ) |
| | | | | |
65,248,091 | | | 26,825,146 | | | | 54,716,484 | | | | 21,855,450 | | | | 10,735,017 | | | | 4,128,392 | |
| | | | | | | | | | | | | | | | | | | | |
96,117,944 | | | 35,418,923 | | | | 79,802,890 | | | | 26,854,745 | | | | 17,294,390 | | | | 4,589,490 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
(1,105,684) | | | — | | | | (1,124,943 | ) | | | — | | | | (65,415 | ) | | | — | |
(2,490,452) | | | (3,450,311 | ) | | | (1,895,549 | ) | | | (1,654,993 | ) | | | (41,040 | ) | | | (686,008 | ) |
| | | | | | | | | | | | | | | | | | | | |
(4,865,521) | | | — | | | | (5,234,610 | ) | | | — | | | | (1,616,713 | ) | | | — | |
(16,041,331) | | | (14,584,084 | ) | | | (12,491,640 | ) | | | (11,986,023 | ) | | | (3,294,180 | ) | | | (1,723,825 | ) |
| | | | | | | | | | | | | | | | | | | | |
(24,502,988) | | | (18,034,395 | ) | | | (20,746,742 | ) | | | (13,641,016 | ) | | | (5,017,348 | ) | | | (2,409,833 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
143,246,388 | | | — | | | | 134,495,227 | | | | — | | | | 35,427,273 | | | | — | |
78,857,500 | | | 69,340,421 | | | | 53,664,908 | | | | 55,119,010 | | | | 31,044,282 | | | | 22,719,176 | |
| | | | | | | | | | | | | | | | | | | | |
5,971,204 | | | — | | | | 6,359,553 | | | | — | | | | 1,682,128 | | | | — | |
18,531,779 | | | 18,034,395 | | | | 14,387,189 | | | | 13,641,016 | | | | 3,335,220 | | | | 2,409,832 | |
| | | | | | | | | | | | | | | | | | | | |
246,606,871 | | | 87,374,816 | | | | 208,906,877 | | | | 68,760,026 | | | | 71,488,903 | | | | 25,129,008 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
(5,699,759) | | | — | | | | (4,856,474 | ) | | | — | | | | (1,236,265 | ) | | | — | |
(140,345,026) | | | (16,986,664 | ) | | | (127,887,444 | ) | | | (9,420,875 | ) | | | (29,318,397 | ) | | | (2,800,595 | ) |
| | | | | | | | | | | | | | | | | | | | |
(146,044,785) | | | (16,986,664 | ) | | | (132,743,918 | ) | | | (9,420,875 | ) | | | (30,554,662 | ) | | | (2,800,595 | ) |
| | | | | | | | | | | | | | | | | | | | |
100,562,086 | | | 70,388,152 | | | | 76,162,959 | | | | 59,339,151 | | | | 40,934,241 | | | | 22,328,413 | |
| | | | | | | | | | | | | | | | | | | | |
172,177,042 | | | 87,772,680 | | | | 135,219,107 | | | | 72,552,880 | | | | 53,211,283 | | | | 24,508,070 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
479,051,465 | | | 391,278,785 | | | | 354,271,305 | | | | 281,718,425 | | | | 62,973,381 | | | | 38,465,311 | |
| | | | | | | | | | | | | | | | | | | | |
$ 651,228,507 | | $ | 479,051,465 | | | $ | 489,490,412 | | | $ | 354,271,305 | | | $ | 116,184,664 | | | $ | 62,973,381 | |
| | | | | | | | | | | | | | | | | | | | |
$ 10,442,871 | | $ | 3,592,329 | | | $ | 7,684,341 | | | $ | 3,015,645 | | | $ | 1,781,017 | | | $ | 105,716 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 43 |
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 2015 Fund | |
| | | | | | | | | | |
Institutional Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2017(5) | | | $ 9.97 | | | | $0.12 | # | | | $0.23 | | | | $0.35 | | | | $(0.06 | ) | | | $(0.24 | ) | | | $10.37 | | | | 6.99 | % | | | $108,975 | | | | 0.16 | % | | | 0.16 | % | | | 1.78 | % | | | 17 | % |
| | | | | | | | | | |
Investor Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2017 | | | $ 9.54 | | | | $0.12 | # | | | $0.22 | | | | $0.78 | | | | $(0.04 | ) | | | $(0.24 | ) | | | $10.38 | | | | 11.67 | % | | | $521,339 | | | | 0.38 | % | | | 0.39 | % | | | 1.21 | % | | | 17 | % |
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 | |
MyDestination 2025 Fund | |
| | | | | | | | | | |
Institutional Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2017(5) | | | $ 9.79 | | | | $0.13 | # | | | $0.31 | | | | $0.44 | | | | $(0.12 | ) | | | $(0.30 | ) | | | $10.25 | | | | 9.08 | % | | | $222,031 | | | | 0.14 | % | | | 0.14 | % | | | 1.82 | % | | | 15 | % |
| | | | | | | | | | |
Investor Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2017 | | | $ 9.28 | | | | $0.11 | # | | | $0.29 | | | | $0.98 | | | | $(0.10 | ) | | | $(0.30 | ) | | | $10.26 | | | | 14.92 | % | | | $878,579 | | | | 0.38 | % | | | 0.38 | % | | | 1.12 | % | | | 15 | % |
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 | |
MyDestination 2035 Fund | |
| | | | | | | | | | |
Institutional Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2017(5) | | | $ 9.29 | | | | $0.13 | # | | | $0.38 | | | | $0.55 | | | | $(0.07 | ) | | | $(0.33 | ) | | | $9.95 | | | | 11.51 | % | | | $152,421 | | | | 0.15 | % | | | 0.15 | % | | | 1.99 | % | | | 35 | % |
| | | | | | | | | | |
Investor Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2017 | | | $ 8.72 | | | | $0.11 | # | | | $0.36 | | | | $1.15 | | | | $(0.05 | ) | | | $(0.33 | ) | | | $9.96 | | | | 18.66 | % | | | $498,807 | | | | 0.38 | % | | | 0.39 | % | | | 1.16 | % | | | 35 | % |
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 | (6) |
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 | |
| # | 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. The estimated acquired fund fees which are incurred directly by the underlying funds for the MyDestination 2015 Fund, MyDestination 2025 Fund, MyDestination 2035 Fund, MyDestination 2045 Fund and MyDestination 2055 Fund were 0.58%, 0.63%, 0.66%, 0.67% and 0.72%, respectively for 2017, and are deducted from the value of the funds in which each Fund invests and is included in each Fund’s total return. |
| (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 May 1, 2017. 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. |
| | | | |
| 44 | | 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 2045 Fund | |
| | | | | | | | | | |
Institutional Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2017(5) | | | $8.90 | | | | $0.13 | # | | | $0.41 | | | | $0.60 | | | | $(0.07 | ) | | | $(0.37 | ) | | | $9.60 | | | | 12.85 | % | | | $145,343 | | | | 0.16 | % | | | 0.16 | % | | | 1.99 | % | | | 10 | % |
| | | | | | | | | | |
Investor Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2017 | | | $8.29 | | | | $0.10 | # | | | $0.37 | | | | $1.26 | | | | $(0.05 | ) | | | $(0.37 | ) | | | $9.60 | | | | 20.90 | % | | | $344,147 | | | | 0.38 | % | | | 0.40 | % | | | 1.06 | % | | | 10 | % |
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 | (6) |
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 | |
MyDestination 2055 Fund | |
| | | | | | | | | | |
Institutional Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2017(5) | | | $ 12.43 | | | | $0.18 | # | | | $0.64 | | | | $0.83 | | | | $(0.02 | ) | | | $(0.61 | ) | | | $13.45 | | | | 13.33 | % | | | $38,161 | | | | 0.20 | % | | | 0.33 | % | | | 2.04 | % | | | 9 | % |
| | | | | | | | | | |
Investor Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2017 | | | $ 11.56 | | | | $0.14 | # | | | $0.60 | | | | $1.77 | | | | $(0.01 | ) | | | $(0.61 | ) | | | $13.45 | | | | 21.73 | % | | | $78,024 | | | | 0.38 | % | | | 0.55 | % | | | 1.12 | % | | | 9 | % |
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 | (6) |
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 | |
| # | 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. The estimated acquired fund fees which are incurred directly by the underlying funds for the MyDestination 2015 Fund, MyDestination 2025 Fund, MyDestination 2035 Fund, MyDestination 2045 Fund and MyDestination 2055 Fund were 0.58%, 0.63%, 0.66%, 0.67% and 0.72%, respectively for 2017, and are deducted from the value of the funds in which each Fund invests and is included in each Fund’s total return. |
| (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 May 1, 2017. 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. | | 45 |
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, real assets and alternative investments. The Fund had a target of, but was not limited to, an asset allocation of 60.00% Fixed Income Select Funds, 20.00% U.S. Equity Select Funds, 8.00% Non-U.S. Equity Select Funds, 7.00% Real Assets Select Funds and 5.00% Alternatives Select Fund as of December 31, 2017.
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 7.11% for the one-year period ended December 31, 2017, driven primarily by positive absolute performance of the underlying Equity Select Funds. Within the Equity Select Funds, the Fund’s absolute return was most positively influenced by its exposure to the International Equity Fund, followed by exposure to the Growth Equity Fund and the Defensive Market Strategies Fund. The Fund’s Real Assets Select Funds allocation added to investment returns, as the Inflation Protected Bond Fund and the Global Real Estate Securities 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 Strategic Alternatives Fund was added on July 1, 2017, and was a small contributor to absolute performance.
The Fund matched its composite benchmark in 2017 (7.11% versus 7.11%). The largest contributor to relative outperformance was the Fixed Income Select Fund allocation. The largest negative detractor to relative performance was the U.S. Equity Select Fund allocation due to the Defensive Markets Strategies Fund’s defensive orientation relative to a strong performing U.S. equity market.
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 positive impact on Fund performance for the year.
The Fund attempted to achieve its objective, through investments in the Select Funds, by combining a greater percentage of fixed-income securities with a smaller percentage of equity securities. By investing in the Fund you will also incur the expenses and risks of the underlying Select Funds. 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 equity 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, 2017, 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 | | | 61.7 | |
U.S. Equity Select Funds | | | 20.2 | |
Non-U.S. Equity Select Funds | | | 8.3 | |
Alternative Select Funds | | | 4.9 | |
Real Return Select Funds | | | 4.8 | |
U.S. Treasury Obligation | | | 0.1 | |
| | | | |
| | | 100.0 | |
| | | | |
46
Conservative Allocation Fund (Unaudited)
| | | | | | |
| Average Annual Total Returns as of 12/31/17 |
| | | Institutional Class | | Investor Class* | | Benchmark** |
One Year | | 7.33% | | 7.11% | | 7.11% |
Five Year | | N/A | | 3.02% | | 3.77% |
Ten Year | | N/A | | 3.21% | | 3.46% |
Since Inception(1) | | 5.37% | | 3.75% | | 4.07% |
Inception Date | | 11/23/15 | | 08/27/01 | | |
Total Fund Operating Expenses (May 1, 2017 Prospectus as amended July 1, 2017)(2) | | 0.70% | | 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, 2007 to December 31, 2017, 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 2017, consisting of the ICE BofAML 1-3 Year U.S. Treasury Index, the ICE BofAML U.S. 3-Month Treasury Bill 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, and the MSCI ACWI ex USA Index, weighted 44.00%, 5.00% 15.00%, 6.00%, 21.00%, 1.00%, and 8.00%, respectively.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
47
| | |
| CONSERVATIVE ALLOCATION FUND | | |
| SCHEDULE OF INVESTMENTS | | December 31, 2017 |
| | | | | | | | | | | | | | |
| | | Shares | | | Value | |
MUTUAL FUNDS — 99.9% | |
GuideStone Money Market Fund
(Institutional Class)¥ | | | | | 4,159,143 | | | | | | | $ | 4,159,143 | |
GuideStone Low-Duration Bond Fund
(Institutional Class)¥ | | | | | 17,589,091 | | | | | | | | 234,814,360 | |
GuideStone Medium-Duration Bond Fund
(Institutional Class)¥ | | | | | 4,201,890 | | | | | | | | 61,977,874 | |
GuideStone Global Bond Fund
(Institutional Class)¥ | | | | | 1,553,462 | | | | | | | | 15,658,893 | |
GuideStone Defensive Market Strategies Fund
(Institutional Class)¥ | | | | | 3,000,075 | | | | | | | | 38,040,946 | |
GuideStone Value Equity Fund
(Institutional Class)¥ | | | | | 1,318,912 | | | | | | | | 30,018,443 | |
GuideStone Growth Equity Fund
(Institutional Class)¥ | | | | | 1,176,716 | | | | | | | | 29,629,708 | |
GuideStone Small Cap Equity Fund
(Institutional Class)¥ | | | | | 330,799 | | | | | | | | 6,073,477 | |
GuideStone International Equity Fund
(Institutional Class)¥ | | | | | 2,093,697 | | | | | | | | 32,912,910 | |
GuideStone Emerging Markets Equity Fund
(Institutional Class)¥ | | | | | 882,028 | | | | | | | | 9,702,309 | |
GuideStone Inflation Protected Bond Fund
(Institutional Class)¥ | | | | | 1,837,002 | | | | | | | | 18,866,014 | |
| | | | | | | | | | | | | | | | |
| | | Shares | | | Value | |
GuideStone Global Real Estate Securities Fund
(Institutional Class)¥ | | | | | | | 596,030 | | | | | | | $ | 5,775,536 | |
GuideStone Strategic Alternatives Fund
(Institutional Class)¥ | | | | | | | 2,489,249 | | | | | | | | 25,066,742 | |
| | | | | | | | | | | | | | | | |
Total Mutual Funds
(Cost $507,253,769) | | | | | | | | | | | | | | | 512,696,355 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | Par | | | | | | | |
U.S. TREASURY OBLIGATION — 0.1% | |
U.S. Treasury Bill 1.42%, 06/07/18W‡‡
(Cost $298,155) | | | | | | $ | 300,000 | | | | | | | | 298,099 | |
| | | | | | | | | | | | | | | | |
TOTAL INVESTMENTS — 100.0%
(Cost $507,551,924) | | | | | | | | 512,994,454 | |
Liabilities in Excess of Other Assets — (0.0)% | | | | | | | | | | | | | | | (27,657 | ) |
| | | | | | | | | | | | | | | | |
NET ASSETS — 100.0% | | | | | | | | | | | | | | $ | 512,966,797 | |
| | | | | | | | | | | | | | | | |
Futures Contracts outstanding at December 31, 2017:
| | | | | | | | | | | | | | | | | | | | | | | | | |
Future Type | | Expiration
Date | | Open Long
(Short) Contracts | | Notional
Market Value
of Contracts | | Counter-
party | | Value and
Unrealized
Appreciation
(Depreciation) |
S&P 500® E-Mini | | | | 03/2018 | | | | | 5 | | | | $ | 669,000 | | | | | GSC | | | | $ | 8,441 | |
MSCI EAFE Index E-Mini | | | | 03/2018 | | | | | 3 | | | | | 306,825 | | | | | GSC | | | | | 4,015 | |
2-Year U.S. Treasury Note | | | | 03/2018 | | | | | 19 | | | | | 4,068,078 | | | | | GSC | | | | | (8,060 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Futures Contracts outstanding at December 31, 2017 | | | | | | | | | | | | | $ | 5,043,903 | | | | | | | | | $ | 4,396 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| 48 | | See Notes to Financial Statements. | | |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2017, 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 | | | $ | 512,696,355 | | | | $ | 512,696,355 | | | | $ | — | | | | $ | — | |
U.S. Treasury Obligation | | �� | | 298,099 | | | | | — | | | | | 298,099 | | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | | $ | 512,994,454 | | | | $ | 512,696,355 | | | | $ | 298,099 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | $ | 12,456 | | | | $ | 12,456 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | | $ | 12,456 | | | | $ | 12,456 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | $ | (8,060 | ) | | | $ | (8,060 | ) | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Liabilities - Other Financial Instruments | | | $ | (8,060 | ) | | | $ | (8,060 | ) | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
***Other financial instruments are derivative instruments, 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 preceding “Futures Contracts outstanding” disclosure.
There were no transfers between Level 1, Level 2 and Level 3 during the year ended December 31, 2017.
| | | | |
| | See Notes to Financial Statements. | | 49 |
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 in real assets and alternative investments. The Fund had a target of, but was not limited to, an asset allocation of 43.00% Fixed Income Select Funds, 30.00% U.S. Equity Select Funds, 15.00% Non-U.S. Equity Select Funds, 9.00% Real Assets Select Funds and 3.00% Alternatives Select Fund as of December 31, 2017.
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 12.30% for the one-year period ended December 31, 2017. 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 Non-U.S Equity Select Funds. The Fund’s absolute return was most positively influenced by its exposure to the International Equity Fund, the Growth Equity Fund and the Value Equity Fund. The Fixed Income Select Fund allocation also provided positive results, with the most positive contributions attributed to the Global Bond Fund and Medium-Duration Bond Fund. The Strategic Alternatives Fund was added on July 1, 2017, and was a small contributor to absolute performance.
The Fund outperformed its composite benchmark in 2017 (12.30% versus 12.11%). The largest contributor to relative outperformance was the Fixed Income Select Fund allocation. The largest negative detractor to relative performance was the U.S. Equity Select Fund allocation due to the Defensive Markets Strategies Fund’s defensive orientation relative to a strong performing U.S. equity market.
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 positive impact on Fund performance for the year.
The Fund attempted to achieve its objective, through investments in the Select Funds, by combining approximately equal percentages of fixed-income securities and equity securities. By investing in the Fund you will also incur the expenses and risks of the underlying Select Funds. 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 equities 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, 2017, 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 | | | 41.2 | |
U.S. Equity Select Funds | | | 33.7 | |
Non-U.S. Equity Select Funds | | | 15.7 | |
Real Return Select Funds | | | 5.5 | |
Alternative Select Funds | | | 3.8 | |
U.S. Treasury Obligation | | | 0.1 | |
| | | | |
| | | 100.0 | |
| | | | |
| | | | |
| 50 | | See Notes to Financial Statements. | | |
Balanced Allocation Fund (Unaudited)
| | | | | | |
| Average Annual Total Returns as of 12/31/17 |
| | | Institutional Class | | Investor Class* | | Benchmark** |
One Year | | 12.57% | | 12.30% | | 12.11% |
Five Year | | N/A | | 5.75% | | 6.76% |
Ten Year | | N/A | | 4.67% | | 5.29% |
Since Inception(1) | | 8.46% | | 5.46% | | 5.98% |
Inception Date | | 11/23/15 | | 08/27/01 | | |
Total Fund Operating Expenses (May 1, 2017 Prospectus as amended July 1, 2017)(2) | | 0.77% | | 1.02% | | |
(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, 2007 to December 31, 2017, 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 2017, consisting of the ICE BofAML U.S. 3-Month Treasury Bill Index, Bloomberg Barclays US Aggregate Bond Index, the Bloomberg Barclays US TIPS (Series-L) Index, the Russell 3000® Index, the FTSE EPRA/NAREIT Developed Index, and the MSCI ACWI ex USA Index, weighted 3.00%, 41.00%, 6.00%, 32.00%, 3.00%, and 15.00%, respectively.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
| | | | |
| | See Notes to Financial Statements. | | 51 |
| | | | |
BALANCED ALLOCATION FUND SCHEDULE OF INVESTMENTS | | | December 31, 2017 | |
| | | | | | | | | | | | |
| | | | | | Shares | | | Value | |
MUTUAL FUNDS — 99.9% | | | | | |
GuideStone Money
Market Fund
(Institutional Class)¥ | | | | | | | 34,919,952 | | | $ | 34,919,952 | |
GuideStone Low-Duration
Bond Fund
(Institutional Class)¥ | | | | | | | 7,714,641 | | | | 102,990,453 | |
GuideStone Medium-Duration
Bond Fund
(Institutional Class)¥ | | | | | | | 21,912,881 | | | | 323,214,993 | |
GuideStone Extended-Duration
Bond Fund
(Institutional Class)¥ | | | | | | | 3,805,838 | | | | 68,276,729 | |
GuideStone Global
Bond Fund
(Institutional Class)¥ | | | | | | | 13,527,240 | | | | 136,354,577 | |
GuideStone Defensive Market Strategies Fund
(Institutional Class)¥ | | | | | | | 12,817,272 | | | | 162,523,010 | |
GuideStone Value
Equity Fund
(Institutional Class)¥ | | | | | | | 7,595,370 | | | | 172,870,628 | |
GuideStone Growth
Equity Fund
(Institutional Class)¥ | | | | | | | 6,923,361 | | | | 174,330,238 | |
GuideStone Small Cap
Equity Fund
(Institutional Class)¥ | | | | | | | 1,882,772 | | | | 34,567,693 | |
GuideStone International
Equity Fund
(Institutional Class)¥ | | | | | | | 12,491,193 | | | | 196,361,555 | |
GuideStone Emerging Markets Equity Fund (Institutional Class)¥ | | | | | | | 5,151,375 | | | | 56,665,123 | |
| | | | | | | | | | | | | | | | |
| | | | | | Shares | | | | | | Value | |
GuideStone Inflation Protected Bond Fund (Institutional Class)¥ | | | | | | | 5,424,542 | | | | | | | $ | 55,710,041 | |
GuideStone Global Real Estate Securities Fund (Institutional Class)¥ | | | | | | | 3,463,290 | | | | | | | | 33,559,282 | |
GuideStone Strategic Alternatives Fund (Institutional Class)¥ | | | | | | | 6,095,860 | | | | | | | | 61,385,313 | |
| | | | | | | | | | | | | | | | |
Total Mutual Funds
(Cost $1,596,348,194) | | | | | | | | | | | | | | | 1,613,729,587 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | Par | | | | | | | |
U.S. TREASURY OBLIGATION — 0.1% | | | | | | | | | |
U.S. Treasury Bill | | | | | | | | | | | | | | | | |
1.42%, 06/07/18W‡‡
(Cost $993,851) | | | | | | $ | 1,000,000 | | | | | | | | 993,662 | |
| | | | | | | | | | | | | | | | |
TOTAL INVESTMENTS — 100.0%
(Cost $1,597,342,045) | | | | | | | | | | | | 1,614,723,249 | |
Liabilities in Excess of Other
Assets — (0.0)% | | | | | | | | | | | | | | | (322,938 | ) |
| | | | | | | | | | | | | | | | |
NET ASSETS — 100.0% | | | | | | | | | | | | | | $ | 1,614,400,311 | |
| | | | | | | | | | | | | | | | |
Futures Contracts outstanding at December 31, 2017:
| | | | | | | | | | | | | | | | |
Future Type | | Expiration Date | | Open Long
(Short) Contracts | | Notional
Market Value
of Contracts | | | Counter-
party | | | Value and
Unrealized
Appreciation
(Depreciation) | |
MSCI EAFE Index | | 03/2018 | | 53 | | $ | 5,420,575 | | | | GSC | | | $ | 71,370 | |
MSCI Emerging Markets E-Mini | | 03/2018 | | 25 | | | 1,454,625 | | | | GSC | | | | 71,030 | |
S&P 500® E-Mini | | 03/2018 | | 76 | | | 10,168,800 | | | | GSC | | | | 128,312 | |
10-Year U.S. Treasury Note | | 03/2018 | | 41 | | | 5,085,922 | | | | GSC | | | | (27,547 | ) |
Long U.S. Treasury Bond | | 03/2018 | | 19 | | | 2,907,000 | | | | GSC | | | | (2,847 | ) |
5-Year U.S. Treasury Note | | 03/2018 | | 46 | | | 5,343,547 | | | | GSC | | | | (24,867 | ) |
| | | | | | | | | | | | | | | | |
Total Futures Contracts outstanding at December 31, 2017 | | $ | 30,380,469 | | | | | | | $ | 215,451 | |
| | | | | | | | | | | | | | | | |
| | | | |
| 52 | | See Notes to Financial Statements. | | |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2017, 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 | | $ | 1,613,729,587 | | | $ | 1,613,729,587 | | | $ | — | | | $ | — | |
U.S. Treasury Obligation | | | 993,662 | | | | — | | | | 993,662 | | | | — | |
| | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | $ | 1,614,723,249 | | | $ | 1,613,729,587 | | | $ | 993,662 | | | $ | ��� | |
| | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | |
Future Contracts | | $ | 270,712 | | | $ | 270,712 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | $ | 270,712 | | | $ | 270,712 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | |
Future Contracts | | $ | (55,261 | ) | | $ | (55,261 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Total Liabilities - Other Financial Instruments | | $ | (55,261 | ) | | $ | (55,261 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
***Other financial instruments are derivative instruments, 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 preceding “Futures Contracts outstanding” disclosure.
There were no transfers between Level 1, Level 2 and Level 3 during the year ended December 31, 2017.
| | | | |
| | See Notes to Financial Statements. | | 53 |
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 27.00% Fixed Income Select Funds, 42.00% U.S. Equity Select Funds, 28.00% Non-U.S. Equity Select Funds and 3.00% Real Assets Select Funds as of December 31, 2017.
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 18.59% for the one-year period ended December 31, 2017. Contribution to absolute performance from the U.S. Equity Select Funds was positive, largely due to an acceleration of global economic growth. International equity exposure, including both developed and emerging markets, added meaningfully to performance. Non-U.S. equity markets outperformed their U.S. counterparts due in part to higher economic growth and a depreciating U.S. dollar. The International Equity Fund benefited from these macroeconomic tailwinds, along with strong security selection, and was the largest Equity Select Fund contributor to absolute performance. The Fixed Income Select Funds were positive across all underlying strategies, most notably the Medium-Duration Bond Fund. The contribution to absolute performance by the Fund’s exposure to the Real Assets Select Funds was roughly flat with a positive performance by the Global Real Estate Securities Fund offset by a negative performance from the Global Natural Resources Equity Fund, which liquidated and terminated on September 22, 2017.
The Fund outperformed its composite benchmark in 2017 (18.59% versus 17.33%). The largest contributor to relative outperformance was the Non-U.S. Equity Select Funds allocation. The largest detractor to relative performance was the Real Assets Select Funds allocation led by relative underperformance by the Global Natural Resources 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 positive impact on Fund performance for the year.
The Fund attempted to achieve its objective, through investments in the Select Funds, by combining a greater percentage of equity securities with a small percentage of fixed-income securities. By investing in the Fund you will also incur the expenses and risks of the underlying 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. Securities of foreign issuers may be negatively impacted by political events, economic conditions or inefficient, illiquid or unregulated markets in foreign countries, and they also may be subject to inadequate regulatory or accounting standards, which may increase investment risk. 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, 2017, 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 | | | 46.1 | |
Non-U.S. Equity Select Funds | | | 27.6 | |
Fixed Income Select Funds | | | 20.8 | |
Real Return Select Funds | | | 3.0 | |
Alternative Select Funds | | | 2.4 | |
U.S. Treasury Obligation | | | 0.1 | |
Money Market Funds | | | — | ** |
| | | | |
| | | 100.0 | |
| | | | |
**Rounds to less than 0.05%
| | | | |
| 54 | | See Notes to Financial Statements. | | |
Growth Allocation Fund (Unaudited)
| | | | | | |
| Average Annual Total Returns as of 12/31/17 |
| | | Institutional Class | | Investor Class* | | Benchmark** |
One Year | | 18.94% | | 18.59% | | 17.33% |
Five Year | | N/A | | 8.29% | | 9.03% |
Ten Year | | N/A | | 4.99% | | 5.59% |
Since Inception(1) | | 11.03% | | 5.82% | | 6.40% |
Inception Date | | 11/23/15 | | 08/27/01 | | |
Total Fund Operating Expenses (May 1, 2017 Prospectus as amended July1, 2017)(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, 2007 to December 31, 2017, 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 2017, consisting of the Bloomberg Barclays US Aggregate Bond Index, the Russell 3000® Index, the FTSE EPRA/NAREIT Developed Index, and the MSCI ACWI ex USA Index, weighted 25.00%, 43.00%, 3.00%, and 29.00%, respectively.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
| | | | |
| | See Notes to Financial Statements. | | 55 |
| | | | |
GROWTH ALLOCATION FUND | | | | |
SCHEDULE OF INVESTMENTS | | | December 31, 2017 | |
| | | | | | | | |
| | | Shares | | | Value | |
MUTUAL FUNDS — 99.9% | |
GuideStone Money
Market Fund
(Institutional Class)¥ | | | 25,873,437 | | | $ | 25,873,437 | |
GuideStone Low-Duration
Bond Fund
(Institutional Class)¥ | | | 2,638,263 | | | | 35,220,814 | |
GuideStone Medium-Duration
Bond Fund
(Institutional Class)¥ | | | 8,748,733 | | | | 129,043,814 | |
GuideStone Extended-Duration
Bond Fund
(Institutional Class)¥ | | | 1,311,071 | | | | 23,520,614 | |
GuideStone Global
Bond Fund
(Institutional Class)¥ | | | 4,673,868 | | | | 47,112,591 | |
GuideStone Defensive
Market Strategies Fund
(Institutional Class)¥ | | | 4,490,034 | | | | 56,933,636 | |
GuideStone Value
Equity Fund
(Institutional Class)¥ | | | 10,557,027 | | | | 240,277,939 | |
GuideStone Growth
Equity Fund
(Institutional Class)¥ | | | 9,274,295 | | | | 233,526,743 | |
GuideStone Small Cap
Equity Fund
(Institutional Class)¥ | | | 2,535,818 | | | | 46,557,614 | |
GuideStone International
Equity Fund (Institutional Class)¥ | | | 17,050,690 | | | | 268,036,843 | |
GuideStone Emerging
Markets Equity Fund
(Institutional Class)¥ | | | 7,010,711 | | | | 77,117,825 | |
| | | | | | | | |
| | | Shares | | | Value | |
GuideStone Global Real
Estate Securities Fund
(Institutional Class)¥ | | | 3,940,547 | | | $ | 38,183,896 | |
GuideStone Strategic
Alternatives Fund
(Institutional Class)¥ | | | 3,008,538 | | | | 30,295,976 | |
| | | | | | | | |
Total Mutual Funds
(Cost $1,237,781,849) | | | | | | | 1,251,701,742 | |
| | | | | | | | |
MONEY MARKET FUNDS — 0.0% | |
Northern Institutional U.S. Government Portfolio
(Cost $7,688) | | | 7,688 | | | | 7,688 | |
| | | | | | | | |
| | |
| | | Par | | | | |
U.S. TREASURY OBLIGATION — 0.1% | |
U.S. Treasury Bill | | | | | | | | |
1.42%, 06/07/18W‡‡
(Cost $993,851) | | $ | 1,000,000 | | | | 993,662 | |
| | | | | | | | |
TOTAL INVESTMENTS — 100.0%
(Cost $1,238,783,388) | | | | 1,252,703,092 | |
Liabilities in Excess of Other
Assets — (0.0)% | | | | (318,336 | ) |
| | | | | | | | |
NET ASSETS — 100.0% | | | $ | 1,252,384,756 | |
| | | | | | | | |
Futures Contracts outstanding at December 31, 2017:
| | | | | | | | | | | | | | | | | | | | |
Future Type | | Expiration Date | | | Open Long
(Short) Contracts | | | Notional
Market Value
of Contracts | | | Counter-
party | | | Value and
Unrealized
Appreciation
(Depreciation) | |
MSCI EAFE Index E-Mini | | | 03/2018 | | | | 60 | | | $ | 6,136,500 | | | | GSC | | | $ | 80,810 | |
MSCI Emerging Markets E-Mini | | | 03/2018 | | | | 33 | | | | 1,920,105 | | | | GSC | | | | 93,406 | |
S&P 500 ® E-Mini | | | 03/2018 | | | | 84 | | | | 11,239,200 | | | | GSC | | | | 141,818 | |
10-Year U.S. Treasury Note | | | 03/2018 | | | | 13 | | | | 1,612,610 | | | | GSC | | | | (8,735 | ) |
Long U.S. Treasury Bond | | | 03/2018 | | | | 8 | | | | 1,224,000 | | | | GSC | | | | (1,198 | ) |
5-Year U.S. Treasury Note | | | 03/2018 | | | | 19 | | | | 2,207,117 | | | | GSC | | | | (10,271 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Futures Contracts outstanding at December 31, 2017 | | | | | | | | | | $ | 24,339,532 | | | | | | | $ | 295,830 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
| 56 | | See Notes to Financial Statements. | | |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2017, in valuing the Fund’s investments carried at fair value:
| | | | | | | | | | | | | | | | |
| | | Total
Value | | | Level 1
Quoted Prices | | | Level 2
Other Significant
Observable Inputs | | | Level 3
Significant
Unobservable Inputs | |
Assets: | | | | | | | | | | | | | | | | |
Investments in Securities: | | | | | | | | | | | | | | | | |
Money Market Funds | | $ | 7,688 | | | $ | 7,688 | | | $ | — | | | $ | — | |
Mutual Funds | | | 1,251,701,742 | | | | 1,251,701,742 | | | | — | | | | — | |
U.S. Treasury Obligation | | | 993,662 | | | | — | | | | 993,662 | | | | — | |
| | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | $ | 1,252,703,092 | | | $ | 1,251,709,430 | | | $ | 993,662 | | | $ | — | |
| | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 316,034 | | | $ | 316,034 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | $ | 316,034 | | | $ | 316,034 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | (20,204 | ) | | $ | (20,204 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Total Liabilities - Other Financial Instruments | | $ | (20,204 | ) | | $ | (20,204 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
***Other financial instruments are derivative instruments, 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 preceding “Futures Contracts outstanding” disclosure.
There were no transfers between Level 1, Level 2 and Level 3 during the year ended December 31, 2017.
| | | | |
| | See Notes to Financial Statements. | | 57 |
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 2% Fixed Income Select Funds, 58.00% 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 Fund generated a return of 25.49% for the one-year period ended December 31, 2017. An allocation to both the U.S. Equity Select Funds and Non-U.S. Equity Select Funds generated positive performance with all underlying Equity Select Funds positively contributing to absolute performance. The largest contributors to absolute performance were the Growth Equity Fund and the International Equity Fund, as each benefited from the acceleration of global growth and strong excess return from security selection.
The Fund outperformed its composite benchmark in 2017 (25.49% versus 23.56%). The largest contributor to relative outperformance was the Non-U.S. Equity Select Funds allocation. The U.S. Equity Select Fund also contributed to relative outperformance.
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 positive impact on Fund performance for the year.
The Fund attempted to achieve its objective, through investments in the Select Funds, by combining a greater percentage of U.S. equity securities with a smaller percentage of international equity securities. By investing in the Fund you will also incur the expenses and risks of the underlying Select Funds. 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. Securities of foreign issuers may be negatively impacted by political events, economic conditions or inefficient, illiquid or unregulated markets in foreign countries, and they also may be subject to inadequate regulatory or accounting standards, which may increase investment risk. 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, 2017, 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 | | | 58.8 | |
Non-U.S. Equity Select Funds | | | 39.1 | |
Fixed Income Select Funds | | | 2.0 | |
U.S. Treasury Obligation | | | 0.1 | |
Money Market Funds | | | — | ** |
| | | 100.0 | |
| | | | |
**Rounds to less than 0.05%
| | | | |
| 58 | | See Notes to Financial Statements. | | |
Aggressive Allocation Fund (Unaudited)
| | | | | | |
| Average Annual Total Returns as of 12/31/17 |
| | | Institutional Class | | Investor Class* | | Benchmark** |
One Year | | 25.88% | | 25.49% | | 23.56% |
Five Year | | N/A | | 11.41% | | 12.06% |
Ten Year | | N/A | | 5.41% | | 6.14% |
Since Inception(1) | | 13.39% | | 6.19% | | 6.92% |
Inception Date | | 11/23/15 | | 08/27/01 | | |
Total Fund Operating Expenses (May 1, 2017 Prospectus as amended July 1, 2017)(2) | | 0.95% | | 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, 2007 to December 31, 2017, 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 2017, 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.
| | | | |
| | See Notes to Financial Statements. | | 59 |
| | |
AGGRESSIVE ALLOCATION FUND | | |
SCHEDULE OF INVESTMENTS | | December 31, 2017 |
| | | | | | | | |
| | | Shares | | | Value | |
MUTUAL FUNDS — 99.9% | |
GuideStone Money Market Fund (Institutional Class)¥ | | | 21,357,386 | | | $ | 21,357,386 | |
GuideStone Value Equity Fund (Institutional Class)¥ | | | 12,593,152 | | | | 286,620,148 | |
GuideStone Growth Equity Fund (Institutional Class)¥ | | | 11,153,511 | | | | 280,845,400 | |
GuideStone Small Cap Equity Fund (Institutional Class)¥ | | | 3,081,019 | | | | 56,567,504 | |
GuideStone International Equity Fund (Institutional Class)¥ | | | 20,453,666 | | | | 321,531,630 | |
GuideStone Emerging Markets Equity Fund (Institutional Class)¥ | | | 8,451,663 | | | | 92,968,292 | |
| | | | | | | | |
Total Mutual Funds
(Cost $1,039,243,569) | | | | | | | 1,059,890,360 | |
| | | | | | | | |
MONEY MARKET FUNDS — 0.0% | |
Northern Institutional
U.S. Government
Portfolio
(Cost $12,217) | | | 12,217 | | | | 12,217 | |
| | | | | | | | |
| | | | | | | | |
| | | Par | | | Value | |
U.S. TREASURY OBLIGATION — 0.1% | | | | | | | | |
U.S. Treasury Bill | | | | | | | | |
1.42%, 06/07/18W‡‡
(Cost $993,851) | | $ | 1,000,000 | | | $ | 993,663 | |
| | | | | | | | |
TOTAL INVESTMENTS — 100.0%
(Cost $1,040,249,637) | | | | 1,060,896,240 | |
Liabilities in Excess of Other Assets — (0.0)% | | | | | | | (396,802 | ) |
| | | | | | | | |
NET ASSETS — 100.0% | | | | | | $ | 1,060,499,438 | |
| | | | | | | | |
Futures Contracts outstanding at December 31, 2017:
| | | | | | | | | | | | | | | | | | | | |
Future Type | | Expiration Date | | | Open Long
(Short) Contracts | | | Notional
Market Value
of Contracts | | | Counter-
party | | | Value and
Unrealized
Appreciation
(Depreciation) | |
MSCI EAFE Index E-Mini | | | 03/2018 | | | | 67 | | | $ | 6,852,425 | | | | GSC | | | $ | 84,229 | |
MSCI Emerging Markets E-Mini | | | 03/2018 | | | | 31 | | | | 1,803,735 | | | | GSC | | | | 88,837 | |
S&P 500® E-Mini | | | 03/2018 | | | | 98 | | | | 13,112,400 | | | | GSC | | | | 135,678 | |
| | | | | | | | | | | | | | | | | | | | |
Total Futures Contracts outstanding at December 31, 2017 | | | | | | | | | | $ | 21,768,560 | | | | | | | $ | 308,744 | |
| | | | | | | | | | | | | | | | | | | | |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2017, in valuing the Fund’s investments carried at fair value:
| | | | | | | | | | | | | | | | |
| | | Total
Value | | | Level 1
Quoted Prices | | | Level 2
Other Significant
Observable Inputs | | | Level 3
Significant
Unobservable Inputs | |
Assets: | | | | | | | | | | | | | | | | |
Investments in Securities: | | | | | | | | | | | | | | | | |
Money Market Funds | | $ | 12,217 | | | $ | 12,217 | | | $ | — | | | $ | — | |
Mutual Funds | | | 1,059,890,360 | | | | 1,059,890,360 | | | | — | | | | — | |
U.S. Treasury Obligation | | | 993,663 | | | | — | | | | 993,663 | | | | — | |
| | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | $ | 1,060,896,240 | | | $ | 1,059,902,577 | | | $ | 993,663 | | | $ | — | |
| | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 308,744 | | | $ | 308,744 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | $ | 308,744 | | | $ | 308,744 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
***Other financial instruments are derivative instruments, 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 preceding “Futures Contracts outstanding” disclosure.
There were no transfers between Level 1, Level 2 and Level 3 during the year ended December 31, 2017.
| | | | |
| 60 | | See Notes to Financial Statements. | | |
| | |
STATEMENTS OF ASSETS AND LIABILITIES | | December 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | Conservative
Allocation Fund | | | Balanced
Allocation Fund | | | Growth
Allocation Fund | | | Aggressive
Allocation Fund | |
Assets | | | | | | | | | | | | | | | | |
Investments in securities of unaffiliated issuers, at value | | $ | 298,099 | | | $ | 993,662 | | | $ | 1,001,350 | | | $ | 1,005,880 | |
Investments in securities of affiliated issuers, at value | | | 512,696,355 | | | | 1,613,729,587 | | | | 1,251,701,742 | | | | 1,059,890,360 | |
| | | | | | | | | | | | | | | | |
Total investments, at value(1) | | | 512,994,454 | | | | 1,614,723,249 | | | | 1,252,703,092 | | | | 1,060,896,240 | |
Receivables: | | | | | | | | | | | | | | | | |
Dividends from affiliated funds | | | 6,147 | | | | 30,230 | | | | 22,596 | | | | 17,798 | |
Fund shares sold | | | 192,014 | | | | 194,935 | | | | 111,886 | | | | 11,500 | |
Variation margin on financial futures contracts | | | 1,217 | | | | 25,265 | | | | 16,182 | | | | 9,040 | |
Prepaid expenses and other assets | | | 8,436 | | | | 9,292 | | | | 8,680 | | | | 7,596 | |
| | | | | | | | | | | | | | | | |
Total Assets | | | 513,202,268 | | | | 1,614,982,971 | | | | 1,252,862,436 | | | | 1,060,942,174 | |
| | | | | | | | | | | | | | | | |
Liabilities | | | | | | | | | | | | | | | | |
Cash Overdraft | | | 2,302 | | | | 4,025 | | | | 210 | | | | 187 | |
Payables: | | | | | | | | | | | | | | | | |
Fund shares redeemed | | | 2,515 | | | | 32,755 | | | | 54,091 | | | | 60,978 | |
Variation margin on financial futures contracts | | | 2,438 | | | | 37,050 | | | | 40,950 | | | | 47,775 | |
Accrued expenses: | | | | | | | | | | | | | | | | |
Investment advisory fees | | | 43,621 | | | | 136,207 | | | | 105,185 | | | | 88,737 | |
Professional fees | | | 31,576 | | | | 17,876 | | | | 17,876 | | | | 17,876 | |
Shareholder servicing fees | | | 90,521 | | | | 270,144 | | | | 204,449 | | | | 180,818 | |
Other expenses | | | 62,498 | | | | 84,603 | | | | 54,919 | | | | 46,365 | |
| | | | | | | | | | | | | | | | |
Total Liabilities | | | 235,471 | | | | 582,660 | | | | 477,680 | | | | 442,736 | |
| | | | | | | | | | | | | | | | |
Net Assets | | $ | 512,966,797 | | | $ | 1,614,400,311 | | | $ | 1,252,384,756 | | | $ | 1,060,499,438 | |
| | | | | | | | | | | | | | | | |
Net Assets Consist of: | | | | | | | | | | | | | | | | |
Paid-in-capital | | $ | 505,418,228 | | | $ | 1,586,187,998 | | | $ | 1,229,326,761 | | | $ | 1,031,339,476 | |
Accumulated net investment income | | | 5,152,978 | | | | 27,255,194 | | | | 19,660,783 | | | | 15,164,049 | |
Undistributed net realized loss on investments and derivative transactions | | | (3,051,335 | ) | | | (16,639,536 | ) | | | (10,818,322 | ) | | | (6,959,434 | ) |
Net unrealized appreciation (depreciation) on investments and derivative transactions | | | 5,446,926 | | | | 17,596,655 | | | | 14,215,534 | | | | 20,955,347 | |
| | | | | | | | | | | | | | | | |
Net Assets | | $ | 512,966,797 | | | $ | 1,614,400,311 | | | $ | 1,252,384,756 | | | $ | 1,060,499,438 | |
| | | | | | | | | | | | | | | | |
Net Asset Value: | | | | | | | | | | | | | | | | |
$0.001 par value, unlimited shares authorized | | | | | | | | | | | | | | | | |
Net assets applicable to the Institutional Class | | $ | 85,482,360 | | | $ | 334,113,850 | | | $ | 279,147,713 | | | $ | 195,991,322 | |
| | | | | | | | | | | | | | | | |
Institutional shares outstanding | | | 7,453,571 | | | | 27,465,369 | | | | 22,455,261 | | | | 15,964,518 | |
| | | | | | | | | | | | | | | | |
Net asset value, offering and redemption price per Institutional share | | $ | 11.47 | | | $ | 12.16 | | | $ | 12.43 | | | $ | 12.28 | |
| | | | | | | | | | | | | | | | |
Net assets applicable to the Investor Class | | $ | 427,484,437 | | | $ | 1,280,286,461 | | | $ | 973,237,043 | | | $ | 864,508,116 | |
| | | | | | | | | | | | | | | | |
Investor shares outstanding | | | 37,282,213 | | | | 105,266,996 | | | | 78,338,168 | | | | 70,650,651 | |
| | | | | | | | | | | | | | | | |
Net asset value, offering and redemption price per Investor share | | $ | 11.47 | | | $ | 12.16 | | | $ | 12.42 | | | $ | 12.24 | |
| | | | | | | | | | | | | | | | |
| | | | |
(1) Investments in securities of unaffiliated issuers, at cost | | $ | 298,155 | | | $ | 993,851 | | | $ | 1,001,539 | | | $ | 1,006,068 | |
Investments in securities of affiliated issuers, at cost | | | 507,253,769 | | | | 1,596,348,194 | | | | 1,237,781,849 | | | | 1,039,243,569 | |
| | | | | | | | | | | | | | | | |
Total investments, at cost | | $ | 507,551,924 | | | $ | 1,597,342,045 | | | $ | 1,238,783,388 | | | $ | 1,040,249,637 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 61 |
| | |
STATEMENTS OF OPERATIONS | | For the Year Ended December 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | Conservative
Allocation Fund | | | Balanced
Allocation Fund | | | Growth
Allocation Fund | | | Aggressive
Allocation Fund | |
Investment Income | | | | | | | | | | | | | | | | |
Income distributions received from affiliated funds | | $ | 7,882,842 | | | $ | 26,597,649 | | | $ | 17,866,774 | | | $ | 10,932,607 | |
Interest | | | — | | | | 7,126 | | | | 8,702 | | | | 9,608 | |
| | | | | | | | | | | | | | | | |
Total Investment Income | | | 7,882,842 | | | | 26,604,775 | | | | 17,875,476 | | | | 10,942,215 | |
| | | | | | | | | | | | | | | | |
Expenses | | | | | | | | | | | | | | | | |
Investment advisory fees | | | 490,496 | | | | 1,563,542 | | | | 1,184,550 | | | | 975,727 | |
Transfer agent fees: | | | | | | | | | | | | | | | | |
Institutional shares | | | 3,812 | | | | 4,125 | | | | 3,837 | | | | 3,757 | |
Investor shares | | | 65,923 | | | | 79,835 | | | | 54,789 | | | | 42,812 | |
Custodian fees | | | 25,840 | | | | 27,892 | | | | 24,394 | | | | 18,887 | |
Shareholder servicing fees: | | | | | | | | | | | | | | | | |
Investor shares | | | 1,008,714 | | | | 3,063,748 | | | | 2,288,953 | | | | 1,975,660 | |
Accounting and administration fees | | | 39,287 | | | | 93,286 | | | | 70,629 | | | | 58,128 | |
Professional fees | | | 85,393 | | | | 71,705 | | | | 71,705 | | | | 71,705 | |
Blue sky fees: | | | | | | | | | | | | | | | | |
Institutional shares | | | 41,693 | | | | 44,415 | | | | 42,828 | | | | 39,910 | |
Investor shares | | | 45,484 | | | | 34,811 | | | | 27,176 | | | | 24,484 | |
Trustees expenses | | | 5,131 | | | | 15,911 | | | | 12,234 | | | | 10,083 | |
Line of credit facility fees and interest expense | | | 3,287 | | | | 11,464 | | | | 8,398 | | | | 7,040 | |
Interest expense | | | 2,223 | | | | — | | | | — | | | | — | |
Other expenses | | | 49,116 | | | | 33,106 | | | | 21,930 | | | | 22,194 | |
| | | | | | | | | | | | | | | | |
Total Expenses | | | 1,866,399 | | | | 5,043,840 | | | | 3,811,423 | | | | 3,250,387 | |
Expenses waived/reimbursed(1) | | | (28,966 | ) | | | (97,975 | ) | | | (56,113 | ) | | | (1,981 | ) |
| | | | | | | | | | | | | | | | |
Net Expenses | | | 1,837,433 | | | | 4,945,865 | | | | 3,755,310 | | | | 3,248,406 | |
| | | | | | | | | | | | | | | | |
Net Investment Income | | | 6,045,409 | | | | 21,658,910 | | | | 14,120,166 | | | | 7,693,809 | |
| | | | | | | | | | | | | | | | |
Realized and Unrealized Gain (Loss) | | | | | | | | | | | | | | | | |
Capital gain distributions received from affiliated funds | | | 9,037,143 | | | | 49,399,079 | | | | 58,557,505 | | | | 67,508,527 | |
Net realized loss on investment securities of affiliated issuers | | | (3,435,563 | ) | | | (17,582,833 | ) | | | (6,857,239 | ) | | | (1,750,363 | ) |
Net realized gain on futures transactions | | | 613,309 | | | | 4,420,840 | | | | 3,630,088 | | | | 3,436,540 | |
| | | | | | | | | | | | | | | | |
Net realized gain | | | 6,214,889 | | | | 36,237,086 | | | | 55,330,354 | | | | 69,194,704 | |
| | | | | | | | | | | | | | | | |
Change in unrealized appreciation (depreciation) on investment securities of affiliated issuers | | | 20,201,824 | | | | 123,491,373 | | | | 131,375,083 | | | | 141,991,873 | |
Change in unrealized appreciation (depreciation) on investment securities of unaffiliated issuers | | | (49 | ) | | | (85 | ) | | | (95 | ) | | | (74 | ) |
Change in unrealized appreciation (depreciation) on futures | | | 12,345 | | | | 337,524 | | | | 436,757 | | | | 407,808 | |
| | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) | | | 20,214,120 | | | | 123,828,812 | | | | 131,811,745 | | | | 142,399,607 | |
| | | | | | | | | | | | | | | | |
Net Realized and Unrealized Gain | | | 26,429,009 | | | | 160,065,898 | | | | 187,142,099 | | | | 211,594,311 | |
| | | | | | | | | | | | | | | | |
Net Increase in Net Assets Resulting from Operations | | $ | 32,474,418 | | | $ | 181,724,808 | | | $ | 201,262,265 | | | $ | 219,288,120 | |
| | | | | | | | | | | | | | | | |
(1) See Note 3a and 3c in Notes to Financial Statements.
| | | | |
| 62 | | See Notes to Financial Statements. | | |
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63
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | | | | | | | | | |
| | | Conservative Allocation Fund | | | Balanced Allocation Fund | |
| | | For the Year Ended | | | For the Year Ended | |
| | | 12/31/17 | | | 12/31/16 | | | 12/31/17 | | | 12/31/16 | |
Operations: | | | | | | | | | | | | | | | | |
Net investment income | | $ | 6,045,409 | | | $ | 5,223,370 | | | $ | 21,658,910 | | | $ | 26,363,164 | |
Net realized gain on investment securities and futures transactions | | | 6,214,889 | | | | 320,918 | | | | 36,237,086 | | | | 2,297,805 | |
Net change in unrealized appreciation (depreciation) on investment securities and futures | | | 20,214,120 | | | | 12,270,192 | | | | 123,828,812 | | | | 72,281,388 | |
| | | | | | | | | | | | | | | | |
Net increase in net assets resulting from operations | | | 32,474,418 | | | | 17,814,480 | | | | 181,724,808 | | | | 100,942,357 | |
| | | | | | | | | | | | | | | | |
Dividends and Distributions to Shareholders: | | | | | | | | | | | | | | | | |
Dividends from net investment income | | | | | | | | | | | | | | | | |
Institutional shares | | | (363,818 | ) | | | (928,687 | ) | | | (4,352,882 | ) | | | (2,483,236 | ) |
Investor shares | | | (907,016 | ) | | | (3,024,270 | ) | | | (13,704,307 | ) | | | (5,829,103 | ) |
Distributions from net realized capital gains | | | | | | | | | | | | | | | | |
Institutional shares | | | (1,195,256 | ) | | | (951,614 | ) | | | (4,343,325 | ) | | | (8,586,401 | ) |
Investor shares | | | (5,832,761 | ) | | | (3,903,129 | ) | | | (16,711,610 | ) | | | (30,595,881 | ) |
| | | | | | | | | | | | | | | | |
Total dividends and distributions | | | (8,298,851 | ) | | | (8,807,700 | ) | | | (39,112,124 | ) | | | (47,494,621 | ) |
| | | | | | | | | | | | | | | | |
Capital Share Transactions: | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | | | | | | | | | | | | | | |
Institutional shares | | | 28,983,265 | | | | 10,866,018 | | | | 42,494,809 | | | | 13,574,551 | |
Investor shares | | | 121,045,545 | | | | 39,269,297 | | | | 68,762,452 | | | | 44,406,902 | |
Shares issued from Merger(1) | | | | | | | | | | | | | | | | |
Investor shares | | | 105,467,529 | | | | — | | | | — | | | | — | |
Reinvestment of dividends and distributions | | | | | | | | | | | | | | | | |
Institutional shares | | | 1,551,407 | | | | 1,869,987 | | | | 8,648,353 | | | | 11,040,091 | |
Investor shares | | | 6,736,883 | | | | 6,923,060 | | | | 30,408,884 | | | | 36,418,219 | |
| | | | | | | | | | | | | | | | |
Total proceeds from shares sold and reinvested | | | 263,784,629 | | | | 58,928,362 | | | | 150,314,498 | | | | 105,439,763 | |
| | | | | | | | | | | | | | | | |
Value of shares redeemed | | | | | | | | | | | | | | | | |
Institutional shares | | | (24,731,445 | ) | | | (10,009,301 | ) | | | (73,970,553 | ) | | | (42,649,048 | ) |
Investor shares | | | (131,895,052 | ) | | | (42,185,083 | ) | | | (87,585,030 | ) | | | (157,414,729 | ) |
| | | | | | | | | | | | | | | | |
Total value of shares redeemed | | | (156,626,497 | ) | | | (52,194,384 | ) | | | (161,555,583 | ) | | | (200,063,777 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) from capital share transactions(2) | | | 107,158,132 | | | | 6,733,978 | | | | (11,241,085 | ) | | | (94,624,014 | ) |
| | | | | | | | | | | | | | | | |
Total increase (decrease) in net assets | | | 131,333,699 | | | | 15,740,758 | | | | 131,371,599 | | | | (41,176,278 | ) |
| | | | | | | | | | | | | | | | |
Net Assets: | | | | | | | | | | | | | | | | |
Beginning of Year | | | 381,633,098 | | | | 365,892,340 | | | | 1,483,028,712 | | | | 1,524,204,990 | |
| | | | | | | | | | | | | | | | |
End of Year* | | $ | 512,966,797 | | | $ | 381,633,098 | | | $ | 1,614,400,311 | | | $ | 1,483,028,712 | |
| | | | | | | | | | | | | | | | |
*Including undistributed net investment income | | $ | 5,152,978 | | | $ | 1,270,413 | | | $ | 27,255,194 | | | $ | 18,045,922 | |
| | | | | | | | | | | | | | | | |
| (1) | See Note 1 in Notes to Financial Statements. |
| (2) | See Note 6 in Notes to Financial Statements. |
| | | | |
| 64 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | |
| Growth Allocation Fund | | | Aggressive Allocation Fund | |
| For the Year Ended | | | For the Year Ended | |
| 12/31/17 | | | 12/31/16 | | | 12/31/17 | | | 12/31/16 | |
| | | | | | | | | | | | | | |
| $ | 14,120,166 | | | $ | 16,476,023 | | | $ | 7,693,809 | | | $ | 9,273,357 | |
| 55,330,354 | | | | 6,695,084 | | | | 69,194,704 | | | | 8,200,735 | |
| 131,811,745 | | | | 50,902,584 | | | | 142,399,607 | | | | 39,337,329 | |
| | | | | | | | | | | | | | |
| | 201,262,265 | | | | 74,073,691 | | | | 219,288,120 | | | | 56,811,421 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | (2,439,768 | ) | | | (2,219,710 | ) | | | (2,123,426 | ) | | | — | |
| | (6,311,843 | ) | | | (5,509,420 | ) | | | (7,542,741 | ) | | | — | |
| | | | | | | | | | | | | | |
| | (10,773,669 | ) | | | (11,665,660 | ) | | | (11,458,334 | ) | | | (14,529,604 | ) |
| | (37,730,860 | ) | | | (40,312,926 | ) | | | (50,772,473 | ) | | | (61,769,042 | ) |
| | | | | | | | | | | | | | |
| | (57,256,140 | ) | | | (59,707,716 | ) | | | (71,896,974 | ) | | | (76,298,646 | ) |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | 11,722,106 | | | | 9,777,898 | | | | 5,993,845 | | | | 5,702,265 | |
| | 44,551,351 | | | | 26,960,487 | | | | 31,226,891 | | | | 15,744,951 | |
| | | | | | | | | | | | | | |
| | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | |
| | 13,192,179 | | | | 13,871,071 | | | | 13,577,714 | | | | 14,525,136 | |
| | 44,033,935 | | | | 45,817,706 | | | | 58,306,688 | | | | 61,766,425 | |
| | | | | | | | | | | | | | |
| | 113,499,571 | | | | 96,427,162 | | | | 109,105,138 | | | | 97,738,777 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | (22,885,997 | ) | | | (30,033,973 | ) | | | (17,607,915 | ) | | | (19,296,176 | ) |
| | (69,886,447 | ) | | | (108,056,691 | ) | | | (52,785,968 | ) | | | (150,902,912 | ) |
| | | | | | | | | | | | | | |
| | (92,772,444 | ) | | | (138,090,664 | ) | | | (70,393,883 | ) | | | (170,199,088 | ) |
| | | | | | | | | | | | | | |
| | 20,727,127 | | | | (41,663,502 | ) | | | 38,711,255 | | | | (72,460,311 | ) |
| | | | | | | | | | | | | | |
| | 164,733,252 | | | | (27,297,527 | ) | | | 186,102,401 | | | | (91,947,536 | ) |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | 1,087,651,504 | | | | 1,114,949,031 | | | | 874,397,037 | | | | 966,344,573 | |
| | | | | | | | | | | | | | |
| $ | 1,252,384,756 | | | $ | 1,087,651,504 | | | $ | 1,060,499,438 | | | $ | 874,397,037 | |
| | | | | | | | | | | | | | |
| $ | 19,660,783 | | | $ | 8,746,893 | | | $ | 15,164,049 | | | $ | 9,664,868 | |
| | | | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 65 |
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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2017 | | | $10.88 | | | | $0.16 | # | | | $0.20 | | | | $0.44 | | | | $(0.05 | ) | | | $(0.16 | ) | | | $11.47 | | | | 7.33 | % | | | $85,482 | | | | 0.19 | % | | | 0.19 | % | | | 1.40 | % | | | 19 | % |
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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2017 | | | $10.88 | | | | $0.13 | # | | | $0.21 | | | | $0.43 | | | | $(0.02 | ) | | | $(0.16 | ) | | | $11.47 | | | | 7.11 | % | | | $427,485 | | | | 0.42 | % | | | 0.42 | % | | | 1.19 | % | | | 19 | % |
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 | |
Balanced Allocation Fund | |
| | | | | | | | | | |
Institutional Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2017 | | | $11.09 | | | | $0.19 | # | | | $1.39 | | | | $(0.19 | ) | | �� | $(0.16 | ) | | | $(0.16 | ) | | | $12.16 | | | | 12.57 | % | | | $334,114 | | | | 0.12 | % | | | 0.13 | % | | | 1.57 | % | | | 19 | % |
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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2017 | | | $11.09 | | | | $0.16 | # | | | $0.10 | | | | $1.10 | | | | $(0.13 | ) | | | $(0.16 | ) | | | $12.16 | | | | 12.30 | % | | | $1,280,286 | | | | 0.37 | % | | | 0.38 | % | | | 1.34 | % | | | 19 | % |
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 | |
| # | 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. The estimated acquired fund fees which are incurred directly by the underlying funds for the Conservative Allocation Fund, Balanced Allocation Fund, Growth Allocation Fund and Aggressive Allocation Fund were 0.51%, 0.63%, 0.75% and 0.82%, respectively for 2017, and are deducted from the value of the funds in which each Fund invests and is included in each Fund’s total return. |
| (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. |
| | | | |
| 66 | | 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 | |
Growth Allocation Fund | |
| | | | | | | | | | |
Institutional Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2017 | | | $10.97 | | | | $0.17 | # | | | $0.60 | | | | $1.30 | | | | $(0.11 | ) | | | $(0.50 | ) | | | $12.43 | | | | 18.94 | % | | | $279,148 | | | | 0.13 | % | | | 0.13 | % | | | 1.38 | % | | | 17 | % |
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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2017 | | | $10.97 | | | | $0.14 | # | | | $0.60 | | | | $1.29 | | | | $(0.08 | ) | | | $(0.50 | ) | | | $12.42 | | | | 18.59 | % | | | $973,237 | | | | 0.37 | % | | | 0.37 | % | | | 1.14 | % | | | 17 | % |
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 | |
Aggressive Allocation Fund | |
| | | | | | | | | | |
Institutional Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2017 | | | $10.48 | | | | $0.12 | # | | | $0.82 | | | | $1.76 | | | | $(0.13 | ) | | | $(0.77 | ) | | | $12.28 | | | | 25.88 | % | | | $195,991 | | | | 0.14 | % | | | 0.14 | % | | | 0.98 | % | | | 7 | % |
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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2017 | | | $10.46 | | | | $0.09 | # | | | $0.82 | | | | $1.75 | | | | $(0.11 | ) | | | $(0.77 | ) | | | $12.24 | | | | 25.49 | % | | | $864,508 | | | | 0.38 | % | | | 0.38 | % | | | 0.75 | % | | | 7 | % |
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 | |
| # | 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. The estimated acquired fund fees which are incurred directly by the underlying funds for the Conservative Allocation Fund, Balanced Allocation Fund, Growth Allocation Fund and Aggressive Allocation Fund were 0.51%, 0.63%, 0.75% and 0.82%, respectively for 2017, and are deducted from the value of the funds in which each Fund invests and is included in each Fund’s total return. |
| (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. | | 67 |
Money Market Fund (Unaudited)
The Federal Open Market Committee (“FOMC”) continued to unwind its post-crisis stimulus with three 0.25% increases to the federal funds rate in 2017 to a target range of 1.25%-1.50%. This range remains very accommodative and is in line with the FOMC’s goal of maintaining economic expansion while holding inflation near their 2.00% target. Despite the increases in the federal funds rate, short-term rates remained at historically low levels throughout the year, which negatively impacted the returns available to investors.
Given the low interest rate environment, which persisted throughout 2017, money market funds (which are lenders to borrowers at short-term interest rates) experienced another year of moderate returns. At the end of 2017, the three-month U.S. Treasury Bill was yielding 1.37%, although the rate was approximately 0.96% for most of the year. Consequently, the low yield environment made it difficult for money market funds across the industry to post returns, net of expenses, above those of their respective benchmarks, including the Fund.
The Fund is a government money market fund and invested 99.50% or more of its assets in eligible government money market fund securities. 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 0.51% for the one-year period ended December 31, 2017, as compared to a 0.82% return for its benchmark, the ICE BofAML U.S. 3 Month Treasury Bill Index. 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 44 days, compared to 42 days at the end of 2016. In the midst of the difficult interest rate and economic environment, the management of the Fund remained true and steadfast to its investment objective to maximize current income to the extent consistent with the preservation of capital and liquidity, and the maintenance of a stable per share NAV of $1.00.
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 equity investments.
You could lose money by investment in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not insured or guaranteed by the Federal Depository Insurance Corporation or any other governmental agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. Yield for the Fund represents the annualization of the Fund’s declared dividends over the period indicated, excluding capital gains distributions.
At December 31, 2017, 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 | | | 46.4 | |
Repurchase Agreements | | | 37.7 | |
U.S. Treasury Obligations | | | 19.2 | |
Money Market Funds | | | — | ** |
| | | | |
| | | 103.3 | |
| | | | |
**Rounds to less than 0.05%
68
Money Market Fund (Unaudited)
| | | | | | |
Average Annual Total Returns as of 12/31/17 |
| | | Institutional Class* | | Investor Class* | | Benchmark |
One Year | | 0.76% | | 0.51% | | 0.82% |
Five Year | | 0.24% | | 0.12% | | 0.24% |
Ten year | | 0.49% | | 0.36% | | 0.34% |
Since Inception | | 1.39% | | 1.27% | | 1.27% |
Inception Date | | 08/27/01 | | 08/27/01 | | |
Total Fund Operating Expenses (May 1, 2017 Prospectus as amended
July 1, 2017)(1) | | 0.17% | | 0.41% | | |
| | | | |
| Yield as of 12/31/17(2) |
| | | Institutional Class* | | Investor Class* |
7-Day Annualized Yield (Net) | | 1.15% | | 0.89% |
7-Day Annualized Yield (Gross) | | 1.30% | | 1.30% |
| (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. 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 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, 2007 to December 31, 2017, with all dividends and capital gains reinvested, with the ICE BofAML 0-3 Month U.S. 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.
69
| | |
MONEY MARKET FUND | | |
SCHEDULE OF INVESTMENTS | | December 31, 2017 |
| | | | | | | | | | | | |
| | | Par | | | | | | Value | |
AGENCY OBLIGATIONS — 46.4% | |
Federal Farm Credit Bank | | | | | | | | | | | | |
0.75%, 04/18/18 | | $ | 15,149,000 | | | | | | | $ | 15,128,535 | |
Federal Farm Credit Bank Discount Notes | | | | | | | | | | | | |
0.87%, 01/11/18 | | | 7,760,000 | | | | | | | | 7,758,146 | |
1.06%, 02/08/18 | | | 6,166,000 | | | | | | | | 6,159,166 | |
1.54%, 08/10/18 | | | 1,065,000 | | | | | | | | 1,055,063 | |
Federal Home Loan Bank | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M-
0.10%), 1.47%, 01/02/18† | | | 13,000,000 | | | | | | | | 13,000,000 | |
(Floating, ICE LIBOR USD 1M-
0.12%), 1.45%, 01/03/18† | | | 10,000,000 | | | | | | | | 10,000,000 | |
(Floating, ICE LIBOR USD 1M -
0.14%), 1.24%, 01/05/18† | | | 21,360,000 | | | | | | | | 21,360,000 | |
(Floating, ICE LIBOR USD 1M -
0.07%), 1.36%, 01/11/18† | | | 2,825,000 | | | | | | | | 2,826,109 | |
(Floating, ICE LIBOR USD 1M -
0.06%), 1.37%, 01/11/18† | | | 10,000,000 | | | | | | | | 10,000,000 | |
(Floating, ICE LIBOR USD 1M -
0.14%), 1.32%, 01/13/18† | | | 25,625,000 | | | | | | | | 25,625,000 | |
(Floating, ICE LIBOR USD 1M -
0.15%), 1.33%, 01/15/18† | | | 4,970,000 | | | | | | | | 4,970,000 | |
(Floating, ICE LIBOR USD 1M -
0.13%), 1.36%, 01/16/18† | | | 20,400,000 | | | | | | | | 20,400,000 | |
(Floating, ICE LIBOR USD 1M -
0.15%), 1.35%, 01/17/18† | | | 25,390,000 | | | | | | | | 25,390,000 | |
(Floating, ICE LIBOR USD 1M -
0.15%), 1.39%, 01/22/18† | | | 9,940,000 | | | | | | | | 9,940,000 | |
(Floating, ICE LIBOR USD 1M -
0.09%), 1.46%, 01/25/18† | | | 7,080,000 | | | | | | | | 7,080,000 | |
(Floating, ICE LIBOR USD 3M -
0.11%), 1.28%, 02/05/18 | | | 7,000,000 | | | | | | | | 7,000,000 | |
(Floating, ICE LIBOR USD 3M -
0.35%), 1.05%, 02/09/18† | | | 6,000,000 | | | | | | | | 6,000,000 | |
1.38%, 03/09/18 | | | 9,500,000 | | | | | | | | 9,504,689 | |
(Floating, ICE LIBOR USD 3M -
0.16%), 1.39%, 03/12/18† | | | 3,695,000 | | | | | | | | 3,693,612 | |
(Floating, ICE LIBOR USD 3M -
0.33%), 1.23%, 03/13/18† | | | 20,000,000 | | | | | | | | 20,000,000 | |
0.88%, 03/19/18 | | | 34,500,000 | | | | | | | | 34,478,557 | |
(Floating, ICE LIBOR USD 3M -
0.14%), 1.47%, 03/19/18† | | | 4,765,000 | | | | | | | | 4,765,000 | |
(Floating, ICE LIBOR USD 3M -
0.16%), 1.47%, 03/20/18† | | | 21,140,000 | | | | | | | | 21,140,000 | |
Federal Home Loan Bank Discount Notes | | | | | | | | | | | | |
1.13%, 01/17/18 | | | 17,500,000 | | | | | | | | 17,491,289 | |
1.14%, 01/19/18 | | | 20,000,000 | | | | | | | | 19,988,660 | |
1.20%, 01/24/18 | | | 39,825,000 | | | | | | | | 39,794,379 | |
1.11%, 01/29/18 | | | 55,070,000 | | | | | | | | 55,023,313 | |
1.15%, 01/31/18 | | | 14,560,000 | | | | | | | | 14,546,131 | |
1.22%, 02/02/18 | | | 14,500,000 | | | | | | | | 14,484,533 | |
1.22%, 02/07/18 | | | 11,000,000 | | | | | | | | 10,986,264 | |
| | | | | | | | | | | | |
| | | Par | | | | | | Value | |
1.31%, 03/07/18 | | $ | 11,320,000 | | | | | | | $ | 11,293,348 | |
1.18%, 03/28/18 | | | 4,780,000 | | | | | | | | 4,766,583 | |
1.48%, 06/06/18 | | | 5,500,000 | | | | | | | | 5,464,989 | |
Federal Home Loan Mortgage Corporation | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M -
0.03%), 1.32%, 01/08/18† | | | 5,870,000 | | | | | | | | 5,870,000 | |
(Floating, ICE LIBOR USD 3M -
0.03%), 1.33%, 01/12/18† | | | 5,870,000 | | | | | | | | 5,870,000 | |
(Floating, ICE LIBOR USD 3M +
0.02%), 1.54%, 03/08/18† | | | 7,000,000 | | | | | | | | 7,000,000 | |
1.33%, 06/27/18 | | | 4,000,000 | | | | | | | | 3,999,906 | |
0.88%, 10/12/18 | | | 8,370,000 | | | | | | | | 8,321,579 | |
Federal Home Loan Mortgage Corporation Discount Note 1.11%, 02/16/18 | | | 2,695,000 | | | | | | | | 2,691,246 | |
Federal National Mortgage Association | | | | | | | | | | | | |
0.88%, 03/28/18 0.88%, 05/21/18 | |
| 15,440,000
9,040,000 |
| | | | | |
| 15,431,797
9,027,634 |
|
| | | | | | | | | | | | |
Total Agency Obligations
(Cost $539,325,528) | | | | | | | | | | | 539,325,528 | |
| | | | | | | | | | | | |
U.S. TREASURY OBLIGATIONS — 19.2% | |
U.S. Treasury Bills | | | | | | | | | | | | |
1.18%, 03/22/18W | | | 1,350,000 | | | | | | | | 1,346,460 | |
1.24%, 03/29/18W | | | 79,225,000 | | | | | | | | 78,985,786 | |
1.19%, 04/05/18W | | | 22,070,000 | | | | | | | | 22,001,478 | |
1.26%, 05/03/18W | | | 15,000,000 | | | | | | | | 14,935,950 | |
1.43%, 05/31/18W | | | 14,050,000 | | | | | | | | 13,965,993 | |
1.45%, 06/07/18W | | | 18,095,000 | | | | | | | | 17,980,574 | |
1.45%, 06/14/18W | | | 2,700,000 | | | | | | | | 2,682,104 | |
1.50%, 06/21/18W | | | 895,000 | | | | | | | | 888,687 | |
1.53%, 06/28/18W | | | 25,000,000 | | | | | | | | 24,810,875 | |
| | | | | | | | | | | | |
| | | | | | | | | 177,597,907 | |
| | | | | | | | | | | | |
U.S. Treasury Floating
Rate Notes | | | | | | | | | | | | |
(Floating, U.S. Treasury 3M Bill
MMY + 0.17%), 1.61%,
01/01/18† | | | 6,000,000 | | | | | | | | 6,003,813 | |
(Floating, U.S. Treasury 3M Bill
MMY + 0.27%), 1.71%,
01/01/18† | | | 4,000,000 | | | | | | | | 3,999,930 | |
| | | | | | | | | | | | |
| | | | | | | | | 10,003,743 | |
| | | | | | | | | | | | |
U.S. Treasury Notes
0.75%, 02/28/18 | | | 14,520,000 | | | | | | | | 14,516,323 | |
2.38%, 06/30/18 | | | 16,000,000 | | | | | | | | 16,069,600 | |
1.38%, 07/31/18 | | | 5,790,000 | | | | | | | | 5,788,041 | |
| | | | | | | | | | | | |
| | | | | | | | | 36,373,964 | |
| | | | | | | | | | | | |
Total U.S. Treasury Obligations
(Cost $223,975,614) | | | | | | | | | | | 223,975,614 | |
| | | | | | | | | | | | |
| | | | |
| 70 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
MONEY MARKET FUNDS — 0.0% | |
Northern Institutional Funds - U.S. Government Select Portfolio (Cost $293,416) | | | 293,416 | | | | | | | $ | 293,416 | |
| | | Par | | | | | | | |
REPURCHASE AGREEMENTS — 37.7% | |
Bank of Montreal 1.36% (dated 12/29/17, due 01/02/18, repurchase price $40,006,000, collateralized by Federal Home Loan Banks, Federal Home Loan Mortgage Corporation and Federal National Mortgage Association, 2.000% to 4.500%, due 10/24/19 to 09/01/47, total market value $41,073,910) | | $ | 40,000,000 | | | | | | | | 40,000,000 | |
Bank of Nova Scotia | | | | | | | | | | | | |
1.35% (dated 12/29/17, due 01/02/18, repurchase price $40,006,000, collateralized by U.S. Treasury Bonds, 1.625% to 3.625%, due 05/31/23 to 04/15/28, total market value $40,806,202) | | | 40,000,000 | | | | | | | | 40,000,000 | |
BNP Paribas SA | | | | | | | | | | | | |
1.40% (dated 12/29/17, due 01/02/18, repurchase price $51,008,000, collateralized by Federal National Mortgage Association, Government National Mortgage Association and U.S. Treasury Bond, 1.250% to 8.000%, due 03/31/19 to 07/20/47, total market value $52,029,136) | | | 51,000,000 | | | | | | | | 51,000,000 | |
Citigroup Global Markets, Inc. | | | | | | | | | | | | |
1.40% (dated 12/29/17, due 01/02/18, repurchase price $10,002,000, collateralized by Federal Home Loan Mortgage Corporation and Federal National Mortgage Association, 4.000% to 4.500%, due 11/01/44 to 07/01/47, total market value $10,266,672) | | | 10,000,000 | | | | | | | | 10,000,000 | |
Goldman Sachs & Co. | | | | | | | | | | | | |
1.35% (dated 12/29/17, due 01/02/18, repurchase price $60,009,000, collateralized by Government National Mortgage Association, 3.500% to 4.500%, due 10/20/46 to 09/20/47, total market value $61,004,073) | | | 60,000,000 | | | | | | | | 60,000,000 | |
1.45% (dated 12/27/17, due 01/03/18, repurchase price $21,506,000, collateralized by Government National Mortgage Association, 3.000% to 5.000%, due 06/15/40 to 11/20/67, total market value $21,930,000) | | | 21,500,000 | | | | | | | | 21,500,000 | |
| | | | | | | | | | | | |
| | | Par | | | | | | Value | |
HSBC Securities USA, Inc. | | | | | | | | | | | | |
1.35% (dated 12/26/17, due 01/02/18, repurchase price $7,002,000, collateralized by U.S. Treasury Bill and U.S. Treasury Bond , 0.000% to 0.375%, due 09/13/18 to 07/15/27, total market value $7,143,845) | | $ | 7,000,000 | | | | | | | $ | 7,000,000 | |
1.38% (dated 12/29/17, due 01/02/18, repurchase price $50,008,000, collateralized by U.S. Treasury Bond, 2.125% to 2.125%, due 09/30/24, total market value $51,004,704) | | | 50,000,000 | | | | | | | | 50,000,000 | |
1.34% (dated 12/27/17, due 01/03/18, repurchase price $12,003,000, collateralized by U.S. Treasury Bill and U.S. Treasury Bond, 0.000% to 0.375%, due 09/13/18 to 07/15/27, total market value $12,242,204) | | | 12,000,000 | | | | | | | | 12,000,000 | |
Mitsubishi UFJ Securities USA, Inc. | | | | | | | | | | | | |
1.35% (dated 12/29/17, due 01/02/18, repurchase price $27,004,000, collateralized by Federal Home Loan Mortgage Corporation and Federal National Mortgage Association, 2.485% to 5.936%, due 05/01/18 to 08/01/48, total market value $27,810,000) | | | 27,000,000 | | | | | | | | 27,000,000 | |
Mizuho Securities USA, Inc. | | | | | | | | | | | | |
1.37% (dated 12/29/17, due 01/02/18, repurchase price $10,002,000, collateralized by U.S. Treasury Bond, 2.000% to 2.000%, due 12/31/21, total market value $10,200,070) | | | 10,000,000 | | | | | | | | 10,000,000 | |
Natixis S.A. | | | | | | | | | | | | |
1.33% (dated 12/29/17, due 01/02/18, repurchase price $21,003,000, collateralized by U.S. Treasury Bill and U.S. Treasury Bonds, 0.000% to 5.375%, due 01/18/18 to 02/15/46, total market value $21,355,975) | | | 21,000,000 | | | | | | | | 21,000,000 | |
1.34% (dated 12/29/17, due 01/02/18, repurchase price $4,001,000, collateralized by Federal National Mortgage Association and U.S. Treasury Bond, 1.625% to 6.000%, due 01/21/20 to 05/15/47, total market value $4,080,023) | | | 4,000,000 | | | | | | | | 4,000,000 | |
| | | | |
| | See Notes to Financial Statements. | | 71 |
MONEY MARKET FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | |
| | | Par | | | Value | |
RBC Capital Markets LLC | | | | | | | | |
1.38% (dated 12/29/17, due 01/02/18, repurchase price $25,004,000, collateralized by Federal Home Loan Mortgage Corporation, Federal National Mortgage Association and Government National Mortgage Association, 2.500% to 6.500%, due 03/01/26 to 12/01/47, total market value $25,665,911) | | $ | 25,000,000 | | | $ | 25,000,000 | |
TD Securities USA LLC | | | | | | | | |
1.41% (dated 12/29/17, due 01/02/18, repurchase price $60,009,000, collateralized by U.S. Treasury Bonds, 0.375% to 2.125%, due 07/15/23 to 02/29/24, total market value $61,096,494) | | | 60,000,000 | | | | 60,000,000 | |
| | | | | | | | |
Total Repurchase Agreements
(Cost $438,500,000) | | | | | | | 438,500,000 | |
| | | | | | | | |
TOTAL INVESTMENTS — 103.3%
(Cost $1,202,094,558) | | | | | | | 1,202,094,558 | |
Liabilities in Excess of Other
Assets — (3.3)% | | | | | | | (38,583,356 | ) |
| | | | | | | | |
NET ASSETS — 100.0% | | | | | | $ | 1,163,511,202 | |
| | | | | | | | |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2017, 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 | | $ | 539,325,528 | | | $ | — | | | $ | 539,325,528 | | | $ | — | |
Money Market Funds | | | 293,416 | | | | 293,416 | | | | — | | | | — | |
Repurchase Agreements | | | 438,500,000 | | | | — | | | | 438,500,000 | | | | — | |
U.S. Treasury Obligations | | | 223,975,614 | | | | — | | | | 223,975,614 | | | | — | |
| | | | | | | | | | | | | | | | |
Total Assets — Investments in Securities | | $ | 1,202,094,558 | | | $ | 293,416 | | | $ | 1,201,801,142 | | | $ | — | |
| | | | | | | | | | | | | | | | |
There were no transfers between Level 1, Level 2 and Level 3 during the year ended December 31, 2017.
| | | | |
| 72 | | 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 calculation that measures the price sensitivity of a bond or bond fund 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 ICE BofAML 1-3 Year U.S. Treasury Index, for the one-year period ended December 31, 2017 (1.42% versus 0.42%). 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 U.S. 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 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 positive impact on relative performance as they were used to provide short duration positions when rates increased. Credit default swaps were purchased and were moderate detractors from 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 U.S. and 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 and very slightly detracted from the performance of the Fund. 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 preservation 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 fixed-income securities 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. Derivatives involve different risks from, and in some respects greater than, those associated with investing directly in securities, currencies or other instruments. Derivatives may be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in value of the underlying instruments may produce disproportionate losses to the Fund. It is possible to lose money by investing in the Fund.
At December 31, 2017, 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 | | | 27.2 | |
Corporate Bonds | | | 24.0 | |
Mortgage-Backed Securities | | | 19.0 | |
Foreign Bonds | | | 17.5 | |
Asset-Backed Securities | | | 16.6 | |
Money Market Funds | | | 3.0 | |
Municipal Bonds | | | 1.6 | |
Agency Obligations | | | 1.2 | |
Certificates of Deposit | | | 0.8 | |
Commercial Paper | | | 0.1 | |
Written Option | | | (— | )** |
Security Sold Short | | | (0.6 | ) |
| | | | |
| | | 110.4 | |
| | | | |
**Rounds to less than 0.05%
| | | | |
| | See Notes to Financial Statements. | | 73 |
Low-Duration Bond Fund (Unaudited)
| | | | | | |
| Average Annual Total Returns as of 12/31/17 |
| | | Institutional Class | | Investor Class* | | Benchmark |
One Year | | 1.69% | | 1.42% | | 0.42% |
Five Year | | 1.08% | | 0.83% | | 0.56% |
Ten Year | | 2.47% | | 2.26% | | 1.44% |
Since Inception | | 2.93% | | 2.76% | | 2.34% |
Inception Date | | 08/27/01 | | 08/27/01 | | |
Total Fund Operating Expenses (May 1, 2017 Prospectus as amended | | | | | | |
July 1, 2017)(1) | | 0.38% | | 0.65% | | |
(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, 2007 to December 31, 2017, with all dividends and capital gains reinvested, with the ICE BofAML 1-3 Year U.S. 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.
| | | | |
| 74 | | See Notes to Financial Statements. | | |
| | |
LOW-DURATION BOND FUND | | |
SCHEDULE OF INVESTMENTS | | December 31, 2017 |
| | | | | | | | | | | | |
| | | | | Par | | | | | Value | |
AGENCY OBLIGATIONS — 1.2% | | | | | | | |
Federal Home Loan Bank | | | | | | | | | | | | |
1.38%, 09/28/20 | | | | $ | 2,230,000 | | | | | $ | 2,192,019 | |
Federal Home Loan Mortgage Corporation | | | | | | | | | | | | |
1.13%, 04/15/19 | | | | | 1,550,000 | | | | | | 1,536,007 | |
0.88%, 07/19/19 | | | | | 2,880,000 | | | | | | 2,835,402 | |
Federal National Mortgage Association | | | | | | | | | | | | |
1.00%, 08/28/19 | | | | | 2,970,000 | | | | | | 2,926,668 | |
1.50%, 02/28/20D | | | | | 1,700,000 | | | | | | 1,682,892 | |
| | | | | | | | | | | | |
Total Agency Obligations
(Cost $11,316,353) | | | | | | | | | | | 11,172,988 | |
| | | | | | | | | | | | |
ASSET-BACKED SECURITIES — 16.6% | | | | | | | |
Adams Mill CLO, Ltd. Series 2014-1A A2R | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 1.10%), 2.46%, 07/15/26 144A † | | | | | 800,000 | | | | | | 802,597 | |
ALM XII, Ltd. Series 2015-12A A1R | | | | | | | |
(Floating, ICE LIBOR USD 3M + 1.05%), 2.41%, 04/16/27 144A † | | | | | 440,000 | | | | | | 441,114 | |
AmeriCredit Automobile Receivables
Trust Series 2014-1 C | | | | | | | |
2.15%, 03/09/20 | | | | | 617,789 | | | | | | 618,154 | |
AmeriCredit Automobile Receivables
Trust Series 2016-2 A3 | | | | | | | |
1.60%, 11/09/20 | | | | | 590,000 | | | | | | 589,084 | |
AmeriCredit Automobile Receivables
Trust Series 2016-2 B | | | | | | | |
2.21%, 05/10/21 | | | | | 790,000 | | | | | | 789,651 | |
AmeriCredit Automobile Receivables
Trust Series 2016-2 C | | | | | | | |
2.87%, 11/08/21 | | | | | 230,000 | | | | | | 231,461 | |
AmeriCredit Automobile Receivables
Trust Series 2016-3 A3 | | | | | | | |
1.46%, 05/10/21 | | | | | 1,280,000 | | | | | | 1,274,319 | |
AmeriCredit Automobile Receivables Trust Series 2017-1 A3 | | | | | | | | | | |
1.87%, 08/18/21 | | | | | 210,000 | | | | | | 209,380 | |
AmeriCredit Automobile Receivables | | | | | | | |
Trust Series 2017-2 A3
1.98%, 12/20/21 | | | | | 1,360,000 | | | | | | 1,355,080 | |
AMMC CLO XIII, Ltd. Series 2013-13A A1LR | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 1.26%), 2.62%, 07/24/29 144A † | | | | | 2,000,000 | | | | | | 2,016,082 | |
Arbor Realty Commercial
Real Estate, Ltd. Series 2016-FL1A A | | | | | | | |
(Floating, ICE LIBOR USD 1M + 1.70%), 3.18%, 09/15/26
144A † | | | | | 490,000 | | | | | | 489,094 | |
Arbor Realty Commercial Real Estate, Ltd. Series 2017-FL1A | | | | | | | |
(Floating, ICE LIBOR USD 1M + 1.30%), 2.78%, 04/15/27 144A † | | | | | 1,610,000 | | | | | | 1,631,749 | |
| | | | | | | | | | | | |
| | | | | Par | | | | | Value | |
Atlas Senior Loan Fund IV, Ltd. Series 2013-2A A1LR | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 0.98%), 2.40%,
02/17/26 144A † | | | | $ | 685,000 | | | | | $ | 685,782 | |
Atrium X Series 10A AR | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 0.95%), 2.31%, 07/16/25
144A † | | | | | 2,887,395 | | | | | | 2,894,039 | |
Babson CLO, Ltd. Series 2013-IA AR | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 0.80%), 0.00%, 01/20/28
144A † | | | | | 1,200,000 | | | | | | 1,200,000 | |
Babson CLO, Ltd. Series 2015-IA C | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 2.85%), 4.21%, 04/20/27
144A † | | | | | 600,000 | | | | | | 599,911 | |
Bayview Opportunity Master Fund | | | | | | | | | | | | |
IIIa Trust Series 2017-RN8 A1 3.35%, 11/28/32 144A STEP | | | | | 300,000 | | | | | | 300,231 | |
Bear Stearns Asset-Backed Securities Trust Series 2004-SD1A2 | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.45%), 2.00%, 12/25/42† | | | | | 52,631 | | | | | | 52,232 | |
Bear Stearns Asset-Backed Securities Trust Series 2007-HE7 1A1 | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 1.00%), 2.55%, 10/25/37† | | | | | 457,851 | | | | | | 461,040 | |
BlueMountain CLO 2013-3, Ltd. Series 2013-3A AR | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 0.89%), 2.27%, 10/29/25
144A † | | | | | 1,130,000 | | | | | | 1,130,397 | |
BlueMountain CLO, Ltd. Series 2013-4A AR | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 1.01%), 2.37%, 04/15/25
144A † | | | | | 990,000 | | | | | | 992,906 | |
BMW Vehicle Owner Trust Series 2016-A A3 1.16%, 11/25/20 | | | | | 1,530,000 | | | | | | 1,518,454 | |
Bsprt Issuer, Ltd. Series 2017-FL1 A | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 1.35%), 2.83%, 06/15/27
144A † | | | | | 550,000 | | | | | | 552,147 | |
Capital Auto Receivables Asset Trust | | | | | | | | | | | | |
Series 2016-2 B 2.11%, 03/22/21 | | | | | 170,000 | | | | | | 169,561 | |
Capital Auto Receivables Asset Trust | | | | | | | | | | | | |
Series 2017-1 A3 2.02%, 08/20/21 144A | | | | | 650,000 | | | | | | 648,458 | |
Capital One Multi-Asset Execution | | | | | | | | | | | | |
Trust Series 2015-A2 A2 2.08%, 03/15/23 | | | | | 90,000 | | | | | | 89,802 | |
Capital One Multi-Asset Execution | | | | | | | | | | | | |
Trust Series 2016-A4 A4 1.33%, 06/15/22 | | | | | 2,320,000 | | | | | | 2,291,813 | |
Carlyle Global Market Strategies CLO, Ltd. Series 2014-1A AR | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 1.30%), 2.65%, 04/17/25
144A † | | | | | 475,000 | | | | | | 476,649 | |
| | | | |
| | See Notes to Financial Statements. | | 75 |
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | |
| | | Par | | | Value | |
Cent CLO, Ltd. Series 2013-18A A | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 1.12%), 2.48%, 07/23/25 144A † | | $ | 1,356,444 | | | $ | 1,357,785 | |
Chesapeake Funding II LLC Series 2016-1A A1 | | | | | | | | |
2.11%, 03/15/28 144A | | | 1,186,750 | | | | 1,187,487 | |
Chesapeake Funding II LLC Series 2016-2A A1 | | | | | | | | |
1.88%, 06/15/28 144A | | | 1,444,246 | | | | 1,441,693 | |
Chesapeake Funding II LLC Series 2017-3A A1 | | | | | | | | |
1.91%, 08/15/29 144A | | | 3,450,000 | | | | 3,433,525 | |
Chesapeake Funding II LLC Series
2017-4A A1 | | | | | | | | |
2.12%, 11/15/29 144A | | | 1,720,000 | | | | 1,715,932 | |
CIFC Funding 2015-V, Ltd. Series
2015-5A A1 | | | | | | | | |
(Floating, ICE LIBOR USD 3M +
1.55%), 2.92%, 10/25/27 144A † | | | 1,110,000 | | | | 1,114,409 | |
CIFC Funding, Ltd. Series 2015-2A
AR | | | | | | | | |
(Floating, ICE LIBOR USD 3M +
0.78%), 0.00%, 04/15/27 144A † | | | 1,000,000 | | | | 1,000,000 | |
Citibank Credit Card Issuance Trust
Series 2017-A9 A9 | | | | | | | | |
1.80%, 09/20/21 | | | 4,770,000 | | | | 4,746,780 | |
CNH Equipment Trust Series 2016-B
A3 | | | | | | | | |
1.63%, 08/15/21 | | | 1,020,000 | | | | 1,014,977 | |
CNH Equipment Trust Series 2016-C
A3 | | | | | | | | |
1.44%, 12/15/21 | | | 1,140,000 | | | | 1,128,818 | |
CNH Equipment Trust Series 2017-B
A3 | | | | | | | | |
1.86%, 09/15/22 | | | 1,110,000 | | | | 1,101,898 | |
Colony American Homes Series
2014-1A A | | | | | | | | |
(Floating, LIBOR USD 1M +
1.15%), 2.63%, 05/17/31
144A † | | | 502,207 | | | | 503,853 | |
Colony American Homes Series 2014-2A A | | | | | | | | |
(Floating, LIBOR USD 1M +
0.95%), 2.43%, 07/17/31
144A † | | | 562,278 | | | | 563,710 | |
Colony Starwood Homes Trust Series
2016-2A A | | | | | | | | |
(Floating, LIBOR USD 1M +
1.25%), 2.73%, 12/17/33
144A † | | | 1,074,813 | | | | 1,082,177 | |
Credit Acceptance Auto Loan Trust
Series 2016-2A A | | | | | | | | |
2.42%, 11/15/23 144A | | | 2,080,000 | | | | 2,084,789 | |
Credit Acceptance Auto Loan Trust
Series 2017-1A A | | | | | | | | |
2.56%, 10/15/25 144A | | | 1,020,000 | | | | 1,018,822 | |
| | | | | | | | |
| | | Par | | | Value | |
CSAB Mortgage-Backed Trust Series
2006-2 A6A | | | | | | | | |
5.72%, 09/25/36 STEP | | $ | 371,095 | | | $ | 225,891 | |
CWABS, Inc. Asset-Backed
Certificates Trust Series 2004-6
1A1 | | | | | | | | |
(Floating, ICE LIBOR USD 1M +
0.54%), 2.09%, 12/25/34† | | | 1,233,215 | | | | 1,201,183 | |
Dell Equipment Finance Trust Series 2017-2 A3 | | | | | | | | |
2.19%, 10/24/22 144A | | | 560,000 | | | | 558,364 | |
Drive Auto Receivables Trust Series 2016-BA C | | | | | | | | |
3.19%, 07/15/22 144A | | | 590,000 | | | | 594,562 | |
Drive Auto Receivables Trust Series
2017-2 B | | | | | | | | |
2.25%, 06/15/21 | | | 420,000 | | | | 420,267 | |
Drug Royalty II LP 2 Series 2014-1 | | | | | | | | |
A1 | | | | | | | | |
(Floating, ICE LIBOR USD 3M +
2.85%), 4.15%, 07/15/23
144A † | | | 115,791 | | | | 116,815 | |
Dryden Senior Loan Fund Series
2014-31A AR | | | | | | | | |
(Floating, ICE LIBOR USD 3M +
1.08%), 2.43%, 04/18/26
144A † | | | 590,000 | | | | 592,091 | |
Dryden Senior Loan Fund Series
2015-41A A A | | | | | | | | |
(Floating, ICE LIBOR USD 3M +
1.50%), 2.86%, 01/15/28
144A † | | | 2,000,000 | | | | 2,011,586 | |
Dryden XXVI Senior Loan Fund
Series 2013-26A A | | | | | | | | |
(Floating, ICE LIBOR USD 3M +
1.10%), 2.46%, 07/15/25
144A † | | | 357,824 | | | | 358,727 | |
Enterprise Fleet Financing LLC Series 2016-2 A2 | | | | | | | | |
1.74%, 02/22/22 144A | | | 1,109,464 | | | | 1,107,424 | |
Enterprise Fleet Financing LLC Series 2016-2 A3 | | | | | | | | |
2.04%, 02/22/22 144A | | | 730,000 | | | | 726,343 | |
Enterprise Fleet Financing LLC Series 2017-1 A2 | | | | | | | | |
2.13%, 07/20/22 144A | | | 371,826 | | | | 371,905 | |
Enterprise Fleet Financing LLC Series 2017-1 A3 | | | | | | | | |
2.60%, 07/20/22 144A | | | 250,000 | | | | 251,404 | |
Enterprise Fleet Financing LLC Series 2017-2 A2 | | | | | | | | |
1.97%, 01/20/23 144A | | | 790,000 | | | | 788,619 | |
Enterprise Fleet Financing LLC Series 2017-3 A2 | | | | | | | | |
2.13%, 05/22/23 144A | | | 1,040,000 | | | | 1,038,546 | |
FHLMC Structured Pass-Through Certificates Series T-32 | | | | | | | | |
(Floating, LIBOR USD 1M +
0.26%), 1.81%, 08/25/31† | | | 379,497 | | | | 376,657 | |
| | | | |
| 76 | | See Notes to Financial Statements. | | |
| | | | | | | | |
| | | Par | | | Value | |
Flatiron CLO 2015-1, Ltd. Series
2015-1A AR | | | | | | | | |
(Floating, ICE LIBOR USD 3M +
0.89%), 2.25%, 04/15/27 144A † | | $ | 1,765,000 | | | $ | 1,768,037 | |
GM Financial Automobile Leasing Trust Series 2016-1 C | | | | | | | | |
3.24%, 03/20/20 | | | 800,000 | | | | 806,266 | |
GoldenTree Loan Opportunities VII,
Ltd. Series 2013-7A A | | | | | | | | |
(Floating, ICE LIBOR USD 3M +
1.15%), 2.52%, 04/25/25 144A † | | | 433,674 | | | | 434,245 | |
Greystone Commercial Real Estate
Notes, Ltd. Series 2017-FL1A A | | | | | | | | |
(Floating, ICE LIBOR USD 1M +
1.55%), 3.03%, 03/15/27 144A † | | | 900,000 | | | | 901,894 | |
GT Loan Financing I, Ltd. Series
2013-1A A | | | | | | | | |
(Floating, ICE LIBOR USD 3M +
1.27%), 2.65%, 10/28/24 144A † | | | 1,100,000 | | | | 1,101,924 | |
Honda Auto Receivables Owner Trust
Series 2007-3 A3 | | | | | | | | |
1.79%, 09/20/21 | | | 1,500,000 | | | | 1,489,298 | |
Hyundai Auto Receivables Trust
Series 2016-A A3 | | | | | | | | |
1.56%, 09/15/20 | | | 940,000 | | | | 937,361 | |
Hyundai Auto Receivables Trust
Series 2016-B D | | | | | | | | |
2.68%, 09/15/23 | | | 680,000 | | | | 672,486 | |
John Deere Owner Trust Series
2017-B A3 | | | | | | | | |
1.82%, 10/15/21 | | | 575,000 | | | | 570,924 | |
JP Morgan Mortgage Acquisition
Corporation Series 2006-FRE2 A1 | | | | | | | | |
(Floating, ICE LIBOR USD 1M +
0.18%), 1.73%, 02/25/36† | | | 232,958 | | | | 233,408 | |
Kubota Credit Owner Trust Series
2016-1A A2 | | | | | | | | |
1.25%, 04/15/19 144A | | | 324,937 | | | | 324,450 | |
Kubota Credit Owner Trust Series
2017-1A A3 | | | | | | | | |
1.88%, 08/16/21 144A | | | 1,730,000 | | | | 1,715,556 | |
LA Arena Funding LLC Series 1 A 7.66%, 12/15/26 144A | | | 131,894 | | | | 140,252 | |
LCM XVII LP Series 17A AR | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 1.35%), 2.71%, 10/15/26 144A † | | | 1,250,000 | | | | 1,257,423 | |
Madison Park Funding XIV, Ltd. Series 2014-14A A2R | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 1.12%), 2.48%, 07/20/26 144A † | | | 250,000 | | | | 250,956 | |
Madison Park Funding XIV, Ltd. Series 2014-14A BR | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 1.55%), 2.91%, 07/20/26 144A † | | | 1,370,000 | | | | 1,377,857 | |
| | | | | | | | |
| | | Par | | | Value | |
Mercedes-Benz Master Owner Trust
Series 2016-BA A | | | | | | | | |
(Floating, LIBOR USD 1M + 0.70%), 2.18%, 05/17/21 144A † | | $ | 1,354,000 | | | $ | 1,364,246 | |
Mercedes-Benz Master Owner Trust
Series 2017-BA A | | | | | | | | |
(Floating, LIBOR USD 1M + 0.42%), 1.90%, 05/16/22 144A † | | | 1,750,000 | | | | 1,757,721 | |
Mill City Mortgage Loan Trust Series 2016-1 A1 | | | | | | | | |
2.50%, 04/25/57 144A | | | 1,242,186 | | | | 1,237,668 | |
MMAF Equipment Finance LLC
Series 2017-AA A3 | | | | | | | | |
2.04%, 02/16/22 144A | | | 2,210,000 | | | | 2,199,542 | |
Mountain Hawk II CLO, Ltd.
Series 2013-2A A1 | | | | | | | | |
(Floating, ICE LIBOR USD 3M +
1.16%), 2.52%, 07/22/24 144A † | | | 313,749 | | | | 314,406 | |
MVW Owner Trust Series 2017-1A A | | | | | | | | |
2.42%, 12/20/34 144A | | | 942,068 | | | | 934,307 | |
Navient Private Education Loan Trust
Series 2014-CTA A | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.70%), 2.18%, 09/16/24 144A † | | | 70,458 | | | | 70,665 | |
Navient Student Loan Trust Series
2016-5A A | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 1.25%), 2.80%, 06/25/65 144A † | | | 669,692 | | | | 684,886 | |
Navient Student Loan Trust Series
2016-6A A2 | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.75%), 2.30%, 03/25/66 144A † | | | 1,500,000 | | | | 1,516,871 | |
Navient Student Loan Trust Series
2017-2A A | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 1.05%), 2.60%, 12/27/66 144A † | | | 1,372,050 | | | | 1,390,288 | |
Navient Student Loan Trust Series
2017-5A A | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.80%), 2.35%, 07/26/66 144A † | | | 1,456,547 | | | | 1,463,852 | |
Nelnet Student Loan Trust Series
2016-1A A | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.80%), 2.13%, 09/25/65 144A † | | | 1,529,729 | | | | 1,551,490 | |
Neuberger Berman CLO, Ltd. Series
2017-16SA A | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 0.85%), 0.00%, 01/15/28 144A † | | | 1,145,000 | | | | 1,145,000 | |
Nissan Auto Receivables Owner Trust Series 2016-A A4 | | | | | | | | |
1.59%, 07/15/22 | | | 2,860,000 | | | | 2,827,543 | |
| | | | |
| | See Notes to Financial Statements. | | 77 |
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | | | | | |
| | | Par | | | Value | |
Nissan Master Owner Receivables Trust
Series 2016-A A2 | | | | | | | | | | | | | | | | |
1.54%, 06/15/21 | | | | | | $ | 1,440,000 | | | | | | | $ | 1,428,230 | |
Nissan Master Owner Receivables
Trust Series 2017-B A | | | | | | | | | | | | | | | | |
(Floating, LIBOR USD 1M + 0.43%), 1.91%, 04/18/22† | | | | | | | 1,650,000 | | | | | | | | 1,659,155 | |
OCP CLO 2014-7, Ltd. Series 2014-7A A1AR | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M +
0.95%), 2.31%, 10/20/26 144A† | | | | | | | 570,000 | | | | | | | | 570,337 | |
Octagon Investment Partners XVII, Ltd.
Series 2013-1A A1R | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M +
1.00%), 2.37%, 10/25/25 144A† | | | | | | | 1,370,000 | | | | | | | | 1,372,017 | |
OneMain Financial Issuance Trust
Series 2014-2A A | | | | | | | | | | | | | | | | |
2.47%, 09/18/24 144A | | | | | | | 31,469 | | | | | | | | 31,513 | |
OneMain Financial Issuance Trust
Series 2015-2A A | | | | | | | | | | | | | | | | |
2.57%, 07/18/25 144A | | | | | | | 579,096 | | | | | | | | 579,443 | |
OZLM Funding II, Ltd.
Series 2012-2A A1R | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M +
1.44%), 2.82%, 10/30/27 144A† | | | | | | | 950,000 | | | | | | | | 952,581 | |
Palmer Square CLO 2013-2, Ltd.
Series 2013-2A A1AR | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M +
1.22%), 2.57%, 10/17/27
144A† | | | | | | | 1,405,000 | | | | | | | | 1,412,056 | |
Palmer Square Loan Funding 2017-1, Ltd.
Series 2017-1A A1 | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M +
0.74%), 2.06%, 10/15/25
144A† | | | | | | | 955,000 | | | | | | | | 955,295 | |
PFS Financing Corporation Series
2016-BA A | | | | | | | | | | | | | | | | |
1.87%, 10/15/21 144A | | | | | | | 290,000 | | | | | | | | 288,620 | |
Regatta V Funding, Ltd. Series
2014-1A A1AR | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M +
1.16%), 2.53%, 10/25/26 144A† | | | | | | | 2,000,000 | | | | | | | | 2,009,005 | |
Santander Drive Auto Receivables Trust
Series 2014-3 D | | | | | | | | | | | | | | | | |
2.65%, 08/17/20 | | | | | | | 210,000 | | | | | | | | 210,681 | |
Santander Drive Auto Receivables Trust
Series 2014-4 C | | | | | | | | | | | | | | | | |
2.60%, 11/16/20 | | | | | | | 628,822 | | | | | | | | 630,207 | |
Santander Drive Auto Receivables Trust
Series 2015-1 D | | | | | | | | | | | | | | | | |
3.24%, 04/15/21 | | | | | | | 320,000 | | | | | | | | 323,435 | |
Santander Drive Auto Receivables Trust
Series 2015-2 D | | | | | | | | | | | | | | | | |
3.02%, 04/15/21 | | | | | | | 555,000 | | | | | | | | 560,521 | |
Santander Drive Auto Receivables Trust
Series 2016-2 A3 | | | | | | | | | | | | | | | | |
1.56%, 05/15/20 | | | | | | | 300,079 | | | | | | | | 299,913 | |
| | | | | | | | | | | | | | | | |
| | | Par | | | Value | |
Santander Drive Auto Receivables Trust
Series 2016-2 C | | | | | | | | | | | | | | | | |
2.66%, 11/15/21 | | | | | | $ | 640,000 | | | | | | | $ | 642,276 | |
Santander Drive Auto Receivables Trust
Series 2017-1 A3 | | | | | | | | | | | | | | | | |
1.77%, 09/15/20 | | | | | | | 190,000 | | | | | | | | 189,710 | |
Securitized Asset-Backed
Receivables LLC Trust
Series 2006-OP1 M1 | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M +
0.37%), 1.92%, 10/25/35† | | | | | | | 1,416,412 | | | | | | | | 1,420,313 | |
Securitized Auto Receivables LLC Trust
Series 2017-2A A3 | | | | | | | | | | | | | | | | |
2.04%, 04/26/21 144A | | | | | | | 1,390,000 | | | | | | | | 1,382,772 | |
SLC Student Loan Trust
Series 2006-2 A5 | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M +
0.10%), 1.69%, 09/15/26† | | | | | | | 1,003,621 | | | | | | | | 1,001,525 | |
SLM Private Credit Student Loan Trust
Series 2003-B A2 | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M +
0.40%), 1.99%, 03/15/22† | | | | | | | 5,328 | | | | | | | | 5,338 | |
SLM Private Credit Student Loan Trust
Series 2005-A A3 | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M +
0.20%), 1.79%, 06/15/23† | | | | | | | 2,163,151 | | | | | | | | 2,159,479 | |
SLM Private Education Loan Trust
Series 2010-A 2A | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M +
3.25%), 4.73%, 05/16/44 144A† | | | | | | | 870,999 | | | | | | | | 896,942 | |
SLM Private Education Loan Trust
Series 2011-B A2 | | | | | | | | | | | | | | | | |
3.74%, 02/15/29 144A | | | | | | | 846,368 | | | | | | | | 857,442 | |
SLM Private Education Loan Trust
Series 2014-A A2A | | | | | | | | | | | | | | | | |
2.59%, 01/15/26 144A | | | | | | | 421,227 | | | | | | | | 422,174 | |
SLM Private Education Loan Trust
Series 2014-A A2B | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M +
1.15%), 2.63%, 01/15/26 144A† | | | | | | | 944,914 | | | | | | | | 952,616 | |
SLM Student Loan Trust Series 2003-5 A5 | | | | | | | | | | | | | | | | |
(Floating, Euribor 3M + 0.27%),
0.00%, 06/17/24† (E) | | | | | | | 407,922 | | | | | | | | 490,516 | |
SLM Student Loan Trust Series 2004-2 A5 | | | | | | | | | | | | | | | | |
(Floating, Euribor 3M + 0.18%),
0.00%, 01/25/24† (E) | | | | | | | 2,554,667 | | | | | | | | 3,073,350 | |
SLM Student Loan Trust Series 2004-3 A5 | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M +
0.17%), 1.54%, 07/25/23† | | | | | | | 1,129,715 | | | | | | | | 1,129,596 | |
SLM Student Loan Trust Series 2005-8 A4 | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M +
0.55%), 1.92%, 01/25/28† | | | | | | | 2,472,193 | | | | | | | | 2,484,269 | |
SMB Private Education Loan Trust
Series 2015-C A2A | | | | | | | | | | | | | | | | |
2.75%, 07/15/27 144A | | | | | | | 691,824 | | | | | | | | 693,422 | |
| | | | |
| 78 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | |
| | | Par | | | Value | |
SMB Private Education Loan Trust
Series 2016-A A2A | | | | | | | | | | | | | | | | |
2.70%, 05/15/31 144A | | | | | | $ | 470,000 | | | | | | | $ | 468,209 | |
SMB Private Education Loan Trust
Series 2016-B A2A | | | | | | | | | | | | | | | | |
2.43%, 02/17/32 144A | | | | | | | 298,000 | | | | | | | | 293,292 | |
Sofi Consumer Loan Program
Series 2017-5 A1 | | | | | | | | | | | | | | | | |
2.14%, 09/25/26 144A | | | | | | | 1,408,722 | | | | | | | | 1,405,349 | |
SoFi Professional Loan Program LLC
Series 2015-A A1 | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 1.20%), 2.53%, 03/25/33 144A† | | | | | | | 461,283 | | | | | | | | 469,883 | |
SoFi Professional Loan Program LLC
Series 2015-D A2 | | | | | | | | | | | | | | | | |
2.72%, 10/27/36 144A | | | | | | | 1,422,752 | | | | | | | | 1,422,967 | |
SoFi Professional Loan Program LLC
Series 2016-A A2 | | | | | | | | | | | | | | | | |
2.76%, 12/26/36 144A | | | | | | | 496,018 | | | | | | | | 495,834 | |
SoFi Professional Loan Program LLC
Series 2016-C A2B | | | | | | | | | | | | | | | | |
2.36%, 12/27/32 144A | | | | | | | 210,000 | | | | | | | | 207,520 | |
SoFi Professional Loan Program LLC
Series 2016-D A2A | | | | | | | | | | | | | | | | |
1.53%, 04/25/33 144A | | | | | | | 246,065 | | | | | | | | 245,273 | |
SoFi Professional Loan Program LLC
Series 2016-D A2B | | | | | | | | | | | | | | | | |
2.34%, 04/25/33 144A | | | | | | | 190,000 | | | | | | | | 187,086 | |
SoFi Professional Loan Program LLC
Series 2016-F A2 | | | | | | | | | | | | | | | | |
3.02%, 02/25/40 144A | | | | | | | 1,548,469 | | | | | | | | 1,544,862 | |
SoFi Professional Loan Program LLC
Series 2017-C A2A | | | | | | | | | | | | | | | | |
1.75%, 07/25/40 144A | | | | | | | 674,188 | | | | | | | | 671,608 | |
Springleaf Funding Trust
Series 2015-AA A | | | | | | | | | | | | | | | | |
3.16%, 11/15/24 144A | | | | | | | 545,000 | | | | | | | | 547,256 | |
Starwood Waypoint Homes Trust
Series 2017-1 A | | | | | | | | | | | | | | | | |
(Floating, LIBOR USD 1M + 0.95%), 2.44%, 01/17/35 144A† | | | | | | | 2,022,611 | | | | | | | | 2,034,825 | |
Structured Asset Securities Corporation Mortgage Loan Trust
Series 2005-7XS 2A1A | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 1.50%), 2.86%, 04/25/35† | | | | | | | 297,337 | | | | | | | | 291,823 | |
Symphony CLO VIII LP
Series 2012-8A AR | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 1.10%), 2.45%, 01/09/23
144A† | | | | | | | 574,631 | | | | | | | | 575,603 | |
Synchrony Credit Card Master Note Trust
Series 2015-2 A | | | | | | | | | | | | | | | | |
1.60%, 04/15/21 | | | | | | | 1,500,000 | | | | | | | | 1,499,112 | |
Towd Point Mortgage Trust
Series 2016-3 A1 | | | | | | | | | | | | | | | | |
2.25%, 04/25/56 144A | | | | | | | 749,754 | | | | | | | | 744,460 | |
Toyota Auto Receivables Owner Trust
Series 2016-B A3 | | | | | | | | | | | | | | | | |
1.30%, 04/15/20 | | | | | | | 653,137 | | | | | | | | 650,754 | |
| | | | | | | | | | | | | | | | |
| | | Par | | | Value | |
Treman Park CLO, Ltd.
Series 2015-1A AR | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 1.37%), 2.73%, 04/20/27
144A† | | | | | | $ | 1,000,000 | | | | | | | $ | 1,001,128 | |
Tryon Park CLO, Ltd.
Series 2013-1A A1 | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 1.12%), 2.48%, 07/15/25
144A† | | | | | | | 1,507,332 | | | | | | | | 1,510,707 | |
Tryon Park CLO, Ltd.
Series 2013-1A A2 | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 1.55%), 2.91%, 07/15/25
144A† | | | | | | | 1,175,000 | | | | | | | | 1,177,913 | |
USAA Auto Owner Trust
Series 2017-1 A3 | | | | | | | | | | | | | | | | |
1.70%, 05/17/21 | | | | | | | 660,000 | | | | | | | | 656,294 | |
Venture XVII CLO, Ltd.
Series 2014-17A CR | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 2.20%), 3.56%, 07/15/26
144A† | | | | | | | 360,000 | | | | | | | | 361,787 | |
Verizon Owner Trust Series
2017-3A A1A | | | | | | | | | | | | | | | | |
2.06%, 04/20/22 144A | | | | | | | 3,000,000 | | | | | | | | 2,988,360 | |
Vibrant CLO III, Ltd. Series
2015-3A A1R | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 1.48%), 2.84%, 04/20/26
144A† | | | | | | | 250,000 | | | | | | | | 250,824 | |
VOLT LIX LLC Series
2017-NPL6 A1 | | | | | | | | | | | | | | | | |
3.25%, 05/25/47 144A STEP | | | | | | | 670,807 | | | | | | | | 674,161 | |
VOLT LVIII LLC Series
2017-NPL5 A1 | | | | | | | | | | | | | | | | |
3.38%, 05/28/47 144A STEP | | | | | | | 1,023,412 | | | | | | | | 1,027,487 | |
VOLT LX LLC Series
2017-NPL7 A1 | | | | | | | | | | | | | | | | |
3.25%, 04/25/59 144A STEP | | | | | | | 338,181 | | | | | | | | 339,621 | |
VOLT LXI LLC Series
2017-NPL8 A1 | | | | | | | | | | | | | | | | |
3.13%, 06/25/47 144A STEP | | | | | | | 421,283 | | | | | | | | 422,509 | |
VOLT XL LLC Series
2015-NP14 A1 | | | | | | | | | | | | | | | | |
4.38%, 11/27/45 144A STEP | | | | | | | 126,049 | | | | | | | | 126,647 | |
Voya CLO, Ltd.
Series 2013-3A A2R | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 1.50%), 2.85%, 01/18/26
144A† | | | | | | | 1,000,000 | | | | | | | | 1,000,725 | |
Westlake Automobile Receivables Trust
Series 2016-2A D | | | | | | | | | | | | | | | | |
4.10%, 06/15/21 144A | | | | | | | 350,000 | | | | | | | | 353,761 | |
Westlake Automobile Receivables Trust
Series 2017-1A C | | | | | | | | | | | | | | | | |
2.70%, 10/17/22 144A | | | | | | | 740,000 | | | | | | | | 740,297 | |
Wheels SPV 2 LLC
Series 2016-1A A2 | | | | | | | | | | | | | | | | |
1.59%, 05/20/25 144A | | | | | | | 156,060 | | | | | | | | 155,664 | |
1.88%, 04/20/26 144A | | | | | | | 220,000 | | | | | | | | 219,375 | |
| | | | | | | | | | | | | | | | |
Total Asset-Backed Securities
(Cost $149,562,241) | | | | | | | | | | | | | | | 150,036,773 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 79 |
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | | | | | |
| | | Par | | | Value | |
CERTIFICATES OF DEPOSIT — 0.8% | | | | | | | | | |
Bank of Nova Scotia | | | | | | | | | | | | | | | | |
0.00%, 01/22/18 | | | | | | $ | 3,000,000 | | | | | | | $ | 2,384,872 | |
Barclays Bank PLC | | | | | | | | | | | | | | | | |
1.94%, 09/04/18 | | | | | | | 4,700,000 | | | | | | | | 4,700,395 | |
| | | | | | | | | | | | | | | | |
Total Certificates Of Deposit | | | | | | | | | | | | | | | | |
(Cost $7,053,055) | | | | | | | | | | | | | | | 7,085,267 | |
| | | | | | | | | | | | | | | | |
COMMERCIAL PAPER — 0.1% | | | | | | | | | |
Coca-Cola Co. | | | | | | | | | | | | | | | | |
0.00%, 04/12/18 | | | | | | | | | | | | | | | | |
(Cost $697,349) | | | | | | | 700,000 | | | | | | | | 696,888 | |
| | | | | | | | | | | | | | | | |
CORPORATE BONDS — 24.0% | | | | | | | | | |
Abbott Laboratories | | | | | | | | | | | | | | | | |
2.90%, 11/30/21 | | | | | | | 535,000 | | | | | | | | 541,682 | |
AbbVie, Inc. | | | | | | | | | | | | | | | | |
2.30%, 05/14/21 | | | | | | | 2,300,000 | | | | | | | | 2,285,032 | |
2.90%, 11/06/22 | | | | | | | 290,000 | | | | | | | | 291,170 | |
2.85%, 05/14/23 | | | | | | | 1,000,000 | | | | | | | | 999,042 | |
ADT Corporation | | | | | | | | | | | | | | | | |
6.25%, 10/15/21 | | | | | | | 150,000 | | | | | | | | 165,000 | |
AES Corporation | | | | | | | | | | | | | | | | |
7.38%, 07/01/21 | | | | | | | 435,000 | | | | | | | | 490,462 | |
Aetna, Inc. | | | | | | | | | | | | | | | | |
1.70%, 06/07/18 | | | | | | | 290,000 | | | | | | | | 289,575 | |
AIG Global Funding | | | | | | | | | | | | | | | | |
1.95%, 10/18/19 144A | | | | | | | 555,000 | | | | | | | | 550,346 | |
Air Lease Corporation | | | | | | | | | | | | | | | | |
2.63%, 07/01/22 | | | | | | | 150,000 | | | | | | | | 148,133 | |
American Express Co. | | | | | | | | | | | | | | | | |
2.50%, 08/01/22 | | | | | | | 545,000 | | | | | | | | 539,000 | |
American Express Credit Corporation | | | | | | | | | | | | | | | | |
1.88%, 05/03/19 | | | | | | | 390,000 | | | | | | | | 388,509 | |
2.20%, 03/03/20 | | | | | | | 735,000 | | | | | | | | 733,006 | |
American Honda Finance Corporation | | | | | | | | | | | | | | | | |
1.20%, 07/12/19 | | | | | | | 650,000 | | | | | | | | 641,154 | |
American International Group, Inc. | | | | | | | | | | | | | | | | |
3.30%, 03/01/21 | | | | | | | 400,000 | | | | | | | | 408,068 | |
American Tower Corporation REIT | | | | | | | | | | | | | | | | |
3.45%, 09/15/21 | | | | | | | 610,000 | | | | | | | | 624,013 | |
2.25%, 01/15/22 | | | | | | | 2,700,000 | | | | | | | | 2,632,212 | |
Amgen, Inc. | | | | | | | | | | | | | | | | |
2.65%, 05/11/22 | | | | | | | 215,000 | | | | | | | | 214,641 | |
Amphenol Corporation | | | | | | | | | | | | | | | | |
2.20%, 04/01/20 | | | | | | | 365,000 | | | | | | | | 363,394 | |
Analog Devices, Inc. | | | | | | | | | | | | | | | | |
3.50%, 12/05/26 | | | | | | | 315,000 | | | | | | | | 319,367 | |
Andeavor Logistics LP | | | | | | | | | | | | | | | | |
6.25%, 10/15/22 | | | | | | | 199,000 | | | | | | | | 211,382 | |
3.50%, 12/01/22 | | | | | | | 265,000 | | | | | | | | 264,794 | |
Anthem, Inc. | | | | | | | | | | | | | | | | |
2.25%, 08/15/19 | | | | | | | 355,000 | | | | | | | | 354,476 | |
2.50%, 11/21/20 | | | | | | | 260,000 | | | | | | | | 259,637 | |
Arconic, Inc. | | | | | | | | | | | | | | | | |
5.40%, 04/15/21 | | | | | | | 500,000 | | | | | | | | 532,375 | |
Ares Capital Corporation | | | | | | | | | | | | | | | | |
3.63%, 01/19/22 | | | | | | | 1,325,000 | | | | | | | | 1,331,698 | |
| | | | | | | | | | | | | | | | |
| | | Par | | | Value | |
Astoria Financial Corporation | | | | | | | | | | | | | | | | |
3.50%, 06/08/20 | | | | | | $ | 480,000 | | | | | | | $ | 482,139 | |
AT&T, Inc. | | | | | | | | | | | | | | | | |
2.30%, 03/11/19 | | | | | | | 1,070,000 | | | | | | | | 1,071,456 | |
(Floating, ICE LIBOR USD 3M + 0.95%), 2.31%, 07/15/21† | | | | | | | 1,000,000 | | | | | | | | 1,014,216 | |
2.85%, 02/14/23 | | | | | | | 695,000 | | | | | | | | 698,570 | |
Athene Global Funding | | | | | | | | | | | | | | | | |
2.75%, 04/20/20 144A | | | | | | | 1,445,000 | | | | | | | | 1,446,208 | |
Aviation Capital Group LLC | | | | | | | | | | | | | | | | |
4.63%, 01/31/18 144A | | | | | | | 500,000 | | | | | | | | 501,024 | |
2.88%, 09/17/18 144A | | | | | | | 2,000,000 | | | | | | | | 2,007,020 | |
2.88%, 01/20/22 144A | | | | | | | 755,000 | | | | | | | | 755,097 | |
Baker Hughes a GE Co. LLC | | | | | | | | | | | | | | | | |
2.77%, 12/15/22 144A | | | | | | | 365,000 | | | | | | | | 364,793 | |
Bank of America Corporation | | | | | | | | | | | | | | | | |
2.65%, 04/01/19 | | | | | | | 2,500,000 | | | | | | | | 2,514,654 | |
2.15%, 11/09/20 | | | | | | | 195,000 | | | | | | | | 194,240 | |
(Variable, ICE LIBOR USD 3M + 0.66%), 2.37%, 07/21/21† | | | | | | | 1,300,000 | | | | | | | | 1,298,201 | |
(Variable, ICE LIBOR USD 3M + 0.63%), 2.33%, 10/01/21† | | | | | | | 1,940,000 | | | | | | | | 1,935,298 | |
(Variable, ICE LIBOR USD 3M + 1.16%), 3.12%, 01/20/23† | | | | | | | 495,000 | | | | | | | | 502,415 | |
(Floating, ICE LIBOR USD 3M + 1.00%), 2.36%, 04/24/23† | | | | | | | 1,015,000 | | | | | | | | 1,031,951 | |
(Variable, ICE LIBOR USD 3M + 1.02%), 2.88%, 04/24/23† | | | | | | | 1,180,000 | | | | | | | | 1,182,450 | |
3.50%, 04/19/26 | | | | | | | 325,000 | | | | | | | | 332,639 | |
Becton Dickinson and Co. | | | | | | | | | | | | | | | | |
2.13%, 06/06/19 | | | | | | | 1,275,000 | | | | | | | | 1,272,579 | |
2.40%, 06/05/20 | | | | | | | 325,000 | | | | | | | | 323,426 | |
BGC Partners, Inc. | | | | | | | | | | | | | | | | |
5.13%, 05/27/21 | | | | | | | 1,400,000 | | | | | | | | 1,481,059 | |
BMW US Capital LLC | | | | | | | | | | | | | | | | |
1.50%, 04/11/19 144A | | | | | | | 430,000 | | | | | | | | 427,110 | |
Boston Scientific Corporation | | | | | | | | | | | | | | | | |
2.65%, 10/01/18 | | | | | | | 1,800,000 | | | | | | | | 1,807,437 | |
Branch Banking & Trust Co. | | | | | | | | | | | | | | | | |
1.45%, 05/10/19 | | | | | | | 1,180,000 | | | | | | | | 1,169,057 | |
Broadcom Corporation | | | | | | | | | | | | | | | | |
2.38%, 01/15/20 144A | | | | | | | 3,025,000 | | | | | | | | 3,006,023 | |
3.00%, 01/15/22 144A | | | | | | | 116,000 | | | | | | | | 115,126 | |
Burlington Northern Santa Fe LLC | | | | | | | | | | | | | | | | |
3.40%, 09/01/24 | | | | | | | 500,000 | | | | | | | | 518,332 | |
CA, Inc. | | | | | | | | | | | | | | | | |
3.60%, 08/15/22 | | | | | | | 205,000 | | | | | | | | 208,056 | |
Cantor Fitzgerald LP | | | | | | | | | | | | | | | | |
6.50%, 06/17/22 144A | | | | | | | 750,000 | | | | | | | | 832,221 | |
Capital One Financial Corporation | | | | | | | | | | | | | | | | |
2.40%, 10/30/20 | | | | | | | 1,105,000 | | | | | | | | 1,098,963 | |
(Floating, ICE LIBOR USD 3M + 0.95%), 2.49%, 03/09/22† | | | | | | | 995,000 | | | | | | | | 998,467 | |
3.75%, 04/24/24D | | | | | | | 135,000 | | | | | | | | 138,879 | |
Capital One NA | | | | | | | | | | | | | | | | |
2.35%, 01/31/20 | | | | | | | 1,030,000 | | | | | | | | 1,027,416 | |
| | | | |
| 80 | | See Notes to Financial Statements. | | |
| | | | | | | | |
| | | Par | | | Value | |
Cardinal Health, Inc. | | | | | | | | |
1.95%, 06/14/19 | | $ | 745,000 | | | $ | 740,682 | |
Caterpillar Financial Services Corporation | | | | | | | | |
2.10%, 01/10/20 | | | 325,000 | | | | 324,422 | |
Cboe Global Markets, Inc. | | | | | | | | |
1.95%, 06/28/19 | | | 320,000 | | | | 318,093 | |
Celgene Corporation | | | | | | | | |
2.25%, 08/15/21D | | | 1,540,000 | | | | 1,518,446 | |
CenterPoint Energy, Inc. | | | | | | | | |
2.50%, 09/01/22 | | | 320,000 | | | | 315,529 | |
CenturyLink, Inc. | | | | | | | | |
5.63%, 04/01/20 | | | 530,000 | | | | 535,962 | |
Charter Communications Operating LLC | | | | | | | | |
4.46%, 07/23/22 | | | 640,000 | | | | 668,408 | |
Cheniere Corpus Christi Holdings LLC | | | | | | | | |
5.88%, 03/31/25 | | | 630,000 | | | | 683,944 | |
Cheniere Energy Partners | | | | | | | | |
5.25%, 10/01/25 144A | | | 430,000 | | | | 438,600 | |
CIT Group, Inc. | | | | | | | | |
5.50%, 02/15/19 144A | | | 67,000 | | | | 69,010 | |
Citibank NA | | | | | | | | |
1.85%, 09/18/19 | | | 1,090,000 | | | | 1,083,555 | |
2.10%, 06/12/20 | | | 1,050,000 | | | | 1,043,503 | |
2.13%, 10/20/20D | | | 800,000 | | | | 792,678 | |
Citigroup, Inc. | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 0.93%), 2.45%, 06/07/19† | | | 1,000,000 | | | | 1,008,091 | |
2.45%, 01/10/20 | | | 820,000 | | | | 820,764 | |
2.75%, 04/25/22 | | | 1,100,000 | | | | 1,098,884 | |
(Floating, ICE LIBOR USD 3M + 0.95%), 2.31%, 07/24/23† | | | 1,620,000 | | | | 1,634,263 | |
(Variable, ICE LIBOR USD 3M + 0.95%), 2.88%, 07/24/23† | | | 765,000 | | | | 761,975 | |
Citizens Bank NA | | | | | | | | |
2.45%, 12/04/19 | | | 600,000 | | | | 600,672 | |
2.25%, 03/02/20 | | | 285,000 | | | | 283,792 | |
2.20%, 05/26/20 | | | 370,000 | | | | 367,632 | |
CNH Industrial Capital LLC | | | | | | | | |
3.38%, 07/15/19 | | | 275,000 | | | | 277,750 | |
3.88%, 10/15/21 | | | 145,000 | | | | 147,906 | |
Continental Airlines Class B Pass-Through Trust Series 2010-1 | | | | | | | | |
6.00%, 01/12/19 | | | 173,557 | | | | 177,896 | |
Crown Castle International Corporation REIT | | | | | | | | |
4.88%, 04/15/22D | | | 325,000 | | | | 348,856 | |
3.20%, 09/01/24 | | | 325,000 | | | | 322,109 | |
Crown Castle Towers LLC | | | | | | | | |
3.22%, 05/15/22 144A | | | 1,500,000 | | | | 1,518,120 | |
D.R. Horton, Inc. | | | | | | | | |
4.00%, 02/15/20 | | | 1,100,000 | | | | 1,132,077 | |
Daimler Finance North America LLC | | | | | | | | |
2.00%, 08/03/18 144A | | | 3,000,000 | | | | 3,000,609 | |
1.50%, 07/05/19 144A | | | 1,090,000 | | | | 1,077,487 | |
2.20%, 05/05/20 144A | | | 230,000 | | | | 228,772 | |
| | | | | | | | |
| | | Par | | | Value | |
2.30%, 02/12/21 144A | | $ | 1,455,000 | | | $ | 1,443,306 | |
DCP Midstream Operating LP | | | | | | | | |
2.70%, 04/01/19 | | | 420,000 | | | | 419,475 | |
5.35%, 03/15/20 144A | | | 275,000 | | | | 288,063 | |
Delta Air Lines, Inc. | | | | | | | | |
2.88%, 03/13/20 | | | 465,000 | | | | 467,946 | |
2.60%, 12/04/20 | | | 1,480,000 | | | | 1,476,379 | |
3.63%, 03/15/22 | | | 2,285,000 | | | | 2,326,693 | |
Diamond 1 Finance Corporation | | | | | | | | |
3.48%, 06/01/19 144A | | | 1,455,000 | | | | 1,473,733 | |
4.42%, 06/15/21 144A | | | 1,325,000 | | | | 1,381,754 | |
5.88%, 06/15/21 144A | | | 140,000 | | | | 145,600 | |
5.45%, 06/15/23 144A | | | 500,000 | | | | 540,942 | |
Discovery Communications LLC | | | | | | | | |
4.38%, 06/15/21 | | | 220,000 | | | | 230,346 | |
DISH DBS Corporation | | | | | | | | |
4.25%, 04/01/18 | | | 700,000 | | | | 704,375 | |
6.75%, 06/01/21 | | | 700,000 | | | | 736,750 | |
Dominion Energy, Inc. | | | | | | | | |
2.96%, 07/01/19 STEP | | | 200,000 | | | | 201,622 | |
2.58%, 07/01/20 | | | 335,000 | | | | 335,341 | |
DTE Energy Co. | | | | | | | | |
1.50%, 10/01/19 | | | 400,000 | | | | 393,823 | |
Duke Energy Corporation | | | | | | | | |
1.80%, 09/01/21 | | | 405,000 | | | | 394,271 | |
2.40%, 08/15/22 | | | 195,000 | | | | 191,794 | |
DXC Technology Co. | | | | | | | | |
2.88%, 03/27/20 | | | 140,000 | | | | 140,757 | |
E*TRADE Financial Corporation | | | | | | | | |
2.95%, 08/24/22 | | | 410,000 | | | | 406,977 | |
eBay, Inc. | | | | | | | | |
2.15%, 06/05/20 | | | 580,000 | | | | 576,265 | |
(Floating, ICE LIBOR USD 3M + 0.87%), 2.25%, 01/30/23† | | | 608,000 | | | | 610,594 | |
EI du Pont de Nemours & Co. | | | | | | | | |
2.20%, 05/01/20 | | | 365,000 | | | | 364,802 | |
Emera US Finance LP | | | | | | | | |
2.15%, 06/15/19 | | | 250,000 | | | | 249,116 | |
Enbridge Energy Partners LP | | | | | | | | |
4.38%, 10/15/20 | | | 625,000 | | | | 651,757 | |
Energy Transfer Equity LP | | | | | | | | |
7.50%, 10/15/20 | | | 300,000 | | | | 330,750 | |
4.25%, 03/15/23 | | | 630,000 | | | | 626,850 | |
Energy Transfer LP | | | | | | | | |
3.60%, 02/01/23 | | | 105,000 | | | | 105,226 | |
EnLink Midstream Partners LP | | | | | | | | |
2.70%, 04/01/19 | | | 685,000 | | | | 684,595 | |
Enterprise Products Operating LLC | | | | | | | | |
1.65%, 05/07/18 | | | 75,000 | | | | 74,906 | |
EQT Corporation | | | | | | | | |
2.50%, 10/01/20 | | | 395,000 | | | | 392,505 | |
Eversource Energy | | | | | | | | |
2.75%, 03/15/22 | | | 395,000 | | | | 396,098 | |
Exelon Corporation | | | | | | | | |
2.45%, 04/15/21 | | | 175,000 | | | | 174,343 | |
| | | | |
| | See Notes to Financial Statements. | | 81 |
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | |
| | | Par | | | Value | |
Federal Express Corporation | | | | | | | | |
Pass-Through Trust
Series 2012 | | | | | | | | |
2.63%, 01/15/18 144A | | $ | 33,858 | | | $ | 33,857 | |
Fidelity National Information Services, Inc. | | | | | | | | |
2.25%, 08/15/21 | | | 530,000 | | | | 521,513 | |
Fifth Third Bank
2.30%, 03/15/19 | | | 370,000 | | | | 370,341 | |
FirstEnergy Corporation
| | | | | | | | |
2.85%, 07/15/22 | | | 2,357,000 | | | | 2,338,039 | |
Ford Motor Credit Co. LLC
| | | | | | | | |
2.94%, 01/08/19 | | | 1,300,000 | | | | 1,308,443 | |
2.26%, 03/28/19 | | | 265,000 | | | | 264,682 | |
2.02%, 05/03/19 | | | 875,000 | | | | 871,318 | |
2.43%, 06/12/20 | | | 1,135,000 | | | | 1,128,940 | |
(Floating, ICE LIBOR USD 3M +
1.27%), 2.96%, 03/28/22D† | | | 435,000 | | | | 442,500 | |
Fortive Corporation | | | | | | | | |
1.80%, 06/15/19 | | | 200,000 | | | | 198,627 | |
Freeport-McMoRan, Inc. | | | | | | | | |
3.10%, 03/15/20 | | | 400,000 | | | | 399,000 | |
3.55%, 03/01/22 | | | 200,000 | | | | 198,250 | |
Fresenius Medical Care US Finance II, Inc.
| | | | | | | | |
5.88%, 01/31/22 144A | | | 395,000 | | | | 435,229 | |
GameStop Corporation
| | | | | | | | |
6.75%, 03/15/21D 144A | | | 350,000 | | | | 367,500 | |
General Electric Co. | | | | | | | | |
(Variable, ICE LIBOR USD 3M +
3.33%), 5.00%, 01/21/21† | | | 600,000 | | | | 619,110 | |
General Motors Financial Co., Inc.
| | | | | | | | |
3.10%, 01/15/19 | | | 175,000 | | | | 175,981 | |
2.40%, 05/09/19 | | | 780,000 | | | | 780,447 | |
(Floating, ICE LIBOR USD 3M +
0.93%), 2.29%, 04/13/20† | | | 1,010,000 | | | | 1,020,441 | |
2.65%, 04/13/20 | | | 460,000 | | | | 460,350 | |
3.20%, 07/13/20 | | | 730,000 | | | | 740,342 | |
2.45%, 11/06/20 | | | 605,000 | | | | 600,859 | |
(Floating, ICE LIBOR USD 3M +
1.55%), 2.91%, 01/14/22† | | | 895,000 | | | | 917,251 | |
(Floating, ICE LIBOR USD 3M + 1.31%), 3.00%, 06/30/22† | | | 900,000 | | | | 917,141 | |
Georgia-Pacific LLC
| | | | | | | | |
3.73%, 07/15/23 144A | | | 500,000 | | | | 521,263 | |
Gilead Sciences, Inc. | | | | | | | | |
1.85%, 09/20/19 | | | 480,000 | | | | 478,126 | |
Glencore Funding LLC | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 1.36%), 2.72%, 01/15/19 144A † | | | 680,000 | | | | 686,012 | |
3.00%, 10/27/22 144A | | | 380,000 | | | | 376,989 | |
Goldman Sachs Group, Inc.
| | | | | | | | |
2.60%, 12/27/20 | | | 1,110,000 | | | | 1,110,670 | |
2.35%, 11/15/21 | | | 260,000 | | | | 256,293 | |
3.00%, 04/26/22 | | | 1,450,000 | | | | 1,456,369 | |
(Floating, ICE LIBOR USD 3M + 0.78%), 2.16%, 10/31/22† | | | 275,000 | | | | 275,508 | |
(Floating, ICE LIBOR USD 3M + 1.05%), 2.54%, 06/05/23† | | | 1,490,000 | | | | 1,504,225 | |
| | | | | | | | |
| | | Par | | | Value | |
Hartford Financial Services Group, Inc.
| | | | | | | | |
5.13%, 04/15/22 | | $ | 263,000 | | | $ | 287,283 | |
HCA, Inc.
| | | | | | | | |
3.75%, 03/15/19 | | | 1,600,000 | | | | 1,618,000 | |
Hewlett Packard Enterprise Co.
| | | | | | | | |
2.85%, 10/05/18 | | | 1,011,000 | | | | 1,016,062 | |
2.10%, 10/04/19 144A | | | 1,315,000 | | | | 1,306,558 | |
Honeywell International, Inc.
| | | | | | | | |
1.80%, 10/30/19 | | | 360,000 | | | | 358,193 | |
HSBC USA, Inc. | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 0.61%), 2.02%, 11/13/19† | | | 2,000,000 | | | | 2,011,858 | |
2.75%, 08/07/20 | | | 1,500,000 | | | | 1,508,788 | |
Hughes Satellite Systems Corporation
| | | | | | | | |
6.50%, 06/15/19 | | | 275,000 | | | | 288,406 | |
Huntington National Bank
| | | | | | | | |
2.20%, 11/06/18 | | | 300,000 | | | | 300,323 | |
2.38%, 03/10/20 | | | 490,000 | | | | 489,513 | |
Hyundai Capital America
| | | | | | | | |
2.40%, 10/30/18 144A | | | 155,000 | | | | 154,882 | |
2.55%, 04/03/20 144A | | | 315,000 | | | | 312,599 | |
IBM Credit LLC
| | | | | | | | |
1.63%, 09/06/19 | | | 645,000 | | | | 640,804 | |
International Lease Finance Corporation
| | | | | | | | |
5.88%, 04/01/19 | | | 800,000 | | | | 832,890 | |
6.25%, 05/15/19 | | | 1,300,000 | | | | 1,362,724 | |
IPALCO Enterprises, Inc.
| | | | | | | | |
3.70%, 09/01/24 144A | | | 210,000 | | | | 210,055 | |
Iron Mountain, Inc. REIT
| | | | | | | | |
4.38%, 06/01/21 144A | | | 435,000 | | | | 442,560 | |
iStar, Inc. REIT
| | | | | | | | |
4.63%, 09/15/20 | | | 225,000 | | | | 228,938 | |
J.B. Hunt Transport Services, Inc.
| | | | | | | | |
2.40%, 03/15/19 | | | 620,000 | | | | 620,842 | |
Jackson National Life Global Funding | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 0.73%), 2.40%, 06/27/22 144A † | | | 2,100,000 | | | | 2,125,138 | |
John Deere Capital Corporation
| | | | | | | | |
1.95%, 01/08/19D | | | 550,000 | | | | 549,617 | |
JPMorgan Chase & Co. | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 1.21%), 2.58%, 10/29/20† | | | 5,900,000 | | | | 6,034,198 | |
(Floating, ICE LIBOR USD 3M + 0.68%), 2.16%, 06/01/21† | | | 1,265,000 | | | | 1,272,723 | |
(Variable, ICE LIBOR USD 3M + 0.94%), 2.78%, 04/25/23D† | | | 1,905,000 | | | | 1,908,002 | |
KeyBank NA 2.35%, | | | | | | | | |
03/08/19 | | | 440,000 | | | | 440,884 | |
Kinder Morgan Energy Partners LP
| | | | | | | | |
5.00%, 10/01/21 | | | 300,000 | | | | 320,013 | |
Kinder Morgan Finance Co. LLC
| | | | | | | | |
6.00%, 01/15/18 144A | | | 2,300,000 | | | | 2,304,063 | |
Kinder Morgan, Inc.
| | | | | | | | |
3.05%, 12/01/19 | | | 1,134,000 | | | | 1,144,440 | |
| | | | |
| 82 | | See Notes to Financial Statements. | | |
| | | | | | | | |
| | | Par | | | Value | |
(Floating, ICE LIBOR USD 3M + 1.28%), 2.64%, 01/15/23† | | $ | 695,000 | | | $ | 707,008 | |
3.15%, 01/15/23 | | | 220,000 | | | | 218,913 | |
Kraft Heinz Foods Co. | | | | | | | | |
2.00%, 07/02/18 | | | 1,100,000 | | | | 1,100,102 | |
(Floating, ICE LIBOR USD 3M + 0.82%), 2.23%, 08/10/22† | | | 400,000 | | | | 403,688 | |
Lam Research Corporation | | | | | | | | |
2.75%, 03/15/20 | | | 203,000 | | | | 204,542 | |
2.80%, 06/15/21 | | | 620,000 | | | | 624,390 | |
Lehman Escrow Bonds | | | | | | | | |
0.00%, 01/18/12# | | | 600,000 | | | | 27,600 | |
0.00%, 12/28/17# y††† | | | 2,600,000 | | | | — | |
Lennar Corporation | | | | | | | | |
4.50%, 06/15/19 | | | 1,100,000 | | | | 1,128,875 | |
4.13%, 01/15/22 | | | 1,250,000 | | | | 1,279,687 | |
Marriott International, Inc. | | | | | | | | |
3.13%, 10/15/21 | | | 425,000 | | | | 430,520 | |
Masco Corporation | | | | | | | | |
5.95%, 03/15/22 | | | 683,000 | | | | 756,880 | |
McCormick & Co., Inc. | | | | | | | | |
2.70%, 08/15/22 | | | 200,000 | | | | 200,064 | |
Metropolitan Life Global Funding | | | | | | | | |
I 1.95%, 12/03/18 144A | | | 670,000 | | | | 670,022 | |
Morgan Stanley | | | | | | | | |
2.45%, 02/01/19 | | | 560,000 | | | | 561,567 | |
2.75%, 05/19/22 | | | 705,000 | | | | 702,844 | |
(Floating, ICE LIBOR USD 3M + 0.93%), 2.29%, 07/22/22† | | | 2,915,000 | | | | 2,939,903 | |
Motorola Solutions, Inc. | | | | | | | | |
3.50%, 09/01/21 | | | 1,900,000 | | | | 1,930,267 | |
National Retail Properties, Inc. REIT | | | | | | | | |
5.50%, 07/15/21 | | | 151,000 | | | | 163,851 | |
Navient Corporation | | | | | | | | |
5.50%, 01/15/19 | | | 1,800,000 | | | | 1,836,000 | |
4.88%, 06/17/19 | | | 900,000 | | | | 917,460 | |
8.00%, 03/25/20 | | | 400,000 | | | | 433,500 | |
6.63%, 07/26/21 | | | 400,000 | | | | 423,000 | |
NetApp, Inc. | | | | | | | | |
2.00%, 09/27/19 | | | 495,000 | | | | 491,373 | |
Newell Rubbermaid, Inc. | | | | | | | | |
2.60%, 03/29/19 | | | 121,000 | | | | 121,450 | |
Newmont Mining Corporation | | | | | | | | |
3.50%, 03/15/22 | | | 280,000 | | | | 286,107 | |
NextEra Energy Capital Holdings, Inc. | | | | | | | | |
1.65%, 09/01/18 | | | 230,000 | | | | 229,373 | |
Nissan Motor Acceptance Corporation | | | | | | | | |
2.00%, 03/08/19D 144A | | | 5,740,000 | | | | 5,727,062 | |
2.25%, 01/13/20 144A | | | 310,000 | | | | 309,534 | |
2.15%, 09/28/20 144A | | | 515,000 | | | | 510,945 | |
Northwest Airlines Class G-2 | | | | | | | | |
Pass-Through Trust Series 2002-1 | | | | | | | | |
G2 6.26%, 11/20/21 | | | 67,850 | | | | 72,007 | |
Nuance Communications, Inc. | | | | | | | | |
5.38%, 08/15/20 144A | | | 274,000 | | | | 278,453 | |
NuStar Logistics LP | | | | | | | | |
6.75%, 02/01/21 | | | 250,000 | | | | 266,875 | |
| | | | | | | | |
| | | Par | | | Value | |
Nuveen Finance LLC | | | | | | | | |
2.95%, 11/01/19 144A | | $ | 1,300,000 | | | $ | 1,313,011 | |
Omnicom Group, Inc. | | | | | | | | |
3.63%, 05/01/22 | | | 250,000 | | | | 258,348 | |
ONEOK, Inc. | | | | | | | | |
4.25%, 02/01/22D | | | 300,000 | | | | 312,840 | |
Oracle Corporation | | | | | | | | |
2.63%, 02/15/23 | | | 265,000 | | | | 265,775 | |
Pennsylvania Electric Co. | | | | | | | | |
5.20%, 04/01/20 | | | 500,000 | | | | 528,013 | |
Penske Truck Leasing Co. LP | | | | | | | | |
3.38%, 03/15/18 144A | | | 2,900,000 | | | | 2,908,793 | |
2.50%, 06/15/19 144A | | | 190,000 | | | | 190,431 | |
3.20%, 07/15/20 144A | | | 1,000,000 | | | | 1,015,511 | |
3.38%, 02/01/22 144A | | | 650,000 | | | | 662,773 | |
PepsiCo, Inc. | | | | | | | | |
1.35%, 10/04/19 | | | 320,000 | | | | 316,275 | |
Pioneer Natural Resources Co. | | | | | | | | |
6.88%, 05/01/18 | | | 400,000 | | | | 406,187 | |
Pitney Bowes, Inc. | | | | | | | | |
3.63%, 09/15/20 | | | 175,000 | | | | 174,125 | |
Priceline Group, Inc. | | | | | | | | |
2.75%, 03/15/23D | | | 260,000 | | | | 259,372 | |
Pricoa Global Funding | | | | | | | | |
2.45%, 09/21/22 144A | | | 255,000 | | | | 252,878 | |
Protective Life Global Funding | | | | | | | | |
2.16%, 09/25/20 144A | | | 1,565,000 | | | | 1,548,700 | |
QEP Resources, Inc. | | | | | | | | |
6.88%, 03/01/21 | | | 155,000 | | | | 168,175 | |
QUALCOMM, Inc. | | | | | | | | |
2.10%, 05/20/20 | | | 230,000 | | | | 229,112 | |
Radian Group, Inc. | | | | | | | | |
5.25%, 06/15/20 | | | 158,000 | | | | 166,888 | |
Realty Income Corporation REIT | | | | | | | | |
3.25%, 10/15/22 | | | 655,000 | | | | 666,254 | |
Reliance Standard Life Global Funding | | | | | | | | |
II 2.15%, 10/15/18 144A | | | 1,490,000 | | | | 1,491,401 | |
Rockies Express Pipeline LLC | | | | | | | | |
6.00%, 01/15/19 144A | | | 285,000 | | | | 294,263 | |
Royal Caribbean Cruises, Ltd. | | | | | | | | |
2.65%, 11/28/20 | | | 370,000 | | | | 369,983 | |
Ryder System, Inc. | | | | | | | | |
2.50%, 09/01/22 | | | 325,000 | | | | 319,511 | |
S&P Global, Inc. | | | | | | | | |
3.30%, 08/14/20 | | | 800,000 | | | | 815,375 | |
Sabine Pass Liquefaction LLC | | | | | | | | |
5.63%, 02/01/21 | | | 1,170,000 | | | | 1,255,130 | |
6.25%, 03/15/22 | | | 1,100,000 | | | | 1,224,975 | |
Santander Holdings USA, Inc. | | | | | | | | |
2.65%, 04/17/20 | | | 1,500,000 | | | | 1,500,031 | |
3.70%, 03/28/22 144A | | | 815,000 | | | | 825,597 | |
Seagate HDD Cayman | | | | | | | | |
4.25%, 03/01/22 144A | | | 535,000 | | | | 542,030 | |
Sherwin-Williams Co. | | | | | | | | |
2.25%, 05/15/20 | | | 670,000 | | | | 668,140 | |
Sirius XM Radio, Inc. | | | | | | | | |
3.88%, 08/01/22 144A | | | 470,000 | | | | 473,525 | |
| | | | |
| | See Notes to Financial Statements. | | 83 |
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | |
| | | Par | | | Value | |
SLM Corporation | | | | | | | | |
5.13%, 04/05/22 | | $ | 580,000 | | | $ | 604,650 | |
Smithfield Foods, Inc. | | | | | | | | |
2.70%, 01/31/20 144A | | | 250,000 | | | | 248,618 | |
2.65%, 10/03/21 144A | | | 495,000 | | | | 488,692 | |
Southern California Edison Co. | | | | | | | | |
1.85%, 02/01/22 | | | 964,286 | | | | 955,217 | |
Southern Co. | | | | | | | | |
2.95%, 07/01/23 | | | 1,500,000 | | | | 1,502,628 | |
Sprint Communications, Inc. | | | | | | | | |
9.00%, 11/15/18 144A | | | 313,000 | | | | 329,855 | |
Sprint Spectrum Co., LLC | | | | | | | | |
3.36%, 09/20/21 144A | | | 1,753,125 | | | | 1,768,465 | |
Stanley Black & Decker, Inc. | | | | | | | | |
2.45%, 11/17/18 | | | 530,000 | | | | 531,715 | |
Starwood Property Trust, Inc. REIT | | | | | | | | |
5.00%, 12/15/21 | | | 275,000 | | | | 286,000 | |
Stryker Corporation | | | | | | | | |
2.00%, 03/08/19 | | | 300,000 | | | | 299,624 | |
Synchrony Bank | | | | | | | | |
3.00%, 06/15/22 | | | 490,000 | | | | 488,510 | |
Synchrony Financial | | | | | | | | |
2.60%, 01/15/19 | | | 370,000 | | | | 370,786 | |
3.00%, 08/15/19 | | | 390,000 | | | | 392,859 | |
(Floating, ICE LIBOR USD 3M + 1.23%), 2.61%, 02/03/20† | | | 950,000 | | | | 963,662 | |
Targa Resources Partners LP | | | | | | | | |
4.13%, 11/15/19 | | | 150,000 | | | | 151,313 | |
Tech Data Corporation | | | | | | | | |
3.70%, 02/15/22 | | | 390,000 | | | | 391,573 | |
TECO Finance, Inc. | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 0.60%), 1.95%, 04/10/18† | | | 1,500,000 | | | | 1,501,265 | |
Thermo Fisher Scientific, Inc. | | | | | | | | |
3.30%, 02/15/22 | | | 285,000 | | | | 291,955 | |
Time Warner Cable LLC | | | | | | | | |
4.70%, 01/15/21 | | | 170,000 | | | | 179,728 | |
TimeWarner Cable LLC | | | | | | | | |
6.75%, 07/01/18 | | | 1,000,000 | | | | 1,022,290 | |
TRI Pointe Group, Inc. | | | | | | | | |
4.88%, 07/01/21 | | | 300,000 | | | | 312,000 | |
Unit Corporation | | | | | | | | |
6.63%, 05/15/21 | | | 175,000 | | | | 177,188 | |
United States Steel Corporation | | | | | | | | |
8.38%, 07/01/21 144A | | | 1,120,000 | | | | 1,215,760 | |
US Airways Class B Pass-Through Trust Series 2011-1 | | | | | | | | |
9.75%, 10/22/18 | | | 641,317 | | | | 678,004 | |
US Airways Class B Pass-Through Trust Series 2012-1 | | | | | | | | |
8.00%, 10/01/19 | | | 237,772 | | | | 257,982 | |
Verizon Communications, Inc. | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 0.55%), 2.00%, 05/22/20† | | | 1,480,000 | | | | 1,489,123 | |
2.95%, 03/15/22 | | | 285,000 | | | | 287,018 | |
(Floating, ICE LIBOR USD 3M + 1.00%), 2.60%, 03/16/22D † | | | 580,000 | | | | 591,771 | |
Walgreen Co. | | | | | | | | |
3.10%, 09/15/22D | | | 370,000 | | | | 371,883 | |
| | | | | | | | |
| | | Par | | | Value | |
Walgreens Boots Alliance, Inc. | | | | | | | | |
2.70%, 11/18/19 | | $ | 290,000 | | | $ | 291,888 | |
Wal-Mart Stores, Inc. | | | | | | | | |
1.75%, 10/09/19D | | | 1,810,000 | | | | 1,804,040 | |
WEA Finance LLC REIT | | | | | | | | |
2.70%, 09/17/19 144A | | | 260,000 | | | | 261,507 | |
Wells Fargo & Co. | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 0.93%), 2.34%, 02/11/22† | | | 755,000 | | | | 764,758 | |
2.63%, 07/22/22 | | | 545,000 | | | | 542,415 | |
3.07%, 01/24/23 | | | 825,000 | | | | 831,665 | |
Welltower, Inc. REIT | | | | | | | | |
6.13%, 04/15/20 | | | 784,000 | | | | 847,274 | |
West Corporation | | | | | | | | |
4.75%, 07/15/21 144A | | | 310,000 | | | | 314,650 | |
Willis North America, Inc. | | | | | | | | |
3.60%, 05/15/24 | | | 230,000 | | | | 234,142 | |
WR Grace & Co-Conn | | | | | | | | |
5.13%, 10/01/21 144A | | | 135,000 | | | | 142,256 | |
Xerox Corporation | | | | | | | | |
3.63%, 03/15/23 | | | 335,000 | | | | 327,182 | |
Zimmer Biomet Holdings, Inc. | | | | | | | | |
2.00%, 04/01/18 | | | 3,000,000 | | | | 3,001,272 | |
2.70%, 04/01/20 | | | 190,000 | | | | 190,192 | |
Zoetis, Inc. | | | | | | | | |
3.45%, 11/13/20 | | | 300,000 | | | | 307,287 | |
| | | | | | | | |
Total Corporate Bonds
(Cost $216,230,434) | | | | | | | 216,866,849 | |
| | | | | | | | |
FOREIGN BONDS — 17.5% | | | | | |
Australia — 1.5% | | | | | | | | |
Asciano Finance, Ltd. | | | | | | | | |
5.00%, 04/07/18 144A | | | 1,500,000 | | | | 1,509,640 | |
Australia & New Zealand Banking Group, Ltd. | | | | | | | | |
2.05%, 09/23/19 | | | 975,000 | | | | 971,789 | |
Commonwealth Bank of Australia | | | | | | | | |
2.05%, 03/15/19 | | | 590,000 | | | | 589,460 | |
Macquarie Group, Ltd. | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 1.02%), 2.49%, 11/28/23 144A † | | | 1,690,000 | | | | 1,698,112 | |
National Australia Bank, Ltd. | | | | | | | | |
2.25%, 03/16/21 144A | | | 1,500,000 | | | | 1,488,220 | |
Suncorp-Metway, Ltd. | | | | | | | | |
2.10%, 05/03/19 144A | | | 1,700,000 | | | | 1,694,849 | |
2.35%, 04/27/20 144A | | | 420,000 | | | | 418,709 | |
2.38%, 11/09/20D 144A | | | 785,000 | | | | 779,983 | |
Virgin Australia Pass-Through Trust Series 2013-1A | | | | | | | | |
5.00%, 10/23/23 144A | | | 306,053 | | | | 319,061 | |
Westpac Banking Corporation | | | | | | | | |
1.60%, 08/19/19 | | | 750,000 | | | | 742,387 | |
2.15%, 03/06/20 | | | 1,245,000 | | | | 1,239,848 | |
2.10%, 02/25/21 144A | | | 1,500,000 | | | | 1,480,750 | |
Woodside Finance, Ltd. | | | | | | | | |
4.60%, 05/10/21 144A | | | 400,000 | | | | 419,163 | |
3.70%, 09/15/26 144A | | | 400,000 | | | | 402,441 | |
| | | | | | | | |
| | | | | | | 13,754,412 | |
| | | | | | | | |
| | | | |
| 84 | | See Notes to Financial Statements. | | |
| | | | | | | | |
| | | Par | | | Value | |
Bermuda — 0.0% | | | | | | | | |
Enstar Group, Ltd. | | | | | | | | |
4.50%, 03/10/22 | | $ | 275,000 | | | $ | 280,338 | |
| | | | | | | | |
Canada — 1.6% | | | | | | | | |
Air Canada Class C Pass-Through Trust Series 2013-1 | | | | | | | | |
6.63%, 05/15/18 144A | | | 710,000 | | | | 723,312 | |
Alimentation Couche-Tard, Inc. | | | | | | | | |
2.70%, 07/26/22 144A | | | 320,000 | | | | 317,397 | |
Bank of Nova Scotia | | | | | | | | |
1.88%, 04/26/21 | | | 3,035,000 | | | | 2,977,355 | |
Canadian Imperial Bank of Commerce | | | | | | | | |
2.35%, 07/27/22 144A | | | 500,000 | | | | 494,381 | |
Cenovus Energy, Inc. | | | | | | | | |
5.70%, 10/15/19 | | | 1,200,000 | | | | 1,262,697 | |
Enbridge, Inc. | | | | | | | | |
2.90%, 07/15/22 | | | 270,000 | | | | 268,649 | |
National Bank of Canada | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 0.60%), 1.95%, 01/17/20† | | | 400,000 | | | | 402,144 | |
Province of Alberta Canada | | | | | | | | |
1.90%, 12/06/19 | | | 1,000,000 | | | | 993,133 | |
1.75%, 08/26/20 144A | | | 1,000,000 | | | | 985,800 | |
Province of Ontario Canada | | | | | | | | |
2.40%, 02/08/22 | | | 1,000,000 | | | | 997,358 | |
Royal Bank of Canada | | | | | | | | |
2.20%, 09/23/19 | | | 247,000 | | | | 246,962 | |
2.10%, 10/14/20 | | | 1,050,000 | | | | 1,042,853 | |
Toronto-Dominion Bank | | | | | | | | |
2.25%, 03/15/21 144A | | | 800,000 | | | | 795,937 | |
2.50%, 01/18/22 144A | | | 2,600,000 | | | | 2,594,987 | |
TransCanada PipeLines, Ltd. | | | | | | | | |
3.13%, 01/15/19 | | | 115,000 | | | | 116,069 | |
| | | | | | | | |
| | | | | | | 14,219,034 | |
| | | | | | | | |
Chile — 0.1% | | | | | | | | |
Banco Santander Chile | | | | | | | | |
2.50%, 12/15/20 144A | | | 635,000 | | | | 634,921 | |
Itau CorpBanca | | | | | | | | |
3.88%, 09/22/19 144A | | | 500,000 | | | | 510,440 | |
| | | | | | | | |
| | | | | | | 1,145,361 | |
| | | | | | | | |
China — 0.3% | | | | | | | | |
Alibaba Group Holding, Ltd. | | | | | | | | |
2.80%, 06/06/23 | | | 460,000 | | | | 459,035 | |
Baidu, Inc. | | | | | | | | |
2.88%, 07/06/22 | | | 235,000 | | | | 232,536 | |
CNOOC Finance 2013, Ltd. | | | | | | | | |
1.75%, 05/09/18 | | | 1,000,000 | | | | 998,519 | |
Park Aerospace Holdings, Ltd. | | | | | | | | |
5.25%, 08/15/22 144A | | | 285,000 | | | | 284,287 | |
Sinopec Group Overseas Development 2017, Ltd. | | | | | | | | |
2.38%, 04/12/20D 144A | | | 970,000 | | | | 962,437 | |
| | | | | | | | |
| | | | | | | 2,936,814 | |
| | | | | | | | |
Denmark — 2.2% | | | | | | | | |
AP Moeller—Maersk A/S 2.55%, 09/22/19 144A | | | 670,000 | | | | 670,810 | |
| | | | | | | | |
| | | Par | | | Value | |
BRFkredit A/S | | | | | | | | |
1.00%, 01/01/18(D) | | $ | 17,400,000 | | | $ | 2,804,535 | |
Nordea Kredit Realkreditaktieselskab | | | | | | | | |
2.00%, 01/01/18(D) | | | 103,000,000 | | | | 16,602,859 | |
| | | | | | | | |
| | | | | | | 20,078,204 | |
| | | | | | | | |
Finland — 0.1% | | | | | | | | |
Nokia OYJ | | | | | | | | |
5.38%, 05/15/19 | | | 79,000 | | | | 81,864 | |
3.38%, 06/12/22 | | | 820,000 | | | | 816,966 | |
| | | | | | | | |
| | | | | | | 898,830 | |
| | | | | | | | |
France — 0.8% | | | | | | | | |
Banque Federative du Credit Mutuel | | | | | | | | |
2.20%, 07/20/20 144A | | | 1,230,000 | | | | 1,222,559 | |
2.70%, 07/20/22 144A | | | 615,000 | | | | 611,570 | |
BNP Paribas SA | | | | | | | | |
2.95%, 05/23/22 144A | | | 240,000 | | | | 240,768 | |
3.80%, 01/10/24 144A | | | 335,000 | | | | 347,065 | |
BPCE SA | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 1.22%), 2.67%, 05/22/22 144A † | | | 545,000 | | | | 553,287 | |
(Floating, ICE LIBOR USD 3M + 0.88%), 2.36%, 05/31/22† | | | 1,560,000 | | | | 1,574,446 | |
Credit Agricole SA | | | | | | | | |
3.38%, 01/10/22 144A | | | 680,000 | | | | 691,254 | |
Dexia Credit Local SA | | | | | | | | |
2.25%, 02/18/20 | | | 2,100,000 | | | | 2,095,829 | |
| | | | | | | | |
| | | | | | | 7,336,778 | |
| | | | | | | | |
Germany — 0.8% | | | | | | | | |
Erste Abwicklungsanstalt | | | | | | | | |
1.38%, 10/30/19 | | | 2,000,000 | | | | 1,969,146 | |
(Floating, ICE LIBOR USD 3M + 0.21%), 1.75%, 03/09/20† | | | 4,000,000 | | | | 4,007,044 | |
IHO Verwaltungs GmbH Cash coupon 4.13% or PIK | | | | | | | | |
4.88%, 09/15/21 144A | | | 400,000 | | | | 408,000 | |
KFW | | | | | | | | |
1.88%, 11/30/20 | | | 1,095,000 | | | | 1,087,246 | |
| | | | | | | | |
| | | | | | | 7,471,436 | |
| | | | | | | | |
Hong Kong — 0.1% | | | | | | | | |
CK Hutchison International 17 II, Ltd. | | | | | | | | |
2.25%, 09/29/20D 144A | | | 990,000 | | | | 981,604 | |
| | | | | | | | |
India — 0.4% | | | | | | | | |
Export-Import Bank of India | | | | | | | | |
3.88%, 10/02/19 | | | 1,000,000 | | | | 1,020,630 | |
2.75%, 04/01/20 | | | 300,000 | | | | 299,975 | |
ICICI Bank, Ltd. | | | | | | | | |
4.80%, 05/22/19 | | | 1,000,000 | | | | 1,028,820 | |
State Bank of India | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 0.95%), 2.30%, 04/06/20† | | | 1,000,000 | | | | 1,002,600 | |
| | | | | | | | |
| | | | | | | 3,352,025 | |
| | | | | | | | |
Ireland — 1.2% | | | | | | | | |
AerCap Ireland Capital DAC | | | | | | | | |
4.63%, 10/30/20 | | | 650,000 | | | | 681,835 | |
| | | | |
| | See Notes to Financial Statements. | | 85 |
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | |
| | | Par | | | Value | |
5.00%, 10/01/21 | | $ | 200,000 | | | $ | 213,380 | |
3.50%, 05/26/22D | | | 935,000 | | | | 949,840 | |
GE Capital International Funding Co. | | | | | | | | |
2.34%, 11/15/20 | | | 785,000 | | | | 781,704 | |
Shire Acquisitions Investments Ireland DAC | | | | | | | | |
1.90%, 09/23/19 | | | 6,000,000 | | | | 5,948,184 | |
2.40%, 09/23/21 | | | 890,000 | | | | 876,767 | |
2.88%, 09/23/23 | | | 200,000 | | | | 196,872 | |
SMBC Aviation Capital Finance DAC | | | | | | | | |
2.65%, 07/15/21 144A | | | 390,000 | | | | 383,872 | |
3.00%, 07/15/22D 144A | | | 540,000 | | | | 535,328 | |
Willis Towers Watson PLC | | | | | | | | |
5.75%, 03/15/21 | | | 131,000 | | | | 142,654 | |
| | | | | | | | |
| | | | | | | 10,710,436 | |
| | | | | | | | |
Israel — 0.2% | | | | | | | | |
Israel Electric Corporation, Ltd. | | | | | | | | |
5.63%, 06/21/18D | | | 1,500,000 | | | | 1,522,500 | |
| | | | | | | | |
Italy — 0.1% | | | | | | | | |
Intesa Sanpaolo SpA | | | | | | | | |
5.02%, 06/26/24 144A | | | 500,000 | | | | 512,666 | |
Telecom Italia Capital SA | | | | | | | | |
7.00%, 06/04/18 | | | 200,000 | | | | 204,190 | |
| | | | | | | | |
| | | | | | | 716,856 | |
| | | | | | | | |
Japan — 1.3% | | | | | | | | |
Bank of Tokyo-Mitsubishi UFJ, Ltd. | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 1.02%), 2.59%, 09/14/18 144A † | | | 800,000 | | | | 804,484 | |
Central Nippon Expressway Co., Ltd. | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 0.85%), 2.42%, 09/14/21† | | | 1,000,000 | | | | 1,012,028 | |
Daiwa Securities Group, Inc. | | | | | | | | |
3.13%, 04/19/22 144A | | | 435,000 | | | | 438,075 | |
Japan Finance Organization for Municipalities | | | | | | | | |
2.00%, 09/08/20 144A | | | 200,000 | | | | 197,385 | |
Mitsubishi UFJ Financial Group, Inc. | | | | | | | | |
2.95%, 03/01/21 | | | 250,000 | | | | 252,395 | |
(Floating, ICE LIBOR USD 3M + 0.79%), 2.16%, 07/25/22† | | | 1,500,000 | | | | 1,506,544 | |
Mitsubishi UFJ Trust & Banking Corporation | | | | | | | | |
2.65%, 10/19/20 144A | | | 700,000 | | | | 701,316 | |
Mizuho Bank, Ltd. | | | | | | | | |
2.40%, 03/26/20 144A | | | 510,000 | | | | 509,271 | |
Mizuho Financial Group, Inc. | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 0.94%), 2.41%, 02/28/22† | | | 805,000 | | | | 812,562 | |
2.95%, 02/28/22 | | | 245,000 | | | | 245,383 | |
Sumitomo Mitsui Banking Corporation | | | | | | | | |
2.09%, 10/18/19 | | | 825,000 | | | | 821,127 | |
Sumitomo Mitsui Financial Group, Inc. | | | | | | | | |
2.06%, 07/14/21 | | | 1,100,000 | | | | 1,078,562 | |
| | | | | | | | |
| | | Par | | | Value | |
2.85%, 01/11/22 | | $ | 335,000 | | | $ | 335,856 | |
(Floating, ICE LIBOR USD 3M + 0.74%), 2.09%, 10/18/22† | | | 2,000,000 | | | | 2,001,682 | |
Sumitomo Mitsui Trust Bank, Ltd. | | | | | | | | |
2.05%, 03/06/19 144A | | | 420,000 | | | | 418,984 | |
1.95%, 09/19/19 144A | | | 490,000 | | | | 486,208 | |
2.05%, 10/18/19 144A | | | 520,000 | | | | 516,617 | |
| | | | | | | | |
| | | | | | | 12,138,479 | |
| | | | | | | | |
Luxembourg — 0.1% | | | | | | | | |
ArcelorMittal | | | | | | | | |
5.75%, 08/05/20D | | | 500,000 | | | | 530,000 | |
| | | | | | | | |
Netherlands — 2.0% | | | | | | | | |
Bank Nederlandse Gemeenten NV | | | | | | | | |
1.25%, 06/25/18 | | | 2,000,000 | | | | 1,994,998 | |
1.75%, 10/05/20 144A | | | 1,450,000 | | | | 1,431,629 | |
Deutsche Telekom International Finance BV | | | | | | | | |
2.23%, 01/17/20D 144A | | | 620,000 | | | | 617,358 | |
2.82%, 01/19/22 144A | | | 835,000 | | | | 836,839 | |
Enel Finance International NV | | | | | | | | |
2.88%, 05/25/22 144A | | | 200,000 | | | | 199,661 | |
ING Bank NV | | | | | | | | |
2.30%, 03/22/19 144A | | | 360,000 | | | | 360,257 | |
ING Groep NV | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 1.15%), 2.84%, 03/29/22† | | | 365,000 | | | | 372,221 | |
LeasePlan Corporation NV | | | | | | | | |
2.50%, 05/16/18 144A | | | 700,000 | | | | 700,146 | |
2.88%, 01/22/19 144A | | | 2,500,000 | | | | 2,502,338 | |
Majapahit Holding BV | | | | | | | | |
7.75%, 01/20/20 144A | | | 850,000 | | | | 931,855 | |
Mondelez International Holdings Netherlands BV | | | | | | | | |
1.63%, 10/28/19 144A | | | 560,000 | | | | 552,164 | |
Mylan NV | | | | | | | | |
2.50%, 06/07/19 | | | 610,000 | | | | 609,582 | |
Nederlandse Waterschapsbank NV | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 0.02%), 1.61%, 03/15/19 144A † | | | 6,000,000 | | | | 5,999,571 | |
NXP BV | | | | | | | | |
4.13%, 06/01/21 144A | | | 620,000 | | | | 633,950 | |
3.88%, 09/01/22 144A | | | 200,000 | | | | 202,750 | |
| | | | | | | | |
| | | | | | | 17,945,319 | |
| | | | | | | | |
New Zealand — 0.0% | | | | | | | | |
ANZ New Zealand International, Ltd. | | | | | | | | |
2.20%, 07/17/20 144A | | | 340,000 | | | | 338,178 | |
| | | | | | | | |
Norway — 0.3% | | | | | | | | |
DNB Bank ASA | | | | | | | | |
2.13%, 10/02/20 144A | | | 950,000 | | | | 941,330 | |
DNB Boligkreditt AS | | | | | | | | |
2.00%, 05/28/20 144A | | | 1,500,000 | | | | 1,487,550 | |
| | | | | | | | |
| | | | | | | 2,428,880 | |
| | | | | | | | |
| | | | |
| 86 | | See Notes to Financial Statements. | | |
| | | | | | | | |
| | | Par | | | Value | |
Peru — 0.1% | | | | | | | | |
Fondo MIVIVIENDA SA | | | | | | | | |
3.50%, 01/31/23D 144A | | $ | 690,000 | | | $ | 694,416 | |
| | | | | | | | |
Qatar — 0.1% | | | | | | | | |
QNB Finance, Ltd. | | | | | | | | |
2.13%, 02/14/18D | | | 1,000,000 | | | | 999,690 | |
| | | | | | | | |
Singapore — 0.8% | | | | | | | | |
BOC Aviation, Ltd. | | | | | | | | |
3.00%, 05/23/22 | | | 700,000 | | | | 693,188 | |
ST Engineering Financial I, Ltd. | | | | | | | | |
4.80%, 07/16/19D | | | 6,000,000 | | | | 6,213,462 | |
| | | | | | | | |
| | | | | | | 6,906,650 | |
| | | | | | | | |
South Korea — 0.5% | | | | | | | | |
Hyundai Capital Services, Inc. | | | | | | | | |
1.63%, 08/30/19 144A | | | 520,000 | | | | 509,027 | |
Korea Western Power Co., Ltd. | | | | | | | | |
2.88%, 10/10/18 | | | 3,000,000 | | | | 3,004,170 | |
KT Corporation | | | | | | | | |
2.63%, 04/22/19 | | | 800,000 | | | | 798,563 | |
| | | | | | | | |
| | | | | | | 4,311,760 | |
| | | | | | | | |
Sweden — 0.2% | | | | | | | | |
Stadshypotek AB | | | | | | | | |
2.50%, 04/05/22 144A | | | 1,000,000 | | | | 997,119 | |
Svenska Handelsbanken AB | | | | | | | | |
1.50%, 09/06/19 | | | 835,000 | | | | 825,309 | |
Telefonaktiebolaget LM Ericsson | | | | | | | | |
4.13%, 05/15/22 | | | 155,000 | | | | 156,243 | |
| | | | | | | | |
| | | | | | | 1,978,671 | |
| | | | | | | | |
Switzerland — 1.2% | | | | | | | | |
Credit Suisse Group AG | | | | | | | | |
3.57%, 01/09/23 144A | | | 1,000,000 | | | | 1,017,658 | |
Credit Suisse Group Funding Guernsey, Ltd. | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 2.29%), 3.64%, 04/16/21† | | | 1,500,000 | | | | 1,576,658 | |
3.80%, 09/15/22 | | | 450,000 | | | | 464,691 | |
UBS AG | | | | | | | | |
2.38%, 08/14/19 | | | 250,000 | | | | 250,265 | |
2.20%, 06/08/20 144A | | | 1,490,000 | | | | 1,481,339 | |
2.45%, 12/01/20 144A | | | 755,000 | | | | 753,145 | |
(Variable, USD Swap 5Y + 3.77%), 4.75%, 05/22/23† | | | 1,600,000 | | | | 1,614,267 | |
UBS Group Funding Switzerland AG | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 1.78%), 3.14%, 04/14/21D 144A† | | | 900,000 | | | | 934,386 | |
(Floating, ICE LIBOR USD 3M + 1.22%), 2.68%, 05/23/23 144A† | | | 1,455,000 | | | | 1,479,441 | |
3.49%, 05/23/23 144A | | | 450,000 | | | | 457,625 | |
(Variable, ICE LIBOR USD 3M + 0.95%), 2.86%, 08/15/23 144A† | | | 365,000 | | | | 361,215 | |
| | | | | | | | |
| | | | | | | 10,390,690 | |
| | | | | | | | |
| | | | | | | | |
| | | Par | | | Value | |
United Arab Emirates — 0.2% | | | | | |
Abu Dhabi Government International Bond | | | | | | | | |
2.50%, 10/11/22 144A | | $ | 655,000 | | | $ | 643,059 | |
ADCB Finance Cayman, Ltd. | | | | | | | | |
3.00%, 03/04/19 | | | 1,000,000 | | | | 1,004,760 | |
| | | | | | | | |
| | | | | | | 1,647,819 | |
| | | | | | | | |
United Kingdom — 1.3% | | | | | |
Barclays Bank PLC | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 0.46%), 2.06%, 03/16/18† | | | 800,000 | | | | 800,825 | |
Barclays PLC | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 2.11%), 3.52%, 08/10/21† | | | 700,000 | | | | 732,786 | |
3.68%, 01/10/23 | | | 310,000 | | | | 314,874 | |
4.38%, 09/11/24 | | | 785,000 | | | | 805,512 | |
HSBC Holdings PLC | | | | | | | | |
2.95%, 05/25/21 | | | 650,000 | | | | 654,782 | |
(Variable, ICE LIBOR USD 3M + 1.06%), 3.26%, 03/13/23† | | | 555,000 | | | | 563,055 | |
Jaguar Land Rover Automotive PLC | | | | | | | | |
3.50%, 03/15/20 144A | | | 300,000 | | | | 304,749 | |
Lloyds Banking Group PLC | | | | | | | | |
4.50%, 11/04/24 | | | 745,000 | | | | 782,869 | |
Pentair Finance SA | | | | | | | | |
2.90%, 09/15/18 | | | 353,000 | | | | 354,450 | |
Royal Bank of Scotland Group PLC | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 1.47%), 2.89%, 05/15/23† | | | 1,810,000 | | | | 1,830,945 | |
Santander UK Group Holdings PLC | | | | | | | | |
2.88%, 08/05/21 | | | 3,700,000 | | | | 3,695,375 | |
3.57%, 01/10/23 | | | 350,000 | | | | 355,375 | |
Santander UK PLC | | | | | | | | |
2.50%, 03/14/19 | | | 370,000 | | | | 371,203 | |
Standard Chartered PLC | | | | | | | | |
2.10%, 08/19/19 144A | | | 580,000 | | | | 576,553 | |
| | | | | | | | |
| | | | | | | 12,143,353 | |
| | | | | | | | |
Total Foreign Bonds
(Cost $155,701,420) | | | | | | | 157,858,533 | |
| | | | | | | | |
MORTGAGE-BACKED SECURITIES — 19.0% | |
American Home Mortgage Assets Trust Series 2006-5 A1 | | | | | | | | |
(Floating, Federal Reserve U.S. 12 1Y CMT + 0.92%), 1.98%, 11/25/46† | | | 736,734 | | | | 424,888 | |
American Home Mortgage Investment Trust Series 2004-3 5A | | | | | | | | |
(Floating, ICE LIBOR USD 1Y + 1.50%), 3.34%, 10/25/34† | | | 79,455 | | | | 80,143 | |
Americold LLC Series 2010-ARTA A1 | | | | | | | | |
3.85%, 01/14/29 144A | | | 610,863 | | | | 623,809 | |
| | | | |
| | See Notes to Financial Statements. | | 87 |
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | |
| | | Par | | | Value | |
Americold LLC
Series 2010-ARTA A2FL | | | | | | | | |
(Floating, LIBOR USD 1M + 1.50%), 2.97%, 01/14/29 144A† | | $ | 1,686,220 | | | $ | 1,689,048 | |
AOA Mortgage Trust
Series 2015-1177 A | | | | | | | | |
2.96%, 12/13/29 144A | | | 1,330,000 | | | | 1,339,408 | |
Apollo Trust
Series 2009-1 A3 | | | | | | | | |
(Floating, Australian BBSW 1M + 1.30%), 2.97%, 10/03/40† (A) | | | 133,826 | | | | 104,767 | |
Aventura Mall Trust
Series 2013-AVM A | | | | | | | | |
3.74%, 12/05/32 144A†g | | | 1,055,000 | | | | 1,087,826 | |
Banc of America Funding Trust
Series 2006-J 4A1 | | | | | | | | |
3.83%, 01/20/47†g | | | 274,477 | | | | 263,697 | |
Banc of America Mortgage Trust
Series 2003-L 3A1 | | | | | | | | |
3.70%, 01/25/34†g | | | 87,855 | | | | 86,862 | |
Banc of America Mortgage Trust
Series 2004-2 5A1 | | | | | | | | |
6.50%, 10/25/31 | | | 34,039 | | | | 35,657 | |
Banc of America Mortgage Trust
Series 2004-I 3A2 | | | | | | | | |
3.77%, 10/25/34†g | | | 168,816 | | | | 170,853 | |
BBCMS Trust
Series 2015-RRI A | | | | | | | | |
(Floating, LIBOR USD 1M + 1.25%), 2.73%, 05/15/32 144A† | | | 2,092,754 | | | | 2,096,117 | |
Bear Stearns Adjustable Rate Mortgage Trust
Series 2003-8 4A1 | | | | | | | | |
3.77%, 01/25/34†g | | | 171,879 | | | | 173,691 | |
Bear Stearns Adjustable Rate Mortgage Trust
Series 2004-5 2A | | | | | | | | |
3.93%, 07/25/34†g | | | 175,355 | | | | 174,485 | |
Bear Stearns Adjustable Rate Mortgage Trust
Series 2004-7 4A | | | | | | | | |
3.80%, 10/25/34†g | | | 3,617 | | | | 3,617 | |
Bear Stearns Adjustable Rate Mortgage Trust
Series 2005-2 A1 | | | | | | | | |
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.45%), 3.26%, 03/25/35† | | | 271,504 | | | | 275,082 | |
Bear Stearns ALT-4 Trust
Series 2004-10 2A1 | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.66%), 2.21%, 09/25/34† | | | 1,053,750 | | | | 1,030,515 | |
Bear Stearns ALT-4 Trust
Series 2004-13 A1 | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.74%), 2.29%, 11/25/34† | | | 67,997 | | | | 68,193 | |
Bear Stearns Commercial Mortgage Securities Trust
Series 2007-T26 | | | | | | | | |
AM 5.51%, 01/12/45†g | | | 249,087 | | | | 253,045 | |
BX Trust 2017-APPL A | | | | | | | | |
(Floating, LIBOR USD 1M + 0.88%), 2.36%, 07/15/34 144A† | | | 2,400,000 | | | | 2,407,590 | |
Caesars Palace Las Vegas Trust
Series 2017-VICI A | | | | | | | | |
3.53%, 10/15/34 144A | | | 585,000 | | | | 598,941 | |
| | | | | | | | |
| | | Par | | | Value | |
CFCRE Commercial Mortgage Trust
Series 2017-C8 ASB | | | | | | | | |
3.37%, 06/15/50 | | $ | 1,500,000 | | | $ | 1,539,549 | |
CGBAM Commercial Mortgage Trust
Series 2015-SMRT B | | | | | | | | |
3.21%, 04/10/28 144A | | | 850,000 | | | | 852,575 | |
CGDB Commercial Mortgage Trust
Series 2017-BIO A | | | | | | | | |
(Floating, LIBOR USD 1M + 0.75%), 2.23%, 05/15/30 144A† | | | 770,000 | | | | 770,739 | |
Chicago Skyscraper Trust
Series 2017-SKY A | | | | | | | | |
(Floating, LIBOR USD 1M + 0.80%), 2.28%, 02/15/30 144A† | | | 570,000 | | | | 571,467 | |
CHL Mortgage Pass-Through Trust
Series 2004-29 1A1 | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.54%), 2.09%, 02/25/35† | | | 96,562 | | | | 92,512 | |
Citigroup Commercial Mortgage Trust
Series 2015-SHP2 A | | | | | | | | |
(Floating, LIBOR USD 1M + 1.28%), 2.76%, 07/15/27 144A† | | | 1,035,000 | | | | 1,036,587 | |
CLNS Trust Series 2017-IKPR A | | | | | | | | |
(Floating, LIBOR USD 1M + 0.80%), 2.23%, 06/11/32 144A† | | | 420,000 | | | | 420,712 | |
COMM Mortgage Trust
Series 2012-CR4 ASB | | | | | | | | |
2.44%, 10/15/45 | | | 698,344 | | | | 698,659 | |
COMM Mortgage Trust
Series 2013-CR12 A2 | | | | | | | | |
2.90%, 10/10/46 | | | 2,055,000 | | | | 2,066,154 | |
COMM Mortgage Trust
Series 2013-SFS A1 | | | | | | | | |
1.87%, 04/12/35 144A | | | 444,377 | | | | 434,074 | |
COMM Mortgage Trust
Series 2014-PAT A | | | | | | | | |
(Floating, LIBOR USD 1M + 0.80%), 2.23%, 08/13/27 144A† | | | 100,000 | | | | 100,233 | |
COMM Mortgage Trust
Series 2014-TWC A | | | | | | | | |
(Floating, LIBOR USD 1M + 0.85%), 2.28%, 02/13/32 144A† | | | 1,728,000 | | | | 1,730,894 | |
COMM Mortgage Trust
Series 2015-CR25 ASB | | | | | | | | |
3.54%, 08/10/48 | | | 1,160,000 | | | | 1,200,394 | |
COMM Mortgage Trust
Series 2015-CR4 ASB | | | | | | | | |
3.45%, 08/10/48 | | | 480,000 | | | | 496,388 | |
COMM Mortgage Trust
Series 2015-LC21 XA | | | | | | | | |
0.85%, 07/10/48†g IO | | | 6,726,235 | | | | 270,344 | |
COMM Trust
Series 2013-GAM A1 | | | | | | | | |
1.71%, 02/10/28 144A | | | 604,258 | | | | 596,047 | |
Core Industrial Trust
Series 2015-TEXW A | | | | | | | | |
3.08%, 02/10/34 144A | | | 1,450,000 | | | | 1,474,754 | |
| | | | |
| 88 | | See Notes to Financial Statements. | | |
| | | | | | | | |
| | | Par | | | Value | |
CSAIL Commercial Mortgage Trust
Series 2016-C6 XA | | | | | | | | |
1.81%, 01/15/49†g IO | | $ | 993,730 | | | $ | 103,915 | |
CSMC Trust
Series 2013-IVR2 AD | | | | | | | | |
1.55%, 04/25/43 144A | | | 720,069 | | | | 702,246 | |
CSMC Trust
Series 2017-1 | | | | | | | | |
4.50%, 03/25/21 | | | 572,405 | | | | 578,418 | |
Deutsche Alt-B Securities Mortgage Loan Trust
Series 2006-AB4 A6A1 | | | | | | | | |
5.87%, 10/25/36 STEP | | | 246,905 | | | | 233,999 | |
Deutsche Alt-B Securities Mortgage Loan Trust
Series 2006-AB4 A6A2 | | | | | | | | |
5.89%, 10/25/36 STEP | | | 246,905 | | | | 233,996 | |
Fannie Mae Connecticut Avenue Securities
Series 2013-C01 | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 2.00%), 3.55%, 10/25/23† | | | 177,041 | | | | 178,323 | |
Fannie Mae Connecticut Avenue Securities
Series 2014-C01 | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 1.60%), 3.15%, 01/25/24† | | | 290,531 | | | | 292,932 | |
Fannie Mae Connecticut Avenue Securities
Series 2014-C02 | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.95%), 2.50%, 05/25/24† | | | 243,783 | | | | 244,659 | |
Fannie Mae Connecticut Avenue Securities
Series 2016-C01 | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 1.95%), 3.50%, 08/25/28† | | | 854,671 | | | | 861,396 | |
Fannie Mae Connecticut Avenue Securities
Series 2016-C02 | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 2.15%), 3.70%, 09/25/28† | | | 313,581 | | | | 316,698 | |
Fannie Mae Connecticut Avenue Securities
Series 2016-C05 | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 1.35%), 2.90%, 01/25/29† | | | 480,711 | | | | 483,701 | |
Fannie Mae Connecticut Avenue Securities
Series 2017-C02 | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 1.15%), 2.70%, 09/25/29† | | | 2,638,392 | | | | 2,662,742 | |
Fannie Mae Connecticut Avenue Securities
Series 2017-C04 | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.85%), 2.40%, 11/25/29† | | | 2,078,856 | | | | 2,090,713 | |
Fannie Mae Connecticut Avenue Securities
Series 2017-C07 | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.65%), 2.20%, 05/25/30† | | | 1,888,771 | | | | 1,892,067 | |
FDIC Guaranteed Notes Trust
Series 2010-S1 2A | | | | | | | | |
3.25%, 04/25/38 144A | | | 170,364 | | | | 170,804 | |
FDIC Guaranteed Notes Trust
Series 2010-S4 A | | | | | | | | |
(Floating, LIBOR USD 1M + 0.72%), 2.09%, 12/04/20 144A † | | | 1,015,159 | | | | 1,017,779 | |
| | | | | | | | |
| | | Par | | | Value | |
FDIC Trust
Series 2010-R1 A | | | | | | | | |
2.18%, 05/25/50 144A | | $ | 196,312 | | | $ | 196,761 | |
Federal Home Loan Mortgage Corporation | | | | | | | | |
5.00%, 01/01/19 | | | 15,226 | | | | 15,533 | |
5.00%, 02/01/19 | | | 19,197 | | | | 19,584 | |
5.00%, 12/01/19 | | | 59,624 | | | | 60,961 | |
5.50%, 05/01/22 | | | 179,286 | | | | 184,161 | |
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.36%), | | | | | | | | |
3.35%, 07/01/27† | | | 5,368 | | | | 5,649 | |
2.50%, 11/01/27 | | | 1,769,107 | | | | 1,779,383 | |
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.25%), 3.49%, 11/01/31† | | | 37,986 | | | | 39,965 | |
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.25%), 3.01%, 04/01/32† | | | 6,338 | | | | 6,630 | |
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.04%), 2.91%, 06/01/33† | | | 483,335 | | | | 507,244 | |
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.25%), 3.50%, 10/01/34† | | | 101,706 | | | | 107,231 | |
(Floating, ICE LIBOR USD 1Y + 1.75%), 3.59%, 08/01/35† | | | 397,959 | | | | 419,530 | |
(Floating, ICE LIBOR USD 1Y + 1.35%), 3.10%, 09/01/35† | | | 180,479 | | | | 186,869 | |
(Floating, ICE LIBOR USD 1Y + 1.63%), 3.38%, 10/01/35† | | | 220,372 | | | | 230,625 | |
(Floating, ICE LIBOR USD 1Y + 1.52%), 3.21%, 04/01/36† | | | 306,262 | | | | 319,760 | |
Federal Home Loan Mortgage Corporation REMIC Series 3228 | | | | | | | | |
(Floating, LIBOR USD 1M + 0.50%), 1.98%, 10/15/36† | | | 1,829,116 | | | | 1,839,334 | |
Federal Home Loan Mortgage Corporation REMIC
Series 3710 | | | | | | | | |
4.00%, 08/15/25 STEP | | | 182,767 | | | | 192,747 | |
Federal Home Loan Mortgage Corporation REMIC
Series 3959 | | | | | | | | |
4.50%, 11/15/41 | | | 452,386 | | | | 479,184 | |
Federal Home Loan Mortgage Corporation REMIC
Series 3986 | | | | | | | | |
4.50%, 09/15/41 | | | 487,634 | | | | 516,434 | |
Federal Home Loan Mortgage Corporation REMIC
Series 4274 | | | | | | | | |
3.50%, 10/15/35 | | | 406,640 | | | | 416,652 | |
Federal Home Loan Mortgage Corporation REMIC
Series 4390 | | | | | | | | |
3.50%, 06/15/50 | | | 529,100 | | | | 544,382 | |
Federal Home Loan Mortgage Corporation REMIC
Series 4446 | | | | | | | | |
3.50%, 12/15/50 | | | 1,025,000 | | | | 1,052,417 | |
Federal Home Loan Mortgage Corporation REMIC
Series 4459 | | | | | | | | |
3.00%, 08/15/43 | | | 739,147 | | | | 744,403 | |
| | | | |
| | See Notes to Financial Statements. | | 89 |
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | |
| | | Par | | | Value | |
Federal Home Loan Mortgage Corporation REMIC
Series 4482 | | | | | | | | |
3.00%, 06/15/42 | | $ | 424,936 | | | $ | 430,641 | |
Federal Home Loan Mortgage Corporation REMIC
Series 4493 | | | | | | | | |
3.00%, 02/15/44 | | | 566,453 | | | | 576,846 | |
Federal Home Loan Mortgage Corporation REMIC
Series 4494 | | | | | | | | |
3.75%, 10/15/42 | | | 694,780 | | | | 720,760 | |
Federal Home Loan Mortgage Corporation REMIC
Series 4593 | | | | | | | | |
4.00%, 04/15/54 | | | 1,257,731 | | | | 1,316,808 | |
Federal National Mortgage Association | | | | | | | | |
5.00%, 07/01/19 | | | 12,271 | | | | 12,511 | |
5.00%, 05/01/21 | | | 70,168 | | | | 71,470 | |
5.00%, 11/01/21 | | | 36,093 | | | | 36,763 | |
3.74%, 09/01/23 | | | 2,814,952 | | | | 2,947,124 | |
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.99%), 2.94%, 12/01/24† CONV | | | 11,054 | | | | 11,260 | |
2.50%, 12/01/27 | | | 1,036,332 | | | | 1,041,844 | |
2.50%, 06/01/31 | | | 22,718 | | | | 22,701 | |
2.50%, 07/01/31 | | | 2,686 | | | | 2,684 | |
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.22%), 3.37%, 09/01/31† | | | 49,970 | | | | 51,998 | |
2.50%, 10/01/31 | | | 968,939 | | | | 968,206 | |
2.50%, 11/01/31 | | | 1,916,195 | | | | 1,915,144 | |
2.50%, 01/01/32 | | | 18,092 | | | | 18,090 | |
2.50%, 01/18/32 TBA | | | 1,680,000 | | | | 1,677,507 | |
3.00%, 01/18/32 TBA | | | 6,000,000 | | | | 6,111,798 | |
3.50%, 01/18/32 TBA | | | 2,675,000 | | | | 2,761,255 | |
4.00%, 01/18/32 TBA | | | 545,000 | | | | 560,530 | |
4.50%, 01/18/32 TBA | | | 510,000 | | | | 517,401 | |
(Floating, ICE LIBOR USD 1M + 1.30%), 2.55%, 08/01/32† | | | 416,985 | | | | 425,999 | |
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.21%), 2.98%, 12/01/32† | | | 346,803 | | | | 366,495 | |
(Floating, ICE LIBOR USD 6M + 1.88%), 2.71%, 04/01/33† | | | 84,978 | | | | 88,937 | |
(Floating, ICE LIBOR USD 1Y + 1.45%), 3.17%, 06/01/33† | | | 51,475 | | | | 54,613 | |
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.41%), 3.41%, 06/01/33† | | | 37,000 | | | | 38,883 | |
(Floating, ICE LIBOR USD 1Y + 1.80%), 3.55%, 10/01/33† | | | 105,090 | | | | 110,901 | |
(Floating, ICE LIBOR USD 1Y + 1.42%), 3.17%, 09/01/34† | | | 149,188 | | | | 155,349 | |
(Floating, ICE LIBOR USD 1Y + 1.33%), 3.08%, 10/01/34† | | | 91,744 | | | | 95,248 | |
(Floating, ICE LIBOR USD 1Y + 1.48%), 3.23%, 10/01/34† | | | 109,722 | | | | 114,540 | |
(Floating, ICE LIBOR USD 1Y + 1.66%), 3.30%, 02/01/35† | | | 174,552 | | | | 183,576 | |
(Floating, ICE LIBOR USD 1Y + 1.74%), 3.49%, 09/01/35† | | | 194,909 | | | | 204,539 | |
| | | | | | | | |
| | | Par | | | Value | |
(Floating, ICE LIBOR USD 1Y + 1.74%), 3.41%, 12/01/35† | | $ | 8,155 | | | $ | 8,310 | |
(Floating, ICE LIBOR USD 1Y + 1.73%), 3.49%, 05/01/38† | | | 1,837,117 | | | | 1,932,107 | |
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.20%), 2.20%, 08/01/42† | | | 312,229 | | | | 317,644 | |
(Floating, ICE LIBOR USD 1Y + 1.74%), 3.39%, 09/01/42† | | | 801,550 | | | | 825,934 | |
(Floating, ICE LIBOR USD 1Y + 1.70%), 2.72%, 07/01/43† | | | 1,298,319 | | | | 1,315,004 | |
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.20%), 2.20%, 07/01/44† | | | 166,586 | | | | 169,609 | |
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.20%), 2.20%, 10/01/44† | | | 140,001 | | | | 142,454 | |
(Floating, ICE LIBOR USD 1Y + 1.59%), 2.68%, 06/01/45† | | | 1,411,820 | | | | 1,424,207 | |
Federal National Mortgage Association ACES
Series 2015-M4 | | | | | | | | |
0.56%, 07/25/22†g IO | | | 21,889,017 | | | | 456,605 | |
Federal National Mortgage Association ACES
Series 2016-M6 | | | | | | | | |
1.79%, 06/25/19 | | | 716,437 | | | | 715,203 | |
Federal National Mortgage Association REMIC
Series 2004-80 | | | | | | | | |
4.00%, 11/25/19 | | | 7,208 | | | | 7,239 | |
Federal National Mortgage Association REMIC
Series 2006-98 | | | | | | | | |
(Floating, LIBOR USD 1M + 0.43%), 1.98%, 10/25/36† | | | 272,529 | | | | 273,980 | |
Federal National Mortgage Association REMIC
Series 2007-100 | | | | | | | | |
(Floating, LIBOR USD 1M + 0.55%), 2.10%, 10/25/37† | | | 523,959 | | | | 528,342 | |
Federal National Mortgage Association REMIC
Series 2010-72 | | | | | | | | |
(Floating, LIBOR USD 1M + 0.72%), 2.27%, 07/25/40† | | | 1,206,357 | | | | 1,226,324 | |
Federal National Mortgage Association REMIC Series 2011-48 | | | | | | | | |
4.00%, 06/25/26 STEP | | | 270,086 | | | | 284,240 | |
Federal National Mortgage Association REMIC
Series 2011-87 | | | | | | | | |
(Floating, LIBOR USD 1M + 0.55%), 2.10%, 09/25/41† | | | 1,428,670 | | | | 1,441,773 | |
Federal National Mortgage Association REMIC
Series 2012-79 | | | | | | | | |
(Floating, LIBOR USD 1M + 0.45%), 2.00%, 07/25/42† | | | 356,409 | | | | 358,801 | |
| | | | |
| 90 | | See Notes to Financial Statements. | | |
| | | | | | | | |
| | | Par | | | Value | |
Federal National Mortgage Association REMIC
Series 2015-38 | | | | | | | | |
(Floating, LIBOR USD 1M + 0.31%), 1.55%, 06/25/55† | | $ | 535,836 | | | $ | 535,270 | |
Federal National Mortgage Association REMIC Series 2016-11 | | | | | | | | |
(Floating, LIBOR USD 1M + 0.50%), 1.74%, 03/25/46† | | | 2,795,518 | | | | 2,797,921 | |
Federal National Mortgage Association REMIC
Series 2016-40 | | | | | | | | |
(Floating, LIBOR USD 1M + 0.45%), 1.69%, 07/25/46† | | | 3,378,595 | | | | 3,375,714 | |
FHLMC Multifamily Structured Pass Through Certificates
Series KIR2 | | | | | | | | |
2.75%, 03/25/27 | | | 485,297 | | | | 488,623 | |
FHLMC Multifamily Structured Pass Through Certificates
Series KJ18 | | | | | | | | |
3.07%, 08/25/22 | | | 390,000 | | | | 398,456 | |
FHLMC Multifamily Structured Pass Through Certificates Series KW01 | | | | | | | | |
0.98%, 01/25/26† g IO | | | 2,670,014 | | | | 162,489 | |
FHLMC Structured Agency Credit Risk Debt Notes
Series 2013-DN2 | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 1.45%), 3.00%, 11/25/23† | | | 33,325 | | | | 33,361 | |
FHLMC Structured Agency Credit Risk Debt Notes
Series 2017-DNA2 | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 1.20%), 2.75%, 10/25/29† | | | 2,035,158 | | | | 2,067,615 | |
FHLMC Structured Agency Credit Risk Debt Notes
Series 2017-HQA3 | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.55%), 2.10%, 04/25/30† | | | 989,911 | | | | 990,065 | |
FHLMC Structured Pass-Through Certificates
Series T-56 | | | | | | | | |
(Floating, LIBOR USD 1M + 1.00%), 2.55%, 05/25/43† | | | 537,826 | | | | 550,585 | |
FHLMC Structured Pass-Through Certificates
Series T-61 | | | | | | | | |
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.40%), 2.40%, 07/25/44† | | | 716,698 | | | | 724,235 | |
First Horizon Alternative Mortgage Securities Trust
Series 2004-AA1 A1 | | | | | | | | |
3.33%, 06/25/34†g | | | 207,457 | | | | 206,283 | |
FNBA Mortgage Loan Trust
Series 2004-AR1 A2 | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.40%), 1.90%, 08/19/34† | | | 775,661 | | | | 772,949 | |
GAHR Commercial Mortgage Trust
Series 2015-NRF AFL1 | | | | | | | | |
(Floating, LIBOR USD 1M + 1.30%), 2.55%, 12/15/34 144A† | | | 285,277 | | | | 285,515 | |
GE Commercial Mortgage Corporation Trust
Series 2007-C1 A1A | | | | | | | | |
5.48%, 12/10/49†g | | | 97,237 | | | | 97,720 | |
| | | | | | | | |
| | | Par | | | Value | |
Gosforth Funding PLC
Series 2016-1A A1B | | | | | | | | |
(Floating, ICE LIBOR GBP 3M + 0.60%), 1.13%, 02/15/58 144A † (U) | | $ | 657,644 | | | $ | 891,191 | |
Government National Mortgage Association | | | | | | | | |
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%), 2.63%, 06/20/21† | | | 1,229 | | | | 1,249 | |
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%), 2.38%, 03/20/22† | | | 72,744 | | | | 74,172 | |
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%), 2.38%, 01/20/23† | | | 13,329 | | | | 13,710 | |
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%), 2.63%, 05/20/24† | | | 27,040 | | | | 27,719 | |
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%), 2.75%, 07/20/25† | | | 37,843 | | | | 38,930 | |
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%), 2.75%, 08/20/25† | | | 10,097 | | | | 10,391 | |
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%), 2.25%, 11/20/25† | | | 35,967 | | | | 37,117 | |
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%), 2.25%, 12/20/26† | | | 50,057 | | | | 51,798 | |
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%), 2.75%, 07/20/27† | | | 1,160 | | | | 1,199 | |
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%), 2.25%, 10/20/27† | | | 18,375 | | | | 19,039 | |
8.50%, 10/15/29 | | | 21,553 | | | | 22,053 | |
8.50%, 03/15/30 | | | 493 | | | | 495 | |
8.50%, 04/15/30 | | | 4,346 | | | | 4,413 | |
8.50%, 05/15/30 | | | 58,234 | | | | 60,363 | |
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%), 2.63%, 05/20/30† | | | 28,977 | | | | 30,049 | |
8.50%, 07/15/30 | | | 44,052 | | | | 46,358 | |
8.50%, 08/15/30 | | | 5,062 | | | | 5,149 | |
8.50%, 11/15/30 | | | 7,090 | | | | 7,389 | |
8.50%, 12/15/30 | | | 25,990 | | | | 29,133 | |
8.50%, 02/15/31 | | | 15,517 | | | | 16,097 | |
Government National Mortgage Association
Series 2000-9 | | | | | | | | |
(Floating, LIBOR USD 1M + 0.60%), 2.09%, 02/16/30† | | | 49,626 | | | | 50,100 | |
Government National Mortgage Association
Series 2007-30 | | | | | | | | |
(Floating, LIBOR USD 1M + 0.30%), 1.80%, 05/20/37† | | | 141,657 | | | | 141,457 | |
Government National Mortgage Association
Series 2011-H08 | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.60%), 1.84%, 02/20/61† | | | 1,226,381 | | | | 1,229,647 | |
| | | | |
| | See Notes to Financial Statements. | | 91 |
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | |
| | | Par | | | Value | |
Government National Mortgage Association
Series 2012-102 | | | | | | | | |
3.50%, 08/20/39 | | $ | 1,500,000 | | | $ | 1,526,428 | |
Government National Mortgage Association
Series 2013-H13 | | | | | | | | |
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 0.45%), 1.88%, 05/20/63† | | | 1,964,107 | | | | 1,970,935 | |
Government National Mortgage Association
Series 2016-H07 | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.77%), 2.01%, 02/20/66† | | | 1,101,229 | | | | 1,107,515 | |
Government National Mortgage Association
Series 2016-H22 | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.77%), 2.01%, 10/20/66† | | | 2,434,913 | | | | 2,456,862 | |
Government National Mortgage Association
Series 2017-H09 | | | | | | | | |
(Floating, ICE LIBOR USD 1Y + 0.75%), 2.55%, 04/20/67† | | | 2,997,666 | | | | 3,088,521 | |
Government National Mortgage Association
Series 2017-H10 | | | | | | | | |
(Floating, ICE LIBOR USD 1Y + 0.75%), 2.55%, 04/20/67† | | | 3,449,582 | | | | 3,556,408 | |
GRACE Mortgage Trust
Series 2014-GRCE A | | | | | | | | |
3.37%, 06/10/28 144A | | | 1,250,000 | | | | 1,283,130 | |
Great Wolf Trust
Series 2017-WOLF A | | | | | | | | |
(Floating, LIBOR USD 1M + 0.85%), 2.48%, 09/15/34 144A† | | | 390,000 | | | | 391,945 | |
GreenPoint Mortgage Funding Trust
Series 2005-AR5 1A1 | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.27%), 1.82%, 11/25/45† | | | 161,060 | | | | 142,797 | |
GreenPoint Mortgage Funding Trust Series 2006-OH1 A1 | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.18%), 1.73%, 01/25/37† | | | 482,007 | | | | 455,783 | |
GS Mortgage Securities Trust Series 2013-GC13 AAB | | | | | | | | |
3.72%, 07/10/46 | | | 2,700,000 | | | | 2,790,276 | |
GSR Mortgage Loan Trust
Series 2004-11 5A1 | | | | | | | | |
3.81%, 09/25/34†g | | | 222,014 | | | | 226,852 | |
GSR Mortgage Loan Trust
Series 2005-AR6 2A1 | | | | | | | | |
3.47%, 09/25/35†g | | | 159,598 | | | | 163,355 | |
Impac CMB Trust Series 2003-1 1A1 | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.80%), 2.35%, 03/25/33† | | | 109,871 | | | | 109,186 | |
IndyMac INDX Mortgage Loan Trust
Series 2006-AR12 A1 | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.19%), 1.74%, 09/25/46† | | | 572,945 | | | | 507,701 | |
IndyMac INDX Mortgage Loan Trust
Series 2007-FLX3 A2 | | | | | | | | |
(Floating, LIBOR USD 1M + 0.27%), 1.60%, 06/25/37† | | | 286,790 | | | | 223,784 | |
| | | | | | | | |
| | | Par | | | Value | |
JP Morgan Chase Commercial Mortgage Securities Trust
Series 2011-C4 A3 | | | | | | | | |
4.11%, 07/15/46 144A | | $ | 1,318,174 | | | $ | 1,322,905 | |
JP Morgan Chase Commercial Mortgage Securities Trust
Series 2012-CBX A4 | | | | | | | | |
3.48%, 06/15/45 | | | 1,310,000 | | | | 1,349,046 | |
JP Morgan Chase Commercial Mortgage Securities Trust
Series 2012-CBX A4FX | | | | | | | | |
3.48%, 06/15/45 144A | | | 800,000 | | | | 823,845 | |
JP Morgan Chase Commercial Mortgage Securities Trust
Series 2013-LC11 ASB | | | | | | | | |
2.55%, 04/15/46 | | | 1,335,000 | | | | 1,337,017 | |
JP Morgan Chase Commercial Mortgage Securities Trust
Series 2014-C23 ASB | | | | | | | | |
3.66%, 09/15/47 | | | 365,000 | | | | 379,125 | |
JP Morgan Chase Commercial Mortgage Securities Trust
Series 2016-JP4 XA | | | | | | | | |
0.81%, 12/15/49†g IO | | | 1,986,269 | | | | 88,212 | |
JP Morgan Chase Commercial Mortgage Securities Trust
Series 2017-JP7 A3 A3 | | | | | | | | |
3.38%, 09/15/50 | | | 1,500,000 | | | | 1,538,534 | |
JP Morgan Mortgage Trust
Series 2005-A1 6T1 | | | | | | | | |
3.66%, 02/25/35†g | | | 43,821 | | | | 43,545 | |
JP Morgan Mortgage Trust
Series 2013-1 2A2 | | | | | | | | |
2.50%, 03/25/43 144A | | | 211,383 | | | | 210,525 | |
JP Morgan Mortgage Trust Series 2016-2 A1 | | | | | | | | |
2.69%, 06/25/46 144A †g | | | 1,140,774 | | | | 1,141,372 | |
JP Morgan Mortgage Trust
Series 2017-1 A4 | | | | | | | | |
3.50%, 01/25/47 144A | | | 1,740,260 | | | | 1,772,294 | |
JP Morgan Mortgage Trust
Series 2017-1 A5 | | | | | | | | |
3.50%, 01/25/47 144A | | | 1,004,504 | | | | 1,021,607 | |
JP Morgan Mortgage Trust
Series 2017-2 A6 | | | | | | | | |
3.00%, 05/25/47 144A | | | 1,330,367 | | | | 1,336,189 | |
JP Morgan Mortgage Trust
Series 2017-3 1A6 | | | | | | | | |
3.00%, 08/25/47 144A | | | 2,946,994 | | | | 2,967,849 | |
JP Morgan Mortgage Trust
Series 2017-4 A6 | | | | | | | | |
3.00%, 11/25/48 144A | | | 2,023,816 | | | | 2,028,481 | |
JP Morgan Mortgage Trust
Series 2017-5 A1A | | | | | | | | |
3.00%, 10/26/48 144A†g | | | 2,752,060 | | | | 2,769,831 | |
JP Morgan Mortgage Trust
Series 2017-6 A6 | | | | | | | | |
3.00%, 12/25/48 144A | | | 850,000 | | | | 852,537 | |
| | | | |
| 92 | | See Notes to Financial Statements. | | |
| | | | | | | | |
| | | Par | | | Value | |
LB-UBS Commercial Mortgage Trust
Series 2007-C6 AM | | | | | | | | |
6.11%, 07/15/40 | | $ | 433,855 | | | $ | 433,652 | |
LSTAR Commercial Mortgage Trust
Series 2017-5 A1 | | | | | | | | |
2.42%, 03/10/50 144A | | | 2,420,102 | | | | 2,409,399 | |
Luminent Mortgage Trust Series 2006-7 2A1 | | | | | | | | |
(Floating, LIBOR USD 1M + 0.17%), 1.50%, 12/25/36† | | | 547,884 | | | | 490,909 | |
MASTR Adjustable Rate Mortgages Trust Series 2003-6 3A1 | | | | | | | | |
3.54%, 12/25/33† g | | | 239,129 | | | | 240,777 | |
Merrill Lynch Mortgage Investors Trust
Series 2006-1 2A1 | | | | | | | | |
3.13%, 02/25/36† g | | | 318,788 | | | | 318,048 | |
Morgan Stanley Bank of America Merrill Lynch Trust
Series 2013-C12 ASB | | | | | | | | |
3.82%, 10/15/46 | | | 1,500,000 | | | | 1,558,053 | |
Morgan Stanley Bank of America Merrill Lynch Trust
Series 2013-C9 AAB | | | | | | | | |
2.66%, 05/15/46 | | | 300,000 | | | | 301,509 | |
Morgan Stanley Bank of America Merrill Lynch Trust
Series 2015-C22 ASB | | | | | | | | |
3.04%, 04/15/48 | | | 2,000,000 | | | | 2,030,974 | |
Morgan Stanley Bank of America | | | | | | | | |
Merrill Lynch Trust Series 2016-C32 XA | | | | | | | | |
0.77%, 12/15/49†g IO | | | 1,984,764 | | | | 102,457 | |
Morgan Stanley Capital I Trust
Series 2014-CPT A | | | | | | | | |
3.35%, 07/13/29 144A | | | 815,000 | | | | 834,371 | |
National RMBS Trust Series 2012-2 A1 | | | | | | | | |
(Floating, Australian BBSW 1M + 1.10%), 2.81%, 06/20/44† (A) | | | 166,002 | | | | 130,306 | |
NCUA Guaranteed Notes Trust
Series 2011-C1 2A | | | | | | | | |
(Floating, LIBOR USD 1M + 0.53%), 1.93%, 03/09/21† | | | 821,539 | | | | 819,854 | |
New Residential Mortgage Loan Trust
Series 2017-3A A1 | | | | | | | | |
4.00%, 04/25/57 144A | | | 2,299,584 | | | | 2,379,534 | |
New Residential Mortgage Loan Trust
Series 2017-4A A1 | | | | | | | | |
4.00%, 05/25/57 144A | | | 2,420,703 | | | | 2,507,647 | |
RAIT Trust Series 2017-FL7 A | | | | | | | | |
(Floating, LIBOR USD 1M + 0.95%), 2.43%, 06/15/37 144A† | | | 379,947 | | | | 380,319 | |
Resource Capital Corporation, Ltd. Series 2017-CRE5 A | | | | | | | | |
(Floating, LIBOR USD 1M + 0.80%), 2.28%, 07/15/34 144A† | | | 520,970 | | | | 521,850 | |
| | | | | | | | |
| | | Par | | | Value | |
RFMSI Trust Series 2003-S9 A1 | | | | | | | | |
6.50%, 03/25/32 | | $ | 9,704 | | | $ | 10,013 | |
Rochester Financing No. 1 PLC Series 1A1 | | | | | | | | |
(Floating, ICE LIBOR GBP 3M + 1.45%), 1.83%, 07/16/46† (U) | | | 211,341 | | | | 285,566 | |
Sequoia Mortgage Trust 2017-CH1 A2 | | | | | | | | |
3.50%, 10/25/47 144A | | | 848,531 | | | | 857,493 | |
Sequoia Mortgage Trust
Series 2012-1 1A1 | | | | | | | | |
2.87%, 01/25/42 | | | 105,105 | | | | 105,906 | |
Sequoia Mortgage Trust
Series 2013-1 1A1 | | | | | | | | |
1.45%, 02/25/43 | | | 256,743 | | | | 248,617 | |
Sequoia Mortgage Trust
Series 2013-4 A3 | | | | | | | | |
1.55%, 04/25/43 | | | 417,637 | | | | 407,912 | |
Sequoia Mortgage Trust
Series 2017-CH1 A11 | | | | | | | | |
3.50%, 10/25/47 144A | | | 1,494,907 | | | | 1,513,179 | |
Sequoia Mortgage Trust
Series 2017-CH2 A10 | | | | | | | | |
4.00%, 12/25/47 144A | | | 1,444,795 | | | | 1,476,093 | |
Structured Adjustable Rate Mortgage Loan Trust
Series 2004-10 3A1 | | | | | | | | |
3.50%, 08/25/34†g | | | 322,106 | | | | 318,236 | |
Structured Adjustable Rate Mortgage Loan Trust
Series 2004-13 A2 | | | | | | | | |
(Floating, LIBOR USD 1M + 0.30%), 0.49%, 09/25/34† | | | 81,254 | | | | 76,281 | |
Structured Asset Mortgage Investments II Trust
Series 2005-AR5 A1 | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.25%), 1.75%, 07/19/35† | | | 77,880 | | | | 74,755 | |
Structured Asset Mortgage Investments II Trust
Series 2005-AR8 A1A | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.28%), 1.83%, 02/25/36† | | | 438,402 | | | | 417,261 | |
TBW Mortgage-Backed Trust
Series 2007-2 A6A | | | | | | | | |
6.01%, 07/25/37 STEP | | | 293,765 | | | | 218,825 | |
TORRENS Trust Series 2013-1 A | | | | | | | | |
(Floating, Australian BBSW 1M + 0.95%), 2.63%, 04/12/44† (A) | | | 841,088 | | | | 656,705 | |
Waldorf Astoria Boca Raton Trust Series 2016-BOCA A | | | | | | | | |
(Floating, LIBOR USD 1M + 1.35%), 2.83%, 06/15/29 144A† | | | 210,000 | | | | 210,348 | |
Washington Mutual Mortgage Pass-Through Certificates
Series 2002-AR6 A | | | | | | | | |
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.40%), 2.46%, 06/25/42† | | | 11,979 | | | | 11,628 | |
| | | | |
| | See Notes to Financial Statements. | | 93 |
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | |
| | | Par | | | Value | |
Washington Mutual Mortgage Pass-Through Certificates Series 2003-AR8 A | | | | | | | | |
3.24%, 08/25/33† g | | $ | 253,160 | | | $ | 256,992 | |
Washington Mutual Mortgage Pass-Through Certificates
Series 2005-AR2 2A1A | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.31%), 1.86%, 01/25/45† | | | 442,238 | | | | 440,401 | |
Washington Mutual Mortgage Pass-Through Certificates
Series 2006-AR19 1A | | | | | | | | |
(Floating, Federal Reserve U.S. 12 1Y CMT + 0.74%), 1.80%, 01/25/47† | | | 417,227 | | | | 386,800 | |
Washington Mutual Mortgage Pass-Through Certificates
Series 2006-AR5 A12A | | | | | | | | |
(Floating, Federal Reserve U.S. 12 1Y CMT + 0.98%), 2.04%, 06/25/46† | | | 830,960 | | | | 837,520 | |
Washington Mutual Mortgage Pass-Through Certificates
Series 2007-HY1 1A1 | | | | | | | | |
3.11%, 02/25/37†g | | | 315,231 | | | | 289,863 | |
Washington Mutual Mortgage Pass-Through Certificates Series 2007-HY5 2A1 | | | | | | | | |
2.99%, 05/25/37†g | | | 373,111 | | | | 317,547 | |
Washington Mutual Mortgage Pass-Through Certificates
Series 2007-HY7 2A1 | | | | | | | | |
3.06%, 07/25/37†g | | | 994,894 | | | | 834,979 | |
Washington Mutual Mortgage Pass-Through Certificates
Series 2007-OA5 A1B | | | | | | | | |
(Floating, Federal Reserve U.S. 12 1Y CMT + 0.84%), 1.90%, 05/25/47† | | | 116,108 | | | | 22,722 | |
Wells Fargo Commercial Mortgage Trust
Series 2010-C1 A1 | | | | | | | | |
3.35%, 11/15/43 144A | | | 543,817 | | | | 551,579 | |
Wells Fargo Commercial Mortgage Trust
Series 2014-LC16 ASB | | | | | | | | |
3.48%, 08/15/50 | | | 940,000 | | | | 967,626 | |
Wells Fargo Commercial Mortgage Trust
Series 2014-NXS5 A6FL | | | | | | | | |
(Floating, LIBOR USD 1M + 1.55%), 3.03%, 01/15/59 144A† | | | 2,000,000 | | | | 2,113,329 | |
Wells Fargo Mortgage-Backed Securities Trust
Series 2004-EE 2A1 | | | | | | | | |
3.42%, 12/25/34†g | | | 188,903 | | | | 192,461 | |
Wells Fargo Mortgage-Backed Securities Trust
Series 2005-AR16 1A1 | | | | | | | | |
3.54%, 08/25/33†g | | | 39,746 | | | | 40,863 | |
| | | | | | | | |
Total Mortgage-Backed Securities
(Cost $172,082,232) | | | | 171,191,910 | |
| | | | | | | | |
| | | | | | | | |
| | | Par | | | Value | |
MUNICIPAL BONDS — 1.6% | | | | | |
California Earthquake Authority, Revenue Bond | | | | | | | | |
2.81%, 07/01/19 | | $ | 1,092,000 | | | $ | 1,093,108 | |
New York City Transitional Finance Authority Future Tax Secured, Revenue Bond | | | | | | | | |
1.90%, 02/01/20 | | | 4,560,000 | | | | 4,539,115 | |
North Texas Higher Education Authority, Inc.
