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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORMN-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number811-10263
GuideStone Funds
(Exact name of registrant as specified in charter)
5005 Lyndon B. Johnson Freeway, Suite 2200
Dallas, TX 75244-6152
(Address of principal executive offices) (Zip code)
Matthew A. Wolfe, Esq.
GuideStone Financial Resources of the Southern Baptist Convention
5005 Lyndon B. Johnson Freeway, Suite 2200
Dallas, TX 75244-6152
(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, 2019
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Item 1. Reports to Stockholders.
(a) | The following is a copy of the report transmitted to shareholders pursuant to Rule30e-1 under the Investment Company Act of 1940 (17 CFR270.30e-1) |
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• | 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 |
• | Information you and others provide to us in correspondence sent to us, whether written, electronic or by telephone |
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Matt L. Peden, CFA |
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Index | 3rd Quarter 2019 Return | 4th Quarter 2019 Return | 2019 Calendar Year Return |
U.S. Equities | |||
S&P 500® | 1.70% | 9.07% | 31.49% |
Dow Jones Industrial Average | 1.83% | 6.67% | 25.34% |
NASDAQ | 0.18% | 12.47% | 36.69% |
International Equities | |||
MSCI EAFE | -1.07% | 8.17% | 22.01% |
MSCI Emerging Markets | -4.25% | 11.84% | 18.42% |
U.S. Fixed Income | |||
Bloomberg Barclays US Aggregate Bond | 2.27% | 0.18% | 8.72% |
Bloomberg Barclays US High Yield Corporate | 1.33% | 2.61% | 14.32% |
Global Fixed Income | |||
Bloomberg Barclays Global Aggregate Bond | 0.72% | 0.49% | 6.84% |
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Vice President - Chief Investment Officer
GuideStone Capital Management, LLC
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Actual | ||||||||||
Fund | Class | Beginning Account Value 07/01/19 | Ending Account Value 12/31/19 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||
MyDestination 2015 | Institutional | $1,000.00 | $ 1,048.30 | 0.07% | $ 0.34 | |||||
Investor | 1,000.00 | 1,047.30 | 0.32 | 1.63 | ||||||
MyDestination 2025 | Institutional | 1,000.00 | 1,059.50 | 0.09 | 0.47 | |||||
Investor | 1,000.00 | 1,058.20 | 0.34 | 1.78 | ||||||
MyDestination 2035 | Institutional | 1,000.00 | 1,073.30 | 0.13 | 0.68 | |||||
Investor | 1,000.00 | 1,071.70 | 0.41 | 2.12 | ||||||
MyDestination 2045 | Institutional | 1,000.00 | 1,081.10 | 0.14 | 0.71 | |||||
Investor | 1,000.00 | 1,079.40 | 0.43 | 2.25 | ||||||
MyDestination 2055 | Institutional | 1,000.00 | 1,083.50 | 0.17 | 0.90 | |||||
Investor | 1,000.00 | 1,082.20 | 0.42 | 2.23 | ||||||
Conservation Allocation | Institutional | 1,000.00 | 1,034.00 | 0.12 | 0.60 | |||||
Investor | 1,000.00 | 1,032.30 | 0.39 | 2.00 | ||||||
Balanced Allocation | Institutional | 1,000.00 | 1,051.70 | 0.12 | 0.61 | |||||
Investor | 1,000.00 | 1,050.90 | 0.38 | 1.95 | ||||||
Growth Allocation | Institutional | 1,000.00 | 1,066.50 | 0.12 | 0.62 | |||||
Investor | 1,000.00 | 1,065.70 | 0.38 | 1.98 | ||||||
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Fund | Class | Beginning Account Value 07/01/19 | Ending Account Value 12/31/19 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||
Aggressive Allocation | Institutional | $1,000.00 | $ 1,080.10 | 0.12% | $ 0.62 | |||||
Investor | 1,000.00 | 1,078.00 | 0.38 | 2.00 | ||||||
Money Market | Institutional | 1,000.00 | 1,009.60 | 0.15 | 0.75 | |||||
Investor | 1,000.00 | 1,008.20 | 0.42 | 2.13 | ||||||
Low-Duration Bond | Institutional | 1,000.00 | 1,013.00 | 0.35 | 1.79 | |||||
Investor | 1,000.00 | 1,010.70 | 0.62 | 3.14 | ||||||
Medium-Duration Bond | Institutional | 1,000.00 | 1,028.40 | 0.39 | 2.01 | |||||
Investor | 1,000.00 | 1,027.60 | 0.66 | 3.39 | ||||||
Extended-Duration Bond | Institutional | 1,000.00 | 1,036.70 | 0.57 | 2.93 | |||||
Investor | 1,000.00 | 1,035.20 | 0.83 | 4.27 | ||||||
Global Bond | Institutional | 1,000.00 | 1,023.90 | 0.54 | 2.77 | |||||
Investor | 1,000.00 | 1,022.40 | 0.83 | 4.22 | ||||||
Defensive Market Strategies | Institutional | 1,000.00 | 1,061.60 | 0.67 | 3.50 | |||||
Investor | 1,000.00 | 1,059.40 | 0.93 | 4.85 | ||||||
Equity Index | Institutional | 1,000.00 | 1,110.90 | 0.13 | 0.70 | |||||
Investor | 1,000.00 | 1,109.30 | 0.39 | 2.08 | ||||||
Value Equity | Institutional | 1,000.00 | 1,090.80 | 0.63 | 3.33 | |||||
Investor | 1,000.00 | 1,090.00 | 0.89 | 4.71 | ||||||
Growth Equity | Institutional | 1,000.00 | 1,085.70 | 0.71 | 3.72 | |||||
Investor | 1,000.00 | 1,084.30 | 0.97 | 5.07 | ||||||
Small Cap Equity | Institutional | 1,000.00 | 1,043.90 | 1.02 | 5.25 | |||||
Investor | 1,000.00 | 1,042.90 | 1.28 | 6.57 | ||||||
International Equity Index | Institutional | 1,000.00 | 1,065.70 | 0.22 | 1.14 | |||||
International Equity (3) | Institutional | 1,000.00 | 1,071.20 | 0.98 | 5.12 | |||||
Investor | 1,000.00 | 1,070.10 | 1.25 | 6.50 | ||||||
Emerging Markets Equity | Institutional | 1,000.00 | 1,078.10 | 1.11 | 5.81 | |||||
Investor | 1,000.00 | 1,075.50 | 1.57 | 8.21 | ||||||
Global Real Estate Securities | Institutional | 1,000.00 | 1,078.10 | 0.85 | 4.44 | |||||
Investor | 1,000.00 | 1,077.20 | 1.12 | 5.87 | ||||||
Strategic Alternatives (3) | Institutional | 1,000.00 | 1,017.40 | 1.16 | 5.89 | |||||
Investor | 1,000.00 | 1,016.40 | 1.53 | 7.79 |
Hypothetical (assuming a 5% return before expenses) | ||||||||||
Fund | Class | Beginning Account Value 07/01/19 | Ending Account Value 12/31/19 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||
MyDestination 2015 | Institutional | $1,000.00 | $1,024.88 | 0.07% | $0.33 | |||||
Investor | 1,000.00 | 1,023.61 | 0.32 | 1.61 | ||||||
MyDestination 2025 | Institutional | 1,000.00 | 1,024.75 | 0.09 | 0.46 | |||||
Investor | 1,000.00 | 1,023.48 | 0.34 | 1.75 | ||||||
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Hypothetical (assuming a 5% return before expenses) | ||||||||||
Fund | Class | Beginning Account Value 07/01/19 | Ending Account Value 12/31/19 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||
MyDestination 2035 | Institutional | $1,000.00 | $1,024.55 | 0.13% | $0.66 | |||||
Investor | 1,000.00 | 1,023.16 | 0.41 | 2.07 | ||||||
MyDestination 2045 | Institutional | 1,000.00 | 1,024.52 | 0.14 | 0.69 | |||||
Investor | 1,000.00 | 1,023.04 | 0.43 | 2.19 | ||||||
MyDestination 2055 | Institutional | 1,000.00 | 1,024.34 | 0.17 | 0.88 | |||||
Investor | 1,000.00 | 1,023.07 | 0.42 | 2.16 | ||||||
Conservation Allocation | Institutional | 1,000.00 | 1,024.61 | 0.12 | 0.60 | |||||
Investor | 1,000.00 | 1,023.24 | 0.39 | 1.99 | ||||||
Balanced Allocation | Institutional | 1,000.00 | 1,024.61 | 0.12 | 0.60 | |||||
Investor | 1,000.00 | 1,023.30 | 0.38 | 1.93 | ||||||
Growth Allocation | Institutional | 1,000.00 | 1,024.61 | 0.12 | 0.61 | |||||
Investor | 1,000.00 | 1,023.29 | 0.38 | 1.94 | ||||||
Aggressive Allocation | Institutional | 1,000.00 | 1,024.61 | 0.12 | 0.61 | |||||
Investor | 1,000.00 | 1,023.28 | 0.38 | 1.95 | ||||||
Money Market | Institutional | 1,000.00 | 1,024.46 | 0.15 | 0.75 | |||||
Investor | 1,000.00 | 1,023.08 | 0.42 | 2.15 | ||||||
Low-Duration Bond | Institutional | 1,000.00 | 1,023.43 | 0.35 | 1.80 | |||||
Investor | 1,000.00 | 1,022.09 | 0.62 | 3.15 | ||||||
Medium-Duration Bond | Institutional | 1,000.00 | 1,023.22 | 0.39 | 2.01 | |||||
Investor | 1,000.00 | 1,021.86 | 0.66 | 3.38 | ||||||
Extended-Duration Bond | Institutional | 1,000.00 | 1,022.33 | 0.57 | 2.91 | |||||
Investor | 1,000.00 | 1,021.01 | 0.83 | 4.24 | ||||||
Global Bond | Institutional | 1,000.00 | 1,022.47 | 0.54 | 2.76 | |||||
Investor | 1,000.00 | 1,021.03 | 0.83 | 4.21 | ||||||
Defensive Market Strategies | Institutional | 1,000.00 | 1,021.81 | 0.67 | 3.43 | |||||
Investor | 1,000.00 | 1,020.50 | 0.93 | 4.75 | ||||||
Equity Index | Institutional | 1,000.00 | 1,024.54 | 0.13 | 0.67 | |||||
Investor | 1,000.00 | 1,023.23 | 0.39 | 2.00 | ||||||
Value Equity | Institutional | 1,000.00 | 1,022.02 | 0.63 | 3.22 | |||||
Investor | 1,000.00 | 1,020.70 | 0.89 | 4.55 | ||||||
Growth Equity | Institutional | 1,000.00 | 1,021.64 | 0.71 | 3.60 | |||||
Investor | 1,000.00 | 1,020.34 | 0.97 | 4.91 | ||||||
Small Cap Equity | Institutional | 1,000.00 | 1,020.07 | 1.02 | 5.19 | |||||
Investor | 1,000.00 | 1,018.78 | 1.28 | 6.49 | ||||||
International Equity Index | Institutional | 1,000.00 | 1,024.10 | 0.22 | 1.12 | |||||
International Equity (3) | Institutional | 1,000.00 | 1,020.26 | 0.98 | 4.99 | |||||
Investor | 1,000.00 | 1,018.93 | 1.25 | 6.34 | ||||||
Emerging Markets Equity | Institutional | 1,000.00 | 1,019.61 | 1.11 | 5.65 | |||||
Investor | 1,000.00 | 1,017.29 | 1.57 | 7.98 | ||||||
Global Real Estate Securities | Institutional | 1,000.00 | 1,020.93 | 0.85 | 4.32 | |||||
Investor | 1,000.00 | 1,019.56 | 1.12 | 5.70 | ||||||
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Hypothetical (assuming a 5% return before expenses) | ||||||||||
Fund | Class | Beginning Account Value 07/01/19 | Ending Account Value 12/31/19 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||
Strategic Alternatives (3) | Institutional | $1,000.00 | $1,019.37 | 1.16% | $5.89 | |||||
Investor | 1,000.00 | 1,017.48 | 1.53 | 7.80 |
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INVESTMENT ABBREVIATIONS: | ||
10Y | — | 10 Year |
1M | — | 1 Month |
1Y | — | 1 Year |
3M | — | 3 Month |
5Y | — | 5 Year |
6M | — | 6 Month |
ACES | — | Alternative Credit Enhancement Securities |
ADR | — | American Depositary Receipt |
ASX | — | Australian Securities Exchange |
BBR FRA | — | Bank Bill Rate FRA |
BBSW | — | Bank Bill Swap Rate |
BUBOR | — | Budapest Interbank Offered Rate |
CDI | — | Crest Depository Interest |
CDOR | — | Canadian Dollar Offered Rate |
CDX | — | A series of indexes that track North American and emerging market credit derivative indexes. |
CFETS | — | China Foreign Exchange Trade System |
CLO | — | Collateralized Loan Obligation |
CMBX | — | A group of indexes 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 |
HIBOR | — | Hong Kong Interbank Offered Rate |
ICE LIBOR | — | Intercontinental Exchange London Interbank Offered Rate |
IO | — | Interest Only (Principal amount shown is notional) |
JIBAR | — | Johannesburg Interbank Average Rate |
KWCDC | — | KRW Certificates of Deposits |
LIBOR | — | London Interbank Offered Rate |
LLC | — | Limited Liability Company |
LP | — | Limited Partnership |
NIBOR | — | Norwegian Interbank Offered Rate |
NSA | — | Not Seasonally Adjusted |
NVDR | — | Non-Voting Depository Receipt |
PCL | — | Public Company Limited |
PIK | — | Payment-in-Kind Bonds |
PLC | — | Public Limited Company |
PRIBOR | — | Prague Interbank Offered Rate |
REIT | — | Real Estate Investment Trust |
REMIC | — | Real Estate Mortgage Investment Conduit |
SDR | — | Special Drawing Rights |
SONIA | — | Sterling Overnight Index Average Rate |
SOFR | — | Secured Overnight Financing 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 |
TELBOR | — | Tel Aviv Interbank Offered Rate |
TIIE | — | The Equilibrium Interbank Interest Rate |
US CPI | — | U.S. Consumer Price Index |
UK RPI | — | UK Retail Price Index |
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, 2019, 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 | $263,537,797 | 26.49% | ||
Medium-Duration Bond | 269,528,494 | 15.11 | ||
Extended-Duration Bond | 14,650,156 | 5.71 | ||
Global Bond | 91,075,127 | 14.93 | ||
Defensive Market Strategies | 95,150,764 | 7.54 | ||
International Equity Index | 6,683,477 | 0.94 | ||
International Equity | 3,261,489 | 0.25 | ||
Emerging Markets Equity | 10,650,098 | 2.00 | ||
Global Real Estate Securities | 806,571 | 0.31 | ||
Strategic Alternatives | 45,828,105 | 11.87 | ||
INVESTMENT FOOTNOTES: | ||
π | — | 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 agreements. |
‡ | — | 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. Security issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
† | — | Variable rate security. Rate shown reflects the rate in effect as of December 31, 2019. |
γ | — | 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. |
Ω | — | Rate shown reflects the effective yield as of December 31, 2019. |
∞ | — | Affiliated fund. |
Δ | — | Security either partially or fully on loan. |
Σ | — | 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). |
Ø | — | 7-day current yield as of December 31, 2019 is disclosed. |
ρ | — | Perpetual bond. Maturity date represents the next call date. |
Ψ | — | Security is valued at fair value by the Valuation Committee (see Note 2 in Notes to Financial Statements). As of December 31, 2019, the total market values and percentages of net assets for Fair Valued securities by fund were as follows: |
Fund | Value of Fair Valued Securities | Percentage of Net Assets | ||
Medium-Duration Bond(1) | $ — | —% | ||
Global Bond | 47,636 | 0.01 | ||
Small Cap Equity | 1,956,000 | 0.33 | ||
International Equity(1) | (2,589) | — | ||
Strategic Alternatives | 1,325,889 | 0.34 | ||
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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). |
(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). |
(U) | — | Par is denominated in British Pounds (GBP). |
(X) | — | Par is denominated in Colombian Pesos (COP). |
(Y) | — | Par is denominated in Chinese Yuan (CNY). |
(ZA) | — | Par is denominated in Argentine Pesos (ARS). |
COUNTERPARTY ABBREVIATIONS: | ||
BAR | — | Counterparty to contract is Barclays Capital. |
BNP | — | Counterparty to contract is BNP Paribas. |
BOA | — | Counterparty to contract is Bank of America. |
BOFA | — | Counterparty to contract is Bank of America. |
CIBC | — | Counterparty to contract is Canadian Imperial Bank of Commerce. |
CITI | — | Counterparty to contract is Citibank NA London. |
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. |
JPM | — | Counterparty to contract is JPMorgan Chase Bank. |
MSCS | — | Counterparty to contract is Morgan Stanley Capital Services. |
NAB | — | Counterparty to contract is National Australia Bank. |
NT | — | Counterparty to contract is Northern Trust. |
RBC | — | Counterparty to contract is Royal Bank of Canada. |
RBS | — | Counterparty to contract is Royal Bank of Scotland. |
SC | — | Counterparty to contract is Standard Chartered PLC. |
SS | — | Counterparty to contract is State Street Global Markets. |
TD | — | Counterparty to contract is Toronto-Dominion Bank. |
UBS | — | Counterparty to contract is UBS AG. |
WEST | — | Counterparty to contract isWest Banc. |
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% | |
Fixed Income Select Funds | 51.8 |
U.S. Equity Select Funds | 29.7 |
Non-U.S. Equity Select Funds | 12.6 |
Alternative Select Funds | 4.8 |
Real Assets Select Funds | 0.9 |
U.S. Treasury Obligation | —** |
99.8 |
**Rounds to less than 0.1% |
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Average Annual Total Returns as of 12/31/19 | |||||
Institutional Class* | Investor Class* | ||||
One Year | 15.32% | 15.09% | |||
Five Year | N/A | 5.35% | |||
Ten year | N/A | 6.73% | |||
Since Inception(1) | 6.81% | 4.70% | |||
Inception Date | 05/01/17 | 12/29/06 | |||
Total Fund Operating Expenses (April 30, 2019 Prospectus)(2) | 0.58% | 0.82% |
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Shares | Value | |||
MUTUAL FUNDS — 99.8% | ||||
GuideStone Money Market Fund, 1.53% (Institutional Class)Ø∞ | 7,928,513 | $7,928,513 | ||
GuideStone Low-Duration Bond Fund (Institutional Class)∞ | 7,574,008 | 101,491,706 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 11,218,452 | 168,837,709 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 6,750,985 | 67,577,359 | ||
GuideStone Defensive Market Strategies Fund (Institutional Class)∞ | 5,523,247 | 73,293,485 | ||
GuideStone Equity Index Fund (Institutional Class)∞ | 3,201,400 | 113,489,621 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 726,674 | 11,423,317 | ||
GuideStone International Equity Index Fund (Institutional Class)∞ | 5,929,598 | 64,454,727 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 1,967,975 | 20,053,661 |
Shares | Value | |||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 565,202 | $5,770,713 | ||
GuideStone Strategic Alternatives Fund (Institutional Class)∞ | 3,138,134 | 31,789,300 | ||
Total Mutual Funds (Cost $636,724,372) | 666,110,111 |
Par | |||
U.S. TREASURY OBLIGATION — 0.0% | |||
U.S. Treasury Bill | |||
1.52%, 05/07/20Ω‡‡ (Cost $198,923) | $200,000 | 198,937 | |
TOTAL INVESTMENTS —99.8% (Cost $636,923,295) | 666,309,048 | ||
Other Assets in Excess of Liabilities — 0.2% | 1,286,681 | ||
NET ASSETS — 100.0% | $667,595,729 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
10-Year U.S. Treasury Note | 03/2020 | 32 | $4,109,500 | $(27,930) | ||||
MSCI EAFE Index E-Mini | 03/2020 | 11 | 1,120,075 | 3,256 | ||||
MSCI Emerging Markets E-mini | 03/2020 | 6 | 336,060 | 8,909 | ||||
S&P 500® E-Mini | 03/2020 | 13 | 2,100,215 | 33,231 | ||||
Total Futures Contracts outstanding at December 31, 2019 | $7,665,850 | $17,466 |
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Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Mutual Funds | $666,110,111 | $666,110,111 | $— | $— | |||
U.S. Treasury Obligation | 198,937 | — | 198,937 | — | |||
Total Assets - Investments in Securities | $666,309,048 | $666,110,111 | $198,937 | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $45,396 | $45,396 | $— | $— | |||
Total Assets - Other Financial Instruments | $45,396 | $45,396 | $ — | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $(27,930) | $(27,930) | $— | $— | |||
Total Liabilities - Other Financial Instruments | $(27,930) | $(27,930) | $ — | $ — |
*** | 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. |
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% | |
Fixed Income Select Funds | 40.6 |
U.S. Equity Select Funds | 37.9 |
Non-U.S. Equity Select Funds | 17.8 |
Alternative Select Funds | 2.6 |
Real Assets Select Funds | 1.1 |
U.S. Treasury Obligation | —** |
100.0 |
**Rounds to less than 0.1% |
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Average Annual Total Returns as of 12/31/19 | |||||
Institutional Class* | Investor Class* | ||||
One Year | 18.45% | 18.18% | |||
Five Year | N/A | 6.26% | |||
Ten year | N/A | 7.85% | |||
Since Inception(1) | 8.11% | 5.04% | |||
Inception Date | 05/01/17 | 12/29/06 | |||
Total Fund Operating Expenses (April 30, 2019 Prospectus)(2) | 0.54% | 0.79% |
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Shares | Value | |||
MUTUAL FUNDS — 100.0% | ||||
GuideStone Money Market Fund, 1.53%Ø∞ | 23,192,204 | $23,192,204 | ||
GuideStone Low-Duration Bond Fund (Institutional Class)∞ | 5,989,398 | 80,257,928 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 23,825,474 | 358,573,386 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 10,909,460 | 109,203,694 | ||
GuideStone Defensive Market Strategies Fund (Institutional Class)∞ | 11,775,569 | 156,261,802 | ||
GuideStone Equity Index Fund (Institutional Class)∞ | 9,703,711 | 343,996,549 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 2,178,180 | 34,240,991 | ||
GuideStone International Equity Index Fund (Institutional Class)∞ | 17,769,003 | 193,149,061 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 5,660,581 | 57,681,323 |
Shares | Value | |||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 1,551,115 | $15,836,883 | ||
GuideStone Strategic Alternatives Fund (Institutional Class)∞ | 3,605,555 | 36,524,273 | ||
Total Mutual Funds (Cost $1,328,222,462) | 1,408,918,094 |
Par | |||
U.S. TREASURY OBLIGATION — 0.0% | |||
U.S. Treasury Bill | |||
1.52%, 05/07/20Ω‡‡ (Cost $596,770) | $600,000 | 596,811 | |
TOTAL INVESTMENTS —100.0% (Cost $1,328,819,232) | 1,409,514,905 | ||
Other Assets in Excess of Liabilities — 0.0% | 33,305 | ||
NET ASSETS — 100.0% | $1,409,548,210 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
10-Year U.S. Treasury Note | 03/2020 | 62 | $7,962,156 | $(67,919) | ||||
MSCI EAFE Index E-Mini | 03/2020 | 35 | 3,563,875 | 12,833 | ||||
MSCI Emerging Markets E-mini | 03/2020 | 19 | 1,064,190 | 36,953 | ||||
S&P 500® E-Mini | 03/2020 | 41 | 6,623,755 | 123,279 | ||||
Total Futures Contracts outstanding at December 31, 2019 | $19,213,976 | $105,146 |
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Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Mutual Funds | $1,408,918,094 | $1,408,918,094 | $— | $— | |||
U.S. Treasury Obligation | 596,811 | — | 596,811 | — | |||
Total Assets - Investments in Securities | $1,409,514,905 | $1,408,918,094 | $596,811 | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $173,065 | $173,065 | $— | $— | |||
Total Assets - Other Financial Instruments | $173,065 | $173,065 | $ — | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $(67,919) | $(67,919) | $— | $— | |||
Total Liabilities - Other Financial Instruments | $(67,919) | $(67,919) | $ — | $ — |
*** | 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. |
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% | |
U.S. Equity Select Funds | 46.7 |
Non-U.S. Equity Select Funds | 27.3 |
Fixed Income Select Funds | 24.8 |
Real Assets Select Funds | 1.5 |
U.S. Treasury Obligation | 0.1 |
100.4 |
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Average Annual Total Returns as of 12/31/19 | |||||
Institutional Class* | Investor Class* | ||||
One Year | 22.47% | 22.16% | |||
Five Year | N/A | 6.96% | |||
Ten year | N/A | 8.61% | |||
Since Inception(1) | 9.53% | 5.16% | |||
Inception Date | 05/01/17 | 12/29/06 | |||
Total Fund Operating Expenses (April 30, 2019 Prospectus)(2) | 0.50% | 0.75% |
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Shares | Value | |||
MUTUAL FUNDS — 100.3% | ||||
GuideStone Money Market Fund, 1.53% (Institutional Class)Ø∞ | 23,190,594 | $23,190,594 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 11,018,026 | 165,821,289 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 4,140,827 | 41,449,679 | ||
GuideStone Defensive Market Strategies Fund (Institutional Class)∞ | 4,210,540 | 55,873,859 | ||
GuideStone Equity Index Fund (Institutional Class)∞ | 9,704,953 | 344,040,592 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 2,145,442 | 33,726,345 | ||
GuideStone International Equity Index Fund (Institutional Class)∞ | 18,018,040 | 195,856,101 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 5,655,622 | 57,630,784 |
Shares | Value | |||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 1,370,495 | $13,992,755 | ||
Total Mutual Funds (Cost $862,561,954) | 931,581,998 |
Par | |||
U.S. TREASURY OBLIGATION — 0.1% | |||
U.S. Treasury Bill | |||
1.52%, 05/07/20Ω‡‡ (Cost $745,962) | $750,000 | 746,013 | |
TOTAL INVESTMENTS —100.4% (Cost $863,307,916) | 932,328,011 | ||
Liabilities in Excess of Other Assets — (0.4)% | (3,505,713) | ||
NET ASSETS — 100.0% | $928,822,298 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
10-Year U.S. Treasury Note | 03/2020 | 34 | $4,366,344 | $(23,215) | ||||
MSCI EAFE Index E-Mini | 03/2020 | 47 | 4,785,775 | 5,146 | ||||
MSCI Emerging Markets E-mini | 03/2020 | 25 | 1,400,250 | 38,899 | ||||
S&P 500® E-Mini | 03/2020 | 55 | 8,885,525 | 132,997 | ||||
Total Futures Contracts outstanding at December 31, 2019 | $19,437,894 | $153,827 |
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Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Mutual Funds | $931,581,998 | $931,581,998 | $— | $— | |||
U.S. Treasury Obligation | 746,013 | — | 746,013 | — | |||
Total Assets - Investments in Securities | $932,328,011 | $931,581,998 | $746,013 | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $177,042 | $177,042 | $— | $— | |||
Total Assets - Other Financial Instruments | $177,042 | $177,042 | $ — | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $(23,215) | $(23,215) | $— | $— | |||
Total Liabilities - Other Financial Instruments | $(23,215) | $(23,215) | $ — | $ — |
*** | 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. |
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% | |
U.S. Equity Select Funds | 53.6 |
Non-U.S. Equity Select Funds | 32.3 |
Fixed Income Select Funds | 12.7 |
Real Assets Select Funds | 1.8 |
U.S. Treasury Obligation | 0.1 |
100.5 |
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Average Annual Total Returns as of 12/31/19 | |||||
Institutional Class* | Investor Class* | ||||
One Year | 24.56% | 24.24% | |||
Five Year | N/A | 7.51% | |||
Ten year | N/A | 9.05% | |||
Since Inception(1) | 10.31% | 5.22% | |||
Inception Date | 05/01/17 | 12/29/06 | |||
Total Fund Operating Expenses (April 30, 2019 Prospectus)(2) | 0.50% | 0.75% |
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Shares | Value | |||
MUTUAL FUNDS — 100.4% | ||||
GuideStone Money Market Fund, 1.53% (Institutional Class)Ø∞ | 17,535,781 | $17,535,781 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 3,806,131 | 57,282,270 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 1,432,553 | 14,339,854 | ||
GuideStone Defensive Market Strategies Fund (Institutional Class)∞ | 2,594,675 | 34,431,336 | ||
GuideStone Equity Index Fund (Institutional Class)∞ | 8,763,480 | 310,665,387 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 1,952,187 | 30,688,375 | ||
GuideStone International Equity Index Fund (Institutional Class)∞ | 16,251,399 | 176,652,707 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 4,888,768 | 49,816,542 |
Shares | Value | |||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 1,208,392 | $12,337,685 | ||
Total Mutual Funds (Cost $644,567,039) | 703,749,937 |
Par | |||
U.S. TREASURY OBLIGATION — 0.1% | |||
U.S. Treasury Bill | |||
1.52%, 05/07/20Ω‡‡ (Cost $646,501) | $650,000 | 646,545 | |
TOTAL INVESTMENTS —100.5% (Cost $645,213,540) | 704,396,482 | ||
Liabilities in Excess of Other Assets — (0.5)% | (3,305,952) | ||
NET ASSETS — 100.0% | $701,090,530 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
10-Year U.S. Treasury Note | 03/2020 | 12 | $1,541,063 | $(10,849) | ||||
MSCI EAFE Index E-Mini | 03/2020 | 38 | 3,869,350 | 2,800 | ||||
MSCI Emerging Markets E-mini | 03/2020 | 21 | 1,176,210 | 29,105 | ||||
S&P 500® E-Mini | 03/2020 | 47 | 7,593,085 | 108,030 | ||||
Total Futures Contracts outstanding at December 31, 2019 | $14,179,708 | $129,086 |
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Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Mutual Funds | $703,749,937 | $703,749,937 | $— | $— | |||
U.S. Treasury Obligation | 646,545 | — | 646,545 | — | |||
Total Assets - Investments in Securities | $704,396,482 | $703,749,937 | $646,545 | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $139,935 | $139,935 | $— | $— | |||
Total Assets - Other Financial Instruments | $139,935 | $139,935 | $ — | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $(10,849) | $(10,849) | $— | $— | |||
Total Liabilities - Other Financial Instruments | $(10,849) | $(10,849) | $ — | $ — |
*** | 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. |
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% | |
U.S. Equity Select Funds | 55.5 |
Non-U.S. Equity Select Funds | 33.6 |
Fixed Income Select Funds | 9.4 |
Real Assets Select Funds | 1.8 |
U.S. Treasury Obligation | 0.1 |
100.4 |
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Average Annual Total Returns as of 12/31/19 | |||||
Institutional Class* | Investor Class* | ||||
One Year | 25.15% | 24.92% | |||
Five Year | N/A | 7.77% | |||
Ten year | N/A | N/A | |||
Since Inception(1) | 10.56% | 9.68% | |||
Inception Date | 05/01/17 | 01/01/12 | |||
Total Fund Operating Expenses (April 30, 2019 Prospectus)(2) | 0.59% | 0.84% |
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Shares | Value | |||
MUTUAL FUNDS — 100.3% | ||||
GuideStone Money Market Fund, 1.53% (Institutional Class)Ø∞ | 5,502,685 | $5,502,685 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 801,099 | 12,056,546 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 301,514 | 3,018,155 | ||
GuideStone Defensive Market Strategies Fund (Institutional Class)∞ | 817,700 | 10,850,884 | ||
GuideStone Equity Index Fund (Institutional Class)∞ | 2,868,329 | 101,682,265 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 638,959 | 10,044,432 | ||
GuideStone International Equity Index Fund (Institutional Class)∞ | 5,319,138 | 57,819,025 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 1,600,159 | 16,305,624 |
Shares | Value | |||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 394,692 | $4,029,801 | ||
Total Mutual Funds (Cost $205,430,807) | 221,309,417 |
Par | |||
U.S. TREASURY OBLIGATION — 0.1% | |||
U.S. Treasury Bill | |||
2.00%, 01/16/20Ω‡‡ (Cost $199,832) | $200,000 | 199,892 | |
TOTAL INVESTMENTS —100.4% (Cost $205,630,639) | 221,509,309 | ||
Liabilities in Excess of Other Assets — (0.4)% | (880,005) | ||
NET ASSETS — 100.0% | $220,629,304 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
10-Year U.S. Treasury Note | 03/2020 | 3 | $385,266 | $(1,115) | ||||
MSCI EAFE Index E-Mini | 03/2020 | 12 | 1,221,900 | (181) | ||||
MSCI Emerging Markets E-Mini | 03/2020 | 7 | 392,070 | 10,701 | ||||
S&P 500® E-Mini | 03/2020 | 15 | 2,423,325 | 32,505 | ||||
Total Futures Contracts outstanding at December 31, 2019 | $4,422,561 | $41,910 |
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Mutual Funds | $221,309,417 | $221,309,417 | $— | $— | |||
U.S. Treasury Obligation | 199,892 | — | 199,892 | — | |||
Total Assets - Investments in Securities | $221,509,309 | $221,309,417 | $199,892 | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $43,206 | $43,206 | $— | $— | |||
Total Assets - Other Financial Instruments | $43,206 | $43,206 | $ — | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $(1,296) | $(1,296) | $— | $— | |||
Total Liabilities - Other Financial Instruments | $(1,296) | $(1,296) | $ — | $ — |
*** | 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. |
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Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES | December 31, 2019 |
MyDestination 2015 Fund | MyDestination 2025 Fund | ||
Assets | |||
Investments in securities of unaffiliated issuers, at value | $198,937 | $596,811 | |
Investments in securities of affiliated issuers, at value | 666,110,111 | 1,408,918,094 | |
Total investments, at value(1) | 666,309,048 | 1,409,514,905 | |
Cash | — | — | |
Deposits with broker for futures contracts | — | — | |
Receivables: | |||
Dividends | 11,005 | 30,071 | |
From advisor | — | — | |
Investment securities sold | 1,400,000 | — | |
Fund shares sold | 140,093 | 426,320 | |
Variation margin on futures contracts | 8,415 | 29,799 | |
Prepaid expenses and other assets | 8,211 | 14,299 | |
Total Assets | 667,876,772 | 1,410,015,394 | |
Liabilities | |||
Cash Overdraft | — | 116 | |
Payables: | |||
Investment securities purchased | — | — | |
Fund shares redeemed | 136,305 | 140,302 | |
Accrued expenses: | |||
Investment advisory fees | 7,368 | 55,465 | |
Shareholder servicing fees | 110,311 | 219,348 | |
Trustee fees | 439 | 132 | |
Other expenses | 26,620 | 51,821 | |
Total Liabilities | 281,043 | 467,184 | |
Net Assets | $667,595,729 | $1,409,548,210 | |
Net Assets Consist of: | |||
Paid-in-capital | $632,853,604 | $1,319,221,066 | |
Distributable earnings (loss) | 34,742,125 | 90,327,144 | |
Net Assets | $667,595,729 | $1,409,548,210 | |
Net Asset Value: | |||
$0.001 par value, unlimited shares authorized | |||
Net assets applicable to the Institutional Class | $142,900,125 | $361,407,999 | |
Institutional shares outstanding | 13,744,977 | 34,696,960 | |
Net asset value, offering and redemption price per Institutional share | $10.40 | $10.42 | |
Net assets applicable to the Investor Class | $524,695,604 | $1,048,140,211 | |
Investor shares outstanding | 50,471,948 | 100,537,529 | |
Net asset value, offering and redemption price per Investor share | $10.40 | $10.43 | |
(1)Investments in securities of unaffiliated issuers, at cost | $198,923 | $596,770 | |
Investments in securities of affiliated issuers, at cost | 636,724,372 | 1,328,222,462 | |
Total investments, at cost | $636,923,295 | $1,328,819,232 |
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MyDestination 2035 Fund | MyDestination 2045 Fund | MyDestination 2055 Fund | ||
$746,013 | $646,545 | $199,892 | ||
931,581,998 | 703,749,937 | 221,309,417 | ||
932,328,011 | 704,396,482 | 221,509,309 | ||
2,547 | 4,055 | 758 | ||
— | 36,000 | — | ||
27,343 | 20,362 | 6,126 | ||
— | — | 7,188 | ||
— | 711,356 | 86,748 | ||
364,947 | 456,188 | 240,766 | ||
45,301 | 39,418 | 12,652 | ||
9,222 | 6,909 | 3,387 | ||
932,777,371 | 705,670,770 | 221,866,934 | ||
— | — | — | ||
3,700,000 | 4,211,356 | 1,186,748 | ||
4,116 | 180,817 | 4,365 | ||
77,818 | 58,121 | — | ||
137,684 | 97,690 | 29,602 | ||
159 | 314 | 238 | ||
35,296 | 31,942 | 16,677 | ||
3,955,073 | 4,580,240 | 1,237,630 | ||
$928,822,298 | $701,090,530 | $220,629,304 | ||
$855,300,423 | $639,026,291 | $203,835,692 | ||
73,521,875 | 62,064,239 | 16,793,612 | ||
$928,822,298 | $701,090,530 | $220,629,304 | ||
$266,012,122 | $230,294,875 | $77,155,950 | ||
26,024,629 | 23,327,234 | 5,602,549 | ||
$10.22 | $9.87 | $13.77 | ||
$662,810,176 | $470,795,655 | $143,473,354 | ||
64,824,451 | 47,699,478 | 10,429,585 | ||
$10.22 | $9.87 | $13.76 | ||
$745,962 | $646,501 | $199,832 | ||
862,561,954 | 644,567,039 | 205,430,807 | ||
$863,307,916 | $645,213,540 | $205,630,639 |
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STATEMENTS OF OPERATIONS | For the Year Ended December 31, 2019 |
MyDestination 2015 Fund | |
Investment Income | |
Dividends | $686 |
Income distributions received from affiliated funds | 15,645,075 |
Interest | 4,727 |
Total Investment Income | 15,650,488 |
Expenses | |
Investment advisory fees | 643,375 |
Transfer agent fees: | |
Institutional shares | 4,282 |
Investor shares | 21,508 |
Custodian fees | 25,732 |
Shareholder servicing fees: | |
Investor shares | 1,309,283 |
Accounting and administration fees | 28,377 |
Professional fees | 71,666 |
Shareholder reporting fees: | |
Institutional shares | 862 |
Investor shares | 9,813 |
Trustees expenses | 6,624 |
Line of credit facility fees | 7,452 |
Other expenses | 37,969 |
Recoupment of prior expenses reduced by the Advisor | — |
Total Expenses | 2,166,943 |
Expenses waived/reimbursed(1) | (442,188) |
Net Expenses | 1,724,755 |
Net Investment Income | 13,925,733 |
Realized and Unrealized Gain (Loss) | |
Capital gain distributions received from affiliated funds | 6,698,864 |
Net realized gain on investment securities of affiliated issuers | 6,844,576 |
Net realized gain on futures transactions | 752,870 |
Net realized gain | 14,296,310 |
Change in unrealized appreciation (depreciation) on investment securities of affiliated issuers | 60,977,835 |
Change in unrealized appreciation (depreciation) on investment securities of unaffiliated issuers | (45) |
Change in unrealized appreciation (depreciation) on futures | 53,306 |
Net change in unrealized appreciation (depreciation) | 61,031,096 |
Net Realized and Unrealized Gain | 75,327,406 |
Net Increase in Net Assets Resulting from Operations | $89,253,139 |
(1) | See Note 3c in Notes to Financial Statements. |
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MyDestination 2025 Fund | MyDestination 2035 Fund | MyDestination 2045 Fund | MyDestination 2055 Fund | |||
$343 | $713 | $101 | $17 | |||
31,196,886 | 19,782,939 | 14,547,994 | 4,464,671 | |||
8,838 | 13,006 | 9,252 | 1,053 | |||
31,206,067 | 19,796,658 | 14,557,347 | 4,465,741 | |||
1,286,951 | 811,586 | 611,727 | 183,330 | |||
5,097 | 5,201 | 5,389 | 5,165 | |||
31,789 | 22,001 | 19,607 | 15,967 | |||
33,118 | 30,521 | 27,105 | 29,114 | |||
2,475,987 | 1,497,130 | 1,053,701 | 300,584 | |||
56,767 | 35,800 | 26,984 | 8,713 | |||
83,630 | 74,960 | 71,264 | 68,700 | |||
1,272 | 1,572 | 1,321 | 1,224 | |||
15,414 | 9,335 | 7,428 | 4,127 | |||
11,845 | 7,772 | 6,351 | 3,910 | |||
11,243 | 6,625 | 5,342 | 3,147 | |||
57,714 | 49,751 | 42,608 | 32,009 | |||
— | 61,692 | 92,273 | — | |||
4,070,827 | 2,613,946 | 1,971,100 | 655,990 | |||
(459,693) | — | — | (62,544) | |||
3,611,134 | 2,613,946 | 1,971,100 | 593,446 | |||
27,594,933 | 17,182,712 | 12,586,247 | 3,872,295 | |||
15,040,921 | 7,992,558 | 5,373,399 | 1,631,507 | |||
9,702,691 | 3,446,277 | 2,331,860 | 2,606,026 | |||
2,611,689 | 2,586,853 | 2,290,448 | 799,691 | |||
27,355,301 | 14,025,688 | 9,995,707 | 5,037,224 | |||
155,687,935 | 127,927,630 | 107,585,951 | 30,799,694 | |||
(106) | (155) | (118) | 66 | |||
336,249 | 484,544 | 451,770 | 107,109 | |||
156,024,078 | 128,412,019 | 108,037,603 | 30,906,869 | |||
183,379,379 | 142,437,707 | 118,033,310 | 35,944,093 | |||
$210,974,312 | $159,620,419 | $130,619,557 | $39,816,388 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS |
MyDestination 2015 Fund | MyDestination 2025 Fund | ||||||
For the Year Ended | For the Year Ended | ||||||
12/31/19 | 12/31/18 | 12/31/19 | 12/31/18 | ||||
Operations: | |||||||
Net investment income | $13,925,733 | $10,846,431 | $27,594,933 | $18,066,593 | |||
Net realized gain on investment securities and futures transactions | 14,296,310 | 17,611,538 | 27,355,301 | 43,698,728 | |||
Net change in unrealized appreciation (depreciation) on investment securities and futures | 61,031,096 | (50,445,913) | 156,024,078 | (120,607,296) | |||
Net increase (decrease) in net assets resulting from operations | 89,253,139 | (21,987,944) | 210,974,312 | (58,841,975) | |||
Distributions to Shareholders: | |||||||
Institutional shares | (5,862,578) | (6,604,455) | (13,988,165) | (16,350,338) | |||
Investor shares | (20,450,729) | (30,285,425) | (38,484,767) | (55,692,414) | |||
Total distributions | (26,313,307) | (36,889,880) | (52,472,932) | (72,042,752) | |||
Capital Share Transactions: | |||||||
Proceeds from shares sold | |||||||
Institutional shares | 53,645,758 | 16,426,731 | 112,767,546 | 56,134,192 | |||
Investor shares | 49,464,244 | 78,979,838 | 111,058,235 | 112,982,675 | |||
Reinvestment of dividends and distributions | |||||||
Institutional shares | 5,862,578 | 6,604,455 | 13,988,165 | 16,350,338 | |||
Investor shares | 20,446,948 | 30,278,786 | 38,483,178 | 55,690,937 | |||
Total proceeds from shares sold and reinvested | 129,419,528 | 132,289,810 | 276,297,124 | 241,158,142 | |||
Value of shares redeemed | |||||||
Institutional shares | (31,768,802) | (17,508,898) | (50,659,250) | (15,193,743) | |||
Investor shares | (93,504,464) | (85,707,539) | (112,946,892) | (57,333,646) | |||
Total value of shares redeemed | (125,273,266) | (103,216,437) | (163,606,142) | (72,527,389) | |||
Net increase from capital share transactions(1) | 4,146,262 | 29,073,373 | 112,690,982 | 168,630,753 | |||
Total increase (decrease) in net assets | 67,086,094 | (29,804,451) | 271,192,362 | 37,746,026 | |||
Net Assets: | |||||||
Beginning of Year | 600,509,635 | 630,314,086 | 1,138,355,848 | 1,100,609,822 | |||
End of Year | $667,595,729 | $600,509,635 | $1,409,548,210 | $1,138,355,848 |
(1) | See Note 6 in Notes to Financial Statements. |
Table of Contents
MyDestination 2035 Fund | MyDestination 2045 Fund | MyDestination 2055 Fund | ||||||||
For the Year Ended | For the Year Ended | For the Year Ended | ||||||||
12/31/19 | 12/31/18 | 12/31/19 | 12/31/18 | 12/31/19 | 12/31/18 | |||||
$17,182,712 | $9,161,754 | $12,586,247 | $6,153,336 | $3,872,295 | $1,647,212 | |||||
14,025,688 | 33,087,247 | 9,995,707 | 30,163,206 | 5,037,224 | 9,328,162 | |||||
128,412,019 | (93,205,222) | 108,037,603 | (80,537,920) | 30,906,869 | (24,338,304) | |||||
159,620,419 | (50,956,221) | 130,619,557 | (44,221,378) | 39,816,388 | (13,362,930) | |||||
(9,403,983) | (12,321,756) | (8,040,317) | (12,439,781) | (3,200,893) | (4,137,262) | |||||
(21,796,700) | (35,422,853) | (15,261,033) | (26,848,548) | (5,664,596) | (7,020,293) | |||||
(31,200,683) | (47,744,609) | (23,301,350) | (39,288,329) | (8,865,489) | (11,157,555) | |||||
85,294,170 | 42,767,692 | 60,147,102 | 35,535,113 | 29,732,533 | 23,647,962 | |||||
88,866,340 | 74,504,056 | 65,328,746 | 56,272,089 | 39,108,697 | 30,548,502 | |||||
9,403,983 | 12,321,756 | 8,040,317 | 12,439,781 | 3,200,894 | 4,137,262 | |||||
21,796,029 | 35,422,853 | 15,260,906 | 26,848,548 | 5,664,445 | 7,020,226 | |||||
205,360,522 | 165,016,357 | 148,777,071 | 131,095,531 | 77,706,569 | 65,353,952 | |||||
(35,182,892) | (8,920,967) | (31,741,269) | (6,748,975) | (20,917,032) | (2,598,836) | |||||
(58,018,044) | (20,380,091) | (40,840,087) | (12,750,653) | (15,829,240) | (5,701,187) | |||||
(93,200,936) | (29,301,058) | (72,581,356) | (19,499,628) | (36,746,272) | (8,300,023) | |||||
112,159,586 | 135,715,299 | 76,195,715 | 111,595,903 | 40,960,297 | 57,053,929 | |||||
240,579,322 | 37,014,469 | 183,513,922 | 28,086,196 | 71,911,196 | 32,533,444 | |||||
688,242,976 | 651,228,507 | 517,576,608 | 489,490,412 | 148,718,108 | 116,184,664 | |||||
$928,822,298 | $688,242,976 | $701,090,530 | $517,576,608 | $220,629,304 | $148,718,108 |
Table of Contents
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) | Realized and Unrealized Gain (Loss) on Investments | Total Income From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions Paid | Net Asset Value, End of Year | Total Return | Net Assets, End of Year (000) | Expenses, Net(2) | Expenses, Gross(2) | Investment Income, Net (1) | Portfolio Turnover Rate | |
MyDestination 2015 Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2019 | $9.40 | $0.25 | $1.19 | $1.44 | $(0.28) | $(0.16) | $(0.44) | $10.40 | 15.32% | $142,900 | 0.06% | 0.13% | 2.48% | 7% |
2018 | 10.37 | 0.20 | (0.54) | (0.34) | (0.38) | (0.25) | (0.63) | 9.40 | (3.33) | 104,300 | 0.13 | 0.15 | 1.91 | 32 |
2017(3) | 9.97 | 0.12 | 0.58 | 0.70 | (0.06) | (0.24) | (0.30) | 10.37 | 6.99 | 108,975 | 0.16 | 0.16 | 1.78 | 17 |
Investor Class | ||||||||||||||
2019 | $9.40 | $0.21 | $1.21 | $1.42 | $(0.26) | $(0.16) | $(0.42) | $10.40 | 15.09% | $524,696 | 0.31% | 0.38% | 2.09% | 7% |
2018 | 10.38 | 0.17 | (0.55) | (0.38) | (0.35) | (0.25) | (0.60) | 9.40 | (3.66) | 496,209 | 0.37 | 0.39 | 1.67 | 32 |
2017 | 9.54 | 0.12 | 1.00 | 1.12 | (0.04) | (0.24) | (0.28) | 10.38 | 11.67 | 521,339 | 0.38 | 0.39 | 1.21 | 17 |
2016 | 9.19 | 0.16 | 0.48 | 0.64 | (0.11) | (0.18) | (0.29) | 9.54 | 6.99 | 535,401 | 0.35 | 0.40 | 1.65 | 16 |
2015 | 10.84 | 0.15 | (0.38) | (0.23) | (0.14) | (1.28) | (1.42) | 9.19 | (2.06) | 479,512 | 0.28 | 0.31 | 1.41 | 108(4) |
MyDestination 2025 Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2019 | $9.15 | $0.25 | $1.44 | $1.69 | $(0.27) | $(0.15) | $(0.42) | $10.42 | 18.45% | $361,408 | 0.09% | 0.12% | 2.43% | 5% |
2018 | 10.25 | 0.18 | (0.66) | (0.48) | (0.28) | (0.34) | (0.62) | 9.15 | (4.64) | 250,202 | 0.12 | 0.13 | 1.80 | 37 |
2017(3) | 9.79 | 0.13 | 0.75 | 0.88 | (0.12) | (0.30) | (0.42) | 10.25 | 9.08 | 222,031 | 0.14 | 0.14 | 1.82 | 15 |
Investor Class | ||||||||||||||
2019 | $9.16 | $0.21 | $1.45 | $1.66 | $(0.24) | $(0.15) | $(0.39) | $10.43 | 18.18% | $1,048,140 | 0.34% | 0.37% | 2.06% | 5% |
2018 | 10.26 | 0.15 | (0.65) | (0.50) | (0.26) | (0.34) | (0.60) | 9.16 | (4.87) | 888,153 | 0.36 | 0.38 | 1.51 | 37 |
2017 | 9.28 | 0.11 | 1.27 | 1.38 | (0.10) | (0.30) | (0.40) | 10.26 | 14.92 | 878,579 | 0.38 | 0.38 | 1.12 | 15 |
2016 | 8.88 | 0.16 | 0.55 | 0.71 | (0.09) | (0.22) | (0.31) | 9.28 | 8.01 | 855,171 | 0.35 | 0.39 | 1.70 | 17 |
2015 | 10.66 | 0.16 | (0.48) | (0.32) | (0.13) | (1.33) | (1.46) | 8.88 | (2.91) | 707,698 | 0.28 | 0.31 | 1.46 | 110(4) |
MyDestination 2035 Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2019 | $8.65 | $0.24 | $1.70 | $1.94 | $(0.24) | $(0.13) | $(0.37) | $10.22 | 22.47% | $266,012 | 0.13% | 0.13% | 2.41% | 4% |
2018 | 9.95 | 0.15 | (0.80) | (0.65) | (0.29) | (0.36) | (0.65) | 8.65 | (6.56) | 173,573 | 0.13 | 0.14 | 1.54 | 50 |
2017(3) | 9.29 | 0.13 | 0.93 | 1.06 | (0.07) | (0.33) | (0.40) | 9.95 | 11.51 | 152,421 | 0.15 | 0.15 | 1.99 | 35 |
Investor Class | ||||||||||||||
2019 | $8.65 | $0.20 | $1.72 | $1.92 | $(0.22) | $(0.13) | $(0.35) | $10.22 | 22.16% | $662,810 | 0.39% | 0.39% | 2.01% | 4% |
2018 | 9.96 | 0.12 | (0.80) | (0.68) | (0.27) | (0.36) | (0.63) | 8.65 | (6.89) | 514,670 | 0.38 | 0.39 | 1.25 | 50 |
2017 | 8.72 | 0.11 | 1.51 | 1.62 | (0.05) | (0.33) | (0.38) | 9.96 | 18.66 | 498,807 | 0.38 | 0.39 | 1.16 | 35 |
2016 | 8.36 | 0.14 | 0.57 | 0.71 | (0.07) | (0.28) | (0.35) | 8.72 | 8.38 | 479,051 | 0.35 | 0.40 | 1.65 | 16 |
2015 | 10.49 | 0.15 | (0.62) | (0.47) | (0.12) | (1.54) | (1.66) | 8.36 | (4.30) | 391,279 | 0.28 | 0.32 | 1.41 | 120(4) |
# | 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 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 0.44%, 0.41%, 0.36%, 0.34% and 0.34%, respectively for 2019, and are deducted from the value of the funds in which each Fund invests and is included in each Fund’s total return. |
(3) | 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. |
(4) | 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. |
Table of Contents
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) | Realized and Unrealized Gain (Loss) on Investments | Total Income From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions Paid | Net Asset Value, End of Year | Total Return | Net Assets, End of Year (000) | Expenses, Net(2) | Expenses, Gross(2) | Investment Income, Net (1) | Portfolio Turnover Rate | |
MyDestination 2045 Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2019 | $8.21 | $0.22 | $1.79 | $2.01 | $(0.22) | $(0.13) | $(0.35) | $9.87 | 24.56% | $230,295 | 0.13% | 0.13% | 2.31% | 4% |
2018 | 9.60 | 0.13 | (0.84) | (0.71) | (0.26) | (0.42) | (0.68) | 8.21 | (7.50) | 160,533 | 0.14 | 0.15 | 1.36 | 58 |
2017(3) | 8.90 | 0.13 | 1.01 | 1.14 | (0.07) | (0.37) | (0.44) | 9.60 | 12.85 | 145,343 | 0.16 | 0.16 | 1.99 | 10 |
Investor Class | ||||||||||||||
2019 | $8.21 | $0.18 | $1.80 | $1.98 | $(0.19) | $(0.13) | $(0.32) | $9.87 | 24.24% | $470,796 | 0.41% | 0.41% | 1.94% | 4% |
2018 | 9.60 | 0.10 | (0.83) | (0.73) | (0.24) | (0.42) | (0.66) | 8.21 | (7.73) | 357,044 | 0.39 | 0.40 | 1.08 | 58 |
2017 | 8.29 | 0.10 | 1.63 | 1.73 | (0.05) | (0.37) | (0.42) | 9.60 | 20.90 | 344,147 | 0.38 | 0.40 | 1.06 | 10 |
2016 | 7.95 | 0.12 | 0.56 | 0.68 | (0.04) | (0.30) | (0.34) | 8.29 | 8.45 | 354,271 | 0.35 | 0.41 | 1.50 | 16 |
2015 | 10.00 | 0.12 | (0.59) | (0.47) | (0.09) | (1.49) | (1.58) | 7.95 | (4.46) | 281,718 | 0.29 | 0.34 | 1.22 | 124(4) |
MyDestination 2055 Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2019 | $11.48 | $0.30 | $2.58 | $2.88 | $(0.30) | $(0.29) | $(0.59) | $13.77 | 25.15% | $77,156 | 0.16% | 0.20% | 2.26% | 10% |
2018 | 13.45 | 0.19 | (1.23) | (1.04) | (0.31) | (0.62) | (0.93) | 11.48 | (7.77) | 54,326 | 0.18 | 0.24 | 1.40 | 62 |
2017(3) | 12.43 | 0.18 | 1.47 | 1.65 | (0.02) | (0.61) | (0.63) | 13.45 | 13.33 | 38,161 | 0.20 | 0.33 | 2.04 | 9 |
Investor Class | ||||||||||||||
2019 | $11.47 | $0.27 | $2.58 | $2.85 | $(0.27) | $(0.29) | $(0.56) | $13.76 | 24.92% | $143,473 | 0.41% | 0.44% | 2.03% | 10% |
2018 | 13.45 | 0.15 | (1.22) | (1.07) | (0.29) | (0.62) | (0.91) | 11.47 | (8.02) | 94,392 | 0.39 | 0.49 | 1.08 | 62 |
2017 | 11.56 | 0.14 | 2.37 | 2.51 | (0.01) | (0.61) | (0.62) | 13.45 | 21.73 | 78,024 | 0.38 | 0.55 | 1.12 | 9 |
2016 | 11.05 | 0.18 | 0.80 | 0.98 | (0.13) | (0.34) | (0.47) | 11.56 | 8.81 | 62,973 | 0.35 | 0.65 | 1.62 | 27 |
2015 | 12.60 | 0.16 | (0.73) | (0.57) | (0.13) | (0.85) | (0.98) | 11.05 | (4.48) | 38,465 | 0.30 | 0.65 | 1.29 | 124(4) |
# | 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 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 0.44%, 0.41%, 0.36%, 0.34% and 0.34%, respectively for 2019, and are deducted from the value of the funds in which each Fund invests and is included in each Fund’s total return. |
(3) | 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. |
(4) | 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. |
Table of Contents
% | |
Fixed Income Select Funds | 65.4 |
U.S. Equity Select Funds | 20.1 |
Non-U.S. Equity Select Funds | 8.5 |
Alternative Select Funds | 4.9 |
Real Assets Select Funds | 1.2 |
U.S. Treasury Obligation | —** |
100.1 |
**Rounds to less than 0.1% |
Table of Contents
Average Annual Total Returns as of 12/31/19 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | 11.01% | 10.73% | 11.43% | ||||
Five Year | N/A | 3.64% | 4.20% | ||||
Ten year | N/A | 3.91% | 4.28% | ||||
Since Inception(1) | 4.88% | 3.79% | 4.16% | ||||
Inception Date | 11/23/15 | 08/27/01 | |||||
Total Fund Operating Expenses (April 30, 2019 Prospectus)(2) | 0.69% | 0.92% |
(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 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. |
Table of Contents
Shares | Value | |||
MUTUAL FUNDS — 100.1% | ||||
GuideStone Money Market Fund, 1.53% (Institutional Class)Ø∞ | 7,507,672 | $7,507,672 | ||
GuideStone Low-Duration Bond Fund (Institutional Class)∞ | 18,891,635 | 253,147,904 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 4,487,596 | 67,538,326 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 1,690,207 | 16,918,976 | ||
GuideStone Defensive Market Strategies Fund (Institutional Class)∞ | 2,942,078 | 39,041,380 | ||
GuideStone Value Equity Fund (Institutional Class)∞ | 1,593,932 | 30,316,592 | ||
GuideStone Growth Equity Fund (Institutional Class)∞ | 1,158,493 | 30,387,261 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 379,632 | 5,967,819 | ||
GuideStone International Equity Fund (Institutional Class)∞ | 2,511,418 | 34,607,337 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 962,772 | 9,810,642 |
Shares | Value | |||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 621,140 | $6,341,837 | ||
GuideStone Strategic Alternatives Fund (Institutional Class)∞ | 2,561,214 | 25,945,094 | ||
Total Mutual Funds (Cost $520,925,536) | 527,530,840 |
Par | |||
U.S. TREASURY OBLIGATION — 0.0% | |||
U.S. Treasury Bill | |||
1.52%, 05/07/20Ω‡‡ (Cost $99,462) | $100,000 | 99,468 | |
TOTAL INVESTMENTS —100.1% (Cost $521,024,998) | 527,630,308 | ||
Liabilities in Excess of Other Assets — (0.1)% | (276,018) | ||
NET ASSETS — 100.0% | $527,354,290 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
2-Year U.S. Treasury Note | 03/2020 | 35 | $7,542,500 | $474 | ||||
MSCI EAFE Index E-Mini | 03/2020 | 5 | 509,125 | (434) | ||||
MSCI Emerging Markets E-mini | 03/2020 | 3 | 168,030 | 4,732 | ||||
S&P 500® E-Mini | 03/2020 | 6 | 969,330 | 18,041 | ||||
Total Futures Contracts outstanding at December 31, 2019 | $9,188,985 | $22,813 |
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Mutual Funds | $527,530,840 | $527,530,840 | $— | $— | |||
U.S. Treasury Obligation | 99,468 | — | 99,468 | — | |||
Total Assets - Investments in Securities | $527,630,308 | $527,530,840 | $99,468 | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $23,247 | $23,247 | $— | $— | |||
Total Assets - Other Financial Instruments | $23,247 | $23,247 | $ — | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $(434) | $(434) | $— | $— | |||
Total Liabilities - Other Financial Instruments | $(434) | $(434) | $ — | $ — |
*** | 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. |
Table of Contents
% | |
Fixed Income Select Funds | 44.1 |
U.S. Equity Select Funds | 34.1 |
Non-U.S. Equity Select Funds | 15.9 |
Alternative Select Funds | 3.8 |
Real Assets Select Funds | 2.0 |
U.S. Treasury Obligation | 0.1 |
100.0 |
Table of Contents
Average Annual Total Returns as of 12/31/19 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | 17.62% | 17.33% | 18.35% | ||||
Five Year | N/A | 5.31% | 6.07% | ||||
Ten year | N/A | 6.43% | 7.12% | ||||
Since Inception(1) | 7.21% | 5.48% | 6.05% | ||||
Inception Date | 11/23/15 | 08/27/01 | |||||
Total Fund Operating Expenses (April 30, 2019 Prospectus)(2) | 0.76% | 1.01% |
(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 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. |
Table of Contents
Shares | Value | |||
MUTUAL FUNDS — 99.9% | ||||
GuideStone Money Market Fund, 1.53% (Institutional Class)Ø∞ | 32,552,864 | $32,552,864 | ||
GuideStone Low-Duration Bond Fund (Institutional Class)∞ | 7,532,647 | 100,937,463 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 24,817,344 | 373,501,032 | ||
GuideStone Extended-Duration Bond Fund (Institutional Class)∞ | 3,714,167 | 67,709,271 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 13,706,689 | 137,203,956 | ||
GuideStone Defensive Market Strategies Fund (Institutional Class)∞ | 12,533,572 | 166,320,499 | ||
GuideStone Value Equity Fund (Institutional Class)∞ | 9,113,477 | 173,338,330 | ||
GuideStone Growth Equity Fund (Institutional Class)∞ | 6,800,767 | 178,384,124 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 2,205,230 | 34,666,221 | ||
GuideStone International Equity Fund (Institutional Class)∞ | 14,400,190 | 198,434,619 |
Shares | Value | |||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 5,627,297 | $57,342,152 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 3,231,076 | 32,989,282 | ||
GuideStone Strategic Alternatives Fund (Institutional Class)∞ | 6,070,126 | 61,490,380 | ||
Total Mutual Funds (Cost $1,602,623,365) | 1,614,870,193 |
Par | |||
U.S. TREASURY OBLIGATION — 0.1% | |||
U.S. Treasury Bill | |||
1.52%, 05/07/20Ω‡‡ (Cost $994,616) | $1,000,000 | 994,685 | |
TOTAL INVESTMENTS —100.0% (Cost $1,603,617,981) | 1,615,864,878 | ||
Liabilities in Excess of Other Assets — (0.0)% | (278,051) | ||
NET ASSETS — 100.0% | $1,615,586,827 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
10-Year U.S. Treasury Note | 03/2020 | 22 | $2,825,281 | $(24,100) | ||||
MSCI EAFE Index E-Mini | 03/2020 | 47 | 4,785,775 | 14,635 | ||||
MSCI Emerging Markets E-mini | 03/2020 | 27 | 1,512,270 | 52,110 | ||||
S&P 500® E-Mini | 03/2020 | 60 | 9,693,300 | 180,409 | ||||
U.S. Treasury Long Bond | 03/2020 | 21 | 3,274,031 | (66,975) | ||||
5-Year U.S. Treasury Note | 03/2020 | 46 | 5,456,031 | (17,306) | ||||
Total Futures Contracts outstanding at December 31, 2019 | $27,546,688 | $138,773 |
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Mutual Funds | $1,614,870,193 | $1,614,870,193 | $— | $— | |||
U.S. Treasury Obligation | 994,685 | — | 994,685 | — | |||
Total Assets - Investments in Securities | $1,615,864,878 | $1,614,870,193 | $994,685 | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $247,154 | $247,154 | $— | $— | |||
Total Assets - Other Financial Instruments | $247,154 | $247,154 | $ — | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $(108,381) | $(108,381) | $— | $— | |||
Total Liabilities - Other Financial Instruments | $(108,381) | $(108,381) | $ — | $ — |
*** | 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. |
Table of Contents
% | |
U.S. Equity Select Funds | 46.2 |
Non-U.S. Equity Select Funds | 27.9 |
Fixed Income Select Funds | 20.5 |
Real Assets Select Funds | 3.0 |
Alternative Select Funds | 2.3 |
U.S. Treasury Obligation | 0.1 |
100.0 |
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Average Annual Total Returns as of 12/31/19 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | 22.62% | 22.33% | 22.94% | ||||
Five Year | N/A | 6.68% | 7.35% | ||||
Ten year | N/A | 7.94% | 8.50% | ||||
Since Inception(1) | 8.85% | 5.88% | 6.49% | ||||
Inception Date | 11/23/15 | 08/27/01 | |||||
Total Fund Operating Expenses (April 30, 2019 Prospectus)(2) | 0.87% | 1.12% |
(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 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. |
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Shares | Value | |||
MUTUAL FUNDS — 99.9% | ||||
GuideStone Money Market Fund, 1.53% (Institutional Class)Ø∞ | 24,106,367 | $24,106,367 | ||
GuideStone Low-Duration Bond Fund (Institutional Class)∞ | 2,597,917 | 34,812,088 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 8,440,640 | 127,031,634 | ||
GuideStone Extended-Duration Bond Fund (Institutional Class)∞ | 1,263,126 | 23,026,790 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 4,625,666 | 46,302,914 | ||
GuideStone Defensive Market Strategies Fund (Institutional Class)∞ | 4,313,665 | 57,242,332 | ||
GuideStone Value Equity Fund (Institutional Class)∞ | 12,397,607 | 235,802,477 | ||
GuideStone Growth Equity Fund (Institutional Class)∞ | 9,048,743 | 237,348,535 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 2,960,672 | 46,541,762 | ||
GuideStone International Equity Fund (Institutional Class)∞ | 19,648,510 | 270,756,472 |
Shares | Value | |||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 7,554,354 | $76,978,868 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 3,679,992 | 37,572,722 | ||
GuideStone Strategic Alternatives Fund (Institutional Class)∞ | 2,856,561 | 28,936,962 | ||
Total Mutual Funds (Cost $1,266,826,882) | 1,246,459,923 |
Par | |||
U.S. TREASURY OBLIGATION — 0.1% | |||
U.S. Treasury Bill | |||
1.52%, 05/07/20Ω‡‡ (Cost $895,155) | $900,000 | 895,216 | |
TOTAL INVESTMENTS —100.0% (Cost $1,267,722,037) | 1,247,355,139 | ||
Other Assets in Excess of Liabilities — 0.0% | 76,508 | ||
NET ASSETS — 100.0% | $1,247,431,647 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
10-Year U.S. Treasury Note | 03/2020 | 8 | $1,027,375 | $(8,799) | ||||
MSCI EAFE Index E-Mini | 03/2020 | 57 | 5,804,025 | 17,445 | ||||
MSCI Emerging Markets E-Mini | 03/2020 | 31 | 1,736,310 | 56,212 | ||||
S&P 500® E-Mini | 03/2020 | 71 | 11,470,405 | 198,612 | ||||
U.S. Treasury Long Bond | 03/2020 | 8 | 1,247,250 | (20,981) | ||||
5-Year U.S. Treasury Note | 03/2020 | 18 | 2,134,969 | (6,179) | ||||
Total Futures Contracts outstanding at December 31, 2019 | $23,420,334 | $236,310 |
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Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Mutual Funds | $1,246,459,923 | $1,246,459,923 | $— | $— | |||
U.S. Treasury Obligation | 895,216 | — | 895,216 | — | |||
Total Assets - Investments in Securities | $1,247,355,139 | $1,246,459,923 | $895,216 | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $272,269 | $272,269 | $— | $— | |||
Total Assets - Other Financial Instruments | $272,269 | $272,269 | $ — | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $(35,959) | $(35,959) | $— | $— | |||
Total Liabilities - Other Financial Instruments | $(35,959) | $(35,959) | $ — | $ — |
*** | 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. |
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% | |
U.S. Equity Select Funds | 59.1 |
Non-U.S. Equity Select Funds | 39.1 |
Fixed Income Select Funds | 1.8 |
U.S. Treasury Obligation | 0.1 |
100.1 |
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Average Annual Total Returns as of 12/31/19 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | 27.25% | 26.86% | 27.17% | ||||
Five Year | N/A | 8.23% | 8.98% | ||||
Ten year | N/A | 9.61% | 10.21% | ||||
Since Inception(1) | 10.25% | 6.25% | 7.01% | ||||
Inception Date | 11/23/15 | 08/27/01 | |||||
Total Fund Operating Expenses (April 30, 2019 Prospectus)(2) | 0.97% | 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 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. |
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Shares | Value | |||
MUTUAL FUNDS — 100.0% | ||||
GuideStone Money Market Fund, 1.53% (Institutional Class)Ø∞ | 18,929,563 | $18,929,563 | ||
GuideStone Value Equity Fund (Institutional Class)∞ | 15,124,310 | 287,664,375 | ||
GuideStone Growth Equity Fund (Institutional Class)∞ | 11,169,797 | 292,983,780 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 3,653,930 | 57,439,783 | ||
GuideStone International Equity Fund (Institutional Class)∞ | 23,824,219 | 328,297,732 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 9,241,598 | 94,171,880 | ||
Total Mutual Funds (Cost $1,116,124,209) | 1,079,487,113 |
Par | Value | |||
U.S. TREASURY OBLIGATION — 0.1% | ||||
U.S. Treasury Bill | ||||
1.52%, 05/07/20Ω‡‡ (Cost $1,094,078) | $1,100,000 | $1,094,153 | ||
TOTAL INVESTMENTS —100.1% (Cost $1,117,218,287) | 1,080,581,266 | |||
Liabilities in Excess of Other Assets — (0.1)% | (607,045) | |||
NET ASSETS — 100.0% | $1,079,974,221 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index E-Mini | 03/2020 | 60 | $6,109,500 | $15,647 | ||||
MSCI Emerging Markets E-Mini | 03/2020 | 31 | 1,736,310 | 54,190 | ||||
S&P 500® E-Mini | 03/2020 | 72 | 11,631,960 | 206,576 | ||||
Total Futures Contracts outstanding at December 31, 2019 | $19,477,770 | $276,413 |
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Mutual Funds | $1,079,487,113 | $1,079,487,113 | $— | $— | |||
U.S. Treasury Obligation | 1,094,153 | — | 1,094,153 | — | |||
Total Assets - Investments in Securities | $1,080,581,266 | $1,079,487,113 | $1,094,153 | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $276,413 | $276,413 | $— | $— | |||
Total Assets - Other Financial Instruments | $276,413 | $276,413 | $ — | $ — |
*** | 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. |
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STATEMENTS OF ASSETS AND LIABILITIES | December 31, 2019 |
Conservative Allocation Fund | Balanced Allocation Fund | Growth Allocation Fund | Aggressive Allocation Fund | ||||
Assets | |||||||
Investments in securities of unaffiliated issuers, at value | $99,468 | $994,685 | $895,216 | $1,094,153 | |||
Investments in securities of affiliated issuers, at value | 527,530,840 | 1,614,870,193 | 1,246,459,923 | 1,079,487,113 | |||
Total investments, at value(1) | 527,630,308 | 1,615,864,878 | 1,247,355,139 | 1,080,581,266 | |||
Receivables: | |||||||
Dividends from affiliated funds | 8,685 | 40,258 | 29,398 | 24,331 | |||
Fund shares sold | 40,910 | 145,037 | 344,035 | 85,470 | |||
Variation margin on futures contracts | 6,966 | 40,552 | 57,163 | 63,125 | |||
Prepaid expenses and other assets | 13,706 | 22,885 | 16,636 | 13,577 | |||
Total Assets | 527,700,575 | 1,616,113,610 | 1,247,802,371 | 1,080,767,769 | |||
Liabilities | |||||||
Cash Overdraft | — | — | — | 716 | |||
Payables: | |||||||
Fund shares redeemed | 163,364 | 30,362 | 4,953 | 487,829 | |||
Accrued expenses: | |||||||
Investment advisory fees | 44,451 | 135,365 | 103,785 | 89,469 | |||
Shareholder servicing fees | 87,756 | 259,237 | 194,368 | 174,007 | |||
Trustee fees | 1,992 | 1,349 | 913 | 684 | |||
Other expenses | 48,722 | 100,470 | 66,705 | 40,843 | |||
Total Liabilities | 346,285 | 526,783 | 370,724 | 793,548 | |||
Net Assets | $527,354,290 | $1,615,586,827 | $1,247,431,647 | $1,079,974,221 | |||
Net Assets Consist of: | |||||||
Paid-in-capital | $516,820,455 | $1,579,648,842 | $1,230,826,209 | $1,068,036,843 | |||
Distributable earnings (loss) | 10,533,835 | 35,937,985 | 16,605,438 | 11,937,378 | |||
Net Assets | $527,354,290 | $1,615,586,827 | $1,247,431,647 | $1,079,974,221 | |||
Net Asset Value: | |||||||
$0.001 par value, unlimited shares authorized | |||||||
Net assets applicable to the Institutional Class | $111,611,437 | $377,831,973 | $312,346,717 | $239,577,528 | |||
Institutional shares outstanding | 9,688,379 | 30,991,226 | 25,367,579 | 19,969,885 | |||
Net asset value, offering and redemption price per Institutional share | $11.52 | $12.19 | $12.31 | $12.00 | |||
Net assets applicable to the Investor Class | $415,742,853 | $1,237,754,854 | $935,084,930 | $840,396,693 | |||
Investor shares outstanding | 36,093,969 | 101,546,026 | 75,989,627 | 70,322,412 | |||
Net asset value, offering and redemption price per Investor share | $11.52 | $12.19 | $12.31 | $11.95 | |||
(1)Investments in securities of unaffiliated issuers, at cost | $99,462 | $994,616 | $895,155 | $1,094,078 | |||
Investments in securities of affiliated issuers, at cost | 520,925,536 | 1,602,623,365 | 1,266,826,882 | 1,116,124,209 | |||
Total investments, at cost | $521,024,998 | $1,603,617,981 | $1,267,722,037 | $1,117,218,287 |
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STATEMENTS OF OPERATIONS | For the Year Ended December 31, 2019 |
Conservative Allocation Fund | Balanced Allocation Fund | Growth Allocation Fund | Aggressive Allocation Fund | ||||
Investment Income | |||||||
Dividends | $48 | $1,537 | $2,079 | $734 | |||
Income distributions received from affiliated funds | 11,646,172 | 34,042,331 | 22,772,960 | 15,380,604 | |||
Interest | 2,870 | 23,622 | 29,611 | 29,390 | |||
Total Investment Income | 11,649,090 | 34,067,490 | 22,804,650 | 15,410,728 | |||
Expenses | |||||||
Investment advisory fees | 514,103 | 1,557,451 | 1,191,220 | 1,015,377 | |||
Transfer agent fees: | |||||||
Institutional shares | 3,634 | 3,857 | 3,611 | 3,552 | |||
Investor shares | 32,194 | 52,643 | 39,380 | 32,671 | |||
Custodian fees | 18,344 | 39,664 | 36,027 | 29,897 | |||
Shareholder servicing fees: | |||||||
Investor shares | 1,038,626 | 3,039,878 | 2,277,781 | 2,012,745 | |||
Accounting and administration fees | 22,675 | 68,693 | 52,539 | 44,783 | |||
Professional fees | 72,170 | 89,754 | 82,522 | 79,071 | |||
Shareholder reporting fees: | |||||||
Institutional shares | 226 | 394 | 261 | 172 | |||
Investor shares | 14,198 | 23,522 | 17,447 | 14,401 | |||
Trustees expenses | 12,925 | 17,994 | 13,684 | 11,449 | |||
Line of credit facility fees | 10,899 | 17,676 | 12,855 | 10,114 | |||
Other expenses | 22,625 | 75,322 | 62,245 | 51,716 | |||
Total Expenses | 1,762,619 | 4,986,848 | 3,789,572 | 3,305,948 | |||
Net Investment Income | 9,886,471 | 29,080,642 | 19,015,078 | 12,104,780 | |||
Realized and Unrealized Gain (Loss) | |||||||
Capital gain distributions received from affiliated funds | 9,759,253 | 53,264,322 | 57,771,930 | 64,401,858 | |||
Net realized loss on investment securities of affiliated issuers | (1,991,435) | (11,303,756) | (12,414,940) | (9,760,868) | |||
Net realized gain on futures transactions | 319,497 | 3,338,210 | 2,715,714 | 2,584,657 | |||
Net realized gain | 8,087,315 | 45,298,776 | 48,072,704 | 57,225,647 | |||
Change in unrealized appreciation (depreciation) on investment securities of affiliated issuers | 34,219,735 | 172,350,552 | 170,170,912 | 167,970,589 | |||
Change in unrealized appreciation (depreciation) on investment securities of unaffiliated issuers | (23) | (166) | (189) | (219) | |||
Change in unrealized appreciation (depreciation) on futures | 63,520 | 395,756 | 717,200 | 953,003 | |||
Net change in unrealized appreciation (depreciation) | 34,283,232 | 172,746,142 | 170,887,923 | 168,923,373 | |||
Net Realized and Unrealized Gain | 42,370,547 | 218,044,918 | 218,960,627 | 226,149,020 | |||
Net Increase in Net Assets Resulting from Operations | $52,257,018 | $247,125,560 | $237,975,705 | $238,253,800 |
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STATEMENTS OF CHANGES IN NET ASSETS |
Conservative Allocation Fund | Balanced Allocation Fund | ||||||
For the Year Ended | For the Year Ended | ||||||
12/31/19 | 12/31/18 | 12/31/19 | 12/31/18 | ||||
Operations: | |||||||
Net investment income | $9,886,471 | $9,281,324 | $29,080,642 | $27,344,795 | |||
Net realized gain on investment securities and futures transactions | 8,087,315 | 13,521,251 | 45,298,776 | 75,823,197 | |||
Net change in unrealized appreciation (depreciation) on investment securities and futures | 34,283,232 | (33,102,035) | 172,746,142 | (177,957,127) | |||
Net increase (decrease) in net assets resulting from operations | 52,257,018 | (10,299,460) | 247,125,560 | (74,789,135) | |||
Distributions to Shareholders: | |||||||
Institutional shares | (5,095,548) | (2,972,759) | (24,389,522) | (13,477,706) | |||
Investor shares | (18,041,539) | (12,862,446) | (76,908,025) | (49,835,500) | |||
Total distributions | (23,137,087) | (15,835,205) | (101,297,547) | (63,313,206) | |||
Capital Share Transactions: | |||||||
Proceeds from shares sold | |||||||
Institutional shares | 26,042,462 | 16,045,556 | 73,921,673 | 15,120,577 | |||
Investor shares | 47,469,039 | 45,071,229 | 57,180,119 | 45,373,813 | |||
Reinvestment of dividends and distributions | |||||||
Institutional shares | 5,077,191 | 2,959,667 | 24,290,995 | 13,403,701 | |||
Investor shares | 18,032,064 | 12,839,159 | 76,871,367 | 49,814,872 | |||
Total proceeds from shares sold and reinvested | 96,620,756 | 76,915,611 | 232,264,154 | 123,712,963 | |||
Value of shares redeemed | |||||||
Institutional shares | (11,877,607) | (12,430,684) | (46,362,952) | (38,100,646) | |||
Investor shares | (79,429,062) | (58,396,787) | (177,611,078) | (100,441,597) | |||
Total value of shares redeemed | (91,306,669) | (70,827,471) | (223,974,030) | (138,542,243) | |||
Net increase (decrease) from capital share transactions(1) | 5,314,087 | 6,088,140 | 8,290,124 | (14,829,280) | |||
Total increase (decrease) in net assets | 34,434,018 | (20,046,525) | 154,118,137 | (152,931,621) | |||
Net Assets: | |||||||
Beginning of Year | 492,920,272 | 512,966,797 | 1,461,468,690 | 1,614,400,311 | |||
End of Year | $527,354,290 | $492,920,272 | $1,615,586,827 | $1,461,468,690 |
(1) | See Note 6 in Notes to Financial Statements. |
Table of Contents
Growth Allocation Fund | Aggressive Allocation Fund | |||||
For the Year Ended | For the Year Ended | |||||
12/31/19 | 12/31/18 | 12/31/19 | 12/31/18 | |||
$19,015,078 | $17,243,746 | $12,104,780 | $10,350,533 | |||
48,072,704 | 98,545,323 | 57,225,647 | 113,880,286 | |||
170,887,923 | (205,234,045) | 168,923,373 | (226,239,328) | |||
237,975,705 | (89,444,976) | 238,253,800 | (102,008,509) | |||
(28,008,711) | (10,661,534) | (26,653,779) | (6,776,974) | |||
(81,549,805) | (34,763,236) | (91,797,764) | (28,239,358) | |||
(109,558,516) | (45,424,770) | (118,451,543) | (35,016,332) | |||
41,999,339 | 7,299,692 | 45,256,536 | 5,814,021 | |||
39,313,198 | 33,074,873 | 30,691,082 | 26,325,550 | |||
27,969,231 | 10,644,712 | 26,641,062 | 6,774,126 | |||
81,515,470 | 34,754,218 | 91,783,316 | 28,234,382 | |||
190,797,238 | 85,773,495 | 194,371,996 | 67,148,079 | |||
(30,570,472) | (22,129,719) | (21,076,702) | (16,481,653) | |||
(138,835,487) | (83,535,607) | (122,548,098) | (64,716,255) | |||
(169,405,959) | (105,665,326) | (143,624,800) | (81,197,908) | |||
21,391,279 | (19,891,831) | 50,747,196 | (14,049,829) | |||
149,808,468 | (154,761,577) | 170,549,453 | (151,074,670) | |||
1,097,623,179 | 1,252,384,756 | 909,424,768 | 1,060,499,438 | |||
$1,247,431,647 | $1,097,623,179 | $1,079,974,221 | $909,424,768 |
Table of Contents
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) | Realized and Unrealized Gain (Loss) on Investments | Total Income From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions Paid | Net Asset Value, End of Year | Total Return | Net Assets, End of Year (000) | Expenses, Net(2) | Expenses, Gross(2) | Investment Income, Net (1) | Portfolio Turnover Rate | |
Conservative Allocation Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2019 | $10.87 | $0.25 | $0.95 | $1.20 | $(0.27) | $(0.28) | $(0.55) | $11.52 | 11.01% | $111,611 | 0.13% | 0.13% | 2.19% | 7% |
2018 | 11.47 | 0.23 | (0.45) | (0.22) | (0.37) | (0.01) | (0.38) | 10.87 | (1.90) | 87,409 | 0.17 | 0.17 | 2.01 | 12 |
2017 | 10.88 | 0.16 | 0.64 | 0.80 | (0.05) | (0.16) | (0.21) | 11.47 | 7.33 | 85,482 | 0.19 | 0.19 | 1.40 | 19 |
2016 | 10.62 | 0.18 | 0.35 | 0.53 | (0.13) | (0.14) | (0.27) | 10.88 | 5.07 | 75,333 | 0.14 | 0.15 | 1.61 | 5 |
2015(3) | 11.51 | 0.05 | (0.17) | (0.12) | (0.12) | (0.65) | (0.77) | 10.62 | (0.99) | 70,895 | 0.18 | 0.20 | 4.36 | 92(4) |
Investor Class | ||||||||||||||
2019 | $10.87 | $0.21 | $0.96 | $1.17 | $(0.24) | $(0.28) | $(0.52) | $11.52 | 10.73% | $415,743 | 0.39% | 0.39% | 1.86% | 7% |
2018 | 11.47 | 0.20 | (0.44) | (0.24) | (0.35) | (0.01) | (0.36) | 10.87 | (2.13) | 405,512 | 0.40 | 0.40 | 1.76 | 12 |
2017 | 10.88 | 0.13 | 0.64 | 0.77 | (0.02) | (0.16) | (0.18) | 11.47 | 7.11 | 427,485 | 0.42 | 0.42 | 1.19 | 19 |
2016 | 10.62 | 0.15 | 0.36 | 0.51 | (0.11) | (0.14) | (0.25) | 10.88 | 4.82 | 306,300 | 0.39 | 0.42 | 1.36 | 5 |
2015 | 11.59 | 0.14 | (0.34) | (0.20) | (0.12) | (0.65) | (0.77) | 10.62 | (1.69) | 294,997 | 0.27 | 0.33 | 1.22 | 92(4) |
Balanced Allocation Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2019 | $11.07 | $0.26 | $1.69 | $1.95 | $(0.29) | $(0.54) | $(0.83) | $12.19 | 17.62% | $377,832 | 0.12% | 0.12% | 2.12% | 9% |
2018 | 12.16 | 0.23 | (0.80) | (0.57) | (0.49) | (0.03) | (0.52) | 11.07 | (4.63) | 296,530 | 0.13 | 0.13 | 1.93 | 13 |
2017 | 11.09 | 0.19 | 1.20 | 1.39 | (0.16) | (0.16) | (0.32) | 12.16 | 12.57 | 334,114 | 0.12 | 0.13 | 1.57 | 19 |
2016 | 10.70 | 0.22 | 0.56 | 0.78 | (0.08) | (0.31) | (0.39) | 11.09 | 7.27 | 326,164 | 0.11 | 0.13 | 1.97 | 4 |
2015(3) | 12.67 | 0.09 | (0.32) | (0.23) | (0.16) | (1.58) | (1.74) | 10.70 | (1.73) | 332,327 | 0.12 | 0.14 | 7.28 | 95(4) |
Investor Class | ||||||||||||||
2019 | $11.07 | $0.22 | $1.70 | $1.92 | $(0.26) | $(0.54) | $(0.80) | $12.19 | 17.33% | $1,237,755 | 0.38% | 0.38% | 1.79% | 9% |
2018 | 12.16 | 0.20 | (0.80) | (0.60) | (0.46) | (0.03) | (0.49) | 11.07 | (4.89) | 1,164,939 | 0.38 | 0.38 | 1.68 | 13 |
2017 | 11.09 | 0.16 | 1.20 | 1.36 | (0.13) | (0.16) | (0.29) | 12.16 | 12.30 | 1,280,286 | 0.37 | 0.38 | 1.34 | 19 |
2016 | 10.70 | 0.19 | 0.56 | 0.75 | (0.05) | (0.31) | (0.36) | 11.09 | 7.00 | 1,156,865 | 0.37 | 0.38 | 1.71 | 4 |
2015 | 12.89 | 0.20 | (0.65) | (0.45) | (0.16) | (1.58) | (1.74) | 10.70 | (3.43) | 1,191,878 | 0.28 | 0.30 | 1.56 | 95(4) |
# | 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 0.52%, 0.63%, 0.74% and 0.83%, respectively for 2019, and are deducted from the value of the funds in which each Fund invests and is included in each Fund’s total return. |
(3) | 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. |
(4) | 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. |
Table of Contents
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) | Realized and Unrealized Gain (Loss) on Investments | Total Income From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions Paid | Net Asset Value, End of Year | Total Return | Net Assets, End of Year (000) | Expenses, Net(2) | Expenses, Gross(2) | Investment Income, Net (1) | Portfolio Turnover Rate | |
Growth Allocation Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2019 | $11.02 | $0.23 | $2.25 | $2.48 | $(0.22) | $(0.97) | $(1.19) | $12.31 | 22.62% | $312,347 | 0.12% | 0.12% | 1.86% | 10% |
2018 | 12.43 | 0.20 | (1.11) | (0.91) | (0.46) | (0.04) | (0.50) | 11.02 | (7.32) | 244,900 | 0.13 | 0.13 | 1.60 | 9 |
2017 | 10.97 | 0.17 | 1.90 | 2.07 | (0.11) | (0.50) | (0.61) | 12.43 | 18.94 | 279,148 | 0.13 | 0.13 | 1.38 | 17 |
2016 | 10.83 | 0.19 | 0.61 | 0.80 | (0.10) | (0.56) | (0.66) | 10.97 | 7.34 | 244,873 | 0.12 | 0.13 | 1.72 | 4 |
2015(3) | 13.23 | 0.11 | (0.44) | (0.33) | (0.14) | (1.93) | (2.07) | 10.83 | (2.36) | 247,746 | 0.14 | 0.14 | 8.37 | 97(4) |
Investor Class | ||||||||||||||
2019 | $11.02 | $0.19 | $2.26 | $2.45 | $(0.19) | $(0.97) | $(1.16) | $12.31 | 22.33% | $935,085 | 0.38% | 0.38% | 1.51% | 10% |
2018 | 12.42 | 0.17 | (1.10) | (0.93) | (0.43) | (0.04) | (0.47) | 11.02 | (7.50) | 852,723 | 0.38 | 0.38 | 1.35 | 9 |
2017 | 10.97 | 0.14 | 1.89 | 2.03 | (0.08) | (0.50) | (0.58) | 12.42 | 18.59 | 973,237 | 0.37 | 0.37 | 1.14 | 17 |
2016 | 10.83 | 0.16 | 0.61 | 0.77 | (0.07) | (0.56) | (0.63) | 10.97 | 7.08 | 842,779 | 0.38 | 0.39 | 1.46 | 4 |
2015 | 13.43 | 0.17 | (0.71) | (0.54) | (0.13) | (1.93) | (2.06) | 10.83 | (3.83) | 867,203 | 0.29 | 0.30 | 1.26 | 97(4) |
Aggressive Allocation Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2019 | $10.61 | $0.18 | $2.69 | $2.87 | $(0.15) | $(1.33) | $(1.48) | $12.00 | 27.25% | $239,577 | 0.12% | 0.12% | 1.48% | 9% |
2018 | 12.28 | 0.15 | (1.37) | (1.22) | (0.40) | (0.05) | (0.45) | 10.61 | (9.95) | 167,013 | 0.14 | 0.14 | 1.18 | 9 |
2017 | 10.48 | 0.12 | 2.58 | 2.70 | (0.13) | (0.77) | (0.90) | 12.28 | 25.88 | 195,991 | 0.14 | 0.14 | 0.98 | 7 |
2016 | 10.77 | 0.14 | 0.57 | 0.71 | — | (1.00) | (1.00) | 10.48 | 6.55 | 166,293 | 0.13 | 0.13 | 1.28 | 2 |
2015(3) | 14.13 | 0.12 | (0.57) | (0.45) | (0.09) | (2.82) | (2.91) | 10.77 | (2.85) | 169,302 | 0.15 | 0.15 | 8.75 | 103(4) |
Investor Class | ||||||||||||||
2019 | $10.58 | $0.14 | $2.68 | $2.82 | $(0.12) | $(1.33) | $(1.45) | $11.95 | 26.86% | $840,397 | 0.38% | 0.38% | 1.12% | 9% |
2018 | 12.24 | 0.12 | (1.36) | (1.24) | (0.37) | (0.05) | (0.42) | 10.58 | (10.15) | 742,412 | 0.38 | 0.38 | 0.94 | 9 |
2017 | 10.46 | 0.09 | 2.57 | 2.66 | (0.11) | (0.77) | (0.88) | 12.24 | 25.49 | 864,508 | 0.38 | 0.38 | 0.75 | 7 |
2016 | 10.77 | 0.10 | 0.59 | 0.69 | — | (1.00) | (1.00) | 10.46 | 6.38 | 708,104 | 0.39 | 0.39 | 0.96 | 2 |
2015 | 14.06 | 0.12 | (0.50) | (0.38) | (0.09) | (2.82) | (2.91) | 10.77 | (2.39) | 797,043 | 0.29 | 0.30 | 0.85 | 103(4) |
# | 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 0.52%, 0.63%, 0.74% and 0.83%, respectively for 2019, and are deducted from the value of the funds in which each Fund invests and is included in each Fund’s total return. |
(3) | 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. |
(4) | 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. |
Table of Contents
% | |
Agency Obligations | 55.7 |
Repurchase Agreements | 30.8 |
U.S. Treasury Obligations | 14.0 |
Money Market Funds | 0.1 |
100.6 |
Table of Contents
Average Annual Total Returns as of 12/31/19 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | 2.13% | 1.85% | 2.21% | ||||
Five Year | 0.99% | 0.78% | 1.02% | ||||
Ten year | 0.54% | 0.40% | 0.55% | ||||
Since Inception | 1.44% | 1.31% | 1.35% | ||||
Inception Date | 08/27/01 | 08/27/01 | |||||
Total Fund Operating Expenses (April 30, 2019 Prospectus)(1) | 0.15% | 0.40% |
Yield as of 12/31/19(2) | |||||
Institutional Class* | Investor Class* | ||||
7-Day Annualized Yield (Net) | 1.53% | 1.29% | |||
7-Day Annualized Yield (Gross) | 1.70% | 1.70% |
(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. |
Table of Contents
Par | Value | |||
AGENCY OBLIGATIONS — 55.7% | ||||
Federal Farm Credit Bank Discount Notes | ||||
2.42%, 01/17/20 | $9,610,000 | $9,599,664 | ||
2.08%, 01/23/20 | 3,140,000 | 3,136,009 | ||
2.08%, 01/29/20 | 2,200,000 | 2,196,441 | ||
2.36%, 02/04/20 | 5,880,000 | 5,866,839 | ||
2.34%, 02/21/20 | 6,055,000 | 6,034,842 | ||
2.02%, 03/03/20 | 5,420,000 | 5,401,144 | ||
2.29%, 03/10/20 | 11,540,000 | 11,489,349 | ||
2.31%, 03/24/20 | 9,480,000 | 9,429,511 | ||
1.79%, 05/14/20 | 285,000 | 283,101 | ||
1.78%, 06/12/20 | 400,000 | 396,776 | ||
1.84%, 06/26/20 | 14,175,000 | 14,046,763 | ||
1.81%, 06/30/20 | 5,005,000 | 4,959,453 | ||
1.76%, 07/07/20 | 285,000 | 282,381 | ||
1.60%, 08/14/20 | 5,505,000 | 5,449,705 | ||
1.60%, 09/28/20 | 3,020,000 | 2,983,626 | ||
Federal Farm Credit Banks Funding Corporation | ||||
(Floating, ICE LIBOR USD 3M - 0.12%), 1.82%, 01/27/20† | 16,100,000 | 16,100,391 | ||
(Floating, ICE LIBOR USD 1M - 0.05%), 1.68%, 02/04/20† | 18,000,000 | 18,000,000 | ||
(Floating, ICE LIBOR USD 1M - 0.05%), 1.66%, 02/07/20† | 13,700,000 | 13,699,986 | ||
(Floating, ICE LIBOR USD 1M - 0.01%), 1.74%, 06/18/20† | 1,685,000 | 1,684,984 | ||
(Floating, ICE LIBOR USD 1M + 0.00%), 1.76%, 06/19/20† | 11,000,000 | 11,002,386 | ||
(Floating, ICE LIBOR USD 1M - 0.05%), 1.69%, 08/17/20† | 4,255,000 | 4,255,000 | ||
(Floating, ICE LIBOR USD 1M - 0.04%), 1.68%, 09/11/20† | 5,475,000 | 5,474,887 | ||
(Floating, ICE LIBOR USD 1M + 0.03%), 1.76%, 12/14/20† | 6,300,000 | 6,299,755 | ||
(Floating, U.S. SOFR + 0.11%), 1.66%, 01/15/21† | 4,515,000 | 4,515,000 | ||
(Floating, ICE LIBOR USD 1M + 0.00%), 1.76%, 03/17/21† | 3,865,000 | 3,864,703 | ||
(Floating, ICE LIBOR USD 1M + 0.05%), 1.78%, 04/16/21† | 7,620,000 | 7,620,000 | ||
(Floating, U.S. Treasury 3M Bill MMY + 0.26%), 1.79%, 06/17/21† | 5,795,000 | 5,794,163 | ||
(Floating, ICE LIBOR USD 1M + 0.16%), 1.94%, 07/01/21† | 4,705,000 | 4,705,000 | ||
(Floating, U.S. Treasury 3M Bill MMY + 0.23%), 1.75%, 07/08/21† | 3,240,000 | 3,240,000 | ||
(Floating, ICE LIBOR USD 1M + 0.10%), 1.84%, 07/16/21† | 5,000,000 | 5,000,000 | ||
(Floating, ICE LIBOR USD 1M + 0.09%), 1.89%, 08/30/21† | 8,000,000 | 8,000,000 | ||
(Floating, ICE LIBOR USD 1M + 0.11%), 1.85%, 11/12/21† | 1,600,000 | 1,600,000 |
Par | Value | |||
(Floating, U.S. SOFR + 0.19%), 1.74%, 11/18/21† | $2,680,000 | $2,680,000 | ||
Federal Home Loan Bank | ||||
(Floating, ICE LIBOR USD 1M - 0.04%), 1.71%, 01/14/20† | 3,175,000 | 3,175,000 | ||
(Floating, U.S. SOFR + 0.01%), 1.56%, 01/17/20† | 6,385,000 | 6,385,000 | ||
(Floating, U.S. SOFR + 0.05%), 1.60%, 01/17/20† | 610,000 | 610,000 | ||
(Floating, U.S. SOFR + 0.05%), 1.60%, 01/17/20† | 5,880,000 | 5,880,000 | ||
(Floating, U.S. SOFR + 0.01%), 1.56%, 01/24/20† | 5,495,000 | 5,495,000 | ||
(Floating, U.S. SOFR + 0.01%), 1.56%, 02/21/20† | 3,325,000 | 3,325,000 | ||
(Floating, ICE LIBOR USD 1M - 0.06%), 1.72%, 02/24/20† | 10,755,000 | 10,755,000 | ||
(Floating, ICE LIBOR USD 1M - 0.04%), 1.75%, 02/25/20† | 5,825,000 | 5,825,000 | ||
(Floating, ICE LIBOR USD 1M - 0.04%), 1.70%, 04/17/20† | 10,825,000 | 10,824,070 | ||
1.56%, 05/01/20 | 8,325,000 | 8,323,535 | ||
1.76%, 05/08/20† | 5,885,000 | 5,885,000 | ||
1.60%, 05/13/20 | 5,400,000 | 5,399,850 | ||
1.59%, 05/14/20 | 3,780,000 | 3,779,685 | ||
(Floating, U.S. SOFR + 0.02%), 1.57%, 05/22/20† | 3,185,000 | 3,185,000 | ||
(Floating, ICE LIBOR USD 1M - 0.02%), 1.77%, 06/01/20† | 13,000,000 | 13,000,000 | ||
(Floating, U.S. SOFR + 0.04%), 1.59%, 06/19/20† | 2,955,000 | 2,955,000 | ||
(Floating, ICE LIBOR USD 1M + 0.01%), 1.72%, 07/10/20† | 11,860,000 | 11,860,000 | ||
(Floating, U.S. SOFR + 0.08%), 1.63%, 07/24/20† | 1,710,000 | 1,710,000 | ||
(Floating, ICE LIBOR USD 1M - 0.03%), 1.70%, 08/04/20† | 3,570,000 | 3,570,000 | ||
(Floating, U.S. SOFR + 0.03%), 1.58%, 08/21/20† | 1,725,000 | 1,725,000 | ||
(Floating, U.S. SOFR + 0.11%), 1.66%, 10/01/20† | 6,460,000 | 6,460,000 | ||
2.63%, 10/01/20 | 3,555,000 | 3,580,636 | ||
(Floating, U.S. SOFR + 0.12%), 1.67%, 10/07/20† | 3,600,000 | 3,600,000 | ||
(Floating, ICE LIBOR USD 3M - 0.13%), 1.80%, 12/21/20† | 8,000,000 | 8,000,000 | ||
(Floating, U.S. SOFR + 0.05%), 1.60%, 01/22/21† | 2,225,000 | 2,225,000 | ||
(Floating, U.S. SOFR + 0.04%), 1.59%, 02/09/21† | 2,160,000 | 2,160,000 | ||
(Floating, U.S. SOFR + 0.12%), 1.67%, 03/12/21† | 5,725,000 | 5,725,000 | ||
(Floating, U.S. SOFR + 0.08%), 1.63%, 07/08/21† | 4,720,000 | 4,720,000 | ||
(Floating, U.S. SOFR + 0.08%), 1.63%, 07/23/21† | 3,035,000 | 3,035,000 |
Table of Contents
Par | Value | |||
(Floating, U.S. SOFR + 0.09%), 1.64%, 09/10/21† | $5,880,000 | $5,880,000 | ||
Federal Home Loan Bank Discount Notes | ||||
1.58%, 01/03/20 | 23,645,000 | 23,642,891 | ||
1.90%, 01/08/20 | 18,315,000 | 18,308,212 | ||
1.66%, 01/10/20 | 6,090,000 | 6,087,442 | ||
1.66%, 01/15/20 | 11,575,000 | 11,567,438 | ||
1.54%, 01/17/20 | 1,080,000 | 1,079,247 | ||
1.62%, 01/21/20 | 10,160,000 | 10,150,659 | ||
1.75%, 01/22/20 | 27,205,000 | 27,176,934 | ||
1.63%, 01/24/20 | 3,275,000 | 3,271,552 | ||
1.55%, 01/31/20 | 7,535,000 | 7,525,173 | ||
1.54%, 02/05/20 | 9,445,000 | 9,430,834 | ||
1.58%, 02/06/20 | 7,420,000 | 7,408,276 | ||
1.65%, 02/07/20 | 18,350,000 | 18,318,569 | ||
1.81%, 02/13/20 | 2,620,000 | 2,614,289 | ||
1.55%, 02/14/20 | 7,785,000 | 7,770,071 | ||
1.55%, 02/19/20 | 4,580,000 | 4,570,219 | ||
1.55%, 02/21/20 | 1,665,000 | 1,661,294 | ||
1.57%, 03/04/20 | 7,455,000 | 7,434,309 | ||
1.58%, 03/11/20 | 2,295,000 | 2,287,927 | ||
1.85%, 03/13/20 | 8,205,000 | 8,174,543 | ||
1.62%, 03/18/20 | 10,890,000 | 10,851,834 | ||
1.88%, 03/20/20 | 16,825,000 | 16,755,218 | ||
1.87%, 03/25/20 | 7,075,000 | 7,043,997 | ||
1.53%, 04/03/20 | 1,560,000 | 1,553,653 | ||
1.59%, 04/06/20 | 4,155,000 | 4,137,383 | ||
1.68%, 04/08/20 | 9,310,000 | 9,267,296 | ||
1.63%, 04/15/20 | 8,190,000 | 8,150,872 | ||
1.61%, 04/24/20 | 4,475,000 | 4,452,072 | ||
1.56%, 05/06/20 | 25,180,000 | 25,041,724 | ||
1.55%, 05/13/20 | 12,770,000 | 12,696,261 | ||
1.56%, 05/20/20 | 7,690,000 | 7,643,078 | ||
1.58%, 06/03/20 | 6,670,000 | 6,624,804 | ||
1.55%, 06/05/20 | 7,470,000 | 7,419,535 | ||
1.56%, 06/25/20 | 5,620,000 | 5,576,863 | ||
1.59%, 06/26/20 | 925,000 | 917,746 | ||
1.58%, 07/06/20 | 2,080,000 | 2,062,875 | ||
1.58%, 08/14/20 | 8,565,000 | 8,479,507 | ||
Federal Home Loan Mortgage Corporation Discount Notes | ||||
1.78%, 01/17/20 | 2,360,000 | 2,358,039 | ||
1.54%, 02/20/20 | 1,675,000 | 1,671,324 | ||
1.53%, 03/10/20 | 4,165,000 | 4,152,627 | ||
1.59%, 03/18/20 | 19,870,000 | 19,800,300 | ||
1.52%, 05/19/20 | 4,675,000 | 4,647,202 | ||
Federal National Mortgage Association | ||||
(Floating, U.S. SOFR + 0.01%), 1.56%, 05/22/20† | 3,230,000 | 3,230,000 |
Par | Value | |||
Federal National Mortgage Association Discount Note | ||||
1.43%, 01/24/20 | $4,870,000 | $4,865,240 | ||
Total Agency Obligations (Cost $722,023,964) | 722,023,964 | |||
U.S. TREASURY OBLIGATIONS — 14.0% | ||||
U.S. Treasury Bills | ||||
2.00%, 01/02/20Ω | 3,000,000 | 2,999,830 | ||
1.58%, 01/23/20Ω | 1,845,000 | 1,843,162 | ||
1.71%, 02/13/20Ω | 36,125,000 | 36,049,708 | ||
1.84%, 02/20/20Ω | 800,000 | 797,944 | ||
1.81%, 02/27/20Ω | 14,185,000 | 14,143,674 | ||
1.66%, 04/09/20Ω | 9,515,000 | 9,470,939 | ||
2.35%, 04/23/20Ω | 23,065,000 | 22,894,140 | ||
1.51%, 05/07/20Ω | 10,005,000 | 9,950,822 | ||
1.54%, 05/28/20Ω | 8,015,000 | 7,963,169 | ||
1.73%, 09/10/20Ω | 3,305,000 | 3,264,585 | ||
109,377,973 | ||||
U.S. Treasury Floating Rate Notes | ||||
(Floating, U.S. Treasury 3M Bill MMY + 0.04%), 1.57%, 07/31/20† | 13,630,000 | 13,627,792 | ||
(Floating, U.S. Treasury 3M Bill MMY + 0.05%), 1.57%, 10/31/20† | 12,000,000 | 11,989,593 | ||
(Floating, U.S. Treasury 3M Bill MMY + 0.14%), 1.66%, 04/30/21† | 1,240,000 | 1,238,660 | ||
(Floating, U.S. Treasury 3M Bill MMY + 0.22%), 1.75%, 07/31/21† | 12,000,000 | 12,000,000 | ||
(Floating, U.S. Treasury 3M Bill MMY + 0.30%), 1.83%, 10/31/21† | 4,215,000 | 4,219,590 | ||
43,075,635 | ||||
U.S. Treasury Notes | ||||
2.25%, 03/31/20 | 2,785,000 | 2,786,344 | ||
2.38%, 04/30/20 | 5,860,000 | 5,869,855 | ||
1.50%, 05/15/20 | 2,740,000 | 2,734,748 | ||
3.50%, 05/15/20 | 8,840,000 | 8,894,172 | ||
1.50%, 05/31/20 | 2,725,000 | 2,721,099 | ||
1.63%, 06/30/20 | 335,000 | 334,616 | ||
2.63%, 11/15/20 | 3,685,000 | 3,716,093 | ||
1.63%, 11/30/20 | 1,470,000 | 1,469,461 | ||
2.00%, 11/30/20 | 870,000 | 872,661 | ||
29,399,049 | ||||
Total U.S. Treasury Obligations (Cost $181,852,657) | 181,852,657 |
Table of Contents
Shares | Value | |||
MONEY MARKET FUNDS — 0.1% | ||||
Northern Institutional Funds - U.S. Government Select Portfolio (Shares), 1.51%Ø (Cost $424,016) | 424,016 | $424,016 |
Par | |||
REPURCHASE AGREEMENTS �� 30.8% | |||
Bank of Nova Scotia | |||
1.55% (dated 12/31/19, due 01/02/20, repurchase price $48,004,133, collateralized by U.S. Treasury Bills, U.S. Treasury Bonds and U.S. Treasury Notes, 0.000% to 2.875%, due 01/02/20 to 02/15/44, total market value $48,964,239) | $48,000,000 | 48,000,000 | |
BNP Paribas | |||
1.56% (dated 12/31/19, due 01/02/20, repurchase price $95,008,233, collateralized by U.S. Treasury Bonds and U.S. Treasury Notes, 0.000% to 2.500%, due 11/15/21 to 08/15/49, total market value $96,900,000) | 95,000,000 | 95,000,000 | |
1.58% (dated 12/31/19, due 01/02/20, repurchase price $10,000,878, collateralized by Government National Mortgage Association, U.S. Treasury Bonds and U.S. Treasury Notes, 1.625% to 4.000%, due 04/15/21 to 07/20/49, total market value $10,200,000) | 10,000,000 | 10,000,000 | |
Citigroup Global Markets, Inc. | |||
1.57% (dated 12/31/19, due 01/02/20, repurchase price $10,000,872, collateralized by Federal Home Loan Mortgage Corporation, Federal National Mortgage Association, U.S. Treasury Bills and U.S. Treasury Notes, 0.000% to 6.500%, due 01/30/20 to 03/01/57, total market value $10,299,816) | 10,000,000 | 10,000,000 | |
Goldman Sachs & Co. | |||
1.57% (dated 12/31/19, due 01/02/20, repurchase price $20,001,744, collateralized by Government National Mortgage Association, 3.500% to 4.500%, due 12/15/35 to 04/15/54, total market value $20,400,000) | 20,000,000 | 20,000,000 |
Par | Value | |||
1.58% (dated 12/31/19, due 01/02/20, repurchase price $23,002,019, collateralized by Government National Mortgage Association, 3.500%, due 08/20/49, total market value $23,460,001) | $23,000,000 | $23,000,000 | ||
HSBC Securities USA, Inc. | ||||
1.57% (dated 12/31/19, due 01/02/20, repurchase price $5,000,436, collateralized by U.S. Treasury Bills and U.S. Treasury Notes, 0.000% to 1.750%, due 05/21/20 to 07/15/22, total market value $5,100,007) | 5,000,000 | 5,000,000 | ||
Mitsubishi UFJ Securities USA, Inc. | ||||
1.57% (dated 12/31/19, due 01/02/20, repurchase price $30,002,617, collateralized by Government National Mortgage Association, 2.000% to 4.400%, due 09/20/29 to 02/15/61, total market value $30,600,000) | 30,000,000 | 30,000,000 | ||
Mizuho Securities USA, Inc. | ||||
1.57% (dated 12/31/19, due 01/02/20, repurchase price $42,003,663, collateralized by Federal Home Loan Mortgage Corporation, 3.000%, due 12/01/49, total market value $43,260,000) | 42,000,000 | 42,000,000 | ||
Natixis S.A. | ||||
1.55% (dated 12/31/19, due 01/02/20, repurchase price $22,001,894, collateralized by U.S. Treasury Bonds and U.S. Treasury Notes, 0.750% to 6.125%, due 03/31/21 to 04/15/32, total market value $22,440,000) | 22,000,000 | 22,000,000 | ||
1.57% (dated 12/31/19, due 01/02/20, repurchase price $4,000,349, collateralized by Federal Home Loan Mortgage Corporation, Federal National Mortgage Association, U.S. Treasury Bonds and U.S. Treasury Notes, 0.000% to 4.750%, due 07/15/21 to 09/01/49, total market value $4,081,955) | 4,000,000 | 4,000,000 |
Table of Contents
Par | Value | |||
TD Securities USA LLC | ||||
1.57% (dated 12/31/19, due 01/02/20, repurchase price $90,007,850, collateralized by Federal Home Loan Mortgage Corporation, 3.000%, due 12/01/49, total market value $92,700,000) | $90,000,000 | $90,000,000 | ||
Total Repurchase Agreements (Cost $399,000,000) | 399,000,000 | |||
TOTAL INVESTMENTS —100.6% (Cost $1,303,300,637) | 1,303,300,637 | |||
Liabilities in Excess of Other Assets — (0.6)% | (7,132,169) | |||
NET ASSETS — 100.0% | $1,296,168,468 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Agency Obligations | $722,023,964 | $— | $722,023,964 | $— | |||
Money Market Funds | 424,016 | 424,016 | — | — | |||
Repurchase Agreements | 399,000,000 | — | 399,000,000 | — | |||
U.S. Treasury Obligations | 181,852,657 | — | 181,852,657 | — | |||
Total Assets - Investments in Securities | $1,303,300,637 | $424,016 | $1,302,876,621 | $ — |
Table of Contents
% | |
Mortgage-Backed Securities | 26.8 |
Corporate Bonds | 22.9 |
U.S. Treasury Obligations | 22.5 |
Asset-Backed Securities | 15.4 |
Foreign Bonds | 15.4 |
Money Market Funds | 7.8 |
Repurchase Agreements | 1.2 |
Agency Obligations | 1.1 |
Municipal Bonds | 0.4 |
Written Options | —** |
TBA Sale Commitment | (0.6) |
112.9 | |
**Rounds to less than 0.1% |
Table of Contents
Average Annual Total Returns as of 12/31/19 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | 3.99% | 3.71% | 3.55% | ||||
Five Year | 1.91% | 1.63% | 1.39% | ||||
Ten year | 2.11% | 1.88% | 1.22% | ||||
Since Inception | 2.90% | 2.72% | 2.37% | ||||
Inception Date | 08/27/01 | 08/27/01 | |||||
Total Fund Operating Expenses (April 30, 2019 Prospectus)(1) | 0.35% | 0.61% |
(1) | Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights. |
Table of Contents
Par | Value | |||
AGENCY OBLIGATIONS — 1.1% | ||||
Federal Home Loan Bank Discount Notes | ||||
1.53%, 02/19/20Ω | $2,000,000 | $1,995,680 | ||
1.53%, 03/16/20Ω | 1,400,000 | 1,395,389 | ||
Federal Home Loan Mortgage Corporation | ||||
2.30%, 07/29/22 | 3,000,000 | 3,001,188 | ||
Federal National Mortgage Association | ||||
2.75%, 06/22/21Δ | 2,980,000 | 3,030,835 | ||
1.38%, 09/06/22 | 1,875,000 | 1,863,152 | ||
Total Agency Obligations (Cost $11,239,743) | 11,286,244 | |||
ASSET-BACKED SECURITIES — 15.4% | ||||
Adams Mill CLO, Ltd., Series 2014-1A, Class A2R | ||||
(Floating, ICE LIBOR USD 3M + 1.10%), 3.10%, 07/15/26 144A † | 575,240 | 575,477 | ||
Ally Auto Receivables Trust, Series 2018-3, Class A2 | ||||
2.72%, 05/17/21 | 79,213 | 79,226 | ||
Ally Auto Receivables Trust, Series 2019-1, Class A3 | ||||
2.91%, 09/15/23 | 1,680,000 | 1,701,295 | ||
Ally Auto Receivables Trust, Series 2019-3, Class A3 | ||||
1.93%, 05/15/24 | 1,000,000 | 1,000,179 | ||
ALM XII, Ltd., Series 2015-12A, Class A1R2 | ||||
(Floating, ICE LIBOR USD 3M + 0.89%, 0.89% Floor), 2.89%, 04/16/27 144A † | 364,042 | 363,958 | ||
AmeriCredit Automobile Receivables Trust, Series 2016-2, Class C | ||||
2.87%, 11/08/21 | 159,539 | 159,834 | ||
AmeriCredit Automobile Receivables Trust, Series 2017-1, Class A3 | ||||
1.87%, 08/18/21 | 7,722 | 7,721 | ||
AmeriCredit Automobile Receivables Trust, Series 2017-2, Class A3 | ||||
1.98%, 12/20/21 | 135,134 | 135,114 | ||
Americredit Automobile Receivables Trust, Series 2018-1, Class A3 | ||||
3.07%, 12/19/22 | 650,000 | 654,056 | ||
Americredit Automobile Receivables Trust, Series 2019-1, Class A3 | ||||
2.97%, 11/20/23 | 410,000 | 415,019 | ||
Americredit Automobile Receivables Trust, Series 2019-2, Class A3 | ||||
2.28%, 01/18/24 | 5,000,000 | 5,024,543 | ||
AMMC CLO XIII, Ltd., Series 2013-13A, Class A1LR | ||||
(Floating, ICE LIBOR USD 3M + 1.26%), 3.20%, 07/24/29 144A † | 2,000,000 | 2,009,460 |
Par | Value | |||
Anchorage Capital CLO 7, Ltd., Series 2015-7A, Class CR | ||||
(Floating, ICE LIBOR USD 3M + 1.70%), 3.70%, 10/15/27 144A † | $450,000 | $449,089 | ||
Apidos CLO XXI, Series 2015-21A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 0.93%, 0.93% Floor), 2.93%, 07/18/27 144A † | 3,215,000 | 3,217,384 | ||
Ascentium Equipment Receivables Trust, Series 2018-2A, Class A3 | ||||
3.51%, 04/10/24 144A | 1,940,000 | 1,977,457 | ||
Bank of The West Auto Trust, Series 2018-1, Class A2 | ||||
3.09%, 04/15/21 144A | 538,841 | 539,299 | ||
Barings CLO, Ltd., Series 2013-IA, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 0.80%, 0.80% Floor), 2.77%, 01/20/28 144A † | 1,200,000 | 1,196,460 | ||
Bear Stearns Asset Backed Securities I Trust, Series 2007-HE7, Class 1A1 | ||||
(Floating, ICE LIBOR USD 1M + 1.00%, 1.00% Floor), 2.79%, 10/25/37† | 309,876 | 311,695 | ||
Bear Stearns Asset Backed Securities Trust, Series 2004-SD1, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor, 11.00% Cap), 2.24%, 12/25/42† | 33,723 | 33,642 | ||
Benefit Street Partners CLO II, Ltd., Series 2013-IIA, Class A2R | ||||
(Floating, ICE LIBOR USD 3M + 1.75%), 3.75%, 07/15/29 144A † | 300,000 | 299,650 | ||
Black Diamond CLO, Ltd., Series 2013-1A, Class A2R | ||||
(Floating, ICE LIBOR USD 3M + 1.45%), 3.45%, 02/06/26 144A † | 250,000 | 249,859 | ||
BMW Vehicle Lease Trust, Series 2018-1, Class A4 | ||||
3.36%, 03/21/22 | 550,000 | 558,137 | ||
BSPRT Issuer, Ltd., Series 2018-FL3, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.05%, 1.05% Floor), 2.79%, 03/15/28 144A † | 950,000 | 951,425 | ||
BSPRT Issuer, Ltd., Series 2018-FL4 , Class AS | ||||
(Floating, ICE LIBOR USD 1M + 1.30%, 1.30% Floor), 3.04%, 09/15/35 144A † | 1,520,000 | 1,521,788 | ||
Capital Auto Receivables Asset Trust, Series 2016-2, Class B | ||||
2.11%, 03/22/21 | 30,535 | 30,532 | ||
Capital One Multi-Asset Execution Trust, Series 2019-A1, Class A1 | ||||
2.84%, 12/15/24 | 1,150,000 | 1,173,847 |
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Par | Value | |||
Carmax Auto Owner Trust, Series 2018-4, Class A3 | ||||
3.36%, 09/15/23 | $1,560,000 | $1,591,886 | ||
Carmax Auto Owner Trust, Series 2019-2, Class A3 | ||||
2.68%, 03/15/24 | 2,140,000 | 2,169,540 | ||
Carmax Auto Owner Trust, Series 2019-3, Class A3 | ||||
2.18%, 08/15/24 | 3,010,000 | 3,018,885 | ||
Chesapeake Funding II LLC, Series 2017-4A, Class A1 | ||||
2.12%, 11/15/29 144A | 826,523 | 826,861 | ||
Chesapeake Funding II LLC, Series 2018-1A, Class A1 | ||||
3.04%, 04/15/30 144A | 606,966 | 614,591 | ||
Chesapeake Funding II LLC, Series 2019-1A, Class B | ||||
3.11%, 04/15/31 144A | 240,000 | 244,875 | ||
Chesapeake Funding II LLC, Series 2019-1A, Class C | ||||
3.36%, 04/15/31 144A | 230,000 | 234,908 | ||
Chesapeake Funding II LLC, Series 2019-1A, Class D | ||||
3.80%, 04/15/31 144A | 370,000 | 377,778 | ||
CIFC Funding, Ltd., Series 2014-4RA, Class A1A | ||||
(Floating, ICE LIBOR USD 3M + 1.13%, 1.13% Floor), 3.13%, 10/17/30 144A † | 345,000 | 344,000 | ||
CIFC Funding, Ltd., Series 2015-2A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 0.78%, 0.78% Floor), 2.78%, 04/15/27 144A † | 875,553 | 874,557 | ||
CLNC, Ltd., Series 2019-FL1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.25%, 1.25% Floor), 2.98%, 08/20/35 144A † | 1,290,000 | 1,294,515 | ||
CNH Equipment Trust, Series 2018-B, Class A3 | ||||
3.19%, 11/15/23 | 1,030,000 | 1,046,196 | ||
CNH Equipment Trust, Series 2019-A, Class A3 | ||||
3.01%, 04/15/24 | 1,350,000 | 1,375,422 | ||
Credit Acceptance Auto Loan Trust, Series 2017-1A, Class A | ||||
2.56%, 10/15/25 144A | 30,016 | 30,019 | ||
Credit Acceptance Auto Loan Trust, Series 2018-1A, Class A | ||||
3.01%, 02/16/27 144A | 1,380,000 | 1,385,388 | ||
Credit Acceptance Auto Loan Trust, Series 2018-2A, Class A | ||||
3.47%, 05/17/27 144A | 1,800,000 | 1,823,096 | ||
Credit Acceptance Auto Loan Trust, Series 2018-3A, Class A | ||||
3.55%, 08/15/27 144A | 800,000 | 812,901 | ||
Credit Acceptance Auto Loan Trust, Series 2019-1A, Class A | ||||
3.33%, 02/15/28 144A | 1,160,000 | 1,181,089 |
Par | Value | |||
Credit Acceptance Auto Loan Trust, Series 2019-3A, Class A | ||||
2.38%, 11/15/28 144A | $580,000 | $579,930 | ||
CSAB Mortgage-Backed Trust, Series 2006-2, Class A6A | ||||
(Step to 6.22% on 02/25/20), 5.72%, 09/25/36 STEP | 308,436 | 165,523 | ||
CWABS, Inc. Asset-Backed Certificates Trust, Series 2004-6, Class 1A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.54%, 0.27% Floor), 2.33%, 12/25/34† | 941,439 | 941,373 | ||
Dell Equipment Finance Trust, Series 2018-2, Class A3 | ||||
3.37%, 10/22/23 144A | 1,130,000 | 1,145,775 | ||
DLL LLC, Series 2018-ST2, Class A3 | ||||
3.46%, 01/20/22 144A | 1,700,000 | 1,716,496 | ||
Drive Auto Receivables Trust, Series 2018-4, Class B | ||||
3.36%, 10/17/22 | 493,572 | 494,330 | ||
Drive Auto Receivables Trust, Series 2019-2, Class A3 | ||||
3.04%, 03/15/23 | 810,000 | 814,871 | ||
Drive Auto Receivables Trust, Series 2019-4, Class A3 | ||||
2.16%, 05/15/23 | 340,000 | 339,866 | ||
Drive Auto Receivables Trust, Series 2019-4, Class C | ||||
2.51%, 11/17/25 | 1,950,000 | 1,952,978 | ||
Drug Royalty II LP 2, Series 2014-1, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 2.85%, 2.85% Floor), 5.15%, 07/15/23 144A † | 9,102 | 9,107 | ||
Dryden XXV Senior Loan Fund, Series 2012-25A, Class ARR | ||||
(Floating, ICE LIBOR USD 3M + 0.90%), 2.89%, 10/15/27 144A † | 1,680,000 | 1,678,831 | ||
Dryden XXVI Senior Loan Fund, Series 2013-26A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 0.90%), 2.90%, 04/15/29 144A † | 1,000,000 | 997,132 | ||
Eaton Vance CLO, Ltd., Series 2013-1A, Class A1RR | ||||
(Floating, ICE LIBOR USD 3M + 1.16%), 3.16%, 01/15/28 144A † | 305,000 | 303,616 | ||
EDvestinU Private Education Loan Issue No. 1 LLC, Series 2019-A, Class A | ||||
3.58%, 11/25/38 144A | 450,109 | 458,921 | ||
Enterprise Fleet Financing LLC, Series 2016-2, Class A3 | ||||
2.04%, 02/22/22 144A | 476,694 | 476,526 | ||
Enterprise Fleet Financing LLC, Series 2017-1, Class A2 | ||||
2.13%, 07/20/22 144A | 33,779 | 33,780 |
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Par | Value | |||
Enterprise Fleet Financing LLC, Series 2017-1, Class A3 | ||||
2.60%, 07/20/22 144A | $250,000 | $250,558 | ||
Enterprise Fleet Financing LLC, Series 2017-3, Class A2 | ||||
2.13%, 05/22/23 144A | 389,713 | 389,630 | ||
Enterprise Fleet Financing LLC, Series 2018-2, Class A2 | ||||
3.14%, 02/20/24 144A | 2,226,611 | 2,244,422 | ||
Enterprise Fleet Financing LLC, Series 2019-1, Class A2 | ||||
2.98%, 10/20/24 144A | 950,000 | 960,327 | ||
Enterprise Fleet Financing LLC, Series 2019-2, Class A3 | ||||
2.38%, 02/20/25 144A | 630,000 | 633,415 | ||
FHLMC Structured Pass-Through Certificates, Series T-32 | ||||
(Floating, ICE LIBOR USD 1M + 0.13%, 0.13% Floor), 1.92%, 08/25/31† | 260,333 | 259,382 | ||
First Investors Auto Owner Trust, Series 2018-2A, Class A2 | ||||
3.56%, 06/15/23 144A | 840,000 | 851,434 | ||
Flatiron CLO, Ltd., Series 2015-1A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 0.89%), 2.89%, 04/15/27 144A † | 1,525,818 | 1,524,879 | ||
Ford Credit Auto Lease Trust, Series 2019-A, Class A2A | ||||
2.84%, 09/15/21 | 2,690,443 | 2,698,423 | ||
Ford Credit Floorplan Master Owner Trust A, Series 2019-2, Class A | ||||
3.06%, 04/15/26 | 1,475,000 | 1,524,927 | ||
Ford Credit Floorplan Master Owner Trust, Series 2017-2, Class A1 | ||||
2.16%, 09/15/22 | 1,600,000 | 1,601,916 | ||
Ford Credit Floorplan Master Owner Trust, Series 2019-4, Class A | ||||
2.44%, 09/15/26 | 1,770,000 | 1,776,766 | ||
GM Financial Automobile Leasing Trust, Series 2018-2, Class A3 | ||||
3.06%, 06/21/21 | 706,303 | 708,611 | ||
GM Financial Automobile Leasing Trust, Series 2018-3, Class A4 | ||||
3.30%, 07/20/22 | 310,000 | 314,046 | ||
GM Financial Consumer Automobile Receivables Trust, Series 2018-4, Class A3 | ||||
3.21%, 10/16/23 | 2,080,000 | 2,115,868 | ||
GM Financial Consumer Automobile Receivables Trust, Series 2019-2, Class A3 | ||||
2.65%, 02/16/24 | 3,810,000 | 3,846,790 | ||
GMF Floorplan Owner Revolving Trust, Series 2019-1, Class A | ||||
2.70%, 04/15/24 144A | 920,000 | 926,334 |
Par | Value | |||
Great American Auto Leasing, Inc., Series 2019-1, Class A3 | ||||
3.05%, 09/15/22 144A | $1,140,000 | $1,156,181 | ||
Greystone CRE Notes, Ltd., Series 2019-FL2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.18%, 1.18% Floor), 3.44%, 09/15/37 144A † | 1,770,000 | 1,775,098 | ||
Hyundai Auto Lease Securitization Trust, Series 2019-A, Class A2 | ||||
2.92%, 07/15/21 144A | 585,354 | 588,106 | ||
Hyundai Auto Receivables Trust, Series 2016-B, Class D | ||||
2.68%, 09/15/23 | 680,000 | 683,629 | ||
KKR Clo, Ltd., Series 16, Class A2R | ||||
(Floating, ICE LIBOR USD 3M + 1.80%, 1.80% Floor), 3.77%, 01/20/29 144A † | 480,000 | 478,991 | ||
KREF, Ltd., Series 2018-FL1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.10%, 1.10% Floor), 2.84%, 06/15/36 144A † | 1,360,000 | 1,366,884 | ||
LA Arena Funding LLC, Series 1, Class A | ||||
7.66%, 12/15/26 144A | 72,435 | 76,511 | ||
LCM XX LP, Series 20A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.04%, 1.04% Floor), 3.01%, 10/20/27 144A † | 1,220,000 | 1,221,839 | ||
Lendmark Funding Trust, Series 2018-1A, Class A | ||||
3.81%, 12/21/26 144A | 960,000 | 973,178 | ||
Lendmark Funding Trust, Series 2019-2A, Class A | ||||
2.78%, 04/20/28 144A | 350,000 | 349,129 | ||
LoanCore Issuer, Ltd., Series 2018-CRE1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.13%, 1.13% Floor), 2.87%, 05/15/28 144A † | 630,000 | 630,278 | ||
Madison Park Funding XIII, Ltd., Series 2014-13A, Class CR2 | ||||
(Floating, ICE LIBOR USD 3M + 1.90%), 3.87%, 04/19/30 144A † | 400,000 | 389,158 | ||
Madison Park Funding XIX, Ltd., Series 2015-19A, Class A2R | ||||
(Floating, ICE LIBOR USD 3M + 1.75%, 1.75% Floor), 3.70%, 01/22/28 144A † | 600,000 | 598,906 | ||
Magnetite VII, Ltd., Series 2012-7A, Class A1R2 | ||||
(Floating, ICE LIBOR USD 3M + 0.80%), 2.80%, 01/15/28 144A † | 2,890,000 | 2,870,026 |
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Par | Value | |||
Magnetite VIII, Ltd., Series 2014-8A, Class AR2 | ||||
(Floating, ICE LIBOR USD 3M + 0.98%, 0.98% Floor), 2.98%, 04/15/31 144A † | $530,000 | $526,912 | ||
Marathon CRE, Ltd., Series 2018-FL1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.15%, 1.15% Floor), 2.89%, 06/15/28† | 290,000 | 290,347 | ||
Mariner Finance Issuance Trust, Series 2019-AA, Class A | ||||
2.96%, 07/20/32 144A | 308,000 | 309,840 | ||
Mercedes-Benz Master Owner Trust, Series 2017-BA, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.42%), 2.16%, 05/16/22 144A † | 1,750,000 | 1,751,890 | ||
Mercedes-Benz Master Owner Trust, Series 2019-BA, Class A | ||||
2.61%, 05/15/24 144A | 1,310,000 | 1,327,632 | ||
Mill City Mortgage Loan Trust, Series 2016-1, Class A1 | ||||
2.50%, 04/25/57 144A | 629,614 | 630,016 | ||
MVW Owner Trust, Series 2017-1A, Class A | ||||
2.42%, 12/20/34 144A | 437,017 | 438,210 | ||
Navient Private Education Loan Trust, Series 2014-CTA, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.70%, 0.70% Floor), 2.44%, 09/16/24 144A † | 10,771 | 10,771 | ||
Navient Private Education Refi Loan Trust, Series 2019-A, Class A1 | ||||
3.03%, 01/15/43 144A | 194,804 | 195,707 | ||
Navient Private Education Refi Loan Trust, Series 2019-CA, Class A2 | ||||
3.13%, 02/15/68 144A | 410,000 | 412,583 | ||
Navient Private Education Refi Loan Trust, Series 2019-EA, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 0.92%, 0.92% Floor), 2.66%, 05/15/68 144A † | 700,000 | 692,945 | ||
Navient Private Education Refi Loan Trust, Series 2019-FA, Class A1 | ||||
2.18%, 08/15/68 144A | 741,612 | 742,133 | ||
Navient Student Loan Trust, Series 2016-6A, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 0.75%), 2.54%, 03/25/66 144A † | 1,109,164 | 1,111,024 | ||
Navient Student Loan Trust, Series 2017-2A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.05%), 2.84%, 12/27/66 144A † | 943,716 | 939,181 | ||
Navient Student Loan Trust, Series 2017-5A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.80%), 2.59%, 07/26/66 144A † | 1,027,631 | 1,011,058 |
Par | Value | |||
Navient Student Loan Trust, Series 2018-EA, Class A2 | ||||
4.00%, 12/15/59 144A | $143,000 | $148,235 | ||
Navient Student Loan Trust, Series 2019-BA, Class A2A | ||||
3.39%, 12/15/59 144A | 390,000 | 400,915 | ||
Nelnet Student Loan Trust, Series 2016-1A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.80%), 2.59%, 09/25/65 144A † | 1,065,550 | 1,064,820 | ||
Neuberger Berman CLO, Ltd., Series 2017-16SA, Class A | ||||
(Floating, ICE LIBOR USD 3M + 0.85%), 2.85%, 01/15/28 144A † | 1,145,000 | 1,145,190 | ||
Nissan Auto Receivables Owner Trust, Series 2019-A, Class A3 | ||||
2.90%, 10/16/23 | 1,820,000 | 1,848,965 | ||
Nissan Master Owner Receivables Trust, Series 2019-A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.56%, 0.56% Floor), 2.30%, 02/15/24† | 1,200,000 | 1,205,121 | ||
NLY Commercial Mortgage Trust, Series 2019-FL2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.30%, 1.30% Floor), 3.04%, 02/15/36 144A † | 256,000 | 256,398 | ||
NP SPE II LLC, Series 2019-2A, Class A1 | ||||
2.86%, 11/19/49 144A | 1,624,743 | 1,623,529 | ||
OFSI Fund VI, Ltd., Series 2014-6A, Class BR | ||||
(Floating, ICE LIBOR USD 3M + 1.50%), 3.50%, 03/20/25 144A † | 295,000 | 291,353 | ||
OneMain Direct Auto Receivables Trust, Series 2018-1A, Class A | ||||
3.43%, 12/16/24 144A | 1,150,000 | 1,165,521 | ||
Onemain Financial Issuance Trust, Series 2018-1A, Class A | ||||
3.30%, 03/14/29 144A | 220,000 | 223,369 | ||
Palmer Square Loan Funding, Ltd., Series 2017-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 0.74%), 2.74%, 10/15/25 144A † | 383,444 | 383,476 | ||
PFS Financing Corp, Series 2019-B, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.55%), 2.29%, 09/15/23 144A † | 1,400,000 | 1,401,141 | ||
PFS Financing Corporation, Series 2018-B, Class A | ||||
2.89%, 02/15/23 144A | 2,330,000 | 2,348,546 | ||
PFS Financing Corporation, Series 2019-A, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.55%), 2.29%, 04/15/24 144A † | 390,000 | 391,108 |
Table of Contents
Par | Value | |||
PFS Financing Corporation, Series 2019-A, Class A2 | ||||
2.86%, 04/15/24 144A | $1,500,000 | $1,521,261 | ||
Santander Drive Auto Receivables Trust, Series 2016-2, Class C | ||||
2.66%, 11/15/21 | 117,961 | 118,013 | ||
Santander Drive Auto Receivables Trust, Series 2018-3, Class A3 | ||||
3.03%, 02/15/22 | 2,451 | 2,452 | ||
Santander Drive Auto Receivables Trust, Series 2019-1, Class A2A | ||||
2.91%, 01/18/22 | 281,755 | 281,887 | ||
Santander Retail Auto Lease Trust, Series 2019-B, Class A3 | ||||
2.30%, 01/20/23 144A | 1,150,000 | 1,154,458 | ||
Securitized Term Auto Receivables Trust, Series 2019-1A, Class A3 | ||||
2.99%, 02/27/23 144A | 700,000 | 708,520 | ||
SLC Student Loan Trust, Series 2006-2, Class A5 | ||||
(Floating, ICE LIBOR USD 3M + 0.10%), 1.99%, 09/15/26† | 350,272 | 349,393 | ||
SLM Private Credit Student Loan Trust, Series 2004-A, Class A3 | ||||
(Floating, ICE LIBOR USD 3M + 0.40%, 0.40% Floor), 2.29%, 06/15/33† | 460,531 | 456,557 | ||
SLM Private Credit Student Loan Trust, Series 2005-A, Class A3 | ||||
(Floating, ICE LIBOR USD 3M + 0.20%), 2.09%, 06/15/23† | 414,311 | 413,354 | ||
SLM Private Credit Student Loan Trust, Series 2007-A, Class A4A | ||||
(Floating, ICE LIBOR USD 3M + 0.24%, 0.24% Floor), 2.13%, 12/16/41† | 316,672 | 307,843 | ||
SLM Student Loan Trust, Series 2003-5, Class A5 | ||||
(Floating, 0.27% - Euribor 3M), 0.00%, 06/17/24(E) † | 151,388 | 169,317 | ||
SLM Student Loan Trust, Series 2004-2, Class A5 | ||||
(Floating, 0.18% - Euribor 3M), 0.00%, 01/25/24(E) † | 849,826 | 951,441 | ||
SLM Student Loan Trust, Series 2004-3, Class A5 | ||||
(Floating, ICE LIBOR USD 3M + 0.17%, 0.17% Floor), 2.11%, 07/25/23† | 67,998 | 67,993 | ||
SLM Student Loan Trust, Series 2005-8, Class A4 | ||||
(Floating, ICE LIBOR USD 3M + 0.55%), 2.49%, 01/25/28† | 1,055,675 | 1,056,506 | ||
SMB Private Education Loan Trust, Series 2015-C, Class A2A | ||||
2.75%, 07/15/27 144A | 303,708 | 305,250 | ||
SMB Private Education Loan Trust, Series 2016-A, Class A2A | ||||
2.70%, 05/15/31 144A | 284,005 | 285,034 |
Par | Value | |||
SMB Private Education Loan Trust, Series 2016-B, Class A2A | ||||
2.43%, 02/17/32 144A | $185,346 | $184,551 | ||
SMB Private Education Loan Trust, Series 2018-A, Class A2A | ||||
3.50%, 02/15/36 144A | 1,105,000 | 1,146,587 | ||
SMB Private Education Loan Trust, Series 2018-B, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 0.72%), 2.46%, 01/15/37 144A † | 640,000 | 635,707 | ||
SMB Private Education Loan Trust, Series 2019-A, Class A2A | ||||
3.44%, 07/15/36 144A | 280,000 | 284,672 | ||
SoFi Professional Loan Program LLC, Series 2015-A, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 1.20%, 1.20% Floor), 2.99%, 03/25/33 144A † | 132,914 | 133,087 | ||
SoFi Professional Loan Program LLC, Series 2015-D, Class A2 | ||||
2.72%, 10/27/36 144A | 704,954 | 707,428 | ||
Sofi Professional Loan Program LLC, Series 2016-A, Class A2 | ||||
2.76%, 12/26/36 144A | 241,251 | 242,153 | ||
SoFi Professional Loan Program LLC, Series 2016-C, Class A2B | ||||
2.36%, 12/27/32 144A | 128,882 | 128,430 | ||
SoFi Professional Loan Program LLC, Series 2016-D, Class A2B | ||||
2.34%, 04/25/33 144A | 129,098 | 129,208 | ||
Sofi Professional Loan Program LLC, Series 2016-F, Class A2 | ||||
3.02%, 02/25/40 144A | 855,919 | 866,781 | ||
SoFi Professional Loan Program LLC, Series 2017-E, Class A2A | ||||
1.86%, 11/26/40 144A | 803,417 | 802,132 | ||
Sofi Professional Loan Program LLC, Series 2019-B, Class A2FX | ||||
3.09%, 08/17/48 144A | 210,000 | 213,934 | ||
Sofi Professional Loan Program Trust, Series 2018-C, Class A2FX | ||||
3.59%, 01/25/48 144A | 245,000 | 251,011 | ||
Sofi Professional Loan Program, Series 2018-B, Class A2FX | ||||
3.34%, 08/25/47 144A | 805,000 | 819,096 | ||
Sound Point CLO XIV, Ltd., Series 2016-3A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.15%), 3.08%, 01/23/29 144A † | 345,000 | 344,998 | ||
SpringCastle Funding Asset-Backed Notes, Series 2019-AA, Class A | ||||
3.20%, 05/27/36 144A | 591,575 | 594,218 | ||
Springleaf Funding Trust, Series 2015-BA, Class A | ||||
3.48%, 05/15/28 144A | 315,000 | 315,815 |
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Par | Value | |||
Springleaf Funding Trust, Series 2017-AA, Class A | ||||
2.68%, 07/15/30 144A | $400,000 | $400,348 | ||
Starwood Waypoint Homes Trust, Series 2017-1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.95%, 0.95% Floor), 2.69%, 01/17/35 144A † | 1,905,438 | 1,903,566 | ||
Structured Asset Securities Corporation Mortgage Loan Trust, Series 2005-7XS, Class 2A1A | ||||
(Floating, ICE LIBOR USD 1M + 1.50%, 1.50% Floor), 3.19%, 04/25/35† | 194,389 | 192,412 | ||
STWD, Ltd., Series 2019-FL1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.08%), 2.82%, 07/15/38 144A † | 1,330,000 | 1,331,225 | ||
TICP CLO VI, Ltd., Series 2016-6A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.20%, 1.20% Floor), 3.20%, 01/15/29 144A † | 285,000 | 285,693 | ||
Towd Point Mortgage Trust, Series 2016-3, Class A1 | ||||
2.25%, 04/25/56 144A | 402,879 | 402,878 | ||
Towd Point Mortgage Trust, Series 2019-MH1, Class A1 | ||||
3.00%, 11/25/58 144A | 838,456 | 844,459 | ||
Towd Point Mortgage Trust, Series 2019-SJ3, Class A1 | ||||
3.00%, 11/25/59 144A | 1,854,849 | 1,860,389 | ||
Toyota Auto Receivables Owner Trust, Series 2019-A, Class A3 | ||||
2.91%, 07/17/23 | 1,890,000 | 1,918,488 | ||
Transportation Finance Equipment Trust, Series 2019-1, Class A3 | ||||
1.85%, 04/24/23 144A | 610,000 | 606,742 | ||
TRESTLES CLO, Ltd. Series 2017-1A, Class A1A | ||||
(Floating, ICE LIBOR USD 3M + 1.29%), 3.23%, 07/25/29 144A † | 550,000 | 552,183 | ||
TRTX Issuer, Ltd., Series 2019-FL3, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.15%, 1.15% Floor), 2.89%, 10/15/34 144A † | 1,870,000 | 1,875,376 | ||
Tryon Park CLO, Ltd., Series 2013-1A, Class A1SR | ||||
(Floating, ICE LIBOR USD 3M + 0.89%), 2.89%, 04/15/29 144A † | 3,070,000 | 3,059,792 | ||
Venture XVII CLO, Ltd., Series 2014-17A, Class ARR | ||||
(Floating, ICE LIBOR USD 3M + 0.88%), 2.88%, 04/15/27 144A † | 360,000 | 357,300 | ||
Verizon Owner Trust, Series 2019-B, Class A1A | ||||
2.33%, 12/20/23 | 3,690,000 | 3,718,072 |
Par | Value | |||
Volvo Financial Equipment LLC, Series 2019-1A, Class A3 | ||||
3.00%, 03/15/23 144A | $1,500,000 | $1,522,269 | ||
Westlake Automobile Receivables Trust, Series 2017-1A, Class C | ||||
2.70%, 10/17/22 144A | 145,977 | 146,063 | ||
Westlake Automobile Receivables Trust, Series 2018-3A, Class D | ||||
4.00%, 10/16/23 144A | 300,000 | 307,228 | ||
Westlake Automobile Receivables Trust, Series 2019-3A, Class A2 | ||||
2.15%, 02/15/23 144A | 380,000 | 380,492 | ||
Wheels SPV 2 LLC, Series 2017-1A, Class A2 | ||||
1.88%, 04/20/26 144A | 25,818 | 25,843 | ||
Total Asset-Backed Securities (Cost $152,874,450) | 153,705,191 | |||
CORPORATE BONDS — 22.9% | ||||
3M Co. | ||||
0.95%, 05/15/23(E) | 160,000 | 185,961 | ||
ADT Security Corporation (The) | ||||
6.25%, 10/15/21 | 150,000 | 158,523 | ||
4.13%, 06/15/23 | 180,000 | 186,000 | ||
AES Corporation | ||||
4.00%, 03/15/21 | 850,000 | 863,600 | ||
AIG Global Funding | ||||
2.30%, 07/01/22 144A | 330,000 | 331,957 | ||
Air Lease Corporation | ||||
2.63%, 07/01/22 | 150,000 | 151,792 | ||
2.25%, 01/15/23Δ | 1,645,000 | 1,647,747 | ||
2.75%, 01/15/23 | 275,000 | 278,812 | ||
Aircastle, Ltd. | ||||
5.13%, 03/15/21 | 2,000,000 | 2,066,673 | ||
Alliant Energy Finance LLC | ||||
3.75%, 06/15/23 144A | 415,000 | 433,484 | ||
Ally Financial, Inc. | ||||
3.88%, 05/21/24 | 400,000 | 419,834 | ||
Ameren Corporation | ||||
2.50%, 09/15/24 | 610,000 | 613,386 | ||
American Electric Power Co., Inc. | ||||
3.65%, 12/01/21 | 490,000 | 505,700 | ||
American Express Co. | ||||
2.75%, 05/20/22 | 1,230,000 | 1,252,935 | ||
American Express Credit Corporation | ||||
2.38%, 05/26/20 | 1,550,000 | 1,551,964 | ||
American Honda Finance Corporation | ||||
2.05%, 01/10/23 | 915,000 | 918,906 | ||
0.55%, 03/17/23(E) | 215,000 | 245,155 | ||
American Tower Corporation REIT | ||||
2.25%, 01/15/22 | 2,700,000 | 2,709,637 | ||
3.50%, 01/31/23 | 95,000 | 98,510 | ||
3.00%, 06/15/23 | 400,000 | 409,101 | ||
3.38%, 05/15/24 | 500,000 | 518,669 | ||
Analog Devices, Inc. | ||||
2.85%, 03/12/20 | 110,000 | 110,156 |
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Par | Value | |||
Antero Resources Corporation | ||||
5.13%, 12/01/22 | $1,130,000 | $1,010,536 | ||
Anthem, Inc. | ||||
3.13%, 05/15/22 | 165,000 | 169,202 | ||
Aon Corporation | ||||
2.20%, 11/15/22 | 855,000 | 859,619 | ||
Apache Corporation | ||||
3.63%, 02/01/21 | 26,000 | 26,271 | ||
3.25%, 04/15/22 | 122,000 | 124,351 | ||
Apple, Inc. | ||||
1.70%, 09/11/22 | 435,000 | 434,865 | ||
1.00%, 11/10/22(E) | 300,000 | 347,688 | ||
Ares Capital Corporation | ||||
3.63%, 01/19/22 | 1,325,000 | 1,348,892 | ||
Arizona Public Service Co. | ||||
2.20%, 01/15/20 | 944,000 | 944,010 | ||
Assurant, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 1.25%), 3.20%, 03/26/21† | 226,000 | 226,028 | ||
AT&T, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 0.75%), 2.66%, 06/01/21† | 2,300,000 | 2,314,228 | ||
3.80%, 03/15/22 | 1,200,000 | 1,245,991 | ||
3.00%, 06/30/22 | 500,000 | 510,929 | ||
3.60%, 02/17/23 | 115,000 | 120,104 | ||
4.45%, 04/01/24 | 350,000 | 379,637 | ||
(Floating, ICE LIBOR USD 3M + 1.18%), 3.07%, 06/12/24† | 1,200,000 | 1,221,607 | ||
Athene Global Funding | ||||
2.75%, 04/20/20 144A | 1,445,000 | 1,448,090 | ||
Aviation Capital Group LLC | ||||
2.88%, 01/20/22 144A | 1,000,000 | 1,007,501 | ||
Bank of America Corporation | ||||
(Variable, ICE LIBOR USD 3M + 0.66%), 2.37%, 07/21/21^ | 1,840,000 | 1,843,951 | ||
(Variable, ICE LIBOR USD 3M + 0.63%), 2.33%, 10/01/21Δ ^ | 765,000 | 767,267 | ||
(Floating, ICE LIBOR USD 3M + 0.38%), 2.31%, 01/23/22† Δ | 900,000 | 901,199 | ||
(Variable, ICE LIBOR USD 3M + 0.37%), 2.74%, 01/23/22^ | 600,000 | 604,467 | ||
(Variable, ICE LIBOR USD 3M + 0.63%), 3.50%, 05/17/22^ | 425,000 | 433,620 | ||
(Floating, ICE LIBOR USD 3M + 0.65%), 2.60%, 06/25/22† | 750,000 | 754,239 | ||
2.50%, 10/21/22 | 175,000 | 176,742 | ||
3.30%, 01/11/23 | 335,000 | 346,555 | ||
(Variable, ICE LIBOR USD 3M + 0.93%), 2.82%, 07/21/23^ | 700,000 | 711,519 | ||
Bank of New York Mellon Corporation (The) | ||||
1.95%, 08/23/22Δ | 640,000 | 641,661 | ||
BBVA USA | ||||
3.50%, 06/11/21 | 1,600,000 | 1,628,126 | ||
Becton Dickinson Euro Finance S.a.r.l. | ||||
0.63%, 06/04/23(E) | 100,000 | 113,402 | ||
Becton, Dickinson and Co. | ||||
2.40%, 06/05/20 | 325,000 | 325,371 | ||
1.40%, 05/24/23(E) | 100,000 | 116,113 |
Par | Value | |||
BGC Partners, Inc. | ||||
5.13%, 05/27/21 | $1,400,000 | $1,446,403 | ||
BMW US Capital LLC | ||||
(Floating, ICE LIBOR USD 3M + 0.50%), 2.40%, 08/13/21 144A † | 3,000,000 | 3,008,461 | ||
Bristol-Myers Squibb Co. | ||||
2.60%, 05/16/22 144A | 875,000 | 889,863 | ||
2.75%, 02/15/23 144A | 110,000 | 112,159 | ||
Broadcom Corporation | ||||
2.38%, 01/15/20 | 3,275,000 | 3,275,174 | ||
Broadcom, Inc. | ||||
3.13%, 04/15/21 144A | 1,465,000 | 1,483,149 | ||
3.13%, 10/15/22 144A | 3,000,000 | 3,057,408 | ||
Cantor Fitzgerald LP | ||||
6.50%, 06/17/22 144A | 750,000 | 811,626 | ||
Capital One Financial Corporation | ||||
3.75%, 04/24/24 | 135,000 | 142,271 | ||
Capital One NA | ||||
2.15%, 09/06/22 | 1,955,000 | 1,959,056 | ||
Centene Corporation | ||||
4.75%, 05/15/22 | 210,000 | 214,574 | ||
4.75%, 01/15/25 144A | 395,000 | 411,122 | ||
CenterPoint Energy Resources Corporation | ||||
3.55%, 04/01/23 | 200,000 | 207,186 | ||
CenterPoint Energy, Inc. | ||||
3.60%, 11/01/21 | 445,000 | 456,780 | ||
CenturyLink, Inc. | ||||
5.63%, 04/01/20 | 530,000 | 533,943 | ||
Charter Communications Operating LLC | ||||
4.46%, 07/23/22 | 540,000 | 567,799 | ||
4.50%, 02/01/24 | 2,700,000 | 2,907,579 | ||
Cheniere Corpus Christi Holdings LLC | ||||
5.88%, 03/31/25 | 630,000 | 709,723 | ||
Cigna Corporation | ||||
3.20%, 09/17/20 | 1,360,000 | 1,370,821 | ||
(Floating, ICE LIBOR USD 3M + 0.65%), 2.55%, 09/17/21† | 860,000 | 860,052 | ||
CIT Bank NA | ||||
(Variable, U.S. SOFR + 1.72%), 2.97%, 09/27/25^ | 440,000 | 439,725 | ||
CIT Group, Inc. | ||||
4.13%, 03/09/21 | 1,030,000 | 1,051,300 | ||
5.00%, 08/15/22 | 750,000 | 796,870 | ||
Citigroup, Inc. | ||||
2.90%, 12/08/21 | 1,700,000 | 1,728,450 | ||
2.75%, 04/25/22 | 1,100,000 | 1,117,962 | ||
(Variable, ICE LIBOR USD 3M + 0.72%), 3.14%, 01/24/23^ | 1,850,000 | 1,887,019 | ||
0.75%, 10/26/23(E) | 190,000 | 217,749 | ||
(Floating, ICE LIBOR USD 3M + 1.02%), 2.93%, 06/01/24† | 1,000,000 | 1,012,196 | ||
Citizens Bank NA | ||||
2.25%, 03/02/20Δ | 285,000 | 285,028 | ||
2.20%, 05/26/20 | 370,000 | 370,207 | ||
3.25%, 02/14/22 | 430,000 | 440,796 |
Table of Contents
Par | Value | |||
Cleveland-Cliffs, Inc. | ||||
4.88%, 01/15/24 144A | $225,000 | $230,426 | ||
CNH Industrial Capital LLC | ||||
3.88%, 10/15/21 | 145,000 | 149,211 | ||
Coca-Cola Co. (The) | ||||
1.13%, 09/22/22(E) | 340,000 | 394,582 | ||
Comcast Corporation | ||||
3.45%, 10/01/21 | 605,000 | 622,937 | ||
Conagra Brands, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 0.75%), 2.70%, 10/22/20† | 905,000 | 905,093 | ||
3.80%, 10/22/21 | 1,125,000 | 1,161,262 | ||
Continental Resources, Inc. | ||||
3.80%, 06/01/24 | 110,000 | 113,881 | ||
CoreCivic, Inc. REIT | ||||
4.63%, 05/01/23Δ | 365,000 | 361,806 | ||
Cox Communications, Inc. | ||||
3.15%, 08/15/24 144A | 290,000 | 298,404 | ||
Crown Castle Towers LLC | ||||
3.22%, 05/15/22 144A | 1,500,000 | 1,518,369 | ||
CVS Health Corporation | ||||
3.35%, 03/09/21 | 903,000 | 918,226 | ||
4.30%, 03/25/28 | 290,000 | 317,067 | ||
D.R. Horton, Inc. | ||||
4.00%, 02/15/20 | 1,100,000 | 1,102,488 | ||
Daimler Finance North America LLC | ||||
2.20%, 05/05/20 144A | 230,000 | 230,132 | ||
2.30%, 02/12/21 144A | 1,455,000 | 1,458,092 | ||
2.88%, 03/10/21 144A Δ | 1,000,000 | 1,008,924 | ||
3.35%, 05/04/21 144A | 230,000 | 233,644 | ||
DCP Midstream Operating LP | ||||
5.35%, 03/15/20 144A | 275,000 | 276,847 | ||
Dell International LLC | ||||
4.42%, 06/15/21 144A | 2,525,000 | 2,599,110 | ||
5.88%, 06/15/21 144A | 356,000 | 362,009 | ||
5.45%, 06/15/23 144A | 2,065,000 | 2,241,239 | ||
Delta Air Lines, Inc. | ||||
2.88%, 03/13/20 | 465,000 | 465,095 | ||
3.63%, 03/15/22 | 2,100,000 | 2,151,770 | ||
DH Europe Finance II S.a.r.l. | ||||
0.20%, 03/18/26(E) | 180,000 | 199,698 | ||
DH Europe Finance S.a.r.l. | ||||
(Floating, Euribor 3M + 0.30%), 0.00%, 06/30/22(E) † | 270,000 | 303,151 | ||
Discover Bank | ||||
3.35%, 02/06/23 | 1,840,000 | 1,898,740 | ||
Discovery Communications LLC | ||||
4.38%, 06/15/21 | 220,000 | 227,287 | ||
3.30%, 05/15/22 | 375,000 | 384,824 | ||
DISH DBS Corporation | ||||
6.75%, 06/01/21 | 700,000 | 737,989 | ||
Dollar Tree, Inc. | ||||
3.70%, 05/15/23Δ | 1,100,000 | 1,146,927 | ||
Dominion Energy Gas Holdings LLC | ||||
(Floating, ICE LIBOR USD 3M + 0.60%), 2.49%, 06/15/21† | 1,800,000 | 1,807,519 | ||
Dominion Energy, Inc. | ||||
2.58%, 07/01/20 | 335,000 | 335,731 |
Par | Value | |||
2.72%, 08/15/21 STEP | $480,000 | $483,870 | ||
2.45%, 01/15/23 144A | 1,430,000 | 1,436,042 | ||
DTE Energy Co. | ||||
2.60%, 06/15/22 | 375,000 | 377,853 | ||
2.25%, 11/01/22 | 1,065,000 | 1,065,645 | ||
Duke Energy Corporation | ||||
3.95%, 10/15/23 | 430,000 | 456,542 | ||
Elanco Animal Health, Inc. | ||||
3.91%, 08/27/21 | 295,000 | 302,721 | ||
Energy Transfer Operating LP | ||||
4.15%, 10/01/20 | 1,115,000 | 1,126,997 | ||
3.60%, 02/01/23 | 105,000 | 107,616 | ||
4.25%, 03/15/23 | 1,630,000 | 1,703,740 | ||
Energy Transfer Partners LP | ||||
5.75%, 09/01/20 | 230,000 | 233,262 | ||
EQT Corporation | ||||
2.50%, 10/01/20 | 395,000 | 394,978 | ||
Equinix, Inc. REIT | ||||
2.63%, 11/18/24 | 1,515,000 | 1,520,977 | ||
Evergy, Inc. | ||||
2.45%, 09/15/24 | 1,020,000 | 1,027,172 | ||
Exelon Corporation | ||||
2.45%, 04/15/21Δ | 175,000 | 175,835 | ||
Fidelity National Information Services, Inc. | ||||
0.40%, 01/15/21(E) | 415,000 | 467,920 | ||
0.13%, 12/03/22(E) | 300,000 | 337,194 | ||
0.75%, 05/21/23(E) | 380,000 | 435,193 | ||
FirstEnergy Corporation | ||||
2.85%, 07/15/22 | 2,357,000 | 2,396,180 | ||
Florida Power & Light Co. | ||||
(Floating, ICE LIBOR USD 3M + 0.40%), 2.31%, 05/06/22† | 420,000 | 420,017 | ||
Ford Motor Credit Co. LLC | ||||
2.68%, 01/09/20 | 900,000 | 900,073 | ||
2.43%, 06/12/20 | 1,135,000 | 1,134,397 | ||
3.16%, 08/04/20 | 225,000 | 225,919 | ||
3.34%, 03/18/21 | 300,000 | 302,327 | ||
(Floating, ICE LIBOR USD 3M + 0.81%), 2.71%, 04/05/21† | 500,000 | 497,791 | ||
(Floating, ICE LIBOR USD 3M + 1.27%), 3.23%, 03/28/22† | 235,000 | 233,352 | ||
4.14%, 02/15/23 | 345,000 | 355,173 | ||
5.58%, 03/18/24 | 300,000 | 324,960 | ||
Freeport-McMoRan, Inc. | ||||
3.55%, 03/01/22 | 495,000 | 502,069 | ||
FS KKR Capital Corporation | ||||
4.75%, 05/15/22 | 1,000,000 | 1,035,501 | ||
GATX Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.72%), 2.61%, 11/05/21† | 500,000 | 502,275 | ||
General Motors Financial Co., Inc. | ||||
2.65%, 04/13/20 | 460,000 | 460,595 | ||
(Floating, ICE LIBOR USD 3M + 0.93%), 2.92%, 04/13/20† | 1,010,000 | 1,011,634 | ||
2.45%, 11/06/20 | 605,000 | 606,542 | ||
3.70%, 11/24/20 | 2,790,000 | 2,823,601 | ||
3.20%, 07/06/21 | 46,000 | 46,646 |
Table of Contents
Par | Value | |||
4.20%, 11/06/21 | $395,000 | $409,641 | ||
(Floating, ICE LIBOR USD 3M + 1.55%), 3.54%, 01/14/22† | 895,000 | 904,293 | ||
(Floating, ICE LIBOR USD 3M + 1.31%), 3.27%, 06/30/22† Δ | 614,000 | 617,128 | ||
Goldman Sachs Group, Inc. (The) | ||||
3.00%, 04/26/22 | 1,040,000 | 1,053,325 | ||
(Floating, ICE LIBOR USD 3M + 0.78%), 2.71%, 10/31/22† | 2,000,000 | 2,014,233 | ||
(Variable, ICE LIBOR USD 3M + 0.82%), 2.88%, 10/31/22^ | 580,000 | 588,355 | ||
Harley-Davidson Financial Services, Inc. | ||||
2.15%, 02/26/20 144A | 260,000 | 260,008 | ||
Honeywell International, Inc. | ||||
1.30%, 02/22/23(E) | 500,000 | 582,875 | ||
Hyundai Capital America | ||||
2.55%, 04/03/20 144A | 315,000 | 315,144 | ||
Illinois Tool Works, Inc. | ||||
0.25%, 12/05/24(E) | 200,000 | 225,474 | ||
International Business Machines Corporation | ||||
0.38%, 01/31/23(E) | 190,000 | 215,554 | ||
International Lease Finance Corporation | ||||
8.25%, 12/15/20 | 800,000 | 845,926 | ||
8.63%, 01/15/22Δ | 1,200,000 | 1,350,634 | ||
Interpublic Group of Cos., Inc. (The) | ||||
3.50%, 10/01/20 | 230,000 | 232,493 | ||
3.75%, 10/01/21 | 80,000 | 82,250 | ||
Iron Mountain, Inc. REIT | ||||
4.38%, 06/01/21 144A Δ | 635,000 | 642,810 | ||
iStar, Inc. REIT | ||||
4.75%, 10/01/24 | 150,000 | 155,750 | ||
Jackson National Life Global Funding | ||||
3.30%, 02/01/22 144A | 1,125,000 | 1,157,212 | ||
JPMorgan Chase & Co. | ||||
(Floating, ICE LIBOR USD 3M + 0.68%), 2.59%, 06/01/21† | 1,265,000 | 1,267,351 | ||
(Floating, ICE LIBOR USD 3M + 0.61%), 2.51%, 06/18/22† Δ | 540,000 | 542,245 | ||
(Variable, ICE LIBOR USD 3M + 0.70%), 3.21%, 04/01/23^ | 1,270,000 | 1,300,835 | ||
JPMorgan Chase Bank NA | ||||
(Variable, ICE LIBOR USD 3M + 0.28%), 2.60%, 02/01/21^ | 1,850,000 | 1,851,008 | ||
(Variable, ICE LIBOR USD 3M + 0.35%), 3.09%, 04/26/21^ | 525,000 | 526,834 | ||
Kinder Morgan Energy Partners LP | ||||
5.00%, 10/01/21 | 300,000 | 312,787 | ||
4.25%, 09/01/24 | 500,000 | 535,847 | ||
Kinder Morgan, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 1.28%), 3.28%, 01/15/23† | 660,000 | 669,673 | ||
Kraft Heinz Foods Co. | ||||
(Floating, ICE LIBOR USD 3M + 0.82%), 2.72%, 08/10/22† Δ | 400,000 | 401,393 | ||
Lam Research Corporation | ||||
3.75%, 03/15/26 | 290,000 | 311,158 |
Par | Value | |||
Lear Corporation | ||||
5.25%, 01/15/25 | $2,300,000 | $2,364,486 | ||
Lehman Escrow Bonds | ||||
0.00%, 01/18/12# | 600,000 | 7,500 | ||
Lennar Corporation | ||||
4.13%, 01/15/22 | 1,250,000 | 1,280,350 | ||
Level 3 Financing, Inc. | ||||
5.13%, 05/01/23 | 200,000 | 201,667 | ||
Mack-Cali Realty LP REIT | ||||
3.15%, 05/15/23Δ | 160,000 | 157,313 | ||
Marriott International, Inc. | ||||
2.13%, 10/03/22 | 630,000 | 631,631 | ||
Marsh & McLennan Cos., Inc. | ||||
3.50%, 03/10/25 | 415,000 | 438,384 | ||
Masco Corporation | ||||
5.95%, 03/15/22 | 683,000 | 734,088 | ||
Mastercard, Inc. | ||||
1.10%, 12/01/22(E) | 280,000 | 324,048 | ||
McCormick & Co., Inc. | ||||
2.70%, 08/15/22 | 200,000 | 203,248 | ||
McDonald’s Corporation | ||||
1.13%, 05/26/22(E) | 200,000 | 231,004 | ||
1.00%, 11/15/23(E) | 100,000 | 116,184 | ||
Medtronic Global Holdings SCA | ||||
0.00%, 12/02/22(E) | 475,000 | 533,577 | ||
0.38%, 03/07/23(E) | 180,000 | 204,243 | ||
Metropolitan Life Global Funding I | ||||
2.38%, 01/11/23(E) | 100,000 | 120,012 | ||
0.38%, 04/09/24(E) | 100,000 | 113,175 | ||
Midwest Connector Capital Co. LLC | ||||
3.63%, 04/01/22 144A | 675,000 | 691,343 | ||
Morgan Stanley | ||||
(Floating, ICE LIBOR USD 3M + 0.55%), 2.45%, 02/10/21† | 1,500,000 | 1,500,747 | ||
2.75%, 05/19/22Δ | 600,000 | 611,277 | ||
3.13%, 01/23/23 | 1,000,000 | 1,028,699 | ||
(Variable, U.S. SOFR + 1.15%), 2.72%, 07/22/25^ | 790,000 | 800,499 | ||
MPLX LP | ||||
(Floating, ICE LIBOR USD 3M + 0.90%), 2.79%, 09/09/21† | 335,000 | 336,060 | ||
6.25%, 10/15/22 144A | 199,000 | 203,053 | ||
3.50%, 12/01/22 144A | 265,000 | 273,028 | ||
MUFG Union Bank NA | ||||
2.10%, 12/09/22 | 1,000,000 | 1,003,223 | ||
National Rural Utilities Cooperative Finance Corporation | ||||
2.30%, 09/15/22 | 1,200,000 | 1,211,215 | ||
Navient Corporation | ||||
8.00%, 03/25/20 | 132,000 | 133,589 | ||
6.63%, 07/26/21 | 575,000 | 609,356 | ||
NextEra Energy Capital Holdings, Inc. | ||||
2.40%, 09/01/21 | 1,135,000 | 1,143,651 | ||
3.20%, 02/25/22 | 100,000 | 102,582 | ||
2.90%, 04/01/22 | 925,000 | 944,365 | ||
1.95%, 09/01/22 | 1,900,000 | 1,907,249 |
Table of Contents
Par | Value | |||
NextEra Energy Operating Partners LP | ||||
4.25%, 07/15/24 144A | $405,000 | $422,551 | ||
Nissan Motor Acceptance Corporation | ||||
2.25%, 01/13/20 144A | 310,000 | 309,992 | ||
2.15%, 09/28/20 144A | 515,000 | 514,052 | ||
3.65%, 09/21/21 144A | 5,000,000 | 5,105,535 | ||
Northwest Airlines Pass-Through Trust, Series 2002-1, Class G2 | ||||
6.26%, 11/20/21 | 42,957 | 44,307 | ||
NuStar Logistics LP | ||||
6.75%, 02/01/21 | 250,000 | 260,100 | ||
Occidental Petroleum Corporation | ||||
2.60%, 08/13/21 | 660,000 | 665,093 | ||
2.70%, 08/15/22 | 820,000 | 828,837 | ||
(Floating, ICE LIBOR USD 3M + 1.45%), 3.36%, 08/15/22† | 1,900,000 | 1,910,330 | ||
ONEOK, Inc. | ||||
4.25%, 02/01/22 | 1,300,000 | 1,349,410 | ||
PayPal Holdings, Inc. | ||||
2.20%, 09/26/22 | 700,000 | 704,446 | ||
Pennsylvania Electric Co. | ||||
5.20%, 04/01/20 | 500,000 | 503,606 | ||
Penske Truck Leasing Co. LP | ||||
3.05%, 01/09/20 144A | 760,000 | 760,103 | ||
3.38%, 02/01/22 144A | 325,000 | 332,013 | ||
4.25%, 01/17/23 144A | 165,000 | 174,026 | ||
3.45%, 07/01/24 144A | 1,500,000 | 1,559,324 | ||
2.70%, 11/01/24 144A | 1,250,000 | 1,260,343 | ||
Phillips 66 | ||||
(Floating, ICE LIBOR USD 3M + 0.60%), 2.52%, 02/26/21† | 595,000 | 595,040 | ||
Protective Life Global Funding | ||||
2.16%, 09/25/20 144A | 425,000 | 425,681 | ||
2.62%, 08/22/22 144A | 575,000 | 581,777 | ||
QEP Resources, Inc. | ||||
6.88%, 03/01/21 | 543,000 | 563,580 | ||
Qwest Corporation | ||||
6.75%, 12/01/21 | 350,000 | 376,987 | ||
Regions Financial Corporation | ||||
2.75%, 08/14/22 | 1,700,000 | 1,731,288 | ||
Reliance Standard Life Global Funding II | ||||
2.63%, 07/22/22 144A | 595,000 | 603,556 | ||
Ryder System, Inc. | ||||
2.88%, 06/01/22Δ | 3,050,000 | 3,097,865 | ||
Sabine Pass Liquefaction LLC | ||||
5.63%, 02/01/21 | 1,170,000 | 1,202,840 | ||
6.25%, 03/15/22 | 1,100,000 | 1,182,193 | ||
5.75%, 05/15/24 | 130,000 | 145,121 | ||
Santander Holdings USA, Inc. | ||||
2.65%, 04/17/20 | 1,230,000 | 1,231,441 | ||
4.45%, 12/03/21 | 475,000 | 493,916 | ||
3.70%, 03/28/22 | 1,115,000 | 1,146,397 | ||
Sempra Energy | ||||
2.40%, 02/01/20 | 290,000 | 290,025 | ||
(Floating, ICE LIBOR USD 3M + 0.50%), 2.50%, 01/15/21† | 630,000 | 630,116 |
Par | Value | |||
Simon International Finance SCA REIT | ||||
1.38%, 11/18/22(E) | $105,000 | $121,822 | ||
Sirius XM Radio, Inc. | ||||
3.88%, 08/01/22 144A | 1,250,000 | 1,279,679 | ||
SLM Corporation | ||||
5.13%, 04/05/22 | 404,000 | 419,150 | ||
Smithfield Foods, Inc. | ||||
2.65%, 10/03/21 144A | 495,000 | 492,266 | ||
Southern California Edison Co. | ||||
2.90%, 03/01/21 | 1,000,000 | 1,010,760 | ||
1.85%, 02/01/22 | 535,714 | 529,291 | ||
Southern Co. (The) | ||||
2.35%, 07/01/21 | 800,000 | 804,241 | ||
Spectra Energy Partners LP | ||||
4.75%, 03/15/24 | 90,000 | 98,059 | ||
Sprint Spectrum Co. LLC | ||||
3.36%, 09/20/21 144A | 818,125 | 826,429 | ||
Sprint Spectrum Co., LLC | ||||
4.74%, 03/20/25 144A | 445,000 | 472,543 | ||
Starwood Property Trust, Inc. REIT | ||||
3.63%, 02/01/21 | 270,000 | 272,470 | ||
5.00%, 12/15/21 | 275,000 | 285,931 | ||
Sterling Bancorp | ||||
3.50%, 06/08/20 | 480,000 | 481,429 | ||
Stryker Corporation | ||||
0.25%, 12/03/24(E) | 100,000 | 112,130 | ||
Sunoco Logistics Partners Operations LP | ||||
5.50%, 02/15/20 | 130,000 | 130,429 | ||
Synchrony Bank | ||||
(Floating, ICE LIBOR USD 3M + 0.63%), 2.59%, 03/30/20† | 1,700,000 | 1,701,383 | ||
Synchrony Financial | ||||
(Floating, ICE LIBOR USD 3M + 1.23%), 3.13%, 02/03/20† | 250,000 | 250,200 | ||
2.85%, 07/25/22 | 840,000 | 850,684 | ||
Taylor Morrison Communities, Inc. | ||||
5.63%, 03/01/24 144A | 200,000 | 216,083 | ||
Toll Brothers Finance Corporation | ||||
4.38%, 04/15/23 | 200,000 | 209,583 | ||
Toyota Motor Credit Corporation | ||||
0.00%, 07/21/21(E) | 180,000 | 202,563 | ||
2.38%, 02/01/23(E) | 170,000 | 205,425 | ||
TRI Pointe Group, Inc. | ||||
4.88%, 07/01/21 | 300,000 | 308,370 | ||
Truist Bank | ||||
(Variable, ICE LIBOR USD 3M + 0.30%), 2.59%, 01/29/21^ | 1,515,000 | 1,518,658 | ||
2.80%, 05/17/22 | 1,555,000 | 1,585,073 | ||
Truist Financial Corporation | ||||
2.20%, 03/16/23 | 1,185,000 | 1,193,408 | ||
United Technologies Corporation | ||||
3.35%, 08/16/21Δ | 915,000 | 937,195 | ||
1.13%, 12/15/21(E) | 125,000 | 142,859 | ||
1.15%, 05/18/24(E) | 275,000 | 319,813 |
Table of Contents
Par | Value | |||
Ventas Realty LP REIT | ||||
2.65%, 01/15/25 | $905,000 | $912,459 | ||
Verizon Communications, Inc. | ||||
0.50%, 06/02/22(E) | 105,000 | 119,367 | ||
(Floating, ICE LIBOR USD 3M + 1.10%), 3.01%, 05/15/25† | 1,900,000 | 1,945,040 | ||
3.88%, 02/08/29 | 140,000 | 154,564 | ||
Vistra Energy Corporation | ||||
5.88%, 06/01/23 | 150,000 | 153,830 | ||
Volkswagen Group of America Finance LLC | ||||
2.50%, 09/24/21 144A | 410,000 | 413,750 | ||
2.70%, 09/26/22 144A | 2,000,000 | 2,024,181 | ||
WEC Energy Group, Inc. | ||||
3.38%, 06/15/21Δ | 555,000 | 566,409 | ||
3.10%, 03/08/22 | 550,000 | 561,952 | ||
Wells Fargo & Co. | ||||
2.50%, 03/04/21 | 510,000 | 513,786 | ||
2.63%, 07/22/22 | 2,000,000 | 2,030,538 | ||
3.07%, 01/24/23 | 50,000 | 51,053 | ||
3.75%, 01/24/24 | 220,000 | 232,749 | ||
Wells Fargo Bank NA | ||||
(Variable, ICE LIBOR USD 3M + 0.49%), 3.33%, 07/23/21^ | 1,320,000 | 1,330,460 | ||
(Variable, ICE LIBOR USD 3M + 0.65%), 2.08%, 09/09/22^ | 1,730,000 | 1,733,109 | ||
Westinghouse Air Brake Technologies Corporation | ||||
4.40%, 03/15/24 | 800,000 | 849,964 | ||
Williams Cos., Inc. (The) | ||||
4.00%, 11/15/21 | 175,000 | 179,970 | ||
3.70%, 01/15/23 | 80,000 | 82,907 | ||
Wisconsin Electric Power Co. | ||||
2.05%, 12/15/24 | 200,000 | 200,051 | ||
WR Grace & Co-Conn | ||||
5.13%, 10/01/21 144A | 135,000 | 140,998 | ||
WRKCo, Inc. | ||||
3.75%, 03/15/25 | 115,000 | 121,385 | ||
Xerox Corporation | ||||
3.50%, 08/20/20 | 270,000 | 272,508 | ||
Zimmer Biomet Holdings, Inc. | ||||
2.70%, 04/01/20 | 190,000 | 190,129 | ||
Zions Bancorp NA | ||||
3.35%, 03/04/22Δ | 590,000 | 605,584 | ||
Zoetis, Inc. | ||||
3.45%, 11/13/20 | 300,000 | 303,274 | ||
Total Corporate Bonds (Cost $224,878,804) | 227,332,739 | |||
FOREIGN BONDS — 15.4% | ||||
Australia — 0.9% | ||||
Macquarie Group, Ltd. | ||||
(Floating, ICE LIBOR USD 3M + 1.02%), 2.93%, 11/28/23 144A † Δ | 1,435,000 | 1,446,740 | ||
National Australia Bank, Ltd. | ||||
2.25%, 03/16/21 144A | 1,500,000 | 1,506,257 | ||
Scentre Group Trust 1 REIT | ||||
2.38%, 04/28/21 144A | 1,500,000 | 1,502,925 |
Par | Value | |||
Suncorp-Metway, Ltd. | ||||
2.38%, 11/09/20 144A | $785,000 | $787,274 | ||
Telstra Corporation, Ltd. | ||||
3.50%, 09/21/22(E) | 200,000 | 246,216 | ||
Westpac Banking Corporation | ||||
3.15%, 01/16/24 144A | 1,275,000 | 1,334,318 | ||
Woodside Finance, Ltd. | ||||
4.60%, 05/10/21 144A | 1,300,000 | 1,332,137 | ||
3.70%, 09/15/26 144A | 400,000 | 416,730 | ||
8,572,597 | ||||
Belgium — 0.0% | ||||
KBC Group NV | ||||
1.13%, 01/25/24(E) | 200,000 | 232,526 | ||
Bermuda — 0.0% | ||||
Enstar Group, Ltd. | ||||
4.50%, 03/10/22 | 275,000 | 285,233 | ||
Canada — 1.6% | ||||
Bank of Montreal | ||||
2.90%, 03/26/22 | 1,105,000 | 1,126,993 | ||
Bank of Nova Scotia (The) | ||||
2.00%, 11/15/22Δ | 1,335,000 | 1,337,712 | ||
2.38%, 01/18/23Δ | 715,000 | 726,108 | ||
Bausch Health Cos., Inc. | ||||
6.50%, 03/15/22 144A | 300,000 | 307,125 | ||
Canadian Government Bond | ||||
1.00%, 09/01/22(C) | 11,300,000 | 8,547,945 | ||
Encana Corporation | ||||
3.90%, 11/15/21 | 1,200,000 | 1,229,292 | ||
Husky Energy, Inc. | ||||
3.95%, 04/15/22 | 756,000 | 782,154 | ||
National Bank of Canada | ||||
2.15%, 10/07/22 144A | 630,000 | 630,283 | ||
Toronto-Dominion Bank (The) | ||||
0.38%, 04/25/24(E) | 305,000 | 345,213 | ||
TransCanada PipeLines, Ltd. | ||||
3.75%, 10/16/23 | 45,000 | 47,450 | ||
WestJet Airlines, Ltd. | ||||
3.50%, 06/16/21 144A | 600,000 | 609,583 | ||
15,689,858 | ||||
Chile — 0.1% | ||||
Banco del Estado de Chile | ||||
2.67%, 01/08/21 144A | 725,000 | 727,544 | ||
Banco Santander Chile | ||||
2.50%, 12/15/20 144A | 635,000 | 635,572 | ||
1,363,116 | ||||
China — 0.4% | ||||
Avolon Holdings Funding, Ltd. | ||||
3.63%, 05/01/22 144A | 350,000 | 359,048 | ||
5.50%, 01/15/23 144A | 900,000 | 972,895 | ||
Baidu, Inc. | ||||
2.88%, 07/06/22Δ | 235,000 | 236,924 | ||
Park Aerospace Holdings, Ltd. | ||||
3.63%, 03/15/21 144A | 700,000 | 710,367 | ||
5.25%, 08/15/22 144A | 800,000 | 854,570 |
Table of Contents
Par | Value | |||
Sinopec Group Overseas Development 2017, Ltd. | ||||
2.38%, 04/12/20 144A | $970,000 | $970,398 | ||
4,104,202 | ||||
Denmark — 0.1% | ||||
Danske Bank A/S | ||||
(Variable, ICE LIBOR USD 3M + 1.25%), 3.00%, 09/20/22 144A ^ | 745,000 | 751,791 | ||
Finland — 0.0% | ||||
Nokia OYJ | ||||
3.38%, 06/12/22 | 185,000 | 187,774 | ||
France — 0.6% | ||||
Air Liquide Finance SA | ||||
0.38%, 04/18/22(E) | 100,000 | 113,559 | ||
Autoroutes du Sud de la France SA | ||||
2.95%, 01/17/24(E) | 100,000 | 124,800 | ||
Banque Federative du Credit Mutuel | ||||
0.13%, 02/05/24(E) | 200,000 | 224,027 | ||
Banque Federative du Credit Mutuel SA | ||||
2.13%, 11/21/22 144A | 1,195,000 | 1,197,181 | ||
0.75%, 06/15/23(E) | 100,000 | 114,794 | ||
Credit Agricole SA | ||||
3.38%, 01/10/22 144A | 1,600,000 | 1,637,803 | ||
0.88%, 01/19/22(E) | 200,000 | 229,016 | ||
0.75%, 12/01/22(E) | 100,000 | 114,852 | ||
Dassault Systemes SE | ||||
0.00%, 09/16/22(E) | 300,000 | 337,194 | ||
Engie SA | ||||
0.38%, 02/28/23(E) | 200,000 | 227,053 | ||
HSBC France SA | ||||
0.25%, 05/17/24(E) | 200,000 | 225,357 | ||
Orange SA | ||||
0.50%, 01/15/22(E) | 100,000 | 113,445 | ||
0.75%, 09/11/23(E) | 500,000 | 573,991 | ||
Schneider Electric SE | ||||
0.25%, 09/09/24(E) | 200,000 | 226,473 | ||
Societe Generale SA | ||||
0.00%, 05/27/22(E) | 300,000 | 336,714 | ||
Total Capital International SA | ||||
2.13%, 03/15/23(E) | 100,000 | 120,262 | ||
0.25%, 07/12/23(E) | 100,000 | 113,461 | ||
Veolia Environnement SA | ||||
0.67%, 03/30/22(E) | 200,000 | 227,439 | ||
6,257,421 | ||||
Germany — 0.4% | ||||
BASF SE | ||||
2.00%, 12/05/22(E) | 195,000 | 232,219 | ||
Deutsche Bank AG | ||||
3.15%, 01/22/21 | 1,405,000 | 1,411,717 | ||
4.25%, 02/04/21 | 410,000 | 416,651 | ||
E.ON SE | ||||
0.00%, 10/24/22(E) | 240,000 | 269,143 |
Par | Value | |||
SAP SE | ||||
0.25%, 03/10/22(E) | $200,000 | $226,328 | ||
Volkswagen Bank GmbH | ||||
1.88%, 01/31/24(E) | 300,000 | 354,267 | ||
Volkswagen Leasing GmbH | ||||
(Floating, 0.45% - Euribor 3M), 0.06%, 08/02/21(E) † | 300,000 | 336,656 | ||
1.00%, 02/16/23(E) Δ | 460,000 | 526,267 | ||
3,773,248 | ||||
India — 0.3% | ||||
Export-Import Bank of India | ||||
2.75%, 04/01/20 | 1,300,000 | 1,301,942 | ||
ICICI Bank, Ltd. | ||||
3.13%, 08/12/20 | 1,000,000 | 1,003,561 | ||
State Bank of India | ||||
(Floating, ICE LIBOR USD 3M + 0.95%), 2.85%, 04/06/20† | 1,000,000 | 1,000,900 | ||
3,306,403 | ||||
Indonesia — 0.1% | ||||
Pelabuhan Indonesia III Persero PT | ||||
4.50%, 05/02/23 144A | 1,175,000 | 1,242,856 | ||
Ireland — 0.6% | ||||
Abbott Ireland Financing DAC | ||||
0.88%, 09/27/23(E) | 200,000 | 231,616 | ||
0.10%, 11/19/24(E) | 170,000 | 190,595 | ||
AerCap Ireland Capital DAC | ||||
5.00%, 10/01/21 | 900,000 | 943,941 | ||
3.50%, 05/26/22 | 460,000 | 473,033 | ||
4.63%, 07/01/22 | 300,000 | 317,118 | ||
3.30%, 01/23/23 | 155,000 | 158,985 | ||
2.88%, 08/14/24 | 150,000 | 151,510 | ||
3.50%, 01/15/25 | 550,000 | 567,433 | ||
Eaton Capital Unlimited Co. | ||||
0.02%, 05/14/21(E) | 275,000 | 308,922 | ||
ESB Finance DAC | ||||
3.49%, 01/12/24(E) | 100,000 | 127,593 | ||
Shire Acquisitions Investments Ireland DAC | ||||
2.40%, 09/23/21 | 740,000 | 744,400 | ||
2.88%, 09/23/23 | 200,000 | 203,927 | ||
SMBC Aviation Capital Finance DAC | ||||
2.65%, 07/15/21 144A | 390,000 | 392,841 | ||
3.00%, 07/15/22 144A | 540,000 | 549,814 | ||
3.55%, 04/15/24 144A | 800,000 | 831,552 | ||
Willis Towers Watson PLC | ||||
5.75%, 03/15/21 | 131,000 | 136,576 | ||
6,329,856 | ||||
Italy — 1.1% | ||||
Italy Buoni Ordinari del Tesoro BOT | ||||
0.00%, 01/31/20(E) Ω | 4,004,000 | 4,492,380 | ||
0.00%, 02/14/20(E) Ω | 4,596,000 | 5,157,264 |
Table of Contents
Par | Value | |||
Republic of Italy Government International Bond | ||||
2.38%, 10/17/24 | $890,000 | $873,246 | ||
10,522,890 | ||||
Japan — 2.5% | ||||
Central Nippon Expressway Co., Ltd. | ||||
(Floating, ICE LIBOR USD 3M + 0.85%), 2.74%, 09/14/21† | 1,000,000 | 1,006,430 | ||
(Floating, ICE LIBOR USD 3M + 0.56%), 2.45%, 11/02/21† | 1,000,000 | 1,001,451 | ||
2.85%, 03/03/22 | 2,000,000 | 2,024,855 | ||
Japan Treasury Discount Bill | ||||
0.00%, 02/10/20(J) Ω | 669,600,000 | 6,163,712 | ||
Mitsubishi UFJ Financial Group, Inc. | ||||
3.54%, 07/26/21 | 65,000 | 66,546 | ||
3.22%, 03/07/22 | 2,030,000 | 2,080,707 | ||
2.62%, 07/18/22 | 1,635,000 | 1,657,964 | ||
2.67%, 07/25/22Δ | 2,000,000 | 2,030,283 | ||
Mitsubishi UFJ Lease & Finance Co., Ltd. | ||||
2.25%, 09/07/21 | 500,000 | 499,739 | ||
Mizuho Financial Group, Inc. | ||||
(Variable, ICE LIBOR USD 3M + 0.84%), 2.72%, 07/16/23^ | 1,190,000 | 1,204,737 | ||
0.52%, 06/10/24(E) | 100,000 | 113,173 | ||
NTT Finance Corporation | ||||
1.90%, 07/21/21 | 500,000 | 498,762 | ||
ORIX Corporation | ||||
3.20%, 01/19/22 | 700,000 | 713,121 | ||
Sumitomo Mitsui Financial Group, Inc. | ||||
2.93%, 03/09/21 | 1,600,000 | 1,617,646 | ||
2.06%, 07/14/21 | 1,100,000 | 1,101,878 | ||
2.85%, 01/11/22 | 1,600,000 | 1,625,498 | ||
Takeda Pharmaceutical Co., Ltd. | ||||
4.00%, 11/26/21 | 1,100,000 | 1,138,063 | ||
24,544,565 | ||||
Mexico — 0.8% | ||||
Mexico Cetes | ||||
6.62%, 01/16/20(M) Ω | 154,200,000 | 8,129,328 | ||
Netherlands — 1.7% | ||||
Allianz Finance II BV | ||||
0.25%, 06/06/23(E) | 200,000 | 226,731 | ||
BMW Finance NV | ||||
2.25%, 08/12/22 144A | 1,270,000 | 1,275,569 | ||
BNG Bank NV | ||||
2.50%, 02/28/20 144A | 2,000,000 | 2,001,938 | ||
1.50%, 09/06/22 144A Δ | 1,450,000 | 1,441,483 | ||
Cooperatieve Rabobank UA | ||||
3.13%, 04/26/21Δ | 1,570,000 | 1,595,128 | ||
Daimler International Finance BV | ||||
0.25%, 08/09/21(E) | 25,000 | 28,183 | ||
0.25%, 11/06/23(E) | 90,000 | 100,947 | ||
Enel Finance International NV | ||||
2.88%, 05/25/22 144A | 1,715,000 | 1,737,715 | ||
4.25%, 09/14/23 144A | 400,000 | 423,815 |
Par | Value | |||
0.00%, 06/17/24(E) | $300,000 | $333,234 | ||
Iberdrola International BV | ||||
3.50%, 02/01/21(E) | 200,000 | 233,326 | ||
ING Bank NV | ||||
0.00%, 04/08/22(E) | 100,000 | 112,392 | ||
(Floating, 0.40% - Euribor 3M), 0.00%, 04/08/22(E) † | 200,000 | 225,565 | ||
ING Groep NV | ||||
1.00%, 09/20/23(E) | 200,000 | 230,999 | ||
innogy Finance BV | ||||
0.75%, 11/30/22(E) | 50,000 | 57,118 | ||
LeasePlan Corporation NV | ||||
2.88%, 10/24/24 144A | 1,400,000 | 1,401,088 | ||
Mylan NV | ||||
3.15%, 06/15/21 | 2,000,000 | 2,026,773 | ||
Nederlandse Waterschapsbank NV | ||||
1.50%, 08/27/21 144A | 1,810,000 | 1,803,969 | ||
NXP BV | ||||
4.13%, 06/01/21 144A | 500,000 | 512,819 | ||
Roche Finance Europe BV | ||||
0.50%, 02/27/23(E) | 80,000 | 91,484 | ||
Schlumberger Finance BV | ||||
0.00%, 10/15/24(E) | 200,000 | 223,129 | ||
Siemens Financieringsmaatschappij NV | ||||
0.00%, 09/05/21(E) | 376,000 | 423,728 | ||
0.38%, 09/06/23(E) | 235,000 | 268,092 | ||
Vonovia Finance BV | ||||
0.13%, 04/06/23(E) | 200,000 | 223,718 | ||
16,998,943 | ||||
New Zealand — 0.2% | ||||
ANZ New Zealand International, Ltd. | ||||
2.88%, 01/25/22 144A | 740,000 | 752,387 | ||
BNZ International Funding, Ltd. | ||||
2.10%, 09/14/21 144A | 1,415,000 | 1,417,368 | ||
2,169,755 | ||||
Norway — 0.0% | ||||
Telenor ASA | ||||
0.00%, 09/25/23(E) | 100,000 | 112,080 | ||
Peru — 0.1% | ||||
Fondo MIVIVIENDA SA | ||||
3.50%, 01/31/23 144A | 690,000 | 706,681 | ||
Qatar — 0.3% | ||||
QNB Finance, Ltd. | ||||
(Floating, ICE LIBOR USD 3M + 1.00%), 2.90%, 05/02/22† | 3,000,000 | 3,007,503 | ||
Singapore — 0.1% | ||||
BOC Aviation, Ltd. | ||||
3.00%, 05/23/22 | 700,000 | 706,040 | ||
DBS Group Holdings, Ltd. | ||||
2.85%, 04/16/22 144A | 595,000 | 604,718 | ||
1,310,758 |
Table of Contents
Par | Value | |||
South Korea — 0.3% | ||||
Industrial Bank of Korea | ||||
2.13%, 10/23/24 144A | $3,100,000 | $3,091,938 | ||
Spain — 0.1% | ||||
Amadeus Capital Markets SAU | ||||
1.63%, 11/17/21(E) | 100,000 | 115,302 | ||
Banco de Sabadell SA | ||||
(Variable, 0.97% - EUR Swap Rate 1Y), 0.63%, 11/07/25(E) ^ | 100,000 | 111,360 | ||
Banco Santander SA | ||||
2.71%, 06/27/24 | 400,000 | 405,952 | ||
632,614 | ||||
Sweden — 0.2% | ||||
Atlas Copco AB | ||||
2.50%, 02/28/23(E) | 255,000 | 309,476 | ||
Stadshypotek AB | ||||
2.50%, 04/05/22 144A | 1,000,000 | 1,013,473 | ||
Telefonaktiebolaget LM Ericsson | ||||
4.13%, 05/15/22 | 155,000 | 161,491 | ||
Volvo Treasury AB | ||||
(Floating, 0.65% - Euribor 3M), 0.26%, 09/13/21(E) † | 200,000 | 225,789 | ||
1,710,229 | ||||
Switzerland — 0.4% | ||||
Credit Suisse Group AG | ||||
3.57%, 01/09/23 144A | 750,000 | 770,977 | ||
Credit Suisse Group Funding Guernsey, Ltd. | ||||
3.80%, 09/15/22 | 1,650,000 | 1,718,444 | ||
UBS Group AG | ||||
(Floating, ICE LIBOR USD 3M + 1.78%), 3.77%, 04/14/21 144A † Δ | 900,000 | 917,107 | ||
(Variable, ICE LIBOR USD 3M + 0.95%), 2.86%, 08/15/23 144A ^ | 365,000 | 371,026 | ||
3,777,554 | ||||
United Arab Emirates — 0.1% | ||||
Abu Dhabi Government International Bond | ||||
2.50%, 10/11/22 144A | 655,000 | 663,931 | ||
United Kingdom — 2.4% | ||||
Aon PLC | ||||
2.80%, 03/15/21Δ | 225,000 | 227,458 | ||
Barclays Bank PLC | ||||
2.65%, 01/11/21 | 700,000 | 704,726 | ||
Barclays PLC | ||||
3.25%, 01/12/21 | 725,000 | 732,570 | ||
(Variable, ICE LIBOR USD 3M + 1.40%), 4.61%, 02/15/23^ | 600,000 | 626,961 | ||
(Variable, ICE LIBOR USD 3M + 1.36%), 4.34%, 05/16/24^ | 900,000 | 949,437 | ||
BG Energy Capital PLC | ||||
4.00%, 10/15/21 144A | 1,000,000 | 1,033,333 |
Par | Value | |||
BP Capital Markets PLC | ||||
1.53%, 09/26/22(E) | $360,000 | $421,255 | ||
1.11%, 02/16/23(E) | 170,000 | 197,144 | ||
CK Hutchison International 17 II, Ltd. | ||||
2.25%, 09/29/20 144A Δ | 990,000 | 989,725 | ||
HSBC Holdings PLC | ||||
(Variable, ICE LIBOR USD 3M + 1.06%), 3.26%, 03/13/23^ | 270,000 | 276,289 | ||
3.60%, 05/25/23 | 3,000,000 | 3,131,756 | ||
(Variable, ICE LIBOR USD 3M + 0.99%), 3.95%, 05/18/24^ | 350,000 | 368,436 | ||
Lloyds Banking Group PLC | ||||
(Variable, ICE LIBOR USD 3M + 1.25%), 2.86%, 03/17/23^ | 2,500,000 | 2,535,359 | ||
Motability Operations Group PLC | ||||
1.63%, 06/09/23(E) | 240,000 | 284,340 | ||
Nationwide Building Society | ||||
(Variable, ICE LIBOR USD 3M + 1.18%), 3.62%, 04/26/23 144A ^ | 1,500,000 | 1,543,670 | ||
NatWest Markets PLC | ||||
3.63%, 09/29/22 144A | 635,000 | 658,078 | ||
Royal Bank of Scotland Group PLC | ||||
(Floating, ICE LIBOR USD 3M + 1.47%), 3.38%, 05/15/23† | 1,810,000 | 1,830,749 | ||
3.88%, 09/12/23 | 240,000 | 251,684 | ||
Santander UK Group Holdings PLC | ||||
2.88%, 08/05/21 | 3,500,000 | 3,536,813 | ||
3.57%, 01/10/23 | 350,000 | 358,489 | ||
(Variable, ICE LIBOR USD 3M + 1.08%), 3.37%, 01/05/24^ | 215,000 | 220,396 | ||
Santander UK PLC | ||||
3.75%, 11/15/21 | 525,000 | 543,186 | ||
Sky, Ltd. | ||||
1.50%, 09/15/21(E) | 100,000 | 115,294 | ||
Standard Chartered PLC | ||||
(Variable, ICE LIBOR USD 3M + 1.20%), 2.74%, 09/10/22 144A ^ | 2,300,000 | 2,316,073 | ||
23,853,221 | ||||
Total Foreign Bonds (Cost $151,698,027) | 153,328,871 | |||
MORTGAGE-BACKED SECURITIES — 26.8% | ||||
280 Park Avenue Mortgage Trust, Series 2017-280P, Class D | ||||
(Floating, ICE LIBOR USD 1M + 1.54%, 1.54% Floor), 3.28%, 09/15/34 144A † | 315,000 | 315,899 | ||
American Home Mortgage Assets Trust, Series 2006-5, Class A1 | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 0.92%, 0.92% Floor), 3.16%, 11/25/46† | 649,645 | 317,256 | ||
American Home Mortgage Investment Trust, Series 2004-3, Class 5A | ||||
(Floating, ICE LIBOR USD 1Y + 1.50%, 1.50% Floor, 11.00% Cap), 3.48%, 10/25/34† | 7,405 | 7,413 |
Table of Contents
Par | Value | |||
Americold LLC, Series 2010-ARTA, Class A1 | ||||
3.85%, 01/14/29 144A | $225,319 | $226,865 | ||
AOA Mortgage Trust, Series 2015-1177, Class A | ||||
2.96%, 12/13/29 144A | 1,330,000 | 1,335,748 | ||
Aventura Mall Trust, Series 2013-AVM, Class A | ||||
3.74%, 12/05/32 144A † γ | 1,770,000 | 1,782,602 | ||
Aventura Mall Trust, Series 2013-AVM, Class B | ||||
3.74%, 12/05/32 144A † γ | 1,410,000 | 1,419,678 | ||
Banc of America Funding Trust, Series 2006-J, Class 4A1 | ||||
4.32%, 01/20/47† γ | 173,271 | 168,891 | ||
Banc of America Mortgage Trust, Series 2003-L, Class 3A1 | ||||
4.40%, 01/25/34† γ | 80,057 | 80,961 | ||
Banc of America Mortgage Trust, Series 2004-2, Class 5A1 | ||||
6.50%, 10/25/31 | 26,525 | 27,524 | ||
Bancorp Commercial Mortgage Trust, Series 2019-CRE6, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.05%, 1.05% Floor), 2.82%, 09/15/36 144A † | 397,461 | 398,009 | ||
BANK, Series 2019-BN18, Class A2 | ||||
3.47%, 05/15/62 | 610,000 | 634,673 | ||
BANK, Series 2019-BN24, Class A3 | ||||
2.96%, 11/15/62 | 270,000 | 277,836 | ||
BBCMS Trust, Series 2013-TYSN, Class E | ||||
3.71%, 09/05/32 144A | 200,000 | 200,626 | ||
Bear Stearns ALT-A Trust, Series 2004-10, Class 2A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.66%, 0.33% Floor, 11.50% Cap), 2.45%, 09/25/34† | 206,943 | 206,514 | ||
Bear Stearns ARM Trust, Series 2003-8, Class 4A1 | ||||
4.28%, 01/25/34† γ | 102,434 | 105,346 | ||
Bear Stearns ARM Trust, Series 2004-5, Class 2A | ||||
4.37%, 07/25/34† γ | 96,391 | 97,165 | ||
Bear Stearns Commercial Mortgage Securities Trust, Series 2007-T26, Class AM | ||||
5.45%, 01/12/45† γ | 121,836 | 121,076 | ||
Benchmark, Series 2019-B15, Class A5 | ||||
2.93%, 12/15/72 | 930,000 | 949,187 | ||
Brass No. 8 PLC, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 0.70%), 2.81%, 11/16/66 144A † | 300,000 | 300,199 | ||
BX Commercial Mortgage Trust, Series 2019-XL, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.92%, 0.92% Floor), 2.66%, 10/15/36 144A † | 1,790,000 | 1,793,611 |
Par | Value | |||
BX Commercial Mortgage Trust, Series 2019-XL, Class B | ||||
(Floating, ICE LIBOR USD 1M + 1.08%, 1.08% Floor), 2.82%, 10/15/36 144A † | $670,000 | $671,655 | ||
BX Commercial Mortgage Trust, Series 2019-XL, Class D | ||||
(Floating, ICE LIBOR USD 1M + 1.45%, 1.45% Floor), 3.19%, 10/15/36 144A † | 785,000 | 786,979 | ||
Cantor Commercial Real Estate Lending, Series 2019-CF3, Class A4 | ||||
3.01%, 01/15/53 | 1,020,000 | 1,050,045 | ||
CFCRE Commercial Mortgage Trust, Series 2017-C8, Class ASB | ||||
3.37%, 06/15/50 | 1,500,000 | 1,555,439 | ||
CGBAM Commercial Mortgage Trust, Series 2015-SMRT, Class B | ||||
3.21%, 04/10/28 144A | 850,000 | 849,528 | ||
Chase Home Lending Mortgage Trust, Series 2019-ATR2, Class A11 | ||||
(Floating, ICE LIBOR USD 1M + 0.90%, 0.90% Floor), 2.69%, 07/25/49 144A † | 219,456 | 218,793 | ||
Chase Home Lending Mortgage Trust, Series 2019-ATR2, Class A3 | ||||
3.50%, 07/25/49 144A † γ | 448,326 | 456,382 | ||
CHC Commercial Mortgage Trust, Series 2019-CHC, Class D | ||||
(Floating, ICE LIBOR USD 1M + 2.05%, 2.05% Floor), 3.79%, 06/15/34 144A † | 1,610,000 | 1,612,100 | ||
CHL Mortgage Pass-Through Trust, Series 2004-29, Class 1A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.54%, 0.27% Floor, 11.50% Cap), 2.33%, 02/25/35† | 62,933 | 61,321 | ||
Citigroup Commercial Mortgage Trust, Series 2016-P5, Class AAB | ||||
2.84%, 10/10/49 | 1,010,000 | 1,028,051 | ||
COMM Mortgage Trust, Series 2012-CR4, Class ASB | ||||
2.44%, 10/15/45 | 413,442 | 413,440 | ||
COMM Mortgage Trust, Series 2013-300P, Class A1 | ||||
4.35%, 08/10/30 144A | 515,000 | 545,593 | ||
COMM Mortgage Trust, Series 2013-CR12, Class A2 | ||||
2.90%, 10/10/46 | 71,678 | 71,630 | ||
COMM Mortgage Trust, Series 2013-CR8, Class A5 | ||||
3.61%, 06/10/46 | 750,000 | 781,847 | ||
COMM Mortgage Trust, Series 2013-SFS, Class A1 | ||||
1.87%, 04/12/35 144A | 286,068 | 284,737 | ||
COMM Mortgage Trust, Series 2014-CR17, Class ASB | ||||
3.60%, 05/10/47 | 1,348,442 | 1,386,905 |
Table of Contents
Par | Value | |||
COMM Mortgage Trust, Series 2014-UBS3, Class ASB | ||||
3.37%, 06/10/47 | $933,563 | $955,519 | ||
COMM Mortgage Trust, Series 2014-UBS5, Class ASB | ||||
3.55%, 09/10/47 | 367,382 | 377,334 | ||
COMM Mortgage Trust, Series 2015-CR24, Class ASB | ||||
3.45%, 08/10/48 | 480,000 | 494,797 | ||
COMM Mortgage Trust, Series 2015-CR25, Class ASB | ||||
3.54%, 08/10/48 | 1,160,000 | 1,201,858 | ||
COMM Trust, Series 2013-GAM, Class A1 | ||||
1.71%, 02/10/28 144A | 229,457 | 228,423 | ||
COMM, Series 2015-PC1, Class A4 | ||||
3.62%, 07/10/50 | 585,000 | 614,150 | ||
Connecticut Avenue Securities Trust, Series 2019-R07, Class 1M1 | ||||
(Floating, ICE LIBOR USD 1M + 0.77%), 2.56%, 10/25/39 144A † | 2,287,298 | 2,288,989 | ||
CSAIL Commercial Mortgage Trust, Series 2015-C1, Class A4 | ||||
3.51%, 04/15/50 | 280,000 | 294,165 | ||
CSAIL Commercial Mortgage Trust, Series 2016-C6, Class XA | ||||
1.90%, 01/15/49† IO γ | 757,253 | 64,652 | ||
CSAIL Commercial Mortgage Trust, Series 2019-C15, Class A1 | ||||
2.99%, 03/15/52 | 923,274 | 939,173 | ||
Deutsche Alt-B Securities Mortgage Loan Trust Series, Series 2006-AB4, Class A6A1 | ||||
(Step to 5.50% on 02/25/20), 5.87%, 10/25/36 STEP | 173,746 | 165,952 | ||
Deutsche Alt-B Securities Mortgage Loan Trust Series, Series 2006-AB4, Class A6A2 | ||||
(Step to 5.50% on 02/25/20), 5.89%, 10/25/36 STEP | 173,746 | 165,950 | ||
Exantas Capital Corporation, Ltd., Series 2018-RSO6, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.83%, 0.83% Floor), 2.57%, 06/15/35 144A † | 103,901 | 103,408 | ||
Fannie Mae Connecticut Avenue Securities, Series 2017-C02 | ||||
(Floating, ICE LIBOR USD 1M + 1.15%), 2.94%, 09/25/29† | 110,736 | 110,833 | ||
Fannie Mae Connecticut Avenue Securities, Series 2017-C04 | ||||
(Floating, ICE LIBOR USD 1M + 0.85%), 2.64%, 11/25/29† | 205,480 | 205,558 | ||
Federal Home Loan Mortgage Corporation | ||||
5.50%, 05/01/22 | 18,878 | 19,071 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.36%, 2.36% Floor, 13.13% Cap), 4.76%, 07/01/27† | 3,627 | 3,739 |
Par | Value | |||
2.50%, 11/01/27 | $1,100,004 | $1,119,298 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.25%, 2.25% Floor, 11.02% Cap), 4.03%, 11/01/31† | 22,977 | 24,163 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.25%, 2.25% Floor, 10.96% Cap), 4.76%, 04/01/32† | 5,065 | 5,332 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.04%, 2.04% Floor, 9.69% Cap), 4.57%, 06/01/33† | 351,041 | 368,504 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.25%, 2.25% Floor, 9.48% Cap), 4.03%, 10/01/34† | 62,275 | 65,972 | ||
(Floating, ICE LIBOR USD 1Y + 1.75%, 1.75% Floor, 10.73% Cap), 4.59%, 08/01/35† | 182,763 | 191,932 | ||
(Floating, ICE LIBOR USD 1Y + 1.35%, 1.35% Floor, 10.37% Cap), 3.76%, 09/01/35† | 113,884 | 117,950 | ||
(Floating, ICE LIBOR USD 1Y + 1.63%, 1.63% Floor, 10.82% Cap), 3.92%, 10/01/35† | 123,102 | 128,779 | ||
4.50%, 07/01/47 | 94,233 | 102,705 | ||
4.50%, 03/01/49 | 7,336,351 | 8,096,390 | ||
2.50%, 01/01/50 | 6,000,000 | 5,935,772 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3228 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor, 6.50% Cap), 2.24%, 10/15/36† | 1,429,174 | 1,429,226 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3710 | ||||
4.00%, 08/15/25 STEP | 94,589 | 100,377 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3959 | ||||
4.50%, 11/15/41 | 254,832 | 271,911 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3986 | ||||
4.50%, 09/15/41 | 306,956 | 321,679 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4459 | ||||
3.00%, 08/15/43 | 529,217 | 544,033 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4493 | ||||
3.00%, 02/15/44 | 407,913 | 418,243 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4494 | ||||
3.75%, 10/15/42 | 459,001 | 475,723 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4904 | ||||
(Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor, 6.50% Cap), 2.19%, 06/15/49† | 1,774,475 | 1,773,774 |
Table of Contents
Par | Value | |||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2019-HQA4 | ||||
(Floating, ICE LIBOR USD 1M + 0.77%), 2.56%, 11/25/49 144A † | $1,520,000 | $1,520,945 | ||
Federal Home Loan Mortgage Corporation STACR Trust, Series 2019-DNA4 | ||||
(Floating, ICE LIBOR USD 1M + 1.95%), 3.74%, 10/25/49 144A † | 800,000 | 802,114 | ||
Federal National Mortgage Association | ||||
5.00%, 05/01/21 | 388 | 401 | ||
5.00%, 11/01/21 | 552 | 571 | ||
(Floating, Federal Reserve U.S. 12 1Y CMT + 2.03%, 2.03% Floor, 10.74% Cap), 4.50%, 12/01/24 CONV † | 5,235 | 5,306 | ||
2.50%, 12/01/27 | 684,303 | 693,663 | ||
2.50%, 05/01/28 | 1,211,018 | 1,227,255 | ||
3.00%, 09/01/30 | 313,592 | 323,561 | ||
3.00%, 02/01/31 | 1,658,195 | 1,707,478 | ||
3.00%, 04/01/31 | 27,556 | 28,416 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.22%, 2.22% Floor, 11.69% Cap), 4.24%, 09/01/31† | 35,689 | 37,033 | ||
2.50%, 10/01/31 | 699,630 | 709,245 | ||
2.50%, 11/01/31 | 1,388,123 | 1,408,449 | ||
2.50%, 01/01/32 | 12,898 | 13,074 | ||
3.00%, 03/01/32 | 1,054,253 | 1,087,797 | ||
3.00%, 05/01/32 | 2,381,020 | 2,447,822 | ||
(Floating, ICE LIBOR USD 1M + 1.31%, 1.31% Floor, 11.27% Cap), 3.31%, 08/01/32† | 296,789 | 301,220 | ||
3.00%, 11/01/32 | 95,017 | 97,748 | ||
3.00%, 12/01/32 | 1,404,824 | 1,443,588 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.25%, 2.25% Floor, 9.73% Cap), 4.78%, 12/01/32† | 271,561 | 286,299 | ||
3.00%, 02/01/33 | 3,280,989 | 3,373,252 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.41%, 2.41% Floor, 9.37% Cap), 4.86%, 06/01/33† | 9,864 | 10,277 | ||
4.00%, 09/01/33 | 3,808,578 | 3,984,665 | ||
4.00%, 03/01/34 | 87,833 | 91,830 | ||
4.00%, 05/01/34 | 942,424 | 1,010,047 | ||
3.00%, 10/01/34 | 1,646,321 | 1,688,865 | ||
3.00%, 11/01/34 | 1,738,020 | 1,801,255 | ||
(Floating, ICE LIBOR USD 1Y + 1.66%, 1.66% Floor, 10.09% Cap), 4.65%, 02/01/35† | 142,979 | 149,729 | ||
(Floating, ICE LIBOR USD 1Y + 1.61%, 1.61% Floor, 11.11% Cap), 3.86%, 09/01/35† | 25,151 | 25,851 |
Par | Value | |||
(Floating, ICE LIBOR USD 1Y + 1.74%, 1.74% Floor, 11.11% Cap), 4.74%, 12/01/35† | $4,801 | $4,856 | ||
(Floating, ICE LIBOR USD 1Y + 1.73%, 1.73% Floor, 9.51% Cap), 4.40%, 05/01/38† | 1,005,259 | 1,054,330 | ||
3.53%, 08/01/42† | 226,929 | 228,792 | ||
(Floating, ICE LIBOR USD 1Y + 1.73%, 1.73% Floor, 8.41% Cap), 3.32%, 09/01/42† | 541,882 | 555,204 | ||
(Floating, ICE LIBOR USD 1Y + 1.70%, 1.70% Floor, 7.72% Cap), 2.71%, 07/01/43† | 869,893 | 886,597 | ||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.20%, 1.20% Floor, 8.48% Cap), 3.53%, 07/01/44† | 118,250 | 119,280 | ||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.20%, 1.20% Floor, 9.64% Cap), 3.53%, 10/01/44† | 82,222 | 82,891 | ||
(Floating, ICE LIBOR USD 1Y + 1.59%, 1.59% Floor, 7.67% Cap), 2.67%, 06/01/45† | 1,074,859 | 1,094,946 | ||
4.50%, 03/01/47 | 322,474 | 345,740 | ||
4.50%, 05/01/47 | 1,077,667 | 1,159,004 | ||
4.50%, 07/01/47 | 108,461 | 116,809 | ||
4.50%, 11/01/47 | 1,204,317 | 1,295,555 | ||
4.50%, 06/01/48 | 125,958 | 139,295 | ||
4.50%, 11/01/48 | 404,559 | 447,390 | ||
4.50%, 02/01/49 | 1,073,677 | 1,196,749 | ||
4.50%, 04/01/49 | 283,935 | 315,650 | ||
Federal National Mortgage Association ACES, Series 2015-M4 | ||||
0.39%, 07/25/22† IO γ | 16,785,877 | 117,098 | ||
Federal National Mortgage Association REMIC, Series 2006-98 | ||||
(Floating, ICE LIBOR USD 1M + 0.43%, 0.43% Floor, 7.00% Cap), 2.22%, 10/25/36† | 188,591 | 188,519 | ||
Federal National Mortgage Association REMIC, Series 2007-100 | ||||
(Floating, ICE LIBOR USD 1M + 0.55%, 0.55% Floor, 7.00% Cap), 2.34%, 10/25/37† | 316,138 | 317,626 | ||
Federal National Mortgage Association REMIC, Series 2011-48 | ||||
4.00%, 06/25/26 STEP | 164,471 | 175,139 | ||
Federal National Mortgage Association REMIC, Series 2012-79 | ||||
(Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor, 6.50% Cap), 2.24%, 07/25/42† | 246,131 | 245,299 |
Table of Contents
Par | Value | |||
Federal National Mortgage Association REMIC, Series 2015-38 | ||||
(Floating, ICE LIBOR USD 1M + 0.31%, 0.31% Floor), 2.09%, 06/25/55† | $294,747 | $293,277 | ||
Federal National Mortgage Association REMIC, Series 2016-11 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor), 2.28%, 03/25/46† | 1,386,455 | 1,385,479 | ||
Federal National Mortgage Association REMIC, Series 2016-40 | ||||
(Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor), 2.23%, 07/25/46† | 1,828,236 | 1,824,589 | ||
Federal National Mortgage Association REMIC, Series 2019-30 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor, 6.50% Cap), 2.29%, 07/25/49† | 1,785,341 | 1,782,989 | ||
Federal National Mortgage Association REMIC, Series 2019-41 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor, 6.50% Cap), 2.29%, 08/25/59† | 919,925 | 920,091 | ||
Federal National Mortgage Association REMIC, Series 2019-53 | ||||
(Floating, ICE LIBOR USD 1M + 0.40%, 0.40% Floor), 2.18%, 09/25/49† | 2,493,358 | 2,491,841 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series KIR2 | ||||
2.75%, 03/25/27 | 394,957 | 403,624 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series KJ18 | ||||
3.07%, 08/25/22 | 390,000 | 398,623 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series T-61 | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.40%, 1.40% Floor), 3.64%, 07/25/44† | 481,661 | 491,074 | ||
FHLMC Structured Pass-Through Certificates, Series T-56 | ||||
(Floating, ICE LIBOR USD 1M + 1.00%, 1.00% Floor, 8.50% Cap), 2.79%, 05/25/43† | 433,636 | 443,554 | ||
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA1, Class A1 | ||||
3.84%, 06/25/34† γ | 148,023 | 149,659 | ||
Flagstar Mortgage Trust, Series 2018-4, Class A4 | ||||
4.00%, 07/25/48 144A | 863,022 | 865,111 |
Par | Value | |||
FNBA Mortgage Loan Trust, Series 2004-AR1, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 0.40%, 0.40% Floor, 10.50% Cap), 2.16%, 08/19/34† | $292,242 | $293,056 | ||
Gosforth Funding PLC, Series 2018-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 0.45%), 2.36%, 08/25/60 144A † | 528,922 | 528,234 | ||
Government National Mortgage Association | ||||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 2.00% Floor, 12.00% Cap), 3.88%, 06/20/21† | 357 | 359 | ||
4.00%, 03/20/22† | 24,950 | 25,193 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.50% Cap), 4.00%, 01/20/23† | 6,075 | 6,093 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 10.00% Cap), 3.88%, 05/20/24† | 15,362 | 15,711 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.50% Cap), 3.25%, 07/20/25† | 20,201 | 20,784 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.00% Cap), 3.25%, 08/20/25† | 6,878 | 7,079 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.00% Cap), 4.13%, 11/20/25† | 22,384 | 22,939 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.50% Cap), 4.13%, 12/20/26† | 33,836 | 34,778 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.00% Cap), 3.25%, 07/20/27† | 783 | 810 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 10.00% Cap), 4.13%, 10/20/27† | 13,335 | 13,730 | ||
8.50%, 10/15/29 | 19,218 | 19,546 | ||
8.50%, 04/15/30 | 2,781 | 2,789 | ||
8.50%, 05/15/30 | 52,631 | 54,417 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.50% Cap), 3.88%, 05/20/30† | 19,052 | 19,759 | ||
8.50%, 07/15/30 | 38,593 | 40,311 | ||
8.50%, 11/15/30 | 6,065 | 6,300 | ||
8.50%, 12/15/30 | 16,948 | 18,116 | ||
8.50%, 02/15/31 | 14,123 | 14,615 |
Table of Contents
Par | Value | |||
Government National Mortgage Association, Series 2007-30 | ||||
(Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor, 6.50% Cap), 2.06%, 05/20/37† | $98,640 | $98,551 | ||
Government National Mortgage Association, Series 2011-H08 | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor, 10.50% Cap), 2.37%, 02/20/61† | 846,605 | 847,576 | ||
Government National Mortgage Association, Series 2012-102 | ||||
3.50%, 08/20/39 | 1,129,077 | 1,145,880 | ||
Government National Mortgage Association, Series 2013-H13 | ||||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 0.45%, 0.45% Floor, 15.00% Cap), 2.02%, 05/20/63† | 1,416,341 | 1,414,899 | ||
Government National Mortgage Association, Series 2016-H07 | ||||
(Floating, ICE LIBOR USD 1M + 0.77%, 0.77% Floor), 2.54%, 02/20/66† | 270,796 | 271,188 | ||
Government National Mortgage Association, Series 2016-H22 | ||||
(Floating, ICE LIBOR USD 1M + 0.77%, 0.77% Floor, 7.50% Cap), 2.54%, 10/20/66† | 2,136,309 | 2,147,655 | ||
Government National Mortgage Association, Series 2017-H09 | ||||
(Floating, ICE LIBOR USD 1Y + 0.75%, 0.75% Floor, 7.50% Cap), 3.63%, 04/20/67† | 2,777,902 | 2,817,094 | ||
Government National Mortgage Association, Series 2017-H10 | ||||
(Floating, ICE LIBOR USD 1Y + 0.75%, 0.75% Floor, 7.50% Cap), 3.63%, 04/20/67† | 3,157,850 | 3,198,977 | ||
GPMT, Ltd., Series 2018-FL1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.90%, 0.90% Floor), 2.66%, 11/21/35 144A † | 477,693 | 477,255 | ||
GRACE Mortgage Trust, Series 2014-GRCE, Class A | ||||
3.37%, 06/10/28 144A | 1,850,000 | 1,870,245 | ||
GreenPoint Mortgage Funding Trust, Series 2005-AR5, Class 1A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.54%, 0.27% Floor, 10.50% Cap), 2.33%, 11/25/45† | 120,789 | 107,258 | ||
GreenPoint Mortgage Funding Trust, Series 2006-OH1, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.18%, 0.18% Floor), 1.97%, 01/25/37† | 352,494 | 341,920 |
Par | Value | |||
GS Mortgage Securities Corporation Trust, Series 2012-ALOH, Class A | ||||
3.55%, 04/10/34 144A | $680,000 | $695,588 | ||
GS Mortgage Securities Corporation Trust, Series 2017-500K, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.70%, 0.70% Floor), 2.44%, 07/15/32 144A † | 1,500,000 | 1,499,430 | ||
GS Mortgage Securities Corporation Trust, Series 2019-SOHO, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.90%, 0.90% Floor), 2.64%, 06/15/36 144A † | 536,000 | 536,603 | ||
GS Mortgage Securities Trust, Series 2011-GC5, Class AS | ||||
5.21%, 08/10/44 144A | 410,000 | 425,397 | ||
GS Mortgage Securities Trust, Series 2013-GC12, Class A3 | ||||
2.86%, 06/10/46 | 1,342,000 | 1,363,934 | ||
GS Mortgage Securities Trust, Series 2013-GC13, Class AAB | ||||
3.72%, 07/10/46 | 1,860,557 | 1,905,933 | ||
GS Mortgage Securities Trust, Series 2013-GC14, Class A3 | ||||
3.53%, 08/10/46 | 23,017 | 23,103 | ||
GS Mortgage Securities Trust, Series 2019-GC38, Class A2 | ||||
3.87%, 02/10/52 | 373,644 | 395,073 | ||
GSR Mortgage Loan Trust, Series 2004-11, Class 5A1 | ||||
4.77%, 09/25/34† γ | 176,783 | 184,808 | ||
GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1 | ||||
4.27%, 09/25/35† γ | 72,197 | 74,321 | ||
Hawaii Hotel Trust, Series 2019-MAUI, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.15%, 1.15% Floor), 2.89%, 05/15/38 144A † | 859,000 | 859,593 | ||
Hawksmoor Mortgages, Series 2019-1A, Class A | ||||
(Floating, SONIA Deposit Rates Swap 3M + 1.05%), 1.76%, 05/25/53(U) 144A † | 1,341,674 | 1,783,750 | ||
Holmes Master Issuer PLC, Series 2018-2A, Class A2 | ||||
(Floating, ICE LIBOR USD 3M + 0.42%), 2.42%, 10/15/54 144A † | 2,948,263 | 2,948,133 | ||
Impac CMB Trust, Series 2003-1, Class 1A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.80%, 0.40% Floor, 11.95% Cap), 2.59%, 03/25/33† | 40,526 | 40,498 |
Table of Contents
Par | Value | |||
IndyMac INDX Mortgage Loan Trust, Series 2006-AR12, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.19%, 0.19% Floor), 1.98%, 09/25/46† | $447,912 | $430,424 | ||
IndyMac INDX Mortgage Loan Trust, Series 2007-FLX3, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 0.27%, 0.27% Floor), 2.06%, 06/25/37† | 193,306 | 190,261 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2012-CBX, Class A4 | ||||
3.48%, 06/15/45 | 1,263,294 | 1,288,449 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2012-CBX, Class A4FX | ||||
3.48%, 06/15/45 144A | 771,477 | 786,839 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2012-HSBC, Class D | ||||
4.52%, 07/05/32 144A † γ | 610,000 | 635,950 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class ASB | ||||
2.55%, 04/15/46 | 891,371 | 897,020 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-WPT, Class AFX | ||||
4.25%, 07/05/33 144A | 190,000 | 202,274 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-MFP, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.96%, 0.96% Floor), 2.70%, 07/15/36 144A † | 1,710,000 | 1,711,394 | ||
JP Morgan Mortgage Trust, Series 2005-A1, Class 6T1 | ||||
4.61%, 02/25/35† γ | 28,442 | 28,738 | ||
JP Morgan Mortgage Trust, Series 2016-2, Class A1 | ||||
2.83%, 06/25/46 144A † γ | 660,448 | 662,528 | ||
JP Morgan Mortgage Trust, Series 2017-1, Class A4 | ||||
3.50%, 01/25/47 144A | 790,601 | 800,447 | ||
JP Morgan Mortgage Trust, Series 2017-1, Class A5 | ||||
3.50%, 01/25/47 144A | 684,438 | 692,928 | ||
JP Morgan Mortgage Trust, Series 2017-3, Class 1A6 | ||||
3.00%, 08/25/47 144A | 1,680,476 | 1,696,689 | ||
JP Morgan Mortgage Trust, Series 2017-5, Class A1A | ||||
3.00%, 10/26/48 144A | 1,554,038 | 1,560,782 | ||
JP Morgan Mortgage Trust, Series 2017-6, Class A6 | ||||
3.00%, 12/25/48 144A | 288,653 | 291,785 | ||
JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class ASB | ||||
3.66%, 09/15/47 | 342,324 | 353,395 |
Par | Value | |||
JPMCC Commercial Mortgage Securities Trust, Series 2017-JP7, Class A3 | ||||
3.38%, 09/15/50 | $1,500,000 | $1,557,051 | ||
KNDL Mortgage Trust, Series 2019-KNSQ, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.80%, 0.80% Floor), 2.54%, 05/15/36 144A † | 409,000 | 409,197 | ||
KNDL Mortgage Trust, Series 2019-KNSQ, Class D | ||||
(Floating, ICE LIBOR USD 1M + 1.35%, 1.35% Floor), 3.09%, 05/15/36 144A † | 136,000 | 136,073 | ||
Lanark Master Issuer PLC, Series 2018-2A, Class 1A | ||||
(Floating, ICE LIBOR USD 3M + 0.42%), 2.32%, 12/22/69† | 931,600 | 930,977 | ||
Lanark Master Issuer PLC, Series 2019-1A, Class 1A1 | ||||
(Floating, ICE LIBOR USD 3M + 0.77%), 2.67%, 12/22/69 144A † | 1,681,333 | 1,686,437 | ||
LSTAR Commercial Mortgage Trust, Series 2017-5, Class A1 | ||||
2.42%, 03/10/50 144A | 642,234 | 641,608 | ||
Luminent Mortgage Trust, Series 2006-7, Class 2A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.17%, 0.17% Floor, 10.50% Cap), 1.96%, 12/25/36† | 422,621 | 414,215 | ||
MASTR Adjustable Rate Mortgages Trust, Series 2003-6, Class 3A1 | ||||
3.81%, 12/25/33† γ | 100,013 | 102,285 | ||
Merrill Lynch Mortgage Investors Trust, Series 2006-1, Class 2A1 | ||||
4.00%, 02/25/36† γ | 189,864 | 192,155 | ||
MF1, Ltd., Series 2019-FL2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.13%, 1.13% Floor), 2.92%, 12/25/34 144A † | 1,900,000 | 1,905,328 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class ASB | ||||
3.82%, 10/15/46 | 1,065,918 | 1,095,586 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C13, Class A3 | ||||
3.77%, 11/15/46 | 545,000 | 571,357 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class AAB | ||||
2.66%, 05/15/46 | 201,802 | 203,304 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C18, Class ASB | ||||
3.62%, 10/15/47 | 503,976 | 518,497 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class ASB | ||||
3.04%, 04/15/48 | 2,000,000 | 2,040,729 |
Table of Contents
Par | Value | |||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25, Class ASB | ||||
3.38%, 10/15/48 | $825,000 | $853,722 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C32, Class XA | ||||
0.73%, 12/15/49† IO γ | 1,941,920 | 78,266 | ||
Morgan Stanley Capital I Trust, Series 2014-CPT, Class A | ||||
3.35%, 07/13/29 144A | 815,000 | 827,164 | ||
Morgan Stanley Capital I Trust, Series 2018-H4, Class A4 | ||||
4.31%, 12/15/51 | 249,000 | 280,873 | ||
National Rmbs Trust, Series 2012-2, Class A1 | ||||
(Floating, Australian BBSW 1M + 1.10%), 1.95%, 06/20/44(A) † | 106,643 | 75,158 | ||
NCUA Guaranteed Notes Trust, Series 2011-C1, Class 2A | ||||
(Floating, ICE LIBOR USD 1M + 0.53%, 0.53% Floor, 8.00% Cap), 2.24%, 03/09/21† | 482,523 | 483,869 | ||
New Residential Mortgage Loan Trust, Series 2017-3A, Class A1 | ||||
4.00%, 04/25/57 144A | 1,494,126 | 1,561,657 | ||
New Residential Mortgage Loan Trust, Series 2017-4A, Class A1 | ||||
4.00%, 05/25/57 144A | 1,504,653 | 1,578,393 | ||
New Residential Mortgage Loan Trust, Series 2018-1A, Class A1A | ||||
4.00%, 12/25/57 144A † γ | 1,801,074 | 1,877,314 | ||
New Residential Mortgage Loan Trust, Series 2019-RPL3, Class A1 | ||||
2.75%, 07/25/59 144A | 1,851,423 | 1,864,772 | ||
Permanent Master Issuer PLC, Series 2018-1A, Class 1A1 | ||||
(Floating, ICE LIBOR USD 3M + 0.38%), 2.37%, 07/15/58 144A † | 830,000 | 830,103 | ||
PFP, Ltd., Series 2019-5, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.97%, 0.97% Floor), 2.71%, 04/14/36 144A † | 314,471 | 315,571 | ||
PFP, Ltd., Series 2019-6, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.05%, 1.05% Floor), 2.96%, 04/14/37 144A † | 2,000,000 | 2,003,002 | ||
RFMSI Trust, Series 2003-S9, Class A1 | ||||
6.50%, 03/25/32 | 5,062 | 5,253 | ||
Ripon Mortgages PLC, Series 1X, Class A2 | ||||
(Floating, ICE LIBOR GBP 3M + 0.80%), 1.60%, 08/20/56(U) † | 875,608 | 1,162,591 | ||
Seasoned Credit Risk Transfer Trust Series, Series 2019-4, Class MA | ||||
3.00%, 02/25/59 | 1,099,673 | 1,121,674 | ||
Seasoned Credit Risk Transfer Trust, Series 2018-2, Class MA | ||||
3.50%, 11/25/57 | 542,090 | 562,234 |
Par | Value | |||
Sequoia Mortgage Trust 2017-CH1 A2 | ||||
3.50%, 08/25/47 144A | $497,265 | $503,510 | ||
Sequoia Mortgage Trust, Series 2017-CH2, Class A10 | ||||
4.00%, 12/25/47 144A | 194,904 | 196,505 | ||
Silverstone Master Issuer PLC, Series 2019-1A, Class 1A | ||||
(Floating, ICE LIBOR USD 3M + 0.57%), 2.54%, 01/21/70 144A † | 183,000 | 183,130 | ||
STACR Trust, Series 2018-DNA2, Class M1 | ||||
(Floating, ICE LIBOR USD 1M + 0.80%), 2.59%, 12/25/30 144A † | 902,084 | 902,862 | ||
STACR Trust, Series 2018-HRP1, Class M2 | ||||
(Floating, ICE LIBOR USD 1M + 1.65%), 3.44%, 04/25/43 144A † | 1,561,941 | 1,567,489 | ||
STACR Trust, Series 2018-HRP2, Class M2 | ||||
(Floating, ICE LIBOR USD 1M + 1.25%), 3.04%, 02/25/47 144A † | 2,200,000 | 2,204,219 | ||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-13, Class A2 | ||||
0.49%, 09/25/34 | 62,813 | 60,087 | ||
Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.25%, 0.25% Floor, 11.00% Cap), 2.01%, 07/19/35† | 43,789 | 43,568 | ||
Structured Asset Mortgage Investments II Trust, Series 2005-AR8, Class A1A | ||||
(Floating, ICE LIBOR USD 1M + 0.28%, 0.28% Floor, 10.50% Cap), 2.07%, 02/25/36† | 332,111 | 321,390 | ||
TBW Mortgage-Backed Trust, Series 2007-2, Class A6A | ||||
(Step to 4.73% on 02/25/20), 6.01%, 07/25/37 STEP | 241,940 | 161,592 | ||
TORRENS Trust, Series 2013-1, Class A | ||||
(Floating, Australian BBSW 1M + 0.95%), 1.79%, 04/12/44(A) † | 543,459 | 381,206 | ||
Towd Point Mortgage Funding PLC, Series 2019-GR4A, Class A1 | ||||
(Floating, ICE LIBOR GBP 3M + 1.03%), 1.81%, 10/20/51(U) 144A † | 1,777,854 | 2,364,617 | ||
UBS Commercial Mortgage Trust, Series 2017-C1, Class A4 | ||||
3.46%, 06/15/50 | 500,000 | 530,724 | ||
UBS Commercial Mortgage Trust, Series 2019-C18, Class A4 | ||||
3.04%, 12/15/52 | 330,000 | 339,414 |
Table of Contents
Par | Value | |||
Uniform Mortgage Backed Securities | ||||
2.50%, 01/01/35 TBA | $4,350,000 | $4,390,102 | ||
4.00%, 01/01/35 TBA | 545,000 | 568,503 | ||
4.50%, 01/01/35 TBA | 510,000 | 526,376 | ||
4.00%, 01/01/50 TBA | 10,500,000 | 10,921,641 | ||
3.00%, 02/01/50 TBA | 14,300,000 | 14,490,876 | ||
4.00%, 02/01/50 TBA | 38,980,000 | 40,562,040 | ||
4.00%, 03/01/50 TBA | 5,000,000 | 5,201,486 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2002-AR6, Class A | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.40%, 1.40% Floor), 3.64%, 06/25/42† | 6,821 | 6,796 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2003-AR8, Class A | ||||
4.41%, 08/25/33† γ | 134,891 | 137,679 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-AR2, Class 2A1A | ||||
(Floating, ICE LIBOR USD 1M + 0.31%, 0.31% Floor, 10.50% Cap), 2.10%, 01/25/45† | 277,008 | 273,173 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-AR19, Class 1A | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 0.74%, 0.74% Floor), 2.98%, 01/25/47† | 280,940 | 274,643 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-AR5, Class A12A | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 0.98%, 0.98% Floor), 3.22%, 06/25/46† | 563,773 | 564,900 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-HY1, Class 1A1 | ||||
3.87%, 02/25/37† γ | 215,466 | 201,646 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-HY5, Class 2A1 | ||||
3.44%, 05/25/37† γ | 235,414 | 200,246 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-HY7, Class 2A1 | ||||
3.61%, 07/25/37† γ | 673,109 | 616,651 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-OA5, Class A1B | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 0.84%, 0.84% Floor), 3.08%, 05/25/47† | 44,698 | 4,332 | ||
Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class ASB | ||||
3.48%, 08/15/50 | 926,236 | 951,206 | ||
Wells Fargo Commercial Mortgage Trust, Series 2015-C26, Class A4 | ||||
3.17%, 02/15/48 | 500,000 | 518,613 |
Par | Value | |||
Wells Fargo Commercial Mortgage Trust, Series 2016-NXS5, Class A6FL | ||||
(Floating, ICE LIBOR USD 1M + 1.55%, 1.55% Floor), 3.29%, 01/15/59 144A † | $2,000,000 | $2,048,444 | ||
WFRBS Commercial Mortgage Trust, Series 2011-C4, Class AFL | ||||
(Floating, ICE LIBOR USD 1M + 1.45%, 1.45% Floor), 3.19%, 06/15/44 144A † | 2,574,338 | 2,593,722 | ||
WFRBS Commercial Mortgage Trust, Series 2011-C5, Class A4 | ||||
3.67%, 11/15/44 | 1,000,000 | 1,018,487 | ||
WFRBS Commercial Mortgage Trust, Series 2012-C8, Class AFL | ||||
(Floating, ICE LIBOR USD 1M + 1.00%, 1.00% Floor), 2.74%, 08/15/45 144A † | 527,493 | 529,857 | ||
WFRBS Commercial Mortgage Trust, Series 2014-C21, Class ASB | ||||
3.39%, 08/15/47 | 708,367 | 722,905 | ||
WFRBS Commercial Mortgage Trust, Series 2014-LC14, Class ASB | ||||
3.52%, 03/15/47 | 585,522 | 599,920 | ||
Total Mortgage-Backed Securities (Cost $265,809,018) | 266,501,450 | |||
MUNICIPAL BONDS — 0.4% | ||||
North Texas Higher Education Authority, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 1.10%, 1.10% Floor, 15.00% Cap), 3.01%, 04/01/40† | 1,479,576 | 1,488,387 | ||
South Carolina Public Service Authority | ||||
2.39%, 12/01/23 | 385,000 | 385,993 | ||
3.72%, 12/01/23 | 326,000 | 340,400 | ||
State of California, General Obligation, Series C | ||||
(Floating, ICE LIBOR USD 1M + 0.00%), 2.54%, 04/01/47† | 1,500,000 | 1,505,880 | ||
Total Municipal Bonds (Cost $3,655,918) | 3,720,660 | |||
U.S. TREASURY OBLIGATIONS — 22.5% | ||||
U.S. Treasury Bills | ||||
1.88%, 01/23/20Ω | 4,300,000 | 4,296,325 | ||
1.50%, 02/20/20Ω | 395,000 | 394,188 | ||
1.91%, 05/21/20Ω | 9,000,000 | 8,946,756 | ||
1.56%, 07/16/20Ω | 1,100,000 | 1,090,830 | ||
1.71%, 08/13/20Ω | 2,000,000 | 1,981,053 | ||
1.49%, 12/03/20Ω | 2,750,000 | 2,712,048 | ||
19,421,200 | ||||
U.S. Treasury Inflationary Index Bonds | ||||
0.63%, 04/15/23Δ | 8,342,040 | 8,491,190 | ||
0.38%, 07/15/25 | 3,798,165 | 3,876,258 |
Table of Contents
Par | Value | |||
0.75%, 07/15/28 | $7,689,150 | $8,091,494 | ||
0.88%, 01/15/29‡‡ | 3,159,458 | 3,356,050 | ||
23,814,992 | ||||
U.S. Treasury Notes | ||||
1.38%, 10/31/20 | 2,405,000 | 2,399,645 | ||
2.50%, 01/31/21‡‡ | 1,000,000 | 1,009,297 | ||
1.75%, 07/31/21 | 63,600,000 | 63,763,969 | ||
1.50%, 11/30/21Δ | 48,851,000 | 48,792,799 | ||
1.50%, 08/15/22‡‡ | 13,700,000 | 13,672,439 | ||
1.50%, 09/15/22 | 13,149,644 | 13,121,400 | ||
1.38%, 10/15/22 | 20,400,000 | 20,278,875 | ||
1.63%, 11/15/22 | 14,655,000 | 14,667,880 | ||
1.50%, 10/31/24 | 850,000 | 843,061 | ||
1.50%, 11/30/24Δ | 1,595,000 | 1,582,352 | ||
180,131,717 | ||||
Total U.S. Treasury Obligations (Cost $222,375,793) | 223,367,909 |
Shares | |||
MONEY MARKET FUNDS — 7.8% | |||
GuideStone Money Market Fund, 1.53% (Institutional Class)Ø ∞ | 21,271,649 | 21,271,649 | |
Northern Institutional Liquid Assets Portfolio (Shares), 1.57%Ø § | 55,958,919 | 55,958,919 | |
Northern Institutional U.S. Government Portfolio (Shares), 1.48%Ø | 605,846 | 605,846 | |
Total Money Market Funds (Cost $77,836,414) | 77,836,414 |
Par | |||
REPURCHASE AGREEMENTS — 1.2% | |||
Citigroup Global Markets, Inc. | |||
1.55% (dated 12/31/19, due 1/02/2020, repurchase price $5,900,508, collateralized by U.S. Treasury Notes, 2.000%, due 8/15/2025, total market value $6,019,694) | $5,900,000 | 5,900,000 | |
1.59% (dated 12/31/19, due 1/03/2020, repurchase price $6,000,795, collateralized by U.S. Treasury Notes, 2.500%, due 8/15/2023, total market value $6,127,623) | 6,000,000 | 6,000,000 | |
Total Repurchase Agreements (Cost $11,900,000) | 11,900,000 | ||
TOTAL INVESTMENTS —113.5% (Cost $1,122,268,167) | 1,128,979,478 |
Number of Contracts | Notional Amount | Value | |||
WRITTEN OPTIONS — (0.0)% | |||||
Call Swaptions — (0.0)% | |||||
Sell Protection on Markit CDX.NA.IG.33 Index; Receive 1.00% (Quarterly): Credit Default Swap Maturing 12/20/2024 USD, Strike Price $0.45, Expires 01/15/20 (CS) | 1 | $(29,000,000) | $(14,715) | ||
Sell Protection on Markit CDX.NA.IG.33 Index; Receive 1.00% (Quarterly): Credit Default Swap Maturing 12/20/2024 USD, Strike Price $0.48, Expires 01/15/20 (DEUT) | 1 | (17,300,000) | (22,137) | ||
Sell Protection on Markit CDX.NA.IG.33 Index; Receive 1.00% (Quarterly): Credit Default Swap Maturing 12/20/2024 USD, Strike Price $0.48, Expires 02/19/20 (BNP) | 1 | (1,400,000) | (2,280) | ||
(39,132) | |||||
Put Swaptions — (0.0)% | |||||
Sell Protection on Markit CDX.NA.IG.33 Index; Receive 1.00% (Quarterly): Credit Default Swap Maturing 12/20/2024 USD, Strike Price $0.80, Expires 02/19/20 (BNP) | 1 | (1,400,000) | (175) |
Table of Contents
Number of Contracts | Notional Amount | Value | |||
Sell Protection on Markit CDX.NA.IG.33 Index; Receive 1.00% (Quarterly): Credit Default Swap Maturing 12/20/2024 USD, Strike Price $0.90, Expires 01/15/20 (CS) | 1 | $(5,600,000) | $(69) | ||
(244) | |||||
Total Written Options (Premiums received $ (20,692)) | (39,376) |
Par | Value | |||
TBA SALE COMMITMENT — (0.6)% | ||||
Uniform Mortgage Backed Securities 2.50%, 01/01/50 TBA (Proceeds $(5,924,063)) | (6,000,000) | $(5,933,203) | ||
Liabilities in Excess of Other Assets — (12.9)% | (128,303,137) | |||
NET ASSETS — 100.0% | $994,703,762 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
Euro-Bobl | 03/2020 | (65) | $(9,743,031) | $50,031 | ||||
Euro-Bund | 03/2020 | (9) | (1,721,148) | 10,464 | ||||
Euro-Schatz | 03/2020 | 37 | 4,644,382 | (2,897) | ||||
10-Year Commonwealth Treasury Bond | 03/2020 | 137 | 13,743,962 | (272,628) | ||||
10-Year U.S. Treasury Note | 03/2020 | (28) | (3,595,813) | 37,119 | ||||
U.S. Treasury Long Bond | 03/2020 | 3 | 467,719 | (10,475) | ||||
Ultra 10-Year U.S. Treasury Note | 03/2020 | (52) | (7,316,562) | 83,140 | ||||
Ultra Long U.S. Treasury Bond | 03/2020 | (25) | (4,541,406) | 129,879 | ||||
Long GILT | 03/2020 | (32) | (5,568,831) | 32,986 | ||||
2-Year U.S. Treasury Note | 03/2020 | 1,321 | 284,675,500 | (105,311) | ||||
5-Year U.S. Treasury Note | 03/2020 | (467) | (55,390,578) | 107,198 | ||||
90-Day Bank Acceptance | 12/2020 | 107 | 20,195,112 | (40,962) | ||||
Total Futures Contracts outstanding at December 31, 2019 | $235,849,306 | $18,544 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
01/10/20 | Euro | 2,083,000 | U.S. Dollars | 2,312,059 | BNP | $25,942 | ||||||
02/10/20 | U.S. Dollars | 6,196,299 | Japanese Yen | 669,600,000 | MSCS | 19,357 | ||||||
03/18/20 | Norwegian Kroner | 7,225,050 | Canadian Dollars | 1,050,000 | BOA | 14,337 | ||||||
03/18/20 | Norwegian Kroner | 7,196,233 | Canadian Dollars | 1,050,000 | JPM | 11,053 | ||||||
03/18/20 | New Zealand Dollars | 1,226,824 | Australian Dollars | 1,170,000 | JPM | 4,192 | ||||||
03/18/20 | Norwegian Kroner | 7,130,996 | Canadian Dollars | 1,050,000 | MSCS | 3,621 | ||||||
03/18/20 | Canadian Dollars | 1,050,000 | Norwegian Kroner | 7,076,580 | MSCS | 2,578 | ||||||
01/10/20 | Japanese Yen | 347,100,000 | U.S. Dollars | 3,196,133 | UBS | 190 | ||||||
Subtotal Appreciation | $81,270 | |||||||||||
02/14/20 | U.S. Dollars | 182 | Euro | 163 | CIBC | $(2) | ||||||
01/16/20 | U.S. Dollars | 53,625 | Mexican Pesos | 1,035,165 | HSBC | (985) | ||||||
03/18/20 | Australian Dollars | 2,330,000 | New Zealand Dollars | 2,434,279 | BOA | (2,362) | ||||||
02/05/20 | U.S. Dollars | 186,054 | Euro | 168,000 | RBS | (2,823) | ||||||
02/05/20 | U.S. Dollars | 187,133 | Euro | 169,000 | HSBC | (2,868) | ||||||
02/05/20 | U.S. Dollars | 232,660 | Euro | 210,000 | MSCS | (3,437) |
Table of Contents
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
02/05/20 | U.S. Dollars | 100,443 | Australian Dollars | 148,000 | NAB | $(3,512) | ||||||
01/10/20 | U.S. Dollars | 235,373 | Australian Dollars | 343,000 | RBS | (5,391) | ||||||
01/10/20 | U.S. Dollars | 314,921 | Canadian Dollars | 417,000 | HSBC | (6,224) | ||||||
02/05/20 | U.S. Dollars | 906,111 | Euro | 818,000 | TD | (13,540) | ||||||
02/05/20 | U.S. Dollars | 1,125,095 | Euro | 1,015,000 | JPM | (16,037) | ||||||
03/18/20 | Canadian Dollars | 2,100,000 | Norwegian Kroner | 14,344,473 | JPM | (16,640) | ||||||
01/31/20 | U.S. Dollars | 4,457,543 | Euro | 4,004,000 | NAB | (42,665) | ||||||
02/14/20 | U.S. Dollars | 5,121,438 | Euro | 4,595,837 | MSCS | (48,327) | ||||||
02/05/20 | U.S. Dollars | 4,837,956 | Euro | 4,363,000 | CIBC | (67,225) | ||||||
01/10/20 | U.S. Dollars | 5,421,956 | British Pounds | 4,187,000 | BNP | (125,791) | ||||||
01/16/20 | U.S. Dollars | 7,935,517 | Mexican Pesos | 153,164,835 | UBS | (144,760) | ||||||
01/10/20 | U.S. Dollars | 12,909,946 | Euro | 11,681,000 | GSC | (201,042) | ||||||
03/23/20 | U.S. Dollars | 8,399,898 | Canadian Dollars | 11,168,000 | HSBC | (202,944) | ||||||
02/05/20 | U.S. Dollars | 11,713,512 | Euro | 10,601,000 | CITI | (204,853) | ||||||
Subtotal Depreciation | $(1,111,428) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at December 31, 2019 | $(1,030,158) |
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 Sovereign Issuers—Buy Protection | ||||||||||||||||
Peoples Republic of China, 7.5% due 10/28/2027 (Pay Quarterly) | (1.00)% | 6/20/2024 | MS | USD | 1,600,000 | $(50,530) | $(35,993) | $(14,537) | ||||||||
$(50,530) | $(35,993) | $(14,537) |
Reference Obligation | Fixed Deal (Pay) Rate | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
Centrally Cleared Credit Default Swaps on Credit Indexes—Buy Protection | ||||||||||||||
Markit CDX.NA.IG.32 Index (Pay Quarterly) | (1.00)% | 6/20/2024 | USD | 17,100,000 | $(451,422) | $(334,704) | $(116,718) | |||||||
$(451,422) | $(334,704) | $(116,718) |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
Centrally Cleared Interest Rate Swaps | ||||||||||||||
1.56% (Semiannually) | 3-Month LIBOR (Quarterly) | 11/22/2021 | USD | 7,300,000 | $20,473 | $— | $20,473 | |||||||
1.63% (Semiannually) | 3-Month LIBOR (Quarterly) | 1/6/2030 | USD | 3,400,000 | 89,059 | (17,827) | 106,886 | |||||||
Subtotal Appreciation | $109,532 | $(17,827) | $127,359 | |||||||||||
3-Month CDOR (Semiannually) | 1.77% (Semiannually) | 11/20/2021 | CAD | 9,000,000 | $(30,468) | $— | $(30,468) | |||||||
3-Month LIBOR (Quarterly) | 1.65% (Semiannually) | 12/24/2024 | USD | 5,700,000 | (24,786) | — | (24,786) | |||||||
3-Month CDOR (Semiannually) | 2.50% (Semiannually) | 6/19/2029 | CAD | 8,700,000 | 205,312 | 569,244 | (363,932) | |||||||
2.75% (Semiannually) | 3-Month LIBOR (Quarterly) | 12/18/2029 | USD | 12,500,000 | (970,991) | (878,595) | (92,396) | |||||||
Subtotal Depreciation | $(820,933) | $(309,351) | $(511,582) | |||||||||||
Net Centrally Cleared Interest Rate Swaps outstanding at December 31, 2019 | $(711,401) | $(327,178) | $(384,223) |
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Agency Obligations | $11,286,244 | $— | $11,286,244 | $— | |||
Asset-Backed Securities | 153,705,191 | — | 153,705,191 | — | |||
Corporate Bonds | 227,332,739 | — | 227,332,739 | — | |||
Foreign Bonds | 153,328,871 | — | 153,328,871 | — | |||
Money Market Funds | 77,836,414 | 77,836,414 | — | — | |||
Mortgage-Backed Securities | 266,501,450 | — | 266,501,450 | — | |||
Municipal Bonds | 3,720,660 | — | 3,720,660 | — | |||
Repurchase Agreements | 11,900,000 | — | 11,900,000 | — | |||
U.S. Treasury Obligations | 223,367,909 | — | 223,367,909 | — | |||
Total Assets - Investments in Securities | $1,128,979,478 | $77,836,414 | $1,051,143,064 | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $81,270 | $— | $81,270 | $— | |||
Futures Contracts | 450,817 | 450,817 | — | — | |||
Swap Agreements | 127,359 | — | 127,359 | — | |||
Total Assets - Other Financial Instruments | $659,446 | $450,817 | $208,629 | $ — | |||
Liabilities: | |||||||
Investments in Securities: | |||||||
TBA Sale Commitment | $(5,933,203) | $— | $(5,933,203) | $— | |||
Written Options: | |||||||
Call Swaptions | (39,132) | — | (39,132) | — | |||
Put Swaptions | (244) | — | (244) | — | |||
Total Written Options | (39,376) | — | (39,376) | — | |||
Total Liabilities - Investments in Securities | $(5,972,579) | $ — | $(5,972,579) | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $(1,111,428) | $— | $(1,111,428) | $— | |||
Futures Contracts | (432,273) | (432,273) | — | — | |||
Swap Agreements | (642,837) | — | (642,837) | — | |||
Total Liabilities - Other Financial Instruments | $(2,186,538) | $(432,273) | $(1,754,265) | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, forwards contracts and swap agreements, 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", "Forwards Foreign Currency Contracts outstanding" and "Swap Agreements outstanding" disclosures. |
Table of Contents
Table of Contents
% | |
Mortgage-Backed Securities | 45.0 |
Corporate Bonds | 25.0 |
U.S. Treasury Obligations | 15.1 |
Foreign Bonds | 14.4 |
Asset-Backed Securities | 5.7 |
Money Market Funds | 4.4 |
Repurchase Agreements | 1.5 |
Agency Obligations | 0.8 |
Loan Agreements | 0.7 |
Municipal Bonds | 0.6 |
Purchased Options | —** |
Written Options | (0.1) |
TBA Sale Commitments | (4.6) |
108.5 | |
**Rounds to less than 0.1% |
Table of Contents
Average Annual Total Returns as of 12/31/19 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | 9.81% | 9.58% | 8.72% | ||||
Five Year | 3.30% | 3.02% | 3.05% | ||||
Ten year | 4.35% | 4.14% | 3.74% | ||||
Since Inception | 4.99% | 4.85% | 4.50% | ||||
Inception Date | 08/27/01 | 08/27/01 | |||||
Total Fund Operating Expenses (April 30, 2019 Prospectus)(1) | 0.39% | 0.66% |
(1) | Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights. |
Table of Contents
Par | Value | |||
AGENCY OBLIGATIONS — 0.8% | ||||
Federal Home Loan Bank | ||||
2.13%, 02/11/20 | $270,000 | $270,145 | ||
3.38%, 12/08/23 | 200,000 | 212,534 | ||
Federal Home Loan Bank Discount Notes | ||||
1.54%, 01/29/20Ω | 2,400,000 | 2,397,060 | ||
1.54%, 02/07/20Ω | 100,000 | 99,838 | ||
1.54%, 02/10/20Ω | 5,300,000 | 5,290,784 | ||
1.54%, 02/14/20Ω | 1,000,000 | 998,079 | ||
1.56%, 03/18/20Ω | 900,000 | 896,958 | ||
Federal National Mortgage Association | ||||
1.88%, 09/24/26 | 1,500,000 | 1,498,258 | ||
6.25%, 05/15/29 | 500,000 | 676,705 | ||
6.63%, 11/15/30 | 670,000 | 955,927 | ||
Tennessee Valley Authority | ||||
3.88%, 02/15/21 | 1,000,000 | 1,022,337 | ||
Total Agency Obligations (Cost $14,118,863) | 14,318,625 | |||
ASSET-BACKED SECURITIES — 5.7% | ||||
Academic Loan Funding Trust, Series 2012-1A, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 1.10%), 2.89%, 12/27/44 144A † | 230,983 | 232,118 | ||
Access Group, Inc., Series 2015-1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.70%, 0.70% Floor), 2.49%, 07/25/56 144A † | 232,201 | 227,337 | ||
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-R10, Class M3 | ||||
(Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor), 2.24%, 01/25/36† | 2,900,000 | 2,867,321 | ||
AMMC CLO XI, Ltd., Series 2012-11A, Class A1R2 | ||||
(Floating, ICE LIBOR USD 3M + 1.01%), 2.95%, 04/30/31 144A † | 710,000 | 704,583 | ||
Ballyrock CLO, Ltd., Series 2018-1A, Class C | ||||
(Floating, ICE LIBOR USD 3M + 3.15%), 5.12%, 04/20/31 144A † | 750,000 | 730,266 | ||
Ballyrock CLO, Ltd., Series 2019-2A, Class A1B | ||||
(Floating, ICE LIBOR USD 3M + 1.75%, 1.75% Floor), 3.65%, 11/20/30 144A † | 500,000 | 500,369 | ||
Bear Stearns Asset Backed Securities Trust, Series 2007-SD1, Class 1A2A | ||||
6.00%, 10/25/36 | 1,008,349 | 748,223 |
Par | Value | |||
Bear Stearns Asset Backed Securities Trust, Series 2007-SD1, Class 1A3A | ||||
6.50%, 10/25/36 | $2,095,192 | $1,575,636 | ||
Benefit Street Partners CLO II, Ltd., Series 2013-IIA, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 1.25%), 3.25%, 07/15/29 144A † | 1,400,000 | 1,400,351 | ||
BlueMountain CLO, Ltd., Series 2015-1A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 1.33%), 3.33%, 04/13/27 144A † | 347,171 | 347,286 | ||
BlueMountain CLO, Ltd., Series 2016-1A, Class CR | ||||
(Floating, ICE LIBOR USD 3M + 1.85%), 3.82%, 04/20/27 144A † | 800,000 | 760,646 | ||
BSPRT Issuer, Ltd., Series 2018-FL4, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.05%, 1.05% Floor), 2.79%, 09/15/35 144A † | 2,600,000 | 2,603,068 | ||
Capital Auto Receivables Asset Trust, Series 2017-1, Class A3 | ||||
2.02%, 08/20/21 144A | 1,366,533 | 1,366,326 | ||
CarMax Auto Owner Trust, Series 2017-2, Class A3 | ||||
1.93%, 03/15/22 | 1,406,831 | 1,406,419 | ||
Carrington Mortgage Loan Trust, Series 2005-OPT2, Class M4 | ||||
(Floating, ICE LIBOR USD 1M + 0.98%, 0.65% Floor), 2.77%, 05/25/35† | 2,700,000 | 2,710,874 | ||
Catamaran CLO, Ltd., Series 2013-1A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 0.85%), 2.79%, 01/27/28 144A † | 1,600,000 | 1,594,968 | ||
Chapel BV, Series 2007, Class A2 | ||||
(Floating, 0.36% - Euribor 3M), 0.00%, 07/17/66(E) † | 102,636 | 115,291 | ||
Citibank Credit Card Issuance Trust, Series 2018-A7, Class A7 | ||||
3.96%, 10/13/30 | 850,000 | 944,541 | ||
Community Funding CLO, Series 2015-1A, Class A | ||||
5.75%, 11/01/27 144A STEP | 846,785 | 858,965 | ||
Countrywide Asset-Backed Certificates, Series 2006-1, Class AV3 | ||||
(Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor), 2.09%, 07/25/36† | 476,219 | 476,835 | ||
Credit Suisse European Mortgage Capital, Ltd., Series 2019-1OTF, Class A | ||||
(Floating, ICE LIBOR USD 3M + 2.90%), 5.00%, 08/09/24 144A † | 1,000,000 | 999,343 |
Table of Contents
Par | Value | |||
CWABS, Inc. Asset-Backed Certificates, Series 2004-1, Class M1 | ||||
(Floating, ICE LIBOR USD 1M + 0.75%, 0.50% Floor), 2.54%, 03/25/34† | $311,408 | $313,482 | ||
CWHEQ Revolving Home Equity Loan Trust, Series 2005-F, Class 2A | ||||
(Floating, ICE LIBOR USD 1M + 0.24%, 0.24% Floor, 16.00% Cap), 1.98%, 12/15/35† | 47,452 | 46,203 | ||
CWHEQ Revolving Home Equity Loan Trust, Series 2006-E, Class 2A | ||||
(Floating, ICE LIBOR USD 1M + 0.14%, 0.14% Floor, 16.00% Cap), 1.88%, 07/15/36† | 146,424 | 141,273 | ||
Drive Auto Receivables Trust, Series 2019-2, Class A2A | ||||
2.93%, 03/15/22 | 1,583,073 | 1,584,783 | ||
Drive Auto Receivables Trust, Series 2019-2, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 0.28%, 0.28% Floor), 2.02%, 03/15/22† | 1,583,073 | 1,583,112 | ||
Dryden 75 CLO, Ltd., Series 2019-75A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.20%, 1.20% Floor), 3.20%, 07/15/30 144A † | 250,000 | 249,418 | ||
ECMC Group Student Loan Trust, Series 2017-1A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.20%), 2.99%, 12/27/66 144A † | 1,494,416 | 1,493,157 | ||
ECMC Group Student Loan Trust, Series 2018-1A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.75%), 2.54%, 02/27/68 144A † | 2,664,133 | 2,619,752 | ||
Edsouth Indenture No. 7 LLC, Series 2014-3, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.60%), 2.39%, 02/25/36 144A † | 602,505 | 590,569 | ||
EFS Volunteer No. 3 LLC, Series 2012-1, Class A3 | ||||
(Floating, ICE LIBOR USD 1M + 1.00%, 1.00% Floor), 2.79%, 04/25/33 144A † | 1,154,497 | 1,149,673 | ||
Federal National Mortgage Association Grantor Trust, Series 2017-T1 | ||||
2.90%, 06/25/27 | 99,805 | 102,627 | ||
Financial Asset Securities Corporation AAA Trust, Series 2005-1A, Class 1A3B | ||||
(Floating, ICE LIBOR USD 1M + 0.41%, 0.41% Floor), 2.21%, 02/27/35 144A † | 505,733 | 487,654 |
Par | Value | |||
Ford Credit Floorplan Master Owner Trust, Series 2018-4, Class A | ||||
4.06%, 11/15/30 | $700,000 | $763,920 | ||
GMACM Home Equity Loan Trust, Series 2007-HE3, Class 1A1 | ||||
7.00%, 09/25/37† γ | 2,600 | 2,584 | ||
GMACM Home Equity Loan Trust, Series 2007-HE3, Class 2A1 | ||||
7.00%, 09/25/37 | 57,330 | 57,712 | ||
Golden Credit Card Trust, Series 2017-2A, Class A | ||||
1.98%, 04/15/22 144A | 500,000 | 499,978 | ||
Golub Capital Partners CLO 45M, Ltd., Series 2019-45A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.72%, 1.72% Floor), 3.85%, 10/20/31 144A † | 250,000 | 250,197 | ||
GSAMP Trust, Series 2007-HS1, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.85%, 0.85% Floor), 2.64%, 02/25/47† | 49,810 | 49,958 | ||
Halcyon Loan Advisors Funding, Ltd., Series 2015-2A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.08%, 1.08% Floor), 3.02%, 07/25/27 144A † | 611,419 | 610,734 | ||
Halsey Point CLO I, Ltd., Series 2019-1A, Class A1A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.35%, 1.35% Floor), 3.26%, 01/20/33 144A † | 820,000 | 824,634 | ||
Hertz Vehicle Financing II LP, Series 2018-1A, Class A | ||||
3.29%, 02/25/24 144A | 1,550,000 | 1,587,580 | ||
Higher Education Funding I, Series 2014-1, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.05%, 1.05% Floor), 2.96%, 05/25/34 144A † | 940,450 | 940,066 | ||
Jackson Mill CLO, Ltd., Series 2015-1A, Class DR | ||||
(Floating, ICE LIBOR USD 3M + 2.80%, 2.80% Floor), 4.80%, 04/15/27 144A † | 750,000 | 750,994 | ||
KKR CLO, Ltd., Series 21, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.00%), 3.00%, 04/15/31 144A † | 550,000 | 545,404 | ||
KREF, Ltd., Series 2018-FL1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.10%, 1.10% Floor), 2.84%, 06/15/36 144A † | 1,450,000 | 1,457,340 | ||
LCM XXIII, Ltd., Series 23A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.40%), 3.37%, 10/20/29 144A † | 1,000,000 | 1,001,333 |
Table of Contents
Par | Value | |||
LP Credit Card ABS Master Trust, Series 2018-1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.55%), 3.82%, 08/20/24 144A † | $1,474,931 | $1,460,022 | ||
Madison Park Funding XXX, Ltd., Series 2018-30A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 0.75%, 0.75% Floor), 2.75%, 04/15/29 144A † | 2,750,000 | 2,717,136 | ||
Magnetite VIII, Ltd., Series 2014-8A, Class CR2 | ||||
(Floating, ICE LIBOR USD 3M + 1.85%, 1.85% Floor), 3.85%, 04/15/31 144A † | 500,000 | 485,160 | ||
Marlette Funding Trust, Series 2018-2A, Class A | ||||
3.06%, 07/17/28 144A | 296,845 | 297,033 | ||
Midocean Credit Clo VII, Series 2017-7A, Class B | ||||
(Floating, ICE LIBOR USD 3M + 1.90%), 3.90%, 07/15/29 144A † | 1,500,000 | 1,501,648 | ||
Mill City Mortgage Loan Trust, Series 2017-2, Class A3 | ||||
2.88%, 07/25/59 144A † γ | 377,678 | 381,307 | ||
Mississippi Higher Education Assistance Corporation, Series 2014-1, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.68%, 0.68% Floor), 2.47%, 10/25/35† | 458,295 | 451,696 | ||
Montana Higher Education Student Assistance Corporation, Series 2012-1, Class A3 | ||||
(Floating, ICE LIBOR USD 1M + 1.05%, 1.05% Floor), 2.81%, 07/20/43† | 300,000 | 299,005 | ||
NADG NNN Operating LP, Series 2019-1, Class A | ||||
3.37%, 12/28/49 144A | 890,000 | 890,000 | ||
Navient Student Loan Trust, Series 2016-6A, Class A3 | ||||
(Floating, ICE LIBOR USD 1M + 1.30%), 3.09%, 03/25/66 144A † | 6,000,000 | 6,053,402 | ||
Navient Student Loan Trust, Series 2016-7A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.15%), 2.95%, 03/25/66 144A † | 422,258 | 421,432 | ||
Navient Student Loan Trust, Series 2017-1A, Class A3 | ||||
(Floating, ICE LIBOR USD 1M + 1.15%), 2.94%, 07/26/66 144A † | 520,000 | 520,794 | ||
Navient Student Loan Trust, Series 2017-2A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.05%), 2.84%, 12/27/66 144A † | 1,415,574 | 1,408,771 |
Par | Value | |||
Octagon Investment Partners 36, Ltd., Series 2018-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 0.97%), 2.97%, 04/15/31 144A † | $700,000 | $693,278 | ||
OHA Loan Funding, Ltd., Series 2015-1A, Class A1R2 | ||||
(Floating, ICE LIBOR USD 3M + 1.34%, 1.34% Floor), 3.19%, 11/15/32 144A † | 1,170,000 | 1,169,652 | ||
Orec, Ltd., Series 2018-CRE1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.18%, 1.18% Floor), 2.92%, 06/15/36 144A † | 750,000 | 750,655 | ||
OZLM VII, Ltd., Series 2014-7RA, Class A2R | ||||
(Floating, ICE LIBOR USD 3M + 1.60%, 1.60% Floor), 3.60%, 07/17/29 144A † | 1,250,000 | 1,231,464 | ||
OZLM XV, Ltd., Series 2016-15A, Class B | ||||
(Floating, ICE LIBOR USD 3M + 2.70%), 4.67%, 01/20/29 144A † | 1,000,000 | 991,121 | ||
Panhandle-Plains Higher Education Authority, Inc., Series 2010-2, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.13%, 18.00% Cap), 3.23%, 10/01/35† | 219,053 | 218,560 | ||
Park Place Securities, Inc. Asset-Backed Pass-Through Trust Certificates, Series 2005-WCH1, Class M3 | ||||
(Floating, ICE LIBOR USD 1M + 0.84%, 0.56% Floor), 2.63%, 01/25/36† | 10,319 | 10,349 | ||
Penarth Master Issuer PLC, Series 2018-2A, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.45%), 2.19%, 09/18/22 144A † | 1,600,000 | 1,600,558 | ||
PHEAA Student Loan Trust, Series 2012-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.55%), 2.34%, 05/25/57 144A † | 601,344 | 589,972 | ||
PHEAA Student Loan Trust, Series 2016-1A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.15%, 1.15% Floor), 2.94%, 09/25/65 144A † | 556,425 | 556,032 | ||
PHEAA Student Loan Trust, Series 2016-2A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.95%), 2.74%, 11/25/65 144A † | 1,186,748 | 1,175,944 |
Table of Contents
Par | Value | |||
RAMP Trust, Series 2005-EFC6, Class M2 | ||||
(Floating, ICE LIBOR USD 1M + 0.65%, 0.43% Floor, 14.00% Cap), 2.44%, 11/25/35† | $1,151,292 | $1,154,928 | ||
Ready Capital Mortgage Financing, Series 2018-FL2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.85%), 2.64%, 06/25/35 144A † | 204,998 | 205,189 | ||
Saxon Asset Securities Trust, Series 2004-1, Class M1 | ||||
(Floating, ICE LIBOR USD 1M + 0.80%, 0.53% Floor, 10.28% Cap), 2.59%, 03/25/35† | 263,387 | 257,270 | ||
SBA Small Business Investment Cos., Series 2018-10B, Class 1 | ||||
3.55%, 09/10/28 | 195,727 | 203,787 | ||
SBA Small Business Investment Cos., Series 2019-10A, Class 1 | ||||
3.11%, 03/10/29 | 445,178 | 462,264 | ||
Scholar Funding Trust, Series 2010-A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 0.75%), 2.69%, 10/28/41 144A † | 223,578 | 220,091 | ||
SLC Student Loan Trust, Series 2005-3, Class A3 | ||||
(Floating, ICE LIBOR USD 3M + 0.12%), 2.01%, 06/15/29† | 538,400 | 533,745 | ||
SLM Student Loan EDC Repackaging Trust, Series 2013-M1, Class M1 | ||||
3.50%, 10/28/29 144A | 54,357 | 54,108 | ||
SLM Student Loan Trust, Series 2003-10A, Class A3 | ||||
(Floating, ICE LIBOR USD 3M + 0.47%), 2.36%, 12/15/27 144A † | 1,905,703 | 1,904,138 | ||
SLM Student Loan Trust, Series 2003-7A, Class A5A | ||||
(Floating, ICE LIBOR USD 3M + 1.20%, 1.20% Floor), 3.09%, 12/15/33 144A † | 722,243 | 713,430 | ||
SLM Student Loan Trust, Series 2005-4, Class A3 | ||||
(Floating, ICE LIBOR USD 3M + 0.12%), 2.06%, 01/25/27† | 93,877 | 93,144 | ||
SLM Student Loan Trust, Series 2005-5, Class A4 | ||||
(Floating, ICE LIBOR USD 3M + 0.14%, 0.14% Floor), 2.08%, 10/25/28† | 635,515 | 629,141 | ||
SLM Student Loan Trust, Series 2007-1, Class A5 | ||||
(Floating, ICE LIBOR USD 3M + 0.09%), 2.03%, 01/26/26† | 1,749,236 | 1,744,086 | ||
SoFi Consumer Loan Program, Series 2017-4, Class A | ||||
2.50%, 05/26/26 144A | 272,392 | 272,899 | ||
Sound Point Clo XX, Ltd., Series 2018-2A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.10%), 3.04%, 07/26/31 144A † | 500,000 | 495,863 |
Par | Value | |||
Soundview Home Loan Trust, Series 2006-OPT2, Class A3 | ||||
(Floating, ICE LIBOR USD 1M + 0.18%, 0.18% Floor), 1.97%, 05/25/36† | $209,854 | $210,210 | ||
Specialty Underwriting & Residential Finance Trust, Series 2004-BC3, Class M1 | ||||
(Floating, ICE LIBOR USD 1M + 0.93%, 0.62% Floor), 2.72%, 07/25/35† | 1,441,575 | 1,441,754 | ||
Structured Asset Investment Loan Trust, Series 2005-1, Class M3 | ||||
(Floating, ICE LIBOR USD 1M + 0.78%, 0.52% Floor), 2.57%, 02/25/35 144A † | 2,700,000 | 2,714,884 | ||
TIAA CLO II, Ltd., Series 2017-1A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.28%), 3.25%, 04/20/29 144A † | 3,950,000 | 3,954,029 | ||
TPG Real Estate Finance Issuer, Ltd., Series 2018-FL2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.13%), 2.87%, 11/15/37 144A † | 1,150,000 | 1,151,006 | ||
Tralee CLO VI, Ltd., Series 2019-6A, Class AS | ||||
(Floating, ICE LIBOR USD 3M + 1.30%), 3.32%, 10/25/32 144A † | 620,000 | 618,853 | ||
Tryon Park CLO, Ltd., Series 2013-1A, Class A1SR | ||||
(Floating, ICE LIBOR USD 3M + 0.89%), 2.89%, 04/15/29 144A † | 2,690,000 | 2,681,055 | ||
United States Small Business Administration, Series 2019-20D, Class 1 | ||||
2.98%, 04/01/39 | 223,594 | 229,767 | ||
United States Small Business Administration, Series 2019-25G, Class 1 | ||||
2.69%, 07/01/44 | 216,631 | 219,942 | ||
Utah State Board of Regents, Series 2015-1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor), 2.31%, 02/25/43† | 371,551 | 372,004 | ||
Vibrant CLO VI, Ltd., Series 2017-6A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.24%), 3.15%, 06/20/29 144A † | 2,750,000 | 2,747,968 | ||
Voya CLO, Ltd., Series 2015-1A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 0.90%, 0.90% Floor), 2.90%, 01/18/29 144A † | 500,000 | 497,400 | ||
Voya CLO, Ltd., Series 2017-3A, Class A1A | ||||
(Floating, ICE LIBOR USD 3M + 1.23%), 3.20%, 07/20/30 144A † | 4,150,000 | 4,158,292 |
Table of Contents
Par | Value | |||
Voya CLO, Ltd., Series 2018-3A, Class A1A | ||||
(Floating, ICE LIBOR USD 3M + 1.15%, 1.15% Floor), 3.15%, 10/15/31 144A † | $1,500,000 | $1,500,370 | ||
Westlake Automobile Receivables Trust, Series 2018-3A, Class A2A | ||||
2.98%, 01/18/22 144A | 721,949 | 723,229 | ||
Whitehorse XII, Ltd., Series 2018-12A, Class D | ||||
(Floating, ICE LIBOR USD 3M + 3.65%, 3.65% Floor), 5.65%, 10/15/31 144A † | 750,000 | 724,826 | ||
Zais CLO 13, Ltd., Series 2019-13A, Class A1A | ||||
(Floating, ICE LIBOR USD 3M + 1.49%), 3.57%, 07/15/32 144A † | 250,000 | 249,214 | ||
Total Asset-Backed Securities (Cost $102,337,245) | 101,888,780 | |||
CORPORATE BONDS — 25.0% | ||||
3M Co. | ||||
2.38%, 08/26/29 | 210,000 | 207,476 | ||
ABB Finance USA, Inc. | ||||
4.38%, 05/08/42 | 40,000 | 48,087 | ||
Abbott Laboratories | ||||
3.75%, 11/30/26 | 148,000 | 161,837 | ||
4.75%, 11/30/36 | 170,000 | 213,500 | ||
4.90%, 11/30/46 | 210,000 | 276,378 | ||
Acadia Healthcare Co., Inc. | ||||
5.63%, 02/15/23 | 634,000 | 645,624 | ||
Aetna, Inc. | ||||
2.80%, 06/15/23 | 260,000 | 264,383 | ||
Air Lease Corporation | ||||
3.75%, 06/01/26 | 875,000 | 915,629 | ||
3.25%, 10/01/29 | 45,000 | 44,859 | ||
Aircastle, Ltd. | ||||
5.13%, 03/15/21Δ | 764,000 | 789,469 | ||
5.50%, 02/15/22 | 1,300,000 | 1,383,420 | ||
4.13%, 05/01/24 | 25,000 | 26,284 | ||
4.25%, 06/15/26 | 45,000 | 47,689 | ||
Alexandria Real Estate Equities, Inc. REIT | ||||
3.80%, 04/15/26 | 900,000 | 962,986 | ||
2.75%, 12/15/29 | 1,400,000 | 1,385,337 | ||
3.38%, 08/15/31 | 360,000 | 374,749 | ||
Allegion US Holding Co., Inc. | ||||
3.20%, 10/01/24 | 400,000 | 411,657 | ||
Alliant Energy Finance LLC | ||||
3.75%, 06/15/23 144A | 275,000 | 287,248 | ||
4.25%, 06/15/28 144A | 75,000 | 80,766 | ||
Amazon.com, Inc. | ||||
3.15%, 08/22/27 | 370,000 | 392,443 | ||
3.88%, 08/22/37 | 160,000 | 182,122 | ||
4.95%, 12/05/44 | 220,000 | 288,650 | ||
4.05%, 08/22/47 | 790,000 | 931,080 | ||
Ambac LSNI LLC | ||||
(Floating, ICE LIBOR USD 3M + 5.00%), 6.94%, 02/12/23 144A † | 1,685,872 | 1,711,148 |
Par | Value | |||
American Airlines Pass-Through Trust, Series 2013-1, Class A | ||||
4.00%, 07/15/25 | $873,552 | $916,501 | ||
American Campus Communities Operating Partnership LP REIT | ||||
3.75%, 04/15/23 | 525,000 | 547,429 | ||
American Express Credit Corporation | ||||
2.38%, 05/26/20 | 310,000 | 310,393 | ||
American Homes 4 Rent LP REIT | ||||
4.90%, 02/15/29 | 434,000 | 486,509 | ||
American Honda Finance Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.45%), 2.36%, 02/15/22† | 3,200,000 | 3,211,395 | ||
American International Group, Inc. | ||||
3.90%, 04/01/26 | 825,000 | 886,837 | ||
4.20%, 04/01/28 | 1,850,000 | 2,038,165 | ||
4.25%, 03/15/29 | 60,000 | 66,849 | ||
6.25%, 03/15/37 | 278,000 | 303,463 | ||
American Tower Corporation REIT | ||||
3.38%, 05/15/24 | 825,000 | 855,803 | ||
3.38%, 10/15/26 | 1,500,000 | 1,560,919 | ||
American Tower Trust #1 REIT | ||||
3.07%, 03/15/23 144A | 940,000 | 953,042 | ||
Amgen, Inc. | ||||
2.13%, 05/01/20 | 70,000 | 70,030 | ||
3.63%, 05/22/24 | 50,000 | 52,866 | ||
2.60%, 08/19/26 | 45,000 | 45,627 | ||
4.66%, 06/15/51 | 34,000 | 40,123 | ||
Anthem, Inc. | ||||
2.95%, 12/01/22 | 390,000 | 399,231 | ||
3.35%, 12/01/24 | 130,000 | 135,782 | ||
3.65%, 12/01/27 | 250,000 | 264,969 | ||
4.10%, 03/01/28 | 30,000 | 32,625 | ||
Apache Corporation | ||||
3.25%, 04/15/22 | 24,000 | 24,462 | ||
4.38%, 10/15/28 | 50,000 | 52,342 | ||
5.10%, 09/01/40 | 180,000 | 183,605 | ||
4.25%, 01/15/44 | 800,000 | 739,117 | ||
Apple, Inc. | ||||
2.00%, 11/13/20 | 260,000 | 260,700 | ||
1.55%, 08/04/21 | 230,000 | 229,196 | ||
2.75%, 01/13/25 | 685,000 | 708,293 | ||
2.50%, 02/09/25 | 30,000 | 30,579 | ||
3.20%, 05/13/25 | 30,000 | 31,725 | ||
2.45%, 08/04/26 | 1,620,000 | 1,644,433 | ||
3.00%, 06/20/27 | 25,000 | 26,229 | ||
2.90%, 09/12/27 | 600,000 | 625,207 | ||
Applied Materials, Inc. | ||||
3.30%, 04/01/27 | 30,000 | 31,842 | ||
Arch Capital Finance LLC | ||||
4.01%, 12/15/26 | 600,000 | 659,565 | ||
Arch Capital Group, Ltd. | ||||
7.35%, 05/01/34 | 175,000 | 248,722 | ||
Ares Capital Corporation | ||||
4.20%, 06/10/24 | 65,000 | 68,122 | ||
Arrow Electronics, Inc. | ||||
4.50%, 03/01/23 | 1,200,000 | 1,267,415 |
Table of Contents
Par | Value | |||
AT&T, Inc. | ||||
4.45%, 05/15/21 | $80,000 | $82,613 | ||
3.00%, 02/15/22 | 170,000 | 173,462 | ||
3.00%, 06/30/22 | 475,000 | 485,383 | ||
4.45%, 04/01/24 | 725,000 | 786,392 | ||
3.40%, 05/15/25 | 2,280,000 | 2,389,576 | ||
3.60%, 07/15/25 | 325,000 | 344,444 | ||
4.13%, 02/17/26 | 1,050,000 | 1,138,969 | ||
4.25%, 03/01/27Δ | 1,400,000 | 1,538,941 | ||
5.25%, 03/01/37 | 225,000 | 269,217 | ||
4.90%, 08/15/37 | 255,000 | 294,071 | ||
4.85%, 03/01/39 | 1,400,000 | 1,617,774 | ||
6.10%, 07/15/40 | 140,000 | 179,046 | ||
4.35%, 06/15/45 | 360,000 | 389,327 | ||
4.75%, 05/15/46 | 150,000 | 170,039 | ||
5.15%, 11/15/46 | 200,000 | 239,839 | ||
5.45%, 03/01/47 | 575,000 | 715,349 | ||
4.50%, 03/09/48 | 605,000 | 669,499 | ||
Aviation Capital Group LLC | ||||
2.88%, 01/20/22 144A | 1,000,000 | 1,007,501 | ||
3.88%, 05/01/23 144A | 500,000 | 516,959 | ||
AXA Equitable Holdings, Inc. | ||||
4.35%, 04/20/28 | 1,330,000 | 1,445,628 | ||
5.00%, 04/20/48 | 40,000 | 43,119 | ||
Bank of America Corporation | ||||
3.30%, 01/11/23 | 120,000 | 124,139 | ||
(Variable, ICE LIBOR USD 3M + 1.16%), 3.12%, 01/20/23^ | 30,000 | 30,599 | ||
(Variable, ICE LIBOR USD 3M + 0.93%), 2.82%, 07/21/23^ | 40,000 | 40,658 | ||
(Variable, ICE LIBOR USD 3M + 0.79%), 3.00%, 12/20/23^ | 329,000 | 336,842 | ||
(Floating, ICE LIBOR USD 3M + 0.79%), 2.68%, 03/05/24† | 1,500,000 | 1,507,804 | ||
(Variable, ICE LIBOR USD 3M + 0.78%), 3.55%, 03/05/24^ | 530,000 | 550,327 | ||
4.00%, 04/01/24 | 420,000 | 450,128 | ||
(Floating, ICE LIBOR USD 3M + 0.96%), 2.89%, 07/23/24† | 900,000 | 909,632 | ||
(Variable, ICE LIBOR USD 3M + 0.94%), 3.86%, 07/23/24^ | 875,000 | 921,294 | ||
4.20%, 08/26/24 | 1,190,000 | 1,278,624 | ||
(Variable, ICE LIBOR USD 3M + 3.71%), 6.25%, 09/05/24ρ ^ | 300,000 | 333,589 | ||
(Variable, ICE LIBOR USD 3M + 4.17%), 6.50%, 10/23/24ρ ^ | 150,000 | 170,357 | ||
4.00%, 01/22/25 | 440,000 | 469,648 | ||
(Variable, ICE LIBOR USD 3M + 1.09%), 3.09%, 10/01/25^ | 2,200,000 | 2,272,108 | ||
(Variable, ICE LIBOR USD 3M + 0.81%), 3.37%, 01/23/26^ | 35,000 | 36,635 | ||
4.45%, 03/03/26 | 420,000 | 461,641 | ||
3.50%, 04/19/26 | 2,010,000 | 2,139,433 | ||
4.25%, 10/22/26 | 440,000 | 480,356 | ||
(Variable, ICE LIBOR USD 3M + 1.06%), 3.56%, 04/23/27^ | 30,000 | 31,735 | ||
3.25%, 10/21/27 | 875,000 | 912,846 | ||
4.18%, 11/25/27 | 825,000 | 895,342 | ||
(Variable, ICE LIBOR USD 3M + 1.58%), 3.82%, 01/20/28^ | 55,000 | 59,098 |
Par | Value | |||
(Variable, ICE LIBOR USD 3M + 1.37%), 3.59%, 07/21/28^ | $1,360,000 | $1,442,804 | ||
(Variable, ICE LIBOR USD 3M + 1.04%), 3.42%, 12/20/28^ | 694,000 | 729,385 | ||
(Variable, ICE LIBOR USD 3M + 1.31%), 4.27%, 07/23/29^ | 525,000 | 583,989 | ||
(Variable, ICE LIBOR USD 3M + 0.01%), 2.88%, 10/22/30^ | 500,000 | 505,037 | ||
6.11%, 01/29/37 | 500,000 | 676,766 | ||
5.00%, 01/21/44 | 790,000 | 1,031,822 | ||
(Variable, ICE LIBOR USD 3M + 1.19%), 3.95%, 01/23/49Δ ^ | 270,000 | 307,171 | ||
(Variable, ICE LIBOR USD 3M + 1.52%), 4.33%, 03/15/50^ | 170,000 | 205,253 | ||
Barrick North America Finance LLC | ||||
5.70%, 05/30/41 | 150,000 | 185,336 | ||
Bausch Health Americas, Inc. | ||||
9.25%, 04/01/26 144A | 200,000 | 230,090 | ||
BBVA USA | ||||
5.50%, 04/01/20 | 300,000 | 302,438 | ||
Becton, Dickinson and Co. | ||||
(Floating, ICE LIBOR USD 3M + 0.88%), 2.84%, 12/29/20† | 600,000 | 600,305 | ||
2.89%, 06/06/22 | 425,000 | 432,209 | ||
3.36%, 06/06/24 | 830,000 | 865,011 | ||
3.73%, 12/15/24 | 171,000 | 181,400 | ||
3.70%, 06/06/27 | 285,000 | 303,546 | ||
4.69%, 12/15/44 | 270,000 | 316,444 | ||
4.67%, 06/06/47 | 575,000 | 686,521 | ||
Berkshire Hathaway Energy Co. | ||||
3.25%, 04/15/28 | 400,000 | 423,284 | ||
Berkshire Hathaway Finance Corporation | ||||
4.25%, 01/15/49 | 460,000 | 546,593 | ||
Berkshire Hathaway, Inc. | ||||
2.75%, 03/15/23 | 65,000 | 66,691 | ||
Blue Racer Midstream LLC | ||||
6.13%, 11/15/22 144A | 120,000 | 117,814 | ||
BMW US Capital LLC | ||||
3.10%, 04/12/21 144A | 1,300,000 | 1,319,831 | ||
1.85%, 09/15/21 144A | 60,000 | 59,889 | ||
Boeing Co. (The) | ||||
4.88%, 02/15/20Δ | 50,000 | 50,151 | ||
2.70%, 02/01/27 | 70,000 | 71,041 | ||
2.80%, 03/01/27 | 110,000 | 111,878 | ||
3.25%, 02/01/35 | 510,000 | 522,888 | ||
6.63%, 02/15/38 | 210,000 | 295,395 | ||
3.75%, 02/01/50 | 140,000 | 149,300 | ||
Booking Holdings, Inc. | ||||
3.60%, 06/01/26 | 65,000 | 69,444 | ||
Boston Properties LP REIT | ||||
4.50%, 12/01/28Δ | 930,000 | 1,055,456 | ||
BP Capital Markets America, Inc. | ||||
3.22%, 11/28/23 | 370,000 | 385,753 | ||
3.80%, 09/21/25 | 45,000 | 48,738 | ||
3.12%, 05/04/26 | 570,000 | 596,106 | ||
4.23%, 11/06/28 | 1,875,000 | 2,122,427 | ||
Brighthouse Financial, Inc. | ||||
3.70%, 06/22/27 | 1,200,000 | 1,198,287 |
Table of Contents
Par | Value | |||
4.70%, 06/22/47 | $75,000 | $69,635 | ||
Bristol-Myers Squibb Co. | ||||
2.25%, 08/15/21 144A | 270,000 | 271,753 | ||
2.60%, 05/16/22 144A | 300,000 | 305,096 | ||
3.55%, 08/15/22 144A | 170,000 | 176,748 | ||
2.90%, 07/26/24 144A | 540,000 | 557,954 | ||
3.88%, 08/15/25 144A | 1,975,000 | 2,136,580 | ||
3.20%, 06/15/26 144A | 420,000 | 441,599 | ||
3.90%, 02/20/28 144A | 150,000 | 165,527 | ||
3.40%, 07/26/29 144A | 200,000 | 214,225 | ||
5.00%, 08/15/45 144A | 110,000 | 141,438 | ||
Brixmor Operating Partnership LP REIT | ||||
4.13%, 05/15/29 | 65,000 | 69,894 | ||
Broadcom Corporation | ||||
3.00%, 01/15/22 | 550,000 | 558,305 | ||
2.65%, 01/15/23 | 35,000 | 35,221 | ||
3.63%, 01/15/24 | 2,175,000 | 2,255,604 | ||
3.13%, 01/15/25 | 625,000 | 633,043 | ||
3.88%, 01/15/27 | 925,000 | 961,681 | ||
Broadcom, Inc. | ||||
3.13%, 10/15/22 144A | 2,750,000 | 2,802,624 | ||
3.63%, 10/15/24 144A | 985,000 | 1,024,954 | ||
4.25%, 04/15/26 144A | 675,000 | 717,527 | ||
Camden Property Trust REIT | ||||
3.15%, 07/01/29 | 65,000 | 67,789 | ||
Cameron LNG LLC | ||||
2.90%, 07/15/31 144A | 90,000 | 90,341 | ||
3.30%, 01/15/35 144A | 180,000 | 182,115 | ||
Capital One Financial Corporation | ||||
3.80%, 01/31/28Δ | 65,000 | 69,963 | ||
Catalent Pharma Solutions, Inc. | ||||
5.00%, 07/15/27 144A | 130,000 | 136,416 | ||
CenterPoint Energy, Inc. | ||||
4.25%, 11/01/28 | 700,000 | 760,761 | ||
CH Robinson Worldwide, Inc. | ||||
4.20%, 04/15/28 | 1,500,000 | 1,639,366 | ||
Charles Schwab Corporation (The) | ||||
3.25%, 05/22/29 | 65,000 | 68,882 | ||
Charter Communications Operating LLC | ||||
3.58%, 07/23/20 | 120,000 | 120,776 | ||
4.91%, 07/23/25 | 5,110,000 | 5,631,119 | ||
3.75%, 02/15/28 | 1,800,000 | 1,868,750 | ||
4.20%, 03/15/28 | 710,000 | 757,541 | ||
5.05%, 03/30/29 | 460,000 | 522,364 | ||
6.38%, 10/23/35 | 40,000 | 50,417 | ||
6.48%, 10/23/45 | 90,000 | 111,736 | ||
Chevron Corporation | ||||
2.95%, 05/16/26 | 350,000 | 366,120 | ||
Choice Hotels International, Inc. | ||||
3.70%, 12/01/29 | 1,500,000 | 1,514,685 | ||
Chubb INA Holdings, Inc. | ||||
2.30%, 11/03/20 | 90,000 | 90,330 | ||
3.35%, 05/03/26Δ | 120,000 | 127,718 | ||
Cigna Corporation | ||||
3.40%, 09/17/21 | 240,000 | 245,780 | ||
3.75%, 07/15/23 | 4,840,000 | 5,080,282 |
Par | Value | |||
4.13%, 11/15/25 | $245,000 | $266,224 | ||
4.38%, 10/15/28 | 460,000 | 510,546 | ||
4.90%, 12/15/48 | 175,000 | 209,901 | ||
Cimarex Energy Co. | ||||