Series 2011-1 | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 1.10%), 2.80%, 04/01/40† | | | 1,973,617 | | | | 2,002,541 | |
State of California, General Obligation,
Series B | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.76%), 1.86%, 12/01/31† | | | 3,000,000 | | | | 3,036,600 | |
State of California, General Obligation, Series C | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.78%), 2.34%, 04/01/47† | | | 1,500,000 | | | | 1,514,543 | |
State of Texas, General Obligation, Series C-2 | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.40%), 1.97%, 06/01/19† | | | 2,455,000 | | | | 2,455,270 | |
| | | | | | | | |
Total Municipal Bonds
(Cost $14,573,353) | | | | 14,641,177 | |
| | | | | | | | |
U.S. TREASURY OBLIGATIONS — 27.2% | | | | | |
U.S. Treasury Bill | | | | | | | | |
1.29%, 09/13/18DW | | | 2,500,000 | | | | 2,471,160 | |
| | | | | | | | |
U.S. Treasury Inflationary Indexed Bonds | | | | | | | | |
0.38%, 07/15/27‡‡ | | | 5,900,000 | | | | 5,919,623 | |
| | | | | | | | |
U.S. Treasury Notes 0.75%, 09/30/18 | | | 1,900,000 | | | | 1,886,641 | |
0.88%, 10/15/18 | | | 8,000,000 | | | | 7,948,752 | |
1.25%, 11/15/18 | | | 15,000,000 | | | | 14,932,620 | |
1.25%, 11/30/18 | | | 5,000,000 | | | | 4,976,075 | |
1.50%, 02/28/19 | | | 4,400,000 | | | | 4,382,985 | |
0.75%, 07/15/19 | | | 1,858,000 | | | | 1,826,973 | |
1.38%, 07/31/19D | | | 38,430,000 | | | | 38,144,773 | |
1.25%, 08/31/19‡‡ | | | 16,670,000 | | | | 16,502,000 | |
1.50%, 10/31/19D‡‡ | | | 132,530,000 | | | | 131,634,362 | |
1.50%, 08/15/20D | | | 1,445,000 | | | | 1,429,195 | |
1.63%, 10/15/20 | | | 1,100,000 | | | | 1,090,375 | |
1.75%, 11/15/20D | | | 3,100,000 | | | | 3,082,562 | |
2.00%, 10/31/22 | | | 5,600,000 | | | | 5,551,986 | |
2.38%, 05/15/27D | | | 3,700,000 | | | | 3,690,027 | |
| | | | | | | | |
| | | | | | | 237,079,326 | |
| | | | | | | | |
Total U.S. Treasury Obligations
(Cost $246,130,384) | | | | | | | 245,470,109 | |
| | | | | | | | |
| | | | |
| 94 | | See Notes to Financial Statements. | | |
| | | | | | | | |
| | | Shares | | | Value | |
MONEY MARKET FUNDS — 3.0% | | | | | |
GuideStone Money Market Fund | | | | | | | | |
(Investor Class)¥ | | | 12,894,288 | | | $ | 12,894,288 | |
Northern Institutional Liquid Assets Portfolio§ | | | 13,329,271 | | | | 13,329,271 | |
Northern Institutional | | | | | | | | |
U.S. Government Portfolio | | | 400,675 | | | | 400,675 | |
| | | | | | | | |
Total Money Market Funds
(Cost $26,624,234) | | | | | | | 26,624,234 | |
| | | | | | | | |
TOTAL INVESTMENTS — 111.0%
(Cost $999,971,055) | | | | 1,001,644,728 | |
| | | | | | | | |
| | | | | | | | | | | | |
| | | |
| | | Number of
Contracts | | | Notional
Amount | | | | |
WRITTEN OPTION — (0.0)% | | | | | |
Put Swaption — (0.0)% | | | | | | | | | |
Pay 2.3% | | | | | | | | | | | | |
(Semiannually); Receive 3-Month LIBOR (Quarterly): Interest Rate Swap Maturing 01/31/2018 USD, Strike Price $2.30, Expires 01/31/18 (MSCS) (Premiums received $(54,639)) | | | 1 | | | $ | (35,600,000 | ) | | | (53,483 | ) |
| | | | | | | | | | | | |
| | | | | | | | |
| | | Par | | | Value | |
SECURITY SOLD SHORT — (0.6)% | | | | | |
U.S. Treasury Bonds | | | | | | | | |
2.75%, 08/15/47 (Proceeds $(5,380,669)) | | $ | (5,400,000 | ) | | $ | (5,407,911 | ) |
| | | | | | | | |
Liabilities in Excess of Other | | | | | | | | |
Assets — (10.4)% | | | | | | | (93,649,965 | ) |
| | | | | | | | |
NET ASSETS — 100.0% | | | | | | $ | 902,533,369 | |
| | | | | | | | |
Futures Contracts outstanding at December 31, 2017:
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | Value and | |
| | | | | | | | | Notional | | | | | | Unrealized | |
Future Type | | Expiration Date | | | Open Long
(Short) Contracts | | | Market Value
of Contracts | | | Counter-
party | | | Appreciation
(Depreciation) | |
Euro-BOBL | | | 03/2018 | | | | (57) | | | $ | (9,000,999 | ) | | | GSC | | | $ | 35,014 | |
Euro-BOBL | | | 03/2018 | | | | 47 | | | | 7,421,876 | | | | CITI | | | | (25,379 | ) |
Euro-Buxl® | | | 03/2018 | | | | (9) | | | | (1,769,467 | ) | | | CITI | | | | 42,630 | |
10-Year U.S. Treasury Note | | | 03/2018 | | | | (66) | | | | (8,187,094 | ) | | | UBS | | | | 46,414 | |
10-Year U.S. Treasury Note | | | 03/2018 | | | | 21 | | | | 2,604,984 | | | | CITI | | | | (14,109 | ) |
Ultra 10-Year U.S. Treasury Note | | | 03/2018 | | | | (27) | | | | (3,606,187 | ) | | | UBS | | | | 20,001 | |
Ultra Long U.S. Treasury Bond | | | 03/2018 | | | | (1) | | | | (167,656 | ) | | | UBS | | | | (744 | ) |
Long GILT | | | 03/2018 | | | | (60) | | | | (10,139,087 | ) | | | CITI | | | | (69,634 | ) |
2-Year U.S. Treasury Note | | | 03/2018 | | | | 30 | | | | 6,423,281 | | | | CITI | | | | (11,719 | ) |
2-Year U.S. Treasury Note | | | 03/2018 | | | | 84 | | | | 17,985,188 | | | | GSC | | | | (54,348 | ) |
2-Year U.S. Treasury Note | | | 03/2018 | | | | 542 | | | | 116,047,281 | | | | UBS | | | | (243,653 | ) |
5-Year U.S. Treasury Note | | | 03/2018 | | | | (437) | | | | (50,763,696 | ) | | | UBS | | | | 174,311 | |
5-Year U.S. Treasury Note | | | 03/2018 | | | | (45) | | | | (5,227,383 | ) | | | GCS | | | | 28,516 | |
90-Day Eurodollar | | | 06/2018 | | | | 317 | | | | 77,724,438 | | | | CITI | | | | (329,509 | ) |
90-Day Eurodollar | | | 12/2018 | | | | 233 | | | | 57,000,538 | | | | UBS | | | | (11,650 | ) |
90-Day Eurodollar | | | 12/2018 | | | | 319 | | | | 78,039,363 | | | | CITI | | | | (189,137 | ) |
90-Day Bank Acceptance | | | 03/2019 | | | | 89 | | | | 17,299,065 | | | | CITI | | | | (21,322 | ) |
90-Day Eurodollar | | | 06/2019 | | | | (317) | | | | (77,458,950 | ) | | | CITI | | | | 452,344 | |
90-Day Eurodollar | | | 12/2019 | | | | (319) | | | | (77,891,825 | ) | | | CITI | | | | 172,424 | |
90-Day Eurodollar | | | 12/2019 | | | | (233) | | | | (56,892,775 | ) | | | UBS | | | | 11,650 | |
| | | | | | | | | | | | | | | | | | | | |
Total Futures Contracts outstanding at December 31, 2017 | | | | | | | | | | $ | 79,440,895 | | | | | | | $ | 12,100 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 95 |
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Forward Foreign Currency Contracts outstanding at December 31, 2017:
| | | | | | | | | | | | | | | | | | |
Expiration Date | | Currency Purchased | | Amount
of Currency
Purchased | | | Currency Sold | | Amount
of Currency
Sold | | | Counter- party | | Net Unrealized
Appreciation
(Depreciation) | |
01/10/18 | | Canadian Dollars | | | 3,360,000 | | | U.S. Dollars | | | 2,614,506 | | | GSC | | $ | 58,944 | |
01/02/18 | | Danish Kroner | | | 2,307,000 | | | U.S. Dollars | | | 338,086 | | | GSC | | | 33,728 | |
01/10/18 | | Canadian Dollars | | | 1,061,000 | | | U.S. Dollars | | | 824,357 | | | HSBC | | | 19,848 | |
01/18/18 | | Japanese Yen | | | 175,900,000 | | | U.S. Dollars | | | 1,543,524 | | | SS | | | 19,023 | |
01/18/18 | | U.S. Dollars | | | 1,579,931 | | | Japanese Yen | | | 175,900,000 | | | SS | | | 17,384 | |
01/10/18 | | Canadian Dollars | | | 599,000 | | | U.S. Dollars | | | 466,280 | | | UBS | | | 10,326 | |
01/24/18 | | U.S. Dollars | | | 156,774 | | | Mexican Pesos | | | 2,947,189 | | | HSBC | | | 7,618 | |
01/24/18 | | U.S. Dollars | | | 219,493 | | | Mexican Pesos | | | 4,224,000 | | | HSBC | | | 5,719 | |
01/10/18 | | U.S. Dollars | | | 773,601 | | | Japanese Yen | | | 86,700,000 | | | BNP | | | 3,743 | |
01/09/18 | | British Pounds | | | 101,000 | | | U.S. Dollars | | | 135,989 | | | HSBC | | | 419 | |
01/10/18 | | U.S. Dollars | | | 102,884 | | | British Pounds | | | 76,000 | | | HSBC | | | 236 | |
01/10/18 | | U.S. Dollars | | | 156,897 | | | British Pounds | | | 116,000 | | | JPM | | | 224 | |
01/04/18 | | U.S. Dollars | | | 164,760 | | | British Pounds | | | 122,000 | | | RBS | | | 19 | |
| | | | | | | | | | | | | | | | | | |
Subtotal Appreciation | | | | | | | | | | | | | | $ | 177,231 | |
| | | | | | | | | | | | | | | | | | |
01/24/18 | | U.S. Dollars | | | 185,337 | | | Mexican Pesos | | | 3,683,000 | | | BAR | | | (1,057 | ) |
01/04/18 | | U.S. Dollars | | | 78,991 | | | Swiss Francs | | | 78,000 | | | BAR | | | (1,078 | ) |
02/15/18 | | Norwegian Kroner | | | 3,585,000 | | | U.S. Dollars | | | 439,032 | | | HSBC | | | (1,818 | ) |
01/09/18 | | U.S. Dollars | | | 1,026,159 | | | British Pounds | | | 762,000 | | | HSBC | | | (2,985 | ) |
01/04/18 | | U.S. Dollars | | | 532,700 | | | Australian Dollars | | | 704,000 | | | HSBC | | | (16,598 | ) |
01/02/18 | | U.S. Dollars | | | 340,604 | | | Danish Kroner | | | 2,234,000 | | | GSC | | | (19,446 | ) |
01/10/18 | | U.S. Dollars | | | 3,452,437 | | | Euro | | | 2,896,000 | | | BNP | | | (24,529 | ) |
01/22/18 | | U.S. Dollars | | | 2,358,006 | | | Canadian Dollars | | | 3,000,000 | | | BNP | | | (29,451 | ) |
01/10/18 | | U.S. Dollars | | | 4,604,820 | | | Australian Dollars | | | 6,091,000 | | | UBS | | | (147,723 | ) |
01/10/18 | | U.S. Dollars | | | 10,192,511 | | | Canadian Dollars | | | 13,043,000 | | | GSC | | | (185,406 | ) |
01/02/18 | | U.S. Dollars | | | 2,584,864 | | | Danish Kroner | | | 17,647,000 | | | JPM | | | (259,270 | ) |
01/02/18 | | U.S. Dollars | | | 15,420,445 | | | Danish Kroner | | | 105,060,000 | | | JPM | | | (1,511,880 | ) |
| | | | | | | | | | | | | | | | | | |
Subtotal Depreciation | | | | | | | | | | | | | | $ | (2,201,241 | ) |
| | | | | | | | | | | | | | | | | | |
Total Forward Foreign Currency Contracts outstanding at December 31, 2017 | | | | | | | | | | | $ | (2,024,010 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | |
| 96 | | See Notes to Financial Statements. | | |
Swap agreements outstanding at December 31, 2017:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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.IG.28 Index (Pay Quarterly; | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Receive Quarterly) | | | (1.00 | )% | | | 06/20/22 | | | | ICE | | | | USD | | | | 9,400,000 | | | $ | (212,598 | ) | | $ | (221,925 | ) | | $ | 9,327 | |
Dow Jones CDX.NA.IG.29 Index (Pay Quarterly; | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Receive Quarterly) | | | (1.00 | )% | | | 12/20/22 | | | | ICE | | | | USD | | | | 10,200,000 | | | | (246,451 | ) | | | (264,364 | ) | | | 17,913 | |
Dow Jones CDX.NA.IG.29 Index (Pay Quarterly; | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Receive Quarterly) | | | (1.00 | )% | | | 12/20/22 | | | | CS | | | | USD | | | | 10,464,000 | | | | (279,280 | ) | | | (254,902 | ) | | | (24,378 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | (738,329 | ) | | $ | (741,191 | ) | | $ | 2,862 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Swap agreements with CME, LCH and ICE counterparties are centrally cleared swaps.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Reference Obligation | | Fixed
Deal
(Pay) Rate | | | Maturity
Date | | | Counterparty | | | Currency | | | Notional
Amount | | | Market Value | | | Upfront
Premiums
Paid/
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
Interest Rate Swaps | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
1-Day US Federal Fund Effective Rate (Pay | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Annual; Receive Annual) | | | (1.68 | )% | | | 09/19/18 | | | | CME | | | | USD | | | | 307,900,000 | | | $ | 41,357 | | | $ | — | | | $ | 41,357 | |
1-Day US Federal Fund Effective Rate (Pay | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Annual; Receive Annual) | | | (1.70 | )% | | | 09/19/18 | | | | CME | | | | USD | | | | 369,400,000 | | | | 30,003 | | | | — | | | | 30,003 | |
1-Day US Federal Fund Effective Rate (Pay | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Annual; Receive Annual) | | | (1.72 | )% | | | 09/19/18 | | | | CME | | | | USD | | | | 113,500,000 | | | | 1,420 | | | | — | | | | 1,420 | |
3-Month LIBOR (Pay Quarterly; Receive | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Semi-Annual) | | | 2.00 | % | | | 12/20/19 | | | | CME | | | | USD | | | | 36,400,000 | | | | (41,566 | ) | | | (8,827 | ) | | | (32,739 | ) |
MXN-TIIE-Banxico (Pay Lunar; Receive Lunar) | | | 5.80 | % | | | 09/06/21 | | | | CME | | | | MXN | | | | 319,100,000 | | | | (1,111,163 | ) | | | (1,052,677 | ) | | | (58,486 | ) |
28-Day Mexico Interbank TIIE (Pay Lunar; | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Receive Lunar) | | | 7.20 | % | | | 12/03/21 | | | | CME | | | | MXN | | | | 24,100,000 | | | | (28,394 | ) | | | (7,733 | ) | | | (20,661 | ) |
3-Month LIBOR (Pay Quarterly; Receive | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Semi-Annual) | | | 2.25 | % | | | 12/20/22 | | | | CME | | | | USD | | | | 15,200,000 | | | | 5,082 | | | | (12,203 | ) | | | 17,285 | |
3-Month LIBOR (Pay Quarterly; Receive | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Semi-Annual) | | | (1.50 | )% | | | 06/21/27 | | | | CME | | | | USD | | | | 11,300,000 | | | | 879,210 | | | | 839,719 | | | | 39,491 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | (224,051 | ) | | $ | (241,721 | ) | | $ | 17,670 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Swap agreements outstanding at December 31, 2017 | | | | | | | | | | | | | | | | | | | $ | (962,380 | ) | | $ | (982,912 | ) | | $ | 20,532 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Swap agreements with CME, LCH and ICE counterparties are centrally cleared swaps.
Forward Rate agreements outstanding at December 31, 2017:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Reference Obligation | | Fixed
Deal
(Pay) Rate | | | Maturity
Date | | | Counterparty | | | Currency | | | Notional
Amount | | | Market Value | | | Upfront
Premiums
Paid/
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
Forward Rate Agreements | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
3-Month LIBOR (Pay Quartely; Receive Quarterly) | | | 1.95 | % | | | 09/19/18 | | | | CME | | | | USD | | | | 113,500,000 | | | $ | 6,142 | | | $ | — | | | $ | 6,142 | |
3-Month LIBOR (Pay Quartely; Receive Quarterly) | | | 1.91 | % | | | 09/19/18 | | | | CME | | | | USD | | | | 369,400,000 | | | | (12,301 | ) | | | — | | | | (12,301 | ) |
3-Month LIBOR (Pay Quartely; Receive Quarterly) | | | 1.89 | % | | | 09/19/18 | | | | CME | | | | USD | | | | 307,900,000 | | | | (25,639 | ) | | | — | | | | (25,639 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Forward Rate agreements outstanding at December 31, 2017 | | | | | | | | | | | | | | | | | | | $ | (31,798 | ) | | $ | — | | | $ | (31,798 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Swap agreements with CME, LCH and ICE counterparties are centrally cleared swaps.
| | | | |
| | See Notes to Financial Statements. | | 97 |
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2017, 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 | | $ | 11,172,988 | | | $ | — | | | $ | 11,172,988 | | | $ | — | |
Asset-Backed Securities | | | 150,036,773 | | | | — | | | | 150,036,773 | | | | — | |
Certificates of Deposit | | | 7,085,267 | | | | — | | | | 7,085,267 | | | | — | |
Commercial Paper | | | 696,888 | | | | — | | | | 696,888 | | | | — | |
Corporate Bonds | | | 216,866,849 | | | | — | | | | 216,866,849 | | | | — | ** |
Foreign Bonds | | | | | | | | | | | | | | | | |
Australia | | | 13,754,412 | | | | — | | | | 13,754,412 | | | | — | |
Bermuda | | | 280,338 | | | | — | | | | 280,338 | | | | — | |
Canada | | | 14,219,034 | | | | — | | | | 14,219,034 | | | | — | |
Chile | | | 1,145,361 | | | | — | | | | 1,145,361 | | | | — | |
China | | | 2,936,814 | | | | — | | | | 2,936,814 | | | | — | |
Denmark | | | 20,078,204 | | | | — | | | | 20,078,204 | | | | — | |
Finland | | | 898,830 | | | | — | | | | 898,830 | | | | — | |
France | | | 7,336,778 | | | | — | | | | 7,336,778 | | | | — | |
Germany | | | 7,471,436 | | | | — | | | | 7,471,436 | | | | — | |
Hong Kong | | | 981,604 | | | | — | | | | 981,604 | | | | — | |
India | | | 3,352,025 | | | | — | | | | 3,352,025 | | | | — | |
Ireland | | | 10,710,436 | | | | — | | | | 10,710,436 | | | | — | |
Israel | | | 1,522,500 | | | | — | | | | 1,522,500 | | | | — | |
Italy | | | 716,856 | | | | — | | | | 716,856 | | | | — | |
Japan | | | 12,138,479 | | | | — | | | | 12,138,479 | | | | — | |
Luxembourg | | | 530,000 | | | | — | | | | 530,000 | | | | — | |
Netherlands | | | 17,945,319 | | | | — | | | | 17,945,319 | | | | — | |
New Zealand | | | 338,178 | | | | — | | | | 338,178 | | | | — | |
Norway | | | 2,428,880 | | | | — | | | | 2,428,880 | | | | — | |
Peru | | | 694,416 | | | | — | | | | 694,416 | | | | — | |
Qatar | | | 999,690 | | | | — | | | | 999,690 | | | | — | |
Singapore | | | 6,906,650 | | | | — | | | | 6,906,650 | | | | — | |
South Korea | | | 4,311,760 | | | | — | | | | 4,311,760 | | | | — | |
Sweden | | | 1,978,671 | | | | — | | | | 1,978,671 | | | | — | |
Switzerland | | | 10,390,690 | | | | — | | | | 10,390,690 | | | | — | |
United Arab Emirates | | | 1,647,819 | | | | — | | | | 1,647,819 | | | | — | |
United Kingdom | | | 12,143,353 | | | | — | | | | 12,143,353 | | | | — | |
Money Market Funds | | | 26,624,234 | | | | 26,624,234 | | | | — | | | | — | |
Mortgage-Backed Securities | | | 171,191,910 | | | | — | | | | 171,191,910 | | | | — | |
Municipal Bonds | | | 14,641,177 | | | | — | | | | 14,641,177 | | | | — | |
U.S. Treasury Obligations | | | 245,470,109 | | | | — | | | | 245,470,109 | | | | — | |
| | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | $ | 1,001,644,728 | | | $ | 26,624,234 | | | $ | 975,020,494 | | | $ | — | ** |
| | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 983,304 | | | $ | 983,304 | | | $ | — | | | $ | — | |
Forward Foreign Currency Contracts | | | 177,231 | | | | — | | | | 177,231 | | | | — | |
Swap Agreements | | | 957,071 | | | | — | | | | 957,071 | | | | — | |
| | | | |
| 98 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | |
| | | Total
Value | | | Level 1
Quoted Prices | | | Level 2
Other Significant
Observable Inputs | | | Level 3
Significant
Unobservable Inputs | |
Forward Rate Agreements | | $ | 6,142 | | | $ | — | | | $ | 6,142 | | | $ | — | |
| | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | $ | 2,123,748 | | | $ | 983,304 | | | $ | 1,140,444 | | | $ | — | |
| | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | |
Investment in Securities | | | | | | | | | | | | | | | | |
Written Option | | $ | (53,483 | ) | | $ | — | | | $ | (53,483 | ) | | $ | — | |
Security Sold Short | | | (5,407,911 | ) | | | — | | | | (5,407,911 | ) | | | — | |
| | | | | | | | | | | | | | | | |
Total Liabilities - Investment in Securities | | $ | (5,461,394 | ) | | $ | — | | | $ | (5,461,394 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | (971,204 | ) | | $ | (971,204 | ) | | $ | — | | | $ | — | |
Forward Foreign Currency Contracts | | | (2,201,241 | ) | | | — | | | | (2,201,241 | ) | | | — | |
Swap Agreements | | | (1,919,452 | ) | | | — | | | | (1,919,452 | ) | | | — | |
Forward Rate Agreements | | | (37,940 | ) | | | — | | | | (37,940 | ) | | | — | |
| | | | | | | | | | | | | | | | |
Total Liabilities - Other Financial Instruments | | $ | (5,129,837 | ) | | $ | (971,204 | ) | | $ | (4,158,633 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
**Level 3 security has zero value.
***Other financial instruments are derivative instruments, such as futures contracts, 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 preceding “Futures Contracts outstanding”, “Forward Foreign Currency Contracts outstanding”, “Swap agreement outstanding” and “Forward Rate agreement outstanding” disclosures.
There were no transfers between Level 1 and Level 2 during the period ended December 31, 2017.
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.
During the year ended December 31, 2017, there were $14,536,025 of transfers out of Level 3 to Level 2 and Level 1.
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, 2017.
Effective April 1, 2017, the Funds changed administrators from BNY Mellon Investment Servicing (US) Inc. to Northern Trust Company (“Northern Trust”). This transition has resulted in fewer unobservable inputs, as Northern Trust utilizes additional pricing vendors and provides increased pricing coverage. As such, management notes transfers out of Level 3 to Level 2 and Level 1 occurred in the Fund in the current year.
| | | | |
| | See Notes to Financial Statements. | | 99 |
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 calculation that measures the sensitivity of a bond or bond fund to changes in interest rates) normally between three to seven years. (Effective January 12, 2018, the average dollar-weighted duration of the Fund normally varies, in years, between +/- 30% of the duration of the Fund’s benchmark index, the Bloomberg Barclays US Aggregate Bond Index.) The Investor Class of the Fund outperformed its benchmark for the one-year period ended December 31, 2017 (3.93% versus 3.54%).
The Fund maintained an underweight to investment-grade corporate credit and, therefore, faced a challenging fourth quarter as credit spreads tightened. Ultimately, however, the Fund outperformed for the year due to positive performance over the first three quarters. Tactical U.S. duration and yield curve positioning, high yield bonds and structured products were the strongest contributors to the Fund’s relative performance, as interest rates increased and credit spreads narrowed. U.S. Treasury Inflation Protected Securities (TIPS) provided mixed results as breakeven inflation rates declined. 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, positive 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 positive contributors 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 negative. Through the process of implementing interest rate views and emerging markets strategies during the year, interest rate swaps were used but did not have an impact on the performance of the Fund over the previous 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 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 fixed-income securities 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. Derivatives involve different risks from, and in some respects greater than, those associated with investing directly in securities, currencies or other instruments. Derivatives may be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in value of the underlying instruments may produce disproportionate losses to the Fund. It is possible to lose money by investing in the Fund.
| | | | |
| 100 | | See Notes to Financial Statements. | | |
Medium-Duration Bond Fund (Unaudited)
At December 31, 2017, 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 | | | 32.4 | |
| Mortgage-Backed Securities | | | 31.6 | |
| Corporate Bonds | | | 16.9 | |
| Repurchase Agreements | | | 12.5 | |
| Foreign Bonds | | | 10.8 | |
| Money Market Funds | | | 8.2 | |
| Asset-Backed Securities | | | 6.1 | |
| Agency Obligations | | | 2.6 | |
| Loan Agreements | | | 1.4 | |
| Municipal Bonds | | | 0.7 | |
| Purchased Options | | | 0.1 | |
| Preferred Stocks | | | — | ** |
| Certificates of Deposit | | | — | ** |
| Fully Funded Total Return Swap | | | — | ** |
| Written Options | | | (0.1 | ) |
| TBA Sale Commitments | | | (0.3 | ) |
| | | | |
| | | 122.9 | |
| | | | |
** Round to less than .005%
| | | | |
| | See Notes to Financial Statements. | | 101 |
Medium-Duration Bond Fund (Unaudited)
| | | | | | |
| Average Annual Total Returns as of 12/31/17 |
| | | Institutional
Class | | Investor
Class* | | Benchmark** |
One Year | | 4.13% | | 3.93% | | 3.54% |
Five Year | | 2.26% | | 2.05% | | 2.10% |
Ten Year | | 4.65% | | 4.48% | | 4.00% |
Since Inception | | 5.04% | | 4.92% | | 4.53% |
Inception Date | | 08/27/01 | | 08/27/01 | | |
Total Fund Operating Expenses (May 1, 2017 Prospectus as amended July 1, 2017)(1) | | 0.46% | | 0.73% | | |
(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, 2007 to December 31, 2017, 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.
| | | | |
| 102 | | See Notes to Financial Statements. | | |
| | |
MEDIUM-DURATION BOND FUND SCHEDULE OF INVESTMENTS | | December 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | | | | Par | | | | | | Value | |
AGENCY OBLIGATIONS — 2.6% | |
Federal Home Loan Bank | | | | | | | | | | | | | | | | |
3.38%, 12/08/23 | | | | | | $ | 200,000 | | | | | | | $ | 211,024 | |
Federal Home Loan Bank Discount Notes | | | | | | | | | | | | | | | | |
1.23%, 01/17/18W | | | | | | | 1,390,000 | | | | | | | | 1,389,235 | |
1.24%, 01/24/18W | | | | | | | 2,280,000 | | | | | | | | 2,278,217 | |
1.13%, 01/26/18W | | | | | | | 1,920,000 | | | | | | | | 1,918,361 | |
1.27%, 02/09/18W | | | | | | | 2,610,000 | | | | | | | | 2,606,392 | |
1.15%, 02/13/18W | | | | | | | 4,690,000 | | | | | | | | 4,683,345 | |
1.32%, 02/22/18W | | | | | | | 2,640,000 | | | | | | | | 2,635,100 | |
1.16%, 02/28/18W | | | | | | | 2,020,000 | | | | | | | | 2,015,810 | |
1.34%, 03/21/18W | | | | | | | 1,810,000 | | | | | | | | 1,804,745 | |
1.38%, 04/25/18W | | | | | | | 6,180,000 | | | | | | | | 6,153,231 | |
1.39%, 04/27/18W | | | | | | | 1,700,000 | | | | | | | | 1,692,506 | |
Federal National Mortgage Association | | | | | | | | | | | | | | | | |
2.51%, 10/09/19W | | | | | | | 3,350,000 | | | | | | | | 3,227,236 | |
2.63%, 09/06/24 | | | | | | | 200,000 | | | | | | | | 202,849 | |
1.88%, 09/24/26 | | | | | | | 2,200,000 | | | | | | | | 2,076,282 | |
6.25%, 05/15/29 | | | | | | | 500,000 | | | | | | | | 669,322 | |
6.63%, 11/15/30 | | | | | | | 1,170,000 | | | | | | | | 1,647,707 | |
NCUA Guaranteed Notes | | | | | | | | | | | | | | | | |
3.00%, 06/12/19 | | | | | | | 300,000 | | | | | | | | 304,188 | |
Tennessee Valley Authority | | | | | | | | | | | | | | | | |
3.88%, 02/15/21 | | | | | | | 1,000,000 | | | | | | | | 1,055,145 | |
| | | | | | | | | | | | | | | | |
Total Agency Obligations
(Cost $36,419,739) | | | | | | | | | | | | 36,570,695 | |
| | | | | | | | | | | | | | | | |
ASSET-BACKED SECURITIES — 6.1% | |
Academic Loan Funding Trust
Series 2012-1A A2 | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 1.10%), 2.43%, 12/27/44 144A† | | | | | | | 1,250,000 | | | | | | | | 1,250,576 | |
Access Group, Inc.
Series 2015-1 A | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.70%), 2.25%, 07/25/56 144A† | | | | | | | 331,959 | | | | | | | | 333,785 | |
AccessLex Institute
Series 2007-1 A4 | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 0.06%), 1.43%, 01/25/23† | | | | | | | 486,276 | | | | | | | | 478,611 | |
American Express Credit Account | | | | | | | | | | | | | | | | |
Master Trust Series 2017-6 A 2.04%, 05/15/23 | | | | | | | 500,000 | | | | | | | | 497,811 | |
ARES XXXIII CLO, Ltd.
Series 2015-1A A1R | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 1.35%), 2.84%, 12/05/25 144A† | | | | | | | 1,000,000 | | | | | | | | 1,008,462 | |
Atlas Senior Loan Fund V, Ltd.
Series 2014-1A A2R | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 1.26%), 2.62%, 07/16/29 144A† | | | | | | | 1,400,000 | | | | | | | | 1,410,414 | |
| | | | | | | | | | | | | | | | |
| | | | | | Par | | | | | | Value | |
Avis Budget Rental Car Funding AESOP LLC
Series 2017-2A A | | | | | | | | | | | | | | | | |
2.97%, 03/20/24 144A | | | | | | $ | 610,000 | | | | | | | $ | 610,768 | |
Bear Stearns Asset-Backed Securities Trust
Series 2007-SD1 1A2A | | | | | | | | | | | | | | | | |
6.00%, 10/25/36 | | | | | | | 1,290,721 | | | | | | | | 1,010,964 | |
Bear Stearns Asset-Backed Securities Trust
Series 2007-SD1 1A3A | | | | | | | | | | | | | | | | |
6.50%, 10/25/36 | | | | | | | 2,263,595 | | | | | | | | 1,720,495 | |
Benefit Street Partners CLO II Ltd.
Series 2013-IIA A1R | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 1.25%), 2.61%, 07/15/29 144A† | | | | | | | 1,400,000 | | | | | | | | 1,409,727 | |
BlueMountain CLO, Ltd.
Series 2012-2A AR | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 1.42%), 2.86%, 11/20/28 144A† | | | | | | | 1,250,000 | | | | | | | | 1,259,578 | |
BlueMountain CLO, Ltd.
Series 2014-2A DR | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 3.00%), 4.36%, 07/20/26 144A† | | | | | | | 1,250,000 | | | | | | | | 1,262,385 | |
BlueMountain CLO, Ltd.
Series 2015-1A A1R | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 1.33%), 2.69%, 04/13/27 144A† | | | | | | | 1,000,000 | | | | | | | | 1,003,583 | |
Capital One Multi-Asset Execution Trust
Series 2016-A1 A1 | | | | | | | | | | | | | | | | |
(Floating, LIBOR USD 1M + 0.45%), 1.93%, 02/15/22† | | | | | | | 800,000 | | | | | | | | 803,935 | |
Carlyle Global Market Strategies CLO, Ltd.
Series 2014-4 D | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 3.60%), 4.96%, 10/15/26 144A† | | | | | | | 1,000,000 | | | | | | | | 1,012,522 | |
Catamaran CLO, Ltd.
Series 2013-1A AR | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 0.85%), 2.36%, 01/27/28 144A† | | | | | | | 1,600,000 | | | | | | | | 1,600,000 | |
Cent CLO 21, Ltd.
Series 2014-21A A1BR | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 1.21%), 2.58%, 07/27/26 144A† | | | | | | | 500,000 | | | | | | | | 501,721 | |
Chapel BV
Series 2007 | | | | | | | | | | | | | | | | |
(Floating, Euribor 3M + 0.36%), 0.03%, 07/17/66† (E) | | | | | | | 516,240 | | | | | | | | 617,569 | |
Community Funding CLO, Ltd. Series 2015-1A A 5.75%, 11/01/27 144Ay††† STEP | | | | | | | 860,000 | | | | | | | | 852,155 | |
CWHEQ Revolving Home Equity Loan Trust
Series 2005-F 2A | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.24%), 1.72%, 12/15/35† | | | | | | | 158,271 | | | | | | | | 162,352 | |
| | | | |
| | See Notes to Financial Statements. | | 103 |
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | | | | | |
| | | | | | Par | | | | | | Value | |
CWHEQ Revolving Home Equity Loan Trust
Series 2006-E 2A | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.14%), 1.62%, 07/15/36† | | | | | | $ | 253,105 | | | | | | | $ | 236,086 | |
ECMC Group Student Loan Trust
Series 2016-1A A | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 1.35%), 2.90%, 07/26/66 144A† | | | | | | | 788,529 | | | | | | | | 802,790 | |
ECMC Group Student Loan Trust
Series 2017-1A A | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 1.20%), 2.75%, 12/27/66 144A† | | | | | | | 2,028,263 | | | | | | | | 2,057,038 | |
Edsouth Indenture No. 7 LLC
Series 2014-3 A | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.60%), 2.15%, 02/25/36 144A† | | | | | | | 860,914 | | | | | | | | 848,578 | |
EFS Volunteer No. 2 LLC Series 2012-1 A2 | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 1.35%), 2.90%, 03/25/36 144A† | | | | | | | 1,200,000 | | | | | | | | 1,234,153 | |
EFS Volunteer No. 3 LLC
Series 2012-1 A3 | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 1.00%), 2.55%, 04/25/33 144A† | | | | | | | 2,100,000 | | | | | | | | 2,102,937 | |
Financial Asset Securities Corporation AAA Trust
Series 2005-1A 1A3B | | | | | | | | | | | | | | | | |
(Floating, LIBOR USD 1M + 0.41%), 1.97%, 02/27/35 144A† | | | | | | | 919,772 | | | | | | | | 842,893 | |
Ford Credit Floorplan Master Owner Trust A
Series 2015-4 A2 | | | | | | | | | | | | | | | | |
(Floating, LIBOR USD 1M + 0.60%), 2.08%, 08/15/20† | | | | | | | 500,000 | | | | | | | | 501,403 | |
GMACM Home Equity Loan Trust
Series 2007-HE3 6.80%, 09/25/37 | | | | | | | 82,101 | | | | | | | | 84,549 | |
6.97%, 09/25/37 | | | | | | | 21,105 | | | | | | | | 21,523 | |
Golden Credit Card Trust
Series 2016-5A A | | | | | | | | | | | | | | | | |
1.60%, 09/15/21 144A | | | | | | | 900,000 | | | | | | | | 891,612 | |
Golden Credit Card Trust
Series 2017-2A A | | | | | | | | | | | | | | | | |
1.98%, 04/15/22 144A | | | | | | | 500,000 | | | | | | | | 496,779 | |
GSAMP Trust
Series 2007-HS1 A1 | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.85%), 2.40%, 02/25/47† | | | | | | | 413,617 | | | | | | | | 411,267 | |
Hertz Vehicle Financing II LP
Series 2015-1A A | | | | | | | | | | | | | | | | |
2.73%, 03/25/21 144A | | | | | | | 350,000 | | | | | | | | 351,213 | |
Hertz Vehicle Financing II LP
Series 2017-1A A | | | | | | | | | | | | | | | | |
2.96%, 10/25/21 144A | | | | | | | 1,910,000 | | | | | | | | 1,908,856 | |
Hertz Vehicle Financing II LP
Series 2017-1A B | | | | | | | | | | | | | | | | |
3.56%, 10/25/21 144A | | | | | | | 1,030,000 | | | | | | | | 1,025,073 | |
| | | | | | | | | | | | | | | | |
| | | | | | Par | | | | | | Value | |
Higher Education Funding I Series 2014-1 A | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 1.05%), 2.51%, 05/25/34 144A† | | | | | | $ | 954,580 | | | | | | | $ | 956,140 | |
Invitation Homes Trust Series 2015-SFR2 D | | | | | | | | | | | | | | | | |
(Floating, LIBOR USD 1M + 2.30%), 3.79%, 06/17/32 144A† | | | | | | | 250,000 | | | | | | | | 251,900 | |
Jackson Mill CLO, Ltd. Series 2015-1A A | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 1.54%), 2.90%, 04/15/27 144A† | | | | | | | 1,000,000 | | | | | | | | 1,001,575 | |
Kabbage Asset Securitization LLC
Series 2017-1 B | | | | | | | | | | | | | | | | |
5.79%, 03/15/22 144A | | | | | | | 1,240,000 | | | | | | | | 1,278,105 | |
LCM XXIII, Ltd. Series 23A | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 1.40%), 2.76%, 10/20/29 144A† | | | | | | | 1,000,000 | | | | | | | | 1,013,490 | |
Mississippi Higher Education Assistance Corporation
Series 2014-1 A1 | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.68%), 2.23%, 10/25/35† | | | | | | | 594,356 | | | | | | | | 595,802 | |
Montana Higher Education Student Assistance Corporation
Series 2012-1 A3 | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 1.05%), 2.33%, 07/20/43† | | | | | | | 700,000 | | | | | | | | 711,820 | |
Navient Student Loan Trust
Series 2016-5A A | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 1.25%), 2.80%, 06/25/65 144A† | | | | | | | 1,925,364 | | | | | | | | 1,969,046 | |
Navient Student Loan Trust
Series 2016-7A A | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 1.15%), 2.70%, 03/25/66 144A† | | | | | | | 971,980 | | | | | | | | 995,852 | |
Navient Student Loan Trust
Series 2017-2A A | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 1.05%), 2.60%, 12/27/66 144A† | | | | | | | 2,058,074 | | | | | | | | 2,085,432 | |
Navient Student Loan Trust
Series 2017-3A A3 | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 1.05%), 2.60%, 07/26/66 144A† | | | | | | | 1,110,000 | | | | | | | | 1,141,175 | |
Nelnet Student Loan Trust Series 2006-1 A6 | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 0.45%), 1.90%, 08/23/36 144A† | | | | | | | 1,200,000 | | | | | | | | 1,174,550 | |
Nelnet Student Loan Trust Series 2006-2 A5 | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 0.10%), 1.47%, 01/25/30† | | | | | | | 814,570 | | | | | | | | 813,751 | |
| | | | |
| 104 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | |
| | | | | | Par | | | | | | Value | |
OHA Loan Funding, Ltd.
Series 2015-1A AR | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 1.41%), 2.83%, 08/15/29 144A† | | | | | | $ | 1,000,000 | | | | | | | $ | 1,017,573 | |
OZLM XV, Ltd.
Series 2016-15A B | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 2.70%), 4.06%, 01/20/29 144A† | | | | | | | 1,000,000 | | | | | | | | 1,021,051 | |
Panhandle-Plains Higher Education Authority, Inc.
Series 2010-2 A1 | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 1.13%), 2.82%, 10/01/35† | | | | | | | 317,957 | | | | | | | | 320,192 | |
Park Place Securities, Inc. Pass-Through Trust Certificates
Series 2005-WCH1 M3 | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.84%), 2.39%, 01/25/36† | | | | | | | 86,835 | | | | | | | | 87,425 | |
PHEAA Student Loan Trust
Series 2012-1A A1 | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.55%), 2.10%, 05/25/57 144A† | | | | | | | 955,035 | | | | | | | | 954,126 | |
PHEAA Student Loan Trust
Series 2016-1A A | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 1.15%), 2.70%, 09/25/65 144A† | | | | | | | 782,313 | | | | | | | | 796,205 | |
PHEAA Student Loan Trust
Series 2016-2A A | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.95%), 2.50%, 11/25/65 144A† | | | | | | | 1,708,646 | | | | | | | | 1,714,622 | |
Prosper Marketplace Issuance Trust Series 2017-1A A | | | | | | | | | | | | | | | | |
2.56%, 06/15/23 144A | | | | | | | 614,495 | | | | | | | | 616,569 | |
RAMP Trust
Series 2005-EFC6 M2 | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.65%), 2.20%, 11/25/35† | | | | | | | 1,900,000 | | | | | | | | 1,905,755 | |
Saxon Asset Securities Trust
Series 2004-1 | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.80%), 2.12%, 03/25/35† | | | | | | | 486,261 | | | | | | | | 477,852 | |
SBA Small Business Investment Cos.
Series 2016-10A | | | | | | | | | | | | | | | | |
1 2.51%, 03/10/26 | | | | | | | 333,085 | | | | | | | | 334,193 | |
2.52%, 09/10/27 | | | | | | | 740,000 | | | | | | | | 742,169 | |
Scholar Funding Trust
Series 2010-A A | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 0.75%), 2.13%, 10/28/41 144A† | | | | | | | 297,017 | | | | | | | | 295,115 | |
SLC Student Loan Trust
Series 2005-3 A3 | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 0.12%), 1.71%, 06/15/29† | | | | | | | 895,595 | | | | | | | | 888,927 | |
SLM Private Education Loan Trust
Series 2010-A 2A | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 3.25%), 4.73%, 05/16/44 144A† | | | | | | | 362,916 | | | | | | | | 373,726 | |
SLM Student Loan EDC Repackaging Trust
Series 2013-M1 M1 | | | | | | | | | | | | | | | | |
3.50%, 10/28/29 144A | | | | | | | 145,226 | | | | | | | | 141,776 | |
| | | | | | | | | | | | | | | | |
| | | | | | Par | | | | | | Value | |
SLM Student Loan Trust
Series 2003-7A A54 | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 1.20%), 2.79%, 12/15/33 144A† | | | | | | $ | 922,505 | | | | | | | $ | 935,769 | |
SLM Student Loan Trust
Series 2004-8A A6 | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 0.63%), 2.00%, 01/25/40 144A† | | | | | | | 600,000 | | | | | | | | 601,088 | |
SLM Student Loan Trust
Series 2005-4 A3 | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 0.12%), 1.49%, 01/25/27† | | | | | | | 156,707 | | | | | | | | 156,055 | |
SLM Student Loan Trust
Series 2005-5 A4 | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 0.14%), 1.51%, 10/25/28† | | | | | | | 900,000 | | | | | | | | 894,731 | |
SLM Student Loan Trust
Series 2005-5 A5 | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 0.75%), 2.12%, 10/25/40† | | | | | | | 250,000 | | | | | | | | 249,000 | |
SLM Student Loan Trust
Series 2006-2 A5 | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 0.11%), 1.48%, 07/25/25† | | | | | | | 428,687 | | | | | | | | 428,590 | |
SLM Student Loan Trust
Series 2007-7 A4 | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 0.33%), 1.70%, 01/25/22† | | | | | | | 467,402 | | | | | | | | 461,857 | |
SLM Student Loan Trust
Series 2007-7 B | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 0.75%), 2.12%, 10/27/70† | | | | | | | 400,000 | | | | | | | | 364,066 | |
SLM Student Loan Trust
Series 2008-2 A3 | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 0.75%), 2.12%, 04/25/23† | | | | | | | 155,281 | | | | | | | | 155,293 | |
SLM Student Loan Trust
Series 2008-4 A4 | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 1.65%), 3.02%, 07/25/22† | | | | | | | 432,606 | | | | | | | | 443,844 | |
SLM Student Loan Trust
Series 2008-5 A4 | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 1.70%), 3.07%, 07/25/23† | | | | | | | 1,693,931 | | | | | | | | 1,748,704 | |
SLM Student Loan Trust
Series 2008-6 A4 | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 1.10%), 2.47%, 07/25/23† | | | | | | | 910,000 | | | | | | | | 922,875 | |
SLM Student Loan Trust
Series 2008-8 A4 | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 1.50%), 2.87%, 04/25/23† | | | | | | | 400,000 | | | | | | | | 410,741 | |
SLM Student Loan Trust
Series 2008-9 A | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 1.50%), 2.87%, 04/25/23† | | | | | | | 2,274,421 | | | | | | | | 2,329,431 | |
SoFi Consumer Loan Program LLC
Series 2017-4 A | | | | | | | | | | | | | | | | |
2.50%, 05/26/26 144A | | | | | | | 915,053 | | | | | | | | 912,436 | |
| | | | |
| | See Notes to Financial Statements. | | 105 |
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | | | | | |
| | | | | | Par | | | | | | Value | |
Soundview Home Loan Trust
Series 2006-OPT2 A3 | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.18%), 1.73%, 05/25/36† | | | | | | $ | 617,016 | | | | | | | $ | 615,434 | |
TCW Clo 2017-1, Ltd.
Series 2017-1A A | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 1.28%), 2.71%, 07/29/29 144A† | | | | | | | 1,500,000 | | | | | | | | 1,501,906 | |
TIAA CLO II, Ltd.
Series 2017-1A A | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 1.28%), 2.64%, 04/20/29 144A† | | | | | | | 3,950,000 | | | | | | | | 3,978,250 | |
Upstart Securitization Trust
Series 2017-2 A 2.51%, 03/20/25 144A | | | | | | | 480,000 | | | | | | | | 479,765 | |
Utah State Board of Regents
Series 2015-1 A | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.60%), 2.15%, 02/25/43† | | | | | | | 575,573 | | | | | | | | 577,274 | |
Vibrant CLO VI, Ltd.
Series 2017-6A A | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 1.24%), 2.87%, 06/20/29 144A † | | | | | | | 2,750,000 | | | | | | | | 2,772,032 | |
Voya CLO 2017-3, Ltd.
Series 2017-3A A1A | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 1.23%), 2.55%, 07/20/30 144A † | | | | | | | 4,150,000 | | | | | | | | 4,179,167 | |
Voya CLO, Ltd.
Series 2014-4A A1R | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 0.95%), 2.31%, 10/14/26 144A † | | | | | | | 2,000,000 | | | | | | | | 2,005,268 | |
Washington Mutual Asset-Backed Certificates Trust
Series 2006-HE1 2A3 | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.18%), 1.73%, 04/25/36† | | | | | | | 36,902 | | | | | | | | 36,983 | |
| | | | | | | | | | | | | | | | |
Total Asset-Backed Securities
(Cost $84,973,918) | | | | | | | | | | | | 85,460,636 | |
| | | | | | | | | | | | | | | | |
CERTIFICATES OF DEPOSIT — 0.0% | |
Barclays Bank PLC | | | | | | | | | | | | | | | | |
1.94%, 09/04/18
(Cost $300,000) | | | | | | | 300,000 | | | | | | | | 300,025 | |
| | | | | | | | | | | | | | | | |
CORPORATE BONDS — 16.9% | | | | | | | | | |
21st Century Fox America, Inc. | | | | | | | | | | | | | | | | |
3.70%, 09/15/24 | | | | | | | 625,000 | | | | | | | | 650,977 | |
6.15%, 03/01/37 | | | | | | | 175,000 | | | | | | | | 229,895 | |
ABB Finance USA, Inc. | | | | | | | | | | | | | | | | |
4.38%, 05/08/42 | | | | | | | 40,000 | | | | | | | | 43,243 | |
Abbott Laboratories | | | | | | | | | | | | | | | | |
3.75%, 11/30/26 | | | | | | | 260,000 | | | | | | | | 267,478 | |
4.75%, 11/30/36 | | | | | | | 170,000 | | | | | | | | 191,617 | |
4.90%, 11/30/46 | | | | | | | 210,000 | | | | | | | | 241,743 | |
AbbVie, Inc. | | | | | | | | | | | | | | | | |
2.50%, 05/14/20 | | | | | | | 225,000 | | | | | | | | 225,818 | |
2.30%, 05/14/21 | | | | | | | 200,000 | | | | | | | | 198,698 | |
2.85%, 05/14/23D | | | | | | | 1,650,000 | | | | | | | | 1,648,420 | |
3.60%, 05/14/25 | | | | | | | 140,000 | | | | | | | | 144,156 | |
| | | | | | | | | | | | | | | | |
| | | | | | Par | | | | | | Value | |
AES Corporation | | | | | | | | | | | | | | | | |
4.88%, 05/15/23 | | | | | | $ | 40,000 | | | | | | | $ | 40,950 | |
5.50%, 03/15/24 | | | | | | | 100,000 | | | | | | | | 104,500 | |
Aetna, Inc. | | | | | | | | | | | | | | | | |
2.80%, 06/15/23 | | | | | | | 225,000 | | | | | | | | 221,719 | |
Allegion US Holding Co., Inc. | | | | | | | | | | | | | | | | |
3.20%, 10/01/24 | | | | | | | 400,000 | | | | | | | | 396,300 | |
Allison Transmission, Inc. | | | | | | | | | | | | | | | | |
5.00%, 10/01/24 144A | | | | | | | 200,000 | | | | | | | | 206,750 | |
Amazon.com, Inc. | | | | | | | | | | | | | | | | |
3.30%, 12/05/21D | | | | | | | 525,000 | | | | | | | | 542,638 | |
3.15%, 08/22/27 144A | | | | | | | 1,170,000 | | | | | | | | 1,174,134 | |
3.88%, 08/22/37 144A | | | | | | | 160,000 | | | | | | | | 170,357 | |
4.95%, 12/05/44D | | | | | | | 220,000 | | | | | | | | 268,488 | |
4.05%, 08/22/47 144A | | | | | | | 890,000 | | | | | | | | 963,390 | |
American Campus Communities Operating Partnership LP REIT | | | | | | | | | | | | | |
3.75%, 04/15/23 | | | | | | | 525,000 | | | | | | | | 539,068 | |
American International Group, Inc. | | | | | | | | | | | | | | | | |
2.30%, 07/16/19 | | | | | | | 200,000 | | | | | | | | 199,925 | |
3.75%, 07/10/25 | | | | | | | 100,000 | | | | | | | | 103,266 | |
4.50%, 07/16/44 | | | | | | | 225,000 | | | | | | | | 243,303 | |
(Variable, ICE LIBOR USD 3M + 2.06%), 6.25%, 03/15/87† | | | | | | | 278,000 | | | | | | | | 303,715 | |
American Tower Corporation REIT | | | | | | | | | | | | | | | | |
3.40%, 02/15/19 | | | | | | | 200,000 | | | | | | | | 202,321 | |
3.30%, 02/15/21D | | | | | | | 150,000 | | | | | | | | 152,860 | |
3.38%, 10/15/26 | | | | | | | 1,500,000 | | | | | | | | 1,476,505 | |
Amgen, Inc. | | | | | | | | | | | | | | | | |
3.63%, 05/22/24 | | | | | | | 50,000 | | | | | | | | 52,021 | |
4.66%, 06/15/51 | | | | | | | 34,000 | | | | | | | | 38,198 | |
Anadarko Petroleum Corporation | | | | | | | | | | | | | | | | |
4.85%, 03/15/21 | | | | | | | 290,000 | | | | | | | | 306,472 | |
3.45%, 07/15/24 | | | | | | | 95,000 | | | | | | | | 94,744 | |
5.55%, 03/15/26D | | | | | | | 125,000 | | | | | | | | 140,477 | |
6.45%, 09/15/36 | | | | | | | 280,000 | | | | | | | | 343,948 | |
6.60%, 03/15/46 | | | | | | | 470,000 | | | | | | | | 606,733 | |
Anthem, Inc. | | | | | | | | | | | | | | | | |
2.95%, 12/01/22 | | | | | | | 390,000 | | | | | | | | 390,607 | |
3.35%, 12/01/24 | | | | | | | 130,000 | | | | | | | | 132,086 | |
3.65%, 12/01/27 | | | | | | | 200,000 | | | | | | | | 204,280 | |
Apache Corporation | | | | | | | | | | | | | | | | |
3.25%, 04/15/22 | | | | | | | 80,000 | | | | | | | | 80,680 | |
2.63%, 01/15/23D | | | | | | | 75,000 | | | | | | | | 73,634 | |
5.10%, 09/01/40 | | | | | | | 180,000 | | | | | | | | 192,428 | |
4.25%, 01/15/44D | | | | | | | 900,000 | | | | | | | | 875,287 | |
Apple, Inc. | | | | | | | | | | | | | | | | |
2.00%, 11/13/20 | | | | | | | 260,000 | | | | | | | | 258,464 | |
2.40%, 05/03/23 | | | | | | | 350,000 | | | | | | | | 346,657 | |
2.45%, 08/04/26 | | | | | | | 720,000 | | | | | | | | 690,876 | |
2.90%, 09/12/27 | | | | | | | 600,000 | | | | | | | | 593,640 | |
Arch Capital Group, Ltd. | | | | | | | | | | | | | | | | |
7.35%, 05/01/34 | | | | | | | 175,000 | | | | | | | | 239,433 | |
AT&T, Inc. | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 0.65%), 2.01%, 01/15/20† | | | | | | | 900,000 | | | | | | | | 905,635 | |
2.80%, 02/17/21 | | | | | | | 100,000 | | | | | | | | 100,515 | |
| | | | |
| 106 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | |
| | | | | | Par | | | | | | Value | |
4.45%, 05/15/21 | | | | | | $ | 80,000 | | | | | | | $ | 84,449 | |
3.00%, 02/15/22 | | | | | | | 170,000 | | | | | | | | 170,511 | |
3.20%, 03/01/22 | | | | | | | 475,000 | | | | | | | | 480,583 | |
3.00%, 06/30/22 | | | | | | | 475,000 | | | | | | | | 476,324 | |
3.60%, 02/17/23 | | | | | | | 293,000 | | | | | | | | 300,069 | |
4.45%, 04/01/24 | | | | | | | 725,000 | | | | | | | | 767,924 | |
3.95%, 01/15/25 | | | | | | | 125,000 | | | | | | | | 128,173 | |
3.40%, 05/15/25 | | | | | | | 1,680,000 | | | | | | | | 1,654,362 | |
4.13%, 02/17/26 | | | | | | | 175,000 | | | | | | | | 179,300 | |
4.25%, 03/01/27 | | | | | | | 2,765,000 | | | | | | | | 2,823,899 | |
3.90%, 08/14/27 | | | | | | | 1,285,000 | | | | | | | | 1,296,111 | |
4.90%, 08/14/37 | | | | | | | 1,040,000 | | | | | | | | 1,056,369 | |
5.15%, 03/15/42 | | | | | | | 300,000 | | | | | | | | 312,362 | |
4.35%, 06/15/45 | | | | | | | 100,000 | | | | | | | | 92,618 | |
4.50%, 03/09/48 | | | | | | | 190,000 | | | | | | | | 178,741 | |
Baker Hughes a GE Co. LLC | | | | | | | | | | | | | | | | |
3.34%, 12/15/27 144A | | | | | | | 700,000 | | | | | | | | 699,707 | |
Bank of America Corporation | | | | | | | | | | | | | | | | |
6.88%, 04/25/18 | | | | | | | 1,400,000 | | | | | | | | 1,421,455 | |
5.65%, 05/01/18 | | | | | | | 700,000 | | | | | | | | 708,388 | |
2.60%, 01/15/19 | | | | | | | 47,000 | | | | | | | | 47,168 | |
(Variable, ICE LIBOR USD 3M + 0.66%), 2.37%, 07/21/21† | | | | | | | 875,000 | | | | | | | | 873,789 | |
3.30%, 01/11/23 | | | | | | | 120,000 | | | | | | | | 122,845 | |
(Variable, ICE LIBOR USD 3M + 0.79%), 3.00%, 12/20/23 144A† | | | | | | | 329,000 | | | | | | | | 330,072 | |
4.00%, 04/01/24 | | | | | | | 420,000 | | | | | | | | 444,361 | |
4.20%, 08/26/24 | | | | | | | 390,000 | | | | | | | | 411,055 | |
(Variable, ICE LIBOR USD 3M + 3.71%), 6.25%, 09/05/24† | | | | | | | 300,000 | | | | | | | | 331,890 | |
(Variable, ICE LIBOR USD 3M + 4.17%), 6.50%, 10/23/24† | | | | | | | 150,000 | | | | | | | | 170,625 | |
4.00%, 01/22/25 | | | | | | | 440,000 | | | | | | | | 458,181 | |
(Variable, ICE LIBOR USD 3M + 1.09%), 3.09%, 10/01/25† | | | | | | | 2,200,000 | | | | | | | | 2,196,947 | |
4.45%, 03/03/26 | | | | | | | 420,000 | | | | | | | | 449,081 | |
3.50%, 04/19/26 | | | | | | | 340,000 | | | | | | | | 347,991 | |
4.25%, 10/22/26 | | | | | | | 440,000 | | | | | | | | 464,199 | |
3.25%, 10/21/27 | | | | | | | 275,000 | | | | | | | | 273,229 | |
4.18%, 11/25/27 | | | | | | | 550,000 | | | | | | | | 575,414 | |
(Variable, ICE LIBOR USD 3M + 1.58%), 3.82%, 01/20/28† | | | | | | | 575,000 | | | | | | | | 595,445 | |
(Variable, ICE LIBOR USD 3M + 1.51%), 3.71%, 04/24/28† | | | | | | | 1,300,000 | | | | | | | | 1,335,885 | |
(Variable, ICE LIBOR USD 3M + 1.37%), 3.59%, 07/21/28†D | | | | | | | 1,360,000 | | | | | | | | 1,384,048 | |
(Variable, ICE LIBOR USD 3M + 1.04%), 3.42%, 12/20/28 144A† | | | | | | | 694,000 | | | | | | | | 695,024 | |
5.00%, 01/21/44 | | | | | | | 790,000 | | | | | | | | 956,544 | |
Barrick North America Finance LLC 4.40%, 05/30/21 | | | | | | | 138,000 | | | | | | | | 146,190 | |
5.70%, 05/30/41 | | | | | | | 150,000 | | | | | | | | 184,958 | |
Beacon Escrow Corporation | | | | | | | | | | | | | | | | |
4.88%, 11/01/25 144A | | | | | | | 80,000 | | | | | | | | 80,700 | |
Becton, Dickinson and Co. | | | | | | | | | | | | | | | | |
2.68%, 12/15/19 | | | | | | | 349,000 | | | | | | | | 350,427 | |
2.89%, 06/06/22 | | | | | | | 700,000 | | | | | | | | 696,339 | |
3.36%, 06/06/24 | | | | | | | 1,405,000 | | | | | | | | 1,410,902 | |
| | | | | | | | | | | | | | | | |
| | | | | | Par | | | | | | Value | |
3.73%, 12/15/24 | | | | | | $ | 171,000 | | | | | | | $ | 175,396 | |
4.69%, 12/15/44 | | | | | | | 345,000 | | | | | | | | 378,737 | |
Blackstone CQP Holdco LP | | | | | | | | | | | | | | | | |
6.50%, 03/20/21 144A | | | | | | | 600,000 | | | | | | | | 612,000 | |
Boeing Capital Corporation | | | | | | | | | | | | | | | | |
4.70%, 10/27/19 | | | | | | | 230,000 | | | | | | | | 240,352 | |
Boeing Co. | | | | | | | | | | | | | | | | |
4.88%, 02/15/20 | | | | | | | 50,000 | | | | | | | | 52,827 | |
6.63%, 02/15/38 | | | | | | | 210,000 | | | | | | | | 300,671 | |
Brighthouse Financial, Inc. | | | | | | | | | | | | | | | | |
3.70%, 06/22/27 144A | | | | | | | 1,600,000 | | | | | | | | 1,576,667 | |
4.70%, 06/22/47 144A | | | | | | | 310,000 | | | | | | | | 317,504 | |
Broadcom Corporation | | | | | | | | | | | | | | | | |
3.00%, 01/15/22 144A | | | | | | | 550,000 | | | | | | | | 545,855 | |
2.65%, 01/15/23 144A | | | | | | | 400,000 | | | | | | | | 386,053 | |
3.13%, 01/15/25 144A | | | | | | | 545,000 | | | | | | | | 521,814 | |
3.88%, 01/15/27 144A | | | | | | | 940,000 | | | | | | | | 926,751 | |
Capital One Financial Corporation | | | | | | | | | | | | | | | | |
4.20%, 10/29/25 | | | | | | | 350,000 | | | | | | | | 360,682 | |
Cardinal Health, Inc. | | | | | | | | | | | | | | | | |
2.62%, 06/15/22 | | | | | | | 130,000 | | | | | | | | 127,961 | |
3.08%, 06/15/24 | | | | | | | 640,000 | | | | | | | | 630,938 | |
Catholic Health Initiatives | | | | | | | | | | | | | | | | |
4.35%, 11/01/42 | | | | | | | 40,000 | | | | | | | | 38,756 | |
CCO Holdings LLC | | | | | | | | | | | | | | | | |
5.13%, 05/01/27 144A | | | | | | | 130,000 | | | | | | | | 128,375 | |
Celgene Corporation | | | | | | | | | | | | | | | | |
3.55%, 08/15/22 | | | | | | | 170,000 | | | | | | | | 175,291 | |
3.88%, 08/15/25 | | | | | | | 250,000 | | | | | | | | 259,186 | |
5.00%, 08/15/45 | | | | | | | 110,000 | | | | | | | | 125,293 | |
Centene Corporation | | | | | | | | | | | | | | | | |
4.75%, 05/15/22 | | | | | | | 130,000 | | | | | | | | 135,525 | |
6.13%, 02/15/24 | | | | | | | 90,000 | | | | | | | | 95,400 | |
4.75%, 01/15/25 | | | | | | | 50,000 | | | | | | | | 51,000 | |
Charles Schwab Corporation | | | | | | | | | | | | | | | | |
3.20%, 03/02/27 | | | | | | | 300,000 | | | | | | | | 303,086 | |
(Variable, ICE LIBOR USD 3M + 2.58%), 5.00%, 12/01/27† | | | | | | | 1,000,000 | | | | | | | | 1,005,050 | |
Charter Communications Operating LLC | | | | | | | | | | | | | | | | |
4.46%, 07/23/22 | | | | | | | 125,000 | | | | | | | | 130,548 | |
4.91%, 07/23/25 | | | | | | | 2,710,000 | | | | | | | | 2,885,666 | |
3.75%, 02/15/28 | | | | | | | 1,800,000 | | | | | | | | 1,728,360 | |
4.20%, 03/15/28 | | | | | | | 260,000 | | | | | | | | 258,600 | |
6.48%, 10/23/45 | | | | | | | 90,000 | | | | | | | | 105,297 | |
Cheniere Corpus Christi Holdings LLC | | | | | | | | | | | | | | | | |
5.13%, 06/30/27D | | | | | | | 150,000 | | | | | | | | 155,535 | |
Chesapeake Energy Corporation | | | | | | | | | | | | | | | | |
6.13%, 02/15/21D | | | | | | | 160,000 | | | | | | | | 162,800 | |
Chevron Corporation | | | | | | | | | | | | | | | | |
2.95%, 05/16/26 | | | | | | | 750,000 | | | | | | | | 750,586 | |
Chubb Corporation | | | | | | | | | | | | | | | | |
(Variable, ICE LIBOR USD 3M + 2.25%), 3.61%, 04/15/37† | | | | | | | 400,000 | | | | | | | | 398,000 | |
Chubb INA Holdings, Inc. | | | | | | | | | | | | | | | | |
2.30%, 11/03/20 | | | | | | | 90,000 | | | | | | | | 89,893 | |
3.35%, 05/03/26 | | | | | | | 120,000 | | | | | | | | 122,597 | |
| | | | |
| | See Notes to Financial Statements. | | 107 |
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | | | | | |
| | | | | | Par | | | | | | Value | |
Cimarex Energy Co. | | | | | | | | | | | | | | | | |
3.90%, 05/15/27 | | | | | | $ | 470,000 | | | | | | | $ | 481,504 | |
Cintas Corporation No. | | | | | | | | | | | | | | | | |
2 2.90%, 04/01/22 | | | | | | | 180,000 | | | | | | | | 181,789 | |
3.70%, 04/01/27 | | | | | | | 690,000 | | | | | | | | 719,337 | |
Cisco Systems, Inc. | | | | | | | | | | | | | | | | |
2.20%, 02/28/21 | | | | | | | 300,000 | | | | | | | | 299,184 | |
5.50%, 01/15/40 | | | | | | | 225,000 | | | | | | | | 298,349 | |
Citigroup, Inc. | | | | | | | | | | | | | | | | |
(Variable, ICE LIBOR USD 3M + 4.03%), 8.40%, 04/30/18† | | | | | | | 300,000 | | | | | | | | 304,875 | |
(Floating, ICE LIBOR USD 3M + 0.93%), 2.45%, 06/07/19† | | | | | | | 700,000 | | | | | | | | 705,664 | |
(Floating, ICE LIBOR USD 3M + 1.19%), 2.57%, 08/02/21† | | | | | | | 1,300,000 | | | | | | | | 1,324,904 | |
(Variable, ICE LIBOR USD 3M + 4.07%), 5.95%, 01/30/23† | | | | | | | 170,000 | | | | | | | | 181,050 | |
3.50%, 05/15/23 | | | | | | | 220,000 | | | | | | | | 224,208 | |
(Variable, ICE LIBOR USD 3M + 3.47%), 5.35%, 05/15/23† | | | | | | | 180,000 | | | | | | | | 184,275 | |
(Variable, ICE LIBOR USD 3M + 3.91%), 5.95%, 05/15/25† | | | | | | | 690,000 | | | | | | | | 735,712 | |
4.40%, 06/10/25 | | | | | | | 450,000 | | | | | | | | 475,443 | |
5.50%, 09/13/25 | | | | | | | 290,000 | | | | | | | | 327,217 | |
(Variable, ICE LIBOR USD 3M + 4.52%), 6.25%, 08/15/26† | | | | | | | 150,000 | | | | | | | | 165,638 | |
4.30%, 11/20/26 | | | | | | | 1,675,000 | | | | | | | | 1,754,820 | |
4.45%, 09/29/27 | | | | | | | 780,000 | | | | | | | | 826,771 | |
4.13%, 07/25/28 | | | | | | | 125,000 | | | | | | | | 129,108 | |
6.63%, 06/15/32 | | | | | | | 50,000 | | | | | | | | 63,875 | |
8.13%, 07/15/39 | | | | | | | 20,000 | | | | | | | | 32,079 | |
6.68%, 09/13/43 | | | | | | | 10,000 | | | | | | | | 13,889 | |
5.30%, 05/06/44D | | | | | | | 24,000 | | | | | | | | 28,444 | |
4.65%, 07/30/45 | | | | | | | 574,000 | | | | | | | | 655,981 | |
4.75%, 05/18/46 | | | | | | | 40,000 | | | | | | | | 44,273 | |
CNOOC Finance 2015 USA LLC | | | | | | | | | | | | | | | | |
3.50%, 05/05/25 | | | | | | | 760,000 | | | | | | | | 767,339 | |
Comcast Corporation | | | | | | | | | | | | | | | | |
5.70%, 05/15/18 | | | | | | | 1,250,000 | | | | | | | | 1,267,806 | |
3.38%, 08/15/25 | | | | | | | 275,000 | | | | | | | | 282,504 | |
3.15%, 02/15/28D | | | | | | | 500,000 | | | | | | | | 502,233 | |
3.20%, 07/15/36 | | | | | | | 380,000 | | | | | | | | 362,095 | |
Compass Bank | | | | | | | | | | | | | | | | |
5.50%, 04/01/20 | | | | | | | 300,000 | | | | | | | | 315,805 | |
ConocoPhillips Co. | | | | | | | | | | | | | | | | |
3.35%, 11/15/24 | | | | | | | 80,000 | | | | | | | | 82,486 | |
ConocoPhillips Holding Co. | | | | | | | | | | | | | | | | |
6.95%, 04/15/29 | | | | | | | 220,000 | | | | | | | | 289,553 | |
Continental Resources, Inc. | | | | | | | | | | | | | | | | |
4.38%, 01/15/28 144A | | | | | | | 130,000 | | | | | | | | 128,499 | |
Cott Holdings, Inc. | | | | | | | | | | | | | | | | |
5.50%, 04/01/25 144A | | | | | | | 170,000 | | | | | | | | 175,100 | |
Crown Castle International Corporation REIT | | | | | | | | | | | | | | | | |
2.25%, 09/01/21 | | | | | | | 125,000 | | | | | | | | 122,999 | |
5.25%, 01/15/23 | | | | | | | 525,000 | | | | | | | | 575,486 | |
3.20%, 09/01/24 | | | | | | | 200,000 | | | | | | | | 198,221 | |
| | | | | | | | | | | | | | | | |
| | | | | | Par | | | | | | Value | |
3.65%, 09/01/27 | | | | | | $ | 50,000 | | | | | | | $ | 49,979 | |
Crown Castle Towers LLC | | | | | | | | | | | | | | | | |
4.88%, 08/15/20 144A | | | | | | | 1,900,000 | | | | | | | | 1,988,364 | |
CVS Health Corporation | | | | | | | | | | | | | | | | |
2.75%, 12/01/22 | | | | | | | 210,000 | | | | | | | | 207,103 | |
4.00%, 12/05/23 | | | | | | | 800,000 | | | | | | | | 832,826 | |
3.88%, 07/20/25 | | | | | | | 313,000 | | | | | | | | 322,860 | |
2.88%, 06/01/26 | | | | | | | 675,000 | | | | | | | | 648,360 | |
5.13%, 07/20/45 | | | | | | | 350,000 | | | | | | | | 402,687 | |
CVS Pass-Through Trust | | | | | | | | | | | | | | | | |
6.94%, 01/10/30 | | | | | | | 645,127 | | | | | | | | 755,516 | |
DAE Funding LLC | | | | | | | | | | | | | | | | |
4.50%, 08/01/22 144A | | | | | | | 70,000 | | | | | | | | 68,950 | |
5.00%, 08/01/24 144A | | | | | | | 80,000 | | | | | | | | 79,200 | |
DDR Corporation REIT | | | | | | | | | | | | | | | | |
3.50%, 01/15/21 | | | | | | | 875,000 | | | | | | | | 888,842 | |
Delta Air Lines Class A Pass-Through Trust Series 2007-1 A | | | | | | | | | | | | | | | | |
6.82%, 08/10/22 | | | | | | | 295,410 | | | | | | | | 336,590 | |
Depository Trust & Clearing Corporation | | | | | | | | | | | | | | | | |
(Variable, ICE LIBOR USD 3M + | | | | | | | | | | | | | | | | |
3.17%), 4.88%, 06/15/20 | | | | | | | | | | | | | | | | |
144A† | | | | | | | 750,000 | | | | | | | | 781,875 | |
Devon Energy Corporation | | | | | | | | | | | | | | | | |
3.25%, 05/15/22D | | | | | | | 220,000 | | | | | | | | 223,998 | |
5.85%, 12/15/25 | | | | | | | 250,000 | | | | | | | | 292,381 | |
5.60%, 07/15/41 | | | | | | | 437,000 | | | | | | | | 516,855 | |
4.75%, 05/15/42 | | | | | | | 130,000 | | | | | | | | 138,158 | |
5.00%, 06/15/45 | | | | | | | 660,000 | | | | | | | | 739,111 | |
Devon Financing Corporation LLC | | | | | | | | | | | | | | | | |
7.88%, 09/30/31 | | | | | | | 60,000 | | | | | | | | 82,559 | |
Diamond 1 Finance Corporation | | | | | | | | | | | | | | | | |
3.48%, 06/01/19 144A | | | | | | | 1,010,000 | | | | | | | | 1,023,004 | |
4.42%, 06/15/21 144A | | | | | | | 2,380,000 | | | | | | | | 2,481,943 | |
5.45%, 06/15/23 144A | | | | | | | 150,000 | | | | | | | | 162,283 | |
Digital Realty Trust LP | | | | | | | | | | | | | | | | |
3.40%, 10/01/20 | | | | | | | 900,000 | | | | | | | | 918,357 | |
Discover Financial Services | | | | | | | | | | | | | | | | |
3.75%, 03/04/25 | | | | | | | 450,000 | | | | | | | | 453,657 | |
DISH DBS Corporation | | | | | | | | | | | | | | | | |
5.88%, 07/15/22 | | | | | | | 200,000 | | | | | | | | 201,750 | |
7.75%, 07/01/26 | | | | | | | 50,000 | | | | | | | | 52,750 | |
Dollar Tree, Inc. | | | | | | | | | | | | | | | | |
5.75%, 03/01/23 | | | | | | | 140,000 | | | | | | | | 146,913 | |
Duke Energy Corporation | | | | | | | | | | | | | | | | |
3.75%, 04/15/24 | | | | | | | 200,000 | | | | | | | | 209,163 | |
3.15%, 08/15/27 | | | | | | | 550,000 | | | | | | | | 547,150 | |
3.95%, 08/15/47 | | | | | | | 30,000 | | | | | | | | 30,964 | |
Eaton Corporation | | | | | | | | | | | | | | | | |
2.75%, 11/02/22 | | | | | | | 710,000 | | | | | | | | 712,878 | |
4.15%, 11/02/42 | | | | | | | 200,000 | | | | | | | | 209,075 | |
Ecolab, Inc. | | | | | | | | | | | | | | | | |
4.35%, 12/08/21 | | | | | | | 82,000 | | | | | | | | 87,361 | |
5.50%, 12/08/41 | | | | | | | 24,000 | | | | | | | | 30,156 | |
3.95%, 12/01/47 144A | | | | | | | 193,000 | | | | | | | | 198,152 | |
| | | | |
| 108 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | |
| | | | | | Par | | | | | | Value | |
Education Realty Operating Partnership LP REIT | | | | | | | | | | | | | | | | |
4.60%, 12/01/24 | | | | | | $ | 325,000 | | | | | | | $ | 338,489 | |
Eli Lilly & Co. | | | | | | | | | | | | | | | | |
3.10%, 05/15/27 | | | | | | | 140,000 | | | | | | | | 142,274 | |
EMD Finance LLC | | | | | | | | | | | | | | | | |
2.95%, 03/19/22 144A | | | | | | | 475,000 | | | | | | | | 477,493 | |
Energy Transfer LP | | | | | | | | | | | | | | | | |
4.65%, 06/01/21D | | | | | | | 650,000 | | | | | | | | 682,815 | |
3.60%, 02/01/23 | | | | | | | 75,000 | | | | | | | | 75,162 | |
4.75%, 01/15/26 | | | | | | | 25,000 | | | | | | | | 25,979 | |
Entergy Louisiana LLC | | | | | | | | | | | | | | | | |
5.40%, 11/01/24 | | | | | | | 1,200,000 | | | | | | | | 1,371,391 | |
Enterprise Products Operating LLC | | | | | | | | | | | | | | | | |
5.70%, 02/15/42 | | | | | | | 60,000 | | | | | | | | 72,817 | |
(Variable, ICE LIBOR USD 3M + 3.71%), 5.08%, 08/01/66† | | | | | | | 550,000 | | | | | | | | 550,687 | |
EOG Resources, Inc. | | | | | | | | | | | | | | | | |
4.15%, 01/15/26 | | | | | | | 140,000 | | | | | | | | 149,251 | |
EQT Midstream Partners LP | | | | | | | | | | | | | | | | |
4.13%, 12/01/26 | | | | | | | 1,800,000 | | | | | | | | 1,795,789 | |
ERP Operating LP REIT | | | | | | | | | | | | | | | | |
4.63%, 12/15/21 | | | | | | | 150,000 | | | | | | | | 160,754 | |
Exelon Corporation | | | | | | | | | | | | | | | | |
5.63%, 06/15/35 | | | | | | | 415,000 | | | | | | | | 511,538 | |
Expedia, Inc. | | | | | | | | | | | | | | | | |
3.80%, 02/15/28 144A | | | | | | | 375,000 | | | | | | | | 363,117 | |
Exxon Mobil Corporation | | | | | | | | | | | | | | | | |
3.04%, 03/01/26 | | | | | | | 280,000 | | | | | | | | 284,623 | |
4.11%, 03/01/46 | | | | | | | 530,000 | | | | | | | | 594,723 | |
Fidelity National Information Services, Inc. | | | | | | | | | | | | | | | | |
3.63%, 10/15/20 | | | | | | | 265,000 | | | | | | | | 272,455 | |
First Data Corporation | | | | | | | | | | | | | | | | |
5.38%, 08/15/23 144A | | | | | | | 70,000 | | | | | | | | 73,038 | |
FirstEnergy Corporation | | | | | | | | | | | | | | | | |
4.25%, 03/15/23 | | | | | | | 490,000 | | | | | | | | 512,355 | |
3.90%, 07/15/27 | | | | | | | 1,430,000 | | | | | | | | 1,468,092 | |
7.38%, 11/15/31 | | | | | | | 770,000 | | | | | | | | 1,040,964 | |
Fiserv, Inc. | | | | | | | | | | | | | | | | |
2.70%, 06/01/20 | | | | | | | 350,000 | | | | | | | | 352,384 | |
Florida Power & Light Co. | | | | | | | | | | | | | | | | |
3.80%, 12/15/42 | | | | | | | 425,000 | | | | | | | | 446,691 | |
Ford Motor Credit Co. LLC | | | | | | | | | | | | | | | | |
2.94%, 01/08/19 | | | | | | | 400,000 | | | | | | | | 402,598 | |
(Floating, ICE LIBOR USD 3M + 0.83%), 2.38%, 03/12/19† | | | | | | | 200,000 | | | | | | | | 201,042 | |
2.46%, 03/27/20 | | | | | | | 800,000 | | | | | | | | 797,861 | |
3.16%, 08/04/20 | | | | | | | 225,000 | | | | | | | | 227,889 | |
5.75%, 02/01/21 | | | | | | | 200,000 | | | | | | | | 217,291 | |
3.34%, 03/18/21 | | | | | | | 250,000 | | | | | | | | 254,101 | |
5.88%, 08/02/21 | | | | | | | 1,675,000 | | | | | | | | 1,840,823 | |
Freeport-McMoRan, Inc. | | | | | | | | | | | | | | | | |
6.88%, 02/15/23 | | | | | | | 10,000 | | | | | | | | 10,950 | |
5.45%, 03/15/43 | | | | | | | 122,000 | | | | | | | | 122,458 | |
General Electric Co. | | | | | | | | | | | | | | | | |
8.50%, 04/06/18 | | | | | | | 2,000,000 | | | | | | | | 101,776 | |
| | | | | | | | | | | | | | | | |
| | | | | | Par | | | | | | Value | |
6.00%, 08/07/19 | | | | | | $ | 301,000 | | | | | | | $ | 319,010 | |
4.38%, 09/16/20 | | | | | | | 198,000 | | | | | | | | 208,064 | |
5.30%, 02/11/21 | | | | | | | 104,000 | | | | | | | | 112,347 | |
4.65%, 10/17/21D | | | | | | | 140,000 | | | | | | | | 150,808 | |
3.15%, 09/07/22 | | | | | | | 230,000 | | | | | | | | 233,788 | |
5.88%, 01/14/38 | | | | | | | 72,000 | | | | | | | | 93,289 | |
6.88%, 01/10/39 | | | | | | | 400,000 | | | | | | | | 577,506 | |
4.50%, 03/11/44D | | | | | | | 100,000 | | | | | | | | 111,042 | |
General Motors Co. | | | | | | | | | | | | | | | | |
6.25%, 10/02/43 | | | | | | | 110,000 | | | | | | | | 130,743 | |
General Motors Financial Co., Inc. | | | | | | | | | | | | | | | | |
3.25%, 05/15/18 | | | | | | | 280,000 | | | | | | | | 281,078 | |
3.50%, 07/10/19 | | | | | | | 625,000 | | | | | | | | 634,653 | |
(Floating, ICE LIBOR USD 3M + 1.27%), 2.97%, 10/04/19† | | | | | | | 400,000 | | | | | | | | 405,361 | |
3.20%, 07/13/20 | | | | | | | 1,000,000 | | | | | | | | 1,014,166 | |
4.38%, 09/25/21 | | | | | | | 400,000 | | | | | | | | 421,118 | |
3.45%, 04/10/22 | | | | | | | 230,000 | | | | | | | | 233,288 | |
4.25%, 05/15/23 | | | | | | | 40,000 | | | | | | | | 41,941 | |
4.35%, 01/17/27 | | | | | | | 170,000 | | | | | | | | 177,131 | |
Gilead Sciences, Inc. | | | | | | | | | | | | | | | | |
3.70%, 04/01/24 | | | | | | | 230,000 | | | | | | | | 240,817 | |
4.50%, 02/01/45 | | | | | | | 400,000 | | | | | | | | 445,643 | |
4.75%, 03/01/46 | | | | | | | 20,000 | | | | | | | | 23,191 | |
4.15%, 03/01/47 | | | | | | | 300,000 | | | | | | | | 319,923 | |
GlaxoSmithKline Capital, Inc. | | | | | | | | | | | | | | | | |
5.65%, 05/15/18 | | | | | | | 380,000 | | | | | | | | 385,249 | |
Glencore Funding LLC | | | | | | | | | | | | | | | | |
4.13%, 05/30/23 144A | | | | | | | 375,000 | | | | | | | | 388,407 | |
4.63%, 04/29/24 144A | | | | | | | 175,000 | | | | | | | | 185,153 | |
4.00%, 03/27/27 144A D | | | | | | | 480,000 | | | | | | | | 482,833 | |
Goldman Sachs Capital II | | | | | | | | | | | | | | | | |
(Variable, ICE LIBOR USD 3M + 0.77%), 4.00%, 02/09/18† | | | | | | | 3,000 | | | | | | | | 2,660 | |
Goldman Sachs Group, Inc. 5.95%, 01/18/18 | | | | | | | 1,000,000 | | | | | | | | 1,001,587 | |
(Floating, ICE LIBOR USD 3M + 1.10%), 2.52%, 11/15/18† | | | | | | | 3,800,000 | | | | | | | | 3,824,008 | |
5.38%, 03/15/20 | | | | | | | 200,000 | | | | | | | | 212,132 | |
6.00%, 06/15/20 | | | | | | | 540,000 | | | | | | | | 584,191 | |
5.25%, 07/27/21 | | | | | | | 560,000 | | | | | | | | 607,220 | |
3.85%, 07/08/24 | | | | | | | 150,000 | | | | | | | | 155,720 | |
4.25%, 10/21/25 | | | | | | | 620,000 | | | | | | | | 648,626 | |
3.50%, 11/16/26 | | | | | | | 550,000 | | | | | | | | 553,787 | |
6.75%, 10/01/37 | | | | | | | 110,000 | | | | | | | | 147,519 | |
6.25%, 02/01/41 | | | | | | | 750,000 | | | | | | | | 1,012,786 | |
5.15%, 05/22/45 | | | | | | | 330,000 | | | | | | | | 383,578 | |
4.75%, 10/21/45 | | | | | | | 530,000 | | | | | | | | 608,589 | |
Goodman US Finance Three LLC REIT | | | | | | | | | | | | | | | | |
3.70%, 03/15/28 144A | | | | | | | 1,000,000 | | | | | | | | 994,398 | |
Goodyear Tire & Rubber Co. | | | | | | | | | | | | | | | | |
5.13%, 11/15/23 | | | | | | | 80,000 | | | | | | | | 83,671 | |
5.00%, 05/31/26 | | | | | | | 90,000 | | | | | | | | 93,137 | |
Halliburton Co. | | | | | | | | | | | | | | | | |
3.80%, 11/15/25 | | | | | | | 745,000 | | | | | | | | 775,533 | |
4.85%, 11/15/35 | | | | | | | 30,000 | | | | | | | | 33,757 | |
| | | | |
| | See Notes to Financial Statements. | | 109 |
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | | | | | |
| | | Par | | | Value | |
5.00%, 11/15/45 | | | | | | $ | 90,000 | | | | | | | $ | 103,760 | |
Harris Corporation | | | | | | | | | | | | | | | | |
5.05%, 04/27/45 | | | | | | | 110,000 | | | | | | | | 129,881 | |
Hartford Financial Services Group, Inc. | | | | | | | | | | | | | | | | |
5.13%, 04/15/22 | | | | | | | 50,000 | | | | | | | | 54,617 | |
HCA, Inc. | | | | | | | | | | | | | | | | |
7.69%, 06/15/25 | | | | | | | 250,000 | | | | | | | | 284,375 | |
5.50%, 06/15/47 | | | | | | | 50,000 | | | | | | | | 50,000 | |
HCP, Inc. REIT | | | | | | | | | | | | | | | | |
2.63%, 02/01/20 | | | | | | | 300,000 | | | | | | | | 301,210 | |
Hewlett Packard Enterprise Co. | | | | | | | | | | | | | | | | |
4.90%, 10/15/25 | | | | | | | 425,000 | | | | | | | | 449,396 | |
Hilton Worldwide Finance LLC | | | | | | | | | | | | | | | | |
4.88%, 04/01/27 | | | | | | | 20,000 | | | | | | | | 20,975 | |
HSBC USA, Inc. | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 0.77%), 2.16%, 08/07/18† | | | | | | | 1,700,000 | | | | | | | | 1,705,651 | |
Humana, Inc. | | | | | | | | | | | | | | | | |
3.15%, 12/01/22 | | | | | | | 70,000 | | | | | | | | 70,541 | |
3.95%, 03/15/27 | | | | | | | 150,000 | | | | | | | | 155,600 | |
4.63%, 12/01/42 | | | | | | | 60,000 | | | | | | | | 65,715 | |
4.95%, 10/01/44 | | | | | | | 70,000 | | | | | | | | 80,937 | |
4.80%, 03/15/47 | | | | | | | 10,000 | | | | | | | | 11,322 | |
Intel Corporation | | | | | | | | | | | | | | | | |
3.70%, 07/29/25 | | | | | | | 805,000 | | | | | | | | 850,692 | |
3.73%, 12/08/47 144A | | | | | | | 76,000 | | | | | | | | 79,135 | |
International Lease Finance Corporation | | | | | | | | | | | | | | | | |
7.13%, 09/01/18 144A | | | | | | | 1,975,000 | | | | | | | | 2,038,272 | |
8.63%, 01/15/22 | | | | | | | 420,000 | | | | | | | | 506,261 | |
International Paper & Co. | | | | | | | | | | | | | | | | |
3.00%, 02/15/27 | | | | | | | 900,000 | | | | | | | | 874,318 | |
John Deere Capital Corporation | | | | | | | | | | | | | | | | |
2.25%, 04/17/19 | | | | | | | 160,000 | | | | | | | | 160,222 | |
1.70%, 01/15/20 | | | | | | | 80,000 | | | | | | | | 79,244 | |
Johnson & Johnson | | | | | | | | | | | | | | | | |
2.45%, 03/01/26 | | | | | | | 190,000 | | | | | | | | 185,488 | |
3.63%, 03/03/37 | | | | | | | 720,000 | | | | | | | | 762,229 | |
JPMorgan Chase & Co. | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 0.55%), 1.92%, 04/25/18† | | | | | | | 2,200,000 | | | | | | | | 2,202,610 | |
2.25%, 01/23/20 | | | | | | | 300,000 | | | | | | | | 299,889 | |
(Variable, ICE LIBOR USD 3M + 3.80%), 5.30%, 05/01/20† | | | | | | | 550,000 | | | | | | | | 571,780 | |
4.40%, 07/22/20 | | | | | | | 980,000 | | | | | | | | 1,029,898 | |
2.55%, 03/01/21 | | | | | | | 300,000 | | | | | | | | 300,291 | |
2.40%, 06/07/21 | | | | | | | 1,100,000 | | | | | | | | 1,094,631 | |
4.35%, 08/15/21 | | | | | | | 70,000 | | | | | | | | 74,280 | |
2.97%, 01/15/23 | | | | | | | 475,000 | | | | | | | | 479,313 | |
3.88%, 09/10/24 | | | | | | | 860,000 | | | | | | | | 897,878 | |
2.95%, 10/01/26 | | | | | | | 700,000 | | | | | | | | 688,357 | |
4.25%, 10/01/27 | | | | | | | 90,000 | | | | | | | | 95,848 | |
(Variable, ICE LIBOR USD 3M + 1.36%), 3.88%, 07/24/38† | | | | | | | 175,000 | | | | | | | | 180,265 | |
4.95%, 06/01/45 | | | | | | | 400,000 | | | | | | | | 466,013 | |
Kerr-McGee Corporation | | | | | | | | | | | | | | | | |
6.95%, 07/01/24 | | | | | | | 290,000 | | | | | | | | 342,303 | |
| | | | | | | | | | | | | | | | |
| | | Par | | | Value | |
7.88%, 09/15/31 | | | | | | $ | 280,000 | | | | | | | $ | 372,875 | |
Kilroy Realty LP REIT | | | | | | | | | | | | | | | | |
3.80%, 01/15/23 | | | | | | | 400,000 | | | | | | | | 409,480 | |
Kimberly-Clark Corporation | | | | | | | | | | | | | | | | |
3.70%, 06/01/43 | | | | | | | 200,000 | | | | | | | | 199,932 | |
Kinder Morgan Energy Partners LP | | | | | | | | | | | | | | | | |
9.00%, 02/01/19 | | | | | | | 700,000 | | | | | | | | 747,516 | |
3.95%, 09/01/22 | | | | | | | 520,000 | | | | | | | | 537,194 | |
4.15%, 02/01/24 | | | | | | | 50,000 | | | | | | | | 51,923 | |
4.25%, 09/01/24 | | | | | | | 100,000 | | | | | | | | 103,713 | |
Kinder Morgan, Inc. | | | | | | | | | | | | | | | | |
3.05%, 12/01/19 | | | | | | | 575,000 | | | | | | | | 580,294 | |
5.63%, 11/15/23 144A | | | | | | | 900,000 | | | | | | | | 994,900 | |
KKR Group Finance Co. II LLC | | | | | | | | | | | | | | | | |
5.50%, 02/01/43 144A | | | | | | | 30,000 | | | | | | | | 34,936 | |
Kraft Heinz Foods Co. | | | | | | | | | | | | | | | | |
5.38%, 02/10/20 | | | | | | | 223,000 | | | | | | | | 236,386 | |
2.80%, 07/02/20 | | | | | | | 250,000 | | | | | | | | 251,587 | |
3.50%, 06/06/22D | | | | | | | 160,000 | | | | | | | | 163,889 | |
3.95%, 07/15/25 | | | | | | | 110,000 | | | | | | | | 113,795 | |
3.00%, 06/01/26D | | | | | | | 110,000 | | | | | | | | 106,046 | |
5.00%, 07/15/35 | | | | | | | 100,000 | | | | | | | | 109,497 | |
5.00%, 06/04/42 | | | | | | | 50,000 | | | | | | | | 53,845 | |
5.20%, 07/15/45 | | | | | | | 60,000 | | | | | | | | 66,251 | |
4.38%, 06/01/46 | | | | | | | 100,000 | | | | | | | | 99,456 | |
Kroger Co. | | | | | | | | | | | | | | | | |
6.15%, 01/15/20 | | | | | | | 360,000 | | | | | | | | 386,988 | |
Lamb Weston Holdings, Inc. | | | | | | | | | | | | | | | | |
4.63%, 11/01/24 144A | | | | | | | 150,000 | | | | | | | | 155,250 | |
Lehman Escrow Bonds | | | | | | | | | | | | | | | | |
0.00%, 01/18/12# | | | | | | | 200,000 | | | | | | | | 9,200 | |
0.00%, 01/24/13# | | | | | | | 2,300,000 | | | | | | | | 105,800 | |
0.00%, 07/19/17y ††† # | | | | | | | 150,000 | | | | | | | | — | |
0.00%, 12/28/17y ††† # | | | | | | | 3,340,000 | | | | | | | | — | |
0.00%, 11/29/49y ††† # | | | | | | | 2,330,000 | | | | | | | | — | |
Life Storage LLP REIT 3.88%, 12/15/27 | | | | | | | 1,025,000 | | | | | | | | 1,023,324 | |
Lockheed Martin Corporation 3.10%, 01/15/23 | | | | | | | 1,040,000 | | | | | | | | 1,057,918 | |
3.55%, 01/15/26 | | | | | | | 310,000 | | | | | | | | 322,444 | |
4.50%, 05/15/36 | | | | | | | 50,000 | | | | | | | | 56,242 | |
Magnolia Finance X Ltd. 4.04%, 12/03/20y ††† | | | | | | | 370,925 | | | | | | | | 490,788 | |
2.48%, 12/06/20y ††† | | | | | | | 995,639 | | | | | | | | 1,317,377 | |
McDonald’s Corporation 3.70%, 01/30/26 | | | | | | | 240,000 | | | | | | | | 250,598 | |
3.50%, 03/01/27 | | | | | | | 500,000 | | | | | | | | 515,196 | |
Medtronic Global Holdings SCA 3.35%, 04/01/27D | | | | | | | 750,000 | | | | | | | | 770,447 | |
Medtronic, Inc. 2.50%, 03/15/20 | | | | | | | 125,000 | | | | | | | | 125,780 | |
3.15%, 03/15/22 | | | | | | | 300,000 | | | | | | | | 307,454 | |
3.50%, 03/15/25 | | | | | | | 30,000 | | | | | | | | 31,150 | |
4.63%, 03/15/45 | | | | | | | 250,000 | | | | | | | | 291,979 | |
MetLife Capital Trust IV 7.88%, 12/15/37 144A | | | | | | | 300,000 | | | | | | | | 401,250 | |
| | | | |
| 110 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | |
| | | Par | | | Value | |
MetLife, Inc. | | | | | | | | | | | | | | | | |
4.75%, 02/08/21 | | | | | | $ | 270,000 | | | | | | | $ | 289,201 | |
6.40%, 12/15/36 | | | | | | | 50,000 | | | | | | | | 57,641 | |
4.05%, 03/01/45 | | | | | | | 25,000 | | | | | | | | 26,285 | |
Microsoft Corporation | | | | | | | | | | | | | | | | |
2.88%, 02/06/24 | | | | | | | 470,000 | | | | | | | | 477,192 | |
2.70%, 02/12/25 | | | | | | | 120,000 | | | | | | | | 119,931 | |
3.13%, 11/03/25 | | | | | | | 450,000 | | | | | | | | 459,888 | |
2.40%, 08/08/26 | | | | | | | 1,200,000 | | | | | | | | 1,158,575 | |
3.30%, 02/06/27 | | | | | | | 800,000 | | | | | | | | 826,149 | |
3.45%, 08/08/36 | | | | | | | 10,000 | | | | | | | | 10,331 | |
4.10%, 02/06/37 | | | | | | | 50,000 | | | | | | | | 55,937 | |
3.95%, 08/08/56 | | | | | | | 130,000 | | | | | | | | 139,184 | |
Moody’s Corporation | | | | | | | | | | | | | | | | |
4.50%, 09/01/22 | | | | | | | 800,000 | | | | | | | | 858,036 | |
Morgan Stanley | | | | | | | | | | | | | | | | |
6.63%, 04/01/18 | | | | | | | 700,000 | | | | | | | | 707,713 | |
(Variable, ICE LIBOR USD 3M + 3.81%), 5.55%, 07/15/20† | | | | | | | 375,000 | | | | | | | | 390,000 | |
5.50%, 07/24/20 | | | | | | | 550,000 | | | | | | | | 590,053 | |
(Floating, ICE LIBOR USD 3M + 1.40%), 2.76%, 04/21/21† | | | | | | | 100,000 | | | | | | | | 102,769 | |
(Floating, ICE LIBOR USD 3M + 1.40%), 2.76%, 10/24/23† | | | | | | | 225,000 | | | | | | | | 231,556 | |
3.88%, 04/29/24 | | | | | | | 275,000 | | | | | | | | 287,362 | |
3.70%, 10/23/24 | | | | | | | 450,000 | | | | | | | | 465,416 | |
3.63%, 01/20/27 | | | | | | | 550,000 | | | | | | | | 563,550 | |
MPLX LP | | | | | | | | | | | | | | | | |
4.88%, 12/01/24 | | | | | | | 230,000 | | | | | | | | 248,271 | |
4.88%, 06/01/25 | | | | | | | 240,000 | | | | | | | | 257,603 | |
MPT Operating Partnership LP REIT | | | | | | | | | | | | | | | | |
5.00%, 10/15/27 | | | | | | | 270,000 | | | | | | | | 275,737 | |
National Retail Properties, Inc. REIT | | | | | | | | | | | | | | | | |
3.60%, 12/15/26 | | | | | | | 250,000 | | | | | | | | 248,365 | |
Navient Corporation | | | | | | | | | | | | | | | | |
5.88%, 03/25/21 | | | | | | | 300,000 | | | | | | | | 310,875 | |
NCL Corporation, Ltd. | | | | | | | | | | | | | | | | |
4.75%, 12/15/21 144A | | | | | | | 50,000 | | | | | | | | 51,875 | |
Netflix, Inc. | | | | | | | | | | | | | | | | |
5.50%, 02/15/22 | | | | | | | 100,000 | | | | | | | | 105,625 | |
Newell Brands, Inc. | | | | | | | | | | | | | | | | |
3.15%, 04/01/21 | | | | | | | 110,000 | | | | | | | | 111,314 | |
3.85%, 04/01/23 | | | | | | | 200,000 | | | | | | | | 207,190 | |
4.20%, 04/01/26D | | | | | | | 150,000 | | | | | | | | 156,821 | |
Nissan Motor Acceptance Corporation | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 0.89%), 2.25%, 01/13/22 144A † | | | | | | | 1,900,000 | | | | | | | | 1,924,761 | |
Noble Energy, Inc. | | | | | | | | | | | | | | | | |
4.15%, 12/15/21 | | | | | | | 620,000 | | | | | | | | 646,606 | |
3.85%, 01/15/28D | | | | | | | 230,000 | | | | | | | | 231,171 | |
4.95%, 08/15/47 | | | | | | | 110,000 | | | | | | | | 118,185 | |
Northrop Grumman Corporation | | | | | | | | | | | | | | | | |
2.93%, 01/15/25 | | | | | | | 1,100,000 | | | | | | | | 1,095,194 | |
3.25%, 01/15/28 | | | | | | | 2,320,000 | | | | | | | | 2,328,345 | |
Northwestern Mutual Life Insurance Co. | | | | | | | | | | | | | | | | |
6.06%, 03/30/40 144A | | | | | | | 300,000 | | | | | | | | 403,586 | |
| | | | | | | | | | | | | | | | |
| | | Par | | | Value | |
3.85%, 09/30/47 144A | | | | | | $ | 250,000 | | | | | | | $ | 254,108 | |
Oasis Petroleum, Inc. | | | | | | | | | | | | | | | | |
6.88%, 03/15/22D | | | | | | | 60,000 | | | | | | | | 61,725 | |
Occidental Petroleum Corporation | | | | | | | | | | | | | | | | |
3.13%, 02/15/22 | | | | | | | 100,000 | | | | | | | | 102,576 | |
2.70%, 02/15/23 | | | | | | | 20,000 | | | | | | | | 20,026 | |
3.40%, 04/15/26 | | | | | | | 500,000 | | | | | | | | 512,598 | |
3.00%, 02/15/27 | | | | | | | 150,000 | | | | | | | | 149,300 | |
4.63%, 06/15/45 | | | | | | | 130,000 | | | | | | | | 147,727 | |
4.40%, 04/15/46 | | | | | | | 60,000 | | | | | | | | 66,583 | |
4.10%, 02/15/47D | | | | | | | 210,000 | | | | | | | | 223,802 | |
Oracle Corporation | | | | | | | | | | | | | | | | |
2.50%, 05/15/22 | | | | | | | 375,000 | | | | | | | | 375,814 | |
3.25%, 11/15/27 | | | | | | | 625,000 | | | | | | | | 636,388 | |
Pacific Gas & Electric Co. | | | | | | | | | | | | | | | | |
8.25%, 10/15/18 | | | | | | | 130,000 | | | | | | | | 136,044 | |
6.05%, 03/01/34D | | | | | | | 570,000 | | | | | | | | 719,638 | |
5.80%, 03/01/37D | | | | | | | 210,000 | | | | | | | | 262,550 | |
Penske Truck Leasing Co. LP | | | | | | | | | | | | | | | | |
3.05%, 01/09/20 144A | | | | | | | 575,000 | | | | | | | | 582,169 | |
Phillips 66 Partners LP | | | | | | | | | | | | | | | | |
3.55%, 10/01/26 | | | | | | | 175,000 | | | | | | | | 173,770 | |
Physicians Realty LP REIT | | | | | | | | | | | | | | | | |
3.95%, 01/15/28 | | | | | | | 2,400,000 | | | | | | | | 2,376,986 | |
Pioneer Natural Resources Co. | | | | | | | | | | | | | | | | |
3.45%, 01/15/21 | | | | | | | 275,000 | | | | | | | | 280,733 | |
3.95%, 07/15/22 | | | | | | | 75,000 | | | | | | | | 78,249 | |
Plains All American Pipeline LP | | | | | | | | | | | | | | | | |
3.65%, 06/01/22 | | | | | | | 200,000 | | | | | | | | 201,358 | |
3.85%, 10/15/23 | | | | | | | 200,000 | | | | | | | | 199,306 | |
4.50%, 12/15/26 | | | | | | | 600,000 | | | | | | | | 609,310 | |
Priceline Group, Inc. | | | | | | | | | | | | | | | | |
3.60%, 06/01/26 | | | | | | | 425,000 | | | | | | | | 427,571 | |
Principal Life Global Funding II | | | | | | | | | | | | | | | | |
2.38%, 09/11/19 144A | | | | | | | 2,900,000 | | | | | | | | 2,905,996 | |
Progress Energy, Inc. | | | | | | | | | | | | | | | | |
7.75%, 03/01/31 | | | | | | | 350,000 | | | | | | | | 490,997 | |
Puget Sound Energy, Inc. | | | | | | | | | | | | | | | | |
(Variable, ICE LIBOR USD 3M + 2.53%), 4.01%, 06/01/67† | | | | | | | 275,000 | | | | | | | | 271,136 | |
Quicken Loans, Inc. | | | | | | | | | | | | | | | | |
5.75%, 05/01/25 144A | | | | | | | 110,000 | | | | | | | | 114,401 | |
Range Resources Corporation | | | | | | | | | | | | | | | | |
5.00%, 03/15/23 | | | | | | | 130,000 | | | | | | | | 130,000 | |
4.88%, 05/15/25D | | | | | | | 10,000 | | | | | | | | 9,700 | |
Raytheon Co. | | | | | | | | | | | | | | | | |
3.13%, 10/15/20 | | | | | | | 200,000 | | | | | | | | 204,677 | |
Realty Income Corporation REIT | | | | | | | | | | | | | | | | |
3.65%, 01/15/28 | | | | | | | 300,000 | | | | | | | | 302,831 | |
Regency Energy Partners LP | | | | | | | | | | | | | | | | |
5.88%, 03/01/22 | | | | | | | 100,000 | | | | | | | | 109,422 | |
4.50%, 11/01/23 | | | | | | | 310,000 | | | | | | | | 320,916 | |
Reliance Standard Life Global Funding II | | | | | | | | | | | | | | | | |
2.50%, 01/15/20 144A | | | | | | | 475,000 | | | | | | | | 475,162 | |
Rensselaer Polytechnic Institute | | | | | | | | | | | | | | | | |
5.60%, 09/01/20 | | | | | | | 675,000 | | | | | | | | 722,525 | |
| | | | |
| | See Notes to Financial Statements. | | 111 |
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | | | | | |
| | | | | | Par | | | | | | Value | |
Reynolds Group Issuer, Inc. | | | | | | | | | | | | | | | | |
5.13%, 07/15/23 144A | | | | | | $ | 160,000 | | | | | | | $ | 165,800 | |
Rockwell Collins, Inc. | | | | | | | | | | | | | | | | |
3.50%, 03/15/27 | | | | | | | 550,000 | | | | | | | | 561,070 | |
Roper Technologies, Inc. | | | | | | | | | | | | | | | | |
2.05%, 10/01/18 | | | | | | | 375,000 | | | | | | | | 375,029 | |
3.00%, 12/15/20 | | | | | | | 250,000 | | | | | | | | 253,148 | |
3.80%, 12/15/26 | | | | | | | 400,000 | | | | | | | | 413,265 | |
Sabine Pass Liquefaction LLC | | | | | | | | | | | | | | | | |
6.25%, 03/15/22 | | | | | | | 475,000 | | | | | | | | 528,967 | |
5.75%, 05/15/24 | | | | | | | 1,000,000 | | | | | | | | 1,112,928 | |
5.63%, 03/01/25 | | | | | | | 500,000 | | | | | | | | 552,301 | |
Sally Holdings LLC | | | | | | | | | | | | | | | | |
5.63%, 12/01/25D | | | | | | | 250,000 | | | | | | | | 250,000 | |
Santander Holdings USA, Inc. | | | | | | | | | | | | | | | | |
2.70%, 05/24/19 | | | | | | | 700,000 | | | | | | | | 701,751 | |
4.50%, 07/17/25 | | | | | | | 60,000 | | | | | | | | 62,681 | |
Schlumberger Holdings Corporation | | | | | | | | | | | | | | | | |
3.00%, 12/21/20 144A | | | | | | | 250,000 | | | | | | | | 253,412 | |
4.00%, 12/21/25 144A | | | | | | | 190,000 | | | | | | | | 199,992 | |
Select Income REIT | | | | | | | | | | | | | | | | |
2.85%, 02/01/18 | | | | | | | 75,000 | | | | | | | | 75,000 | |
3.60%, 02/01/20 | | | | | | | 125,000 | | | | | | | | 125,835 | |
Sherwin-Williams Co. | | | | | | | | | | | | | | | | |
2.25%, 05/15/20 | | | | | | | 350,000 | | | | | | | | 349,028 | |
2.75%, 06/01/22 | | | | | | | 125,000 | | | | | | | | 124,643 | |
3.13%, 06/01/24 | | | | | | | 75,000 | | | | | | | | 75,520 | |
3.45%, 06/01/27 | | | | | | | 800,000 | | | | | | | | 814,389 | |
Southern Co. | | | | | | | | | | | | | | | | |
2.35%, 07/01/21 | | | | | | | 450,000 | | | | | | | | 447,703 | |
Southern Copper Corporation | | | | | | | | | | | | | | | | |
5.25%, 11/08/42 | | | | | | | 960,000 | | | | | | | | 1,076,236 | |
Southern Natural Gas Co. LLC | | | | | | | | | | | | | | | | |
8.00%, 03/01/32 | | | | | | | 400,000 | | | | | | | | 543,565 | |
Spectrum Brands, Inc. | | | | | | | | | | | | | | | | |
5.75%, 07/15/25 | | | | | | | 110,000 | | | | | | | | 116,325 | |
Spirit Airlines Class A Pass-Through Trust Series 2015-1 | | | | | | | | | | | | | | | | |
4.10%, 04/01/28 | | | | | | | 1,345,265 | | | | | | | | 1,400,421 | |
Sprint Corporation | | | | | | | | | | | | | | | | |
7.25%, 09/15/21 | | | | | | | 30,000 | | | | | | | | 31,838 | |
7.63%, 02/15/25D | | | | | | | 300,000 | | | | | | | | 315,000 | |
State Street Corporation | | | | | | | | | | | | | | | | |
4.96%, 03/15/18 | | | | | | | 480,000 | | | | | | | | 482,770 | |
Stryker Corporation | | | | | | | | | | | | | | | | |
2.63%, 03/15/21 | | | | | | | 125,000 | | | | | | | | 125,388 | |
Sunoco Logistics Partners Operations LP | | | | | | | | | | | | | | | | |
4.25%, 04/01/24 | | | | | | | 100,000 | | | | | | | | 102,082 | |
Symantec Corporation | | | | | | | | | | | | | | | | |
5.00%, 04/15/25 144A | | | | | | | 140,000 | | | | | | | | 145,950 | |
Synchrony Financial | | | | | | | | | | | | | | | | |
2.60%, 01/15/19 | | | | | | | 300,000 | | | | | | | | 300,638 | |
3.00%, 08/15/19 | | | | | | | 375,000 | | | | | | | | 377,749 | |
2.70%, 02/03/20 | | | | | | | 200,000 | | | | | | | | 200,597 | |
Targa Resources Partners LP | | | | | | | | | | | | | | | | |
4.25%, 11/15/23 | | | | | | | 750,000 | | | | | | | | 744,375 | |
| | | | | | | | | | | | | | | | |
| | | | | | Par | | | | | | Value | |
Taylor Morrison Communities, Inc. | | | | | | | | | | | | | | | | |
5.63%, 03/01/24 144A | | | | | | $ | 150,000 | | | | | | | $ | 157,688 | |
Teachers Insurance & Annuity Association of America | | | | | | | | | | | | | | | | |
6.85%, 12/16/39 144A | | | | | | | 46,000 | | | | | | | | 65,118 | |
4.90%, 09/15/44 144A | | | | | | | 435,000 | | | | | | | | 498,756 | |
Tenet Healthcare Corporation | | | | | | | | | | | | | | | | |
8.13%, 04/01/22 | | | | | | | 50,000 | | | | | | | | 51,063 | |
Thermo Fisher Scientific, Inc. | | | | | | | | | | | | | | | | |
3.00%, 04/15/23 | | | | | | | 325,000 | | | | | | | | 327,390 | |
3.65%, 12/15/25 | | | | | | | 200,000 | | | | | | | | 205,588 | |
Time Warner, Inc. | | | | | | | | | | | | | | | | |
6.10%, 07/15/40 | | | | | | | 140,000 | | | | | | | | 170,190 | |
TimeWarner Cable LLC | | | | | | | | | | | | | | | | |
5.00%, 02/01/20 | | | | | | | 100,000 | | | | | | | | 104,412 | |
4.13%, 02/15/21 | | | | | | | 400,000 | | | | | | | | 412,191 | |
7.30%, 07/01/38 | | | | | | | 210,000 | | | | | | | | 263,997 | |
5.88%, 11/15/40 | | | | | | | 100,000 | | | | | | | | 108,848 | |
TimeWarner Entertainment Co. LP | | | | | | | | | | | | | | | | |
8.38%, 07/15/33 | | | | | | | 390,000 | | | | | | | | 537,909 | |
TJX Cos, Inc. | | | | | | | | | | | | | | | | |
2.25%, 09/15/26 | | | | | | | 40,000 | | | | | | | | 37,582 | |
Transcontinental Gas Pipe Line Co. LLC | | | | | | | | | | | | | | | | |
7.85%, 02/01/26 | | | | | | | 350,000 | | | | | | | | 448,045 | |
United Airlines Class A Pass-Through Trust Series 2016-2 | | | | | | | | | | | | | | | | |
3.10%, 10/07/28D | | | | | | | 800,000 | | | | | | | | 788,400 | |
United Airlines Class AA Pass-Through Trust Series 2016-2 | | | | | | | | | | | | | | | | |
2.88%, 10/07/28 | | | | | | | 800,000 | | | | | | | | 787,320 | |
United Parcel Service, Inc. | | | | | | | | | | | | | | | | |
2.50%, 04/01/23 | | | | | | | 120,000 | | | | | | | | 119,420 | |
3.05%, 11/15/27 | | | | | | | 100,000 | | | | | | | | 100,135 | |
United Rentals North America, Inc. | | | | | | | | | | | | | | | | |
5.50%, 07/15/25 | | | | | | | 140,000 | | | | | | | | 148,925 | |
4.88%, 01/15/28 | | | | | | | 40,000 | | | | | | | | 40,300 | |
United Technologies Corporation | | | | | | | | | | | | | | | | |
4.50%, 06/01/42 | | | | | | | 120,000 | | | | | | | | 133,309 | |
UnitedHealth Group, Inc. | | | | | | | | | | | | | | | | |
1.63%, 03/15/19 | | | | | | | 170,000 | | | | | | | | 169,109 | |
3.75%, 07/15/25 | | | | | | | 270,000 | | | | | | | | 284,867 | |
4.63%, 07/15/35 | | | | | | | 225,000 | | | | | | | | 262,520 | |
6.88%, 02/15/38 | | | | | | | 200,000 | | | | | | | | 290,631 | |
Univision Communications, Inc. | | | | | | | | | | | | | | | | |
5.13%, 02/15/25 144A | | | | | | | 150,000 | | | | | | | | 146,438 | |
VEREIT Operating Partnership LP | | | | | | | | | | | | | | | | |
3.00%, 02/06/19 | | | | | | | 500,000 | | | | | | | | 502,537 | |
4.13%, 06/01/21D | | | | | | | 200,000 | | | | | | | | 207,779 | |
4.88%, 06/01/26 | | | | | | | 75,000 | | | | | | | | 79,506 | |
Verizon Communications, Inc. | | | | | | | | | | | | | | | | |
2.95%, 03/15/22 | | | | | | | 725,000 | | | | | | | | 730,133 | |
2.45%, 11/01/22D | | | | | | | 500,000 | | | | | | | | 490,665 | |
5.15%, 09/15/23 | | | | | | | 1,400,000 | | | | | | | | 1,559,644 | |
4.15%, 03/15/24 | | | | | | | 750,000 | | | | | | | | 789,885 | |
3.50%, 11/01/24 | | | | | | | 350,000 | | | | | | | | 356,796 | |
3.38%, 02/15/25 144A | | | | | | | 1,095,000 | | | | | | | | 1,100,865 | |
| | | | |
| 112 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | |
| | | | | | Par | | | | | | Value | |
2.63%, 08/15/26 | | | | | | $ | 985,000 | | | | | | | $ | 929,529 | |
4.13%, 03/16/27 | | | | | | | 1,550,000 | | | | | | | | 1,619,304 | |
5.25%, 03/16/37 | | | | | | | 680,000 | | | | | | | | 750,110 | |
4.86%, 08/21/46 | | | | | | | 350,000 | | | | | | | | 366,003 | |
5.50%, 03/16/47 | | | | | | | 100,000 | | | | | | | | 114,382 | |
4.52%, 09/15/48 | | | | | | | 110,000 | | | | | | | | 108,758 | |
Visa, Inc. | | | | | | | | | | | | | | | | |
3.15%, 12/14/25 | | | | | | | 600,000 | | | | | | | | 614,005 | |
4.30%, 12/14/45 | | | | | | | 360,000 | | | | | | | | 410,691 | |
VMware, Inc. | | | | | | | | | | | | | | | | |
3.90%, 08/21/27 | | | | | | | 500,000 | | | | | | | | 505,728 | |
Voya Financial, Inc. | | | | | | | | | | | | | | | | |
2.90%, 02/15/18 | | | | | | | 22,000 | | | | | | | | 22,022 | |
5.70%, 07/15/43 | | | | | | | 170,000 | | | | | | | | 208,970 | |
Wachovia Capital Trust III | | | | | | | | | | | | | | | | |
(Variable, ICE LIBOR USD 3M + 0.93%), 5.57%, 02/09/18† | | | | | | | 560,000 | | | | | | | | 564,900 | |
Walgreens Boots Alliance, Inc. | | | | | | | | | | | | | | | | |
2.70%, 11/18/19 | | | | | | | 100,000 | | | | | | | | 100,651 | |
Waste Management, Inc. | | | | | | | | | | | | | | | | |
3.50%, 05/15/24 | | | | | | | 140,000 | | | | | | | | 145,153 | |
7.38%, 05/15/29 | | | | | | | 140,000 | | | | | | | | 185,592 | |
Wells Fargo & Co. | | | | | | | | | | | | | | | | |
2.60%, 07/22/20 | | | | | | | 800,000 | | | | | | | | 805,223 | |
4.60%, 04/01/21 | | | | | | | 70,000 | | | | | | | | 74,423 | |
3.45%, 02/13/23 | | | | | | | 200,000 | | | | | | | | 203,952 | |
(Floating, ICE LIBOR USD 3M + 1.23%), 2.61%, 10/31/23† | | | | | | | 600,000 | | | | | | | | 616,369 | |
4.48%, 01/16/24 | | | | | | | 2,196,000 | | | | | | | | 2,362,104 | |
(Variable, ICE LIBOR USD 3M + 3.99%), 5.88%, 06/15/25† D | | | | | | | 600,000 | | | | | | | | 665,280 | |
4.10%, 06/03/26 | | | | | | | 440,000 | | | | | | | | 461,887 | |
3.00%, 10/23/26 | | | | | | | 2,140,000 | | | | | | | | 2,099,951 | |
4.30%, 07/22/27 | | | | | | | 860,000 | | | | | | | | 916,813 | |
(Variable, ICE LIBOR USD 3M + 1.31%), 3.58%, 05/22/28† | | | | | | | 600,000 | | | | | | | | 612,403 | |
5.38%, 11/02/43 | | | | | | | 190,000 | | | | | | | | 226,759 | |
4.65%, 11/04/44 | | | | | | | 70,000 | | | | | | | | 76,516 | |
4.90%, 11/17/45 | | | | | | | 370,000 | | | | | | | | 419,763 | |
4.40%, 06/14/46 | | | | | | | 70,000 | | | | | | | | 74,008 | |
4.75%, 12/07/46 | | | | | | | 260,000 | | | | | | | | 291,303 | |
Wells Fargo Capital X | | | | | | | | | | | | | | | | |
5.95%, 12/15/36 | | | | | | | 140,000 | | | | | | | | 159,600 | |
Welltower, Inc. REIT | | | | | | | | | | | | | | | | |
4.25%, 04/01/26 | | | | | | | 900,000 | | | | | | | | 943,788 | |
West Corporation | | | | | | | | | | | | | | | | |
4.75%, 07/15/21 144AD | | | | | | | 60,000 | | | | | | | | 60,900 | |
Western Gas Partners LP | | | | | | | | | | | | | | | | |
3.95%, 06/01/25 | | | | | | | 225,000 | | | | | | | | 225,334 | |
Westlake Chemical Corporation | | | | | | | | | | | | | | | | |
4.63%, 02/15/21 | | | | | | | 60,000 | | | | | | | | 61,800 | |
4.88%, 05/15/23 | | | | | | | 90,000 | | | | | | | | 93,150 | |
3.60%, 08/15/26 | | | | | | | 125,000 | | | | | | | | 125,948 | |
WestRock RKT Co. | | | | | | | | | | | | | | | | |
3.50%, 03/01/20 | | | | | | | 150,000 | | | | | | | | 152,686 | |
4.00%, 03/01/23 | | | | | | | 30,000 | | | | | | | | 31,122 | |
Whiting Petroleum Corporation | | | | | | | | | | | | | | | | |
6.25%, 04/01/23D | | | | | | | 240,000 | | | | | | | | 246,600 | |
| | | | | | | | | | | | | | | | |
| | | | | | Par | | | | | | Value | |
Williams Cos., Inc. | | | | | | | | | | | | | | | | |
7.50%, 01/15/31 | | | | | | $ | 10,000 | | | | | | | $ | 12,275 | |
7.75%, 06/15/31 | | | | | | | 25,000 | | | | | | | | 30,938 | |
8.75%, 03/15/32 | | | | | | | 181,000 | | | | | | | | 239,825 | |
Williams Partners LP | | | | | | | | | | | | | | | | |
3.60%, 03/15/22 | | | | | | | 155,000 | | | | | | | | 158,700 | |
3.90%, 01/15/25 | | | | | | | 350,000 | | | | | | | | 357,242 | |
5.10%, 09/15/45 | | | | | | | 105,000 | | | | | | | | 115,918 | |
Wm.Wrigley Jr. Co. | | | | | | | | | | | | | | | | |
2.40%, 10/21/18 144A | | | | | | | 60,000 | | | | | | | | 60,177 | |
2.90%, 10/21/19 144A | | | | | | | 230,000 | | | | | | | | 232,197 | |
WPX Energy, Inc. | | | | | | | | | | | | | | | | |
6.00%, 01/15/22D | | | | | | | 10,000 | | | | | | | | 10,500 | |
8.25%, 08/01/23 | | | | | | | 30,000 | | | | | | | | 34,200 | |
Zoetis, Inc. | | | | | | | | | | | | | | | | |
3.00%, 09/12/27 | | | | | | | 350,000 | | | | | | | | 342,606 | |
| | | | | | | | | | | | | | | | |
Total Corporate Bonds
(Cost $230,735,829) | | | | | | | | | | | | | | | 237,493,857 | |
| | | | | | | | | | | | | | | | |
FOREIGN BONDS — 10.8% | | | | | | | | | | | | | | | | |
Argentina — 0.2% | | | | | | | | | | | | | | | | |
Argentina POM Politica Monetaria | | | | | | | | | | | | | | | | |
(Floating, Argentina Central Bank 7D Repo Rate + 0.00%), 28.75%, 06/21/20† (ZA) | | | | | | | 1,110,000 | | | | | | | | 63,402 | |
Argentine Bonos del Tesoro 21.20%, 09/19/18(ZA) | | | | | | | 230,000 | | | | | | | | 12,048 | |
18.20%, 10/03/21(ZA) | | | | | | | 13,930,000 | | | | | | | | 771,292 | |
Argentine Republic Government International Bond | | | | | | | | | | | | | | | | |
5.63%, 01/26/22D | | | | | | | 1,250,000 | | | | | | | | 1,321,875 | |
7.13%, 07/06/36D | | | | | | | 720,000 | | | | | | | | 781,920 | |
Provincia de Buenos Aires 6.50%, 02/15/23 144A | | | | | | | 230,000 | | | | | | | | 247,664 | |
7.88%, 06/15/27 144A | | | | | | | 180,000 | | | | | | | | 200,217 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 3,398,418 | |
| | | | | | | | | | | | | | | | |
Australia — 0.3% | | | | | | | | | | | | | | | | |
BHP Billiton Finance (USA), Ltd. | | | | | | | | | | | | | | | | |
2.88%, 02/24/22 | | | | | | | 20,000 | | | | | | | | 20,243 | |
5.00%, 09/30/43 | | | | | | | 220,000 | | | | | | | | 270,363 | |
(Variable, USD Swap 5Y + 5.09%), 6.75%, 10/19/75 144A† | | | | | | | 880,000 | | | | | | | | 1,029,679 | |
CNOOC Finance 2015 Australia Proprietary, Ltd. | | | | | | | | | | | | | | | | |
2.63%, 05/05/20 | | | | | | | 1,300,000 | | | | | | | | 1,297,490 | |
Commonwealth Bank of Australia | | | | | | | | | | | | | | | | |
5.00%, 10/15/19 144A | | | | | | | 50,000 | | | | | | | | 52,318 | |
3.90%, 07/12/47 144A | | | | | | | 390,000 | | | | | | | | 399,737 | |
FMG Resources August 2006 Proprietary, Ltd. | | | | | | | | | | | | | | | | |
9.75%, 03/01/22 144A | | | | | | | 180,000 | | | | | | | | 199,620 | |
Macquarie Bank, Ltd. | | | | | | | | | | | | | | | | |
6.63%, 04/07/21 144A | | | | | | | 71,000 | | | | | | | | 78,415 | |
Westpac Banking Corp of New Zealand | | | | | | | | | | | | | | | | |
(Variable, USD ICE Swap Rate 5Y + 2.89%), 5.00%, 09/21/27† | | | | | | | 300,000 | | | | | | | | 299,575 | |
| | | | |
| | See Notes to Financial Statements. | | 113 |
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | | | | | |
| | | Par | | | Value | |
Westpac Banking Corporation | | | | | | | | | | | | | | | | |
(Variable, USD ICE Swap Rate 5Y + 2.24%), 4.32%, 11/23/31† | | | | | | $ | 350,000 | | | | | | | $ | 361,274 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 4,008,714 | |
| | | | | | | | | | | | | | | | |
Belgium — 0.0% | | | | | | | | | | | | | | | | |
KBC Bank NV | | | | | | | | | | | | | | | | |
(Variable, USD Swap 5Y + 7.10%), 8.00%, 01/25/23† | | | | | | | 200,000 | | | | | | | | 201,207 | |
| | | | | | | | | | | | | | | | |
Bermuda — 0.0% | | | | | | | | | | | | | | | | |
XLIT, Ltd. | | | | | | | | | | | | | | | | |
4.45%, 03/31/25 | | | | | | | 349,000 | | | | | | | | 357,509 | |
| | | | | | | | | | | | | | | | |
Brazil — 0.5% | | | | | | | | | | | | | | | | |
Brazil Letras do Tesouro Nacional | | | | | | | | | | | | | | | | |
0.00%, 10/01/19W (B) | | | | | | | 168,400 | | | | | | | | 445,806 | |
Brazil Notas do Tesouro Nacional Serie F | | | | | | | | | | | | | | | | |
10.00%, 01/01/21(B) | | | | | | | 7,392,000 | | | | | | | | 2,296,668 | |
10.00%, 01/01/23(B) | | | | | | | 7,128,000 | | | | | | | | 2,177,078 | |
10.00%, 01/01/27(B) | | | | | | | 810,000 | | | | | | | | 240,948 | |
Brazilian Government International Bond | | | | | | | | | | | | | | | | |
5.63%, 01/07/41 | | | | | | | 750,000 | | | | | | | | 768,000 | |
5.63%, 02/21/47D | | | | | | | 600,000 | | | | | | | | 614,400 | |
Vale Overseas, Ltd. | | | | | | | | | | | | | | | | |
6.88%, 11/21/36 | | | | | | | 591,000 | | | | | | | | 726,930 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 7,269,830 | |
| | | | | | | | | | | | | | | | |
Canada — 0.3% | | | | | | | | | | | | | | | | |
Alimentation Couche-Tard, Inc. | | | | | | | | | | | | | | | | |
2.70%, 07/26/22 144A | | | | | | | 275,000 | | | | | | | | 272,763 | |
3.55%, 07/26/27 144A | | | | | | | 125,000 | | | | | | | | 125,136 | |
Bank of Montreal | | | | | | | | | | | | | | | | |
(Variable, USD Swap 5Y + 1.43%), 3.80%, 12/15/32†D | | | | | | | 450,000 | | | | | | | | 445,446 | |
Bank of Nova Scotia | | | | | | | | | | | | | | | | |
1.88%, 04/26/21 | | | | | | | 1,600,000 | | | | | | | | 1,569,611 | |
Barrick Gold Corporation | | | | | | | | | | | | | | | | |
5.25%, 04/01/42 | | | | | | | 560,000 | | | | | | | | 647,962 | |
Canadian Natural Resources, Ltd. | | | | | | | | | | | | | | | | |
3.85%, 06/01/27 | | | | | | | 350,000 | | | | | | | | 357,922 | |
Enbridge, Inc. | | | | | | | | | | | | | | | | |
3.50%, 06/10/24 | | | | | | | 150,000 | | | | | | | | 151,888 | |
Potash Corporation of Saskatchewan, Inc. | | | | | | | | | | | | | | | | |
4.88%, 03/30/20 | | | | | | | 110,000 | | | | | | | | 115,231 | |
Transcanada Trust | | | | | | | | | | | | | | | | |
(Variable, ICE LIBOR USD 3M + 3.21%), 5.30%, 03/15/77† | | | | | | | 370,000 | | | | | | | | 382,256 | |
Valeant Pharmaceuticals International, Inc. | | | | | | | | | | | | | | | | |
6.50%, 03/15/22 144A | | | | | | | 50,000 | | | | | | | | 52,625 | |
7.00%, 03/15/24 144A | | | | | | | 230,000 | | | | | | | | 246,675 | |
Yamana Gold, Inc. | | | | | | | | | | | | | | | | |
4.63%, 12/15/27 144A | | | | | | | 175,000 | | | | | | | | 176,254 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 4,543,769 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | Par | | | Value | |
Chile — 0.1% | | | | | | | | | | | | | | | | |
Latam Airlines Class A Pass-Through Trust Series 2015-1 A | | | | | | | | | | | | | | | | |
4.20%, 11/15/27 | | | | | | $ | 808,346 | | | | | | | $ | 819,461 | |
| | | | | | | | | | | | | | | | |
China — 0.1% | | | | | | | | | | | | | | | | |
China Evergrande Group | | | | | | | | | | | | | | | | |
8.75%, 06/28/25 | | | | | | | 200,000 | | | | | | | | 207,787 | |
China Government Bond | | | | | | | | | | | | | | | | |
3.31%, 11/30/25(Y) | | | | | | | 1,000,000 | | | | | | | | 144,381 | |
Park Aerospace Holdings, Ltd. | | | | | | | | | | | | | | | | |
5.25%, 08/15/22 144A | | | | | | | 60,000 | | | | | | | | 59,850 | |
5.50%, 02/15/24 144A | | | | | | | 100,000 | | | | | | | | 99,500 | |
Sinopec Group Overseas Development 2014, Ltd. | | | | | | | | | | | | | | | | |
4.38%, 04/10/24 144A | | | | | | | 750,000 | | | | | | | | 796,848 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 1,308,366 | |
| | | | | | | | | | | | | | | | |
Colombia — 0.1% | | | | | | | | | | | | | | | | |
Colombia Government International Bond | | | | | | | | | | | | | | | | |
5.63%, 02/26/44 | | | | | | | 480,000 | | | | | | | | 550,800 | |
Ecopetrol SA | | | | | | | | | | | | | | | | |
5.88%, 05/28/45 | | | | | | | 720,000 | | | | | | | | 737,648 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 1,288,448 | |
| | | | | | | | | | | | | | | | |
Denmark — 0.0% | | | | | | | | | | | | | | | | |
Realkredit Danmark A/S | | | | | | | | | | | | | | | | |
1.00%, 04/01/18(D) | | | | | | | 1,400,000 | | | | | | | | 226,521 | |
2.00%, 04/01/18(D) | | | | | | | 1,400,000 | | | | | | | | 227,055 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 453,576 | |
| | | | | | | | | | | | | | | | |
Dominican Republic — 0.0% | | | | | | | | | | | | | | | | |
Dominican Republic International Bond | | | | | | | | | | | | | | | | |
10.38%, 03/04/22(V) | | | | | | | 800,000 | | | | | | | | 17,865 | |
14.50%, 02/10/23(V) | | | | | | | 1,300,000 | | | | | | | | 32,335 | |
6.88%, 01/29/26 144A | | | | | | | 180,000 | | | | | | | | 205,931 | |
11.38%, 07/06/29(V) | | | | | | | 700,000 | | | | | | | | 16,356 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 272,487 | |
| | | | | | | | | | | | | | | | |
Ecuador — 0.1% | | | | | | | | | | | | | | | | |
Ecuador Government International Bond | | | | | | | | | | | | | | | | |
9.63%, 06/02/27 144A | | | | | | | 200,000 | | | | | | | | 229,750 | |
8.88%, 10/23/27 144AD | | | | | | | 530,000 | | | | | | | | 584,988 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 814,738 | |
| | | | | | | | | | | | | | | | |
Finland — 0.0% | | | | | | | | | | | | | | | | |
Nokia OYJ | | | | | | | | | | | | | | | | |
4.38%, 06/12/27 | | | | | | | 259,000 | | | | | | | | 256,669 | |
| | | | | | | | | | | | | | | | |
France — 0.3% | | | | | | | | | | | | | | | | |
BNP Paribas SA | | | | | | | | | | | | | | | | |
4.38%, 05/12/26 144A | | | | | | | 275,000 | | | | | | | | 288,061 | |
Credit Agricole SA | | | | | | | | | | | | | | | | |
(Variable, ICE LIBOR USD 3M + 6.98%), 8.38%, 10/13/19
144A † | | | | | | | 510,000 | | | | | | | | 558,450 | |
4.13%, 01/10/27 144A | | | | | | | 450,000 | | | | | | | | 468,122 | |
| | | | |
| 114 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | |
| | | Par | | | Value | |
Danone SA | | | | | | | | | | | | | | | | |
2.59%, 11/02/23 144A | | | | | | $ | 650,000 | | | | | | | $ | 634,736 | |
2.95%, 11/02/26 144A | | | | | | | 310,000 | | | | | | | | 302,430 | |
Unibail-Rodamco SE REIT | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 0.77%), 2.13%, 04/16/19† | | | | | | | 1,600,000 | | | | | | | | 1,609,307 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 3,861,106 | |
| | | | | | | | | | | | | | | | |
Germany — 0.9% | | | | | | | | | | | | | | | | |
Deutsche Bank AG | | | | | | | | | | | | | | | | |
2.50%, 02/13/19 | | | | | | | 100,000 | | | | | | | | 99,987 | |
2.85%, 05/10/19 | | | | | | | 1,600,000 | | | | | | | | 1,605,860 | |
4.25%, 10/14/21 | | | | | | | 500,000 | | | | | | | | 520,636 | |
(Variable, USD Swap 5Y + 2.55%), 4.88%, 12/01/32†D | | | | | | | 475,000 | | | | | | | | 473,337 | |
KFW | | | | | | | | | | | | | | | | |
1.13%, 08/06/18 | | | | | | | 1,800,000 | | | | | | | | 1,794,172 | |
1.50%, 09/09/19D | | | | | | | 8,750,000 | | | | | | | | 8,676,338 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 13,170,330 | |
| | | | | | | | | | | | | | | | |
India — 0.1% | | | | | | | | | | | | | | | | |
Bharti Airtel, Ltd. | | | | | | | | | | | | | | | | |
4.38%, 06/10/25 144A | | | | | | | 530,000 | | | | | | | | 540,136 | |
Reliance Industries, Ltd. | | | | | | | | | | | | | | | | |
3.67%, 11/30/27 144A D | | | | | | | 250,000 | | | | | | | | 247,838 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 787,974 | |
| | | | | | | | | | | | | | | | |
Indonesia — 0.3% | | | | | | | | | | | | | | | | |
Indonesia Government International Bond | | | | | | | | | | | | | | | | |
4.88%, 05/05/21 | | | | | | | 570,000 | | | | | | | | 608,976 | |
3.70%, 01/08/22 144A | | | | | | | 200,000 | | | | | | | | 205,753 | |
5.38%, 10/17/23 | | | | | | | 200,000 | | | | | | | | 223,213 | |
4.75%, 01/08/26 144A | | | | | | | 250,000 | | | | | | | | 272,211 | |
4.35%, 01/08/27 144AD | | | | | | | 210,000 | | | | | | | | 222,522 | |
3.85%, 07/18/27 144A | | | | | | | 500,000 | | | | | | | | 513,772 | |
3.50%, 01/11/28 | | | | | | | 450,000 | | | | | | | | 449,582 | |
5.13%, 01/15/45 144A | | | | | | | 200,000 | | | | | | | | 221,436 | |
5.25%, 01/08/47 144A | | | | | | | 200,000 | | | | | | | | 226,492 | |
4.35%, 01/11/48 | | | | | | | 500,000 | | | | | | | | 508,516 | |
Perusahaan Penerbit Sbsn Indonesia III | | | | | | | | | | | | | | | | |
4.33%, 05/28/25 144A | | | | | | | 200,000 | | | | | | | | 210,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 3,662,473 | |
| | | | | | | | | | | | | | | | |
Ireland — 0.4% | | | | | | | | | | | | | | | | |
AerCap Ireland Capital DAC | | | | | | | | | | | | | | | | |
4.63%, 07/01/22 | | | | | | | 550,000 | | | | | | | | 583,256 | |
3.50%, 01/15/25 | | | | | | | 600,000 | | | | | | | | 595,667 | |
GE Capital International Funding Co. | | | | | | | | | | | | | | | | |
2.34%, 11/15/20 | | | | | | | 1,723,000 | | | | | | | | 1,715,765 | |
3.37%, 11/15/25 | | | | | | | 597,000 | | | | | | | | 607,815 | |
4.42%, 11/15/35 | | | | | | | 229,000 | | | | | | | | 248,304 | |
Shire Acquisitions Investments Ireland DAC | | | | | | | | | | | | | | | | |
1.90%, 09/23/19 | | | | | | | 500,000 | | | | | | | | 495,682 | |
| | | | | | | | | | | | | | | | |
| | | | | | Par | | | | | | Value | |
2.40%, 09/23/21 | | | | | | $ | 1,000,000 | | | | | | | $ | 985,131 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 5,231,620 | |
| | | | | | | | | | | | | | | | |
Israel — 0.2% | | | | | | | | | | | | | | | | |
Israel Government AID Bond | | | | | | | | | | | | | | | | |
5.50%, 09/18/23 | | | | | | | 1,200,000 | | | | | | | | 1,397,461 | |
5.50%, 12/04/23 | | | | | | | 200,000 | | | | | | | | 234,047 | |
5.50%, 04/26/24 | | | | | | | 500,000 | | | | | | | | 588,125 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 2,219,633 | |
| | | | | | | | | | | | | | | | |
Italy — 0.2% | | | | | | | | | | | | | | | | |
Intesa Sanpaolo SpA | | | | | | | | | | | | | | | | |
3.88%, 01/16/18 | | | | | | | 600,000 | | | | | | | | 600,407 | |
3.13%, 07/14/22 144A | | | | | | | 580,000 | | | | | | | | 576,421 | |
5.02%, 06/26/24 144A | | | | | | | 750,000 | | | | | | | | 768,999 | |
5.71%, 01/15/26 144A | | | | | | | 200,000 | | | | | | | | 211,037 | |
3.88%, 07/14/27 144A | | | | | | | 220,000 | | | | | | | | 220,333 | |
Wind Tre SpA | | | | | | | | | | | | | | | | |
5.00%, 01/20/26 144AD | | | | | | | 750,000 | | | | | | | | 717,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 3,094,197 | |
| | | | | | | | | | | | | | | | |
Jamaica — 0.0% | | | | | | | | | | | | | | | | |
Digicel, Ltd. | | | | | | | | | | | | | | | | |
6.75%, 03/01/23 144A | | | | | | | 300,000 | | | | | | | | 296,073 | |
| | | | | | | | | | | | | | | | |
Japan — 1.7% | | | | | | | | | | | | | | | | |
Development Bank of Japan, Inc. | | | | | | | | | | | | | | | | |
1.63%, 09/01/21 144A | | | | | | | 1,300,000 | | | | | | | | 1,248,625 | |
Japan Finance Organization for Municipalities | | | | | | | | | | | | | | | | |
2.13%, 10/25/23 144A | | | | | | | 2,200,000 | | | | | | | | 2,114,936 | |
Japan Treasury Discount Bill | | | | | | | | | | | | | | | | |
0.00%, 02/26/18W (J) | | | | | | | 2,150,000,000 | | | | | | | | 19,085,589 | |
Mitsubishi UFJ Financial Group, Inc. | | | | | | | | | | | | | | | | |
2.95%, 03/01/21 | | | | | | | 250,000 | | | | | | | | 252,395 | |
3.00%, 02/22/22 | | | | | | | 180,000 | | | | | | | | 181,249 | |
Mizuho Financial Group, Inc. | | | | | | | | | | | | | | | | |
2.63%, 04/12/21 144A | | | | | | | 500,000 | | | | | | | | 498,822 | |
Sumitomo Mitsui Financial Group, Inc. | | | | | | | | | | | | | | | | |
2.06%, 07/14/21 | | | | | | | 260,000 | | | | | | | | 254,933 | |
4.44%, 04/02/24 144A | | | | | | | 350,000 | | | | | | | | 369,097 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 24,005,646 | |
| | | | | | | | | | | | | | | | |
Jersey — 0.0% | | | | | | | | | | | | | | | | |
UBM PLC | | | | | | | | | | | | | | | | |
5.75%, 11/03/20 144A | | | | | | | 230,000 | | | | | | | | 238,957 | |
| | | | | | | | | | | | | | | | |
Jordan — 0.1% | | | | | | | | | | | | | | | | |
Hashemite Kingdom of Jordan | | | | | | | | | | | | | | | | |
Government AID Bond | | | | | | | | | | | | | | | | |
2.50%, 10/30/20 | | | | | | | 1,200,000 | | | | | | | | 1,215,973 | |
| | | | | | | | | | | | | | | | |
Kuwait — 0.1% | | | | | | | | | | | | | | | | |
Kuwait International Government Bond | | | | | | | | | | | | | | | | |
3.50%, 03/20/27 144A | | | | | | | 1,490,000 | | | | | | | | 1,515,951 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 115 |
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | | | | | |
| | | Par | | | Value | |
Luxembourg — 0.0% | | | | | | | | | | | | | | | | |
ArcelorMittal | | | | | | | | | | | | | | | | |
6.75%, 02/25/22 | | | | | | $ | 50,000 | | | | | | | $ | 55,875 | |
7.50%, 10/15/39 | | | | | | | 70,000 | | | | | | | | 89,950 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 145,825 | |
| | | | | | | | | | | | | | | | |
Mexico — 0.5% | | | | | | | | | | | | | | | | |
America Movil SAB de CV | | | | | | | | | | | | | | | | |
6.00%, 06/09/19(M) | | | | | | | 3,030,000 | | | | | | | | 150,049 | |
5.00%, 03/30/20 | | | | | | | 240,000 | | | | | | | | 253,215 | |
Mexican Bonos | | | | | | | | | | | | | | | | |
6.50%, 06/10/21(M) | | | | | | | 1,415,500 | | | | | | | | 69,603 | |
6.50%, 06/09/22(M) | | | | | | | 907,700 | | | | | | | | 44,235 | |
8.00%, 12/07/23(M) | | | | | | | 881,700 | | | | | | | | 45,611 | |
10.00%, 12/05/24(M) | | | | | | | 25,130,000 | | | | | | | | 1,441,890 | |
8.50%, 11/18/38(M) | | | | | | | 31,478,500 | | | | | | | | 1,717,810 | |
7.75%, 11/13/42(M) | | | | | | | 34,565,200 | | | | | | | | 1,749,135 | |
8.00%, 11/07/47(M) | | | | | | | 22,200 | | | | | | | | 1,153 | |
Petroleos Mexicanos | | | | | | | | | | | | | | | | |
5.50%, 02/04/19 | | | | | | | 50,000 | | | | | | | | 51,798 | |
6.38%, 02/04/21 | | | | | | | 11,000 | | | | | | | | 11,985 | |
5.13%, 03/15/23(E) | | | | | | | 110,000 | | | | | | | | 153,908 | |
6.88%, 08/04/26 | | | | | | | 200,000 | | | | | | | | 227,250 | |
6.50%, 03/13/27 144A | | | | | | | 470,000 | | | | | | | | 514,297 | |
6.63%, 06/15/35 | | | | | | | 19,000 | | | | | | | | 20,370 | |
5.50%, 06/27/44 | | | | | | | 170,000 | | | | | | | | 156,818 | |
6.38%, 01/23/45 | | | | | | | 500,000 | | | | | | | | 503,925 | |
6.75%, 09/21/47 144A | | | | | | | 290,000 | | | | | | | | 303,442 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 7,416,494 | |
| | | | | | | | | | | | | | | | |
Morocco & Antilles — 0.0% | |
OCP SA | | | | | | | | | | | | | | | | |
4.50%, 10/22/25 144A | | | | | | | 450,000 | | | | | | | | 451,482 | |
| | | | | | | | | | | | | | | | |
Netherlands — 0.8% | | | | | | | | | | | | | | | | |
ABN AMRO Bank NV | | | | | | | | | | | | | | | | |
4.75%, 07/28/25 144A | | | | | | | 200,000 | | | | | | | | 212,700 | |
Alcoa Nederland Holding BV | | | | | | | | | | | | | | | | |
7.00%, 09/30/26 144A | | | | | | | 200,000 | | | | | | | | 225,500 | |
Altice Financing SA | | | | | | | | | | | | | | | | |
6.63%, 02/15/23 144A | | | | | | | 350,000 | | | | | | | | 367,360 | |
Cooperatieve Rabobank UA | | | | | | | | | | | | | | | | |
(Variable, ICE LIBOR USD 3M + 10.87%), 11.00%, 06/30/19 144A† | | | | | | | 487,000 | | | | | | | | 546,049 | |
4.63%, 12/01/23 | | | | | | | 400,000 | | | | | | | | 429,338 | |
4.38%, 08/04/25 | | | | | | | 670,000 | | | | | | | | 708,399 | |
Equate Petrochemical BV | | | | | | | | | | | | | | | | |
4.25%, 11/03/26 144A | | | | | | | 260,000 | | | | | | | | 265,330 | |
ING Bank NV | | | | | | | | | | | | | | | | |
5.80%, 09/25/23 144A | | | | | | | 340,000 | | | | | | | | 382,030 | |
(Variable, USD ICE Swap Rate 5Y + 2.70%), 4.13%, 11/21/23† | | | | | | | 600,000 | | | | | | | | 607,204 | |
ING Groep NV | | | | | | | | | | | | | | | | |
3.15%, 03/29/22 | | | | | | | 200,000 | | | | | | | | 202,592 | |
Majapahit Holding BV | | | | | | | | | | | | | | | | |
7.75%, 01/20/20 | | | | | | | 240,000 | | | | | | | | 263,112 | |
Mylan NV | | | | | | | | | | | | | | | | |
3.95%, 06/15/26 | | | | | | | 900,000 | | | | | | | | 909,112 | |
| | | | | | | | | | | | | | | | |
| | | Par | | | Value | |
Myriad International Holdings BV | | | | | | | | | | | | | | | | |
4.85%, 07/06/27 144A | | | | | | $ | 420,000 | | | | | | | $ | 436,555 | |
Petrobras Global Finance BV | | | | | | | | | | | | | | | | |
6.13%, 01/17/22 | | | | | | | 150,000 | | | | | | | | 159,562 | |
6.25%, 03/17/24 | | | | | | | 380,000 | | | | | | | | 404,130 | |
5.30%, 01/27/25 144A | | | | | | | 2,196,000 | | | | | | | | 2,205,333 | |
7.38%, 01/17/27 | | | | | | | 120,000 | | | | | | | | 132,360 | |
6.00%, 01/27/28 144A | | | | | | | 705,000 | | | | | | | | 707,644 | |
6.85%, 06/05/15p | | | | | | | 350,000 | | | | | | | | 338,187 | |
Shell International Finance BV | | | | | | | | | | | | | | | | |
4.38%, 03/25/20 | | | | | | | 320,000 | | | | | | | | 334,724 | |
2.88%, 05/10/26 | | | | | | | 410,000 | | | | | | | | 410,458 | |
4.55%, 08/12/43 | | | | | | | 120,000 | | | | | | | | 136,810 | |
4.38%, 05/11/45 | | | | | | | 230,000 | | | | | | | | 259,251 | |
4.00%, 05/10/46 | | | | | | | 190,000 | | | | | | | | 202,886 | |
Stichting AK Rabobank Certificaten | | | | | | | | | | | | | | | | |
6.50%, 03/29/181(E) | | | | | | | 700,000 | | | | | | | | 1,042,520 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 11,889,146 | |
| | | | | | | | | | | | | | | | |
Nigeria — 0.0% | | | | | | | | | | | | | | | | |
Nigeria Government International Bond | | | | | | | | | | | | | | | | |
6.50%, 11/28/27 144AD | | | | | | | 200,000 | | | | | | | | 209,056 | |
| | | | | | | | | | | | | | | | |
Peru — 0.0% | | | | | | | | | | | | | | | | |
Peruvian Government International Bond | | | | | | | | | | | | | | | | |
5.63%, 11/18/50 | | | | | | | 330,000 | | | | | | | | 424,215 | |
| | | | | | | | | | | | | | | | |
Poland — 0.1% | | | | | | | | | | | | | | | | |
Republic of Poland Government International Bond | | | | | | | | | | | | | | | | |
4.00%, 01/22/24 | | | | | | | 1,180,000 | | | | | | | | 1,260,464 | |
| | | | | | | | | | | | | | | | |
Russia — 0.3% | | | | | | | | | | | | | | | | |
Russian Federal Bond - OFZ | | | | | | | | | | | | | | | | |
7.00%, 08/16/23(Q) | | | | | | | 12,100,000 | | | | | | | | 209,978 | |
7.75%, 09/16/26(Q) | | | | | | | 9,710,000 | | | | | | | | 173,238 | |
8.15%, 02/03/27(Q) | | | | | | | 43,040,000 | | | | | | | | 786,745 | |
7.05%, 01/19/28(Q) | | | | | | | 140,421,000 | | | | | | | | 2,370,502 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 3,540,463 | |
| | | | | | | | | | | | | | | | |
Saudi Arabia — 0.1% | | | | | | | | | | | | | | | | |
Saudi Government International Bond | | | | | | | | | | | | | | | | |
4.63%, 10/04/47 144A | | | | | | | 700,000 | | | | | | | | 716,381 | |
| | | | | | | | | | | | | | | | |
South Africa — 0.1% | | | | | | | | | | | | | | | | |
Republic of South Africa Government Bond | | | | | | | | | | | | | | | | |
8.00%, 01/31/30(S) | | | | | | | 780,000 | | | | | | | | 57,760 | |
7.00%, 02/28/31(S) | | | | | | | 2,020,000 | | | | | | | | 136,237 | |
8.25%, 03/31/32(S) | | | | | | | 6,190,000 | | | | | | | | 458,928 | |
8.88%, 02/28/35(S) | | | | | | | 720,000 | | | | | | | | 54,907 | |
6.25%, 03/31/36(S) | | | | | | | 1,390,000 | | | | | | | | 81,033 | |
9.00%, 01/31/40D (S) | | | | | | | 90,000 | | | | | | | | 6,782 | |
6.50%, 02/28/41(S) | | | | | | | 390,000 | | | | | | | | 22,278 | |
8.75%, 01/31/44(S) | | | | | | | 1,980,000 | | | | | | | | 144,261 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 962,186 | |
| | | | | | | | | | | | | | | | |
South Korea — 0.1% | | | | | | | | | | | | | | | | |
Export-Import Bank of Korea | | | | | | | | | | | | | | | | |
5.00%, 04/11/22 | | | | | | | 900,000 | | | | | | | | 970,663 | |
| | | | | | | | | | | | | | | | |
| | | | |
| 116 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | |
| | | Par | | | Value | |
Spain — 0.1% | | | | | | | | | | | | | | | | |
Banco Santander SA | | | | | | | | | | | | | | | | |
3.13%, 02/23/23 | | | | | | $ | 400,000 | | | | | | | $ | 398,433 | |
Telefonica Emisiones SA Unipersonal | | | | | | | | | | | | | | | | |
5.88%, 07/15/19 | | | | | | | 70,000 | | | | | | | | 73,618 | |
5.46%, 02/16/21 | | | | | | | 900,000 | | | | | | | | 974,243 | |
5.21%, 03/08/47 | | | | | | | 150,000 | | | | | | | | 170,904 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 1,617,198 | |
| | | | | | | | | | | | | | | | |
Supranational — 0.4% | | | | | | | | | | | | | | | | |
Inter-American Development Bank | | | | | | | | | | | | | | | | |
1.00%, 02/27/18 | | | | | | | 400,000 | | | | | | | | 399,333 | |
International Bank for Reconstruction & Development | | | | | | | | | | | | | | | | |
1.63%, 09/04/20D | | | | | | | 5,210,000 | | | | | | | | 5,146,521 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 5,545,854 | |
| | | | | | | | | | | | | | | | |
Sweden — 0.1% | | | | | | | | | | | | | | | | |
Nordea Bank AB | | | | | | | | | | | | | | | | |
4.88%, 05/13/21 144A | | | | | | | 640,000 | | | | | | | | 679,415 | |
Stadshypotek AB | | | | | | | | | | | | | | | | |
1.88%, 10/02/19 144A | | | | | | | 900,000 | | | | | | | | 894,064 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 1,573,479 | |
| | | | | | | | | | | | | | | | |
Switzerland — 0.6% | | | | | | | | | | | | | | | | |
Credit Suisse AG | | | | | | | | | | | | | | | | |
6.50%, 08/08/23 144A | | | | | | | 225,000 | | | | | | | | 252,309 | |
Credit Suisse Group AG | | | | | | | | | | | | | | | | |
4.28%, 01/09/28 144A | | | | | | | 1,800,000 | | | | | | | | 1,878,786 | |
Credit Suisse Group Funding Guernsey, Ltd. | | | | | | | | | | | | | | | | |
3.45%, 04/16/21D | | | | | | | 800,000 | | | | | | | | 819,315 | |
4.55%, 04/17/26 | | | | | | | 890,000 | | | | | | | | 954,563 | |
4.88%, 05/15/45 | | | | | | | 350,000 | | | | | | | | 404,476 | |
UBS Group Funding Switzerland AG | | | | | | | | | | | | | | | | |
3.00%, 04/15/21 144A | | | | | | | 1,500,000 | | | | | | | | 1,511,705 | |
2.65%, 02/01/22 144A D | | | | | | | 300,000 | | | | | | | | 296,888 | |
(Floating, ICE LIBOR USD 3M + 1.53%), 2.91%, 02/01/22 144A† | | | | | | | 200,000 | | | | | | | | 206,454 | |
3.49%, 05/23/23 144A | | | | | | | 880,000 | | | | | | | | 894,910 | |
4.25%, 03/23/28 144A | | | | | | | 1,160,000 | | | | | | | | 1,224,618 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 8,444,024 | |
| | | | | | | | | | | | | | | | |
Turkey — 0.1% | | | | | | | | | | | | | | | | |
Turkish Airlines Class A Pass-Through Trust
Series 2015-1 | | | | | | | | | | | | | | | | |
4.20%, 03/15/27 144A | | | | | | | 1,338,157 | | | | | | | | 1,308,048 | |
| | | | | | | | | | | | | | | | |
United Arab Emirates — 0.1% | | | | | | | | | |
Abu Dhabi Government International Bond | | | | | | | | | | | | | | | | |
2.50%, 10/11/22 144A | | | | | | | 610,000 | | | | | | | | 598,880 | |
3.13%, 10/11/27 144A | | | | | | | 500,000 | | | | | | | | 489,795 | |
Shelf Drilling Holdings, Ltd. | | | | | | | | | | | | | | | | |
9.50%, 11/02/20 144A | | | | | | | 18,119 | | | | | | | | 18,549 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 1,107,224 | |
| | | | | | | | | | | | | | | | |
United Kingdom — 1.4% | | | | | | | | | | | | | | | | |
Anglo American Capital PLC | | | | | | | | | | | | | | | | |
3.63%, 09/11/24 144AD | | | | | | | 700,000 | | | | | | | | 697,469 | |
| | | | | | | | | | | | | | | | |
| | | Par | | | Value | |
Barclays Bank PLC | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 0.46%), 2.06%, 03/16/18† | | | | | | $ | 2,900,000 | | | | | | | $ | 2,902,991 | |
Barclays PLC | | | | | | | | | | | | | | | | |
(Variable, EUR Swap Rate 5Y + 5.88%), 6.50%, 09/15/19† (E) | | | | | | | 800,000 | | | | | | | | 1,028,127 | |
(Floating, ICE LIBOR USD 3M + 2.11%), 3.52%, 08/10/21† | | | | | | | 1,600,000 | | | | | | | | 1,674,938 | |
5.20%, 05/12/26 | | | | | | | 275,000 | | | | | | | | 293,799 | |
4.95%, 01/10/47D | | | | | | | 200,000 | | | | | | | | 222,828 | |
BP Capital Markets PLC | | | | | | | | | | | | | | | | |
3.56%, 11/01/21 | | | | | | | 30,000 | | | | | | | | 31,199 | |
3.22%, 11/28/23 | | | | | | | 370,000 | | | | | | | | 378,257 | |
3.81%, 02/10/24 | | | | | | | 330,000 | | | | | | | | 347,200 | |
3.51%, 03/17/25 | | | | | | | 390,000 | | | | | | | | 403,810 | |
3.12%, 05/04/26 | | | | | | | 570,000 | | | | | | | | 576,728 | |
Centrica PLC | | | | | | | | | | | | | | | | |
4.25%, 09/12/44(U) | | | | | | | 200,000 | | | | | | | | 315,041 | |
Ensco PLC | | | | | | | | | | | | | | | | |
8.00%, 01/31/24D | | | | | | | 89,000 | | | | | | | | 89,668 | |
GlaxoSmithKline Capital PLC | | | | | | | | | | | | | | | | |
2.85%, 05/08/22 | | | | | | | 220,000 | | | | | | | | 223,440 | |
5.25%, 12/19/33(U) | | | | | | | 100,000 | | | | | | | | 186,692 | |
Hammerson PLC REIT | | | | | | | | | | | | | | | | |
3.50%, 10/27/25(U) | | | | | | | 100,000 | | | | | | | | 144,163 | |
HSBC Bank PLC | | | | | | | | | | | | | | | | |
4.75%, 01/19/21 144A | | | | | | | 200,000 | | | | | | | | 212,743 | |
HSBC Holdings PLC | | | | | | | | | | | | | | | | |
3.40%, 03/08/21 | | | | | | | 610,000 | | | | | | | | 623,760 | |
(Floating, ICE LIBOR USD 3M + 1.50%), 2.84%, 01/05/22† | | | | | | | 400,000 | | | | | | | | 413,776 | |
(Variable, ICE LIBOR USD 3M + 1.06%), 3.26%, 03/13/23† | | | | | | | 525,000 | | | | | | | | 532,620 | |
4.25%, 03/14/24 | | | | | | | 240,000 | | | | | | | | 251,040 | |
4.25%, 08/18/25 | | | | | | | 220,000 | | | | | | | | 228,517 | |
(Variable, ICE LIBOR USD 3M + 1.55%), 4.04%, 03/13/28† | | | | | | | 700,000 | | | | | | | | 730,339 | |
6.50%, 05/02/36 | | | | | | | 275,000 | | | | | | | | 359,950 | |
6.50%, 09/15/37 | | | | | | | 1,000,000 | | | | | | | | 1,319,120 | |
Lloyds Bank PLC | | | | | | | | | | | | | | | | |
(Variable, ICE LIBOR USD 3M + 11.76%), 12.00%, 12/16/24 144A † | | | | | | | 1,200,000 | | | | | | | | 1,615,835 | |
Lloyds Banking Group PLC | | | | | | | | | | | | | | | | |
4.50%, 11/04/24 | | | | | | | 240,000 | | | | | | | | 252,199 | |
(Variable, ICE LIBOR USD 3M + 1.21%), 3.57%, 11/07/28† | | | | | | | 200,000 | | | | | | | | 198,527 | |
Nationwide Building Society | | | | | | | | | | | | | | | | |
(Variable, USD ICE Swap Rate 5Y + 1.85%), 4.13%, 10/18/32 144A † | | | | | | | 400,000 | | | | | | | | 400,937 | |
Reckitt Benckiser Group PLC | | | | | | | | | | | | | | | | |
2.75%, 06/26/24 144A | | | | | | | 600,000 | | | | | | | | 587,516 | |
3.00%, 06/26/27 144A | | | | | | | 800,000 | | | | | | | | 782,264 | |
Royal Bank of Scotland Group PLC | | | | | | | | | | | | | | | | |
6.13%, 12/15/22 | | | | | | | 180,000 | | | | | | | | 197,507 | |
(Variable, ICE LIBOR USD 3M + 1.48%), 3.50%, 05/15/23† | | | | | | | 450,000 | | | | | | | | 451,435 | |
3.88%, 09/12/23 | | | | | | | 204,000 | | | | | | | | 207,720 | |
| | | | |
| | See Notes to Financial Statements. | | 117 |
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | | | | | |
| | | Par | | | Value | |
6.00%, 12/19/23 | | | | | | $ | 110,000 | | | | | | | $ | 121,309 | |
5.13%, 05/28/24 | | | | | | | 280,000 | | | | | | | | 297,393 | |
Severn Trent Utilities Finance PLC | | | | | | | | | | | | | | | | |
6.25%,
06/07/29(U) | | | | | | | 100,000 | | | | | | | | 188,017 | |
Standard Chartered PLC | | | | | | | | | | | | | | | | |
5.70%, 03/26/44 144A | | | | | | | 680,000 | | | | | | | | 827,820 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 20,316,694 | |
| | | | | | | | | | | | | | | | |
Total Foreign Bonds
(Cost $150,534,627) | | | | | | | | | | | | | | | 152,192,021 | |
| | | | | | | | | | | | | | | | |
FULLY FUNDED TOTAL RETURN SWAP — 0.0% | |
Receive return on Arab Republic of Egypt Government Bond, Maturing 03/06/18 (Payment at Maturity) | | | | | | | | | | | | | | | | |
0.00%, 03/08/18
(Cost $240,608) | | | | | | | 5,000,000 | | | | | | | | 272,242 | |
| | | | | | | | | | | | | | | | |
LOAN AGREEMENTS — 1.4% | |
Air Medical Group Holdings, Inc. 2016 New Term Loan | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 4.00%), 5.67%, 04/28/22† | | | | | | | 467,631 | | | | | | | | 467,972 | |
American Airlines, Inc. 2017 Class B Term Loan | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 2.00%), 3.48%, 12/14/23† | | | | | | | 346,500 | | | | | | | | 346,852 | |
American Airlines, Inc. 2017 Replacement Term Loan | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 2.00%), 3.55%, 06/27/20† | | | | | | | 350,000 | | | | | | | | 351,094 | |
American Axle & Manufacturing, Inc. Tranche B Term Loan | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 2.25%), 3.62%, 04/06/24† | | | | | | | 34,001 | | | | | | | | 34,120 | |
(Floating, ICE LIBOR USD 1M + 2.25%), 3.81%, 04/06/24† | | | | | | | 32,830 | | | | | | | | 32,945 | |
American Builders & Contractors Supply Co., Inc. Additional Term B-1 Loan | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 2.50%), 4.07%, 10/31/23† | | | | | | | 698,241 | | | | | | | | 702,205 | |
Avolon TLB Borrower 1 (US) LLC Initial Term B-2 Loan | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 2.25%), 3.75%, 03/21/22† | | | | | | | 946,597 | | | | | | | | 950,194 | |
Beacon Roofing Supply, Inc. - Term B Loan | | | | | | | | | | | | | | | | |
0.00%, 01/02/25† S | | | | | | | 702,000 | | | | | | | | 704,946 | |
Berry Global, Inc. Term M Loan | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 2.25%), 3.68%, 10/01/22† | | | | | | | 94,081 | | | | | | | | 94,552 | |
(Floating, ICE LIBOR USD 1M + 2.25%), 3.82%, 10/01/22† | | | | | | | 145,919 | | | | | | | | 146,648 | |
Berry Global, Inc. Term N Loan 0.00%, 01/19/24† S | | | | | | | 80,000 | | | | | | | | 80,433 | |
(Floating, ICE LIBOR USD 1M + 2.25%), 3.68%, 01/19/24† | | | | | | | 382,112 | | | | | | | | 384,182 | |
BWay Holding Co. Initial Term Loan | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 3.25%), 4.60%, 04/03/24† | | | | | | | 427,850 | | | | | | | | 430,190 | |
| | | | | | | | | | | | | | | | |
| | | Par | | | Value | |
Catalent Pharma Solutions, Inc. Dollar Term Loan | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 2.25%), 3.82%, 05/20/24† | | | | | | $ | 365,900 | | | | | | | $ | 367,845 | |
CenturyLink, Inc. Initial Term B Loan | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 2.75%), 4.32%, 01/31/25† | | | | | | | 485,500 | | | | | | | | 469,288 | |
Charter Communications Operating LLC Term B Loan 0.00%, 04/30/25† S | | | | | | | 989,950 | | | | | | | | 991,717 | |
Dell International LLC Refinancing Term B Loan | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 2.00%), 3.57%, 09/07/23† | | | | | | | 720,000 | | | | | | | | 720,417 | |
Delos Finance S.a.r.l. New Loan | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 2.00%), 3.69%, 10/06/23† | | | | | | | 700,000 | | | | | | | | 706,500 | |
Energy Future Intermediate Holding Co. LLC Term Loan | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 3.00%), 4.50%, 06/30/18† | | | | | | | 25,000 | | | | | | | | 25,087 | |
(Floating, ICE LIBOR USD 1M + 3.00%), 4.57%, 06/30/18† | | | | | | | 675,000 | | | | | | | | 677,362 | |
First Data Corporation 2024A New Dollar Term Loan | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 2.25%), 3.80%, 04/26/24† | | | | | | | 911,932 | | | | | | | | 913,560 | |
Flying Fortress Holdings LLC New Loan | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 2.00%), 3.69%, 10/30/22† | | | | | | | 410,000 | | | | | | | | 412,819 | |
Four Seasons Holdings, Inc. Term Loan 2013 | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 2.50%), 4.07%, 11/30/23† | | | | | | | 405,900 | | | | | | | | 408,775 | |
HCA, Inc. Tranche B-8 Term Loan | | | | | | | | | | | | | | | | |
0.00%, 02/15/24† S | | | | | | | 115,000 | | | | | | | | 115,862 | |
Hilton Worldwide Finance LLC Series B-2 Term Loan | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 2.00%), 3.55%, 10/25/23† | | | | | | | 698,241 | | | | | | | | 702,473 | |
Jaguar Holding Co. I LLC 2017 Term Loan | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 2.75%), 4.32%, 08/18/22† | | | | | | | 331,295 | | | | | | | | 332,310 | |
(Floating, ICE LIBOR USD 3M + 2.75%), 4.44%, 08/18/22† | | | | | | | 366,915 | | | | | | | | 368,038 | |
Michaels Stores, Inc. 2016 New Replacement Term B-1 Loan | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 2.75%), 4.21%, 01/30/23† | | | | | | | 255,540 | | | | | | | | 255,966 | |
(Floating, ICE LIBOR USD 1M + 2.75%), 4.25%, 01/30/23† | | | | | | | 44,059 | | | | | | | | 44,132 | |
(Floating, ICE LIBOR USD 1M + 2.75%), 4.32%, 01/30/23† | | | | | | | 686,688 | | | | | | | | 687,832 | |
MPH Acquisition Holdings LLC Initial Term Loan | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 3.00%), 4.69%, 06/07/23† | | | | | | | 678,781 | | | | | | | | 680,955 | |
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| 118 | | See Notes to Financial Statements. | | |
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| | | Par | | | Value | |
Numericable U.S. LLC USD TLB Term Loan | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 3.00%), 4.35%, 01/31/26† | | | | | | $ | 516,000 | | | | | | | $ | 499,015 | |
ON Semiconductor Corporation 2017 New Replacement Term B-2 Loan | | | | | | | | | | | | | | | | |
0.00%, 03/31/23† S | | | | | | | 112,000 | | | | | | | | 112,647 | |
PetSmart, Inc. Tranche B-2 Loan | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 3.00%), 4.57%, 03/11/22† | | | | | | | 987,342 | | | | | | | | 795,736 | |
Post Holdings, Inc. Series A Incremental Term Loan | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 2.25%), 3.82%, 05/24/24† | | | | | | | 129,350 | | | | | | | | 129,943 | |
Prime Security Services Borrower LLC 2016-2 Refinancing Term B-1 Loan | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 2.75%), 4.32%, 05/02/22† | | | | | | | 696,203 | | | | | | | | 701,985 | |
Realogy Group LLC Initial Term B Loan | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 2.25%), 3.82%, 07/20/22† | | | | | | | 133,947 | | | | | | | | 134,721 | |
Reynolds Group Holdings, Inc. Incremental U.S. Term Loan | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 2.75%), 4.32%, 02/05/23† | | | | | | | 209,471 | | | | | | | | 210,733 | |
RPI Finance Trust - Initial Term Loan B-6 | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 2.00%), 3.69%, 03/27/23† | | | | | | | 690,271 | | | | | | | | 693,846 | |
Sinclair Television Group, Inc. Term Loan B | | | | | | | | | | | | | | | | |
0.00%, 12/12/24† S | | | | | | | 410,000 | | | | | | | | 410,125 | |
Sprint Communications, Inc. Initial Term Loan | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 2.50%), 4.13%, 02/02/24† | | | | | | | 459,842 | | | | | | | | 460,177 | |
Staples, Inc. - Closing Date Term Loan | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 2M + 4.00%), 5.49%, 09/12/24† | | | | | | | 241,800 | | | | | | | | 237,055 | |
Trans Union LLC 2017 Replacement Term B-3 Loan | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 2.00%), 3.57%, 04/10/23† | | | | | | | 473,130 | | | | | | | | 475,585 | |
Unitymedia Finance LLC Facility D Loan | | | | | | | | | | | | | | | | |
0.00%, 01/15/26† S | | | | | | | 250,000 | | | | | | | | 250,513 | |
Univision Communications, Inc. 2017 Replacement Repriced First-Lien Term Loan | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 2.75%), 4.32%, 03/15/24† | | | | | | | 986,632 | | | | | | | | 984,844 | |
UPC Financing Partnership Facility AR | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 2.50%), 3.98%, 01/15/26† | | | | | | | 560,000 | | | | | | | | 560,468 | |
| | | | | | | | | | | | | | | | |
Total Loan Agreements
(Cost $20,521,406) | | | | | | | | | | | | | | | 20,264,664 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | Par | | | | | | Value | |
MORTGAGE-BACKED SECURITIES — 31.6% | |
280 Park Avenue Mortgage Trust
Series 2017-A | | | | | | | | | | | | | | | | |
(Floating, LIBOR USD 1M + 0.88%), 2.36%, 09/15/34 144A † | | | | | | $ | 1,200,000 | | | | | | | $ | 1,204,111 | |
Aggregator of Loans Backed by Assets PLC
Series 2015-1 A | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR GBP 1M + 1.25%), 1.75%, 04/24/49† (U) | | | | | | | 749,744 | | | | | | | | 1,020,067 | |
ALBA PLC
Series 2007-1 A3 | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR GBP 3M + 0.17%), 0.68%, 03/17/39† (U) | | | | | | | 825,880 | | | | | | | | 1,075,131 | |
Alternative Loan Trust
Series 2006-OA11 A1B | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.19%), 1.74%, 09/25/46† | | | | | | | 503,281 | | | | | | | | 450,853 | |
American Home Mortgage Assets Trust
Series 2006-5 A1 | | | | | | | | | | | | | | | | |
(Floating, Federal Reserve U.S. 12 1Y CMT + 0.92%), 1.98%, 11/25/46† | | | | | | | 847,591 | | | | | | | | 488,821 | |
American Home Mortgage Investment Trust
Series 2005-2 4A1 | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 6M + 1.50%), 3.15%, 09/25/45† | | | | | | | 664,640 | | | | | | | | 668,285 | |
Banc of America Funding Trust Series 2005-D A1 | | | | | | | | | | | | | | | | |
3.41%, 05/25/35† g | | | | | | | 803,867 | | | | | | | | 842,802 | |
Banc of America Mortgage Trust Series 2004-F 1A1 | | | | | | | | | | | | | | | | |
3.77%, 07/25/34† g | | | | | | | 61,484 | | | | | | | | 62,988 | |
Bank Series 2017-BNK7 A5 | | | | | | | | | | | | | | | | |
3.44%, 09/15/60 | | | | | | | 460,000 | | | | | | | | 471,959 | |
Bank Series 2017-BNK9 XA | | | | | | | | | | | | | | | | |
0.83%, 11/15/54† g IO | | | | | | | 10,030,000 | | | | | | | | 637,462 | |
BBCCRE Trust Series 2015-GTP A 3.97%, 08/10/33 144A | | | | | | | 1,600,000 | | | | | | | | 1,631,115 | |
BBCCRE Trust Series 2015-GTP D
| | | | | | | | | | | | | | | | |
4.56%, 08/10/33 144A † g | | | | | | | 490,000 | | | | | | | | 461,076 | |
BBCCRE Trust Series 2015-GTP E
| | | | | | | | | | | | | | | | |
4.56%, 08/10/33 144A † g | | | | | | | 1,210,000 | | | | | | | | 1,034,227 | |
BBCMS Trust Series 2015-RRI A | | | | | | | | | | | | | | | | |
(Floating, LIBOR USD 1M + 1.25%), 2.73%, 05/15/32 144A † | | | | | | | 1,617,128 | | | | | | | | 1,619,727 | |
BBCMS Trust Series 2015-STP A | | | | | | | | | | | | | | | | |
3.32%, 09/10/28 144A | | | | | | | 1,586,698 | | | | | | | | 1,613,872 | |
Bear Stearns Adjustable Rate | | | | | | | | | | | | | | | | |
Mortgage Trust Series 2002-11 1A1 | | | | | | | | | | | | | | | | |
3.31%, 02/25/33† g | | | | | | | 9,474 | | | | | | | | 9,528 | |
Bear Stearns Adjustable Rate | | | | | | | | | | | | | | | | |
Mortgage Trust Series 2004-2 24A | | | | | | | | | | | | | | | | |
2.36%, 05/25/34 | | | | | | | 19,789 | | | | | | | | 18,600 | |
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| | See Notes to Financial Statements. | | 119 |
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | | | | | |
| | | Par | | | Value | |
Bear Stearns Adjustable Rate Mortgage Trust Series 2005-2 A1 | | | | | | | | | | | | | | | | |
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.45%), 3.26%, 03/25/35† | | | | | | $ | 265,847 | | | | | | | $ | 269,351 | |
Bear Stearns ALT-A Trust Series 2005-4 23A2 | | | | | | | | | | | | | | | | |
3.52%, 05/25/35† g | | | | | | | 223,782 | | | | | | | | 227,581 | |
Bear Stearns Structured Products, Inc. Trust Series 2007-R6 1A1 | | | | | | | | | | | | | | | | |
4.01%, 01/26/36† g | | | | | | | 629,430 | | | | | | | | 558,346 | |
Berica 8 Residential MBS S.r.l. Series 8A | | | | | | | | | | | | | | | | |
(Floating, Euribor 6M + 0.20%), 0.00%, 03/31/48† (E) | | | | | | | 65,673 | | | | | | | | 78,816 | |
Berica ABS S.r.l. Series 2011-1 A1 | | | | | | | | | | | | | | | | |
(Floating, Euribor 3M + 0.30%), 0.00%, 12/31/55† (E) | | | | | | | 313,811 | | | | | | | | 376,733 | |
BX Trust Series 2017-SLCT IMC F | | | | | | | | | | | | | | | | |
(Floating, LIBOR USD 1M + 4.25%), 5.73%, 10/15/32 144A † | | | | | | | 1,000,000 | | | | | | | | 1,005,805 | |
CD 2017-CD5 Mortgage Trust A4 3.43%, 08/15/50 | | | | | | | 440,000 | | | | | | | | 452,687 | |
CD Commercial Mortgage Trust Series 2016-CD2 A4 | | | | | | | | | | | | | | | | |
3.53%, 11/10/49 | | | | | | | 380,000 | | | | | | | | 393,407 | |
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-4A A1 | | | | | | | | | | | | | | | | |
(Floating, LIBOR USD 1M + 0.46%), 1.78%, 10/25/35 144A † | | | | | | | 183,199 | | | | | | | | 178,388 | |
Chicago Skyscraper Trust Series 2017-SKY B | | | | | | | | | | | | | | | | |
(Floating, LIBOR USD 1M + 1.10%), 2.58%, 02/15/30 144A † | | | | | | | 420,000 | | | | | | | | 420,944 | |
Chicago Skyscraper Trust Series 2017-SKY C | | | | | | | | | | | | | | | | |
(Floating, LIBOR USD 1M + 1.25%), 2.73%, 02/15/30 144A † | | | | | | | 440,000 | | | | | | | | 441,544 | |
CHL Mortgage Pass-Through Trust Series 2003-58 2A2 | | | | | | | | | | | | | | | | |
3.68%, 02/19/34† g | | | | | | | 343,162 | | | | | | | | 346,933 | |
CHL Mortgage Pass-Through Trust Series 2004-HYB5 2A1 | | | | | | | | | | | | | | | | |
3.48%, 04/20/35† g | | | | | | | 611,871 | | | | | | | | 609,770 | |
CHT Mortgage Trust Series 2017-COSMO A | | | | | | | | | | | | | | | | |
(Floating, LIBOR USD 1M + 0.93%), 2.31%, 11/15/36 144A † | | | | | | | 540,000 | | | | | | | | 541,089 | |
Citigroup Commercial Mortgage Trust Series 2008-C7 A1A | | | | | | | | | | | | | | | | |
6.11%, 12/10/49† g | | | | | | | 43,769 | | | | | | | | 43,746 | |
Citigroup Commercial Mortgage Trust Series 2014-GC21 XA | | | | | | | | | | | | | | | | |
1.24%, 05/10/47† g IO | | | | | | | 1,193,757 | | | | | | | | 71,489 | |
| | | | | | | | | | | | | | | | |
| | | Par | | | Value | |
Citigroup Commercial Mortgage Trust Series 2015-GC27 A5 | | | | | | | | | | | | | | | | |
3.14%, 02/10/48 | | | | | | $ | 650,000 | | | | | | | $ | 656,411 | |
Citigroup Commercial Mortgage Trust Series 2015-GC29 D | | | | | | | | | | | | | | | | |
3.11%, 04/10/48 144A | | | | | | | 420,000 | | | | | | | | 318,608 | |
Citigroup Commercial Mortgage Trust Series 2017-C4 A4 | | | | | | | | | | | | | | | | |
3.47%, 10/12/50 | | | | | | | 1,150,000 | | | | | | | | 1,182,724 | |
Cold Storage Trust Series 2017-ICE3 B | | | | | | | | | | | | | | | | |
(Floating, LIBOR USD 1M + 1.25%), 2.73%, 04/15/36 144A † | | | | | | | 460,000 | | | | | | | | 461,703 | |
COMM Mortgage Trust Series 2013-CR12 AM | | | | | | | | | | | | | | | | |
4.30%, 10/10/46 | | | | | | | 50,000 | | | | | | | | 53,186 | |
COMM Mortgage Trust Series 2013-CR12 B | | | | | | | | | | | | | | | | |
4.76%, 10/10/46 | | | | | | | 40,000 | | | | | | | | 42,256 | |
COMM Mortgage Trust Series 2013-CR12 C | | | | | | | | | | | | | | | | |
5.08%, 10/10/46† g | | | | | | | 20,000 | | | | | | | | 20,659 | |
COMM Mortgage Trust Series 2013-CR13 XA | | | | | | | | | | | | | | | | |
0.91%, 11/12/46† g IO | | | | | | | 1,076,519 | | | | | | | | 35,765 | |
COMM Mortgage Trust Series 2013-CR6 B | | | | | | | | | | | | | | | | |
3.40%, 03/10/46 144A | | | | | | | 390,000 | | | | | | | | 388,369 | |
COMM Mortgage Trust Series 2014-277P A | | | | | | | | | | | | | | | | |
3.61%, 08/10/49 144A† g | | | | | | | 160,000 | | | | | | | | 166,342 | |
COMM Mortgage Trust Series 2014-CR19 C | | | | | | | | | | | | | | | | |
4.72%, 08/10/47† g | | | | | | | 218,000 | | | | | | | | 221,792 | |
COMM Mortgage Trust Series 2015-DC1 B | | | | | | | | | | | | | | | | |
4.04%, 02/10/48 | | | | | | | 100,000 | | | | | | | | 100,221 | |
COMM Mortgage Trust Series 2015-DC1 C | | | | | | | | | | | | | | | | |
4.35%, 02/10/48† g | | | | | | | 80,000 | | | | | | | | 77,732 | |
COMM Mortgage Trust Series 2015-LC19 B | | | | | | | | | | | | | | | | |
3.83%, 02/10/48 | | | | | | | 100,000 | | | | | | | | 101,145 | |
COMM Mortgage Trust Series 2015-LC19 C | | | | | | | | | | | | | | | | |
4.26%, 02/10/48† g | | | | | | | 190,000 | | | | | | | | 193,953 | |
Credit Suisse First Boston Mortgage Securities Corporation Series 2003-19 1A2 | | | | | | | | | | | | | | | | |
5.25%, 07/25/33 IO | | | | | | | 164 | | | | | | | | — | |
Credit Suisse First Boston Mortgage Securities Corporation Series 2003-AR18 2X | | | | | | | | | | | | | | | | |
0.00%, 07/25/33 IO | | | | | | | 27,042 | | | | | | | | — | |
Credit Suisse First Boston Mortgage Securities Corporation Series 2003-AR20 2X | | | | | | | | | | | | | | | | |
0.00%, 08/25/33† g IO | | | | | | | 24,830 | | | | | | | | — | |
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| 120 | | See Notes to Financial Statements. | | |
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| | | | | | Par | | | | | | Value | |
CSAIL Commercial Mortgage Trust | | | | | | | | | | | | | | | | |
Series 2015-C1 B 4.04%, 04/15/50 | | | | | | $ | 60,000 | | | | | | | $ | 61,265 | |
CSMC Series 2017-TIME A | | | | | | | | | | | | | | | | |
3.65%, 11/13/39 144A | | | | | | | 530,000 | | | | | | | | 544,604 | |
DBJPM Mortgage Trust Series 2017-C6 A5 | | | | | | | | | | | | | | | | |
3.33%, 06/10/50 | | | | | | | 130,000 | | | | | | | | 132,714 | |
DBUBS Mortgage Trust Series 2017-BRBK A | | | | | | | | | | | | | | | | |
3.45%, 10/10/34 144A | | | | | | | 1,150,000 | | | | | | | | 1,177,223 | |
Fannie Mae Connecticut Avenue Securities Series 2016-C04 | | | | | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 4.25%), 5.80%, 01/25/29† | | | | | | | 200,000 | | | | | | | | 226,826 | |
Federal Home Loan Mortgage Corporation | | | | | | | | | | | | | | | | |
4.50%, 09/01/18 | | | | | | | 336 | | | | | | | | 341 | |
8.00%, 08/01/24 | | | | | | | 997 | | | | | | | | 1,072 | |
4.00%, 10/01/25 | | | | | | | 195,152 | | | | | | | | 202,894 | |
5.50%, 02/01/27 | | | | | | | 33,457 | | | | | | | | 36,575 | |
4.50%, 10/01/29 | | | | | | | 2,577 | | | | | | | | 2,742 | |
7.50%, 11/01/29 | | | | | | | 3,815 | | | | | | | | 4,417 | |
7.50%, 12/01/29 | | | | | | | 3,970 | | | | | | | | 4,546 | |
7.50%, 02/01/31 | | | | | | | 4,461 | | | | | | | | 4,646 | |
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.23%), 3.36%, 07/01/31† | | | | | | | 3,109 | | | | | | | | 3,200 | |
7.50%, 11/01/31 | | | | | | | 8,260 | | | | | | | | 8,282 | |
(Floating, ICE LIBOR USD 1Y + 1.98%), 3.73%, 04/01/32† | | | | | | | 1,556 | | | | | | | | 1,626 | |
3.50%, 08/01/33 | | | | | | | 823,229 | | | | | | | | 856,798 | |
5.00%, 08/01/33 | | | | | | | 4,985 | | | | | | | | 5,398 | |
5.00%, 09/01/33 | | | | | | | 969 | | | | | | | | 1,049 | |
5.00%, 10/01/33 | | | | | | | 2,989 | | | | | | | | 3,235 | |
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.36%), 3.23%, 03/01/34† | | | | | | | 1,485 | | | | | | | | 1,574 | |
5.00%, 12/01/34 | | | | | | | 83,441 | | | | | | | | 90,279 | |
5.50%, 05/01/35 | | | | | | | 253,407 | | | | | | | | 281,296 | |
5.00%, 07/01/35 | | | | | | | 4,451 | | | | | | | | 4,831 | |
5.00%, 11/01/35 | | | | | | | 119,511 | | | | | | | | 129,312 | |
5.50%, 11/01/35 | | | | | | | 26,500 | | | | | | | | 29,187 | |
5.00%, 12/01/35 | | | | | | | 12,271 | | | | | | | | 13,441 | |
5.50%, 01/01/36 | | | | | | | 17,449 | | | | | | | | 19,172 | |
6.00%, 02/01/36 | | | | | | | 200,541 | | | | | | | | 224,145 | |
5.00%, 02/01/37 | | | | | | | 11,800 | | | | | | | | 12,812 | |
5.50%, 07/01/37 | | | | | | | 34,440 | | | | | | | | 38,167 | |
5.50%, 04/01/38 | | | | | | | 8,418 | | | | | | | | 9,306 | |
7.00%, 02/01/39 | | | | | | | 112,301 | | | | | | | | 132,210 | |
7.00%, 03/01/39 | | | | | | | 20,628 | | | | | | | | 23,092 | |
5.50%, 04/01/39 | | | | | | | 218,628 | | | | | | | | 241,255 | |
4.50%, 06/01/39 | | | | | | | 102,552 | | | | | | | | 109,426 | |
6.50%, 09/01/39 | | | | | | | 39,764 | | | | | | | | 44,613 | |
5.50%, 08/01/40 | | | | | | | 183,010 | | | | | | | | 202,383 | |
4.00%, 02/01/41 | | | | | | | 71,330 | | | | | | | | 74,915 | |
5.00%, 06/01/41 | | | | | | | 3,328 | | | | | | | | 3,628 | |
3.50%, 10/01/42 | | | | | | | 132,000 | | | | | | | | 136,037 | |
| | | | | | | | | | | | | | | | |
| | | | | | Par | | | | | | Value | |
4.00%, 10/01/42 | | | | | | $ | 59,347 | | | | | | | $ | 62,612 | |
3.50%, 11/01/42 | | | | | | | 282,834 | | | | | | | | 291,523 | |
3.50%, 12/01/42 | | | | | | | 70,362 | | | | | | | | 72,514 | |
3.50%, 01/01/43 | | | | | | | 442,899 | | | | | | | | 456,526 | |
3.50%, 02/01/43 | | | | | | | 300,314 | | | | | | | | 309,481 | |
3.50%, 03/01/43 | | | | | | | 734,661 | | | | | | | | 757,131 | |
3.50%, 04/01/43 | | | | | | | 633,168 | | | | | | | | 653,593 | |
4.00%, 04/01/43 | | | | | | | 142,735 | | | | | | | | 150,642 | |
3.50%, 05/01/43 | | | | | | | 488,121 | | | | | | | | 504,501 | |
4.00%, 05/01/43 | | | | | | | 64,626 | | | | | | | | 68,867 | |
4.00%, 06/01/43 | | | | | | | 70,666 | | | | | | | | 75,303 | |
4.00%, 07/01/43 | | | | | | | 254,877 | | | | | | | | 271,111 | |
4.00%, 08/01/43 | | | | | | | 148,530 | | | | | | | | 156,699 | |
4.50%, 12/01/43 | | | | | | | 935,378 | | | | | | | | 1,006,718 | |
3.50%, 02/01/44 | | | | | | | 72,791 | | | | | | | | 75,017 | |
4.50%, 02/01/44 | | | | | | | 748,154 | | | | | | | | 805,437 | |
4.50%, 03/01/44 | | | | | | | 226,627 | | | | | | | | 243,830 | |
3.50%, 03/01/45 | | | | | | | 787,115 | | | | | | | | 811,223 | |
3.50%, 06/01/45 | | | | | | | 450,976 | | | | | | | | 466,174 | |
3.50%, 10/01/45 | | | | | | | 357,443 | | | | | | | | 369,489 | |
4.00%, 12/01/45 | | | | | | | 593,070 | | | | | | | | 620,486 | |
3.50%, 03/01/46 | | | | | | | 1,660,891 | | | | | | | | 1,716,866 | |
3.50%, 05/01/46 | | | | | | | 337,673 | | | | | | | | 348,345 | |
4.00%, 09/01/46 | | | | | | | 1,795,303 | | | | | | | | 1,878,492 | |
4.50%, 01/01/47 | | | | | | | 1,175,182 | | | | | | | | 1,249,743 | |
3.00%, 01/18/47 TBA | | | | | | | 1,400,000 | | | | | | | | 1,399,890 | |
3.50%, 01/18/47 TBA | | | | | | | 5,100,000 | | | | | | | | 5,237,728 | |
4.00%, 01/18/47 TBA | | | | | | | 8,300,000 | | | | | | | | 8,679,982 | |
3.50%, 02/18/47 TBA | | | | | | | 2,000,000 | | | | | | | | 2,050,652 | |
4.00%, 06/01/47 | | | | | | | 999,999 | | | | | | | | 1,046,284 | |
4.00%, 07/01/47 | | | | | | | 855,877 | | | | | | | | 896,025 | |
4.00%, 08/01/47 | | | | | | | 194,463 | | | | | | | | 204,992 | |
4.00%, 12/01/47 | | | | | | | 1,496,261 | | | | | | | | 1,567,379 | |
Federal Home Loan Mortgage Corporation Reference REMIC Series R007 | | | | | | | | | | | | | | | | |
6.00%, 05/15/36 | | | | | | | 206,446 | | | | | | | | 229,546 | |
Federal Home Loan Mortgage Corporation REMIC Series 3325 | | | | | | | | | | | | | | | | |
(Floating, LIBOR USD 1M + 0.50%), 1.98%, 06/15/37† | | | | | | | 142,952 | | | | | | | | 143,688 | |
Federal Home Loan Mortgage Corporation REMIC Series 3621 | | | | | | | | | | | | | | | | |
(Floating, LIBOR USD 1M + 6.23%), 4.75%, 01/15/40†IO | | | | | | | 284,950 | | | | | | | | 44,837 | |
Federal Home Loan Mortgage Corporation REMIC Series 3947 | | | | | | | | | | | | | | | | |
(Floating, LIBOR USD 1M + 5.95%), 4.47%, 10/15/41† IO | | | | | | | 182,424 | | | | | | | | 27,839 | |
Federal Home Loan Mortgage Corporation REMIC Series 3973 | | | | | | | | | | | | | | | | |
(Floating, LIBOR USD 1M + 6.49%), 5.01%, 12/15/41† IO | | | | | | | 340,571 | | | | | | | | 65,520 | |
Federal Home Loan Mortgage Corporation REMIC Series 4092 | | | | | | | | | | | | | | | | |
3.00%, 09/15/31 IO | | | | | | | 424,480 | | | | | | | | 47,047 | |
| | | | |
| | See Notes to Financial Statements. | | 121 |
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | | | |
| | | | | Par | | | | | | Value | |
Federal Home Loan Mortgage Corporation REMIC Series 4099 | | | | | | | | | | | | | | |
(Floating, LIBOR USD 1M + 6.00%), 4.52%, 08/15/42† IO | | | | $ | 267,665 | | | | | | | $ | 51,616 | |
Federal Home Loan Mortgage Corporation REMIC Series 4194 | | | | | | | | | | | | | | |
3.50%, 04/15/43 IO | | | | | 1,001,415 | | | | | | | | 157,602 | |
Federal Home Loan Mortgage Corporation REMIC Series 4210 | | | | | | | | | | | | | | |
3.00%, 05/15/43 | | | | | 337,026 | | | | | | | | 314,974 | |
Federal Home Loan Mortgage Corporation REMIC Series 4239 | | | | | | | | | | | | | | |
3.50%, 06/15/27 IO | | | | | 400,995 | | | | | | | | 40,544 | |
Federal Home Loan Mortgage Corporation REMIC Series 4298 | | | | | | | | | | | | | | |
4.00%, 04/15/43 IO | | | | | 335,031 | | | | | | | | 42,201 | |
Federal Home Loan Mortgage Corporation REMIC Series 4310 | | | | | | | | | | | | | | |
(Floating, LIBOR USD 1M + 5.95%), 4.47%, 02/15/44† IO | | | | | 134,841 | | | | | | | | 22,446 | |
Federal Home Loan Mortgage Corporation REMIC Series 4335 | | | | | | | | | | | | | | |
(Floating, LIBOR USD 1M + 6.00%), 4.52%, 05/15/44† IO | | | | | 138,945 | | | | | | | | 25,436 | |
Federal Home Loan Mortgage Corporation REMIC Series 4415 | | | | | | | | | | | | | | |
1.94%, 04/15/41† g IO | | | | | 257,145 | | | | | | | | 11,906 | |
Federal Home Loan Mortgage Corporation REMIC Series 4638 | | | | | | | | | | | | | | |
(Floating, LIBOR USD 1M + 0.44%), 1.68%, 07/15/40† | | | | | 601,692 | | | | | | | | 600,877 | |
Federal Home Loan Mortgage Corporation STRIP Series 353 | | | | | | | | | | | | | | |
(Floating, LIBOR USD 1M + 6.00%), 4.52%, 12/15/46† IO | | | | | 460,317 | | | | | | | | 92,605 | |
Federal National Mortgage Association 9.50%, 05/01/22 | | | | | 143 | | | | | | | | 146 | |
(Floating, COF 11th District San Francisco + 1.25%), 1.96%, 07/01/22† | | | | | 2,075 | | | | | | | | 2,061 | |
5.50%, 09/01/23 | | | | | 33,777 | | | | | | | | 35,332 | |
5.50%, 10/01/23 | | | | | 7,607 | | | | | | | | 7,966 | |
9.50%, 07/01/24 | | | | | 229 | | | | | | | | 239 | |
2.81%, 04/01/25 | | | | | 50,000 | | | | | | | | 50,424 | |
5.50%, 05/01/25 | | | | | 44,438 | | | | | | | | 45,354 | |
(Floating, COF 11th District San Francisco + 1.25%), 1.98%, 07/01/27† | | | | | 10,211 | | | | | | | | 10,105 | |
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.13%), 3.10%, 08/01/27† | | | | | 16,531 | | | | | | | | 17,244 | |
(Floating, COF 11th District San Francisco + 1.25%), 1.98%, 11/01/27† CONV | | | | | 11,248 | | | | | | | | 11,160 | |
2.84%, 01/01/28 | | | | | 820,000 | | | | | | | | 816,952 | |
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.64%), 3.76%, 02/01/30† | | | | | 76,058 | | | | | | | | 77,612 | |
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.38%), 3.51%, 06/01/30† CONV | | | | | 12,719 | | | | | | | | 12,944 | |
| | | | | | | | | | | | | | |
| | | | | Par | | | | | | Value | |
8.00%, 10/01/30 | | | | $ | 11,786 | | | | | | | $ | 13,960 | |
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.51%), 3.76%, 12/01/30† CONV | | | | | 4,032 | | | | | | | | 4,097 | |
(Floating, COF 11th District San Francisco + 1.25%), 1.98%, 01/01/31† | | | | | 5,419 | | | | | | | | 5,348 | |
4.50%, 04/01/31 | | | | | 57,899 | | | | | | | | 61,819 | |
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.20%), 3.20%, 05/01/31† | | | | | 4,394 | | | | | | | | 4,411 | |
4.50%, 05/01/31 | | | | | 210,085 | | | | | | | | 224,357 | |
4.50%, 06/01/31 | | | | | 62,767 | | | | | | | | 67,031 | |
4.50%, 11/01/31 | | | | | 93,120 | | | | | | | | 99,449 | |
6.00%, 11/01/31 | | | | | 2,042 | | | | | | | | 2,310 | |
4.50%, 12/01/31 | | | | | 144,977 | | | | | | | | 154,825 | |
6.00%, 01/01/32 | | | | | 56,983 | | | | | | | | 63,717 | |
3.00%, 01/18/32 TBA | | | | | 9,000,000 | | | | | | | | 9,167,697 | |
6.00%, 03/01/32 | | | | | 6,810 | | | | | | | | 7,616 | |
6.00%, 04/01/32 | | | | | 122,888 | | | | | | | | 137,508 | |
(Floating, COF 11th District San Francisco + 1.25%), 1.98%, 06/01/32† | | | | | 7,094 | | | | | | | | 6,996 | |
(Floating, COF 11th District San Francisco + 1.25%), 1.96%, 08/01/32† | | | | | 7,225 | | | | | | | | 7,126 | |
6.00%, 08/01/32 | | | | | 965 | | | | | | | | 1,079 | |
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.13%), 3.00%, 02/01/33† | | | | | 954 | | | | | | | | 972 | |
5.50%, 04/01/33 | | | | | 22,510 | | | | | | | | 25,490 | |
(Floating, COF 11th District San Francisco + 1.25%), 1.96%, 05/01/33† | | | | | 19,470 | | | | | | | | 19,239 | |
6.00%, 05/01/33 | | | | | 430 | | | | | | | | 481 | |
5.00%, 07/01/33 | | | | | 26,665 | | | | | | | | 28,972 | |
5.00%, 08/01/33 | | | | | 2,405 | | | | | | | | 2,627 | |
5.00%, 09/01/33 | | | | | 32,604 | | | | | | | | 35,440 | |
5.50%, 09/01/33 | | | | | 1,255 | | | | | | | | 1,393 | |
5.50%, 12/01/33 | | | | | 5,420 | | | | | | | | 6,015 | |
6.00%, 12/01/33 | | | | | 212 | | | | | | | | 237 | |
5.50%, 02/01/34 | | | | | 1,570 | | | | | | | | 1,742 | |
5.50%, 04/01/34 | | | | | 310 | | | | | | | | 346 | |
3.50%, 05/01/34 | | | | | 182,267 | | | | | | | | 189,878 | |
5.50%, 08/01/34 | | | | | 2,473 | | | | | | | | 2,762 | |
5.50%, 10/01/34 | | | | | 116 | | | | | | | | 129 | |
6.00%, 10/01/34 | | | | | 27,871 | | | | | | | | 31,155 | |
(Floating, ICE LIBOR USD 1Y + 1.60%), 3.23%, 12/01/34† | | | | | 35,006 | | | | | | | | 36,990 | |
5.50%, 12/01/34 | | | | | 9,923 | | | | | | | | 11,006 | |
6.00%, 05/01/35 | | | | | 510,548 | | | | | | | | 578,403 | |
5.50%, 07/01/35 | | | | | 151 | | | | | | | | 167 | |
6.00%, 07/01/35 | | | | | 134,804 | | | | | | | | 153,006 | |
5.50%, 08/01/35 | | | | | 226 | | | | | | | | 251 | |
5.50%, 09/01/35 | | | | | 62,824 | | | | | | | | 68,841 | |
5.00%, 10/01/35 | | | | | 90,372 | | | | | | | | 98,217 | |
6.00%, 10/01/35 | | | | | 25,543 | | | | | | | | 28,801 | |
(Floating, COF 11th District San Francisco + 1.25%), 1.98%, 11/01/35† | | | | | 3,884 | | | | | | | | 3,887 | |
| | | | |
| 122 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | |
| | | | | | Par | | | | | | Value | |
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.96%), 2.97%, 11/01/35† | | | | | | $ | 45,794 | | | | | | | $ | 47,992 | |
6.00%, 11/01/35 | | | | | | | 367,712 | | | | | | | | 413,409 | |
5.50%, 12/01/35 | | | | | | | 1,025 | | | | | | | | 1,142 | |
6.00%, 12/01/35 | | | | | | | 4,506 | | | | | | | | 5,078 | |
6.00%, 02/01/36 | | | | | | | 1,915 | | | | | | | | 2,173 | |
6.00%, 03/01/36 | | | | | | | 888 | | | | | | | | 992 | |
5.50%, 04/01/36 | | | | | | | 6,484 | | | | | | | | 6,760 | |
6.00%, 04/01/36 | | | | | | | 3,732 | | | | | | | | 4,227 | |
(Floating, COF 11th District San Francisco + 1.25%), 3.94%, 05/01/36† | | | | | | | 43,942 | | | | | | | | 46,482 | |
5.50%, 11/01/36 | | | | | | | 74,828 | | | | | | | | 82,860 | |
6.00%, 01/01/37 | | | | | | | 213,430 | | | | | | | | 239,106 | |
5.50%, 02/01/37 | | | | | | | 120 | | | | | | | | 133 | |
6.00%, 02/01/37 | | | | | | | 302,083 | | | | | | | | 343,097 | |
5.50%, 03/01/37 | | | | | | | 4,589 | | | | | | | | 5,087 | |
6.00%, 03/01/37 | | | | | | | 17,277 | | | | | | | | 19,573 | |
5.50%, 04/01/37 | | | | | | | 180 | | | | | | | | 197 | |
5.50%, 06/01/37 | | | | | | | 54 | | | | | | | | 59 | |
6.00%, 07/01/37 | | | | | | | 619,534 | | | | | | | | 699,316 | |
5.50%, 08/01/37 | | | | | | | 218,260 | | | | | | | | 242,185 | |
6.00%, 08/01/37 | | | | | | | 50,228 | | | | | | | | 56,624 | |
6.00%, 09/01/37 | | | | | | | 97,925 | | | | | | | | 110,556 | |
6.50%, 10/01/37 | | | | | | | 53,317 | | | | | | | | 59,149 | |
7.00%, 10/01/37 | | | | | | | 3,566 | | | | | | | | 3,917 | |
7.00%, 11/01/37 | | | | | | | 5,139 | | | | | | | | 5,612 | |
(Floating, COF 11th District San Francisco + 1.25%), 1.98%, 12/01/37† | | | | | | | 26,265 | | | | | | | | 25,880 | |
6.00%, 12/01/37 | | | | | | | 193,334 | | | | | | | | 216,727 | |
7.00%, 12/01/37 | | | | | | | 3,411 | | | | | | | | 3,847 | |
(Floating, COF 11th District San Francisco + 1.25%), 1.98%, 01/01/38† | | | | | | | 16,880 | | | | | | | | 16,721 | |
6.00%, 01/01/38 | | | | | | | 168,110 | | | | | | | | 189,866 | |
5.50%, 02/01/38 | | | | | | | 2,582 | | | | | | | | 2,860 | |
7.00%, 02/01/38 | | | | | | | 3,527 | | | | | | | | 3,846 | |
4.50%, 03/01/38 | | | | | | | 5,078 | | | | | | | | 5,409 | |
5.50%, 03/01/38 | | | | | | | 335 | | | | | | | | 371 | |
6.00%, 03/01/38 | | | | | | | 787 | | | | | | | | 879 | |
4.50%, 04/01/38 | | | | | | | 82,700 | | | | | | | | 88,095 | |
5.00%, 04/01/38 | | | | | | | 89,276 | | | | | | | | 96,161 | |
5.50%, 05/01/38 | | | | | | | 114 | | | | | | | | 125 | |
6.00%, 05/01/38 | | | | | | | 19,760 | | | | | | | | 22,289 | |
5.00%, 06/01/38 | | | | | | | 97,897 | | | | | | | | 105,429 | |
5.50%, 06/01/38 | | | | | | | 368 | | | | | | | | 403 | |
5.50%, 07/01/38 | | | | | | | 52,068 | | | | | | | | 57,694 | |
5.50%, 08/01/38 | | | | | | | 54,593 | | | | | | | | 60,466 | |
7.00%, 08/01/38 | | | | | | | 673 | | | | | | | | 742 | |
5.50%, 09/01/38 | | | | | | | 227 | | | | | | | | 250 | |
6.00%, 11/01/38 | | | | | | | 24,855 | | | | | | | | 28,044 | |
7.00%, 11/01/38 | | | | | | | 18,114 | | | | | | | | 20,813 | |
5.50%, 12/01/38 | | | | | | | 109 | | | | | | | | 120 | |
6.00%, 12/01/38 | | | | | | | 28,965 | | | | | | | | 32,701 | |
7.00%, 02/01/39 | | | | | | | 9,122 | | | | | | | | 10,376 | |
7.00%, 03/01/39 | | | | | | | 79,867 | | | | | | | | 90,030 | |
6.00%, 09/01/39 | | | | | | | 17,020 | | | | | | | | 19,170 | |
| | | | | | | | | | | | | | | | |
| | | | | | Par | | | | | | Value | |
6.00%, 12/01/39 | | | | | | $ | 316,314 | | | | | | | $ | 357,028 | |
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.40%), 2.40%, 06/01/40† | | | | | | | 35,556 | | | | | | | | 36,624 | |
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.40%), 2.40%, 10/01/40† | | | | | | | 114,095 | | | | | | | | 115,388 | |
(Floating, COF 11th District San Francisco + 1.25%), 1.98%, 11/01/40† | | | | | | | 14,453 | | | | | | | | 14,272 | |
4.50%, 04/01/41 | | | | | | | 108,110 | | | | | | | | 115,929 | |
6.00%, 05/01/41 | | | | | | | 624,957 | | | | | | | | 707,809 | |
4.50%, 08/01/41 | | | | | | | 72,992 | | | | | | | | 78,003 | |
4.50%, 11/01/41 | | | | | | | 339,306 | | | | | | | | 363,659 | |
4.00%, 06/01/42 | | | | | | | 61,413 | | | | | | | | 64,528 | |
3.50%, 09/01/42 | | | | | | | 61,511 | | | | | | | | 63,417 | |
2.50%, 10/01/42 | | | | | | | 432,824 | | | | | | | | 419,857 | |
4.00%, 10/01/42 | | | | | | | 245,456 | | | | | | | | 258,805 | |
2.50%, 11/01/42 | | | | | | | 24,796 | | | | | | | | 24,051 | |
4.00%, 11/01/42 | | | | | | | 2,011,701 | | | | | | | | 2,129,742 | |
2.50%, 12/01/42 | | | | | | | 19,030 | | | | | | | | 18,458 | |
3.00%, 12/01/42 | | | | | | | 19,296 | | | | | | | | 19,483 | |
4.00%, 12/01/42 | | | | | | | 138,432 | | | | | | | | 145,453 | |
2.50%, 01/01/43 | | | | | | | 17,793 | | | | | | | | 17,258 | |
3.00%, 01/01/43 | | | | | | | 356,141 | | | | | | | | 357,651 | |
3.50%, 01/01/43 | | | | | | | 1,890,633 | | | | | | | | 1,946,984 | |
2.50%, 02/01/43 | | | | | | | 20,313 | | | | | | | | 19,703 | |
2.50%, 03/01/43 | | | | | | | 1,555,740 | | | | | | | | 1,509,008 | |
3.00%, 03/01/43 | | | | | | | 220,013 | | | | | | | | 222,139 | |
2.50%, 04/01/43 | | | | | | | 1,298,475 | | | | | | | | 1,259,260 | |
3.00%, 04/01/43 | | | | | | | 330,345 | | | | | | | | 333,546 | |
3.50%, 04/01/43 | | | | | | | 93,787 | | | | | | | | 96,769 | |
4.00%, 04/01/43 | | | | | | | 60,846 | | | | | | | | 64,533 | |
2.50%, 05/01/43 | | | | | | | 30,444 | | | | | | | | 29,530 | |
3.00%, 05/01/43 | | | | | | | 213,359 | | | | | | | | 215,427 | |
2.50%, 06/01/43 | | | | | | | 29,708 | | | | | | | | 28,815 | |
3.00%, 06/01/43 | | | | | | | 64,122 | | | | | | | | 64,744 | |
4.00%, 06/01/43 | | | | | | | 597,348 | | | | | | | | 632,141 | |
3.00%, 07/01/43 | | | | | | | 570,658 | | | | | | | | 576,196 | |
3.50%, 07/01/43 | | | | | | | 1,026,731 | | | | | | | | 1,058,103 | |
4.00%, 07/01/43 | | | | | | | 604,334 | | | | | | | | 638,915 | |
2.50%, 08/01/43 | | | | | | | 861,868 | | | | | | | | 834,902 | |
3.50%, 08/01/43 | | | | | | | 177,871 | | | | | | | | 183,398 | |
4.00%, 08/01/43 | | | | | | | 211,250 | | | | | | | | 222,865 | |
4.50%, 09/01/43 | | | | | | | 615,895 | | | | | | | | 658,656 | |
2.50%, 10/01/43 | | | | | | | 40,042 | | | | | | | | 38,760 | |
4.50%, 10/01/43 | | | | | | | 208,369 | | | | | | | | 223,165 | |
4.50%, 11/01/43 | | | | | | | 144,471 | | | | | | | | 154,780 | |
4.50%, 12/01/43 | | | | | | | 209,088 | | | | | | | | 223,949 | |
4.50%, 01/01/44 | | | | | | | 132,772 | | | | | | | | 142,215 | |
4.50%, 02/01/44 | | | | | | | 861,163 | | | | | | | | 917,724 | |
4.50%, 07/01/44 | | | | | | | 121,513 | | | | | | | | 131,456 | |
4.50%, 10/01/44 | | | | | | | 524,175 | | | | | | | | 565,906 | |
4.00%, 01/01/45 | | | | | | | 200,483 | | | | | | | | 212,053 | |
4.50%, 02/01/45 | | | | | | | 1,208,082 | | | | | | | | 1,313,957 | |
4.50%, 04/01/45 | | | | | | | 730,087 | | | | | | | | 793,409 | |
4.50%, 05/01/45 | | | | | | | 81,940 | | | | | | | | 88,515 | |
3.50%, 06/01/45 | | | | | | | 743,057 | | | | | | | | 763,552 | |
| | | | |
| | See Notes to Financial Statements. | | 123 |
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Par | | | | | | Value | |
3.00%, 11/01/45 | | $ | 1,598,455 | | | | | | | $ | 1,599,878 | |
3.50%, 12/01/45 | | | 2,142,868 | | | | | | | | 2,203,137 | |
3.50%, 01/01/46 | | | 512,532 | | | | | | | | 529,279 | |
3.50%, 05/01/46 | | | 525,527 | | | | | | | | 542,495 | |
3.00%, 11/01/46 | | | 3,212,979 | | | | | | | | 3,219,344 | |
5.00%, 11/01/46 | | | 1,330,999 | | | | | | | | 1,441,456 | |
3.00%, 01/18/47 TBA | | | 6,670,000 | | | | | | | | 6,670,520 | |
3.50%, 01/18/47 TBA | | | 10,300,000 | | | | | | | | 10,576,009 | |
4.00%, 01/18/47 TBA | | | 3,700,000 | | | | | | | | 3,869,523 | |
4.50%, 01/18/47 TBA | | | 7,000,000 | | | | | | | | 7,448,437 | |
5.00%, 01/18/47 TBA | | | 1,000,000 | | | | | | | | 1,074,941 | |
3.00%, 02/18/47 TBA | | | 16,000,000 | | | | | | | | 15,980,312 | |
3.50%, 02/18/47 TBA | | | 59,700,000 | | | | | | | | 61,204,141 | |
4.50%, 02/18/47 TBA | | | 16,400,000 | | | | | | | | 17,430,125 | |
3.50%, 03/18/47 TBA | | | 29,000,000 | | | | | | | | 29,685,357 | |
4.00%, 03/18/47 TBA | | | 4,500,000 | | | | | | | | 4,692,991 | |
4.00%, 04/01/47 | | | 848,189 | | | | | | | | 893,249 | |
4.00%, 05/01/47 | | | 192,175 | | | | | | | | 202,354 | |
4.00%, 08/01/47 | | | 1,761,230 | | | | | | | | 1,844,356 | |
4.50%, 01/01/48 | | | 13,999,497 | | | | | | | | 14,911,105 | |
4.50%, 04/01/56 | | | 1,019,135 | | | | | | | | 1,096,330 | |
5.50%, 09/01/56 | | | 993,421 | | | | | | | | 1,103,757 | |
3.50%, 03/01/57 | | | 2,889,877 | | | | | | | | 2,964,332 | |
Federal National Mortgage Association ACES Series 2015-M1 | | | | | | | | | | | | |
0.55%, 09/25/24† g IO | | | 3,915,089 | | | | | | | | 122,654 | |
Federal National Mortgage Association ACES Series 2015-M13 | | | | | | | | | | | | |
2.71%, 06/25/25† g | | | 90,000 | | | | | | | | 89,774 | |
Federal National Mortgage Association ACES Series 2015-M15 | | | | | | | | | | | | |
3.14%, 11/25/27† g | | | 510,000 | | | | | | | | 514,838 | |
Federal National Mortgage Association ACES Series 2016-M11 | | | | | | | | | | | | |
2.94%, 07/25/39 | | | 299,980 | | | | | | | | 295,565 | |
Federal National Mortgage Association Interest STRIP Series 409 | | | | | | | | | | | | |
3.00%, 04/25/27 IO | | | 328,185 | | | | | | | | 29,549 | |
4.50%, 11/25/39 IO | | | 53,614 | | | | | | | | 9,471 | |
3.50%, 11/25/41 IO | | | 197,786 | | | | | | | | 34,520 | |
4.00%, 11/25/41 IO | | | 245,113 | | | | | | | | 47,688 | |
4.00%, 04/25/42 IO | | | 462,118 | | | | | | | | 85,596 | |
Federal National Mortgage Association REMIC Series 1991-137 | | | | | | | | | | | | |
868.32%, 10/25/21 IO | | | 35 | | | | | | | | 426 | |
Federal National Mortgage Association REMIC Series 1991-97 | | | | | | | | | | | | |
1,009.30%, 08/25/21 IO | | | 23 | | | | | | | | 293 | |
Federal National Mortgage Association REMIC Series 2000-32 | | | | | | | | | | | | |
(Floating, LIBOR USD 1M + 0.45%), 1.94%, 10/18/30† | | | 8,570 | | | | | | | | 8,602 | |
| | | | | | | | | | | | |
| | | Par | | | | | | Value | |
Federal National Mortgage Association REMIC Series 2005-29 | | | | | | | | | | | | |
5.50%, 04/25/35 | | $ | 398,823 | | | | | | | $ | 449,322 | |
Federal National Mortgage Association REMIC Series 2007-24 | | | | | | | | | | | | |
(Floating, LIBOR USD 1M + 6.75%), 5.20%, 03/25/37† IO | | | 621,070 | | | | | | | | 111,523 | |
Federal National Mortgage Association REMIC Series 2011-52 | | | | | | | | | | | | |
5.00%, 06/25/41 | | | 376,319 | | | | | | | | 407,546 | |
Federal National Mortgage Association REMIC Series 2011-59 | | | | | | | | | | | | |
5.50%, 07/25/41 | | | 1,142,867 | | | | | | | | 1,272,475 | |
Federal National Mortgage Association REMIC Series 2011-87 | | | | | | | | | | | | |
(Floating, LIBOR USD 1M + 0.55%), 2.10%, 09/25/41† | | | 1,690,593 | | | | | | | | 1,706,098 | |
Federal National Mortgage Association REMIC Series 2011-96 | | | | | | | | | | | | |
(Floating, LIBOR USD 1M + 6.55%), 5.00%, 10/25/41† IO | | | 485,163 | | | | | | | | 73,486 | |
Federal National Mortgage Association REMIC Series 2012-101 | | | | | | | | | | | | |
4.00%, 09/25/27 IO | | | 217,525 | | | | | | | | 20,949 | |
Federal National Mortgage Association REMIC Series 2012-111 | | | | | | | | | | | | |
7.00%, 10/25/42 | | | 34,101 | | | | | | | | 38,976 | |
Federal National Mortgage Association REMIC Series 2012-118 | | | | | | | | | | | | |
3.50%, 12/25/39 IO | | | 310,239 | | | | | | | | 35,209 | |
Federal National Mortgage Association REMIC Series 2012-133 | | | | | | | | | | | | |
(Floating, LIBOR USD 1M + 6.15%), 4.60%, 12/25/42† IO | | | 158,403 | | | | | | | | 28,350 | |
Federal National Mortgage Association REMIC Series 2012-153 | | | | | | | | | | | | |
7.00%, 07/25/42 | | | 113,386 | | | | | | | | 129,993 | |
Federal National Mortgage Association REMIC Series 2012-28 | | | | | | | | | | | | |
6.50%, 06/25/39 | | | 16,199 | | | | | | | | 17,576 | |
Federal National Mortgage Association REMIC Series 2012-35 | | | | | | | | | | | | |
(Floating, LIBOR USD 1M + 6.50%), 4.95%, 04/25/42† IO | | | 150,773 | | | | | | | | 28,893 | |
Federal National Mortgage Association REMIC Series 2012-46 | | | | | | | | | | | | |
6.00%, 05/25/42 | | | 170,165 | | | | | | | | 192,612 | |
| | | | |
| 124 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | Par | | | | | | Value | |
Federal National Mortgage Association REMIC Series 2012-70 | | | | | | | | | | | | |
(Floating, LIBOR USD 1M + 6.65%), 5.10%, 02/25/41† IO | | $ | 34,713 | | | | | | | $ | 4,436 | |
Federal National Mortgage Association REMIC Series 2012-74 | | | | | | | | | | | | |
(Floating, LIBOR USD 1M + 6.65%), 5.10%, 03/25/42† IO | | | 202,288 | | | | | | | | 30,490 | |
Federal National Mortgage Association REMIC Series 2012-75 | | | | | | | | | | | | |
(Floating, LIBOR USD 1M + 6.60%), 5.05%, 07/25/42† IO | | | 54,878 | | | | | | | | 10,403 | |
Federal National Mortgage Association REMIC Series 2013-124 | | | | | | | | | | | | |
(Floating, LIBOR USD 1M + 5.95%), 4.40%, 12/25/43† IO | | | 576,045 | | | | | | | | 110,897 | |
Federal National Mortgage Association REMIC Series 2013-14 | | | | | | | | | | | | |
4.00%, 03/25/43 IO | | | 242,043 | | | | | | | | 41,835 | |
Federal National Mortgage Association REMIC Series 2013-17 | | | | | | | | | | | | |
3.00%, 03/25/28 IO | | | 1,274,065 | | | | | | | | 128,109 | |
Federal National Mortgage Association REMIC Series 2013-29 | | | | | | | | | | | | |
4.00%, 04/25/43 IO | | | 649,174 | | | | | | | | 110,575 | |
Federal National Mortgage Association REMIC Series 2013-54 | | | | | | | | | | | | |
(Floating, LIBOR USD 1M + 6.15%), 4.60%, 06/25/43† IO | | | 263,398 | | | | | | | | 52,681 | |
Federal National Mortgage Association REMIC Series 2013-9 | | | | | | | | | | | | |
5.50%, 04/25/42 | | | 687,891 | | | | | | | | 756,362 | |
6.50%, 07/25/42 | | | 285,978 | | | | | | | | 327,494 | |
Federal National Mortgage Association REMIC Series 2014-47 | | | | | | | | | | | | |
1.92%, 08/25/44† g IO | | | 653,649 | | | | | | | | 39,104 | |
Federal National Mortgage Association REMIC Series 2015-55 | | | | | | | | | | | | |
1.57%, 08/25/55† g IO | | | 225,518 | | | | | | | | 11,616 | |
Federal National Mortgage Association REMIC Series 2015-56 | | | | | | | | | | | | |
(Floating, LIBOR USD 1M + 6.15%), 4.60%, 08/25/45† IO | | | 76,837 | | | | | | | | 16,966 | |
Federal National Mortgage Association REMIC Series 2017-76 | | | | | | | | | | | | |
(Floating, LIBOR USD 1M + 6.10%), 4.55%, 10/25/57† IO | | | 1,140,904 | | | | | | | | 210,874 | |
Federal National Mortgage Association REMIC Series 2017-85 | | | | | | | | | | | | |
(Floating, LIBOR USD 1M + 6.20%), 4.65%, 11/25/47† IO | | | 384,591 | | | | | | | | 69,608 | |
| | | | | | | | | | | | |
| | | Par | | | | | | Value | |
FHLMC Multifamily Structured Pass-Through Certificates Series K015 | | | | | | | | | | | | |
1.59%, 07/25/21† g IO | | $ | 595,800 | | | | | | | $ | 28,242 | |
FHLMC Multifamily Structured Pass-Through Certificates Series K016 | | | | | | | | | | | | |
1.52%, 10/25/21† g IO | | | 196,596 | | | | | | | | 9,393 | |
FHLMC Multifamily Structured Pass-Through Certificates Series K044 | | | | | | | | | | | | |
0.75%, 01/25/25† g IO | | | 1,287,073 | | | | | | | | 56,264 | |
FHLMC Multifamily Structured Pass-Through Certificates Series K068 | | | | | | | | | | | | |
0.44%, 08/25/27† g IO | | | 2,448,636 | | | | | | | | 88,753 | |
FHLMC Multifamily Structured Pass-Through Certificates Series K723 | | | | | | | | | | | | |
0.96%, 08/25/23† g IO | | | 3,323,045 | | | | | | | | 148,043 | |
FHLMC Multifamily Structured Pass-Through Certificates Series KF11 | | | | | | | | | | | | |
(Floating, LIBOR USD 1M + 0.65%), 2.02%, 09/25/25† | | | 974,768 | | | | | | | | 963,848 | |
FHLMC Multifamily Structured Pass-Through Certificates Series KJ17 | | | | | | | | | | | | |
2.98%, 11/25/25 | | | 590,000 | | | | | | | | 600,641 | |
FHLMC Structured Agency Credit Risk Debt Notes Series 2015-DN1 | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 4.15%), 5.70%, 01/25/25† | | | 397,266 | | | | | | | | 429,970 | |
FHLMC Structured Agency Credit Risk Debt Notes Series 2016-DNA4 | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 3.80%), 5.35%, 03/25/29† | | | 250,000 | | | | | | | | 279,355 | |
FHLMC Structured Agency Credit Risk Debt Notes Series 2016-HQA2 | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 5.15%), 6.70%, 11/25/28† | | | 300,000 | | | | | | | | 354,606 | |
FHLMC Structured Pass-Through Certificates Series T-61 | | | | | | | | | | | | |
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.40%), 2.40%, 07/25/44† | | | 723,097 | | | | | | | | 730,701 | |
First Horizon Alternative Mortgage Securities Trust Series 2004-AA1 A1 | | | | | | | | | | | | |
3.33%, 06/25/34† g | | | 276,610 | | | | | | | | 275,044 | |
FREMF Mortgage Trust Series 2012-K20 X2A | | | | | | | | | | | | |
0.20%, 05/25/45 144A IO | | | 5,464,389 | | | | | | | | 38,426 | |
Government National Mortgage Association | | | | | | | | | | | | |
7.00%, 01/15/26 | | | 2,988 | | | | | | | | 3,178 | |
7.00%, 07/15/27 | | | 33,486 | | | | | | | | 37,964 | |
7.00%, 01/15/28 | | | 12,803 | | | | | | | | 13,025 | |
7.00%, 03/15/28 | | | 44,515 | | | | | | | | 50,255 | |
7.00%, 07/15/28 | | | 6,210 | | | | | | | | 6,637 | |
7.50%, 07/15/28 | | | 10,954 | | | | | | | | 11,188 | |
| | | | |
| | See Notes to Financial Statements. | | 125 |
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Par | | | | | | Value | |
6.50%, 08/15/28 | | $ | 2,868 | | | | | | | $ | 3,185 | |
7.00%, 08/15/28 | | | 9,209 | | | | | | | | 10,020 | |
7.50%, 08/15/28 | | | 7,713 | | | | | | | | 8,431 | |
6.50%, 09/15/28 | | | 5,970 | | | | | | | | 6,749 | |
7.00%, 10/15/28 | | | 32,424 | | | | | | | | 33,955 | |
7.50%, 03/15/29 | | | 13,915 | | | | | | | | 16,213 | |
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%), 2.25%, 11/20/29† | | | 26,802 | | | | | | | | 27,843 | |
8.50%, 08/15/30 | | | 614 | | | | | | | | 642 | |
8.50%, 11/20/30 | | | 6,057 | | | | | | | | 6,929 | |
6.50%, 08/15/31 | | | 33,030 | | | | | | | | 36,909 | |
7.50%, 08/15/31 | | | 9,259 | | | | | | | | 10,217 | |
6.50%, 10/15/31 | | | 55,942 | | | | | | | | 62,586 | |
6.00%, 11/15/31 | | | 117,513 | | | | | | | | 132,067 | |
6.50%, 11/15/31 | | | 74,508 | | | | | | | | 82,692 | |
6.00%, 12/15/31 | | | 25,792 | | | | | | | | 29,153 | |
6.00%, 01/15/32 | | | 79,909 | | | | | | | | 89,734 | |
6.00%, 02/15/32 | | | 119,881 | | | | | | | | 134,117 | |
6.50%, 02/15/32 | | | 93,775 | | | | | | | | 104,083 | |
6.00%, 04/15/32 | | | 41,724 | | | | | | | | 46,677 | |
7.50%, 04/15/32 | | | 42,568 | | | | | | | | 43,435 | |
6.50%, 06/15/32 | | | 57,574 | | | | | | | | 63,923 | |
6.50%, 08/15/32 | | | 127,189 | | | | | | | | 141,188 | |
6.50%, 09/15/32 | | | 106,106 | | | | | | | | 119,617 | |
6.00%, 10/15/32 | | | 87,927 | | | | | | | | 100,167 | |
5.50%, 11/15/32 | | | 14,522 | | | | | | | | 16,060 | |
6.00%, 11/15/32 | | | 65,583 | | | | | | | | 73,532 | |
6.00%, 12/15/32 | | | 32,896 | | | | | | | | 37,217 | |
6.50%, 12/15/32 | | | 9,128 | | | | | | | | 10,134 | |
5.50%, 01/15/33 | | | 6,665 | | | | | | | | 7,314 | |
6.00%, 01/15/33 | | | 31,788 | | | | | | | | 36,094 | |
5.50%, 02/15/33 | | | 17,617 | | | | | | | | 19,575 | |
6.00%, 02/15/33 | | | 30,947 | | | | | | | | 35,012 | |
5.50%, 03/15/33 | | | 17,161 | | | | | | | | 19,043 | |
6.50%, 04/15/33 | | | 197,761 | | | | | | | | 229,072 | |
6.00%, 06/15/33 | | | 19,428 | | | | | | | | 21,735 | |
5.50%, 07/15/33 | | | 16,911 | | | | | | | | 18,739 | |
5.50%, 08/15/33 | | | 7,953 | | | | | | | | 8,730 | |
5.50%, 09/15/33 | | | 5,993 | | | | | | | | 6,649 | |
6.00%, 10/15/33 | | | 37,863 | | | | | | | | 42,358 | |
6.50%, 10/15/33 | | | 109,930 | | | | | | | | 122,062 | |
6.00%, 12/15/33 | | | 78,529 | | | | | | | | 87,853 | |
5.50%, 04/15/34 | | | 11,239 | | | | | | | | 12,465 | |
5.50%, 05/15/34 | | | 2,736 | | | | | | | | 3,002 | |
6.50%, 08/15/34 | | | 166,041 | | | | | | | | 188,129 | |
5.50%, 09/15/34 | | | 76,697 | | | | | | | | 84,935 | |
5.50%, 12/15/34 | | | 73,903 | | | | | | | | 82,172 | |
5.50%, 01/15/35 | | | 59,251 | | | | | | | | 65,120 | |
6.00%, 09/20/38 | | | 190,337 | | | | | | | | 212,710 | |
5.00%, 07/20/40 | | | 16,222 | | | | | | | | 17,644 | |
5.00%, 09/20/40 | | | 69,275 | | | | | | | | 75,971 | |
4.00%, 10/20/40 | | | 8,952 | | | | | | | | 9,427 | |
6.00%, 10/20/40 | | | 28,803 | | | | | | | | 32,637 | |
6.00%, 01/20/41 | | | 25,385 | | | | | | | | 28,164 | |
4.50%, 04/20/41 | | | 315,848 | | | | | | | | 335,137 | |
4.00%, 08/20/43 | | | 533,887 | | | | | | | | 561,147 | |
| | | | | | | | | | | | |
| | | Par | | | | | | Value | |
4.00%, 10/20/43 | | $ | 1,757,951 | | | | | | | $ | 1,852,876 | |
3.00%, 01/15/45 | | | 4,411,822 | | | | | | | | 4,450,900 | |
3.00%, 02/15/45 | | | 169,251 | | | | | | | | 170,983 | |
3.50%, 04/15/45 | | | 1,011,918 | | | | | | | | 1,047,480 | |
4.00%, 05/20/45 | | | 49,914 | | | | | | | | 52,436 | |
4.00%, 08/20/45 | | | 1,003,681 | | | | | | | | 1,051,048 | |
4.00%, 09/20/45 | | | 1,343,397 | | | | | | | | 1,408,514 | |
4.00%, 10/20/45 | | | 1,472,387 | | | | | | | | 1,543,757 | |
4.00%, 11/20/45 | | | 128,726 | | | | | | | | 134,966 | |
4.00%, 01/20/46 | | | 725,654 | | | | | | | | 761,662 | |
4.00%, 02/20/46 | | | 763,456 | | | | | | | | 801,340 | |
4.00%, 03/20/46 | | | 3,440,589 | | | | | | | | 3,617,875 | |
3.50%, 09/20/46 | | | 3,071,003 | | | | | | | | 3,194,318 | |
3.00%, 01/18/47 TBA | | | 6,200,000 | | | | | | | | 6,256,674 | |
3.50%, 01/18/47 TBA | | | 4,700,000 | | | | | | | | 4,858,992 | |
4.00%, 01/18/47 TBA | | | 11,700,000 | | | | | | | | 12,197,250 | |
4.00%, 02/18/47 TBA | | | 1,000,000 | | | | | | | | 1,042,168 | |
4.00%, 06/20/47 | | | 2,851,057 | | | | | | | | 2,976,264 | |
4.00%, 07/20/47 | | | 952,010 | | | | | | | | 993,796 | |
4.00%, 08/20/47 | | | 2,252,409 | | | | | | | | 2,359,869 | |
3.50%, 10/20/47 | | | 1,195,012 | | | | | | | | 1,238,757 | |
3.00%, 11/20/47 | | | 2,992,504 | | | | | | | | 3,023,499 | |
3.50%, 11/20/47 | | | 99,784 | | | | | | | | 103,286 | |
Government National Mortgage Association Series 2007-30 | | | | | | | | | | | | |
(Floating, LIBOR USD 1M + 0.30%), 1.80%, 05/20/37† | | | 146,227 | | | | | | | | 146,020 | |
Government National Mortgage Association Series 2007-51 | | | | | | | | | | | | |
(Floating, LIBOR USD 1M + 6.58%), 5.08%, 08/20/37† IO | | | 1,325,765 | | | | | | | | 220,429 | |
Government National Mortgage Association Series 2010-31 | | | | | | | | | | | | |
(Floating, LIBOR USD 1M + 6.50%), 5.00%, 03/20/39† IO | | | 27,550 | | | | | | | | 1,463 | |
Government National Mortgage Association Series 2010-85 | | | | | | | | | | | | |
(Floating, LIBOR USD 1M + 6.65%), 5.15%, 01/20/40† IO | | | 51,689 | | | | | | | | 5,728 | |
Government National Mortgage Association Series 2010-H28 | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.40%), 1.64%, 12/20/60† | | | 281,069 | | | | | | | | 280,369 | |
Government National Mortgage Association Series 2011-H08 | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.48%), 1.72%, 03/20/61† | | | 381,687 | | | | | | | | 381,615 | |
Government National Mortgage Association Series 2011-H09 | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.50%), 1.74%, 03/20/61† | | | 265,357 | | | | | | | | 265,455 | |
Government National Mortgage Association Series 2012-144 | | | | | | | | | | | | |
0.47%, 01/16/53 IO | | | 8,962,882 | | | | | | | | 296,842 | |
Government National Mortgage Association Series 2012-34 | | | | | | | | | | | | |
(Floating, LIBOR USD 1M + 6.05%), 4.55%, 03/20/42† IO | | | 47,300 | | | | | | | | 7,629 | |
| | | | |
| 126 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | Par | | | | | | Value | |
Government National Mortgage Association Series 2012-66 | | | | | | | | | | | | |
3.50%, 02/20/38 IO | | $ | 190,452 | | | | | | | $ | 14,916 | |
Government National Mortgage Association Series 2012-H27 | | | | | | | | | | | | |
1.76%, 10/20/62† g IO | | | 875,659 | | | | | | | | 60,065 | |
Government National Mortgage Association Series 2012-H30 | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.35%), 1.59%, 12/20/62† | | | 1,237,392 | | | | | | | | 1,232,445 | |
Government National Mortgage Association Series 2013-113 | | | | | | | | | | | | |
(Floating, LIBOR USD 1M + 6.70%), 5.21%, 08/16/43† IO | | | 167,742 | | | | | | | | 27,927 | |
Government National Mortgage Association Series 2013-53 | | | | | | | | | | | | |
3.50%, 04/20/43 IO | | | 152,594 | | | | | | | | 24,985 | |
Government National Mortgage Association Series 2014-117 | | | | | | | | | | | | |
(Floating, LIBOR USD 1M + 5.60%), 4.10%, 08/20/44† IO | | | 52,138 | | | | | | | | 6,914 | |
Government National Mortgage Association Series 2014-118 | | | | | | | | | | | | |
(Floating, LIBOR USD 1M + 6.20%), 4.70%, 08/20/44† IO | | | 270,822 | | | | | | | | 56,953 | |
Government National Mortgage Association Series 2014-135 | | | | | | | | | | | | |
0.83%, 01/16/56† g IO | | | 6,571,257 | | | | | | | | 327,180 | |
Government National Mortgage Association Series 2014-93 | | | | | | | | | | | | |
0.84%, 11/16/55† g IO | | | 3,380,269 | | | | | | | | 164,085 | |
Government National Mortgage Association Series 2015-167 | | | | | | | | | | | | |
4.00%, 04/16/45 IO | | | 143,804 | | | | | | | | 30,161 | |
Government National Mortgage Association Series 2015-H11 | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.55%), 1.79%, 05/20/65† | | | 2,643,952 | | | | | | | | 2,639,568 | |
Government National Mortgage Association Series 2015-H14 | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.43%), 1.67%, 05/20/65† | | | 2,689,299 | | | | | | | | 2,684,617 | |
(Floating, ICE LIBOR USD 1M + 0.57%), 1.81%, 06/20/65† | | | 4,348,360 | | | | | | | | 4,345,009 | |
Government National Mortgage Association Series 2015-H15 | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.58%), 1.82%, 06/20/65† | | | 1,648,984 | | | | | | | | 1,648,468 | |
(Floating, ICE LIBOR USD 1M + 0.60%), 1.84%, 06/20/65† | | | 4,093,862 | | | | | | | | 4,096,126 | |
Government National Mortgage Association Series 2015-H16 | | | | | | | | | | | | |
(Floating, LIBOR USD 1M + 0.60%), 1.84%, 07/20/65† | | | 4,160,450 | | | | | | | | 4,162,872 | |
Government National Mortgage Association Series 2015-H17 | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.46%), 1.69%, 06/20/65† | | | 659,111 | | | | | | | | 658,603 | |
Government National Mortgage Association Series 2015-H18 | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.60%), 1.84%, 07/20/65† | | | 631,585 | | | | | | | | 631,933 | |
| | | | | | | | | | | | |
| | | Par | | | | | | Value | |
Government National Mortgage Association Series 2015-H19 | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.60%), 1.84%, 08/20/65† | | $ | 660,147 | | | | | | | $ | 660,522 | |
Government National Mortgage Association Series 2015-H22 | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.60%), 1.84%, 09/20/65† | | | 658,587 | | | | | | | | 658,995 | |
Government National Mortgage Association Series 2015-H23 | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.62%), 1.86%, 09/20/65† | | | 808,132 | | | | | | | | 809,345 | |
Government National Mortgage Association Series 2015-H26 | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.52%), 1.76%, 10/20/65† | | | 1,497,715 | | | | | | | | 1,500,731 | |
Government National Mortgage Association Series 2015-H30 | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.68%), 1.92%, 08/20/61† | | | 446,471 | | | | | | | | 447,598 | |
Government National Mortgage Association Series 2016-152 | | | | | | | | | | | | |
0.98%, 08/15/58† g IO | | | 5,836,163 | | | | | | | | 452,787 | |
Government National Mortgage Association Series 2017-190 | | | | | | | | | | | | |
0.69%, 03/16/60† g IO | | | 7,440,000 | | | | | | | | 491,133 | |
Government National Mortgage Association Series 2017-H15 | | | | | | | | | | | | |
2.16%, 07/20/67† g IO | | | 606,383 | | | | | | | | 88,126 | |
(Floating, ICE LIBOR USD 1Y + 0.80%), 2.53%, 07/20/67† | | | 1,911,413 | | | | | | | | 1,975,823 | |
Government National Mortgage Association Series 2017-H18 | | | | | | | | | | | | |
1.63%, 09/20/67† g IO | | | 4,627,859 | | | | | | | | 475,804 | |
Government National Mortgage Association Series 2017-H20 | | | | | | | | | | | | |
1.96%, 10/20/67† g IO | | | 199,812 | | | | | | | | 25,776 | |
Government National Mortgage Association Series 2017-H22 | | | | | | | | | | | | |
2.18%, 11/20/67† g IO | | | 1,793,307 | | | | | | | | 244,959 | |
GreenPoint Mortgage Funding Trust Series 2006-OH1 A1 | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.18%), 1.73%, 01/25/37† | | | 610,542 | | | | | | | | 577,326 | |
GS Mortgage Securities Corporation II Series 2015-GC30 AS | | | | | | | | | | | | |
3.78%, 05/10/50 | | | 370,000 | | | | | | | | 385,702 | |
GS Mortgage Securities Corporation II Series 2015-GC30 D | | | | | | | | | | | | |
3.38%, 05/10/50 | | | 490,000 | | | | | | | | 380,721 | |
GS Mortgage Securities Trust Series 2007-GG10 AM | | | | | | | | | | | | |
5.81%, 08/10/45† g | | | 146,820 | | | | | | | | 150,218 | |
GS Mortgage Securities Trust Series 2013-GC16 B | | | | | | | | | | | | |
5.16%, 11/10/46 | | | 130,000 | | | | | | | | 139,849 | |
GS Mortgage Securities Trust Series 2015-GC28 C | | | | | | | | | | | | |
4.33%, 02/10/48† g | | | 290,000 | | | | | | | | 280,355 | |
| | | | |
| | See Notes to Financial Statements. | | 127 |
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | |
| | | Par | | | Value | |
GSR Mortgage Loan Trust
Series 2005-AR6 2A1 | | | | | | | | |
3.47%, 09/25/35† g | | $ | 769,827 | | | $ | 787,949 | |
Impac CMB Trust
Series 2004-8 1A | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.72%), 2.27%, 10/25/34† | | | 41,394 | | | | 40,793 | |
IndyMac ARM Trust
Series 2001-H2 A1 | | | | | | | | |
2.78%, 01/25/32† g | | | 6,126 | | | | 6,057 | |
IndyMac INDX Mortgage Loan Trust Series 2006-AR12 A1 | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.19%), 1.74%, 09/25/46† | | | 716,837 | | | | 635,207 | |
JP Morgan Alternative Loan Trust Series 2005-A2 1A1 | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.52%), 2.07%, 01/25/36† | | | 167,545 | | | | 166,139 | |
JP Morgan Chase Commercial Mortgage Securities Trust
Series 2012-C6 D | | | | | | | | |
5.14%, 05/15/45† g | | | 280,000 | | | | 280,468 | |
JP Morgan Chase Commercial Mortgage Securities Trust
Series 2016-WPT A | | | | | | | | |
(Floating, LIBOR USD 1M + 1.45%), 2.93%, 10/15/33 144A † | | | 800,000 | | | | 802,783 | |
JP Morgan Chase Commercial Mortgage Securities Trust
Series 2017-MAUI A | | | | | | | | |
(Floating, LIBOR USD 1M + 0.83%), 2.31%, 07/15/34 144A † | | | 4,000,000 | | | | 4,010,182 | |
JP Morgan Mortgage Trust
Series 2005-A1 6T1 | | | | | | | | |
3.66%, 02/25/35† g | | | 57,515 | | | | 57,153 | |
JPMBB Commercial Mortgage Securities Trust
Series 2013-C15 C | | | | | | | | |
5.08%, 11/15/45† g | | | 90,000 | | | | 94,320 | |
JPMBB Commercial Mortgage Securities Trust
Series 2013-C17 B | | | | | | | | |
4.88%, 01/15/47† g | | | 50,000 | | | | 52,945 | |
JPMBB Commercial Mortgage Securities Trust
Series 2014-C25 ASB | | | | | | | | |
3.41%, 11/15/47 | | | 840,000 | | | | 864,917 | |
JPMBB Commercial Mortgage Securities Trust Series 2015-C30 A5 | | | | | | | | |
3.82%, 07/15/48 | | | 880,000 | | | | 926,488 | |
JPMBB Commercial Mortgage Securities Trust Series 2015-C31 A3 | | | | | | | | |
3.80%, 08/15/48 | | | 1,700,000 | | | | 1,785,632 | |
JPMBB Commercial Mortgage Securities Trust Series 2015-C32 ASB | | | | | | | | |
3.36%, 11/15/48 | | | 800,000 | | | | 821,566 | |
| | | | | | | | |
| | | Par | | | Value | |
JPMBB Commercial Mortgage Securities Trust
Series 2015-C32 | | | | | | | | |
D 4.17%, 11/15/48† g | | $ | 590,000 | | | $ | 457,361 | |
Kensington Mortgage Securities PLC Series 2007-1X A3C | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 0.17%), 1.74%, 06/14/40† | | | 1,004,211 | | | | 977,316 | |
LB-UBS Commercial Mortgage Trust
Series 2001-C3 X | | | | | | | | |
0.21%, 06/15/36 144A † g IO | | | 15,559 | | | | 1 | |
Ludgate Funding PLC
Series 2007-1 | | | | | | | | |
(Floating, ICE LIBOR GBP 3M + 0.16%), 0.68%, 01/01/61† (U) | | | 856,835 | | | | 1,113,965 | |
Ludgate Funding PLC
Series 2008-W1X | | | | | | | | |
(Floating, ICE LIBOR GBP 3M + 0.60%), 0.94%, 01/01/61† (U) | | | 699,891 | | | | 927,100 | |
Luminent Mortgage Trust
Series 2006-2 A1A | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.20%), 1.75%, 02/25/46† | | | 475,979 | | | | 389,206 | |
Mansard Mortgages PLC Series 2007-1X A2 | | | | | | | | |
(Floating, ICE LIBOR GBP 3M + 0.18%), 0.56%, 04/15/47† (U) | | | 848,189 | | | | 1,107,356 | |
MASTR Adjustable Rate Mortgages Trust
Series 2004-13 3A7 | | | | | | | | |
3.47%, 11/21/34† g | | | 358,048 | | | | 368,334 | |
MASTR Adjustable Rate Mortgages Trust
Series 2004-4 4A1 | | | | | | | | |
3.49%, 05/25/34† g | | | 123,391 | | | | 123,417 | |
MASTR Adjustable Rate Mortgages Trust
Series 2007-R5 A1 | | | | | | | | |
3.42%, 11/25/35 144A† g | | | 495,990 | | | | 419,069 | |
Merrill Lynch Mortgage Investors Trust
Series 2005-2 1A | | | | | | | | |
(Floating, ICE LIBOR USD 6M + 1.25%), 2.91%, 10/25/35† | | | 26,701 | | | | 27,109 | |
Morgan Stanley Bank of America Merrill Lynch Trust
Series 2013-C9 A4 | | | | | | | | |
3.10%, 05/15/46 | | | 300,000 | | | | 304,883 | |
Morgan Stanley Bank of America Merrill Lynch Trust
Series 2013-C9 AS | | | | | | | | |
3.46%, 05/15/46 | | | 140,000 | | | | 141,701 | |
Morgan Stanley Bank of America Merrill Lynch Trust
Series 2014-C19 B | | | | | | | | |
4.00%, 12/15/47 | | | 370,000 | | | | 376,550 | |
Morgan Stanley Bank of America Merrill Lynch Trust
Series 2015-C22 AS | | | | | | | | |
3.56%, 04/15/48 | | | 480,000 | | | | 483,691 | |
Morgan Stanley Bank of America Merrill Lynch Trust
Series 2015-C25 A4 | | | | | | | | |
3.37%, 10/15/48 | | | 1,400,000 | | | | 1,436,332 | |
| | | | |
| 128 | | See Notes to Financial Statements. | | |
| | | | | | | | |
| | | Par | | | Value | |
Morgan Stanley Bank of America Merrill Lynch Trust
Series 2015-C27 ASB | | | | | | | | |
3.56%, 12/15/47 | | $ | 800,000 | | | $ | 832,762 | |
Morgan Stanley Bank of America Merrill Lynch Trust
Series 2016-C30 C | | | | | | | | |
4.13%, 09/15/49† g | | | 450,000 | | | | 450,254 | |
Morgan Stanley Bank of America Merrill Lynch Trust
Series 2016-C31 A5 | | | | | | | | |
3.10%, 11/15/49 | | | 380,000 | | | | 380,603 | |
Morgan Stanley Capital I Trust
Series 2014-CPT B | | | | | | | | |
3.45%, 07/13/29 144A† g | | | 800,000 | | | | 811,044 | |
Morgan Stanley Capital I Trust
Series 2016-UBS12 A4 3.60%, 12/15/49 | | | 380,000 | | | | 395,009 | |
Mortgage Repurchase Agreement Financing Trust
Series 2017-1 A1 | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.85%), 2.28%, 07/10/19
144A† | | | 2,150,000 | | | | 2,150,264 | |
Mortgage Repurchase Agreement Financing Trust
Series 2017-2 A1 | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.55%), 1.78%, 08/12/19 144A † | | | 1,550,000 | | | | 1,557,750 | |
MortgageIT Trust
Series 2005-4 A1 | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.28%), 1.83%, 10/25/35† | | | 443,368 | | | | 438,929 | |
MSCG Trust
Series 2015-ALDR A2 | | | | | | | | |
3.46%, 06/07/35 144A † g | | | 580,000 | | | | 572,958 | |
MSCG Trust
Series 2016-SNR C | | | | | | | | |
5.21%, 11/15/34 144A | | | 390,000 | | | | 396,674 | |
Nomura Resecuritization Trust
Series 2014-7R 2A3 | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.20%), 1.53%, 12/26/35 144A † | | | 534,613 | | | | 529,752 | |
One Market Plaza Trust
Series 2017-1MKT A | | | | | | | | |
3.61%, 02/10/32 144A | | | 1,020,000 | | | | 1,052,012 | |
Prime Mortgage Trust
Series 2006-DR1 2A1 | | | | | | | | |
5.50%, 05/25/35 144A | | | 2,277,219 | | | | 1,681,127 | |
Prime Mortgage Trust
Series 2006-DR1 2A26.00%,05/25/35 144A | | | 1,825,508 | | | | 1,375,980 | |
ResLoC UK PLC
Series 2007-1X A3A | | | | | | | | |
(Floating, Euribor 3M + 0.16%), 0.00%, 12/15/43† (E) | | | 1,215,546 | | | | 1,409,639 | |
(Floating, ICE LIBOR GBP 3M + 0.16%), 0.68%, 12/15/43† (U) | | | 303,887 | | | | 394,296 | |
RFTI Issuer, Ltd.
Series 2015-FL1 A | | | | | | | | |
(Floating, LIBOR USD 1M + 1.75%), 3.23%, 08/15/30 144A † | | | 547,124 | | | | 547,698 | |
| | | | | | | | |
| | | Par | | | Value | |
Rosslyn Portfolio Trust
Series 2017-ROSS A | | | | | | | | |
(Floating, LIBOR USD 1M + 0.95%), 2.43%, 06/15/33 144A † | | $ | 450,000 | | | $ | 444,127 | |
Sequoia Mortgage Trust
Series 2003-4 1A2 | | | | | | | | |
(Floating, ICE LIBOR USD 6M + 0.66%), 2.12%, 07/20/33† | | | 83,378 | | | | 78,842 | |
Sequoia Mortgage Trust
Series 6 | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.64%), 2.14%, 04/19/27† | | | 409,362 | | | | 389,879 | |
Station Place Securitization Trust
Series 2015-2 A | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 1.05%), 2.52%, 05/15/18 144A † | | | 350,000 | | | | 350,000 | |
Structured Adjustable Rate Mortgage Loan Trust Series 2005-19XS | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.30%), 1.85%, 10/25/35† | | | 878,993 | | | | 867,730 | |
Structured Asset Mortgage Investments II Trust Series 2005-AR5 A1 | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.25%), 1.75%, 07/19/35† | | | 102,218 | | | | 98,115 | |
Thornburg Mortgage Securities Trust
Series 2003-4 A1 | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.64%), 2.19%, 09/25/43† | | | 9,650 | | | | 9,378 | |
Thornburg Mortgage Securities Trust
Series 2005-1 A3 | | | | | | | | |
3.19%, 04/25/45† g | | | 82,924 | | | | 83,481 | |
Towd Point Mortgage Funding Vantage1 PLC
Series 2016-V1A A1 | | | | | | | | |
(Floating, ICE LIBOR GBP 3M + 1.20%), 1.73%, 02/20/54 144A † (U) | | | 480,014 | | | | 653,600 | |
Trinity Square PLC
Series 2015-1A | | | | | | | | |
(Floating, ICE LIBOR GBP 3M + 1.15%), 1.53%, 07/15/51 144A † (U) | | | 287,668 | | | | 393,977 | |
UBS-Barclays Commercial Mortgage Trust Series 2012-C4 D | | | | | | | | |
4.48%, 12/10/45 144A † g | | | 320,000 | | | | 274,411 | |
VNDO Mortgage Trust Series 2012-6AVE A | | | | | | | | |
3.00%, 11/15/30 144A | | | 100,000 | | | | 101,036 | |
Washington Mutual Mortgage Pass-Through Certificates
Series 2002-AR19 A7 | | | | | | | | |
3.03%, 02/25/33† g | | | 6,506 | | | | 6,474 | |
Washington Mutual Mortgage Pass-Through Certificates
Series 2002-AR6 A | | | | | | | | |
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.40%), 2.46%, 06/25/42† | | | 14,225 | | | | 13,809 | |
| | | | |
| | See Notes to Financial Statements. | | 129 |
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | |
| | | Par | | | Value | |
Washington Mutual Mortgage Pass-Through Certificates
Series 2005-AR13 A1A1 | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.29%), 1.84%, 10/25/45† | | $ | 1,168,492 | | | $ | 1,133,253 | |
Washington Mutual Mortgage Pass-Through Certificates
Series 2005-AR8 1A1A | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.27%), 1.82%, 07/25/45† | | | 774,337 | | | | 768,612 | |
Washington Mutual Mortgage Pass-Through Certificates
Series 2005-AR8 2A1A | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.29%), 1.84%, 07/25/45† | | | 155,341 | | | | 153,506 | |
Washington Mutual Mortgage Pass-Through Certificates
Series 2007-HY1 1A1 3.11%, 02/25/37† g | | | 309,029 | | | | 284,161 | |
Washington Mutual Mortgage Pass-Through Certificates
Series 2007-HY1 2A3 | | | | | | | | |
3.22%, 02/25/37† g | | | 208,162 | | | | 203,236 | |
Washington Mutual Mortgage Pass-Through Certificates
Series 2007-OA3 2A1A | | | | | | | | |
(Floating, Federal Reserve U.S. 12 1Y CMT + 0.76%), 1.82%, 04/25/47† | | | 674,884 | | | | 672,274 | |
Waterfall Commercial Mortgage Trust Series 2015-SBC5 A | | | | | | | | |
4.10%, 09/14/22 144A | | | 261,855 | | | | 259,448 | |
Wells Fargo Alternative Loan Trust Series 2007-PA6 A1 3.64%, 12/28/37† g | | | 644,970 | | | | 635,848 | |
Wells Fargo Commercial Mortgage Trust
Series 2013-LC12 B | | | | | | | | |
4.29%, 07/15/46† g | | | 20,000 | | | | 20,464 | |
Wells Fargo Commercial Mortgage Trust
Series 2014-LC16 XA | | | | | | | | |
1.37%, 08/15/50 † g IO | | | 2,902,747 | | | | 154,423 | |
Wells Fargo Commercial Mortgage Trust
Series 2015-NXS1 B | | | | | | | | |
3.66%, 05/15/48 | | | 350,000 | | | | 349,979 | |
Wells Fargo Commercial Mortgage Trust
Series 2017-C42 A4 | | | | | | | | |
3.59%, 12/15/50 | | | 1,390,000 | | | | 1,439,645 | |
Wells Fargo Mortgage-Backed Securities Trust
Series 2005-AR16 1A1 | | | | | | | | |
3.54%, 08/25/33† g | | | 119,239 | | | | 122,590 | |
Wells Fargo Mortgage-Backed Securities Trust
Series 2005-AR2 | | | | | | | | |
3.28%, 03/25/35† g | | | 73,047 | | | | 74,042 | |
WFRBS Commercial Mortgage Trust Series 2012-C7 XA | | | | | | | | |
1.44%, 06/15/45 144A† g IO | | | 284,411 | | | | 13,997 | |
WFRBS Commercial Mortgage Trust Series 2013-C13 XA | | | | | | | | |
1.34%, 05/15/45 144A† g IO | | | 2,841,743 | | | | 136,212 | |
WFRBS Commercial Mortgage Trust Series 2014-C19 XA | | | | | | | | |
1.14%, 03/15/47† g IO | | | 1,002,430 | | | | 47,777 | |
| | | | | | | | |
| | | Par | | | Value | |
WFRBS Commercial Mortgage Trust
Series 2014-C21 XA | | | | | | | | |
1.13%, 08/15/47† g IO | | $ | 3,548,112 | | | $ | 180,798 | |
WFRBS Commercial Mortgage Trust
Series 2014-C24 AS | | | | | | | | |
3.93%, 11/15/47 | | | 290,000 | | | | 297,894 | |
WFRBS Commercial Mortgage Trust
Series 2014-C24 C | | | | | | | | |
4.29%, 11/15/47† | | | 300,000 | | | | 293,333 | |
| | | | | | | | |
Total Mortgage-Backed Securities
(Cost $445,148,551) | | | | 444,348,169 | |
| | | | | | | | |
MUNICIPAL BONDS — 0.7% | |
Alameda County Joint Powers Authority, Revenue Bond, Series Z | | | | | | | | |
7.05%, 12/01/44 | | | 2,400,000 | | | | 3,625,644 | |
American Municipal Power, Inc., Hydroelectric Projects, Revenue Bond, Series B | | | | | | | | |
8.08%, 02/15/50 | | | 600,000 | | | | 1,025,610 | |
American Municipal Power, Inc., Revenue Bond, Series E | | | | | | | | |
6.27%, 02/15/50 | | | 250,000 | | | | 327,910 | |
Chicago Transit Authority, Revenue Bond, Series A | | | | | | | | |
6.90%, 12/01/40 | | | 700,000 | | | | 951,135 | |
Chicago Transit Authority, Revenue Bond, Series B | | | | | | | | |
6.90%, 12/01/40 | | | 300,000 | | | | 407,630 | |
Commonwealth of Puerto Rico, General Obligation, Series A | | | | | | | | |
5.50%, 07/01/32# | | | 5,000 | | | | 1,138 | |
6.00%, 07/01/34# | | | 10,000 | | | | 2,263 | |
8.00%, 07/01/35# | | | 280,000 | | | | 67,200 | |
5.25%, 07/01/37# | | | 20,000 | | | | 4,550 | |
5.50%, 07/01/39# | | | 85,000 | | | | 19,338 | |
5.00%, 07/01/41# | | | 10,000 | | | | 2,275 | |
Commonwealth of Puerto Rico, General Obligation,
Series B | | | | | | | | |
5.88%, 07/01/36# | | | 10,000 | | | | 2,275 | |
Commonwealth of Puerto Rico, General Obligation,
Series C | | | | | | | | |
6.00%, 07/01/39# | | | 10,000 | | | | 2,275 | |
Commonwealth of Puerto Rico, General Obligation,
Series D | | | | | | | | |
5.75%, 07/01/41# | | | 10,000 | | | | 2,275 | |
Northstar Education Finance, Inc. | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 0.10%), 0.00%, 04/28/30† | | | 213,730 | | | | 212,433 | |
Port Authority of New York & New Jersey, Revenue Bond, Series 192 | | | | | | | | |
4.81%, 10/15/65 | | | 300,000 | | | | 366,999 | |
Puerto Rico Commonwealth Aqueduct & Sewer Authority,
Revenue Bond, Series A | | | | | | | | |
5.75%, 07/01/37 | | | 20,000 | | | | 12,375 | |
6.00%, 07/01/44 | | | 55,000 | | | | 35,131 | |
Puerto Rico Sales Tax Financing Corporation, Revenue Bond, Sub-Series A | | | | | | | | |
5.50%, 08/01/28# | | | 60,000 | | | | 6,000 | |
| | | | |
| 130 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
5.50%, 08/01/37# | | | | | | $ | 65,000 | | | $ | 6,500 | |
5.38%, 08/01/39# | | | | | | | 35,000 | | | | 3,500 | |
5.50%, 08/01/42# | | | | | | | 120,000 | | | | 12,000 | |
Puerto Rico Sales Tax Financing Corporation, Revenue Bond, Sub-Series A-1 | | | | | | | | | | | | |
6.75%, 08/01/32# | | | | | | | 85,000 | | | | 8,500 | |
0.00%, 08/01/33 | | | | | | | 25,000 | | | | 2,250 | |
5.00%, 08/01/43# | | | | | | | 20,000 | | | | 2,000 | |
5.25%, 08/01/43# | | | | | | | 10,000 | | | | 1,000 | |
Puerto Rico Sales Tax Financing Corporation, Revenue Bond, Sub-Series B | | | | | | | | | | | | |
5.25%, 08/01/27# | | | | | | | 5,000 | | | | 500 | |
5.75%, 08/01/37# | | | | | | | 45,000 | | | | 4,500 | |
6.38%, 08/01/39# | | | | | | | 5,000 | | | | 500 | |
6.00%, 08/01/42# | | | | | | | 100,000 | | | | 10,000 | |
Puerto Rico Sales Tax Financing Corporation, Revenue Bond, Sub-Series C | | | | | | | | | | | | |
5.38%, 08/01/38# | | | | | | | 15,000 | | | | 1,500 | |
6.00%, 08/01/39# | | | | | | | 35,000 | | | | 3,500 | |
5.25%, 08/01/41# | | | | | | | 100,000 | | | | 10,000 | |
Puerto Rico Sales Tax Financing Corporation, Revenue Bond, Sub-Series C-1 | | | | | | | | | | | | |
3.61%, 08/01/37W | | | | | | | 10,000 | | | | 291 | |
State of California, General Obligation | | | | | | | | | | | | |
7.95%, 03/01/36 | | | | | | | 265,000 | | | | 296,050 | |
7.55%, 04/01/39 | | | | | | | 85,000 | | | | 134,099 | |
State of Illinois, General Obligation | | | | | | | | | | | | |
5.10%, 06/01/33 | | | | | | | 315,000 | | | | 315,028 | |
6.63%, 02/01/35 | | | | | | | 45,000 | | | | 50,017 | |
7.35%, 07/01/35 | | | | | | | 465,000 | | | | 538,456 | |
Utah State Board of Regents Series 2016-1 A | | | | | | | | | | | | |
(Floating, Oid, ICE LIBOR USD 1M + 0.75%), 0.00%, 09/25/56† | | | | | | | 1,627,923 | | | | 1,628,134 | |
| | | | | | | | | | | | |
Total Municipal Bonds
(Cost $9,617,528) | | | | | | | | | | | 10,102,781 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | |
| | | Number of
Contracts | | | Notional
Amount | | | | |
PURCHASED OPTIONS — 0.1% | | | | | | | | | |
Call Options — 0.0% | | | | | | | | | |
10-Year U.S. Treasury Note, Strike Price $124.00, Expires 01/26/18 (GSC) | | | 60 | | | $ | 7,442,820 | | | | 28,125 | |
10-Year U.S. Treasury Note, Strike Price $124.20, Expires 01/26/18 (GSC) | | | 25 | | | | 3,101,175 | | | | 8,984 | |
| | | | | | | | | | | | |
| | | Number of
Contracts | | | Notional
Amount | | | Value | |
5-Year U.S. Treasury Note, Strike Price $116.50, Expires 01/26/18 (GSC) | | | 122 | | | $ | 14,172,008 | | | $ | 15,250 | |
5-Year U.S. Treasury Note, Strike Price $116.70, Expires 01/26/18 (GSC) | | | 98 | | | | 11,384,072 | | | | 6,891 | |
Euro Dollars, Strike Price $98.50, Expires 01/12/18 (GSC) | | | 57 | | | | 13,999,200 | | | | 356 | |
Long U.S. Treasury Bond, Strike Price $151.00, Expires 01/26/18 (GSC) | | | 20 | | | | 3,060,000 | | | | 50,313 | |
Long U.S. Treasury Bond, Strike Price $154.00, Expires 01/26/18 (GSC) | | | 40 | | | | 6,120,000 | | | | 32,500 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 142,419 | |
| | | | | | | | | | | | |
Call Swaptions — 0.0% | | | | | | | | | | | | |
Pay 2-year Treasury (Quarterly); Receive 2.00% (Semiannually): Interest Rate Swap Maturing 12/21/2018 USD, Strike Price $2.00, Expires 12/19/18 (GSC) | | | 1 | | | | 60,000,000 | | | | 97,140 | |
Pay 3-Month LIBOR (Quarterly); Receive 1.65% (Semiannually): Interest Rate Swap Maturing 11/19/2020 USD, Strike Price $1.65, Expires 11/15/18 (MSCS) | | | 1 | | | | 22,800,000 | | | | 8,962 | |
Pay 3-Month LIBOR (Quarterly); Receive 1.85% (Semiannually): Interest Rate Swap Maturing 11/30/2018 USD, Strike Price $1.85, Expires 11/30/18 (CS) | | | 1 | | | | 57,100,000 | | | | 74,141 | |
| | | | |
| | See Notes to Financial Statements. | | 131 |
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Number of
Contracts | | | Notional
Amount | | | Value | |
Pay 3-Month LIBOR (Quarterly); Receive 2.54% (Semiannually): Interest Rate Swap Maturing 3/23/2048 USD, Strike Price $2.54, Expires 03/21/18 (MSCS) | | | 1 | | | $ | 500,000 | | | $ | 11,089 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 191,332 | |
| | | | | | | | | | | | |
Put Options — 0.0% | |
10-Year U.S. Treasury Note, Strike Price $114.00, Expires 02/23/18 (MSCS) | | | 256 | | | | 31,756,032 | | | | — | |
10-Year U.S. Treasury Note, Strike Price $114.50, Expires 02/23/18 (MSCS) | | | 4 | | | | 496,188 | | | | — | |
10-Year U.S. Treasury Note, Strike Price $123.00, Expires 01/26/18 (GSC) | | | 60 | | | | 7,442,820 | | | | 7,500 | |
10-Year U.S. Treasury Note, Strike Price $124.00, Expires 01/26/18 (GSC) | | | 40 | | | | 4,961,880 | | | | 16,875 | |
5-Year U.S. Treasury Note, Strike Price $115.50, Expires 01/26/18 (GSC) | | | 60 | | | | 6,969,840 | | | | 2,813 | |
Euro Dollars, Strike Price $97.75, Expires 01/12/18 (GSC) | | | 3 | | | | 733,463 | | | | 113 | |
Euro Dollars, Strike Price $97.75, Expires 03/16/18 (GSC) | | | 121 | | | | 29,582,987 | | | | 18,906 | |
Euro Dollars, Strike Price $97.87, Expires 02/16/18 (GSC) | | | 81 | | | | 19,803,487 | | | | 23,287 | |
Euro Dollars, Strike Price $98.00, Expires 06/15/18 (GSC) | | | 34 | | | | 8,312,575 | | | | 26,137 | |
Euro Dollars, Strike Price $98.25, Expires 03/19/18 (GSC) | | | 46 | | | | 11,297,600 | | | | 6,037 | |
Euro Dollars, Strike Price $98.25, Expires 03/19/18 (MSCS) | | | 587 | | | | 144,167,200 | | | | 77,044 | |
Euro-Bund, Strike Price $16,200.00, Expires 01/26/18 (GSC) | | | 19 | | | | 4,727,422 | | | | 19,834 | |
| | | | | | | | | | | | |
| | | Number of
Contracts | | | Notional
Amount | | | Value | |
Long U.S. Treasury Bond, Strike Price $151.00, Expires 01/26/18 (GSC) | | | 49 | | | $ | 7,497,000 | | | $ | 25,266 | |
Long U.S. Treasury Bond, Strike Price $152.00, Expires 01/26/18 (GSC) | | | 27 | | | | 4,131,000 | | | | 22,359 | |
Long U.S. Treasury Bond, Strike Price $153.00, Expires 01/26/18 (GSC) | | | 201 | | | | 30,753,000 | | | | 254,391 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 500,562 | |
| | | | | | | | | | | | |
Put Swaptions — 0.1% | |
Pay 2.30% (Semiannually); Receive 3-Month LIBOR (Quarterly): Interest Rate Swap Maturing 10/23/2049 USD, Strike Price $2.30, Expires 10/21/19 (GSC) | | | 1 | | | | 7,700,000 | | | | 770,438 | |
Pay 2.50% (Semiannually); Receive 3-Month LIBOR (Quarterly): Interest Rate Swap Maturing 11/12/2049 USD, Strike Price $2.50, Expires 11/07/19 (DEUT) | | | 1 | | | | 3,100,000 | | | | 234,970 | |
Pay 2.54% (Semiannually); Receive 3-Month LIBOR (Quarterly): Interest Rate Swap Maturing 3/23/2048 USD, Strike Price $2.54, Expires 03/21/18 (MSCS) | | | 1 | | | | 500,000 | | | | 11,945 | |
Pay 2.91% (Semiannually); Receive 3-Month LIBOR (Quarterly): Interest Rate Swap Maturing 8/22/2048 USD, Strike Price $2.91, Expires 08/20/18 (MSCS) | | | 1 | | | | 1,100,000 | | | | 15,509 | |
| | | | |
| 132 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | Number of
Contracts | | | Notional
Amount | | | Value | |
Pay 2.91% (Semiannually); Receive 3-Month LIBOR (Quarterly): Interest Rate Swap Maturing 8/22/2048 USD, Strike Price $2.91, Expires 08/20/18 (MSCS) | | | 1 | | | $ | 500,000 | | | $ | 7,050 | |
Pay 2.94% (Semiannually); Receive 3-Month LIBOR (Quarterly): Interest Rate Swap Maturing 8/22/2048 USD, Strike Price $2.94, Expires 08/20/18 (GSC) | | | 1 | | | | 500,000 | | | | 6,287 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,046,199 | |
| | | | | | | | | | | | |
Total Purchased Options
(Cost $2,162,600) | | | | | | | | | | | 1,880,512 | |
| | | | | | | | | | | | |
| | | |
| | | | | | Par | | | | |
U.S. TREASURY OBLIGATIONS — 32.4% | |
U.S. Treasury Bill | | | | | | | | | | | | |
1.40%, 05/24/18W | | | | | | $ | 15,350,000 | | | | 15,262,735 | |
| | | | | | | | | | | | |
U.S. Treasury Bonds | | | | | | | | | | | | |
4.25%, 05/15/39 | | | | | | | 5,300,000 | | | | 6,700,771 | |
4.38%, 11/15/39 | | | | | | | 200,000 | | | | 257,402 | |
2.75%, 08/15/42 | | | | | | | 600,000 | | | | 604,348 | |
2.75%, 11/15/42 | | | | | | | 1,080,000 | | | | 1,087,193 | |
3.13%, 02/15/43 | | | | | | | 650,000 | | | | 698,484 | |
2.88%, 05/15/43 | | | | | | | 800,000 | | | | 822,797 | |
3.75%, 11/15/43 | | | | | | | 41,550,000 | | | | 49,517,524 | |
3.63%, 02/15/44‡‡ | | | | | | | 1,000,000 | | | | 1,169,101 | |
3.13%, 08/15/44 | | | | | | | 760,000 | | | | 817,030 | |
3.00%, 11/15/44 | | | | | | | 3,800,000 | | | | 3,992,227 | |
2.50%, 02/15/45 | | | | | | | 1,450,000 | | | | 1,382,654 | |
3.00%, 05/15/45 | | | | | | | 690,000 | | | | 724,796 | |
2.88%, 08/15/45 | | | | | | | 360,000 | | | | 369,295 | |
3.00%, 11/15/45 | | | | | | | 2,400,000 | | | | 2,521,031 | |
2.88%, 11/15/46‡‡ | | | | | | | 16,470,000 | | | | 16,898,796 | |
3.00%, 02/15/47 | | | | | | | 6,430,000 | | | | 6,763,682 | |
3.00%, 05/15/47 | | | | | | | 13,210,000 | | | | 13,891,398 | |
2.75%, 08/15/47 | | | | | | | 8,040,000 | | | | 8,051,779 | |
2.75%, 11/15/47D | | | | | | | 4,920,000 | | | | 4,928,841 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 121,199,149 | |
| | | | | | | | | | | | |
U.S. Treasury Inflationary Index Bonds | | | | | | | | | | | | |
0.13%, 04/15/22 | | | | | | | 7,850,000 | | | | 7,907,622 | |
0.13%, 07/15/22 | | | | | | | 700,000 | | | | 750,022 | |
0.63%, 01/15/24 | | | | | | | 1,350,000 | | | | 1,452,555 | |
0.13%, 07/15/24 | | | | | | | 6,300,000 | | | | 6,469,712 | |
| | | | | | | | | | | | |
| | | | | | Par | | | Value | |
0.63%, 01/15/26‡‡ | | | | | | $ | 4,100,000 | | | $ | 4,326,039 | |
0.13%, 07/15/26 | | | | | | | 3,400,000 | | | | 3,419,950 | |
0.38%, 01/15/27 | | | | | | | 300,000 | | | | 304,253 | |
2.38%, 01/15/27‡‡ | | | | | | | 1,300,000 | | | | 1,860,971 | |
0.38%, 07/15/27 | | | | | | | 5,220,000 | | | | 5,237,361 | |
2.50%, 01/15/29 | | | | | | | 1,200,000 | | | | 1,673,371 | |
2.13%, 02/15/40 | | | | | | | 920,000 | | | | 1,367,508 | |
0.75%, 02/15/42 | | | | | | | 380,000 | | | | 419,361 | |
1.38%, 02/15/44 | | | | | | | 1,140,000 | | | | 1,394,447 | |
1.00%, 02/15/46 | | | | | | | 170,000 | | | | 189,244 | |
0.88%, 02/15/47 | | | | | | | 240,000 | | | | 255,075 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 37,027,491 | |
| | | | | | | | | | | | |
U.S. Treasury Notes 1.63%, 10/15/20 | | | | | | | 11,000,000 | | | | 10,903,750 | |
1.13%, 06/30/21 | | | | | | | 11,280,000 | | | | 10,925,740 | |
1.13%, 07/31/21 | | | | | | | 3,430,000 | | | | 3,317,453 | |
2.00%, 12/31/21‡‡ | | | | | | | 1,500,000 | | | | 1,492,588 | |
1.88%, 03/31/22‡‡ | | | | | | | 8,800,000 | | | | 8,701,858 | |
1.88%, 04/30/22 | | | | | | | 23,400,000 | | | | 23,123,494 | |
1.88%, 07/31/22 | | | | | | | 5,000,000 | | | | 4,932,910 | |
1.88%, 09/30/22 | | | | | | | 3,000,000 | | | | 2,956,933 | |
2.00%, 10/31/22D | | | | | | | 2,700,000 | | | | 2,676,850 | |
2.13%, 03/31/24 | | | | | | | 7,530,000 | | | | 7,454,259 | |
2.00%, 06/30/24 | | | | | | | 6,850,000 | | | | 6,719,956 | |
2.13%, 07/31/24 | | | | | | | 28,890,000 | | | | 28,551,453 | |
2.38%, 08/15/24 | | | | | | | 440,000 | | | | 441,478 | |
2.13%, 09/30/24 | | | | | | | 4,600,000 | | | | 4,542,859 | |
2.25%, 11/15/24 | | | | | | | 11,210,000 | | | | 11,154,169 | |
2.13%, 11/30/24 | | | | | | | 29,360,000 | | | | 28,978,658 | |
2.25%, 12/31/24 | | | | | | | 21,170,000 | | | | 21,058,360 | |
2.00%, 02/15/25 | | | | | | | 10,620,000 | | | | 10,383,333 | |
2.25%, 11/15/25 | | | | | | | 180,000 | | | | 178,450 | |
2.00%, 11/15/26 | | | | | | | 14,000,000 | | | | 13,551,013 | |
2.25%, 02/15/27 | | | | | | | 7,718,000 | | | | 7,618,060 | |
2.38%, 05/15/27D | | | | | | | 10,970,000 | | | | 10,940,430 | |
2.25%, 08/15/27D | | | | | | | 59,800,000 | | | | 58,968,421 | |
2.25%, 11/15/27D | | | | | | | 560,000 | | | | 552,191 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 280,124,666 | |
| | | | | | | | | | | | |
U.S. Treasury Strips | | | | | | | | | | | | |
2.01%, 02/15/43W | | | | | | | 4,100,000 | | | | 2,060,092 | |
| | | | | | | | | | | | |
Total U.S. Treasury Obligations
(Cost $454,290,791) | | | | | | | | | | | 455,674,133 | |
| | | | | | | | | | | | |
| | | |
| | | | | | Shares | | | | |
PREFERRED STOCKS — 0.0% | |
Delphi Financial Group, Inc. | | | | | | | | | | | | |
(Variable, ICE LIBOR USD 3M + 3.19%), 4.61%, 05/15/37† | | | | | | | 12,432 | | | | 274,281 | |
GMAC Capital Trust I | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 5.79%), 7.20%, 02/15/40† | | | | | | | 6,979 | | | | 181,105 | |
| | | | | | | | | | | | |
Total Preferred Stocks
(Cost $425,434) | | | | | | | | | | | 455,386 | |
| | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 133 |
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | | | | | | | | | | | |
| | | | | | Shares | | | Value | |
MONEY MARKET FUNDS — 8.2% | |
GuideStone Money Market Fund (Investor Class)¥ | | | | | | | 96,106,753 | | | $ | 96,106,753 | |
Northern Institutional Liquid Assets Portfolio§ | | | | | | | 10,659,942 | | | | 10,659,942 | |
Northern Institutional U.S. Government Portfolio | | | | | | | 8,323,926 | | | | 8,323,926 | |
| | | | | | | | | | | | |
Total Money
Market Funds
(Cost $115,090,621) | | | | | | | | | | | 115,090,621 | |
| | | | | | | | | | | | |
| | | |
| | | | | | Par | | | | |
REPURCHASE AGREEMENTS — 12.5% | |
Merrill Lynch Pierce Fenner & Smith 1.50% (dated 01/02/18, due 01/03/18, repurchase price $87,900,000, collateralized by U.S. Treasury Bond, 3.750%, due 11/15/43, total market value $89,648,766) | | | | | | $ | 87,900,000 | | | | 87,900,000 | |
1.67% (dated 12/29/17, due 01/02/18, repurchase price $88,200,000, collateralized by U.S. Treasury Bond, 3.625%, due 02/15/44, total market value $89,039,939) | | | | | | | 88,200,000 | | | | 88,200,000 | |
| | | | | | | | | | | | |
Total Repurchase Agreements
(Cost $176,100,000) | | | | | | | | | | | 176,100,000 | |
| | | | | | | | | | | | |
TOTAL INVESTMENTS — 123.3%
(Cost $1,726,561,652) | | | | | | | | | | | 1,736,205,742 | |
| | | | | | | | | | | | |
| | | |
| | | Number of
Contracts | | | Notional
Amount | | | | |
WRITTEN OPTIONS — (0.1)% | |
Call Options — (0.0)% | |
10-Year U.S. Treasury Note, Strike Price $125.50, Expires 01/26/18 (GSC) | | | (60 | ) | | $ | (7,442,820 | ) | | | (4,688 | ) |
10-Year U.S. Treasury Note, Strike Price $126.00, Expires 02/23/18 (GSC) | | | (50 | ) | | | (6,202,350 | ) | | | (7,031 | ) |
10-Year U.S. Treasury Note, Strike Price $126.50, Expires 01/26/18 (GSC) | | | (27 | ) | | | (3,349,269 | ) | | | (844 | ) |
10-Year U.S. Treasury Note, Strike Price $126.50, Expires 02/23/18 (GSC) | | | (52 | ) | | | (6,450,444 | ) | | | (4,875 | ) |
5-Year U.S. Treasury Note, Strike Price $117.70, Expires 02/23/18 (GSC) | | | (118 | ) | | | (13,707,352 | ) | | | (5,531 | ) |
5-Year U.S. Treasury Note, Strike Price $118.50, Expires 02/23/18 (GSC) | | | (51 | ) | | | (5,924,364 | ) | | | (1,195 | ) |
Long U.S. Treasury Bond, Strike Price $153.00, Expires 01/26/18 (GSC) | | | (40 | ) | | | (6,120,000 | ) | | | (50,625 | ) |
| | | | | | | | | | | | |
| | | Number of
Contracts | | | Notional
Amount | | | Value | |
Long U.S. Treasury Bond, Strike Price $158.00, Expires 02/23/18 (GSC) | | | (28 | ) | | $ | (4,284,000 | ) | | $ | (10,500 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (85,289 | ) |
| | | | | | | | | | | | |
Call Swaptions — (0.0)% | |
Pay 10-year Treasury (Quarterly); Receive 2.19% (Semiannually): Interest Rate Swap Maturing 12/21/2018 USD, Strike Price $2.19, Expires 12/19/18 (GSC) | | | 1 | | | | (12,630,000 | ) | | | (131,461 | ) |
Pay 3-Month LIBOR (Quarterly); Receive 2.00% (Semiannually): Interest Rate Swap Maturing 11/19/2028 USD, Strike Price $2.00, Expires 11/15/18 (MSCS) | | | 1 | | | | (4,900,000 | ) | | | (27,227 | ) |
Pay 3-Month LIBOR (Quarterly); Receive 2.19% (Semiannually): Interest Rate Swap Maturing 11/30/2018 USD, Strike Price $2.19, Expires 11/30/18 (CS) | | | 1 | | | | (22,200,000 | ) | | | (91,958 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (250,646 | ) |
| | | | | | | | | | | | |
Put Options — (0.0)% | |
10-Year U.S. Treasury Note, Strike Price $122.00, Expires 02/23/18 (GSC) | | | (52 | ) | | | (6,450,444 | ) | | | (6,500 | ) |
10-Year U.S. Treasury Note, Strike Price $122.50, Expires 01/26/18 (GSC) | | | (27 | ) | | | (3,349,269 | ) | | | (1,688 | ) |
5-Year U.S. Treasury Note, Strike Price $115.50, Expires 02/23/18 (GSC) | | | (51 | ) | | | (5,924,364 | ) | | | (7,172 | ) |
5-Year U.S. Treasury Note, Strike Price $115.75, Expires 01/26/18 (GSC) | | | (52 | ) | | | (6,040,528 | ) | | | (4,875 | ) |
5-Year U.S. Treasury Note, Strike Price $116.00, Expires 01/26/18 (GSC) | | | (30 | ) | | | (3,484,920 | ) | | | (5,391 | ) |
Euro Dollars, Strike Price $97.75, Expires 02/16/18 (GSC) | | | (81 | ) | | | (19,803,487 | ) | | | (9,113 | ) |
| | | | |
| 134 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | Number of
Contracts | | | Notional
Amount | | | Value | |
Euro-Bund, Strike Price $16,050.00, Expires 01/26/18 (GSC) | | | (14 | ) | | $ | (3,483,364 | ) | | $ | (5,039 | ) |
Long U.S. Treasury Bond, Strike Price $148.00, Expires 01/26/18 (GSC) | | | (11 | ) | | | (1,683,000 | ) | | | (1,031 | ) |
Long U.S. Treasury Bond, Strike Price $149.00, Expires 01/26/18 (GSC) | | | (30 | ) | | | (4,590,000 | ) | | | (5,156 | ) |
South African Rand vs. U.S. Dollar, Strike Price $12.25, Expires 06/20/18 (GSC) | | | 1 | | | | (1,800,000 | ) | | | (41,136 | ) |
South African Rand vs. U.S. Dollar, Strike Price $12.25, Expires 06/26/18 (UBS) | | | 1 | | | | (3,000,000 | ) | | | (69,354 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (156,455 | ) |
| | | | | | | | | | | | |
Put Swaptions — (0.1)% | | | | | |
Pay 2.00% (Semiannually); Receive 3-Month LIBOR (Quarterly): Interest Rate Swap Maturing 10/23/2024 USD, Strike Price $2.00, Expires 10/21/19 (GSC) | | | 1 | | | | (38,500,000 | ) | | | (993,519 | ) |
Pay 2.25% (Semiannually); Receive 3-Month LIBOR (Quarterly): Interest Rate Swap Maturing 11/12/2024 USD, Strike Price $2.25, Expires 11/07/19 (DEUT) | | | 1 | | | | (15,500,000 | ) | | | (293,080 | ) |
Pay 2.80% (Semiannually); Receive 3-Month LIBOR (Quarterly): Interest Rate Swap Maturing 8/22/2023 USD, Strike Price $2.80, Expires 08/20/18 (MSCS) | | | 1 | | | | (4,900,000 | ) | | | (8,819 | ) |
| | | | | | | | | | | | |
| | | Number of
Contracts | | | Notional
Amount | | | Value | |
Pay 2.80% (Semiannually); Receive 3-Month LIBOR (Quarterly): Interest Rate Swap Maturing 8/22/2023 USD, Strike Price $2.80, Expires 08/20/18 (MSCS) | | | 1 | | | $ | (2,200,000 | ) | | $ | (3,959 | ) |
Pay 2.80% (Semiannually); Receive 3-Month LIBOR (Quarterly): Interest Rate Swap Maturing 8/22/2023 USD, Strike Price $2.80, Expires 08/20/18 (GSC) | | | 1 | | | | (2,300,000 | ) | | | (4,139 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (1,303,516 | ) |
| | | | | | | | | | | | |
Total Written Options | | | | | |
(Premiums
received $(1,778,749)) | | | | (1,795,906 | ) |
| | | | | | | | | | | | |
| | | |
| | | | | | Par | | | | |
TBA SALE COMMITMENTS — (0.3)% | |
Government National Mortgage Association 3.00%, 01/18/47 TBA | | | | | | $ | (1,000,000 | ) | | | (1,007,745 | ) |
Federal Home Loan Mortgage Corporation 3.50%, 01/08/47 TBA | | | | | | | (3,082,500 | ) | | | (3,081,016 | ) |
| | | | | | | | | | | | |
Total TBA
Sale Commitments
(Proceeds $(4,091,562)) | | | | (4,088,761 | ) |
| | | | | | | | | | | | |
Liabilities in
Excess of Other
Assets — (22.9)% | | | | (322,361,399 | ) |
| | | | | | | | | | | | |
NET ASSETS — 100.0% | | | $ | 1,407,959,676 | |
| | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 135 |
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Futures Contracts outstanding at December 31, 2017:
| | | | | | | | | | | | | | | | | | | | |
Future Type | | Expiration Date | | | Open Long
(Short) Contracts | | | Notional Market
Value of
Contracts | | | Counter-
party | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Euro-BTP | | | 03/2018 | | | | 42 | | | $ | 6,860,598 | | | | GSC | | | $ | (113,488 | ) |
Euro-Bund | | | 03/2018 | | | | (189 | ) | | | (36,664,441 | ) | | | GSC | | | | 205,341 | |
Euro-Bund | | | 03/2018 | | | | (69 | ) | | | (13,385,431 | ) | | | MSCS | | | | 142,909 | |
Euro-OAT | �� | | 03/2018 | | | | (39 | ) | | | (7,261,516 | ) | | | MSCS | | | | 74,330 | |
10-Year Japanese Treasury Bond | | | 03/2018 | | | | (9 | ) | | | (12,043,665 | ) | | | GSC | | | | 5,429 | |
3-Year Australian Treasury Bond | | | 03/2018 | | | | 4 | | | | 346,733 | | | | GSC | | | | 4 | |
90-day Eurodollar | | | 03/2018 | | | | (415 | ) | | | (101,924,000 | ) | | | GSC | | | | 154,175 | |
90-day Eurodollar | | | 03/2018 | | | | 1,127 | | | | 276,791,200 | | | | MSCS | | | | 6,369 | |
10-Year U.S. Treasury Note | | | 03/2018 | | | | (575 | ) | | | (71,326,953 | ) | | | GSC | | | | 215,181 | |
10-Year U.S. Treasury Note | | | 03/2018 | | | | 68 | | | | 8,435,187 | | | | GSC | | | | 22,604 | |
10-Year U.S. Treasury Note | | | 03/2018 | | | | 393 | | | | 48,750,422 | | | | MSCS | | | | (266,984 | ) |
10-Year U.S. Ultra Note | | | 03/2018 | | | | 218 | | | | 36,549,063 | | | | GSC | | | | 355,188 | |
10-Year U.S. Ultra Note | | | 03/2018 | | | | 214 | | | | 35,878,438 | | | | MSCS | | | | 241,639 | |
10-Year U.S. Ultra Note | | | 03/2018 | | | | 24 | | | | 3,205,500 | | | | GSC | | | | 19,500 | |
10-Year U.S. Ultra Note | | | 03/2018 | | | | 5 | | | | 838,281 | | | | GSC | | | | 6,553 | |
10-Year U.S. Ultra Note | | | 03/2018 | | | | 1 | | | | 133,563 | | | | GSC | | | | (766 | ) |
30-Year U.S. Treasury Note | | | 03/2018 | | | | 60 | | | | 9,180,000 | | | | MSCS | | | | 625 | |
30-Year U.S. Treasury Note | | | 03/2018 | | | | 117 | | | | 17,901,000 | | | | GSC | | | | (4,110 | ) |
30-Year U.S. Treasury Note | | | 03/2018 | | | | (191 | ) | | | (29,223,000 | ) | | | GSC | | | | (18,188 | ) |
2-Year U.S. Treasury Note | | | 03/2018 | | | | 74 | | | | 15,844,094 | | | | GSC | | | | (31,266 | ) |
2-Year U.S. Treasury Note | | | 03/2018 | | | | 84 | | | | 17,985,187 | | | | GSC | | | | (37,898 | ) |
5-Year U.S. Treasury Note | | | 03/2018 | | | | 92 | | | | 10,687,094 | | | | GSC | | | | 6,929 | |
5-Year U.S. Treasury Note | | | 03/2018 | | | | 996 | | | | 115,699,407 | | | | MSCS | | | | (637,757 | ) |
5-Year U.S. Treasury Note | | | 03/2018 | | | | 1,545 | | | | 179,473,477 | | | | GSC | | | | (735,562 | ) |
Euro | | | 03/2018 | | | | (8 | ) | | | (1,207,550 | ) | | | GSC | | | | (22,800 | ) |
90-day Eurodollar | | | 06/2018 | | | | (246 | ) | | | (60,316,125 | ) | | | GSC | | | | 63,525 | |
90-day Eurodollar | | | 06/2018 | | | | (72 | ) | | | (17,653,500 | ) | | | MSCS | | | | 36,900 | |
90-day Eurodollar | | | 09/2018 | | | | (32 | ) | | | (7,836,800 | ) | | | GSC | | | | 33,600 | |
90-day Eurodollar | | | 12/2018 | | | | (128 | ) | | | (31,313,600 | ) | | | GSC | | | | 35,200 | |
90-day Eurodollar | | | 03/2019 | | | | (267 | ) | | | (65,278,163 | ) | | | MSCS | | | | 127,237 | |
90-day Eurodollar | | | 06/2019 | | | | (575 | ) | | | (140,501,250 | ) | | | MSCS | | | | 276,150 | |
90-day Eurodollar | | | 09/2019 | | | | (480 | ) | | | (117,246,000 | ) | | | MSCS | | | | (10,145 | ) |
2-Year Midcurve Eurodollar | | | 12/2019 | | | | (703 | ) | | | (171,655,025 | ) | | | MSCS | | | | 47,013 | |
2-Year Midcurve Eurodollar | | | 12/2019 | | | | (85 | ) | | | (20,754,875 | ) | | | GSC | | | | (18,087 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Futures Contracts outstanding at December 31, 2017 | | | $ | (121,032,650 | ) | | | | | | $ | 179,350 | |
| | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts outstanding at December 31, 2017:
| | | | | | | | | | | | | | | | | | |
Expiration Date | | Currency Purchased | | Amount of
Currency
Purchased | | | Currency Sold | | Amount of
Currency Sold | | | Counter-
party | | Net
Unrealized
Appreciation
(Depreciation) | |
| 01/19/18 | | Indian Rupees | | | 194,220,000 | | | U.S. Dollars | | | 2,946,075 | | | BAR | | $ | 92,070 | |
| 12/17/18 | | U.S. Dollars | | | 8,859,257 | | | Japanese Yen | | | 970,000,000 | | | BNP | | | 57,349 | |
| 01/18/18 | | South African Rand | | | 6,499,412 | | | U.S. Dollars | | | 471,988 | | | RBC | | | 51,749 | |
| 03/21/18 | | New Zealand Dollars | | | 2,648,205 | | | U.S. Dollars | | | 1,825,103 | | | WEST | | | 49,800 | |
| 01/19/18 | | U.S. Dollars | | | 6,103,655 | | | Japanese Yen | | | 681,934,523 | | | CITI | | | 45,621 | |
| 03/07/18 | | Russian Rubles | | | 107,291,838 | | | U.S. Dollars | | | 1,805,500 | | | DEUT | | | 36,168 | |
| 03/07/18 | | Russian Rubles | | | 107,246,700 | | | U.S. Dollars | | | 1,805,500 | | | GSC | | | 35,393 | |
| 03/21/18 | | Swedish Kronor | | | 21,274,358 | | | Euro | | | 2,132,730 | | | JPM | | | 34,790 | |
| 01/26/18 | | U.S. Dollars | | | 579,472 | | | Mexican Pesos | | | 10,820,482 | | | RBC | | | 32,078 | |
| | | | |
| 136 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | | | |
Expiration Date | | Currency Purchased | | Amount of
Currency
Purchased | | | Currency Sold | | Amount of
Currency Sold | | | Counter-
party | | Net
Unrealized
Appreciation
(Depreciation) | |
| 02/02/18 | | U.S. Dollars | | | 719,894 | | | Brazilian Reals | | | 2,338,000 | | | DEUT | | $ | 17,874 | |
| 01/19/18 | | Indonesian Rupiahs | | | 22,179,120,000 | | | U.S. Dollars | | | 1,620,807 | | | BAR | | | 15,103 | |
| 03/21/18 | | Australian Dollars | | | 727,888 | | | U.S. Dollars | | | 552,933 | | | WEST | | | 14,910 | |
| 02/15/18 | | U.S. Dollars | | | 4,171,494 | | | Japanese Yen | | | 467,400,000 | | | HSBC | | | 13,982 | |
| 01/19/18 | | Euro | | | 1,080,000 | | | U.S. Dollars | | | 1,284,604 | | | CITI | | | 12,794 | |
| 01/10/18 | | Euro | | | 1,327,000 | | | U.S. Dollars | | | 1,582,578 | | | UBS | | | 10,632 | |
| 02/26/18 | | U.S. Dollars | | | 19,143,766 | | | Japanese Yen | | | 2,150,000,000 | | | DEUT | | | 10,043 | |
| 02/15/18 | | Japanese Yen | | | 463,000,000 | | | U.S. Dollars | | | 4,108,361 | | | HSBC | | | 10,012 | |
| 03/21/18 | | Swedish Kronor | | | 11,454,977 | | | Euro | | | 1,156,519 | | | BOA | | | 8,881 | |
| 01/19/18 | | Japanese Yen | | | 126,740,000 | | | U.S. Dollars | | | 1,118,037 | | | CITI | | | 7,871 | |
| 01/19/18 | | Japanese Yen | | | 413,950,000 | | | U.S. Dollars | | | 3,669,594 | | | CITI | | | 7,773 | |
| 12/17/18 | | Japanese Yen | | | 970,000,000 | | | U.S. Dollars | | | 8,794,437 | | | GSC | | | 7,470 | |
| 01/19/18 | | Euro | | | 500,000 | | | U.S. Dollars | | | 593,365 | | | CITI | | | 7,282 | |
| 03/21/18 | | New Zealand Dollars | | | 378,184 | | | U.S. Dollars | | | 261,675 | | | SS | | | 6,076 | |
| 03/21/18 | | New Zealand Dollars | | | 350,000 | | | U.S. Dollars | | | 241,951 | | | UBS | | | 5,845 | |
| 03/13/18 | | Indian Rupees | | | 9,281,163 | | | U.S. Dollars | | | 141,244 | | | HSBC | | | 3,176 | |
| 03/21/18 | | New Zealand Dollars | | | 114,000 | | | U.S. Dollars | | | 77,865 | | | BOA | | | 2,845 | |
| 03/21/18 | | Euro | | | 138,959 | | | U.S. Dollars | | | 164,906 | | | BOA | | | 2,636 | |
| 03/21/18 | | New Zealand Dollars | | | 231,000 | | | U.S. Dollars | | | 161,041 | | | BOA | | | 2,504 | |
| 03/22/18 | | U.S. Dollars | | | 317,000 | | | Japanese Yen | | | 35,319,823 | | | BOA | | | 2,212 | |
| 03/21/18 | | Australian Dollars | | | 106,000 | | | U.S. Dollars | | | 80,514 | | | RBC | | | 2,179 | |
| 03/21/18 | | Swedish Kronor | | | 2,014,087 | | | Euro | | | 203,000 | | | CITI | | | 1,979 | |
| 03/21/18 | | Australian Dollars | | | 100,000 | | | U.S. Dollars | | | 76,036 | | | RBC | | | 1,976 | |
| 03/22/18 | | Euro | | | 146,791 | | | Japanese Yen | | | 19,640,904 | | | DEUT | | | 1,948 | |
| 03/21/18 | | Canadian Dollars | | | 100,388 | | | U.S. Dollars | | | 78,000 | | | RBC | | | 1,947 | |
| 03/21/18 | | Canadian Dollars | | | 102,885 | | | U.S. Dollars | | | 80,000 | | | BOA | | | 1,936 | |
| 03/21/18 | | Swedish Kronor | | | 647,294 | | | U.S. Dollars | | | 77,363 | | | CITI | | | 1,934 | |
| 03/21/18 | | Canadian Dollars | | | 102,843 | | | U.S. Dollars | | | 80,000 | | | RBC | | | 1,903 | |
| 03/21/18 | | Canadian Dollars | | | 102,818 | | | U.S. Dollars | | | 80,000 | | | BOA | | | 1,882 | |
| 03/21/18 | | Australian Dollars | | | 76,375 | | | U.S. Dollars | | | 57,738 | | | CITI | | | 1,844 | |
| 01/19/18 | | Japanese Yen | | | 130,960,000 | | | U.S. Dollars | | | 1,161,611 | | | BAR | | | 1,786 | |
| 03/22/18 | | U.S. Dollars | | | 158,000 | | | Japanese Yen | | | 17,528,709 | | | SS | | | 1,775 | |
| 03/21/18 | | Canadian Dollars | | | 103,894 | | | U.S. Dollars | | | 80,969 | | | RBC | | | 1,770 | |
| 03/21/18 | | Canadian Dollars | | | 102,644 | | | U.S. Dollars | | | 80,000 | | | BOA | | | 1,744 | |
| 03/21/18 | | Canadian Dollars | | | 102,609 | | | U.S. Dollars | | | 80,000 | | | BOA | | | 1,716 | |
| 03/21/18 | | Canadian Dollars | | | 102,550 | | | U.S. Dollars | | | 80,000 | | | RBC | | | 1,669 | |
| 03/21/18 | | Canadian Dollars | | | 102,541 | | | U.S. Dollars | | | 80,000 | | | JPM | | | 1,661 | |
| 03/21/18 | | New Zealand Dollars | | | 116,000 | | | U.S. Dollars | | | 80,490 | | | SS | | | 1,637 | |
| 03/21/18 | | New Zealand Dollars | | | 87,144 | | | U.S. Dollars | | | 60,062 | | | UBS | | | 1,635 | |
| 03/21/18 | | Euro | | | 68,000 | | | British Pounds | | | 59,367 | | | BOA | | | 1,618 | |
| 03/21/18 | | British Pounds | | | 355,122 | | | U.S. Dollars | | | 479,213 | | | WEST | | | 1,542 | |
| 03/21/18 | | Euro | | | 68,000 | | | British Pounds | | | 59,430 | | | BOA | | | 1,533 | |
| 03/21/18 | | Canadian Dollars | | | 89,739 | | | U.S. Dollars | | | 69,965 | | | BOA | | | 1,501 | |
| 03/21/18 | | Canadian Dollars | | | 143,771 | | | U.S. Dollars | | | 113,000 | | | SS | | | 1,497 | |
| 03/21/18 | | Canadian Dollars | | | 85,990 | | | U.S. Dollars | | | 67,000 | | | UBS | | | 1,481 | |
| 03/21/18 | | Euro | | | 68,000 | | | British Pounds | | | 59,473 | | | JPM | | | 1,475 | |
| 03/21/18 | | British Pounds | | | 57,000 | | | U.S. Dollars | | | 75,703 | | | JPM | | | 1,462 | |
| 03/21/18 | | Canadian Dollars | | | 97,180 | | | U.S. Dollars | | | 76,000 | | | RBC | | | 1,393 | |
| 03/21/18 | | New Zealand Dollars | | | 79,176 | | | U.S. Dollars | | | 54,699 | | | SS | | | 1,357 | |
| 03/21/18 | | Swedish Kronor | | | 330,053 | | | U.S. Dollars | | | 39,083 | | | SS | | | 1,351 | |
| 03/21/18 | | New Zealand Dollars | | | 50,466 | | | U.S. Dollars | | | 34,490 | | | SS | | | 1,240 | |
| 03/21/18 | | Swedish Kronor | | | 652,536 | | | Euro | | | 65,300 | | | SS | | | 1,207 | |
| 03/21/18 | | Euro | | | 137,218 | | | British Pounds | | | 121,361 | | | DEUT | | | 1,148 | |
| 03/21/18 | | Swedish Kronor | | | 325,903 | | | U.S. Dollars | | | 38,780 | | | SS | | | 1,145 | |
| | | | |
| | See Notes to Financial Statements. | | 137 |
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | | | | | | | | | |
Expiration Date | | Currency Purchased | | Amount of
Currency
Purchased | | | Currency Sold | | Amount of
Currency
Sold | | | Counter-
party | | | Net
Unrealized
Appreciation
(Depreciation) | |
03/21/18 | | Canadian Dollars | | | 101,878 | | | U.S. Dollars | | | 80,000 | | | | RBC | | | $ | 1,134 | |
03/22/18 | | U.S. Dollars | | | 188,293 | | | Japanese Yen | | | 21,000,110 | | | | SS | | | | 1,129 | |
03/21/18 | | Euro | | | 68,000 | | | U.S. Dollars | | | 80,862 | | | | UBS | | | | 1,126 | |
03/22/18 | | U.S. Dollars | | | 168,540 | | | Japanese Yen | | | 18,784,201 | | | | SS | | | | 1,126 | |
03/21/18 | | Euro | | | 68,912 | | | U.S. Dollars | | | 82,006 | | | | WEST | | | | 1,082 | |
03/21/18 | | Euro | | | 67,000 | | | British Pounds | | | 58,873 | | | | BOA | | | | 1,081 | |
03/21/18 | | New Zealand Dollars | | | 115,000 | | | U.S. Dollars | | | 80,374 | | | | BOA | | | | 1,045 | |
03/22/18 | | Euro | | | 67,892 | | | Japanese Yen | | | 9,068,982 | | | | UBS | | | | 1,035 | |
03/21/18 | | New Zealand Dollars | | | 118,655 | | | U.S. Dollars | | | 82,982 | | | | DEUT | | | | 1,025 | |
03/21/18 | | Australian Dollars | | | 41,460 | | | U.S. Dollars | | | 31,355 | | | | BOA | | | | 989 | |
03/22/18 | | U.S. Dollars | | | 76,000 | | | Japanese Yen | | | 8,417,760 | | | | CITI | | | | 977 | |
03/22/18 | | Japanese Yen | | | 18,050,560 | | | U.S. Dollars | | | 160,000 | | | | DEUT | | | | 876 | |
03/21/18 | | Euro | | | 68,026 | | | U.S. Dollars | | | 81,152 | | | | BOA | | | | 867 | |
03/21/18 | | Euro | | | 66,000 | | | British Pounds | | | 58,143 | | | | RBC | | | | 864 | |
03/21/18 | | Canadian Dollars | | | 53,401 | | | U.S. Dollars | | | 41,663 | | | | BOA | | | | 864 | |
03/21/18 | | Euro | | | 68,004 | | | U.S. Dollars | | | 81,137 | | | | UBS | | | | 855 | |
03/21/18 | | Swedish Kronor | | | 676,229 | | | Euro | | | 68,000 | | | | SS | | | | 854 | |
03/21/18 | | Euro | | | 66,000 | | | British Pounds | | | 58,159 | | | | RBC | | | | 842 | |
03/21/18 | | British Pounds | | | 46,000 | | | U.S. Dollars | | | 61,432 | | | | SS | | | | 842 | |
03/21/18 | | Swedish Kronor | | | 349,350 | | | U.S. Dollars | | | 41,968 | | | | SS | | | | 830 | |
03/21/18 | | Euro | | | 70,396 | | | U.S. Dollars | | | 84,051 | | | | UBS | | | | 825 | |
03/21/18 | | Euro | | | 68,528 | | | British Pounds | | | 60,438 | | | | CITI | | | | 804 | |
03/21/18 | | Euro | | | 67,000 | | | U.S. Dollars | | | 79,981 | | | | BOA | | | | 801 | |
03/21/18 | | Australian Dollars | | | 40,000 | | | U.S. Dollars | | | 30,428 | | | | SS | | | | 776 | |
03/21/18 | | Euro | | | 134,705 | | | Swiss Francs | | | 156,598 | | | | SS | | | | 770 | |
03/21/18 | | Canadian Dollars | | | 38,608 | | | U.S. Dollars | | | 30,000 | | | | SS | | | | 747 | |
03/21/18 | | Canadian Dollars | | | 54,415 | | | U.S. Dollars | | | 42,604 | | | | SS | | | | 732 | |
03/21/18 | | Euro | | | 68,000 | | | British Pounds | | | 60,025 | | | | UBS | | | | 727 | |
03/21/18 | | Canadian Dollars | | | 43,189 | | | U.S. Dollars | | | 33,713 | | | | SS | | | | 682 | |
03/21/18 | | Canadian Dollars | | | 43,830 | | | U.S. Dollars | | | 34,242 | | | | UBS | | | | 664 | |
03/21/18 | | Euro | | | 68,000 | | | British Pounds | | | 60,079 | | | | JPM | | | | 653 | |
03/21/18 | | Canadian Dollars | | | 41,528 | | | U.S. Dollars | | | 32,439 | | | | BOA | | | | 633 | |
03/21/18 | | Euro | | | 67,784 | | | British Pounds | | | 59,911 | | | | BOA | | | | 621 | |
03/22/18 | | Japanese Yen | | | 18,021,712 | | | U.S. Dollars | | | 160,000 | | | | BOA | | | | 618 | |
03/21/18 | | Euro | | | 101,627 | | | Swiss Francs | | | 118,121 | | | | WEST | | | | 604 | |
03/22/18 | | Japanese Yen | | | 18,021,753 | | | U.S. Dollars | | | 160,017 | | | | SS | | | | 602 | |
03/22/18 | | U.S. Dollars | | | 240,000 | | | Japanese Yen | | | 26,862,096 | | | | BOA | | | | 592 | |
03/21/18 | | Norwegian Kroner | | | 370,937 | | | U.S. Dollars | | | 44,703 | | | | SS | | | | 576 | |
03/21/18 | | Euro | | | 66,000 | | | Swiss Francs | | | 76,536 | | | | UBS | | | | 574 | |
03/21/18 | | Euro | | | 66,000 | | | British Pounds | | | 58,363 | | | | BOA | | | | 566 | |
03/21/18 | | Australian Dollars | | | 200,000 | | | New Zealand Dollars | | | 219,578 | | | | BOA | | | | 565 | |
03/21/18 | | Swiss Francs | | | 37,465 | | | U.S. Dollars | | | 38,109 | | | | UBS | | | | 563 | |
03/21/18 | | Canadian Dollars | | | 65,995 | | | U.S. Dollars | | | 52,000 | | | | SS | | | | 557 | |
03/21/18 | | Norwegian Kroner | | | 1,347,701 | | | Euro | | | 136,000 | | | | BOA | | | | 535 | |
03/21/18 | | Euro | | | 70,275 | | | Swiss Francs | | | 81,587 | | | | BOA | | | | 515 | |
03/21/18 | | Norwegian Kroner | | | 1,347,529 | | | Euro | | | 136,000 | | | | SS | | | | 514 | |
03/21/18 | | Euro | | | 66,000 | | | British Pounds | | | 58,404 | | | | SS | | | | 510 | |
03/21/18 | | Euro | | | 66,000 | | | British Pounds | | | 58,406 | | | | BOA | | | | 508 | |
03/21/18 | | Euro | | | 66,000 | | | Swiss Francs | | | 76,603 | | | | UBS | | | | 505 | |
03/21/18 | | Norwegian Kroner | | | 601,533 | | | Euro | | | 60,508 | | | | BOA | | | | 473 | |
03/21/18 | | Norwegian Kroner | | | 442,337 | | | U.S. Dollars | | | 53,521 | | | | SS | | | | 473 | |
03/22/18 | | Japanese Yen | | | 8,852,051 | | | U.S. Dollars | | | 78,443 | | | | BOA | | | | 451 | |
03/22/18 | | Japanese Yen | | | 9,026,240 | | | U.S. Dollars | | | 80,000 | | | | SS | | | | 446 | |
03/21/18 | | Swiss Francs | | | 82,554 | | | Euro | | | 70,309 | | | | UBS | | | | 442 | |
| | | | |
| 138 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | | | | | |
Expiration Date | | Currency Purchased | | Amount of
Currency
Purchased | | | Currency Sold | | Amount of
Currency
Sold | | | Counter-
party | | | Net
Unrealized
Appreciation
(Depreciation) | |
03/21/18 | | Euro | | | 64,000 | | | British Pounds | | | 56,696 | | | | DEUT | | | $ | 411 | |
03/21/18 | | Swiss Francs | | | 155,746 | | | Euro | | | 133,000 | | | | JPM | | | | 407 | |
03/21/18 | | Euro | | | 69,111 | | | Swiss Francs | | | 80,343 | | | | SS | | | | 396 | |
03/22/18 | | Japanese Yen | | | 9,018,960 | | | U.S. Dollars | | | 80,000 | | | | BOA | | | | 381 | |
03/21/18 | | U.S. Dollars | | | 80,374 | | | New Zealand Dollars | | | 113,009 | | | | BOA | | | | 365 | |
03/22/18 | | U.S. Dollars | | | 30,531 | | | Japanese Yen | | | 3,386,926 | | | | SS | | | | 345 | |
03/21/18 | | Swedish Kronor | | | 425,991 | | | Euro | | | 43,000 | | | | SS | | | | 341 | |
03/21/18 | | Swiss Francs | | | 91,826 | | | Euro | | | 78,332 | | | | DEUT | | | | 340 | |
03/22/18 | | Japanese Yen | | | 9,016,889 | | | U.S. Dollars | | | 80,031 | | | | UBS | | | | 332 | |
03/21/18 | | Euro | | | 68,000 | | | Swiss Francs | | | 79,123 | | | | JPM | | | | 315 | |
03/21/18 | | Euro | | | 73,467 | | | Swiss Francs | | | 85,526 | | | | RBC | | | | 297 | |
03/21/18 | | Euro | | | 67,000 | | | Norwegian Kroner | | | 659,407 | | | | SS | | | | 290 | |
03/21/18 | | Norwegian Kroner | | | 683,083 | | | Euro | | | 68,924 | | | | BOA | | | | 280 | |
03/21/18 | | British Pounds | | | 28,566 | | | U.S. Dollars | | | 38,408 | | | | BOA | | | | 263 | |
03/21/18 | | British Pounds | | | 24,032 | | | U.S. Dollars | | | 32,272 | | | | CITI | | | | 262 | |
03/21/18 | | Norwegian Kroner | | | 289,159 | | | U.S. Dollars | | | 35,042 | | | | JPM | | | | 255 | |
03/22/18 | | U.S. Dollars | | | 79,000 | | | Japanese Yen | | | 8,837,026 | | | | BOA | | | | 240 | |
03/21/18 | | Norwegian Kroner | | | 651,526 | | | Euro | | | 65,768 | | | | RBC | | | | 234 | |
03/21/18 | | Norwegian Kroner | | | 673,223 | | | Euro | | | 68,000 | | | | RBC | | | | 191 | |
03/21/18 | | U.S. Dollars | | | 79,992 | | | Canadian Dollars | | | 100,209 | | | | CITI | | | | 187 | |
03/21/18 | | British Pounds | | | 28,116 | | | U.S. Dollars | | | 37,880 | | | | SS | | | | 183 | |
03/22/18 | | Japanese Yen | | | 8,328,967 | | | U.S. Dollars | | | 74,050 | | | | CITI | | | | 182 | |
03/21/18 | | British Pounds | | | 41,682 | | | U.S. Dollars | | | 56,250 | | | | SS | | | | 178 | |
03/21/18 | | U.S. Dollars | | | 62,673 | | | British Pounds | | | 46,164 | | | | SS | | | | 177 | |
03/21/18 | | Euro | | | 67,030 | | | Norwegian Kroner | | | 660,698 | | | | CITI | | | | 168 | |
03/21/18 | | U.S. Dollars | | | 80,151 | | | New Zealand Dollars | | | 112,989 | | | | CITI | | | | 156 | |
03/21/18 | | Euro | | | 13,825 | | | Norwegian Kroner | | | 135,374 | | | | SS | | | | 144 | |
03/21/18 | | Euro | | | 25,000 | | | U.S. Dollars | | | 30,004 | | | | SS | | | | 138 | |
03/22/18 | | Japanese Yen | | | 8,991,504 | | | U.S. Dollars | | | 80,000 | | | | JPM | | | | 137 | |
03/21/18 | | Norwegian Kroner | | | 652,996 | | | Euro | | | 66,000 | | | | RBC | | | | 133 | |
03/22/18 | | Japanese Yen | | | 8,989,862 | | | U.S. Dollars | | | 80,007 | | | | CITI | | | | 116 | |
03/21/18 | | U.S. Dollars | | | 88,129 | | | Australian Dollars | | | 112,837 | | | | BOA | | | | 102 | |
03/21/18 | | Euro | | | 24,952 | | | U.S. Dollars | | | 29,991 | | | | SS | | | | 93 | |
03/21/18 | | Australian Dollars | | | 32,000 | | | New Zealand Dollars | | | 35,132 | | | | UBS | | | | 91 | |
03/21/18 | | Euro | | | 67,000 | | | Swiss Francs | | | 78,180 | | | | SS | | | | 83 | |
03/21/18 | | U.S. Dollars | | | 80,762 | | | New Zealand Dollars | | | 113,961 | | | | SS | | | | 79 | |
03/21/18 | | Norwegian Kroner | | | 295,676 | | | Euro | | | 29,870 | | | | BOA | | | | 78 | |
03/22/18 | | Japanese Yen | | | 4,709,618 | | | U.S. Dollars | | | 41,899 | | | | JPM | | | | 75 | |
03/22/18 | | Japanese Yen | | | 8,872,284 | | | U.S. Dollars | | | 79,000 | | | | BOA | | | | 74 | |
03/21/18 | | Swiss Francs | | | 77,161 | | | Euro | | | 66,000 | | | | CITI | | | | 71 | |
03/22/18 | | Japanese Yen | | | 3,987,253 | | | U.S. Dollars | | | 35,465 | | | | JPM | | | | 71 | |
03/21/18 | | Swiss Francs | | | 74,824 | | | Euro | | | 64,000 | | | | BOA | | | | 70 | |
03/22/18 | | U.S. Dollars | | | 161,009 | | | Japanese Yen | | | 18,057,926 | | | | JPM | | | | 67 | |
03/21/18 | | Swiss Francs | | | 77,149 | | | Euro | | | 66,000 | | | | DEUT | | | | 59 | |
03/21/18 | | Swiss Francs | | | 76,506 | | | Euro | | | 65,456 | | | | BOA | | | | 52 | |
03/22/18 | | U.S. Dollars | | | 80,000 | | | Japanese Yen | | | 8,970,376 | | | | BOA | | | | 51 | |
03/22/18 | | U.S. Dollars | | | 80,000 | | | Japanese Yen | | | 8,970,400 | | | | JPM | | | | 51 | |
03/22/18 | | U.S. Dollars | | | 80,318 | | | Japanese Yen | | | 9,007,397 | | | | BOA | | | | 40 | |
03/21/18 | | Australian Dollars | | | 211,000 | | | New Zealand Dollars | | | 232,448 | | | | UBS | | | | 35 | |
03/21/18 | | Euro | | | 66,000 | | | Norwegian Kroner | | | 651,656 | | | | SS | | | | 30 | |
03/21/18 | | U.S. Dollars | | | 80,744 | | | New Zealand Dollars | | | 114,016 | | | | JPM | | | | 21 | |
03/22/18 | | U.S. Dollars | | | 79,978 | | | Japanese Yen | | | 8,971,656 | | | | DEUT | | | | 18 | |
03/21/18 | | U.S. Dollars | | | 39,298 | | | British Pounds | | | 29,022 | | | | BOA | | | | 9 | |
03/21/18 | | Euro | | | 67,981 | | | Norwegian Kroner | | | 671,426 | | | | SS | | | | 5 | |
| | | | |
| | `See Notes to Financial Statements. | | 139 |
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | | | | | | | | | |
Expiration Date | | Currency Purchased | | Amount of
Currency
Purchased | | | Currency Sold | | Amount of
Currency
Sold | | | Counter-
party | | | Net
Unrealized
Appreciation
(Depreciation) | |
03/21/18 | | U.S. Dollars | | | 65,142 | | | Euro | | | 54,026 | | | | JPM | | | $ | 3 | |
| | | | | | | | | | | | | | | | | | | | |
Subtotal Appreciation | | | | | | | | | | | | | | | | $ | 710,049 | |
| | | | | | | | | | | | | | | | | | | | |
03/22/18 | | Japanese Yen | | | 10,657,860 | | | U.S. Dollars | | | 95,000 | | | | BOA | | | | (12 | ) |
03/21/18 | | U.S. Dollars | | | 32,576 | | | Swiss Francs | | | 31,573 | | | | SS | | | | (14 | ) |
03/21/18 | | Swiss Francs | | | 85,316 | | | Euro | | | 73,054 | | | | BOA | | | | (17 | ) |
03/21/18 | | Swiss Francs | | | 79,410 | | | Euro | | | 68,000 | | | | BOA | | | | (18 | ) |
03/22/18 | | Japanese Yen | | | 22,438,000 | | | U.S. Dollars | | | 200,000 | | | | CITI | | | | (21 | ) |
03/21/18 | | Euro | | | 66,998 | | | Swedish Kronor | | | 659,586 | | | | JPM | | | | (23 | ) |
03/22/18 | | Japanese Yen | | | 838,139 | | | U.S. Dollars | | | 7,518 | | | | CITI | | | | (48 | ) |
03/21/18 | | U.S. Dollars | | | 81,102 | | | Australian Dollars | | | 104,026 | | | | JPM | | | | (51 | ) |
03/21/18 | | U.S. Dollars | | | 81,173 | | | British Pounds | | | 60,000 | | | | SS | | | | (53 | ) |
03/21/18 | | U.S. Dollars | | | 38,615 | | | British Pounds | | | 28,566 | | | | SS | | | | (57 | ) |
03/21/18 | | British Pounds | | | 63,032 | | | U.S. Dollars | | | 85,436 | | | | SS | | | | (105 | ) |
03/21/18 | | Euro | | | 40,982 | | | Norwegian Kroner | | | 405,701 | | | | JPM | | | | (111 | ) |
03/21/18 | | U.S. Dollars | | | 50,153 | | | British Pounds | | | 37,132 | | | | JPM | | | | (115 | ) |
03/21/18 | | Swiss Francs | | | 164,239 | | | Euro | | | 140,707 | | | | UBS | | | | (119 | ) |
03/22/18 | | Japanese Yen | | | 3,389,325 | | | U.S. Dollars | | | 30,342 | | | | SS | | | | (135 | ) |
03/22/18 | | Japanese Yen | | | 8,959,624 | | | U.S. Dollars | | | 80,000 | | | | BOA | | | | (147 | ) |
03/21/18 | | U.S. Dollars | | | 37,504 | | | Canadian Dollars | | | 47,301 | | | | SS | | | | (166 | ) |
03/21/18 | | British Pounds | | | 24,420 | | | Euro | | | 27,557 | | | | SS | | | | (166 | ) |
03/21/18 | | U.S. Dollars | | | 35,485 | | | Australian Dollars | | | 45,709 | | | | JPM | | | | (173 | ) |
03/21/18 | | U.S. Dollars | | | 31,791 | | | Canadian Dollars | | | 40,154 | | | | BOA | | | | (187 | ) |
03/22/18 | | Japanese Yen | | | 8,729,806 | | | U.S. Dollars | | | 78,000 | | | | SS | | | | (196 | ) |
03/21/18 | | U.S. Dollars | | | 38,705 | | | Swedish Kronor | | | 317,554 | | | | SS | | | | (197 | ) |
03/22/18 | | Japanese Yen | | | 8,952,792 | | | U.S. Dollars | | | 80,000 | | | | BOA | | | | (208 | ) |
03/21/18 | | U.S. Dollars | | | 160,518 | | | Australian Dollars | | | 206,035 | | | | BOA | | | | (215 | ) |
03/21/18 | | U.S. Dollars | | | 31,900 | | | British Pounds | | | 23,728 | | | | SS | | | | (223 | ) |
03/21/18 | | U.S. Dollars | | | 33,714 | | | Swiss Francs | | | 32,878 | | | | SS | | | | (224 | ) |
03/22/18 | | U.S. Dollars | | | 80,000 | | | Japanese Yen | | | 9,001,776 | | | | DEUT | | | | (228 | ) |
03/21/18 | | U.S. Dollars | | | 35,870 | | | Swiss Francs | | | 34,979 | | | | CITI | | | | (235 | ) |
03/21/18 | | British Pounds | | | 66,110 | | | Euro | | | 74,433 | | | | BOA | | | | (245 | ) |
03/21/18 | | Swiss Francs | | | 156,264 | | | Euro | | | 134,000 | | | | BOA | | | | (264 | ) |
03/21/18 | | U.S. Dollars | | | 33,603 | | | Euro | | | 28,094 | | | | JPM | | | | (269 | ) |
03/21/18 | | U.S. Dollars | | | 42,558 | | | Euro | | | 35,531 | | | | BOA | | | | (281 | ) |
03/21/18 | | Euro | | | 67,988 | | | Swedish Kronor | | | 671,447 | | | | SS | | | | (283 | ) |
03/21/18 | | Norwegian Kroner | | | 254,462 | | | Euro | | | 26,000 | | | | SS | | | | (287 | ) |
03/21/18 | | U.S. Dollars | | | 64,816 | | | Euro | | | 54,000 | | | | SS | | | | (291 | ) |
03/22/18 | | Japanese Yen | | | 7,728,823 | | | U.S. Dollars | | | 69,181 | | | | BOA | | | | (298 | ) |
03/21/18 | | Norwegian Kroner | | | 669,208 | | | Euro | | | 68,000 | | | | RBC | | | | (299 | ) |
03/22/18 | | Japanese Yen | | | 8,717,139 | | | U.S. Dollars | | | 78,000 | | | | BOA | | | | (309 | ) |
03/22/18 | | Japanese Yen | | | 9,164,329 | | | Euro | | | 68,004 | | | | DEUT | | | | (321 | ) |
03/22/18 | | U.S. Dollars | | | 80,000 | | | Japanese Yen | | | 9,012,176 | | | | BOA | | | | (321 | ) |
03/21/18 | | U.S. Dollars | | | 80,843 | | | Australian Dollars | | | 104,044 | | | | SS | | | | (324 | ) |
03/21/18 | | U.S. Dollars | | | 32,017 | | | New Zealand Dollars | | | 45,701 | | | | BOA | | | | (339 | ) |
03/21/18 | | U.S. Dollars | | | 80,373 | | | New Zealand Dollars | | | 114,004 | | | | JPM | | | | (341 | ) |
03/21/18 | | U.S. Dollars | | | 54,699 | | | British Pounds | | | 40,658 | | | | SS | | | | (342 | ) |
04/03/18 | | U.S. Dollars | | | 6,441 | | | Danish Kroner | | | 42,000 | | | | BNP | | | | (370 | ) |
03/21/18 | | Norwegian Kroner | | | 328,848 | | | Swedish Kronor | | | 330,712 | | | | JPM | | | | (373 | ) |
03/21/18 | | Euro | | | 41,018 | | | Swedish Kronor | | | 406,819 | | | | UBS | | | | (382 | ) |
03/21/18 | | U.S. Dollars | | | 31,355 | | | Euro | | | 26,329 | | | | CITI | | | | (389 | ) |
03/22/18 | | Japanese Yen | | | 3,796,667 | | | U.S. Dollars | | | 34,242 | | | | UBS | | | | (404 | ) |
03/21/18 | | U.S. Dollars | | | 41,918 | | | New Zealand Dollars | | | 59,780 | | | | SS | | | | (406 | ) |
03/21/18 | | U.S. Dollars | | | 16,857 | | | Canadian Dollars | | | 21,692 | | | | SS | | | | (418 | ) |
| | | | |
| 140 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | | | | | |
Expiration Date | | Currency Purchased | | Amount of
Currency
Purchased | | | Currency Sold | | Amount of
Currency
Sold | | | Counter-
party | | | Net
Unrealized
Appreciation
(Depreciation) | |
03/21/18 | | U.S. Dollars | | | 38,653 | | | New Zealand Dollars | | | 55,229 | | | | BOA | | | $ | (449 | ) |
03/21/18 | | U.S. Dollars | | | 44,413 | | | Canadian Dollars | | | 56,335 | | | | BOA | | | | (452 | ) |
03/21/18 | | U.S. Dollars | | | 125,236 | | | Swiss Francs | | | 121,772 | | | | SS | | | | (459 | ) |
03/21/18 | | U.S. Dollars | | | 76,952 | | | Euro | | | 64,205 | | | | SS | | | | (459 | ) |
03/21/18 | | U.S. Dollars | | | 39,505 | | | Euro | | | 33,147 | | | | BOA | | | | (461 | ) |
03/22/18 | | Japanese Yen | | | 8,699,067 | | | U.S. Dollars | | | 78,000 | | | | BOA | | | | (470 | ) |
03/22/18 | | Japanese Yen | | | 8,808,065 | | | U.S. Dollars | | | 79,000 | | | | UBS | | | | (498 | ) |
03/22/18 | | Japanese Yen | | | 8,873,145 | | | Euro | | | 66,000 | | | | BOA | | | | (500 | ) |
03/21/18 | | Norwegian Kroner | | | 535,786 | | | Euro | | | 54,660 | | | | BOA | | | | (501 | ) |
03/21/18 | | U.S. Dollars | | | 32,259 | | | Australian Dollars | | | 42,053 | | | | BOA | | | | (547 | ) |
03/21/18 | | U.S. Dollars | | | 35,590 | | | Australian Dollars | | | 46,365 | | | | SS | | | | (580 | ) |
03/21/18 | | British Pounds | | | 118,913 | | | Euro | | | 134,000 | | | | SS | | | | (582 | ) |
03/22/18 | | U.S. Dollars | | | 80,000 | | | Japanese Yen | | | 9,041,992 | | | | BOA | | | | (587 | ) |
03/21/18 | | U.S. Dollars | | | 51,555 | | | Australian Dollars | | | 66,865 | | | | BOA | | | | (608 | ) |
03/21/18 | | U.S. Dollars | | | 81,336 | | | Euro | | | 67,968 | | | | CITI | | | | (614 | ) |
03/21/18 | | Norwegian Kroner | | | 666,513 | | | Euro | | | 68,000 | | | | BOA | | | | (628 | ) |
03/21/18 | | U.S. Dollars | | | 23,996 | | | New Zealand Dollars | | | 34,793 | | | | SS | | | | (638 | ) |
03/21/18 | | Norwegian Kroner | | | 616,916 | | | Euro | | | 63,013 | | | | BOA | | | | (670 | ) |
03/21/18 | | U.S. Dollars | | | 32,532 | | | Australian Dollars | | | 42,563 | | | | DEUT | | | | (673 | ) |
03/21/18 | | U.S. Dollars | | | 79,000 | | | Canadian Dollars | | | 100,103 | | | | RBC | | | | (720 | ) |
03/21/18 | | U.S. Dollars | | | 37,877 | | | Swedish Kronor | | | 315,135 | | | | CITI | | | | (729 | ) |
03/21/18 | | U.S. Dollars | | | 81,219 | | | Euro | | | 67,968 | | | | CITI | | | | (730 | ) |
03/21/18 | | U.S. Dollars | | | 31,812 | | | New Zealand Dollars | | | 46,000 | | | | JPM | | | | (756 | ) |
03/21/18 | | U.S. Dollars | | | 80,650 | | | New Zealand Dollars | | | 115,000 | | | | DEUT | | | | (769 | ) |
03/21/18 | | Norwegian Kroner | | | 625,677 | | | Euro | | | 64,000 | | | | SS | | | | (790 | ) |
03/21/18 | | U.S. Dollars | | | 41,522 | | | Swedish Kronor | | | 345,500 | | | | JPM | | | | (803 | ) |
03/21/18 | | Euro | | | 103,816 | | | Norwegian Kroner | | | 1,032,188 | | | | JPM | | | | (826 | ) |
03/21/18 | | U.S. Dollars | | | 30,316 | | | Australian Dollars | | | 40,000 | | | | SS | | | | (889 | ) |
03/21/18 | | U.S. Dollars | | | 80,525 | | | New Zealand Dollars | | | 115,008 | | | | RBC | | | | (899 | ) |
03/21/18 | | U.S. Dollars | | | 78,174 | | | Canadian Dollars | | | 99,299 | | | | JPM | | | | (905 | ) |
03/22/18 | | Japanese Yen | | | 9,109,172 | | | Euro | �� | | 68,119 | | | | CITI | | | | (951 | ) |
03/21/18 | | U.S. Dollars | | | 79,954 | | | Canadian Dollars | | | 101,732 | | | | SS | | | | (1,063 | ) |
03/21/18 | | U.S. Dollars | | | 80,000 | | | Canadian Dollars | | | 101,883 | | | | DEUT | | | | (1,138 | ) |
03/21/18 | | U.S. Dollars | | | 61,092 | | | Swedish Kronor | | | 508,104 | | | | CITI | | | | (1,153 | ) |
03/21/18 | | Euro | | | 68,000 | | | New Zealand Dollars | | | 117,525 | | | | BOA | | | | (1,219 | ) |
03/21/18 | | British Pounds | | | 60,604 | | | Euro | | | 69,065 | | | | BOA | | | | (1,226 | ) |
03/21/18 | | Euro | | | 638,003 | | | Swiss Francs | | | 746,524 | | | | UBS | | | | (1,339 | ) |
03/22/18 | | Japanese Yen | | | 16,892,216 | | | U.S. Dollars | | | 152,000 | | | | SS | | | | (1,448 | ) |
03/21/18 | | U.S. Dollars | | | 80,379 | | | Australian Dollars | | | 105,000 | | | | BOA | | | | (1,534 | ) |
03/21/18 | | U.S. Dollars | | | 75,604 | | | Swiss Francs | | | 74,752 | | | | WEST | | | | (1,556 | ) |
03/21/18 | | U.S. Dollars | | | 81,000 | | | Canadian Dollars | | | 103,716 | | | | SS | | | | (1,598 | ) |
03/21/18 | | U.S. Dollars | | | 48,289 | | | Australian Dollars | | | 64,000 | | | | BOA | | | | (1,639 | ) |
03/21/18 | | U.S. Dollars | | | 79,000 | | | Canadian Dollars | | | 101,421 | | | | BOA | | | | (1,770 | ) |
03/21/18 | | U.S. Dollars | | | 76,095 | | | New Zealand Dollars | | | 110,000 | | | | SS | | | | (1,784 | ) |
03/21/18 | | Norwegian Kroner | | | 12,851,992 | | | Euro | | | 1,302,734 | | | | UBS | | | | (1,899 | ) |
01/31/18 | | U.S. Dollars | | | 246,832 | | | Euro | | | 206,917 | | | | JPM | | | | (1,923 | ) |
01/10/18 | | U.S. Dollars | | | 193,664 | | | Euro | | | 163,000 | | | | DEUT | | | | (2,036 | ) |
03/21/18 | | U.S. Dollars | | | 162,841 | | | Swiss Francs | | | 159,804 | | | | JPM | | | | (2,112 | ) |
03/21/18 | | British Pounds | | | 121,742 | | | Euro | | | 138,483 | | | | JPM | | | | (2,158 | ) |
03/21/18 | | U.S. Dollars | | | 79,169 | | | New Zealand Dollars | | | 115,000 | | | | UBS | | | | (2,250 | ) |
03/21/18 | | U.S. Dollars | | | 82,185 | | | New Zealand Dollars | | | 119,442 | | | | SS | | | | (2,379 | ) |
03/21/18 | | U.S. Dollars | | | 338,773 | | | Canadian Dollars | | | 428,416 | | | | BOA | | | | (2,409 | ) |
01/10/18 | | U.S. Dollars | | | 374,118 | | | British Pounds | | | 279,000 | | | | UBS | | | | (2,708 | ) |
03/21/18 | | U.S. Dollars | | | 190,000 | | | Canadian Dollars | | | 242,330 | | | | RBC | | | | (2,987 | ) |
| | | | |
| | See Notes to Financial Statements. | | 141 |
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | | | | | | | | | |
Expiration Date | | Currency Purchased | | Amount of
Currency
Purchased | | | Currency Sold | | Amount of
Currency Sold | | | Counter-
party | | | Net
Unrealized
Appreciation
(Depreciation) | |
03/21/18 | | U.S. Dollars | | | 159,965 | | | Canadian Dollars | | | 205,115 | | | | RBC | | | $ | (3,385 | ) |
03/21/18 | | U.S. Dollars | | | 158,512 | | | New Zealand Dollars | | | 230,000 | | | | BOA | | | | (4,326 | ) |
02/15/18 | | Japanese Yen | | | 37,129,513 | | | U.S. Dollars | | | 335,000 | | | | JPM | | | | (4,734 | ) |
03/21/18 | | U.S. Dollars | | | 299,116 | | | Euro | | | 252,306 | | | | SS | | | | (5,090 | ) |
03/21/18 | | U.S. Dollars | | | 160,022 | | | Australian Dollars | | | 212,000 | | | | BOA | | | | (5,364 | ) |
03/14/18 | | U.S. Dollars | | | 310,000 | | | South Korean Won | | | 336,923,500 | | | | HSBC | | | | (5,962 | ) |
03/22/18 | | U.S. Dollars | | | 1,579,035 | | | Japanese Yen | | | 178,055,967 | | | | DEUT | | | | (7,888 | ) |
03/22/18 | | U.S. Dollars | | | 1,577,315 | | | Japanese Yen | | | 178,055,967 | | | | WEST | | | | (9,609 | ) |
03/14/18 | | U.S. Dollars | | | 654,000 | | | South Korean Won | | | 707,752,260 | | | | BNP | | | | (9,720 | ) |
03/21/18 | | Norwegian Kroner | | | 12,892,272 | | | Euro | | | 1,316,866 | | | | JPM | | | | (14,020 | ) |
01/19/18 | | U.S. Dollars | | | 1,301,102 | | | Chinese Offshore Yuan | | | 8,611,515 | | | | BAR | | | | (19,590 | ) |
01/19/18 | | U.S. Dollars | | | 1,504,640 | | | British Pounds | | | 1,128,669 | | | | BAR | | | | (20,262 | ) |
01/10/18 | | U.S. Dollars | | | 1,364,824 | | | Euro | | | 1,154,000 | | | | UBS | | | | (20,680 | ) |
01/19/18 | | U.S. Dollars | | | 1,855,845 | | | Euro | | | 1,563,001 | | | | CITI | | | | (21,779 | ) |
02/15/18 | | Japanese Yen | | | 240,500,000 | | | U.S. Dollars | | | 2,162,960 | | | | GSC | | | | (23,719 | ) |
04/03/18 | | U.S. Dollars | | | 417,101 | | | Danish Kroner | | | 2,800,000 | | | | BNP | | | | (36,906 | ) |
01/19/18 | | Mexican Pesos | | | 35,260,000 | | | U.S. Dollars | | | 1,850,974 | | | | BAR | | | | (64,659 | ) |
01/10/18 | | U.S. Dollars | | | 6,616,789 | | | British Pounds | | | 4,971,000 | | | | UBS | | | | (97,193 | ) |
01/19/18 | | Brazilian Reals | | | 11,180,600 | | | U.S. Dollars | | | 3,481,318 | | | | CITI | | | | (118,609 | ) |
01/19/18 | | U.S. Dollars | | | 7,278,809 | | | Chinese Yuan Renminbi | | | 48,702,511 | | | | BAR | | | | (189,917 | ) |
01/19/18 | | U.S. Dollars | | | 4,589,236 | | | Philippine Pesos | | | 238,833,000 | | | | BAR | | | | (193,259 | ) |
01/18/18 | | U.S. Dollars | | | 1,210,328 | | | South African Rand | | | 17,532,323 | | | | CITI | | | | (202,465 | ) |
03/14/18 | | U.S. Dollars | | | 7,939,496 | | | South Korean Won | | | 8,835,706,800 | | | | UBS | | | | (346,497 | ) |
| | | | | | | | | | | | | | | | | | | | |
Subtotal Depreciation | | | | | | | | | | | | | | | | $ | (1,498,124 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Forward Foreign Currency Contracts outstanding at December 31, 2017 | | | | | | | | | | $ | (788,075 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
| 142 | | See Notes to Financial Statements. | | |
Swap agreements outstanding at December 31, 2017:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 3/20/2019 | | | | CITI | | | | USD | | | | 120,000 | | | $ | (1,314 | ) | | $ | (233 | ) | | $ | (1,081 | ) |
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 3/20/2019 | | | | JPM | | | | USD | | | | 120,000 | | | | (1,314 | ) | | | (407 | ) | | | (907 | ) |
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 3/20/2019 | | | | CITI | | | | USD | | | | 190,000 | | | | (2,081 | ) | | | (657 | ) | | | (1,424 | ) |
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 3/20/2019 | | | | CITI | | | | USD | | | | 20,000 | | | | (219 | ) | | | (133 | ) | | | (86 | ) |
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 3/20/2019 | | | | JPM | | | | USD | | | | 60,000 | | | | (657 | ) | | | (233 | ) | | | (424 | ) |
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 3/20/2019 | | | | CITI | | | | USD | | | | 180,000 | | | | (1,971 | ) | | | (454 | ) | | | (1,517 | ) |
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 3/20/2019 | | | | CITI | | | | USD | | | | 190,000 | | | | (2,081 | ) | | | (517 | ) | | | (1,564 | ) |
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 3/20/2019 | | | | CITI | | | | USD | | | | 130,000 | | | | (1,424 | ) | | | (228 | ) | | | (1,196 | ) |
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 3/20/2019 | | | | CITI | | | | USD | | | | 80,000 | | | | (876 | ) | | | (332 | ) | | | (544 | ) |
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 3/20/2019 | | | | CITI | | | | USD | | | | 140,000 | | | | (1,533 | ) | | | (789 | ) | | | (744 | ) |
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 3/20/2019 | | | | CITI | | | | USD | | | | 220,000 | | | | (2,410 | ) | | | (1,463 | ) | | | (947 | ) |
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 3/20/2019 | | | | CITI | | | | USD | | | | 430,000 | | | | (4,710 | ) | | | (2,679 | ) | | | (2,031 | ) |
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 6/20/2019 | | | | CITI | | | | USD | | | | 950,000 | | | | (12,111 | ) | | | — | | | | (12,111 | ) |
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 6/20/2019 | | | | CITI | | | | USD | | | | 210,000 | | | | (2,677 | ) | | | (1,523 | ) | | | (1,154 | ) |
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 6/20/2019 | | | | CITI | | | | USD | | | | 60,000 | | | | (765 | ) | | | (387 | ) | | | (378 | ) |
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 6/20/2019 | | | | JPM | | | | USD | | | | 10,000 | | | | (127 | ) | | | (63 | ) | | | (64 | ) |
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 6/20/2019 | | | | CITI | | | | USD | | | | 120,000 | | | | (1,530 | ) | | | (781 | ) | | | (749 | ) |
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 6/20/2019 | | | | JPM | | | | USD | | | | 50,000 | | | | (637 | ) | | | (353 | ) | | | (284 | ) |
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 6/20/2019 | | | | CITI | | | | USD | | | | 120,000 | | | | (1,530 | ) | | | (793 | ) | | | (737 | ) |
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 6/20/2019 | | | | BOA | | | | USD | | | | 20,000 | | | | (255 | ) | | | (136 | ) | | | (119 | ) |
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 6/20/2019 | | | | CITI | | | | USD | | | | 60,000 | | | | (765 | ) | | | (392 | ) | | | (373 | ) |
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 6/20/2019 | | | | CITI | | | | USD | | | | 250,000 | | | | (3,187 | ) | | | (1,704 | ) | | | (1,483 | ) |
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 6/20/2019 | | | | BOA | | | | USD | | | | 30,000 | | | | (382 | ) | | | (184 | ) | | | (198 | ) |
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 6/20/2019 | | | | CITI | | | | USD | | | | 120,000 | | | | (1,530 | ) | | | (1,567 | ) | | | 37 | |
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 6/20/2019 | | | | CITI | | | | USD | | | | 80,000 | | | | (1,020 | ) | | | (1,231 | ) | | | 211 | |
Credit Suisse (USA), Inc. 6.5% due 1/15/2018 (Pay Quarterly; Receive Semiannually) | | | (1.00 | )% | | | 9/20/2020 | | | | GSC | | | | USD | | | | 300,000 | | | | (1,788 | ) | | | 6,900 | | | | (8,688 | ) |
| | | | |
| | See Notes to Financial Statements. | | 143 |
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 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 12/20/2020 | | | | CITI | | | | USD | | | | 60,000 | | | $ | (1,291 | ) | | $ | 404 | | | $ | (1,695 | ) |
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 12/20/2020 | | | | JPM | | | | USD | | | | 60,000 | | | | (1,291 | ) | | | 323 | | | | (1,614 | ) |
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 12/20/2020 | | | | JPM | | | | USD | | | | 90,000 | | | | (1,936 | ) | | | 793 | | | | (2,729 | ) |
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 12/20/2020 | | | | CITI | | | | USD | | | | 270,000 | | | | (5,808 | ) | | | 2,259 | | | | (8,067 | ) |
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 12/20/2020 | | | | JPM | | | | USD | | | | 100,000 | | | | (2,151 | ) | | | 805 | | | | (2,956 | ) |
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 12/20/2020 | | | | BOA | | | | USD | | | | 300,000 | | | | (6,454 | ) | | | 1,691 | | | | (8,145 | ) |
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 12/20/2020 | | | | JPM | | | | USD | | | | 340,000 | | | | (7,314 | ) | | | 573 | | | | (7,887 | ) |
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 6/20/2021 | | | | CITI | | | | USD | | | | 90,000 | | | | (2,037 | ) | | | 874 | | | | (2,911 | ) |
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 6/20/2021 | | | | BOA | | | | USD | | | | 60,000 | | | | (1,358 | ) | | | 578 | | | | (1,936 | ) |
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 6/20/2021 | | | | JPM | | | | USD | | | | 30,000 | | | | (679 | ) | | | (252 | ) | | | (427 | ) |
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 6/20/2021 | | | | CITI | | | | USD | | | | 30,000 | | | | (679 | ) | | | 291 | | | | (970 | ) |
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 6/20/2021 | | | | CITI | | | | USD | | | | 70,000 | | | | (1,584 | ) | | | 796 | | | | (2,380 | ) |
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 6/20/2021 | | | | BOA | | | | USD | | | | 460,000 | | | | (10,410 | ) | | | 5,499 | | | | (15,909 | ) |
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 6/20/2021 | | | | DEUT | | | | USD | | | | 60,000 | | | | (1,358 | ) | | | 714 | | | | (2,072 | ) |
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 6/20/2021 | | | | CITI | | | | USD | | | | 80,000 | | | | (1,811 | ) | | | 870 | | | | (2,681 | ) |
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 6/20/2021 | | | | DEUT | | | | USD | | | | 130,000 | | | | (2,942 | ) | | | 1,411 | | | | (4,353 | ) |
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 6/20/2021 | | | | CITI | | | | USD | | | | 160,000 | | | | (3,621 | ) | | | 1,566 | | | | (5,187 | ) |
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 6/20/2021 | | | | CITI | | | | USD | | | | 60,000 | | | | (1,358 | ) | | | 577 | | | | (1,935 | ) |
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 6/20/2021 | | | | JPM | | | | USD | | | | 40,000 | | | | (905 | ) | | | 411 | | | | (1,316 | ) |
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 6/20/2021 | | | | JPM | | | | USD | | | | 150,000 | | | | (3,395 | ) | | | 762 | | | | (4,157 | ) |
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 6/20/2021 | | | | CITI | | | | USD | | | | 270,000 | | | | (6,110 | ) | | | 1,372 | | | | (7,482 | ) |
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 6/20/2021 | | | | JPM | | | | USD | | | | 60,000 | | | | (1,358 | ) | | | 216 | | | | (1,574 | ) |
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 6/20/2021 | | | | DEUT | | | | USD | | | | 60,000 | | | | (1,358 | ) | | | 223 | | | | (1,581 | ) |
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 6/20/2021 | | | | DEUT | | | | USD | | | | 110,000 | | | | (2,489 | ) | | | 253 | | | | (2,742 | ) |
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 6/20/2021 | | | | JPM | | | | USD | | | | 40,000 | | | | (905 | ) | | | 87 | | | | (992 | ) |
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 6/20/2021 | | | | CITI | | | | USD | | | | 160,000 | | | | (3,621 | ) | | | 349 | | | | (3,970 | ) |
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 6/20/2022 | | | | JPM | | | | USD | | | | 460,000 | | | | (10,855 | ) | | | (4,609 | ) | | | (6,246 | ) |
| | | | |
| 144 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 12/20/2021 | | | | JPM | | | | USD | | | | 220,000 | | | $ | (5,222 | ) | | $ | 846 | | | $ | (6,068 | ) |
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 12/20/2021 | | | | DEUT | | | | USD | | | | 20,000 | | | | (475 | ) | | | 131 | | | | (606 | ) |
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 12/20/2021 | | | | DEUT | | | | USD | | | | 410,000 | | | | (9,732 | ) | | | 1,508 | | | | (11,240 | ) |
Peoples Republic of China, 7.5% due 10/28/27 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 6/20/2022 | | | | JPM | | | | USD | | | | 170,000 | | | | (4,012 | ) | | | (2,226 | ) | | | (1,786 | ) |
Peoples Republic of China, 7.5% due 10/28/27 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 6/20/2022 | | | | CITI | | | | USD | | | | 130,000 | | | | (3,068 | ) | | | (2,277 | ) | | | (791 | ) |
Peoples Republic of China, 7.5% due 10/28/27 (Pay Quarterly; Receive Quarterly) | | | (1.00 | )% | | | 6/20/2022 | | | | JPM | | | | USD | | | | 180,000 | | | | (4,248 | ) | | | (3,428 | ) | | | (820 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | (160,729 | ) | | $ | 3,051 | | | $ | (163,780 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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 Issuers — Sell Protection | |
Berkshire Hathaway, Inc., 1.55% due 02/09/18 (Pay Semiannually; Receive Quarterly) | | | 0.39 | % | | | 1.00 | % | | | 12/20/2021 | | | | ICE | | | | USD | | | | 400,000 | | | $ | 9,410 | | | $ | 5,258 | | | $ | 4,152 | |
Berkshire Hathaway, Inc., 1.55% due 02/09/18 (Pay Semiannually; Receive Quarterly) | | | 0.47 | % | | | 1.00 | % | | | 6/20/2022 | | | | ICE | | | | USD | | | | 100,000 | | | | 2,314 | | | | 1,852 | | | | 462 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | $ | 11,724 | | | $ | 7,110 | | | $ | 4,614 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
|
| Swap agreements with CME, LCH and ICE counterparties are centrally cleared swaps. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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.IG.28 (Pay Quarterly; Receive Quarterly) | | | 0.47 | % | | | 1.00 | % | | | 6/20/2022 | | | | ICE | | | | USD | | | | 4,050,000 | | | $ | 91,598 | | | $ | 83,421 | | | $ | 8,177 | |
Dow Jones CDX.NA.HY29 Index (Pay Quarterly; Receive Quarterly) | | | 3.07 | % | | | 0.50 | % | | | 12/20/2022 | | | | ICE | | | | USD | | | | 6,200,000 | | | | 523,831 | | | | 540,298 | | | | (16,467 | ) |
Dow Jones CMBX.NA.AAA.7 Index (Pay Monthly; Receive Monthly) | | | 0.40 | % | | | 0.50 | % | | | 1/17/2047 | | | | GSC | | | | USD | | | | 1,700,000 | | | | 9,258 | | | | (75,678 | ) | | | 84,936 | |
Dow Jones CMBX.NA.AAA.8 Index (Pay Monthly; Receive Monthly) | | | 0.43 | % | | | 0.50 | % | | | 10/17/2057 | | | | DEUT | | | | USD | | | | 600,000 | | | | 2,664 | | | | (41,341 | ) | | | 44,005 | |
Dow Jones CMBX.NA.AAA.8 Index (Pay Monthly; Receive Monthly) | | | 0.43 | % | | | 0.50 | % | | | 10/17/2057 | | | | DEUT | | | | USD | | | | 1,100,000 | | | | 4,883 | | | | (75,585 | ) | | | 80,468 | |
Dow Jones CMBX.NA.AAA.8 Index (Pay Monthly; Receive Monthly) | | | 0.43 | % | | | 0.50 | % | | | 10/17/2057 | | | | GSC | | | | USD | | | | 1,700,000 | | | | 7,547 | | | | (102,781 | ) | | | 110,328 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | $ | 639,781 | | | $ | 328,334 | | | $ | 311,447 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Swap agreements with CME, LCH and ICE counterparties are centrally cleared swaps.
| | | | |
| | See Notes to Financial Statements. | | 145 |
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) | |
Interest Rate Swaps | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
6-Month CDOR (Pay Semiannually; Receive Semiannually) | | | 1.00 | % | | | 3/21/2019 | | | | LCH | | | | CAD | | | | 1,360,000 | | | $ | (10,999 | ) | | $ | (10,650 | ) | | $ | (349 | ) |
3-Month LIBOR (Pay Semiannually; Receive Quarterly) | | | (1.50 | )% | | | 5/15/2019 | | | | CME | | | | USD | | | | 31,900,000 | | | | 182,609 | | | | 146,051 | | | | 36,558 | |
3-Month LIBOR (Pay Annually; Receive Quarterly) | | | 1.00 | % | | | 9/19/2019 | | | | LCH | | | | GBP | | | | 97,100,000 | | | | 258,812 | | | | 167,715 | | | | 91,097 | |
3-Month LIBOR (Pay Semiannually; Receive Quarterly) | | | (2.00 | )% | | | 12/16/2019 | | | | CME | | | | USD | | | | 3,500,000 | | | | 3,319 | | | | (26,031 | ) | | | 29,350 | |
6-Month LIBOR (Pay Semiannually; Receive Semiannually) | | | 0.75 | % | | | 3/21/2020 | | | | LCH | | | | GBP | | | | 5,980,000 | | | | (14,443 | ) | | | (25,669 | ) | | | 11,226 | |
3-Month NZBOR (Pay Semiannually; Receive Quarterly) | | | (2.25 | )% | | | 3/21/2020 | | | | LCH | | | | NZD | | | | 12,210,000 | | | | 7,561 | | | | (631 | ) | | | 8,192 | |
3-Month LIBOR (Pay Quarterly; Receive Semiannually) | | | 1.75 | % | | | 3/21/2020 | | | | LCH | | | | USD | | | | 6,400,000 | | | | (48,675 | ) | | | (42,164 | ) | | | (6,511 | ) |
3-Month LIBOR (Pay Semiannually; Receive Quarterly) | | | (1.25 | )% | | | 6/21/2020 | | | | CME | | | | USD | | | | 9,500,000 | | | | 199,815 | | | | 220,586 | | | | (20,771 | ) |
3-Month LIBOR (Pay Quarterly; Receive Semiannually) | | | 1.86 | % | | | 8/6/2020 | | | | LCH | | | | USD | | | | 16,980,000 | | | | (125,638 | ) | | | (72,674 | ) | | | (52,964 | ) |
3-Month LIBOR (Pay Quarterly; Receive Annually) | | | (1.00 | )% | | | 9/18/2020 | | | | LCH | | | | GBP | | | | 97,100,000 | | | | (16,180 | ) | | | 49,461 | | | | (65,641 | ) |
3-Month LIBOR (Pay Quarterly; Receive Semiannually) | | | 2.14 | % | | | 11/20/2020 | | | | LCH | | | | USD | | | | 41,450,000 | | | | (119,425 | ) | | | (30,013 | ) | | | (89,412 | ) |
3-Month LIBOR (Pay Quarterly; Receive Semiannually) | | | 2.23 | % | | | 12/12/2020 | | | | LCH | | | | USD | | | | 6,700,000 | | | | (8,836 | ) | | | — | | | | (8,836 | ) |
3-Month STIBOR (Pay Annually; Receive Quarterly) | | | (0.25 | )% | | | 3/21/2021 | | | | LCH | | | | SEK | | | | 6,640,000 | | | | (1,828 | ) | | | (2,098 | ) | | | 270 | |
3-Month LIBOR (Pay Semiannually; Receive Quarterly) | | | (1.25 | )% | | | 6/21/2021 | | | | CME | | | | USD | | | | 7,800,000 | | | | 246,748 | | | | 233,690 | | | | 13,058 | |
6-Month EURIBOR (Pay Semiannually; Receive Annually) | | | 0.35 | % | | | 12/16/2021 | | | | LCH | | | | EUR | | | | 9,800,000 | | | | (29,780 | ) | | | (23,999 | ) | | | (5,781 | ) |
3-Month STIBOR (Pay Annually; Receive Quarterly) | | | (0.50 | )% | | | 12/16/2021 | | | | LCH | | | | SEK | | | | 61,670,000 | | | | 35,378 | | | | 31,353 | | | | 4,025 | |
3-Month LIBOR (Pay Quarterly; Receive Semiannually) | | | 2.25 | % | | | 5/31/2022 | | | | GSC | | | | USD | | | | 13,923,000 | | | | (10,125 | ) | | | 25,854 | | | | (35,979 | ) |
6-Month CDOR (Pay Semiannually; Receive Semiannually) | | | 2.03 | % | | | 7/18/2022 | | | | LCH | | | | CAD | | | | 8,190,000 | | | | (57,825 | ) | | | (25,734 | ) | | | (32,091 | ) |
MXN-TIIE-Banxico (Pay Lunar; Receive Lunar) | | | (6.75 | )% | | | 12/14/2022 | | | | CME | | | | MXN | | | | 10,000 | | | | 25 | | | | 23 | | | | 2 | |
MXN-TIIE-Banxico (Pay Lunar; Receive Lunar) | | | 7.50 | % | | | 3/15/2023 | | | | CME | | | | MXN | | | | 27,175,000 | | | | (27,080 | ) | | | (12,907 | ) | | | (14,173 | ) |
6-Month CDOR (Pay Semiannually; Receive Semiannually) | | | 1.50 | % | | | 3/21/2023 | | | | LCH | | | | CAD | | | | 1,360,000 | | | | (40,002 | ) | | | (33,511 | ) | | | (6,491 | ) |
6-Month EURIBOR (Pay Annually; Receive Semiannually) | | | (0.25 | )% | | | 3/21/2023 | | | | LCH | | | | EUR | | | | 680,000 | | | | 4,901 | | | | 695 | | | | 4,206 | |
6-Month WIBOR (Pay Annually; Receive Semiannually) | | | (2.55 | )% | | | 3/21/2023 | | | | LCH | | | | PLN | | | | 8,600,000 | | | | 1,209 | | | | 5,822 | | | | (4,613 | ) |
3-Month STIBOR (Pay Annually; Receive Quarterly) | | | (0.50 | )% | | | 3/21/2023 | | | | LCH | | | | SEK | | | | 37,620,000 | | | | 20,921 | | | | (6,152 | ) | | | 27,073 | |
3-Month LIBOR (Pay Quarterly; Receive Semiannually) | | | 2.00 | % | | | 3/21/2023 | | | | LCH | | | | USD | | | | 970,000 | | | | (12,708 | ) | | | (10,663 | ) | | | (2,045 | ) |
3-Month LIBOR (Pay Semiannually; Receive Quarterly) | | | (2.14 | )% | | | 7/3/2023 | | | | LCH | | | | USD | | | | 2,450,000 | | | | 19,641 | | | | (615 | ) | | | 20,256 | |
3-Month LIBOR (Pay Semiannually; Receive Quarterly) | | | (2.28 | )% | | | 11/20/2023 | | | | LCH | | | | USD | | | | 17,930,000 | | | | 65,872 | | | | 18,230 | | | | 47,642 | |
| | | | |
| 146 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Reference Obligation | | Fixed
Deal
(Pay) Rate | | | Maturity
Date | | | Counterparty | | | Currency | | | Notional
Amount | | | Market Value | | | Upfront
Premiums
Paid/
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
6-Month LIBOR (Pay Semiannually; Receive Semiannually) | | | 1.20 | % | | | 11/21/2023 | | | | LCH | | | | GBP | | | | 3,630,000 | | | $ | 7,777 | | | $ | (2,172 | ) | | $ | 9,949 | |
3-Month LIBOR (Pay Semiannually; Receive Quarterly) | | | (2.50 | )% | | | 12/16/2025 | | | | LCH | | | | USD | | | | 1,500,000 | | | | (18,820 | ) | | | (20,887 | ) | | | 2,067 | |
3-Month LIBOR (Pay Semiannually; Receive Quarterly) | | | (1.75 | )% | | | 12/21/2026 | | | | CME | | | | USD | | | | 3,900,000 | | | | 203,859 | | | | 231,042 | | | | (27,183 | ) |
3-Month LIBOR (Pay Semiannually; Receive Quarterly) | | | (1.75 | )% | | | 12/21/2026 | | | | LCH | | | | USD | | | | 4,800,000 | | | | 241,195 | | | | 273,340 | | | | (32,145 | ) |
6-Month EURIBOR (Pay Semiannually; Receive Annually) | | | 1.33 | % | | | 1/12/2027 | | | | LCH | | | | EUR | | | | 1,470,000 | | | | 2,862 | | | | (618 | ) | | | 3,480 | |
6-Month LIBOR (Pay Semiannually; Receive Semiannually) | | | 1.60 | % | | | 3/16/2027 | | | | LCH | | | | GBP | | | | 11,850,000 | | | | 93,889 | | | | 82,203 | | | | 11,686 | |
3-Month LIBOR (Pay Semiannually; Receive Quarterly) | | | (1.50 | )% | | | 6/21/2027 | | | | CME | | | | USD | | | | 15,000,000 | | | | 1,167,093 | | | | 1,141,531 | | | | 25,562 | |
6-Month EURIBOR (Pay Semiannually; Receive Annually) | | | 1.60 | % | | | 10/25/2027 | | | | LCH | | | | EUR | | | | 2,280,000 | | | | 20,245 | | | | 11,668 | | | | 8,577 | |
3-Month STIBOR (Pay Annually; Receive Quarterly) | | | (2.00 | )% | | | 10/25/2027 | | | | LCH | | | | SEK | | | | 21,420,000 | | | | (5,691 | ) | | | (2,052 | ) | | | (3,639 | ) |
3-Month STIBOR (Pay Annually; Receive Quarterly) | | | (2.00 | )% | | | 11/2/2027 | | | | LCH | | | | SEK | | | | 13,780,000 | | | | (3,345 | ) | | | 1,374 | | | | (4,719 | ) |
3-Month South Korean Won (Pay Quarterly; Receive Quarterly) | | | (2.23 | )% | | | 11/7/2027 | | | | BNP | | | | KRW | | | | 13,138,400,000 | | | | (55,352 | ) | | | — | | | | (55,352 | ) |
6-Month EURIBOR (Pay Semiannually; Receive Annually) | | | 1.50 | % | | | 12/20/2027 | | | | LCH | | | | EUR | | | | 3,000,000 | | | | 4,513 | | | | 11,805 | | | | (7,292 | ) |
3-Month LIBOR (Pay Semiannually; Receive Quarterly) | | | (2.50 | )% | | | 12/20/2027 | | | | CME | | | | USD | | | | 36,500,000 | | | | (270,211 | ) | | | (1,238,192 | ) | | | 967,981 | |
6-Month LIBOR (Pay Semiannually; Receive Semiannually) | | | (1.50 | )% | | | 3/21/2028 | | | | LCH | | | | GBP | | | | 13,400,000 | | | | (344,879 | ) | | | (261,823 | ) | | | (83,056 | ) |
6-Month ASX Australian Bank Bill Short Term Rates Mid (Pay Semiannually; Receive Semiannually) | | | (2.75 | )% | | | 3/21/2028 | | | | LCH | | | | AUD | | | | 2,390,000 | | | | 14,287 | | | | 9,785 | | | | 4,502 | |
6-Month CDOR (Pay Semiannually; Receive Semiannually) | | | 1.75 | % | | | 3/21/2028 | | | | LCH | | | | CAD | | | | 4,350,000 | | | | (206,101 | ) | | | (183,060 | ) | | | (23,041 | ) |
6-Month EURIBOR (Pay Semiannually; Receive Annually) | | | 1.00 | % | | | 3/21/2028 | | | | LCH | | | | EUR | | | | 5,080,000 | | | | 41,282 | | | | 81,952 | | | | (40,670 | ) |
6-Month LIBOR (Pay Semiannually; Receive Semiannually) | | | (0.25 | )% | | | 3/21/2028 | | | | LCH | | | | JPY | | | | 562,130,000 | | | | 47,463 | | | | 34,755 | | | | 12,708 | |
3-Month LIBOR (Pay Semiannually; Receive Quarterly) | | | (2.25 | )% | | | 3/21/2028 | | | | LCH | | | | USD | | | | 810,000 | | | | 12,225 | | | | 14,402 | | | | (2,177 | ) |
3-Month LIBOR (Pay Quarterly; Receive Semiannually) | | | 2.38 | % | | | 7/3/2028 | | | | LCH | | | | USD | | | | 7,830,000 | | | | (45,344 | ) | | | — | | | | (45,344 | ) |
3-Month LIBOR (Pay Semiannually; Receive Quarterly) | | | (2.35 | )% | | | 8/6/2028 | | | | LCH | | | | USD | | | | 4,530,000 | | | | 42,549 | | | | 904 | | | | 41,645 | |
6-Month LIBOR (Pay Semiannually; Receive Semiannually) | | | (1.40 | )% | | | 11/21/2028 | | | | LCH | | | | GBP | | | | 2,190,000 | | | | (9,271 | ) | | | 5,375 | | | | (14,646 | ) |
3-Month LIBOR (Pay Semiannually; Receive Quarterly) | | | (2.49 | )% | | | 12/12/2028 | | | | LCH | | | | USD | | | | 1,800,000 | | | | (2,311 | ) | | | — | | | | (2,311 | ) |
6-Month LIBOR (Pay Semiannually; Receive Semiannually) | | | (1.94 | )% | | | 1/11/2032 | | | | LCH | | | | GBP | | | | 910,000 | | | | (13,678 | ) | | | (7,922 | ) | | | (5,756 | ) |
6-Month LIBOR (Pay Semiannually; Receive Semiannually) | | | (1.50 | )% | | | 3/21/2033 | | | | LCH | | | | GBP | | | | 2,470,000 | | | | (35,150 | ) | | | (10,341 | ) | | | (24,809 | ) |
6-Month LIBOR (Pay Semiannually; Receive Semiannually) | | | (2.04 | )% | | | 2/1/2037 | | | | LCH | | | | GBP | | | | 2,100,000 | | | | (90,307 | ) | | | (30,643 | ) | | | (59,664 | ) |
6-Month LIBOR (Pay Semiannually; Receive Semiannually) | | | (2.05 | )% | | | 2/1/2037 | | | | LCH | | | | GBP | | | | 2,900,000 | | | | (128,021 | ) | | | (45,533 | ) | | | (82,488 | ) |
| | | | |
| | See Notes to Financial Statements. | | 147 |
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) | |
6-Month EURIBOR (Pay Semiannually; Receive Annually) | | | 2.05 | % | | | 2/3/2037 | | | | LCH | | | | EUR | | | | 5,600,000 | | | $ | 24,083 | | | $ | 27,594 | | | $ | (3,511 | ) |
6-Month LIBOR (Pay Semiannually; Receive Semiannually) | | | (1.75 | )% | | | 3/17/2037 | | | | LCH | | | | GBP | | | | 8,240,000 | | | | (81,120 | ) | | | 9,133 | | | | (90,253 | ) |
6-Month LIBOR (Pay Semiannually; Receive Semiannually) | | | (1.75 | )% | | | 12/14/2037 | | | | LCH | | | | GBP | | | | 1,520,000 | | | | (15,095 | ) | | | (12,605 | ) | | | (2,490 | ) |
3-Month LIBOR (Pay Quarterly; Receive Semiannually) | | | (2.47 | )% | | | 11/15/2043 | | | | CME | | | | USD | | | | 11,310,000 | | | | 202,744 | | | | 213,325 | | | | (10,581 | ) |
3-Month LIBOR (Pay Semiannually; Receive Quarterly) | | | (2.47 | )% | | | 11/15/2043 | | | | DEUT | | | | USD | | | | 1,573,000 | | | | 17,103 | | | | 26,081 | | | | (8,978 | ) |
3-Month LIBOR (Pay Semiannually; Receive Quarterly) | | | (2.47 | )% | | | 11/15/2043 | | | | RBS | | | | USD | | | | 1,716,000 | | | | 30,761 | | | | 33,037 | | | | (2,276 | ) |
3-Month LIBOR (Pay Semiannually; Receive Quarterly) | | | (2.47 | )% | | | 11/15/2043 | | | | MSCS | | | | USD | | | | 1,573,000 | | | | 28,198 | | | | 53,908 | | | | (25,710 | ) |
3-Month LIBOR (Pay Semiannually; Receive Quarterly) | | | (2.47 | )% | | | 11/15/2043 | | | | RBS | | | | USD | | | | 1,716,000 | | | | 30,761 | | | | 59,637 | | | | (28,876 | ) |
3-Month LIBOR (Pay Semiannually; Receive Quarterly) | | | (2.63 | )% | | | 11/15/2043 | | | | DEUT | | | | USD | | | | 1,160,000 | | | | (19,032 | ) | | | (9,143 | ) | | | (9,889 | ) |
3-Month LIBOR (Pay Semiannually; Receive Quarterly) | | | (2.63 | )% | | | 11/15/2043 | | | | MSCS | | | | USD | | | | 435,000 | | | | (7,137 | ) | | | (1,857 | ) | | | (5,280 | ) |
3-Month LIBOR (Pay Semiannually; Receive Quarterly) | | | (2.63 | )% | | | 11/15/2043 | | | | DEUT | | | | USD | | | | 2,320,000 | | | | (38,076 | ) | | | 12,477 | | | | (50,553 | ) |
3-Month LIBOR (Pay Semiannually; Receive Quarterly) | | | (2.63 | )% | | | 11/15/2043 | | | | DEUT | | | | USD | | | | 286,000 | | | | (3,735 | ) | | | (515 | ) | | | (3,220 | ) |
3-Month LIBOR (Pay Semiannually; Receive Quarterly) | | | (2.75 | )% | | | 12/16/2045 | | | | CME | | | | USD | | | | 6,700,000 | | | | (252,287 | ) | | | (72,917 | ) | | | (179,370 | ) |
3-Month LIBOR (Pay Semiannually; Receive Quarterly) | | | (2.50 | )% | | | 6/15/2046 | | | | CME | | | | USD | | | | 4,700,000 | | | | 71,182 | | | | (59,355 | ) | | | 130,537 | |
3-Month LIBOR (Pay Semiannually; Receive Quarterly) | | | (2.25 | )% | | | 12/21/2046 | | | | CME | | | | USD | | | | 600,000 | | | | 41,687 | | | | 58,844 | | | | (17,157 | ) |
3-Month LIBOR (Pay Semiannually; Receive Quarterly) | | | (2.75 | )% | | | 12/20/2047 | | | | CME | | | | USD | | | | 3,200,000 | | | | (124,998 | ) | | | (116,555 | ) | | | (8,443 | ) |
3-Month LIBOR (Pay Semiannually; Receive Quarterly) | | | (2.56 | )% | | | 7/3/2048 | | | | LCH | | | | USD | | | | 3,230,000 | | | | (2,401 | ) | | | — | | | | (2,401 | ) |
6-Month CDOR (Pay Semiannually; Receive Semiannually) | | | (2.54 | )% | | | 7/18/2048 | | | | LCH | | | | CAD | | | | 1,200,000 | | | | 4,766 | | | | 4,744 | | | | 22 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | 1,101,429 | | | $ | 898,695 | | | $ | 202,734 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Swap agreements outstanding at December 31, 2017 | | | $ | 1,592,205 | | | $ | 1,237,190 | | | $ | 355,015 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Swap agreements with CME, LCH and ICE counterparties are centrally cleared swaps.
| | | | |
| 148 | | See Notes to Financial Statements. | | |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2017, 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 | | $ | 36,570,695 | | | $ | — | | | $ | 36,570,695 | | | $ | — | |
Asset-Backed Securities | | | 85,460,636 | | | | — | | | | 84,608,481 | | | | 852,155 | |
Certificates of Deposit | | | 300,025 | | | | — | | | | 300,025 | | | | — | |
Corporate Bonds | | | 237,493,857 | | | | — | | | | 235,685,692 | | | | 1,808,165 | |
Foreign Bonds: | | | | | | | | | | | | | | | | |
Argentina | | | 3,398,418 | | | | — | | | | 3,398,418 | | | | — | |
Australia | | | 4,008,714 | | | | — | | | | 4,008,714 | | | | — | |
Belgium | | | 201,207 | | | | — | | | | 201,207 | | | | — | |
Bermuda | | | 357,509 | | | | — | | | | 357,509 | | | | — | |
Brazil | | | 7,269,830 | | | | — | | | | 7,269,830 | | | | — | |
Canada | | | 4,543,769 | | | | — | | | | 4,543,769 | | | | — | |
Chile | | | 819,461 | | | | — | | | | 819,461 | | | | — | |
China | | | 1,308,366 | | | | — | | | | 1,308,366 | | | | — | |
Colombia | | | 1,288,448 | | | | — | | | | 1,288,448 | | | | — | |
Denmark | | | 453,576 | | | | — | | | | 453,576 | | | | — | |
Dominican Republic | | | 272,487 | | | | — | | | | 272,487 | | | | — | |
Ecuador | | | 814,738 | | | | — | | | | 814,738 | | | | — | |
Finland | | | 256,669 | | | | — | | | | 256,669 | | | | — | |
France | | | 3,861,106 | | | | — | | | | 3,861,106 | | | | — | |
Germany | | | 13,170,330 | | | | — | | | | 13,170,330 | | | | — | |
India | | | 787,974 | | | | — | | | | 787,974 | | | | — | |
Indonesia | | | 3,662,473 | | | | — | | | | 3,662,473 | | | | — | |
Ireland | | | 5,231,620 | | | | — | | | | 5,231,620 | | | | — | |
Israel | | | 2,219,633 | | | | — | | | | 2,219,633 | | | | — | |
Italy | | | 3,094,197 | | | | — | | | | 3,094,197 | | | | — | |
Jamaica | | | 296,073 | | | | — | | | | 296,073 | | | | — | |
Japan | | | 24,005,646 | | | | — | | | | 24,005,646 | | | | — | |
Jersey | | | 238,957 | | | | — | | | | 238,957 | | | | — | |
Jordan | | | 1,215,973 | | | | — | | | | 1,215,973 | | | | — | |
Kuwait | | | 1,515,951 | | | | — | | | | 1,515,951 | | | | — | |
Luxembourg | | | 145,825 | | | | — | | | | 145,825 | | | | — | |
Mexico | | | 7,416,494 | | | | — | | | | 7,416,494 | | | | — | |
Morocco & Antilles | | | 451,482 | | | | — | | | | 451,482 | | | | — | |
Netherlands | | | 11,889,146 | | | | — | | | | 11,889,146 | | | | — | |
Nigeria | | | 209,056 | | | | — | | | | 209,056 | | | | — | |
Peru | | | 424,215 | | | | — | | | | 424,215 | | | | — | |
Poland | | | 1,260,464 | | | | — | | | | 1,260,464 | | | | — | |
Russia | | | 3,540,463 | | | | — | | | | 3,540,463 | | | | — | |
Saudi Arabia | | | 716,381 | | | | — | | | | 716,381 | | | | — | |
South Africa | | | 962,186 | | | | — | | | | 962,186 | | | | — | |
South Korea | | | 970,663 | | | | — | | | | 970,663 | | | | — | |
Spain | | | 1,617,198 | | | | — | | | | 1,617,198 | | | | — | |
Supranational | | | 5,545,854 | | | | — | | | | 5,545,854 | | | | — | |
| | | | |
| | See Notes to Financial Statements. | | 149 |
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 | |
Sweden | | $ | 1,573,479 | | | $ | — | | | $ | 1,573,479 | | | $ | — | |
Switzerland | | | 8,444,024 | | | | — | | | | 8,444,024 | | | | — | |
Turkey | | | 1,308,048 | | | | — | | | | 1,308,048 | | | | — | |
United Arab Emirates | | | 1,107,224 | | | | — | | | | 1,107,224 | | | | — | |
United Kingdom | | | 20,316,694 | | | | — | | | | 20,316,694 | | | | — | |
Fully Funded Total Return Swap | | | 272,242 | | | | — | | | | 272,242 | | | | — | |
Loan Agreements | | | 20,264,664 | | | | — | | | | 20,264,664 | | | | — | |
Money Market Funds | | | 115,090,621 | | | | 115,090,621 | | | | — | | | | — | |
Mortgage-Backed Securities | | | 444,348,169 | | | | — | | | | 444,348,169 | | | | — | |
Municipal Bonds | | | 10,102,781 | | | | — | | | | 10,102,781 | | | | — | |
Preferred Stocks | | | 455,386 | | | | 181,105 | | | | 274,281 | | | | — | |
Purchased Options: | | | | | | | | | | | | | | | | |
Call Options | | | 142,419 | | | | 142,419 | | | | — | | | | — | |
Call Swaptions | | | 191,332 | | | | — | | | | 191,332 | | | | — | |
Put Option | | | 500,562 | | | | 500,562 | | | | — | | | | — | |
Put Swaptions | | | 1,046,199 | | | | — | | | | 1,046,199 | | | | — | |
Repurchase Agreements | | | 176,100,000 | | | | — | | | | 176,100,000 | | | | — | |
U.S. Treasury Obligations | | | 455,674,133 | | | | — | | | | 455,674,133 | | | | — | |
| | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | $ | 1,736,205,742 | | | $ | 115,914,707 | | | $ | 1,617,630,715 | | | $ | 2,660,320 | |
| | | | | | | | | | | | | | | | |
| | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 2,076,401 | | | $ | 2,076,401 | | | $ | — | | | $ | — | |
Forward Foreign Currency Contracts | | | 710,049 | | | | — | | | | 710,049 | | | | — | |
Swap Agreements | | | 4,048,840 | | | | — | | | | 4,048,840 | | | | — | |
| | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | $ | 6,835,290 | | | $ | 2,076,401 | | | $ | 4,758,889 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
Investments in Securities: | | | | | | | | | | | | | | | | |
TBA Sale Commitments | | $ | (4,088,761 | ) | | $ | — | | | $ | (4,088,761 | ) | | $ | — | |
Written Options: | | | | | | | | | | | | | | | | |
Call Options | | | (85,289 | ) | | | (85,289 | ) | | | — | | | | — | |
Call Swaptions | | | (250,646 | ) | | | — | | | | (250,646 | ) | | | — | |
Put Options | | | (156,455 | ) | | | (45,965 | ) | | | (110,490 | ) | | | — | |
Put Swaptions | | | (1,303,516 | ) | | | — | | | | (1,303,516 | ) | | | — | |
| | | | | | | | | | | | | | | | |
Total Liabilities - Investments in Securities | | $ | (5,884,667 | ) | | $ | (131,254 | ) | | $ | (5,753,413 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
| | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | (1,897,051 | ) | | $ | (1,897,051 | ) | | $ | — | | | $ | — | |
Forward Foreign Currency Contracts | | | (1,498,124 | ) | | | — | | | | (1,498,124 | ) | | | — | |
Swap Agreements | | | (2,456,635 | ) | | | — | | | | (2,456,635 | ) | | | — | |
| | | | | | | | | | | | | | | | |
Total Liabilities - Other Financial Instruments | | $ | (5,851,810 | ) | | $ | (1,897,051 | ) | | $ | (3,954,759 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
***Other financial instruments are derivative instruments, such as futures contracts, 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 preceding "Futures Contracts outstanding","Forward Foreign Currency Contracts outstanding" and "Swap agreement outstanding" disclosures.
| | | | |
| 150 | | See 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, 2017.
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.
During the year ended December 31, 2017, there were $23,884,010 of transfers out of Level 3 to Level 2 and Level 1.
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, 2017.
Effective April 1, 2017, the Funds changed administrators from BNY Mellon Investment Servicing (US) Inc. to Northern Trust Company (“Northern Trust”). This transition has resulted in fewer unobservable inputs, as Northern Trust utilizes additional pricing vendors and provides increased pricing coverage. As such, management notes transfers out of Level 3 to Level 2 and Level 1 occurred in the Fund in the current year.
| | | | |
| | See Notes to Financial Statements. | | 151 |
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 calculation that measures the sensitivity of a bond or bond fund to changes in interest rates) normally greater than or equal to seven years. The Investor Class of the Fund underperformed 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, 2017 (10.13% versus 10.37%). The Fund has outperformed its composite benchmark over the five-, seven- and 10-year and since inception periods ended December 31, 2017. (Effective January 1, 2018, the composite benchmark of the Fund changed to 50% Bloomberg Barclays US Long Government/Credit Bond Index and 50% Bloomberg Barclays Intermediate Government/Credit Bond Index to show how the Fund’s performance compares with the returns of an index of securities that are similar to those in which the Fund invests.)
Security selection and credit exposure were the primary contributors to relative performance for the Fund during 2017. In particular, the Fund benefited from an overweight to below-investment grade corporate bonds as credit spreads narrowed. The underweight exposure to U.S. Treasury bonds also generated positive return during the period. Security selection within the industrial and financial segments of the corporate sector contributed to the strong relative performance of the Fund during the year. The Fund did not invest in derivative investments in 2017.
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 equities, 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 fixed-income securities 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. Derivatives involve different risks from, and in some respects greater than, those associated with investing directly in securities, currencies or other instruments. Derivatives may be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in value of the underlying instruments may produce disproportionate losses to the Fund. It is possible to lose money by investing in the Fund.
At December 31, 2017, 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 | | | 53.6 | |
Corporate Bonds | | | 33.8 | |
Foreign Bonds | | | 9.1 | |
Money Market Funds | | | 7.4 | |
Municipal Bonds | | | 0.2 | |
Preferred Stocks | | | 0.1 | |
Common Stock | | | — | ** |
| | | | |
| | | 104.2 | |
| | | | |
**Rounds to less than 0.05%
| | | | |
| 152 | | See Notes to Financial Statements. | | |
Extended-Duration Bond Fund (Unaudited)
| | | | | | |
| Average Annual Total Returns as of 12/31/17 |
| | | Institutional Class | | Investor Class* | | Benchmark** |
One Year | | 10.38% | | 10.13% | | 10.37% |
Five Year | | 4.70% | | 4.45% | | 4.33% |
Ten Year | | 7.84% | | 7.59% | | 7.22% |
Since Inception | | 7.91% | | 7.72% | | 7.13% |
Inception Date | | 08/27/01 | | 08/27/01 | | |
Total Fund Operating Expenses (May 1, 2017 Prospectus as amended July 1, 2017)(1) | | 0.56% | | 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, 2007 to December 31, 2017, 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.
**Prior to January 1, 2018, the Fund’s primary broad-based benchmark was the Bloomberg Barclays US Long Credit Index, and the additional benchmarks provided were the Bloomberg Barclays US Long Government Bond Index and a benchmark comprised of 50% Bloomberg Barclays US Long Credit Index and 50% Bloomberg Barclays US Long Government Bond Index. The Fund changed its primary broad-based index because the duration of the Bloomberg Barclays US Long Government/Credit Bond Index more closely aligns with the expected effective duration of the Fund. The Fund’s additional benchmarks changed to the Bloomberg Barclays US Intermediate Government/Credit Bond Index and a benchmark comprised of 50% Bloomberg Barclays US Long Government/Credit Bond Index and 50% Bloomberg Barclays US Intermediate Government/Credit Bond Index.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
| | | | |
| | See Notes to Financial Statements. | | 153 |
| | |
EXTENDED-DURATION BOND FUND SCHEDULE OF INVESTMENTS | | December 31, 2016 |
| | | | | | | | |
| | | Par | | | Value | |
CORPORATE BONDS — 33.8% | | | | | |
21st Century Fox America, Inc. | | | | | | | | |
4.75%, 09/15/44 | | $ | 623,000 | | | $ | 715,466 | |
Abbott Laboratories | | | | | | | | |
4.90%, 11/30/46 | | | 1,005,000 | | | | 1,156,911 | |
AbbVie, Inc. | | | | | | | | |
4.70%, 05/14/45 | | | 849,000 | | | | 955,760 | |
AES Corporation | | | | | | | | |
4.88%, 05/15/23 | | | 145,000 | | | | 148,444 | |
Aflac, Inc. | | | | | | | | |
6.45%, 08/15/40 | | | 328,000 | | | | 450,422 | |
Ally Financial, Inc. | | | | | | | | |
8.00%, 11/01/31 | | | 177,000 | | | | 230,985 | |
AltaWind Holdings LLC | | | | | | | | |
7.00%, 06/30/35 144A | | | 401,371 | | | | 470,820 | |
Amazon.com, Inc. | | | | | | | | |
3.88%, 08/22/37 144A | | | 1,056,000 | | | | 1,124,356 | |
American Airlines Class B Pass-Through Trust Series 2016-1 | | | | | | | | |
5.25%, 01/15/24 | | | 644,420 | | | | 681,055 | |
American Airlines Class B Pass-Through Trust Series 2017-1 | | | | | | | | |
4.95%, 02/15/25 | | | 135,000 | | | | 141,777 | |
American International Group, Inc. | | | | | |
3.90%, 04/01/26D | | | 1,800,000 | | | | 1,869,818 | |
Anadarko Holding Co. | | | | | | | | |
7.15%, 05/15/28 | | | 250,000 | | | | 300,751 | |
Antero Resources Corporation | | | | | | | | |
5.38%, 11/01/21 | | | 125,000 | | | | 128,594 | |
5.13%, 12/01/22 | | | 35,000 | | | | 35,875 | |
Apple, Inc. | | | | | | | | |
4.38%, 05/13/45 | | | 676,000 | | | | 763,462 | |
3.85%, 08/04/46 | | | 367,000 | | | | 383,474 | |
4.25%, 02/09/47 | | | 242,000 | | | | 269,611 | |
AT&T, Inc. | | | | | | | | |
4.10%, 02/15/28 144A | | | 2,300,000 | | | | 2,312,265 | |
4.50%, 05/15/35 | | | 529,000 | | | | 527,437 | |
4.30%, 12/15/42 | | | 1,242,000 | | | | 1,171,125 | |
4.75%, 05/15/46 | | | 1,153,000 | | | | 1,132,038 | |
Bank of America Corporation | | | | | | | | |
3.50%, 04/19/26 | | | 964,000 | | | | 986,658 | |
6.11%, 01/29/37 | | | 900,000 | | | | 1,154,132 | |
Bank of America NA | | | | | | | | |
6.00%, 10/15/36 | | | 2,900,000 | | | | 3,788,783 | |
Bruce Mansfield Unit 1 2007 Pass-Through Trust | | | | | | | | |
6.85%, 06/01/34 | | | 850,300 | | | | 289,102 | |
Burlington Northern Santa Fe LLC | | | | | |
4.15%, 04/01/45 | | | 879,000 | | | | 957,582 | |
CB Escrow Corporation | | | | | | | | |
8.00%, 10/15/25 144A | | | 170,000 | | | | 173,400 | |
CenturyLink, Inc. | | | | | | | | |
6.88%, 01/15/28D | | | 65,000 | | | | 59,150 | |
7.65%, 03/15/42 | | | 295,000 | | | | 261,444 | |
Chesapeake Energy Corporation | | | | | |
6.63%, 08/15/20D | | | 25,000 | | | | 26,125 | |
6.88%, 11/15/20D | | | 15,000 | | | | 15,675 | |
| | | | | | | | |
| | | Par | | | Value | |
4.88%, 04/15/22D | | $ | 70,000 | | | $ | 66,675 | |
5.75%, 03/15/23 | | | 20,000 | | | | 18,600 | |
Citigroup, Inc. | | | | | | | | |
8.13%, 07/15/39 | | | 858,000 | | | | 1,376,185 | |
(Variable, ICE LIBOR USD 3M + 1.84%), 4.28%, 04/24/48D † | | | 533,000 | | | | 581,177 | |
Community Health Systems, Inc. | | | | | | | | |
5.13%, 08/01/21D | | | 10,000 | | | | 9,050 | |
Continental Airlines Class B Pass Through Trust Series 1999-2 | | | | | | | | |
7.57%, 03/15/20 | | | 45 | | | | 50 | |
Continental Resources, Inc. | | | | | | | | |
4.50%, 04/15/23 | | | 40,000 | | | | 40,900 | |
3.80%, 06/01/24 | | | 125,000 | | | | 124,063 | |
Cox Communications, Inc. | | | | | | | | |
4.60%, 08/15/47 144A | | | 255,000 | | | | 258,404 | |
Cummins, Inc. | | | | | | | | |
5.65%, 03/01/98 | | | 1,620,000 | | | | 1,924,137 | |
CVS Health Corporation | | | | | | | | |
5.13%, 07/20/45 | | | 240,000 | | | | 276,128 | |
Darden Restaurants, Inc. | | | | | | | | |
6.00%, 08/15/35 | | | 990,000 | | | | 1,187,074 | |
DCP Midstream Operating LP | | | | | | | | |
6.45%, 11/03/36 144A | | | 490,000 | | | | 527,975 | |
Diamond 1 Finance Corporation | | | | | | | | |
6.02%, 06/15/26 144A | | | 140,000 | | | | 154,619 | |
8.10%, 07/15/36 144A | | | 180,000 | | | | 227,895 | |
8.35%, 07/15/46 144A | | | 130,000 | | | | 168,039 | |
Dillard’s, Inc. | | | | | | | | |
7.00%, 12/01/28 | | | 500,000 | | | | 551,692 | |
Discovery Communications LLC | | | | | | | | |
5.00%, 09/20/37 | | | 800,000 | | | | 831,455 | |
Dow Chemical Co. | | | | | | | | |
9.40%, 05/15/39 | | | 374,000 | | | | 641,211 | |
Dynegy, Inc. | | | | | | | | |
8.13%, 01/30/26 144A | | | 80,000 | | | | 87,700 | |
Enbridge Energy Partners LP | | | | | | | | |
7.38%, 10/15/45 | | | 750,000 | | | | 999,982 | |
Energy Transfer LP | | | | | | | | |
5.15%, 03/15/45 | | | 770,000 | | | | 751,410 | |
Enterprise Products Operating LLC | | | | | |
5.10%, 02/15/45 | | | 595,000 | | | | 681,545 | |
Foot Locker, Inc. | | | | | | | | |
8.50%, 01/15/22 | | | 760,000 | | | | 893,000 | |
Ford Motor Co. | | | | | | | | |
6.63%, 10/01/28 | | | 680,000 | | | | 832,134 | |
6.38%, 02/01/29 | | | 1,255,000 | | | | 1,472,091 | |
Freeport-McMoRan, Inc. | | | | | | | | |
3.55%, 03/01/22 | | | 30,000 | | | | 29,738 | |
5.45%, 03/15/43 | | | 160,000 | | | | 160,600 | |
General Electric Co. | | | | | | | | |
5.88%, 01/14/38 | | | 150,000 | | | | 194,352 | |
General Motors Co. | | | | | | | | |
5.20%, 04/01/45 | | | 1,085,000 | | | | 1,150,730 | |
General Motors Financial Co., Inc. | | | | | |
3.45%, 04/10/22 | | | 130,000 | | | | 131,859 | |
| | | | |
| 154 | | See Notes to Financial Statements. | | |
| | | | | | | | |
| | | Par | | | Value | |
5.25%, 03/01/26 | | $ | 250,000 | | | $ | 275,352 | |
Goldman Sachs Group, Inc. | | | | | | | | |
3.50%, 11/16/26 | | | 2,755,000 | | | | 2,773,971 | |
6.75%, 10/01/37 | | | 500,000 | | | | 670,543 | |
HCA, Inc. | | | | | | | | |
7.05%, 12/01/27 | | | 500,000 | | | | 552,500 | |
Hewlett Packard Enterprise Co. | | | | | |
6.35%, 10/15/45 | | | 135,000 | | | | 143,396 | |
Jefferies Group LLC | | | | | | | | |
6.45%, 06/08/27 | | | 50,000 | | | | 58,192 | |
6.25%, 01/15/36 | | | 185,000 | | | | 210,969 | |
JPMorgan Chase & Co. | | | | | | | | |
4.25%, 11/02/18(Z) | | | 385,000 | | | | 276,658 | |
5.60%, 07/15/41 | | | 1,813,000 | | | | 2,337,086 | |
(Variable, ICE LIBOR USD 3M + 1.58%), 4.26%, 02/22/48† | | | 537,000 | | | | 582,737 | |
KB Home | | | | | | | | |
1.38%, 02/01/19 CONV | | | 95,000 | | | | 116,731 | |
Kinder Morgan Energy Partners LP | | | | | |
5.80%, 03/15/35 | | | 280,000 | | | | 310,853 | |
Kindred Healthcare, Inc. | | | | | | | | |
8.75%, 01/15/23D | | | 70,000 | | | | 74,550 | |
Liberty Mutual Group, Inc. | | | | | | | | |
6.50%, 03/15/35 144A | | | 1,400,000 | | | | 1,814,152 | |
Lockheed Martin Corporation | | | | | |
4.70%, 05/15/46 | | | 903,000 | | | | 1,057,893 | |
Macy’s Retail Holdings, Inc. | | | | | |
6.38%, 03/15/37 | | | 124,000 | | | | 126,805 | |
Masco Corporation | | | | | | | | |
7.75%, 08/01/29 | | | 129,000 | | | | 168,333 | |
6.50%, 08/15/32 | | | 15,000 | | | | 18,357 | |
McDonald’s Corporation | | | | | | | | |
4.88%, 12/09/45 | | | 625,000 | | | | 726,938 | |
MetLife, Inc. | | | | | | | | |
6.40%, 12/15/36 | | | 310,000 | | | | 357,371 | |
5.88%, 02/06/41 | | | 500,000 | | | | 651,399 | |
Microchip Technology, Inc. | | | | | | | | |
1.63%, 02/15/25 CONV | | | 85,000 | | | | 144,925 | |
Microsoft Corporation | | | | | | | | |
4.45%, 11/03/45 | | | 595,000 | | | | 699,150 | |
3.70%, 08/08/46 | | | 594,000 | | | | 620,895 | |
Morgan Stanley | | | | | | | | |
4.75%, 11/16/18(A) | | | 295,000 | | | | 235,042 | |
3.13%, 08/05/21(C) | | | 235,000 | | | | 190,029 | |
4.30%, 01/27/45 | | | 1,092,000 | | | | 1,180,707 | |
Mutual of Omaha Insurance Co. | | | | | |
6.80%, 06/15/36 144A | | | 100,000 | | | | 130,728 | |
Navient Corporation | | | | | | | | |
5.88%, 10/25/24D | | | 30,000 | | | | 29,925 | |
5.63%, 08/01/33 | | | 1,460,000 | | | | 1,281,150 | |
New Albertsons, Inc. | | | | | | | | |
6.63%, 06/01/28 | | | 35,000 | | | | 27,825 | |
7.45%, 08/01/29 | | | 65,000 | | | | 57,525 | |
8.70%, 05/01/30 | | | 200,000 | | | | 188,000 | |
8.00%, 05/01/31D | | | 370,000 | | | | 335,775 | |
Newell Brands, Inc. | | | | | | | | |
5.38%, 04/01/36 | | | 417,000 | | | | 488,926 | |
| | | | | | | | |
| | | Par | | | Value | |
5.50%, 04/01/46 | | $ | 483,000 | | | $ | 577,197 | |
NGL Energy Partners LP | | | | | | | | |
6.88%, 10/15/21 | | | 15,000 | | | | 15,375 | |
7.50%, 11/01/23 | | | 100,000 | | | | 103,750 | |
6.13%, 03/01/25D | | | 220,000 | | | | 215,600 | |
Noble Energy, Inc. | | | | | | | | |
5.05%, 11/15/44 | | | 600,000 | | | | 645,098 | |
Nuance Communications, Inc. | | | | | |
1.25%, 04/01/25 144A CONV | | | 35,000 | | | | 35,919 | |
1.00%, 12/15/35 CONV | | | 40,000 | | | | 38,375 | |
Old Republic International Corporation | | | | | | | | |
4.88%, 10/01/24 | | | 230,000 | | | | 246,713 | |
ON Semiconductor Corporation | | | | | |
1.00%, 12/01/20 CONV | | | 85,000 | | | | 108,906 | |
ONEOK Partners LP | | | | | | | | |
6.20%, 09/15/43 | | | 5,000 | | | | 5,960 | |
Penn Mutual Life Insurance Co. | | | | | |
7.63%, 06/15/40 144A | | | 1,750,000 | | | | 2,449,431 | |
Priceline Group, Inc. | | | | | | | | |
0.90%, 09/15/21D CONV | | | 110,000 | | | | 128,906 | |
Prudential Financial, Inc. | | | | | | | | |
6.63%, 06/21/40 | | | 760,000 | | | | 1,070,861 | |
PulteGroup, Inc. | | | | | | | | |
6.38%, 05/15/33 | | | 1,000,000 | | | | 1,125,000 | |
Quicken Loans, Inc. | | | | | | | | |
5.75%, 05/01/25 144A | | | 125,000 | | | | 130,001 | |
Qwest Corporation | | | | | | | | |
7.25%, 09/15/25 | | | 490,000 | | | | 526,733 | |
6.88%, 09/15/33 | | | 1,918,000 | | | | 1,843,513 | |
Rockwell Collins, Inc. | | | | | | | | |
4.35%, 04/15/47 | | | 823,000 | | | | 897,626 | |
RPM International, Inc. | | | | | | | | |
2.25%, 12/15/20D CONV | | | 22,000 | | | | 25,506 | |
Sempra Energy | | | | | | | | |
6.00%, 10/15/39 | | | 991,000 | | | | 1,282,987 | |
Sherwin-Williams Co. | | | | | | | | |
4.50%, 06/01/47 | | | 646,000 | | | | 709,263 | |
SM Energy Co. | | | | | | | | |
5.00%, 01/15/24 | | | 15,000 | | | | 14,541 | |
Southern Co. | | | | | | | | |
4.40%, 07/01/46 | | | 1,356,000 | | | | 1,450,060 | |
Sprint Capital Corporation | | | | | | | | |
6.88%, 11/15/28 | | | 1,025,000 | | | | 1,033,969 | |
8.75%, 03/15/32 | | | 20,000 | | | | 22,750 | |
Sprint Communications, Inc. | | | | | |
6.00%, 11/15/22 | | | 40,000 | | | | 40,100 | |
Sprint Corporation | | | | | | | | |
7.13%, 06/15/24 | | | 15,000 | | | | 15,300 | |
Tenet Healthcare Corporation | | | | | |
5.13%, 05/01/25 144A D | | | 285,000 | | | | 278,944 | |
Textron, Inc. | | | | | | | | |
6.63%, 04/07/20(U) | | | 160,000 | | | | 238,177 | |
Time Warner Cable LLC | | | | | | | | |
5.50%, 09/01/41 | | | 25,000 | | | | 26,144 | |
4.50%, 09/15/42 | | | 45,000 | | | | 42,373 | |
| | | | |
| | See Notes to Financial Statements. | | 155 |
EXTENDED-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | |
| | | Par | | | Value | |
Toro Co. | | | | | | | | |
6.63%, 05/01/37 | | $ | 300,000 | | | $ | 375,168 | |
Transcontinental Gas Pipe Line Co. LLC | | | | | |
7.85%, 02/01/26 | | | 455,000 | | | | 582,459 | |
Transocean, Inc. | | | | | | | | |
5.80%, 10/15/22D | | | 205,000 | | | | 202,950 | |
6.80%, 03/15/38D | | | 20,000 | | | | 16,150 | |
Tyson Foods, Inc. | | | | | | | | |
4.55%, 06/02/47 | | | 357,000 | | | | 390,433 | |
United Airlines Class A Pass-Through Trust Series 2014-1 | | | | | |
4.00%, 04/11/26D | | | 98,935 | | | | 103,892 | |
United Rentals North America, Inc. | | | | | |
4.88%, 01/15/28 | | | 30,000 | | | | 30,225 | |
United States Steel Corporation | | | | | |
6.65%, 06/01/37D | | | 95,000 | | | | 93,575 | |
Unum Group | | | | | | | | |
5.75%, 08/15/42 | | | 800,000 | | | | 982,415 | |
US Airways Class A Pass-Through | | | | | |
Trust Series 2012-1 | | | | | | | | |
5.90%, 10/01/24 | | | 334,354 | | | | 371,869 | |
Verizon Communications, Inc. | | | | | |
4.27%, 01/15/36 | | | 1,700,000 | | | | 1,696,456 | |
5.25%, 03/16/37 | | | 999,000 | | | | 1,102,000 | |
5.01%, 08/21/54 | | | 491,000 | | | | 505,784 | |
4.67%, 03/15/55 | | | 580,000 | | | | 562,387 | |
Visa, Inc. | | | | | | | | |
4.30%, 12/14/45 | | | 700,000 | | | | 798,566 | |
Wal-Mart Stores, Inc. | | | | | | | | |
3.63%, 12/15/47D | | | 261,000 | | | | 274,190 | |
Wells Fargo & Co. | | | | | | | | |
3.90%, 05/01/45D | | | 637,000 | | | | 662,397 | |
WestRock MWV LLC | | | | | | | | |
7.55%, 03/01/47 | | | 515,000 | | | | 733,000 | |
Weyerhaeuser Co. REIT | | | | | | | | |
6.88%, 12/15/33 | | | 580,000 | | | | 764,745 | |
Windstream Services LLC | | | | | | | | |
7.50%, 04/01/23D | | | 5,000 | | | | 3,350 | |
8.75%, 12/15/24 144A | | | 16,000 | | | | 11,260 | |
| | | | | | | | |
Total Corporate Bonds
(Cost $72,281,909) | | | | 83,556,704 | |
| | | | | | | | |
FOREIGN BONDS — 9.1% | | | | | |
Australia — 0.3% | | | | | | | | |
Barrick PD Australia Finance Proprietary, Ltd. | | | | | | | | |
5.95%, 10/15/39 | | | 571,000 | | | | 714,658 | |
New South Wales Treasury Corporation | | | | | | | | |
3.50%, 03/20/19(A) | | | 60,000 | | | | 47,719 | |
| | | | | | | | |
| | | | | | | 762,377 | |
| | | | | | | | |
Brazil — 0.3% | | | | | | | | |
Brazilian Government International Bond | | | | | |
10.25%, 01/10/28(B) | | | 2,525,000 | | | | 820,726 | |
| | | | | | | | |
| | | | | | | | |
| | | Par | | | Value | |
Canada — 3.6% | | | | | | | | |
Bombardier, Inc. | | | | | | | | |
6.00%, 10/15/22 144A | | $ | 515,000 | | | $ | 508,562 | |
Canadian Government Bond Residual STRIP | | | | | |
3.47%, 06/01/25(C) W | | | 3,685,000 | | | | 2,537,021 | |
Enbridge, Inc. | | | | | | | | |
5.50%, 12/01/46 | | | 549,000 | | | | 662,731 | |
MEG Energy Corporation | | | | | | | | |
7.00%, 03/31/24 144A | | | 330,000 | | | | 280,088 | |
Province of Ontario Generic Residual STRIP | | | | | |
2.98%, 03/08/29(C) W | | | 4,600,000 | | | | 2,667,085 | |
Province of Saskatchewan Residual STRIP | | | | | |
3.49%, 02/04/22(C) W | | | 3,000,000 | | | | 2,168,508 | |
| | | | | | | | |
| | | | | | | 8,823,995 | |
| | | | | | | | |
Ireland — 0.1% | | | | | | | | |
Johnson Controls International PLC | | | | | |
4.50%, 02/15/47 | | | 160,000 | | | | 176,509 | |
| | | | | | | | |
Italy — 0.4% | | | | | | | | |
Telecom Italia Capital SA | | | | | | | | |
6.00%, 09/30/34 | | | 785,000 | | | | 885,087 | |
| | | | | | | | |
Luxembourg — 0.6% | | | | | | | | |
ArcelorMittal | | | | | | | | |
7.50%, 10/15/39 | | | 215,000 | | | | 276,275 | |
7.25%, 03/01/41 | | | 975,000 | | | | 1,238,250 | |
| | | | | | | | |
| | | | | | | 1,514,525 | |
| | | | | | | | |
Mexico — 1.1% | | | | | | | | |
America Movil SAB de CV | | | | | |
6.45%, 12/05/22(M) | | | 2,600,000 | | | | 123,443 | |
8.46%, 12/18/36(M) | | | 12,000,000 | | | | 557,356 | |
Mexican Bonos | | | | | | | | |
8.00%, 12/07/23(M) | | | 21,300,000 | | | | 1,101,870 | |
10.00%, 12/05/24(M) | | | 3,500,000 | | | | 200,820 | |
7.50%, 06/03/27(M) | | | 3,500,000 | | | | 176,089 | |
8.50%, 05/31/29(M) | | | 500,000 | | | | 26,956 | |
7.75%, 05/29/31(M) | | | 1,000,000 | | | | 50,937 | |
Petroleos Mexicanos | | | | | | | | |
5.63%, 01/23/46 | | | 600,000 | | | | 556,800 | |
| | | | | | | | |
| | | | | | | 2,794,271 | |
| | | | | | | | |
Netherlands — 1.3% | | | | | | | | |
Cooperatieve Rabobank UA | | | | | |
3.75%, 07/21/26 | | | 493,000 | | | | 500,337 | |
5.25%, 05/24/41 | | | 632,000 | | | | 798,758 | |
Embraer Netherlands Finance BV | | | | | |
5.40%, 02/01/27 | | | 80,000 | | | | 86,500 | |
Enel Finance International NV | | | | | |
6.00%, 10/07/39 144A | | | 500,000 | | | | 624,178 | |
Petrobras Global Finance BV | | | | | |
5.63%, 05/20/43 | | | 120,000 | | | | 107,687 | |
| | | | |
| 156 | | See Notes to Financial Statements. | | |
| | | | | | | | |
| | | Par | | | Value | |
Shell International Finance BV | | | | | |
4.00%, 05/10/46 | | $ | 1,060,000 | | | $ | 1,131,887 | |
| | | | | | | | |
| | | | | | | 3,249,347 | |
| | | | | | | | |
New Zealand — 0.3% | |
New Zealand Government Bond | | | | | |
5.00%, 03/15/19(Z) | | | 945,000 | | | | 695,322 | |
| | | | | | | | |
Norway — 0.0% | |
Norway Government Bond | | | | | | | | |
4.50%, 05/22/19 144A (K) | | | 265,000 | | | | 34,078 | |
3.75%, 05/25/21 144A (K) | | | 196,000 | | | | 26,146 | |
| | | | | | | | |
| | | | | | | 60,224 | |
| | | | | | | | |
Saudi Arabia — 0.2% | |
Saudi Government International Bond | | | | | | | | |
4.50%, 10/26/46 144A | | | 520,000 | | | | 520,234 | |
| | | | | | | | |
Spain — 0.3% | |
Telefonica Emisiones SA Unipersonal | | | | | | | | |
7.05%, 06/20/36 | | | 524,000 | | | | 705,032 | |
| | | | | | | | |
United Kingdom — 0.6% | |
Ensco PLC | | | | | | | | |
5.75%, 10/01/44 | | | 212,000 | | | | 146,280 | |
Lloyds Banking Group PLC | | | | | | | | |
5.30%, 12/01/45D | | | 1,056,000 | | | | 1,256,409 | |
| | | | | | | | |
| | | | | | | 1,402,689 | |
| | | | | | | | |
Total Foreign Bonds
(Cost $22,130,679) | | | | | | | 22,410,338 | |
| | | | | | | | |
MUNICIPAL BONDS — 0.2% | |
New Jersey Transportation Trust Fund Authority, Revenue Bonds | | | | | | | | |
6.56%, 12/15/40 | | | 235,000 | | | | 312,233 | |
State of Illinois, General Obligation | | | | | | | | |
5.10%, 06/01/33 | | | 235,000 | | | | 235,021 | |
| | | | | | | | |
Total Municipal Bonds
(Cost $468,459) | | | | | | | 547,254 | |
| | | | | | | | |
U.S. TREASURY OBLIGATIONS — 53.6% | |
U.S. Treasury Bonds | | | | | | | | |
4.63%, 02/15/40 | | | 14,945,000 | | | | 19,878,897 | |
2.75%, 11/15/42 | | | 200,000 | | | | 201,332 | |
2.88%, 05/15/43 | | | 845,000 | | | �� | 869,079 | |
3.13%, 08/15/44 | | | 1,505,000 | | | | 1,617,934 | |
2.50%, 05/15/46 | | | 5,000,000 | | | | 4,756,448 | |
2.75%, 08/15/47D | | | 16,968,000 | | | | 16,992,858 | |
2.75%, 11/15/47D | | | 7,000,000 | | | | 7,012,579 | |
| | | | | | | | |
| | | | | | | 51,329,127 | |
| | | | | | | | |
U.S. Treasury Notes | | | | | | | | |
1.75%, 11/30/19D | | | 39,000,000 | | | | 38,906,302 | |
2.00%, 11/30/22D | | | 30,000,000 | | | | 29,730,465 | |
2.25%, 02/15/27D | | | 8,657,000 | | | | 8,544,901 | |
2.25%, 08/15/27D | | | 452,000 | | | | 445,714 | |
2.25%, 11/15/27D | | | 3,800,000 | | | | 3,747,007 | |
| | | | | | | | |
| | | | | | 81,374,389 | |
| | | | | | | | |
Total U.S. Treasury Obligations | | | | | | | | |
(Cost $132,495,885) | | | | | | | 132,703,516 | |
| | | | | | | | |
| | | | | | | | |
| | | Shares | | | Value | |
COMMON STOCK — 0.0% | |
Industrials — 0.0% | | | | | | | | |
Arconic, Inc.(E) | | | | | | | | |
(Cost $80,544) | | | 2,606 | | | $ | 71,014 | |
| | | | | | | | |
PREFERRED STOCKS — 0.1% | |
Chesapeake Energy Corporation | | | | | | | | |
5.00%, 10/31/17D CONV | | | 620 | | | | 35,301 | |
5.75%, 10/31/17 144A CONV | | | 80 | | | | 44,750 | |
El Paso Energy Capital Trust I 4.75%, 03/31/28 CONV | | | 5,350 | | | | 254,339 | |
| | | | | | | | |
Total Preferred Stocks
(Cost $354,717) | | | | | | | 334,390 | |
| | | | | | | | |
MONEY MARKET FUNDS — 7.4% | |
GuideStone Money Market Fund (Investor Class)¥ | | | 6,203,434 | | | | 6,203,434 | |
Northern Institutional Liquid Assets Portfolio§ | | | 12,095,847 | | | | 12,095,847 | |
| | | | | | | | |
Total Money Market Funds
(Cost $18,299,281) | | | | | | | 18,299,281 | |
| | | | | | | | |
TOTAL INVESTMENTS — 104.2%
(Cost $246,111,474) | | | | | | | 257,922,497 | |
Liabilities in Excess of Other Assets — (4.2)% | | | | | | | (10,324,360 | ) |
| | | | | | | | |
NET ASSETS — 100.0% | | | | | | $ | 247,598,137 | |
| | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 157 |
EXTENDED-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2017, 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 | | $ | 83,556,704 | | | $ | — | | | $ | 83,556,704 | | | $ | — | |
Foreign Bonds | | | 22,410,338 | | | | — | | | | 22,410,338 | | | | — | |
Money Market Funds | | | 18,299,281 | | | | 18,299,281 | | | | — | | | | — | |
Municipal Funds | | | 547,254 | | | | — | | | | 547,254 | | | | — | |
Common Stock | | | 71,014 | | | | 71,014 | | | | — | | | | — | |
Preferred Stocks | | | 334,390 | | | | — | | | | 334,390 | | | | — | |
U.S. Treasury Obligations | | | 132,703,516 | | | | — | | | | 132,703,516 | | | | — | |
| | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | $ | 257,922,497 | | | $ | 18,370,295 | | | $ | 239,552,202 | | | $ | — | |
| | | | | | | | | | | | | | | | |
Management has determined that the amount of transfers between Level 1 and Level 2 as well as the amount of Level 3 securities compared to total net assets are not material; therefore, the amount of transfers between Level 1 and Level 2 and the reconciliation of Level 3 securities and assumptions are not shown for the year ended December 31, 2017.
| | | | |
| 158 | | See Notes to Financial Statements. | | |
Global Bond Fund (Unaudited)
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 calculation that measures the sensitivity of a bond or bond fund 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, 2017, the Investor Class of the Fund outperformed its composite benchmark, 50% Bloomberg Barclays Global Aggregate Bond Index, 25% J.P. Morgan EMBI Plus and 25% Bloomberg Barclays US Corporate High Yield 2% Issuer Capped Bond Index, (7.69% versus 7.66%). The outperformance was driven primarily by security selection during the year. Investment grade credit, high yield credit and securitized sectors were the top contributors to the relative annual performance of the Fund. An overweight to the euro was a positive as the currency strengthened against the U.S. dollar. A shorter duration and an underweight to U.S. Treasury bonds also contributed positively.
Additionally, U.S. Treasury 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 certain currency options detracted from performance, overall these strategies contributed modestly to 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 (junk bonds). These securities involve greater risks of default, are more volatile than bonds rated investment grade and are inherently speculative. Obligations of foreign issuers may be negatively impacted by political events, economic conditions or inefficient, illiquid or unregulated markets in foreign countries, and they also may be subject to inadequate regulatory or accounting standards, which may increase investment risk. Investing in emerging markets may involve greater risks than investing in more developed foreign markets because, among other things, emerging markets often have more 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. Derivatives involve different risks from, and in some respects greater than, those associated with investing directly in securities, currencies or other instruments. Derivatives may be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in value of the underlying instruments may produce disproportionate losses to the Fund. It is possible to lose money by investing in the Fund.