3.90%, 05/15/27 | 500,000 | 519,133 | ||
4.38%, 03/15/29Δ | 180,000 | 191,098 | ||
Cintas Corporation No. 2 | ||||
2.90%, 04/01/22 | 180,000 | 183,679 | ||
3.70%, 04/01/27 | 190,000 | 206,297 | ||
Cisco Systems, Inc. | ||||
5.50%, 01/15/40 | 75,000 | 102,622 | ||
Citibank NA | ||||
(Floating, ICE LIBOR USD 3M + 0.60%), 2.50%, 05/20/22† | 1,500,000 | 1,506,093 | ||
Citigroup, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 1.19%), 3.09%, 08/02/21† Δ | 1,300,000 | 1,317,851 | ||
2.75%, 04/25/22 | 1,600,000 | 1,626,127 | ||
2.70%, 10/27/22 | 975,000 | 991,567 | ||
(Variable, ICE LIBOR USD 3M + 4.07%), 5.95%, 01/30/23ρ ^ | 170,000 | 180,118 | ||
3.50%, 05/15/23 | 220,000 | 229,122 | ||
(Variable, ICE LIBOR USD 3M + 1.02%), 4.04%, 06/01/24^ | 1,700,000 | 1,799,335 | ||
(Variable, ICE LIBOR USD 3M + 3.91%), 5.95%, 05/15/25ρ ^ | 690,000 | 753,552 | ||
4.40%, 06/10/25 | 450,000 | 489,560 | ||
5.50%, 09/13/25 | 290,000 | 331,851 | ||
3.40%, 05/01/26 | 2,075,000 | 2,181,884 | ||
(Variable, ICE LIBOR USD 3M + 4.52%), 6.25%, 08/15/26ρ ^ | 150,000 | 170,573 | ||
3.20%, 10/21/26 | 500,000 | 519,223 | ||
4.30%, 11/20/26 | 1,675,000 | 1,825,467 | ||
4.45%, 09/29/27 | 1,480,000 | 1,631,983 | ||
(Variable, ICE LIBOR USD 3M + 1.56%), 3.89%, 01/10/28^ | 65,000 | 70,103 | ||
(Variable, ICE LIBOR USD 3M + 1.39%), 3.67%, 07/24/28^ | 150,000 | 160,043 | ||
4.13%, 07/25/28 | 1,325,000 | 1,447,140 | ||
(Variable, ICE LIBOR USD 3M + 1.19%), 4.08%, 04/23/29^ | 35,000 | 38,342 | ||
(Variable, U.S. SOFR + 1.42%), 2.98%, 11/05/30^ | 550,000 | 559,268 | ||
6.63%, 06/15/32Δ | 50,000 | 67,386 | ||
(Variable, ICE LIBOR USD 3M + 1.17%), 3.88%, 01/24/39^ | 30,000 | 32,928 | ||
8.13%, 07/15/39 | 20,000 | 33,431 | ||
6.68%, 09/13/43 | 10,000 | 14,618 | ||
5.30%, 05/06/44 | 24,000 | 30,661 | ||
4.65%, 07/30/45 | 894,000 | 1,109,315 | ||
4.75%, 05/18/46 | 40,000 | 47,918 | ||
CNOOC Finance 2015 USA LLC | ||||
3.50%, 05/05/25 | 1,820,000 | 1,903,455 | ||
Coca-Cola Co. (The) | ||||
2.88%, 10/27/25Δ | 65,000 | 67,832 | ||
Comcast Corporation | ||||
3.70%, 04/15/24 | 825,000 | 880,472 | ||
3.38%, 08/15/25 | 275,000 | 292,108 | ||
3.95%, 10/15/25 | 975,000 | 1,064,909 |
Table of Contents
Par | Value | |||
3.30%, 02/01/27 | $344,000 | $364,746 | ||
3.15%, 02/15/28 | 950,000 | 996,797 | ||
4.15%, 10/15/28 | 2,395,000 | 2,699,753 | ||
2.65%, 02/01/30 | 875,000 | 879,885 | ||
4.25%, 10/15/30 | 810,000 | 927,289 | ||
5.65%, 06/15/35 | 420,000 | 553,485 | ||
3.20%, 07/15/36 | 380,000 | 389,708 | ||
3.90%, 03/01/38 | 30,000 | 33,292 | ||
CommonSpirit Health | ||||
4.35%, 11/01/42 | 40,000 | 41,161 | ||
Commonwealth Edison Co. | ||||
3.80%, 10/01/42 | 300,000 | 324,560 | ||
Conagra Brands, Inc. | ||||
3.25%, 09/15/22 | 1,300,000 | 1,332,037 | ||
4.60%, 11/01/25 | 60,000 | 66,338 | ||
Concho Resources, Inc. | ||||
4.38%, 01/15/25 | 70,000 | 72,365 | ||
3.75%, 10/01/27Δ | 80,000 | 84,216 | ||
4.30%, 08/15/28 | 320,000 | 349,213 | ||
ConocoPhillips Co. | ||||
4.95%, 03/15/26 | 25,000 | 28,790 | ||
ConocoPhillips Holding Co. | ||||
6.95%, 04/15/29 | 220,000 | 299,392 | ||
Continental Resources, Inc. | ||||
4.50%, 04/15/23 | 1,765,000 | 1,845,458 | ||
3.80%, 06/01/24 | 120,000 | 124,234 | ||
4.38%, 01/15/28 | 510,000 | 543,221 | ||
4.90%, 06/01/44 | 20,000 | 21,287 | ||
Cox Communications, Inc. | ||||
3.50%, 08/15/27 144A | 35,000 | 36,551 | ||
CRH America Finance, Inc. | ||||
3.95%, 04/04/28 144A Δ | 500,000 | 540,303 | ||
Crown Castle International Corporation REIT | ||||
5.25%, 01/15/23 | 525,000 | 570,637 | ||
3.15%, 07/15/23 | 725,000 | 748,575 | ||
3.10%, 11/15/29 | 70,000 | 71,044 | ||
CVS Health Corporation | ||||
3.35%, 03/09/21 | 112,000 | 113,889 | ||
2.75%, 12/01/22 | 210,000 | 213,531 | ||
3.70%, 03/09/23 | 755,000 | 787,425 | ||
4.00%, 12/05/23 | 800,000 | 847,135 | ||
2.63%, 08/15/24Δ | 25,000 | 25,240 | ||
4.10%, 03/25/25 | 590,000 | 633,854 | ||
3.88%, 07/20/25 | 788,000 | 839,928 | ||
4.30%, 03/25/28 | 2,870,000 | 3,137,866 | ||
4.78%, 03/25/38 | 25,000 | 28,467 | ||
5.13%, 07/20/45 | 250,000 | 297,047 | ||
5.05%, 03/25/48 | 550,000 | 652,805 | ||
CVS Pass-Through Trust | ||||
6.94%, 01/10/30 | 571,804 | 670,264 | ||
CyrusOne LP REIT | ||||
2.90%, 11/15/24 | 1,500,000 | 1,508,887 | ||
D.R. Horton, Inc. | ||||
4.38%, 09/15/22 | 800,000 | 838,966 | ||
DAE Funding LLC | ||||
5.00%, 08/01/24 144A | 700,000 | 736,701 |
Par | Value | |||
Daimler Finance North America LLC | ||||
3.40%, 02/22/22 144A | $1,700,000 | $1,742,433 | ||
2.70%, 06/14/24 144A Δ | 1,900,000 | 1,918,204 | ||
8.50%, 01/18/31 | 25,000 | 37,232 | ||
DCP Midstream Operating LP | ||||
6.45%, 11/03/36 144A | 60,000 | 63,206 | ||
Dell International LLC | ||||
4.42%, 06/15/21 144A | 2,520,000 | 2,593,963 | ||
5.45%, 06/15/23 144A | 2,800,000 | 3,038,968 | ||
6.02%, 06/15/26 144A | 400,000 | 460,819 | ||
8.35%, 07/15/46 144A | 200,000 | 275,954 | ||
Delta Air Lines Pass-Through Trust, Series 2007-1, Class A | ||||
6.82%, 08/10/22 | 251,346 | 273,022 | ||
Depository Trust & Clearing Corporation (The) | ||||
(Variable, ICE LIBOR USD 3M + 3.17%), 4.88%, 06/15/20 144A ρ ^ | 750,000 | 757,661 | ||
Devon Energy Corporation | ||||
5.85%, 12/15/25 | 492,000 | 583,832 | ||
5.60%, 07/15/41 | 312,000 | 380,054 | ||
4.75%, 05/15/42 | 340,000 | 382,147 | ||
5.00%, 06/15/45 | 910,000 | 1,057,722 | ||
DH Europe Finance II S.a.r.l. | ||||
2.20%, 11/15/24 | 675,000 | 676,674 | ||
2.60%, 11/15/29 | 225,000 | 224,670 | ||
Diamond Sports Group LLC | ||||
5.38%, 08/15/26 144A | 405,000 | 410,438 | ||
Discover Financial Services | ||||
3.75%, 03/04/25Δ | 450,000 | 476,992 | ||
Discovery Communications LLC | ||||
4.90%, 03/11/26 | 45,000 | 50,264 | ||
3.95%, 03/20/28 | 35,000 | 37,395 | ||
DISH DBS Corporation | ||||
5.88%, 11/15/24 | 630,000 | 645,095 | ||
Dollar Tree, Inc. | ||||
4.00%, 05/15/25 | 390,000 | 417,570 | ||
4.20%, 05/15/28 | 400,000 | 429,453 | ||
Dominion Energy, Inc. | ||||
3.07%, 08/15/24 STEP | 675,000 | 696,110 | ||
Duke Energy Corporation | ||||
3.75%, 04/15/24Δ | 200,000 | 212,106 | ||
3.15%, 08/15/27 | 550,000 | 567,307 | ||
Duke Energy Ohio, Inc. | ||||
3.65%, 02/01/29 | 350,000 | 380,698 | ||
DuPont de Nemours, Inc. | ||||
4.21%, 11/15/23 | 550,000 | 588,823 | ||
4.49%, 11/15/25 | 350,000 | 385,760 | ||
4.73%, 11/15/28 | 350,000 | 397,718 | ||
5.42%, 11/15/48Δ | 75,000 | 92,666 | ||
Eaton Corporation | ||||
2.75%, 11/02/22 | 710,000 | 724,722 | ||
4.15%, 11/02/42 | 200,000 | 224,229 | ||
eBay, Inc. | ||||
3.60%, 06/05/27 | 65,000 | 68,226 |
Table of Contents
Par | Value | |||
Ecolab, Inc. | ||||
3.95%, 12/01/47 | $68,000 | $76,071 | ||
Elanco Animal Health, Inc. | ||||
3.91%, 08/27/21 | 550,000 | 564,395 | ||
4.27%, 08/28/23 | 225,000 | 237,802 | ||
Enable Midstream Partners LP | ||||
4.95%, 05/15/28 | 900,000 | 912,425 | ||
Energizer Holdings, Inc. | ||||
7.75%, 01/15/27 144A | 425,000 | 475,745 | ||
Energy Transfer Operating LP | ||||
4.65%, 06/01/21 | 150,000 | 154,605 | ||
4.20%, 09/15/23 | 625,000 | 656,698 | ||
4.50%, 04/15/24 | 230,000 | 245,013 | ||
4.05%, 03/15/25 | 65,000 | 68,381 | ||
5.50%, 06/01/27 | 525,000 | 591,119 | ||
4.95%, 06/15/28 | 70,000 | 76,770 | ||
5.25%, 04/15/29 | 615,000 | 691,637 | ||
5.30%, 04/15/47 | 225,000 | 240,583 | ||
6.00%, 06/15/48 | 250,000 | 292,134 | ||
6.25%, 04/15/49 | 20,000 | 24,170 | ||
Energy Transfer Partners LP | ||||
4.50%, 11/01/23 | 310,000 | 328,647 | ||
Entercom Media Corporation | ||||
6.50%, 05/01/27 144A | 175,000 | 187,748 | ||
Entergy Louisiana LLC | ||||
5.40%, 11/01/24 | 1,200,000 | 1,375,228 | ||
Enterprise Products Operating LLC | ||||
4.15%, 10/16/28 | 600,000 | 664,694 | ||
3.13%, 07/31/29 | 100,000 | 103,108 | ||
7.55%, 04/15/38 | 50,000 | 72,628 | ||
5.70%, 02/15/42 | 60,000 | 77,553 | ||
4.85%, 03/15/44 | 50,000 | 57,940 | ||
4.80%, 02/01/49 | 30,000 | 35,295 | ||
4.20%, 01/31/50 | 130,000 | 140,154 | ||
(Variable, ICE LIBOR USD 3M + 2.78%), 4.68%, 06/01/67† | 455,000 | 430,917 | ||
EOG Resources, Inc. | ||||
4.15%, 01/15/26 | 140,000 | 154,004 | ||
EPR Properties REIT | ||||
4.75%, 12/15/26 | 1,200,000 | 1,310,761 | ||
3.75%, 08/15/29 | 65,000 | 65,974 | ||
EQM Midstream Partners LP | ||||
4.75%, 07/15/23 | 1,225,000 | 1,229,645 | ||
4.13%, 12/01/26 | 1,800,000 | 1,699,331 | ||
5.50%, 07/15/28 | 300,000 | 295,118 | ||
ERAC USA Finance LLC | ||||
4.50%, 08/16/21 144A | 709,000 | 736,506 | ||
ERP Operating LP REIT | ||||
4.63%, 12/15/21 | 150,000 | 156,761 | ||
Exelon Corporation | ||||
5.63%, 06/15/35 | 415,000 | 514,708 | ||
Expedia Group, Inc. | ||||
3.80%, 02/15/28 | 300,000 | 307,123 | ||
Exxon Mobil Corporation | ||||
3.04%, 03/01/26 | 280,000 | 293,986 | ||
4.11%, 03/01/46 | 230,000 | 270,415 | ||
FedEx Corporation | ||||
4.55%, 04/01/46 | 30,000 | 30,908 |
Par | Value | |||
FirstEnergy Corporation | ||||
4.25%, 03/15/23 | $290,000 | $305,917 | ||
3.90%, 07/15/27 | 690,000 | 738,685 | ||
7.38%, 11/15/31 | 1,800,000 | 2,543,543 | ||
Fiserv, Inc. | ||||
3.80%, 10/01/23 | 225,000 | 237,821 | ||
2.75%, 07/01/24 | 1,130,000 | 1,151,152 | ||
3.20%, 07/01/26 | 725,000 | 751,918 | ||
4.20%, 10/01/28 | 375,000 | 416,298 | ||
Florida Power & Light Co. | ||||
3.80%, 12/15/42 | 425,000 | 464,440 | ||
Ford Motor Credit Co. LLC | ||||
2.46%, 03/27/20 | 800,000 | 800,304 | ||
3.16%, 08/04/20 | 225,000 | 225,919 | ||
3.20%, 01/15/21 | 200,000 | 201,164 | ||
5.75%, 02/01/21 | 200,000 | 206,503 | ||
3.34%, 03/18/21 | 1,850,000 | 1,864,350 | ||
5.88%, 08/02/21 | 570,000 | 596,897 | ||
2.98%, 08/03/22 | 1,800,000 | 1,803,376 | ||
Fortive Corporation | ||||
3.15%, 06/15/26 | 65,000 | 66,572 | ||
Fox Corporation | ||||
4.03%, 01/25/24 144A | 480,000 | 511,817 | ||
4.71%, 01/25/29 144A | 470,000 | 536,392 | ||
5.48%, 01/25/39 144A | 300,000 | 367,691 | ||
5.58%, 01/25/49 144A | 80,000 | 102,057 | ||
Freeport-McMoRan, Inc. | ||||
3.55%, 03/01/22 | 20,000 | 20,286 | ||
3.88%, 03/15/23 | 10,000 | 10,203 | ||
4.55%, 11/14/24 | 10,000 | 10,592 | ||
5.45%, 03/15/43 | 192,000 | 199,219 | ||
General Electric Co. | ||||
5.50%, 01/08/20 | 40,000 | 40,015 | ||
4.38%, 09/16/20 | 198,000 | 201,093 | ||
5.30%, 02/11/21 | 104,000 | 107,324 | ||
4.65%, 10/17/21 | 1,540,000 | 1,606,034 | ||
3.15%, 09/07/22 | 230,000 | 234,937 | ||
2.70%, 10/09/22 | 75,000 | 76,062 | ||
3.10%, 01/09/23 | 250,000 | 255,592 | ||
6.75%, 03/15/32 | 80,000 | 102,854 | ||
6.88%, 01/10/39 | 525,000 | 702,802 | ||
General Mills, Inc. | ||||
4.20%, 04/17/28Δ | 640,000 | 713,987 | ||
General Motors Co. | ||||
4.00%, 04/01/25 | 200,000 | 210,989 | ||
5.15%, 04/01/38 | 50,000 | 51,236 | ||
General Motors Financial Co., Inc. | ||||
3.20%, 07/13/20 | 1,000,000 | 1,004,671 | ||
2.45%, 11/06/20 | 130,000 | 130,331 | ||
4.38%, 09/25/21 | 400,000 | 414,578 | ||
3.45%, 04/10/22 | 230,000 | 235,298 | ||
3.70%, 05/09/23 | 30,000 | 30,948 | ||
4.15%, 06/19/23 | 30,000 | 31,534 | ||
4.30%, 07/13/25 | 300,000 | 320,926 | ||
5.25%, 03/01/26 | 45,000 | 49,943 | ||
4.35%, 01/17/27 | 560,000 | 589,201 | ||
5.65%, 01/17/29 | 100,000 | 113,170 |
Table of Contents
Par | Value | |||
Genesis Energy LP | ||||
6.50%, 10/01/25 | $400,000 | $387,996 | ||
Gilead Sciences, Inc. | ||||
2.55%, 09/01/20 | 80,000 | 80,351 | ||
3.70%, 04/01/24 | 230,000 | 244,062 | ||
3.50%, 02/01/25 | 25,000 | 26,553 | ||
3.65%, 03/01/26 | 55,000 | 59,279 | ||
4.50%, 02/01/45 | 275,000 | 320,162 | ||
4.75%, 03/01/46 | 20,000 | 24,087 | ||
GlaxoSmithKline Capital, Inc. | ||||
3.88%, 05/15/28Δ | 45,000 | 49,748 | ||
Glencore Funding LLC | ||||
2.88%, 04/16/20 144A | 90,000 | 90,125 | ||
3.00%, 10/27/22 144A | 10,000 | 10,084 | ||
4.13%, 05/30/23 144A | 20,000 | 20,855 | ||
4.13%, 03/12/24 144A | 1,225,000 | 1,283,860 | ||
4.63%, 04/29/24 144A | 658,000 | 699,388 | ||
4.00%, 03/27/27 144A | 545,000 | 566,956 | ||
3.88%, 10/27/27 144A | 430,000 | 447,768 | ||
4.88%, 03/12/29 144A | 30,000 | 32,624 | ||
Global Payments, Inc. | ||||
2.65%, 02/15/25 | 400,000 | 402,292 | ||
3.20%, 08/15/29 | 225,000 | 229,785 | ||
Goldman Sachs Capital II | ||||
(Variable, ICE LIBOR USD 3M + 0.77%), 4.00%, 02/10/20† ρ | 3,000 | 2,630 | ||
Goldman Sachs Group, Inc. (The) | ||||
5.38%, 03/15/20 | 200,000 | 201,368 | ||
6.00%, 06/15/20 | 540,000 | 549,575 | ||
5.25%, 07/27/21 | 2,060,000 | 2,162,345 | ||
3.20%, 02/23/23 | 250,000 | 257,182 | ||
3.85%, 07/08/24 | 150,000 | 158,748 | ||
3.50%, 01/23/25 | 1,700,000 | 1,785,787 | ||
4.25%, 10/21/25 | 1,470,000 | 1,598,004 | ||
3.50%, 11/16/26 | 700,000 | 737,260 | ||
(Variable, ICE LIBOR USD 3M + 1.16%), 3.81%, 04/23/29^ | 690,000 | 740,868 | ||
(Variable, ICE LIBOR USD 3M + 1.30%), 4.22%, 05/01/29^ | 880,000 | 971,026 | ||
6.75%, 10/01/37 | 110,000 | 152,998 | ||
6.25%, 02/01/41 | 750,000 | 1,050,295 | ||
5.15%, 05/22/45 | 330,000 | 406,237 | ||
4.75%, 10/21/45Δ | 530,000 | 647,951 | ||
Goodman US Finance Three LLC REIT | ||||
3.70%, 03/15/28 144A | 1,000,000 | 1,027,758 | ||
Great-West Lifeco Finance 2018 LP | ||||
4.05%, 05/17/28 144A Δ | 225,000 | 248,789 | ||
Halliburton Co. | ||||
3.80%, 11/15/25 | 675,000 | 720,613 | ||
5.00%, 11/15/45 | 230,000 | 263,317 | ||
Hartford Financial Services Group, Inc. (The) | ||||
2.80%, 08/19/29 | 35,000 | 35,482 | ||
HCA, Inc. | ||||
5.00%, 03/15/24 | 30,000 | 32,826 | ||
5.38%, 02/01/25 | 600,000 | 664,749 | ||
5.25%, 04/15/25 | 165,000 | 184,835 | ||
5.25%, 06/15/26 | 10,000 | 11,218 |
Par | Value | |||
5.38%, 09/01/26 | $1,600,000 | $1,786,040 | ||
5.50%, 06/15/47 | 50,000 | 57,561 | ||
Healthcare Trust of America Holdings LP REIT | ||||
3.10%, 02/15/30 | 1,500,000 | 1,491,656 | ||
Healthpeak Properties, Inc. REIT | ||||
3.50%, 07/15/29 | 65,000 | 67,884 | ||
Herc Holdings, Inc. | ||||
5.50%, 07/15/27 144A | 670,000 | 706,867 | ||
Hewlett Packard Enterprise Co. | ||||
2.25%, 04/01/23 | 1,000,000 | 999,773 | ||
4.90%, 10/15/25 | 945,000 | 1,051,187 | ||
6.35%, 10/15/45 | 155,000 | 186,921 | ||
HollyFrontier Corporation | ||||
5.88%, 04/01/26 | 60,000 | 67,736 | ||
Home Depot, Inc. (The) | ||||
2.13%, 09/15/26 | 1,175,000 | 1,175,444 | ||
3.90%, 12/06/28 | 250,000 | 280,991 | ||
Honeywell International, Inc. | ||||
2.50%, 11/01/26 | 35,000 | 35,647 | ||
Humana, Inc. | ||||
3.15%, 12/01/22 | 70,000 | 71,880 | ||
3.95%, 03/15/27 | 150,000 | 161,575 | ||
4.63%, 12/01/42 | 60,000 | 67,671 | ||
4.95%, 10/01/44 | 70,000 | 82,820 | ||
4.80%, 03/15/47 | 10,000 | 11,739 | ||
Huntington Bancshares, Inc. | ||||
4.00%, 05/15/25Δ | 550,000 | 594,803 | ||
Huntsman International LLC | ||||
4.50%, 05/01/29 | 390,000 | 414,775 | ||
Hyundai Capital America | ||||
2.85%, 11/01/22 144A | 1,600,000 | 1,618,864 | ||
IHS Markit, Ltd. | ||||
4.00%, 03/01/26 144A | 1,125,000 | 1,188,349 | ||
Ingersoll-Rand Luxembourg Finance SA | ||||
3.80%, 03/21/29 | 25,000 | 26,872 | ||
Intel Corporation | ||||
3.70%, 07/29/25 | 80,000 | 86,600 | ||
3.73%, 12/08/47 | 76,000 | 83,807 | ||
International Business Machines Corporation | ||||
3.00%, 05/15/24 | 990,000 | 1,027,993 | ||
International Lease Finance Corporation | ||||
8.63%, 01/15/22 | 420,000 | 472,722 | ||
JetBlue Pass-Through Trust, Series 2019-1, Class AA | ||||
2.75%, 05/15/32Δ | 2,100,000 | 2,117,397 | ||
John Deere Capital Corporation | ||||
1.70%, 01/15/20 | 80,000 | 79,993 | ||
Johnson & Johnson | ||||
2.45%, 03/01/26 | 560,000 | 569,160 | ||
3.63%, 03/03/37 | 390,000 | 431,475 | ||
JPMorgan Chase & Co. | ||||
(Variable, ICE LIBOR USD 3M + 3.80%), 5.30%, 05/01/20ρ ^ | 550,000 | 554,298 | ||
4.40%, 07/22/20 | 230,000 | 233,194 | ||
2.40%, 06/07/21 | 1,100,000 | 1,107,518 |
Table of Contents
Par | Value | |||
4.35%, 08/15/21 | $70,000 | $72,715 | ||
2.97%, 01/15/23Δ | 30,000 | 30,581 | ||
(Variable, ICE LIBOR USD 3M + 0.73%), 3.56%, 04/23/24^ | 800,000 | 834,074 | ||
(Variable, ICE LIBOR USD 3M + 0.89%), 3.80%, 07/23/24^ | 1,600,000 | 1,687,322 | ||
3.88%, 09/10/24 | 860,000 | 921,268 | ||
(Variable, ICE LIBOR USD 3M + 1.00%), 4.02%, 12/05/24^ | 4,000,000 | 4,268,062 | ||
3.13%, 01/23/25Δ | 900,000 | 939,860 | ||
(Variable, U.S. SOFR + 1.16%), 2.30%, 10/15/25^ | 950,000 | 949,571 | ||
2.95%, 10/01/26 | 700,000 | 721,993 | ||
(Variable, ICE LIBOR USD 3M + 1.25%), 3.96%, 01/29/27^ | 940,000 | 1,020,930 | ||
4.25%, 10/01/27 | 780,000 | 864,321 | ||
3.63%, 12/01/27 | 900,000 | 951,607 | ||
(Variable, ICE LIBOR USD 3M + 0.95%), 3.51%, 01/23/29^ | 1,550,000 | 1,648,793 | ||
(Variable, ICE LIBOR USD 3M + 1.26%), 4.20%, 07/23/29^ | 380,000 | 424,514 | ||
(Variable, ICE LIBOR USD 3M + 1.33%), 4.45%, 12/05/29^ | 170,000 | 193,620 | ||
(Variable, ICE LIBOR USD 3M + 1.36%), 3.88%, 07/24/38^ | 205,000 | 227,275 | ||
4.95%, 06/01/45 | 400,000 | 509,866 | ||
Keurig Dr. Pepper, Inc. | ||||
4.06%, 05/25/23 | 510,000 | 538,215 | ||
5.09%, 05/25/48Δ | 400,000 | 483,900 | ||
KeyCorp | ||||
2.55%, 10/01/29 | 70,000 | 68,543 | ||
Keysight Technologies, Inc. | ||||
3.00%, 10/30/29 | 475,000 | 477,567 | ||
Kilroy Realty LP REIT | ||||
3.80%, 01/15/23 | 400,000 | 414,799 | ||
4.75%, 12/15/28 | 1,750,000 | 1,987,523 | ||
Kinder Morgan Energy Partners LP | ||||
3.95%, 09/01/22 | 520,000 | 542,144 | ||
4.25%, 09/01/24 | 980,000 | 1,050,260 | ||
Kinder Morgan, Inc. | ||||
4.30%, 03/01/28 | 60,000 | 65,478 | ||
KKR Group Finance Co. II LLC | ||||
5.50%, 02/01/43 144A | 30,000 | 36,757 | ||
Kraft Heinz Foods Co. | ||||
(Floating, ICE LIBOR USD 3M + 0.57%), 2.47%, 02/10/21† Δ | 1,000,000 | 1,001,650 | ||
3.95%, 07/15/25 | 145,000 | 153,655 | ||
3.00%, 06/01/26 | 320,000 | 320,362 | ||
5.00%, 07/15/35 | 30,000 | 33,384 | ||
Kroger Co. (The) | ||||
6.15%, 01/15/20 | 360,000 | 360,492 | ||
L3Harris Technologies, Inc. | ||||
5.05%, 04/27/45 | 110,000 | 135,901 | ||
Lear Corporation | ||||
3.80%, 09/15/27 | 50,000 | 50,549 | ||
Legg Mason, Inc. | ||||
5.63%, 01/15/44 | 30,000 | 34,122 | ||
Lehman Escrow Bonds | ||||
0.00%, 01/18/12# | 200,000 | 2,500 |
Par | Value | |||
0.00%, 01/24/13# | $2,300,000 | $29,210 | ||
0.00%, 07/19/17Ψ ††† # | 150,000 | — | ||
0.00%, 12/28/17Ψ ††† # | 3,340,000 | — | ||
0.00%, 02/07/20Ψ ††† # | 2,330,000 | — | ||
Level 3 Financing, Inc. | ||||
5.63%, 02/01/23 | 1,050,000 | 1,055,764 | ||
Life Storage LP REIT | ||||
3.88%, 12/15/27 | 900,000 | 950,182 | ||
Lincoln National Corporation | ||||
3.05%, 01/15/30 | 70,000 | 70,397 | ||
Lockheed Martin Corporation | ||||
3.10%, 01/15/23 | 40,000 | 41,289 | ||
3.55%, 01/15/26 | 310,000 | 332,830 | ||
4.50%, 05/15/36 | 50,000 | 59,388 | ||
Marathon Oil Corporation | ||||
4.40%, 07/15/27Δ | 175,000 | 190,481 | ||
Marathon Petroleum Corporation | ||||
5.13%, 12/15/26 | 60,000 | 68,023 | ||
3.80%, 04/01/28 | 250,000 | 263,391 | ||
Marriott International, Inc. | ||||
2.13%, 10/03/22 | 1,500,000 | 1,503,884 | ||
Mars, Inc. | ||||
2.70%, 04/01/25 144A | 400,000 | 409,608 | ||
3.20%, 04/01/30 144A | 475,000 | 503,564 | ||
Marsh & McLennan Cos., Inc. | ||||
3.75%, 03/14/26 | 1,100,000 | 1,183,101 | ||
4.38%, 03/15/29Δ | 500,000 | 570,520 | ||
McDonald’s Corporation | ||||
3.70%, 01/30/26 | 240,000 | 259,161 | ||
3.50%, 03/01/27 | 410,000 | 438,381 | ||
3.80%, 04/01/28 | 90,000 | 98,507 | ||
Medtronic, Inc. | ||||
3.50%, 03/15/25 | 14,000 | 15,017 | ||
4.63%, 03/15/45 | 36,000 | 45,406 | ||
MetLife Capital Trust IV | ||||
7.88%, 12/15/37 144A | 300,000 | 400,978 | ||
MetLife, Inc. | ||||
6.40%, 12/15/36 | 50,000 | 61,330 | ||
Metropolitan Life Global Funding I | ||||
3.45%, 12/18/26 144A | 1,700,000 | 1,826,439 | ||
Microchip Technology, Inc. | ||||
3.92%, 06/01/21 | 350,000 | 358,061 | ||
Microsoft Corporation | ||||
2.88%, 02/06/24 | 470,000 | 487,990 | ||
2.70%, 02/12/25 | 120,000 | 124,083 | ||
2.40%, 08/08/26 | 2,040,000 | 2,065,799 | ||
3.30%, 02/06/27Δ | 800,000 | 855,808 | ||
3.45%, 08/08/36 | 10,000 | 10,977 | ||
4.10%, 02/06/37 | 50,000 | 59,235 | ||
3.95%, 08/08/56 | 130,000 | 154,309 | ||
MidAmerican Energy Co. | ||||
3.65%, 04/15/29 | 350,000 | 383,058 | ||
Moody’s Corporation | ||||
4.50%, 09/01/22 | 800,000 | 846,216 | ||
Morgan Stanley | ||||
5.50%, 07/24/20 | 550,000 | 561,160 |
Table of Contents
Par | Value | |||
(Floating, ICE LIBOR USD 3M + 1.40%), 3.37%, 04/21/21† | $100,000 | $101,521 | ||
(Variable, ICE LIBOR USD 3M + 0.85%), 3.74%, 04/24/24^ | 500,000 | 522,701 | ||
3.70%, 10/23/24 | 1,150,000 | 1,222,404 | ||
(Variable, U.S. SOFR + 1.15%), 2.72%, 07/22/25^ | 725,000 | 734,636 | ||
3.63%, 01/20/27 | 1,475,000 | 1,571,923 | ||
3.95%, 04/23/27 | 725,000 | 778,501 | ||
(Variable, ICE LIBOR USD 3M + 1.34%), 3.59%, 07/22/28^ | 30,000 | 31,924 | ||
(Variable, ICE LIBOR USD 3M + 1.14%), 3.77%, 01/24/29^ | 520,000 | 560,185 | ||
(Variable, ICE LIBOR USD 3M + 1.63%), 4.43%, 01/23/30^ | 945,000 | 1,069,675 | ||
Motorola Solutions, Inc. | ||||
4.60%, 05/23/29 | 60,000 | 65,553 | ||
MPLX LP | ||||
4.88%, 12/01/24 | 230,000 | 250,201 | ||
4.88%, 06/01/25 | 100,000 | 109,322 | ||
4.25%, 12/01/27 144A | 35,000 | 36,912 | ||
4.00%, 03/15/28 | 85,000 | 88,116 | ||
4.80%, 02/15/29 | 250,000 | 274,620 | ||
4.50%, 04/15/38 | 530,000 | 540,205 | ||
5.20%, 03/01/47 | 15,000 | 16,242 | ||
4.70%, 04/15/48 | 1,170,000 | 1,194,109 | ||
5.50%, 02/15/49 | 595,000 | 676,950 | ||
MPT Operating Partnership LP REIT | ||||
4.63%, 08/01/29 | 865,000 | 892,572 | ||
National Retail Properties, Inc. REIT | ||||
3.60%, 12/15/26 | 250,000 | 262,831 | ||
Newell Brands, Inc. | ||||
3.85%, 04/01/23 | 132,000 | 137,255 | ||
4.20%, 04/01/26 | 150,000 | 156,537 | ||
Niagara Mohawk Power Corporation | ||||
4.28%, 12/15/28 144A | 2,000,000 | 2,232,982 | ||
NIKE, Inc. | ||||
2.38%, 11/01/26 | 35,000 | 35,615 | ||
NiSource, Inc. | ||||
3.65%, 06/15/23 | 400,000 | 416,932 | ||
3.49%, 05/15/27Δ | 925,000 | 973,920 | ||
Nissan Motor Acceptance Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.89%), 2.89%, 01/13/22 144A † | 1,900,000 | 1,909,849 | ||
Noble Energy, Inc. | ||||
3.85%, 01/15/28 | 440,000 | 465,338 | ||
3.25%, 10/15/29 | 425,000 | 431,652 | ||
6.00%, 03/01/41 | 10,000 | 12,055 | ||
5.25%, 11/15/43 | 5,000 | 5,642 | ||
4.95%, 08/15/47 | 110,000 | 122,444 | ||
Northrop Grumman Corporation | ||||
2.93%, 01/15/25 | 1,620,000 | 1,671,603 | ||
3.25%, 01/15/28 | 670,000 | 699,852 | ||
4.75%, 06/01/43 | 200,000 | 242,158 | ||
Northwell Healthcare, Inc. | ||||
6.15%, 11/01/43 | 375,000 | 501,618 |
Par | Value | |||
Northwestern Mutual Life Insurance Co. (The) | ||||
6.06%, 03/30/40 144A | $300,000 | $409,905 | ||
3.85%, 09/30/47 144A | 250,000 | 263,922 | ||
NRG Energy, Inc. | ||||
3.75%, 06/15/24 144A | 625,000 | 646,801 | ||
Nuveen LLC | ||||
4.00%, 11/01/28 144A | 225,000 | 250,768 | ||
Oasis Petroleum, Inc. | ||||
6.88%, 03/15/22Δ | 50,000 | 48,250 | ||
Occidental Petroleum Corporation | ||||
4.85%, 03/15/21 | 231,000 | 238,001 | ||
2.60%, 08/13/21 | 180,000 | 181,389 | ||
3.13%, 02/15/22 | 100,000 | 101,795 | ||
2.70%, 08/15/22 | 250,000 | 252,694 | ||
2.70%, 02/15/23Δ | 20,000 | 20,171 | ||
6.95%, 07/01/24 | 290,000 | 341,850 | ||
2.90%, 08/15/24 | 2,665,000 | 2,711,413 | ||
5.55%, 03/15/26 | 845,000 | 958,988 | ||
3.40%, 04/15/26 | 500,000 | 512,753 | ||
3.20%, 08/15/26 | 260,000 | 263,352 | ||
3.00%, 02/15/27 | 150,000 | 150,411 | ||
7.88%, 09/15/31 | 280,000 | 375,961 | ||
6.45%, 09/15/36 | 430,000 | 528,909 | ||
4.63%, 06/15/45 | 130,000 | 134,748 | ||
6.60%, 03/15/46 | 470,000 | 606,669 | ||
4.40%, 04/15/46Δ | 60,000 | 60,876 | ||
4.10%, 02/15/47 | 260,000 | 253,221 | ||
4.20%, 03/15/48Δ | 80,000 | 79,598 | ||
Office Properties Income Trust REIT | ||||
3.60%, 02/01/20 | 125,000 | 125,000 | ||
Omega Healthcare Investors, Inc. REIT | ||||
3.63%, 10/01/29 | 1,600,000 | 1,603,896 | ||
Omnicom Group, Inc. | ||||
3.60%, 04/15/26 | 30,000 | 31,634 | ||
Oracle Corporation | ||||
4.00%, 07/15/46 | 375,000 | 418,100 | ||
PayPal Holdings, Inc. | ||||
2.65%, 10/01/26Δ | 2,775,000 | 2,818,212 | ||
Penske Truck Leasing Co. LP | ||||
3.38%, 02/01/22 144A | 1,000,000 | 1,021,578 | ||
Phillips 66 | ||||
3.90%, 03/15/28Δ | 475,000 | 518,630 | ||
Physicians Realty LP REIT | ||||
3.95%, 01/15/28 | 2,400,000 | 2,515,363 | ||
Pioneer Natural Resources Co. | ||||
3.95%, 07/15/22 | 75,000 | 77,864 | ||
Plains All American Pipeline LP | ||||
3.65%, 06/01/22Δ | 200,000 | 205,260 | ||
Post Holdings, Inc. | ||||
5.50%, 12/15/29 144A | 350,000 | 373,852 | ||
Progress Energy, Inc. | ||||
7.75%, 03/01/31Δ | 350,000 | 493,225 |
Table of Contents
Par | Value | |||
QUALCOMM, Inc. | ||||
3.45%, 05/20/25 | $30,000 | $31,754 | ||
Range Resources Corporation | ||||
5.00%, 03/15/23Δ | 430,000 | 396,593 | ||
4.88%, 05/15/25Δ | 10,000 | 8,575 | ||
Raytheon Co. | ||||
3.13%, 10/15/20 | 200,000 | 201,949 | ||
Regency Centers LP REIT | ||||
2.95%, 09/15/29 | 775,000 | 775,536 | ||
Reinsurance Group of America, Inc. | ||||
3.90%, 05/15/29 | 65,000 | 69,416 | ||
Reliance Standard Life Global Funding II | ||||
2.50%, 01/15/20 144A | 100,000 | 100,006 | ||
RELX Capital, Inc. | ||||
3.50%, 03/16/23 | 1,300,000 | 1,350,691 | ||
Republic Services, Inc. | ||||
2.50%, 08/15/24 | 190,000 | 192,381 | ||
Rockwell Collins, Inc. | ||||
3.50%, 03/15/27 | 550,000 | 584,667 | ||
Roper Technologies, Inc. | ||||
4.20%, 09/15/28 | 500,000 | 548,452 | ||
Ryder System, Inc. | ||||
2.50%, 09/01/24Δ | 70,000 | 70,406 | ||
Sabine Pass Liquefaction LLC | ||||
6.25%, 03/15/22 | 475,000 | 510,492 | ||
5.63%, 04/15/23 | 400,000 | 435,599 | ||
5.63%, 03/01/25 | 450,000 | 507,125 | ||
5.88%, 06/30/26 | 30,000 | 34,509 | ||
5.00%, 03/15/27 | 425,000 | 468,184 | ||
Sabra Health Care LP REIT | ||||
3.90%, 10/15/29 | 1,500,000 | 1,512,821 | ||
salesforce.com, Inc. | ||||
3.25%, 04/11/23 | 300,000 | 312,247 | ||
3.70%, 04/11/28 | 100,000 | 109,796 | ||
Santander Holdings USA, Inc. | ||||
4.50%, 07/17/25 | 60,000 | 64,820 | ||
3.24%, 10/05/26 144A | 1,100,000 | 1,113,828 | ||
4.40%, 07/13/27 | 65,000 | 70,249 | ||
Schlumberger Holdings Corporation | ||||
4.00%, 12/21/25 144A | 220,000 | 237,127 | ||
3.90%, 05/17/28 144A | 252,000 | 268,713 | ||
4.30%, 05/01/29 144A | 30,000 | 32,968 | ||
Seagate HDD Cayman | ||||
4.75%, 01/01/25 | 45,000 | 48,142 | ||
Sempra Energy | ||||
(Floating, ICE LIBOR USD 3M + 0.50%), 2.50%, 01/15/21† | 625,000 | 625,115 | ||
2.90%, 02/01/23 | 1,125,000 | 1,148,048 | ||
3.40%, 02/01/28 | 275,000 | 285,332 | ||
Sherwin-Williams Co. (The) | ||||
2.75%, 06/01/22 | 57,000 | 58,016 | ||
3.13%, 06/01/24 | 75,000 | 77,585 | ||
3.45%, 06/01/27 | 415,000 | 439,491 | ||
2.95%, 08/15/29 | 475,000 | 480,743 | ||
Simon Property Group LP REIT | ||||
2.45%, 09/13/29 | 1,600,000 | 1,577,196 |
Par | Value | |||
Southern California Edison Co. | ||||
3.70%, 08/01/25 | $1,800,000 | $1,908,053 | ||
4.20%, 03/01/29 | 400,000 | 443,219 | ||
Southern Co. (The) | ||||
3.25%, 07/01/26 | 1,400,000 | 1,459,762 | ||
Southern Co. Gas Capital Corporation | ||||
3.25%, 06/15/26 | 300,000 | 312,653 | ||
Southern Copper Corporation | ||||
5.25%, 11/08/42 | 2,520,000 | 2,909,160 | ||
Southern Natural Gas Co. LLC | ||||
8.00%, 03/01/32 | 400,000 | 580,955 | ||
Spirit AeroSystems, Inc. | ||||
3.95%, 06/15/23 | 1,500,000 | 1,547,436 | ||
Spirit Airlines Pass-Through Trust, Series 2015-1, Class A | ||||
4.10%, 04/01/28 | 1,147,733 | 1,199,435 | ||
Spirit Realty LP REIT | ||||
4.45%, 09/15/26 | 1,200,000 | 1,290,695 | ||
4.00%, 07/15/29 | 750,000 | 790,806 | ||
Springleaf Finance Corporation | ||||
7.75%, 10/01/21 | 1,600,000 | 1,740,912 | ||
Sprint Communications, Inc. | ||||
6.00%, 11/15/22 | 875,000 | 919,214 | ||
Sprint Spectrum Co. LLC | ||||
3.36%, 09/20/21 144A | 87,500 | 88,388 | ||
5.15%, 03/20/28 144A | 1,100,000 | 1,202,132 | ||
Starbucks Corporation | ||||
3.80%, 08/15/25 | 625,000 | 673,996 | ||
State Street Corporation | ||||
3.30%, 12/16/24Δ | 30,000 | 31,669 | ||
Stryker Corporation | ||||
2.63%, 03/15/21 | 125,000 | 126,091 | ||
Sunoco Logistics Partners Operations LP | ||||
4.25%, 04/01/24 | 100,000 | 105,231 | ||
5.95%, 12/01/25 | 300,000 | 342,540 | ||
5.40%, 10/01/47 | 125,000 | 136,121 | ||
Synchrony Financial | ||||
2.70%, 02/03/20 | 200,000 | 200,072 | ||
5.15%, 03/19/29 | 60,000 | 68,331 | ||
Targa Resources Partners LP | ||||
5.88%, 04/15/26 | 350,000 | 372,531 | ||
6.50%, 07/15/27 144A | 355,000 | 389,382 | ||
5.50%, 03/01/30 144A | 120,000 | 123,450 | ||
Teachers Insurance & Annuity Association of America | ||||
6.85%, 12/16/39 144A | 46,000 | 67,058 | ||
4.90%, 09/15/44 144A | 655,000 | 805,718 | ||
Thermo Fisher Scientific, Inc. | ||||
3.00%, 04/15/23 | 100,000 | 102,887 | ||
3.65%, 12/15/25 | 200,000 | 213,979 | ||
Time Warner Cable LLC | ||||
4.13%, 02/15/21 | 400,000 | 406,547 | ||
7.30%, 07/01/38 | 620,000 | 809,915 | ||
5.88%, 11/15/40 | 100,000 | 114,992 | ||
Time Warner Entertainment Co. LP | ||||
8.38%, 03/15/23 | 975,000 | 1,151,472 |
Table of Contents
Par | Value | |||
8.38%, 07/15/33 | $390,000 | $547,408 | ||
TJX Cos, Inc. (The) | ||||
2.25%, 09/15/26Δ | 40,000 | 40,229 | ||
Toyota Motor Credit Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.29%), 2.19%, 10/07/21† | 1,600,000 | 1,603,742 | ||
Transcontinental Gas Pipe Line Co. LLC | ||||
7.85%, 02/01/26 | 350,000 | 445,106 | ||
TransDigm, Inc. | ||||
6.50%, 05/15/25 | 50,000 | 52,104 | ||
6.38%, 06/15/26 | 350,000 | 371,861 | ||
7.50%, 03/15/27 | 300,000 | 328,695 | ||
Truist Bank | ||||
(Variable, ICE LIBOR USD 3M + 0.30%), 2.59%, 01/29/21^ | 875,000 | 877,113 | ||
Truist Financial Corporation | ||||
3.75%, 12/06/23 | 30,000 | 31,844 | ||
Tyson Foods, Inc. | ||||
4.00%, 03/01/26 | 65,000 | 70,414 | ||
U.S. Bancorp | ||||
3.38%, 02/05/24 | 65,000 | 68,299 | ||
UDR, Inc. REIT | ||||
3.20%, 01/15/30 | 1,200,000 | 1,228,992 | ||
Union Pacific Corporation | ||||
3.75%, 07/15/25 | 210,000 | 225,337 | ||
3.95%, 09/10/28 | 710,000 | 785,182 | ||
3.84%, 03/20/60 144A | 600,000 | 611,926 | ||
United Airlines Pass-Through Trust, Series 2016-2, Class A | ||||
3.10%, 10/07/28 | 715,421 | 726,129 | ||
United Airlines Pass-Through Trust, Series 2016-2, Class AA | ||||
2.88%, 10/07/28Δ | 715,421 | 726,718 | ||
United Parcel Service, Inc. | ||||
3.05%, 11/15/27 | 65,000 | 68,433 | ||
United Technologies Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.65%), 2.55%, 08/16/21† | 250,000 | 250,034 | ||
3.35%, 08/16/21 | 225,000 | 230,458 | ||
3.95%, 08/16/25 | 730,000 | 796,691 | ||
2.65%, 11/01/26 | 895,000 | 917,123 | ||
4.13%, 11/16/28 | 725,000 | 816,352 | ||
4.50%, 06/01/42 | 90,000 | 108,096 | ||
4.05%, 05/04/47 | 175,000 | 201,077 | ||
4.63%, 11/16/48 | 250,000 | 313,752 | ||
UnitedHealth Group, Inc. | ||||
2.70%, 07/15/20 | 280,000 | 281,195 | ||
2.88%, 12/15/21Δ | 180,000 | 183,668 | ||
3.75%, 07/15/25 | 270,000 | 291,890 | ||
3.85%, 06/15/28 | 35,000 | 38,653 | ||
3.88%, 12/15/28 | 90,000 | 99,735 | ||
4.63%, 07/15/35 | 150,000 | 182,471 | ||
3.70%, 08/15/49 | 220,000 | 237,119 | ||
3.88%, 08/15/59Δ | 190,000 | 205,850 | ||
US Bank NA | ||||
3.15%, 04/26/21 | 300,000 | 304,856 |
Par | Value | |||
Valero Energy Corporation | ||||
6.63%, 06/15/37 | $45,000 | $59,624 | ||
Ventas Realty LP REIT | ||||
3.00%, 01/15/30 | 1,700,000 | 1,687,671 | ||
VEREIT Operating Partnership LP REIT | ||||
4.63%, 11/01/25 | 600,000 | 657,541 | ||
3.95%, 08/15/27 | 150,000 | 157,870 | ||
Verizon Communications, Inc. | ||||
3.50%, 11/01/24 | 1,205,000 | 1,278,627 | ||
3.38%, 02/15/25 | 2,845,000 | 3,015,649 | ||
2.63%, 08/15/26 | 980,000 | 996,098 | ||
4.33%, 09/21/28 | 2,018,000 | 2,292,223 | ||
3.88%, 02/08/29 | 360,000 | 397,451 | ||
4.50%, 08/10/33 | 230,000 | 268,706 | ||
5.25%, 03/16/37 | 680,000 | 855,214 | ||
4.13%, 08/15/46 | 160,000 | 181,138 | ||
4.86%, 08/21/46 | 190,000 | 236,208 | ||
5.50%, 03/16/47 | 40,000 | 54,389 | ||
5.01%, 04/15/49 | 541,000 | 694,627 | ||
Visa, Inc. | ||||
3.15%, 12/14/25 | 700,000 | 740,626 | ||
4.30%, 12/14/45 | 460,000 | 566,274 | ||
Vistra Operations Co. LLC | ||||
3.55%, 07/15/24 144A | 1,150,000 | 1,166,163 | ||
VMware, Inc. | ||||
2.95%, 08/21/22 | 1,100,000 | 1,121,211 | ||
3.90%, 08/21/27 | 535,000 | 560,518 | ||
Volkswagen Group of America Finance LLC | ||||
3.88%, 11/13/20 144A | 2,400,000 | 2,439,518 | ||
(Floating, ICE LIBOR USD 3M + 0.86%), 2.79%, 09/24/21 144A † | 1,600,000 | 1,611,599 | ||
4.75%, 11/13/28 144A Δ | 1,600,000 | 1,805,054 | ||
Voya Financial, Inc. | ||||
5.70%, 07/15/43 | 170,000 | 213,292 | ||
Wachovia Capital Trust III | ||||
(Variable, ICE LIBOR USD 3M + 0.93%), 5.57%, 02/07/20† ρ | 560,000 | 565,051 | ||
Walgreens Boots Alliance, Inc. | ||||
4.80%, 11/18/44 | 20,000 | 20,300 | ||
Walmart, Inc. | ||||
3.70%, 06/26/28 | 620,000 | 683,649 | ||
4.05%, 06/29/48 | 250,000 | 296,756 | ||
Walt Disney Co. (The) | ||||
3.70%, 09/15/24 | 625,000 | 669,376 | ||
6.65%, 11/15/37 | 150,000 | 223,377 | ||
Washington Prime Group LP REIT | ||||
6.45%, 08/15/24Δ | 1,700,000 | 1,571,794 | ||
Waste Management, Inc. | ||||
3.50%, 05/15/24 | 140,000 | 147,267 | ||
3.20%, 06/15/26 | 110,000 | 115,334 | ||
3.45%, 06/15/29 | 220,000 | 235,806 | ||
4.00%, 07/15/39 | 30,000 | 33,677 | ||
4.15%, 07/15/49 | 150,000 | 171,894 |
Table of Contents
Par | Value | |||
WEA Finance LLC REIT | ||||
3.75%, 09/17/24 144A | $770,000 | $811,195 | ||
3.50%, 06/15/29 144A Δ | 50,000 | 51,887 | ||
Wells Fargo & Co. | ||||
4.60%, 04/01/21 | 70,000 | 72,288 | ||
3.07%, 01/24/23 | 70,000 | 71,474 | ||
3.45%, 02/13/23 | 200,000 | 207,253 | ||
(Floating, ICE LIBOR USD 3M + 1.23%), 3.16%, 10/31/23† | 600,000 | 610,963 | ||
4.48%, 01/16/24 | 396,000 | 427,943 | ||
3.75%, 01/24/24 | 960,000 | 1,015,633 | ||
3.55%, 09/29/25 | 1,500,000 | 1,589,607 | ||
3.00%, 04/22/26 | 900,000 | 926,560 | ||
4.10%, 06/03/26 | 440,000 | 474,862 | ||
3.00%, 10/23/26 | 2,210,000 | 2,266,984 | ||
4.30%, 07/22/27 | 3,240,000 | 3,553,563 | ||
4.15%, 01/24/29 | 645,000 | 719,096 | ||
(Variable, ICE LIBOR USD 3M + 1.17%), 2.88%, 10/30/30^ | 410,000 | 413,378 | ||
5.38%, 11/02/43 | 190,000 | 244,362 | ||
4.65%, 11/04/44 | 70,000 | 82,455 | ||
4.90%, 11/17/45 | 370,000 | 453,257 | ||
4.40%, 06/14/46 | 70,000 | 79,967 | ||
4.75%, 12/07/46 | 260,000 | 312,690 | ||
Wells Fargo Bank NA | ||||
(Floating, ICE LIBOR USD 3M + 0.51%), 2.46%, 10/22/21† Δ | 1,600,000 | 1,607,374 | ||
(Floating, ICE LIBOR USD 3M + 0.62%), 2.54%, 05/27/22† | 2,400,000 | 2,410,801 | ||
Wells Fargo Capital X | ||||
5.95%, 12/15/36 | 140,000 | 171,110 | ||
Welltower, Inc. REIT | ||||
4.00%, 06/01/25 | 65,000 | 70,034 | ||
4.25%, 04/01/26 | 898,000 | 978,609 | ||
Western Midstream Operating LP | ||||
3.95%, 06/01/25 | 200,000 | 202,143 | ||
5.45%, 04/01/44 | 75,000 | 66,563 | ||
5.30%, 03/01/48 | 75,000 | 65,686 | ||
5.50%, 08/15/48 | 20,000 | 17,620 | ||
WestRock RKT LLC | ||||
4.00%, 03/01/23 | 30,000 | 31,337 | ||
Weyerhaeuser Co. REIT | ||||
7.38%, 03/15/32 | 50,000 | 69,189 | ||
Williams Cos., Inc. (The) | ||||
5.25%, 03/15/20 | 140,000 | 140,831 | ||
3.60%, 03/15/22 | 155,000 | 159,425 | ||
4.30%, 03/04/24 | 30,000 | 32,037 | ||
4.55%, 06/24/24 | 30,000 | 32,409 | ||
3.90%, 01/15/25 | 300,000 | 316,132 | ||
7.50%, 01/15/31 | 100,000 | 130,601 | ||
7.75%, 06/15/31 | 585,000 | 780,777 | ||
8.75%, 03/15/32 | 181,000 | 260,518 | ||
5.10%, 09/15/45 | 55,000 | 61,422 | ||
Willis North America, Inc. | ||||
2.95%, 09/15/29 | 70,000 | 69,527 | ||
WP Carey, Inc. REIT | ||||
3.85%, 07/15/29 | 900,000 | 951,675 |
Par | Value | |||
WPX Energy, Inc. | ||||
5.25%, 10/15/27 | $30,000 | $31,706 | ||
WRKCo, Inc. | ||||
3.75%, 03/15/25 | 500,000 | 527,760 | ||
4.00%, 03/15/28Δ | 1,100,000 | 1,183,831 | ||
Total Corporate Bonds (Cost $423,294,361) | 445,724,033 | |||
FOREIGN BONDS — 14.4% | ||||
Argentina — 0.1% | ||||
Argentina POM Politica Monetaria | ||||
(Floating, Argentina Blended Historical Policy Rate + 0.00%), 56.61%, 06/21/20(ZA) † | 1,110,000 | 12,292 | ||
Argentine Bonos del Tesoro | ||||
18.20%, 10/03/21(ZA) | 13,930,000 | 91,378 | ||
Argentine Republic Government International Bond | ||||
5.63%, 01/26/22 | 1,410,000 | 733,640 | ||
7.13%, 07/06/36 | 720,000 | 344,480 | ||
(Step to 5.25% on 03/31/29), 3.75%, 12/31/38 STEP | 810,000 | 397,666 | ||
Provincia de Buenos Aires | ||||
6.50%, 02/15/23 144A | 230,000 | 97,175 | ||
7.88%, 06/15/27 144A | 180,000 | 77,850 | ||
1,754,481 | ||||
Australia — 0.2% | ||||
BHP Billiton Finance (USA), Ltd. | ||||
2.88%, 02/24/22 | 20,000 | 20,395 | ||
5.00%, 09/30/43 | 170,000 | 217,999 | ||
(Variable, USD Swap 5Y + 5.09%), 6.75%, 10/19/75 144A ^ | 880,000 | 1,034,607 | ||
CNOOC Finance 2015 Australia Proprietary, Ltd. | ||||
2.63%, 05/05/20 | 1,300,000 | 1,301,511 | ||
Commonwealth Bank of Australia | ||||
3.90%, 07/12/47 144A | 110,000 | 120,407 | ||
Westpac Banking Corporation | ||||
2.30%, 05/26/20 | 50,000 | 50,070 | ||
2.60%, 11/23/20 | 310,000 | 311,749 | ||
(Variable, USD ICE Swap Rate 5Y + 2.24%), 4.32%, 11/23/31^ | 175,000 | 185,422 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.00%), 4.11%, 07/24/34Δ ^ | 550,000 | 577,274 | ||
3,819,434 | ||||
Brazil — 0.3% | ||||
Brazil Notas do Tesouro Nacional Serie F | ||||
10.00%, 01/01/21(B) | 2,892,000 | 755,382 | ||
10.00%, 01/01/23(B) | 7,128,000 | 1,968,922 | ||
10.00%, 01/01/27(B) | 1,013,000 | 297,344 | ||
Brazilian Government International Bond | ||||
4.63%, 01/13/28Δ | 480,000 | 516,360 |
Table of Contents
Par | Value | |||
5.63%, 01/07/41Δ | $340,000 | $381,968 | ||
5.00%, 01/27/45 | 350,000 | 364,782 | ||
Vale Overseas, Ltd. | ||||
6.25%, 08/10/26 | 105,000 | 123,443 | ||
6.88%, 11/21/36 | 284,000 | 370,176 | ||
4,778,377 | ||||
Canada — 0.4% | ||||
Alimentation Couche-Tard, Inc. | ||||
2.70%, 07/26/22 144A | 275,000 | 278,110 | ||
3.55%, 07/26/27 144A | 75,000 | 77,212 | ||
Bank of Montreal | ||||
(Variable, USD Swap 5Y + 1.43%), 3.80%, 12/15/32^ | 100,000 | 104,385 | ||
Bank of Nova Scotia (The) | ||||
1.88%, 04/26/21Δ | 1,600,000 | 1,601,139 | ||
2.70%, 08/03/26Δ | 25,000 | 25,469 | ||
Barrick Gold Corporation | ||||
5.25%, 04/01/42 | 560,000 | 669,540 | ||
Bausch Health Cos., Inc. | ||||
9.00%, 12/15/25 144A | 600,000 | 683,820 | ||
Bombardier, Inc. | ||||
7.50%, 03/15/25 144A | 250,000 | 258,435 | ||
Brookfield Finance, Inc. | ||||
4.85%, 03/29/29 | 30,000 | 34,381 | ||
Canadian Imperial Bank of Commerce | ||||
(Variable, ICE LIBOR USD 3M + 0.79%), 2.61%, 07/22/23^ | 70,000 | 70,807 | ||
Canadian Natural Resources, Ltd. | ||||
6.25%, 03/15/38Δ | 50,000 | 65,154 | ||
Cenovus Energy, Inc. | ||||
4.25%, 04/15/27 | 275,000 | 291,593 | ||
Export Development Canada | ||||
2.63%, 02/21/24 | 2,380,000 | 2,458,755 | ||
Nutrien, Ltd. | ||||
4.88%, 03/30/20 | 110,000 | 110,725 | ||
Royal Bank of Canada | ||||
2.15%, 10/26/20 | 270,000 | 270,552 | ||
3.20%, 04/30/21 | 300,000 | 305,432 | ||
Teck Resources, Ltd. | ||||
6.00%, 08/15/40 | 10,000 | 11,184 | ||
Toronto-Dominion Bank (The) | ||||
3.25%, 06/11/21 | 370,000 | 377,981 | ||
3.50%, 07/19/23 | 30,000 | 31,597 | ||
TransCanada PipeLines, Ltd. | ||||
4.63%, 03/01/34 | 60,000 | 68,541 | ||
7,794,812 | ||||
Chile — 0.0% | ||||
Latam Airlines Pass-Through Trust, Series 2015-1, Class A | ||||
4.20%, 11/15/27 | 702,616 | 725,524 | ||
China — 0.2% | ||||
Avolon Holdings Funding, Ltd. | ||||
3.95%, 07/01/24 144A | 445,000 | 464,291 |
Par | Value | |||
China Government Bond | ||||
3.31%, 11/30/25(Y) | $1,000,000 | $147,214 | ||
Global Aircraft Leasing Co., Ltd. | ||||
Cash Coupon 6.50% or PIK 7.25%, 6.50%, 09/15/24 144A | 350,000 | 366,083 | ||
Huarong Finance 2019 Co., Ltd. | ||||
3.75%, 05/29/24 | 200,000 | 204,498 | ||
Huarong Finance II Co., Ltd. | ||||
5.50%, 01/16/25 | 200,000 | 220,814 | ||
4.88%, 11/22/26 | 200,000 | 217,029 | ||
Park Aerospace Holdings, Ltd. | ||||
5.25%, 08/15/22 144A | 1,227,000 | 1,310,696 | ||
4.50%, 03/15/23 144A | 20,000 | 20,998 | ||
5.50%, 02/15/24 144A | 60,000 | 65,950 | ||
Scenery Journey, Ltd. | ||||
13.00%, 11/06/22 | 200,000 | 204,965 | ||
Sinopec Group Overseas Development 2014, Ltd. | ||||
4.38%, 04/10/24 144A | 390,000 | 421,446 | ||
3,643,984 | ||||
Colombia — 0.1% | ||||
Colombia Government International Bond | ||||
5.63%, 02/26/44 | 480,000 | 598,049 | ||
Ecopetrol SA | ||||
5.88%, 05/28/45 | 1,500,000 | 1,773,277 | ||
2,371,326 | ||||
Denmark — 0.1% | ||||
Danske Bank A/S | ||||
5.00%, 01/12/22 144A | 540,000 | 567,382 | ||
(Variable, ICE LIBOR USD 3M + 1.25%), 3.00%, 09/20/22 144A ^ | 290,000 | 292,644 | ||
5.38%, 01/12/24 144A | 340,000 | 372,399 | ||
(Variable, ICE LIBOR USD 3M + 1.59%), 3.24%, 12/20/25 144A ^ | 220,000 | 222,814 | ||
1,455,239 | ||||
Dominican Republic — 0.0% | ||||
Dominican Republic International Bond | ||||
6.40%, 06/05/49 144A | 540,000 | 593,830 | ||
Ecuador — 0.0% | ||||
Ecuador Government International Bond | ||||
7.88%, 01/23/28 144A | 370,000 | 329,895 | ||
Egypt — 0.0% | ||||
Egypt Government International Bond | ||||
5.58%, 02/21/23 144A | 410,000 | 429,721 | ||
Finland — 0.0% | ||||
Nokia OYJ | ||||
4.38%, 06/12/27 | 9,000 | 9,399 |
Table of Contents
Par | Value | |||
Nordea Bank Abp | ||||
4.88%, 05/13/21 144A | $640,000 | $663,767 | ||
673,166 | ||||
France — 0.5% | ||||
BNP Paribas SA | ||||
3.50%, 03/01/23 144A | 925,000 | 957,832 | ||
(Variable, USD Swap 5Y + 4.15%), 6.63%, 03/25/24 144A ρ ^ | 200,000 | 216,143 | ||
3.38%, 01/09/25 144A | 450,000 | 467,699 | ||
(Variable, ICE LIBOR USD 3M + 2.24%), 4.71%, 01/10/25 144A ^ | 880,000 | 954,013 | ||
4.40%, 08/14/28 144A | 1,340,000 | 1,490,348 | ||
(Variable, ICE LIBOR USD 3M + 2.57%), 5.20%, 01/10/30 144A ^ | 380,000 | 447,230 | ||
(Variable, USD Swap 5Y + 1.48%), 4.38%, 03/01/33 144A Δ ^ | 440,000 | 475,760 | ||
BPCE SA | ||||
4.00%, 09/12/23 144A | 750,000 | 791,645 | ||
4.63%, 09/12/28 144A Δ | 375,000 | 422,068 | ||
Credit Agricole SA | ||||
(Variable, USD Swap 5Y + 4.32%), 6.88%, 09/23/24 144A ρ ^ | 300,000 | 330,590 | ||
4.38%, 03/17/25 | 275,000 | 295,694 | ||
4.13%, 01/10/27 144A Δ | 450,000 | 486,708 | ||
(Variable, USD Swap 5Y + 1.64%), 4.00%, 01/10/33 144A ^ | 250,000 | 264,036 | ||
Danone SA | ||||
2.59%, 11/02/23 144A | 650,000 | 660,710 | ||
2.95%, 11/02/26 144A | 310,000 | 316,958 | ||
Total Capital International SA | ||||
3.75%, 04/10/24 | 30,000 | 32,153 | ||
3.46%, 07/12/49Δ | 300,000 | 316,528 | ||
XLIT, Ltd. | ||||
4.45%, 03/31/25 | 349,000 | 380,506 | ||
9,306,621 | ||||
Germany — 0.7% | ||||
Deutsche Bank AG | ||||
3.15%, 01/22/21 | 1,600,000 | 1,607,649 | ||
4.25%, 10/14/21 | 1,500,000 | 1,543,193 | ||
5.00%, 02/14/22 | 1,400,000 | 1,462,833 | ||
3.95%, 02/27/23 | 1,900,000 | 1,949,776 | ||
(Variable, U.S. SOFR + 2.58%), 3.96%, 11/26/25^ | 3,500,000 | 3,578,660 | ||
Volkswagen Bank GmbH | ||||
1.25%, 08/01/22(E) | 1,500,000 | 1,728,410 | ||
11,870,521 | ||||
Hong Kong — 0.1% | ||||
AIA Group, Ltd. | ||||
3.90%, 04/06/28 144A | 200,000 | 214,504 | ||
CNAC HK Finbridge Co., Ltd. | ||||
3.13%, 06/19/22 | 440,000 | 443,462 |
Par | Value | |||
4.63%, 03/14/23 | $200,000 | $210,549 | ||
868,515 | ||||
India — 0.0% | ||||
Reliance Industries, Ltd. | ||||
3.67%, 11/30/27 144A | 250,000 | 259,254 | ||
Indonesia — 0.2% | ||||
Indonesia Government International Bond | ||||
4.88%, 05/05/21 | 570,000 | 593,156 | ||
3.85%, 07/18/27 144A | 500,000 | 533,390 | ||
3.50%, 01/11/28 | 450,000 | 470,404 | ||
5.13%, 01/15/45 144A | 200,000 | 238,774 | ||
5.25%, 01/08/47 144A | 200,000 | 246,387 | ||
4.35%, 01/11/48 | 500,000 | 551,491 | ||
3.70%, 10/30/49Δ | 580,000 | 596,698 | ||
3,230,300 | ||||
Ireland — 0.9% | ||||
AerCap Ireland Capital DAC | ||||
5.00%, 10/01/21 | 150,000 | 157,323 | ||
4.63%, 07/01/22 | 550,000 | 581,384 | ||
3.30%, 01/23/23 | 1,625,000 | 1,666,779 | ||
4.88%, 01/16/24 | 350,000 | 379,669 | ||
2.88%, 08/14/24Δ | 3,100,000 | 3,131,203 | ||
3.50%, 01/15/25 | 600,000 | 619,017 | ||
4.45%, 10/01/25 | 800,000 | 860,892 | ||
AIB Group PLC | ||||
4.75%, 10/12/23 144A | 950,000 | 1,021,959 | ||
Ardagh Packaging Finance PLC | ||||
6.00%, 02/15/25 144A | 200,000 | 210,250 | ||
Bank of Ireland | ||||
(Variable, EUR Swap Rate 5Y + 6.96%), 7.38%, 06/18/20(E) ρ ^ | 1,000,000 | 1,158,840 | ||
GE Capital International Funding Co. Unlimited Co. | ||||
2.34%, 11/15/20 | 1,723,000 | 1,724,752 | ||
3.37%, 11/15/25Δ | 2,772,000 | 2,890,699 | ||
4.42%, 11/15/35 | 250,000 | 267,881 | ||
Shire Acquisitions Investments Ireland DAC | ||||
2.40%, 09/23/21 | 1,000,000 | 1,005,946 | ||
3.20%, 09/23/26 | 35,000 | 36,099 | ||
SMBC Aviation Capital Finance DAC | ||||
4.13%, 07/15/23 144A | 900,000 | 947,612 | ||
16,660,305 | ||||
Isle of Man — 0.0% | ||||
Sasol Financing International, Ltd. | ||||
4.50%, 11/14/22 | 370,000 | 382,266 | ||
Israel — 0.1% | ||||
Israel Government AID Bond | ||||
5.50%, 09/18/23 | 1,200,000 | 1,357,281 | ||
5.50%, 12/04/23 | 200,000 | 227,974 | ||
5.50%, 04/26/24 | 500,000 | 576,461 | ||
2,161,716 |
Table of Contents
Par | Value | |||
Italy — 0.5% | ||||
Intesa Sanpaolo SpA | ||||
3.13%, 07/14/22 144A | $580,000 | $587,968 | ||
3.38%, 01/12/23 144A | 220,000 | 223,847 | ||
5.02%, 06/26/24 144A | 1,310,000 | 1,377,453 | ||
3.25%, 09/23/24 144A | 1,400,000 | 1,409,025 | ||
5.71%, 01/15/26 144A | 200,000 | 216,672 | ||
UniCredit SpA | ||||
6.57%, 01/14/22 144A | 530,000 | 569,403 | ||
7.83%, 12/04/23 144A | 3,100,000 | 3,617,215 | ||
8,001,583 | ||||
Japan — 0.7% | ||||
Development Bank of Japan, Inc. | ||||
1.63%, 09/01/21 144A | 1,300,000 | 1,294,400 | ||
Japan Finance Organization for Municipalities | ||||
2.13%, 10/25/23 144A | 2,200,000 | 2,207,303 | ||
Mitsubishi UFJ Financial Group, Inc. | ||||
2.95%, 03/01/21 | 250,000 | 252,800 | ||
3.00%, 02/22/22 | 180,000 | 183,518 | ||
3.74%, 03/07/29Δ | 65,000 | 70,208 | ||
3.75%, 07/18/39 | 700,000 | 769,052 | ||
Mitsubishi UFJ Lease & Finance Co., Ltd. | ||||
3.41%, 02/28/22 144A | 1,500,000 | 1,533,427 | ||
Panasonic Corporation | ||||
2.54%, 07/19/22 144A | 1,302,000 | 1,314,096 | ||
Sumitomo Mitsui Financial Group, Inc. | ||||
2.06%, 07/14/21 | 260,000 | 260,444 | ||
4.44%, 04/02/24 144A | 350,000 | 373,162 | ||
2.45%, 09/27/24 | 1,600,000 | 1,605,159 | ||
2.63%, 07/14/26 | 35,000 | 35,061 | ||
Takeda Pharmaceutical Co., Ltd. | ||||
4.40%, 11/26/23 | 1,700,000 | 1,826,727 | ||
11,725,357 | ||||
Kazakhstan — 0.0% | ||||
KazMunayGas National Co. JSC | ||||
5.38%, 04/24/30 144A | 200,000 | 232,370 | ||
Kuwait — 0.1% | ||||
Kuwait International Government Bond | ||||
3.50%, 03/20/27 144A | 1,490,000 | 1,603,940 | ||
Luxembourg — 0.1% | ||||
ArcelorMittal SA | ||||
6.25%, 02/25/22 | 50,000 | 53,911 | ||
3.60%, 07/16/24Δ | 300,000 | 307,957 | ||
6.13%, 06/01/25 | 410,000 | 471,415 | ||
4.55%, 03/11/26Δ | 200,000 | 212,554 | ||
7.00%, 10/15/39 | 70,000 | 85,463 | ||
1,131,300 | ||||
Mexico — 0.8% | ||||
America Movil SAB de CV | ||||
5.00%, 03/30/20 | 100,000 | 100,626 |
Par | Value | |||
Banco Actinver SA | ||||
4.80%, 12/18/32 144A ††† | $1,530,000 | $1,535,064 | ||
Mexican Bonos | ||||
8.00%, 06/11/20(M) | 5,120,000 | 272,493 | ||
10.00%, 12/05/24(M) | 25,130,000 | 1,509,847 | ||
8.50%, 11/18/38(M) | 31,010,000 | 1,871,375 | ||
7.75%, 11/13/42(M) | 40,935,200 | 2,298,152 | ||
8.00%, 11/07/47(M) | 72,150,000 | 4,183,741 | ||
Mexico City Airport Trust | ||||
3.88%, 04/30/28 144A | 360,000 | 368,679 | ||
5.50%, 07/31/47Δ | 200,000 | 206,939 | ||
5.50%, 07/31/47 144A | 270,000 | 279,368 | ||
Mexico Government International Bond | ||||
4.50%, 04/22/29 | 200,000 | 219,600 | ||
4.50%, 01/31/50Δ | 270,000 | 292,410 | ||
Petroleos Mexicanos | ||||
5.13%, 03/15/23(E) | 110,000 | 138,081 | ||
4.50%, 01/23/26 | 270,000 | 269,635 | ||
6.88%, 08/04/26 | 200,000 | 220,303 | ||
6.50%, 03/13/27 | 230,000 | 244,851 | ||
6.63%, 06/15/35 | 29,000 | 29,810 | ||
5.50%, 06/27/44 | 170,000 | 153,074 | ||
6.38%, 01/23/45 | 370,000 | 357,751 | ||
5.63%, 01/23/46 | 30,000 | 26,906 | ||
6.75%, 09/21/47 | 20,000 | 20,106 | ||
6.35%, 02/12/48 | 70,000 | 67,790 | ||
7.69%, 01/23/50 144A | 269,000 | 294,494 | ||
14,961,095 | ||||
Morocco & Antilles — 0.0% | ||||
OCP SA | ||||
4.50%, 10/22/25 144A | 450,000 | 482,539 | ||
Netherlands — 1.4% | ||||
ABN AMRO Bank NV | ||||
4.75%, 07/28/25 144A | 200,000 | 218,342 | ||
Cooperatieve Rabobank UA | ||||
4.75%, 01/15/20 144A Δ | 540,000 | 540,473 | ||
(Variable, EUR Swap Rate 5Y + 5.25%), 5.50%, 06/29/20(E) ρ ^ | 500,000 | 574,871 | ||
4.63%, 12/01/23 | 400,000 | 433,834 | ||
4.38%, 08/04/25 | 920,000 | 999,159 | ||
5.25%, 08/04/45 | 370,000 | 474,147 | ||
Deutsche Telekom International Finance BV | ||||
8.75%, 06/15/30 | 25,000 | 36,854 | ||
Enel Finance International NV | ||||
4.25%, 09/14/23 144A | 1,500,000 | 1,589,305 | ||
Equate Petrochemical BV | ||||
4.25%, 11/03/26 144A | 520,000 | 557,008 | ||
ING Bank NV | ||||
5.80%, 09/25/23 144A | 340,000 | 377,596 | ||
ING Groep NV | ||||
4.10%, 10/02/23 | 1,100,000 | 1,170,345 | ||
4.63%, 01/06/26 144A | 1,600,000 | 1,781,175 |
Table of Contents
Par | Value | |||
Mylan NV | ||||
2.25%, 11/22/24(E) | $1,500,000 | $1,794,574 | ||
3.95%, 06/15/26 | 1,765,000 | 1,841,570 | ||
NXP BV | ||||
3.88%, 09/01/22 144A | 950,000 | 986,277 | ||
3.88%, 06/18/26 144A | 65,000 | 69,050 | ||
Petrobras Global Finance BV | ||||
6.13%, 01/17/22 | 51,000 | 54,580 | ||
6.25%, 03/17/24 | 380,000 | 426,791 | ||
5.30%, 01/27/25 | 1,036,000 | 1,131,928 | ||
7.38%, 01/17/27 | 120,000 | 146,622 | ||
6.00%, 01/27/28Δ | 550,000 | 628,590 | ||
5.75%, 02/01/29 | 210,000 | 237,248 | ||
6.90%, 03/19/49 | 40,000 | 46,991 | ||
6.85%, 06/05/15π | 550,000 | 630,407 | ||
Prosus NV | ||||
4.85%, 07/06/27 144A | 420,000 | 458,980 | ||
Shell International Finance BV | ||||
4.38%, 03/25/20 | 320,000 | 321,711 | ||
2.88%, 05/10/26 | 1,210,000 | 1,256,600 | ||
4.55%, 08/12/43 | 120,000 | 146,546 | ||
4.38%, 05/11/45 | 230,000 | 274,979 | ||
4.00%, 05/10/46 | 190,000 | 216,856 | ||
Stichting AK Rabobank Certificaten | ||||
6.50%, 03/29/18(E) ρ Δ | 700,000 | 1,001,141 | ||
Syngenta Finance NV | ||||
3.70%, 04/24/20 144A | 565,000 | 566,814 | ||
3.93%, 04/23/21 144A | 2,350,000 | 2,390,646 | ||
4.44%, 04/24/23 144A | 1,075,000 | 1,123,349 | ||
5.18%, 04/24/28 144A | 200,000 | 215,746 | ||
24,721,105 | ||||
Nigeria — 0.0% | ||||
Nigeria Government International Bond | ||||
8.75%, 01/21/31 | 210,000 | 232,539 | ||
Norway — 0.1% | ||||
Equinor ASA | ||||
2.45%, 01/17/23 | 30,000 | 30,491 | ||
Yara International ASA | ||||
4.75%, 06/01/28 144A | 1,100,000 | 1,196,660 | ||
1,227,151 | ||||
Peru — 0.0% | ||||
Peruvian Government International Bond | ||||
5.63%, 11/18/50Δ | 330,000 | 483,349 | ||
Poland — 0.1% | ||||
Republic of Poland Government International Bond | ||||
4.00%, 01/22/24 | 780,000 | 840,744 | ||
Qatar — 0.3% | ||||
Qatar Government International Bond | ||||
3.38%, 03/14/24 144A | 560,000 | 586,894 | ||
3.38%, 03/14/24Δ | 1,700,000 | 1,781,642 | ||
4.00%, 03/14/29 144A | 460,000 | 514,281 | ||
4.82%, 03/14/49 144A | 1,220,000 | 1,513,347 | ||
4,396,164 |
Par | Value | |||
Russia — 0.6% | ||||
Gazprom PJSC Via Gaz Capital SA | ||||
5.15%, 02/11/26 144A | $340,000 | $379,049 | ||
7.29%, 08/16/37 | 100,000 | 140,494 | ||
Russian Federal Bond - OFZ | ||||
7.00%, 01/25/23(Q) | 34,070,000 | 570,892 | ||
7.00%, 08/16/23(Q) | 52,440,000 | 879,363 | ||
7.75%, 09/16/26(Q) | 9,710,000 | 170,803 | ||
8.15%, 02/03/27(Q) | 63,930,000 | 1,151,521 | ||
7.05%, 01/19/28(Q) | 150,011,000 | 2,552,903 | ||
6.90%, 05/23/29(Q) | 194,060,000 | 3,297,093 | ||
7.25%, 05/10/34(Q) | 48,570,000 | 843,981 | ||
7.70%, 03/16/39(Q) | 78,400,000 | 1,430,542 | ||
11,416,641 | ||||
Saudi Arabia — 0.1% | ||||
Saudi Arabian Oil Co. | ||||
2.75%, 04/16/22 144A | 1,800,000 | 1,820,906 | ||
South Korea — 0.1% | ||||
Export-Import Bank of Korea | ||||
5.00%, 04/11/22 | 900,000 | 959,560 | ||
Spain — 0.6% | ||||
Banco Santander SA | ||||
(Floating, ICE LIBOR USD 3M + 1.12%), 3.12%, 04/12/23† | 200,000 | 201,409 | ||
3.85%, 04/12/23 | 400,000 | 417,540 | ||
4.38%, 04/12/28 | 600,000 | 657,458 | ||
3.31%, 06/27/29 | 400,000 | 412,758 | ||
Spain Government Bond | ||||
0.60%, 10/31/29(E) 144A | 4,000,000 | 4,548,165 | ||
1.85%, 07/30/35(E) 144A | 3,100,000 | 3,981,057 | ||
Telefonica Emisiones SA | ||||
4.57%, 04/27/23 | 500,000 | 538,388 | ||
5.21%, 03/08/47 | 400,000 | 475,502 | ||
11,232,277 | ||||
Supranational — 1.1% | ||||
African Development Bank | ||||
(Floating, ICE LIBOR USD 3M + 0.19%), 2.08%, 06/15/20† | 2,700,000 | 2,702,226 | ||
2.63%, 03/22/21 | 5,530,000 | 5,594,045 | ||
2.31%, 07/14/21 | 6,000,000 | 6,034,002 | ||
International Bank for Reconstruction & Development | ||||
1.63%, 09/04/20 | 5,210,000 | 5,206,197 | ||
19,536,470 | ||||
Sweden — 0.2% | ||||
Skandinaviska Enskilda Banken AB | ||||
(Floating, ICE LIBOR USD 3M + 0.43%), 2.33%, 05/17/21 144A † | 2,900,000 | 2,907,598 | ||
Svenska Handelsbanken AB | ||||
3.35%, 05/24/21 | 250,000 | 254,996 | ||
3,162,594 | ||||
Switzerland — 0.8% | ||||
Credit Suisse AG | ||||
6.50%, 08/08/23 144A | 225,000 | 251,420 |
Table of Contents
Par | Value | |||
Credit Suisse Group AG | ||||
(Variable, U.S. SOFR + 1.56%), 2.59%, 09/11/25 144A ^ | $250,000 | $250,881 | ||
(Variable, USD Swap 5Y + 4.33%), 7.25%, 09/12/25 144A ρ ^ | 400,000 | 446,842 | ||
4.28%, 01/09/28 144A | 1,800,000 | 1,960,082 | ||
(Variable, ICE LIBOR USD 3M + 1.41%), 3.87%, 01/12/29 144A ^ | 1,625,000 | 1,732,936 | ||
Credit Suisse Group Funding Guernsey, Ltd. | ||||
3.45%, 04/16/21 | 800,000 | 813,898 | ||
3.80%, 09/15/22 | 1,300,000 | 1,353,926 | ||
4.55%, 04/17/26 | 2,440,000 | 2,710,987 | ||
UBS Group AG | ||||
3.00%, 04/15/21 144A | 1,500,000 | 1,519,901 | ||
2.65%, 02/01/22 144A | 300,000 | 303,180 | ||
(Floating, ICE LIBOR USD 3M + 1.53%), 3.44%, 02/01/22 144A † | 200,000 | 204,760 | ||
3.49%, 05/23/23 144A | 480,000 | 494,202 | ||
(Variable, USD Swap 5Y + 4.34%), 7.00%, 01/31/24 144A ρ ^ | 840,000 | 918,750 | ||
4.13%, 09/24/25 144A | 440,000 | 479,097 | ||
4.25%, 03/23/28 144A | 1,490,000 | 1,629,692 | ||
15,070,554 | ||||
Turkey — 0.1% | ||||
Turkish Airlines Pass-Through Trust, Series 2015-1, Class A | ||||
4.20%, 03/15/27 144A | 1,149,732 | 1,084,253 | ||
United Arab Emirates — 0.1% | ||||
Abu Dhabi Government International Bond | ||||
2.50%, 10/11/22 144A | 610,000 | 618,317 | ||
3.13%, 10/11/27 144A | 500,000 | 524,714 | ||
DP World PLC | ||||
5.63%, 09/25/48 144A | 620,000 | 718,356 | ||
1,861,387 | ||||
United Kingdom — 2.7% | ||||
Anglo American Capital PLC | ||||
3.63%, 09/11/24 144A Δ | 700,000 | 726,683 | ||
4.00%, 09/11/27 144A | 220,000 | 230,747 | ||
Barclays Bank PLC | ||||
(Floating, ICE LIBOR USD 3M + 0.45%), 2.37%, 10/15/20† | 2,700,000 | 2,700,309 | ||
7.63%, 11/21/22 | 1,700,000 | 1,911,591 | ||
Barclays PLC | ||||
(Floating, ICE LIBOR USD 3M + 2.11%), 4.01%, 08/10/21† | 1,600,000 | 1,638,304 | ||
(Variable, ICE LIBOR USD 3M + 1.40%), 4.61%, 02/15/23^ | 950,000 | 992,688 | ||
(Variable, ICE LIBOR USD 3M + 1.36%), 4.34%, 05/16/24^ | 1,400,000 | 1,476,901 | ||
(Variable, ICE LIBOR USD 3M + 1.90%), 4.97%, 05/16/29^ | 1,060,000 | 1,196,180 |
Par | Value | |||
(Variable, ICE LIBOR USD 3M + 3.05%), 5.09%, 06/20/30^ | $750,000 | $837,235 | ||
BP Capital Markets PLC | ||||
3.56%, 11/01/21 | 30,000 | 30,946 | ||
3.81%, 02/10/24 | 330,000 | 352,771 | ||
3.54%, 11/04/24 | 60,000 | 63,945 | ||
3.51%, 03/17/25 | 330,000 | 351,594 | ||
British Telecommunications PLC | ||||
9.63%, 12/15/30 | 25,000 | 38,472 | ||
GlaxoSmithKline Capital PLC | ||||
2.85%, 05/08/22 | 20,000 | 20,447 | ||
5.25%, 12/19/33(U) | 100,000 | 186,587 | ||
Hammerson PLC REIT | ||||
3.50%, 10/27/25(U) | 100,000 | 136,387 | ||
HSBC Bank PLC | ||||
4.75%, 01/19/21 144A | 200,000 | 205,543 | ||
HSBC Holdings PLC | ||||
3.40%, 03/08/21 | 610,000 | 619,835 | ||
(Floating, ICE LIBOR USD 3M + 0.60%), 2.50%, 05/18/21† | 400,000 | 400,435 | ||
(Floating, ICE LIBOR USD 3M + 1.50%), 3.40%, 01/05/22† | 400,000 | 408,041 | ||
(Variable, ICE LIBOR USD 3M + 1.06%), 3.26%, 03/13/23^ | 525,000 | 537,229 | ||
(Variable, USD ICE Swap Rate 5Y + 3.45%), 6.25%, 03/23/23ρ Δ ^ | 280,000 | 297,350 | ||
4.25%, 03/14/24 | 240,000 | 254,832 | ||
(Floating, ICE LIBOR USD 3M + 1.00%), 2.90%, 05/18/24† | 300,000 | 302,592 | ||
(Variable, ICE LIBOR USD 3M + 1.21%), 3.80%, 03/11/25^ | 625,000 | 656,472 | ||
4.25%, 08/18/25Δ | 220,000 | 235,482 | ||
(Variable, ICE LIBOR USD 3M + 1.55%), 4.04%, 03/13/28^ | 700,000 | 749,541 | ||
(Variable, USD ICE Swap Rate 5Y + 3.61%), 6.50%, 03/23/28ρ ^ | 540,000 | 594,486 | ||
(Variable, ICE LIBOR USD 3M + 1.53%), 4.58%, 06/19/29^ | 800,000 | 895,260 | ||
(Variable, ICE LIBOR USD 3M + 1.61%), 3.97%, 05/22/30^ | 610,000 | 658,321 | ||
6.50%, 09/15/37 | 500,000 | 692,156 | ||
Lloyds Bank Corporate Markets PLC | ||||
(Floating, ICE LIBOR USD 3M + 0.50%), 2.51%, 10/26/20† | 1,600,000 | 1,603,433 | ||
Lloyds Bank PLC | ||||
(Step to 0.00% on 04/02/22), 7.50%, 04/02/32 STEP | 2,000,000 | 1,672,281 | ||
Lloyds Banking Group PLC | ||||
(Variable, ICE LIBOR USD 3M + 1.25%), 2.86%, 03/17/23^ | 1,900,000 | 1,926,873 | ||
3.90%, 03/12/24 | 210,000 | 221,902 | ||
4.50%, 11/04/24 | 240,000 | 256,858 | ||
4.38%, 03/22/28 | 800,000 | 883,129 | ||
4.55%, 08/16/28 | 230,000 | 257,898 | ||
(Variable, ICE LIBOR USD 3M + 1.21%), 3.57%, 11/07/28^ | 200,000 | 209,149 |
Table of Contents
Par | Value | |||
Nationwide Building Society | ||||
(Variable, ICE LIBOR USD 3M + 1.06%), 3.77%, 03/08/24 144A ^ | $2,000,000 | $2,071,695 | ||
(Variable, ICE LIBOR USD 3M + 1.39%), 4.36%, 08/01/24 144A ^ | 1,300,000 | 1,379,912 | ||
(Variable, ICE LIBOR USD 3M + 1.86%), 3.96%, 07/18/30 144A ^ | 1,875,000 | 2,016,818 | ||
Reckitt Benckiser Treasury Services PLC | ||||
2.75%, 06/26/24 144A | 600,000 | 612,368 | ||
Royal Bank of Scotland Group PLC | ||||
6.13%, 12/15/22Δ | 180,000 | 197,143 | ||
2.50%, 03/22/23(E) | 1,400,000 | 1,679,016 | ||
(Floating, ICE LIBOR USD 3M + 1.47%), 3.38%, 05/15/23† | 1,300,000 | 1,314,902 | ||
(Variable, ICE LIBOR USD 3M + 1.48%), 3.50%, 05/15/23^ | 429,000 | 439,688 | ||
3.88%, 09/12/23 | 579,000 | 607,187 | ||
6.00%, 12/19/23 | 110,000 | 122,414 | ||
5.13%, 05/28/24 | 280,000 | 303,573 | ||
(Variable, ICE LIBOR USD 3M + 1.55%), 4.52%, 06/25/24^ | 2,205,000 | 2,343,702 | ||
(Variable, ICE LIBOR USD 3M + 1.76%), 4.27%, 03/22/25^ | 1,215,000 | 1,291,580 | ||
(Variable, ICE LIBOR USD 3M + 1.75%), 4.89%, 05/18/29^ | 400,000 | 452,835 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.10%), 3.75%, 11/01/29^ | 200,000 | 204,400 | ||
Santander UK PLC | ||||
2.38%, 03/16/20 | 160,000 | 160,095 | ||
2.88%, 06/18/24 | 925,000 | 946,688 | ||
Severn Trent Utilities Finance PLC | ||||
6.25%, 06/07/29(U) | 100,000 | 181,749 | ||
Society of Lloyd's | ||||
4.75%, 10/30/24(U) | 100,000 | 147,732 | ||
Standard Chartered PLC | ||||
(Variable, ICE LIBOR USD 3M + 1.15%), 4.25%, 01/20/23 144A ^ | 1,000,000 | 1,036,382 | ||
Vodafone Group PLC | ||||
3.75%, 01/16/24 | 2,525,000 | 2,672,615 | ||
4.38%, 05/30/28 | 480,000 | 532,639 | ||
6.15%, 02/27/37 | 45,000 | 58,199 | ||
5.00%, 05/30/38 | 30,000 | 34,799 | ||
48,239,016 | ||||
Total Foreign Bonds (Cost $249,207,806) | 257,532,181 | |||
LOAN AGREEMENTS — 0.7% | ||||
1011778 B.C. Unlimited Liability Company Term B-4 Loan | ||||
(Floating, ICE LIBOR USD 1M+ 1.75%), 3.55%, 11/19/26† | 120,000 | 120,284 | ||
Air Medical Group Holdings, Inc. 2018 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.25%, 1.00% Floor), 5.04%, 04/28/22† | 458,278 | 450,330 |
Par | Value | |||
Allied Universal Holdco LLC Delayed Draw Term Loan | ||||
0.00%, 07/10/26† Σ | $18,015 | $18,147 | ||
(Floating, ICE LIBOR USD 1M+ 4.25%), 6.05%, 07/10/26† | 18,016 | 18,147 | ||
Allied Universal Holdco LLC Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M+ 4.25%), 6.05%, 07/10/26† | 181,956 | 183,283 | ||
APi Group DE, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M+ 2.50%), 4.30%, 10/01/26† | 230,000 | 232,203 | ||
Asurion LLC New B-7 Term Loan | ||||
0.00%, 11/03/24† Σ | 59,848 | 60,265 | ||
(Floating, ICE LIBOR USD 1M+ 3.00%), 4.80%, 11/03/24† | 208,064 | 209,513 | ||
athenahealth, Inc. Term B Loan | ||||
(Floating, ICE LIBOR USD 3M+ 4.50%), 6.40%, 02/11/26† | 267,975 | 269,761 | ||
Atlantic Aviation FBO, Inc. Term Loan | ||||
(Floating, ICE LIBOR USD 1M+ 3.75%), 5.55%, 12/06/25† | 89,100 | 90,270 | ||
Avolon TLB Borrower 1 (US) LLC Term B-3 Loan | ||||
(Floating, ICE LIBOR USD 1M+ 1.75%, 0.75% Floor), 3.51%, 01/15/25† | 694,801 | 700,012 | ||
Brookfield WEC Holdings, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M+ 3.50%, 0.75% Floor), 5.30%, 08/01/25† | 89,773 | 90,530 | ||
Charter Communications Operating LLC Term B-1 Loan | ||||
(Floating, ICE LIBOR USD 1M+ 1.75%), 3.55%, 04/30/25† | 156,894 | 158,169 | ||
DCert Buyer, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M+ 4.00%), 5.80%, 10/16/26† | 440,000 | 442,200 | ||
Delos Finance S.a r.l. New Loan | ||||
(Floating, ICE LIBOR USD 3M+ 1.75%), 3.69%, 10/06/23† | 847,000 | 851,324 | ||
Diamond Sports Group LLC Term Loan | ||||
(Floating, ICE LIBOR USD 1M+ 3.25%), 5.03%, 08/24/26† | 109,725 | 109,817 | ||
Flying Fortress Holdings LLC New Loan | ||||
(Floating, ICE LIBOR USD 3M+ 1.75%), 3.69%, 10/30/22† | 74,667 | 75,040 | ||
Focus Financial Partners LLC Tranche B-2 Term Loan | ||||
(Floating, ICE LIBOR USD 1M+ 2.50%), 4.30%, 07/03/24† | 269,316 | 271,529 | ||
Four Seasons Holdings, Inc. Term Loan 2013 | ||||
0.00%, 11/30/23† Σ | 49,871 | 50,333 | ||
Genesee & Wyoming, Inc. Term Loan | ||||
0.00%, 12/30/26† Σ | 60,000 | 60,653 | ||
HCA, Inc. Tranche B-12 Term Loan | ||||
0.00%, 03/13/25† Σ | 995,124 | 1,002,030 |
Table of Contents
Par | Value | |||
(Floating, ICE LIBOR USD 1M+ 1.75%), 3.55%, 03/13/25† | $63,185 | $63,624 | ||
Hilton Worldwide Finance LLC Refinanced Series B-2 Term Loan | ||||
(Floating, ICE LIBOR USD 1M+ 1.75%), 3.54%, 06/22/26† | 658,355 | 663,609 | ||
iHeartCommunications, Inc. Initial Term Loan | ||||
0.00%, 05/01/26† Σ | 24,560 | 24,800 | ||
(Floating, ICE LIBOR USD 1M+ 4.00%), 5.69%, 05/01/26† | 174,279 | 175,985 | ||
Intelsat Jackson Holdings S.A. Tranche B-3 Term Loan | ||||
(Floating, ICE LIBOR USD 3M+ 3.75%, 1.00% Floor), 5.68%, 11/27/23† | 130,000 | 130,452 | ||
Jane Street Group LLC Dollar Term Loan | ||||
(Floating, ICE LIBOR USD 1M+ 3.00%), 4.80%, 08/25/22† | 296,839 | 297,395 | ||
Level 3 Financing, Inc. Tranche B 2027 Term Loan | ||||
(Floating, ICE LIBOR USD 1M+ 1.75%), 3.55%, 03/01/27† | 107,945 | 108,451 | ||
LPL Holdings, Inc. Tranche B-1 Term Loan | ||||
(Floating, ICE LIBOR USD 1M+ 1.75%), 3.54%, 11/12/26† | 43,342 | 43,613 | ||
McAfee LLC Term B USD Loan | ||||
0.00%, 09/30/24† Σ | 89,773 | 90,278 | ||
(Floating, ICE LIBOR USD 1M+ 3.75%), 5.55%, 09/30/24† | 547,109 | 550,186 | ||
Michaels Stores, Inc. 2018 New Replacement Term B Loan | ||||
(Floating, ICE LIBOR USD 1M+ 2.50%, 1.00% Floor), 4.29%, 01/30/23† | 182,222 | 176,710 | ||
(Floating, ICE LIBOR USD 1M+ 2.50%, 1.00% Floor), 4.30%, 01/30/23† | 505,438 | 490,149 | ||
MPH Acquisition Holdings LLC Initial Term Loan | ||||
(Floating, ICE LIBOR USD 3M+ 2.75%, 1.00% Floor), 4.69%, 06/07/23† | 606,397 | 599,357 | ||
Nexstar Broadcasting, Inc. Term B-4 Loan | ||||
(Floating, ICE LIBOR USD 1M+ 2.75%), 4.45%, 09/18/26† | 500,000 | 503,495 | ||
Option Care Health, Inc. Term B Loan | ||||
(Floating, ICE LIBOR USD 1M+ 4.50%), 6.30%, 08/06/26† | 270,000 | 269,268 | ||
Panther BF Aggregator 2 L P Term Loan B | ||||
(Floating, ICE LIBOR USD 1M+ 3.50%), 5.30%, 04/30/26† | 369,075 | 371,037 | ||
Regionalcare Hospital Partners Holdings, Inc. Term B Loan | ||||
(Floating, ICE LIBOR USD 1M+ 4.50%), 6.30%, 11/16/25† | 179,246 | 180,926 | ||
(Floating, ICE PRIME USD 3M+ 3.50%), 8.25%, 11/16/25† | 453 | 457 |
Par | Value | |||
RPI Finance Trust Initial Term Loan B-6 | ||||
(Floating, ICE LIBOR USD 1M+ 2.00%), 3.80%, 03/27/23† | $951,663 | $960,737 | ||
Univision Communications, Inc. 2017 Replacement Repriced First-Lien Term Loan | ||||
(Floating, ICE LIBOR USD 1M+ 2.75%, 1.00 Floor), 4.55%, 03/15/24† | 121,593 | 120,336 | ||
VFH Parent LLC Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M+ 3.50%), 5.20%, 03/01/26† | 175,443 | 176,342 | ||
Total Loan Agreements (Cost $11,456,411) | 11,461,047 | |||
MORTGAGE-BACKED SECURITIES — 45.0% | ||||
280 Park Avenue Mortgage Trust, Series 2017-280P, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.88%, 0.88% Floor), 2.62%, 09/15/34 144A † | 1,200,000 | 1,201,517 | ||
Aggregator of Loans Backed by Assets PLC, Series 2015-1, Class A | ||||
(Floating, ICE LIBOR GBP 1M + 1.25%), 1.96%, 04/24/49(U) † | 532,854 | 707,291 | ||
Alba PLC, Series 2007-1, Class A3 | ||||
(Floating, ICE LIBOR GBP 3M + 0.17%), 0.96%, 03/17/39(U) † | 675,752 | 856,124 | ||
Alternative Loan Trust, Series 2006-OA11, Class A1B | ||||
(Floating, ICE LIBOR USD 1M + 0.19%, 0.19% Floor), 1.98%, 09/25/46† | 344,141 | 326,828 | ||
American Home Mortgage Investment Trust, Series 2005-2, Class 4A1 | ||||
(Floating, ICE LIBOR USD 6M + 1.50%, 1.50% Floor, 11.00% Cap), 3.41%, 09/25/45† | 326,492 | 330,839 | ||
Banc of America Funding Trust, Series 2005-D, Class A1 | ||||
4.67%, 05/25/35† γ | 399,250 | 408,506 | ||
Banc of America Mortgage Trust, Series 2004-F, Class 1A1 | ||||
4.70%, 07/25/34† γ | 45,029 | 47,011 | ||
Bancorp Commercial Mortgage, Series 2018-CRE4, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.90%, 0.95% Floor), 2.64%, 09/15/35 144A † | 661,562 | 662,105 | ||
BANK, Series 2017-BNK9, Class XA | ||||
0.81%, 11/15/54† IO γ | 9,915,406 | 512,400 | ||
BBCCRE Trust, Series 2015-GTP, Class A | ||||
3.97%, 08/10/33 144A | 1,600,000 | 1,707,335 | ||
BBCCRE Trust, Series 2015-GTP, Class D | ||||
4.56%, 08/10/33 144A † γ | 390,000 | 391,384 | ||
BBCMS Trust, Series 2015-STP, Class A | ||||
3.32%, 09/10/28 144A | 878,023 | 882,328 |
Table of Contents
Par | Value | |||
BCAP LLC, Series 2014-RR2, Class 7A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.20%, 0.20% Floor), 1.91%, 01/26/38 144A † | $741,367 | $720,939 | ||
Bear Stearns ALT-A Trust, Series 2005-4, Class 23A2 | ||||
4.41%, 05/25/35† γ | 139,428 | 142,025 | ||
Bear Stearns ARM Trust, Series 2002-11, Class 1A1 | ||||
4.54%, 02/25/33† γ | 6,774 | 6,949 | ||
Bear Stearns ARM Trust, Series 2004-2, Class 24A | ||||
2.41%, 05/25/34 | 18,403 | 17,780 | ||
Bear Stearns Structured Products, Inc. Trust, Series 2007-R6, Class 1A1 | ||||
4.00%, 01/26/36† γ | 391,968 | 356,048 | ||
Brunel Residential Mortgage Securitisation No. 1 PLC, Series 2007-1X, Class A4B | ||||
(Floating, ICE LIBOR GBP 3M + 0.22%), 1.01%, 01/13/39(U) † | 249,421 | 326,757 | ||
BX Commercial Mortgage Trust, Series 2018-IND, Class H | ||||
(Floating, ICE LIBOR USD 1M + 3.00%, 3.00% Floor), 4.74%, 11/15/35 144A † | 2,534,000 | 2,541,690 | ||
BX Commercial Mortgage Trust, Series 2019-XL, Class F | ||||
(Floating, ICE LIBOR USD 1M + 2.00%, 2.00% Floor), 3.74%, 10/15/36 144A † | 1,470,000 | 1,472,907 | ||
CHL Mortgage Pass-Through Trust, Series 2003-58, Class 2A2 | ||||
4.08%, 02/19/34† γ | 223,635 | 229,863 | ||
CHL Mortgage Pass-Through Trust, Series 2004-HYB5, Class 2A1 | ||||
4.18%, 04/20/35† γ | 280,135 | 282,954 | ||
CHT Mortgage Trust, Series 2017-CSMO, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.93%, 0.93% Floor), 2.67%, 11/15/36 144A † | 310,000 | 310,519 | ||
Citigroup Commercial Mortgage Trust, Series 2019-GC41, Class A5 | ||||
2.87%, 08/10/56 | 1,450,000 | 1,481,469 | ||
COMM Mortgage Trust, Series 2013-CR12, Class AM | ||||
4.30%, 10/10/46 | 50,000 | 52,985 | ||
COMM Mortgage Trust, Series 2013-CR12, Class B | ||||
4.76%, 10/10/46 | 40,000 | 41,702 | ||
COMM Mortgage Trust, Series 2013-CR12, Class C | ||||
5.08%, 10/10/46† γ | 20,000 | 20,204 | ||
COMM Mortgage Trust, Series 2013-CR6, Class B | ||||
3.40%, 03/10/46 144A | 390,000 | 398,510 | ||
COMM Mortgage Trust, Series 2014-277P, Class A | ||||
3.61%, 08/10/49 144A † γ | 160,000 | 168,720 |
Par | Value | |||
COMM Mortgage Trust, Series 2015-DC1, Class C | ||||
4.34%, 02/10/48† γ | $80,000 | $81,798 | ||
Connecticut Avenue Securities Trust, Series 2018-R07, Class 1M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.40%), 4.19%, 04/25/31 144A † | 565,003 | 572,023 | ||
Connecticut Avenue Securities Trust, Series 2019-R02, Class 1M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.30%, 2.30% Floor), 4.09%, 08/25/31 144A † | 820,000 | 828,288 | ||
CSMC Trust, Series 2010-16, Class B9 | ||||
4.08%, 06/25/50 144A † γ | 2,149,467 | 1,788,718 | ||
CSMC Trust, Series 2018-J1, Class A2 | ||||
3.50%, 02/25/48 144A † γ | 3,602,406 | 3,687,939 | ||
CSMC Trust, Series 2018-PLUM, Class A | ||||
(Floating, ICE LIBOR USD 1M + 3.23%, 3.23% Floor), 4.97%, 08/15/20 144A † | 107,583 | 107,716 | ||
CSMC, Series 2017-TIME, Class A | ||||
3.65%, 11/13/39 144A | 530,000 | 552,956 | ||
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series, Series 2006-AR1, Class 3A1 | ||||
3.75%, 02/25/36† γ | 678,795 | 651,438 | ||
Exantas Capital Corporation, Ltd., Series 2018-RSO6, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.83%, 0.83% Floor), 2.57%, 06/15/35 144A † | 338,282 | 336,678 | ||
Fannie Mae Connecticut Avenue Securities, Series 2018-C01 | ||||
(Floating, ICE LIBOR USD 1M + 2.25%, 2.25% Floor), 4.04%, 07/25/30† | 200,000 | 202,829 | ||
Fannie Mae Connecticut Avenue Securities, Series 2018-C03 | ||||
(Floating, ICE LIBOR USD 1M + 2.15%, 2.15% Floor), 3.94%, 10/25/30† | 190,000 | 191,638 | ||
Federal Home Loan Mortgage Corporation | ||||
8.00%, 08/01/24 | 471 | 501 | ||
4.00%, 10/01/25 | 102,237 | 106,735 | ||
5.50%, 02/01/27 | 20,076 | 21,639 | ||
4.50%, 10/01/29 | 1,713 | 1,827 | ||
7.50%, 11/01/29 | 2,818 | 3,229 | ||
7.50%, 12/01/29 | 2,998 | 3,406 | ||
7.50%, 02/01/31 | 4,021 | 4,196 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.23%, 2.23% Floor, 11.36% Cap), 4.61%, 07/01/31† | 2,728 | 2,812 | ||
7.50%, 11/01/31 | 7,537 | 7,553 | ||
(Floating, ICE LIBOR USD 1Y + 1.98%, 1.98% Floor, 10.50% Cap), 4.85%, 04/01/32† | 1,021 | 1,065 |
Table of Contents
Par | Value | |||
3.00%, 12/01/32 | $913,171 | $941,757 | ||
3.00%, 06/01/33 | 577,726 | 595,131 | ||
3.50%, 06/01/33 | 38,132 | 39,563 | ||
3.50%, 08/01/33 | 632,516 | 657,573 | ||
5.00%, 08/01/33 | 3,643 | 4,019 | ||
5.00%, 09/01/33 | 719 | 793 | ||
5.00%, 10/01/33 | 1,880 | 2,068 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.37%, 2.37% Floor, 9.17% Cap), 5.04%, 03/01/34† | 816 | 864 | ||
5.00%, 12/01/34 | 60,251 | 66,397 | ||
5.50%, 05/01/35 | 176,319 | 189,897 | ||
5.00%, 07/01/35 | 3,080 | 3,400 | ||
5.00%, 11/01/35 | 86,560 | 95,247 | ||
5.50%, 11/01/35 | 22,441 | 25,240 | ||
5.00%, 12/01/35 | 8,429 | 9,355 | ||
6.00%, 02/01/36 | 188,239 | 207,346 | ||
5.00%, 02/01/37 | 8,321 | 9,177 | ||
5.50%, 07/01/37 | 22,967 | 25,819 | ||
3.00%, 02/01/38 | 251,390 | 257,051 | ||
3.00%, 04/01/38 | 164,138 | 167,962 | ||
5.50%, 04/01/38 | 5,713 | 6,421 | ||
7.00%, 03/01/39 | 13,077 | 15,009 | ||
4.50%, 06/01/39 | 69,467 | 75,496 | ||
6.50%, 09/01/39 | 28,361 | 32,353 | ||
4.00%, 02/01/41 | 49,836 | 53,493 | ||
5.00%, 06/01/41 | 2,360 | 2,560 | ||
3.50%, 10/01/42 | 105,763 | 111,320 | ||
4.00%, 10/01/42 | 42,165 | 44,924 | ||
3.50%, 11/01/42 | 223,917 | 235,607 | ||
3.50%, 12/01/42 | 63,240 | 66,556 | ||
3.50%, 01/01/43 | 323,828 | 340,535 | ||
3.50%, 02/01/43 | 218,621 | 230,063 | ||
3.50%, 03/01/43 | 540,650 | 568,873 | ||
4.00%, 04/01/43 | 103,480 | 110,332 | ||
3.50%, 05/01/43 | 375,905 | 398,077 | ||
4.00%, 05/01/43 | 45,936 | 50,123 | ||
4.00%, 06/01/43 | 59,644 | 65,080 | ||
4.00%, 07/01/43 | 184,372 | 200,439 | ||
4.00%, 08/01/43 | 99,501 | 106,061 | ||
4.50%, 12/01/43 | 695,054 | 751,030 | ||
3.50%, 02/01/44 | 54,695 | 57,551 | ||
4.50%, 02/01/44 | 572,107 | 617,929 | ||
4.50%, 03/01/44 | 165,312 | 178,529 | ||
3.50%, 03/01/45 | 586,244 | 616,796 | ||
4.00%, 12/01/45 | 391,747 | 415,538 | ||
3.50%, 06/01/46 | 66,557 | 70,185 | ||
4.00%, 09/01/46 | 1,268,637 | 1,340,436 | ||
4.50%, 01/01/47 | 633,010 | 672,745 | ||
3.50%, 04/01/47 | 10,475,537 | 11,043,206 | ||
3.50%, 06/01/47 | 75,785 | 79,513 | ||
4.00%, 07/01/47 | 603,838 | 635,783 | ||
5.00%, 07/01/47 | 366,635 | 393,121 | ||
4.00%, 08/01/47 | 144,421 | 153,755 | ||
3.00%, 09/01/47 | 1,105,792 | 1,134,537 |
Par | Value | |||
3.50%, 09/01/47 | $1,221,995 | $1,270,692 | ||
3.50%, 02/01/48 | 319,053 | 332,198 | ||
4.00%, 03/01/48 | 1,745,279 | 1,837,967 | ||
3.50%, 04/01/48 | 1,748,536 | 1,814,642 | ||
4.00%, 04/01/48 | 2,371,732 | 2,491,987 | ||
4.00%, 05/01/48 | 1,457,241 | 1,523,667 | ||
3.50%, 06/01/48 | 516,750 | 542,508 | ||
4.00%, 06/01/48 | 336,864 | 351,502 | ||
4.50%, 08/01/48 | 1,736,689 | 1,887,222 | ||
5.00%, 08/01/48 | 360,658 | 386,413 | ||
3.00%, 09/01/48 | 178,478 | 183,892 | ||
4.00%, 09/01/48 | 5,168,025 | 5,384,810 | ||
4.50%, 09/01/48 | 723,245 | 762,945 | ||
3.50%, 10/01/48 | 75,592 | 77,868 | ||
4.00%, 10/01/48 | 1,469,503 | 1,568,679 | ||
5.00%, 10/01/48 | 299,392 | 320,991 | ||
4.00%, 11/01/48 | 1,206,299 | 1,260,834 | ||
5.00%, 11/01/48 | 206,797 | 221,453 | ||
4.00%, 01/01/49 | 936,059 | 998,038 | ||
5.00%, 01/01/49 | 1,164,846 | 1,245,605 | ||
3.50%, 02/01/49 | 724,425 | 745,667 | ||
3.00%, 03/01/49 | 164,191 | 166,774 | ||
3.50%, 03/01/49 | 2,450,024 | 2,527,384 | ||
3.00%, 04/01/49 | 5,820,625 | 5,912,291 | ||
3.50%, 04/01/49 | 1,124,608 | 1,157,155 | ||
4.00%, 05/01/49 | 2,196,808 | 2,283,326 | ||
3.00%, 07/01/49 | 486,591 | 496,608 | ||
3.00%, 08/01/49 | 961,097 | 977,106 | ||
3.50%, 08/01/49 | 94,944 | 97,607 | ||
3.00%, 09/01/49 | 9,249,962 | 9,414,972 | ||
3.00%, 10/01/49 | 1,071,856 | 1,094,875 | ||
5.00%, 10/01/49 | 19,374,300 | 20,695,643 | ||
2.50%, 11/01/49 | 3,000,000 | 2,967,886 | ||
3.50%, 11/01/49 | 996,857 | 1,034,238 | ||
4.00%, 11/01/49 | 583,179 | 608,102 | ||
2.50%, 12/01/49 | 11,498,852 | 11,375,762 | ||
3.00%, 12/01/49 | 15,998,400 | 16,240,250 | ||
3.50%, 12/01/49 | 397,087 | 411,000 | ||
3.00%, 01/01/50 | 2,292,121 | 2,341,422 | ||
Federal Home Loan Mortgage Corporation Reference REMIC, Series R007 | ||||
6.00%, 05/15/36 | 139,091 | 159,598 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3325 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor, 6.75% Cap), 2.24%, 06/15/37† | 93,959 | 94,197 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3621 | ||||
(Floating, 6.23% - ICE LIBOR USD 1M, 6.23% Cap), 4.49%, 01/15/40† IO | 191,368 | 31,143 |
Table of Contents
Par | Value | |||
Federal Home Loan Mortgage Corporation REMIC, Series 3947 | ||||
(Floating, 5.95% - ICE LIBOR USD 1M, 5.95% Cap), 4.21%, 10/15/41† IO | $130,289 | $20,115 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3973 | ||||
(Floating, 6.49% - ICE LIBOR USD 1M, 6.49% Cap), 4.75%, 12/15/41† IO | 243,819 | 51,394 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4099 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 4.26%, 08/15/42† IO | 200,856 | 33,161 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4194 | ||||
3.50%, 04/15/43 IO | 351,190 | 52,406 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4210 | ||||
3.00%, 05/15/43 | 357,840 | 356,590 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4239 | ||||
3.50%, 06/15/27 IO | 235,180 | 18,099 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4298 | ||||
4.00%, 04/15/43 IO | 203,294 | 17,334 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4310 | ||||
(Floating, 5.95% - ICE LIBOR USD 1M, 5.95% Cap), 4.21%, 02/15/44† IO | 95,609 | 16,148 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4335 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 4.26%, 05/15/44† IO | 100,990 | 16,710 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4415 | ||||
2.27%, 04/15/41† IO γ | 118,076 | 6,495 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4638 | ||||
(Floating, ICE LIBOR USD 1M + 0.44%, 9999.00% Cap), 2.22%, 07/15/40† | 319,480 | 318,957 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4793 | ||||
3.00%, 05/15/48 | 1,036,174 | 1,056,635 | ||
3.00%, 06/15/48 | 758,931 | 766,919 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4813 | ||||
3.00%, 08/15/48 | 810,442 | 810,910 | ||
Federal Home Loan Mortgage Corporation STRIP, Series 353 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 4.26%, 12/15/46† IO | 359,352 | 61,864 | ||
Federal National Mortgage Association | ||||
9.50%, 05/01/22 | 47 | 48 |
Par | Value | |||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 12.75% Cap), 2.41%, 07/01/22† | $791 | $788 | ||
5.50%, 09/01/23 | 12,480 | 12,913 | ||
5.50%, 10/01/23 | 3,009 | 3,105 | ||
5.00%, 06/01/24 | 74,392 | 79,422 | ||
9.50%, 07/01/24 | 31 | 31 | ||
2.81%, 04/01/25 | 50,000 | 51,431 | ||
5.50%, 05/01/25 | 2,978 | 3,036 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 12.05% Cap), 2.38%, 07/01/27† | 7,288 | 7,228 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.13%, 2.13% Floor, 11.81% Cap), 4.50%, 08/01/27† | 11,298 | 11,794 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 10.62% Cap), 2.38%, 11/01/27 CONV † | 8,289 | 8,214 | ||
2.84%, 01/01/28 | 820,000 | 848,690 | ||
3.08%, 01/01/28 | 140,000 | 146,854 | ||
3.64%, 11/01/28 | 200,000 | 216,026 | ||
3.07%, 01/01/29 | 100,000 | 105,062 | ||
3.30%, 04/01/29 | 100,000 | 106,355 | ||
3.16%, 05/01/29 | 148,917 | 157,048 | ||
3.19%, 05/01/29 | 99,088 | 104,661 | ||
3.24%, 05/01/29 | 280,000 | 297,408 | ||
3.26%, 05/01/29 | 110,000 | 116,922 | ||
3.35%, 05/01/29 | 60,000 | 64,028 | ||
3.16%, 06/01/29 | 5,900,000 | 6,232,462 | ||
2.74%, 08/01/29 | 200,000 | 205,481 | ||
2.79%, 08/01/29 | 500,000 | 515,910 | ||
2.52%, 10/01/29 | 60,000 | 60,564 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.64%, 2.64% Floor, 12.39% Cap), 5.01%, 02/01/30† | 60,834 | 62,467 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.38%, 2.38% Floor, 10.65% Cap), 4.41%, 06/01/30 CONV † | 10,878 | 11,030 | ||
8.00%, 10/01/30 | 8,417 | 9,946 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.51%, 2.51% Floor, 12.62% Cap), 4.38%, 12/01/30 CONV † | 3,253 | 3,297 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 10.55% Cap), 2.38%, 01/01/31† | 4,620 | 4,555 | ||
4.50%, 04/01/31 | 39,291 | 42,239 | ||
3.31%, 05/01/31 | 100,000 | 106,675 | ||
4.50%, 05/01/31 | 139,976 | 150,483 | ||
4.50%, 06/01/31 | 42,790 | 46,009 | ||
2.87%, 07/01/31 | 100,000 | 102,915 | ||
2.77%, 08/01/31 | 700,000 | 713,277 |
Table of Contents
Par | Value | |||
2.80%, 08/01/31 | $200,000 | $204,441 | ||
2.81%, 08/01/31 | 200,000 | 204,627 | ||
2.84%, 08/01/31 | 100,000 | 102,622 | ||
2.85%, 08/01/31 | 200,000 | 205,432 | ||
2.86%, 08/01/31 | 100,000 | 102,820 | ||
2.87%, 08/01/31 | 200,000 | 206,555 | ||
2.92%, 08/01/31 | 100,000 | 102,916 | ||
2.67%, 09/01/31 | 200,000 | 202,425 | ||
4.50%, 11/01/31 | 62,064 | 66,701 | ||
6.00%, 11/01/31 | 1,687 | 1,927 | ||
4.50%, 12/01/31 | 98,268 | 105,639 | ||
6.00%, 01/01/32 | 51,383 | 56,663 | ||
6.00%, 03/01/32 | 2,258 | 2,493 | ||
6.00%, 04/01/32 | 99,960 | 110,468 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 10.95% Cap), 2.38%, 06/01/32† | 6,313 | 6,219 | ||
3.00%, 07/01/32 | 266,664 | 273,787 | ||
3.50%, 07/01/32 | 81,449 | 84,892 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 12.22% Cap), 2.41%, 08/01/32† | 6,418 | 6,325 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.13%, 2.13% Floor, 9.75% Cap), 4.88%, 02/01/33† | 865 | 876 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 11.95% Cap), 2.41%, 05/01/33† | 9,578 | 9,465 | ||
5.00%, 07/01/33 | 18,284 | 20,156 | ||
3.50%, 09/01/33 | 72,774 | 75,395 | ||
5.00%, 09/01/33 | 22,423 | 24,723 | ||
3.50%, 05/01/34 | 119,401 | 125,347 | ||
4.00%, 05/01/34 | 91,389 | 96,554 | ||
3.50%, 09/01/34 | 1,640,895 | 1,712,806 | ||
2.67%, 10/01/34 | 100,000 | 100,002 | ||
3.50%, 10/01/34 | 1,148,487 | 1,196,953 | ||
6.00%, 10/01/34 | 25,512 | 28,082 | ||
(Floating, ICE LIBOR USD 1Y + 1.55%, 1.55% Floor, 9.67% Cap), 4.55%, 12/01/34† | 12,652 | 13,118 | ||
6.00%, 05/01/35 | 323,437 | 362,807 | ||
6.00%, 07/01/35 | 68,593 | 77,087 | ||
5.50%, 09/01/35 | 51,941 | 55,900 | ||
5.00%, 10/01/35 | 62,750 | 69,195 | ||
6.00%, 10/01/35 | 13,834 | 15,762 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 10.54% Cap), 2.38%, 11/01/35† | 3,020 | 3,021 | ||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.96%, 1.96% Floor, 9.00% Cap), 4.29%, 11/01/35† | 30,171 | 31,311 | ||
6.00%, 11/01/35 | 194,021 | 214,118 | ||
5.50%, 04/01/36 | 3,242 | 3,536 |
Par | Value | |||
(Floating, COF 11th District San Francisco + 1.25%, 3.89% Floor, 12.92% Cap), 4.13%, 05/01/36† | $25,414 | $26,671 | ||
5.50%, 11/01/36 | 50,684 | 57,058 | ||
5.50%, 03/01/37 | 3,118 | 3,512 | ||
6.00%, 07/01/37 | 499,448 | 572,057 | ||
6.50%, 10/01/37 | 41,756 | 46,385 | ||
7.00%, 10/01/37 | 1,297 | 1,444 | ||
7.00%, 11/01/37 | 4,899 | 5,411 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 10.65% Cap), 2.38%, 12/01/37† | 20,306 | 20,027 | ||
3.00%, 12/01/37 | 162,339 | 166,689 | ||
7.00%, 12/01/37 | 3,236 | 3,828 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 10.53% Cap), 2.38%, 01/01/38† | 11,811 | 11,733 | ||
7.00%, 02/01/38 | 1,697 | 1,889 | ||
4.50%, 03/01/38 | 3,431 | 3,649 | ||
4.50%, 04/01/38 | 60,189 | 65,304 | ||
5.00%, 04/01/38 | 60,356 | 66,444 | ||
5.00%, 06/01/38 | 68,757 | 75,574 | ||
5.50%, 08/01/38 | 36,316 | 40,817 | ||
7.00%, 11/01/38 | 13,281 | 15,376 | ||
7.00%, 02/01/39 | 5,961 | 6,847 | ||
6.00%, 12/01/39 | 211,015 | 241,646 | ||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.40%, 1.40% Floor, 9.69% Cap), 3.73%, 06/01/40† | 24,822 | 25,507 | ||
3.73%, 10/01/40† | 84,811 | 84,523 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 10.25% Cap), 2.38%, 11/01/40† | 7,363 | 7,279 | ||
4.50%, 04/01/41 | 92,830 | 100,837 | ||
4.50%, 08/01/41 | 48,910 | 53,145 | ||
4.50%, 11/01/41 | 258,042 | 280,388 | ||
4.00%, 06/01/42 | 33,565 | 35,914 | ||
3.50%, 09/01/42 | 44,749 | 47,054 | ||
2.50%, 10/01/42 | 335,135 | 333,110 | ||
4.00%, 10/01/42 | 155,430 | 164,734 | ||
2.50%, 11/01/42 | 19,971 | 19,881 | ||
4.00%, 11/01/42 | 1,463,066 | 1,576,968 | ||
2.50%, 12/01/42 | 14,825 | 14,758 | ||
3.00%, 12/01/42 | 14,462 | 14,969 | ||
3.50%, 12/01/42 | 69,285 | 73,055 | ||
4.00%, 12/01/42 | 102,173 | 109,354 | ||
2.50%, 01/01/43 | 14,785 | 14,718 | ||
3.00%, 01/01/43 | 271,027 | 279,413 | ||
3.50%, 01/01/43 | 1,384,680 | 1,455,999 | ||
2.50%, 02/01/43 | 18,954 | 18,869 | ||
2.50%, 03/01/43 | 1,334,986 | 1,328,966 | ||
3.00%, 03/01/43 | 170,477 | 176,366 | ||
3.50%, 03/01/43 | 588,213 | 620,827 |
Table of Contents
Par | Value | |||
2.50%, 04/01/43 | $1,106,688 | $1,101,697 | ||
3.00%, 04/01/43 | 256,524 | 265,511 | ||
4.00%, 04/01/43 | 48,097 | 52,062 | ||
2.50%, 05/01/43 | 24,191 | 24,082 | ||
3.00%, 05/01/43 | 165,252 | 171,038 | ||
2.50%, 06/01/43 | 21,549 | 21,451 | ||
3.00%, 06/01/43 | 50,037 | 51,790 | ||
4.00%, 06/01/43 | 435,472 | 469,085 | ||
3.00%, 07/01/43 | 442,587 | 458,096 | ||
4.00%, 07/01/43 | 457,399 | 491,296 | ||
2.50%, 08/01/43 | 813,580 | 809,760 | ||
4.00%, 08/01/43 | 150,036 | 159,785 | ||
4.50%, 09/01/43 | 433,128 | 463,717 | ||
2.50%, 10/01/43 | 26,062 | 25,832 | ||
4.50%, 10/01/43 | 158,396 | 170,924 | ||
4.50%, 11/01/43 | 104,978 | 113,334 | ||
4.50%, 12/01/43 | 149,809 | 161,762 | ||
4.50%, 01/01/44 | 93,002 | 100,405 | ||
4.50%, 02/01/44 | 641,954 | 686,471 | ||
4.50%, 10/01/44 | 356,281 | 388,156 | ||
4.00%, 01/01/45 | 145,348 | 156,283 | ||
4.50%, 02/01/45 | 949,887 | 1,059,483 | ||
3.50%, 04/01/45 | 1,201,920 | 1,260,871 | ||
4.50%, 04/01/45 | 516,249 | 572,643 | ||
4.50%, 05/01/45 | 58,858 | 65,288 | ||
3.50%, 06/01/45 | 548,083 | 572,438 | ||
4.50%, 06/01/45 | 658,623 | 708,290 | ||
3.00%, 11/01/45 | 1,335,019 | 1,367,675 | ||
3.50%, 12/01/45 | 196,354 | 206,930 | ||
3.50%, 01/01/46 | 385,492 | 407,111 | ||
3.00%, 05/01/46 | 496,827 | 509,622 | ||
3.00%, 07/01/46 | 580,326 | 595,810 | ||
3.00%, 08/01/46 | 1,074,947 | 1,102,071 | ||
3.00%, 09/01/46 | 464,721 | 476,434 | ||
3.00%, 10/01/46 | 75,001 | 76,840 | ||
3.00%, 11/01/46 | 2,792,279 | 2,863,858 | ||
4.50%, 11/01/46 | 625,787 | 665,556 | ||
5.00%, 11/01/46 | 870,461 | 953,432 | ||
3.50%, 12/01/46 | 783,143 | 825,601 | ||
3.00%, 01/01/47 | 320,640 | 328,406 | ||
3.50%, 02/01/47 | 4,922,498 | 5,137,803 | ||
4.50%, 03/01/47 | 749,734 | 806,538 | ||
4.00%, 04/01/47 | 622,453 | 662,806 | ||
4.00%, 05/01/47 | 149,403 | 159,095 | ||
4.50%, 06/01/47 | 698,715 | 764,334 | ||
4.50%, 07/01/47 | 1,315,067 | 1,412,748 | ||
3.00%, 09/01/47 | 1,276,910 | 1,310,912 | ||
3.50%, 09/01/47 | 18,303,252 | 19,317,632 | ||
3.50%, 10/01/47 | 18,714,802 | 19,751,994 | ||
3.50%, 11/01/47 | 23,565,759 | 24,871,785 | ||
4.50%, 11/01/47 | 302,071 | 324,520 | ||
3.50%, 12/01/47 | 24,320,435 | 25,660,357 | ||
4.00%, 12/01/47 | 505,285 | 541,664 | ||
4.00%, 01/01/48 | 522,218 | 559,055 | ||
3.50%, 02/01/48 | 2,124,715 | 2,206,011 | ||
4.00%, 02/01/48 | 1,741,640 | 1,861,482 | ||
4.00%, 03/01/48 | 1,444,385 | 1,540,908 |
Par | Value | |||
4.00%, 05/01/48 | $848,354 | $905,049 | ||
5.00%, 05/01/48 | 315,083 | 337,133 | ||
3.50%, 06/01/48 | 1,746,842 | 1,812,401 | ||
4.00%, 06/01/48 | 876,747 | 938,287 | ||
3.50%, 07/01/48 | 1,427,825 | 1,486,269 | ||
4.00%, 07/01/48 | 1,757,885 | 1,877,964 | ||
3.50%, 08/01/48 | 9,679,076 | 10,210,001 | ||
4.00%, 08/01/48 | 5,325,264 | 5,627,134 | ||
4.00%, 09/01/48 | 1,633,030 | 1,699,974 | ||
4.50%, 09/01/48 | 850,834 | 925,048 | ||
5.00%, 10/01/48 | 989,871 | 1,058,278 | ||
4.00%, 11/01/48 | 3,416,276 | 3,558,531 | ||
5.00%, 11/01/48 | 5,385,778 | 5,892,513 | ||
4.00%, 12/01/48 | 1,262,110 | 1,313,613 | ||
4.50%, 12/01/48 | 285,398 | 301,309 | ||
5.00%, 12/01/48 | 1,007,475 | 1,076,633 | ||
4.00%, 01/01/49 | 914,917 | 952,692 | ||
3.50%, 02/01/49 | 90,444 | 95,008 | ||
4.00%, 03/01/49 | 5,021,435 | 5,239,074 | ||
3.50%, 04/01/49 | 2,027,162 | 2,093,740 | ||
3.50%, 05/01/49 | 1,105,541 | 1,146,930 | ||
4.50%, 05/01/49 | 938,091 | 1,006,726 | ||
3.00%, 06/01/49 | 200,001 | 203,036 | ||
3.50%, 06/01/49 | 5,679,071 | 5,846,894 | ||
3.00%, 07/01/49 | 2,096,524 | 2,129,195 | ||
3.00%, 08/01/49 | 1,562,701 | 1,588,621 | ||
3.50%, 08/01/49 | 386,240 | 398,660 | ||
3.00%, 09/01/49 | 11,305,233 | 11,525,291 | ||
2.50%, 10/01/49 | 1,499,851 | 1,485,178 | ||
3.00%, 10/01/49 | 891,306 | 909,694 | ||
3.50%, 10/01/49 | 1,579,829 | 1,646,946 | ||
3.00%, 11/01/49 | 2,585,788 | 2,626,142 | ||
3.50%, 11/01/49 | 495,411 | 513,984 | ||
3.00%, 12/01/49 | 1,195,890 | 1,220,826 | ||
3.50%, 12/01/49 | 299,343 | 312,918 | ||
2.50%, 01/01/50 | 8,000,000 | 7,914,362 | ||
3.00%, 01/01/50 | 798,294 | 812,093 | ||
4.00%, 02/01/56 | 487,188 | 522,330 | ||
4.50%, 04/01/56 | 758,132 | 822,515 | ||
5.50%, 09/01/56 | 706,261 | 771,144 | ||
4.00%, 01/01/57 | 293,916 | 315,118 | ||
3.50%, 03/01/57 | 2,190,722 | 2,305,791 | ||
4.00%, 06/01/57 | 532,649 | 570,951 | ||
4.50%, 09/01/57 | 867,811 | 941,284 | ||
Federal National Mortgage Association ACES, Series 2015-M1 | ||||
0.54%, 09/25/24† IO γ | 3,388,847 | 72,583 | ||
Federal National Mortgage Association ACES, Series 2016-M11 | ||||
2.94%, 07/25/39 | 185,219 | 186,476 | ||
Federal National Mortgage Association ACES, Series 2018-M15 | ||||
3.70%, 01/25/36 | 100,000 | 109,124 |
Table of Contents
Par | Value | |||
Federal National Mortgage Association ACES, Series 2019-M23 | ||||
2.72%, 10/25/31 | $299,989 | $302,658 | ||
Federal National Mortgage Association ACES, Series 2019-M27 | ||||
2.70%, 11/25/40 | 200,000 | 198,227 | ||
Federal National Mortgage Association ACES, Series 2019-M4 | ||||
3.61%, 02/25/31 | 260,000 | 283,623 | ||
Federal National Mortgage Association ACES, Series 2019-M5 | ||||
3.27%, 01/25/29 | 500,000 | 531,017 | ||
Federal National Mortgage Association ACES, Series 2019-M6 | ||||
3.45%, 01/01/29 | 550,000 | 591,815 | ||
Federal National Mortgage Association Interest STRIP, Series 409 | ||||
3.00%, 04/25/27 IO | 203,584 | 13,871 | ||
4.50%, 11/25/39 IO | 37,570 | 8,354 | ||
3.50%, 11/25/41 IO | 149,438 | 25,487 | ||
4.00%, 11/25/41 IO | 182,671 | 32,441 | ||
4.00%, 04/25/42 IO | 338,532 | 54,933 | ||
Federal National Mortgage Association REMIC, Series 1991-137 | ||||
868.32%, 10/25/21 IO | 11 | 71 | ||
Federal National Mortgage Association REMIC, Series 1991-97 | ||||
1,009.25%, 08/25/21 IO | 5 | 33 | ||
Federal National Mortgage Association REMIC, Series 2000-32 | ||||
(Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor, 9.00% Cap), 2.19%, 10/18/30† | 5,875 | 5,875 | ||
Federal National Mortgage Association REMIC, Series 2005-29 | ||||
5.50%, 04/25/35 | 340,779 | 388,815 | ||
Federal National Mortgage Association REMIC, Series 2007-24 | ||||
(Floating, 6.75% - ICE LIBOR USD 1M, 6.75% Cap), 4.96%, 03/25/37† IO | 435,717 | 84,857 | ||
Federal National Mortgage Association REMIC, Series 2011-52 | ||||
5.00%, 06/25/41 | 261,779 | 290,146 | ||
Federal National Mortgage Association REMIC, Series 2011-59 | ||||
5.50%, 07/25/41 | 797,671 | 893,380 |
Par | Value | |||
Federal National Mortgage Association REMIC, Series 2011-96 | ||||
(Floating, 6.55% - ICE LIBOR USD 1M, 6.55% Cap), 4.76%, 10/25/41† IO | $323,830 | $55,138 | ||
Federal National Mortgage Association REMIC, Series 2012-101 | ||||
4.00%, 09/25/27 IO | 113,451 | 7,878 | ||
Federal National Mortgage Association REMIC, Series 2012-111 | ||||
7.00%, 10/25/42 | 21,301 | 24,705 | ||
Federal National Mortgage Association REMIC, Series 2012-118 | ||||
3.50%, 12/25/39 IO | 180,100 | 11,267 | ||
Federal National Mortgage Association REMIC, Series 2012-133 | ||||
(Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 4.36%, 12/25/42† IO | 113,851 | 21,310 | ||
Federal National Mortgage Association REMIC, Series 2012-153 | ||||
7.00%, 07/25/42 | 75,537 | 89,011 | ||
Federal National Mortgage Association REMIC, Series 2012-28 | ||||
6.50%, 06/25/39 | 7,175 | 7,745 | ||
Federal National Mortgage Association REMIC, Series 2012-35 | ||||
(Floating, 6.50% - ICE LIBOR USD 1M, 6.50% Cap), 4.71%, 04/25/42† IO | 108,356 | 18,239 | ||
Federal National Mortgage Association REMIC, Series 2012-46 | ||||
6.00%, 05/25/42 | 108,771 | 124,052 | ||
Federal National Mortgage Association REMIC, Series 2012-70 | ||||
(Floating, 6.65% - ICE LIBOR USD 1M, 6.65% Cap), 4.86%, 02/25/41† IO | 18,084 | 1,558 | ||
Federal National Mortgage Association REMIC, Series 2012-74 | ||||
(Floating, 6.65% - ICE LIBOR USD 1M, 6.65% Cap), 4.86%, 03/25/42† IO | 135,213 | 19,029 | ||
Federal National Mortgage Association REMIC, Series 2012-75 | ||||
(Floating, 6.60% - ICE LIBOR USD 1M, 6.60% Cap), 4.81%, 07/25/42† IO | 39,205 | 6,992 |
Table of Contents
Par | Value | |||
Federal National Mortgage Association REMIC, Series 2013-124 | ||||
(Floating, 5.95% - ICE LIBOR USD 1M, 5.95% Cap), 4.16%, 12/25/43† IO | $427,212 | $79,060 | ||
Federal National Mortgage Association REMIC, Series 2013-14 | ||||
4.00%, 03/25/43 IO | 165,392 | 25,071 | ||
Federal National Mortgage Association REMIC, Series 2013-17 | ||||
3.00%, 03/25/28 IO | 783,224 | 60,571 | ||
Federal National Mortgage Association REMIC, Series 2013-29 | ||||
4.00%, 04/25/43 IO | 474,647 | 66,420 | ||
Federal National Mortgage Association REMIC, Series 2013-54 | ||||
(Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 4.36%, 06/25/43† IO | 191,246 | 39,954 | ||
Federal National Mortgage Association REMIC, Series 2013-9 | ||||
5.50%, 04/25/42 | 475,538 | 528,395 | ||
6.50%, 07/25/42 | 191,273 | 223,352 | ||
Federal National Mortgage Association REMIC, Series 2014-47 | ||||
2.23%, 08/25/44† IO γ | 347,136 | 20,582 | ||
Federal National Mortgage Association REMIC, Series 2015-55 | ||||
2.11%, 08/25/55† IO γ | 121,314 | 6,427 | ||
Federal National Mortgage Association REMIC, Series 2015-56 | ||||
(Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 4.36%, 08/25/45† IO | 59,545 | 13,674 | ||
Federal National Mortgage Association REMIC, Series 2017-76 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 4.31%, 10/25/57† IO | 818,000 | 164,522 | ||
Federal National Mortgage Association REMIC, Series 2017-85 | ||||
(Floating, 6.20% - ICE LIBOR USD 1M, 6.20% Cap), 4.41%, 11/25/47† IO | 271,434 | 44,264 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K016 | ||||
1.48%, 10/25/21† IO γ | 173,784 | 3,894 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K068 | ||||
0.43%, 08/25/27† IO γ | 2,426,259 | 71,587 |
Par | Value | |||
FHLMC Multifamily Structured Pass-Through Certificates, Series K091 | ||||
0.56%, 03/25/29† IO γ | $1,419,093 | $65,589 | ||
3.51%, 03/25/29 | 450,000 | 488,111 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K093 | ||||
0.95%, 05/25/29† IO γ | 1,998,236 | 150,989 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K094 | ||||
0.88%, 06/25/29† IO γ | 999,723 | 71,027 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K095 | ||||
0.95%, 06/25/29† IO γ | 1,198,614 | 88,668 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K099, Class X1 | ||||
1.01%, 09/25/29† IO γ | 1,089,703 | 79,200 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K723 | ||||
0.95%, 08/25/23† IO γ | 3,245,453 | 91,070 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K735 | ||||
0.97%, 05/25/26† IO γ | 899,644 | 48,468 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K736 | ||||
1.31%, 07/25/26† IO γ | 1,999,843 | 142,847 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series KF11 | ||||
(Floating, ICE LIBOR USD 1M + 0.65%), 2.35%, 09/25/25† | 92,905 | 92,846 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series T-61 | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.40%, 1.40% Floor), 3.64%, 07/25/44† | 485,962 | 495,458 | ||
FHLMC Structured Agency Credit Risk Debt Notes, Series 2016-DNA4 | ||||
(Floating, ICE LIBOR USD 1M + 3.80%, 3.80% Floor), 5.59%, 03/25/29† | 250,000 | 266,154 | ||
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA1, Class A1 | ||||
3.84%, 06/25/34† γ | 197,364 | 199,546 | ||
FREMF Mortgage Trust, Series 2012-K20, Class X2A | ||||
0.20%, 05/25/45 144A IO | 5,093,435 | 20,117 | ||
Government National Mortgage Association | ||||
7.00%, 01/15/26 | 2,355 | 2,513 | ||
7.00%, 07/15/27 | 21,242 | 23,621 | ||
7.00%, 01/15/28 | 10,931 | 11,059 |
Table of Contents
Par | Value | |||
7.00%, 03/15/28 | $27,959 | $31,614 | ||
7.00%, 07/15/28 | 3,419 | 3,686 | ||
7.50%, 07/15/28 | 9,524 | 9,671 | ||
6.50%, 08/15/28 | 2,027 | 2,237 | ||
7.00%, 08/15/28 | 5,691 | 6,156 | ||
7.50%, 08/15/28 | 6,303 | 6,951 | ||
6.50%, 09/15/28 | 3,703 | 4,147 | ||
7.00%, 10/15/28 | 10,946 | 11,024 | ||
7.50%, 03/15/29 | 9,919 | 11,425 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.00% Cap), 4.13%, 11/20/29† | 18,010 | 18,606 | ||
8.50%, 08/15/30 | 444 | 457 | ||
8.50%, 11/20/30 | 5,014 | 5,814 | ||
6.50%, 08/15/31 | 29,025 | 32,804 | ||
7.50%, 08/15/31 | 6,600 | 7,137 | ||
6.50%, 10/15/31 | 33,287 | 37,107 | ||
6.00%, 11/15/31 | 86,475 | 96,670 | ||
6.50%, 11/15/31 | 55,383 | 61,110 | ||
6.00%, 12/15/31 | 17,181 | 19,599 | ||
6.00%, 01/15/32 | 63,333 | 70,338 | ||
6.00%, 02/15/32 | 76,387 | 84,154 | ||
6.50%, 02/15/32 | 32,955 | 36,380 | ||
6.00%, 04/15/32 | 37,288 | 41,080 | ||
7.50%, 04/15/32 | 8,002 | 8,501 | ||
6.50%, 06/15/32 | 51,572 | 56,963 | ||
6.50%, 08/15/32 | 67,164 | 74,137 | ||
6.50%, 09/15/32 | 77,719 | 87,433 | ||
6.00%, 10/15/32 | 66,076 | 75,515 | ||
5.50%, 11/15/32 | 8,904 | 9,649 | ||
6.00%, 11/15/32 | 54,044 | 59,996 | ||
6.00%, 12/15/32 | 25,886 | 28,820 | ||
6.50%, 12/15/32 | 8,278 | 9,138 | ||
5.50%, 01/15/33 | 5,650 | 6,125 | ||
6.00%, 01/15/33 | 24,641 | 27,592 | ||
5.50%, 02/15/33 | 11,224 | 12,526 | ||
6.00%, 02/15/33 | 22,806 | 26,059 | ||
5.50%, 03/15/33 | 13,112 | 14,578 | ||
6.50%, 04/15/33 | 144,462 | 168,329 | ||
6.00%, 06/15/33 | 17,813 | 19,624 | ||
5.50%, 07/15/33 | 14,257 | 15,746 | ||
5.50%, 08/15/33 | 4,890 | 5,318 | ||
5.50%, 09/15/33 | 2,901 | 3,155 | ||
6.00%, 10/15/33 | 34,101 | 37,569 | ||
6.50%, 10/15/33 | 65,516 | 72,983 | ||
5.50%, 04/15/34 | 8,391 | 9,086 | ||
5.50%, 05/15/34 | 2,527 | 2,712 | ||
6.50%, 08/15/34 | 102,106 | 115,273 | ||
5.50%, 09/15/34 | 58,809 | 66,002 | ||
5.50%, 12/15/34 | 57,993 | 65,091 | ||
5.50%, 01/15/35 | 41,859 | 46,966 | ||
6.00%, 09/20/38 | 129,564 | 148,067 | ||
5.00%, 07/20/40 | 11,021 | 12,179 | ||
5.00%, 09/20/40 | 48,736 | 53,841 | ||
4.00%, 10/20/40 | 6,351 | 6,738 | ||
6.00%, 10/20/40 | 19,663 | 22,189 | ||
6.00%, 01/20/41 | 16,032 | 18,311 |
Par | Value | |||
4.50%, 04/20/41 | $214,710 | $232,031 | ||
3.00%, 09/15/42 | 497,264 | 513,109 | ||
3.00%, 10/15/42 | 217,855 | 224,797 | ||
3.00%, 11/15/42 | 96,422 | 99,494 | ||
4.00%, 08/20/43 | 363,310 | 385,798 | ||
3.50%, 06/20/44 | 147,747 | 154,592 | ||
4.00%, 10/20/44 | 179,975 | 190,794 | ||
3.00%, 01/15/45 | 3,436,722 | 3,539,804 | ||
4.00%, 01/20/45 | 285,660 | 302,676 | ||
3.50%, 03/20/45 | 68,799 | 71,747 | ||
3.50%, 04/15/45 | 599,014 | 623,925 | ||
4.00%, 05/20/45 | 32,430 | 34,322 | ||
4.00%, 10/20/45 | 275,194 | 288,762 | ||
3.50%, 09/20/46 | 2,354,583 | 2,460,546 | ||
4.00%, 06/20/47 | 3,570,529 | 3,736,378 | ||
3.00%, 09/20/47 | 39,384 | 40,622 | ||
4.00%, 09/20/47 | 1,411,731 | 1,480,991 | ||
3.50%, 10/20/47 | 975,284 | 1,012,828 | ||
3.50%, 11/20/47 | 75,623 | 78,510 | ||
4.00%, 11/20/47 | 856,921 | 895,103 | ||
4.00%, 12/20/47 | 396,316 | 413,996 | ||
3.00%, 02/20/48 | 203,069 | 208,987 | ||
3.50%, 02/20/48 | 924,046 | 960,025 | ||
4.00%, 02/20/48 | 270,659 | 282,169 | ||
4.00%, 03/20/48 | 466,381 | 487,230 | ||
4.00%, 04/20/48 | 329,407 | 342,332 | ||
4.50%, 05/20/48 | 2,952,979 | 3,102,864 | ||
3.50%, 06/15/48 | 242,504 | 254,817 | ||
4.50%, 06/20/48 | 894,893 | 943,045 | ||
4.00%, 07/20/48 | 1,241,014 | 1,289,799 | ||
4.50%, 07/20/48 | 59,615 | 62,799 | ||
4.50%, 08/20/48 | 9,082,528 | 9,561,458 | ||
4.50%, 09/20/48 | 4,292,329 | 4,513,285 | ||
5.00%, 09/20/48 | 628,441 | 666,520 | ||
5.00%, 10/20/48 | 2,178,791 | 2,293,130 | ||
5.00%, 11/20/48 | 3,754,593 | 3,971,743 | ||
5.00%, 12/20/48 | 928,656 | 980,548 | ||
4.50%, 01/20/49 | 14,418,970 | 15,145,160 | ||
5.00%, 01/20/49 | 12,704,044 | 13,412,890 | ||
3.50%, 02/20/49 | 229,272 | 236,597 | ||
4.50%, 02/20/49 | 1,420,275 | 1,484,054 | ||
5.00%, 02/20/49 | 307,874 | 324,569 | ||
4.50%, 03/20/49 | 296,630 | 309,991 | ||
5.00%, 03/20/49 | 1,983,162 | 2,086,203 | ||
4.50%, 04/20/49 | 537,667 | 561,767 | ||
4.00%, 05/20/49 | 576,335 | 597,786 | ||
5.00%, 05/20/49 | 191,130 | 201,927 | ||
4.50%, 06/20/49 | 4,276,764 | 4,484,868 | ||
2.50%, 09/20/49 | 197,859 | 195,601 | ||
3.50%, 09/20/49 | 3,052,535 | 3,163,554 | ||
2.50%, 10/20/49 | 99,455 | 98,320 | ||
3.50%, 10/20/49 | 2,290,909 | 2,357,301 | ||
4.00%, 10/20/49 | 99,720 | 104,821 | ||
2.50%, 11/20/49 | 99,800 | 98,661 | ||
4.00%, 11/20/49 | 99,862 | 105,512 | ||
3.00%, 12/20/49 | 3,700,000 | 3,804,111 | ||
2.50%, 01/01/50 TBA | 5,000,000 | 5,021,680 |
Table of Contents
Par | Value | |||
3.00%, 01/01/50 TBA | $41,100,000 | $42,228,644 | ||
3.50%, 01/01/50 TBA | 20,600,000 | 21,231,680 | ||
4.00%, 01/01/50 TBA | 7,000,000 | 7,245,547 | ||
5.00%, 01/01/50 TBA | 20,000,000 | 21,059,375 | ||
4.00%, 02/01/50 TBA | 5,000,000 | 5,179,922 | ||
4.50%, 02/01/50 TBA | 12,000,000 | 12,570,000 | ||
Government National Mortgage Association, Series 2007-30 | ||||
(Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor, 6.50% Cap), 2.06%, 05/20/37† | 101,822 | 101,730 | ||
Government National Mortgage Association, Series 2007-51 | ||||
(Floating, 6.58% - ICE LIBOR USD 1M, 6.58% Cap), 4.82%, 08/20/37† IO | 926,056 | 133,312 | ||
Government National Mortgage Association, Series 2010-31 | ||||
(Floating, 6.50% - ICE LIBOR USD 1M, 6.50% Cap), 4.74%, 03/20/39† IO | 9,350 | 283 | ||
Government National Mortgage Association, Series 2010-85 | ||||
(Floating, 6.65% - ICE LIBOR USD 1M, 6.65% Cap), 4.89%, 01/20/40† IO | 29,913 | 2,623 | ||
Government National Mortgage Association, Series 2010-H28 | ||||
(Floating, ICE LIBOR USD 1M + 0.40%, 0.40% Floor, 10.50% Cap), 2.17%, 12/20/60† | 210,196 | 209,542 | ||
Government National Mortgage Association, Series 2011-H08 | ||||
(Floating, ICE LIBOR USD 1M + 0.48%, 0.48% Floor, 10.50% Cap), 2.25%, 03/20/61† | 264,684 | 264,337 | ||
Government National Mortgage Association, Series 2011-H09 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor, 10.50% Cap), 2.27%, 03/20/61† | 187,804 | 187,650 | ||
Government National Mortgage Association, Series 2012-144 | ||||
0.40%, 01/16/53† IO γ | 7,177,325 | 169,840 | ||
Government National Mortgage Association, Series 2012-34 | ||||
(Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 4.29%, 03/20/42† IO | 34,050 | 6,752 | ||
Government National Mortgage Association, Series 2012-66 | ||||
3.50%, 02/20/38 IO | 102,246 | 4,588 | ||
Government National Mortgage Association, Series 2012-H27 | ||||
1.78%, 10/20/62† IO γ | 643,903 | 29,024 | ||
Government National Mortgage Association, Series 2012-H30 | ||||
(Floating, ICE LIBOR USD 1M + 0.35%, 0.35% Floor, 10.50% Cap), 2.12%, 12/20/62† | 978,584 | 974,926 |
Par | Value | |||
Government National Mortgage Association, Series 2013-53 | ||||
3.50%, 04/20/43 IO | $101,186 | $14,331 | ||
Government National Mortgage Association, Series 2014-117 | ||||
(Floating, 5.60% - ICE LIBOR USD 1M, 5.60% Cap), 3.84%, 08/20/44† IO | 72,507 | 11,873 | ||
Government National Mortgage Association, Series 2014-118 | ||||
(Floating, 6.20% - ICE LIBOR USD 1M, 6.20% Cap), 4.44%, 08/20/44† IO | 200,470 | 40,130 | ||
Government National Mortgage Association, Series 2014-17 | ||||
2.55%, 06/16/48† γ | 41,391 | 42,399 | ||
Government National Mortgage Association, Series 2014-93 | ||||
0.73%, 11/16/55† IO γ | 2,815,368 | 106,678 | ||
Government National Mortgage Association, Series 2015-167 | ||||
4.00%, 04/16/45 IO | 105,081 | 19,223 | ||
Government National Mortgage Association, Series 2015-H11 | ||||
(Floating, ICE LIBOR USD 1M + 0.55%, 0.55% Floor, 7.50% Cap), 2.32%, 05/20/65† | 2,250,048 | 2,243,806 | ||
Government National Mortgage Association, Series 2015-H14 | ||||
(Floating, ICE LIBOR USD 1M + 0.43%, 0.43% Floor, 11.00% Cap), 2.20%, 05/20/65† | 2,356,362 | 2,350,456 | ||
(Floating, ICE LIBOR USD 1M + 0.57%, 0.57% Floor, 7.50% Cap), 2.34%, 06/20/65† | 3,747,074 | 3,739,456 | ||
Government National Mortgage Association, Series 2015-H15 | ||||
(Floating, ICE LIBOR USD 1M + 0.58%, 0.58% Floor, 7.50% Cap), 2.35%, 06/20/65† | 1,465,365 | 1,462,650 | ||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor, 7.50% Cap), 2.37%, 06/20/65† | 3,622,448 | 3,618,641 | ||
Government National Mortgage Association, Series 2015-H16 | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor), 2.37%, 07/20/65† | 3,507,679 | 3,503,825 | ||
Government National Mortgage Association, Series 2015-H17 | ||||
(Floating, ICE LIBOR USD 1M + 0.46%, 0.46% Floor), 2.46%, 06/20/65† | 543,934 | 542,873 | ||
Government National Mortgage Association, Series 2015-H18 | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor, 7.50% Cap), 2.37%, 07/20/65† | 520,548 | 520,010 |
Table of Contents
Par | Value | |||
Government National Mortgage Association, Series 2015-H19 | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor), 2.37%, 08/20/65† | $571,639 | $571,041 | ||
Government National Mortgage Association, Series 2015-H22 | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor, 7.50% Cap), 2.37%, 09/20/65† | 574,459 | 573,822 | ||
Government National Mortgage Association, Series 2015-H23 | ||||
(Floating, ICE LIBOR USD 1M + 0.62%, 0.62% Floor, 7.50% Cap), 2.39%, 09/20/65† | 654,101 | 653,868 | ||
Government National Mortgage Association, Series 2015-H26 | ||||
(Floating, ICE LIBOR USD 1M + 0.52%, 0.52% Floor, 11.00% Cap), 2.29%, 10/20/65† | 1,272,374 | 1,271,398 | ||
Government National Mortgage Association, Series 2015-H30 | ||||
(Floating, ICE LIBOR USD 1M + 0.68%, 0.68% Floor), 2.45%, 08/20/61† | 11,671 | 11,693 | ||
Government National Mortgage Association, Series 2016-152 | ||||
0.88%, 08/15/58† IO γ | 4,886,707 | 331,563 | ||
Government National Mortgage Association, Series 2017-190 | ||||
0.69%, 03/16/60† IO γ | 7,113,888 | 417,062 | ||
Government National Mortgage Association, Series 2017-H15 | ||||
2.36%, 07/20/67† IO γ | 568,564 | 75,392 | ||
(Floating, ICE LIBOR USD 1Y + 0.80%, 0.80% Floor, 7.50% Cap), 3.31%, 07/20/67† | 1,809,456 | 1,837,216 | ||
Government National Mortgage Association, Series 2017-H18 | ||||
1.76%, 09/20/67† IO γ | 4,463,624 | 403,987 | ||
Government National Mortgage Association, Series 2017-H20 | ||||
2.22%, 10/20/67† IO γ | 192,726 | 20,606 | ||
Government National Mortgage Association, Series 2017-H22 | ||||
2.85%, 11/20/67† IO γ | 1,545,228 | 165,985 | ||
Government National Mortgage Association, Series 2018-H07 | ||||
(Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor, 11.00% Cap), 2.07%, 05/20/68† | 1,008,821 | 1,002,655 | ||
Government National Mortgage Association, Series 2019-123 | ||||
3.00%, 10/20/49 | 300,000 | 303,148 | ||
Government National Mortgage Association, Series 2019-28 | ||||
3.15%, 06/16/60 | 229,559 | 233,351 | ||
GPMT, Ltd., Series 2018-FL1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.90%, 0.90% Floor), 2.66%, 11/21/35 144A † | 875,770 | 874,968 |
Par | Value | |||
GreenPoint Mortgage Funding Trust, Series 2006-OH1, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.18%, 0.18% Floor), 1.97%, 01/25/37† | $446,492 | $433,099 | ||
GS Mortgage Securities Corporation II, Series 2018-SRP5, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.30%, 1.30% Floor), 3.04%, 09/15/31 144A † | 1,530,000 | 1,526,954 | ||
GS Mortgage Securities Trust, Series 2013-GC16, Class B | ||||
5.16%, 11/10/46 | 130,000 | 141,744 | ||
GS Mortgage Securities Trust, Series 2015-GC30, Class AS | ||||
3.78%, 05/10/50 | 370,000 | 388,187 | ||
GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1 | ||||
4.27%, 09/25/35† γ | 348,246 | 358,488 | ||
Harben Finance PLC, Series 2017-1X, Class A | ||||
(Floating, ICE LIBOR GBP 3M + 0.80%), 1.60%, 08/20/56(U) † | 532,498 | 707,241 | ||
Hawksmoor Mortgages, Series 2019-1A, Class A | ||||
(Floating, SONIA Deposit Rates Swap 3M + 1.05%), 1.76%, 05/25/53(U) 144A † | 5,654,197 | 7,517,232 | ||
Impac CMB Trust, Series 2004-8, Class 1A | ||||
(Floating, ICE LIBOR USD 1M + 0.72%, 0.36% Floor, 11.00% Cap), 2.51%, 10/25/34† | 31,214 | 31,332 | ||
IndyMac ARM Trust, Series 2001-H2, Class A1 | ||||
3.70%, 01/25/32† γ | 5,443 | 5,272 | ||
JP Morgan Alternative Loan Trust, Series 2005-A2, Class 1A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.52%, 0.26% Floor, 11.50% Cap), 2.31%, 01/25/36† | 91,378 | 91,809 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2012-C6, Class D | ||||
5.16%, 05/15/45† γ | 280,000 | 283,737 | ||
JP Morgan Mortgage Trust, Series 2005-A1, Class 6T1 | ||||
4.61%, 02/25/35† γ | 37,331 | 37,718 | ||
JP Morgan Mortgage Trust, Series 2018-3, Class A1 | ||||
3.50%, 09/25/48 144A † γ | 2,423,329 | 2,476,641 | ||
JP Morgan Mortgage Trust, Series 2018-4, Class A1 | ||||
3.50%, 10/25/48 144A † γ | 930,482 | 950,533 | ||
JPMBB Commercial Mortgage Securities Trust, Series 2013-C17, Class B | ||||
4.89%, 01/15/47† γ | 50,000 | 54,276 |
Table of Contents
Par | Value | |||
JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class ASB | ||||
3.41%, 11/15/47 | $814,341 | $836,226 | ||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C32, Class ASB | ||||
3.36%, 11/15/48 | 800,000 | 825,972 | ||
Kensington Mortgage Securities PLC, Series 2007-1X, Class A3C | ||||
(Floating, ICE LIBOR USD 3M + 0.17%), 2.06%, 06/14/40† | 801,171 | 781,881 | ||
London Wall Mortgage Capital PLC, Series 2017-FL1, Class A | ||||
(Floating, ICE LIBOR GBP 3M + 0.85%), 1.64%, 11/15/49(U) † | 557,822 | 741,257 | ||
Ludgate Funding PLC, Series 2007-1, Class A2A | ||||
(Floating, ICE LIBOR GBP 3M + 0.16%), 0.92%, 01/01/61(U) † | 702,974 | 877,019 | ||
Ludgate Funding PLC, Series 2008-W1X, Class A1 | ||||
(Floating, ICE LIBOR GBP 3M + 0.60%), 1.36%, 01/01/61(U) † | 570,186 | 734,080 | ||
Mansard Mortgages PLC, Series 2007-1X, Class A2 | ||||
(Floating, ICE LIBOR GBP 3M + 0.18%), 0.97%, 04/15/47(U) † | 699,511 | 882,793 | ||
MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A7 | ||||
4.70%, 11/21/34† γ | 174,909 | 179,826 | ||
MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 4A1 | ||||
3.91%, 05/25/34† γ | 80,631 | 81,460 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class A4 | ||||
3.10%, 05/15/46 | 300,000 | 307,676 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class AS | ||||
3.46%, 05/15/46 | 140,000 | 144,654 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19, Class B | ||||
4.00%, 12/15/47 | 370,000 | 389,980 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class AS | ||||
3.56%, 04/15/48 | 480,000 | 496,390 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25, Class A4 | ||||
3.37%, 10/15/48 | 1,400,000 | 1,468,004 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27, Class ASB | ||||
3.56%, 12/15/47 | 800,000 | 832,141 |
Par | Value | |||
Morgan Stanley Capital I Trust, Series 2014-CPT, Class B | ||||
3.45%, 07/13/29 144A † γ | $800,000 | $809,862 | ||
Morgan Stanley Capital I Trust, Series 2019-BPR, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.40%, 1.40% Floor), 3.14%, 05/15/36 144A † | 1,050,000 | 1,049,223 | ||
MortgageIT Trust, Series 2005-4, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.28%, 0.28% Floor, 11.50% Cap), 2.07%, 10/25/35† | 238,632 | 239,361 | ||
MSCG Trust, Series 2015-ALDR, Class A2 | ||||
3.46%, 06/07/35 144A † γ | 580,000 | 593,405 | ||
MSCG Trust, Series 2016-SNR, Class C | ||||
5.21%, 11/15/34 144A | 331,500 | 338,315 | ||
Nomura Resecuritization Trust, Series 2014-7R, Class 2A3 | ||||
(Floating, ICE LIBOR USD 1M + 0.20%, 0.20% Floor), 1.91%, 12/26/35 144A † | 193,815 | 193,514 | ||
OBX Trust, Series 2018-1, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 0.65%), 2.44%, 06/25/57 144A † | 618,979 | 617,195 | ||
ResLoc UK PLC, Series 2007-1X, Class A3A | ||||
(Floating, 0.16% - Euribor 3M), 0.00%, 12/15/43(E) † | 990,703 | 1,064,675 | ||
(Floating, ICE LIBOR GBP 3M + 0.16%), 0.96%, 12/15/43(U) † | 247,676 | 312,959 | ||
Ripon Mortgages PLC, Series 1X, Class A1 | ||||
(Floating, ICE LIBOR GBP 3M + 0.80%), 1.60%, 08/20/56(U) † | 153,231 | 203,453 | ||
Ripon Mortgages PLC, Series 1X, Class A2 | ||||