At December 31, 2017, 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 | | | 34.7 | |
Foreign Bonds | | | 29.3 | |
U.S. Treasury Obligations | | | 19.1 | |
Money Market Funds | | | 10.3 | |
Loan Agreements | | | 2.8 | |
Mortgage-Backed Securities | | | 2.4 | |
Agency Obligations | | | 2.3 | |
Common Stocks | | | 1.0 | |
Asset-Backed Securities | | | 0.9 | |
Preferred Stocks | | | 0.4 | |
Foreign Government Inflation-Linked Bond | | | 0.4 | |
Municipal Bond | | | — | ** |
Purchased Option | | | — | ** |
Written Option | | | (— | )** |
| | | | |
| | | 103.6 | |
| | | | |
** Rounds to less than .005%
| | | | |
| | See Notes to Financial Statements. | | 159 |
Global Bond Fund (Unaudited)
| | | | | | |
| Average Annual Total Returns as of 12/31/17 |
| | | Institutional
Class | | Investor
Class* | | Benchmark** |
One Year | | 7.87% | | 7.69% | | 7.66% |
Five Year | | N/A | | 2.99% | | 2.69% |
Ten Year | | N/A | | 5.21% | | 5.35% |
Since Inception(1) | | 4.00% | | 5.35% | | 5.49% |
Inception Date | | 04/30/15 | | 12/29/06 | | |
Total Fund Operating Expenses (May 1, 2017 Prospectus as amended July 1, 2017)(2) | | 0.60% | | 0.89% | | |
(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, 2007 to December 31, 2017, 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.
| | | | |
| 160 | | See Notes to Financial Statements. | | |
| | |
GLOBAL BOND FUND SCHEDULE OF INVESTMENTS | | December 31, 2017 |
| | | | | | | | |
| | | Par | | | Value | |
AGENCY OBLIGATIONS — 2.3% | |
Federal Home Loan Bank Discount Notes | | | | | | | | |
1.07%, 01/19/18W | | $ | 5,955,000 | | | $ | 5,951,400 | |
Federal Home Loan Mortgage Corporation Discount Notes | | | | | | | | |
1.15%, 03/05/18W | | | 3,000,000 | | | | 2,993,076 | |
1.15%, 03/06/18W | | | 3,000,000 | | | | 2,992,964 | |
| | | | | | | | |
Total Agency Obligations
(Cost $11,939,779) | | | | | | | 11,937,440 | |
| | | | | | | | |
ASSET-BACKED SECURITIES — 0.9% | |
Hertz Vehicle Financing II LP Series 2017-1A B | | | | | | | | |
3.56%, 10/25/21 144A | | | 610,000 | | | | 607,082 | |
PFCA Home Equity Investment Trust | | | | | |
Series 2003-IFC5 A | | | | | | | | |
4.91%, 01/22/35 144A † g | | | 1,297,344 | | | | 1,310,660 | |
SLM Student Loan Trust Series | | | | | |
2003-4 A5E | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 0.75%), 2.34%, 03/15/33 144A † | | | 283,687 | | | | 282,887 | |
Washington Mutual Mortgage Pass-Through Certificates Series 2007-HE4 1A | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.17%), 1.72%, 07/25/47† | | | 3,149,698 | | | | 2,357,408 | |
| | | | | | | | |
Total Asset-Backed Securities (Cost $4,149,218) | | | | | | | 4,558,037 | |
| | | | | | | | |
CORPORATE BONDS — 34.7% | | | | | |
Abbott Laboratories | | | | | | | | |
3.75%, 11/30/26 | | | 700,000 | | | | 720,133 | |
AES Corporation | | | | | | | | |
4.88%, 05/15/23 | | | 1,350,000 | | | | 1,382,062 | |
Ally Financial, Inc. | | | | | | | | |
8.00%, 12/31/18 | | | 104,000 | | | | 109,200 | |
3.50%, 01/27/19 | | | 1,000,000 | | | | 1,007,500 | |
8.00%, 03/15/20 | | | 161,000 | | | | 177,905 | |
5.13%, 09/30/24D | | | 920,000 | | | | 997,050 | |
8.00%, 11/01/31 | | | 345,000 | | | | 450,225 | |
Amazon.com, Inc. 3.88%, 08/22/37 144A | | | 870,000 | | | | 926,316 | |
American Airlines Class B Pass | | | | | |
Through Trust Series 2013-1 | | | | | |
5.63%, 01/15/21 144A | | | 490,047 | | | | 510,164 | |
American Airlines Class B Pass-Through Trust Series 2016-1 | | | | | | | | |
5.25%, 01/15/24 | | | 1,635,493 | | | | 1,728,470 | |
American Airlines Group, Inc. | | | | | |
5.50%, 10/01/19 144A | | | 1,825,000 | | | | 1,884,312 | |
American Axle & Manufacturing, Inc. | | | | | | | | |
6.63%, 10/15/22D | | | 150,000 | | | | 155,813 | |
Anadarko Petroleum Corporation | | | | | |
3.45%, 07/15/24 | | | 135,000 | | | | 134,637 | |
| | | | | | | | |
| | | Par | | | Value | |
4.50%, 07/15/44 | | $ | 215,000 | | | $ | 215,079 | |
Andeavor Logistics LP | | | | | | | | |
6.38%, 05/01/24 | | | 190,000 | | | | 206,388 | |
Antero Resources Corporation | | | | | | | | |
5.38%, 11/01/21 | | | 365,000 | | | | 375,494 | |
5.13%, 12/01/22 | | | 475,000 | | | | 486,875 | |
5.63%, 06/01/23 | | | 155,000 | | | | 161,975 | |
Apple, Inc. | | | | | | | | |
1.55%, 02/07/20 | | | 165,000 | | | | 163,240 | |
Ashtead Capital, Inc. | | | | | | | | |
5.63%, 10/01/24 144A | | | 330,000 | | | | 351,450 | |
Atrium Windows & Doors, Inc. | | | | | | | | |
7.75%, 05/01/19 144A | | | 280,000 | | | | 285,250 | |
Avon Products, Inc. | | | | | | | | |
8.95%, 03/15/43 | | | 115,000 | | | | 87,831 | |
Bank of America Corporation | | | | | | | | |
5.49%, 03/15/19 | | | 100,000 | | | | 103,562 | |
(Variable, ICE LIBOR USD 3M + 4.17%), 6.50%, 10/23/24† | | | 490,000 | | | | 557,375 | |
4.25%, 10/22/26 | | | 100,000 | | | | 105,500 | |
(Variable, ICE LIBOR USD 3M + 1.04%), 3.42%, 12/20/28 144A † | | | 860,000 | | | | 861,268 | |
6.11%, 01/29/37 | | | 1,300,000 | | | | 1,667,080 | |
Barrick North America Finance LLC | | | | | | | | |
5.75%, 05/01/43 | | | 2,440,000 | | | | 3,079,858 | |
Beacon Escrow Corporation | | | | | | | | |
4.88%, 11/01/25 144A | | | 310,000 | | | | 312,713 | |
Beazer Homes USA, Inc. | | | | | | | | |
7.25%, 02/01/23 | | | 3,000 | | | | 3,135 | |
Berry Pete Corporation (Escrow) | | | | | | | | |
6.38%, 09/15/22D y ††† # | | | 60,000 | | | | — | |
Best Buy Co., Inc. | | | | | | | | |
5.00%, 08/01/18D | | | 3,455,000 | | | | 3,512,372 | |
Blue Cube Spinco, Inc. | | | | | | | | |
. 10.00%, 10/15/25 | | | 1,525,000 | | | | 1,837,625 | |
Blue Racer Midstream LLC | | | | | | | | |
6.13%, 11/15/22 144A | | | 200,000 | | | | 209,500 | |
Braskem America Finance | | | | | | | | |
Co. 7.13%, 07/22/41 | | | 1,490,000 | | | | 1,776,825 | |
CalAmp Corporation | | | | | | | | |
1.63%, 05/15/20 CONV | | | 65,000 | | | | 69,063 | |
California Resources Corporation | | | | | | | | |
8.00%, 12/15/22 144A | | | 1,390,000 | | | | 1,151,962 | |
Calpine Corporation | | | | | | | | |
5.88%, 01/15/24 144A | | | 274,000 | | | | 279,480 | |
Care Capital Properties LP REIT | | | | | | | | |
5.13%, 08/15/26 | | | 220,000 | | | | 223,458 | |
Carrizo Oil & Gas, Inc. | | | | | | | | |
6.25%, 04/15/23D | | | 320,000 | | | | 333,600 | |
CB Escrow Corporation | | | | | | | | |
8.00%, 10/15/25 144A | | | 405,000 | | | | 413,100 | |
CCO Holdings LLC | | | | | | | | |
5.38%, 05/01/25 144A | | | 130,000 | | | | 134,267 | |
| | | | |
| | See Notes to Financial Statements. | | 161 |
GLOBAL BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Par | | | | | | Value | |
Celgene Corporation | | | | | | | | | | | | |
5.00%, 08/15/45 | | $ | 210,000 | | | | | | | $ | 239,196 | |
Centene Corporation | | | | | | | | | | | | |
4.75%, 05/15/22 | | | 550,000 | | | | | | | | 573,375 | |
6.13%, 02/15/24 | | | 200,000 | | | | | | | | 212,000 | |
4.75%, 01/15/25 | | | 260,000 | | | | | | | | 265,200 | |
CenturyLink, Inc. | | | | | | | | | | | | |
5.63%, 04/01/20 | | | 295,000 | | | | | | | | 298,319 | |
6.75%, 12/01/23D | | | 600,000 | | | | | | | | 590,250 | |
5.63%, 04/01/25D | | | 90,000 | | | | | | | | 82,238 | |
7.60%, 09/15/39 | | | 810,000 | | | | | | | | 700,650 | |
7.65%, 03/15/42 | | | 260,000 | | | | | | | | 230,425 | |
Charter Communications Operating LLC | | | | | | | | | | | | |
6.48%, 10/23/45 | | | 300,000 | | | | | | | | 350,989 | |
Chemours Co. | | | | | | | | | | | | |
6.63%, 05/15/23 | | | 70,000 | | | | | | | | 74,375 | |
Chesapeake Energy Corporation | | | | | | | | | | | | |
6.63%, 08/15/20D | | | 145,000 | | | | | | | | 151,525 | |
6.88%, 11/15/20D | | | 5,000 | | | | | | | | 5,225 | |
6.13%, 02/15/21 | | | 665,000 | | | | | | | | 676,637 | |
5.38%, 06/15/21 | | | 80,000 | | | | | | | | 77,600 | |
4.88%, 04/15/22D | | | 2,570,000 | | | | | | | | 2,447,925 | |
5.75%, 03/15/23D | | | 870,000 | | | | | | | | 809,100 | |
5.50%, 09/15/26 144A CONV | | | 40,000 | | | | | | | | 36,625 | |
Cincinnati Bell, Inc. | | | | | | | | | | | | |
7.00%, 07/15/24 144A | | | 355,000 | | | | | | | | 353,225 | |
CIT Group, Inc. | | | | | | | | | | | | |
5.00%, 08/15/22 | | | 412,000 | | | | | | | | 437,750 | |
5.00%, 08/01/23 | | | 670,000 | | | | | | | | 715,225 | |
Citigroup, Inc. | | | | | | | | | | | | |
5.13%, 11/12/19(Z) | | | 640,000 | | | | | | | | 472,856 | |
3.50%, 05/15/23 | | | 1,305,000 | | | | | | | | 1,329,963 | |
(Variable, ICE LIBOR USD 3M + 3.47%), 5.35%, 05/15/23† | | | 1,180,000 | | | | | | | | 1,208,025 | |
(Variable, ICE LIBOR USD 3M + 3.42%), 6.30%, 05/15/24† | | | 1,330,000 | | | | | | | | 1,426,425 | |
(Variable, ICE LIBOR USD 3M + 3.91%), 5.95%, 05/15/25† | | | 250,000 | | | | | | | | 266,563 | |
Clear Channel Worldwide Holdings, Inc. | | | | | | | | | | | | |
7.63%, 03/15/20 | | | 345,000 | | | | | | | | 339,394 | |
CME Group, Inc. | | | | | | | | | | | | |
5.30%, 09/15/43 | | | 860,000 | | | | | | | | 1,106,646 | |
Comcast Corporation | | | | | | | | | | | | |
5.15%, 03/01/20 | | | 170,000 | | | | | | | | 180,225 | |
3.15%, 03/01/26 | | | 1,010,000 | | | | | | | | 1,018,563 | |
Community Health Systems, Inc. | | | | | | | | | | | | |
5.13%, 08/01/21D | | | 30,000 | | | | | | | | 27,150 | |
ConocoPhillips | | | | | | | | | | | | |
6.50%, 02/01/39 | | | 20,000 | | | | | | | | 28,080 | |
Consolidated Communications, Inc. | | | | | | | | | | | | |
6.50%, 10/01/22 | | | 50,000 | | | | | | | | 45,250 | |
Continental Airlines Class A Pass Through Trust Series 2007-1 | | | | | | | | | | | | |
5.98%, 04/19/22 | | | 391,825 | | | | | | | | 427,854 | |
Continental Resources, Inc. | | | | | | | | | | | | |
5.00%, 09/15/22 | | | 95,000 | | | | | | | | 96,781 | |
| | | | | | | | | | | | |
| | | Par | | | | | | Value | |
4.50%, 04/15/23 | | $ | 525,000 | | | | | | | $ | 536,812 | |
3.80%, 06/01/24 | | | 315,000 | | | | | | | | 312,638 | |
4.90%, 06/01/44D | | | 370,000 | | | | | | | | 355,200 | |
Crestwood Midstream Partners LP | | | | | | | | | | | | |
6.25%, 04/01/23 | | | 120,000 | | | | | | | | 125,304 | |
CTR Partnership LP REIT | | | | | | | | | | | | |
5.25%, 06/01/25 | | | 600,000 | | | | | | | | 613,500 | |
Cummins, Inc. | | | | | | | | | | | | |
5.65%, 03/01/98 | | | 860,000 | | | | | | | | 1,021,456 | |
D.R. Horton, Inc. | | | | | | | | | | | | |
4.38%, 09/15/22 | | | 1,405,000 | | | | | | | | 1,481,232 | |
DAE Funding LLC | | | | | | | | | | | | |
4.50%, 08/01/22 144A | | | 365,000 | | | | | | | | 359,525 | |
5.00%, 08/01/24 144A | | | 750,000 | | | | | | | | 742,500 | |
DaVita, Inc. | | | | | | | | | | | | |
5.00%, 05/01/25 | | | 90,000 | | | | | | | | 90,198 | |
Delta Air Lines Class B Pass Through Trust Series 2007-1 | | | | | | | | | | | | |
8.02%, 08/10/22 | | | 42,528 | | | | | | | | 47,810 | |
Diamond 1 Finance Corporation | | | | | | | | | | | | |
4.42%, 06/15/21 144A | | | 970,000 | | | | | | | | 1,011,548 | |
5.88%, 06/15/21 144A | | | 500,000 | | | | | | | | 520,000 | |
7.13%, 06/15/24 144A D | | | 290,000 | | | | | | | | 317,620 | |
6.02%, 06/15/26 144A | | | 260,000 | | | | | | | | 287,150 | |
8.10%, 07/15/36 144A | | | 440,000 | | | | | | | | 557,077 | |
8.35%, 07/15/46 144A | | | 240,000 | | | | | | | | 310,226 | |
Dillard’s, Inc. | | | | | | | | | | | | |
7.75%, 07/15/26 | | | 890,000 | | | | | | | | 1,016,668 | |
DISH DBS Corporation | | | | | | | | | | | | |
5.88%, 07/15/22 | | �� | 600,000 | | | | | | | | 605,250 | |
5.00%, 03/15/23 | | | 410,000 | | | | | | | | 388,987 | |
5.88%, 11/15/24D | | | 1,370,000 | | | | | | | | 1,339,175 | |
7.75%, 07/01/26 | | | 1,240,000 | | | | | | | | 1,308,200 | |
DJO Finco, Inc. | | | | | | | | | | | | |
8.13%, 06/15/21 144A D | | | 830,000 | | | | | | | | 780,200 | |
Dollar Tree, Inc. | | | | | | | | | | | | |
5.75%, 03/01/23 | | | 920,000 | | | | | | | | 965,425 | |
Dynegy, Inc. | | | | | | | | | | | | |
8.13%, 01/30/26 144A | | | 260,000 | | | | | | | | 285,025 | |
El Paso Natural Gas Co. LLC | | | | | | | | | | | | |
8.63%, 01/15/22 | | | 90,000 | | | | | | | | 107,912 | |
8.38%, 06/15/32 | | | 75,000 | | | | | | | | 98,742 | |
Embarq Corporation | | | | | | | | | | | | |
8.00%, 06/01/36 | | | 995,000 | | | | | | | | 972,612 | |
Enbridge Energy Partners LP | | | | | | | | | | | | |
7.38%, 10/15/45 | | | 435,000 | | | | | | | | 579,990 | |
EnLink Midstream Partners LP | | | | | | | | | | | | |
4.15%, 06/01/25 | | | 460,000 | | | | | | | | 465,514 | |
Enterprise Products Operating LLC | | | | | | | | | | | | |
(Variable, ICE LIBOR USD 3M + 3.71%), 5.08%, 08/01/66† | | | 60,000 | | | | | | | | 60,075 | |
ERAC USA Finance LLC | | | | | | | | | | | | |
7.00%, 10/15/37 144A | | | 1,065,000 | | | | | | | | 1,428,442 | |
Evolent Health, Inc. | | | | | | | | | | | | |
2.00%, 12/01/21 CONV | | | 95,000 | | | | | | | | 89,538 | |
Extraction Oil & Gas Holdings LLC | | | | | | | | | | | | |
7.88%, 07/15/21 144A | | | 400,000 | | | | | | | | 425,000 | |
| | | | |
| 162 | | See Notes to Financial Statements. | | |
| | | | | | | | |
| | | Par | | | Value | |
First Data Corporation | | | | | | | | |
7.00%, 12/01/23 144A | | $ | 260,000 | | | $ | 275,600 | |
5.00%, 01/15/24 144A | | | 590,000 | | | | 609,175 | |
FirstEnergy Corporation | | | | | | | | |
7.38%, 11/15/31 | | | 185,000 | | | | 250,102 | |
Ford Motor Co. | | | | | | | | |
6.63%, 10/01/28 | | | 850,000 | | | | 1,040,168 | |
4.75%, 01/15/43D | | | 510,000 | | | | 519,109 | |
Ford Motor Credit Co. LLC | | | | | | | | |
4.39%, 01/08/26 | | | 3,085,000 | | | | 3,242,241 | |
Freeport-McMoRan, Inc. | | | | | | | | |
3.55%, 03/01/22 | | | 380,000 | | | | 376,675 | |
5.40%, 11/14/34 | | | 115,000 | | | | 117,588 | |
5.45%, 03/15/43 | | | 3,050,000 | | | | 3,061,437 | |
Fresenius Medical Care US Finance II, Inc. | | | | | | | | |
5.88%, 01/31/22 144A | | | 750,000 | | | | 826,384 | |
Frontier Communications Corporation | | | | | | | | |
11.00%, 09/15/25 | | | 295,000 | | | | 218,300 | |
7.88%, 01/15/27 | | | 405,000 | | | | 256,163 | |
GameStop Corporation | | | | | | | | |
5.50%, 10/01/19 144A | | | 295,000 | | | | 300,900 | |
Gates Global LLC | | | | | | | | |
6.00%, 07/15/22 144A | | | 195,000 | | | | 200,363 | |
General Electric Co. | | | | | | | | |
3.15%, 09/07/22 | | | 95,000 | | | | 96,565 | |
6.75%, 03/15/32 | | | 30,000 | | | | 41,158 | |
6.88%, 01/10/39 | | | 161,000 | | | | 232,446 | |
General Motors Co. | | | | | | | | |
5.20%, 04/01/45 | | | 210,000 | | | | 222,722 | |
General Motors Financial Co., Inc. | | | | | | | | |
3.45%, 04/10/22 | | | 300,000 | | | | 304,289 | |
5.25%, 03/01/26 | | | 625,000 | | | | 688,379 | |
Genesis Energy LP | | | | | | | | |
5.63%, 06/15/24 | | | 130,000 | | | | 127,400 | |
GEO Group, Inc. REIT | | | | | | | | |
5.88%, 10/15/24 | | | 100,000 | | | | 103,250 | |
Georgia-Pacific LLC | | | | | | | | |
8.88%, 05/15/31 | | | 605,000 | | | | 938,405 | |
Gilead Sciences, Inc. | | | | | | | | |
4.00%, 09/01/36 | | | 940,000 | | | | 996,399 | |
Global Marine, Inc. | | | | | | | | |
7.00%, 06/01/28 | | | 45,000 | | | | 46,125 | |
Goldman Sachs Capital II (Variable, ICE LIBOR USD 3M + 0.77%), 4.00%, 02/09/18† | | | 58,000 | | | | 51,417 | |
Goldman Sachs Group, Inc. | | | | | | | | |
2.90%, 07/19/18 | | | 130,000 | | | | 130,609 | |
6.75%, 10/01/37 | | | 355,000 | | | | 476,085 | |
5.15%, 05/22/45 | | | 810,000 | | | | 941,510 | |
Goodyear Tire & Rubber Co. | | | | | | | | |
5.13%, 11/15/23 | | | 750,000 | | | | 784,417 | |
7.00%, 03/15/28 | | | 690,000 | | | | 779,700 | |
Guitar Center, Inc. | | | | | | | | |
6.50%, 04/15/19 144A | | | 310,000 | | | | 288,300 | |
Hanesbrands, Inc. | | | | | | | | |
4.63%, 05/15/24 144A | | | 160,000 | | | | 164,000 | |
| | | | | | | | |
| | | Par | | | Value | |
4.88%, 05/15/26 144A | | $ | 150,000 | | | $ | 154,500 | |
Harris Corporation | | | | | | | | |
5.05%, 04/27/45 | | | 30,000 | | | | 35,422 | |
HCA, Inc. | | | | | | | | |
7.50%, 02/15/22 | | | 40,000 | | | | 45,100 | |
5.88%, 05/01/23 | | | 80,000 | | | | 85,600 | |
8.36%, 04/15/24 | | | 90,000 | | | | 106,875 | |
5.38%, 02/01/25 | | | 620,000 | | | | 643,250 | |
7.69%, 06/15/25 | | | 275,000 | | | | 312,813 | |
7.58%, 09/15/25 | | | 715,000 | | | | 822,250 | |
5.25%, 06/15/26 | | | 500,000 | | | | 531,250 | |
4.50%, 02/15/27 | | | 450,000 | | | | 453,375 | |
7.05%, 12/01/27 | | | 20,000 | | | | 22,100 | |
7.50%, 11/06/33 | | | 205,000 | | | | 230,625 | |
7.75%, 07/15/36 | | | 120,000 | | | | 136,200 | |
Hercules LLC | | | | | | | | |
6.50%, 06/30/29 | | | 250,000 | | | | 253,750 | |
Hilton Worldwide Finance LLC | | | | | | | | |
4.88%, 04/01/27 | | | 720,000 | | | | 755,100 | |
International Business Machines Corporation | | | | | | | | |
1.63%, 05/15/20 | | | 720,000 | | | | 711,420 | |
International Lease Finance Corporation | | | | | | | | |
3.88%, 04/15/18 | | | 10,000 | | | | 10,047 | |
6.25%, 05/15/19 | | | 75,000 | | | | 78,619 | |
4.63%, 04/15/21 | | | 300,000 | | | | 316,376 | |
INVISTA Finance LLC | | | | | | | | |
4.25%, 10/15/19 144A | | | 915,000 | | | | 931,104 | |
J.C. Penney Corporation, Inc. | | | | | | | | |
6.38%, 10/15/36D | | | 480,000 | | | | 288,000 | |
7.63%, 03/01/97D | | | 815,000 | | | | 491,037 | |
Jaguar Holding Co. II | | | | | | | | |
6.38%, 08/01/23 144A | | | 190,000 | | | | 192,375 | |
Jefferies Finance LLC | | | | | | | | |
7.50%, 04/15/21 144A | | | 275,000 | | | | 286,000 | |
6.88%, 04/15/22 144A | | | 200,000 | | | | 203,500 | |
Jefferies Group LLC | | | | | | | | |
5.13%, 04/13/18 | | | 55,000 | | | | 55,455 | |
6.88%, 04/15/21 | | | 270,000 | | | | 302,274 | |
5.13%, 01/20/23 | | | 305,000 | | | | 330,930 | |
6.45%, 06/08/27 | | | 35,000 | | | | 40,734 | |
3.88%, 11/01/29D CONV | | | 55,000 | | | | 55,138 | |
6.25%, 01/15/36 | | | 1,135,000 | | | | 1,294,322 | |
6.50%, 01/20/43 | | | 510,000 | | | | 603,595 | |
JPMorgan Chase & Co. | | | | | | | | |
4.25%, 11/02/18(Z) | | | 360,000 | | | | 258,693 | |
(Variable, ICE LIBOR USD 3M + 3.33%), 6.13%, 04/30/24† | | | 260,000 | | | | 285,025 | |
K Hovnanian Enterprises, Inc. | | | | | | | | |
5.00%, 11/01/21 | | | 795,000 | | | | 743,325 | |
KB Home | | | | | | | | |
1.38%, 02/01/19 CONV | | | 440,000 | | | | 540,650 | |
Kinder Morgan Energy Partners LP | | | | | | | | |
6.50%, 02/01/37 | | | 75,000 | | | | 88,025 | |
6.95%, 01/15/38 | | | 90,000 | | | | 112,231 | |
| | | | |
| | See Notes to Financial Statements. | | 163 |
GLOBAL BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Par | | | Value | |
Kinder Morgan, Inc. | | | | | | | | | | | | |
7.75%, 01/15/32 | | $ | 780,000 | | | | | | | $ | 1,009,589 | |
Kindred Healthcare, Inc. | | | | | | | | | | | | |
8.75%, 01/15/23D | | | 240,000 | | | | | | | | 255,600 | |
Kraft Heinz Foods Co. | | | | | | | | | | | | |
4.88%, 02/15/25 144A | | | 196,000 | | | | | | | | 207,897 | |
5.20%, 07/15/45 | | | 830,000 | | | | | | | | 916,466 | |
Lamb Weston Holdings, Inc. | | | | | | | | | | | | |
4.63%, 11/01/24 144A | | | 440,000 | | | | | | | | 455,400 | |
4.88%, 11/01/26 144A | | | 1,080,000 | | | | | | | | 1,131,300 | |
Lennar Corporation | | | | | | | | | | | | |
4.75%, 11/15/22 | | | 315,000 | | | | | | | | 331,931 | |
4.75%, 11/29/27 144A | | | 400,000 | | | | | | | | 413,920 | |
Leonardo US Holdings, Inc. | | | | | | | | | | | | |
6.25%, 01/15/40 144A D | | | 143,000 | | | | | | | | 166,416 | |
Lockheed Martin Corporation | | | | | | | | | | | | |
3.80%, 03/01/45 | | | 1,090,000 | | | | | | | | 1,108,583 | |
Magnum Hunter Resources | | | | | | | | | | | | |
Corporation (Escrow) | | | | | | | | | | | | |
0.00%, 12/31/20y ††† | | | 470,000 | | | | | | | | — | |
Masco Corporation | | | | | | | | | | | | |
7.75%, 08/01/29 | | | 117,000 | | | | | | | | 152,674 | |
6.50%, 08/15/32 | | | 47,000 | | | | | | | | 57,519 | |
MBIA Insurance Corporation | | | | | | | | | | | | |
12.62%, 01/15/33 144A | | | 435,000 | | | | | | | | 201,188 | |
Microchip Technology, Inc. | | | | | | | | | | | | |
1.63%, 02/15/25 CONV | | | 280,000 | | | | | | | | 477,400 | |
Micron Technology, Inc. | | | | | | | | | | | | |
5.25%, 01/15/24 144A | | | 190,000 | | | | | | | | 198,313 | |
5.50%, 02/01/25 | | | 228,000 | | | | | | | | 239,685 | |
Midas Intermediate Holdco II LLC | | | | | | | | | | | | |
7.88%, 10/01/22 144A | | | 1,015,000 | | | | | | | | 1,027,687 | |
Miran Mid-Atlantic Pass Through Trust Series C | | | | | | | | | | | | |
10.06%, 12/30/28 | | | 769,693 | | | | | | | | 781,238 | |
Morgan Stanley | | | | | | | | | | | | |
4.75%, 11/16/18(A) | | | 275,000 | | | | | | | | 219,107 | |
5.75%, 01/25/21 | | | 205,000 | | | | | | | | 223,490 | |
3.13%, 08/05/21(C) | | | 535,000 | | | | | | | | 432,620 | |
4.10%, 05/22/23 | | | 370,000 | | | | | | | | 385,947 | |
6.25%, 08/09/26 | | | 400,000 | | | | | | | | 478,234 | |
4.35%, 09/08/26 | | | 940,000 | | | | | | | | 986,771 | |
3.95%, 04/23/27 | | | 125,000 | | | | | | | | 127,181 | |
MPH Acquisition Holdings LLC | | | | | | | | | | | | |
7.13%, 06/01/24 144A | | | 170,000 | | | | | | | | 181,475 | |
MPLX LP | | | | | | | | | | | | |
4.50%, 07/15/23 | | | 20,000 | | | | | | | | 21,155 | |
4.88%, 06/01/25 | | | 75,000 | | | | | | | | 80,501 | |
MPT Operating Partnership LP REIT | | | | | | | | | | | | |
5.25%, 08/01/26 | | | 340,000 | | | | | | | | 353,600 | |
Murray Energy Corporation | | | | | | | | | | | | |
11.25%, 04/15/21 144A | | | 310,000 | | | | | | | | 159,650 | |
Mutual of Omaha Insurance Co. | | | | | | | | | | | | |
6.80%, 06/15/36 144A | | | 1,200,000 | | | | | | | | 1,568,732 | |
Navient Corporation | | | | | | | | | | | | |
8.45%, 06/15/18 | | | 406,000 | | | | | | | | 417,368 | |
5.50%, 01/15/19 | | | 75,000 | | | | | | | | 76,500 | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
8.00%, 03/25/20 | | $ | 600,000 | | | | | | | $ | 650,250 | |
5.88%, 03/25/21 | | | 320,000 | | | | | | | | 331,600 | |
5.50%, 01/25/23 | | | 1,720,000 | | | | | | | | 1,722,150 | |
6.13%, 03/25/24 | | | 1,480,000 | | | | | | | | 1,505,900 | |
5.88%, 10/25/24D | | | 600,000 | | | | | | | | 598,500 | |
Navios Maritime Acquisition Corporation | | | | | | | | | | | | |
8.13%, 11/15/21 144A | | | 90,000 | | | | | | | | 76,725 | |
NCL Corporation, Ltd. | | | | | | | | | | | | |
4.75%, 12/15/21 144A | | | 580,000 | | | | | | | | 601,750 | |
New Albertsons, Inc. | | | | | | | | | | | | |
7.75%, 06/15/26 | | | 410,000 | | | | | | | | 371,050 | |
6.63%, 06/01/28 | | | 60,000 | | | | | | | | 47,700 | |
7.45%, 08/01/29 | | | 1,415,000 | | | | | | | | 1,252,275 | |
8.70%, 05/01/30 | | | 320,000 | | | | | | | | 300,800 | |
8.00%, 05/01/31D | | | 1,310,000 | | | | | | | | 1,188,825 | |
Newell Brands, Inc. | | | | | | | | | | | | |
3.85%, 04/01/23 | | | 680,000 | | | | | | | | 704,447 | |
4.00%, 12/01/24 | | | 445,000 | | | | | | | | 462,785 | |
Newfield Exploration Co. | | | | | | | | | | | | |
5.63%, 07/01/24 | | | 955,000 | | | | | | | | 1,031,400 | |
Newmont Mining Corporation | | | | | | | | | | | | |
4.88%, 03/15/42 | | | 575,000 | | | | | | | | 640,406 | |
NGL Energy Partners LP | | | | | | | | | | | | |
6.88%, 10/15/21 | | | 50,000 | | | | | | | | 51,250 | |
7.50%, 11/01/23 | | | 785,000 | | | | | | | | 814,437 | |
6.13%, 03/01/25D | | | 740,000 | | | | | | | | 725,200 | |
NGPL PipeCo LLC | | | | | | | | | | | | |
4.38%, 08/15/22 144A | | | 600,000 | | | | | | | | 612,375 | |
7.77%, 12/15/37 144A D | | | 200,000 | | | | | | | | 247,500 | |
Nine West Holdings, Inc. | | | | | | | | | | | | |
6.13%, 11/15/34 | | | 125,000 | | | | | | | | 13,750 | |
NRG Energy, Inc. | | | | | | | | | | | | |
7.25%, 05/15/26 | | | 230,000 | | | | | | | | 251,560 | |
NRG REMA LLC | | | | | | | | | | | | |
9.68%, 07/02/26 | | | 200,000 | | | | | | | | 120,000 | |
Nuance Communications, Inc. | | | | | | | | | | | | |
1.25%, 04/01/25 144A D CONV | | | 85,000 | | | | | | | | 87,231 | |
1.50%, 11/01/35D CONV | | | 5,000 | | | | | | | | 5,175 | |
1.00%, 12/15/35 CONV | | | 1,315,000 | | | | | | | | 1,261,578 | |
Oasis Petroleum, Inc. | | | | | | | | | | | | |
6.88%, 03/15/22D | | | 330,000 | | | | | | | | 339,487 | |
6.88%, 01/15/23D | | | 95,000 | | | | | | | | 97,494 | |
Old Republic International Corporation | | | | | | | | | | | | |
3.75%, 03/15/18D CONV | | | 1,060,000 | | | | | | | | 1,474,725 | |
4.88%, 10/01/24 | | | 520,000 | | | | | | | | 557,787 | |
ON Semiconductor Corporation | | | | | | | | | | | | |
1.00%, 12/01/20 CONV | | | 645,000 | | | | | | | | 826,406 | |
ONEOK Partners LP | | | | | | | | | | | | |
4.90%, 03/15/25 | | | 60,000 | | | | | | | | 64,429 | |
6.20%, 09/15/43 | | | 20,000 | | | | | | | | 23,840 | |
Outfront Media Capital LLC | | | | | | | | | | | | |
5.25%, 02/15/22 | | | 110,000 | | | | | | | | 113,163 | |
5.88%, 03/15/25 | | | 170,000 | | | | | | | | 180,413 | |
Owens Corning | | | | | | | | | | | | |
7.00%, 12/01/36 | | | 1,043,000 | | | | | | | | 1,380,963 | |
| | | | |
| 164 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
Owens-Brockway Glass Container, Inc. | | | | | | | | | | | | |
5.38%, 01/15/25 144A | | $ | 1,500,000 | | | | | | | $ | 1,588,125 | |
Pactiv LLC | | | | | | | | | | | | |
8.38%, 04/15/27 | | | 200,000 | | | | | | | | 230,000 | |
Penn Mutual Life Insurance Co. | | | | | | | | | | | | |
7.63%, 06/15/40 144A | | | 685,000 | | | | | | | | 958,777 | |
Priceline Group, Inc. | | | | | | | | | | | | |
0.90%, 09/15/21D CONV | | | 570,000 | | | | | | | | 667,969 | |
Pride International, Inc. | | | | | | | | | | | | |
7.88%, 08/15/40D | | | 270,000 | | | | | | | | 225,450 | |
PulteGroup, Inc. | | | | | | | | | | | | |
7.88%, 06/15/32 | | | 1,500,000 | | | | | | | | 1,890,000 | |
6.38%, 05/15/33 | | | 470,000 | | | | | | | | 528,750 | |
6.00%, 02/15/35 | | | 180,000 | | | | | | | | 194,400 | |
QEP Resources, Inc. | | | | | | | | | | | | |
5.38%, 10/01/22 | | | 315,000 | | | | | | | | 323,662 | |
5.25%, 05/01/23D | | | 1,500,000 | | | | | | | | 1,525,290 | |
Quicken Loans, Inc. | | | | | | | | | | | | |
5.75%, 05/01/25 144A | | | 2,035,000 | | | | | | | | 2,116,420 | |
Qwest Capital Funding, Inc. | | | | | | | | | | | | |
6.50%, 11/15/18 | | | 225,000 | | | | | | | | 233,156 | |
Qwest Corporation | | | | | | | | | | | | |
6.88%, 09/15/33D | | | 2,124,000 | | | | | | | | 2,041,512 | |
7.25%, 10/15/35D | | | 110,000 | | | | | | | | 105,628 | |
Range Resources Corporation | | | | | | | | | | | | |
5.00%, 08/15/22D | | | 520,000 | | | | | | | | 520,000 | |
5.00%, 03/15/23 | | | 1,450,000 | | | | | | | | 1,450,000 | |
4.88%, 05/15/25D | | | 240,000 | | | | | | | | 232,800 | |
Regency Energy Partners LP | | | | | | | | | | | | |
5.88%, 03/01/22 | | | 340,000 | | | | | | | | 372,034 | |
5.00%, 10/01/22 | | | 80,000 | | | | | | | | 85,364 | |
Reliance Holding USA, Inc. | | | | | | | | | | | | |
4.50%, 10/19/20 144A | | | 540,000 | | | | | | | | 564,951 | |
Reynolds Group Issuer, Inc. | | | | | | | | | | | | |
5.75%, 10/15/20 | | | 58,146 | | | | | | | | 59,091 | |
Rovi Corporation | | | | | | | | | | | | |
0.50%, 03/01/20D CONV | | | 985,000 | | | | | | | | 932,056 | |
RPM International, Inc. | | | | | | | | | | | | |
2.25%, 12/15/20D CONV | | | 47,000 | | | | | | | | 54,491 | |
RR Donnelley & Sons Co. | | | | | | | | | | | | |
7.00%, 02/15/22 | | | 38,000 | | | | | | | | 39,425 | |
6.00%, 04/01/24D | | | 278,000 | | | | | | | | 260,973 | |
Sanchez Energy Corporation | | | | | | | | | | | | |
7.75%, 06/15/21 | | | 50,000 | | | | | | | | 47,250 | |
6.13%, 01/15/23D | | | 100,000 | | | | | | | | 85,000 | |
Sealed Air Corporation | | | | | | | | | | | | |
4.88%, 12/01/22 144A | | | 25,000 | | | | | | | | 26,500 | |
5.50%, 09/15/25 144A | | | 555,000 | | | | | | | | 606,337 | |
ServiceMaster Co. LLC | | | | | | | | | | | | |
7.45%, 08/15/27 | | | 1,195,000 | | | | | | | | 1,299,562 | |
SM Energy Co. | | | | | | | | | | | | |
5.00%, 01/15/24 | | | 40,000 | | | | | | | | 38,775 | |
Southern Copper Corporation | | | | | | | | | | | | |
5.25%, 11/08/42 | | | 1,210,000 | | | | | | | | 1,356,506 | |
Southwestern Energy Co. | | | | | | | | | | | | |
6.70%, 01/23/25D | | | 280,000 | | | | | | | | 292,250 | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
Spectrum Brands, Inc. | | | | | | | | | | | | |
5.75%, 07/15/25 | | $ | 910,000 | | | | | | | $ | 962,325 | |
Springleaf Finance Corporation | | | | | | | | | | | | |
7.75%, 10/01/21 | | | 145,000 | | | | | | | | 160,044 | |
6.13%, 05/15/22 | | | 1,165,000 | | | | | | | | 1,214,512 | |
8.25%, 10/01/23 | | | 55,000 | | | | | | | | 61,738 | |
Sprint Capital Corporation | | | | | | | | | | | | |
6.88%, 11/15/28 | | | 2,865,000 | | | | | | | | 2,890,069 | |
8.75%, 03/15/32 | | | 1,135,000 | | | | | | | | 1,291,062 | |
Sprint Communications, Inc. | | | | | | | | | | | | |
11.50%, 11/15/21 | | | 570,000 | | | | | | | | 691,125 | |
Sprint Corporation | | | | | | | | | | | | |
7.88%, 09/15/23 | | | 680,000 | | | | | | | | 725,900 | |
Targa Resources Partners LP | | | | | | | | | | | | |
4.25%, 11/15/23 | | | 430,000 | | | | | | | | 426,775 | |
6.75%, 03/15/24 | | | 1,050,000 | | | | | | | | 1,130,062 | |
5.13%, 02/01/25 | | | 870,000 | | | | | | | | 893,925 | |
5.38%, 02/01/27 | | | 70,000 | | | | | | | | 72,100 | |
Taylor Morrison Communities, Inc. | | | | | | | | | | | | |
5.25%, 04/15/21 144A | | | 410,000 | | | | | | | | 418,712 | |
Tenet Healthcare Corporation | | | | | | | | | | | | |
7.50%, 01/01/22 144A D | | | 110,000 | | | | | | | | 115,913 | |
8.13%, 04/01/22 | | | 310,000 | | | | | | | | 316,588 | |
6.75%, 06/15/23D | | | 285,000 | | | | | | | | 277,519 | |
5.13%, 05/01/25 144A D | | | 860,000 | | | | | | | | 841,725 | |
6.88%, 11/15/31 | | | 85,000 | | | | | | | | 70,125 | |
Textron, Inc. | | | | | | | | | | | | |
6.63%, 04/07/20(U) | | | 130,000 | | | | | | | | 193,519 | |
Time Warner Cable LLC | | | | | | | | | | | | |
8.75%, 02/14/19 | | | 190,000 | | | | | | | | 202,638 | |
8.25%, 04/01/19 | | | 40,000 | | | | | | | | 42,764 | |
5.50%, 09/01/41 | | | 60,000 | | | | | | | | 62,745 | |
4.50%, 09/15/42 | | | 105,000 | | | | | | | | 98,871 | |
Time Warner, Inc. | | | | | | | | | | | | |
4.00%, 01/15/22 | | | 50,000 | | | | | | | | 52,110 | |
TMX Finance LLC | | | | | | | | | | | | |
8.50%, 09/15/18 144A | | | 50,000 | | | | | | | | 46,000 | |
TransDigm, Inc. | | | | | | | | | | | | |
6.50%, 07/15/24 | | | 199,000 | | | | | | | | 204,473 | |
6.50%, 05/15/25 | | | 195,000 | | | | | | | | 199,875 | |
Transocean Proteus, Ltd. | | | | | | | | | | | | |
6.25%, 12/01/24 144A | | | 1,444,500 | | | | | | | | 1,520,336 | |
Transocean, Inc. | | | | | | | | | | | | |
5.80%, 10/15/22D | | | 430,000 | | | | | | | | 425,700 | |
6.80%, 03/15/38D | | | 80,000 | | | | | | | | 64,600 | |
TRI Pointe Group, Inc. | | | | | | | | | | | | |
4.38%, 06/15/19 | | | 100,000 | | | | | | | | 102,500 | |
5.88%, 06/15/24 | | | 5,000 | | | | | | | | 5,363 | |
TRU Taj LLC | | | | | | | | | | | | |
11.00%, 01/22/19 144A ††† | | | 195,000 | | | | | | | | 201,789 | |
12.00%, 08/15/21 144A D # | | | 193,000 | | | | | | | | 180,455 | |
United Airlines Class A Pass-Through Trust Series 2014-1 | | | | | | | | | | | | |
4.00%, 04/11/26D | | | 215,075 | | | | | | | | 225,853 | |
United Airlines Class B Pass-Through Trust Series 2014-2 | | | | | | | | | | | | |
4.63%, 09/03/22 | | | 73,004 | | | | | | | | 75,208 | |
| | | | |
| | See Notes to Financial Statements. | | 165 |
GLOBAL BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Par | | | Value | |
United Airlines Pass-Through Trust Series | | | | | | | | | | | | |
2007-1 6.64%, 07/02/22 | | $ | 161,263 | | | | | | | $ | 174,406 | |
United Rentals North America, Inc. | | | | | | | | | | | | |
5.75%, 11/15/24 | | | 540,000 | | | | | | | | 570,375 | |
4.63%, 10/15/25 | | | 150,000 | | | | | | | | 151,500 | |
5.50%, 05/15/27 | | | 390,000 | | | | | | | | 411,450 | |
4.88%, 01/15/28 | | | 445,000 | | | | | | | | 448,337 | |
United States Steel Corporation | | | | | | | | | | | | |
6.65%, 06/01/37D | | | 760,000 | | | | | | | | 748,600 | |
Uniti Group, Inc. REIT | | | | | | | | | | | | |
8.25%, 10/15/23D | | | 170,000 | | | | | | | | 164,263 | |
US Airways Class A Pass-Through Trust 2012-2 | | | | | | | | | | | | |
4.63%, 06/03/25 | | | 192,874 | | | | | | | | 205,208 | |
US Airways Class A Pass-Through Trust Series | | | | | | | | | | | | |
2012-1 5.90%, 10/01/24 | | | 243,497 | | | | | | | | 270,818 | |
US Airways Class B Pass-Through Trust Series | | | | | | | | | | | | |
2012-1 8.00%, 10/01/19 | | | 397,419 | | | | | | | | 431,199 | |
Vantiv LLC | | | | | | | | | | | | |
4.38%, 11/15/25 144A | | | 625,000 | | | | | | | | 634,487 | |
Wells Fargo & Co. | | | | | | | | | | | | |
4.48%, 01/16/24 | | | 124,000 | | | | | | | | 133,379 | |
(Variable, ICE LIBOR USD 3M + 3.99%), | | | | | | | | | | | | |
5.88%, 06/15/25† D | | | 240,000 | | | | | | | | 266,112 | |
West Corporation | | | | | | | | | | | | |
4.75%, 07/15/21 144A | | | 50,000 | | | | | | | | 50,750 | |
Westlake Chemical Corporation | | | | | | | | | | | | |
4.63%, 02/15/21 | | | 60,000 | | | | | | | | 61,800 | |
4.88%, 05/15/23 | | | 20,000 | | | | | | | | 20,700 | |
WestRock MWV LLC | | | | | | | | | | | | |
8.20%, 01/15/30 | | | 145,000 | | | | | | | | 204,280 | |
7.95%, 02/15/31 | | | 45,000 | | | | | | | | 63,421 | |
WEX, Inc. | | | | | | | | | | | | |
4.75%, 02/01/23 144A | | | 440,000 | | | | | | | | 450,725 | |
Weyerhaeuser Co. REIT | | | | | | | | | | | | |
8.50%, 01/15/25 | | | 405,000 | | | | | | | | 533,051 | |
6.95%, 10/01/27 | | | 55,000 | | | | | | | | 69,065 | |
7.38%, 03/15/32 | | | 370,000 | | | | | | | | 512,314 | |
6.88%, 12/15/33 | | | 490,000 | | | | | | | | 646,078 | |
Whiting Petroleum Corporation | | | | | | | | | | | | |
5.00%, 03/15/19D | | | 755,000 | | | | | | | | 775,196 | |
5.75%, 03/15/21D | | | 420,000 | | | | | | | | 432,075 | |
6.25%, 04/01/23D | | | 1,260,000 | | | | | | | | 1,294,650 | |
6.63%, 01/15/26 144A D | | | 305,000 | | | | | | | | 311,481 | |
William Lyon Homes, Inc. | | | | | | | | | | | | |
7.00%, 08/15/22D | | | 20,000 | | | | | | | | 20,650 | |
Williams Cos., Inc. | | | | | | | | | | | | |
7.50%, 01/15/31 | | | 60,000 | | | | | | | | 73,650 | |
5.75%, 06/24/44 | | | 440,000 | | | | | | | | 471,900 | |
Windstream Services LLC | | | | | | | | | | | | |
7.75%, 10/15/20D | | | 180,000 | | | | | | | | 153,000 | |
7.50%, 04/01/23D | | | 250,000 | | | | | | | | 167,500 | |
6.38%, 08/01/23 144A D | | | 80,000 | | | | | | | | 48,400 | |
8.75%, 12/15/24 144A | | | 503,000 | | | | | | | | 353,986 | |
WPX Energy, Inc. | | | | | | | | | | | | |
8.25%, 08/01/23 | | | 430,000 | | | | | | | | 490,200 | |
| | | | | | | | |
| | | Par | | | Value | |
XPO Logistics, Inc. | | | | | | | | |
6.50%, 06/15/22 144A D | | $ | 20,000 | | | $ | 20,950 | |
6.13%, 09/01/23 144A D | | | 490,000 | | | | 520,012 | |
ZF North America Capital, Inc. | | | | | | | | |
4.75%, 04/29/25 144A | | | 550,000 | | | | 584,375 | |
| | | | | | | | |
Total Corporate Bonds
(Cost $167,991,659) | | | | 183,510,086 | |
| | | | | | | | |
FOREIGN BONDS — 29.3% | | | | | |
Argentina — 2.2% | | | | | |
Argentina POM Politica Monetaria (Floating, Argentina Central Bank 7D Repo Rate + 0.00%), 28.75%, 06/21/20† (ZA) | | | 4,070,000 | | | | 232,473 | |
Argentine Bonos del Tesoro | | | | | | | | |
21.20%, 09/19/18(ZA) | | | 37,563,000 | | | | 1,967,094 | |
18.20%, 10/03/21(ZA) | | | 68,281,000 | | | | 3,780,989 | |
Argentine Republic Government International Bond | | | | | | | | |
6.88%, 04/22/21 | | | 680,000 | | | | 741,795 | |
7.50%, 04/22/26D | | | 540,000 | | | | 612,711 | |
7.63%, 04/22/46D | | | 950,000 | | | | 1,073,975 | |
Pampa Energia SA | | | | | | | | |
7.50%, 01/24/27 144A | | | 910,000 | | | | 1,001,127 | |
Provincia de Buenos Aires | | | | | | | | |
7.88%, 06/15/27 144A | | | 780,000 | | | | 867,610 | |
YPF SA | | | | | | | | |
8.50%, 03/23/21 144A | | | 980,000 | | | | 1,110,830 | |
| | | | | | | | |
| | | | | | | 11,388,604 | |
| | | | | | | | |
Armenia — 0.1% | | | | | | | | |
Armenia International Bond | | | | | | | | |
6.00%, 09/30/20D | | | 520,000 | | | | 553,587 | |
| | | | | | | | |
Australia — 0.0% | | | | | | | | |
FMG Resources August 2006 Proprietary, Ltd. | | | | | | | | |
9.75%, 03/01/22 144A | | | 240,000 | | | | 266,160 | |
| | | | | | | | |
Austria — 0.1% | | | | | | | | |
Suzano Austria GmbH | | | | | | | | |
5.75%, 07/14/26 144A | | | 570,000 | | | | 620,217 | |
| | | | | | | | |
Bermuda — 0.3% | | | | | | | | |
XLIT, Ltd. | | | | | | | | |
6.38%, 11/15/24D | | | 585,000 | | | | 682,441 | |
6.25%, 05/15/27D | | | 640,000 | | | | 758,894 | |
| | | | | | | | |
| | | | | | | 1,441,335 | |
| | | | | | | | |
Brazil — 1.6% | | | | | | | | |
Brazil Notas do Tesouro Nacional Serie F | | | | | | | | |
10.00%, 01/01/21(B) | | | 14,497,000 | | | | 4,504,166 | |
10.00%, 01/01/27(B) | | | 317,000 | | | | 94,314 | |
Brazilian Government International Bond | | | | | | | | |
10.25%, 01/10/28(B) | | | 5,250,000 | | | | 1,706,460 | |
Itau Unibanco Holding SA | | | | | | | | |
6.13%, 12/12/22 | | | 1,060,000 | | | | 1,072,508 | |
Ultrapar International SA | | | | | | | | |
5.25%, 10/06/26 144A | | | 420,000 | | | | 429,752 | |
| | | | |
| 166 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
Vale Overseas, Ltd. | | | | | | | | | | | | |
6.88%, 11/21/36 | | $ | 592,000 | | | | | | | $ | 728,160 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,535,360 | |
| | | | | | | | | | | | |
Canada — 2.2% | | | | | | | | | | | | |
1011778 BC ULC | | | | | | | | | | | | |
5.00%, 10/15/25 144A | | | 40,000 | | | | | | | | 40,500 | |
Baytex Energy Corporation | | | | | | | | | | | | |
5.13%, 06/01/21 144A | | | 110,000 | | | | | | | | 105,325 | |
5.63%, 06/01/24 144A | | | 110,000 | | | | | | | | 102,988 | |
Bombardier, Inc. | | | | | | | | | | | | |
6.00%, 10/15/22 144A D | | | 1,200,000 | | | | | | | | 1,185,000 | |
Hudbay Minerals, Inc. | | | | | | | | | | | | |
7.25%, 01/15/23 144A | | | 190,000 | | | | | | | | 202,350 | |
7.63%, 01/15/25 144A | | | 1,030,000 | | | | | | | | 1,133,000 | |
MEG Energy Corporation | | | | | | | | | | | | |
6.38%, 01/30/23 144A | | | 45,000 | | | | | | | | 38,475 | |
7.00%, 03/31/24 144A | | | 605,000 | | | | | | | | 513,494 | |
Methanex Corporation | | | | | | | | | | | | |
5.25%, 03/01/22 | | | 75,000 | | | | | | | | 79,636 | |
Province of Ontario Canada | | | | | | | | | | | | |
2.10%, 09/08/18(C) | | | 3,500,000 | | | | | | | | 2,796,380 | |
Province of Ontario Generic Residual STRIP | | | | | | | | | | | | |
2.96%, 07/13/22W (C) | | | 2,600,000 | | | | | | | �� | 1,852,598 | |
2.90%, 03/08/29W (C) | | | 2,400,000 | | | | | | | | 1,391,523 | |
Stone Container Finance Company of Canada II | | | | | | | | | | | | |
7.38%, 07/15/14y††† # | | | 330,000 | | | | | | | | 6,600 | |
Teine Energy, Ltd. | | | | | | | | | | | | |
6.88%, 09/30/22 144A | | | 60,000 | | | | | | | | 62,250 | |
Valeant Pharmaceuticals International, Inc. | | | | | | | | | | | | |
5.38%, 03/15/20 144A | | | 8,000 | | | | | | | | 8,040 | |
7.50%, 07/15/21 144A | | | 40,000 | | | | | | | | 40,800 | |
5.50%, 03/01/23 144A | | | 270,000 | | | | | | | | 248,400 | |
5.88%, 05/15/23 144A | | | 10,000 | | | | | | | | 9,300 | |
6.13%, 04/15/25 144A | | | 1,460,000 | | | | | | | | 1,341,375 | |
9.00%, 12/15/25 144A D | | | 200,000 | | | | | | | | 208,940 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 11,366,974 | |
| | | | | | | | | | | | |
Chile — 0.1% | | | | | | | | | | | | |
AES Gener SA | | | | | | | | | | | | |
5.25%, 08/15/21 144A | | | 203,000 | | | | | | | | 212,758 | |
Corporation Nacional del Cobre de Chile | | | | | | | | | | | | |
3.63%, 08/01/27 144A | | | 220,000 | | | | | | | | 220,790 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 433,548 | |
| | | | | | | | | | | | |
China — 0.3% | | | | | | | | | | | | |
Park Aerospace Holdings, Ltd. | | | | | | | | | | | | |
5.25%, 08/15/22 144A | | | 310,000 | | | | | | | | 309,225 | |
4.50%, 03/15/23 144A | | | 260,000 | | | | | | | | 248,950 | |
5.50%, 02/15/24 144A | | | 1,160,000 | | | | | | | | 1,154,200 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,712,375 | |
| | | | | | | | | | | | |
Colombia — 1.3% | | | | | | | | | | | | |
Colombia Government International Bond | | | | | | | | | | | | |
5.63%, 02/26/44 | | | 3,567,000 | | | | | | | | 4,093,132 | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
Colombian TES | | | | | | | | | | | | |
10.00%, 07/24/24(X) | | $ | 23,100,000 | | | | | | | $ | 9,351 | |
Ecopetrol SA | | | | | | | | | | | | |
5.88%, 09/18/23 | | | 190,000 | | | | | | | | 210,425 | |
4.13%, 01/16/25 | | | 920,000 | | | | | | | | 926,900 | |
5.38%, 06/26/26 | | | 80,000 | | | | | | | | 86,576 | |
Grupo Energia Bogota SA ESP | | | | | | | | | | | | |
6.13%, 11/10/21 144A | | | 250,000 | | | | | | | | 255,313 | |
Millicom Internatinal Cellular | | | | | | | | | | | | |
5.13%, 01/15/28 144A | | | 840,000 | | | | | | | | 844,200 | |
Transportadora de Gas Internacional SA ESP | | | | | | | | | | | | |
5.70%, 03/20/22 | | | 260,000 | | | | | | | | 267,280 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,693,177 | |
| | | | | | | | | | | | |
Ecuador — 0.2% | | | | | | | | | | | | |
Ecuador Government International Bond | | | | | | | | | | | | |
9.65%, 12/13/26 144A | | | 810,000 | | | | | | | | 932,513 | |
| | | | | | | | | | | | |
France — 0.3% | | | | | | | | | | | | |
3AB Optique Developpement SAS | | | | | | | | | | | | |
4.00%, 10/01/23(E) | | | 200,000 | | | | | | | | 242,731 | |
Burger King France SAS | | | | | | | | | | | | |
(Floating, Euribor 3M + 5.25%), | | | | | | | | | | | | |
5.25%, 05/01/23 144A † (E) | | | 130,000 | | | | | | | | 159,891 | |
6.00%, 05/01/24 144A (E) | | | 120,000 | | | | | | | | 155,760 | |
Europcar Groupe SA | | | | | | | | | | | | |
5.75%, 06/15/22 144A (E) | | | 170,000 | | | | | | | | 213,858 | |
SFR Group SA | | | | | | | | | | | | |
5.63%, 05/15/24 144A (E) | | | 160,000 | | | | | | | | 200,656 | |
5.63%, 05/15/24(E) | | | 500,000 | | | | | | | | 627,051 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,599,947 | |
| | | | | | | | | | | | |
Germany — 0.9% | | | | | | | | | | | | |
Bundesrepublik Deutschland Bundesanleihe | | | | | | | | | | | | |
1.00%, 08/15/24(E) | | | 2,180,000 | | | | | | | | 2,782,150 | |
CeramTec Group GmbH | | | | | | | | | | | | |
8.25%, 08/15/21(E) | | | 580,000 | | | | | | | | 730,841 | |
IHO Verwaltungs GmbH | | | | | | | | | | | | |
Cash coupon 4.13% or PIK | | | | | | | | | | | | |
4.88%, 09/15/21 144A | | | 210,000 | | | | | | | | 214,200 | |
Cash coupon 4.75% or PIK | | | | | | | | | | | | |
5.50%, 09/15/26 144A | | | 210,000 | | | | | | | | 213,675 | |
Platin 1426 GmbH | | | | | | | | | | | | |
5.38%, 06/15/23 144A (E) | | | 480,000 | | | | | | | | 576,677 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,517,543 | |
| | | | | | | | | | | | |
Ghana — 0.1% | | | | | | | | | | | | |
Ghana Government International Bond | | | | | | | | | | | | |
10.75%, 10/14/30 144A | | | 540,000 | | | | | | | | 744,682 | |
| | | | | | | | | | | | |
Guatemala — 0.1% | | | | | | | | | | | | |
Guatemala Government Bond | | | | | | | | | | | | |
4.38%, 06/05/27 144A | | | 760,000 | | | | | | | | 760,000 | |
| | | | | | | | | | | | |
Honduras — 0.2% | | | | | | | | | | | | |
Honduras Government International Bond | | | | | | | | | | | | |
7.50%, 03/15/24 | | | 460,000 | | | | | | | | 516,350 | |
| | | | |
| | See Notes to Financial Statements. | | 167 |
GLOBAL BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Par | | | Value | |
6.25%, 01/19/27 144A | | $ | 620,000 | | | | | | | $ | 664,702 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,181,052 | |
| | | | | | | | | | | | |
India — 0.2% | | | | | | | | | | | | |
ICICI Bank, Ltd. | | | | | | | | | | | | |
4.80%, 05/22/19 144A | | | 920,000 | | | | | | | | 946,514 | |
| | | | | | | | | | | | |
Indonesia — 1.2% | | | | | | | | | | | | |
Indonesia Government International Bond | | | | | | | | | | | | |
5.88%, 01/15/24 144A | | | 400,000 | | | | | | | | 456,383 | |
6.63%, 02/17/37 | | | 1,355,000 | | | | | | | | 1,737,223 | |
5.25%, 01/17/42 144A | | | 1,710,000 | | | | | | | | 1,918,396 | |
Indonesia Treasury Bond | | | | | | | | | | | | |
7.00%, 05/15/27(I) | | | 30,479,000,000 | | | | | | | | 2,361,041 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,473,043 | |
| | | | | | | | | | | | |
Ireland — 0.4% | | | | | | | | | | | | |
AerCap Ireland Capital DAC | | | | | | | | | | | | |
3.50%, 05/26/22D | | | 300,000 | | | | | | | | 304,761 | |
Ardagh Packaging Finance PLC | | | | | | | | | | | | |
4.63%, 05/15/23 144A | | | 250,000 | | | | | | | | 256,013 | |
7.25%, 05/15/24 144A | | | 460,000 | | | | | | | | 502,550 | |
GE Capital International Funding Co. | | | | | | | | | | | | |
3.37%, 11/15/25 | | | 246,000 | | | | | | | | 250,456 | |
4.42%, 11/15/35 | | | 569,000 | | | | | | | | 616,965 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,930,745 | |
| | | | | | | | | | | | |
Italy — 1.8% | | | | | | | | | | | | |
Enel SpA | | | | | | | | | | | | |
(Variable, GBP Swap Rate 5Y + 5.66%), | | | | | | | | | | | | |
7.75%, 09/10/75† (U) | | | 440,000 | | | | | | | | 685,900 | |
Intesa Sanpaolo SpA | | | | | | | | | | | | |
(Variable, EUR Swap Rate 5Y + 6.88%), | | | | | | | | | | | | |
7.00%, 01/19/21† (E) | | | 530,000 | | | | | | | | 704,941 | |
Italy Buoni Poliennali Del Tesoro | | | | | | | | | | | | |
2.20%, 06/01/27(E) | | | 4,860,000 | | | | | | | | 5,959,900 | |
Telecom Italia Capital SA | | | | | | | | | | | | |
6.38%, 11/15/33 | | | 715,000 | | | | | | | | 834,762 | |
6.00%, 09/30/34 | | | 200,000 | | | | | | | | 225,500 | |
Telecom Italia SpA | | | | | | | | | | | | |
5.30%, 05/30/24 144A | | | 800,000 | | | | | | | | 857,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 9,268,003 | |
| | | | | | | | | | | | |
Ivory Coast — 0.1% | | | | | | | | | | | | |
Ivory Coast Government International Bond | | | | | | | | | | | | |
5.75%, 12/31/32 144A D STEP | | | 752,700 | | | | | | | | 754,196 | |
| | | | | | | | | | | | |
Jersey — 0.2% | | | | | | | | | | | | |
Adient Global Holdings, Ltd. | | | | | | | | | | | | |
4.88%, 08/15/26 144A | | | 740,000 | | | | | | | | 764,050 | |
Delphi Technologies PLC | | | | | | | | | | | | |
5.00%, 10/01/25 144A | | | 290,000 | | | | | | | | 294,350 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,058,400 | |
| | | | | | | | | | | | |
Kazakhstan — 0.2% | | | | | | | | | | | | |
KazTransGas JSC | | | | | | | | | | | | |
4.38%, 09/26/27 144A | | | 880,000 | | | | | | | | 885,522 | |
| | | | | | | | | | | | |
| | | | | | | | |
| | | Par | | | Value | |
Kenya — 0.1% | | | | | | | | |
Kenya Government International Bond | | | | | | | | |
6.88%, 06/24/24 144A | | $ | 470,000 | | | $ | 501,727 | |
| | | | | | | | |
Luxembourg — 0.4% | | | | | | | | |
ArcelorMittal | | | | | | | | |
6.00%, 03/01/21 | | | 30,000 | | | | 32,550 | |
7.50%, 10/15/39 | | | 510,000 | | | | 655,350 | |
7.25%, 03/01/41 | | | 690,000 | | | | 876,300 | |
LSF9 Balta Issuer SA | | | | | | | | |
7.75%, 09/15/22
144A (E) | | | 291,600 | | | | 377,226 | |
| | | | | | | | |
| | | | | | | 1,941,426 | |
| | | | | | | | |
Mexico — 3.3% | | | | | | | | |
Banco Mercantil del Norte SA | | | | | | | | |
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 5.04%), | | | | | | | | |
6.88%, 07/06/22
144A † | | | 260,000 | | | | 274,625 | |
Mexican Bonos | | | | | �� | | | |
6.50%, 06/09/22(M) | | | 45,803,100 | | | | 2,232,116 | |
8.00%, 12/07/23(M) | | | 41,500,000 | | | | 2,146,835 | |
10.00%, 12/05/24(M) | | | 31,500,000 | | | | 1,807,383 | |
7.50%, 06/03/27(M) | | | 121,750,000 | | | | 6,125,364 | |
8.50%, 05/31/29(M) | | | 2,000,000 | | | | 107,826 | |
7.75%, 05/29/31(M) | | | 3,000,000 | | | | 152,811 | |
7.75%, 11/13/42(M) | | | 63,160,000 | | | | 3,196,145 | |
Mexichem SAB de CV | | | | | | | | |
5.88%, 09/17/44 144A | | | 570,000 | | | | 592,800 | |
Petroleos Mexicanos | | | | | | | | |
5.50%, 01/21/21 | | | 750,000 | | | | 796,688 | |
| | | | | | | | |
| | | | | | | 17,432,593 | |
| | | | | | | | |
Morocco & Antilles — 0.2% | | | | | |
OCP SA | | | | | | | | |
5.63%, 04/25/24 144A | | | 550,000 | | | | 590,494 | |
4.50%, 10/22/25 144A | | | 520,000 | | | | 521,713 | |
| | | | | | | | |
| | | | | | | 1,112,207 | |
| | | | | | | | |
Netherlands — 3.1% | | | | | | | | |
ABN AMRO Bank NV | | | | | | | | |
7.13%, 07/06/22(E) | | | 750,000 | | | | 1,151,549 | |
Alcoa Nederland Holding BV | | | | | | | | |
6.75%, 09/30/24 144A | | | 380,000 | | | | 416,100 | |
7.00%, 09/30/26 144A | | | 250,000 | | | | 281,875 | |
Altice Financing SA | | | | | | | | |
6.63%, 02/15/23 144A | | | 400,000 | | | | 419,840 | |
7.50%, 05/15/26 144A | | | 260,000 | | | | 277,550 | |
Cooperatieve Rabobank UA | | | | | | | | |
5.75%, 12/01/43 | | | 880,000 | | | | 1,123,868 | |
EDP Finance BV | | | | | | | | |
4.90%, 10/01/19 144A | | | 1,600,000 | | | | 1,667,238 | |
4.13%, 01/15/20 144A | | | 540,000 | | | | 557,065 | |
Embraer Netherlands Finance BV | | | | | | | | |
5.40%, 02/01/27 | | | 250,000 | | | | 270,313 | |
| | | | |
| 168 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
Equate Petrochemical BV | | | | | | | | | | | | |
4.25%, 11/03/26 144A | | $ | 580,000 | | | | | | | $ | 591,890 | |
Majapahit Holding BV | | | | | | | | | | | | |
7.75%, 01/20/20 | | | 1,570,000 | | | | | | | | 1,721,191 | |
Marfrig Holdings Europe BV | | | | | | | | | | | | |
8.00%, 06/08/23 144A | | | 480,000 | | | | | | | | 502,200 | |
Myriad International Holdings BV | | | | | | | | | | | | |
4.85%, 07/06/27 144A | | | 750,000 | | | | | | | | 779,562 | |
Oi Brasil Holdings Cooperatief UA | | | | | | | | | | | | |
5.75%, 02/10/22 144A # | | | 933,000 | | | | | | | | 422,182 | |
Petrobras Global Finance BV | | | | | | | | | | | | |
4.38%, 05/20/23 | | | 250,000 | | | | | | | | 247,868 | |
6.25%, 03/17/24 | | | 2,970,000 | | | | | | | | 3,158,595 | |
6.88%, 01/20/40D | | | 390,000 | | | | | | | | 395,363 | |
6.75%, 01/27/41 | | | 270,000 | | | | | | | | 270,637 | |
5.63%, 05/20/43 | | | 275,000 | | | | | | | | 246,782 | |
Telefonica Europe BV | | | | | | | | | | | | |
(Variable, GBP Swap Rate 5Y + 4.46%), 6.75%, 11/26/20† D (U) | | | 300,000 | | | | | | | | 449,343 | |
UPCB Finance IV, Ltd. | | | | | | | | | | | | |
5.38%, 01/15/25 144A | | | 250,000 | | | | | | | | 252,975 | |
VEON Holdings BV | | | | | | | | | | | | |
7.50%, 03/01/22 | | | 200,000 | | | | | | | | 227,650 | |
7.50%, 03/01/22 144A | | | 630,000 | | | | | | | | 717,097 | |
Ziggo Bond Finance BV | | | | | | | | | | | | |
5.88%, 01/15/25 144A | | | 200,000 | | | | | | | | 197,500 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 16,346,233 | |
| | | | | | | | | | | | |
New Zealand — 0.3% | | | | | | | | | | | | |
New Zealand Government Bond | | | | | | | | | | | | |
5.00%, 03/15/19(Z) | | | 2,385,000 | | | | | | | | 1,754,859 | |
| | | | | | | | | | | | |
Nigeria — 0.1% | | | | | | | | | | | | |
Nigeria Government International Bond | | | | | | | | | | | | |
7.63%, 11/28/47 144A D | | | 310,000 | | | | | | | | 333,478 | |
| | | | | | | | | | | | |
Norway — 0.0% | | | | | | | | | | | | |
Norway Government Bond | | | | | | | | | | | | |
4.50%, 05/22/19 144A (K) | | | 172,000 | | | | | | | | 22,118 | |
3.75%, 05/25/21 144A (K) | | | 129,000 | | | | | | | | 17,209 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 39,327 | |
| | | | | | | | | | | | |
Panama — 0.0% | | | | | | | | | | | | |
Panama Government International Bond | | | | | | | | | | | | |
6.70%, 01/26/36 | | | 3,000 | | | | | | | | 4,008 | |
| | | | | | | | | | | | |
Peru — 0.5% | | | | | | | | | | | | |
Peruvian Government International Bond | | | | | | | | | | | | |
6.55%, 03/14/37 | | | 890,000 | | | | | | | | 1,208,175 | |
Transportadora de Gas del Peru SA | | | | | | | | | | | | |
4.25%, 04/30/28 144A | | | 1,400,000 | | | | | | | | 1,454,600 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,662,775 | |
| | | | | | | | | | | | |
Philippines — 0.0% | | | | | | | | | | | | |
Philippine Government International Bond | | | | | | | | | �� | | | |
4.00%, 01/15/21 | | | 200,000 | | | | | | | | 210,264 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
Poland — 0.6% | | | | | | | | | | | | |
Republic of Poland Government Bond | | | | | | | | | | | | |
2.50%, 07/25/26(P) | | $ | 11,450,000 | | | | | | | $ | 3,116,806 | |
| | | | | | | | | | | | |
Qatar — 0.0% | | | | | | | | | | | | |
Ooredoo International Finance, Ltd. | | | | | | | | | | | | |
4.75%, 02/16/21 144A D | | | 200,000 | | | | | | | | 210,542 | |
| | | | | | | | | | | | |
Russia — 1.7% | | | | | | | | | | | | |
Russian Federal Bond - OFZ | | | | | | | | | | | | |
8.15%, 02/03/27(Q) | | | 257,799,000 | | | | | | | | 4,712,409 | |
7.05%, 01/19/28(Q) | | | 246,671,000 | | | | | | | | 4,164,149 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,876,558 | |
| | | | | | | | | | | | |
Saudi Arabia — 0.2% | | | | | | | | | | | | |
Saudi Government International Bond | | | | | | | | | | | | |
2.38%, 10/26/21 144A | | | 395,000 | | | | | | | | 385,808 | |
3.25%, 10/26/26 144A D | | | 875,000 | | | | | | | | 859,650 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,245,458 | |
| | | | | | | | | | | | |
Singapore — 0.2% | | | | | | | | | | | | |
BOC Aviation, Ltd. | | | | | | | | | | | | |
3.00%, 03/30/20 144A | | | 1,000,000 | | | | | | | | 1,003,905 | |
| | | | | | | | | | | | |
Spain — 0.2% | | | | | | | | | | | | |
Masaria Investments SAU | | | | | | | | | | | | |
5.00%, 09/15/24 144A (E) | | | 710,000 | | | | | | | | 860,200 | |
(Floating, Euribor 3M + 5.25%), 5.25%, 09/15/24 144A † (E) | | | 260,000 | | | | | | | | 311,655 | |
Telefonica Emisiones SA Unipersonal | | | | | | | | | | | | |
5.13%, 04/27/20 | | | 75,000 | | | | | | | | 79,439 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,251,294 | |
| | | | | | | | | | | | |
Turkey — 1.4% | | | | | | | | | | | | |
Turk Telekomunikasyon AS | | | | | | | | | | | | |
4.88%, 06/19/24 144A D | | | 1,680,000 | | | | | | | | 1,712,622 | |
Turkey Government Bond | | | | | | | | | | | | |
10.60%, 02/11/26(T) | | | 11,580,000 | | | | | | | | 2,844,974 | |
Turkey Government International Bond | | | | | | | | | | | | |
6.00%, 03/25/27 | | | 2,190,000 | | | | | | | | 2,335,872 | |
4.88%, 04/16/43 | | | 500,000 | | | | | | | | 440,048 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 7,333,516 | |
| | | | | | | | | | | | |
United Kingdom — 2.9% | | | | | | | | | | | | |
Anglian Water Osprey Financing PLC | | | | | | | | | | | | |
7.00%, 01/31/18D (U) | | | 310,000 | | | | | | | | 421,426 | |
Anglo American Capital PLC | | | | | | | | | | | | |
4.75%, 04/10/27 144A | | | 200,000 | | | | | | | | 209,639 | |
Barclays Bank PLC | | | | | | | | | | | | |
7.63%, 11/21/22 | | | 1,660,000 | | | | | | | | 1,883,063 | |
Barclays PLC | | | | | | | | | | | | |
(Variable, EUR Swap Rate 5Y + 2.45%), | | | | | | | | | | | | |
2.63%, 11/11/25† (E) | | | 300,000 | | | | | | | | 374,601 | |
Boparan Finance PLC | | | | | | | | | | | | |
5.50%, 07/15/21D (U) | | | 270,000 | | | | | | | | 332,155 | |
Ensco PLC | | | | | | | | | | | | |
8.00%, 01/31/24 | | | 33,000 | | | | | | | | 33,248 | |
HBOS PLC | | | | | | | | | | | | |
6.75%, 05/21/18 144A | | | 500,000 | | | | | | | | 508,526 | |
| | | | |
| | See Notes to Financial Statements. | | 169 |
GLOBAL BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Par | | | Value | |
HSBC Holdings PLC | | | | | | | | | | | | |
6.00%, 06/10/19(E) | | $ | 270,000 | | | | | | | $ | 351,625 | |
(Variable, USD ICE Swap Rate 5Y + 4.37%), 6.38%, 03/30/25† D | | | 600,000 | | | | | | | | 646,500 | |
Intelsat Jackson Holdings SA | | | | | | | | | | | | |
5.50%, 08/01/23 | | | 330,000 | | | | | | | | 270,600 | |
KCA Deutag UK Finance PLC | | | | | | | | | | | | |
7.25%, 05/15/21 144A | | | 540,000 | | | | | | | | 526,500 | |
Lloyds Bank PLC | | | | | | | | | | | | |
6.50%, 03/24/20(E) | | | 326,000 | | | | | | | | 446,165 | |
Lloyds Banking Group PLC | | | | | | | | | | | | |
5.30%, 12/01/45D | | | 1,581,000 | | | | | | | | 1,881,044 | |
Pinewood Finco PLC | | | | | | | | | | | | |
3.75%, 12/01/23 144A (U) | | | 190,000 | | | | | | | | 258,420 | |
Rio Tinto Finance USA PLC | | | | | | | | | | | | |
4.13%, 08/21/42D | | | 145,000 | | | | | | | | 155,529 | |
Royal Bank of Scotland Group PLC | | | | | | | | | | | | |
6.10%, 06/10/23 | | | 1,880,000 | | | | | | | | 2,072,599 | |
6.00%, 12/19/23 | | | 275,000 | | | | | | | | 303,274 | |
(Variable, EUR Swap Rate 5Y + 2.65%), 3.63%, 03/25/24† D (E) | | | 547,000 | | | | | | | | 677,932 | |
Santander UK Group Holdings PLC | | | | | | | | | | | | |
(Variable, GBP Swap Rate 5Y + 5.54%), 7.38%, 06/24/22† D (U) | | | 390,000 | | | | | | | | 581,360 | |
Southern Gas Networks PLC | | | | | | | | | | | | |
4.88%, 12/21/20(U) | | | 270,000 | | | | | | | | 403,795 | |
Standard Chartered PLC | | | | | | | | | | | | |
5.13%, 06/06/34(U) | | | 321,000 | | | | | | | | 489,647 | |
Synlab Bondco PLC | | | | | | | | | | | | |
6.25%, 07/01/22(E) | | | 270,000 | | | | | | | | 342,435 | |
Synlab Unsecured Bondco PLC | | | | | | | | | | | | |
8.25%, 07/01/23(E) | | | 170,000 | | | | | | | | 222,224 | |
Tesco Property Finance 3 PLC | | | | | | | | | | | | |
5.74%, 04/13/40(U) | | | 274,055 | | | | | | | | 440,134 | |
Tesco Property Finance 6 PLC | | | | | | | | | | | | |
5.41%, 07/13/44(U) | | | 585,786 | | | | | | | | 919,853 | |
Virgin Media Finance PLC | | | | | | | | | | | | |
6.38%, 10/15/24 144A (U) | | | 360,000 | | | | | | | | 521,001 | |
Virgin Media Secured Finance PLC | | | | | | | | | | | | |
5.50%, 08/15/26 144A | | | 200,000 | | | | | | | | 205,500 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 15,478,795 | |
| | | | | | | | | | | | |
Total Foreign Bonds
(Cost $158,662,531) | | | | | | | | | | | 154,919,268 | |
| | | | | | | | | | | | |
FOREIGN GOVERNMENT | |
INFLATION-LINKED BOND — 0.4% | |
Brazil — 0.4% | | | | | | | | | | | | |
Brazil Notas do Tesouro Nacional Serie B | | | | | | | | | | | | |
6.00%, 08/15/50(B) | | | | | | | | | | | | |
(Cost $2,508,703) | | | 2,063,000 | | | | | | | | 2,049,043 | |
| | | | | | | | | | | | |
LOAN AGREEMENTS — 2.8% | | | | | | | | | |
1011778 B.C. Unlimited Liability Co. Term B-3 Loan | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M +2.25%), 3.82%, 02/16/24† | | | 279,242 | | | | | | | | 279,548 | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
(Floating, ICE LIBOR USD 3M +2.25%), 3.94%, 02/16/24† | | $ | 179,521 | | | | | | | $ | 179,717 | |
Air Medical Group Holdings, Inc. Initial Term Loan | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M +3.25%), | | | | | | | | | | | | |
4.94%, 04/28/22† | | | 295,454 | | | | | | | | 294,637 | |
American Airlines, Inc. 2017 Class B Term Loan | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M +2.00%), 3.48%, 12/14/23† | | | 198,000 | | | | | | | | 198,201 | |
American Airlines, Inc. 2017 Replacement Term Loan | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M +2.00%), 3.55%, 06/27/20† | | | 975,019 | | | | | | | | 978,066 | |
American Builders & Contractors Supply Co., Inc. Additional Term B-1 Loan | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M +2.50%), 4.07%, 10/31/23† | | | 539,484 | | | | | | | | 542,547 | |
Avolon TLB Borrower 1 (US) LLC Initial Term B-2 Loan | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M +2.25%), 3.75%, 03/21/22† | | | 378,100 | | | | | | | | 379,537 | |
Beacon Roofing Supply, Inc. - Term B Loan | | | | | | | | | | | | |
0.00%, 01/02/25† S | | | 440,000 | | | | | | | | 441,846 | |
Berry Global, Inc. Term M Loan | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M +2.25%), 3.68%, 10/01/22† | | | 96,967 | | | | | | | | 97,452 | |
(Floating, ICE LIBOR USD 1M +2.25%), 3.82%, 10/01/22† | | | 150,395 | | | | | | | | 151,147 | |
CBS Radio, Inc. Additional Term B-1 Loan | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M +2.75%), 4.17%, 11/18/24† | | | 460,000 | | | | | | | | 461,869 | |
CenturyLink, Inc. Initial Term B Loan | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M +2.75%), 4.32%, 01/31/25† | | | 320,000 | | | | | | | | 309,314 | |
Charter Communications | | | | | | | | | | | | |
Operating LLC Term B Loan 0.00%, 04/30/25† S | | | 161,182 | | | | | | | | 161,470 | |
CSC Holdings LLC March 2017 Refinancing Term Loan | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M +2.25%), 3.74%, 07/17/25† | | | 261,187 | | | | | | | | 260,469 | |
Dell International LLC Refinancing Term B Loan | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M +2.00%), 3.57%, 09/07/23† | | | 440,000 | | | | | | | | 440,255 | |
Energy Future Intermediate Holding Co. LLC Term Loan | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M +3.00%), 4.50%, 06/30/18† | | | 39,643 | | | | | | | | 39,782 | |
Energy Future Intermediate Holding Company LLC Term Loan | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M +3.00%), 4.57%, 06/30/18† | | | 1,070,357 | | | | | | | | 1,074,103 | |
First Data Corporation 2024A New Dollar Term Loan | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M +2.25%), 3.80%, 04/26/24† | | | 499,476 | | | | | | | | 500,368 | |
| | | | |
| 170 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
Flying Fortress Holdings LLC New Loan | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M +2.00%), 3.69%, 10/30/22† | | $ | 380,000 | | | | | | | $ | 382,612 | |
Hilton Worldwide Finance LLC Series B-2 Term Loan | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M +2.00%), 3.55%, 10/25/23† | | | 600,149 | | | | | | | | 603,786 | |
Level 3 Financing, Inc. Tranche B 2024 Term Loan | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M +2.25%), 3.70%, 02/22/24† | | | 350,000 | | | | | | | | 350,437 | |
ON Semiconductor Corporation 2017 New Replacement Term B-2 Loan | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M +2.00%), 3.57%, 03/31/23† | | | 330,312 | | | | | | | | 332,221 | |
Party City Holdings, Inc. 2016 Replacement Term Loan | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M +3.00%), 4.39%, 08/19/22† | | | 443,654 | | | | | | | | 445,841 | |
(Floating, ICE LIBOR USD 3M +3.00%), 4.58%, 08/19/22† | | | 187,206 | | | | | | | | 188,129 | |
(Floating, ICE LIBOR USD 3M + 3.00%), 4.70%, 08/19/22† | | | 41,928 | | | | | | | | 42,134 | |
Petco Animal Supplies, Inc. Term Loan | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M +3.00%), 4.38%, 01/26/23† | | | 404,849 | | | | | | | | 308,191 | |
PetSmart, Inc. Tranche B-2 Loan | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M +3.00%), 4.57%, 03/11/22† | | | 975,000 | | | | | | | | 785,789 | |
Post Holdings, Inc. Series A Incremental Term Loan 0.00%, 05/24/24† S | | | 440,000 | | | | | | | | 442,017 | |
Quikrete Holdings, Inc. Initial Loan 0.00%, | | | | | | | | | | | | |
11/15/23† S | | | 446,274 | | | | | | | | 447,731 | |
Trans Union LLC 2017 Replacement Term B-3 Loan | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M +2.00%), 3.57%, 04/10/23† | | | 438,900 | | | | | | | | 441,177 | |
Unitymedia Hessen GmbH & Co. KG Facility B | | | | | | | | | | | | |
0.00%, 09/30/25† S | | | 590,000 | | | | | | | | 591,330 | |
Univision Communications, Inc. 2017 | | | | | | | | | | | | |
Replacement Repriced First-Lien Term Loan | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M +2.75%), 4.32%, 03/15/24† | | | 724,505 | | | | | | | | 723,191 | |
UPC Financing Partnership Facility AR | | | | | | | | | | | | |
0.00%, 01/15/26† S | | | 500,000 | | | | | | | | 500,417 | |
Valeant Pharmaceuticals International, | | | | | | | | | | | | |
Inc. Series F Tranche B Term Loan | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M +3.50%), | | | | | | | | | | | | |
4.94%, 04/01/22† | | | 359,416 | | | | | | | | 364,950 | |
Virgin Media Bristol LLC K Facility 0.00%, | | | | | | | | | | | | |
01/15/26† S | | | 175,000 | | | | | | | | 175,219 | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
Western Digital Corporation | | | | | | | | | | | | |
U.S. Term B-3 Loan | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M +2.00%), 3.57%, 04/29/23† | | $ | 269,325 | | | | | | | $ | 270,604 | |
Windstream Services LLC Tranche | | | | | | | | | | | | |
B-6 Term Loan (2016) | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M +4.00%), 5.50%, 03/29/21† | | | 26,740 | | | | | | | | 25,186 | |
Zebra Technologies Corporation Tranche B Term Loan | | | | | | | | | | | | |
0.00%, 10/27/21† S | | | 120,000 | | | | | | | | 120,722 | |
Ziggo Secured Finance Partnership Term Loan E Facility | | | | | | | | | | | | |
0.00%, 04/15/25† S | | | 650,000 | | | | | | | | 645,764 | |
| | | | | | | | | | | | |
Total Loan Agreements
(Cost $15,275,438) | | | | | | | | | | | 14,977,776 | |
| | | | | | | | | | | | |
MORTGAGE-BACKED SECURITIES — 2.4% | |
Commercial Mortgage Trust Series 2007-CD4 AJ | | | | | | | | | | | | |
5.40%, 12/11/49 | | | 24,162 | | | | | | | | 14,715 | |
Credit Suisse Commercial Mortgage Trust Series 2006-C5 AJ | | | | | | | | | | | | |
5.37%, 12/15/39 | | | 143,914 | | | | | | | | 121,779 | |
Credit Suisse Commercial Mortgage Trust Series 2007-C5 AM | | | | | | | | | | | | |
5.87%, 09/15/40† g | | | 115,521 | | | | | | | | 112,330 | |
CSMC Series 2015-2R 3A2 | | | | | | | | | | | | |
1.54%, 04/27/36 144A † g | | | 729,605 | | | | | | | | 559,206 | |
Fannie Mae Connecticut Avenue Securities Series 2014-C02 2M2 | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 2.60%), 4.15%, 05/25/24† | | | 1,579,037 | | | | | | | | 1,655,473 | |
Fannie Mae Connecticut Avenue Securities Series 2015-C03 1M2 | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 5.00%), 6.55%, 07/25/25† | | | 747,758 | | | | | | | | 844,345 | |
FHLMC Structured Agency Credit Risk Debt Notes Series 2015-DNA3 M3 | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 4.70%), 6.25%, 04/25/28† | | | 830,000 | | | | | | | | 981,387 | |
FHLMC Structured Agency Credit Risk Debt Notes Series 2017-DNA1 B1 | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 4.95%), 6.50%, 07/25/29† | | | 1,060,000 | | | | | | | | 1,174,722 | |
FHLMC Structured Agency Credit Risk Debt Notes Series 2017-DNA2 B1 | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 5.15%), 6.70%, 10/25/29† | | | 560,000 | | | | | | | | 624,483 | |
FHLMC Structured Agency Credit Risk Debt Notes Series 2017-DNA3 M2 | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 2.50%), 4.05%, 03/25/30† | | | 1,590,000 | | | | | | | | 1,648,759 | |
| | | | |
| | See Notes to Financial Statements. | | 171 |
GLOBAL BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Par | | | Value | |
JP Morgan Chase Commercial Mortgage Securities Trust Series 2007-LD12 AJ | | | | | | | | | | | | |
5.93%, 02/15/51† g | | $ | 14,845 | | | | | | | $ | 14,519 | |
Lone Star Portfolio Trust Series 2015-LSMZ M | | | | | | | | | | | | |
(Floating, LIBOR USD 1M + 7.22%), 8.65%, 09/15/20 144A † | | | 666,593 | | | | | | | | 674,569 | |
Lone Star Portfolio Trust Series 2015-LSP F | | | | | | | | | | | | |
(Floating, LIBOR USD 1M + 6.90%), 8.38%, 09/15/28 144A † | | | 767,900 | | | | | | | | 780,883 | |
LSTAR Securities Investment, Ltd. Series 2017-8 A | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 1.65%), 3.22%, 11/01/22 144A † | | | 1,906,428 | | | | | | | | 1,906,767 | |
Morgan Stanley Resecuritization Trust Series 2015-R6 1B | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 0.26%), 1.59%, 07/26/45 144A † | | | 557,087 | | | | | | | | 304,710 | |
Seasoned Credit Risk Transfer Trust Series 2017-2 M1 | | | | | | | | | | | | |
4.00%, 08/25/56 144A | | | 610,000 | | | | | | | | 595,894 | |
Seasoned Credit Risk Transfer Trust Series 2017-2 M2 | | | | | | | | | | | | |
4.00%, 08/25/56 144A | | | 800,000 | | | | | | | | 736,000 | |
| | | | | | | | | | | | |
Total Mortgage-Backed Securities
(Cost $12,107,231) | | | | | | | | | | | 12,750,541 | |
| | | | | | | | | | | | |
MUNICIPAL BOND — 0.0% | | | | | | | | | |
State of Illinois, General Obligation | | | | | | | | | | | | |
5.10%, 06/01/33
(Cost $127,476) | | | 160,000 | | | | | | | | 160,014 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | |
| | | Number of | | | Notional | | | | |
| | | Contracts | | | Amount | | | | |
PURCHASED OPTION — 0.0% | | | | | |
Put Option — 0.0% | | | | | | | | | |
Turkish Lira vs. U.S. Dollar,, Strike Price $3.93, Expires 01/23/18 (BAR) (Premiums received $36,349) | | | 2,960,000 | | | $ | 2,960,000 | | | | 98,495 | |
| | | | | | | | | | | | |
| | |
| | | Par | | | | |
U.S. TREASURY OBLIGATIONS — 19.1% | |
U.S. Treasury Bills | | | | | | | | | | | | |
1.04%, 02/01/18W D | | $ | 3,500,000 | | | | | | | | 3,496,323 | |
1.18%, 02/08/18W | | | 5,000,000 | | | | | | | | 4,993,595 | |
1.25%, 03/01/18W | | | 2,530,000 | | | | | | | | 2,524,834 | |
1.33%, 03/22/18W | | | 7,500,000 | | | | | | | | 7,477,781 | |
1.29%, 04/05/18W D | | | 470,000 | | | | | | | | 468,320 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 18,960,853 | |
| | | | | | | | | | | | |
U.S. Treasury Bonds | | | | | | | | | | | | |
3.50%, 02/15/39 | | | 860,000 | | | | | | | | 982,550 | |
| | | | | | | | |
| | | Par | | | Value | |
4.25%, 05/15/39 | | $ | 40,000 | | | $ | 50,572 | |
3.88%, 08/15/40 | | | 30,000 | | | | 36,155 | |
2.75%, 08/15/42D | | | 120,000 | | | | 120,870 | |
3.13%, 02/15/43 | | | 9,116,000 | | | | 9,795,962 | |
2.88%, 05/15/43 | | | 120,000 | | | | 123,420 | |
3.00%, 05/15/45 | | | 40,000 | | | | 42,017 | |
3.00%, 11/15/45 | | | 920,000 | | | | 966,395 | |
2.50%, 05/15/46 | | | 820,000 | | | | 780,057 | |
2.25%, 08/15/46 | | | 960,000 | | | | 866,025 | |
2.88%, 11/15/46D | | | 2,120,000 | | | | 2,175,194 | |
3.00%, 05/15/47D | | | 80,000 | | | | 84,127 | |
| | | | | | | | |
| | | | | | | 16,023,344 | |
| | | | | | | | |
U.S. Treasury Notes | | | | | | | | |
0.63%, 04/30/18 | | | 530,000 | | | | 528,648 | |
0.75%, 08/31/18 | | | 4,000,000 | | | | 3,975,782 | |
1.38%, 09/30/18 | | | 250,000 | | | | 249,375 | |
1.50%, 12/31/18 | | | 5,875,000 | | | | 5,856,984 | |
1.25%, 03/31/19 | | | 15,000,000 | | | | 14,891,017 | |
1.25%, 06/30/19 | | | 3,000,000 | | | | 2,973,750 | |
1.63%, 06/30/19 | | | 10,000 | | | | 9,967 | |
1.25%, 10/31/19 | | | 110,000 | | | | 108,780 | |
3.63%, 02/15/21D | | | 14,549,000 | | | | 15,260,257 | |
1.88%, 01/31/22 | | | 710,000 | | | | 702,720 | |
2.00%, 02/15/22 | | | 120,000 | | | | 119,445 | |
1.63%, 08/15/22 | | | 3,380,000 | | | | 3,301,508 | |
2.75%, 02/15/24 | | | 6,650,000 | | | | 6,825,733 | |
2.25%, 11/15/24 | | | 9,030,000 | | | | 8,985,026 | |
2.00%, 02/15/25 | | | 100,000 | | | | 97,771 | |
1.63%, 02/15/26 | | | 180,000 | | | | 170,019 | |
1.63%, 05/15/26D | | | 470,000 | | | | 442,764 | |
2.00%, 11/15/26D | | | 1,220,000 | | | | 1,180,874 | |
| | | | | | | | |
| | | | | | | 65,680,420 | |
| | | | | | | | |
Total U.S. Treasury Obligations
(Cost $99,689,727) | | | | | | | 100,664,617 | |
| | | | | | | | |
| | |
| | | Shares | | | | |
COMMON STOCKS — 1.0% | | | | | |
Consumer Discretionary — 0.2% | | | | | |
Ford Motor Co. | | | 96,849 | | | | 1,209,644 | |
| | | | | | | | |
Energy — 0.1% | | | | | | | | |
Berry Pete Corporation* | | | 2,350 | | | | 20,915 | |
Blue Ridge Mountain Resources, Inc.* | | | 24,163 | | | | 199,345 | |
Hercules Offshore, Inc.D Y ††† * | | | 46,644 | | | | 13,154 | |
| | | | | | | | |
| | | | | | | 233,414 | |
| | | | | | | | |
Financials — 0.0% | | | | | | | | |
Tricer Holdco SCA Y ††† * | | | 4,654 | | | | 13,543 | |
| | | | | | | | |
Health Care — 0.2% | | | | | | | | |
Bristol-Myers Squibb Co. | | | 15,400 | | | | 943,712 | |
| | | | | | | | |
Industrials — 0.1% | | | | | | | | |
Arconic, Inc. | | | 14,757 | | | | 402,128 | |
| | | | | | | | |
| | | | |
| 172 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
Information Technology — 0.4% | | | | | |
Corning, Inc. | | | 70,534 | | | | | | | $ | 2,256,383 | |
| | | | | | | | | | | | |
Total Common Stocks | | | | | | | | | | | | |
(Cost $5,684,813) | | | | | | | | | | | 5,058,824 | |
| | | | | | | | | | | | |
PREFERRED STOCKS — 0.4% | | | | | |
Bank of America Corporation | | | | | | | | | | | | |
7.25%, 12/28/17D CONV | | | 602 | | | | | | | | 794,038 | |
Chesapeake Energy Corporation | | | | | | | | | | | | |
5.00%, 10/31/17D CONV | | | 3,950 | | | | | | | | 224,903 | |
5.75%, 10/31/17 CONV | | | 30 | | | | | | | | 16,781 | |
5.75%, 10/31/17D CONV | | | 780 | | | | | | | | 448,013 | |
5.75%, 10/31/17 144A CONV | | | 50 | | | | | | | | 27,969 | |
4.50%, 11/30/17 CONV | | | 1,229 | | | | | | | | 61,081 | |
El Paso Energy Capital Trust I | | | | | | | | | | | | |
4.75%, 03/31/28 CONV | | | 10,249 | | | | | | | | 487,237 | |
iStar, Inc. REIT | | | | | | | | | | | | |
4.50%, 11/30/17 CONV | | | 50 | | | | | | | | 2,419 | |
Tricer Holdco SCA | | | | | | | | | | | | |
0.00%, 12/31/49Y ††† * | | | 2,068,500 | | | | | | | | 20,685 | |
| | | | | | | | | | | | |
Total Preferred Stocks | | | | | | | | | | | | |
(Cost $1,969,549) | | | | | | | | | | | 2,083,126 | |
| | | | | | | | | | | | |
MONEY MARKET FUNDS — 10.3% | | | | | |
GuideStone Money Market Fund (Investor Class)¥ | | | 29,745,692 | | | | | | | | 29,745,692 | |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
Northern Institutional Liquid Assets Portfolio§ | | | 23,734,761 | | | | | | | $ | 23,734,761 | |
Northern Institutional U.S. Government Portfolio | | | 1,164,054 | | | | | | | | 1,164,054 | |
| | | | | | | | | | | | |
Total Money
Market Funds | |
(Cost $54,644,507) | | | | 54,644,507 | |
| | | | | | | | | | | | |
TOTAL
INVESTMENTS — 103.6% | | | | | |
(Cost $534,786,980) | | | | 547,411,774 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | |
| | | Number of
Contracts | | | Notional
Amount | | | | |
WRITTEN
OPTION — (0.0)% | | | | | |
Call Option — (0.0)% | | | | | |
South African Rand vs. U.S. Dollar,, Strike Price $14.90, Expires 01/22/18 (BAR) (Premiums received $(39,535)) | | | (2,890,000 | ) | | $ | (2,890,000 | ) | | | (1,327 | ) |
| | | | | | | | | | | | |
Liabilities in
Excess of Other | |
Assets — (3.6)% | | | | (18,879,044 | ) |
| | | | | | | | | | | | |
NET ASSETS — 100.0% | | | | | | | $ | 528,531,403 | |
| | | | | | | | | | | | |
Futures Contracts outstanding at December 31, 2017:
| | | | | | | | | | | | | | | | | | | | |
Future Type | | Expiration Date | | | Open Long
(Short) Contracts | | | Notional
Market Value
of Contracts | | | Counter-
party | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Euro-Bund | | | 03/2018 | | | | (64 | ) | | $ | (12,415,472 | ) | | | GSC | | | $ | 69,823 | |
Euro-Buxl® | | | 03/2018 | | | | (3 | ) | | | (589,822 | ) | | | GSC | | | | 10,478 | |
10-Year U.S. Treasury Note | | | 03/2018 | | | | (37 | ) | | | (4,589,735 | ) | | | GSC | | | | 20,992 | |
Ultra Long U.S. Treasury Bond | | | 03/2018 | | | | (32 | ) | | | (5,365,000 | ) | | | GSC | | | | (56,973 | ) |
5-Year U.S. Treasury Note | | | 03/2018 | | | | 326 | | | | 37,869,485 | | | | GSC | | | | (180,095 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Futures Contracts outstanding at December 31, 2017 | | | | | | | $ | 14,909,456 | | | | | | | $ | (135,775 | ) |
| | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts outstanding at December 31, 2017:
| | | | | | | | | | | | | | | | | | |
Expiration Date | | Currency Purchased | | Amount
of Currency
Purchased | | | Currency Sold | | Amount
of Currency
Sold | | | Counter- party | | Net Unrealized
Appreciation
(Depreciation) | |
| 01/19/18 | | Euro | | | 7,200,000 | | | U.S. Dollars | | | 8,428,421 | | | BAR | | $ | 220,897 | |
| 01/19/18 | | Euro | | | 6,300,000 | | | U.S. Dollars | | | 7,352,415 | | | CITI | | | 215,738 | |
| 01/19/18 | | Euro | | | 4,310,000 | | | U.S. Dollars | | | 5,047,872 | | | BAR | | | 129,706 | |
| 01/19/18 | | Euro | | | 9,211,959 | | | U.S. Dollars | | | 10,937,912 | | | CITI | | | 128,360 | |
| 01/19/18 | | Indian Rupees | | | 256,817,535 | | | U.S. Dollars | | | 3,895,602 | | | BAR | | | 121,745 | |
| 01/19/18 | | British Pounds | | | 2,250,000 | | | U.S. Dollars | | | 2,949,030 | | | CITI | | | 90,860 | |
| 01/19/18 | | U.S. Dollars | | | 2,351,860 | | | Mexican Pesos | | | 45,000,000 | | | BAR | | | 72,105 | |
| 01/19/18 | | Japanese Yen | | | 334,680,000 | | | U.S. Dollars | | | 2,945,297 | | | CITI | | | 27,866 | |
| 01/19/18 | | U.S. Dollars | | | 790,572 | | | Brazilian Reals | | | 2,539,000 | | | CITI | | | 26,935 | |
| 01/19/18 | | Polish Zloty | | | 10,880,000 | | | Euro | | | 2,580,823 | | | BAR | | | 25,313 | |
| 01/19/18 | | Indonesian Rupiahs | | | 26,810,100,000 | | | U.S. Dollars | | | 1,959,230 | | | BAR | | | 18,256 | |
| | | | |
| | See Notes to Financial Statements. | | 173 |
GLOBAL BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | | | | | | | | | | | |
Expiration Date | | Currency
Purchased | | Amount of
Currency
Purchased | | | Currency
Sold | | | Amount
of Currency
Sold | | | Counter-
party | | | Net Unrealized
Appreciation
(Depreciation) | |
01/19/18 | | Euro | | | 1,000,000 | | | | U.S. Dollars | | | | 1,184,668 | | | | BAR | | | $ | 16,626 | |
01/19/18 | | Euro | | | 1,810,000 | | | | U.S. Dollars | | | | 2,158,217 | | | | BAR | | | | 16,125 | |
01/19/18 | | British Pounds | | | 400,000 | | | | U.S. Dollars | | | | 529,295 | | | | BAR | | | | 11,130 | |
01/19/18 | | U.S. Dollars | | | 12,344 | | | | Mexican Pesos | | | | 234,921 | | | | CITI | | | | 443 | |
| | | | | | | | | | | | | | | | | | | | | | |
Subtotal Appreciation | | | | | | | | | | | | | | | | | | $ | 1,122,105 | |
| | | | | | | | | | | | | | | | | | | | | | |
01/19/18 | | U.S. Dollars | | | 388,813 | | | | Australian Dollars | | | | 500,000 | | | | BAR | | | | (1,319 | ) |
01/19/18 | | U.S. Dollars | | | 568,403 | | | | Euro | | | | 480,000 | | | | BAR | | | | (8,219 | ) |
01/19/18 | | U.S. Dollars | | | 591,017 | | | | Euro | | | | 500,000 | | | | BAR | | | | (9,630 | ) |
01/19/18 | | Japanese Yen | | | 85,640,000 | | | | U.S. Dollars | | | | 771,232 | | | | BAR | | | | (10,440 | ) |
01/19/18 | | U.S. Dollars | | | 3,072,595 | | | | Polish Zloty | | | | 10,900,000 | | | | BAR | | | | (58,791 | ) |
01/19/18 | | U.S. Dollars | | | 5,057,487 | | | | British Pounds | | | | 3,793,751 | | | | BAR | | | | (68,106 | ) |
01/19/18 | | Japanese Yen | | | 1,469,325,000 | | | | U.S. Dollars | | | | 13,146,710 | | | | BAR | | | | (93,813 | ) |
01/19/18 | | U.S. Dollars | | | 3,723,837 | | | | Euro | | | | 3,200,000 | | | | BAR | | | | (120,304 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
Subtotal Depreciation | | | | | | | | | | | | | | | | | | $ | (370,622 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
Total Forward Foreign Currency Contracts outstanding at December 31, 2017 | | | | | | | $ | 751,483 | |
| | | | | | | | | | | | | | | | | | | | | | |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2017, 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 | | $ | 11,937,440 | | | $ | — | | | $ | 11,937,440 | | | $ | — | |
Asset-Backed Securities | | | 4,558,037 | | | | — | | | | 4,558,037 | | | | — | |
Common Stocks | | | 5,058,824 | | | | 5,032,127 | | | | — | | | | 26,697 | |
Corporate Bonds | | | 183,510,086 | | | | — | | | | 183,308,297 | | | | 201,789 | |
Foreign Bonds: | | | | | | | | | | | | | | | | |
Argentina | | | 11,388,604 | | | | — | | | | 11,388,604 | | | | — | |
Armenia | | | 553,587 | | | | — | | | | 553,587 | | | | — | |
Australia | | | 266,160 | | | | — | | | | 266,160 | | | | — | |
Austria | | | 620,217 | | | | — | | | | 620,217 | | | | — | |
Bermuda | | | 1,441,335 | | | | — | | | | 1,441,335 | | | | — | |
Brazil | | | 8,535,360 | | | | — | | | | 8,535,360 | | | | — | |
Canada | | | 11,366,974 | | | | — | | | | 11,360,374 | | | | 6,600 | |
Chile | | | 433,548 | | | | — | | | | 433,548 | | | | — | |
China | | | 1,712,375 | | | | — | | | | 1,712,375 | | | | — | |
Colombia | | | 6,693,177 | | | | — | | | | 6,693,177 | | | | — | |
Ecuador | | | 932,513 | | | | — | | | | 932,513 | | | | — | |
France | | | 1,599,947 | | | | — | | | | 1,599,947 | | | | — | |
Germany | | | 4,517,543 | | | | — | | | | 4,517,543 | | | | — | |
Ghana | | | 744,682 | | | | — | | | | 744,682 | | | | — | |
Guatemala | | | 760,000 | | | | — | | | | 760,000 | | | | — | |
Honduras | | | 1,181,052 | | | | — | | | | 1,181,052 | | | | — | |
India | | | 946,514 | | | | — | | | | 946,514 | | | | — | |
Indonesia | | | 6,473,043 | | | | — | | | | 6,473,043 | | | | — | |
| | | | |
| 174 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | |
| | | Total
Value | | | Level 1
Quoted Prices | | | Level 2
Other Significant
Observable Inputs | | | Level 3
Significant
Unobservable Inputs | |
Ireland | | $ | 1,930,745 | | | $ | — | | | $ | 1,930,745 | | | $ | — | |
Italy | | | 9,268,003 | | | | — | | | | 9,268,003 | | | | — | |
Ivory Coast | | | 754,196 | | | | — | | | | 754,196 | | | | — | |
Jersey | | | 1,058,400 | | | | — | | | | 1,058,400 | | | | — | |
Kazakhstan | | | 885,522 | | | | — | | | | 885,522 | | | | — | |
Kenya | | | 501,727 | | | | — | | | | 501,727 | | | | — | |
Luxembourg | | | 1,941,426 | | | | — | | | | 1,941,426 | | | | — | |
Mexico | | | 17,432,593 | | | | — | | | | 17,432,593 | | | | — | |
Morocco & Antilles | | | 1,112,207 | | | | — | | | | 1,112,207 | | | | — | |
Netherlands | | | 16,346,233 | | | | — | | | | 16,346,233 | | | | — | |
New Zealand | | | 1,754,859 | | | | — | | | | 1,754,859 | | | | — | |
Nigeria | | | 333,478 | | | | — | | | | 333,478 | | | | — | |
Norway | | | 39,327 | | | | — | | | | 39,327 | | | | — | |
Panama | | | 4,008 | | | | — | | | | 4,008 | | | | — | |
Peru | | | 2,662,775 | | | | — | | | | 2,662,775 | | | | — | |
Philippines | | | 210,264 | | | | — | | | | 210,264 | | | | — | |
Poland | | | 3,116,806 | | | | — | | | | 3,116,806 | | | | — | |
Qatar | | | 210,542 | | | | — | | | | 210,542 | | | | — | |
Russia | | | 8,876,558 | | | | — | | | | 8,876,558 | | | | — | |
Saudi Arabia | | | 1,245,458 | | | | — | | | | 1,245,458 | | | | — | |
Singapore | | | 1,003,905 | | | | — | | | | 1,003,905 | | | | — | |
Spain | | | 1,251,294 | | | | — | | | | 1,251,294 | | | | — | |
Turkey | | | 7,333,516 | | | | — | | | | 7,333,516 | | | | — | |
United Kingdom | | | 15,478,795 | | | | — | | | | 15,478,795 | | | | — | |
Foreign Government Inflation-Linked Bond | | | 2,049,043 | | | | — | | | | 2,049,043 | | | | — | |
Loan Agreements | | | 14,977,776 | | | | — | | | | 14,977,776 | | | | — | |
Money Market Funds | | | 54,644,507 | | | | 54,644,507 | | | | — | | | | — | |
Mortgage-Backed Securities | | | 12,750,541 | | | | — | | | | 12,750,541 | | | | — | |
Municipal Bond | | | 160,014 | | | | — | | | | 160,014 | | | | — | |
Preferred Stocks | | | 2,083,126 | | | | 855,119 | | | | 1,207,322 | | | | 20,685 | |
Purchased Option | | | 98,495 | | | | — | | | | 98,495 | | | | — | |
U.S. Treasury Obligations | | | 100,664,617 | | | | — | | | | 100,664,617 | | | | — | |
| | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | $ | 547,411,774 | | | $ | 60,531,753 | | | $ | 486,624,250 | | | $ | 255,771 | |
| | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 101,293 | | | $ | 101,293 | | | $ | — | | | $ | — | |
Forward Foreign Currency Contracts | | | 1,122,105 | | | | — | | | | 1,122,105 | | | | — | |
| | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | $ | 1,223,398 | | | $ | 101,293 | | | $ | 1,122,105 | | | $ | — | |
| | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | |
Investments in Securities: | | | | | | | | | | | | | | | | |
Written Option | | $ | (1,327 | ) | | $ | — | | | $ | (1,327 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
Total Liabilities - Investments in Securities | | $ | (1,327 | ) | | $ | — | | | $ | (1,327 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 175 |
GLOBAL BOND 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 | | $ | (237,068 | ) | | $ | (237,068 | ) | | $ | — | | | $ | — | |
Forward Foreign Currency Contracts | | | (370,622 | ) | | | — | | | | (370,622 | ) | | | — | |
| | | | | | | | | | | | | | | | |
Total Liabilities - Other Financial Instruments | | $ | (607,690 | ) | | $ | (237,068 | ) | | $ | (370,622 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
***Other financial instruments are derivative instruments, 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 preceding “Futures Contracts outstanding” and “Forward Foreign Currency Contracts outstanding” disclosures.
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, 2017.
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.
During the year ended December 31, 2017, there were $979,279 of transfers out of Level 3 to Level 2 and Level 1.
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, 2017.
Effective April 1, 2017, the Funds changed administrators from BNY Mellon Investment Servicing (US) Inc. to Northern Trust Company (“Northern Trust”). This transition has resulted in fewer unobservable inputs, as Northern Trust utilizes additional pricing vendors and provides increased pricing coverage. As such, management notes transfers out of Level 3 to Level 2 and Level 1 occurred in the Fund in the current year.
| | | | |
| 176 | | See Notes to Financial Statements. | | |
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177
| | |
| STATEMENTS OF ASSETS AND LIABILITIES | | December 31, 2017 |
| | | | | | | | |
| | | Money
Market Fund | | | Low-Duration
Bond Fund | |
Assets | | | | | | | | |
Investments in securities of unaffiliated issuers, at value | | $ | 763,594,558 | | | $ | 988,750,440 | |
Investments in repurchase agreements, at value | | | 438,500,000 | | | | — | |
Investments in securities of affiliated issuers, at value | | | — | | | | 12,894,288 | |
| | | | | | | | |
Total investments, at value(1), (2) | | | 1,202,094,558 | | | | 1,001,644,728 | |
Cash | | | 190,000 | | | | — | |
Cash collateral for derivatives | | | — | | | | 2,131,651 | |
Foreign currency(3) | | | — | | | | 10,661,282 | |
Upfront premiums paid from swap contracts | | | — | | | | 839,719 | |
Receivables: | | | | | | | | |
Dividends and reclaims | | | — | | | | 42,604 | |
Interest | | | 566,453 | | | | 4,620,059 | |
Securities lending | | | — | | | | 9,353 | |
From advisor | | | 5 | | | | 4,441 | |
Investment securities sold | | | — | | | | 8,633,620 | |
Fund shares sold | | | — | | | | 23,788 | |
Variation margin on financial futures contracts | | | — | | | | 7,942 | |
Unrealized appreciation on foreign currency exchange contracts | | | — | | | | 177,231 | |
Unrealized appreciation on bilateral swap and forward rate agreements | | | — | | | | 6,142 | |
Prepaid expenses and other assets | | | 7,439 | | | | 12,505 | |
| | | | | | | | |
Total Assets | | | 1,202,858,455 | | | | 1,028,815,065 | |
| | | | | | | | |
Liabilities | | | | | | | | |
Securities sold short, at value(4) | | | — | | | | 5,407,911 | |
TBA sale commitments, at value(5) | | | — | | | | — | |
Options written, at value(6) | | | — | | | | 53,483 | |
Upfront premiums received from swap contracts | | | — | | | | 1,822,632 | |
Unrealized depreciation on foreign currency exchange contracts | | | — | | | | 2,201,241 | |
Unrealized depreciation on bilateral swap and forward rate agreements | | | — | | | | 62,318 | |
Collateral held for securities on loan, at value | | | — | | | | 13,329,271 | |
Collateral held for derivatives | | | — | | | | 88,818 | |
Payables: | | | | | | | | |
Investment securities purchased | | | — | | | | 102,660,998 | |
Fund shares redeemed | | | 38,367,257 | | | | 126,524 | |
Variation margin on centrally cleared swaps | | | — | | | | 21,182 | |
Variation margin on financial futures contracts | | | — | | | | 40,544 | |
Distributions | | | 508,915 | | | | — | |
Securities lending | | | — | | | | 1,336 | |
Accrued expenses: | | | | | | | | |
Investment advisory fees | | | 121,734 | | | | 231,120 | |
Professional fees | | | 23,478 | | | | 54,019 | |
Shareholder servicing fees | | | 196,838 | | | | 65,859 | |
Other expenses | | | 129,031 | | | | 114,440 | |
| | | | | | | | |
Total Liabilities | | | 39,347,253 | | | | 126,281,696 | |
| | | | | | | | |
Net Assets | | $ | 1,163,511,202 | | | $ | 902,533,369 | |
| | | | | | | | |
Net Assets Consist of: | | | | | | | | |
Paid-in-capital | | $ | 1,163,509,077 | | | $ | 912,760,784 | |
Accumulated (distributions in excess of) net investment income (loss) | | | (5 | ) | | | (771,745 | ) |
Undistributed (accumulated) net realized gain (loss) on investments, foreign currency and derivative transactions | | | 2,130 | | | | (9,037,835 | ) |
Net unrealized appreciation (depreciation) on investments, foreign currency and derivative transactions | | | — | | | | (417,835 | ) |
| | | | | | | | |
Net Assets | | $ | 1,163,511,202 | | | $ | 902,533,369 | |
| | | | | | | | |
Net Asset Value: | | | | | | | | |
$0.001 par value, unlimited shares authorized | | | | | | | | |
Net assets applicable to the Institutional Class | | $ | 268,947,909 | | | $ | 592,325,421 | |
| | | | | | | | |
Institutional shares outstanding | | | 268,949,077 | | | | 44,374,202 | |
| | | | | | | | |
Net asset value, offering and redemption price per Institutional share | | $ | 1.00 | | | $ | 13.35 | |
| | | | | | | | |
Net assets applicable to the Investor Class | | $ | 894,563,293 | | | $ | 310,207,948 | |
| | | | | | | | |
Investor shares outstanding | | | 894,525,566 | | | | 23,233,007 | |
| | | | | | | | |
Net asset value, offering and redemption price per Investor share | | $ | 1.00 | | | $ | 13.35 | |
| | | | | | | | |
(1) Investments in securities of unaffiliated issuers, at cost | | $ | 763,594,558 | | | $ | 987,076,767 | |
Investments in repurchase agreements, at cost | | | 438,500,000 | | | | — | |
Investments in securities of affiliated issuers, at cost | | | — | | | | 12,894,288 | |
| | | | | | | | |
Total investments, at cost | | $ | 1,202,094,558 | | | $ | 999,971,055 | |
| | | | | | | | |
(2) Includes securities loaned of: | | $ | — | | | $ | 86,733,576 | |
| | | | | | | | |
(3) Foreign currency, at cost | | $ | — | | | $ | 10,504,326 | |
| | | | | | | | |
(4) Proceeds from securities sold short | | $ | — | | | $ | 5,380,669 | |
| | | | | | | | |
(5) TBA sale commitments, at cost | | $ | — | | | $ | — | |
| | | | | | | | |
(6) Premiums received on options written | | $ | — | | | $ | 54,639 | |
| | | | | | | | |
| | | | |
| 178 | | See Notes to Financial Statements. | | |
| | | | | | | | | | |
Medium-Duration
Bond Fund | | | Extended-Duration
Bond Fund | | | Global
Bond Fund | |
| | | | | | | | | | |
| | |
| $ | 1,463,998,989 | | | $ | 251,719,063 | | | $ | 517,666,082 | |
| | 176,100,000 | | | | — | | | | — | |
| | 96,106,753 | | | | 6,203,434 | | | | 29,745,692 | |
| | | | | | | | | | |
| | 1,736,205,742 | | | | 257,922,497 | | | | 547,411,774 | |
| | — | | | | 10,453 | | | | — | |
| | 5,729,564 | | | | — | | | | 529,405 | |
| | 2,662,538 | | | | — | | | | 2,802,788 | |
| | 3,962,307 | | | | — | | | | — | |
| | | | | | | | | | |
| | 72,602 | | | | 8,582 | | | | 69,819 | |
| | 7,080,062 | | | | 1,936,908 | | | | 5,796,057 | |
| | 13,946 | | | | 10,812 | | | | 20,331 | |
| | 20,131 | | | | 1,668 | | | | 6,527 | |
| | 216,904,786 | | | | — | | | | 1,314,356 | |
| | 76,055 | | | | 12,955 | | | | 140,450 | |
| | 692,243 | | | | — | | | | 41,313 | |
| | 710,049 | | | | — | | | | 1,122,105 | |
| | 319,985 | | | | — | | | | — | |
| | 23,148 | | | | 9,279 | | | | 16,482 | |
| | | | | | | | | | |
| | 1,974,473,158 | | | | 259,913,154 | | | | 559,271,407 | |
| | | | | | | | | | |
| | | | | | | | | | |
| | — | | | | — | | | | — | |
| | 4,088,761 | | | | — | | | | — | |
| | 1,795,906 | | | | — | | | | 1,327 | |
| | 2,725,117 | | | | — | | | | — | |
| | 1,498,124 | | | | — | | | | 370,622 | |
| | 390,141 | | | | — | | | | — | |
| | 10,659,942 | | | | 12,095,847 | | | | 23,734,761 | |
| | 1,694,867 | | | | — | | | | — | |
| | | | | | | | | | |
| | 542,500,894 | | | | — | | | | 6,205,415 | |
| | 3,388 | | | | 22,504 | | | | 67,082 | |
| | 153,452 | | | | — | | | | — | |
| | 334,753 | | | | — | | | | 21,516 | |
| | — | | | | — | | | | — | |
| | 2,092 | | | | 1,622 | | | | 3,050 | |
| | | | | | | | | | |
| | 381,240 | | | | 98,815 | | | | 216,491 | |
| | 54,019 | | | | 32,360 | | | | 34,844 | |
| | 56,483 | | | | 26,276 | | | | 25,984 | |
| | 174,303 | | | | 37,593 | | | | 58,912 | |
| | | | | | | | | | |
| | 566,513,482 | | | | 12,315,017 | | | | 30,740,004 | |
| | | | | | | | | | |
| $ | 1,407,959,676 | | | $ | 247,598,137 | | | $ | 528,531,403 | |
| | | | | | | | | | |
| | | | | | | | | | |
| $ | 1,408,113,865 | | | $ | 234,210,530 | | | $ | 520,147,137 | |
| | (1,244,500 | ) | | | 6,865 | | | | 546,998 | |
| | (8,312,003 | ) | | | 1,570,671 | | | | (5,400,352 | ) |
| | 9,402,314 | | | | 11,810,071 | | | | 13,237,620 | |
| | | | | | | | | | |
| $ | 1,407,959,676 | | | $ | 247,598,137 | | | $ | 528,531,403 | |
| | | | | | | | | | |
| | | | | | | | | | |
| $ | 1,138,597,254 | | | $ | 122,526,105 | | | $ | 405,411,203 | |
| | | | | | | | | | |
| | 77,205,636 | | | | 6,828,452 | | | | 40,233,180 | |
| | | | | | | | | | |
| $ | 14.75 | | | $ | 17.94 | | | $ | 10.08 | |
| | | | | | | | | | |
| $ | 269,362,422 | | | $ | 125,072,032 | | | $ | 123,120,200 | |
| | | | | | | | | | |
| | 18,260,740 | | | | 6,968,368 | | | | 12,220,620 | |
| | | | | | | | | | |
| $ | 14.75 | | | $ | 17.95 | | | $ | 10.07 | |
| | | | | | | | | | |
| | | | | | | | | | |
| $ | 1,454,354,899 | | | $ | 239,908,040 | | | $ | 505,041,288 | |
| | 176,100,000 | | | | — | | | | — | |
| | 96,106,753 | | | | 6,203,434 | | | | 29,745,692 | |
| | | | | | | | | | |
| $ | 1,726,561,652 | | | $ | 246,111,474 | | | $ | 534,786,980 | |
| | | | | | | | | | |
| $ | 90,950,486 | | | $ | 62,389,377 | | | $ | 50,859,606 | |
| | | | | | | | | | |
| $ | 2,672,202 | | | $ | — | | | $ | 2,827,635 | |
| | | | | | | | | | |
| $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | |
| $ | 4,091,562 | | | $ | — | | | $ | — | |
| | | | | | | | | | |
| $ | 1,778,749 | | | $ | — | | | $ | 39,535 | |
| | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 179 |
| | |
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 | | | — | | | | 178,154 | |
Interest | | | 11,879,419 | | | | 17,957,165 | |
Securities lending | | | — | | | | 132,227 | |
Less foreign taxes withheld | | | — | | | | (15,652 | ) |
| | | | | | | | |
Total Investment Income | | | 11,879,419 | | | | 18,251,894 | |
| | | | | | | | |
Expenses | | | | | | | | |
Investment advisory fees | | | 1,537,208 | | | | 2,796,316 | |
Transfer agent fees: | | | | | | | | |
Institutional shares | | | 4,556 | | | | 5,127 | |
Investor shares | | | 52,020 | | | | 30,408 | |
Custodian fees | | | 8,846 | | | | 142,229 | |
Shareholder servicing fees: | | | | | | | | |
Investor shares | | | 2,469,783 | | | | 740,373 | |
Accounting and administration fees | | | 271,891 | | | | 182,734 | |
Professional fees | | | 82,293 | | | | 125,159 | |
Blue sky fees: | | | | | | | | |
Institutional shares | | | 29,602 | | | | 26,069 | |
Investor shares | | | 67,468 | | | | 32,256 | |
Trustees expenses | | | 11,940 | | | | 8,334 | |
Line of credit facility fees and interest expense | | | 9,904 | | | | 7,456 | |
Other expenses | | | 17,726 | | | | 50,194 | |
| | | | | | | | |
Total Expenses | | | 4,563,237 | | | | 4,146,655 | |
Expenses waived/reimbursed net of amount recaptured(1) | | | — | | | | (78,547 | ) |
| | | | | | | | |
Net Expenses | | | 4,563,237 | | | | 4,068,108 | |
| | | | | | | | |
| | |
Net Investment Income | | | 7,316,182 | | | | 14,183,786 | |
| | | | | | | | |
| | |
Realized and Unrealized Gain (Loss) | | | | | | | | |
Net realized gain (loss) from: | | | | | | | | |
Investment securities | | | 2,130 | | | | (676,000 | ) |
Investment securities sold short | | | — | | | | (27,532 | ) |
Futures transactions | | | — | | | | 609,525 | |
Swap and forward rate agreements | | | — | | | | (2,326,583 | ) |
Option contracts written | | | — | | | | 292,510 | |
Option contracts purchased | | | — | | | | (29,395 | ) |
Forward foreign currency contracts | | | — | | | | (996,355 | ) |
Foreign currency | | | — | | | | (292,710 | ) |
| | | | | | | | |
| | |
Net realized gain (loss) | | | 2,130 | | | | (3,446,540 | ) |
| | | | | | | | |
| | |
Net change in unrealized appreciation (depreciation) on: | | | | | | | | |
Investment securities | | | — | | | | 7,930,797 | |
Investment securities sold short | | | — | | | | (34,870 | ) |
Futures | | | — | | | | (4,088 | ) |
Swap and forward rate agreements | | | — | | | | 482,762 | |
Option contracts written | | | — | | | | (49,850 | ) |
Option contracts purchased | | | — | | | | (18,686 | ) |
Forward foreign currency contracts | | | — | | | | (4,226,861 | ) |
Foreign currency | | | — | | | | (9,225 | ) |
| | | | | | | | |
| | |
Net change in unrealized appreciation (depreciation) | | | — | | | | 4,069,979 | |
| | | | | | | | |
Net Realized and Unrealized Gain | | | 2,130 | | | | 623,439 | |
| | | | | | | | |
Net Increase in Net Assets Resulting from Operations | | $ | 7,318,312 | | | $ | 14,807,225 | |
| | | | | | | | |
| (1) | See Note 3a and 3c in Notes to Financial Statements. |
| | | | |
| 180 | | See Notes to Financial Statements. | | |
| | | | | | | | | | |
Medium-Duration
Bond Fund | | | Extended-Duration
Bond Fund | | | Global
Bond Fund | |
| | | | | | | | | | |
| $ | 5,954 | | | $ | 31,558 | | | $ | 354,586 | |
| | 416,659 | | | | 36,868 | | | | 179,749 | |
| | 30,706,365 | | | | 9,375,777 | | | | 21,816,468 | |
| | 124,345 | | | | 45,777 | | | | 234,419 | |
| | 61,791 | | | | (215 | ) | | | (5,855 | ) |
| | | | | | | | | | |
| | 31,315,114 | | | | 9,489,765 | | | | 22,579,367 | |
| | | | | | | | | | |
| | | | | | | | | | |
| | 3,778,796 | | | | 1,145,079 | | | | 2,358,356 | |
| | | | | | | | | | |
| | 5,296 | | | | 4,274 | | | | 4,888 | |
| | 29,834 | | | | 27,827 | | | | 22,860 | |
| | 267,548 | | | | 11,643 | | | | 61,116 | |
| | | | | | | | | | |
| | 592,958 | | | | 301,066 | | | | 270,494 | |
| | 274,268 | | | | 57,488 | | | | 122,214 | |
| | 125,159 | | | | 101,641 | | | | 114,680 | |
| | | | | | | | | | |
| | 25,498 | | | | 22,463 | | | | 37,451 | |
| | 26,870 | | | | 25,261 | | | | 21,792 | |
| | 8,622 | | | | 2,538 | | | | 3,839 | |
| | 33,181 | | | | 2,607 | | | | 3,564 | |
| | 98,784 | | | | 22,490 | | | | 25,090 | |
| | | | | | | | | | |
| | 5,266,814 | | | | 1,724,377 | | | | 3,046,344 | |
| | (177,676 | ) | | | (16,292 | ) | | | (83,849 | ) |
| | | | | | | | | | |
| | 5,089,138 | | | | 1,708,085 | | | | 2,962,495 | |
| | | | | | | | | | |
| | 26,225,976 | | | | 7,781,680 | | | | 19,616,872 | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | (1,043,194 | ) | | | 2,792,674 | | | | 3,274,385 | |
| | (652,991 | ) | | | — | | | | — | |
| | 2,191,262 | | | | — | | | | (405,973 | ) |
| | 1,992,813 | | | | — | | | | — | |
| | 2,153,696 | | | | — | | | | 16,694 | |
| | (1,497,088 | ) | | | — | | | | 29,220 | |
| | (339,982 | ) | | | — | | | | (70,489 | ) |
| | 233,089 | | | | 2,153 | | | | 600,416 | |
| | | | | | | | | | |
| | 3,037,605 | | | | 2,794,827 | | | | 3,444,253 | |
| | | | | | | | | | |
| | | | | | | | | | |
| | 19,996,024 | | | | 12,879,414 | | | | 10,884,096 | |
| | 398,961 | | | | — | | | | — | |
| | 757,237 | | | | — | | | | (195,615 | ) |
| | (1,528,433 | ) | | | — | | | | — | |
| | 838,658 | | | | — | | | | 23,061 | |
| | (685,246 | ) | | | — | | | | (643,340 | ) |
| | (3,419,818 | ) | | | — | | | | 2,304,200 | |
| | 75,513 | | | | 1,404 | | | | 24,797 | |
| | | | | | | | | | |
| | 16,432,896 | | | | 12,880,818 | | | | 12,397,199 | |
| | | | | | | | | | |
| | 19,470,501 | | | | 15,675,645 | | | | 15,841,452 | |
| | | | | | | | | | |
| $ | 45,696,477 | | | $ | 23,457,325 | | | $ | 35,458,324 | |
| | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 181 |
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Money Market Fund | |
| |
| | | For the Year Ended | |
| | |
| | | 12/31/17 | | | 12/31/16 | |
Operations: | | | | | | | | |
Net investment income | | $ | 7,316,182 | | | $ | 993,192 | |
Net realized gain (loss) on investment securities, foreign currency and derivatives | | | 2,130 | | | | 53,322 | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | | | — | | | | — | |
| | | | | | | | |
Net increase in net assets resulting from operations | | | 7,318,312 | | | | 1,046,514 | |
| | | | | | | | |
Dividends and Distributions to Shareholders: | | | | | | | | |
Dividends from net investment income | | | | | | | | |
Institutional shares | | | (2,230,825 | ) | | | (628,794 | ) |
Investor shares | | | (5,085,360 | ) | | | (364,398 | ) |
Distributions from net realized capital gains | | | | | | | | |
Institutional shares | | | — | | | | (11,523 | ) |
Investor shares | | | — | | | | (48,479 | ) |
| | | | | | | | |
Total dividends and distributions | | | (7,316,185 | ) | | | (1,053,194 | ) |
| | | | | | | | |
Capital Share Transactions: | | | | | | | | |
Proceeds from shares sold | | | | | | | | |
Institutional shares | | | 807,337,066 | | | | 649,810,099 | |
Investor shares | | | 4,112,655,800 | | | | 4,364,775,848 | |
Reinvestment of dividends and distributions | | | | | | | | |
Institutional shares | | | 892,830 | | | | 305,772 | |
Investor shares | | | 2,182,102 | | | | 209,397 | |
| | | | | | | | |
Total proceeds from shares sold and reinvested | | | 4,923,067,798 | | | | 5,015,101,116 | |
| | | | | | | | |
Value of shares redeemed | | | | | | | | |
Institutional shares | | | (790,919,840 | ) | | | (644,356,936 | ) |
Investor shares | | | (4,170,941,208 | ) | | | (4,455,737,775 | ) |
| | | | | | | | |
Total value of shares redeemed | | | (4,961,861,048 | ) | | | (5,100,094,711 | ) |
| | | | | | | | |
Net increase (decrease) from capital share transactions(1) | | | (38,793,250 | ) | | | (84,993,595 | ) |
| | | | | | | | |
Total increase (decrease) in net assets | | | (38,791,123 | ) | | | (85,000,275 | ) |
| | | | | | | | |
Net Assets: | | | | | | | | |
Beginning of Year | | | 1,202,302,325 | | | | 1,287,302,600 | |
| | | | | | | | |
End of Year* | | $ | 1,163,511,202 | | | $ | 1,202,302,325 | |
| | | | | | | | |
*Including undistributed (distributions in excess of) net investment income | | $ | (5 | ) | | $ | (2 | ) |
| | | | | | | | |
| (1) See | Note 6 in Notes to Financial Statements. |
| | | | |
| 182 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | |
Low-Duration
Bond Fund | | | Medium-Duration
Bond Fund | |
| |
| For the Year Ended | | | For the Year Ended | |
| | | |
| 12/31/17 | | | 12/31/16 | | | 12/31/17 | | | 12/31/16 | |
| | | | | | | | | | | | | | |
| $ | 14,183,786 | | | $ | 12,150,324 | | | $ | 26,225,976 | | | $ | 22,475,026 | |
| | (3,446,540 | ) | | | (3,744,351 | ) | | | 3,037,605 | | | | (10,644,065 | ) |
| | 4,069,979 | | | | 6,466,908 | | | | 16,432,896 | | | | 13,658,934 | |
| | | | | | | | | | | | | | |
| | 14,807,225 | | | | 14,872,881 | | | | 45,696,477 | | | | 25,489,895 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | (10,229,709 | ) | | | (9,332,720 | ) | | | (20,072,788 | ) | | | (19,149,627 | ) |
| | (4,000,821 | ) | | | (2,592,772 | ) | | | (4,509,866 | ) | | | (3,212,334 | ) |
| | | | | | | | | | | | | | |
| | — | | | | — | | | | — | | | | (2,396,364 | ) |
| | — | | | | — | | | | — | | | | (645,755 | ) |
| | | | | | | | | | | | | | |
| | (14,230,530 | ) | | | (11,925,492 | ) | | | (24,582,654 | ) | | | (25,404,080 | ) |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | 158,108,971 | | | | 75,052,450 | | | | 318,069,701 | | | | 259,641,101 | |
| | 59,956,096 | | | | 74,656,288 | | | | 66,368,668 | | | | 48,285,449 | |
| | | | | | | | | | | | | | |
| | 10,172,772 | | | | 9,329,322 | | | | 20,024,021 | | | | 21,529,595 | |
| | 3,998,619 | | | | 2,590,031 | | | | 4,505,754 | | | | 3,852,247 | |
| | | | | | | | | | | | | | |
| | 232,236,458 | | | | 161,628,091 | | | | 408,968,144 | | | | 333,308,392 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | (162,008,400 | ) | | | (118,188,777 | ) | | | (31,659,087 | ) | | | (171,216,394 | ) |
| | (34,562,859 | ) | | | (40,118,621 | ) | | | (21,675,790 | ) | | | (25,588,210 | ) |
| | | | | | | | | | | | | | |
| | (196,571,259 | ) | | | (158,307,398 | ) | | | (53,334,877 | ) | | | (196,804,604 | ) |
| | | | | | | | | | | | | | |
| | 35,665,199 | | | | 3,320,693 | | | | 355,633,267 | | | | 136,503,788 | |
| | | | | | | | | | | | | | |
| | 36,241,894 | | | | 6,268,082 | | | | 376,747,090 | | | | 136,589,603 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | 866,291,475 | | | | 860,023,393 | | | | 1,031,212,586 | | | | 894,622,983 | |
| | | | | | | | | | | | | | |
| $ | 902,533,369 | | | $ | 866,291,475 | | | $ | 1,407,959,676 | | | $ | 1,031,212,586 | |
| | | | | | | | | | | | | | |
| $ | (771,745 | ) | | $ | 352,788 | | | $ | (1,244,500 | ) | | $ | (1,417,991 | ) |
| | | | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 183 |
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | | | | | | | | | |
| | | Extended-Duration
Bond Fund | | | Global
Bond Fund | |
| | |
| | | For the Year Ended | | | For the Year Ended | |
| | | | |
| | | 12/31/17 | | | 12/31/16 | | | 12/31/17 | | | 12/31/16 | |
Operations: | | | | | | | | | | | | | | | | |
Net investment income | | $ | 7,781,680 | | | $ | 10,018,068 | | | $ | 19,616,872 | | | $ | 18,957,185 | |
Net realized gain (loss) on investment securities, foreign currency and derivatives | | | 2,794,827 | | | | 9,506,330 | | | | 3,444,253 | | | | (9,723,149 | ) |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | | | 12,880,818 | | | | 1,012,592 | | | | 12,397,199 | | | | 33,487,785 | |
| | | | | | | | | | | | | | | | |
Net increase in net assets resulting from operations | | | 23,457,325 | | | | 20,536,990 | | | | 35,458,324 | | | | 42,721,821 | |
| | | | | | | | | | | | | | | | |
Dividends and Distributions to Shareholders: | | | | | | | | | | | | | | | | |
Dividends from net investment income | | | | | | | | | | | | | | | | |
Institutional shares | | | (3,878,270 | ) | | | (7,560,818 | ) | | | (13,826,842 | ) | | | (13,837,022 | ) |
Investor shares | | | (3,532,900 | ) | | | (2,465,545 | ) | | | (3,842,884 | ) | | | (3,392,928 | ) |
Distributions from net realized capital gains | | | | | | | | | | | | | | | | |
Institutional shares | | | (832,617 | ) | | | (5,541,003 | ) | | | — | | | | — | |
Investor shares | | | (841,314 | ) | | | (4,868,635 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total dividends and distributions | | | (9,085,101 | ) | | | (20,436,001 | ) | | | (17,669,726 | ) | | | (17,229,950 | ) |
| | | | | | | | | | | | | | | | |
Capital Share Transactions: | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | | | | | | | | | | | | | | |
Institutional shares | | | 10,173,790 | | | | 19,454,193 | | | | 74,337,429 | | | | 62,834,081 | |
Investor shares | | | 17,946,400 | | | | 49,316,598 | | | | 37,897,578 | | | | 22,304,414 | |
Reinvestment of dividends and distributions | | | | | | | | | | | | | | | | |
Institutional shares | | | 4,701,092 | | | | 13,095,046 | | | | 13,669,919 | | | | 13,705,988 | |
Investor shares | | | 4,368,631 | | | | 7,324,265 | | | | 3,833,048 | | | | 3,388,544 | |
| | | | | | | | | | | | | | | | |
Total proceeds from shares sold and reinvested | | | 37,189,913 | | | | 89,190,102 | | | | 129,737,974 | | | | 102,233,027 | |
| | | | | | | | | | | | | | | | |
Value of shares redeemed | | | | | | | | | | | | | | | | |
Institutional shares | | | (15,144,159 | ) | | | (65,143,260 | ) | | | (35,026,678 | ) | | | (69,877,520 | ) |
Investor shares | | | (23,820,763 | ) | | | (44,984,790 | ) | | | (11,855,469 | ) | | | (19,969,937 | ) |
| | | | | | | | | | | | | | | | |
Total value of shares redeemed | | | (38,964,922 | ) | | | (110,128,050 | ) | | | (46,882,147 | ) | | | (89,847,457 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) from capital share transactions(1) | | | (1,775,009 | ) | | | (20,937,948 | ) | | | 82,855,827 | | | | 12,385,570 | |
| | | | | | | | | | | | | | | | |
Total increase (decrease) in net assets | | | 12,597,215 | | | | (20,836,959 | ) | | | 100,644,425 | | | | 37,877,441 | |
| | | | | | | | | | | | | | | | |
Net Assets: | | | | | | | | | | | | | | | | |
Beginning of Year | | | 235,000,922 | | | | 255,837,881 | | | | 427,886,978 | | | | 390,009,537 | |
| | | | | | | | | | | | | | | | |
End of Year* | | $ | 247,598,137 | | | $ | 235,000,922 | | | $ | 528,531,403 | | | $ | 427,886,978 | |
| | | | | | | | | | | | | | | | |
*Including undistributed (distributions in excess of) net investment income | | $ | 6,865 | | | $ | (3,237 | ) | | $ | 546,998 | | | $ | (384,515 | ) |
| | | | | | | | | | | | | | | | |
| (1) See | Note 6 in Notes to Financial Statements. |
| | | | |
| 184 | | See Notes to Financial Statements. | | |
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | | | Ratios to Average Net Assets | | | | | | | |
| | | Net Asset
Value,
Beginning
of Year | | | Net
Investment
Income | | | Realized
and
Unrealized
Gain
(Loss) on
Investments | | | Dividends
from Net
Investment
Income | | | Distributions
from Net
Realized
Capital
Gains | | | Net
Asset
Value,
End of
Year | | | Total
Return | | | Net Assets,
End of Year
(000) | | | Expenses,
Net(1) | | | Expenses,
Gross(2) | | | Investment
Income,
Net(1) | | | Portfolio
Turnover
Rate | |
Money Market Fund | |
| | | | | | | | | | |
Institutional Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2017 | | $ | 1.00 | | | $ | 0.01 | # | | $ | — | † | | $ | (0.01 | ) | | $ | — | † | | $ | 1.00 | | | | 0.76 | % | | $ | 268,948 | | | | 0.17 | % | | | 0.17 | % | | | 0.77 | % | | | N/A | |
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 | |
| | | | | | | | | | |
Investor Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2017 | | $ | 1.00 | | | $ | 0.01 | # | | $ | — | † | | $ | (0.01 | ) | | $ | — | † | | $ | 1.00 | | | | 0.51 | % | | $ | 894,563 | | | | 0.42 | % | | | 0.42 | % | | | 0.52 | % | | | N/A | |
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 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Low-Duration Bond Fund | |
| | | | | | | | | | |
Institutional Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2017 | | $ | 13.34 | | | $ | 0.21 | # | | $ | 0.01 | | | $ | (0.21 | ) | | $ | — | | | $ | 13.35 | | | | 1.69 | % | | $ | 592,325 | | | | 0.35 | % | | | 0.36 | % | | | 1.60 | % | | | 102 | % |
2016 | | | 13.30 | | | | 0.19 | # | | | 0.05 | (4) | | | (0.20 | ) | | | — | | | | 13.34 | | | | 1.74 | | | | 585,590 | | | | 0.37 | | | | 0.38 | | | | 1.46 | | | | 398 | |
2015 | | | 13.41 | | | | 0.21 | # | | | (0.10 | )(4) | | | (0.22 | ) | | | — | | | | 13.30 | | | | 0.79 | | | | 617,698 | | | | 0.37 | | | | 0.38 | | | | 1.52 | | | | 746 | |
2014 | | | 13.57 | | | | 0.14 | # | | | 0.02 | (4) | | | (0.30 | ) | | | (0.02 | ) | | | 13.41 | | | | 1.16 | | | | 141,461 | | | | 0.36 | | | | 0.42 | | | | 1.06 | | | | 529 | |
2013(5) | | | 13.84 | | | | 0.17 | # | | | (0.17 | )(4) | | | (0.25 | ) | | | (0.02 | ) | | | 13.57 | | | | 0.02 | | | | 136,966 | | | | 0.36 | | | | 0.42 | | | | 1.26 | | | | 202 | |
| | | | | | | | | | |
Investor Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2017 | | $ | 13.34 | | �� | $ | 0.18 | # | | $ | 0.01 | | | $ | (0.18 | ) | | $ | — | | | $ | 13.35 | | | | 1.42 | % | | $ | 310,208 | | | | 0.62 | % | | | 0.63 | % | | | 1.33 | % | | | 102 | % |
2016 | | | 13.27 | | | | 0.16 | # | | | 0.03 | (4) | | | (0.12 | ) | | | — | | | | 13.34 | | | | 1.47 | | | | 280,701 | | | | 0.64 | | | | 0.65 | | | | 1.18 | | | | 398 | |
2015 | | | 13.31 | | | | 0.16 | # | | | (0.09 | )(4) | | | (0.11 | ) | | | — | | | | 13.27 | | | | 0.49 | | | | 242,325 | | | | 0.60 | | | | 0.65 | | | | 1.17 | | | | 746 | |
2014 | | | 13.35 | | | | 0.11 | # | | | 0.02 | (4) | | | (0.16 | ) | | | (0.01 | ) | | | 13.31 | | | | 0.97 | | | | 704,878 | | | | 0.57 | | | | 0.66 | | | | 0.85 | | | | 529 | |
2013(5) | | | 13.52 | | | | 0.14 | # | | | (0.16 | )(4) | | | (0.14 | ) | | | (0.01 | ) | | | 13.35 | | | | (0.20 | ) | | | 701,299 | | | | 0.57 | | | | 0.66 | | | | 1.04 | | | | 202 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Medium-Duration Bond Fund | |
| | | | | | | | | | |
Institutional Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2017 | | $ | 14.46 | | | $ | 0.34 | # | | $ | 0.26 | | | $ | (0.31 | ) | | $ | — | | | $ | 14.75 | | | | 4.13 | % | | $ | 1,138,597 | | | | 0.39 | % | | | 0.40 | % | | | 2.32 | % | | | 387 | % |
2016 | | | 14.44 | | | | 0.37 | # | | | 0.08 | (4) | | | (0.39 | ) | | | (0.04 | ) | | | 14.46 | | | | 3.21 | | | | 815,430 | | | | 0.45 | | | | 0.46 | | | | 2.50 | | | | 337 | |
2015 | | | 15.18 | | | | 0.37 | # | | | (0.35 | )(4) | | | (0.54 | ) | | | (0.22 | ) | | | 14.44 | | | | 0.03 | | | | 706,760 | | | | 0.45 | | | | 0.47 | | | | 2.46 | | | | 346 | |
2014 | | | 15.01 | | | | 0.33 | # | | | 0.56 | (4) | | | (0.63 | ) | | | (0.09 | ) | | | 15.18 | | | | 6.03 | | | | 239,389 | | | | 0.48 | | | | 0.52 | | | | 2.14 | | | | 408 | |
2013(6) | | | 15.90 | | | | 0.35 | # | | | (0.63 | )(4) | | | (0.59 | ) | | | (0.02 | ) | | | 15.01 | | | | (1.90 | ) | | | 227,172 | | | | 0.48 | | | | 0.52 | | | | 2.21 | | | | 409 | |
| | | | | | | | | | |
Investor Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2017 | | $ | 14.46 | | | $ | 0.30 | # | | $ | 0.26 | | | $ | (0.27 | ) | | $ | — | | | $ | 14.75 | | | | 3.93 | % | | $ | 269,362 | | | | 0.66 | % | | | 0.67 | % | | | 2.05 | % | | | 387 | % |
2016 | | | 14.31 | | | | 0.33 | # | | | 0.08 | (4) | | | (0.22 | ) | | | (0.04 | ) | | | 14.46 | | | | 2.88 | | | | 215,783 | | | | 0.72 | | | | 0.73 | | | | 2.24 | | | | 337 | |
2015 | | | 14.65 | | | | 0.28 | # | | | (0.31 | )(4) | | | (0.21 | ) | | | (0.10 | ) | | | 14.31 | | | | (0.22 | ) | | | 187,863 | | | | 0.66 | | | | 0.75 | | | | 1.92 | | | | 346 | |
2014 | | | 14.14 | | | | 0.29 | # | | | 0.53 | (4) | | | (0.27 | ) | | | (0.04 | ) | | | 14.65 | | | | 5.82 | | | | 669,537 | | | | 0.63 | | | | 0.77 | | | | 1.98 | | | | 408 | |
2013(6) | | | 14.68 | | | | 0.30 | # | | | (0.59 | )(4) | | | (0.24 | ) | | | (0.01 | ) | | | 14.14 | | | | (1.98 | ) | | | 582,451 | | | | 0.63 | | | | 0.77 | | | | 2.06 | | | | 409 | |
| † | 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) | 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 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. |
| (6) | 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. |
| | | | |
| | See Notes to Financial Statements. | | 185 |
FINANCIAL HIGHLIGHTS (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | | | Ratios to Average Net Assets | | | | | | | |
| | | Net Asset
Value,
Beginning
of Year | | | Net
Investment
Income | | | Realized
and
Unrealized
Gain
(Loss) on
Investments | | | Dividends
from Net
Investment
Income | | | Distributions
from Net
Realized
Capital
Gains | | | 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 | |
| Extended-Duration Bond Fund | |
| | | | | | | | | | |
Institutional Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 2017 | | $ | 16.90 | | | $ | 0.59 | # | | $ | 1.13 | | | $ | (0.56 | ) | | $ | (0.12 | ) | | $ | 17.94 | | | | 10.38 | % | | $ | 122,526 | | | | 0.57 | % | | | 0.58 | % | | | 3.37 | % | | | 93 | % |
| 2016 | | | 17.37 | | | | 0.70 | # | | | 0.63 | (3) | | | (0.98 | ) | | | (0.82 | ) | | | 16.90 | | | | 7.65 | | | | 115,558 | | | | 0.56 | | | | 0.57 | | | | 3.81 | | | | 50 | |
| 2015 | | | 21.26 | | | | 0.78 | # | | | (1.74 | )(3) | | | (1.42 | ) | | | (1.51 | ) | | | 17.37 | | | | (5.01 | ) | | | 148,920 | | | | 0.60 | | | | 0.60 | | | | 4.09 | | | | 42 | |
| 2014 | | | 21.85 | | | | 0.96 | # | | | 2.70 | (3) | | | (2.42 | ) | | | (1.83 | ) | | | 21.26 | | | | 17.47 | | | | 56,216 | | | | 0.56 | | | | 0.57 | | | | 4.19 | | | | 48 | |
| 2013(4) | | | 29.08 | | | | 1.23 | # | | | (2.65 | )(3) | | | (2.88 | ) | | | (2.93 | ) | | | 21.85 | | | | (5.10 | ) | | | 51,959 | | | | 0.55 | | | | 0.55 | | | | 4.61 | | | | 37 | |
| | | | | | | | | | |
Investor Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 2017 | | $ | 16.90 | | | $ | 0.54 | # | | $ | 1.15 | | | $ | (0.52 | ) | | $ | (0.12 | ) | | $ | 17.95 | | | | 10.13 | % | | $ | 125,072 | | | | 0.85 | % | | | 0.85 | % | | | 3.09 | % | | | 93 | % |
| 2016 | | | 16.76 | | | | 0.64 | # | | | 0.56 | (3) | | | (0.34 | ) | | | (0.72 | ) | | | 16.90 | | | | 7.23 | | | | 119,443 | | | | 0.84 | | | | 0.85 | | | | 3.51 | | | | 50 | |
| 2015 | | | 18.30 | | | | 0.66 | # | | | (1.60 | )(3) | | | (0.27 | ) | | | (0.33 | ) | | | 16.76 | | | | (5.30 | ) | | | 106,918 | | | | 0.82 | | | | 0.85 | | | | 3.65 | | | | 42 | |
| 2014 | | | 16.39 | | | | 0.71 | # | | | 2.10 | (3) | | | (0.50 | ) | | | (0.40 | ) | | | 18.30 | | | | 17.32 | | | | 245,417 | | | | 0.75 | | | | 0.83 | | | | 3.99 | | | | 48 | |
| 2013(4) | | | 18.58 | | | | 0.78 | # | | | (1.74 | )(3) | | | (0.59 | ) | | | (0.64 | ) | | | 16.39 | | | | (5.24 | ) | | | 218,822 | | | | 0.75 | | | | 0.80 | | | | 4.40 | | | | 37 | |
| Global Bond Fund | |
| | | | | | | | | | |
Institutional Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 2017 | | $ | 9.68 | | | $ | 0.42 | # | | $ | 0.35 | | | $ | (0.37 | ) | | $ | — | | | $ | 10.08 | | | | 8.09 | % | | $ | 405,411 | | | | 0.56 | % | | | 0.58 | % | | | 4.18 | % | | | 31 | % |
| 2016 | | | 9.08 | | | | 0.45 | # | | | 0.56 | (3) | | | (0.41 | ) | | | — | | | | 9.68 | | | | 11.24 | | | | 338,475 | | | | 0.59 | | | | 0.60 | | | | 4.73 | | | | 28 | |
| 2015(5) | | | 10.09 | | | | 0.27 | # | | | (1.02 | )(3) | | | (0.26 | ) | | | — | | | | 9.08 | | | | (7.54 | ) | | | 311,374 | | | | 0.59 | | | | 0.62 | | | | 4.15 | | | | 30 | |
| | | | | | | | | | |
Investor Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 2017 | | $ | 9.68 | | | $ | 0.39 | # | | $ | 0.35 | | | $ | (0.35 | ) | | $ | — | | | $ | 10.07 | | | | 7.69 | % | | $ | 123,120 | | | | 0.83 | % | | | 0.85 | % | | | 3.89 | % | | | 31 | % |
| 2016 | | | 9.08 | | | | 0.42 | # | | | 0.56 | (3) | | | (0.38 | ) | | | — | | | | 9.68 | | | | 10.91 | | | | 89,412 | | | | 0.88 | | | | 0.89 | | | | 4.42 | | | | 28 | |
| 2015 | | | 10.03 | | | | 0.33 | # | | | (0.92 | )(3) | | | (0.36 | ) | | | — | | | | 9.08 | | | | (6.00 | ) | | | 78,636 | | | | 0.82 | | | | 0.84 | | | | 3.35 | | | | 30 | |
| 2014 | | | 10.09 | | | | 0.37 | # | | | (0.07 | )(3) | | | (0.36 | ) | | | — | | | | 10.03 | | | | 2.90 | | | | 401,321 | | | | 0.79 | | | | 0.82 | | | | 3.64 | | | | 57 | |
| 2013(6) | | | 10.38 | | | | 0.39 | # | | | (0.36 | )(3) | | | (0.32 | ) | | | — | | | | 10.09 | | | | 0.30 | | | | 357,842 | | | | 0.80 | | | | 0.83 | | | | 3.77 | | | | 101 | |
| # | 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) | 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. |
| (5) | 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. |
| (6) | 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%. |
| | | | |
| 186 | | See Notes to Financial Statements. | | |
Defensive Market Strategies Fund (Unaudited)
The Fund combines multiple investment strategies that in aggregate seek to provide long-term capital appreciation with reduced volatility compared to the equity markets.
The Fund achieved its investment objective during 2017. The Investor Class of the Fund outperformed its composite benchmark of 50% S&P 500® Index and 50% FTSE 3-Month Treasury Bill Index (12.35% versus 10.90%). In a year of strong gains for U.S. equities, the Fund underperformed its primary broad-based market index, represented by the S&P 500® Index, by 9.48%, net of fees. The Fund’s lower returns relative to the S&P 500® Index was due to the Fund’s materially lower market sensitivity and volatility compared to the S&P 500® Index.
The Fund allocated its assets among three of its four principal investment strategies – long-only equity, options equity and convertible bonds. For the calendar year 2017, all three strategies contributed positively to absolute returns.
The long-only equity strategy was the largest contributor to benchmark-relative outperformance. While contributing to benchmark relative outperformance, the long-only equity strategy underperformed the S&P 500® Index for the year due to its multi-cap orientation, value and dividend-paying stock selection bias and lower beta orientation. The strategy was negatively impacted by its allocations to mid- and small-cap equities, which underperformed large-cap equities for the year. In addition, a style bias to value equity and dividend paying securities detracted from relative results, as these sectors underperformed growth equity securities and those paying little or no dividend for the year. Lastly, the long-only allocation had a lower market sensitivity to the S&P 500® Index which contributed to underperformance due to a strong U.S. equity market.
The options equity strategy detracted from the Fund’s benchmark-relative performance, as the strategy had a lower risk profile than the Fund’s benchmark and will typically underperform in very strong equity markets. However, the strategy fulfilled its role in the Fund and delivered positive returns primarily derived from collecting option premiums by selling put options, as the year experienced very little downside volatility for equities.
The convertible bonds strategy detracted from benchmark-relative outperformance, and trailed modestly the broader convertible bond market, as measured by the Thomson Reuters US Focus All-Cap Convertible Bond Index, due mostly to its conservative positioning. However, the convertible bond strategy still managed to generate low double digit absolute returns, as convertible bonds benefited from their equity sensitivity to the broad-based equity market rally and, in particular, benefited from the strategy’s exposure to the technology sector, as it led all other sectors for the year.
Some of the underlying strategies may utilize derivative instruments within the Fund. During 2017, the Fund sold equity options in order to hedge (reduce) equity exposure and/or to collect the option premium from selling. The use of equity options contributed meaningfully to absolute performance during 2017. Equity futures were used to provide market exposure for a portion of the cash in the Fund and were additive to performance. In addition, currency forwards were used to hedge foreign currency exposure back to the U.S. dollar and also contributed positively to the Fund’s absolute 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 equities at a slightly lower risk level than an all equity portfolio. In addition to the interest and credit rate risks associated with fixed-income securities, a convertible security’s market value also tends to reflect the market price of the common stock of the issuing company when that stock price approaches or is greater than the convertible security’s “conversion price.” This Fund is subject to interest rate risk. Meaning, when interest rates rise, the value of the existing fixed-income securities decrease and vice versa. Securities of foreign issuers may be negatively impacted by political events, economic conditions or inefficient, illiquid or unregulated markets in foreign countries, and they also may be subject to inadequate regulatory or accounting standards, which may increase investment risk. 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. Derivatives involve different risks from, and in some respects greater than, those associated with investing directly in securities, currencies or other instruments. Derivatives may be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in value of the underlying instruments may produce disproportionate losses to the Fund. Short sales involve selling a security the Fund does not own in anticipation that the security will decline in price. Short sales expose the Fund to the risk that it will required to buy the security sold short (also known as “covering” the short position) at a time when the security has appreciated in value, thus resulting in a loss to the Fund. The Fund’s potential loss on a short position is limited only by the maximum attainable price of the security less the price at which the security was sold by the Fund. Therefore, in theory, stocks sold short have unlimited risk. The Fund’s use of short sales in effect “leverages” the Fund. The use of leverage may magnify the Fund’s gains or losses, and leverage also creates interest expense that may lower the Fund’s overall returns. It is possible to lose money by investing in the Fund.
187
Defensive Market Strategies Fund (Unaudited)
At December 31, 2017, 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 | | | 24.4 | |
U.S. Treasury Obligations | | | 19.8 | |
Financials | | | 7.4 | |
Information Technology | | | 6.9 | |
Money Market Funds | | | 6.5 | |
Consumer Staples | | | 5.9 | |
Industrials | | | 5.2 | |
Foreign Common Stocks | | | 5.1 | |
Health Care | | | 4.7 | |
Utilities | | | 4.5 | |
Consumer Discretionary | | | 3.0 | |
Foreign Bonds | | | 2.6 | |
Materials | | | 1.4 | |
Preferred Stocks | | | 1.3 | |
Energy | | | 1.2 | |
Telecommunication Services | | | 1.1 | |
Real Estate | | | 0.9 | |
Master Limited Partnership | | | 0.8 | |
Written Options | | | (— | )** |
| | | | |
| | | 102.7 | |
| | | | |
| **Rounds | to less than 0.05% |
188
Defensive Market Strategies Fund (Unaudited)
| | | | | | |
| Average Annual Total Returns as of 12/31/17 |
| | | Institutional Class | | Investor Class* | | Benchmark** |
One Year | | 12.74% | | 12.35% | | 10.90% |
Five Year | | 11.07% | | 10.80% | | 7.87% |
Ten Year | | N/A | | N/A | | N/A |
Since Inception | | 10.55% | | 10.26% | | 7.81% |
Inception Date | | 09/01/11 | | 09/01/11 | | |
Total Fund Operating Expenses (May 1, 2017 Prospectus as amended July 1, 2017)(1) | | 0.69% | | 0.97% | | |
(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% FTSE 3-Month Treasury Bill Index.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
189
| | |
DEFENSIVE MARKET STRATEGIES FUND SCHEDULE OF INVESTMENTS | | December 31, 2017 |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
COMMON STOCKS — 42.2% | |
Consumer Discretionary — 3.0% | |
Advance Auto Parts, Inc. | | | 152 | | | | | | | $ | 15,153 | |
Amazon.com, Inc.* | | | 2,332 | | | | | | | | 2,727,204 | |
AutoZone, Inc.* | | | 38 | | | | | | | | 27,032 | |
Best Buy Co., Inc. | | | 458 | | | | | | | | 31,359 | |
BorgWarner, Inc. | | | 232 | | | | | | | | 11,853 | |
Cable One, Inc.D | | | 213 | | | | | | | | 149,814 | |
CarMax, Inc.* | | | 253 | | | | | | | | 16,225 | |
Carnival Corporation | | | 5,356 | | | | | | | | 355,478 | |
CBS Corporation Class B (Non-Voting Shares) | | | 708 | | | | | | | | 41,772 | |
Charter Communications, Inc. Class A* | | | 432 | | | | | | | | 145,135 | |
Chipotle Mexican Grill, Inc.* | | | 37 | | | | | | | | 10,694 | |
Comcast Corporation Class A | | | 23,208 | | | | | | | | 929,480 | |
D.R. Horton, Inc. | | | 552 | | | | | | | | 28,191 | |
Darden Restaurants, Inc. | | | 10,008 | | | | | | | | 960,968 | |
Discovery Communications, Inc. Class A* | | | 454 | | | | | | | | 10,161 | |
Discovery Communications, Inc. Class C* | | | 364 | | | | | | | | 7,706 | |
DISH Network Corporation Class A* | | | 461 | | | | | | | | 22,013 | |
Dollar General Corporation | | | 460 | | | | | | | | 42,785 | |
Dollar Tree, Inc.* | | | 374 | | | | | | | | 40,134 | |
Domino’s Pizza, Inc.D | | | 2,436 | | | | | | | | 460,307 | |
Expedia, Inc. | | | 288 | | | | | | | | 34,494 | |
Foot Locker, Inc. | | | 320 | | | | | | | | 15,002 | |
Ford Motor Co. | | | 7,130 | | | | | | | | 89,054 | |
Gap, Inc. (The) | | | 301 | | | | | | | | 10,252 | |
General Motors Co. | | | 2,773 | | | | | | | | 113,665 | |
Genuine Parts Co. | | | 11,849 | | | | | | | | 1,125,773 | |
Goodyear Tire & Rubber Co. (The) | | | 280 | | | | | | | | 9,047 | |
H&R Block, Inc. | | | 54,350 | | | | | | | | 1,425,057 | |
Hanesbrands, Inc. | | | 491 | | | | | | | | 10,267 | |
Harley-Davidson, Inc. | | | 250 | | | | | | | | 12,720 | |
Hasbro, Inc. | | | 1,294 | | | | | | | | 117,612 | |
Hilton Worldwide Holdings, Inc. | | | 310 | | | | | | | | 24,757 | |
Home Depot, Inc. (The) | | | 14,710 | | | | | | | | 2,787,986 | |
Interpublic Group of Cos., Inc. (The) | | | 849 | | | | | | | | 17,116 | |
Kohl’s Corporation | | | 339 | | | | | | | | 18,384 | |
L Brands, Inc. | | | 525 | | | | | | | | 31,615 | |
Leggett & Platt, Inc. | | | 135 | | | | | | | | 6,444 | |
Lennar Corporation Class A | | | 243 | | | | | | | | 15,367 | |
Live Nation Entertainment, Inc.* | | | 3,746 | | | | | | | | 159,467 | |
LKQ Corporation* | | | 551 | | | | | | | | 22,409 | |
Lowe’s Cos., Inc. | | | 33,455 | | | | | | | | 3,109,308 | |
Lululemon Athletica, Inc.* | | | 8,117 | | | | | | | | 637,915 | |
Macy’s, Inc. | | | 543 | | | | | | | | 13,678 | |
Marriott International, Inc. Class A | | | 694 | | | | | | | | 94,197 | |
Mattel, Inc. | | | 628 | | | | | | | | 9,659 | |
McDonald’s Corporation | | | 17,479 | | | | | | | | 3,008,485 | |
Michael Kors Holdings, Ltd.* | | | 280 | | | | | | | | 17,626 | |
Mohawk Industries, Inc.* | | | 62 | | | | | | | | 17,106 | |
Netflix, Inc.* | | | 1,966 | | | | | | | | 377,393 | |
Newell Brands, Inc. | | | 917 | | | | | | | | 28,335 | |
News Corporation Class A | | | 567 | | | | | | | | 9,191 | |
News Corporation Class B | | | 636 | | | | | | | | 10,558 | |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
NIKE, Inc. Class B | | | 15,942 | | | | | | | $ | 997,172 | |
Nordstrom, Inc. | | | 287 | | | | | | | | 13,598 | |
Norwegian Cruise Line Holdings, Ltd.* | | | 250 | | | | | | | | 13,312 | |
O’Reilly Automotive, Inc.* | | | 165 | | | | | | | | 39,689 | |
Omnicom Group, Inc. | | | 506 | | | | | | | | 36,852 | |
Pool Corporation | | | 865 | | | | | | | | 112,147 | |
Priceline Group, Inc. (The)* | | | 499 | | | | | | | | 867,132 | |
PulteGroup, Inc. | | | 555 | | | | | | | | 18,454 | |
PVH Corporation | | | 138 | | | | | | | | 18,935 | |
Ralph Lauren Corporation | | | 137 | | | | | | | | 14,206 | |
Ross Stores, Inc. | | | 800 | | | | | | | | 64,200 | |
Royal Caribbean Cruises, Ltd. | | | 366 | | | | | | | | 43,656 | |
Scripps Networks Interactive, Inc. Class A | | | 121 | | | | | | | | 10,331 | |
Signet Jewelers, Ltd. | | | 214 | | | | | | | | 12,102 | |
Starbucks Corporation | | | 36,535 | | | | | | | | 2,098,205 | |
Tapestry, Inc. | | | 641 | | | | | | | | 28,351 | |
Target Corporation | | | 964 | | | | | | | | 62,901 | |
Tiffany & Co. | | | 162 | | | | | | | | 16,840 | |
TimeWarner, Inc. | | | 6,573 | | | | | | | | 601,232 | |
TJX Cos., Inc. (The) | | | 8,541 | | | | | | | | 653,045 | |
Tractor Supply Co. | | | 159 | | | | | | | | 11,885 | |
TripAdvisor, Inc.* | | | 203 | | | | | | | | 6,995 | |
Twenty-First Century Fox, Inc. Class A | | | 1,877 | | | | | | | | 64,813 | |
Twenty-First Century Fox, Inc. Class B | | | 766 | | | | | | | | 26,136 | |
Ulta Beauty, Inc.* | | | 1,691 | | | | | | | | 378,209 | |
Under Armour, Inc. Class A* | | | 210 | | | | | | | | 3,030 | |
Under Armour, Inc. Class C* | | | 211 | | | | | | | | 2,811 | |
VF Corporation | | | 493 | | | | | | | | 36,482 | |
Walt Disney Co. (The) | | | 19,065 | | | | | | | | 2,049,678 | |
Wayfair, Inc. Class A*D | | | 1,120 | | | | | | | | 89,902 | |
Whirlpool Corporation | | | 160 | | | | | | | | 26,982 | |
Williams-Sonoma, Inc.D | | | 3,610 | | | | | | | | 186,637 | |
WyndhamWorldwide Corporation | | | 274 | | | | | | | | 31,748 | |
Yum! Brands, Inc. | | | 14,407 | | | | | | | | 1,175,755 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 29,226,826 | |
| | | | | | | | | | | | |
Consumer Staples — 5.9% | |
Archer-Daniels-Midland Co. | | | 895 | | | | | | | | 35,872 | |
Campbell Soup Co.D | | | 9,998 | | | | | | | | 481,004 | |
Casey’s General Stores, Inc.D | | | 1,186 | | | | | | | | 132,761 | |
Church & Dwight Co., Inc. | | | 11,701 | | | | | | | | 587,039 | |
Clorox Co. (The) | | | 9,761 | | | | | | | | 1,451,851 | |
Coca-Cola Co. (The) | | | 69,817 | | | | | | | | 3,203,204 | |
Colgate-Palmolive Co. | | | 30,572 | | | | | | | | 2,306,657 | |
Conagra Brands, Inc. | | | 781 | | | | | | | | 29,420 | |
Costco Wholesale Corporation | | | 7,711 | | | | | | | | 1,435,171 | |
Coty, Inc. Class A | | | 700 | | | | | | | | 13,923 | |
CVS Health CorporationD | | | 4,398 | | | | | | | | 318,855 | |
Dr. Pepper Snapple Group, Inc. | | | 11,636 | | | | | | | | 1,129,390 | |
Estee Lauder Cos., Inc. (The) Class A | | | 15,922 | | | | | | | | 2,025,915 | |
Flowers Foods, Inc.D | | | 19,200 | | | | | | | | 370,752 | |
General Mills, Inc.D | | | 112,610 | | | | | | | | 6,676,647 | |
Hershey Co. (The) | | | 14,433 | | | | | | | | 1,638,290 | |
Hormel Foods CorporationD | | | 20,100 | | | | | | | | 731,439 | |
| | | | |
| 190 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
Ingredion, Inc. | | | 2,921 | | | | | | | $ | 408,356 | |
J.M. Smucker Co. (The) | | | 250 | | | | | | | | 31,060 | |
Kellogg Co.D | | | 902 | | | | | | | | 61,318 | |
Kimberly-Clark Corporation | | | 4,979 | | | | | | | | 600,766 | |
Kraft Heinz Co. (The) | | | 8,985 | | | | | | | | 698,674 | |
Kroger Co. (The) | | | 2,790 | | | | | | | | 76,586 | |
McCormick & Co., Inc. (Non-Voting Shares) | | | 9,381 | | | | | | | | 956,018 | |
Mondelez International, Inc. Class A | | | 49,450 | | | | | | | | 2,116,460 | |
Monster Beverage Corporation* | | | 22,172 | | | | | | | | 1,403,266 | |
Nu Skin Enterprises, Inc. Class A | | | 8,245 | | | | | | | | 562,556 | |
PepsiCo, Inc. | | | 27,344 | | | | | | | | 3,279,092 | |
Procter & Gamble Co. (The) | | | 174,989 | | | | | | | | 16,077,989 | |
Sysco Corporation | | | 28,653 | | | | | | | | 1,740,097 | |
Tyson Foods, Inc. Class A | | | 513 | | | | | | | | 41,589 | |
Walgreens Boots Alliance, Inc. | | | 1,524 | | | | | | | | 110,673 | |
Wal-Mart Stores, Inc. | | | 60,362 | | | | | | | | 5,960,747 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 56,693,437 | |
| | | | | | | | | | | | |
Energy — 1.2% | |
Anadarko Petroleum Corporation | | | 970 | | | | | | | | 52,031 | |
Andeavor | | | 320 | | | | | | | | 36,589 | |
Apache Corporation | | | 795 | | | | | | | | 33,565 | |
Baker Hughes a GE Co. | | | 716 | | | | | | | | 22,654 | |
Cabot Oil & Gas Corporation | | | 793 | | | | | | | | 22,680 | |
Chesapeake Energy Corporation* | | | 1,423 | | | | | | | | 5,635 | |
Chevron Corporation | | | 57,862 | | | | | | | | 7,243,744 | |
Cimarex Energy Co. | | | 158 | | | | | | | | 19,278 | |
Concho Resources, Inc.* | | | 260 | | | | | | | | 39,057 | |
ConocoPhillips | | | 2,206 | | | | | | | | 121,087 | |
Devon Energy Corporation | | | 909 | | | | | | | | 37,633 | |
EOG Resources, Inc. | | | 1,050 | | | | | | | | 113,305 | |
EQT Corporation | | | 244 | | | | | | | | 13,888 | |
Exxon Mobil Corporation | | | 23,758 | | | | | | | | 1,987,119 | |
Halliburton Co. | | | 1,753 | | | | | | | | 85,669 | |
Helmerich & Payne, Inc. | | | 350 | | | | | | | | 22,624 | |
Hess Corporation | | | 400 | | | | | | | | 18,988 | |
Kinder Morgan, Inc. | | | 3,182 | | | | | | | | 57,499 | |
Marathon Oil Corporation | | | 1,361 | | | | | | | | 23,042 | |
Marathon Petroleum Corporation | | | 921 | | | | | | | | 60,768 | |
National Oilwell Varco, Inc. | | | 635 | | | | | | | | 22,873 | |
Newfield Exploration Co.* | | | 284 | | | | | | | | 8,954 | |
Noble Energy, Inc. | | | 885 | | | | | | | | 25,789 | |
Occidental Petroleum Corporation | | | 14,608 | | | | | | | | 1,076,025 | |
ONEOK, Inc. | | | 609 | | | | | | | | 32,551 | |
Phillips 66 | | | 806 | | | | | | | | 81,527 | |
Pioneer Natural Resources Co. | | | 320 | | | | | | | | 55,312 | |
Range Resources Corporation | | | 542 | | | | | | | | 9,246 | |
Valero Energy Corporation | | | 824 | | | | | | | | 75,734 | |
Williams Cos., Inc. (The) | | | 1,532 | | | | | | | | 46,711 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 11,451,577 | |
| | | | | | | | | | | | |
Financials — 7.4% | |
Affiliated Managers Group, Inc. | | | 64 | | | | | | | | 13,136 | |
Aflac, Inc. | | | 1,630 | | | | | | | | 143,081 | |
Alleghany Corporation* | | | 1,440 | | | | | | | | 858,370 | |
Allstate Corporation (The) | | | 27,667 | | | | | | | | 2,897,012 | |
American Express Co. | | | 6,925 | | | | | | | | 687,722 | |
American Financial Group, Inc. | | | 7,038 | | | | | | | | 763,904 | |
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American International Group, Inc. | | | 1,986 | | | | | | | $ | 118,326 | |
Ameriprise Financial, Inc. | | | 269 | | | | | | | | 45,587 | |
Arch Capital Group, Ltd.* | | | 10,160 | | | | | | | | 922,223 | |
Arthur J. Gallagher & Co. | | | 451 | | | | | | | | 28,539 | |
Assurant, Inc. | | | 75 | | | | | | | | 7,563 | |
Bank of America Corporation | | | 17,723 | | | | | | | | 523,183 | |
Bank of Hawaii CorporationD | | | 6,968 | | | | | | | | 597,158 | |
Bank of New York Mellon Corporation (The) | | | 83,565 | | | | | | | | 4,500,811 | |
Bank of the Ozarks | | | 11,349 | | | | | | | | 549,859 | |
BB&T Corporation | | | 9,986 | | | | | | | | 496,504 | |
Berkshire Hathaway, Inc. Class B* | | | 3,412 | | | | | | | | 676,327 | |
BlackRock, Inc. | | | 1,440 | | | | | | | | 739,742 | |
Brighthouse Financial, Inc.* | | | 170 | | | | | | | | 9,969 | |
Capital One Financial Corporation | | | 901 | | | | | | | | 89,722 | |
Capitol Federal Financial, Inc. | | | 207,700 | | | | | | | | 2,785,257 | |
Cboe Global Markets, Inc. | | | 13,939 | | | | | | | | 1,736,660 | |
Charles Schwab Corporation (The) | | | 2,096 | | | | | | | | 107,671 | |
Cincinnati Financial Corporation | | | 334 | | | | | | | | 25,040 | |
Citigroup, Inc. | | | 5,046 | | | | | | | | 375,473 | |
Citizens Financial Group, Inc. | | | 836 | | | | | | | | 35,095 | |
CME Group, Inc. | | | 13,272 | | | | | | | | 1,938,376 | |
Comerica, Inc. | | | 302 | | | | | | | | 26,217 | |
Commerce Bancshares, Inc. | | | 26,912 | | | | | | | | 1,502,766 | |
Discover Financial Services | | | 702 | | | | | | | | 53,998 | |
E*TRADE Financial Corporation* | | | 326 | | | | | | | | 16,160 | |
Erie Indemnity Co. Class A | | | 1,090 | | | | | | | | 132,806 | |
Everest Re Group, Ltd. | | | 96 | | | | | | | | 21,241 | |
Fifth Third Bancorp | | | 1,381 | | | | | | | | 41,899 | |
FNF Group | | | 34,637 | | | | | | | | 1,359,156 | |
Franklin Resources, Inc. | | | 2,537 | | | | | | | | 109,928 | |
Goldman Sachs Group, Inc. (The) | | | 655 | | | | | | | | 166,868 | |
Hartford Financial Services Group, Inc. (The) | | | 633 | | | | | | | | 35,625 | |
Huntington Bancshares, Inc. | | | 1,372 | | | | | | | | 19,976 | |
Intercontinental Exchange, Inc. | | | 5,154 | | | | | | | | 363,666 | |
Invesco, Ltd. | | | 816 | | | | | | | | 29,817 | |
JPMorgan Chase & Co. | | | 75,290 | | | | | | | | 8,051,513 | |
KeyCorp | | | 1,880 | | | | | | | | 37,920 | |
Leucadia National Corporation | | | 558 | | | | | | | | 14,781 | |
Lincoln National Corporation | | | 388 | | | | | | | | 29,826 | |
Loews Corporation | | | 130 | | | | | | | | 6,504 | |
M&T Bank Corporation | | | 10,277 | | | | | | | | 1,757,264 | |
Markel Corporation* | | | 1,365 | | | | | | | | 1,554,912 | |
MarketAxess Holdings, Inc.D | | | 282 | | | | | | | | 56,893 | |
Marsh & McLennan Cos., Inc. | | | 34,672 | | | | | | | | 2,821,954 | |
Mercury General Corporation | | | 1,173 | | | | | | | | 62,685 | |
MetLife, Inc. | | | 31,202 | | | | | | | | 1,577,573 | |
Moody’s Corporation | | | 279 | | | | | | | | 41,183 | |
Morgan Stanley | | | 2,825 | | | | | | | | 148,228 | |
Nasdaq, Inc. | | | 251 | | | | | | | | 19,284 | |
Navient Corporation | | | 904 | | | | | | | | 12,041 | |
Northern Trust Corporation | | | 13,270 | | | | | | | | 1,325,540 | |
People’s United Financial, Inc. | | | 674 | | | | | | | | 12,604 | |
PNC Financial Services Group, Inc. (The) | | | 60,118 | | | | | | | | 8,674,426 | |
Principal Financial Group, Inc. | | | 666 | | | | | | | | 46,993 | |
ProAssurance Corporation | | | 3,571 | | | | | | | | 204,083 | |
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| | See Notes to Financial Statements. | | 191 |
DEFENSIVE MARKET STRATEGIES FUND
SCHEDULE OF INVESTMENTS (Continued)
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Progressive Corporation (The) | | | 52,623 | | | | | | | $ | 2,963,727 | |
Prudential Financial, Inc. | | | 899 | | | | | | | | 103,367 | |
Raymond James Financial, Inc. | | | 240 | | | | | | | | 21,432 | |
Regions Financial Corporation | | | 4,384 | | | | | | | | 75,755 | |
S&P Global, Inc. | | | 430 | | | | | | | | 72,842 | |
SEI Investments Co. | | | 2,844 | | | | | | | | 204,370 | |
State Street Corporation | | | 604 | | | | | | | | 58,956 | |
SunTrust Banks, Inc. | | | 67,010 | | | | | | | | 4,328,176 | |
SVB Financial Group* | | | 1,464 | | | | | | | | 342,239 | |
Synchrony Financial | | | 1,506 | | | | | | | | 58,147 | |
T. Rowe Price Group, Inc. | | | 5,106 | | | | | | | | 535,773 | |
TCF Financial Corporation | | | 9,485 | | | | | | | | 194,442 | |
TFS Financial CorporationD | | | 6,114 | | | | | | | | 91,343 | |
Torchmark Corporation | | | 321 | | | | | | | | 29,118 | |
Travelers Cos., Inc. (The) | | | 17,895 | | | | | | | | 2,427,278 | |
U.S. Bancorp | | | 79,127 | | | | | | | | 4,239,625 | |
Unum Group | | | 295 | | | | | | | | 16,193 | |
W.R. Berkley Corporation | | | 4,601 | | | | | | | | 329,662 | |
Wells Fargo & Co. | | | 49,478 | | | | | | | | 3,001,830 | |
White Mountains Insurance Group, Ltd. | | | 33 | | | | | | | | 28,092 | |
XL Group, Ltd. | | | 585 | | | | | | | | 20,569 | |
Zions Bancorporation | | | 159 | | | | | | | | 8,082 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 71,159,658 | |
| | | | | | | | | | | | |
Health Care — 4.7% | |
Abbott Laboratories | | | 5,667 | | | | | | | | 323,416 | |
AbbVie, Inc. | | | 3,182 | | | | | | | | 307,731 | |
ABIOMED, Inc.* | | | 4,265 | | | | | | | | 799,304 | |
Aetna, Inc. | | | 602 | | | | | | | | 108,595 | |
Agilent Technologies, Inc. | | | 647 | | | | | | | | 43,330 | |
Alexion Pharmaceuticals, Inc.* | | | 399 | | | | | | | | 47,716 | |
Align Technology, Inc.* | | | 3,077 | | | | | | | | 683,679 | |
Amgen, Inc. | | | 2,100 | | | | | | | | 365,190 | |
Anthem, Inc. | | | 6,008 | | | | | | | | 1,351,860 | |
Baxter International, Inc. | | | 9,868 | | | | | | | | 637,867 | |
Becton, Dickinson and Co. | | | 4,309 | | | | | | | | 922,329 | |
Biogen, Inc.* | | | 1,586 | | | | | | | | 505,252 | |
Bio-Rad Laboratories, Inc. Class A* | | | 292 | | | | | | | | 69,692 | |
Bioverativ, Inc.*D | | | 2,725 | | | | | | | | 146,932 | |
Boston Scientific Corporation* | | | 2,122 | | | | | | | | 52,604 | |
Bristol-Myers Squibb Co. | | | 48,812 | | | | | | | | 2,991,199 | |
Cardinal Health, Inc. | | | 1,125 | | | | | | | | 68,929 | |
Celgene Corporation* | | | 1,363 | | | | | | | | 142,243 | |
Centene Corporation* | | | 253 | | | | | | | | 25,523 | |
Cerner Corporation* | | | 527 | | | | | | | | 35,514 | |
Cigna Corporation | | | 4,863 | | | | | | | | 987,627 | |
Cooper Cos., Inc. (The) | | | 110 | | | | | | | | 23,967 | |
Danaher Corporation | | | 6,583 | | | | | | | | 611,034 | |
DaVita, Inc.* | | | 200 | | | | | | | | 14,450 | |
DENTSPLY SIRONA, Inc. | | | 281 | | | | | | | | 18,498 | |
Edwards Lifesciences Corporation* | | | 2,223 | | | | | | | | 250,554 | |
Eli Lilly & Co. | | | 40,058 | | | | | | | | 3,383,299 | |
Express Scripts Holding Co.* | | | 1,176 | | | | | | | | 87,777 | |
Gilead Sciences, Inc. | | | 2,535 | | | | | | | | 181,607 | |
HCA Healthcare, Inc.* | | | 500 | | | | | | | | 43,920 | |
Henry Schein, Inc.* | | | 206 | | | | | | | | 14,395 | |
Hologic, Inc.* | | | 376 | | | | | | | | 16,074 | |
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Humana, Inc. | | | 5,139 | | | | | | | $ | 1,274,832 | |
IDEXX Laboratories, Inc.* | | | 1,453 | | | | | | | | 227,220 | |
Illumina, Inc.* | | | 1,475 | | | | | | | | 322,273 | |
Incyte Corporation* | | | 346 | | | | | | | | 32,770 | |
Intuitive Surgical, Inc.* | | | 4,986 | | | | | | | | 1,819,591 | |
IQVIA Holdings, Inc.* | | | 250 | | | | | | | | 24,475 | |
Johnson & Johnson | | | 116,738 | | | | | | | | 16,310,633 | |
Laboratory Corporation of America Holdings* | | | 195 | | | | | | | | 31,104 | |
McKesson Corporation | | | 629 | | | | | | | | 98,092 | |
Mettler-Toledo International, Inc.* | | | 1,916 | | | | | | | | 1,187,000 | |
Patterson Cos., Inc. | | | 120 | | | | | | | | 4,336 | |
PerkinElmer, Inc. | | | 318 | | | | | | | | 23,252 | |
Quest Diagnostics, Inc. | | | 12,402 | | | | | | | | 1,221,473 | |
Regeneron Pharmaceuticals, Inc.* | | | 159 | | | | | | | | 59,778 | |
ResMed, Inc.D | | | 559 | | | | | | | | 47,342 | |
Stryker Corporation | | | 11,820 | | | | | | | | 1,830,209 | |
Thermo Fisher Scientific, Inc. | | | 1,937 | | | | | | | | 367,797 | |
UnitedHealth Group, Inc. | | | 14,727 | | | | | | | | 3,246,714 | |
Universal Health Services, Inc. Class B | | | 174 | | | | | | | | 19,723 | |
Varian Medical Systems, Inc.* | | | 4,093 | | | | | | | | 454,937 | |
Veeva Systems, Inc. Class A* | | | 1,182 | | | | | | | | 65,341 | |
Vertex Pharmaceuticals, Inc.* | | | 3,452 | | | | | | | | 517,317 | |
Waters Corporation* | | | 738 | | | | | | | | 142,574 | |
Zimmer Biomet Holdings, Inc. | | | 334 | | | | | | | | 40,304 | |
Zoetis, Inc. | | | 2,773 | | | | | | | | 199,767 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 44,830,961 | |
| | | | | | | | | | | | |
Industrials — 5.2% | |
3M Co. | | | 28,780 | | | | | | | | 6,773,949 | |
Acuity Brands, Inc. | | | 76 | | | | | | | | 13,376 | |
Alaska Air Group, Inc. | | | 219 | | | | | | | | 16,099 | |
American Airlines Group, Inc. | | | 947 | | | | | | | | 49,272 | |
AMETEK, Inc. | | | 278 | | | | | | | | 20,147 | |
Arconic, Inc. | | | 719 | | | | | | | | 19,593 | |
Boeing Co. (The) | | | 10,654 | | | | | | | | 3,141,971 | |
C.H. Robinson Worldwide, Inc.D | | | 2,486 | | | | | | | | 221,478 | |
Carlisle Cos., Inc. | | | 299 | | | | | | | | 33,981 | |
Caterpillar, Inc. | | | 1,221 | | | | | | | | 192,405 | |
Cintas CorporationD | | | 3,375 | | | | | | | | 525,926 | |
CSX Corporation | | | 1,818 | | | | | | | | 100,008 | |
Cummins, Inc. | | | 1,074 | | | | | | | | 189,711 | |
Deere & Co. | | | 484 | | | | | | | | 75,751 | |
Delta Air Lines, Inc. | | | 1,480 | | | | | | | | 82,880 | |
Dover Corporation | | | 192 | | | | | | | | 19,390 | |
Emerson Electric Co. | | | 32,034 | | | | | | | | 2,232,449 | |
Equifax, Inc. | | | 179 | | | | | | | | 21,108 | |
Expeditors International of Washington, Inc. | | | 15,263 | | | | | | | | 987,364 | |
Fastenal Co. | | | 9,323 | | | | | | | | 509,875 | |
FedEx Corporation | | | 2,558 | | | | | | | | 638,323 | |
Flowserve Corporation | | | 133 | | | | | | | | 5,603 | |
Fluor Corporation | | | 182 | | | | | | | | 9,400 | |
Fortive Corporation | | | 3,879 | | | | | | | | 280,646 | |
Fortune Brands Home & Security, Inc. | | | 114 | | | | | | | | 7,802 | |
General Dynamics Corporation | | | 5,821 | | | | | | | | 1,184,282 | |
General Electric Co. | | | 62,729 | | | | | | | | 1,094,621 | |
| | | | |
| 192 | | See Notes to Financial Statements. | | |
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Harris Corporation | | | 753 | | | | | | | $ | 106,662 | |
Honeywell International, Inc. | | | 15,552 | | | | | | | | 2,385,055 | |
Huntington Ingalls Industries, Inc. | | | 827 | | | | | | | | 194,924 | |
IHS Markit, Ltd.* | | | 500 | | | | | | | | 22,575 | |
Illinois ToolWorks, Inc. | | | 1,651 | | | | | | | | 275,469 | |
J.B. Hunt Transport Services, Inc. | | | 1,066 | | | | | | | | 122,569 | |
Jacobs Engineering Group, Inc. | | | 1,419 | | | | | | | | 93,597 | |
Kansas City Southern | | | 154 | | | | | | | | 16,204 | |
L3 Technologies, Inc. | | | 139 | | | | | | | | 27,501 | |
Landstar System, Inc. | | | 8,571 | | | | | | | | 892,241 | |
Lockheed Martin Corporation | | | 5,365 | | | | | | | | 1,722,433 | |
Masco Corporation | | | 401 | | | | | | | | 17,620 | |
Norfolk Southern Corporation | | | 3,657 | | | | | | | | 529,899 | |
Northrop Grumman Corporation | | | 5,607 | | | | | | | | 1,720,844 | |
PACCAR, Inc. | | | 655 | | | | | | | | 46,557 | |
Parker-Hannifin Corporation | | | 429 | | | | | | | | 85,620 | |
Quanta Services, Inc.* | | | 139 | | | | | | | | 5,436 | |
Raytheon Co. | | | 9,929 | | | | | | | | 1,865,163 | |
Republic Services, Inc. | | | 146,728 | | | | | | | | 9,920,280 | |
Robert Half International, Inc. | | | 6,004 | | | | | | | | 333,462 | |
Rockwell Automation, Inc. | | | 228 | | | | | | | | 44,768 | |
Rockwell Collins, Inc. | | | 238 | | | | | | | | 32,278 | |
Rollins, Inc. | | | 27,873 | | | | | | | | 1,296,931 | |
Roper Technologies, Inc. | | | 165 | | | | | | | | 42,735 | |
Snap-on, Inc. | | | 82 | | | | | | | | 14,293 | |
Southwest Airlines Co. | | | 20,545 | | | | | | | | 1,344,670 | |
Stanley Black & Decker, Inc. | | | 216 | | | | | | | | 36,653 | |
Stericycle, Inc.* | | | 167 | | | | | | | | 11,354 | |
Textron, Inc. | | | 272 | | | | | | | | 15,393 | |
TransDigm Group, Inc. | | | 70 | | | | | | | | 19,223 | |
Union Pacific Corporation | | | 7,675 | | | | | | | | 1,029,218 | |
United Continental Holdings, Inc.* | | | 462 | | | | | | | | 31,139 | |
United Parcel Service, Inc. Class B | | | 29,401 | | | | | | | | 3,503,129 | |
United Rentals, Inc.* | | | 123 | | | | | | | | 21,145 | |
United Technologies Corporation | | | 6,019 | | | | | | | | 767,844 | |
Verisk Analytics, Inc.* | | | 707 | | | | | | | | 67,872 | |
W.W. Grainger, Inc. | | | 1,062 | | | | | | | | 250,898 | |
Waste Management, Inc. | | | 34,180 | | | | | | | | 2,949,734 | |
Xylem, Inc. | | | 389 | | | | | | | | 26,530 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 50,337,328 | |
| | | | | | | | | | | | |
Information Technology — 6.9% | |
Activision Blizzard, Inc. | | | 1,269 | | | | | | | | 80,353 | |
Adobe Systems, Inc.* | | | 9,213 | | | | | | | | 1,614,486 | |
Advanced Micro Devices, Inc.* | | | 1,790 | | | | | | | | 18,401 | |
Akamai Technologies, Inc.* | | | 312 | | | | | | | | 20,293 | |
Alliance Data Systems Corporation | | | 101 | | | | | | | | 25,602 | |
Alphabet, Inc. Class A* | | | 3,230 | | | | | | | | 3,402,482 | |
Alphabet, Inc. Class C* | | | 533 | | | | | | | | 557,731 | |
Amdocs, Ltd. | | | 1,249 | | | | | | | | 81,785 | |
Amphenol Corporation Class A | | | 4,974 | | | | | | | | 436,717 | |
Analog Devices, Inc. | | | 576 | | | | | | | | 51,281 | |
ANSYS, Inc.* | | | 733 | | | | | | | | 108,183 | |
Apple, Inc. | | | 17,348 | | | | | | | | 2,935,802 | |
Applied Materials, Inc. | | | 35,114 | | | | | | | | 1,795,028 | |
Arista Networks, Inc.* | | | 811 | | | | | | | | 191,055 | |
Autodesk, Inc.* | | | 417 | | | | | | | | 43,714 | |
Automatic Data Processing, Inc. | | | 35,424 | | | | | | | | 4,151,339 | |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
CA, Inc. | | | 706 | | | | | | | $ | 23,496 | |
Cisco Systems, Inc. | | | 114,553 | | | | | | | | 4,387,380 | |
Citrix Systems, Inc.* | | | 271 | | | | | | | | 23,848 | |
Cognex Corporation | | | 9,516 | | | | | | | | 581,999 | |
Cognizant Technology Solutions Corporation Class A | | | 9,189 | | | | | | | | 652,603 | |
Corning, Inc. | | | 1,580 | | | | | | | | 50,544 | |
CSRA, Inc. | | | 165 | | | | | | | | 4,937 | |
Dolby Laboratories, Inc. Class A | | | 2,230 | | | | | | | | 138,260 | |
DXC Technology Co. | | | 550 | | | | | | | | 52,165 | |
eBay, Inc.* | | | 1,618 | | | | | | | | 61,063 | |
Electronic Arts, Inc.* | | | 5,594 | | | | | | | | 587,706 | |
F5 Networks, Inc.* | | | 11,291 | | | | | | | | 1,481,605 | |
Facebook, Inc. Class A* | | | 13,632 | | | | | | | | 2,405,503 | |
Fidelity National Information Services, Inc. | | | 549 | | | | | | | | 51,655 | |
Fiserv, Inc.* | | | 3,698 | | | | | | | | 484,919 | |
FLIR Systems, Inc. | | | 18,478 | | | | | | | | 861,444 | |
Gartner, Inc.* | | | 125 | | | | | | | | 15,394 | |
Global Payments, Inc. | | | 200 | | | | | | | | 20,048 | |
Hewlett Packard Enterprise Co. | | | 2,988 | | | | | | | | 42,908 | |
HP, Inc. | | | 2,972 | | | | | | | | 62,442 | |
Intel Corporation | | | 65,062 | | | | | | | | 3,003,262 | |
International Business Machines Corporation | | | 17,389 | | | | | | | | 2,667,820 | |
Intuit, Inc. | | | 13,910 | | | | | | | | 2,194,720 | |
IPG Photonics Corporation* | | | 626 | | | | | | | | 134,045 | |
Jack Henry & Associates, Inc. | | | 5,373 | | | | | | | | 628,426 | |
Juniper Networks, Inc. | | | 571 | | | | | | | | 16,274 | |
KLA-Tencor Corporation | | | 188 | | | | | | | | 19,753 | |
Lam Research Corporation | | | 290 | | | | | | | | 53,380 | |
MasterCard, Inc. Class A | | | 19,765 | | | | | | | | 2,991,630 | |
Maxim Integrated Products, Inc. | | | 96,292 | | | | | | | | 5,034,146 | |
Microchip Technology, Inc. | | | 519 | | | | | | | | 45,610 | |
Micron Technology, Inc.* | | | 1,756 | | | | | | | | 72,207 | |
Microsoft Corporation | | | 65,235 | | | | | | | | 5,580,202 | |
Motorola Solutions, Inc. | | | 226 | | | | | | | | 20,417 | |
National Instruments Corporation | | | 3,760 | | | | | | | | 156,529 | |
NetApp, Inc. | | | 374 | | | | | | | | 20,690 | |
NVIDIA Corporation | | | 5,524 | | | | | | | | 1,068,894 | |
Oracle Corporation | | | 115,876 | | | | | | | | 5,478,617 | |
Paychex, Inc. | | | 21,493 | | | | | | | | 1,463,243 | |
PayPal Holdings, Inc.* | | | 1,878 | | | | | | | | 138,258 | |
Qorvo, Inc.* | | | 175 | | | | | | | | 11,655 | |
QUALCOMM, Inc. | | | 2,559 | | | | | | | | 163,827 | |
Red Hat, Inc.* | | | 303 | | | | | | | | 36,390 | |
salesforce.com, Inc.* | | | 1,229 | | | | | | | | 125,641 | |
Skyworks Solutions, Inc. | | | 4,409 | | | | | | | | 418,635 | |
Square, Inc. Class A*D | | | 4,432 | | | | | | | | 153,657 | |
Symantec Corporation | | | 1,290 | | | | | | | | 36,197 | |
Synopsys, Inc.* | | | 600 | | | | | | | | 51,144 | |
Teradata Corporation*D | | | 2,305 | | | | | | | | 88,650 | |
Teradyne, Inc. | | | 964 | | | | | | | | 40,363 | |
Texas Instruments, Inc. | | | 26,237 | | | | | | | | 2,740,192 | |
Total System Services, Inc. | | | 261 | | | | | | | | 20,643 | |
VeriSign, Inc.* | | | 180 | | | | | | | | 20,599 | |
Visa, Inc. Class AD | | | 29,696 | | | | | | | | 3,385,938 | |
Western Digital Corporation | | | 561 | | | | | | | | 44,616 | |
| | | | |
| | See Notes to Financial Statements. | | 193 |
DEFENSIVE MARKET STRATEGIES FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Shares | | | Value | |
Western Union Co. (The) | | | 622 | | | | | | | $ | 11,824 | |
Xerox Corporation | | | 314 | | | | | | | | 9,153 | |
Xilinx, Inc. | | | 7,253 | | | | | | | | 488,997 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 66,140,415 | |
| | | | | | | | | | | | |
Materials — 1.4% | | | | | | | | | | | | |
Air Products & Chemicals, Inc. | | | 28,451 | | | | | | | | 4,668,240 | |
Albemarle Corporation | | | 215 | | | | | | | | 27,496 | |
Ball Corporation | | | 452 | | | | | | | | 17,108 | |
Bemis Co., Inc. | | | 55,300 | | | | | | | | 2,642,787 | |
CF Industries Holdings, Inc. | | | 530 | | | | | | | | 22,546 | |
DowDuPont, Inc. | | | 5,613 | | | | | | | | 399,758 | |
Eastman Chemical Co. | | | 174 | | | | | | | | 16,119 | |
Ecolab, Inc. | | | 7,554 | | | | | | | | 1,013,596 | |
FMC Corporation | | | 211 | | | | | | | | 19,973 | |
Freeport-McMoRan, Inc.* | | | 2,471 | | | | | | | | 46,850 | |
International Flavors & Fragrances, Inc. | | | 693 | | | | | | | | 105,759 | |
International Paper Co. | | | 29,140 | | | | | | | | 1,688,372 | |
Martin Marietta Materials, Inc. | | | 107 | | | | | | | | 23,651 | |
Monsanto Co. | | | 713 | | | | | | | | 83,264 | |
Mosaic Co. (The) | | | 713 | | | | | | | | 18,296 | |
NewMarket CorporationD | | | 540 | | | | | | | | 214,591 | |
Newmont Mining Corporation | | | 1,042 | | | | | | | | 39,096 | |
Nucor Corporation | | | 550 | | | | | | | | 34,969 | |
Packaging Corporation of America | | | 176 | | | | | | | | 21,217 | |
PPG Industries, Inc. | | | 6,926 | | | | | | | | 809,095 | |
Praxair, Inc. | | | 2,185 | | | | | | | | 337,976 | |
Sealed Air Corporation | | | 225 | | | | | | | | 11,092 | |
Sherwin-Williams Co. (The) | | | 2,425 | | | | | | | | 994,347 | |
Vulcan Materials Co. | | | 294 | | | | | | | | 37,741 | |
WestRock Co. | | | 409 | | | | | | | | 25,853 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 13,319,792 | |
| | | | | | | | | | | | |
Real Estate — 0.9% | | | | | | | | | | | | |
American Tower Corporation REIT | | | 17,034 | | | | | | | | 2,430,241 | |
Apartment Investment & Management Co. Class A REIT | | | 481 | | | | | | | | 21,024 | |
AvalonBay Communities, Inc. REIT | | | 351 | | | | | | | | 62,622 | |
Boston Properties, Inc. REIT | | | 8,657 | | | | | | | | 1,125,670 | |
CBRE Group, Inc. Class A* | | | 534 | | | | | | | | 23,127 | |
Crown Castle International Corporation REIT | | | 1,012 | | | | | | | | 112,342 | |
Digital Realty Trust, Inc. REIT | | | 278 | | | | | | | | 31,664 | |
Equinix, Inc. REIT | | | 132 | | | | | | | | 59,825 | |
Equity Residential REIT | | | 543 | | | | | | | | 34,627 | |
Essex Property Trust, Inc. REIT | | | 109 | | | | | | | | 26,309 | |
Extra Space Storage, Inc. REIT | | | 205 | | | | | | | | 17,927 | |
Federal Realty Investment Trust REIT | | | 55 | | | | | | | | 7,305 | |
GGP, Inc. REIT | | | 1,040 | | | | | | | | 24,326 | |
HCP, Inc. REIT | | | 895 | | | | | | | | 23,342 | |
Host Hotels & Resorts, Inc. REIT | | | 1,486 | | | | | | | | 29,497 | |
Iron Mountain, Inc. REIT | | | 502 | | | | | | | | 18,940 | |
Kimco Realty Corporation REIT | | | 934 | | | | | | | | 16,952 | |
Macerich Co. (The) REIT | | | 159 | | | | | | | | 10,443 | |
Mid-America Apartment Communities, Inc. REIT | | | 202 | | | | | | | | 20,313 | |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
Prologis, Inc. REIT | | | 1,007 | | | | | | | $ | 64,962 | |
Public Storage REIT | | | 251 | | | | | | | | 52,459 | |
Realty Income Corporation REIT | | | 487 | | | | | | | | 27,769 | |
Simon Property Group, Inc. REIT | | | 789 | | | | | | | | 135,503 | |
SL Green Realty Corporation REIT | | | 174 | | | | | | | | 17,562 | |
UDR, Inc. REIT | | | 300 | | | | | | | | 11,556 | |
Ventas, Inc. REIT | | | 697 | | | | | | | | 41,827 | |
Vornado Realty Trust REIT | | | 299 | | | | | | | | 23,376 | |
Welltower, Inc. REIT | | | 717 | | | | | | | | 45,723 | |
Weyerhaeuser Co. REIT | | | 124,707 | | | | | | | | 4,397,169 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,914,402 | |
| | | | | | | | | | | | |
Telecommunication Services — 1.1% | |
AT&T, Inc. | | | 165,189 | | | | | | | | 6,422,548 | |
CenturyLink, Inc. | | | 1,662 | | | | | | | | 27,722 | |
Verizon Communications, Inc. | | | 73,233 | | | | | | | | 3,876,223 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 10,326,493 | |
| | | | | | | | | | | | |
Utilities — 4.5% | | | | | | | | | | | | |
AES Corporation | | | 1,420 | | | | | | | | 15,379 | |
Alliant Energy CorporationD | | | 4,100 | | | | | | | | 174,701 | |
Ameren Corporation | | | 21,694 | | | | | | | | 1,279,729 | |
American Electric Power Co., Inc. | | | 24,184 | | | | | | | | 1,779,217 | |
AmericanWater Works Co., Inc. | | | 22,409 | | | | | | | | 2,050,199 | |
Aqua America, Inc. | | | 23,041 | | | | | | | | 903,898 | |
Atmos Energy Corporation | | | 61,204 | | | | | | | | 5,256,812 | |
CenterPoint Energy, Inc. | | | 11,891 | | | | | | | | 337,229 | |
CMS Energy Corporation | | | 355 | | | | | | | | 16,791 | |
Consolidated Edison, Inc. | | | 16,860 | | | | | | | | 1,432,257 | |
Dominion Energy, Inc. | | | 14,478 | | | | | | | | 1,173,587 | |
DTE Energy Co. | | | 10,010 | | | | | | | | 1,095,695 | |
Duke Energy Corporation | | | 13,455 | | | | | | | | 1,131,700 | |
Edison International | | | 30,149 | | | | | | | | 1,906,623 | |
Entergy Corporation | | | 614 | | | | | | | | 49,973 | |
Eversource Energy | | | 29,353 | | | | | | | | 1,854,523 | |
Exelon Corporation | | | 6,553 | | | | | | | | 258,254 | |
FirstEnergy Corporation | | | 1,116 | | | | | | | | 34,172 | |
NextEra Energy, Inc. | | | 11,158 | | | | | | | | 1,742,768 | |
NiSource, Inc. | | | 15,696 | | | | | | | | 402,916 | |
NRG Energy, Inc. | | | 569 | | | | | | | | 16,205 | |
OGE Energy Corporation | | | 868 | | | | | | | | 28,566 | |
ONE Gas, Inc. | | | 62,442 | | | | | | | | 4,574,501 | |
PG&E Corporation | | | 32,727 | | | | | | | | 1,467,151 | |
PinnacleWest Capital Corporation | | | 42,465 | | | | | | | | 3,617,169 | |
PPL Corporation | | | 5,163 | | | | | | | | 159,795 | |
Public Service Enterprise Group, Inc. | | | 37,675 | | | | | | | | 1,940,262 | |
SCANA Corporation | | | 243 | | | | | | | | 9,667 | |
Sempra Energy | | | 1,564 | | | | | | | | 167,223 | |
Southern Co. (The) | | | 18,461 | | | | | | | | 887,789 | |
Spire, Inc. | | | 45,962 | | | | | | | | 3,454,060 | |
UGI Corporation | | | 34,345 | | | | | | | | 1,612,498 | |
Vectren Corporation | | | 15,475 | | | | | | | | 1,006,184 | |
WEC Energy Group, Inc. | | | 8,713 | | | | | | | | 578,805 | |
| | | | |
| 194 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
Xcel Energy, Inc. | | | 19,740 | | | | | | | $ | 949,691 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 43,365,989 | |
| | | | | | | | | | | | |
Total Common Stocks
(Cost $308,777,614) | | | | | | | | 405,766,878 | |
| | | | | | | | | | | | |
FOREIGN COMMON STOCKS — 5.1% | |
Curacao — 0.8% | | | | | | | | | | | | |
Schlumberger, Ltd. | | | 111,221 | | | | | | | | 7,495,183 | |
| | | | | | | | | | | | |
France — 0.8% | | | | | | | | | | | | |
TOTAL SA | | | 138,423 | | | | | | | | 7,647,468 | |
| | | | | | | | | | | | |
Ireland — 1.1% | | | | | | | | | | | | |
Accenture PLC Class A | | | 17,050 | | | | | | | | 2,610,185 | |
Allegion PLC | | | 94 | | | | | | | | 7,479 | |
Eaton Corporation PLC | | | 837 | | | | | | | | 66,131 | |
Ingersoll-Rand PLC | | | 431 | | | | | | | | 38,441 | |
Johnson Controls International PLC | | | 1,898 | | | | | | | | 72,333 | |
Medtronic PLC | | | 97,923 | | | | | | | | 7,907,282 | |
Pentair PLC | | | 224 | | | | | | | | 15,819 | |
Seagate Technology PLC | | | 738 | | | | | | | | 30,878 | |
Willis Towers Watson PLC | | | 205 | | | | | | | | 30,891 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 10,779,439 | |
| | | | | | | | | | | | |
Japan — 0.2% | | | | | | | | | | | | |
Honda Motor Co., Ltd. | | | 28,100 | | | | | | | | 963,143 | |
Toyota Motor Corporation | | | 7,300 | | | | | | | | 467,317 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,430,460 | |
| | | | | | | | | | | | |
Jersey — 0.0% | | | | | | | | | | | | |
Aptiv PLC | | | 5,196 | | | | | | | | 440,777 | |
| | | | | | | | | | | | |
Netherlands — 0.2% | | | | | | | | | |
LyondellBasell Industries NV Class A | | | 618 | | | | | | | | 68,178 | |
Mylan NV* | | | 3,568 | | | | | | | | 150,962 | |
Unilever NV CVA | | | 30,800 | | | | | | | | 1,735,240 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,954,380 | |
| | | | | | | | | | | | |
Singapore — 0.0% | | | | | | | | | | | | |
Broadcom, Ltd. | | | 707 | | | | | | | | 181,628 | |
| | | | | | | | | | | | |
Switzerland — 1.6% | | | | | | | | | | | | |
Chubb, Ltd. | | | 48,109 | | | | | | | | 7,030,168 | |
Garmin, Ltd. | | | 9,747 | | | | | | | | 580,629 | |
Roche Holding AG | | | 27,400 | | | | | | | | 6,931,192 | |
Roche Holding AG ADR | | | 22,700 | | | | | | | | 716,866 | |
TE Connectivity, Ltd. | | | 617 | | | | | | | | 58,639 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 15,317,494 | |
| | | | | | | | | | | | |
United Kingdom — 0.4% | | | | | | | | | |
Aon PLC | | | 9,318 | | | | | | | | 1,248,612 | |
Nielsen Holdings PLC | | | 668 | | | | | | | | 24,315 | |
Royal Dutch Shell PLC, A Shares | | | 87,000 | | | | | | | | 2,900,392 | |
TechnipFMC PLC | | | 913 | | | | | | | | 28,586 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,201,905 | |
| | | | | | | | | | | | |
Total Foreign Common Stocks
(Cost $45,398,050) | | | | 49,448,734 | |
| | | | | | | | | | | | |
PREFERRED STOCKS — 1.3% | |
Bank of America Corporation, | |
7.25%, 12/28/17D CONV | | | 4,761 | | | | | | | | 6,279,759 | |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
Stanley Black & Decker, Inc., | | | | | | | | |
5.38%, 10/31/17D CONV | | | 28,705 | | | | | | | $ | 3,523,539 | |
Wells Fargo & Co., | | | | | | | | | | | | |
7.50%, 11/29/17 CONV | | | 199 | | | | | | | | 260,688 | |
Welltower, Inc. REIT, | | | | | | | | | | | | |
6.50%, 12/28/17 CONV | | | 37,685 | | | | | | | | 2,256,201 | |
| | | | | | | | | | | | |
Total Preferred Stocks
(Cost $11,697,700) | | | | | | | | | | | 12,320,187 | |
| | | | | | | | | | | | |
MASTER LIMITED PARTNERSHIP — 0.8% | |
Spectra Energy Partners LP
(Cost $8,599,392) | | | 202,072 | | | | | | | | 7,989,927 | |
| | | | | | | | | | | | |
| | | |
| | | Par | | | | | | | |
CORPORATE BONDS — 24.4% | | | | | |
Advanced Micro Devices, Inc. | | | | | | | | | | | | |
2.13%, 09/01/26 CONV | | $ | 377,000 | | | | | | | | 567,149 | |
Akamai Technologies, Inc. | | | | | | | | | | | | |
0.00%, 02/15/19 CONVW | | | 2,079,000 | | | | | | | | 2,095,892 | |
Allscripts Healthcare Solutions, Inc. | | | | | | | | | | | | |
1.25%, 07/01/20 CONV | | | 3,678,000 | | | | | | | | 3,946,954 | |
Altaba, Inc. | | | | | | | | | | | | |
0.00%, 12/01/18 CONVW | | | 908,000 | | | | | | | | 1,226,368 | |
Ares Capital Corporation | | | | | | | | | | | | |
3.75%, 02/01/22 CONV 144A | | | 3,614,000 | | | | | | | | 3,724,679 | |
BioMarin Pharmaceutical, Inc. | | | | | | | | | | | | |
1.50%, 10/15/20 CONV | | | 1,743,000 | | | | | | | | 2,073,081 | |
0.60%, 08/01/24 CONV | | | 2,819,000 | | | | | | | | 2,815,476 | |
Blackhawk Network Holdings, Inc. | | | | | | | | | | | | |
1.50%, 01/15/22D CONV | | | 3,608,000 | | | | | | | | 3,682,415 | |
CalAtlantic Group, Inc. | | | | | | | | | | | | |
1.63%, 05/15/18 CONV | | | 365,000 | | | | | | | | 657,684 | |
0.25%, 06/01/19 CONV | | | 1,815,000 | | | | | | | | 1,831,335 | |
Chart Industries, Inc. | | | | | | | | | | | | |
1.00%, 11/15/24 CONV 144A | | | 1,205,000 | | | | | | | | 1,266,003 | |
Chesapeake Energy Corporation | | | | | | | | | | | | |
5.50%, 09/15/26 CONV 144A | | | 1,969,000 | | | | | | | | 1,802,866 | |
Ciena Corporation | | | | | | | | | | | | |
3.75%, 10/15/18 CONV | | | 526,000 | | | | | | | | 612,790 | |
Citigroup, Inc. | | | | | | | | | | | | |
(Variable, ICE LIBOR USD 3M + 4.07%), 5.95%, 01/30/23† | | | 3,245,000 | | | | | | | | 3,455,925 | |
Citrix Systems, Inc. | | | | | | | | | | | | |
0.50%, 04/15/19 CONV | | | 3,481,000 | | | | | | | | 4,510,071 | |
Cypress Semiconductor Corporation | | | | | | | | | | | | |
2.00%, 02/01/23 CONV 144A | | | 617,000 | | | | | | | | 641,294 | |
DexCom, Inc. | | | | | | | | | | | | |
0.75%, 05/15/22 CONV 144A | | | 2,686,000 | | | | | | | | 2,536,591 | |
| | | | |
| | See Notes to Financial Statements. | | 195 |
DEFENSIVE MARKET STRATEGIES FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Par | | | Value | |
DISH Network Corporation | | | | | | | | | | | | |
2.38%, 03/15/24 CONV 144A | | $ | 3,733,000 | | | | | | | $ | 3,595,346 | |
3.38%, 08/15/26 CONV | | | 1,119,000 | | | | | | | | 1,220,409 | |
Dycom Industries, Inc. | | | | | | | | | | | | |
0.75%, 09/15/21 CONV | | | 1,213,000 | | | | | | | | 1,587,514 | |
Electronics For Imaging, Inc. | | | | | | | | | | | | |
0.75%, 09/01/19D CONV | | | 1,270,000 | | | | | | | | 1,227,931 | |
Empire State Realty OP LP REIT | | | | | | | | | | | | |
2.63%, 08/15/19 CONV 144A | | | 1,250,000 | | | | | | | | 1,385,156 | |
Envestnet, Inc. | | | | | | | | | | | | |
1.75%, 12/15/19 CONV | | | 1,142,000 | | | | | | | | 1,187,680 | |
EuronetWorldwide, Inc. | | | | | | | | | | | | |
1.50%, 10/01/44 CONV | | | 947,000 | | | | | | | | 1,169,545 | |
Extra Space Storage LP REIT | | | | | | | | | | | | |
3.13%, 10/01/35D CONV 144A | | | 3,270,000 | | | | | | | | 3,670,575 | |
Finisar Corporation | | | | | | | | | | | | |
0.50%, 12/15/36 CONV | | | 1,749,000 | | | | | | | | 1,630,942 | |
FireEye, Inc. | | | | | | | | | | | | |
1.63%, 06/01/35 CONV | | | 1,948,000 | | | | | | | | 1,789,725 | |
General Electric Co. | | | | | | | | | | | | |
(Variable, ICE LIBOR USD 3M + 3.33%), 5.00%, 01/21/21† | | | 3,203,000 | | | | | | | | 3,305,016 | |
Gogo, Inc. | | | | | | | | | | | | |
3.75%, 03/01/20 CONV | | | 2,039,000 | | | | | | | | 1,879,703 | |
Goldman Sachs Group, Inc. (The) | | | | | | | | | | | | |
(Variable, ICE LIBOR USD 3M + 3.83%), 5.30%, 11/10/26D† | | | 1,940,000 | | | | | | | | 2,066,100 | |
Greenbrier Cos., Inc. | | | | | | | | | | | | |
(The) 2.88%, 02/01/24 CONV 144A | | | 1,103,000 | | | | | | | | 1,319,464 | |
Hubspot, Inc. | | | | | | | | | | | | |
0.25%, 06/01/22 CONV 144A | | | 2,087,000 | | | | | | | | 2,406,572 | |
IAC FinanceCo, Inc. | | | | | | | | | | | | |
0.88%, 10/01/22 CONV 144A | | | 2,272,000 | | | | | | | | 2,405,480 | |
Illumina, Inc. | | | | | | | | | | | | |
0.50%, 06/15/21D CONV | | | 935,000 | | | | | | | | 1,109,728 | |
Inphi Corporation | | | | | | | | | | | | |
0.75%, 09/01/21 CONV | | | 1,188,000 | | | | | | | | 1,182,803 | |
Integrated Device Technology, Inc. | | | | | | | | | | | | |
0.88%, 11/15/22 CONV | | | 2,649,000 | | | | | | | | 2,961,913 | |
Intel Corporation | | | | | | | | | | | | |
3.25%, 08/01/39 CONV | | | 554,000 | | | | | | | | 1,231,611 | |
InterDigital, Inc. | | | | | | | | | | | | |
1.50%, 03/01/20 CONV | | | 647,000 | | | | | | | | 773,165 | |
Jazz Investments I, Ltd. | | | | | | | | | | | | |
1.88%, 08/15/21D CONV | | | 3,487,000 | | | | | | | | 3,506,614 | |
Lam Research Corporation | | | | | | | | | | | | |
1.25%, 05/15/18 CONV | | | 355,000 | | | | | | | | 1,087,409 | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
LendingTree, Inc. | | | | | | | | | | | | |
0.63%, 06/01/22D CONV 144A | | $ | 1,271,000 | | | | | | | $ | 2,194,064 | |
Liberty Expedia Holdings, Inc. | | | | | | | | | | | | |
1.00%, 06/30/47D CONV 144A | | | 2,404,000 | | | | | | | | 2,410,010 | |
Liberty Interactive LLC | | | | | | | | | | | | |
1.75%, 09/30/46 CONV 144A | | | 1,507,000 | | | | | | | | 1,747,178 | |
Liberty Media Corp-Liberty Formula One | | | | | | | | | | | | |
1.00%, 01/30/23 CONV 144A | | | 1,010,000 | | | | | | | | 1,132,463 | |
Liberty Media Corporation | | | | | | | | | | | | |
1.38%, 10/15/23 CONV | | | 973,000 | | | | | | | | 1,124,496 | |
2.25%, 09/30/46 CONV | | | 2,095,000 | | | | | | | | 2,191,894 | |
Ligand Pharmaceuticals, Inc. | | | | | | | | | | | | |
0.75%, 08/15/19 CONV | | | 395,000 | | | | | | | | 721,616 | |
Live Nation Entertainment, Inc. | | | | | | | | | | | | |
2.50%, 05/15/19 CONV | | | 1,782,000 | | | | | | | | 2,308,804 | |
Lumentum Holdings, Inc. | | | | | | | | | | | | |
0.25%, 03/15/24 CONV 144A | | | 1,532,000 | | | | | | | | 1,706,265 | |
Macquarie Infrastructure Corporation | | | | | | | | | | | | |
2.88%, 07/15/19D CONV | | | 1,949,000 | | | | | | | | 2,018,433 | |
2.00%, 10/01/23D CONV | | | 1,970,000 | | | | | | | | 1,891,200 | |
Marriott Vacations Worldwide Corporation | | | | | | | | | | | | |
1.50%, 09/15/22D CONV 144A | | | 1,128,000 | | | | | | | | 1,265,475 | |
Medidata Solutions, Inc. | | | | | | | | | | | | |
1.00%, 08/01/18 CONV | | | 2,459,000 | | | | | | | | 2,852,440 | |
Meritor, Inc. | | | | | | | | | | | | |
3.25%, 10/15/37 CONV 144A | | | 2,293,000 | | | | | | | | 2,391,886 | |
Microchip Technology, Inc. | | | | | | | | | | | | |
1.63%, 02/15/27 CONV 144A | | | 9,288,000 | | | | | | | | 10,930,815 | |
Micron Technology, Inc. | | | | | | | | | | | | |
3.00%, 11/15/43 CONV | | | 771,000 | | | | | | | | 1,115,541 | |
Molina Healthcare, Inc. | | | | | | | | | | | | |
1.63%, 08/15/44 CONV | | | 1,347,000 | | | | | | | | 1,852,967 | |
Nabors Industries, Inc. | | | | | | | | | | | | |
0.75%, 01/15/24D CONV 144A | | | 1,233,000 | | | | | | | | 947,869 | |
National Health Investors, Inc. | | | | | | | | | | | | |
REIT 3.25%, 04/01/21 CONV | | | 1,080,000 | | | | | | | | 1,218,375 | |
Navistar International Corporation | | | | | | | | | | | | |
4.75%, 04/15/19 CONV | | | 2,280,000 | | | | | | | | 2,476,650 | |
| | | | |
| 196 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
Neurocrine Biosciences, Inc. | | | | | | | | | | | | |
2.25%, 05/15/24 CONV 144A | | $ | 1,482,000 | | | | | | | $ | 1,896,034 | |
NextEra Energy Partners LP | | | | | | | | | | | | |
1.50%, 09/15/20 CONV 144A | | | 3,000,000 | | | | | | | | 3,005,625 | |
Nice Systems, Inc. | | | | | | | | | | | | |
1.25%, 01/15/24D CONV 144A | | | 1,569,000 | | | | | | | | 1,940,657 | |
NRG Yield, Inc. | | | | | | | | | | | | |
3.50%, 02/01/19 CONV 144A | | | 1,801,000 | | | | | | | | 1,826,889 | |
3.25%, 06/01/20D CONV 144A | | | 2,339,000 | | | | | | | | 2,319,997 | |
Nuance Communications, Inc. | | | | | | | | | | | | |
1.25%, 04/01/25 CONV 144A | | | 1,355,000 | | | | | | | | 1,390,569 | |
1.00%, 12/15/35 CONV | | | 1,904,000 | | | | | | | | 1,826,650 | |
NuVasive, Inc. | | | | | | | | | | | | |
2.25%, 03/15/21 CONV | | | 2,117,000 | | | | | | | | 2,492,767 | |
Oasis Petroleum, Inc. | | | | | | | | | | | | |
2.63%, 09/15/23 CONV | | | 675,000 | | | | | | | | 727,313 | |
ON Semiconductor Corporation | | | | | | | | | | | | |
1.00%, 12/01/20 CONV | | | 3,302,000 | | | | | | | | 4,230,687 | |
OSI Systems, Inc. | | | | | | | | | | | | |
1.25%, 09/01/22 CONV 144A | | | 2,119,000 | | | | | | | | 1,917,695 | |
Pacira Pharmaceuticals, Inc. | | | | | | | | | | | | |
2.38%, 04/01/22 CONV 144A | | | 1,540,000 | | | | | | | | 1,617,000 | |
PDC Energy, Inc. | | | | | | | | | | | | |
1.13%, 09/15/21 CONV | | | 632,000 | | | | | | | | 618,175 | |
Plains All American Pipeline LP | | | | | | | | | | | | |
(Variable, ICE LIBOR USD 3M + 4.11%), 6.13%, 11/15/22D† | | | 2,175,000 | | | | | | | | 2,177,175 | |
Priceline Group, Inc. | | | | | | | | | | | | |
0.90%, 09/15/21D CONV | | | 1,621,000 | | | | | | | | 1,899,609 | |
Proofpoint, Inc. | | | | | | | | | | | | |
0.75%, 06/15/20 CONV | | | 2,885,000 | | | | | | | | 3,624,281 | |
Red Hat, Inc. | | | | | | | | | | | | |
0.25%, 10/01/19 CONV | | | 1,098,000 | | | | | | | | 1,811,700 | |
Rovi Corporation | | | | | | | | | | | | |
0.50%, 03/01/20 CONV | | | 1,567,000 | | | | | | | | 1,482,774 | |
Royal Gold, Inc. | | | | | | | | | | | | |
2.88%, 06/15/19D CONV | | | 4,349,000 | | | | | | | | 4,686,047 | |
salesforce.com, Inc. | | | | | | | | | | | | |
0.25%, 04/01/18 CONV | | | 1,573,000 | | | | | | | | 2,412,589 | |
ServiceNow, Inc. | | | | | | | | | | | | |
0.00%, 11/01/18 CONVW | | | 468,000 | | | | | | | | 827,483 | |
0.00%, 06/01/22 CONVW 144A | | | 3,427,000 | | | | | | | | 3,938,908 | |
Silicon Laboratories, Inc. | | | | | | | | | | | | |
1.38%, 03/01/22 CONV 144A | | | 2,121,000 | | | | | | | | 2,451,081 | |
SM Energy Co. | | | | | | | | | | | | |
1.50%, 07/01/21 CONV | | | 633,000 | | | | | | | | 622,318 | |
SolarCity Corporation | | | | | | | | | | | | |
1.63%, 11/01/19 CONV | | | 108,000 | | | | | | | | 100,508 | |
Spirit Realty Capital, Inc. REIT | | | | | | | | | | | | |
2.88%, 05/15/19 CONV | | | 1,247,000 | | | | | | | | 1,251,676 | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
Square, Inc. | | | | | | | | | | | | |
0.38%, 03/01/22 CONV 144A | | $ | 981,000 | | | | | | | $ | 1,604,548 | |
Starwood Property Trust, Inc. REIT | | | | | | | | | | | | |
4.38%, 04/01/23D CONV | | | 4,165,000 | | | | | | | | 4,253,506 | |
Starwood Waypoint Homes REIT | | | | | | | | | | | | |
3.50%, 01/15/22 CONV 144A | | | 3,414,000 | | | | | | | | 3,981,577 | |
Teradyne, Inc. | | | | | | | | | | | | |
1.25%, 12/15/23D CONV | | | 2,641,000 | | | | | | | | 3,774,979 | |
Tesla, Inc. | | | | | | | | | | | | |
1.25%, 03/01/21 CONV | | | 3,373,000 | | | | | | | | 3,655,489 | |
Tutor Perini Corporation | | | | | | | | | | | | |
2.88%, 06/15/21 CONV | | | 1,759,000 | | | | | | | | 1,948,092 | |
Twitter, Inc. | | | | | | | | | | | | |
1.00%, 09/15/21 CONV | | | 3,979,000 | | | | | | | | 3,717,878 | |
Two Harbors Investment Corporation REIT | | | | | | | | | | | | |
6.25%, 01/15/22 CONV | | | 4,846,000 | | | | | | | | 5,145,846 | |
U.S. Bancorp | | | | | | | | | | | | |
(Variable, ICE LIBOR USD 3M + 2.91%), 5.30%, 04/15/27† | | | 2,568,000 | | | | | | | | 2,786,408 | |
VEREIT, Inc. REIT | | | | | | | | | | | | |
3.00%, 08/01/18 CONV | | | 1,332,000 | | | | | | | | 1,333,665 | |
Verint Systems, Inc. | | | | | | | | | | | | |
1.50%, 06/01/21 CONV | | | 4,333,000 | | | | | | | | 4,230,091 | |
Wayfair, Inc. | | | | | | | | | | | | |
0.38%, 09/01/22 CONV 144A | | | 1,952,000 | | | | | | | | 2,042,280 | |
Weatherford International, Ltd. | | | | | | | | | | | | |
5.88%, 07/01/21D CONV | | | 1,840,000 | | | | | | | | 1,998,700 | |
Web.com Group, Inc. | | | | | | | | | | | | |
1.00%, 08/15/18 CONV | | | 3,151,000 | | | | | | | | 3,127,367 | |
Wells Fargo & Co. | | | | | | | | | | | | |
(Variable, ICE LIBOR USD 3M + 3.77%), 7.98%, 03/15/18† | | | 2,888,000 | | | | | | | | 2,938,396 | |
Workday, Inc. | | | | | | | | | | | | |
1.50%, 07/15/20D CONV | | | 421,000 | | | | | | | | 576,244 | |
0.25%, 10/01/22 CONV 144A | | | 3,677,000 | | | | | | | | 3,644,826 | |
Wright Medical Group, Inc. | | | | | | | | | | | | |
2.00%, 02/15/20 CONV | | | 2,864,000 | | | | | | | | 2,951,710 | |
Zillow Group, Inc. | | | | | | | | | | | | |
2.00%, 12/01/21 CONV | | | 2,228,000 | | | | | | | | 2,439,660 | |
| | | | | | | | | | | | |
Total Corporate Bonds
(Cost $221,049,399) | | | | | | | | 234,892,884 | |
| | | | | | | | | | | | |
FOREIGN BONDS — 2.6% | | | | | |
Canada — 0.4% | | | | | | | | | | | | |
Canadian Imperial Bank of Commerce | | | | | | | | | | | | |
0.00%, 03/15/18†g | | | 10,200 | | | | | | | | 1,854,207 | |
0.00%, 03/29/18†g | | | 5,400 | | | | | | | | 644,954 | |
Royal Bank of Canada | | | | | | | | | | | | |
0.00%, 05/25/18 144A†g | | | 15,100 | | | | | | | | 875,951 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,375,112 | |
| | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 197 |
DEFENSIVE MARKET STRATEGIES FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Par | | | Value | |
France — 0.5% | | | | | | | | | | | | |
TOTAL SA | | | | | | | | | | | | |
0.50%, 12/02/22 CONV | | $ | 2,400,000 | | | | | | | $ | 2,503,008 | |
Vinci SA | | | | | | | | | | | | |
0.38%, 02/16/22 CONV | | | 2,200,000 | | | | | | | | 2,481,050 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,984,058 | |
| | | | | | | | | | | | |
Jersey — 0.2% | | | | | | | | | | | | |
Ensco Jersey Finance, Ltd. | | | . | | | | | | | | | |
3.00%, 01/31/24D CONV | | | 1,752,000 | | | | | | | | 1,563,660 | |
| | | | | | | | | | | | |
Netherlands — 0.9% | | | | | | | | | | | | |
Morgan Stanley BV | | | | | | | | | | | | |
0.00%, 05/04/18W††† | | | 5,200 | | | | | | | | 615,966 | |
QIAGEN NV | | | | | | | | | | | | |
0.38%, 03/19/19 CONV | | | 2,400,000 | | | | | | | | 2,825,796 | |
Siemens Financieringsmaatschappij NV | | | | | | | | | | | | |
1.65%, 08/16/19 CONV | | | 2,250,000 | | | | | | | | 2,686,500 | |
STMicroelectronics NV | | | | | | | | | | | | |
0.25%, 07/03/24 CONV | | | 2,400,000 | | | | | | | | 2,974,344 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 9,102,606 | |
| | | | | | | | | | | | |
Switzerland — 0.2% | | | | | | | | | | | | |
Credit Suisse AG | | | | | | | | | | | | |
0.00%, 01/09/18W††† | | | 28,900 | | | | | | | | 1,253,827 | |
UBS AG | | | | | | | | | | | | |
0.00%, 03/09/20 CONVW 144A††† | | | 25,000 | | | | | | | | 1,080,250 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,334,077 | |
| | | | | | | | | | | | |
United Kingdom — 0.4% | | | | | | | | | | | | |
Goldman Sachs International | | | | | | | | | | | | |
1.00%, 01/16/18 CONV | | | 11,300 | | | | | | | | 539,292 | |
Inmarsat PLC | | | | | | | | | | | | |
3.88%, 09/09/23 CONV | | | 3,000,000 | | | | | | | | 3,172,500 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,711,792 | |
| | | | | | | | | | | | |
Total Foreign Bonds
(Cost $23,944,765) | | | | | | | | | | | 25,071,305 | |
| | | | | | | | | | | | |
| | | |
| | | Shares | | | | | | | |
MONEY MARKET FUNDS — 6.5% | |
GuideStone Money Market Fund (Investor Class)¥ | | | 33,299,156 | | | | | | | | 33,299,156 | |
Northern Institutional Liquid Assets Portfolio§ | | | 29,225,247 | | | | | | | | 29,225,247 | |
Northern Institutional U.S. Government Portfolio | | | 407,993 | | | | | | | | 407,993 | |
| | | | | | | | | | | | |
Total Money Market Funds | |
(Cost $62,932,396) | | | | | | | | | | | 62,932,396 | |
| | | | | | | | | | | | |
| | | |
| | | Par | | | | | | | |
U.S. TREASURY OBLIGATIONS — 19.8% | |
U.S. Treasury Bills | |
1.50%, 06/21/18W | | $ | 32,680,000 | | | | | | | | 32,449,296 | |
| | | | | | | | | | | | |
| | | Par | | | Value | |
1.25%, 07/19/18W | | $ | 38,410,000 | | | | | | | $ | 38,087,029 | |
1.43%, 10/11/18W | | | 27,500,000 | | | | | | | | 27,142,417 | |
U.S. Treasury Notes | | | | | | | | | | | | |
0.75%, 02/28/18 | | | 23,700,000 | | | | | | | | 23,678,078 | |
1.00%, 05/15/18 | | | 33,820,000 | | | | | | | | 33,773,768 | |
1.25%, 10/31/18 | | | 36,000,000 | | | | | | | | 35,859,384 | |
| | | | | | | | | | | | |
Total U.S. Treasury Obligations
(Cost $191,213,272) | | | | 190,989,972 | |
| | | | | | | | | | | | |
TOTAL INVESTMENTS — 102.7%
(Cost $873,612,588) | | | | 989,412,283 | |
| | | | | | | | | | | | |
| | | | | | | | | | |
| | | Number of
Contracts | | Notional
Amount | | | | |
WRITTEN OPTIONS — (0.0)% | | | | | |
Call Options — (0.0)% | | | | | |
S&P 500®, Strike Price $2,680.00, Expires 01/03/18 (MSCS) | | (9) | | $ | (2,406,249 | ) | | | (3,780 | ) |
S&P 500®, Strike Price $2,690.00, Expires 01/02/18 (MSCS) | | (13) | | | (3,475,693 | ) | | | (715 | ) |
S&P 500®, Strike Price $2,690.00, Expires 01/05/18 (MSCS) | | (13) | | | (3,475,693 | ) | | | (3,640 | ) |
S&P 500®, Strike Price $2,700.00, Expires 01/08/18 (MSCS) (17) | | | | | (4,545,137 | ) | | | (2,465 | ) |
S&P 500®, Strike Price $2,715.00, Expires 01/10/18 (MSCS) | | (12) | | | (3,208,332 | ) | | | (780 | ) |
S&P 500®, Strike Price $2,720.00, Expires 01/12/18 (MSCS) | | (13) | | | (3,475,693 | ) | | | (1,105 | ) |
S&P 500®, Strike Price $2,720.00, Expires 01/19/18 (MSCS) | | (14) | | | (3,743,054 | ) | | | (3,850 | ) |
S&P 500®, Strike Price $2,720.00, Expires 01/24/18 (MSCS) | | (14) | | | (3,743,054 | ) | | | (5,880 | ) |
S&P 500®, Strike Price $2,720.00, Expires 01/26/18 (MSCS) | | (13) | | | (3,475,693 | ) | | | (5,330 | ) |
S&P 500®, Strike Price $2,725.00, Expires 01/17/18 (MSCS) | | (14) | | | (3,743,054 | ) | | | (1,540 | ) |
S&P 500®, Strike Price $2,725.00, Expires 01/22/18 (MSCS) | | (12) | | | (3,208,332 | ) | | | (2,580 | ) |
| | | | |
| 198 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | Number of
Contracts | | | Notional
Amount | | | Value | |
S&P 500®, Strike Price $2,740.00, Expires 01/16/18 (MSCS) | | | (12 | ) | | $ | (3,208,332 | ) | | $ | (540 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (32,205 | ) |
| | | | | | | | | | | | |
Put Options — (0.0)% | | | | | | | | | |
S&P 500®, Strike Price $2,575.00, Expires 01/03/18 (MSCS) | | | (62 | ) | | | (16,576,382 | ) | | | (4,030 | ) |
S&P 500®, Strike Price $2,585.00, Expires 01/02/18 (MSCS) | | | (63 | ) | | | (16,843,743 | ) | | | (2,205 | ) |
S&P 500®, Strike Price $2,600.00, Expires 01/05/18 (MSCS) | | | (63 | ) | | | (16,843,743 | ) | | | (9,135 | ) |
S&P 500®, Strike Price $2,610.00, Expires 01/08/18 (MSCS) | | | (61 | ) | | | (16,309,021 | ) | | | (14,030 | ) |
S&P 500®, Strike Price $2,620.00, Expires 01/10/18 (MSCS) | | | (59 | ) | | | (15,774,299 | ) | | | (24,190 | ) |
S&P 500®, Strike Price $2,625.00, Expires 01/12/18 (MSCS) | | | (61 | ) | | | (16,309,021 | ) | | | (35,197 | ) |
S&P 500®, Strike Price $2,625.00, Expires 01/24/18 (MSCS) | | | (59 | ) | | | (15,774,299 | ) | | | (64,310 | ) |
| | | | | | | | | | | | |
| | | Number of
Contracts | | | Notional
Amount | | | Value | |
S&P 500®, Strike Price $2,630.00, Expires 01/17/18 (MSCS) | | | (60 | ) | | $ | (16,041,660 | ) | | $ | (49,200 | ) |
S&P 500®, Strike Price $2,630.00, Expires 01/22/18 (MSCS) | | | (60 | ) | | | (16,041,660 | ) | | | (63,600 | ) |
S&P 500®, Strike Price $2,630.00, Expires 01/26/18 (MSCS) | | | (62 | ) | | | (16,576,382 | ) | | | (77,128 | ) |
S&P 500®, Strike Price $2,635.00, Expires 01/19/18 (MSCS) | | | (61 | ) | | | (16,309,021 | ) | | | (65,880 | ) |
S&P 500®, Strike Price $2,650.00, Expires 01/16/18 (MSCS) | | | (58 | ) | | | (15,506,938 | ) | | | (60,378 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (469,283 | ) |
| | | | | | | | | | | | |
Total Written Options
(Premiums received $(726,758)) | | | | (501,488 | ) |
| | | | | | | | | | | | |
Liabilities in Excess of Other
Assets — (2.7)% | | | | (26,367,292 | ) |
| | | | | | | | | | | | |
NET ASSETS — 100.0% | | | $ | 962,543,503 | |
| | | | | | | | | | | | |
Forward Foreign Currency Contracts outstanding at December 31, 2017:
| | | | | | | | | | | | | | | | | | |
Expiration Date | | Currency Purchased | | Amount
of Currency
Purchased | | | Currency Sold | | Amount
of Currency
Sold | | | Counter-
party | | Net Unrealized
Appreciation
(Depreciation) | |
03/30/2018 | | U.S. Dollars | | | 1,148,620 | | | Japanese Yen | | | 128,565,090 | | | CS | | $ | 2,202 | |
| | | | | | | | | | | | | | | | | | |
Subtotal Appreciation | | | | | | | | | | | | | | | | $ | 2,202 | |
| | | | | | | | | | | | | | | | | | |
03/29/2018 | | U.S. Dollars | | | 158,538 | | | Swiss Francs | | | 153,518 | | | CS | | $ | (27 | ) |
03/30/2018 | | U.S. Dollars | | | 31,676 | | | Japanese Yen | | | 3,568,860 | | | CS | | | (148 | ) |
03/30/2018 | | U.S. Dollars | | | 83,287 | | | Japanese Yen | | | 9,372,690 | | | CS | | | (289 | ) |
03/30/2018 | | U.S. Dollars | | | 50,530 | | | Japanese Yen | | | 5,700,510 | | | CS | | | (302 | ) |
03/29/2018 | | U.S. Dollars | | | 6,697,036 | | | Swiss Francs | | | 6,578,365 | | | CS | | | (97,637 | ) |
03/29/2018 | | U.S. Dollars | | | 11,015,221 | | | Euro | | | 9,298,213 | | | UBS | | | (201,655 | ) |
| | | | | | | | | | | | | | | | | | |
Subtotal Depreciation | | | | | | | | | | | | | | $ | (300,058 | ) |
| | | | | | | | | | | | | | | | | | |
Total Forward Foreign Currency Contracts outstanding at December 31, 2017 | | | | | | | | $ | (297,856 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 199 |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2017, 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 | | $ | 405,766,878 | | | $ | 405,766,878 | | | $ | — | | | $ | — | |
Corporate Bonds | | | 234,892,884 | | | | — | | | | 234,892,884 | | | | — | |
Foreign Bonds: | | | | | | | | | | | | | | | | |
Canada | | | 3,375,112 | | | | — | | | | 3,375,112 | | | | — | |
France | | | 4,984,058 | | | | — | | | | 4,984,058 | | | | — | |
Jersey | | | 1,563,660 | | | | — | | | | 1,563,660 | | | | — | |
Netherlands | | | 9,102,606 | | | | — | | | | 8,486,640 | | | | 615,966 | |
Switzerland | | | 2,334,077 | | | | — | | | | — | | | | 2,334,077 | |
United Kingdom | | | 3,711,792 | | | | — | | | | 3,711,792 | | | | — | |
Foreign Common Stocks: | | | | | | | | | | | | | | | | |
Curacao | | | 7,495,183 | | | | 7,495,183 | | | | — | | | | — | |
France | | | 7,647,468 | | | | 7,647,468 | | | | — | | | | — | |
Ireland | | | 10,779,439 | | | | 10,779,439 | | | | — | | | | — | |
Japan | | | 1,430,460 | | | | 1,430,460 | | | | — | | | | — | |
Jersey | | | 440,777 | | | | 440,777 | | | | — | | | | — | |
Netherlands | | | 1,954,380 | | | | 1,954,380 | | | | — | | | | — | |
Singapore | | | 181,628 | | | | 181,628 | | | | — | | | | — | |
Switzerland | | | 15,317,494 | | | | 15,317,494 | | | | — | | | | — | |
United Kingdom | | | 4,201,905 | | | | 4,201,905 | | | | — | | | | — | |
Master Limited Partnership | | | 7,989,927 | | | | 7,989,927 | | | | — | | | | — | |
Money Market Funds | | | 62,932,396 | | | | 62,932,396 | | | | — | | | | — | |
Preferred Stocks | | | 12,320,187 | | | | 12,320,187 | | | | — | | | | — | |
U.S. Treasury Obligations | | | 190,989,972 | | | | — | | | | 190,989,972 | | | | — | |
| | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | $ | 989,412,283 | | | $ | 538,458,122 | | | $ | 448,004,118 | | | $ | 2,950,043 | |
| | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | $ | 2,202 | | | $ | — | | | $ | 2,202 | | | $ | — | |
| | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | $ | 2,202 | | | $ | — | | | $ | 2,202 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
Investments in Securities: | | | | | | | | | | | | | | | | |
Written Options: | | | | | | | | | | | | | | | | |
Call Options | | $ | (32,205 | ) | | $ | (32,205 | ) | | $ | — | | | $ | — | |
Put Options | | | (469,283 | ) | | | (469,283 | ) | | | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Total Liabilities - Investments in Securities | | $ | (501,488 | ) | | $ | (501,488 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | $ | (300,058 | ) | | $ | — | | | $ | (300,058 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
Total Liabilities - Other Financial Instruments | | $ | (300,058 | ) | | $ | — | | | $ | (300,058 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
***Other financial instruments are derivative instruments, such as 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 “Forward Foreign Currency Contracts outstanding” disclosures on the preceding page(s).