(Floating, ICE LIBOR GBP 3M + 0.80%), 1.60%, 08/20/56(U) † | 2,977,068 | 3,952,810 | ||
Rosslyn Portfolio Trust, Series 2017-ROSS, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.95%, 1.94% Floor), 2.69%, 06/15/33 144A † | 450,000 | 450,090 | ||
Sequoia Mortgage Trust, Series 2003-4, Class 1A2 | ||||
(Floating, ICE LIBOR USD 6M + 0.66%, 0.33% Floor, 11.50% Cap), 2.68%, 07/20/33† | 54,494 | 52,609 | ||
Sequoia Mortgage Trust, Series 6, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.64%, 0.32% Floor, 11.00% Cap), 2.40%, 04/19/27† | 217,495 | 215,222 |
Table of Contents
Par | Value | |||
Shops at Crystals Trust, Series 2016-CSTL, Class A | ||||
3.13%, 07/05/36 144A | $340,000 | $344,222 | ||
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-19XS, Class 2A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor), 2.09%, 10/25/35† | 473,886 | 477,906 | ||
Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.25%, 0.25% Floor, 11.00% Cap), 2.01%, 07/19/35† | 57,472 | 57,183 | ||
Thornburg Mortgage Securities Trust, Series 2003-4, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.64%, 0.32% Floor, 11.50% Cap), 2.43%, 09/25/43† | 6,037 | 6,118 | ||
Thornburg Mortgage Securities Trust, Series 2005-1, Class A3 | ||||
4.46%, 04/25/45† γ | 42,835 | 43,049 | ||
Towd Point Mortgage Funding PLC, Series 2019-GR4A, Class A1 | ||||
(Floating, ICE LIBOR GBP 3M + 1.03%), 1.81%, 10/20/51(U) 144A † | 1,777,854 | 2,364,617 | ||
Tower Bridge Funding No. 1 PLC, Class A | ||||
(Floating, ICE LIBOR GBP 3M + 1.00%), 1.80%, 03/20/56(U) † | 340,464 | 452,549 | ||
Tower Bridge Funding No. 2 PLC, Class A | ||||
(Floating, ICE LIBOR GBP 3M + 0.90%), 1.70%, 03/20/56(U) † | 973,089 | 1,291,021 | ||
Trinity Square PLC, Series 2015-1A, Class A | ||||
(Floating, ICE LIBOR GBP 3M + 1.15%), 1.94%, 07/15/51(U) 144A † | 194,872 | 259,611 | ||
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class D | ||||
4.48%, 12/10/45 144A † γ | 320,000 | 317,032 | ||
Uniform Mortgage Backed Securities | ||||
2.50%, 01/01/50 TBA | 5,000,000 | 4,944,336 | ||
3.00%, 01/01/50 TBA | 29,200,000 | 29,617,469 | ||
3.50%, 01/01/50 TBA | 8,400,000 | 8,641,828 | ||
4.00%, 01/01/50 TBA | 11,000,000 | 11,441,719 | ||
4.50%, 01/01/50 TBA | 7,000,000 | 7,371,055 | ||
3.00%, 02/01/50 TBA | 39,100,000 | 39,621,905 | ||
VNDO Mortgage Trust, Series 2012-6AVE, Class A | ||||
3.00%, 11/15/30 144A | 100,000 | 101,845 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2002-AR19, Class A7 | ||||
4.28%, 02/25/33† γ | 2,830 | 2,881 |
Par | Value | |||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2002-AR6, Class A | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.40%, 1.40% Floor), 3.64%, 06/25/42† | $8,100 | $8,070 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-AR1, Class A1B | ||||
(Floating, ICE LIBOR USD 1M + 0.78%, 0.39% Floor, 10.50% Cap), 2.57%, 01/25/45† | 1,050,026 | 1,045,342 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-AR13, Class A1A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.29%, 0.29% Floor, 10.50% Cap), 2.08%, 10/25/45† | 747,224 | 737,575 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-HY1, Class 1A1 | ||||
3.87%, 02/25/37† γ | 215,716 | 201,880 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-HY1, Class 2A3 | ||||
3.97%, 02/25/37† γ | 135,161 | 134,135 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-OA3, Class 2A1A | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 0.76%, 0.76% Floor), 3.00%, 04/25/47† | 522,434 | 525,565 | ||
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR8, Class 1A1A | ||||
(Floating, ICE LIBOR USD 1M + 0.54%, 0.27% Floor, 10.50% Cap), 2.33%, 07/25/45† | 498,303 | 490,087 | ||
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR8, Class 2A1A | ||||
(Floating, ICE LIBOR USD 1M + 0.58%, 0.29% Floor, 10.50% Cap), 2.37%, 07/25/45† | 103,564 | 102,731 | ||
Waterfall Commercial Mortgage Trust, Series 2015-SBC5, Class A | ||||
4.10%, 09/14/22 144A | 139,068 | 142,774 | ||
Wells Fargo Alternative Loan Trust, Series 2007-PA6, Class A1 | ||||
4.48%, 12/28/37† γ | 369,610 | 368,333 | ||
Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B | ||||
4.28%, 07/15/46† γ | 20,000 | 20,705 | ||
WFRBS Commercial Mortgage Trust, Series 2012-C7, Class XA | ||||
1.35%, 06/15/45 144A † IO γ | 264,025 | 6,387 | ||
WFRBS Commercial Mortgage Trust, Series 2013-C13, Class XA | ||||
1.20%, 05/15/45 144A † IO γ | 2,298,963 | 76,619 |
Table of Contents
Par | Value | |||
WFRBS Commercial Mortgage Trust, Series 2014-C19, Class XA | ||||
1.03%, 03/15/47† IO γ | $907,010 | $28,959 | ||
WFRBS Commercial Mortgage Trust, Series 2014-C21, Class XA | ||||
1.04%, 08/15/47† IO γ | 2,919,706 | 112,183 | ||
WFRBS Commercial Mortgage Trust, Series 2014-C24, Class AS | ||||
3.93%, 11/15/47 | 290,000 | 305,252 | ||
WFRBS Commercial Mortgage Trust, Series 2014-C24, Class C | ||||
4.29%, 11/15/47 | 300,000 | 302,155 | ||
Total Mortgage-Backed Securities (Cost $790,555,611) | 802,614,706 | |||
MUNICIPAL BONDS — 0.6% | ||||
American Municipal Power, Inc., Hydroelectric Projects, Revenue Bond, Series B | ||||
8.08%, 02/15/50 | 600,000 | 1,028,727 | ||
American Municipal Power, Inc., Revenue Bond, Series E | ||||
6.27%, 02/15/50 | 250,000 | 334,375 | ||
Chicago Transit Authority, Revenue Bond, Series A | ||||
6.90%, 12/01/40 | 700,000 | 946,561 | ||
Chicago Transit Authority, Revenue Bond, Series B | ||||
6.90%, 12/01/40 | 300,000 | 405,669 | ||
City of Chicago IL, General Obligation | ||||
7.75%, 01/01/42 | 2,177,000 | 2,732,070 | ||
Northstar Education Finance, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 0.10%, 0.10% Floor), 2.04%, 04/28/30† | 63,471 | 63,348 | ||
Port Authority of New York & New Jersey, Revenue Bond, Series 192 | ||||
4.81%, 10/15/65 | 300,000 | 378,615 | ||
State of California, General Obligation | ||||
7.95%, 03/01/36 | 265,000 | 267,511 | ||
7.55%, 04/01/39 | 410,000 | 658,446 | ||
State of Illinois, General Obligation | ||||
5.10%, 06/01/33 | 1,115,000 | 1,202,929 | ||
6.63%, 02/01/35 | 495,000 | 580,813 | ||
7.35%, 07/01/35 | 465,000 | 564,803 | ||
Utah State Board of Regents, Series 2016-1A | ||||
(Floating, ICE LIBOR USD 1M + 0.75%, 25.00% Cap), 2.54%, 09/25/56† | 1,099,347 | 1,091,349 | ||
Total Municipal Bonds (Cost $9,488,910) | 10,255,216 |
Number of Contracts | Notional Amount | Value | |||
PURCHASED OPTIONS — 0.0% | |||||
Call Options — 0.0% | |||||
10-Year U.S. Treasury Note Future expiration date 2/2020, Strike Price $128.50, Expires 01/24/20 (GSC) | 94 | $12,070,540 | $44,062 | ||
5-Year U.S. Treasury Note Future expiration date 2/2020, Strike Price $118.50, Expires 01/24/20 (GSC) | 197 | 23,362,230 | 67,719 | ||
Long U.S. Treasury Bond Future expiration date 2/2020, Strike Price $156.50, Expires 01/24/20 (GSC) | 17 | 2,650,470 | 15,672 | ||
Long U.S. Treasury Bond Future expiration date 2/2020, Strike Price $157.00, Expires 01/24/20 (GSC) | 28 | 4,365,480 | 20,562 | ||
Long U.S. Treasury Bond Future expiration date 2/2020, Strike Price $167.00, Expires 01/24/20 (GSC) | 252 | 39,289,320 | 3,939 | ||
151,954 | |||||
Put Options — 0.0% | |||||
10-Year U.S. Treasury Note Future expiration date 2/2020, Strike Price $128.00, Expires 01/24/20 (GSC) | 36 | 4,622,760 | 11,813 | ||
5-Year U.S. Treasury Note Future expiration date 3/2020, Strike Price $114.25, Expires 02/21/20 (GSC) | 338 | 40,083,420 | 2,641 | ||
5-Year U.S. Treasury Note Future expiration date 3/2020, Strike Price $114.50, Expires 02/21/20 (GSC) | 216 | 25,615,440 | 1,688 |
Table of Contents
Number of Contracts | Notional Amount | Value | |||
Long U.S. Treasury Bond Future expiration date 2/2020, Strike Price $155.00, Expires 01/24/20 (GSC) | 25 | $3,897,750 | $20,312 | ||
Long U.S. Treasury Bond Future expiration date 2/2020, Strike Price $158.00, Expires 01/24/20 (GSC) | 26 | 4,053,660 | 65,812 | ||
102,266 | |||||
Total Purchased Options (Premiums paid $263,990) | 254,220 |
Par | |||
U.S. TREASURY OBLIGATIONS — 15.1% | |||
U.S. Treasury Bonds | |||
4.38%, 02/15/38 | $10,000 | 13,326 | |
4.25%, 05/15/39 | 4,300,000 | 5,670,037 | |
4.38%, 11/15/39 | 200,000 | 268,199 | |
2.75%, 08/15/42 | 600,000 | 642,422 | |
2.75%, 11/15/42 | 700,000 | 748,904 | |
2.88%, 05/15/43 | 3,200,000 | 3,495,188 | |
3.38%, 05/15/44‡‡ | 19,690,000 | 23,359,955 | |
3.13%, 08/15/44 | 3,300,000 | 3,763,611 | |
3.00%, 11/15/44 | 1,800,000 | 2,011,746 | |
2.88%, 08/15/45 | 3,640,000 | 3,989,781 | |
2.75%, 08/15/47 | 7,940,000 | 8,539,377 | |
3.00%, 02/15/48 | 6,170,000 | 6,956,193 | |
3.13%, 05/15/48 | 5,380,000 | 6,212,534 | |
3.00%, 08/15/48 | 30,000 | 33,885 | |
3.00%, 02/15/49 | 80,000 | 90,514 | |
2.88%, 05/15/49 | 13,460,000 | 14,880,135 | |
2.25%, 08/15/49Δ | 6,380,000 | 6,208,662 | |
2.38%, 11/15/49 | 2,110,000 | 2,109,506 | |
88,993,975 | |||
U.S. Treasury Inflationary Index Bonds | |||
0.13%, 07/15/22 | 783,356 | 786,688 | |
0.38%, 07/15/25 | 3,711,350 | 3,787,658 | |
0.63%, 01/15/26 | 4,732,929 | 4,879,001 | |
0.13%, 07/15/26 | 429,444 | 430,896 | |
0.38%, 07/15/27 | 2,945,684 | 3,005,473 | |
0.50%, 01/15/28 | 4,590,520 | 4,710,445 | |
0.88%, 01/15/29 | 13,249,340 | 14,073,757 | |
2.13%, 02/15/40 | 1,095,398 | 1,432,564 | |
0.75%, 02/15/42 | 239,169 | 248,581 | |
1.38%, 02/15/44 | 4,284,335 | 5,056,088 | |
0.75%, 02/15/45 | 874,280 | 907,401 | |
1.00%, 02/15/46 | 2,400,281 | 2,641,753 | |
0.88%, 02/15/47 | 2,025,571 | 2,172,415 |
Par | Value | |||
1.00%, 02/15/48 | $6,971,181 | $7,720,419 | ||
1.00%, 02/15/49 | 5,461,165 | 6,073,904 | ||
57,927,043 | ||||
U.S. Treasury Notes | ||||
2.00%, 12/31/21‡‡ | 1,500,000 | 1,512,305 | ||
1.88%, 03/31/22‡‡ | 1,900,000 | 1,912,506 | ||
2.13%, 05/15/22 | 60,000 | 60,754 | ||
1.88%, 09/30/22‡‡ | 3,000,000 | 3,023,496 | ||
2.00%, 10/31/22‡‡ | 2,700,000 | 2,730,164 | ||
1.63%, 11/15/22 | 6,300,000 | 6,305,537 | ||
1.75%, 06/30/24 | 3,900,000 | 3,913,025 | ||
2.25%, 11/15/24 | 260,000 | 266,886 | ||
1.50%, 11/30/24Δ | 210,000 | 208,335 | ||
1.75%, 12/31/24 | 820,000 | 822,675 | ||
2.00%, 02/15/25 | 9,760,000 | 9,904,112 | ||
2.88%, 07/31/25 | 2,070,000 | 2,195,534 | ||
2.25%, 11/15/25 | 11,680,000 | 12,001,428 | ||
2.63%, 01/31/26 | 3,120,000 | 3,273,319 | ||
2.25%, 03/31/26 | 3,160,000 | 3,247,764 | ||
2.13%, 05/31/26 | 6,320,000 | 6,448,992 | ||
1.63%, 09/30/26 | 7,930,000 | 7,837,070 | ||
1.63%, 10/31/26 | 7,990,000 | 7,891,842 | ||
1.63%, 11/30/26 | 4,900,000 | 4,838,846 | ||
2.25%, 02/15/27 | 6,618,000 | 6,805,553 | ||
2.25%, 08/15/27 | 8,000,000 | 8,230,312 | ||
2.75%, 02/15/28‡‡ | 1,400,000 | 1,492,914 | ||
2.88%, 05/15/28 | 800,000 | 861,828 | ||
2.88%, 08/15/28‡‡ | 4,130,000 | 4,455,237 | ||
3.13%, 11/15/28 | 8,180,000 | 9,002,154 | ||
2.63%, 02/15/29 | 1,000,000 | 1,060,762 | ||
1.63%, 08/15/29 | 1,990,000 | 1,940,561 | ||
1.75%, 11/15/29Δ | 530,000 | 522,495 | ||
112,766,406 | ||||
U.S. Treasury Strips | ||||
2.26%, 02/15/40Ω ‡‡ | 8,060,000 | 4,964,697 | ||
2.23%, 11/15/40Ω ‡‡ | 4,030,000 | 2,427,460 | ||
2.21%, 08/15/41Ω ‡‡ | 4,030,000 | 2,376,419 | ||
9,768,576 | ||||
Total U.S. Treasury Obligations (Cost $263,466,753) | 269,456,000 |
Shares | |||
MONEY MARKET FUNDS — 4.4% | |||
GuideStone Money Market Fund, 1.53% (Institutional Class)Ø ∞ | 56,396,537 | 56,396,537 | |
Northern Institutional Liquid Assets Portfolio (Shares), 1.57%Ø § | 20,002,584 | 20,002,584 |
Table of Contents
Shares | Value | |||
Northern Institutional U.S. Government Portfolio (Shares), 1.48%Ø | 2,697,542 | $2,697,542 | ||
Total Money Market Funds (Cost $79,096,663) | 79,096,663 |
Par | |||
REPURCHASE AGREEMENTS — 1.5% | |||
Citigroup Global Markets, Inc. | |||
1.82% (dated 12/31/19, due 01/02/20, repurchase price $13,001,314, collateralized by U.S. Treasury Note, 1.750%, due 07/31/24, total market value $13,272,944) | $13,000,000 | 13,000,000 | |
1.59% (dated 12/31/19, due 01/03/20, repurchase price $12,901,709, collateralized by U.S. Treasury Note, 2.500%, due 08/15/23, total market value $13,173,091) | 12,900,000 | 12,900,000 | |
Total Repurchase Agreements (Cost $25,900,000) | 25,900,000 | ||
TOTAL INVESTMENTS —113.2% (Cost $1,969,186,613) | 2,018,501,471 |
Number of Contracts | Notional Amount | |||
WRITTEN OPTIONS — (0.1)% | ||||
Call Options — (0.0)% | ||||
10-Year U.S. Treasury Note Future expiration date 2/2020, Strike Price $129.00, Expires 01/24/20 (GSC) | (17) | $(2,182,970) | (4,516) | |
10-Year U.S. Treasury Note Future expiration date 2/2020, Strike Price $129.50, Expires 01/24/20 (GSC) | (17) | (2,182,970) | (2,391) | |
10-Year U.S. Treasury Note Future expiration date 2/2020, Strike Price $130.00, Expires 01/24/20 (GSC) | (50) | (6,420,500) | (3,906) | |
10-Year U.S. Treasury Note Future expiration date 2/2020, Strike Price $130.00, Expires 01/24/20 (MSCS) | (57) | (7,319,370) | (4,453) | |
10-Year U.S. Treasury Note Future expiration date 2/2020, Strike Price $130.50, Expires 01/24/20 (GSC) | (52) | (6,677,320) | (2,438) |
Number of Contracts | Notional Amount | Value | |||
10-Year U.S. Treasury Note Future expiration date 2/2020, Strike Price $131.00, Expires 01/24/20 (GSC) | (70) | $(8,988,700) | $(2,187) | ||
10-Year U.S. Treasury Note Future expiration date 2/2020, Strike Price $131.50, Expires 01/24/20 (GSC) | (237) | (30,433,170) | (3,704) | ||
10-Year U.S. Treasury Note Future expiration date 2/2020, Strike Price $132.00, Expires 01/24/20 (GSC) | (50) | (6,420,500) | (782) | ||
10-Year U.S. Treasury Note Future expiration date 2/2020, Strike Price $132.50, Expires 01/24/20 (GSC) | (50) | (6,420,500) | (50) | ||
10-Year U.S. Treasury Note Future expiration date 3/2020, Strike Price $130.00, Expires 02/21/20 (GSC) | (78) | (10,015,980) | (19,500) | ||
10-Year U.S. Treasury Note Future expiration date 3/2020, Strike Price $131.50, Expires 02/21/20 (GSC) | (101) | (12,969,410) | (9,469) | ||
10-Year U.S. Treasury Note Future expiration date 3/2020, Strike Price $133.00, Expires 02/21/20 (GSC) | (130) | (16,693,300) | (4,062) | ||
5-Year U.S. Treasury Note Future expiration date 2/2020, Strike Price $118.75, Expires 01/24/20 (GSC) | (53) | (6,285,270) | (11,594) | ||
5-Year U.S. Treasury Note Future expiration date 2/2020, Strike Price $119.00, Expires 01/24/20 (GSC) | (61) | (7,233,990) | (8,102) | ||
5-Year U.S. Treasury Note Future expiration date 2/2020, Strike Price $119.50, Expires 01/24/20 (GSC) | (86) | (10,198,740) | (4,031) |
Table of Contents
Number of Contracts | Notional Amount | Value | |||
5-Year U.S. Treasury Note Future expiration date 2/2020, Strike Price $120.00, Expires 01/24/20 (GSC) | (104) | $(12,333,360) | $(1,625) | ||
5-Year U.S. Treasury Note Future expiration date 3/2020, Strike Price $119.00, Expires 02/21/20 (GSC) | (74) | (8,775,660) | (20,234) | ||
5-Year U.S. Treasury Note Future expiration date 3/2020, Strike Price $119.75, Expires 02/21/20 (GSC) | (28) | (3,320,520) | (2,844) | ||
Long U.S. Treasury Bond Future expiration date 2/2020, Strike Price $161.00, Expires 01/24/20 (GSC) | (32) | (4,989,120) | (3,000) | ||
Long U.S. Treasury Bond Future expiration date 3/2020, Strike Price $160.00, Expires 02/21/20 (GSC) | (34) | (5,300,940) | (16,469) | ||
(125,357) | |||||
Call Swaptions — (0.1)% | |||||
Pay (.1)% (Annually); Receive 6-Month EURIBOR (Semiannually): Interest Rate Swap Maturing 5/29/2025 EUR, Strike Price $(0.10), Expires 05/27/20 (BOA) | 1 | (17,540,000) | (91,661) | ||
Pay (.1)% (Annually); Receive 6-Month EURIBOR (Semiannually): Interest Rate Swap Maturing 5/29/2025 EUR, Strike Price $(0.10), Expires 05/27/20 (JPM) | 1 | (8,640,000) | (45,151) | ||
Pay .065% (Annually); Receive 6-Month EURIBOR (Semiannually): Interest Rate Swap Maturing 9/16/2030 EUR, Strike Price $0.07, Expires 09/14/20 (JPM) | 1 | (1,190,000) | (37,598) |
Number of Contracts | Notional Amount | Value | |||
Pay .065% (Annually); Receive 6-Month EURIBOR (Semiannually): Interest Rate Swap Maturing 9/16/2030 EUR, Strike Price $0.07, Expires 09/14/20 (JPM) | 1 | $(1,190,000) | $(37,598) | ||
Pay .065% (Annually); Receive 6-Month EURIBOR (Semiannually): Interest Rate Swap Maturing 9/16/2030 EUR, Strike Price $0.07, Expires 09/14/20 (JPM) | 1 | (1,370,000) | (43,285) | ||
Pay .065% (Annually); Receive 6-Month EURIBOR (Semiannually): Interest Rate Swap Maturing 9/16/2030 EUR, Strike Price $0.07, Expires 09/14/20 (BOA) | 1 | (1,380,000) | (43,601) | ||
Pay .065% (Annually); Receive 6-Month EURIBOR (Semiannually): Interest Rate Swap Maturing 9/16/2030 EUR, Strike Price $0.07, Expires 09/14/20 (BOA) | 1 | (990,000) | (31,279) | ||
Pay .065% (Annually); Receive 6-Month EURIBOR (Semiannually): Interest Rate Swap Maturing 9/16/2030 EUR, Strike Price $0.07, Expires 09/14/20 (BOA) | 1 | (1,380,000) | (43,601) | ||
Pay .065% (Annually); Receive 6-Month EURIBOR (Semiannually): Interest Rate Swap Maturing 9/16/2030 EUR, Strike Price $0.07, Expires 09/14/20 (DEUT) | 1 | (1,790,000) | (56,555) |
Table of Contents
Number of Contracts | Notional Amount | Value | |||
Pay .065% (Annually); Receive 6-Month EURIBOR (Semiannually): Interest Rate Swap Maturing 9/16/2030 EUR, Strike Price $0.07, Expires 09/14/20 (BOA) | 1 | $(1,790,000) | $(56,555) | ||
Pay .065% (Annually); Receive 6-Month EURIBOR (Semiannually): Interest Rate Swap Maturing 9/16/2030 EUR, Strike Price $0.07, Expires 09/14/20 (BOA) | 1 | (1,930,000) | (60,978) | ||
Pay .065% (Annually); Receive 6-Month LIBOR (Semiannually): Interest Rate Swap Maturing 9/16/2030 EUR, Strike Price $0.07, Expires 09/14/20 (DEUT) | 1 | (1,900,000) | (52,320) | ||
Pay .33% (Annually); Receive 6-Month EURIBOR (Semiannually): Interest Rate Swap Maturing 5/12/2031 EUR, Strike Price $0.33, Expires 05/10/21 (BOA) | 1 | (3,190,000) | (81,525) | ||
Pay .33% (Annually); Receive 6-Month EURIBOR (Semiannually): Interest Rate Swap Maturing 5/12/2031 EUR, Strike Price $0.33, Expires 05/10/21 (BOA) | 1 | (1,960,000) | (50,090) | ||
(731,797) | |||||
Put Options — (0.0)% | |||||
10-Year U.S. Treasury Note Future expiration date 2/2020, Strike Price $127.00, Expires 01/24/20 (GSC) | (142) | (18,234,220) | (13,312) |
Number of Contracts | Notional Amount | Value | |||
10-Year U.S. Treasury Note Future expiration date 2/2020, Strike Price $127.50, Expires 01/24/20 (GSC) | (35) | $(4,494,350) | $(6,563) | ||
5-Year U.S. Treasury Note Future expiration date 2/2020, Strike Price $118.00, Expires 01/24/20 (GSC) | (200) | (23,718,000) | (15,625) | ||
5-Year U.S. Treasury Note Future expiration date 3/2020, Strike Price $118.00, Expires 02/21/20 (GSC) | (28) | (3,320,520) | (5,469) | ||
(40,969) | |||||
Put Swaptions — (0.0)% | |||||
Pay 6-Month EURIBOR (Semiannually); Receive (.35)% (Annually): Interest Rate Swap Maturing 5/29/2025 EUR, Strike Price $(0.35), Expires 05/27/20 (BOA) | 1 | (17,540,000) | (11,828) | ||
Pay 6-Month EURIBOR (Semiannually); Receive (.35)% (Annually): Interest Rate Swap Maturing 5/29/2025 EUR, Strike Price $(0.35), Expires 05/27/20 (JPM) | 1 | (8,640,000) | (5,826) | ||
Pay 6-Month EURIBOR (Semiannually); Receive .065% (Annually): Interest Rate Swap Maturing 9/16/2030 EUR, Strike Price $0.07, Expires 09/14/20 (JPM) | 1 | (1,190,000) | (9,424) |
Table of Contents
Number of Contracts | Notional Amount | Value | |||
Pay 6-Month EURIBOR (Semiannually); Receive .065% (Annually): Interest Rate Swap Maturing 9/16/2030 EUR, Strike Price $0.07, Expires 09/14/20 (JPM) | 1 | $(1,190,000) | $(9,424) | ||
Pay 6-Month EURIBOR (Semiannually); Receive .065% (Annually): Interest Rate Swap Maturing 9/16/2030 EUR, Strike Price $0.07, Expires 09/14/20 (JPM) | 1 | (1,370,000) | (10,850) | ||
Pay 6-Month EURIBOR (Semiannually); Receive .065% (Annually): Interest Rate Swap Maturing 9/16/2030 EUR, Strike Price $0.07, Expires 09/14/20 (BOA) | 1 | (1,380,000) | (10,929) | ||
Pay 6-Month EURIBOR (Semiannually); Receive .065% (Annually): Interest Rate Swap Maturing 9/16/2030 EUR, Strike Price $0.07, Expires 09/14/20 (DEUT) | 1 | (1,790,000) | (14,176) | ||
Pay 6-Month EURIBOR (Semiannually); Receive .065% (Annually): Interest Rate Swap Maturing 9/16/2030 EUR, Strike Price $0.07, Expires 09/14/20 (DEUT) | 1 | (1,900,000) | (15,047) |
Number of Contracts | Notional Amount | Value | |||
Pay 6-Month EURIBOR (Semiannually); Receive .065% (Annually): Interest Rate Swap Maturing 9/16/2030 EUR, Strike Price $0.07, Expires 09/14/20 (BOA) | 1 | $(1,380,000) | $(10,929) | ||
Pay 6-Month EURIBOR (Semiannually); Receive .065% (Annually): Interest Rate Swap Maturing 9/16/2030 EUR, Strike Price $0.07, Expires 09/14/20 (BOA) | 1 | (1,930,000) | (15,284) | ||
Pay 6-Month EURIBOR (Semiannually); Receive .065% (Annually): Interest Rate Swap Maturing 9/16/2030 EUR, Strike Price $0.07, Expires 09/14/20 (BOA) | 1 | (1,790,000) | (14,176) | ||
Pay 6-Month EURIBOR (Semiannually); Receive .33% (Annually): Interest Rate Swap Maturing 5/12/2031 EUR, Strike Price $0.33, Expires 05/10/21 (BOA) | 1 | (3,190,000) | (73,387) | ||
Pay 6-Month EURIBOR (Semiannually); Receive .33% (Annually): Interest Rate Swap Maturing 5/12/2031 EUR, Strike Price $0.33, Expires 05/10/21 (BOA) | 1 | (1,960,000) | (45,091) |
Table of Contents
Number of Contracts | Notional Amount | Value | |||
Pay 6-Month LIBOR (Semiannually); Receive .065% (Annually): Interest Rate Swap Maturing 9/16/2030 EUR, Strike Price $0.07, Expires 09/14/20 (BOA) | 1 | $(990,000) | $(9,535) | ||
(255,906) | |||||
Total Written Options (Premiums received $ (1,439,289)) | (1,154,029) |
Par | |||
TBA SALE COMMITMENTS — (4.6)% | |||
Government National Mortgage Association 3.00%, 01/01/50 TBA | $(1,000,000) | (1,027,461) | |
Government National Mortgage Association 4.50%, 01/01/50 TBA | (7,000,000) | (7,319,375) |
Par | Value | |||
Uniform Mortgage Backed Securities 3.50%, 02/01/50 TBA | $(8,000,000) | $(8,226,410) | ||
Uniform Mortgage Backed Securities 5.00%, 01/01/50 TBA | (5,000,000) | (5,346,094) | ||
Uniform Mortgage Backed Securities 4.00%, 02/01/50 TBA | (6,400,000) | (6,659,750) | ||
Uniform Mortgage Backed Securities 3.00%, 02/01/50 TBA | (8,000,000) | (8,106,784) | ||
Uniform Mortgage Backed Securities 3.50%, 01/01/50 TBA | (34,900,000) | (35,904,738) | ||
Uniform Mortgage Backed Securities 3.00%, 01/01/50 TBA | (9,100,000) | (9,230,101) | ||
Total TBA Sale Commitments (Proceeds $(81,674,500)) | (81,820,713) | |||
Liabilities in Excess of Other Assets — (8.5)% | (151,328,635) | |||
NET ASSETS — 100.0% | $1,784,198,094 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
30-Day Federal Fund | 12/2019 | (4) | $(1,640,923) | $(42) | ||||
30-Day Federal Fund | 01/2020 | (6) | (2,461,384) | (187) | ||||
30-Day Federal Fund | 02/2020 | (6) | (2,461,197) | 501 | ||||
30-Year Euro Buxl | 03/2020 | (12) | (2,670,274) | 65,055 | ||||
Euro-Bobl | 03/2020 | (33) | (4,946,462) | 14,217 | ||||
Euro-Bund | 03/2020 | (351) | (67,124,765) | 644,676 | ||||
Euro-Bund | 03/2020 | 254 | 48,574,617 | (758,059) | ||||
Euro-Schatz | 03/2020 | (45) | (5,648,573) | 5,159 | ||||
Euro-BTP | 03/2020 | 293 | 46,820,636 | (281,896) | ||||
Euro-OAT | 03/2020 | (84) | (15,336,646) | 190,734 | ||||
10-Year Japanese Treasury Bond | 03/2020 | (9) | (12,605,218) | 18,901 | ||||
10-Year Japanese Treasury Bond | 03/2020 | 7 | 9,804,059 | (2,878) | ||||
10-Year Commonwealth Treasury Bond | 03/2020 | (3) | (300,963) | (121) | ||||
3-Year Australian Bond | 03/2020 | (7) | (564,976) | (79) | ||||
90-Day Eurodollar | 03/2020 | (735) | (180,561,937) | 9,487 | ||||
3-Month SOFR | 03/2020 | 29 | 7,136,900 | 97 | ||||
10-Year U.S. Treasury Note | 03/2020 | 1,094 | 140,493,531 | (1,001,419) | ||||
U.S. Treasury Long Bond | 03/2020 | (538) | (83,877,563) | 1,894,138 | ||||
Ultra 10-Year U.S. Treasury Note | 03/2020 | 3 | 422,109 | 10,389 | ||||
Ultra Long U.S. Treasury Bond | 03/2020 | 688 | 124,979,500 | (3,751,588) | ||||
Long GILT | 03/2020 | (119) | (20,709,091) | 157,955 | ||||
2-Year U.S. Treasury Note | 03/2020 | 596 | 128,438,000 | (100,946) | ||||
2-Year U.S. Treasury Note | 03/2020 | (19) | (4,094,500) | (4,649) | ||||
30-Day Federal Fund | 03/2020 | (3) | (1,230,598) | 437 | ||||
5-Year U.S. Treasury Note | 03/2020 | 3,137 | 372,077,609 | (1,199,974) | ||||
90-Day Eurodollar | 06/2020 | 190 | 46,697,250 | 435,825 | ||||
3-Month Euro Euribor | 09/2020 | (128) | (36,029,007) | 96,624 | ||||
3-Month Euro Euribor | 12/2020 | (182) | (51,223,640) | 114,970 | ||||
90-Day Eurodollar | 12/2020 | 235 | 57,798,250 | (73,510) | ||||
90-Day Eurodollar | 03/2021 | 317 | 78,013,700 | 42,847 |
Table of Contents
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
90-Day Eurodollar | 06/2021 | (91) | $(22,395,100) | $53,475 | ||||
Total Futures Contracts outstanding at December 31, 2019 | $545,373,344 | $(3,419,861) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
01/17/20 | Mexican Pesos | 86,939,366 | U.S. Dollars | 4,334,982 | BAR | $250,816 | ||||||
01/17/20 | Brazilian Reals | 16,965,148 | U.S. Dollars | 4,054,340 | CITI | 160,936 | ||||||
01/28/20 | Mexican Pesos | 53,435,000 | U.S. Dollars | 2,653,112 | GSC | 160,519 | ||||||
01/17/20 | Indonesian Rupiahs | 53,935,795,049 | U.S. Dollars | 3,745,021 | BAR | 142,293 | ||||||
01/22/20 | Mexican Pesos | 27,412,000 | U.S. Dollars | 1,364,019 | JPM | 80,740 | ||||||
04/22/20 | Mexican Pesos | 63,864,000 | U.S. Dollars | 3,246,541 | BNP | 74,904 | ||||||
03/18/20 | Norwegian Kroner | 10,935,720 | U.S. Dollars | 1,196,566 | UBS | 49,344 | ||||||
01/17/20 | Canadian Dollars | 3,789,664 | U.S. Dollars | 2,872,010 | CITI | 46,638 | ||||||
03/18/20 | Norwegian Kroner | 10,935,720 | Euro | 1,073,919 | JPM | 35,361 | ||||||
01/17/20 | Australian Dollars | 935,862 | U.S. Dollars | 628,991 | CITI | 28,042 | ||||||
03/18/20 | Euro | 2,088,943 | U.S. Dollars | 2,331,263 | BOA | 23,449 | ||||||
01/17/20 | Euro | 2,260,000 | U.S. Dollars | 2,521,501 | CITI | 16,308 | ||||||
03/18/20 | Euro | 2,088,943 | U.S. Dollars | 2,340,671 | UBS | 14,040 | ||||||
01/17/20 | Indian Rupees | 175,367,400 | U.S. Dollars | 2,447,983 | BAR | 7,981 | ||||||
03/18/20 | Australian Dollars | 409,277 | U.S. Dollars | 280,297 | DEUT | 7,471 | ||||||
03/18/20 | Canadian Dollars | 734,326 | U.S. Dollars | 558,593 | RBC | 7,059 | ||||||
01/10/20 | Euro | 622,000 | U.S. Dollars | 691,101 | BAR | 7,044 | ||||||
03/18/20 | New Zealand Dollars | 505,906 | U.S. Dollars | 334,068 | BOA | 6,895 | ||||||
02/12/20 | British Pounds | 478,000 | U.S. Dollars | 627,091 | UBS | 6,843 | ||||||
02/20/20 | Euro | 334,952 | U.S. Dollars | 370,913 | SS | 6,005 | ||||||
01/22/20 | Mexican Pesos | 63,864,000 | U.S. Dollars | 3,359,972 | BNP | 6,000 | ||||||
01/17/20 | U.S. Dollars | 283,049 | Japanese Yen | 30,087,237 | BAR | 5,876 | ||||||
01/10/20 | British Pounds | 655,000 | U.S. Dollars | 862,187 | BNP | 5,684 | ||||||
01/16/20 | Mexican Pesos | 2,111,000 | U.S. Dollars | 106,882 | BNP | 4,485 | ||||||
03/18/20 | Swiss Francs | 216,944 | U.S. Dollars | 222,028 | JPM | 3,387 | ||||||
03/18/20 | Swiss Francs | 352,033 | Euro | 322,033 | UBS | 2,776 | ||||||
03/18/20 | New Zealand Dollars | 168,020 | U.S. Dollars | 110,896 | DEUT | 2,344 | ||||||
03/18/20 | Canadian Dollars | 291,099 | U.S. Dollars | 222,051 | JPM | 2,183 | ||||||
03/18/20 | Euro | 199,945 | U.S. Dollars | 223,297 | DEUT | 2,086 | ||||||
03/18/20 | New Zealand Dollars | 168,008 | U.S. Dollars | 111,151 | SS | 2,081 | ||||||
03/18/20 | Australian Dollars | 321,071 | U.S. Dollars | 223,725 | SS | 2,025 | ||||||
03/18/20 | Australian Dollars | 163,008 | U.S. Dollars | 112,630 | WEST | 1,984 | ||||||
03/18/20 | Swedish Kronor | 1,052,790 | U.S. Dollars | 111,035 | DEUT | 1,791 | ||||||
03/18/20 | Swiss Francs | 218,528 | Euro | 200,069 | JPM | 1,538 | ||||||
03/18/20 | Australian Dollars | 162,047 | U.S. Dollars | 112,466 | JPM | 1,471 | ||||||
03/18/20 | Canadian Dollars | 146,958 | U.S. Dollars | 111,930 | BOA | 1,271 | ||||||
03/18/20 | Canadian Dollars | 145,725 | U.S. Dollars | 111,000 | DEUT | 1,252 | ||||||
03/18/20 | Swiss Francs | 444,357 | British Pounds | 347,147 | CITI | 886 | ||||||
03/18/20 | Swiss Francs | 109,956 | Japanese Yen | 12,267,424 | JPM | 842 | ||||||
03/18/20 | New Zealand Dollars | 170,070 | Canadian Dollars | 147,830 | CITI | 747 | ||||||
03/18/20 | Canadian Dollars | 147,240 | Euro | 99,963 | RBC | 739 | ||||||
03/18/20 | Japanese Yen | 12,068,194 | U.S. Dollars | 110,932 | SS | 633 | ||||||
01/16/20 | U.S. Dollars | 111,764 | Mexican Pesos | 2,111,000 | RBS | 398 | ||||||
03/18/20 | Canadian Dollars | 296,140 | Euro | 202,048 | DEUT | 363 |
Table of Contents
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
03/18/20 | British Pounds | 83,024 | U.S. Dollars | 109,952 | RBC | $259 | ||||||
03/18/20 | Norwegian Kroner | 83,865 | Euro | 8,278 | UBS | 224 | ||||||
03/18/20 | Canadian Dollars | 145,007 | Swiss Francs | 107,378 | JPM | 128 | ||||||
03/18/20 | Australian Dollars | 162,152 | Euro | 101,043 | JPM | 114 | ||||||
03/18/20 | New Zealand Dollars | 104,706 | U.S. Dollars | 70,458 | JPM | 110 | ||||||
03/18/20 | Euro | 42,505 | Canadian Dollars | 62,156 | JPM | 34 | ||||||
Subtotal Appreciation | $1,186,399 | |||||||||||
03/18/20 | Euro | 100,028 | British Pounds | 84,996 | JPM | $(74) | ||||||
02/12/20 | Mexican Pesos | 754,000 | U.S. Dollars | 39,750 | RBS | (133) | ||||||
01/22/20 | Mexican Pesos | 1,357,000 | U.S. Dollars | 71,775 | RBS | (254) | ||||||
03/18/20 | Swedish Kronor | 1,924,166 | Euro | 183,235 | UBS | (337) | ||||||
03/18/20 | Australian Dollars | 161,019 | Canadian Dollars | 147,428 | RBC | (349) | ||||||
03/18/20 | U.S. Dollars | 113,438 | Euro | 101,049 | CITI | (467) | ||||||
03/18/20 | Swedish Kronor | 1,047,393 | Euro | 100,027 | SS | (505) | ||||||
03/18/20 | Japanese Yen | 23,950,819 | U.S. Dollars | 221,978 | SS | (562) | ||||||
03/18/20 | U.S. Dollars | 74,812 | British Pounds | 56,892 | SS | (710) | ||||||
03/18/20 | British Pounds | 84,208 | Euro | 100,010 | CITI | (951) | ||||||
03/18/20 | Japanese Yen | 68,008,113 | U.S. Dollars | 629,765 | UBS | (1,058) | ||||||
03/18/20 | U.S. Dollars | 142,255 | British Pounds | 107,972 | UBS | (1,073) | ||||||
03/18/20 | Swedish Kronor | 2,091,279 | Euro | 199,979 | JPM | (1,302) | ||||||
03/18/20 | U.S. Dollars | 92,833 | British Pounds | 71,006 | BOA | (1,425) | ||||||
03/18/20 | Japanese Yen | 12,036,076 | Euro | 100,023 | DEUT | (1,480) | ||||||
03/18/20 | Euro | 202,035 | British Pounds | 172,692 | UBS | (1,503) | ||||||
03/18/20 | Canadian Dollars | 146,053 | Norwegian Kroner | 1,000,708 | CITI | (1,506) | ||||||
03/18/20 | U.S. Dollars | 291,561 | Euro | 260,004 | UBS | (1,523) | ||||||
03/18/20 | Euro | 100,042 | Norwegian Kroner | 1,004,069 | UBS | (1,625) | ||||||
03/18/20 | British Pounds | 83,612 | Euro | 99,954 | UBS | (1,679) | ||||||
03/18/20 | Japanese Yen | 12,041,752 | Australian Dollars | 160,971 | DEUT | (1,860) | ||||||
03/18/20 | British Pounds | 84,039 | U.S. Dollars | 113,575 | CITI | (2,017) | ||||||
03/18/20 | U.S. Dollars | 224,541 | Euro | 201,033 | JPM | (2,068) | ||||||
03/18/20 | British Pounds | 85,450 | U.S. Dollars | 115,544 | BOA | (2,113) | ||||||
03/18/20 | U.S. Dollars | 112,393 | Australian Dollars | 162,983 | CITI | (2,202) | ||||||
03/18/20 | U.S. Dollars | 111,877 | British Pounds | 85,952 | RBC | (2,221) | ||||||
03/18/20 | British Pounds | 84,046 | Canadian Dollars | 147,962 | WEST | (2,407) | ||||||
03/18/20 | Euro | 100,008 | Norwegian Kroner | 1,012,210 | SS | (2,589) | ||||||
03/18/20 | U.S. Dollars | 224,443 | British Pounds | 171,043 | DEUT | (2,610) | ||||||
03/18/20 | U.S. Dollars | 449,304 | Euro | 400,935 | BOA | (2,641) | ||||||
03/18/20 | Swedish Kronor | 1,046,560 | Norwegian Kroner | 1,013,980 | CITI | (3,365) | ||||||
03/18/20 | British Pounds | 84,027 | Swiss Francs | 110,681 | BOA | (3,461) | ||||||
03/18/20 | U.S. Dollars | 137,481 | Australian Dollars | 200,951 | JPM | (3,810) | ||||||
03/18/20 | U.S. Dollars | 221,959 | Swiss Francs | 217,304 | SS | (3,830) | ||||||
03/18/20 | Swedish Kronor | 1,043,953 | Norwegian Kroner | 1,018,034 | JPM | (4,106) | ||||||
03/18/20 | U.S. Dollars | 223,529 | Australian Dollars | 324,024 | UBS | (4,297) | ||||||
04/22/20 | U.S. Dollars | 3,316,146 | Mexican Pesos | 63,864,000 | BNP | (5,299) | ||||||
03/18/20 | U.S. Dollars | 222,337 | Australian Dollars | 323,944 | BOA | (5,432) | ||||||
03/18/20 | U.S. Dollars | 332,802 | Swiss Francs | 325,598 | DEUT | (5,511) | ||||||
03/18/20 | Euro | 199,975 | Norwegian Kroner | 2,045,291 | JPM | (7,604) | ||||||
01/17/20 | U.S. Dollars | 631,399 | Euro | 570,000 | BAR | (8,668) | ||||||
01/17/20 | U.S. Dollars | 413,468 | Chinese Offshore Yuan | 2,957,482 | CITI | (11,224) | ||||||
03/18/20 | U.S. Dollars | 958,724 | Swedish Kronor | 9,071,961 | UBS | (13,507) | ||||||
03/18/20 | U.S. Dollars | 956,569 | Swedish Kronor | 9,071,961 | SS | (15,661) | ||||||
01/17/20 | U.S. Dollars | 231,134 | British Pounds | 188,429 | CITI | (18,586) | ||||||
03/18/20 | U.S. Dollars | 936,713 | Canadian Dollars | 1,241,491 | RBC | (19,609) | ||||||
03/18/20 | U.S. Dollars | 1,049,880 | Canadian Dollars | 1,388,722 | CITI | (19,853) | ||||||
03/18/20 | U.S. Dollars | 763,615 | New Zealand Dollars | 1,162,603 | DEUT | (19,938) |
Table of Contents
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
03/18/20 | U.S. Dollars | 762,945 | New Zealand Dollars | 1,162,603 | CITI | $(20,607) | ||||||
03/18/20 | U.S. Dollars | 1,463,575 | Swiss Francs | 1,437,040 | CITI | (29,583) | ||||||
02/14/20 | Japanese Yen | 2,611,700,000 | U.S. Dollars | 24,128,008 | HSBC | (30,063) | ||||||
03/18/20 | U.S. Dollars | 1,684,235 | Swiss Francs | 1,655,014 | UBS | (35,409) | ||||||
01/22/20 | U.S. Dollars | 1,397,659 | Mexican Pesos | 27,412,000 | HSBC | (47,100) | ||||||
01/17/20 | U.S. Dollars | 12,648,503 | Euro | 11,307,307 | CITI | (48,744) | ||||||
01/17/20 | U.S. Dollars | 2,270,345 | Chinese Yuan Renminbi | 16,228,427 | CITI | (59,436) | ||||||
01/17/20 | U.S. Dollars | 2,706,683 | Chinese Yuan Renminbi | 19,300,000 | BAR | (64,059) | ||||||
01/17/20 | U.S. Dollars | 2,962,739 | Mexican Pesos | 57,432,696 | CITI | (66,668) | ||||||
01/22/20 | U.S. Dollars | 3,356,566 | Mexican Pesos | 65,221,000 | GSC | (80,928) | ||||||
01/28/20 | U.S. Dollars | 2,721,499 | Mexican Pesos | 53,435,000 | HSBC | (92,132) | ||||||
01/17/20 | U.S. Dollars | 4,594,798 | Philippine Pesos | 238,833,000 | CITI | (116,524) | ||||||
02/12/20 | U.S. Dollars | 6,373,964 | British Pounds | 4,927,966 | DEUT | (161,613) | ||||||
03/18/20 | U.S. Dollars | 5,778,422 | Chinese Offshore Yuan | 41,630,640 | DEUT | (191,216) | ||||||
01/17/20 | U.S. Dollars | 5,362,003 | Russian Rubles | 346,272,014 | CITI | (204,953) | ||||||
01/10/20 | U.S. Dollars | 18,934,441 | Euro | 17,132,000 | GSC | (294,860) | ||||||
03/18/20 | U.S. Dollars | 9,891,384 | Chinese Offshore Yuan | 71,339,632 | RBS | (338,384) | ||||||
01/10/20 | U.S. Dollars | 17,165,859 | British Pounds | 13,256,000 | BNP | (398,255) | ||||||
Subtotal Depreciation | $(2,495,539) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at December 31, 2019 | $(1,309,140) |
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 Sovereign Issuers—Buy Protection | ||||||||||||||||
Credit Suisse (USA), Inc. 6.5% due 1/15/18 (Pay Quarterly) | (1.00)% | 9/20/2020 | GSC | USD | 300,000 | $(1,973) | $6,900 | $(8,873) | ||||||||
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | (1.00)% | 12/20/2020 | JPM | USD | 590,000 | (5,719) | 2,495 | (8,214) | ||||||||
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | (1.00)% | 12/20/2020 | CITI | USD | 330,000 | (3,199) | 2,663 | (5,862) | ||||||||
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | (1.00)% | 12/20/2020 | BOA | USD | 300,000 | (2,908) | 1,691 | (4,599) | ||||||||
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | (1.00)% | 6/20/2021 | CITI | USD | 920,000 | (12,912) | 6,695 | (19,607) | ||||||||
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | (1.00)% | 6/20/2021 | BOA | USD | 520,000 | (7,298) | 6,077 | (13,375) | ||||||||
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | (1.00)% | 6/20/2021 | DEUT | USD | 360,000 | (5,052) | 2,602 | (7,654) | ||||||||
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | (1.00)% | 6/20/2021 | JPM | USD | 320,000 | (4,492) | 1,224 | (5,716) | ||||||||
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | (1.00)% | 12/20/2021 | DEUT | USD | 430,000 | (7,898) | 1,639 | (9,537) | ||||||||
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | (1.00)% | 12/20/2021 | JPM | USD | 220,000 | (4,041) | 846 | (4,887) | ||||||||
Peoples Republic of China, 7.5% due 10/28/27 (Pay Quarterly) | (1.00)% | 6/20/2022 | JPM | USD | 810,000 | (17,783) | (10,263) | (7,520) | ||||||||
Peoples Republic of China, 7.5% due 10/28/27 (Pay Quarterly) | (1.00)% | 6/20/2022 | CITI | USD | 130,000 | (2,854) | (2,277) | (577) | ||||||||
$(76,129) | $20,292 | $(96,421) |
Table of Contents
Reference Obligation | Implied Credit Spread | Fixed Deal (Pay) Rate | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Credit Default Swaps on Corporate and Sovereign Issuers—Sell Protection | ||||||||||||||||
Ford Motor Credit Company LLC, 3.81% due 01/9/24 (Receive Quarterly) | 1.18% | 5.00% | 12/20/2023 | USD | 1,600,000 | $234,187 | $222,127 | $12,060 | ||||||||
General Electric Company, 2.70% due 10/9/22 (Receive Quarterly) | 0.65% | 1.00% | 12/20/2023 | USD | 600,000 | 8,186 | (25,420) | 33,606 | ||||||||
General Electric Co., 2.70% due 10/9/22 (Receive Quarterly) | 0.77% | 1.00% | 6/20/2024 | USD | 1,000,000 | 10,310 | (20,253) | 30,563 | ||||||||
General Electric Company, 2.70% due 10/9/22 (Receive Quarterly) | 0.77% | 1.00% | 6/20/2024 | USD | 1,150,000 | 11,856 | (14,613) | 26,469 | ||||||||
Prudential Financial Inc., 3.50% due 05/15/24 (Receive Quarterly) | 0.46% | 1.00% | 6/20/2024 | USD | 1,075,000 | 25,406 | 18,590 | 6,816 | ||||||||
Republic of Colombia, 10.38% due 01/28/33 (Receive Quarterly) | 0.63% | 1.00% | 6/20/2024 | USD | 1,000,000 | 16,213 | 5,985 | 10,228 | ||||||||
Republic of Indonesia, 5.88% due 03/13/20 (Receive Quarterly) | 0.56% | 1.00% | 6/20/2024 | USD | 3,470,000 | 67,323 | 4,023 | 63,300 | ||||||||
General Electric Company, 2.70% due 10/9/22 (Receive Quarterly) | 0.86% | 1.00% | 12/20/2024 | USD | 600,000 | 4,234 | (9,660) | 13,894 | ||||||||
Republic of Peru 8.75% 11/21/33 (Receive Quarterly) | 0.42% | 1.00% | 12/20/2024 | USD | 1,000,000 | 28,059 | 21,212 | 6,847 | ||||||||
Subtotal Appreciation | $405,774 | $201,991 | $203,783 | |||||||||||||
The Boeing Company, 8.75% due 08/15/21 (Receive Quarterly) | 0.48% | 1.00% | 6/20/2024 | USD | 475,000 | $10,791 | $11,979 | $(1,188) | ||||||||
Subtotal Depreciation | $10,791 | $11,979 | $(1,188) | |||||||||||||
Net Centrally Cleared Credit Default Swaps on Corporate and Sovereign Issuers—Sell Protection outstanding at December 31, 2019 | $416,565 | $213,970 | $202,595 |
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 Indexes—Sell Protection | ||||||||||||||||||
Markit CMBX.NA.AAA.7 Index (Receive Monthly) | 17.70% | 0.50% | 1/17/2047 | GSC | USD | 1,692,340 | $19,950 | $(75,337) | $95,287 | |||||||||
Markit CMBX.NA.AAA.8 Index (Receive Monthly) | 21.51% | 0.50% | 10/17/2057 | DEUT | USD | 1,700,000 | 22,227 | (116,926) | 139,153 | |||||||||
Markit CMBX.NA.AAA.8 Index (Receive Monthly) | 21.51% | 0.50% | 10/17/2057 | GSC | USD | 1,700,000 | 22,227 | (102,781) | 125,008 | |||||||||
$64,404 | $(295,044) | $359,448 |
Reference Obligation | Implied Credit Spread | Fixed Deal (Pay) Rate | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Credit Default Swaps on Credit Indexes—Sell Protection | ||||||||||||||||
Markit CDX.NA.IG.31 Index (Receive Quarterly) | 0.34% | 1.00% | 12/20/2023 | USD | 1,100,000 | $28,158 | $13,698 | $14,460 | ||||||||
Markit CDX.NA.IG.32 Index (Receive Quarterly) | 0.39% | 1.00% | 6/20/2024 | USD | 19,400,000 | 512,140 | 410,346 | 101,794 | ||||||||
Markit CDX.NA.HY.33 Index (Receive Quarterly) | 2.80% | 5.00% | 12/20/2024 | USD | 594,000 | 58,229 | 44,402 | 13,827 | ||||||||
Markit CDX.NA.IG.33 Index (Receive Quarterly) | 0.45% | 1.00% | 12/20/2024 | USD | 51,520,000 | 1,353,208 | 1,014,562 | 338,646 | ||||||||
$1,951,735 | $1,483,008 | $468,727 |
Table of Contents
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Interest Rate Swaps | ||||||||||||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 8.41% (Upon termination) | 1/2/2020 | CITI | BRL | 78,587,424 | $790,913 | $26,940 | $763,973 | ||||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 7.02% (Upon termination) | 1/4/2027 | CITI | BRL | 15,744,748 | 268,266 | 10,600 | 257,666 | ||||||||
$1,059,179 | $37,540 | $1,021,639 |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
Centrally Cleared Interest Rate Swaps | ||||||||||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 7.25% (Upon Termination) | 1/2/2020 | BRL | 5,846,182 | $19,179 | $1,688 | $17,491 | |||||||
0.78% (Semiannually) | 6-Month ASX BBSW (Semiannually) | 6/17/2021 | AUD | 46,370,000 | 66,297 | 23,053 | 43,244 | |||||||
1.35% (Annually) | 1-Day US Federal Fund Effective Rate (Annually) | 9/15/2021 | USD | 16,642,000 | 31,529 | (3,165) | 34,694 | |||||||
28-Day Mexico Interbank TIIE (Lunar) | 6.60% (Lunar) | 3/16/2022 | MXN | 61,910,000 | 3,334 | (1,092) | 4,426 | |||||||
1.50% (Semiannually) | 3-Month LIBOR (Quarterly) | 3/18/2022 | USD | 3,040,000 | 8,931 | 4,305 | 4,626 | |||||||
1.75% (Semiannually) | 3-Month LIBOR (Quarterly) | 3/18/2022 | USD | 18,210,000 | (35,599) | (60,068) | 24,469 | |||||||
3-Month KWCDC (Quarterly) | 1.50% (Quarterly) | 3/18/2022 | KRW | 14,428,650,000 | 48,253 | 42,455 | 5,798 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 6.66% (Upon termination) | 1/2/2023 | BRL | 2,430,906 | 20,610 | 6,512 | 14,098 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 5.75% (Upon termination) | 1/2/2023 | BRL | 1,874,767 | 657 | — | 657 | |||||||
6.26% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2025 | BRL | 1,103,247 | 143 | 44 | 99 | |||||||
1.75% (Semiannually) | 3-Month LIBOR (Quarterly) | 3/18/2025 | USD | 7,280,000 | (7,477) | (31,672) | 24,195 | |||||||
2.00% (Annually) | 6-Month NIBOR (Semiannually) | 3/18/2025 | NOK | 23,330,000 | 902 | (7,589) | 8,491 | |||||||
1.55% (Semiannually) | 3-Month LIBOR (Quarterly) | 6/30/2026 | USD | 90,481,000 | 1,323,759 | 269,259 | 1,054,500 | |||||||
1.52% (Semiannually) | 3-Month LIBOR (Quarterly) | 7/31/2026 | USD | 27,559,000 | 459,216 | 100,854 | 358,362 | |||||||
1.33% (Annually) | 1-Day US Federal Fund Effective Rate (Annually) | 11/16/2026 | USD | 11,340,000 | 163,211 | (11,706) | 174,917 | |||||||
3.00% (Semiannually) | 3-Month LIBOR (Quarterly) | 6/19/2029 | USD | 2,940,000 | (126,337) | (154,599) | 28,262 | |||||||
28-Day Mexico Interbank TIIE (Lunar) | 7.45% (Lunar) | 7/18/2029 | MXN | 165,770,000 | 417,749 | 68,836 | 348,913 | |||||||
0.50% (Annually) | 3-Month STIBOR (Quarterly) | 3/18/2030 | SEK | 40,780,000 | 90,035 | 36,224 | 53,811 | |||||||
0.75% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/18/2030 | GBP | 7,700,000 | 271,989 | 79,664 | 192,325 | |||||||
1.00% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/18/2030 | GBP | 1,590,000 | 5,482 | (2,804) | 8,286 | |||||||
2.00% (Annually) | 6-Month NIBOR (Semiannually) | 3/18/2030 | NOK | 16,270,000 | 11,976 | (8,031) | 20,007 | |||||||
0.00% (Annually) | 6-Month EURIBOR (Semiannually) | 9/16/2030 | EUR | 7,360,000 | 227,015 | 195,991 | 31,024 | |||||||
1.81% (Semiannually) | 3-Month LIBOR (Quarterly) | 11/15/2044 | USD | 1,972,000 | 116,219 | 2,639 | 113,580 | |||||||
1.85% (Semiannually) | 3-Month LIBOR (Quarterly) | 11/15/2044 | USD | 18,289,000 | 929,066 | 31,208 | 897,858 | |||||||
1.84% (Semiannually) | 3-Month LIBOR (Quarterly) | 5/15/2045 | USD | 7,870,000 | 388,778 | 17,181 | 371,597 | |||||||
1.00% (Semiannually) | 6-Month LIBOR (Semiannually) | 6/17/2050 | GBP | 1,200,000 | 47,348 | 22,024 | 25,324 | |||||||
Subtotal Appreciation | $4,482,265 | $621,211 | $3,861,054 | |||||||||||
8.36% (Lunar) | 28-Day Mexico Interbank TIIE (Lunar) | 3/18/2020 | MXN | 120,475,000 | $(11,125) | $(1,952) | $(9,173) | |||||||
1-Day US Federal Fund Effective Rate (Annually) | 1.26% (Annually) | 12/15/2021 | USD | 10,770,000 | (31,941) | (370) | (31,571) |
Table of Contents
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 5.44% (Upon termination) | 1/3/2022 | BRL | 4,734,117 | $5,899 | $6,757 | $(858) | |||||||
3-Month CDOR (Semiannually) | 1.75% (Semiannually) | 3/18/2022 | CAD | 27,530,000 | (96,747) | (90,803) | (5,944) | |||||||
6-Month LIBOR (Semiannually) | 0.10% (Semiannually) | 3/20/2024 | JPY | 800,000,000 | 29,038 | 42,931 | (13,893) | |||||||
1-Month LIBOR + .09% (Quarterly) | 3-Month LIBOR (Quarterly) | 7/25/2024 | USD | 25,000,000 | 273 | 406 | (133) | |||||||
3-Month CDOR (Semiannually) | 1.75% (Semiannually) | 3/18/2025 | CAD | 6,420,000 | (72,933) | (48,977) | (23,956) | |||||||
6-Month ASX BBSW (Semiannually) | 1.50% (Semiannually) | 3/18/2025 | AUD | 5,150,000 | 51,975 | 59,273 | (7,298) | |||||||
6-Month EURIBOR (Semiannually) | 0.00% (Annually) | 3/18/2025 | EUR | 1,990,000 | 12,024 | 20,148 | (8,124) | |||||||
1.55% (Annually) | 1-Day US Federal Fund Effective Rate (Annually) | 11/15/2026 | USD | 19,443,000 | 12,928 | 25,179 | (12,251) | |||||||
6-Month ASX BBSW (Semiannually) | 1.20% (Semiannually) | 6/17/2027 | AUD | 5,920,000 | (50,229) | (22,343) | (27,886) | |||||||
3-Month CDOR (Semiannually) | 3.00% (Semiannually) | 6/19/2029 | CAD | 3,900,000 | 98,319 | 152,196 | (53,877) | |||||||
3-Month LIBOR (Quarterly) | 1.65% (Semiannually) | 8/15/2029 | USD | 6,940,000 | (135,613) | (4,859) | (130,754) | |||||||
3-Month CDOR (Semiannually) | 2.00% (Semiannually) | 3/18/2030 | CAD | 1,620,000 | (19,861) | (5,116) | (14,745) | |||||||
3-Month LIBOR (Quarterly) | 2.00% (Semiannually) | 3/18/2030 | USD | 1,800,000 | 16,575 | 40,064 | (23,489) | |||||||
6-Month ASX BBSW (Semiannually) | 1.75% (Semiannually) | 3/18/2030 | AUD | 1,470,000 | 19,421 | 42,227 | (22,806) | |||||||
6-Month EURIBOR (Semiannually) | 0.50% (Annually) | 3/18/2030 | EUR | 3,010,000 | 96,781 | 123,239 | (26,458) | |||||||
6-Month LIBOR (Semiannually) | 0.25% (Semiannually) | 3/19/2030 | JPY | 169,770,000 | 1,794 | 4,346 | (2,552) | |||||||
6-Month NIBOR (Semiannually) | 2.00% (Annually) | 3/19/2030 | NOK | 17,160,000 | (11,974) | 467 | (12,441) | |||||||
0.33% (Annually) | 6-Month EURIBOR (Semiannually) | 5/12/2031 | EUR | 210,000 | 536 | 1,073 | (537) | |||||||
2.04% (Semiannually) | 6-Month LIBOR (Semiannually) | 2/1/2037 | GBP | 2,100,000 | (201,380) | (28,177) | (173,203) | |||||||
2.05% (Semiannually) | 6-Month LIBOR (Semiannually) | 2/1/2037 | GBP | 3,300,000 | (320,411) | (55,813) | (264,598) | |||||||
0.75% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/20/2038 | JPY | 1,469,200,000 | (1,136,936) | 13,013 | (1,149,949) | |||||||
6-Month EURIBOR (Semiannually) | 0.75% (Annually) | 3/18/2040 | EUR | 410,000 | 13,816 | 23,207 | (9,391) | |||||||
Subtotal Depreciation | $(1,729,771) | $296,116 | $(2,025,887) | |||||||||||
Net Centrally Cleared Interest Rate Swaps outstanding at December 31, 2019 | $2,752,494 | $917,327 | $1,835,167 |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
Centrally Cleared Inflation Swaps | ||||||||||||||
1-Day UK RPI (Upon termination) | 3.47% (Upon termination) | 11/15/2025 | GBP | 5,560,000 | $162,967 | $(10,647) | $173,614 | |||||||
1-Day UK RPI (Upon termination) | 3.57% (Upon termination) | 11/15/2028 | GBP | 1,200,000 | 51,355 | (11,878) | 63,233 | |||||||
2.19% (Upon termination) | US CPI Urban Consumers NSA Index (Upon termination) | 11/26/2028 | USD | 1,920,000 | (43,125) | (63,232) | 20,107 | |||||||
Subtotal Appreciation | $171,197 | $(85,757) | $256,954 | |||||||||||
3.29% (Upon termination) | 1-Day UK RPI (Upon termination) | 11/15/2020 | GBP | 6,990,000 | $(186,098) | $(25,031) | $(161,067) | |||||||
Subtotal Depreciation | $(186,098) | $(25,031) | $(161,067) | |||||||||||
Net Centrally Cleared Inflation Swaps outstanding at December 31, 2019 | $(14,901) | $(110,788) | $95,887 |
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Agency Obligations | $14,318,625 | $— | $14,318,625 | $— | |||
Asset-Backed Securities | 101,888,780 | — | 101,888,780 | — | |||
Corporate Bonds | 445,724,033 | — | 445,724,033 | —** | |||
Foreign Bonds: | |||||||
Mexico | 14,961,095 | — | 13,426,031 | 1,535,064 | |||
Other | 242,571,086 | — | 242,571,086 | — | |||
Total Foreign Bonds | 257,532,181 | — | 255,997,117 | 1,535,064 | |||
Loan Agreements | 11,461,047 | — | 11,461,047 | — | |||
Money Market Funds | 79,096,663 | 79,096,663 | — | — | |||
Mortgage-Backed Securities | 802,614,706 | — | 802,614,706 | — | |||
Municipal Bonds | 10,255,216 | — | 10,255,216 | — | |||
Purchased Options: | |||||||
Call Options | 151,954 | 151,954 | — | — | |||
Put Options | 102,266 | 102,266 | — | — | |||
Total Purchased Options | 254,220 | 254,220 | — | — | |||
Repurchase Agreements | 25,900,000 | — | 25,900,000 | — | |||
U.S. Treasury Obligations | 269,456,000 | — | 269,456,000 | — | |||
Total Assets - Investments in Securities | $2,018,501,471 | $79,350,883 | $1,937,615,524 | $1,535,064 | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $1,186,399 | $— | $1,186,399 | $— | |||
Futures Contracts | 3,755,487 | 3,755,487 | — | — | |||
Swap Agreements | 6,171,605 | — | 6,171,605 | — | |||
Total Assets - Other Financial Instruments | $11,113,491 | $3,755,487 | $7,358,004 | $ — | |||
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Liabilities: | |||||||
Investments in Securities: | |||||||
TBA Sale Commitments | $(81,820,713) | $— | $(81,820,713) | $— | |||
Written Options: | |||||||
Call Options | (125,357) | (125,357) | — | — | |||
Call Swaptions | (731,797) | — | (731,797) | — | |||
Put Options | (40,969) | (40,969) | — | — | |||
Put Swaptions | (255,906) | — | (255,906) | — | |||
Total Written Options | (1,154,029) | (166,326) | (987,703) | — | |||
Total Liabilities - Investments in Securities | $(82,974,742) | $(166,326) | $(82,808,416) | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $(2,495,539) | $— | $(2,495,539) | $— | |||
Futures Contracts | (7,175,348) | (7,175,348) | — | — | |||
Swap Agreements | (2,284,563) | — | (2,284,563) | — | |||
Total Liabilities - Other Financial Instruments | $(11,955,450) | $(7,175,348) | $(4,780,102) | $ — |
** | Level 3 security has zero value. |
*** | Other financial instruments are derivative instruments, such as futures contracts, forwards contracts and swap agreements, 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", "Forwards Foreign Currency Contracts outstanding" and "Swap Agreements outstanding" disclosures. |
Table of Contents
% | |
U.S. Treasury Obligations | 42.2 |
Corporate Bonds | 36.2 |
Money Market Funds | 13.2 |
Foreign Bonds | 11.3 |
Mortgage-Backed Securities | 6.9 |
Asset-Backed Security | 0.2 |
Preferred Stocks | 0.1 |
Municipal Bond | 0.1 |
110.2 |
Table of Contents
Average Annual Total Returns as of 12/31/19 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | 13.51% | 13.14% | 13.10% | ||||
Five Year | 4.43% | 4.11% | 4.71% | ||||
Ten year | 7.35% | 7.09% | 7.25% | ||||
Since Inception | 7.58% | 7.38% | 6.93% | ||||
Inception Date | 08/27/01 | 08/27/01 | |||||
Total Fund Operating Expenses (April 30, 2019 Prospectus)(1) | 0.56% | 0.83% |
(1) | Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights. |
Table of Contents
Par | Value | |||
ASSET-BACKED SECURITY — 0.2% | ||||
Towd Point Mortgage Trust, Series 2016-4, Class A1 | ||||
2.25%, 07/25/56 144A (Cost $412,002) | $415,473 | $414,034 | ||
CORPORATE BONDS — 36.2% | ||||
Abbott Laboratories | ||||
3.75%, 11/30/26 | 1,613,000 | 1,763,805 | ||
4.90%, 11/30/46 | 436,000 | 573,814 | ||
AES Corporation | ||||
4.88%, 05/15/23 | 123,000 | 125,101 | ||
Aflac, Inc. | ||||
6.45%, 08/15/40 | 328,000 | 453,811 | ||
Allison Transmission, Inc. | ||||
4.75%, 10/01/27 144A | 85,000 | 88,430 | ||
Ally Financial, Inc. | ||||
8.00%, 11/01/31 | 177,000 | 246,021 | ||
Alta Wind Holdings LLC | ||||
7.00%, 06/30/35 144A | 320,149 | 357,475 | ||
American Airlines Group, Inc. | ||||
5.00%, 06/01/22 144A | 305,000 | 319,488 | ||
American Airlines Pass-Through Trust, Series 2016-1, Class B | ||||
5.25%, 01/15/24 | 513,005 | 543,928 | ||
American Airlines Pass-Through Trust, Series 2016-3, Class B | ||||
3.75%, 10/15/25 | 230,505 | 233,338 | ||
American Airlines Pass-Through Trust, Series 2017-1, Class B | ||||
4.95%, 02/15/25 | 106,245 | 112,382 | ||
American Airlines Pass-Through Trust, Series 2017-2, Class B | ||||
3.70%, 10/15/25 | 84,834 | 85,864 | ||
American International Group, Inc. | ||||
3.90%, 04/01/26 | 1,800,000 | 1,934,918 | ||
Antares Holdings LP | ||||
6.00%, 08/15/23 144A | 255,000 | 268,459 | ||
Antero Resources Corporation | ||||
5.38%, 11/01/21 | 125,000 | 119,251 | ||
5.13%, 12/01/22 | 35,000 | 31,300 | ||
Apple, Inc. | ||||
3.00%, 06/20/27 | 480,000 | 503,602 | ||
AT&T, Inc. | ||||
4.30%, 02/15/30 | 2,000,000 | 2,224,281 | ||
4.50%, 05/15/35 | 529,000 | 590,392 | ||
4.30%, 12/15/42 | 1,242,000 | 1,333,305 | ||
4.75%, 05/15/46 | 1,153,000 | 1,307,031 | ||
4.50%, 03/09/48 | 105,000 | 116,194 | ||
4.55%, 03/09/49 | 115,000 | 127,922 | ||
AXA Equitable Holdings, Inc. | ||||
5.00%, 04/20/48 | 577,000 | 621,990 | ||
Bank of America Corporation | ||||
3.50%, 04/19/26 | 964,000 | 1,026,076 | ||
6.11%, 01/29/37 | 900,000 | 1,218,179 | ||
Bank of America NA | ||||
6.00%, 10/15/36 | 1,315,000 | 1,801,927 | ||
Booking Holdings, Inc. | ||||
0.90%, 09/15/21 CONV Δ | 110,000 | 127,036 |
Par | Value | |||
Boston Properties LP REIT | ||||
3.40%, 06/21/29 | $1,218,000 | $1,274,247 | ||
Boston Scientific Corporation | ||||
4.70%, 03/01/49 | 386,000 | 470,414 | ||
Brighthouse Financial, Inc. | ||||
4.70%, 06/22/47 | 40,000 | 37,139 | ||
Bristol-Myers Squibb Co. | ||||
4.25%, 10/26/49 144A | 880,000 | 1,046,386 | ||
Burlington Northern Santa Fe LLC | ||||
4.15%, 04/01/45 | 879,000 | 999,460 | ||
Campbell Soup Co. | ||||
4.80%, 03/15/48Δ | 428,000 | 496,616 | ||
Chesapeake Energy Corporation | ||||
4.88%, 04/15/22Δ | 70,000 | 55,497 | ||
5.75%, 03/15/23 | 20,000 | 13,588 | ||
5.50%, 09/15/26 CONV | 5,000 | 2,432 | ||
8.00%, 06/15/27Δ | 665,000 | 413,979 | ||
Cigna Corporation | ||||
4.90%, 12/15/48 | 437,000 | 524,152 | ||
Cincinnati Bell, Inc. | ||||
8.00%, 10/15/25 144A | 20,000 | 21,258 | ||
Citigroup, Inc. | ||||
8.13%, 07/15/39 | 858,000 | 1,434,205 | ||
(Variable, ICE LIBOR USD 3M + 1.84%), 4.28%, 04/24/48Δ ^ | 533,000 | 634,708 | ||
Comcast Corporation | ||||
3.70%, 04/15/24 | 995,000 | 1,061,903 | ||
2.65%, 02/01/30 | 1,311,000 | 1,318,319 | ||
3.97%, 11/01/47 | 236,000 | 260,410 | ||
Continental Airlines Pass-Through Trust, Series 1999-2, Class B | ||||
7.57%, 03/15/20 | 45 | 45 | ||
Continental Resources, Inc. | ||||
4.50%, 04/15/23 | 40,000 | 41,823 | ||
3.80%, 06/01/24 | 125,000 | 129,410 | ||
Cox Communications, Inc. | ||||
4.60%, 08/15/47 144A | 255,000 | 283,630 | ||
Crown Castle International Corporation REIT | ||||
3.20%, 09/01/24 | 517,000 | 535,151 | ||
CSC Holdings LLC | ||||
5.38%, 02/01/28 144A | 200,000 | 213,715 | ||
Cummins, Inc. | ||||
5.65%, 03/01/98 | 1,620,000 | 2,055,097 | ||
CVS Health Corporation | ||||
5.13%, 07/20/45 | 240,000 | 285,165 | ||
5.05%, 03/25/48 | 514,000 | 610,076 | ||
DCP Midstream Operating LP | ||||
6.45%, 11/03/36 144A | 490,000 | 516,183 | ||
Dell International LLC | ||||
6.02%, 06/15/26 144A | 140,000 | 161,287 | ||
8.10%, 07/15/36 144A | 180,000 | 237,005 | ||
8.35%, 07/15/46 144A | 130,000 | 179,370 | ||
Dillard's Inc | ||||
7.00%, 12/01/28 | 500,000 | 556,289 | ||
DISH DBS Corporation | ||||
7.75%, 07/01/26 | 105,000 | 111,430 |
Table of Contents
Par | Value | |||
DISH Network Corporation | ||||
2.38%, 03/15/24 CONV | $1,080,000 | $990,198 | ||
Dow Chemical Co. (The) | ||||
9.40%, 05/15/39 | 374,000 | 612,761 | ||
Enable Midstream Partners LP | ||||
5.00%, 05/15/44 | 445,000 | 409,172 | ||
Enbridge Energy Partners LP | ||||
7.38%, 10/15/45 | 305,000 | 456,166 | ||
Energy Transfer Operating LP | ||||
5.25%, 04/15/29 | 628,000 | 706,257 | ||
5.15%, 03/15/45 | 446,000 | 470,300 | ||
Enterprise Products Operating LLC | ||||
5.10%, 02/15/45 | 595,000 | 714,346 | ||
4.20%, 01/31/50 | 612,000 | 659,802 | ||
EQT Corporation | ||||
3.90%, 10/01/27Δ | 2,168,000 | 2,018,898 | ||
ERP Operating LP REIT | ||||
3.00%, 07/01/29 | 970,000 | 1,005,650 | ||
Ford Motor Co. | ||||
6.38%, 02/01/29 | 1,255,000 | 1,353,877 | ||
General Electric Co. | ||||
3.10%, 01/09/23 | 248,000 | 253,548 | ||
5.88%, 01/14/38 | 150,000 | 182,603 | ||
General Motors Co. | ||||
5.20%, 04/01/45 | 1,085,000 | 1,097,702 | ||
General Motors Financial Co., Inc. | ||||
5.25%, 03/01/26 | 250,000 | 277,461 | ||
Gilead Sciences, Inc. | ||||
4.15%, 03/01/47 | 958,000 | 1,068,958 | ||
Goldman Sachs Group, Inc. (The) | ||||
3.50%, 11/16/26 | 1,824,000 | 1,921,090 | ||
6.75%, 10/01/37 | 225,000 | 312,951 | ||
4.75%, 10/21/45Δ | 451,000 | 551,370 | ||
Goodyear Tire & Rubber Co. (The) | ||||
4.88%, 03/15/27Δ | 355,000 | 368,082 | ||
HCA, Inc. | ||||
5.38%, 09/01/26 | 140,000 | 156,279 | ||
7.05%, 12/01/27 | 500,000 | 593,125 | ||
Healthpeak Properties, Inc. REIT | ||||
3.25%, 07/15/26 | 300,000 | 311,427 | ||
Hewlett Packard Enterprise Co. | ||||
6.35%, 10/15/45 | 135,000 | 162,802 | ||
Home Depot, Inc. (The) | ||||
5.88%, 12/16/36 | 200,000 | 276,438 | ||
Iron Mountain, Inc. REIT | ||||
4.88%, 09/15/29 144A | 265,000 | 269,802 | ||
iStar, Inc. REIT | ||||
3.13%, 09/15/22 CONV | 175,000 | 196,670 | ||
Jefferies Group LLC | ||||
6.45%, 06/08/27Δ | 50,000 | 58,702 | ||
6.25%, 01/15/36 | 185,000 | 221,367 | ||
JELD-WEN, Inc. | ||||
4.88%, 12/15/27 144A Δ | 255,000 | 261,464 | ||
JPMorgan Chase & Co. | ||||
5.60%, 07/15/41 | 1,813,000 | 2,486,775 | ||
Kinder Morgan Energy Partners LP | ||||
5.80%, 03/15/35 | 280,000 | 339,488 |
Par | Value | |||
Kroger Co. (The) | ||||
5.40%, 01/15/49Δ | $548,000 | $670,468 | ||
Liberty Mutual Group, Inc. | ||||
3.95%, 10/15/50 144A | 1,400,000 | 1,461,442 | ||
Lockheed Martin Corporation | ||||
4.70%, 05/15/46 | 903,000 | 1,149,816 | ||
Marathon Petroleum Corporation | ||||
3.63%, 09/15/24 | 2,048,000 | 2,152,593 | ||
Masco Corporation | ||||
7.75%, 08/01/29 | 129,000 | 167,542 | ||
6.50%, 08/15/32 | 15,000 | 18,430 | ||
McDonald’s Corporation | ||||
4.88%, 12/09/45 | 625,000 | 754,561 | ||
MetLife, Inc. | ||||
6.40%, 12/15/36 | 310,000 | 380,244 | ||
5.88%, 02/06/41 | 300,000 | 409,232 | ||
Michaels Stores, Inc. | ||||
8.00%, 07/15/27 144A Δ | 45,000 | 43,058 | ||
Microchip Technology, Inc. | ||||
1.63%, 02/15/25 CONV | 85,000 | 183,069 | ||
Microsoft Corporation | ||||
4.45%, 11/03/45 | 595,000 | 746,091 | ||
3.70%, 08/08/46 | 594,000 | 672,657 | ||
Morgan Stanley | ||||
3.13%, 08/05/21(C) | 235,000 | 183,617 | ||
3.63%, 01/20/27 | 1,500,000 | 1,598,566 | ||
MPLX LP | ||||
4.00%, 03/15/28 | 200,000 | 207,331 | ||
4.50%, 04/15/38 | 1,038,000 | 1,057,987 | ||
Mutual of Omaha Insurance Co. | ||||
6.80%, 06/15/36 144A | 100,000 | 130,908 | ||
Nationstar Mortgage Holdings, Inc. | ||||
9.13%, 07/15/26 144A | 175,000 | 194,031 | ||
Navient Corporation | ||||
5.63%, 08/01/33 | 1,460,000 | 1,258,991 | ||
NGL Energy Partners LP | ||||
7.50%, 11/01/23 | 100,000 | 100,249 | ||
6.13%, 03/01/25 | 220,000 | 207,991 | ||
Noble Energy, Inc. | ||||
3.85%, 01/15/28 | 444,000 | 469,568 | ||
5.05%, 11/15/44 | 600,000 | 668,232 | ||
Northrop Grumman Corporation | ||||
3.25%, 01/15/28 | 1,000,000 | 1,044,555 | ||
Nuance Communications, Inc. | ||||
1.25%, 04/01/25 CONV | 60,000 | 66,948 | ||
1.00%, 12/15/35 CONV | 85,000 | 85,797 | ||
Old Republic International Corporation | ||||
4.88%, 10/01/24 | 230,000 | 252,385 | ||
ON Semiconductor Corporation | ||||
1.00%, 12/01/20 CONV | 85,000 | 115,727 | ||
ONEOK Partners LP | ||||
6.20%, 09/15/43 | 5,000 | 6,341 | ||
Owens Corning | ||||
4.40%, 01/30/48 | 210,000 | 203,535 | ||
Penn Mutual Life Insurance Co. (The) | ||||
7.63%, 06/15/40 144A | 440,000 | 633,905 |
Table of Contents
Par | Value | |||
PepsiCo, Inc. | ||||
2.63%, 07/29/29Δ | $1,200,000 | $1,226,326 | ||
Prudential Financial, Inc. | ||||
6.63%, 06/21/40 | 548,000 | 771,460 | ||
PulteGroup, Inc. | ||||
6.38%, 05/15/33 | 1,000,000 | 1,170,721 | ||
Quicken Loans, Inc. | ||||
5.75%, 05/01/25 144A | 60,000 | 62,150 | ||
5.25%, 01/15/28 144A | 70,000 | 72,613 | ||
Qwest Corporation | ||||
7.25%, 09/15/25 | 410,000 | 472,073 | ||
Radian Group, Inc. | ||||
4.50%, 10/01/24Δ | 55,000 | 58,323 | ||
4.88%, 03/15/27 | 35,000 | 36,937 | ||
Seagate HDD Cayman | ||||
4.88%, 06/01/27 | 100,000 | 106,367 | ||
Sempra Energy | ||||
6.00%, 10/15/39 | 991,000 | 1,288,663 | ||
SM Energy Co. | ||||
1.50%, 07/01/21 CONV | 80,000 | 76,535 | ||
5.00%, 01/15/24 | 15,000 | 14,331 | ||
6.75%, 09/15/26Δ | 30,000 | 29,485 | ||
6.63%, 01/15/27Δ | 85,000 | 83,740 | ||
Southern Co. (The) | ||||
4.40%, 07/01/46Δ | 1,356,000 | 1,506,182 | ||
Springleaf Finance Corporation | ||||
6.88%, 03/15/25 | 170,000 | 193,798 | ||
Sprint Capital Corporation | ||||
6.88%, 11/15/28 | 1,025,000 | 1,106,334 | ||
Tenet Healthcare Corporation | ||||
5.13%, 05/01/25 | 335,000 | 345,887 | ||
Textron, Inc. | ||||
6.63%, 04/07/20(U) | 160,000 | 214,684 | ||
Time Warner Cable LLC | ||||
5.50%, 09/01/41 | 25,000 | 27,982 | ||
4.50%, 09/15/42 | 45,000 | 46,108 | ||
Toro Co. (The) | ||||
6.63%, 05/01/37 | 300,000 | 385,922 | ||
Transcontinental Gas Pipe Line Co. LLC | ||||
7.85%, 02/01/26 | 455,000 | 578,637 | ||
Transocean, Inc. | ||||
5.80%, 10/15/22Δ | 205,000 | 198,401 | ||
6.80%, 03/15/38 | 20,000 | 14,252 | ||
Tyson Foods, Inc. | ||||
4.55%, 06/02/47 | 357,000 | 409,405 | ||
5.10%, 09/28/48 | 288,000 | 363,204 | ||
United Airlines Pass-Through Trust, Series 2014-1, Class A | ||||
4.00%, 04/11/26 | 86,364 | 92,027 | ||
United Airlines Pass-Through Trust, Series 2016-2, Class B | ||||
3.65%, 10/07/25 | 70,440 | 71,493 | ||
United Rentals North America, Inc. | ||||
6.50%, 12/15/26 | 85,000 | 93,578 | ||
4.88%, 01/15/28 | 30,000 | 31,292 | ||
United States Steel Corporation | ||||
6.65%, 06/01/37Δ | 85,000 | 69,142 |
Par | Value | |||
United Technologies Corporation | ||||
3.95%, 08/16/25 | $400,000 | $436,543 | ||
Unum Group | ||||
5.75%, 08/15/42 | 800,000 | 905,679 | ||
Verizon Communications, Inc. | ||||
4.27%, 01/15/36 | 1,700,000 | 1,928,318 | ||
5.25%, 03/16/37 | 999,000 | 1,256,410 | ||
5.50%, 03/16/47 | 1,000,000 | 1,359,726 | ||
Visa, Inc. | ||||
4.30%, 12/14/45 | 700,000 | 861,722 | ||
Walmart, Inc. | ||||
3.63%, 12/15/47 | 381,000 | 424,719 | ||
Walt Disney Co. (The) | ||||
4.75%, 09/15/44 | 623,000 | 780,096 | ||
Western Digital Corporation | ||||
1.50%, 02/01/24 CONV | 140,000 | 137,813 | ||
WestRock MWV LLC | ||||
7.55%, 03/01/47 | 335,000 | 461,878 | ||
Weyerhaeuser Co. REIT | ||||
6.88%, 12/15/33 | 580,000 | 769,616 | ||
Total Corporate Bonds (Cost $81,266,252) | 92,837,679 | |||
FOREIGN BONDS — 11.3% | ||||
Australia — 0.3% | ||||
Barrick PD Australia Finance Proprietary, Ltd. | ||||
5.95%, 10/15/39 | 571,000 | 725,573 | ||
Brazil — 0.3% | ||||
Brazilian Government International Bond | ||||
10.25%, 01/10/28(B) | 2,525,000 | 739,369 | ||
Canada — 3.6% | ||||
Bombardier, Inc. | ||||
6.00%, 10/15/22 144A | 515,000 | 516,133 | ||
7.88%, 04/15/27 144A | 50,000 | 51,564 | ||
Canadian Government Bond Residual STRIP | ||||
3.47%, 06/01/25(C) Ω | 3,685,000 | 2,597,052 | ||
Enbridge, Inc. | ||||
5.50%, 12/01/46Δ | 549,000 | 706,476 | ||
MEG Energy Corporation | ||||
7.00%, 03/31/24 144A Δ | 340,000 | 342,834 | ||
Province of Ontario Generic Residual STRIP | ||||
2.98%, 03/08/29(C) Ω | 4,600,000 | 2,850,544 | ||
Province of Saskatchewan Residual STRIP | ||||
3.49%, 02/04/22(C) Ω | 3,000,000 | 2,222,594 | ||
9,287,197 | ||||
Ireland — 0.5% | ||||
GE Capital International Funding Co. Unlimited Co. | ||||
3.37%, 11/15/25Δ | 975,000 | 1,016,750 | ||
Johnson Controls International PLC | ||||
4.50%, 02/15/47 | 160,000 | 173,345 | ||
1,190,095 |
Table of Contents
Par | Value | |||
Italy — 0.3% | ||||
Telecom Italia Capital SA | ||||
6.00%, 09/30/34 | $785,000 | $843,736 | ||
Jersey — 0.1% | ||||
Delphi Technologies PLC | ||||
5.00%, 10/01/25 144A Δ | 395,000 | 366,362 | ||
Luxembourg — 0.5% | ||||
ArcelorMittal SA | ||||
6.75%, 03/01/41 | 975,000 | 1,163,268 | ||
Mexico — 0.9% | ||||
America Movil SAB de CV | ||||
6.45%, 12/05/22(M) | 2,600,000 | 133,730 | ||
8.46%, 12/18/36(M) | 12,000,000 | 626,716 | ||
Mexican Bonos | ||||
8.00%, 12/07/23(M) | 21,300,000 | 1,174,516 | ||
10.00%, 12/05/24(M) | 3,500,000 | 210,285 | ||
7.50%, 06/03/27(M) | 3,500,000 | 192,429 | ||
8.50%, 05/31/29(M) | 500,000 | 29,455 | ||
7.75%, 05/29/31(M) | 1,000,000 | 56,472 | ||
2,423,603 | ||||
Netherlands — 1.3% | ||||
Cooperatieve Rabobank UA | ||||
3.75%, 07/21/26 | 493,000 | 514,116 | ||
5.25%, 05/24/41Δ | 632,000 | 865,291 | ||
Embraer Netherlands Finance BV | ||||
5.40%, 02/01/27 | 80,000 | 90,269 | ||
Enel Finance International NV | ||||
6.00%, 10/07/39 144A | 500,000 | 631,077 | ||
Shell International Finance BV | ||||
4.00%, 05/10/46 | 1,060,000 | 1,209,826 | ||
3,310,579 | ||||
Norway — 0.0% | ||||
Norway Government Bond | ||||
3.75%, 05/25/21(K) 144A | 196,000 | 23,071 | ||
Spain — 0.3% | ||||
Telefonica Emisiones SA | ||||
7.05%, 06/20/36 | 524,000 | 734,421 | ||
Switzerland — 0.5% | ||||
Credit Suisse Group AG | ||||
(Variable, ICE LIBOR USD 3M + 1.41%), 3.87%, 01/12/29 144A ^ | 1,188,000 | 1,266,909 | ||
United Kingdom — 2.7% | ||||
Barclays PLC | ||||
4.38%, 01/12/26 | 865,000 | 937,091 | ||
HSBC Holdings PLC | ||||
(Variable, ICE LIBOR USD 3M + 1.14%), 2.63%, 11/07/25^ | 1,208,000 | 1,213,642 | ||
(Variable, ICE LIBOR USD 3M + 1.53%), 4.58%, 06/19/29^ | 645,000 | 721,804 | ||
Lloyds Banking Group PLC | ||||
4.34%, 01/09/48 | 1,056,000 | 1,145,461 | ||
Royal Bank of Scotland Group PLC | ||||
3.88%, 09/12/23 | 1,761,000 | 1,846,731 |
Par | Value | |||
Vodafone Group PLC | ||||
(Floating, ICE LIBOR USD 3M + 0.99%), 2.99%, 01/16/24† | $962,000 | $974,559 | ||
6,839,288 | ||||
Total Foreign Bonds (Cost $28,312,359) | 28,913,471 | |||
MORTGAGE-BACKED SECURITIES — 6.9% | ||||
Federal Home Loan Mortgage Corporation | ||||
4.50%, 09/01/48 | 1,457,218 | 1,539,708 | ||
Federal National Mortgage Association | ||||
4.50%, 12/01/47 | 853,110 | 901,198 | ||
3.50%, 01/01/48 | 6,659,348 | 6,918,749 | ||
4.50%, 08/01/48 | 1,398,310 | 1,477,852 | ||
4.50%, 11/01/48 | 1,370,435 | 1,446,465 | ||
Government National Mortgage Association | ||||
4.50%, 10/20/48 | 1,207,735 | 1,270,997 | ||
JP Morgan Mortgage Trust, Series 2017-1, Class A4 | ||||
3.50%, 01/25/47 144A | 1,987,271 | 2,012,018 | ||
JP Morgan Trust, Series 2015-6, Class A5 | ||||
3.50%, 10/25/45 144A † γ | 2,169,445 | 2,189,620 | ||
Total Mortgage-Backed Securities (Cost $17,456,322) | 17,756,607 | |||
MUNICIPAL BOND — 0.1% | ||||
State of Illinois, General Obligation | ||||
5.10%, 06/01/33 (Cost $190,867) | 235,000 | 253,532 | ||
U.S. TREASURY OBLIGATIONS — 42.2% | ||||
U.S. Treasury Bills | ||||
1.43%, 02/27/20Ω | 500,000 | 498,829 | ||
1.58%, 04/02/20Ω Δ | 880,000 | 876,619 | ||
1,375,448 | ||||
U.S. Treasury Bonds | ||||
4.50%, 02/15/36 | 3,556,000 | 4,722,465 | ||
5.00%, 05/15/37 | 215,000 | 304,847 | ||
4.63%, 02/15/40 | 504,000 | 698,217 | ||
4.38%, 05/15/40 | 3,551,800 | 4,778,836 | ||
2.88%, 05/15/43 | 12,692,000 | 13,862,787 | ||
2.50%, 05/15/46 | 4,500,000 | 4,607,490 | ||
2.75%, 08/15/47 | 15,577,000 | 16,752,881 | ||
2.75%, 11/15/47 | 657,300 | 706,918 | ||
3.38%, 11/15/48 | 890,000 | 1,076,935 | ||
3.00%, 02/15/49 | 115,000 | 130,114 | ||
2.25%, 08/15/49Δ | 2,487,000 | 2,420,211 | ||
50,061,701 | ||||
U.S. Treasury Notes | ||||
2.25%, 03/31/20 | 3,425,000 | 3,429,883 | ||
1.50%, 11/30/21Δ | 16,424,000 | 16,404,432 | ||
2.00%, 11/30/22 | 7,421,000 | 7,506,370 | ||
2.88%, 11/30/23 | 1,000,000 | 1,046,172 |
Table of Contents
Par | Value | |||
2.63%, 12/31/23 | $2,132,000 | $2,211,950 | ||
2.25%, 04/30/24 | 7,423,000 | 7,602,921 | ||
1.50%, 11/30/24Δ | 11,400,000 | 11,309,602 | ||
1.63%, 11/30/26 | 2,756,000 | 2,721,604 | ||
2.75%, 02/15/28 | 465,600 | 496,501 | ||
2.88%, 08/15/28 | 1,149,000 | 1,239,484 | ||
2.63%, 02/15/29 | 165,400 | 175,450 | ||
2.38%, 05/15/29 | 1,651,000 | 1,717,556 | ||
1.63%, 08/15/29 | 191,700 | 186,937 | ||
1.75%, 11/15/29Δ | 1,001,000 | 986,826 | ||
57,035,688 | ||||
Total U.S. Treasury Obligations (Cost $105,473,035) | 108,472,837 |
Shares | |||
PREFERRED STOCKS — 0.1% | |||
Chesapeake Energy Corporation | |||
5.00%, 10/31/19 CONV Δ | 620 | 12,555 |
Shares | Value | |||
5.75%, 10/31/19 144A CONV | 80 | $14,475 | ||
El Paso Energy Capital Trust I | ||||
4.75%, 12/12/19 CONV | 5,350 | 275,311 | ||
Total Preferred Stocks (Cost $354,717) | 302,341 | |||
MONEY MARKET FUNDS — 13.2% | ||||
GuideStone Money Market Fund, 1.53%Ø | 7,809,354 | 7,809,354 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 1.57%Ø § | 26,030,692 | 26,030,692 | ||
Total Money Market Funds (Cost $33,840,046) | 33,840,046 | |||
TOTAL INVESTMENTS —110.2% (Cost $267,305,600) | 282,790,547 | |||
Liabilities in Excess of Other Assets — (10.2)% | (26,105,692) | |||
NET ASSETS — 100.0% | $256,684,855 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Asset-Backed Security | $414,034 | $— | $414,034 | $— | |||
Corporate Bonds | 92,837,679 | — | 92,837,679 | — | |||
Foreign Bonds | 28,913,471 | — | 28,913,471 | — | |||
Money Market Funds | 33,840,046 | 33,840,046 | — | — | |||
Mortgage-Backed Securities | 17,756,607 | — | 17,756,607 | — | |||
Municipal Bond | 253,532 | — | 253,532 | — | |||
Preferred Stocks | 302,341 | 287,866 | 14,475 | — | |||
U.S. Treasury Obligations | 108,472,837 | — | 108,472,837 | — | |||
Total Assets - Investments in Securities | $282,790,547 | $34,127,912 | $248,662,635 | $ — |
Table of Contents
Table of Contents
% | |
Foreign Bonds | 36.2 |
U.S. Treasury Obligations | 25.9 |
Corporate Bonds | 22.0 |
Money Market Funds | 11.1 |
Mortgage-Backed Securities | 7.0 |
Loan Agreements | 2.3 |
Asset-Backed Securities | 0.6 |
Foreign Government Inflation-Linked Bond | 0.3 |
Communication Services | 0.3 |
Information Technology | 0.2 |
Health Care | 0.1 |
Energy | 0.1 |
Consumer Discretionary | 0.1 |
Financials | 0.1 |
Municipal Bond | —** |
106.3 | |
**Rounds to less than 0.1% |
Table of Contents
Average Annual Total Returns as of 12/31/19 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | 11.31% | 11.03% | 10.16% | ||||
Five Year | N/A | 3.50% | 4.02% | ||||
Ten year | N/A | 4.82% | 4.68% | ||||
Since Inception(1) | 3.64% | 4.96% | 5.21% | ||||
Inception Date | 05/01/15 | 12/29/06 | |||||
Total Fund Operating Expenses (April 30, 2019 Prospectus)(2) | 0.56% | 0.83% |
(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. |
Table of Contents
Par | Value | |||
ASSET-BACKED SECURITIES — 0.6% | ||||
Bravo Mortgage Asset Trust, Series 2006-1A, Class M1 | ||||
(Floating, ICE LIBOR USD 1M + 0.40%, 0.40% Floor), 2.19%, 07/25/36 144A † | $630,000 | $578,262 | ||
PFCA Home Equity Investment Trust, Series 2003-IFC5, Class A | ||||
4.24%, 01/22/35 144A † γ | 586,025 | 585,543 | ||
SLM Student Loan Trust, Series 2003-4, Class A5E | ||||
(Floating, ICE LIBOR USD 3M + 0.75%), 2.64%, 03/15/33 144A † | 220,040 | 213,564 | ||
SLM Student Loan Trust, Series 2006-10, Class A6 | ||||
(Floating, ICE LIBOR USD 3M + 0.15%), 2.09%, 03/25/44† | 480,000 | 450,707 | ||
Washington Mutual Asset-Backed Certificates Trust, Series 2007-HE4, Class 1A | ||||
(Floating, ICE LIBOR USD 1M + 0.17%, 0.17% Floor), 1.96%, 07/25/47† | 1,971,340 | 1,588,052 | ||
Total Asset-Backed Securities (Cost $3,133,964) | 3,416,128 | |||
CORPORATE BONDS — 22.0% | ||||
Abbott Laboratories | ||||
3.75%, 11/30/26 | 280,000 | 306,178 | ||
Allison Transmission, Inc. | ||||
5.00%, 10/01/24 144A | 300,000 | 307,872 | ||
4.75%, 10/01/27 144A | 110,000 | 114,438 | ||
Ally Financial, Inc. | ||||
8.00%, 03/15/20 | 120,000 | 121,110 | ||
5.13%, 09/30/24 | 465,000 | 513,767 | ||
8.00%, 11/01/31 | 175,000 | 243,241 | ||
Amazon.com, Inc. | ||||
3.88%, 08/22/37 | 620,000 | 705,723 | ||
American Airlines Group, Inc. | ||||
5.00%, 06/01/22 144A | 440,000 | 460,900 | ||
American Airlines Pass-Through Trust, Series 2013-1, Class B | ||||
5.63%, 01/15/21 144A | 116,675 | 118,895 | ||
American Airlines Pass-Through Trust, Series 2016-1, Class B | ||||
5.25%, 01/15/24 | 650,986 | 690,227 | ||
American Airlines Pass-Through Trust, Series 2016-3, Class B | ||||
3.75%, 10/15/25 | 284,016 | 287,506 | ||
American Airlines Pass-Through Trust, Series 2017-2, Class B | ||||
3.70%, 10/15/25 | 101,800 | 103,036 | ||
American Express Co. | ||||
3.70%, 11/05/21 | 180,000 | 185,547 | ||
Antero Resources Corporation | ||||
5.38%, 11/01/21 | 185,000 | 176,491 | ||
5.13%, 12/01/22 | 235,000 | 210,156 | ||
5.63%, 06/01/23 | 75,000 | 60,375 | ||
Apple, Inc. | ||||
1.55%, 02/07/20 | 85,000 | 84,968 |
Par | Value | |||
4.65%, 02/23/46 | $325,000 | $408,356 | ||
Ashtead Capital, Inc. | ||||
4.13%, 08/15/25 144A | 274,000 | 282,334 | ||
AT&T, Inc. | ||||
4.00%, 01/15/22 | 40,000 | 41,600 | ||
0.25%, 03/04/26(E) | 650,000 | 714,787 | ||
4.35%, 03/01/29 | 135,000 | 150,313 | ||
4.90%, 08/15/37 | 135,000 | 155,684 | ||
5.35%, 09/01/40 | 85,000 | 102,776 | ||
5.45%, 03/01/47 | 125,000 | 155,511 | ||
4.50%, 03/09/48 | 515,000 | 569,904 | ||
4.55%, 03/09/49 | 275,000 | 305,900 | ||
Avon Products, Inc. | ||||
8.95%, 03/15/43 | 60,000 | 75,006 | ||
AXA Equitable Holdings, Inc. | ||||
5.00%, 04/20/48 | 300,000 | 323,391 | ||
Bank of America Corporation | ||||
(Variable, ICE LIBOR USD 3M + 0.37%), 2.74%, 01/23/22^ | 225,000 | 226,675 | ||
1.38%, 03/26/25(E) | 595,000 | 706,778 | ||
4.25%, 10/22/26 | 55,000 | 60,044 | ||
(Variable, ICE LIBOR USD 3M + 1.51%), 3.71%, 04/24/28^ | 350,000 | 374,528 | ||
(Variable, ICE LIBOR USD 3M + 1.04%), 3.42%, 12/20/28^ | 435,000 | 457,179 | ||
(Variable, ICE LIBOR USD 3M + 1.07%), 3.97%, 03/05/29^ | 275,000 | 299,919 | ||
6.11%, 01/29/37 | 1,000,000 | 1,353,532 | ||
Barrick North America Finance LLC | ||||
5.75%, 05/01/43 | 505,000 | 644,105 | ||
Bausch Health Americas, Inc. | ||||
9.25%, 04/01/26 144A | 460,000 | 529,207 | ||
8.50%, 01/31/27 144A Δ | 50,000 | 57,033 | ||
Belden, Inc. | ||||
3.38%, 07/15/27(E) | 950,000 | 1,120,739 | ||
Blue Cube Spinco LLC | ||||
10.00%, 10/15/25 | 765,000 | 847,509 | ||
Blue Racer Midstream LLC | ||||
6.13%, 11/15/22 144A | 140,000 | 137,449 | ||
Booking Holdings, Inc. | ||||
0.90%, 09/15/21 CONV Δ | 290,000 | 334,914 | ||
Braskem America Finance Co. | ||||
7.13%, 07/22/41 | 1,640,000 | 1,883,433 | ||
Brighthouse Financial, Inc. | ||||
4.70%, 06/22/47 | 65,000 | 60,351 | ||
Bristol-Myers Squibb Co. | ||||
5.00%, 08/15/45 144A | 1,120,000 | 1,440,100 | ||
California Resources Corporation | ||||
8.00%, 12/15/22 144A | 695,000 | 300,587 | ||
Cameron LNG LLC | ||||
3.30%, 01/15/35 144A | 225,000 | 227,644 | ||
CCO Holdings LLC | ||||
5.38%, 05/01/25 144A | 270,000 | 279,338 | ||
Centene Corporation | ||||
4.75%, 05/15/22 | 390,000 | 398,494 | ||
6.13%, 02/15/24 | 140,000 | 145,425 | ||
4.75%, 01/15/25 144A | 30,000 | 31,224 | ||
5.38%, 06/01/26 144A | 150,000 | 159,465 |
Table of Contents
Par | Value | |||
4.63%, 12/15/29 144A | $700,000 | $737,240 | ||
CenturyLink, Inc. | ||||
5.63%, 04/01/20 | 150,000 | 151,116 | ||
6.75%, 12/01/23 | 430,000 | 480,884 | ||
5.63%, 04/01/25Δ | 50,000 | 53,232 | ||
Charter Communications Operating LLC | ||||
6.48%, 10/23/45 | 210,000 | 260,717 | ||
5.75%, 04/01/48 | 720,000 | 842,218 | ||
Chesapeake Energy Corporation | ||||
4.88%, 04/15/22Δ | 1,285,000 | 1,018,763 | ||
5.75%, 03/15/23 | 125,000 | 84,923 | ||
5.50%, 09/15/26 CONV | 25,000 | 12,160 | ||
Cigna Corporation | ||||
4.80%, 08/15/38 | 300,000 | 351,029 | ||
Cincinnati Bell, Inc. | ||||
8.00%, 10/15/25 144A | 155,000 | 164,752 | ||
CIT Group, Inc. | ||||
5.00%, 08/15/22 | 300,000 | 318,748 | ||
5.00%, 08/01/23 | 480,000 | 518,201 | ||
5.25%, 03/07/25 | 540,000 | 595,126 | ||
Citigroup, Inc. | ||||
3.50%, 05/15/23 | 655,000 | 682,158 | ||
(Variable, ICE LIBOR USD 3M + 3.42%), 6.30%, 05/15/24ρ Δ ^ | 950,000 | 1,030,071 | ||
(Variable, ICE LIBOR USD 3M + 3.91%), 5.95%, 05/15/25ρ ^ | 180,000 | 196,579 | ||
(Variable, ICE LIBOR USD 3M + 1.56%), 3.89%, 01/10/28^ | 485,000 | 523,077 | ||
(Variable, ICE LIBOR USD 3M + 1.15%), 3.52%, 10/27/28^ | 200,000 | 210,745 | ||
CME Group, Inc. | ||||
5.30%, 09/15/43 | 620,000 | 831,823 | ||
Comcast Corporation | ||||
3.15%, 03/01/26 | 720,000 | 755,419 | ||
4.70%, 10/15/48 | 900,000 | 1,112,890 | ||
4.95%, 10/15/58 | 625,000 | 815,713 | ||
Concho Resources, Inc. | ||||
4.88%, 10/01/47 | 190,000 | 222,301 | ||
ConocoPhillips | ||||
6.50%, 02/01/39 | 10,000 | 14,594 | ||
Continental Airlines Pass-Through Trust, Series 2007-1, Class A | ||||
5.98%, 04/19/22 | 174,746 | 183,978 | ||
Continental Resources, Inc. | ||||
5.00%, 09/15/22 | 27,000 | 27,211 | ||
4.50%, 04/15/23 | 265,000 | 277,080 | ||
3.80%, 06/01/24 | 160,000 | 165,645 | ||
4.90%, 06/01/44 | 270,000 | 287,376 | ||
Covey Park Energy LLC | ||||
7.50%, 05/15/25 144A | 720,000 | 621,299 | ||
CTR Partnership LP REIT | ||||
5.25%, 06/01/25 | 570,000 | 594,462 | ||
Cummins, Inc. | ||||
5.65%, 03/01/98 | 435,000 | 551,832 | ||
CVS Health Corporation | ||||
4.10%, 03/25/25 | 1,290,000 | 1,385,884 |
Par | Value | |||
5.05%, 03/25/48 | $345,000 | $409,487 | ||
D.R. Horton, Inc. | ||||
4.38%, 09/15/22 | 705,000 | 739,339 | ||
DAE Funding LLC | ||||
4.50%, 08/01/22 144A | 8,000 | 8,140 | ||
DaVita, Inc. | ||||
5.00%, 05/01/25Δ | 10,000 | 10,308 | ||
DCP Midstream Operating LP | ||||
6.75%, 09/15/37 144A | 500,000 | 526,717 | ||
Dell International LLC | ||||
4.42%, 06/15/21 144A | 440,000 | 452,914 | ||
5.88%, 06/15/21 144A | 240,000 | 244,051 | ||
5.45%, 06/15/23 144A | 525,000 | 569,807 | ||
7.13%, 06/15/24 144A | 270,000 | 285,187 | ||
6.02%, 06/15/26 144A | 260,000 | 299,532 | ||
8.10%, 07/15/36 144A | 225,000 | 296,257 | ||
8.35%, 07/15/46 144A | 125,000 | 172,471 | ||
Delta Air Lines Pass-Through Trust, Series 2007-1, Class B | ||||
8.02%, 08/10/22 | 29,571 | 32,362 | ||
Diamondback Energy, Inc. | ||||
5.38%, 05/31/25 | 320,000 | 336,010 | ||
Dillard's, Inc. | ||||
7.75%, 07/15/26 | 450,000 | 508,608 | ||
DISH DBS Corporation | ||||
5.88%, 07/15/22 | 430,000 | 456,565 | ||
5.00%, 03/15/23Δ | 490,000 | 503,887 | ||
5.88%, 11/15/24 | 735,000 | 752,611 | ||
7.75%, 07/01/26Δ | 1,545,000 | 1,639,616 | ||
DISH Network Corporation | ||||
2.38%, 03/15/24 CONV | 900,000 | 825,165 | ||
DTE Electric Co. | ||||
3.95%, 03/01/49 | 200,000 | 229,268 | ||
DTE Energy Co. | ||||
2.25%, 11/01/22 | 505,000 | 505,306 | ||
3.40%, 06/15/29 | 445,000 | 459,730 | ||
El Paso Natural Gas Co. LLC | ||||
8.63%, 01/15/22 | 60,000 | 67,449 | ||
8.38%, 06/15/32 | 50,000 | 69,938 | ||
Enable Midstream Partners LP | ||||
5.00%, 05/15/44 | 130,000 | 119,533 | ||
Enbridge Energy Partners LP | ||||
7.38%, 10/15/45 | 90,000 | 134,606 | ||
Endeavor Energy Resources LP | ||||
5.75%, 01/30/28 144A | 330,000 | 347,523 | ||
Energy Transfer Operating LP | ||||
4.95%, 06/15/28 | 200,000 | 219,342 | ||
6.25%, 04/15/49 | 250,000 | 302,123 | ||
Energy Transfer Partners LP | ||||
5.88%, 03/01/22 | 240,000 | 254,809 | ||
5.00%, 10/01/22 | 60,000 | 63,667 | ||
EnLink Midstream Partners LP | ||||
4.15%, 06/01/25 | 235,000 | 221,390 | ||
Enterprise Products Operating LLC | ||||
4.25%, 02/15/48 | 300,000 | 322,826 |
Table of Contents
Par | Value | |||
ERAC USA Finance LLC | ||||
7.00%, 10/15/37 144A | $535,000 | $757,733 | ||
Evergy, Inc. | ||||
2.90%, 09/15/29 | 400,000 | 398,959 | ||
Evolent Health, Inc. | ||||
2.00%, 12/01/21 CONV | 50,000 | 44,941 | ||
Extraction Oil & Gas, Inc. | ||||
5.63%, 02/01/26 144A | 1,170,000 | 705,332 | ||
Fidelity & Guaranty Life Holdings, Inc. | ||||
5.50%, 05/01/25 144A | 430,000 | 459,021 | ||
Fidelity National Information Services, Inc. | ||||
1.00%, 12/03/28(E) | 635,000 | 715,527 | ||
FirstEnergy Corporation | ||||
7.38%, 11/15/31 | 130,000 | 183,700 | ||
Ford Motor Co. | ||||
6.63%, 10/01/28 | 430,000 | 479,403 | ||
Ford Motor Credit Co. LLC | ||||
4.39%, 01/08/26 | 1,550,000 | 1,576,683 | ||
Fox Corporation | ||||
5.58%, 01/25/49 144A | 860,000 | 1,097,113 | ||
Freeport-McMoRan, Inc. | ||||
3.55%, 03/01/22 | 270,000 | 273,856 | ||
5.45%, 03/15/43 | 1,200,000 | 1,245,120 | ||
Fresenius Medical Care US Finance II, Inc. | ||||
5.88%, 01/31/22 144A | 540,000 | 578,025 | ||
General Electric Co. | ||||
3.15%, 09/07/22 | 70,000 | 71,503 | ||
6.75%, 03/15/32 | 20,000 | 25,714 | ||
6.88%, 01/10/39 | 120,000 | 160,641 | ||
4.50%, 03/11/44Δ | 70,000 | 76,825 | ||
General Motors Co. | ||||
5.20%, 04/01/45 | 110,000 | 111,288 | ||
General Motors Financial Co., Inc. | ||||
3.45%, 04/10/22 | 155,000 | 158,571 | ||
5.10%, 01/17/24 | 150,000 | 162,942 | ||
5.25%, 03/01/26 | 315,000 | 349,601 | ||
Genesis Energy LP | ||||
5.63%, 06/15/24 | 90,000 | 87,112 | ||
GEO Group, Inc. (The) REIT | ||||
5.88%, 10/15/24 | 290,000 | 264,745 | ||
Georgia-Pacific LLC | ||||
8.88%, 05/15/31 | 305,000 | 474,331 | ||
Gilead Sciences, Inc. | ||||
4.00%, 09/01/36 | 670,000 | 742,990 | ||
Global Marine, Inc. | ||||
7.00%, 06/01/28 | 25,000 | 22,438 | ||
Goldman Sachs Capital II | ||||
(Variable, ICE LIBOR USD 3M + 0.77%), 4.00%, 02/10/20† ρ | 40,000 | 35,061 | ||
Goldman Sachs Group, Inc. (The) | ||||
(Variable, ICE LIBOR USD 3M + 1.51%), 3.69%, 06/05/28^ | 325,000 | 346,065 | ||
(Variable, ICE LIBOR USD 3M + 1.16%), 3.81%, 04/23/29^ | 340,000 | 365,066 | ||
6.75%, 10/01/37 | 355,000 | 493,767 |
Par | Value | |||
5.15%, 05/22/45 | $810,000 | $997,127 | ||
Goodyear Tire & Rubber Co. (The) | ||||
4.88%, 03/15/27Δ | 420,000 | 435,477 | ||
7.00%, 03/15/28 | 350,000 | 393,655 | ||
Hanesbrands, Inc. | ||||
4.63%, 05/15/24 144A | 110,000 | 116,233 | ||
4.88%, 05/15/26 144A | 560,000 | 593,936 | ||
HCA, Inc. | ||||
5.00%, 03/15/24 | 40,000 | 43,768 | ||
8.36%, 04/15/24 | 50,000 | 61,000 | ||
5.38%, 02/01/25 | 20,000 | 22,158 | ||
7.69%, 06/15/25 | 140,000 | 169,108 | ||
7.58%, 09/15/25 | 360,000 | 433,800 | ||
5.88%, 02/15/26 | 8,000 | 9,112 | ||
5.25%, 06/15/26 | 360,000 | 403,841 | ||
5.38%, 09/01/26 | 20,000 | 22,326 | ||
4.50%, 02/15/27 | 320,000 | 345,613 | ||
7.05%, 12/01/27 | 15,000 | 17,794 | ||
5.63%, 09/01/28 | 440,000 | 502,238 | ||
4.13%, 06/15/29 | 335,000 | 356,145 | ||
7.50%, 11/06/33 | 105,000 | 132,599 | ||
7.75%, 07/15/36 | 65,000 | 77,675 | ||
5.25%, 06/15/49 | 370,000 | 414,905 | ||
Healthcare Trust of America Holdings LP REIT | ||||
3.10%, 02/15/30 | 275,000 | 273,470 | ||
Hercules LLC | ||||
6.50%, 06/30/29 | 130,000 | 137,800 | ||
Hewlett Packard Enterprise Co. | ||||
3.60%, 10/15/20 | 175,000 | 177,008 | ||
Hilton Worldwide Finance LLC | ||||
4.63%, 04/01/25 | 180,000 | 185,475 | ||
4.88%, 04/01/27 | 520,000 | 553,462 | ||
Intelsat Jackson Holdings SA | ||||
5.50%, 08/01/23 | 110,000 | 94,724 | ||
International Business Machines Corporation | ||||
1.63%, 05/15/20 | 365,000 | 364,909 | ||
4.15%, 05/15/39 | 150,000 | 169,517 | ||
4.25%, 05/15/49 | 400,000 | 458,511 | ||
International Lease Finance Corporation | ||||
4.63%, 04/15/21 | 155,000 | 159,882 | ||
IQVIA, Inc. | ||||
2.25%, 01/15/28(E) | 800,000 | 929,627 | ||
Iron Mountain, Inc. REIT | ||||
4.88%, 09/15/29 144A | 395,000 | 402,158 | ||
iStar, Inc. REIT | ||||
3.13%, 09/15/22 CONV | 220,000 | 247,242 | ||
J.C. Penney Corporation, Inc. | ||||
6.38%, 10/15/36 | 240,000 | 79,200 | ||
7.63%, 03/01/97 | 405,000 | 113,400 | ||
Jefferies Group LLC | ||||
5.13%, 01/20/23 | 155,000 | 167,492 | ||
6.45%, 06/08/27Δ | 20,000 | 23,481 | ||
6.25%, 01/15/36 | 570,000 | 682,049 | ||
6.50%, 01/20/43Δ | 260,000 | 310,441 |
Table of Contents
Par | Value | |||
JELD-WEN, Inc. | ||||
4.88%, 12/15/27 144A Δ | $380,000 | $389,632 | ||
JPMorgan Chase & Co. | ||||
(Variable, ICE LIBOR USD 3M + 3.33%), 6.13%, 04/30/24ρ ^ | 190,000 | 207,711 | ||
(Variable, Euribor 3M + 0.84%), 1.64%, 05/18/28(E) ^ | 250,000 | 301,561 | ||
Kinder Morgan Energy Partners LP | ||||
4.15%, 02/01/24 | 375,000 | 397,935 | ||
6.50%, 02/01/37 | 40,000 | 49,963 | ||
6.95%, 01/15/38 | 50,000 | 66,330 | ||
Kinder Morgan, Inc. | ||||
4.30%, 03/01/28 | 95,000 | 103,674 | ||
7.75%, 01/15/32 | 560,000 | 772,481 | ||
5.55%, 06/01/45 | 400,000 | 476,722 | ||
Kraft Heinz Foods Co. | ||||
4.88%, 02/15/25 144A | 80,000 | 82,199 | ||
3.75%, 04/01/30 144A | 350,000 | 360,963 | ||
5.20%, 07/15/45 | 50,000 | 54,384 | ||
4.88%, 10/01/49 144A | 130,000 | 137,433 | ||
Kroger Co. (The) | ||||
5.40%, 01/15/49 | 75,000 | 91,761 | ||
Kronos International, Inc. | ||||
3.75%, 09/15/25(E) | 455,000 | 520,581 | ||
L3Harris Technologies, Inc. | ||||
5.05%, 04/27/45 | 620,000 | 765,987 | ||
Lamb Weston Holdings, Inc. | ||||
4.63%, 11/01/24 144A | 320,000 | 340,267 | ||
4.88%, 11/01/26 144A | 1,020,000 | 1,083,087 | ||
Lennar Corporation | ||||
4.75%, 11/15/22 | 160,000 | 168,285 | ||
4.75%, 11/29/27 | 720,000 | 777,132 | ||
LHMC Finco 2 S.a.r.l. | ||||
Cash Coupon 7.25% or PIK 8.00%, 7.25%, 10/02/25(E) Δ | 550,000 | 642,384 | ||
Lions Gate Capital Holdings LLC | ||||
5.88%, 11/01/24 144A | 360,000 | 362,849 | ||
Lockheed Martin Corporation | ||||
3.80%, 03/01/45 | 780,000 | 867,732 | ||
Marathon Oil Corporation | ||||
4.40%, 07/15/27Δ | 340,000 | 370,077 | ||
Masco Corporation | ||||
7.75%, 08/01/29 | 62,000 | 80,524 | ||
6.50%, 08/15/32 | 27,000 | 33,174 | ||
Match Group, Inc. | ||||
5.00%, 12/15/27 144A Δ | 690,000 | 721,290 | ||
Mauser Packaging Solutions Holding Co. | ||||
4.75%, 04/15/24(E) | 900,000 | 1,048,917 | ||
MBIA Insurance Corporation | ||||
13.26%, 01/15/33 144A | 215,000 | 147,738 | ||
Michaels Stores, Inc. | ||||
8.00%, 07/15/27 144A Δ | 70,000 | 66,980 | ||
Microchip Technology, Inc. | ||||
4.33%, 06/01/23 | 375,000 | 396,476 | ||
1.63%, 02/15/25 CONV | 145,000 | 312,294 | ||
Midas Intermediate Holdco II LLC | ||||
7.88%, 10/01/22 144A | 505,000 | 462,233 |
Par | Value | |||
MMS USA Financing, Inc. | ||||
1.75%, 06/13/31(E) | $600,000 | $684,794 | ||
Morgan Stanley | ||||
5.75%, 01/25/21 | 105,000 | 109,074 | ||
3.13%, 08/05/21(C) | 535,000 | 418,021 | ||
4.10%, 05/22/23 | 190,000 | 200,753 | ||
6.25%, 08/09/26 | 205,000 | 249,870 | ||
4.35%, 09/08/26 | 475,000 | 519,989 | ||
3.95%, 04/23/27 | 65,000 | 69,797 | ||
(Variable, ICE LIBOR USD 3M + 1.34%), 3.59%, 07/22/28^ | 625,000 | 665,078 | ||
MPLX LP | ||||
4.50%, 07/15/23 | 15,000 | 15,951 | ||
6.38%, 05/01/24 144A | 140,000 | 146,634 | ||
4.88%, 06/01/25 | 40,000 | 43,729 | ||
4.70%, 04/15/48 | 350,000 | 357,212 | ||
MPT Operating Partnership LP REIT | ||||
2.55%, 12/05/23(U) | 350,000 | 472,420 | ||
5.25%, 08/01/26 | 240,000 | 254,103 | ||
5.00%, 10/15/27 | 1,000,000 | 1,062,525 | ||
Mutual of Omaha Insurance Co. | ||||
6.80%, 06/15/36 144A | 605,000 | 791,994 | ||
Nationstar Mortgage Holdings, Inc. | ||||
9.13%, 07/15/26 144A | 210,000 | 232,838 | ||
Navient Corporation | ||||
8.00%, 03/25/20 | 140,000 | 141,685 | ||
5.88%, 03/25/21 | 230,000 | 238,108 | ||
5.50%, 01/25/23 | 865,000 | 925,550 | ||
6.13%, 03/25/24 | 750,000 | 815,617 | ||
5.88%, 10/25/24 | 245,000 | 262,760 | ||
6.75%, 06/15/26Δ | 170,000 | 187,162 | ||
Netflix, Inc. | ||||
3.63%, 05/15/27(E) | 900,000 | 1,083,801 | ||
Newell Brands, Inc. | ||||
3.85%, 04/01/23 | 320,000 | 332,740 | ||
Newfield Exploration Co. | ||||
5.63%, 07/01/24 | 480,000 | 528,203 | ||
Newmont Goldcorp Corporation | ||||
4.88%, 03/15/42 | 290,000 | 340,190 | ||
NGL Energy Partners LP | ||||
7.50%, 11/01/23 | 165,000 | 165,411 | ||
6.13%, 03/01/25 | 375,000 | 354,531 | ||
NGPL PipeCo LLC | ||||
4.38%, 08/15/22 144A | 430,000 | 446,905 | ||
7.77%, 12/15/37 144A | 200,000 | 258,928 | ||
Noble Holding International, Ltd. | ||||
7.88%, 02/01/26 144A | 105,000 | 76,424 | ||
NRG Energy, Inc. | ||||
7.25%, 05/15/26 | 160,000 | 175,096 | ||
Nuance Communications, Inc. | ||||
1.25%, 04/01/25 CONV Δ | 80,000 | 89,264 | ||
1.00%, 12/15/35 CONV | 720,000 | 726,749 | ||
Oasis Petroleum, Inc. | ||||
6.88%, 01/15/23Δ | 50,000 | 49,000 | ||
Occidental Petroleum Corporation | ||||
3.20%, 08/15/26 | 375,000 | 379,834 | ||
3.50%, 08/15/29Δ | 665,000 | 679,420 |
Table of Contents
Par | Value | |||
4.50%, 07/15/44 | $215,000 | $217,549 | ||
Old Republic International Corporation | ||||
4.88%, 10/01/24 | 265,000 | 290,791 | ||
ON Semiconductor Corporation | ||||
1.00%, 12/01/20 CONV | 325,000 | 442,485 | ||
ONEOK Partners LP | ||||
4.90%, 03/15/25 | 35,000 | 38,572 | ||
6.20%, 09/15/43 | 15,000 | 19,022 | ||
Oracle Corporation | ||||
4.00%, 07/15/46 | 85,000 | 94,769 | ||
Owens Corning | ||||
7.00%, 12/01/36 | 523,000 | 652,489 | ||
Owens-Brockway Glass Container, Inc. | ||||
5.38%, 01/15/25 144A | 755,000 | 779,851 | ||
Pactiv LLC | ||||
8.38%, 04/15/27 | 140,000 | 156,499 | ||
Penn Mutual Life Insurance Co. (The) | ||||
7.63%, 06/15/40 144A | 345,000 | 497,039 | ||
Plains All American Pipeline LP | ||||
3.55%, 12/15/29 | 290,000 | 286,679 | ||
Prime Security Services Borrower LLC | ||||
5.25%, 04/15/24 144A | 1,430,000 | 1,515,922 | ||
PulteGroup, Inc. | ||||
7.88%, 06/15/32 | 755,000 | 972,607 | ||
6.38%, 05/15/33 | 240,000 | 280,973 | ||
6.00%, 02/15/35 | 95,000 | 106,409 | ||
QEP Resources, Inc. | ||||
5.38%, 10/01/22 | 160,000 | 161,250 | ||
5.25%, 05/01/23 | 755,000 | 749,337 | ||
Quicken Loans, Inc. | ||||
5.75%, 05/01/25 144A | 1,335,000 | 1,382,840 | ||
5.25%, 01/15/28 144A | 90,000 | 93,359 | ||
Radian Group, Inc. | ||||
4.50%, 10/01/24Δ | 75,000 | 79,531 | ||
4.88%, 03/15/27 | 45,000 | 47,491 | ||
Range Resources Corporation | ||||
5.00%, 08/15/22Δ | 265,000 | 260,362 | ||
5.00%, 03/15/23Δ | 795,000 | 733,236 | ||
4.88%, 05/15/25Δ | 120,000 | 102,900 | ||
Reliance Holding USA, Inc. | ||||
4.50%, 10/19/20 144A | 540,000 | 548,709 | ||
Reynolds Group Issuer, Inc. | ||||
5.75%, 10/15/20 | 38,764 | 38,861 | ||
5.13%, 07/15/23 144A | 670,000 | 687,309 | ||
Rovi Corporation | ||||
0.50%, 03/01/20 CONV | 495,000 | 492,166 | ||
Seagate HDD Cayman | ||||
4.88%, 06/01/27 | 125,000 | 132,959 | ||
Sealed Air Corporation | ||||
4.88%, 12/01/22 144A Δ | 15,000 | 15,923 | ||
Sensata Technologies, Inc. | ||||
4.38%, 02/15/30 144A | 720,000 | 735,800 |
Par | Value | |||
ServiceMaster Co. LLC (The) | ||||
7.45%, 08/15/27 | $600,000 | $679,708 | ||
SM Energy Co. | ||||
1.50%, 07/01/21 CONV | 120,000 | 114,803 | ||
5.00%, 01/15/24Δ | 25,000 | 23,885 | ||
6.75%, 09/15/26Δ | 40,000 | 39,314 | ||
6.63%, 01/15/27Δ | 135,000 | 132,999 | ||
Southern Copper Corporation | ||||
5.25%, 11/08/42 | 870,000 | 1,004,353 | ||
Southwestern Energy Co. | ||||
6.20%, 01/23/25 | 145,000 | 133,355 | ||
Spectrum Brands, Inc. | ||||
5.75%, 07/15/25 | 570,000 | 596,368 | ||
5.00%, 10/01/29 144A | 90,000 | 93,181 | ||
Springleaf Finance Corporation | ||||
6.13%, 05/15/22 | 585,000 | 629,606 | ||
8.25%, 10/01/23 | 30,000 | 35,037 | ||
6.88%, 03/15/25 | 265,000 | 302,097 | ||
Sprint Capital Corporation | ||||
6.88%, 11/15/28 | 1,440,000 | 1,554,264 | ||
8.75%, 03/15/32 | 550,000 | 668,580 | ||
Sprint Communications, Inc. | ||||
11.50%, 11/15/21 | 410,000 | 469,171 | ||
Sprint Corporation | ||||
7.88%, 09/15/23 | 490,000 | 541,653 | ||
Synchrony Financial | ||||
2.85%, 07/25/22 | 640,000 | 648,140 | ||
Targa Resources Partners LP | ||||
4.25%, 11/15/23 | 310,000 | 313,746 | ||
6.75%, 03/15/24 | 530,000 | 550,532 | ||
5.13%, 02/01/25 | 40,000 | 41,600 | ||
5.88%, 04/15/26 | 620,000 | 659,912 | ||
5.38%, 02/01/27 | 40,000 | 41,574 | ||
Tenet Healthcare Corporation | ||||
6.75%, 06/15/23 | 145,000 | 159,615 | ||
5.13%, 05/01/25 | 515,000 | 531,737 | ||
6.88%, 11/15/31 | 160,000 | 163,656 | ||
Textron, Inc. | ||||
6.63%, 04/07/20(U) | 70,000 | 93,924 | ||
Time Warner Cable LLC | ||||
5.50%, 09/01/41 | 35,000 | 39,175 | ||
4.50%, 09/15/42 | 55,000 | 56,354 | ||
TransDigm, Inc. | ||||
6.50%, 07/15/24 | 104,000 | 107,477 | ||
6.50%, 05/15/25 | 100,000 | 104,209 | ||
Transocean Proteus, Ltd. | ||||
6.25%, 12/01/24 144A | 560,000 | 578,432 | ||
Transocean, Inc. | ||||
5.80%, 10/15/22Δ | 220,000 | 212,919 | ||
7.50%, 04/15/31Δ | 30,000 | 23,326 | ||
6.80%, 03/15/38Δ | 215,000 | 153,209 | ||
UAL Pass-Through Trust, Series 2007-1 | ||||
6.64%, 07/02/22 | 60,289 | 64,167 |
Table of Contents
Par | Value | |||
UGI International LLC | ||||
3.25%, 11/01/25(E) | $425,000 | $504,887 | ||
United Airlines Pass-Through Trust, Series 2014-1, Class A | ||||
4.00%, 04/11/26 | 93,875 | 100,030 | ||
United Airlines Pass-Through Trust, Series 2014-2, Class B | ||||
4.63%, 09/03/22 | 56,396 | 58,213 | ||
United Airlines Pass-Through Trust, Series 2016-2, Class B | ||||
3.65%, 10/07/25 | 82,871 | 84,110 | ||
United Rentals North America, Inc. | ||||
4.63%, 10/15/25 | 110,000 | 113,320 | ||
6.50%, 12/15/26 | 110,000 | 121,100 | ||
5.50%, 05/15/27 | 250,000 | 268,449 | ||
3.88%, 11/15/27 | 390,000 | 398,892 | ||
4.88%, 01/15/28 | 300,000 | 312,924 | ||
5.25%, 01/15/30Δ | 410,000 | 442,041 | ||
United States Steel Corporation | ||||
6.65%, 06/01/37Δ | 325,000 | 264,366 | ||
United Technologies Corporation | ||||
4.63%, 11/16/48 | 370,000 | 464,354 | ||
UnitedHealth Group, Inc. | ||||
3.88%, 08/15/59Δ | 270,000 | 292,524 | ||
US Airways Pass-Through Trust, Series 2012-1, Class A | ||||
5.90%, 10/01/24 | 96,528 | 107,390 | ||
US Airways Pass-Through Trust, Series 2012-2, Class A | ||||
4.63%, 06/03/25 | 79,663 | 86,117 | ||
Valvoline, Inc. | ||||
5.50%, 07/15/24 | 190,000 | 197,679 | ||
4.38%, 08/15/25 | 470,000 | 486,354 | ||
Verizon Communications, Inc. | ||||
4.52%, 09/15/48 | 375,000 | 450,676 | ||
Viking Cruises, Ltd. | ||||
5.88%, 09/15/27 144A | 90,000 | 96,354 | ||
Vine Oil & Gas LP | ||||
9.75%, 04/15/23 144A | 30,000 | 15,150 | ||
VOC Escrow, Ltd. | ||||
5.00%, 02/15/28 144A | 280,000 | 293,818 | ||
Volkswagen Group of America Finance LLC | ||||
2.70%, 09/26/22 144A | 475,000 | 480,743 | ||
Walmart, Inc. | ||||
3.70%, 06/26/28 | 275,000 | 303,231 | ||
Wells Fargo & Co. | ||||
4.48%, 01/16/24 | 90,000 | 97,260 | ||
(Variable, ICE LIBOR USD 3M + 3.99%), 5.88%, 06/15/25ρ ^ | 170,000 | 189,270 | ||
1.00%, 02/02/27(E) | 400,000 | 463,094 | ||
Western Digital Corporation | ||||
1.50%, 02/01/24 CONV | 170,000 | 167,344 | ||
Westlake Chemical Corporation | ||||
1.63%, 07/17/29 | 200,000 | 224,112 | ||
WestRock MWV LLC | ||||
8.20%, 01/15/30 | 75,000 | 103,541 |
Par | Value | |||
7.95%, 02/15/31 | $25,000 | $34,512 | ||
Weyerhaeuser Co. REIT | ||||
8.50%, 01/15/25 | 205,000 | 259,518 | ||
6.95%, 10/01/27 | 30,000 | 37,871 | ||
7.38%, 03/15/32 | 190,000 | 262,920 | ||
6.88%, 12/15/33 | 250,000 | 331,731 | ||
Whiting Petroleum Corporation | ||||
5.75%, 03/15/21 | 215,000 | 203,874 | ||
6.25%, 04/01/23Δ | 470,000 | 394,800 | ||
6.63%, 01/15/26Δ | 365,000 | 249,662 | ||
William Lyon Homes, Inc. | ||||
7.00%, 08/15/22 | 2,000 | 2,006 | ||
Williams Cos., Inc. (The) | ||||
7.50%, 01/15/31 | 40,000 | 52,241 | ||
5.75%, 06/24/44 | 320,000 | 379,773 | ||
Windstream Services LLC | ||||
10.50%, 06/30/24 144A # | 35,000 | 13,752 | ||
9.00%, 06/30/25 144A # | 265,000 | 101,472 | ||
WMG Acquisition Corporation | ||||
3.63%, 10/15/26(E) | 635,000 | 755,907 | ||
WPX Energy, Inc. | ||||
8.25%, 08/01/23 | 310,000 | 357,404 | ||
XPO Logistics, Inc. | ||||
6.50%, 06/15/22 144A | 10,000 | 10,208 | ||
6.13%, 09/01/23 144A | 350,000 | 362,035 | ||
Total Corporate Bonds (Cost $125,980,928) | 134,445,597 | |||
FOREIGN BONDS — 36.2% | ||||
Angola — 0.1% | ||||
Angolan Government International Bond | ||||
9.50%, 11/12/25 | 200,000 | 234,673 | ||
9.38%, 05/08/48 | 200,000 | 220,001 | ||
454,674 | ||||
Argentina — 0.6% | ||||
Argentina Bonar Bonds | ||||
(Floating, Argentina Deposit Rates Badlar Private Banks 30-35 Days + 3.25%), 45.14%, 03/01/20(ZA) † | 8,300,000 | 113,322 | ||
(Floating, Argentina Deposit Rates Badlar Private Banks 30-35 Days + 2.00%), 42.37%, 04/03/22(ZA) † ††† | 22,940,000 | 247,654 | ||
Argentina POM Politica Monetaria | ||||
(Floating, Argentina Blended Historical Policy Rate + 0.00%), 56.61%, 06/21/20(ZA) † | 20,760,000 | 229,893 | ||
Argentine Bonos del Tesoro | ||||
18.20%, 10/03/21(ZA) | 65,390,000 | 428,899 | ||
Argentine Republic Government International Bond | ||||
6.88%, 04/22/21 | 310,000 | 168,299 | ||
7.50%, 04/22/26 | 610,000 | 318,937 | ||
5.88%, 01/11/28 | 930,000 | 439,748 |
Table of Contents
Par | Value | |||
7.63%, 04/22/46 | $680,000 | $344,036 | ||
Pampa Energia SA | ||||
7.50%, 01/24/27 144A | 1,300,000 | 1,112,187 | ||
Provincia de Buenos Aires | ||||
7.88%, 06/15/27 144A | 560,000 | 242,200 | ||
YPF SA | ||||
16.50%, 05/09/22(ZA) | 450,000 | 3,758 | ||
3,648,933 | ||||
Armenia — 0.1% | ||||
Republic of Armenia International Bond | ||||
3.95%, 09/26/29 144A | 500,000 | 496,636 | ||
3.95%, 09/26/29 | 200,000 | 198,654 | ||
695,290 | ||||
Australia — 0.1% | ||||
Commonwealth Bank of Australia | ||||
3.74%, 09/12/39 144A | 450,000 | 452,359 | ||
Austria — 0.1% | ||||
Suzano Austria GmbH | ||||
5.75%, 07/14/26 144A Δ | 370,000 | 414,529 | ||
Azerbaijan — 0.2% | ||||
Southern Gas Corridor CJSC | ||||
6.88%, 03/24/26 | 510,000 | 605,602 | ||
State Oil Co. of the Azerbaijan Republic | ||||
4.75%, 03/13/23 | 400,000 | 421,316 | ||
1,026,918 | ||||
Belgium — 0.3% | ||||
House of Finance NV (The) | ||||
4.38%, 07/15/26(E) | 340,000 | 393,573 | ||
Solvay SA | ||||
(Variable, EUR Swap Rate 5Y + 3.92%), 4.25%, 12/04/23(E) ρ Δ ^ | 900,000 | 1,124,314 | ||
1,517,887 | ||||
Bermuda — 0.1% | ||||
Bermuda Government International Bond | ||||
3.72%, 01/25/27 | 200,000 | 210,572 | ||
4.75%, 02/15/29 | 200,000 | 226,319 | ||
436,891 | ||||
Brazil — 1.2% | ||||
Brazil Minas SPE via State of Minas Gerais | ||||
5.33%, 02/15/28 | 180,000 | 193,474 | ||
Brazil Notas do Tesouro Nacional Serie F | ||||
10.00%, 01/01/23(B) | 10,300,000 | 2,845,104 | ||
10.00%, 01/01/27(B) | 927,000 | 272,101 | ||
Brazilian Government International Bond | ||||
10.25%, 01/10/28(B) | 2,630,000 | 770,115 | ||
4.63%, 01/13/28Δ | 720,000 | 774,540 |
Par | Value | |||
CSN Resources SA | ||||
7.63%, 04/17/26 | $200,000 | $213,369 | ||
Itau Unibanco Holding SA | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 3.98%), 6.13%, 12/12/22 144A ρ ^ | 760,000 | 794,398 | ||
Ultrapar International SA | ||||
5.25%, 10/06/26 144A | 420,000 | 452,175 | ||
Vale Overseas, Ltd. | ||||
6.88%, 11/21/36 | 200,000 | 260,687 | ||
Vale SA | ||||
3.75%, 01/10/23(E) | 570,000 | 695,378 | ||
7,271,341 | ||||
Canada — 2.1% | ||||
1011778 BC ULC | ||||
5.00%, 10/15/25 144A | 20,000 | 20,692 | ||
3.88%, 01/15/28 144A | 720,000 | 723,132 | ||
Bausch Health Cos., Inc. | ||||
5.50%, 11/01/25 144A | 270,000 | 282,713 | ||
9.00%, 12/15/25 144A | 40,000 | 45,588 | ||
7.25%, 05/30/29 144A | 210,000 | 240,313 | ||
Baytex Energy Corporation | ||||
5.13%, 06/01/21 144A | 60,000 | 59,574 | ||
5.63%, 06/01/24 144A | 60,000 | 54,775 | ||
Bombardier, Inc. | ||||
6.13%, 05/15/21(E) | 300,000 | 354,177 | ||
6.00%, 10/15/22 144A | 605,000 | 606,331 | ||
7.88%, 04/15/27 144A | 230,000 | 237,193 | ||
Canadian Government Bond | ||||
1.00%, 06/01/27(C) | 5,000,000 | 3,658,658 | ||
Canadian Natural Resources, Ltd. | ||||
4.95%, 06/01/47Δ | 115,000 | 140,047 | ||
First Quantum Minerals, Ltd. | ||||
7.25%, 04/01/23 144A Δ | 300,000 | 311,209 | ||
7.50%, 04/01/25 144A | 350,000 | 358,605 | ||
6.88%, 03/01/26 144A Δ | 300,000 | 304,305 | ||
Glencore Finance Canada, Ltd. | ||||
6.00%, 11/15/41 | 340,000 | 380,729 | ||
Hudbay Minerals, Inc. | ||||
7.63%, 01/15/25 144A | 870,000 | 920,099 | ||
MEG Energy Corporation | ||||
6.38%, 01/30/23 144A | 25,000 | 25,115 | ||
7.00%, 03/31/24 144A Δ | 290,000 | 292,417 | ||
6.50%, 01/15/25 144A | 20,000 | 20,844 | ||
Province of Ontario Generic Residual STRIP | ||||
1.93%, 07/13/22(C) Ω | 2,600,000 | 1,910,591 | ||
2.36%, 03/08/29(C) Ω | 2,400,000 | 1,487,240 | ||
Rogers Communications, Inc. | ||||
3.70%, 11/15/49 | 200,000 | 202,809 | ||
Teine Energy, Ltd. | ||||
6.88%, 09/30/22 144A | 40,000 | 40,112 | ||
12,677,268 |
Table of Contents
Par | Value | |||
Chile — 0.0% | ||||
Corporation Nacional del Cobre de Chile | ||||
3.63%, 08/01/27 144A | $220,000 | $229,106 | ||
China — 0.6% | ||||
Avolon Holdings Funding, Ltd. | ||||
3.95%, 07/01/24 144A | 350,000 | 365,172 | ||
China Minmetals Corporation | ||||
(Variable, 4.72% - U.S. Treasury Yield Curve Rate CMT 5Y), 3.75%, 11/13/22ρ ^ | 250,000 | 253,502 | ||
Chinalco Capital Holdings, Ltd. | ||||
(Variable, 5.79% - U.S. Treasury Yield Curve Rate CMT 5Y), 4.10%, 09/11/24ρ Δ ^ | 200,000 | 202,775 | ||
Dianjian International Finance, Ltd. | ||||
(Variable, 6.93% - U.S. Treasury Yield Curve Rate CMT 5Y), 4.60%, 03/13/23ρ ^ | 200,000 | 206,791 | ||
Huarong Finance 2017 Co., Ltd. | ||||
(Variable, 7.77% - U.S. Treasury Yield Curve Rate CMT 5Y), 4.50%, 01/24/22ρ ^ | 200,000 | 203,500 | ||
Park Aerospace Holdings, Ltd. | ||||
5.25%, 08/15/22 144A | 220,000 | 235,007 | ||
4.50%, 03/15/23 144A | 190,000 | 199,484 | ||
5.50%, 02/15/24 144A | 830,000 | 912,303 | ||
Sinopec Group Overseas Development 2015, Ltd. | ||||
3.25%, 04/28/25 | 250,000 | 258,309 | ||
Sinopec Group Overseas Development 2018, Ltd. | ||||
2.50%, 08/08/24 | 200,000 | 200,898 | ||
Swissport Financing S.a.r.l. | ||||
5.25%, 08/15/24(E) | 300,000 | 358,720 | ||
9.00%, 02/15/25(E) | 325,000 | 389,160 | ||
3,785,621 | ||||
Colombia — 1.0% | ||||
Colombia Government International Bond | ||||
4.50%, 03/15/29 | 300,000 | 333,554 | ||
5.63%, 02/26/44 | 3,170,000 | 3,949,614 | ||
5.00%, 06/15/45 | 200,000 | 232,987 | ||
Colombian TES | ||||
10.00%, 07/24/24(X) | 23,100,000 | 8,336 | ||
Ecopetrol SA | ||||
5.88%, 09/18/23Δ | 140,000 | 155,314 | ||
Millicom International Cellular SA | ||||
5.13%, 01/15/28 144A Δ | 1,300,000 | 1,366,765 | ||
6,046,570 | ||||
Costa Rica — 0.1% | ||||
Costa Rica Government International Bond | ||||
7.16%, 03/12/45 | 340,000 | 363,268 | ||
Croatia — 0.1% | ||||
Croatia Government International Bond | ||||
6.00%, 01/26/24 | 200,000 | 229,517 |
Par | Value | |||
1.13%, 06/19/29(E) Δ | $200,000 | $232,065 | ||
461,582 | ||||
Denmark — 0.2% | ||||
Danske Bank A/S | ||||
(Variable, EUR Swap Rate 6Y + 4.64%), 5.75%, 04/06/20(E) ρ ^ | 570,000 | 647,057 | ||
DKT Finance ApS | ||||
7.00%, 06/17/23(E) | 530,000 | 631,206 | ||
1,278,263 | ||||
Dominican Republic — 0.1% | ||||
Dominican Republic International Bond | ||||
6.85%, 01/27/45 | 220,000 | 251,831 | ||
Ecuador — 0.2% | ||||
Ecuador Government International Bond | ||||
8.88%, 10/23/27 | 460,000 | 423,360 | ||
7.88%, 01/23/28 | 1,060,000 | 945,104 | ||
1,368,464 | ||||
Egypt — 0.3% | ||||
Egypt Government International Bond | ||||
7.60%, 03/01/29 144A | 360,000 | 394,675 | ||
7.60%, 03/01/29 | 600,000 | 657,792 | ||
6.38%, 04/11/31(E) | 350,000 | 421,310 | ||
7.90%, 02/21/48 | 200,000 | 210,458 | ||
1,684,235 | ||||
El Salvador — 0.0% | ||||
El Salvador Government International Bond | ||||
7.12%, 01/20/50Δ | 150,000 | 160,172 | ||
France — 1.9% | ||||
3AB Optique Developpement SAS | ||||
4.00%, 10/01/23(E) 144A | 100,000 | 115,971 | ||
Altice France SA | ||||
7.38%, 05/01/26 144A | 790,000 | 849,637 | ||
3.38%, 01/15/28(E) Δ | 1,700,000 | 1,970,136 | ||
Arkema SA | ||||
(Variable, 2.87% - EUR Swap Rate 5Y), 2.75%, 06/17/24(E) ρ ^ | 400,000 | 477,844 | ||
BNP Paribas SA | ||||
(Variable, Euribor 3M + 1.80%), 2.13%, 01/23/27(E) ^ | 600,000 | 735,406 | ||
(Variable, USD Swap 5Y + 3.98%), 7.00%, 08/16/28 144A ρ ^ | 300,000 | 348,270 | ||
Burger King France SAS | ||||
(Floating, 5.25% - Euribor 3M), 5.25%, 05/01/23(E) 144A † | 130,000 | 148,616 | ||
6.00%, 05/01/24(E) 144A | 120,000 | 141,670 | ||
Casino Guichard Perrachon SA | ||||
4.05%, 08/05/26(E) | 700,000 | 670,033 | ||
Constellium SE | ||||
4.25%, 02/15/26(E) | 430,000 | 504,036 |
Table of Contents
Par | Value | |||
Credit Agricole SA | ||||
(Variable, EUR Swap Rate 5Y + 5.12%), 6.50%, 06/23/21(E) ρ ^ | $300,000 | $364,238 | ||
Crown European Holdings SA | ||||
2.88%, 02/01/26(E) Δ | 630,000 | 768,717 | ||
Europcar Mobility Group | ||||
4.00%, 04/30/26(E) | 480,000 | 524,013 | ||
Hercule Debtco S.a.r.l. | ||||
Cash Coupon 6.75% or PIK 7.5%, 6.75%, 06/30/24(E) 144A | 590,000 | 580,732 | ||
La Financiere Atalian SASU | ||||
4.00%, 05/15/24(E) | 285,000 | 259,731 | ||
Loxam SAS | ||||
5.75%, 07/15/27(E) | 695,000 | 824,174 | ||
Novafives SAS | ||||
5.00%, 06/15/25(E) Δ | 640,000 | 646,853 | ||
Orange SA | ||||
0.50%, 09/04/32(E) | 700,000 | 740,492 | ||
Orano SA | ||||
3.38%, 04/23/26(E) | 600,000 | 724,409 | ||
Paprec Holding SA | ||||
4.00%, 03/31/25(E) | 385,000 | 417,387 | ||
11,812,365 | ||||
Germany — 1.6% | ||||
Bundesrepublik Deutschland Bundesanleihe | ||||
1.00%, 08/15/24(E) | 780,000 | 936,480 | ||
CeramTec BondCo GmbH | ||||
5.25%, 12/15/25(E) | 860,000 | 1,011,545 | ||
EnBW Energie Baden-Wuerttemberg AG | ||||
(Variable, 3.63% - EUR Swap Rate 5Y), 3.38%, 04/05/77(E) ^ | 135,000 | 160,218 | ||
IHO Verwaltungs GmbH | ||||
PIK 4.63%, 3.88%, 05/15/27(E) | 325,000 | 386,881 | ||
Infineon Technologies AG | ||||
(Variable, 4.00% - EUR Swap Rate 5Y), 3.63%, 01/01/28(E) ρ Δ ^ | 500,000 | 587,490 | ||
KME SE | ||||
6.75%, 02/01/23(E) 144A | 480,000 | 433,425 | ||
Nidda BondCo GmbH | ||||
5.00%, 09/30/25(E) | 890,000 | 1,048,104 | ||
Platin 1426 GmbH | ||||
5.38%, 06/15/23(E) 144A | 340,000 | 385,688 | ||
5.38%, 06/15/23(E) Δ | 800,000 | 907,500 | ||
SGL Carbon SE | ||||
4.63%, 09/30/24(E) | 725,000 | 796,968 | ||
Techem Verwaltungsgesellschaft 674 mbH | ||||
6.00%, 07/30/26(E) | 1,035,000 | 1,257,464 | ||
Volkswagen Bank GmbH | ||||
1.25%, 06/10/24(E) | 100,000 | 115,319 |
Par | Value | |||
1.25%, 12/15/25(E) | $1,660,000 | $1,919,554 | ||
9,946,636 | ||||
Ghana — 0.2% | ||||
Ghana Government International Bond | ||||
7.63%, 05/16/29 144A Δ | 640,000 | 654,078 | ||
10.75%, 10/14/30 | 200,000 | 256,574 | ||
10.75%, 10/14/30 144A | 340,000 | 436,175 | ||
1,346,827 | ||||
Greece — 0.0% | ||||
Navios Maritime Acquisition Corporation | ||||
8.13%, 11/15/21 144A | 60,000 | 47,535 | ||
Guatemala — 0.1% | ||||
Guatemala Government Bond | ||||
4.38%, 06/05/27 144A | 540,000 | 560,438 | ||
Honduras — 0.2% | ||||
Honduras Government International Bond | ||||
7.50%, 03/15/24 | 460,000 | 513,091 | ||
6.25%, 01/19/27 144A Δ | 440,000 | 481,403 | ||
994,494 | ||||
Indonesia — 1.9% | ||||
Indonesia Government International Bond | ||||
5.88%, 01/15/24 144A | 400,000 | 453,253 | ||
4.75%, 02/11/29 | 200,000 | 229,239 | ||
5.25%, 01/17/42 144A | 1,940,000 | 2,341,078 | ||
5.25%, 01/17/42 | 460,000 | 555,101 | ||
Indonesia Treasury Bond | ||||
7.00%, 05/15/27(I) | 21,835,000,000 | 1,570,607 | ||
8.25%, 05/15/29(I) | 76,029,000,000 | 5,916,105 | ||
Perusahaan Listrik Negara PT | ||||
5.45%, 05/21/28 | 200,000 | 230,375 | ||
11,295,758 | ||||
Ireland — 0.4% | ||||
AerCap Ireland Capital DAC | ||||
3.50%, 05/26/22 | 150,000 | 154,250 | ||
4.45%, 10/01/25 | 400,000 | 430,446 | ||
Ardagh Packaging Finance PLC | ||||
6.00%, 02/15/25 144A | 500,000 | 525,625 | ||
4.75%, 07/15/27(U) | 460,000 | 641,762 | ||
GE Capital International Funding Co. Unlimited Co. | ||||
3.37%, 11/15/25 | 246,000 | 256,534 | ||
4.42%, 11/15/35 | 369,000 | 395,392 | ||
2,404,009 | ||||
Israel — 0.2% | ||||
Summit Properties, Ltd. | ||||
2.00%, 01/31/25(E) | 800,000 | 880,355 |
Table of Contents
Par | Value | |||
Italy — 2.7% | ||||
Intesa Sanpaolo SpA | ||||
(Variable, EUR Swap Rate 5Y + 6.88%), 7.00%, 01/19/21(E) ρ ^ | $550,000 | $653,514 | ||
Italy Buoni Poliennali Del Tesoro | ||||
2.05%, 08/01/27(E) | 2,870,000 | 3,446,799 | ||
3.45%, 03/01/48(E) 144A | 3,700,000 | 5,056,603 | ||
Rossini S.a.r.l. | ||||
6.75%, 10/30/25(E) | 705,000 | 883,718 | ||
Telecom Italia Capital SA | ||||
6.38%, 11/15/33 | 360,000 | 400,266 | ||
6.00%, 09/30/34 | 105,000 | 112,856 | ||
Telecom Italia Finance SA | ||||
7.75%, 01/24/33(E) Δ | 650,000 | 1,093,970 | ||
Telecom Italia SpA | ||||
5.30%, 05/30/24 144A | 1,290,000 | 1,389,962 | ||
3.63%, 05/25/26(E) | 1,400,000 | 1,739,832 | ||
UniCredit SpA | ||||
(Variable, EUR Swap Rate 5Y + 6.39%), 6.63%, 06/03/23(E) ρ ^ | 1,120,000 | 1,362,809 | ||
16,140,329 | ||||
Ivory Coast — 0.2% | ||||
Ivory Coast Government International Bond | ||||
5.25%, 03/22/30(E) | 150,000 | 171,994 | ||
5.75%, 12/31/32Δ STEP | 171,000 | 176,318 | ||
5.75%, 12/31/32 144A STEP | 418,950 | 419,729 | ||
6.13%, 06/15/33 | 200,000 | 202,241 | ||
970,282 | ||||
Japan — 0.2% | ||||
Japan Government Thirty Year Bond | ||||
0.70%, 12/20/48(J) | 45,000,000 | 447,740 | ||
SoftBank Group Corporation | ||||
5.00%, 04/15/28(E) | 805,000 | 999,423 | ||
1,447,163 | ||||
Jersey — 0.6% | ||||
Avis Budget Finance Plc | ||||
4.75%, 01/30/26(E) | 425,000 | 512,477 | ||
Delphi Technologies PLC | ||||
5.00%, 10/01/25 144A Δ | 780,000 | 723,450 | ||
Glencore Finance Europe, Ltd. | ||||
2.75%, 04/01/21(E) | 505,000 | 581,443 | ||
LHC3 PLC | ||||
Cash Coupon 4.13% or PIK 4.88%, 4.13%, 08/15/24(E) | 540,000 | 627,827 | ||
TVL Finance PLC | ||||
(Floating, ICE LIBOR GBP 3M + 5.38%), 6.16%, 07/15/25(U) † | 800,000 | 1,066,303 | ||
3,511,500 | ||||
Kazakhstan — 0.3% | ||||
Kazakhstan Government International Bond | ||||
6.50%, 07/21/45 | 200,000 | 295,534 |
Par | Value | |||
KazMunayGas National Co. JSC | ||||
5.38%, 04/24/30 144A | $500,000 | $580,926 | ||
5.38%, 04/24/30 | 300,000 | 348,555 | ||
KazTransGas JSC | ||||
4.38%, 09/26/27 144A | 630,000 | 662,116 | ||
1,887,131 | ||||
Kenya — 0.0% | ||||
Kenya Government International Bond | ||||
8.00%, 05/22/32 | 200,000 | 218,433 | ||
Luxembourg — 0.6% | ||||
Altice Finco SA | ||||
4.75%, 01/15/28(E) | 450,000 | 511,453 | ||
Altice Luxembourg SA | ||||
8.00%, 05/15/27(E) | 1,115,000 | 1,405,469 | ||
ArcelorMittal SA | ||||
7.00%, 10/15/39 | 260,000 | 317,434 | ||
6.75%, 03/01/41 | 350,000 | 417,584 | ||