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, 2017.
| | | | |
| 200 | | See Notes to Financial Statements. | | |
There were no transfers between Level 2 and Level 3 during the year ended December 31, 2017.
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.
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, 2017.
| | | | |
| | See Notes to Financial Statements. | | 201 |
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 21.65% for the one-year period ended December 31, 2017, as compared to a return of 21.83% for the S&P 500® Index. The return differential was primarily a result of social restrictions and expenses of the Fund.
In 2017, 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, 2017, 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.
| | | | |
| | | % | |
Information Technology | | | 22.1 | |
Financials | | | 13.9 | |
Health Care | | | 12.5 | |
Consumer Discretionary | | | 11.6 | |
Industrials | | | 9.2 | |
Consumer Staples | | | 7.3 | |
Energy | | | 5.5 | |
Foreign Common Stocks | | | 3.6 | |
Money Market Funds | | | 3.4 | |
Utilities | | | 3.1 | |
Materials | | | 2.9 | |
Real Estate | | | 2.7 | |
Telecommunication Services | | | 2.0 | |
U.S. Treasury Obligations | | | 0.1 | |
| | | | |
| | | 99.9 | |
| | | | |
| 202 | | See Notes to Financial Statements. | | |
Equity Index Fund (Unaudited)
| | | | | | | | | | |
| Average Annual Total Returns as of 12/31/17 |
| | | Institutional Class | | | | Investor Class* | | | | Benchmark** |
One Year | | 21.97% | | | | 21.65% | | | | 21.83% |
Five Year | | 15.66% | | | | 15.42% | | | | 15.78% |
Ten Year | | 8.41% | | | | 8.22% | | | | 8.49% |
Since Inception | | 7.03% | | | | 6.90% | | | | 7.23% |
Inception Date | | 08/27/01 | | | | 08/27/01 | | | | |
Total Fund Operating Expenses (May 1, 2017 Prospectus as amended July 1, 2017)(1) | | 0.17% | | | | 0.43% | | | | |
(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, 2007 to December 31, 2017, 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.
| | | | |
| | See Notes to Financial Statements. | | 203 |
| | |
EQUITY INDEX FUND SCHEDULE OF INVESTMENTS | | December 31, 2017 |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
COMMON STOCKS — 92.8% | |
Consumer Discretionary — 11.6% | |
Advance Auto Parts, Inc. | | | 2,745 | | | | | | | $ | 273,649 | |
Amazon.com, Inc.* | | | 16,448 | | | | | | | | 19,235,443 | |
AutoZone, Inc.* | | | 1,114 | | | | | | | | 792,466 | |
Best Buy Co., Inc. | | | 10,393 | | | | | | | | 711,609 | |
BorgWarner, Inc. | | | 6,279 | | | | | | | | 320,794 | |
CarMax, Inc.* | | | 7,247 | | | | | | | | 464,750 | |
Carnival Corporation | | | 19,642 | | | | | | | | 1,303,640 | |
CBS Corporation Class B (Non-Voting Shares) | | | 15,355 | | | | | | | | 905,945 | |
Charter Communications, Inc. Class A* | | | 8,922 | | | | | | | | 2,997,435 | |
Chipotle Mexican Grill, Inc.*D | | | 1,449 | | | | | | | | 418,804 | |
Comcast Corporation Class A | | | 196,067 | | | | | | | | 7,852,483 | |
D.R. Horton, Inc. | | | 12,145 | | | | | | | | 620,245 | |
Darden Restaurants, Inc. | | | 6,841 | | | | | | | | 656,873 | |
Discovery Communications, Inc. Class A*D | | | 5,482 | | | | | | | | 122,687 | |
Discovery Communications, Inc. Class C* | | | 12,145 | | | | | | | | 257,110 | |
DISH Network Corporation Class A* | | | 6,703 | | | | | | | | 320,068 | |
Dollar General Corporation | | | 10,512 | | | | | | | | 977,721 | |
Dollar Tree, Inc.* | | | 10,063 | | | | | | | | 1,079,861 | |
Expedia, Inc. | | | 5,070 | | | | | | | | 607,234 | |
Foot Locker, Inc. | | | 5,069 | | | | | | | | 237,635 | |
Ford Motor Co. | | | 148,420 | | | | | | | | 1,853,766 | |
Gap, Inc. (The) | | | 8,085 | | | | | | | | 275,375 | |
General Motors Co. | | | 51,917 | | | | | | | | 2,128,078 | |
Genuine Parts Co. | | | 5,571 | | | | | | | | 529,301 | |
Goodyear Tire & Rubber Co. (The) | | | 7,868 | | | | | | | | 254,215 | |
H&R Block, Inc. | | | 8,300 | | | | | | | | 217,626 | |
Hanesbrands, Inc.D | | | 14,216 | | | | | | | | 297,257 | |
Harley-Davidson, Inc.D | | | 8,982 | | | | | | | | 457,004 | |
Hasbro, Inc. | | | 4,114 | | | | | | | | 373,921 | |
Hilton Worldwide Holdings, Inc. | | | 7,469 | | | | | | | | 596,474 | |
Home Depot, Inc. (The) | | | 49,131 | | | | | | | | 9,311,798 | |
Interpublic Group of Cos., Inc. (The) | | | 17,812 | | | | | | | | 359,090 | |
Kohl’s CorporationD | | | 6,969 | | | | | | | | 377,929 | |
L Brands, Inc.D | | | 9,448 | | | | | | | | 568,959 | |
Leggett & Platt, Inc. | | | 4,991 | | | | | | | | 238,220 | |
Lennar Corporation Class A | | | 6,785 | | | | | | | | 429,083 | |
LKQ Corporation* | | | 11,558 | | | | | | | | 470,064 | |
Lowe’s Cos., Inc. | | | 34,920 | | | | | | | | 3,245,465 | |
Macy’s, Inc.D | | | 13,402 | | | | | | | | 337,596 | |
Marriott International, Inc. Class A | | | 13,339 | | | | | | | | 1,810,502 | |
Mattel, Inc.D | | | 19,187 | | | | | | | | 295,096 | |
McDonald’s Corporation | | | 37,216 | | | | | | | | 6,405,618 | |
Michael Kors Holdings, Ltd.* | | | 4,400 | | | | | | | | 276,980 | |
Mohawk Industries, Inc.* | | | 2,387 | | | | | | | | 658,573 | |
Netflix, Inc.* | | | 17,660 | | | | | | | | 3,390,014 | |
Newell Brands, Inc. | | | 19,676 | | | | | | | | 607,988 | |
News Corporation Class A | | | 13,865 | | | | | | | | 224,752 | |
News Corporation Class B | | | 13,984 | | | | | | | | 232,134 | |
NIKE, Inc. Class B | | | 53,054 | | | | | | | | 3,318,528 | |
Nordstrom, Inc.D | | | 4,745 | | | | | | | | 224,818 | |
Norwegian Cruise Line Holdings, Ltd.* | | | 2,630 | | | | | | | | 140,048 | |
O’Reilly Automotive, Inc.* | | | 3,583 | | | | | | | | 861,855 | |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
Omnicom Group, Inc.D | | | 11,030 | | | | | | | $ | 803,315 | |
Priceline Group, Inc. (The)* | | | 2,004 | | | | | | | | 3,482,431 | |
PulteGroup, Inc.D | | | 11,415 | | | | | | | | 379,549 | |
PVH Corporation | | | 2,959 | | | | | | | | 406,004 | |
Ralph Lauren CorporationD | | | 2,058 | | | | | | | | 213,394 | |
Ross Stores, Inc. | | | 14,955 | | | | | | | | 1,200,139 | |
Royal Caribbean Cruises, Ltd. | | | 7,305 | | | | | | | | 871,340 | |
Scripps Networks Interactive, Inc. | | | | | | | | | | | | |
Class A | | | 3,568 | | | | | | | | 304,636 | |
Signet Jewelers, Ltd.D | | | 2,131 | | | | | | | | 120,508 | |
Starbucks Corporation | | | 64,109 | | | | | | | | 3,681,780 | |
Tapestry, Inc. | | | 10,404 | | | | | | | | 460,169 | |
Target CorporationD | | | 23,092 | | | | | | | | 1,506,753 | |
Tiffany & Co. | | | 4,009 | | | | | | | | 416,736 | |
TimeWarner, Inc. | | | 33,191 | | | | | | | | 3,035,981 | |
TJX Cos., Inc. (The) | | | 25,659 | | | | | | | | 1,961,887 | |
Tractor Supply Co. | | | 4,911 | | | | | | | | 367,097 | |
TripAdvisor, Inc.*D | | | 4,311 | | | | | | | | 148,557 | |
Twenty-First Century Fox, Inc. Class A | | | 40,561 | | | | | | | | 1,400,571 | |
Twenty-First Century Fox, Inc. Class B | | | 27,297 | | | | | | | | 931,374 | |
Ulta Beauty, Inc.* | | | 2,317 | | | | | | | | 518,220 | |
Under Armour, Inc. Class A*D | | | 4,310 | | | | | | | | 62,193 | |
Under Armour, Inc. Class C*D | | | 9,410 | | | | | | | | 125,341 | |
VF CorporationD | | | 12,323 | | | | | | | | 911,902 | |
Walt Disney Co. (The) | | | 64,463 | | | | | | | | 6,930,417 | |
Whirlpool Corporation | | | 2,806 | | | | | | | | 473,204 | |
WyndhamWorldwide Corporation | | | 4,156 | | | | | | | | 481,556 | |
Yum! Brands, Inc. | | | 15,763 | | | | | | | | 1,286,418 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 113,406,051 | |
| | | | | | | | | | | | |
Consumer Staples — 7.3% | | | | | | | | | | | | |
Archer-Daniels-Midland Co. | | | 22,917 | | | | | | | | 918,513 | |
Campbell Soup Co.D | | | 11,361 | | | | | | | | 546,578 | |
Church & Dwight Co., Inc. | | | 15,616 | | | | | | | | 783,455 | |
Clorox Co. (The) | | | 7,450 | | | | | | | | 1,108,113 | |
Coca-Cola Co. (The) | | | 174,570 | | | | | | | | 8,009,272 | |
Colgate-Palmolive Co. | | | 44,276 | | | | | | | | 3,340,624 | |
Conagra Brands, Inc. | | | 21,488 | | | | | | | | 809,453 | |
Costco Wholesale Corporation | | | 19,512 | | | | | | | | 3,631,573 | |
Coty, Inc. Class AD | | | 30,795 | | | | | | | | 612,513 | |
CVS Health Corporation | | | 42,193 | | | | | | | | 3,058,992 | |
Dr. Pepper Snapple Group, Inc. | | | 10,724 | | | | | | | | 1,040,871 | |
Estee Lauder Cos., Inc. (The) Class A | | | 11,572 | | | | | | | | 1,472,421 | |
General Mills, Inc.D | | | 27,499 | | | | | | | | 1,630,416 | |
Hershey Co. (The) | | | 8,923 | | | | | | | | 1,012,850 | |
Hormel Foods CorporationD | | | 15,131 | | | | | | | | 550,617 | |
J.M. Smucker Co. (The) | | | 6,605 | | | | | | | | 820,605 | |
Kellogg Co.D | | | 14,617 | | | | | | | | 993,664 | |
Kimberly-Clark Corporation | | | 17,404 | | | | | | | | 2,099,967 | |
Kraft Heinz Co. (The) | | | 31,323 | | | | | | | | 2,435,676 | |
Kroger Co. (The) | | | 40,430 | | | | | | | | 1,109,804 | |
McCormick & Co., Inc. (Non-Voting Shares) | | | 7,331 | | | | | | | | 747,102 | |
Mondelez International, Inc. Class A | | | 64,259 | | | | | | | | 2,750,285 | |
Monster Beverage Corporation* | | | 16,689 | | | | | | | | 1,056,247 | |
PepsiCo, Inc. | | | 66,764 | | | | | | | | 8,006,339 | |
Procter & Gamble Co. (The) | | | 111,697 | | | | | | | | 10,262,720 | |
| | | | |
| 204 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
Sysco Corporation | | | 25,231 | | | | | | | $ | 1,532,279 | |
Tyson Foods, Inc. Class A | | | 17,363 | | | | | | | | 1,407,618 | |
Walgreens Boots Alliance, Inc. | | | 36,675 | | | | | | | | 2,663,339 | |
Wal-Mart Stores, Inc. | | | 65,719 | | | | | | | | 6,489,751 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 70,901,657 | |
| | | | | | | | | | | | |
Energy — 5.5% | | | | | | | | | | | | |
Anadarko Petroleum Corporation | | | 23,055 | | | | | | | | 1,236,670 | |
Andeavor | | | 5,815 | | | | | | | | 664,887 | |
Apache CorporationD | | | 13,964 | | | | | | | | 589,560 | |
Archrock, Inc. | | | 13 | | | | | | | | 136 | |
Baker Hughes a GE Co. | | | 19,911 | | | | | | | | 629,984 | |
Cabot Oil & Gas Corporation | | | 17,428 | | | | | | | | 498,441 | |
Chesapeake Energy Corporation*D | | | 31,317 | | | | | | | | 124,015 | |
Chevron Corporation | | | 80,403 | | | | | | | | 10,065,652 | |
Cimarex Energy Co. | | | 3,553 | | | | | | | | 433,501 | |
Concho Resources, Inc.* | | | 5,435 | | | | | | | | 816,446 | |
ConocoPhillips | | | 49,195 | | | | | | | | 2,700,314 | |
Devon Energy Corporation | | | 20,640 | | | | | | | | 854,496 | |
EOG Resources, Inc. | | | 23,835 | | | | | | | | 2,572,035 | |
EQT Corporation | | | 6,378 | | | | | | | | 363,036 | |
Exterran Corporation* | | | 6 | | | | | | | | 189 | |
Exxon Mobil Corporation | | | 182,408 | | | | | | | | 15,256,605 | |
Halliburton Co. | | | 37,920 | | | | | | | | 1,853,150 | |
Helmerich & Payne, Inc.D | | | 4,961 | | | | | | | | 320,679 | |
Hess Corporation | | | 11,305 | | | | | | | | 536,648 | |
Kinder Morgan, Inc.D | | | 89,126 | | | | | | | | 1,610,507 | |
Marathon Oil Corporation | | | 37,078 | | | | | | | | 627,731 | |
Marathon Petroleum Corporation | | | 21,070 | | | | | | | | 1,390,199 | |
National Oilwell Varco, Inc. | | | 16,866 | | | | | | | | 607,513 | |
Newfield Exploration Co.* | | | 7,387 | | | | | | | | 232,912 | |
Noble Energy, Inc. | | | 17,666 | | | | | | | | 514,787 | |
Occidental Petroleum Corporation | | | 34,882 | | | | | | | | 2,569,408 | |
ONEOK, Inc. | | | 16,720 | | | | | | | | 893,684 | |
Phillips 66 | | | 18,718 | | | | | | | | 1,893,326 | |
Pioneer Natural Resources Co. | | | 7,424 | | | | | | | | 1,283,238 | |
Range Resources Corporation | | | 6,377 | | | | | | | | 108,792 | |
Valero Energy Corporation | | | 18,837 | | | | | | | | 1,731,309 | |
Williams Cos., Inc. (The) | | | 38,539 | | | | | | | | 1,175,054 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 54,154,904 | |
| | | | | | | | | | | | |
Financials — 13.9% | | | | | | | | | | | | |
Affiliated Managers Group, Inc. | | | 2,010 | | | | | | | | 412,553 | |
Aflac, Inc. | | | 16,032 | | | | | | | | 1,407,289 | |
Allstate Corporation (The) | | | 18,095 | | | | | | | | 1,894,727 | |
American Express Co. | | | 32,417 | | | | | | | | 3,219,332 | |
American International Group, Inc. | | | 41,489 | | | | | | | | 2,471,915 | |
Ameriprise Financial, Inc. | | | 6,100 | | | | | | | | 1,033,767 | |
Arthur J. Gallagher & Co. | | | 8,294 | | | | | | | | 524,844 | |
Assurant, Inc. | | | 2,341 | | | | | | | | 236,066 | |
Bank of America Corporation | | | 411,658 | | | | | | | | 12,152,144 | |
Bank of New York Mellon Corporation (The) | | | 41,687 | | | | | | | | 2,245,262 | |
BB&T Corporation | | | 31,819 | | | | | | | | 1,582,041 | |
Berkshire Hathaway, Inc. Class B* | | | 78,815 | | | | | | | | 15,622,709 | |
BlackRock, Inc. | | | 4,821 | | | | | | | | 2,476,596 | |
Brighthouse Financial, Inc.* | | | 4,017 | | | | | | | | 235,557 | |
Capital One Financial Corporation | | | 20,675 | | | | | | | | 2,058,817 | |
Cboe Global Markets, Inc. | | | 2,027 | | | | | | | | 252,544 | |
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| | | Shares | | | Value | |
Charles Schwab Corporation (The) | | | 47,906 | | | | | | | $ | 2,460,931 | |
Cincinnati Financial Corporation | | | 5,441 | | | | | | | | 407,912 | |
Citigroup, Inc. | | | 113,739 | | | | | | | | 8,463,319 | |
Citizens Financial Group, Inc. | | | 19,869 | | | | | | | | 834,101 | |
CME Group, Inc. | | | 14,110 | | | | | | | | 2,060,765 | |
Comerica, Inc. | | | 6,388 | | | | | | | | 554,542 | |
Discover Financial Services | | | 17,665 | | | | | | | | 1,358,792 | |
E*TRADE Financial Corporation* | | | 10,478 | | | | | | | | 519,394 | |
Everest Re Group, Ltd. | | | 1,237 | | | | | | | | 273,699 | |
Fifth Third Bancorp | | | 28,756 | | | | | | | | 872,457 | |
Franklin Resources, Inc. | | | 13,630 | | | | | | | | 590,588 | |
Goldman Sachs Group, Inc. (The) | | | 14,836 | | | | | | | | 3,779,619 | |
Hartford Financial Services Group, Inc. (The) | | | 14,682 | | | | | | | | 826,303 | |
Huntington Bancshares, Inc. | | | 38,337 | | | | | | | | 558,187 | |
Intercontinental Exchange, Inc. | | | 25,255 | | | | | | | | 1,781,993 | |
Invesco, Ltd. | | | 15,292 | | | | | | | | 558,770 | |
JPMorgan Chase & Co. | | | 147,012 | | | | | | | | 15,721,463 | |
KeyCorp | | | 31,726 | | | | | | | | 639,913 | |
Leucadia National Corporation | | | 12,259 | | | | | | | | 324,741 | |
Lincoln National Corporation | | | 8,875 | | | | | | | | 682,221 | |
Loews Corporation | | | 12,502 | | | | | | | | 625,475 | |
M&T Bank Corporation | | | 5,892 | | | | | | | | 1,007,473 | |
Marsh & McLennan Cos., Inc. | | | 23,474 | | | | | | | | 1,910,549 | |
MetLife, Inc. | | | 45,712 | | | | | | | | 2,311,199 | |
Moody’s Corporation | | | 7,521 | | | | | | | | 1,110,175 | |
Morgan Stanley | | | 56,134 | | | | | | | | 2,945,351 | |
Nasdaq, Inc. | | | 4,269 | | | | | | | | 327,987 | |
Navient Corporation | | | 12,116 | | | | | | | | 161,385 | |
Northern Trust Corporation | | | 7,800 | | | | | | | | 779,142 | |
People’s United Financial, Inc.D | | | 11,480 | | | | | | | | 214,676 | |
PNC Financial Services Group, Inc. (The) | | | 19,578 | | | | | | | | 2,824,910 | |
Principal Financial Group, Inc. | | | 10,001 | | | | | | | | 705,671 | |
Progressive Corporation (The) | | | 28,774 | | | | | | | | 1,620,552 | |
Prudential Financial, Inc. | | | 17,136 | | | | | | | | 1,970,297 | |
Raymond James Financial, Inc. | | | 2,928 | | | | | | | | 261,470 | |
Regions Financial Corporation | | | 46,314 | | | | | | | | 800,306 | |
S&P Global, Inc. | | | 10,813 | | | | | | | | 1,831,722 | |
State Street Corporation | | | 14,760 | | | | | | | | 1,440,724 | |
SunTrust Banks, Inc. | | | 18,647 | | | | | | | | 1,204,410 | |
Synchrony Financial | | | 34,288 | | | | | | | | 1,323,860 | |
T. Rowe Price Group, Inc. | | | 9,221 | | | | | | | | 967,560 | |
Torchmark Corporation | | | 4,186 | | | | | | | | 379,712 | |
Travelers Cos., Inc. (The) | | | 14,413 | | | | | | | | 1,954,979 | |
U.S. Bancorp | | | 66,172 | | | | | | | | 3,545,496 | |
Unum Group | | | 8,642 | | | | | | | | 474,359 | |
Wells Fargo & Co. | | | 193,144 | | | | | | | | 11,718,046 | |
XL Group, Ltd. | | | 12,627 | | | | | | | | 443,965 | |
Zions Bancorporation | | | 7,446 | | | | | | | | 378,480 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 136,335,804 | |
| | | | | | | | | | | | |
Health Care — 12.5% | | | | | | | | | | | | |
Abbott Laboratories | | | 83,683 | | | | | | | | 4,775,789 | |
AbbVie, Inc. | | | 71,634 | | | | | | | | 6,927,724 | |
Aetna, Inc. | | | 13,737 | | | | | | | | 2,478,017 | |
Agilent Technologies, Inc. | | | 12,235 | | | | | | | | 819,378 | |
Alexion Pharmaceuticals, Inc.* | | | 10,659 | | | | | | | | 1,274,710 | |
| | | | |
| | See Notes to Financial Statements. | | 205 |
EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS (Continued)
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Align Technology, Inc.* | | | 2,249 | | | | | | | $ | 499,705 | |
Amgen, Inc. | | | 33,367 | | | | | | | | 5,802,521 | |
Anthem, Inc. | | | 11,135 | | | | | | | | 2,505,486 | |
Baxter International, Inc. | | | 21,452 | | | | | | | | 1,386,657 | |
Becton, Dickinson and Co.D | | | 12,993 | | | | | | | | 2,781,252 | |
Biogen, Inc.* | | | 9,740 | | | | | | | | 3,102,872 | |
Boston Scientific Corporation* | | | 55,711 | | | | | | | | 1,381,076 | |
Bristol-Myers Squibb Co. | | | 91,207 | | | | | | | | 5,589,165 | |
Cardinal Health, Inc. | | | 27,527 | | | | | | | | 1,686,579 | |
Celgene Corporation* | | | 39,390 | | | | | | | | 4,110,740 | |
Centene Corporation* | | | 8,263 | | | | | | | | 833,571 | |
Cerner Corporation* | | | 13,126 | | | | | | | | 884,561 | |
Cigna Corporation | | | 11,444 | | | | | | | | 2,324,162 | |
Cooper Cos., Inc. (The) | | | 1,862 | | | | | | | | 405,693 | |
Danaher Corporation | | | 26,332 | | | | | | | | 2,444,136 | |
DaVita, Inc.* | | | 8,768 | | | | | | | | 633,488 | |
DENTSPLY SIRONA, Inc. | | | 10,241 | | | | | | | | 674,165 | |
Edwards Lifesciences Corporation* | | | 10,109 | | | | | | | | 1,139,385 | |
Eli Lilly & Co. | | | 66,359 | | | | | | | | 5,604,681 | |
Envision Healthcare Corporation* | | | 5,777 | | | | | | | | 199,653 | |
Express Scripts Holding Co.* | | | 26,837 | | | | | | | | 2,003,114 | |
Gilead Sciences, Inc. | | | 57,503 | | | | | | | | 4,119,515 | |
HCA Healthcare, Inc.* | | | 12,602 | | | | | | | | 1,106,960 | |
Henry Schein, Inc.* | | | 6,600 | | | | | | | | 461,208 | |
Hologic, Inc.* | | | 11,305 | | | | | | | | 483,289 | |
Humana, Inc. | | | 6,634 | | | | | | | | 1,645,696 | |
IDEXX Laboratories, Inc.* | | | 4,626 | | | | | | | | 723,414 | |
Illumina, Inc.* | | | 5,753 | | | | | | | | 1,256,973 | |
Incyte Corporation* | | | 6,861 | | | | | | | | 649,805 | |
Intuitive Surgical, Inc.* | | | 5,733 | | | | | | | | 2,092,201 | |
IQVIA Holdings, Inc.* | | | 6,151 | | | | | | | | 602,183 | |
Johnson & Johnson | | | 120,500 | | | | | | | | 16,836,260 | |
Laboratory Corporation of America Holdings* | | | 7,436 | | | | | | | | 1,186,116 | |
McKesson Corporation | | | 13,930 | | | | | | | | 2,172,384 | |
Mettler-Toledo International, Inc.* | | | 1,034 | | | | | | | | 640,584 | |
Patterson Cos., Inc.D | | | 3,194 | | | | | | | | 115,399 | |
PerkinElmer, Inc. | | | 4,105 | | | | | | | | 300,158 | |
Quest Diagnostics, Inc. | | | 9,445 | | | | | | | | 930,238 | |
Regeneron Pharmaceuticals, Inc.* | | | 5,159 | | | | | | | | 1,939,578 | |
ResMed, Inc.D | | | 5,693 | | | | | | | | 482,140 | |
Stryker Corporation | | | 14,905 | | | | | | | | 2,307,890 | |
Thermo Fisher Scientific, Inc. | | | 16,321 | | | | | | | | 3,099,032 | |
UnitedHealth Group, Inc. | | | 42,543 | | | | | | | | 9,379,030 | |
Universal Health Services, Inc. Class B | | | 4,474 | | | | | | | | 507,128 | |
Varian Medical Systems, Inc.* | | | 3,565 | | | | | | | | 396,250 | |
Vertex Pharmaceuticals, Inc.* | | | 11,963 | | | | | | | | 1,792,775 | |
Waters Corporation* | | | 3,363 | | | | | | | | 649,698 | |
Zimmer Biomet Holdings, Inc. | | | 8,770 | | | | | | | | 1,058,276 | |
Zoetis, Inc. | | | 44,839 | | | | | | | | 3,230,202 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 122,432,662 | |
| | | | | | | | | | | | |
Industrials — 9.2% | | | | | | | | | | | | |
3M Co. | | | 25,449 | | | | | | | | 5,989,931 | |
Acuity Brands, Inc.D | | | 1,643 | | | | | | | | 289,168 | |
Alaska Air Group, Inc.D | | | 5,031 | | | | | | | | 369,829 | |
American Airlines Group, Inc. | | | 21,202 | | | | | | | | 1,103,140 | |
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AMETEK, Inc. | | | 8,745 | | | | | | | $ | 633,750 | |
Arconic, Inc. | | | 16,474 | | | | | | | | 448,916 | |
Boeing Co. (The) | | | 23,761 | | | | | | | | 7,007,357 | |
C.H. Robinson Worldwide, Inc. | | | 5,208 | | | | | | | | 463,981 | |
Caterpillar, Inc. | | | 22,730 | | | | | | | | 3,581,793 | |
Cintas CorporationD | | | 3,159 | | | | | | | | 492,267 | |
CSX Corporation | | | 35,484 | | | | | | | | 1,951,975 | |
Cummins, Inc. | | | 5,861 | | | | | | | | 1,035,287 | |
Deere & Co. | | | 11,036 | | | | | | | | 1,727,244 | |
Delta Air Lines, Inc. | | | 31,735 | | | | | | | | 1,777,160 | |
Dover Corporation | | | 5,776 | | | | | | | | 583,318 | |
Emerson Electric Co. | | | 23,868 | | | | | | | | 1,663,361 | |
Equifax, Inc. | | | 5,167 | | | | | | | | 609,293 | |
Expeditors International of Washington, Inc. | | | 6,818 | | | | | | | | 441,056 | |
Fastenal Co. | | | 10,759 | | | | | | | | 588,410 | |
FedEx Corporation | | | 9,248 | | | | | | | | 2,307,746 | |
Flowserve Corporation | | | 4,858 | | | | | | | | 204,668 | |
Fluor Corporation | | | 5,110 | | | | | | | | 263,932 | |
Fortive Corporation | | | 11,111 | | | | | | | | 803,881 | |
Fortune Brands Home & Security, Inc. | | | 5,687 | | | | | | | | 389,218 | |
General Dynamics Corporation | | | 10,988 | | | | | | | | 2,235,509 | |
General Electric Co. | | | 365,050 | | | | | | | | 6,370,122 | |
Harris Corporation | | | 4,630 | | | | | | | | 655,839 | |
Honeywell International, Inc. | | | 32,545 | | | | | | | | 4,991,101 | |
IHS Markit, Ltd.* | | | 13,436 | | | | | | | | 606,635 | |
Illinois ToolWorks, Inc. | | | 12,023 | | | | | | | | 2,006,038 | |
J.B. Hunt Transport Services, Inc. | | | 3,269 | | | | | | | | 375,870 | |
Jacobs Engineering Group, Inc. | | | 4,647 | | | | | | | | 306,516 | |
Kansas City Southern | | | 4,046 | | | | | | | | 425,720 | |
L3 Technologies, Inc. | | | 2,814 | | | | | | | | 556,750 | |
Lockheed Martin Corporation | | | 10,809 | | | | | | | | 3,470,229 | |
Masco Corporation | | | 12,522 | | | | | | | | 550,217 | |
Norfolk Southern Corporation | | | 12,103 | | | | | | | | 1,753,725 | |
Northrop Grumman Corporation | | | 6,945 | | | | | | | | 2,131,490 | |
PACCAR, Inc. | | | 12,988 | | | | | | | | 923,187 | |
Parker-Hannifin Corporation | | | 5,009 | | | | | | | | 999,696 | |
Quanta Services, Inc.* | | | 5,431 | | | | | | | | 212,406 | |
Raytheon Co. | | | 11,609 | | | | | | | | 2,180,751 | |
Republic Services, Inc. | | | 10,528 | | | | | | | | 711,798 | |
Robert Half International, Inc. | | | 4,920 | | | | | | | | 273,257 | |
Rockwell Automation, Inc. | | | 4,778 | | | | | | | | 938,160 | |
Rockwell Collins, Inc. | | | 5,668 | | | | | | | | 768,694 | |
Roper Technologies, Inc. | | | 4,043 | | | | | | | | 1,047,137 | |
Snap-on, Inc.D | | | 2,136 | | | | | | | | 372,305 | |
Southwest Airlines Co. | | | 25,802 | | | | | | | | 1,688,741 | |
Stanley Black & Decker, Inc. | | | 5,530 | | | | | | | | 938,386 | |
Stericycle, Inc.* | | | 3,095 | | | | | | | | 210,429 | |
Textron, Inc. | | | 9,853 | | | | | | | | 557,581 | |
TransDigm Group, Inc.D | | | 1,980 | | | | | | | | 543,748 | |
Union Pacific Corporation | | | 34,517 | | | | | | | | 4,628,730 | |
United Continental Holdings, Inc.* | | | 12,532 | | | | | | | | 844,657 | |
United Parcel Service, Inc. Class B | | | 26,728 | | | | | | | | 3,184,641 | |
United Rentals, Inc.* | | | 3,295 | | | | | | | | 566,443 | |
United Technologies Corporation | | | 29,379 | | | | | | | | 3,747,879 | |
Verisk Analytics, Inc.* | | | 6,962 | | | | | | | | 668,352 | |
W.W. Grainger, Inc. | | | 2,114 | | | | | | | | 499,432 | |
| | | | |
| 206 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
Waste Management, Inc. | | | 18,003 | | | | | | | $ | 1,553,659 | |
Xylem, Inc. | | | 6,524 | | | | | | | | 444,937 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 89,667,448 | |
| | | | | | | | | | | | |
Information Technology — 22.1% | | | | | | | | | |
Activision Blizzard, Inc. | | | 30,256 | | | | | | | | 1,915,810 | |
Adobe Systems, Inc.* | | | 21,069 | | | | | | | | 3,692,132 | |
Advanced Micro Devices, Inc.*D | | | 29,779 | | | | | | | | 306,128 | |
Akamai Technologies, Inc.* | | | 6,606 | | | | | | | | 429,654 | |
Alliance Data Systems Corporation | | | 2,399 | | | | | | | | 608,099 | |
Alphabet, Inc. Class A* | | | 11,495 | | | | | | | | 12,108,833 | |
Alphabet, Inc. Class C* | | | 13,205 | | | | | | | | 13,817,712 | |
Amphenol Corporation Class A | | | 11,410 | | | | | | | | 1,001,798 | |
Analog Devices, Inc. | | | 14,340 | | | | | | | | 1,276,690 | |
ANSYS, Inc.* | | | 3,168 | | | | | | | | 467,565 | |
Apple, Inc. | | | 214,671 | | | | | | | | 36,328,773 | |
Applied Materials, Inc. | | | 42,064 | | | | | | | | 2,150,312 | |
Autodesk, Inc.* | | | 8,418 | | | | | | | | 882,459 | |
Automatic Data Processing, Inc. | | | 19,488 | | | | | | | | 2,283,799 | |
CA, Inc. | | | 15,066 | | | | | | | | 501,396 | |
Cadence Design Systems, Inc.* | | | 11,000 | | | | | | | | 460,020 | |
Cisco Systems, Inc. | | | 207,134 | | | | | | | | 7,933,232 | |
Citrix Systems, Inc.* | | | 6,597 | | | | | | | | 580,536 | |
Cognizant Technology Solutions Corporation Class A | | | 24,536 | | | | | | | | 1,742,547 | |
Corning, Inc. | | | 39,819 | | | | | | | | 1,273,810 | |
CSRA, Inc. | | | 4,813 | | | | | | | | 144,005 | |
DXC Technology Co. | | | 11,080 | | | | | | | | 1,051,492 | |
eBay, Inc.* | | | 39,141 | | | | | | | | 1,477,181 | |
Electronic Arts, Inc.* | | | 12,894 | | | | | | | | 1,354,644 | |
F5 Networks, Inc.* | | | 2,480 | | | | | | | | 325,426 | |
Facebook, Inc. Class A* | | | 97,496 | | | | | | | | 17,204,144 | |
Fidelity National Information Services, Inc. | | | 13,923 | | | | | | | | 1,310,015 | |
Fiserv, Inc.* | | | 9,072 | | | | | | | | 1,189,611 | |
FLIR Systems, Inc. | | | 5,180 | | | | | | | | 241,492 | |
Gartner, Inc.* | | | 3,738 | | | | | | | | 460,335 | |
Global Payments, Inc. | | | 6,298 | | | | | | | | 631,312 | |
Hewlett Packard Enterprise Co. | | | 71,981 | | | | | | | | 1,033,647 | |
HP, Inc. | | | 76,485 | | | | | | | | 1,606,950 | |
Intel Corporation | | | 198,349 | | | | | | | | 9,155,790 | |
International Business Machines Corporation | | | 37,622 | | | | | | | | 5,771,967 | |
Intuit, Inc. | | | 10,186 | | | | | | | | 1,607,147 | |
Juniper Networks, Inc. | | | 15,019 | | | | | | | | 428,042 | |
KLA-Tencor Corporation | | | 5,691 | | | | | | | | 597,953 | |
Lam Research Corporation | | | 6,401 | | | | | | | | 1,178,232 | |
MasterCard, Inc. Class A | | | 40,518 | | | | | | | | 6,132,805 | |
Microchip Technology, Inc.D | | | 8,808 | | | | | | | | 774,047 | |
Micron Technology, Inc.* | | | 44,279 | | | | | | | | 1,820,752 | |
Microsoft Corporation | | | 322,078 | | | | | | | | 27,550,552 | |
Motorola Solutions, Inc. | | | 7,482 | | | | | | | | 675,924 | |
NetApp, Inc. | | | 13,528 | | | | | | | | 748,369 | |
NVIDIA Corporation | | | 24,107 | | | | | | | | 4,664,705 | |
Oracle Corporation | | | 127,291 | | | | | | | | 6,018,318 | |
Paychex, Inc. | | | 13,864 | | | | | | | | 943,861 | |
PayPal Holdings, Inc.* | | | 47,900 | | | | | | | | 3,526,398 | |
Qorvo, Inc.*D | | | 4,807 | | | | | | | | 320,146 | |
QUALCOMM, Inc. | | | 62,704 | | | | | | | | 4,014,310 | |
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Red Hat, Inc.* | | | 7,540 | | | | | | | $ | 905,554 | |
salesforce.com, Inc.* | | | 29,161 | | | | | | | | 2,981,129 | |
Skyworks Solutions, Inc. | | | 6,957 | | | | | | | | 660,567 | |
Symantec Corporation | | | 25,974 | | | | | | | | 728,830 | |
Synopsys, Inc.* | | | 5,492 | | | | | | | | 468,138 | |
Texas Instruments, Inc. | | | 40,373 | | | | | | | | 4,216,556 | |
Total System Services, Inc. | | | 6,366 | | | | | | | | 503,487 | |
VeriSign, Inc.*D | | | 3,542 | | | | | | | | 405,346 | |
Visa, Inc. Class AD | | | 79,198 | | | | | | | | 9,030,156 | |
Western Digital Corporation | | | 12,943 | | | | | | | | 1,029,357 | |
Western Union Co. (The) | | | 21,787 | | | | | | | | 414,171 | |
Xerox Corporation | | | 11,464 | | | | | | | | 334,176 | |
Xilinx, Inc. | | | 9,444 | | | | | | | | 636,714 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 216,035,058 | |
| | | | | | | | | | | | |
Materials — 2.9% | | | | | | | | | | | | |
Air Products & Chemicals, Inc. | | | 10,593 | | | | | | | | 1,738,100 | |
Albemarle Corporation | | | 5,038 | | | | | | | | 644,310 | |
Avery Dennison Corporation | | | 3,272 | | | | | | | | 375,822 | |
Ball Corporation | | | 10,346 | | | | | | | | 391,596 | |
CF Industries Holdings, Inc. | | | 10,281 | | | | | | | | 437,354 | |
DowDuPont, Inc. | | | 99,454 | | | | | | | | 7,083,114 | |
Eastman Chemical Co. | | | 7,141 | | | | | | | | 661,542 | |
Ecolab, Inc. | | | 14,446 | | | | | | | | 1,938,364 | |
FMC Corporation | | | 5,397 | | | | | | | | 510,880 | |
Freeport-McMoRan, Inc.* | | | 54,122 | | | | | | | | 1,026,153 | |
International Flavors & Fragrances, Inc. | | | 3,799 | | | | | | | | 579,765 | |
International Paper Co.D | | | 16,786 | | | | | | | | 972,581 | |
Martin Marietta Materials, Inc. | | | 2,361 | | | | | | | | 521,875 | |
Monsanto Co. | | | 20,554 | | | | | | | | 2,400,296 | |
Mosaic Co. (The) | | | 16,259 | | | | | | | | 417,206 | |
Newmont Mining Corporation | | | 23,284 | | | | | | | | 873,616 | |
Nucor Corporation | | | 11,797 | | | | | | | | 750,053 | |
Packaging Corporation of America | | | 3,120 | | | | | | | | 376,116 | |
PPG Industries, Inc. | | | 12,109 | | | | | | | | 1,414,573 | |
Praxair, Inc. | | | 13,550 | | | | | | | | 2,095,914 | |
Sealed Air CorporationD | | | 10,710 | | | | | | | | 528,003 | |
Sherwin-Williams Co. (The) | | | 3,388 | | | | | | | | 1,389,216 | |
Vulcan Materials Co. | | | 4,979 | | | | | | | | 639,154 | |
WestRock Co. | | | 9,470 | | | | | | | | 598,599 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 28,364,202 | |
| | | | | | | | | | | | |
Real Estate — 2.7% | | | | | | | | | | | | |
Alexandria Real Estate Equities, Inc. REIT | | | 3,214 | | | | | | | | 419,716 | |
American Tower Corporation REIT | | | 16,945 | | | | | | | | 2,417,543 | |
Apartment Investment & Management | | | | | | | | | | | | |
Co. Class A REIT | | | 5,951 | | | | | | | | 260,118 | |
AvalonBay Communities, Inc. REIT | | | 5,872 | | | | | | | | 1,047,623 | |
Boston Properties, Inc. REIT | | | 5,686 | | | | | | | | 739,351 | |
CBRE Group, Inc. Class A* | | | 10,731 | | | | | | | | 464,760 | |
Crown Castle International Corporation REIT | | | 17,114 | | | | | | | | 1,899,825 | |
Digital Realty Trust, Inc. REIT | | | 7,642 | | | | | | | | 870,424 | |
Duke Realty Corporation REIT | | | 8,002 | | | | | | | | 217,734 | |
Equinix, Inc. REIT | | | 3,607 | | | | | | | | 1,634,764 | |
Equity Residential REIT | | | 13,641 | | | | | | | | 869,887 | |
Essex Property Trust, Inc. REIT | | | 2,756 | | | | | | | | 665,216 | |
| | | | |
| | See Notes to Financial Statements. | | 207 |
EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Shares | | | Value | |
Extra Space Storage, Inc. REIT | | | 4,684 | | | | | | | $ | 409,616 | |
Federal Realty Investment Trust REIT | | | 2,600 | | | | | | | | 345,306 | |
GGP, Inc. REIT | | | 26,486 | | | | | | | | 619,508 | |
HCP, Inc. REIT | | | 20,825 | | | | | | | | 543,116 | |
Host Hotels & Resorts, Inc. REIT | | | 27,531 | | | | | | | | 546,490 | |
Iron Mountain, Inc. REIT | | | 8,763 | | | | | | | | 330,628 | |
Kimco Realty Corporation REIT | | | 15,470 | | | | | | | | 280,780 | |
Macerich Co. (The) REIT | | | 4,614 | | | | | | | | 303,047 | |
Mid-America Apartment Communities, Inc. REIT | | | 4,060 | | | | | | | | 408,274 | |
Prologis, Inc. REIT | | | 20,574 | | | | | | | | 1,327,229 | |
Public Storage REIT | | | 6,469 | | | | | | | | 1,352,021 | |
Realty Income Corporation REITD | | | 10,378 | | | | | | | | 591,754 | |
Regency Centers Corporation REIT | | | 4,321 | | | | | | | | 298,927 | |
SBA Communications Corporation REIT* | | | 4,700 | | | | | | | | 767,792 | |
Simon Property Group, Inc. REITD | | | 13,751 | | | | | | | | 2,361,597 | |
SL Green Realty Corporation REIT | | | 3,720 | | | | | | | | 375,460 | |
UDR, Inc. REIT | | | 11,107 | | | | | | | | 427,842 | |
Ventas, Inc. REIT | | | 15,238 | | | | | | | | 914,432 | |
Vornado Realty Trust REIT | | | 6,562 | | | | | | | | 513,017 | |
Welltower, Inc. REITD | | | 16,760 | | | | | | | | 1,068,785 | |
Weyerhaeuser Co. REIT | | | 29,262 | | | | | | | | 1,031,778 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 26,324,360 | |
| | | | | | | | | | | | |
Telecommunication Services — 2.0% | | | | | | | | | |
AT&T, Inc. | | | 255,134 | | | | | | | | 9,919,610 | |
CenturyLink, Inc. | | | 51,057 | | | | | | | | 851,631 | |
Verizon Communications, Inc. | | | 167,679 | | | | | | | | 8,875,249 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 19,646,490 | |
| | | | | | | | | | | | |
Utilities — 3.1% | | | | | | | | | | | | |
AES Corporation | | | 24,428 | | | | | | | | 264,555 | |
Alliant Energy CorporationD | | | 6,500 | | | | | | | | 276,965 | |
Ameren Corporation | | | 9,053 | | | | | | | | 534,036 | |
American Electric Power Co., Inc. | | | 22,632 | | | | | | | | 1,665,036 | |
AmericanWater Works Co., Inc. | | | 8,825 | | | | | | | | 807,399 | |
CenterPoint Energy, Inc. | | | 17,352 | | | | | | | | 492,103 | |
CMS Energy Corporation | | | 10,396 | | | | | | | | 491,731 | |
Consolidated Edison, Inc. | | | 13,128 | | | | | | | | 1,115,224 | |
Dominion Energy, Inc. | | | 29,917 | | | | | | | | 2,425,072 | |
DTE Energy Co. | | | 9,262 | | | | | | | | 1,013,819 | |
Duke Energy Corporation | | | 33,572 | | | | | | | | 2,823,741 | |
Edison International | | | 14,723 | | | | | | | | 931,083 | |
Entergy Corporation | | | 9,511 | | | | | | | | 774,100 | |
Eversource Energy | | | 11,754 | | | | | | | | 742,618 | |
Exelon Corporation | | | 42,619 | | | | | | | | 1,679,615 | |
FirstEnergy Corporation | | | 24,029 | | | | | | | | 735,768 | |
NextEra Energy, Inc. | | | 23,020 | | | | | | | | 3,595,494 | |
NiSource, Inc. | | | 23,079 | | | | | | | | 592,438 | |
NRG Energy, Inc. | | | 11,763 | | | | | | | | 335,010 | |
PG&E Corporation | | | 22,213 | | | | | | | | 995,809 | |
PinnacleWest Capital Corporation | | | 4,108 | | | | | | | | 349,919 | |
PPL Corporation | | | 26,453 | | | | | | | | 818,720 | |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
Public Service Enterprise Group, Inc. | | | 20,147 | | | | | | | $ | 1,037,570 | |
SCANA Corporation | | | 5,221 | | | | | | | | 207,691 | |
Sempra Energy | | | 11,379 | | | | | | | | 1,216,643 | |
Southern Co. (The) | | | 49,020 | | | | | | | | 2,357,372 | |
WEC Energy Group, Inc. | | | 18,016 | | | | | | | | 1,196,803 | |
Xcel Energy, Inc.D | | | 21,338 | | | | | | | | 1,026,571 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 30,502,905 | |
| | | | | | | | | | | | |
Total Common Stocks
(Cost $563,084,281) | | | | | | | | | | | 907,771,541 | |
| | | | | | | | | | | | |
FOREIGN COMMON STOCKS — 3.6% | | | | | |
Curacao — 0.4% | | | | | | | | | | | | |
Schlumberger, Ltd. | | | 63,085 | | | | | | | | 4,251,298 | |
| | | | | | | | | | | | |
Ireland — 1.5% | | | | | | | | | | | | |
Accenture PLC Class A | | | 26,318 | | | | | | | | 4,029,023 | |
Allegion PLC | | | 3,479 | | | | | | | | 276,789 | |
Eaton Corporation PLC | | | 17,773 | | | | | | | | 1,404,245 | |
Ingersoll-Rand PLC | | | 9,510 | | | | | | | | 848,197 | |
Johnson Controls International PLC | | | 37,810 | | | | | | | | 1,440,939 | |
Medtronic PLC | | | 59,491 | | | | | | | | 4,803,898 | |
Pentair PLC | | | 6,692 | | | | | | | | 472,589 | |
Seagate Technology PLCD | | | 16,681 | | | | | | | | 697,933 | |
Willis Towers Watson PLC | | | 6,037 | | | | | | | | 909,716 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 14,883,329 | |
| | | | | | | | | | | | |
Jersey — 0.1% | | | | | | | | | | | | |
Aptiv PLC | | | 10,057 | | | | | | | | 853,135 | |
| | | | | | | | | | | | |
Netherlands — 0.3% | | | | | | | | | | | | |
LyondellBasell Industries NV Class A | | | 13,989 | | | | | | | | 1,543,266 | |
Mylan NV* | | | 42,790 | | | | | | | | 1,810,445 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,353,711 | |
| | | | | | | | | | | | |
Singapore — 0.5% | | | | | | | | | | | | |
Broadcom, Ltd. | | | 16,977 | | | | | | | | 4,361,391 | |
| | | | | | | | | | | | |
Switzerland — 0.5% | | | | | | | | | | | | |
Chubb, Ltd. | | | 23,356 | | | | | | | | 3,413,013 | |
Garmin, Ltd.D | | | 4,430 | | | | | | | | 263,895 | |
TE Connectivity, Ltd. | | | 13,229 | | | | | | | | 1,257,284 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,934,192 | |
| | | | | | | | | | | | |
United Kingdom — 0.3% | | | | | | | | | |
Aon PLC | | | 11,629 | | | | | | | | 1,558,286 | |
Nielsen Holdings PLCD | | | 15,059 | | | | | | | | 548,148 | |
TechnipFMC PLC | | | 23,072 | | | | | | | | 722,384 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,828,818 | |
| | | | | | | | | | | | |
Total Foreign Common Stocks
(Cost $27,157,325) | | | | | | | | 35,465,874 | |
| | | | | | | | | | | | |
MONEY MARKET FUNDS — 3.4% | | | | | |
GuideStone Money Market Fund (Investor Class)¥ | | | 32,456,840 | | | | | | | | 32,456,840 | |
| | | | |
| 208 | | See Notes to Financial Statements. | | |
| | | | | | | | |
| | | Shares | | | Value | |
Northern Institutional Liquid Assets Portfolio§ | | | 786,737 | | | $ | 786,737 | |
| | | | | | | | |
Total Money Market Funds
(Cost $33,243,577) | | | | 33,243,577 | |
| | | | | | | | |
| | |
| | | Par | | | | |
U.S. TREASURY OBLIGATION — 0.1% | |
U.S. Treasury Bill 1.42%, 06/07/18W‡‡ (Cost $894,466) | | $ | 900,000 | | | | 894,296 | |
| | | | | | | | |
TOTAL INVESTMENTS — 99.9%
(Cost $624,379,649) | | | | 977,375,288 | |
Other Assets in Excess of
Liabilities — 0.1% | | | | 671,588 | |
| | | | | | | | |
NET ASSETS — 100.0% | | | | | | $ | 978,046,876 | |
| | | | | | | | |
Futures Contracts outstanding at December 31, 2017:
| | | | | | | | | | | | | | | | | | | | |
Future Type | | Expiration Date | | | Open Long
(Short) Contracts | | | Notional
Market Value
of Contracts | | | Counter-
party | | | Value and
Unrealized
Appreciation
(Depreciation) | |
S&P 500® E-Mini | | | 03/2018 | | | | 238 | | | $ | 31,844,400 | | | | GSC | | | $ | 232,690 | |
| | | | | | | | | | | | | | | | | | | | |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2017, 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 | | $ | 907,771,541 | | | $ | 907,771,541 | | | $ | — | | | $ | — | |
Foreign Common Stocks | | | 35,465,874 | | | | 35,465,874 | | | | — | | | | — | |
Money Market Funds | | | 33,243,577 | | | | 33,243,577 | | | | — | | | | — | |
U.S. Treasury Obligation | | | 894,296 | | | | — | | | | 894,296 | | | | — | |
| | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | $ | 977,375,288 | | | $ | 976,480,992 | | | $ | 894,296 | | | $ | — | |
| | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | |
Future Contracts | | $ | 232,690 | | | $ | 232,690 | | | $ | — | | �� | $ | — | |
| | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | $ | 232,690 | | | $ | 232,690 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
***Other financial instruments are derivative instruments, 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 preceding “Futures Contracts outstanding” disclosure.
There were no transfers between Level 1, Level 2 and Level 3 during the period ended December 31, 2017.
| | | | |
| | See Notes to Financial Statements. | | 209 |
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 outperformed its benchmark, the Russell 1000® Value Index, for the one-year period ended December 31, 2017 (15.25% versus 13.66%). Large cap value stocks posted double digit positive returns during a period where the market rewarded lower dividend yielding and higher quality names within the index. Overweight exposure and security selection within the technology sector added value during the year, while security selection within the financial services and consumer discretionary sectors also contributed to benchmark relative performance for the period. Security selection within producer durables and consumer staples detracted some value during the year.
In 2017, 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 equities. 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, 2017, 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.
| | | | |
| | | % | |
Financials | | | 24.1 | |
Health Care | | | 11.7 | |
Information Technology | | | 11.5 | |
Energy | | | 8.8 | |
Consumer Discretionary | | | 8.6 | |
Industrials | | | 7.9 | |
Foreign Common Stocks | | | 7.7 | |
Consumer Staples | | | 5.7 | |
Materials | | | 3.4 | |
Telecommunication Services | | | 3.3 | |
Utilities | | | 3.1 | |
Money Market Funds | | | 2.8 | |
Real Estate | | | 1.7 | |
U.S. Treasury Obligation | | | 0.1 | |
| | | | |
| | | 100.4 | |
| | | | |
| | | | |
210 | | See Notes to Financial Statements. | | |
Value Equity Fund (Unaudited)
| | | | | | |
| Average Annual Total Returns as of 12/31/17 |
| | | Institutional Class | | Investor Class* | | Benchmark** |
One Year | | 15.54% | | 15.25% | | 13.66% |
Five Year | | 13.86% | | 13.57% | | 14.03% |
Ten Year | | 7.05% | | 6.81% | | 7.10% |
Since Inception | | 7.15% | | 6.88% | | 7.40% |
Inception Date | | 08/27/01 | | 08/27/01 | | |
Total Fund Operating Expenses (May 1, 2017 Prospectus as amended July 1, 2017)(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, 2007 to December 31, 2017, 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.
| | | | |
| | See Notes to Financial Statements. | | 211 |
| | |
VALUE EQUITY FUND SCHEDULE OF INVESTMENTS | | December 31, 2017 |
| | | | | | | | |
| | | Shares | | | Value | |
COMMON STOCKS — 89.8% | | | | | |
Consumer Discretionary — 8.6% | | | | | |
Aaron’s, Inc. | | | 27,460 | | | $ | 1,094,281 | |
AMC Networks, Inc. Class A*D | | | 19,526 | | | | 1,055,966 | |
American Eagle Outfitters, Inc. | | | 75,851 | | | | 1,425,999 | |
Best Buy Co., Inc. | | | 10,385 | | | | 711,061 | |
Brunswick Corporation | | | 9,997 | | | | 552,034 | |
Carnival Corporation | | | 32,898 | | | | 2,183,440 | |
Charter Communications, Inc. Class A* | | | 2,551 | | | | 857,034 | |
Comcast Corporation Class A | | | 526,183 | | | | 21,073,629 | |
Dana, Inc. | | | 359,243 | | | | 11,499,368 | |
DISH Network Corporation Class A* | | | 773 | | | | 36,911 | |
Dollar General Corporation | | | 138,600 | | | | 12,891,186 | |
Ford Motor Co. | | | 104,691 | | | | 1,307,591 | |
General Motors Co. | | | 172,028 | | | | 7,051,428 | |
John Wiley & Sons, Inc. Class A | | | 22,303 | | | | 1,466,422 | |
Lear Corporation | | | 25,338 | | | | 4,476,211 | |
Lennar Corporation Class AD | | | 160,251 | | | | 10,134,273 | |
Lennar Corporation Class B | | | 3,259 | | | | 168,425 | |
Lowe’s Cos., Inc. | | | 159,900 | | | | 14,861,106 | |
Michael Kors Holdings, Ltd.* | | | 33,715 | | | | 2,122,359 | |
News Corporation Class A | | | 163,052 | | | | 2,643,073 | |
Office Depot, Inc. | | | 221,209 | | | | 783,080 | |
PulteGroup, Inc.D | | | 136,016 | | | | 4,522,532 | |
Tapestry, Inc. | | | 124,393 | | | | 5,501,902 | |
Target CorporationD | | | 16,119 | | | | 1,051,765 | |
Tenneco, Inc. | | | 45,842 | | | | 2,683,591 | |
TimeWarner, Inc. | | | 22,458 | | | | 2,054,233 | |
Twenty-First Century Fox, Inc. Class A | | | 401,403 | | | | 13,860,446 | |
Twenty-First Century Fox, Inc. Class B | | | 23,442 | | | | 799,841 | |
Visteon Corporation* | | | 4,668 | | | | 584,154 | |
Walt Disney Co. (The) | | | 14,810 | | | | 1,592,223 | |
| | | | | | | | |
| | | | | | | 131,045,564 | |
| | | | | | | | |
Consumer Staples — 5.7% | | | | | |
Archer-Daniels-Midland Co. | | | 13,922 | | | | 557,994 | |
Bunge, Ltd. | | | 25,648 | | | | 1,720,468 | |
Coca-Cola Co. (The) | | | 39,583 | | | | 1,816,068 | |
Colgate-Palmolive Co. | | | 26,729 | | | | 2,016,703 | |
CVS Health Corporation | | | 182,699 | | | | 13,245,677 | |
General Mills, Inc.D | | | 8,354 | | | | 495,309 | |
Hershey Co. (The) | | | 38,870 | | | | 4,412,134 | |
Ingredion, Inc. | | | 44,294 | | | | 6,192,301 | |
Kimberly-Clark Corporation | | | 4,174 | | | | 503,635 | |
Kraft Heinz Co. (The) | | | 24,139 | | | | 1,877,049 | |
Kroger Co. (The) | | | 17,815 | | | | 489,022 | |
Mondelez International, Inc. Class A | | | 45,733 | | | | 1,957,372 | |
Nu Skin Enterprises, Inc. Class A | | | 39,707 | | | | 2,709,209 | |
PepsiCo, Inc. | | | 125,529 | | | | 15,053,438 | |
Pilgrim’s Pride
Corporation*D | | | 36,450 | | | | 1,132,137 | |
Procter & Gamble Co. (The) | | | 155,662 | | | | 14,302,224 | |
Sanderson Farms, Inc.D | | | 15,661 | | | | 2,173,433 | |
US Foods Holding Corporation* | | | 72,941 | | | | 2,329,006 | |
Walgreens Boots Alliance, Inc. | | | 22,290 | | | | 1,618,700 | |
| | | | | | | | |
| | | Shares | | | Value | |
Wal-Mart Stores, Inc. | | | 125,262 | | | $ | 12,369,622 | |
| | | | | | | | |
| | | | | | | 86,971,501 | |
| | | | | | | | |
Energy — 8.8% | | | | | | | | |
Anadarko Petroleum Corporation | | | 15,980 | | | | 857,167 | |
Andeavor | | | 30,544 | | | | 3,492,401 | |
Baker Hughes a GE Co. | | | 234,000 | | | | 7,403,760 | |
Chevron Corporation | | | 215,666 | | | | 26,999,227 | |
ConocoPhillips | | | 331,163 | | | | 18,177,537 | |
EOG Resources, Inc. | | | 15,036 | | | | 1,622,535 | |
Exxon Mobil Corporation | | | 293,476 | | | | 24,546,333 | |
Halliburton Co. | | | 9,436 | | | | 461,137 | |
Kinder Morgan, Inc. | | | 62,289 | | | | 1,125,562 | |
Marathon Petroleum Corporation | | | 91,894 | | | | 6,063,166 | |
Newfield Exploration Co.* | | | 114,000 | | | | 3,594,420 | |
Occidental Petroleum Corporation | | | 222,553 | | | | 16,393,254 | |
PBF Energy, Inc. Class AD | | | 43,107 | | | | 1,528,143 | |
Phillips 66 | | | 94,951 | | | | 9,604,294 | |
Pioneer Natural Resources Co. | | | 4,778 | | | | 825,877 | |
QEP Resources, Inc.* | | | 29,648 | | | | 283,731 | |
Southwestern Energy Co.* | | | 283,275 | | | | 1,580,674 | |
Valero Energy Corporation | | | 94,201 | | | | 8,658,014 | |
World Fuel Services Corporation | | | 36,318 | | | | 1,021,989 | |
| | | | | | | | |
| | | | | | | 134,239,221 | |
| | | | | | | | |
Financials — 24.1% | | | | | | | | |
Aflac, Inc. | | | 35,602 | | | | 3,125,144 | |
Allstate Corporation (The) | | | 75,814 | | | | 7,938,484 | |
Ally Financial, Inc. | | | 135,199 | | | | 3,942,403 | |
American Express Co. | | | 165,532 | | | | 16,438,983 | |
American International Group, Inc. | | | 285,510 | | | | 17,010,686 | |
Ameriprise Financial, Inc. | | | 20,322 | | | | 3,443,969 | |
Assured Guaranty, Ltd. | | | 70,590 | | | | 2,390,883 | |
Bank of America Corporation | | | 1,227,313 | | | | 36,230,280 | |
Bank of New York Mellon Corporation (The) | | | 28,220 | | | | 1,519,929 | |
BB&T Corporation | | | 21,205 | | | | 1,054,313 | |
Berkshire Hathaway, Inc. Class B* | | | 56,249 | | | | 11,149,677 | |
BlackRock, Inc. | | | 3,611 | | | | 1,855,007 | |
Brighthouse Financial, Inc.* | | | 2,230 | | | | 130,767 | |
Capital One Financial Corporation | | | 13,686 | | | | 1,362,852 | |
Charles Schwab Corporation (The) | | | 7,924 | | | | 407,056 | |
Citigroup, Inc. | | | 389,730 | | | | 28,999,809 | |
Citizens Financial Group, Inc. | | | 149,644 | | | | 6,282,055 | |
CME Group, Inc. | | | 10,271 | | | | 1,500,080 | |
CNO Financial Group, Inc.D | | | 131,413 | | | | 3,244,587 | |
Comerica, Inc. | | | 23,535 | | | | 2,043,073 | |
Discover Financial Services | | | 38,539 | | | | 2,964,420 | |
E*TRADE Financial Corporation* | | | 19,680 | | | | 975,538 | |
Essent Group, Ltd.* | | | 13,345 | | | | 579,440 | |
Franklin Resources, Inc. | | | 7,451 | | | | 322,852 | |
Goldman Sachs Group, Inc. (The) | | | 10,757 | | | | 2,740,453 | |
Hartford Financial Services Group, Inc. (The) | | | 179,275 | | | | 10,089,597 | |
Intercontinental Exchange, Inc. | | | 150,554 | | | | 10,623,090 | |
Invesco, Ltd. | | | 123,400 | | | | 4,509,036 | |
JPMorgan Chase & Co. | | | 469,638 | | | | 50,223,088 | |
| | | | |
| 212 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
Lazard, Ltd. Class A | | | 72,092 | | | | | | | $ | 3,784,830 | |
Leucadia National Corporation | | | 146,743 | | | | | | | | 3,887,222 | |
Lincoln National Corporation | | | 68,620 | | | | | | | | 5,274,819 | |
LPL Financial Holdings, Inc. | | | 32,864 | | | | | | | | 1,877,849 | |
MetLife, Inc. | | | 83,009 | | | | | | | | 4,196,935 | |
MGIC Investment Corporation* | | | 149,805 | | | | | | | | 2,113,749 | |
Morgan Stanley | | | 86,431 | | | | | | | | 4,535,035 | |
Navient Corporation | | | 106,241 | | | | | | | | 1,415,130 | |
New York Community Bancorp, Inc. | | | 293,200 | | | | | | | | 3,817,464 | |
PNC Financial Services Group, Inc. (The) | | | 13,405 | | | | | | | | 1,934,207 | |
Prudential Financial, Inc. | | | 75,470 | | | | | | | | 8,677,541 | |
Radian Group, Inc. | | | 68,197 | | | | | | | | 1,405,540 | |
Reinsurance Group of America, Inc. | | | 34,601 | | | | | | | | 5,395,334 | |
S&P Global, Inc. | | | 33,198 | | | | | | | | 5,623,741 | |
SEI Investments Co. | | | 30,976 | | | | | | | | 2,225,935 | |
State Street Corporation | | | 96,577 | | | | | | | | 9,426,881 | |
Synchrony Financial | | | 164,289 | | | | | | | | 6,343,198 | |
Synovus Financial Corporation | | | 89,560 | | | | | | | | 4,293,506 | |
TCF Financial Corporation | | | 15,323 | | | | | | | | 314,121 | |
Travelers Cos., Inc. (The) | | | 9,612 | | | | | | | | 1,303,772 | |
U.S. Bancorp | | | 47,105 | | | | | | | | 2,523,886 | |
Unum Group | | | 72,303 | | | | | | | | 3,968,712 | |
Voya Financial, Inc. | | | 90,403 | | | | | | | | 4,472,236 | |
Wells Fargo & Co. | | | 429,581 | | | | | | | | 26,062,679 | |
XL Group, Ltd. | | | 301,100 | | | | | | | | 10,586,676 | |
Zions Bancorporation | | | 171,700 | | | | | | | | 8,727,511 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 367,286,060 | |
| | | | | | | | | | | | |
Health Care — 11.7% | | | | | | | | | | | | |
Abbott Laboratories | | | 70,686 | | | | | | | | 4,034,050 | |
Aetna, Inc. | | | 7,453 | | | | | | | | 1,344,447 | |
Agilent Technologies, Inc. | | | 59,270 | | | | | | | | 3,969,312 | |
Alexion Pharmaceuticals, Inc.* | | | 3,145 | | | | | | | | 376,111 | |
Amgen, Inc. | | | 19,929 | | | | | | | | 3,465,653 | |
Anthem, Inc. | | | 50,074 | | | | | | | | 11,267,151 | |
Baxter International, Inc. | | | 118,523 | | | | | | | | 7,661,327 | |
Biogen, Inc.* | | | 2,216 | | | | | | | | 705,951 | |
Bristol-Myers Squibb Co. | | | 142,520 | | | | | | | | 8,733,626 | |
Bruker Corporation | | | 42,695 | | | | | | | | 1,465,292 | |
Cardinal Health, Inc. | | | 282,200 | | | | | | | | 17,290,394 | |
Catalent, Inc.* | | | 31,807 | | | | | | | | 1,306,632 | |
Centene Corporation* | | | 52,400 | | | | | | | | 5,286,112 | |
Cigna Corporation | | | 20,849 | | | | | | | | 4,234,223 | |
Danaher Corporation | | | 22,347 | | | | | | | | 2,074,248 | |
Eli Lilly & Co. | | | 60,064 | | | | | | | | 5,073,005 | |
Exelixis, Inc.* | | | 45,934 | | | | | | | | 1,396,394 | |
Express Scripts Holding Co.* | | | 182,775 | | | | | | | | 13,642,326 | |
Gilead Sciences, Inc. | | | 173,253 | | | | | | | | 12,411,845 | |
Haemonetics Corporation* | | | 22,704 | | | | | | | | 1,318,648 | |
HCA Healthcare, Inc.* | | | 11,675 | | | | | | | | 1,025,532 | |
Humana, Inc. | | | 15,773 | | | | | | | | 3,912,808 | |
Impax Laboratories, Inc.* | | | 142,200 | | | | | | | | 2,367,630 | |
Johnson & Johnson | | | 284,756 | | | | | | | | 39,786,108 | |
Ligand Pharmaceuticals,
Inc.D* | | | 7,911 | | | | | | | | 1,083,253 | |
McKesson Corporation | | | 11,360 | | | | | | | | 1,771,592 | |
Molina Healthcare, Inc.* | | | 31,000 | | | | | | | | 2,377,080 | |
Thermo Fisher Scientific, Inc. | | | 7,062 | | | | | | | | 1,340,933 | |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
UnitedHealth Group, Inc. | | | 47,800 | | | | | | | $ | 10,537,988 | |
Vertex Pharmaceuticals, Inc.* | | | 10,017 | | | | | | | | 1,501,148 | |
Zoetis, Inc. | | | 77,530 | | | | | | | | 5,585,261 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 178,346,080 | |
| | | | | | | | | | | | |
Industrials — 7.9% | | | | | | | | | | | | |
Caterpillar, Inc. | | | 693 | | | | | | | | 109,203 | |
CSX Corporation | | | 2,379 | | | | | | | | 130,869 | |
Cummins, Inc. | | | 26,122 | | | | | | | | 4,614,190 | |
Delta Air Lines, Inc. | | | 131,783 | | | | | | | | 7,379,848 | |
Emerson Electric Co. | | | 15,206 | | | | | | | | 1,059,706 | |
General Dynamics Corporation | | | 38,627 | | | | | | | | 7,858,663 | |
General Electric Co. | | | 1,223,386 | | | | | | | | 21,348,086 | |
Honeywell International, Inc. | | | 11,465 | | | | | | | | 1,758,272 | |
Huntington Ingalls Industries, Inc. | | | 5,548 | | | | | | | | 1,307,664 | |
Lockheed Martin Corporation | | | 2,178 | | | | | | | | 699,247 | |
ManpowerGroup, Inc. | | | 21,121 | | | | | | | | 2,663,569 | |
Masco Corporation | | | 51,777 | | | | | | | | 2,275,081 | |
Norfolk Southern Corporation | | | 46,654 | | | | | | | | 6,760,165 | |
Old Dominion Freight Line, Inc. | | | 16,888 | | | | | | | | 2,221,616 | |
Oshkosh Corporation | | | 21,518 | | | | | | | | 1,955,771 | |
Owens Corning | | | 43,408 | | | | | | | | 3,990,932 | |
Quanta Services, Inc.* | | | 61,990 | | | | | | | | 2,424,429 | |
Raytheon Co. | | | 6,390 | | | | | | | | 1,200,362 | |
Ryder System, Inc. | | | 57,407 | | | | | | | | 4,831,947 | |
Southwest Airlines Co. | | | 65,965 | | | | | | | | 4,317,409 | |
Spirit AeroSystems Holdings, Inc. Class A | | | 36,018 | | | | | | | | 3,142,570 | |
Terex CorporationD | | | 165,060 | | | | | | | | 7,959,193 | |
Textron, Inc. | | | 237,803 | | | | | | | | 13,457,272 | |
Union Pacific Corporation | | | 2,250 | | | | | | | | 301,725 | |
United Technologies Corporation | | | 130,761 | | | | | | | | 16,681,181 | |
Waste Management, Inc. | | | 3,656 | | | | | | | | 315,513 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 120,764,483 | |
| | | | | | | | | | | | |
Information Technology — 11.5% | | | | | | | | | |
Advanced Energy Industries, Inc.* | | | 13,317 | | | | | | | | 898,631 | |
Amkor Technology, Inc.* | | | 93,364 | | | | | | | | 938,308 | |
Applied Materials, Inc. | | | 63,710 | | | | | | | | 3,256,855 | |
Aspen Technology, Inc.* | | | 57,685 | | | | | | | | 3,818,747 | |
Cadence Design Systems, Inc.* | | | 87,680 | | | | | | | | 3,666,778 | |
Cisco Systems, Inc. | | | 473,200 | | | | | | | | 18,123,560 | |
Citrix Systems, Inc.* | | | 13,499 | | | | | | | | 1,187,912 | |
Corning, Inc. | | | 330,217 | | | | | | | | 10,563,642 | |
Cypress Semiconductor CorporationD | | | 661,800 | | | | | | | | 10,085,832 | |
eBay, Inc.* | | | 29,016 | | | | | | | | 1,095,064 | |
First Data Corporation
Class A* | | | 316,900 | | | | | | | | 5,295,399 | |
Hewlett Packard Enterprise Co. | | | 50,474 | | | | | | | | 724,807 | |
HP, Inc. | | | 53,325 | | | | | | | | 1,120,358 | |
Intel Corporation | | | 236,997 | | | | | | | | 10,939,781 | |
International Business Machines Corporation | | | 9,466 | | | | | | | | 1,452,274 | |
Intuit, Inc. | | | 16,596 | | | | | | | | 2,618,517 | |
Jabil, Inc. | | | 76,596 | | | | | | | | 2,010,645 | |
Lam Research Corporation | | | 5,420 | | | | | | | | 997,659 | |
Micron Technology, Inc.* | | | 49,783 | | | | | | | | 2,047,077 | |
Microsoft Corporation | | | 296,137 | | | | | | | | 25,331,559 | |
ON Semiconductor Corporation* | | | 286,123 | | | | | | | | 5,991,416 | |
| | | | |
| | See Notes to Financial Statements. | | 213 |
VALUE EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
Oracle Corporation | | | 365,895 | | | | | | | $ | 17,299,516 | |
QUALCOMM, Inc. | | | 197,365 | | | | | | | | 12,635,307 | |
Synopsys, Inc.* | | | 43,580 | | | | | | | | 3,714,759 | |
Texas Instruments, Inc. | | | 104,200 | | | | | | | | 10,882,648 | |
VeriSign, Inc.D* | | | 46,749 | | | | | | | | 5,349,955 | |
Vishay Intertechnology, Inc.D | | | 169,304 | | | | | | | | 3,513,058 | |
Western Digital Corporation | | | 126,754 | | | | | | | | 10,080,746 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 175,640,810 | |
| | | | | | | | | | | | |
Materials — 3.4% | | | | | | | | | | | | |
Air Products & Chemicals, Inc. | | | 89,455 | | | | | | | | 14,677,776 | |
Alcoa Corporation* | | | 33,062 | | | | | | | | 1,781,050 | |
Cabot Corporation | | | 40,393 | | | | | | | | 2,487,805 | |
Celanese Corporation Series A | | | 17,074 | | | | | | | | 1,828,284 | |
Chemours Co. (The) | | | 30,064 | | | | | | | | 1,505,004 | |
Domtar Corporation | | | 3,706 | | | | | | | | 183,521 | |
DowDuPont, Inc. | | | 254,198 | | | | | | | | 18,103,982 | |
Freeport-McMoRan, Inc.* | | | 374,731 | | | | | | | | 7,104,900 | |
Louisiana-Pacific Corporation* | | | 63,736 | | | | | | | | 1,673,707 | |
PPG Industries, Inc. | | | 443 | | | | | | | | 51,751 | |
Praxair, Inc. | | | 1,107 | | | | | | | | 171,231 | |
Trinseo SA | | | 30,530 | | | | | | | | 2,216,478 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 51,785,489 | |
| | | | | | | | | | | | |
Real Estate — 1.7% | | | | | | | | | | | | |
CBRE Group, Inc. Class A* | | | 139,778 | | | | | | | | 6,053,785 | |
Equity Residential REIT | | | 8,784 | | | | | | | | 560,156 | |
Hospitality Properties Trust REIT | | | 102,504 | | | | | | | | 3,059,744 | |
Jones Lang LaSalle, Inc. | | | 74,090 | | | | | | | | 11,034,224 | |
Liberty Property Trust REIT | | | 10,316 | | | | | | | | 443,691 | |
Park Hotels & Resorts, Inc. REIT | | | 79,289 | | | | | | | | 2,279,559 | |
Realogy Holdings CorporationD | | | 21,230 | | | | | | | | 562,595 | |
Ryman Hospitality Properties, Inc. REIT | | | 30,981 | | | | | | | | 2,138,309 | |
Simon Property Group, Inc. REITD | | | 1,000 | | | | | | | | 171,740 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 26,303,803 | |
| | | | | | | | | | | | |
Telecommunication Services — 3.3% | | | | | | | | | |
AT&T, Inc. | | | 615,139 | | | | | | | | 23,916,604 | |
Sprint CorporationD* | | | 23,091 | | | | | | | | 136,006 | |
Telephone & Data Systems, Inc. | | | 90,307 | | | | | | | | 2,510,535 | |
T-Mobile US, Inc.* | | | 4,652 | | | | | | | | 295,448 | |
Verizon Communications, Inc. | | | 447,328 | | | | | | | | 23,677,071 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 50,535,664 | |
| | | | | | | | | | | | |
Utilities — 3.1% | | | | | | | | | | | | |
AES Corporation | | | 924,214 | | | | | | | | 10,009,238 | |
American Electric Power Co., Inc. | | | 66,901 | | | | | | | | 4,921,907 | |
Dominion Energy, Inc. | | | 22,336 | | | | | | | | 1,810,556 | |
Duke Energy Corporation | | | 23,368 | | | | | | | | 1,965,483 | |
Edison International | | | 13,868 | | | | | | | | 877,012 | |
Entergy Corporation | | | 67,631 | | | | | | | | 5,504,487 | |
Exelon Corporation | | | 29,947 | | | | | | | | 1,180,211 | |
NextEra Energy, Inc. | | | 15,442 | | | | | | | | 2,411,886 | |
PG&E Corporation | | | 17,398 | | | | | | | | 779,952 | |
Portland General Electric Co. | | | 77,742 | | | | | | | | 3,543,480 | |
Public Service Enterprise Group, Inc. | | | 166,561 | | | | | | | | 8,577,892 | |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
Southern Co. (The) | | | 33,514 | | | | | | | $ | 1,611,688 | |
Southwest Gas Holdings, Inc.D | | | 37,727 | | | | | | | | 3,036,269 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 46,230,061 | |
| | | | | | | | | | | | |
Total Common Stocks
(Cost $1,035,179,321) | | | | | | | | | | | 1,369,148,736 | |
| | | | | | | | | | | | |
FOREIGN COMMON STOCKS — 7.7% | | | | | |
Canada — 0.2% | | | | | | | | | | | | |
Norbord, Inc. | | | 37,396 | | | | | | | | 1,264,359 | |
Valeant Pharmaceuticals International, Inc.D* | | | 80,091 | | | | | | | | 1,664,291 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,928,650 | |
| | | | | | | | | | | | |
Curacao — 0.2% | | | | | | | | | | | | |
Schlumberger, Ltd. | | | 40,618 | | | | | | | | 2,737,247 | |
| | | | | | | | | | | | |
France — 0.7% | | | | | | | | | | | | |
Sanofi ADR | | | 238,600 | | | | | | | | 10,259,800 | |
| | | | | | | | | | | | |
Ireland — 3.4% | | | | | | | | | | | | |
Adient PLCD | | | 56,865 | | | | | | | | 4,475,275 | |
Eaton Corporation PLC | | | 11,646 | | | | | | | | 920,150 | |
Jazz Pharmaceuticals PLC* | | | 9,725 | | | | | | | | 1,309,471 | |
Johnson Controls International PLC | | | 504,295 | | | | | | | | 19,218,682 | |
Mallinckrodt PLCD* | | | 45,385 | | | | | | | | 1,023,886 | |
Medtronic PLC | | | 259,541 | | | | | | | | 20,957,936 | |
Pentair PLC | | | 66,864 | | | | | | | | 4,721,936 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 52,627,336 | |
| | | | | | | | | | | | |
Israel — 0.1% | | | | | | | | | | | | |
Taro Pharmaceutical Industries, Ltd.* | | | 12,207 | | | | | | | | 1,278,195 | |
| | | | | | | | | | | | |
Netherlands — 0.6% | | | | | | | | | | | | |
Fiat Chrysler Automobiles NVD* | | | 71,933 | | | | | | | | 1,283,285 | |
LyondellBasell Industries NV Class A | | | 47,300 | | | | | | | | 5,218,136 | |
Mylan NV* | | | 55,630 | | | | | | | | 2,353,705 | |
NXP Semiconductor NV* | | | 4,622 | | | | | | | | 541,190 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 9,396,316 | |
| | | | | | | | | | | | |
Singapore — 0.3% | | | | | | | | | | | | |
Broadcom, Ltd. | | | 16,500 | | | | | | | | 4,238,850 | |
| | | | | | | | | | | | |
Switzerland — 0.1% | | | | | | | | | | | | |
Chubb, Ltd. | | | 16,308 | | | | | | | | 2,383,088 | |
| | | | | | | | | | | | |
United Kingdom — 2.1% | | | | | | | | | | | | |
BP PLC ADR | | | 338,300 | | | | | | | | 14,218,749 | |
GlaxoSmithKline PLC ADRD | | | 235,200 | | | | | | | | 8,342,544 | |
Nielsen Holdings PLCD | | | 216,100 | | | | | | | | 7,866,040 | |
TechnipFMC PLC | | | 50,000 | | | | | | | | 1,565,500 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 31,992,833 | |
| | | | | | | | | | | | |
Total Foreign Common Stocks
(Cost $118,417,925) | | | | | | | | | | | 117,842,315 | |
| | | | | | | | | | | | |
MONEY MARKET FUNDS — 2.8% | | | | | |
GuideStone Money Market Fund (Investor Class)¥ | | | 35,766,270 | | | | | | | | 35,766,270 | |
| | | | |
| 214 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | |
| | | Shares | | | Value | |
Northern Institutional Liquid Assets Portfolio§ | | | | | 7,162,311 | | | | | | | | $ 7,162,311 | |
Total Money Market Funds
(Cost $42,928,581) | | | | | | | | 42,928,581 | |
| | | |
| | | Par | | | | | | | |
U.S. TREASURY OBLIGATION — 0.1% | |
U.S. Treasury Bill 1.42%,
06/07/18W‡‡
(Cost $1,788,932) | | | | | $1,800,000 | | | | | | | | 1,788,593 | |
TOTAL INVESTMENTS — 100.4%
(Cost $1,198,314,759) | | | | 1,531,708,225 | |
Liabilities in Excess of Other
Assets — (0.4)% | | | | | | | | | | | | | (6,031,771) | |
NET ASSETS — 100.0% | | | | | | | $ | 1,525,676,454 | |
| | | | | | | | | | | | | | |
Futures Contracts outstanding at December 31, 2017:
| | | | | | | | | | | | | | | | | | | | |
Future Type | | Expiration Date | | | Open Long
(Short) Contracts | | | Notional
Market Value
of Contracts | | | Counter-
party | | | Value and
Unrealized
Appreciation
(Depreciation) | |
S&P 500® E-Mini | | | 03/2018 | | | | 297 | | | $ | 39,738,600 | | | | GSC | | | $ | 421,192 | |
| | | | | | | | | | | | | | | | | | | | |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2017, 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 | | $ | 1,369,148,736 | | | $ | 1,369,148,736 | | | $ | — | | | $ | — | |
Foreign Common Stocks | | | 117,842,315 | | | | 117,842,315 | | | | — | | | | — | |
Money Market Funds | | | 42,928,581 | | | | 42,928,581 | | | | — | | | | — | |
U.S. Treasury Obligation | | | 1,788,593 | | | | — | | | | 1,788,593 | | | | — | |
| | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | $ | 1,531,708,225 | | | $ | 1,529,919,632 | | | $ | 1,788,593 | | | $ | — | |
| | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 421,192 | | | $ | 421,192 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | $ | 421,192 | | | $ | 421,192 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
***Other financial instruments are derivative instruments, 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 preceding “Futures Contracts outstanding” disclosure.
There were no transfers between Level 1, Level 2 and Level 3 during the year ended December 31, 2017.
| | | | |
| | See Notes to Financial Statements. | | 215 |
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 outperformed its benchmark, the Russell 1000® Growth Index, for the one-year period ended December 31, 2017 (32.06% versus 30.21%). Large cap growth stocks continued to dominate market performance as the market rewarded stocks with higher price-to-earnings (PE) ratios, higher growth and lower dividend yielding names within the index. Overweight exposure to these areas benefitted benchmark-relative performance for the year. Security selection within the technology, financial services and consumer staples sectors also contributed to benchmark-relative returns during the year.
In 2017, 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 equities and would like to diversify their portfolio by adding a potentially higher return, higher risk option of equities. 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, 2017, 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.
| | | | |
| | | % | |
Information Technology | | | 38.4 | |
Health Care | | | 14.9 | |
Consumer Discretionary | | | 13.5 | |
Consumer Staples | | | 7.3 | |
Industrials | | | 7.1 | |
Foreign Common Stocks | | | 6.5 | |
Financials | | | 4.6 | |
Money Market Funds | | | 4.0 | |
Energy | | | 2.1 | |
Materials | | | 1.9 | |
Real Estate | | | 0.7 | |
U.S. Treasury Obligation | | | 0.1 | |
| | | | |
| | | 101.1 | |
| | | | |
| 216 | | See Notes to Financial Statements. | | |
Growth Equity Fund (Unaudited)
| | | | | | | | | | |
| Average Annual Total Returns as of 12/31/17 |
| | | Institutional Class | | | | Investor Class* | | | | Benchmark** |
One Year | | 32.43% | | | | 32.06% | | | | 30.21% |
Five Year | | 15.52% | | | | 15.24% | | | | 17.32% |
Ten Year | | 8.42% | | | | 8.21% | | | | 9.99% |
Since Inception | | 6.67% | | | | 6.52% | | | | 7.48% |
Inception Date | | 08/27/01 | | | | 08/27/01 | | | | |
Total Fund Operating Expenses (May 1, 2017 Prospectus as amended July 1, 2017)(1) | | 0.73% | | | | 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 for the 10-year period from December 31, 2007 to December 31, 2017, 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.
| | | | |
| | See Notes to Financial Statements. | | 217 |
| | |
GROWTH EQUITY FUND SCHEDULE OF INVESTMENTS | | December 31, 2017 |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
COMMON STOCKS — 90.5% | |
Consumer Discretionary — 13.5% | |
Amazon.com, Inc.* | | | 86,500 | | | | | | | $ | 101,159,155 | |
Charter Communications, Inc. Class A* | | | 21,232 | | | | | | | | 7,133,103 | |
Chipotle Mexican Grill, Inc.*D | | | 20,742 | | | | | | | | 5,995,060 | |
Comcast Corporation Class A | | | 308,310 | | | | | | | | 12,347,816 | |
Home Depot, Inc. (The) | | | 79,280 | | | | | | | | 15,025,938 | |
Netflix, Inc.* | | | 81,129 | | | | | | | | 15,573,523 | |
Priceline Group, Inc. (The)* | | | 11,213 | | | | | | | | 19,485,279 | |
Starbucks Corporation | | | 230,722 | | | | | | | | 13,250,364 | |
TJX Cos., Inc. (The) | | | 106,748 | | | | | | | | 8,161,952 | |
Walt Disney Co. (The) | | | 97,980 | | | | | | | | 10,533,830 | |
Yum China Holdings, Inc. | | | 397,265 | | | | | | | | 15,898,545 | |
Yum! Brands, Inc. | | | 124,442 | | | | | | | | 10,155,712 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 234,720,277 | |
| | | | | | | | | | | | |
Consumer Staples — 7.3% | |
Coca-Cola Co. (The) | | | 553,743 | | | | | | | | 25,405,729 | |
Colgate-Palmolive Co. | | | 102,490 | | | | | | | | 7,732,870 | |
Costco Wholesale Corporation | | | 98,351 | | | | | | | | 18,305,088 | |
CVS Health Corporation | | | 112,380 | | | | | | | | 8,147,550 | |
Estee Lauder Cos., Inc. (The) Class A | | | 92,172 | | | | | | | | 11,727,965 | |
McCormick & Co., Inc. (Non-Voting Shares) | | | 50,194 | | | | | | | | 5,115,271 | |
Monster Beverage Corporation* | | | 534,579 | | | | | | | | 33,833,505 | |
Procter & Gamble Co. (The) | | | 171,741 | | | | | | | | 15,779,563 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 126,047,541 | |
| | | | | | | | | | | | |
Energy — 2.1% | |
Pioneer Natural Resources Co. | | | 48,920 | | | | | | | | 8,455,822 | |
Schlumberger, Ltd. | | | 423,101 | | | | | | | | 28,512,776 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 36,968,598 | |
| | | | | | | | | | | | |
Financials — 4.6% | |
American Express Co. | | | 173,432 | | | | | | | | 17,223,532 | |
BlackRock, Inc. | | | 25,530 | | | | | | | | 13,115,016 | |
Charles Schwab Corporation (The) | | | 406,361 | | | | | | | | 20,874,765 | |
FactSet Research Systems, Inc.D | | | 49,154 | | | | | | | | 9,474,925 | |
SEI Investments Co. | | | 253,365 | | | | | | | | 18,206,809 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 78,895,047 | |
| | | | | | | | | | | | |
Health Care — 14.9% | |
Alexion Pharmaceuticals, Inc.* | | | 143,234 | | | | | | | | 17,129,354 | |
Amgen, Inc. | | | 59,902 | | | | | | | | 10,416,958 | |
Biogen, Inc.* | | | 55,530 | | | | | | | | 17,690,192 | |
BioMarin Pharmaceutical, Inc.* | | | 76,516 | | | | | | | | 6,822,932 | |
Celgene Corporation* | | | 137,600 | | | | | | | | 14,359,936 | |
Cerner Corporation* | | | 169,120 | | | | | | | | 11,396,997 | |
Danaher Corporation | | | 126,385 | | | | | | | | 11,731,056 | |
DENTSPLY SIRONA, Inc. | | | 131,510 | | | | | | | | 8,657,303 | |
DexCom, Inc.*D | | | 103,199 | | | | | | | | 5,922,591 | |
Edwards Lifesciences Corporation* | | | 110,348 | | | | | | | | 12,437,323 | |
Illumina, Inc.* | | | 46,057 | | | | | | | | 10,062,994 | |
Incyte Corporation* | | | 86,200 | | | | | | | | 8,164,002 | |
Intuitive Surgical, Inc.* | | | 34,133 | | | | | | | | 12,456,497 | |
Johnson & Johnson | | | 59,470 | | | | | | | | 8,309,148 | |
Loxo Oncology, Inc.*D | | | 37,852 | | | | | | | | 3,186,381 | |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
Regeneron Pharmaceuticals, Inc.* | | | 74,117 | | | | | | | $ | 27,865,027 | |
Thermo Fisher Scientific, Inc. | | | 101,708 | | | | | | | | 19,312,315 | |
UnitedHealth Group, Inc. | | | 67,350 | | | | | | | | 14,847,981 | |
Varian Medical Systems, Inc.* | | | 117,731 | | | | | | | | 13,085,801 | |
Zoetis, Inc. | | | 354,309 | | | | | | | | 25,524,420 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 259,379,208 | |
| | | | | | | | | | | | |
Industrials — 7.1% | |
A.O. Smith Corporation | | | 121,495 | | | | | | | | 7,445,214 | |
BWX Technologies, Inc. | | | 86,353 | | | | | | | | 5,223,493 | |
Deere & Co. | | | 103,433 | | | | | | | | 16,188,299 | |
Expeditors International of | | | | | | | | | | | | |
Washington, Inc. | | | 264,058 | | | | | | | | 17,081,912 | |
Fortive Corporation | | | 154,325 | | | | | | | | 11,165,414 | |
Honeywell International, Inc. | | | 70,210 | | | | | | | | 10,767,405 | |
Rockwell Collins, Inc. | | | 38,180 | | | | | | | | 5,177,972 | |
Roper Technologies, Inc. | | | 46,782 | | | | | | | | 12,116,538 | |
United Parcel Service, Inc. Class B | | | 192,808 | | | | | | | | 22,973,073 | |
W.W. Grainger, Inc. | | | 38,140 | | | | | | | | 9,010,575 | |
Wabtec CorporationD | | | 68,923 | | | | | | | | 5,612,400 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 122,762,295 | |
| | | | | | | | | | | | |
Information Technology — 38.4% | |
Activision Blizzard, Inc. | | | 102,200 | | | | | | | | 6,471,304 | |
Adobe Systems, Inc.* | | | 231,389 | | | | | | | | 40,548,608 | |
Akamai Technologies, Inc.* | | | 194,740 | | | | | | | | 12,665,890 | |
Alphabet, Inc. Class A* | | | 42,609 | | | | | | | | 44,884,321 | |
Alphabet, Inc. Class C* | | | 43,448 | | | | | | | | 45,463,987 | |
Amphenol Corporation Class A | | | 143,412 | | | | | | | | 12,591,574 | |
Analog Devices, Inc. | | | 29,422 | | | | | | | | 2,619,441 | |
ANSYS, Inc.* | | | 41,904 | | | | | | | | 6,184,611 | |
Apple, Inc. | | | 60,090 | | | | | | | | 10,169,031 | |
Autodesk, Inc.* | | | 187,811 | | | | | | | | 19,688,227 | |
Automatic Data Processing, Inc. | | | 44,116 | | | | | | | | 5,169,954 | |
Cisco Systems, Inc. | | | 614,349 | | | | | | | | 23,529,567 | |
CoStar Group, Inc.* | | | 23,580 | | | | | | | | 7,002,081 | |
eBay, Inc.* | | | 126,340 | | | | | | | | 4,768,072 | |
Electronic Arts, Inc.* | | | 57,805 | | | | | | | | 6,072,993 | |
Facebook, Inc. Class A* | | | 451,824 | | | | | | | | 79,728,863 | |
FleetCor Technologies, Inc.* | | | 52,826 | | | | | | | | 10,165,307 | |
Genpact, Ltd. | | | 269,559 | | | | | | | | 8,555,803 | |
Intuit, Inc. | | | 64,315 | | | | | | | | 10,147,621 | |
Microsoft Corporation | | | 431,214 | | | | | | | | 36,886,045 | |
Oracle Corporation | | | 709,931 | | | | | | | | 33,565,538 | |
Palo Alto Networks, Inc.*D | | | 121,077 | | | | | | | | 17,548,900 | |
PayPal Holdings, Inc.* | | | 315,026 | | | | | | | | 23,192,214 | |
QUALCOMM, Inc. | | | 284,026 | | | | | | | | 18,183,344 | |
Red Hat, Inc.* | | | 100,060 | | | | | | | | 12,017,206 | |
salesforce.com, Inc.* | | | 321,107 | | | | | | | | 32,826,769 | |
ServiceNow, Inc.* | | | 131,500 | | | | | | | | 17,146,285 | |
Splunk, Inc.* | | | 198,033 | | | | | | | | 16,405,054 | |
Texas Instruments, Inc. | | | 92,180 | | | | | | | | 9,627,279 | |
TiVo Corporation | | | 7 | | | | | | | | 109 | |
Visa, Inc. Class AD | | | 735,924 | | | | | | | | 83,910,054 | |
VMware, Inc. Class A*D | | | 72,860 | | | | | | | | 9,130,815 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 666,866,867 | |
| | | | | | | | | | | | |
| | | | |
| 218 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
Materials — 1.9% | | | | | |
Ecolab, Inc. | | | 156,514 | | | | | | | $ | 21,001,049 | |
Monsanto Co. | | | 49,310 | | | | | | | | 5,758,422 | |
Praxair, Inc. | | | 41,890 | | | | | | | | 6,479,545 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 33,239,016 | |
| | | | | | | | | | | | |
Real Estate — 0.7% | | | | | |
SBA Communications Corporation
REIT* | | | 72,304 | | | | | | | | 11,811,581 | |
| | | | | | | | | | | | |
Total Common Stocks
(Cost $1,161,339,100) | | | | | | | | 1,570,690,430 | |
| | | | | | | | | | | | |
FOREIGN COMMON STOCKS — 6.5% | |
China — 4.5% | | | | | |
Alibaba Group Holding, Ltd. ADR*D | | | 357,418 | | | | | | | | 61,629,586 | |
Baidu, Inc. ADR* | | | 67,200 | | | | | | | | 15,738,912 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 77,368,498 | |
| | | | | | | | | | | | |
France — 1.1% | | | | | |
Danone SA ADRD | | | 1,127,722 | | | | | | | | 18,911,898 | |
| | | | | | | | | | | | |
Netherlands — 0.3% | | | | | |
NXP Semiconductor NV* | | | 49,534 | | | | | | | | 5,799,936 | |
| | | | | | | | | | | | |
Switzerland — 0.6% | | | | | |
Novartis AG ADR | | | 128,645 | | | | | | | | 10,801,034 | |
| | | | | | | | | | | | |
Total Foreign Common Stocks
(Cost $76,753,295) | | | | | | | | 112,881,366 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
MONEY MARKET FUNDS — 4.0% | | | | | |
GuideStone Money Market Fund (Investor Class)¥ | | | 51,855,713 | | | | | | | $ | 51,855,713 | |
Northern Institutional Liquid Assets Portfolio§ | | | 16,381,945 | | | | | | | | 16,381,945 | |
| | | | | | | | | | | | |
Total Money Market Funds
(Cost $68,237,658) | | | | | | | | 68,237,658 | |
| | | | | | | | | | | | |
| | | Par | | | | | | | |
U.S. TREASURY OBLIGATION — 0.1% | |
U.S. Treasury Bill 1.42%,
06/07/18W‡‡ | | | | | | | | | |
(Cost $1,987,702) | | $ | 2,000,000 | | | | | | | | 1,987,325 | |
| | | | | | | | | | | | |
TOTAL INVESTMENTS — 101.1%
(Cost $1,308,317,755) | | | | 1,753,796,779 | |
Liabilities in Excess of Other
Assets — (1.1)% | | | | (18,259,743 | ) |
| | | | | | | | | | | | |
NET ASSETS — 100.0% | | | | | | | $ | 1,735,537,036 | |
| | | | | | | | | | | | |
Futures Contracts outstanding at December 31, 2017:
| | | | | | | | | | | | | | | | |
Future Type | | Expiration Date | | Open Long
(Short) Contracts | | Notional
Market Value
of Contracts | | | Counterparty | | | Value and
Unrealized
Appreciation
(Depreciation) | |
S&P 500® E-Mini | | 03/2018 | | 366 | | | $48,970,800 | | | | GSC | | | | $539,066 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 219 |
GROWTH EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2017, 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 | | $ | 1,570,690,430 | | | $ | 1,570,690,430 | | | $ | — | | | $ | — | |
Foreign Common Stocks | | | 112,881,366 | | | | 112,881,366 | | | | — | | | | — | |
Money Market Funds | | | 68,237,658 | | | | 68,237,658 | | | | — | | | | — | |
U.S. Treasury Obligation | | | 1,987,325 | | | | — | | | | 1,987,325 | | | | — | |
| | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | $ | 1,753,796,779 | | | $ | 1,751,809,454 | | | $ | 1,987,325 | | | $ | — | |
| | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 539,066 | | | $ | 539,066 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | $ | 539,066 | | | $ | 539,066 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
*** Other financial instruments are derivative instruments, 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 preceding “Futures Contracts outstanding” disclosure.
There were no transfers between Level 1, Level 2 and Level 3 during the year ended December 31, 2017.
| | | | |
| 220 | | See Notes to Financial Statements. | | |
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, 2017 (12.67% versus 14.65%). Small cap growth stocks significantly outperformed small cap value stocks during a year when the market rewarded stocks with higher beta, higher price-to-earnings (PE) ratios, lower dividend yields and higher quality names within the index. 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. Underweight exposure and security selection within the healthcare sector detracted value during the period. Overweight exposure to the energy sector and security selection within the producer durables sector also detracted from the one-year period performance.
In 2017, 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 equities. 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, 2017, 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.
| | | | |
| | | % | |
Industrials | | | 20.4 | |
Information Technology | | | 17.4 | |
Consumer Discretionary | | | 14.1 | |
Financials | | | 13.7 | |
Money Market Funds | | | 9.0 | |
Health Care | | | 8.3 | |
Real Estate | | | 5.7 | |
Energy | | | 4.1 | |
Materials | | | 3.9 | |
Utilities | | | 2.4 | |
Foreign Common Stocks | | | 2.3 | |
Telecommunication Services | | | 1.1 | |
Consumer Staples | | | 1.0 | |
Master Limited Partnerships | | | 0.8 | |
U.S. Treasury Obligations | | | 0.2 | |
Corporate Bonds | | | — | |
| | | | |
| | | 104.4 | |
| | | | |
| | | | |
| | See Notes to Financial Statements. | | 221 |
Small Cap Equity Fund (Unaudited)
| | | | | | | | | | | | |
| Average Annual Total Returns as of 12/31/17 | | |
| | Institutional Class | | | | Investor Class* | | | | Benchmark** | | |
One Year | | 12.98% | | | | 12.67% | | | | 14.65% | | |
Five Year | | 12.51% | | | | 12.24% | | | | 14.11% | | |
Ten Year | | 8.05% | | | | 7.84% | | | | 8.70% | | |
Since Inception | | 7.86% | | | | 7.67% | | | | 8.80% | | |
Inception Date | | 08/27/01 | | | | 08/27/01 | | | | | | |
Total Fund Operating Expenses (May 1, 2017 Prospectus as amended July 1, 2017)(1) | | 0.95% | | | | 1.22% | | | | | | |
(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, 2007 to December 31, 2017, with all dividends and capital gains reinvested, with the Russell 2000® 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.
| | | | |
| 222 | | See Notes to Financial Statements. | | |
| | |
SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS | | December 31, 2017 |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
COMMON STOCKS — 92.1% | | | | | | | | | | | | |
Consumer Discretionary — 14.1% | | | | | | | | | |
Aaron’s, Inc. | | | 26,703 | | | | | | | $ | 1,064,115 | |
American Outdoor Brands CorporationD* | | | 33,736 | | | | | | | | 433,170 | |
Bright Horizons Family Solutions, Inc.* | | | 54,000 | | | | | | | | 5,076,000 | |
Cable One, Inc.D | | | 5,110 | | | | | | | | 3,594,119 | |
Carriage Services, Inc.D | | | 24,860 | | | | | | | | 639,151 | |
Cato Corporation (The) Class A | | | 8,126 | | | | | | | | 129,366 | |
Cavco Industries, Inc.* | | | 5,030 | | | | | | | | 767,578 | |
Chegg, Inc.D* | | | 163,000 | | | | | | | | 2,660,160 | |
Chico’s FAS, Inc.D | | | 77,422 | | | | | | | | 682,862 | |
Citi Trends, Inc. | | | 24,390 | | | | | | | | 645,359 | |
Dana, Inc. | | | 64,042 | | | | | | | | 2,049,984 | |
Dave & Buster’s Entertainment, Inc.D* | | | 22,000 | | | | | | | | 1,213,740 | |
Destination XL Group, Inc.D* | | | 288,351 | | | | | | | | 634,372 | |
Floor & Decor Holdings, Inc. Class AD* | | | 50,000 | | | | | | | | 2,434,000 | |
Fox Factory Holding CorporationD* | | | 35,709 | | | | | | | | 1,387,295 | |
Gannett Co., Inc. | | | 61,690 | | | | | | | | 714,987 | |
G-III Apparel Group, Ltd.D* | | | 8,860 | | | | | | | | 326,845 | |
Grand Canyon Education, Inc.* | | | 39,570 | | | | | | | | 3,542,702 | |
Gray Television, Inc.* | | | 149,517 | | | | | | | | 2,504,410 | |
Haverty Furniture Cos., Inc. | | | 22,266 | | | | | | | | 504,325 | |
International Speedway Corporation Class A | | | 27,569 | | | | | | | | 1,098,625 | |
John Wiley & Sons, Inc. Class A | | | 18,107 | | | | | | | | 1,190,535 | |
Johnson Outdoors, Inc. Class AD | | | 7,105 | | | | | | | | 441,149 | |
La Quinta Holdings, Inc.* | | | 52,436 | | | | | | | | 967,969 | |
LCI Industries | | | 26,930 | | | | | | | | 3,500,900 | |
Lear Corporation | | | 12,017 | | | | | | | | 2,122,923 | |
Libbey, Inc. | | | 43,361 | | | | | | | | 326,075 | |
Lithia Motors, Inc. Class AD | | | 12,600 | | | | | | | | 1,431,234 | |
M/I Homes, Inc.* | | | 52,610 | | | | | | | | 1,809,784 | |
Malibu Boats, Inc. Class A* | | | 60,703 | | | | | | | | 1,804,700 | |
MCBC Holdings, Inc.* | | | 53,634 | | | | | | | | 1,191,748 | |
Michael Kors Holdings, Ltd.* | | | 19,768 | | | | | | | | 1,244,396 | |
Monro, Inc.D | | | 50,350 | | | | | | | | 2,867,433 | |
Motorcar Parts of America,
Inc.D* | | | 33,970 | | | | | | | | 848,910 | |
National Vision Holdings, Inc.D* | | | 76,000 | | | | | | | | 3,086,360 | |
News Corporation Class A | | | 94,061 | | | | | | | | 1,524,729 | |
Nexstar Media Group, Inc. Class AD | | | 26,680 | | | | | | | | 2,086,376 | |
Office Depot, Inc. | | | 48,813 | | | | | | | | 172,798 | |
Ollie’s Bargain Outlet Holdings, Inc.D* | | | 22,000 | | | | | | | | 1,171,500 | |
Papa John’s International, Inc.D | | | 24,500 | | | | | | | | 1,374,695 | |
Shiloh Industries, Inc.* | | | 51,264 | | | | | | | | 420,365 | |
Shoe Carnival, Inc. | | | 23,433 | | | | | | | | 626,833 | |
Steven Madden, Ltd.* | | | 27,260 | | | | | | | | 1,273,042 | |
Stoneridge, Inc.* | | | 18,040 | | | | | | | | 412,394 | |
Strayer Education, Inc.D | | | 29,300 | | | | | | | | 2,624,694 | |
Tenneco, Inc. | | | 25,565 | | | | | | | | 1,496,575 | |
Tower International, Inc.D | | | 35,992 | | | | | | | | 1,099,556 | |
tronc, Inc.* | | | 49,092 | | | | | | | | 863,528 | |
Unifi, Inc.* | | | 31,128 | | | | | | | | 1,116,561 | |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
Universal Electronics, Inc.D* | | | 56,865 | | | | | | | $ | 2,686,871 | |
William Lyon Homes Class A* | | | 35,000 | | | | | | | | 1,017,800 | |
ZAGG, Inc.* | | | 181,781 | | | | | | | | 3,353,859 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 78,259,457 | |
| | | | | | | | | | | | |
Consumer Staples — 1.0% | | | | | | | | | | | | |
Dean Foods Co. | | | 82,836 | | | | | | | | 957,584 | |
Ingles Markets, Inc. Class A | | | 6,798 | | | | | | | | 235,211 | |
Ingredion, Inc. | | | 20,034 | | | | | | | | 2,800,753 | |
Landec CorporationD* | | | 34,039 | | | | | | | | 428,891 | |
Medifast, Inc. | | | 1,845 | | | | | | | | 128,800 | |
Sanderson Farms, Inc.D | | | 9,091 | | | | | | | | 1,261,649 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,812,888 | |
| | | | | | | | | | | | |
Energy — 4.1% | | | | | | | | | | | | |
Archrock, Inc. | | | 72,962 | | | | | | | | 766,101 | |
Callon Petroleum Co.D* | | | 89,120 | | | | | | | | 1,082,808 | |
Cloud Peak Energy, Inc.* | | | 129,809 | | | | | | | | 577,650 | |
CVR Energy, Inc.D | | | 19,178 | | | | | | | | 714,189 | |
Evolution Petroleum Corporation | | | 24,279 | | | | | | | | 166,311 | |
Exterran Corporation* | | | 29,431 | | | | | | | | 925,311 | |
Gulfport Energy Corporation* | | | 44,450 | | | | | | | | 567,182 | |
HollyFrontier Corporation | | | 8,456 | | | | | | | | 433,116 | |
Keane Group, Inc.D* | | | 69,100 | | | | | | | | 1,313,591 | |
Matador Resources Co.D* | | | 67,100 | | | | | | | | 2,088,823 | |
McDermott International, Inc.* | | | 158,813 | | | | | | | | 1,044,990 | |
Pacific Ethanol, Inc.* | | | 61,330 | | | | | | | | 279,051 | |
Par Pacific Holdings, Inc.D* | | | 63,387 | | | | | | | | 1,222,101 | |
PBF Energy, Inc. Class AD | | | 26,262 | | | | | | | | 930,988 | |
QEP Resources, Inc.* | | | 75,208 | | | | | | | | 719,741 | |
Renewable Energy Group, Inc.D* | | | 80,551 | | | | | | | | 950,502 | |
REX American Resources CorporationD* | | | 11,562 | | | | | | | | 957,218 | |
Ring Energy, Inc.D* | | | 173,135 | | | | | | | | 2,406,576 | |
RSP Permian, Inc.* | | | 30,950 | | | | | | | | 1,259,046 | |
SilverBow Resources, Inc.* | | | 12,552 | | | | | | | | 373,045 | |
Solaris Oilfield Infrastructure, Inc. Class A* | | | 60,100 | | | | | | | | 1,286,741 | |
Southwestern Energy Co.* | | | 147,719 | | | | | | | | 824,272 | |
SRC Energy, Inc.D* | | | 75,586 | | | | | | | | 644,749 | |
W&T Offshore, Inc.* | | | 184,859 | | | | | | | | 611,883 | |
World Fuel Services Corporation | | | 34,478 | | | | | | | | 970,211 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 23,116,196 | |
| | | | | | | | | | | | |
Financials — 13.7% | | | | | | | | | | | | |
American Equity Investment Life | | | | | | | | | | | | |
Holding Co. | | | 58,884 | | | | | | | | 1,809,505 | |
AMERISAFE, Inc. | | | 67,935 | | | | | | | | 4,184,796 | |
Assured Guaranty, Ltd. | | | 50,138 | | | | | | | | 1,698,174 | |
BancFirst Corporation | | | 9,340 | | | | | | | | 477,741 | |
Bancorp, Inc. (The)* | | | 108,730 | | | | | | | | 1,074,252 | |
Cadence BanCorp* | | | 82,500 | | | | | | | | 2,237,400 | |
Central Pacific Financial Corporation | | | 55,111 | | | | | | | | 1,643,961 | |
Century Bancorp, Inc. Class AD | | | 6,965 | | | | | | | | 545,011 | |
Chemical Financial Corporation | | | 41,301 | | | | | | | | 2,208,364 | |
CNO Financial Group, Inc. | | | 89,564 | | | | | | | | 2,211,335 | |
Community Bank System, Inc.D | | | 11,050 | | | | | | | | 593,938 | |
| | | | |
| | See Notes to Financial Statements. | | 223 |
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
Enova International, Inc.* | | | 39,102 | | | | | | | $ | 594,350 | |
FCB Financial Holdings, Inc. Class AD* | | | 22,000 | | | | | | | | 1,117,600 | |
Federal Agricultural Mortgage | | | | | | | | | | | | |
Corporation Class CD | | | 2,820 | | | | | | | | 220,637 | |
Financial Institutions, Inc. | | | 31,242 | | | | | | | | 971,626 | |
First Connecticut Bancorp, Inc. | | | 13,025 | | | | | | | | 340,604 | |
First Internet BancorpD | | | 2,756 | | | | | | | | 105,141 | |
FS Bancorp, Inc. | | | 8,499 | | | | | | | | 463,790 | |
Garrison Capital, Inc. | | | 11,345 | | | | | | | | 92,008 | |
Hamilton Lane, Inc. Class AD | | | 51,000 | | | | | | | | 1,804,890 | |
Hanmi Financial Corporation | | | 24,032 | | | | | | | | 729,371 | |
Heartland Financial USA, Inc. | | | 24,342 | | | | | | | | 1,305,948 | |
Heritage Commerce Corporation | | | 59,407 | | | | | | | | 910,115 | |
Heritage Financial Corporation | | | 42,123 | | | | | | | | 1,297,388 | |
Independent Bank Corporation | | | 40,708 | | | | | | | | 909,824 | |
Infinity Property & Casualty Corporation | | | 9,098 | | | | | | | | 964,388 | |
INTL. FCStone, Inc.* | | | 9,873 | | | | | | | | 419,899 | |
James River Group Holdings, Ltd.D | | | 18,000 | | | | | | | | 720,180 | |
Lazard, Ltd. Class A | | | 36,532 | | | | | | | | 1,917,930 | |
Leucadia National Corporation | | | 52,555 | | | | | | | | 1,392,182 | |
LPL Financial Holdings, Inc. | | | 25,006 | | | | | | | | 1,428,843 | |
Luther Burbank Corporation* | | | 100,000 | | | | | | | | 1,204,000 | |
Meta Financial Group, Inc.D | | | 15,800 | | | | | | | | 1,463,870 | |
MGIC Investment Corporation* | | | 42,603 | | | | | | | | 601,128 | |
National General Holdings Corporation | | | 15,240 | | | | | | | | 299,314 | |
Navient Corporation | | | 66,764 | | | | | | | | 889,297 | |
Old Second Bancorp, Inc. | | | 64,010 | | | | | | | | 873,737 | |
Oppenheimer Holdings, Inc. Class A | | | 23,509 | | | | | | | | 630,041 | |
Pacific Premier Bancorp,
Inc.D* | | | 56,915 | | | | | | | | 2,276,600 | |
Peapack Gladstone Financial CorporationD | | | 29,363 | | | | | | | | 1,028,292 | |
Pinnacle Financial Partners, Inc. | | | 17,166 | | | | | | | | 1,138,106 | |
ProAssurance Corporation | | | 55,950 | | | | | | | | 3,197,543 | |
QCR Holdings, Inc. | | | 21,024 | | | | | | | | 900,878 | |
Reinsurance Group of America, Inc. | | | 17,778 | | | | | | | | 2,772,124 | |
Republic Bancorp, Inc. Class A | | | 1,341 | | | | | | | | 50,985 | |
Riverview Bancorp, Inc.D | | | 77,068 | | | | | | | | 668,180 | |
Safeguard Scientifics, Inc.* | | | 31,933 | | | | | | | | 357,650 | |
Sierra Bancorp | | | 24,156 | | | | | | | | 641,583 | |
Solar Senior Capital, Ltd.D | | | 19,422 | | | | | | | | 344,935 | |
Southern Missouri Bancorp, Inc.D | | | 9,016 | | | | | | | | 338,911 | |
State Bank Financial CorporationD | | | 40,314 | | | | | | | | 1,202,970 | |
Synovus Financial Corporation | | | 31,461 | | | | | | | | 1,508,240 | |
Texas Capital Bancshares,
Inc.D* | | | 24,080 | | | | | | | | 2,140,712 | |
Third Point Reinsurance, Ltd.* | | | 86,465 | | | | | | | | 1,266,712 | |
Torchmark Corporation | | | 2,881 | | | | | | | | 261,336 | |
TriCo Bancshares | | | 27,735 | | | | | | | | 1,050,047 | |
TrustCo Bank Corporation | | | 123,766 | | | | | | | | 1,138,647 | |
United Community Banks, Inc. | | | 62,970 | | | | | | | | 1,771,976 | |
United Community Financial Corporation | | | 61,911 | | | | | | | | 565,247 | |
United Financial Bancorp, Inc. | | | 9,325 | | | | | | | | 164,493 | |
Voya Financial, Inc. | | | 52,700 | | | | | | | | 2,607,069 | |
Waddell & Reed Financial, Inc. Class AD | | | 57,831 | | | | | | | | 1,291,945 | |
Wintrust Financial Corporation | | | 23,180 | | | | | | | | 1,909,337 | |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
WisdomTree Investments, Inc.D | | | 254,800 | | | | | | | $ | 3,197,740 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 76,144,836 | |
| | | | | | | | | | | | |
Health Care — 8.3% | | | | | | | | | | | | |
Achaogen, Inc.D* | | | 41,000 | | | | | | | | 440,340 | |
Allscripts Healthcare Solutions, Inc.* | | | 87,900 | | | | | | | | 1,278,945 | |
Amedisys, Inc.* | | | 24,400 | | | | | | | | 1,286,124 | |
American Renal Associates Holdings, Inc.D* | | | 55,100 | | | | | | | | 958,740 | |
Applied Genetic Technologies CorporationD* | | | 60,063 | | | | | | | | 216,227 | |
Avexis, Inc.D* | | | 11,150 | | | | | | | | 1,233,970 | |
Blueprint Medicines CorporationD* | | | 31,000 | | | | | | | | 2,337,710 | |
Catalent, Inc.* | | | 29,440 | | | | | | | | 1,209,395 | |
Catalyst Pharmaceuticals, Inc.* | | | 199,899 | | | | | | | | 781,605 | |
Civitas Solutions, Inc.* | | | 90,000 | | | | | | | | 1,539,000 | |
Cotiviti Holdings, Inc.D* | | | 21,800 | | | | | | | | 702,178 | |
CytomX Therapeutics, Inc.D* | | | 23,274 | | | | | | | | 491,314 | |
Eagle Pharmaceuticals, Inc.D* | | | 4,763 | | | | | | | | 254,439 | |
Emergent BioSolutions, Inc.* | | | 59,010 | | | | | | | | 2,742,195 | |
Enanta Pharmaceuticals, Inc.* | | | 12,694 | | | | | | | | 744,884 | |
Evolent Health, Inc. Class AD* | | | 91,200 | | | | | | | | 1,121,760 | |
Five Star Quality Care, Inc.*Y††† | | | 2,086 | | | | | | | | — | |
Globus Medical, Inc. Class AD* | | | 34,720 | | | | | | | | 1,426,992 | |
HealthEquity, Inc.D* | | | 35,200 | | | | | | | | 1,642,432 | |
Heska Corporation* | | | 15,300 | | | | | | | | 1,227,213 | |
Innoviva, Inc.D* | | | 94,024 | | | | | | | | 1,334,201 | |
Inogen, Inc.* | | | 18,400 | | | | | | | | 2,191,072 | |
Invacare CorporationD | | | 23,800 | | | | | | | | 401,030 | |
iRhythm Technologies, Inc.* | | | 36,800 | | | | | | | | 2,062,640 | |
K2M Group Holdings, Inc.* | | | 81,700 | | | | | | | | 1,470,600 | |
Masimo Corporation* | | | 13,400 | | | | | | | | 1,136,320 | |
Ophthotech Corporation* | | | 105,033 | | | | | | | | 327,703 | |
Phibro Animal Health Corporation Class A | | | 28,467 | | | | | | | | 953,645 | |
Pieris Pharmaceuticals, Inc.* | | | 80,179 | | | | | | | | 605,351 | |
PRA Health Sciences, Inc.* | | | 20,500 | | | | | | | | 1,866,935 | |
Providence Service Corporation (The)* | | | 19,508 | | | | | | | | 1,157,605 | |
Psychemedics CorporationD | | | 14,308 | | | | | | | | 294,172 | |
Radius Health, Inc.D* | | | 58,200 | | | | | | | | 1,849,014 | |
Repligen Corporation* | | | 70,300 | | | | | | | | 2,550,484 | |
RTI Surgical, Inc.* | | | 117,110 | | | | | | | | 480,151 | |
Sarepta Therapeutics, Inc.D* | | | 25,200 | | | | | | | | 1,402,128 | |
Sienna Biopharmaceuticals, Inc.D* | | | 18,700 | | | | | | | | 339,405 | |
Vanda Pharmaceuticals, Inc.D* | | | 58,258 | | | | | | | | 885,522 | |
VIVUS, Inc.D* | | | 303,935 | | | | | | | | 152,758 | |
West Pharmaceutical Services, Inc. | | | 31,590 | | | | | | | | 3,116,985 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 46,213,184 | |
| | | | | | | | | | | | |
Industrials — 20.4% | | | | | | | | | | | | |
ACCO Brands Corporation* | | | 266,277 | | | | | | | | 3,248,579 | |
Alamo Group, Inc. | | | 12,544 | | | | | | | | 1,415,841 | |
Albany International Corporation Class AD | | | 57,200 | | | | | | | | 3,514,940 | |
Allegiant Travel Co.D | | | 19,450 | | | | | | | | 3,009,887 | |
ArcBest Corporation | | | 18,570 | | | | | | | | 663,878 | |
Argan, Inc.D | | | 18,420 | | | | | | | | 828,900 | |
Astronics CorporationD* | | | 66,254 | | | | | | | | 2,747,553 | |
| | | | |
| 224 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
Atento SAD | | | 104,900 | | | | | | | $ | 1,064,735 | |
AZZ, Inc. | | | 37,977 | | | | | | | | 1,940,625 | |
Beacon Roofing Supply, Inc.* | | | 47,600 | | | | | | | | 3,034,976 | |
BMC Stock Holdings, Inc.* | | | 35,460 | | | | | | | | 897,138 | |
CAI International, Inc.* | | | 26,279 | | | | | | | | 744,221 | |
Clean Harbors, Inc.* | | | 56,100 | | | | | | | | 3,040,620 | |
Columbus McKinnon Corporation | | | 118,107 | | | | | | | | 4,721,918 | |
Commercial Vehicle Group, Inc.* | | | 75,735 | | | | | | | | 809,607 | |
Continental Building Products, Inc.D* | | | 22,784 | | | | | | | | 641,370 | |
Covenant Transportation Group, Inc. Class A* | | | 21,061 | | | | | | | | 605,083 | |
CRA International, Inc. | | | 18,436 | | | | | | | | 828,698 | |
Daseke, Inc.* | | | 80,000 | | | | | | | | 1,143,200 | |
Ducommun, Inc.* | | | 58,002 | | | | | | | | 1,650,157 | |
Dycom Industries, Inc.D* | | | 9,250 | | | | | | | | 1,030,728 | |
EMCOR Group, Inc. | | | 35,700 | | | | | | | | 2,918,475 | |
EnerSys, Inc. | | | 27,150 | | | | | | | | 1,890,454 | |
Ennis, Inc. | | | 23,021 | | | | | | | | 477,686 | |
Exponent, Inc. | | | 36,400 | | | | | | | | 2,588,040 | |
Forward Air Corporation | | | 25,708 | | | | | | | | 1,476,668 | |
FreightCar America, Inc. | | | 14,160 | | | | | | | | 241,853 | |
Global Brass & Copper Holdings, Inc. | | | 30,282 | | | | | | | | 1,002,334 | |
Goldfield Corporation (The)* | | | 11,985 | | | | | | | | 58,727 | |
Greenbrier Cos., Inc. (The) | | | 50,857 | | | | | | | | 2,710,678 | |
Healthcare Services Group, Inc. | | | 40,050 | | | | | | | | 2,111,436 | |
Heidrick & Struggles International, Inc. | | | 24,226 | | | | | | | | 594,748 | |
Herc Holdings, Inc.* | | | 9,343 | | | | | | | | 584,965 | |
Huron Consulting Group, Inc.* | | | 35,300 | | | | | | | | 1,427,885 | |
ICF International, Inc.* | | | 35,800 | | | | | | | | 1,879,500 | |
Insteel Industries, Inc.D | | | 59,476 | | | | | | | | 1,684,360 | |
Interface, Inc. | | | 49,937 | | | | | | | | 1,255,916 | |
Kforce, Inc. | | | 4,760 | | | | | | | | 120,190 | |
Korn/Ferry International | | | 33,235 | | | | | | | | 1,375,264 | |
Lydall, Inc.* | | | 32,092 | | | | | | | | 1,628,669 | |
Marten Transport, Ltd. | | | 61,511 | | | | | | | | 1,248,673 | |
Meritor, Inc.* | | | 7,967 | | | | | | | | 186,906 | |
Milacron Holdings Corporation* | | | 149,600 | | | | | | | | 2,863,344 | |
Miller Industries, Inc. | | | 27,520 | | | | | | | | 710,016 | |
Moog, Inc. Class A* | | | 21,067 | | | | | | | | 1,829,669 | |
NCI Building Systems, Inc.* | | | 52,770 | | | | | | | | 1,018,461 | |
NN, Inc.D | | | 115,970 | | | | | | | | 3,200,772 | |
Old Dominion Freight Line, Inc. | | | 4,880 | | | | | | | | 641,964 | |
On Assignment, Inc.* | | | 76,300 | | | | | | | | 4,903,801 | |
Owens Corning | | | 31,643 | | | | | | | | 2,909,257 | |
Patrick Industries, Inc.* | | | 92,566 | | | | | | | | 6,428,709 | |
Radiant Logistics, Inc.D* | | | 113,067 | | | | | | | | 520,108 | |
RBC Bearings, Inc.* | | | 14,500 | | | | | | | | 1,832,800 | |
Rexnord Corporation* | | | 72,100 | | | | | | | | 1,876,042 | |
RPX Corporation | | | 94,886 | | | | | | | | 1,275,268 | |
Rush Enterprises, Inc. Class A* | | | 6,428 | | | | | | | | 326,607 | |
Ryder System, Inc. | | | 27,687 | | | | | | | | 2,330,415 | |
Spirit Airlines, Inc.* | | | 8,450 | | | | | | | | 378,983 | |
TriNet Group, Inc.D* | | | 60,400 | | | | | | | | 2,678,136 | |
UniFirst CorporationD | | | 13,700 | | | | | | | | 2,259,130 | |
USA Truck, Inc.* | | | 35,010 | | | | | | | | 634,731 | |
Vectrus, Inc.* | | | 18,527 | | | | | | | | 571,558 | |
Viad Corporation | | | 32,200 | | | | | | | | 1,783,880 | |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
Wabash National CorporationD | | | 47,439 | | | | | | | $ | 1,029,426 | |
WageWorks, Inc.* | | | 82,250 | | | | | | | | 5,099,500 | |
Watts Water Technologies, Inc. Class A | | | 20,000 | | | | | | | | 1,519,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 113,667,658 | |
| | | | | | | | | | | | |
Information Technology — 17.4% | | | | | | | | | |
2U, Inc.D* | | | 62,600 | | | | | | | | 4,038,326 | |
ACI Worldwide, Inc.* | | | 65,900 | | | | | | | | 1,493,953 | |
Acxiom Corporation* | | | 63,600 | | | | | | | | 1,752,816 | |
Alpha & Omega Semiconductor, Ltd.* | | | 42,867 | | | | | | | | 701,304 | |
Ambarella, Inc.D* | | | 9,420 | | | | | | | | 553,425 | |
American Software, Inc. Class A | | | 26,489 | | | | | | | | 308,067 | |
Amkor Technology, Inc.* | | | 97,442 | | | | | | | | 979,292 | |
Aspen Technology, Inc.* | | | 28,772 | | | | | | | | 1,904,706 | |
Blackhawk Network Holdings, Inc.D* | | | 55,200 | | | | | | | | 1,967,880 | |
Blackline, Inc.D* | | | 53,100 | | | | | | | | 1,741,680 | |
Carbonite, Inc.D* | | | 38,400 | | | | | | | | 963,840 | |
Cision, Ltd.D* | | | 117,200 | | | | | | | | 1,391,164 | |
Cloudera, Inc.D* | | | 74,000 | | | | | | | | 1,222,480 | |
Coherent, Inc.* | | | 12,140 | | | | | | | | 3,426,151 | |
DHI Group, Inc.* | | | 282,284 | | | | | | | | 536,340 | |
Diodes, Inc.* | | | 21,070 | | | | | | | | 604,077 | |
Electro Scientific Industries, Inc.* | | | 11,418 | | | | | | | | 244,688 | |
Envestnet, Inc.* | | | 43,900 | | | | | | | | 2,188,415 | |
Exela Technologies, Inc.D* | | | 213,000 | | | | | | | | 1,096,950 | |
ExlService Holdings, Inc.* | | | 52,150 | | | | | | | | 3,147,253 | |
Fair Isaac Corporation | | | 15,750 | | | | | | | | 2,412,900 | |
Ichor Holdings, Ltd.D* | | | 20,781 | | | | | | | | 511,213 | |
Instructure, Inc.* | | | 39,700 | | | | | | | | 1,314,070 | |
InterDigital, Inc.D* | | | 40,080 | | | | | | | | 3,052,092 | |
inTEST CorporationD* | | | 48,056 | | | | | | | | 415,684 | |
j2 Global, Inc.D | | | 56,400 | | | | | | | | 4,231,692 | |
Jabil, Inc. | | | 62,189 | | | | | | | | 1,632,461 | |
Kimball Electronics, Inc.* | | | 45,187 | | | | | | | | 824,663 | |
Kulicke & Soffa Industries, Inc.* | | | 43,256 | | | | | | | | 1,052,635 | |
Littelfuse, Inc. | | | 13,400 | | | | | | | | 2,650,788 | |
MACOM Technology Solutions Holdings,
Inc.D* | | | 40,500 | | | | | | | | 1,317,870 | |
MAXIMUS, Inc. | | | 23,600 | | | | | | | | 1,689,288 | |
MicroStrategy, Inc.
Class A* | | | 2,631 | | | | | | | | 345,450 | |
MKS Instruments, Inc. | | | 95,897 | | | | | | | | 9,062,266 | |
New Relic, Inc.* | | | 32,400 | | | | | | | | 1,871,748 | |
NIC, Inc. | | | 63,900 | | | | | | | | 1,060,740 | |
Paycom Software, Inc.D* | | | 40,300 | | | | | | | | 3,237,299 | |
Pegasystems, Inc. | | | 45,700 | | | | | | | | 2,154,755 | |
Photronics, Inc.* | | | 99,363 | | | | | | | | 847,070 | |
Progress Software Corporation | | | 47,872 | | | | | | | | 2,037,911 | |
Q2 Holdings, Inc.* | | | 93,200 | | | | | | | | 3,434,420 | |
QAD, Inc. Class A | | | 13,766 | | | | | | | | 534,809 | |
RealPage, Inc.D* | | | 37,900 | | | | | | | | 1,678,970 | |
Reis, Inc.D | | | 63,538 | | | | | | | | 1,312,060 | |
Science Applications International Corporation | | | 23,800 | | | | | | | | 1,822,366 | |
Synaptics, Inc.D* | | | 14,900 | | | | | | | | 595,106 | |
Synchronoss Technologies, Inc.D* | | | 63,044 | | | | | | | | 563,613 | |
Take-Two Interactive Software, Inc.* | | | 16,960 | | | | | | | | 1,861,869 | |
TESSCO Technologies, Inc. | | | 42,689 | | | | | | | | 860,183 | |
| | | | |
| | See Notes to Financial Statements. | | 225 |
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
Tyler Technologies, Inc.* | | | 11,434 | | | | | | | $ | 2,024,390 | |
Vishay Intertechnology, Inc. | | | 102,643 | | | | | | | | 2,129,842 | |
Web.com Group, Inc.* | | | 36,283 | | | | | | | | 790,969 | |
WEX, Inc.* | | | 45,000 | | | | | | | | 6,355,350 | |
Zix Corporation* | | | 126,118 | | | | | | | | 552,397 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 96,501,746 | |
| | | | | | | | | | | | |
Materials — 3.9% | | | | | | | | | | | | |
AdvanSix, Inc.* | | | 21,763 | | | | | | | | 915,569 | |
Alcoa Corporation* | | | 7,397 | | | | | | | | 398,476 | |
Boise Cascade Co. | | | 39,609 | | | | | | | | 1,580,399 | |
Cabot Corporation | | | 15,168 | | | | | | | | 934,197 | |
Ferro Corporation* | | | 42,320 | | | | | | | | 998,329 | |
FutureFuel Corporation | | | 73,299 | | | | | | | | 1,032,783 | |
Koppers Holdings, Inc.* | | | 50,298 | | | | | | | | 2,560,168 | |
Louisiana-Pacific Corporation* | | | 48,278 | | | | | | | | 1,267,780 | |
Mercer International, Inc. | | | 74,592 | | | | | | | | 1,066,666 | |
Myers Industries, Inc. | | | 19,329 | | | | | | | | 376,916 | |
OMNOVA Solutions, Inc.* | | | 176,308 | | | | | | | | 1,763,080 | |
Orion Engineered Carbons SA | | | 44,344 | | | | | | | | 1,135,206 | |
PolyOne Corporation | | | 41,775 | | | | | | | | 1,817,212 | |
Resolute Forest Products, Inc.* | | | 64,482 | | | | | | | | 712,526 | |
Summit Materials, Inc. Class AD* | | | 42,409 | | | | | | | | 1,333,339 | |
Trinseo SA | | | 17,380 | | | | | | | | 1,261,788 | |
UFP Technologies, Inc.* | | | 15,127 | | | | | | | | 420,531 | |
Universal Stainless & Alloy Products, Inc.* | | | 55,449 | | | | | | | | 1,187,718 | |
Verso Corporation Class A* | | | 41,642 | | | | | | | | 731,650 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 21,494,333 | |
| | | | | | | | | | | | |
Real Estate — 5.7% | | | | | | | | | | | | |
Altisource Portfolio Solutions SAD* | | | 11,964 | | | | | | | | 334,992 | |
Ashford Hospitality Prime, Inc. REIT | | | 43,123 | | | | | | | | 419,587 | |
Ashford Hospitality Trust, Inc. REIT | | | 180,708 | | | | | | | | 1,216,165 | |
CoreSite Realty Corporation REITD | | | 7,698 | | | | | | | | 876,802 | |
CubeSmart REIT | | | 23,190 | | | | | | | | 670,655 | |
DiamondRock Hospitality Co. REIT | | | 158,387 | | | | | | | | 1,788,189 | |
Franklin Street Properties Corporation REIT | | | 26,740 | | | | | | | | 287,188 | |
Hersha Hospitality Trust REITD | | | 76,980 | | | | | | | | 1,339,452 | |
HFF, Inc. Class A | | | 27,300 | | | | | | | | 1,327,872 | |
Jones Lang LaSalle, Inc. | | | 14,282 | | | | | | | | 2,127,018 | |
Kennedy-Wilson Holdings, Inc.D | | | 184,925 | | | | | | | | 3,208,449 | |
Liberty Property Trust REIT | | | 39,987 | | | | | | | | 1,719,841 | |
Mack-Cali Realty Corporation REIT | | | 18,942 | | | | | | | | 408,389 | |
Marcus & Millichap, Inc.* | | | 6,583 | | | | | | | | 214,672 | |
MedEquities Realty Trust, Inc. REIT | | | 41,357 | | | | | | | | 464,025 | |
Monmouth Real Estate Investment Corporation REIT | | | 51,974 | | | | | | | | 925,137 | |
National Storage Affiliates Trust REIT | | | 53,000 | | | | | | | | 1,444,780 | |
NexPoint Residential Trust, Inc. REITD | | | 37,303 | | | | | | | | 1,042,246 | |
Park Hotels & Resorts, Inc. REIT | | | 75,677 | | | | | | | | 2,175,714 | |
Pebblebrook Hotel Trust REITD | | | 8,664 | | | | | | | | 322,041 | |
Physicians Realty Trust REIT | | | 49,440 | | | | | | | | 889,426 | |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
Rexford Industrial Realty, Inc. REIT | | | 62,876 | | | | | | | $ | 1,833,464 | |
RMR Group, Inc. (The) Class AD | | | 18,112 | | | | | | | | 1,074,041 | |
Ryman Hospitality Properties, Inc. REIT | | | 26,160 | | | | | | | | 1,805,563 | |
Williams Scotsman CorporationD* | | | 119,900 | | | | | | | | 1,522,730 | |
Xenia Hotels & Resorts, Inc. REIT | | | 93,452 | | | | | | | | 2,017,629 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 31,456,067 | |
| | | | | | | | | | | | |
Telecommunication Services — 1.1% | | | | | | | | | |
Cogent Communications Holdings, Inc. | | | 35,700 | | | | | | | | 1,617,210 | |
Shenandoah Telecommunications Co.D | | | 71,000 | | | | | | | | 2,399,800 | |
Telephone & Data Systems, Inc. | | | 18,754 | | | | | | | | 521,361 | |
Vonage Holdings Corporation* | | | 154,550 | | | | | | | | 1,571,774 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,110,145 | |
| | | | | | | | | | | | |
Utilities — 2.4% | | | | | | | | | | | | |
AES Corporation | | | 138,435 | | | | | | | | 1,499,251 | |
AquaVenture Holdings,
Ltd.D* | | | 50,000 | | | | | | | | 776,000 | |
El Paso Electric Co. | | | 21,453 | | | | | | | | 1,187,424 | |
OGE Energy Corporation | | | 3,907 | | | | | | | | 128,579 | |
Portland General Electric Co. | | | 46,645 | | | | | | | | 2,126,079 | |
Southwest Gas Holdings, Inc. | | | 24,123 | | | | | | | | 1,941,419 | |
Spire, Inc.D | | | 14,210 | | | | | | | | 1,067,882 | |
UGI Corporation | | | 49,231 | | | | | | | | 2,311,395 | |
Vectren Corporation | | | 34,841 | | | | | | | | 2,265,362 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 13,303,391 | |
| | | | | | | | | | | | |
Total Common Stocks
(Cost $419,583,643) | | | | | | | | | | | 512,079,901 | |
| | | | | | | | | | | | |
FOREIGN COMMON STOCKS — 2.3% | | | | | |
Canada — 1.1% | | | | | | | | | | | | |
Colliers International Group, Inc.D | | | 15,231 | | | | | | | | 919,191 | |
FirstService Corporation | | | 20,483 | | | | | | | | 1,432,171 | |
Hudbay Minerals, Inc.D | | | 42,698 | | | | | | | | 375,743 | |
IMAX CorporationD* | | | 70,900 | | | | | | | | 1,641,335 | |
North American Energy Partners, Inc. | | | 14,404 | | | | | | | | 71,300 | |
SunOpta, Inc.D* | | | 131,300 | | | | | | | | 1,017,575 | |
Taseko Mines, Ltd.* | | | 247,134 | | | | | | | | 575,822 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,033,137 | |
| | | | | | | | | | | | |
Curacao — 0.2% | | | | | | | | | | | | |
Orthofix International NV* | | | 25,529 | | | | | | | | 1,396,436 | |
| | | | | | | | | | | | |
France — 0.5% | | | | | | | | | | | | |
DBV Technologies SA ADR* | | | 21,000 | | | | | | | | 516,600 | |
Talend SA ADR* | | | 54,200 | | | | | | | | 2,031,416 | |
| | | | | | | | | | | 2,548,016 | |
Israel — 0.2% | | | | | | | | | | | | |
Pointer Telocation, Ltd.D* | | | 19,093 | | | | | | | | 355,130 | |
Taro Pharmaceutical Industries, Ltd.* | | | 7,964 | | | | | | | | 833,910 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,189,040 | |
| | | | | | | | | | | | |
| | | | |
| 226 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
United Kingdom — 0.3% | | | | | | | | | | | | |
OM Asset Management PLC | | | 95,271 | | | | | | | $ | 1,595,789 | |
| | | | | | | | | | | | |
Total Foreign Common Stocks
(Cost $12,535,804) | | | | | | | | | | | 12,762,418 | |
| | | | | | | | | | | | |
MASTER LIMITED PARTNERSHIP — 0.8% | | | | | | | | | | | | |
Compass Diversified Holdings (Cost $3,796,996) | | | 252,115 | | | | | | | | 4,273,349 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | Par | | | | | | | |
CORPORATE BONDS — 0.0% | | | | | | | | | |
Lehman Escrow Bonds | | | | | | | | | | | | |
0.00%, 07/19/17Y†††W# | | $ | 160,000 | | | | | | | | — | |
0.00%, 12/28/17Y†††W# | | | 120,000 | | | | | | | | — | |
0.00%, 08/19/45Y†††W# | | | 50,000 | | | | | | | | — | |
0.00%, 11/29/49Y†††W# | | | 10,000 | | | | | | | | — | |
| | | | | | | | | | | | |
Total Corporate Bonds
(Cost $0) | | | | | | | | | | | — | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | Shares | | | | | | | |
MONEY MARKET FUNDS — 9.0% | | | | | | | | | |
GuideStone Money Market Fund (Investor Class)¥ | | | 24,757,614 | | | | | | | | 24,757,614 | |
Northern Institutional Liquid Assets Portfolio§ | | | 24,953,905 | | | | | | | | 24,953,905 | |
Northern Institutional U.S. Government Portfolio | | | 65,702 | | | | | | | | 65,702 | |
| | | | | | | | | | | | |
Total Money Market Funds
(Cost $49,777,221) | | | | | | | | | | | 49,777,221 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | Par | | | | | | | |
U.S. TREASURY OBLIGATION — 0.2% | | | | | |
U.S. Treasury Bill 1.42%, 06/07/18W‡‡
(Cost $1,192,621) | | $ | 1,200,000 | | | | | | | | 1,192,395 | |
| | | | | | | | | | | | |
TOTAL INVESTMENTS — 104.4%
(Cost $486,886,285) | | | | | | | | 580,085,284 | |
Liabilities in Excess of Other
Assets — (4.4)% | | | | (24,189,213 | ) |
| | | | | | | | | | | | |
NET ASSETS — 100.0% | | | | | | | | | | $ | 555,896,071 | |
| | | | | | | | | | | | |
| | | | | �� | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 227 |
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | | | | | | | | | |
| Futures Contracts outstanding at December 31, 2017: | | | | | | | | | | | | | | | | | | | | |
Future Type | | Expiration Date | | | Open Long
(Short) Contracts | | | Notional
Market Value
of Contracts | | | Counterparty | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Russell 2000 Mini Index | | | 03/2018 | | | | 322 | | | $ | 24,737,650 | | | | GSC | | | $ | 177,616 | |
| | | | | | | | | | | | | | | | | | | | |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2017, 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 | | $ | 78,259,457 | | | $ | 78,259,457 | | | $ | — | | | $ | — | |
Consumer Staples | | | 5,812,888 | | | | 5,812,888 | | | | — | | | | — | |
Energy | | | 23,116,196 | | | | 23,116,196 | | | | — | | | | — | |
Financials | | | 76,144,836 | | | | 76,144,836 | | | | — | | | | — | |
Health Care | | | 46,213,184 | | | | 46,213,184 | | | | — | | | | — | ** |
Industrials | | | 113,667,658 | | | | 113,667,658 | | | | — | | | | — | |
Information Technology | | | 96,501,746 | | | | 96,501,746 | | | | — | | | | — | |
Materials | | | 21,494,333 | | | | 21,494,333 | | | | — | | | | — | |
Real Estate | | | 31,456,067 | | | | 31,456,067 | | | | — | | | | — | |
Telecommunication Services | | | 6,110,145 | | | | 6,110,145 | | | | — | | | | — | |
Utilities | | | 13,303,391 | | | | 13,303,391 | | | | — | | | | — | |
Corporate Bonds | | | — | | | | — | | | | — | | | | — | ** |
Foreign Common Stocks | | | 12,762,418 | | | | 12,762,418 | | | | — | | | | — | |
Master Limited Partnership | | | 4,273,349 | | | | 4,273,349 | | | | — | | | | — | |
Money Market Funds | | | 49,777,221 | | | | 49,777,221 | | | | — | | | | — | |
U.S. Treasury Obligation | | | 1,192,395 | | | | — | | | | 1,192,395 | | | | — | |
| | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | $ | 580,085,284 | | | $ | 578,892,889 | | | $ | 1,192,395 | | | $ | — | |
| | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 177,616 | | | $ | 177,616 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | $ | 177,616 | | | $ | 177,616 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
** Level 3 security has zero value.
***Other financial instruments are derivative instruments, 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 preceding “Futures Contracts outstanding” disclosure.
There were no transfers between Level 1, Level 2 and Level 3 during the year ended December 31, 2017.
| | | | |
| 228 | | See Notes to Financial Statements. | | |
International Equity Index Fund (Unaudited)
Developed non-U.S. markets outperformed their U.S. counterparts in what was a strong year for both market regions. The MSCI Europe, Australasia and Far East Index (Net) (“MSCI EAFE Index”), a measure of international developed market returns, posted a 25.03% return for the one-year period ended December 31, 2017. As was generally the case globally, growth-oriented equities were dominant relative to those that are value-oriented. At the country level, Japan, the United Kingdom and France contributed the most to the index’s return, with all countries positively contributing to the index’s performance. Technology and materials were the strongest performing sectors. The weakest sector, telecommunications, still realized a double digit absolute return. Weakness in the U.S. dollar also contributed positively to the performance of the index during the year with the local return index underperforming the U.S. dollar index by 9.80%.
The Fund was passively managed and attempted to duplicate the investment composition and performance of its benchmark, the MSCI EAFE Index. The objective of the Fund is to provide investment results approximating the aggregate price and dividend performance of the securities included in the MSCI EAFE Index. (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 United States and Canada.) 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 may be excluded from the Fund’s portfolio because of social investment policies and restrictions (100% would indicate a perfect correlation). For the one-year period ended December 31, 2017, the Fund returned 24.69%; whereas, the MSCI EAFE Index returned 25.03%. The return differential was primarily a result of social restrictions and expenses of the Fund.
In 2017, 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 equities. Securities of foreign issuers may be negatively impacted by political events, economic conditions or inefficient, illiquid or unregulated markets in foreign countries, and they also may be subject to inadequate regulatory or accounting standards, which may increase investment risk. Investing in emerging markets may involve greater risks than investing in more developed foreign markets because, among other things, emerging markets often have more political and economic instability. Derivatives involve different risks from, and in some respects greater than, those associated with investing directly in securities, currencies or other instruments. Derivatives may be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in value of the underlying instruments may produce disproportionate losses to the Fund. It is possible to lose money by investing in the Fund.
At December 31, 2017, 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.
| | | | |
| | | % | |
Financials | | | 20.2 | |
Industrials | | | 14.2 | |
Consumer Discretionary | | | 10.9 | |
Health Care | | | 9.6 | |
Consumer Staples | | | 9.4 | |
Materials | | | 8.1 | |
Information Technology | | | 6.3 | |
Energy | | | 5.1 | |
Telecommunication Services | | | 4.0 | |
Money Market Funds | | | 4.0 | |
Real Estate | | | 3.7 | |
Utilities | | | 3.6 | |
Foreign Preferred Stocks | | | 0.6 | |
U.S. Treasury Obligation | | | 0.2 | |
Rights | | | — | ** |
| | | | |
| | | 99.9 | |
| | | | |
**Rounds to less than 0.005%
| | | | |
| | See Notes to Financial Statements. | | 229 |
International Equity Index Fund (Unaudited)
| | | | | | | | |
| Average Annual Total Returns as of 12/31/17 |
| | | Institutional Class* | | | | Benchmark** | | |
One Year | | 24.69% | | | | 25.03% | | |
Five Year | | N/A | | | | N/A | | |
Ten Year | | N/A | | | | N/A | | |
Since Inception | | 5.27% | | | | 5.67% | | |
Inception Date | | 06/01/15 | | | | | | |
Total Fund Operating Expenses (May 1, 2017 Prospectus as amended July 1, 2017)(1) | | 0.58% | | | | | | |
(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 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.
| | | | |
| 230 | | See Notes to Financial Statements. | | |
| | |
INTERNATIONAL EQUITY INDEX FUND SCHEDULE OF INVESTMENTS | | December 31, 2017 |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
FOREIGN COMMON STOCKS — 95.1% | | | | | |
Australia — 6.5% | | | | |
AGL Energy, Ltd. | | | 9,921 | | | | | | | $ | 188,567 | |
Alumina, Ltd.D | | | 20,465 | | | | | | | | 38,802 | |
Amcor, Ltd. | | | 13,418 | | | | | | | | 161,438 | |
AMP, Ltd. | | | 39,540 | | | | | | | | 160,117 | |
APA Group | | | 18,011 | | | | | | | | 117,062 | |
ASX, Ltd. | | | 2,561 | | | | | | | | 109,622 | |
Aurizon Holdings, Ltd. | | | 25,222 | | | | | | | | 97,610 | |
AusNet Services | | | 49,248 | | | | | | | | 69,359 | |
Australia & New Zealand Banking Group, Ltd. | | | 35,321 | | | | | | | | 792,052 | |
Bank of Queensland, Ltd. | | | 4,076 | | | | | | | | 40,453 | |
Bendigo and Adelaide Bank, Ltd.D | | | 5,305 | | | | | | | | 48,305 | |
BHP Billiton, Ltd. | | | 37,865 | | | | | | | | 873,621 | |
BlueScope Steel, Ltd. | | | 5,856 | | | | | | | | 70,228 | |
Boral, Ltd. | | | 16,052 | | | | | | | | 97,566 | |
Brambles, Ltd. | | | 18,049 | | | | | | | | 141,813 | |
Caltex Australia, Ltd. | | | 3,172 | | | | | | | | 84,272 | |
Challenger, Ltd. | | | 7,895 | | | | | | | | 86,426 | |
CIMIC Group, Ltd. | | | 1,937 | | | | | | | | 77,759 | |
Coca-Cola Amatil, Ltd. | | | 36,305 | | | | | | | | 241,063 | |
Cochlear, Ltd. | | | 717 | | | | | | | | 95,793 | |
Commonwealth Bank of Australia | | | 20,661 | | | | | | | | 1,295,141 | |
Computershare, Ltd. | | | 7,203 | | | | | | | | 91,608 | |
CSL, Ltd. | | | 5,701 | | | | | | | | 628,531 | |
Dexus REIT | | | 13,896 | | | | | | | | 105,713 | |
Domino’s Pizza Enterprises, Ltd.D | | | 1,020 | | | | | | | | 37,166 | |
Flight Centre Travel Group, Ltd. | | | 1,053 | | | | | | | | 36,348 | |
Fortescue Metals Group, Ltd. | | | 18,782 | | | | | | | | 71,515 | |
Goodman Group REIT | | | 27,480 | | | | | | | | 180,536 | |
GPT Group (The) REIT | | | 20,139 | | | | | | | | 80,296 | |
Harvey Norman Holdings, Ltd.D | | | 9,185 | | | | | | | | 29,885 | |
Healthscope, Ltd. | | | 21,042 | | | | | | | | 34,478 | |
Incitec Pivot, Ltd. | | | 17,247 | | | | | | | | 52,482 | |
Insurance Australia Group, Ltd. | | | 29,869 | | | | | | | | 168,730 | |
Lend Lease Group | | | 7,738 | | | | | | | | 98,714 | |
Macquarie Group, Ltd. | | | 3,969 | | | | | | | | 308,535 | |
Medibank Pvt., Ltd. | | | 33,732 | | | | | | | | 86,591 | |
Mirvac Group REIT | | | 50,361 | | | | | | | | 92,341 | |
National Australia Bank, Ltd. | | | 31,669 | | | | | | | | 730,667 | |
Newcrest Mining, Ltd. | | | 8,925 | | | | | | | | 158,912 | |
Orica, Ltd. | | | 4,853 | | | | | | | | 68,537 | |
Origin Energy, Ltd.* | | | 21,981 | | | | | | | | 161,559 | |
QBE Insurance Group, Ltd. | | | 15,735 | | | | | | | | 131,121 | |
Ramsay Health Care, Ltd. | | | 1,607 | | | | | | | | 87,921 | |
REA Group, Ltd. | | | 1,108 | | | | | | | | 66,265 | |
Rio Tinto, Ltd. | | | 4,423 | | | | | | | | 261,624 | |
Santos, Ltd.* | | | 23,166 | | | | | | | | 98,510 | |
Scentre Group REIT | | | 65,680 | | | | | | | | 214,724 | |
SEEK, Ltd. | | | 3,958 | | | | | | | | 58,707 | |
Sonic Healthcare, Ltd. | | | 5,071 | | | | | | | | 90,449 | |
South32, Ltd. | | | 58,584 | | | | | | | | 159,529 | |
Stockland REIT | | | 27,645 | | | | | | | | 96,634 | |
Suncorp Group, Ltd. | | | 15,116 | | | | | | | | 163,468 | |
Sydney Airport | | | 13,845 | | | | | | | | 76,158 | |
Telstra Corporation, Ltd. | | | 51,978 | | | | | | | | 147,218 | |
TPG Telecom, Ltd.D | | | 4,589 | | | | | | | | 23,524 | |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
Transurban Group | | | 27,666 | | | | | | | $ | 268,319 | |
Vicinity Centres REIT | | | 48,069 | | | | | | | | 102,016 | |
Wesfarmers, Ltd. | | | 19,647 | | | | | | | | 680,940 | |
Westfield Corporation REIT | | | 22,412 | | | | | | | | 165,951 | |
Westpac Banking Corporation | | | 39,976 | | | | | | | | 977,847 | |
Woodside Petroleum, Ltd. | | | 10,117 | | | | | | | | 261,127 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 12,242,265 | |
| | | | | | | | | | | | |
Austria — 0.2% | | | | | |
ANDRITZ AG | | | 720 | | | | | | | | 40,676 | |
Erste Group Bank AG* | | | 3,328 | | | | | | | | 144,171 | |
OMV AG | | | 1,954 | | | | | | | | 123,860 | |
Raiffeisen Bank International AG* | | | 1,472 | | | | | | | | 53,339 | |
voestalpine AG | | | 671 | | | | | | | | 40,130 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 402,176 | |
| | | | | | | | | | | | |
Belgium — 0.8% | | | | | |
Ageas | | | 2,844 | | | | | | | | 138,935 | |
Colruyt SA | | | 1,898 | | | | | | | | 98,744 | |
Groupe Bruxelles Lambert SA | | | 2,113 | | | | | | | | 228,150 | |
KBC Groep NV | | | 3,232 | | | | | | | | 275,758 | |
Proximus SADP | | | 2,723 | | | | | | | | 89,358 | |
Solvay SA | | | 1,545 | | | | | | | | 214,852 | |
Telenet Group Holding NV* | | | 1,213 | | | | | | | | 84,545 | |
UCB SA | | | 3,028 | | | | | | | | 240,442 | |
Umicore SA | | | 2,666 | | | | | | | | 126,209 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,496,993 | |
| | | | | | | | | | | | |
Denmark — 1.7% | | | | | |
AP Moeller - Maersk A/S Class A | | | 78 | | | | | | | | 130,237 | |
AP Moeller - Maersk A/S Class B | | | 60 | | | | | | | | 104,824 | |
Chr. Hansen Holding A/SD | | | 3,316 | | | | | | | | 311,040 | |
Coloplast A/S Class B | | | 2,241 | | | | | | | | 178,241 | |
Danske Bank A/S | | | 11,314 | | | | | | | | 440,547 | |
DSV A/S | | | 2,874 | | | | | | | | 226,318 | |
Genmab A/S* | | | 912 | | | | | | | | 151,248 | |
H Lundbeck A/S | | | 1,506 | | | | | | | | 76,457 | |
ISS A/S | | | 3,171 | | | | | | | | 122,809 | |
Novozymes A/S, B Shares | | | 6,119 | | | | | | | | 349,604 | |
Orsted A/S 144A | | | 3,274 | | | | | | | | 178,720 | |
Pandora A/S | | | 1,677 | | | | | | | | 182,573 | |
TDC A/S | | | 15,366 | | | | | | | | 94,429 | |
Tryg A/S | | | 3,476 | | | | | | | | 86,946 | |
VestasWind Systems A/S | | | 5,407 | | | | | | | | 373,672 | |
William Demant Holding A/S* | | | 4,113 | | | | | | | | 115,011 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,122,676 | |
| | | | | | | | | | | | |
Finland — 1.0% | | | | | |
Elisa OYJ | | | 2,673 | | | | | | | | 104,940 | |
Fortum OYJ | | | 6,738 | | | | | | | | 133,396 | |
Kone OYJ Class B | | | 3,899 | | | | | | | | 209,490 | |
Metso OYJ | | | 1,554 | | | | | | | | 53,084 | |
Neste OYJ | | | 1,549 | | | | | | | | 99,155 | |
Nokia OYJ | | | 76,564 | | | | | | | | 357,723 | |
Nokian Renkaat OYJ | | | 1,038 | | | | | | | | 47,078 | |
Orion OYJ Class B | | | 2,199 | | | | | | | | 82,004 | |
Sampo OYJ, A Shares | | | 6,925 | | | | | | | | 380,550 | |
Stora Enso OYJ, R Shares | | | 8,351 | | | | | | | | 132,464 | |
UPM-Kymmene OYJ | | | 7,209 | | | | | | | | 224,114 | |
| | | | |
| | See Notes to Financial Statements. | | 231 |
INTERNATIONAL EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
Wartsila OYJ Abp | | | 1,884 | | | | | | | $ | 118,903 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,942,901 | |
| | | | | | | | | | | | |
France — 9.7% | |
Accor SA | | | 3,183 | | | | | | | | 164,222 | |
Aeroports de Paris | | | 428 | | | | | | | | 81,395 | |
Air Liquide SA | | | 5,635 | | | | | | | | 710,259 | |
Alstom SA | | | 1,430 | | | | | | | | 59,375 | |
Arkema SA | | | 687 | | | | | | | | 83,707 | |
Atos SE | | | 867 | | | | | | | | 126,237 | |
AXA SA | | | 25,613 | | | | | | | | 760,150 | |
BioMerieux | | | 494 | | | | | | | | 44,271 | |
BNP Paribas SA | | | 13,562 | | | | | | | | 1,012,955 | |
Bollore SA | | | 12,330 | | | | | | | | 66,988 | |
Bollore SA NV* | | | 70 | | | | | | | | 382 | |
Bouygues SA | | | 2,324 | | | | | | | | 120,768 | |
Bureau Veritas SA | | | 4,705 | | | | | | | | 128,656 | |
Capgemini SE | | | 1,772 | | | | | | | | 210,253 | |
Carrefour SA | | | 7,729 | | | | | | | | 167,296 | |
Casino Guichard Perrachon SAD | | | 458 | | | | | | | | 27,784 | |
Cie de St-Gobain | | | 6,308 | | | | | | | | 347,969 | |
Cie Generale des Etablissements | | | | | | | | | | | | |
Michelin | | | 1,940 | | | | | | | | 278,278 | |
CNP Assurances | | | 2,393 | | | | | | | | 55,286 | |
Credit Agricole SA | | | 13,884 | | | | | | | | 229,890 | |
Danone SA | | | 10,924 | | | | | | | | 916,846 | |
Dassault Aviation SA | | | 24 | | | | | | | | 37,375 | |
Dassault Systemes SA | | | 1,801 | | | | | | | | 191,437 | |
Edenred | | | 3,343 | | | | | | | | 96,988 | |
Eiffage SA | | | 840 | | | | | | | | 92,059 | |
Electricite de France SAD | | | 7,377 | | | | | | | | 92,230 | |
Engie SA | | | 21,964 | | | | | | | | 377,778 | |
Essilor International Cie Generale d’Optique SA | | | 2,757 | | | | | | | | 380,253 | |
Eurazeo SA | | | 346 | | | | | | | | 31,966 | |
Eurofins Scientific SE Millicom International Cellular SA SDR | | | 243 | | | | | | | | 147,998 | |
Eutelsat Communications SA | | | 2,168 | | | | | | | | 50,192 | |
Faurecia | | | 908 | | | | | | | | 70,957 | |
Fonciere Des Regions REIT | | | 802 | | | | | | | | 90,916 | |
Gecina SA REIT | | | 693 | | | | | | | | 127,967 | |
Getlink SE | | | 6,054 | | | | | | | | 77,869 | |
Hermes International | | | 529 | | | | | | | | 283,244 | |
ICADE REIT | | | 531 | | | | | | | | 52,199 | |
Iliad SA | | | 371 | | | | | | | | 88,918 | |
Imerys SA | | | 385 | | | | | | | | 36,281 | |
Ingenico Group | | | 673 | | | | | | | | 71,875 | |
Ipsen SA | | | 876 | | | | | | | | 104,655 | |
JCDecaux SA | | | 1,071 | | | | | | | | 43,184 | |
Kering | | | 1,292 | | | | | | | | 609,231 | |
Klepierre REIT | | | 3,685 | | | | | | | | 162,112 | |
L’Oreal SA | | | 3,708 | | | | | | | | 822,851 | |
Lagardere SCA | | | 1,521 | | | | | | | | 48,782 | |
Legrand SA | | | 2,556 | | | | | | | | 196,859 | |
Natixis SA | | | 17,495 | | | | | | | | 138,459 | |
Orange SA | | | 22,877 | | | | | | | | 397,324 | |
Peugeot SA | | | 5,412 | | | | | | | | 110,099 | |
Publicis Groupe SA | | | 2,439 | | | | | | | | 165,783 | |
Renault SA | | | 2,104 | | | | | | | | 211,829 | |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
Rexel SA | | | 2,931 | | | | | | | $ | 53,173 | |
Safran SA | | | 3,803 | | | | | | | | 392,010 | |
Sanofi | | | 15,418 | | | | | | | | 1,329,174 | |
Schneider Electric SE* | | | 7,149 | | | | | | | | 607,818 | |
SCOR SE | | | 1,503 | | | | | | | | 60,494 | |
SEB SA | | | 564 | | | | | | | | 104,519 | |
SES SAD | | | 3,858 | | | | | | | | 60,224 | |
Societe BIC SA | | | 295 | | | | | | | | 32,444 | |
Societe Generale SA | | | 9,129 | | | | | | | | 471,545 | |
Sodexo SA | | | 1,234 | | | | | | | | 165,903 | |
Suez | | | 7,046 | | | | | | | | 123,980 | |
Teleperformance | | | 689 | | | | | | | | 98,749 | |
Thales SA | | | 918 | | | | | | | | 98,999 | |
TOTAL SAD | | | 30,253 | | | | | | | | 1,671,390 | |
Ubisoft Entertainment SA* | | | 754 | | | | | | | | 58,027 | |
Unibail-Rodamco SE REIT | | | 1,439 | | | | | | | | 362,583 | |
Valeo SA | | | 2,680 | | | | | | | | 200,235 | |
Veolia Environnement SA | | | 5,489 | | | | | | | | 140,117 | |
Vinci SA | | | 6,807 | | | | | | | | 695,452 | |
Vivendi SA | | | 13,522 | | | | | | | | 363,750 | |
Wendel SA | | | 398 | | | | | | | | 68,957 | |
Zodiac Aerospace | | | 2,025 | | | | | | | | 60,572 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 18,222,752 | |
| | | | | | | | | | | | |
Germany — 8.8% | |
adidas AG | | | 2,491 | | | | | | | | 499,582 | |
Allianz SE | | | 6,233 | | | | | | | | 1,432,164 | |
Axel Springer SE | | | 487 | | | | | | | | 38,057 | |
BASF SE | | | 11,630 | | | | | | | | 1,280,163 | |
Bayerische Motoren Werke AG | | | 4,221 | | | | | | | | 439,756 | |
Beiersdorf AG | | | 1,876 | | | | | | | | 220,365 | |
Brenntag AG | | | 1,403 | | | | | | | | 88,832 | |
Commerzbank AG* | | | 12,089 | | | | | | | | 181,385 | |
Continental AG | | | 1,352 | | | | | | | | 365,076 | |
Covestro AG 144A | | | 1,188 | | | | | | | | 122,629 | |
Daimler AG | | | 11,841 | | | | | | | | 1,005,886 | |
Deutsche Bank AGD | | | 26,568 | | | | | | | | 506,057 | |
Deutsche Boerse AG | | | 2,426 | | | | | | | | 281,769 | |
Deutsche Lufthansa AG | | | 3,059 | | | | | | | | 112,753 | |
Deutsche Post AG | | | 11,584 | | | | | | | | 552,488 | |
Deutsche Telekom AG | | | 42,112 | | | | | | | | 747,563 | |
Deutsche Wohnen SE | | | 4,815 | | | | | | | | 210,640 | |
Drillisch AG | | | 634 | | | | | | | | 52,359 | |
E.ON SE | | | 26,940 | | | | | | | | 292,887 | |
Evonik Industries AG | | | 1,751 | | | | | | | | 65,906 | |
Fraport AG Frankfurt Airport ServicesWorldwide | | | 412 | | | | | | | | 45,410 | |
Fresenius Medical Care AG & Co. KGaA | | | 3,248 | | | | | | | | 342,089 | |
Fresenius SE & Co. KGaA | | | 5,986 | | | | | | | | 467,352 | |
GEA Group AG* | | | 2,114 | | | | | | | | 101,485 | |
Hannover Rueck SE | | | 793 | | | | | | | | 99,810 | |
HeidelbergCement AG | | | 1,752 | | | | | | | | 189,718 | |
Henkel AG & Co KGaA | | | 1,747 | | | | | | | | 209,614 | |
HOCHTIEF AG | | | 215 | | | | | | | | 38,076 | |
HUGO BOSS AGD | | | 951 | | | | | | | | 80,947 | |
Infineon Technologies AG | | | 14,196 | | | | | | | | 388,950 | |
Innogy SE 144A | | | 2,135 | | | | | | | | 83,703 | |
| | | | |
| 232 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
K+S AG | | | 1,931 | | | | | | | $ | 48,088 | |
KION Group AG | | | 713 | | | | | | | | 61,578 | |
LANXESS AG | | | 1,208 | | | | | | | | 96,082 | |
Linde AG* | | | 2,281 | | | | | | | | 532,729 | |
Merck KGaA | | | 2,991 | | | | | | | | 322,090 | |
METRO AGD* | | | 2,082 | | | | | | | | 41,593 | |
MTU Aero Engines AG | | | 620 | | | | | | | | 111,140 | |
Muenchener Rueckversicherungs-Gesellschaft AG | | | 1,808 | | | | | | | | 392,106 | |
OSRAM Licht AG | | | 1,047 | | | | | | | | 94,130 | |
ProSiebenSat.1 Media SED | | | 2,829 | | | | | | | | 97,436 | |
RTL Group SA | | | 567 | | | | | | | | 45,629 | |
RWE AG* | | | 6,519 | | | | | | | | 132,971 | |
SAP SE | | | 12,496 | | | | | | | | 1,401,126 | |
Siemens AG | | | 9,509 | | | | | | | | 1,325,199 | |
Symrise AG | | | 1,436 | | | | | | | | 123,400 | |
Telefonica Deutschland Holding AG | | | 8,893 | | | | | | | | 44,666 | |
thyssenkrupp AG | | | 4,887 | | | | | | | | 141,989 | |
TUI AG | | | 5,007 | | | | | | | | 104,107 | |
Uniper SE | | | 2,406 | | | | | | | | 75,058 | |
United Internet AG | | | 1,502 | | | | | | | | 103,337 | |
Volkswagen AGD | | | 584 | | | | | | | | 118,210 | |
Vonovia SE | | | 6,623 | | | | | | | | 328,910 | |
Wirecard AG | | | 1,403 | | | | | | | | 156,673 | |
Zalando SED* 144A | | | 1,333 | | | | | | | | 70,558 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 16,512,276 | |
| | | | | | | | | | | | |
Hong Kong — 3.1% | |
AIA Group, Ltd. | | | 145,600 | | | | | | | | 1,242,087 | |
ASM Pacific Technology, Ltd. | | | 3,200 | | | | | | | | 44,603 | |
Bank of East Asia, Ltd. (The) | | | 12,927 | | | | | | | | 56,008 | |
BOC Hong Kong Holdings, Ltd. | | | 43,500 | | | | | | | | 220,483 | |
CK Asset Holdings, Ltd. | | | 34,000 | | | | | | | | 297,228 | |
CK Hutchison Holdings, Ltd. | | | 32,500 | | | | | | | | 408,078 | |
CK Infrastructure Holdings, Ltd. | | | 9,500 | | | | | | | | 81,651 | |
CLP Holdings, Ltd. | | | 26,000 | | | | | | | | 266,062 | |
First Pacific Co., Ltd. | | | 38,000 | | | | | | | | 25,778 | |
Hang Lung Group, Ltd. | | | 12,000 | | | | | | | | 44,158 | |
Hang Lung Properties, Ltd. | | | 26,000 | | | | | | | | 63,562 | |
Hang Seng Bank, Ltd. | | | 8,800 | | | | | | | | 218,512 | |
Henderson Land Development Co., Ltd. | | | 14,278 | | | | | | | | 94,116 | |
HK Electric Investments & HK | | | | | | | | | | | | |
Electric Investments, Ltd. 144A | | | 86,500 | | | | | | | | 79,161 | |
HKT Trust & HKT, Ltd. | | | 69,000 | | | | | | | | 87,963 | |
Hong Kong & China Gas Co., Ltd. | | | 152,421 | | | | | | | | 298,878 | |
Hong Kong Exchanges and Clearing, Ltd. | | | 14,517 | | | | | | | | 445,571 | |
Hysan Development Co., Ltd. | | | 9,000 | | | | | | | | 47,748 | |
Kerry Properties, Ltd. | | | 9,500 | | | | | | | | 42,740 | |
Li & Fung, Ltd. | | | 86,000 | | | | | | | | 47,222 | |
Link REIT | | | 27,500 | | | | | | | | 255,013 | |
MTR Corporation, Ltd. | | | 21,477 | | | | | | | | 125,901 | |
New World Development Co., Ltd.D | | | 76,854 | | | | | | | | 115,485 | |
NWS Holdings, Ltd. | | | 21,399 | | | | | | | | 38,619 | |
PCCW, Ltd. | | | 102,000 | | | | | | | | 59,272 | |
Power Assets Holdings, Ltd. | | | 17,500 | | | | | | | | 147,721 | |
Shangri-La Asia, Ltd. | | | 32,000 | | | | | | | | 72,660 | |
| | | | | | | | |
| | | Shares | | | Value | |
Sino Land Co., Ltd. | | | 41,835 | | | $ | 74,108 | |
Sun Hung Kai Properties, Ltd. | | | 19,000 | | | | 317,119 | |
Swire Pacific, Ltd. Class A | | | 6,500 | | | | 60,192 | |
Swire Properties, Ltd. | | | 13,000 | | | | 41,931 | |
Techtronic Industries Co., Ltd. | | | 17,500 | | | | 114,123 | |
WH Group, Ltd. 144A | | | 113,500 | | | | 128,131 | |
Wharf Holdings, Ltd. (The) | | | 15,000 | | | | 51,838 | |
Wharf Real Estate Investment Co., Ltd.* | | | 15,000 | | | | 99,836 | |
Wheelock & Co., Ltd. | | | 10,000 | | | | 71,421 | |
Yue Yuen Industrial Holdings, Ltd. | | | 8,000 | | | | 31,435 | |
| | | | | | | | |
| | | | | | | 5,916,414 | |
| | | | | | | | |
Ireland — 0.5% | |
Bank of Ireland Group PLC* | | | 9,604 | | | | 81,758 | |
CRH PLC | | | 9,682 | | | | 347,986 | |
DCC PLC | | | 962 | | | | 96,959 | |
James Hardie Industries PLC CDI | | | 5,216 | | | | 92,058 | |
Kerry Group PLC Class A | | | 2,819 | | | | 316,252 | |
| | | | | | | | |
| | | | | | | 935,013 | |
| | | | | | | | |
Israel — 0.5% | |
Azrieli Group | | | 1,239 | | | | 69,241 | |
Bank Hapoalim BM | | | 15,980 | | | | 117,354 | |
Bank Leumi Le-Israel BM | | | 19,282 | | | | 116,062 | |
Bezeq The Israeli Telecommunication Corporation, Ltd. | | | 62,148 | | | | 93,946 | |
Check Point Software Technologies, Ltd.* | | | 1,600 | | | | 165,792 | |
Elbit Systems, Ltd. | | | 512 | | | | 68,394 | |
Frutarom Industries, Ltd. | | | 340 | | | | 31,861 | |
Israel Chemicals, Ltd. | | | 20,530 | | | | 83,130 | |
Mizrahi Tefahot Bank, Ltd. | | | 1,129 | | | | 20,796 | |
Nice, Ltd. | | | 1,027 | | | | 93,844 | |
| | | | | | | | |
| | | | | | | 860,420 | |
| | | | | | | | |
Italy — 1.8% | |
Assicurazioni Generali SpA | | | 14,076 | | | | 256,714 | |
Atlantia SpA | | | 4,528 | | | | 142,995 | |
Enel SpA | | | 105,552 | | | | 649,697 | |
Eni SpA | | | 32,310 | | | | 534,987 | |
Intesa Sanpaolo SpA* | | | 162,649 | | | | 539,574 | |
Leonardo SpA | | | 3,992 | | | | 47,515 | |
Luxottica Group SpA | | | 2,326 | | | | 142,752 | |
Mediobanca SpA | | | 3,955 | | | | 44,892 | |
Poste Italiane SpA D 144A | | | 1,382 | | | | 10,405 | |
Prysmian SpA | | | 1,492 | | | | 48,675 | |
Recordati SpA | | | 2,880 | | | | 128,063 | |
Snam SpA | | | 19,199 | | | | 93,987 | |
Telecom Italia SpA* | | | 170,573 | | | | 142,934 | |
Tenaris SAD | | | 5,417 | | | | 85,535 | |
Terna Rete Elettrica Nazionale SpA | | | 10,305 | | | | 59,893 | |
UniCredit SpA* | | | 24,744 | | | | 462,556 | |
| | | | | | | | |
| | | | | | | 3,391,174 | |
| | | | | | | | |
Japan — 23.0% | |
ABC-Mart, Inc. | | | 100 | | | | 5,742 | |
Acom Co., Ltd.D* | | | 3,200 | | | | 13,490 | |
AEON Co., Ltd. | | | 8,000 | | | | 135,079 | |
| | | | |
| | See Notes to Financial Statements. | | 233 |
INTERNATIONAL EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
AEON Financial Service Co., Ltd. | | | 800 | | | | | | | $ | 18,631 | |
AEON Mall Co., Ltd. | | | 900 | | | | | | | | 17,605 | |
AirWater, Inc. | | | 2,000 | | | | | | | | 42,210 | |
Aisin Seiki Co., Ltd. | | | 1,900 | | | | | | | | 106,741 | |
Ajinomoto Co., Inc. | | | 9,400 | | | | | | | | 176,946 | |
Alfresa Holdings Corporation | | | 1,900 | | | | | | | | 44,635 | |
Alps Electric Co., Ltd.D | | | 2,100 | | | | | | | | 60,013 | |
Amada Holdings Co., Ltd. | | | 4,700 | | | | | | | | 63,988 | |
ANA Holdings, Inc. | | | 1,300 | | | | | | | | 54,296 | |
Aozora Bank, Ltd. | | | 500 | | | | | | | | 19,459 | |
Asahi Glass Co., Ltd. | | | 3,000 | | | | | | | | 129,931 | |
Asahi Kasei Corporation | | | 15,000 | | | | | | | | 193,499 | |
ASICS Corporation | | | 1,700 | | | | | | | | 27,097 | |
Astellas Pharma, Inc. | | | 25,400 | | | | | | | | 323,939 | |
Bandai Namco Holdings, Inc. | | | 2,400 | | | | | | | | 78,491 | |
Bank of Kyoto, Ltd. (The)D | | | 600 | | | | | | | | 31,258 | |
Benesse Holdings, Inc. | | | 900 | | | | | | | | 31,751 | |
Bridgestone Corporation | | | 7,700 | | | | | | | | 357,955 | |
Brother Industries, Ltd. | | | 2,500 | | | | | | | | 61,682 | |
Calbee, Inc.D | | | 2,100 | | | | | | | | 68,307 | |
Canon, Inc. | | | 13,400 | | | | | | | | 499,490 | |
Casio Computer Co., Ltd. | | | 2,100 | | | | | | | | 30,212 | |
Central Japan Railway Co. | | | 1,800 | | | | | | | | 322,378 | |
Chiba Bank, Ltd. (The) | | | 12,000 | | | | | | | | 99,898 | |
Chubu Electric Power Co., Inc. | | | 8,200 | | | | | | | | 101,922 | |
Chugai Pharmaceutical Co., Ltd. | | | 3,200 | | | | | | | | 163,870 | |
Chugoku Electric Power Co., Inc. (The) | | | 3,100 | | | | | | | | 33,318 | |
Coca-Cola Bottlers Japan Holdings, Inc. | | | 3,900 | | | | | | | | 142,432 | |
Concordia Financial Group, Ltd. | | | 13,500 | | | | | | | | 81,473 | |
Credit Saison Co., Ltd. | | | 2,000 | | | | | | | | 36,388 | |
CYBERDYNE, Inc.D* | | | 1,200 | | | | | | | | 20,672 | |
Dai Nippon Printing Co., Ltd. | | | 3,500 | | | | | | | | 78,061 | |
Daicel Corporation | | | 3,100 | | | | | | | | 35,271 | |
Daifuku Co., Ltd. | | | 1,200 | | | | | | | | 65,392 | |
Dai-ichi Life Holdings, Inc. | | | 12,400 | | | | | | | | 255,759 | |
Daiichi Sankyo Co., Ltd. | | | 7,000 | | | | | | | | 182,463 | |
Daikin Industries, Ltd. | | | 3,000 | | | | | | | | 355,048 | |
Daito Trust Construction Co., Ltd. | | | 800 | | | | | | | | 163,124 | |
Daiwa House Industry Co., Ltd. | | | 7,100 | | | | | | | | 272,658 | |
Daiwa House REIT Investment Corporation | | | 13 | | | | | | | | 30,886 | |
Daiwa Securities Group, Inc. | | | 19,000 | | | | | | | | 119,202 | |
DeNA Co., Ltd. | | | 1,200 | | | | | | | | 24,740 | |
Denso Corporation | | | 6,000 | | | | | | | | 360,133 | |
Dentsu, Inc. | | | 2,500 | | | | | | | | 105,946 | |
Disco Corporation | | | 300 | | | | | | | | 66,749 | |
Don Quijote Holdings Co., Ltd. | | | 1,000 | | | | | | | | 52,274 | |
East Japan Railway Co. | | | 4,300 | | | | | | | | 419,601 | |
Eisai Co., Ltd. | | | 3,800 | | | | | | | | 216,382 | |
Electric Power Development Co., Ltd. | | | 1,800 | | | | | | | | 48,485 | |
FamilyMart UNY Holdings Co., Ltd. | | | 1,100 | | | | | | | | 77,124 | |
FANUC Corporation | | | 2,300 | | | | | | | | 552,367 | |
Fast Retailing Co., Ltd. | | | 700 | | | | | | | | 279,006 | |
Fuji Electric Co., Ltd. | | | 5,000 | | | | | | | | 37,675 | |
FUJIFILM Holdings Corporation | | | 4,700 | | | | | | | | 192,088 | |
Fujitsu, Ltd. | | | 26,000 | | | | | | | | 185,225 | |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
Fukuoka Financial Group, Inc. | | | 8,000 | | | | | | | $ | 44,943 | |
Hachijuni Bank, Ltd. (The)D | | | 5,000 | | | | | | | | 28,711 | |
Hakuhodo DY Holdings, Inc. | | | 1,900 | | | | | | | | 24,670 | |
Hamamatsu Photonics KK | | | 1,200 | | | | | | | | 40,364 | |
Hankyu Hanshin Holdings, Inc. | | | 2,600 | | | | | | | | 104,531 | |
Hikari Tsushin, Inc. | | | 200 | | | | | | | | 28,755 | |
Hino Motors, Ltd. | | | 2,100 | | | | | | | | 27,211 | |
Hirose Electric Co., Ltd. | | | 300 | | | | | | | | 43,852 | |
Hisamitsu Pharmaceutical Co., Inc. | | | 900 | | | | | | | | 54,555 | |
Hitachi Chemical Co., Ltd. | | | 1,200 | | | | | | | | 30,821 | |
Hitachi Construction Machinery Co., Ltd. | | | 900 | | | | | | | | 32,709 | |
Hitachi High-Technologies Corporation | | | 600 | | | | | | | | 25,294 | |
Hitachi Metals, Ltd. | | | 2,000 | | | | | | | | 28,720 | |
Hitachi, Ltd. | | | 59,000 | | | | | | | | 459,695 | |
Honda Motor Co., Ltd. | | | 21,200 | | | | | | | | 726,642 | |
Hoshizaki Corporation | | | 600 | | | | | | | | 53,197 | |
Hoya Corporation | | | 4,400 | | | | | | | | 219,775 | |
Hulic Co., Ltd. | | | 5,100 | | | | | | | | 57,303 | |
Idemitsu Kosan Co., Ltd. | | | 1,800 | | | | | | | | 72,288 | |
IHI Corporation | | | 1,500 | | | | | | | | 49,922 | |
Iida Group Holdings Co., Ltd. | | | 2,500 | | | | | | | | 47,149 | |
Inpex Corporation | | | 10,400 | | | | | | | | 130,052 | |
Isetan Mitsukoshi Holdings, Ltd.D | | | 3,600 | | | | | | | | 44,635 | |
Isuzu Motors, Ltd. | | | 6,100 | | | | | | | | 102,158 | |
ITOCHU Corporation | | | 17,500 | | | | | | | | 326,625 | |
J. Front Retailing Co., Ltd. | | | 3,400 | | | | | | | | 64,062 | |
Japan Airlines Co., Ltd. | | | 1,200 | | | | | | | | 46,946 | |
Japan Airport Terminal Co., Ltd. | | | 400 | | | | | | | | 14,839 | |
Japan Exchange Group, Inc. | | | 6,600 | | | | | | | | 114,867 | |
Japan Post Bank Co., Ltd. | | | 3,800 | | | | | | | | 49,475 | |
Japan Post Holdings Co., Ltd.D | | | 20,400 | | | | | | | | 233,919 | |
Japan Prime Realty Investment Corporation REIT | | | 9 | | | | | | | | 28,596 | |
Japan Real Estate Investment Corporation REIT | | | 13 | | | | | | | | 61,726 | |
Japan Retail Fund Investment | | | | | | | | | | | | |
Corporation REIT | | | 40 | | | | | | | | 73,344 | |
JFE Holdings, Inc. | | | 6,600 | | | | | | | | 158,505 | |
JGC CorporationD | | | 2,000 | | | | | | | | 38,678 | |
JSR Corporation | | | 2,200 | | | | | | | | 43,307 | |
JTEKT Corporation | | | 2,600 | | | | | | | | 44,674 | |
JXTG Holdings, Inc. | | | 37,250 | | | | | | | | 240,344 | |
Kajima Corporation | | | 10,000 | | | | | | | | 96,206 | |
Kakaku.com, Inc.D | | | 1,200 | | | | | | | | 20,288 | |
Kamigumi Co., Ltd. | | | 1,000 | | | | | | | | 22,126 | |
Kaneka Corporation | | | 3,000 | | | | | | | | 27,397 | |
Kansai Electric Power Co., Inc. (The) | | | 8,700 | | | | | | | | 106,554 | |
Kansai Paint Co., Ltd. | | | 2,000 | | | | | | | | 51,972 | |
Kao Corporation | | | 6,000 | | | | | | | | 405,716 | |
Kawasaki Heavy Industries, Ltd. | | | 1,500 | | | | | | | | 52,651 | |
KDDI Corporation | | | 22,100 | | | | | | | | 550,073 | |
Keihan Holdings Co., Ltd. | | | 400 | | | | | | | | 11,786 | |
Keikyu CorporationD | | | 3,000 | | | | | | | | 57,644 | |
Keio Corporation | | | 1,400 | | | | | | | | 61,566 | |
Keisei Electric Railway Co., Ltd. | | | 1,500 | | | | | | | | 48,192 | |
Keyence Corporation | | | 1,200 | | | | | | | | 672,234 | |
| | | | |
| 234 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
Kikkoman Corporation | | | 4,000 | | | | | | | $ | 161,881 | |
Kintetsu Group Holdings Co., Ltd. | | | 1,900 | | | | | | | | 72,847 | |
Kobe Steel, Ltd.* | | | 3,500 | | | | | | | | 32,461 | |
Koito Manufacturing Co., Ltd. | | | 1,200 | | | | | | | | 84,349 | |
Komatsu, Ltd. | | | 10,800 | | | | | | | | 390,880 | |
Konami Holdings Corporation | | | 1,100 | | | | | | | | 60,528 | |
Konica Minolta, Inc. | | | 4,700 | | | | | | | | 45,217 | |
Kose Corporation | | | 400 | | | | | | | | 62,445 | |
Kubota Corporation | | | 13,200 | | | | | | | | 258,845 | |
Kuraray Co., Ltd. | | | 5,000 | | | | | | | | 94,342 | |
KuritaWater Industries, Ltd. | | | 900 | | | | | | | | 29,235 | |
Kyocera Corporation | | | 3,900 | | | | | | | | 255,200 | |
Kyowa Hakko Kirin Co., Ltd. | | | 3,000 | | | | | | | | 58,016 | |
Kyushu Electric Power Co., Inc. | | | 6,800 | | | | | | | | 71,274 | |
Kyushu Financial Group, Inc. | | | 3,700 | | | | | | | | 22,395 | |
Kyushu Railway Co. | | | 1,100 | | | | | | | | 34,120 | |
Lawson, Inc. | | | 600 | | | | | | | | 39,885 | |
LINE CorporationD* | | | 500 | | | | | | | | 20,390 | |
Lion Corporation | | | 3,300 | | | | | | | | 62,529 | |
LIXIL Group Corporation | | | 2,600 | | | | | | | | 70,379 | |
M3, Inc. | | | 3,000 | | | | | | | | 105,569 | |
Mabuchi Motor Co., Ltd. | | | 400 | | | | | | | | 21,691 | |
Makita Corporation | | | 2,900 | | | | | | | | 121,868 | |
Marubeni Corporation | | | 19,900 | | | | | | | | 144,135 | |
Marui Group Co., Ltd.D | | | 3,000 | | | | | | | | 54,928 | |
Maruichi Steel Tube, Ltd.D | | | 400 | | | | | | | | 11,715 | |
Mazda Motor Corporation | | | 6,600 | | | | | | | | 88,537 | |
McDonald’s Holdings Co. Japan, Ltd.D | | | 800 | | | | | | | | 35,181 | |
Mebuki Financial Group, Inc. | | | 9,150 | | | | | | | | 38,736 | |
Medipal Holdings Corporation | | | 2,200 | | | | | | | | 43,092 | |
MEIJI Holdings Co., Ltd. | | | 2,300 | | | | | | | | 195,758 | |
Minebea Mitsumi, Inc. | | | 4,000 | | | | | | | | 83,887 | |
MISUMI Group, Inc. | | | 2,800 | | | | | | | | 81,509 | |
Mitsubishi Chemical Holdings Corporation | | | 17,100 | | | | | | | | 187,656 | |
Mitsubishi Corporation | | | 19,300 | | | | | | | | 533,223 | |
Mitsubishi Electric Corporation | | | 24,000 | | | | | | | | 398,633 | |
Mitsubishi Estate Co., Ltd. | | | 16,000 | | | | | | | | 278,323 | |
Mitsubishi Gas Chemical Co., Inc. | | | 2,500 | | | | | | | | 71,777 | |
Mitsubishi Heavy Industries, Ltd. | | | 3,800 | | | | | | | | 141,984 | |
Mitsubishi Materials Corporation | | | 1,200 | | | | | | | | 42,707 | |
Mitsubishi Motors Corporation | | | 8,400 | | | | | | | | 60,684 | |
Mitsubishi Tanabe Pharma Corporation | | | 3,000 | | | | | | | | 62,090 | |
Mitsubishi UFJ Financial Group, Inc. | | | 145,600 | | | | | | | | 1,067,884 | |
Mitsubishi UFJ Lease & Finance Co., Ltd. | | | 4,000 | | | | | | | | 23,821 | |
Mitsui & Co., Ltd. | | | 20,400 | | | | | | | | 331,687 | |
Mitsui Chemicals, Inc. | | | 2,200 | | | | | | | | 70,779 | |
Mitsui Fudosan Co., Ltd. | | | 11,000 | | | | | | | | 246,505 | |
Mitsui OSK Lines, Ltd. | | | 1,300 | | | | | | | | 43,381 | |
Mixi, Inc. | | | 600 | | | | | | | | 26,945 | |
Mizuho Financial Group, Inc. | | | 295,300 | | | | | | | | 536,218 | |
MS&AD Insurance Group Holdings, Inc. | | | 5,400 | | | | | | | | 182,788 | |
Murata Manufacturing Co., Ltd.D | | | 2,200 | | | | | | | | 295,221 | |
Nabtesco Corporation | | | 1,000 | | | | | | | | 38,340 | |
Nagoya Railroad Co., Ltd. | | | 1,600 | | | | | | | | 40,286 | |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
NEC Corporation | | | 2,900 | | | | | | | $ | 78,243 | |
Nexon Co., Ltd.* | | | 2,200 | | | | | | | | 64,043 | |
NGK Insulators, Ltd. | | | 3,000 | | | | | | | | 56,659 | |
NGK Spark Plug Co., Ltd.D | | | 1,900 | | | | | | | | 46,187 | |
NH Foods, Ltd. | | | 4,000 | | | | | | | | 97,555 | |
Nidec Corporation | | | 2,900 | | | | | | | | 406,914 | |
Nikon Corporation | | | 3,500 | | | | | | | | 70,513 | |
Nintendo Co., Ltd. | | | 1,400 | | | | | | | | 511,791 | |
Nippon Building Fund, Inc. REIT | | | 14 | | | | | | | | 68,462 | |
Nippon Electric Glass Co., Ltd. | | | 600 | | | | | | | | 22,898 | |
Nippon Express Co., Ltd. | | | 1,000 | | | | | | | | 66,474 | |
Nippon Paint Holdings Co., Ltd. | | | 1,900 | | | | | | | | 60,115 | |
Nippon Prologis REIT, Inc. | | | 17 | | | | | | | | 35,954 | |
Nippon Steel & Sumitomo Metal Corporation | | | 9,300 | | | | | | | | 238,618 | |
Nippon Telegraph & Telephone Corporation | | | 8,800 | | | | | | | | 414,012 | |
Nippon Yusen KKD* | | | 1,700 | | | | | | | | 41,476 | |
Nissan Chemical Industries, Ltd. | | | 1,600 | | | | | | | | 63,830 | |
Nissan Motor Co., Ltd. | | | 28,000 | | | | | | | | 279,192 | |
Nisshin Seifun Group, Inc. | | | 5,500 | | | | | | | | 111,098 | |
Nissin Foods Holdings Co., Ltd. | | | 1,600 | | | | | | | | 116,867 | |
Nitori Holdings Co., Ltd. | | | 900 | | | | | | | | 128,320 | |
Nitto Denko Corporation | | | 1,900 | | | | | | | | 168,795 | |
NOK Corporation | | | 800 | | | | | | | | 18,680 | |
Nomura Holdings, Inc. | | | 41,700 | | | | | | | | 246,147 | |
Nomura Real Estate Holdings, Inc. | | | 2,000 | | | | | | | | 44,837 | |
Nomura Real Estate Master Fund, Inc. REIT | | | 37 | | | | | | | | 45,940 | |
Nomura Research Institute, Ltd. | | | 1,719 | | | | | | | | 79,943 | |
NSK, Ltd. | | | 4,700 | | | | | | | | 73,999 | |
NTT Data Corporation | | | 7,500 | | | | | | | | 89,128 | |
NTT DOCOMO, Inc. | | | 17,400 | | | | | | | | 410,929 | |
Obayashi Corporation | | | 7,300 | | | | | | | | 88,371 | |
Obic Co., Ltd. | | | 700 | | | | | | | | 51,440 | |
Odakyu Electric Railway Co., Ltd. | | | 3,000 | | | | | | | | 64,167 | |
Oji Holdings Corporation | | | 8,000 | | | | | | | | 53,250 | |
Olympus Corporation | | | 3,200 | | | | | | | | 122,689 | |
Omron Corporation | | | 2,100 | | | | | | | | 125,245 | |
Ono Pharmaceutical Co., Ltd. | | | 4,900 | | | | | | | | 114,199 | |
Oracle Corporation | | | 700 | | | | | | | | 58,025 | |
Oriental Land Co., Ltd. | | | 2,900 | | | | | | | | 264,327 | |
ORIX Corporation | | | 15,600 | | | | | | | | 263,680 | |
Osaka Gas Co., Ltd. | | | 4,600 | | | | | | | | 88,591 | |
Otsuka Corporation | | | 700 | | | | | | | | 53,676 | |
Otsuka Holdings Co., Ltd. | | | 5,500 | | | | | | | | 241,526 | |
Panasonic Corporation | | | 25,700 | | | | | | | | 376,234 | |
Park24 Co., Ltd. | | | 800 | | | | | | | | 19,149 | |
Persol Holdings Co., Ltd. | | | 2,100 | | | | | | | | 52,633 | |
Pola Orbis Holdings, Inc. | | | 1,400 | | | | | | | | 49,141 | |
Rakuten, Inc. | | | 11,300 | | | | | | | | 103,548 | |
Recruit Holdings Co., Ltd. | | | 12,800 | | | | | | | | 318,083 | |
Renesas Electronics Corporation* | | | 6,000 | | | | | | | | 69,918 | |
Resona Holdings, Inc. | | | 23,900 | | | | | | | | 142,774 | |
Ricoh Co., Ltd.D | | | 7,700 | | | | | | | | 71,550 | |
Rinnai Corporation | | | 300 | | | | | | | | 27,158 | |
Rohm Co., Ltd. | | | 1,100 | | | | | | | | 121,837 | |
Ryohin Keikaku Co., Ltd. | | | 300 | | | | | | | | 93,455 | |
| | | | |
| | See Notes to Financial Statements. | | 235 |
INTERNATIONAL EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
Santen Pharmaceutical Co., Ltd. | | | 4,300 | | | | | | | $ | 67,586 | |
SBI Holdings, Inc. | | | 2,400 | | | | | | | | 50,183 | |
Secom Co., Ltd. | | | 2,700 | | | | | | | | 203,851 | |
Seibu Holdings, Inc. | | | 2,300 | | | | | | | | 43,499 | |
Seiko Epson Corporation | | | 3,000 | | | | | | | | 70,797 | |
Sekisui Chemical Co., Ltd. | | | 5,400 | | | | | | | | 108,407 | |
Sekisui House, Ltd. | | | 6,900 | | | | | | | | 124,650 | |
Seven & i Holdings Co., Ltd. | | | 9,300 | | | | | | | | 386,527 | |
Seven Bank, Ltd.D | | | 4,800 | | | | | | | | 16,444 | |
Sharp Corporation* | | | 1,400 | | | | | | | | 48,085 | |
Shimadzu Corporation | | | 3,000 | | | | | | | | 68,214 | |
Shimamura Co., Ltd. | | | 200 | | | | | | | | 22,010 | |
Shimano, Inc. | | | 900 | | | | | | | | 126,603 | |
Shimizu Corporation | | | 6,000 | | | | | | | | 61,984 | |
Shin-Etsu Chemical Co., Ltd. | | | 4,800 | | | | | | | | 487,775 | |
Shinsei Bank, Ltd. | | | 400 | | | | | | | | 6,919 | |
Shionogi & Co., Ltd. | | | 3,700 | | | | | | | | 200,212 | |
Shiseido Co., Ltd. | | | 4,600 | | | | | | | | 222,335 | |
Shizuoka Bank, Ltd. (The)D | | | 5,000 | | | | | | | | 51,653 | |
Showa Shell Sekiyu KK | | | 2,900 | | | | | | | | 39,379 | |
SMC Corporation | | | 700 | | | | | | | | 288,138 | |
SoftBank Group Corporation | | | 10,100 | | | | | | | | 799,574 | |
Sohgo Security Services Co., Ltd. | | | 600 | | | | | | | | 32,643 | |
Sompo Holdings, Inc. | | | 4,400 | | | | | | | | 170,416 | |
Sony Corporation | | | 15,500 | | | | | | | | 699,237 | |
Sony Financial Holdings, Inc. | | | 2,000 | | | | | | | | 35,429 | |
Stanley Electric Co., Ltd. | | | 1,300 | | | | | | | | 52,785 | |
Start Today Co., Ltd. | | | 2,600 | | | | | | | | 79,033 | |
Subaru Corporation | | | 7,800 | | | | | | | | 248,035 | |
SUMCO Corporation | | | 2,800 | | | | | | | | 71,767 | |
Sumitomo Chemical Co., Ltd. | | | 19,000 | | | | | | | | 136,588 | |
Sumitomo Corporation | | | 15,400 | | | | | | | | 261,735 | |
Sumitomo Dainippon Pharma Co., Ltd. | | | 3,000 | | | | | | | | 44,571 | |
Sumitomo Electric Industries, Ltd. | | | 8,800 | | | | | | | | 148,782 | |
Sumitomo Heavy Industries, Ltd. | | | 1,200 | | | | | | | | 50,801 | |
Sumitomo Metal Mining Co., Ltd. | | | 2,500 | | | | | | | | 114,888 | |
Sumitomo Mitsui Financial Group, Inc. | | | 16,400 | | | | | | | | 708,544 | |
Sumitomo Mitsui Trust Holdings, Inc. | | | 4,300 | | | | | | | | 170,702 | |
Sumitomo Realty & Development Co., Ltd. | | | 5,000 | | | | | | | | 164,322 | |
Sumitomo Rubber Industries, Inc. | | | 2,100 | | | | | | | | 39,065 | |
Sundrug Co., Ltd. | | | 800 | | | | | | | | 37,204 | |
Suntory Beverage & Food, Ltd. | | | 5,200 | | | | | | | | 231,214 | |
Suruga Bank, Ltd. | | | 1,500 | | | | | | | | 32,177 | |
Suzuken Co., Ltd. | | | 900 | | | | | | | | 37,022 | |
Suzuki Motor Corporation | | | 3,900 | | | | | | | | 226,160 | |
Sysmex Corporation | | | 1,700 | | | | | | | | 133,827 | |
T&D Holdings, Inc. | | | 6,200 | | | | | | | | 106,034 | |
Taiheiyo Cement Corporation | | | 1,200 | | | | | | | | 51,813 | |
Taisei Corporation | | | 3,000 | | | | | | | | 149,368 | |
Taisho Pharmaceutical Holdings Co., Ltd. | | | 300 | | | | | | | | 23,963 | |
Taiyo Nippon Sanso Corporation | | | 1,200 | | | | | | | | 16,795 | |
Takashimaya Co., Ltd. | | | 3,000 | | | | | | | | 31,578 | |
Takeda Pharmaceutical Co., Ltd. | | | 9,700 | | | | | | | | 551,051 | |
TDK Corporation | | | 1,600 | | | | | | | | 127,659 | |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
Teijin, Ltd. | | | 2,600 | | | | | | | $ | 57,919 | |
Terumo Corporation | | | 3,600 | | | | | | | | 170,615 | |
THK Co., Ltd. | | | 1,000 | | | | | | | | 37,542 | |
Tobu Railway Co., Ltd. | | | 2,000 | | | | | | | | 64,611 | |
Toho Co., Ltd. | | | 1,600 | | | | | | | | 55,451 | |
Toho Gas Co., Ltd. | | | 800 | | | | | | | | 21,939 | |
Tohoku Electric Power Co., Inc. | | | 5,500 | | | | | | | | 70,339 | |
Tokio Marine Holdings, Inc. | | | 8,400 | | | | | | | | 383,265 | |
Tokyo Electric Power Co. Holdings, Inc.* | | | 16,800 | | | | | | | | 66,499 | |
Tokyo Electron, Ltd. | | | 2,000 | | | | | | | | 362,103 | |
Tokyo Gas Co., Ltd. | | | 5,400 | | | | | | | | 123,576 | |
Tokyo Tatemono Co., Ltd. | | | 2,300 | | | | | | | | 31,068 | |
Tokyu Corporation | | | 7,000 | | | | | | | | 111,702 | |
Tokyu Fudosan Holdings Corporation | | | 5,600 | | | | | | | | 40,506 | |
Toppan Printing Co., Ltd. | | | 7,000 | | | | | | | | 63,306 | |
Toray Industries, Inc. | | | 17,000 | | | | | | | | 160,306 | |
Toshiba Corporation* | | | 78,000 | | | | | | | | 219,445 | |
Tosoh Corporation | | | 3,500 | | | | | | | | 79,334 | |
TOTO, Ltd. | | | 2,000 | | | | | | | | 118,039 | |
Toyo Seikan Group Holdings, Ltd. | | | 2,300 | | | | | | | | 36,947 | |
Toyo Suisan Kaisha, Ltd. | | | 2,700 | | | | | | | | 115,380 | |
Toyoda Gosei Co., Ltd. | | | 500 | | | | | | | | 12,722 | |
Toyota Industries Corporation | | | 2,100 | | | | | | | | 134,937 | |
Toyota Motor Corporation | | | 31,316 | | | | | | | | 2,004,724 | |
Toyota Tsusho Corporation | | | 2,500 | | | | | | | | 100,621 | |
Trend Micro, Inc. | | | 1,500 | | | | | | | | 85,068 | |
Tsuruha Holdings, Inc. | | | 400 | | | | | | | | 54,386 | |
Unicharm Corporation | | | 6,800 | | | | | | | | 176,797 | |
United Urban Investment Corporation REIT | | | 28 | | | | | | | | 40,282 | |
USS Co., Ltd. | | | 2,200 | | | | | | | | 46,587 | |
West Japan Railway Co. | | | 1,900 | | | | | | | | 138,729 | |
Yahoo Japan Corporation | | | 17,200 | | | | | | | | 78,921 | |
Yakult Honsha Co., Ltd. | | | 1,500 | | | | | | | | 113,157 | |
Yamada Denki Co., Ltd. | | | 7,600 | | | | | | | | 41,887 | |
Yamaguchi Financial Group, Inc. | | | 2,000 | | | | | | | | 23,767 | |
Yamaha Corporation | | | 1,800 | | | | | | | | 66,457 | |
Yamaha Motor Co., Ltd. | | | 3,100 | | | | | | | | 101,660 | |
Yamato Holdings Co., Ltd. | | | 4,400 | | | | | | | | 88,547 | |
Yamazaki Baking Co., Ltd.D | | | 5,000 | | | | | | | | 97,493 | |
Yaskawa Electric Corporation | | | 3,100 | | | | | | | | 136,601 | |
Yokogawa Electric Corporation | | | 2,500 | | | | | | | | 47,881 | |
Yokohama Rubber Co., Ltd. (The) | | | 1,000 | | | | | | | | 24,522 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 43,285,433 | |
| | | | | | | | | | | | |
Jersey — 1.3% | | | | | | | | | | | | |
Experian PLC | | | 16,169 | | | | | | | | 357,148 | |
Ferguson PLC | | | 3,852 | | | | | | | | 277,202 | |
Glencore PLC* | | | 147,035 | | | | | | | | 774,225 | |
Randgold Resources, Ltd. | | | 1,270 | | | | | | | | 127,059 | |
Shire PLC | | | 11,828 | | | | | | | | 622,813 | |
WPP PLC | | | 19,560 | | | | | | | | 354,144 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,512,591 | |
| | | | | | | | | | | | |
Netherlands — 4.3% | | | | | | | | | | | | |
ABN AMRO Group NV CVA 144A | | | 4,659 | | | | | | | | 150,374 | |
Aegon NV | | | 21,999 | | | | | | | | 140,292 | |
| | | | |
| 236 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
AerCap Holdings NV* | | | 1,900 | | | | | | | $ | 99,959 | |
Airbus SE | | | 7,178 | | | | | | | | 714,839 | |
Akzo Nobel NV | | | 2,978 | | | | | | | | 260,912 | |
Altice NV Class AD* | | | 7,305 | | | | | | | | 76,658 | |
ArcelorMittal* | | | 7,722 | | | | | | | | 251,227 | |
ASML Holding NV | | | 4,573 | | | | | | | | 796,426 | |
BoskalisWestminster | | | 993 | | | | | | | | 37,447 | |
CNH Industrial NV | | | 11,766 | | | | | | | | 157,692 | |
EXOR NV | | | 1,420 | | | | | | | | 87,063 | |
Ferrari NV | | | 1,448 | | | | | | | | 151,934 | |
Fiat Chrysler Automobiles NV | | | 12,552 | | | | | | | | 224,552 | |
ING Groep NV | | | 47,372 | | | | | | | | 871,062 | |
Koninklijke Ahold Delhaize NV | | | 14,599 | | | | | | | | 321,167 | |
Koninklijke DSM NV | | | 2,211 | | | | | | | | 211,354 | |
Koninklijke KPN NV | | | 40,973 | | | | | | | | 142,961 | |
Koninklijke Philips NV | | | 13,358 | | | | | | | | 505,510 | |
Koninklijke Vopak NVD | | | 953 | | | | | | | | 41,816 | |
NN Group NV | | | 2,899 | | | | | | | | 125,639 | |
NXP Semiconductor NV* | | | 4,162 | | | | | | | | 487,329 | |
QIAGEN NV* | | | 4,650 | | | | | | | | 146,122 | |
Randstad Holding NV | | | 1,696 | | | | | | | | 104,271 | |
RELX NV | | | 15,283 | | | | | | | | 351,434 | |
STMicroelectronics NV | | | 7,951 | | | | | | | | 173,676 | |
Unilever NV CVA | | | 22,025 | | | | | | | | 1,240,866 | |
Wolters Kluwer NV | | | 4,696 | | | | | | | | 244,988 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,117,570 | |
| | | | | | | | | | | | |
New Zealand — 0.2% | |
Auckland International Airport, Ltd. | | | 10,774 | | | | | | | | 49,478 | |
Fisher & Paykel Healthcare Corporation, Ltd. | | | 6,808 | | | | | | | | 69,236 | |
Fletcher Building, Ltd.D | | | 7,398 | | | | | | | | 39,847 | |
Mercury NZ, Ltd. | | | 4,302 | | | | | | | | 10,275 | |
Meridian Energy, Ltd. | | | 12,874 | | | | | | | | 26,687 | |
Ryman Healthcare, Ltd. | | | 6,330 | | | | | | | | 47,508 | |
Spark New Zealand, Ltd. | | | 18,489 | | | | | | | | 47,564 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 290,595 | |
| | | | | | | | | | | | |
Norway — 0.8% | | | | | | | | | | | | |
DNB ASA | | | 10,659 | | | | | | | | 197,456 | |
Gjensidige Forsikring ASA | | | 1,151 | | | | | | | | 21,715 | |
Marine Harvest ASAD* | | | 10,772 | | | | | | | | 182,363 | |
Norsk Hydro ASA | | | 13,545 | | | | | | | | 102,859 | |
Orkla ASA | | | 25,401 | | | | | | | | 269,305 | |
Schibsted ASA, B Shares | | | 1,488 | | | | | | | | 39,508 | |
Statoil ASAD | | | 16,225 | | | | | | | | 346,213 | |
Telenor ASA | | | 10,261 | | | | | | | | 219,827 | |
Yara International ASA | | | 2,045 | | | | | | | | 93,824 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,473,070 | |
| | | | | | | | | | | | |
Papua New Guinea — 0.1% | | | | | | | | | | | | |
Oil Search, Ltd. | | | 15,218 | | | | | | | | 92,497 | |
| | | | | | | | | | | | |
Portugal — 0.1% | | | | | | | | | | | | |
EDP - Energias de Portugal SA | | | 30,694 | | | | | | | | 106,249 | |
Galp Energia SGPS SA | | | 5,042 | | | | | | | | 92,711 | |
Jeronimo Martins SGPS SA | | | 2,628 | | | | | | | | 51,066 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 250,026 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
Singapore — 1.5% | | | | | | | | | | | | |
Ascendas Real Estate Investment Trust | | | 32,500 | | | | | | | $ | 66,096 | |
CapitaLand Commercial Trust REIT | | | 41,879 | | | | | | | | 60,433 | |
CapitaLand Mall Trust REIT | | | 36,600 | | | | | | | | 58,289 | |
CapitaLand, Ltd. | | | 42,200 | | | | | | | | 111,381 | |
City Developments, Ltd. | | | 5,900 | | | | | | | | 55,098 | |
ComfortDelGro Corporation, Ltd. | | | 29,600 | | | | | | | | 43,821 | |
DBS Group Holdings, Ltd. | | | 21,612 | | | | | | | | 401,554 | |
Global Logistic Properties, Ltd. | | | 36,100 | | | | | | | | 90,962 | |
Golden Agri-Resources, Ltd. | | | 115,400 | | | | | | | | 31,925 | |
Hongkong Land Holdings, Ltd. | | | 16,600 | | | | | | | | 116,864 | |
Hutchison Port Holdings Trust Class U | | | 53,700 | | | | | | | | 22,285 | |
Jardine Cycle & Carriage, Ltd. | | | 1,111 | | | | | | | | 33,784 | |
Jardine Matheson Holdings, Ltd. | | | 2,600 | | | | | | | | 157,950 | |
Jardine Strategic Holdings, Ltd. | | | 2,500 | | | | | | | | 98,950 | |
Keppel Corporation, Ltd. | | | 17,700 | | | | | | | | 97,271 | |
Oversea-Chinese Banking Corporation, Ltd. | | | 37,462 | | | | | | | | 347,044 | |
SATS, Ltd. | | | 9,200 | | | | | | | | 35,770 | |
Sembcorp Industries, Ltd. | | | 15,900 | | | | | | | | 36,022 | |
Singapore Airlines, Ltd. | | | 5,600 | | | | | | | | 44,676 | |
Singapore Exchange, Ltd. | | | 7,800 | | | | | | | | 43,390 | |
Singapore Press Holdings, Ltd. | | | 18,400 | | | | | | | | 36,457 | |
Singapore Technologies Engineering, Ltd. | | | 16,100 | | | | | | | | 39,243 | |
Singapore Telecommunications, Ltd. | | | 112,100 | | | | | | | | 299,224 | |
StarHub, Ltd. | | | 10,300 | | | | | | | | 21,948 | |
Suntec Real Estate Investment Trust | | | 26,900 | | | | | | | | 43,243 | |
United Overseas Bank, Ltd. | | | 15,359 | | | | | | | | 303,746 | |
UOL Group, Ltd. | | | 7,561 | | | | | | | | 50,145 | |
Wilmar International, Ltd. | | | 17,100 | | | | | | | | 39,507 | |
Yangzijiang Shipbuilding Holdings, Ltd. | | | 35,300 | | | | | | | | 38,798 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,825,876 | |
| | | | | | | | | | | | |
Spain — 3.2% | | | | | | | | | | | | |
Abertis Infraestructuras SA | | | 9,296 | | | | | | | | 206,903 | |
ACS Actividades de Construccion y Servicios SA | | | 3,270 | | | | | | | | 127,985 | |
Aena SME SA 144A | | | 901 | | | | | | | | 182,700 | |
Amadeus IT Group SA | | | 5,624 | | | | | | | | 405,620 | |
Banco Bilbao Vizcaya Argentaria SA | | | 79,169 | | | | | | | | 675,575 | |
Banco de Sabadell SA | | | 55,869 | | | | | | | | 111,009 | |
Banco Santander SA | | | 196,436 | | | | | | | | 1,291,366 | |
Bankia SAD | | | 11,453 | | | | | | | | 54,789 | |
Bankinter SA | | | 2,364 | | | | | | | | 22,419 | |
CaixaBank SA | | | 40,595 | | | | | | | | 189,425 | |
Enagas SA | | | 2,285 | | | | | | | | 65,443 | |
Endesa SA | | | 3,605 | | | | | | | | 77,231 | |
Ferrovial SA | | | 6,054 | | | | | | | | 137,469 | |
Gas Natural SDG SA | | | 5,818 | | | | | | | | 134,379 | |
Grifols SA | | | 6,400 | | | | | | | | 187,561 | |
Iberdrola SA | | | 73,749 | | | | | | | | 571,631 | |
Industria de Diseno Textil SA | | | 14,320 | | | | | | | | 499,047 | |
International Consolidated Airlines Group SA | | | 9,036 | | | | | | | | 78,452 | |
| | | | |
| | See Notes to Financial Statements. | | 237 |
INTERNATIONAL EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
Mapfre SA | | | 10,729 | | | | | | | $ | 34,474 | |
Red Electrica Corporation SA | | | 6,258 | | | | | | | | 140,487 | |
Repsol SA | | | 14,465 | | | | | | | | 255,912 | |
Siemens Gamesa Renewable Energy SAD | | | 2,932 | | | | | | | | 40,210 | |
Telefonica SAD | | | 58,682 | | | | | | | | 572,078 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,062,165 | |
| | | | | | | | | | | | |
Sweden — 2.6% | | | | | | | | | | | | |
Alfa Laval AB | | | 2,935 | | | | | | | | 69,340 | |
Arjo AB, B Shares* | | | 3,597 | | | | | | | | 10,265 | |
Assa Abloy AB Class B | | | 13,371 | | | | | | | | 277,751 | |
Atlas Copco AB, A Shares | | | 8,156 | | | | | | | | 352,166 | |
Atlas Copco AB, B Shares | | | 5,681 | | | | | | | | 217,874 | |
Boliden AB | | | 2,787 | | | | | | | | 95,334 | |
Electrolux AB, Series B | | | 4,581 | | | | | | | | 147,598 | |
Essity AB* | | | 8,411 | | | | | | | | 238,905 | |
Getinge AB, B Shares | | | 3,597 | | | | | | | | 52,181 | |
Hennes & Mauritz AB, B SharesD | | | 11,084 | | | | | | | | 228,758 | |
Hexagon AB, B Shares | | | 2,571 | | | | | | | | 128,783 | |
Husqvarna AB, B Shares | | | 9,740 | | | | | | | | 92,732 | |
ICA Gruppen ABD | | | 628 | | | | | | | | 22,806 | |
Industrivarden AB, C Shares | | | 527 | | | | | | | | 13,009 | |
Investor AB, B Shares | | | 6,178 | | | | | | | | 281,746 | |
Kinnevik AB Class B | | | 2,697 | | | | | | | | 91,170 | |
L E Lundbergforetagen AB, B Shares | | | 330 | | | | | | | | 24,660 | |
Lundin Petroleum AB | | | 2,436 | | | | | | | | 55,769 | |
Millicom International Cellular SA SDR | | | 1,082 | | | | | | | | 73,073 | |
Nordea Bank AB | | | 36,242 | | | | | | | | 438,716 | |
Sandvik AB | | | 14,112 | | | | | | | | 247,211 | |
Securitas AB, B Shares | | | 4,765 | | | | | | | | 83,182 | |
Skandinaviska Enskilda Banken AB Class A | | | 18,567 | | | | | | | | 217,967 | |
Skanska AB, B Shares | | | 3,302 | | | | | | | | 68,430 | |
SKF AB, B Shares | | | 3,875 | | | | | | | | 86,068 | |
Svenska Handelsbanken AB, A Shares | | | 17,553 | | | | | | | | 240,086 | |
Swedbank AB, A Shares | | | 10,095 | | | | | | | | 243,542 | |
Tele2 AB, B Shares | | | 3,418 | | | | | | | | 42,001 | |
Telefonaktiebolaget LM Ericsson, B SharesD | | | 35,949 | | | | | | | | 235,990 | |
Telia Co. AB | | | 33,087 | | | | | | | | 147,424 | |
Volvo AB, B Shares | | | 20,375 | | | | | | | | 379,279 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,903,816 | |
| | | | | | | | | | | | |
Switzerland — 8.2% | | | | | | | | | | | | |
ABB, Ltd. | | | 22,627 | | | | | | | | 606,514 | |
Adecco Group AG | | | 1,636 | | | | | | | | 125,162 | |
Barry Callebaut AG* | | | 154 | | | | | | | | 321,291 | |
Chocoladefabriken Lindt & Spruengli AG | | | 34 | | | | | | | | 340,058 | |
Cie Financiere Richemont SA | | | 7,170 | | | | | | | | 649,711 | |
Clariant AG* | | | 2,778 | | | | | | | | 77,685 | |
Coca-Cola HBC AG* | | | 12,058 | | | | | | | | 393,979 | |
Credit Suisse Group AG* | | | 31,717 | | | | | | | | 566,346 | |
Dufry AG* | | | 216 | | | | | | | | 32,119 | |
EMS-Chemie Holding AG | | | 12 | | | | | | | | 8,011 | |
Geberit AG | | | 291 | | | | | | | | 128,142 | |
Givaudan SA | | | 83 | | | | | | | | 191,817 | |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
Julius Baer Group, Ltd.* | | | 2,414 | | | | | | | $ | 147,647 | |
LafargeHolcim, Ltd.* | | | 5,253 | | | | | | | | 296,293 | |
Lonza Group AG* | | | 1,061 | | | | | | | | 286,686 | |
Nestle SA | | | 42,420 | | | | | | | | 3,648,002 | |
Novartis AG | | | 29,088 | | | | | | | | 2,459,696 | |
Pargesa Holding SA | | | 251 | | | | | | | | 21,766 | |
Partners Group Holding AG | | | 30 | | | | | | | | 20,565 | |
Roche Holding AG | | | 9,629 | | | | | | | | 2,435,783 | |
Schindler Holding AG | | | 280 | | | | | | | | 63,359 | |
SGS SA | | | 61 | | | | | | | | 159,065 | |
Sika AG | | | 18 | | | | | | | | 142,973 | |
Sonova Holding AG | | | 524 | | | | | | | | 81,844 | |
Straumann Holding AG | | | 116 | | | | | | | | 81,960 | |
Swatch Group AG (The) | | | 1,701 | | | | | | | | 248,014 | |
Swiss Prime Site AG* | | | 335 | | | | | | | | 30,940 | |
Swiss Re AG | | | 2,808 | | | | | | | | 262,948 | |
Swisscom AG | | | 317 | | | | | | | | 168,674 | |
UBS Group AG* | | | 44,792 | | | | | | | | 824,638 | |
Vifor Pharma AGD | | | 732 | | | | | | | | 93,824 | |
Zurich Insurance Group AG | | | 1,706 | | | | | | | | 519,267 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 15,434,779 | |
| | | | | | | | | | | | |
United Kingdom — 15.2% | | | | | | | | | | | | |
3i Group PLC | | | 11,550 | | | | | | | | 142,453 | |
Admiral Group PLC | | | 2,653 | | | | | | | | 71,711 | |
Anglo American PLC | | | 17,314 | | | | | | �� | | 362,219 | |
Antofagasta PLC | | | 4,327 | | | | | | | | 58,713 | |
Ashtead Group PLC | | | 5,481 | | | | | | | | 147,411 | |
Associated British Foods PLC | | | 6,840 | | | | | | | | 260,428 | |
AstraZeneca PLC | | | 16,260 | | | | | | | | 1,124,236 | |
Auto Trader Group PLC 144A | | | 6,651 | | | | | | | | 31,681 | |
Aviva PLC | | | 53,312 | | | | | | | | 364,575 | |
Babcock International Group PLC | | | 4,474 | | | | | | | | 42,616 | |
BAE Systems PLC | | | 33,502 | | | | | | | | 259,184 | |
Barclays PLC | | | 185,482 | | | | | | | | 508,620 | |
Barratt Developments PLC | | | 5,701 | | | | | | | | 49,839 | |
Berkeley Group Holdings PLC | | | 1,312 | | | | | | | | 74,346 | |
BHP Billiton PLC | | | 25,662 | | | | | | | | 527,509 | |
BP PLC | | | 233,897 | | | | | | | | 1,650,666 | |
British Land Co. PLC (The) REIT | | | 16,514 | | | | | | | | 154,179 | |
BT Group PLC | | | 115,818 | | | | | | | | 424,862 | |
Bunzl PLC | | | 5,323 | | | | | | | | 148,911 | |
Burberry Group PLC | | | 5,023 | | | | | | | | 121,530 | |
Capita PLC | | | 9,793 | | | | | | | | 53,007 | |
Carnival PLC | | | 2,263 | | | | | | | | 149,470 | |
Centrica PLC | | | 94,626 | | | | | | | | 175,414 | |
Cobham PLC* | | | 19,812 | | | | | | | | 33,784 | |
Coca-Cola European Partners PLC | | | 6,877 | | | | | | | | 274,193 | |
Compass Group PLC | | | 23,000 | | | | | | | | 496,855 | |
ConvaTec Group PLC 144A | | | 23,024 | | | | | | | | 63,881 | |
Croda International PLC | | | 1,285 | | | | | | | | 76,754 | |
Direct Line Insurance Group PLC | | | 17,390 | | | | | | | | 89,620 | |
easyJet PLC | | | 1,707 | | | | | | | | 33,741 | |
Fresnillo PLC | | | 3,206 | | | | | | | | 61,855 | |
G4S PLC | | | 14,238 | | | | | | | | 51,327 | |
GKN PLC | | | 28,014 | | | | | | | | 120,807 | |
GlaxoSmithKline PLC | | | 65,500 | | | | | | | | 1,169,551 | |
| | | | |
| 238 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
Hammerson PLC REIT | | | 9,324 | | | | | | | $ | 68,861 | |
Hargreaves Lansdown PLC | | | 3,813 | | | | | | | | 92,769 | |
HSBC Holdings PLC | | | 233,262 | | | | | | | | 2,415,265 | |
IMI PLC | | | 4,102 | | | | | | | | 73,826 | |
InterContinental Hotels Group PLC | | | 2,501 | | | | | | | | 159,348 | |
Intertek Group PLC | | | 2,227 | | | | | | | | 156,052 | |
Investec PLC | | | 10,376 | | | | | | | | 74,949 | |
ITV PLC | | | 47,151 | | | | | | | | 105,359 | |
J Sainsbury PLCD | | | 40,758 | | | | | | | | 132,841 | |
John Wood Group PLC | | | 11,264 | | | | | | | | 98,853 | |
Johnson Matthey PLC | | | 2,874 | | | | | | | | 119,320 | |
Kingfisher PLC | | | 39,382 | | | | | | | | 179,561 | |
Land Securities Group PLC REIT | | | 8,412 | | | | | | | | 114,483 | |
Legal & General Group PLC | | | 74,727 | | | | | | | | 275,740 | |
Lloyds Banking Group PLC | | | 816,232 | | | | | | | | 750,045 | |
London Stock Exchange Group PLC | | | 5,129 | | | | | | | | 262,662 | |
Marks & Spencer Group PLCD | | | 28,015 | | | | | | | | 119,071 | |
Mediclinic International PLCD | | | 7,116 | | | | | | | | 62,402 | |
Meggitt PLC | | | 2,379 | | | | | | | | 15,488 | |
Merlin Entertainments PLC 144A | | | 10,663 | | | | | | | | 52,245 | |
Micro Focus International PLC | | | 6,029 | | | | | | | | 205,374 | |
Mondi PLC | | | 5,463 | | | | | | | | 142,428 | |
National Grid PLC | | | 47,322 | | | | | | | | 559,117 | |
Next PLC | | | 1,784 | | | | | | | | 108,992 | |
Old Mutual PLC | | | 59,692 | | | | | | | | 186,734 | |
Pearson PLC | | | 12,528 | | | | | | | | 124,492 | |
Persimmon PLC | | | 2,646 | | | | | | | | 97,815 | |
Prudential PLC | | | 34,802 | | | | | | | | 895,355 | |
Reckitt Benckiser Group PLC | | | 10,763 | | | | | | | | 1,005,446 | |
RELX PLC | | | 15,143 | | | | | | | | 355,544 | |
Rio Tinto PLC | | | 15,875 | | | | | | | | 844,914 | |
Rolls-Royce Holdings PLC* | | | 16,262 | | | | | | | | 185,967 | |
Royal Bank of Scotland Group PLC* | | | 26,652 | | | | | | | | 100,036 | |
Royal Dutch Shell PLC, A Shares | | | 50,940 | | | | | | | | 1,705,661 | |
Royal Dutch Shell PLC, B Shares | | | 45,550 | | | | | | | | 1,542,711 | |
Royal Mail PLC | | | 9,538 | | | | | | | | 58,272 | |
RSA Insurance Group PLC | | | 18,313 | | | | | | | | 156,388 | |
Sage Group PLC (The) | | | 16,801 | | | | | | | | 181,017 | |
Schroders PLC | | | 1,895 | | | | | | | | 89,958 | |
Segro PLC REIT | | | 8,051 | | | | | | | | 63,807 | |
Severn Trent PLC | | | 8,421 | | | | | | | | 245,811 | |
Sky PLC* | | | 13,562 | | | | | | | | 185,305 | |
Smith & Nephew PLC | | | 16,574 | | | | | | | | 288,221 | |
Smiths Group PLC | | | 6,916 | | | | | | | | 139,131 | |
SSE PLC | | | 17,559 | | | | | | | | 312,936 | |
St. James’s Place PLC | | | 4,906 | | | | | | | | 81,208 | |
Standard Chartered PLC* | | | 38,480 | | | | | | | | 405,291 | |
Standard Life Aberdeen PLC | | | 37,077 | | | | | | | | 218,560 | |
Taylor Wimpey PLC | | | 35,050 | | | | | | | | 97,674 | |
Tesco PLC | | | 147,403 | | | | | | | | 416,441 | |
Travis Perkins PLC | | | 1,670 | | | | | | | | 35,332 | |
Unilever PLC | | | 20,882 | | | | | | | | 1,163,137 | |
United Utilities Group PLC | | | 8,812 | | | | | | | | 98,690 | |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
Vodafone Group PLC | | | 332,910 | | | | | | | $ | 1,056,274 | |
Weir Group PLC (The) | | | 5,205 | | | | | | | | 149,194 | |
Whitbread PLC | | | 1,870 | | | | | | | | 100,991 | |
WM Morrison Supermarkets PLC | | | 58,477 | | | | | | | | 173,617 | |
Worldpay Group PLC 144A | | | 23,534 | | | | | | | | 135,359 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 28,618,288 | |
| | | | | | | | | | | | |
Total Foreign Common Stocks
(Cost $160,837,507) | | | | | | | | | | | 178,911,766 | |
| | | | | | | | | | | | |
FOREIGN PREFERRED STOCKS — 0.6% | |
Germany — 0.6% | | | | | | | | | | | | |
Bayerische MotorenWerke AG | | | | | | | | | | | | |
4.76%, 05/12/17 | | | 887 | | | | | | | | 79,437 | |
FUCHS PETROLUB SE | | | | | | | | | | | | |
2.00%, 05/08/17 | | | 942 | | | | | | | | 50,014 | |
Henkel AG & Co KGaA | | | | | | | | | | | | |
1.48%, 04/07/17* | | | 2,741 | | | | | | | | 362,918 | |
Porsche Automobil Holding SE | | | | | | | | | | | | |
1.45%, 05/31/17 | | | 1,662 | | | | | | | | 139,152 | |
Schaeffler AG | | | | | | | | | | | | |
3.54%, 04/27/17* | | | 1,753 | | | | | | | | 31,098 | |
Volkswagen AG | | | | | | | | | | | | |
1.24%, 05/11/17 | | | 2,174 | | | | | | | | 434,180 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,096,799 | |
| | | | | | | | | | | | |
Total Foreign Preferred Stocks
(Cost $1,037,672) | | | | | | | | 1,096,799 | |
| | | | | | | | | | | | |
RIGHTS — 0.0% | | | | | | | | | | | | |
Repsol SA* | | | | | | | | | | | | |
(Cost $6,612) | | | 14,465 | | | | | | | | 6,578 | |
| | | | | | | | | | | | |
MONEY MARKET FUNDS — 4.0% | | | | | | | | | |
GuideStone Money Market Fund | | | | | | | | | | | | |
(Institutional Class)¥ | | | 7,055,829 | | | | | | | | 7,055,829 | |
Northern Institutional Liquid Assets | | | | | | | | | | | | |
Portfolio§ | | | 504,978 | | | | | | | | 504,978 | |
| | | | | | | | | | | | |
Total Money Market Funds
(Cost $7,560,807) | | | | | | | | | | | 7,560,807 | |
| | | | | | | | | | | | |
| | | |
| | | Par | | | | | | | |
U.S. TREASURY OBLIGATION — 0.2% | |
U.S. Treasury Bill 1.42%, 06/07/18W‡‡ | | | | | | | | | | | | |
(Cost $298,155) | | $ | 300,000 | | | | | | | | 298,098 | |
| | | | | | | | | | | | |
TOTAL INVESTMENTS — 99.9%
(Cost $169,740,753) | | | | | | | | 187,874,048 | |
Other Assets in Excess
of Liabilities — 0.1% | | | | 247,599 | |
| | | | | | | | | | | | |
NET ASSETS — 100.0% | | | | | | | $ | 188,121,647 | |
| | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 239 |
INTERNATIONAL EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS (Continued)
Futures Contracts outstanding at December 31, 2017:
| | | | | | | | | | | | | | | | | | | | | | | | | |
Future Type | | Expiration Date | | Open Long
(Short) Contracts | | Notional
Market Value
of Contracts | | Counterparty | | Value and
Unrealized
Appreciation
(Depreciation) |
MSCI EAFE Index E-Mini | | | | 03/2018 | | | | | 76 | | | | $ | 7,772,900 | | | | | GSC | | | | $ | 86,632 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2017, 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 | | $ | 12,242,265 | | | $ | 12,242,265 | | | $ | — | | | $ | — | |
Austria | | | 402,176 | | | | 402,176 | | | | — | | | | — | |
Belgium | | | 1,496,993 | | | | 1,496,993 | | | | — | | | | — | |
Denmark | | | 3,122,676 | | | | 3,122,676 | | | | — | | | | — | |
Finland | | | 1,942,901 | | | | 1,942,901 | | | | — | | | | — | |
France | | | 18,222,752 | | | | 18,222,752 | | | | — | | | | — | |
Germany | | | 16,512,276 | | | | 16,512,276 | | | | — | | | | — | |
Hong Kong | | | 5,916,414 | | | | 5,916,414 | | | | — | | | | — | |
Ireland | | | 935,013 | | | | 935,013 | | | | — | | | | — | |
Israel | | | 860,420 | | | | 259,738 | | | | 600,682 | | | | — | |
Italy | | | 3,391,174 | | | | 3,391,174 | | | | — | | | | — | |
Japan | | | 43,285,433 | | | | 43,285,433 | | | | — | | | | — | |
Jersey | | | 2,512,591 | | | | 2,512,591 | | | | — | | | | — | |
Netherlands | | | 8,117,570 | | | | 8,117,570 | | | | — | | | | — | |
New Zealand | | | 290,595 | | | | 290,595 | | | | — | | | | — | |
Norway | | | 1,473,070 | | | | 1,473,070 | | | | — | | | | — | |
Papua New Guinea | | | 92,497 | | | | 92,497 | | | | — | | | | — | |
Portugal | | | 250,026 | | | | 250,026 | | | | — | | | | — | |
Singapore | | | 2,825,876 | | | | 2,825,876 | | | | — | | | | — | |
Spain | | | 6,062,165 | | | | 6,062,165 | | | | — | | | | — | |
Sweden | | | 4,903,816 | | | | 4,903,816 | | | | — | | | | — | |
Switzerland | | | 15,434,779 | | | | 15,434,779 | | | | — | | | | — | |
United Kingdom | | | 28,618,288 | | | | 28,618,288 | | | | — | | | | — | |
Foreign Preferred Stocks | | | | | | | | | | | | | | | | |
Germany | | | 1,096,799 | | | | 1,096,799 | | | | — | | | | — | |
Money Market Funds | | | 7,560,807 | | | | 7,560,807 | | | | — | | | | — | |
Rights | | | 6,578 | | | | 6,578 | | | | — | | | | — | |
U.S. Treasury Obligation | | | 298,098 | | | | — | | | | 298,098 | | | | — | |
| | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | | $187,874,048 | | | $ | 186,975,268 | | | $ | 898,780 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| | | | |
| 240 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | |
| | | Total
Value | | | Level 1
Quoted Prices | | | Level 2
Other Significant
Observable Inputs | | | Level 3
Significant
Unobservable Inputs | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 86,632 | | | $ | 86,632 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | | | | | | | | | | | |
| | $ | 86,632 | | | $ | 86,632 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
***Other financial instruments are derivative instruments, 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 preceding “Futures Contracts outstanding” disclosure.
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, 2017.
There were no transfers between Level 2 and Level 3 during the year ended December 31, 2017.
| | | | |
| | See Notes to Financial Statements. | | 241 |
International Equity Fund (Unaudited)
Developed non-U.S. markets outperformed their U.S. counterparts in what was a strong year for both market regions. The MSCI Europe, Australasia and Far East Index (Net) (“MSCI EAFE Index”), a measure of international developed market returns, posted a 25.03% return for the one-year period ended December 31, 2017. As was generally the case globally, growth-oriented equities were dominant relative to those that are value-orientated. At the country level, Japan, the United Kingdom and France contributed the most to the index’s return, with all countries positively contributing to index performance. Technology and materials were the strongest performing sectors. The weakest sector, telecommunications, still realized a double digit absolute return. Weakness in the U.S. dollar also had a positive effect on the index during the year.
The Fund primarily invests in equity securities of foreign companies in countries having economies and markets generally considered to be developed, but may also invest in equity securities of foreign companies located in emerging markets. The Fund’s portfolio is diversified among a large number of companies across different industries, economic sectors and countries. The Investor Class of the Fund outperformed its benchmark, the MSCI EAFE Index, for the one-year period ended December 31, 2017 (29.50% versus 25.03%). On a country basis, a tactical overweight exposure to China and security selection within Germany and Italy positively impacted benchmark-relative performance. On the negative side, security selection within the United Kingdom and France detracted from benchmark-relative performance. On a sector basis, security selection and an overweight to the technology and consumer discretionary sectors contributed, while underweight exposure and security selection to the telecommunications 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 equities. Securities of foreign issuers may be negatively impacted by political events, economic conditions or inefficient, illiquid or unregulated markets in foreign countries, and they also may be subject to inadequate regulatory or accounting standards, which may increase investment risk. Investing in emerging markets may involve greater risks than investing in more developed foreign markets because, among other things, emerging markets often have more 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. Derivatives involve different risks from, and in some respects greater than, those associated with investing directly in securities, currencies or other instruments. Derivatives may be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in value of the underlying instruments may produce disproportionate losses to the Fund. Short sales involve selling a security the Fund does not own in anticipation that the security will decline in price. Short sales expose the Fund to the risk that it will required to buy the security sold short (also known as “covering” the short position) at a time when the security has appreciated in value, thus resulting in a loss to the Fund. The Fund’s potential loss on a short position is limited only by the maximum attainable price of the security less the price at which the security was sold by the Fund. Therefore, in theory, stocks sold short have unlimited risk. The Fund’s use of short sales in effect “leverages” the Fund. The use of leverage may magnify the Fund’s gains or losses, and leverage also creates interest expense that may lower the Fund’s overall returns. It is possible to lose money by investing in the Fund.
| | | | |
| 242 | | See Notes to Financial Statements. | | |
International Equity Fund (Unaudited)
At December 31, 2017, 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.
| | | | |
| | | % | |
Financials | | | 17.2 | |
Industrials | | | 15.3 | |
Consumer Discretionary | | | 14.6 | |
Information Technology | | | 11.7 | |
Health Care | | | 11.4 | |
Energy | | | 6.7 | |
Consumer Staples | | | 6.5 | |
Materials | | | 6.0 | |
Money Market Funds | | | 5.4 | |
Telecommunication Services | | | 4.6 | |
Utilities | | | 3.8 | |
Real Estate | | | 1.4 | |
Foreign Preferred Stocks | | | 0.2 | |
U.S. Treasury Obligation | | | 0.1 | |
Foreign Preferred Stocks Sold Short | | | (0.1 | ) |
Foreign Common Stocks Sold Short | | | (4.5 | ) |
| | | | |
| | | 100.3 | |
| | | | |
| | | | |
| | See Notes to Financial Statements. | | 243 |
International Equity Fund (Unaudited)
| | | | | | |
| Average Annual Total Returns as of 12/31/17 |
| | Institutional Class | | Investor Class* | | Benchmark** |
One Year | | 29.85% | | 29.50% | | 25.03% |
Five Year | | 7.91% | | 7.64% | | 6.80% |
Ten Year | | 2.07% | | 1.83% | | 1.84% |
Since Inception | | 6.38% | | 6.17% | | 6.56% |
Inception Date | | 08/27/01 | | 08/27/01 | | |
Total Fund Operating Expenses (May 1, 2017 Prospectus as amended July 1, 2017)(1) | | 1.01% | | 1.28% | | |
(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, 2007 to December 31, 2017, 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.
| | | | |
| 244 | | See Notes to Financial Statements. | | |
| | |
| INTERNATIONAL EQUITY FUND SCHEDULE OF INVESTMENTS | | December 31, 2017 |
| | | | | | | | |
| | | Shares | | | Value | |
COMMON STOCKS — 2.2% | | | | | | | | |
Consumer Discretionary — 1.2% | | | | | | | | |
Amazon.com, Inc.* | | | 4,055 | | | $ | 4,742,201 | |
MakeMyTrip, Ltd.*D | | | 18,071 | | | | 539,419 | |
Tesla, Inc.*D | | | 14,562 | | | | 4,533,879 | |
Yum China Holdings, Inc. | | | 230,174 | | | | 9,211,563 | |
| | | | | | | | |
| | | | | | | 19,027,062 | |
| | | | | | | | |
Financials — 0.3% | | | | | | | | |
XL Group, Ltd. | | | 124,000 | | | | 4,359,840 | |
| | | | | | | | |
Health Care — 0.3% | | | | | | | | |
Illumina, Inc.* | | | 25,936 | | | | 5,666,757 | |
| | | | | | | | |
Information Technology — 0.4% | | | | | | | | |
MercadoLibre, Inc.D | | | 14,034 | | | | 4,415,938 | |
NVIDIA Corporation | | | 7,838 | | | | 1,516,653 | |
| | | | | | | | |
| | | | | | | 5,932,591 | |
| | | | | | | | |
Total Common Stocks
(Cost $23,627,196) | | | | | | | 34,986,250 | |
| | | | | | | | |
FOREIGN COMMON STOCKS — 97.0% | | | | | |
Australia — 2.3% | | | | | | | | |
AGL Energy, Ltd. | | | 6,610 | | | | 125,635 | |
Ansell, Ltd. | | | 14,813 | | | | 280,856 | |
ASX, Ltd. | | | 2,303 | | | | 98,579 | |
Aurizon Holdings, Ltd. | | | 205,490 | | | | 795,255 | |
Australia & New Zealand Banking | | | | | | | | |
Group, Ltd. | | | 141,455 | | | | 3,172,042 | |
Bendigo and Adelaide Bank, Ltd. | | | 71,804 | | | | 653,813 | |
BHP Billiton, Ltd. | | | 58,894 | | | | 1,358,802 | |
BlueScope Steel, Ltd. | | | 135,140 | | | | 1,620,659 | |
CIMIC Group, Ltd. | | | 76,428 | | | | 3,068,115 | |
Computershare, Ltd. | | | 5,607 | | | | 71,310 | |
Dexus REIT | | | 12,849 | | | | 97,748 | |
Fortescue Metals Group, Ltd. | | | 83,752 | | | | 318,896 | |
Goodman Group REIT | | | 30,218 | | | | 198,523 | |
GPT Group (The)*y††† | | | 63,198 | | | | — | |
GPT Group (The) REIT | | | 23,870 | | | | 95,171 | |
Lend Lease Group | | | 214,660 | | | | 2,738,437 | |
Macquarie Group, Ltd. | | | 3,242 | | | | 252,021 | |
Mirvac Group REIT | | | 50,120 | | | | 91,899 | |
Newcrest Mining, Ltd. | | | 87,136 | | | | 1,551,483 | |
Orica, Ltd. | | | 27,825 | | | | 392,959 | |
Origin Energy, Ltd.* | | | 214,979 | | | | 1,580,086 | |
Qantas Airways, Ltd. | | | 154,446 | | | | 607,353 | |
QBE Insurance Group, Ltd. | | | 1,748,174 | | | | 14,567,657 | |
Rio Tinto, Ltd. | | | 8,019 | | | | 474,330 | |
Scentre Group REIT | | | 93,514 | | | | 305,720 | |
South32, Ltd. | | | 571,068 | | | | 1,555,060 | |
Stockland REIT | | | 41,895 | | | | 146,445 | |
Suncorp Group, Ltd. | | | 31,433 | | | | 339,925 | |
Vicinity Centres REIT | | | 52,810 | | | | 112,078 | |
Westfield Corporation REIT | | | 35,358 | | | | 261,811 | |
| | | | | | | | |
| | | | | | | 36,932,668 | |
| | | | | | | | |
Austria — 0.5% | | | | | | | | |
ams AG*D | | | 14,008 | | | | 1,271,494 | |
Erste Group Bank AG* | | | 148,140 | | | | 6,417,512 | |
| | | | | | | | |
| | | | | | | 7,689,006 | |
| | | | | | | | |
| | | | | | | | |
| | | Shares | | | Value | |
Belgium — 0.4% | | | | | | | | |
Ageas | | | 7,838 | | | $ | 382,901 | |
Bekaert SA NV | | | 1,852 | | | | 80,985 | |
bpost SA | | | 27,423 | | | | 835,255 | |
Galapagos NV* | | | 13,953 | | | | 1,322,244 | |
Groupe Bruxelles Lambert SA | | | 415 | | | | 44,810 | |
Solvay SA | | | 2,623 | | | | 364,761 | |
UCB SA | | | 16,878 | | | | 1,340,216 | |
Umicore SA | | | 48,640 | | | | 2,302,622 | |
| | | | | | | | |
| | | | | | | 6,673,794 | |
| | | | | | | | |
Brazil — 0.3% | | | | | | | | |
Cielo SA | | | 708,200 | | | | 5,020,630 | |
| | | | | | | | |
Canada — 0.8% | | | | | | | | |
Canadian National Railway Co.D | | | 113,938 | | | | 9,399,885 | |
Suncor Energy, Inc. | | | 94,514 | | | | 3,470,025 | |
| | | | | | | | |
| | | | | | | 12,869,910 | |
| | | | | | | | |
China — 3.1% | | | | | | | | |
Alibaba Group Holding, Ltd. ADR*D | | | 70,278 | | | | 12,118,036 | |
Baidu, Inc. ADR* | | | 44,101 | | | | 10,328,895 | |
Ctrip.com International, Ltd. ADR* | | | 84,827 | | | | 3,740,871 | |
New Oriental Education & | | | | | | | | |
Technology Group, Inc. ADR | | | 56,655 | | | | 5,325,570 | |
TAL Education Group ADR | | | 118,013 | | | | 3,506,166 | |
Tencent Holdings, Ltd. | | | 286,500 | | | | 14,888,165 | |
| | | | | | | | |
| | | | | | | 49,907,703 | |
| | | | | | | | |
Colombia — 0.4% | | | | | | | | |
Ecopetrol SA ADRD | | | 451,200 | | | | 6,601,056 | |
| | | | | | | | |
Denmark — 1.3% | | | | | | | | |
Chr. Hansen Holding A/SD | | | 16,406 | | | | 1,538,881 | |
Danske Bank A/S | | | 12,496 | | | | 486,572 | |
Dfds A/S | | | 2,804 | | | | 149,720 | |
FLSmidth & Co. A of S | | | 1,435 | | | | 83,560 | |
Genmab A/S* | | | 25,292 | | | | 4,194,476 | |
GN Store Nord A/S | | | 44,674 | | | | 1,443,605 | |
H Lundbeck A/S | | | 32,771 | | | | 1,663,717 | |
ISS A/S | | | 170,519 | | | | 6,603,980 | |
Nets A/S* 144A | | | 25,731 | | | | 676,793 | |
Novozymes A/S, B Shares | | | 28,321 | | | | 1,618,095 | |
TDC A/S | | | 149,986 | | | | 921,715 | |
VestasWind Systems A/S | | | 28,209 | | | | 1,949,493 | |
William Demant Holding A/S* | | | 6,275 | | | | 175,466 | |
| | | | | | | | |
| | | | | | | 21,506,073 | |
| | | | | | | | |
Finland — 0.2% | | | | | | | | |
Neste OYJ | | | 25,586 | | | | 1,637,811 | |
Nokia OYJ | | | 84,689 | | | | 395,686 | |
UPM-Kymmene OYJ | | | 65,849 | | | | 2,047,121 | |
| | | | | | | | |
| | | | | | | 4,080,618 | |
| | | | | | | | |
France — 8.7% | | | | | | | | |
Air France-KLM* | | | 8,516 | | | | 138,759 | |
Air Liquide SA | | | 120,842 | | | | 15,231,439 | |
Amundi SA 144A | | | 2,287 | | | | 193,868 | |
Arkema SA | | | 4,859 | | | | 592,044 | |
Atos SE | | | 18,334 | | | | 2,669,463 | |
BioMerieux | | | 4,476 | | | | 401,125 | |
| | | | |
| | See Notes to Financial Statements. | | 245 |
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | |
| | | Shares | | | Value | |
BNP Paribas SA | | | 38,607 | | | $ | 2,883,582 | |
Capgemini SE | | | 16,844 | | | | 1,998,594 | |
Christian Dior SE | | | 24,150 | | | | 8,824,756 | |
Cie de St-Gobain | | | 327,638 | | | | 18,073,529 | |
Cie Generale des Etablissements | | | | | | | | |
Michelin | | | 22,063 | | | | 3,164,762 | |
CNP Assurances | | | 12,903 | | | | 298,099 | |
Eiffage SA | | | 2,391 | | | | 262,040 | |
Elior Group SA 144A | | | 14,262 | | | | 294,759 | |
Engie SA | | | 265,304 | | | | 4,563,189 | |
Essilor International Cie Generale d’Optique SA | | | 6,149 | | | | 848,087 | |
Eutelsat Communications SA | | | 7,356 | | | | 170,300 | |
Faurecia | | | 8,572 | | | | 669,869 | |
Gecina SA REIT | | | 674 | | | | 124,459 | |
Imerys SA | | | 2,766 | | | | 260,657 | |
Kering | | | 12,423 | | | | 5,857,955 | |
Klepierre REIT | | | 4,327 | | | | 190,356 | |
L’Oreal SA | | | 55,572 | | | | 12,332,108 | |
Lagardere SCA | | | 43,875 | | | | 1,407,159 | |
Orange SA | | | 42,720 | | | | 741,954 | |
Peugeot SA | | | 208,297 | | | | 4,237,481 | |
Renault SA | | | 16,638 | | | | 1,675,104 | |
Rexel SA | | | 4,917 | | | | 89,203 | |
Sanofi | | | 337,736 | | | | 29,115,958 | |
Schneider Electric SE* | | | 133,776 | | | | 11,373,819 | |
Societe BIC SA | | | 989 | | | | 108,768 | |
Societe Generale SA | | | 140,893 | | | | 7,277,623 | |
Sodexo SA | | | 5,762 | | | | 774,662 | |
Sopra Steria Group | | | 580 | | | | 108,458 | |
Teleperformance | | | 9,230 | | | | 1,322,863 | |
Thales SA | | | 14,548 | | | | 1,568,893 | |
TOTAL SA | | | 18,943 | | | | 1,046,546 | |
Unibail-Rodamco SE REIT | | | 1,666 | | | | 419,779 | |
Valeo SA | | | 8,378 | | | | 625,959 | |
Vinci SA | | | 1,202 | | | | 122,805 | |
| | | | | | | | |
| | | | | | | 142,060,833 | |
| | | | | | | | |
Germany — 9.4% | | | | | | | | |
AIXTRON SE* | | | 60,791 | | | | 844,646 | |
Allianz SE | | | 62,832 | | | | 14,436,989 | |
Aurubis AG | | | 9,866 | | | | 918,370 | |
BASF SE | | | 31,272 | | | | 3,442,242 | |
Bayerische Motoren Werke AG | | | 46,188 | | | | 4,812,003 | |
Beiersdorf AG | | | 83,231 | | | | 9,776,756 | |
CECONOMY AG | | | 5,587 | | | | 84,498 | |
Covestro AG 144A | | | 32,045 | | | | 3,307,784 | |
Daimler AG | | | 158,815 | | | | 13,491,236 | |
Delivery Hero AG* 144A | | | 42,025 | | | | 1,663,982 | |
Deutsche Boerse AG | | | 38,708 | | | | 4,495,759 | |
Deutsche Lufthansa AG | | | 65,209 | | | | 2,403,564 | |
Deutsche Telekom AG | | | 932,722 | | | | 16,557,477 | |
Deutsche Wohnen SE | | | 6,238 | | | | 272,891 | |
E.ON SE | | | 36,172 | | | | 393,256 | |
Evonik Industries AGD | | | 179,602 | | | | 6,760,093 | |
Fresenius SE & Co. KGaA | | | 5,433 | | | | 424,177 | |
HOCHTIEF AG | | | 4,825 | | | | 854,497 | |
| | | | | | | | |
| | | Shares | | | Value | |
HUGO BOSS AGD | | | 78,200 | | | $ | 6,656,178 | |
Infineon Technologies AG | | | 64,357 | | | | 1,763,290 | |
Linde AG* | | | 36,798 | | | | 8,594,203 | |
MorphoSys AG*D | | | 11,352 | | | | 1,043,073 | |
Muenchener | | | | | | | | |
Rueckversicherungs-Gesellschaft | | | | | | | | |
AG | | | 35,515 | | | | 7,702,241 | |
OSRAM Licht AG | | | 5,655 | | | | 508,411 | |
Rheinmetall AG | | | 20,226 | | | | 2,568,785 | |
Rocket Internet SE*D 144A | | | 51,551 | | | | 1,306,655 | |
RWE AG* | | | 155,780 | | | | 3,177,515 | |
Salzgitter AG | | | 7,987 | | | | 456,113 | |
SAP SE | | | 189,516 | | | | 21,249,668 | |
Scout24 AG 144A | | | 1,915 | | | | 78,237 | |
Siemens AG | | | 13,929 | | | | 1,941,181 | |
Software AG | | | 20,613 | | | | 1,158,965 | |
Suedzucker AG | | | 138,625 | | | | 3,007,232 | |
Talanx AG | | | 10,019 | | | | 409,566 | |
TUI AG | | | 12,892 | | | | 268,055 | |
Uniper SE | | | 35,455 | | | | 1,106,058 | |
Vonovia SE | | | 8,154 | | | | 404,942 | |
Wacker Chemie AG | | | 1,980 | | | | 385,339 | |
Zalando SE*D 144A | | | 92,175 | | | | 4,878,950 | |
| | | | | | | | |
| | | | | | | 153,604,877 | |
| | | | | | | | |
Hong Kong — 3.7% | | | | | | | | |
AIA Group, Ltd. | | | 2,389,800 | | | | 20,386,948 | |
ASM Pacific Technology, Ltd. | | | 3,100 | | | | 43,210 | |
China Mobile, Ltd. | | | 937,500 | | | | 9,509,574 | |
CK Asset Holdings, Ltd. | | | 103,500 | | | | 904,798 | |
CK Hutchison Holdings, Ltd. | | | 1,060,500 | | | | 13,315,890 | |
CK Infrastructure Holdings, Ltd. | | | 11,000 | | | | 94,543 | |
Hang Lung Properties, Ltd. | | | 61,000 | | | | 149,126 | |
Henderson Land Development Co., | | | | | | | | |
Ltd. | | | 172,000 | | | | 1,133,773 | |
Hong Kong Exchanges and Clearing, | | | | | | | | |
Ltd. | | | 72,707 | | | | 2,231,598 | |
Kerry Properties, Ltd. | | | 380,500 | | | | 1,711,869 | |
Li & Fung, Ltd. | | | 420,000 | | | | 230,620 | |
Link REIT | | | 41,000 | | | | 380,200 | |
New World Development Co., Ltd. | | | 979,000 | | | | 1,471,097 | |
NWS Holdings, Ltd. | | | 19,000 | | | | 34,290 | |
PCCW, Ltd. | | | 62,000 | | | | 36,028 | |
Shangri-La Asia, Ltd. | | | 42,000 | | | | 95,366 | |
Sino Land Co., Ltd. | | | 508,000 | | | | 899,892 | |
Sun Hung Kai Properties, Ltd. | | | 57,000 | | | | 951,356 | |
WH Group, Ltd. 144A | | | 4,644,500 | | | | 5,243,220 | |
Wharf Holdings, Ltd. (The) | | | 35,000 | | | | 120,954 | |
Wheelock & Co., Ltd. | | | 94,000 | | | | 671,355 | |
Yue Yuen Industrial Holdings, Ltd. | | | 21,000 | | | | 82,518 | |
| | | | | | | | |
| | | | | | | 59,698,225 | |
| | | | | | | | |
India — 0.6% | | | | | | | | |
Housing Development Finance | | | | | | | | |
Corporation, Ltd. | | | 41,635 | | | | 1,115,703 | |
Tata Consultancy Services, Ltd. | | | 197,462 | | | | 8,356,654 | |
| | | | | | | | |
| | | | | | | 9,472,357 | |
| | | | | | | | |
| | | | |
| 246 | | See Notes to Financial Statements. | | |
| | | | | | | | |
| | | Shares | | | Value | |
Ireland — 0.5% | | | | | | | | |
Bank of Ireland Group PLC* | | | 187,100 | | | $ | 1,605,117 | |
CRH PLC | | | 175,951 | | | | 6,311,976 | |
DCC PLC | | | 3,935 | | | | 396,604 | |
| | | | | | | | |
| | | | | | | 8,313,697 | |
| | | | | | | | |
Italy — 3.7% | | | | | | | | |
A2A SpA | | | 1,889,263 | | | | 3,495,455 | |
Autogrill SpA | | | 81,387 | | | | 1,123,000 | |
DiaSorin SpA | | | 2,459 | | | | 218,332 | |
Enel SpA | | | 3,646,864 | | | | 22,447,289 | |
Eni SpA | | | 1,384,543 | | | | 22,925,166 | |
Intesa Sanpaolo SpA* | | | 535,958 | | | | 1,781,302 | |
Leonardo SpA | | | 65,808 | | | | 783,281 | |
Luxottica Group SpA | | | 2,977 | | | | 182,705 | |
Mediobanca SpA | | | 447,300 | | | | 5,077,115 | |
Moncler SpA | | | 26,926 | | | | 842,571 | |
Prysmian SpA | | | 38,263 | | | | 1,248,289 | |
| | | | | | | | |
| | | | | | | 60,124,505 | |
| | | | | | | | |
Japan — 17.0% | | | | | | | | |
ABC-Mart, Inc. | | | 81,200 | | | | 4,662,649 | |
Alfresa Holdings Corporation | | | 3,400 | | | | 79,874 | |
Amada Holdings Co., Ltd. | | | 33,800 | | | | 460,166 | |
Aozora Bank, Ltd. | | | 9,900 | | | | 385,281 | |
Astellas Pharma, Inc. | | | 108,500 | | | | 1,383,754 | |
Bandai Namco Holdings, Inc. | | | 62,900 | | | | 2,057,124 | |
Brother Industries, Ltd. | | | 56,800 | | | | 1,401,411 | |
Canon, Inc. | | | 135,650 | | | | 5,056,401 | |
Citizen Holdings Co., Ltd. | | | 91,200 | | | | 669,380 | |
Daicel Corporation | | | 59,900 | | | | 681,534 | |
Daikin Industries, Ltd. | | | 84,000 | | | | 9,941,336 | |
Daito Trust Construction Co., Ltd. | | | 1,000 | | | | 203,905 | |
Daiwa House Industry Co., Ltd. | | | 9,100 | | | | 349,463 | |
Denso Corporation | | | 137,400 | | | | 8,247,049 | |
Don Quijote Holdings Co., Ltd. | | | 27,600 | | | | 1,442,769 | |
Ezaki Glico Co., Ltd. | | | 3,600 | | | | 179,561 | |
Fuji Electric Co., Ltd. | | | 950,000 | | | | 7,158,198 | |
FUJIFILM Holdings Corporation | | | 156,800 | | | | 6,408,378 | |
Fujitsu, Ltd. | | | 391,000 | | | | 2,785,495 | |
Haseko Corporation | | | 160,900 | | | | 2,500,430 | |
Hitachi Chemical Co., Ltd. | | | 19,200 | | | | 493,142 | |
Hitachi High-Technologies | | | | | | | | |
Corporation | | | 24,800 | | | | 1,045,485 | |
Hitachi, Ltd. | | | 1,469,000 | | | | 11,445,619 | |
Honda Motor Co., Ltd. | | | 499,100 | | | | 17,106,938 | |
Hoya Corporation | | | 174,400 | | | | 8,711,100 | |
Idemitsu Kosan Co., Ltd. | | | 8,900 | | | | 357,422 | |
IHI CorporationD | | | 25,399 | | | | 845,318 | |
Isuzu Motors, Ltd. | | | 265,500 | | | | 4,446,403 | |
ITOCHU Corporation | | | 45,900 | | | | 856,691 | |
Itochu Techno-Solutions Corporation | | | 6,400 | | | | 277,755 | |
Japan Airlines Co., Ltd. | | | 30,300 | | | | 1,185,377 | |
Japan Real Estate Investment | | | | | | | | |
Corporation REIT | | | 17 | | | | 80,719 | |
Japan Retail Fund Investment | | | | | | | | |
Corporation REIT | | | 45 | | | | 82,512 | |
JFE Holdings, Inc. | | | 67,400 | | | | 1,618,677 | |
JTEKT Corporation | | | 4,700 | | | | 80,756 | |
| | | | | | | | |
| | | Shares | | | Value | |
JXTG Holdings, Inc. | | | 124,400 | | | $ | 802,652 | |
Kajima Corporation | | | 125,000 | | | | 1,202,574 | |
Kamigumi Co., Ltd. | | | 13,500 | | | | 298,695 | |
Kao Corporation | | | 7,900 | | | | 534,192 | |
Kyowa Hakko Kirin Co., Ltd. | | | 26,300 | | | | 508,611 | |
Kyushu Railway Co. | | | 134,200 | | | | 4,162,671 | |
M3, Inc. | | | 136,100 | | | | 4,789,319 | |
Mabuchi Motor Co., Ltd. | | | 2,800 | | | | 151,835 | |
Marubeni Corporation | | | 12,400 | | | | 89,813 | |
Matsumotokiyoshi Holdings Co., Ltd. | | | 30,000 | | | | 1,235,412 | |
Mebuki Financial Group, Inc. | | | 173,500 | | | | 734,497 | |
Medipal Holdings Corporation | | | 8,500 | | | | 166,492 | |
Minebea Mitsumi, Inc. | | | 51,700 | | | | 1,084,243 | |
Mitsubishi Corporation | | | 59,900 | | | | 1,654,925 | |
Mitsubishi Electric Corporation | | | 507,800 | | | | 8,434,415 | |
Mitsubishi Estate Co., Ltd. | | | 22,000 | | | | 382,694 | |
Mitsubishi Gas Chemical Co., Inc. | | | 42,900 | | | | 1,231,697 | |
Mitsubishi UFJ Financial Group, Inc. | | | 259,100 | | | | 1,900,335 | |
Mitsui Chemicals, Inc. | | | 28,600 | | | | 920,124 | |
Mitsui Fudosan Co., Ltd. | | | 16,000 | | | | 358,553 | |
Mixi, Inc. | | | 10,600 | | | | 476,024 | |
MS&AD Insurance Group Holdings, Inc. | | | 63,000 | | | | 2,132,523 | |
Nexon Co., Ltd.* | | | 21,600 | | | | 628,782 | |
NGK Insulators, Ltd. | | | 9,900 | | | | 186,973 | |
NH Foods, Ltd. | | | 36,000 | | | | 877,994 | |
Nhk Spring Co., Ltd. | | | 29,300 | | | | 322,449 | |
Nidec Corporation | | | 23,100 | | | | 3,241,278 | |
Nippon Building Fund, Inc. REIT | | | 16 | | | | 78,243 | |
Nippon Electric Glass Co., Ltd. | | | 29,100 | | | | 1,110,539 | |
Nippon Express Co., Ltd. | | | 28,600 | | | | 1,901,167 | |
Nippon Telegraph & Telephone | | | | | | | | |
Corporation | | | 51,000 | | | | 2,399,388 | |
NOK Corporation | | | 4,800 | | | | 112,082 | |
NTT DOCOMO, Inc. | | | 27,200 | | | | 642,371 | |
Obayashi Corporation | | | 97,400 | | | | 1,179,087 | |
Olympus Corporation | | | 206,500 | | | | 7,917,284 | |
ORIX Corporation | | | 65,100 | | | | 1,100,359 | |
Otsuka Holdings Co., Ltd. | | | 30,200 | | | | 1,326,200 | |
Pigeon Corporation | | | 29,500 | | | | 1,123,186 | |
Pola Orbis Holdings, Inc. | | | 11,600 | | | | 407,171 | |
Rakuten, Inc. | | | 253,400 | | | | 2,322,037 | |
Resona Holdings, Inc. | | | 399,400 | | | | 2,385,943 | |
Rohm Co., Ltd. | | | 5,400 | | | | 598,110 | |
SBI Holdings, Inc. | | | 54,700 | | | | 1,143,760 | |
Secom Co., Ltd. | | | 133,300 | | | | 10,064,194 | |
Seibu Holdings, Inc. | | | 357,200 | | | | 6,755,653 | |
Sekisui Chemical Co., Ltd. | | | 255,500 | | | | 5,129,274 | |
Sekisui House, Ltd. | | | 7,300 | | | | 131,876 | |
Seven & i Holdings Co., Ltd. | | | 11,200 | | | | 465,495 | |
Shimamura Co., Ltd. | | | 5,600 | | | | 616,286 | |
Shimizu Corporation | | | 28,100 | | | | 290,290 | |
Shinsei Bank, Ltd. | | | 48,100 | | | | 832,012 | |
Shionogi & Co., Ltd. | | | 16,000 | | | | 865,782 | |
Shiseido Co., Ltd. | | | 3,000 | | | | 145,001 | |
SMC Corporation | | | 9,700 | | | | 3,992,776 | |
SoftBank Group Corporation | | | 96,900 | | | | 7,671,160 | |
Sojitz Corporation | | | 219,000 | | | | 672,501 | |
| | | | |
| | See Notes to Financial Statements. | | 247 |
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | |
| | | Shares | | | Value | |
Sompo Holdings, Inc. | | | 36,800 | | | $ | 1,425,296 | |
Square Enix Holdings Co., Ltd. | | | 14,900 | | | | 708,800 | |
Start Today Co., Ltd. | | | 47,700 | | | | 1,449,944 | |
Subaru Corporation | | | 2,400 | | | | 76,319 | |
SUMCO Corporation | | | 23,700 | | | | 607,460 | |
Sumitomo Chemical Co., Ltd. | | | 19,000 | | | | 136,587 | |
Sumitomo Corporation | | | 528,400 | | | | 8,980,572 | |
Sumitomo Dainippon Pharma Co., Ltd. | | | 58,800 | | | | 873,585 | |
Sumitomo Electric Industries, Ltd. | | | 343,100 | | | | 5,800,803 | |
Sumitomo Heavy Industries, Ltd. | | | 6,400 | | | | 270,939 | |
Sumitomo Mitsui Financial Group, Inc. | | | 19,700 | | | | 851,117 | |
Sumitomo Osaka Cement Co., Ltd. | | | 849,000 | | | | 4,091,475 | |
Sumitomo Realty & Development Co., Ltd. | | | 6,000 | | | | 197,187 | |
Sysmex Corporation | | | 16,500 | | | | 1,298,913 | |
Taisei Corporation | | | 32,900 | | | | 1,638,065 | |
Takeda Pharmaceutical Co., Ltd. | | | 262,300 | | | | 14,901,108 | |
Terumo Corporation | | | 95,400 | | | | 4,521,287 | |
THK Co., Ltd. | | | 9,100 | | | | 341,629 | |
Tokio Marine Holdings, Inc. | | | 209,800 | | | | 9,572,503 | |
Tokyo Electric Power Co. Holdings, Inc.* | | | 255,800 | | | | 1,012,530 | |
Tokyo Electron, Ltd. | | | 15,900 | | | | 2,878,722 | |
Toshiba Corporation* | | | 112,000 | | | | 315,101 | |
Tosoh Corporation | | | 83,900 | | | | 1,901,758 | |
Toyota Boshoku Corporation | | | 17,600 | | | | 368,479 | |
Trend Micro, Inc. | | | 95,500 | | | | 5,415,975 | |
| | | | | | | | |
| | | | | | | 276,213,225 | |
| | | | | | | | |
Jersey — 1.4% | | | | | | | | |
Experian PLC | | | 318,325 | | | | 7,031,308 | |
Glencore PLC* | | | 24,924 | | | | 131,239 | |
IWG PLC | | | 99,221 | | | | 344,821 | |
Randgold Resources, Ltd. | | | 1,392 | | | | 139,264 | |
Shire PLC | | | 77,499 | | | | 4,080,776 | |
WPP PLC | | | 630,464 | | | | 11,414,874 | |
| | | | | | | | |
| | | | | | | 23,142,282 | |
| | | | | | | | |
Malaysia — 0.4% | | | | | | | | |
CIMB Group Holdings Bhd | | | 3,735,700 | | | | 6,036,936 | |
Netherlands — 6.8% | | | | | | | | |
ABN AMRO Group NV CVA 144A | | | 76,453 | | | | 2,467,594 | |
Airbus SE | | | 114,900 | | | | 11,442,610 | |
Akzo Nobel NV | | | 2,091 | | | | 183,199 | |
ASM International NV | | | 11,275 | | | | 762,591 | |
ASML Holding NV | | | 52,392 | | | | 9,124,498 | |
ASR Nederland NV | | | 11,371 | | | | 468,040 | |
CNH Industrial NV | | | 567,251 | | | | 7,602,482 | |
EXOR NV | | | 2,756 | | | | 168,977 | |
Ferrari NV | | | 52,659 | | | | 5,525,345 | |
Fiat Chrysler Automobiles NV | | | 782,074 | | | | 13,991,119 | |
Gemalto NV | | | 3,241 | | | | 192,491 | |
ING Groep NV | | | 1,120,434 | | | | 20,602,206 | |
Koninklijke Ahold Delhaize NV | | | 672,564 | | | | 14,795,904 | |
Koninklijke DSM NV | | | 6,472 | | | | 618,672 | |
Koninklijke Philips NV | | | 311,338 | | | | 11,782,048 | |
| | | | | | | | |
| | | Shares | | | Value | |
Koninklijke Vopak NVD | | | 109,600 | | | $ | 4,809,085 | |
NN Group NV | | | 11,320 | | | | 490,593 | |
Philips Lighting NV 144A | | | 15,484 | | | | 568,501 | |
Randstad Holding NV | | | 30,197 | | | | 1,856,521 | |
STMicroelectronics NV | | | 62,040 | | | | 1,354,853 | |
Unilever NV CVA | | | 5,393 | | | | 303,836 | |
Wolters Kluwer NV | | | 17,568 | | | | 916,513 | |
| | | | | | | | |
| | | | | | | 110,027,678 | |
| | | | | | | | |
Nigeria — 0.0% | | | | | | | | |
Afriland Properties
PLC* Y††† | | | 364,373 | | | | — | |
| | | | | | | | |
Norway — 0.3% | | | | | | | | |
DNB ASA | | | 33,883 | | | | 627,677 | |
Leroy Seafood Group ASA | | | 106,554 | | | | 570,756 | |
Marine Harvest ASA* | | | 39,870 | | | | 674,973 | |
Norsk Hydro ASA | | | 94,061 | | | | 714,284 | |
Salmar ASA | | | 22,476 | | | | 675,599 | |
Schibsted ASA, B Shares | | | 43,398 | | | | 1,152,262 | |
| | | | | | | | |
| | | | | | | 4,415,551 | |
| | | | | | | | |
Portugal — 0.1% | | | | | | | | |
EDP - Energias de Portugal SA | | | 96,013 | | | | 332,355 | |
Galp Energia SGPS SA | | | 33,648 | | | | 618,709 | |
Jeronimo Martins SGPS SA | | | 48,978 | | | | 951,720 | |
| | | | | | | | |
| | | | | | | 1,902,784 | |
| | | | | | | | |
Singapore — 3.3% | | | | | | | | |
Ascendas Real Estate Investment Trust | | | 2,935,400 | | | | 5,969,784 | |
CapitaLand Commercial Trust REIT | | | 68,000 | | | | 98,127 | |
CapitaLand Mall Trust REIT | | | 56,200 | | | | 89,503 | |
DBS Group Holdings, Ltd. | | | 442,000 | | | | 8,212,419 | |
Jardine Matheson Holdings, Ltd. | | | 68,800 | | | | 4,179,600 | |
Oversea-Chinese Banking Corporation, Ltd. | | | 14,900 | | | | 138,032 | |
Sembcorp Industries, Ltd. | | | 14,800 | | | | 33,530 | |
Singapore Exchange, Ltd. | | | 13,600 | | | | 75,654 | |
Singapore Telecommunications, Ltd. | | | 2,835,500 | | | | 7,568,683 | |
Suntec Real Estate Investment Trust | | | 61,800 | | | | 99,346 | |
United Overseas Bank, Ltd. | | | 1,303,358 | | | | 25,775,782 | |
UOL Group, Ltd. | | | 14,686 | | | | 97,398 | |
Yangzijiang Shipbuilding Holdings, Ltd. | | | 1,347,100 | | | | 1,480,606 | |
| | | | | | | | |
| | | | | | | 53,818,464 | |
| | | | | | | | |
South Korea — 0.2% | | | | | | | | |
Celltrion, Inc.* | | | 5,598 | | | | 1,154,678 | |
Samsung Securities Co., Ltd. | | | 88,100 | | | | 3,007,065 | |
| | | | | | | | |
| | | | | | | 4,161,743 | |
| | | | | | | | |
Spain — 4.8% | | | | | | | | |
Abertis Infraestructuras SA | | | 12,295 | | | | 273,653 | |
ACS Actividades de Construccion y Servicios SA | | | 7,650 | | | | 299,414 | |
Aena SME SA 144A | | | 594 | | | | 120,448 | |
Amadeus IT Group SA | | | 181,895 | | | | 13,118,810 | |
Banco Bilbao Vizcaya Argentaria SA | | | 476,653 | | | | 4,067,439 | |
Banco de Sabadell SA | | | 3,144,452 | | | | 6,247,874 | |
Banco Santander SA | | | 1,010,967 | | | | 6,646,075 | |
| | | | |
| 248 | | See Notes to Financial Statements. | | |
| | | | | | | | |
| | | Shares | | | Value | |
Distribuidora Internacional de Alimentacion SA | | | 124,603 | | | $ | 643,320 | |
Ebro Foods SA | | | 326,408 | | | | 7,644,825 | |
Endesa SA | | | 55,765 | | | | 1,194,672 | |
Grifols SA | | | 17,550 | | | | 514,326 | |
Iberdrola SA | | | 1,667,150 | | | | 12,922,132 | |
Industria de Diseno Textil SA | | | 201,242 | | | | 7,013,212 | |
International Consolidated Airlines Group SA | | | 114,259 | | | | 1,004,277 | |
Mapfre SA | | | 226,603 | | | | 728,120 | |
Mediaset Espana Comunicacion SA | | | 21,751 | | | | 244,251 | |
Melia Hotels International SA | | | 26,199 | | | | 361,501 | |
Repsol SA | | | 241,632 | | | | 4,274,902 | |
Telefonica SA | | | 1,049,862 | | | | 10,234,875 | |
| | | | | | | | |
| | | | | | | 77,554,126 | |
| | | | | | | | |
Sweden — 2.7% | | | | | | | | |
Alfa Laval AB | | | 68,330 | | | | 1,614,311 | |
Atlas Copco AB, A Shares | | | 135,154 | | | | 5,835,787 | |
Atlas Copco AB, B Shares | | | 6,930 | | | | 265,775 | |
BillerudKorsnas AB | | | 4,846 | | | | 83,001 | |
Boliden AB | | | 84,197 | | | | 2,880,092 | |
Electrolux AB, Series B | | | 46,515 | | | | 1,498,691 | |
Elekta AB, B SharesD | | | 92,647 | | | | 765,178 | |
Essity AB* | | | 36,037 | | | | 1,023,591 | |
Holmen AB | | | 1,616 | | | | 85,892 | |
Investor AB, B Shares | | | 8,150 | | | | 371,678 | |
Kinnevik AB Class B | | | 92,007 | | | | 3,110,232 | |
NCC AB, B Shares | | | 6,774 | | | | 129,896 | |
Sandvik AB | | | 33,533 | | | | 587,423 | |
Skandinaviska Enskilda Banken AB Class A | | | 30,307 | | | | 355,788 | |
Svenska Cellulosa AB SCA
Class B | | | 147,297 | | | | 1,518,202 | |
Svenska Handelsbanken AB, A Shares | | | 214,377 | | | | 2,932,196 | |
Tele2 AB, B Shares | | | 10,793 | | | | 132,625 | |
Telefonaktiebolaget LM Ericsson, B SharesD | | | 939,816 | | | | 6,169,508 | |
Telia Co. AB | | | 3,108,120 | | | | 13,848,641 | |
Volvo AB, B Shares | | | 13,033 | | | | 242,608 | |
| | | | | | | | |
| | | | | | | 43,451,115 | |
| | | | | | | | |
Switzerland — 7.7% | | | | | | | | |
ABB, Ltd. | | | 569,045 | | | | 15,253,174 | |
Adecco Group AG | | | 37,315 | | | | 2,854,773 | |
Aryzta AG*D | | | 112,900 | | | | 4,477,998 | |
Bucher Industries AG | | | 259 | | | | 105,253 | |
Cie Financiere Richemont SA | | | 30,474 | | | | 2,761,408 | |
Credit Suisse Group AG*D | | | 436,460 | | | | 7,793,528 | |
GAM Holding AG* | | | 7,596 | | | | 122,774 | |
Georg Fischer AG | | | 294 | | | | 388,601 | |
Lonza Group AG* | | | 2,453 | | | | 662,810 | |
Nestle SA | | | 161,043 | | | | 13,849,252 | |
Novartis AG | | | 314,570 | | | | 26,600,203 | |
Roche Holding AG | | | 74,972 | | | | 18,965,158 | |
Sika AG | | | 170 | | | | 1,350,300 | |
Sonova Holding AG | | | 782 | | | | 122,141 | |
Straumann Holding AG | | | 1,012 | | | | 715,031 | |
Sunrise Communications Group AG* 144A | | | 1,801 | | | | 164,492 | |
| | | | | | | | |
| | | Shares | | | Value | |
Swiss Life Holding AG* | | | 4,240 | | | $ | 1,501,154 | |
Swiss Re AG | | | 17,537 | | | | 1,642,210 | |
Temenos Group AG* | | | 19,412 | | | | 2,490,122 | |
UBS Group AG*D | | | 588,778 | | | | 10,839,630 | |
Zurich Insurance Group AG | | | 40,177 | | | | 12,228,948 | |
| | | | | | | | |
| | | | | | | 124,888,960 | |
| | | | | | | | |
Taiwan — 1.4% | | | | | | | | |
MediaTek, Inc. | | | 510,100 | | | | 5,039,549 | |
Taiwan Semiconductor Manufacturing Co., Ltd. ADRD | | | 439,865 | | | | 17,440,647 | |
| | | | | | | | |
| | | | | | | 22,480,196 | |
| | | | | | | | |
Turkey — 0.0% | | | | | | | | |
Yapi ve Kredi Bankasi AS* | | | 1 | | | | 1 | |
| | | | | | | | |
United Kingdom — 15.0% | | | | | | | | |
3i Group PLC | | | 34,312 | | | | 423,191 | |
Ashtead Group PLC | | | 60,863 | | | | 1,636,910 | |
ASOS PLC* | | | 2,494 | | | | 226,112 | |
Associated British Foods PLC | | | 12,265 | | | | 466,980 | |
AstraZeneca PLC | | | 3,650 | | | | 252,365 | |
Babcock International Group PLC | | | 457,300 | | | | 4,355,924 | |
Barclays PLC | | | 1,011,739 | | | | 2,774,345 | |
Barratt Developments PLC | | | 242,292 | | | | 2,118,170 | |
BBA Aviation PLC | | | 118,677 | | | | 560,331 | |
Bellway PLC | | | 2,534 | | | | 121,900 | |
Berkeley Group Holdings PLC | | | 4,234 | | | | 239,923 | |
BHP Billiton PLC | | | 85,804 | | | | 1,763,790 | |
BP PLC | | | 3,069,293 | | | | 21,660,720 | |
BP PLC ADR | | | 92,800 | | | | 3,900,384 | |
British Land Co. PLC (The) REIT | | | 18,907 | | | | 176,521 | |
BT Group PLC | | | 1,159,091 | | | | 4,251,961 | |
Burberry Group PLC | | | 39,244 | | | | 949,496 | |
Close Brothers Group PLC | | | 26,052 | | | | 509,321 | |
Coca-Cola European Partners PLC | | | 149,700 | | | | 5,965,545 | |
Compass Group PLC | | | 521,620 | | | | 11,268,245 | |
Dialog Semiconductor PLC* | | | 52,600 | | | | 1,637,759 | |
Dixons Carphone PLC | | | 548,821 | | | | 1,474,572 | |
DS Smith PLC | | | 775,133 | | | | 5,415,875 | |
G4S PLC | | | 2,808,717 | | | | 10,125,146 | |
GKN PLC | | | 138,420 | | | | 596,920 | |
GlaxoSmithKline PLC | | | 1,141,151 | | | | 20,376,090 | |
Hammerson PLC REIT | | | 15,352 | | | | 113,379 | |
Hays PLC | | | 68,383 | | | | 168,867 | |
Howden Joinery Group PLC | | | 12,983 | | | | 81,825 | |
HSBC Holdings PLC | | | 25,849 | | | | 267,648 | |
Inchcape PLC | | | 91,313 | | | | 964,715 | |
Indivior PLC* | | | 377,560 | | | | 2,080,851 | |
Intermediate Capital Group PLC | | | 66,979 | | | | 1,036,347 | |
Investec PLC | | | 126,012 | | | | 910,223 | |
JD Sports Fashion PLC | | | 33,087 | | | | 150,189 | |
John Wood Group PLC | | | 767,916 | | | | 6,739,212 | |
Kingfisher PLC | | | 2,661,798 | | | | 12,136,353 | |
Land Securities Group PLC REIT | | | 14,472 | | | | 196,957 | |
Lloyds Banking Group PLC | | | 17,887,805 | | | | 16,437,321 | |
London Stock Exchange Group PLC | | | 5,849 | | | | 299,534 | |
Man Group PLC | | | 752,120 | | | | 2,100,002 | |
| | | | |
| | See Notes to Financial Statements. | | 249 |
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | |
| | | Shares | | | Value | |
Mondi PLC | | | 58,909 | | | $ | 1,535,840 | |
Moneysupermarket.com Group PLC | | | 18,106 | | | | 87,076 | |
National Grid PLC | | | 907,776 | | | | 10,725,522 | |
Next PLC | | | 111,037 | | | | 6,783,727 | |
Ocado Group PLC* | | | 145,917 | | | | 782,326 | |
Old Mutual PLC | | | 638,541 | | | | 1,997,546 | |
Pearson PLC | | | 14,965 | | | | 148,709 | |
Persimmon PLC | | | 106,894 | | | | 3,951,562 | |
Reckitt Benckiser Group PLC | | | 9,734 | | | | 909,320 | |
RELX PLC | | | 20,897 | | | | 490,643 | |
Rio Tinto PLC | | | 33,895 | | | | 1,803,991 | |
Rolls-Royce Holdings PLC* | | | 720,345 | | | | 8,237,701 | |
Royal Bank of Scotland Group PLC* | | | 53,071 | | | | 199,198 | |
Royal Dutch Shell PLC, A Shares | | | 24,015 | | | | 804,112 | |
Royal Dutch Shell PLC, B Shares | | | 619,454 | | | | 20,979,987 | |
Royal Mail PLC | | | 151,983 | | | | 928,529 | |
RPC Group PLC | | | 508,100 | | | | 6,047,189 | |
Segro PLC REIT | | | 14,592 | | | | 115,647 | |
Sky PLC* | | | 19,585 | | | | 267,600 | |
Smith & Nephew PLC | | | 78,937 | | | | 1,372,709 | |
Spectris PLC | | | 2,486 | | | | 83,476 | |
SSE PLC | | | 8,478 | | | | 151,095 | |
Standard Chartered PLC* | | | 180,000 | | | | 1,895,854 | |
Standard Life Aberdeen PLC | | | 96,915 | | | | 571,290 | |
Tate & Lyle PLC | | | 77,697 | | | | 737,465 | |
Taylor Wimpey PLC | | | 593,445 | | | | 1,653,759 | |
TechnipFMC PLC | | | 191,400 | | | | 5,936,486 | |
Tesco PLC | | | 5,750,860 | | | | 16,247,267 | |
Unilever PLC | | | 21,864 | | | | 1,217,834 | |
| | | | | | | | |
| | | | | | | 243,595,379 | |
| | | | | | | | |
Total Foreign Common Stocks
(Cost $1,353,643,818) | | | | | | | 1,576,244,392 | |
| | | | | | | | |
FOREIGN PREFERRED STOCKS — 0.2% | |
Germany — 0.2% | | | | | | | | |
Bayerische | | | | | | | | |
MotorenWerke AG | | | | | | | | |
4.76%, 05/12/17 | | | 9,226 | | | | 826,251 | |
Henkel AG & Co | | | | | | | | |
KGaA | | | | | | | | |
1.48%, 04/07/17* | | | 640 | | | | 84,738 | |
Porsche Automobil | | | | | | | | |
Holding SE | | | | | | | | |
1.45%, 05/31/17 | | | 2,638 | | | | 220,868 | |
Sartorius AG | | | | | | | | |
0.57%, 04/07/17D | | | 8,704 | | | | 830,676 | |
Schaeffler AG | | | | | | | | |
3.54%, 04/27/17* | | | 70,453 | | | | 1,249,821 | |
| | | | | | | | |
| | | | | | | 3,212,354 | |
| | | | | | | | |
Total Foreign Preferred Stocks
(Cost $3,087,450) | | | | | | | 3,212,354 | |
| | | | | | | | |
MONEY MARKET FUNDS — 5.4% | | | | | |
GuideStone Money Market Fund | | | | | | | | |
(Investor Class)¥ | | | 69,014,841 | | | | 69,014,841 | |
Northern Institutional Liquid Assets | | | | | | | | |
Portfolio§ | | | 18,506,949 | | | | 18,506,949 | |
| | | | | | | | |
Total Money Market Funds
(Cost $87,521,790) | | | | | | | 87,521,790 | |
| | | | | | | | |
| | | | | | | | |
| | | Par | | | Value | |
U.S. TREASURY OBLIGATION — 0.1% | |
U.S. Treasury Bill | | | | | | | | |
1.42%, 06/07/18W‡‡ | | | | | | | | |
(Cost $2,186,472) | | $ | 2,200,000 | | | $ | 2,186,058 | |
| | | | | | | | |
TOTAL INVESTMENTS — 104.9% | | | | | |
(Cost $1,470,066,726) | | | | | | | 1,704,150,844 | |
| | | | | | | | |
| | | Shares | | | | |
FOREIGN COMMON STOCKS SOLD SHORT — (4.5)% | |
Australia — (0.4)% | | | | | | | | |
AMP, Ltd. | | | (461,073 | ) | | | (1,867,114 | ) |
Boral, Ltd. | | | (13,868 | ) | | | (84,292 | ) |
Iluka Resources, Ltd. | | | (41,348 | ) | | | (328,102 | ) |
Magellan Financial Group, Ltd. | | | (66,209 | ) | | | (1,392,742 | ) |
Platinum Asset Management, Ltd. | | | (206,554 | ) | | | (1,242,573 | ) |
REA Group, Ltd. | | | (3,611 | ) | | | (215,960 | ) |
SEEK, Ltd. | | | (48,446 | ) | | | (718,578 | ) |
TPG Telecom, Ltd. | | | (40,123 | ) | | | (205,680 | ) |
Vocus Group, Ltd. | | | (36,265 | ) | | | (85,736 | ) |
| | | | | | | | |
| | | | | | | (6,140,777 | ) |
| | | | | | | | |
Austria — (0.0)% | | | | | | | | |
ams AG* | | | (6,291 | ) | | | (571,029 | ) |
| | | | | | | | |
Denmark — (0.1)% | | | | | | | | |
Novozymes A/S, B Shares | | | (10,305 | ) | | | (588,767 | ) |
Pandora A/S | | | (10,425 | ) | | | (1,134,960 | ) |
| | | | | | | | |
| | | | | | | (1,723,727 | ) |
| | | | | | | | |
Finland — (0.1)% | | | | | | | | |
Amer Sports OYJ* | | | (45,430 | ) | | | (1,258,617 | ) |
Huhtamaki OYJ | | | (2,215 | ) | | | (93,019 | ) |
| | | | | | | | |
| | | | | | | (1,351,636 | ) |
| | | | | | | | |
France — (0.6)% | | | | | | | | |
Bollore SA | | | (400,001 | ) | | | (2,173,174 | ) |
Bollore SA NV* | | | (454 | ) | | | (2,478 | ) |
Edenred | | | (86,652 | ) | | | (2,513,980 | ) |
Electricite de France SA | | | (175,797 | ) | | | (2,197,891 | ) |
Getlink SE | | | (145,510 | ) | | | (1,871,607 | ) |
JCDecaux SA | | | (2,159 | ) | | | (87,053 | ) |
Zodiac Aerospace | | | (4,591 | ) | | | (137,327 | ) |
| | | | | | | | |
| | | | | | | (8,983,510 | ) |
| | | | | | | | |
Germany — (0.2)% | | | | | | | | |
GEA Group AG* | | | (23,190 | ) | | | (1,113,259 | ) |
Zalando SE*D 144A | | | (35,439 | ) | | | (1,875,835 | ) |
| | | | | | | | |
| | | | | | | (2,989,094 | ) |
| | | | | | | | |
Italy — (0.5)% | | | | | | | | |
BPER Banca | | | (322,242 | ) | | | (1,627,763 | ) |
Brembo SpA | | | (23,801 | ) | | | (361,825 | ) |
Buzzi Unicem SpA | | | (8,453 | ) | | | (228,202 | ) |
Recordati SpA | | | (1,749 | ) | | | (77,772 | ) |
Saipem SpA* | | | (200,109 | ) | | | (913,824 | ) |
Salvatore Ferragamo SpA | | | (35,835 | ) | | | (952,375 | ) |
Tenaris SA | | | (231,093 | ) | | | (3,648,965 | ) |
UniCredit SpA* | | | (6,578 | ) | | | (122,967 | ) |
Unione Di Banche Italiane | | | (154,169 | ) | | | (674,436 | ) |
| | | | | | | | |
| | | | | | | (8,608,129 | ) |
| | | | | | | | |
| | | | |
| 250 | | See Notes to Financial Statements. | | |
| | | | | | | | |
| | | Shares | | | Value | |
Japan — (0.8)% | | | | | | | | |
Acom Co., Ltd.* | | | (128,600 | ) | | $ | (542,134 | ) |
ASICS Corporation | | | (5,700 | ) | | | (90,856 | ) |
Bank of Kyoto, Ltd. (The) | | | (12,400 | ) | | | (646,000 | ) |
Calbee, Inc. | | | (20,500 | ) | | | (666,807 | ) |
Chugoku Electric Power Co., Inc. | | | | | | | | |
(The) | | | (43,300 | ) | | | (465,376 | ) |
Hokuriku Electric Power Co. | | | (90,400 | ) | | | (727,693 | ) |
Kansai Paint Co., Ltd. | | | (22,000 | ) | | | (571,697 | ) |
Keikyu Corporation | | | (9,400 | ) | | | (180,617 | ) |
Kyushu Electric Power Co., Inc. | | | (11,800 | ) | | | (123,681 | ) |
Marui Group Co., Ltd. | | | (12,300 | ) | | | (225,204 | ) |
MonotaRO Co., Ltd. | | | (27,900 | ) | | | (891,413 | ) |
Nagoya Railroad Co., Ltd. | | | (3,100 | ) | | | (78,054 | ) |
Nankai Electric Railway Co., Ltd. | | | (3,200 | ) | | | (79,293 | ) |
NGK Spark Plug Co., Ltd. | | | (30,700 | ) | | | (746,282 | ) |
Nippon Paint Holdings Co., Ltd. | | | (56,500 | ) | | | (1,787,641 | ) |
Nippon Yusen KK* | | | (5,000 | ) | | | (121,988 | ) |
Ricoh Co., Ltd. | | | (56,500 | ) | | | (525,010 | ) |
Seven Bank, Ltd. | | | (136,400 | ) | | | (467,277 | ) |
Shimano, Inc. | | | (8,900 | ) | | | (1,251,964 | ) |
Sony Financial Holdings, Inc. | | | (71,700 | ) | | | (1,270,142 | ) |
Suruga Bank, Ltd. | | | (23,800 | ) | | | (510,536 | ) |
Taiyo Nippon Sanso Corporation | | | (6,100 | ) | | | (85,376 | ) |
Toho Gas Co., Ltd. | | | (4,900 | ) | | | (134,378 | ) |
Yaskawa Electric Corporation | | | (8,500 | ) | | | (374,551 | ) |
| | | | | | | | |
| | | | | | | (12,563,970 | ) |
| | | | | | | | |
Jersey — (0.0)% | | | | | | | | |
Petrofac, Ltd. | | | (120,388 | ) | | | (828,964 | ) |
| | | | | | | | |
Netherlands — (0.3)% | | | | | | | | |
Altice NV Class A* | | | (211,947 | ) | | | (2,224,148 | ) |
Ferrari NV | | | (3,593 | ) | | | (377,002 | ) |
Koninklijke Vopak NVD | | | (23,234 | ) | | | (1,019,474 | ) |
OCI NV* | | | (40,857 | ) | | | (1,030,938 | ) |
| | | | | | | | |
| | | | | | | (4,651,562 | ) |
| | | | | | | | |
Norway — (0.1)% | | | | | | | | |
Schibsted ASA Class A | | | (79,519 | ) | | | (2,272,082 | ) |
Schibsted ASA, B Shares | | | (4,428 | ) | | | (117,568 | ) |
| | | | | | | | |
| | | | | | | (2,389,650 | ) |
| | | | | | | | |
Papua New Guinea — (0.0)% | | | | | | | | |
Oil Search, Ltd. | | | (79,440 | ) | | | (482,848 | ) |
| | | | | | | | |
Portugal — (0.0)% | | | | | | | | |
Banco Comercial Portugues SA* | | | (505,158 | ) | | | (164,863 | ) |
| | | | | | | | |
Spain — (0.3)% | | | | | | | | |
Bankia SA | | | (388,403 | ) | | | (1,858,043 | ) |
Cellnex Telecom SA 144A | | | (94,361 | ) | | | (2,417,227 | ) |
Tecnicas Reunidas SA | | | (10,804 | ) | | | (343,006 | ) |
Zardoya Otis SA | | | (4,146 | ) | | | (45,368 | ) |
| | | | | | | | |
| | | | | | | (4,663,644 | ) |
| | | | | | | | |
Sweden — (0.1)% | | | | | | | | |
Millicom International Cellular SA | | | | | | | | |
SDR | | | (19,362 | ) | | | (1,307,621 | ) |
| | | | | | | | |
Switzerland — (0.2)% | | | | | | | | |
Credit Suisse Group AG*D | | | (50,132 | ) | | | (895,168 | ) |
| | | | | | | | |
| | | Shares | | | Value | |
Panalpina Welttransport Holding AG | | | (1,034 | ) | | $ | (160,334 | ) |
Vifor Pharma AG | | | (12,164 | ) | | | (1,559,119 | ) |
| | | | | | | | |
| | | | | | | (2,614,621 | ) |
| | | | | | | | |
United Kingdom — (0.8)% | | | | | | | | |
AA PLC | | | (38,408 | ) | | | (88,156 | ) |
Admiral Group PLC | | | (6,239 | ) | | | (168,640 | ) |
Ashmore Group PLC | | | (14,825 | ) | | | (81,085 | ) |
Beazley PLC | | | (79,144 | ) | | | (571,147 | ) |
BTG PLC* | | | (41,834 | ) | | | (430,677 | ) |
Capita PLC | | | (86,056 | ) | | | (465,800 | ) |
Cobham PLC* | | | (370,565 | ) | | | (631,902 | ) |
ConvaTec Group PLC 144A | | | (281,723 | ) | | | (781,657 | ) |
CYBG PLC* | | | (19,527 | ) | | | (89,560 | ) |
Hargreaves Lansdown PLC | | | (55,946 | ) | | | (1,361,150 | ) |
Hikma Pharmaceuticals PLC | | | (79,041 | ) | | | (1,210,173 | ) |
Hiscox, Ltd. | | | (6,342 | ) | | | (125,357 | ) |
Inmarsat PLC | | | (151,737 | ) | | | (1,005,491 | ) |
John Wood Group PLC | | | (247,140 | ) | | | (2,168,894 | ) |
Jupiter Fund Management PLC | | | (10,579 | ) | | | (89,770 | ) |
Just Eat PLC* | | | (101,477 | ) | | | (1,070,042 | ) |
Mediclinic International PLC | | | (20,541 | ) | | | (180,129 | ) |
Pennon Group PLC | | | (23,230 | ) | | | (245,580 | ) |
Rightmove PLC | | | (7,366 | ) | | | (447,534 | ) |
Tesco PLC | | | (743,950 | ) | | | (2,101,799 | ) |
| | | | | | | | |
| | | | | | | (13,314,543 | ) |
| | | | | | | | |
Total Foreign Common Stocks Sold Short
(Proceeds $(67,648,376)) | | | | | | | (73,350,188 | ) |
| | | | | | | | |
FOREIGN PREFERRED STOCKS SOLD
SHORT — (0.1)% | |
Germany — (0.1)% | | | | | | | | |
Sartorius AG 0.57%, 04/07/17D
(Proceeds $(1,869,842)) | | | (19,570 | ) | | | (1,867,684 | ) |
| | | | | | | | |
Liabilities in Excess of Other | | | | | | | | |
Assets — (0.3)% | | | | | | | (4,298,372 | ) |
| | | | | | | | |
NET ASSETS — 100.0% | | | | | | | | |
| | | | | | $ | 1,624,634,600 | |
| | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 251 |
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Futures Contracts outstanding at December 31, 2017:
| | | | | | | | | | | | | | | | |
Future Type | | Expiration Date | | Open Long
(Short) Contracts | | Notional
Market Value
of Contracts | | | Counterparty | | | Value and
Unrealized
Appreciation
(Depreciation) | |
AEX Index | | 01/2018 | | 11 | | $ | 1,437,300 | | | | BAR | | | $ | (14,243 | ) |
CAC40 Index | | 01/2018 | | 36 | | | 2,293,849 | | | | BAR | | | | (32,492 | ) |
IBEX 35 Index | | 01/2018 | | (143) | | | (17,193,544 | ) | | | BAR | | | | 347,397 | |
OMX 30 Index | | 01/2018 | | (237) | | | (4,548,247 | ) | | | BAR | | | | 130,255 | |
Hang Seng Index | | 01/2018 | | 101 | | | 19,357,520 | | | | BAR | | | | 242,442 | |
Hang Seng Index | | 01/2018 | | 79 | | | 15,141,031 | | | | JPM | | | | 206,829 | |
SGX MSCI Singapore Index | | 01/2018 | | 55 | | | 1,595,985 | | | | BAR | | | | 9,506 | |
TOPIX Index® | | 03/2018 | | 175 | | | 28,220,546 | | | | BAR | | | | 514,954 | |
ASX SPI 200 Index | | 03/2018 | | (264) | | | (31,000,895 | ) | | | BAR | | | | 49,551 | |
DAX Index | | 03/2018 | | 31 | | | 12,004,799 | | | | BAR | | | | (202,697 | ) |
FTSE 100 Index® | | 03/2018 | | (28) | | | (2,887,485 | ) | | | BAR | | | | (72,419 | ) |
FTSE/MIB Index | | 03/2018 | | 35 | | | 4,568,399 | | | | BAR | | | | (186,077 | ) |
MSCI EAFE Index E-Mini | | 03/2018 | | 563 | | | 57,580,825 | | | | GSC | | | | 705,573 | |
S&P/TSE 60 Index | | 03/2018 | | 2 | | | 304,471 | | | | BAR | | | | (572 | ) |
| | | | | | | | | | | | | | | | |
Total Futures Contracts outstanding at December 31, 2017 | | $ | 86,874,554 | | | | | | | $ | 1,698,007 | |
| | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts outstanding at December 31, 2017:
| | | | | | | | | | | | | | | | | | |
Expiration Date | | Currency Purchased | | Amount
of Currency
Purchased | | | Currency Sold | | Amount
of Currency
Sold | | | Counterparty | | Net Unrealized
Appreciation
(Depreciation) | |
03/21/18 | | New Zealand Dollars | | | 8,873,000 | | | U.S. Dollars | | | 6,033,042 | | | CITI | | $ | 248,954 | |
03/21/18 | | Australian Dollars | | | 3,421,600 | | | U.S. Dollars | | | 2,567,416 | | | CITI | | | 101,854 | |
03/21/18 | | Australian Dollars | | | 3,421,600 | | | U.S. Dollars | | | 2,571,460 | | | CITI | | | 97,810 | |
03/21/18 | | Australian Dollars | | | 3,421,600 | | | U.S. Dollars | | | 2,572,204 | | | CITI | | | 97,066 | |
03/21/18 | | Australian Dollars | | | 3,421,600 | | | U.S. Dollars | | | 2,576,488 | | | CITI | | | 92,782 | |
03/21/18 | | Australian Dollars | | | 3,421,600 | | | U.S. Dollars | | | 2,582,163 | | | CITI | | | 87,107 | |
03/21/18 | | Australian Dollars | | | 3,421,600 | | | U.S. Dollars | | | 2,586,216 | | | CITI | | | 83,054 | |
03/21/18 | | Australian Dollars | | | 3,421,600 | | | U.S. Dollars | | | 2,590,219 | | | CITI | | | 79,051 | |
03/21/18 | | Australian Dollars | | | 3,421,600 | | | U.S. Dollars | | | 2,593,232 | | | CITI | | | 76,038 | |
03/21/18 | | Australian Dollars | | | 3,421,600 | | | U.S. Dollars | | | 2,593,411 | | | CITI | | | 75,859 | |
03/21/18 | | Australian Dollars | | | 3,421,600 | | | U.S. Dollars | | | 2,595,918 | | | CITI | | | 73,352 | |
03/21/18 | | New Zealand Dollars | | | 3,726,000 | | | U.S. Dollars | | | 2,565,398 | | | CITI | | | 72,573 | |
03/21/18 | | New Zealand Dollars | | | 8,315,000 | | | U.S. Dollars | | | 5,815,325 | | | CITI | | | 71,612 | |
03/21/18 | | Australian Dollars | | | 3,421,600 | | | U.S. Dollars | | | 2,599,930 | | | CITI | | | 69,340 | |
03/21/18 | | Australian Dollars | | | 3,421,600 | | | U.S. Dollars | | | 2,600,340 | | | CITI | | | 68,930 | |
03/21/18 | | Australian Dollars | | | 3,421,600 | | | U.S. Dollars | | | 2,600,900 | | | CITI | | | 68,370 | |
03/21/18 | | Australian Dollars | | | 3,421,600 | | | U.S. Dollars | | | 2,603,232 | | | CITI | | | 66,038 | |
03/21/18 | | Euro | | | 3,034,125 | | | U.S. Dollars | | | 3,599,244 | | | CITI | | | 58,991 | |
03/21/18 | | Australian Dollars | | | 3,421,600 | | | U.S. Dollars | | | 2,611,734 | | | CITI | | | 57,536 | |
03/21/18 | | Euro | | | 3,034,125 | | | U.S. Dollars | | | 3,609,683 | | | CITI | | | 48,552 | |
03/21/18 | | Euro | | | 3,034,125 | | | U.S. Dollars | | | 3,615,634 | | | CITI | | | 42,601 | |
03/21/18 | | Euro | | | 3,034,125 | | | U.S. Dollars | | | 3,616,218 | | | CITI | | | 42,016 | |
03/21/18 | | Euro | | | 3,034,125 | | | U.S. Dollars | | | 3,619,148 | | | CITI | | | 39,087 | |
03/21/18 | | Canadian Dollars | | | 2,052,666 | | | U.S. Dollars | | | 1,596,250 | | | CITI | | | 38,455 | |
03/21/18 | | Euro | | | 3,034,125 | | | U.S. Dollars | | | 3,620,605 | | | CITI | | | 37,630 | |
03/21/18 | | Canadian Dollars | | | 2,052,667 | | | U.S. Dollars | | | 1,598,550 | | | CITI | | | 36,155 | |
03/21/18 | | Canadian Dollars | | | 2,052,666 | | | U.S. Dollars | | | 1,599,322 | | | CITI | | | 35,383 | |
03/21/18 | | Canadian Dollars | | | 2,052,666 | | | U.S. Dollars | | | 1,599,428 | | | CITI | | | 35,277 | |
03/21/18 | | Canadian Dollars | | | 2,052,667 | | | U.S. Dollars | | | 1,599,860 | | | CITI | | | 34,846 | |
| | | | |
| 252 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | | | |
Expiration Date | | Currency Purchased | | Amount
of Currency
Purchased | | | Currency Sold | | Amount
of Currency
Sold | | | Counterparty | | Net Unrealized
Appreciation
(Depreciation) | |
03/21/18 | | Canadian Dollars | | | 2,052,667 | | | U.S. Dollars | | | 1,600,046 | | | CITI | | $ | 34,660 | |
03/21/18 | | Australian Dollars | | | 2,268,000 | | | U.S. Dollars | | | 1,738,712 | | | CITI | | | 30,608 | |
03/21/18 | | Canadian Dollars | | | 2,052,667 | | | U.S. Dollars | | | 1,606,558 | | | CITI | | | 28,148 | |
03/21/18 | | Canadian Dollars | | | 2,052,666 | | | U.S. Dollars | | | 1,609,227 | | | CITI | | | 25,478 | |
03/21/18 | | Canadian Dollars | | | 2,052,667 | | | U.S. Dollars | | | 1,609,253 | | | CITI | | | 25,453 | |
03/21/18 | | Euro | | | 1,912,000 | | | U.S. Dollars | | | 2,281,197 | | | CITI | | | 24,096 | |
03/21/18 | | Euro | | | 3,034,125 | | | U.S. Dollars | | | 3,634,447 | | | CITI | | | 23,787 | |
03/21/18 | | Canadian Dollars | | | 2,052,666 | | | U.S. Dollars | | | 1,611,798 | | | CITI | | | 22,906 | |
03/21/18 | | Canadian Dollars | | | 2,052,667 | | | U.S. Dollars | | | 1,613,052 | | | CITI | | | 21,654 | |
03/21/18 | | Canadian Dollars | | | 2,052,667 | | | U.S. Dollars | | | 1,617,101 | | | CITI | | | 17,605 | |
03/21/18 | | Euro | | | 850,000 | | | U.S. Dollars | | | 1,007,818 | | | CITI | | | 17,024 | |
03/21/18 | | Canadian Dollars | | | 2,052,667 | | | U.S. Dollars | | | 1,619,201 | | | CITI | | | 15,505 | |
03/21/18 | | Canadian Dollars | | | 2,052,667 | | | U.S. Dollars | | | 1,619,889 | | | CITI | | | 14,817 | |
03/21/18 | | Swiss Francs | | | 947,000 | | | U.S. Dollars | | | 963,516 | | | CITI | | | 13,996 | |
03/21/18 | | Canadian Dollars | | | 2,052,667 | | | U.S. Dollars | | | 1,623,014 | | | CITI | | | 11,691 | |
03/21/18 | | British Pounds | | | 2,136,000 | | | U.S. Dollars | | | 2,880,076 | | | CITI | | | 11,584 | |
03/21/18 | | New Zealand Dollars | | | 618,000 | | | U.S. Dollars | | | 428,507 | | | CITI | | | 9,031 | |
03/21/18 | | Singapore Dollars | | | 548,500 | | | U.S. Dollars | | | 404,842 | | | CITI | | | 5,778 | |
03/21/18 | | Singapore Dollars | | | 1,097,000 | | | U.S. Dollars | | | 816,110 | | | CITI | | | 5,129 | |
03/21/18 | | British Pounds | | | 177,000 | | | U.S. Dollars | | | 234,739 | | | CITI | | | 4,879 | |
03/21/18 | | Euro | | | 3,034,125 | | | U.S. Dollars | | | 3,653,452 | | | CITI | | | 4,783 | |
03/21/18 | | Singapore Dollars | | | 548,500 | | | U.S. Dollars | | | 405,907 | | | CITI | | | 4,712 | |
03/21/18 | | Norwegian Kroner | | | 2,395,375 | | | U.S. Dollars | | | 288,952 | | | CITI | | | 3,444 | |
03/21/18 | | Norwegian Kroner | | | 2,395,375 | | | U.S. Dollars | | | 289,270 | | | CITI | | | 3,127 | |
03/21/18 | | Swedish Kronor | | | 923,000 | | | U.S. Dollars | | | 110,117 | | | CITI | | | 2,955 | |
03/21/18 | | Norwegian Kroner | | | 2,395,375 | | | U.S. Dollars | | | 289,751 | | | CITI | | | 2,645 | |
03/22/18 | | U.S. Dollars | | | 819,540 | | | Japanese Yen | | | 91,691,000 | | | CITI | | | 2,344 | |
03/21/18 | | Norwegian Kroner | | | 2,395,375 | | | U.S. Dollars | | | 290,272 | | | CITI | | | 2,124 | |
03/21/18 | | Danish Kroner | | | 1,871,000 | | | U.S. Dollars | | | 301,011 | | | CITI | | | 2,087 | |
03/21/18 | | Israeli Shekels | | | 542,500 | | | U.S. Dollars | | | 154,519 | | | CITI | | | 1,906 | |
03/21/18 | | Danish Kroner | | | 1,214,000 | | | U.S. Dollars | | | 194,956 | | | CITI | | | 1,709 | |
03/21/18 | | Israeli Shekels | | | 542,500 | | | U.S. Dollars | | �� | 154,852 | | | CITI | | | 1,573 | |
03/21/18 | | Israeli Shekels | | | 542,500 | | | U.S. Dollars | | | 154,914 | | | CITI | | | 1,511 | |
03/21/18 | | Norwegian Kroner | | | 2,395,375 | | | U.S. Dollars | | | 291,057 | | | CITI | | | 1,339 | |
03/21/18 | | Euro | | | 92,000 | | | U.S. Dollars | | | 109,859 | | | CITI | | | 1,065 | |
03/21/18 | | Israeli Shekels | | | 542,500 | | | U.S. Dollars | | | 155,454 | | | CITI | | | 972 | |
03/21/18 | | U.S. Dollars | | | 1,084,758 | | | British Pounds | | | 800,666 | | | CITI | | | 838 | |
03/21/18 | | Israeli Shekels | | | 542,500 | | | U.S. Dollars | | | 155,592 | | | CITI | | | 833 | |
03/21/18 | | Israeli Shekels | | | 542,500 | | | U.S. Dollars | | | 155,668 | | | CITI | | | 757 | |
03/21/18 | | Singapore Dollars | | | 156,000 | | | U.S. Dollars | | | 116,089 | | | CITI | | | 696 | |
03/21/18 | | U.S. Dollars | | | 958,154 | | | Hong Kong Dollars | | | 7,469,000 | | | CITI | | | 647 | |
03/21/18 | | Singapore Dollars | | | 120,000 | | | U.S. Dollars | | | 89,284 | | | CITI | | | 551 | |
03/21/18 | | U.S. Dollars | | | 1,084,454 | | | British Pounds | | | 800,667 | | | CITI | | | 532 | |
03/21/18 | | Israeli Shekels | | | 542,500 | | | U.S. Dollars | | | 155,956 | | | CITI | | | 469 | |
03/21/18 | | Israeli Shekels | | | 97,000 | | | U.S. Dollars | | | 27,562 | | | CITI | | | 408 | |
03/21/18 | | Norwegian Kroner | | | 2,395,375 | | | U.S. Dollars | | | 291,999 | | | CITI | | | 397 | |
03/21/18 | | Singapore Dollars | | | 42,000 | | | U.S. Dollars | | | 31,102 | | | CITI | | | 341 | |
03/21/18 | | Israeli Shekels | | | 86,000 | | | U.S. Dollars | | | 24,523 | | | CITI | | | 274 | |
03/21/18 | | Israeli Shekels | | | 542,500 | | | U.S. Dollars | | | 156,237 | | | CITI | | | 188 | |
03/21/18 | | U.S. Dollars | | | 252,735 | | | Hong Kong Dollars | | | 1,970,000 | | | CITI | | | 186 | |
03/21/18 | | Hong Kong Dollars | | | 1,861,250 | | | U.S. Dollars | | | 238,424 | | | CITI | | | 184 | |
03/21/18 | | Israeli Shekels | | | 116,000 | | | U.S. Dollars | | | 33,284 | | | CITI | | | 164 | |
03/21/18 | | Norwegian Kroner | | | 64,000 | | | U.S. Dollars | | | 7,675 | | | CITI | | | 137 | |
03/21/18 | | Hong Kong Dollars | | | 1,861,250 | | | U.S. Dollars | | | 238,473 | | | CITI | | | 135 | |
| | | | |
| | See Notes to Financial Statements. | | 253 |
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | | | | | | | |
Expiration Date | | Currency Purchased | | Amount
of Currency
Purchased | | | Currency Sold | | Amount
of Currency
Sold | | | Counterparty | | Net Unrealized
Appreciation
(Depreciation) | |
03/21/18 | | Danish Kroner | | | 40,000 | | | U.S. Dollars | | | 6,370 | | | CITI | | $ | 110 | |
03/21/18 | | Swiss Francs | | | 7,000 | | | U.S. Dollars | | | 7,126 | | | CITI | | | 99 | |
03/21/18 | | British Pounds | | | 4,000 | | | U.S. Dollars | | | 5,324 | | | CITI | | | 91 | |
03/21/18 | | Hong Kong Dollars | | | 1,861,250 | | | U.S. Dollars | | | 238,534 | | | CITI | | | 74 | |
01/09/18 | | U.S. Dollars | | | 41,759 | | | Japanese Yen | | | 4,696,678 | | | BBH | | | 56 | |
03/21/18 | | Norwegian Kroner | | | 51,000 | | | U.S. Dollars | | | 6,181 | | | CITI | | | 45 | |
03/21/18 | | Israeli Shekels | | | 33,000 | | | U.S. Dollars | | | 9,475 | | | CITI | | | 41 | |
03/21/18 | | Danish Kroner | | | 12,000 | | | U.S. Dollars | | | 1,912 | | | CITI | | | 32 | |
03/21/18 | | Swiss Francs | | | 2,000 | | | U.S. Dollars | | | 2,035 | | | CITI | | | 29 | |
03/21/18 | | Swedish Kronor | | | 5,000 | | | U.S. Dollars | | | 592 | | | CITI | | | 21 | |
03/21/18 | | British Pounds | | | 1,000 | | | U.S. Dollars | | | 1,348 | | | CITI | | | 5 | |
| | | | | | | | | | | | | | | | | | |
Subtotal Appreciation | | | | | | | | | | | | | | $ | 2,446,784 | |
| | | | | | | | | | | | | | | | | | |
03/21/18 | | U.S. Dollars | | | 22,931 | | | Hong Kong Dollars | | | 179,000 | | | CITI | | $ | (17 | ) |
03/21/18 | | Hong Kong Dollars | | | 205,000 | | | U.S. Dollars | | | 26,300 | | | CITI | | | (19 | ) |
03/21/18 | | U.S. Dollars | | | 10,648 | | | Israeli Shekels | | | 37,000 | | | CITI | | | (21 | ) |
03/21/18 | | Hong Kong Dollars | | | 1,861,250 | | | U.S. Dollars | | | 238,639 | | | CITI | | | (31 | ) |
03/21/18 | | U.S. Dollars | | | 1,190 | | | Swedish Kronor | | | 10,000 | | | CITI | | | (35 | ) |
01/05/18 | | U.S. Dollars | | | 19,728 | | | Japanese Yen | | | 2,227,863 | | | BBH | | | (50 | ) |
03/21/18 | | U.S. Dollars | | | 3,025 | | | Danish Kroner | | | 19,000 | | | CITI | | | (53 | ) |
03/21/18 | | U.S. Dollars | | | 91,987 | | | Hong Kong Dollars | | | 718,000 | | | CITI | | | (59 | ) |
03/21/18 | | Hong Kong Dollars | | | 624,000 | | | U.S. Dollars | | | 80,062 | | | CITI | | | (67 | ) |
03/21/18 | | U.S. Dollars | | | 14,810 | | | British Pounds | | | 11,000 | | | CITI | | | (82 | ) |
03/21/18 | | Hong Kong Dollars | | | 1,145,000 | | | U.S. Dollars | | | 146,893 | | | CITI | | | (107 | ) |
03/21/18 | | U.S. Dollars | | | 10,708 | | | British Pounds | | | 8,000 | | | CITI | | | (122 | ) |
03/21/18 | | Hong Kong Dollars | | | 1,861,250 | | | U.S. Dollars | | | 238,760 | | | CITI | | | (153 | ) |
03/21/18 | | U.S. Dollars | | | 11,501 | | | Australian Dollars | | | 15,000 | | | CITI | | | (200 | ) |
03/21/18 | | Hong Kong Dollars | | | 1,861,250 | | | U.S. Dollars | | | 238,809 | | | CITI | | | (202 | ) |
03/21/18 | | Hong Kong Dollars | | | 1,861,250 | | | U.S. Dollars | | | 238,816 | | | CITI | | | (208 | ) |
03/21/18 | | U.S. Dollars | | | 31,199 | | | Singapore Dollars | | | 42,000 | | | CITI | | | (243 | ) |
03/21/18 | | Hong Kong Dollars | | | 1,861,250 | | | U.S. Dollars | | | 238,865 | | | CITI | | | (257 | ) |
03/21/18 | | U.S. Dollars | | | 149,359 | | | Danish Kroner | | | 924,000 | | | CITI | | | (327 | ) |
03/21/18 | | U.S. Dollars | | | 37,506 | | | Danish Kroner | | | 235,000 | | | CITI | | | (564 | ) |
03/21/18 | | U.S. Dollars | | | 36,776 | | | Euro | | | 31,000 | | | CITI | | | (601 | ) |
03/21/18 | | U.S. Dollars | | | 46,508 | | | Singapore Dollars | | | 63,000 | | | CITI | | | (655 | ) |
03/21/18 | | Norwegian Kroner | | | 2,395,375 | | | U.S. Dollars | | | 293,053 | | | CITI | | | (657 | ) |
03/21/18 | | Norwegian Kroner | | | 2,395,375 | | | U.S. Dollars | | | 293,092 | | | CITI | | | (696 | ) |
01/04/18 | | U.S. Dollars | | | 224,973 | | | Japanese Yen | | | 25,426,827 | | | BBH | | | (738 | ) |
03/21/18 | | U.S. Dollars | | | 115,256 | | | Singapore Dollars | | | 155,000 | | | CITI | | | (780 | ) |
03/21/18 | | U.S. Dollars | | | 48,649 | | | Euro | | | 41,000 | | | CITI | | | (784 | ) |
03/21/18 | | U.S. Dollars | | | 148,648 | | | Danish Kroner | | | 924,000 | | | CITI | | | (1,038 | ) |
03/21/18 | | U.S. Dollars | | | 1,082,797 | | | British Pounds | | | 800,666 | | | CITI | | | (1,124 | ) |
03/21/18 | | U.S. Dollars | | | 348,039 | | | Norwegian Kroner | | | 2,864,000 | | | CITI | | | (1,561 | ) |
03/21/18 | | U.S. Dollars | | | 120,768 | | | Euro | | | 102,000 | | | CITI | | | (2,213 | ) |
03/21/18 | | U.S. Dollars | | | 1,081,632 | | | British Pounds | | | 800,666 | | | CITI | | | (2,289 | ) |
03/21/18 | | U.S. Dollars | | | 122,934 | | | Danish Kroner | | | 773,000 | | | CITI | | | (2,291 | ) |
03/21/18 | | U.S. Dollars | | | 429,468 | | | Norwegian Kroner | | | 3,549,000 | | | CITI | | | (3,747 | ) |
03/21/18 | | U.S. Dollars | | | 270,101 | | | Danish Kroner | | | 1,692,000 | | | CITI | | | (4,000 | ) |
03/21/18 | | U.S. Dollars | | | 324,120 | | | Swiss Francs | | | 318,000 | | | CITI | | | (4,126 | ) |
03/21/18 | | U.S. Dollars | | | 1,079,279 | | | British Pounds | | | 800,667 | | | CITI | | | (4,643 | ) |
03/21/18 | | U.S. Dollars | | | 785,733 | | | British Pounds | | | 584,000 | | | CITI | | | (4,871 | ) |
03/22/18 | | Japanese Yen | | | 79,764,000 | | | U.S. Dollars | | | 715,811 | | | CITI | | | (4,915 | ) |
03/21/18 | | U.S. Dollars | | | 252,526 | | | Swedish Kronor | | | 2,115,000 | | | CITI | | | (6,572 | ) |
03/21/18 | | U.S. Dollars | | | 1,076,989 | | | British Pounds | | | 800,667 | | | CITI | | | (6,933 | ) |
| | | | |
| 254 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | | | |
Expiration Date | | Currency Purchased | | Amount
of Currency
Purchased | | | Currency Sold | | Amount
of Currency
Sold | | | Counterparty | | Net Unrealized
Appreciation
(Depreciation) | |
03/21/18 | | U.S. Dollars | | | 1,318,172 | | | Norwegian Kroner | | | 10,860,000 | | | CITI | | $ | (7,475 | ) |
03/22/18 | | Japanese Yen | | | 812,214,875 | | | U.S. Dollars | | | 7,246,760 | | | CITI | | | (7,896 | ) |
03/22/18 | | Japanese Yen | | | 60,861,000 | | | U.S. Dollars | | | 550,786 | | | CITI | | | (8,362 | ) |
03/21/18 | | U.S. Dollars | | | 1,075,330 | | | British Pounds | | | 800,666 | | | CITI | | | (8,590 | ) |
03/21/18 | | U.S. Dollars | | | 1,074,445 | | | British Pounds | | | 800,667 | | | CITI | | | (9,477 | ) |
03/21/18 | | U.S. Dollars | | | 894,237 | | | Norwegian Kroner | | | 7,405,000 | | | CITI | | | (9,669 | ) |
03/21/18 | | U.S. Dollars | | | 616,750 | | | Danish Kroner | | | 3,871,000 | | | CITI | | | (10,344 | ) |
03/21/18 | | U.S. Dollars | | | 1,072,626 | | | British Pounds | | | 800,667 | | | CITI | | | (11,296 | ) |
03/21/18 | | U.S. Dollars | | | 1,071,828 | | | British Pounds | | | 800,667 | | | CITI | | | (12,094 | ) |
03/21/18 | | U.S. Dollars | | | 3,251,500 | | | Swiss Francs | | | 3,162,000 | | | CITI | | | (12,380 | ) |
03/21/18 | | U.S. Dollars | | | 1,071,067 | | | British Pounds | | | 800,666 | | | CITI | | | (12,853 | ) |
03/21/18 | | U.S. Dollars | | | 1,070,409 | | | British Pounds | | | 800,667 | | | CITI | | | (13,513 | ) |
03/22/18 | | Japanese Yen | | | 521,528,000 | | | U.S. Dollars | | | 4,662,325 | | | CITI | | | (14,207 | ) |
03/21/18 | | U.S. Dollars | | | 3,249,055 | | | Swiss Francs | | | 3,162,000 | | | CITI | | | (14,826 | ) |
03/21/18 | | U.S. Dollars | | | 1,067,874 | | | British Pounds | | | 800,667 | | | CITI | | | (16,048 | ) |
03/21/18 | | U.S. Dollars | | | 1,066,372 | | | British Pounds | | | 800,667 | | | CITI | | | (17,550 | ) |
03/21/18 | | U.S. Dollars | | | 3,246,128 | | | Swiss Francs | | | 3,162,000 | | | CITI | | | (17,753 | ) |
03/22/18 | | Japanese Yen | | | 812,214,875 | | | U.S. Dollars | | | 7,257,194 | | | CITI | | | (18,330 | ) |
03/21/18 | | U.S. Dollars | | | 1,064,895 | | | British Pounds | | | 800,667 | | | CITI | | | (19,027 | ) |
03/21/18 | | U.S. Dollars | | | 2,572,809 | | | Euro | | | 2,150,000 | | | CITI | | | (19,439 | ) |
03/21/18 | | U.S. Dollars | | | 3,241,759 | | | Swiss Francs | | | 3,162,000 | | | CITI | | | (22,122 | ) |
03/21/18 | | U.S. Dollars | | | 3,241,070 | | | Swiss Francs | | | 3,162,000 | | | CITI | | | (22,810 | ) |
03/22/18 | | Japanese Yen | | | 812,214,875 | | | U.S. Dollars | | | 7,262,369 | | | CITI | | | (23,505 | ) |
03/21/18 | | U.S. Dollars | | | 3,239,941 | | | Swiss Francs | | | 3,162,000 | | | CITI | | | (23,939 | ) |
03/21/18 | | U.S. Dollars | | | 1,352,030 | | | Norwegian Kroner | | | 11,278,000 | | | CITI | | | (24,641 | ) |
03/22/18 | | Japanese Yen | | | 812,214,875 | | | U.S. Dollars | | | 7,264,389 | | | CITI | | | (25,524 | ) |
03/21/18 | | U.S. Dollars | | | 3,237,421 | | | Swiss Francs | | | 3,162,000 | | | CITI | | | (26,460 | ) |
03/22/18 | | Japanese Yen | | | 812,214,875 | | | U.S. Dollars | | | 7,270,027 | | | CITI | | | (31,162 | ) |
03/21/18 | | U.S. Dollars | | | 3,231,733 | | | Swiss Francs | | | 3,162,000 | | | CITI | | | (32,147 | ) |
03/21/18 | | U.S. Dollars | | | 3,230,211 | | | Swiss Francs | | | 3,162,000 | | | CITI | | | (33,670 | ) |
03/21/18 | | U.S. Dollars | | | 3,226,951 | | | Swiss Francs | | | 3,162,000 | | | CITI | | | (36,930 | ) |
03/21/18 | | U.S. Dollars | | | 3,914,373 | | | Swedish Kronor | | | 32,254,750 | | | CITI | | | (36,996 | ) |
03/21/18 | | U.S. Dollars | | | 3,914,256 | | | Swedish Kronor | | | 32,254,750 | | | CITI | | | (37,114 | ) |
03/21/18 | | U.S. Dollars | | | 1,073,986 | | | Australian Dollars | | | 1,425,000 | | | CITI | | | (37,690 | ) |
03/21/18 | | U.S. Dollars | | | 1,673,889 | | | New Zealand Dollars | | | 2,421,846 | | | CITI | | | (40,754 | ) |
03/22/18 | | Japanese Yen | | | 812,214,875 | | | U.S. Dollars | | | 7,284,450 | | | CITI | | | (45,585 | ) |
03/21/18 | | U.S. Dollars | | | 3,217,354 | | | Swiss Francs | | | 3,162,000 | | | CITI | | | (46,527 | ) |
03/21/18 | | U.S. Dollars | | | 3,217,241 | | | Swiss Francs | | | 3,162,000 | | | CITI | | | (46,640 | ) |
03/21/18 | | U.S. Dollars | | | 1,667,257 | | | New Zealand Dollars | | | 2,421,846 | | | CITI | | | (47,386 | ) |
03/21/18 | | U.S. Dollars | | | 1,667,254 | | | New Zealand Dollars | | | 2,421,847 | | | CITI | | | (47,390 | ) |
03/21/18 | | U.S. Dollars | | | 1,666,726 | | | New Zealand Dollars | | | 2,421,846 | | | CITI | | | (47,916 | ) |
03/21/18 | | U.S. Dollars | | | 3,213,662 | | | Swiss Francs | | | 3,162,000 | | | CITI | | | (50,218 | ) |
03/21/18 | | U.S. Dollars | | | 3,901,030 | | | Swedish Kronor | | | 32,254,750 | | | CITI | | | (50,339 | ) |
03/21/18 | | U.S. Dollars | | | 1,661,674 | | | New Zealand Dollars | | | 2,421,847 | | | CITI | | | (52,970 | ) |
03/21/18 | | U.S. Dollars | | | 1,661,448 | | | New Zealand Dollars | | | 2,421,846 | | | CITI | | | (53,195 | ) |
03/21/18 | | U.S. Dollars | | | 3,209,906 | | | Swiss Francs | | | 3,162,000 | | | CITI | | | (53,975 | ) |
03/21/18 | | U.S. Dollars | | | 1,660,579 | | | New Zealand Dollars | | | 2,421,846 | | | CITI | | | (54,064 | ) |
03/21/18 | | U.S. Dollars | | | 1,658,577 | | | New Zealand Dollars | | | 2,421,846 | | | CITI | | | (56,066 | ) |
03/21/18 | | U.S. Dollars | | | 1,655,326 | | | New Zealand Dollars | | | 2,421,846 | | | CITI | | | (59,317 | ) |
03/21/18 | | U.S. Dollars | | | 7,212,796 | | | British Pounds | | | 5,373,000 | | | CITI | | | (61,029 | ) |
03/21/18 | | U.S. Dollars | | | 1,652,226 | | | New Zealand Dollars | | | 2,421,846 | | | CITI | | | (62,417 | ) |
03/21/18 | | U.S. Dollars | | | 1,651,874 | | | New Zealand Dollars | | | 2,421,846 | | | CITI | | | (62,768 | ) |
03/21/18 | | U.S. Dollars | | | 1,651,384 | | | New Zealand Dollars | | | 2,421,846 | | | CITI | | | (63,259 | ) |
03/21/18 | | U.S. Dollars | | | 3,197,806 | | | Swiss Francs | | | 3,162,000 | | | CITI | | | (66,075 | ) |
| | | | |
| | See Notes to Financial Statements. | | 255 |
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | | | | | | | |
Expiration Date | | Currency Purchased | | Amount
of Currency
Purchased | | | Currency Sold | | Amount
of Currency
Sold | | | Counterparty | | Net Unrealized
Appreciation
(Depreciation) | |
03/21/18 | | U.S. Dollars | | | 1,648,031 | | | New Zealand Dollars | | | 2,421,846 | | | CITI | | $ | (66,612 | ) |
03/21/18 | | U.S. Dollars | | | 3,450,261 | | | British Pounds | | | 2,598,000 | | | CITI | | | (66,842 | ) |
03/21/18 | | U.S. Dollars | | | 3,965,936 | | | Norwegian Kroner | | | 33,080,000 | | | CITI | | | (72,038 | ) |
03/21/18 | | U.S. Dollars | | | 5,924,299 | | | Swedish Kronor | | | 48,950,000 | | | CITI | | | (72,322 | ) |
03/21/18 | | U.S. Dollars | | | 3,878,913 | | | Swedish Kronor | | | 32,254,750 | | | CITI | | | (72,456 | ) |
03/21/18 | | U.S. Dollars | | | 5,339,670 | | | Euro | | | 4,490,000 | | | CITI | | | (73,909 | ) |
03/21/18 | | U.S. Dollars | | | 3,952,414 | | | Euro | | | 3,346,000 | | | CITI | | | (81,847 | ) |
03/21/18 | | U.S. Dollars | | | 3,866,810 | | | Swedish Kronor | | | 32,254,750 | | | CITI | | | (84,559 | ) |
03/21/18 | | U.S. Dollars | | | 3,862,577 | | | Swedish Kronor | | | 32,254,750 | | | CITI | | | (88,793 | ) |
03/21/18 | | U.S. Dollars | | | 3,859,687 | | | Swedish Kronor | | | 32,254,750 | | | CITI | | | (91,683 | ) |
03/22/18 | | Japanese Yen | | | 1,624,429,750 | | | U.S. Dollars | | | 14,585,319 | | | CITI | | | (107,590 | ) |
03/21/18 | | U.S. Dollars | | | 3,828,226 | | | Swedish Kronor | | | 32,254,750 | | | CITI | | | (123,143 | ) |
03/21/18 | | U.S. Dollars | | | 13,115,213 | | | Swedish Kronor | | | 109,980,000 | | | CITI | | | (357,891 | ) |
| | | | | | | | | | | | | | | | | | |
Subtotal Depreciation | | | | | | | | | | | | | | $ | (3,161,465 | ) |
| | | | | | | | | | | | | | | | | | |
Total Forward Foreign Currency Contracts outstanding at December 31, 2017 | | | | | | | | $ | (714,681 | ) |
| | | | | | | | | | | | | | | | | | |
Swap agreements outstanding at December 31, 2017:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Reference Obligation | | Maturity
Date | | | Counterparty | | | Currency | | | Notional
Amount | | | Market Value | | | Upfront
Premiums
Paid/
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
Total Return Swaps | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
MSCI Japan Index, Floating financing rate: 1-Month ICE LIBOR JPY + 0.0014 (Monthly) | | | 03/21/18 | | | | GSC | | | | JPY | | | | 814,904,320 | | | $ | 175,277 | | | $ | — | | | $ | 175,277 | |
MSCI Hong Kong Index, Floating financing rate: 1-Month HIBOR + 0.004 (Monthly) | | | 03/21/18 | | | | GSC | | | | HKD | | | | 6,933,469 | | | | 157,604 | | | | — | | | | 157,604 | |
MSCI Sweden Index, Floating financing rate: 1-Month STIBOR Interbank Offered Rate - 0.0037 (Monthly) | | | 03/21/18 | | | | GSC | | | | SEK | | | | 12,834,293 | | | | 109,686 | | | | — | | | | 109,686 | |
MSCI Sweden Index, Floating financing rate: 1-Month STIBOR Interbank Offered Rate - 0.0037 (Monthly) | | | 03/21/18 | | | | GSC | | | | SEK | | | | 9,799,828 | | | | 37,235 | | | | — | | | | 37,235 | |
MSCI Switzerland Index, Floating financing rate: 1-Month ICE LIBOR CHF - 0.004 (Monthly) | | | 03/21/18 | | | | GSC | | | | CHF | | | | 7,497,216 | | | | 8,970 | | | | — | | | | 8,970 | |
MSCI Sweden Index, Floating financing rate: 1-Month STIBOR Interbank Offered Rate - 0.0037 (Monthly) | | | 03/21/18 | | | | GSC | | | | SEK | | | | 1,044,652 | | | | 5,605 | | | | — | | | | 5,605 | |
MSCI Australia Index, Floating financing rate: 1-Month ASX Australian Bank Bill Short Term Rates Mid + 0.002 (Monthly) | | | 03/21/18 | | | | GSC | | | | AUD | | | | 109,773 | | | | (4,407 | ) | | | — | | | | (4,407 | ) |
MSCI Italy Index, Floating financing rate: 1-Month EURIBOR + 0.0002 (Monthly) | | | 03/21/18 | | | | GSC | | | | EUR | | | | 1,069,946 | | | | (31,133 | ) | | | — | | | | (31,133 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Swap agreements outstanding at December 31, 2017 | | | | | | | | | | | | | | | | | | $ | 458,837 | | | $ | — | | | $ | 458,837 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| 256 | | See Notes to Financial Statements. | | |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2017, 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 | | $ | 34,986,250 | | | $ | 34,986,250 | | | $ | — | | | $ | — | |
Foreign Common Stocks | | | | | | | | | | | | | | | | |
Australia | | | 36,932,668 | | | | 36,932,668 | | | | — | | | | — | ** |
Austria | | | 7,689,006 | | | | 7,689,006 | | | | — | | | | — | |
Belgium | | | 6,673,794 | | | | 6,673,794 | | | | — | | | | — | |
Brazil | | | 5,020,630 | | | | — | | | | 5,020,630 | | | | — | |
Canada | | | 12,869,910 | | | | 12,869,910 | | | | — | | | | — | |
China | | | 49,907,703 | | | | 49,907,703 | | | | — | | | | — | |
Colombia | | | 6,601,056 | | | | 6,601,056 | | | | — | | | | — | |
Denmark | | | 21,506,073 | | | | 21,506,073 | | | | — | | | | — | |
Finland | | | 4,080,618 | | | | 4,080,618 | | | | — | | | | — | |
France | | | 142,060,833 | | | | 142,060,833 | | | | — | | | | — | |
Germany | | | 153,604,877 | | | | 153,604,877 | | | | — | | | | — | |
Hong Kong | | | 59,698,225 | | | | 59,698,225 | | | | — | | | | — | |
India | | | 9,472,357 | | | | 9,472,357 | | | | — | | | | — | |
Ireland | | | 8,313,697 | | | | 8,313,697 | | | | — | | | | — | |
Italy | | | 60,124,505 | | | | 60,124,505 | | | | — | | | | — | |
Japan | | | 276,213,225 | | | | 276,213,225 | | | | — | | | | — | |
Jersey | | | 23,142,282 | | | | 23,142,282 | | | | — | | | | — | |
Malaysia | | | 6,036,936 | | | | 6,036,936 | | | | — | | | | — | |
Netherlands | | | 110,027,678 | | | | 110,027,678 | | | | — | | | | — | |
Nigeria | | | — | | | | — | | | | — | | | | — | ** |
Norway | | | 4,415,551 | | | | 4,415,551 | | | | — | | | | — | |
Portugal | | | 1,902,784 | | | | 1,902,784 | | | | — | | | | — | |
Singapore | | | 53,818,464 | | | | 53,818,464 | | | | — | | | | — | |
South Korea | | | 4,161,743 | | | | — | | | | 4,161,743 | | | | — | |
Spain | | | 77,554,126 | | | | 77,554,126 | | | | — | | | | — | |
Sweden | | | 43,451,115 | | | | 43,451,115 | | | | — | | | | — | |
Switzerland | | | 124,888,960 | | | | 124,888,960 | | | | — | | | | — | |
Taiwan | | | 22,480,196 | | | | 22,480,196 | | | | — | | | | — | |
Turkey | | | 1 | | | | 1 | | | | — | | | | — | |
United Kingdom | | | 243,595,379 | | | | 243,595,379 | | | | — | | | | — | |
Foreign Preferred Stocks | | | | | | | | | | | | | | | | |
Germany | | | 3,212,354 | | | | 3,212,354 | | | | — | | | | — | |
Money Market Funds | | | 87,521,790 | | | | 87,521,790 | | | | — | | | | — | |
U.S. Treasury Obligation | | | 2,186,058 | | | | — | | | | 2,186,058 | | | | — | |
| | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | $ | 1,704,150,844 | | | $ | 1,692,782,413 | | | $ | 11,368,431 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 257 |
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*** | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | $ | 2,446,784 | | | $ | — | | | $ | 2,446,784 | | | $ | — | |
Futures Contracts | | | 2,206,507 | | | | 2,206,507 | | | | — | | | | — | |
Swap Agreements | | | 494,377 | | | | — | | | | 494,377 | | | | — | |
| | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | $ | 5,147,668 | | | $ | 2,206,507 | | | $ | 2,941,161 | | | $ | — | |
| | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | |
Investments in Securities: | | | | | | | | | | | | | | | | |
Foreign Common Stocks Sold Short | | | | | | | | | | | | | | | | |
Australia | | $ | (6,140,777 | ) | | $ | (6,140,777 | ) | | $ | — | | | $ | — | |
Austria | | | (571,029 | ) | | | (571,029 | ) | | | — | | | | — | |
Denmark | | | (1,723,727 | ) | | | (1,723,727 | ) | | | — | | | | — | |
Finland | | | (1,351,636 | ) | | | (1,351,636 | ) | | | — | | | | — | |
France | | | (8,983,510 | ) | | | (8,983,510 | ) | | | — | | | | — | |
Germany | | | (2,989,094 | ) | | | (2,989,094 | ) | | | — | | | | — | |
Italy | | | (8,608,129 | ) | | | (8,608,129 | ) | | | — | | | | — | |
Japan | | | (12,563,970 | ) | | | (12,563,970 | ) | | | — | | | | — | |
Jersey | | | (828,964 | ) | | | (828,964 | ) | | | — | | | | — | |
Netherlands | | | (4,651,562 | ) | | | (4,651,562 | ) | | | — | | | | — | |
Norway | | | (2,389,650 | ) | | | (2,389,650 | ) | | | — | | | | — | |
Papua New Guinea | | | (482,848 | ) | | | (482,848 | ) | | | — | | | | — | |
Portugal | | | (164,863 | ) | | | (164,863 | ) | | | — | | | | — | |
Spain | | | (4,663,644 | ) | | | (4,663,644 | ) | | | — | | | | — | |
Sweden | | | (1,307,621 | ) | | | (1,307,621 | ) | | | — | | | | — | |
Switzerland | | | (2,614,621 | ) | | | (2,614,621 | ) | | | — | | | | — | |
United Kingdom | | | (13,314,543 | ) | | | (13,314,543 | ) | | | — | | | | — | |
Foreign Preferred Stocks Sold Short | | | | | | | | | | | | | | | | |
Germany | | | (1,867,684 | ) | | | (1,867,684 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total Liabilities - Investments in Securities | | $ | (75,217,872 | ) | | $ | (75,217,872 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | $ | (3,161,465 | ) | | $ | — | | | $ | (3,161,465 | ) | | $ | — | |
Futures Contracts | | | (508,500 | ) | | | (508,500 | ) | | | — | | | | — | |
Swap Agreements | | | (35,540 | ) | | | — | | | | (35,540 | ) | | | — | |
| | | | | | | | | | | | | | | | |
Total Liabilities - Other Financial Instruments | | $ | (3,705,505 | ) | | $ | (508,500 | ) | | $ | (3,197,005 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
** Level 3 security has zero value.
***Other financial instruments are derivative instruments, such as futures contracts, 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 preceding “Futures Contracts outstanding”, “Forward Foreign Currency Contracts outstanding” and ’Swap agreement outstanding” disclosures.
There were no transfers between Level 1, Level 2 and Level 3 during the year ended December 31, 2017.
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, 2017.
| | | | |
| 258 | | See Notes to Financial Statements. | | |
Emerging Markets Equity Fund (Unaudited)
Emerging markets equities outperformed their developed markets counterparts during 2017 and benefitted from prospects of higher economic growth as their recovery continues. The MSCI Emerging Markets Index (Net) posted a gain of 7.44% for the fourth quarter and advanced 37.28% for the year. Countries with the strongest gains for the year included Poland, China and Korea. Pakistan and Qatar were the only countries with negative returns, in U.S. dollars. All 11 sectors experienced positive returns for 2017, with more than half of the index’s gains attributable to technology and financial services sectors stocks. The health care and utilities sectors contributed the least to the index’s overall performance.
The Fund is actively managed and invests mainly in equity securities that are economically tied to emerging markets. In addition, the Fund’s portfolio is diversified among a large number of companies across different industries and economic sectors. The Investor Class of the Fund underperformed its benchmark, the MSCI Emerging Markets Index (Net), for the one-year period ended December 31, 2017 (35.37% versus 37.28%). On a country basis, security selection in South Africa and Brazil contributed to benchmark-relative performance. Underweight exposure to China as well as security selection among that country’s stocks had the largest negative impact on the Fund. On a sector basis, security selection within the consumer discretionary sector as well as an overweight and positive security selection within the industrials sector contributed to benchmark-relative returns. Meanwhile, security selection within the technology and health care 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 markets equities. Securities of foreign issuers may be negatively impacted by political events, economic conditions or inefficient, illiquid or unregulated markets in foreign countries, and they also may be subject to inadequate regulatory or accounting standards, which may increase investment risk. Investing in emerging markets may involve greater risks than investing in more developed foreign markets because, among other things, emerging markets often have more political and economic instability. Medium- and small-sized companies stocks have historically been subject to more investment risk and more volatile and less liquid than large company stocks, respectively. 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. Derivatives involve different risks from, and in some respects greater than, those associated with investing directly in securities, currencies or other instruments. Derivatives may be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in value of the underlying instruments may produce disproportionate losses to the Fund. It is possible to lose money by investing in the Fund.
At December 31, 2017, 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.
| | | | |
| | | % | |
Information Technology | | | 23.0 | |
Financials | | | 22.7 | |
Consumer Discretionary | | | 10.5 | |
Consumer Staples | | | 9.0 | |
Money Market Funds | | | 7.7 | |
Energy | | | 4.9 | |
Materials | | | 4.8 | |
Industrials | | | 3.8 | |
Telecommunication Services | | | 3.7 | |
Foreign Preferred Stocks | | | 3.7 | |
Health Care | | | 3.2 | |
Real Estate | | | 2.5 | |
Utilities | | | 0.7 | |
U.S. Treasury Obligation | | | 0.2 | |
| | | | |
| | | 100.4 | |
| | | | |
| | | | |
| | See Notes to Financial Statements. | | 259 |
Emerging Markets Equity Fund (Unaudited)
| | | | | | |
| Average Annual Total Returns as of 12/31/17 |
| | | Institutional Class | | Investor Class* | | Benchmark** |
One Year | | 35.80% | | 35.37% | | 37.28% |
Five Year | | N/A | | N/A | | N/A |
Ten Year | | N/A | | N/A | | N/A |
Since Inception | | 3.78% | | 3.52% | | 5.16% |
Inception Date | | 10/31/13 | | 10/31/13 | | |
Total Fund Operating Expenses (May 1, 2017 Prospectus as amended July 1, 2017)(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.
| | | | |
| 260 | | See Notes to Financial Statements. | | |
| | | | |
EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS | | | December 31, 2017 | |
| | | | | | | | |
| | | Shares | | | Value | |
COMMON STOCKS — 2.0% | |
Consumer Discretionary — 0.7% | |
Yum China Holdings, Inc. | | | 84,037 | | | $ | 3,363,161 | |
| | | | | | | | |
Consumer Staples — 0.2% | |
PriceSmart, Inc. | | | 11,700 | | | | 1,007,370 | |
| | | | | | | | |
Energy — 0.1% | | | | | | | | |
Kosmos Energy, Ltd.* | | | 108,900 | | | | 745,965 | |
| | | | | | | | |
Financials — 0.2% | |
FirstCash, Inc. | | | 17,000 | | | | 1,146,650 | |
| | | | | | | | |
Information Technology — 0.6% | |
Cognizant Technology Solutions Corporation Class A | | | 37,600 | | | | 2,670,352 | |
Weibo Corporation ADR*D | | | 1,984 | | | | 205,265 | |
| | | | | | | | |
| | | | | | | 2,875,617 | |
| | | | | | | | |
Materials — 0.2% | |
Southern Copper CorporationD | | | 4,037 | | | | 191,555 | |
Ternium SA ADR | | | 21,610 | | | | 682,660 | |
| | | | | | | | |
| | | | | | | 874,215 | |
| | | | | | | | |
Total Common Stocks
(Cost $9,241,244) | | | | | | | 10,012,978 | |
| | | | | | | | |
FOREIGN COMMON STOCKS — 86.8% | |
Argentina — 0.2% | |
Banco Macro SA ADR | | | 3,460 | | | | 400,945 | |
Loma Negra Cia Industrial Argentina SA ADR* | | | 16,989 | | | | 391,426 | |
| | | | | | | | |
| | | | | | | 792,371 | |
| | | | | | | | |
Brazil — 3.1% | |
Banco BTG Pactual SA* | | | 193,362 | | | | 1,106,974 | |
Banco do Brasil SA* | | | 96,500 | | | | 925,186 | |
Banco Santander Brasil SA ADRD | | | 29,443 | | | | 284,714 | |
BB Seguridade Participacoes SA | | | 202,100 | | | | 1,734,121 | |
BR Malls Participacoes SA | | | 25,400 | | | | 97,485 | |
Cia de Saneamento Basico do Estado de Sao Paulo ADR*D | | | 29,740 | | | | 310,783 | |
Cielo SA | | | 5,200 | | | | 36,864 | |
Embraer SA ADRD | | | 14,035 | | | | 335,858 | |
Engie Brasil Energia SA | | | 47,600 | | | | 509,754 | |
Hypermarcas SA | | | 40,200 | | | | 436,285 | |
Kroton Educacional SA | | | 6,300 | | | | 34,958 | |
Linx SA | | | 138,128 | | | | 891,954 | |
Localiza Rent a Car SA* | | | 34,900 | | | | 232,176 | |
Lojas Americanas SA* | | | 248,600 | | | | 983,163 | |
M Dias Branco SA* | | | 5,100 | | | | 80,103 | |
Odontoprev SA | | | 244,700 | | | | 1,173,669 | |
Porto Seguro SA* | | | 31,400 | | | | 343,896 | |
PPLA Participations, Ltd.* | | | 20,118 | | | | 8,127 | |
Qualicorp SA | | | 25,500 | | | | 238,276 | |
Rumo SA* | | | 352,410 | | | | 1,378,571 | |
Sul America SA | | | 110,950 | | | | 624,135 | |
TIM Participacoes SA ADR | | | 8,833 | | | | 170,565 | |
TOTVS SA | | | 117,300 | | | | 1,056,977 | |
Ultrapar Participacoes SA | | | 50,600 | | | | 1,144,319 | |
Ultrapar Participacoes SA ADRD | | | 33,578 | | | | 763,228 | |
Vale SA ADR* | | | 51,371 | | | | 628,267 | |
| | | | | | | | |
| | | | | | | 15,530,408 | |
| | | | | | | | |
| | | | | | | | |
| | | Shares | | | Value | |
Canada — 0.2% | |
First Quantum Minerals, Ltd. | | | 65,056 | | | $ | 911,405 | |
Platinum Group Metals, Ltd.* | | | 43,200 | | | | 13,060 | |
| | | | | | | | |
| | | | | | | 924,465 | |
| | | | | | | | |
Chile — 0.6% | |
Banco de Chile ADRD | | | 9,384 | | | | 905,838 | |
Banco de Credito e Inversiones | | | 1,003 | | | | 69,724 | |
Banco Santander Chile ADR | | | 33,650 | | | | 1,052,235 | |
Empresas COPEC SA | | | 4,715 | | | | 74,438 | |
Enel Americas SA ADR | | | 11,736 | | | | 131,091 | |
Enel Chile SA ADR | | | 24,651 | | | | 140,018 | |
Enel Generacion Chile SA ADRD | | | 2,770 | | | | 74,541 | |
Itau CorpBanca | | | 6,645,420 | | | | 60,429 | |
Latam Airlines Group SA ADRD | | | 21,890 | | | | 304,271 | |
SACI Falabella | | | 8,052 | | | | 80,262 | |
| | | | | | | | |
| | | | | | | 2,892,847 | |
| | | | | | | | |
China — 14.2% | |
58.com, Inc. ADR* | | | 44,798 | | | | 3,206,193 | |
Agricultural Bank of China, Ltd. Class H | | | 467,000 | | | | 217,575 | |
Air China, Ltd. Class H | | | 256,000 | | | | 310,627 | |
Alibaba Group Holding, Ltd. ADR*D | | | 89,389 | | | | 15,413,345 | |
Aluminum Corporation of China, Ltd.* | | | 512,000 | | | | 366,330 | |
Baidu, Inc. ADR* | | | 11,922 | | | | 2,792,252 | |
Bank of China, Ltd. Class H | | | 2,487,000 | | | | 1,222,355 | |
Beijing Capital International Airport Co., Ltd. Class H | | | 496,000 | | | | 747,855 | |
China Cinda Asset Management Co., Ltd. Class H | | | 1,008,000 | | | | 368,992 | |
China Communications Services | | | | | | | | |
Corporation, Ltd. Class H | | | 780,000 | | | | 523,138 | |
China Construction Bank Corporation Class H | | | 3,062,000 | | | | 2,821,813 | |
China Evergrande Group*D | | | 359,000 | | | | 1,238,351 | |
China Medical System Holdings, Ltd. | | | 37,000 | | | | 86,286 | |
China Mengniu Dairy Co., Ltd.* | | | 1,047,000 | | | | 3,115,732 | |
China Merchants Bank Co., Ltd. Class H | | | 32,000 | | | | 127,380 | |
China National Building Material Co., Ltd. | | | 224,000 | | | | 200,408 | |
China Shenhua Energy Co., Ltd. | | | | | | | | |
Class H | | | 176,379 | | | | 457,154 | |
China Vanke Co., Ltd.
Class H | | | 97,700 | | | | 390,157 | |
Chongqing Rural Commercial Bank | | | | | | | | |
Co., Ltd. Class H | | | 807,000 | | | | 570,168 | |
Country Garden Holdings Co., Ltd. | | | 209,000 | | | | 398,587 | |
Ctrip.com International, Ltd. ADR* | | | 15,343 | | | | 676,626 | |
Dongfeng Motor Group Co., Ltd. Class H | | | 63,545 | | | | 76,942 | |
Fuyao Glass Industry Group Co., Class HD 144A | | | 206,800 | | | | 872,161 | |
Geely Automobile Holdings, Ltd. | | | 1,121,000 | | | | 3,888,351 | |
Great Wall Motor Co., Ltd. Class H | | | 514,500 | | | | 589,385 | |
Guangzhou Automobile Group Co., Ltd.D | | | 242,000 | | | | 573,650 | |
Haitian International Holdings, Ltd. | | | 293,000 | | | | 881,304 | |
Industrial & Commercial Bank of China, Ltd.
Class H | | | 2,898,000 | | | | 2,333,133 | |
| | | | |
| | See Notes to Financial Statements. | | 261 |
EMERGING MARKETS EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | | | | | |
| | | Shares | | | Value | |
JD.com, Inc. ADR*D | | | | | | | 51,202 | | | | | | | $ | 2,120,787 | |
Jiangxi Copper Co., Ltd. Class H | | | | | | | 237,000 | | | | | | | | 376,150 | |
Kingsoft Corporation, Ltd.D | | | | | | | 91,000 | | | | | | | | 302,834 | |
NetEase, Inc. ADR | | | | | | | 3,144 | | | | | | | | 1,084,900 | |
New Oriental Education & Technology Group, Inc. ADR | | | | | | | 5,106 | | | | | | | | 479,964 | |
PICC Property & Casualty Co., Ltd. Class H | | | | | | | 688,000 | | | | | | | | 1,322,662 | |
SINA Corporation | | | | | | | 2,218 | | | | | | | | 222,488 | |
Sinopec Engineering Group Co., Ltd. Class H | | | | | | | 223,500 | | | | | | | | 211,690 | |
Sinopec Shanghai Petrochemical Co., Ltd. Class H | | | | | | | 558,000 | | | | | | | | 317,823 | |
Sunac China Holdings, Ltd.D | | | | | | | 49,000 | | | | | | | | 202,890 | |
Sunny Optical Technology Group Co., Ltd.D | | | | | | | 100,000 | | | | | | | | 1,278,663 | |
TAL Education Group ADR | | | | | | | 8,970 | | | | | | | | 266,499 | |
Tencent Holdings, Ltd. | | | | | | | 262,600 | | | | | | | | 13,646,185 | |
Tingyi Cayman Islands Holding Corporation | | | | | | | 1,718,000 | | | | | | | | 3,342,391 | |
TravelSky Technology, Ltd. Class H | | | | | | | 60,000 | | | | | | | | 180,088 | |
Vipshop Holdings, Ltd. ADR* | | | | | | | 15,320 | | | | | | | | 179,550 | |
Weichai Power Co., Ltd. Class HD | | | | | | | 748,000 | | | | | | | | 819,532 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 70,821,346 | |
| | | | | | | | | | | | | | | | |
Colombia — 0.1% | | | | | | | | | | | | | | | | |
Bancolombia SA | | | | | | | 68,632 | | | | | | | | 689,438 | |
| | | | | | | | | | | | | | | | |
Czech Republic — 0.0% | | | | | | | | | | | | | | | | |
Komercni Banka AS | | | | | | | 5,361 | | | | | | | | 230,363 | |
| | | | | | | | | | | | | | | | |
Egypt — 0.2% | | | | | | | | | | | | | | | | |
Arabian Food Industries Co. DOMTY* | | | | | | | 85,130 | | | | | | | | 47,933 | |
Commercial International Bank Egypt SAE | | | | | | | 87,865 | | | | | | | | 382,392 | |
Commercial International Bank Egypt SAE GDR | | | | | | | 63,067 | | | | | | | | 274,026 | |
Edita Food Industries SAE | | | | | | | 384,792 | | | | | | | | 346,270 | |
Edita Food Industries SAE GDR | | | | | | | 15,770 | | | | | | | | 85,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 1,135,621 | |
| | | | | | | | | | | | | | | | |
Hong Kong — 6.8% | | | | | | | | | | | | | | | | |
3SBio, Inc.* 144A | | | | | | | 27,500 | | | | | | | | 53,994 | |
AAC Technologies Holdings, Inc. | | | | | | | 70,000 | | | | | | | | 1,248,968 | |
AIA Group, Ltd. | | | | | | | 890,158 | | | | | | | | 7,593,776 | |
ANTA Sports Products, Ltd. | | | | | | | 200,000 | | | | | | | | 907,479 | |
China Everbright International, Ltd. | | | | | | | 64,000 | | | | | | | | 91,419 | |
China Mobile, Ltd. | | | | | | | 686,500 | | | | | | | | 6,963,544 | |
China Overseas Land & Investment, Ltd. | | | | | | | 1,112,000 | | | | | | | | 3,579,590 | |
China Resources Land, Ltd. | | | | | | | 204,000 | | | | | | | | 600,549 | |
CNOOC, Ltd. | | | | | | | 760,000 | | | | | | | | 1,091,433 | |
CSPC Pharmaceutical Group, Ltd. | | | | | | | 646,000 | | | | | | | | 1,304,758 | |
Far East Horizon, Ltd. | | | | | | | 74,000 | | | | | | | | 63,175 | |
GCL-Poly Energy Holdings, Ltd.* | | | | | | | 385,000 | | | | | | | | 68,989 | |
Haier Electronics Group Co., Ltd.* | | | | | | | 743,000 | | | | | | | | 2,035,135 | |
Hengan International Group Co., Ltd.D | | | | | | | 123,389 | | | | | | | | 1,370,050 | |
Nine Dragons Paper Holdings, Ltd. | | | | | | | 963,000 | | | | | | | | 1,543,196 | |
Sihuan Pharmaceutical Holdings Group, Ltd.D | | | | | | | 257,000 | | | | | | | | 92,434 | |
| | | | | | | | | | | | | | | | |
| | | Shares | | | Value | |
Sino Biopharmaceutical, Ltd. | | | | | | | 393,000 | | | | | | | $ | 697,182 | |
Sun Art Retail Group, Ltd. | | | | | | | 996,500 | | | | | | | | 1,053,532 | |
WH Group, Ltd. 144A | | | | | | | 3,061,000 | | | | | | | | 3,455,592 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 33,814,795 | |
| | | | | | | | | | | | | | | | |
Hungary — 0.5% | | | | | | | | | | | | | | | | |
OTP Bank PLC | | | | | | | 62,550 | | | | | | | | 2,589,368 | |
| | | | | | | | | | | | | | | | |
India — 6.2% | | | | | | | | | | | | | | | | |
Axis Bank, Ltd. | | | | | | | 503,317 | | | | | | | | 4,447,074 | |
Axis Bank, Ltd. GDRD | | | | | | | 1,472 | | | | | | | | 64,326 | |
Bajaj Auto, Ltd. | | | | | | | 10,261 | | | | | | | | 535,914 | |
Bharat Heavy Electricals, Ltd. | | | | | | | 520,157 | | | | | | | | 753,822 | |
Bharat Petroleum Corporation, Ltd. | | | | | | | 66,201 | | | | | | | | 536,951 | |
Bharti Infratel, Ltd. | | | | | | | 10,119 | | | | | | | | 60,046 | |
Dabur India, Ltd. | | | | | | | 155,855 | | | | | | | | 853,903 | |
Eicher Motors, Ltd. | | | | | | | 239 | | | | | | | | 113,610 | |
GAIL India, Ltd. | | | | | | | 63,886 | | | | | | | | 500,108 | |
Godrej Consumer Products, Ltd. | | | | | | | 12,039 | | | | | | | | 188,514 | |
Grasim Industries, Ltd. | | | | | | | 43,558 | | | | | | | | 795,547 | |
HCL Technologies, Ltd. | | | | | | | 16,556 | | | | | | | | 230,984 | |
HDFC Bank, Ltd.Y††† | | | | | | | 126,645 | | | | | | | | 3,710,409 | |
Hero MotoCorp, Ltd. | | | | | | | 24,562 | | | | | | | | 1,456,596 | |
Hindalco Industries, Ltd. | | | | | | | 107,002 | | | | | | | | 458,586 | |
Hindustan Petroleum Corporation, Ltd. | | | | | | | 91,535 | | | | | | | | 600,314 | |
Hindustan Unilever, Ltd. | | | | | | | 13,121 | | | | | | | | 281,189 | |
Housing Development Finance Corporation, Ltd. | | | | | | | 16,011 | | | | | | | | 429,050 | |
Indiabulls Housing Finance, Ltd. | | | | | | | 3,815 | | | | | | | | 71,521 | |
Indian Oil Corporation, Ltd. | | | | | | | 104,743 | | | | | | | | 637,623 | |
Infosys, Ltd. | | | | | | | 150,611 | | | | | | | | 2,458,881 | |
Infosys, Ltd. ADRD | | | | | | | 139,416 | | | | | | | | 2,261,328 | |
JSW Steel, Ltd. | | | | | | | 68,819 | | | | | | | | 290,899 | |
Kotak Mahindra Bank, Ltd. | | | | | | | 286,603 | | | | | | | | 4,536,075 | |
NTPC, Ltd. | | | | | | | 87,918 | | | | | | | | 243,805 | |
Power Finance Corporation, Ltd. | | | | | | | 170,131 | | | | | | | | 324,522 | |
Quess Corporation, Ltd.* 144A | | | | | | | 31,614 | | | | | | | | 571,655 | |
Tata Consultancy Services, Ltd. | | | | | | | 56,609 | | | | | | | | 2,395,711 | |
Tata Motors, Ltd. ADR* | | | | | | | 1,209 | | | | | | | | 39,982 | |
Tata Steel, Ltd. | | | | | | | 97,339 | | | | | | | | 1,116,934 | |
Tech Mahindra, Ltd. | | | | | | | 12,581 | | | | | | | | 99,353 | |
Wipro, Ltd. | | | | | | | 27,305 | | | | | | | | 134,434 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 31,199,666 | |
| | | | | | | | | | | | | | | | |
Indonesia — 2.1% | | | | | | | | | | | | | | | | |
PT Adaro Energy Tbk | | | | | | | 5,355,000 | | | | | | | | 734,129 | |
PT Astra International Tbk | | | | | | | 381,400 | | | | | | | | 233,324 | |
PT Bank Central Asia Tbk | | | | | | | 2,810,500 | | | | | | | | 4,536,573 | |
PT Bank Mandiri Persero Tbk | | | | | | | 602,900 | | | | | | | | 355,497 | |
PT Bank Negara Indonesia Persero Tbk | | | | | | | 2,069,900 | | | | | | | | 1,510,375 | |
PT Bank Rakyat Indonesia Persero Tbk | | | | | | | 3,212,000 | | | | | | | | 861,742 | |
PT Indofood Sukses Makmur Tbk | | | | | | | 635,235 | | | | | | | | 357,005 | |
PT Semen Indonesia Persero Tbk | | | | | | | 225,500 | | | | | | | | 164,544 | |
PT Surya Citra Media Tbk | | | | | | | 124,500 | | | | | | | | 22,757 | |
PT Telekomunikasi Indonesia Persero Tbk | | | | | | | 1,370,200 | | | | | | | | 448,401 | |
PT United Tractors Tbk | | | | | | | 402,969 | | | | | | | | 1,051,417 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 10,275,764 | |
| | | | | | | | | | | | | | | | |
| | | | |
| 262 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | |
| | | Shares | | | Value | |
Isle of Man — 0.1% | | | | | | | | | | | | | | | | |
NEPI Rockcastle PLC | | | | | | | 15,777 | | | | | | | $ | 272,337 | |
| | | | | | | | | | | | | | | | |
Japan — 0.0% | | | | | | | | | | | | | | | | |
Unicharm Corporation | | | | | | | 3,500 | | | | | | | | 90,998 | |
| | | | | | | | | | | | | | | | |
Kenya — 0.2% | | | | | | | | | | | | | | | | |
Equity Group Holdings, Ltd. | | | | | | | 2,882,347 | | | | | | | | 1,110,745 | |
Malaysia — 1.6% | | | | | | | | | | | | | | | | |
AirAsia Bhd | | | | | | | 1,417,300 | | | | | | | | 1,173,204 | |
CIMB Group Holdings Bhd | | | | | | | 639,000 | | | | | | | | 1,032,632 | |
Hong Leong Bank Bhd. | | | | | | | 85,300 | | | | | | | | 358,315 | |
Malayan Banking Bhd | | | | | | | 775,100 | | | | | | | | 1,876,941 | |
Malaysia Airports Holdings | | | | | | | 418,800 | | | | | | | | 909,625 | |
Petronas Chemicals Group Bhd | | | | | | | 62,200 | | | | | | | | 118,344 | |
Public Bank Bhd | | | | | | | 295,200 | | | | | | | | 1,515,754 | |
Sime Darby Bhd | | | | | | | 176,100 | | | | | | | | 96,165 | |
Sime Darby Plantation Bhd* | | | | | | | 74,400 | | | | | | | | 110,304 | |
Tenaga Nasional Bhd | | | | | | | 65,200 | | | | | | | | 245,849 | |
Westports Holdings Bhd | | | | | | | 405,600 | | | | | | | | 370,823 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 7,807,956 | |
| | | | | | | | | | | | | | | | |
Mexico — 3.4% | | | | | | | | | | | | | | | | |
America Movil SAB de CV Series L | | | | | | | 1,252,245 | | | | | | | | 1,078,857 | |
America Movil SAB de CV Series L ADR | | | | | | | 215,285 | | | | | | | | 3,692,138 | |
Arca Continental SAB de CV | | | | | | | 38,388 | | | | | | | | 265,812 | |
Fibra Uno Administracion SA de CV REIT | | | | | | | 181,600 | | | | | | | | 268,671 | |
Gruma SAB de CV Series B | | | | | | | 7,485 | | | | | | | | 94,921 | |
Grupo Aeroportuario del Pacifico SAB de CV | | | | | | | 16,200 | | | | | | | | 166,428 | |
Grupo Financiero Banorte SAB de CV Series O | | | | | | | 773,487 | | | | | | | | 4,245,770 | |
Grupo Financiero Inbursa SAB de CV Series O | | | | | | | 784,800 | | | | | | | | 1,284,817 | |
Grupo Financiero Santander Mexico SAB de CV ADR Series B | | | | | | | 67,405 | | | | | | | | 492,731 | |
Grupo Mexico SAB de CV Series B | | | | | | | 14,600 | | | | | | | | 48,212 | |
Kimberly-Clark de Mexico SAB de CV Series A | | | | | | | 103,440 | | | | | | | | 182,128 | |
Megacable Holdings SAB de CV | | | | | | | 306,500 | | | | | | | | 1,247,044 | |
Mexichem SAB de CV | | | | | | | 283,000 | | | | | | | | 700,501 | |
Telesites SAB de CV* | | | | | | | 436,916 | | | | | | | | 331,534 | |
Wal-Mart de Mexico SAB de CV | | | | | | | 1,178,582 | | | | | | | | 2,890,336 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 16,989,900 | |
| | | | | | | | | | | | | | | | |
Morocco & Antilles — 0.3% | | | | | | | | | | | | | | | | |
Attijariwafa Bank | | | | | | | 24,657 | | | | | | | | 1,275,571 | |
| | | | | | | | | | | | | | | | |
Netherlands — 0.1% | | | | | | | | | | | | | | | | |
Yandex NV* | | | | | | | 11,623 | | | | | | | | 380,653 | |
| | | | | | | | | | | | | | | | |
Nigeria — 1.1% | | | | | | | | | | | | | | | | |
Dangote Cement PLC | | | | | | | 4,132,380 | | | | | | | | 2,640,132 | |
FCMB Group PLC | | | | | | | 12,000,000 | | | | | | | | 49,333 | |
Guaranty Trust Bank PLC | | | | | | | 17,983,238 | | | | | | | | 2,035,603 | |
Nestle Nigeria PLC | | | | | | | 147,659 | | | | | | | | 638,211 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 5,363,279 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | Shares | | | Value | |
Peru — 0.8% | | | | | | | | | | | | | | | | |
Credicorp, Ltd. | | | | | | | 19,187 | | | | | | | $ | 3,979,959 | |
| | | | | | | | | | | | | | | | |
Philippines — 0.8% | | | | | | | | | | | | | | | | |
Ayala Land, Inc. | | | | | | | 131,200 | | | | | | | | 117,218 | |
BDO Unibank, Inc. | | | | | | | 66,960 | | | | | | | | 219,981 | |
Globe Telecom, Inc. | | | | | | | 565 | | | | | | | | 21,504 | |
International Container Terminal Services, Inc. | | | | | | | 78,330 | | | | | | | | 165,541 | |
JG Summit Holdings, Inc. | | | | | | | 130,840 | | | | | | | | 188,974 | |
Jollibee Foods Corporation | | | | | | | 12,850 | | | | | | | | 65,125 | |
Metro Pacific Investments Corporation | | | | | | | 308,400 | | | | | | | | 42,318 | |
Puregold Price Club, Inc. | | | | | | | 149,000 | | | | | | | | 149,239 | |
Security Bank Corporation | | | | | | | 19,470 | | | | | | | | 98,052 | |
SM Investments Corporation | | | | | | | 14,500 | | | | | | | | 287,560 | |
SM Prime Holdings, Inc. | | | | | | | 177,300 | | | | | | | | 133,188 | |
Universal Robina Corporation | | | | | | | 833,130 | | | | | | | | 2,520,085 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 4,008,785 | |
| | | | | | | | | | | | | | | | |
Poland — 1.7% | | | | | | | | | | | | | | | | |
Alior Bank SA* | | | | | | | 9,484 | | | | | | | | 216,601 | |
Bank Zachodni WBK SA | | | | | | | 1,422 | | | | | | | | 161,872 | |
CCC SA | | | | | | | 1,822 | | | | | | | | 149,175 | |
Cyfrowy Polsat SA | | | | | | | 22,989 | | | | | | | | 164,181 | |
Jastrzebska Spolka Weglowa SA* | | | | | | | 38,362 | | | | | | | | 1,060,949 | |
KGHM Polska Miedz SA | | | | | | | 2,571 | | | | | | | | 82,131 | |
LPP SA | | | | | | | 90 | | | | | | | | 230,368 | |
PGE Polska Grupa Energetyczna SA* | | | | | | | 198,638 | | | | | | | | 687,625 | |
Polski Koncern Naftowy ORLEN SA | | | | | | | 92,488 | | | | | | | | 2,816,394 | |
Polskie Gornictwo Naftowe i Gazownictwo SA | | | | | | | 139,457 | | | | | | | | 251,996 | |
Powszechna Kasa Oszczednosci Bank Polski SA* | | | | | | | 117,131 | | | | | | | | 1,490,994 | |
Powszechny Zaklad Ubezpieczen SA | | | | | | | 47,166 | | | | | | | | 571,258 | |
Tauron Polska Energia SA* | | | | | | | 556,305 | | | | | | | | 487,433 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 8,370,977 | |
| | | | | | | | | | | | | | | | |
Portugal — 0.6% | | | | | | | | | | | | | | | | |
Jeronimo Martins SGPS SA | | | | | | | 159,834 | | | | | | | | 3,105,826 | |
| | | | | | | | | | | | | | | | |
Qatar — 0.0% | | | | | | | | | | | | | | | | |
Qatar National Bank QPSC | | | | | | | 3,676 | | | | | | | | 128,211 | |
| | | | | | | | | | | | | | | | |
Russia — 4.1% | | | | | | | | | | | | | | | | |
Gazprom PJSC ADR | | | | | | | 193,596 | | | | | | | | 853,758 | |
Lenta, Ltd. GDR* | | | | | | | 165,992 | | | | | | | | 966,073 | |
LUKOIL PJSC ADR | | | | | | | 16,867 | | | | | | | | 965,130 | |
Magnit PJSC GDR | | | | | | | 168,599 | | | | | | | | 4,611,183 | |
MMC Norilsk Nickel PJSC ADR | | | | | | | 17,765 | | | | | | | | 332,916 | |
Mobile TeleSystems PJSC ADR | | | | | | | 42,872 | | | | | | | | 436,866 | |
Novatek PJSC GDR | | | | | | | 23,715 | | | | | | | | 2,850,543 | |
Novolipetsk Steel PJSC GDR | | | | | | | 30,647 | | | | | | | | 782,111 | |
Rosneft Oil Co. PJSC GDR | | | | | | | 27,856 | | | | | | | | 139,001 | |
Sberbank of Russia PJSC ADR | | | | | | | 357,933 | | | | | | | | 6,059,806 | |
Severstal PJSC GDR | | | | | | | 104,971 | | | | | | | | 1,614,454 | |
Surgutneftegas OJSC ADR | | | | | | | 42,924 | | | | | | | | 202,387 | |
Tatneft PJSC ADR | | | | | | | 12,952 | | | | | | | | 640,606 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 20,454,834 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 263 |
EMERGING MARKETS EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | | | | | |
| | | Shares | | | Value | |
South Africa — 7.2% | | | | | | | | | | | | | | | | |
Aspen Pharmacare Holdings, Ltd. | | | | | | | 117,226 | | | | | | | $ | 2,629,235 | |
Barclays Africa Group, Ltd. | | | | | | | 42,600 | | | | | | | | 626,613 | |
Bid Corporation, Ltd. | | | | | | | 85,768 | | | | | | | | 2,086,507 | |
Bidvest Group, Ltd. (The) | | | | | | | 36,926 | | | | | | | | 650,895 | |
Exxaro Resources, Ltd. | | | | | | | 169,553 | | | | | | | | 2,226,904 | |
Fortress REIT, Ltd. Class B | | | | | | | 20,249 | | | | | | | | 69,065 | |
Foschini Group, Ltd. (The) | | | | | | | 17,224 | | | | | | | | 274,707 | |
Growthpoint Properties, Ltd. REIT | | | | | | | 170,095 | | | | | | | | 380,265 | |
Imperial Holdings, Ltd. | | | | | | | 39,567 | | | | | | | | 838,318 | |
Investec, Ltd. | | | | | | | 16,741 | | | | | | | | 121,399 | |
Massmart Holdings, Ltd. | | | | | | | 16,834 | | | | | | | | 189,858 | |
MMI Holdings, Ltd. | | | | | | | 65,981 | | | | | | | | 111,990 | |
Mondi, Ltd. | | | | | | | 23,859 | | | | | | | | 615,677 | |
Mr Price Group, Ltd. | | | | | | | 2,665 | | | | | | | | 52,744 | |
MTN Group, Ltd. | | | | | | | 142,435 | | | | | | | | 1,572,570 | |
Naspers, Ltd. N Shares | | | | | | | 66,545 | | | | | | | | 18,561,067 | |
Pick n Pay Stores, Ltd.D | | | | | | | 350,023 | | | | | | | | 1,967,880 | |
Redefine Properties, Ltd. REIT | | | | | | | 190,199 | | | | | | | | 164,488 | |
Remgro, Ltd. | | | | | | | 16,085 | | | | | | | | 306,814 | |
Resilient, Ltd. REIT | | | | | | | 12,543 | | | | | | | | 153,243 | |
RMB Holdings, Ltd. | | | | | | | 40,174 | | | | | | | | 257,068 | |
Sanlam, Ltd. | | | | | | | 25,180 | | | | | | | | 177,059 | |
Standard Bank Group, Ltd. | | | | | | | 133,694 | | | | | | | | 2,114,251 | |
Woolworths Holdings, Ltd. | | | | | | | 6,703 | | | | | | | | 35,383 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 36,184,000 | |
| | | | | | | | | | | | | | | | |
South Korea — 13.3% | | | | | | | | | | | | | | | | |
AMOREPACIFIC Group | | | | | | | 669 | | | | | | | | 88,113 | |
BNK Financial Group, Inc. | | | | | | | 35,760 | | | | | | | | 314,289 | |
Celltrion, Inc.* | | | | | | | 2,911 | | | | | | | | 600,479 | |
Daewoo Engineering & Construction Co., Ltd.* | | | | | | | 9,186 | | | | | | | | 50,797 | |
DB Insurance Co., Ltd. | | | | | | | 1,927 | | | | | | | | 128,161 | |
DGB Financial Group, Inc. | | | | | | | 3,048 | | | | | | | | 29,993 | |
E-MART, Inc. | | | | | | | 6,601 | | | | | | | | 1,669,348 | |
GS Retail Co., Ltd. | | | | | | | 32,150 | | | | | | | | 1,209,464 | |
Hana Financial Group, Inc. | | | | | | | 26,770 | | | | | | | | 1,244,308 | |
Hanssem Co., Ltd. | | | | | | | 1,802 | | | | | | | | 302,984 | |
Hanwha Chemical Corporation | | | | | | | 29,952 | | | | | | | | 883,631 | |
Hanwha Corporation | | | | | | | 21,691 | | | | | | | | 838,780 | |
Hanwha Life Insurance Co., Ltd. | | | | | | | 78,519 | | | | | | | | 506,107 | |
Hyundai Marine & Fire Insurance Co., Ltd. | | | | | | | 24,155 | | | | | | | | 1,059,377 | |
Hyundai Mobis Co., Ltd. | | | | | | | 1,666 | | | | | | | | 409,283 | |
KB Financial Group, Inc. | | | | | | | 15,685 | | | | | | | | 928,287 | |
KIWOOM Securities Co., Ltd. | | | | | | | 9,055 | | | | | | | | 740,213 | |
Korea Investment Holdings Co., Ltd. | | | | | | | 12,444 | | | | | | | | 801,239 | |
Korean Air Lines Co., Ltd.* | | | | | | | 6,547 | | | | | | | | 206,632 | |
KT Corporation ADRD | | | | | | | 37,055 | | | | | | | | 578,429 | |
LG Corporation | | | | | | | 10,160 | | | | | | | | 863,424 | |
LG Electronic, Ltd. | | | | | | | 34,558 | | | | | | | | 3,416,893 | |
Lotte Chemical Corporation | | | | | | | 6,471 | | | | | | | | 2,221,954 | |
Medy-Tox, Inc. | | | | | | | 182 | | | | | | | | 82,436 | |
NAVER Corporation | | | | | | | 4,380 | | | | | | | | 3,558,223 | |
NCSoft Corporation | | | | | | | 1,880 | | | | | | | | 785,858 | |
NH Investment & Securities Co., Ltd. | | | | | | | 8,912 | | | | | | | | 115,355 | |
| | | | | | | | | | | | | | | | |
| | | Shares | | | Value | |
POSCO | | | | | | | 1,600 | | | | | | | $ | 497,682 | |
Samsung Electronics Co., Ltd. | | | | | | | 9,166 | | | | | | | | 21,777,603 | |
Samsung Fire & Marine Insurance Co., Ltd. | | | | | | | 23,180 | | | | | | | | 5,779,764 | |
Samsung SDS Co., Ltd. | | | | | | | 372 | | | | | | | | 69,363 | |
Shinhan Financial Group Co., Ltd. | | | | | | | 108,111 | | | | | | | | 4,990,104 | |
SK Hynix, Inc. | | | | | | | 81,848 | | | | | | | | 5,813,364 | |
SK Innovation Co., Ltd. | | | | | | | 4,497 | | | | | | | | 857,896 | |
SK Telecom Co., Ltd. | | | | | | | 10,257 | | | | | | | | 2,558,142 | |
Woori Bank | | | | | | | 43,395 | | | | | | | | 637,923 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 66,615,898 | |
| | | | | | | | | | | | | | | | |
Switzerland — 0.4% | | | | | | | | | | | | | | | | |
Cie Financiere Richemont SA | | | | | | | 22,251 | | | | | | | | 2,016,279 | |
| | | | | | | | | | | | | | | | |
Taiwan — 7.5% | | | | | | | | | | | | | | | | |
AU Optronics Corporation | | | | | | | 644,000 | | | | | | | | 268,347 | |
Catcher Technology Co., Ltd. | | | | | | | 6,000 | | | | | | | | 66,132 | |
Cathay Financial Holding Co., Ltd. | | | | | | | 298,185 | | | | | | | | 536,079 | |
China Airlines, Ltd.* | | | | | | | 1,099,000 | | | | | | | | 430,242 | |
China Life Insurance Co., Ltd. | | | | | | | 343,643 | | | | | | | | 345,854 | |
Compal Electronics, Inc. | | | | | | | 276,430 | | | | | | | | 197,858 | |
CTBC Financial Holding Co., Ltd. | | | | | | | 1,151,173 | | | | | | | | 793,019 | |
E.Sun Financial Holding Co., Ltd. | | | | | | | 63,000 | | | | | | | | 40,012 | |
Eva Airways Corporation | | | | | | | 159,000 | | | | | | | | 84,687 | |
Evergreen Marine Corporation Taiwan, Ltd.* | | | | | | | 1,186,000 | | | | | | | | 651,616 | |
First Financial Holding Co., Ltd. | | | | | | | 1,294,269 | | | | | | | | 850,277 | |
Formosa Chemicals & Fibre Corporation | | | | | | | 97,000 | | | | | | | | 335,736 | |
Foxconn Technology Co., Ltd. | | | | | | | 88,152 | | | | | | | | 252,383 | |
Fubon Financial Holding Co., Ltd. | | | | | | | 376,000 | | | | | | | | 640,597 | |
General Interface Solution Holding, Ltd. | | | | | | | 122,000 | | | | | | | | 815,834 | |
Globalwafers Co., Ltd. | | | | | | | 15,000 | | | | | | | | 200,363 | |
Hiwin Technologies Corporation | | | | | | | 67,000 | | | | | | | | 724,969 | |
Hon Hai Precision Industry Co., Ltd. | | | | | | | 1,178,778 | | | | | | | | 3,771,012 | |
Innolux Corporation | | | | | | | 285,000 | | | | | | | | 118,756 | |
Largan Precision Co., Ltd. | | | | | | | 6,000 | | | | | | | | 810,525 | |
Lite-On Technology Corporation | | | | | | | 520,883 | | | | | | | | 710,649 | |
MediaTek, Inc. | | | | | | | 134,000 | | | | | | | | 1,323,857 | |
Mega Financial Holding Co., Ltd. | | | | | | | 152,000 | | | | | | | | 122,842 | |
Nanya Technology Corporation | | | | | | | 36,000 | | | | | | | | 92,182 | |
Nien Made Enterprise Co., Ltd. | | | | | | | 19,000 | | | | | | | | 203,035 | |
Novatek Microelectronics Corporation | | | | | | | 66,000 | | | | | | | | 251,726 | |
Pegatron Corporation | | | | | | | 373,089 | | | | | | | | 902,680 | |
Phison Electronics Corporation | | | | | | | 130,000 | | | | | | | | 1,275,602 | |
Pou Chen Corporation | | | | | | | 173,000 | | | | | | | | 224,109 | |
Powertech Technology, Inc. | | | | | | | 323,000 | | | | | | | | 955,156 | |
Realtek Semiconductor Corporation | | | | | | | 192,000 | | | | | | | | 703,261 | |
Shin Kong Financial Holding Co., Ltd. | | | | | | | 525,000 | | | | | | | | 185,241 | |
Siliconware Precision Industries Co., Ltd. | | | | | | | 64,920 | | | | | | | | 109,733 | |
Synnex Technology International Corporation | | | | | | | 34,000 | | | | | | | | 46,330 | |
Taiwan Cooperative Financial Holding Co., Ltd. | | | | | | | 267,000 | | | | | | | | 148,939 | |
| | | | |
| 264 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | |
| | | Shares | | | Value | |
Taiwan Semiconductor Manufacturing Co., Ltd. | | | | | | | 1,276,000 | | | | | | | $ | 9,840,617 | |
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | | | | | | | 185,556 | | | | | | | | 7,357,295 | |
Teco Electric and Machinery Co., Ltd. | | | | | | | 100,000 | | | | | | | | 95,771 | |
Uni-President Enterprises Corporation | | | | | | | 170,000 | | | | | | | | 377,035 | |
Wistron Corporation | | | | | | | 483,804 | | | | | | | | 389,371 | |
| | | | | | | | | | | | | | | 37,249,729 | |
Thailand — 3.4% | | | | | | | | | | | | | | | | |
Airports of Thailand PCL NVDR | | | | | | | 136,900 | | | | | | | | 285,646 | |
Bangkok Bank PCL NVDR | | | | | | | 11,870 | | | | | | | | 73,573 | |
Bangkok Dusit Medical Services PCL | | | | | | | 4,536,400 | | | | | | | | 2,909,198 | |
Bumrungrad Hospital PCL NVDR | | | | | | | 24,600 | | | | | | | | 142,663 | |
Central Pattana PCL | | | | | | | 1,706,400 | | | | | | | | 4,463,658 | |
Central Pattana PCL NVDR | | | | | | | 31,000 | | | | | | | | 81,091 | |
CP ALL PCL | | | | | | | 1,278,500 | | | | | | | | 3,020,697 | |
Home Product Center PCL NVDR | | | | | | | 150,000 | | | | | | | | 58,914 | |
Indorama Ventures PCL NVDR | | | | | | | 320,800 | | | | | | | | 524,167 | |
Kasikornbank PCL NVDR | | | | | | | 11,400 | | | | | | | | 81,154 | |
Krung Thai Bank PCL NVDR | | | | | | | 1,049,835 | | | | | | | | 618,497 | |
PTT Exploration & Production PCL | | | | | | | | | | | | | | | | |
NVDR | | | | | | | 17,000 | | | | | | | | 52,163 | |
PTT Global Chemical PCL NVDR | | | | | | | 1,024,754 | | | | | | | | 2,672,724 | |
PTT PCL NVDR | | | | | | | 14,300 | | | | | | | | 193,065 | |
Thai Oil PCL NVDR | | | | | | | 480,462 | | | | | | | | 1,525,861 | |
TOA Paint Thailand PCL* | | | | | | | 40,825 | | | | | | | | 40,712 | |
| | | | | | | | | | | | | | | 16,743,783 | |
Turkey — 3.6% | | | | | | | | | | | | | | | | |
Akbank TAS | | | | | | | 313,100 | | | | | | | | 813,622 | |
BIM Birlesik Magazalar AS | | | | | | | 59,457 | | | | | | | | 1,225,061 | |
Coca-Cola Icecek AS | | | | | | | 127,303 | | | | | | | | 1,149,270 | |
Eregli Demir ve Celik Fabrikalari TAS | | | | | | | 125,749 | | | | | | | | 332,411 | |
Ford Otomotiv Sanayi AS | | | | | | | 48,623 | | | | | | | | 772,863 | |
Haci Omer Sabanci Holding AS | | | | | | | 80,748 | | | | | | | | 236,886 | |
KOC Holding AS | | | | | | | 197,148 | | | | | | | | 961,165 | |
TAV Havalimanlari Holding AS | | | | | | | 105,056 | | | | | | | | 622,493 | |
Tofas Turk Otomobil Fabrikasi AS | | | | | | | 87,231 | | | | | | | | 759,891 | |
Turk Hava Yollari AO* | | | | | | | 493,141 | | | | | | | | 2,041,256 | |
Turkcell Iletisim Hizmetleri AS | | | | | | | 76,484 | | | | | | | | 312,353 | |
Türkiye Garanti Bankasi AS | | | | | | | 1,899,615 | | | | | | | | 5,372,345 | |
Türkiye Halk Bankasi AS | | | | | | | 90,723 | | | | | | | | 258,012 | |
Türkiye Is Bankasi Class C | | | | | | | 242,379 | | | | | | | | 445,688 | |
Turkiye Vakiflar Bankasi TAO Class D | | | | | | | 330,781 | | | | | | | | 590,789 | |
Ulker Biskuvi Sanayi AS | | | | | | | 118,765 | | | | | | | | 616,306 | |
Yapi ve Kredi Bankasi AS* | | | | | | | 1,427,189 | | | | | | | | 1,634,085 | |
| | | | | | | | | | | | | | | 18,144,496 | |
United Arab Emirates — 0.1% | | | | | |
ADES International Holding, Ltd.* 144A | | | | | | | 27,527 | | | | | | | | 370,238 | |
United Kingdom — 2.3% | | | | | | | | | | | | | | | | |
Anglo American PLC | | | | | | | 8,868 | | | | | | | | 183,216 | |
Global Ports Investments PLC GDR* | | | | | | | 49,037 | | | | | | | | 186,341 | |
Hikma Pharmaceuticals PLCD | | | | | | | 93,570 | | | | | | | | 1,432,622 | |
Liberty Global PLC LiLAC Class A*D | | | | | | | 70,743 | | | | | | | | 1,425,472 | |
| | | | | | | | | | | | | | | | |
| | | Shares | | | Value | |
Liberty Global PLC LiLAC Class C* | | | | | | | 94,333 | | | | | | | $ | 1,876,283 | |
Mediclinic International PLCD | | | | | | | 460,049 | | | | | | | | 4,034,273 | |
Tullow Oil PLC* | | | | | | | 935,851 | | | | | | | | 2,610,472 | |
| | | | | | | | | | | | | | | 11,748,679 | |
Total Foreign Common Stocks
(Cost $367,074,979) | | | | 433,309,585 | |
FOREIGN PREFERRED STOCKS — 3.7% | |
Brazil — 2.2% | | | | | | | | | |
Banco Bradesco SA ADR | | | | | | | | | | | | | | | | |
0.00%, 01/03/18* | | | | | | | 101,407 | | | | | | | | 1,038,408 | |
Cia Brasileira de Distribuicao | | | | | | | | | | | | | | | | |
0.00%, 12/07/17 | | | | | | | 49,400 | | | | | | | | 1,175,705 | |
Cia Brasileira de Distribuicao ADR | | | | | | | | | | | | | | | | |
0.00%, 12/08/17* | | | | | | | 20,418 | | | | | | | | 481,252 | |
Cia Energetica de Minas Gerais | | | | | | | | | | | | | | | | |
1.70%, 05/15/17 | | | | | | | 18,000 | | | | | | | | 37,228 | |
Itau Unibanco Holding SA ADR | | | | | | | | | | | | | | | | |
0.40%, 01/02/18 | | | | | | | 157,064 | | | | | | | | 2,041,832 | |
Itausa - Investimentos Itau SA | | | | | | | | | | | | | | | | |
0.54%, 12/26/17 | | | | | | | 1,360,981 | | | | | | | | 4,439,095 | |
Lojas Americanas SA | | | | | | | | | | | | | | | | |
0.00%, 01/05/18* | | | | | | | 96,999 | | | | | | | | 498,350 | |
Petroleo Brasileiro SA | | | | | | | | | | | | | | | | |
0.00%, 04/03/14* | | | | | | | 233,600 | | | | | | | | 1,133,583 | |
| | | | | | | | | | | | | | | 10,845,453 | |
Chile — 0.2% | | | | | | | | | | | | | | | | |
Embotelladora Andina SA ADR Class B | | | | | | | | | | | | | | | | |
1.95%, 10/19/17D | | | | | | | 29,544 | | | | | | | | 854,708 | |
Sociedad Quimica y Minera de Chile SA ADR | | | | | | | | | | | | | | | | |
0.72%, 12/06/17 | | | | | | | 6,733 | | | | | | | | 399,738 | |
| | | | | | | | | | | | | | | 1,254,446 | |
Colombia — 0.1% | | | | | | | | | | | | | | | | |
Bancolombia SA ADR | | | | | | | | | | | | | | | | |
3.10%, 12/22/17 | | | | | | | 9,370 | | | | | | | | 371,614 | |
South Korea — 1.2% | | | | | | | | | | | | | | | | |
Samsung Electronics Co., Ltd. | | | | | | | | | | | | | | | | |
1.33%, 09/28/17 | | | | | | | 2,796 | | | | | | | | 5,444,965 | |
Samsung Fire & Marine Insurance Co., Ltd. | | | | | | | | | | | | | | | | |
3.49%, 12/28/16 | | | | | | | 2,090 | | | | | | | | 345,551 | |
| | | | | | | | | | | | | | | 5,790,516 | |
Total Foreign Preferred Stocks
(Cost $15,808,561) | | | | 18,262,029 | |
| | | | |
| | See Notes to Financial Statements. | | 265 |
EMERGING MARKETS EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | | | | | |
| | | Shares | | | Value | |
MONEY MARKET FUNDS — 7.7% | |
GuideStone Money Market Fund (Investor Class)¥ | | | | | | | 19,608,867 | | | | | | | $ | 19,608,867 | |
Northern Institutional Liquid Assets Portfolio§ | | | | | | | 7,288,423 | | | | | | | | 7,288,423 | |
Northern Institutional U.S. Government Portfolio | | | | | | | 11,503,448 | | | | | | | | 11,503,448 | |
Total Money Market Funds
(Cost $38,400,738) | | | | | | | | | | | | | | | 38,400,738 | |
| | | |
| | | Par | | | | | | | |
U.S. TREASURY OBLIGATION — 0.2% | |
U.S. Treasury Bill 1.42%,
06/07/18W‡‡
(Cost $1,192,621) | | | | | | | $1,200,000 | | | | | | | | 1,192,395 | |
TOTAL INVESTMENTS — 100.4%
(Cost $431,718,143) | | | | 501,177,725 | |
Liabilities in Excess of Other
Assets — (0.4)% | | | | | | | | | | | | | | | (2,190,541 | ) |
NET ASSETS — 100.0% | | | $ | 498,987,184 | |
| | | | | | | | | | | | | | | | |
Futures Contracts outstanding at December 31, 2017:
| | | | | | | | | | | | | | | | | | | | |
Future Type | | Expiration Date | | | Open Long
(Short) Contracts | | | Notional
Market Value
of Contracts | | | Counterparty | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Taiwan Taiex Index | | | 01/2018 | | | | 5 | | | $ | 357,310 | | | | GSC | | | $ | 4,501 | |
SGX Nifty 50 Index | | | 01/2018 | | | | (330) | | | | (6,968,610 | ) | | | GSC | | | | (5,890 | ) |
TA-35 Index | | | 01/2018 | | | | 54 | | | | 2,347,188 | | | | GSC | | | | 42,308 | |
FTSE Bursa Malaysia KLCI Index | | | 01/2018 | | | | (3) | | | | (66,160 | ) | | | BAR | | | | (618 | ) |
HSCEI Index | | | 01/2018 | | | | 98 | | | | 7,356,726 | | | | BAR | | | | 46,030 | |
HSCEI Index | | | 01/2018 | | | | 64 | | | | 4,804,393 | | | | GSC | | | | 33,912 | |
MSCI Taiwan Index | | | 01/2018 | | | | 96 | | | | 3,772,800 | | | | BAR | | | | 64,270 | |
SGX MSCI Singapore Index | | | 01/2018 | | | | 39 | | | | 1,131,698 | | | | BAR | | | | 6,782 | |
Bovespa Index | | | 02/2018 | | | | (110) | | | | (2,548,229 | ) | | | GSC | | | | (100,183 | ) |
BIST 30 Index | | | 02/2018 | | | | (57) | | | | (218,346 | ) | | | JPM | | | | (6,155 | ) |
KOSPI 200 Index | | | 03/2018 | | | | 112 | | | | 8,530,382 | | | | BAR | | | | 104,249 | |
KOSPI 200 Index | | | 03/2018 | | | | 18 | | | | 1,370,954 | | | | JPM | | | | 16,754 | |
FTSE/JSE Top 40 Index | | | 03/2018 | | | | (131) | | | | (5,630,062 | ) | | | BAR | | | | (99,277 | ) |
Mexican Bolsa Index | | | 03/2018 | | | | 8 | | | | 203,860 | | | | BAR | | | | 7,882 | |
MSCI Emerging Markets Index | | | 03/2018 | | | | 633 | | | | 36,831,105 | | | | GSC | | | | 1,445,850 | |
WIG20 Index | | | 03/2018 | | | | (30) | | | | (422,988 | ) | | | GSC | | | | (8,531 | ) |
SET50 Index | | | 03/2018 | | | | (155) | | | | (1,075,821 | ) | | | BAR | | | | 3,664 | |
| | | | | | | | | | | | | | | | | | | | |
Total Futures Contracts outstanding at December 31, 2017 | | | | | | | | | | $ | 49,776,200 | | | | | | | $ | 1,555,548 | |
| | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts outstanding at December 31, 2017:
| | | | | | | | | | | | | | | | | | | | |
Expiration Date | | Currency Purchased | | Amount
of Currency
Purchased | | | Currency Sold | | Amount
of Currency
Sold | | | Counterparty | | | Net Unrealized
Appreciation
(Depreciation) | |
03/22/18 | | South African Rand | | | 15,355,000 | | | U.S. Dollars | | | 1,066,813 | | | | CITI | | | | $159,394 | |
03/21/18 | | Turkish Lira | | | 9,799,500 | | | U.S. Dollars | | | 2,417,419 | | | | CITI | | | | 107,407 | |
03/21/18 | | Russian Rubles | | | 150,942,000 | | | U.S. Dollars | | | 2,493,929 | | | | CITI | | | | 95,232 | |
| | | | |
| 266 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | | | |
Expiration Date | | Currency Purchased | | Amount
of Currency
Purchased | | | Currency Sold | | Amount
of Currency
Sold | | | Counterparty | | Net Unrealized
Appreciation
(Depreciation) | |
03/21/18 | | Turkish Lira | | | 4,899,750 | | | U.S. Dollars | | | 1,190,854 | | | CITI | | $ | 71,559 | |
03/21/18 | | Turkish Lira | | | 4,899,750 | | | U.S. Dollars | | | 1,200,423 | | | CITI | | | 61,990 | |
03/21/18 | | Turkish Lira | | | 4,899,750 | | | U.S. Dollars | | | 1,203,165 | | | CITI | | | 59,248 | |
03/21/18 | | Turkish Lira | | | 4,899,750 | | | U.S. Dollars | | | 1,204,377 | | | CITI | | | 58,036 | |
03/22/18 | | South African Rand | | | 7,100,000 | | | U.S. Dollars | | | 509,864 | | | CITI | | | 57,122 | |
03/22/18 | | South African Rand | | | 8,000,000 | | | U.S. Dollars | | | 583,937 | | | CITI | | | 54,920 | |
03/21/18 | | U.S. Dollars | | | 1,957,707 | | | Brazilian Reals | | | 6,378,625 | | | CITI | | | 51,587 | |
03/21/18 | | Turkish Lira | | | 4,899,750 | | | U.S. Dollars | | | 1,211,794 | | | CITI | | | 50,619 | |
03/21/18 | | U.S. Dollars | | | 1,956,076 | | | Brazilian Reals | | | 6,378,625 | | | CITI | | | 49,956 | |
03/21/18 | | U.S. Dollars | | | 1,951,359 | | | Brazilian Reals | | | 6,378,625 | | | CITI | | | 45,239 | |
03/22/18 | | South African Rand | | | 6,000,000 | | | U.S. Dollars | | | 434,139 | | | CITI | | | 45,004 | |
03/21/18 | | U.S. Dollars | | | 1,948,676 | | | Brazilian Reals | | | 6,378,625 | | | CITI | | | 42,556 | |
03/21/18 | | Turkish Lira | | | 4,899,750 | | | U.S. Dollars | | | 1,224,789 | | | CITI | | | 37,624 | |
03/22/18 | | South African Rand | | | 4,500,000 | | | U.S. Dollars | | | 323,419 | | | CITI | | | 35,938 | |
03/22/18 | | South African Rand | | | 4,500,000 | | | U.S. Dollars | | | 323,876 | | | CITI | | | 35,481 | |
03/21/18 | | U.S. Dollars | | | 1,940,495 | | | Brazilian Reals | | | 6,378,625 | | | CITI | | | 34,375 | |
03/21/18 | | Chilean Pesos | | | 342,989,167 | | | U.S. Dollars | | | 522,883 | | | CITI | | | 34,144 | |
03/21/18 | | Chilean Pesos | | | 342,989,166 | | | U.S. Dollars | | | 524,338 | | | CITI | | | 32,689 | |
03/21/18 | | Chilean Pesos | | | 342,989,167 | | | U.S. Dollars | | | 525,455 | | | CITI | | | 31,572 | |
03/21/18 | | Chilean Pesos | | | 342,989,166 | | | U.S. Dollars | | | 526,261 | | | CITI | | | 30,766 | |
03/22/18 | | South African Rand | | | 4,100,000 | | | U.S. Dollars | | | 297,430 | | | CITI | | | 29,984 | |
03/22/18 | | South African Rand | | | 3,500,000 | | | U.S. Dollars | | | 250,030 | | | CITI | | | 29,471 | |
03/21/18 | | U.S. Dollars | | | 1,935,431 | | | Brazilian Reals | | | 6,378,625 | | | CITI | | | 29,312 | |
03/21/18 | | Chilean Pesos | | | 342,989,166 | | | U.S. Dollars | | | 528,898 | | | CITI | | | 28,129 | |
03/22/18 | | South African Rand | | | 4,300,000 | | | U.S. Dollars | | | 315,341 | | | CITI | | | 28,045 | |
03/21/18 | | U.S. Dollars | | | 1,934,140 | | | Brazilian Reals | | | 6,378,625 | | | CITI | | | 28,020 | |
03/21/18 | | Chilean Pesos | | | 342,989,167 | | | U.S. Dollars | | | 531,208 | | | CITI | | | 25,819 | |
03/21/18 | | Chilean Pesos | | | 342,989,167 | | | U.S. Dollars | | | 532,346 | | | CITI | | | 24,681 | |
03/21/18 | | U.S. Dollars | | | 1,292,625 | | | Mexican Pesos | | | 25,300,000 | | | CITI | | | 24,299 | |
03/21/18 | | U.S. Dollars | | | 1,930,102 | | | Brazilian Reals | | | 6,378,625 | | | CITI | | | 23,982 | |
03/21/18 | | Chilean Pesos | | | 342,989,166 | | | U.S. Dollars | | | 533,945 | | | CITI | | | 23,081 | |
03/21/18 | | Polish Zloty | | | 2,204,000 | | | U.S. Dollars | | | 612,123 | | | CITI | | | 21,235 | |
03/22/18 | | South African Rand | | | 2,600,000 | | | U.S. Dollars | | | 186,845 | | | CITI | | | 20,784 | |
03/21/18 | | Hungarian Forint | | | 193,707,000 | | | U.S. Dollars | | | 732,410 | | | CITI | | | 18,566 | |
03/21/18 | | Polish Zloty | | | 2,204,000 | | | U.S. Dollars | | | 614,820 | | | CITI | | | 18,537 | |
03/21/18 | | Czech Republic Koruna | | | 22,712,500 | | | U.S. Dollars | | | 1,052,361 | | | CITI | | | 18,527 | |
03/21/18 | | Hungarian Forint | | | 193,707,000 | | | U.S. Dollars | | | 732,631 | | | CITI | | | 18,344 | |
03/21/18 | | Chilean Pesos | | | 342,989,167 | | | U.S. Dollars | | | 539,310 | | | CITI | | | 17,717 | |
03/21/18 | | Chilean Pesos | | | 342,989,167 | | | U.S. Dollars | | | 539,420 | | | CITI | | | 17,606 | |
03/21/18 | | Chilean Pesos | | | 342,989,167 | | | U.S. Dollars | | | 539,864 | | | CITI | | | 17,163 | |
03/21/18 | | Polish Zloty | | | 2,204,000 | | | U.S. Dollars | | | 616,425 | | | CITI | | | 16,933 | |
03/21/18 | | Chilean Pesos | | | 342,989,167 | | | U.S. Dollars | | | 540,805 | | | CITI | | | 16,222 | |
03/21/18 | | Polish Zloty | | | 2,204,000 | | | U.S. Dollars | | | 617,802 | | | CITI | | | 15,556 | |
03/21/18 | | Hungarian Forint | | | 193,707,000 | | | U.S. Dollars | | | 735,497 | | | CITI | | | 15,479 | |
03/21/18 | | Czech Republic Koruna | | | 22,712,500 | | | U.S. Dollars | | | 1,056,498 | | | CITI | | | 14,390 | |
03/21/18 | | Polish Zloty | | | 2,204,000 | | | U.S. Dollars | | | 618,973 | | | CITI | | | 14,385 | |
03/21/18 | | Hungarian Forint | | | 193,707,000 | | | U.S. Dollars | | | 736,924 | | | CITI | | | 14,052 | |
03/22/18 | | South African Rand | | | 1,900,000 | | | U.S. Dollars | | | 138,331 | | | CITI | | | 13,397 | |
03/21/18 | | Hungarian Forint | | | 193,707,000 | | | U.S. Dollars | | | 737,774 | | | CITI | | | 13,201 | |
03/21/18 | | South Korean Won | | | 720,000,000 | | | U.S. Dollars | | | 662,060 | | | CITI | | | 13,183 | |
03/21/18 | | South Korean Won | | | 390,000,000 | | | U.S. Dollars | | | 352,823 | | | CITI | | | 12,934 | |
03/21/18 | | Chinese Offshore Yuan | | | 4,516,000 | | | U.S. Dollars | | | 677,434 | | | CITI | | | 12,801 | |
03/21/18 | | Polish Zloty | | | 2,204,000 | | | U.S. Dollars | | | 620,847 | | | CITI | | | 12,510 | |
03/21/18 | | Polish Zloty | | | 2,204,000 | | | U.S. Dollars | | | 621,316 | | | CITI | | | 12,041 | |
| | | | |
| | See Notes to Financial Statements. | | 267 |
EMERGING MARKETS EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | | | | | | | |
Expiration Date | | Currency Purchased | | Amount
of Currency
Purchased | | | Currency Sold | | Amount
of Currency
Sold | | | Counterparty | | Net Unrealized
Appreciation
(Depreciation) | |
03/22/18 | | South African Rand | | | 1,222,000 | | | U.S. Dollars | | | 85,760 | | | CITI | | $ | 11,825 | |
03/21/18 | | Polish Zloty | | | 2,204,000 | | | U.S. Dollars | | | 621,776 | | | CITI | | | 11,582 | |
03/21/18 | | Polish Zloty | | | 2,204,000 | | | U.S. Dollars | | | 622,338 | | | CITI | | | 11,020 | |
03/21/18 | | Polish Zloty | | | 2,204,000 | | | U.S. Dollars | | | 622,439 | | | CITI | | | 10,919 | |
03/22/18 | | South African Rand | | | 1,300,000 | | | U.S. Dollars | | | 93,079 | | | CITI | | | 10,736 | |
03/21/18 | | South Korean Won | | | 790,000,000 | | | U.S. Dollars | | | 730,198 | | | CITI | | | 10,693 | |
03/21/18 | | Taiwan Dollars | | | 26,731,750 | | | U.S. Dollars | | | 898,822 | | | CITI | | | 10,527 | |
03/21/18 | | Polish Zloty | | | 2,204,000 | | | U.S. Dollars | | | 623,059 | | | CITI | | | 10,299 | |
03/21/18 | | Polish Zloty | | | 2,204,000 | | | U.S. Dollars | | | 623,076 | | | CITI | | | 10,281 | |
03/21/18 | | Hungarian Forint | | | 193,707,000 | | | U.S. Dollars | | | 741,046 | | | CITI | | | 9,929 | |
03/21/18 | | Singapore Dollars | | | 950,000 | | | U.S. Dollars | | | 701,475 | | | CITI | | | 9,717 | |
03/21/18 | | Russian Rubles | | | 27,000,000 | | | U.S. Dollars | | | 454,534 | | | CITI | | | 8,607 | |
03/22/18 | | South African Rand | | | 2,800,000 | | | U.S. Dollars | | | 215,162 | | | CITI | | | 8,438 | |
03/21/18 | | Czech Republic Koruna | | | 22,712,500 | | | U.S. Dollars | | | 1,062,826 | | | CITI | | | 8,062 | |
03/21/18 | | Polish Zloty | | | 2,204,000 | | | U.S. Dollars | | | 625,744 | | | CITI | | | 7,614 | |
03/21/18 | | Singapore Dollars | | | 1,320,000 | | | U.S. Dollars | | | 980,637 | | | CITI | | | 7,545 | |
03/21/18 | | South Korean Won | | | 313,018,000 | | | U.S. Dollars | | | 286,084 | | | CITI | | | 7,476 | |
03/21/18 | | U.S. Dollars | | | 368,274 | | | Mexican Pesos | | | 7,200,000 | | | CITI | | | 7,327 | |
03/21/18 | | Czech Republic Koruna | | | 22,712,500 | | | U.S. Dollars | | | 1,063,572 | | | CITI | | | 7,316 | |
03/22/18 | | South African Rand | | | 3,400,000 | | | U.S. Dollars | | | 264,364 | | | CITI | | | 7,151 | |
03/21/18 | | Taiwan Dollars | | | 13,365,875 | | | U.S. Dollars | | | 447,995 | | | CITI | | | 6,679 | |
03/22/18 | | South African Rand | | | 800,000 | | | U.S. Dollars | | | 57,553 | | | CITI | | | 6,333 | |
03/21/18 | | Philippine Pesos | | | 15,000,000 | | | U.S. Dollars | | | 293,371 | | | CITI | | | 6,250 | |
03/21/18 | | Taiwan Dollars | | | 13,365,875 | | | U.S. Dollars | | | 448,551 | | | CITI | | | 6,123 | |
03/21/18 | | Singapore Dollars | | | 1,400,000 | | | U.S. Dollars | | | 1,042,213 | | | CITI | | | 5,858 | |
03/21/18 | | Hungarian Forint | | | 193,707,000 | | | U.S. Dollars | | | 745,173 | | | CITI | | | 5,802 | |
03/21/18 | | Taiwan Dollars | | | 13,365,875 | | | U.S. Dollars | | | 448,898 | | | CITI | | | 5,777 | |
03/21/18 | | Philippine Pesos | | | 10,000,000 | | | U.S. Dollars | | | 194,062 | | | CITI | | | 5,685 | |
03/21/18 | | U.S. Dollars | | | 420,892 | | | Brazilian Reals | | | 1,390,000 | | | CITI | | | 5,519 | |
03/21/18 | | Taiwan Dollars | | | 13,365,875 | | | U.S. Dollars | | | 449,184 | | | CITI | | | 5,490 | |
03/21/18 | | Singapore Dollars | | | 510,000 | | | U.S. Dollars | | | 376,455 | | | CITI | | | 5,342 | |
03/21/18 | | Czech Republic Koruna | | | 22,712,500 | | | U.S. Dollars | | | 1,065,568 | | | CITI | | | 5,320 | |
03/21/18 | | Taiwan Dollars | | | 13,365,875 | | | U.S. Dollars | | | 449,426 | | | CITI | | | 5,248 | |
03/21/18 | | Russian Rubles | | | 9,016,000 | | | U.S. Dollars | | | 149,669 | | | CITI | | | 4,986 | |
03/21/18 | | Chilean Pesos | | | 98,818,000 | | | U.S. Dollars | | | 155,600 | | | CITI | | | 4,884 | |
03/21/18 | | Philippine Pesos | | | 12,106,000 | | | U.S. Dollars | | | 237,187 | | | CITI | | | 4,626 | |
03/21/18 | | Philippine Pesos | | | 14,000,000 | | | U.S. Dollars | | | 275,104 | | | CITI | | | 4,542 | |
03/21/18 | | Singapore Dollars | | | 440,000 | | | U.S. Dollars | | | 325,106 | | | CITI | | | 4,288 | |
03/21/18 | | Philippine Pesos | | | 11,000,000 | | | U.S. Dollars | | | 215,476 | | | CITI | | | 4,246 | |
03/21/18 | | Czech Republic Koruna | | | 22,712,500 | | | U.S. Dollars | | | 1,066,819 | | | CITI | | | 4,069 | |
03/21/18 | | Czech Republic Koruna | | | 22,712,500 | | | U.S. Dollars | | | 1,066,870 | | | CITI | | | 4,019 | |
03/21/18 | | Turkish Lira | | | 400,000 | | | U.S. Dollars | | | 99,057 | | | CITI | | | 4,003 | |
03/21/18 | | Turkish Lira | | | 400,000 | | | U.S. Dollars | | | 99,655 | | | CITI | | | 3,405 | |
03/21/18 | | Taiwan Dollars | | | 13,365,875 | | | U.S. Dollars | | | 451,369 | | | CITI | | | 3,306 | |
03/22/18 | | U.S. Dollars | | | 594,240 | | | South African Rand | | | 7,400,000 | | | CITI | | | 3,297 | |
03/21/18 | | U.S. Dollars | | | 123,596 | | | Mexican Pesos | | | 2,400,000 | | | CITI | | | 3,281 | |
03/21/18 | | South Korean Won | | | 230,000,000 | | | U.S. Dollars | | | 212,510 | | | CITI | | | 3,192 | |
03/21/18 | | Chinese Offshore Yuan | | | 1,590,000 | | | U.S. Dollars | | | 239,828 | | | CITI | | | 3,191 | |
03/21/18 | | Philippine Pesos | | | 8,000,000 | | | U.S. Dollars | | | 156,618 | | | CITI | | | 3,180 | |
03/21/18 | | Philippine Pesos | | | 12,000,000 | | | U.S. Dollars | | | 236,524 | | | CITI | | | 3,173 | |
03/21/18 | | Indian Rupees | | | 35,000,000 | | | U.S. Dollars | | | 541,109 | | | CITI | | | 3,060 | |
03/21/18 | | Philippine Pesos | | | 10,000,000 | | | U.S. Dollars | | | 196,735 | | | CITI | | | 3,012 | |
03/21/18 | | Philippine Pesos | | | 12,000,000 | | | U.S. Dollars | | | 236,734 | | | CITI | | | 2,963 | |
03/21/18 | | Hungarian Forint | | | 193,707,000 | | | U.S. Dollars | | | 748,152 | | | CITI | | | 2,824 | |
| | | | |
| 268 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | | | |
Expiration Date | | Currency Purchased | | Amount
of Currency
Purchased | | | Currency Sold | | Amount
of Currency
Sold | | | Counterparty | | Net Unrealized
Appreciation
(Depreciation) | |
03/21/18 | | Turkish Lira | | | 200,000 | | | U.S. Dollars | | | 48,781 | | | CITI | | $ | 2,748 | |
03/21/18 | | Philippine Pesos | | | 5,000,000 | | | U.S. Dollars | | | 97,182 | | | CITI | | | 2,692 | |
03/21/18 | | Philippine Pesos | | | 7,000,000 | | | U.S. Dollars | | | 137,215 | | | CITI | | | 2,608 | |
03/21/18 | | Turkish Lira | | | 600,000 | | | U.S. Dollars | | | 152,119 | | | CITI | | | 2,470 | |
03/21/18 | | Turkish Lira | | | 400,000 | | | U.S. Dollars | | | 100,705 | | | CITI | | | 2,354 | |
03/21/18 | | Chinese Offshore Yuan | | | 804,000 | | | U.S. Dollars | | | 120,599 | | | CITI | | | 2,286 | |
03/21/18 | | Indian Rupees | | | 34,000,000 | | | U.S. Dollars | | | 526,562 | | | CITI | | | 2,060 | |
03/21/18 | | Indian Rupees | | | 40,000,000 | | | U.S. Dollars | | | 619,937 | | | CITI | | | 1,971 | |
03/21/18 | | South Korean Won | | | 90,000,000 | | | U.S. Dollars | | | 82,456 | | | CITI | | | 1,950 | |
03/21/18 | | Brazilian Reals | | | 3,890,000 | | | U.S. Dollars | | | 1,160,506 | | | CITI | | | 1,940 | |
03/21/18 | | Singapore Dollars | | | 210,000 | | | U.S. Dollars | | | 155,315 | | | CITI | | | 1,896 | |
03/21/18 | | Singapore Dollars | | | 410,000 | | | U.S. Dollars | | | 305,076 | | | CITI | | | 1,859 | |
03/21/18 | | South Korean Won | | | 90,000,000 | | | U.S. Dollars | | | 82,629 | | | CITI | | | 1,777 | |
03/21/18 | | Turkish Lira | | | 500,000 | | | U.S. Dollars | | | 127,330 | | | CITI | | | 1,494 | |
03/21/18 | | Hong Kong Dollars | | | 14,092,500 | | | U.S. Dollars | | | 1,805,233 | | | CITI | | | 1,391 | |
03/21/18 | | U.S. Dollars | | | 330,081 | | | Brazilian Reals | | | 1,100,000 | | | CITI | | | 1,369 | |
03/21/18 | | Turkish Lira | | | 205,000 | | | U.S. Dollars | | | 51,609 | | | CITI | | | 1,208 | |
03/21/18 | | Hong Kong Dollars | | | 14,092,500 | | | U.S. Dollars | | | 1,805,603 | | | CITI | | | 1,021 | |
03/21/18 | | Indian Rupees | | | 13,000,000 | | | U.S. Dollars | | | 201,389 | | | CITI | | | 731 | |
03/22/18 | | South African Rand | | | 92,000 | | | U.S. Dollars | | | 6,625 | | | CITI | | | 722 | |
03/21/18 | | Turkish Lira | | | 200,000 | | | U.S. Dollars | | | 50,862 | | | CITI | | | 668 | |
03/21/18 | | Hong Kong Dollars | | | 14,092,500 | | | U.S. Dollars | | | 1,806,066 | | | CITI | | | 558 | |
03/21/18 | | U.S. Dollars | | | 711,450 | | | Hong Kong Dollars | | | 5,546,000 | | | CITI | | | 466 | |
03/21/18 | | Turkish Lira | | | 200,000 | | | U.S. Dollars | | | 51,071 | | | CITI | | | 459 | |
03/21/18 | | Indonesian Rupiahs | | | 931,881,000 | | | U.S. Dollars | | | 68,166 | | | CITI | | | 333 | |
03/21/18 | | Turkish Lira | | | 200,000 | | | U.S. Dollars | | | 51,210 | | | CITI | | | 320 | |
03/21/18 | | Singapore Dollars | | | 80,000 | | | U.S. Dollars | | | 59,571 | | | CITI | | | 318 | |
03/21/18 | | Indonesian Rupiahs | | | 943,593,000 | | | U.S. Dollars | | | 69,072 | | | CITI | | | 288 | |
03/21/18 | | Singapore Dollars | | | 180,000 | | | U.S. Dollars | | | 134,502 | | | CITI | | | 250 | |
03/21/18 | | Hong Kong Dollars | | | 1,000,000 | | | U.S. Dollars | | | 127,955 | | | CITI | | | 242 | |
03/21/18 | | Thai Baht | | | 900,000 | | | U.S. Dollars | | | 27,477 | | | CITI | | | 190 | |
03/21/18 | | U.S. Dollars | | | 359,113 | | | Hong Kong Dollars | | | 2,800,000 | | | CITI | | | 160 | |
03/21/18 | | Chilean Pesos | | | 2,628,000 | | | U.S. Dollars | | | 4,144 | | | CITI | | | 124 | |
03/21/18 | | Peruvian Nuevo Soles | | | 389,874 | | | U.S. Dollars | | | 119,759 | | | CITI | | | 122 | |
03/21/18 | | Turkish Lira | | | 17,000 | | | U.S. Dollars | | | 4,259 | | | CITI | | | 121 | |
03/21/18 | | U.S. Dollars | | | 166,777 | | | Hong Kong Dollars | | | 1,300,000 | | | CITI | | | 120 | |
03/21/18 | | Thai Baht | | | 600,000 | | | U.S. Dollars | | | 18,330 | | | CITI | | | 115 | |
03/21/18 | | Hong Kong Dollars | | | 700,000 | | | U.S. Dollars | | | 89,639 | | | CITI | | | 99 | |
03/21/18 | | Hong Kong Dollars | | | 2,400,000 | | | U.S. Dollars | | | 307,581 | | | CITI | | | 93 | |
03/21/18 | | U.S. Dollars | | | 27,754 | | | Thai Baht | | | 900,000 | | | CITI | | | 87 | |
03/21/18 | | U.S. Dollars | | | 2,540 | | | Mexican Pesos | | | 49,000 | | | CITI | | | 83 | |
03/21/18 | | U.S. Dollars | | | 40,039 | | | Thai Baht | | | 1,300,000 | | | CITI | | | 76 | |
03/21/18 | | Hong Kong Dollars | | | 800,000 | | | U.S. Dollars | | | 102,487 | | | CITI | | | 71 | |
03/21/18 | | Thai Baht | | | 1,500,000 | | | U.S. Dollars | | | 46,054 | | | CITI | | | 58 | |
03/21/18 | | Thai Baht | | | 900,000 | | | U.S. Dollars | | | 27,612 | | | CITI | | | 54 | |
03/21/18 | | Hong Kong Dollars | | | 600,000 | | | U.S. Dollars | | | 76,873 | | | CITI | | | 46 | |
03/21/18 | | Russian Rubles | | | 90,000 | | | U.S. Dollars | | | 1,506 | | | CITI | | | 38 | |
03/21/18 | | U.S. Dollars | | | 1,826 | | | Brazilian Reals | | | 6,000 | | | CITI | | | 33 | |
03/21/18 | | U.S. Dollars | | | 38,490 | | | Hong Kong Dollars | | | 300,000 | | | CITI | | | 30 | |
03/21/18 | | Peruvian Nuevo Soles | | | 10,000 | | | U.S. Dollars | | | 3,045 | | | CITI | | | 30 | |
03/21/18 | | U.S. Dollars | | | 38,488 | | | Hong Kong Dollars | | | 300,000 | | | CITI | | | 28 | |
03/21/18 | | Peruvian Nuevo Soles | | | 10,000 | | | U.S. Dollars | | | 3,048 | | | CITI | | | 27 | |
03/21/18 | | Hong Kong Dollars | | | 900,000 | | | U.S. Dollars | | | 115,352 | | | CITI | | | 25 | |
03/21/18 | | U.S. Dollars | | | 51,302 | | | Hong Kong Dollars | | | 400,000 | | | CITI | | | 23 | |
| | | | |
| | See Notes to Financial Statements. | | 269 |
EMERGING MARKETS EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | | | | | | | |
Expiration Date | | Currency Purchased | | Amount
of Currency
Purchased | | | Currency Sold | | Amount
of Currency
Sold | | | Counterparty | | Net Unrealized
Appreciation
(Depreciation) | |
03/21/18 | | Peruvian Nuevo Soles | | | 10,000 | | | U.S. Dollars | | | 3,057 | | | CITI | | $ | 18 | |
03/21/18 | | Chilean Pesos | | | 161,000 | | | U.S. Dollars | | | 246 | | | CITI | | | 15 | |
03/21/18 | | Polish Zloty | | | 2,000 | | | U.S. Dollars | | | 560 | | | CITI | | | 14 | |
03/21/18 | | Thai Baht | | | 400,000 | | | U.S. Dollars | | | 12,283 | | | CITI | | | 13 | |
03/21/18 | | Indian Rupees | | | 51,000 | | | U.S. Dollars | | | 781 | | | CITI | | | 12 | |
03/21/18 | | U.S. Dollars | | | 3,082 | | | Thai Baht | | | 100,000 | | | CITI | | | 8 | |
03/21/18 | | U.S. Dollars | | | 6,157 | | | Peruvian Nuevo Soles | | | 20,000 | | | CITI | | | 7 | |
03/21/18 | | Thai Baht | | | 100,000 | | | U.S. Dollars | | | 3,067 | | | CITI | | | 7 | |
03/21/18 | | Turkish Lira | | | 200,000 | | | U.S. Dollars | | | 51,523 | | | CITI | | | 6 | |
03/21/18 | | U.S. Dollars | | | 64,104 | | | Hong Kong Dollars | | | 500,000 | | | CITI | | | 5 | |
03/21/18 | | U.S. Dollars | | | 25,642 | | | Hong Kong Dollars | | | 200,000 | | | CITI | | | 3 | |
03/21/18 | | U.S. Dollars | | | 3,078 | | | Peruvian Nuevo Soles | | | 10,000 | | | CITI | | | 3 | |
03/21/18 | | Russian Rubles | | | 2,000 | | | U.S. Dollars | | | 33 | | | CITI | | | 1 | |
03/21/18 | | U.S. Dollars | | | 3,076 | | | Peruvian Nuevo Soles | | | 10,000 | | | CITI | | | 1 | |
| | | | | | | | | | | | | | | | | | |
Subtotal Appreciation | | | | | | | | | | | | | | | | $ | 2,325,296 | |
| | | | | | | | | | | | | | | | | | |
03/21/18 | | Peruvian Nuevo Soles | | | 10,000 | | | U.S. Dollars | | | 3,076 | | | CITI | | $ | (1 | ) |
03/21/18 | | U.S. Dollars | | | 3,072 | | | Thai Baht | | | 100,000 | | | CITI | | | (2 | ) |
03/21/18 | | Hong Kong Dollars | | | 25,000 | | | U.S. Dollars | | | 3,208 | | | CITI | | | (3 | ) |
03/21/18 | | U.S. Dollars | | | 3,072 | | | Peruvian Nuevo Soles | | | 10,000 | | | CITI | | | (3 | ) |
03/21/18 | | Thai Baht | | | 3,189,000 | | | U.S. Dollars | | | 98,036 | | | CITI | | | (3 | ) |
03/21/18 | | U.S. Dollars | | | 283 | | | Polish Zloty | | | 1,000 | | | CITI | | | (4 | ) |
03/21/18 | | U.S. Dollars | | | 229 | | | Indian Rupees | | | 15,000 | | | CITI | | | (5 | ) |
03/21/18 | | Hong Kong Dollars | | | 100,000 | | | U.S. Dollars | | | 12,825 | | | CITI | | | (5 | ) |
03/21/18 | | U.S. Dollars | | | 3,069 | | | Peruvian Nuevo Soles | | | 10,000 | | | CITI | | | (6 | ) |
03/21/18 | | Thai Baht | | | 200,000 | | | U.S. Dollars | | | 6,155 | | | CITI | | | (6 | ) |
03/21/18 | | U.S. Dollars | | | 265 | | | South Korean Won | | | 290,000 | | | CITI | | | (7 | ) |
03/21/18 | | Peruvian Nuevo Soles | | | 10,000 | | | U.S. Dollars | | | 3,084 | | | CITI | | | (9 | ) |
03/21/18 | | Peruvian Nuevo Soles | | | 10,000 | | | U.S. Dollars | | | 3,084 | | | CITI | | | (9 | ) |
03/21/18 | | Thai Baht | | | 500,000 | | | U.S. Dollars | | | 15,381 | | | CITI | | | (10 | ) |
03/21/18 | | Hong Kong Dollars | | | 100,000 | | | U.S. Dollars | | | 12,830 | | | CITI | | | (11 | ) |
03/21/18 | | Hong Kong Dollars | | | 100,000 | | | U.S. Dollars | | | 12,831 | | | CITI | | | (11 | ) |
03/21/18 | | U.S. Dollars | | | 3,063 | | | Peruvian Nuevo Soles | | | 10,000 | | | CITI | | | (11 | ) |
03/21/18 | | U.S. Dollars | | | 3,062 | | | Thai Baht | | | 100,000 | | | CITI | | | (12 | ) |
03/21/18 | | U.S. Dollars | | | 3,062 | | | Peruvian Nuevo Soles | | | 10,000 | | | CITI | | | (13 | ) |
03/21/18 | | U.S. Dollars | | | 38,445 | | | Hong Kong Dollars | | | 300,000 | | | CITI | | | (15 | ) |
03/21/18 | | Brazilian Reals | | | 22,000 | | | U.S. Dollars | | | 6,592 | | | CITI | | | (18 | ) |
03/21/18 | | Hong Kong Dollars | | | 202,000 | | | U.S. Dollars | | | 25,915 | | | CITI | | | (19 | ) |
03/21/18 | | U.S. Dollars | | | 36,865 | | | Thai Baht | | | 1,200,000 | | | CITI | | | (24 | ) |
03/21/18 | | U.S. Dollars | | | 18,415 | | | Thai Baht | | | 600,000 | | | CITI | | | (30 | ) |
03/21/18 | | U.S. Dollars | | | 30,709 | | | Thai Baht | | | 1,000,000 | | | CITI | | | (32 | ) |
03/21/18 | | Mexican Pesos | | | 16,000 | | | U.S. Dollars | | | 837 | | | CITI | | | (35 | ) |
03/21/18 | | U.S. Dollars | | | 27,631 | | | Thai Baht | | | 900,000 | | | CITI | | | (36 | ) |
03/21/18 | | Hong Kong Dollars | | | 400,000 | | | U.S. Dollars | | | 51,317 | | | CITI | | | (38 | ) |
03/21/18 | | U.S. Dollars | | | 7,311 | | | Indonesian Rupiahs | | | 100,000,000 | | | CITI | | | (40 | ) |
03/21/18 | | U.S. Dollars | | | 12,245 | | | Thai Baht | | | 400,000 | | | CITI | | | (51 | ) |
03/21/18 | | U.S. Dollars | | | 76,862 | | | Hong Kong Dollars | | | 600,000 | | | CITI | | | (56 | ) |
03/21/18 | | Thai Baht | | | 500,000 | | | U.S. Dollars | | | 15,435 | | | CITI | | | (65 | ) |
03/21/18 | | Hong Kong Dollars | | | 400,000 | | | U.S. Dollars | | | 51,350 | | | CITI | | | (71 | ) |
03/21/18 | | U.S. Dollars | | | 122,864 | | | Hong Kong Dollars | | | 959,000 | | | CITI | | | (77 | ) |
03/21/18 | | U.S. Dollars | | | 70,643 | | | Czech Republic Koruna | | | 1,500,000 | | | CITI | | | (81 | ) |
03/21/18 | | Hong Kong Dollars | | | 900,000 | | | U.S. Dollars | | | 115,462 | | | CITI | | | (84 | ) |
03/21/18 | | U.S. Dollars | | | 21,432 | | | Thai Baht | | | 700,000 | | | CITI | | | (87 | ) |
03/21/18 | | U.S. Dollars | | | 184,387 | | | Hong Kong Dollars | | | 1,439,000 | | | CITI | | | (89 | ) |
| | | | |
| 270 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | | | |
Expiration Date | | Currency Purchased | | Amount
of Currency
Purchased | | | Currency Sold | | Amount
of Currency
Sold | | | Counterparty | | Net Unrealized
Appreciation
(Depreciation) | |
03/21/18 | | Hong Kong Dollars | | | 600,000 | | | U.S. Dollars | | | 77,020 | | | CITI | | $ | (102 | ) |
03/21/18 | | U.S. Dollars | | | 192,685 | | | Hong Kong Dollars | | | 1,504,000 | | | CITI | | | (124 | ) |
03/21/18 | | U.S. Dollars | | | 269,064 | | | Hong Kong Dollars | | | 2,100,000 | | | CITI | | | (150 | ) |
03/21/18 | | U.S. Dollars | | | 34,414 | | | Israeli Shekels | | | 120,000 | | | CITI | | | (187 | ) |
03/21/18 | | Hong Kong Dollars | | | 2,064,000 | | | U.S. Dollars | | | 264,815 | | | CITI | | | (216 | ) |
03/21/18 | | Hong Kong Dollars | | | 14,092,500 | | | U.S. Dollars | | | 1,806,859 | | | CITI | | | (235 | ) |
03/21/18 | | U.S. Dollars | | | 18,209 | | | Thai Baht | | | 600,000 | | | CITI | | | (235 | ) |
03/21/18 | | Hong Kong Dollars | | | 2,500,000 | | | U.S. Dollars | | | 320,730 | | | CITI | | | (236 | ) |
03/21/18 | | Hong Kong Dollars | | | 2,772,000 | | | U.S. Dollars | | | 355,615 | | | CITI | | | (251 | ) |
03/21/18 | | U.S. Dollars | | | 85,114 | | | Thai Baht | | | 2,779,000 | | | CITI | | | (315 | ) |
03/21/18 | | U.S. Dollars | | | 113,174 | | | Thai Baht | | | 3,694,000 | | | CITI | | | (383 | ) |
03/21/18 | | U.S. Dollars | | | 65,746 | | | Indonesian Rupiahs | | | 900,000,000 | | | CITI | | | (409 | ) |
03/21/18 | | U.S. Dollars | | | 360,351 | | | Israeli Shekels | | | 1,251,250 | | | CITI | | | (437 | ) |
03/21/18 | | U.S. Dollars | | | 23,691 | | | Philippine Pesos | | | 1,212,000 | | | CITI | | | (519 | ) |
03/21/18 | | U.S. Dollars | | | 285,971 | | | Indonesian Rupiahs | | | 3,900,000,000 | | | CITI | | | (702 | ) |
03/21/18 | | U.S. Dollars | | | 153,553 | | | Indonesian Rupiahs | | | 2,100,000,000 | | | CITI | | | (810 | ) |
03/21/18 | | Mexican Pesos | | | 453,000 | | | U.S. Dollars | | | 23,579 | | | CITI | | | (870 | ) |
03/21/18 | | U.S. Dollars | | | 87,217 | | | Taiwan Dollars | | | 2,590,000 | | | CITI | | | (889 | ) |
03/21/18 | | U.S. Dollars | | | 146,091 | | | Indonesian Rupiahs | | | 2,000,000,000 | | | CITI | | | (921 | ) |
03/21/18 | | U.S. Dollars | | | 60,284 | | | Czech Republic Koruna | | | 1,300,000 | | | CITI | | | (1,010 | ) |
03/21/18 | | U.S. Dollars | | | 359,703 | | | Israeli Shekels | | | 1,251,250 | | | CITI | | | (1,084 | ) |
03/21/18 | | Hong Kong Dollars | | | 14,092,500 | | | U.S. Dollars | | | 1,807,780 | | | CITI | | | (1,156 | ) |
03/21/18 | | U.S. Dollars | | | 105,403 | | | Israeli Shekels | | | 370,000 | | | CITI | | | (1,283 | ) |
03/21/18 | | U.S. Dollars | | | 51,287 | | | Polish Zloty | | | 183,000 | | | CITI | | | (1,301 | ) |
03/21/18 | | U.S. Dollars | | | 88,038 | | | Israeli Shekels | | | 310,000 | | | CITI | | | (1,348 | ) |
03/21/18 | | U.S. Dollars | | | 128,270 | | | Israeli Shekels | | | 450,000 | | | CITI | | | (1,484 | ) |
03/21/18 | | Hong Kong Dollars | | | 14,092,500 | | | U.S. Dollars | | | 1,808,152 | | | CITI | | | (1,527 | ) |
03/21/18 | | U.S. Dollars | | | 49,930 | | | Russian Rubles | | | 3,000,000 | | | CITI | | | (1,530 | ) |
03/21/18 | | U.S. Dollars | | | 32,768 | | | Russian Rubles | | | 2,000,000 | | | CITI | | | (1,539 | ) |
03/21/18 | | Hong Kong Dollars | | | 14,092,500 | | | U.S. Dollars | | | 1,808,198 | | | CITI | | | (1,574 | ) |
03/21/18 | | U.S. Dollars | | | 81,253 | | | Philippine Pesos | | | 4,147,000 | | | CITI | | | (1,582 | ) |
03/21/18 | | U.S. Dollars | | | 359,037 | | | Israeli Shekels | | | 1,251,250 | | | CITI | | | (1,750 | ) |
03/21/18 | | U.S. Dollars | | | 358,862 | | | Israeli Shekels | | | 1,251,250 | | | CITI | | | (1,925 | ) |
03/21/18 | | Hong Kong Dollars | | | 14,092,500 | | | U.S. Dollars | | | 1,808,569 | | | CITI | | | (1,945 | ) |
03/21/18 | | U.S. Dollars | | | 32,966 | | | Chilean Pesos | | | 21,569,000 | | | CITI | | | (2,063 | ) |
03/21/18 | | U.S. Dollars | | | 358,544 | | | Israeli Shekels | | | 1,251,250 | | | CITI | | | (2,244 | ) |
03/22/18 | | U.S. Dollars | | | 18,123 | | | South African Rand | | | 256,000 | | | CITI | | | (2,321 | ) |
03/21/18 | | U.S. Dollars | | | 118,981 | | | Indian Rupees | | | 7,806,000 | | | CITI | | | (2,384 | ) |
03/22/18 | | U.S. Dollars | | | 25,216 | | | South African Rand | | | 347,000 | | | CITI | | | (2,494 | ) |
03/21/18 | | U.S. Dollars | | | 89,227 | | | Russian Rubles | | | 5,353,000 | | | CITI | | | (2,595 | ) |
03/21/18 | | U.S. Dollars | | | 172,893 | | | Indian Rupees | | | 11,292,000 | | | CITI | | | (2,672 | ) |
03/21/18 | | U.S. Dollars | | | 658,856 | | | Indonesian Rupiahs | | | 9,000,000,000 | | | CITI | | | (2,698 | ) |
03/21/18 | | Brazilian Reals | | | 582,000 | | | U.S. Dollars | | | 176,712 | | | CITI | | | (2,794 | ) |
03/21/18 | | U.S. Dollars | | | 65,766 | | | Russian Rubles | | | 4,000,000 | | | CITI | | | (2,847 | ) |
03/21/18 | | U.S. Dollars | | | 680,494 | | | Indonesian Rupiahs | | | 9,300,000,000 | | | CITI | | | (3,112 | ) |
03/21/18 | | Brazilian Reals | | | 446,000 | | | U.S. Dollars | | | 136,400 | | | CITI | | | (3,122 | ) |
03/21/18 | | U.S. Dollars | | | 125,399 | | | Turkish Lira | | | 500,000 | | | CITI | | | (3,425 | ) |
03/21/18 | | U.S. Dollars | | | 107,731 | | | Polish Zloty | | | 387,000 | | | CITI | | | (3,480 | ) |
03/21/18 | | U.S. Dollars | | | 357,300 | | | Israeli Shekels | | | 1,251,250 | | | CITI | | | (3,488 | ) |
03/21/18 | | U.S. Dollars | | | 208,112 | | | Chinese Offshore Yuan | | | 1,385,000 | | | CITI | | | (3,575 | ) |
03/21/18 | | U.S. Dollars | | | 321,756 | | | Czech Republic Koruna | | | 6,900,000 | | | CITI | | | (3,577 | ) |
03/21/18 | | U.S. Dollars | | | 948,975 | | | Indonesian Rupiahs | | | 12,959,246,303 | | | CITI | | | (3,608 | ) |
03/21/18 | | U.S. Dollars | | | 357,157 | | | Israeli Shekels | | | 1,251,250 | | | CITI | | | (3,630 | ) |
03/21/18 | | U.S. Dollars | | | 635,712 | | | Indonesian Rupiahs | | | 8,700,000,000 | | | CITI | | | (3,791 | ) |
| | | | |
| | See Notes to Financial Statements. | | 271 |
EMERGING MARKETS EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | | | | | | | |
Expiration Date | | Currency Purchased | | Amount
of Currency
Purchased | | | Currency Sold | | Amount
of Currency
Sold | | | Counterparty | | Net Unrealized
Appreciation
(Depreciation) | |
03/21/18 | | Czech Republic Koruna | | | 22,712,500 | | | U.S. Dollars | | | 1,074,821 | | | CITI | | $ | (3,933 | ) |
03/21/18 | | U.S. Dollars | | | 434,475 | | | Chilean Pesos | | | 270,000,000 | | | CITI | | | (4,015 | ) |
03/21/18 | | U.S. Dollars | | | 396,452 | | | Czech Republic Koruna | | | 8,500,000 | | | CITI | | | (4,320 | ) |
03/21/18 | | U.S. Dollars | | | 150,204 | | | Turkish Lira | | | 600,000 | | | CITI | | | (4,385 | ) |
03/21/18 | | U.S. Dollars | | | 356,389 | | | Israeli Shekels | | | 1,251,250 | | | CITI | | | (4,398 | ) |
03/21/18 | | U.S. Dollars | | | 150,014 | | | Turkish Lira | | | 600,000 | | | CITI | | | (4,575 | ) |
03/21/18 | | U.S. Dollars | | | 300,812 | | | Taiwan Dollars | | | 8,978,000 | | | CITI | | | (4,598 | ) |
03/21/18 | | U.S. Dollars | | | 73,972 | | | Turkish Lira | | | 305,000 | | | CITI | | | (4,611 | ) |
03/21/18 | | U.S. Dollars | | | 611,520 | | | Chilean Pesos | | | 380,000,000 | | | CITI | | | (5,613 | ) |
03/21/18 | | Brazilian Reals | | | 2,440,000 | | | U.S. Dollars | | | 735,220 | | | CITI | | | (6,076 | ) |
03/21/18 | | U.S. Dollars | | | 946,203 | | | Indonesian Rupiahs | | | 12,959,246,303 | | | CITI | | | (6,379 | ) |
03/21/18 | | U.S. Dollars | | | 417,869 | | | Czech Republic Koruna | | | 9,000,000 | | | CITI | | | (6,478 | ) |
03/21/18 | | U.S. Dollars | | | 560,739 | | | Chilean Pesos | | | 350,000,000 | | | CITI | | | (7,673 | ) |
03/21/18 | | U.S. Dollars | | | 251,677 | | | Chilean Pesos | | | 160,000,000 | | | CITI | | | (8,168 | ) |
03/21/18 | | U.S. Dollars | | | 1,896,352 | | | Indonesian Rupiahs | | | 25,918,492,606 | | | CITI | | | (8,812 | ) |
03/21/18 | | Mexican Pesos | | | 4,474,000 | | | U.S. Dollars | | | 233,374 | | | CITI | | | (9,086 | ) |
03/21/18 | | U.S. Dollars | | | 430,902 | | | South Korean Won | | | 469,672,000 | | | CITI | | | (9,574 | ) |
03/21/18 | | U.S. Dollars | | | 752,137 | | | Indian Rupees | | | 49,000,000 | | | CITI | | | (9,701 | ) |
03/21/18 | | U.S. Dollars | | | 330,500 | | | Chilean Pesos | | | 210,000,000 | | | CITI | | | (10,547 | ) |
03/21/18 | | U.S. Dollars | | | 417,077 | | | Russian Rubles | | | 25,000,000 | | | CITI | | | (11,757 | ) |
03/21/18 | | U.S. Dollars | | | 780,085 | | | Czech Republic Koruna | | | 16,800,000 | | | CITI | | | (12,030 | ) |
03/21/18 | | U.S. Dollars | | | 311,288 | | | Chilean Pesos | | | 200,000,000 | | | CITI | | | (13,519 | ) |
03/21/18 | | U.S. Dollars | | | 862,158 | | | Turkish Lira | | | 3,400,000 | | | CITI | | | (13,847 | ) |
03/21/18 | | U.S. Dollars | | | 326,111 | | | Chilean Pesos | | | 210,000,000 | | | CITI | | | (14,936 | ) |
03/21/18 | | U.S. Dollars | | | 1,304,295 | | | Singapore Dollars | | | 1,762,500 | | | CITI | | | (15,152 | ) |
03/21/18 | | U.S. Dollars | | | 2,622,393 | | | Singapore Dollars | | | 3,525,000 | | | CITI | | | (16,501 | ) |
03/21/18 | | U.S. Dollars | | | 356,627 | | | Chilean Pesos | | | 230,000,000 | | | CITI | | | (16,901 | ) |
03/21/18 | | U.S. Dollars | | | 1,300,872 | | | Singapore Dollars | | | 1,762,500 | | | CITI | | | (18,575 | ) |
03/21/18 | | U.S. Dollars | | | 533,140 | | | Chilean Pesos | | | 340,000,000 | | | CITI | | | (19,032 | ) |
03/21/18 | | U.S. Dollars | | | 1,217,477 | | | Turkish Lira | | | 4,800,000 | | | CITI | | | (19,235 | ) |
03/21/18 | | U.S. Dollars | | | 418,646 | | | Turkish Lira | | | 1,700,000 | | | CITI | | | (19,357 | ) |
03/21/18 | | U.S. Dollars | | | 369,799 | | | Chilean Pesos | | | 240,000,000 | | | CITI | | | (19,970 | ) |
03/21/18 | | Mexican Pesos | | | 11,467,077 | | | U.S. Dollars | | | 595,291 | | | CITI | | | (20,430 | ) |
03/21/18 | | Mexican Pesos | | | 11,467,076 | | | U.S. Dollars | | | 595,410 | | | CITI | | | (20,549 | ) |
03/21/18 | | U.S. Dollars | | | 352,958 | | | Chilean Pesos | | | 230,000,000 | | | CITI | | | (20,570 | ) |
03/21/18 | | Mexican Pesos | | | 11,467,077 | | | U.S. Dollars | | | 595,672 | | | CITI | | | (20,811 | ) |
03/21/18 | | U.S. Dollars | | | 1,508,163 | | | South Korean Won | | | 1,630,858,000 | | | CITI | | | (21,316 | ) |
03/21/18 | | U.S. Dollars | | | 351,923 | | | Chilean Pesos | | | 230,000,000 | | | CITI | | | (21,605 | ) |
03/21/18 | | U.S. Dollars | | | 1,506,352 | | | South Korean Won | | | 1,630,858,000 | | | CITI | | | (23,127 | ) |
03/21/18 | | Mexican Pesos | | | 11,467,077 | | | U.S. Dollars | | | 598,499 | | | CITI | | | (23,637 | ) |
03/21/18 | | Mexican Pesos | | | 11,467,077 | | | U.S. Dollars | | | 598,500 | | | CITI | | | (23,639 | ) |
03/21/18 | | U.S. Dollars | | | 382,057 | | | Chilean Pesos | | | 250,000,000 | | | CITI | | | (23,952 | ) |
03/22/18 | | U.S. Dollars | | | 726,359 | | | South African Rand | | | 9,400,000 | | | CITI | | | (24,299 | ) |
03/21/18 | | U.S. Dollars | | | 2,238,527 | | | Colombian Pesos | | | 6,800,000,000 | | | CITI | | | (24,445 | ) |
03/21/18 | | U.S. Dollars | | | 1,374,113 | | | Chinese Offshore Yuan | | | 9,154,375 | | | CITI | | | (25,062 | ) |
03/21/18 | | U.S. Dollars | | | 477,556 | | | Chilean Pesos | | | 310,000,000 | | | CITI | | | (25,896 | ) |
03/21/18 | | U.S. Dollars | | | 1,373,021 | | | Chinese Offshore Yuan | | | 9,154,375 | | | CITI | | | (26,154 | ) |
03/21/18 | | U.S. Dollars | | | 1,372,568 | | | Chinese Offshore Yuan | | | 9,154,375 | | | CITI | | | (26,607 | ) |
03/21/18 | | U.S. Dollars | | | 427,162 | | | Chilean Pesos | | | 280,000,000 | | | CITI | | | (27,568 | ) |
03/21/18 | | U.S. Dollars | | | 1,371,478 | | | Chinese Offshore Yuan | | | 9,154,375 | | | CITI | | | (27,697 | ) |
03/21/18 | | Mexican Pesos | | | 11,467,077 | | | U.S. Dollars | | | 602,745 | | | CITI | | | (27,884 | ) |
03/21/18 | | U.S. Dollars | | | 426,600 | | | Chilean Pesos | | | 280,000,000 | | | CITI | | | (28,130 | ) |
03/21/18 | | Mexican Pesos | | | 11,467,077 | | | U.S. Dollars | | | 603,246 | | | CITI | | | (28,384 | ) |
03/21/18 | | Mexican Pesos | | | 11,467,077 | | | U.S. Dollars | | | 603,804 | | | CITI | | | (28,942 | ) |
| | | | |
| 272 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | | | |
Expiration Date | | Currency Purchased | | Amount
of Currency
Purchased | | | Currency Sold | | Amount
of Currency
Sold | | | Counterparty | | Net Unrealized
Appreciation
(Depreciation) | |
03/21/18 | | U.S. Dollars | | | 1,370,051 | | | Chinese Offshore Yuan | | | 9,154,375 | | | CITI | | $ | (29,123 | ) |
03/21/18 | | Mexican Pesos | | | 11,467,077 | | | U.S. Dollars | | | 604,982 | | | CITI | | | (30,120 | ) |
03/21/18 | | U.S. Dollars | | | 1,499,220 | | | South Korean Won | | | 1,630,858,000 | | | CITI | | | (30,259 | ) |
03/21/18 | | Mexican Pesos | | | 11,467,077 | | | U.S. Dollars | | | 605,232 | | | CITI | | | (30,370 | ) |
03/21/18 | | Mexican Pesos | | | 11,467,077 | | | U.S. Dollars | | | 606,775 | | | CITI | | | (31,914 | ) |
03/21/18 | | U.S. Dollars | | | 1,366,952 | | | Chinese Offshore Yuan | | | 9,154,375 | | | CITI | | | (32,223 | ) |
03/21/18 | | Mexican Pesos | | | 12,400,000 | | | U.S. Dollars | | | 653,959 | | | CITI | | | (32,329 | ) |
03/21/18 | | U.S. Dollars | | | 1,497,060 | | | South Korean Won | | | 1,630,858,000 | | | CITI | | | (32,419 | ) |
03/21/18 | | Mexican Pesos | | | 11,467,077 | | | U.S. Dollars | | | 607,530 | | | CITI | | | (32,668 | ) |
03/21/18 | | Mexican Pesos | | | 11,467,077 | | | U.S. Dollars | | | 607,618 | | | CITI | | | (32,757 | ) |
03/21/18 | | U.S. Dollars | | | 739,792 | | | Turkish Lira | | | 3,000,000 | | | CITI | | | (33,153 | ) |
03/21/18 | | U.S. Dollars | | | 1,494,639 | | | South Korean Won | | | 1,630,858,000 | | | CITI | | | (34,840 | ) |
03/21/18 | | U.S. Dollars | | | 888,101 | | | Turkish Lira | | | 3,600,000 | | | CITI | | | (39,433 | ) |
03/21/18 | | U.S. Dollars | | | 2,754,262 | | | Chinese Offshore Yuan | | | 18,308,750 | | | CITI | | | (44,088 | ) |
03/21/18 | | U.S. Dollars | | | 1,484,793 | | | South Korean Won | | | 1,630,858,000 | | | CITI | | | (44,686 | ) |
03/21/18 | | Mexican Pesos | | | 19,000,000 | | | U.S. Dollars | | | 999,793 | | | CITI | | | (47,295 | ) |
03/22/18 | | U.S. Dollars | | | 308,685 | | | South African Rand | | | 4,500,000 | | | CITI | | | (50,673 | ) |
03/21/18 | | Mexican Pesos | | | 20,200,000 | | | U.S. Dollars | | | 1,067,725 | | | CITI | | | (55,069 | ) |
03/22/18 | | U.S. Dollars | | | 387,584 | | | South African Rand | | | 5,600,000 | | | CITI | | | (59,616 | ) |
03/21/18 | | U.S. Dollars | | | 2,998,882 | | | South Korean Won | | | 3,261,716,000 | | | CITI | | | (60,076 | ) |
03/21/18 | | Mexican Pesos | | | 21,900,000 | | | U.S. Dollars | | | 1,162,138 | | | CITI | | | (64,259 | ) |
03/21/18 | | U.S. Dollars | | | 3,161,651 | | | Indian Rupees | | | 208,254,000 | | | CITI | | | (76,220 | ) |
| | | | | | | | | | | | | | | | | | |
Subtotal Depreciation | | | | | | | | | | | | | | | | $ | (1,889,076 | ) |
| | | | | | | | | | | | | | | | | | |
Total Forward Foreign Currency Contracts outstanding at December 31, 2017 | | | | | $ | 436,220 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 273 |
EMERGING MARKETS EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Swap agreements outstanding at December 31, 2017:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Reference Obligation | | Maturity
Date | | | Counterparty | | | Currency | | | Notional
Amount | | | Market Value | | | Upfront
Premiums
Paid/
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
Total Return Swaps | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
MSCI Hong Kong Index, Floating financing rate: 1-Month HIBOR + 0.005 (Monthly) | | | 03/21/18 | | | | GSC | | | | HKD | | | | 2,464,102,018 | | | $ | 67,328 | | | $ | — | | | $ | 67,328 | |
MSCI Singapore Index, Floating financing rate: 1-Month SGD SIBOR + 0.002 (Monthly) | | | 03/21/18 | | | | GSC | | | | SGD | | | | 291,016 | | | | 709 | | | | — | | | | 709 | |
MSCI Brazil Index, Floating financing rate: Brazil Cetip DI Interbank Deposit Rate - 0.006 (Monthly) | | | 03/21/18 | | | | GSC | | | | PLN | | | | 7,968,545 | | | | (9,534 | ) | | | — | | | | (9,534 | ) |
MSCI Brazil Index, Floating financing rate: Brazil Cetip DI Interbank Deposit Rate - 0.006 (Monthly) | | | 03/21/18 | | | | GSC | | | | BRL | | | | 6,065,545 | | | | (88,034 | ) | | | — | | | | (88,034 | ) |
MSCI South Africa Index, Floating financing rate: 1-Month SAFE South Africa Johannesburg Interbank Agreed Rate - 0.0045 (Monthly) | | | 03/21/18 | | | | GSC | | | | ZAR | | | | 23,926,330 | | | | (99,225 | ) | | | — | | | | (99,225 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Swap agreements outstanding at December 31, 2017 | | | | | | | | | | | | | | | | | | $ | (128,756 | ) | | $ | — | | | $ | (128,756 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2017, 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 | | $ | 10,012,978 | | | $ | 10,012,978 | | | $ | — | | | $ | — | |
Foreign Common Stocks: | | | | | | | | | | | | | | | | |
Argentina | | | 792,371 | | | | 792,371 | | | | — | | | | — | |
Brazil | | | 15,530,408 | | | | 7,871,639 | | | | 7,658,769 | | | | — | |
Canada | | | 924,465 | | | | 924,465 | | | | — | | | | — | |
Chile | | | 2,892,847 | | | | 2,892,847 | | | | — | | | | — | |
China | | | 70,821,346 | | | | 70,821,346 | | | | — | | | | — | |
Colombia | | | 689,438 | | | | 689,438 | | | | — | | | | — | |
Czech Republic | | | 230,363 | | | | 230,363 | | | | — | | | | — | |
Egypt | | | 1,135,621 | | | | 359,026 | | | | 776,595 | | | | — | |
Hong Kong | | | 33,814,795 | | | | 33,814,795 | | | | — | | | | — | |
Hungary | | | 2,589,368 | | | | 2,589,368 | | | | — | | | | — | |
India | | | 31,199,666 | | | | 27,489,257 | | | | — | | | | 3,710,409 | |
Indonesia | | | 10,275,764 | | | | 10,275,764 | | | | — | | | | — | |
Isle of Man | | | 272,337 | | | | 272,337 | | | | — | | | | — | |
Japan | | | 90,998 | | | | 90,998 | | | | — | | | | — | |
Kenya | | | 1,110,745 | | | | 1,110,745 | | | | — | | | | — | |
Malaysia | | | 7,807,956 | | | | 7,807,956 | | | | — | | | | — | |
Mexico | | | 16,989,900 | | | | 16,989,900 | | | | — | | | | — | |
Morocco & Antilles | | | 1,275,571 | | | | 1,275,571 | | | | — | | | | — | |
Netherlands | | | 380,653 | | | | 380,653 | | | | — | | | | — | |
Nigeria | | | 5,363,279 | | | | 5,363,279 | | | | — | | | | — | |
Peru | | | 3,979,959 | | | | 3,979,959 | | | | — | | | | — | |
Philippines | | | 4,008,785 | | | | 4,008,785 | | | | — | | | | — | |
Poland | | | 8,370,977 | | | | 8,370,977 | | | | — | | | | — | |
| | | | |
| 274 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | |
| | | Total Value | | | Level 1
Quoted Prices | | | Level 2
Other Significant
Observable Inputs | | | Level 3
Significant
Unobservable Inputs | |
Portugal | | $ | 3,105,826 | | | $ | 3,105,826 | | | $ | — | | | $ | — | |
Qatar | | | 128,211 | | | | 128,211 | | | | — | | | | — | |
Russia | | | 20,454,834 | | | | 20,454,834 | | | | — | | | | — | |
South Africa | | | 36,184,000 | | | | 36,184,000 | | | | — | | | | — | |
South Korea | | | 66,615,898 | | | | 4,984,202 | | | | 61,631,696 | | | | — | |
Switzerland | | | 2,016,279 | | | | 2,016,279 | | | | — | | | | — | |
Taiwan | | | 37,249,729 | | | | 37,249,729 | | | | — | | | | — | |
Thailand | | | 16,743,783 | | | | 6,309,519 | | | | 10,434,264 | | | | — | |
Turkey | | | 18,144,496 | | | | 18,144,496 | | | | — | | | | — | |
United Arab Emirates | | | 370,238 | | | | 370,238 | | | | — | | | | — | |
United Kingdom | | | 11,748,679 | | | | 11,748,679 | | | | — | | | | — | |
Foreign Preferred Stocks: | | | | | | | | | | | | | | | | |
Brazil | | | 10,845,453 | | | | 3,561,492 | | | | 7,283,961 | | | | — | |
Chile | | | 1,254,446 | | | | 399,738 | | | | 854,708 | | | | — | |
Colombia | | | 371,614 | | | | 371,614 | | | | — | | | | — | |
South Korea | | | 5,790,516 | | | | 345,551 | | | | 5,444,965 | | | | — | |
Money Market Funds | | | 38,400,738 | | | | 38,400,738 | | | | — | | | | — | |
U.S. Treasury Obligation | | | 1,192,395 | | | | — | | | | 1,192,395 | | | | — | |
| | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | $ | 501,177,725 | | | $ | 402,189,963 | | | $ | 95,277,353 | | | $ | 3,710,409 | |
| | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 1,776,202 | | | $ | 1,776,202 | | | $ | — | | | $ | — | |
Forward Foreign Currency Contracts | | | 2,325,296 | | | | — | | | | 2,325,296 | | | | — | |
Swap Agreements | | | 68,037 | | | | — | | | | 68,037 | | | | — | |
| | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | $ | 4,169,535 | | | $ | 1,776,202 | | | $ | 2,393,333 | | | $ | — | |
| | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | (220,654 | ) | | $ | (220,654 | ) | | $ | — | | | $ | — | |
Forward Foreign Currency Contracts | | | (1,889,076 | ) | | | — | | | | (1,889,076 | ) | | | — | |
Swap Agreements | | | (196,793 | ) | | | — | | | | (196,793 | ) | | | — | |
| | | | | | | | | | | | | | | | |
Total Liabilities - Other Financial Instruments | | $ | (2,306,523 | ) | | $ | (220,654 | ) | | $ | (2,085,869 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
***Other financial instruments are derivative instruments, such as futures contracts, 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 preceding “Futures Contracts outstanding”, “Forward Foreign Currency Contracts outstanding” and “Swap agreement outstanding” disclosures.