Eurofins Scientific SE | ||||
(Variable, 7.01% - Euribor 3M), 4.88%, 04/29/23(E) ρ ^ | 560,000 | 660,750 | ||
Vivion Investments S.a.r.l. | ||||
3.00%, 08/08/24(E) | 500,000 | 573,833 | ||
3,886,523 | ||||
Mexico — 3.0% | ||||
Banco Mercantil del Norte SA | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 5.04%), 6.88%, 07/06/22 144A ρ ^ | 260,000 | 272,596 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 10Y + 5.47%), 7.50%, 06/27/29 144A ρ ^ | 325,000 | 347,347 | ||
BBVA Bancomer SA | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.65%), 5.13%, 01/18/33 144A ^ | 630,000 | 637,110 | ||
Cemex SAB de CV | ||||
2.75%, 12/05/24(E) Δ | 440,000 | 505,941 | ||
Mexican Bonos | ||||
6.50%, 06/09/22(M) | 32,810,000 | 1,726,926 | ||
8.00%, 12/07/23(M) | 20,808,900 | 1,147,436 | ||
10.00%, 12/05/24(M) | 15,794,700 | 948,968 | ||
7.50%, 06/03/27(M) | 139,360,700 | 7,662,019 | ||
8.50%, 05/31/29(M) | 1,002,900 | 59,080 | ||
7.75%, 05/29/31(M) | 1,504,300 | 84,951 | ||
7.75%, 11/13/42(M) | 45,250,000 | 2,540,390 | ||
Mexico City Airport Trust | ||||
5.50%, 07/31/47 | 200,000 | 206,939 | ||
Mexico Government International Bond | ||||
5.75%, 10/12/10« | 360,000 | 427,117 | ||
Orbia Advance Corp SAB de CV | ||||
5.88%, 09/17/44 144A | 1,100,000 | 1,162,915 |
Table of Contents
Par | Value | |||
Petroleos Mexicanos | ||||
7.69%, 01/23/50 | $390,000 | $426,962 | ||
18,156,697 | ||||
Mongolia — 0.0% | ||||
Mongolia Government International Bond | ||||
8.75%, 03/09/24 | 200,000 | 227,488 | ||
Morocco & Antilles — 0.1% | ||||
OCP SA | ||||
5.63%, 04/25/24 144A | 350,000 | 387,895 | ||
4.50%, 10/22/25 144A | 320,000 | 343,139 | ||
731,034 | ||||
Netherlands — 3.7% | ||||
ABN AMRO Bank NV | ||||
7.13%, 07/06/22(E) | 540,000 | 709,879 | ||
Alcoa Nederland Holding BV | ||||
6.75%, 09/30/24 144A | 380,000 | 400,740 | ||
7.00%, 09/30/26 144A | 250,000 | 273,287 | ||
CBR Fashion Finance BV | ||||
5.13%, 10/01/22(E) | 640,000 | 739,848 | ||
Cooperatieve Rabobank UA | ||||
(Variable, EUR Swap Rate 5Y + 4.10%), 4.63%, 12/29/25(E) ρ ^ | 600,000 | 742,445 | ||
5.75%, 12/01/43 | 630,000 | 834,675 | ||
Darling Global Finance BV | ||||
3.63%, 05/15/26(E) | 425,000 | 504,730 | ||
E.ON International Finance BV | ||||
6.38%, 06/07/32(U) | 155,000 | 294,913 | ||
EDP Finance BV | ||||
4.13%, 01/15/20 144A | 275,000 | 275,042 | ||
Embraer Netherlands Finance BV | ||||
5.40%, 02/01/27 | 130,000 | 146,686 | ||
Equate Petrochemical BV | ||||
4.25%, 11/03/26 144A | 380,000 | 407,045 | ||
LeasePlan Corporation NV | ||||
(Variable, 7.56% - EURIBOR ICE Swap Rate 5Y +), 7.38%, 05/29/24(E) ρ ^ | 515,000 | 647,401 | ||
Lincoln Financing S.a.r.l. | ||||
3.63%, 04/01/24(E) | 325,000 | 379,317 | ||
LKQ European Holdings BV | ||||
4.13%, 04/01/28(E) | 700,000 | 875,930 | ||
Maxeda DIY Holding BV | ||||
6.13%, 07/15/22(E) Δ | 470,000 | 513,998 | ||
Petrobras Global Finance BV | ||||
6.25%, 03/17/24 | 2,770,000 | 3,111,084 | ||
4.75%, 01/14/25(E) | 1,000,000 | 1,296,124 | ||
6.88%, 01/20/40 | 80,000 | 94,016 | ||
6.90%, 03/19/49 | 380,000 | 446,414 | ||
Prosus NV | ||||
4.85%, 07/06/27 144A | 1,200,000 | 1,311,371 | ||
Repsol International Finance BV | ||||
(Variable, EUR Swap Rate 10Y + 4.20%), 4.50%, 03/25/75(E) ^ | 800,000 | 1,036,855 |
Par | Value | |||
Starfruit Finco BV | ||||
6.50%, 10/01/26(E) Δ | $325,000 | $391,894 | ||
Summer BidCo BV | ||||
Cash Coupon 9.00% or PIK 9.75%, 9.00%, 11/15/25(E) | 430,000 | 516,664 | ||
Sunshine Mid BV | ||||
6.50%, 05/15/26(E) | 430,000 | 517,702 | ||
Syngenta Finance NV | ||||
4.44%, 04/24/23 144A | 660,000 | 689,684 | ||
Telefonica Europe BV | ||||
(Variable, EUR Swap Rate 8Y + 2.97%), 3.88%, 06/22/26(E) ρ ^ | 1,000,000 | 1,222,893 | ||
Teva Pharmaceutical Finance Netherlands II BV | ||||
1.88%, 03/31/27(E) | 300,000 | 278,967 | ||
Trivium Packaging Finance BV | ||||
3.75%, 08/15/26(E) | 735,000 | 875,854 | ||
5.50%, 08/15/26 144A | 540,000 | 570,037 | ||
UPC Holding BV | ||||
5.50%, 01/15/28 144A | 310,000 | 314,836 | ||
3.88%, 06/15/29(E) | 600,000 | 706,197 | ||
UPCB Finance IV, Ltd. | ||||
5.38%, 01/15/25 144A | 250,000 | 257,521 | ||
Ziggo BV | ||||
4.25%, 01/15/27(E) | 950,000 | 1,151,464 | ||
22,535,513 | ||||
Nigeria — 0.3% | ||||
Nigeria Government International Bond | ||||
7.14%, 02/23/30 144A | 440,000 | 449,429 | ||
7.63%, 11/28/47 144A | 1,310,000 | 1,280,073 | ||
9.25%, 01/21/49 | 310,000 | 347,267 | ||
2,076,769 | ||||
Norway — 0.0% | ||||
Norway Government Bond | ||||
3.75%, 05/25/21(K) 144A | 64,000 | 7,533 | ||
Oman — 0.0% | ||||
Oman Government International Bond | ||||
6.75%, 01/17/48 | 200,000 | 201,567 | ||
Panama — 0.2% | ||||
Panama Government International Bond | ||||
3.75%, 03/16/25 | 860,000 | 916,257 | ||
6.70%, 01/26/36 | 202,000 | 283,748 | ||
1,200,005 | ||||
Paraguay — 0.0% | ||||
Paraguay Government International Bond | ||||
6.10%, 08/11/44 | 200,000 | 245,987 | ||
Peru — 0.5% | ||||
Peruvian Government International Bond | ||||
3.75%, 03/01/30(E) | 150,000 | 216,923 |
Table of Contents
Par | Value | |||
6.55%, 03/14/37Δ | $640,000 | $938,198 | ||
Transportadora de Gas del Peru SA | ||||
4.25%, 04/30/28 144A | 1,670,000 | 1,789,585 | ||
2,944,706 | ||||
Philippines — 0.0% | ||||
Philippine Government International Bond | ||||
4.00%, 01/15/21Δ | 100,000 | 102,275 | ||
Poland — 0.3% | ||||
Republic of Poland Government Bond | ||||
2.75%, 04/25/28(P) | 5,370,000 | 1,484,410 | ||
Qatar — 0.1% | ||||
Ooredoo International Finance, Ltd. | ||||
4.75%, 02/16/21 144A | 200,000 | 206,321 | ||
Qatar Government International Bond | ||||
4.00%, 03/14/29Δ | 200,000 | 223,600 | ||
4.82%, 03/14/49 | 200,000 | 248,090 | ||
678,011 | ||||
Russia — 1.9% | ||||
Gazprom PJSC Via Gaz Capital SA | ||||
5.15%, 02/11/26 | 250,000 | 278,713 | ||
Russian Federal Bond - OFZ | ||||
7.00%, 01/25/23(Q) | 189,690,000 | 3,178,531 | ||
7.05%, 01/19/28(Q) | 449,500,000 | 7,649,638 | ||
Russian Foreign Bond - Eurobond | ||||
4.75%, 05/27/26 | 400,000 | 447,096 | ||
5.10%, 03/28/35 | 200,000 | 239,948 | ||
11,793,926 | ||||
Saudi Arabia — 0.1% | ||||
Saudi Arabian Oil Co. | ||||
4.25%, 04/16/39 | 410,000 | 440,062 | ||
Senegal — 0.0% | ||||
Senegal Government International Bond | ||||
6.75%, 03/13/48Δ | 200,000 | 201,787 | ||
Serbia — 0.1% | ||||
Serbia International Bond | ||||
7.25%, 09/28/21 | 400,000 | 436,260 | ||
1.50%, 06/26/29(E) | 200,000 | 228,728 | ||
664,988 | ||||
Singapore — 0.1% | ||||
BOC Aviation, Ltd. | ||||
3.00%, 03/30/20 144A | 720,000 | 720,841 | ||
South Africa — 0.9% | ||||
Republic of South Africa Government Bond | ||||
6.25%, 03/31/36(S) Δ | 2,140,000 | 109,504 | ||
6.50%, 02/28/41(S) Δ | 49,220,000 | 2,449,324 | ||
Republic of South Africa Government International Bond | ||||
4.88%, 04/14/26 | 400,000 | 417,091 | ||
5.88%, 06/22/30 | 2,270,000 | 2,459,477 | ||
5,435,396 |
Par | Value | |||
South Korea — 0.0% | ||||
Hanwha Life Insurance Co., Ltd. | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.00%), 4.70%, 04/23/23ρ ^ | $200,000 | $204,230 | ||
Spain — 1.0% | ||||
Grupo Antolin-Irausa SA | ||||
3.38%, 04/30/26(E) Δ | 515,000 | 546,163 | ||
Iberdrola Finanzas SA | ||||
7.38%, 01/29/24(U) | 100,000 | 163,929 | ||
Spain Government Bond | ||||
1.95%, 07/30/30(E) 144A | 2,830,000 | 3,640,177 | ||
Tasty Bondco 1 SA | ||||
6.25%, 05/15/26(E) | 750,000 | 883,949 | ||
Telefonica Emisiones SA | ||||
5.13%, 04/27/20 | 40,000 | 40,381 | ||
Tendam Brands SAU | ||||
5.00%, 09/15/24(E) 144A | 510,000 | 589,258 | ||
(Floating, 5.25% - Euribor 3M), 5.25%, 09/15/24(E) 144A † | 160,000 | 181,154 | ||
6,045,011 | ||||
Sri Lanka — 0.2% | ||||
Sri Lanka Government International Bond | ||||
5.88%, 07/25/22 | 640,000 | 641,711 | ||
6.85%, 11/03/25 | 200,000 | 200,984 | ||
6.75%, 04/18/28 | 500,000 | 479,969 | ||
1,322,664 | ||||
Supranational — 0.0% | ||||
Banque Ouest Africaine de Developpement | ||||
5.00%, 07/27/27 | 200,000 | 212,500 | ||
Switzerland — 0.2% | ||||
Credit Suisse Group AG | ||||
(Variable, USD Swap 5Y + 4.60%), 7.50%, 07/17/23 144A ρ ^ | 330,000 | 361,371 | ||
UBS Group AG | ||||
(Variable, USD Swap 5Y + 4.34%), 7.00%, 01/31/24 144A ρ ^ | 400,000 | 437,500 | ||
(Variable, EUR Swap Rate 1Y + 0.75%), 1.25%, 04/17/25(E) ^ | 400,000 | 467,301 | ||
1,266,172 | ||||
Tunisia — 0.0% | ||||
Banque Centrale de Tunisie International Bond | ||||
6.38%, 07/15/26(E) Δ | 150,000 | 167,379 | ||
Turkey — 0.8% | ||||
Export Credit Bank of Turkey | ||||
5.38%, 10/24/23 | 200,000 | 199,456 | ||
Turk Telekomunikasyon AS | ||||
4.88%, 06/19/24 144A | 1,890,000 | 1,887,638 | ||
Turkey Government International Bond | ||||
4.88%, 10/09/26 | 300,000 | 287,251 |
Table of Contents
Par | Value | |||
6.00%, 03/25/27 | $1,570,000 | $1,594,889 | ||
6.00%, 01/14/41 | 200,000 | 186,995 | ||
4.88%, 04/16/43 | 500,000 | 413,500 | ||
4,569,729 | ||||
Ukraine — 0.5% | ||||
Ukraine Government International Bond | ||||
6.75%, 06/20/26(E) | 200,000 | 252,468 | ||
9.75%, 11/01/28 | 550,000 | 670,244 | ||
7.38%, 09/25/32 | 1,790,000 | 1,913,898 | ||
2,836,610 | ||||
United Arab Emirates — 0.3% | ||||
Abu Dhabi Crude Oil Pipeline LLC | ||||
4.60%, 11/02/47 | 400,000 | 463,250 | ||
DP World Crescent, Ltd. | ||||
3.88%, 07/18/29 | 200,000 | 205,512 | ||
DP World PLC | ||||
5.63%, 09/25/48 144A | 970,000 | 1,123,880 | ||
1,792,642 | ||||
United Kingdom — 3.3% | ||||
Anglo American Capital PLC | ||||
4.75%, 04/10/27 144A | 200,000 | 218,959 | ||
3.38%, 03/11/29(U) | 500,000 | 695,644 | ||
Barclays Bank PLC | ||||
7.63%, 11/21/22 | 1,190,000 | 1,338,113 | ||
Barclays PLC | ||||
(Variable, EUR Swap Rate 5Y + 2.45%), 2.63%, 11/11/25(E) ^ | 200,000 | 228,538 | ||
4.38%, 01/12/26 | 225,000 | 243,752 | ||
(Variable, EUR Swap Rate 1Y + 0.78%), 1.38%, 01/24/26(E) ^ | 300,000 | 347,128 | ||
British Telecommunications PLC | ||||
3.25%, 11/08/29 144A | 475,000 | 475,645 | ||
eG Global Finance PLC | ||||
4.38%, 02/07/25(E) | 660,000 | 743,561 | ||
HSBC Holdings PLC | ||||
(Variable, USD ICE Swap Rate 5Y + 4.37%), 6.38%, 03/30/25ρ Δ ^ | 400,000 | 435,286 | ||
(Variable, GBP Swap Rate 1Y + 1.04%), 2.26%, 11/13/26(U) ^ | 300,000 | 403,965 | ||
(Variable, USD ICE Swap Rate 5Y + 3.75%), 6.00%, 05/22/27ρ ^ | 400,000 | 426,608 | ||
INEOS Finance PLC | ||||
2.88%, 05/01/26(E) Δ | 950,000 | 1,104,244 | ||
Iron Mountain UK PLC REIT | ||||
3.88%, 11/15/25(U) | 570,000 | 773,924 | ||
Jerrold Finco PLC | ||||
6.13%, 01/15/24(U) 144A | 270,000 | 370,830 | ||
Lloyds Bank PLC | ||||
6.50%, 03/24/20(E) | 230,000 | 261,735 | ||
Lloyds Banking Group PLC | ||||
4.34%, 01/09/48 | 796,000 | 863,435 |
Par | Value | |||
Miller Homes Group Holdings PLC | ||||
5.50%, 10/15/24(U) Δ | $1,530,000 | $2,110,420 | ||
Next Group PLC | ||||
4.38%, 10/02/26(U) | 150,000 | 223,620 | ||
NGG Finance PLC | ||||
(Variable, GBP Swap Rate 12Y + 3.48%), 5.63%, 06/18/73(U) ^ | 400,000 | 601,368 | ||
Orange SA | ||||
3.63%, 05/18/28(U) | 150,000 | 212,818 | ||
Pinnacle Bidco PLC | ||||
6.38%, 02/15/25(U) 144A | 580,000 | 806,682 | ||
Premier Foods Finance PLC | ||||
6.25%, 10/15/23(U) | 460,000 | 640,330 | ||
Principality Building Society | ||||
2.38%, 11/23/23(U) | 100,000 | 134,762 | ||
Rio Tinto Finance USA PLC | ||||
4.13%, 08/21/42Δ | 75,000 | 86,191 | ||
Royal Bank of Scotland Group PLC | ||||
6.10%, 06/10/23 | 945,000 | 1,041,104 | ||
6.00%, 12/19/23 | 140,000 | 155,799 | ||
(Variable, Euribor 3M + 1.74%), 2.00%, 03/04/25(E) ^ | 100,000 | 118,659 | ||
Santander UK Group Holdings PLC | ||||
(Variable, GBP Swap Rate 5Y + 5.54%), 7.38%, 06/24/22(U) ρ ^ | 820,000 | 1,186,507 | ||
Southern Gas Networks PLC | ||||
4.88%, 12/21/20(U) | 190,000 | 260,734 | ||
Tesco Property Finance 6 PLC | ||||
5.41%, 07/13/44(U) | 391,278 | 659,042 | ||
United Kingdom Gilt | ||||
4.50%, 09/07/34(U) | 220,000 | 426,890 | ||
Virgin Media Secured Finance PLC | ||||
5.50%, 08/15/26 144A | 200,000 | 210,465 | ||
5.25%, 05/15/29(U) | 890,000 | 1,277,348 | ||
Virgin Money UK PLC | ||||
(Variable, UK Government Bonds 1 Year Note Generic Bid Yield + 3.75%), 4.00%, 09/03/27(U) ^ | 300,000 | 414,568 | ||
Vodafone Group PLC | ||||
(Variable, GBP Swap Rate 5Y + 3.27%), 4.88%, 10/03/78(U) ^ | 535,000 | 769,517 | ||
20,268,191 | ||||
Uruguay — 0.0% | ||||
Uruguay Government International Bond | ||||
4.38%, 01/23/31Δ | 200,000 | 224,050 | ||
Uzbekistan — 0.0% | ||||
Republic of Uzbekistan Bond | ||||
5.38%, 02/20/29Δ | 200,000 | 222,758 | ||
Total Foreign Bonds (Cost $222,175,945) | 220,555,911 |
Table of Contents
Par | Value | |||
FOREIGN GOVERNMENT INFLATION-LINKED BOND — 0.3% | ||||
Japan — 0.3% | ||||
Japanese Government CPI Linked Bond | ||||
0.10%, 03/10/29(J) (Cost $2,004,730) | $212,369,390 | $2,008,521 | ||
LOAN AGREEMENTS — 2.3% | ||||
Air Medical Group Holdings, Inc. 2018 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.25%, 1.00% Floor), 5.04%, 04/28/22† | 289,545 | 284,523 | ||
Allied Universal Holdco LLC Delayed Draw Term Loan | ||||
0.00%, 07/10/26Σ | 45,045 | 45,373 | ||
Allied Universal Holdco LLC Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 4.25%), 6.05%, 07/10/26† | 454,955 | 458,272 | ||
Asurion LLC New B-7 Term Loan | ||||
0.00%, 11/03/24† Σ | 528,658 | 532,340 | ||
Avolon TLB Borrower 1 (US) LLC Term B-3 Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%, 0.75% Floor), 3.51%, 01/15/25† | 187,810 | 189,219 | ||
Bausch Health Companies, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.00%), 4.74%, 06/02/25† | 303,782 | 305,902 | ||
Berry Global, Inc. Term W Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.00%), 3.72%, 10/01/22† | 142,322 | 143,034 | ||
Brookfield WEC Holdings, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.50%, 0.75% Floor), 5.30%, 08/01/25† | 349,118 | 352,063 | ||
Change Healthcare Holdings, Inc. Closing Date Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.50%, 1.00% Floor), 4.30%, 03/01/24† | 967,281 | 1,006,199 | ||
Charter Communications Operating LLC Term B-1 Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 3.55%, 04/30/25† | 597,442 | 602,296 | ||
Entercom Media Corporation Term B-2 Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.50%), 4.30%, 11/18/24† | 184,267 | 185,994 | ||
Equinox Holdings, Inc. Incremental Term B-1 Loan | ||||
0.00%, 03/08/24† Σ | 508,699 | 511,515 | ||
Flying Fortress Holdings LLC New Loan | ||||
(Floating, ICE LIBOR USD 3M + 1.75%), 3.69%, 10/30/22† | 177,333 | 178,220 | ||
Focus Financial Partners LLC Tranche B-2 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.50%), 4.30%, 07/03/24† | 279,291 | 281,586 |
Par | Value | |||
Four Seasons Holdings, Inc. Term Loan 2013 | ||||
0.00%, 11/30/23† Σ | $229,409 | $231,532 | ||
Garda World Security Corporation Initial Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 4.75%), 6.66%, 10/30/26† | 590,000 | 594,797 | ||
Genesee & Wyoming, Inc. Term Loan | ||||
0.00%, 12/30/26† Σ | 180,000 | 181,960 | ||
Grifols Worldwide Operations, Ltd. Dollar Tranche B Term Loan | ||||
0.00%, 11/15/27† Σ | 520,000 | 525,065 | ||
Hilton Worldwide Finance LLC Refinanced Series B-2 Term Loan | ||||
0.00%, 06/22/26† Σ | 300,000 | 302,394 | ||
(Floating, ICE LIBOR USD 1M + 1.75%), 3.54%, 06/22/26† | 339,605 | 342,315 | ||
Jaguar Holding Co. I LLC 2018 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.50%, 1.00% Floor), 4.30%, 08/18/22† | 244,994 | 246,636 | ||
Level 3 Financing, Inc. Tranche B 2027 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 3.55%, 03/01/27† | 74,212 | 74,560 | ||
McAfee LLC Term B USD Loan | ||||
0.00%, 09/30/24† Σ | 329,167 | 331,018 | ||
Nexstar Broadcasting, Inc. Term B-4 Loan | ||||
0.00%, 09/18/26† Σ | 119,700 | 120,537 | ||
Option Care Health, Inc. Term B Loan | ||||
(Floating, ICE LIBOR USD 1M + 4.50%), 6.30%, 08/06/26† | 590,000 | 588,401 | ||
Party City Holdings, Inc. 2018 Replacement Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.50%, 0.75% Floor), 4.30%, 08/19/22† | 132,476 | 123,568 | ||
Petco Animal Supplies, Inc. Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 3.25%, 1.00% Floor), 5.18%, 01/26/23† | 396,608 | 338,852 | ||
Prime Security Services Borrower LLC 2019 Refinancing Term B-1 Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.25%, 1.00% Floor), 4.94%, 09/23/26† | 454,236 | 456,196 | ||
Radnet Management, Inc. Term B-1 Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.50%, 1.00% Floor), 5.51%, 06/30/23† | 591,176 | 595,241 | ||
Reynolds Group Holdings, Inc. Incremental U.S. Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.75%), 4.55%, 02/05/23† | 362,169 | 363,755 | ||
RPI Finance Trust Initial Term Loan B-6 | ||||
0.00%, 03/27/23† Σ | 168,528 | 170,135 |
Table of Contents
Par | Value | |||
Sedgwick Claims Management Services, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.25%), 5.05%, 12/31/25† | $259,345 | $259,831 | ||
Sotera Health Holdings LLC Initial Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 4.50%, 1.00% Floor), 6.29%, 12/11/26† | 570,000 | 573,030 | ||
TDC A/S Facility B3 | ||||
(Floating, EURIBOR USD 1M + 2.75%), 2.75%, 06/04/25† | 820,000 | 925,902 | ||
Trans Union LLC 2019 Replacement Term B-5 Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 3.55%, 11/16/26† | 85,374 | 85,825 | ||
UFC Holdings LLC Term Loan | ||||
0.00%, 04/29/26† Σ | 119,691 | 120,646 | ||
Univision Communications, Inc. 2017 Replacement Repriced Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.75%, 1.00% Floor), 4.55%, 03/15/24† | 588,812 | 582,724 | ||
VFH Parent LLC Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.50%), 5.20%, 03/01/26† | 600,000 | 603,075 | ||
Virgin Media Bristol LLC N Facility | ||||
0.00%, 01/31/28† Σ | 370,000 | 372,799 | ||
Total Loan Agreements (Cost $14,221,587) | 14,187,330 | |||
MORTGAGE-BACKED SECURITIES — 7.0% | ||||
Connecticut Avenue Securities Trust, Series 2019-R07, Class 1M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.10%), 3.89%, 10/25/39 144A † | 700,000 | 707,426 | ||
Credit Suisse Commercial Mortgage Trust Series, Series 2006-C5, Class AJ | ||||
5.37%, 12/15/39 | 92,328 | 50,088 | ||
Credit Suisse Commercial Mortgage Trust Series, Series 2007-C5, Class AM | ||||
5.87%, 09/15/40 | 87,749 | 56,160 | ||
Credit Suisse Commercial Mortgage Trust Series, Series 2014-USA, Class F | ||||
4.37%, 09/15/37 144A | 1,610,000 | 1,459,885 | ||
Credit Suisse Commercial Mortgage Trust Series, Series 2019-RIO | ||||
8.74%, 12/15/21 | 1,120,000 | 1,124,993 | ||
Fannie Mae Connecticut Avenue Securities, Series 2017-C02 | ||||
(Floating, ICE LIBOR USD 1M + 3.65%), 5.44%, 09/25/29† | 1,700,000 | 1,792,265 |
Par | Value | |||
Fannie Mae Connecticut Avenue Securities, Series 2017-C04 | ||||
(Floating, ICE LIBOR USD 1M + 2.85%), 4.64%, 11/25/29† | $1,700,000 | $1,759,601 | ||
Fannie Mae Connecticut Avenue Securities, Series 2017-C06 | ||||
(Floating, ICE LIBOR USD 1M + 2.65%, 2.65% Floor), 4.44%, 02/25/30† | 1,650,000 | 1,694,678 | ||
(Floating, ICE LIBOR USD 1M + 2.80%, 2.80% Floor), 4.59%, 02/25/30† | 1,590,671 | 1,635,007 | ||
Fannie Mae Connecticut Avenue Securities, Series 2018-C05 | ||||
(Floating, ICE LIBOR USD 1M + 2.35%, 2.35% Floor), 4.14%, 01/25/31† | 1,700,000 | 1,725,854 | ||
Federal National Mortgage Association | ||||
3.00%, 07/01/49 | 543,884 | 552,158 | ||
3.50%, 07/01/49 | 973,423 | 1,000,888 | ||
3.00%, 08/01/49 | 556,668 | 565,490 | ||
3.50%, 08/01/49 | 977,834 | 1,005,805 | ||
4.00%, 08/01/49 | 739,006 | 769,288 | ||
3.00%, 09/01/49 | 538,901 | 546,867 | ||
3.50%, 09/01/49 | 1,611,904 | 1,658,553 | ||
3.00%, 10/01/49 | 543,235 | 551,354 | ||
3.50%, 10/01/49 | 983,365 | 1,012,397 | ||
4.00%, 10/01/49 | 736,496 | 769,312 | ||
3.00%, 11/01/49 | 546,207 | 554,281 | ||
3.50%, 11/01/49 | 644,373 | 664,187 | ||
FHLMC Structured Agency Credit Risk Debt Notes, Series 2017-DNA1 | ||||
(Floating, ICE LIBOR USD 1M + 4.95%, 4.95% Floor), 6.74%, 07/25/29† | 760,000 | 864,902 | ||
FHLMC Structured Agency Credit Risk Debt Notes, Series 2017-DNA2 | ||||
(Floating, ICE LIBOR USD 1M + 5.15%), 6.94%, 10/25/29† | 310,000 | 358,696 | ||
FHLMC Structured Agency Credit Risk Debt Notes, Series 2017-DNA3 | ||||
(Floating, ICE LIBOR USD 1M + 2.50%), 4.29%, 03/25/30† | 1,650,000 | 1,690,305 | ||
Government National Mortgage Association | ||||
4.00%, 04/20/49 | 106,110 | 109,925 | ||
3.50%, 10/20/49 | 1,824 | 1,887 | ||
3.00%, 11/20/49 | 399,066 | 410,338 | ||
4.00%, 11/20/49 | 499,398 | 521,075 | ||
3.00%, 01/01/50 TBA | 475,000 | 488,044 |
Table of Contents
Par | Value | |||
GS Mortgage Securities Corporation II, Series 2018-SRP5, Class C | ||||
(Floating, ICE LIBOR USD 1M + 3.75%, 3.75% Floor), 5.49%, 09/15/31 144A † | $2,220,000 | $2,222,618 | ||
Impac Secured Assets Trust, Series 2006-2, Class 2M3 | ||||
(Floating, ICE LIBOR USD 1M + 1.10%, 1.10% Floor, 11.50% Cap), 2.89%, 08/25/36† | 373,301 | 372,478 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LD12, Class AJ | ||||
6.44%, 02/15/51† γ | 2,777 | 2,652 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-PHMZ, Class M | ||||
(Floating, ICE LIBOR USD 1M + 8.21%, 8.21% Floor), 9.95%, 06/15/35 144A † | 1,500,000 | 1,498,901 | ||
Lone Star Portfolio Trust, Series 2015-LSMZ, Class M | ||||
(Floating, ICE LIBOR USD 1M + 7.22%, 7.22% Floor), 8.96%, 09/15/20 144A † | 285,733 | 285,045 | ||
Lone Star Portfolio Trust, Series 2015-LSP, Class F | ||||
(Floating, ICE LIBOR USD 1M + 7.15%, 6.90% Floor), 8.89%, 09/15/28 144A † | 588,724 | 593,057 | ||
Seasoned Credit Risk Transfer Trust, Series 2017-2, Class M1 | ||||
4.00%, 08/25/56 144A † γ | 440,000 | 445,883 | ||
Seasoned Credit Risk Transfer Trust, Series 2017-2, Class M2 | ||||
4.00%, 08/25/56 144A | 570,000 | 565,791 | ||
STACR Trust, Series 2018-DNA2, Class M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.15%), 3.94%, 12/25/30 144A † | 1,650,000 | 1,667,750 | ||
Uniform Mortgage Backed Securities | ||||
2.50%, 01/01/35 TBA | 735,000 | 741,776 | ||
3.00%, 01/01/50 TBA | 1,735,000 | 1,759,805 | ||
3.50%, 01/01/50 TBA | 4,400,000 | 4,526,672 | ||
4.00%, 01/01/50 TBA | 1,800,000 | 1,872,281 | ||
Total Mortgage-Backed Securities (Cost $42,448,993) | 42,656,418 | |||
MUNICIPAL BOND — 0.0% | ||||
State of Illinois, General Obligation | ||||
5.10%, 06/01/33 (Cost $69,035) | 85,000 | 91,703 | ||
U.S. TREASURY OBLIGATIONS — 25.9% | ||||
U.S. Treasury Bills | ||||
1.57%, 01/30/20Ω | 830,000 | 829,064 | ||
1.82%, 02/27/20Ω | 3,510,000 | 3,501,783 | ||
1.57%, 03/26/20Ω | 6,795,000 | 6,771,174 | ||
1.40%, 04/02/20Ω Δ | 17,695,000 | 17,627,012 | ||
1.47%, 04/09/20Ω | 5,075,000 | 5,053,997 |
Par | Value | |||
1.51%, 04/30/20Ω | $1,700,000 | $1,691,450 | ||
1.52%, 06/25/20Ω | 2,685,000 | 2,665,017 | ||
38,139,497 | ||||
U.S. Treasury Bonds | ||||
3.50%, 02/15/39 | 860,000 | 1,032,789 | ||
4.25%, 05/15/39 | 30,000 | 39,558 | ||
3.88%, 08/15/40 | 20,000 | 25,263 | ||
2.75%, 08/15/42 | 90,000 | 96,363 | ||
3.13%, 02/15/43 | 6,960,000 | 7,912,922 | ||
2.88%, 05/15/43 | 2,220,000 | 2,424,786 | ||
3.00%, 05/15/45 | 30,000 | 33,581 | ||
3.00%, 11/15/45 | 920,000 | 1,031,981 | ||
2.50%, 05/15/46 | 820,000 | 839,587 | ||
2.25%, 08/15/46 | 960,000 | 935,700 | ||
2.88%, 11/15/46 | 1,520,000 | 1,671,941 | ||
3.00%, 05/15/47 | 60,000 | 67,602 | ||
2.75%, 08/15/47 | 90,000 | 96,794 | ||
3.13%, 05/15/48 | 40,000 | 46,190 | ||
3.00%, 08/15/48 | 2,365,000 | 2,671,249 | ||
3.38%, 11/15/48 | 770,000 | 931,730 | ||
19,858,036 | ||||
U.S. Treasury Inflationary Index Bonds | ||||
0.13%, 04/15/22 | 15,608,303 | 15,586,298 | ||
2.13%, 02/15/40 | 2,381,300 | 3,114,270 | ||
1.38%, 02/15/44 | 2,760,525 | 3,257,789 | ||
21,958,357 | ||||
U.S. Treasury Notes | ||||
3.63%, 02/15/21 | 10,420,000 | 10,649,159 | ||
1.50%, 09/30/21 | 2,500,000 | 2,496,582 | ||
1.50%, 10/31/21 | 1,000,000 | 998,789 | ||
1.50%, 11/30/21Δ | 2,665,000 | 2,661,825 | ||
1.88%, 01/31/22 | 710,000 | 714,313 | ||
2.00%, 02/15/22 | 90,000 | 90,788 | ||
1.75%, 03/31/22 | 7,100,000 | 7,128,150 | ||
1.63%, 08/15/22 | 12,590,000 | 12,604,508 | ||
2.88%, 10/31/23 | 2,975,000 | 3,110,095 | ||
2.75%, 02/15/24 | 6,650,000 | 6,938,080 | ||
2.38%, 02/29/24 | 10,000 | 10,287 | ||
1.50%, 10/31/24 | 570,000 | 565,346 | ||
2.25%, 11/15/24 | 20,520,000 | 21,063,459 | ||
2.00%, 02/15/25 | 70,000 | 71,034 | ||
2.88%, 05/31/25 | 315,000 | 333,734 | ||
1.63%, 02/15/26 | 7,180,000 | 7,118,718 | ||
1.63%, 05/15/26 | 470,000 | 465,373 | ||
2.00%, 11/15/26 | 1,220,000 | 1,234,392 | ||
78,254,632 | ||||
Total U.S. Treasury Obligations (Cost $154,315,252) | 158,210,522 |
Table of Contents
Shares | Value | |||
COMMON STOCKS — 0.7% | ||||
Communication Services — 0.3% | ||||
AT&T, Inc. | 39,385 | $1,539,166 | ||
Consumer Discretionary — 0.1% | ||||
Ford Motor Co. | 48,562 | 451,627 | ||
Energy — 0.0% | ||||
Berry Petroleum CorporationΔ | 2,492 | 23,500 | ||
Hercules Offshore, Inc.Ψ ††† Δ * | 46,644 | 47,636 | ||
Montage Resources CorporationΔ * | 7,129 | 56,604 | ||
127,740 | ||||
Health Care — 0.1% | ||||
Bristol-Myers Squibb Co. | 11,549 | 741,330 | ||
Information Technology — 0.2% | ||||
Corning, Inc. | 39,882 | 1,160,965 | ||
Total Common Stocks (Cost $5,689,353) | 4,020,828 | |||
PREFERRED STOCKS — 0.2% | ||||
Bank of America Corporation | ||||
7.25%, 12/30/19 CONV | 302 | 437,598 | ||
Chesapeake Energy Corporation | ||||
5.00%, 10/31/19 CONV Δ | 2,119 | 42,910 |
Shares | Value | |||
5.75%, 10/31/19 CONV Δ | 16 | $3,216 | ||
5.75%, 10/31/19 CONV | 392 | 78,400 | ||
5.75%, 10/31/19 144A CONV | 27 | 4,885 | ||
4.50%, 11/27/19 CONV Δ | 617 | 12,649 | ||
El Paso Energy Capital Trust I | ||||
4.75%, 12/12/19 CONV | 5,674 | 291,984 | ||
Total Preferred Stocks (Cost $921,634) | 871,642 | |||
MONEY MARKET FUNDS — 11.1% | ||||
GuideStone Money Market Fund, 1.53% (Institutional Class)Ø ∞ | 28,764,556 | 28,764,556 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 1.57%Ø § | 39,008,103 | 39,008,103 | ||
Total Money Market Funds (Cost $67,772,659) | 67,772,659 | |||
TOTAL INVESTMENTS —106.3% (Cost $638,734,080) | 648,237,259 | |||
Liabilities in Excess of Other Assets — (6.3)% | (38,147,534) | |||
NET ASSETS — 100.0% | $610,089,725 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
30-Year Euro Buxl | 03/2020 | (3) | $(667,569) | $16,051 | ||||
Euro-Bobl | 03/2020 | (58) | (8,693,781) | 41,442 | ||||
Euro-Bund | 03/2020 | (104) | (19,888,819) | 208,402 | ||||
Euro-BTP | 03/2020 | (30) | (4,793,922) | 58,944 | ||||
10-Year Japanese E-Mini | 03/2020 | 227 | 31,740,932 | (138,149) | ||||
10-Year Commonwealth Treasury Bond | 03/2020 | 49 | 4,915,724 | (96,618) | ||||
10-Year U.S. Treasury Note | 03/2020 | (47) | (6,035,828) | 38,882 | ||||
10-Year U.S. Treasury Note | 03/2020 | 70 | 8,989,531 | (82,022) | ||||
U.S. Treasury Long Bond | 03/2020 | (30) | (4,677,188) | 69,387 | ||||
Ultra 10-Year U.S. Treasury Note | 03/2020 | (248) | (34,894,375) | 309,789 | ||||
Ultra Long U.S. Treasury Bond | 03/2020 | (62) | (11,262,687) | 339,020 | ||||
Long GILT | 03/2020 | 31 | 5,394,805 | (19,466) | ||||
2-Year U.S. Treasury Note | 03/2020 | 234 | 50,427,000 | (19,056) | ||||
5-Year U.S. Treasury Note | 03/2020 | 2 | 237,219 | (879) | ||||
Total Futures Contracts outstanding at December 31, 2019 | $10,791,042 | $725,727 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
01/17/20 | Euro | 23,217,940 | U.S. Dollars | 25,633,886 | CITI | $438,097 | ||||||
01/22/20 | Norwegian Kroner | 65,000,000 | U.S. Dollars | 7,196,828 | RBC | 207,725 | ||||||
01/22/20 | Norwegian Kroner | 57,863,019 | U.S. Dollars | 6,406,271 | CITI | 185,264 | ||||||
01/17/20 | Brazilian Reals | 9,722,000 | U.S. Dollars | 2,300,076 | CITI | 115,518 | ||||||
01/22/20 | Japanese Yen | 948,656,995 | U.S. Dollars | 8,684,120 | RBC | 57,659 |
Table of Contents
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
01/17/20 | Mexican Pesos | 42,747,103 | U.S. Dollars | 2,205,596 | BAR | $49,189 | ||||||
01/22/20 | Brazilian Reals | 14,621,202 | U.S. Dollars | 3,585,385 | CITI | 46,971 | ||||||
01/22/20 | Australian Dollars | 2,776,992 | U.S. Dollars | 1,906,569 | RBC | 43,305 | ||||||
01/22/20 | Japanese Yen | 666,738,791 | U.S. Dollars | 6,103,744 | CITI | 40,187 | ||||||
01/17/20 | U.S. Dollars | 13,213,460 | Japanese Yen | 1,430,027,000 | CITI | 39,628 | ||||||
01/17/20 | Indonesian Rupiahs | 24,157,204,000 | U.S. Dollars | 1,707,223 | CITI | 33,859 | ||||||
01/17/20 | U.S. Dollars | 740,586 | Turkish Lira | 4,332,800 | CITI | 15,544 | ||||||
01/17/20 | Indian Rupees | 271,487,535 | U.S. Dollars | 3,789,740 | BAR | 12,356 | ||||||
01/22/20 | U.S. Dollars | 737,759 | British Pounds | 550,090 | CITI | 8,634 | ||||||
01/22/20 | U.S. Dollars | 2,455,474 | Japanese Yen | 265,856,884 | CITI | 5,629 | ||||||
01/22/20 | Euro | 452,219 | U.S. Dollars | 504,187 | RBC | 3,784 | ||||||
01/22/20 | U.S. Dollars | 357,682 | Turkish Lira | 2,119,037 | RBC | 3,559 | ||||||
01/22/20 | New Zealand Dollars | 232,188 | U.S. Dollars | 152,930 | RBC | 3,432 | ||||||
01/22/20 | Czech Republic Koruna | 16,348,854 | U.S. Dollars | 718,320 | RBC | 2,844 | ||||||
01/22/20 | Swedish Kronor | 6,703,052 | U.S. Dollars | 713,991 | RBC | 2,451 | ||||||
01/17/20 | Euro | 200,000 | U.S. Dollars | 222,364 | BAR | 2,221 | ||||||
01/17/20 | Polish Zloty | 120,000 | U.S. Dollars | 30,003 | BAR | 1,629 | ||||||
01/22/20 | Euro | 160,000 | U.S. Dollars | 178,290 | CITI | 1,436 | ||||||
Subtotal Appreciation | $1,320,921 | |||||||||||
01/22/20 | U.S. Dollars | 168,016 | Norwegian Kroner | 1,475,225 | CITI | $(36) | ||||||
01/22/20 | Euro | 257,649 | U.S. Dollars | 289,679 | CITI | (266) | ||||||
01/22/20 | U.S. Dollars | 107,293 | Japanese Yen | 11,720,885 | CITI | (714) | ||||||
01/22/20 | Turkish Lira | 2,119,559 | U.S. Dollars | 355,511 | RBC | (1,301) | ||||||
01/22/20 | U.S. Dollars | 1,774,994 | Mexican Pesos | 33,722,744 | RBC | (2,374) | ||||||
01/22/20 | U.S. Dollars | 718,838 | South Korean Won | 837,446,432 | CITI | (6,004) | ||||||
01/17/20 | U.S. Dollars | 455,622 | British Pounds | 350,000 | BAR | (8,222) | ||||||
01/22/20 | U.S. Dollars | 681,172 | British Pounds | 520,489 | RBC | (8,718) | ||||||
01/17/20 | U.S. Dollars | 1,140,801 | Indian Rupees | 82,286,000 | CITI | (11,588) | ||||||
01/17/20 | Turkish Lira | 4,332,800 | U.S. Dollars | 738,566 | CITI | (13,525) | ||||||
01/17/20 | U.S. Dollars | 336,049 | Australian Dollars | 500,000 | CITI | (14,982) | ||||||
01/22/20 | U.S. Dollars | 2,239,946 | Canadian Dollars | 2,947,644 | RBC | (30,273) | ||||||
01/22/20 | U.S. Dollars | 8,037,845 | Euro | 7,184,252 | RBC | (32,111) | ||||||
01/22/20 | U.S. Dollars | 9,815,610 | British Pounds | 7,435,672 | CITI | (40,116) | ||||||
01/22/20 | U.S. Dollars | 1,601,742 | Norwegian Kroner | 14,440,186 | RBC | (43,228) | ||||||
01/17/20 | U.S. Dollars | 991,574 | Russian Rubles | 64,370,000 | CITI | (43,292) | ||||||
01/17/20 | U.S. Dollars | 973,642 | British Pounds | 793,751 | CITI | (78,291) | ||||||
01/17/20 | U.S. Dollars | 935,650 | South African Rand | 14,380,000 | CITI | (88,664) | ||||||
01/22/20 | U.S. Dollars | 6,766,299 | Swiss Francs | 6,623,618 | CITI | (88,714) | ||||||
01/22/20 | U.S. Dollars | 3,681,244 | Australian Dollars | 5,370,504 | RBC | (89,673) | ||||||
01/22/20 | U.S. Dollars | 5,488,339 | Canadian Dollars | 7,246,858 | CITI | (93,053) | ||||||
01/22/20 | U.S. Dollars | 8,818,983 | Swiss Francs | 8,631,768 | RBC | (114,334) | ||||||
01/17/20 | U.S. Dollars | 7,713,635 | Euro | 6,979,000 | CITI | (123,252) | ||||||
01/22/20 | U.S. Dollars | 5,948,334 | New Zealand Dollars | 9,047,487 | CITI | (144,492) | ||||||
01/17/20 | U.S. Dollars | 2,796,015 | Mexican Pesos | 56,074,921 | BAR | (161,773) | ||||||
01/17/20 | U.S. Dollars | 5,834,982 | Indonesian Rupiahs | 84,035,410,000 | BAR | (221,702) | ||||||
01/22/20 | U.S. Dollars | 59,313,104 | Euro | 53,309,344 | CITI | (568,435) | ||||||
01/17/20 | Japanese Yen | 5,095,425,000 | U.S. Dollars | 47,935,737 | BAR | (995,173) | ||||||
Subtotal Depreciation | $(3,024,306) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at December 31, 2019 | $(1,703,385) |
Table of Contents
Reference Obligation | Fixed Deal (Pay) Rate | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
Centrally Cleared Credit Default Swaps on Credit Indexes—Buy Protection | ||||||||||||||
Markit ITRAXX.XO.32 Index (Pay Quarterly) | (5.00)% | 12/20/2024 | EUR | 23,760,000 | $(3,675,606) | $(3,680,828) | $5,222 | |||||||
$(3,675,606) | $(3,680,828) | $5,222 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Asset-Backed Securities | $3,416,128 | $— | $3,416,128 | $— | |||
Common Stocks: | |||||||
Energy | 127,740 | 80,104 | — | 47,636 | |||
Other^^ | 3,893,088 | 3,893,088 | — | — | |||
Total Common Stocks | 4,020,828 | 3,973,192 | — | 47,636 | |||
Corporate Bonds | 134,445,597 | — | 134,445,597 | — | |||
Foreign Bonds: | |||||||
Argentina | 3,648,933 | — | 3,401,279 | 247,654 | |||
Other^^ | 216,906,978 | — | 216,906,978 | — | |||
Total Foreign Bonds | 220,555,911 | — | 220,308,257 | 247,654 | |||
Foreign Government Inflation-Linked Bond | 2,008,521 | — | 2,008,521 | — | |||
Loan Agreements | 14,187,330 | — | 14,187,330 | — | |||
Money Market Funds | 67,772,659 | 67,772,659 | — | — | |||
Mortgage-Backed Securities | 42,656,418 | — | 42,656,418 | — | |||
Municipal Bond | 91,703 | — | 91,703 | — | |||
Preferred Stocks: | |||||||
Energy | 434,044 | 350,759 | 83,285 | — | |||
Financials | 437,598 | 437,598 | — | — | |||
Total Preferred Stocks | 871,642 | 788,357 | 83,285 | — | |||
U.S. Treasury Obligations | 158,210,522 | — | 158,210,522 | — | |||
Total Assets - Investments in Securities | $648,237,259 | $72,534,208 | $575,407,761 | $295,290 | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $1,320,921 | $— | $1,320,921 | $— | |||
Futures Contracts | 1,081,917 | 1,081,917 | — | — | |||
Swap Agreements | 5,222 | — | 5,222 | — | |||
Total Assets - Other Financial Instruments | $2,408,060 | $1,081,917 | $1,326,143 | $ — |
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $(3,024,306) | $— | $(3,024,306) | $— | |||
Futures Contracts | (356,190) | (356,190) | — | — | |||
Total Liabilities - Other Financial Instruments | $(3,380,496) | $(356,190) | $(3,024,306) | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
*** | Other financial instruments are derivative instruments, such as futures contracts, forwards contracts and swap agreements, 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", "Forwards Foreign Currency Contracts outstanding" and "Swap Agreements outstanding" disclosures. |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES | December 31, 2019 |
Money Market Fund | Low-Duration Bond Fund | ||
Assets | |||
Investments in securities of unaffiliated issuers, at value | $904,300,637 | $1,095,807,829 | |
Investments in repurchase agreements, at value | 399,000,000 | 11,900,000 | |
Investments in securities of affiliated issuers, at value | — | 21,271,649 | |
Total investments, at value(1), (2) | 1,303,300,637 | 1,128,979,478 | |
Cash | 35,508 | — | |
Cash collateral for derivatives | — | 2,065,101 | |
Deposits with broker for futures contracts | — | 1,301,465 | |
Foreign currency(3) | — | 955,640 | |
Upfront premiums paid from swap agreements | — | 569,244 | |
Receivables: | |||
Dividends and reclaims | — | 35,548 | |
Interest | 721,431 | 4,523,967 | |
Securities lending | — | 12,438 | |
Investment securities sold | — | 101,641,890 | |
Fund shares sold | 13,873,583 | 191,303 | |
Variation margin on centrally cleared swaps | — | — | |
Variation margin on futures contracts | — | 15,248 | |
Unrealized appreciation on foreign currency exchange contracts | — | 81,270 | |
Unrealized appreciation on swap agreements | — | — | |
Prepaid expenses and other assets | 15,823 | 6,278 | |
Total Assets | 1,317,946,982 | 1,240,378,870 | |
Liabilities | |||
Cash Overdraft | — | — | |
TBA sale commitments, at value(4) | — | 5,933,203 | |
Options written, at value(5) | — | 39,376 | |
Upfront premiums received from swap agreements | — | 1,267,119 | |
Unrealized depreciation on foreign currency exchange contracts | — | 1,111,428 | |
Unrealized depreciation on swap agreements | — | 14,537 | |
Collateral held for securities on loan, at value | — | 55,958,919 | |
Collateral from counterparty | — | 808,300 | |
Payables: | |||
Investment securities purchased | — | 178,098,925 | |
Fund shares redeemed | 20,561,621 | 2,027,207 | |
Variation margin on centrally cleared swaps | — | 18,108 | |
Variation margin on futures contracts | — | — | |
Distributions | 920,285 | — | |
Accrued expenses: | |||
Investment advisory fees | 123,677 | 248,201 | |
Shareholder servicing fees | 84,979 | 49,637 | |
Trustee fees | 17 | 936 | |
Other expenses | 87,935 | 99,212 | |
Total Liabilities | 21,778,514 | 245,675,108 | |
Net Assets | $1,296,168,468 | $994,703,762 | |
Net Assets Consist of: | |||
Paid-in-capital | $1,296,140,868 | $1,000,994,753 | |
Distributable earnings (loss) | 27,600 | (6,290,991) | |
Net Assets | $1,296,168,468 | $994,703,762 | |
Net Asset Value: | |||
$0.001 par value, unlimited shares authorized | |||
Net assets applicable to the Institutional Class | $904,202,206 | $761,736,678 | |
Institutional shares outstanding | 904,186,789 | 56,856,559 | |
Net asset value, offering and redemption price per Institutional share | $1.00 | $13.40 | |
Net assets applicable to the Investor Class | $391,966,262 | $232,967,084 | |
Investor shares outstanding | 391,919,643 | 17,380,887 | |
Net asset value, offering and redemption price per Investor share | $1.00 | $13.40 | |
(1)Investments in securities of unaffiliated issuers, at cost | $904,300,637 | $1,089,096,518 | |
Investments in repurchase agreements, at cost | 399,000,000 | 11,900,000 | |
Investments in securities of affiliated issuers, at cost | — | 21,271,649 | |
Total investments, at cost | $1,303,300,637 | $1,122,268,167 | |
(2)Includes securities loaned of: | $— | $66,802,675 | |
(3)Foreign currency, at cost | $— | $947,841 | |
(4)TBA sale commitments, at cost | $— | $5,924,063 | |
(5)Premiums received on options written | $— | $20,692 |
Table of Contents
Medium-Duration Bond Fund | Extended-Duration Bond Fund | Global Bond Fund | ||
$1,936,204,934 | $274,981,193 | $619,472,703 | ||
25,900,000 | — | — | ||
56,396,537 | 7,809,354 | 28,764,556 | ||
2,018,501,471 | 282,790,547 | 648,237,259 | ||
— | — | — | ||
11,881,004 | — | 4,480,726 | ||
4,102,435 | — | 1,769,815 | ||
6,153,949 | — | 4,454,940 | ||
3,294,009 | — | — | ||
201,542 | 11,632 | 79,196 | ||
10,522,305 | 1,816,213 | 5,740,177 | ||
7,637 | 7,725 | 4,246 | ||
269,835,914 | 38 | 1,706,513 | ||
3,445,583 | 24,447 | 1,433,447 | ||
388,767 | — | — | ||
— | — | 111,589 | ||
1,186,399 | — | 1,320,921 | ||
1,381,087 | — | — | ||
17,116 | 2,574 | 2,658 | ||
2,330,919,218 | 284,653,176 | 669,341,487 | ||
— | — | 176,701 | ||
81,820,713 | — | — | ||
1,154,029 | — | — | ||
1,027,704 | — | 3,680,828 | ||
2,495,539 | — | 3,024,306 | ||
96,421 | — | — | ||
20,002,584 | 26,030,692 | 39,008,103 | ||
5,998,585 | — | — | ||
432,466,969 | 1,730,368 | 12,814,676 | ||
18,409 | 41,128 | 202,055 | ||
— | — | 21,206 | ||
932,019 | — | — | ||
— | — | — | ||
478,335 | 100,615 | 240,101 | ||
65,327 | 27,862 | 25,825 | ||
2,833 | 606 | 565 | ||
161,657 | 37,050 | 57,396 | ||
546,721,124 | 27,968,321 | 59,251,762 | ||
$1,784,198,094 | $256,684,855 | $610,089,725 | ||
$1,748,834,149 | $239,912,744 | $606,084,554 | ||
35,363,945 | 16,772,111 | 4,005,171 | ||
$1,784,198,094 | $256,684,855 | $610,089,725 | ||
$1,476,285,594 | $127,884,215 | $486,864,879 | ||
98,064,633 | 7,016,279 | 48,651,991 | ||
$15.05 | $18.23 | $10.01 | ||
$307,912,500 | $128,800,640 | $123,224,846 | ||
20,448,076 | 7,064,375 | 12,324,830 | ||
$15.06 | $18.23 | $10.00 | ||
$1,886,890,076 | $259,496,246 | $609,969,524 | ||
25,900,000 | — | — | ||
56,396,537 | 7,809,354 | 28,764,556 | ||
$1,969,186,613 | $267,305,600 | $638,734,080 | ||
$30,778,152 | $32,274,377 | $45,404,474 | ||
$6,136,676 | $— | $4,340,599 | ||
$81,674,500 | $— | $— | ||
$1,439,289 | $— | $— |
Table of Contents
STATEMENTS OF OPERATIONS | For the Year Ended December 31, 2019 |
Money Market Fund | Low-Duration Bond Fund | ||
Investment Income | |||
Dividends | $— | $22,059 | |
Income distributions received from affiliated funds | — | 579,089 | |
Interest | 30,828,422 | 25,675,684 | |
Securities lending, net | — | 88,929 | |
Less foreign taxes withheld | — | (16,750) | |
Total Investment Income | 30,828,422 | 26,349,011 | |
Expenses | |||
Investment advisory fees | 1,508,249 | 2,840,827 | |
Transfer agent fees: | |||
Institutional shares | 4,571 | 4,632 | |
Investor shares | 36,100 | 19,631 | |
Custodian fees | 17,725 | 179,107 | |
Shareholder servicing fees: | |||
Investor shares | 991,454 | 631,964 | |
Accounting and administration fees | 262,642 | 198,904 | |
Professional fees | 86,804 | 79,262 | |
Shareholder reporting fees: | |||
Institutional shares | 802 | 925 | |
Investor shares | 15,587 | 3,695 | |
Trustees expenses | 13,510 | 4,251 | |
Line of credit facility fees | 10,039 | 1,560 | |
Other expenses | 112,237 | 63,215 | |
Total Expenses | 3,059,720 | 4,027,973 | |
Net Investment Income | 27,768,702 | 22,321,038 | |
Realized and Unrealized Gain (Loss) | |||
Net realized gain (loss) from: | |||
Investment securities | 22,056 | 7,261,654 | |
Investment securities sold short | — | (205,007) | |
Futures transactions | — | (2,584,507) | |
Swap agreements | — | (1,980,939) | |
Option contracts written | — | 467,081 | |
Option contracts purchased | — | 27,094 | |
Forward foreign currency contracts | — | 1,211,575 | |
Foreign currency | — | (244,571) | |
Net realized gain (loss) | 22,056 | 3,952,380 | |
Net change in unrealized appreciation (depreciation) on: | |||
Investment securities | — | 11,760,429 | |
Investment securities sold short | — | 28,123 | |
Futures | — | 71,646 | |
Swap agreements | — | (463,404) | |
Option contracts written | — | 337,404 | |
Option contracts purchased | — | (468,489) | |
Forward foreign currency contracts | — | (909,167) | |
Foreign currency | — | 14,205 | |
Net change in unrealized appreciation (depreciation) | — | 10,370,747 | |
Net Realized and Unrealized Gain | 22,056 | 14,323,127 | |
Net Increase in Net Assets Resulting from Operations | $27,790,758 | $36,644,165 |
Table of Contents
Medium-Duration Bond Fund | Extended-Duration Bond Fund | Global Bond Fund | ||
$68,386 | $20,893 | $536,335 | ||
2,083,024 | 170,376 | 917,821 | ||
51,859,381 | 8,278,714 | 25,772,359 | ||
113,278 | 30,523 | 173,189 | ||
(10,045) | (7,552) | (105,282) | ||
54,114,024 | 8,492,954 | 27,294,422 | ||
5,275,823 | 1,129,256 | 2,654,797 | ||
4,740 | 4,019 | 4,484 | ||
24,794 | 18,179 | 17,343 | ||
567,817 | 30,049 | 114,406 | ||
717,175 | 311,534 | 275,341 | ||
342,109 | 50,470 | 116,978 | ||
96,184 | 93,546 | 103,969 | ||
1,547 | 474 | 1,063 | ||
7,060 | 5,043 | 4,039 | ||
3,394 | 4,808 | 2,511 | ||
134 | 4,727 | 1,444 | ||
88,446 | 54,958 | 56,865 | ||
7,129,223 | 1,707,063 | 3,353,240 | ||
46,984,801 | 6,785,891 | 23,941,182 | ||
21,489,834 | 4,752,160 | 330,514 | ||
(549,432) | — | — | ||
36,196,191 | — | (1,601,175) | ||
(16,958,656) | — | (332,608) | ||
2,922,007 | — | — | ||
(2,084,358) | — | (195,528) | ||
(805,050) | — | (1,334,774) | ||
264,334 | 2,124 | (861,259) | ||
40,474,870 | 4,754,284 | (3,994,830) | ||
68,943,423 | 18,228,448 | 41,159,483 | ||
21,568 | — | — | ||
(12,124,728) | — | 543,663 | ||
7,427,740 | — | 5,222 | ||
2,360,058 | — | — | ||
(1,415,044) | — | — | ||
(172,575) | — | (2,792,350) | ||
141,936 | 1,234 | 179,657 | ||
65,182,378 | 18,229,682 | 39,095,675 | ||
105,657,248 | 22,983,966 | 35,100,845 | ||
$152,642,049 | $29,769,857 | $59,042,027 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS |
Money Market Fund | |||
For the Year Ended | |||
12/31/19 | 12/31/18 | ||
Operations: | |||
Net investment income | $27,768,702 | $18,097,193 | |
Net realized gain (loss) on investment securities, foreign currency and derivatives | 22,056 | 3,419 | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | — | — | |
Net increase (decrease) in net assets resulting from operations | 27,790,758 | 18,100,612 | |
Distributions to Shareholders: | |||
Institutional shares | (20,503,404) | (5,076,945) | |
Investor shares | (7,265,298) | (13,020,248) | |
Total distributions | (27,768,702) | (18,097,193) | |
Capital Share Transactions: | |||
Proceeds from shares sold | |||
Institutional shares | 4,301,371,522 | 1,748,822,489 | |
Investor shares | 372,222,654 | 4,746,224,687 | |
Reinvestment of dividends and distributions | |||
Institutional shares | 4,362,064 | 2,208,188 | |
Investor shares | 7,235,378 | 5,445,866 | |
Total proceeds from shares sold and reinvested | 4,685,191,618 | 6,502,701,230 | |
Value of shares redeemed | |||
Institutional shares | (4,243,079,203) | (1,178,447,349) | |
Investor shares | (395,729,388) | (5,238,005,117) | |
Total value of shares redeemed | (4,638,808,591) | (6,416,452,466) | |
Net increase from capital share transactions(1) | 46,383,027 | 86,248,764 | |
Total increase in net assets | 46,405,083 | 86,252,183 | |
Net Assets: | |||
Beginning of Year | 1,249,763,385 | 1,163,511,202 | |
End of Year | $1,296,168,468 | $1,249,763,385 |
(1) | See Note 6 in Notes to Financial Statements. |
Table of Contents
Low-Duration Bond Fund | Medium-Duration Bond Fund | |||||
For the Year Ended | For the Year Ended | |||||
12/31/19 | 12/31/18 | 12/31/19 | 12/31/18 | |||
$22,321,038 | $20,568,605 | $46,984,801 | $41,137,326 | |||
3,952,380 | (4,046,761) | 40,474,870 | (22,983,840) | |||
10,370,747 | (4,789,726) | 65,182,378 | (25,818,861) | |||
36,644,165 | 11,732,118 | 152,642,049 | (7,665,375) | |||
(17,790,895) | (15,019,892) | (56,907,805) | (34,879,820) | |||
(5,457,648) | (6,577,258) | (11,258,355) | (6,688,627) | |||
(23,248,543) | (21,597,150) | (68,166,160) | (41,568,447) | |||
167,454,014 | 99,252,756 | 201,720,715 | 245,602,344 | |||
33,889,114 | 34,391,035 | 70,098,535 | 47,923,137 | |||
17,570,330 | 14,827,815 | 56,765,981 | 34,717,112 | |||
5,450,732 | 6,574,660 | 11,047,637 | 6,583,119 | |||
224,364,190 | 155,046,266 | 339,632,868 | 334,825,712 | |||
(35,643,763) | (96,844,338) | (93,164,235) | (137,487,888) | |||
(115,855,201) | (42,427,351) | (57,821,223) | (44,988,883) | |||
(151,498,964) | (139,271,689) | (150,985,458) | (182,476,771) | |||
72,865,226 | 15,774,577 | 188,647,410 | 152,348,941 | |||
86,260,848 | 5,909,545 | 273,123,299 | 103,115,119 | |||
908,442,914 | 902,533,369 | 1,511,074,795 | 1,407,959,676 | |||
$994,703,762 | $908,442,914 | $1,784,198,094 | $1,511,074,795 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS |
Extended-Duration Bond Fund | Global Bond Fund | ||||||
For the Year Ended | For the Year Ended | ||||||
12/31/19 | 12/31/18 | 12/31/19 | 12/31/18 | ||||
Operations: | |||||||
Net investment income | $6,785,891 | $7,040,440 | $23,941,182 | $24,114,261 | |||
Net realized gain (loss) on investment securities, foreign currency and derivatives | 4,754,284 | (437,384) | (3,994,830) | (6,067,877) | |||
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | 18,229,682 | (14,553,984) | 39,095,675 | (43,656,161) | |||
Net increase (decrease) in net assets resulting from operations | 29,769,857 | (7,950,928) | 59,042,027 | (25,609,777) | |||
Distributions to Shareholders: | |||||||
Institutional shares | (4,926,054) | (4,610,373) | (16,524,236) | (13,546,563) | |||
Investor shares | (4,865,967) | (4,032,031) | (3,697,240) | (3,687,399) | |||
Total distributions | (9,792,021) | (8,642,404) | (20,221,476) | (17,233,962) | |||
Capital Share Transactions: | |||||||
Proceeds from shares sold | |||||||
Institutional shares | 20,612,237 | 7,774,517 | 70,146,932 | 73,567,800 | |||
Investor shares | 38,819,908 | 13,477,007 | 39,444,364 | 24,463,013 | |||
Reinvestment of dividends and distributions | |||||||
Institutional shares | 4,921,573 | 4,584,780 | 16,514,524 | 13,429,011 | |||
Investor shares | 4,851,622 | 4,024,823 | 3,666,832 | 3,675,912 | |||
Total proceeds from shares sold and reinvested | 69,205,340 | 29,861,127 | 129,772,652 | 115,135,736 | |||
Value of shares redeemed | |||||||
Institutional shares | (15,737,574) | (18,238,669) | (40,079,129) | (49,971,832) | |||
Investor shares | (37,177,678) | (22,210,332) | (42,099,782) | (27,176,135) | |||
Total value of shares redeemed | (52,915,252) | (40,449,001) | (82,178,911) | (77,147,967) | |||
Net increase (decrease) from capital share transactions(1) | 16,290,088 | (10,587,874) | 47,593,741 | 37,987,769 | |||
Total increase (decrease) in net assets | 36,267,924 | (27,181,206) | 86,414,292 | (4,855,970) | |||
Net Assets: | |||||||
Beginning of Year | 220,416,931 | 247,598,137 | 523,675,433 | 528,531,403 | |||
End of Year | $256,684,855 | $220,416,931 | $610,089,725 | $523,675,433 |
(1) | See Note 6 in Notes to Financial Statements. |
Table of Contents
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 | Total Income From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions Paid | Net Asset Value, End of Year | Total Return | Net Assets, End of Year (000) | Expenses, Net | Expenses, Gross | Investment Income, Net | Portfolio Turnover Rate | |
Money Market Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2019 | $1.00 | $0.02 | $—† | $0.02 | $(0.02) | $— | $(0.02) | $1.00 | 2.13% | $904,202 | 0.14% | 0.14% | 2.10% | N/A |
2018 | 1.00 | 0.02 | —† | 0.02 | (0.02) | — | (0.02) | 1.00 | 1.74 | 841,532 | 0.15 | 0.15 | 1.74 | N/A |
2017 | 1.00 | 0.01 | —† | 0.01 | (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 |
Investor Class | ||||||||||||||
2019 | $1.00 | $0.02 | $—† | $0.02 | $(0.02) | $— | $(0.02) | $1.00 | 1.85% | $391,966 | 0.42% | 0.42% | 1.83% | N/A |
2018 | 1.00 | 0.01 | —† | 0.01 | (0.01) | — | (0.01) | 1.00 | 1.48 | 408,231 | 0.40 | 0.40 | 1.47 | N/A |
2017 | 1.00 | 0.01 | —† | 0.01 | (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 |
Low-Duration Bond Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2019 | $13.21 | $0.32 | $0.20 | $0.52 | $(0.33) | $— | $(0.33) | $13.40 | 3.99% | $761,737 | 0.35% | 0.35% | 2.39% | 525% |
2018 | 13.35 | 0.30 | (0.12) | 0.18 | (0.32) | — | (0.32) | 13.21 | 1.36 | 602,968 | 0.35 | 0.35 | 2.30 | 513 |
2017 | 13.34 | 0.21 | 0.01 | 0.22 | (0.21) | — | (0.21) | 13.35 | 1.69 | 592,325 | 0.35 | 0.36 | 1.60 | 102 |
2016 | 13.30 | 0.19 | 0.05(1) | 0.24 | (0.20) | — | (0.20) | 13.34 | 1.74 | 585,590 | 0.37 | 0.38 | 1.46 | 398 |
2015 | 13.41 | 0.21 | (0.10)(1) | 0.11 | (0.22) | — | (0.22) | 13.30 | 0.79 | 617,698 | 0.37 | 0.38 | 1.52 | 746 |
Investor Class | ||||||||||||||
2019 | $13.21 | $0.29 | $0.20 | $0.49 | $(0.30) | $— | $(0.30) | $13.40 | 3.71% | $232,967 | 0.62% | 0.62% | 2.16% | 525% |
2018 | 13.35 | 0.27 | (0.13) | 0.14 | (0.28) | — | (0.28) | 13.21 | 1.10 | 305,475 | 0.61 | 0.61 | 2.03 | 513 |
2017 | 13.34 | 0.18 | 0.01 | 0.19 | (0.18) | — | (0.18) | 13.35 | 1.42 | 310,208 | 0.62 | 0.63 | 1.33 | 102 |
2016 | 13.27 | 0.16 | 0.03(1) | 0.19 | (0.12) | — | (0.12) | 13.34 | 1.47 | 280,701 | 0.64 | 0.65 | 1.18 | 398 |
2015 | 13.31 | 0.16 | (0.09)(1) | 0.07 | (0.11) | — | (0.11) | 13.27 | 0.49 | 242,325 | 0.60 | 0.65 | 1.17 | 746 |
Medium-Duration Bond Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2019 | $14.28 | $0.43 | $0.96 | $1.39 | $(0.42) | $(0.20) | $(0.62) | $15.05 | 9.81% | $1,476,286 | 0.39% | 0.39% | 2.90% | 433% |
2018 | 14.75 | 0.40 | (0.47) | (0.07) | (0.40) | — | (0.40) | 14.28 | (0.46) | 1,240,967 | 0.37 | 0.38 | 2.76 | 431 |
2017 | 14.46 | 0.34 | 0.26 | 0.60 | (0.31) | — | (0.31) | 14.75 | 4.13 | 1,138,597 | 0.39 | 0.40 | 2.32 | 387 |
2016 | 14.44 | 0.37 | 0.08(1) | 0.45 | (0.39) | (0.04) | (0.43) | 14.46 | 3.21 | 815,430 | 0.45 | 0.46 | 2.50 | 337 |
2015 | 15.18 | 0.37 | (0.35)(1) | 0.02 | (0.54) | (0.22) | (0.76) | 14.44 | 0.03 | 706,760 | 0.45 | 0.47 | 2.46 | 346 |
Investor Class | ||||||||||||||
2019 | $14.28 | $0.39 | $0.97 | $1.36 | $(0.38) | $(0.20) | $(0.58) | $15.06 | 9.58% | $307,912 | 0.65% | 0.65% | 2.63% | 433% |
2018 | 14.75 | 0.36 | (0.47) | (0.11) | (0.36) | — | (0.36) | 14.28 | (0.72) | 270,107 | 0.64 | 0.65 | 2.49 | 431 |
2017 | 14.46 | 0.30 | 0.26 | 0.56 | (0.27) | — | (0.27) | 14.75 | 3.93 | 269,362 | 0.66 | 0.67 | 2.05 | 387 |
2016 | 14.31 | 0.33 | 0.08(1) | 0.41 | (0.22) | (0.04) | (0.26) | 14.46 | 2.88 | 215,783 | 0.72 | 0.73 | 2.24 | 337 |
2015 | 14.65 | 0.28 | (0.31)(1) | (0.03) | (0.21) | (0.10) | (0.31) | 14.31 | (0.22) | 187,863 | 0.66 | 0.75 | 1.92 | 346 |
# | Calculated using the average shares outstanding method. |
† | Amount represents less than $0.005 per share. |
(1) | 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. |
Table of Contents
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 | Total Income From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions Paid | Net Asset Value, End of Year | Total Return | Net Assets, End of Year (000) | Expenses, Net | Expenses, Gross | Investment Income, Net | Portfolio Turnover Rate | |
Extended-Duration Bond Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2019 | $16.73 | $0.52 | $1.72 | $2.24 | $(0.51) | $(0.23) | $(0.74) | $18.23 | 13.51% | $127,884 | 0.57% | 0.57% | 2.93% | 39% |
2018 | 17.94 | 0.54 | (1.09) | (0.55) | (0.53) | (0.13) | (0.66) | 16.73 | (3.07) | 108,206 | 0.55 | 0.56 | 3.16 | 45 |
2017 | 16.90 | 0.59 | 1.13 | 1.72 | (0.56) | (0.12) | (0.68) | 17.94 | 10.38 | 122,526 | 0.57 | 0.58 | 3.37 | 93 |
2016 | 17.37 | 0.70 | 0.63(1) | 1.33 | (0.98) | (0.82) | (1.80) | 16.90 | 7.65 | 115,558 | 0.56 | 0.57 | 3.81 | 50 |
2015 | 21.26 | 0.78 | (1.74)(1) | (0.96) | (1.42) | (1.51) | (2.93) | 17.37 | (5.01) | 148,920 | 0.60 | 0.60 | 4.09 | 42 |
Investor Class | ||||||||||||||
2019 | $16.74 | $0.48 | $1.70 | $2.18 | $(0.46) | $(0.23) | $(0.69) | $18.23 | 13.14% | $128,801 | 0.83% | 0.83% | 2.66% | 39% |
2018 | 17.95 | 0.49 | (1.09) | (0.60) | (0.48) | (0.13) | (0.61) | 16.74 | (3.34) | 112,211 | 0.82 | 0.83 | 2.89 | 45 |
2017 | 16.90 | 0.54 | 1.15 | 1.69 | (0.52) | (0.12) | (0.64) | 17.95 | 10.13 | 125,072 | 0.85 | 0.85 | 3.09 | 93 |
2016 | 16.76 | 0.64 | 0.56(1) | 1.20 | (0.34) | (0.72) | (1.06) | 16.90 | 7.23 | 119,443 | 0.84 | 0.85 | 3.51 | 50 |
2015 | 18.30 | 0.66 | (1.60)(1) | (0.94) | (0.27) | (0.33) | (0.60) | 16.76 | (5.30) | 106,918 | 0.82 | 0.85 | 3.65 | 42 |
Global Bond Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2019 | $9.32 | $0.42 | $0.62 | $1.04 | $(0.35) | $— | $(0.35) | $10.01 | 11.31% | $486,865 | 0.54% | 0.54% | 4.30% | 59% |
2018 | 10.08 | 0.43 | (0.88) | (0.45) | (0.31) | — | (0.31) | 9.32 | (4.51) | 409,257 | 0.53 | 0.55 | 4.50 | 23 |
2017 | 9.68 | 0.42 | 0.35 | 0.77 | (0.37) | — | (0.37) | 10.08 | 8.09 | 405,411 | 0.56 | 0.58 | 4.18 | 31 |
2016 | 9.08 | 0.45 | 0.56(1) | 1.01 | (0.41) | — | (0.41) | 9.68 | 11.24 | 338,475 | 0.59 | 0.60 | 4.73 | 28 |
2015(2) | 10.09 | 0.27 | (1.02)(1) | (0.75) | (0.26) | — | (0.26) | 9.08 | (7.54) | 311,374 | 0.59 | 0.62 | 4.15 | 30 |
Investor Class | ||||||||||||||
2019 | $9.31 | $0.40 | $0.62 | $1.02 | $(0.33) | $— | $(0.33) | $10.00 | 11.03% | $123,225 | 0.82% | 0.82% | 4.02% | 59% |
2018 | 10.07 | 0.41 | (0.88) | (0.47) | (0.29) | — | (0.29) | 9.31 | (4.73) | 114,418 | 0.80 | 0.82 | 4.22 | 23 |
2017 | 9.68 | 0.39 | 0.35 | 0.74 | (0.35) | — | (0.35) | 10.07 | 7.69 | 123,120 | 0.83 | 0.85 | 3.89 | 31 |
2016 | 9.08 | 0.42 | 0.56(1) | 0.98 | (0.38) | — | (0.38) | 9.68 | 10.91 | 89,412 | 0.88 | 0.89 | 4.42 | 28 |
2015 | 10.03 | 0.33 | (0.92)(1) | (0.59) | (0.36) | — | (0.36) | 9.08 | (6.00) | 78,636 | 0.82 | 0.84 | 3.35 | 30 |
# | Calculated using the average shares outstanding method. |
(1) | 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. |
(2) | Inception date was May 1, 2015. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
Table of Contents
Table of Contents
% | |
Corporate Bonds | 24.6 |
U.S. Treasury Obligations | 18.3 |
Financials | 9.1 |
Health Care | 7.3 |
Information Technology | 6.7 |
Money Market Funds | 6.7 |
Consumer Staples | 6.6 |
Industrials | 4.8 |
Utilities | 4.6 |
Consumer Discretionary | 2.6 |
Energy | 2.3 |
Communication Services | 2.1 |
Foreign Bonds | 1.9 |
Materials | 1.0 |
Real Estate | 0.9 |
Equity-Linked Securities | 0.8 |
Mutual Funds | 0.8 |
Written Options | (0.1) |
101.0 |
Table of Contents
Average Annual Total Returns as of 12/31/19 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | 19.78% | 19.38% | 16.25% | ||||
Five Year | 8.78% | 8.48% | 6.43% | ||||
Ten year | N/A | N/A | N/A | ||||
Since Inception | 10.08% | 9.80% | 7.68% | ||||
Inception Date | 09/01/11 | 09/01/11 | |||||
Total Fund Operating Expenses (April 30, 2019 Prospectus)(1) | 0.68% | 0.94% |
(1) | Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights. |
Table of Contents
Shares | Value | |||
COMMON STOCKS — 41.3% | ||||
Communication Services — 2.1% | ||||
Activision Blizzard, Inc. | 1,269 | $75,404 | ||
Alphabet, Inc. Class A* | 3,213 | 4,303,460 | ||
Alphabet, Inc. Class C* | 558 | 746,057 | ||
AT&T, Inc. | 21,689 | 847,606 | ||
CenturyLink, Inc. | 2,552 | 33,712 | ||
Charter Communications, Inc. Class A* | 343 | 166,382 | ||
Comcast Corporation Class A | 7,920 | 356,162 | ||
Discovery, Inc. Class A* | 454 | 14,864 | ||
Discovery, Inc. Class C* | 631 | 19,239 | ||
DISH Network Corporation Class A* | 393 | 13,940 | ||
Electronic Arts, Inc.* | 559 | 60,098 | ||
Facebook, Inc. Class A* | 14,617 | 3,000,139 | ||
Fox Corporation Class A | 935 | 34,661 | ||
Fox Corporation Class B | 437 | 15,907 | ||
Interpublic Group of Cos., Inc. (The) | 849 | 19,612 | ||
Netflix, Inc.* | 1,661 | 537,450 | ||
News Corporation Class A | 567 | 8,017 | ||
Omnicom Group, Inc. | 506 | 40,996 | ||
Take-Two Interactive Software, Inc.* | 254 | 31,097 | ||
T-Mobile US, Inc.* | 14,538 | 1,140,070 | ||
Twitter, Inc.* | 1,378 | 44,165 | ||
Verizon Communications, Inc. | 196,487 | 12,064,302 | ||
ViacomCBS, Inc. Class B | 817 | 34,290 | ||
Walt Disney Co. (The) | 19,954 | 2,885,947 | ||
26,493,577 | ||||
Consumer Discretionary — 2.2% | ||||
Advance Auto Parts, Inc. | 122 | 19,540 | ||
Amazon.com, Inc.* | 1,671 | 3,087,741 | ||
AutoZone, Inc.* | 38 | 45,270 | ||
Best Buy Co., Inc. | 458 | 40,212 | ||
Booking Holdings, Inc.* | 631 | 1,295,904 | ||
BorgWarner, Inc. | 232 | 10,064 | ||
Capri Holdings, Ltd.* | 6,065 | 231,380 | ||
CarMax, Inc.* | 253 | 22,180 | ||
Carnival Corporation | 789 | 40,105 | ||
Chipotle Mexican Grill, Inc.* | 46 | 38,507 | ||
D.R. Horton, Inc. | 870 | 45,892 | ||
Darden Restaurants, Inc. | 14,168 | 1,544,454 | ||
Dollar General Corporation | 398 | 62,080 | ||
Dollar Tree, Inc.* | 447 | 42,040 | ||
eBay, Inc. | 1,476 | 53,298 | ||
Expedia Group, Inc. | 332 | 35,902 | ||
Ford Motor Co. | 8,102 | 75,349 | ||
Gap, Inc. (The) | 723 | 12,783 | ||
General Motors Co. | 2,563 | 93,806 | ||
Genuine Parts Co. | 31,379 | 3,333,391 | ||
H&R Block, Inc. | 1,036 | 24,325 | ||
Hanesbrands, Inc. | 827 | 12,281 | ||
Hasbro, Inc. | 196 | 20,700 | ||
Hilton Worldwide Holdings, Inc. | 491 | 54,457 | ||
Home Depot, Inc. (The) | 14,647 | 3,198,612 | ||
Kohl’s Corporation | 339 | 17,272 | ||
L Brands, Inc. | 562 | 10,183 |
Shares | Value | |||
Leggett & Platt, Inc. | 240 | $12,199 | ||
Lennar Corporation Class A | 374 | 20,865 | ||
LKQ Corporation* | 551 | 19,671 | ||
Lowe’s Cos., Inc. | 7,501 | 898,320 | ||
Lululemon Athletica, Inc.* | 5,326 | 1,233,874 | ||
Macy’s, Inc. | 1,010 | 17,170 | ||
Marriott International, Inc. Class A | 528 | 79,955 | ||
McDonald’s Corporation | 17,306 | 3,419,839 | ||
Mohawk Industries, Inc.* | 105 | 14,320 | ||
Newell Brands, Inc. | 1,473 | 28,311 | ||
NIKE, Inc. Class B | 18,461 | 1,870,284 | ||
Nordstrom, Inc. | 287 | 11,747 | ||
Norwegian Cruise Line Holdings, Ltd.* | 381 | 22,254 | ||
NVR, Inc.* | 6 | 22,850 | ||
O’Reilly Automotive, Inc.* | 141 | 61,795 | ||
PulteGroup, Inc. | 555 | 21,534 | ||
PVH Corporation | 138 | 14,511 | ||
Ralph Lauren Corporation | 137 | 16,059 | ||
Ross Stores, Inc. | 12,133 | 1,412,524 | ||
Royal Caribbean Cruises, Ltd. | 3,304 | 441,117 | ||
Starbucks Corporation | 19,166 | 1,685,075 | ||
Tapestry, Inc. | 641 | 17,288 | ||
Target Corporation | 1,052 | 134,877 | ||
Tiffany & Co. | 210 | 28,066 | ||
TJX Cos., Inc. (The) | 20,877 | 1,274,750 | ||
Tractor Supply Co. | 240 | 22,426 | ||
Ulta Beauty, Inc.* | 135 | 34,174 | ||
Under Armour, Inc. Class A* | 210 | 4,536 | ||
Under Armour, Inc. Class C* | 211 | 4,047 | ||
VF Corporation | 555 | 55,311 | ||
Whirlpool Corporation | 160 | 23,605 | ||
Yum! Brands, Inc. | 9,914 | 998,637 | ||
27,389,719 | ||||
Consumer Staples — 5.5% | ||||
Archer-Daniels-Midland Co. | 1,013 | 46,953 | ||
Campbell Soup Co. | 418 | 20,658 | ||
Casey’s General Stores, Inc. | 4,599 | 731,195 | ||
Church & Dwight Co., Inc. | 655 | 46,073 | ||
Clorox Co. (The) | 3,232 | 496,241 | ||
Coca-Cola Co. (The) | 71,063 | 3,933,337 | ||
Colgate-Palmolive Co. | 135,373 | 9,319,077 | ||
Conagra Brands, Inc. | 599 | 20,510 | ||
Costco Wholesale Corporation | 11,654 | 3,425,344 | ||
Coty, Inc. Class A | 1,645 | 18,506 | ||
Estee Lauder Cos., Inc. (The) Class A | 10,551 | 2,179,204 | ||
General Mills, Inc. | 1,073 | 57,470 | ||
Hershey Co. (The) | 6,550 | 962,719 | ||
Hormel Foods CorporationΔ | 36,910 | 1,665,010 | ||
Ingredion, Inc. | 12,083 | 1,123,115 | ||
J.M. Smucker Co. (The) | 250 | 26,033 | ||
Kellogg Co. | 694 | 47,997 | ||
Kimberly-Clark Corporation | 53,809 | 7,401,428 | ||
Kraft Heinz Co. (The) | 1,765 | 56,709 | ||
Kroger Co. (The) | 1,673 | 48,500 | ||
Lamb Weston Holdings, Inc. | 14,882 | 1,280,298 |
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Shares | Value | |||
McCormick & Co., Inc. (Non-Voting Shares) | 9,412 | $1,597,499 | ||
Mondelez International, Inc. Class A | 8,006 | 440,970 | ||
Monster Beverage Corporation* | 15,423 | 980,132 | ||
PepsiCo, Inc. | 94,785 | 12,954,266 | ||
Procter & Gamble Co. (The) | 78,876 | 9,851,612 | ||
Sysco Corporation | 33,026 | 2,825,044 | ||
Tyson Foods, Inc. Class A | 450 | 40,968 | ||
Walgreens Boots Alliance, Inc. | 1,543 | 90,975 | ||
Walmart, Inc. | 69,676 | 8,280,296 | ||
69,968,139 | ||||
Energy — 1.1% | ||||
Apache Corporation | 581 | 14,868 | ||
Baker Hughes Co. | 990 | 25,374 | ||
Cabot Oil & Gas Corporation | 765 | 13,319 | ||
Chevron Corporation | 63,514 | 7,654,072 | ||
Cimarex Energy Co. | 158 | 8,293 | ||
Concho Resources, Inc. | 317 | 27,760 | ||
ConocoPhillips | 34,084 | 2,216,483 | ||
Devon Energy Corporation | 701 | 18,205 | ||
Diamondback Energy, Inc. | 209 | 19,408 | ||
EOG Resources, Inc. | 1,122 | 93,979 | ||
Exxon Mobil Corporation | 37,627 | 2,625,612 | ||
Halliburton Co. | 989 | 24,201 | ||
Helmerich & Payne, Inc. | 341 | 15,492 | ||
Hess Corporation | 541 | 36,144 | ||
HollyFrontier Corporation | 313 | 15,872 | ||
Kinder Morgan, Inc. | 3,804 | 80,531 | ||
Marathon Oil Corporation | 1,211 | 16,445 | ||
Marathon Petroleum Corporation | 1,446 | 87,121 | ||
Noble Energy, Inc. | 607 | 15,078 | ||
Occidental Petroleum Corporation | 1,992 | 82,090 | ||
ONEOK, Inc. | 5,323 | 402,791 | ||
Phillips 66 | 752 | 83,780 | ||
Pioneer Natural Resources Co. | 361 | 54,645 | ||
Valero Energy Corporation | 1,830 | 171,379 | ||
Williams Cos., Inc. (The) | 2,342 | 55,552 | ||
13,858,494 | ||||
Financials — 7.9% | ||||
Aflac, Inc. | 35,828 | 1,895,301 | ||
Alleghany Corporation* | 1,248 | 997,863 | ||
Allstate Corporation (The) | 27,618 | 3,105,644 | ||
American Express Co. | 13,985 | 1,740,993 | ||
American Financial Group, Inc. | 8,676 | 951,323 | ||
American International Group, Inc. | 1,388 | 71,246 | ||
Ameriprise Financial, Inc. | 269 | 44,810 | ||
Arch Capital Group, Ltd.* | 18,444 | 791,063 | ||
Arthur J. Gallagher & Co. | 451 | 42,949 | ||
Assurant, Inc. | 75 | 9,831 | ||
Assured Guaranty, Ltd. | 3,251 | 159,364 | ||
Bank of America Corporation | 31,022 | 1,092,595 | ||
Bank of Hawaii Corporation | 7,533 | 716,840 | ||
Bank of New York Mellon Corporation (The) | 56,765 | 2,856,983 | ||
Berkshire Hathaway, Inc. Class B* | 3,602 | 815,853 | ||
BlackRock, Inc. | 6,859 | 3,448,019 | ||
Capital One Financial Corporation | 901 | 92,722 |
Shares | Value | |||
Capitol Federal Financial, Inc. | 290,200 | $3,984,446 | ||
Cboe Global Markets, Inc. | 264 | 31,680 | ||
Charles Schwab Corporation (The) | 2,229 | 106,011 | ||
Cincinnati Financial Corporation | 334 | 35,120 | ||
Citigroup, Inc. | 4,568 | 364,938 | ||
Citizens Financial Group, Inc. | 836 | 33,950 | ||
CME Group, Inc. | 16,945 | 3,401,200 | ||
Comerica, Inc. | 81,402 | 5,840,594 | ||
Commerce Bancshares, Inc.Δ | 15,318 | 1,040,736 | ||
Credit Acceptance CorporationΔ* | 4,827 | 2,135,127 | ||
Cullen/Frost Bankers, Inc. | 4,208 | 411,458 | ||
Discover Financial Services | 9,426 | 799,513 | ||
E*TRADE Financial Corporation | 326 | 14,791 | ||
East West Bancorp, Inc.Δ | 13,129 | 639,382 | ||
Erie Indemnity Co. Class AΔ | 861 | 142,926 | ||
Everest Re Group, Ltd. | 3,806 | 1,053,653 | ||
Fidelity National Financial, Inc. | 25,344 | 1,149,350 | ||
Fifth Third Bancorp | 1,381 | 42,452 | ||
First Citizens BancShares, Inc. Class A | 249 | 132,520 | ||
First Republic Bank | 214 | 25,134 | ||
Franklin Resources, Inc. | 636 | 16,523 | ||
Globe Life, Inc. | 219 | 23,050 | ||
Goldman Sachs Group, Inc. (The) | 615 | 141,407 | ||
Hartford Financial Services Group, Inc. (The) | 633 | 38,467 | ||
Huntington Bancshares, Inc. | 1,877 | 28,305 | ||
Intercontinental Exchange, Inc. | 14,595 | 1,350,767 | ||
Invesco, Ltd. | 816 | 14,672 | ||
JPMorgan Chase & Co. | 59,181 | 8,249,831 | ||
KeyCorp | 1,880 | 38,051 | ||
Lincoln National Corporation | 388 | 22,896 | ||
Loews Corporation | 373 | 19,579 | ||
M&T Bank Corporation | 6,802 | 1,154,640 | ||
Markel Corporation* | 1,365 | 1,560,427 | ||
MarketAxess Holdings, Inc. | 74 | 28,054 | ||
Marsh & McLennan Cos., Inc. | 81,472 | 9,076,796 | ||
MetLife, Inc. | 2,122 | 108,158 | ||
Moody’s Corporation | 247 | 58,640 | ||
Morgan Stanley | 2,337 | 119,468 | ||
MSCI, Inc. | 120 | 30,982 | ||
Nasdaq, Inc. | 251 | 26,882 | ||
Northern Trust Corporation | 23,771 | 2,525,431 | ||
People’s United Financial, Inc. | 674 | 11,391 | ||
PNC Financial Services Group, Inc. (The) | 68,083 | 10,868,089 | ||
Popular, Inc. | 2,906 | 170,728 | ||
Principal Financial Group, Inc. | 556 | 30,580 | ||
Progressive Corporation (The) | 39,290 | 2,844,203 | ||
Prudential Financial, Inc. | 758 | 71,055 | ||
Raymond James Financial, Inc. | 240 | 21,470 | ||
Regions Financial Corporation | 2,436 | 41,802 | ||
RenaissanceRe Holdings, Ltd. | 2,135 | 418,503 | ||
S&P Global, Inc. | 1,008 | 275,234 | ||
SEI Investments Co. | 5,739 | 375,790 | ||
State Street Corporation | 18,084 | 1,430,444 | ||
SVB Financial Group* | 13,662 | 3,429,709 | ||
Synchrony Financial | 1,366 | 49,190 |
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Shares | Value | |||
T. Rowe Price Group, Inc. | 9,945 | $1,211,699 | ||
TFS Financial CorporationΔ | 4,867 | 95,783 | ||
Travelers Cos., Inc. (The) | 17,895 | 2,450,720 | ||
Truist Financial Corporation | 6,527 | 367,591 | ||
U.S. Bancorp | 48,270 | 2,861,928 | ||
Unum Group | 295 | 8,602 | ||
W.R. Berkley Corporation | 6,554 | 452,881 | ||
Wells Fargo & Co. | 131,164 | 7,056,623 | ||
Zions Bancorp NA | 159 | 8,255 | ||
99,403,676 | ||||
Health Care — 5.3% | ||||
Abbott Laboratories | 15,592 | 1,354,321 | ||
ABIOMED, Inc.* | 79 | 13,477 | ||
Agilent Technologies, Inc. | 6,483 | 553,065 | ||
Alexion Pharmaceuticals, Inc.* | 526 | 56,887 | ||
Align Technology, Inc.* | 3,814 | 1,064,258 | ||
Amgen, Inc. | 3,151 | 759,612 | ||
Anthem, Inc. | 1,752 | 529,157 | ||
Baxter International, Inc. | 5,622 | 470,112 | ||
Becton, Dickinson and Co. | 3,267 | 888,526 | ||
Biogen, Inc.* | 5,605 | 1,663,172 | ||
Bio-Techne Corporation | 525 | 115,243 | ||
Boston Scientific Corporation* | 2,122 | 95,957 | ||
Bristol-Myers Squibb Co. | 7,212 | 462,938 | ||
Cardinal Health, Inc. | 793 | 40,110 | ||
Centene Corporation* | 791 | 49,730 | ||
Cerner Corporation | 12,527 | 919,356 | ||
Chemed Corporation | 2,596 | 1,140,319 | ||
Cigna Corporation | 707 | 144,574 | ||
CVS Health Corporation | 2,605 | 193,525 | ||
Danaher Corporation | 10,863 | 1,667,253 | ||
DaVita, Inc.* | 265 | 19,883 | ||
DENTSPLY SIRONA, Inc. | 472 | 26,710 | ||
Edwards Lifesciences Corporation* | 1,799 | 419,689 | ||
Eli Lilly & Co. | 37,044 | 4,868,693 | ||
Gilead Sciences, Inc. | 35,811 | 2,326,999 | ||
HCA Healthcare, Inc. | 500 | 73,905 | ||
Henry Schein, Inc.Δ* | 29,656 | 1,978,648 | ||
Hologic, Inc.* | 508 | 26,523 | ||
Humana, Inc. | 232 | 85,033 | ||
IDEXX Laboratories, Inc.* | 111 | 28,985 | ||
Illumina, Inc.* | 2,309 | 765,988 | ||
Incyte Corporation* | 400 | 34,928 | ||
Intuitive Surgical, Inc.* | 5,772 | 3,412,118 | ||
IQVIA Holdings, Inc.* | 750 | 115,882 | ||
Johnson & Johnson | 138,618 | 20,220,208 | ||
Laboratory Corporation of America Holdings* | 195 | 32,988 | ||
McKesson Corporation | 281 | 38,868 | ||
Mettler-Toledo International, Inc.* | 2,046 | 1,623,051 | ||
PerkinElmer, Inc. | 318 | 30,878 | ||
Quest Diagnostics, Inc. | 63,402 | 6,770,700 | ||
Regeneron Pharmaceuticals, Inc.* | 176 | 66,084 | ||
ResMed, Inc. | 287 | 44,476 | ||
Stryker Corporation | 8,748 | 1,836,555 | ||
Teleflex, Inc. | 72 | 27,104 | ||
Thermo Fisher Scientific, Inc. | 8,862 | 2,878,998 |
Shares | Value | |||
UnitedHealth Group, Inc. | 13,247 | $3,894,353 | ||
Universal Health Services, Inc. Class B | 174 | 24,962 | ||
Varian Medical Systems, Inc.* | 4,223 | 599,708 | ||
Vertex Pharmaceuticals, Inc.* | 540 | 118,233 | ||
Waters Corporation* | 589 | 137,620 | ||
WellCare Health Plans, Inc.* | 76 | 25,096 | ||
West Pharmaceutical Services, Inc. | 3,639 | 547,051 | ||
Zimmer Biomet Holdings, Inc. | 334 | 49,993 | ||
Zoetis, Inc. | 7,630 | 1,009,830 | ||
66,342,332 | ||||
Industrials — 4.6% | ||||
3M Co. | 15,974 | 2,818,133 | ||
A.O. Smith Corporation | 278 | 13,244 | ||
Alaska Air Group, Inc. | 219 | 14,837 | ||
American Airlines Group, Inc. | 534 | 15,315 | ||
AMETEK, Inc. | 278 | 27,728 | ||
Arconic, Inc. | 1,067 | 32,832 | ||
Boeing Co. (The) | 3,556 | 1,158,403 | ||
C.H. Robinson Worldwide, Inc. | 2,618 | 204,728 | ||
Caterpillar, Inc. | 11,320 | 1,671,738 | ||
Cintas Corporation | 4,601 | 1,238,037 | ||
Copart, Inc.* | 6,027 | 548,095 | ||
CoStar Group, Inc.* | 830 | 496,589 | ||
CSX Corporation | 1,370 | 99,133 | ||
Cummins, Inc. | 740 | 132,430 | ||
Deere & Co. | 525 | 90,962 | ||
Delta Air Lines, Inc. | 1,190 | 69,591 | ||
Dover Corporation | 192 | 22,130 | ||
Emerson Electric Co. | 132,540 | 10,107,500 | ||
Equifax, Inc. | 234 | 32,788 | ||
Expeditors International of Washington, Inc. | 8,970 | 699,839 | ||
Fastenal Co. | 1,603 | 59,231 | ||
FedEx Corporation | 6,676 | 1,009,478 | ||
Flowserve Corporation | 291 | 14,483 | ||
Fortive Corporation | 3,950 | 301,741 | ||
Fortune Brands Home & Security, Inc. | 191 | 12,480 | ||
General Dynamics Corporation | 4,890 | 862,351 | ||
General Electric Co. | 16,053 | 179,151 | ||
Honeywell International, Inc. | 15,689 | 2,776,953 | ||
Hubbell, Inc. | 39,089 | 5,778,136 | ||
Huntington Ingalls Industries, Inc. | 90 | 22,579 | ||
IDEX Corporation | 1,433 | 246,476 | ||
IHS Markit, Ltd.* | 500 | 37,675 | ||
Illinois ToolWorks, Inc. | 20,860 | 3,747,082 | ||
J.B. Hunt Transport Services, Inc. | 166 | 19,385 | ||
Jacobs Engineering Group, Inc. | 178 | 15,990 | ||
Kansas City Southern | 154 | 23,587 | ||
L3Harris Technologies, Inc. | 371 | 73,410 | ||
Landstar System, Inc. | 7,744 | 881,809 | ||
Lincoln Electric Holdings, Inc. | 1,523 | 147,320 | ||
Lockheed Martin Corporation | 2,760 | 1,074,689 | ||
Masco Corporation | 401 | 19,244 | ||
Norfolk Southern Corporation | 9,456 | 1,835,693 | ||
Northrop Grumman Corporation | 317 | 109,038 | ||
PACCAR, Inc. | 1,036 | 81,948 |
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Shares | Value | |||
Parker-Hannifin Corporation | 254 | $52,278 | ||
Quanta Services, Inc. | 139 | 5,659 | ||
Raytheon Co. | 518 | 113,825 | ||
Republic Services, Inc. | 76,028 | 6,814,390 | ||
Robert Half International, Inc. | 7,443 | 470,025 | ||
Rockwell Automation, Inc. | 3,263 | 661,312 | ||
Rollins, Inc. | 37,608 | 1,247,081 | ||
Roper Technologies, Inc. | 165 | 58,448 | ||
Snap-on, Inc. | 112 | 18,973 | ||
Southwest Airlines Co. | 14,199 | 766,462 | ||
Stanley Black & Decker, Inc. | 824 | 136,570 | ||
Teledyne Technologies, Inc.* | 3,940 | 1,365,368 | ||
Textron, Inc. | 272 | 12,131 | ||
TransDigm Group, Inc. | 70 | 39,200 | ||
Union Pacific Corporation | 7,248 | 1,310,366 | ||
United Airlines Holdings, Inc.* | 286 | 25,194 | ||
United Parcel Service, Inc. Class B | 23,617 | 2,764,606 | ||
United Rentals, Inc.* | 123 | 20,513 | ||
United Technologies Corporation | 1,452 | 217,452 | ||
Verisk Analytics, Inc. | 1,068 | 159,495 | ||
W.W. Grainger, Inc. | 77 | 26,066 | ||
Waste Management, Inc. | 30,051 | 3,424,612 | ||
Westinghouse Air Brake Technologies Corporation | 214 | 16,649 | ||
Xylem, Inc. | 293 | 23,085 | ||
58,573,741 | ||||
Information Technology — 6.4% | ||||
Adobe, Inc.* | 9,183 | 3,028,645 | ||
Advanced Micro Devices, Inc.* | 2,022 | 92,729 | ||
Akamai Technologies, Inc.* | 16,388 | 1,415,595 | ||
Alliance Data Systems Corporation | 101 | 11,332 | ||
Amdocs, Ltd. | 1,249 | 90,165 | ||
Amphenol Corporation Class A | 6,664 | 721,245 | ||
Analog Devices, Inc. | 634 | 75,345 | ||
ANSYS, Inc.* | 1,329 | 342,098 | ||
Apple, Inc. | 15,905 | 4,670,503 | ||
Applied Materials, Inc. | 13,484 | 823,063 | ||
Arista Networks, Inc.* | 84 | 17,086 | ||
Autodesk, Inc.* | 417 | 76,503 | ||
Automatic Data Processing, Inc. | 49,993 | 8,523,806 | ||
Broadcom, Inc. | 1,745 | 551,455 | ||
Broadridge Financial Solutions, Inc. | 168 | 20,755 | ||
Cadence Design Systems, Inc.* | 408 | 28,299 | ||
CDW Corporation | 133 | 18,998 | ||
Cisco Systems, Inc. | 157,769 | 7,566,601 | ||
Citrix Systems, Inc. | 271 | 30,054 | ||
Cognex Corporation | 16,412 | 919,728 | ||
Cognizant Technology Solutions Corporation Class A | 12,364 | 766,815 | ||
Corning, Inc. | 1,580 | 45,994 | ||
DXC Technology Co. | 631 | 23,719 | ||
F5 Networks, Inc.* | 7,316 | 1,021,679 | ||
Fidelity National Information Services, Inc. | 926 | 128,797 | ||
Fiserv, Inc.* | 916 | 105,917 | ||
FleetCor Technologies, Inc.* | 152 | 43,733 | ||
FLIR Systems, Inc. | 145 | 7,550 |
Shares | Value | |||
Fortinet, Inc.* | 195 | $20,818 | ||
Gartner, Inc.* | 125 | 19,263 | ||
Global Payments, Inc. | 411 | 75,032 | ||
Hewlett Packard Enterprise Co. | 2,988 | 47,390 | ||
HP, Inc. | 2,972 | 61,075 | ||
Intel Corporation | 31,305 | 1,873,604 | ||
International Business Machines Corporation | 8,328 | 1,116,285 | ||
Intuit, Inc. | 12,656 | 3,314,986 | ||
Jack Henry & Associates, Inc. | 7,078 | 1,031,052 | ||
Juniper Networks, Inc. | 751 | 18,497 | ||
Keysight Technologies, Inc.* | 264 | 27,094 | ||
KLA Corporation | 277 | 49,353 | ||
Lam Research Corporation | 290 | 84,796 | ||
Leidos Holdings, Inc. | 268 | 26,235 | ||
Mastercard, Inc. Class A | 13,935 | 4,160,852 | ||
Maxim Integrated Products, Inc. | 105,592 | 6,494,964 | ||
Microchip Technology, Inc. | 461 | 48,276 | ||
Micron Technology, Inc.* | 2,018 | 108,528 | ||
Microsoft Corporation | 77,842 | 12,275,683 | ||
Motorola Solutions, Inc. | 226 | 36,418 | ||
National Instruments Corporation | 4,818 | 203,994 | ||
NetApp, Inc. | 478 | 29,756 | ||
NortonLifeLock, Inc. | 1,116 | 28,480 | ||
NVIDIA Corporation | 4,452 | 1,047,556 | ||
Oracle Corporation | 21,050 | 1,115,229 | ||
Paychex, Inc. | 28,216 | 2,400,053 | ||
PayPal Holdings, Inc.* | 4,127 | 446,418 | ||
Qorvo, Inc.* | 254 | 29,522 | ||
QUALCOMM, Inc. | 2,282 | 201,341 | ||
salesforce.com, Inc.* | 1,620 | 263,477 | ||
ServiceNow, Inc.* | 330 | 93,166 | ||
Skyworks Solutions, Inc. | 3,393 | 410,146 | ||
Synopsys, Inc.* | 179 | 24,917 | ||
Texas Instruments, Inc. | 62,891 | 8,068,286 | ||
VeriSign, Inc.* | 180 | 34,682 | ||
Visa, Inc. Class AΔ | 22,215 | 4,174,199 | ||
Western Digital Corporation | 561 | 35,607 | ||
Western Union Co. (The) | 1,569 | 42,018 | ||
Xerox Holdings Corporation | 523 | 19,283 | ||
Xilinx, Inc. | 6,231 | 609,205 | ||
81,335,745 | ||||
Materials — 0.7% | ||||
Air Products & Chemicals, Inc. | 4,769 | 1,120,667 | ||
Albemarle Corporation | 215 | 15,704 | ||
Ball Corporation | 452 | 29,231 | ||
Celanese Corporation | 213 | 26,225 | ||
CF Industries Holdings, Inc. | 450 | 21,483 | ||
Chemours Co. (The) | 8,686 | 157,130 | ||
Corteva, Inc. | 1,360 | 40,202 | ||
Dow, Inc. | 1,455 | 79,632 | ||
DuPont de Nemours, Inc. | 14,660 | 941,172 | ||
Eastman Chemical Co. | 225 | 17,834 | ||
Ecolab, Inc. | 17,904 | 3,455,293 | ||
FMC Corporation | 211 | 21,062 | ||
Freeport-McMoRan, Inc. | 2,892 | 37,943 |
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Shares | Value | |||
International Flavors & Fragrances, Inc.Δ | 260 | $33,545 | ||
International Paper Co. | 727 | 33,478 | ||
Martin Marietta Materials, Inc. | 107 | 29,921 | ||
Mosaic Co. (The) | 608 | 13,157 | ||
Newmont Goldcorp Corporation | 12,607 | 547,774 | ||
Nucor Corporation | 652 | 36,695 | ||
Packaging Corporation of America | 176 | 19,710 | ||
PPG Industries, Inc. | 6,306 | 841,788 | ||
Royal Gold, Inc. | 689 | 84,230 | ||
Sealed Air Corporation | 346 | 13,781 | ||
Sherwin-Williams Co. (The) | 1,986 | 1,158,910 | ||
Vulcan Materials Co. | 294 | 42,333 | ||
Westrock Co. | 468 | 20,082 | ||
8,838,982 | ||||
Real Estate — 0.9% | ||||
Alexandria Real Estate Equities, Inc. REIT | 172 | 27,792 | ||
American Tower Corporation REIT | 763 | 175,353 | ||
Apartment Investment & Management Co. Class A REIT | 480 | 24,792 | ||
AvalonBay Communities, Inc. REIT | 351 | 73,605 | ||
Boston Properties, Inc. REIT | 257 | 35,430 | ||
CBRE Group, Inc. Class A* | 534 | 32,729 | ||
Crown Castle International Corporation REIT | 826 | 117,416 | ||
Digital Realty Trust, Inc. REIT | 362 | 43,346 | ||
Equinix, Inc. REIT | 132 | 77,048 | ||
Equity Residential REIT | 647 | 52,355 | ||
Essex Property Trust, Inc. REIT | 109 | 32,794 | ||
Extra Space Storage, Inc. REIT | 205 | 21,652 | ||
Federal Realty Investment Trust REIT | 105 | 13,517 | ||
Healthpeak Properties, Inc. REIT | 1,300 | 44,811 | ||
Host Hotels & Resorts, Inc. REIT | 1,879 | 34,855 | ||
Iron Mountain, Inc. REIT | 1,187 | 37,830 | ||
Kimco Realty Corporation REIT | 1,844 | 38,189 | ||
Mid-America Apartment Communities, Inc. REIT | 202 | 26,636 | ||
Prologis, Inc. REIT | 1,007 | 89,764 | ||
Public Storage REIT | 262 | 55,796 | ||
Realty Income Corporation REIT | 709 | 52,204 | ||
Regency Centers Corporation REIT | 625 | 39,431 | ||
SBA Communications Corporation REIT | 150 | 36,148 | ||
Simon Property Group, Inc. REIT | 700 | 104,272 | ||
SL Green Realty Corporation REIT | 174 | 15,987 | ||
UDR, Inc. REIT | 300 | 14,010 | ||
Ventas, Inc. REIT | 810 | 46,769 | ||
Vornado Realty Trust REIT | 299 | 19,883 | ||
Welltower, Inc. REIT | 87,142 | 7,126,473 | ||
Weyerhaeuser Co. REIT | 86,907 | 2,624,591 | ||
11,135,478 | ||||
Utilities — 4.6% | ||||
AES Corporation | 1,420 | 28,258 | ||
Alliant Energy Corporation | 300 | 16,416 | ||
Ameren Corporation | 39,442 | 3,029,146 |
Shares | Value | |||
American Electric Power Co., Inc. | 30,043 | $2,839,364 | ||
American Water Works Co., Inc. | 19,819 | 2,434,764 | ||
Aqua America, Inc. | 5,637 | 264,601 | ||
Atmos Energy Corporation | 66,844 | 7,477,170 | ||
CenterPoint Energy, Inc. | 1,091 | 29,752 | ||
CMS Energy Corporation | 4,647 | 292,017 | ||
Consolidated Edison, Inc. | 18,667 | 1,688,803 | ||
Dominion Energy, Inc. | 26,724 | 2,213,282 | ||
DTE Energy Co. | 13,486 | 1,751,427 | ||
Duke Energy Corporation | 28,351 | 2,585,895 | ||
Edison International | 24,862 | 1,874,843 | ||
Entergy Corporation | 480 | 57,504 | ||
Evergy, Inc. | 32,489 | 2,114,709 | ||
Eversource EnergyΔ | 19,578 | 1,665,500 | ||
Exelon Corporation | 6,555 | 298,842 | ||
FirstEnergy Corporation | 1,116 | 54,238 | ||
IDACORP, Inc. | 6,421 | 685,763 | ||
NextEra Energy, Inc. | 16,191 | 3,920,812 | ||
NiSource, Inc. | 539 | 15,006 | ||
NRG Energy, Inc. | 483 | 19,199 | ||
OGE Energy Corporation | 3,485 | 154,978 | ||
ONE Gas, Inc. | 63,242 | 5,917,554 | ||
Pinnacle West Capital Corporation | 32,049 | 2,882,167 | ||
PPL Corporation | 27,835 | 998,720 | ||
Public Service Enterprise Group, Inc. | 11,028 | 651,203 | ||
Sempra Energy | 14,683 | 2,224,181 | ||
Southern Co. (The) | 18,676 | 1,189,661 | ||
Spire, Inc. | 76,522 | 6,375,048 | ||
UGI Corporation | 11,545 | 521,372 | ||
WEC Energy Group, Inc.Δ | 13,353 | 1,231,547 | ||
Xcel Energy, Inc.Δ | 10,724 | 680,867 | ||
58,184,609 | ||||
Total Common Stocks (Cost $387,375,889) | 521,524,492 | |||
FOREIGN COMMON STOCKS — 5.8% | ||||
Curacao — 0.5% | ||||
Schlumberger, Ltd. | 163,434 | 6,570,047 | ||
France — 1.0% | ||||
Sodexo SAΔ | 28,300 | 3,353,765 | ||
TOTAL SA | 170,023 | 9,383,169 | ||
12,736,934 | ||||
Ireland — 1.9% | ||||
Accenture PLC Class A | 18,331 | 3,859,959 | ||
Allegion PLC | 156 | 19,428 | ||
Eaton Corporation PLC | 837 | 79,281 | ||
Ingersoll-Rand PLC | 431 | 57,288 | ||
Johnson Controls International PLC | 1,943 | 79,099 | ||
Linde PLC | 13,439 | 2,861,163 | ||
Medtronic PLC | 150,208 | 17,041,098 | ||
Pentair PLC | 294 | 13,486 | ||
Seagate Technology PLC | 660 | 39,270 | ||
Willis Towers Watson PLC | 205 | 41,398 | ||
24,091,470 |
Table of Contents
Shares | Value | |||
Japan — 0.1% | ||||
Honda Motor Co., Ltd. | 26,500 | $749,991 | ||
Jersey — 0.1% | ||||
Amcor PLC | 4,160 | 45,094 | ||
Aptiv PLC | 496 | 47,105 | ||
Janus Henderson Group PLCΔ | 41,300 | 1,009,785 | ||
1,101,984 | ||||
Netherlands — 0.4% | ||||
Akzo Nobel NV | 12,100 | 1,230,218 | ||
Koninklijke Ahold Delhaize NV | 122,053 | 3,052,339 | ||
LyondellBasell Industries NV Class A | 640 | 60,467 | ||
Mylan NV* | 6,053 | 121,665 | ||
4,464,689 | ||||
Sweden — 0.0% | ||||
Atlas Copco AB, B Shares | 13,200 | 458,318 | ||
Switzerland — 1.7% | ||||
Chubb, Ltd. | 62,209 | 9,683,453 | ||
Garmin, Ltd. | 2,476 | 241,559 | ||
Nestle SA | 89,700 | 9,711,395 | ||
Novartis AG | 3,800 | 359,820 | ||
Roche Holding AG | 5,600 | 1,820,016 | ||
TE Connectivity, Ltd. | 617 | 59,133 | ||
21,875,376 | ||||
United Kingdom — 0.1% | ||||
Aon PLC | 5,570 | 1,160,175 | ||
Nielsen Holdings PLC | 758 | 15,387 | ||
TechnipFMC PLC | 1,083 | 23,220 | ||
1,198,782 | ||||
Total Foreign Common Stocks (Cost $62,181,376) | 73,247,591 | |||
PREFERRED STOCKS — 0.9% | ||||
Bank of America Corporation, 7.25%, 12/30/19 CONVΔ | 723 | 1,047,627 | ||
Becton, Dickinson and Co., 6.13%, 10/11/19 CONVΔ | 87,600 | 5,734,296 | ||
Stanley Black & Decker, Inc., 5.38%, 01/30/20 CONVΔ | 28,605 | 3,121,664 | ||
Wells Fargo & Co., 7.50%, 11/27/19 CONV | 636 | 922,200 | ||
Total Preferred Stocks (Cost $9,791,594) | 10,825,787 | |||
MUTUAL FUNDS — 0.8% | ||||
iShares Russell 1000 Value ETFΔ (Cost $9,633,560) | 72,792 | 9,934,652 |
Par | |||
CORPORATE BONDS — 24.6% | |||
Advanced Micro Devices, Inc. | |||
2.13%, 09/01/26 CONV | $200,000 | 1,159,388 | |
Akamai Technologies, Inc. | |||
0.13%, 05/01/25 CONV | 3,978,000 | 4,414,572 |
Par | Value | |||
0.38%, 09/01/27 144A CONV | $3,131,000 | $3,097,168 | ||
Allscripts Healthcare Solutions, Inc. | ||||
1.25%, 07/01/20 CONV | 2,397,000 | 2,379,178 | ||
0.88%, 01/01/27 144A CONV | 2,345,000 | 2,305,463 | ||
Altair Engineering, Inc. | ||||
0.25%, 06/01/24 CONV | 603,000 | 619,582 | ||
Alteryx, Inc. | ||||
0.50%, 08/01/24 144A CONV | 2,360,000 | 2,260,144 | ||
1.00%, 08/01/26 144A CONV | 1,193,000 | 1,120,930 | ||
Ares Capital Corporation | ||||
3.75%, 02/01/22 CONV | 3,802,000 | 3,950,461 | ||
4.63%, 03/01/24 CONV | 1,758,000 | 1,873,501 | ||
Atlassian, Inc. | ||||
0.63%, 05/01/23 CONV | 514,000 | 813,557 | ||
Bank of America Corporation | ||||
(Variable, ICE LIBOR USD 3M + 2.93%), 5.88%, 03/15/28ρ^ | 3,116,000 | 3,457,825 | ||
Bank of New York Mellon Corporation (The) | ||||
(Variable, ICE LIBOR USD 3M + 3.42%), 4.95%, 06/20/20ρ^ | 582,000 | 587,954 | ||
BioMarin Pharmaceutical, Inc. | ||||
0.60%, 08/01/24 CONVΔ | 5,841,000 | 6,185,612 | ||
Blackline, Inc. | ||||
0.13%, 08/01/24 144A CONV | 2,051,000 | 2,052,282 | ||
Blackstone Mortgage Trust, Inc. REIT | ||||
4.75%, 03/15/23 CONV | 6,556,000 | 7,044,620 | ||
BofA Finance LLC | ||||
0.25%, 05/01/23 CONV | 1,443,000 | 1,522,294 | ||
Booking Holdings, Inc. | ||||
0.35%, 06/15/20 CONV | 1,879,000 | 2,920,677 | ||
Carbonite, Inc. | ||||
2.50%, 04/01/22 CONV | 788,000 | 835,648 | ||
Charles Schwab Corporation (The) | ||||
(Variable, ICE LIBOR USD 3M + 2.58%), 5.00%, 12/01/27ρ^ | 1,119,000 | 1,179,448 | ||
Chart Industries, Inc. | ||||
1.00%, 11/15/24 144A CONV | 998,000 | 1,316,459 | ||
Chegg, Inc. | ||||
0.13%, 03/15/25 144A CONV | 2,875,000 | 2,964,149 | ||
Citigroup, Inc. | ||||
(Variable, ICE LIBOR USD 3M + 4.07%), 5.95%, 01/30/23ρ^ | 2,288,000 | 2,424,170 | ||
(Variable, U.S. SOFR + 3.81%), 5.00%, 09/12/24ρ^ | 1,594,000 | 1,670,711 | ||
CONMED Corporation | ||||
2.63%, 02/01/24 144A CONV | 1,438,000 | 1,991,701 | ||
Coupa Software, Inc. | ||||
0.13%, 06/15/25 144A CONV | 660,000 | 782,009 |
Table of Contents
Par | Value | |||
Cypress Semiconductor Corporation | ||||
2.00%, 02/01/23 CONV | $1,834,000 | $2,231,509 | ||
DexCom, Inc. | ||||
0.75%, 12/01/23 CONV | 2,976,000 | 4,415,483 | ||
DISH Network Corporation | ||||
3.38%, 08/15/26 CONV | 7,379,000 | 7,116,308 | ||
DocuSign, Inc. | ||||
0.50%, 09/15/23 CONVΔ | 2,725,000 | 3,397,220 | ||
Dominion Energy, Inc. | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.99%), 4.65%, 12/15/24ρ^ | 1,857,000 | 1,896,777 | ||
Duke Energy Corporation | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 3.39%), 4.88%, 09/16/24ρ^ | 2,719,000 | 2,855,426 | ||
Dycom Industries, Inc. | ||||
0.75%, 09/15/21 CONV | 2,664,000 | 2,595,190 | ||
Envestnet, Inc. | ||||
1.75%, 06/01/23 CONV | 1,834,000 | 2,203,823 | ||
Etsy, Inc. | ||||
0.13%, 10/01/26 144A CONV | 3,524,000 | 3,187,259 | ||
Euronet Worldwide, Inc. | ||||
0.75%, 03/15/49 144A CONVΔ | 548,000 | 655,017 | ||
Exact Sciences Corporation | ||||
1.00%, 01/15/25 CONV | 490,000 | 708,662 | ||
0.38%, 03/15/27 CONV | 2,964,000 | 3,365,992 | ||
Extra Space Storage LP REIT | ||||
3.13%, 10/01/35 144A CONV | 2,801,000 | 3,294,676 | ||
FireEye, Inc. | ||||
0.88%, 06/01/24 CONV | 2,608,000 | 2,634,502 | ||
Five9, Inc. | ||||
0.13%, 05/01/23 CONV | 631,000 | 1,067,342 | ||
Fortive Corporation | ||||
0.88%, 02/15/22 144A CONV | 1,884,000 | 1,909,858 | ||
FTI Consulting, Inc. | ||||
2.00%, 08/15/23 CONV | 1,559,000 | 1,958,270 | ||
Greenbrier Cos., Inc. (The) | ||||
2.88%, 02/01/24 CONV | 1,399,000 | 1,360,977 | ||
Guess?, Inc. | ||||
2.00%, 04/15/24 144A CONV | 1,584,000 | 1,741,410 | ||
Herbalife Nutrition, Ltd. | ||||
2.63%, 03/15/24 CONV | 2,019,000 | 2,099,420 | ||
IAC Financeco 3, Inc. | ||||
2.00%, 01/15/30 144A CONV | 1,380,000 | 1,615,428 | ||
IH Merger Sub LLC REIT | ||||
3.50%, 01/15/22 CONV | 2,353,000 | 3,177,289 | ||
Illumina, Inc. | ||||
0.50%, 06/15/21 CONVΔ | 612,000 | 853,944 |
Par | Value | |||
0.00%, 08/15/23Ω CONVΔ | $2,943,000 | $3,257,920 | ||
Insight Enterprises, Inc. | ||||
0.75%, 02/15/25 144A CONV | 2,716,000 | 3,215,168 | ||
Insulet Corporation | ||||
1.38%, 11/15/24 CONV | 2,000 | 3,809 | ||
0.38%, 09/01/26 144A CONV | 3,065,000 | 3,193,696 | ||
InterDigital, Inc. | ||||
2.00%, 06/01/24 144A CONV | 1,327,000 | 1,326,137 | ||
Ionis Pharmaceuticals, Inc. | ||||
0.13%, 12/15/24 144A CONV | 1,161,000 | 1,185,419 | ||
Ironwood Pharmaceuticals, Inc. | ||||
0.75%, 06/15/24 144A CONV | 745,000 | 883,941 | ||
1.50%, 06/15/26 144A CONV | 720,000 | 864,840 | ||
j2 Global, Inc. | ||||
1.75%, 11/01/26 144A CONV | 2,005,000 | 2,044,078 | ||
Jazz Investments I, Ltd. | ||||
1.88%, 08/15/21 CONV | 861,000 | 888,659 | ||
1.50%, 08/15/24 CONVΔ | 3,785,000 | 3,825,216 | ||
JPMorgan Chase & Co. | ||||
(Variable, ICE LIBOR USD 3M + 3.47%), 5.41%, 04/30/20†ρ | 1,292,000 | 1,305,592 | ||
(Variable, U.S. SOFR + 3.38%), 5.00%, 08/01/24ρ^ | 4,279,000 | 4,455,509 | ||
KBR, Inc. | ||||
2.50%, 11/01/23 144A CONV | 2,220,000 | 2,949,825 | ||
Liberty Interactive LLC | ||||
1.75%, 09/30/46 144A CONV | 1,854,000 | 2,726,479 | ||
Liberty Media Corp-Liberty Formula One | ||||
1.00%, 01/30/23 CONV | 1,207,000 | 1,608,572 | ||
Liberty Media Corporation | ||||
1.38%, 10/15/23 CONV | 628,000 | 846,607 | ||
2.25%, 09/30/46 CONV | 1,187,000 | 689,043 | ||
2.13%, 03/31/48 144A CONV | 4,587,000 | 4,848,459 | ||
Ligand Pharmaceuticals, Inc. | ||||
0.75%, 05/15/23 CONV | 1,127,000 | 975,463 | ||
Live Nation Entertainment, Inc. | ||||
2.50%, 03/15/23 CONV | 5,943,000 | 7,261,752 | ||
Lumentum Holdings, Inc. | ||||
0.50%, 12/15/26 144A CONV | 3,100,000 | 3,371,250 | ||
Macquarie Infrastructure Corporation | ||||
2.00%, 10/01/23 CONVΔ | 2,299,000 | 2,204,290 | ||
Marriott Vacations Worldwide Corporation | ||||
1.50%, 09/15/22 CONV | 4,957,000 | 5,310,876 |
Table of Contents
Par | Value | |||
Meritor, Inc. | ||||
3.25%, 10/15/37 CONV | $5,310,000 | $5,790,512 | ||
Microchip Technology, Inc. | ||||
1.63%, 02/15/27 CONVΔ | 5,376,000 | 7,674,240 | ||
National Health Investors, Inc. REIT | ||||
3.25%, 04/01/21 CONV | 218,000 | 262,888 | ||
Neurocrine Biosciences, Inc. | ||||
2.25%, 05/15/24 CONV | 804,000 | 1,235,175 | ||
New Relic, Inc. | ||||
0.50%, 05/01/23 CONV | 4,719,000 | 4,597,645 | ||
NextEra Energy Partners LP | ||||
1.50%, 09/15/20 144A CONV | 3,396,000 | 3,549,569 | ||
Nice Systems, Inc. | ||||
1.25%, 01/15/24 CONV | 463,000 | 884,619 | ||
Nuance Communications, Inc. | ||||
1.25%, 04/01/25 CONV | 2,852,000 | 3,182,268 | ||
1.00%, 12/15/35 CONV | 853,000 | 860,996 | ||
NuVasive, Inc. | ||||
2.25%, 03/15/21 CONV | 1,635,000 | 2,182,418 | ||
Oil States International, Inc. | ||||
1.50%, 02/15/23 CONVΔ | 727,000 | 656,190 | ||
Okta, Inc. | ||||
0.13%, 09/01/25 144A CONV | 2,470,000 | 2,401,128 | ||
ON Semiconductor Corporation | ||||
1.00%, 12/01/20 CONV | 3,124,000 | 4,253,303 | ||
1.63%, 10/15/23 CONV | 967,000 | 1,335,669 | ||
OSI Systems, Inc. | ||||
1.25%, 09/01/22 CONV | 944,000 | 1,034,190 | ||
Palo Alto Networks, Inc. | ||||
0.75%, 07/01/23 CONV | 3,560,000 | 3,935,548 | ||
Pandora Media LLC | ||||
1.75%, 12/01/23 CONV | 1,505,000 | 1,868,289 | ||
PDC Energy, Inc. | ||||
1.13%, 09/15/21 CONV | 851,000 | 803,294 | ||
Plains All American Pipeline LP | ||||
(Variable, ICE LIBOR USD 3M + 4.11%), 6.13%, 11/15/22ρ^ | 2,661,000 | 2,485,427 | ||
Progressive Corporation (The) | ||||
(Variable, ICE LIBOR USD 3M + 2.54%), 5.38%, 03/15/23ρ^ | 603,000 | 634,645 | ||
Proofpoint, Inc. | ||||
0.25%, 08/15/24 144A CONV | 2,300,000 | 2,374,523 | ||
Pure Storage, Inc. | ||||
0.13%, 04/15/23 CONV | 2,707,000 | 2,697,937 | ||
Q2 Holdings, Inc. | ||||
0.75%, 06/01/26 144A CONV | 1,029,000 | 1,187,764 |
Par | Value | |||
Repligen Corporation | ||||
0.38%, 07/15/24 CONV | $581,000 | $629,545 | ||
RH | ||||
1.93%, 06/15/23Ω CONVΔ | 1,753,000 | 2,228,600 | ||
RingCentral, Inc. | ||||
0.00%, 03/15/23Ω CONV | 478,000 | 1,004,899 | ||
SailPoint Technologies Holding, Inc. | ||||
0.13%, 09/15/24 144A CONV | 1,858,000 | 2,008,016 | ||
ServiceNow, Inc. | ||||
0.00%, 06/01/22Ω CONV | 159,000 | 335,833 | ||
Silicon Laboratories, Inc. | ||||
1.38%, 03/01/22 CONV | 3,161,000 | 4,209,094 | ||
SM Energy Co. | ||||
1.50%, 07/01/21 CONV | 822,000 | 786,398 | ||
Snap, Inc. | ||||
0.75%, 08/01/26 144A CONV | 2,968,000 | 3,095,297 | ||
Splunk, Inc. | ||||
0.50%, 09/15/23 CONV | 4,126,000 | 4,976,987 | ||
Square, Inc. | ||||
0.50%, 05/15/23 CONV | 2,112,000 | 2,365,393 | ||
Starwood Property Trust, Inc. REIT | ||||
4.38%, 04/01/23 CONV | 4,426,000 | 4,616,871 | ||
Supernus Pharmaceuticals, Inc. | ||||
0.63%, 04/01/23 CONV | 2,074,000 | 1,887,694 | ||
Tabula Rasa HealthCare, Inc. | ||||
1.75%, 02/15/26 144A CONV | 877,000 | 880,837 | ||
Teradyne, Inc. | ||||
1.25%, 12/15/23 CONV | 844,000 | 1,853,115 | ||
Tesla, Inc. | ||||
2.00%, 05/15/24 CONV | 3,375,000 | 5,110,838 | ||
Transocean, Inc. | ||||
0.50%, 01/30/23 CONVΔ | 1,092,000 | 1,093,365 | ||
Tutor Perini Corporation | ||||
2.88%, 06/15/21 CONVΔ | 1,555,000 | 1,484,852 | ||
Twilio, Inc. | ||||
0.25%, 06/01/23 CONV | 491,000 | 750,707 | ||
Twitter, Inc. | ||||
0.25%, 06/15/24 CONV | 4,032,000 | 3,906,000 | ||
Two Harbors Investment Corporation REIT | ||||
6.25%, 01/15/22 CONV | 2,092,000 | 2,176,144 | ||
U.S. Bancorp | ||||
(Variable, ICE LIBOR USD 3M + 2.91%), 5.30%, 04/15/27ρ^ | 3,599,000 | 3,975,635 | ||
Verint Systems, Inc. | ||||
1.50%, 06/01/21 CONV | 3,896,000 | 4,211,705 | ||
Vonage Holdings Corporation | ||||
1.75%, 06/01/24 144A CONV | 730,000 | 655,464 |
Table of Contents
Par | Value | |||
Wayfair, Inc. | ||||
1.13%, 11/01/24 CONV | $503,000 | $522,589 | ||
1.00%, 08/15/26 144A CONV | 3,935,000 | 3,480,208 | ||
Wells Fargo & Co. | ||||
(Variable, ICE LIBOR USD 3M + 3.77%), 5.66%, 03/15/20†ρΔ | 3,576,000 | 3,625,170 | ||
Western Digital Corporation | ||||
1.50%, 02/01/24 CONV | 1,905,000 | 1,875,234 | ||
Workday, Inc. | ||||
0.25%, 10/01/22 CONV | 964,000 | 1,236,262 | ||
Workiva, Inc. | ||||
1.13%, 08/15/26 144A CONV | 870,000 | 782,348 | ||
Wright Medical Group, Inc. | ||||
1.63%, 06/15/23 CONV | 3,036,000 | 3,214,465 | ||
Zendesk, Inc. | ||||
0.25%, 03/15/23 CONV | 1,398,000 | 1,911,980 | ||
Zillow Group, Inc. | ||||
2.00%, 12/01/21 CONV | 1,461,000 | 1,638,012 | ||
0.75%, 09/01/24 144A CONV | 1,440,000 | 1,759,223 | ||
Zynga, Inc. | ||||
0.25%, 06/01/24 144A CONV | 3,182,000 | 3,249,617 | ||
Total Corporate Bonds (Cost $284,787,175) | 309,940,519 | |||
FOREIGN BONDS — 1.9% | ||||
France — 1.1% | ||||
AXA SA | ||||
7.25%, 05/15/21 144A CONV | 646,000 | 746,049 | ||
Cie Generale des Etablissements Michelin SCA | ||||
0.62%, 01/10/22Ω CONV | 1,400,000 | 1,418,144 | ||
TOTAL SA | ||||
0.50%, 12/02/22 CONVΔ | 4,000,000 | 4,246,840 | ||
Valeo SA | ||||
0.33%, 06/16/21Ω CONV | 3,400,000 | 3,287,800 | ||
Vinci SA | ||||
0.38%, 02/16/22 CONV | 3,200,000 | 3,894,848 | ||
13,593,681 | ||||
Israel — 0.3% | ||||
CyberArk Software, Ltd. | ||||
0.00%, 11/15/24 144AΩ CONV | 2,050,000 | 2,127,222 | ||
Wix.com, Ltd. | ||||
0.00%, 07/01/23Ω CONVΔ | 2,027,000 | 2,315,847 | ||
4,443,069 |
Par | Value | |||
Netherlands — 0.5% | ||||
QIAGEN NV | ||||
0.88%, 03/19/21 CONV | $200,000 | $249,796 | ||
1.00%, 11/13/24 CONV | 2,800,000 | 2,855,138 | ||
STMicroelectronics NV | ||||
0.25%, 07/03/24 CONV | 2,000,000 | 2,857,480 | ||
5,962,414 | ||||
Total Foreign Bonds (Cost $22,268,025) | 23,999,164 |
Shares | |||
EQUITY-LINKED SECURITIES — 0.8% | |||
Berkshire Hathaway, Inc., Issued by Citigroup Global Markets, Inc., Maturity Date 01/14/20 144A††† | 7,500 | 1,667,025 | |
Berkshire Hathaway, Inc., Issued by Royal Bank of Canada, Maturity Date 01/23/20 144A CONV | 2,400 | 535,560 | |
Cerner Corporation, Issued by Credit Suisse AG, Maturity Date 04/20/20 144A††† | 10,600 | 730,372 | |
Cerner Corporation, Issued by Credit Suisse AG, Maturity Date 06/22/20 144A††† | 9,000 | 644,868 | |
Cerner Corporation, Issued by Merrill Lynch International & Co. CV, Maturity Date 05/29/20 144A | 16,700 | 1,195,865 | |
Cerner Corporation, Issued by Morgan Stanley BV, Maturity Date 04/28/20 144A††† | 12,600 | 882,252 | |
Cerner Corporation, Issued by Royal Bank of Canada, Maturity Date 02/10/20 144A CONV††† | 8,400 | 607,572 | |
Emerson Electric Co., Issued by Credit Suisse AG, Maturity Date 04/30/20 144A††† | 7,300 | 528,016 | |
Ralph Lauren Corporation, Issued by UBS AG, Maturity Date 01/23/20 144A††† | 7,300 | 845,450 | |
Raytheon Co., Issued by UBS AG, Maturity Date 06/24/20 144A††† | 5,600 | 1,202,376 | |
Southwest Airlines Co., Issued by Citigroup Global Markets Holdings, Inc., Maturity Date 03/16/2020 144A††† | 10,000 | 550,900 | |
Southwest Airlines Co., Issued by UBS AG, Maturity Date 02/06/20 144A††† | 10,600 | 559,998 | |
Total Equity-Linked Securities (Cost $9,722,566) | 9,950,254 |
Table of Contents
Shares | Value | |||
MONEY MARKET FUNDS — 6.7% | ||||
GuideStone Money Market Fund, 1.53% (Institutional Class)Ø∞ | 68,295,332 | $68,295,332 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 1.57%ا | 15,051,560 | 15,051,560 | ||
Northern Institutional U.S. Government Portfolio (Shares), 1.48%Ø | 1,497,777 | 1,497,777 | ||
Total Money Market Funds (Cost $84,844,669) | 84,844,669 |
Par | |||
U.S. TREASURY OBLIGATIONS — 18.3% | |||
U.S. Treasury Bills | |||
1.70%, 04/02/20Ω‡‡ | $1,000,000 | 996,158 | |
2.32%, 04/23/20Ω | 33,225,000 | 33,067,081 | |
1.87%, 07/16/20Ω | 48,989,000 | 48,580,588 | |
1.58%, 10/08/20Ω | 37,970,000 | 37,524,802 | |
U.S. Treasury Notes | |||
1.50%, 06/15/20 | 29,344,000 | 29,334,830 | |
1.38%, 08/31/20 | 34,300,000 | 34,244,397 | |
1.38%, 10/31/20 | 24,957,300 | 24,901,731 | |
2.00%, 11/30/20 | 22,880,000 | 22,956,416 | |
Total U.S. Treasury Obligations (Cost $231,301,296) | 231,606,003 | ||
TOTAL INVESTMENTS —101.1% (Cost $1,101,906,150) | 1,275,873,131 |
Number of Contracts | Notional Amount | ||||
WRITTEN OPTIONS — (0.1)% | |||||
Call Options — (0.0)% | |||||
S&P 500®, Strike Price $3,190.00, Expires 01/03/20 (MSCS) | (13) | $(4,200,014) | (60,580) | ||
S&P 500®, Strike Price $3,200.00, Expires 01/06/20 (MSCS) | (12) | (3,876,936) | (47,400) | ||
S&P 500®, Strike Price $3,210.00, Expires 01/08/20 (MSCS) | (13) | (4,200,014) | (45,110) | ||
S&P 500®, Strike Price $3,230.00, Expires 01/10/20 (MSCS) | (13) | (4,200,014) | (31,135) | ||
S&P 500®, Strike Price $3,255.00, Expires 01/13/20 (MSCS) | (12) | (3,876,936) | (15,060) | ||
S&P 500®, Strike Price $3,260.00, Expires 01/15/20 (MSCS) | (12) | (3,876,936) | (15,540) |
Number of Contracts | Notional Amount | Value | |||
S&P 500®, Strike Price $3,285.00, Expires 01/17/20 (MSCS) | (14) | $(4,523,092) | $(10,360) | ||
S&P 500®, Strike Price $3,285.00, Expires 01/22/20 (MSCS) | (13) | (4,200,014) | (12,025) | ||
S&P 500®, Strike Price $3,290.00, Expires 01/21/20 (MSCS) | (13) | (4,200,014) | (9,295) | ||
S&P 500®, Strike Price $3,295.00, Expires 01/27/20 (MSCS) | (14) | (4,523,092) | (12,880) | ||
S&P 500®, Strike Price $3,295.00, Expires 01/29/20 (MSCS) | (14) | (4,523,092) | (15,540) | ||
S&P 500®, Strike Price $3,310.00, Expires 01/24/20 (MSCS) | (13) | (4,200,014) | (6,760) | ||
(281,685) | |||||
Put Options — (0.1)% | |||||
S&P 500®, Strike Price $3,015.00, Expires 01/08/20 (MSCS) | (63) | (20,353,914) | (7,686) | ||
S&P 500®, Strike Price $3,080.00, Expires 01/10/20 (MSCS) | (63) | (20,353,914) | (18,743) | ||
S&P 500®, Strike Price $3,095.00, Expires 01/29/20 (MSCS) | (60) | (19,384,680) | (74,100) | ||
S&P 500®, Strike Price $3,105.00, Expires 01/15/20 (MSCS) | (61) | (19,707,758) | (35,380) | ||
S&P 500®, Strike Price $3,110.00, Expires 01/13/20 (MSCS) | (63) | (20,353,914) | (28,980) | ||
S&P 500®, Strike Price $3,110.00, Expires 01/27/20 (MSCS) | (61) | (19,707,758) | (73,505) | ||
S&P 500®, Strike Price $3,125.00, Expires 01/22/20 (MSCS) | (62) | (20,030,836) | (67,270) | ||
S&P 500®, Strike Price $3,130.00, Expires 01/21/20 (MSCS) | (62) | (20,030,836) | (64,170) |
Table of Contents
Number of Contracts | Notional Amount | Value | |||
S&P 500®, Strike Price $3,135.00, Expires 01/17/20 (MSCS) | (58) | $(18,738,524) | $(55,390) | ||
S&P 500®, Strike Price $3,135.00, Expires 01/24/20 (MSCS) | (62) | (20,030,836) | (84,630) | ||
(509,854) | |||||
Total Written Options (Premiums received $(1,015,797)) | (791,539) | ||||
Liabilities in Excess of Other Assets — (1.0)% | (12,560,720) | ||||
NET ASSETS — 100.0% | $1,262,520,872 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 03/2020 | (155) | $(25,041,025) | $(466,502) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
03/31/20 | Japanese Yen | 40,506,240 | U.S. Dollars | 372,573 | BOA | $2,176 | ||||||
03/31/20 | Swedish Kronor | 1,933,184 | U.S. Dollars | 206,484 | GSC | 825 | ||||||
03/31/20 | Swiss Francs | 315,778 | U.S. Dollars | 328,268 | UBS | 160 | ||||||
Subtotal Appreciation | $3,161 | |||||||||||
03/31/20 | Swedish Kronor | 123,552 | U.S. Dollars | 13,286 | GSC | $(37) | ||||||
03/31/20 | U.S. Dollars | 588,227 | Swedish Kronor | 5,490,848 | GSC | (596) | ||||||
03/31/20 | U.S. Dollars | 990,094 | Japanese Yen | 107,710,240 | BOA | (6,403) | ||||||
03/31/20 | U.S. Dollars | 13,714,646 | Euro | 12,216,423 | CS | (67,686) | ||||||
03/31/20 | U.S. Dollars | 9,784,366 | Swiss Francs | 9,520,886 | UBS | (117,935) | ||||||
Subtotal Depreciation | $(192,657) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at December 31, 2019 | $(189,496) |
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $521,524,492 | $521,524,492 | $— | $— | |||
Corporate Bonds | 309,940,519 | — | 309,940,519 | — | |||
Equity-Linked Securities | 9,950,254 | — | 1,731,425 | 8,218,829 | |||
Foreign Bonds | 23,999,164 | — | 23,999,164 | — | |||
Foreign Common Stocks: | |||||||
Japan | 749,991 | — | 749,991 | — | |||
Sweden | 458,318 | — | 458,318 | — | |||
Switzerland | 21,875,376 | 9,984,145 | 11,891,231 | — | |||
Other^^ | 50,163,906 | 50,163,906 | — | — | |||
Total Foreign Common Stocks | 73,247,591 | 60,148,051 | 13,099,540 | — | |||
Money Market Funds | 84,844,669 | 84,844,669 | — | — | |||
Mutual Funds | 9,934,652 | 9,934,652 | — | — | |||
Preferred Stocks | 10,825,787 | 10,825,787 | — | — | |||
U.S. Treasury Obligations | 231,606,003 | — | 231,606,003 | — | |||
Total Assets - Investments in Securities | $1,275,873,131 | $687,277,651 | $580,376,651 | $8,218,829 | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $3,161 | $— | $3,161 | $— | |||
Total Assets - Other Financial Instruments | $3,161 | $ — | $3,161 | $ — | |||
Liabilities: | |||||||
Investments in Securities: | |||||||
Written Options: | |||||||
Call Options | $(281,685) | $(281,685) | $— | $— | |||
Put Options | (509,854) | (509,854) | — | — | |||
Total Written Options | (791,539) | (791,539) | — | — | |||
Total Liabilities - Investments in Securities | $(791,539) | $(791,539) | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $(192,657) | $— | $(192,657) | $— | |||
Futures Contracts | (466,502) | (466,502) | — | — | |||
Total Liabilities - Other Financial Instruments | $(659,159) | $(466,502) | $(192,657) | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
*** | 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 "Forwards Foreign Currency Contracts outstanding" disclosures. |
Table of Contents
% | |
Information Technology | 22.6 |
Health Care | 13.5 |
Financials | 13.0 |
Communication Services | 10.2 |
Consumer Discretionary | 9.4 |
Industrials | 8.9 |
Consumer Staples | 6.9 |
Energy | 4.2 |
Utilities | 3.3 |
Real Estate | 2.9 |
Money Market Funds | 2.7 |
Materials | 2.5 |
U.S. Treasury Obligation | 0.1 |
100.2 |
Table of Contents
Average Annual Total Returns as of 12/31/19 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | 31.68% | 31.33% | 31.49% | ||||
Five Year | 11.72% | 11.42% | 11.69% | ||||
Ten year | 13.57% | 13.33% | 13.55% | ||||
Since Inception | 7.59% | 7.44% | 7.76% | ||||
Inception Date | 08/27/01 | 08/27/01 | |||||
Total Fund Operating Expenses (April 30, 2019 Prospectus)(1) | 0.13% | 0.38% |
(1) | Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights. |
Table of Contents
Shares | Value | |||
COMMON STOCKS — 94.1% | ||||
Communication Services — 10.2% | ||||
Activision Blizzard, Inc. | 54,306 | $3,226,862 | ||
Alphabet, Inc. Class A* | 22,325 | 29,901,882 | ||
Alphabet, Inc. Class C* | 24,147 | 32,285,022 | ||
AT&T, Inc. | 574,447 | 22,449,389 | ||
CenturyLink, Inc. | 121,774 | 1,608,634 | ||
Charter Communications, Inc. Class A* | 13,277 | 6,440,407 | ||
Comcast Corporation Class A | 365,905 | 16,454,748 | ||
Discovery, Inc. Class AΔ* | 27,796 | 910,041 | ||
Discovery, Inc. Class C* | 15,921 | 485,431 | ||
DISH Network Corporation Class A* | 18,408 | 652,932 | ||
Electronic Arts, Inc.* | 25,211 | 2,710,435 | ||
Facebook, Inc. Class A* | 184,041 | 37,774,415 | ||
Fox Corporation Class A | 31,129 | 1,153,952 | ||
Fox Corporation Class B | 9,099 | 331,204 | ||
Interpublic Group of Cos., Inc. (The) | 47,139 | 1,088,911 | ||
Live Nation Entertainment, Inc.* | 10,940 | 781,882 | ||
Netflix, Inc.* | 34,494 | 11,161,223 | ||
News Corporation Class A | 13,865 | 196,051 | ||
News Corporation Class B | 13,984 | 202,908 | ||
Omnicom Group, Inc. | 24,095 | 1,952,177 | ||
Take-Two Interactive Software, Inc.* | 10,102 | 1,236,788 | ||
T-Mobile US, Inc.* | 23,800 | 1,866,396 | ||
Twitter, Inc.* | 52,713 | 1,689,452 | ||
Verizon Communications, Inc. | 327,119 | 20,085,106 | ||
ViacomCBS, Inc. Class B | 28,606 | 1,200,594 | ||
Walt Disney Co. (The) | 142,641 | 20,630,168 | ||
218,477,010 | ||||
Consumer Discretionary — 9.3% | ||||
Advance Auto Parts, Inc. | 6,948 | 1,112,792 | ||
Amazon.com, Inc.* | 32,122 | 59,356,316 | ||
AutoZone, Inc.* | 2,011 | 2,395,724 | ||
Best Buy Co., Inc. | 15,833 | 1,390,137 | ||
Booking Holdings, Inc.* | 3,419 | 7,021,703 | ||
BorgWarner, Inc. | 6,279 | 272,383 | ||
Capri Holdings, Ltd.* | 14,032 | 535,321 | ||
CarMax, Inc.* | 16,274 | 1,426,742 | ||
Carnival Corporation | 37,542 | 1,908,260 | ||
Chipotle Mexican Grill, Inc.* | 1,449 | 1,212,972 | ||
D.R. Horton, Inc. | 20,166 | 1,063,756 | ||
Darden Restaurants, Inc. | 9,727 | 1,060,340 | ||
Dollar General Corporation | 23,558 | 3,674,577 | ||
Dollar Tree, Inc.* | 18,243 | 1,715,754 | ||
eBay, Inc. | 59,500 | 2,148,545 | ||
Expedia Group, Inc. | 10,462 | 1,131,361 | ||
Ford Motor Co. | 395,246 | 3,675,788 | ||
Gap, Inc. (The) | 36,887 | 652,162 | ||
General Motors Co. | 106,950 | 3,914,370 | ||
Genuine Parts Co. | 12,313 | 1,308,010 | ||
H&R Block, Inc.Δ | 32,961 | 773,924 | ||
Hanesbrands, Inc. | 14,216 | 211,108 | ||
Harley-Davidson, Inc.Δ | 8,982 | 334,041 | ||
Hasbro, Inc. | 10,784 | 1,138,898 | ||
Hilton Worldwide Holdings, Inc. | 25,822 | 2,863,918 |
Shares | Value | |||
Home Depot, Inc. (The) | 82,780 | $18,077,496 | ||
Kohl’s Corporation | 15,822 | 806,131 | ||
L Brands, Inc. | 34,382 | 623,002 | ||
Leggett & Platt, Inc.Δ | 4,991 | 253,692 | ||
Lennar Corporation Class A | 21,185 | 1,181,911 | ||
LKQ Corporation* | 18,658 | 666,091 | ||
Lowe’s Cos., Inc. | 58,190 | 6,968,834 | ||
Macy’s, Inc.Δ | 57,763 | 981,971 | ||
Marriott International, Inc. Class A | 24,143 | 3,655,974 | ||
McDonald’s Corporation | 60,328 | 11,921,416 | ||
Mohawk Industries, Inc.* | 2,387 | 325,539 | ||
Newell Brands, Inc. | 39,118 | 751,848 | ||
NIKE, Inc. Class B | 94,490 | 9,572,782 | ||
Nordstrom, Inc.Δ | 18,747 | 767,315 | ||
Norwegian Cruise Line Holdings, Ltd.* | 15,478 | 904,070 | ||
NVR, Inc.* | 266 | 1,013,037 | ||
O’Reilly Automotive, Inc.* | 5,716 | 2,505,094 | ||
PulteGroup, Inc. | 11,415 | 442,902 | ||
PVH Corporation | 2,959 | 311,139 | ||
Ralph Lauren Corporation | 2,058 | 241,239 | ||
Ross Stores, Inc. | 25,592 | 2,979,421 | ||
Royal Caribbean Cruises, Ltd. | 15,182 | 2,026,949 | ||
Starbucks Corporation | 94,517 | 8,309,935 | ||
Tapestry, Inc. | 24,199 | 652,647 | ||
Target Corporation | 41,380 | 5,305,330 | ||
Tiffany & Co. | 9,641 | 1,288,520 | ||
TJX Cos., Inc. (The) | 90,590 | 5,531,425 | ||
Tractor Supply Co. | 7,490 | 699,866 | ||
Ulta Beauty, Inc.* | 3,840 | 972,058 | ||
Under Armour, Inc. Class AΔ* | 20,379 | 440,186 | ||
Under Armour, Inc. Class CΔ* | 9,410 | 180,484 | ||
VF Corporation | 27,573 | 2,747,925 | ||
Whirlpool CorporationΔ | 2,806 | 413,969 | ||
Yum! Brands, Inc. | 23,522 | 2,369,371 | ||
198,188,471 | ||||
Consumer Staples — 6.9% | ||||
Archer-Daniels-Midland Co. | 58,262 | 2,700,444 | ||
Campbell Soup Co.Δ | 28,952 | 1,430,808 | ||
Church & Dwight Co., Inc. | 27,416 | 1,928,441 | ||
Clorox Co. (The)Δ | 12,213 | 1,875,184 | ||
Coca-Cola Co. (The) | 369,705 | 20,463,172 | ||
Colgate-Palmolive Co. | 85,113 | 5,859,179 | ||
Conagra Brands, Inc.Δ | 41,499 | 1,420,926 | ||
Costco Wholesale Corporation | 32,613 | 9,585,613 | ||
Coty, Inc. Class A | 22,378 | 251,752 | ||
Estee Lauder Cos., Inc. (The) Class A | 18,085 | 3,735,276 | ||
General Mills, Inc. | 62,909 | 3,369,406 | ||
Hershey Co. (The) | 15,496 | 2,277,602 | ||
Hormel Foods CorporationΔ | 43,964 | 1,983,216 | ||
J.M. Smucker Co. (The) | 15,075 | 1,569,760 | ||
Kellogg Co. | 29,100 | 2,012,556 | ||
Kimberly-Clark Corporation | 31,736 | 4,365,287 | ||
Kraft Heinz Co. (The) | 75,933 | 2,439,727 | ||
Kroger Co. (The) | 64,489 | 1,869,536 | ||
Lamb Weston Holdings, Inc. | 17,029 | 1,465,005 |
Table of Contents
Shares | Value | |||
McCormick & Co., Inc. (Non-Voting Shares) | 12,700 | $2,155,571 | ||
Mondelez International, Inc. Class A | 128,715 | 7,089,622 | ||
Monster Beverage Corporation* | 46,680 | 2,966,514 | ||
PepsiCo, Inc. | 124,871 | 17,066,120 | ||
Procter & Gamble Co. (The) | 203,972 | 25,476,103 | ||
Sysco Corporation | 34,878 | 2,983,464 | ||
Tyson Foods, Inc. Class A | 35,391 | 3,221,997 | ||
Walgreens Boots Alliance, Inc. | 61,239 | 3,610,651 | ||
Walmart, Inc. | 109,781 | 13,046,374 | ||
148,219,306 | ||||
Energy — 4.0% | ||||
Apache CorporationΔ | 23,559 | 602,875 | ||
Archrock, Inc. | 13 | 131 | ||
Baker Hughes Co. | 33,215 | 851,300 | ||
Cabot Oil & Gas Corporation | 29,892 | 520,420 | ||
Chevron Corporation | 148,265 | 17,867,415 | ||
Cimarex Energy Co. | 3,553 | 186,497 | ||
Concho Resources, Inc. | 15,869 | 1,389,648 | ||
ConocoPhillips | 89,387 | 5,812,837 | ||
Devon Energy Corporation | 38,557 | 1,001,325 | ||
Diamondback Energy, Inc. | 10,890 | 1,011,245 | ||
EOG Resources, Inc. | 40,407 | 3,384,490 | ||
Exterran Corporation* | 6 | 47 | ||
Exxon Mobil Corporation | 332,330 | 23,189,987 | ||
Halliburton Co. | 74,621 | 1,825,976 | ||
Helmerich & Payne, Inc. | 4,961 | 225,378 | ||
Hess CorporationΔ | 18,891 | 1,262,108 | ||
HollyFrontier Corporation | 10,771 | 546,197 | ||
Kinder Morgan, Inc. | 146,006 | 3,090,947 | ||
Marathon Oil Corporation | 69,854 | 948,617 | ||
Marathon Petroleum Corporation | 50,234 | 3,026,599 | ||
National Oilwell Varco, Inc. | 32,684 | 818,734 | ||
Noble Energy, Inc. | 40,915 | 1,016,329 | ||
Occidental Petroleum Corporation | 79,090 | 3,259,299 | ||
ONEOK, Inc. | 32,556 | 2,463,513 | ||