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, 2017.
There were no transfers between Level 2 and Level 3 during the year ended December 31, 2017.
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, 2017.
| | | | |
| | See Notes to Financial Statements. | | 275 |
| | |
STATEMENTS OF ASSETS AND LIABILITIES | | December 31, 2017 |
| | | | | | | | |
| | | Defensive Market | | | Equity Index | |
| | | Strategies Fund | | | Fund | |
Assets | | | | | | | | |
Investments in securities of unaffiliated issuers, at value | | $ | 956,113,127 | | | $ | 944,918,448 | |
Investments in securities of affiliated issuers, at value | | | 33,299,156 | | | | 32,456,840 | |
| | | | | | | | |
Total investments, at value(1), (2) | | | 989,412,283 | | | | 977,375,288 | |
Cash collateral for derivatives | | | — | | | | — | |
Deposits with broker | | | — | | | | 324,000 | |
Foreign currency(3) | | | — | | | | — | |
Receivables: | | | | | | | | |
Dividends and reclaims | | | 903,033 | | | | 820,491 | |
Interest | | | 1,579,068 | | | | — | |
Securities lending | | | 25,892 | | | | 5,980 | |
From advisor | | | 6,389 | | | | 5,343 | |
Investment securities sold | | | 2,249,915 | | | | 1,268,894 | |
Fund shares sold | | | 1,151,471 | | | | 270,269 | |
Variation margin on financial futures contracts | | | — | | | | — | |
Unrealized appreciation on foreign currency exchange contracts | | | 2,202 | | | | — | |
Unrealized appreciation on bilateral swap agreements | | | — | | | | — | |
Prepaid expenses and other assets | | | 10,612 | | | | 11,350 | |
| | | | | | | | |
Total Assets | | | 995,340,865 | | | | 980,081,615 | |
| | | | | | | | |
Liabilities | | | | | | | | |
Cash Overdraft | | | — | | | | 10,594 | |
Securities sold short, at value(4) | | | — | | | | — | |
Options written, at value(5) | | | 501,488 | | | | — | |
Unrealized depreciation on foreign currency exchange contracts | | | 300,058 | | | | — | |
Unrealized depreciation on bilateral swap agreements | | | — | | | | — | |
Collateral held for securities on loan, at value | | | 29,225,247 | | | | 786,737 | |
Collateral held for derivatives | | | — | | | | — | |
Payables: | | | | | | | | |
Investment securities purchased | | | 1,735,385 | | | | 418,863 | |
Dividends on short sales | | | — | | | | — | |
Fund shares redeemed | | | 312,653 | | | | 153,481 | |
Variation margin on financial futures contracts | | | — | | | | 116,025 | |
Securities lending | | | 3,884 | | | | 897 | |
Foreign capital gains taxes | | | — | | | | — | |
Accrued expenses: | | | | | | | | |
Investment advisory fees | | | 505,444 | | | | 74,628 | |
Professional fees | | | 29,973 | | | | 28,007 | |
Shareholder servicing fees | | | 75,571 | | | | 103,850 | |
S&P license fees | | | — | | | | 246,352 | |
Other expenses | | | 107,659 | | | | 95,305 | |
| | | | | | | | |
Total Liabilities | | | 32,797,362 | | | | 2,034,739 | |
| | | | | | | | |
Net Assets | | $ | 962,543,503 | | | $ | 978,046,876 | |
| | | | | | | | |
Net Assets Consist of: | | | | | | | | |
Paid-in-capital | | $ | 837,233,965 | | | $ | 629,269,987 | |
Accumulated (distributions in excess of) net investment income (loss) | | | 1,465,492 | | | | 100,203 | |
Undistributed (accumulated) net realized gain (loss) on investments, foreign currency and derivative transactions | | | 8,077,004 | | | | (4,551,643 | ) |
Net unrealized appreciation (depreciation) on investments, foreign currency and derivative transactions | | | 115,767,042 | | | | 353,228,329 | |
| | | | | | | | |
Net Assets | | $ | 962,543,503 | | | $ | 978,046,876 | |
| | | | | | | | |
Net Asset Value: | | | | | | | | |
$0.001 par value, unlimited shares authorized | | | | | | | | |
Net assets applicable to the Institutional Class | | $ | 602,010,722 | | | $ | 483,275,437 | |
| | | | | | | | |
Institutional shares outstanding | | | 47,483,943 | | | | 16,423,482 | |
| | | | | | | | |
Net asset value, offering and redemption price per Institutional share | | $ | 12.68 | | | $ | 29.43 | |
| | | | | | | | |
Net assets applicable to the Investor Class | | $ | 360,532,781 | | | $ | 494,771,439 | |
| | | | | | | | |
Investor shares outstanding | | | 28,426,265 | | | | 16,803,551 | |
| | | | | | | | |
Net asset value, offering and redemption price per Investor share | | $ | 12.68 | | | $ | 29.44 | |
| | | | | | | | |
��
| | | | | | | | |
(1) Investments in securities of unaffiliated issuers, at cost | | $ | 840,313,432 | | | $ | 591,922,809 | |
Investments in securities of affiliated issuers, at cost | | | 33,299,156 | | | | 32,456,840 | |
| | | | | | | | |
Total investments, at cost | | $ | 873,612,588 | | | $ | 624,379,649 | |
| | | | | | | | |
(2) Includes securities loaned of: | | $ | 47,198,754 | | | $ | 35,630,881 | |
| | | | | | | | |
(3) Foreign currency, at cost | | $ | — | | | $ | — | |
| | | | | | | | |
(4) Proceeds from securities sold short | | $ | — | | | $ | — | |
| | | | | | | | |
(5) Premiums received on options written | | $ | 726,758 | | | $ | — | |
| | | | | | | | |
(6) Net of $(45,805) and $(213,344) accrued foreign capital gains taxed on appreciated securities for International Equity Fund and Emerging Markets Equity Fund, respectively. | | | | | |
| | | | |
| 276 | | 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 | |
| | | | | | | | | | | | | | | | | | | | | | | |
| $ | 1,495,941,955 | | | $ | 1,701,941,066 | | | $ | 555,327,670 | | | $ | 180,818,219 | | | $ | 1,635,136,003 | | | $ | 481,568,858 | |
| | 35,766,270 | | | | 51,855,713 | | | | 24,757,614 | | | | 7,055,829 | | | | 69,014,841 | | | | 19,608,867 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1,531,708,225 | | | | 1,753,796,779 | | | | 580,085,284 | | | | 187,874,048 | | | | 1,704,150,844 | | | | 501,177,725 | |
| | 63,000 | | | | — | | | | — | | | | — | | | | 2,680,000 | | | | 2,858,649 | |
| | — | | | | — | | | | — | | | | 43,200 | | | | 6,914,502 | | | | — | |
| | — | | | | — | | | | — | | | | 298,834 | | | | 8,334,982 | | | | 1,905,917 | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | 1,847,116 | | | | 683,203 | | | | 729,311 | | | | 473,764 | | | | 6,602,771 | | | | 1,092,601 | |
| | — | | | | — | | | | — | | | | — | | | | — | | | | 7,941 | |
| | 8,865 | | | | 24,968 | | | | 22,903 | | | | 3,491 | | | | 19,703 | | | | 11,921 | |
| | 7,097 | | | | 10,058 | | | | 4,920 | | | | — | | | | 12,730 | | | | — | |
| | 3,063,434 | | | | 160,143 | | | | 3,356,850 | | | | — | | | | 2,090,820 | | | | 169,067 | |
| | 82,466 | | | | 514,810 | | | | 71,765 | | | | 5,024 | | | | 353,643 | | | | 417,942 | �� |
| | — | | | | — | | | | — | | | | 760 | | | | 503,930 | | | | 186,315 | |
| | — | | | | — | | | | — | | | | — | | | | 2,446,784 | | | | 2,325,296 | |
| | — | | | | — | | | | — | | | | — | | | | 494,377 | | | | 68,037 | |
| | 10,315 | | | | 9,949 | | | | 10,228 | | | | 6,163 | | | | 10,653 | | | | 19,809 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1,536,790,518 | | | | 1,755,199,910 | | | | 584,281,261 | | | | 188,705,284 | | | | 1,734,615,739 | | | | 510,241,220 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | 14,913 | | | | 14,727 | | | | — | | | | 1,225 | | | | 8,626,738 | | | | — | |
| | — | | | | — | | | | — | | | | — | | | | 75,217,872 | | | | — | |
| | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | — | | | | — | | | | — | | | | — | | | | 3,161,465 | | | | 1,889,076 | |
| | — | | | | — | | | | — | | | | — | | | | 35,540 | | | | 196,793 | |
| | 7,162,311 | | | | 16,381,945 | | | | 24,953,905 | | | | 504,978 | | | | 18,506,949 | | | | 7,288,423 | |
| | — | | | | — | | | | — | | | | — | | | | 389,234 | | | | 388,161 | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | 2,642,061 | | | | 1,050,424 | | | | 2,612,472 | | | | — | | | | 2,074,201 | | | | 494,214 | |
| | — | | | | — | | | | — | | | | — | | | | 1,713 | | | | — | |
| | 216,783 | | | | 763,020 | | | | 4,350 | | | | 1,108 | | | | 42,670 | | | | 27,274 | |
| | 149,321 | | | | 178,425 | | | | 210,910 | | | | — | | | | 437,500 | | | | 78,824 | |
| | 1,330 | | | | 3,745 | | | | 3,436 | | | | 524 | | | | 2,955 | | | | 1,788 | |
| | — | | | | — | | | | — | | | | — | | | | 45,805 | | | | 213,344 | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | 680,421 | | | | 989,275 | | | | 439,114 | | | | 18,213 | | | | 970,495 | | | | 423,176 | |
| | 28,008 | | | | 27,931 | | | | 31,573 | | | | 24,948 | | | | 30,748 | | | | 31,438 | |
| | 83,368 | | | | 122,594 | | | | 54,910 | | | | — | | | | 71,814 | | | | 19,266 | |
| | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | 135,548 | | | | 130,788 | | | | 74,520 | | | | 32,641 | | | | 365,440 | | | | 202,259 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 11,114,064 | | | | 19,662,874 | | | | 28,385,190 | | | | 583,637 | | | | 109,981,139 | | | | 11,254,036 | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | 1,525,676,454 | | | $ | 1,735,537,036 | | | $ | 555,896,071 | | | $ | 188,121,647 | | | $ | 1,624,634,600 | | | $ | 498,987,184 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
| $ | 1,204,779,781 | | | $ | 1,302,969,862 | | | $ | 452,644,040 | | | $ | 171,350,951 | | | $ | 1,397,609,142 | | | $ | 432,445,179 | |
| | 679,891 | | | | — | | | | 172,793 | | | | (578,729 | ) | | | (4,204,888 | ) | | | 139,451 | |
| | (13,597,876 | ) | | | (13,450,916 | ) | | | 9,702,625 | | | | (885,996 | ) | | | 1,211,506 | | | | (4,927,662 | ) |
| | 333,814,658 | | | | 446,018,090 | | | | 93,376,613 | | | | 18,235,421 | | | | 230,018,840 | (6) | | | 71,330,216 | (6) |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | 1,525,676,454 | | | $ | 1,735,537,036 | | | $ | 555,896,071 | | | $ | 188,121,647 | | | $ | 1,624,634,600 | | | $ | 498,987,184 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
| $ | 1,128,445,138 | | | $ | 1,150,773,481 | | | $ | 293,953,138 | | | $ | 188,121,647 | | | $ | 1,279,089,319 | | | $ | 404,640,759 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 49,578,272 | | | | 45,702,900 | | | | 16,012,015 | | | | 17,488,571 | | | | 81,387,377 | | | | 36,791,038 | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | 22.76 | | | $ | 25.18 | | | $ | 18.36 | | | $ | 10.76 | | | $ | 15.72 | | | $ | 11.00 | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | 397,231,316 | | | $ | 584,763,555 | | | $ | 261,942,933 | | | | N/A | | | $ | 345,545,281 | | | $ | 94,346,425 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 17,439,563 | | | | 23,285,473 | | | | 14,258,676 | | | | N/A | | | | 21,947,683 | | | | 8,577,562 | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | 22.78 | | | $ | 25.11 | | | $ | 18.37 | | | | N/A | | | $ | 15.74 | | | $ | 11.00 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
| $ | 1,162,548,489 | | | $ | 1,256,462,042 | | | $ | 462,128,671 | | | $ | 162,684,924 | | | $ | 1,401,051,885 | | | $ | 412,109,276 | |
| | 35,766,270 | | | | 51,855,713 | | | | 24,757,614 | | | | 7,055,829 | | | | 69,014,841 | | | | 19,608,867 | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | 1,198,314,759 | | | $ | 1,308,317,755 | | | $ | 486,886,285 | | | $ | 169,740,753 | | | $ | 1,470,066,726 | | | $ | 431,718,143 | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | 35,790,169 | | | $ | 183,587,728 | | | $ | 94,338,314 | | | $ | 3,772,600 | | | $ | 60,417,566 | | | $ | 30,566,285 | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | — | | | $ | — | | | $ | — | | | $ | 294,733 | | | $ | 8,178,129 | | | $ | 1,898,990 | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 69,518,218 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 277 |
| | |
STATEMENTS OF OPERATIONS | | For the Year Ended December 31, 2017 |
| | | | | | | | |
| | | Defensive Market | | | Equity Index | |
| | | Strategies Fund | | | Fund | |
Investment Income | | | | | | | | |
Dividends | | $ | 10,877,739 | | | $ | 16,209,586 | |
Non Cash Dividends | | | — | | | | — | |
Income distributions received from affiliated funds | | | 174,794 | | | | 140,483 | |
Interest | | | 1,222,880 | | | | 8,383 | |
Securities lending | | | 201,174 | | | | 59,629 | |
Less foreign taxes withheld | | | (29,546 | ) | | | (13,975 | ) |
| | | | | | | | |
Total Investment Income | | | 12,447,041 | | | | 16,404,106 | |
| | | | | | | | |
Expenses | | | | | | | | |
Investment advisory fees | | | 5,640,691 | | | | 788,352 | |
Transfer agent fees: | | | | | | | | |
Institutional shares | | | 5,040 | | | | 4,528 | |
Investor shares | | | 31,586 | | | | 37,655 | |
Custodian fees | | | 73,909 | | | | 18,988 | |
Shareholder servicing fees: | | | | | | | | |
Investor shares | | | 803,901 | | | | 1,106,199 | |
Accounting and administration fees | | | 221,229 | | | | 183,586 | |
Professional fees | | | 105,564 | | | | 105,242 | |
Blue sky fees: | | | | | | | | |
Institutional shares | | | 24,982 | | | | 27,064 | |
Investor shares | | | 84,175 | | | | 32,909 | |
Trustees expenses | | | 7,573 | | | | 6,995 | |
Line of credit facility fees and interest expense | | | 5,810 | | | | 5,439 | |
S&P license fees | | | — | | | | 165,973 | |
Interest expense | | | — | | | | — | |
Other expenses | | | 65,702 | | | | 365,569 | |
| | | | | | | | |
Total Expenses | | | 7,070,162 | | | | 2,848,499 | |
Dividends on securities sold short | | | — | | | | — | |
Expenses waived/reimbursed net of amount recaptured(1) | | | (80,131 | ) | | | (62,723 | ) |
Fees paid indirectly | | | (188 | ) | | | — | |
| | | | | | | | |
Net Expenses | | | 6,989,843 | | | | 2,785,776 | |
| | | | | | | | |
Net Investment Income (Loss) | | | 5,457,198 | | | | 13,618,330 | |
| | | | | | | | |
Realized and Unrealized Gain (Loss) | | | | | | | | |
Net realized gain (loss) from: | | | | | | | | |
Investment securities | | | 44,101,809 | | | | 1,107,533 | |
Investment securities sold short | | | — | | | | — | |
Futures transactions | | | 711,157 | | | | 4,712,019 | |
Swap agreements | | | — | | | | — | |
Option contracts written | | | 7,639,949 | | | | — | |
Forward foreign currency contracts | | | (792,347 | ) | | | — | |
Foreign currency | | | 75,264 | | | | — | |
| | | | | | | | |
Net realized gain | | | 51,735,832 | | | | 5,819,552 | |
| | | | | | | | |
Net change in unrealized appreciation (depreciation) on: | | | | | | | | |
Investment securities (net of estimated capital gains taxes of $(34,124) and $(142,330) for International Equity Fund and Emerging Markets Fund, respectively) | | | 49,795,180 | | | | 149,833,008 | |
Investment securities sold short | | | — | | | | — | |
Futures | | | 38,690 | | | | 361,405 | |
Swap agreements | | | — | | | | — | |
Option contracts written | | | 186,375 | | | | — | |
Forward foreign currency contracts | | | (216,517 | ) | | | — | |
Foreign currency | | | 52,949 | | | | — | |
| | | | | | | | |
Net change in unrealized appreciation (depreciation) | | | 49,856,677 | | | | 150,194,413 | |
| | | | | | | | |
Net Realized and Unrealized Gain | | | 101,592,509 | | | | 156,013,965 | |
| | | | | | | | |
Net Increase in Net Assets Resulting from Operations | | $ | 107,049,707 | | | $ | 169,632,295 | |
| | | | | | | | |
| (1) | See Note 3a and 3c in Notes to Financial Statements. |
| | | | |
| 278 | | 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 | |
| | | | | | | | | | | | | | | | | | | | | | | |
| $ | 32,212,558 | | | $ | 11,962,556 | | | $ | 5,334,669 | | | $ | 4,371,817 | | | $ | 40,889,624 | | | $ | 10,082,055 | |
| | — | | | | — | | | | — | | | | 388,843 | | | | — | | | | — | |
| | 235,081 | | | | 302,197 | | | | 123,338 | | | | 49,915 | | | | 334,076 | | | | 83,110 | |
| | 19,129 | | | | 22,270 | | | | 3,575 | | | | 2,339 | | | | — | | | | 48,984 | |
| | 142,653 | | | | 776,910 | | | | 412,229 | | | | 55,774 | | | | 486,587 | | | | 72,591 | |
| | (125,102 | ) | | | (51,406 | ) | | | (8,170 | ) | | | (366,096 | ) | | | (4,025,583 | ) | | | (1,365,649 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | 32,484,319 | | | | 13,012,527 | | | | 5,865,641 | | | | 4,502,592 | | | | 37,684,704 | | | | 8,921,091 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | 7,474,407 | | | | 10,744,108 | | | | 5,007,908 | | | | 184,167 | | | | 10,669,676 | | | | 4,301,765 | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | 4,880 | | | | 4,705 | | | | 5,009 | | | | 4,180 | | | | 6,179 | | | | 4,813 | |
| | 34,342 | | | | 33,342 | | | | 32,964 | | | | — | | | | 32,292 | | | | 20,894 | |
| | 52,962 | | | | 36,697 | | | | 69,691 | | | | 52,906 | | | | 516,945 | | | | 837,257 | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | 946,231 | | | | 1,292,674 | | | | 642,940 | | | | — | | | | 776,340 | | | | 185,866 | |
| | 292,000 | | | | 347,318 | | | | 117,749 | | | | 86,833 | | | | 352,621 | | | | 148,964 | |
| | 96,767 | | | | 104,656 | | | | 123,515 | | | | 111,213 | | | | 109,634 | | | | 108,313 | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | 23,981 | | | | 24,192 | | | | 24,181 | | | | 29,579 | | | | 24,122 | | | | 28,137 | |
| | 26,066 | | | | 27,682 | | | | 26,536 | | | | — | | | | 24,736 | | | | 51,973 | |
| | 11,528 | | | | 15,645 | | | | 5,485 | | | | 1,157 | | | | 11,886 | | | | 3,122 | |
| | 9,652 | | | | 10,805 | | | | 3,866 | | | | 1,099 | | | | 9,995 | | | | 2,640 | |
| | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | — | | | | — | | | | — | | | | — | | | | 240,469 | | | | — | |
| | 67,380 | | | | 101,895 | | | | 54,208 | | | | 72,917 | | | | 649,181 | | | | 42,961 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 9,040,196 | | | | 12,743,719 | | | | 6,114,052 | | | | 544,051 | | | | 13,424,076 | | | | 5,736,705 | |
| | — | | | | — | | | | — | | | | — | | | | 1,239,111 | | | | — | |
| | (104,828 | ) | | | (140,458 | ) | | | (56,645 | ) | | | 97,614 | | | | (145,961 | ) | | | (92,549 | ) |
| | (14,046 | ) | | | (45,465 | ) | | | (60,088 | ) | | | — | | | | (8,689 | ) | | | (2,800 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | 8,921,322 | | | | 12,557,796 | | | | 5,997,319 | | | | 641,665 | | | | 14,508,537 | | | | 5,641,356 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 23,562,997 | | | | 454,731 | | | | (131,678 | ) | | | 3,860,927 | | | | 23,176,167 | | | | 3,279,735 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | 69,430,243 | | | | 142,577,068 | | | | 45,799,217 | | | | (129,509 | ) | | | 102,528,229 | | | | 22,941,045 | |
| | — | | | | — | | | | — | | | | — | | | | (1,284,087 | ) | | | — | |
| | 8,419,228 | | | | 9,484,466 | | | | 2,370,870 | | | | 1,444,971 | | | | 22,888,934 | | | | 10,595,266 | |
| | — | | | | — | | | | — | | | | — | | | | (3,320,941 | ) | | | (23,747 | ) |
| | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | — | | | | — | | | | — | | | | — | | | | 187,077 | | | | 758,702 | |
| | — | | | | — | | | | — | | | | 23,476 | | | | 1,700,397 | | | | (83,290 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | 77,849,471 | | | | 152,061,534 | | | | 48,170,087 | | | | 1,338,938 | | | | 122,699,609 | | | | 34,187,976 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | 100,927,206 | | | | 272,258,891 | | | | 17,893,493 | | | | 28,439,989 | | | | 232,964,585 | | | | 85,171,805 | |
| | — | | | | — | | | | — | | | | — | | | | (6,819,959 | ) | | | — | |
| | 593,375 | | | | 746,956 | | | | 722,234 | | | | 123,923 | | | | 1,100,853 | | | | 1,376,310 | |
| | — | | | | — | | | | — | | | | — | | | | 209,909 | | | | (77,025 | ) |
| | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | — | | | | — | | | | — | | | | — | | | | 1,395,208 | | | | (496,951 | ) |
| | — | | | | — | | | | — | | | | 22,991 | | | | 709,782 | | | | 77,051 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 101,520,581 | | | | 273,005,847 | | | | 18,615,727 | | | | 28,586,903 | | | | 229,560,378 | | | | 86,051,190 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 179,370,052 | | | | 425,067,381 | | | | 66,785,814 | | | | 29,925,841 | | | | 352,259,987 | | | | 120,239,166 | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | 202,933,049 | | | $ | 425,522,112 | | | $ | 66,654,136 | | | $ | 33,786,768 | | | $ | 375,436,154 | | | $ | 123,518,901 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 279 |
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Defensive Market Strategies
Fund | |
| | | For the Year Ended | |
| | | 12/31/17 | | | 12/31/16 | |
Operations: | | | | | | | | |
Net investment income (loss) | | $ | 5,457,198 | | | $ | 9,154,111 | |
Net realized gain on investment securities, foreign currency and derivatives | | | 51,735,832 | | | | 37,485,385 | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | | | 49,856,677 | | | | 29,305,318 | |
| | | | | | | | |
Net increase (decrease) in net assets resulting from operations | | | 107,049,707 | | | | 75,944,814 | |
| | | | | | | | |
Dividends and Distributions to Shareholders: | | | | | | | | |
Dividends from net investment income | | | | | | | | |
Institutional shares | | | (3,675,515 | ) | | | (6,782,198 | ) |
Investor shares | | | (1,266,103 | ) | | | (2,584,867 | ) |
Distributions from net realized capital gains | | | | | | | | |
Institutional shares | | | (29,895,180 | ) | | | (20,422,901 | ) |
Investor shares | | | (16,821,249 | ) | | | (10,089,480 | ) |
| | | | | | | | |
Total dividends and distributions | | | (51,658,047 | ) | | | (39,879,446 | ) |
| | | | | | | | |
Capital Share Transactions: | | | | | | | | |
Proceeds from shares sold | | | | | | | | |
Institutional shares | | | 140,679,912 | | | | 86,759,491 | |
Investor shares | | | 119,380,649 | | | | 120,050,570 | |
Reinvestment of dividends and distributions | | | | | | | | |
Institutional shares | | | 33,471,335 | | | | 27,129,944 | |
Investor shares | | | 18,031,024 | | | | 12,666,913 | |
| | | | | | | | |
Total proceeds from shares sold and reinvested | | | 311,562,920 | | | | 246,606,918 | |
| | | | | | | | |
Value of shares redeemed | | | | | | | | |
Institutional shares | | | (155,485,244 | ) | | | (36,641,159 | ) |
Investor shares | | | (72,161,976 | ) | | | (33,410,504 | ) |
| | | | | | | | |
Total value of shares redeemed | | | (227,647,220 | ) | | | (70,051,663 | ) |
| | | | | | | | |
Net increase (decrease) from capital share transactions(1) | | | 83,915,700 | | | | 176,555,255 | |
| | | | | | | | |
Total increase (decrease) in net assets | | | 139,307,360 | | | | 212,620,623 | |
| | | | | | | | |
Net Assets: | | | | | | | | |
Beginning of Year | | | 823,236,143 | | | | 610,615,520 | |
| | | | | | | | |
End of Year* | | $ | 962,543,503 | | | $ | 823,236,143 | |
| | | | | | | | |
*Including undistributed net investment income | | $ | 1,465,492 | | | $ | 605,946 | |
| | | | | | | | |
| (1) | See Note 6 in Notes to Financial Statements. |
| | | | |
| 280 | | 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 | |
| | | | | | | | |
| 12/31/17 | | | 12/31/16 | | | 12/31/17 | | | 12/31/16 | | | 12/31/17 | | | 12/31/16 | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
| $ | 13,618,330 | | | $ | 11,943,530 | | | $ | 23,562,997 | | | $ | 24,447,562 | | | $ | 454,731 | | | $ | (1,084,811 | ) |
| | 5,819,552 | | | | 8,892,190 | | | | 77,849,471 | | | | 58,311,164 | | | | 152,061,534 | | | | 43,301,833 | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | 150,194,413 | | | | 57,282,624 | | | | 101,520,581 | | | | 86,310,003 | | | | 273,005,847 | | | | (55,421,512 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | 169,632,295 | | | | 78,118,344 | | | | 202,933,049 | | | | 169,068,729 | | | | 425,522,112 | | | | (13,204,490 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | (7,183,738 | ) | | | (7,539,949 | ) | | | (17,608,553 | ) | | | (20,652,060 | ) | | | (740,405 | ) | | | — | |
| | (6,406,244 | ) | | | (4,493,334 | ) | | | (5,433,418 | ) | | | (4,414,829 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | (2,906,537 | ) | | | (4,164,984 | ) | | | (59,973,423 | ) | | | (35,799,929 | ) | | | (112,679,757 | ) | | | (39,566,114 | ) |
| | (3,026,151 | ) | | | (3,860,904 | ) | | | (21,470,715 | ) | | | (11,488,346 | ) | | | (57,082,011 | ) | | | (13,379,455 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | (19,522,670 | ) | | | (20,059,171 | ) | | | (104,486,109 | ) | | | (72,355,164 | ) | | | (170,502,173 | ) | | | (52,945,569 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | 71,678,208 | | | | 62,887,840 | | | | 97,004,036 | | | | 72,695,633 | | | | 65,442,695 | | | | 78,821,400 | |
| | 69,412,371 | | | | 61,970,285 | | | | 24,680,892 | | | | 46,876,464 | | | | 72,305,170 | | | | 28,018,112 | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | 10,072,333 | | | | 11,688,033 | | | | 77,497,179 | | | | 56,444,119 | | | | 113,344,523 | | | | 39,563,140 | |
| | 9,390,872 | | | | 8,347,177 | | | | 26,876,617 | | | | 15,889,798 | | | | 57,040,743 | | | | 13,376,181 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 160,553,784 | | | | 144,893,335 | | | | 226,058,724 | | | | 191,906,014 | | | | 308,133,131 | | | | 159,778,833 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | (27,051,533 | ) | | | (22,108,055 | ) | | | (37,902,976 | ) | | | (193,720,488 | ) | | | (90,956,174 | ) | | | (114,360,239 | ) |
| | (47,764,607 | ) | | | (47,248,664 | ) | | | (51,948,137 | ) | | | (45,525,237 | ) | | | (51,399,978 | ) | | | (80,144,960 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | (74,816,140 | ) | | | (69,356,719 | ) | | | (89,851,113 | ) | | | (239,245,725 | ) | | | (142,356,152 | ) | | | (194,505,199 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | 85,737,644 | | | | 75,536,616 | | | | 136,207,611 | | | | (47,339,711 | ) | | | 165,776,979 | | | | (34,726,366 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | 235,847,269 | | | | 133,595,789 | | | | 234,654,551 | | | | 49,373,854 | | | | 420,796,918 | | | | (100,876,425 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | 742,199,607 | | | | 608,603,818 | | | | 1,291,021,903 | | | | 1,241,648,049 | | | | 1,314,740,118 | | | | 1,415,616,543 | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | 978,046,876 | | | $ | 742,199,607 | | | $ | 1,525,676,454 | | | $ | 1,291,021,903 | | | $ | 1,735,537,036 | | | $ | 1,314,740,118 | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | 100,203 | | | $ | 71,855 | | | $ | 679,891 | | | $ | 158,865 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 281 |
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Small Cap Equity Fund | |
| | | For the Year Ended | |
| | | 12/31/17 | | | 12/31/16 | |
Operations: | | | | | | | | |
Net investment income (loss) | | $ | (131,678 | ) | | $ | 1,202,278 | |
Net realized gain (loss) on investment securities, foreign currency and derivatives | | | 48,170,087 | | | | 12,585,764 | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | | | 18,615,727 | | | | 68,188,651 | |
| | | | | | | | |
Net increase in net assets resulting from operations | | | 66,654,136 | | | | 81,976,693 | |
| | | | | | | | |
Dividends and Distributions to Shareholders: | | | | | | | | |
Dividends from net investment income | | | | | | | | |
Institutional shares | | | (500,162 | ) | | | (985,933 | ) |
Investor shares | | | — | | | | (386,414 | ) |
Distributions from net realized capital gains | | | | | | | | |
Institutional shares | | | (20,799,180 | ) | | | (2,849,693 | ) |
Investor shares | | | (18,504,594 | ) | | | (2,825,962 | ) |
| | | | | | | | |
Total dividends and distributions | | | (39,803,936 | ) | | | (7,048,002 | ) |
| | | | | | | | |
Capital Share Transactions: | | | | | | | | |
Proceeds from shares sold | | | | | | | | |
Institutional shares | | | 43,248,973 | | | | 24,829,412 | |
Investor shares | | | 18,929,912 | | | | 29,247,158 | |
Reinvestment of dividends and distributions | | | | | | | | |
Institutional shares | | | 21,205,319 | | | | 3,835,372 | |
Investor shares | | | 18,494,233 | | | | 3,211,578 | |
| | | | | | | | |
Total proceeds from shares sold and reinvested | | | 101,878,437 | | | | 61,123,520 | |
| | | | | | | | |
Value of shares redeemed | | | | | | | | |
Institutional shares | | | (51,500,812 | ) | | | (69,413,390 | ) |
Investor shares | | | (53,953,097 | ) | | | (35,829,083 | ) |
| | | | | | | | |
Total value of shares redeemed | | | (105,453,909 | ) | | | (105,242,473 | ) |
| | | | | | | | |
Net increase (decrease) from capital share transactions(1) | | | (3,575,472 | ) | | | (44,118,953 | ) |
| | | | | | | | |
Total increase in net assets | | | 23,274,728 | | | | 30,809,738 | |
| | | | | | | | |
Net Assets: | | | | | | | | |
Beginning of Year | | | 532,621,343 | | | | 501,811,605 | |
| | | | | | | | |
End of Year* | | $ | 555,896,071 | | | $ | 532,621,343 | |
| | | | | | | | |
*Including undistributed (distributions in excess of) net investment income | | $ | 172,793 | | | $ | 27,294 | |
| | | | | | | | |
| (1) | See Note 6 in Notes to Financial Statements. |
| | | | |
| 282 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | | | | | | | |
International Equity Index Fund | | | International Equity Fund | | | Emerging Markets Equity Fund | |
| For the Year Ended | | | For the Year Ended | | | For the Year Ended | |
12/31/17 | | | 12/31/16 | | | 12/31/17 | | | 12/31/16 | | | 12/31/17 | | | 12/31/16 | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
| $ | 3,860,927 | | | $ | 3,121,243 | | | $ | 23,176,167 | | | $ | 25,616,001 | | | $ | 3,279,735 | | | $ | 3,114,130 | |
| | 1,338,938 | | | | (842,464 | ) | | | 122,699,609 | | | | 16,102,029 | | | | 34,187,976 | | | | (14,432,213 | ) |
| | | | | | | | | | | | | | | | | | | | | | | |
| | 28,586,903 | | | | 477,800 | | | | 229,560,378 | | | | (2,077,658 | ) | | | 86,051,190 | | | | 55,295,877 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 33,786,768 | | | | 2,756,579 | | | | 375,436,154 | | | | 39,640,372 | | | | 123,518,901 | | | | 43,977,794 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | (4,274,787 | ) | | | (3,270,902 | ) | | | (20,323,118 | ) | | | (20,646,972 | ) | | | (3,877,025 | ) | | | (5,024,983 | ) |
| | — | | | | — | | | | (4,650,292 | ) | | | (4,679,834 | ) | | | (719,662 | ) | | | (685,333 | ) |
| | | | | | | | | | | | | | | | | | | | | | | |
| | (573,818 | ) | | | — | | | | (81,493,158 | ) | | | (7,893,727 | ) | | | — | | | | — | |
| | — | | | | — | | | | (22,039,724 | ) | | | (2,052,816 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | |
| | (4,848,605 | ) | | | (3,270,902 | ) | | | (128,506,292 | ) | | | (35,273,349 | ) | | | (4,596,687 | ) | | | (5,710,316 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | 35,042,423 | | | | 28,861,034 | | | | 74,829,236 | | | | 81,012,704 | | | | 52,727,535 | | | | 37,111,251 | |
| | — | | | | — | | | | 44,880,631 | | | | 37,895,139 | | | | 58,762,844 | | | | 32,263,177 | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | 4,814,928 | | | | 3,270,443 | | | | 101,752,318 | | | | 28,538,676 | | | | 3,869,903 | | | | 5,024,983 | |
| | — | | | | — | | | | 26,539,536 | | | | 6,730,219 | | | | 718,614 | | | | 683,941 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 39,857,351 | | | | 32,131,477 | | | | 248,001,721 | | | | 154,176,738 | | | | 116,078,896 | | | | 75,083,352 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | (13,695,024 | ) | | | (9,620,613 | ) | | | (111,081,403 | ) | | | (126,371,248 | ) | | | (40,941,162 | ) | | | (59,145,682 | ) |
| | — | | | | — | | | | (41,440,030 | ) | | | (26,653,486 | ) | | | (30,260,344 | ) | | | (16,799,903 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | (13,695,024 | ) | | | (9,620,613 | ) | | | (152,521,433 | ) | | | (153,024,734 | ) | | | (71,201,506 | ) | | | (75,945,585 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | 26,162,327 | | | | 22,510,864 | | | | 95,480,288 | | | | 1,152,004 | | | | 44,877,390 | | | | (862,233 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | 55,100,490 | | | | 21,996,541 | | | | 342,410,150 | | | | 5,519,027 | | | | 163,799,604 | | | | 37,405,245 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | 133,021,157 | | | | 111,024,616 | | | | 1,282,224,450 | | | | 1,276,705,423 | | | | 335,187,580 | | | | 297,782,335 | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | 188,121,647 | | | $ | 133,021,157 | | | $ | 1,624,634,600 | | | $ | 1,282,224,450 | | | $ | 498,987,184 | | | $ | 335,187,580 | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | (578,729 | ) | | $ | (188,056 | ) | | $ | (4,204,888 | ) | | $ | (1,844,748 | ) | | $ | 139,451 | | | $ | 196,901 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 283 |
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | | | Ratios to Average Net Assets | | | | |
| | | Net Asset
Value,
Beginning
of Year | | | Net
Investment
Income | | | Realized
and
Unrealized
Gain (Loss)
on
Investments | | | Dividends
from Net
Investment
Income | | | Distributions
from Net
Realized
Capital
Gains | | | Net
Asset
Value,
End of
Year | | | Total
Return | | | Net Assets, End
of Year
(000) | | | Expenses,
Net | | | Expenses,
Gross | | | Investment
Income,
Net | | | Portfolio
Turnover
Rate | |
Defensive Market Strategies Fund | |
| | | | | | | | | | |
Institutional Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2017 | | $ | 11.90 | | | $ | 0.09 | # | | $ | 1.42 | | | $ | (0.08 | ) | | $ | (0.65 | ) | | $ | 12.68 | | | | 12.74 | % | | $ | 602,011 | | | | 0.67 | %(1) | | | 0.68 | % | | | 0.70 | % | | | 60 | % |
2016 | | | 11.21 | | | | 0.17 | # | | | 1.15 | (2) | | | (0.16 | ) | | | (0.47 | ) | | | 11.90 | | | | 11.80 | | | | 547,132 | | | | 0.69 | | | | 0.70 | | | | 1.42 | | | | 78 | |
2015 | | | 11.61 | | | | 0.17 | # | | | 0.11 | (2) | | | (0.17 | ) | | | (0.51 | ) | | | 11.21 | | | | 2.43 | | | | 443,499 | | | | 0.72 | (1) | | | 0.73 | | | | 1.46 | | | | 55 | |
2014 | | | 11.43 | | | | 0.15 | # | | | 1.05 | (2) | | | (0.15 | ) | | | (0.87 | ) | | | 11.61 | | | | 10.55 | | | | 98,903 | | | | 0.88 | (1)(3) | | | 0.83 | (3) | | | 1.24 | | | | 102 | |
2013(4) | | | 10.61 | | | | 0.14 | # | | | 1.80 | (2) | | | (0.15 | ) | | | (0.97 | ) | | | 11.43 | | | | 18.47 | | | | 89,430 | | | | 1.10 | (1)(3) | | | 1.13 | (3) | | | 1.25 | | | | 208 | |
| | | | | | | | | | |
Investor Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2017 | | $ | 11.91 | | | $ | 0.05 | # | | $ | 1.41 | | | $ | (0.04 | ) | | $ | (0.65 | ) | | $ | 12.68 | | | | 12.35 | % | | $ | 360,533 | | | | 0.95 | %(1) | | | 0.96 | % | | | 0.43 | % | | | 60 | % |
2016 | | | 11.22 | | | | 0.14 | # | | | 1.15 | (2) | | | (0.13 | ) | | | (0.47 | ) | | | 11.91 | | | | 11.53 | | | | 276,104 | | | | 0.97 | | | | 0.98 | | | | 1.15 | | | | 78 | |
2015 | | | 11.60 | | | | 0.13 | # | | | 0.12 | (2) | | | (0.12 | ) | | | (0.51 | ) | | | 11.22 | | | | 2.16 | | | | 167,117 | | | | 0.99 | (1) | | | 1.00 | | | | 1.12 | | | | 55 | |
2014 | | | 11.42 | | | | 0.12 | # | | | 1.06 | (2) | | | (0.13 | ) | | | (0.87 | ) | | | 11.60 | | | | 10.35 | | | | 476,129 | | | | 1.09 | (1)(3) | | | 1.07 | (3) | | | 1.03 | | | | 102 | |
2013(4) | | | 10.60 | | | | 0.12 | # | | | 1.79 | (2) | | | (0.12 | ) | | | (0.97 | ) | | | 11.42 | | | | 18.22 | | | | 395,277 | | | | 1.36 | (1)(3) | | | 1.38 | (3) | | | 0.99 | | | | 208 | |
Equity Index Fund | |
| | | | | | | | | | |
Institutional Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2017 | | $ | 24.68 | | | $ | 0.47 | # | | $ | 4.92 | | | $ | (0.46 | ) | | $ | (0.18 | ) | | $ | 29.43 | | | | 21.97 | % | | $ | 483,275 | | | | 0.19 | % | | | 0.20 | % | | | 1.72 | % | | | 2 | % |
2016 | | | 22.81 | | | | 0.46 | # | | | 2.27 | (2) | | | (0.56 | ) | | | (0.30 | ) | | | 24.68 | | | | 12.16 | | | | 355,404 | | | | 0.15 | | | | 0.16 | | | | 1.97 | | | | 3 | |
2015 | | | 23.99 | | | | 0.48 | # | | | (0.26 | )(2) | | | (0.61 | ) | | | (0.79 | ) | | | 22.81 | | | | 0.92 | | | | 276,599 | | | | 0.17 | | | | 0.18 | | | | 1.94 | | | | 6 | |
2014 | | | 22.48 | | | | 0.40 | # | | | 2.62 | (2) | | | (0.74 | ) | | | (0.77 | ) | | | 23.99 | | | | 13.54 | | | | 95,134 | | | | 0.22 | | | | 0.22 | | | | 1.72 | | | | 5 | |
2013(5) | | | 18.12 | | | | 0.37 | # | | | 5.34 | (2) | | | (0.69 | ) | | | (0.66 | ) | | | 22.48 | | | | 32.04 | | | | 66,378 | | | | 0.23 | | | | 0.24 | | | | 1.81 | | | | 4 | |
| | | | | | | | | | |
Investor Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2017 | | $ | 24.70 | | | $ | 0.40 | # | | $ | 4.91 | | | $ | (0.39 | ) | | $ | (0.18 | ) | | $ | 29.44 | | | | 21.65 | % | | $ | 494,771 | | | | 0.45 | % | | | 0.46 | % | | | 1.46 | % | | | 2 | % |
2016 | | | 22.58 | | | | 0.39 | # | | | 2.27 | (2) | | | (0.29 | ) | | | (0.25 | ) | | | 24.70 | | | | 11.84 | | | | 386,796 | | | | 0.42 | | | | 0.42 | | | | 1.70 | | | | 3 | |
2015 | | | 22.90 | | | | 0.37 | # | | | (0.21 | )(2) | | | (0.18 | ) | | | (0.30 | ) | | | 22.58 | | | | 0.70 | | | | 332,005 | | | | 0.41 | | | | 0.44 | | | | 1.62 | | | | 6 | |
2014 | | | 20.69 | | | | 0.34 | # | | | 2.40 | (2) | | | (0.24 | ) | | | (0.29 | ) | | | 22.90 | | | | 13.31 | | | | 334,833 | | | | 0.38 | | | | 0.48 | | | | 1.56 | | | | 5 | |
2013(5) | | | 16.07 | | | | 0.31 | # | | | 4.79 | (2) | | | (0.23 | ) | | | (0.25 | ) | | | 20.69 | | | | 31.95 | | | | 289,937 | | | | 0.38 | | | | 0.48 | | | | 1.66 | | | | 4 | |
| # | Calculated using the average shares outstanding method. |
| (1) | The ratio for the Defensive Market Strategies Fund includes the effect of fees paid indirectly which decreased the ratio by 0.00%, 0.01%, 0.00% and 0.00% for the years 2013, 2014, 2015 and 2017. |
| (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 Defensive Market Strategies Fund includes the effect of dividend expense on securities sold short which increased the ratio by 0.11% and 0.02% for the years 2013 and 2014. |
| (4) | 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. |
| (5) | 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. |
| | | | |
| 284 | | 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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2017 | | $ | 21.18 | | | $ | 0.39 | # | | $ | 2.85 | | | $ | (0.37 | ) | | $ | (1.29 | ) | | $ | 22.76 | | | | 15.54 | % | | $ | 1,128,445 | | | | 0.57 | %(3) | | | 0.58 | % | | | 1.78 | % | | | 38 | % |
2016 | | | 19.75 | | | | 0.41 | # | | | 2.30 | (4) | | | (0.46 | ) | | | (0.82 | ) | | | 21.18 | | | | 14.11 | | | | 920,433 | | | | 0.59 | (3) | | | 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 | (3) | | | 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 | (3) | | | 0.67 | | | | 1.40 | | | | 41 | |
2013(5) | | | 20.89 | | | | 0.39 | # | | | 6.90 | (4) | | | (0.89 | ) | | | (1.41 | ) | | | 25.88 | | | | 35.52 | | | | 253,988 | | | | 0.66 | (3) | | | 0.67 | | | | 1.61 | | | | 45 | |
| | | | | | | | | | |
Investor Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2017 | | $ | 21.20 | | | $ | 0.34 | # | | $ | 2.85 | | | $ | (0.32 | ) | | $ | (1.29 | ) | | $ | 22.78 | | | | 15.25 | % | | $ | 397,231 | | | | 0.83 | %(3) | | | 0.84 | % | | | 1.52 | % | | | 38 | % |
2016 | | | 19.46 | | | | 0.35 | # | | | 2.33 | (4) | | | (0.26 | ) | | | (0.68 | ) | | | 21.20 | | | | 13.84 | | | | 370,589 | | | | 0.86 | (3) | | | 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 | (3) | | | 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 | (3) | | | 0.91 | | | | 1.16 | | | | 41 | |
2013(5) | | | 16.18 | | | | 0.26 | # | | | 5.39 | (4) | | | (0.29 | ) | | | (0.54 | ) | | | 21.00 | | | | 35.22 | | | | 1,089,026 | | | | 0.90 | (3) | | | 0.91 | | | | 1.36 | | | | 45 | |
Growth Equity Fund | |
| | | | | | | | | | |
Institutional Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2017 | | $ | 21.08 | | | $ | 0.03 | # | | $ | 6.80 | | | $ | (0.02 | ) | | $ | (2.71 | ) | | $ | 25.18 | | | | 32.43 | % | | $ | 1,150,773 | | | | 0.72 | %(6) | | | 0.73 | % | | | 0.12 | % | | | 41 | % |
2016 | | | 22.25 | | | | — | †# | | | (0.22 | )(4) | | | — | | | | (0.95 | ) | | | 21.08 | | | | (0.98 | ) | | | 890,530 | | | | 0.75 | (6) | | | 0.76 | | | | 0.01 | | | | 24 | |
2015 | | | 25.80 | | | | 0.02 | # | | | 1.38 | (4) | | | — | | | | (4.95 | ) | | | 22.25 | | | | 5.67 | | | | 932,232 | | | | 0.77 | (6) | | | 0.78 | | | | 0.09 | | | | 79 | |
2014 | | | 28.49 | | | | (0.05 | )# | | | 2.92 | (4) | | | — | | | | (5.56 | ) | | | 25.80 | | | | 10.12 | | | | 244,281 | | | | 0.85 | (6) | | | 0.87 | | | | (0.12 | ) | | | 54 | |
2013(7) | | | 28.47 | | | | — | †# | | | 9.62 | (4) | | | — | | | | (9.60 | ) | | | 28.49 | | | | 34.83 | | | | 227,934 | | | | 0.84 | (6) | | | 0.88 | | | | — | | | | 83 | |
| | | | | | | | | | |
Investor Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2017 | | $ | 21.07 | | | $ | (0.04 | )# | | $ | 6.79 | | | $ | — | | | $ | (2.71 | ) | | $ | 25.11 | | | | 32.06 | % | | $ | 584,764 | | | | 0.98 | %(6) | | | 0.99 | % | | | (0.14 | )% | | | 41 | % |
2016 | | | 22.02 | | | | (0.05 | )# | | | (0.24 | )(4) | | | — | | | | (0.66 | ) | | | 21.07 | | | | (1.30 | ) | | | 424,210 | | | | 1.01 | (6) | | | 1.02 | | | | (0.26 | ) | | | 24 | |
2015 | | | 22.92 | | | | (0.05 | )# | | | 1.27 | (4) | | | — | | | | (2.12 | ) | | | 22.02 | | | | 5.44 | | | | 483,385 | | | | 1.04 | (6) | | | 1.06 | | | | (0.21 | ) | | | 79 | |
2014 | | | 23.02 | | | | (0.08 | )# | | | 2.36 | (4) | | | — | | | | (2.38 | ) | | | 22.92 | | | | 9.93 | | | | 1,240,254 | | | | 1.06 | (6) | | | 1.11 | | | | (0.33 | ) | | | 54 | |
2013(7) | | | 20.26 | | | | (0.05 | )# | | | 6.92 | (4) | | | — | | | | (4.11 | ) | | | 23.02 | | | | 34.52 | | | | 1,190,710 | | | | 1.05 | (6) | | | 1.12 | | | | (0.22 | ) | | | 83 | |
| † | 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) | The ratio for the Value Equity Fund includes the effect of fees paid indirectly which decreased the ratio by 0.00% for the years 2013, 2014, 2015, 2016 and 2017. |
| (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, 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. |
| (6) | The ratio for the Growth Equity Fund includes the effect of fees paid indirectly which decreased the ratio by 0.01% for the year 2013, and 0.00% for the years 2014, 2015, 2016 and 2017. |
| (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 0.05%, 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. | | 285 |
FINANCIAL HIGHLIGHTS (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | | | Ratios to Average Net Assets | | | | |
| | | Net Asset
Value,
Beginning
of Year | | | Net
Investment
Income/
(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 | |
Small Cap Equity Fund | |
| | | | | | | | | | |
Institutional Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2017 | | $ | 17.53 | | | $ | 0.02 | # | | $ | 2.24 | | | $ | (0.03 | ) | | $ | (1.40 | ) | | $ | 18.36 | | | | 12.98 | % | | $ | 293,953 | | | | 0.98 | %(3) | | | 1.00 | % | | | 0.09 | % | | | 80 | % |
2016 | | | 15.14 | | | | 0.06 | # | | | 2.59 | (4) | | | (0.07 | ) | | | (0.19 | ) | | | 17.53 | | | | 17.48 | | | | 265,627 | | | | 1.01 | (3) | | | 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 | (3) | | | 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 | (3) | | | 0.99 | | | | 0.27 | | | | 103 | |
2013(5) | | | 20.78 | | | | 0.12 | # | | | 7.73 | (4) | | | (0.16 | ) | | | (7.53 | ) | | | 20.94 | | | | 38.39 | | | | 84,139 | | | | 0.92 | (3) | | | 0.94 | | | | 0.45 | | | | 161 | |
| | | | | | | | | | |
Investor Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2017 | | $ | 17.56 | | | $ | (0.03 | )# | | $ | 2.24 | | | $ | — | | | $ | (1.40 | ) | | $ | 18.37 | | | | 12.67 | % | | $ | 261,943 | | | | 1.25 | %(3) | | | 1.27 | % | | | (0.17 | )% | | | 80 | % |
2016 | | | 15.17 | | | | 0.02 | # | | | 2.59 | (4) | | | (0.03 | ) | | | (0.19 | ) | | | 17.56 | | | | 17.17 | | | | 266,994 | | | | 1.27 | (3) | | | 1.30 | | | | 0.11 | | | | 77 | |
2015 | | | 17.08 | | | | 0.02 | # | | | (1.04 | )(4) | | | — | | | | (0.89 | ) | | | 15.17 | | | | (5.91 | ) | | | 236,850 | | | | 1.24 | (3) | | | 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 | (3) | | | 1.24 | | | | 0.03 | | | | 103 | |
2013(5) | | | 15.94 | | | | 0.04 | # | | | 5.97 | (4) | | | (0.04 | ) | | | (3.72 | ) | | | 18.19 | | | | 38.09 | | | | 490,706 | | | | 1.16 | (3) | | | 1.19 | | | | 0.22 | | | | 161 | |
International Equity Index Fund | |
| | | | | | | | | | |
Institutional Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2017 | | $ | 8.86 | | | $ | 0.25 | # | | $ | 1.93 | | | $ | (0.25 | ) | | $ | (0.03 | ) | | $ | 10.76 | | | | 24.69 | % | | $ | 188,122 | | | | 0.41 | % | | | 0.35 | % | | | 2.45 | % | | | 4 | % |
2016 | | | 8.94 | | | | 0.23 | # | | | (0.09 | )(4) | | | (0.22 | ) | | | — | | | | 8.86 | | | | 1.63 | | | | 133,021 | | | | 0.57 | | | | 0.65 | | | | 2.61 | | | | 6 | |
2015(6) | | | 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) | The ratio for the Small Cap Equity Fund includes the effect of fees paid indirectly which decreased the ratio by 0.01%, 0.01%, 0.02%, 0.01%, and 0.01% for the years 2013, 2014, 2015, 2016, and 2017. |
| (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 $0.01 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. |
| (6) | 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. |
| | | | |
| 286 | | 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 | |
International Equity Fund | |
| | | | | | | | | | |
Institutional Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2017 | | $ | 13.16 | | | $ | 0.25 | # | | $ | 3.65 | | | $ | (0.25 | ) | | $ | (1.09 | ) | | $ | 15.72 | | | | 29.85 | % | | $ | 1,279,089 | | | | 0.92 | %(3)(4) | | | 0.93 | %(4) | | | 1.63 | % | | | 42 | % |
2016 | | | 13.14 | | | | 0.27 | # | | | 0.13 | (5) | | | (0.27 | ) | | | (0.11 | ) | | | 13.16 | | | | 2.96 | | | | 1,017,929 | | | | 1.00 | (3)(4) | | | 1.01 | (4) | | | 2.09 | | | | 33 | |
2015 | | | 14.25 | | | | 0.22 | # | | | (0.50 | )(5) | | | (0.26 | ) | | | (0.57 | ) | | | 13.14 | | | | (1.93 | ) | | | 1,030,729 | | | | 1.03 | (3)(4) | | | 1.05 | (4) | | | 1.49 | | | | 43 | |
2014 | | | 15.61 | | | | 0.36 | # | | | (1.26 | )(5) | | | (0.46 | ) | | | — | | | | 14.25 | | | | (5.80 | ) | | | 235,545 | | | | 1.13 | (3)(4) | | | 1.20 | (4) | | | 2.36 | | | | 36 | |
2013(6) | | | 13.47 | | | | 0.24 | # | | | 2.24 | (5) | | | (0.34 | ) | | | — | | | | 15.61 | | | | 18.49 | | | | 269,499 | | | | 1.11 | (3)(4) | | | 1.25 | (4) | | | 1.69 | | | | 51 | |
| | | | | | | | | | |
Investor Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2017 | | $ | 13.18 | | | $ | 0.21 | # | | $ | 3.66 | | | $ | (0.22 | ) | | $ | (1.09 | ) | | $ | 15.74 | | | | 29.50 | % | | $ | 345,545 | | | | 1.18 | %(3)(4) | | | 1.19 | %(4) | | | 1.37 | % | | | 42 | % |
2016 | | | 13.18 | | | | 0.24 | # | | | 0.11 | (5) | | | (0.24 | ) | | | (0.11 | ) | | | 13.18 | | | | 2.62 | | | | 264,295 | | | | 1.27 | (3)(4) | | | 1.28 | (4) | | | 1.81 | | | | 33 | |
2015 | | | 14.03 | | | | 0.24 | # | | | (0.55 | )(5) | | | (0.12 | ) | | | (0.42 | ) | | | 13.18 | | | | (2.16 | ) | | | 245,976 | | | | 1.35 | (3)(4) | | | 1.39 | (4) | | | 1.68 | | | | 43 | |
2014 | | | 15.24 | | | | 0.32 | # | | | (1.23 | )(5) | | | (0.30 | ) | | | — | | | | 14.03 | | | | (6.00 | ) | | | 1,143,722 | | | | 1.37 | (3)(4) | | | 1.44 | (4) | | | 2.09 | | | | 36 | |
2013(6) | | | 13.07 | | | | 0.20 | # | | | 2.18 | (5) | | | (0.21 | ) | | | — | | | | 15.24 | | | | 18.23 | | | | 1,147,181 | | | | 1.35 | (3)(4) | | | 1.49 | (4) | | | 1.44 | | | | 51 | |
Emerging Markets Equity Fund | |
| | | | | | | | | | |
Institutional Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2017 | | $ | 8.18 | | | $ | 0.08 | # | | $ | 2.85 | | | $ | (0.11 | ) | | $ | — | | | $ | 11.00 | | | | 35.80 | % | | $ | 404,641 | | | | 1.30 | %(7) | | | 1.31 | % | | | 0.83 | % | | | 56 | % |
2016 | | | 7.34 | | | | 0.08 | # | | | 0.90 | (5) | | | (0.14 | ) | | | — | | | | 8.18 | | | | 13.46 | | | | 290,082 | | | | 1.30 | (7) | | | 1.48 | | | | 0.98 | | | | 54 | |
2015 | | | 9.09 | | | | 0.11 | # | | | (1.83 | )(5) | | | (0.03 | ) | | | — | | | | 7.34 | | | | (18.93 | ) | | | 272,123 | | | | 1.28 | (7) | | | 1.50 | | | | 1.36 | | | | 39 | |
2014 | | | 9.75 | | | | 0.11 | # | | | (0.51 | )(5) | | | (0.07 | ) | | | (0.19 | ) | | | 9.09 | | | | (4.14 | ) | | | 45,058 | | | | 1.25 | | | | 1.63 | | | | 1.07 | | | | 39 | |
2013(8)(9) | | | 10.00 | | | | (0.01 | )# | | | (0.24 | )(5) | | | — | | | | — | | | | 9.75 | | | | (2.50 | ) | | | 46,420 | | | | 1.25 | | | | 1.55 | | | | (0.34 | ) | | | 6 | |
| | | | | | | | | | |
Investor Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2017 | | $ | 8.19 | | | $ | 0.06 | # | | $ | 2.84 | | | $ | (0.09 | ) | | $ | — | | | $ | 11.00 | | | | 35.37 | % | | $ | 94,346 | | | | 1.57 | %(7) | | | 1.66 | % | | | 0.57 | % | | | 56 | % |
2016 | | | 7.35 | | | | 0.06 | # | | | 0.91 | (5) | | | (0.13 | ) | | | — | | | | 8.19 | | | | 13.20 | | | | 45,106 | | | | 1.56 | (7) | | | 1.87 | | | | 0.73 | | | | 54 | |
2015 | | | 9.09 | | | | 0.05 | # | | | (1.79 | )(5) | | | — | | | | — | | | | 7.35 | | | | (19.14 | ) | | | 25,659 | | | | 1.51 | (7) | | | 1.83 | | | | 0.58 | | | | 39 | |
2014 | | | 9.75 | | | | 0.08 | # | | | (0.51 | )(5) | | | (0.04 | ) | | | (0.19 | ) | | | 9.09 | | | | (4.38 | ) | | | 255,202 | | | | 1.50 | | | | 1.84 | | | | 0.81 | | | | 39 | |
2013(8)(9) | | | 10.00 | | | | (0.01 | )# | | | (0.24 | )(5) | | | — | | | | — | | | | 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) | The ratio for the International Equity Fund includes the effect of fees paid indirectly which decreased the ratio by 0.00% for the years 2013, 2014, 2015, 2016 and 2017. |
| (4) | The ratio for the International Equity Fund includes the effect of dividend expense on securities sold short which increased the ratio by 0.15%, 0.17%, 0.17%, 0.14% and 0.08% for the years 2013, 2014, 2015, 2016 and 2017. |
| (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 0.03% for Institutional Class and Investor Class, respectively. |
| (7) | 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, 2016 and 2017. |
| (8) | 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. |
| (9) | 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. | | 287 |
Inflation Protected Bond Fund (Unaudited)
The Fund was actively managed and was primarily comprised of U.S. Treasury Inflation Protected Securities (“TIPS”) with an average dollar-weighted duration (a calculation that measures the sensitivity of a bond or bond fund 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, 2017 (2.21% versus 3.01%).
TIPS were positive for three quarters in 2017, with the benchmark index rising 3.01%. Inflation was relatively muted throughout much of the year despite continued strength in economic conditions. An overweight to investment grade corporate bonds along with allocations to asset-backed securities, commercial mortgage-backed securities, mortgages and sovereign securities were the primary contributors to the Fund’s performance. This lack of inflation provided support for U.S. government bonds to produce better than expected returns. However, a slight rebound in inflation expectations during the second half of the year helped TIPS to post a positive return for 2017. The 10-year breakeven inflation levels ended 2017 at 1.96%
The Fund was consistently managed to provide inflation protection and income consistent with investment in inflation-indexed debt securities.
Certain strategies involving derivatives were utilized during 2017. Interest rate futures and interest rate options were utilized to manage duration and yield curve exposure and to express active views on the valuations of securities. These securities had a negative 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 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. Derivatives involve different risks from, and in some respects greater than, those associated with investing directly in securities, currencies or other instruments. Derivatives may be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in value of the underlying instruments may produce disproportionate losses to the Fund. It is possible to lose money by investing in the Fund.
At December 31, 2017, 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 | | | 84.5 | |
Money Market Funds | | | 8.0 | |
Foreign Government Inflation-Linked Bonds | | | 7.0 | |
| | | | |
| | | 99.5 | |
| | | | |
288
Inflation Protected Bond Fund (Unaudited)
| | | | | | |
| Average Annual Total Returns as of 12/31/17 |
| | | Institutional
Class | | Investor
Class* | | Benchmark** |
One Year | | 2.59% | | 2.21% | | 3.01% |
Five Year | | N/A | | (0.56)% | | 0.13% |
Ten Year | | N/A | | N/A | | N/A |
Since Inception(1) | | 0.84% | | 2.99% | | 3.81% |
Inception Date | | 04/30/15 | | 06/25/09 | | |
Total Fund Operating Expenses (May 1, 2017 Prospectus as amended July 1, 2017)(2) | | 0.39% | | 0.69% | | |
(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.
289
| | |
INFLATION PROTECTED BOND FUND SCHEDULE OF INVESTMENTS | | December 31, 2017 |
| | | | | | | | | | | | | | |
| | | | | Par | | | | | | Value | |
U.S. TREASURY OBLIGATIONS — 84.5% | |
U.S. Treasury Inflationary Index Bonds | | | | | | | | | | | | | | |
1.38%, 01/15/20 | | | | $ | 175,000 | | | | | | | $ | 204,897 | |
0.13%, 04/15/20 | | | | | 6,884,000 | | | | | | | | 7,237,641 | |
1.25%, 07/15/20 | | | | | 3,240,000 | | | | | | | | 3,784,517 | |
1.13%, 01/15/21 | | | | | 5,325,000 | | | | | | | | 6,184,667 | |
0.13%, 04/15/21 | | | | | 5,770,000 | | | | | | | | 5,982,258 | |
0.63%, 07/15/21 | | | | | 6,115,000 | | | | | | | | 6,822,310 | |
0.13%, 01/15/22 | | | | | 4,149,200 | | | | | | | | 4,504,549 | |
0.13%, 04/15/22 | | | | | 5,465,000 | | | | | | | | 5,505,115 | |
0.13%, 07/15/22 | | | | | 4,945,000 | | | | | | | | 5,298,370 | |
0.13%, 01/15/23 | | | | | 6,964,000 | | | | | | | | 7,386,227 | |
0.38%, 07/15/23 | | | | | 6,814,000 | | | | | | | | 7,278,636 | |
0.63%, 01/15/24 | | | | | 8,061,000 | | | | | | | | 8,673,365 | |
0.13%, 07/15/24 | | | | | 5,788,000 | | | | | | | | 5,943,920 | |
0.25%, 01/15/25 | | | | | 4,965,000 | | | | | | | | 5,126,481 | |
2.38%, 01/15/25‡‡ | | | | | 2,740,200 | | | | | | | | 4,087,406 | |
0.38%, 07/15/25 | | | | | 5,555,000 | | | | | | | | 5,789,178 | |
0.63%, 01/15/26 | | | | | 4,198,000 | | | | | | | | 4,429,442 | |
2.00%, 01/15/26 | | | | | 2,020,000 | | | | | | | | 2,824,649 | |
0.13%, 07/15/26 | | | | | 4,165,000 | | | | | | | | 4,189,439 | |
0.38%, 01/15/27 | | | | | 830,000 | | | | | | | | 841,766 | |
2.38%, 01/15/27 | | | | | 1,675,000 | | | | | | | | 2,397,790 | |
0.38%, 07/15/27 | | | | | 4,100,000 | | | | | | | | 4,113,636 | |
1.75%, 01/15/28 | | | | | 2,655,000 | | | | | | | | 3,515,654 | |
3.63%, 04/15/28 | | | | | 1,675,000 | | | | | | | | 3,354,654 | |
2.50%, 01/15/29 | | | | | 2,705,000 | | | | | | | | 3,772,056 | |
3.88%, 04/15/29 | | | | | 1,840,000 | | | | | | | | 3,766,968 | |
3.38%, 04/15/32 | | | | | 482,100 | | | | | | | | 927,633 | |
2.13%, 02/15/40 | | | | | 1,607,600 | | | | | | | | 2,389,571 | |
2.13%, 02/15/41 | | | | | 1,483,900 | | | | | | | | 2,192,347 | |
0.75%, 02/15/42 | | | | | 4,809,400 | | | | | | | | 5,307,569 | |
0.63%, 02/15/43 | | | | | 1,242,000 | | | | | | | | 1,305,473 | |
1.38%, 02/15/44 | | | | | 3,398,700 | | | | | | | | 4,157,285 | |
0.75%, 02/15/45 | | | | | 4,125,000 | | | | | | | | 4,347,015 | |
1.00%, 02/15/46 | | | | | 1,205,000 | | | | | | | | 1,341,403 | |
| | | | | | | | | | | | | | |
Total U.S. Treasury Obligations
(Cost $143,533,705) | | | | | | | | | | | | | 144,983,887 | |
| | | | | | | | | | | | | | |
FOREIGN GOVERNMENT INFLATION-LINKED BONDS — 7.0% | | | | | | | | | | | | | | |
Canada — 0.4% | | | | | | | | | | | | | | |
Canadian Government Real Return Bond 4.25%, 12/01/26(C) | | | | | 405,000 | | | | | | | | 643,970 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | | | | Par | | | | | | Value | |
Italy — 2.3% | | | | | | | | | | | | | | |
Italy Buoni Poliennali Del Tesoro | | | | | | | | | | | | | | |
1.65%, 04/23/20(E) | | | | $ | 2,267,000 | | | | | | | $ | 2,871,486 | |
1.25%, 10/27/20(E) | | | | | 533,000 | | | | | | | | 674,506 | |
2.70%, 03/01/47(E) | | | | | 360,000 | | | | | | | | 393,816 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 3,939,808 | |
| | | | | | | | | | | | | | |
Japan — 2.4% | | | | | | | | | | | | | | |
Japanese Government Inflation-Linked Bond | | | | | | | | | | | | | | |
0.10%, 09/10/24(J) | | | | | 336,100,000 | | | | | | | | 3,160,881 | |
0.10%, 03/10/26(J) | | | | | 94,400,000 | | | | | | | | 894,428 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 4,055,309 | |
| | | | | | | | | | | | | | |
New Zealand — 1.9% | | | | | | | | | | | | | | |
New Zealand Government Bond | | | | | | | | | | | | | | |
3.00%, 09/20/30(Z) | | | | | 2,403,000 | | | | | | | | 2,083,747 | |
2.50%, 09/20/35(Z) | | | | | 1,135,000 | | | | | | | | 921,351 | |
2.50%, 09/20/40(Z) | | | | | 434,000 | | | | | | | | 340,450 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 3,345,548 | |
| | | | | | | | | | | | | | |
Total Foreign Government Inflation-Linked Bonds
(Cost $11,436,692) | | | | | | | | | | | | | 11,984,635 | |
| | | | | | | | | | | | | | |
| | | | |
| | | | | Shares | | | | | | | |
MONEY MARKET FUNDS — 8.0% | | | | | | | | | |
GuideStone Money Market Fund (Investor Class)¥
(Cost $13,737,989) | | | | | 13,737,989 | | | | | | | | 13,737,989 | |
| | | | | | | | | | | | | | |
TOTAL INVESTMENTS — 99.5%
(Cost $168,708,386) | | | | | | | | 170,706,511 | |
Other Assets in Excess of Liabilities — 0.5% | | | | | | | | | | | | | 898,784 | |
| | | | | | | | | | | | | | |
NET ASSETS — 100.0% | | | | | | | | | | | | $ | 171,605,295 | |
| | | | | | | | | | | | | | |
Futures Contracts outstanding at December 31, 2017:
| | | | | | | | | | | | | | | | | | | | |
Future Type | | Expiration Date | | | Open Long
(Short)
Contracts | | | Notional
Market Value
of Contracts | | | Counterparty | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Euro-BOBL | | | 03/2018 | | | | (32 | ) | | $ | (5,053,192 | ) | | | UBS | | | $ | 38,998 | |
Euro-BTP | | | 03/2018 | | | | (6 | ) | | | (980,085 | ) | | | UBS | | | | 24,872 | |
Euro-Bund | | | 03/2018 | | | | (24 | ) | | | (4,655,802 | ) | | | UBS | | | | 50,432 | |
Euro-Buxl® | | | 03/2018 | | | | 9 | | | | 1,769,467 | | | | UBS | | | | (39,496 | ) |
| | | | |
| 290 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | |
Future Type | | Expiration Date | | Open Long
(Short)
Contracts | | Notional
Market Value
of Contracts | | | Counterparty | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Euro-Schatz | | 03/2018 | | (27) | | $ | (3,627,537 | ) | | | UBS | | | $ | 6,216 | |
10-Year Japanese Bond | | 03/2018 | | (3) | | | (4,014,555 | ) | | | UBS | | | | 4,077 | |
10-Year Australian Treasury Bond | | 03/2018 | | (26) | | | (2,620,163 | ) | | | UBS | | | | 23,297 | |
10-Year Canadian Bond | | 03/2018 | | (5) | | | (536,118 | ) | | | UBS | | | | 7,786 | |
10-Year U.S. Treasury Note | | 03/2018 | | 25 | | | 3,101,172 | | | | UBS | | | | (14,930 | ) |
10-Year U.S. Ultra Note | | 03/2018 | | 15 | | | 2,003,437 | | | | UBS | | | | (9,578 | ) |
Long U.S. Treasury Bond | | 03/2018 | | (2) | | | (306,000 | ) | | | UBS | | | | 667 | |
Ultra Long U.S. Treasury Bond | | 03/2018 | | (24) | | | (4,023,750 | ) | | | UBS | | | | (18,564 | ) |
2-Year U.S. Treasury Note | | 03/2018 | | 5 | | | 1,070,547 | | | | UBS | | | | (937 | ) |
5-Year U.S. Treasury Note | | 03/2018 | | 26 | | | 3,020,266 | | | | UBS | | | | (15,311 | ) |
90-Day Euro | | 12/2018 | | 96 | | | 23,485,200 | | | | UBS | | | | (13,896 | ) |
90-Day Euro | | 12/2019 | | (96) | | | (23,440,800 | ) | | | UBS | | | | 16,764 | |
| | | | | | | | | | | | | | | | |
Total Futures Contracts outstanding at December 31, 2017 | | | | | | $ | (14,807,913 | ) | | | | | | $ | 60,397 | |
| | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts outstanding at December 31, 2017:
| | | | | | | | | | | | | | | | | | | | |
Expiration Date | | Currency Purchased | | Amount of
Currency
Purchased | | | Currency Sold | | Amount of
Currency Sold | | | Counterparty | | | Net Unrealized
Appreciation
(Depreciation) | |
02/05/18 | | U.S. Dollars | | | 4,362,047 | | | Japanese Yen | | | 486,161,000 | | | | DEUT | | | $ | 39,614 | |
02/14/18 | | U.S. Dollars | | | 690,000 | | | Mexican Pesos | | | 12,943,365 | | | | DEUT | | | | 37,337 | |
02/14/18 | | U.S. Dollars | | | 568,312 | | | Mexican Pesos | | | 10,682,772 | | | | DEUT | | | | 29,639 | |
02/14/18 | | Swedish Kronor | | | 22,202,528 | | | Euro | | | 2,245,000 | | | | MSCS | | | | 13,173 | |
01/04/18 | | Euro | | | 425,000 | | | U.S. Dollars | | | 503,719 | | | | HSBC | | | | 6,346 | |
01/04/18 | | New Zealand Dollars | | | 208,000 | | | U.S. Dollars | | | 143,401 | | | | WEST | | | | 4,001 | |
02/05/18 | | U.S. Dollars | | | 3,212 | | | Japanese Yen | | | 360,000 | | | | BOA | | | | 11 | |
| | | | | | | | | | | | | | | | | | | | |
Subtotal Appreciation | | | | | | | | | | | | | | | | | | $ | 130,121 | |
| | | | | | | | | | | | | | | | | | | | |
02/14/18 | | Euro | | | 506,898 | | | Swedish Kronor | | | 5,006,389 | | | | BOA | | | $ | (2,154 | ) |
02/14/18 | | U.S. Dollars | | | 998,101 | | | Euro | | | 835,000 | | | | DEUT | | | | (6,488 | ) |
01/04/18 | | U.S. Dollars | | | 275,500 | | | New Zealand Dollars | | | 400,000 | | | | NOMURA | | | | (7,965 | ) |
02/14/18 | | Euro | | | 1,122,500 | | | Swedish Kronor | | | 11,130,542 | | | | DEUT | | | | (10,165 | ) |
01/04/18 | | U.S. Dollars | | | 488,468 | | | Canadian Dollars | | | 629,000 | | | | WEST | | | | (11,961 | ) |
02/14/18 | | Mexican Pesos | | | 24,489,605 | | | U.S. Dollars | | | 1,259,347 | | | | DEUT | | | | (24,471 | ) |
01/04/18 | | U.S. Dollars | | | 4,396,673 | | | Euro | | | 3,685,000 | | | | HSBC | | | | (25,895 | ) |
01/04/18 | | U.S. Dollars | | | 2,994,254 | | | New Zealand Dollars | | | 4,378,000 | | | | BOA | | | | (108,265 | ) |
| | | | | | | | | | | | | | | | | | | | |
Subtotal Depreciation | | | | | | | | | | | | | | | | | | $ | (197,364 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Forward Foreign Currency Contracts outstanding at December 31, 2017 | | | | | | | $ | (67,243 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 291 |
INFLATION PROTECTED BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Swap agreements outstanding at December 31, 2017:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Reference Obligation | | Fixed
Deal
(Pay) Rate | | | Maturity Date | | | Counterparty | | | Currency | | | Notional
Amount | | | Market
Value | | | Upfront
Premiums
Paid/
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
1-Day US Federal Fund Effective Rate | | | (1.90 | )% | | | 5/31/2022 | | | | CME | | | | USD | | | | 2,540,000 | | | $ | 7,859 | | | $ | — | | | $ | 7,859 | |
1-Day US Federal Fund Effective Rate | | | 1.97 | % | | | 5/31/2022 | | | | LCH | | | | USD | | | | 250,000 | | | | (103 | ) | | | — | | | | (103 | ) |
1-Day US Federal Fund Effective Rate | | | 1.93 | % | | | 5/31/2022 | | | | CME | | | | USD | | | | 130,000 | | | | (277 | ) | | | — | | | | (277 | ) |
3-Month LIBOR | | | (2.60 | )% | | | 11/15/2043 | | | | CME | | | | USD | | | | 450,000 | | | | (1,648 | ) | | | — | | | | (1,648 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | 5,831 | | | $ | — | | | $ | 5,831 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Swap agreements with CME, LCH and ICE counterparties are centrally cleared swaps.
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2017, 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 | | $ | 11,984,635 | | | $ | — | | | $ | 11,984,635 | | | $ | — | |
Money Market Fund | | | 13,737,989 | | | | 13,737,989 | | | | — | | | | — | |
U.S. Treasury Obligations | | | 144,983,887 | | | | — | | | | 144,983,887 | | | | — | |
| | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | $ | 170,706,511 | | | $ | 13,737,989 | | | $ | 156,968,522 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | $ | 130,121 | | | $ | — | | | $ | 130,121 | | | $ | — | |
Futures Contracts | | | 173,109 | | | | 173,109 | | | | — | | | | — | |
Swap Agreements | | | 7,859 | | | | — | | | | 7,859 | | | | — | |
| | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | $ | 311,089 | | | $ | 173,109 | | | $ | 137,980 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | $ | (197,364 | ) | | $ | — | | | $ | (197,364 | ) | | $ | — | |
Futures Contracts | | | (112,712 | ) | | | (112,712 | ) | | | — | | | | — | |
Swap Agreements | | | (2,028 | ) | | | — | | | | (2,028 | ) | | | — | |
| | | | | | | | | | | | | | | | |
Total Liabilities - Other Financial Instruments | | $ | (312,104 | ) | | $ | (112,712 | ) | | $ | (199,392 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
***Other financial instruments are derivative instruments, such as futures contracts, 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 preceding “Futures Contracts outstanding”, “Forward Foreign Currency Contracts outstanding” and ’Swap agreements outstanding” disclosures.
There were no transfers between Level 1, Level 2 and Level 3 during the year ended December 31, 2017.
| | | | |
| 292 | | See Notes to Financial Statements. | | |
Global Real Estate Securities Fund (Unaudited)
Global real estate securities performed well as strong economic data around the globe bolstered broad performance across the asset class. Property fundamentals remained vibrant throughout 2017 as demand for an array of property types persisted. For 2017, the FTSE EPRA/NAREIT Developed Index (Net) rose 10.36%. The Fund provides exposure to real estate by investing in equity securities of real estate investment trusts (“REITs”) and other real estate related companies. The Fund was diversified among property sectors and geographical locations. The Fund outperformed its benchmark, the FTSE EPRA/NAREIT Developed Index (Net), for the 2017 calendar year (10.72% vs. 10.36%). Stock selection in the office and residential sectors were particularly strong while an underweight and poor stock selection in the diversified sector, along with stock selection in the healthcare sector, weighed on performance.
In 2017, 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, global real estate securities. This Fund invests substantial assets in REITs that involve equity market risks as well as risks linked directly to the real estate market. Risks include declines in the value of real estate, general and economic conditions, changes in the value of the underlying property and defaults by borrowers. The value of assets in the real estate industry may go through cycles of relative underperformance and outperformance in comparison to equity securities markets in general. Securities of foreign issuers may be negatively impacted by political events, economic conditions or inefficient, illiquid or unregulated markets in foreign countries, and they also may be subject to inadequate regulatory or accounting standards, which may increase investment risk. Investing in emerging markets may involve greater risks than investing in more developed foreign markets because, among other things, emerging markets often have more political and economic instability. It is possible to lose money by investing in the Fund.
At December 31, 2017, 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.
| | | | |
| | | % | |
Real Estate | | | 48.6 | |
Foreign Common Stocks | | | 47.5 | |
Money Market Funds | | | 3.2 | |
Consumer Discretionary | | | 0.9 | |
U.S. Treasury Obligation | | | 0.2 | |
Information Technology | | | 0.1 | |
| | | | |
| | | 100.5 | |
| | | | |
| | | | |
| | See Notes to Financial Statements. | | 293 |
Global Real Estate Securities Fund (Unaudited)
| | | | | | |
Average Annual Total Returns as of 12/31/17 |
| | | Institutional Class | | Investor Class* | | Benchmark** |
One Year | | 11.05% | | 10.72% | | 10.36% |
Five Year | | N/A | | 6.33% | | 5.92% |
Ten Year | | N/A | | 5.70% | | 5.41% |
Since Inception(1) | | 4.81% | | 3.52% | | 3.07% |
Inception Date | | 4/30/15 | | 12/29/06 | | |
Total Fund Operating Expenses (May 1, 2017 Prospectus as amended July 1, 2017)(2) | | 0.88% | | 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, 2007 to December 31, 2017, 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.
| | | | |
| 294 | | See Notes to Financial Statements. | | |
| | |
| GLOBAL REAL ESTATE SECURITIES FUND SCHEDULE OF INVESTMENTS | | December 31, 2017 |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
COMMON STOCKS — 49.6% | | | | | | | | | | | | |
Consumer Discretionary — 0.9% | | | | | | | | | | | | |
Extended Stay America, Inc. | | | 102,924 | | | | | | | $ | 1,955,556 | |
| | | | | | | | | | | | |
Information Technology — 0.1% | | | | | | | | | | | | |
Switch, Inc. Class A | | | 15,707 | | | | | | | | 285,710 | |
| | | | | | | | | | | | |
Real Estate — 48.6% | | | | | | | | | | | | |
Agree Realty Corporation REIT | | | 35,113 | | | | | | | | 1,806,213 | |
Alexandria Real Estate Equities, Inc. REIT | | | 27,389 | | | | | | | | 3,576,729 | |
American Homes 4 Rent Class A REIT | | | 51,220 | | | | | | | | 1,118,645 | |
American Tower Corporation REIT | | | 11,216 | | | | | | | | 1,600,187 | |
Apartment Investment & Management Co. Class A REIT | | | 23,010 | | | | | | | | 1,005,767 | |
AvalonBay Communities, Inc. REIT | | | 13,860 | | | | | | | | 2,472,763 | |
Boston Properties, Inc. REIT | | | 25,030 | | | | | | | | 3,254,651 | |
Brandywine Realty Trust REIT | | | 54,504 | | | | | | | | 991,428 | |
Camden Property Trust REIT | | | 53,816 | | | | | | | | 4,954,301 | |
CareTrust REIT Inc.D | | | 93,527 | | | | | | | | 1,567,512 | |
CoreSite Realty Corporation REITD | | | 13,686 | | | | | | | | 1,558,835 | |
CubeSmart REIT | | | 72,522 | | | | | | | | 2,097,336 | |
CyrusOne, Inc. REIT | | | 9,910 | | | | | | | | 589,942 | |
DDR Corporation REIT | | | 58,582 | | | | | | | | 524,895 | |
Douglas Emmett, Inc. REITD | | | 54,129 | | | | | | | | 2,222,537 | |
Duke Realty Corporation REIT | | | 33,004 | | | | | | | | 898,039 | |
EastGroup Properties, Inc. REIT | | | 22,003 | | | | | | | | 1,944,625 | |
Empire State Realty Trust, Inc. Class A REIT | | | 58,716 | | | | | | | | 1,205,439 | |
EPR Properties REIT | | | 19,270 | | | | | | | | 1,261,414 | |
Equinix, Inc. REIT | | | 2,570 | | | | | | | | 1,164,775 | |
Equity LifeStyle Properties, Inc. REIT | | | 32,595 | | | | | | | | 2,901,607 | |
Equity Residential REIT | | | 31,481 | | | | | | | | 2,007,543 | |
Essex Property Trust, Inc. REIT | | | 7,554 | | | | | | | | 1,823,309 | |
Extra Space Storage, Inc. REIT | | | 30,792 | | | | | | | | 2,692,760 | |
Federal Realty Investment Trust REIT | | | 12,700 | | | | | | | | 1,686,687 | |
Forest City Realty Trust, Inc. Class A REIT | | | 22,848 | | | | | | | | 550,637 | |
Four Corners Property Trust, Inc. REIT | | | 40,988 | | | | | | | | 1,053,392 | |
GGP, Inc. REIT | | | 127,362 | | | | | | | | 2,978,997 | |
Healthcare Realty Trust, Inc. REITD | | | 58,149 | | | | | | | | 1,867,746 | |
Hudson Pacific Properties, Inc. REIT | | | 47,925 | | | | | | | | 1,641,431 | |
Invitation Homes, Inc. REIT | | | 93,985 | | | | | | | | 2,215,226 | |
Iron Mountain, Inc. REIT | | | 12,623 | | | | | | | | 476,266 | |
JBG SMITH Properties REITD | | | 42,697 | | | | | | | | 1,482,867 | |
Kilroy Realty Corporation REIT | | | 20,811 | | | | | | | | 1,553,541 | |
Liberty Property Trust REIT | | | 25,240 | | | | | | | | 1,085,572 | |
Life Storage, Inc. REIT | | | 6,390 | | | | | | | | 569,157 | |
Macerich Co. (The) REIT | | | 28,620 | | | | | | | | 1,879,762 | |
Mid-America Apartment Communities, Inc. REIT | | | 4,487 | | | | | | | | 451,213 | |
National Retail Properties, Inc. REIT | | | 26,926 | | | | | | | | 1,161,318 | |
New York, Inc. REIT D* | | | 85,873 | | | | | | | | 337,481 | |
Omega Healthcare Investors, Inc. REITD | | | 21,887 | | | | | | | | 602,768 | |
Pebblebrook Hotel Trust REITD | | | 68,425 | | | | | | | | 2,543,357 | |
Pennsylvania Real Estate Investment TrustD | | | 32,785 | | | | | | | | 389,814 | |
Physicians Realty Trust REIT | | | 72,030 | | | | | | | | 1,295,820 | |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
Prologis, Inc. REIT | | | 85,804 | | | | | | | $ | 5,535,216 | |
Public Storage REIT | | | 11,898 | | | | | | | | 2,486,682 | |
QTS Realty Trust, Inc. Class A REIT | | | 5,886 | | | | | | | | 318,786 | |
Regency Centers Corporation REIT | | | 22,349 | | | | | | | | 1,546,104 | |
Retail Properties of America, Inc. Class A REIT | | | 210,842 | | | | | | | | 2,833,716 | |
Rexford Industrial Realty, Inc. REIT | | | 88,511 | | | | | | | | 2,580,981 | |
Sabra Health Care, Inc. REIT | | | 47,866 | | | | | | | | 898,445 | |
Simon Property Group, Inc. REITD | | | 40,559 | | | | | | | | 6,965,603 | |
STORE Capital Corporation REITD | | | 71,191 | | | | | | | | 1,853,814 | |
Summit Hotel Properties, Inc. REIT | | | 67,186 | | | | | | | | 1,023,243 | |
Sunstone Hotel Investors, Inc. REITD | | | 200,945 | | | | | | | | 3,321,621 | |
Taubman Centers, Inc. REITD | | | 11,171 | | | | | | | | 730,918 | |
UDR, Inc. REIT | | | 27,296 | | | | | | | | 1,051,442 | |
Urban Edge Properties REIT | | | 43,446 | | | | | | | | 1,107,439 | |
Ventas, Inc. REIT | | | 40,758 | | | | | | | | 2,445,888 | |
Vornado Realty Trust REIT | | | 20,952 | | | | | | | | 1,638,027 | |
Welltower, Inc. REIT | | | 55,977 | | | | | | | | 3,569,653 | |
Weyerhaeuser Co. REIT | | | 44,931 | | | | | | | | 1,584,267 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 112,556,149 | |
| | | | | | | | | | | | |
Total Common Stocks
(Cost $113,529,394) | | | | | | | | | | | 114,797,415 | |
| | | | | | | | | | | | |
FOREIGN COMMON STOCKS — 47.5% | | | | | |
Australia — 5.5% | | | | | | | | | | | | |
Arena REIT | | | 57,060 | | | | | | | | 100,618 | |
Goodman Group REIT | | | 416,692 | | | | | | | | 2,737,544 | |
GPT Group (The) REIT | | | 646,635 | | | | | | | | 2,578,184 | |
Ingenia Communities Group REIT | | | 124,649 | | | | | | | | 268,430 | |
Investa Office Fund REIT | | | 145,072 | | | | | | | | 515,026 | |
Mirvac Group REIT | | | 833,456 | | | | | | | | 1,528,215 | |
Scentre Group REIT | | | 1,006,416 | | | | | | | | 3,290,223 | |
Viva Energy REIT | | | 153,612 | | | | | | | | 270,874 | |
Westfield Corporation REIT | | | 190,822 | | | | | | | | 1,412,955 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 12,702,069 | |
| | | | | | | | | | | | |
Austria — 0.6% | | | | | | | | | | | | |
BUWOG AG* | | | 37,724 | | | | | | | | 1,301,315 | |
| | | | | | | | | | | | |
Belgium — 0.3% | | | | | | | | | | | | |
Aedifica SA REIT | | | 5,463 | | | | | | | | 515,992 | |
VGP NV* | | | 1,896 | | | | | | | | 141,159 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 657,151 | |
| | | | | | | | | | | | |
Canada — 2.8% | | | | | | | | | | | | |
Allied Properties Real Estate Investment Trust | | | 26,975 | | | | | | | | 903,029 | |
Canadian Apartment Properties REIT | | | 59,806 | | | | | | | | 1,775,625 | |
Dream Office Real Estate Investment Trust | | | 60,299 | | | | | | | | 1,063,028 | |
First Capital Realty, Inc. | | | 56,710 | | | | | | | | 934,790 | |
Granite Real Estate Investment Trust | | | 23,846 | | | | | | | | 934,300 | |
Pure Industrial Real Estate Trust REIT | | | 89,117 | | | | | | | | 479,970 | |
SmartCentres Real Estate Investment Trust | | | 17,930 | | | | | | | | 440,904 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,531,646 | |
| | | | | | | | | | | | |
France — 3.8% | | | | | | | | | | | | |
Gecina SA REIT | | | 19,008 | | | | | | | | 3,509,959 | |
ICADE REIT | | | 5,657 | | | | | | | | 556,104 | |
| | | | |
| | See Notes to Financial Statements. | | 295 |
GLOBAL REAL ESTATE SECURITIES FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
Klepierre REIT | | | 33,706 | | | | | | | $ | 1,482,811 | |
Unibail-Rodamco SE REIT | | | 13,190 | | | | | | | | 3,323,465 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,872,339 | |
| | | | | | | | | | | | |
Germany — 4.1 % | | | | | | | | | | | | |
alstria office REIT-AG | | | 44,384 | | | | | | | | 686,978 | |
Deutsche EuroShop AG | | | 8,881 | | | | | | | | 361,820 | |
Deutsche Wohnen SE | | | 60,747 | | | | | | | | 2,657,470 | |
TAG Immobilien AG | | | 25,833 | | | | | | | | 490,972 | |
TLG Immobilien AGD | | | 30,840 | | | | | | | | 819,440 | |
VIB Vermoegen AG | | | 5,528 | | | | | | | | 140,615 | |
Vonovia SE | | | 88,030 | | | | | | | | 4,371,728 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 9,529,023 | |
| | | | | | | | | | | | |
Hong Kong — 7.8% | | | | | | | | | | | | |
CK Asset Holdings, Ltd. | | | 415,084 | | | | | | | | 3,628,668 | |
Hang Lung Properties, Ltd. | | | 763,245 | | | | | | | | 1,865,898 | |
Henderson Land Development Co., Ltd. | | | 259,000 | | | | | | | | 1,707,252 | |
Link REIT | | | 289,228 | | | | | | | | 2,682,065 | |
New World Development Co., Ltd.D | | | 1,090,767 | | | | | | | | 1,639,044 | |
Sino Land Co., Ltd. | | | 820,000 | | | | | | | | 1,452,581 | |
Sun Hung Kai Properties, Ltd. | | | 105,995 | | | | | | | | 1,769,104 | |
Swire Properties, Ltd. | | | 480,127 | | | | | | | | 1,548,628 | |
Wharf Real Estate Investment Co., Ltd.* | | | 215,748 | | | | | | | | 1,435,954 | |
Wheelock & Co., Ltd. | | | 36,000 | | | | | | | | 257,115 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 17,986,309 | |
| | | | | | | | | | | | |
Ireland — 0.6% | | | | | | | | | | | | |
Cairn Homes PLC* | | | 95,225 | | | | | | | | 223,370 | |
Green PLC REIT | | | 251,707 | | | | | | | | 483,217 | |
Hibernia REIT PLC REIT | | | 258,551 | | | | | | | | 468,436 | |
Irish Residential Properties REIT PLC | | | 143,092 | | | | | | | | 257,533 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,432,556 | |
| | | | | | | | | | | | |
Japan — 9.6% | | | | | | | | | | | | |
Activia Properties, Inc. REIT | | | 167 | | | | | | | | 699,570 | |
Daibiru Corporation | | | 19,400 | | | | | | | | 244,491 | |
Daiwa Office Investment Corporation REIT | | | 98 | | | | | | | | 516,636 | |
Frontier Real Estate Investment Corporation REIT | | | 129 | | | | | | | | 501,460 | |
Global One Real Estate Investment Corporation REIT | | | 442 | | | | | | | | 1,567,153 | |
Hulic Co., Ltd. | | | 37,549 | | | | | | | | 421,895 | |
Ichigo Hotel REIT Investment Corporation | | | 21 | | | | | | | | 22,775 | |
Invesco Office J-REIT, Inc. | | | 73 | | | | | | | | 70,943 | |
Japan Hotel Investment Corporation REIT | | | 686 | | | | | | | | 460,276 | |
Japan Logistics Fund, Inc. REIT | | | 466 | | | | | | | | 859,417 | |
Japan Real Estate Investment Corporation REIT | | | 214 | | | | | | | | 1,016,108 | |
Japan Rental Housing Investments, Inc. REIT | | | 572 | | | | | | | | 417,292 | |
Japan Retail Fund Investment Corporation REIT | | | 432 | | | | | | | | 792,112 | |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
Japan Senior Living Investment Corporation REIT | | | 147 | | | | | | | $ | 211,351 | |
Kenedix Office Investment Corporation REIT | | | 123 | | | | | | | | 698,647 | |
Mitsubishi Estate Co., Ltd. | | | 272,881 | | | | | | | | 4,746,810 | |
Mitsui Fudosan Co., Ltd. | | | 144,749 | | | | | | | | 3,243,765 | |
Mori Hills Investment Corporation REIT | | | 778 | | | | | | | | 940,436 | |
Mori Trust Sogo, Inc. REIT | | | 113 | | | | | | | | 157,252 | |
Nippon Building Fund, Inc. REIT | | | 128 | | | | | | | | 625,942 | |
Nippon Prologis REIT, Inc. | | | 241 | | | | | | | | 509,699 | |
NTT Urban Development Corporation | | | 93,900 | | | | | | | | 1,086,715 | |
Premier Investment Corporation REIT | | | 1,172 | | | | | | | | 1,108,810 | |
Sekisui House REIT, Inc.D | | | 321 | | | | | | | | 374,916 | |
Sumitomo Realty & Development Co., Ltd. | | | 29,223 | | | | | | | | 960,397 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 22,254,868 | |
| | | | | | | | | | | | |
Netherlands — 1.0% | | | | | | | | | | | | |
Eurocommercial Properties NV CVA REIT | | | 3,167 | | | | | | | | 137,975 | |
InterXion Holding NV* | | | 31,671 | | | | | | | | 1,866,372 | |
NSI NV REIT | | | 5,353 | | | | | | | | 223,289 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,227,636 | |
| | | | | | | | | | | | |
Norway — 0.1% | | | | | | | | | | | | |
Selvaag Bolig ASA | | | 34,533 | | | | | | | | 142,580 | |
| | | | | | | | | | | | |
Singapore — 3.0% | | | | | | | | | | | | |
APAC Realty, Ltd.* | | | 167,785 | | | | | | | | 109,770 | |
CapitaLand Commercial Trust REIT | | | 311,340 | | | | | | | | 449,277 | |
CapitaLand, Ltd. | | | 133,155 | | | | | | | | 351,443 | |
CDL Hospitality Trusts REIT | | | 514,244 | | | | | | | | 649,798 | |
City Developments, Ltd. | | | 173,300 | | | | | | | | 1,618,391 | |
Fortune Real Estate Investment Trust | | | 338,986 | | | | | | | | 419,131 | |
Frasers Centrepoint, Ltd. | | | 95,507 | | | | | | | | 148,532 | |
Frasers Logistics & Industrial Trust REIT | | | 373,700 | | | | | | | | 324,118 | |
Keppel REIT | | | 395,800 | | | | | | | | 372,880 | |
Mapletree Greater China Commercial Trust REIT | | | 275,149 | | | | | | | | 253,044 | |
Mapletree Logistics Trust REIT | | | 864,053 | | | | | | | | 852,779 | |
Suntec Real Estate Investment Trust | | | 598,000 | | | | | | | | 961,307 | |
UOL Group, Ltd. | | | 56,350 | | | | | | | | 373,715 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,884,185 | |
| | | | | | | | | | | | |
Spain — 0.7% | | | | | | | | | | | | |
Merlin Properties Socimi SA REIT | | | 108,911 | | | | | | | | 1,476,648 | |
Neinor Homes SA* 144A | | | 6,884 | | | | | | | | 151,154 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,627,802 | |
| | | | | | | | | | | | |
Sweden — 1.6% | | | | | | | | | | | | |
Castellum AB | | | 70,599 | | | | | | | | 1,191,123 | |
Catena AB | | | 11,838 | | | | | | | | 224,404 | |
D Carnegie & Co. AB* | | | 18,005 | | | | | | | | 268,327 | |
Fabege AB | | | 44,219 | | | | | | | | 941,185 | |
Hemfosa Fastigheter AB | | | 21,084 | | | | | | | | 282,470 | |
Hufvudstaden AB, A Shares | | | 40,331 | | | | | | | | 646,036 | |
| | | | |
| 296 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
Pandox AB* | | | 8,848 | | | | | | | $ | 159,635 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,713,180 | |
| | | | | | | | | | | | |
Switzerland — 0.4% | | | | | | | | | | | | |
PSP Swiss Property AG | | | 10,238 | | | | | | | | 970,270 | |
| | | | | | | | | | | | |
United Kingdom — 5.6% | | | | | | | | | | | | |
Assura PLC REIT | | | 525,382 | | | | | | | | 453,271 | |
British Land Co. PLC (The) REIT | | | 218,165 | | | | | | | | 2,036,851 | |
Derwent London PLC REIT | | | 14,340 | | | | | | | | 603,681 | |
Grainger PLC | | | 79,021 | | | | | | | | 308,868 | |
Great Portland Estates PLC REIT | | | 93,785 | | | | | | | | 871,805 | |
Hammerson PLC REIT | | | 155,273 | | | | | | | | 1,146,741 | |
Intu Properties PLC REIT | | | 155,892 | | | | | | | | 532,508 | |
Land Securities Group PLC REIT | | | 104,453 | | | | | | | | 1,421,555 | |
LondonMetric Property PLC REIT | | | 207,942 | | | | | | | | 522,200 | |
Primary Health Properties PLC REIT | | | 328,015 | | | | | | | | 518,157 | |
PRS PLC (The) REIT* | | | 297,400 | | | | | | | | 424,623 | |
Segro PLC REIT | | | 231,720 | | | | | | | | 1,836,469 | |
Shaftesbury PLC REIT | | | 23,681 | | | | | | | | 333,797 | |
Sirius Real Estate, Ltd. | | | 237,859 | | | | | | | | 211,153 | |
St Modwen Properties PLC | | | 52,744 | | | | | | | | 288,980 | |
Tritax Big Box REIT PLC | | | 252,190 | | | | | | | | 506,996 | |
UNITE Group PLC (The) REIT | | | 80,474 | | | | | | | | 874,649 | |
Warehouse REIT PLC* | | | 112,337 | | | | | | | | 158,497 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 13,050,801 | |
| | | | | | | | | | | | |
Total Foreign Common Stocks
(Cost $102,269,927) | | | | | | | | | | | 109,883,730 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | Shares | | | | | | Value | |
MONEY MARKET FUNDS — 3.2% | | | | | |
GuideStone Money Market Fund (Investor Class)¥ | | | 4,591,337 | | | | | | | $ | 4,591,337 | |
Northern Institutional Liquid Assets Portfolio§ | | | 2,792,780 | | | | | | | | 2,792,780 | |
Northern Institutional U.S. Government Portfolio | | | 9,755 | | | | | | | | 9,755 | |
| | | | | | | | | | | | |
Total Money Market Funds (Cost $7,393,872) | | | | | | | | | | | 7,393,872 | |
| | | | | | | | | | | | |
| | | |
| | | Par | | | | | | | |
U.S. TREASURY OBLIGATION — 0.2% | | | | | | | | | |
U.S. Treasury Bill 1.42%, 06/07/18W‡‡
(Cost $397,540) | | $ | 400,000 | | | | | | | | 397,465 | |
| | | | | | | | | | | | |
TOTAL INVESTMENTS — 100.5%
(Cost $223,590,733) | | | | | | | | 232,472,482 | |
Liabilities in Excess of Other
Assets — (0.5)% | | | | | | | | (1,075,410 | ) |
| | | | | | | | | | | | |
NET ASSETS — 100.0% | | | | | | | | | | $ | 231,397,072 | |
| | | | | | | | | | | | |
Futures Contracts outstanding at December 31, 2017:
| | | | | | | | | | | | | | | | | | | | |
Future Type | | Expiration
Date | | | Open Long
(Short) Contracts | | | Notional
Market Value
of Contracts | | | Counterparty | | | Value and
Unrealized
Appreciation
(Depreciation) | |
S&P MidCap 400 Index E-Mini | | | 03/2018 | | | | 34 | | | $ | 6,468,160 | | | | GSC | | | $ | 12,265 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 297 |
GLOBAL REAL ESTATE SECURITIES FUND
SCHEDULE OF INVESTMENTS (Continued)
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2017, 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 | | $ | 114,797,415 | | | $ | 114,797,415 | | | $ | — | | | $ | — | |
Foreign Common Stocks: | | | | | | | | | | | | | | | | |
Australia | | | 12,702,069 | | | | 12,702,069 | | | | — | | | | — | |
Austria | | | 1,301,315 | | | | 1,301,315 | | | | — | | | | — | |
Belgium | | | 657,151 | | | | 657,151 | | | | — | | | | — | |
Canada | | | 6,531,646 | | | | 6,531,646 | | | | — | | | | — | |
France | | | 8,872,339 | | | | 8,872,339 | | | | — | | | | — | |
Germany | | | 9,529,023 | | | | 9,529,023 | | | | — | | | | — | |
Hong Kong | | | 17,986,309 | | | | 17,986,309 | | | | — | | | | — | |
Ireland | | | 1,432,556 | | | | 1,432,556 | | | | — | | | | — | |
Japan | | | 22,254,868 | | | | 22,254,868 | | | | — | | | | — | |
Netherlands | | | 2,227,636 | | | | 2,227,636 | | | | — | | | | — | |
Norway | | | 142,580 | | | | 142,580 | | | | — | | | | — | |
Singapore | | | 6,884,185 | | | | 6,884,185 | | | | — | | | | — | |
Spain | | | 1,627,802 | | | | 1,627,802 | | | | — | | | | — | |
Sweden | | | 3,713,180 | | | | 3,553,545 | | | | 159,635 | | | | — | |
Switzerland | | | 970,270 | | | | 970,270 | | | | — | | | | — | |
United Kingdom | | | 13,050,801 | | | | 13,050,801 | | | | — | | | | — | |
Money Market Funds | | | 7,393,872 | | | | 7,393,872 | | | | — | | | | — | |
U.S. Treasury Obligation | | | 397,465 | | | | — | | | | 397,465 | | | | — | |
| | | | | | | | | | | | | | | | |
Total Assets - Investments in Securities | | $ | 232,472,482 | | | $ | 231,915,382 | | | $ | 557,100 | | | $ | — | |
| | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 12,265 | | | $ | 12,265 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Total Assets - Other Financial Instruments | | $ | 12,265 | | | $ | 12,265 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
***Other financial instruments are derivative instruments, 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 preceding “Futures Contracts outstanding” disclosure.
There were no transfers between Level 1, Level 2 and Level 3 during the year ended December 31, 2017.
| | | | |
| 298 | | See Notes to Financial Statements. | | |
| | |
| STATEMENTS OF ASSETS AND LIABILITIES | | December 31, 2017 |
| | | | | | | | |
| | | Inflation
Protected Bond
Fund | | | Global Real
Estate Securities
Fund | |
Assets | | | | | | | | |
Investments in securities of unaffiliated issuers, at value | | $ | 156,968,522 | | | $ | 227,881,145 | |
Investments in securities of affiliated issuers, at value | | | 13,737,989 | | | | 4,591,337 | |
| | | | | | | | |
Total investments, at value(1), (2) | | | 170,706,511 | | | | 232,472,482 | |
Cash collateral for derivatives | | | 391,962 | | | | — | |
Foreign currency(3) | | | 798,469 | | | | 424,550 | |
Receivables: | | | | | | | | |
Dividends and reclaims | | | 9,758 | | | | 1,057,929 | |
Interest | | | 463,540 | | | | — | |
Securities lending | | | — | | | | 2,924 | |
From advisor | | | 2,872 | | | | 839 | |
Investment securities sold | | | 827,096 | | | | 1,352,083 | |
Fund shares sold | | | 910 | | | | 118,314 | |
Unrealized appreciation on foreign currency exchange contracts | | | 130,121 | | | | — | |
Prepaid expenses and other assets | | | 8,525 | | | | 17,483 | |
| | | | | | | | |
Total Assets | | | 173,339,764 | | | | 235,446,604 | |
| | | | | | | | |
Liabilities | | | | | | | | |
Cash Overdraft | | | 45,796 | | | | — | |
Unrealized depreciation on foreign currency exchange contracts | | | 197,364 | | | | — | |
Collateral held for securities on loan, at value | | | — | | | | 2,792,780 | |
Collateral held for derivatives | | | 17,061 | | | | — | |
Payables: | | | | | | | | |
Investment securities purchased | | | 1,123,520 | | | | 902,298 | |
Fund shares redeemed | | | 220,258 | | | | 78,127 | |
Variation margin on centrally cleared swaps | | | 2,280 | | | | — | |
Variation margin on financial futures contracts | | | 4,930 | | | | 39,253 | |
Securities lending | | | — | | | | 439 | |
Accrued expenses: | | | | | | | | |
Investment advisory fees | | | 45,899 | | | | 132,228 | |
Professional fees | | | 25,530 | | | | 28,149 | |
Shareholder servicing fees | | | 12,099 | | | | 20,398 | |
Other expenses | | | 39,732 | | | | 55,860 | |
| | | | | | | | |
Total Liabilities | | | 1,734,469 | | | | 4,049,532 | |
| | | | | | | | |
Net Assets | | $ | 171,605,295 | | | $ | 231,397,072 | |
| | | | | | | | |
Net Assets Consist of: | | | | | | | | |
Paid-in-capital | | $ | 176,599,730 | | | $ | 232,031,080 | |
Accumulated distributions in excess of net investment loss | | | (611,002 | ) | | | (1,752,950 | ) |
Accumulated net realized loss on investments, foreign currency translations and derivative transactions | | | (6,375,436 | ) | | | (7,776,412 | ) |
Net unrealized appreciation (depreciation) on investments, foreign currency translations and derivative transactions | | | 1,992,003 | | | | 8,895,354 | |
| | | | | | | | |
Net Assets | | $ | 171,605,295 | | | $ | 231,397,072 | |
| | | | | | | | |
Net Asset Value: | | | | | | | | |
$0.001 par value, unlimited shares authorized | | | | | | | | |
Net assets applicable to the Institutional Class | | $ | 122,809,089 | | | $ | 133,655,594 | |
| | | | | | | | |
Institutional shares outstanding | | | 11,962,395 | | | | 13,799,605 | |
| | | | | | | | |
Net asset value, offering and redemption price per Institutional share | | $ | 10.27 | | | $ | 9.69 | |
| | | | | | | | |
Net assets applicable to the Investor Class | | $ | 48,796,206 | | | $ | 97,741,478 | |
Investor shares outstanding | | | 4,753,615 | | | | 10,057,494 | |
Net asset value, offering and redemption price per Investor share | | $ | 10.27 | | | $ | 9.72 | |
(1) Investments in securities of unaffiliated issuers, at cost | | $ | 154,970,397 | | | $ | 218,999,396 | |
Investments in securities of affiliated issuers, at cost | | | 13,737,989 | | | | 4,591,337 | |
| | | | | | | | |
Total investments, at cost | | $ | 168,708,386 | | | $ | 223,590,733 | |
| | | | | | | | |
(2) Includes securities loaned of: | | $ | — | | | $ | 14,784,601 | |
| | | | | | | | |
(3) Foreign currency, at cost | | $ | 796,721 | | | $ | 422,025 | |
| | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 299 |
| | | | |
STATEMENTS OF OPERATIONS | | | For the Year Ended December 31, 2017 | |
| | | | | | | | |
| | | Inflation Protected
Bond Fund | | | Global
Real Estate
Securities Fund | |
Investment Income | | | | | | | | |
Dividends | | $ | — | | | $ | 8,755,788 | |
Income distributions received from affiliated funds | | | 35,589 | | | | 20,655 | |
Interest | | | 5,121,645 | | | | 18,844 | |
Securities lending | | | — | | | | 48,309 | |
Less foreign taxes withheld | | | — | | | | (234,284 | ) |
| | | | | | | | |
Total Investment Income | | | 5,157,234 | | | | 8,609,312 | |
| | | | | | | | |
Expenses | | | | | | | | |
Investment advisory fees | | | 782,331 | | | | 1,621,666 | |
Transfer agent fees: | | | | | | | | |
Institutional shares | | | 4,505 | | | | 4,567 | |
Investor shares | | | 23,043 | | | | 28,101 | |
Custodian fees | | | 62,368 | | | | 130,994 | |
Shareholder servicing fees: | | | | | | | | |
Investor shares | | | 196,092 | | | | 245,774 | |
Accounting and administration fees | | | 58,332 | | | | 76,498 | |
Professional fees | | | 100,700 | | | | 102,158 | |
Blue sky fees: | | | | | | | | |
Institutional shares | | | 35,323 | | | | 36,805 | |
Investor shares | | | 23,646 | | | | 21,565 | |
Trustees expenses | | | 2,801 | | | | 2,285 | |
Line of credit facility fees and interest expense | | | 5,028 | | | | 1,769 | |
Other expenses | | | 16,320 | | | | 19,831 | |
| | | | | | | | |
Total Expenses | | | 1,310,489 | | | | 2,292,013 | |
Expenses waived/reimbursed net of amount recaptured(1) | | | (16,071 | ) | | | (10,005 | ) |
Fees paid indirectly | | | — | | | | (24,000 | ) |
| | | | | | | | |
Net Expenses | | | 1,294,418 | | | | 2,258,008 | |
| | | | | | | | |
Net Investment Income | | | 3,862,816 | | | | 6,351,304 | |
| | | | | | | | |
Realized and Unrealized Gain (Loss) | | | | | | | | |
Net realized gain (loss) from: | | | | | | | | |
Investment securities | | | 2,281,838 | | | | 1,834,051 | |
Futures transactions | | | (521,197 | ) | | | 716,223 | |
Swap agreements | | | (29,284 | ) | | | — | |
Option contracts written | | | 616,747 | | | | — | |
Option contracts purchased | | | (1,420,727 | ) | | | — | |
Forward foreign currency contracts | | | (268,520 | ) | | | (6,926 | ) |
Foreign currency | | | 122,183 | | | | 21,630 | |
| | | | | | | | |
| | |
Net realized gain | | | 781,040 | | | | 2,564,978 | |
| | | | | | | | |
| | |
Net change in unrealized appreciation (depreciation) on: | | | | | | | | |
Investment securities | | | 1,684,497 | | | | 15,008,794 | |
Futures | | | 34,378 | | | | 104,819 | |
Swap agreements | | | 5,831 | | | | — | |
Option contracts written | | | (56,196 | ) | | | — | |
Option contracts purchased | | | 159,922 | | | | — | |
Forward foreign currency contracts | | | (336,374 | ) | | | — | |
Foreign currency | | | (9,412 | ) | | | 20,926 | |
| | | | | | | | |
Net change in unrealized appreciation (depreciation) | | | 1,482,646 | | | | 15,134,539 | |
| | | | | | | | |
Net Realized and Unrealized Gain | | | 2,263,686 | | | | 17,699,517 | |
| | | | | | | | |
Net Increase in Net Assets Resulting from Operations | | $ | 6,126,502 | | | $ | 24,050,821 | |
| | | | | | | | |
| (1) | See Note 3a and 3c in Notes to Financial Statements. |
| | | | |
| 300 | | See Notes to Financial Statements. | | |
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301
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Inflation Protected Bond Fund | |
| | | For the Year Ended | |
| | |
| | | 12/31/17 | | | 12/31/16 | |
Operations: | | | | | | | | |
Net investment income | | $ | 3,862,816 | | | $ | 4,792,808 | |
Net realized gain (loss) on investment securities, foreign currency and derivatives | | | 781,040 | | | | (275,662 | ) |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | | | 1,482,646 | | | | 7,863,184 | |
| | | | | | | | |
Net increase in net assets resulting from operations | | | 6,126,502 | | | | 12,380,330 | |
| | | | | | | | |
Dividends and Distributions to Shareholders: | | | | | | | | |
Dividends from net investment income | | | | | | | | |
Institutional shares | | | (3,872,923 | ) | | | (2,777,588 | ) |
Investor shares | | | (1,488,575 | ) | | | (500,592 | ) |
Distributions from net realized capital gains | | | | | | | | |
Institutional shares | | | — | | | | — | |
Investor shares | | | — | | | | — | |
| | | | | | | | |
Total dividends and distributions | | | (5,361,498 | ) | | | (3,278,180 | ) |
| | | | | | | | |
Capital Share Transactions: | | | | | | | | |
Proceeds from shares sold | | | | | | | | |
Institutional shares | | | 19,627,711 | | | | 16,595,943 | |
Investor shares | | | 8,706,470 | | | | 21,330,260 | |
Reinvestment of dividends and distributions | | | | | | | | |
Institutional shares | | | 3,872,923 | | | | 2,777,587 | |
Investor shares | | | 1,487,121 | | | | 500,089 | |
| | | | | | | | |
Total proceeds from shares sold and reinvested | | | 33,694,225 | | | | 41,203,879 | |
| | | | | | | | |
Value of shares redeemed | | | | | | | | |
Institutional shares | | | (98,241,162 | ) | | | (64,223,909 | ) |
Investor shares | | | (42,858,609 | ) | | | (9,663,957 | ) |
| | | | | | | | |
Total value of shares redeemed | | | (141,099,771 | ) | | | (73,887,866 | ) |
| | | | | | | | |
Net decrease from capital share transactions(1) | | | (107,405,546 | ) | | | (32,683,987 | ) |
| | | | | | | | |
Total increase (decrease) in net assets | | | (106,640,542 | ) | | | (23,581,837 | ) |
| | | | | | | | |
Net Assets: | | | | | | | | |
Beginning of Year | | | 278,245,837 | | | | 301,827,674 | |
| | | | | | | | |
End of Year* | | $ | 171,605,295 | | | $ | 278,245,837 | |
| | | | | | | | |
*Including undistributed (distributions in excess of) net investment income | | $ | (611,002 | ) | | $ | 1,479,806 | |
| | | | | | | | |
| (1) | See Note 6 in Notes to Financial Statements. |
| | | | |
| 302 | | See Notes to Financial Statements. | | |
| | | | | | |
| Global Real Estate Securities Fund | |
|
| For the Year Ended | |
| |
| 12/31/17 | | | 12/31/16 | |
| | | | | | |
| $ | 6,351,304 | | | $ | 4,776,811 | |
| | 2,564,978 | | | | 9,342,050 | |
| |
| | 15,134,539 | | | | (4,718,266 | ) |
| | | | | | |
| | 24,050,821 | | | | 9,400,595 | |
| | | | | | |
| |
| | | | | | |
| | (5,479,616 | ) | | | (6,784,103 | ) |
| | (3,733,615 | ) | | | (5,147,664 | ) |
| | — | | | | (3,087,591 | ) |
| | — | | | | (2,500,943 | ) |
| | | | | | |
| | (9,213,231 | ) | | | (17,520,301 | ) |
| | | | | | |
| |
| | | | | | |
| | 17,453,826 | | | | 13,242,076 | |
| | 12,089,951 | | | | 21,840,266 | |
| |
| | | | | | |
| | 5,416,923 | | | | 9,833,784 | |
| | 3,718,882 | | | | 7,641,677 | |
| | | | | | |
| | 38,679,582 | | | | 52,557,803 | |
| | | | | | |
| |
| | | | | | |
| | (21,355,788 | ) | | | (54,985,357 | ) |
| | (25,148,188 | ) | | | (23,622,194 | ) |
| | | | | | |
| | (46,503,976 | ) | | | (78,607,551 | ) |
| | | | | | |
| | (7,824,394 | ) | | | (26,049,748 | ) |
| | | | | | |
| | 7,013,196 | | | | (34,169,454 | ) |
| | | | | | |
| |
| | | | | | |
| | 224,383,876 | | | | 258,553,330 | |
| | | | | | |
| $ | 231,397,072 | | | $ | 224,383,876 | |
| | | | | | |
| $ | (1,752,950 | ) | | $ | (2,470,618 | ) |
| | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 303 |
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 Year
(000) | | | Expenses,
Net(1) | | | Expenses,
Gross(2) | | | Investment
Income/
(Loss),
Net(1) | | | Portfolio
Turnover
Rate | |
Inflation Protected Bond Fund | |
| | | | | | | | | | |
Institutional Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2017 | | $ | 10.25 | | | $ | 0.16 | # | | $ | 0.10 | | | $ | (0.24 | ) | | $ | — | | | $ | 10.27 | | | | 2.59 | % | | $ | 122,809 | | | | 0.40 | % | | | 0.41 | % | | | 1.54 | % | | | 68 | % |
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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2017 | | $ | 10.26 | | | $ | 0.13 | # | | $ | 0.11 | | | $ | (0.23 | ) | | $ | — | | | $ | 10.27 | | | | 2.31 | % | | $ | 48,796 | | | | 0.68 | % | | | 0.69 | % | | | 1.22 | % | | | 68 | % |
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 | |
Global Real Estate Securities Fund | |
| | | | | | | | | | |
Institutional Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2017 | | $ | 9.10 | | | $ | 0.27 | # | | $ | 0.73 | | | $ | (0.41 | ) | | $ | — | | | $ | 9.69 | | | | 11.05 | % | | $ | 133,656 | | | | 0.87 | %(6) | | | 0.88 | % | | | 2.86 | % | | | 138 | % |
2016 | | | 9.46 | | | | 0.20 | # | | | 0.18 | (3) | | | (0.50 | ) | | | (0.24 | ) | | | 9.10 | | | | 4.07 | | | | 123,574 | | | | 0.88 | (6) | | | 0.90 | | | | 2.07 | | | | 130 | |
2015(7) | | | 10.50 | | | | 0.12 | # | | | (0.33 | ) | | | (0.27 | ) | | | (0.56 | ) | | | 9.46 | | | | (1.89 | ) | | | 159,196 | | | | 0.93 | (6) | | | 0.94 | | | | 1.83 | | | | 137 | |
| | | | | | | | | | |
Investor Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2017 | | $ | 9.13 | | | $ | 0.24 | # | | $ | 0.73 | | | $ | (0.38 | ) | | $ | — | | | $ | 9.72 | | | | 10.72 | % | | $ | 97,741 | | | | 1.12 | %(6) | | | 1.13 | % | | | 2.56 | % | | | 138 | % |
2016 | | | 9.49 | | | | 0.16 | # | | | 0.19 | (3) | | | (0.47 | ) | | | (0.24 | ) | | | 9.13 | | | | 3.78 | | | | 100,810 | | | | 1.14 | (6) | | | 1.19 | | | | 1.68 | | | | 130 | |
2015 | | | 10.26 | | | | 0.16 | # | | | (0.13 | ) | | | (0.24 | ) | | | (0.56 | ) | | | 9.49 | | | | 0.34 | | | | 99,357 | | | | 1.12 | (6) | | | 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(8) | | | 10.60 | | | | 0.17 | # | | | (0.02 | ) | | | (0.21 | ) | | | (1.18 | ) | | | 9.36 | | | | 1.49 | | | | 234,903 | | | | 1.05 | | | | 1.05 | | | | 1.56 | | | | 168 | |
| # | 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) | The ratio for the Global Real Estate Securities Fund includes the effect of fees paid indirectly which decreased the ratio by 0.01% for the years 2015, 2016 and 2017. |
| (7) | 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. |
| (8) | 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%. |
| | | | |
| 304 | | See Notes to Financial Statements. | | |
Strategic Alternatives Fund (Unaudited)
The Fund combines multiple strategies that in aggregate seek to provide absolute returns with both lower volatility than and low correlation with traditional equity and fixed-income markets. Please note that the Fund launched on July 1, 2017, and therefore, the commentary only discusses the factors that contributed to performance from the inception date of the Fund through the end of 2017. The Investor Class of the Fund achieved its investment objective during 2017, outperforming its benchmark the ICE BofAML U.S. 3-Month Treasury Bill Index (1.31% versus 0.55%).
The Fund allocated its assets between four principal investment strategies – short-duration high yield, long-short equity, options selling and currency trading. For the calendar year 2017, all four strategies contributed positively to absolute returns and benchmark relative outperformance.
The currency trading strategy was the largest contributor to benchmark relative outperformance. Short exposure to the Australian dollar and the Swiss franc relative to the U.S. dollar were the best performing positions, as both currencies depreciated in value as fundamentals did not justify their valuations. The largest detractor to performance was short exposure to the euro relative to other European currencies.
The options selling strategy delivered positive returns derived from collecting option premium from the selling of fully-covered, exchange listed put options, as the year experienced very little downside volatility. That is, the strategy continued to benefit from selling options priced on implied volatility, while realized volatility came in on average, consistently lower than the implied volatility over the year.
The short-duration high yield bond strategy’s performance contribution was as a result of industry positioning and active credit selection. In particular, increased sector allocation to and positive security selection within the energy sector was additive to performance as better supply and demand prospects led to higher energy prices and tighter spreads for high yield issuers in that sector.
Within the long-short equity strategy, the event-driven sub-strategy contributed muted returns as there were limited announced mergers, and as a result, it had a relatively low allocation. However, the long-short equity sub-strategy generated the majority of returns, through advantageous sector positions and a positive security selection, and propelled the overall strategy to be positive for 2017.
Some of the underlying strategies may utilize derivative instruments within the Fund. During 2017, the Fund sold equity options to collect the option premium. Equity options were also used to hedge equity exposure and to provide synthetic beta exposure to the Fund. Overall, the use of equity options was additive to the Funds’ performance. In addition, long and short currency forwards relative to the U.S. dollar were used to take advantage of dislocations in the currency markets and contributed positively to performance.
This Fund may be suitable for investors who have a short- to medium-term investment horizon, can accept short-term fluctuations in account value and would like to diversify their portfolio with an alternatives investment option. The alternative investment strategies that the Fund pursues are complex and may involve greater risk than traditional investments (stocks, bonds and cash). The performance of alternative investments is not expected to correlate closely with more traditional investments; however, it is possible that alternative investments will decline in value along with equity or fixed-income markets, or both, or that they may not otherwise perform in accordance with expectations. Alternative investments can be highly volatile, are often less liquid, particularly in periods of stress, are generally more complex and less transparent, and may have more complicated tax profiles than traditional investments. In addition, the performance of alternative investments may be more dependent on a sub-adviser’s experience and skill than traditional investments. The use of alternative investments may not achieve the desired effect. Securities of foreign issuers may be negatively impacted by political events, economic conditions or inefficient, illiquid or unregulated markets in foreign countries, and they also may be subject to inadequate regulatory or accounting standards, which may increase investment risk. Derivatives involve different risks from, and in some respects greater than, those associated with investing directly in securities, currencies or other instruments. Derivatives may be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in value of the underlying instruments may produce disproportionate losses to the Fund. Short sales involve selling a security the Fund does not own in anticipation that the security will decline in price. Short sales expose the Fund to the risk that it will required to buy the security sold short (also known as “covering” the short position) at a time when the security has appreciated in value, thus resulting in a loss to the Fund. The Fund’s potential loss on a short position is limited only by the maximum attainable price of the security less the price at which the security was sold by the Fund. Therefore, in theory, stocks sold short have unlimited risk. The Fund’s use of short sales in effect “leverages” the Fund. The use of leverage may magnify the Fund’s gains or losses, and leverage also creates interest expense that may lower the Fund’s overall returns. The Fund’s currency investment strategy may be impacted by currency exchange rates, which can fluctuate significantly over short or extended periods of time. These changes may be caused by governmental or political factors that affect the value of what the Fund owns and its share price. The Fund may experience high portfolio turnover, which may result in higher costs and capital gains. The Fund is a recently formed mutual fund and has a limited history of operations. There can be no assurances that its objective will be met and you can lose money by investing in the Fund.
Strategic Alternatives Fund (Unaudited)
At December 31, 2017, 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 | | | 29.4 | |
Corporate Bonds | | | 26.6 | |
Common Stocks | | | 20.6 | |
Money Market Funds | | | 12.6 | |
Agency Obligations | | | 5.4 | |
Foreign Common Stocks | | | 2.0 | |
Loan Agreements | | | 1.6 | |
Mutual Funds | | | 1.4 | |
Foreign Bonds | | | 0.7 | |
Purchased Options | | | 0.1 | |
Written Options | | | (0.2 | ) |
Foreign Common Stocks Sold Short | | | (1.2 | ) |
Mutual Funds Sold Short | | | (2.1 | ) |
Common Stocks Sold Short | | | (7.7 | ) |
| | | | |
| | | 89.2 | |
| | | | |
306
| | |
STRATEGIC ALTERNATIVES FUND SCHEDULE OF INVESTMENTS | | December 31, 2017 |
| | | | | | | | | | | | |
| | | Par | | | | | | Value | |
AGENCY OBLIGATIONS — 5.4% | |
Federal Home Loan Bank 0.88%, 03/19/18 | | $ | 2,250,000 | | | | | | | $ | 2,247,681 | |
(Floating, ICE LIBOR USD 3M -0.04%), 1.31%, 01/08/18† | | | 2,000,000 | | | | | | | | 2,000,055 | |
Federal Home Loan Bank Discount Notes 1.28%, 03/09/18W | | | 5,750,000 | | | | | | | | 5,735,875 | |
Federal Home Loan Mortgage Corporation 0.75%, 01/12/18 | | | 5,077,000 | | | | | | | | 5,076,183 | |
0.75%, 04/09/18 | | | 1,100,000 | | | | | | | | 1,098,004 | |
Federal National Mortgage Association 0.88%, 02/08/18 | | | 1,497,000 | | | | | | | | 1,496,294 | |
1.07%, 02/27/18 | | | 2,000,000 | | | | | | | | 1,999,112 | |
| | | | | | | | | | | | |
Total Agency Obligations
(Cost $19,653,880) | | | | | | | | 19,653,204 | |
| | | | | | | | | | | | |
CORPORATE BONDS — 26.6% | |
AES Corporation 4.88%, 05/15/23 | | | 1,000,000 | | | | | | | | 1,023,750 | |
Aircastle, Ltd. 4.63%, 12/15/18 | | | 500,000 | | | | | | | | 509,375 | |
Ally Financial, Inc. 3.75%, 11/18/19 | | | 2,250,000 | | | | | | | | 2,283,975 | |
American Axle & Manufacturing, Inc. 6.25%, 03/15/21 | | | 1,000,000 | | | | | | | | 1,026,875 | |
Amgen, Inc. 4.10%, 06/15/21 | | | 1,000,000 | | | | | | | | 1,045,319 | |
APX Group, Inc. 6.38%, 12/01/19 | | | 1,250,000 | | | | | | | | 1,270,313 | |
7.88%, 12/01/22 | | | 2,250,000 | | | | | | | | 2,415,937 | |
Berry Global, Inc. 5.50%, 05/15/22 | | | 542,000 | | | | | | | | 558,938 | |
6.00%, 10/15/22 | | | 1,500,000 | | | | | | | | 1,576,875 | |
CalAtlantic Group, Inc. 6.63%, 05/01/20 | | | 1,250,000 | | | | | | | | 1,347,125 | |
Calpine Corporation 6.00%, 01/15/22 144A | | | 2,900,000 | | | | | | | | 2,997,875 | |
CCO Holdings LLC 5.25%, 03/15/21 | | | 750,000 | | | | | | | | 763,125 | |
5.25%, 09/30/22 | | | 1,000,000 | | | | | | | | 1,026,875 | |
CIT Group, Inc. 5.50%, 02/15/19 144A | | | 1,000,000 | | | | | | | | 1,030,000 | |
Clean Harbors, Inc. 5.13%, 06/01/21 | | | 1,350,000 | | | | | | | | 1,366,875 | |
CNH Industrial Capital LLC 4.38%, 04/05/22 | | | 1,750,000 | | | | | | | | 1,817,322 | |
| | | | | | | | | | | | |
| | | Par | | | | | | Value | |
CSC Holdings LLC 7.88%, 02/15/18 | | $ | 500,000 | | | | | | | $ | 503,750 | |
7.63%, 07/15/18 | | | 1,913,000 | | | | | | | | 1,960,825 | |
DaVita, Inc. 5.75%, 08/15/22 | | | 2,750,000 | | | | | | | | 2,830,781 | |
DISH DBS Corporation 7.88%, 09/01/19 | | | 500,000 | | | | | | | | 536,250 | |
5.13%, 05/01/20 | | | 2,500,000 | | | | | | | | 2,562,500 | |
Dollar Tree, Inc. 5.75%, 03/01/23 | | | 2,500,000 | | | | | | | | 2,623,437 | |
Equinix, Inc. REIT 5.38%, 01/01/22 | | | 1,000,000 | | | | | | | | 1,042,500 | |
5.38%, 04/01/23 | | | 2,250,000 | | | | | | | | 2,337,750 | |
FelCor Lodging LP REIT 5.63%, 03/01/23 | | | 1,500,000 | | | | | | | | 1,548,750 | |
First Data Corporation 7.00%, 12/01/23 144A | | | 3,000,000 | | | | | | | | 3,180,000 | |
Ford Motor Credit Co. LLC 2.68%, 01/09/20 | | | 1,735,000 | | | | | | | | 1,740,034 | |
Fresenius Medical Care US Finance II, Inc. 5.63%, 07/31/19 144A | | | 1,072,000 | | | | | | | | 1,121,840 | |
Fresenius US Finance II, Inc. 4.50%, 01/15/23 144A | | | 1,000,000 | | | | | | | | 1,052,500 | |
GameStop Corporation 6.75%, 03/15/21 144A | | | 1,000,000 | | | | | | | | 1,050,000 | |
General Motors Financial Co., Inc. 6.75%, 06/01/18 | | | 240,000 | | | | | | | | 244,501 | |
Group 1 Automotive, Inc. 5.00%, 06/01/22 | | | 1,000,000 | | | | | | | | 1,035,000 | |
Hologic, Inc. 5.25%, 07/15/22 144A | | | 1,000,000 | | | | | | | | 1,038,750 | |
International Lease Finance Corporation 6.25%, 05/15/19 | | | 1,000,000 | | | | | | | | 1,048,250 | |
Iron Mountain, Inc. REIT 6.00%, 08/15/23 | | | 1,500,000 | | | | | | | | 1,575,000 | |
John Deere Capital Corporation | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 0.48%), 2.00%, 09/08/22† | | | 250,000 | | | | | | | | 251,132 | |
2.15%, 09/08/22 | | | 1,250,000 | | | | | | | | 1,224,183 | |
Kinder Morgan, Inc. 3.15%, 01/15/23 | | | 2,000,000 | | | | | | | | 1,990,116 | |
Lennar Corporation 4.75%, 04/01/21 | | | 1,000,000 | | | | | | | | 1,043,750 | |
Michaels Stores, Inc. 5.88%, 12/15/20 144A | | | 1,000,000 | | | | | | | | 1,015,000 | |
MPLX LP 5.50%, 02/15/23 | | | 2,000,000 | | | | | | | | 2,060,660 | |
Nielsen Co. 5.50%, 10/01/21 144A | | | 1,755,000 | | | | | | | | 1,807,650 | |
Nuance Communications, Inc. 5.38%, 08/15/20 144A | | | 1,500,000 | | | | | | | | 1,524,375 | |
Owens-Brockway Glass Container, Inc. 5.00%, 01/15/22 144A | | | 1,000,000 | | | | | | | | 1,038,750 | |
Party City Holdings, Inc. 6.13%, 08/15/23 144A | | | 2,250,000 | | | | | | | | 2,334,375 | |
Penske Automotive Group, Inc. 3.75%, 08/15/20 | | | 187,000 | | | | | | | | 190,974 | |
5.75%, 10/01/22 | | | 2,250,000 | | | | | | | | 2,321,719 | |
Penske Truck Leasing Co. LP 2.70%, 03/14/23 144A | | | 750,000 | | | | | | | | 737,849 | |
PulteGroup, Inc. 4.25%, 03/01/21 | | | 1,000,000 | | | | | | | | 1,032,500 | |
| | | | |
| | See Notes to Financial Statements. | | 307 |
STRATEGIC ALTERNATIVES FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Par | | | Value | |
Realogy Group LLC | | | | | | | | | | | | |
5.25%, 12/01/21 144A | | $ | 2,925,000 | | | | | | | $ | 3,038,344 | |
Reynolds Group Issuer, Inc. | | | | | | | | | | | | |
5.75%, 10/15/20 | | | 969,108 | | | | | | | | 984,856 | |
6.88%, 02/15/21 | | | 2,592,542 | | | | | | | | 2,631,430 | |
Sabine Pass Liquefaction LLC | | | | | | | | | | | | |
5.63%, 02/01/21 | | | 1,500,000 | | | | | | | | 1,609,141 | |
SBA Communications Corporation REIT | | | | | | | | | | | | |
4.88%, 07/15/22 | | | 1,500,000 | | | | | | | | 1,545,000 | |
4.00%, 10/01/22 144A | | | 900,000 | | | | | | | | 905,625 | |
Sinclair Television Group, Inc. | | | | | | | | | | | | |
5.38%, 04/01/21 | | | 2,000,000 | | | | | | | | 2,040,000 | |
Sprint Capital Corporation | | | | | | | | | | | | |
6.90%, 05/01/19 | | | 1,000,000 | | | | | | | | 1,048,750 | |
Sprint Communications, Inc. | | | | | | | | | | | | |
9.00%, 11/15/18 144A | | | 1,500,000 | | | | | | | | 1,580,775 | |
Sunoco LP | | | | | | | | | | | | |
6.25%, 04/15/21 | | | 2,500,000 | | | | | | | | 2,605,000 | |
Taylor Morrison Communities, Inc. | | | | | | | | | | | | |
5.25%, 04/15/21 144A | | | 1,500,000 | | | | | | | | 1,531,875 | |
T-Mobile USA, Inc. | | | | | | | | | | | | |
6.13%, 01/15/22 | | | 1,000,000 | | | | | | | | 1,034,000 | |
6.63%, 04/01/23 | | | 3,206,000 | | | | | | | | 3,350,270 | |
TRI Pointe Group, Inc. | | | | | | | | | | | | |
4.38%, 06/15/19 | | | 1,000,000 | | | | | | | | 1,025,000 | |
Univision Communications, Inc. | | | | | | | | | | | | |
6.75%, 09/15/22 144A | | | 400,000 | | | | | | | | 416,500 | |
5.13%, 05/15/23 144A | | | 1,000,000 | | | | | | | | 1,000,000 | |
| | | | | | | | | | | | |
Total Corporate Bonds
(Cost $96,278,213) | | | | | | | | | | | 96,012,571 | |
| | | | | | | | | | | | |
FOREIGN BONDS — 0.7% | | | | | |
Canada — 0.6% | | | | | |
1011778 BC ULC 4.63%, 01/15/22 144A | | | 1,000,000 | | | | | | | | 1,026,250 | |
Brookfield Residential Properties, Inc. | | | | | | | | | | | | |
6.50%, 12/15/20 144A | | | 969,000 | | | | | | | | 990,802 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,017,052 | |
| | | | | | | | | | | | |
Ireland — 0.1% | | | | | |
Fly Leasing, Ltd. | | | | | | | | | | | | |
6.38%, 10/15/21 | | | 500,000 | | | | | | | | 522,500 | |
| | | | | | | | | | | | |
Total Foreign Bonds
(Cost $2,540,637) | | | | 2,539,552 | |
| | | | | | | | | | | | |
LOAN AGREEMENTS — 1.6% | | | | | |
Asurion, LLC Second Lien Replacement B-2 Term Loan | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 6.00%), 7.57%, 08/04/25† | | | 1,000,000 | | | | | | | | 1,029,583 | |
BCP Renaissance Parent L.L.C. Initial Term Loan B | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 4.00%), 5.38%, 10/31/24† | | | 1,000,000 | | | | | | | | 1,013,542 | |
Michaels Stores, Inc. 2016 New Replacement Term B-1 Loan | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 2.75%), 0.00%, 01/30/23† S | | | 1,000,000 | | | | | | | | 1,001,667 | |
(Floating, ICE LIBOR USD 1M + 2.75%), 4.21%, 01/30/23† | | | 257,660 | | | | | | | | 258,090 | |
| | | | | | | | | | | | |
| | | | | | Par | | | Value | |
(Floating, ICE LIBOR USD 1M + 2.75%), 4.25%, 01/30/23† | | | | | | $ | 44,424 | | | $ | 44,498 | |
(Floating, ICE LIBOR USD 1M + 2.75%), 4.32%, 01/30/23† | | | | | | | 692,385 | | | | 693,539 | |
PetSmart, Inc. Tranche B-2 Loan | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 1M + 3.00%), 4.57%, 03/11/22† | | | | | | | 994,898 | | | | 801,826 | |
Traverse Midstream Partners LLC Advance | | | | | | | | | | | | |
(Floating, ICE LIBOR USD 3M + 4.00%), 5.85%, 09/27/24† | | | | | | | 1,000,000 | | | | 1,014,625 | |
| | | | | | | | | | | | |
Total Loan Agreements
(Cost $5,919,734) | | | | 5,857,370 | |
| | | | | | | | | | | | |
| | | |
| | | Number of
Contracts | | | Notional
Amount | | | | |
PURCHASED OPTIONS — 0.1% | | | | | |
Put Options — 0.1% | | | | | | | | | | | | |
NIKE, Inc., Strike Price $64.50, Expires 01/19/18 (CITI) | | | 195 | | | $ | 1,219,725 | | | | 42,705 | |
S&P 500®, Strike Price $2,650.00, Expires 03/16/18 (CITI) | | | 35 | | | | 9,357,635 | | | | 130,200 | |
| | | | | | | | | | | | |
Total Purchased Options
(Cost $225,380) | | | | 172,905 | |
| | | | | | | | | | | | |
| | | |
| | | | | | Par | | | | |
U.S. TREASURY OBLIGATIONS — 29.4% | | | | | |
U.S. Treasury Bills | | | | | | | | | | | | |
1.09%, 01/04/18W | | | | | | $ | 20,470,000 | | | | 20,468,721 | |
1.05%, 01/11/18W | | | | | | | 8,300,000 | | | | 8,297,568 | |
1.07%, 01/18/18W | | | | | | | 8,955,000 | | | | 8,950,088 | |
1.29%, 03/15/18W | | | | | | | 1,750,000 | | | | 1,745,485 | |
1.36%, 03/22/18W | | | | | | | 3,000,000 | | | | 2,991,113 | |
1.38%, 03/29/18W | | | | | | | 11,750,000 | | | | 11,711,718 | |
1.25%, 07/19/18W | | | | | | | 12,000,000 | | | | 11,899,098 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 66,063,791 | |
| | | | | | | | | | | | |
U.S. Treasury Notes | | | | | | | | | | | | |
0.75%, 02/28/18 | | | | | | | 12,870,000 | | | | 12,858,095 | |
1.00%, 05/15/18 | | | | | | | 12,100,000 | | | | 12,083,459 | |
1.25%, 10/31/18 | | | | | | | 15,200,000 | | | | 15,140,629 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 40,082,183 | |
| | | | | | | | | | | | |
Total U.S. Treasury Obligations
(Cost $106,191,504) | | | | 106,145,974 | |
| | | | | | | | | | | | |
| | | |
| | | | | | Shares | | | | |
COMMON STOCKS — 20.6% | | | | | |
Consumer Discretionary — 3.7% | | | | | |
General Motors Co.‡ | | | | 31,313 | | | | 1,283,520 | |
Lennar Corporation Class A | | | | 18,742 | | | | 1,185,244 | |
Lennar Corporation Class B | | | | 375 | | | | 19,380 | |
Marriott International, Inc. Class A‡‡ | | | | 7,418 | | | | 1,006,845 | |
Mohawk Industries, Inc.‡‡ * | | | | 4,036 | | | | 1,113,533 | |
Regal Entertainment Group Class A | | | | 64,121 | | | | 1,475,424 | |
Royal Caribbean Cruises, Ltd.‡ ‡‡ | | | | 11,032 | | | | 1,315,897 | |
| | | | |
| 308 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
Scripps Networks Interactive, Inc. Class A | | | 20,242 | | | | | | | $ | 1,728,262 | |
TimeWarner, Inc. | | | 32,451 | | | | | | | | 2,968,293 | |
Twenty-First Century Fox, Inc. Class A | | | 38,217 | | | | | | | | 1,319,633 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 13,416,031 | |
| | | | | | | | | | | | |
Consumer Staples — 1.1% | | | | | | | | | |
Mondelez International, Inc. Class A | | | 33,793 | | | | | | | | 1,446,340 | |
PepsiCo, Inc.‡‡ | | | 7,507 | | | | | | | | 900,239 | |
Wal-Mart Stores, Inc. | | | 15,478 | | | | | | | | 1,528,453 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,875,032 | |
| | | | | | | | | | | | |
Energy — 1.2% | | | | | | | | | | | | |
Chevron Corporation | | | 5,964 | | | | | | | | 746,633 | |
Halliburton Co.‡ | | | 35,065 | | | | | | | | 1,713,627 | |
Hess Corporation | | | 11,593 | | | | | | | | 550,320 | |
Parsley Energy, Inc. Class A* | | | 9,608 | | | | | | | | 282,859 | |
Pioneer Natural Resources Co. | | | 5,235 | | | | | | | | 904,870 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,198,309 | |
| | | | | | | | | | | | |
Financials — 1.5% | | | | | | | | | | | | |
Bank of America Corporation | | | 75,122 | | | | | | | | 2,217,601 | |
Berkshire Hathaway, Inc. Class B‡‡* | | | 6,421 | | | | | | | | 1,272,771 | |
Citigroup, Inc. | | | 20,094 | | | | | | | | 1,495,194 | |
FGL Holdings* | | | 12,740 | | | | | | | | 128,292 | |
MetLife, Inc. | | | 8,680 | | | | | | | | 438,861 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,552,719 | |
| | | | | | | | | | | | |
Health Care — 2.4% | | | | | | | | | | | | |
Aetna, Inc.‡‡ | | | 16,033 | | | | | | | | 2,892,193 | |
Becton, Dickinson and Co. | | | 5,731 | | | | | | | | 1,226,761 | |
Bristol-Myers Squibb Co. | | | 11,236 | | | | | | | | 688,542 | |
Humana, Inc.‡‡ | | | 2,195 | | | | | | | | 544,513 | |
Johnson & Johnson | | | 9,614 | | | | | | | | 1,343,268 | |
Kindred Healthcare, Inc. | | | 41,900 | | | | | | | | 406,430 | |
NxStage Medical, Inc.* | | | 15,860 | | | | | | | | 384,288 | |
Zoetis, Inc. | | | 17,624 | | | | | | | | 1,269,633 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,755,628 | |
| | | | | | | | | | | | |
Industrials — 2.7% | | | | | | | | | | | | |
Caterpillar, Inc. | | | 5,257 | | | | | | | | 828,398 | |
Cummins, Inc. | | | 1,456 | | | | | | | | 257,188 | |
Delta Air Lines, Inc. | | | 9,976 | | | | | | | | 558,656 | |
General Electric Co. | | | 38,244 | | | | | | | | 667,358 | |
Orbital ATK, Inc. | | | 13,649 | | | | | | | | 1,794,843 | |
Quanta Services, Inc.* | | | 35,262 | | | | | | | | 1,379,097 | |
Raytheon Co. | | | 4,242 | | | | | | | | 796,860 | |
Rockwell Collins, Inc.‡‡ | | | 26,355 | | | | | | | | 3,574,265 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 9,856,665 | |
| | | | | | | | | | | | |
Information Technology — 4.0% | | | | | |
Alphabet, Inc. Class A‡‡ * | | | 1,083 | | | | | | | | 1,140,832 | |
Apple, Inc. | | | 11,507 | | | | | | | | 1,947,330 | |
BroadSoft, Inc.* | | | 5,596 | | | | | | | | 307,220 | |
Cavium, Inc.* | | | 35,709 | | | | | | | | 2,993,485 | |
Dell Technologies, Inc. Class V* | | | 33,720 | | | | | | | | 2,740,762 | |
Facebook, Inc.
Class A‡‡ * | | | 8,448 | | | | | | | | 1,490,734 | |
| | | | | | | | | | | | |
| | | Shares | | | Value | |
Marvell Technology Group, Ltd. | | | 35,603 | | | | | | | $ | 764,396 | |
Microsoft Corporation | | | 8,403 | | | | | | | | 718,793 | |
PayPal Holdings, Inc.‡ * | | | 23,198 | | | | | | | | 1,707,837 | |
QUALCOMM, Inc. | | | 12,071 | | | | | | | | 772,785 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 14,584,174 | |
| | | | | | | | | | | | |
Materials — 2.2% | | | | | | | | | | | | |
Berry Global Group, Inc.* | | | 25,707 | | | | | | | | 1,508,230 | |
Deltic Timber Corporation | | | 556 | | | | | | | | 50,902 | |
DowDuPont, Inc. | | | 20,934 | | | | | | | | 1,490,919 | |
Huntsman Corporation‡ | | | 47,619 | | | | | | | | 1,585,237 | |
Monsanto Co.‡‡ | | | 11,479 | | | | | | | | 1,340,518 | |
Sherwin-Williams Co. (The)‡‡ | | | 2,911 | | | | | | | | 1,193,626 | |
WestRock Co. | | | 9,920 | | | | | | | | 627,043 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 7,796,475 | |
| | | | | | | | | | | | |
Real Estate — 0.6% | | | | | | | | | | | | |
American Tower Corporation REIT | | | 8,319 | | | | | | | | 1,186,872 | |
Forestar Group, Inc.* | | | 3,203 | | | | | | | | 70,466 | |
GGP, Inc. REIT | | | 30,700 | | | | | | | | 718,073 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,975,411 | |
| | | | | | | | | | | | |
Utilities — 1.2% | | | | | | | | | | | | |
Calpine Corporation* | | | 187,238 | | | | | | | | 2,832,911 | |
Dynegy, Inc.* | | | 118,937 | | | | | | | | 1,409,403 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,242,314 | |
| | | | | | | | | | | | |
Total Common Stocks
(Cost $72,569,438) | | | | | | | | | | | 74,252,758 | |
| | | | | | | | | | | | |
FOREIGN COMMON STOCKS — 2.0% | | | | | |
Canada — 0.3% | | | | | | | | | | | | |
Pure Technologies, Ltd. | | | 126,620 | | | | | | | | 904,573 | |
| | | | | | | | | | | | |
France — 0.2% | | | | | | | | | | | | |
Advanced Accelerator Applications SA ADR* | | | 7,648 | | | | | | | | 624,230 | |
| | | | | | | | | | | | |
Jersey — 0.0% | | | | | | | | | | | | |
Aptiv PLC | | | 141 | | | | | | | | 11,961 | |
| | | | | | | | | | | | |
Netherlands — 0.9% | | | | | | | | | | | | |
NXP Semiconductor NV* | | | 28,189 | | | | | | | | 3,300,650 | |
| | | | | | | | | | | | |
Switzerland — 0.0% | | | | | | | | | | | | |
Idorsia, Ltd.* | | | 6,147 | | | | | | | | 160,543 | |
| | | | | | | | | | | | |
United Kingdom — 0.6% | | | | | | | | | | | | |
Micro Focus International PLC ADR* | | | 28,310 | | | | | | | | 950,933 | |
Royal Dutch Shell PLC ADR Class A | | | 16,833 | | | | | | | | 1,122,929 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,073,862 | |
| | | | | | | | | | | | |
Total Foreign Common Stocks
(Cost $6,726,504) | | | | 7,075,819 | |
| | | | | | | | | | | | |
MUTUAL FUNDS — 1.4% | | | | | | | | | | | | |
Altaba, Inc. | | | 49,982 | | | | | | | | 3,491,243 | |
SPDR S&P Regional Banking ETF | | | 28,910 | | | | | | | | 1,701,353 | |
| | | | | | | | | | | | |
Total Mutual Funds
(Cost $5,095,359) | | | | 5,192,596 | |
| | | | | | | | | | | | |
| | | | |
| | See Notes to Financial Statements. | | 309 |
STRATEGIC ALTERNATIVES FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | |
| | | Shares | | | Value | |
MONEY MARKET FUNDS — 12.6% | |
GuideStone Money Market Fund | | | | | | | | | | | | |
(Investor Class)¥ | | | 26,434,836 | | | | | | | $ | 26,434,836 | |
Northern Institutional | | | | | | | | | | | | |
U.S. Government Portfolio | | | 18,961,307 | | | | | | | | 18,961,307 | |
| | | | | | | | | | | | |
Total Money Market Funds
(Cost $45,396,143) | | | | | | | | | | | 45,396,143 | |
| | | | | | | | | | | | |
TOTAL INVESTMENTS — 100.4%
(Cost $360,596,792) | | | | 362,298,892 | |
| | | | | | | | | | | | |
COMMON STOCKS SOLD SHORT — (7.7)% | |
Consumer Discretionary — (1.3)% | | | | | |
Discovery Communications, Inc. | | | | | | | | | | | | |
Class C * | | | (26,149 | ) | | | | | | | (553,574 | ) |
Goodyear Tire & Rubber Co. (The) | | | (6,853 | ) | | | | | | | (221,421 | ) |
McDonald’s Corporation | | | (3,238 | ) | | | | | | | (557,325 | ) |
Netflix, Inc. * | | | (4,494 | ) | | | | | | | (862,668 | ) |
Tesla, Inc. * | | | (2,504 | ) | | | | | | | (779,620 | ) |
Walt Disney Co. (The) | | | (10,579 | ) | | | | | | | (1,137,348 | ) |
Yum! Brands, Inc. | | | (6,373 | ) | | | | | | | (520,101 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (4,632,057 | ) |
| | | | | | | | | | | | |
Consumer Staples — (0.8)% | | | | | |
CVS Health Corporation | | | (28,422 | ) | | | | | | | (2,060,595 | ) |
Hormel Foods Corporation | | | (8,834 | ) | | | | | | | (321,469 | ) |
Procter & Gamble Co. (The) | | | (6,085 | ) | | | | | | | (559,090 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (2,941,154 | ) |
| | | | | | | | | | | | |
Energy — (0.3)% | | | | | | | | | | | | |
Exxon Mobil Corporation | | | (12,672 | ) | | | | | | | (1,059,886 | ) |
| | | | | | | | | | | | |
Financials — (0.5)% | | | | | | | | | | | | |
American International Group, Inc. | | | (18,846 | ) | | | | | | | (1,122,845 | ) |
BlackRock, Inc. | | | (1,629 | ) | | | | | | | (836,833 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (1,959,678 | ) |
| | | | | | | | | | | | |
Health Care — (0.6)% | | | | | |
Becton, Dickinson and Co. | | | (5,806 | ) | | | | | | | (1,242,832 | ) |
HCA Healthcare, Inc. * | | | (8,994 | ) | | | | | | | (790,033 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (2,032,865 | ) |
| | | | | | | | | | | | |
Industrials — (0.8)% | | | | | | | | | | | | |
3M Co. | | | (4,113 | ) | | | | | | | (968,077 | ) |
United Technologies Corporation | | | (6,484 | ) | | | | | | | (827,164 | ) |
W.W. Grainger, Inc. | | | (4,838 | ) | | | | | | | (1,142,977 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (2,938,218 | ) |
| | | | | | | | | | | | |
Information Technology — (2.1)% | | | | | |
Analog Devices, Inc. | | | (5,733 | ) | | | | | | | (510,409 | ) |
Applied Materials, Inc. | | | (9,582 | ) | | | | | | | (489,832 | ) |
Electronic Arts, Inc. * | | | (5,873 | ) | | | | | | | (617,017 | ) |
Intel Corporation | | | (16,681 | ) | | | | | | | (769,995 | ) |
Marvell Technology Group, Ltd. | | | (77,694 | ) | | | | | | | (1,668,090 | ) |
Oracle Corporation | | | (18,759 | ) | | | | | | | (886,926 | ) |
Texas Instruments, Inc. | | | (4,950 | ) | | | | | | | (516,978 | ) |
VMware, Inc. Class A * | | | (17,843 | ) | | | | | | | (2,236,085 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (7,695,332 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | | | Shares | | | Value | |
Real Estate — (0.5)% | | | | | |
Duke Realty Corporation REIT | | | | | | | (22,924 | ) | | $ | (623,762 | ) |
Potlatch Corporation REIT | | | | | | | (1,000 | ) | | | (49,900 | ) |
Simon Property Group, Inc. REIT | | | | | | | (2,380 | ) | | | (408,741 | ) |
SL Green Realty Corporation REIT | | | | (7,094 | ) | | | (715,998 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (1,798,401 | ) |
| | | | | | | | | | | | |
Telecommunication Services — (0.5)% | | | | | |
AT&T, Inc. | | | | | | | (44,335 | ) | | | (1,723,745 | ) |
| | | | | | | | | | | | |
Utilities — (0.3)% | | | | | |
Vistra Energy Corporation * | | | | | | | (55,478 | ) | | | (1,016,357 | ) |
| | | | | | | | | | | | |
Total Common Stocks Sold Short
(Proceeds $(26,838,141)) | | | | (27,797,693 | ) |
| | | | | | | | | | | | |
FOREIGN COMMON STOCKS SOLD SHORT — (1.2)% | |
China — (0.7)% | | | | | |
Alibaba Group Holding, Ltd. ADR * | | | | (13,878 | ) | | | (2,392,984 | ) |
| | | | | | | | | | | | |
Ireland — (0.1)% | | | | | |
Johnson Controls International PLC | | | | (10,900 | ) | | | (415,399 | ) |
| | | | | | | | | | | | |
Jersey — (0.2)% | | | | | | | | | | | | |
Aptiv PLC | | | | | | | (6,423 | ) | | | (544,863 | ) |
| | | | | | | | | | | | |
Singapore — (0.2)% | | | | | |
Broadcom, Ltd. | | | | | | | (3,171 | ) | | | (814,630 | ) |
| | | | | | | | | | | | |
Total Foreign Common Stocks Sold Short
(Proceeds $(4,298,075)) | | | | (4,167,876 | ) |
| | | | | | | | | | | | |
MUTUAL FUNDS SOLD SHORT — (2.1)% | |
Consumer Discretionary Select SPDR Fund | | | | (21,720 | ) | | | (2,143,547 | ) |
Consumer Staples Select SPDR Fund | | | | (43,240 | ) | | | (2,459,923 | ) |
Industrial Select Sector SPDR Fund | | | | (18,155 | ) | | | (1,373,789 | ) |
Utilities Select Sector SPDR Fund | | | | (32,947 | ) | | | (1,735,648 | ) |
| | | | | | | | | | | | |
Total Mutual Funds Sold Short
(Proceeds $(7,570,154)) | | | | (7,712,907 | ) |
| | | | | | | | | | | | |
| | | |
| | | Number of
Contracts | | | Notional
Amount | | | | |
WRITTEN OPTIONS — (0.2)% | |
Call Options — (0.1)% | |
General Motors Co., | | | | | | | | | | | | |
Strike Price $42.00, Expires 01/19/18 (CITI) | | | (188 | ) | | $ | (770,612 | ) | | | (9,212 | ) |
Halliburton Co., Strike Price $45.00, Expires 01/19/18 (CITI) | | | (245 | ) | | | (1,197,315 | ) | | | (99,960 | ) |
Halliburton Co., Strike Price $48.50, Expires 01/19/18 (CITI) | | | (103 | ) | | | (503,361 | ) | | | (13,081 | ) |
Huntsman Corporation, Strike Price $32.00, Expires 01/19/18 (CITI) | | | (188 | ) | | | (625,852 | ) | | | (33,276 | ) |
| | | | |
| 310 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | |
| | | Number of
Contracts | | | Notional
Amount | | | Value | |
PayPal Holdings, Inc., Strike Price $72.50, Expires 01/19/18 (CITI) | | | (147 | ) | | $ | (1,082,214 | ) | | $ | (33,369 | ) |
Royal Caribbean Cruises, Strike Price $125.00, Expires 01/19/18 (CITI) | | | (107 | ) | | | (1,276,296 | ) | | | (6,420 | ) |
S&P 500®, Strike Price $2,650.00, Expires 03/16/18 (CITI) | | | (35 | ) | | | (9,357,635 | ) | | | (220,850 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (416,168 | ) |
| | | | | | | | | | | | |
Put Options — (0.1)% | | | | | |
NIKE, Inc., Strike Price $61.50, Expires 01/19/18 (CITI) | | | (195 | ) | | | (1,219,725 | ) | | | (12,090 | ) |
S&P 500®, Strike Price $2,575.00, Expires 01/03/18 (MSCS) | | | (21 | ) | | | (16,576,382 | ) | | | (1,365 | ) |
S&P 500®, Strike Price $2,585.00, Expires 01/02/18 (MSCS) | | | (20 | ) | | | (16,843,743 | ) | | | (700 | ) |
S&P 500®, Strike Price $2,600.00, Expires 01/05/18 (MSCS) | | | (20 | ) | | | (16,843,743 | ) | | | (2,900 | ) |
S&P 500®, Strike Price $2,610.00, Expires 01/08/18 (MSCS) | | | (20 | ) | | | (16,309,021 | ) | | | (4,600 | ) |
S&P 500®, Strike Price $2,620.00, Expires 01/10/18 (MSCS) | | | (21 | ) | | | (15,774,299 | ) | | | (8,610 | ) |
| | | | | | | | | | | | |
| | | Number of
Contracts | | | Notional
Amount | | | Value | |
S&P 500®, Strike Price $2,625.00, Expires 01/12/18 (MSCS) | | | (21 | ) | | $ | (16,309,021 | ) | | $ | (12,117 | ) |
S&P 500®, Strike Price $2,625.00, Expires 01/24/18 (MSCS) | | | (21 | ) | | | (15,774,299 | ) | | | (22,890 | ) |
S&P 500®, Strike Price $2,630.00, Expires 01/17/18 (MSCS) | | | (22 | ) | | | (16,041,660 | ) | | | (18,040 | ) |
S&P 500®, Strike Price $2,630.00, Expires 01/22/18 (MSCS) | | | (22 | ) | | | (16,041,660 | ) | | | (23,320 | ) |
S&P 500®, Strike Price $2,630.00, Expires 01/26/18 (MSCS) | | | (22 | ) | | | (5,881,942 | ) | | | (27,368 | ) |
S&P 500®, Strike Price $2,635.00, Expires 01/19/18 (MSCS) | | | (20 | ) | | | (16,309,021 | ) | | | (21,600 | ) |
S&P 500®, Strike Price $2,650.00, Expires 01/16/18 (MSCS) | | | (22 | ) | | | (15,506,938 | ) | | | (22,902 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (178,502 | ) |
| | | | | | | | | | | | |
Total Written Options
(Premiums received $(584,941)) | | | | (594,670 | ) |
| | | | | | | | | | | | |
| |
Other Assets in Excess of
Liabilities — 10.8% | | | | 39,164,958 | |
| | | | | | | | | | | | |
NET ASSETS — 100.0% | | | $ | 361,190,704 | |
| | | | | | | | | | | | |
Forward Foreign Currency Contracts outstanding at December 31, 2017:
| | | | | | | | | | | | | | | | | | |
Expiration Date | | Currency Purchased | | Amount of
Currency
Purchased | | | Currency Sold | | Amount
of Currency
Sold | | | Counter-
party | | Net Unrealized
Appreciation
(Depreciation) | |
01/24/18 | | Australian Dollars | | | 9,523,697 | | | U.S. Dollars | | | 7,216,915 | | | GSC | | $ | 214,103 | |
01/24/18 | | Australian Dollars | | | 6,802,452 | | | U.S. Dollars | | | 5,172,945 | | | GSC | | | 134,777 | |
01/24/18 | | Euro | | | 4,001,565 | | | U.S. Dollars | | | 4,679,542 | | | GSC | | | 129,035 | |
01/24/18 | | Australian Dollars | | | 5,128,982 | | | U.S. Dollars | | | 3,875,767 | | | SS | | | 126,204 | |
01/24/18 | | U.S. Dollars | | | 2,858,675 | | | Norwegian Kroner | | | 22,487,193 | | | GSC | | | 117,823 | |
01/24/18 | | Australian Dollars | | | 7,253,355 | | | U.S. Dollars | | | 5,555,308 | | | GSC | | | 104,238 | |
01/24/18 | | Swiss Francs | | | 4,800,402 | | | U.S. Dollars | | | 4,831,444 | | | SS | | | 103,620 | |
01/24/18 | | Canadian Dollars | | | 5,450,228 | | | U.S. Dollars | | | 4,247,207 | | | GSC | | | 90,324 | |
01/24/18 | | Euro | | | 2,447,557 | | | U.S. Dollars | | | 2,851,135 | | | SS | | | 90,031 | |
01/24/18 | | Australian Dollars | | | 3,305,859 | | | U.S. Dollars | | | 2,496,419 | | | SS | | | 83,030 | |
01/24/18 | | British Pounds | | | 4,060,581 | | | U.S. Dollars | | | 5,405,770 | | | GSC | | | 81,301 | |
01/24/18 | | Canadian Dollars | | | 5,213,200 | | | U.S. Dollars | | | 4,068,296 | | | GSC | | | 80,597 | |
01/24/18 | | Swedish Kronor | | | 34,860,905 | | | U.S. Dollars | | | 4,177,840 | | | GSC | | | 78,494 | |
01/24/18 | | New Zealand Dollars | | | 3,656,323 | | | U.S. Dollars | | | 2,518,219 | | | SS | | | 72,169 | |
01/24/18 | | New Zealand Dollars | | | 3,676,412 | | | U.S. Dollars | | | 2,532,805 | | | GSC | | | 71,815 | |
| | | | |
| | See Notes to Financial Statements. | | 311 |
STRATEGIC ALTERNATIVES FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | | | | | | | | | |
Expiration Date | | Currency Purchased | | Amount of
Currency
Purchased | | | Currency Sold | | Amount
of Currency
Sold | | | Counter-
party | | | Net Unrealized
Appreciation
(Depreciation) | |
01/24/18 | | U.S. Dollars | | | 2,587,714 | | | Norwegian Kroner | | | 20,652,295 | | | | GSC | | | | $70,509 | |
01/24/18 | | Australian Dollars | | | 3,228,031 | | | U.S. Dollars | | | 2,449,352 | | | | GSC | | | | 69,370 | |
01/24/18 | | Canadian Dollars | | | 4,656,697 | | | U.S. Dollars | | | 3,637,615 | | | | GSC | | | | 68,388 | |
01/24/18 | | Swedish Kronor | | | 25,395,547 | | | U.S. Dollars | | | 3,032,464 | | | | GSC | | | | 68,200 | |
01/24/18 | | Swiss Francs | | | 3,982,499 | | | U.S. Dollars | | | 4,027,649 | | | | SS | | | | 66,568 | |
01/24/18 | | Euro | | | 1,629,294 | | | U.S. Dollars | | | 1,893,240 | | | | GSC | | | | 64,641 | |
01/24/18 | | Swiss Francs | | | 4,828,488 | | | U.S. Dollars | | | 4,899,730 | | | | SS | | | | 64,208 | |
01/24/18 | | Australian Dollars | | | 3,943,203 | | | U.S. Dollars | | | 3,012,568 | | | | SS | | | | 64,180 | |
01/24/18 | | New Zealand Dollars | | | 3,842,781 | | | U.S. Dollars | | | 2,659,673 | | | | GSC | | | | 62,814 | |
01/24/18 | | Australian Dollars | | | 2,630,932 | | | U.S. Dollars | | | 1,990,326 | | | | SS | | | | 62,500 | |
01/24/18 | | U.S. Dollars | | | 7,922,726 | | | Australian Dollars | | | 10,075,189 | | | | GSC | | | | 61,398 | |
01/24/18 | | New Zealand Dollars | | | 3,508,007 | | | U.S. Dollars | | | 2,424,328 | | | | GSC | | | | 60,983 | |
01/24/18 | | Australian Dollars | | | 4,280,334 | | | U.S. Dollars | | | 3,283,042 | | | | GSC | | | | 56,757 | |
01/24/18 | | Euro | | | 1,478,308 | | | U.S. Dollars | | | 1,720,847 | | | | GSC | | | | 55,598 | |
01/24/18 | | Australian Dollars | | | 2,556,736 | | | U.S. Dollars | | | 1,939,826 | | | | GSC | | | | 55,108 | |
01/24/18 | | Australian Dollars | | | 2,593,398 | | | U.S. Dollars | | | 1,968,648 | | | | SS | | | | 54,892 | |
01/24/18 | | British Pounds | | | 1,981,668 | | | U.S. Dollars | | | 2,623,867 | | | | GSC | | | | 53,965 | |
01/24/18 | | Swedish Kronor | | | 25,464,359 | | | U.S. Dollars | | | 3,055,424 | | | | SS | | | | 53,641 | |
01/24/18 | | U.S. Dollars | | | 3,461,909 | | | Swedish Kronor | | | 27,919,605 | | | | GSC | | | | 53,071 | |
01/24/18 | | U.S. Dollars | | | 6,517,994 | | | Australian Dollars | | | 8,285,709 | | | | SS | | | | 52,937 | |
01/24/18 | | South Korean Won | | | 1,079,994,118 | | | U.S. Dollars | | | 958,725 | | | | SS | | | | 52,934 | |
01/24/18 | | Euro | | | 1,455,031 | | | U.S. Dollars | | | 1,695,778 | | | | GSC | | | | 52,696 | |
01/24/18 | | U.S. Dollars | | | 4,232,320 | | | New Zealand Dollars | | | 5,902,076 | | | | SS | | | | 50,888 | |
01/24/18 | | Norwegian Kroner | | | 30,711,640 | | | U.S. Dollars | | | 3,692,966 | | | | GSC | | | | 50,322 | |
01/24/18 | | New Zealand Dollars | | | 2,499,866 | | | U.S. Dollars | | | 1,721,183 | | | | SS | | | | 49,892 | |
01/24/18 | | Euro | | | 3,250,554 | | | U.S. Dollars | | | 3,856,558 | | | | GSC | | | | 49,549 | |
01/24/18 | | Swedish Kronor | | | 24,865,553 | | | U.S. Dollars | | | 2,988,343 | | | | GSC | | | | 47,611 | |
01/24/18 | | Swedish Kronor | | | 15,905,757 | | | U.S. Dollars | | | 1,895,059 | | | | SS | | | | 46,951 | |
01/24/18 | | Swedish Kronor | | | 18,321,636 | | | U.S. Dollars | | | 2,191,261 | | | | GSC | | | | 45,715 | |
01/24/18 | | Euro | | | 2,882,011 | | | U.S. Dollars | | | 3,417,719 | | | | SS | | | | 45,519 | |
01/24/18 | | New Zealand Dollars | | | 1,871,114 | | | U.S. Dollars | | | 1,280,721 | | | | SS | | | | 44,903 | |
01/24/18 | | Australian Dollars | | | 2,618,443 | | | U.S. Dollars | | | 1,999,307 | | | | GSC | | | | 43,775 | |
01/24/18 | | British Pounds | | | 1,711,076 | | | U.S. Dollars | | | 2,268,699 | | | | SS | | | | 43,482 | |
01/24/18 | | British Pounds | | | 2,502,906 | | | U.S. Dollars | | | 3,339,302 | | | | SS | | | | 42,880 | |
01/24/18 | | Euro | | | 2,210,749 | | | U.S. Dollars | | | 2,614,301 | | | | GSC | | | | 42,298 | |
01/24/18 | | Euro | | | 2,790,893 | | | U.S. Dollars | | | 3,313,962 | | | | GSC | | | | 39,782 | |
01/24/18 | | New Zealand Dollars | | | 2,969,721 | | | U.S. Dollars | | | 2,064,829 | | | | GSC | | | | 39,123 | |
01/24/18 | | U.S. Dollars | | | 11,573,626 | | | Swiss Francs | | | 11,220,052 | | | | SS | | | | 38,827 | |
01/24/18 | | U.S. Dollars | | | 10,777,097 | | | New Zealand Dollars | | | 15,161,500 | | | | SS | | | | 35,660 | |
01/24/18 | | New Zealand Dollars | | | 1,850,892 | | | U.S. Dollars | | | 1,276,745 | | | | SS | | | | 34,552 | |
01/24/18 | | Swedish Kronor | | | 16,539,354 | | | U.S. Dollars | | | 1,985,517 | | | | SS | | | | 33,852 | |
01/24/18 | | U.S. Dollars | | | 1,518,232 | | | Mexican Pesos | | | 29,334,073 | | | | SS | | | | 33,653 | |
01/24/18 | | Swiss Francs | | | 1,843,341 | | | U.S. Dollars | | | 1,863,806 | | | | GSC | | | | 31,245 | |
01/24/18 | | British Pounds | | | 842,475 | | | U.S. Dollars | | | 1,108,971 | | | | JPM | | | | 29,467 | |
01/24/18 | | British Pounds | | | 719,163 | | | U.S. Dollars | | | 942,575 | | | | JPM | | | | 29,232 | |
01/24/18 | | Swedish Kronor | | | 11,879,387 | | | U.S. Dollars | | | 1,421,645 | | | | GSC | | | | 28,766 | |
01/24/18 | | Australian Dollars | | | 1,691,820 | | | U.S. Dollars | | | 1,291,813 | | | | SS | | | | 28,257 | |
01/24/18 | | U.S. Dollars | | | 3,311,834 | | | Japanese Yen | | | 369,633,824 | | | | SS | | | | 27,326 | |
01/24/18 | | British Pounds | | | 1,080,087 | | | U.S. Dollars | | | 1,432,390 | | | | SS | | | | 27,134 | |
01/24/18 | | Swedish Kronor | | | 14,638,228 | | | U.S. Dollars | | | 1,760,447 | | | | GSC | | | | 26,804 | |
01/24/18 | | Japanese Yen | | | 1,070,605,567 | | | U.S. Dollars | | | 9,487,231 | | | | GSC | | | | 26,002 | |
01/24/18 | | Swedish Kronor | | | 8,155,446 | | | U.S. Dollars | | | 971,847 | | | | JPM | | | | 23,890 | |
01/24/18 | | Australian Dollars | | | 999,732 | | | U.S. Dollars | | | 757,284 | | | | GSC | | | | 22,773 | |
01/24/18 | | U.S. Dollars | | | 2,992,418 | | | Australian Dollars | | | 3,808,359 | | | | SS | | | | 20,885 | |
| | | | |
| 312 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | | | | | |
Expiration Date | | Currency Purchased | | Amount of
Currency
Purchased | | | Currency Sold | | Amount
of Currency
Sold | | | Counter-
party | | | Net Unrealized
Appreciation
(Depreciation) | |
01/24/18 | | Norwegian Kroner | | | 17,922,000 | | | U.S. Dollars | | | 2,164,493 | | | | SS | | | | $19,930 | |
01/24/18 | | Canadian Dollars | | | 1,606,925 | | | U.S. Dollars | | | 1,259,284 | | | | JPM | | | | 19,577 | |
01/24/18 | | Japanese Yen | | | 233,741,111 | | | U.S. Dollars | | | 2,057,435 | | | | SS | | | | 19,551 | |
01/24/18 | | Canadian Dollars | | | 1,147,414 | | | U.S. Dollars | | | 893,833 | | | | SS | | | | 19,329 | |
01/24/18 | | Canadian Dollars | | | 994,324 | | | U.S. Dollars | | | 772,339 | | | | SS | | | | 18,988 | |
01/24/18 | | Canadian Dollars | | | 3,163,305 | | | U.S. Dollars | | | 2,498,973 | | | | GSC | | | | 18,524 | |
01/24/18 | | Australian Dollars | | | 773,271 | | | U.S. Dollars | | | 585,454 | | | | GSC | | | | 17,904 | |
01/24/18 | | Canadian Dollars | | | 1,923,344 | | | U.S. Dollars | | | 1,513,043 | | | | SS | | | | 17,638 | |
01/24/18 | | British Pounds | | | 1,863,918 | | | U.S. Dollars | | | 2,501,320 | | | | GSC | | | | 17,396 | |
01/24/18 | | Swedish Kronor | | | 6,925,650 | | | U.S. Dollars | | | 828,365 | | | | GSC | | | | 17,220 | |
01/24/18 | | U.S. Dollars | | | 2,487,970 | | | Canadian Dollars | | | 3,104,673 | | | | GSC | | | | 17,135 | |
01/24/18 | | New Zealand Dollars | | | 937,123 | | | U.S. Dollars | | | 647,969 | | | | GSC | | | | 15,953 | |
01/24/18 | | Euro | | | 1,143,095 | | | U.S. Dollars | | | 1,358,246 | | | | GSC | | | | 15,382 | |
01/24/18 | | British Pounds | | | 1,007,373 | | | U.S. Dollars | | | 1,346,157 | | | | GSC | | | | 15,109 | |
01/24/18 | | New Zealand Dollars | | | 1,536,415 | | | U.S. Dollars | | | 1,073,939 | | | | SS | | | | 14,562 | |
01/24/18 | | Japanese Yen | | | 141,554,536 | | | U.S. Dollars | | | 1,243,703 | | | | JPM | | | | 14,128 | |
01/24/18 | | Australian Dollars | | | 652,879 | | | U.S. Dollars | | | 495,672 | | | | GSC | | | | 13,747 | |
01/24/18 | | British Pounds | | | 383,147 | | | U.S. Dollars | | | 504,034 | | | | SS | | | | 13,714 | |
01/24/18 | | British Pounds | | | 584,568 | | | U.S. Dollars | | | 777,113 | | | | GSC | | | | 12,815 | |
01/24/18 | | Euro | | | 2,901,433 | | | U.S. Dollars | | | 3,474,420 | | | | GSC | | | | 12,157 | |
01/24/18 | | Japanese Yen | | | 288,679,575 | | | U.S. Dollars | | | 2,553,128 | | | | GSC | | | | 12,034 | |
01/24/18 | | U.S. Dollars | | | 2,466,758 | | | Norwegian Kroner | | | 20,141,062 | | | | GSC | | | | 11,864 | |
01/24/18 | | New Zealand Dollars | | | 630,933 | | | U.S. Dollars | | | 435,269 | | | | JPM | | | | 11,727 | |
01/24/18 | | Swiss Francs | | | 625,013 | | | U.S. Dollars | | | 631,473 | | | | SS | | | | 11,073 | |
01/24/18 | | Australian Dollars | | | 817,065 | | | U.S. Dollars | | | 626,644 | | | | GSC | | | | 10,884 | |
01/24/18 | | Canadian Dollars | | | 597,569 | | | U.S. Dollars | | | 464,781 | | | | GSC | | | | 10,791 | |
01/24/18 | | Canadian Dollars | | | 1,401,388 | | | U.S. Dollars | | | 1,104,566 | | | | GSC | | | | 10,720 | |
01/24/18 | | U.S. Dollars | | | 7,073,312 | | | Australian Dollars | | | 9,051,788 | | | | SS | | | | 10,509 | |
01/24/18 | | British Pounds | | | 472,726 | | | U.S. Dollars | | | 628,508 | | | | SS | | | | 10,287 | |
01/24/18 | | Euro | | | 742,464 | | | U.S. Dollars | | | 882,000 | | | | GSC | | | | 10,200 | |
01/24/18 | | Japanese Yen | | | 335,770,366 | | | U.S. Dollars | | | 2,973,735 | | | | SS | | | | 9,868 | |
01/24/18 | | Norwegian Kroner | | | 23,464,447 | | | U.S. Dollars | | | 2,850,356 | | | | GSC | | | | 9,608 | |
01/24/18 | | British Pounds | | | 322,719 | | | U.S. Dollars | | | 426,621 | | | | SS | | | | 9,470 | |
01/24/18 | | British Pounds | | | 385,387 | | | U.S. Dollars | | | 511,579 | | | | GSC | | | | 9,195 | |
01/24/18 | | Euro | | | 482,715 | | | U.S. Dollars | | | 570,883 | | | | JPM | | | | 9,183 | |
01/24/18 | | Swiss Francs | | | 847,208 | | | U.S. Dollars | | | 862,284 | | | | GSC | | | | 8,690 | |
01/24/18 | | British Pounds | | | 498,738 | | | U.S. Dollars | | | 665,569 | | | | GSC | | | | 8,376 | |
01/24/18 | | Japanese Yen | | | 100,519,055 | | | U.S. Dollars | | | 884,999 | | | | SS | | | | 8,198 | |
01/24/18 | | U.S. Dollars | | | 1,982,087 | | | Japanese Yen | | | 222,170,182 | | | | SS | | | | 7,918 | |
01/24/18 | | Euro | | | 407,081 | | | U.S. Dollars | | | 481,300 | | | | SS | | | | 7,879 | |
01/24/18 | | U.S. Dollars | | | 3,628,788 | | | Japanese Yen | | | 407,500,158 | | | | GSC | | | | 7,805 | |
01/24/18 | | Euro | | | 319,238 | | | U.S. Dollars | | | 375,999 | | | | JPM | | | | 7,622 | |
01/24/18 | | U.S. Dollars | | | 2,325,021 | | | Canadian Dollars | | | 2,912,042 | | | | GSC | | | | 7,490 | |
01/24/18 | | U.S. Dollars | | | 828,199 | | | Norwegian Kroner | | | 6,737,275 | | | | GSC | | | | 7,026 | |
01/24/18 | | U.S. Dollars | | | 2,333,966 | | | Norwegian Kroner | | | 19,093,826 | | | | SS | | | | 6,715 | |
01/24/18 | | Swiss Francs | | | 559,014 | | | U.S. Dollars | | | 568,131 | | | | SS | | | | 6,565 | |
01/24/18 | | British Pounds | | | 463,235 | | | U.S. Dollars | | | 619,689 | | | | GSC | | | | 6,281 | |
01/24/18 | | U.S. Dollars | | | 645,211 | | | Australian Dollars | | | 818,868 | | | | SS | | | | 6,277 | |
01/24/18 | | Australian Dollars | | | 595,135 | | | U.S. Dollars | | | 458,161 | | | | SS | | | | 6,203 | |
01/24/18 | | Swiss Francs | | | 478,660 | | | U.S. Dollars | | | 485,915 | | | | GSC | | | | 6,173 | |
01/24/18 | | Norwegian Kroner | | | 23,717,060 | | | U.S. Dollars | | | 2,884,677 | | | | GSC | | | | 6,077 | |
01/24/18 | | U.S. Dollars | | | 1,950,286 | | | Japanese Yen | | | 218,800,642 | | | | GSC | | | | 6,058 | |
01/24/18 | | U.S. Dollars | | | 541,862 | | | Norwegian Kroner | | | 4,397,155 | | | | SS | | | | 5,915 | |
01/24/18 | | Euro | | | 498,434 | | | U.S. Dollars | | | 593,093 | | | | GSC | | | | 5,862 | |
| | | | |
| | See Notes to Financial Statements. | | 313 |
STRATEGIC ALTERNATIVES FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | | | | | | | | | |
Expiration Date | | Currency Purchased | | Amount of
Currency
Purchased | | | Currency Sold | | Amount
of Currency
Sold | | | Counter-
party | | | Net Unrealized
Appreciation
(Depreciation) | |
01/24/18 | | Euro | | | 327,351 | | | U.S. Dollars | | | 387,675 | | | | GSC | | | $ | 5,694 | |
01/24/18 | | U.S. Dollars | | | 341,813 | | | Swedish Kronor | | | 2,756,990 | | | | GSC | | | | 5,199 | |
01/24/18 | | U.S. Dollars | | | 853,719 | | | Japanese Yen | | | 95,508,938 | | | | GSC | | | | 5,041 | |
01/24/18 | | U.S. Dollars | | | 632,096 | | | Norwegian Kroner | | | 5,145,515 | | | | SS | | | | 4,935 | |
01/24/18 | | British Pounds | | | 287,301 | | | U.S. Dollars | | | 383,505 | | | | SS | | | | 4,725 | |
01/24/18 | | U.S. Dollars | | | 682,507 | | | Swedish Kronor | | | 5,552,563 | | | | SS | | | | 4,568 | |
01/24/18 | | Canadian Dollars | | | 3,208,382 | | | U.S. Dollars | | | 2,549,005 | | | | GSC | | | | 4,366 | |
01/24/18 | | U.S. Dollars | | | 377,132 | | | Norwegian Kroner | | | 3,058,904 | | | | GSC | | | | 4,297 | |
01/24/18 | | U.S. Dollars | | | 4,360,802 | | | Japanese Yen | | | 490,276,267 | | | | SS | | | | 4,284 | |
01/24/18 | | U.S. Dollars | | | 755,183 | | | Japanese Yen | | | 84,560,488 | | | | SS | | | | 3,792 | |
01/24/18 | | U.S. Dollars | | | 359,523 | | | Swedish Kronor | | | 2,914,782 | | | | GSC | | | | 3,644 | |
01/24/18 | | U.S. Dollars | | | 2,125,199 | | | British Pounds | | | 1,570,023 | | | | SS | | | | 3,623 | |
01/24/18 | | U.S. Dollars | | | 750,645 | | | Swiss Francs | | | 726,643 | | | | SS | | | | 3,618 | |
01/24/18 | | U.S. Dollars | | | 955,845 | | | Australian Dollars | | | 1,220,454 | | | | SS | | | | 3,566 | |
01/24/18 | | Japanese Yen | | | 222,741,456 | | | U.S. Dollars | | | 1,975,920 | | | | SS | | | | 3,326 | |
01/24/18 | | Euro | | | 5,577,082 | | | U.S. Dollars | | | 6,698,522 | | | | SS | | | | 3,313 | |
01/24/18 | | U.S. Dollars | | | 529,844 | | | Japanese Yen | | | 59,330,471 | | | | GSC | | | | 2,643 | |
01/24/18 | | U.S. Dollars | | | 473,287 | | | Norwegian Kroner | | | 3,862,744 | | | | GSC | | | | 2,476 | |
01/24/18 | | Japanese Yen | | | 37,210,241 | | | U.S. Dollars | | | 328,314 | | | | JPM | | | | 2,331 | |
01/24/18 | | Swiss Francs | | | 552,577 | | | U.S. Dollars | | | 565,817 | | | | SS | | | | 2,261 | |
01/24/18 | | Japanese Yen | | | 70,544,865 | | | U.S. Dollars | | | 624,611 | | | | SS | | | | 2,239 | |
01/24/18 | | U.S. Dollars | | | 609,295 | | | Swedish Kronor | | | 4,974,464 | | | | JPM | | | | 1,939 | |
01/24/18 | | U.S. Dollars | | | 332,539 | | | Australian Dollars | | | 423,803 | | | | SS | | | | 1,860 | |
01/24/18 | | Japanese Yen | | | 108,146,663 | | | U.S. Dollars | | | 959,662 | | | | GSC | | | | 1,313 | |
01/24/18 | | U.S. Dollars | | | 6,266,140 | | | British Pounds | | | 4,636,159 | | | | SS | | | | 1,289 | |
01/24/18 | | U.S. Dollars | | | 2,509,514 | | | Norwegian Kroner | | | 20,580,476 | | | | SS | | | | 1,063 | |
01/24/18 | | U.S. Dollars | | | 437,032 | | | Australian Dollars | | | 559,279 | | | | SS | | | | 645 | |
01/24/18 | | Norwegian Kroner | | | 12,688,539 | | | U.S. Dollars | | | 1,546,054 | | | | GSC | | | | 489 | |
| | | | | | | | | | | | | | | | | | | | |
Subtotal Appreciation | | | | | | | | | | | | | | | | $ | 4,793,775 | |
| | | | | | | | | | | | | | | | | | | | |
01/24/18 | | Norwegian Kroner | | | 4,096,254 | | | U.S. Dollars | | | 499,281 | | | | SS | | | $ | (9 | ) |
01/24/18 | | Australian Dollars | | | 2,415,313 | | | U.S. Dollars | | | 1,884,640 | | | | GSC | | | | (53 | ) |
01/24/18 | | Australian Dollars | | | 162,021 | | | U.S. Dollars | | | 126,663 | | | | GSC | | | | (244 | ) |
01/24/18 | | U.S. Dollars | | | 800,043 | | | Japanese Yen | | | 90,084,792 | | | | SS | | | | (437 | ) |
01/24/18 | | U.S. Dollars | | | 678,296 | | | Swiss Francs | | | 660,324 | | | | SS | | | | (551 | ) |
01/24/18 | | Norwegian Kroner | | | 3,437,014 | | | U.S. Dollars | | | 419,648 | | | | SS | | | | (727 | ) |
01/24/18 | | Canadian Dollars | | | 750,577 | | | U.S. Dollars | | | 598,324 | | | | SS | | | | (982 | ) |
01/24/18 | | U.S. Dollars | | | 681,007 | | | Japanese Yen | | | 76,764,476 | | | | GSC | | | | (1,110 | ) |
01/24/18 | | U.S. Dollars | | | 468,243 | | | Swiss Francs | | | 456,551 | | | | SS | | | | (1,115 | ) |
01/24/18 | | U.S. Dollars | | | 435,243 | | | Japanese Yen | | | 49,108,470 | | | | JPM | | | | (1,127 | ) |
01/24/18 | | U.S. Dollars | | | 1,081,999 | | | Swiss Francs | | | 1,054,311 | | | | SS | | | | (1,887 | ) |
01/24/18 | | Swiss Francs | | | 518,123 | | | U.S. Dollars | | | 534,632 | | | | GSC | | | | (1,975 | ) |
01/24/18 | | Canadian Dollars | | | 721,016 | | | U.S. Dollars | | | 576,149 | | | | SS | | | | (2,333 | ) |
01/24/18 | | U.S. Dollars | | | 597,790 | | | British Pounds | | | 444,135 | | | | GSC | | | | (2,370 | ) |
01/24/18 | | Canadian Dollars | | | 434,435 | | | U.S. Dollars | | | 348,311 | | | | SS | | | | (2,569 | ) |
01/24/18 | | Canadian Dollars | | | 6,040,736 | | | U.S. Dollars | | | 4,810,158 | | | | SS | | | | (2,676 | ) |
01/24/18 | | Norwegian Kroner | | | 3,236,974 | | | U.S. Dollars | | | 397,302 | | | | GSC | | | | (2,764 | ) |
01/24/18 | | Swedish Kronor | | | 6,444,264 | | | U.S. Dollars | | | 789,806 | | | | SS | | | | (2,995 | ) |
01/24/18 | | Swedish Kronor | | | 25,435,131 | | | U.S. Dollars | | | 3,108,760 | | | | SS | | | | (3,264 | ) |
01/24/18 | | New Zealand Dollars | | | 384,076 | | | U.S. Dollars | | | 275,678 | | | | SS | | | | (3,573 | ) |
01/24/18 | | U.S. Dollars | | | 2,046,532 | | | Japanese Yen | | | 230,739,971 | | | | GSC | | | | (3,787 | ) |
01/24/18 | | U.S. Dollars | | | 568,253 | | | Swiss Francs | | | 556,903 | | | | GSC | | | | (4,273 | ) |
01/24/18 | | U.S. Dollars | | | 1,109,826 | | | Japanese Yen | | | 125,381,475 | | | | SS | | | | (4,294 | ) |
01/24/18 | | U.S. Dollars | | | 610,779 | | | Japanese Yen | | | 69,237,873 | | | | SS | | | | (4,458 | ) |
| | | | |
| 314 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | | | | | |
Expiration Date | | Currency Purchased | | Amount of
Currency
Purchased | | | Currency Sold | | Amount
of Currency
Sold | | | Counter-
party | | | Net Unrealized
Appreciation
(Depreciation) | |
01/24/18 | | Japanese Yen | | | 237,251,319 | | | U.S. Dollars | | | 2,112,675 | | | | SS | | | $ | (4,497 | ) |
01/24/18 | | Japanese Yen | | | 125,722,519 | | | U.S. Dollars | | | 1,121,701 | | | | SS | | | | (4,551 | ) |
01/24/18 | | Swedish Kronor | | | 45,722,475 | | | U.S. Dollars | | | 5,587,120 | | | | SS | | | | (4,645 | ) |
01/24/18 | | U.S. Dollars | | | 792,483 | | | Swiss Francs | | | 775,903 | | | | SS | | | | (5,185 | ) |
01/24/18 | | Japanese Yen | | | 79,968,188 | | | U.S. Dollars | | | 715,905 | | | | SS | | | | (5,320 | ) |
01/24/18 | | Norwegian Kroner | | | 3,931,848 | | | U.S. Dollars | | | 484,970 | | | | JPM | | | | (5,737 | ) |
01/24/18 | | Japanese Yen | | | 95,352,620 | | | U.S. Dollars | | | 853,065 | | | | SS | | | | (5,777 | ) |
01/24/18 | | U.S. Dollars | | | 663,564 | | | Euro | | | 557,454 | | | | SS | | | | (6,314 | ) |
01/24/18 | | U.S. Dollars | | | 496,886 | | | Canadian Dollars | | | 632,679 | | | | SS | | | | (6,628 | ) |
01/24/18 | | U.S. Dollars | | | 480,647 | | | Canadian Dollars | | | 613,218 | | | | GSC | | | | (7,378 | ) |
01/24/18 | | Japanese Yen | | | 77,843,509 | | | U.S. Dollars | | | 699,118 | | | | SS | | | | (7,413 | ) |
01/24/18 | | U.S. Dollars | | | 427,457 | | | Euro | | | 362,106 | | | | SS | | | | (7,676 | ) |
01/24/18 | | U.S. Dollars | | | 629,491 | | | Swedish Kronor | | | 5,221,356 | | | | GSC | | | | (8,009 | ) |
01/24/18 | | U.S. Dollars | | | 1,689,231 | | | Japanese Yen | | | 191,077,320 | | | | GSC | | | | (8,652 | ) |
01/24/18 | | Norwegian Kroner | | | 7,459,839 | | | U.S. Dollars | | | 918,071 | | | | GSC | | | | (8,828 | ) |
01/24/18 | | Swedish Kronor | | | 7,598,055 | | | U.S. Dollars | | | 936,540 | | | | SS | | | | (8,857 | ) |
01/24/18 | | U.S. Dollars | | | 987,852 | | | Euro | | | 829,466 | | | | SS | | | | (8,896 | ) |
01/24/18 | | U.S. Dollars | | | 4,020,551 | | | Swiss Francs | | | 3,919,515 | | | | SS | | | | (8,915 | ) |
01/24/18 | | Japanese Yen | | | 81,169,032 | | | U.S. Dollars | | | 730,182 | | | | GSC | | | | (8,927 | ) |
01/24/18 | | Norwegian Kroner | | | 15,297,103 | | | U.S. Dollars | | | 1,873,930 | | | | JPM | | | | (9,442 | ) |
01/24/18 | | U.S. Dollars | | | 636,774 | | | Euro | | | 537,873 | | | | SS | | | | (9,574 | ) |
01/24/18 | | U.S. Dollars | | | 2,519,829 | | | Swiss Francs | | | 2,460,663 | | | | GSC | | | | (9,862 | ) |
01/24/18 | | U.S. Dollars | | | 344,222 | | | British Pounds | | | 262,106 | | | | GSC | | | | (9,962 | ) |
01/24/18 | | U.S. Dollars | | | 810,582 | | | Canadian Dollars | | | 1,031,409 | | | | SS | | | | (10,258 | ) |
01/24/18 | | U.S. Dollars | | | 697,873 | | | Swiss Francs | | | 689,167 | | | | SS | | | | (10,627 | ) |
01/24/18 | | U.S. Dollars | | | 679,962 | | | Australian Dollars | | | 885,194 | | | | JPM | | | | (10,725 | ) |
01/24/18 | | U.S. Dollars | | | 622,042 | | | Australian Dollars | | | 811,153 | | | | GSC | | | | (10,873 | ) |
01/24/18 | | U.S. Dollars | | | 2,199,254 | | | Euro | | | 1,839,541 | | | | GSC | | | | (11,275 | ) |
01/24/18 | | U.S. Dollars | | | 678,260 | | | Euro | | | 573,883 | | | | SS | | | | (11,361 | ) |
01/24/18 | | Norwegian Kroner | | | 37,044,261 | | | U.S. Dollars | | | 4,526,508 | | | | SS | | | | (11,368 | ) |
01/24/18 | | U.S. Dollars | | | 398,329 | | | Australian Dollars | | | 525,504 | | | | SS | | | | (11,704 | ) |
01/24/18 | | U.S. Dollars | | | 874,626 | | | Australian Dollars | | | 1,136,291 | | | | SS | | | | (11,983 | ) |
01/24/18 | | U.S. Dollars | | | 551,122 | | | Swedish Kronor | | | 4,615,680 | | | | SS | | | | (12,428 | ) |
01/24/18 | | U.S. Dollars | | | 581,909 | | | British Pounds | | | 439,910 | | | | GSC | | | | (12,543 | ) |
01/24/18 | | U.S. Dollars | | | 1,754,873 | | | Japanese Yen | | | 198,909,020 | | | | GSC | | | | (12,602 | ) |
01/24/18 | | U.S. Dollars | | | 395,575 | | | New Zealand Dollars | | | 576,313 | | | | GSC | | | | (12,724 | ) |
01/24/18 | | Norwegian Kroner | | | 3,035,935 | | | U.S. Dollars | | | 382,780 | | | | SS | | | | (12,745 | ) |
01/24/18 | | U.S. Dollars | | | 681,519 | | | Norwegian Kroner | | | 5,696,752 | | | | SS | | | | (12,829 | ) |
01/24/18 | | Japanese Yen | | | 125,550,891 | | | U.S. Dollars | | | 1,128,486 | | | | SS | | | | (12,861 | ) |
01/24/18 | | Norwegian Kroner | | | 18,977,973 | | | U.S. Dollars | | | 2,326,947 | | | | GSC | | | | (13,816 | ) |
01/24/18 | | U.S. Dollars | | | 1,397,667 | | | Japanese Yen | | | 158,849,026 | | | | SS | | | | (13,841 | ) |
01/24/18 | | U.S. Dollars | | | 2,806,277 | | | Japanese Yen | | | 317,416,830 | | | | GSC | | | | (14,239 | ) |
01/24/18 | | Canadian Dollars | | | 4,155,675 | | | U.S. Dollars | | | 3,321,776 | | | | SS | | | | (14,508 | ) |
01/24/18 | | Japanese Yen | | | 1,290,323,446 | | | U.S. Dollars | | | 11,480,665 | | | | SS | | | | (15,054 | ) |
01/24/18 | | U.S. Dollars | | | 1,990,243 | | | Japanese Yen | | | 225,761,799 | | | | GSC | | | | (15,841 | ) |
01/24/18 | | U.S. Dollars | | | 913,354 | | | Swiss Francs | | | 903,901 | | | | JPM | | | | (15,903 | ) |
01/24/18 | | U.S. Dollars | | | 4,581,366 | | | Swiss Francs | | | 4,471,968 | | | | GSC | | | | (16,050 | ) |
01/24/18 | | U.S. Dollars | | | 1,150,841 | | | Swiss Francs | | | 1,135,199 | | | | GSC | | | | (16,203 | ) |
01/24/18 | | Norwegian Kroner | | | 14,518,359 | | | U.S. Dollars | | | 1,785,853 | | | | SS | | | | (16,283 | ) |
01/24/18 | | U.S. Dollars | | | 1,352,286 | | | Norwegian Kroner | | | 11,229,558 | | | | SS | | | | (16,429 | ) |
01/24/18 | | New Zealand Dollars | | | 5,689,444 | | | U.S. Dollars | | | 4,047,635 | | | | GSC | | | | (16,846 | ) |
01/24/18 | | U.S. Dollars | | | 2,075,061 | | | Canadian Dollars | | | 2,628,625 | | | | SS | | | | (16,914 | ) |
01/24/18 | | U.S. Dollars | | | 4,079,273 | | | British Pounds | | | 3,031,305 | | | | GSC | | | | (16,936 | ) |
01/24/18 | | U.S. Dollars | | | 652,337 | | | Euro | | | 557,234 | | | | GSC | | | | (17,277 | ) |
| | | | |
| | See Notes to Financial Statements. | | 315 |
STRATEGIC ALTERNATIVES FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | | | | | | | |
Expiration Date | | Currency Purchased | | Amount of
Currency
Purchased | | | Currency Sold | | Amount
of Currency
Sold | | | Counter-
party | | Net Unrealized
Appreciation
(Depreciation) | |
01/24/18 | | U.S. Dollars | | | 1,868,918 | | | Canadian Dollars | | | 2,370,125 | | | GSC | | $ | (17,331 | ) |
01/24/18 | | U.S. Dollars | | | 501,419 | | | New Zealand Dollars | | | 733,337 | | | GSC | | | (18,127 | ) |
01/24/18 | | U.S. Dollars | | | 1,114,953 | | | Canadian Dollars | | | 1,424,037 | | | GSC | | | (18,358 | ) |
01/24/18 | | U.S. Dollars | | | 503,079 | | | Australian Dollars | | | 668,495 | | | SS | | | (18,525 | ) |
01/24/18 | | U.S. Dollars | | | 1,458,812 | | | Swiss Francs | | | 1,437,370 | | | GSC | | | (18,880 | ) |
01/24/18 | | U.S. Dollars | | | 1,360,415 | | | Canadian Dollars | | | 1,733,189 | | | SS | | | (18,933 | ) |
01/24/18 | | Norwegian Kroner | | | 31,514,960 | | | U.S. Dollars | | | 3,860,665 | | | GSC | | | (19,464 | ) |
01/24/18 | | U.S. Dollars | | | 1,101,061 | | | Euro | | | 932,573 | | | SS | | | (19,588 | ) |
01/24/18 | | U.S. Dollars | | | 993,676 | | | Canadian Dollars | | | 1,273,602 | | | GSC | | | (19,912 | ) |
01/24/18 | | Norwegian Kroner | | | 19,438,438 | | | U.S. Dollars | | | 2,389,651 | | | GSC | | | (20,397 | ) |
01/24/18 | | U.S. Dollars | | | 1,674,713 | | | Canadian Dollars | | | 2,130,245 | | | SS | | | (20,629 | ) |
01/24/18 | | U.S. Dollars | | | 4,933,500 | | | Norwegian Kroner | | | 40,647,991 | | | SS | | | (20,881 | ) |
01/24/18 | | Norwegian Kroner | | | 18,075,347 | | | U.S. Dollars | | | 2,224,092 | | | GSC | | | (20,978 | ) |
01/24/18 | | Japanese Yen | | | 259,109,221 | | | U.S. Dollars | | | 2,323,652 | | | GSC | | | (21,248 | ) |
01/24/18 | | U.S. Dollars | | | 2,839,157 | | | Swiss Francs | | | 2,782,476 | | | GSC | | | (21,374 | ) |
01/24/18 | | U.S. Dollars | | | 1,133,959 | | | Swiss Francs | | | 1,125,624 | | | JPM | | | (23,242 | ) |
01/24/18 | | U.S. Dollars | | | 1,148,253 | | | Canadian Dollars | | | 1,472,565 | | | SS | | | (23,679 | ) |
01/24/18 | | U.S. Dollars | | | 2,291,605 | | | British Pounds | | | 1,714,381 | | | GSC | | | (25,042 | ) |
01/24/18 | | U.S. Dollars | | | 2,415,869 | | | Euro | | | 2,031,836 | | | GSC | | | (25,735 | ) |
01/24/18 | | U.S. Dollars | | | 1,966,548 | | | Canadian Dollars | | | 2,504,073 | | | GSC | | | (26,303 | ) |
01/24/18 | | Japanese Yen | | | 220,148,362 | | | U.S. Dollars | | | 1,982,804 | | | GSC | | | (26,600 | ) |
01/24/18 | | U.S. Dollars | | | 1,101,693 | | | Australian Dollars | | | 1,448,772 | | | GSC | | | (28,735 | ) |
01/24/18 | | U.S. Dollars | | | 3,309,506 | | | Japanese Yen | | | 375,767,963 | | | SS | | | (29,509 | ) |
01/24/18 | | U.S. Dollars | | | 1,607,361 | | | Euro | | | 1,362,274 | | | SS | | | (29,649 | ) |
01/24/18 | | U.S. Dollars | | | 1,990,292 | | | Canadian Dollars | | | 2,539,294 | | | SS | | | (30,590 | ) |
01/24/18 | | U.S. Dollars | | | 1,903,814 | | | Swedish Kronor | | | 15,846,893 | | | GSC | | | (31,009 | ) |
01/24/18 | | U.S. Dollars | | | 3,359,420 | | | Euro | | | 2,821,425 | | | GSC | | | (31,013 | ) |
01/24/18 | | Swedish Kronor | | | 19,523,560 | | | U.S. Dollars | | | 2,415,311 | | | SS | | | (31,586 | ) |
01/24/18 | | U.S. Dollars | | | 1,515,151 | | | Australian Dollars | | | 1,982,767 | | | SS | | | (31,935 | ) |
01/24/18 | | Japanese Yen | | | 311,909,113 | | | U.S. Dollars | | | 2,804,257 | | | GSC | | | (32,682 | ) |
01/24/18 | | U.S. Dollars | | | 1,653,693 | | | Swedish Kronor | | | 13,814,426 | | | SS | | | (32,976 | ) |
01/24/18 | | U.S. Dollars | | | 1,545,034 | | | British Pounds | | | 1,167,973 | | | GSC | | | (33,250 | ) |
01/24/18 | | Mexican Pesos | | | 29,346,247 | | | U.S. Dollars | | | 1,518,800 | | | GSC | | | (33,604 | ) |
01/24/18 | | U.S. Dollars | | | 2,017,162 | | | Swedish Kronor | | | 16,826,515 | | | GSC | | | (37,268 | ) |
01/24/18 | | U.S. Dollars | | | 2,170,031 | | | Australian Dollars | | | 2,829,680 | | | GSC | | | (37,873 | ) |
01/24/18 | | U.S. Dollars | | | 2,007,316 | | | Australian Dollars | | | 2,623,939 | | | GSC | | | (40,055 | ) |
01/24/18 | | Japanese Yen | | | 314,104,429 | | | U.S. Dollars | | | 2,831,798 | | | SS | | | (40,715 | ) |
01/24/18 | | U.S. Dollars | | | 2,137,585 | | | Australian Dollars | | | 2,793,436 | | | GSC | | | (42,039 | ) |
01/24/18 | | U.S. Dollars | | | 2,666,660 | | | Euro | | | 2,254,303 | | | SS | | | (42,277 | ) |
01/24/18 | | Canadian Dollars | | | 8,748,279 | | | U.S. Dollars | | | 7,004,984 | | | SS | | | (42,720 | ) |
01/24/18 | | U.S. Dollars | | | 1,912,337 | | | Swiss Francs | | | 1,902,305 | | | JPM | | | (43,332 | ) |
01/24/18 | | U.S. Dollars | | | 3,202,105 | | | Australian Dollars | | | 4,160,858 | | | GSC | | | (44,471 | ) |
01/24/18 | | U.S. Dollars | | | 3,415,898 | | | Norwegian Kroner | | | 28,393,011 | | | SS | | | (44,784 | ) |
01/24/18 | | U.S. Dollars | | | 1,869,832 | | | Swiss Francs | | | 1,862,558 | | | SS | | | (44,975 | ) |
01/24/18 | | U.S. Dollars | | | 5,897,429 | | | Swedish Kronor | | | 48,681,505 | | | SS | | | (46,328 | ) |
01/24/18 | | U.S. Dollars | | | 2,432,368 | | | Australian Dollars | | | 3,177,697 | | | GSC | | | (47,081 | ) |
01/24/18 | | U.S. Dollars | | | 4,165,190 | | | Canadian Dollars | | | 5,293,290 | | | SS | | | (47,442 | ) |
01/24/18 | | U.S. Dollars | | | 1,787,982 | | | Euro | | | 1,527,393 | | | SS | | | (47,447 | ) |
01/24/18 | | U.S. Dollars | | | 1,596,887 | | | New Zealand Dollars | | | 2,322,813 | | | SS | | | (48,751 | ) |
01/24/18 | | Norwegian Kroner | | | 12,846,975 | | | U.S. Dollars | | | 1,615,468 | | | GSC | | | (49,615 | ) |
01/24/18 | | U.S. Dollars | | | 2,139,349 | | | New Zealand Dollars | | | 3,091,187 | | | GSC | | | (50,658 | ) |
01/24/18 | | U.S. Dollars | | | 2,557,510 | | | New Zealand Dollars | | | 3,682,090 | | | GSC | | | (51,133 | ) |
01/24/18 | | U.S. Dollars | | | 2,919,686 | | | New Zealand Dollars | | | 4,195,132 | | | GSC | | | (52,431 | ) |
01/24/18 | | U.S. Dollars | | | 2,512,805 | | | Australian Dollars | | | 3,288,749 | | | JPM | | | (53,294 | ) |
| | | | |
| 316 | | See Notes to Financial Statements. | | |
| | | | | | | | | | | | | | | | | | |
Expiration Date | | Currency Purchased | | Amount of
Currency
Purchased | | | Currency Sold | | Amount
of Currency
Sold | | | Counter-
party | | Net Unrealized
Appreciation
(Depreciation) | |
01/24/18 | | U.S. Dollars | | | 1,909,748 | | | Euro | | | 1,634,830 | | | GSC | | $ | (54,785 | ) |
01/24/18 | | U.S. Dollars | | | 2,002,120 | | | New Zealand Dollars | | | 2,903,475 | | | SS | | | (54,899 | ) |
01/24/18 | | U.S. Dollars | | | 2,063,685 | | | Euro | | | 1,764,382 | | | GSC | | | (56,527 | ) |
01/24/18 | | U.S. Dollars | | | 2,053,451 | | | Euro | | | 1,756,753 | | | GSC | | | (57,594 | ) |
01/24/18 | | U.S. Dollars | | | 954,362 | | | South Korean Won | | | 1,080,338,226 | | | GSC | | | (57,619 | ) |
01/24/18 | | U.S. Dollars | | | 4,055,070 | | | Swiss Francs | | | 4,001,928 | | | GSC | | | (59,121 | ) |
01/24/18 | | U.S. Dollars | | | 2,267,614 | | | British Pounds | | | 1,723,205 | | | GSC | | | (60,957 | ) |
01/24/18 | | U.S. Dollars | | | 5,258,184 | | | New Zealand Dollars | | | 7,510,543 | | | GSC | | | (62,796 | ) |
01/24/18 | | U.S. Dollars | | | 1,949,202 | | | British Pounds | | | 1,489,980 | | | GSC | | | (64,211 | ) |
01/24/18 | | U.S. Dollars | | | 2,542,878 | | | Euro | | | 2,170,895 | | | GSC | | | (65,830 | ) |
01/24/18 | | U.S. Dollars | | | 2,582,889 | | | Swedish Kronor | | | 21,726,490 | | | SS | | | (69,801 | ) |
01/24/18 | | U.S. Dollars | | | 1,215,944 | | | South Korean Won | | | 1,372,800,664 | | | SS | | | (69,994 | ) |
01/24/18 | | U.S. Dollars | | | 5,290,246 | | | Euro | | | 4,461,876 | | | GSC | | | (71,475 | ) |
01/24/18 | | U.S. Dollars | | | 2,229,737 | | | Australian Dollars | | | 2,951,144 | | | SS | | | (72,941 | ) |
01/24/18 | | New Zealand Dollars | | | 7,715,195 | | | U.S. Dollars | | | 5,539,201 | | | GSC | | | (73,232 | ) |
01/24/18 | | U.S. Dollars | | | 2,741,375 | | | Euro | | | 2,345,341 | | | SS | | | (76,960 | ) |
01/24/18 | | U.S. Dollars | | | 4,623,747 | | | Euro | | | 3,911,909 | | | GSC | | | (77,092 | ) |
01/24/18 | | U.S. Dollars | | | 2,575,929 | | | Euro | | | 2,208,667 | | | JPM | | | (78,169 | ) |
01/24/18 | | U.S. Dollars | | | 3,195,111 | | | Swedish Kronor | | | 26,823,986 | | | GSC | | | (79,957 | ) |
01/24/18 | | U.S. Dollars | | | 3,849,774 | | | British Pounds | | | 2,915,625 | | | GSC | | | (90,116 | ) |
01/24/18 | | Norwegian Kroner | | | 18,528,351 | | | U.S. Dollars | | | 2,349,475 | | | SS | | | (91,147 | ) |
01/24/18 | | U.S. Dollars | | | 3,350,149 | | | British Pounds | | | 2,550,396 | | | SS | | | (96,206 | ) |
01/24/18 | | U.S. Dollars | | | 4,585,014 | | | Australian Dollars | | | 6,011,754 | | | GSC | | | (105,753 | ) |
01/24/18 | | U.S. Dollars | | | 4,841,207 | | | New Zealand Dollars | | | 7,015,642 | | | GSC | | | (129,151 | ) |
01/24/18 | | Norwegian Kroner | | | 34,752,596 | | | U.S. Dollars | | | 4,365,465 | | | GSC | | | (129,645 | ) |
01/24/18 | | U.S. Dollars | | | 4,119,284 | | | Euro | | | 3,544,626 | | | SS | | | (140,201 | ) |
01/24/18 | | U.S. Dollars | | | 10,953,498 | | | Euro | | | 9,236,872 | | | SS | | | (146,211 | ) |
01/24/18 | | U.S. Dollars | | | 3,853,230 | | | New Zealand Dollars | | | 5,646,122 | | | SS | | | (146,867 | ) |
01/24/18 | | Norwegian Kroner | | | 29,526,283 | | | U.S. Dollars | | | 3,749,512 | | | SS | | | (150,701 | ) |
01/24/18 | | U.S. Dollars | | | 5,355,985 | | | New Zealand Dollars | | | 7,776,837 | | | SS | | | (153,655 | ) |
| | | | | | | | | | | | | | | | | | |
Subtotal Depreciation | | | | | | | | | | | | | | $ | (5,065,730 | ) |
| | | | | | | | | | | | | | | | | | |
Total Forward Foreign Currency Contracts outstanding at December 31, 2017 | | | | | | | | $ | (271,955 | ) |
| | | | | | | | | | | | | | | | | | |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2017, 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 | | $ | 19,653,204 | | | $ | — | | | $ | 19,653,204 | | | $ | — | |
Common Stocks | | | 74,252,758 | | | | 74,252,758 | | | | — | | | | — | |
Corporate Bonds | | | 96,012,571 | | | | — | | | | 96,012,571 | | | | — | |
Foreign Bonds: | | | | | | | | | | | | | | | | |
Canada | | | 2,017,052 | | | | — | | | | 2,017,052 | | | | — | |
Ireland | | | 522,500 | | | | — | | | | 522,500 | | | | — | |
Foreign Common Stocks: | | | | | | | | | | | | | | | | |
Canada | | | 904,573 | | | | 904,573 | | | | — | | | | — | |
France | | | 624,230 | | | | 624,230 | | | | — | | | | — | |
| | | | |
| | See Notes to Financial Statements. | | 317 |
STRATEGIC ALTERNATIVES FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | | | | | | | | | | | | | | |
| | | Total Value | | | Level 1
Quoted Prices | | | Level 2
Other Significant
Observable Inputs | | | Level 3
Significant
Unobservable Inputs | |
Jersey | | $ | 11,961 | | | $ | 11,961 | | | $ | — | | | $ | — | |
Netherlands | | | 3,300,650 | | | | 3,300,650 | | | | — | | | | — | |
Switzerland | | | 160,543 | | | | 160,543 | | | | — | | | | — | |
United Kingdom | | | 2,073,862 | | | | 2,073,862 | | | | — | | | | — | |
Loan Agreements | | | 5,857,370 | | | | — | | | | 5,857,370 | | | | — | |
Money Market Funds | | | 45,396,143 | | | | 45,396,143 | | | | — | | | | — | |
Mutual Funds | | | 5,192,596 | | | | 5,192,596 | | | | — | | | | — | |
Purchased Options: | | | | | | | | | | | | | | | | |
Put Options | | | 172,905 | | | | 172,905 | | | | — | | | | — | |
U.S. Treasury Obligations | | | 106,145,974 | | | | — | | | | 106,145,974 | | | | — | |
| | | | | | | | | | | | | | | | |
| | | | |
Total Assets - Investments in Securities | | $ | 362,298,892 | | | $ | 132,090,221 | | | $ | 230,208,671 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | $ | 4,793,775 | | | $ | — | | | $ | 4,793,775 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| | | | |
Total Assets - Other Financial Instruments | | $ | 4,793,775 | | | $ | — | | | $ | 4,793,775 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
Investments in Securities: | | | | | | | | | | | | | | | | |
Common Stocks Sold Short | | $ | (27,797,693 | ) | | $ | (27,797,693 | ) | | $ | — | | | $ | — | |
Foreign Common Stocks Sold Short: | | | | | | | | | | | | | | | | |
China | | | (2,392,984 | ) | | | (2,392,984 | ) | | | — | | | | — | |
Ireland | | | (415,399 | ) | | | (415,399 | ) | | | — | | | | — | |
Jersey | | | (544,863 | ) | | | (544,863 | ) | | | — | | | | — | |
Singapore | | | (814,630 | ) | | | (814,630 | ) | | | — | | | | — | |
Mutual Funds Sold Short | | | (7,712,907 | ) | | | (7,712,907 | ) | | | — | | | | — | |
Written Options: | | | | | | | | | | | | | | | | |
Call Options | | | (416,168 | ) | | | (416,168 | ) | | | — | | | | — | |
Put Options | | | (178,502 | ) | | | (178,502 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
| | | | |
Total Liabilities - Investments in Securities | | $ | (40,273,146 | ) | | $ | (40,273,146 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| | | | |
Other Financial Instruments*** | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | $ | (5,065,730 | ) | | $ | — | | | $ | (5,065,730 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
Total Liabilities - Other Financial Instruments | | $ | (5,065,730 | ) | | $ | — | | | $ | (5,065,730 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
***Other financial instruments are derivative instruments, such as 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 preceding “Forward Foreign Currency Contracts outstanding” disclosure.