Phillips 66 | 31,961 | 3,560,775 | ||
Pioneer Natural Resources Co. | 11,479 | 1,737,576 | ||
Valero Energy Corporation | 31,110 | 2,913,452 | ||
Williams Cos., Inc. (The) | 96,309 | 2,284,449 | ||
84,798,166 | ||||
Financials — 12.4% | ||||
Aflac, Inc. | 66,659 | 3,526,261 | ||
Allstate Corporation (The) | 28,840 | 3,243,058 | ||
American Express Co. | 47,721 | 5,940,787 | ||
American International Group, Inc. | 67,569 | 3,468,317 | ||
Ameriprise Financial, Inc. | 10,894 | 1,814,723 | ||
Arthur J. Gallagher & Co. | 15,093 | 1,437,306 | ||
Assurant, Inc. | 2,341 | 306,858 | ||
Bank of America Corporation | 683,906 | 24,087,169 | ||
Bank of New York Mellon Corporation (The) | 72,967 | 3,672,429 | ||
Berkshire Hathaway, Inc. Class B* | 156,738 | 35,501,157 | ||
BlackRock, Inc. | 9,421 | 4,735,937 | ||
Capital One Financial Corporation | 34,907 | 3,592,279 | ||
Cboe Global Markets, Inc. | 8,664 | 1,039,680 | ||
Charles Schwab Corporation (The) | 92,054 | 4,378,088 |
Shares | Value | |||
Cincinnati Financial CorporationΔ | 10,988 | $1,155,388 | ||
Citigroup, Inc. | 179,525 | 14,342,252 | ||
Citizens Financial Group, Inc. | 37,570 | 1,525,718 | ||
CME Group, Inc. | 28,081 | 5,636,418 | ||
Comerica, Inc. | 10,547 | 756,747 | ||
Discover Financial Services | 17,665 | 1,498,345 | ||
E*TRADE Financial Corporation | 10,478 | 475,387 | ||
Everest Re Group, Ltd. | 3,173 | 878,413 | ||
Fifth Third Bancorp | 52,084 | 1,601,062 | ||
First Republic Bank | 11,885 | 1,395,893 | ||
Franklin Resources, Inc. | 23,495 | 610,400 | ||
Globe Life, Inc. | 4,186 | 440,577 | ||
Goldman Sachs Group, Inc. (The) | 27,330 | 6,283,987 | ||
Hartford Financial Services Group, Inc. (The) | 28,747 | 1,746,955 | ||
Huntington Bancshares, Inc.Δ | 83,830 | 1,264,156 | ||
Intercontinental Exchange, Inc. | 43,068 | 3,985,944 | ||
Invesco, Ltd.Δ | 43,478 | 781,735 | ||
JPMorgan Chase & Co. | 250,114 | 34,865,892 | ||
KeyCorp | 64,549 | 1,306,472 | ||
Lincoln National Corporation | 19,455 | 1,148,040 | ||
Loews Corporation | 12,502 | 656,230 | ||
M&T Bank Corporation | 10,059 | 1,707,515 | ||
MarketAxess Holdings, Inc. | 2,840 | 1,076,672 | ||
Marsh & McLennan Cos., Inc. | 39,915 | 4,446,930 | ||
MetLife, Inc. | 79,589 | 4,056,651 | ||
Moody’s Corporation | 11,483 | 2,726,179 | ||
Morgan Stanley | 104,741 | 5,354,360 | ||
MSCI, Inc. | 5,076 | 1,310,522 | ||
Nasdaq, Inc.Δ | 9,140 | 978,894 | ||
Northern Trust Corporation | 16,617 | 1,765,390 | ||
People’s United Financial, Inc. | 11,480 | 194,012 | ||
PNC Financial Services Group, Inc. (The) | 34,137 | 5,449,289 | ||
Principal Financial Group, Inc. | 22,421 | 1,233,155 | ||
Progressive Corporation (The) | 45,104 | 3,265,079 | ||
Prudential Financial, Inc. | 36,128 | 3,386,639 | ||
Raymond James Financial, Inc. | 9,228 | 825,537 | ||
Regions Financial Corporation | 83,579 | 1,434,216 | ||
S&P Global, Inc. | 17,423 | 4,757,350 | ||
State Street Corporation | 30,870 | 2,441,817 | ||
SVB Financial Group* | 2,215 | 556,054 | ||
Synchrony Financial | 55,655 | 2,004,137 | ||
T. Rowe Price Group, Inc. | 15,490 | 1,887,302 | ||
Travelers Cos., Inc. (The) | 21,004 | 2,876,498 | ||
Truist Financial Corporation | 104,235 | 5,870,512 | ||
U.S. Bancorp | 117,801 | 6,984,421 | ||
Unum Group | 8,642 | 252,001 | ||
W.R. Berkley Corporation | 11,267 | 778,550 | ||
Wells Fargo & Co. | 318,305 | 17,124,809 | ||
Zions Bancorp NA | 7,446 | 386,596 | ||
264,231,147 | ||||
Health Care — 12.8% | ||||
Abbott Laboratories | 139,563 | 12,122,442 | ||
ABIOMED, Inc.* | 6,766 | 1,154,212 | ||
Agilent Technologies, Inc. | 32,843 | 2,801,836 | ||
Alexion Pharmaceuticals, Inc.* | 24,651 | 2,666,006 |
Table of Contents
Shares | Value | |||
Align Technology, Inc.* | 8,080 | $2,254,643 | ||
Amgen, Inc. | 55,832 | 13,459,420 | ||
Anthem, Inc. | 21,194 | 6,401,224 | ||
Baxter International, Inc. | 41,154 | 3,441,298 | ||
Becton, Dickinson and Co. | 21,279 | 5,787,250 | ||
Biogen, Inc.* | 18,945 | 5,621,550 | ||
Boston Scientific Corporation* | 120,221 | 5,436,394 | ||
Bristol-Myers Squibb Co. | 237,755 | 15,261,494 | ||
Cardinal Health, Inc. | 27,527 | 1,392,316 | ||
Centene Corporation* | 42,096 | 2,646,576 | ||
Cerner Corporation | 28,126 | 2,064,167 | ||
Cigna Corporation | 29,323 | 5,996,260 | ||
CVS Health Corporation | 104,298 | 7,748,298 | ||
Danaher Corporation | 49,319 | 7,569,480 | ||
DaVita, Inc.* | 13,768 | 1,033,013 | ||
DENTSPLY SIRONA, Inc. | 26,241 | 1,484,978 | ||
Edwards Lifesciences Corporation* | 19,109 | 4,457,939 | ||
Eli Lilly & Co. | 106,010 | 13,932,894 | ||
Gilead Sciences, Inc. | 142,431 | 9,255,166 | ||
HCA Healthcare, Inc. | 23,088 | 3,412,637 | ||
Henry Schein, Inc.Δ* | 11,738 | 783,159 | ||
Hologic, Inc.* | 29,305 | 1,530,014 | ||
Humana, Inc. | 11,904 | 4,363,054 | ||
IDEXX Laboratories, Inc.* | 8,626 | 2,252,507 | ||
Illumina, Inc.* | 11,930 | 3,957,658 | ||
Incyte Corporation* | 24,596 | 2,147,723 | ||
Intuitive Surgical, Inc.* | 9,533 | 5,635,433 | ||
IQVIA Holdings, Inc.* | 14,217 | 2,196,669 | ||
Johnson & Johnson | 231,991 | 33,840,527 | ||
Laboratory Corporation of America Holdings* | 7,436 | 1,257,948 | ||
McKesson Corporation | 16,930 | 2,341,758 | ||
Mettler-Toledo International, Inc.* | 2,187 | 1,734,903 | ||
PerkinElmer, Inc. | 11,320 | 1,099,172 | ||
Quest Diagnostics, Inc. | 16,017 | 1,710,456 | ||
Regeneron Pharmaceuticals, Inc.* | 9,873 | 3,707,114 | ||
ResMed, Inc. | 11,820 | 1,831,745 | ||
Stryker Corporation | 26,037 | 5,466,208 | ||
Teleflex, Inc. | 3,399 | 1,279,520 | ||
Thermo Fisher Scientific, Inc. | 34,174 | 11,102,107 | ||
UnitedHealth Group, Inc. | 74,142 | 21,796,265 | ||
Universal Health Services, Inc. Class B | 9,989 | 1,433,022 | ||
Varian Medical Systems, Inc.* | 9,565 | 1,358,326 | ||
Vertex Pharmaceuticals, Inc.* | 27,353 | 5,988,939 | ||
Waters CorporationΔ* | 6,921 | 1,617,092 | ||
WellCare Health Plans, Inc.* | 4,802 | 1,585,668 | ||
Zimmer Biomet Holdings, Inc. | 21,341 | 3,194,321 | ||
Zoetis, Inc. | 78,966 | 10,451,150 | ||
273,063,951 | ||||
Industrials — 8.4% | ||||
3M Co. | 48,160 | 8,496,387 | ||
A.O. Smith Corporation | 16,217 | 772,578 | ||
Alaska Air Group, Inc. | 10,021 | 678,923 | ||
American Airlines Group, Inc.Δ | 38,478 | 1,103,549 | ||
AMETEK, Inc. | 16,745 | 1,670,146 | ||
Arconic, Inc. | 16,474 | 506,905 |
Shares | Value | |||
Boeing Co. (The) | 41,191 | $13,418,380 | ||
C.H. Robinson Worldwide, Inc. | 12,459 | 974,294 | ||
Caterpillar, Inc. | 44,540 | 6,577,667 | ||
Cintas Corporation | 6,438 | 1,732,337 | ||
Copart, Inc.* | 8,500 | 772,990 | ||
CSX Corporation | 65,253 | 4,721,707 | ||
Cummins, Inc. | 10,680 | 1,911,293 | ||
Deere & Co. | 24,563 | 4,255,785 | ||
Delta Air Lines, Inc. | 56,365 | 3,296,225 | ||
Dover Corporation | 13,712 | 1,580,445 | ||
Emerson Electric Co. | 55,944 | 4,266,290 | ||
Equifax, Inc. | 8,312 | 1,164,677 | ||
Expeditors International of Washington, Inc. | 6,818 | 531,940 | ||
Fastenal Co.Δ | 36,004 | 1,330,348 | ||
FedEx Corporation | 21,581 | 3,263,263 | ||
Flowserve Corporation | 4,858 | 241,783 | ||
Fortive Corporation | 28,093 | 2,146,024 | ||
Fortune Brands Home & Security, Inc. | 18,870 | 1,232,966 | ||
General Dynamics Corporation | 20,407 | 3,598,775 | ||
General Electric Co. | 659,185 | 7,356,505 | ||
Honeywell International, Inc. | 55,553 | 9,832,881 | ||
Huntington Ingalls Industries, Inc. | 2,805 | 703,718 | ||
IDEX Corporation | 5,716 | 983,152 | ||
IHS Markit, Ltd.* | 26,223 | 1,975,903 | ||
Illinois ToolWorks, Inc. | 22,337 | 4,012,395 | ||
J.B. Hunt Transport Services, Inc. | 3,269 | 381,754 | ||
Jacobs Engineering Group, Inc. | 4,647 | 417,440 | ||
Kansas City Southern | 10,006 | 1,532,519 | ||
L3Harris Technologies, Inc. | 16,801 | 3,324,414 | ||
Lockheed Martin Corporation | 19,185 | 7,470,255 | ||
Masco Corporation | 31,887 | 1,530,257 | ||
Norfolk Southern Corporation | 19,839 | 3,851,345 | ||
Northrop Grumman Corporation | 12,728 | 4,378,050 | ||
Old Dominion Freight Line, Inc. | 4,952 | 939,791 | ||
PACCAR, Inc. | 22,794 | 1,803,005 | ||
Parker-Hannifin Corporation | 8,815 | 1,814,303 | ||
Quanta Services, Inc. | 5,431 | 221,096 | ||
Raytheon Co. | 22,977 | 5,048,966 | ||
Republic Services, Inc. | 19,655 | 1,761,678 | ||
Robert Half International, Inc. | 4,920 | 310,698 | ||
Rockwell Automation, Inc. | 8,494 | 1,721,479 | ||
Rollins, Inc. | 14,250 | 472,530 | ||
Roper Technologies, Inc. | 6,043 | 2,140,612 | ||
Snap-on, Inc.Δ | 5,899 | 999,291 | ||
Southwest Airlines Co. | 36,781 | 1,985,438 | ||
Stanley Black & Decker, Inc. | 10,352 | 1,715,741 | ||
Textron, Inc. | 19,700 | 878,620 | ||
TransDigm Group, Inc. | 3,870 | 2,167,200 | ||
Union Pacific Corporation | 55,813 | 10,090,432 | ||
United Airlines Holdings, Inc.* | 19,397 | 1,708,682 | ||
United Parcel Service, Inc. Class B | 50,421 | 5,902,282 | ||
United Rentals, Inc.* | 7,513 | 1,252,943 | ||
United Technologies Corporation | 63,362 | 9,489,093 | ||
Verisk Analytics, Inc. | 12,729 | 1,900,949 | ||
W.W. Grainger, Inc. | 3,321 | 1,124,225 | ||
Waste Management, Inc. | 33,085 | 3,770,367 |
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Shares | Value | |||
Westinghouse Air Brake Technologies Corporation | 11,295 | $878,751 | ||
Xylem, Inc. | 6,524 | 514,026 | ||
178,608,463 | ||||
Information Technology — 21.9% | ||||
Adobe, Inc.* | 35,347 | 11,657,794 | ||
Advanced Micro Devices, Inc.Δ* | 82,934 | 3,803,353 | ||
Akamai Technologies, Inc.* | 6,606 | 570,626 | ||
Alliance Data Systems Corporation | 2,399 | 269,168 | ||
Amphenol Corporation Class A | 18,535 | 2,006,043 | ||
Analog Devices, Inc. | 29,267 | 3,478,090 | ||
ANSYS, Inc.* | 9,168 | 2,359,935 | ||
Apple, Inc. | 334,672 | 98,276,433 | ||
Applied Materials, Inc. | 77,376 | 4,723,031 | ||
Arista Networks, Inc.* | 4,638 | 943,369 | ||
Autodesk, Inc.* | 15,847 | 2,907,291 | ||
Automatic Data Processing, Inc. | 33,997 | 5,796,488 | ||
Broadcom, Inc. | 31,170 | 9,850,343 | ||
Broadridge Financial Solutions, Inc. | 6,807 | 840,937 | ||
Cadence Design Systems, Inc.* | 14,000 | 971,040 | ||
CDW Corporation | 11,000 | 1,571,240 | ||
Cisco Systems, Inc. | 338,843 | 16,250,910 | ||
Citrix Systems, Inc. | 9,508 | 1,054,437 | ||
Cognizant Technology Solutions Corporation Class A | 43,559 | 2,701,529 | ||
Corning, Inc. | 59,799 | 1,740,749 | ||
DXC Technology Co. | 18,725 | 703,873 | ||
F5 Networks, Inc.* | 2,480 | 346,332 | ||
Fidelity National Information Services, Inc. | 46,186 | 6,424,011 | ||
Fiserv, Inc.* | 41,181 | 4,761,759 | ||
FleetCor Technologies, Inc.* | 6,254 | 1,799,401 | ||
FLIR Systems, Inc. | 5,180 | 269,723 | ||
Fortinet, Inc.* | 9,885 | 1,055,323 | ||
Gartner, Inc.Δ* | 5,295 | 815,959 | ||
Global Payments, Inc. | 22,769 | 4,156,709 | ||
Hewlett Packard Enterprise Co. | 113,804 | 1,804,931 | ||
HP, Inc. | 132,336 | 2,719,505 | ||
Intel Corporation | 342,984 | 20,527,592 | ||
International Business Machines Corporation | 72,240 | 9,683,050 | ||
Intuit, Inc. | 17,914 | 4,692,214 | ||
Jack Henry & Associates, Inc. | 5,530 | 805,555 | ||
Juniper Networks, Inc. | 15,019 | 369,918 | ||
Keysight Technologies, Inc.* | 13,420 | 1,377,295 | ||
KLA Corporation | 9,794 | 1,744,997 | ||
Lam Research Corporation | 10,705 | 3,130,142 | ||
Leidos Holdings, Inc. | 10,893 | 1,066,316 | ||
Mastercard, Inc. Class A | 68,771 | 20,534,333 | ||
Maxim Integrated Products, Inc. | 19,970 | 1,228,355 | ||
Microchip Technology, Inc.Δ | 16,977 | 1,777,831 | ||
Micron Technology, Inc.* | 84,017 | 4,518,434 | ||
Microsoft Corporation | 589,388 | 92,946,488 | ||
Motorola Solutions, Inc. | 13,048 | 2,102,555 | ||
NetApp, Inc. | 21,788 | 1,356,303 | ||
NortonLifeLock, Inc. | 47,298 | 1,207,045 | ||
NVIDIA Corporation | 46,907 | 11,037,217 |
Shares | Value | |||
Oracle Corporation | 205,823 | $10,904,502 | ||
Paychex, Inc. | 27,668 | 2,353,440 | ||
PayPal Holdings, Inc.* | 89,390 | 9,669,316 | ||
Qorvo, Inc.* | 4,807 | 558,718 | ||
QUALCOMM, Inc. | 91,816 | 8,100,926 | ||
salesforce.com, Inc.* | 66,214 | 10,769,045 | ||
ServiceNow, Inc.* | 14,510 | 4,096,463 | ||
Skyworks Solutions, Inc. | 15,074 | 1,822,145 | ||
Synopsys, Inc.* | 15,492 | 2,156,486 | ||
Texas Instruments, Inc. | 69,952 | 8,974,142 | ||
VeriSign, Inc.* | 7,867 | 1,515,814 | ||
Visa, Inc. Class AΔ | 130,994 | 24,613,773 | ||
Western Digital Corporation | 24,973 | 1,585,036 | ||
Western Union Co. (The)Δ | 39,393 | 1,054,945 | ||
Xerox Holdings Corporation | 11,464 | 422,678 | ||
Xilinx, Inc. | 18,364 | 1,795,448 | ||
Zebra Technologies Corporation Class A* | 4,187 | 1,069,527 | ||
468,198,376 | ||||
Materials — 2.0% | ||||
Air Products & Chemicals, Inc. | 16,602 | 3,901,304 | ||
Albemarle CorporationΔ | 5,038 | 367,975 | ||
Avery Dennison Corporation | 3,272 | 428,043 | ||
Ball Corporation | 26,240 | 1,696,941 | ||
Celanese Corporation | 9,582 | 1,179,736 | ||
CF Industries Holdings, Inc. | 17,082 | 815,495 | ||
Corteva, Inc. | 55,219 | 1,632,274 | ||
Dow, Inc. | 55,219 | 3,022,136 | ||
DuPont de Nemours, Inc. | 62,802 | 4,031,888 | ||
Eastman Chemical Co. | 14,389 | 1,140,472 | ||
Ecolab, Inc. | 18,944 | 3,656,003 | ||
FMC Corporation | 5,397 | 538,729 | ||
Freeport-McMoRan, Inc.Δ | 112,863 | 1,480,763 | ||
International Flavors & Fragrances, Inc.Δ | 8,221 | 1,060,673 | ||
International Paper Co. | 43,581 | 2,006,905 | ||
Martin Marietta Materials, Inc. | 5,969 | 1,669,171 | ||
Mosaic Co. (The) | 26,057 | 563,873 | ||
Newmont Goldcorp Corporation | 61,126 | 2,655,925 | ||
Nucor Corporation | 32,443 | 1,825,892 | ||
Packaging Corporation of America | 6,567 | 735,438 | ||
PPG Industries, Inc. | 18,443 | 2,461,956 | ||
Sealed Air CorporationΔ | 10,710 | 426,579 | ||
Sherwin-Williams Co. (The) | 6,348 | 3,704,312 | ||
Vulcan Materials Co. | 11,222 | 1,615,856 | ||
Westrock Co. | 21,818 | 936,210 | ||
43,554,549 | ||||
Real Estate — 2.9% | ||||
Alexandria Real Estate Equities, Inc. REIT | 3,214 | 519,318 | ||
American Tower Corporation REIT | 32,883 | 7,557,171 | ||
Apartment Investment & Management Co. Class A REIT | 5,953 | 307,472 | ||
AvalonBay Communities, Inc. REIT | 11,730 | 2,459,781 | ||
Boston Properties, Inc. REIT | 11,272 | 1,553,958 | ||
CBRE Group, Inc. Class A* | 26,915 | 1,649,620 |
Table of Contents
Shares | Value | |||
Crown Castle International Corporation REIT | 32,487 | $4,618,027 | ||
Digital Realty Trust, Inc. REITΔ | 16,030 | 1,919,432 | ||
Duke Realty Corporation REIT | 32,547 | 1,128,405 | ||
Equinix, Inc. REIT | 5,188 | 3,028,236 | ||
Equity Residential REIT | 36,341 | 2,940,714 | ||
Essex Property Trust, Inc. REIT | 5,627 | 1,692,939 | ||
Extra Space Storage, Inc. REIT | 8,534 | 901,361 | ||
Federal Realty Investment Trust REIT | 2,600 | 334,698 | ||
Healthpeak Properties, Inc. REIT | 46,597 | 1,606,199 | ||
Host Hotels & Resorts, Inc. REIT | 47,435 | 879,919 | ||
Iron Mountain, Inc. REIT | 32,755 | 1,043,902 | ||
Kimco Realty Corporation REITΔ | 56,971 | 1,179,869 | ||
Mid-America Apartment Communities, Inc. REIT | 7,607 | 1,003,059 | ||
Prologis, Inc. REIT | 48,593 | 4,331,580 | ||
Public Storage REIT | 13,141 | 2,798,507 | ||
Realty Income Corporation REIT | 28,647 | 2,109,279 | ||
Regency Centers Corporation REIT | 15,104 | 952,911 | ||
SBA Communications Corporation REIT | 9,082 | 2,188,671 | ||
Simon Property Group, Inc. REIT | 28,493 | 4,244,317 | ||
SL Green Realty Corporation REIT | 7,249 | 666,038 | ||
UDR, Inc. REIT | 16,995 | 793,667 | ||
Ventas, Inc. REIT | 33,547 | 1,937,004 | ||
Vornado Realty Trust REIT | 15,993 | 1,063,535 | ||
Welltower, Inc. REIT | 31,626 | 2,586,374 | ||
Weyerhaeuser Co. REIT | 66,786 | 2,016,937 | ||
62,012,900 | ||||
Utilities — 3.3% | ||||
AES Corporation | 56,201 | 1,118,400 | ||
Alliant Energy Corporation | 6,500 | 355,680 | ||
Ameren Corporation | 19,884 | 1,527,091 | ||
American Electric Power Co., Inc. | 43,060 | 4,069,601 | ||
American Water Works Co., Inc. | 16,565 | 2,035,010 | ||
Atmos Energy Corporation | 8,640 | 966,470 | ||
CenterPoint Energy, Inc. | 50,231 | 1,369,799 | ||
CMS Energy Corporation | 24,417 | 1,534,364 | ||
Consolidated Edison, Inc. | 33,879 | 3,065,033 | ||
Dominion Energy, Inc. | 78,841 | 6,529,612 | ||
DTE Energy Co. | 20,230 | 2,627,270 | ||
Duke Energy Corporation | 63,450 | 5,787,275 | ||
Edison International | 25,039 | 1,888,191 | ||
Entergy Corporation | 9,511 | 1,139,418 | ||
Evergy, Inc. | 17,247 | 1,122,607 | ||
Eversource EnergyΔ | 22,827 | 1,941,893 | ||
Exelon Corporation | 79,694 | 3,633,250 | ||
FirstEnergy Corporation | 31,999 | 1,555,151 | ||
NextEra Energy, Inc. | 35,828 | 8,676,109 | ||
NiSource, Inc. | 23,079 | 642,519 | ||
NRG Energy, Inc. | 19,377 | 770,236 | ||
Pinnacle West Capital Corporation | 4,108 | 369,432 | ||
PPL Corporation | 73,784 | 2,647,370 | ||
Public Service Enterprise Group, Inc. | 46,751 | 2,760,647 |
Shares | Value | |||
Sempra Energy | 20,984 | $3,178,656 | ||
Southern Co. (The) | 81,308 | 5,179,320 | ||
WEC Energy Group, Inc.Δ | 28,327 | 2,612,599 | ||
Xcel Energy, Inc.Δ | 35,982 | 2,284,497 | ||
71,387,500 | ||||
Total Common Stocks (Cost $1,378,047,455) | 2,010,739,839 | |||
FOREIGN COMMON STOCKS — 3.3% | ||||
Curacao — 0.2% | ||||
Schlumberger, Ltd. | 121,737 | 4,893,827 | ||
Ireland — 2.1% | ||||
Accenture PLC Class A | 46,917 | 9,879,313 | ||
Allegion PLC | 11,277 | 1,404,437 | ||
Eaton Corporation PLC | 34,612 | 3,278,449 | ||
Ingersoll-Rand PLC | 16,206 | 2,154,101 | ||
Johnson Controls International PLCΔ | 75,803 | 3,085,940 | ||
Linde PLC | 41,176 | 8,766,370 | ||
Medtronic PLC | 104,997 | 11,911,910 | ||
Pentair PLC | 6,692 | 306,962 | ||
Seagate Technology PLC | 24,342 | 1,448,349 | ||
STERIS PLC | 6,583 | 1,003,381 | ||
Willis Towers Watson PLC | 8,889 | 1,795,045 | ||
45,034,257 | ||||
Jersey — 0.1% | ||||
Amcor PLCΔ | 120,129 | 1,302,199 | ||
Aptiv PLC | 15,022 | 1,426,639 | ||
2,728,838 | ||||
Netherlands — 0.2% | ||||
LyondellBasell Industries NV Class A | 27,312 | 2,580,438 | ||
Mylan NV* | 84,301 | 1,694,450 | ||
4,274,888 | ||||
Switzerland — 0.4% | ||||
Chubb, Ltd. | 35,583 | 5,538,850 | ||
Garmin, Ltd. | 8,253 | 805,163 | ||
TE Connectivity, Ltd. | 28,610 | 2,741,982 | ||
9,085,995 | ||||
United Kingdom — 0.3% | ||||
Aon PLC | 19,060 | 3,970,007 | ||
Nielsen Holdings PLC | 40,749 | 827,205 | ||
TechnipFMC PLC | 23,072 | 494,664 | ||
5,291,876 | ||||
Total Foreign Common Stocks (Cost $58,284,706) | 71,309,681 | |||
MONEY MARKET FUNDS — 2.7% | ||||
GuideStone Money Market Fund, 1.53%Ø | 53,884,078 | 53,884,078 |
Table of Contents
Shares | Value | |||
Northern Institutional Liquid Assets Portfolio (Shares), 1.57%ا | 3,543,423 | $3,543,423 | ||
Total Money Market Funds (Cost $57,427,501) | 57,427,501 |
Par | |||
U.S. TREASURY OBLIGATION — 0.1% | |||
U.S. Treasury Bill | |||
1.52%, 05/07/20Ω‡‡ (Cost $1,293,001) | $1,300,000 | 1,293,089 | |
TOTAL INVESTMENTS —100.2% (Cost $1,495,052,663) | 2,140,770,110 | ||
Liabilities in Excess of Other Assets — (0.2)% | (5,116,182) | ||
NET ASSETS — 100.0% | $2,135,653,928 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 03/2020 | 332 | $53,636,260 | $736,473 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $2,010,739,839 | $2,010,739,839 | $— | $— | |||
Foreign Common Stocks | 71,309,681 | 71,309,681 | — | — | |||
Money Market Funds | 57,427,501 | 57,427,501 | — | — | |||
U.S. Treasury Obligation | 1,293,089 | — | 1,293,089 | — | |||
Total Assets - Investments in Securities | $2,140,770,110 | $2,139,477,021 | $1,293,089 | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $736,473 | $736,473 | $— | $— | |||
Total Assets - Other Financial Instruments | $736,473 | $736,473 | $ — | $ — |
*** | 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. |
Table of Contents
% | |
Financials | 22.6 |
Health Care | 15.6 |
Industrials | 13.1 |
Energy | 9.2 |
Information Technology | 8.4 |
Consumer Discretionary | 6.1 |
Consumer Staples | 5.8 |
Communication Services | 4.9 |
Materials | 4.8 |
Utilities | 4.4 |
Real Estate | 2.6 |
Money Market Funds | 2.4 |
U.S. Treasury Obligation | 0.1 |
100.0 |
Table of Contents
Average Annual Total Returns as of 12/31/19 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | 27.14% | 26.80% | 26.54% | ||||
Five Year | 7.58% | 7.31% | 8.28% | ||||
Ten year | 11.30% | 11.04% | 11.79% | ||||
Since Inception | 7.07% | 6.79% | 7.44% | ||||
Inception Date | 08/27/01 | 08/27/01 | |||||
Total Fund Operating Expenses (April 30, 2019 Prospectus)(1) | 0.61% | 0.87% |
(1) | Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights. |
Table of Contents
Shares | Value | |||
COMMON STOCKS — 82.9% | ||||
Communication Services — 4.9% | ||||
Activision Blizzard, Inc. | 4,616 | $274,283 | ||
Alphabet, Inc. Class A* | 579 | 775,507 | ||
AMC Networks, Inc. Class A* | 1,991 | 78,644 | ||
AT&T, Inc. | 189,046 | 7,387,918 | ||
Charter Communications, Inc. Class A* | 418 | 202,763 | ||
Comcast Corporation Class A | 353,408 | 15,892,758 | ||
Discovery, Inc. Class AΔ* | 95,700 | 3,133,218 | ||
Electronic Arts, Inc.* | 21,968 | 2,361,780 | ||
Facebook, Inc. Class A* | 3,195 | 655,774 | ||
Take-Two Interactive Software, Inc.* | 18,139 | 2,220,758 | ||
Telephone & Data Systems, Inc. | 52,119 | 1,325,386 | ||
T-Mobile US, Inc.* | 610 | 47,836 | ||
Verizon Communications, Inc. | 347,308 | 21,324,711 | ||
ViacomCBS, Inc. Class B | 46,125 | 1,935,866 | ||
Walt Disney Co. (The) | 11,107 | 1,606,405 | ||
59,223,607 | ||||
Consumer Discretionary — 5.6% | ||||
Advance Auto Parts, Inc. | 43,371 | 6,946,299 | ||
Aramark | 254,523 | 11,046,298 | ||
AutoNation, Inc.* | 7,390 | 359,376 | ||
AutoZone, Inc.* | 322 | 383,602 | ||
Bed Bath & Beyond, Inc.Δ | 64,700 | 1,119,310 | ||
Best Buy Co., Inc. | 949 | 83,322 | ||
Booking Holdings, Inc.* | 609 | 1,250,722 | ||
Carnival Corporation | 3,147 | 159,962 | ||
D.R. Horton, Inc. | 12,341 | 650,988 | ||
Dana, Inc. | 89,975 | 1,637,545 | ||
Deckers Outdoor Corporation* | 5,760 | 972,634 | ||
Dick's Sporting Goods, Inc. | 4,727 | 233,939 | ||
Dollar General Corporation | 76,065 | 11,864,619 | ||
eBay, Inc. | 60,375 | 2,180,141 | ||
Foot Locker, Inc. | 3,851 | 150,151 | ||
Ford Motor Co. | 27,968 | 260,102 | ||
General Motors Co. | 7,797 | 285,370 | ||
Graham Holdings Co. Class B | 495 | 316,300 | ||
Home Depot, Inc. (The) | 2,888 | 630,681 | ||
Lennar Corporation Class A | 120,869 | 6,743,282 | ||
Lowe’s Cos., Inc. | 98,442 | 11,789,414 | ||
McDonald’s Corporation | 4,148 | 819,686 | ||
Norwegian Cruise Line Holdings, Ltd.* | 9,928 | 579,894 | ||
PulteGroup, Inc. | 55,374 | 2,148,511 | ||
Starbucks Corporation | 15,051 | 1,323,284 | ||
Tapestry, Inc. | 52,462 | 1,414,900 | ||
Target Corporation | 13,223 | 1,695,321 | ||
Toll Brothers, Inc. | 14,463 | 571,433 | ||
Wyndham Destinations, Inc. | 10,379 | 536,491 | ||
Yum! Brands, Inc. | 440 | 44,321 | ||
68,197,898 | ||||
Consumer Staples — 5.2% | ||||
Coca-Cola Co. (The) | 11,287 | 624,736 | ||
Colgate-Palmolive Co. | 166,887 | 11,488,501 | ||
Conagra Brands, Inc. | 74,268 | 2,542,936 | ||
General Mills, Inc. | 6,126 | 328,109 |
Shares | Value | |||
Ingredion, Inc. | 20,435 | $1,899,433 | ||
Keurig Dr. Pepper, Inc.Δ | 3,041 | 88,037 | ||
Kimberly-Clark Corporation | 2,726 | 374,961 | ||
Kraft Heinz Co. (The) | 8,709 | 279,820 | ||
Mondelez International, Inc. Class A | 199,651 | 10,996,777 | ||
PepsiCo, Inc. | 117,413 | 16,046,835 | ||
Pilgrim’s Pride Corporation* | 19,589 | 640,854 | ||
Procter & Gamble Co. (The) | 116,646 | 14,569,085 | ||
Tyson Foods, Inc. Class A | 26,711 | 2,431,770 | ||
Walgreens Boots Alliance, Inc. | 5,647 | 332,947 | ||
Walmart, Inc. | 9,035 | 1,073,719 | ||
63,718,520 | ||||
Energy — 6.9% | ||||
Baker Hughes Co. | 156,589 | 4,013,376 | ||
Chevron Corporation | 229,685 | 27,679,339 | ||
ConocoPhillips | 23,622 | 1,536,139 | ||
EOG Resources, Inc. | 114,374 | 9,579,966 | ||
Exxon Mobil Corporation | 26,474 | 1,847,356 | ||
Hess Corporation | 122,841 | 8,207,007 | ||
HollyFrontier Corporation | 43,073 | 2,184,232 | ||
Kinder Morgan, Inc. | 12,038 | 254,845 | ||
Marathon Petroleum Corporation | 54,524 | 3,285,071 | ||
Occidental Petroleum Corporation | 6,304 | 259,788 | ||
PBF Energy, Inc. Class A | 24,659 | 773,553 | ||
Phillips 66 | 126,396 | 14,081,778 | ||
Valero Energy Corporation | 109,537 | 10,258,140 | ||
83,960,590 | ||||
Financials — 21.1% | ||||
Aflac, Inc. | 4,527 | 239,478 | ||
Alleghany Corporation* | 1,760 | 1,407,243 | ||
Allstate Corporation (The) | 2,015 | 226,587 | ||
Ally Financial, Inc. | 73,036 | 2,231,980 | ||
American Express Co. | 65,470 | 8,150,360 | ||
American International Group, Inc. | 290,285 | 14,900,329 | ||
Ameriprise Financial, Inc. | 11,762 | 1,959,314 | ||
Arch Capital Group, Ltd.* | 24,702 | 1,059,469 | ||
AXA Equitable Holdings, Inc. | 97,540 | 2,417,041 | ||
Bank of America Corporation | 52,142 | 1,836,441 | ||
Bank of New York Mellon Corporation (The) | 228,108 | 11,480,676 | ||
BankUnited, Inc. | 9,424 | 344,541 | ||
Berkshire Hathaway, Inc. Class B* | 146,255 | 33,126,758 | ||
BlackRock, Inc. | 689 | 346,360 | ||
Capital One Financial Corporation | 10,830 | 1,114,515 | ||
Charles Schwab Corporation (The) | 2,949 | 140,254 | ||
Citigroup, Inc. | 137,952 | 11,020,985 | ||
Citizens Financial Group, Inc. | 63,093 | 2,562,207 | ||
CME Group, Inc. | 2,251 | 451,821 | ||
Comerica, Inc. | 4,850 | 347,988 | ||
First Citizens BancShares, Inc. Class A | 314 | 167,114 | ||
First Hawaiian, Inc. | 40,260 | 1,161,501 | ||
Goldman Sachs Group, Inc. (The) | 2,044 | 469,977 | ||
Hanover Insurance Group, Inc. (The) | 5,199 | 710,547 | ||
Hartford Financial Services Group, Inc. (The) | 66,564 | 4,045,094 | ||
Intercontinental Exchange, Inc. | 52,606 | 4,868,685 |
Table of Contents
Shares | Value | |||
JPMorgan Chase & Co. | 210,831 | $29,389,841 | ||
Lincoln National Corporation | 1,701 | 100,376 | ||
Marsh & McLennan Cos., Inc. | 317 | 35,317 | ||
MetLife, Inc. | 126,054 | 6,424,972 | ||
MGIC Investment Corporation | 144,047 | 2,041,146 | ||
Morgan Stanley | 39,964 | 2,042,960 | ||
Navient Corporation | 88,650 | 1,212,732 | ||
New York Community Bancorp, Inc.Δ | 326,476 | 3,924,242 | ||
Northern Trust Corporation | 55,343 | 5,879,640 | ||
Old Republic International Corporation | 73,809 | 1,651,107 | ||
PNC Financial Services Group, Inc. (The) | 107,395 | 17,143,464 | ||
Popular, Inc. | 31,192 | 1,832,530 | ||
Principal Financial Group, Inc. | 18,236 | 1,002,980 | ||
Progressive Corporation (The) | 2,335 | 169,031 | ||
Prudential Financial, Inc. | 2,938 | 275,408 | ||
Radian Group, Inc. | 38,979 | 980,712 | ||
Reinsurance Group of America, Inc. | 91,316 | 14,889,987 | ||
TD Ameritrade Holding Corporation | 121 | 6,014 | ||
Travelers Cos., Inc. (The) | 1,449 | 198,441 | ||
Truist Financial Corporation | 157,699 | 8,881,608 | ||
U.S. Bancorp | 363,580 | 21,556,658 | ||
Voya Financial, Inc. | 39,207 | 2,390,843 | ||
Wells Fargo & Co. | 426,996 | 22,972,385 | ||
Wintrust Financial Corporation | 24,003 | 1,701,813 | ||
Zions Bancorp NA | 59,300 | 3,078,856 | ||
256,570,328 | ||||
Health Care — 10.5% | ||||
Abbott Laboratories | 6,592 | 572,581 | ||
Alexion Pharmaceuticals, Inc.* | 711 | 76,895 | ||
Amgen, Inc. | 719 | 173,329 | ||
Anthem, Inc. | 32,133 | 9,705,130 | ||
Baxter International, Inc. | 1,977 | 165,317 | ||
Becton, Dickinson and Co. | 1,687 | 458,813 | ||
Biogen, Inc.* | 1,055 | 313,050 | ||
Bristol-Myers Squibb Co. | 55,141 | 3,539,501 | ||
Bruker Corporation | 18,430 | 939,377 | ||
Centene Corporation* | 37,502 | 2,357,751 | ||
Cerner Corporation | 138,300 | 10,149,837 | ||
Cigna Corporation | 1,870 | 382,396 | ||
CVS Health Corporation | 160,283 | 11,907,424 | ||
Danaher Corporation | 3,783 | 580,615 | ||
Eli Lilly & Co. | 17,925 | 2,355,883 | ||
Exelixis, Inc.* | 117,627 | 2,072,588 | ||
Gilead Sciences, Inc. | 72,990 | 4,742,890 | ||
HCA Healthcare, Inc. | 850 | 125,639 | ||
Hologic, Inc.* | 141,644 | 7,395,233 | ||
Humana, Inc. | 617 | 226,143 | ||
Johnson & Johnson | 186,130 | 27,150,783 | ||
McKesson Corporation | 36,556 | 5,056,426 | ||
Molina Healthcare, Inc.* | 24,089 | 3,268,636 | ||
Quest Diagnostics, Inc. | 77,000 | 8,222,830 | ||
Regeneron Pharmaceuticals, Inc.* | 576 | 216,277 | ||
Thermo Fisher Scientific, Inc. | 919 | 298,556 | ||
UnitedHealth Group, Inc. | 26,745 | 7,862,495 | ||
Varian Medical Systems, Inc.* | 14,329 | 2,034,861 |
Shares | Value | |||
Zimmer Biomet Holdings, Inc. | 99,796 | $14,937,465 | ||
127,288,721 | ||||
Industrials — 10.2% | ||||
3M Co. | 943 | 166,364 | ||
Allison Transmission Holdings, Inc. | 25,547 | 1,234,431 | ||
Carlisle Cos., Inc. | 568 | 91,925 | ||
Caterpillar, Inc. | 3,127 | 461,795 | ||
Crane Co. | 7,004 | 605,006 | ||
CSX Corporation | 2,995 | 216,718 | ||
Curtiss-Wright Corporation | 13,606 | 1,916,949 | ||
Deere & Co. | 48,225 | 8,355,464 | ||
Delta Air Lines, Inc. | 3,021 | 176,668 | ||
EMCOR Group, Inc. | 16,925 | 1,460,628 | ||
Emerson Electric Co. | 147,255 | 11,229,666 | ||
FedEx Corporation | 1,579 | 238,761 | ||
Fortune Brands Home & Security, Inc. | 11,087 | 724,425 | ||
General Dynamics Corporation | 1,529 | 269,639 | ||
General Electric Co. | 1,392,051 | 15,535,289 | ||
HD Supply Holdings, Inc.* | 4,627 | 186,098 | ||
Honeywell International, Inc. | 2,234 | 395,418 | ||
Hubbell, Inc. | 62,875 | 9,294,182 | ||
J.B. Hunt Transport Services, Inc. | 70,401 | 8,221,429 | ||
Jacobs Engineering Group, Inc. | 97,061 | 8,718,990 | ||
JetBlue Airways Corporation* | 118,556 | 2,219,368 | ||
ManpowerGroup, Inc. | 23,824 | 2,313,310 | ||
Masco Corporation | 16,136 | 774,367 | ||
Norfolk Southern Corporation | 1,348 | 261,687 | ||
Oshkosh Corporation | 9,200 | 870,780 | ||
Owens Corning | 4,756 | 309,711 | ||
PACCAR, Inc. | 27,364 | 2,164,492 | ||
Raytheon Co. | 635 | 139,535 | ||
Regal Beloit Corporation | 1,586 | 135,777 | ||
Roper Technologies, Inc. | 430 | 152,319 | ||
Southwest Airlines Co. | 194,440 | 10,495,871 | ||
Spirit AeroSystems Holdings, Inc. Class A | 102,649 | 7,481,059 | ||
Terex Corporation | 46,760 | 1,392,513 | ||
Textron, Inc. | 70,333 | 3,136,852 | ||
Uber Technologies, Inc.* | 4,695 | 139,629 | ||
United Airlines Holdings, Inc.* | 25,968 | 2,287,521 | ||
United Parcel Service, Inc. Class B | 26,635 | 3,117,893 | ||
United Technologies Corporation | 59,556 | 8,919,107 | ||
Waste Management, Inc. | 593 | 67,578 | ||
Westinghouse Air Brake Technologies Corporation | 95,437 | 7,424,999 | ||
123,304,213 | ||||
Information Technology — 7.5% | ||||
Amdocs, Ltd. | 10,778 | 778,064 | ||
Analog Devices, Inc. | 1,759 | 209,040 | ||
Applied Materials, Inc. | 2,012 | 122,812 | ||
Arrow Electronics, Inc.* | 2,180 | 184,733 | ||
Autodesk, Inc.* | 155 | 28,436 | ||
Avnet, Inc. | 11,120 | 471,933 | ||
Broadcom, Inc. | 24,795 | 7,835,716 | ||
Cadence Design Systems, Inc.* | 32,241 | 2,236,236 | ||
Cisco Systems, Inc. | 249,727 | 11,976,907 |
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Shares | Value | |||
Citrix Systems, Inc. | 544 | $60,330 | ||
Cognizant Technology Solutions Corporation Class A | 3,431 | 212,791 | ||
Corning, Inc. | 122,975 | 3,579,802 | ||
Cypress Semiconductor Corporation | 120,279 | 2,806,109 | ||
Dell Technologies, Inc. Class C* | 387 | 19,888 | ||
Fidelity National Information Services, Inc. | 1,290 | 179,426 | ||
Fiserv, Inc.* | 8,100 | 936,603 | ||
Genpact, Ltd. | 2,114 | 89,147 | ||
HP, Inc. | 135,767 | 2,790,012 | ||
Intel Corporation | 51,304 | 3,070,544 | ||
International Business Machines Corporation | 28,090 | 3,765,184 | ||
Jabil, Inc. | 25,524 | 1,054,907 | ||
Maxim Integrated Products, Inc. | 84,900 | 5,222,199 | ||
Micron Technology, Inc.* | 14,110 | 758,836 | ||
Microsoft Corporation | 78,062 | 12,310,377 | ||
ON Semiconductor Corporation* | 55,100 | 1,343,338 | ||
Oracle Corporation | 239,387 | 12,682,723 | ||
QUALCOMM, Inc. | 96,804 | 8,541,017 | ||
Synopsys, Inc.* | 15,337 | 2,134,910 | ||
Texas Instruments, Inc. | 46,031 | 5,905,317 | ||
91,307,337 | ||||
Materials — 4.0% | ||||
Air Products & Chemicals, Inc. | 59,823 | 14,057,807 | ||
Cabot Corporation | 10,068 | 478,431 | ||
Corteva, Inc. | 531,585 | 15,713,653 | ||
Domtar Corporation | 5,122 | 195,865 | ||
Dow, Inc. | 4,898 | 268,067 | ||
DuPont de Nemours, Inc. | 125,673 | 8,068,207 | ||
Freeport-McMoRan, Inc.Δ | 219,472 | 2,879,473 | ||
Huntsman Corporation | 96,506 | 2,331,585 | ||
NewMarket Corporation | 1,026 | 499,169 | ||
PPG Industries, Inc. | 931 | 124,279 | ||
Reliance Steel & Aluminum Co. | 14,929 | 1,787,897 | ||
Silgan Holdings, Inc. | 10,008 | 311,049 | ||
Southern Copper CorporationΔ | 587 | 24,936 | ||
Steel Dynamics, Inc. | 39,087 | 1,330,521 | ||
48,070,939 | ||||
Real Estate — 2.6% | ||||
American Campus Communities, Inc. REIT | 29,371 | 1,381,318 | ||
Brandywine Realty Trust REIT | 9,323 | 146,837 | ||
CBRE Group, Inc. Class A* | 41,240 | 2,527,600 | ||
Corporate Office Properties Trust REIT | 39,350 | 1,156,103 | ||
Cousins Properties, Inc. REITΔ | 42,725 | 1,760,270 | ||
Douglas Emmett, Inc. REIT | 38,081 | 1,671,756 | ||
Hudson Pacific Properties, Inc. REIT | 8,987 | 338,361 | ||
Jones Lang LaSalle, Inc. | 19,220 | 3,346,010 | ||
Prologis, Inc. REIT | 3,910 | 348,537 | ||
Public Storage REIT | 313 | 66,657 | ||
Retail Properties of America, Inc. Class A REIT | 3,986 | 53,412 | ||
Simon Property Group, Inc. REIT | 25,773 | 3,839,146 | ||
Welltower, Inc. REIT | 106,000 | 8,668,680 |
Shares | Value | |||
Weyerhaeuser Co. REIT | 212,500 | $6,417,500 | ||
31,722,187 | ||||
Utilities — 4.4% | ||||
AES Corporation | 327,400 | 6,515,260 | ||
American Electric Power Co., Inc. | 4,103 | 387,774 | ||
Dominion Energy, Inc. | 56,379 | 4,669,309 | ||
DTE Energy Co. | 6,187 | 803,506 | ||
Duke Energy Corporation | 5,419 | 494,267 | ||
Edison International | 52,689 | 3,973,277 | ||
Exelon Corporation | 65,081 | 2,967,043 | ||
IDACORP, Inc. | 4,757 | 508,048 | ||
NextEra Energy, Inc. | 3,291 | 796,949 | ||
NRG Energy, Inc. | 2,547 | 101,243 | ||
Pinnacle West Capital Corporation | 166,700 | 14,991,331 | ||
PNM Resources, Inc. | 9,648 | 489,250 | ||
Portland General Electric Co. | 28,490 | 1,589,457 | ||
Public Service Enterprise Group, Inc. | 29,615 | 1,748,766 | ||
Sempra Energy | 10,638 | 1,611,444 | ||
Southern Co. (The) | 6,960 | 443,352 | ||
Xcel Energy, Inc.Δ | 184,700 | 11,726,603 | ||
53,816,879 | ||||
Total Common Stocks (Cost $855,208,634) | 1,007,181,219 | |||
FOREIGN COMMON STOCKS — 14.6% | ||||
Curacao — 1.1% | ||||
Schlumberger, Ltd. | 334,402 | 13,442,960 | ||
France — 1.7% | ||||
Sanofi ADRΔ | 114,529 | 5,749,356 | ||
TOTAL SA ADR | 265,400 | 14,676,620 | ||
20,425,976 | ||||
Germany — 0.8% | ||||
Siemens AG | 73,535 | 9,612,711 | ||
Ireland — 4.7% | ||||
Eaton Corporation PLC | 2,764 | 261,806 | ||
Jazz Pharmaceuticals PLC* | 15,317 | 2,286,522 | ||
Johnson Controls International PLC | 265,593 | 10,812,291 | ||
Linde PLC | 3,260 | 694,054 | ||
Medtronic PLC | 315,094 | 35,747,414 | ||
nVent Electric PLC | 274,522 | 7,022,273 | ||
56,824,360 | ||||
Japan — 0.5% | ||||
Honda Motor Co., Ltd. ADRΔ | 221,000 | 6,256,510 | ||
Netherlands — 0.3% | ||||
Koninklijke Philips NVΔ | 62,200 | 3,035,360 | ||
LyondellBasell Industries NV Class A | 1,867 | 176,394 | ||
3,211,754 | ||||
Singapore — 0.1% | ||||
Flex, Ltd.* | 152,200 | 1,920,764 | ||
Switzerland — 4.1% | ||||
Chubb, Ltd. | 117,732 | 18,326,163 | ||
Nestle SA | 69,214 | 7,493,535 | ||
Novartis AG ADR | 155,570 | 14,730,923 |
Table of Contents
Shares | Value | |||
TE Connectivity, Ltd. | 101,500 | $9,727,760 | ||
50,278,381 | ||||
United Kingdom — 1.3% | ||||
Mondi PLC | 367,800 | 8,635,406 | ||
Nielsen Holdings PLC | 336,507 | 6,831,092 | ||
15,466,498 | ||||
Total Foreign Common Stocks (Cost $164,386,190) | 177,439,914 | |||
MONEY MARKET FUNDS — 2.4% | ||||
GuideStone Money Market Fund, 1.53% (Institutional Class)Ø∞ | 28,844,651 | 28,844,651 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 1.57%ا | 993,789 | 993,789 | ||
Total Money Market Funds (Cost $29,838,439) | 29,838,440 |
Par | Value | |||
U.S. TREASURY OBLIGATION — 0.1% | ||||
U.S. Treasury Bill | ||||
1.52%, 05/07/20Ω‡‡ (Cost $696,232) | $700,000 | $696,279 | ||
TOTAL INVESTMENTS —100.0% (Cost $1,050,129,495) | 1,215,155,852 | |||
Liabilities in Excess of Other Assets — (0.0)% | (260,238) | |||
NET ASSETS — 100.0% | $1,214,895,614 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
Micro S&P 500® E-Mini | 03/2020 | 19 | $306,955 | $2,800 | ||||
S&P 500® E-Mini | 03/2020 | 109 | 17,609,495 | 325,041 | ||||
Total Futures Contracts outstanding at December 31, 2019 | $17,916,450 | $327,841 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
03/31/20 | Swiss Francs | 828,276 | U.S. Dollars | 850,941 | UBS | $10,516 | ||||||
03/31/20 | British Pounds | 292,036 | U.S. Dollars | 381,366 | JPM | 6,439 | ||||||
Subtotal Appreciation | $16,955 | |||||||||||
03/31/20 | U.S. Dollars | 6,176,034 | Japanese Yen | 671,877,803 | BOA | $(39,939) | ||||||
03/31/20 | U.S. Dollars | 8,676,748 | British Pounds | 6,588,956 | JPM | (72,955) | ||||||
03/31/20 | U.S. Dollars | 23,747,489 | Euro | 21,156,422 | CS | (120,776) | ||||||
03/31/20 | U.S. Dollars | 22,649,067 | Swiss Francs | 22,038,599 | UBS | (272,417) | ||||||
Subtotal Depreciation | $(506,087) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at December 31, 2019 | $(489,132) |
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $1,007,181,219 | $1,007,181,219 | $— | $— | |||
Foreign Common Stocks: | |||||||
Germany | 9,612,711 | — | 9,612,711 | — | |||
Switzerland | 50,278,381 | 42,784,846 | 7,493,535 | — | |||
Other | 117,548,822 | 117,548,822 | — | — | |||
Total Foreign Common Stocks | 177,439,914 | 160,333,668 | 17,106,246 | — | |||
Money Market Funds | 29,838,440 | 29,838,440 | — | — | |||
U.S. Treasury Obligation | 696,279 | — | 696,279 | — | |||
Total Assets - Investments in Securities | $1,215,155,852 | $1,197,353,327 | $17,802,525 | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $16,955 | $— | $16,955 | $— | |||
Futures Contracts | 327,841 | 327,841 | — | — | |||
Total Assets - Other Financial Instruments | $344,796 | $327,841 | $16,955 | $ — | |||
Liabilities: | |||||||
Other Financial Instruments | |||||||
Forward Foreign Currency Contracts | $(506,087) | $— | $(506,087) | $— | |||
Total Liabilities - Other Financial Instruments | $(506,087) | $ — | $(506,087) | $ — |
*** | 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 "Forwards Foreign Currency Contracts outstanding" disclosures. |
Table of Contents
% | |
Information Technology | 33.3 |
Health Care | 15.2 |
Consumer Discretionary | 14.0 |
Communication Services | 12.7 |
Industrials | 8.1 |
Consumer Staples | 6.6 |
Money Market Funds | 4.0 |
Financials | 2.8 |
Materials | 1.8 |
Real Estate | 1.3 |
Energy | 1.0 |
U.S. Treasury Obligation | 0.1 |
100.9 |
Table of Contents
Average Annual Total Returns as of 12/31/19 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | 34.79% | 34.42% | 36.39% | ||||
Five Year | 13.59% | 13.29% | 14.62% | ||||
Ten year | 14.51% | 14.27% | 15.21% | ||||
Since Inception | 7.73% | 7.56% | 8.36% | ||||
Inception Date | 08/27/01 | 08/27/01 | |||||
Total Fund Operating Expenses (April 30, 2019 Prospectus)(1) | 0.72% | 0.98% |
(1) | Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights. |
Table of Contents
Shares | Value | |||
COMMON STOCKS — 89.2% | ||||
Communication Services — 12.7% | ||||
Activision Blizzard, Inc. | 58,900 | $3,499,838 | ||
Alphabet, Inc. Class A* | 26,684 | 35,740,283 | ||
Alphabet, Inc. Class C* | 33,896 | 45,319,630 | ||
Comcast Corporation Class A | 254,239 | 11,433,128 | ||
Electronic Arts, Inc.* | 92,971 | 9,995,312 | ||
Facebook, Inc. Class A* | 352,426 | 72,335,436 | ||
Match Group, Inc.Δ* | 136,100 | 11,175,171 | ||
Netflix, Inc.* | 31,179 | 10,088,589 | ||
Sea, Ltd. ADRΔ* | 28,500 | 1,146,270 | ||
Walt Disney Co. (The) | 104,177 | 15,067,120 | ||
215,800,777 | ||||
Consumer Discretionary — 10.5% | ||||
Advance Auto Parts, Inc. | 56,520 | 9,052,243 | ||
Amazon.com, Inc.* | 54,968 | 101,572,069 | ||
Booking Holdings, Inc.* | 7,472 | 15,345,471 | ||
Floor & Decor Holdings, Inc. Class A* | 90,030 | 4,574,424 | ||
Home Depot, Inc. (The) | 50,216 | 10,966,170 | ||
Starbucks Corporation | 132,488 | 11,648,345 | ||
TJX Cos., Inc. (The) | 140,679 | 8,589,860 | ||
Yum China Holdings, Inc. | 147,146 | 7,064,479 | ||
Yum! Brands, Inc. | 94,793 | 9,548,499 | ||
178,361,560 | ||||
Consumer Staples — 5.9% | ||||
Coca-Cola Co. (The) | 235,030 | 13,008,911 | ||
Colgate-Palmolive Co. | 257,492 | 17,725,749 | ||
Costco Wholesale Corporation | 57,032 | 16,762,845 | ||
Estee Lauder Cos., Inc. (The) Class A | 49,503 | 10,224,350 | ||
McCormick & Co., Inc. (Non-Voting Shares) | 34,758 | 5,899,475 | ||
Monster Beverage Corporation* | 358,476 | 22,781,150 | ||
Procter & Gamble Co. (The) | 113,754 | 14,207,875 | ||
100,610,355 | ||||
Energy — 0.4% | ||||
Pioneer Natural Resources Co. | 46,666 | 7,063,832 | ||
Financials — 2.8% | ||||
American Express Co. | 92,361 | 11,498,021 | ||
BlackRock, Inc. | 5,724 | 2,877,455 | ||
Charles Schwab Corporation (The) | 233,928 | 11,125,616 | ||
FactSet Research Systems, Inc.Δ | 35,272 | 9,463,478 | ||
SEI Investments Co. | 194,147 | 12,712,745 | ||
47,677,315 | ||||
Health Care — 13.5% | ||||
ABIOMED, Inc.* | 11,050 | 1,885,019 | ||
Alexion Pharmaceuticals, Inc.* | 74,282 | 8,033,598 | ||
Align Technology, Inc.* | 17,400 | 4,855,296 | ||
Amgen, Inc. | 46,015 | 11,092,836 | ||
BioMarin Pharmaceutical, Inc.* | 71,027 | 6,005,333 | ||
Cerner Corporation | 154,802 | 11,360,919 | ||
Danaher Corporation | 56,170 | 8,620,972 | ||
DexCom, Inc.* | 47,996 | 10,498,645 | ||
Edwards Lifesciences Corporation* | 68,238 | 15,919,243 | ||
Illumina, Inc.* | 45,434 | 15,072,275 |
Shares | Value | |||
Intuitive Surgical, Inc.* | 18,716 | $11,063,963 | ||
Johnson & Johnson | 71,096 | 10,370,774 | ||
Mirati Therapeutics, Inc.Δ* | 20,753 | 2,674,232 | ||
Regeneron Pharmaceuticals, Inc.* | 43,429 | 16,306,721 | ||
Sarepta Therapeutics, Inc.Δ* | 25,214 | 3,253,615 | ||
Thermo Fisher Scientific, Inc. | 85,796 | 27,872,547 | ||
UnitedHealth Group, Inc. | 68,425 | 20,115,581 | ||
Varian Medical Systems, Inc.* | 44,484 | 6,317,173 | ||
Zoetis, Inc. | 281,164 | 37,212,055 | ||
228,530,797 | ||||
Industrials — 8.1% | ||||
BWX Technologies, Inc. | 85,112 | 5,283,753 | ||
C.H. Robinson Worldwide, Inc. | 51,323 | 4,013,459 | ||
Cintas Corporation | 35,537 | 9,562,296 | ||
CoStar Group, Inc.* | 17,941 | 10,734,100 | ||
Deere & Co. | 79,368 | 13,751,300 | ||
Expeditors International of Washington, Inc. | 197,302 | 15,393,502 | ||
Fortive Corporation | 119,578 | 9,134,563 | ||
Honeywell International, Inc. | 67,744 | 11,990,688 | ||
IHS Markit, Ltd.* | 141,770 | 10,682,369 | ||
L3Harris Technologies, Inc. | 25,570 | 5,059,536 | ||
Roper Technologies, Inc. | 31,683 | 11,223,069 | ||
Uber Technologies, Inc.* | 236,990 | 7,048,083 | ||
United Parcel Service, Inc. Class B | 108,322 | 12,680,173 | ||
W.W. Grainger, Inc. | 34,815 | 11,785,574 | ||
138,342,465 | ||||
Information Technology — 32.7% | ||||
Adobe, Inc.* | 104,559 | 34,484,604 | ||
Akamai Technologies, Inc.* | 127,981 | 11,054,999 | ||
Amphenol Corporation Class A | 82,654 | 8,945,642 | ||
Apple, Inc. | 173,840 | 51,048,116 | ||
Autodesk, Inc.* | 197,992 | 36,323,612 | ||
Automatic Data Processing, Inc. | 33,884 | 5,777,222 | ||
Cisco Systems, Inc. | 264,238 | 12,672,855 | ||
Fidelity National Information Services, Inc. | 60,920 | 8,473,363 | ||
Genpact, Ltd. | 211,223 | 8,907,274 | ||
Intuit, Inc. | 68,832 | 18,029,166 | ||
Microsoft Corporation | 490,110 | 77,290,347 | ||
Nutanix, Inc. Class A* | 152,092 | 4,754,396 | ||
NVIDIA Corporation | 113,538 | 26,715,491 | ||
Oracle Corporation | 637,462 | 33,772,737 | ||
Palo Alto Networks, Inc.* | 39,440 | 9,120,500 | ||
PayPal Holdings, Inc.* | 90,586 | 9,798,688 | ||
QUALCOMM, Inc. | 319,357 | 28,176,868 | ||
salesforce.com, Inc.* | 137,752 | 22,403,985 | ||
ServiceNow, Inc.* | 47,700 | 13,466,664 | ||
Splunk, Inc.* | 67,385 | 10,092,251 | ||
Texas Instruments, Inc. | 100,970 | 12,953,441 | ||
TiVo Corporation | 7 | 59 | ||
Twilio, Inc. Class AΔ* | 22,200 | 2,181,816 | ||
Visa, Inc. Class AΔ | 513,685 | 96,521,412 | ||
VMware, Inc. Class A | 55,174 | 8,374,861 | ||
Workday, Inc. Class A* | 19,700 | 3,239,665 | ||
554,580,034 |
Table of Contents
Shares | Value | |||
Materials — 1.3% | ||||
Ecolab, Inc. | 48,850 | $9,427,561 | ||
Sherwin-Williams Co. (The) | 20,246 | 11,814,351 | ||
21,241,912 | ||||
Real Estate — 1.3% | ||||
Equinix, Inc. REIT | 17,211 | 10,046,061 | ||
SBA Communications Corporation REIT | 52,378 | 12,622,574 | ||
22,668,635 | ||||
Total Common Stocks (Cost $980,336,796) | 1,514,877,682 | |||
FOREIGN COMMON STOCKS — 7.6% | ||||
China — 3.5% | ||||
Alibaba Group Holding, Ltd. ADR* | 281,487 | 59,703,393 | ||
Curacao — 0.6% | ||||
Schlumberger, Ltd. | 236,701 | 9,515,380 | ||
France — 0.7% | ||||
Danone SA ADR | 721,417 | 11,896,166 | ||
Ireland — 0.5% | ||||
Linde PLC | 40,582 | 8,639,908 | ||
Netherlands — 0.5% | ||||
NXP Semiconductor NV | 61,267 | 7,796,839 | ||
Switzerland — 1.7% | ||||
Alcon, Inc.* | 1,524 | 86,212 | ||
Novartis AG ADR | 133,401 | 12,631,741 | ||
Roche Holding AG ADRΔ | 393,303 | 15,991,700 | ||
28,709,653 |
Shares | Value | |||
United Kingdom — 0.1% | ||||
Atlassian Corporation PLC Class A* | 20,400 | $2,454,936 | ||
Total Foreign Common Stocks (Cost $99,566,883) | 128,716,275 | |||
MONEY MARKET FUNDS — 4.0% | ||||
GuideStone Money Market Fund, 1.53% (Institutional Class)Ø∞ | 52,530,177 | 52,530,177 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 1.57%ا | 13,382,687 | 13,382,687 | ||
Northern Institutional U.S. Government Portfolio (Shares), 1.48%Ø | 2,306,677 | 2,306,677 | ||
Total Money Market Funds (Cost $68,219,541) | 68,219,541 |
Par | |||
U.S. TREASURY OBLIGATION — 0.1% | |||
U.S. Treasury Bill | |||
1.52%, 05/07/20Ω‡‡ (Cost $2,387,080) | $2,400,000 | 2,387,243 | |
TOTAL INVESTMENTS —100.9% (Cost $1,150,510,300) | 1,714,200,741 | ||
Liabilities in Excess of Other Assets — (0.9)% | (16,051,189) | ||
NET ASSETS — 100.0% | $1,698,149,552 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 03/2020 | 204 | $32,957,220 | $609,921 |
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $1,514,877,682 | $1,514,877,682 | $— | $— | |||
Foreign Common Stocks | 128,716,275 | 128,716,275 | — | — | |||
Money Market Funds | 68,219,541 | 68,219,541 | — | — | |||
U.S. Treasury Obligation | 2,387,243 | — | 2,387,243 | — | |||
Total Assets - Investments in Securities | $1,714,200,741 | $1,711,813,498 | $2,387,243 | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $609,921 | $609,921 | $— | $— | |||
Total Assets - Other Financial Instruments | $609,921 | $609,921 | $ — | $ — |
*** | 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. |
Table of Contents
% | |
Information Technology | 18.8 |
Financials | 16.5 |
Industrials | 15.9 |
Health Care | 14.0 |
Consumer Discretionary | 9.6 |
Real Estate | 7.1 |
Money Market Funds | 4.7 |
Materials | 4.5 |
Utilities | 3.3 |
Energy | 3.0 |
Communication Services | 2.6 |
Consumer Staples | 2.0 |
U.S. Treasury Obligation | 0.1 |
102.1 |
Table of Contents
Average Annual Total Returns as of 12/31/19 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | 25.29% | 24.97% | 25.52% | ||||
Five Year | 6.66% | 6.38% | 8.22% | ||||
Ten year | 11.48% | 11.23% | 11.82% | ||||
Since Inception | 7.55% | 7.34% | 8.46% | ||||
Inception Date | 08/27/01 | 08/27/01 | |||||
Total Fund Operating Expenses (April 30, 2019 Prospectus)(1) | 1.00% | 1.26% |
(1) | Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights. |
Table of Contents
Shares | Value | |||
COMMON STOCKS — 93.3% | ||||
Communication Services — 2.1% | ||||
AMC Networks, Inc. Class A* | 7,748 | $306,046 | ||
ATN International, Inc.Δ | 15,404 | 853,228 | ||
Care.com, Inc.* | 1,007 | 15,135 | ||
Cogent Communications Holdings, Inc.Δ | 29,000 | 1,908,490 | ||
comScore, Inc.Δ* | 120,581 | 595,670 | ||
DHI Group, Inc.* | 54,461 | 163,928 | ||
Emerald Expositions Events, Inc. | 8,490 | 89,569 | ||
Liberty Latin America, Ltd. Class C* | 45,148 | 878,580 | ||
Liberty TripAdvisor Holdings, Inc. Class AΔ* | 4,369 | 32,112 | ||
Madison Square Garden Co. (The) Class A* | 930 | 273,597 | ||
Marchex, Inc. Class BΔ* | 63,168 | 238,775 | ||
Meet Group, Inc. (The)Δ* | 145,288 | 727,893 | ||
MSG Networks, Inc. Class AΔ* | 23,879 | 415,495 | ||
Nexstar Media Group, Inc. Class AΔ | 6,768 | 793,548 | ||
Scholastic Corporation | 15,992 | 614,892 | ||
Shenandoah Telecommunications Co.Δ | 54,885 | 2,283,765 | ||
Telephone & Data Systems, Inc. | 37,446 | 952,252 | ||
Tribune Publishing Co. | 7,850 | 103,306 | ||
TrueCar, Inc.* | 68,983 | 327,669 | ||
Yelp, Inc.* | 26,698 | 929,891 | ||
Zynga, Inc. Class A* | 37,871 | 231,771 | ||
12,735,612 | ||||
Consumer Discretionary — 9.6% | ||||
Adtalem Global Education, Inc.* | 3,800 | 132,886 | ||
American Axle & Manufacturing Holdings, Inc.Δ* | 95,654 | 1,029,237 | ||
American Eagle Outfitters, Inc. | 100,072 | 1,471,058 | ||
American Public Education, Inc.* | 21,003 | 575,272 | ||
Asbury Automotive Group, Inc.* | 9,431 | 1,054,291 | ||
AutoNation, Inc.* | 6,697 | 325,675 | ||
Bassett Furniture Industries, Inc. | 4,291 | 71,574 | ||
BBX Capital Corporation | 61,563 | 293,656 | ||
Big Lots, Inc.Δ | 2,630 | 75,534 | ||
Callaway Golf Co. | 95,600 | 2,026,720 | ||
Carriage Services, Inc.Δ | 24,686 | 631,962 | ||
Cheesecake Factory, Inc. (The)Δ | 35,077 | 1,363,092 | ||
Chegg, Inc.* | 93,358 | 3,539,202 | ||
Chuy's Holdings, Inc.* | 17,586 | 455,829 | ||
Collectors Universe, Inc. | 8,702 | 200,581 | ||
Cooper-Standard Holdings, Inc.* | 30,203 | 1,001,531 | ||
Deckers Outdoor Corporation* | 5,074 | 856,796 | ||
Dick's Sporting Goods, Inc.Δ | 23,955 | 1,185,533 | ||
Fiesta Restaurant Group, Inc.Δ* | 37,977 | 375,593 | ||
Five Below, Inc.* | 7,955 | 1,017,126 | ||
Floor & Decor Holdings, Inc. Class A* | 39,900 | 2,027,319 | ||
GoPro, Inc. Class AΔ* | 101,400 | 440,076 | ||
Green Brick Partners, Inc.* | 33,914 | 389,333 | ||
Group 1 Automotive, Inc. | 8,463 | 846,300 | ||
H&R Block, Inc.Δ | 4,795 | 112,587 |
Shares | Value | |||
Habit Restaurants, Inc. (The) Class AΔ* | 21,341 | $222,587 | ||
Hibbett Sports, Inc.Δ* | 22,928 | 642,901 | ||
Hilton Grand Vacations, Inc.* | 45,100 | 1,550,989 | ||
Hooker Furniture CorporationΔ | 14,735 | 378,542 | ||
Houghton Mifflin Harcourt Co.Δ* | 93,986 | 587,413 | ||
Hudson, Ltd. Class A* | 146,200 | 2,242,708 | ||
J.C. Penney Co., Inc.Δ* | 302,820 | 339,158 | ||
Jack in the Box, Inc.Δ | 23,400 | 1,825,902 | ||
K12, Inc.* | 9,266 | 188,563 | ||
Lithia Motors, Inc. Class A | 2,341 | 344,127 | ||
M/I Homes, Inc.* | 24,307 | 956,480 | ||
Malibu Boats, Inc. Class A* | 58,988 | 2,415,559 | ||
MarineMax, Inc.* | 4,000 | 66,760 | ||
Meritage Homes Corporation* | 12,197 | 745,359 | ||
Modine Manufacturing Co.* | 46,200 | 355,740 | ||
Monro, Inc.Δ | 28,150 | 2,201,330 | ||
National Vision Holdings, Inc.Δ* | 89,100 | 2,889,513 | ||
Nautilus, Inc.Δ* | 33,300 | 58,275 | ||
Office Depot, Inc. | 109,752 | 300,720 | ||
Ollie's Bargain Outlet Holdings, Inc.Δ* | 26,700 | 1,743,777 | ||
OneSpaWorld Holdings, Ltd.Δ* | 120,600 | 2,030,904 | ||
Potbelly Corporation* | 35,910 | 151,540 | ||
PulteGroup, Inc. | 17,406 | 675,353 | ||
Quotient Technology, Inc.Δ* | 46,259 | 456,114 | ||
Regis CorporationΔ* | 34,305 | 613,030 | ||
Rocky Brands, Inc. | 4,140 | 121,840 | ||
Sally Beauty Holdings, Inc.Δ* | 11,772 | 214,839 | ||
Signet Jewelers, Ltd.Δ | 2,205 | 47,937 | ||
Steven Madden, Ltd. | 62,949 | 2,707,436 | ||
Strategic Education, Inc.Δ | 22,300 | 3,543,470 | ||
Taylor Morrison Home Corporation Class A* | 103,013 | 2,251,864 | ||
Tenneco, Inc. Class AΔ | 45,300 | 593,430 | ||
TRI Pointe Group, Inc.* | 4,640 | 72,291 | ||
Vista Outdoor, Inc.* | 131,603 | 984,390 | ||
Wendy's Co. (The) | 46,251 | 1,027,235 | ||
Wingstop, Inc. | 1,100 | 94,853 | ||
57,141,692 | ||||
Consumer Staples — 2.0% | ||||
BJ's Wholesale Club Holdings, Inc.* | 101,800 | 2,314,932 | ||
Central Garden & Pet Co. Class A* | 20,154 | 591,721 | ||
Edgewell Personal Care Co.* | 17,500 | 541,800 | ||
Farmer Brothers, Co.Δ* | 11,403 | 171,729 | ||
Flowers Foods, Inc. | 53,912 | 1,172,047 | ||
Fresh Del Monte Produce, Inc. | 15,462 | 540,861 | ||
Ingles Markets, Inc. Class AΔ | 17,161 | 815,319 | ||
Ingredion, Inc. | 13,686 | 1,272,114 | ||
J&J Snack Foods Corporation | 8,654 | 1,594,672 | ||
Lifevantage Corporation* | 21,752 | 339,549 | ||
Post Holdings, Inc.* | 800 | 87,280 | ||
Simply Good Foods Co. (The)* | 72,900 | 2,080,566 | ||
SpartanNash Co.Δ | 21,700 | 309,008 | ||
11,831,598 |
Table of Contents
Shares | Value | |||
Energy — 3.0% | ||||
Amplify Energy CorporationΔ | 9,326 | $61,645 | ||
Apergy CorporationΔ* | 43,800 | 1,479,564 | ||
Arch Coal, Inc. Class AΔ | 17,580 | 1,261,189 | ||
Berry Petroleum Corporation | 86,808 | 818,600 | ||
Cactus, Inc. Class A | 30,300 | 1,039,896 | ||
Callon Petroleum Co.Δ* | 56,306 | 271,959 | ||
CONSOL Energy, Inc.Δ* | 21,883 | 317,522 | ||
Delek US Holdings, Inc. | 59,043 | 1,979,712 | ||
DHT Holdings, Inc.Δ | 4,668 | 38,651 | ||
Dorian LPG, Ltd.* | 4,828 | 74,738 | ||
Exterran Corporation* | 20,245 | 158,518 | ||
Forum Energy Technologies, Inc.* | 1,844 | 3,098 | ||
Gran Tierra Energy, Inc.Δ* | 132,517 | 170,947 | ||
Green Plains, Inc.Δ | 54,672 | 843,589 | ||
Gulf Island Fabrication, Inc.* | 2,060 | 10,444 | ||
Gulfport Energy CorporationΔ* | 23,801 | 72,355 | ||
Hallador Energy Co. | 2,900 | 8,613 | ||
HollyFrontier Corporation | 11,986 | 607,810 | ||
International Seaways, Inc.* | 3,837 | 114,189 | ||
Matador Resources Co.Δ* | 78,800 | 1,416,036 | ||
Matrix Service Co.* | 19,400 | 443,872 | ||
NexTier Oilfield Solutions, Inc.* | 74,842 | 501,441 | ||
Overseas Shipholding Group, Inc. Class A* | 138,146 | 317,736 | ||
Par Pacific Holdings, Inc.* | 52,918 | 1,229,814 | ||
Parker Drilling Co.Δ* | 1,400 | 31,500 | ||
Patterson-UTI Energy, Inc.Δ | 48,672 | 511,056 | ||
Peabody Energy CorporationΔ | 39,000 | 355,680 | ||
Renewable Energy Group, Inc.Δ* | 26,300 | 708,785 | ||
SEACOR Holdings, Inc.* | 10,900 | 470,335 | ||
SFL Corporation, Ltd.Δ | 3,237 | 47,066 | ||
Southwestern Energy Co.Δ* | 81,232 | 196,582 | ||
SRC Energy, Inc.* | 21,502 | 88,588 | ||
Talos Energy, Inc.* | 18,498 | 557,715 | ||
Teekay Tankers, Ltd. Class A* | 8,532 | 204,512 | ||
World Fuel Services Corporation | 34,965 | 1,518,180 | ||
17,931,937 | ||||
Financials — 16.5% | ||||
1st Source Corporation | 15,402 | 799,056 | ||
Alleghany Corporation* | 1,224 | 978,674 | ||
Amalgamated Bank Class A | 9,600 | 186,720 | ||
American Equity Investment Life Holding Co. | 77,867 | 2,330,559 | ||
AMERISAFE, Inc.Δ | 11,100 | 732,933 | ||
Assured Guaranty, Ltd. | 24,417 | 1,196,921 | ||
Athene Holding, Ltd. Class A* | 22,930 | 1,078,398 | ||
Atlantic Capital Bancshares, Inc.* | 9,400 | 172,490 | ||
AXA Equitable Holdings, Inc. | 22,029 | 545,879 | ||
BancFirst CorporationΔ | 9,100 | 568,204 | ||
Bancorp, Inc. (The)* | 98,989 | 1,283,887 | ||
Bank of Commerce Holdings | 2,061 | 23,846 | ||
Bank of Marin BancorpΔ | 6,260 | 282,013 | ||
BankFinancial Corporation | 3,900 | 51,012 | ||
Banner Corporation | 14,600 | 826,214 | ||
BCB Bancorp, Inc. | 18,439 | 254,274 | ||
Bridge Bancorp, Inc. | 16,536 | 554,452 |
Shares | Value | |||
Bridgewater Bancshares, Inc.* | 10,414 | $143,505 | ||
Brighthouse Financial, Inc.* | 33,177 | 1,301,534 | ||
Bryn Mawr Bank Corporation | 19,661 | 810,820 | ||
C&F Financial Corporation | 2,822 | 156,141 | ||
Capital City Bank Group, Inc.Δ | 4,100 | 125,050 | ||
Capstar Financial Holdings, Inc. | 5,547 | 92,358 | ||
Carter Bank & TrustΔ* | 2,598 | 61,625 | ||
CBTX, Inc. | 2,700 | 84,024 | ||
CenterState Bank Corporation | 68,959 | 1,722,596 | ||
Central Pacific Financial Corporation | 52,882 | 1,564,250 | ||
Central Valley Community Bancorp | 5,300 | 114,851 | ||
Century Bancorp, Inc. Class A | 3,277 | 294,799 | ||
Chemung Financial Corporation | 736 | 31,280 | ||
CIT Group, Inc. | 4,900 | 223,587 | ||
City Holding Co.Δ | 12,917 | 1,058,548 | ||
Civista Bancshares, Inc. | 5,887 | 141,288 | ||
Coastal Financial CorporationΔ* | 1,289 | 21,230 | ||
Community Trust Bancorp, Inc. | 6,200 | 289,168 | ||
Cowen, Inc. Class AΔ* | 7,391 | 116,408 | ||
Customers Bancorp, Inc.* | 30,529 | 726,895 | ||
Donegal Group, Inc. Class A | 1,700 | 25,194 | ||
Donnelley Financial Solutions, Inc.Δ* | 25,277 | 264,650 | ||
Eagle Bancorp, Inc. | 26,704 | 1,298,616 | ||
East West Bancorp, Inc.Δ | 12,600 | 613,620 | ||
eHealth, Inc.* | 13,500 | 1,297,080 | ||
Enova International, Inc.* | 2,700 | 64,962 | ||
Enterprise Financial Services Corporation | 14,800 | 713,508 | ||
Essent Group, Ltd. | 37,224 | 1,935,276 | ||
Evercore, Inc. Class A | 25,700 | 1,921,332 | ||
FB Financial CorporationΔ | 5,446 | 215,607 | ||
FedNat Holding Co. | 6,279 | 104,420 | ||
Financial Institutions, Inc. | 23,991 | 770,111 | ||
First American Financial Corporation | 1,770 | 103,226 | ||
First Bancorp | 41,405 | 1,652,474 | ||
First BanCorp (New York Exchange) | 115,400 | 1,222,086 | ||
First Business Financial Services, Inc.Δ | 4,500 | 118,485 | ||
First Citizens BancShares, Inc. Class AΔ | 1,270 | 675,907 | ||
First Commonwealth Financial Corporation | 35,100 | 509,301 | ||
First Defiance Financial CorporationΔ | 9,800 | 308,602 | ||
First Financial Bancorp | 71,931 | 1,829,925 | ||
First Financial Corporation | 3,100 | 141,732 | ||
First Hawaiian, Inc. | 800 | 23,080 | ||
First Interstate BancSystem, Inc. Class A | 31,561 | 1,323,037 | ||
First Merchants Corporation | 5,100 | 212,109 | ||
First Midwest Bancorp, Inc. | 27,300 | 629,538 | ||
Flagstar Bancorp, Inc.Δ | 29,724 | 1,136,943 | ||
Focus Financial Partners, Inc. Class A* | 124,600 | 3,671,962 | ||
Great Southern Bancorp, Inc. | 3,800 | 240,616 | ||
Great Western Bancorp, Inc. | 53,073 | 1,843,756 | ||
Green Dot Corporation Class A* | 26,500 | 617,450 | ||
Guaranty Bancshares, Inc.Δ | 1,600 | 52,608 | ||
Hallmark Financial Services, Inc.* | 45,980 | 807,869 |
Table of Contents
Shares | Value | |||
Hamilton Lane, Inc. Class A | 54,858 | $3,269,537 | ||
Hancock Whitney Corporation | 17,800 | 781,064 | ||
Hanover Insurance Group, Inc. (The) | 9,318 | 1,273,491 | ||
HCI Group, Inc.Δ | 10,620 | 484,803 | ||
Heartland Financial USA, Inc. | 4,900 | 243,726 | ||
Heritage Financial CorporationΔ | 5,300 | 149,990 | ||
Heritage Insurance Holdings, Inc. | 24,800 | 328,600 | ||
Home Bancorp, Inc. | 500 | 19,595 | ||
HomeStreet, Inc.* | 20,601 | 700,434 | ||
HomeTrust Bancshares, Inc. | 7,260 | 194,786 | ||
Houlihan Lokey, Inc. | 48,400 | 2,365,308 | ||
IBERIABANK Corporation | 7,100 | 531,293 | ||
Independent Bank Corporation | 17,414 | 1,449,715 | ||
Independent Bank Corporation (Berlin Exchange) | 18,032 | 408,425 | ||
Independent Bank Group, Inc. | 30,733 | 1,703,837 | ||
Kemper Corporation | 7,365 | 570,787 | ||
LendingClub Corporation* | 64,257 | 810,923 | ||
LendingTree, Inc.Δ* | 1,977 | 599,901 | ||
Macatawa Bank CorporationΔ | 7,300 | 81,249 | ||
Marlin Business Services Corporation | 2,100 | 46,158 | ||
Mercantile Bank Corporation | 200 | 7,294 | ||
Merchants Bancorp | 6,686 | 131,781 | ||
Meridian Bancorp, Inc. | 11,200 | 225,008 | ||
Metropolitan Bank Holding Corporation* | 3,089 | 148,982 | ||
MGIC Investment Corporation | 147,084 | 2,084,180 | ||
Mid Penn Bancorp, Inc. | 5,310 | 152,928 | ||
MidWestOne Financial Group, Inc. | 5,929 | 214,808 | ||
National General Holdings Corporation | 26,800 | 592,280 | ||
Navient Corporation | 85,039 | 1,163,334 | ||
Nelnet, Inc. Class A | 7,876 | 458,698 | ||
Nicolet Bankshares, Inc.Δ* | 3,500 | 258,475 | ||
Northrim BanCorp, Inc. | 5,551 | 212,603 | ||
OFG Bancorp | 16,518 | 389,990 | ||
Old National BancorpΔ | 100,549 | 1,839,041 | ||
Old Republic International Corporation | 16,512 | 369,373 | ||
Old Second Bancorp, Inc. | 1,300 | 17,511 | ||
OP Bancorp | 3,100 | 32,147 | ||
Opus Bank | 13,222 | 342,053 | ||
Pacific Premier Bancorp, Inc. | 5,317 | 173,361 | ||
Park National Corporation | 3,766 | 385,563 | ||
Peapack Gladstone Financial Corporation | 10,348 | 319,753 | ||
Peoples Bancorp, Inc. | 2,400 | 83,184 | ||
People's Utah BancorpΔ | 3,400 | 102,408 | ||
Popular, Inc. | 20,262 | 1,190,392 | ||
Primerica, Inc. | 4,035 | 526,810 | ||
Protective Insurance Corporation Class BΔ | 2,100 | 33,789 | ||
QCR Holdings, Inc. | 9,799 | 429,784 | ||
Radian Group, Inc. | 50,569 | 1,272,316 | ||
Regional Management CorporationΔ* | 4,133 | 124,114 | ||
Reinsurance Group of America, Inc. | 4,738 | 772,578 | ||
Republic First Bancorp, Inc.* | 9,729 | 40,667 | ||
Riverview Bancorp, Inc. | 23,049 | 189,232 |
Shares | Value | |||
Santander Consumer USA Holdings, Inc. | 39,520 | $923,582 | ||
Selective Insurance Group, Inc. | 21,595 | 1,407,778 | ||
Shore Bancshares, Inc. | 2,900 | 50,344 | ||
Sierra Bancorp | 19,397 | 564,841 | ||
SmartFinancial, Inc. | 3,500 | 82,775 | ||
South State CorporationΔ | 2,000 | 173,500 | ||
State Auto Financial CorporationΔ | 2,000 | 62,040 | ||
Stewart Information Services CorporationΔ | 27,180 | 1,108,672 | ||
Stifel Financial Corporation | 34,248 | 2,077,141 | ||
Territorial Bancorp, Inc.Δ | 1,900 | 58,786 | ||
Texas Capital Bancshares, Inc.* | 3,100 | 175,987 | ||
Third Point Reinsurance, Ltd.* | 50,277 | 528,914 | ||
TriCo Bancshares | 14,000 | 571,340 | ||
TriState Capital Holdings, Inc.Δ* | 4,945 | 129,163 | ||
TrustCo Bank Corporation | 57,000 | 494,190 | ||
UMB Financial CorporationΔ | 12,600 | 864,864 | ||
Umpqua Holdings Corporation | 66,278 | 1,173,121 | ||
United Community Banks, Inc. | 44,395 | 1,370,918 | ||
United Community Financial Corporation | 9,993 | 116,518 | ||
United Insurance Holdings Corporation | 12,926 | 162,997 | ||
Valley National Bancorp | 153,784 | 1,760,827 | ||
Voya Financial, Inc. | 27,853 | 1,698,476 | ||
Waddell & Reed Financial, Inc. Class AΔ | 74,100 | 1,238,952 | ||
Washington Federal, Inc. | 21,000 | 769,650 | ||
WesBanco, Inc. | 20,707 | 782,518 | ||
Wintrust Financial Corporation | 4,200 | 297,780 | ||
WisdomTree Investments, Inc. | 209,700 | 1,014,948 | ||
WSFS Financial Corporation | 22,040 | 969,540 | ||
98,218,792 | ||||
Health Care — 12.5% | ||||
Acceleron Pharma, Inc.* | 39,200 | 2,078,384 | ||
Acorda Therapeutics, Inc.* | 103,000 | 210,120 | ||
Adamas Pharmaceuticals, Inc.Δ* | 65,016 | 246,411 | ||
Adaptive Biotechnologies CorporationΔ* | 54,600 | 1,633,632 | ||
Addus HomeCare Corporation* | 39,400 | 3,830,468 | ||
Aduro Biotech, Inc.* | 2,500 | 2,950 | ||
Agios Pharmaceuticals, Inc.Δ* | 24,548 | 1,172,167 | ||
Akorn, Inc.* | 29,491 | 44,237 | ||
Allscripts Healthcare Solutions, Inc.* | 123,864 | 1,215,725 | ||
AMAG Pharmaceuticals, Inc.Δ* | 35,342 | 430,112 | ||
Anika Therapeutics, Inc.* | 18,653 | 967,158 | ||
Applied Genetic Technologies CorporationΔ* | 6,200 | 28,024 | ||
Aptinyx, Inc.Δ* | 10,500 | 35,910 | ||
Assertio Therapeutics, Inc.Δ* | 138,900 | 173,625 | ||
Beyondspring, Inc.Δ* | 4,906 | 76,043 | ||
BioCryst Pharmaceuticals, Inc.Δ* | 69,158 | 238,595 | ||
BioSpecifics Technologies Corporation* | 5,771 | 328,601 | ||
Blueprint Medicines Corporation* | 30,900 | 2,475,399 | ||
Bridgebio Pharma, Inc.Δ* | 25,300 | 886,765 |
Table of Contents
Shares | Value | |||
Brookdale Senior Living, Inc.* | 51,800 | $376,586 | ||
Chimerix, Inc.Δ* | 45,100 | 91,553 | ||
Cidara Therapeutics, Inc.Δ* | 11,216 | 43,069 | ||
Coherus Biosciences, Inc.Δ* | 10,100 | 181,851 | ||
Computer Programs & Systems, Inc. | 14,715 | 388,476 | ||
Concert Pharmaceuticals, Inc.Δ* | 22,053 | 203,439 | ||
CONMED Corporation | 18,249 | 2,040,786 | ||
Cross Country Healthcare, Inc.* | 23,600 | 274,232 | ||
CryoLife, Inc.* | 46,914 | 1,270,900 | ||
CryoPort, Inc.Δ* | 75,300 | 1,239,438 | ||
Cyclerion Therapeutics, Inc.* | 5,700 | 15,504 | ||
Cytokinetics, Inc.Δ* | 13,461 | 142,821 | ||
DaVita, Inc.* | 4,301 | 322,704 | ||
Deciphera Pharmaceuticals, Inc.* | 12,500 | 778,000 | ||
Eagle Pharmaceuticals, Inc.Δ* | 16,600 | 997,328 | ||
Enanta Pharmaceuticals, Inc.* | 9,744 | 601,984 | ||
Endologix, Inc.Δ* | 22,807 | 36,035 | ||
Exelixis, Inc.* | 63,967 | 1,127,099 | ||
Five Prime Therapeutics, Inc.* | 20,738 | 95,187 | ||
HealthEquity, Inc.* | 33,000 | 2,444,310 | ||
ImmunoGen, Inc.* | 9,800 | 50,029 | ||
Inspire Medical Systems, Inc.* | 27,100 | 2,011,091 | ||
Intercept Pharmaceuticals, Inc.Δ* | 13,373 | 1,657,182 | ||
Intra-Cellular Therapies, Inc.Δ* | 4,700 | 161,257 | ||
Intrexon CorporationΔ* | 76,490 | 419,165 | ||
iRhythm Technologies, Inc.Δ* | 25,300 | 1,722,677 | ||
Jounce Therapeutics, Inc.* | 3,600 | 31,428 | ||
Kezar Life Sciences, Inc.Δ* | 4,800 | 19,248 | ||
Lannett Co., Inc.Δ* | 31,518 | 277,989 | ||
LHC Group, Inc.* | 7,700 | 1,060,752 | ||
Ligand Pharmaceuticals, Inc.Δ* | 15,553 | 1,622,022 | ||
Magellan Health, Inc.* | 17,340 | 1,356,855 | ||
Medicines Co. (The)Δ* | 21,756 | 1,847,955 | ||
Menlo Therapeutics, Inc.* | 6,000 | 27,840 | ||
Meridian Bioscience, Inc. | 27,206 | 265,803 | ||
Merit Medical Systems, Inc.Δ* | 45,342 | 1,415,577 | ||
Minerva Neurosciences, Inc.Δ* | 17,691 | 125,783 | ||
Molina Healthcare, Inc.* | 1,850 | 251,027 | ||
NanoString Technologies, Inc.* | 41,100 | 1,143,402 | ||
Natera, Inc.* | 47,037 | 1,584,677 | ||
Neon Therapeutics, Inc.Δ* | 1,136 | 1,340 | ||
NewLink Genetics CorporationΔ* | 6,400 | 16,192 | ||
NuVasive, Inc.Δ* | 33,333 | 2,577,974 | ||
OraSure Technologies, Inc.* | 33,011 | 265,078 | ||
Orthofix Medical, Inc.* | 11,413 | 527,052 | ||
Owens & Minor, Inc.Δ | 74,100 | 383,097 | ||
Phreesia, Inc.Δ* | 56,800 | 1,513,152 | ||
Prestige Consumer Healthcare, Inc.Δ* | 60,289 | 2,441,704 | ||
Protagonist Therapeutics, Inc.* | 2,900 | 20,445 | ||
PTC Therapeutics, Inc.* | 30,934 | 1,485,760 | ||
Quidel Corporation* | 27,511 | 2,064,150 | ||
Repligen Corporation* | 24,295 | 2,247,288 | ||
Retrophin, Inc.Δ* | 82,040 | 1,164,968 | ||
Rigel Pharmaceuticals, Inc.Δ* | 49,544 | 106,024 | ||
RTI Surgical Holdings, Inc.Δ* | 5,700 | 15,618 | ||
SeaSpine Holdings Corporation* | 2,000 | 24,020 | ||
Silk Road Medical, Inc.Δ* | 30,300 | 1,223,514 | ||
Spectrum Pharmaceuticals, Inc.Δ* | 73,123 | 266,168 |
Shares | Value | |||
Spero Therapeutics, Inc.Δ* | 3,648 | $35,076 | ||
STAAR Surgical Co.Δ* | 45,000 | 1,582,650 | ||
Supernus Pharmaceuticals, Inc.* | 48,672 | 1,154,500 | ||
Sutro Biopharma, Inc.Δ* | 3,100 | 34,100 | ||
Tabula Rasa HealthCare, Inc.Δ* | 25,272 | 1,230,241 | ||
Tandem Diabetes Care, Inc.Δ* | 43,900 | 2,616,879 | ||
Teladoc Health, Inc.Δ* | 20,406 | 1,708,390 | ||
TG Therapeutics, Inc.Δ* | 8,400 | 93,240 | ||
Triple-S Management Corporation Class BΔ* | 17,855 | 330,139 | ||
Ultragenyx Pharmaceutical, Inc.Δ* | 32,691 | 1,396,233 | ||
United Therapeutics Corporation* | 1,600 | 140,928 | ||
UNITY Biotechnology, Inc.Δ* | 14,055 | 101,337 | ||
Vanda Pharmaceuticals, Inc.* | 82,810 | 1,358,912 | ||
Varex Imaging Corporation* | 21,040 | 627,202 | ||
74,550,758 | ||||
Industrials — 15.8% | ||||
ABM Industries, Inc. | 39,154 | 1,476,497 | ||
AECOM* | 9,330 | 402,403 | ||
Aegion Corporation* | 21,243 | 475,206 | ||
AGCO Corporation | 8,900 | 687,525 | ||
Albany International Corporation Class A | 24,500 | 1,860,040 | ||
Apogee Enterprises, Inc.Δ | 15,513 | 504,173 | ||
Applied Industrial Technologies, Inc. | 27,080 | 1,805,965 | ||
ArcBest Corporation | 27,042 | 746,359 | ||
Armstrong Flooring, Inc.* | 32,100 | 137,067 | ||
ASGN, Inc.* | 65,382 | 4,640,161 | ||
Astec Industries, Inc. | 19,213 | 806,946 | ||
Atkore International Group, Inc.* | 24,794 | 1,003,165 | ||
Axon Enterprise, Inc.Δ* | 20,100 | 1,472,928 | ||
Barnes Group, Inc. | 17,337 | 1,074,201 | ||
Briggs & Stratton CorporationΔ | 87,409 | 582,144 | ||
BrightView Holdings, Inc.Δ* | 58,990 | 995,161 | ||
Builders FirstSource, Inc.* | 51,335 | 1,304,422 | ||
Casella Waste Systems, Inc. Class A* | 73,906 | 3,401,893 | ||
CIRCOR International, Inc.Δ* | 45,400 | 2,099,296 | ||
Clean Harbors, Inc.* | 26,700 | 2,289,525 | ||
Columbus McKinnon Corporation | 37,419 | 1,497,883 | ||
Commercial Vehicle Group, Inc.Δ* | 127,459 | 809,365 | ||
Continental Building Products, Inc.* | 52,229 | 1,902,702 | ||
Echo Global Logistics, Inc.* | 25,500 | 527,850 | ||
EMCOR Group, Inc. | 35,766 | 3,086,606 | ||
ESCO Technologies, Inc. | 13,761 | 1,272,893 | ||
Exponent, Inc. | 33,200 | 2,291,132 | ||
Federal Signal Corporation | 66,480 | 2,143,980 | ||
Foundation Building Materials, Inc.* | 30,176 | 583,906 | ||
Gibraltar Industries, Inc.* | 7,952 | 401,099 | ||
GMS, Inc.* | 24,042 | 651,057 | ||
Granite Construction, Inc.Δ | 34,997 | 968,367 | ||
Great Lakes Dredge & Dock Corporation* | 82,616 | 936,039 | ||
Hawaiian Holdings, Inc. | 9,903 | 290,059 | ||
HC2 Holdings, Inc.Δ* | 3,636 | 7,890 | ||
Herc Holdings, Inc.* | 23,472 | 1,148,720 | ||
Herman Miller, Inc. | 22,788 | 949,120 | ||
HNI Corporation | 26,244 | 983,100 |
Table of Contents
Shares | Value | |||
Hub Group, Inc. Class A* | 28,015 | $1,436,889 | ||
Hyster-Yale Materials Handling, Inc.Δ | 5,600 | 330,176 | ||
Insteel Industries, Inc. | 1,000 | 21,490 | ||
JetBlue Airways Corporation* | 49,631 | 929,092 | ||
Kadant, Inc.Δ | 14,502 | 1,527,641 | ||
Kelly Services, Inc. Class A | 17,500 | 395,150 | ||
Kimball International, Inc. Class B | 34,737 | 718,014 | ||
Knoll, Inc. | 21,861 | 552,209 | ||
LB Foster Co. Class A* | 4,087 | 79,206 | ||
Lennox International, Inc.Δ | 1,380 | 336,679 | ||
Manitowoc Co., Inc. (The)* | 53,200 | 931,000 | ||
ManpowerGroup, Inc. | 4,950 | 480,645 | ||
MasTec, Inc.Δ* | 25,297 | 1,623,056 | ||
Mobile Mini, Inc. | 21,549 | 816,923 | ||
MRC Global, Inc.Δ* | 4,702 | 64,135 | ||
MYR Group, Inc.* | 39,083 | 1,273,715 | ||
Navistar International Corporation* | 20,100 | 581,694 | ||
Orion Group Holdings, Inc.* | 8,876 | 46,066 | ||
Oshkosh Corporation | 4,982 | 471,546 | ||
Park-Ohio Holdings Corporation | 2,800 | 94,220 | ||
Parsons Corporation* | 55,600 | 2,295,168 | ||
Patrick Industries, Inc.Δ | 24,200 | 1,268,806 | ||
Pitney Bowes, Inc.Δ | 184,300 | 742,729 | ||
Powell Industries, Inc. | 6,400 | 313,536 | ||
Proto Labs, Inc.* | 21,200 | 2,152,860 | ||
Quanex Building Products Corporation | 23,984 | 409,647 | ||
R.R. Donnelley & Sons Co.Δ | 144,200 | 569,590 | ||
RBC Bearings, Inc.* | 7,300 | 1,155,882 | ||
Resideo Technologies, Inc.* | 10,776 | 128,558 | ||
REV Group, Inc. | 28,019 | 342,672 | ||
Rexnord Corporation* | 157,352 | 5,132,822 | ||
Simpson Manufacturing Co., Inc. | 13,128 | 1,053,259 | ||
Spartan Motors, Inc. | 3,354 | 60,640 | ||
Steelcase, Inc. Class A | 4,856 | 99,354 | ||
Sterling Construction Co., Inc.Δ* | 66,284 | 933,279 | ||
Terex Corporation | 41,320 | 1,230,510 | ||
Tetra Tech, Inc. | 23,115 | 1,991,588 | ||
Titan International, Inc. | 35,649 | 129,049 | ||
TriNet Group, Inc.* | 63,900 | 3,617,379 | ||
TrueBlue, Inc.* | 29,290 | 704,717 | ||
US Ecology, Inc. | 26,668 | 1,544,344 | ||
Veritiv CorporationΔ* | 10,800 | 212,436 | ||
Viad Corporation | 27,700 | 1,869,750 | ||
Wabash National Corporation | 61,131 | 898,014 | ||
Werner Enterprises, Inc. | 11,923 | 433,878 | ||
WESCO International, Inc.* | 6,560 | 389,598 | ||
Willdan Group, Inc.Δ* | 35,900 | 1,140,902 | ||
WillScot Corporation* | 100,100 | 1,850,849 | ||
Woodward, Inc. | 4,183 | 495,435 | ||
XPO Logistics, Inc.Δ* | 1,800 | 143,460 | ||
94,237,102 | ||||
Information Technology — 17.2% | ||||
2U, Inc.Δ* | 49,200 | 1,180,308 | ||
ACI Worldwide, Inc.* | 72,000 | 2,727,720 | ||
ADTRAN, Inc. | 33,000 | 326,370 | ||
Alpha & Omega Semiconductor, Ltd.* | 13,288 | 180,983 |
Shares | Value | |||
Amkor Technology, Inc.* | 70,373 | $914,849 | ||
Anixter International, Inc.* | 7,102 | 654,094 | ||
Arlo Technologies, Inc.* | 77,708 | 327,151 | ||
Arrow Electronics, Inc.* | 800 | 67,792 | ||
Avnet, Inc. | 34,435 | 1,461,421 | ||
Bel Fuse, Inc. Class B | 6,615 | 135,608 | ||
Belden, Inc. | 22,307 | 1,226,885 | ||
Benchmark Electronics, Inc. | 37,400 | 1,285,064 | ||
Bill.Com Holdings, Inc.* | 22,100 | 840,905 | ||
Blackbaud, Inc.Δ | 7,961 | 633,696 | ||
Booz Allen Hamilton Holding Corporation | 5,060 | 359,918 | ||
Bottomline Technologies de, Inc.* | 41,400 | 2,219,040 | ||
Brooks Automation, Inc. | 67,995 | 2,853,070 | ||
Cabot Microelectronics CorporationΔ | 12,000 | 1,731,840 | ||
Calix, Inc.* | 19,958 | 159,664 | ||
Casa Systems, Inc.* | 24,500 | 100,205 | ||
Cirrus Logic, Inc.* | 26,100 | 2,150,901 | ||
CSG Systems International, Inc. | 19,093 | 988,636 | ||
Daktronics, Inc. | 18,400 | 112,056 | ||
DASAN Zhone Solutions, Inc.* | 9,416 | 83,426 | ||
Diebold Nixdorf, Inc.Δ* | 13,500 | 142,560 | ||
Digi International, Inc.* | 16,900 | 299,468 | ||
EMCORE CorporationΔ* | 7,100 | 21,584 | ||
Envestnet, Inc.* | 44,400 | 3,091,572 | ||
Evo Payments, Inc. Class A* | 62,700 | 1,655,907 | ||
ExlService Holdings, Inc.* | 69,629 | 4,836,430 | ||
Harmonic, Inc.* | 80,300 | 626,340 | ||
I3 Verticals, Inc. Class A* | 63,200 | 1,785,400 | ||
II-VI, Inc.Δ* | 48,628 | 1,637,305 | ||
Infinera CorporationΔ* | 96,300 | 764,622 | ||
Insight Enterprises, Inc.Δ* | 16,045 | 1,127,803 | ||
Instructure, Inc.* | 34,700 | 1,672,887 | ||
Intevac, Inc.* | 5,163 | 36,451 | ||
j2 Global, Inc.Δ | 66,828 | 6,262,452 | ||
Jabil, Inc. | 40,085 | 1,656,713 | ||
KBR, Inc. | 7,518 | 229,299 | ||
Kopin CorporationΔ* | 9,500 | 3,810 | ||
Kulicke & Soffa Industries, Inc. | 17,810 | 484,432 | ||
Littelfuse, Inc.Δ | 16,200 | 3,099,060 | ||
MACOM Technology Solutions Holdings, Inc.* | 9,833 | 261,558 | ||
Manhattan Associates, Inc.* | 6,768 | 539,748 | ||
MaxLinear, Inc.Δ* | 65,474 | 1,389,358 | ||
Medallia, Inc.Δ* | 23,400 | 727,974 | ||
MicroStrategy, Inc. Class A* | 7,072 | 1,008,679 | ||
MKS Instruments, Inc. | 21,400 | 2,354,214 | ||
NeoPhotonics Corporation* | 13,000 | 114,660 | ||
NETGEAR, Inc.* | 41,269 | 1,011,503 | ||
NetScout Systems, Inc.* | 49,680 | 1,195,798 | ||
New Relic, Inc.* | 30,600 | 2,010,726 | ||
nLight, Inc.* | 54,000 | 1,095,120 | ||
Paylocity Holding Corporation* | 46,144 | 5,575,118 | ||
Pegasystems, Inc. | 16,500 | 1,314,225 | ||
Pixelworks, Inc.* | 23,269 | 91,214 | ||
Plantronics, Inc. | 24,321 | 664,936 | ||
Pluralsight, Inc. Class AΔ* | 99,100 | 1,705,511 |
Table of Contents
Shares | Value | |||
Priority Technology Holdings, Inc.Δ* | 122,900 | $301,105 | ||
Progress Software Corporation | 13,751 | 571,354 | ||
Q2 Holdings, Inc.* | 76,892 | 6,234,403 | ||
Rapid7, Inc.* | 30,325 | 1,698,806 | ||
RealPage, Inc.* | 45,600 | 2,451,000 | ||
Repay Holdings CorporationΔ* | 97,300 | 1,425,445 | ||
Ribbon Communications, Inc.* | 30,667 | 95,068 | ||
Rogers Corporation* | 14,400 | 1,796,112 | ||
Rosetta Stone, Inc.Δ* | 116,915 | 2,120,838 | ||
SailPoint Technologies Holding, Inc.Δ* | 72,700 | 1,715,720 | ||
ScanSource, Inc.* | 1,602 | 59,194 | ||
Semtech Corporation* | 32,326 | 1,710,045 | ||
Silicon Laboratories, Inc.* | 12,848 | 1,490,111 | ||
SMART Global Holdings, Inc.* | 5,013 | 190,193 | ||
Smartsheet, Inc. Class A* | 38,800 | 1,742,896 | ||
Synaptics, Inc.* | 28,358 | 1,865,106 | ||
Synchronoss Technologies, Inc.Δ* | 43,900 | 208,525 | ||
Telenav, Inc.* | 23,484 | 114,132 | ||
Teradata Corporation* | 17,428 | 466,548 | ||
TiVo Corporation | 96,500 | 818,320 | ||
Unisys CorporationΔ* | 126,334 | 1,498,321 | ||
Veeco Instruments, Inc.* | 26,300 | 386,216 | ||
Vishay Precision Group, Inc.* | 2,837 | 96,458 | ||
Western Union Co. (The)Δ | 8,184 | 219,168 | ||
102,491,123 | ||||
Materials — 4.5% | ||||
AdvanSix, Inc.* | 51,215 | 1,022,251 | ||
Ashland Global Holdings, Inc. | 5,400 | 413,262 | ||
Balchem Corporation | 11,776 | 1,196,795 | ||
Boise Cascade Co. | 79,805 | 2,915,277 | ||
Cabot Corporation | 10,639 | 505,565 | ||
CF Industries Holdings, Inc. | 3,500 | 167,090 | ||
Chemours Co. (The)Δ | 9,678 | 175,075 | ||
Coeur Mining, Inc.* | 75,569 | 610,598 | ||
Element Solutions, Inc.* | 11,300 | 131,984 | ||
Flotek Industries, Inc.Δ* | 13,601 | 27,202 | ||
Huntsman Corporation | 14,217 | 343,483 | ||
Kaiser Aluminum Corporation | 18,187 | 2,016,756 | ||
Kraton Corporation* | 21,788 | 551,672 | ||
Louisiana-Pacific Corporation | 39,365 | 1,167,960 | ||
Minerals Technologies, Inc. | 30,406 | 1,752,298 | ||
Neenah, Inc. | 27,429 | 1,931,824 | ||
O-I Glass, Inc.* | 20,800 | 248,144 | ||
Olympic Steel, Inc. | 9,196 | 164,792 | ||
PH Glatfelter Co. | 20,888 | 382,250 | ||
PolyOne Corporation | 52,000 | 1,913,080 | ||
Quaker Chemical CorporationΔ | 8,160 | 1,342,483 | ||
Reliance Steel & Aluminum Co. | 8,015 | 959,876 | ||
Ryerson Holding Corporation* | 2,500 | 29,575 | ||
Schnitzer Steel Industries, Inc. Class AΔ | 29,799 | 646,042 | ||
Steel Dynamics, Inc. | 3,360 | 114,374 | ||
Stepan Co. | 12,717 | 1,302,730 | ||
TimkenSteel Corporation* | 3,132 | 24,618 | ||
Tredegar Corporation | 8,840 | 197,574 |
Shares | Value | |||
Trinseo SAΔ | 50,369 | $1,874,231 | ||
Valvoline, Inc. | 11,800 | 252,638 | ||
Verso Corporation Class A* | 4,400 | 79,332 | ||
Warrior Met Coal, Inc. | 51,816 | 1,094,872 | ||
Worthington Industries, Inc. | 39,061 | 1,647,593 | ||
27,203,296 | ||||
Real Estate — 6.8% | ||||
Alexander & Baldwin, Inc. REIT | 2,500 | 52,400 | ||
Altisource Portfolio Solutions SAΔ* | 4,514 | 87,256 | ||
American Assets Trust, Inc. REITΔ | 23,653 | 1,085,673 | ||
Armada Hoffler Properties, Inc. REIT | 60,450 | 1,109,258 | ||
Bluerock Residential Growth REIT, Inc.Δ | 33,400 | 402,470 | ||
Braemar Hotels & Resorts, Inc. REIT | 30,068 | 268,507 | ||
Brandywine Realty Trust REIT | 58,321 | 918,556 | ||
Brixmor Property Group, Inc. REIT | 50,958 | 1,101,202 | ||
Camden Property Trust REIT | 3,700 | 392,570 | ||
Cedar Realty Trust, Inc. REIT | 75,047 | 221,389 | ||
Chatham Lodging Trust REITΔ | 31,624 | 579,984 | ||
City Office REIT, Inc. | 64,947 | 878,083 | ||
Consolidated-Tomoka Land Co. | 6,402 | 386,169 | ||
CorePoint Lodging, Inc. REIT | 60,300 | 644,004 | ||
Corporate Office Properties Trust REIT | 34,912 | 1,025,715 | ||
Cousins Properties, Inc. REIT | 24,496 | 1,009,235 | ||
DiamondRock Hospitality Co. REIT | 67,400 | 746,792 | ||
EastGroup Properties, Inc. REIT | 18,521 | 2,457,181 | ||
Equity Commonwealth REIT | 8,803 | 289,002 | ||
First Industrial Realty Trust, Inc. REIT | 57,116 | 2,370,885 | ||
Forestar Group, Inc.* | 3,900 | 81,315 | ||
Franklin Street Properties Corporation REIT | 16,800 | 143,808 | ||
Getty Realty Corporation REIT | 5,200 | 170,924 | ||
Hudson Pacific Properties, Inc. REIT | 29,859 | 1,124,191 | ||
Industrial Logistics Properties Trust REIT | 17,894 | 401,183 | ||
Investors Real Estate Trust REIT | 11,102 | 804,895 | ||
iStar, Inc. REITΔ | 15,038 | 218,201 | ||
Jones Lang LaSalle, Inc. | 7,250 | 1,262,153 | ||
Kennedy-Wilson Holdings, Inc. | 132,625 | 2,957,537 | ||
Kite Realty Group Trust REIT | 92,613 | 1,808,732 | ||
Life Storage, Inc. REIT | 800 | 86,624 | ||
Mack-Cali Realty Corporation REIT | 53,342 | 1,233,800 | ||
Marcus & Millichap, Inc.Δ* | 19,459 | 724,848 | ||
National Storage Affiliates Trust REIT | 30,000 | 1,008,600 | ||
New Senior Investment Group, Inc. REITΔ | 59,372 | 454,196 | ||
Office Properties Income Trust REITΔ | 7,092 | 227,937 | ||
Paramount Group, Inc. REIT | 14,200 | 197,664 | ||
Pebblebrook Hotel Trust REITΔ | 50,245 | 1,347,068 | ||
Physicians Realty Trust REIT | 79,881 | 1,512,946 | ||
Piedmont Office Realty Trust, Inc. Class A REIT | 44,919 | 998,999 | ||
RE/MAX Holdings, Inc. Class A | 22,275 | 857,365 |
Table of Contents
Shares | Value | |||
Retail Properties of America, Inc. Class A REIT | 88,667 | $1,188,138 | ||
Retail Value, Inc. REITΔ | 15,897 | 585,010 | ||
RPT Realty REITΔ | 113,286 | 1,703,821 | ||
SITE Centers Corporation REIT | 28,200 | 395,364 | ||
SL Green Realty Corporation REIT | 5,600 | 514,528 | ||
Spirit Realty Capital, Inc. REIT | 5,600 | 275,408 | ||
Sunstone Hotel Investors, Inc. REIT | 95,992 | 1,336,209 | ||
Urban Edge Properties REIT | 48,754 | 935,102 | ||
Xenia Hotels & Resorts, Inc. REIT | 12,600 | 272,286 | ||
40,855,183 | ||||
Utilities — 3.3% | ||||
ALLETE, Inc. | 10,180 | 826,311 | ||
Avista Corporation | 21,900 | 1,053,171 | ||
Genie Energy, Ltd. Class BΔ | 7,481 | 57,828 | ||
Hawaiian Electric Industries, Inc. | 3,721 | 174,366 | ||
Northwest Natural Holding Co.Δ | 7,760 | 572,145 | ||
NorthWestern Corporation | 49,544 | 3,550,818 | ||
NRG Energy, Inc. | 30,324 | 1,205,379 | ||
ONE Gas, Inc. | 7,800 | 729,846 | ||
PNM Resources, Inc. | 12,500 | 633,875 | ||
Portland General Electric Co. | 45,460 | 2,536,213 | ||
South Jersey Industries, Inc.Δ | 81,379 | 2,683,879 | ||
Southwest Gas Holdings, Inc. | 14,400 | 1,093,968 | ||
Spire, Inc. | 36,828 | 3,068,141 | ||
Vistra Energy Corporation | 57,829 | 1,329,489 | ||
19,515,429 | ||||
Total Common Stocks (Cost $523,319,609) | 556,712,522 | |||
FOREIGN COMMON STOCKS — 3.7% | ||||
Canada — 0.6% | ||||
Colliers International Group, Inc.Δ | 21,400 | 1,668,558 | ||
IMAX Corporation* | 47,800 | 976,554 | ||
Masonite International Corporation* | 11,387 | 822,255 | ||
3,467,367 | ||||
France — 0.1% | ||||
Talend SA ADRΔ* | 17,400 | 680,514 | ||
Germany — 0.2% | ||||
MorphoSys AG ADR* | 36,700 | 1,309,089 | ||
Ireland — 0.2% | ||||
Jazz Pharmaceuticals PLC* | 7,499 | 1,119,451 | ||
Osmotica Pharmaceuticals PLCΔ* | 1,000 | 6,990 | ||
Prothena Corporation PLC* | 24,201 | 383,102 | ||
1,509,543 | ||||
Israel — 0.3% | ||||
Stratasys, Ltd.Δ* | 26,700 | 540,007 | ||
Tufin Software Technologies, Ltd.Δ* | 60,600 | 1,065,954 | ||
1,605,961 | ||||
Jersey — 1.4% | ||||
Mimecast, Ltd.* | 15,240 | 661,111 | ||
Novocure, Ltd.* | 13,000 | 1,095,510 | ||
Quotient, Ltd.Δ* | 100,300 | 953,853 | ||
WNS Holdings, Ltd. ADRΔ* | 83,918 | 5,551,176 | ||
8,261,650 |
Shares | Value | |||
Netherlands — 0.7% | ||||
Argenx SE ADR* | 5,600 | $898,912 | ||
InterXion Holding NV* | 15,907 | 1,333,166 | ||
Wright Medical Group NV* | 56,482 | 1,721,571 | ||
3,953,649 | ||||
United Kingdom — 0.2% | ||||
LivaNova PLC* | 13,400 | 1,010,762 | ||
Total Foreign Common Stocks (Cost $18,662,161) | 21,798,535 | |||
PREFERRED STOCK — 0.3% | ||||
CuriosityStream LLC0.00 CONVΨ†††* (Cost $1,956,000) | 195,600 | 1,956,000 | ||
MONEY MARKET FUNDS — 4.7% | ||||
GuideStone Money Market Fund, 1.53% (Institutional Class)Ø∞ | 14,895,149 | 14,895,149 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 1.57%ا | 13,044,167 | 13,044,167 | ||
Total Money Market Funds (Cost $27,939,316) | 27,939,316 |
Par | |||
U.S. TREASURY OBLIGATION — 0.1% | |||
U.S. Treasury Bill | |||
1.52%, 05/07/20Ω‡‡ (Cost $795,694) | $800,000 | 795,747 | |
TOTAL INVESTMENTS —102.1% (Cost $572,672,780) | 609,202,120 | ||
Liabilities in Excess of Other Assets — (2.1)% | (12,744,315) | ||
NET ASSETS — 100.0% | $596,457,805 |
Table of Contents
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
CME Russell 2000 Index E-Mini | 03/2020 | 79 | $6,598,870 | $85,961 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $556,712,522 | $556,712,522 | $— | $— | |||
Foreign Common Stocks | 21,798,535 | 21,798,535 | — | — | |||
Money Market Funds | 27,939,316 | 27,939,316 | — | — | |||
Preferred Stock | 1,956,000 | — | — | 1,956,000 | |||
U.S. Treasury Obligation | 795,747 | — | 795,747 | — | |||
Total Assets - Investments in Securities | $609,202,120 | $606,450,373 | $795,747 | $1,956,000 | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $85,961 | $85,961 | $— | $— | |||
Total Assets - Other Financial Instruments | $85,961 | $85,961 | $ — | $ — |
*** | 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. |
Table of Contents
% | |
Financials | 17.7 |
Industrials | 13.9 |
Health Care | 12.2 |
Consumer Discretionary | 10.5 |
Consumer Staples | 9.5 |
Information Technology | 6.8 |
Materials | 6.7 |
Communication Services | 5.0 |
Energy | 4.8 |
Money Market Funds | 4.6 |
Utilities | 3.5 |
Real Estate | 3.8 |
U.S. Treasury Obligation | 0.2 |
Rights | —** |
99.2 | |
**Rounds to less than 0.1% |
Table of Contents
Average Annual Total Returns as of 12/31/19 | |||||
Institutional Class* | Benchmark** | ||||
One Year | 21.21% | 22.01% | |||
Five Year | N/A | N/A | |||
Ten year | N/A | N/A | |||
Since Inception | 4.18% | 4.30% | |||
Inception Date | 06/01/15 | ||||
Total Fund Operating Expenses (April 30, 2019 Prospectus)(1) | 0.28% |
(1) | Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights. |
Table of Contents
Shares | Value | |||
COMMON STOCK — 0.0% | ||||
Health Care — 0.0% | ||||
BeiGene, Ltd. ADRΔ* (Cost $230,754) | 1,505 | $249,469 | ||
FOREIGN COMMON STOCKS — 93.9% | ||||
Australia — 6.4% | ||||
AGL Energy, Ltd. | 36,482 | 525,593 | ||
Alumina, Ltd. | 123,227 | 198,891 | ||
AMP, Ltd. | 113,756 | 152,871 | ||
APA Group | 85,754 | 667,974 | ||
ASX, Ltd. | 12,087 | 665,078 | ||
Aurizon Holdings, Ltd. | 83,954 | 308,124 | ||
AusNet Services | 180,811 | 215,703 | ||
Australia & New Zealand Banking Group, Ltd. | 130,882 | 2,262,178 | ||
Bank of Queensland, Ltd.Δ | 154 | 783 | ||
Bendigo and Adelaide Bank, Ltd.Δ | 5,305 | 36,409 | ||
BHP Group, Ltd. | 141,389 | 3,861,632 | ||
BlueScope Steel, Ltd. | 20,263 | 214,147 | ||
Boral, Ltd. | 56,616 | 177,992 | ||
Brambles, Ltd. | 67,897 | 558,420 | ||
Caltex Australia, Ltd. | 11,404 | 271,694 | ||
Challenger, Ltd.Δ | 33,947 | 192,722 | ||
CIMIC Group, Ltd. | 2,882 | 67,024 | ||
Coca-Cola Amatil, Ltd. | 142,079 | 1,102,726 | ||
Cochlear, Ltd. | 3,288 | 518,532 | ||
Coles Group, Ltd. | 50,160 | 522,365 | ||
Commonwealth Bank of Australia | 84,407 | 4,732,686 | ||
Computershare, Ltd. | 44,623 | 525,452 | ||
CSL, Ltd. | 21,046 | 4,072,708 | ||
Dexus REIT | 36,721 | 301,497 | ||
Flight Centre Travel Group, Ltd. | 6,157 | 190,369 | ||
Fortescue Metals Group, Ltd. | 42,058 | 315,507 | ||
Goodman Group REIT | 76,569 | 718,401 | ||
GPT Group (The) REIT (Athens Exchange) | 67,147 | 263,874 | ||
Harvey Norman Holdings, Ltd. | 96,021 | 274,248 | ||
Incitec Pivot, Ltd. | 86,785 | 193,666 | ||
Insurance Australia Group, Ltd. | 151,186 | 812,686 | ||
Lendlease Group | 34,784 | 429,610 | ||
Macquarie Group, Ltd. | 16,995 | 1,644,032 | ||
Magellan Financial Group, Ltd. | 5,400 | 215,809 | ||
Medibank Pvt., Ltd. | 117,607 | 260,797 | ||
Mirvac Group REIT | 149,919 | 334,554 | ||
National Australia Bank, Ltd. | 129,758 | 2,242,751 | ||
Newcrest Mining, Ltd. | 36,206 | 768,579 | ||
Orica, Ltd. | 21,761 | 335,652 | ||
Origin Energy, Ltd. | 89,304 | 529,554 | ||
QBE Insurance Group, Ltd. | 67,446 | 609,613 | ||
Ramsay Health Care, Ltd. | 6,096 | 310,274 | ||
REA Group, Ltd.Δ | 2,055 | 149,401 | ||
Rio Tinto, Ltd. | 15,247 | 1,074,238 | ||
Santos, Ltd. | 59,995 | 344,390 | ||
Scentre Group REIT | 252,947 | 679,846 | ||
SEEK, Ltd. | 15,462 | 244,678 | ||
Sonic Healthcare, Ltd. | 25,549 | 515,459 | ||
South32, Ltd. | 201,814 | 382,382 | ||
Stockland REIT | 85,681 | 277,785 |
Shares | Value | |||
Suncorp Group, Ltd. | 85,021 | $773,239 | ||
Sydney AirportΔ | 85,801 | 521,426 | ||
Telstra Corporation, Ltd. | 216,660 | 538,226 | ||
TPG Telecom, Ltd. | 15,539 | 73,169 | ||
Transurban Group | 151,919 | 1,589,542 | ||
Unibail-Rodamco-Westfield | 10,140 | 79,625 | ||
Vicinity Centres REIT | 137,781 | 240,753 | ||
Washington H Soul Pattinson & Co., Ltd. | 1,395 | 21,047 | ||
Wesfarmers, Ltd. | 57,427 | 1,668,395 | ||
Westpac Banking Corporation | 155,825 | 2,649,555 | ||
Woodside Petroleum, Ltd. | 47,504 | 1,146,089 | ||
Worley, Ltd. | 15,221 | 163,531 | ||
45,735,953 | ||||
Austria — 0.2% | ||||
ANDRITZ AG | 720 | 30,953 | ||
Erste Group Bank AG* | 12,654 | 475,312 | ||
OMV AG | 5,326 | 298,388 | ||
Raiffeisen Bank International AG | 8,197 | 205,166 | ||
Verbund AG | 1,978 | 99,266 | ||
voestalpine AGΔ | 4,506 | 124,977 | ||
1,234,062 | ||||
Belgium — 0.8% | ||||
Ageas | 8,844 | 522,602 | ||
Colruyt SA | 5,111 | 266,470 | ||
Galapagos NV* | 1,973 | 412,746 | ||
Groupe Bruxelles Lambert SA | 12,096 | 1,274,857 | ||
KBC Group NV | 10,166 | 764,699 | ||
Proximus SADPΔ | 7,723 | 221,077 | ||
Solvay SA | 4,910 | 568,930 | ||
Telenet Group Holding NV | 6,213 | 279,183 | ||
UCB SA | 10,836 | 861,771 | ||
Umicore SAΔ | 9,507 | 462,391 | ||
5,634,726 | ||||
Denmark — 1.4% | ||||
AP Moeller - Maersk A/S Class A | 439 | 595,056 | ||
AP Moeller - Maersk A/S Class B | 60 | 86,535 | ||
Chr. Hansen Holding A/S | 5,914 | 469,970 | ||
Coloplast A/S Class B | 9,585 | 1,189,125 | ||
Danske Bank A/S | 33,495 | 541,892 | ||
Demant A/S* | 13,113 | 412,965 | ||
DSV Panalpina A/S | 12,504 | 1,441,127 | ||
Genmab A/S* | 5,898 | 1,311,736 | ||
H Lundbeck A/S | 7,592 | 290,246 | ||
ISS A/S | 7,886 | 189,223 | ||
Novozymes A/S, B Shares | 12,803 | 626,519 | ||
Orsted A/S 144A | 13,824 | 1,429,744 | ||
Pandora A/S | 7,048 | 306,598 | ||
Tryg A/S | 14,443 | 428,183 | ||
Vestas Wind Systems A/S | 9,047 | 913,806 | ||
10,232,725 | ||||
Finland — 1.0% | ||||
Elisa OYJ | 7,229 | 399,357 | ||
Fortum OYJ | 22,487 | 555,057 | ||
Kone OYJ Class B | 13,131 | 858,608 |
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Shares | Value | |||
Metso OYJΔ | 1,554 | $61,391 | ||
Neste OYJ | 18,222 | 634,037 | ||
Nokia OYJ | 282,487 | 1,044,883 | ||
Nokian Renkaat OYJ | 5,395 | 155,170 | ||
Nordea Bank Abp | 1,819 | 14,783 | ||
Nordea Bank Abp (Stockholm Exchange) | 123,780 | 1,001,403 | ||
Orion OYJ Class B | 7,634 | 353,543 | ||
Sampo OYJ, A Shares | 18,199 | 794,625 | ||
Stora Enso OYJ, R SharesΔ | 18,200 | 264,824 | ||
UPM-Kymmene OYJ | 19,161 | 664,781 | ||
Wartsila OYJ AbpΔ | 14,669 | 162,144 | ||
6,964,606 | ||||
France — 10.0% | ||||
Accor SA | 11,377 | 532,796 | ||
Aeroports de Paris | 1,224 | 241,778 | ||
Air Liquide SA | 24,987 | 3,537,123 | ||
Alstom SA | 8,266 | 391,555 | ||
Amundi SA 144A | 3,229 | 253,176 | ||
Arkema SA | 2,715 | 288,401 | ||
Atos SE | 4,922 | 410,321 | ||
AXA SA | 101,488 | 2,858,500 | ||
BioMerieux | 2,764 | 246,015 | ||
BNP Paribas SA | 52,676 | 3,121,549 | ||
Bollore SA* | 311 | 1,324 | ||
Bollore SA (Euronext Paris Exchange) | 53,565 | 233,726 | ||
Bouygues SA | 11,283 | 479,415 | ||
Bureau Veritas SA | 15,449 | 403,076 | ||
Capgemini SE | 7,893 | 964,155 | ||
Carrefour SA | 29,040 | 486,984 | ||
Casino Guichard Perrachon SAΔ | 2,250 | 105,243 | ||
Cie de St-Gobain | 30,007 | 1,228,548 | ||
Cie Generale des Etablissements Michelin SCA | 7,665 | 938,023 | ||
CNP Assurances | 6,718 | 133,606 | ||
Covivio REIT | 2,833 | 321,591 | ||
Credit Agricole SA | 47,205 | 684,377 | ||
Danone SA | 35,410 | 2,935,264 | ||
Dassault Aviation SA | 92 | 120,740 | ||
Dassault Systemes SA | 7,719 | 1,268,889 | ||
Edenred | 9,445 | 488,404 | ||
Eiffage SA | 4,139 | 473,557 | ||
Electricite de France SA | 30,955 | 344,722 | ||
Engie SA | 112,687 | 1,820,175 | ||
EssilorLuxottica SA | 13,851 | 2,109,879 | ||
Eurazeo SE | 3,083 | 210,950 | ||
Eurofins Scientific SE Millicom International Cellular SA SDRΔ | 602 | 333,715 | ||
Eutelsat Communications SA | 8,399 | 136,513 | ||
Faurecia SE | 3,831 | 206,396 | ||
Gecina SA REIT | 2,894 | 518,094 | ||
Getlink SE | 19,820 | 344,820 | ||
Hermes International | 2,906 | 2,171,586 | ||
ICADE REIT | 2,606 | 283,692 | ||
Iliad SAΔ | 1,822 | 236,154 | ||
Ingenico Group | 2,895 | 314,341 |
Shares | Value | |||
Ipsen SA | 3,144 | $278,603 | ||
JCDecaux SAΔ | 3,731 | 115,006 | ||
Kering SA | 3,903 | 2,562,003 | ||
Klepierre REIT | 14,221 | 539,965 | ||
L’Oreal SA | 13,292 | 3,936,144 | ||
Legrand SA | 12,486 | 1,017,363 | ||
Natixis SA | 54,091 | 240,147 | ||
Orange SA | 111,352 | 1,638,735 | ||
Peugeot SA | 23,149 | 553,081 | ||
Publicis Groupe SA | 10,125 | 458,377 | ||
Renault SA | 7,966 | 376,898 | ||
Safran SA | 15,415 | 2,380,107 | ||
Sanofi | 55,646 | 5,593,912 | ||
Sartorius Stedim Biotech | 1,344 | 222,667 | ||
Schneider Electric SE | 28,797 | 2,955,596 | ||
SCOR SE | 5,564 | 233,543 | ||
SEB SAΔ | 1,701 | 252,621 | ||
SES SA | 12,769 | 179,037 | ||
Societe Generale SA | 34,476 | 1,199,404 | ||
Sodexo SAΔ | 5,941 | 704,054 | ||
Suez | 19,394 | 293,356 | ||
Teleperformance | 2,595 | 632,810 | ||
Thales SA | 3,928 | 407,647 | ||
TOTAL SA | 112,866 | 6,228,809 | ||
Ubisoft Entertainment SA* | 2,676 | 184,843 | ||
Valeo SA | 12,169 | 428,745 | ||
Veolia Environnement SA | 34,427 | 915,604 | ||
Vinci SA | 26,567 | 2,950,220 | ||
Vivendi SA | 46,091 | 1,334,901 | ||
Wendel SA | 1,720 | 228,625 | ||
Worldline SA 144A* | 3,482 | 246,649 | ||
71,468,645 | ||||
Germany — 7.5% | ||||
adidas AG | 9,299 | 3,022,814 | ||
Allianz SE | 20,895 | 5,119,856 | ||
Aroundtown SA | 39,782 | 357,313 | ||
BASF SE | 42,548 | 3,205,423 | ||
Bayerische Motoren Werke AG | 20,141 | 1,649,663 | ||
Beiersdorf AG | 5,172 | 618,723 | ||
Brenntag AG | 4,261 | 231,188 | ||
Carl Zeiss Meditec AG | 3,097 | 393,720 | ||
Commerzbank AG | 39,511 | 244,021 | ||
Continental AG | 4,845 | 626,121 | ||
Covestro AG 144A | 8,920 | 415,049 | ||
Daimler AG | 42,316 | 2,339,411 | ||
Delivery Hero SE 144A* | 3,335 | 264,330 | ||
Deutsche Bank AG | 81,719 | 633,201 | ||
Deutsche Boerse AG | 9,353 | 1,466,669 | ||
Deutsche Lufthansa AG | 9,868 | 181,641 | ||
Deutsche Post AG | 46,342 | 1,762,117 | ||
Deutsche Telekom AG | 165,905 | 2,711,250 | ||
Deutsche Wohnen SE | 13,751 | 559,347 | ||
E.ON SE | 142,291 | 1,520,647 | ||
Evonik Industries AG | 4,379 | 133,745 | ||
Fraport AG Frankfurt Airport ServicesWorldwide | 2,669 | 226,558 |
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Shares | Value | |||
Fresenius Medical Care AG & Co. KGaA | 9,321 | $686,285 | ||
Fresenius SE & Co. KGaA | 18,260 | 1,027,554 | ||
GEA Group AG | 7,555 | 249,827 | ||
Hannover Rueck SE | 3,483 | 671,574 | ||
HeidelbergCement AG | 7,836 | 569,402 | ||
Henkel AG & Co. KGaA | 5,645 | 530,588 | ||
HOCHTIEF AG | 586 | 74,607 | ||
Infineon Technologies AG | 55,751 | 1,259,658 | ||
KION Group AG | 3,162 | 217,442 | ||
Knorr-Bremse AG | 2,858 | 290,928 | ||
LANXESS AG | 3,845 | 258,166 | ||
METRO AG | 14,082 | 226,596 | ||
MTU Aero Engines AG | 1,893 | 539,364 | ||
Muenchener Rueckversicherungs-Gesellschaft AG | 6,484 | 1,913,383 | ||
Puma SE | 3,890 | 298,293 | ||
RWE AG | 24,199 | 741,506 | ||
SAP SE | 46,559 | 6,266,761 | ||
Siemens AG | 36,496 | 4,766,070 | ||
Siemens Healthineers AG 144A | 9,703 | 465,133 | ||
Symrise AG | 6,729 | 707,278 | ||
Telefonica Deutschland Holding AG | 56,298 | 163,178 | ||
thyssenkrupp AG | 21,536 | 289,382 | ||
TUI AG | 23,283 | 294,158 | ||
Uniper SE | 8,857 | 292,738 | ||
United Internet AG | 5,566 | 182,282 | ||
Volkswagen AG | 1,484 | 287,429 | ||
Vonovia SE | 26,657 | 1,431,731 | ||
Wirecard AG | 5,045 | 608,340 | ||
Zalando SE 144A* | 5,038 | 254,067 | ||
53,246,527 | ||||
Hong Kong — 3.2% | ||||
AIA Group, Ltd. | 577,800 | 6,065,480 | ||
ASM Pacific Technology, Ltd. | 23,700 | 328,782 | ||
Bank of East Asia, Ltd. (The) | 70,050 | 156,420 | ||
BOC Hong Kong Holdings, Ltd. | 154,000 | 534,592 | ||
CK Asset Holdings, Ltd. | 142,500 | 1,028,660 | ||
CK Hutchison Holdings, Ltd. | 149,000 | 1,420,723 | ||
CK Infrastructure Holdings, Ltd. | 35,000 | 249,060 | ||
CLP Holdings, Ltd. | 91,000 | 956,444 | ||
Hang Lung Properties, Ltd. | 117,000 | 256,753 | ||
Hang Seng Bank, Ltd. | 44,300 | 915,301 | ||
Henderson Land Development Co., Ltd. | 105,275 | 516,763 | ||
HK Electric Investments & HK Electric Investments, Ltd. | 86,500 | 85,253 | ||
HKT Trust & HKT, Ltd. | 253,000 | 356,498 | ||
Hong Kong & China Gas Co., Ltd. | 453,929 | 886,619 | ||
Hong Kong Exchanges and Clearing, Ltd. | 63,422 | 2,059,182 | ||
Kerry Properties, Ltd. | 66,000 | 209,630 | ||
Link REIT | 91,500 | 968,745 | ||
MTR Corporation, Ltd. | 109,227 | 645,497 | ||
New World Development Co., Ltd. | 409,867 | 561,757 | ||
NWS Holdings, Ltd. | 21,399 | 29,988 |
Shares | Value | |||
PCCW, Ltd. | 102,000 | $60,344 | ||
Power Assets Holdings, Ltd. | 77,000 | 563,248 | ||
Sino Land Co., Ltd. | 166,604 | 242,028 | ||
Sun Hung Kai Properties, Ltd. | 71,500 | 1,094,664 | ||
Swire Pacific, Ltd. Class A | 22,500 | 209,053 | ||
Swire Properties, Ltd. | 63,800 | 211,649 | ||
Techtronic Industries Co., Ltd. | 56,000 | 456,707 | ||
Vitasoy International Holdings, Ltd.Δ | 58,000 | 210,272 | ||
WH Group, Ltd. 144A | 557,000 | 575,421 | ||
Wharf Real Estate Investment Co., Ltd. | 42,000 | 256,291 | ||
Wheelock & Co., Ltd. | 75,000 | 500,013 | ||
Yue Yuen Industrial Holdings, Ltd. | 84,000 | 247,937 | ||
22,859,774 | ||||
Ireland — 0.6% | ||||
AIB Group PLC | 35,314 | 123,034 | ||
Bank of Ireland Group PLC | 40,646 | 222,583 | ||
CRH PLC | 45,968 | 1,839,228 | ||
DCC PLC | 3,336 | 289,171 | ||
James Hardie Industries PLC CDI | 16,895 | 330,429 | ||
Kerry Group PLC Class A | 9,365 | 1,167,074 | ||
Kingspan Group PLC | 5,720 | 349,358 | ||
Smurfit Kappa Group PLC | 9,229 | 354,665 | ||
4,675,542 | ||||
Israel — 0.5% | ||||
Azrieli Group, Ltd. | 1,239 | 90,594 | ||
Bank Hapoalim BM | 48,532 | 402,641 | ||
Bank Leumi Le-Israel BM | 65,831 | 479,249 | ||
Check Point Software Technologies, Ltd.* | 5,794 | 642,902 | ||
CyberArk Software, Ltd.* | 1,717 | 200,168 | ||
Elbit Systems, Ltd. | 512 | 79,707 | ||
Israel Chemicals, Ltd. | 44,785 | 210,742 | ||
Israel Discount Bank, Ltd. Class A | 52,953 | 245,498 | ||
Nice, Ltd.* | 2,756 | 427,450 | ||
Teva Pharmaceutical Industries, Ltd. ADRΔ* | 47,260 | 463,148 | ||
Wix.com, Ltd.* | 1,160 | 141,961 | ||
3,384,060 | ||||
Italy — 1.9% | ||||
Assicurazioni Generali SpA | 36,421 | 751,904 | ||
Atlantia SpAΔ | 20,348 | 474,900 | ||
Enel SpA | 358,493 | 2,847,806 | ||
Eni SpA | 121,501 | 1,887,060 | ||
FinecoBank Banca Fineco SpA | 27,715 | 332,464 | ||
Intesa Sanpaolo SpA | 710,538 | 1,871,693 | ||
Leonardo SpA | 20,334 | 238,464 | ||
Mediobanca Banca di Credito Finanziario SpA | 21,353 | 235,108 | ||
Moncler SpA | 14,899 | 670,566 | ||
Pirelli & C SpA 144AΔ | 23,808 | 137,412 | ||
Poste Italiane SpA 144A | 25,999 | 295,424 | ||
Prysmian SpA | 8,844 | 213,487 | ||
Recordati SpA | 8,616 | 363,205 | ||
Snam SpA | 106,584 | 560,398 |
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Shares | Value | |||
Telecom Italia SpA* | 77,209 | $48,218 | ||
Telecom Italia SpA (Borsa Italiana Exchange) | 635,892 | 389,432 | ||
Tenaris SAΔ | 20,917 | 236,988 | ||
Terna Rete Elettrica Nazionale SpA | 90,920 | 608,065 | ||
UniCredit SpA | 78,683 | 1,150,107 | ||
13,312,701 | ||||
Japan — 23.1% | ||||
ABC-Mart, Inc. | 100 | 6,826 | ||
Acom Co., Ltd. | 3,200 | 14,519 | ||
Advantest Corporation | 10,700 | 603,460 | ||
Aeon Co., Ltd. | 41,800 | 862,601 | ||
AEON Financial Service Co., Ltd. | 800 | 12,605 | ||
Aeon Mall Co., Ltd. | 900 | 15,964 | ||
AGC, Inc. | 7,200 | 257,457 | ||
Aisin Seiki Co., Ltd. | 5,800 | 214,830 | ||
Ajinomoto Co., Inc. | 31,600 | 526,055 | ||
Alfresa Holdings Corporation | 4,500 | 91,418 | ||
Alps Alpine Co., Ltd. | 9,400 | 213,374 | ||
Amada Holdings Co., Ltd. | 8,700 | 98,952 | ||
ANA Holdings, Inc. | 7,400 | 247,038 | ||
Aozora Bank, Ltd. | 500 | 13,209 | ||
Asahi Intecc Co., Ltd. | 7,400 | 216,681 | ||
Asahi Kasei Corporation | 46,300 | 519,876 | ||
Astellas Pharma, Inc. | 106,900 | 1,824,782 | ||
Bandai Namco Holdings, Inc. | 8,000 | 486,658 | ||
Bank of Kyoto, Ltd. (The)Δ | 600 | 25,585 | ||
Benesse Holdings, Inc. | 7,600 | 199,764 | ||
Bridgestone Corporation | 25,700 | 954,758 | ||
Brother Industries, Ltd. | 11,600 | 239,578 | ||
Calbee, Inc. | 7,900 | 257,392 | ||
Canon, Inc.Δ | 61,400 | 1,680,425 | ||
Casio Computer Co., Ltd. | 2,100 | 41,965 | ||
Central Japan Railway Co. | 7,400 | 1,487,909 | ||
Chiba Bank, Ltd. (The) | 40,000 | 229,998 | ||
Chubu Electric Power Co., Inc. | 38,800 | 548,471 | ||
Chugai Pharmaceutical Co., Ltd. | 14,500 | 1,335,381 | ||
Chugoku Electric Power Co., Inc. (The) | 3,100 | 40,750 | ||
Coca-Cola Bottlers Japan Holdings, Inc. | 17,900 | 457,350 | ||
Concordia Financial Group, Ltd. | 55,000 | 225,868 | ||
Credit Saison Co., Ltd. | 2,000 | 34,688 | ||
CyberAgent, Inc.Δ | 5,700 | 198,564 | ||
Dai Nippon Printing Co., Ltd. | 10,500 | 283,999 | ||
Daicel Corporation | 3,100 | 29,637 | ||
Daifuku Co., Ltd.Δ | 5,500 | 332,392 | ||
Dai-ichi Life Holdings, Inc. | 44,700 | 736,669 | ||
Daiichi Sankyo Co., Ltd. | 25,000 | 1,651,107 | ||
Daikin Industries, Ltd. | 11,800 | 1,664,860 | ||
Daito Trust Construction Co., Ltd. | 3,500 | 432,517 | ||
Daiwa House Industry Co., Ltd. | 24,600 | 761,539 | ||
Daiwa House REIT Investment Corporation | 101 | 264,098 | ||
Daiwa Securities Group, Inc. | 49,000 | 247,372 | ||
Denso Corporation | 23,900 | 1,079,380 | ||
Dentsu, Inc. | 10,700 | 368,678 | ||
Disco Corporation | 1,500 | 352,238 |
Shares | Value | |||
East Japan Railway Co. | 13,000 | $1,173,406 | ||
Eisai Co., Ltd. | 11,100 | 830,569 | ||
Electric Power Development Co., Ltd. | 8,700 | 211,171 | ||
FamilyMart Co., Ltd. | 15,400 | 368,825 | ||
FANUC Corporation | 9,700 | 1,791,250 | ||
Fast Retailing Co., Ltd. | 2,900 | 1,722,815 | ||
Fuji Electric Co., Ltd. | 2,700 | 82,019 | ||
FUJIFILM Holdings Corporation | 16,000 | 764,094 | ||
Fujitsu, Ltd. | 8,700 | 818,286 | ||
Fukuoka Financial Group, Inc. | 5,700 | 108,905 | ||
GMO Payment Gateway, Inc.Δ | 4,000 | 273,925 | ||
Hakuhodo DY Holdings, Inc. | 5,300 | 85,282 | ||
Hamamatsu Photonics KK | 1,200 | 49,177 | ||
Hankyu Hanshin Holdings, Inc. | 13,100 | 560,361 | ||
Hikari Tsushin, Inc. | 1,200 | 301,558 | ||
Hino Motors, Ltd. | 2,100 | 22,209 | ||
Hirose Electric Co., Ltd. | 605 | 77,338 | ||
Hisamitsu Pharmaceutical Co., Inc. | 3,300 | 160,715 | ||
Hitachi Chemical Co., Ltd. | 1,200 | 50,275 | ||
Hitachi Construction Machinery Co., Ltd. | 7,500 | 223,405 | ||
Hitachi High-Technologies Corporation | 600 | 42,492 | ||
Hitachi Metals, Ltd. | 2,000 | 29,439 | ||
Hitachi, Ltd. | 45,600 | 1,924,126 | ||
Honda Motor Co., Ltd. | 77,400 | 2,190,539 | ||
Hoshizaki Corporation | 2,100 | 187,236 | ||
Hoya Corporation | 18,800 | 1,794,686 | ||
Hulic Co., Ltd. | 26,200 | 315,453 | ||
Idemitsu Kosan Co., Ltd. | 8,736 | 241,391 | ||
IHI CorporationΔ | 3,400 | 79,563 | ||
Iida Group Holdings Co., Ltd. | 2,500 | 43,814 | ||
Inpex Corporation | 43,600 | 451,684 | ||
Isetan Mitsukoshi Holdings, Ltd. | 12,100 | 108,655 | ||
Isuzu Motors, Ltd. | 18,100 | 213,956 | ||
ITOCHU Corporation | 54,100 | 1,253,859 | ||
J. Front Retailing Co., Ltd.Δ | 17,300 | 241,288 | ||
Japan Airlines Co., Ltd. | 6,100 | 189,929 | ||
Japan Airport Terminal Co., Ltd.Δ | 400 | 22,194 | ||
Japan Exchange Group, Inc. | 17,100 | 301,047 | ||
Japan Post Holdings Co., Ltd. | 91,500 | 860,508 | ||
Japan Prime Realty Investment Corporation REIT | 9 | 39,572 | ||
Japan Real Estate Investment Corporation REIT | 46 | 305,279 | ||
Japan Retail Fund Investment Corporation REIT | 40 | 86,076 | ||
JFE Holdings, Inc. | 23,900 | 306,671 | ||
JGC Holdings CorporationΔ | 11,500 | 183,034 | ||
JSR Corporation | 2,200 | 40,244 | ||
JTEKT Corporation | 2,600 | 30,714 | ||
JXTG Holdings, Inc. | 137,150 | 622,466 | ||
Kajima Corporation | 17,500 | 232,666 | ||
Kakaku.com, Inc. | 3,900 | 99,579 | ||
Kansai Electric Power Co., Inc. (The) | 34,300 | 397,359 | ||
Kansai Paint Co., Ltd.Δ | 12,800 | 312,693 | ||
Kao Corporation | 24,200 | 1,995,897 | ||
KDDI Corporation | 81,200 | 2,422,713 |
Table of Contents
Shares | Value | |||
Keihan Holdings Co., Ltd. | 400 | $19,423 | ||
Keikyu Corporation | 14,200 | 273,761 | ||
Keio Corporation | 1,400 | 84,713 | ||
Keisei Electric Railway Co., Ltd. | 1,500 | 58,124 | ||
Keyence Corporation | 8,800 | 3,090,019 | ||
Kikkoman Corporation | 13,800 | 675,576 | ||
Kintetsu Group Holdings Co., Ltd. | 5,900 | 320,015 | ||
Kobayashi Pharmaceutical Co., Ltd. | 2,300 | 194,813 | ||
Koito Manufacturing Co., Ltd. | 4,300 | 199,116 | ||
Komatsu, Ltd. | 50,300 | 1,207,273 | ||
Konami Holdings Corporation | 5,500 | 226,009 | ||
Konica Minolta, Inc. | 23,900 | 155,687 | ||
Kose CorporationΔ | 1,400 | 204,070 | ||
Kubota Corporation | 59,800 | 939,054 | ||
Kuraray Co., Ltd. | 7,300 | 88,460 | ||
KuritaWater Industries, Ltd. | 900 | 26,707 | ||
Kyocera Corporation | 12,500 | 851,946 | ||
Kyowa Kirin Co., Ltd. | 29,300 | 690,319 | ||
Kyushu Electric Power Co., Inc. | 24,000 | 208,224 | ||
Kyushu Railway Co. | 11,000 | 368,254 | ||
Lawson, Inc.Δ | 3,900 | 221,374 | ||
LINE Corporation* | 5,200 | 255,488 | ||
Lion Corporation | 11,600 | 225,489 | ||
LIXIL Group Corporation | 11,900 | 205,357 | ||
M3, Inc. | 17,400 | 524,708 | ||
Makita Corporation | 7,900 | 272,826 | ||
Marubeni Corporation | 64,200 | 474,334 | ||
Marui Group Co., Ltd. | 6,200 | 151,172 | ||
Maruichi Steel Tube, Ltd. | 400 | 11,241 | ||
Mazda Motor Corporation | 20,700 | 176,394 | ||
McDonald’s Holdings Co. Japan, Ltd.Δ | 5,400 | 260,165 | ||
Medipal Holdings Corporation | 4,500 | 99,317 | ||
MEIJI Holdings Co., Ltd. | 8,000 | 540,642 | ||
MINEBEA MITSUMI, Inc. | 13,700 | 282,989 | ||
MISUMI Group, Inc.Δ | 9,900 | 245,026 | ||
Mitsubishi Chemical Holdings Corporation | 60,200 | 448,561 | ||
Mitsubishi Corporation | 63,100 | 1,671,605 | ||
Mitsubishi Electric Corporation | 91,900 | 1,251,282 | ||
Mitsubishi Estate Co., Ltd. | 48,200 | 922,301 | ||
Mitsubishi Gas Chemical Co., Inc. | 5,500 | 83,788 | ||
Mitsubishi Heavy Industries, Ltd. | 13,700 | 531,243 | ||
Mitsubishi Materials Corporation | 3,100 | 84,133 | ||
Mitsubishi Motors Corporation | 37,400 | 155,893 | ||
Mitsubishi Tanabe Pharma Corporation | 19,400 | 355,895 | ||
Mitsubishi UFJ Financial Group, Inc. | 578,600 | 3,128,106 | ||
Mitsubishi UFJ Lease & Finance Co., Ltd. | 38,900 | 250,426 | ||
Mitsui & Co., Ltd. | 64,700 | 1,150,077 | ||
Mitsui Chemicals, Inc. | 9,400 | 228,978 | ||
Mitsui Fudosan Co., Ltd. | 49,800 | 1,217,108 | ||
Mizuho Financial Group, Inc. | 1,187,900 | 1,829,865 | ||
MonotaRO Co., Ltd. | 4,000 | 106,484 | ||
MS&AD Insurance Group Holdings, Inc. | 18,400 | 607,360 | ||
Murata Manufacturing Co., Ltd. | 27,700 | 1,704,896 | ||
Nagoya Railroad Co., Ltd. | 1,600 | 49,685 |
Shares | Value | |||
NEC Corporation | 10,400 | $430,398 | ||
Nexon Co., Ltd.* | 18,700 | 248,061 | ||
NGK Insulators, Ltd. | 11,900 | 207,013 | ||
NGK Spark Plug Co., Ltd. | 4,500 | 87,228 | ||
NH Foods, Ltd. | 6,500 | 269,252 | ||
Nidec Corporation | 10,400 | 1,420,472 | ||
Nikon Corporation | 13,200 | 161,431 | ||
Nintendo Co., Ltd. | 5,500 | 2,199,781 | ||
Nippon Building Fund, Inc. REIT | 44 | 322,531 | ||
Nippon Express Co., Ltd. | 4,000 | 234,476 | ||
Nippon Paint Holdings Co., Ltd.Δ | 7,300 | 375,816 | ||
Nippon Prologis REIT, Inc. | 121 | 308,176 | ||
Nippon Steel Corporation | 31,000 | 467,261 | ||
Nippon Telegraph & Telephone Corporation | 57,600 | 1,455,765 | ||
Nissan Chemical Corporation | 5,900 | 247,079 | ||
Nissan Motor Co., Ltd. | 88,200 | 511,096 | ||
Nisshin Seifun Group, Inc. | 15,300 | 266,946 | ||
Nissin Foods Holdings Co., Ltd. | 4,300 | 319,373 | ||
Nitori Holdings Co., Ltd. | 3,500 | 552,480 | ||
Nitto Denko Corporation | 7,100 | 399,217 | ||
Nomura Holdings, Inc. | 160,800 | 827,443 | ||
Nomura Real Estate Master Fund, Inc. REIT | 184 | 314,738 | ||
Nomura Research Institute, Ltd. | 17,157 | 366,920 | ||
NSK, Ltd. | 22,800 | 215,533 | ||
NTT Data Corporation | 29,300 | 391,858 | ||
NTT DOCOMO, Inc. | 60,100 | 1,674,154 | ||
Obayashi Corporation | 26,400 | 293,216 | ||
Obic Co., Ltd. | 2,600 | 350,222 | ||
Odakyu Electric Railway Co., Ltd. | 9,000 | 209,961 | ||
Oji Holdings Corporation | 31,000 | 167,648 | ||
Olympus Corporation | 54,000 | 832,286 | ||
Omron Corporation | 12,000 | 699,458 | ||
Ono Pharmaceutical Co., Ltd. | 29,800 | 680,343 | ||
Oracle Corporation | 700 | 63,531 | ||
Oriental Land Co., Ltd. | 8,900 | 1,214,328 | ||
ORIX Corporation | 76,900 | 1,274,338 | ||
Orix JREIT, Inc. | 119 | 257,938 | ||
Osaka Gas Co., Ltd. | 14,000 | 267,725 | ||
Otsuka Corporation | 6,900 | 275,551 | ||
Otsuka Holdings Co., Ltd. | 22,100 | 985,091 | ||
Pan Pacific International Holdings Corporation | 18,400 | 305,280 | ||
Panasonic Corporation | 112,600 | 1,056,097 | ||
Park24 Co., Ltd. | 7,600 | 186,094 | ||
PeptiDream, Inc.* | 5,900 | 301,510 | ||
Persol Holdings Co., Ltd. | 9,400 | 176,167 | ||
Pigeon CorporationΔ | 6,500 | 238,005 | ||
Pola Orbis Holdings, Inc.Δ | 7,300 | 173,879 | ||
Rakuten, Inc.Δ | 35,400 | 302,429 | ||
Recruit Holdings Co., Ltd. | 54,000 | 2,022,589 | ||
Renesas Electronics Corporation* | 45,200 | 308,804 | ||
Resona Holdings, Inc. | 92,600 | 403,600 | ||
Ricoh Co., Ltd. | 24,800 | 269,861 | ||
Rinnai CorporationΔ | 2,600 | 203,188 | ||
Rohm Co., Ltd. | 3,100 | 247,346 | ||
Ryohin Keikaku Co., Ltd. | 11,000 | 256,370 |
Table of Contents
Shares | Value | |||
Santen Pharmaceutical Co., Ltd. | 34,300 | $653,180 | ||
SBI Holdings, Inc. | 9,400 | 198,455 | ||
Secom Co., Ltd. | 11,500 | 1,026,292 | ||
Seibu Holdings, Inc. | 13,200 | 217,136 | ||
Seiko Epson Corporation | 17,200 | 259,700 | ||
Sekisui Chemical Co., Ltd. | 16,800 | 291,478 | ||
Sekisui House, Ltd. | 31,600 | 674,813 | ||
Seven & i Holdings Co., Ltd. | 40,100 | 1,469,883 | ||
Seven Bank, Ltd.Δ | 4,800 | 15,725 | ||
Sharp CorporationΔ | 9,500 | 145,184 | ||
Shimadzu Corporation | 15,100 | 472,225 | ||
Shimamura Co., Ltd. | 200 | 15,205 | ||
Shimano, Inc.Δ | 3,200 | 519,139 | ||
Shimizu Corporation | 26,800 | 273,007 | ||
Shin-Etsu Chemical Co., Ltd. | 17,900 | 1,968,519 | ||
Shinsei Bank, Ltd. | 400 | 6,103 | ||
Shionogi & Co., Ltd. | 19,000 | 1,175,369 | ||
Shiseido Co., Ltd. | 19,000 | 1,349,190 | ||
Shizuoka Bank, Ltd. (The) | 5,000 | 37,191 | ||
Showa Denko KK | 5,600 | 147,591 | ||
SMC Corporation | 3,000 | 1,371,946 | ||
Softbank Corporation | 70,500 | 945,382 | ||
SoftBank Group Corporation | 78,300 | 3,399,555 | ||
Sohgo Security Services Co., Ltd. | 600 | 32,475 | ||
Sompo Holdings, Inc. | 13,600 | 534,067 | ||
Sony Corporation | 58,100 | 3,944,857 | ||
Sony Financial Holdings, Inc. | 4,600 | 110,422 | ||
Square Enix Holdings Co., Ltd. | 4,200 | 209,134 | ||
Stanley Electric Co., Ltd. | 7,300 | 210,833 | ||
Subaru Corporation | 21,900 | 542,459 | ||
SUMCO Corporation | 14,200 | 235,277 | ||
Sumitomo Chemical Co., Ltd. | 51,000 | 231,569 | ||
Sumitomo Corporation | 45,500 | 675,827 | ||
Sumitomo Dainippon Pharma Co., Ltd. | 12,500 | 242,189 | ||
Sumitomo Electric Industries, Ltd. | 34,000 | 510,617 | ||
Sumitomo Heavy Industries, Ltd. | 9,500 | 269,846 | ||
Sumitomo Metal Mining Co., Ltd. | 9,900 | 318,780 | ||
Sumitomo Mitsui Financial Group, Inc. | 59,100 | 2,182,880 | ||
Sumitomo Mitsui Trust Holdings, Inc. | 13,800 | 545,527 | ||
Sumitomo Realty & Development Co., Ltd. | 18,000 | 628,011 | ||
Sumitomo Rubber Industries, Ltd. | 15,700 | 191,442 | ||
Sundrug Co., Ltd. | 6,600 | 238,801 | ||
Suntory Beverage & Food, Ltd. | 17,700 | 738,951 | ||
Suzuken Co., Ltd. | 1,900 | 77,440 | ||
Suzuki Motor Corporation | 13,600 | 567,691 | ||
Sysmex Corporation | 7,300 | 497,020 | ||
T&D Holdings, Inc. | 22,500 | 284,528 | ||
Taiheiyo Cement Corporation | 7,100 | 208,407 | ||
Taisei Corporation | 11,000 | 455,632 | ||
Taisho Pharmaceutical Holdings Co., Ltd. | 5,400 | 398,494 | ||
Taiyo Nippon Sanso Corporation | 1,200 | 26,561 | ||
Takeda Pharmaceutical Co., Ltd. | 71,536 | 2,829,408 | ||
TDK Corporation | 5,100 | 573,134 | ||
Teijin, Ltd. | 2,600 | 48,574 |
Shares | Value | |||
Terumo Corporation | 35,700 | $1,266,433 | ||
THK Co., Ltd. | 9,100 | 244,319 | ||
Tobu Railway Co., Ltd. | 2,000 | 72,402 | ||
Toho Co., Ltd. | 2,900 | 120,849 | ||
Toho Gas Co., Ltd.Δ | 300 | 12,250 | ||
Tohoku Electric Power Co., Inc. | 19,200 | 190,341 | ||
Tokio Marine Holdings, Inc. | 32,100 | 1,797,241 | ||
Tokyo Century Corporation | 2,400 | 127,785 | ||
Tokyo Electric Power Co. Holdings, Inc.* | 56,100 | 240,139 | ||
Tokyo Electron, Ltd. | 6,600 | 1,440,978 | ||
Tokyo Gas Co., Ltd. | 20,300 | 493,268 | ||
Tokyu Corporation | 17,400 | 321,773 | ||
Tokyu Fudosan Holdings Corporation | 34,600 | 238,924 | ||
Toppan Printing Co., Ltd. | 14,000 | 289,215 | ||
Toray Industries, Inc. | 85,700 | 580,662 | ||
Toshiba Corporation | 25,300 | 858,726 | ||
Tosoh Corporation | 16,800 | 258,817 | ||
TOTO, Ltd.Δ | 6,700 | 282,922 | ||
Toyo Seikan Group Holdings, Ltd. | 2,300 | 39,593 | ||
Toyo Suisan Kaisha, Ltd. | 4,200 | 178,356 | ||
Toyoda Gosei Co., Ltd. | 500 | 12,485 | ||
Toyota Industries Corporation | 5,300 | 304,962 | ||
Toyota Motor Corporation | 105,016 | 7,399,586 | ||
Toyota Tsusho Corporation | 7,800 | 273,996 | ||
Trend Micro, Inc. | 4,300 | 220,030 | ||
Tsuruha Holdings, Inc. | 1,900 | 243,956 | ||
Unicharm Corporation | 30,400 | 1,026,523 | ||
United Urban Investment Corporation REIT | 156 | 292,977 | ||
USS Co., Ltd. | 5,700 | 107,749 | ||
Welcia Holdings Co., Ltd.Δ | 2,300 | 146,117 | ||
West Japan Railway Co. | 7,800 | 674,650 | ||
Yakult Honsha Co., Ltd. | 11,800 | 650,328 | ||
Yamada Denki Co., Ltd. | 7,600 | 40,326 | ||
Yamaha Corporation | 5,400 | 299,395 | ||
Yamaha Motor Co., Ltd. | 10,200 | 204,336 | ||
Yamato Holdings Co., Ltd. | 10,600 | 180,726 | ||
Yamazaki Baking Co., Ltd. | 7,200 | 128,659 | ||
Yaskawa Electric Corporation | 9,000 | 339,039 | ||
Yokogawa Electric Corporation | 2,500 | 43,903 | ||
Yokohama Rubber Co., Ltd. (The) | 1,000 | 19,395 | ||
Z Holdings Corporation | 146,400 | 618,118 | ||
ZOZO, Inc. | 5,700 | 109,012 | ||
165,119,150 | ||||
Jersey — 0.7% | ||||
Experian PLC | 47,391 | 1,601,996 | ||
Ferguson PLC | 9,304 | 844,200 | ||
Glencore PLC* | 516,891 | 1,611,380 | ||
WPP PLC | 54,275 | 766,735 | ||
4,824,311 | ||||
Netherlands — 5.0% | ||||
ABN AMRO Bank NV CVA 144A | 19,173 | 348,833 | ||
Adyen NV 144AΔ* | 426 | 349,304 | ||
Aegon NV | 91,686 | 418,267 | ||
AerCap Holdings NV* | 7,106 | 436,806 |
Table of Contents
Shares | Value | |||
Airbus SE | 28,116 | $4,115,042 | ||
Akzo Nobel NV | 11,693 | 1,188,838 | ||
ArcelorMittal | 27,312 | 479,206 | ||
ASML Holding NV | 19,990 | 5,912,888 | ||
CNH Industrial NVΔ | 43,467 | 477,263 | ||
EXOR NV | 4,203 | 325,865 | ||
Ferrari NV | 4,491 | 745,666 | ||
Fiat Chrysler Automobiles NV | 41,027 | 608,288 | ||
ING Groep NV | 190,304 | 2,281,503 | ||
Koninklijke Ahold Delhaize NV | 67,756 | 1,694,463 | ||
Koninklijke DSM NV | 9,439 | 1,229,235 | ||
Koninklijke KPN NV | 130,887 | 386,273 | ||
Koninklijke Philips NV | 48,889 | 2,386,584 | ||
Koninklijke Vopak NV | 1,980 | 107,339 | ||
NN Group NV | 13,623 | 516,801 | ||
NXP Semiconductor NV | 13,293 | 1,691,667 | ||
Prosus NV* | 22,500 | 1,679,101 | ||
QIAGEN NV* | 14,497 | 493,961 | ||
Randstad NV | 7,963 | 486,264 | ||
STMicroelectronics NV | 30,848 | 829,415 | ||
Unibail-Rodamco-Westfield REIT | 6,095 | 961,591 | ||
Unilever NV | 72,311 | 4,155,330 | ||
Wolters Kluwer NV | 17,980 | 1,311,334 | ||
35,617,127 | ||||
New Zealand — 0.2% | ||||
a2 Milk Co., Ltd.* | 45,565 | 460,729 | ||
Auckland International Airport, Ltd. | 67,484 | 397,515 | ||
Fisher & Paykel Healthcare Corporation, Ltd. | 24,725 | 369,516 | ||
Fletcher Building, Ltd. | 50,457 | 172,895 | ||
Meridian Energy, Ltd. | 12,874 | 43,334 | ||
Spark New Zealand, Ltd. | 86,942 | 253,432 | ||
1,697,421 | ||||
Norway — 0.7% | ||||
Aker BP ASA | 5,224 | 171,454 | ||
DNB ASA | 42,506 | 795,411 | ||
Equinor ASA | 57,972 | 1,156,094 | ||
Gjensidige Forsikring ASA | 19,578 | 410,960 | ||
Mowi ASA | 26,051 | 677,350 | ||
Norsk Hydro ASA | 56,215 | 209,042 | ||
Orkla ASA | 60,619 | 614,726 | ||
Schibsted ASA, B Shares | 3,001 | 85,760 | ||
Telenor ASA | 35,082 | 628,869 | ||
Yara International ASA | 5,948 | 247,816 | ||
4,997,482 | ||||
Papua New Guinea — 0.0% | ||||
Oil Search, Ltd. | 54,263 | 276,073 | ||
Portugal — 0.2% | ||||
EDP - Energias de Portugal SA | 129,216 | 560,054 | ||
Galp Energia SGPS SA | 27,004 | 451,327 | ||
Jeronimo Martins SGPS SA | 14,871 | 244,624 | ||
1,256,005 | ||||
Singapore — 1.3% | ||||
Ascendas REIT | 144,607 | 319,330 |
Shares | Value | |||
CapitaLand Commercial Trust REIT | 41,879 | $61,965 | ||
CapitaLand Mall Trust REIT | 117,500 | 214,915 | ||
CapitaLand, Ltd. | 199,700 | 556,805 | ||
City Developments, Ltd.Δ | 37,300 | 303,680 | ||
ComfortDelGro Corporation, Ltd. | 29,600 | 52,380 | ||
Dairy Farm International Holdings, Ltd. | 17,300 | 98,783 | ||
DBS Group Holdings, Ltd. | 87,612 | 1,685,861 | ||
Hongkong Land Holdings, Ltd. | 42,500 | 244,375 | ||
Jardine Cycle & Carriage, Ltd. | 8,811 | 197,190 | ||
Jardine Matheson Holdings, Ltd. | 9,200 | 511,520 | ||
Jardine Strategic Holdings, Ltd. | 7,400 | 226,810 | ||
Keppel Corporation, Ltd. | 55,600 | 279,871 | ||
Oversea-Chinese Banking Corporation, Ltd. | 132,843 | 1,084,513 | ||
SATS, Ltd. | 9,200 | 34,612 | ||
Singapore Airlines, Ltd. | 30,700 | 206,348 | ||
Singapore Exchange, Ltd. | 7,800 | 51,383 | ||
Singapore Press Holdings, Ltd. | 116,700 | 189,157 | ||
Singapore Technologies Engineering, Ltd. | 16,100 | 47,165 | ||
Singapore Telecommunications, Ltd. | 353,400 | 885,504 | ||
Suntec REIT | 26,900 | 36,801 | ||
United Overseas Bank, Ltd. | 53,959 | 1,059,562 | ||
UOL Group, Ltd. | 7,561 | 46,773 | ||
Venture Corporation, Ltd. | 10,300 | 124,064 | ||
Wilmar International, Ltd. | 188,000 | 575,902 | ||
Yangzijiang Shipbuilding Holdings, Ltd. | 88,700 | 73,864 | ||
9,169,133 | ||||
Spain — 2.8% | ||||
ACS Actividades de Construccion y Servicios SA | 15,925 | 636,819 | ||
Aena SME SA 144A | 3,930 | 751,612 | ||
Amadeus IT Group SAΔ | 22,411 | 1,830,077 | ||
Banco Bilbao Vizcaya Argentaria SA | 362,375 | 2,025,470 | ||
Banco de Sabadell SAΔ | 172,285 | 200,982 | ||
Banco Santander SA | 811,780 | 3,396,440 | ||
Bankia SA | 11,453 | 24,441 | ||
Bankinter SA | 24,002 | 175,861 | ||
CaixaBank SA | 130,072 | 408,233 | ||
Cellnex Telecom SA 144AΔ* | 11,970 | 515,184 | ||
Enagas SA | 10,800 | 275,481 | ||
Endesa SAΔ | 13,556 | 361,745 | ||
Ferrovial SAΔ | 27,393 | 828,700 | ||
Grifols SAΔ | 11,220 | 395,562 | ||
Iberdrola SA | 284,970 | 2,934,395 | ||
Industria de Diseno Textil SA | 55,596 | 1,961,286 | ||
Mapfre SA | 10,729 | 28,402 | ||
Naturgy Energy Group SA | 9,739 | 244,703 | ||
Red Electrica Corporation SA | 14,624 | 294,037 | ||
Repsol SA | 77,485 | 1,210,725 | ||
Siemens Gamesa Renewable Energy SAΔ | 6,866 | 120,414 | ||
Telefonica SA | 228,227 | 1,594,126 | ||
20,214,695 |
Table of Contents
Shares | Value | |||
Sweden — 2.5% | ||||
Alfa Laval AB | 9,705 | $244,413 | ||
Assa Abloy AB, B Shares | 55,581 | 1,299,231 | ||
Atlas Copco AB, A Shares | 37,852 | 1,510,888 | ||
Atlas Copco AB, B Shares | 15,381 | 534,044 | ||
Boliden AB | 9,794 | 260,116 | ||
Electrolux AB, Series B | 13,970 | 343,429 | ||
Epiroc AB, A SharesΔ | 8,156 | 99,742 | ||
Epiroc AB, B Shares | 46,082 | 547,671 | ||
Essity AB, B Shares | 39,754 | 1,280,327 | ||
Hennes & Mauritz AB, B SharesΔ | 37,981 | 774,719 | ||
Hexagon AB, B Shares | 9,655 | 541,175 | ||
Husqvarna AB, B Shares | 23,565 | 188,843 | ||
ICA Gruppen AB | 5,526 | 258,130 | ||
Industrivarden AB, C Shares | 8,930 | 215,352 | ||
Investor AB, B Shares | 39,998 | 2,183,644 | ||
Kinnevik AB Class B | 8,239 | 201,897 | ||
L E Lundbergforetagen AB, B Shares | 660 | 28,973 | ||
Lundin Petroleum AB | 8,084 | 274,488 | ||
Millicom International Cellular SA SDR | 3,847 | 184,748 | ||
Sandvik AB | 46,877 | 913,041 | ||
Securitas AB, B Shares | 14,981 | 258,111 | ||
Skandinaviska Enskilda Banken AB, A Shares | 63,139 | 593,751 | ||
Skanska AB, B Shares | 13,311 | 301,116 | ||
SKF AB, B Shares | 13,321 | 269,701 | ||
Svenska Handelsbanken AB, A Shares | 65,615 | 706,690 | ||
Swedbank AB, A SharesΔ | 34,481 | 512,594 | ||
Tele2 AB, B SharesΔ | 19,177 | 278,336 | ||
Telefonaktiebolaget LM Ericsson, B Shares | 152,650 | 1,333,828 | ||
Telia Co. AB | 126,527 | 543,627 | ||
Volvo AB, B Shares | 64,570 | 1,080,979 | ||
17,763,604 | ||||
Switzerland — 9.3% | ||||
ABB, Ltd. | 91,674 | 2,211,465 | ||
Adecco Group AG | 4,776 | 301,950 | ||
Alcon, Inc.* | 19,678 | 1,114,594 | ||
Baloise Holding AG | 1,016 | 183,881 | ||
Barry Callebaut AG | 138 | 304,633 | ||
Chocoladefabriken Lindt & Spruengli AG | 7 | 618,413 | ||
Chocoladefabriken Lindt & Spruengli AG (Swiss Exchange) | 120 | 931,804 | ||
Cie Financiere Richemont SA | 30,015 | 2,345,700 | ||
Clariant AG* | 5,445 | 121,687 | ||
Coca-Cola HBC AG* | 37,576 | 1,276,682 | ||
Credit Suisse Group AG* | 106,526 | 1,439,984 | ||
Dufry AG* | 1,201 | 119,093 | ||
EMS-Chemie Holding AG | 209 | 137,404 | ||
Geberit AG | 1,465 | 822,277 | ||
Givaudan SAΔ | 333 | 1,043,287 | ||
Julius Baer Group, Ltd.* | 11,052 | 569,763 | ||
Kuehne + Nagel International AG | 1,638 | 276,276 | ||
LafargeHolcim, Ltd.* | 1,494 | 82,031 | ||
LafargeHolcim, Ltd. (Swiss Exchange)* | 19,045 | 1,056,569 |
Shares | Value | |||
Lonza Group AGΔ* | 3,338 | $1,217,727 | ||
Nestle SA | 145,367 | 15,738,198 | ||
Novartis AG | 101,964 | 9,654,931 | ||
Pargesa Holding SA | 251 | 20,853 | ||
Partners Group Holding AGΔ | 623 | 570,997 | ||
Roche Holding AG | 34,391 | 11,177,172 | ||
Schindler Holding AG | 838 | 205,220 | ||
Schindler Holding AG (Swiss Exchange)Δ | 1,136 | 288,886 | ||
SGS SA | 253 | 692,884 | ||
Sika AG | 4,914 | 922,827 | ||
Sonova Holding AG | 2,427 | 554,833 | ||
Straumann Holding AGΔ | 601 | 589,540 | ||
Swatch Group AG (The) | 1,344 | 375,252 | ||
Swatch Group AG (The) (Swiss Exchange) | 15,046 | 795,930 | ||
Swiss Life Holding AG | 710 | 356,186 | ||
Swiss Prime Site AG* | 4,727 | 546,887 | ||
Swiss Re AG | 11,416 | 1,282,502 | ||
Swisscom AG | 1,391 | 736,362 | ||
Temenos AG* | 3,832 | 606,182 | ||
UBS Group AG* | 161,947 | 2,043,672 | ||
Vifor Pharma AG | 2,839 | 518,133 | ||
Zurich Insurance Group AG | 6,382 | 2,617,894 | ||
66,470,561 | ||||
United Kingdom — 14.6% | ||||
3i Group PLC | 54,344 | 790,385 | ||
Admiral Group PLC | 16,537 | 505,784 | ||
Anglo American PLC | 43,454 | 1,250,761 | ||
Antofagasta PLC | 23,560 | 286,111 | ||
Ashtead Group PLC | 21,261 | 679,839 | ||
Associated British Foods PLC | 28,326 | 974,786 | ||
AstraZeneca PLC | 63,449 | 6,393,269 | ||
Auto Trader Group PLC 144A | 48,519 | 382,139 | ||
Aviva PLC | 201,169 | 1,115,704 | ||
BAE Systems PLC | 180,364 | 1,349,365 | ||
Barclays PLC | 815,678 | 1,940,915 | ||
Barratt Developments PLC | 50,118 | 495,640 | ||
Berkeley Group Holdings PLC | 6,733 | 433,352 | ||
BHP Group PLC | 100,288 | 2,360,328 | ||
BP PLC | 921,992 | 5,759,513 | ||
British Land Co. PLC (The) REIT | 38,543 | 326,133 | ||
BT Group PLC | 453,308 | 1,155,510 | ||
Bunzl PLC | 22,304 | 610,081 | ||
Burberry Group PLC | 26,208 | 765,468 | ||
Carnival PLC | 9,106 | 439,532 | ||
Centrica PLC | 288,146 | 340,839 | ||
Coca-Cola European Partners PLC | 29,712 | 1,511,747 | ||
Compass Group PLC | 87,542 | 2,191,609 | ||
Croda International PLC | 3,881 | 263,208 | ||
Direct Line Insurance Group PLC | 64,437 | 266,729 | ||
easyJet PLC | 11,091 | 209,275 | ||
Evraz PLC | 40,533 | 216,908 | ||
G4S PLC | 106,286 | 306,915 | ||
GlaxoSmithKline PLC | 271,005 | 6,386,134 | ||
Halma PLC | 16,991 | 476,233 | ||
Hargreaves Lansdown PLC | 10,678 | 273,688 |
Table of Contents
Shares | Value | |||
HSBC Holdings PLC | 951,899 | $7,463,182 | ||
Informa PLC | 61,491 | 698,035 | ||
InterContinental Hotels Group PLC | 11,091 | 765,115 | ||
Intertek Group PLC | 8,134 | 630,512 | ||
ITV PLC | 231,678 | 463,390 | ||
J Sainsbury PLC | 118,172 | 359,864 | ||
JD Sports Fashion PLC | 19,923 | 220,990 | ||
Johnson Matthey PLC | 6,759 | 268,231 | ||
Kingfisher PLC | 173,177 | 497,777 | ||
Land Securities Group PLC REIT | 42,490 | 557,194 | ||
Legal & General Group PLC | 250,445 | 1,005,171 | ||
Lloyds Banking Group PLC | 3,156,523 | 2,613,207 | ||
London Stock Exchange Group PLC | 15,493 | 1,590,457 | ||
M&G PLC* | 116,852 | 367,143 | ||
Marks & Spencer Group PLC | 94,323 | 266,748 | ||
Meggitt PLC | 30,413 | 264,592 | ||
Melrose Industries PLC | 189,229 | 601,817 | ||
Micro Focus International PLC | 13,331 | 187,848 | ||
Mondi PLC | 17,953 | 421,510 | ||
National Grid PLC | 184,211 | 2,304,148 | ||
Next PLC | 7,706 | 716,353 | ||
NMC Health PLCΔ | 2,437 | 57,040 | ||
Ocado Group PLC* | 22,804 | 386,337 | ||
Pearson PLC | 41,042 | 346,300 | ||
Persimmon PLC | 14,726 | 525,688 | ||
Prudential PLC | 116,852 | 2,242,794 | ||
Reckitt Benckiser Group PLC | 37,886 | 3,075,765 | ||
RELX PLC | 105,410 | 2,660,575 | ||
Rentokil Initial PLC | 101,023 | 606,182 | ||
Rio Tinto PLC | 55,193 | 3,292,083 | ||
Rolls-Royce Holdings PLC* | 66,226 | 599,323 | ||
Royal Bank of Scotland Group PLC | 194,604 | 619,427 | ||
Royal Dutch Shell PLC, A Shares | 195,408 | 5,785,017 | ||
Royal Dutch Shell PLC, B Shares | 177,121 | 5,254,192 | ||
RSA Insurance Group PLC | 43,200 | 323,652 | ||
Sage Group PLC (The) | 46,576 | 462,092 | ||
Schroders PLC | 6,913 | 305,293 | ||
Segro PLC REIT | 55,077 | 654,552 | ||
Severn Trent PLC | 9,681 | 322,510 | ||
Smith & Nephew PLC | 37,840 | 918,502 | ||
Smiths Group PLC | 15,525 | 346,922 | ||
Spirax-Sarco Engineering PLC | 3,375 | 397,430 | ||
SSE PLC | 72,386 | 1,379,270 | ||
St. James’s Place PLC | 18,780 | 289,681 | ||
Standard Chartered PLC | 118,779 | 1,120,852 | ||
Standard Life Aberdeen PLC | 114,480 | 497,532 | ||
Taylor Wimpey PLC | 203,676 | 521,772 | ||
Tesco PLC | 462,243 | 1,562,557 | ||
Unilever PLC | 57,888 | 3,335,896 |
Shares | Value | |||
United Utilities Group PLC | 27,605 | $344,960 | ||
Vodafone Group PLC | 1,284,807 | 2,497,643 | ||
Weir Group PLC (The) | 10,978 | 219,503 | ||
Whitbread PLC | 6,176 | 396,438 | ||
Wm Morrison Supermarkets PLC | 146,161 | 386,823 | ||
104,455,787 | ||||
Total Foreign Common Stocks (Cost $627,660,395) | 670,610,670 | |||
FOREIGN PREFERRED STOCKS — 0.5% | ||||
Germany — 0.5% | ||||
Henkel AG & Co. KGaA | ||||
2.06%, 04/09/19 | 11,912 | 1,230,516 | ||
Porsche Automobil Holding SE | ||||
3.35%, 06/28/19 | 4,564 | 338,641 | ||
Sartorius AG | ||||
0.33%, 03/29/19 | 1,809 | 386,695 | ||
Volkswagen AG | ||||
2.73%, 05/15/19 | 9,233 | 1,817,409 | ||
3,773,261 | ||||
Total Foreign Preferred Stocks (Cost $3,420,464) | 3,773,261 | |||
RIGHTS — 0.0% | ||||
Repsol SAΔ* (Cost $36,619) | 77,485 | 36,765 | ||
MONEY MARKET FUNDS — 4.6% | ||||
GuideStone Money Market Fund, 1.53% (Institutional Class)Ø∞ | 30,770,243 | 30,770,243 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 1.57%ا | 1,670,877 | 1,670,877 | ||
Total Money Market Funds (Cost $32,441,120) | 32,441,120 |
Par | |||
U.S. TREASURY OBLIGATION — 0.2% | |||
U.S. Treasury Bill | |||
1.52%, 05/07/20Ω‡‡ (Cost $1,193,540) | $1,200,000 | 1,193,621 | |
TOTAL INVESTMENTS —99.2% (Cost $664,982,892) | 708,304,906 | ||
Other Assets in Excess of Liabilities — 0.8% | 5,559,053 | ||
NET ASSETS — 100.0% | $713,863,959 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index E-Mini | 03/2020 | 386 | $39,304,450 | $123,577 |
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stock | $249,469 | $249,469 | $— | $— | |||
Foreign Common Stocks: | |||||||
Austria | 1,234,062 | — | 1,234,062 | — | |||
Denmark | 10,232,725 | — | 10,232,725 | — | |||
Finland | 6,964,606 | — | 6,964,606 | — | |||
Germany | 53,246,527 | 294,158 | 52,952,369 | — | |||
Italy | 13,312,701 | — | 13,312,701 | — | |||
Japan | 165,119,150 | — | 165,119,150 | — | |||
Netherlands | 35,617,127 | 32,966,084 | 2,651,043 | — | |||
Norway | 4,997,482 | — | 4,997,482 | — | |||
Sweden | 17,763,604 | — | 17,763,604 | — | |||
Switzerland | 66,470,561 | 1,358,713 | 65,111,848 | — | |||
Other^^ | 295,652,125 | 295,652,125 | — | — | |||
Total Foreign Common Stocks | 670,610,670 | 330,271,080 | 340,339,590 | — | |||
Foreign Preferred Stocks | 3,773,261 | — | 3,773,261 | — | |||
Money Market Funds | 32,441,120 | 32,441,120 | — | — | |||
Rights | 36,765 | — | 36,765 | — | |||
U.S. Treasury Obligation | 1,193,621 | — | 1,193,621 | — | |||
Total Assets - Investments in Securities | $708,304,906 | $362,961,669 | $345,343,237 | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $123,577 | $123,577 | $— | $— | |||
Total Assets - Other Financial Instruments | $123,577 | $123,577 | $ — | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
*** | 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. |
Table of Contents
Table of Contents
% | |
Industrials | 16.8 |
Financials | 16.5 |
Consumer Discretionary | 14.6 |
Health Care | 12.9 |
Information Technology | 11.5 |
Consumer Staples | 7.3 |
Communication Services | 6.6 |
Materials | 5.3 |
Money Market Funds | 4.6 |
Energy | 4.4 |
Utilities | 3.2 |
Real Estate | 0.5 |
U.S. Treasury Obligation | 0.1 |
Foreign Preferred Stocks Sold Short | —** |
Foreign Common Stocks Sold Short | (5.3) |
99.0 | |
**Rounds to less than 0.1% |
Table of Contents
Average Annual Total Returns as of 12/31/19 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | 23.45% | 23.10% | 22.01% | ||||
Five Year | 6.62% | 6.34% | 5.67% | ||||
Ten year | 5.56% | 5.29% | 5.06% | ||||
Since Inception | 5.95% | 5.74% | 6.12% | ||||
Inception Date | 08/27/01 | 08/27/01 | |||||
Total Fund Operating Expenses (April 30, 2019 Prospectus)(1) | 1.14% | 1.41% |
(1) | Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights. |
Table of Contents
Shares | Value | |||
COMMON STOCKS — 1.8% | ||||
Consumer Discretionary — 0.8% | ||||
Lululemon Athletica, Inc.* | 18,547 | $4,296,783 | ||
Trip.com Group, Ltd. ADR* | 14,700 | 493,038 | ||
Yum China Holdings, Inc. | 127,111 | 6,102,599 | ||
10,892,420 | ||||
Health Care — 1.0% | ||||
Mettler-Toledo International, Inc.* | 6,570 | 5,211,850 | ||
ResMed, Inc. | 47,925 | 7,426,937 | ||
12,638,787 | ||||
Total Common Stocks (Cost $18,130,634) | 23,531,207 | |||
FOREIGN COMMON STOCKS — 97.6% | ||||
Australia — 3.3% | ||||
Afterpay, Ltd.* | 41,608 | 854,930 | ||
AMP, Ltd. | 1,140,880 | 1,533,173 | ||
Ansell, Ltd. | 16,842 | 343,102 | ||
ASX, Ltd.‡‡ | 2,303 | 126,721 | ||
Aurizon Holdings, Ltd.‡‡ | 186,837 | 685,720 | ||
Australia & New Zealand Banking Group, Ltd.‡‡ | 50,494 | 872,743 | ||
Beach Energy, Ltd. | 171,599 | 302,253 | ||
BHP Group, Ltd.‡‡ | 46,115 | 1,259,498 | ||
BlueScope Steel, Ltd. | 287,237 | 3,035,623 | ||
Brambles, Ltd. | 197,297 | 1,622,671 | ||
Caltex Australia, Ltd. | 6,230 | 148,426 | ||
CIMIC Group, Ltd.‡‡ | 79,353 | 1,845,433 | ||
Coca-Cola Amatil, Ltd. | 48,542 | 376,752 | ||
CSL, Ltd. | 51,397 | 9,946,069 | ||
Dexus REIT‡‡ | 12,849 | 105,496 | ||
Evolution Mining, Ltd. | 51,594 | 137,583 | ||
Fortescue Metals Group, Ltd. | 495,472 | 3,716,886 | ||
Goodman Group REIT‡‡ | 30,218 | 283,517 | ||
GPT Group (The) REITΨ†††* | 63,198 | — | ||
GPT Group (The) REIT (Athens Exchange) | 25,055 | 98,461 | ||
Iluka Resources, Ltd. | 192,033 | 1,253,260 | ||
Lendlease Group | 28,414 | 350,936 | ||
Mirvac Group REIT‡‡ | 53,620 | 119,657 | ||
Newcrest Mining, Ltd. | 46,271 | 982,238 | ||
Northern Star Resources, Ltd. | 23,449 | 186,110 | ||
Orica, Ltd. | 107,817 | 1,663,020 | ||
QBE Insurance Group, Ltd. | 621,083 | 5,613,684 | ||
Rio Tinto, Ltd.‡‡ | 8,019 | 564,984 | ||
Santos, Ltd. | 31,440 | 180,475 | ||
Scentre Group REIT‡‡ | 93,514 | 251,338 | ||
South32, Ltd. | 1,610,096 | 3,050,689 | ||
Stockland REIT‡‡ | 41,895 | 135,827 | ||
Telstra Corporation, Ltd. | 235,342 | 584,635 | ||
Vicinity Centres REIT‡‡ | 52,810 | 92,278 | ||
Viva Energy Group, Ltd. 144A | 71,870 | 96,835 | ||
WiseTech Global, Ltd. | 32,394 | 531,258 | ||
42,952,281 | ||||
Austria — 0.1% | ||||
ams AG* | 36,701 | 1,489,987 |
Shares | Value | |||
Belgium — 0.7% | ||||
Ageas‡‡ | 41,192 | $2,434,083 | ||
Galapagos NV* | 359 | 75,102 | ||
Groupe Bruxelles Lambert SA‡‡ | 415 | 43,739 | ||
KBC Group NV | 75,346 | 5,667,617 | ||
Solvay SA | 2,223 | 257,583 | ||
UCB SA | 9,319 | 741,126 | ||
9,219,250 | ||||
Canada — 2.2% | ||||
Canadian National Railway Co. | 60,097 | 5,435,773 | ||
Canadian Pacific Railway, Ltd.Δ | 33,265 | 8,480,912 | ||
Cenovus Energy, Inc. | 275,699 | 2,802,531 | ||
Dollarama, Inc. | 80,105 | 2,753,137 | ||
Open Text Corporation | 28,600 | 1,260,246 | ||
Shopify, Inc. Class A* | 22,150 | 8,806,397 | ||
29,538,996 | ||||
China — 0.7% | ||||
Baidu, Inc. ADR* | 20,595 | 2,603,208 | ||
Tencent Holdings, Ltd. | 144,500 | 6,965,107 | ||
9,568,315 | ||||
Denmark — 1.6% | ||||
Coloplast A/S Class B | 4,777 | 592,640 | ||
Danske Bank A/S | 12,095 | 195,676 | ||
Demant A/S* | 3,754 | 118,224 | ||
DSV Panalpina A/S | 46,708 | 5,383,250 | ||
FLSmidth & Co. A/S | 6,003 | 239,392 | ||
Genmab A/S* | 1,714 | 381,200 | ||
GN Store Nord A/S | 53,268 | 2,505,765 | ||
H Lundbeck A/S | 42,292 | 1,616,845 | ||
ISS A/S | 290,443 | 6,969,132 | ||
Pandora A/S | 49,398 | 2,148,884 | ||
Rockwool International A/S, B Shares | 4,670 | 1,107,387 | ||
Vestas Wind Systems A/S | 1,761 | 177,872 | ||
21,436,267 | ||||
Finland — 0.4% | ||||
Fortum OYJ | 25,918 | 639,745 | ||
Kesko OYJ, B Shares | 1,891 | 133,853 | ||
Kone OYJ Class B | 12,168 | 795,639 | ||
Nokia OYJ | 141,713 | 524,178 | ||
Orion OYJ Class B | 4,751 | 220,027 | ||
Sampo OYJ, A Shares | 14,539 | 634,818 | ||
Stora Enso OYJ, R Shares | 9,029 | 131,379 | ||
UPM-Kymmene OYJ‡‡ | 56,608 | 1,963,986 | ||
Wartsila OYJ Abp | 8,780 | 97,050 | ||
5,140,675 | ||||
France — 9.6% | ||||
Accor SA | 83,000 | 3,886,971 | ||
Air France-KLM* | 41,894 | 466,354 | ||
Air Liquide SA | 42,304 | 5,988,493 | ||
Alstom SA | 1,590 | 75,317 | ||
Arkema SA | 670 | 71,171 | ||
Atos SE‡‡ | 20,873 | 1,740,072 | ||
AXA SA‡‡ | 47,103 | 1,326,698 |
Table of Contents
Shares | Value | |||
BNP Paribas SA‡‡ | 137,748 | $8,162,866 | ||
Bouygues SA | 1,717 | 72,955 | ||
Bureau Veritas SA | 72,272 | 1,885,630 | ||
Capgemini SE‡‡ | 12,858 | 1,570,645 | ||
Carrefour SA | 21,588 | 362,018 | ||
Christian Dior SE | 13,709 | 7,024,390 | ||
Cie de St-Gobain | 325,342 | 13,320,169 | ||
CNP Assurances‡‡ | 22,991 | 457,239 | ||
Credit Agricole SA | 18,152 | 263,167 | ||
Danone SA | 12,071 | 1,000,609 | ||
Dassault Aviation SA | 115 | 150,925 | ||
Dassault Systemes SA | 1,157 | 190,194 | ||
Electricite de France SA | 38,669 | 430,627 | ||
Engie SA‡‡ | 241,390 | 3,899,048 | ||
EssilorLuxottica SA | 57,662 | 8,783,472 | ||
Eutelsat Communications SA | 24,863 | 404,109 | ||
Gecina SA REIT | 674 | 120,662 | ||
Hermes International‡‡ | 1,341 | 1,002,098 | ||
Ingenico Group | 3,394 | 368,523 | ||
Kering SA‡‡ | 4,036 | 2,649,307 | ||
Klepierre REIT‡‡ | 4,327 | 164,294 | ||
L’Oreal SA‡‡ | 28,606 | 8,471,061 | ||
Natixis SA | 263,605 | 1,170,324 | ||
Orange SA‡‡ | 97,089 | 1,428,830 | ||
Peugeot SA‡‡ | 134,320 | 3,209,202 | ||
Publicis Groupe SA‡‡ | 102,875 | 4,657,338 | ||
Rexel SA | 9,720 | 129,145 | ||
Sanofi‡‡ | 153,593 | 15,440,207 | ||
Schneider Electric SE | 103,021 | 10,573,618 | ||
SES SA | 31,843 | 446,479 | ||
Societe Generale SA | 238,172 | 8,285,892 | ||
SPIE SA | 7,399 | 150,718 | ||
Thales SA‡‡ | 6,487 | 673,219 | ||
TOTAL SA‡‡ | 41,883 | 2,311,424 | ||
Valeo SA | 99,261 | 3,497,223 | ||
Vinci SA | 1,202 | 133,480 | ||
126,416,183 | ||||
Germany — 10.2% | ||||
adidas AG‡‡ | 23,948 | 7,784,745 | ||
Allianz SE‡‡ | 85,060 | 20,842,065 | ||
Bayerische Motoren Werke AG | 75,455 | 6,180,197 | ||
Beiersdorf AG | 57,547 | 6,884,308 | ||
Brenntag AG | 2,455 | 133,200 | ||
Carl Zeiss Meditec AG | 1,280 | 162,726 | ||
CECONOMY AG* | 85,698 | 518,065 | ||
Continental AG | 139,741 | 18,058,768 | ||
Covestro AG 144A‡‡ | 38,087 | 1,772,193 | ||
Daimler AG | 292,419 | 16,166,183 | ||
Deutsche Boerse AG | 29,796 | 4,672,390 | ||
Deutsche Lufthansa AG‡‡ | 45,262 | 833,142 | ||
Deutsche Telekom AG | 418,640 | 6,841,493 | ||
Deutsche Wohnen SE | 6,238 | 253,742 | ||
E.ON SE‡‡ | 25,218 | 269,502 | ||
Evonik Industries AG | 264,895 | 8,090,511 | ||
Fresenius Medical Care AG & Co. KGaA‡‡ | 35,993 | 2,650,087 |
Shares | Value | |||
Fresenius SE & Co. KGaA‡‡ | 5,433 | $305,734 | ||
HeidelbergCement AG | 8,368 | 608,060 | ||
Henkel AG & Co. KGaA | 4,900 | 460,564 | ||
HOCHTIEF AG | 6,514 | 829,336 | ||
HUGO BOSS AG | 9,840 | 476,297 | ||
Infineon Technologies AG‡‡ | 65,476 | 1,479,389 | ||
KION Group AG | 8,173 | 562,036 | ||
Muenchener Rueckversicherungs-Gesellschaft AG‡‡ | 8,259 | 2,437,173 | ||
ProSiebenSat.1 Media SE | 63,859 | 996,382 | ||
Rheinmetall AG‡‡ | 6,815 | 781,422 | ||
SAP SE‡‡ | 97,533 | 13,127,773 | ||
Siemens AG‡‡ | 22,949 | 2,996,946 | ||
Siemens Healthineers AG 144A | 10,385 | 497,826 | ||
Software AG | 43,198 | 1,504,049 | ||
thyssenkrupp AG | 281,872 | 3,787,545 | ||
Uniper SE | 8,589 | 283,881 | ||
Vonovia SE | 8,154 | 437,946 | ||
133,685,676 | ||||
Hong Kong — 4.3% | ||||
AIA Group, Ltd. | 1,487,400 | 15,614,045 | ||
China Mobile, Ltd. | 1,008,000 | 8,472,980 | ||
CK Asset Holdings, Ltd. | 318,000 | 2,295,535 | ||
CK Hutchison Holdings, Ltd. | 1,430,500 | 13,639,894 | ||
CK Infrastructure Holdings, Ltd.‡‡ | 11,000 | 78,276 | ||
CLP Holdings, Ltd. | 15,000 | 157,656 | ||
Henderson Land Development Co., Ltd. | 82,560 | 405,262 | ||
HKT Trust & HKT, Ltd. | 65,000 | 91,590 | ||
Hong Kong Exchanges and Clearing, Ltd.‡‡ | 19,700 | 639,619 | ||
Hysan Development Co., Ltd. | 70,000 | 274,438 | ||
Kerry Properties, Ltd. | 348,000 | 1,105,322 | ||
Link REIT‡‡ | 41,000 | 434,082 | ||
New World Development Co., Ltd. | 492,000 | 674,327 | ||
PCCW, Ltd.‡‡ | 62,000 | 36,680 | ||
Sun Hung Kai Properties, Ltd. | 49,000 | 750,189 | ||
WH Group, Ltd. 144A | 11,121,825 | 11,489,636 | ||
Wheelock & Co., Ltd. | 31,000 | 206,672 | ||
Yue Yuen Industrial Holdings, Ltd. | 109,000 | 321,728 | ||
56,687,931 | ||||
India — 1.2% | ||||
Axis Bank, Ltd. | 109,918 | 1,161,268 | ||
HDFC Bank, Ltd. ADR | 114,140 | 7,233,052 | ||
Tata Consultancy Services, Ltd. | 229,287 | 6,943,997 | ||
15,338,317 | ||||
Indonesia — 0.1% | ||||
PT Bank Mandiri Persero Tbk | 2,550,600 | 1,409,368 | ||
Ireland — 1.4% | ||||
Accenture PLC Class A | 41,810 | 8,803,932 | ||
DCC PLC | 1,353 | 117,280 | ||
ICON PLC* | 21,440 | 3,692,611 | ||
Ryanair Holdings PLC ADR* | 64,010 | 5,607,916 |
Table of Contents
Shares | Value | |||
Willis Towers Watson PLC | 1,800 | $363,492 | ||
18,585,231 | ||||
Italy — 2.7% | ||||
A2A SpA‡‡ | 1,176,047 | 2,208,430 | ||
Assicurazioni Generali SpA | 34,236 | 706,795 | ||
Banca Generali SpA | 2,711 | 88,131 | ||
BPER Banca | 277,069 | 1,394,085 | ||
Buzzi Unicem SpA | 2,895 | 72,974 | ||
Enel SpA | 1,347,603 | 10,705,124 | ||
Eni SpA‡‡ | 750,906 | 11,662,495 | ||
Intesa Sanpaolo SpA | 2,603,337 | 6,857,686 | ||
Leonardo SpA | 123,908 | 1,453,111 | ||
Poste Italiane SpA 144A | 36,435 | 414,007 | ||
Snam SpA | 17,220 | 90,539 | ||
Unipol Gruppo SpA | 79,536 | 456,622 | ||
36,109,999 | ||||
Japan — 16.7% | ||||
ABC-Mart, Inc. | 1,300 | 88,740 | ||
Alfresa Holdings Corporation | 32,200 | 654,144 | ||
Alps Alpine Co., Ltd. | 47,700 | 1,082,758 | ||
Amada Holdings Co., Ltd. | 10,800 | 122,837 | ||
ANA Holdings, Inc. | 3,100 | 103,489 | ||
Aozora Bank, Ltd. | 14,300 | 377,788 | ||
Astellas Pharma, Inc.‡‡ | 166,900 | 2,848,981 | ||
Brother Industries, Ltd. | 53,900 | 1,113,210 | ||
Calbee, Inc. | 3,100 | 101,002 | ||
Casio Computer Co., Ltd. | 5,400 | 107,911 | ||
Chubu Electric Power Co., Inc. | 5,100 | 72,093 | ||
Coca-Cola Bottlers Japan Holdings, Inc.Δ | 348,700 | 8,909,391 | ||
Credit Saison Co., Ltd. | 9,500 | 164,766 | ||
Dai Nippon Printing Co., Ltd. | 2,700 | 73,028 | ||
Daicel Corporation | 11,700 | 111,856 | ||
Daikin Industries, Ltd. | 53,500 | 7,548,306 | ||
Daito Trust Construction Co., Ltd.‡‡ | 1,000 | 123,576 | ||
Daiwa House Industry Co., Ltd.‡‡ | 9,100 | 281,707 | ||
Ezaki Glico Co., Ltd. | 2,500 | 111,460 | ||
Fuji Electric Co., Ltd. | 22,200 | 674,376 | ||
FUJIFILM Holdings Corporation | 250,400 | 11,958,077 | ||
Fujitsu, Ltd. | 101,700 | 9,565,478 | ||
GungHo Online Entertainment, Inc. | 12,250 | 259,521 | ||
Hachijuni Bank, Ltd. (The) | 142,600 | 620,261 | ||
Haseko Corporation‡‡ | 143,400 | 1,924,979 | ||
Hitachi High-Technologies Corporation | 14,300 | 1,012,719 | ||
Hitachi, Ltd.‡‡ | 54,600 | 2,303,888 | ||
Honda Motor Co., Ltd. | 395,100 | 11,181,938 | ||
Hoshizaki Corporation | 1,000 | 89,160 | ||
Hoya Corporation‡‡ | 123,000 | 11,741,832 | ||
Isuzu Motors, Ltd. | 334,300 | 3,951,684 | ||
Izumi Co., Ltd. | 2,900 | 104,453 | ||
Japan Airlines Co., Ltd. | 83,800 | 2,609,187 | ||
Japan Post Holdings Co., Ltd. | 25,400 | 238,873 | ||
Japan Real Estate Investment Corporation REIT | 18 | 119,457 | ||
Japan Retail Fund Investment Corporation REIT | 50 | 107,595 |
Shares | Value | |||
JTEKT Corporation | 8,800 | $103,955 | ||
Kajima Corporation | 24,400 | 324,403 | ||
Kamigumi Co., Ltd. | 26,200 | 575,925 | ||
KDDI Corporation | 14,000 | 417,709 | ||
Keyence Corporation | 17,200 | 6,039,584 | ||
Koito Manufacturing Co., Ltd. | 1,400 | 64,828 | ||
Komatsu, Ltd. | 129,100 | 3,098,588 | ||
Konica Minolta, Inc. | 73,200 | 476,831 | ||
Kyocera Corporation | 167,500 | 11,416,080 | ||
Kyushu Railway Co. | 9,800 | 328,081 | ||
Mabuchi Motor Co., Ltd. | 11,900 | 449,291 | ||
Marubeni Corporation | 126,900 | 937,585 | ||
Matsumotokiyoshi Holdings Co., Ltd. | 3,200 | 123,888 | ||
Mazda Motor Corporation‡‡ | 180,800 | 1,540,676 | ||
Mebuki Financial Group, Inc. | 27,900 | 71,133 | ||
Medipal Holdings Corporation | 4,800 | 105,938 | ||
MINEBEA MITSUMI, Inc. | 28,600 | 590,766 | ||
Mitsubishi Corporation | 22,800 | 604,003 | ||
Mitsubishi Electric Corporation | 544,500 | 7,413,744 | ||
Mitsubishi Estate Co., Ltd.‡‡ | 22,000 | 420,967 | ||
Mitsubishi Gas Chemical Co., Inc. | 18,100 | 275,739 | ||
Mitsubishi Heavy Industries, Ltd. | 5,200 | 201,640 | ||
Mitsubishi UFJ Financial Group, Inc. | 243,600 | 1,316,984 | ||
Mitsui Fudosan Co., Ltd.‡‡ | 16,000 | 391,039 | ||
Mixi, Inc. | 52,400 | 993,469 | ||
MS&AD Insurance Group Holdings, Inc. | 13,000 | 429,113 | ||
Murata Manufacturing Co., Ltd. | 12,500 | 769,358 | ||
NH Foods, Ltd. | 2,000 | 82,847 | ||
Nikon Corporation | 131,100 | 1,603,308 | ||
Nintendo Co., Ltd. | 1,900 | 759,924 | ||
Nippon Building Fund, Inc. REIT | 16 | 117,284 | ||
Nippon Express Co., Ltd. | 15,200 | 891,009 | ||
Nippon Telegraph & Telephone Corporation | 267,400 | 6,758,185 | ||
Nitto Denko Corporation | 22,100 | 1,242,634 | ||
NSK, Ltd. | 13,100 | 123,837 | ||
NTT DOCOMO, Inc.‡‡ | 27,200 | 757,687 | ||
Obayashi Corporation | 24,400 | 271,003 | ||
Olympus Corporation | 549,900 | 8,475,447 | ||
Ono Pharmaceutical Co., Ltd. | 3,900 | 89,038 | ||
ORIX Corporation | 28,500 | 472,284 | ||
Otsuka Corporation | 3,200 | 127,792 | ||
Otsuka Holdings Co., Ltd. | 180,300 | 8,036,738 | ||
Persol Holdings Co., Ltd. | 45,100 | 845,226 | ||
Pola Orbis Holdings, Inc. | 28,900 | 688,371 | ||
Resona Holdings, Inc.‡‡ | 218,200 | 951,032 | ||
Rohm Co., Ltd. | 10,200 | 813,849 | ||
SCSK Corporation | 3,200 | 165,934 | ||
Secom Co., Ltd. | 14,600 | 1,302,944 | ||
Sekisui Chemical Co., Ltd. | 345,400 | 5,992,658 | ||
Shimamura Co., Ltd. | 5,000 | 380,119 | ||
Shimizu Corporation | 37,200 | 378,950 | ||
Shin-Etsu Chemical Co., Ltd. | 1,000 | 109,973 | ||
Shinsei Bank, Ltd. | 62,400 | 952,049 | ||
Shionogi & Co., Ltd.‡‡ | 20,400 | 1,261,975 | ||
Showa Denko KK | 30,300 | 798,572 |
Table of Contents
Shares | Value | |||
SoftBank Group Corporation | 28,800 | $1,250,411 | ||
Sojitz Corporation‡‡ | 390,700 | 1,259,264 | ||
Sony Corporation‡‡ | 38,400 | 2,607,272 | ||
SUMCO Corporation | 9,600 | 159,060 | ||
Sumitomo Corporation | 52,800 | 784,257 | ||
Sumitomo Dainippon Pharma Co., Ltd.‡‡ | 55,200 | 1,069,508 | ||
Sumitomo Electric Industries, Ltd. | 421,900 | 6,336,161 | ||
Sumitomo Heavy Industries, Ltd. | 24,000 | 681,715 | ||
Sumitomo Mitsui Financial Group, Inc. | 28,500 | 1,052,658 | ||
Sumitomo Realty & Development Co., Ltd.‡‡ | 6,000 | 209,337 | ||
Sundrug Co., Ltd. | 13,200 | 477,602 | ||
Suzuken Co., Ltd. | 4,400 | 179,335 | ||
Sysmex Corporation | 14,700 | 1,000,849 | ||
Taiheiyo Cement Corporation | 29,600 | 868,852 | ||
Taisei Corporation | 20,400 | 844,989 | ||
Taisho Pharmaceutical Holdings Co., Ltd. | 3,500 | 258,283 | ||
Takeda Pharmaceutical Co., Ltd. | 331,300 | 13,103,651 | ||
TDK Corporation | 1,600 | 179,807 | ||
Teijin, Ltd. | 10,300 | 192,426 | ||
Terumo Corporation | 120,500 | 4,274,656 | ||
Tokio Marine Holdings, Inc. | 177,700 | 9,949,215 | ||
Tokyo Electron, Ltd.‡‡ | 10,300 | 2,248,800 | ||
Toshiba Corporation | 8,500 | 288,505 | ||
Tosoh Corporation | 16,300 | 251,114 | ||
Toyo Seikan Group Holdings, Ltd. | 5,600 | 96,400 | ||
Toyota Boshoku Corporation | 6,400 | 102,765 | ||
Toyota Motor Corporation | 37,800 | 2,663,445 | ||
Yamaguchi Financial Group, Inc. | 13,200 | 89,271 | ||
Yamazaki Baking Co., Ltd. | 4,000 | 71,477 | ||
218,943,592 | ||||
Jersey — 3.2% | ||||
Experian PLC | 511,943 | 17,305,617 | ||
Ferguson PLC | 15,247 | 1,383,438 | ||
Glencore PLC* | 2,982,356 | 9,297,335 | ||
Man Group PLC‡‡ | 434,244 | 908,816 | ||
WPP PLC | 914,597 | 12,920,384 | ||
41,815,590 | ||||
Mexico — 0.5% | ||||
Grupo Televisa SAB SA ADR | 165,900 | 1,946,007 | ||
Wal-Mart de Mexico SAB de CV | 1,432,900 | 4,113,596 | ||
6,059,603 | ||||
Netherlands — 3.2% | ||||
Aalberts NV | 2,807 | 125,976 | ||
Airbus SE‡‡ | 2,501 | 366,045 | ||
ASM International NV | 17,226 | 1,935,139 | ||
ASML Holding NV | 6,327 | 1,871,478 | ||
ASML Holding NV (NASDAQ Exchange)Δ | 19,890 | 5,886,246 | ||
ASR Nederland NV | 42,934 | 1,606,587 | ||
CNH Industrial NV | 587,111 | 6,446,419 | ||
EXOR NV | 51,823 | 4,017,913 | ||
Fiat Chrysler Automobiles NV | 276,496 | 4,099,478 | ||
ING Groep NV‡‡ | 66,977 | 802,969 |
Shares | Value | |||
Koninklijke Ahold Delhaize NV | 208,922 | $5,224,785 | ||
Koninklijke Philips NV | 55,863 | 2,727,030 | ||
Prosus NV* | 17,607 | 1,313,952 | ||
Randstad NV | 17,730 | 1,082,689 | ||
Signify NV 144A | 27,614 | 862,953 | ||
STMicroelectronics NV | 11,487 | 308,853 | ||
Unibail-Rodamco-Westfield REIT‡‡ | 1,666 | 262,840 | ||
Unilever NV | 30,141 | 1,732,043 | ||
Wolters Kluwer NV | 21,446 | 1,564,120 | ||
42,237,515 | ||||
Nigeria — 0.0% | ||||
Afriland Properties PLCΨ††† | 364,373 | — | ||
Norway — 0.3% | ||||
DNB ASA | 15,435 | 288,834 | ||
Equinor ASA | 6,897 | 137,542 | ||
Leroy Seafood Group ASA | 147,846 | 984,212 | ||
Orkla ASA | 11,123 | 112,796 | ||
Salmar ASA | 45,307 | 2,321,813 | ||
3,845,197 | ||||
Portugal — 0.4% | ||||
EDP - Energias de Portugal SA | 96,013 | 416,144 | ||
Galp Energia SGPS SA | 293,109 | 4,898,828 | ||
5,314,972 | ||||
Singapore — 2.5% | ||||
Ascendas REIT‡‡ | 45,900 | 101,359 | ||
CapitaLand Commercial Trust REIT | 69,500 | 102,833 | ||
CapitaLand Mall Trust REIT‡‡ | 58,400 | 106,817 | ||
ComfortDelGro Corporation, Ltd. | 485,400 | 858,955 | ||
DBS Group Holdings, Ltd. | 256,100 | 4,927,966 | ||
Jardine Matheson Holdings, Ltd. | 61,945 | 3,444,142 | ||
Singapore Exchange, Ltd.‡‡ | 13,600 | 89,592 | ||
Singapore Telecommunications, Ltd. | 2,305,900 | 5,777,823 | ||
Suntec REIT | 65,200 | 89,199 | ||
United Overseas Bank, Ltd. | 725,577 | 14,247,733 | ||
UOL Group, Ltd. | 14,686 | 90,849 | ||
Venture Corporation, Ltd. | 23,300 | 280,650 | ||
Wilmar International, Ltd. | 87,300 | 267,427 | ||
Yangzijiang Shipbuilding Holdings, Ltd. | 2,608,800 | 2,172,464 | ||
32,557,809 | ||||
South Africa — 0.3% | ||||
Naspers, Ltd. N Shares | 21,607 | 3,533,993 | ||
South Korea — 0.4% | ||||
NAVER Corporation | 23,940 | 3,851,825 | ||
Samsung Electronics Co., Ltd. | 37,200 | 1,792,552 | ||
5,644,377 | ||||
Spain — 2.7% | ||||
ACS Actividades de Construccion y Servicios SA | 24,163 | 966,245 | ||
Amadeus IT Group SA | 151,871 | 12,401,750 | ||
Banco Bilbao Vizcaya Argentaria SA | 371,989 | 2,079,207 | ||
Banco Santander SA | 3,019,833 | 12,634,804 | ||
Bankia SA | 99,355 | 212,027 | ||
Enagas SA | 43,619 | 1,112,610 |
Table of Contents
Shares | Value | |||
Endesa SA‡‡ | 90,158 | $2,405,888 | ||
Iberdrola SA | 256,493 | 2,641,162 | ||
Mapfre SA | 39,099 | 103,503 | ||
Mediaset Espana Comunicacion SA | 12,967 | 82,325 | ||
Red Electrica Corporation SA | 35,266 | 709,075 | ||
Repsol SA‡‡ | 5,794 | 90,533 | ||
35,439,129 | ||||
Sweden — 2.8% | ||||
AAK AB | 6,297 | 119,770 | ||
Atlas Copco AB, A Shares | 125,697 | 5,017,280 | ||
Atlas Copco AB, B Shares | 6,930 | 240,617 | ||
Essity AB, B Shares | 40,079 | 1,290,794 | ||
Getinge AB, B Shares | 48,987 | 911,020 | ||
Hennes & Mauritz AB, B SharesΔ | 193,933 | 3,955,757 | ||
Investor AB, B Shares‡‡ | 8,150 | 444,940 | ||
Sandvik AB | 75,549 | 1,471,496 | ||
Securitas AB, B Shares | 16,325 | 281,267 | ||
SKF AB, B Shares | 163,739 | 3,315,113 | ||
Swedish Orphan Biovitrum AB* | 66,137 | 1,096,272 | ||
Telefonaktiebolaget LM Ericsson, B Shares | 189,014 | 1,651,569 | ||
Telia Co. AB | 2,618,170 | 11,249,035 | ||
Volvo AB, B Shares‡‡ | 313,311 | 5,245,200 | ||
36,290,130 | ||||
Switzerland — 9.5% | ||||
ABB, Ltd.Δ | 471,180 | 11,366,344 | ||
Adecco Group AG‡‡ | 30,343 | 1,918,353 | ||
Alcon, Inc.* | 89,250 | 5,055,264 | ||
Chubb, Ltd. | 43,090 | 6,707,389 | ||
Cie Financiere Richemont SA | 29,317 | 2,291,151 | ||
Coca-Cola HBC AG* | 20,028 | 680,471 | ||
Credit Suisse Group AG* | 502,175 | 6,788,240 | ||
Geberit AG | 8,493 | 4,766,963 | ||
Kuehne + Nagel International AG | 4,850 | 818,033 | ||
LafargeHolcim, Ltd. (Swiss Exchange)* | 54,843 | 3,042,551 | ||
Nestle SA‡‡ | 199,810 | 21,632,484 | ||
Novartis AG‡‡ | 179,106 | 16,959,477 | ||
Roche Holding AG‡‡ | 49,565 | 16,108,765 | ||
Sika AGΔ | 47,412 | 8,903,761 | ||
Sonova Holding AG‡‡ | 7,948 | 1,816,981 | ||
Swatch Group AG (The) | 7,385 | 2,061,932 | ||
UBS Group AG* | 557,894 | 7,040,281 | ||
Zurich Insurance Group AG‡‡ | 15,688 | 6,435,211 | ||
124,393,651 | ||||
Taiwan — 1.9% | ||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 41,000 | 452,714 | ||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 431,527 | 25,071,718 | ||
25,524,432 | ||||
Turkey — 0.0% | ||||
Yapi ve Kredi Bankasi AS* | 1 | — | ||
United Kingdom — 14.7% | ||||
3i Group PLC‡‡ | 15,222 | 221,390 | ||
Aggreko PLC | 24,815 | 273,675 |
Shares | Value | |||
Anglo American PLC‡‡ | 37,597 | $1,082,175 | ||
Antofagasta PLC | 33,256 | 403,859 | ||
Ashtead Group PLC | 112,473 | 3,596,419 | ||
Associated British Foods PLC | 16,223 | 558,284 | ||
AstraZeneca PLC‡‡ | 15,750 | 1,587,007 | ||
Auto Trader Group PLC 144A | 10,725 | 84,471 | ||
Avast PLC 144A | 14,593 | 87,526 | ||
Aviva PLC | 54,583 | 302,723 | ||
Babcock International Group PLC | 25,780 | 214,929 | ||
BAE Systems PLC | 51,307 | 383,845 | ||
Barclays PLC‡‡ | 540,414 | 1,285,921 | ||
Barratt Developments PLC | 79,810 | 789,278 | ||
Bellway PLC | 12,686 | 639,724 | ||
Berkeley Group Holdings PLC | 11,515 | 741,132 | ||
BHP Group PLC‡‡ | 59,423 | 1,398,550 | ||
BP PLC‡‡ | 1,781,163 | 11,126,595 | ||
Britvic PLC | 12,806 | 153,429 | ||
BT Group PLC‡‡ | 361,241 | 920,825 | ||
Bunzl PLC | 34,905 | 954,756 | ||
Burberry Group PLC‡‡ | 27,299 | 797,334 | ||
Carnival PLC | 5,589 | 269,772 | ||
Close Brothers Group PLC | 5,735 | 121,393 | ||
Compass Group PLC | 540,778 | 13,538,346 | ||
Dialog Semiconductor PLC‡‡* | 31,972 | 1,623,769 | ||
Direct Line Insurance Group PLC | 31,583 | 130,734 | ||
Dixons Carphone PLC | 319,226 | 609,745 | ||
Drax Group PLC | 96,874 | 402,923 | ||
Dunelm Group PLC | 29,230 | 447,581 | ||
Evraz PLC | 125,749 | 672,931 | ||
G4S PLC | 3,104,814 | 8,965,549 | ||
GlaxoSmithKline PLC‡‡ | 580,601 | 13,681,652 | ||
Hays PLC | 152,882 | 367,754 | ||
Howden Joinery Group PLC | 9,686 | 86,295 | ||
HSBC Holdings PLC | 250,928 | 1,967,353 | ||
Inchcape PLC‡‡ | 62,025 | 580,038 | ||
Indivior PLC* | 292,107 | 150,901 | ||
Investec PLC | 82,704 | 485,415 | ||
JD Sports Fashion PLC | 57,938 | 642,660 | ||
John Wood Group PLC | 934,751 | 4,934,113 | ||
Kingfisher PLC | 3,140,787 | 9,027,823 | ||
Liberty Global PLC Class AΔ* | 99,100 | 2,253,534 | ||
Liberty Global PLC Class C* | 51,026 | 1,112,112 | ||
Lloyds Banking Group PLC‡‡ | 23,857,232 | 19,750,808 | ||
London Stock Exchange Group PLC | 5,849 | 600,438 | ||
Marks & Spencer Group PLC | 227,826 | 644,297 | ||
Meggitt PLC | 64,632 | 562,297 | ||
Melrose Industries PLC | 27,890 | 88,700 | ||
Micro Focus International PLC | 10,361 | 145,998 | ||
Mondi PLC | 9,856 | 231,404 | ||
Moneysupermarket.com Group PLC | 139,602 | 611,335 | ||
National Grid PLC | 219,163 | 2,741,334 | ||
Next PLC | 2,311 | 214,832 | ||
Persimmon PLC | 21,823 | 779,037 | ||
Prudential PLC | 8,899 | 170,803 | ||
Reckitt Benckiser Group PLC‡‡ | 24,337 | 1,975,793 | ||
RELX PLC | 9,878 | 249,323 | ||
Rio Tinto PLC‡‡ | 28,737 | 1,714,068 | ||
Rolls-Royce Holdings PLC* | 787,700 | 7,128,424 |
Table of Contents
Shares | Value | |||
Royal Bank of Scotland Group PLC | 873,250 | $2,779,567 | ||
Royal Dutch Shell PLC, A Shares‡‡ | 67,367 | 1,994,387 | ||
Royal Dutch Shell PLC, B Shares‡‡ | 532,733 | 15,803,216 | ||
Royal Mail PLC | 190,232 | 570,234 | ||
Sage Group PLC (The) | 14,651 | 145,356 | ||
Schroders PLC | 86,318 | 3,811,990 | ||
Smith & Nephew PLC‡‡ | 211,142 | 5,125,113 | ||
Smiths Group PLC | 60,896 | 1,360,782 | ||
Spectris PLC | 14,854 | 571,773 | ||
SSE PLC | 756,419 | 14,413,090 | ||
Standard Chartered PLC | 40,156 | 378,930 | ||
Standard Life Aberdeen PLC | 24,141 | 104,917 | ||
Tate & Lyle PLC | 59,644 | 600,592 | ||
Taylor Wimpey PLC | 307,080 | 786,670 | ||
Tesco PLC | 3,422,754 | 11,570,208 | ||
Travis Perkins PLC | 177,600 | 3,768,689 | ||
Unilever PLC | 23,287 | 1,341,954 | ||
Vodafone Group PLC‡‡ | 125,830 | 244,611 | ||
WH Smith PLC | 12,058 | 415,273 | ||
Whitbread PLC | 2,120 | 136,083 | ||
193,208,566 | ||||
Total Foreign Common Stocks (Cost $1,178,386,402) | 1,282,387,032 | |||
FOREIGN PREFERRED STOCKS — 0.2% | ||||
Germany — 0.2% | ||||
Bayerische MotorenWerke AG | ||||
6.01%, 05/17/19 | 9,226 | 567,971 | ||
Henkel AG & Co. KGaA | ||||
2.06%, 04/09/19 | 7,250 | 748,929 | ||
Porsche Automobil Holding SE | ||||
3.35%, 06/28/19‡‡ | 2,638 | 195,735 | ||
Volkswagen AG | ||||
2.73%, 05/15/19 | 4,573 | 900,142 | ||
2,412,777 | ||||
Total Foreign Preferred Stocks (Cost $2,627,340) | 2,412,777 | |||
MONEY MARKET FUNDS — 4.6% | ||||
GuideStone Money Market Fund, 1.53% (Institutional Class)Ø∞ | 56,057,536 | 56,057,536 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 1.57%ا | 4,448,350 | 4,448,350 | ||
Northern Institutional U.S. Government Portfolio (Shares), 1.48%Ø | 63 | 63 | ||
Total Money Market Funds (Cost $60,505,949) | 60,505,949 |
Par | Value | |||
U.S. TREASURY OBLIGATION — 0.1% | ||||
U.S. Treasury Bill | ||||
1.52%, 05/07/20Ω‡‡ (Cost $1,193,540) | $1,200,000 | $1,193,621 | ||
TOTAL INVESTMENTS —104.3% (Cost $1,260,843,865) | 1,370,030,586 |
Shares | |||
FOREIGN COMMON STOCKS SOLD SHORT — (5.3)% | |||
Australia — (0.4)% | |||
Alumina, Ltd. | (101,237) | (163,399) | |
AMP, Ltd. | (151,200) | (203,190) | |
APA Group | (13,591) | (105,866) | |
Challenger, Ltd. | (257,413) | (1,461,374) | |
Domino’s Pizza Enterprises, Ltd. | (3,418) | (125,590) | |
SEEK, Ltd. | (65,187) | (1,031,549) | |
Seven Group Holdings, Ltd. | (5,728) | (78,262) | |
TPG Telecom, Ltd. | (7,799) | (36,724) | |
Worley, Ltd. | (183,974) | (1,976,579) | |
(5,182,533) | |||
Belgium — (0.2)% | |||
Umicore SA | (44,481) | (2,163,419) | |
Denmark — (0.2)% | |||
AP Moeller - Maersk A/S Class B | (595) | (858,134) | |
Chr. Hansen Holding A/S | (8,299) | (659,500) | |
Dfds A/S | (14,174) | (691,482) | |
(2,209,116) | |||
Finland — (0.1)% | |||
Outokumpu OYJ | (269,465) | (849,250) | |
France — (0.3)% | |||
Altran Technologies SA | (10,338) | (164,201) | |
Bollore SA | (170,345) | (743,286) | |
Bollore SA (Euronext Paris Exchange)* | (1,287) | (5,477) | |
Elior Group SA 144A | (61,221) | (899,598) | |
Eurofins Scientific SE | (842) | (466,758) | |
Faurecia SE | (5,913) | (318,564) | |
Iliad SA | (4,572) | (592,588) | |
Technicolor SA* | (45,836) | (35,193) | |
Valeo SA | (35,317) | (1,244,310) | |
Worldline SA 144A* | (2,289) | (162,142) | |
(4,632,117) | |||
Germany — (1.0)% | |||
Aurubis AG | (2,075) | (126,848) | |
Delivery Hero SE 144A* | (35,955) | (2,849,767) | |
Deutsche Bank AG | (440,443) | (3,412,782) | |
Innogy SE 144A | (1,983) | (99,171) | |
thyssenkrupp AG | (260,562) | (3,501,200) |
Table of Contents
Shares | Value | |||
TUI AG | (5,664) | $(71,559) | ||
United Internet AG | (34,744) | (1,137,841) | ||
Zalando SE 144A* | (29,898) | (1,507,761) | ||
(12,706,929) | ||||
Ireland — (0.3)% | ||||
James Hardie Industries PLC CDI | (184,463) | (3,607,685) | ||
Italy — (0.4)% | ||||
Autogrill SpA | (9,273) | (97,075) | ||
FinecoBank Banca Fineco SpA | (175,843) | (2,109,380) | ||
Freni Brembo SpA | (100,789) | (1,251,362) | ||
Pirelli & C SpA 144A | (197,819) | (1,141,747) | ||
Saipem SpA* | (180,832) | (884,398) | ||
Tenaris SA | (11,010) | (124,743) | ||
(5,608,705) | ||||
Japan — (0.7)% | ||||
Coca-Cola Bottlers Japan Holdings, Inc. | (12,400) | (316,824) | ||
CyberAgent, Inc. | (15,900) | (553,889) | ||
Daiichi Sankyo Co., Ltd. | (5,900) | (389,661) | ||
FamilyMart Co., Ltd. | (4,700) | (112,563) | ||
Hokuriku Electric Power Co.* | (28,200) | (205,780) | ||
Japan Airport Terminal Co., Ltd. | (9,300) | (516,011) | ||
Kansai Electric Power Co., Inc. (The) | (57,600) | (667,285) | ||
Kobe Steel, Ltd. | (22,700) | (121,630) | ||
Kyushu Electric Power Co., Inc. | (21,700) | (188,269) | ||
MonotaRO Co., Ltd. | (24,200) | (644,228) | ||
Nippon Paint Holdings Co., Ltd. | (32,000) | (1,647,414) | ||
Suzuki Motor Corporation | (48,000) | (2,003,614) | ||
Taiyo Nippon Sanso Corporation | (22,300) | (493,587) | ||
Yaskawa Electric Corporation | (19,700) | (742,119) | ||
(8,602,874) | ||||
Netherlands — (0.6)% | ||||
Altice Europe NV* | (285,005) | (1,837,579) | ||
ArcelorMittal | (118,272) | (2,075,157) | ||
Boskalis Westminster | (30,804) | (787,805) | ||
Koninklijke Vopak NV | (10,735) | (581,963) | ||
OCI NV* | (41,800) | (879,133) | ||
SBM Offshore NV | (46,755) | (870,064) | ||
Takeaway.com NV 144A* | (15,353) | (1,415,604) | ||
(8,447,305) | ||||
Norway — (0.2)% | ||||
Adevinta ASA* | (28,619) | (339,022) | ||
Norsk Hydro ASA | (24,069) | (89,503) | ||
Schibsted ASA Class A | (35,469) | (1,073,131) | ||
Subsea 7 SA | (43,704) | (522,837) | ||
(2,024,493) | ||||
Papua New Guinea — (0.0)% | ||||
Oil Search, Ltd. | (100,760) | (512,635) | ||
Singapore — (0.0)% | ||||
Keppel Corporation, Ltd. | (15,600) | (78,525) | ||
Spain — (0.3)% | ||||
Cellnex Telecom SA 144A* | (92,198) | (3,968,168) |
Shares | Value | |||
Sweden — (0.1)% | ||||
BillerudKorsnas AB | (16,620) | $(196,390) | ||
Millicom International Cellular SA SDR | (10,368) | (497,912) | ||
Saab AB, B Shares | (14,240) | (477,543) | ||
(1,171,845) | ||||
Switzerland — (0.2)% | ||||
Idorsia, Ltd.* | (16,354) | (505,652) | ||
Lonza Group AG* | (883) | (322,125) | ||
Sika AG | (4,348) | (816,535) | ||
Temenos AG* | (466) | (73,716) | ||
Vifor Pharma AG | (5,646) | (1,030,425) | ||
(2,748,453) | ||||
United Kingdom — (0.3)% | ||||
ASOS PLC* | (14,650) | (654,544) | ||
Capita PLC* | (56,613) | (123,058) | ||
Hargreaves Lansdown PLC | (6,898) | (176,803) | ||
John Wood Group PLC | (149,891) | (791,204) | ||
NMC Health PLC | (43,032) | (1,007,193) | ||
Ocado Group PLC* | (28,922) | (489,986) | ||
Severn Trent PLC | (15,550) | (518,028) | ||
SSE PLC | (4,967) | (94,643) | ||
St. James’s Place PLC | (10,242) | (157,982) | ||
Thomas Cook Group PLCΨ†††* | (56,628) | (2,589) | ||
United Utilities Group PLC | (11,243) | (140,496) | ||
Virgin Money UK PLC | (40,316) | (100,691) | ||
Weir Group PLC (The) | (11,786) | (235,659) | ||
(4,492,876) | ||||
Total Foreign Common Stocks Sold Short (Proceeds $(62,197,906)) | (69,006,928) | |||
FOREIGN PREFERRED STOCKS SOLD SHORT — (0.0)% | ||||
Germany — (0.0)% | ||||
Sartorius AG 0.33%, 03/29/19 (Proceeds $(403,162)) | (2,084) | (445,480) | ||
TOTAL SECURITIES SOLD SHORT —(5.3)% (Cost $(62,601,068)) | (69,452,408) | |||
Other Assets in Excess of Liabilities — 1.0% | 13,591,560 | |||
NET ASSETS — 100.0% | $1,314,169,738 |
Table of Contents
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
CAC 40 Index | 01/2020 | 349 | $23,370,958 | $7,421 | ||||
IBEX 35 Index | 01/2020 | 106 | 11,329,169 | (85,862) | ||||
OMXS30 Index | 01/2020 | (198) | (3,737,993) | 41,964 | ||||
Hang Seng Index | 01/2020 | 10 | 1,813,970 | 15,404 | ||||
AEX Index | 01/2020 | (49) | (6,646,492) | 35,781 | ||||
Topix Index® | 03/2020 | 84 | 13,304,864 | (30,702) | ||||
ASX SPI 200 Index | 03/2020 | (75) | (8,688,104) | 238,194 | ||||
S&P/TSX 60 Index | 03/2020 | (80) | (12,474,221) | 3,455 | ||||
DAX Index | 03/2020 | 17 | 6,314,905 | (16,353) | ||||
FTSE 100 Index® | 03/2020 | (119) | (11,820,480) | (9,124) | ||||
FTSE/MIB Index | 03/2020 | 160 | 21,007,199 | (62,162) | ||||
MSCI EAFE Index E-Mini | 03/2020 | 196 | 19,957,700 | 49,989 | ||||
Total Futures Contracts outstanding at December 31, 2019 | $53,731,475 | $188,005 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
03/18/20 | Australian Dollars | 63,859,000 | U.S. Dollars | 43,574,657 | CITI | $1,325,504 | ||||||
03/18/20 | Canadian Dollars | 36,175,000 | U.S. Dollars | 27,260,947 | CITI | 604,686 | ||||||
03/18/20 | British Pounds | 20,907,000 | U.S. Dollars | 27,172,021 | CITI | 581,190 | ||||||
03/18/20 | Euro | 10,871,000 | U.S. Dollars | 12,100,770 | CITI | 153,304 | ||||||
03/18/20 | New Zealand Dollars | 3,041,000 | U.S. Dollars | 1,992,970 | CITI | 56,555 | ||||||
03/18/20 | Norwegian Kroner | 6,536,000 | U.S. Dollars | 712,472 | CITI | 32,177 | ||||||
03/18/20 | Danish Kroner | 2,824,000 | U.S. Dollars | 421,705 | CITI | 4,512 | ||||||
03/18/20 | Israeli Shekels | 4,212,250 | U.S. Dollars | 1,220,524 | CITI | 4,475 | ||||||
03/18/20 | Swedish Kronor | 1,079,000 | U.S. Dollars | 112,677 | CITI | 2,958 | ||||||
03/18/20 | Japanese Yen | 109,179,000 | U.S. Dollars | 1,008,229 | CITI | 1,085 | ||||||
03/18/20 | Singapore Dollars | 151,000 | U.S. Dollars | 111,353 | CITI | 1,006 | ||||||
03/18/20 | Swiss Francs | 22,000 | U.S. Dollars | 22,405 | CITI | 453 | ||||||
03/18/20 | Hong Kong Dollars | 2,337,000 | U.S. Dollars | 299,337 | CITI | 389 | ||||||
Subtotal Appreciation | $2,768,294 | |||||||||||
03/18/20 | U.S. Dollars | 87,072 | Israeli Shekels | 300,000 | CITI | $(173) | ||||||
03/18/20 | Israeli Shekels | 1,344,750 | U.S. Dollars | 391,464 | CITI | (386) | ||||||
03/18/20 | U.S. Dollars | 16,696 | New Zealand Dollars | 26,000 | CITI | (825) | ||||||
03/18/20 | U.S. Dollars | 815,944 | Hong Kong Dollars | 6,393,000 | CITI | (3,979) | ||||||
03/18/20 | Japanese Yen | 211,256,000 | U.S. Dollars | 1,958,332 | CITI | (5,360) | ||||||
03/18/20 | U.S. Dollars | 738,930 | Singapore Dollars | 1,004,000 | CITI | (8,144) | ||||||
03/18/20 | U.S. Dollars | 1,781,264 | Euro | 1,597,000 | CITI | (18,916) | ||||||
06/17/20 | U.S. Dollars | 1,368,059 | Swiss Francs | 1,330,000 | NT | (22,824) | ||||||
03/18/20 | U.S. Dollars | 2,299,630 | Danish Kroner | 15,398,000 | CITI | (24,343) | ||||||
03/18/20 | U.S. Dollars | 2,331,810 | Canadian Dollars | 3,070,000 | CITI | (33,014) | ||||||
03/18/20 | U.S. Dollars | 9,323,378 | Swedish Kronor | 89,085,000 | CITI | (223,750) | ||||||
03/18/20 | U.S. Dollars | 14,814,485 | Australian Dollars | 21,561,000 | CITI | (345,357) | ||||||
03/18/20 | U.S. Dollars | 19,879,304 | British Pounds | 15,355,000 | CITI | (503,848) | ||||||
03/18/20 | U.S. Dollars | 14,849,217 | Norwegian Kroner | 135,389,000 | CITI | (575,704) | ||||||
03/18/20 | U.S. Dollars | 42,174,974 | Swiss Francs | 41,562,000 | CITI | (1,010,055) | ||||||
Subtotal Depreciation | $(2,776,678) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at December 31, 2019 | $(8,384) |
Table of Contents
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Total Return Swaps | ||||||||||||||||
Financing Index: 1-Month EURIBOR + 0.05% (Monthly) | MSCI Spain Net Return EUR Index | 3/18/2020 | GSC | EUR | 66,007 | $1,899 | $— | $1,899 | ||||||||
Financing Index: 1-Month EURIBOR + 0.10% (Monthly) | MSCI Italy Net Return EUR Index | 3/18/2020 | GSC | EUR | 8,845,253 | 164,369 | — | 164,369 | ||||||||
MSCI Australia Net Return AUD Index | Financing Index: 1-Month ASX BBSW + 0.20% (Monthly) | 3/18/2020 | GSC | AUD | 2,282,569 | 6,438 | — | 6,438 | ||||||||
Subtotal Appreciation | $172,706 | $ — | $172,706 | |||||||||||||
MSCI Canada Net Return CAD Index | Financing Index: 1-Month CDOR - 0.60% (Monthly) | 3/18/2020 | GSC | CAD | 458,726 | $(2,275) | $— | $(2,275) | ||||||||
MSCI Netherlands Net Return EUR Index | Financing Index: 1-Month EURIBOR + 0.14% (Monthly) | 3/18/2020 | GSC | EUR | 2,674,875 | (49,898) | — | (49,898) | ||||||||
MSCI Sweden Net Return SEK Index | Financing Index: 1-Month STIBOR + 0.20% (Monthly) | 3/18/2020 | GSC | SEK | 93,389,149 | (230,577) | — | (230,577) | ||||||||
MSCI Switzerland Net Return CHF Index | Financing Index: 1-Month ICE LIBOR CHF - 0.35% (Monthly) | 3/18/2020 | GSC | CHF | 3,140,657 | (71,184) | — | (71,184) | ||||||||
Increase in total return of Swiss Market Index (At Termination) | Decreases in total return of Swiss Market Index (At Termination) | 3/20/2020 | CITI | CHF | 3,472,260 | (24,994) | — | (24,994) | ||||||||
Increase in total return of Swiss Market Index (At Termination) | Decreases in total return of Swiss Market Index (At Termination) | 3/20/2020 | JPM | CHF | 315,660 | (1,510) | — | (1,510) | ||||||||
Subtotal Depreciation | $(380,438) | $ — | $(380,438) | |||||||||||||
Net Total Return Swaps outstanding at December 31, 2019 | $(207,732) | $ — | $(207,732) |
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $23,531,207 | $23,531,207 | $— | $— | |||
Foreign Common Stocks: | |||||||
Austria | 1,489,987 | — | 1,489,987 | — | |||
Denmark | 21,436,267 | — | 21,436,267 | — | |||
Finland | 5,140,675 | — | 5,140,675 | — | |||
Germany | 133,685,676 | — | 133,685,676 | — | |||
Indonesia | 1,409,368 | — | 1,409,368 | — | |||
Italy | 36,109,999 | — | 36,109,999 | — | |||
Japan | 218,943,592 | — | 218,943,592 | — | |||
Netherlands | 42,237,515 | 27,673,705 | 14,563,810 | — | |||
Norway | 3,845,197 | — | 3,845,197 | — | |||
South Korea | 5,644,377 | — | 5,644,377 | — | |||
Sweden | 36,290,130 | — | 36,290,130 | — | |||
Switzerland | 124,393,651 | 7,387,860 | 117,005,791 | — | |||
United Kingdom | 193,208,566 | 191,584,797 | 1,623,769 | — | |||
Other^^ | 458,552,032 | 458,552,032 | — | —** | |||
Total Foreign Common Stocks | 1,282,387,032 | 685,198,394 | 597,188,638 | — | |||
Foreign Preferred Stocks | 2,412,777 | — | 2,412,777 | — | |||
Money Market Funds | 60,505,949 | 60,505,949 | — | — | |||
U.S. Treasury Obligation | 1,193,621 | — | 1,193,621 | — | |||
Total Assets - Investments in Securities | $1,370,030,586 | $769,235,550 | $600,795,036 | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $2,768,294 | $— | $2,768,294 | $— | |||
Futures Contracts | 392,208 | 392,208 | — | — | |||
Swap Agreements | 172,706 | — | 172,706 | — | |||
Total Assets - Other Financial Instruments | $3,333,208 | $392,208 | $2,941,000 | $ — |
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Liabilities: | |||||||
Investments in Securities: | |||||||
Foreign Common Stocks Sold Short: | |||||||
Denmark | $(2,209,116) | $— | $(2,209,116) | $— | |||
Finland | (849,250) | — | (849,250) | — | |||
Germany | (12,706,929) | (71,559) | (12,635,370) | — | |||
Italy | (5,608,705) | — | (5,608,705) | — | |||
Japan | (8,602,874) | — | (8,602,874) | — | |||
Norway | (2,024,493) | — | (2,024,493) | — | |||
Sweden | (1,171,845) | — | (1,171,845) | — | |||
Switzerland | (2,748,453) | — | (2,748,453) | — | |||
United Kingdom | (4,492,876) | (4,490,287) | — | (2,589) | |||
Other^^ | (28,592,387) | (28,592,387) | — | — | |||
Total Foreign Common Stocks Sold Short | (69,006,928) | (33,154,233) | (35,850,106) | (2,589) | |||
Foreign Preferred Stocks Sold Short | (445,480) | — | (445,480) | — | |||
Total Liabilities - Investments in Securities | $(69,452,408) | $(33,154,233) | $(36,295,586) | $(2,589) | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $(2,776,678) | $— | $(2,776,678) | $— | |||
Futures Contracts | (204,203) | (204,203) | — | — | |||
Swap Agreements | (380,438) | — | (380,438) | — | |||
Total Liabilities - Other Financial Instruments | $(3,361,319) | $(204,203) | $(3,157,116) | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
** | Level 3 security has zero value. |
*** | Other financial instruments are derivative instruments, such as futures contracts, forwards contracts and swap agreements, 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", "Forwards Foreign Currency Contracts outstanding" and "Swap Agreements outstanding" disclosures. |
Table of Contents
% | |
Financials | 21.2 |
Information Technology | 20.6 |
Consumer Discretionary | 15.0 |
Communication Services | 8.5 |
Consumer Staples | 8.3 |
Money Market Funds | 5.7 |
Materials | 5.0 |
Energy | 4.2 |
Industrials | 3.6 |
Utilities | 2.8 |
Health Care | 2.6 |
Real Estate | 1.9 |
U.S. Treasury Obligation | 0.3 |
99.7 |
Table of Contents
Average Annual Total Returns as of 12/31/19 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | 20.06% | 19.64% | 18.42% | ||||
Five Year | 3.64% | 3.34% | 5.61% | ||||
Ten year | N/A | N/A | N/A | ||||
Since Inception | 1.82% | 1.54% | 3.66% | ||||
Inception Date | 10/31/13 | 10/31/13 | |||||
Total Fund Operating Expenses (April 30, 2019 Prospectus)(1) | 1.24% | 1.55% |
(1) | Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights. |
Table of Contents
Shares | Value | |||
COMMON STOCKS — 3.1% | ||||
Communication Services — 0.1% | ||||
Autohome, Inc. ADRΔ* | 1,273 | $101,853 | ||
JOYY, Inc. ADR* | 1,059 | 55,904 | ||
Momo, Inc. ADR | 2,542 | 85,157 | ||
Sea, Ltd. ADR* | 9,803 | 394,277 | ||
637,191 | ||||
Consumer Discretionary — 1.3% | ||||
GSX Techedu, Inc. ADR* | 26,446 | 578,110 | ||
Huazhu Group, Ltd. ADR | 3,029 | 121,372 | ||
MercadoLibre, Inc.* | 3,412 | 1,951,459 | ||
Pinduoduo, Inc. ADR* | 5,417 | 204,871 | ||
Trip.com Group, Ltd. ADR* | 57,546 | 1,930,093 | ||
Yum China Holdings, Inc. | 43,994 | 2,112,152 | ||
6,898,057 | ||||
Financials — 0.3% | ||||
Intercorp Financial Services, Inc.Δ* | 11,122 | 459,338 | ||
LexinFintech Holdings, Ltd. ADRΔ* | 32,845 | 456,217 | ||
XP, Inc. Class A* | 9,840 | 379,037 | ||
1,294,592 | ||||
Health Care — 0.2% | ||||
Zai Lab, Ltd. ADR* | 30,074 | 1,250,778 | ||
Industrials — 0.3% | ||||
Copa Holdings SA Class A | 13,897 | 1,501,988 | ||
ZTO Express Cayman, Inc. ADR | 8,419 | 196,583 | ||
1,698,571 | ||||
Information Technology — 0.9% | ||||
Globant SA* | 9,961 | 1,056,364 | ||
Huami Corporation ADR* | 29,004 | 348,628 | ||
Pagseguro Digital, Ltd. Class AΔ* | 47,070 | 1,607,912 | ||
StoneCo, Ltd. Class AΔ* | 36,553 | 1,458,099 | ||
4,471,003 | ||||
Materials — 0.0% | ||||
Southern Copper CorporationΔ | 2,441 | 103,694 | ||
Total Common Stocks (Cost $14,658,158) | 16,353,886 | |||
FOREIGN COMMON STOCKS — 89.4% | ||||
Argentina — 0.1% | ||||
YPF SA ADR | 56,178 | 650,541 | ||
Brazil — 6.4% | ||||
Atacadao SA* | 115,100 | 668,105 | ||
B3 SA - Brasil Bolsa Balcao | 498,700 | 5,327,054 | ||
Banco BTG Pactual SA* | 55,200 | 1,044,666 | ||
Banco do Brasil SA* | 344,200 | 4,519,513 | ||
Banco Pan SA* | 21,170 | 55,731 | ||
BB Seguridade Participacoes SA | 15,300 | 143,389 | ||
BRF SA* | 41,500 | 363,139 | ||
CCR SA | 313,100 | 1,477,276 | ||
Cia de Saneamento Basico do Estado de Sao Paulo ADR* | 79,852 | 1,201,773 |
Shares | Value | |||
Cielo SA | 426,700 | $887,831 | ||
Embraer SA ADR | 4,479 | 87,296 | ||
IRB Brasil Resseguros SA | 85,800 | 830,763 | ||
JBS SA | 270,000 | 1,731,673 | ||
Localiza Rent a Car SA | 106,575 | 1,256,052 | ||
Lojas Renner SA* | 224,829 | 3,140,463 | ||
Minerva SA* | 164,100 | 523,789 | ||
Notre Dame Intermedica Participacoes SA | 30,300 | 514,076 | ||
Petrobras Distribuidora SA | 119,600 | 894,019 | ||
Petroleo Brasileiro SA ADR* | 150,362 | 2,396,770 | ||
Raia Drogasil SA* | 61,400 | 1,704,004 | ||
Sao Martinho SA | 116,300 | 685,767 | ||
TIM Participacoes SA ADRΔ* | 84,822 | 1,620,948 | ||
TOTVS SA* | 18,300 | 293,650 | ||
Wiz Solucoes e Corretagem de Seguros SA | 142,800 | 501,239 | ||
YDUQS Part | 172,455 | 2,036,347 | ||
33,905,333 | ||||
Canada — 0.2% | ||||
Parex Resources, Inc.* | 70,409 | 1,309,443 | ||
Chile — 0.5% | ||||
Aguas Andinas SA Class A | 437,204 | 185,475 | ||
Banco de Chile ADRΔ | 7,668 | 160,952 | ||
Banco de Credito e Inversiones SA | 1,824 | 82,716 | ||
Banco Santander Chile ADRΔ | 3,609 | 83,260 | ||
Cencosud SA | 530,602 | 699,185 | ||
Empresas CMPC SA | 31,139 | 76,319 | ||
Enel Americas SA ADR | 93,692 | 1,028,738 | ||
Enel Chile SA ADR | 30,848 | 146,528 | ||
2,463,173 | ||||
China — 17.1% | ||||
58.com, Inc. ADR* | 10,999 | 711,965 | ||
Agricultural Bank of China, Ltd. Class A | 571,300 | 302,824 | ||
Alibaba Group Holding, Ltd. ADR* | 111,063 | 23,556,462 | ||
Anhui Conch Cement Co., Ltd. Class A | 16,900 | 133,036 | ||
Anhui Conch Cement Co., Ltd. Class H | 112,500 | 820,040 | ||
BAIC Motor Corporation, Ltd. Class H 144A | 495,500 | 281,061 | ||
Baidu, Inc. ADR* | 6,128 | 774,579 | ||
Bank of Beijing Co., Ltd. Class A | 89,700 | 73,188 | ||
Bank of China, Ltd. Class A | 203,500 | 107,868 | ||
Bank of China, Ltd. Class H | 194,000 | 82,905 | ||
Bank of Communications Co., Ltd. Class A | 110,200 | 89,123 | ||
Bank of Ningbo Co., Ltd. Class A | 27,000 | 109,180 | ||
Bank of Shanghai Co., Ltd. Class A | 49,180 | 67,043 | ||
Baoshan Iron & Steel Co., Ltd. Class A | 60,900 | 50,215 | ||
Beijing Capital International Airport Co., Ltd. Class H | 478,000 | 463,137 |
Table of Contents
Shares | Value | |||
BOE Technology Group Co., Ltd. Class A | 182,300 | $118,889 | ||
China CITIC Bank Corporation, Ltd. Class H | 1,186,000 | 710,781 | ||
China Communications Services Corporation, Ltd. Class H | 1,114,000 | 812,022 | ||
China Construction Bank Corporation Class H | 2,342,000 | 2,022,722 | ||
China Everbright Bank Co., Ltd. Class A | 78,900 | 49,982 | ||
China Evergrande Group* | 224,785 | 623,097 | ||
China Fortune Land Development Co., Ltd. Class A | 18,753 | 77,313 | ||
China International Travel Service Corporation, Ltd. Class A | 102,312 | 1,307,293 | ||
China Medical System Holdings, Ltd. | 972,000 | 1,399,566 | ||
China Mengniu Dairy Co., Ltd.* | 130,000 | 525,519 | ||
China Merchants Bank Co., Ltd. Class A | 37,756 | 203,818 | ||
China Merchants Bank Co., Ltd. Class H | 312,000 | 1,603,583 | ||
China Merchants Securities Co., Ltd. Class A | 30,100 | 79,083 | ||
China Minsheng Banking Corporation, Ltd. Class A | 83,400 | 75,595 | ||
China National Building Material Co., Ltd. Class H | 1,420,000 | 1,585,411 | ||
China Oilfield Services, Ltd. Class H | 815,805 | 1,279,357 | ||
China Pacific Insurance Group Co., Ltd. Class A | 21,100 | 114,692 | ||
China Petroleum & Chemical Corporation Class A | 100,700 | 73,918 | ||
China Railway Construction Corporation, Ltd. Class A | 52,100 | 75,889 | ||
China Shipbuilding Industry Co., Ltd. Class A | 102,700 | 77,304 | ||
China State Construction Engineering Corporation, Ltd. Class A | 89,300 | 72,092 | ||
China Telecom Corporation, Ltd. Class H | 600,000 | 247,167 | ||
China Tower Corporation, Ltd. Class H 144A | 9,089,900 | 2,006,420 | ||
China United Network Communications, Ltd. Class A | 133,600 | 113,037 | ||
China Vanke Co., Ltd. Class H | 52,150 | 222,526 | ||
China Yangtze Power Co., Ltd. Class A | 101,550 | 268,118 | ||
CITIC Securities Co., Ltd. Class A | 29,000 | 105,395 | ||
Contemporary Amperex Technology Co., Ltd. Class A | 36,999 | 565,499 | ||
Country Garden Holdings Co., Ltd. | 207,632 | 332,540 | ||
CRRC Corporation, Ltd. Class A | 92,300 | 94,667 | ||
Daqin Railway Co., Ltd. Class A | 134,400 | 158,505 | ||
Foshan Haitian Flavouring & Food Co., Ltd. Class A | 13,700 | 211,578 | ||
Gree Electric Appliances, Inc. of Zhuhai Class A | 209,600 | 1,974,527 | ||
Guotai Junan Securities Co., Ltd. Class A | 33,500 | 88,978 | ||
Haier Smart Home Co., Ltd. Class A | 31,100 | 87,115 |
Shares | Value | |||
Haitong Securities Co., Ltd. Class A | 23,900 | $53,077 | ||
Haitong Securities Co., Ltd. Class H | 1,379,791 | 1,630,825 | ||
Hangzhou Hikvision Digital Technology Co., Ltd. Class A | 34,000 | 159,904 | ||
Huaneng Renewables Corporation, Ltd. Class H | 3,926,000 | 1,526,607 | ||
Huatai Securities Co., Ltd. Class A | 26,736 | 78,002 | ||
Huaxia Bank Co., Ltd. Class A | 66,807 | 73,607 | ||
Industrial & Commercial Bank of China, Ltd. Class A | 169,700 | 143,337 | ||
Industrial Bank Co., Ltd. Class A | 40,800 | 116,045 | ||
Inner Mongolia Yili Industrial Group Co., Ltd. Class A | 26,909 | 119,596 | ||
JD.com, Inc. ADR* | 18,849 | 664,050 | ||
Jiangsu Hengrui Medicine Co., Ltd. Class A | 17,928 | 225,393 | ||
Luxshare Precision Industry Co., Ltd. Class A | 29,565 | 155,014 | ||
Midea Group Co., Ltd. Class A | 14,609 | 122,241 | ||
NARI Technology Co., Ltd. Class A | 170,251 | 517,984 | ||
NetEase, Inc. ADR | 1,533 | 470,079 | ||
New China Life Insurance Co., Ltd. Class A | 10,500 | 74,133 | ||
New China Life Insurance Co., Ltd. Class H | 109,400 | 470,323 | ||
New Oriental Education & Technology Group, Inc. ADR* | 9,412 | 1,141,205 | ||
PetroChina Co., Ltd. Class A | 88,200 | 73,865 | ||
Pharmaron Beijing Co., Ltd. Class H 144A* | 65,087 | 363,344 | ||
PICC Property & Casualty Co., Ltd. Class H | 1,043,803 | 1,257,820 | ||
Ping An Bank Co., Ltd. Class A | 36,900 | 87,195 | ||
Ping An Insurance Group Co. of China, Ltd. Class A | 20,100 | 246,751 | ||
Ping An Insurance Group Co. of China, Ltd. Class H | 704,500 | 8,326,739 | ||
Sany Heavy Industry Co., Ltd. Class A | 53,000 | 129,808 | ||
Shandong Weigao Group Medical Polymer Co., Ltd. Class H | 312,000 | 373,969 | ||
Shanghai International Airport Co., Ltd. Class A | 40,700 | 460,411 | ||
Shanghai Pudong Development Bank Co., Ltd. Class A | 60,200 | 106,971 | ||
Shenwan Hongyuan Group Co., Ltd. Class A | 160,100 | 117,750 | ||
Sinopec Engineering Group Co., Ltd. Class H | 259,000 | 154,889 | ||
Sinopharm Group Co., Ltd. Class H | 192,000 | 701,000 | ||
Sunac China Holdings, Ltd. | 67,859 | 405,379 | ||
Suning.com Co., Ltd. Class A | 70,175 | 101,914 | ||
Sunny Optical Technology Group Co., Ltd. | 48,100 | 832,705 | ||
TAL Education Group ADR* | 8,608 | 414,906 | ||
Tencent Holdings, Ltd. | 436,030 | 21,017,269 | ||
Vipshop Holdings, Ltd. ADR* | 8,678 | 122,967 | ||
Weichai Power Co., Ltd. Class H | 219,000 | 462,041 | ||
WuXi AppTec Co., Ltd. Class H 144A | 46,620 | 578,240 |
Table of Contents
Shares | Value | |||
Yonghui Superstores Co., Ltd. Class A | 87,700 | $94,989 | ||
Zhejiang Expressway Co., Ltd. Class H | 58,000 | 52,847 | ||
91,211,815 | ||||
Czech Republic — 0.1% | ||||
Moneta Money Bank AS 144A | 201,708 | 756,840 | ||
Egypt — 0.1% | ||||
Commercial International Bank Egypt SAE GDR | 67,806 | 345,811 | ||
Greece — 0.4% | ||||
JUMBO SA | 74,048 | 1,540,756 | ||
Sarantis SA | 49,653 | 474,528 | ||
2,015,284 | ||||
Hong Kong — 10.2% | ||||
AAC Technologies Holdings, Inc.Δ | 92,500 | 807,207 | ||
AIA Group, Ltd. | 1,010,625 | 10,609,079 | ||
ANTA Sports Products, Ltd. | 185,000 | 1,655,962 | ||
Beijing Enterprises Holdings, Ltd. | 19,500 | 89,463 | ||
Bosideng International Holdings, Ltd. | 1,418,000 | 511,348 | ||
China Jinmao Holdings Group, Ltd. | 122,000 | 95,035 | ||
China Lesso Group Holdings, Ltd. | 36,000 | 46,153 | ||
China Mobile, Ltd. | 357,496 | 3,005,016 | ||
China Overseas Land & Investment, Ltd. | 614,633 | 2,393,916 | ||
China Resources Cement Holdings, Ltd. | 56,398 | 71,798 | ||
China Resources Land, Ltd. | 781,997 | 3,893,778 | ||
China Resources Power Holdings Co., Ltd. | 636,000 | 892,912 | ||
CITIC, Ltd. | 336,000 | 449,305 | ||
CNOOC, Ltd. | 2,698,361 | 4,487,861 | ||
Country Garden Services Holdings Co., Ltd. | 244,000 | 821,965 | ||
CSPC Pharmaceutical Group, Ltd. | 1,403,124 | 3,345,616 | ||
Dali Foods Group Co., Ltd. 144A | 429,000 | 317,664 | ||
ENN Energy Holdings, Ltd. | 179,400 | 1,960,385 | ||
Far East Horizon, Ltd. | 66,000 | 61,830 | ||
FIT Hon Teng, Ltd. 144A | 1,065,000 | 358,084 | ||
Guangdong Investment, Ltd. | 22,000 | 46,020 | ||
Haier Electronics Group Co., Ltd. | 241,000 | 753,096 | ||
Hansoh Pharmaceutical Group Co., Ltd. 144A* | 18,000 | 59,828 | ||
Hengan International Group Co., Ltd. | 204,600 | 1,457,246 | ||
Hong Kong Exchanges and Clearing, Ltd. | 47,072 | 1,528,331 | ||
Hua Hong Semiconductor, Ltd. 144AΔ | 305,000 | 693,582 | ||
IMAX China Holding, Inc. 144A | 67,000 | 141,355 | ||
Innovent Biologics, Inc. 144A* | 275,000 | 936,983 | ||
Kingboard Laminates Holdings, Ltd. | 842,074 | 1,043,907 | ||
Kunlun Energy Co., Ltd. | 1,024,000 | 904,113 | ||
Li Ning Co., Ltd. | 315,000 | 943,913 | ||
Longfor Group Holdings, Ltd. 144A | 38,884 | 182,137 | ||
Meituan Dianping Class BΔ* | 112,488 | 1,471,007 | ||
Minth Group, Ltd.Δ | 174,000 | 614,068 | ||
Nexteer Automotive Group, Ltd.Δ | 559,000 | 506,467 | ||
Shenzhou International Group Holdings, Ltd. | 46,100 | 673,843 |
Shares | Value | |||
Shimao Property Holdings, Ltd. | 33,000 | $127,896 | ||
Sino Biopharmaceutical, Ltd. | 434,000 | 607,086 | ||
Sinotruk Hong Kong, Ltd. | 620,500 | 1,323,449 | ||
SSY Group, Ltd. | 1,058,050 | 856,781 | ||
Sun Art Retail Group, Ltd. | 45,500 | 55,179 | ||
Techtronic Industries Co., Ltd. | 55,000 | 448,552 | ||
Topsports International Holdings, Ltd. 144A | 283,000 | 342,115 | ||
Uni-President China Holdings, Ltd. | 680,000 | 713,833 | ||
Vitasoy International Holdings, Ltd. | 446,000 | 1,616,917 | ||
Xinyi Solar Holdings, Ltd. | 488,000 | 346,321 | ||
54,268,402 | ||||
Hungary — 0.5% | ||||
OTP Bank Nyrt PLC | 53,978 | 2,826,288 | ||
India — 9.4% | ||||
Abbott India, Ltd. | 1,136 | 208,100 | ||
Aditya Birla Fashion and Retail, Ltd.* | 88,482 | 287,221 | ||
AIA Engineering, Ltd. | 21,709 | 501,680 | ||
Amber Enterprises India, Ltd. | 21,805 | 341,273 | ||
Ambuja Cements, Ltd. | 16,840 | 46,301 | ||
Apollo Hospitals Enterprise, Ltd. | 77,976 | 1,575,291 | ||
Atul, Ltd. | 4,035 | 228,991 | ||
Axis Bank, Ltd. | 119,365 | 1,261,074 | ||
Bajaj Finance, Ltd. | 9,225 | 547,304 | ||
Bharat Petroleum Corporation, Ltd. | 42,497 | 292,658 | ||
Coal India, Ltd. | 376,339 | 1,114,336 | ||
Colgate-Palmolive India, Ltd. | 3,446 | 70,626 | ||
Crompton Greaves Consumer Electricals, Ltd. | 93,591 | 314,491 | ||
Dalmia Bharat, Ltd. | 27,350 | 306,651 | ||
Divi's Laboratories, Ltd. | 25,006 | 646,641 | ||
Dr. Reddy's Laboratories, Ltd. | 3,981 | 160,323 | ||
Eicher Motors, Ltd. | 1,118 | 352,658 | ||
Emami, Ltd. | 170,142 | 738,699 | ||
GAIL India, Ltd. | 1,002,654 | 1,700,398 | ||
Godrej Consumer Products, Ltd. | 5,614 | 53,841 | ||
Godrej Industries, Ltd. | 103,245 | 614,091 | ||
HCL Technologies, Ltd. | 254,412 | 2,024,870 | ||
HDFC Bank, Ltd. | 131,888 | 2,350,505 | ||
Hero MotoCorp, Ltd. | 4,696 | 160,729 | ||
Hindalco Industries, Ltd. | 329,015 | 996,336 | ||
Hindustan Petroleum Corporation, Ltd. | 28,273 | 104,769 | ||
Hindustan Unilever, Ltd. | 24,930 | 671,640 | ||
Housing Development Finance Corporation, Ltd. | 214,816 | 7,260,686 | ||
ICICI Bank, Ltd. ADR | 68,562 | 1,034,601 | ||
ICICI Lombard General Insurance Co., Ltd. 144A | 34,942 | 678,885 | ||
Info Edge India, Ltd. | 18,122 | 642,347 | ||
Infosys, Ltd. | 71,564 | 733,054 | ||
Infosys, Ltd. ADR | 253,606 | 2,617,214 | ||
InterGlobe Aviation, Ltd. 144A | 16,125 | 301,262 | ||
Larsen & Toubro Infotech, Ltd. 144A | 12,609 | 309,227 | ||
LIC Housing Finance, Ltd. | 32,307 | 196,504 | ||
Mahindra & Mahindra, Ltd. | 428,033 | 3,187,543 | ||
Marico, Ltd. | 661,591 | 3,166,228 | ||
Maruti Suzuki India, Ltd. | 11,204 | 1,156,626 |
Table of Contents
Shares | Value | |||
MRF, Ltd. | 265 | $246,259 | ||
Navin Fluorine International, Ltd. | 25,014 | 352,879 | ||
NTPC, Ltd. | 139,633 | 232,891 | ||
Oil & Natural Gas Corporation, Ltd. | 901,446 | 1,626,636 | ||
Power Grid Corporation of India, Ltd. | 570,232 | 1,519,886 | ||
Prestige Estates Projects, Ltd. | 72,927 | 345,692 | ||
Procter & Gamble Hygiene & Health Care, Ltd. | 1,538 | 246,651 | ||
SBI Life Insurance Co., Ltd. 144A | 26,142 | 352,183 | ||
Tata Consultancy Services, Ltd. | 159,329 | 4,825,307 | ||
TeamLease Services, Ltd.* | 13,941 | 484,344 | ||
Tech Mahindra, Ltd. | 22,438 | 239,632 | ||
Thermax, Ltd. | 17,656 | 267,790 | ||
Wipro, Ltd. | 29,957 | 103,161 | ||
Zee Entertainment Enterprises, Ltd. | 124,792 | 510,860 | ||
50,309,845 | ||||
Indonesia — 1.6% | ||||
PT Adaro Energy Tbk | 5,228,900 | 584,337 | ||
PT Bank Central Asia Tbk | 754,916 | 1,815,578 | ||
PT Bank Mandiri Persero Tbk | 4,047,752 | 2,236,640 | ||
PT Bank Negara Indonesia Persero Tbk | 643,531 | 363,284 | ||
PT BFI Finance Indonesia Tbk | 5,778,700 | 233,104 | ||
PT Bukit Asam Tbk | 302,800 | 57,917 | ||
PT Indofood CBP Sukses Makmur Tbk | 63,200 | 50,751 | ||
PT Indofood Sukses Makmur Tbk | 577,236 | 329,131 | ||
PT Link Net Tbk | 2,576,500 | 734,950 | ||
PT Map Aktif Adiperkasa* | 583,300 | 222,690 | ||
PT Perusahaan Gas Negara Tbk | 247,900 | 38,653 | ||
PT Semen Indonesia Persero Tbk | 511,600 | 441,174 | ||
PT Telekomunikasi Indonesia Persero Tbk | 2,148,900 | 615,611 | ||
PT United Tractors Tbk | 334,960 | 518,618 | ||
8,242,438 | ||||
Isle of Man — 0.0% | ||||
NEPI Rockcastle PLC | 10,920 | 96,546 | ||
Malaysia — 0.8% | ||||
AirAsia Group Bhd | 1,105,540 | 459,459 | ||
DiGi.Com Bhd | 323,500 | 352,722 | ||
Hong Leong Bank Bhd. | 60,200 | 254,605 | ||
Malayan Banking Bhd | 456,316 | 963,836 | ||
Malaysia Airports Holdings | 261,300 | 485,486 | ||
MISC Bhd | 111,300 | 227,198 | ||
Petronas Chemicals Group Bhd | 82,699 | 148,598 | ||
Petronas Gas Bhd | 52,800 | 214,530 | ||
Public Bank Bhd | 91,716 | 435,878 | ||
RHB Bank Bhd | 336,200 | 475,061 | ||
Sime Darby Bhd | 154,000 | 83,579 | ||
Tenaga Nasional Bhd | 17,600 | 57,053 | ||
4,158,005 | ||||
Mexico — 1.8% | ||||
Alfa SAB de CV Series A | 329,500 | 272,906 | ||
Alpek SAB de CV | 1,097,300 | 1,215,837 | ||
Arca Continental SAB de CV | 49,400 | 261,298 |
Shares | Value | |||
Bolsa Mexicana de Valores SAB de CV | 169,100 | $371,872 | ||
Fibra Uno Administracion SA de CV REIT | 123,161 | 190,726 | ||
Fomento Economico Mexicano SAB de CV ADR | 39,000 | 3,685,890 | ||
Gruma SAB de CV Series B | 13,650 | 139,904 | ||
Grupo Cementos de Chihuahua SAB de CV | 120,300 | 642,300 | ||
Grupo Financiero Banorte SAB de CV Series O | 69,310 | 386,956 | ||
Grupo Mexico SAB de CV Series B | 50,400 | 138,558 | ||
Kimberly-Clark de Mexico SAB de CV Series A* | 249,100 | 495,763 | ||
Unifin Financiera SAB de CV SOFOM ENR | 156,600 | 256,755 | ||
Wal-Mart de Mexico SAB de CV | 604,413 | 1,735,160 | ||
9,793,925 | ||||
Netherlands — 0.6% | ||||
Prosus NV* | 21,582 | 1,610,593 | ||
Yandex NV Class A* | 40,075 | 1,742,862 | ||
3,353,455 | ||||
Peru — 1.2% | ||||
Alicorp SAA Class C | 122,838 | 341,114 | ||
Banco BBVA Peru SA | 253,856 | 262,821 | ||
Credicorp, Ltd. | 24,965 | 5,320,791 | ||
Intercorp Financial Services, Inc. | 7,526 | 307,813 | ||
6,232,539 | ||||
Philippines — 0.7% | ||||
Ayala Land, Inc. | 1,725,100 | 1,547,261 | ||
Bank of the Philippine Islands | 580,350 | 1,007,262 | ||
BDO Unibank, Inc. | 34,770 | 108,474 | ||
International Container Terminal Services, Inc. | 157,270 | 398,576 | ||
JG Summit Holdings, Inc. | 34,530 | 55,032 | ||
Jollibee Foods Corporation | 110,860 | 472,354 | ||
SM Prime Holdings, Inc. | 203,800 | 169,156 | ||
3,758,115 | ||||
Poland — 0.9% | ||||
Bank Polska Kasa Opieki SA | 41,592 | 1,100,670 | ||
CD Projekt SA | 10,386 | 765,861 | ||
Cyfrowy Polsat SA | 35,091 | 257,977 | ||
Dino Polska SA 144A* | 15,721 | 596,498 | ||
PGE Polska Grupa Energetyczna SA* | 121,911 | 255,461 | ||
Polski Koncern Naftowy ORLEN SA | 18,708 | 423,167 | ||
Powszechna Kasa Oszczednosci Bank Polski SA | 139,607 | 1,267,444 | ||
Powszechny Zaklad Ubezpieczen SA | 24,620 | 260,023 | ||
4,927,101 | ||||
Portugal — 0.2% | ||||
Galp Energia SGPS SA | 62,255 | 1,040,488 | ||
Qatar — 0.1% | ||||
Industries Qatar QSC | 17,530 | 49,494 | ||
Qatar Islamic Bank SAQ | 6,620 | 27,873 |
Table of Contents
Shares | Value | |||
Qatar National Bank QPSC | 108,220 | $611,988 | ||
689,355 | ||||
Russia — 2.1% | ||||
Gazprom PJSC ADR | 134,246 | 1,104,576 | ||
LUKOIL PJSC ADR | 22,858 | 2,267,057 | ||
LUKOIL PJSC ADR (OTC Exchange) | 18,259 | 1,802,346 | ||
MMC Norilsk Nickel PJSC ADR | 8,622 | 263,402 | ||
Mobile TeleSystems PJSC ADR | 66,182 | 671,747 | ||
Novatek PJSC GDR | 1,991 | 404,173 | ||
Novolipetsk Steel PJSC GDR | 13,678 | 315,141 | ||
Rosneft Oil Co. PJSC GDR | 16,843 | 121,404 | ||
Sberbank of Russia PJSC ADR | 224,035 | 3,683,135 | ||
Sberbank of Russia PJSC ADR (OTC Exchange) | 14,170 | 232,388 | ||
Severstal PJSC GDR | 27,255 | 412,641 | ||
Surgutneftegas PJSC ADR | 19,506 | 157,316 | ||
11,435,326 | ||||
Saudi Arabia — 0.0% | ||||
United Electronics Co. | 2,154 | 43,008 | ||
Singapore — 0.0% | ||||
Silverlake Axis, Ltd. | 490,500 | 149,526 | ||
Slovenia — 0.2% | ||||
Nova Ljubljanska Banka dd GDR | 74,601 | 1,009,180 | ||
South Africa — 5.7% | ||||
Absa Group, Ltd. | 60,135 | 641,022 | ||
AngloGold Ashanti, Ltd. ADR | 21,780 | 486,565 | ||
Aspen Pharmacare Holdings, Ltd.* | 5,526 | 47,038 | ||
Bid Corporation, Ltd. | 19,642 | 463,086 | ||
Clicks Group, Ltd. | 130,440 | 2,389,662 | ||
Discovery, Ltd. | 230,263 | 1,983,195 | ||
Foschini Group, Ltd. (The) | 7,775 | 82,985 | ||
Gold Fields, Ltd. ADR | 251,107 | 1,657,306 | ||
Growthpoint Properties, Ltd. REIT | 120,580 | 190,349 | ||
Harmony Gold Mining Co., Ltd. ADR* | 356,805 | 1,295,202 | ||
Impala Platinum Holdings, Ltd.* | 26,504 | 271,587 | ||
Investec, Ltd. | 125,707 | 744,585 | ||
JSE, Ltd. | 335,067 | 2,859,289 | ||
Kumba Iron Ore, Ltd. | 11,138 | 331,651 | ||
Liberty Holdings, Ltd. | 19,318 | 152,616 | ||
Momentum Metropolitan Holdings | 230,699 | 359,736 | ||
Mr Price Group, Ltd. | 47,781 | 622,593 | ||
MultiChoice Group, Ltd.* | 124,921 | 1,039,076 | ||
Nampak, Ltd.* | 171,782 | 83,769 | ||
Naspers, Ltd. N Shares | 62,918 | 10,290,727 | ||
Netcare, Ltd. | 59,961 | 83,310 | ||
Northam Platinum, Ltd.* | 5,135 | 45,323 | ||
Pick n Pay Stores, Ltd.Δ | 38,646 | 176,288 | ||
Redefine Properties, Ltd. REIT | 106,866 | 57,683 | ||
Remgro, Ltd. | 6,798 | 94,646 | ||
RMB Holdings, Ltd. | 49,872 | 286,427 | ||
Santam, Ltd. | 20,494 | 424,542 | ||
Sasol, Ltd. | 67,429 | 1,461,042 | ||
SPAR Group, Ltd. (The) | 12,450 | 175,568 | ||
Transaction Capital, Ltd. | 353,371 | 532,352 |
Shares | Value | |||
Truworths International, Ltd. | 277,611 | $975,186 | ||
30,304,406 | ||||
South Korea — 11.5% | ||||
BGF retail Co., Ltd. | 2,930 | 429,448 | ||
BNK Financial Group, Inc. | 93,275 | 616,527 | ||
CJ ENM Co., Ltd. | 3,369 | 464,457 | ||
Daelim Industrial Co., Ltd. | 5,655 | 442,388 | ||
Hana Financial Group, Inc. | 31,760 | 1,010,222 | ||
Hankook Tire & Technology Co., Ltd. | 17,930 | 519,239 | ||
Hyundai Department Store Co., Ltd. | 879 | 63,033 | ||
Hyundai Glovis Co., Ltd. | 3,100 | 382,496 | ||
Hyundai Marine & Fire Insurance Co., Ltd. | 17,242 | 401,306 | ||
KCC Corporation | 227 | 45,759 | ||
Kia Motors Corporation | 78,603 | 3,001,889 | ||
Koh Young Technology, Inc. | 18,670 | 1,701,331 | ||
Kolmar Korea Co., Ltd. | 5,816 | 236,607 | ||
Korea Investment Holdings Co., Ltd. | 14,649 | 914,852 | ||
Korea Zinc Co., Ltd. | 2,002 | 735,686 | ||
Kumho Petrochemical Co., Ltd. | 14,407 | 963,492 | ||
LG Chem, Ltd. | 7,989 | 2,189,420 | ||
LG Electronic, Inc. | 28,221 | 1,753,010 | ||
LG Household & Health Care, Ltd. | 1,119 | 1,215,516 | ||
LG Uplus Corporation | 13,101 | 160,687 | ||
NAVER Corporation | 6,377 | 1,026,027 | ||
NCSoft Corporation | 7,541 | 3,518,669 | ||
Orion Corporation | 4,735 | 431,836 | ||
Pearl Abyss Corporation* | 1,948 | 312,084 | ||
Posco International Corporation | 3,587 | 57,704 | ||
Samsung Electro-Mechanics Co., Ltd. | 22,375 | 2,406,681 | ||
Samsung Electronics Co., Ltd. | 417,415 | 20,113,927 | ||
Samsung Fire & Marine Insurance Co., Ltd. | 16,736 | 3,518,501 | ||
SK Hynix, Inc. | 151,288 | 12,305,426 | ||
SK Telecom Co., Ltd. | 561 | 115,593 | ||
Woori Financial Group, Inc. | 12,882 | 128,975 | ||
61,182,788 | ||||
Taiwan — 11.9% | ||||
Advantech Co., Ltd. | 114,000 | 1,148,481 | ||
ASE Technology Holding Co., Ltd. | 33,000 | 91,590 | ||
Catcher Technology Co., Ltd. | 195,000 | 1,476,632 | ||
Chailease Holding Co., Ltd. | 176,572 | 812,854 | ||
China Airlines, Ltd. | 456,000 | 137,818 | ||
China Life Insurance Co., Ltd.* | 720,249 | 615,084 | ||
Chroma ATE, Inc. | 179,000 | 865,830 | ||
Chunghwa Telecom Co., Ltd. | 20,000 | 73,390 | ||
CTBC Financial Holding Co., Ltd. | 529,423 | 395,606 | ||
E.Sun Financial Holding Co., Ltd. | 2,195,000 | 2,042,916 | ||
Eva Airways Corporation | 365,504 | 167,651 | ||
First Financial Holding Co., Ltd. | 963,142 | 761,466 | ||
Fubon Financial Holding Co., Ltd. | 64,406 | 99,691 | ||
Hon Hai Precision Industry Co., Ltd. | 120,000 | 363,479 | ||
Inventec Corporation | 84,000 | 64,029 | ||
Kingpak Technology, Inc. | 43,069 | 255,739 | ||
Largan Precision Co., Ltd. | 34,500 | 5,754,412 |
Table of Contents
Shares | Value | |||
Lite-On Technology Corporation | 206,000 | $339,130 | ||
MediaTek, Inc. | 208,000 | 3,077,293 | ||
Nanya Technology Corporation | 515,000 | 1,432,799 | ||
Nien Made Enterprise Co., Ltd. | 64,000 | 591,387 | ||
Novatek Microelectronics Corporation | 73,000 | 533,309 | ||
Phison Electronics Corporation | 65,000 | 738,316 | ||
Pou Chen Corporation | 138,000 | 180,458 | ||
Powertech Technology, Inc. | 103,763 | 345,450 | ||
President Chain Store Corporation | 631,000 | 6,399,039 | ||
Silergy Corporation | 77,000 | 2,440,204 | ||
Taiwan Business Bank | 486,150 | 204,340 | ||
Taiwan Cooperative Financial Holding Co., Ltd. | 393,593 | 272,444 | ||
Taiwan Semiconductor Manufacturing Co., Ltd. | 1,549,000 | 17,103,746 | ||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 209,313 | 12,161,085 | ||
Taiwan Union Technology Corporation | 12,000 | 59,245 | ||
Uni-President Enterprises Corporation | 114,000 | 282,176 | ||
United Microelectronics Corporation | 2,162,000 | 1,186,406 | ||
Wistron Corporation | 591,000 | 558,924 | ||
Zhen Ding Technology Holding, Ltd. | 66,000 | 314,841 | ||
63,347,260 | ||||
Thailand — 2.1% | ||||
Advanced Info Service PCL NVDR | 226,300 | 1,606,921 | ||
Airports of Thailand PCL | 385,500 | 959,627 | ||
Bangkok Bank PCL NVDR | 215,970 | 1,152,391 | ||
Bangkok Dusit Medical Services PCL NVDR | 146,900 | 127,319 | ||
Bumrungrad Hospital PCL NVDR | 9,400 | 46,081 | ||
Central Pattana PCL NVDR | 24,400 | 50,571 | ||
CP ALL PCL | 424,400 | 1,027,618 | ||
Kasikornbank PCL NVDR | 560,100 | 2,819,629 | ||
Krung Thai Bank PCL NVDR | 1,762,100 | 964,218 | ||
PTT Exploration & Production PCL | 230,300 | 971,246 | ||
PTT Global Chemical PCL NVDR | 238,733 | 453,614 | ||
Ratch Group PCL NVDR | 206,400 | 473,760 | ||
Thai Union Group PCL NVDR | 279,900 | 125,919 | ||
TMB Bank PCL NVDR | 4,975,400 | 278,651 | ||
11,057,565 | ||||
Turkey — 0.4% | ||||
Arcelik AS* | 91,300 | 319,834 | ||
Enerjisa Enerji AS 144A | 696,696 | 865,454 | ||
Ford Otomotiv Sanayi AS | 3,951 | 47,055 | ||
Sok Marketler Ticaret AS* | 164,079 | 296,771 | ||
TAV Havalimanlari Holding AS | 58,380 | 286,355 | ||
Türkiye Is Bankasi AS Class C* | 42,265 | 45,540 | ||
1,861,009 | ||||
United Kingdom — 2.6% | ||||
Anglo American PLC | 57,021 | 1,641,268 | ||
Antofagasta PLC | 303,042 | 3,680,122 | ||
Ferrexpo PLC | 246,247 | 518,461 | ||
Network International Holdings PLC 144A* | 62,296 | 528,936 |
Shares | Value | |||
TCS Group Holding PLC GDR | 75,268 | $1,618,262 | ||
Unilever PLC | 97,415 | 5,613,708 | ||
13,600,757 | ||||
Total Foreign Common Stocks (Cost $428,772,914) | 476,345,567 | |||
FOREIGN PREFERRED STOCKS — 1.2% | ||||
Brazil — 1.2% | ||||
Azul SA | ||||
0.00%, * | 15,200 | 220,214 | ||
Azul SA ADR | ||||
0.00%, * | 22,797 | 975,712 | ||
Banco Bradesco SA | ||||
0.00%, 02/04/20 | 173,220 | 1,557,503 | ||
Banco Pan SA | ||||
0.00%, 02/17/20* | 21,170 | 55,784 | ||
Cia Brasileira de Distribuicao | ||||
0.00%, 06/28/19* | 12,700 | 276,719 | ||
Cia Energetica de Minas Gerais | ||||
3.28%, 12/26/19 | 240,900 | 825,816 | ||
Gerdau SA | ||||
0.78%, 11/12/19 | 316,000 | 1,571,084 | ||
Itausa - Investimentos Itau SA | ||||
0.57%, 03/02/20 | 246,909 | 864,829 | ||
6,347,661 | ||||
Colombia — 0.0% | ||||
Banco Davivienda SA | ||||
1.85%, 09/12/19 | 21,252 | 297,261 | ||
Total Foreign Preferred Stocks (Cost $5,509,929) | 6,644,922 | |||
MONEY MARKET FUNDS — 5.7% | ||||
GuideStone Money Market Fund, 1.53% (Institutional Class)Ø∞ | 14,969,072 | 14,969,072 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 1.57%ا | 880,827 | 880,827 | ||
Northern Institutional U.S. Government Portfolio (Shares), 1.48%Ø | 14,311,422 | 14,311,422 | ||
Total Money Market Funds (Cost $30,161,321) | 30,161,321 |
Par | |||
U.S. TREASURY OBLIGATION — 0.3% | |||
U.S. Treasury Bill | |||
1.52%, 05/07/20Ω‡‡ (Cost $1,591,387) | $1,600,000 | 1,591,495 | |
TOTAL INVESTMENTS —99.7% (Cost $480,693,709) | 531,097,191 | ||
Other Assets in Excess of Liabilities — 0.3% | 1,842,424 | ||
NET ASSETS — 100.0% | $532,939,615 |
Table of Contents
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
Hang Seng Index | 01/2020 | (6) | $(431,619) | $(5,018) | ||||
MSCI Singapore Index | 01/2020 | (167) | (4,612,848) | (2,560) | ||||
MSCI Taiwan Index | 01/2020 | 16 | 735,360 | (5,532) | ||||
SGX Nifty 50 Index | 01/2020 | (97) | (2,375,530) | 16,197 | ||||
FTSE Bursa Malaysia KLCI Index | 01/2020 | (15) | (292,446) | 4,149 | ||||
KOSPI 200 Index | 03/2020 | 9 | 574,344 | 4,972 | ||||
FTSE/JSE Top 40 Index | 03/2020 | (68) | (2,493,560) | 11,566 | ||||
MSCI Emerging Markets E-mini | 03/2020 | 370 | 20,723,700 | 496,769 | ||||
SET50 Index | 03/2020 | (430) | (3,063,169) | (3,288) | ||||
Mexican Bolsa Index | 03/2020 | 43 | 1,005,983 | (21,061) | ||||
Total Futures Contracts outstanding at December 31, 2019 | $9,770,215 | $496,194 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
03/18/20 | Mexican Pesos | 608,535,000 | U.S. Dollars | 30,982,922 | CITI | $829,436 | ||||||
03/18/20 | Russian Rubles | 668,317,000 | U.S. Dollars | 10,313,443 | CITI | 352,867 | ||||||
03/18/20 | South African Rand | 120,306,000 | U.S. Dollars | 8,201,356 | CITI | 300,004 | ||||||
03/18/20 | Colombian Pesos | 22,080,000,000 | U.S. Dollars | 6,436,345 | CITI | 255,000 | ||||||
03/18/20 | Indian Rupees | 1,011,430,000 | U.S. Dollars | 13,969,688 | CITI | 115,370 | ||||||
03/18/20 | Polish Zloty | 19,453,000 | U.S. Dollars | 5,013,774 | CITI | 114,660 | ||||||
03/18/20 | Chinese Offshore Yuan | 54,958,000 | U.S. Dollars | 7,804,900 | CITI | 75,817 | ||||||
03/18/20 | Brazilian Reals | 18,469,000 | U.S. Dollars | 4,501,000 | CITI | 75,226 | ||||||
03/18/20 | Chilean Pesos | 1,021,466,000 | U.S. Dollars | 1,301,499 | CITI | 58,154 | ||||||
03/18/20 | Philippine Pesos | 561,093,000 | U.S. Dollars | 10,988,886 | CITI | 50,392 | ||||||
03/18/20 | Hong Kong Dollars | 67,731,000 | U.S. Dollars | 8,647,593 | CITI | 39,123 | ||||||
03/18/20 | Indonesian Rupiahs | 19,414,865,788 | U.S. Dollars | 1,361,604 | CITI | 32,809 | ||||||
03/18/20 | Czech Republic Koruna | 44,300,000 | U.S. Dollars | 1,928,877 | CITI | 25,624 | ||||||
03/18/20 | South Korean Won | 1,477,526,000 | U.S. Dollars | 1,257,635 | CITI | 23,413 | ||||||
03/18/20 | Singapore Dollars | 2,350,000 | U.S. Dollars | 1,726,757 | CITI | 21,873 | ||||||
03/18/20 | Hungarian Forint | 442,000,000 | U.S. Dollars | 1,486,897 | CITI | 16,986 | ||||||
03/18/20 | Taiwan Dollars | 24,477,000 | U.S. Dollars | 809,421 | CITI | 13,788 | ||||||
03/18/20 | Euro | 513,000 | U.S. Dollars | 571,219 | CITI | 7,046 | ||||||
03/18/20 | Thai Baht | 19,200,000 | U.S. Dollars | 635,716 | CITI | 6,463 | ||||||
03/18/20 | Peruvian Nuevo Soles | 689,874 | U.S. Dollars | 203,021 | CITI | 4,646 | ||||||
03/18/20 | U.S. Dollars | 454,360 | Chilean Pesos | 340,000,000 | CITI | 1,793 | ||||||
03/18/20 | U.S. Dollars | 1,949,229 | Philippine Pesos | 99,000,000 | CITI | 1,445 | ||||||
03/18/20 | U.S. Dollars | 1,036,428 | Israeli Shekels | 3,559,375 | CITI | 1,298 | ||||||
03/18/20 | Saudi Riyals | 15,160,000 | U.S. Dollars | 4,041,373 | CITI | 754 | ||||||
03/18/20 | U.S. Dollars | 863,074 | Hong Kong Dollars | 6,726,000 | CITI | 443 | ||||||
03/18/20 | Israeli Shekels | 25,000 | U.S. Dollars | 7,228 | CITI | 43 | ||||||
03/18/20 | U.S. Dollars | 383 | Russian Rubles | 24,000 | CITI | — | ||||||
Subtotal Appreciation | $2,424,473 | |||||||||||
03/18/20 | Chilean Pesos | 259,000 | U.S. Dollars | 346 | CITI | $(1) | ||||||
03/18/20 | U.S. Dollars | 159,956 | Saudi Riyals | 600,000 | CITI | (22) | ||||||
03/18/20 | Saudi Riyals | 1,500,000 | U.S. Dollars | 399,976 | CITI | (30) | ||||||
03/18/20 | Hong Kong Dollars | 1,300,000 | U.S. Dollars | 166,777 | CITI | (49) | ||||||
03/18/20 | Indian Rupees | 10,885,000 | U.S. Dollars | 151,746 | CITI | (162) | ||||||
03/18/20 | U.S. Dollars | 89,390 | Euro | 80,000 | CITI | (787) |
Table of Contents
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
10/10/23 | U.S. Dollars | 1,196,266 | Chinese Offshore Yuan | 8,649,000 | SC | $(1,057) | ||||||
03/18/20 | Colombian Pesos | 1,400,000,000 | U.S. Dollars | 425,660 | CITI | (1,391) | ||||||
03/18/20 | U.S. Dollars | 65,042 | Indonesian Rupiahs | 928,075,000 | CITI | (1,615) | ||||||
03/18/20 | U.S. Dollars | 88,496 | Peruvian Nuevo Soles | 300,000 | CITI | (1,810) | ||||||
03/18/20 | U.S. Dollars | 274,911 | Polish Zloty | 1,058,000 | CITI | (4,013) | ||||||
03/18/20 | U.S. Dollars | 996,598 | Indian Rupees | 71,974,000 | CITI | (5,703) | ||||||
03/18/20 | U.S. Dollars | 588,128 | Taiwan Dollars | 17,769,000 | CITI | (9,476) | ||||||
03/18/20 | U.S. Dollars | 576,535 | Hungarian Forint | 173,344,000 | CITI | (13,257) | ||||||
03/18/20 | U.S. Dollars | 3,467,729 | Philippine Pesos | 176,958,000 | CITI | (13,848) | ||||||
03/18/20 | U.S. Dollars | 1,544,100 | Thai Baht | 46,615,000 | CITI | (15,021) | ||||||
03/18/20 | U.S. Dollars | 3,412,295 | Hong Kong Dollars | 26,726,000 | CITI | (15,398) | ||||||
03/18/20 | U.S. Dollars | 1,176,673 | South African Rand | 17,153,000 | CITI | (35,434) | ||||||
03/18/20 | U.S. Dollars | 3,248,380 | Czech Republic Koruna | 74,900,000 | CITI | (56,184) | ||||||
03/18/20 | U.S. Dollars | 11,266,789 | Israeli Shekels | 38,950,625 | CITI | (60,753) | ||||||
03/18/20 | U.S. Dollars | 5,994,014 | Mexican Pesos | 118,415,000 | CITI | (196,363) | ||||||
03/18/20 | U.S. Dollars | 17,248,132 | Chinese Offshore Yuan | 121,773,188 | CITI | (213,570) | ||||||
03/18/20 | U.S. Dollars | 24,656,089 | South Korean Won | 29,035,462,000 | CITI | (518,325) | ||||||
03/18/20 | U.S. Dollars | 16,616,503 | Brazilian Reals | 69,974,000 | CITI | (721,573) | ||||||
03/18/20 | U.S. Dollars | 19,030,510 | Chilean Pesos | 15,005,146,000 | CITI | (942,556) | ||||||
Subtotal Depreciation | $(2,828,398) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at December 31, 2019 | $(403,925) |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Total Return Swaps | ||||||||||||||||
Decreases in total return of HSCEI Index (At Termination) | Increases in total return of HSCEI Index (At Termination) | 1/30/2020 | GS | HKD | 96,414,600 | $143,482 | $— | $143,482 | ||||||||
Decreases in total return of HSCEI Index (At Termination) | Increases in total return of HSCEI Index (At Termination) | 1/30/2020 | CITI | HKD | 7,847,700 | 10,579 | — | 10,579 | ||||||||
Increases in total retun of SGX Nifty 50 Index (At Termination) | Decreases in total return of Increases in total retun of SGX Nifty 50 Index (At Termination) | 1/30/2020 | CITI | USD | 1,077,560 | 6,783 | — | 6,783 | ||||||||
Decreases in total return of Bovespa Index (At Termination) | Increases in total return of Bovespa Index (At Termination) | 2/12/2020 | CITI | BRL | 4,638,080 | 19,179 | — | 19,179 | ||||||||
Decreases in total return of BIST 30 Index (At Termination) | Increases in total return of BIST 30 Index (At Termination) | 2/28/2020 | CITI | TRY | 7,276,950 | 17,596 | — | 17,596 | ||||||||
Decreases in total return of KOSPI 200 Index (At Termination) | Increases in total return of KOSPI 200 Index (At Termination) | 3/12/2020 | GS | KRW | 10,405,800,000 | 593,629 | — | 593,629 | ||||||||
Decreases in total return of KOSPI 200 Index (At Termination) | Increases in total return of KOSPI 200 Index (At Termination) | 3/12/2020 | CITI | KRW | 2,952,000,000 | 166,546 | — | 166,546 | ||||||||
Financing Index: 1-Month ICE LIBOR USD + 0.20% | MSCI Emerging Markets Korea Net Total Return USD Index | 3/13/2020 | GS | USD | 460,651 | 40,883 | — | 40,883 | ||||||||
Financing Index: 1-Month HIBOR - 0.15% | MSCI China Net Return HKD Index | 3/18/2020 | GS | HKD | 11,983,081 | 93,002 | — | 93,002 |
Table of Contents
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Financing Index: 1-Month ICE LIBOR USD + 0.45% | MSCI Daily TR Net Israel Index | 3/18/2020 | GS | USD | 255,204 | $1,296 | $— | $1,296 | ||||||||
Financing Index: Brazil Cetip Di Interbank Deposit Rate - 0.30% | MSCI Brazil Net Return BRL Index | 3/18/2020 | GS | BRL | 1,558,778 | 5,760 | — | 5,760 | ||||||||
Increases in total retun of FTSE/JSE Shareholder Weighted Top 40 Index (At Termination) | Decreases in total return of FTSE/JSE Shareholder Weighted Top 40 Index (At Termination) | 3/19/2020 | GS | ZAR | 4,132,500 | 3,700 | — | 3,700 | ||||||||
Subtotal Appreciation | $1,102,435 | $ — | $1,102,435 | |||||||||||||
Decreases in total return of TAIEX Index (At Termination) | Increases in total return of TAIEX Index (At Termination) | 1/15/2020 | CITI | TWD | 43,178,400 | $(6,829) | $— | $(6,829) | ||||||||
Decreases in total return of Tel Aviv 35 Index (At Termination) | Increases in total return of Tel Aviv 35 Index (At Termination) | 1/31/2020 | GS | ILS | 2,861,593 | (2,931) | — | (2,931) | ||||||||
Financing Index: 28-Day Mexico Interbank TIIE + 0.15% | MSCI Mexico Net MXN Index | 3/18/2020 | GS | MXN | 1,284,323 | (2,305) | — | (2,305) | ||||||||
MSCI Emerging Markets Thailand Net Total Return USD Index | 1-Month ICE LIBOR USD + 0.20% | 3/18/2020 | GS | USD | 170,437 | (5,610) | — | (5,610) | ||||||||
MSCI Poland Net Return PLN Index | Financing Index: 1-Month WIBOR + 0.20% | 3/18/2020 | GS | PLN | 1,227,702 | (13,824) | — | (13,824) | ||||||||
MSCI Singapore Net Return SGD Index | Financing Index: 1-Month SIBOR | 3/18/2020 | GS | SGD | 3,726,264 | (61,766) | — | (61,766) | ||||||||
MSCI South Africa Net Return ZAR Index | Financing Index: 1-Month SAFE South Africa JIBAR - 0.15% | 3/18/2020 | GS | ZAR | 37,240,978 | (126,339) | — | (126,339) | ||||||||
Increases in total retun of WIG 20 Index (At Termination) | Decreases in total return of WIG 20 Index (At Termination) | 3/20/2020 | CITI | PLN | 2,114,840 | (4,825) | — | (4,825) | ||||||||
MSCI Emerging Markets Korea Net Total Return USD Index | Financing Index: 1-Month ICE LIBOR USD + 0.10% | 3/20/2020 | GS | USD | 199,772 | (17,730) | — | (17,730) | ||||||||
Subtotal Depreciation | $(242,159) | $ — | $(242,159) | |||||||||||||
Net Total Return Swaps outstanding at December 31, 2019 | $860,276 | $ — | $860,276 |
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $16,353,886 | $16,353,886 | $— | $— | |||
Foreign Common Stocks: | |||||||
Chile | 2,463,173 | 1,419,478 | 1,043,695 | — | |||
Czech Republic | 756,840 | — | 756,840 | — | |||
Hungary | 2,826,288 | — | 2,826,288 | — | |||
Indonesia | 8,242,438 | — | 8,242,438 | — | |||
Philippines | 3,758,115 | — | 3,758,115 | — | |||
Poland | 4,927,101 | — | 4,927,101 | — | |||
South Korea | 61,182,788 | — | 61,182,788 | — | |||
Thailand | 11,057,565 | — | 11,057,565 | — | |||
Other^^ | 381,131,259 | 381,131,259 | — | — | |||
Total Foreign Common Stocks | 476,345,567 | 382,550,737 | 93,794,830 | — | |||
Foreign Preferred Stocks | 6,644,922 | 6,644,922 | — | — | |||
Money Market Funds | 30,161,321 | 30,161,321 | — | — | |||
U.S. Treasury Obligation | 1,591,495 | — | 1,591,495 | — | |||
Total Assets - Investments in Securities | $531,097,191 | $435,710,866 | $95,386,325 | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $2,424,473 | $— | $2,424,473 | $— | |||
Futures Contracts | 533,653 | 533,653 | — | — | |||
Swap Agreements | 1,102,435 | — | 1,102,435 | — | |||
Total Assets - Other Financial Instruments | $4,060,561 | $533,653 | $3,526,908 | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $(2,828,398) | $— | $(2,828,398) | $— | |||
Futures Contracts | (37,459) | (37,459) | — | — | |||
Swap Agreements | (242,159) | — | (242,159) | — | |||
Total Liabilities - Other Financial Instruments | $(3,108,016) | $(37,459) | $(3,070,557) | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
*** | Other financial instruments are derivative instruments, such as futures contracts, forwards contracts and swap agreements, 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", "Forwards Foreign Currency Contracts outstanding" and "Swap Agreements outstanding" disclosures. |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES | December 31, 2019 |
Defensive Market Strategies® Fund | Equity Index Fund | ||
Assets | |||
Investments in securities of unaffiliated issuers, at value | $1,207,577,799 | $2,086,886,032 | |
Investments in securities of affiliated issuers, at value | 68,295,332 | 53,884,078 | |
Total investments, at value(1), (2) | 1,275,873,131 | 2,140,770,110 | |
Cash | — | — | |
Cash collateral for derivatives | — | — | |
Deposits with broker for futures contracts | — | 884,200 | |
Foreign currency(3) | 1 | — | |
Receivables: | |||
Dividends and reclaims | 1,122,597 | 1,862,503 | |
Interest | 1,698,904 | — | |
Securities lending | 10,151 | 6,236 | |
From advisor | — | — | |
Investment securities sold | 658,299 | — | |
Fund shares sold | 1,822,382 | 1,685,105 | |
Variation margin on futures contracts | — | 127,820 | |
Unrealized appreciation on foreign currency exchange contracts | 3,161 | — | |
Unrealized appreciation on swap agreements | — | — | |
Prepaid expenses and other assets | 6,598 | 11,737 | |
Total Assets | 1,281,195,224 | 2,145,347,711 | |
Liabilities | |||
Cash Overdraft | — | 3,364 | |
Securities sold short, at value(4) | — | — | |
Options written, at value(5) | 791,539 | — | |
Unrealized depreciation on foreign currency exchange contracts | 192,657 | — | |
Unrealized depreciation on swap agreements | — | — | |
Collateral held for securities on loan, at value | 15,051,560 | 3,543,423 | |
Collateral from counterparty | — | — | |
Payables: | |||
Investment securities purchased | 1,503,402 | — | |
Dividends on short sales | — | — | |
Fund shares redeemed | 175,188 | 5,661,099 | |
Variation margin on futures contracts | 59,675 | — | |
Foreign capital gains taxes | — | — | |
Accrued expenses: | |||
Investment advisory fees | 647,876 | 155,656 | |
Shareholder servicing fees | 96,393 | 133,667 | |
Trustee fees | 1,097 | 1,652 | |
Other expenses | 154,965 | 194,922 | |
Total Liabilities | 18,674,352 | 9,693,783 | |
Net Assets | $1,262,520,872 | $2,135,653,928 | |
Net Assets Consist of: | |||
Paid-in-capital | $1,085,560,645 | $1,488,691,523 | |
Distributable earnings (loss) | 176,960,227 | 646,962,405 | |
Net Assets | $1,262,520,872 | $2,135,653,928 | |
Net Asset Value: | |||
$0.001 par value, unlimited shares authorized | |||
Net assets applicable to the Institutional Class | $803,696,158 | $1,501,075,914 | |
Institutional shares outstanding | 60,578,854 | 42,346,761 | |
Net asset value, offering and redemption price per Institutional share | $13.27 | $35.45 | |
Net assets applicable to the Investor Class | $458,824,714 | $634,578,014 | |
Investor shares outstanding | 34,575,538 | 17,890,127 | |
Net asset value, offering and redemption price per Investor share | $13.27 | $35.47 | |
(1)Investments in securities of unaffiliated issuers, at cost | $1,033,610,818 | $1,441,168,585 | |
Investments in securities of affiliated issuers, at cost | 68,295,332 | 53,884,078 | |
Total investments, at cost | $1,101,906,150 | $1,495,052,663 | |
(2)Includes securities loaned of: | $28,866,008 | $62,105,161 | |
(3)Foreign currency, at cost | $1 | $— | |
(4)Proceeds from securities sold short | $— | $— | |
(5)Premiums received on options written | $1,015,797 | $— | |
(6)Net of $(584,051) and $(108,973) accrued foreign capital gains taxed on appreciated securities for International Equity Fund and Emerging Markets Equity Fund. |
Table of Contents
Value Equity Fund | Growth Equity Fund | Small Cap Equity Fund | International Equity Index Fund | International Equity Fund | Emerging Markets Equity Fund | |||||
$1,186,311,201 | $1,661,670,564 | $594,306,971 | $677,534,663 | $1,313,973,050 | $516,128,119 | |||||
28,844,651 | 52,530,177 | 14,895,149 | 30,770,243 | 56,057,536 | 14,969,072 | |||||
1,215,155,852 | 1,714,200,741 | 609,202,120 | 708,304,906 | 1,370,030,586 | 531,097,191 | |||||
— | 5,530 | 3,458 | 3,457 | 24,465 | — | |||||
— | — | — | — | 932,550 | 879,964 | |||||
24,578 | — | — | 553,500 | 6,459,348 | 892,186 | |||||
— | — | — | 2,173,608 | 5,903,301 | 1,228,405 | |||||
1,577,675 | 667,883 | 591,581 | 1,814,860 | 6,204,409 | 1,245,437 | |||||
— | — | — | — | — | 268,033 | |||||
4,914 | 30,323 | 29,577 | 5,301 | 22,168 | 1,090 | |||||
— | — | — | 23,480 | — | — | |||||
43,897 | 2,835,226 | 269,110 | — | 506,920 | 293,225 | |||||
308,509 | 353,959 | 352,339 | 2,659,854 | 186,853 | 106,302 | |||||
42,620 | 78,540 | 8,690 | 193,454 | 262,039 | 166,720 | |||||
16,955 | — | — | — | 2,768,294 | 2,424,473 | |||||
— | — | — | — | 172,706 | 1,102,435 | |||||
8,619 | 13,044 | 9,115 | 233 | 6,866 | 14,293 | |||||
1,217,183,619 | 1,718,185,246 | 610,465,990 | 715,732,653 | 1,393,480,505 | 539,719,754 | |||||
— | — | — | — | — | — | |||||
— | — | — | — | 69,452,408 | — | |||||
— | — | — | — | — | — | |||||
506,087 | — | — | — | 2,776,678 | 2,828,398 | |||||
— | — | — | — | 380,438 | 242,159 | |||||
993,789 | 13,382,687 | 13,044,167 | 1,670,877 | 4,448,350 | 880,827 | |||||
— | — | — | — | — | 1,085,511 | |||||
— | 5,355,095 | 378,290 | — | 334,475 | 418,426 | |||||
— | — | — | — | 23,851 | — | |||||
11,200 | 69,013 | 2,183 | 3,905 | 86,077 | 714,771 | |||||
— | — | — | — | — | — | |||||
— | — | — | — | 584,051 | 108,973 | |||||
589,600 | 936,920 | 461,726 | 66,765 | 846,113 | 381,991 | |||||
79,723 | 158,082 | 54,463 | — | 73,157 | 15,030 | |||||
965 | 492 | 865 | 1,759 | 854 | 308 | |||||
106,641 | 133,405 | 66,491 | 125,388 | 304,315 | 103,745 | |||||
2,288,005 | 20,035,694 | 14,008,185 | 1,868,694 | 79,310,767 | 6,780,139 | |||||
$1,214,895,614 | $1,698,149,552 | $596,457,805 | $713,863,959 | $1,314,169,738 | $532,939,615 | |||||
$1,056,889,383 | $1,112,933,955 | $556,982,396 | $675,244,371 | $1,233,423,875 | $497,481,032 | |||||
158,006,231 | 585,215,597 | 39,475,409 | 38,619,588 | 80,745,863(6) | 35,458,583(6) | |||||
$1,214,895,614 | $1,698,149,552 | $596,457,805 | $713,863,959 | $1,314,169,738 | $532,939,615 | |||||
$831,854,154 | $934,296,682 | $338,439,679 | $713,863,959 | $963,045,551 | $457,074,071 | |||||
43,728,345 | 35,621,080 | 21,529,888 | 65,651,114 | 69,875,565 | 44,866,209 | |||||
$19.02 | $26.23 | $15.72 | $10.87 | $13.78 | $10.19 | |||||
$383,041,460 | $763,852,870 | $258,018,126 | N/A | $351,124,187 | $75,865,544 | |||||
20,118,659 | 29,356,253 | 16,479,502 | N/A | 25,423,263 | 7,440,731 | |||||
$19.04 | $26.02 | $15.66 | N/A | $13.81 | $10.20 | |||||
$1,021,284,844 | $1,097,980,123 | $557,777,631 | $634,212,649 | $1,204,786,329 | $465,724,637 | |||||
28,844,651 | 52,530,177 | 14,895,149 | 30,770,243 | 56,057,536 | 14,969,072 | |||||
$1,050,129,495 | $1,150,510,300 | $572,672,780 | $664,982,892 | $1,260,843,865 | $480,693,709 | |||||
$18,773,934 | $123,220,330 | $65,077,582 | $14,802,477 | $15,991,103 | $6,851,796 | |||||
$— | $— | $— | $2,141,346 | $5,890,287 | $1,226,525 | |||||
$— | $— | $— | $— | $62,601,068 | $— | |||||
$— | $— | $— | $— | $— | $— | |||||
Table of Contents
STATEMENTS OF OPERATIONS | For the Year Ended December 31, 2019 |
Defensive Market Strategies® Fund | Equity Index Fund | ||
Investment Income | |||
Dividends | $13,406,719 | $35,518,057 | |
Non Cash Dividends | — | — | |
Income distributions received from affiliated funds | 1,424,033 | 1,161,514 | |
Interest | 7,559,480 | 62,213 | |
Securities lending, net | 237,687 | 209,753 | |
Less foreign taxes withheld | (82,898) | (11,976) | |
Total Investment Income | 22,545,021 | 36,939,561 | |
Expenses | |||
Investment advisory fees | 7,046,944 | 1,657,604 | |
Transfer agent fees: | |||
Institutional shares | 4,664 | 4,938 | |
Investor shares | 26,530 | 33,779 | |
Custodian fees | 80,157 | 56,036 | |
Shareholder servicing fees: | |||
Investor shares | 1,023,167 | 1,446,556 | |
Accounting and administration fees | 238,804 | 391,534 | |
Professional fees | 178,891 | 103,657 | |
Shareholder reporting fees: | |||
Institutional shares | 1,245 | 1,966 | |
Investor shares | 10,082 | 13,324 | |
Trustees expenses | 5,829 | 10,190 | |
Line of credit facility fees | 4,298 | 9,392 | |
S&P license fees | — | 215,760 | |
Dividends on securities sold short | — | — | |
Other expenses | 155,284 | 96,151 | |
Recoupment of prior expenses reduced by the Advisor | — | — | |
Total Expenses | 8,775,895 | 4,040,887 | |
Expenses waived/reimbursed(1) | — | — | |
Fees paid indirectly | — | — | |
Net Expenses | 8,775,895 | 4,040,887 | |
Net Investment Income | 13,769,126 | 32,898,674 | |
Realized and Unrealized Gain (Loss) | |||
Net realized gain (loss) from: | |||
Investment securities (net of capital gains taxes of $(50,042) and $(64,175) for International Equity Fund and Emerging Markets Equity Fund, respectively) | 45,163,075 | 3,792,113 | |
Investment securities sold short | — | — | |
Futures transactions | (2,176,112) | 13,099,932 | |
Swap agreements | — | — | |
Option contracts written | 10,300,735 | — | |
Forward foreign currency contracts | 1,027,704 | — | |
Foreign currency | (218,444) | — | |
Net realized gain | 54,096,958 | 16,892,045 | |
Net change in unrealized appreciation (depreciation) on: | |||
Investment securities (net of estimated capital gains taxes of $(584,051) and $(108,973) for International Equity Fund and Emerging Markets Equity Fund, respectively) | 133,764,731 | 456,515,562 | |
Investment securities sold short | — | — | |
Futures | (466,502) | 2,157,945 | |
Swap agreements | — | — | |
Option contracts written | 353,272 | — | |
Forward foreign currency contracts | (50,254) | — | |
Foreign currency | 2,526 | — | |
Net change in unrealized appreciation (depreciation) | 133,603,773 | 458,673,507 | |
Net Realized and Unrealized Gain | 187,700,731 | 475,565,552 | |
Net Increase in Net Assets Resulting from Operations | $201,469,857 | $508,464,226 |
(1) | See Note 3c in Notes to Financial Statements. |
Table of Contents
Value Equity Fund | Growth Equity Fund | Small Cap Equity Fund | International Equity Index Fund | International Equity Fund | Emerging Markets Equity Fund | |||||
$27,614,082 | $11,870,328 | $5,964,766 | $21,051,778 | $40,460,623 | $12,352,266 | |||||
— | — | — | — | 2,209,525 | 3,279,916 | |||||
647,621 | 1,168,912 | 470,781 | 607,375 | 1,228,959 | 421,068 | |||||
38,155 | 63,966 | 27,551 | 29,043 | 67,442 | 129,307 | |||||
103,953 | 329,049 | 299,815 | 206,882 | 342,270 | 61,678 | |||||
(370,291) | (241,695) | (4,969) | (1,151,129) | (3,092,958) | (1,451,704) | |||||
28,033,520 | 13,190,560 | 6,757,944 | 20,743,949 | 41,215,861 | 14,792,531 | |||||
6,660,047 | 10,607,857 | 5,257,536 | 717,348 | 9,296,336 | 4,147,644 | |||||
4,395 | 4,487 | 4,626 | 3,800 | 4,638 | 4,441 | |||||
21,874 | 32,761 | 22,584 | — | 21,670 | 14,792 | |||||
89,706 | 51,655 | 128,154 | 202,527 | 698,295 | 1,043,172 | |||||
912,414 | 1,801,288 | 646,802 | — | 804,317 | 168,455 | |||||
238,731 | 328,899 | 117,203 | 131,760 | 252,507 | 98,907 | |||||
102,326 | 91,264 | 89,947 | 90,728 | 101,154 | 113,003 | |||||
851 | 784 | 957 | 2,858 | 1,719 | 911 | |||||
14,717 | 12,755 | 9,459 | — | 13,903 | 3,458 | |||||
5,565 | 9,138 | 7,758 | — | 5,712 | 2,751 | |||||
2,011 | 4,679 | 7,096 | — | 1,680 | 2,415 | |||||
— | — | — | — | — | — | |||||
— | — | — | — | 2,275,917 | — | |||||
100,309 | 124,672 | 63,855 | 327,461 | 423,507 | 125,555 | |||||
— | — | — | — | — | 217,789 | |||||
8,152,946 | 13,070,239 | 6,355,977 | 1,476,482 | 13,901,355 | 5,943,293 | |||||
— | — | — | (79,832) | — | — | |||||