There were no transfers between Level 1, Level 2 and Level 3 during the year ended December 31, 2017.
| | | | |
| 318 | | See Notes to Financial Statements. | | |
| | |
| STATEMENTS OF ASSETS AND LIABILITIES | | December 31, 2017 |
| | | | |
| | | Strategic Alternatives
Fund | |
Assets | | | | |
Investments in securities of unaffiliated issuers, at value | | $ | 335,864,056 | |
Investments in securities of affiliated issuers, at value | | | 26,434,836 | |
| | | | |
Total investments, at value(1) | | | 362,298,892 | |
Cash | | | 38,649,855 | |
Cash collateral for derivatives | | | 1,249,651 | |
Foreign currency(2) | | | 2,233 | |
Receivables: | | | | |
Dividends and reclaims | | | 65,989 | |
Interest | | | 1,558,184 | |
Investment securities sold | | | 3,785,919 | |
Fund shares sold | | | 95,059 | |
Unrealized appreciation on foreign currency exchange contracts | | | 4,793,775 | |
Prepaid expenses and other assets | | | 4,596 | |
| | | | |
Total Assets | | | 412,504,153 | |
| | | | |
Liabilities | | | | |
Securities sold short, at value(3) | | | 39,678,476 | |
Options written, at value(4) | | | 594,670 | |
Unrealized depreciation on foreign currency exchange contracts | | | 5,065,730 | |
Collateral held for derivatives | | | 270,000 | |
Payables: | | | | |
Investment securities purchased | | | 5,231,711 | |
Dividends on short sales | | | 16,009 | |
Fund shares redeemed | | | 3,380 | |
Accrued expenses: | | | | |
Investment advisory fees | | | 255,741 | |
Professional fees | | | 33,104 | |
Shareholder servicing fees | | | 11,832 | |
Other expenses | | | 152,796 | |
| | | | |
Total Liabilities | | | 51,313,449 | |
| | | | |
Net Assets | | $ | 361,190,704 | |
| | | | |
Net Assets Consist of: | | | | |
Paid-in-capital | | $ | 360,583,615 | |
Accumulated net investment income | | | 185,730 | |
Undistributed net realized gain on investments and derivative transactions | | | (26,950 | ) |
Net unrealized appreciation (depreciation) on investments, foreign currency and derivative transactions | | | 448,309 | |
| | | | |
Net Assets | | $ | 361,190,704 | |
| | | | |
Net Asset Value: | | | | |
$0.001 par value, unlimited shares authorized | | | | |
Net assets applicable to the Institutional Class | | $ | 302,591,560 | |
| | | | |
Institutional shares outstanding | | | 30,034,176 | |
| | | | |
Net asset value, offering and redemption price per Institutional share | | $ | 10.07 | |
| | | | |
Net assets applicable to the Investor Class | | $ | 58,599,144 | |
| | | | |
Investor shares outstanding | | | 5,816,538 | |
| | | | |
Net asset value, offering and redemption price per Investor share | | $ | 10.07 | |
| | | | |
(1) Investments in securities of unaffiliated issuers, at cost | | $ | 334,161,956 | |
Investments in securities of affiliated issuers, at cost | | | 26,434,836 | |
| | | | |
Total investments, at cost | | $ | 360,596,792 | |
| | | | |
(2) Foreign currency, at cost | | $ | 2,234 | |
| | | | |
(3) Proceeds from securities sold short | | $ | 38,706,370 | |
| | | | |
(4) Premiums received on options written | | $ | 584,941 | |
| | | | |
| | | | |
| | See Notes to Financial Statements. | | 319 |
| | |
| STATEMENTS OF OPERATIONS | | For the Year Ended December 31, 2017 |
| | | | |
| | | Strategic Alternatives
Fund(1) | |
Investment Income | | | | |
Dividends | | $ | 297,112 | |
Income distributions received from affiliated funds | | | 54,723 | |
Interest | | | 1,994,909 | |
Less foreign taxes withheld | | | (447 | ) |
| | | | |
Total Investment Income | | | 2,346,297 | |
| | | | |
Expenses | | | | |
Investment advisory fees | | | 1,039,113 | |
Transfer agent fees: | | | | |
Institutional shares | | | 8,237 | |
Investor shares | | | 7,811 | |
Custodian fees | | | 45,626 | |
Shareholder servicing fees: | | | | |
Investor shares | | | 50,526 | |
Accounting and administration fees | | | 23,895 | |
Professional fees | | | 150,878 | |
Blue sky fees: | | | | |
Institutional shares | | | 22,772 | |
Investor shares | | | 18,243 | |
Trustees expenses | | | 1,438 | |
Line of credit facility fees and interest expense | | | 1,245 | |
Other expenses | | | 105,480 | |
| | | | |
Total Expenses | | | 1,475,264 | |
Dividends on securities sold short | | | 143,210 | |
Expenses waived/reimbursed net of amount recaptured(2) | | | (19,136 | ) |
| | | | |
Net Expenses | | | 1,599,338 | |
| | | | |
Net Investment Income | | | 746,959 | |
| | | | |
Realized and Unrealized Gain (Loss) | | | | |
Net realized gain (loss) from: | | | | |
Investment securities | | | 129,097 | |
Swap agreements | | | 43,284 | |
Option contracts written | | | 1,127,352 | |
Option contracts purchased | | | (615,654 | ) |
Forward foreign currency contracts | | | 961,980 | |
Foreign currency | | | 51,169 | |
| | | | |
Net realized gain | | | 1,697,228 | |
| | | | |
Net change in unrealized appreciation (depreciation) on: | | | | |
Investment securities | | | 782,469 | |
Option contracts written | | | (9,729 | ) |
Option contracts purchased | | | (52,475 | ) |
Forward foreign currency contracts | | | (271,955 | ) |
Foreign currency | | | (1 | ) |
| | | | |
Net change in unrealized appreciation (depreciation) | | | 448,309 | |
| | | | |
Net Realized and Unrealized Gain | | | 2,145,537 | |
| | | | |
Net Increase in Net Assets Resulting from Operations | | $ | 2,892,496 | |
| | | | |
(1) Inception date was June 30, 2017.
(2) See Note 3a and 3c in Notes to Financial Statements.
| | | | |
| 320 | | See Notes to Financial Statements. | | |
STATEMENTS OF CHANGES IN NET ASSETS
| | | | |
| | | Strategic Alternatives
Fund(1) | |
| | | Since Inception | |
| |
| | | 12/31/17 | |
Operations: | | | | |
Net investment income | | $ | 746,959 | |
Net realized gain on investment securities, foreign currency and derivatives | | | 1,697,228 | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | | | 448,309 | |
| | | | |
Net increase in net assets resulting from operations | | | 2,892,496 | |
| | | | |
Dividends and Distributions to Shareholders: | | | | |
Dividends from net investment income | | | | |
Institutional shares | | | (1,536,102 | ) |
Investor shares | | | (261,510 | ) |
Distributions from net realized capital gains | | | | |
Institutional shares | | | (448,116 | ) |
Investor shares | | | (91,616 | ) |
| | | | |
Total dividends and distributions | | | (2,337,344 | ) |
| | | | |
Capital Share Transactions: | | | | |
Proceeds from shares sold | | | | |
Institutional shares | | | 307,033,823 | |
Investor shares | | | 62,729,965 | |
Reinvestment of dividends and distributions | | | | |
Institutional shares | | | 1,984,218 | |
Investor shares | | | 353,065 | |
Total proceeds from shares sold and reinvested | | | 372,101,071 | |
| | | | |
Value of shares redeemed | | | | |
Institutional shares | | | (6,895,207 | ) |
Investor shares | | | (4,570,312 | ) |
| | | | |
Total value of shares redeemed | | | (11,465,519 | ) |
| | | | |
Net increase from capital share transactions(2) | | | 360,635,552 | |
| | | | |
Total increase in net assets | | | 361,190,704 | |
| | | | |
Net Assets: | | | | |
Beginning of Period | | | — | |
| | | | |
End of Period* | | $ | 361,190,704 | |
| | | | |
*Including undistributed net investment income | | $ | 185,730 | |
| | | | |
| (1) | Inception date was June 30, 2017. |
| (2) | See Note 6 in Notes to Financial Statements. |
| | | | |
| | See Notes to Financial Statements. | | 321 |
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 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 | |
Strategic Alternatives Fund | |
| | | | | | | | | | |
Institutional Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2017(3) | | $ | 10.00 | | | $ | 0.04 | # | | $ | 0.10 | | | $ | (0.05 | ) | | $ | (0.02 | ) | | $ | 10.07 | | | | 1.40 | % | | $ | 302,592 | | | | 1.26 | %(4) | | | 1.28 | %(4) | | | 0.69 | % | | | 88 | % |
| | | | | | | | | | |
Investor Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2017(3) | | $ | 10.00 | | | $ | 0.01 | # | | $ | 0.12 | | | $ | (0.04 | ) | | $ | (0.02 | ) | | $ | 10.07 | | | | 1.31 | % | | $ | 58,599 | | | | 1.63 | %(4) | | | 1.65 | %(4) | | | 0.25 | % | | | 88 | % |
| # | 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) | Inception date was June 30, 2017. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
| (4) | The ratio for the Strategic Alternatives Fund includes the effect of dividend expense on securities sold short which increased the ratio by 0.11% for the period ended December 31, 2017. |
| | | | |
| 322 | | See Notes to Financial Statements. | | |
NOTES TO FINANCIAL STATEMENTS
1. DESCRIPTION OF THE FUNDS
GuideStone Funds (the “Trust”) was organized as a Delaware statutory trust on March 2, 2000. The Trust has established 25 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 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 and the Global Real Estate Securities Fund (formerly known as “Real Estate Securities Fund”) are together referred to as the “Real Assets Funds.”
The Strategic Alternatives Fund was launched on June 30, 2017 and is referred to as the “Alternatives Fund.”
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 Institutional Class was issued for each of the Target Date Funds on May 1, 2017. 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 and Asset Allocation Funds are commonly referred to as “Fund of Funds.”
Effective February 10, 2017 the assets of the MyDestination 2005 Fund (“2005 Fund”) were transferred to the Conservative Allocation Fund, in accordance with the Board approved reorganization (the “Reorganization”). Over time, the 2005 Fund changed its asset allocation following its predetermined glide path and its allocations were substantially similar to those of the Conservative Allocation Fund. The tax-free Reorganization occurred approximately 12 years after 2005. Legal expenses incurred as a result of the Reorganization were deemed to be nonroutine expenses due to the unusual nature and infrequency of occurrence.
The table below summarizes the asset transfers and conversion ratios related to the reorganization.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Acquired Fund | | Shares
Redeemed | | | Net Assets
on
02/10/17 | | | Unrealized
Appreciation
(Depreciation) | | | Accumulated
Net Realized
Gains | | | Share
Conversion
Ratio | | | Acquiring Fund | | Shares
Issued | | | Net Assets
on
02/10/17 | |
MyDestination 2005 | | | 10,442,917 | | | $ | 105,467,529 | | | $ | (133,812 | ) | | $ | 7,984 | | | | 0.914801 | | | Conservative Allocation Fund | | | 9,553,188 | | | $ | 414,132,552 | |
The table below summarizes the operations of the MyDestination 2005 Fund for the period from January 1, 2017 to February 10, 2017 and the combined MyDestination 2005 and Conservative Allocation Funds’ pro-forma results of operations for the period January 1, 2017 through February 10, 2017 assuming the acquisition had been completed by January 1, 2017.
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| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
MyDestination 2005 Fund For the Period 01/01/17 - 02/10/17 | | | | | | Conservative Allocation Fund For the Period 01/01/17 - 02/10/17 | |
| | | | | | Net Realized | | | | | | | | | | | | | | Net Realized | | | | |
| | | | | | and | | | | | | | | | | | | | | and | | | | |
| | | Net | | | Unrealized | | | Net Increase | | | | | | | | Net | | | Unrealized | | | Net Increase | |
| | | Investment | | | Gain on | | | from | | | | | | | | Investment | | | Gain on | | | from | |
Acquired Fund | | Income | | | Investments | | | Operations | | | | | | Acquiring Fund | | Income | | | Investments | | | Operations | |
MyDestination 2005 | | $ | (28,858 | ) | | $ | 1,495,619 | | | $ | 1,466,761 | | | | | | | Conservative Allocation Fund | | $ | 2,111,598 | | | $ | 13,791,554 | | | $ | 15,903,152 | |
Because the combined MyDestination 2005 and Conservative Allocation Funds have been managed as a single Fund since the transfer was completed, it is not practicable to separate the amounts of revenue and earnings of the MyDestination 2005 Fund that have been included in the Conservative Allocation Fund’s Statements of Operations.
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 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
Each Fund, except the Money Market Fund, values 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, LLC (“GSCM”) 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 2, “Derivative Financial Instruments” for additional information regarding the valuation of swap agreements).
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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 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 Net Asset Value (“NAV”). The closing prices of such securities may no longer reflect their market value at the time the Fund calculates its NAV if an event that could materially affect the value of those securities (a “Significant Event”) has occurred between the time of the security’s last close and the time that the Fund calculates its NAV. A Significant Event may relate to a single issuer or to an entire market sector. If a Fund becomes aware of a Significant Event that has occurred with respect to a security or group of securities after the closing of the exchange or market on which the security or securities principally trade, but before the time at which the Fund calculates its NAV, a Valuation Committee meeting may be called. The Trust uses Interactive Data Corporation (“IDC”) as a third party fair valuation vendor. IDC provides a fair value for foreign equity securities held by the Trust based on certain factors and methodologies applied by IDC in the event that there is movement in the U.S. market that exceeds a specific threshold established by the Valuation Committee in consultation with, and approved by, the Board of Trustees. Such methodologies generally involve tracking valuation correlations between the U.S. market and each non-U.S. security. As part of the valuation procedures, a “confidence interval” is used, when the threshold is exceeded, to determine the level of correlation between the value of a foreign equity security and movements in the U.S. market before a particular security will be fair valued. In the event that the threshold established by the valuation procedures 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.
Master limited partnerships which are registered with the Securities and Exchange Commission, and are freely tradable on securities exchanges such as the New York Stock Exchange and the NASDAQ Stock Market.
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.
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| | | | |
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.
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 broker quoted as there have been no adjustments to prices received from third parties as of December 31, 2017.
A valuation hierarchy including information regarding transfers between levels and Level 3 securities, where applicable, is shown at the end of each Fund’s Schedule of Investments.
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b. Fixed Income Securities
The Fixed Income Funds and the Defensive Market Strategies 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/or 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 U.S. government. Pools created and guaranteed by non-governmental issuers, including government-sponsored corporations, may be supported by various forms of insurance or guarantees, but there can be no assurance that the private insurers or guarantors can meet their obligations under the insurance policies or guarantee arrangements.
Collateralized Mortgage Obligations (“CMOs”) are debt obligations of a legal entity that are collateralized by mortgages and divided into classes. CMOs are structured into multiple classes, often referred to as “tranches,” with each class bearing a different stated maturity and entitled to a different schedule for payments of principal and interest, including pre-payments. Commercial Mortgage-Backed Securities (“CMBS”) include securities that reflect an interest in, and are secured by, mortgage loans on commercial real property. Many of the risks of investing in CMBS reflect the risks of investing in the real estate securing the underlying mortgage loans. These risks reflect the effects of local and other economic conditions on real estate markets, the ability of tenants to make loan payments, and the ability of a property to attract and retain tenants. CMOs and CMBS may be less liquid and may exhibit greater price volatility than other types of mortgage- or asset-backed securities.
Stripped Mortgage-Backed Securities (“SMBS”) are derivative multi-class mortgage securities. SMBS are usually structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. A common type of SMBS will have one class receiving some of the interest and most of the principal from the mortgage assets, while the other class will receive most of the interest and the remainder of the principal. In the most extreme case, one class will receive all of the interest (the interest-only or “IO” class), while the other class will receive the entire principal (the principal-only or “PO” class). Payments received for IOs are included in interest income on the Statements of Operations. Because little to no principal will be received at the maturity of an IO, adjustments are made to the book value of the security on a monthly basis until maturity. These adjustments are included in interest income on the Statements of Operations. Payments received for POs are treated as reductions to the cost and par value of the securities.
Inflation-indexed bonds are fixed-income securities whose principal value is periodically adjusted to the rate of inflation. The interest rate on these bonds is generally fixed at issuance at a rate lower than typical bonds. Over the life of an inflation-indexed bond, however, interest will be paid based on a principal value, which is adjusted for inflation. Any increase or decrease in the principal amount of an inflation-indexed bond will be included as interest income on the Statements of Operations, even though investors do not receive their principal until maturity.
“TBA” (to be announced) 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
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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 Fixed Income Funds 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, 2017, 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 U.S. government; others, such as those of the Federal Home Loan Bank, are supported by the right of the issuer to borrow from the U.S. Department of the Treasury (the “U.S. Treasury”); others, such as those of the Federal National Mortgage Association (“FNMA” or “Fannie Mae”), are supported by the discretionary authority of the U.S. government to purchase the agency’s obligations; and still others, such as those of the Student Loan Marketing Association, are supported only by the credit of the instrumentality. U.S. government securities may include zero coupon securities, which do not distribute interest on a current basis and tend to be subject to greater risk than interest-paying securities of similar maturities.
Government-related guarantors (i.e., not backed by the full faith and credit of the U.S. 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 U.S. 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 U.S. 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.
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d. Loan Participations
The Fixed Income Funds and the Defensive Market Strategies 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, Defensive Market Strategies Fund, and the Strategic Alternatives 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 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.
e. REITs
The Global Real Estate Securities Fund invests substantial assets in real estate investment trusts (“REITs”) that involve risks not associated with investing in stocks. Risks include declines in the value of real estate, general and economic conditions, changes in the value of the underlying property and defaults by borrowers. The value of assets in the real estate industry may go through cycles of relative underperformance and outperformance in comparison to equity securities markets in general.
Dividend income is recorded using management’s estimate of the income included in distributions received from REIT investments. The actual amounts of income, return of capital and capital gains are only determined by each REIT after its fiscal year-end and may differ from the estimated amount. Estimates of income are adjusted in the Funds to the actual amounts when the amounts are determined.
f. Repurchase Agreements
Each Fund may agree to purchase securities from financial institutions subject to the seller’s agreement to repurchase them at a mutually agreed upon date and price. It is the Fund’s policy that repurchase agreements are fully collateralized by U.S. Treasury and Government Agency securities. All collateral is held by the Fund’s custodian bank or a bank with which the custodian bank has entered into a subcustodian agreement, or is segregated in the Federal Reserve Book Entry System. In connection with transactions in repurchase agreements, if the seller defaults and the value of the collateral declines, or if the seller enters an insolvency proceeding, realization of the collateral by the Fund may be delayed or limited.
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, 2017, 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 | | $ | 40,000,000 | | | $ | (40,000,000 | ) | | $ | — | | | $ | — | |
Bank of Nova Scotia | | | 40,000,000 | | | | (40,000,000 | ) | | | — | | | | — | |
BNP Paribas SA | | | 51,000,000 | | | | (51,000,000 | ) | | | — | | | | — | |
Citigroup Global Markets, Inc. | | | 10,000,000 | | | | (10,000,000 | ) | | | — | | | | — | |
Goldman Sachs & Co. | | | 81,500,000 | | | | (81,500,000 | ) | | | — | | | | — | |
HSBC Securities USA, Inc. | | | 69,000,000 | | | | (69,000,000 | ) | | | — | | | | — | |
Mitsubishi UFJ Securities USA, Inc. | | | 27,000,000 | | | | (27,000,000 | ) | | | — | | | | — | |
Mizuho Securities USA, Inc. | | | 10,000,000 | | | | (10,000,000 | ) | | | — | | | | — | |
Natixis S.A. | | | 25,000,000 | | | | (25,000,000 | ) | | | — | | | | — | |
RBC Capital Markets LLC | | | 25,000,000 | | | | (25,000,000 | ) | | | — | | | | — | |
TD Securities USA LLC | | | 60,000,000 | | | | (60,000,000 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total Repurchase Agreements | | $ | 438,500,000 | | | $ | (438,500,000 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Medium-Duration Bond | | | | | | | | | | | | | | | | |
Merrill Lynch Pierce Fenner & Smith | | $ | 176,100,000 | | | $ | (176,100,000 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| (1) | The value of the related collateral received exceeded the value of the repurchase agreements as of December 31, 2017. |
| (2) | Net amount represents the net amount of receivable due from (payable to) the counterparty in the event of a 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.
g. Short Sales
A short sale is a transaction in which a Fund sells a security it does not own. The Fund’s obligation to replace the security borrowed and sold short will be 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 Fixed Income Funds may sell short U.S. Treasury securities and derivatives such as, but not limited to, swaps, futures contracts and currency forwards to manage risk (e.g., duration, currency, credit, etc.). The Fixed Income Funds may 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. The Fixed Income Funds did not have any dollar roll transactions at December 31, 2017. The Strategic Alternatives Fund may establish short positions in stocks of companies with a market value of up to 40% of the Fund’s assets. The Defensive Market Strategies Fund may establish short positions in stocks of companies with a market value of up to 30% of the Fund’s assets. The International Equity Fund may establish short positions in stocks of foreign companies with a market value of up to 10% of the Fund’s assets.
At December 31, 2017, the value of securities sold short in the Low-Duration Bond Fund, Strategic Alternatives Fund and International Equity Fund amounted to $5,407,911, $39,678,476 and $75,217,872, respectively.
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h. Synthetic Convertible Instruments
The Defensive Market Strategies Fund invests in synthetic convertible instruments. Synthetic convertible instruments combine fixed-income securities (which may be convertible or non-convertible) with the right to acquire equity securities. In establishing a synthetic instrument, a basket of fixed-income securities are pooled with a basket of options or warrants that produce the characteristics similar to a convertible security. 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.
i. 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, Strategic Alternatives Fund and Defensive Market Strategies 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 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.
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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 and Strategic Alternatives Fund may enter into equity swap contracts, and the Fixed Income Funds may enter into interest rate and credit default swaps. The Fixed Income Funds, International Equity Fund and Emerging Markets 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, 2017, 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
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may be partially offset by upfront payments received by the Fund as a seller of protection if applicable. The change in value is recorded within unrealized appreciation (depreciation) until the occurrence of a credit event or the termination of the swap, at which time a realized gain (loss) is recorded.
If a Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. If a Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Recovery values are assumed by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.
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, 2017, 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
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in the index, and if there is a default, the credit event is settled based on that name’s weight in the index. The composition of the indices changes periodically, usually every six months, and for most indices, each name has an equal weight in the index. A Fund may use 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, London Clearing House 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 and investment
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banks. Some cross-currency swaps may not provide for exchanging principal cash flows but only for exchanging interest cash flows. At December 31, 2017, 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.
Forward Rate Agreements — Forward rate agreements represent an agreement between counterparties to exchange cash flows based on the difference between two interest rates, applied to a notional principal amount on a fixed future date. The Funds enter into forward rate agreements to gain yield exposure based on anticipated market conditions at the specified termination date of the agreement.
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, 2017, 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.
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As of December 31, 2017, the Low-Duration Bond Fund and the Medium-Duration Bond Fund are the buyers (“receiving protection”) on a total notional amount of $30,064,000 and $9,190,000, respectively, and the sellers (“providing protection”) on a total notional amount of $0 and $15,850,000, respectively. The notional amounts of the swaps are not recorded in the financial statements; however, the notional amount does approximate the maximum potential amount of future payments that the Funds could be required to make if the Funds were the seller of protection and a credit event was to occur. Those credit default swaps for which the Funds are providing protection at balance sheet date are summarized as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | 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 | | $ | 11,724 | | | $ | — | | | $ | 639,781 | | | $ | — | | | $ | 651,505 | |
Maximum potential amount of future payments | | | 500,000 | | | | — | | | | 15,350,000 | | | | — | | | | 15,850,000 | |
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, 2017, 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 | | $ | — | | | $ | — | | | $ | 4,550,000 | | | $ | — | | | $ | 5,100,000 | | | $ | 9,650,000 | |
101 – 250 | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
251 – 500 | | | — | | | | — | | | | 6,200,000 | | | | — | | | | — | | | | 6,200,000 | |
501 – 1,000 | | | — | | | | — | | | | — | | | | | | | | — | | | | — | |
Greater than 1,000 | | | — | | | | — | | | | — | | | | | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | — | | | $ | — | | | $ | 10,750,000 | | | $ | — | | | $ | 5,100,000 | | | $ | 15,850,000 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
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, 2017, derivative assets and liabilities (by type) held by the Funds are as follows:
| | | | | | | | |
| Fund | | Assets | | | Liabilities | |
MyDestination 2015 | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Financial futures contracts | | $ | 10,088 | | | $ | 11,212 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 10,088 | | | | 11,212 | |
Derivatives not subject to an MA or similar agreement | | | 10,088 | | | | 11,212 | |
| | | | | | | | |
Total assets and liabilities subject to an MA | | $ | — | | | $ | — | |
| | | | | | | | |
MyDestination 2025 | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Financial futures contracts | | $ | 16,428 | | | $ | 27,300 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 16,428 | | | | 27,300 | |
Derivatives not subject to an MA or similar agreement | | | 16,428 | | | | 27,300 | |
| | | | | | | | |
Total assets and liabilities subject to an MA | | $ | — | | | $ | — | |
| | | | | | | | |
MyDestination 2035 | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Financial futures contracts | | $ | 8,888 | | | $ | 26,325 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 8,888 | | | | 26,325 | |
Derivatives not subject to an MA or similar agreement | | | 8,888 | | | | 26,325 | |
| | | | | | | | |
Total assets and liabilities subject to an MA | | $ | — | | | $ | — | |
| | | | | | | | |
MyDestination 2045 | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Financial futures contracts | | $ | 4,585 | | | $ | 22,913 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 4,585 | | | | 22,913 | |
Derivatives not subject to an MA or similar agreement | | | 4,585 | | | | 22,913 | |
| | | | | | | | |
Total assets and liabilities subject to an MA | | $ | — | | | $ | — | |
| | | | | | | | |
MyDestination 2055 | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Financial futures contracts | | $ | — | | | $ | 8,775 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | — | | | | 8,775 | |
Derivatives not subject to an MA or similar agreement | | | — | | | | 8,775 | |
| | | | | | | | |
Total assets and liabilities subject to an MA | | $ | — | | | $ | — | |
| | | | | | | | |
Conservative Allocation | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Financial futures contracts | | $ | 1,217 | | | $ | 2,438 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 1,217 | | | | 2,438 | |
Derivatives not subject to an MA or similar agreement | | | 1,217 | | | | 2,438 | |
| | | | | | | | |
Total assets and liabilities subject to an MA | | $ | — | | | $ | — | |
| | | | | | | | |
Balanced Allocation | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Financial futures contracts | | $ | 25,265 | | | $ | 37,050 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 25,265 | | | | 37,050 | |
Derivatives not subject to an MA or similar agreement | | | 25,265 | | | | 37,050 | |
| | | | | | | | |
Total assets and liabilities subject to an MA | | $ | — | | | $ | — | |
| | | | | | | | |
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| | | | | | | | |
| Fund | | Assets | | | Liabilities | |
Growth Allocation | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Financial futures contracts | | $ | 16,182 | | | $ | 40,950 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 16,182 | | | | 40,950 | |
Derivatives not subject to an MA or similar agreement | | | 16,182 | | | | 40,950 | |
| | | | | | | | |
Total assets and liabilities subject to an MA | | $ | — | | | $ | — | |
| | | | | | | | |
Aggressive Allocation | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Financial futures contracts | | $ | 9,040 | | | $ | 47,775 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 9,040 | | | | 47,775 | |
Derivatives not subject to an MA or similar agreement | | | 9,040 | | | | 47,775 | |
| | | | | | | | |
Total assets and liabilities subject to an MA | | $ | — | | | $ | — | |
| | | | | | | | |
Low-Duration Bond | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Financial futures contracts | | $ | 7,942 | | | $ | 40,544 | |
Forward foreign exchange contracts | | | 177,231 | | | | 2,201,241 | |
Options | | | — | | | | 53,483 | |
Swaps and forward rate agreements | | | 6,142 | | | | 83,500 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 191,315 | | | | 2,378,768 | |
Derivatives not subject to an MA or similar agreement | | | 14,101 | | | | 117,341 | |
| | | | | | | | |
Total assets and liabilities subject to an MA | | $ | 177,214 | | | $ | 2,261,427 | |
| | | | | | | | |
Medium-Duration Bond | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Financial futures contracts | | $ | 692,243 | | | $ | 334,753 | |
Forward foreign exchange contracts | | | 710,049 | | | | 1,498,124 | |
Options | | | 1,880,512 | | | | 1,795,906 | |
Swaps | | | 592,227 | | | | 543,593 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 3,875,031 | | | | 4,172,376 | |
Derivatives not subject to an MA or similar agreement | | | 1,315,426 | | | | 796,184 | |
| | | | | | | | |
Total assets and liabilities subject to an MA | | $ | 2,559,605 | | | $ | 3,376,192 | |
| | | | | | | | |
Global Bond | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Financial futures contracts | | $ | 41,313 | | | $ | 21,516 | |
Forward foreign exchange contracts | | | 1,122,105 | | | | 370,622 | |
Options | | | 98,495 | | | | 1,327 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 1,261,913 | | | | 393,465 | |
Derivatives not subject to an MA or similar agreement | | | 1,023,417 | | | | 392,138 | |
| | | | | | | | |
Total assets and liabilities subject to an MA | | $ | 238,496 | | | $ | 1,327 | |
| | | | | | | | |
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| | | | | | | | |
| Fund | | Assets | | | Liabilities | |
Defensive Market Strategies | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Forward foreign exchange contracts | | $ | 2,202 | | | $ | 300,058 | |
Options | | | — | | | | 501,488 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 2,202 | | | | 801,546 | |
Derivatives not subject to an MA or similar agreement | | | 2,202 | | | | 801,546 | |
| | | | | | | | |
Total assets and liabilities subject to an MA | | $ | — | | | $ | — | |
| | | | | | | | |
Equity Index | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Financial futures contracts | | $ | — | | | $ | 116,025 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | — | | | | 116,025 | |
Derivatives not subject to an MA or similar agreement | | | — | | | | 116,025 | |
| | | | | | | | |
Total assets and liabilities subject to an MA | | $ | — | | | $ | — | |
| | | | | | | | |
Value Equity | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Financial futures contracts | | $ | — | | | $ | 149,321 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | — | | | | 149,321 | |
Derivatives not subject to an MA or similar agreement | | | — | | | | 149,321 | |
| | | | | | | | |
Total assets and liabilities subject to an MA | | $ | — | | | $ | — | |
| | | | | | | | |
Growth Equity | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Financial futures contracts | | $ | — | | | $ | 178,425 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | — | | | | 178,425 | |
Derivatives not subject to an MA or similar agreement | | | — | | | | 178,425 | |
| | | | | | | | |
Total assets and liabilities subject to an MA | | $ | — | | | $ | — | |
| | | | | | | | |
Small Cap Equity | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Financial futures contracts | | $ | — | | | $ | 210,910 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | — | | | | 210,910 | |
Derivatives not subject to an MA or similar agreement | | | — | | | | 210,910 | |
| | | | | | | | |
Total assets and liabilities subject to an MA | | $ | — | | | $ | — | |
| | | | | | | | |
International Equity Index | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Financial futures contracts | | $ | 760 | | | $ | — | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 760 | | | | — | |
Derivatives not subject to an MA or similar agreement | | | 760 | | | | — | |
| | | | | | | | |
Total assets and liabilities subject to an MA | | $ | — | | | $ | — | |
| | | | | | | | |
340
| | | | | | | | |
| Fund | | Assets | | | Liabilities | |
International Equity | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Financial futures contracts | | $ | 503,930 | | | $ | 437,500 | |
Forward foreign exchange contracts | | | 2,446,784 | | | | 3,161,465 | |
Swaps | | | 494,377 | | | | 35,540 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 3,445,091 | | | | 3,634,505 | |
Derivatives not subject to an MA or similar agreement | | | 503,989 | | | | 438,286 | |
| | | | | | | | |
Total assets and liabilities subject to an MA | | $ | 2,941,102 | | | $ | 3,196,219 | |
| | | | | | | | |
Emerging Markets Equity | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Financial futures contracts | | $ | 186,315 | | | $ | 78,824 | |
Forward foreign exchange contracts | | | 2,325,296 | | | | 1,889,076 | |
Swaps | | | 68,037 | | | | 196,793 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 2,579,648 | | | | 2,164,693 | |
Derivatives not subject to an MA or similar agreement | | | 186,315 | | | | 78,824 | |
| | | | | | | | |
Total assets and liabilities subject to an MA | | $ | 2,393,333 | | | $ | 2,085,869 | |
| | | | | | | | |
Inflation Protected Bond | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Financial futures contracts | | $ | — | | | $ | 4,930 | |
Forward foreign exchange contracts | | | 130,121 | | | | 197,364 | |
Swaps | | | — | | | | 2,280 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 130,121 | | | | 204,574 | |
Derivatives not subject to an MA or similar agreement | | | 130,121 | | | | 204,574 | |
| | | | | | | | |
Total assets and liabilities subject to an MA | | $ | — | | | $ | — | |
| | | | | | | | |
Global Real Estate Securities | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Financial futures contracts | | $ | — | | | $ | 39,253 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | — | | | | 39,253 | |
Derivatives not subject to an MA or similar agreement | | | — | | | | 39,253 | |
| | | | | | | | |
Total assets and liabilities subject to an MA | | $ | — | | | $ | — | |
| | | | | | | | |
Strategic Alternatives | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Forward foreign exchange contracts | | $ | 4,793,775 | | | $ | 5,065,730 | |
Options | | | 172,905 | | | | 594,670 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 4,966,680 | | | | 5,660,400 | |
Derivatives not subject to an MA or similar agreement | | | 172,905 | | | | 594,670 | |
| | | | | | | | |
Total assets and liabilities subject to an MA | | $ | 4,793,775 | | | $ | 5,065,730 | |
| | | | | | | | |
341
At December 31, 2017, 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 B | | | | | | | | | | | | | | | | | | | | | | | | | |
JPM | | | $ | 224 | | | | $ | (1,771,150 | ) | | | $ | (1,770,926 | ) | | | $ | — | | | | $ | (1,770,926 | ) |
Other Counterparties* | | | | 140,163 | | | | | (462,913 | ) | | | | (322,750 | ) | | | | — | | | | | (322,750 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | 140,387 | | | | | (2,234,063 | ) | | | | (2,093,676 | ) | | | | — | | | | | (2,093,676 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Sub-adviser C | | | | | | | | | | | | | | | | | | | | | | | | | |
Other Counterparties* | | | | 36,827 | | | | | (27,364 | ) | | | | 9,463 | | | | | — | | | | | 9,463 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Derivatives | | | $ | 177,214 | | | | $ | (2,261,427 | ) | | | $ | (2,084,213 | ) | | | $ | — | | | | $ | (2,084,213 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Medium-Duration Bond | | | | | | | | | | | | | | | | | | | | | | | | | |
Sub-adviser A | | | | | | | | | | | | | | | | | | | | | | | | | |
Other Counterparties* | | | $ | 608,020 | | | | $ | (474,743 | ) | | | $ | 133,277 | | | | $ | 6,474 | | | | $ | 139,751 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Sub-adviser B | | | | | | | | | | | | | | | | | | | | | | | | | |
Other Counterparties* | | | | 1,838,374 | | | | | (2,228,903 | ) | | | | (390,529 | ) | | | | — | | | | | (390,529 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Sub-adviser C | | | | | | | | | | | | | | | | | | | | | | | | | |
Other Counterparties* | | | | 113,211 | | | | | (672,546 | ) | | | | (559,335 | ) | | | | — | | | | | (559,335 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Derivatives | | | $ | 2,559,605 | | | | $ | (3,376,192 | ) | | | $ | (816,587 | ) | | | $ | 6,474 | | | | $ | (810,113 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Global Bond | | | | | | | | | | | | | | | | | | | | | | | | | |
Sub-adviser A | | | | | | | | | | | | | | | | | | | | | | | | | |
Other Counterparties* | | | $ | 238,496 | | | | $ | (1,327 | ) | | | $ | 237,169 | | | | $ | — | | | | $ | 237,169 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Derivatives | | | $ | 238,496 | | | | $ | (1,327 | ) | | | $ | 237,169 | | | | $ | — | | | | $ | 237,169 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| 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 | | | | | | | | | | | | | | | | | | | | | | | | | |
Other Counterparties* | | | $ | 2,941,102 | | | | $ | (3,196,219 | ) | | | $ | (255,117 | ) | | | $ | (100,000 | ) | | | $ | (355,117 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Derivatives | | | $ | 2,941,102 | | | | $ | (3,196,219 | ) | | | $ | (255,117 | ) | | | $ | (100,000 | ) | | | $ | (355,117 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Emerging Markets Equity | | | | | | | | | | | | | | | | | | | | | | | | | |
Sub-adviser A | | | | | | | | | | | | | | | | | | | | | | | | | |
Other Counterparties* | | | $ | 2,393,333 | | | | $ | (2,085,869 | ) | | | $ | 307,464 | | | | $ | (191,244 | ) | | | $ | 116,220 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Derivatives | | | $ | 2,393,333 | | | | $ | (2,085,869 | ) | | | $ | 307,464 | | | | $ | (191,244 | ) | | | $ | 116,220 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Strategic Alternatives | | | | | | | | | | | | | | | | | | | | | | | | | |
Sub-adviser A | | | | | | | | | | | | | | | | | | | | | | | | | |
SS | | | $ | 1,831,269 | | | | $ | (2,320,812 | ) | | | $ | (489,543 | ) | | | $ | 280,000 | | | | $ | (209,543 | ) |
Other Counterparties* | | | | 2,962,506 | | | | | (2,744,918 | ) | | | | 217,588 | | | | | (178,125 | ) | | | | 39,463 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Derivatives | | | $ | 4,793,775 | | | | $ | (5,065,730 | ) | | | $ | (271,955 | ) | | | $ | 101,875 | | | | $ | (170,080 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
*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 Derivative Financial Instruments and Securities Lending sections of the Notes to Financial Statements.
343
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 bilateral swap and forward rate agreements | | Unrealized depreciation on bilateral swap and forward rate 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 bilateral swap and forward rate agreements | | Unrealized depreciation on bilateral swap and forward rate 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, 2017.
| | | | | | | | | | | | | | | | | | | | |
| | | Asset Derivative Value | |
| Fund | | Total Value
at
12/31/17 | | | Interest Rate
Contracts | | | Foreign Exchange
Contracts | | | Credit
Contracts | | | Equity
Contracts | |
MyDestination 2015 | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 53,996 | | | $ | — | | | $ | — | | | $ | — | | | $ | 53,996 | |
| | | | | | | | | | | | | | | | | | | | |
MyDestination 2025 | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 177,397 | | | $ | — | | | $ | — | | | $ | — | | | $ | 177,397 | |
| | | | | | | | | | | | | | | | | | | | |
MyDestination 2035 | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 167,771 | | | $ | — | | | $ | — | | | $ | — | | | $ | 167,771 | |
| | | | | | | | | | | | | | | | | | | | |
MyDestination 2045 | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 142,084 | | | $ | — | | | $ | — | | | $ | — | | | $ | 142,084 | |
| | | | | | | | | | | | | | | | | | | | |
MyDestination 2055 | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 23,628 | | | $ | — | | | $ | — | | | $ | — | | | $ | 23,628 | |
| | | | | | | | | | | | | | | | | | | | |
Conservative Allocation | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 12,456 | | | $ | — | | | $ | — | | | $ | — | | | $ | 12,456 | |
| | | | | | | | | | | | | | | | | | | | |
Balanced Allocation | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 270,712 | | | $ | — | | | $ | — | | | $ | — | | | $ | 270,712 | |
| | | | | | | | | | | | | | | | | | | | |
Growth Allocation | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 316,034 | | | $ | — | | | $ | — | | | $ | — | | | $ | 316,034 | |
| | | | | | | | | | | | | | | | | | | | |
Aggressive Allocation | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 308,744 | | | $ | — | | | $ | — | | | $ | — | | | $ | 308,744 | |
| | | | | | | | | | | | | | | | | | | | |
344
| | | | | | | | | | | | | | | | | | | | |
| | | Asset Derivative Value | |
| Fund | | Total Value
at
12/31/17 | | | Interest Rate
Contracts | | | Foreign Exchange
Contracts | | | Credit
Contracts | | | Equity
Contracts | |
Low-Duration Bond | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | 177,231 | | | $ | — | | | $ | 177,231 | | | $ | — | | | $ | — | |
Futures | | | 983,304 | | | | 983,304 | | | | — | | | | — | | | | — | |
Swaps and Forward Rate | | | | | | | | | | | | | | | | | | | | |
Agreements | | | 162,938 | | | | 135,698 | | | | — | | | | 27,240 | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 1,323,473 | | | $ | 1,119,002 | | | $ | 177,231 | | | $ | 27,240 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Medium-Duration Bond | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | 710,049 | | | $ | — | | | $ | 710,049 | | | $ | — | | | $ | — | |
Futures | | | 2,076,401 | | | | 2,076,401 | | | | — | | | | — | | | | — | |
Purchased Options | | | 1,880,512 | | | | 1,880,512 | | | | — | | | | — | | | | — | |
Swaps | | | 2,116,689 | | | | 1,511,671 | | | | — | | | | 332,776 | | | | 272,242 | |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 6,783,651 | | | $ | 5,468,584 | | | $ | 710,049 | | | $ | 332,776 | | | $ | 272,242 | |
| | | | | | | | | | | | | | | | | | | | |
Global Bond Fund | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | 1,122,105 | | | $ | — | | | $ | 1,122,105 | | | $ | — | | | $ | — | |
Futures | | | 101,293 | | | | 101,293 | | | | — | | | | — | | | | — | |
Purchased Options | | | 98,495 | | | | — | | | | 98,495 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 1,321,893 | | | $ | 101,293 | | | $ | 1,220,600 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Defensive Market Strategies | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | 2,202 | | | $ | — | | | $ | 2,202 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Equity Index | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 232,690 | | | $ | — | | | $ | — | | | $ | — | | | $ | 232,690 | |
| | | | | | | | | | | | | | | | | | | | |
Value Equity | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 421,192 | | | $ | — | | | $ | — | | | $ | — | | | $ | 421,192 | |
| | | | | | | | | | | | | | | | | | | | |
Growth Equity | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 539,066 | | | $ | — | | | $ | — | | | $ | — | | | $ | 539,066 | |
| | | | | | | | | | | | | | | | | | | | |
Small Cap Equity | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 177,616 | | | $ | — | | | $ | — | | | $ | — | | | $ | 177,616 | |
| | | | | | | | | | | | | | | | | | | | |
International Equity Index | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 86,632 | | | $ | — | | | $ | — | | | $ | — | | | $ | 86,632 | |
| | | | | | | | | | | | | | | | | | | | |
International Equity | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | 2,446,784 | | | $ | — | | | $ | 2,446,784 | | | $ | — | | | $ | — | |
Futures | | | 2,206,507 | | | | — | | | | — | | | | — | | | | 2,206,507 | |
Swaps | | | 494,377 | | | | — | | | | — | | | | — | | | | 494,377 | |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 5,147,668 | | | $ | — | | | $ | 2,446,784 | | | $ | — | | | $ | 2,700,884 | |
| | | | | | | | | | | | | | | | | | | | |
Emerging Markets Equity | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | 2,325,296 | | | $ | — | | | $ | 2,325,296 | | | $ | — | | | $ | — | |
Futures | | | 1,776,202 | | | | — | | | | — | | | | — | | | | 1,776,202 | |
Swaps | | | 68,037 | | | | — | | | | — | | | | — | | | | 68,037 | |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 4,169,535 | | | $ | — | | | $ | 2,325,296 | | | $ | — | | | $ | 1,844,239 | |
| | | | | | | | | | | | | | | | | | | | |
345
| | | | | | | | | | | | | | | | | | | | |
| | | Asset Derivative Value | |
| Fund | | Total Value
at
12/31/17 | | | Interest Rate
Contracts | | | Foreign Exchange
Contracts | | | Credit
Contracts | | | Equity
Contracts | |
Inflation Protected Bond | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | 130,121 | | | $ | — | | | $ | 130,121 | | | $ | — | | | $ | — | |
Futures | | | 173,109 | | | | 173,109 | | | | — | | | | — | | | | — | |
Swaps | | | 7,859 | | | | 7,859 | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 311,089 | | | $ | 180,968 | | | $ | 130,121 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Global Real Estate Securities | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 12,265 | | | $ | — | | | $ | — | | | $ | — | | | $ | 12,265 | |
| | | | | | | | | | | | | | | | | | | | |
Strategic Alternatives | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | 4,793,775 | | | $ | — | | | $ | 4,793,775 | | | $ | — | | | $ | — | |
Purchased Options | | | 172,905 | | | | — | | | | — | | | | — | | | | 172,905 | |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 4,966,680 | | | $ | — | | | $ | 4,793,775 | | | $ | — | | | $ | 172,905 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | Liability Derivative Value | |
| Fund | | Total Value
at
12/31/17 | | | Interest Rate
Contracts | | | Foreign Exchange
Contracts | | | Credit
Contracts | | | Equity
Contracts | |
MyDestination 2015 | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 14,173 | | | $ | 14,173 | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
MyDestination 2025 | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 38,297 | | | $ | 38,297 | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
MyDestination 2035 | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 16,797 | | | $ | 16,797 | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
MyDestination 2045 | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 5,375 | | | $ | 5,375 | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Conservative Allocation | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 8,060 | | | $ | 8,060 | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Balanced Allocation | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 55,261 | | | $ | 55,261 | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Growth Allocation | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 20,204 | | | $ | 20,204 | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Low-Duration Bond | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | 2,201,241 | | | $ | — | | | $ | 2,201,241 | | | $ | — | | | $ | — | |
Futures | | | 971,204 | | | | 971,204 | | | | — | | | | — | | | | — | |
Swaps and Forward Rate Agreements | | | 174,204 | | | | 149,826 | | | | — | | | | 24,378 | | | | — | |
Written Options | | | 53,483 | | | | 53,483 | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 3,400,132 | | | $ | 1,174,513 | | | $ | 2,201,241 | | | $ | 24,378 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
346
| | | | | | | | | | | | | | | | | | | | |
| | | Liability Derivative Value | |
| Fund | | Total Value
at
12/31/17 | | | Interest Rate
Contracts | | | Foreign Exchange
Contracts | | | Credit
Contracts | | | Equity
Contracts | |
Medium-Duration Bond | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | 1,498,124 | | | $ | — | | | $ | 1,498,124 | | | $ | — | | | $ | — | |
Futures | | | 1,897,051 | | | | 1,897,051 | | | | — | | | | — | | | | — | |
Swaps | | | 1,489,432 | | | | 1,308,937 | | | | — | | | | 180,495 | | | | — | |
Written Options | | | 1,795,906 | | | | 1,685,416 | | | | 110,490 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 6,680,513 | | | $ | 4,891,404 | | | $ | 1,608,614 | | | $ | 180,495 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Global Bond Fund | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | 370,622 | | | $ | — | | | $ | 370,622 | | | $ | — | | | $ | — | |
Futures | | | 237,068 | | | | 237,068 | | | | — | | | | — | | | | — | |
Written Options | | | 1,327 | | | | — | | | | 1,327 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 609,017 | | | $ | 237,068 | | | $ | 371,949 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Defensive Market Strategies | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | 300,058 | | | $ | — | | | $ | 300,058 | | | $ | — | | | $ | — | |
Written Options | | | 501,488 | | | | — | | | | — | | | | — | | | | 501,488 | |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 801,546 | | | $ | — | | | $ | 300,058 | | | $ | — | | | $ | 501,488 | |
| | | | | | | | | | | | | | | | | | | | |
International Equity | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | 3,161,465 | | | $ | — | | | $ | 3,161,465 | | | $ | — | | | $ | — | |
Futures | | | 508,500 | | | | — | | | | — | | | | — | | | | 508,500 | |
Swaps | | | 35,540 | | | | — | | | | — | | | | — | | | | 35,540 | |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 3,705,505 | | | $ | — | | | $ | 3,161,465 | | | $ | — | | | $ | 544,040 | |
| | | | | | | | | | | | | | | | | | | | |
Emerging Markets Equity | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | 1,889,076 | | | $ | — | | | $ | 1,889,076 | | | $ | — | | | $ | — | |
Futures | | | 220,654 | | | | — | | | | — | | | | — | | | | 220,654 | |
Swaps | | | 196,793 | | | | — | | | | — | | | | — | | | | 196,793 | |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 2,306,523 | | | $ | — | | | $ | 1,889,076 | | | $ | — | | | $ | 417,447 | |
| | | | | | | | | | | | | | | | | | | | |
Inflation Protected Bond | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | 197,364 | | | $ | — | | | $ | 197,364 | | | $ | — | | | $ | — | |
Futures | | | 112,712 | | | | 112,712 | | | | — | | | | — | | | | — | |
Swaps | | | 2,028 | | | | 2,028 | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 312,104 | | | $ | 114,740 | | | $ | 197,364 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Strategic Alternatives | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | 5,065,730 | | | $ | — | | | $ | 5,065,730 | | | $ | — | | | $ | — | |
Written Options | | | 594,670 | | | | — | | | | — | | | | — | | | | 594,670 | |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 5,660,400 | | | $ | — | | | $ | 5,065,730 | | | $ | — | | | $ | 594,670 | |
| | | | | | | | | | | | | | | | | | | | |
347
| | |
Derivative Type | | Location on the Statements of Operations |
| Interest rate contracts | | Net realized gain (loss) from: Futures transactions |
| | Net realized gain (loss) from: Swap and forward rate 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 and forward rate 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 written |
| | Net change in unrealized appreciation (depreciation) on: Option contracts purchased |
| 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 change in unrealized appreciation (depreciation) on: 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
12/31/17 | | | Interest Rate
Contracts | | | Foreign Exchange
Contracts | | | Credit
Contracts | | | Equity
Contracts | |
MyDestination 2015 | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 1,345,077 | | | $ | 34,378 | | | $ | — | | | $ | — | | | $ | 1,310,699 | |
| | | | | | | | | | | | | | | | | | | | |
MyDestination 2025 | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 2,561,176 | | | $ | 15,626 | | | $ | — | | | $ | — | | | $ | 2,545,550 | |
| | | | | | | | | | | | | | | | | | | | |
MyDestination 2035 | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 1,782,040 | | | $ | 15,491 | | | $ | — | | | $ | — | | | $ | 1,766,549 | |
| | | | | | | | | | | | | | | | | | | | |
MyDestination 2045 | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 1,515,158 | | | $ | 1,374 | | | $ | — | | | $ | — | | | $ | 1,513,784 | |
| | | | | | | | | | | | | | | | | | | | |
MyDestination 2055 | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 281,082 | | | $ | — | | | $ | — | | | $ | — | | | $ | 281,082 | |
| | | | | | | | | | | | | | | | | | | | |
Conservative Allocation | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 613,309 | | | $ | (65,500 | ) | | $ | — | | | $ | — | | | $ | 678,809 | |
| | | | | | | | | | | | | | | | | | | | |
Balanced Allocation | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 4,420,840 | | | $ | 303,250 | | | $ | — | | | $ | — | | | $ | 4,117,590 | |
| | | | | | | | | | | | | | | | | | | | |
Growth Allocation | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 3,630,088 | | | $ | 34,323 | | | $ | — | | | $ | — | | | $ | 3,595,765 | |
| | | | | | | | | | | | | | | | | | | | |
Aggressive Allocation | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 3,436,540 | | | $ | — | | | $ | — | | | $ | — | | | $ | 3,436,540 | |
| | | | | | | | | | | | | | | | | | | | |
348
| | | | | | | | | | | | | | | | | | | | |
| | | Realized Gain (Loss) on Derivatives Recognized in Income | |
| | | Total Value
at 12/31/17 | | | Interest Rate
Contracts | | | Foreign Exchange
Contracts | | | Credit
Contracts | | | Equity
Contracts | |
Low-Duration Bond | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | (996,355 | ) | | $ | — | | | $ | (996,355 | ) | | $ | — | | | $ | — | |
Futures | | | 609,525 | | | | 609,525 | | | | — | | | | — | | | | — | |
Purchased Options | | | (29,395 | ) | | | (29,395 | ) | | | — | | | | — | | | | — | |
Swaps and Forward Rate Agreements | | | (2,326,583 | ) | | | (1,433,733 | ) | | | — | | | | (892,850 | ) | | | — | |
Written Options | | | 292,510 | | | | 292,510 | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | (2,450,298 | ) | | $ | (561,093 | ) | | $ | (996,355 | ) | | $ | (892,850 | ) | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Medium-Duration Bond | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | (339,982 | ) | | $ | — | | | $ | (339,982 | ) | | $ | — | | | $ | — | |
Futures | | | 2,191,262 | | | | 2,217,575 | | | | (26,313 | ) | | | — | | | | — | |
Purchased Options | | | (1,497,088 | ) | | | (1,360,972 | ) | | | (136,116 | ) | | | — | | | | — | |
Swaps | | | 1,992,813 | | | | 1,509,985 | | | | — | | | | 505,143 | | | | (22,315 | ) |
Written Options | | | 2,153,696 | | | | 1,888,390 | | | | 249,913 | | | | 15,393 | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 4,500,701 | | | $ | 4,254,978 | | | $ | (252,498 | ) | | $ | 520,536 | | | $ | (22,315 | ) |
| | | | | | | | | | | | | | | | | | | | |
Global Bond | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | (70,489 | ) | | $ | — | | | $ | (70,489 | ) | | $ | — | | | $ | — | |
Futures | | | (405,973 | ) | | | (405,973 | ) | | | — | | | | — | | | | — | |
Purchased Options | | | 29,220 | | | | 29,220 | | | | — | | | | — | | | | — | |
Written Options | | | 16,694 | | | | 16,694 | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | (430,548 | ) | | $ | (360,059 | ) | | $ | (70,489 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Defensive Market Strategies | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | (792,347 | ) | | $ | — | | | $ | (792,347 | ) | | $ | — | | | $ | — | |
Futures | | | 711,157 | | | | — | | | | — | | | | — | | | | 711,157 | |
Written Options | | | 7,639,949 | | | | — | | | | — | | | | — | | | | 7,639,949 | |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 7,558,759 | | | $ | — | | | $ | (792,347 | ) | | $ | — | | | $ | 8,351,106 | |
| | | | | | | | | | | | | | | | | | | | |
Equity Index | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 4,712,019 | | | $ | — | | | $ | — | | | $ | — | | | $ | 4,712,019 | |
| | | | | | | | | | | | | | | | | | | | |
Value Equity | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 8,419,228 | | | $ | — | | | $ | — | | | $ | — | | | $ | 8,419,228 | |
| | | | | | | | | | | | | | | | | | | | |
Growth Equity | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 9,484,466 | | | $ | — | | | $ | — | | | $ | — | | | $ | 9,484,466 | |
| | | | | | | | | | | | | | | | | | | | |
Small Cap Equity | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 2,370,870 | | | $ | — | | | $ | — | | | $ | — | | | $ | 2,370,870 | |
| | | | | | | | | | | | | | | | | | | | |
International Equity Index | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 1,444,971 | | | $ | — | | | $ | — | | | $ | — | | | $ | 1,444,971 | |
| | | | | | | | | | | | | | | | | | | | |
International Equity | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | 187,077 | | | $ | — | | | $ | 187,077 | | | $ | — | | | $ | — | |
Futures | | | 22,888,934 | | | | — | | | | — | | | | — | | | | 22,888,934 | |
Swaps | | | (3,320,941 | ) | | | — | | | | — | | | | — | | | | (3,320,941 | ) |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 19,755,070 | | | $ | — | | | $ | 187,077 | | | $ | — | | | $ | 19,567,993 | |
| | | | | | | | | | | | | | | | | | | | |
349
| | | | | | | | | | | | | | | | | | | | |
| | | Realized Gain (Loss) on Derivatives Recognized in Income | |
| | | Total Value
at 12/31/17 | | | Interest Rate
Contracts | | | Foreign Exchange
Contracts | | | Credit
Contracts | | | Equity
Contracts | |
Emerging Markets Equity | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | 758,702 | | | $ | — | | | $ | 758,702 | | | $ | — | | | $ | — | |
Futures | | | 10,595,266 | | | | — | | | | — | | | | — | | | | 10,595,266 | |
Swaps | | | (23,747 | ) | | | — | | | | — | | | | — | | | | (23,747 | ) |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 11,330,221 | | | $ | — | | | $ | 758,702 | | | $ | — | | | $ | 10,571,519 | |
| | | | | | | | | | | | | | | | | | | | |
Inflation Protected Bond | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | (268,520 | ) | | $ | — | | | $ | (268,520 | ) | | $ | — | | | $ | — | |
Futures | | | (521,197 | ) | | | (521,197 | ) | | | — | | | | — | | | | — | |
Purchased Options | | | (1,420,727 | ) | | | (929,696 | ) | | | (491,031 | ) | | | — | | | | — | |
Swaps | | | (29,284 | ) | | | (29,284 | ) | | | — | | | | — | | | | — | |
Written Options | | | 616,747 | | | | 358,671 | | | | 258,076 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | (1,622,981 | ) | | $ | (1,121,506 | ) | | $ | (501,475 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Global Real Estate Securities | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | (6,926 | ) | | $ | — | | | $ | (6,926 | ) | | $ | — | | | $ | — | |
Futures | | | 716,223 | | | | — | | | | — | | | | — | | | | 716,223 | |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 709,297 | | | $ | — | | | $ | (6,926 | ) | | $ | — | | | $ | 716,223 | |
| | | | | | | | | | | | | | | | | | | | |
Strategic Alternatives | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | 961,980 | | | $ | — | | | $ | 961,980 | | | $ | — | | | $ | — | |
Purchased Options | | | (615,654 | ) | | | — | | | | — | | | | — | | | | (615,654 | ) |
Swaps | | | 43,284 | | | | — | | | | — | | | | — | | | | 43,284 | |
Written Options | | | 1,127,352 | | | | — | | | | — | | | | — | | | | 1,127,352 | |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 1,516,962 | | | $ | — | | | $ | 961,980 | | | $ | — | | | $ | 554,982 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | |
| | | Total Value
at
12/31/17 | | | Interest Rate
Contracts | | | Foreign Exchange
Contracts | | | Credit
Contracts | | | Equity
Contracts | |
MyDestination 2015 | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 79,357 | | | $ | 1,460 | | | $ | — | | | $ | — | | | $ | 77,897 | |
| | | | | | | | | | | | | | | | | | | | |
MyDestination 2025 | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 215,977 | | | $ | (15,220 | ) | | $ | — | | | $ | — | | | $ | 231,197 | |
| | | | | | | | | | | | | | | | | | | | |
MyDestination 2035 | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 230,178 | | | $ | (6,375 | ) | | $ | — | | | $ | — | | | $ | 236,553 | |
| | | | | | | | | | | | | | | | | | | | |
MyDestination 2045 | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 186,677 | | | $ | (3,142 | ) | | $ | — | | | $ | — | | | $ | 189,819 | |
| | | | | | | | | | | | | | | | | | | | |
MyDestination 2055 | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 27,401 | | | $ | — | | | $ | — | | | $ | — | | | $ | 27,401 | |
| | | | | | | | | | | | | | | | | | | | |
Conservative Allocation | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 12,345 | | | $ | (7,367 | ) | | $ | — | | | $ | — | | | $ | 19,712 | |
| | | | | | | | | | | | | | | | | | | | |
Balanced Allocation | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 337,524 | | | $ | (23,791 | ) | | $ | — | | | $ | — | | | $ | 361,315 | |
| | | | | | | | | | | | | | | | | | | | |
350
| | | | | | | | | | | | | | | | | | | | |
| | | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | |
| | | Total Value at
12/31/17 | | | Interest Rate
Contracts | | | Foreign Exchange
Contracts | | | Credit
Contracts | | | Equity
Contracts | |
Growth Allocation | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 436,757 | | | $ | 3,133 | | | $ | — | | | $ | — | | | $ | 433,624 | |
| | | | | | | | | | | | | | | | | | | | |
Aggressive Allocation | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 407,808 | | | $ | — | | | $ | — | | | $ | — | | | $ | 407,808 | |
| | | | | | | | | | | | | | | | | | | | |
Low-Duration Bond | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | (4,226,861 | ) | | $ | — | | | $ | (4,226,861 | ) | | $ | — | | | $ | — | |
Futures | | | (4,088 | ) | | | (4,088 | ) | | | — | | | | — | | | | — | |
Purchased Options | | | (18,686 | ) | | | (18,686 | ) | | | — | | | | — | | | | — | |
Swaps and Forward Rate Agreements | | | 482,762 | | | | 368,461 | | | | — | | | | 114,301 | | | | — | |
Written Options | | | (49,850 | ) | | | (49,850 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | (3,816,723 | ) | | $ | 295,837 | | | $ | (4,226,861 | ) | | $ | 114,301 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Medium-Duration Bond | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | (3,419,818 | ) | | $ | — | | | $ | (3,419,818 | ) | | $ | — | | | $ | — | |
Futures | | | 757,237 | | | | 769,036 | | | | (11,799 | ) | | | — | | | | — | |
Purchased Options | | | (685,246 | ) | | | (685,246 | ) | | | — | | | | — | | | | — | |
Swaps | | | (1,528,433 | ) | | | (1,406,095 | ) | | | — | | | | (122,338 | ) | | | — | |
Written Options | | | 838,658 | | | | 893,270 | | | | (54,612 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | (4,037,602 | ) | | $ | (429,035 | ) | | $ | (3,486,229 | ) | | $ | (122,338 | ) | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Global Bond | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | 2,304,200 | | | $ | — | | | $ | 2,304,200 | | | $ | — | | | $ | — | |
Futures | | | (195,615 | ) | | | (195,615 | ) | | | — | | | | — | | | | — | |
Purchased Options | | | (643,340 | ) | | | — | | | | (643,340 | ) | | | — | | | | — | |
Written Options | | | 23,061 | | | | — | | | | 23,061 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 1,488,306 | | | $ | (195,615 | ) | | $ | 1,683,921 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Defensive Market Strategies | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | (216,517 | ) | | $ | — | | | $ | (216,517 | ) | | $ | — | | | $ | — | |
Futures | | | 38,690 | | | | — | | | | — | | | | — | | | | 38,690 | |
Written Options | | | 186,375 | | | | — | | | | — | | | | — | | | $ | 186,375 | |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 8,548 | | | $ | — | | | $ | (216,517 | ) | | $ | — | | | $ | 225,065 | |
| | | | | | | | | | | | | | | | | | | | |
Equity Index | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 361,405 | | | $ | — | | | $ | — | | | $ | — | | | $ | 361,405 | |
| | | | | | | | | | | | | | | | | | | | |
Value Equity | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 593,375 | | | $ | — | | | $ | — | | | $ | — | | | $ | 593,375 | |
| | | | | | | | | | | | | | | | | | | | |
Growth Equity | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 746,956 | | | $ | — | | | $ | — | | | $ | — | | | $ | 746,956 | |
| | | | | | | | | | | | | | | | | | | | |
Small Cap Equity | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 722,234 | | | $ | — | | | $ | — | | | $ | — | | | $ | 722,234 | |
| | | | | | | | | | | | | | | | | | | | |
International Equity Index | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 123,923 | | | $ | — | | | $ | — | | | $ | — | | | $ | 123,923 | |
| | | | | | | | | | | | | | | | | | | | |
351
| | | | | | | | | | | | | | | | | | | | |
| | | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | |
| | | Total Value
at
12/31/17 | | | Interest Rate
Contracts | | | Foreign Exchange
Contracts | | | Credit
Contracts | | | Equity
Contracts | |
International Equity | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | 1,395,208 | | | $ | — | | | $ | 1,395,208 | | | $ | — | | | $ | — | |
Futures | | | 1,100,853 | | | | — | | | | — | | | | — | | | | 1,100,853 | |
Swaps | | | 209,909 | | | | — | | | | — | | | | — | | | | 209,909 | |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 2,705,970 | | | $ | — | | | $ | 1,395,208 | | | $ | — | | | $ | 1,310,762 | |
| | | | | | | | | | | | | | | | | | | | |
Emerging Markets Equity | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | (496,951 | ) | | $ | — | | | $ | (496,951 | ) | | $ | — | | | $ | — | |
Futures | | | 1,376,310 | | | | — | | | | — | | | | — | | | | 1,376,310 | |
Swaps | | | (77,025 | ) | | | — | | | | — | | | | — | | | | (77,025 | ) |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 802,334 | | | $ | — | | | $ | (496,951 | ) | | $ | — | | | $ | 1,299,285 | |
| | | | | | | | | | | | | | | | | | | | |
Inflation Protected Bond | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | (336,374 | ) | | $ | — | | | $ | (336,374 | ) | | $ | — | | | $ | — | |
Futures | | | 34,378 | | | | 34,378 | | | | — | | | | — | | | | — | |
Purchased Options | | | 159,922 | | | | 74,743 | | | | 85,179 | | | | — | | | | — | |
Swaps | | | 5,831 | | | | 5,831 | | | | — | | | | — | | | | — | |
Written Options | | | (56,196 | ) | | | (95,153 | ) | | | 38,957 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | (192,439 | ) | | $ | 19,799 | | | $ | (212,238 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Global Real Estate Securities | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 104,819 | | | $ | — | | | $ | — | | | $ | — | | | $ | 104,819 | |
| | | | | | | | | | | | | | | | | | | | |
Strategic Alternatives | | | | | | | | | | | | | | | | | | | | |
Forwards | | $ | (271,955 | ) | | $ | — | | | $ | (271,955 | ) | | $ | — | | | $ | — | |
Purchased Options | | | (52,475 | ) | | | — | | | | — | | | | — | | | | (52,475 | ) |
Written Options | | | (9,729 | ) | | | — | | | | — | | | | — | | | | (9,729 | ) |
| | | | | | | | | | | | | | | | | | | | |
Totals | | $ | (334,159 | ) | | $ | — | | | $ | (271,955 | ) | | $ | — | | | $ | (62,204 | ) |
| | | | | | | | | | | | | | | | | | | | |
Volume of Derivative Transactions
The table below summarizes the average balance of derivative holdings by fund during the year ended December 31, 2017. The average balance of derivatives held is indicative of the trading volume of each Fund.
| | | | | | | | | | | | | | | | |
| | | Long Derivative Volume | |
| | | Forward Foreign
Currency
Contracts | | | Financial
Futures
Contracts | | | Purchased
Option
Contracts | | | Swap
Contracts and
Forward Rate Agreements | |
MyDestination 2015 | | | — | | | | 12,122,672 | | | | — | | | | — | |
MyDestination 2025 | | | — | | | | 20,194,168 | | | | — | | | | — | |
MyDestination 2035 | | | — | | | | 11,898,608 | | | | — | | | | — | |
MyDestination 2045 | | | — | | | | 9,157,137 | | | | — | | | | — | |
MyDestination 2055 | | | — | | | | 1,777,374 | | | | — | | | | — | |
Conservative Allocation | | | — | | | | 14,078,346 | | | | — | | | | — | |
Balanced Allocation | | | — | | | | 40,193,786 | | | | — | | | | — | |
Growth Allocation | | | — | | | | 26,076,471 | | | | — | | | | — | |
Aggressive Allocation | | | — | | | | 19,187,289 | | | | — | | | | — | |
Low-Duration Bond | | | 65,153,854 | | | | 405,200,936 | | | | 27,468 | | | | 50,090,882 | |
Medium-Duration Bond | | | 116,365,221 | | | | 568,158,271 | | | | 1,844,905 | | | | 182,677,061 | |
Global Bond | | | 15,091,870 | | | | 42,688,035 | | | | 108,018 | | | | — | |
Defensive Market Strategies | | | 10,571,151 | | | | 2,750,526 | | | | — | | | | — | |
Equity Index | | | — | | | | 28,674,726 | | | | — | | | | — | |
Value Equity | | | — | | | | 43,326,036 | | | | — | | | | — | |
Growth Equity | | | — | | | | 57,687,428 | | | | — | | | | — | |
Small Cap Equity | | | — | | | | 24,400,195 | | | | — | | | | — | |
International Equity Index | | | — | | | | 7,351,168 | | | | — | | | | — | |
International Equity | | | 146,702,525 | | | | 165,209,335 | | | | — | | | | 14,604,039 | |
Emerging Markets Equity | | | 64,753,105 | | | | 52,002,351 | | | | — | | | | 65,164,409 | |
Inflation Protected Bond | | | 22,384,961 | | | | 32,426,507 | | | | 223,927 | | | | 7,938,862 | |
Global Real Estate Securities | | | — | | | | 5,716,884 | | | | — | | | | — | |
Strategic Alternatives | | | 256,721,261 | | | | — | | | | 238,390 | | | | 10,571 | |
| | | | | | | | | | | | | | | | |
| | | Short Derivative Volume | |
| | | Forward Foreign
Currency
Contracts | | | Financial
Futures
Contracts | | | Written
Option
Contracts | | | Swap
Contracts and
Forward Rate Agreements | |
Low-Duration Bond | | | 13,092,381 | | | | 209,806,309 | | | | 77,297 | | | | 241,487,620 | |
Medium-Duration Bond | | | 55,973,541 | | | | 564,652,865 | | | | 1,862,062 | | | | 280,425,257 | |
Global Bond | | | 42,948,116 | | | | 28,858,547 | | | | 39,241 | | | | — | |
Defensive Market Strategies | | | 2,804,907 | | | | — | | | | 781,118 | | | | — | |
International Equity | | | 205,820,929 | | | | 71,213,856 | | | | — | | | | 16,654,550 | |
Emerging Markets Equity | | | 75,837,141 | | | | 11,221,848 | | | | — | | | | 60,910,009 | |
Inflation Protected Bond | | | 5,193,274 | | | | 98,793,026 | | | | 112,382 | | | | 9,185,435 | |
Strategic Alternatives | | | 250,511,474 | | | | — | | | | 497,425 | | | | 41,817 | |
j. Dividends and Distributions to Shareholders
The Low-Duration Bond Fund, Medium-Duration Bond Fund, Extended-Duration Bond Fund, Inflation Protected Bond Fund and Global Bond 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, Global 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
353
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.
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”.
354
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, 2017, based upon average daily net assets, were as follows:
| | | | | | | | |
Fund | | Advisory Fees | | | Sub-Adviser Fees | |
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 | % | | | 0.05 | % |
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 | % | | | 0.29 | % |
Equity Index | | | 0.08 | % | | | 0.01 | % |
Value Equity | | | 0.33 | % | | | 0.21 | % |
Growth Equity | | | 0.33 | % | | | 0.36 | % |
Small Cap Equity | | | 0.33 | % | | | 0.59 | % |
International Equity Index | | | 0.10 | % | | | 0.02 | % |
International Equity | | | 0.33 | % | | | 0.40 | % |
Emerging Markets Equity | | | 0.33 | % | | | 0.70 | % |
Inflation Protected Bond Fund | | | 0.20 | % | | | 0.09 | % |
Global Real Estate Securities Fund | | | 0.30 | % | | | 0.40 | % |
Strategic Alternatives Fund | | | 0.40 | % | | | 0.46 | % |
For the year ended December 31, 2017, advisory fees and waivers for each Fund were as follows:
| | | | | | | | | | | | |
| | | Gross
Advisory Fee | | | Waiver/
Reimbursements(1) | | | Net Advisory Fee
(Reimbursement) | |
MyDestination 2015 | | $ | 586,015 | | | $ | (53,852 | ) | | $ | 532,163 | |
MyDestination 2025 | | | 986,548 | | | | (36,942 | ) | | | 949,606 | |
MyDestination 2035 | | | 565,277 | | | | (45,219 | ) | | | 520,058 | |
MyDestination 2045 | | | 422,133 | | | | (74,894 | ) | | | 347,239 | |
MyDestination 2055 | | | 89,218 | | | | (141,738 | ) | | | (52,520 | ) |
Conservative Allocation | | | 488,459 | | | | (28,966 | ) | | | 459,493 | |
Balanced Allocation | | | 1,556,485 | | | | (97,975 | ) | | | 1,458,510 | |
Growth Allocation | | | 1,178,613 | | | | (56,113 | ) | | | 1,122,500 | |
Aggressive Allocation | | | 971,521 | | | | (1,981 | ) | | | 969,540 | |
Money Market(2) | | | 891,444 | | | | - | | | | 891,444 | |
Low-Duration Bond | | | 1,028,798 | | | | (78,547 | ) | | | 950,251 | |
Medium-Duration Bond | | | 1,502,868 | | | | (177,676 | ) | | | 1,325,192 | |
Extended-Duration Bond | | | 602,647 | | | | (16,292 | ) | | | 586,355 | |
Global Bond | | | 1,191,039 | | | | (83,849 | ) | | | 1,107,190 | |
Defensive Market Strategies | | | 2,991,173 | | | | (80,131 | ) | | | 2,911,042 | |
Equity Index | | | 686,017 | | | | (62,723 | ) | | | 623,294 | |
Value Equity | | | 4,556,608 | | | | (104,828 | ) | | | 4,451,780 | |
Growth Equity | | | 5,130,742 | | | | (140,458 | ) | | | 4,990,284 | |
Small Cap Equity | | | 1,786,534 | | | | (56,645 | ) | | | 1,729,889 | |
355
| | | | | | | | | | | | |
| | | Gross
Advisory Fee | | | Waiver/
Reimbursements(1) | | | Net Advisory Fee
(Reimbursement) | |
International Equity Index | | $ | 157,147 | | | $ | 97,614 | | | $ | 254,761 | |
International Equity | | | 4,849,704 | | | | (145,961 | ) | | | 4,703,743 | |
Emerging Markets Equity | | | 1,380,181 | | | | (92,549 | ) | | | 1,287,632 | |
Inflation Protected Bond | | | 535,794 | | | | (16,071 | ) | | | 519,723 | |
Global Real Estate Securities | | | 696,440 | | | | (10,005 | ) | | | 686,435 | |
Strategic Alternatives | | | 483,827 | | | | (19,136 | ) | | | 464,691 | |
| (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, 2018.
c. Expense Limitation (Affiliate)
On February 24, 2017, GSCM agreed, through April 30, 2018, 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, 2017
to
April 30, 2017 | | | For the Period
May 1, 2017
to
December 31, 2017 | |
Fund | | Institutional
Class | | | Investor
Class | | | Institutional
Class | | | Investor
Class | |
MyDestination 2015 | | | N/A | | | | 0.35 | % | | | 0.20 | % | | | 0.40 | % |
MyDestination 2025 | | | N/A | | | | 0.35 | % | | | 0.20 | % | | | 0.40 | % |
MyDestination 2035 | | | N/A | | | | 0.35 | % | | | 0.20 | % | | | 0.40 | % |
MyDestination 2045 | | | N/A | | | | 0.35 | % | | | 0.20 | % | | | 0.40 | % |
MyDestination 2055 | | | N/A | | | | 0.35 | % | | | 0.20 | % | | | 0.40 | % |
International Equity Index | | | 0.57 | % | | | N/A | | | | 0.57 | % | | | N/A | |
Emerging Markets Equity | | | 1.32 | % | | | 1.57 | % | | | 1.32 | % | | | 1.57 | % |
Strategic Alternatives(1) | | | N/A | | | | N/A | | | | 1.28 | % | | | 1.53 | % |
| (1) | Commencement of operations was June 30, 2017. |
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
356
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, 2017, 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 | |
| | | 2018 | | | 2019 | | | 2020 | | | 2018 | | | 2019 | | | 2020 | |
MyDestination 2015 | | | N/A | | | | N/A | | | | N/A | | | $ | 274,488 | | | $ | 180,574 | | | $ | 30,638 | |
MyDestination 2025 | | | N/A | | | | N/A | | | | N/A | | | | 311,332 | | | | 185,515 | | | | N/A | |
MyDestination 2035 | | | N/A | | | | N/A | | | | N/A | | | | 325,538 | | | | 206,887 | | | | 24,128 | |
MyDestination 2045 | | | N/A | | | | N/A | | | | N/A | | | | 330,651 | | | | 232,288 | | | | 59,007 | |
MyDestination 2055 | | $ | 28,120 | | | $ | 28,120 | | | $ | 28,120 | | | | 363,630 | | | | 253,134 | | | | 110,489 | |
International Equity Index | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | |
Emerging Markets Equity | | | 933,435 | | | | 518,000 | | | | 16,344 | | | | 518,941 | | | | 191,393 | | | | 77,711 | |
Strategic Alternatives | | | 7,343 | | | | 7,343 | | | | 7,343 | | | | 26,774 | | | | 26,774 | | | | 26,774 | |
d. Brokerage Service Arrangements
Subject to best execution, the Adviser directs the sub-advisers to place a certain percentage of security trades with designated brokers who have agreed to pay certain custody, transfer agency or other operating expenses through the use of Brokerage Service Arrangements on behalf of the Funds. These payments can be found on the Statement of Operations under the heading “Fees Paid Indirectly.”
| | | | |
Fund | | Expenses Paid
Through Brokerage
Service Arrangements | |
Defensive Market Strategies | | $ | 188 | |
Value Equity | | | 14,046 | |
Growth Equity | | | 45,465 | |
Small Cap Equity | | | 60,088 | |
International Equity | | | 8,689 | |
Emerging Markets Equity | | | 2,800 | |
Global Real Estate Securities | | | 24,000 | |
e. Administrator, Transfer Agent and Distributor
Effective April 1, 2017, The Northern Trust Company (“Northern Trust”) provides administrative and accounting services to the Funds, and prior to this date, BNY Mellon Investment Servicing (US) Inc. (“BNY Mellon”) provided administrative and accounting services to the Funds. For its services as Administrator, both Northern Trust and BNY Mellon are entitled to receive fees, computed daily and paid monthly, based upon the average daily net assets of each Fund. Prior to April 1, 2017, the fees excluding out of pocket expenses, ranged between 0.004% and 0.02% of average daily net assets. Effective April 1, 2017, the fees excluding out of pocket expenses, range between 0.004% and 0.0225% 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, 2017, BNY Mellon and Northern Trust received $4,095,574 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.
357
f. Investments in Affiliates
The Target Date and Asset Allocation Funds do not invest in the underlying Select Funds for the purpose of exercising management or control; however, investments made by each 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, 2017, 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
2015 | | | MyDestination
2025 | | | MyDestination
2035 | | | MyDestination
2045 | | | MyDestination
2055 | |
Low-Duration Bond | | | 9.27 | % | | | 3.31 | % | | | — | | | | — | | | | — | |
Money Market | | | 1.04 | | | | 1.91 | | | | 1.44 | % | | | 1.08 | % | | | 0.27 | % |
Medium-Duration Bond | | | 10.16 | | | | 18.86 | | | | 7.10 | | | | 2.54 | | | | 0.32 | |
Global Bond | | | 10.60 | | | | 13.98 | | | | 4.71 | | | | 1.69 | | | | 0.21 | |
Defensive Market Strategies | | | 7.33 | | | | 12.28 | | | | 2.44 | | | | — | | | | — | |
Equity Index | | | 3.71 | | | | 9.66 | | | | 8.77 | | | | 7.79 | | | | 1.94 | |
Value Equity | | | 2.55 | | | | 6.42 | | | | 5.72 | | | | 5.10 | | | | 1.26 | |
Growth Equity | | | 2.23 | | | | 5.68 | | | | 4.98 | | | | 4.42 | | | | 1.11 | |
Small Cap Equity | | | 2.03 | | | | 5.26 | | | | 4.66 | | | | 4.12 | | | | 1.02 | |
International Equity Index | | | 11.41 | | | | 29.20 | | | | 26.13 | | | | 23.23 | | | | 5.79 | |
International Equity | | | 2.68 | | | | 6.87 | | | | 6.12 | | | | 5.47 | | | | 1.36 | |
Emerging Markets Equity | | | 3.75 | | | | 9.53 | | | | 8.60 | | | | 7.63 | | | | 1.88 | |
Inflation Protected Bond | | | 14.11 | | | | 10.42 | | | | — | | | | — | | | | — | |
Global Real Estate Securities | | | 2.44 | | | | 5.75 | | | | 4.45 | | | | 3.78 | | | | 0.94 | |
Strategic Alternatives Fund | | | 7.45 | | | | 7.25 | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Fund | | Conservative Allocation
Fund | | | Balanced Allocation
Fund | | | Growth Allocation
Fund | | | Aggressive Allocation
Fund | |
Low-Duration Bond | | | 26.02 | % | | | 11.41 | % | | | 3.90 | % | | | — | |
Money Market | | | 0.36 | | | | 3.00 | | | | 2.22 | | | | 1.84 | % |
Medium-Duration Bond | | | 4.40 | | | | 22.95 | | | | 9.16 | | | | — | |
Extended-Duration Bond | | | — | | | | 27.58 | | | | 9.50 | | | | — | |
Global Bond | | | 2.96 | | | | 25.79 | | | | 8.91 | | | | — | |
Defensive Market Strategies | | | 3.95 | | | | 16.88 | | | | 5.91 | | | | — | |
Value Equity | | | 1.97 | | | | 11.33 | | | | 15.75 | | | | 18.79 | |
Growth Equity | | | 1.71 | | | | 10.04 | | | | 13.44 | | | | 16.17 | |
Small Cap Equity | | | 1.09 | | | | 6.22 | | | | 8.38 | | | | 10.18 | |
International Equity | | | 2.03 | | | | 12.09 | | | | 16.50 | | | | 19.79 | |
Emerging Markets Equity | | | 1.94 | | | | 11.35 | | | | 15.45 | | | | 18.63 | |
Inflation Protected Bond | | | 10.99 | | | | 32.45 | | | | — | | | | — | |
Global Real Estate Securities | | | 2.50 | | | | 14.52 | | | | 16.52 | | | | — | |
Strategic Alternatives | | | 6.94 | | | | 17.00 | | | | 8.39 | | | | — | |
358
A summary of the Funds’ total long-term and short-term purchases and sales of the shares of the underlying Select Funds during the year ended December 31, 2017 is as follows (amounts in thousands):
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Total Value
at
12/31/16 | | | Purchases | | | Sales Proceeds | | | Net Realized
Gains/(Losses) | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | Total Value
at
12/31/17 | | | Dividend
Income | | | Distributions
of Realized
Gains | |
MyDestination 2015 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 8,127 | | | $ | 89,607 | | | $ | 85,628 | | | $ | — | | | $ | — | | | $ | 12,106 | | | $ | 113 | | | $ | — | |
Low-Duration Bond | | | 57,960 | | | | 25,771 | | | | — | | | | — | | | | (55 | ) | | | 83,676 | | | | 1,102 | | | | — | |
Medium-Duration Bond | | | 97,375 | | | | 44,370 | | | | 656 | | | | (11 | ) | | | 1,952 | | | | 143,030 | | | | 2,449 | | | | — | |
Global Bond | | | 38,581 | | | | 15,857 | | | | — | | | | — | | | | 1,623 | | | | 56,061 | | | | 1,685 | | | | — | |
Defensive Market Strategies | | | 91,129 | | | | 6,645 | | | | 34,050 | | | | 3,078 | | | | 3,746 | | | | 70,548 | | | | 472 | | | | 3,873 | |
Equity Index | | | 29,151 | | | | 2,416 | | | | 991 | | | | 60 | | | | 5,626 | | | | 36,262 | | | | 554 | | | | 222 | |
Value Equity | | | 32,320 | | | | 5,348 | | | | 1,161 | | | | (113 | ) | | | 2,530 | | | | 38,924 | | | | 599 | | | | 2,059 | |
Growth Equity | | | 28,733 | | | | 5,942 | | | | 1,399 | | | | (173 | ) | | | 5,584 | | | | 38,687 | | | | 24 | | | | 3,768 | |
Small Cap Equity | | | 10,963 | | | | 1,429 | | | | 1,700 | | | | 34 | | | | 568 | | | | 11,294 | | | | 19 | | | | 800 | |
International Equity Index | | | 20,058 | | | | 856 | | | | 3,605 | | | | 107 | | | | 4,058 | | | | 21,474 | | | | 489 | | | | 66 | |
International Equity | | | 40,835 | | | | 3,639 | | | | 9,195 | | | | 335 | | | | 7,845 | | | | 43,459 | | | | 691 | | | | 2,773 | |
Emerging Markets Equity | | | 16,421 | | | | 2,215 | | | | 5,284 | | | | 95 | | | | 5,286 | | | | 18,733 | | | | 179 | | | | — | |
Inflation Protected Bond | | | 33,005 | | | | 5,714 | | | | 14,620 | | | | (133 | ) | | | 257 | | | | 24,223 | | | | 715 | | | | — | |
Flexible Income | | | 18,256 | | | | 129 | | | | 18,383 | | | | (635 | ) | | | 633 | | | | — | | | | 129 | | | | — | |
Global Real Estate Securities | | | 4,142 | | | | 1,295 | | | | 65 | | | | (8 | ) | | | 273 | | | | 5,637 | | | | 224 | | | | — | |
Global Natural Resources Equity | | | 7,967 | | | | 980 | | | | 8,280 | | | | (342 | ) | | | (325 | ) | | | — | | | | — | | | | — | |
Strategic Alternatives | | | — | | | | 27,004 | | | | 195 | | | | 1 | | | | 81 | | | | 26,891 | | | | 141 | | | | 40 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 535,023 | | | $ | 239,217 | | | $ | 185,212 | | | $ | 2,295 | | | $ | 39,682 | | | $ | 631,005 | | | $ | 9,585 | | | $ | 13,601 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
MyDestination 2025 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 16,076 | | | $ | 121,477 | | | $ | 115,361 | | | $ | — | | | $ | — | | | $ | 22,192 | | | $ | 176 | | | $ | — | |
Low-Duration Bond | | | 11,917 | | | | 18,031 | | | | — | | | | — | | | | (53 | ) | | | 29,895 | | | | 334 | | | | — | |
Medium-Duration Bond | | | 162,036 | | | | 101,055 | | | | 765 | | | | (17 | ) | | | 3,306 | | | | 265,615 | | | | 4,246 | | | | — | |
Global Bond | | | 43,023 | | | | 29,017 | | | | — | | | | — | | | | 1,872 | | | | 73,912 | | | | 2,028 | | | | — | |
Defensive Market Strategies | | | 150,205 | | | | 25,973 | | | | 70,430 | | | | 6,797 | | | | 5,633 | | | | 118,178 | | | | 803 | | | | 6,434 | |
Equity Index | | | 69,700 | | | | 12,286 | | | | 1,955 | | | | 181 | | | | 14,210 | | | | 94,422 | | | | 1,419 | | | | 573 | |
Value Equity | | | 75,450 | | | | 16,593 | | | | — | | | | — | | | | 5,897 | | | | 97,940 | | | | 1,508 | | | | 5,180 | |
Growth Equity | | | 68,673 | | | | 17,349 | | | | 670 | | | | (32 | ) | | | 13,375 | | | | 98,695 | | | | 60 | | | | 9,604 | |
Small Cap Equity | | | 26,094 | | | | 6,550 | | | | 4,900 | | | | 34 | | | | 1,449 | | | | 29,227 | | | | 50 | | | | 2,071 | |
International Equity Index | | | 43,057 | | | | 6,480 | | | | 4,060 | | | | 148 | | | | 9,329 | | | | 54,954 | | | | 1,251 | | | | 168 | |
International Equity | | | 88,183 | | | | 13,182 | | | | 7,275 | | | | 384 | | | | 17,068 | | | | 111,542 | | | | 1,773 | | | | 7,114 | |
Emerging Markets Equity | | | 34,760 | | | | 7,128 | | | | 6,530 | | | | 174 | | | | 12,049 | | | | 47,581 | | | | 459 | | | | — | |
Inflation Protected Bond | | | 18,560 | | | | 10,201 | | | | 10,924 | | | | (81 | ) | | | 129 | | | | 17,885 | | | | 505 | | | | — | |
Flexible Income | | | 16,479 | | | | 896 | | | | 17,373 | | | | (373 | ) | | | 371 | | | | — | | | | 121 | | | | — | |
Global Real Estate Securities | | | 9,840 | | | | 3,670 | | | | 920 | | | | (82 | ) | | | 784 | | | | 13,292 | | | | 530 | | | | — | |
Global Natural Resources Equity | | | 20,391 | | | | 1,975 | | | | 20,742 | | | | (725 | ) | | | (899 | ) | | | — | | | | — | | | | — | |
Strategic Alternatives | | | — | | | | 26,114 | | | | — | | | | — | | | | 74 | | | | 26,188 | | | | 140 | | | | 40 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 854,444 | | | $ | 417,977 | | | $ | 261,905 | | | $ | 6,408 | | | $ | 84,594 | | | $ | 1,101,518 | | | $ | 15,403 | | | $ | 31,184 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
359
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Total Value
at
12/31/16 | | | Purchases | | | Sales Proceeds | | | Net Realized
Gains/(Losses) | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | Total Value
at
12/31/17 | | | Dividend
Income | | | Distributions
of Realized
Gains | |
MyDestination 2035 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 11,320 | | | $ | 62,021 | | | $ | 56,588 | | | $ | — | | | $ | — | | | $ | 16,753 | | | $ | 103 | | | $ | — | |
Low-Duration Bond | | | 219 | | | | — | | | | 220 | | | | (1 | ) | | | 2 | | | | — | | | | — | | | | — | |
Medium-Duration Bond | | | 73,391 | | | | 29,102 | | | | 4,120 | | | | (94 | ) | | | 1,674 | | | | 99,953 | | | | 1,895 | | | | — | |
Global Bond | | | 18,279 | | | | 6,605 | | | | 790 | | | | 1 | | | | 802 | | | | 24,897 | | | | 830 | | | | — | |
Defensive Market Strategies | | | 13,244 | | | | 10,183 | | | | 940 | | | | 87 | | | | 933 | | | | 23,507 | | | | 139 | | | | 1,125 | |
Equity Index | | | 63,959 | | | | 82,545 | | | | 74,134 | | | | 405 | | | | 12,960 | | | | 85,735 | | | | 1,306 | | | | 525 | |
Value Equity | | | 67,461 | | | | 16,866 | | | | 2,726 | | | | (91 | ) | | | 5,663 | | | | 87,173 | | | | 1,369 | | | | 4,648 | |
Growth Equity | | | 63,518 | | | | 93,023 | | | | 82,758 | | | | (133 | ) | | | 12,853 | | | | 86,503 | | | | 56 | | | | 8,455 | |
Small Cap Equity | | | 22,537 | | | | 6,959 | | | | 5,100 | | | | 173 | | | | 1,308 | | | | 25,877 | | | | 44 | | | | 1,834 | |
International Equity Index | | | 31,141 | | | | 11,430 | | | | 300 | | | | (17 | ) | | | 6,911 | | | | 49,165 | | | | 1,120 | | | | 150 | |
International Equity | | | 63,858 | | | | 24,492 | | | | 865 | | | | 3 | | | | 11,901 | | | | 99,389 | | | | 1,580 | | | | 6,322 | |
Emerging Markets Equity | | | 26,399 | | | | 10,182 | | | | 2,860 | | | | (246 | ) | | | 9,462 | | | | 42,937 | | | | 411 | | | | — | |
Global Real Estate Securities | | | 7,676 | | | | 2,207 | | | | 160 | | | | (14 | ) | | | 573 | | | | 10,282 | | | | 413 | | | | — | |
Global Natural Resources Equity | | | 15,774 | | | | 2,970 | | | | 17,357 | | | | (1,363 | ) | | | (24 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 478,776 | | | $ | 358,585 | | | $ | 248,918 | | | $ | (1,290 | ) | | $ | 65,018 | | | $ | 652,171 | | | $ | 9,266 | | | $ | 23,059 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
MyDestination 2045 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 7,921 | | | $ | 47,242 | | | $ | 42,575 | | | $ | — | | | $ | — | | | $ | 12,588 | | | $ | 76 | | | $ | — | |
Medium-Duration Bond | | | 30,041 | | | | 12,562 | | | | 7,559 | | | | (100 | ) | | | 769 | | | | 35,713 | | | | 752 | | | | — | |
Global Bond | | | 7,494 | | | | 2,960 | | | | 1,858 | | | | 3 | | | | 332 | | | | 8,931 | | | | 328 | | | | — | |
Equity Index | | | 55,825 | | | | 11,550 | | | | 2,985 | | | | 394 | | | | 11,425 | | | | 76,209 | | | | 1,157 | | | | 466 | |
Value Equity | | | 57,926 | | | | 18,112 | | | | 3,150 | | | | (99 | ) | | | 5,026 | | | | 77,815 | | | | 1,218 | | | | 4,144 | |
Growth Equity | | | 55,408 | | | | 14,142 | | | | 3,940 | | | | (50 | ) | | | 11,263 | | | | 76,823 | | | | 50 | | | | 7,490 | |
Small Cap Equity | | | 19,748 | | | | 6,718 | | | | 4,886 | | | | 151 | | | | 1,164 | | | | 22,895 | | | | 39 | | | | 1,622 | |
International Equity Index | | | 26,484 | | | | 12,374 | | | | 1,040 | | | | (49 | ) | | | 5,936 | | | | 43,705 | | | | 984 | | | | 133 | |
International Equity | | | 53,796 | | | | 25,775 | | | | 631 | | | | (48 | ) | | | 9,942 | | | | 88,834 | | | | 1,404 | | | | 5,585 | |
Emerging Markets Equity | | | 21,461 | | | | 10,621 | | | | 1,880 | | | | (134 | ) | | | 8,017 | | | | 38,085 | | | | 364 | | | | — | |
Global Real Estate Securities | | | 5,810 | | | | 2,632 | | | | 130 | | | | (15 | ) | | | 438 | | | | 8,735 | | | | 346 | | | | — | |
Global Natural Resources Equity | | | 11,918 | | | | 2,815 | | | | 13,721 | | | | (1,230 | ) | | | 218 | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 353,832 | | | $ | 167,503 | | | $ | 84,355 | | | $ | (1,177 | ) | | $ | 54,530 | | | $ | 490,333 | | | $ | 6,718 | | | $ | 19,440 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
MyDestination 2055 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 1,376 | | | $ | 25,418 | | | $ | 23,656 | | | $ | — | | | $ | — | | | $ | 3,138 | | | $ | 17 | | | $ | — | |
Medium-Duration Bond | | | 3,452 | | | | 2,530 | | | | 1,534 | | | | (21 | ) | | | 105 | | | | 4,532 | | | | 96 | | | | — | |
Global Bond | | | 862 | | | | 595 | | | | 365 | | | | 22 | | | | 18 | | | | 1,132 | | | | 42 | | | | — | |
Equity Index | | | 10,381 | | | | 6,581 | | | | 621 | | | | 84 | | | | 2,508 | | | | 18,933 | | | | 270 | | | | 110 | |
Value Equity | | | 10,539 | | | | 8,305 | | | | 689 | | | | (28 | ) | | | 1,093 | | | | 19,220 | | | | 286 | | | | 994 | |
Growth Equity | | | 10,509 | | | | 7,133 | | | | 683 | | | | (5 | ) | | | 2,241 | | | | 19,195 | | | | 11 | | | | 1,811 | |
Small Cap Equity | | | 3,504 | | | | 2,875 | | | | 990 | | | | 63 | | | | 211 | | | | 5,663 | | | | 10 | | | | 397 | |
International Equity Index | | | 4,977 | | | | 4,698 | | | | 35 | | | | (3 | ) | | | 1,256 | | | | 10,893 | | | | 247 | | | | 32 | |
International Equity | | | 10,106 | | | | 10,154 | | | | 112 | | | | (5 | ) | | | 1,947 | | | | 22,090 | | | | 350 | | | | 1,378 | |
Emerging Markets Equity | | | 4,023 | | | | 3,916 | | | | 250 | | | | (10 | ) | | | 1,709 | | | | 9,388 | | | | 90 | | | | — | |
Global Real Estate Securities | | | 1,046 | | | | 1,044 | | | | — | | | | — | | | | 83 | | | | 2,173 | | | | 84 | | | | — | |
Global Natural Resources Equity | | | 2,050 | | | | 996 | | | | 2,842 | | | | 260 | | | | (464 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 62,825 | | | $ | 74,245 | | | $ | 31,777 | | | $ | 357 | | | $ | 10,707 | | | $ | 116,357 | | | $ | 1,503 | | | $ | 4,722 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
360
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Total Value
at
12/31/16 | | | Purchases | | | Sales Proceeds | | | Net Realized
Gains/(Losses) | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | Merger
Activity | | | Total Value
at
12/31/17 | | | Dividend
Income | | | Distributions
of Realized
Gains | |
Conservative Allocation | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 6,913 | | | $ | 68,238 | | | $ | 70,992 | | | $ | — | | | $ | — | | | $ | — | | | $ | 4,159 | | | $ | 95 | | | $ | — | |
Low-Duration Bond | | | 154,777 | | | | 40,386 | | | | 3,410 | | | | (100 | ) | | | (191 | ) | | | 43,352 | | | | 234,814 | | | | 3,458 | | | | — | |
Medium-Duration Bond | | | 40,217 | | | | 10,323 | | | | 1,125 | | | | (51 | ) | | | 689 | | | | 11,925 | | | | 61,978 | | | | 1,222 | | | | — | |
Global Bond | | | 10,214 | | | | 2,301 | | | | 250 | | | | (1 | ) | | | 486 | | | | 2,909 | | | | 15,659 | | | | 532 | | | | — | |
Defensive Market Strategies | | | 34,206 | | | | 2,731 | | | | 11,050 | | | | 780 | | | | 2,255 | | | | 9,119 | | | | 38,041 | | | | 241 | | | | 1,990 | |
Value Equity | | | 19,823 | | | | 5,284 | | | | 1,916 | | | | (210 | ) | | | 1,965 | | | | 5,072 | | | | 30,018 | | | | 454 | | | | 1,576 | |
Growth Equity | | | 17,887 | | | | 7,079 | | | | 4,321 | | | | (440 | ) | | | 4,107 | | | | 5,318 | | | | 29,630 | | | | 17 | | | | 2,901 | |
Small Cap Equity | | | 3,982 | | | | 1,351 | | | | 661 | | | | 8 | | | | 352 | | | | 1,041 | | | | 6,073 | | | | 10 | | | | 430 | |
International Equity | | | 21,226 | | | | 2,923 | | | | 2,004 | | | | (77 | ) | | | 4,751 | | | | 6,094 | | | | 32,913 | | | | 523 | | | | 2,100 | |
Emerging Markets Equity | | | 5,589 | | | | 1,428 | | | | 1,155 | | | | (65 | ) | | | 2,362 | | | | 1,543 | | | | 9,702 | | | | 94 | | | | — | |
Inflation Protected Bond | | | 36,735 | | | | 1,408 | | | | 29,783 | | | | (381 | ) | | | 379 | | | | 10,508 | | | | 18,866 | | | | 708 | | | | — | |
Flexible Income | | | 18,713 | | | | 164 | | | | 24,094 | | | | (909 | ) | | | 751 | | | | 5,375 | | | | — | | | | 164 | | | | — | |
Global Real Estate Securities | | | 3,788 | | | | 1,001 | | | | 379 | | | | (42 | ) | | | 259 | | | | 1,149 | | | | 5,776 | | | | 231 | | | | — | |
Global Natural Resources Equity | | | 7,485 | | | | 1,130 | | | | 10,091 | | | | (1,949 | ) | | | 1,889 | | | | 1,536 | | | | — | | | | — | | | | — | |
Strategic Alternatives | | | — | | | | 25,143 | | | | 225 | | | | 1 | | | | 148 | | | | — | | | | 25,067 | | | | 134 | | | | 40 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 381,555 | | | $ | 170,890 | | | $ | 161,456 | | | $ | (3,436 | ) | | $ | 20,202 | | | $ | 104,941 | | | $ | 512,696 | | | $ | 7,883 | | | $ | 9,037 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Total Value
at
12/31/16 | | | Purchases | | | Sales Proceeds | | | Net Realized
Gains/(Losses) | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | Total Value
at
12/31/17 | | | Dividend
Income | | | Distributions
of Realized
Gains | |
Balanced Allocation | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 32,201 | | | $ | 145,342 | | | $ | 142,623 | | | $ | — | | | $ | — | | | $ | 34,920 | | | $ | 344 | | | $ | — | |
Low-Duration Bond | | | 178,127 | | | | 10,921 | | | | 86,470 | | | | (1,182 | ) | | | 1,594 | | | | 102,990 | | | | 2,726 | | | | — | |
Medium-Duration Bond | | | 236,897 | | | | 86,010 | | | | 4,450 | | | | (303 | ) | | | 5,061 | | | | 323,215 | | | | 5,537 | | | | — | |
Extended-Duration Bond | | | 60,756 | | | | 5,668 | | | | 1,930 | | | | (253 | ) | | | 4,036 | | | | 68,277 | | | | 2,064 | | | | 453 | |
Global Bond | | | 118,171 | | | | 15,693 | | | | 2,430 | | | | 3 | | | | 4,918 | | | | 136,355 | | | | 4,688 | | | | — | |
Defensive Market Strategies | | | 118,375 | | | | 41,345 | | | | 3,835 | | | | 297 | | | | 6,341 | | | | 162,523 | | | | 939 | | | | 7,646 | |
Value Equity | | | 146,532 | | | | 21,498 | | | | 6,280 | | | | (591 | ) | | | 11,712 | | | | 172,871 | | | | 2,679 | | | | 9,168 | |
Growth Equity | | | 137,470 | | | | 27,893 | | | | 16,870 | | | | (2,025 | ) | | | 27,862 | | | | 174,330 | | | | 108 | | | | 17,073 | |
Small Cap Equity | | | 31,218 | | | | 7,484 | | | | 6,000 | | | | 149 | | | | 1,717 | | | | 34,568 | | | | 59 | | | | 2,435 | |
International Equity | | | 164,899 | | | | 15,850 | | | | 15,430 | | | | 1,778 | | | | 29,265 | | | | 196,362 | | | | 3,121 | | | | 12,529 | |
Emerging Markets Equity | | | 43,771 | | | | 4,382 | | | | 5,770 | | | | (478 | ) | | | 14,760 | | | | 56,665 | | | | 542 | | | | — | |
Inflation Protected Bond | | | 85,508 | | | | 3,514 | | | | 33,643 | | | | (290 | ) | | | 621 | | | | 55,710 | | | | 1,715 | | | | — | |
Flexible Income | | | 44,522 | | | | 314 | | | | 44,831 | | | | (1,859 | ) | | | 1,854 | | | | — | | | | 315 | | | | — | |
Global Real Estate Securities | | | 38,547 | | | | 5,472 | | | | 13,280 | | | | (897 | ) | | | 3,717 | | | | 33,559 | | | | 1,432 | | | | — | |
Global Natural Resources Equity | | | 45,514 | | | | 3,415 | | | | 46,871 | | | | (11,940 | ) | | | 9,882 | | | | — | | | | — | | | | — | |
Strategic Alternatives | | | — | | | | 63,056 | | | | 1,830 | | | | 8 | | | | 151 | | | | 61,385 | | | | 329 | | | | 95 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 1,482,508 | | | $ | 457,857 | | | $ | 432,543 | | | $ | (17,583 | ) | | $ | 123,491 | | | $ | 1,613,730 | | | $ | 26,598 | | | $ | 49,399 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
361
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Total Value
at
12/31/16 | | | Purchases | | | Sales Proceeds | | | Net Realized
Gains/(Losses) | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | Total Value
at
12/31/17 | | | Dividend
Income | | | Distributions
of Realized
Gains | |
Growth Allocation | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 25,623 | | | $ | 60,085 | | | $ | 59,835 | | | $ | — | | | $ | — | | | $ | 25,873 | | | $ | 203 | | | $ | — | |
Low-Duration Bond | | | 79,456 | | | | 9,499 | | | | 53,964 | | | | (309 | ) | | | 539 | | | | 35,221 | | | | 1,214 | | | | — | |
Medium-Duration Bond | | | 106,485 | | | | 24,049 | | | | 3,645 | | | | (116 | ) | | | 2,271 | | | | 129,044 | | | | 2,487 | | | | — | |
Extended-Duration Bond | | | 27,234 | | | | 2,840 | | | | 8,284 | | | | (1,002 | ) | | | 2,732 | | | | 23,520 | | | | 892 | | | | 178 | |
Global Bond | | | 53,023 | | | | 5,883 | | | | 14,046 | | | | 9 | | | | 2,243 | | | | 47,112 | | | | 2,078 | | | | — | |
Defensive Market Strategies | | | — | | | | 59,245 | | | | 500 | | | | 4 | | | | (1,815 | ) | | | 56,934 | | | | 268 | | | | 2,265 | |
Value Equity | | | 199,334 | | | | 29,797 | | | | 4,205 | | | | (246 | ) | | | 15,598 | | | | 240,278 | | | | 3,767 | | | | 12,805 | |
Growth Equity | | | 190,266 | | | | 29,616 | | | | 23,541 | | | | (1,641 | ) | | | 38,827 | | | | 233,527 | | | | 155 | | | | 22,861 | |
Small Cap Equity | | | 44,738 | | | | 8,788 | | | | 9,660 | | | | 260 | | | | 2,432 | | | | 46,558 | | | | 79 | | | | 3,299 | |
International Equity | | | 230,133 | | | | 24,379 | | | | 31,049 | | | | 4,946 | | | | 39,628 | | | | 268,037 | | | | 4,260 | | | | 17,102 | |
Emerging Markets Equity | | | 59,283 | | | | 4,568 | | | | 6,717 | | | | 115 | | | | 19,869 | | | | 77,118 | | | | 738 | | | | — | |
Global Real Estate Securities | | | 36,481 | | | | 2,114 | | | | 2,839 | | | | (219 | ) | | | 2,647 | | | | 38,184 | | | | 1,564 | | | | — | |
Global Natural Resources Equity | | | 34,787 | | | | 2,110 | | | | 34,882 | | | | (8,658 | ) | | | 6,643 | | | | — | | | | — | | | | — | |
Strategic Alternatives | | | — | | | | 30,695 | | | | 160 | | | | — | | | | (239 | ) | | | 30,296 | | | | 162 | | | | 48 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 1,086,843 | | | $ | 293,668 | | | $ | 253,327 | | | $ | (6,857 | ) | | $ | 131,375 | | | $ | 1,251,702 | | | $ | 17,867 | | | $ | 58,558 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Aggressive Allocation | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 18,822 | | | $ | 63,955 | | | $ | 61,420 | | | $ | — | | | $ | — | | | $ | 21,357 | | | $ | 143 | | | $ | — | |
Value Equity | | | 235,214 | | | | 36,009 | | | | 2,765 | | | | (166 | ) | | | 18,328 | | | | 286,620 | | | | 4,508 | | | | 15,317 | |
Growth Equity | | | 226,001 | | | | 30,940 | | | | 19,446 | | | | (1,492 | ) | | | 44,842 | | | | 280,845 | | | | 186 | | | | 27,689 | |
Small Cap Equity | | | 51,438 | | | | 11,738 | | | | 9,700 | | | | 233 | | | | 2,859 | | | | 56,568 | | | | 96 | | | | 3,987 | |
International Equity | | | 271,334 | | | | 27,627 | | | | 29,425 | | | | (164 | ) | | | 52,160 | | | | 321,532 | | | | 5,110 | | | | 20,516 | |
Emerging Markets Equity | | | 70,721 | | | | 5,645 | | | | 7,040 | | | | (161 | ) | | | 23,803 | | | | 92,968 | | | | 890 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 873,530 | | | $ | 175,914 | | | $ | 129,796 | | | $ | (1,750 | ) | | $ | 141,992 | | | $ | 1,059,890 | | | $ | 10,933 | | | $ | 67,509 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Low-Duration Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 15,457 | | | $ | 587,315 | | | $ | 589,878 | | | $ | — | | | $ | — | | | $ | 12,894 | | | $ | 178 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Medium-Duration Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 52,756 | | | $ | 651,692 | | | $ | 608,341 | | | $ | — | | | $ | — | | | $ | 96,107 | | | $ | 417 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Extended-Duration Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 6,093 | | | $ | 67,979 | | | $ | 67,869 | | | $ | — | | | $ | — | | | $ | 6,203 | | | $ | 37 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Global Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 31,918 | | | $ | 395,169 | | | $ | 397,341 | | | $ | — | | | $ | — | | | $ | 29,746 | | | $ | 180 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Defensive Market Strategies | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 29,869 | | | $ | 248,681 | | | $ | 245,251 | | | $ | — | | | $ | — | | | $ | 33,299 | | | $ | 175 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Equity Index | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 23,274 | | | $ | 183,029 | | | $ | 173,846 | | | $ | — | | | $ | — | | | $ | 32,457 | | | $ | 140 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Value Equity | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 30,846 | | | $ | 257,310 | | | $ | 252,390 | | | $ | — | | | $ | — | | | $ | 35,766 | | | $ | 235 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Growth Equity | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 54,388 | | | $ | 674,385 | | | $ | 676,917 | | | $ | — | | | $ | — | | | $ | 51,856 | | | $ | 302 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
362
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Total Value
at
12/31/16 | | | Purchases | | | Sales Proceeds | | | Net Realized
Gains/(Losses) | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | Total Value
at
12/31/17 | | | Dividend
Income | | | Distributions
of Realized
Gains | |
Small Cap Equity | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 23,248 | | | $ | 198,482 | | | $ | 196,972 | | | $ | — | | | $ | — | | | $ | 24,758 | | | $ | 123 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
International Equity Index | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 6,944 | | | $ | 42,488 | | | $ | 42,376 | | | $ | — | | | $ | — | | | $ | 7,056 | | | $ | 50 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
International Equity | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 59,347 | | | $ | 619,144 | | | $ | 609,476 | | | $ | — | | | $ | — | | | $ | 69,015 | | | $ | 334 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Emerging Markets Equity | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 13,793 | | | $ | 163,809 | | | $ | 157,993 | | | $ | — | | | $ | — | | | $ | 19,609 | | | $ | 83 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Inflation Protected Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 3,843 | | | $ | 201,558 | | | $ | 191,663 | | | $ | — | | | $ | — | | | $ | 13,738 | | | $ | 36 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Global Real Estate Securities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | 5,228 | | | $ | 69,799 | | | $ | 70,436 | | | $ | — | | | $ | — | | | $ | 4,591 | | | $ | 21 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Strategic Alternatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market | | $ | — | | | $ | 266,863 | | | $ | 240,428 | | | $ | — | | | $ | — | | | $ | 26,435 | | | $ | 55 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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, such as U.S. Treasury Bills and U.S. Treasury Notes, 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, 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, 2017, 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 | | $ | 86,733,576 | | | $ | 75,122,664 | | | $ | 13,329,271 | | | $ | 88,451,935 | |
Medium-Duration Bond | | | 90,950,486 | | | | 81,968,488 | | | | 10,659,942 | | | | 92,628,430 | |
Extended-Duration Bond | | | 62,389,377 | | | | 51,468,640 | | | | 12,095,847 | | | | 63,564,487 | |
Global Bond | | | 50,859,606 | | | | 28,268,809 | | | | 23,734,761 | | | | 52,003,570 | |
Defensive Market Strategies | | | 47,198,754 | | | | 19,213,628 | | | | 29,225,247 | | | | 48,438,875 | |
Equity Index | | | 35,630,881 | | | | 35,812,326 | | | | 786,737 | | | | 36,599,063 | |
Value Equity | | | 35,790,169 | | | | 29,766,943 | | | | 7,162,311 | | | | 36,929,254 | |
Growth Equity | | | 183,587,728 | | | | 171,769,973 | | | | 16,381,945 | | | | 188,151,918 | |
Small Cap Equity | | | 94,338,314 | | | | 72,521,310 | | | | 24,953,905 | | | | 97,475,215 | |
363
| | | | | | | | | | | | | | | | |
Fund | | Value of
Securities Loaned | | | Value of
Non-cash
Collateral | | | Value of
Cash Collateral | | | Total
Value of
Collateral | |
International Equity Index | | $ | 3,772,600 | | | $ | 3,579,100 | | | $ | 504,978 | | | $ | 4,084,078 | |
International Equity | | | 60,417,566 | | | | 45,003,246 | | | | 18,506,949 | | | | 63,510,195 | |
Emerging Markets Equity | | | 30,566,285 | | | | 24,389,836 | | | | 7,288,423 | | | | 31,678,259 | |
Global Real Estate Securities | | | 14,784,601 | | | | 12,421,234 | | | | 2,792,780 | | | | 15,214,014 | |
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, 2017, the securities loaned which are subjected 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 | | $ | 86,733,576 | | | $ | (75,122,664 | ) | | $ | (11,610,912 | ) | | $ | — | |
Medium-Duration Bond | | | 90,950,486 | | | | (81,968,488 | ) | | | (8,981,998 | ) | | | — | |
Extended-Duration Bond | | | 62,389,377 | | | | (51,468,640 | ) | | | (10,920,737 | ) | | | — | |
Global Bond | | | 50,859,606 | | | | (28,268,809 | ) | | | (22,590,797 | ) | | | — | |
Defensive Market Strategies | | | 47,198,754 | | | | (19,213,628 | ) | | | (27,985,126 | ) | | | — | |
Equity Index | | | 35,630,881 | | | | (35,630,881 | ) | | | — | | | | — | |
Value Equity | | | 35,790,169 | | | | (29,766,943 | ) | | | (6,023,226 | ) | | | — | |
Growth Equity | | | 183,587,728 | | | | (171,769,973 | ) | | | (11,817,755 | ) | | | — | |
Small Cap Equity | | | 94,338,314 | | | | (72,521,310 | ) | | | (21,817,004 | ) | | | — | |
International Equity Index | | | 3,772,600 | | | | (3,579,100 | ) | | | (193,500 | ) | | | — | |
International Equity | | | 60,417,566 | | | | (45,003,246 | ) | | | (15,414,320 | ) | | | — | |
Emerging Markets Equity | | | 30,566,285 | | | | (24,389,836 | ) | | | (6,176,449 | ) | | | — | |
Global Real Estate Securities | | | 14,784,601 | | | | (12,421,234 | ) | | | (2,363,367 | ) | | | — | |
| (1) | 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 Repurchase Agreements and Derivative Financial Instruments sections of the Notes to Financial Statements.
364
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, 2017.
| | | | | | | | | | | | | | | | |
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 | | $ | 13,329,271 | | | $ | — | | | $ | — | | | $ | 13,329,271 | |
Medium-Duration Bond | | | | | | | | | | | | | | | | |
Corporate Bonds, Foreign Bonds, U.S. Treasury Obligations | | | 10,659,942 | | | | — | | | | — | | | | 10,659,942 | |
Extended-Duration Bond | | | | | | | | | | | | | | | | |
Corporate Bonds, Foreign Bonds, Preferred Stocks, U.S. Treasury Obligations | | | 12,095,847 | | | | — | | | | — | | | | 12,095,847 | |
Global Bond | | | | | | | | | | | | | | | | |
Common Stocks, Corporate Bonds, Foreign Bonds, Foreign Common Stocks, Preferred Stocks, U.S. Treasury Obligations | | | 23,734,761 | | | | — | | | | — | | | | 23,734,761 | |
Defensive Market Strategies | | | | | | | | | | | | | | | | |
Common Stocks, Corporate Bonds, Foreign Bonds, Foreign Common Stocks | | | 29,225,247 | | | | — | | | | — | | | | 29,225,247 | |
Equity Index | | | | | | | | | | | | | | | | |
Common Stocks, Foreign Common Stocks | | | 786,737 | | | | — | | | | — | | | | 786,737 | |
Value Equity | | | | | | | | | | | | | | | | |
Common Stocks, Foreign Common Stocks | | | 7,162,311 | | | | — | | | | — | | | | 7,162,311 | |
Growth Equity | | | | | | | | | | | | | | | | |
Common Stocks, Foreign Common Stocks | | | 16,381,945 | | | | — | | | | — | | | | 16,381,945 | |
Small Cap Equity | | | | | | | | | | | | | | | | |
Common Stocks, Foreign Common Stocks | | | 24,953,905 | | | | — | | | | — | | | | 24,953,905 | |
International Equity Index | | | | | | | | | | | | | | | | |
Foreign Common Stocks | | | 504,978 | | | | — | | | | — | | | | 504,978 | |
International Equity | | | | | | | | | | | | | | | | |
Foreign Common Stocks | | | 18,506,949 | | | | — | | | | — | | | | 18,506,949 | |
Emerging Markets Equity | | | | | | | | | | | | | | | | |
Foreign Common Stocks, Foreign Preferred Stocks | | | 7,288,423 | | | | — | | | | — | | | | 7,288,423 | |
Global Real Estate Securities | | | | | | | | | | | | | | | | |
Common Stocks, Foreign Common Stocks | | | 2,792,780 | | | | — | | | | — | | | | 2,792,780 | |
365
5. INVESTMENT TRANSACTIONS
For the year ended December 31, 2017 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 2015 | | $ | 148,636,752 | | | $ | 99,583,898 | | | $ | — | | | $ | — | |
MyDestination 2025 | | | 295,384,530 | | | | 146,544,214 | | | | — | | | | — | |
MyDestination 2035 | | | 296,564,287 | | | | 192,389,436 | | | | — | | | | — | |
MyDestination 2045 | | | 120,260,794 | | | | 41,779,436 | | | | — | | | | — | |
MyDestination 2055 | | | 48,806,332 | | | | 8,121,663 | | | | — | | | | — | |
Conservative Allocation | | | 207,592,494 | | | | 90,463,678 | | | | — | | | | — | |
Balanced Allocation | | | 312,514,780 | | | | 289,920,204 | | | | — | | | | — | |
Growth Allocation | | | 233,582,801 | | | | 193,492,599 | | | | — | | | | — | |
Aggressive Allocation | | | 111,958,196 | | | | 68,375,002 | | | | — | | | | — | |
Low-Duration Bond | | | 1,126,072,002 | | | | 491,244,931 | | | | 4,916,635,948 | | | | 394,646,960 | |
Medium-Duration Bond | | | 3,975,143,475 | | | | 3,823,344,297 | | | | 867,296,410 | | | | 720,268,625 | |
Extended-Duration Bond | | | 215,328,455 | | | | 219,917,985 | | | | — | | | | — | |
Global Bond | | | 153,308,574 | | | | 113,712,360 | | | | 38,563,295 | | | | 10,810,000 | |
Defensive Market Strategies | | | 430,782,392 | | | | 412,780,620 | | | | — | | | | — | |
Equity Index | | | 88,480,749 | | | | 12,695,938 | | | | — | | | | — | |
Value Equity | | | 565,742,742 | | | | 503,473,973 | | | | — | | | | — | |
Growth Equity | | | 668,875,027 | | | | 659,612,754 | | | | — | | | | — | |
Small Cap Equity | | | 414,009,138 | | | | 454,878,041 | | | | — | | | | — | |
International Equity Index | | | 33,003,252 | | | | 6,248,700 | | | | — | | | | — | |
International Equity | | | 670,283,867 | | | | 665,349,446 | | | | — | | | | — | |
Emerging Markets Equity | | | 276,397,194 | | | | 233,173,129 | | | | — | | | | — | |
Inflation Protected Bond | | | 13,263,410 | | | | 9,244,781 | | | | 160,359,456 | | | | 286,446,293 | |
Global Real Estate Securities | | | 312,372,187 | | | | 320,827,024 | | | | — | | | | — | |
Strategic Alternatives | | | 394,028,939 | | | | 147,204,335 | | | | — | | | | — | |
366
6. CAPITAL SHARE TRANSACTIONS
Transactions in shares of capital stock were as follows:
| | | | | | | | | | | | | | | | |
| | | Year Ended 12/31/17 | | | Year Ended 12/31/16 | |
| | | | |
| | | Institutional
Class | | | Investor
Class | | | Institutional
Class | | | Investor
Class | |
MyDestination 2015(1) | | | | | | | | | | | | | | | | |
Shares sold | | | 11,311,755 | | | | 8,161,355 | | | | | | | | 8,974,684 | |
Shares reinvested | | | 294,297 | | | | 1,282,525 | | | | | | | | 1,663,394 | |
Shares redeemed | | | (1,102,017 | ) | | | (15,353,846 | ) | | | | | | | (6,682,695 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | 10,504,035 | | | | (5,909,966 | ) | | | | | | | 3,955,383 | |
| | | | | | | | | | | | | | | | |
MyDestination 2025(1) | | | | | | | | | | | | | | | | |
Shares sold | | | 21,786,823 | | | | 13,964,826 | | | | | | | | 14,133,695 | |
Shares reinvested | | | 866,930 | | | | 3,230,196 | | | | | | | | 2,981,057 | |
Shares redeemed | | | (997,626 | ) | | | (23,795,418 | ) | | | | | | | (4,654,799 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | 21,656,127 | | | | (6,600,396 | ) | | | | | | | 12,459,953 | |
| | | | | | | | | | | | | | | | |
MyDestination 2035(1) | | | | | | | | | | | | | | | | |
Shares sold | | | 15,294,295 | | | | 8,309,475 | | | | | | | | 8,104,455 | |
Shares reinvested | | | 599,898 | | | | 1,865,235 | | | | | | | | 2,053,661 | |
Shares redeemed | | | (577,563 | ) | | | (15,040,131 | ) | | | | | | | (1,981,672 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | 15,316,630 | | | | (4,865,421 | ) | | | | | | | 8,176,444 | |
| | | | | | | | | | | | | | | | |
MyDestination 2045(1) | | | | | | | | | | | | | | | | |
Shares sold | | | 14,986,419 | | | | 5,916,597 | | | | | | | | 6,808,741 | |
Shares reinvested | | | 662,778 | | | | 1,502,334 | | | | | | | | 1,635,150 | |
Shares redeemed | | | (513,484 | ) | | | (14,314,901 | ) | | | | | | | (1,150,891 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | 15,135,713 | | | | (6,895,970 | ) | | | | | | | 7,293,000 | |
| | | | | | | | | | | | | | | | |
MyDestination 2055(1) | | | | | | | | | | | | | | | | |
Shares sold | | | 2,804,021 | | | | 2,448,608 | | | | | | | | 2,008,972 | |
Shares reinvested | | | 125,955 | | | | 250,170 | | | | | | | | 206,380 | |
Shares redeemed | | | (93,452 | ) | | | (2,345,351 | ) | | | | | | | (248,290 | ) |
| | | | | | | | | | | | | | | | |
Net increase | | | 2,836,524 | | | | 353,427 | | | | | | | | 1,967,062 | |
| | | | | | | | | | | | | | | | |
Conservative Allocation | | | | | | | | | | | | | | | | |
Shares sold | | | 2,604,032 | | | | 10,852,413 | | | | 994,037 | | | | 3,605,797 | |
Shares issued for merger | | | — | | | | 9,553,188 | | | | — | | | | — | |
Shares reinvested | | | 135,077 | | | | 587,792 | | | | 171,047 | | | | 633,748 | |
Shares redeemed | | | (2,206,596 | ) | | | (11,853,182 | ) | | | (921,640 | ) | | | (3,883,152 | ) |
| | | | | | | | | | | | | | | | |
Net increase | | | 532,513 | | | | 9,140,211 | | | | 243,444 | | | | 356,393 | |
| | | | | | | | | | | | | | | | |
Balanced Allocation | | | | | | | | | | | | | | | | |
Shares sold | | | 3,604,680 | | | | 5,838,745 | | | | 1,228,719 | | | | 4,030,356 | |
Shares reinvested | | | 707,736 | | | | 2,490,824 | | | | 991,355 | | | | 3,275,512 | |
Shares redeemed | | | (6,264,351 | ) | | | (7,412,128 | ) | | | (3,851,034 | ) | | | (14,315,038 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | (1,951,935 | ) | | | 917,441 | | | | (1,630,960 | ) | | | (7,009,170 | ) |
| | | | | | | | | | | | | | | | |
367
| | | | | | | | | | | | | | | | |
| | | Year Ended 12/31/17 | | | Year Ended 12/31/16 | |
| | | | |
| | | Institutional
Class | | | Investor
Class | | | Institutional
Class | | | Investor
Class | |
Growth Allocation | | | | | | | | | | | | | | | | |
Shares sold | | | 979,587 | | | | 3,755,737 | | | | 893,112 | | | | 2,434,417 | |
Shares reinvested | | | 1,059,613 | | | | 3,547,036 | | | | 1,254,237 | | | | 4,150,859 | |
Shares redeemed | | | (1,908,452 | ) | | | (5,823,747 | ) | | | (2,697,544 | ) | | | (9,813,358 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | 130,748 | | | | 1,479,026 | | | | (550,195 | ) | | | (3,228,082 | ) |
| | | | | | | | | | | | | | | | |
Aggressive Allocation | | | | | | | | | | | | | | | | |
Shares sold | | | 498,052 | | | | 2,635,197 | | | | 546,022 | | | | 1,469,425 | |
Shares reinvested | | | 1,104,497 | | | | 4,768,864 | | | | 1,380,716 | | | | 5,888,125 | |
Shares redeemed | | | (1,500,639 | ) | | | (4,481,481 | ) | | | (1,781,536 | ) | | | (13,620,552 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | 101,910 | | | | 2,922,580 | | | | 145,202 | | | | (6,263,002 | ) |
| | | | | | | | | | | | | | | | |
Money Market | | | | | | | | | | | | | | | | |
Shares sold | | | 807,335,296 | | | | 4,112,657,567 | | | | 649,810,099 | | | | 4,364,775,848 | |
Shares reinvested | | | 892,830 | | | | 2,182,091 | | | | 305,772 | | | | 209,397 | |
Shares redeemed | | | (790,919,842 | ) | | | (4,170,940,970 | ) | | | (644,356,936 | ) | | | (4,455,737,775 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | 17,308,284 | | | | (56,101,312 | ) | | | 5,758,935 | | | | (90,752,530 | ) |
| | | | | | | | | | | | | | | | |
Low-Duration Bond | | | | | | | | | | | | | | | | |
Shares sold | | | 11,797,654 | | | | 4,475,371 | | | | 8,429,766 | | | | 5,581,554 | |
Shares reinvested | | | 759,850 | | | | 298,655 | | | | 919,845 | | | | 193,716 | |
Shares redeemed | | | (12,093,538 | ) | | | (2,584,765 | ) | | | (10,527,899 | ) | | | (2,998,911 | ) |
Shares reduced by reverse share split | | | — | | | | — | | | | (28,750,566 | ) | | | — | |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | 463,966 | | | | 2,189,261 | | | | (29,928,854 | ) | | | 2,776,359 | |
| | | | | | | | | | | | | | | | |
Medium-Duration Bond | | | | | | | | | | | | | | | | |
Shares sold | | | 21,590,615 | | | | 4,508,267 | | | | 21,557,645 | | | | 3,275,354 | |
Shares reinvested | | | 1,359,854 | | | | 305,851 | | | | 2,389,962 | | | | 264,351 | |
Shares redeemed | | | (2,144,985 | ) | | | (1,474,724 | ) | | | (24,399,164 | ) | | | (1,742,097 | ) |
Shares reduced by reverse share split | | | — | | | | — | | | | (49,371,447 | ) | | | — | |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | 20,805,484 | | | | 3,339,394 | | | | (49,823,004 | ) | | | 1,797,608 | |
| | | | | | | | | | | | | | | | |
Extended-Duration Bond | | | | | | | | | | | | | | | | |
Shares sold | | | 574,697 | | | | 1,018,406 | | | | 3,154,014 | | | | 2,748,742 | |
Shares reinvested | | | 267,374 | | | | 248,393 | | | | 2,105,800 | | | | 431,964 | |
Shares redeemed | | | (853,288 | ) | | | (1,366,343 | ) | | | (9,293,585 | ) | | | (2,493,027 | ) |
Shares reduced by reverse share split | | | — | | | | — | | | | (28,283,084 | ) | | | — | |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | (11,217 | ) | | | (99,544 | ) | | | (32,316,855 | ) | | | 687,679 | |
| | | | | | | | | | | | | | | | |
Global Bond | | | | | | | | | | | | | | | | |
Shares sold | | | 7,397,690 | | | | 3,788,108 | | | | 6,428,532 | | | | 2,320,383 | |
Shares reinvested | | | 1,364,492 | | | | 382,595 | | | | 1,419,909 | | | | 350,881 | |
Shares redeemed | | | (3,478,226 | ) | | | (1,183,453 | ) | | | (7,178,496 | ) | | | (2,096,563 | ) |
| | | | | | | | | | | | | | | | |
Net increase | | | 5,283,956 | | | | 2,987,250 | | | | 669,945 | | | | 574,701 | |
| | | | | | | | | | | | | | | | |
368
| | | | | | | | | | | | | | | | |
| | | Year Ended 12/31/17 | | | Year Ended 12/31/16 | |
| | | | |
| | | Institutional
Class | | | Investor
Class | | | Institutional
Class | | | Investor
Class | |
Defensive Market Strategies | | | | | | | | | | | | | | | | |
Shares sold | | | 10,935,031 | | | | 9,469,733 | | | | 7,249,464 | | | | 10,068,347 | |
Shares reinvested | | | 2,633,634 | | | | 1,418,838 | | | | 2,270,927 | | | | 1,059,742 | |
Shares redeemed | | | (12,057,475 | ) | | | (5,648,763 | ) | | | (3,118,383 | ) | | | (2,837,905 | ) |
| | | | | | | | | | | | | | | | |
Net increase | | | 1,511,190 | | | | 5,239,808 | | | | 6,402,008 | | | | 8,290,184 | |
| | | | | | | | | | | | | | | | |
Equity Index | | | | | | | | | | | | | | | | |
Shares sold | | | 2,670,293 | | | | 2,577,662 | | | | 5,516,466 | | | | 2,652,286 | |
Shares reinvested | | | 354,894 | | | | 331,218 | | | | 864,727 | | | | 340,273 | |
Shares redeemed | | | (999,744 | ) | | | (1,763,054 | ) | | | (1,872,587 | ) | | | (2,039,395 | ) |
Shares reduced by reverse share split | | | — | | | | — | | | | (22,192,494 | ) | | | — | |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | 2,025,443 | | | | 1,145,826 | | | | (17,683,888 | ) | | | 953,164 | |
| | | | | | | | | | | | | | | | |
Value Equity | | | | | | | | | | | | | | | | |
Shares sold | | | 4,399,848 | | | | 1,112,974 | | | | 7,765,196 | | | | 2,348,625 | |
Shares reinvested | | | 3,432,082 | | | | 1,190,539 | | | | 4,583,518 | | | | 752,540 | |
Shares redeemed | | | (1,704,687 | ) | | | (2,344,749 | ) | | | (20,652,537 | ) | | | (2,289,677 | ) |
Shares reduced by reverse share split | | | — | | | | — | | | | (69,721,567 | ) | | | — | |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | 6,127,243 | | | | (41,236 | ) | | | (78,025,390 | ) | | | 811,488 | |
| | | | | | | | | | | | | | | | |
Growth Equity | | | | | | | | | | | | | | | | |
Shares sold | | | 2,633,409 | | | | 2,940,628 | | | | 6,739,524 | | | | 1,321,265 | |
Shares reinvested | | | 4,487,829 | | | | 2,263,183 | | | | 3,186,328 | | | | 631,139 | |
Shares redeemed | | | (3,664,559 | ) | | | (2,053,753 | ) | | | (11,376,419 | ) | | | (3,773,776 | ) |
Shares reduced by reverse share split | | | — | | | | — | | | | (54,078,879 | ) | | | — | |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | 3,456,679 | | | | 3,150,058 | | | | (55,529,446 | ) | | | (1,821,372 | ) |
| | | | | | | | | | | | | | | | |
Small Cap Equity | | | | | | | | | | | | | | | | |
Shares sold | | | 2,426,384 | | | | 1,038,450 | | | | 3,294,839 | | | | 1,765,169 | |
Shares reinvested | | | 1,162,291 | | | | 1,014,494 | | | | 217,024 | | | | 181,795 | |
Shares redeemed | | | (2,726,187 | ) | | | (2,996,412 | ) | | | (6,295,704 | ) | | | (2,360,708 | ) |
Shares reduced by reverse share split | | | — | | | | — | | | | (17,499,626 | ) | | | — | |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | 862,488 | | | | (943,468 | ) | | | (20,283,467 | ) | | | (413,744 | ) |
| | | | | | | | | | | | | | | | |
International Equity Index | | | | | | | | | | | | | | | | |
Shares sold | | | 3,393,145 | | | | | | | | 3,289,530 | | | | | |
Shares reinvested | | | 450,292 | | | | | | | | 370,799 | | | | | |
Shares redeemed | | | (1,367,261 | ) | | | | | | | (1,071,898 | ) | | | | |
| | | | | | | | | | | | | | | | |
Net increase | | | 2,476,176 | | | | | | | | 2,588,431 | | | | | |
| | | | | | | | | | | | | | | | |
369
| | | | | | | | | | | | | | | | |
| | | Year Ended 12/31/17 | | | Year Ended 12/31/16 | |
| | | | |
| | | Institutional
Class | | | Investor
Class | | | Institutional
Class | | | Investor
Class | |
International Equity | | | | | | | | | | | | | | | | |
Shares sold | | | 4,762,687 | | | | 2,917,522 | | | | 7,623,237 | | | | 2,904,960 | |
Shares reinvested | | | 6,500,917 | | | | 1,695,817 | | | | 2,172,069 | | | | 511,485 | |
Shares redeemed | | | (7,241,803 | ) | | | (2,711,267 | ) | | | (11,904,472 | ) | | | (2,040,198 | ) |
Shares reduced by reverse share split | | | — | | | | — | | | | (26,488,092 | ) | | | — | |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | 4,021,801 | | | | 1,902,072 | | | | (28,597,258 | ) | | | 1,376,247 | |
| | | | | | | | | | | | | | | | |
Emerging Markets Equity | | | | | | | | | | | | | | | | |
Shares sold | | | 5,242,544 | | | | 6,002,825 | | | | 4,886,512 | | | | 3,992,224 | |
Shares reinvested | | | 357,994 | | | | 66,477 | | | | 627,339 | | | | 85,386 | |
Shares redeemed | | | (4,253,483 | ) | | | (3,000,554 | ) | | | (7,138,353 | ) | | | (2,061,182 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | 1,347,055 | | | | 3,068,748 | | | | (1,624,502 | ) | | | 2,016,428 | |
| | | | | | | | | | | | | | | | |
Inflation Protected Bond | | | | | | | | | | | | | | | | |
Shares sold | | | 1,906,112 | | | | 844,635 | | | | 1,604,095 | | | | 2,063,847 | |
Shares reinvested | | | 377,007 | | | | 144,716 | | | | 267,202 | | | | 48,305 | |
Shares redeemed | | | (9,533,640 | ) | | | (4,162,810 | ) | | | (6,173,420 | ) | | | (939,174 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | (7,250,521 | ) | | | (3,173,459 | ) | | | (4,302,123 | ) | | | 1,172,978 | |
| | | | | | | | | | | | | | | | |
Global Real Estate Securities | | | | | | | | | | | | | | | | |
Shares sold | | | 1,838,741 | | | | 1,264,737 | | | | 1,359,799 | | | | 2,198,067 | |
Shares reinvested | | | 566,717 | | | | 387,636 | | | | 1,061,875 | | | | 823,889 | |
Shares redeemed | | | (2,190,546 | ) | | | (2,641,183 | ) | | | (5,659,612 | ) | | | (2,445,088 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | 214,912 | | | | (988,810 | ) | | | (3,237,938 | ) | | | 576,868 | |
| | | | | | | | | | | | | | | | |
Strategic Alternatives(2) | | | | | | | | | | | | | | | | |
Shares sold | | | 30,519,947 | | | | 6,233,378 | | | | | | | | | |
Shares reinvested | | | 196,715 | | | | 35,008 | | | | | | | | | |
Shares redeemed | | | (682,486 | ) | | | (451,848 | ) | | | | | | | | |
| | | | | | | | | | | | | | | | |
Net increase | | | 30,034,176 | | | | 5,816,538 | | | | | | | | | |
| | | | | | | | | | | | | | | | |
(1)Inception date for Institutional Class for MyDestination 2015 Fund, MyDestination 2025 Fund, MyDestination 2035 Fund, MyDestination 2045 Fund and MyDestination 2055 Fund was May 1, 2017.
(2)Commencement of operations was June 30, 2017.
7. BANK BORROWINGS
On November 22, 2017, the Funds entered into a Line of Credit Agreement with The Northern Trust Company (Northern Trust) which will expire November 21, 2018. 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, 2017, and there were no outstanding loans at December 31, 2017.
370
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 the year ended December 31, 2017, the International Equity Fund and Emerging Markets Equity Fund accrued non-U.S. taxes on unrealized gains of $45,805 and $213,344, 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 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 and the current year (years ended December 31, 2014 through December 31, 2017) 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, 2017 and December 31, 2016, were characterized as follows for tax purposes:
| | | | | | | | | | | | | | | | | | | | |
| Fund | | Year | | | Ordinary
Income | | | Long-Term
Capital Gain | | | Return
of Capital | | | Total
Distribution | |
MyDestination 2015 | | | 2017 | | | $ | 3,028,666 | | | $ | 13,344,184 | | | $ | — | | | $ | 16,372,850 | |
| | | 2016 | | | | 7,649,735 | | | | 8,318,224 | | | | — | | | | 15,967,959 | |
MyDestination 2025 | | | 2017 | | | | 11,998,150 | | | | 30,205,364 | | | | — | | | | 42,203,514 | |
| | | 2016 | | | | 10,993,508 | | | | 16,869,102 | | | | — | | | | 27,862,610 | |
MyDestination 2035 | | | 2017 | | | | 5,085,384 | | | | 19,417,604 | | | | — | | | | 24,502,988 | |
| | | 2016 | | | | 4,122,302 | | | | 13,912,093 | | | | — | | | | 18,034,395 | |
MyDestination 2045 | | | 2017 | | | | 3,506,285 | | | | 17,240,457 | | | | — | | | | 20,746,742 | |
| | | 2016 | | | | 1,987,737 | | | | 11,653,279 | | | | — | | | | 13,641,016 | |
MyDestination 2055 | | | 2017 | | | | 160,109 | | | | 4,857,239 | | | | — | | | | 5,017,348 | |
| | | 2016 | | | | 739,515 | | | | 1,670,318 | | | | — | | | | 2,409,833 | |
Conservative Allocation | | | 2017 | | | | 3,900,622 | | | | 4,398,229 | | | | — | | | | 8,298,851 | |
| | | 2016 | | | | 4,576,586 | | | | 4,231,114 | | | | — | | | | 8,807,700 | |
Balanced Allocation | | | 2017 | | | | 20,890,962 | | | | 18,221,162 | | | | — | | | | 39,112,124 | |
| | | 2016 | | | | 11,827,868 | | | | 35,666,753 | | | | — | | | | 47,494,621 | |
Growth Allocation | | | 2017 | | | | 11,871,095 | | | | 45,385,045 | | | | — | | | | 57,256,140 | |
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| | | | | | | | | | | | | | | | | | | | |
| Fund | | Year | | | Ordinary
Income | | | Long-Term
Capital Gain | | | Return
of Capital | | | Total
Distribution | |
| | | 2016 | | | $ | 9,341,558 | | | $ | 50,366,158 | | | | — | | | $ | 59,707,716 | |
Aggressive Allocation | | | 2017 | | | | 11,165,259 | | | | 60,731,715 | | | | — | | | | 71,896,974 | |
| | | 2016 | | | | — | | | | 76,298,646 | | | | — | | | | 76,298,646 | |
Money Market | | | 2017 | | | | 7,316,185 | | | | — | | | | — | | | | 7,316,185 | |
| | | 2016 | | | | 1,053,194 | | | | — | | | | — | | | | 1,053,194 | |
Low-Duration Bond | | | 2017 | | | | 14,230,530 | | | | — | | | | — | | | | 14,230,530 | |
| | | 2016 | | | | 11,925,492 | | | | — | | | | — | | | | 11,925,492 | |
Medium-Duration Bond | | | 2017 | | | | 24,582,654 | | | | — | | | | — | | | | 24,582,654 | |
| | | 2016 | | | | 25,404,080 | | | | — | | | | — | | | | 25,404,080 | |
Extended-Duration Bond | | | 2017 | | | | 7,411,170 | | | | 1,673,931 | | | | — | | | | 9,085,101 | |
| | | 2016 | | | | 11,423,388 | | | | 9,012,613 | | | | — | | | | 20,436,001 | |
Global Bond | | | 2017 | | | | 17,669,726 | | | | — | | | | — | | | | 17,669,726 | |
| | | 2016 | | | | 17,229,950 | | | | — | | | | — | | | | 17,229,950 | |
Defensive Market Strategies | | | 2017 | | | | 23,370,589 | | | | 28,287,458 | | | | — | | | | 51,658,047 | |
| | | 2016 | | | | 18,729,301 | | | | 21,150,145 | | | | — | | | | 39,879,446 | |
Equity Index | | | 2017 | | | | 15,992,257 | | | | 3,530,413 | | | | — | | | | 19,522,670 | |
| | | 2016 | | | | 12,542,180 | | | | 7,516,991 | | | | — | | | | 20,059,171 | |
Value Equity | | | 2017 | | | | 30,911,640 | | | | 73,574,469 | | | | — | | | | 104,486,109 | |
| | | 2016 | | | | 25,066,889 | | | | 47,288,275 | | | | — | | | | 72,355,164 | |
Growth Equity | | | 2017 | | | | 8,392,047 | | | | 162,110,126 | | | | — | | | | 170,502,173 | |
| | | 2016 | | | | — | | | | 52,945,569 | | | | — | | | | 52,945,569 | |
Small Cap Equity | | | 2017 | | | | 9,173,522 | | | | 30,630,414 | | | | — | | | | 39,803,936 | |
| | | 2016 | | | | 1,372,347 | | | | 5,675,655 | | | | — | | | | 7,048,002 | |
International Equity Index | | | 2017 | | | | 4,462,915 | | | | 385,690 | | | | — | | | | 4,848,605 | |
| | | 2016 | | | | 3,270,902 | | | | — | | | | — | | | | 3,270,902 | |
International Equity | | | 2017 | | | | 44,466,793 | | | | 84,039,499 | | | | — | | | | 128,506,292 | |
| | | 2016 | | | | 27,198,921 | | | | 8,074,428 | | | | — | | | | 35,273,349 | |
Emerging Markets Equity | | | 2017 | | | | 4,596,687 | | | | — | | | | — | | | | 4,596,687 | |
| | | 2016 | | | | 5,710,316 | | | | — | | | | — | | | | 5,710,316 | |
Inflation Protected Bond | | | 2017 | | | | 5,361,498 | | | | — | | | | — | | | | 5,361,498 | |
| | | 2016 | | | | 3,278,180 | | | | — | | | | — | | | | 3,278,180 | |
Global Real Estate Securities | | | 2017 | | | | 9,213,231 | | | | — | | | | — | | | | 9,213,231 | |
| | | 2016 | | | | 16,886,427 | | | | 633,874 | | | | — | | | | 17,520,301 | |
Strategic Alternatives | | | 2017 | | | | 2,138,677 | | | | 198,667 | | | | — | | | | 2,337,344 | |
At December 31, 2017, the components of distributable earnings on a tax basis were as follows:
| | | | | | | | | | | | | | | | |
| Fund | | Undistributed
Ordinary
Income | | | Undistributed
Long-Term
Capital
Gain/(Capital
Loss
Carryforward) | | | Qualified
Late-Year
Loss Deferrals | | | Net Unrealized
Appreciation
(Depreciation)
on Investments | |
MyDestination 2015 | | $ | 10,088,461 | | | $ | 2,250,299 | | | $ | — | | | $ | 18,341,357 | |
MyDestination 2025 | | | 11,661,528 | | | | 6,683,836 | | | | — | | | | 44,365,127 | |
MyDestination 2035 | | | 10,696,902 | | | | 340,377 | | | | — | | | | 32,765,690 | |
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| | | | | | | | | | | | | | | | |
Fund | | Undistributed
Ordinary
Income | | | Undistributed
Long-Term
Capital
Gain/(Capital
Loss
Carryforward) | | | Qualified
Late-Year
Loss Deferrals | | | Net Unrealized
Appreciation
(Depreciation)
on Investments | |
MyDestination 2045 | | $ | 7,803,077 | | | $ | 325,534 | | | $ | — | | | $ | 30,127,128 | |
MyDestination 2055 | | | 1,813,374 | | | | 49,630 | | | | — | | | | 8,500,194 | |
Conservative Allocation | | | 5,152,978 | | | | — | | | | — | | | | 2,395,591 | |
Balanced Allocation | | | 27,255,194 | | | | — | | | | — | | | | 957,119 | |
Growth Allocation | | | 19,660,783 | | | | — | | | | — | | | | 3,397,212 | |
Aggressive Allocation | | | 15,416,633 | | | | 495,570 | | | | — | | | | 13,247,759 | |
Money Market | | | 2,130 | | | | — | | | | — | | | | — | |
Low-Duration Bond | | | — | | | | (8,008,596 | ) | | | (682,378 | ) | | | (1,536,442 | ) |
Medium-Duration Bond | | | — | | | | (4,800,683 | ) | | | (1,079,171 | ) | | | 5,725,663 | |
Extended-Duration Bond | | | 7,430 | | | | 1,746,723 | | | | — | | | | 11,633,454 | |
Global Bond | | | 1,955,939 | | | | (4,801,020 | ) | | | — | | | | 10,874,290 | |
Defensive Market Strategies | | | 2,389,351 | | | | 10,504,378 | | | | — | | | | 112,425,914 | |
Equity Index | | | 494,314 | | | | 1,414,025 | | | | — | | | | 346,868,550 | |
Value Equity | | | 3,408,099 | | | | 8,298,712 | | | | — | | | | 309,189,861 | |
Growth Equity | | | 353,807 | | | | — | | | | (2,758,821 | ) | | | 434,972,188 | |
Small Cap Equity | | | 2,984,500 | | | | 8,453,827 | | | | — | | | | 91,813,704 | |
International Equity Index | | | 139,299 | | | | — | | | | (123,740 | ) | | | 16,755,137 | |
International Equity | | | 978,569 | | | | 14,204,421 | | | | — | | | | 211,842,468 | |
Emerging Markets Equity | | | 826,870 | | | | (700,771 | ) | | | — | | | | 66,415,905 | |
Inflation Protected Bond | | | 615,208 | | | | (6,350,199 | ) | | | — | | | | 1,569,518 | |
Global Real Estate Securities | | | 4,005,323 | | | | (1,640,920 | ) | | | — | | | | (2,998,411 | ) |
Strategic Alternatives | | | 712,636 | | | | 57,368 | | | | — | | | | (76,689 | ) |
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, 2017:
| | | | | | | | |
Fund | | Unlimited | | | Total | |
Low-Duration Bond | | $ | 8,008,596 | | | $ | 8,008,596 | |
Medium-Duration Bond | | | 4,800,683 | | | | 4,800,683 | |
Global Bond | | | 4,801,020 | | | | 4,801,020 | |
Emerging Markets Equity | | | 700,771 | | | | 700,771 | |
Inflation Protected Bond | | | 6,350,199 | | | | 6,350,199 | |
Global Real Estate Securities | | | 1,640,920 | | | | 1,640,920 | |
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.
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Global Bond Fund had capital loss carryforwards of $6,001,516 that expired during the year ended December 31, 2017. During the year ended December 31, 2017, the following Funds utilized capital loss carryforwards to offset capital gains:
| | | | |
| | | Carryforward
Utilized | |
Balanced Allocation | | $ | 6,936,433 | |
Global Bond | | | 3,928,782 | |
International Equity Index | | | 953,378 | |
Emerging Market Equity | | | 35,479,596 | |
Inflation Protected Bond | | | 1,470,723 | |
For federal income tax purposes, qualified late-year losses, which will reverse in 2018, were as follows as of December 31, 2017:
| | | | | | | | | | | | |
| | | Capital | | | Ordinary
Income | | | Total | |
Low-Duration Bond | | $ | — | | | $ | 682,378 | | | $ | 682,378 | |
Medium-Duration Bond | | | — | | | | 1,079,171 | | | | 1,079,171 | |
Growth Equity | | | 2,758,821 | | | | — | | | | 2,758,821 | |
International Equity Index | | | 123,740 | | | | — | | | | 123,740 | |
At December 31, 2017, the aggregate cost of investments for federal income tax purposes (including securities sold short and derivative related items) and the net unrealized appreciation from investments for those securities having an excess of value over cost and net unrealized depreciation from investments for those securities having an excess of cost over value (based on cost for federal income tax purposes) were as follows:
| | | | | | | | | | | | | | | | |
Fund | | Federal Tax
Cost | | | Net Unrealized
Appreciation
(Depreciation) | | | Appreciated
Securities | | | Depreciated
Securities | |
MyDestination 2015 | | $ | 613,160,324 | | | $ | 18,341,357 | | | $ | 21,252,030 | | | $ | (2,910,673 | ) |
MyDestination 2025 | | | 1,057,749,013 | | | | 44,365,128 | | | | 47,661,486 | | | | (3,296,358 | ) |
MyDestination 2035 | | | 620,001,323 | | | | 32,765,690 | | | | 33,995,445 | | | | (1,229,755 | ) |
MyDestination 2045 | | | 460,702,919 | | | | 30,127,128 | | | | 30,683,192 | | | | (556,064 | ) |
MyDestination 2055 | | | 107,956,697 | | | | 8,500,194 | | | | 8,533,918 | | | | (33,724 | ) |
Conservative | | | | | | | | | | | | | | | | |
Allocation | | | 510,598,862 | | | | 2,395,592 | | | | 7,213,582 | | | | (4,817,990 | ) |
Balanced Allocation | | | 1,613,766,130 | | | | 957,119 | | | | 25,661,873 | | | | (24,704,754 | ) |
Growth Allocation | | | 1,249,305,880 | | | | 3,397,212 | | | | 20,383,288 | | | | (16,986,076 | ) |
Aggressive Allocation | | | 1,047,648,481 | | | | 13,247,759 | | | | 22,726,806 | | | | (9,479,047 | ) |
Money Market | | | 1,202,094,558 | | | | — | | | | — | | | | — | |
Low-Duration Bond | | | 995,010,623 | | | | (1,494,711 | ) | | | 5,889,473 | | | | (7,384,184 | ) |
Medium-Duration | | | | | | | | | | | | | | | | |
Bond | | | 1,725,951,414 | | | | 5,700,375 | | | | 20,883,003 | | | | (15,182,628 | ) |
Extended-Duration | | | | | | | | | | | | | | | | |
Bond | | | 246,288,091 | | | | 11,634,406 | | | | 15,570,316 | | | | (3,935,910 | ) |
Global Bond | | | 536,513,323 | | | | 10,915,380 | | | | 28,183,282 | | | | (17,267,902 | ) |
Defensive Market | | | | | | | | | | | | | | | | |
Strategies | | | 877,026,302 | | | | 112,385,981 | | | | 119,149,340 | | | | (6,763,359 | ) |
Equity Index | | | 630,506,738 | | | | 346,868,550 | | | | 360,536,743 | | | | (13,668,193 | ) |
Value Equity | | | 1,222,518,364 | | | | 309,189,861 | | | | 347,310,277 | | | | (38,120,416 | ) |
Growth Equity | | | 1,318,824,590 | | | | 434,972,189 | | | | 456,444,680 | | | | (21,472,491 | ) |
Small Cap Equity | | | 488,271,578 | | | | 91,813,706 | | | | 109,841,944 | | | | (18,028,238 | ) |
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| | | | | | | | | | | | | | | | |
Fund | | Federal Tax
Cost | | | Net Unrealized
Appreciation
(Depreciation) | | | Appreciated
Securities | | | Depreciated
Securities | |
International Equity | | | | | | | | | | | | | | | | |
Index | | $ | 171,134,405 | | | $ | 16,739,643 | | | $ | 23,606,883 | | | $ | (6,867,240 | ) |
International Equity | | | 1,419,010,088 | | | | 211,650,255 | | | | 275,024,527 | | | | (63,374,272 | ) |
Emerging Markets Equity | | | 434,780,883 | | | | 66,408,284 | | | | 88,146,025 | | | | (21,737,741 | ) |
Inflation Protected Bond | | | 169,040,004 | | | | 1,709,110 | | | | 2,014,737 | | | | (305,627 | ) |
Global Real Estate Securities | | | 235,456,561 | | | | (2,984,079 | ) | | | 7,776,934 | | | | (10,761,013 | ) |
Strategic Alternatives | | | 322,359,497 | | | | (76,689 | ) | | | 1,656,632 | | | | (1,733,321 | ) |
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, 2017, capital contributions, accumulated undistributed net investment income and accumulated net realized gain (loss) from investments have been adjusted for current period permanent book/tax differences which arose principally from differing book/tax treatments of PFICs, paydown losses, net operating losses, swaps, foreign currency transactions, distributions received from regulated investment companies, defaulted bonds, reclassifications of dividends paid and non-deductible expenses. The following amounts were reclassified within the capital accounts:
| | | | | | | | | | | | | | | | |
Fund | | Paid in
Capital | | | | | Undistributed
Net Investment
Income | | | | | Accumulated
Net Realized
Gain (Loss) on
Investments,
Currency Translations
and Derivative
Transactions | |
MyDestination 2015 | | $ | — | | | | | $ | 2,771,569 | | | | | $ | (2,771,569) | |
MyDestination 2025 | | | — | | | | | | 5,664,314 | | | | | | (5,664,314) | |
MyDestination 2035 | | | — | | | | | | 3,127,635 | | | | | | (3,127,635) | |
MyDestination 2045 | | | — | | | | | | 2,380,927 | | | | | | (2,380,927) | |
MyDestination 2055 | | | — | | | | | | 582,337 | | | | | | (582,337) | |
Conservative Allocation | | | 958,818 | | | | | | (892,010) | | | | | | (66,808) | |
Balanced Allocation | | | — | | | | | | 5,607,551 | | | | | | (5,607,551) | |
Growth Allocation | | | — | | | | | | 5,545,335 | | | | | | (5,545,335) | |
Aggressive Allocation | | | — | | | | | | 7,471,539 | | | | | | (7,471,539) | |
Low-Duration Bond | | | — | | | | | | (1,077,789) | | | | | | 1,077,789 | |
Medium-Duration Bond | | | — | | | | | | (1,469,831) | | | | | | 1,469,831 | |
Extended-Duration Bond | | | — | | | | | | (360,408) | | | | | | 360,408 | |
Global Bond | | | (6,001,516) | | | | | | (1,015,633) | | | | | | 7,017,149 | |
Defensive Market Strategies | | | — | | | | | | 343,966 | | | | | | (343,966) | |
Growth Equity | | | — | | | | | | 285,674 | | | | | | (285,674) | |
Small Cap Equity | | | — | | | | | | 777,339 | | | | | | (777,339) | |
International Equity Index | | | — | | | | | | 23,187 | | | | | | (23,187) | |
International Equity | | | — | | | | | | (562,897) | | | | | | 562,897 | |
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| | | | | | | | | | | | | | | | |
Fund | | Paid in
Capital | | | | | Undistributed
Net Investment
Income | | | | | Accumulated
Net Realized
Gain (Loss) on
Investments,
Currency Translations
and Derivative
Transactions | |
Emerging Markets Equity | | $ | — | | | | | $ | 1,259,502 | | | | | $ | (1,259,502) | |
Inflation Protected Bond | | | — | | | | | | (592,126) | | | | | | 592,126 | |
Global Real Estate Securities | | | — | | | | | | 3,579,595 | | | | | | (3,579,595) | |
Strategic Alternatives | | | (51,937) | | | | | | 1,236,383 | | | | | | (1,184,446) | |
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, 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.
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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
In October 2016, the Securities and Exchange Commission released its Final Rule on Investment Company Reporting Modernization (Rule). The Rule contains amendments to Regulation S-X which impact financial statement presentation, particularly the presentation of derivative instruments. The financial statements presented are in compliance with the most recent Regulation S-X amendments.
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 September 22, 2017, the Global Natural Resources Fund was liquidated in accordance with the Plan of Liquidation and Termination approved by the Board of Trustees on July 17, 2017.
377
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.
On November 9, 2017, the Board approved a plan to liquidate the Inflation Protected Bond Fund which took place on February 9, 2018.
378
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of GuideStone Funds and Shareholders of each of the twenty-five funds listed in the table below
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of each of the funds listed in the table below (constituting GuideStone Funds, hereafter collectively referred to as the “Funds”) as of December 31, 2017, the related statements of operations and the statements of changes in net assets for the periods indicated in the table below, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2017, the results of each of their operations and the changes in each of their net assets for the periods indicated in the table below and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
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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, Defensive Market Strategies Fund, Equity Index Fund, Global Real Estate Securities Fund, Value Equity Fund, Growth Equity Fund, Small Cap Equity Fund, International Equity Index Fund, International Equity Fund and Emerging Markets Equity Fund | | Statements of operations for the year ended December 31, 2017 and statements of changes in net assets for each of the two years in the period ended December 31, 2017 |
Strategic Alternatives Fund | | Statements of operations and changes in net assets for the period June 30, 2017 (commencement of operations) through December 31, 2017 |
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2017 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
Philadelphia, Pennsylvania
February 28, 2018
We have served as the auditor of one or more investment companies in GuideStone Funds since 2001.
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, 2017, 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 2015 | | $ | 3,028,666 | | | $ | 13,344,184 | | | $ | — | |
MyDestination 2025 | | | 11,998,150 | | | | 30,205,364 | | | | — | |
MyDestination 2035 | | | 5,085,384 | | | | 19,417,604 | | | | — | |
MyDestination 2045 | | | 3,506,285 | | | | 17,240,457 | | | | — | |
MyDestination 2055 | | | 160,109 | | | | 4,857,239 | | | | — | |
Conservative Allocation | | | 3,900,622 | | | | 4,398,229 | | | | — | |
Balanced Allocation | | | 20,890,962 | | | | 18,221,162 | | | | — | |
Growth Allocation | | | 11,871,095 | | | | 45,385,045 | | | | — | |
Aggressive Allocation | | | 11,165,259 | | | | 60,731,715 | | | | — | |
Money Market | | | 7,316,185 | | | | — | | | | — | |
Low-Duration Bond | | | 14,230,530 | | | | — | | | | — | |
Medium-Duration Bond | | | 24,582,654 | | | | — | | | | — | |
Extended-Duration Bond | | | 7,411,170 | | | | 1,673,931 | | | | — | |
Global Bond | | | 17,669,726 | | | | — | | | | — | |
Defensive Market Strategies | | | 23,370,589 | | | | 28,287,458 | | | | — | |
Equity Index | | | 15,992,257 | | | | 3,530,413 | | | | — | |
Value Equity | | | 30,911,640 | | | | 73,574,469 | | | | — | |
Growth Equity | | | 8,392,047 | | | | 162,110,126 | | | | — | |
Small Cap Equity | | | 9,173,522 | | | | 30,630,414 | | | | — | |
International Equity Index | | | 4,462,915 | | | | 385,690 | | | | — | |
International Equity | | | 44,466,793 | | | | 84,039,499 | | | | — | |
Emerging Markets Equity | | | 4,596,687 | | | | — | | | | — | |
Inflation Protected Bond | | | 5,361,498 | | | | — | | | | — | |
Global Real Estate Securities | | | 9,213,231 | | | | — | | | | — | |
Strategic Alternatives | | | 2,138,677 | | | | 198,667 | | | | — | |
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.
NOTICE TO SHAREHOLDERS (Continued)
The following percentages of ordinary income dividends paid for the year ended December 31, 2017, have been designated as qualified for the reduced tax rate under The Job and Growth Tax Relief Reconciliation Act of 2003.
| | | | | | | | |
| Fund | | Qualified
Dividend
Income | | | Qualified
Short Term | |
MyDestination 2015 | | | 100.00 | % | | | 100.00 | % |
MyDestination 2025 | | | 83.31 | % | | | 0.00 | % |
MyDestination 2035 | | | 100.00 | % | | | 100.00 | % |
MyDestination 2045 | | | 100.00 | % | | | 100.00 | % |
MyDestination 2055 | | | 100.00 | % | | | 100.00 | % |
Conservative Allocation | | | 51.01 | % | | | 0.00 | % |
Balanced Allocation | | | 53.87 | % | | | 0.00 | % |
Growth Allocation | | | 100.00 | % | | | 100.00 | % |
Aggressive Allocation | | | 100.00 | % | | | 100.00 | % |
Defensive Market Strategies | | | 100.00 | % | | | 25.91 | % |
Equity Index | | | 100.00 | % | | | 80.56 | % |
Value Equity | | | 100.00 | % | | | 100.00 | % |
Growth Equity | | | 100.00 | % | | | 100.00 | % |
Small Cap Equity | | | 100.00 | % | | | 38.43 | % |
International Equity Index | | | 81.46 | % | | | 0.00 | % |
International Equity | | | 100.00 | % | | | 53.19 | % |
Emerging Markets Equity | | | 100.00 | % | | | 0.00 | % |
Global Real Estate Securities | | | 13.89 | % | | | 0.00 | % |
Strategic Alternatives | | | 8.37 | % | | | 0.00 | % |
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.
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).
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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, First National Bank of PA, 2014 – present; Chief Credit Officer, CapStone Bank, 2011 – 2014 (bank acquired by NewBridge Bank) | | 25 | | None |
Barry D. Hartis (1945) 2401 Cedar Springs Road Dallas, TX 75201-1498 Trustee | | Since 2014 | | | | Certified Public Accountant, 1987 – present. | | 25 | | 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. | | 25 | | Neighbors Federal Credit Union – Vice Chairman of the Board; Stonetrust Commercial Insurance Company – Board of Directors Member and Chairman of Audit Committee; State Board of Certified Public Accountants of Louisiana – Board Member. |
Christopher W. Kersey, MD, MBA (1969) 2401 Cedar Springs Road Dallas, TX 75 201-1498 Trustee | | Since 2017 | | | | Founding Managing Partner, Havencrest Healthcare Capital Partners, 2016 – present; Managing Member and Partner, Camden Partners Holdings, LLC – Registered Investment Adviser, 2008 – 2016. | | 25 | | Essence Group Holdings Corporation – Board of Directors Member, 2011 – 2017; IPG – Board of Directors Member, 2013 – 2016; Metabolon – Board of Directors Member, 2013 – 2016; Paragon Bioservices –Board of Directors Member, 2013 – 2016; PatientSafe Solutions – Board of Directors Member, 2010 – 2017; Johns Hopkins Medicine International – Chairman of the Board, 2011 – present; John Hopkins Medicine– Board of Trustees Member, 2010 – present; The John Hopkins Hospital – Board of Trustees Member, 2010 – present; The John Hopkins Hospital Endowment Fund – Board of Directors Member, 2010 – present; The John Hopkins Carey Business School – Member of the Health Care Advisory Board of Directors, 2012 – present. |
Joseph A. Mack (1939) 2401 Cedar Springs Road Dallas, TX 75201-1498 Trustee | | Since 2002 | | | | Independent Consultant, 2010 - present; Director of Public Policy, North Greenville University, 2011 - 2016; Contractor, Interim Director of Public Policy, South Carolina Baptist Convention, 2017 - May 2017; Contractor, South Carolina Citizens for Life, 2014 - present. | | 25 | | 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. | | 25 | | 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. | | 25 | | Fellowship of Christian Athletes (NC) Triangle Board, 2012 – 2015; NC Values Coalition Board, 2015 - present; Institute for Faith and Family, 2015 - present; College Golf Fellowship, 2012 - present. |
FUND MANAGEMENT (Continued)
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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. | | 25 | | GuideStone Financial Resources – Board of Trustees Member, June 2010 – present; Baptist Foundation of Oklahoma, Board of Directors Member and Chairman, 2004 – 2017; 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 – 2017; Leadership Oklahoma – Board of Trustees Member, 2015 - present. |
John R. Morris (1938) 2401 Cedar Springs Road Dallas, TX 75201-1498 Trustee | | Since 2017 | | | | Vice-President and Broker-in-Charge, Hound Ears Club, Inc., 2010 – 2018. | | 25 | | GuideStone Financial Resources – Board of Trustees Member, June 2012 – present; GuideStone Capital Management, LLC, Board of Directors Member, May 2014 – present; GuideStone Investment Services, Board of Directors Member, July 2012 – present; GuideStone Resource Management, Inc., Board of Directors Member, May 2014 – present. |
| OFFICERS WHO ARE NOT TRUSTEES3 |
Ron W. Bass (1966) 2401 Cedar Springs Road Dallas, TX 75201-1498 Chief Compliance Officer and AML Officer | | Since 2009 | | | | Director of Asset Management Compliance, GuideStone Financial Resources, June 2009 – present. | | 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 |
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 |
FUND MANAGEMENT (Continued)
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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 |
| OFFICERS WHO ARE NOT TRUSTEES3 |
Matthew A. Wolfe (1982) 2401 Cedar Springs Road Dallas, TX 75201-1498 Chief Legal Officer and Secretary | | Since 2017 | | | | Associate Counsel – Investment and Corporate Services, GuideStone Financial Resources, 2015 – present; Vice President and Assistant General Counsel, Goldman Sachs & Co., 2012 – 2015; Associate, Dechert LLP, 2007 – 2012. | | N/A | | N/A |
Erin Wynne (1981) 2401 Cedar Springs Road Dallas, TX 75201-1498 Financial Officer | | Since 2016 | | | | Director, Financial Reporting & Analysis, GuideStone Financial Resources, 2015 – present; Manager, Financial Reporting & Analysis, 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 at the end of the calendar year in which they attain the age of 80 or after achieving 10 years of service, whichever occurs last. Officers serve at the pleasure of the Board of Trustees. |
| 2 | Messrs. Evans and Morris 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. |
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
GuideStoneFunds.com or by visiting the SEC’s website at http://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, 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 http://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, GuideStoneFunds.com. You may also obtain the Form N-Q filings by accessing the SEC’s website at http://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.
BOARD REVIEW OF EXISTING 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 in Section 2(a)(19) of the 1940 Act (the “Independent Trustees”), recently considered the renewal of (i) the investment advisory agreement between GuideStone Capital Management, 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 existing sub-advisory agreements among the Adviser, each sub-adviser and the Trust on behalf of each Select Fund (except as noted below), including the sub-advisory agreement among the Adviser, Snow Capital Management LP (“Snow”) and the Trust on behalf of the Small Cap Equity Fund for only a limited term (the “Snow Sub-Advisory Agreement”); 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 (each, an “Agreement,” and collectively, the “Agreements”) were approved for an additional one-year term, except with respect to the Snow Sub-Advisory Agreement, at a meeting of the Board held on September 14-15, 2017 (the “Meeting”). The Board’s decision to approve the Agreements reflects the exercise of its reasonable 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 approved them for an initial two-year term within the last two years, the following agreements were not subject to annual renewal at the Meeting: (i) the sub-advisory agreement with ClearBridge Investments, LLC on behalf of the Growth Equity Fund; (ii) the sub-advisory agreement with Allianz Global Investors U.S. LLC on behalf of the Strategic Alternatives Fund; (iii) the sub-advisory agreement with Neuberger Berman Investment Advisers LLC on behalf of the Strategic Alternatives Fund; (iv) the sub-advisory agreement with Parametric on behalf of the Strategic Alternatives Fund; and (v) the sub-advisory agreement with Perella Weinberg Partners Capital Management LP on behalf of the Strategic Alternatives Fund.
The Board’s consideration of various factors and its conclusions with respect to such factors formed the basis for the Board’s determination to continue the Agreements. The factors considered by the Board included, but were not limited to: (i) the 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 sub-advisers’ other clients; (vi) the amount of the contractual advisory fees in comparison to similarly managed funds and the 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 structure of the Fund’s portfolio, including how each sub-adviser’s strategy complements the strategies of the other sub-advisers. Also, with respect to the Snow Sub-Advisory Agreement, as discussed further below, the Board considered, among all other factors deemed relevant by the Board, the merits of both: (i) renewing the agreement in light of the proposed limited term; and (ii) terminating Snow as a sub-adviser of the Small Cap Equity Fund at the end of that limited term.
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 itself and each Target Date Fund, Asset Allocation Fund, Select Fund and applicable sub-advisory firm 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, as did the Investment Management Committee of the Board (“IMC”), to discuss and consider information presented in connection with the continuation of the Agreements as well as the Trustees’ responsibilities and duties in approving the Agreements.
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 also took into account the IMC’s review of information related to the Advisory Agreement, questions submitted by the IMC to GSCM and Trust management regarding GSCM, GSCM and Trust management’s responses to those questions and recommendations made by the IMC.
The Board examined the nature, extent and quality of the services to be provided by GSCM to the Funds. The Board evaluated GSCM’s experience serving as the Trust’s investment adviser, including GSCM’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 and the allocation of the Funds’ assets among their 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 GSCM 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 GSCM’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 GSCM providing investment management and administrative services to each of the Funds, the systems used by such persons and the ability of GSCM to attract and retain capable personnel. The Board considered the reputation, compliance history, compliance program and financial condition of GSCM. The Board also considered the terms of the Advisory Agreement and the responsibilities that GSCM has as investment adviser to each of 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 GSCM’s services based on its experience, personnel, operations and resources. During their deliberations, the Trustees did not identify any particular information that was all-important or controlling, and each Trustee may have attributed different weights to the various factors deliberated upon, among others.
The Board also 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, 2017. 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, Medium-Duration Bond, Inflation Protected Bond and Strategic Alternatives Funds ranked in the first quartile; the Extended-Duration Bond, Global Bond, Defensive Market Strategies, Equity Index, Global Real Estate Securities, Value Equity, Growth Equity and International Equity Funds ranked in the second quartile; the Small Cap Equity and Emerging Markets 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 took into account that each Fund’s total expense ratio, with the exception of the Extended-Duration Bond and International Equity Funds, was lower than the median total expense ratio for such other funds. The Board took into account that the total expense ratio for the Extended-Duration Bond and International Equity Funds ranked in the third quartile, and that no 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, 2017. The Board took into account that the management fees, net of any fee waiver or expense reimbursement, for the Global Real Estate Securities Fund ranked in the first quartile; the Money Market, Low-Duration Bond, Medium-Duration Bond, Global Bond, Inflation Protected Bond, Strategic Alternatives, Value Equity and International Equity Funds ranked in the second quartile; the Extended-Duration Bond, Defensive Market Strategies, Equity Index, Growth Equity and Emerging Markets Equity Funds ranked in the third quartile; and the Small Cap Equity Fund 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 took into account that each Fund’s total expense ratio was lower than the median total expense ratio for such other funds, except for the International Equity Index, International Equity and Emerging Markets Equity Funds. The Board took into account that the total expense ratios for the 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 Institutional and Investor Classes provided by the report of an outside consulting firm as of June 30, 2017. The Board took into account that the management fees, net of any fee waiver or expense reimbursement, for each Target Date Fund were lower than the median management fees for the Investor Class and higher than the median management fees for the Institutional Class for other mutual funds in each Fund’s respective asset-stratified peer group, and that the total expense ratios for each Target Date Fund for the Institutional and Investor Classes were higher than the median total expense ratio for such other funds. For the Asset Allocation Funds, the Board took into account that the management fees, net of any fee waiver or expense reimbursement, for each Asset Allocation Fund for the Institutional and Investor Classes were lower than the median management fees for other mutual funds in each Fund’s respective 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, 2017.
For the three-year average annual total return for the period ended June 30, 2017, the Board noted that the Extended-Duration Bond, Global Bond, Defensive Market Strategies and Global Real Estate Securities Funds ranked in the first quartile; the Money Market, Medium-Duration Bond, Growth Equity and International Equity Funds ranked in the second quartile; the Low-Duration Bond, Inflation Protected Bond, Value Equity and Small Cap Equity Funds ranked in the third quartile; and the Emerging Markets Equity Fund ranked in the fourth quartile.
For the five-year average annual total return for the period ended June 30, 2017, the Board noted that the Extended-Duration Bond, Global Bond and Defensive Market Strategies Funds ranked in the first quartile; the Money Market, Medium-Duration Bond, Value Equity and International Equity Funds ranked in the second quartile; the Low-Duration Bond, Growth Equity and Small Cap Equity Funds ranked in the third quartile; and the Inflation Protected Bond and Global Real Estate Securities Funds ranked in the fourth quartile.
For the 10-year average annual total return for the period ended June 30, 2017, the Board noted that the Money Market, Medium-Duration Bond, Extended-Duration Bond, Global Bond and Global Real Estate Securities Funds ranked in the first quartile; the Low-Duration Bond, Growth Equity, Small Cap Equity and International Equity Funds ranked in the second quartile; the Value Equity Fund ranked in the third quartile; and no Fund ranked in the fourth quartile.
The Board then examined the performance information included in the Meeting materials for the Investor Class of each Asset Allocation Fund compared to the relevant benchmark and to Lipper peer rankings for the one-, three-, and five- and 10-year periods ended June 30, 2017, and the Target Date Funds for the one-, three- and five-year periods ended June 30, 2017. Among Morningstar peers, the Board noted that the Conservative Allocation Fund ranked in the second quartile for the one-year period and in the fourth quartile for the three-, five- and 10-year periods ended June 30, 2017; the Balanced Allocation Fund ranked in the first quartile for the one-year period, in the fourth quartile for the three-year period, in the second quartile for the five-year period and in the third quartile for the 10-year period ended June 30, 2017; the Growth Allocation Fund ranked in the second quartile for the one-year period, in the fourth quartile for the three- and five-year periods and the third quartile for the 10-year period ended June 30, 2017; and the Aggressive Allocation Fund ranked in the second quartile for the one-, three-, five- and 10-year periods ended June 30, 2017.
The Board also noted that among Morningstar peers, the MyDestination 2015 Fund ranked in the second quartile for the one-year period, in the third quartile for the three- and 10-year periods and in the fourth quartile for the five-year period ended June 30, 2017; the MyDestination 2025 Fund ranked in the second quartile for the one-year period, in the third quartile for the three- and five-year periods and in the fourth quartile for the 10-year period ended June 30, 2017; the MyDestination 2035 Fund ranked in the second quartile for the one-year period, in the fourth quartile for the three- and 10-year periods and in the third quartile for the five-year period ended June 30, 2017; the MyDestination 2045 Fund ranked in the second quartile for the one-year period, in the fourth quartile for the three- and 10-year periods and in the third quartile for the five-year period ended June 30, 2017; and the MyDestination 2055 Fund ranked in the second quartile for the one-year period and in the fourth quartile for the three- and five-year periods ended June 30, 2017. The Board recognized that the inception date of the MyDestination 2055 Fund was in 2012.
The Board considered the costs to GSCM of serving as the investment adviser to the Funds in accordance with the existing Advisory Agreement. The Board considered the revenues that GSCM received for serving as the investment adviser to the Funds and the fact that any profit realized by GSCM 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 GSCM, 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 GSCM 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 GSCM’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, 2017, only certain Funds are subject to an expense cap. The Board considered the amount of any fees waived by GSCM 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 Extended-Duration Bond and International 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 GSCM by each Fund was fair and reasonable in light of the services to be performed, and in the exercise of its reasonable business judgment, determined to approve the continuation of the Advisory Agreement for each Fund. The Board also determined that approval of the continuation of the Advisory Agreement for each Fund is in the best interests of each Fund and its shareholders.
BOARD APPROVAL OF CONTINUATION OF SUB-ADVISORY AGREEMENTS (EXCLUDING THE SNOW SUB-ADVISORY AGREEMENT) 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 (excluding the Snow Sub-Advisory Agreements, which is discussed separately below), 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 IMC’s review of information related to the Trust’s sub-advisers, questions submitted by the IMC to GSCM and Trust management regarding various sub-advisers, GSCM and Trust management’s responses to those questions and recommendations made by the IMC. More specifically, the Board examined the nature, extent and quality of the services to be provided by each sub-adviser.
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 Trustees did not identify any particular information that was all-important or controlling, and each Trustee may have attributed different weights to the various factors deliberated upon, among others.
The Board examined performance information for each segment of a 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 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 in light of all relevant considerations and the applicable 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 each applicable Fund 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 determined that the fees to be charged by each sub-adviser were reasonable in relation to the nature, extent and quality of the services to be provided.
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 the 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 because 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.
BOARD APPROVAL OF CONTINUATION AND TERMINATION OF SNOW SUB-ADVISORY AGREEMENT
The Board separately considered renewal of the Snow Sub-Advisory Agreement on behalf of the Small Cap Equity Fund for a limited two-month term ending November 30, 2017 (the “Renewal Period”) pursuant to which Snow would manage the orderly liquidation and transition (the “Transition”) of the assets managed by Snow within the Small Cap Equity Fund (the “Snow Portfolio Account”). In considering the existing Snow Sub-Advisory Agreement, the Board took into account the materials provided prior to and during the Meeting, the presentations made during the Meeting and the extensive discussions during the Meeting, including the discussions the Independent Trustees had during their executive sessions with Independent Counsel. The Board also took into account the IMC’s review of information related to Snow, questions submitted by the IMC to GSCM and Trust management regarding Snow, GSCM and Trust management’s responses to those questions and recommendations made by the IMC.
In evaluating the advisability of renewing the Snow Sub-Advisory Agreement for the limited Renewal Period, the Board considered GSCM’s recommended termination of Snow following the Renewal Period. In this regard, the Board considered the poor relative performance of the Snow Portfolio Account over an extended period and Snow’s inability to take advantage of market environments deemed positive by GSCM for Snow’s investment strategy. The Board also considered GSCM’s assessment
of how Snow’s investment strategy would likely perform in future market environments. As a result of these considerations, and in light of the Trustees’ reasonable business judgment and fiduciary duties, the Board determined that it was in the best interests of the Fund and its shareholders to terminate Snow following the Renewal Period.
The Board considered GSCM’s view that retaining Snow to liquidate the Snow Portfolio Account was preferable to the engagement of a transition manager to implement an immediate liquidation because the securities in the Snow Portfolio Account were: (i) relatively volatile; (ii) less liquid compared to many domestic equity accounts; and (iii) known and traded by Snow. The Board also considered that Snow would remain a fiduciary with respect to the Snow Portfolio Account during the Renewal Period and would work collaboratively with GSCM to formalize a liquidation strategy. The Board considered that the liquidation strategy would be structured to: (i) fully liquidate the Snow Portfolio Account in an orderly and efficient manner; (ii) seek to minimize market impact to the Snow Portfolio Account; and (iii) include agreed upon milestones whereby the cash generated through the liquidation of securities in the Snow Portfolio Account would be used by GSCM to fund rebalancing efforts of the Asset Allocation Funds and Target Date Funds and/or reallocate assets of the Small Cap Equity Fund to the Fund’s other sub-advisers. The Board noted that Snow would not earn an additional incremental management fee for liquidating the Snow Portfolio Account above the contractual sub-advisory management fee. The Board also noted that Snow’s sub-advisory fees in dollars would decline as the liquidation progressed due to the reduction in the assets of the Snow Portfolio Account. In addition, the Board noted GSCM’s assurance that the Snow Portfolio Account is fully liquidated (including settlement) prior to the end of the Renewal Period.
The Board considered that, with Snow, in its capacity as sub-adviser to the Small Cap Equity Fund, directing the liquidation of the Snow Portfolio Account, no liquidation or transition manager would be utilized. The Board noted the estimated costs to liquidate the Snow portfolio account utilizing a liquidation manager provided by GSCM. The Board also noted that, because the Small Cap Equity Fund pays its sub-advisers directly, the proposed termination of Snow would have no impact on GSCM’s profitability with respect to the Fund. The Board also noted GSCM’s view that the method of liquidation to be deployed by Snow was preferable to an immediate liquidation, and GSCM’s expectation that the proposed approach would benefit the Small Cap Equity Fund and its shareholders.
When considering the renewal of the Snow Sub-Advisory Agreement for the Renewal Period, the Board considered all factors deemed relevant by the Board to evaluating the nature, extent and quality of services to be provided by Snow during the Renewal Period and the reasonableness of the sub-advisory fee to be charged in exchange for such services. In addition to the foregoing, the Board took into account Snow’s experience serving as a sub-adviser to the Small Cap Equity Fund. The Board noted the experience of key personnel at Snow providing investment management services and the systems used by such persons. The Board noted Snow’s compliance history, compliance program and financial condition. The Board also noted the terms of the Snow Sub-Advisory Agreement and the responsibilities that Snow has with respect to the Small Cap Equity Fund, including the responsibility of the day-to-day management of the Snow Portfolio Account, implementation of the liquidation plan and compliance with applicable Small Cap Equity Fund’s policies and objectives and the implementation of Board directives as they relate to the Small Cap Equity Fund.
The Board concluded that the Small Cap Equity Fund is likely to benefit from the nature, extent and quality of these services as a result of Snow’s experience, personnel, operations and resources.
The Board also took into account the profitability and the financial capability of Snow in light of information presented at the meeting. The Board noted that, based on GSCM’s representations, the financial statements of Snow did not appear to raise any significant concerns regarding the financial capability of Snow. The Board considered whether any direct or indirect collateral benefits inured to the Trust as a result of its affiliation with Snow.
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 the Snow Sub-Advisory Agreement for the Renewal Period and the termination of the Snow Sub-Advisory Agreement at the end of the Renewal Period. The Board also determined that approval of the continuation of the Snow Sub-Advisory Agreement for the Renewal Period and subsequent termination thereof is in the best interest of the Small Cap Equity Fund and its shareholders. During their deliberations, the Trustees 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.
INVESTMENT SUB-ADVISERS (Assets under management as of December 31, 2017) (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 | | $ | 6.3Tr | |
Low-Duration Bond | | BlackRock Financial Management, Inc. | | 1988 | | $ | 6.3Tr | |
| | Pacific Investment Management Company LLC | | 1971 | | $ | 1.7Tr | |
| | Payden & Rygel | | 1983 | | $ | 117.1B | |
Medium-Duration Bond | | Goldman Sachs Asset Management, L.P. | | 1984 | | $ | 1.2Tr | |
| | Pacific Investment Management Company LLC | | 1971 | | $ | 1.7Tr | |
| | Western Asset Management Company and | | | | | | |
| | Western Asset Management Company Limited | | 1971 | | $ | 442.2B | |
Extended-Duration Bond | | Loomis, Sayles & Company, L.P. | | 1926 | | $ | 268.1B | |
| | Schroder Investment Management North America Inc. | | 1804 | | $ | 109.8B | (1) |
Global Bond | | Loomis, Sayles & Company, L.P. | | 1926 | | $ | 268.1B | |
| | Western Asset Management Company and | | | | | | |
| | Western Asset Management Company Limited | | 1971 | | $ | 442.2B | |
Defensive Market Strategies | | American Century Investment Management, Inc. | | 1958 | | $ | 173.3B | |
| | AQR Capital Management, LLC | | 1998 | | $ | 224.0B | |
| | Parametric Portfolio Associates LLC | | 1992 | | $ | 230.1B | |
| | Shenkman Capital Management, Inc. | | 1985 | | $ | 26.5B | |
Equity Index | | Legal & General Investment Management America, Inc. | | 2006 | | $ | 174.8B | |
Value Equity | | AJO, LP | | 1984 | | $ | 27.1B | |
| | Barrow, Hanley, Mewhinney & Strauss, LLC | | 1979 | | $ | 91.7B | |
| | Legal & General Investment Management America, Inc. | | 2006 | | $ | 174.8B | |
| | TCW Investment Management Company LLC | | 1971 | | $ | 204.6B | |
Growth Equity | | Brown Advisory, LLC | | 1993 | | $ | 33.2B | |
| | ClearBridge Investments, LLC | | 2005 | | $ | 137.0B | |
| | Loomis, Sayles & Company, L.P. | | 1926 | | $ | 268.1B | |
| | Sands Capital Management, LLC | | 1992 | | $ | 41.3B | |
Small Cap Equity | | AJO, LP | | 1984 | | $ | 27.1B | |
| | RBC Global Asset Management (U.S.) Inc. | | 1983 | | $ | 37.5B | |
| | TimesSquare Capital Management, LLC | | 2000 | | $ | 17.9B | |
International Equity Index | | Legal & General Investment Management America, Inc. | | 2006 | | $ | 174.8B | |
International Equity | | AQR Capital Management, LLC | | 1998 | | $ | 224.0B | |
| | Baillie Gifford Overseas Limited | | 1983 | | $ | 243.0B | |
| | Barrow, Hanley, Mewhinney & Strauss, LLC | | 1979 | | $ | 91.7B | |
| | MFS Institutional Advisors, Inc. | | 1970 | | $ | 491.0B | |
| | Mondrian Investment Partners Ltd. | | 1990 | | $ | 62.8B | |
Emerging Markets Equity | | AQR Capital Management, LLC | | 1998 | | $ | 224.0B | |
| | Genesis Asset Managers, LLP and | | | | | | |
| | Genesis Investment Management, LLP | | 1989 | | $ | 28.0B | |
| | | | | | | | |
Fund | | Sub-Adviser | | Firm
Established | | Total Assets
Managed | |
Inflation Protected Bond | | BlackRock Financial Management, Inc. | | 1988 | | $ | 6.3Tr | |
Global Real Estate Securities | | Heitman Real Estate Securities LLC, | | | | | | |
| | Heitman International Real Estate Securities GmbH and | | | | | | |
| | Heitman International Real Estate Securities HK Limited | | 1989 | | $ | 38.9B | |
| | RREEF America L.L.C., | | | | | | |
| | Deutsche Investments Australia Limited and | | | | | | |
| | Deutsche Alternative Asset Management (Global) Limited | | 1975 | | $ | 59.3B | |
Strategic Alternatives Fund | | Allianz Global Investors U.S. LLC | | 1895 | | $ | 108.8B | |
| | Neuberger Berman Investment Advisers LLC | | 2002 | | $ | 295.2B | |
| | Parametric Portfolio Associates LLC | | 1992 | | $ | 230.1B | |
| | Perella Weinberg Partners Capital Management LP | | 2006 | | $ | 11.6B | (2) |
Custodian for GuideStone Funds Assets | | The Northern Trust Company | | 1889 | | $ | 8.1Tr | |
Cash Overlay for Target Date, Asset Allocation, | | | | | | | | |
Fixed Income, Equity and Real Return Funds | | Parametric Portfolio Associates LLC | | 1992 | | $ | 230.1B | |
| (1) | Assets as of September 30, 2017. |
| (2) | Assets as of September 1, 2017. |
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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 |
| | | | © 2018 GuideStone Funds® 176362 01/18 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 $655,800 and $687,300 for 2016 and 2017, 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 $52,167 and $0 for 2016 and 2017, 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 $129,760 and $131,320 for 2016 and 2017, respectively. Tax fees are related to tax services in connection with Funds’ excise tax calculations and review of the Funds’ applicable tax returns. |
All Other Fees
| | (d) | The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $0 and $96,750 for 2016 and 2017, respectively. Other fees for 2017 are for conversion procedures performed related to the Funds’ service provider changes. |
| | (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 sub-adviser 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 first 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. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Item 13. Exhibits.
| | (a)(1) | Code of Ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is incorporated herein by reference to Exhibit 13(a)(1) to the report filed on Form N-CSR on March 8, 2017 (Accession Number 0001193125-17-074159). |
| | (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. |
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 March 8, 2018
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 March 8, 2018
| | | | |
| By (Signature and Title)* | | /s/ Patrick Pattison | | |
| | Patrick Pattison, Vice President and Treasurer | | |
| | (Principal Financial Officer) | | |
Date March 8, 2018
| * | Print the name and title of each signing officer under his or her signature. |