(15,665) | (20,700) | (45,109) | — | — | (924) | |||||
8,137,281 | 13,049,539 | 6,310,868 | 1,396,650 | 13,901,355 | 5,942,369 | |||||
19,896,239 | 141,021 | 447,076 | 19,347,299 | 27,314,506 | 8,850,162 | |||||
122,044,539 | 153,564,448 | 24,720,392 | (3,611,939) | 33,909,154 | (8,968,173) | |||||
— | — | — | — | 1,873,513 | — | |||||
6,033,037 | 9,771,247 | 1,911,826 | 4,891,251 | 7,228,295 | 3,744,545 | |||||
— | — | — | — | (1,821,444) | 1,594,906 | |||||
— | — | — | — | — | — | |||||
1,047,284 | — | — | — | (938,281) | 6,002,574 | |||||
(428,777) | — | — | 37,468 | 50,409 | (382,082) | |||||
128,696,083 | 163,335,695 | 26,632,218 | 1,316,780 | 40,301,646 | 1,991,770 | |||||
122,914,236 | 295,835,839 | 94,928,729 | 99,593,441 | 194,942,349 | 75,877,916 | |||||
— | — | — | — | (14,019,976) | — | |||||
1,255,987 | 2,661,905 | 567,676 | 558,622 | 1,896,059 | 1,189,618 | |||||
— | — | — | — | 47,742 | 1,009,819 | |||||
— | — | — | — | — | — | |||||
(489,132) | — | — | — | 3,016,141 | (921,965) | |||||
— | — | — | 31,748 | 37,206 | (1,603) | |||||
123,681,091 | 298,497,744 | 95,496,405 | 100,183,811 | 185,919,521 | 77,153,785 | |||||
252,377,174 | 461,833,439 | 122,128,623 | 101,500,591 | 226,221,167 | 79,145,555 | |||||
$272,273,413 | $461,974,460 | $122,575,699 | $120,847,890 | $253,535,673 | $87,995,717 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS |
Defensive Market Strategies® Fund | |||
For the Year Ended | |||
12/31/19 | 12/31/18 | ||
Operations: | |||
Net investment income | $13,769,126 | $11,172,250 | |
Net realized gain on investment securities, foreign currency and derivatives | 54,096,958 | 46,184,984 | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | 133,603,773 | (75,833,346) | |
Net increase (decrease) in net assets resulting from operations | 201,469,857 | (18,476,112) | |
Distributions to Shareholders: | |||
Institutional shares | (44,168,777) | (41,477,892) | |
Investor shares | (24,120,475) | (21,575,912) | |
Total distributions | (68,289,252) | (63,053,804) | |
Capital Share Transactions: | |||
Proceeds from shares sold | |||
Institutional shares | 76,644,154 | 109,896,688 | |
Investor shares | 133,164,309 | 93,697,336 | |
Reinvestment of dividends and distributions | |||
Institutional shares | 44,116,263 | 41,301,785 | |
Investor shares | 23,830,888 | 21,410,733 | |
Total proceeds from shares sold and reinvested | 277,755,614 | 266,306,542 | |
Value of shares redeemed | |||
Institutional shares | (56,912,886) | (47,118,657) | |
Investor shares | (103,760,712) | (87,943,221) | |
Total value of shares redeemed | (160,673,598) | (135,061,878) | |
Net increase (decrease) from capital share transactions(1) | 117,082,016 | 131,244,664 | |
Total increase (decrease) in net assets | 250,262,621 | 49,714,748 | |
Net Assets: | |||
Beginning of Year | 1,012,258,251 | 962,543,503 | |
End of Year | $1,262,520,872 | $1,012,258,251 |
(1) | See Note 6 in Notes to Financial Statements. |
Table of Contents
Equity Index Fund | Value Equity Fund | Growth Equity Fund | ||||||||
For the Year Ended | For the Year Ended | For the Year Ended | ||||||||
12/31/19 | 12/31/18 | 12/31/19 | 12/31/18 | 12/31/19 | 12/31/18 | |||||
$32,898,674 | $20,634,348 | $19,896,239 | $23,791,378 | $141,021 | $1,596,489 | |||||
16,892,045 | 7,660,660 | 128,696,083 | 158,026,172 | 163,335,695 | 253,211,115 | |||||
458,673,507 | (165,447,916) | 123,681,091 | (292,630,683) | 298,497,744 | (180,215,472) | |||||
508,464,226 | (137,152,908) | 272,273,413 | (110,813,133) | 461,974,460 | 74,592,132 | |||||
(32,906,901) | (17,859,884) | (91,183,177) | (131,704,586) | (86,626,597) | (123,354,704) | |||||
(12,882,091) | (9,476,926) | (40,942,447) | (60,559,704) | (70,501,782) | (103,435,086) | |||||
(45,788,992) | (27,336,810) | (132,125,624) | (192,264,290) | (157,128,379) | (226,789,790) | |||||
171,099,288 | 838,342,777 | 34,148,825 | 50,727,891 | 68,743,901 | 66,628,943 | |||||
90,260,475 | 81,414,824 | 29,718,622 | 29,434,018 | 70,435,756 | 109,117,426 | |||||
32,447,882 | 17,801,303 | 91,139,115 | 131,533,865 | 86,582,221 | 123,205,758 | |||||
12,851,729 | 9,464,086 | 40,832,597 | 60,490,792 | 70,461,720 | 103,357,365 | |||||
306,659,374 | 947,022,990 | 195,839,159 | 272,186,566 | 296,223,598 | 402,309,492 | |||||
(132,040,161) | (102,133,596) | (91,784,085) | (407,490,599) | (155,258,516) | (525,109,319) | |||||
(100,097,652) | (59,989,419) | (68,010,299) | (48,591,948) | (135,778,291) | (72,422,871) | |||||
(232,137,813) | (162,123,015) | (159,794,384) | (456,082,547) | (291,036,807) | (597,532,190) | |||||
74,521,561 | 784,899,975 | 36,044,775 | (183,895,981) | 5,186,791 | (195,222,698) | |||||
537,196,795 | 620,410,257 | 176,192,564 | (486,973,404) | 310,032,872 | (347,420,356) | |||||
1,598,457,133 | 978,046,876 | 1,038,703,050 | 1,525,676,454 | 1,388,116,680 | 1,735,537,036 | |||||
$2,135,653,928 | $1,598,457,133 | $1,214,895,614 | $1,038,703,050 | $1,698,149,552 | $1,388,116,680 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS |
Small Cap Equity Fund | |||
For the Year Ended | |||
12/31/19 | 12/31/18 | ||
Operations: | |||
Net investment income | $447,076 | $412,150 | |
Net realized gain (loss) on investment securities, foreign currency and derivatives | 26,632,218 | 84,996,200 | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | 95,496,405 | (152,257,719) | |
Net increase (decrease) in net assets resulting from operations | 122,575,699 | (66,849,369) | |
Distributions to Shareholders: | |||
Institutional shares | (12,633,420) | (50,319,903) | |
Investor shares | (9,433,184) | (47,116,445) | |
Total distributions | (22,066,604) | (97,436,348) | |
Capital Share Transactions: | |||
Proceeds from shares sold | |||
Institutional shares | 42,279,164 | 32,659,834 | |
Investor shares | 27,788,978 | 43,700,940 | |
Reinvestment of dividends and distributions | |||
Institutional shares | 12,609,876 | 50,169,090 | |
Investor shares | 9,422,258 | 47,072,948 | |
Total proceeds from shares sold and reinvested | 92,100,276 | 173,602,812 | |
Value of shares redeemed | |||
Institutional shares | (26,618,910) | (37,720,650) | |
Investor shares | (57,230,474) | (39,794,698) | |
Total value of shares redeemed | (83,849,384) | (77,515,348) | |
Net increase (decrease) from capital share transactions(1) | 8,250,892 | 96,087,464 | |
Total increase (decrease) in net assets | 108,759,987 | (68,198,253) | |
Net Assets: | |||
Beginning of Year | 487,697,818 | 555,896,071 | |
End of Year | $596,457,805 | $487,697,818 |
(1) | See Note 6 in Notes to Financial Statements. |
Table of Contents
International Equity Index Fund | International Equity Fund | Emerging Markets Equity Fund | ||||||||
For the Year Ended | For the Year Ended | For the Year Ended | ||||||||
12/31/19 | 12/31/18 | 12/31/19 | 12/31/18 | 12/31/19 | 12/31/18 | |||||
$19,347,299 | $7,905,629 | $27,314,506 | $30,003,060 | $8,850,162 | $5,708,889 | |||||
1,316,780 | (3,445,905) | 40,301,646 | 84,387,658 | 1,991,770 | (11,644,743) | |||||
100,183,811 | (74,920,710) | 185,919,521 | (314,160,718) | 77,153,785 | (97,245,669) | |||||
120,847,890 | (70,460,986) | 253,535,673 | (199,770,000) | 87,995,717 | (103,181,523) | |||||
(20,799,847) | (7,738,165) | (47,643,999) | (100,665,310) | (11,628,885) | (2,466,292) | |||||
— | — | (16,556,051) | (35,179,908) | (1,621,711) | (189,742) | |||||
(20,799,847) | (7,738,165) | (64,200,050) | (135,845,218) | (13,250,596) | (2,656,034) | |||||
76,342,779 | 437,966,963 | 60,770,646 | 112,243,308 | 42,650,660 | 72,827,933 | |||||
— | — | 49,956,440 | 33,374,437 | 20,347,806 | 42,361,289 | |||||
20,640,274 | 7,736,564 | 47,413,821 | 100,254,048 | 11,623,106 | 2,464,528 | |||||
— | — | 16,496,111 | 35,077,508 | 1,620,358 | 189,500 | |||||
96,983,053 | 445,703,527 | 174,637,018 | 280,949,301 | 76,241,930 | 117,843,250 | |||||
(28,593,664) | (10,199,496) | (80,087,916) | (446,987,290) | (21,076,236) | (31,715,518) | |||||
— | — | (50,451,367) | (42,245,013) | (22,140,113) | (54,108,446) | |||||
(28,593,664) | (10,199,496) | (130,539,283) | (489,232,303) | (43,216,349) | (85,823,964) | |||||
68,389,389 | 435,504,031 | 44,097,735 | (208,283,002) | 33,025,581 | 32,019,286 | |||||
168,437,432 | 357,304,880 | 233,433,358 | (543,898,220) | 107,770,702 | (73,818,271) | |||||
545,426,527 | 188,121,647 | 1,080,736,380 | 1,624,634,600 | 425,168,913 | 498,987,184 | |||||
$713,863,959 | $545,426,527 | $1,314,169,738 | $1,080,736,380 | $532,939,615 | $425,168,913 |
Table of Contents
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 | Total Income From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions Paid | 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 | ||||||||||||||
2019 | $11.73 | $0.17 | $2.13 | $2.30 | $(0.17) | $(0.59) | $(0.76) | $13.27 | 19.78% | $803,696 | 0.67% | 0.67% | 1.29% | 55% |
2018 | 12.68 | 0.15 | (0.32) | (0.17) | (0.17) | (0.61) | (0.78) | 11.73 | (1.51) | 653,481 | 0.67 | 0.67 | 1.17 | 65 |
2017 | 11.90 | 0.09 | 1.42 | 1.51 | (0.08) | (0.65) | (0.73) | 12.68 | 12.74 | 602,011 | 0.67(1) | 0.68 | 0.70 | 60 |
2016 | 11.21 | 0.17 | 1.15(2) | 1.32 | (0.16) | (0.47) | (0.63) | 11.90 | 11.80 | 547,132 | 0.69 | 0.70 | 1.42 | 78 |
2015 | 11.61 | 0.17 | 0.11(2) | 0.28 | (0.17) | (0.51) | (0.68) | 11.21 | 2.43 | 443,499 | 0.72(1) | 0.73 | 1.46 | 55 |
Investor Class | ||||||||||||||
2019 | $11.74 | $0.13 | $2.13 | $2.26 | $(0.14) | $(0.59) | $(0.73) | $13.27 | 19.38% | $458,825 | 0.93% | 0.93% | 1.02% | 55% |
2018 | 12.68 | 0.12 | (0.32) | (0.20) | (0.13) | (0.61) | (0.74) | 11.74 | (1.69) | 358,777 | 0.93 | 0.93 | 0.90 | 65 |
2017 | 11.91 | 0.05 | 1.41 | 1.46 | (0.04) | (0.65) | (0.69) | 12.68 | 12.35 | 360,533 | 0.95(1) | 0.96 | 0.43 | 60 |
2016 | 11.22 | 0.14 | 1.15(2) | 1.29 | (0.13) | (0.47) | (0.60) | 11.91 | 11.53 | 276,104 | 0.97 | 0.98 | 1.15 | 78 |
2015 | 11.60 | 0.13 | 0.12(2) | 0.25 | (0.12) | (0.51) | (0.63) | 11.22 | 2.16 | 167,117 | 0.99(1) | 1.00 | 1.12 | 55 |
Equity Index Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2019 | $27.56 | $0.59 | $8.11 | $8.70 | $(0.58) | $(0.23) | $(0.81) | $35.45 | 31.68% | $1,501,076 | 0.13% | 0.13% | 1.82% | 2% |
2018 | 29.43 | 0.55 | (1.79) | (1.24) | (0.48) | (0.15) | (0.63) | 27.56 | (4.29) | 1,107,944 | 0.12 | 0.13 | 1.81 | 3 |
2017 | 24.68 | 0.47 | 4.92 | 5.39 | (0.46) | (0.18) | (0.64) | 29.43 | 21.97 | 483,275 | 0.19 | 0.20 | 1.72 | 2 |
2016 | 22.81 | 0.46 | 2.27(2) | 2.73 | (0.56) | (0.30) | (0.86) | 24.68 | 12.16 | 355,404 | 0.15 | 0.16 | 1.97 | 3 |
2015 | 23.99 | 0.48 | (0.26)(2) | 0.22 | (0.61) | (0.79) | (1.40) | 22.81 | 0.92 | 276,599 | 0.17 | 0.18 | 1.94 | 6 |
Investor Class | ||||||||||||||
2019 | $27.58 | $0.50 | $8.11 | $8.61 | $(0.49) | $(0.23) | $(0.72) | $35.47 | 31.33% | $634,578 | 0.39% | 0.39% | 1.56% | 2% |
2018 | 29.44 | 0.47 | (1.78) | (1.31) | (0.40) | (0.15) | (0.55) | 27.58 | (4.55) | 490,513 | 0.37 | 0.38 | 1.56 | 3 |
2017 | 24.70 | 0.40 | 4.91 | 5.31 | (0.39) | (0.18) | (0.57) | 29.44 | 21.65 | 494,771 | 0.45 | 0.46 | 1.46 | 2 |
2016 | 22.58 | 0.39 | 2.27(2) | 2.66 | (0.29) | (0.25) | (0.54) | 24.70 | 11.84 | 386,796 | 0.42 | 0.42 | 1.70 | 3 |
2015 | 22.90 | 0.37 | (0.21)(2) | 0.16 | (0.18) | (0.30) | (0.48) | 22.58 | 0.70 | 332,005 | 0.41 | 0.44 | 1.62 | 6 |
# | 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% and 0.00% for the years 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. |
Table of Contents
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 | Total Income From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions Paid | Net Asset Value, End of Year | Total Return | Net Assets, End of Year (000) | Expenses, Net | Expenses, Gross | Investment Income/ (Loss), Net | Portfolio Turnover Rate | |
Value Equity Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2019 | $16.79 | $0.35 | $4.16 | $4.51 | $(0.34) | $(1.94) | $(2.28) | $19.02 | 27.14% | $831,854 | 0.62%(1) | 0.62% | 1.81% | 92% |
2018 | 22.76 | 0.39 | (2.75) | (2.36) | (0.40) | (3.21) | (3.61) | 16.79 | (10.97) | 703,135 | 0.56(1) | 0.57 | 1.75 | 38 |
2017 | 21.18 | 0.39 | 2.85 | 3.24 | (0.37) | (1.29) | (1.66) | 22.76 | 15.54 | 1,128,445 | 0.57(1) | 0.58 | 1.78 | 38 |
2016 | 19.75 | 0.41 | 2.30(2) | 2.71 | (0.46) | (0.82) | (1.28) | 21.18 | 14.11 | 920,433 | 0.59(1) | 0.60 | 2.05 | 36 |
2015 | 23.56 | 0.39 | (1.20)(2) | (0.81) | (0.44) | (2.56) | (3.00) | 19.75 | (3.44) | 917,208 | 0.61(1) | 0.62 | 1.73 | 32 |
Investor Class | ||||||||||||||
2019 | $16.81 | $0.30 | $4.16 | $4.46 | $(0.29) | $(1.94) | $(2.23) | $19.04 | 26.80% | $383,041 | 0.89%(1) | 0.89% | 1.55% | 92% |
2018 | 22.78 | 0.34 | (2.75) | (2.41) | (0.35) | (3.21) | (3.56) | 16.81 | (11.19) | 335,568 | 0.83(1) | 0.84 | 1.50 | 38 |
2017 | 21.20 | 0.34 | 2.85 | 3.19 | (0.32) | (1.29) | (1.61) | 22.78 | 15.25 | 397,231 | 0.83(1) | 0.84 | 1.52 | 38 |
2016 | 19.46 | 0.35 | 2.33(2) | 2.68 | (0.26) | (0.68) | (0.94) | 21.20 | 13.84 | 370,589 | 0.86(1) | 0.87 | 1.78 | 36 |
2015 | 21.31 | 0.27 | (1.06)(2) | (0.79) | (0.08) | (0.98) | (1.06) | 19.46 | (3.70) | 324,440 | 0.89(1) | 0.89 | 1.26 | 32 |
Growth Equity Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2019 | $21.47 | $0.03 | $7.36 | $7.39 | $(0.03) | $(2.60) | $(2.63) | $26.23 | 34.79% | $934,297 | 0.71%(3) | 0.71% | 0.13% | 21% |
2018 | 25.18 | 0.05 | 0.41 | 0.46 | (0.01) | (4.16) | (4.17) | 21.47 | 1.22 | 765,738 | 0.70(3) | 0.71 | 0.18 | 19 |
2017 | 21.08 | 0.03 | 6.80 | 6.83 | (0.02) | (2.71) | (2.73) | 25.18 | 32.43 | 1,150,773 | 0.72(3) | 0.73 | 0.12 | 41 |
2016 | 22.25 | —† | (0.22)(2) | (0.22) | — | (0.95) | (0.95) | 21.08 | (0.98) | 890,530 | 0.75(3) | 0.76 | 0.01 | 24 |
2015 | 25.80 | 0.02 | 1.38(2) | 1.40 | — | (4.95) | (4.95) | 22.25 | 5.67 | 932,232 | 0.77(3) | 0.78 | 0.09 | 79 |
Investor Class | ||||||||||||||
2019 | $21.35 | $(0.03) | $7.30 | $7.27 | $— | $(2.60) | $(2.60) | $26.02 | 34.42% | $763,853 | 0.96%(3) | 0.96% | (0.13)% | 21% |
2018 | 25.11 | (0.02) | 0.42 | 0.40 | — | (4.16) | (4.16) | 21.35 | 0.99 | 622,379 | 0.96(3) | 0.97 | (0.06) | 19 |
2017 | 21.07 | (0.04) | 6.79 | 6.75 | — | (2.71) | (2.71) | 25.11 | 32.06 | 584,764 | 0.98(3) | 0.99 | (0.14) | 41 |
2016 | 22.02 | (0.05) | (0.24)(2) | (0.29) | — | (0.66) | (0.66) | 21.07 | (1.30) | 424,210 | 1.01(3) | 1.02 | (0.26) | 24 |
2015 | 22.92 | (0.05) | 1.27(2) | 1.22 | — | (2.12) | (2.12) | 22.02 | 5.44 | 483,385 | 1.04(3) | 1.06 | (0.21) | 79 |
# | Calculated using the average shares outstanding method. |
† | Amount represents less than $0.005 per share. |
(1) | The ratio for the Value Equity Fund includes the effect of fees paid indirectly which decreased the ratio by 0.00% for the years 2015, 2016, 2017, 2018 and 2019. |
(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 Growth Equity Fund includes the effect of fees paid indirectly which decreased the ratio by 0.00% for the years 2015, 2016, 2017, 2018, and 2019. |
Table of Contents
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 | Total Income From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions Paid | Net Asset Value, End of Year | Total Return | Net Assets, End of Year (000) | Expenses, Net | Expenses, Gross | Investment Income/ (Loss), Net | Portfolio Turnover Rate | |
Small Cap Equity Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2019 | $13.04 | $0.03 | $3.26 | $3.29 | $(0.02) | $(0.59) | $(0.61) | $15.72 | 25.29% | $338,440 | 1.00%(1) | 1.01% | 0.20% | 84% |
2018 | 18.36 | 0.04 | (2.13)(2) | (2.09) | — | (3.23)(3) | (3.23) | 13.04 | (12.01) | 256,242 | 0.98(1) | 0.99 | 0.20 | 172 |
2017 | 17.53 | 0.02 | 2.24 | 2.26 | (0.03) | (1.40) | (1.43) | 18.36 | 12.98 | 293,953 | 0.98(1) | 1.00 | 0.09 | 80 |
2016 | 15.14 | 0.06 | 2.59(4) | 2.65 | (0.07) | (0.19) | (0.26) | 17.53 | 17.48 | 265,627 | 1.01(1) | 1.03 | 0.36 | 77 |
2015 | 18.05 | 0.08 | (1.13)(4) | (1.05) | (0.06) | (1.80) | (1.86) | 15.14 | (5.66) | 264,962 | 1.00(1) | 1.03 | 0.45 | 74 |
Investor Class | ||||||||||||||
2019 | $13.01 | $(0.01) | $3.25 | $3.24 | $— | $(0.59) | $(0.59) | $15.66 | 24.97% | $258,018 | 1.26%(1) | 1.27% | (0.06)% | 84% |
2018 | 18.37 | (0.01) | (2.12)(2) | (2.13) | — | (3.23)(3) | (3.23) | 13.01 | (12.22) | 231,456 | 1.24(1) | 1.25 | (0.06) | 172 |
2017 | 17.56 | (0.03) | 2.24 | 2.21 | — | (1.40) | (1.40) | 18.37 | 12.67 | 261,943 | 1.25(1) | 1.27 | (0.17) | 80 |
2016 | 15.17 | 0.02 | 2.59(4) | 2.61 | (0.03) | (0.19) | (0.22) | 17.56 | 17.17 | 266,994 | 1.27(1) | 1.30 | 0.11 | 77 |
2015 | 17.08 | 0.02 | (1.04)(4) | (1.02) | — | (0.89) | (0.89) | 15.17 | (5.91) | 236,850 | 1.24(1) | 1.27 | 0.13 | 74 |
International Equity Index Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2019 | $9.24 | $0.31 | $1.65 | $1.96 | $(0.33) | $— | $(0.33) | $10.87 | 21.21% | $713,864 | 0.22% | 0.23% | 3.05% | 5% |
2018 | 10.76 | 0.27 | (1.66) | (1.39) | (0.13) | — | (0.13) | 9.24 | (12.86) | 545,427 | 0.27 | 0.27 | 2.64 | 4 |
2017 | 8.86 | 0.25 | 1.93 | 2.18 | (0.25) | (0.03) | (0.28) | 10.76 | 24.69 | 188,122 | 0.41 | 0.35 | 2.45 | 4 |
2016 | 8.94 | 0.23 | (0.09)(4) | 0.14 | (0.22) | — | (0.22) | 8.86 | 1.63 | 133,021 | 0.57 | 0.65 | 2.61 | 6 |
2015(5) | 10.00 | 0.07 | (1.06)(4) | (0.99) | (0.07) | — | (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 for the Small Cap Equity Fund includes the effect of fees paid indirectly which decreased the ratio by 0.02%, 0.01%, 0.01%, and 0.01% for the years 2015, 2016, 2017, and 2019. For the year ended December 31, 2018, the effect of fees paid indirectly decreased the ratio by 0.00% and 0.01% for Institutional and Investor Class, respectively. |
(2) | The amount previously reported in the Funds’ 2018 Annual Report has been revised due to a misstatement. The misstatement was not considered material to the prior period Annual Report. In the Funds’ 2018 Annual Report, the Small Cap Equity Fund reported amounts of $(8.59) and $(8.58) for the Institutional and Investor Class, respectively. |
(3) | The amount previously reported in the Funds’ 2018 Annual Report has been revised due to a misstatement. The misstatement was not considered material to the prior period Annual Report. In the Funds’ 2018 Annual Report, the Small Cap Equity Fund reported amounts of $3.23 for both the Institutional 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) | 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. |
Table of Contents
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 | Total Income From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions Paid | Net Asset Value, End of Year | Total Return | Net Assets, End of Year (000) | Expenses, Net | Expenses, Gross | Investment Income, Net | Portfolio Turnover Rate | |
International Equity Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2019 | $11.74 | $0.31(1) | $2.44 | $2.75 | $(0.31) | $(0.40) | $(0.71) | $13.78 | 23.45% | $963,046 | 1.07%(2) | 1.07%(2) | 2.31%(1) | 54% |
2018 | 15.72 | 0.32 | (2.65) | (2.33) | (0.32) | (1.33) | (1.65) | 11.74 | (14.90) | 795,484 | 1.07(2) | 1.08(2) | 2.08 | 73 |
2017 | 13.16 | 0.25 | 3.65 | 3.90 | (0.25) | (1.09) | (1.34) | 15.72 | 29.85 | 1,279,089 | 0.92(2)(3) | 0.93(2) | 1.63 | 42 |
2016 | 13.14 | 0.27 | 0.13(4) | 0.40 | (0.27) | (0.11) | (0.38) | 13.16 | 2.96 | 1,017,929 | 1.00(2)(3) | 1.01(2) | 2.09 | 33 |
2015 | 14.25 | 0.22 | (0.50)(4) | (0.28) | (0.26) | (0.57) | (0.83) | 13.14 | (1.93) | 1,030,729 | 1.03(2)(3) | 1.05(2) | 1.49 | 43 |
Investor Class | ||||||||||||||
2019 | $11.77 | $0.27(1) | $2.45 | $2.72 | $(0.28) | $(0.40) | $(0.68) | $13.81 | 23.10% | $351,124 | 1.35%(2) | 1.34%(2) | 2.05%(1) | 54% |
2018 | 15.74 | 0.27 | (2.63) | (2.36) | (0.28) | (1.33) | (1.61) | 11.77 | (15.06) | 285,252 | 1.33(2) | 1.35(2) | 1.76 | 73 |
2017 | 13.18 | 0.21 | 3.66 | 3.87 | (0.22) | (1.09) | (1.31) | 15.74 | 29.50 | 345,545 | 1.18(2)(3) | 1.19(2) | 1.37 | 42 |
2016 | 13.18 | 0.24 | 0.11(4) | 0.35 | (0.24) | (0.11) | (0.35) | 13.18 | 2.62 | 264,295 | 1.27(2)(3) | 1.28(2) | 1.81 | 33 |
2015 | 14.03 | 0.24 | (0.55)(4) | (0.31) | (0.12) | (0.42) | (0.54) | 13.18 | (2.16) | 245,976 | 1.35(2)(3) | 1.39(2) | 1.68 | 43 |
Emerging Markets Equity Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2019 | $8.71 | $0.18(5) | $1.57 | $1.75 | $(0.27) | $— | $(0.27) | $10.19 | 20.06% | $457,074 | 1.19%(6) | 1.19% | 1.92%(5) | 92% |
2018 | 11.00 | 0.13 | (2.36) | (2.23) | (0.06) | — | (0.06) | 8.71 | (20.26) | 359,815 | 1.30(6) | 1.21 | 1.26 | 155 |
2017 | 8.18 | 0.08 | 2.85 | 2.93 | (0.11) | — | (0.11) | 11.00 | 35.80 | 404,641 | 1.30(6) | 1.31 | 0.83 | 56 |
2016 | 7.34 | 0.08 | 0.90(4) | 0.98 | (0.14) | — | (0.14) | 8.18 | 13.46 | 290,082 | 1.30(6) | 1.48 | 0.98 | 54 |
2015 | 9.09 | 0.11 | (1.83)(4) | (1.72) | (0.03) | — | (0.03) | 7.34 | (18.93) | 272,123 | 1.28(6) | 1.50 | 1.36 | 39 |
Investor Class | ||||||||||||||
2019 | $8.72 | $0.14(5) | $1.57 | $1.71 | $(0.23) | $— | $(0.23) | $10.20 | 19.64% | $75,866 | 1.57%(6) | 1.57% | 1.48%(5) | 92% |
2018 | 11.00 | 0.10 | (2.35) | (2.25) | (0.03) | — | (0.03) | 8.72 | (20.49) | 65,354 | 1.56(6) | 1.52 | 0.96 | 155 |
2017 | 8.19 | 0.06 | 2.84 | 2.90 | (0.09) | — | (0.09) | 11.00 | 35.37 | 94,346 | 1.57(6) | 1.66 | 0.57 | 56 |
2016 | 7.35 | 0.06 | 0.91(4) | 0.97 | (0.13) | — | (0.13) | 8.19 | 13.20 | 45,106 | 1.56(6) | 1.87 | 0.73 | 54 |
2015 | 9.09 | 0.05 | (1.79)(4) | (1.74) | — | — | — | 7.35 | (19.14) | 25,659 | 1.51(6) | 1.83 | 0.58 | 39 |
# | Calculated using the average shares outstanding method. |
(1) | Net investment income per share and the ratio of net investment income to average net assets include $0.01 and 0.09% for the Institutional Class and $0.01 and 0.09% for the Investor Class, respectively, resulting from a special dividend from Naspers Ltd. in September 2019. |
(2) | The ratio for the International Equity Fund includes the effect of dividend expense on securities sold short which increased the ratio by 0.17%, 0.14% and 0.08% for the years 2015, 2016 and 2017. For the year ended December 31, 2018, the effect of dividend expense on securities sold short increased the ratio by 0.23% and 0.29% for Institutional Class and Investor Class, respectively. For the year ended December 31, 2019, the effect of dividend expense on securities sold short increased the ratio by 0.19%. |
(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 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) | Net investment income per share and the ratio of net investment income to average net assets include $0.06 and 0.68% for the Institutional Class and $0.06 and 0.62% for the Investor Class, respectively, resulting from a special dividend from Naspers Ltd. in September 2019. |
(6) | 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, 2017, 2018 and 2019. |
Table of Contents
% | |
Real Estate | 96.1 |
Money Market Funds | 2.8 |
Information Technology | 0.5 |
Consumer Discretionary | 0.1 |
U.S. Treasury Obligation | 0.1 |
99.6 |
Table of Contents
Average Annual Total Returns as of 12/31/19 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | 24.87% | 24.42% | 21.91% | ||||
Five Year | N/A | 6.42% | 5.56% | ||||
Ten year | N/A | 10.16% | 9.64% | ||||
Since Inception(1) | 6.62% | 4.32% | 3.71% | ||||
Inception Date | 05/01/15 | 12/29/06 | |||||
Total Fund Operating Expenses (April 30, 2019 Prospectus)(2) | 0.87% | 1.15% |
(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. |
Table of Contents
Shares | Value | |||
COMMON STOCKS — 52.7% | ||||
Real Estate — 52.7% | ||||
Agree Realty Corporation REIT | 43,258 | $3,035,414 | ||
Alexandria Real Estate Equities, Inc. REIT | 21,637 | 3,496,106 | ||
American Assets Trust, Inc. REIT | 21,233 | 974,595 | ||
American Tower Corporation REIT | 7,620 | 1,751,228 | ||
Americold Realty Trust REIT | 75,072 | 2,632,024 | ||
Apartment Investment & Management Co. Class A REIT | 53,395 | 2,757,852 | ||
AvalonBay Communities, Inc. REIT | 4,230 | 887,031 | ||
Boston Properties, Inc. REIT | 15,410 | 2,124,423 | ||
Brixmor Property Group, Inc. REIT | 107,620 | 2,325,668 | ||
Camden Property Trust REIT | 17,683 | 1,876,166 | ||
CoreSite Realty Corporation REIT | 5,813 | 651,754 | ||
Cousins Properties, Inc. REIT | 44,788 | 1,845,266 | ||
CyrusOne, Inc. REIT | 54,481 | 3,564,692 | ||
DiamondRock Hospitality Co. REIT | 197,290 | 2,185,973 | ||
Douglas Emmett, Inc. REIT | 52,612 | 2,309,667 | ||
Duke Realty Corporation REIT | 58,099 | 2,014,292 | ||
EastGroup Properties, Inc. REIT | 12,257 | 1,626,136 | ||
Equinix, Inc. REIT | 2,142 | 1,250,285 | ||
Equity LifeStyle Properties, Inc. REIT | 72,207 | 5,082,651 | ||
Equity Residential REIT | 77,321 | 6,256,815 | ||
Essential Properties Realty Trust, Inc. REIT | 64,622 | 1,603,272 | ||
Essex Property Trust, Inc. REIT | 7,330 | 2,205,304 | ||
Extra Space Storage, Inc. REIT | 41,634 | 4,397,383 | ||
Federal Realty Investment Trust REIT | 7,663 | 986,458 | ||
Four Corners Property Trust, Inc. REIT | 34,269 | 966,043 | ||
Healthpeak Properties, Inc. REIT | 163,706 | 5,642,946 | ||
Highwoods Properties, Inc. REIT | 28,705 | 1,403,962 | ||
Host Hotels & Resorts, Inc. REIT | 24,360 | 451,878 | ||
Hudson Pacific Properties, Inc. REIT | 36,771 | 1,384,428 | ||
Invitation Homes, Inc. REIT | 190,453 | 5,707,876 | ||
Kilroy Realty Corporation REIT | 35,610 | 2,987,679 | ||
Kimco Realty Corporation REIT | 138,747 | 2,873,450 | ||
Liberty Property Trust REIT | 26,181 | 1,572,169 | ||
Life Storage, Inc. REIT | 33,350 | 3,611,138 | ||
Medical Properties Trust, Inc. REIT | 149,371 | 3,153,222 | ||
Mid-America Apartment Communities, Inc. REIT | 40,353 | 5,320,947 | ||
New Senior Investment Group, Inc. REIT | 46,606 | 356,536 | ||
Omega Healthcare Investors, Inc. REIT | 49,533 | 2,097,723 | ||
Pebblebrook Hotel Trust REITΔ | 45,384 | 1,216,745 | ||
Physicians Realty Trust REIT | 67,354 | 1,275,685 | ||
Prologis, Inc. REIT | 113,630 | 10,128,978 | ||
QTS Realty Trust, Inc. Class A REIT | 13,310 | 722,334 | ||
Realty Income Corporation REIT | 65,829 | 4,846,989 | ||
Retail Properties of America, Inc. Class A REIT | 6,086 | 81,552 | ||
Rexford Industrial Realty, Inc. REIT | 70,489 | 3,219,233 | ||
Ryman Hospitality Properties, Inc. REIT | 22,031 | 1,909,206 | ||
Simon Property Group, Inc. REIT | 33,289 | 4,958,729 | ||
SITE Centers Corporation REIT | 59,846 | 839,041 |
Shares | Value | |||
SL Green Realty Corporation REIT | 14,470 | $1,329,504 | ||
Spirit Realty Capital, Inc. REIT | 25,758 | 1,266,778 | ||
STORE Capital Corporation REIT | 79,882 | 2,974,806 | ||
Ventas, Inc. REIT | 20,591 | 1,188,924 | ||
Weingarten Realty Investors REITΔ | 70,920 | 2,215,541 | ||
Welltower, Inc. REIT | 50,282 | 4,112,062 | ||
Weyerhaeuser Co. REIT | 47,633 | 1,438,517 | ||
139,095,076 | ||||
Total Common Stocks (Cost $129,341,144) | 139,095,076 | |||
FOREIGN COMMON STOCKS — 44.0% | ||||
Australia — 3.4% | ||||
Cromwell Property Group REIT | 354,142 | 292,010 | ||
Dexus REIT | 97,933 | 804,076 | ||
Goodman Group REIT | 182,986 | 1,716,847 | ||
GPT Group (The) REIT (Athens Exchange) | 565,006 | 2,220,361 | ||
Ingenia Communities Group REIT | 93,105 | 324,069 | ||
Mirvac Group REIT | 1,126,033 | 2,512,816 | ||
Scentre Group REIT | 362,904 | 975,378 | ||
Stockland REIT | 65,045 | 210,881 | ||
9,056,438 | ||||
Austria — 0.2% | ||||
CA Immobilien Anlagen AG | 11,747 | 493,464 | ||
Belgium — 0.9% | ||||
Aedifica SA REIT | 8,439 | 1,071,554 | ||
VGP NV | 2,472 | 243,456 | ||
Warehouses De Pauw CVA REIT | 3,002 | 546,183 | ||
Xior Student Housing NV REIT | 10,531 | 596,538 | ||
2,457,731 | ||||
Canada — 3.0% | ||||
Canadian Apartment Properties REIT | 51,371 | 2,097,091 | ||
Dream Office REIT | 49,623 | 1,189,607 | ||
First Capital REIT | 42,911 | 683,047 | ||
Granite REIT | 38,151 | 1,938,472 | ||
InterRent REIT | 126,332 | 1,521,568 | ||
Minto Apartment REIT | 30,100 | 536,610 | ||
7,966,395 | ||||
France — 1.8% | ||||
Gecina SA REIT | 14,131 | 2,529,779 | ||
Klepierre REIT | 54,262 | 2,060,303 | ||
4,590,082 | ||||
Germany — 4.0% | ||||
ADLER Real Estate AG* | 26,584 | 405,542 | ||
alstria office REIT-AG | 48,209 | 905,774 | ||
Aroundtown SA | 32,707 | 293,767 | ||
Deutsche Wohnen SE | 60,079 | 2,443,823 | ||
Godewind Immobilien AG 144A* | 98,926 | 525,976 | ||
Vonovia SE | 110,699 | 5,945,573 | ||
10,520,455 | ||||
Hong Kong — 5.6% | ||||
Champion REIT | 376,288 | 248,692 | ||
CK Asset Holdings, Ltd. | 110,959 | 800,976 |
Table of Contents
Shares | Value | |||
Hysan Development Co., Ltd. | 84,069 | $329,596 | ||
Link REIT | 359,532 | 3,806,500 | ||
New World Development Co., Ltd. | 3,092,461 | 4,238,477 | ||
Sino Land Co., Ltd. | 704,000 | 1,022,712 | ||
Sun Hung Kai Properties, Ltd. | 95,977 | 1,469,406 | ||
Swire Properties, Ltd. | 854,336 | 2,834,155 | ||
14,750,514 | ||||
Japan — 11.2% | ||||
Activia Properties, Inc. REIT | 704 | 3,528,113 | ||
AEON REIT Investment Corporation | 396 | 542,227 | ||
Comforia Residential REIT, Inc. | 154 | 487,562 | ||
Daibiru Corporation | 51,400 | 616,338 | ||
Frontier Real Estate Investment Corporation REIT | 265 | 1,113,698 | ||
Fukuoka REIT Corporation | 306 | 521,161 | ||
Global One Real Estate Investment Corporation REIT | 653 | 844,985 | ||
Hulic Reit, Inc. | 640 | 1,161,548 | ||
Invesco Office J-REIT, Inc. | 3,631 | 752,117 | ||
Invincible Investment Corporation REIT | 932 | 530,954 | ||
Japan Real Estate Investment Corporation REIT | 219 | 1,453,392 | ||
Japan Rental Housing Investments, Inc. REIT | 1,481 | 1,448,901 | ||
LaSalle Logiport REIT | 396 | 588,644 | ||
Mitsubishi Estate Co., Ltd. | 183,559 | 3,512,379 | ||
Mitsui Fudosan Co., Ltd. | 200,396 | 4,897,664 | ||
Mori Hills Investment Corporation REIT | 952 | 1,582,250 | ||
Mori Trust Hotel Reit, Inc. | 284 | 393,610 | ||
Mori Trust Sogo REIT, Inc. | 532 | 953,786 | ||
NIPPON REIT Investment Corporation | 110 | 483,917 | ||
Orix JREIT, Inc. | 321 | 695,781 | ||
Premier Investment Corporation REIT | 512 | 724,455 | ||
Sumitomo Realty & Development Co., Ltd. | 50,400 | 1,758,430 | ||
Tokyu Fudosan Holdings Corporation | 80,380 | 555,049 | ||
XYMAX REIT Investment Corporation | 381 | 483,638 | ||
29,630,599 | ||||
Netherlands — 1.0% | ||||
InterXion Holding NV* | 17,538 | 1,469,860 | ||
Unibail-Rodamco-Westfield REIT | 7,660 | 1,208,496 | ||
2,678,356 | ||||
Singapore — 3.3% | ||||
CapitaLand, Ltd. | 910,957 | 2,539,937 | ||
City Developments, Ltd. | 166,300 | 1,353,943 | ||
Frasers Centrepoint Trust REITΔ | 646,394 | 1,350,509 | ||
Keppel DC REIT | 303,269 | 469,013 | ||
Mapletree Industrial Trust REIT | 311,353 | 601,894 |
Shares | Value | |||
Mapletree Logistics Trust REITΔ | 1,914,700 | $2,477,102 | ||
8,792,398 | ||||
Spain — 1.1% | ||||
Arima Real Estate SOCIMI SA REIT* | 39,726 | 503,535 | ||
Lar Espana Real Estate Socimi SA REIT | 22,570 | 179,749 | ||
Merlin Properties Socimi SA REIT | 142,945 | 2,050,767 | ||
2,734,051 | ||||
Sweden — 2.1% | ||||
Castellum AB | 58,830 | 1,381,819 | ||
Fabege AB | 139,909 | 2,324,052 | ||
Fastighets AB Balder, B Shares* | 32,691 | 1,512,970 | ||
Nyfosa AB* | 48,155 | 416,444 | ||
5,635,285 | ||||
Switzerland — 0.9% | ||||
PSP Swiss Property AG | 3,420 | 472,215 | ||
Swiss Prime Site AG* | 17,031 | 1,970,388 | ||
2,442,603 | ||||
United Kingdom — 5.5% | ||||
Assura PLC REIT | 622,472 | 641,482 | ||
Big Yellow Group PLC REIT | 43,208 | 686,800 | ||
British Land Co. PLC (The) REIT | 294,792 | 2,494,396 | ||
Derwent London PLC REIT | 30,818 | 1,636,943 | ||
Grainger PLC | 250,405 | 1,038,842 | ||
Great Portland Estates PLC REIT | 90,759 | 1,033,887 | ||
Hammerson PLC REIT | 78,316 | 320,237 | ||
Intu Properties PLC REIT | 119,723 | 53,919 | ||
Picton Property Income, Ltd. (The) REIT | 205,913 | 264,570 | ||
PPHE Hotel Group, Ltd. | 12,638 | 309,695 | ||
Primary Health Properties PLC REIT | 216,439 | 458,712 | ||
PRS REIT PLC (The) | 378,544 | 461,306 | ||
Safestore Holdings PLC REIT | 30,959 | 330,527 | ||
Segro PLC REIT | 207,747 | 2,468,930 | ||
Tritax EuroBox PLC 144A | 225,362 | 280,595 | ||
UNITE Group PLC (The) REIT | 95,579 | 1,595,210 | ||
Urban & Civic PLC | 89,453 | 408,789 | ||
14,484,840 | ||||
Total Foreign Common Stocks (Cost $103,774,819) | 116,233,211 | |||
MONEY MARKET FUNDS — 2.8% | ||||
GuideStone Money Market Fund, 1.53% (Institutional Class)Ø∞ | 7,060,944 | 7,060,944 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 1.57%ا | 255,671 | 255,671 |
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Shares | Value | |||
Northern Institutional U.S. Government Portfolio (Shares), 1.48%Ø | 14 | $14 | ||
Total Money Market Funds (Cost $7,316,629) | 7,316,629 |
Par | |||
U.S. TREASURY OBLIGATION — 0.1% | |||
U.S. Treasury Bill | |||
1.52%, 05/07/20Ω‡‡ (Cost $248,654) | $250,000 | 248,671 | |
TOTAL INVESTMENTS —99.6% (Cost $240,681,246) | 262,893,587 | ||
Other Assets in Excess of Liabilities — 0.4% | 941,909 | ||
NET ASSETS — 100.0% | $263,835,496 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
S&P MidCap 400 Index E-Mini | 03/2020 | 41 | $8,465,680 | $96,580 |
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Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $139,095,076 | $139,095,076 | $— | $— | |||
Foreign Common Stocks: | |||||||
Austria | 493,464 | — | 493,464 | — | |||
Germany | 10,520,455 | — | 10,520,455 | — | |||
Japan | 29,630,599 | — | 29,630,599 | — | |||
Sweden | 5,635,285 | — | 5,635,285 | — | |||
Switzerland | 2,442,603 | — | 2,442,603 | — | |||
Other^^ | 67,510,805 | 67,510,805 | — | — | |||
Total Foreign Common Stocks | 116,233,211 | 67,510,805 | 48,722,406 | — | |||
Money Market Funds | 7,316,629 | 7,316,629 | — | — | |||
U.S. Treasury Obligation | 248,671 | — | 248,671 | — | |||
Total Assets - Investments in Securities | $262,893,587 | $213,922,510 | $48,971,077 | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $96,580 | $96,580 | $— | $— | |||
Total Assets - Other Financial Instruments | $96,580 | $96,580 | $ — | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
*** | 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. |
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STATEMENTS OF ASSETS AND LIABILITIES | December 31, 2019 |
Global Real Estate Securities Fund | |
Assets | |
Investments in securities of unaffiliated issuers, at value | $255,832,643 |
Investments in securities of affiliated issuers, at value | 7,060,944 |
Total investments, at value(1), (2) | 262,893,587 |
Cash | 1,487 |
Deposits with broker for futures contracts | 86,000 |
Foreign currency(3) | 491,446 |
Receivables: | |
Dividends and reclaims | 1,158,719 |
Securities lending | 1,397 |
Investment securities sold | 509,022 |
Fund shares sold | 163,162 |
Variation margin on futures contracts | 7,790 |
Prepaid expenses and other assets | 16,541 |
Total Assets | 265,329,151 |
Liabilities | |
Collateral held for securities on loan, at value | 255,671 |
Payables: | |
Investment securities purchased | 723,549 |
Fund shares redeemed | 281,387 |
Accrued expenses: | |
Investment advisory fees | 149,588 |
Shareholder servicing fees | 21,988 |
Trustee fees | 820 |
Other expenses | 60,652 |
Total Liabilities | 1,493,655 |
Net Assets | $263,835,496 |
Net Assets Consist of: | |
Paid-in-capital | $251,389,054 |
Distributable earnings (loss) | 12,446,442 |
Net Assets | $263,835,496 |
Net Asset Value: | |
$0.001 par value, unlimited shares authorized | |
Net assets applicable to the Institutional Class | $159,523,086 |
Institutional shares outstanding | 15,617,285 |
Net asset value, offering and redemption price per Institutional share | $10.21 |
Net assets applicable to the Investor Class | $104,312,410 |
Investor shares outstanding | 10,172,434 |
Net asset value, offering and redemption price per Investor share | $10.25 |
(1)Investments in securities of unaffiliated issuers, at cost | $233,620,302 |
Investments in securities of affiliated issuers, at cost | 7,060,944 |
Total investments, at cost | $240,681,246 |
(2)Includes securities loaned of: | $745,279 |
(3)Foreign currency, at cost | $489,010 |
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STATEMENTS OF OPERATIONS | For the Year Ended December 31, 2019 |
Global Real Estate Securities Fund | |
Investment Income | |
Dividends | $7,418,194 |
Income distributions received from affiliated funds | 154,228 |
Interest | 13,981 |
Securities lending, net | 37,298 |
Less foreign taxes withheld | (339,058) |
Total Investment Income | 7,284,643 |
Expenses | |
Investment advisory fees | 1,673,046 |
Transfer agent fees: | |
Institutional shares | 4,334 |
Investor shares | 18,436 |
Custodian fees | 135,756 |
Shareholder servicing fees: | |
Investor shares | 250,191 |
Accounting and administration fees | 51,140 |
Professional fees | 101,180 |
Shareholder reporting fees: | |
Institutional shares | 815 |
Investor shares | 4,545 |
Trustees expenses | 4,490 |
Line of credit facility fees | 4,397 |
Other expenses | 64,663 |
Total Expenses | 2,312,993 |
Fees paid indirectly | (22,894) |
Net Expenses | 2,290,099 |
Net Investment Income | 4,994,544 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss) from: | |
Investment securities | 15,200,657 |
Futures transactions | 1,323,101 |
Forward foreign currency contracts | (7,392) |
Foreign currency | (9,503) |
Net realized gain | 16,506,863 |
Net change in unrealized appreciation (depreciation) on: | |
Investment securities | 30,775,794 |
Futures | 302,495 |
Foreign currency | 13,281 |
Net change in unrealized appreciation (depreciation) | 31,091,570 |
Net Realized and Unrealized Gain | 47,598,433 |
Net Increase in Net Assets Resulting from Operations | $52,592,977 |
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STATEMENTS OF CHANGES IN NET ASSETS |
Global Real Estate Securities Fund | |||
For the Year Ended | |||
12/31/19 | 12/31/18 | ||
Operations: | |||
Net investment income | $4,994,544 | $4,869,259 | |
Net realized gain on investment securities, foreign currency and derivatives | 16,506,863 | 2,116,895 | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | 31,091,570 | (17,670,799) | |
Net increase (decrease) in net assets resulting from operations | 52,592,977 | (10,684,645) | |
Distributions to Shareholders: | |||
Institutional shares | (11,663,016) | (6,105,053) | |
Investor shares | (7,460,096) | (3,599,717) | |
Total distributions | (19,123,112) | (9,704,770) | |
Capital Share Transactions: | |||
Proceeds from shares sold | |||
Institutional shares | 21,320,503 | 12,654,254 | |
Investor shares | 30,357,678 | 9,990,178 | |
Reinvestment of dividends and distributions | |||
Institutional shares | 11,610,021 | 6,034,893 | |
Investor shares | 7,408,256 | 3,571,808 | |
Total proceeds from shares sold and reinvested | 70,696,458 | 32,251,133 | |
Value of shares redeemed | |||
Institutional shares | (26,971,710) | (6,697,484) | |
Investor shares | (28,833,472) | (21,086,951) | |
Total value of shares redeemed | (55,805,182) | (27,784,435) | |
Net increase from capital share transactions(1) | 14,891,276 | 4,466,698 | |
Total increase (decrease) in net assets | 48,361,141 | (15,922,717) | |
Net Assets: | |||
Beginning of Year | 215,474,355 | 231,397,072 | |
End of Year | $263,835,496 | $215,474,355 |
(1) | See Note 6 in Notes to Financial Statements. |
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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 | Total Income From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions Paid | Net Asset Value, End of Year | Total Return | Net Assets, End of Year (000) | Expenses, Net | Expenses, Gross | Investment Income, Net | Portfolio Turnover Rate | |
Global Real Estate Securities Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2019 | $8.83 | $0.22 | $1.95 | $2.17 | $(0.61) | $(0.18) | $(0.79) | $10.21 | 24.87% | $159,523 | 0.82%(1) | 0.83% | 2.13% | 118% |
2018 | 9.69 | 0.21 | (0.65) | (0.44) | (0.42) | — | (0.42) | 8.83 | (4.70) | 133,341 | 0.86(1) | 0.87 | 2.26 | 128 |
2017 | 9.10 | 0.27 | 0.73 | 1.00 | (0.41) | — | (0.41) | 9.69 | 11.05 | 133,656 | 0.87(1) | 0.88 | 2.86 | 138 |
2016 | 9.46 | 0.20 | 0.18(2) | 0.38 | (0.50) | (0.24) | (0.74) | 9.10 | 4.07 | 123,574 | 0.88(1) | 0.90 | 2.07 | 130 |
2015(3) | 10.50 | 0.12 | (0.33) | (0.21) | (0.27) | (0.56) | (0.83) | 9.46 | (1.89) | 159,196 | 0.93(1) | 0.94 | 1.83 | 137 |
Investor Class | ||||||||||||||
2019 | $8.87 | $0.19 | $1.95 | $2.14 | $(0.58) | $(0.18) | $(0.76) | $10.25 | 24.42% | $104,312 | 1.09%(1) | 1.10% | 1.87% | 118% |
2018 | 9.72 | 0.19 | (0.65) | (0.46) | (0.39) | — | (0.39) | 8.87 | (4.86) | 82,133 | 1.14(1) | 1.15 | 1.97 | 128 |
2017 | 9.13 | 0.24 | 0.73 | 0.97 | (0.38) | — | (0.38) | 9.72 | 10.72 | 97,741 | 1.12(1) | 1.13 | 2.56 | 138 |
2016 | 9.49 | 0.16 | 0.19(2) | 0.35 | (0.47) | (0.24) | (0.71) | 9.13 | 3.78 | 100,810 | 1.14(1) | 1.19 | 1.68 | 130 |
2015 | 10.26 | 0.16 | (0.13) | 0.03 | (0.24) | (0.56) | (0.80) | 9.49 | 0.34 | 99,357 | 1.12(1) | 1.17 | 1.50 | 137 |
# | Calculated using the average shares outstanding method. |
(1) | 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, 2017, 2018 and 2019. |
(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) | Inception date was May 1, 2015. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
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% | |
Money Market Funds | 27.7 |
Corporate Bonds | 24.6 |
U.S. Treasury Obligations | 19.0 |
Foreign Bonds | 4.9 |
Asset-Backed Securities | 3.4 |
Information Technology | 3.2 |
Health Care | 2.5 |
Mortgage-Backed Securities | 2.3 |
Communication Services | 1.8 |
Consumer Discretionary | 1.5 |
Loan Agreements | 1.4 |
Financials | 1.3 |
Industrials | 1.2 |
Energy | 1.1 |
Materials | 0.9 |
Mutual Funds | 0.8 |
Consumer Staples | 0.3 |
Certificates Of Deposit | 0.3 |
Real Estate | 0.2 |
Utilities | 0.1 |
Rights | —** |
Purchased Option | —** |
Written Options | (0.1) |
Foreign Common Stocks Sold Short | (0.2) |
Mutual Funds Sold Short | (3.0) |
Common Stocks Sold Short | (4.1) |
91.1 | |
**Rounds to less than 0.1% |
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Average Annual Total Returns as of 12/31/19 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | 4.93% | 4.62% | 2.28% | ||||
Five Year | N/A | N/A | N/A | ||||
Ten year | N/A | N/A | N/A | ||||
Since Inception | 2.57% | 2.28% | 1.88% | ||||
Inception Date | 06/30/17 | 06/30/17 | |||||
Total Fund Operating Expenses (April 30, 2019 Prospectus)(1) | 1.03% | 1.38% |
(1) | Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights. |
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Par | Value | |||
ASSET-BACKED SECURITIES — 3.4% | ||||
American Express Credit Account Master Trust, Series 2017-2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.45%), 2.19%, 09/16/24† | $1,165,000 | $1,171,159 | ||
Capital One Multi-Asset Execution Trust, Series 2016-A7, Class A7 | ||||
(Floating, ICE LIBOR USD 1M + 0.51%), 2.25%, 09/16/24† | 791,000 | 796,388 | ||
Capital One Prime Auto Receivables Trust, Series 2019-1, Class A2 | ||||
2.58%, 04/15/22 | 1,085,252 | 1,089,815 | ||
CARDS II Trust, Series 2019-1A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.39%), 2.13%, 05/15/24 144A † | 370,000 | 370,972 | ||
Chase Issuance Trust, Series 2016-A3, Class A3 | ||||
(Floating, ICE LIBOR USD 1M + 0.55%), 2.29%, 06/15/23† | 500,000 | 503,221 | ||
Chase Issuance Trust, Series 2017-A2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.40%), 2.14%, 03/15/24† | 1,125,000 | 1,129,354 | ||
Citibank Credit Card Issuance Trust, Series 2016-A3, Class A3 | ||||
(Floating, ICE LIBOR USD 1M + 0.49%), 2.20%, 12/07/23† | 1,125,000 | 1,132,092 | ||
Evergreen Credit Card Trust, Series 2019-1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.48%), 2.22%, 01/15/23 144A † | 1,080,000 | 1,083,035 | ||
Ford Credit Auto Lease Trust, Series 2019-B, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 0.26%), 2.00%, 02/15/22† | 500,000 | 499,940 | ||
Ford Credit Auto Owner Trust, Series 2019-A, Class A2A | ||||
2.78%, 02/15/22 | 384,273 | 385,617 | ||
Ford Credit Auto Owner Trust, Series 2019-B, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 0.24%), 1.98%, 02/15/22† | 343,096 | 343,212 | ||
Golden Credit Card Trust, Series 2019-2A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.35%, 0.35% Floor), 2.09%, 10/15/23 144A † | 380,000 | 379,767 | ||
Navient Private Education Loan Trust, Series 2017-A, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.40%), 2.14%, 12/16/58 144A † | 24,918 | 24,915 | ||
Navient Student Loan Trust, Series 2019-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.33%), 2.12%, 12/27/67 144A † | 344,532 | 344,536 |
Par | Value | |||
Navient Student Loan Trust, Series 2019-4A, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.28%, 0.28% Floor), 2.07%, 07/25/68 144A † | $562,399 | $561,697 | ||
Navient Student Loan Trust, Series 2019-7A, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor), 2.17%, 01/25/68 144A † | 600,000 | 600,320 | ||
Nissan Auto Receivables Owners Trust, Series 2019-C, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 0.24%), 1.98%, 09/15/22† | 470,000 | 470,464 | ||
USAA Auto Owner Trust, Series 2019-1, Class A2 | ||||
2.26%, 02/15/22 | 500,000 | 500,824 | ||
Verizon Owner Trust, Series 2017-3A, Class A1A | ||||
2.06%, 04/20/22 144A | 471,209 | 471,953 | ||
Verizon Owner Trust, Series 2019-A, Class A1B | ||||
(Floating, ICE LIBOR USD 1M + 0.33%), 2.09%, 09/20/23† | 605,000 | 605,464 | ||
Verizon Owner Trust, Series 2019-B, Class A1B | ||||
(Floating, ICE LIBOR USD 1M + 0.45%), 2.21%, 12/20/23† | 525,000 | 526,638 | ||
Total Asset-Backed Securities (Cost $12,972,862) | 12,991,383 | |||
CERTIFICATES OF DEPOSIT — 0.3% | ||||
US Bank NA | ||||
(Floating, ICE LIBOR USD 3M + 0.40%), 2.29%, 12/09/22† (Cost $1,100,000) | 1,100,000 | 1,102,261 | ||
CORPORATE BONDS — 24.6% | ||||
AES Corporation | ||||
4.50%, 03/15/23 | 500,000 | 513,543 | ||
4.88%, 05/15/23 | 860,000 | 874,693 | ||
Allison Transmission, Inc. | ||||
5.00%, 10/01/24 144A | 500,000 | 513,120 | ||
AMC Networks, Inc. | ||||
4.75%, 12/15/22 | 500,000 | 505,265 | ||
5.00%, 04/01/24 | 1,500,000 | 1,533,750 | ||
American Honda Finance Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.35%), 2.24%, 11/05/21† | 1,379,000 | 1,381,525 | ||
AmeriGas Partners LP | ||||
5.63%, 05/20/24 | 750,000 | 811,868 | ||
5.50%, 05/20/25 | 1,250,000 | 1,353,112 | ||
APX Group, Inc. | ||||
7.88%, 12/01/22 | 1,400,000 | 1,415,741 | ||
8.50%, 11/01/24 144A | 1,500,000 | 1,549,372 | ||
Aramark Services, Inc. | ||||
5.13%, 01/15/24 | 750,000 | 771,214 |
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Par | Value | |||
AT&T, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 0.95%), 2.95%, 07/15/21† | $1,400,000 | $1,413,685 | ||
(Floating, ICE LIBOR USD 3M + 0.89%), 2.80%, 02/15/23† | 40,000 | 40,347 | ||
Bank of America Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.65%), 2.60%, 06/25/22† | 505,000 | 507,855 | ||
(Floating, ICE LIBOR USD 3M + 1.18%), 3.15%, 10/21/22† | 170,000 | 172,529 | ||
(Floating, ICE LIBOR USD 3M + 1.16%), 3.13%, 01/20/23† | 830,000 | 842,380 | ||
Berry Global, Inc. | ||||
5.50%, 05/15/22 | 542,000 | 549,449 | ||
BMW US Capital LLC | ||||
(Floating, ICE LIBOR USD 3M + 0.37%), 2.28%, 08/14/20 144A † | 800,000 | 801,107 | ||
(Floating, ICE LIBOR USD 3M + 0.50%), 2.40%, 08/13/21 144A † | 500,000 | 501,410 | ||
Bristol-Myers Squibb Co. | ||||
(Floating, ICE LIBOR USD 3M + 0.38%), 2.28%, 05/16/22 144A † | 1,000,000 | 1,003,556 | ||
CalAtlantic Group, Inc. | ||||
6.63%, 05/01/20 | 1,250,000 | 1,260,938 | ||
Capital One Financial Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.95%), 2.84%, 03/09/22† | 535,000 | 540,677 | ||
Capital One NA | ||||
(Floating, ICE LIBOR USD 3M + 1.15%), 3.09%, 01/30/23† | 800,000 | 809,279 | ||
Caterpillar Financial Services Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.28%), 2.17%, 09/07/21† | 1,250,000 | 1,250,617 | ||
CCO Holdings LLC | ||||
5.25%, 09/30/22 | 1,500,000 | 1,519,545 | ||
Cedar Fair LP | ||||
5.38%, 06/01/24 | 250,000 | 257,604 | ||
Central Garden & Pet Co. | ||||
6.13%, 11/15/23 | 300,000 | 310,625 | ||
Choice Hotels International, Inc. | ||||
5.75%, 07/01/22 | 395,000 | 427,464 | ||
Cigna Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.65%), 2.55%, 09/17/21† | 700,000 | 700,043 | ||
CIT Group, Inc. | ||||
5.00%, 08/15/22 | 500,000 | 531,247 | ||
Citigroup, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 0.96%), 2.90%, 04/25/22† | 1,080,000 | 1,094,545 | ||
(Floating, ICE LIBOR USD 3M + 0.69%), 2.63%, 10/27/22† | 420,000 | 423,438 | ||
Clear Channel Outdoor Holdings, Inc. | ||||
9.25%, 02/15/24 144A | 638,000 | 707,915 | ||
CNH Industrial Capital LLC | ||||
4.38%, 04/05/22 | 1,000,000 | 1,046,752 | ||
Colfax Corporation | ||||
6.00%, 02/15/24 144A | 500,000 | 532,293 |
Par | Value | |||
Credit Acceptance Corporation | ||||
5.13%, 12/31/24 144A | $250,000 | $260,240 | ||
Crown Americas LLC | ||||
4.50%, 01/15/23 | 450,000 | 474,183 | ||
CVS Health Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.72%), 2.61%, 03/09/21† | 1,000,000 | 1,006,366 | ||
Daimler Finance North America LLC | ||||
(Floating, ICE LIBOR USD 3M + 0.45%), 2.35%, 02/22/21 144A † | 1,250,000 | 1,250,780 | ||
Dell International LLC | ||||
5.88%, 06/15/21 144A | 330,000 | 335,570 | ||
7.13%, 06/15/24 144A | 1,250,000 | 1,320,313 | ||
DISH DBS Corporation | ||||
5.13%, 05/01/20 | 2,000,000 | 2,014,880 | ||
Dollar Tree, Inc. | ||||
3.70%, 05/15/23 | 500,000 | 521,330 | ||
Dominion Energy Gas Holdings LLC | ||||
(Floating, ICE LIBOR USD 3M + 0.60%), 2.49%, 06/15/21† | 985,000 | 989,115 | ||
Duke Energy Florida LLC | ||||
(Floating, ICE LIBOR USD 3M + 0.25%), 2.17%, 11/26/21† | 350,000 | 350,325 | ||
Enterprise Products Operating LLC | ||||
5.25%, 01/31/20 | 1,110,000 | 1,112,535 | ||
ESH Hospitality, Inc. REIT | ||||
5.25%, 05/01/25 144A | 350,000 | 362,542 | ||
Florida Power & Light Co. | ||||
(Floating, ICE LIBOR USD 3M + 0.40%), 2.31%, 05/06/22† | 900,000 | 900,037 | ||
Ford Motor Credit Co. LLC | ||||
2.68%, 01/09/20 | 1,735,000 | 1,735,141 | ||
Fresenius US Finance II, Inc. | ||||
4.50%, 01/15/23 144A | 1,000,000 | 1,054,232 | ||
GameStop Corporation | ||||
6.75%, 03/15/21 144A | 300,000 | 295,500 | ||
General Electric Co. | ||||
5.50%, 01/08/20 | 545,000 | 545,199 | ||
(Floating, ICE LIBOR USD 3M + 0.80%), 2.80%, 04/15/20† | 139,000 | 139,184 | ||
Goldman Sachs Group, Inc. (The) | ||||
(Floating, ICE LIBOR USD 3M + 0.75%), 2.66%, 02/23/23† | 1,005,000 | 1,011,254 | ||
Group 1 Automotive, Inc. | ||||
5.00%, 06/01/22 | 1,000,000 | 1,016,243 | ||
Honeywell International, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 0.37%), 2.27%, 08/08/22† | 535,000 | 538,163 | ||
Hughes Satellite Systems Corporation | ||||
7.63%, 06/15/21 | 1,000,000 | 1,070,270 | ||
Iron Mountain, Inc. REIT | ||||
6.00%, 08/15/23 | 1,500,000 | 1,535,002 | ||
John Deere Capital Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.40%), 2.29%, 06/07/21† | 355,000 | 356,341 | ||
(Floating, ICE LIBOR USD 3M + 0.48%), 2.37%, 09/08/22† | 250,000 | 251,301 |
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Par | Value | |||
JPMorgan Chase & Co. | ||||
(Floating, ICE LIBOR USD 3M + 1.00%), 3.00%, 01/15/23† | $1,450,000 | $1,466,197 | ||
KAR Auction Services, Inc. | ||||
5.13%, 06/01/25 144A | 500,000 | 521,043 | ||
KGA Escrow LLC | ||||
7.50%, 08/15/23 144A | 1,500,000 | 1,590,622 | ||
Kinder Morgan, Inc. | ||||
3.15%, 01/15/23 | 1,000,000 | 1,023,317 | ||
Lamar Media Corporation | ||||
5.00%, 05/01/23 | 1,000,000 | 1,019,990 | ||
Lennar Corporation | ||||
4.75%, 04/01/21 | 1,000,000 | 1,024,320 | ||
Level 3 Financing, Inc. | ||||
5.38%, 08/15/22 | 210,000 | 210,830 | ||
LSB Industries, Inc. | ||||
9.63%, 05/01/23 144A | 750,000 | 772,339 | ||
Morgan Stanley | ||||
(Floating, ICE LIBOR USD 3M + 0.93%), 2.88%, 07/22/22† | 1,490,000 | 1,504,399 | ||
MPLX LP | ||||
(Floating, ICE LIBOR USD 3M + 0.90%), 2.79%, 09/09/21† | 925,000 | 927,926 | ||
NBCUniversal Enterprise, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 0.40%), 2.31%, 04/01/21 144A † | 1,275,000 | 1,278,494 | ||
NCR Corporation | ||||
6.38%, 12/15/23 | 1,100,000 | 1,129,794 | ||
New York Life Global Funding | ||||
(Floating, ICE LIBOR USD 3M + 0.44%), 2.44%, 07/12/22 144A † | 815,000 | 818,452 | ||
Newmark Group, Inc. | ||||
6.13%, 11/15/23 | 500,000 | 551,742 | ||
NGPL PipeCo LLC | ||||
4.38%, 08/15/22 144A | 1,029,000 | 1,069,455 | ||
Nielsen Co Luxembourg S.a.r.l. (The) | ||||
5.50%, 10/01/21 144A | 1,755,000 | 1,765,530 | ||
Occidental Petroleum Corporation | ||||
(Floating, ICE LIBOR USD 3M + 1.25%), 3.15%, 08/13/21† | 980,000 | 985,293 | ||
Owens-Brockway Glass Container, Inc. | ||||
5.00%, 01/15/22 144A | 500,000 | 519,885 | ||
Party City Holdings, Inc. | ||||
6.13%, 08/15/23 144A | 3,000,000 | 2,633,745 | ||
PBF Logistics LP | ||||
6.88%, 05/15/23 | 250,000 | 258,123 | ||
Penske Automotive Group, Inc. | ||||
5.75%, 10/01/22 | 2,250,000 | 2,286,547 | ||
5.38%, 12/01/24 | 400,000 | 412,666 | ||
Prime Security Services Borrower LLC | ||||
9.25%, 05/15/23 144A | 2,602,000 | 2,733,726 | ||
PulteGroup, Inc. | ||||
4.25%, 03/01/21 | 1,000,000 | 1,020,400 |
Par | Value | |||
Realogy Group LLC | ||||
5.25%, 12/01/21 144A | $2,675,000 | $2,707,769 | ||
Reynolds Group Issuer, Inc. | ||||
5.75%, 10/15/20 | 484,554 | 485,765 | ||
Sabine Pass Liquefaction LLC | ||||
5.63%, 02/01/21 | 250,000 | 257,017 | ||
SBA Communications Corporation REIT | ||||
4.88%, 07/15/22 | 1,500,000 | 1,521,420 | ||
Starwood Property Trust, Inc. REIT | ||||
3.63%, 02/01/21 | 1,250,000 | 1,261,438 | ||
Suburban Propane Partners LP | ||||
5.50%, 06/01/24 | 546,000 | 562,375 | ||
Sunoco LP | ||||
4.88%, 01/15/23 | 1,000,000 | 1,025,435 | ||
T-Mobile USA, Inc. | ||||
6.50%, 01/15/24 | 2,500,000 | 2,578,150 | ||
Toyota Motor Credit Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.54%), 2.57%, 01/08/21† | 1,350,000 | 1,355,819 | ||
UnitedHealth Group, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 0.26%), 2.15%, 06/15/21† | 1,000,000 | 1,001,499 | ||
Univision Communications, Inc. | ||||
6.75%, 09/15/22 144A | 400,000 | 407,125 | ||
Verizon Communications, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 1.00%), 2.89%, 03/16/22† | 1,400,000 | 1,423,842 | ||
Wells Fargo & Co. | ||||
(Floating, ICE LIBOR USD 3M + 1.11%), 3.05%, 01/24/23† | 1,400,000 | 1,418,866 | ||
Wolverine Escrow LLC | ||||
8.50%, 11/15/24 144A | 1,000,000 | 1,037,085 | ||
9.00%, 11/15/26 144A | 750,000 | 787,001 | ||
XPO Logistics, Inc. | ||||
6.75%, 08/15/24 144A | 500,000 | 544,218 | ||
Total Corporate Bonds (Cost $94,618,392) | 94,814,208 | |||
FOREIGN BONDS — 4.9% | ||||
Australia — 0.3% | ||||
National Australia Bank, Ltd. | ||||
(Floating, ICE LIBOR USD 3M + 1.00%), 3.00%, 07/12/21 144A † | 1,000,000 | 1,012,394 | ||
Canada — 1.3% | ||||
1011778 BC ULC | ||||
4.25%, 05/15/24 144A | 1,000,000 | 1,027,085 | ||
Bausch Health Cos., Inc. | ||||
7.00%, 03/15/24 144A | 2,500,000 | 2,605,212 | ||
Quebecor Media, Inc. | ||||
5.75%, 01/15/23 | 250,000 | 272,084 | ||
Royal Bank of Canada | ||||
(Floating, ICE LIBOR USD 3M + 0.73%), 2.64%, 02/01/22† | 1,000,000 | 1,010,448 | ||
4,914,829 |
Table of Contents
Par | Value | |||
China — 0.7% | ||||
Global Aircraft Leasing Co., Ltd. | ||||
Cash coupon 6.50% or PIK 7.25%, 09/15/24 144A | $1,500,000 | $1,568,925 | ||
Park Aerospace Holdings, Ltd. | ||||
5.25%, 08/15/22 144A | 1,000,000 | 1,068,212 | ||
2,637,137 | ||||
Ireland — 0.4% | ||||
Fly Leasing, Ltd. | ||||
6.38%, 10/15/21 | 1,500,000 | 1,530,937 | ||
Mexico — 0.1% | ||||
Mexican Bonos | ||||
7.50%, 06/03/27(M) | 4,131,600 | 227,154 | ||
8.50%, 11/18/38(M) | 2,135,500 | 128,872 | ||
356,026 | ||||
Netherlands — 0.3% | ||||
ABN AMRO Bank NV | ||||
(Floating, ICE LIBOR USD 3M + 0.57%), 2.49%, 08/27/21 144A † | 500,000 | 502,157 | ||
OCI NV | ||||
5.25%, 11/01/24 144A | 500,000 | 521,250 | ||
1,023,407 | ||||
Russia — 0.5% | ||||
Russian Federal Bond - OFZ | ||||
7.65%, 04/10/30(Q) | 106,610,000 | 1,897,196 | ||
7.25%, 05/10/34(Q) | 11,660,000 | 202,611 | ||
2,099,807 | ||||
United Kingdom — 1.3% | ||||
BP Capital Markets PLC | ||||
(Floating, ICE LIBOR USD 3M + 0.25%), 2.16%, 11/24/20† | 905,000 | 906,429 | ||
Connect Finco S.a.r.l. | ||||
6.75%, 10/01/26 144A | 2,000,000 | 2,132,500 | ||
eG Global Finance PLC | ||||
8.50%, 10/30/25 144A | 1,500,000 | 1,595,003 | ||
GlaxoSmithKline Capital PLC | ||||
(Floating, ICE LIBOR USD 3M + 0.35%), 2.26%, 05/14/21† | 580,000 | 581,269 | ||
5,215,201 | ||||
Total Foreign Bonds (Cost $18,350,717) | 18,789,738 | |||
LOAN AGREEMENTS — 1.4% | ||||
APX Group, Inc., Initial Loan | ||||
(Floating, ICE LIBOR USD 2M+ 5.00%), 6.84%, 04/01/24† | 986,420 | 989,192 | ||
(Floating, ICE PRIME USD 3M+ 4.00%), 8.75%, 04/01/24† | 1,080 | 1,083 | ||
Asurion LLC Replacement B-2 Term Loan | ||||
(Floating, ICE LIBOR USD 1M+ 6.50%), 8.30%, 08/04/25† | 3,000,000 | 3,043,875 |
Par | Value | |||
PetSmart, Inc. Amended Loan | ||||
(Floating, ICE LIBOR USD 1M+ 4.00%), 5.74%, 03/11/22† | $802,052 | $795,074 | ||
Whatabrands LLC Term B Loan | ||||
(Floating, ICE LIBOR USD 1M+ 3.25%), 4.94%, 08/02/26† | 498,750 | 502,224 | ||
Total Loan Agreements (Cost $5,261,024) | 5,331,448 | |||
MORTGAGE-BACKED SECURITIES — 2.3% | ||||
DBUBS, Series 2011-LC1A, Class A3 | ||||
5.00%, 11/10/46 144A | 279,542 | 283,733 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4248 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 4.26%, 09/15/43† IO | 588,242 | 90,470 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4286 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 4.26%, 12/15/43† IO | 349,323 | 48,870 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4320 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 4.36%, 07/15/39† IO | 1,686,827 | 283,063 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4468 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 4.36%, 05/15/45† IO | 585,842 | 102,905 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4583 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 4.26%, 05/15/46† IO | 1,444,135 | 263,071 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4792 | ||||
(Floating, 6.20% - ICE LIBOR USD 1M, 6.20% Cap), 4.46%, 05/15/48† IO | 1,671,183 | 219,606 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4936 | ||||
4.26%, 12/25/49† IO | 1,548,458 | 293,720 | ||
Federal National Mortgage Association REMIC, Series 2012-115 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 4.31%, 10/25/42† IO | 654,039 | 113,338 | ||
Federal National Mortgage Association REMIC, Series 2015-34 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 4.31%, 06/25/45† IO | 895,156 | 170,780 |
Table of Contents
Par | Value | |||
Federal National Mortgage Association REMIC, Series 2016-69 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 4.31%, 10/25/46† IO | $760,283 | $119,434 | ||
Federal National Mortgage Association REMIC, Series 2018-38 | ||||
(Floating, 6.20% - ICE LIBOR USD 1M, 6.20% Cap), 4.41%, 06/25/48† IO | 824,027 | 124,530 | ||
Federal National Mortgage Association REMIC, Series 2018-8 | ||||
(Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 4.36%, 02/25/48† IO | 713,456 | 106,759 | ||
Federal National Mortgage Association STRIP, Series 405 | ||||
(Floating, 5.05% - ICE LIBOR USD 1M, 5.05% Cap), 3.26%, 10/25/40† IO | 630,634 | 88,161 | ||
Government National Mortgage Association, Series 2010-101 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 4.24%, 08/20/40† IO | 294,619 | 53,026 | ||
Government National Mortgage Association, Series 2010-85 | ||||
(Floating, 5.94% - ICE LIBOR USD 1M, 5.94% Cap), 4.18%, 07/20/40† IO | 243,112 | 45,533 | ||
Government National Mortgage Association, Series 2015-110 | ||||
(Floating, 5.70% - ICE LIBOR USD 1M, 5.70% Cap), 3.94%, 08/20/45† IO | 334,373 | 50,589 | ||
(Floating, 5.71% - ICE LIBOR USD 1M, 5.71% Cap), 3.95%, 08/20/45† IO | 2,407,782 | 369,720 | ||
Government National Mortgage Association, Series 2015-57 | ||||
(Floating, 5.60% - ICE LIBOR USD 1M, 5.60% Cap), 3.84%, 04/20/45† IO | 1,455,464 | 207,038 | ||
Government National Mortgage Association, Series 2016-109 | ||||
4.00%, 10/20/45 IO | 286,150 | 37,211 | ||
Government National Mortgage Association, Series 2018-72 | ||||
4.00%, 04/20/46 IO | 1,260,234 | 196,324 | ||
Government National Mortgage Association, Series 2019-110 | ||||
4.34%, 09/20/49† IO | 1,657,780 | 243,940 | ||
Government National Mortgage Association, Series 2019-128 | ||||
4.00%, 10/20/49 IO | 1,292,915 | 211,580 | ||
Government National Mortgage Association, Series 2019-129 | ||||
3.50%, 10/20/49 IO | 1,093,663 | 195,062 |
Par | Value | |||
Government National Mortgage Association, Series 2019-98 | ||||
(Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 4.29%, 08/20/49† IO | $1,287,567 | $209,598 | ||
UBS Commercial Mortgage Trust, Series 2012-C1, Class AAB | ||||
3.00%, 05/10/45 | 720,492 | 724,752 | ||
Uniform Mortgage Backed Securities | ||||
3.00%, 01/01/50 TBA | 4,000,000 | 4,057,187 | ||
Total Mortgage-Backed Securities (Cost $8,583,715) | 8,910,000 |
Number of Contracts | Notional Amount | |||
PURCHASED OPTION — 0.0% | ||||
Call Option — 0.0% | ||||
Walgreens Boots Alliance, Inc., Strike Price $65.00, Expires 04/17/20 (CITI) (Premiums paid $16,185) | 75 | $442,200 | 8,100 |
Par | |||
U.S. TREASURY OBLIGATIONS — 19.0% | |||
U.S. Treasury Bills | |||
2.29%, 04/23/20Ω | $15,408,000 | 15,334,766 | |
1.82%, 07/16/20Ω | 15,374,000 | 15,245,830 | |
1.58%, 10/08/20Ω | 15,377,000 | 15,196,704 | |
1.46%, 12/03/20Ω | 10,718,000 | 10,570,082 | |
56,347,382 | |||
U.S. Treasury Notes | |||
(Floating, U.S. Treasury 3M Bill MMY + 0.00%), 1.53%, 01/31/20† | 2,500,000 | 2,499,940 | |
2.00%, 11/30/20 | 14,434,000 | 14,482,208 | |
16,982,148 | |||
Total U.S. Treasury Obligations (Cost $73,258,473) | 73,329,530 |
Shares | |||
COMMON STOCKS — 12.7% | |||
Communication Services — 1.8% | |||
AT&T, Inc. | 23,090 | 902,357 | |
Discovery, Inc. Class A‡ * | 24,098 | 788,969 | |
NII Holdings, Inc.* | 76,167 | 165,282 | |
T-Mobile US, Inc.* | 8,027 | 629,477 | |
ViacomCBS, Inc. Class B | 6,058 | 254,254 | |
Zayo Group Holdings, Inc.* | 118,293 | 4,098,853 | |
6,839,192 | |||
Consumer Discretionary — 1.4% | |||
Best Buy Co., Inc. | 1,576 | 138,373 |
Table of Contents
Shares | Value | |||
Capri Holdings, Ltd.* | 17,781 | $678,345 | ||
Hilton Grand Vacations, Inc.* | 8,749 | 300,878 | ||
Lennar Corporation Class A | 4,660 | 259,981 | ||
NIKE, Inc. Class B‡ | 11,126 | 1,127,175 | ||
O’Reilly Automotive, Inc.* | 1,413 | 619,261 | ||
Tiffany & Co. | 10,353 | 1,383,679 | ||
Wyndham Hotels & Resorts, Inc. | 11,849 | 744,236 | ||
5,251,928 | ||||
Consumer Staples — 0.3% | ||||
Procter & Gamble Co. (The) | 10,659 | 1,331,309 | ||
Energy — 1.1% | ||||
EOG Resources, Inc. | 3,245 | 271,801 | ||
Marathon Petroleum Corporation‡ | 10,929 | 658,472 | ||
Occidental Petroleum Corporation | 14,130 | 582,297 | ||
Tallgrass Energy LP Class A | 105,329 | 2,329,878 | ||
Valero Energy Corporation | 3,864 | 361,864 | ||
4,204,312 | ||||
Financials — 1.3% | ||||
Alberton Acquisition Corporation* | 33,070 | 342,274 | ||
Boxwood Merger Corporation Class A* | 42,034 | 424,543 | ||
Citigroup, Inc.‡‡ | 18,947 | 1,513,676 | ||
Fellazo, Inc.* | 16,530 | 164,639 | ||
GS Acquisition Holdings Corporation Class A* | 15,977 | 176,226 | ||
Legacy Acquisition Corporation Class A* | 47,513 | 487,958 | ||
Mosaic Acquisition Corporation Class A* | 22,828 | 234,786 | ||
Pure Acquisition Corporation* | 35,349 | 366,923 | ||
TD Ameritrade Holding Corporation | 29,284 | 1,455,415 | ||
Truist Financial Corporation | 1 | 46 | ||
5,166,486 | ||||
Health Care — 1.7% | ||||
Achillion Pharmaceuticals, Inc.* | 11,702 | 70,563 | ||
Audentes Therapeutics, Inc.* | 12,058 | 721,551 | ||
Bristol-Myers Squibb Co.‡‡ | 12,410 | 796,598 | ||
Diplomat Pharmacy, Inc.* | 15,607 | 62,428 | ||
Elanco Animal Health, Inc.* | 26,915 | 792,647 | ||
Envista Holdings Corporation‡ * | 33,628 | 996,747 | ||
Hologic, Inc.* | 4,154 | 216,880 | ||
Johnson & Johnson‡‡ | 7,713 | 1,125,095 | ||
Medicines Co. (The)* | 19,915 | 1,691,580 | ||
6,474,089 | ||||
Industrials — 1.0% | ||||
Aircastle, Ltd. | 27,208 | 870,928 | ||
Boeing Co. (The) | 1,540 | 501,671 | ||
Continental Building Products, Inc.* | 7,855 | 286,158 | ||
FedEx Corporation | 2,020 | 305,444 | ||
Jacobs Engineering Group, Inc. | 9,377 | 842,336 | ||
L3Harris Technologies, Inc. | 3,574 | 707,187 | ||
WESCO International, Inc.* | 3,718 | 220,812 | ||
3,734,536 | ||||
Information Technology — 3.0% | ||||
Apple, Inc. | 2,698 | 792,268 |
Shares | Value | |||
Cypress Semiconductor Corporation | 100,433 | $2,343,102 | ||
Fitbit, Inc. Class A* | 99,840 | 655,949 | ||
HP, Inc. | 64,316 | 1,321,694 | ||
Instructure, Inc.* | 4,973 | 239,748 | ||
LiveRamp Holdings, Inc.* | 5,767 | 277,220 | ||
Mastercard, Inc. Class A | 807 | 240,962 | ||
Microsoft Corporation‡‡ | 8,177 | 1,289,513 | ||
NortonLifeLock, Inc. | 14,135 | 360,725 | ||
PayPal Holdings, Inc.‡ * | 13,218 | 1,429,791 | ||
QUALCOMM, Inc.‡‡ ‡ | 28,089 | 2,478,292 | ||
11,429,264 | ||||
Materials — 0.8% | ||||
Allegheny Technologies, Inc.* | 7,681 | 158,689 | ||
Berry Global Group, Inc.* | 8,801 | 417,960 | ||
Crown Holdings, Inc.* | 4,217 | 305,901 | ||
Freeport-McMoRan, Inc. | 32,671 | 428,644 | ||
Huntsman Corporation | 56,874 | 1,374,076 | ||
Westrock Co. | 14,111 | 605,503 | ||
3,290,773 | ||||
Real Estate — 0.2% | ||||
Equinix, Inc. REIT | 458 | 267,335 | ||
Weyerhaeuser Co. REIT | 21,259 | 642,022 | ||
909,357 | ||||
Utilities — 0.1% | ||||
El Paso Electric Co. | 8,051 | 546,582 | ||
Total Common Stocks (Cost $47,326,728) | 49,177,828 | |||
FOREIGN COMMON STOCKS — 1.4% | ||||
Canada — 0.1% | ||||
Canfor Corporation* | 7,499 | 70,107 | ||
Continental Gold, Inc.* | 94,121 | 387,777 | ||
457,884 | ||||
Germany — 0.2% | ||||
Siemens AG | 4,632 | 607,899 | ||
Netherlands — 1.1% | ||||
Fiat Chrysler Automobiles NV | 21,982 | 322,915 | ||
Mylan NV* | 22,169 | 445,597 | ||
NXP Semiconductor NV‡‡ | 7,136 | 908,127 | ||
QIAGEN NV* | 8,852 | 299,198 | ||
Wright Medical Group NV* | 77,485 | 2,361,743 | ||
4,337,580 | ||||
Total Foreign Common Stocks (Cost $5,203,631) | 5,403,363 | |||
RIGHTS — 0.0% | ||||
Alder Biopharmaceuticals, Inc.††† * | 3,505 | 7,010 | ||
Bristol-Myers Squibb Co.‡‡ * | 52,140 | 156,941 | ||
Total Rights (Cost $127,993) | 163,951 | |||
MUTUAL FUNDS — 0.8% | ||||
Altaba, Inc.Ψ ††† * | 67,544 | 1,325,889 | ||
SPDR S&P Regional Banking ETF | 27,338 | 1,592,438 | ||
Total Mutual Funds (Cost $2,868,148) | 2,918,327 |
Table of Contents
Shares | Value | |||
MONEY MARKET FUNDS — 27.7% | ||||
GuideStone Money Market Fund, 1.53% (Institutional Class)Ø ∞ | 48,154,387 | $48,154,387 | ||
Northern Institutional U.S. Government Portfolio (Shares), 1.48%Ø | 58,823,299 | 58,823,299 | ||
Total Money Market Funds (Cost $106,977,686) | 106,977,686 | |||
TOTAL INVESTMENTS —98.5% (Cost $376,665,554) | 379,917,823 | |||
COMMON STOCKS SOLD SHORT — (4.1)% | ||||
Communication Services — (0.4)% | ||||
Comcast Corporation Class A | (11,961) | (537,886) | ||
Facebook, Inc. Class A * | (3,442) | (706,470) | ||
Roku, Inc. * | (1,984) | (265,658) | ||
(1,510,014) | ||||
Consumer Discretionary — (0.4)% | ||||
Lear Corporation | (2,572) | (352,878) | ||
Marriott International, Inc. Class A | (3,060) | (463,376) | ||
Starbucks Corporation | (7,217) | (634,519) | ||
(1,450,773) | ||||
Consumer Staples — (0.2)% | ||||
Clorox Co. (The) | (1,714) | (263,167) | ||
Coca-Cola Co. (The) | (5,671) | (313,890) | ||
(577,057) | ||||
Financials — (0.4)% | ||||
Charles Schwab Corporation (The) | (31,410) | (1,493,860) | ||
Health Care — (0.5)% | ||||
CVS Health Corporation | (11,168) | (829,671) | ||
Danaher Corporation | (4,238) | (650,448) | ||
Humana, Inc. ‡‡ | (699) | (256,197) | ||
Thermo Fisher Scientific, Inc. | (1,148) | (372,951) | ||
(2,109,267) | ||||
Industrials — (0.4)% | ||||
Deere & Co. | (1,800) | (311,868) | ||
General Electric Co. | (32,564) | (363,414) | ||
IDEX Corporation | (1,314) | (226,008) | ||
Illinois ToolWorks, Inc. | (2,957) | (531,166) | ||
United Parcel Service, Inc. Class B | (2,188) | (256,127) | ||
(1,688,583) | ||||
Information Technology — (1.1)% | ||||
Applied Materials, Inc. | (8,558) | (522,380) | ||
Fiserv, Inc. * | (7,501) | (867,341) | ||
Intel Corporation | (21,515) | (1,287,673) | ||
Oracle Corporation | (9,770) | (517,615) | ||
Square, Inc. Class A * | (4,126) | (258,122) | ||
Texas Instruments, Inc. | (5,761) | (739,079) | ||
(4,192,210) | ||||
Materials — (0.3)% | ||||
Dow, Inc. | (13,713) | (750,513) | ||
International Paper Co. | (6,699) | (308,489) | ||
(1,059,002) |
Shares | Value | |||
Real Estate — (0.4)% | ||||
American Tower Corporation REIT | (5,177) | $(1,189,778) | ||
Kimco Realty Corporation REIT | (17,276) | (357,786) | ||
(1,547,564) | ||||
Total Common Stocks Sold Short (Proceeds $(15,360,357)) | (15,628,330) | |||
FOREIGN COMMON STOCKS SOLD SHORT — (0.2)% | ||||
China — (0.1)% | ||||
Alibaba Group Holding, Ltd. ADR * | (1,678) | (355,904) | ||
Ireland — (0.1)% | ||||
Johnson Controls International PLC | (7,271) | (296,002) | ||
Taiwan — (0.0)% | ||||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | (4,203) | (244,194) | ||
Total Foreign Common Stocks Sold Short (Proceeds $(891,884)) | (896,100) | |||
MUTUAL FUNDS SOLD SHORT — (3.0)% | ||||
Consumer Staples Select SPDR Fund | (23,007) | (1,448,981) | ||
Energy Select Sector SPDR Fund | (6,058) | (363,722) | ||
Health Care Select Sector SPDR Fund | (8,840) | (900,442) | ||
Industrial Select Sector SPDR Fund | (22,948) | (1,869,574) | ||
iShares Expanded Tech-Software Sector ETF | (3,192) | (743,864) | ||
iShares Russell 2000 ETF | (1,635) | (270,870) | ||
iShares U.S. Real Estate ETF | (8,164) | (759,905) | ||
SPDR S&P500 ETF Trust | (15,757) | (5,071,548) | ||
Total Mutual Funds Sold Short (Proceeds $(11,218,405)) | (11,428,906) | |||
TOTAL SECURITIES SOLD SHORT —(7.3)% (Cost $(27,470,646)) | (27,953,336) |
Number of Contracts | Notional Amount | |||
WRITTEN OPTIONS — (0.1)% | ||||
Call Options — (0.0)% | ||||
QUALCOMM, Inc., Strike Price $90.00, Expires 01/17/20 (CITI) | (273) | $(2,408,679) | (32,214) | |
Discovery, Inc., Strike Price $32.50, Expires 01/17/20 (CITI) | (241) | (789,034) | (20,967) | |
Envista Holdings Corporation, Strike Price $29.00, Expires 01/17/20 (CITI) | (98) | (290,472) | (11,515) | |
Marathon Petroleum Corporation, Strike Price $62.50, Expires 01/17/20 (CITI) | (52) | (313,300) | (3,900) | |
NIKE, Inc., Strike Price $100.00, Expires 01/17/20 (CITI) | (111) | (1,124,541) | (25,919) |
Table of Contents
Number of Contracts | Notional Amount | Value | |||
Paypal Holdings, Inc., Strike Price $105.00, Expires 01/17/20 (CITI) | (83) | $(897,811) | $(34,445) | ||
Walgreens Boots Alliance, Inc., Strike Price $75.00, Expires 04/17/20 (CITI) | (75) | (442,200) | (450) | ||
(129,410) | |||||
Put Options — (0.1)% | |||||
S&P 500®, Strike Price $3,015.00, Expires 01/08/20 (MSCS) | (21) | (6,784,638) | (2,562) | ||
S&P 500®, Strike Price $3,080.00, Expires 01/10/20 (MSCS) | (20) | (6,461,560) | (5,950) | ||
S&P 500®, Strike Price $3,095.00, Expires 01/29/20 (MSCS) | (19) | (6,138,482) | (23,465) | ||
S&P 500®, Strike Price $3,105.00, Expires 01/15/20 (MSCS) | (16) | (5,169,248) | (9,280) | ||
S&P 500®, Strike Price $3,110.00, Expires 01/13/20 (MSCS) | (19) | (6,138,482) | (8,740) |
Number of Contracts | Notional Amount | Value | |||
S&P 500®, Strike Price $3,110.00, Expires 01/27/20 (MSCS) | (21) | $(6,784,638) | $(25,305) | ||
S&P 500®, Strike Price $3,125.00, Expires 01/22/20 (MSCS) | (19) | (6,138,482) | (20,615) | ||
S&P 500®, Strike Price $3,130.00, Expires 01/21/20 (MSCS) | (18) | (5,815,404) | (18,630) | ||
S&P 500®, Strike Price $3,135.00, Expires 01/17/20 (MSCS) | (17) | (5,492,326) | (16,235) | ||
S&P 500®, Strike Price $3,135.00, Expires 01/24/20 (MSCS) | (19) | (6,138,482) | (25,935) | ||
(156,717) | |||||
Total Written Options (Premiums received $ (423,569)) | (286,127) | ||||
Other Assets in Excess of Liabilities — 8.9% | 34,414,288 | ||||
NET ASSETS — 100.0% | $386,092,648 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
Euro-Bobl | 03/2020 | (1) | $(149,893) | $382 | ||||
10-Year Japanese Treasury Bond | 03/2020 | 3 | 4,201,739 | (1,233) | ||||
10-Year Commonwealth Treasury Bond | 03/2020 | 1 | 100,321 | (606) | ||||
3-Year Australian Bond | 03/2020 | 1 | 80,711 | (113) | ||||
10-Year U.S. Treasury Note | 03/2020 | 164 | 21,061,188 | (100,791) | ||||
U.S. Treasury Long Bond | 03/2020 | 6 | 935,438 | (15,414) | ||||
Ultra 10-Year U.S. Treasury Note | 03/2020 | (61) | (8,582,891) | 127,270 | ||||
Ultra Long U.S. Treasury Bond | 03/2020 | 45 | 8,174,531 | (241,488) | ||||
2-Year U.S. Treasury Note | 03/2020 | (208) | (44,824,000) | 27,334 | ||||
5-Year U.S. Treasury Note | 03/2020 | 8 | 948,875 | 2,628 | ||||
Total Futures Contracts outstanding at December 31, 2019 | $(18,053,981) | $(202,031) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
01/22/20 | Swedish Kronor | 365,733,259 | U.S. Dollars | 37,297,539 | SS | $1,793,117 | ||||||
01/22/20 | New Zealand Dollars | 40,460,047 | U.S. Dollars | 25,642,708 | GSC | 1,604,194 | ||||||
01/22/20 | British Pounds | 16,018,571 | U.S. Dollars | 19,654,450 | JPM | 1,577,612 |
Table of Contents
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
01/22/20 | Australian Dollars | 52,088,947 | U.S. Dollars | 35,249,514 | GSC | $1,324,913 | ||||||
01/22/20 | New Zealand Dollars | 27,319,443 | U.S. Dollars | 17,306,903 | CITI | 1,090,757 | ||||||
01/22/20 | Norwegian Kroner | 220,968,580 | U.S. Dollars | 24,200,170 | GSC | 971,728 | ||||||
01/22/20 | British Pounds | 6,699,645 | U.S. Dollars | 8,209,417 | RBC | 670,731 | ||||||
01/22/20 | Norwegian Kroner | 141,030,073 | U.S. Dollars | 15,448,609 | CITI | 617,000 | ||||||
01/22/20 | Swedish Kronor | 100,239,643 | U.S. Dollars | 10,198,588 | RBC | 515,323 | ||||||
01/22/20 | Canadian Dollars | 29,669,394 | U.S. Dollars | 22,342,649 | GSC | 508,156 | ||||||
01/22/20 | Euro | 29,291,208 | U.S. Dollars | 32,420,505 | JPM | 481,842 | ||||||
01/22/20 | British Pounds | 5,411,393 | U.S. Dollars | 6,713,042 | SS | 459,573 | ||||||
01/22/20 | Canadian Dollars | 24,126,242 | U.S. Dollars | 18,199,654 | CITI | 381,921 | ||||||
01/22/20 | Norwegian Kroner | 71,431,464 | U.S. Dollars | 7,823,123 | RBC | 314,077 | ||||||
01/22/20 | Swedish Kronor | 67,785,753 | U.S. Dollars | 6,933,977 | SC | 311,165 | ||||||
01/22/20 | Australian Dollars | 17,828,291 | U.S. Dollars | 12,238,082 | CITI | 280,112 | ||||||
01/22/20 | Swiss Francs | 12,300,093 | U.S. Dollars | 12,503,013 | CITI | 226,781 | ||||||
01/22/20 | South African Rand | 43,207,022 | U.S. Dollars | 2,861,863 | GSC | 213,742 | ||||||
01/22/20 | U.S. Dollars | 9,796,183 | Japanese Yen | 1,040,188,090 | RBC | 210,954 | ||||||
03/18/20 | Norwegian Kroner | 43,369,076 | U.S. Dollars | 4,742,402 | MSCS | 198,654 | ||||||
01/22/20 | Brazilian Reals | 30,293,297 | U.S. Dollars | 7,349,203 | GSC | 176,584 | ||||||
01/22/20 | Mexican Pesos | 75,694,576 | U.S. Dollars | 3,821,878 | SS | 167,629 | ||||||
01/22/20 | Euro | 9,404,476 | U.S. Dollars | 10,405,549 | SC | 158,350 | ||||||
01/27/20 | Russian Rubles | 241,116,315 | U.S. Dollars | 3,761,886 | MSCS | 109,537 | ||||||
01/22/20 | U.S. Dollars | 4,964,800 | Japanese Yen | 526,901,776 | JPM | 109,452 | ||||||
01/22/20 | South African Rand | 16,957,298 | U.S. Dollars | 1,098,769 | CITI | 108,302 | ||||||
01/03/20 | Brazilian Reals | 8,427,724 | U.S. Dollars | 2,017,523 | MSCS | 77,336 | ||||||
03/18/20 | Mexican Pesos | 60,251,852 | U.S. Dollars | 3,073,782 | MSCS | 76,001 | ||||||
01/22/20 | Mexican Pesos | 65,642,807 | U.S. Dollars | 3,383,987 | GSC | 75,738 | ||||||
03/05/20 | Egyptian Pounds | 7,312,805 | U.S. Dollars | 379,000 | MSCS | 71,747 | ||||||
01/22/20 | New Zealand Dollars | 1,853,058 | U.S. Dollars | 1,176,241 | SC | 71,659 | ||||||
01/22/20 | British Pounds | 1,589,776 | U.S. Dollars | 2,036,864 | GSC | 70,329 | ||||||
03/18/20 | Norwegian Kroner | 24,758,317 | Euro | 2,440,105 | MSCS | 70,175 | ||||||
01/22/20 | South Korean Won | 2,698,242,451 | U.S. Dollars | 2,265,907 | CITI | 69,527 | ||||||
01/22/20 | Polish Zloty | 6,573,235 | U.S. Dollars | 1,668,630 | CITI | 64,084 | ||||||
01/22/20 | Swedish Kronor | 20,985,988 | U.S. Dollars | 2,180,260 | GSC | 62,784 | ||||||
01/22/20 | Euro | 6,439,706 | U.S. Dollars | 7,171,017 | CITI | 62,603 | ||||||
03/18/20 | Polish Zloty | 12,782,613 | U.S. Dollars | 3,312,076 | MSCS | 57,830 | ||||||
01/22/20 | Czech Republic Koruna | 40,386,343 | U.S. Dollars | 1,724,144 | SS | 57,338 | ||||||
01/22/20 | Hungarian Forint | 683,679,523 | U.S. Dollars | 2,266,228 | GSC | 53,468 | ||||||
02/25/20 | South Korean Won | 2,320,746,455 | U.S. Dollars | 1,962,017 | MSCS | 47,895 | ||||||
03/18/20 | Czech Republic Koruna | 78,646,124 | U.S. Dollars | 3,427,504 | MSCS | 42,336 | ||||||
01/22/20 | U.S. Dollars | 3,089,761 | Japanese Yen | 330,935,771 | SS | 40,221 | ||||||
01/22/20 | Czech Republic Koruna | 27,372,394 | U.S. Dollars | 1,167,266 | CITI | 40,157 | ||||||
01/22/20 | Euro | 6,308,821 | U.S. Dollars | 7,046,554 | SS | 40,044 | ||||||
02/20/20 | Euro | 2,159,400 | U.S. Dollars | 2,391,235 | MSCS | 38,712 | ||||||
01/22/20 | Swedish Kronor | 17,466,842 | U.S. Dollars | 1,829,813 | CITI | 37,095 | ||||||
01/22/20 | U.S. Dollars | 1,681,123 | Turkish Lira | 9,870,378 | RBC | 31,633 | ||||||
03/18/20 | Euro | 2,821,683 | U.S. Dollars | 3,155,121 | MSCS | 25,552 | ||||||
01/22/20 | U.S. Dollars | 4,707,391 | Japanese Yen | 508,097,026 | CITI | 25,327 | ||||||
01/22/20 | Swiss Francs | 1,248,462 | U.S. Dollars | 1,267,940 | SS | 24,137 | ||||||
03/18/20 | Canadian Dollars | 2,739,055 | U.S. Dollars | 2,085,831 | MSCS | 24,065 | ||||||
01/22/20 | Euro | 1,529,971 | U.S. Dollars | 1,698,109 | GSC | 20,483 | ||||||
03/18/20 | New Zealand Dollars | 1,651,259 | U.S. Dollars | 1,092,465 | MSCS | 20,426 | ||||||
02/03/20 | Indian Rupees | 175,647,549 | U.S. Dollars | 2,437,893 | MSCS | 20,335 | ||||||
03/18/20 | Australian Dollars | 1,709,516 | U.S. Dollars | 1,181,972 | MSCS | 20,014 | ||||||
02/14/20 | Swedish Kronor | 12,550,416 | U.S. Dollars | 1,323,012 | MSCS | 19,878 | ||||||
03/18/20 | Hungarian Forint | 498,526,426 | U.S. Dollars | 1,677,693 | MSCS | 18,520 | ||||||
03/18/20 | Chinese Offshore Yuan | 17,697,286 | U.S. Dollars | 2,520,661 | MSCS | 17,047 |
Table of Contents
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
02/12/20 | British Pounds | 521,507 | U.S. Dollars | 675,725 | MSCS | $15,910 | ||||||
01/22/20 | Australian Dollars | 889,242 | U.S. Dollars | 611,307 | RBC | 13,078 | ||||||
02/04/20 | Colombian Pesos | 2,381,972,959 | U.S. Dollars | 710,794 | MSCS | 12,861 | ||||||
01/22/20 | Canadian Dollars | 677,210 | U.S. Dollars | 509,238 | SC | 12,336 | ||||||
01/29/20 | New Zealand Dollars | 306,327 | U.S. Dollars | 194,336 | MSCS | 11,975 | ||||||
02/04/20 | Brazilian Reals | 4,157,317 | U.S. Dollars | 1,022,163 | MSCS | 10,166 | ||||||
03/18/20 | Singapore Dollars | 1,640,890 | U.S. Dollars | 1,211,322 | MSCS | 9,660 | ||||||
01/29/20 | South African Rand | 2,257,049 | U.S. Dollars | 150,861 | MSCS | 9,648 | ||||||
03/18/20 | U.S. Dollars | 678,825 | Turkish Lira | 4,068,704 | MSCS | 8,233 | ||||||
01/22/20 | Japanese Yen | 135,933,280 | U.S. Dollars | 1,244,514 | CITI | 8,098 | ||||||
03/18/20 | Swiss Francs | 1,035,067 | Euro | 947,158 | MSCS | 7,826 | ||||||
03/18/20 | Swiss Francs | 394,799 | U.S. Dollars | 404,051 | MSCS | 6,164 | ||||||
01/22/20 | Czech Republic Koruna | 25,939,491 | U.S. Dollars | 1,139,096 | GSC | 5,121 | ||||||
01/16/20 | Polish Zloty | 1,409,464 | U.S. Dollars | 366,426 | MSCS | 5,103 | ||||||
03/18/20 | Israeli Shekels | 1,843,385 | U.S. Dollars | 531,021 | MSCS | 5,068 | ||||||
02/06/20 | Swiss Francs | 232,010 | U.S. Dollars | 235,473 | MSCS | 4,896 | ||||||
01/29/20 | Australian Dollars | 328,095 | U.S. Dollars | 225,788 | MSCS | 4,627 | ||||||
01/13/20 | Czech Republic Koruna | 8,339,741 | U.S. Dollars | 363,349 | MSCS | 4,525 | ||||||
02/14/20 | Norwegian Kroner | 1,254,507 | U.S. Dollars | 138,466 | MSCS | 4,453 | ||||||
01/21/20 | U.S. Dollars | 1,872,545 | Indian Rupees | 133,434,435 | MSCS | 4,001 | ||||||
01/22/20 | Japanese Yen | 319,219,823 | U.S. Dollars | 2,937,670 | SS | 3,909 | ||||||
01/22/20 | Turkish Lira | 3,231,531 | U.S. Dollars | 536,220 | SS | 3,818 | ||||||
03/18/20 | South African Rand | 4,361,306 | U.S. Dollars | 304,397 | MSCS | 3,792 | ||||||
01/22/20 | South Korean Won | 1,370,634,721 | U.S. Dollars | 1,183,009 | GSC | 3,328 | ||||||
03/18/20 | Swedish Kronor | 1,916,073 | U.S. Dollars | 202,063 | MSCS | 3,280 | ||||||
01/22/20 | U.S. Dollars | 2,309,384 | South Korean Won | 2,664,523,220 | GSC | 3,135 | ||||||
01/22/20 | Turkish Lira | 3,309,827 | U.S. Dollars | 550,171 | GSC | 2,952 | ||||||
01/21/20 | Indian Rupees | 40,559,611 | U.S. Dollars | 565,417 | MSCS | 2,559 | ||||||
01/22/20 | U.S. Dollars | 57,279 | Chilean Pesos | 41,320,643 | GSC | 2,312 | ||||||
03/18/20 | Swiss Francs | 761,866 | British Pounds | 594,670 | MSCS | 2,217 | ||||||
01/22/20 | U.S. Dollars | 1,044,357 | Japanese Yen | 113,103,502 | GSC | 2,119 | ||||||
03/18/20 | Canadian Dollars | 766,425 | Euro | 522,015 | MSCS | 1,950 | ||||||
01/21/20 | U.S. Dollars | 532,583 | Chilean Pesos | 398,944,167 | MSCS | 1,887 | ||||||
03/18/20 | Swiss Francs | 185,925 | Japanese Yen | 20,743,100 | MSCS | 1,424 | ||||||
03/18/20 | New Zealand Dollars | 308,127 | Canadian Dollars | 267,833 | MSCS | 1,354 | ||||||
03/18/20 | Japanese Yen | 21,959,234 | U.S. Dollars | 201,877 | MSCS | 1,127 | ||||||
01/21/20 | Indonesian Rupiahs | 1,337,887,381 | U.S. Dollars | 95,427 | MSCS | 1,011 | ||||||
03/18/20 | Euro | 180,109 | Hungarian Forint | 59,415,391 | MSCS | 865 | ||||||
01/29/20 | Singapore Dollars | 103,302 | U.S. Dollars | 76,044 | MSCS | 781 | ||||||
03/18/20 | Hungarian Forint | 92,090,471 | Euro | 277,316 | MSCS | 735 | ||||||
03/18/20 | U.S. Dollars | 189,917 | Mexican Pesos | 3,619,485 | MSCS | 701 | ||||||
03/18/20 | British Pounds | 152,044 | U.S. Dollars | 201,178 | MSCS | 654 | ||||||
02/04/20 | U.S. Dollars | 188,586 | Colombian Pesos | 618,898,369 | MSCS | 561 | ||||||
03/18/20 | Canadian Dollars | 249,012 | Swiss Francs | 184,393 | MSCS | 220 | ||||||
03/18/20 | Australian Dollars | 274,535 | Euro | 171,072 | MSCS | 192 | ||||||
01/13/20 | U.S. Dollars | 184,060 | Hungarian Forint | 54,216,000 | MSCS | 191 | ||||||
02/04/20 | U.S. Dollars | 89,679 | Brazilian Reals | 360,600 | MSCS | 136 | ||||||
02/05/20 | Japanese Yen | 11,440,110 | U.S. Dollars | 105,384 | MSCS | 119 | ||||||
03/18/20 | Euro | 72,258 | Canadian Dollars | 105,666 | MSCS | 57 | ||||||
02/25/20 | U.S. Dollars | 122,495 | South Korean Won | 141,396,013 | MSCS | 37 | ||||||
Subtotal Appreciation | $16,287,874 | |||||||||||
03/18/20 | U.S. Dollars | 190,036 | Turkish Lira | 1,153,936 | MSCS | $(152) | ||||||
01/13/20 | Hungarian Forint | 56,351,309 | U.S. Dollars | 191,310 | MSCS | (199) | ||||||
03/18/20 | Chinese Offshore Yuan | 2,802,634 | U.S. Dollars | 402,146 | MSCS | (262) | ||||||
01/29/20 | U.S. Dollars | 69,037 | Hong Kong Dollars | 540,474 | MSCS | (300) |
Table of Contents
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
02/05/20 | U.S. Dollars | 153,803 | Japanese Yen | 16,710,338 | MSCS | $(302) | ||||||
01/22/20 | Euro | 1,137,408 | U.S. Dollars | 1,277,958 | CITI | (325) | ||||||
03/18/20 | Australian Dollars | 272,032 | Canadian Dollars | 249,070 | MSCS | (590) | ||||||
03/18/20 | Hungarian Forint | 120,364,654 | Euro | 363,942 | MSCS | (710) | ||||||
01/22/20 | New Zealand Dollars | 653,815 | U.S. Dollars | 441,090 | CITI | (793) | ||||||
01/21/20 | U.S. Dollars | 201,049 | Indian Rupees | 14,427,451 | MSCS | (986) | ||||||
01/29/20 | U.S. Dollars | 67,442 | Australian Dollars | 98,000 | MSCS | (1,382) | ||||||
01/22/20 | Turkish Lira | 3,329,840 | U.S. Dollars | 557,884 | RBC | (1,417) | ||||||
03/18/20 | Euro | 726,190 | Polish Zloty | 3,111,497 | MSCS | (1,710) | ||||||
01/13/20 | U.S. Dollars | 80,555 | Israeli Shekels | 284,000 | MSCS | (1,740) | ||||||
03/18/20 | Australian Dollars | 607,576 | Norwegian Kroner | 3,766,588 | MSCS | (1,934) | ||||||
01/21/20 | Indian Rupees | 27,858,433 | U.S. Dollars | 392,106 | MSCS | (1,992) | ||||||
03/18/20 | U.S. Dollars | 201,988 | Hungarian Forint | 59,994,992 | MSCS | (2,143) | ||||||
01/22/20 | Chilean Pesos | 41,327,274 | U.S. Dollars | 57,377 | CITI | (2,401) | ||||||
02/14/20 | U.S. Dollars | 55,479 | Norwegian Kroner | 509,143 | MSCS | (2,525) | ||||||
03/18/20 | Euro | 512,106 | British Pounds | 436,872 | MSCS | (2,669) | ||||||
03/18/20 | Japanese Yen | 21,905,660 | Euro | 182,042 | MSCS | (2,694) | ||||||
03/18/20 | Canadian Dollars | 266,096 | Norwegian Kroner | 1,823,207 | MSCS | (2,745) | ||||||
01/21/20 | U.S. Dollars | 202,121 | Chilean Pesos | 154,158,243 | MSCS | (2,948) | ||||||
03/18/20 | Euro | 1,000,408 | Czech Republic Koruna | 25,635,478 | MSCS | (3,342) | ||||||
03/18/20 | Japanese Yen | 194,703,218 | U.S. Dollars | 1,803,321 | MSCS | (3,372) | ||||||
03/18/20 | Japanese Yen | 21,970,063 | Australian Dollars | 293,946 | MSCS | (3,574) | ||||||
03/18/20 | Swedish Kronor | 8,982,109 | Euro | 857,381 | MSCS | (3,861) | ||||||
02/06/20 | Turkish Lira | 883,326 | U.S. Dollars | 151,019 | MSCS | (3,956) | ||||||
03/18/20 | U.S. Dollars | 311,599 | Thai Baht | 9,437,100 | MSCS | (4,041) | ||||||
01/13/20 | U.S. Dollars | 307,731 | Czech Republic Koruna | 7,072,950 | MSCS | (4,264) | ||||||
03/18/20 | British Pounds | 154,085 | Canadian Dollars | 271,212 | MSCS | (4,374) | ||||||
02/06/20 | U.S. Dollars | 216,180 | Swiss Francs | 213,000 | MSCS | (4,495) | ||||||
01/29/20 | U.S. Dollars | 70,775 | South African Rand | 1,058,865 | MSCS | (4,526) | ||||||
03/18/20 | British Pounds | 305,432 | Euro | 363,934 | MSCS | (4,786) | ||||||
01/16/20 | U.S. Dollars | 369,664 | Polish Zloty | 1,421,355 | MSCS | (4,999) | ||||||
01/22/20 | Japanese Yen | 111,937,221 | U.S. Dollars | 1,037,404 | RBC | (5,914) | ||||||
01/30/20 | U.S. Dollars | 396,566 | Canadian Dollars | 522,813 | MSCS | (6,112) | ||||||
01/29/20 | U.S. Dollars | 101,611 | New Zealand Dollars | 160,167 | MSCS | (6,262) | ||||||
03/18/20 | British Pounds | 153,049 | Swiss Francs | 201,689 | MSCS | (6,399) | ||||||
03/18/20 | British Pounds | 309,729 | U.S. Dollars | 418,699 | MSCS | (7,547) | ||||||
02/04/20 | U.S. Dollars | 923,516 | Brazilian Reals | 3,751,368 | MSCS | (8,009) | ||||||
01/22/20 | U.S. Dollars | 480,302 | Canadian Dollars | 636,213 | SC | (9,697) | ||||||
01/22/20 | U.S. Dollars | 621,871 | Swedish Kronor | 5,913,681 | SC | (10,201) | ||||||
02/25/20 | U.S. Dollars | 1,185,853 | South Korean Won | 1,381,486,052 | MSCS | (10,600) | ||||||
03/18/20 | U.S. Dollars | 1,928,957 | Euro | 1,721,811 | MSCS | (11,912) | ||||||
02/14/20 | U.S. Dollars | 339,959 | Mexican Pesos | 6,726,746 | MSCS | (13,387) | ||||||
03/18/20 | Swedish Kronor | 3,792,165 | Norwegian Kroner | 3,686,025 | MSCS | (13,548) | ||||||
03/18/20 | U.S. Dollars | 1,125,003 | British Pounds | 858,061 | MSCS | (14,037) | ||||||
01/22/20 | U.S. Dollars | 574,745 | Hungarian Forint | 173,640,910 | SS | (14,411) | ||||||
01/22/20 | U.S. Dollars | 1,141,718 | Czech Republic Koruna | 26,220,703 | SS | (14,903) | ||||||
02/12/20 | U.S. Dollars | 654,881 | British Pounds | 506,301 | MSCS | (16,586) | ||||||
03/18/20 | U.S. Dollars | 1,155,618 | Mexican Pesos | 22,423,013 | MSCS | (16,588) | ||||||
03/18/20 | U.S. Dollars | 3,679,032 | Israeli Shekels | 12,708,825 | MSCS | (16,923) | ||||||
01/22/20 | U.S. Dollars | 572,745 | South Korean Won | 682,482,511 | SS | (17,971) | ||||||
01/22/20 | U.S. Dollars | 499,977 | Mexican Pesos | 9,852,541 | SC | (19,305) | ||||||
03/18/20 | Euro | 717,039 | Norwegian Kroner | 7,283,210 | MSCS | (21,513) | ||||||
01/22/20 | U.S. Dollars | 1,481,485 | Canadian Dollars | 1,951,685 | CITI | (21,666) | ||||||
02/14/20 | U.S. Dollars | 1,344,867 | Swedish Kronor | 12,771,935 | MSCS | (21,725) | ||||||
03/18/20 | U.S. Dollars | 1,268,406 | Singapore Dollars | 1,734,570 | MSCS | (22,284) | ||||||
01/22/20 | U.S. Dollars | 2,337,743 | Canadian Dollars | 3,067,446 | GSC | (24,745) |
Table of Contents
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
02/24/20 | U.S. Dollars | 1,905,263 | Taiwan Dollars | 57,512,253 | MSCS | $(25,626) | ||||||
01/22/20 | U.S. Dollars | 1,043,315 | Mexican Pesos | 20,306,049 | RBC | (26,921) | ||||||
01/22/20 | U.S. Dollars | 1,803,476 | Czech Republic Koruna | 41,538,136 | GSC | (28,812) | ||||||
03/18/20 | U.S. Dollars | 767,027 | South African Rand | 11,330,832 | MSCS | (33,661) | ||||||
01/22/20 | U.S. Dollars | 2,184,527 | Euro | 1,974,908 | RBC | (33,856) | ||||||
02/20/20 | U.S. Dollars | 2,192,166 | Euro | 1,979,631 | MSCS | (35,489) | ||||||
01/22/20 | U.S. Dollars | 740,656 | New Zealand Dollars | 1,154,119 | GSC | (36,559) | ||||||
03/18/20 | U.S. Dollars | 3,011,226 | Chinese Offshore Yuan | 21,262,559 | MSCS | (37,725) | ||||||
01/22/20 | U.S. Dollars | 1,731,287 | Brazilian Reals | 7,130,347 | GSC | (40,111) | ||||||
01/22/20 | U.S. Dollars | 2,582,898 | Canadian Dollars | 3,407,273 | RBC | (41,319) | ||||||
01/22/20 | U.S. Dollars | 1,684,463 | Hungarian Forint | 510,055,302 | CITI | (46,133) | ||||||
03/18/20 | Turkish Lira | 12,027,943 | U.S. Dollars | 2,032,777 | MSCS | (50,371) | ||||||
01/22/20 | U.S. Dollars | 545,357 | South African Rand | 8,384,475 | SS | (51,475) | ||||||
01/22/20 | U.S. Dollars | 1,741,295 | South Korean Won | 2,072,967,745 | GSC | (52,939) | ||||||
03/18/20 | U.S. Dollars | 3,514,076 | Swedish Kronor | 33,289,490 | MSCS | (53,517) | ||||||
01/03/20 | U.S. Dollars | 2,040,879 | Brazilian Reals | 8,427,724 | MSCS | (53,982) | ||||||
01/22/20 | U.S. Dollars | 1,114,512 | Swedish Kronor | 10,954,941 | JPM | (56,384) | ||||||
03/05/20 | U.S. Dollars | 393,479 | Egyptian Pounds | 7,312,805 | MSCS | (57,269) | ||||||
01/22/20 | Japanese Yen | 550,851,094 | U.S. Dollars | 5,134,361 | SS | (58,323) | ||||||
01/22/20 | U.S. Dollars | 3,097,286 | Swiss Francs | 3,051,876 | SC | (61,206) | ||||||
02/04/20 | U.S. Dollars | 1,145,583 | Colombian Pesos | 3,974,917,074 | MSCS | (62,016) | ||||||
01/22/20 | U.S. Dollars | 1,826,224 | Mexican Pesos | 35,873,659 | GSC | (64,508) | ||||||
01/22/20 | U.S. Dollars | 1,668,029 | Polish Zloty | 6,572,869 | GSC | (64,588) | ||||||
01/22/20 | U.S. Dollars | 3,912,866 | Swiss Francs | 3,846,969 | RBC | (68,497) | ||||||
03/18/20 | U.S. Dollars | 2,983,628 | Australian Dollars | 4,341,505 | MSCS | (68,944) | ||||||
01/22/20 | Japanese Yen | 597,299,102 | U.S. Dollars | 5,574,351 | GSC | (70,300) | ||||||
01/22/20 | U.S. Dollars | 2,688,616 | Norwegian Kroner | 24,257,392 | GSC | (74,694) | ||||||
01/22/20 | U.S. Dollars | 4,428,092 | Swiss Francs | 4,354,462 | JPM | (78,492) | ||||||
01/22/20 | U.S. Dollars | 2,453,181 | Norwegian Kroner | 22,249,279 | CITI | (81,372) | ||||||
01/27/20 | U.S. Dollars | 2,967,743 | Russian Rubles | 190,293,779 | MSCS | (87,662) | ||||||
03/18/20 | U.S. Dollars | 4,645,139 | Canadian Dollars | 6,145,481 | MSCS | (88,730) | ||||||
01/22/20 | U.S. Dollars | 3,728,338 | Swedish Kronor | 35,719,499 | SS | (89,469) | ||||||
03/18/20 | U.S. Dollars | 3,657,439 | New Zealand Dollars | 5,574,312 | MSCS | (99,446) | ||||||
01/22/20 | U.S. Dollars | 3,545,740 | Australian Dollars | 5,220,396 | SS | (119,778) | ||||||
03/18/20 | U.S. Dollars | 6,713,788 | Swiss Francs | 6,591,228 | MSCS | (134,835) | ||||||
01/22/20 | U.S. Dollars | 6,806,529 | Swiss Francs | 6,710,288 | CITI | (138,183) | ||||||
01/22/20 | U.S. Dollars | 8,585,081 | Swiss Francs | 8,432,855 | GSC | (142,373) | ||||||
01/22/20 | U.S. Dollars | 11,922,664 | Euro | 10,746,752 | GSC | (148,992) | ||||||
01/22/20 | Japanese Yen | 812,124,564 | U.S. Dollars | 7,646,332 | SC | (162,685) | ||||||
01/22/20 | U.S. Dollars | 5,195,530 | Australian Dollars | 7,672,394 | SC | (191,667) | ||||||
01/22/20 | U.S. Dollars | 3,485,206 | South African Rand | 51,775,129 | GSC | (200,303) | ||||||
01/22/20 | U.S. Dollars | 9,656,287 | Australian Dollars | 14,072,456 | GSC | (224,734) | ||||||
01/22/20 | U.S. Dollars | 9,258,847 | Canadian Dollars | 12,315,693 | JPM | (226,466) | ||||||
01/22/20 | U.S. Dollars | 11,468,719 | Swiss Francs | 11,302,691 | SS | (228,829) | ||||||
01/22/20 | U.S. Dollars | 6,228,484 | Norwegian Kroner | 56,895,728 | JPM | (252,861) | ||||||
01/22/20 | U.S. Dollars | 6,488,082 | Norwegian Kroner | 59,292,465 | SC | (266,290) | ||||||
01/22/20 | U.S. Dollars | 7,535,951 | New Zealand Dollars | 11,594,709 | CITI | (272,243) | ||||||
01/22/20 | U.S. Dollars | 18,974,791 | Euro | 17,137,071 | CITI | (275,008) | ||||||
01/22/20 | U.S. Dollars | 9,056,118 | Australian Dollars | 13,313,189 | CITI | (291,783) | ||||||
01/22/20 | Japanese Yen | 2,502,951,596 | U.S. Dollars | 23,357,125 | CITI | (292,676) | ||||||
01/22/20 | U.S. Dollars | 6,543,200 | Mexican Pesos | 129,889,055 | CITI | (302,645) | ||||||
01/22/20 | U.S. Dollars | 8,239,000 | Australian Dollars | 12,183,544 | RBC | (315,716) | ||||||
01/22/20 | U.S. Dollars | 29,430,018 | Euro | 26,571,034 | SS | (416,801) | ||||||
01/22/20 | U.S. Dollars | 5,404,000 | British Pounds | 4,411,753 | SC | (443,626) | ||||||
01/22/20 | U.S. Dollars | 11,313,114 | Norwegian Kroner | 103,265,880 | SS | (450,542) | ||||||
01/22/20 | U.S. Dollars | 8,719,646 | New Zealand Dollars | 13,672,189 | SS | (487,579) |
Table of Contents
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
01/22/20 | U.S. Dollars | 15,202,812 | Australian Dollars | 22,477,696 | JPM | $(579,977) | ||||||
01/22/20 | U.S. Dollars | 11,030,772 | British Pounds | 8,817,768 | CITI | (656,875) | ||||||
01/22/20 | U.S. Dollars | 28,417,378 | Canadian Dollars | 37,761,183 | SS | (665,569) | ||||||
01/22/20 | U.S. Dollars | 10,996,305 | New Zealand Dollars | 17,352,919 | RBC | (689,626) | ||||||
01/22/20 | U.S. Dollars | 16,176,932 | Swedish Kronor | 158,139,736 | CITI | (725,511) | ||||||
01/22/20 | U.S. Dollars | 12,384,956 | New Zealand Dollars | 19,544,711 | JPM | (776,987) | ||||||
01/22/20 | U.S. Dollars | 13,055,347 | New Zealand Dollars | 20,628,471 | SC | (836,430) | ||||||
01/22/20 | U.S. Dollars | 22,232,253 | British Pounds | 18,093,462 | GSC | (1,750,007) | ||||||
01/22/20 | U.S. Dollars | 35,750,573 | Swedish Kronor | 350,878,461 | GSC | (1,752,357) | ||||||
Subtotal Depreciation | $(16,735,104) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at December 31, 2019 | $(447,230) |
Reference Obligation | Payment Frequency | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Currency Swaps | ||||||||||||||||
Receive 3-Month LIBOR | Quarterly | USD | 540,000 | |||||||||||||
Pay Fixed 11.30% | Annually | 6/17/2025 | BOA | TRY | 3,115,800 | $4,988 | $— | $4,988 | ||||||||
$4,988 | $ — | $4,988 |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Interest Rate Swaps | ||||||||||||||||
6-Month THB FIX (Semiannually) | 1.75% (Semiannually) | 3/20/2021 | MSCS | THB | 102,030,000 | $26,280 | $304 | $25,976 | ||||||||
6-Month THB FIX (Semiannually) | 1.75% (Semiannually) | 3/20/2021 | BNP | THB | 78,320,000 | 20,173 | 1,167 | 19,006 | ||||||||
6-Month THB FIX (Semiannually) | 1.25% (Semiannually) | 6/18/2021 | CITI | THB | 126,010,000 | 6,947 | 1,685 | 5,262 | ||||||||
6-Month THB FIX (Semiannually) | 1.75% (Semiannually) | 6/19/2021 | BNP | THB | 224,180,000 | 67,679 | 4,641 | 63,038 | ||||||||
6-Month THB FIX (Semiannually) | 1.75% (Semiannually) | 6/19/2021 | DEUT | THB | 55,870,000 | 16,867 | — | 16,867 | ||||||||
6-Month THB FIX (Semiannually) | 1.75% (Semiannually) | 6/19/2021 | MSCS | THB | 55,250,000 | 16,680 | 341 | 16,339 | ||||||||
6-Month THB FIX (Semiannually) | 1.75% (Semiannually) | 6/20/2021 | MSCS | THB | 49,950,000 | 15,053 | (139) | 15,192 | ||||||||
6-Month THB FIX (Semiannually) | 1.75% (Semiannually) | 6/19/2024 | BOA | THB | 5,460,000 | 4,116 | (346) | 4,462 | ||||||||
6-Month THB FIX (Semiannually) | 1.50% (Semiannually) | 12/18/2024 | DEUT | THB | 15,780,000 | 6,454 | 1,300 | 5,154 | ||||||||
6-Month THB FIX (Semiannually) | 1.50% (Semiannually) | 3/18/2025 | DEUT | THB | 17,130,000 | 6,507 | 4,975 | 1,532 | ||||||||
6-Month THB FIX (Semiannually) | 1.50% (Semiannually) | 3/18/2025 | BNP | THB | 14,520,000 | 5,515 | 2,128 | 3,387 | ||||||||
6-Month THB FIX (Semiannually) | 1.50% (Semiannually) | 3/18/2025 | CITI | THB | 14,510,000 | 5,511 | 4,257 | 1,254 | ||||||||
3-Month TELBOR (Quarterly) | 1.41% (Annually) | 12/18/2029 | DEUT | ILS | 3,165,000 | 47,245 | — | 47,245 | ||||||||
3-Month TELBOR (Quarterly) | 1.34% (Annually) | 12/18/2029 | BAR | ILS | 2,560,000 | 33,689 | — | 33,689 |
Table of Contents
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
3-Month TELBOR (Quarterly) | 1.02% (Annually) | 3/18/2030 | BOA | ILS | 7,945,000 | $23,706 | $1,998 | $21,708 | ||||||||
Subtotal Appreciation | $302,422 | $22,311 | $280,111 | |||||||||||||
3-Month TELBOR (Quarterly) | 1.02% (Annually) | 3/18/2030 | CITI | ILS | 2,230,000 | $6,654 | $9,843 | $(3,189) | ||||||||
Subtotal Depreciation | $6,654 | $9,843 | $(3,189) | |||||||||||||
Net Interest Rate Swaps outstanding at December 31, 2019 | $309,076 | $32,154 | $276,922 |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
Centrally Cleared Interest Rate Swaps | ||||||||||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 7.25% (Upon termination) | 1/2/2020 | BRL | 15,471,421 | $50,757 | $10,966 | $39,791 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 5.56% (Upon termination) | 1/4/2021 | BRL | 3,931,276 | 10,356 | — | 10,356 | |||||||
6-Month CLP-TNA (Semiannually) | 3.60% (Semiannually) | 3/20/2021 | CLP | 1,566,750,000 | 58,572 | 6,095 | 52,477 | |||||||
6-Month THB FIX (Semiannually) | 1.75% (Semiannually) | 3/20/2021 | THB | 52,420,000 | 13,502 | 345 | 13,157 | |||||||
0.78% (Semiannually) | 6-Month ASX BBSW (Semiannually) | 6/17/2021 | AUD | 73,770,000 | 105,472 | 36,683 | 68,789 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 5.44% (Upon termination) | 1/3/2022 | BRL | 14,189,027 | 17,680 | 10,148 | 7,532 | |||||||
28-Day Mexico Interbank TIIE (Lunar) | 6.60% (Lunar) | 3/16/2022 | MXN | 99,330,000 | 5,349 | (1,752) | 7,101 | |||||||
1.50% (Semiannually) | 3-Month LIBOR (Quarterly) | 3/18/2022 | USD | 6,780,000 | 19,918 | 9,602 | 10,316 | |||||||
1.75% (Semiannually) | 3-Month LIBOR (Quarterly) | 3/18/2022 | USD | 21,510,000 | (42,050) | (71,619) | 29,569 | |||||||
2.00% (Annually) | 6-Month PRIBOR (Semiannually) | 3/18/2022 | CZK | 134,100,000 | 30,586 | 1,975 | 28,611 | |||||||
3-Month KWCDC (Quarterly) | 1.50% (Quarterly) | 3/18/2022 | KRW | 29,551,260,000 | 98,826 | 88,814 | 10,012 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 5.75% (Upon termination) | 1/2/2023 | BRL | 12,529,341 | 4,391 | (3,591) | 7,982 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 6.66% (Upon termination) | 1/2/2023 | BRL | 9,927,725 | 84,172 | 38,989 | 45,183 | |||||||
28-Day Mexico Interbank TIIE (Lunar) | 6.49% (Lunar) | 3/15/2023 | MXN | 54,850,000 | (1,587) | (3,353) | 1,766 | |||||||
1.75% (Semiannually) | 3-Month LIBOR (Quarterly) | 3/18/2025 | USD | 10,180,000 | (10,455) | (50,746) | 40,291 | |||||||
2.00% (Annually) | 6-Month NIBOR (Semiannually) | 3/18/2025 | NOK | 85,730,000 | 3,314 | (25,376) | 28,690 | |||||||
7-Day CFETS Repo Rate (Quarterly) | 3.00% (Quarterly) | 3/18/2025 | CNY | 15,150,000 | 3,804 | 3,310 | 494 | |||||||
1.51% (Annually) | 6-Month PRIBOR (Semiannually) | 9/16/2026 | CZK | 30,350,000 | 28,351 | (1,543) | 29,894 | |||||||
1.33% (Annually) | 1-Day US Federal Fund Effective Rate (Annually) | 11/16/2026 | USD | 20,020,000 | 288,138 | (12,483) | 300,621 | |||||||
3.00% (Semiannually) | 3-Month LIBOR (Quarterly) | 6/19/2029 | USD | 2,440,000 | (104,851) | (130,599) | 25,748 | |||||||
6.70% (Lunar) | 28-Day Mexico Interbank TIIE (Lunar) | 3/6/2030 | MXN | 20,580,000 | 7,805 | 1,659 | 6,146 | |||||||
0.50% (Annually) | 3-Month STIBOR (Quarterly) | 3/18/2030 | SEK | 40,510,000 | 89,439 | 35,984 | 53,455 | |||||||
1.50% (Quarterly) | 3-Month KWCDC (Quarterly) | 3/18/2030 | KRW | 1,247,270,000 | (11,576) | (15,767) | 4,191 | |||||||
1.75% (Quarterly) | 3-Month HIBOR (Quarterly) | 3/18/2030 | HKD | 6,790,000 | 22,714 | 8,815 | 13,899 | |||||||
1-Day COP-IBR-OIS (Quarterly) | 5.60% (Quarterly) | 3/18/2030 | COP | 1,630,380,000 | 1,469 | (565) | 2,034 | |||||||
2.00% (Annually) | 6-Month NIBOR (Semiannually) | 3/18/2030 | NOK | 34,230,000 | 25,196 | (11,984) | 37,180 | |||||||
2.00% (Semiannually) | 3-Month LIBOR (Quarterly) | 3/18/2030 | USD | 480,000 | (4,420) | (9,793) | 5,373 | |||||||
1.50% (Annually) | 6-Month PRIBOR (Semiannually) | 6/17/2030 | CZK | 53,040,000 | 43,026 | (17,082) | 60,108 | |||||||
1.75% (Annually) | 6-Month WIBOR (Semiannually) | 6/17/2030 | PLN | 6,230,000 | 18,969 | (7,467) | 26,436 | |||||||
3-Month JIBAR (Quarterly) | 8.00% (Quarterly) | 6/17/2030 | ZAR | 11,230,000 | 11,286 | — | 11,286 | |||||||
1.84% (Semiannually) | 3-Month LIBOR (Quarterly) | 5/15/2045 | USD | 9,410,000 | 464,853 | 20,034 | 444,819 | |||||||
Subtotal Appreciation | $1,333,006 | $(90,301) | $1,423,307 |
Table of Contents
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
8.36% (Lunar) | 28-Day Mexico Interbank TIIE (Lunar) | 3/18/2020 | MXN | 202,000,000 | $(18,653) | $(1,615) | $(17,038) | |||||||
1-Day US Federal Fund Effective Rate (Annually) | 1.26% (Annually) | 12/15/2021 | USD | 16,890,000 | (50,091) | (3,168) | (46,923) | |||||||
1-Day CLP-TNA (Semiannually) | 1.80% (Semiannually) | 3/18/2022 | CLP | 523,250,000 | 421 | 464 | (43) | |||||||
3-Month CDOR (Semiannually) | 1.75% (Semiannually) | 3/18/2022 | CAD | 30,550,000 | (107,360) | (99,971) | (7,389) | |||||||
4.50% (Quarterly) | 1-Day COP-IBR-OIS (Quarterly) | 3/18/2022 | COP | 21,848,990,000 | (2,923) | 1,544 | (4,467) | |||||||
6-Month BUBOR (Semiannually) | 0.50% (Annually) | 3/18/2022 | HUF | 1,255,600,000 | (3,608) | 6,091 | (9,699) | |||||||
6-Month PRIBOR (Semiannually) | 1.85% (Annually) | 9/16/2022 | CZK | 89,275,000 | (28,026) | 945 | (28,971) | |||||||
1-Month LIBOR + .09% (Quarterly) | 3-Month LIBOR (Quarterly) | 7/25/2024 | USD | 40,700,000 | 445 | 651 | (206) | |||||||
6.26% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2025 | BRL | 6,656,254 | 866 | 1,252 | (386) | |||||||
3-Month CDOR (Semiannually) | 1.75% (Semiannually) | 3/18/2025 | CAD | 6,760,000 | (76,796) | (51,571) | (25,225) | |||||||
3-Month New Zealand BBR FRA (Quarterly) | 1.50% (Semiannually) | 3/18/2025 | NZD | 3,610,000 | 3,957 | 11,898 | (7,941) | |||||||
6-Month ASX BBSW (Semiannually) | 1.50% (Semiannually) | 3/18/2025 | AUD | 11,380,000 | 114,848 | 169,079 | (54,231) | |||||||
6-Month EURIBOR (Semiannually) | 0.00% (Annually) | 3/18/2025 | EUR | 5,510,000 | 33,294 | 48,315 | (15,021) | |||||||
6-Month ASX BBSW (Semiannually) | 1.20% (Semiannually) | 6/17/2027 | AUD | 9,430,000 | (80,009) | (35,628) | (44,381) | |||||||
3-Month CDOR (Semiannually) | 3.00% (Semiannually) | 6/19/2029 | CAD | 3,170,000 | 79,916 | 97,570 | (17,654) | |||||||
3-Month LIBOR (Quarterly) | 1.65% (Semiannually) | 8/15/2029 | USD | 7,540,000 | (147,335) | (5,279) | (142,056) | |||||||
3-Month CDOR (Semiannually) | 2.00% (Semiannually) | 3/18/2030 | CAD | 3,520,000 | (43,154) | (13,124) | (30,030) | |||||||
6-Month ASX BBSW (Semiannually) | 1.75% (Semiannually) | 3/18/2030 | AUD | 2,390,000 | 31,575 | 68,655 | (37,080) | |||||||
6-Month EURIBOR (Semiannually) | 0.50% (Annually) | 3/18/2030 | EUR | 4,480,000 | 144,046 | 183,993 | (39,947) | |||||||
6-Month LIBOR (Semiannually) | 0.25% (Semiannually) | 3/19/2030 | JPY | 146,410,000 | 1,548 | 4,121 | (2,573) | |||||||
6-Month NIBOR (Semiannually) | 2.00% (Annually) | 3/19/2030 | NOK | 16,820,000 | (11,737) | 3,332 | (15,069) | |||||||
6-Month BUBOR (Semiannually) | 1.50% (Annually) | 6/17/2030 | HUF | 168,840,000 | (9,247) | 7,088 | (16,335) | |||||||
Subtotal Depreciation | $(168,023) | $394,642 | $(562,665) | |||||||||||
Net Centrally Cleared Interest Rate Swaps outstanding at December 31, 2019 | $1,164,983 | $304,341 | $860,642 |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Total Return Swaps | ||||||||||||||||
Financing Index: 1-Month EURIBOR + .45% (Monthly) | Airbus SE | 11/5/2020 | CITI | EUR | 987,290 | $58,662 | $— | $58,662 | ||||||||
Peugeot Citroen SA | Financing Index:1-Month EURIBOR - .45% (Monthly) | 11/5/2020 | CITI | EUR | 262,378 | 22,085 | — | 22,085 | ||||||||
$80,747 | $ — | $80,747 |
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Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Asset-Backed Securities | $12,991,383 | $— | $12,991,383 | $— | |||
Certificates Of Deposit | 1,102,261 | — | 1,102,261 | — | |||
Common Stocks: | |||||||
Financials | 5,166,486 | 4,741,943 | 424,543 | — | |||
Other^^ | 44,011,342 | 44,011,342 | — | — | |||
Total Common Stocks | 49,177,828 | 48,753,285 | 424,543 | — | |||
Corporate Bonds | 94,814,208 | — | 94,814,208 | — | |||
Foreign Bonds | 18,789,738 | — | 18,789,738 | — | |||
Foreign Common Stocks | 5,403,363 | 5,403,363 | — | — | |||
Loan Agreements | 5,331,448 | — | 5,331,448 | — | |||
Money Market Funds | 106,977,686 | 106,977,686 | — | — | |||
Mortgage-Backed Securities | 8,910,000 | — | 8,910,000 | — | |||
Mutual Funds | 2,918,327 | 1,592,438 | — | 1,325,889 | |||
Purchased Option: | |||||||
Call Option | 8,100 | 8,100 | — | — | |||
Rights | 163,951 | — | 156,941 | 7,010 | |||
U.S. Treasury Obligations | 73,329,530 | — | 73,329,530 | — | |||
Total Assets - Investments in Securities | $379,917,823 | $162,734,872 | $215,850,052 | $1,332,899 | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $16,287,874 | $— | $16,287,874 | $— | |||
Futures Contracts | 157,614 | 157,614 | — | — | |||
Swap Agreements | 1,789,153 | — | 1,789,153 | — | |||
Total Assets - Other Financial Instruments | $18,234,641 | $157,614 | $18,077,027 | $ — | |||
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Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Liabilities: | |||||||
Investments in Securities: | |||||||
Common Stocks Sold Short | $(15,628,330) | $(15,628,330) | $— | $— | |||
Foreign Common Stocks Sold Short | (896,100) | (896,100) | — | — | |||
Mutual Funds Sold Short | (11,428,906) | (11,428,906) | — | — | |||
Written Options: | |||||||
Call Options | (129,410) | (129,410) | — | — | |||
Put Options | (156,717) | (156,717) | — | — | |||
Total Written Options | (286,127) | (286,127) | — | — | |||
Total Liabilities - Investments in Securities | $(28,239,463) | $(28,239,463) | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $(16,735,104) | $— | $(16,735,104) | $— | |||
Futures Contracts | (359,645) | (359,645) | — | — | |||
Swap Agreements | (565,854) | — | (565,854) | — | |||
Total Liabilities - Other Financial Instruments | $(17,660,603) | $(359,645) | $(17,300,958) | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
*** | Other financial instruments are derivative instruments, such as futures contracts, forwards contracts and swap agreements, 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", "Forwards Foreign Currency Contracts outstanding" and "Swap Agreements outstanding" disclosures. |
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STATEMENTS OF ASSETS AND LIABILITIES | December 31, 2019 |
Strategic Alternatives Fund | |
Assets | |
Investments in securities of unaffiliated issuers, at value | $331,763,436 |
Investments in securities of affiliated issuers, at value | 48,154,387 |
Total investments, at value(1) | 379,917,823 |
Cash | 35,218,102 |
Cash collateral for derivatives | 4,063,340 |
Deposits with broker for futures contracts | 516,064 |
Upfront premiums paid from swap agreements | 911,101 |
Receivables: | |
Dividends and reclaims | 173,888 |
Interest | 1,512,200 |
Investment securities sold | 2,036,901 |
Fund shares sold | 46,769 |
Variation margin on centrally cleared swaps | 116,391 |
Unrealized appreciation on foreign currency exchange contracts | 16,287,874 |
Unrealized appreciation on swap agreements | 365,846 |
Prepaid expenses and other assets | 22 |
Total Assets | 441,166,321 |
Liabilities | |
Foreign currency overdraft(2) | 931,775 |
Securities sold short, at value(3) | 27,953,336 |
Options written, at value(4) | 286,127 |
Upfront premiums received from swap agreements | 574,606 |
Unrealized depreciation on foreign currency exchange contracts | 16,735,104 |
Unrealized depreciation on swap agreements | 3,189 |
Collateral from counterparty | 1,699,055 |
Payables: | |
Investment securities purchased | 6,206,989 |
Dividends on short sales | 50,754 |
Fund shares redeemed | 122,284 |
Variation margin on futures contracts | 93,721 |
Accrued expenses: | |
Investment advisory fees | 285,360 |
Shareholder servicing fees | 11,867 |
Trustee fees | 315 |
Other expenses | 119,191 |
Total Liabilities | 55,073,673 |
Net Assets | $386,092,648 |
Net Assets Consist of: | |
Paid-in-capital | $382,986,372 |
Distributable earnings (loss) | 3,106,276 |
Net Assets | $386,092,648 |
Net Asset Value: | |
$0.001 par value, unlimited shares authorized | |
Net assets applicable to the Institutional Class | $330,016,677 |
Institutional shares outstanding | 32,567,459 |
Net asset value, offering and redemption price per Institutional share | $10.13 |
Net assets applicable to the Investor Class | $56,075,971 |
Investor shares outstanding | 5,537,574 |
Net asset value, offering and redemption price per Investor share | $10.13 |
(1)Investments in securities of unaffiliated issuers, at cost | $328,511,167 |
Investments in securities of affiliated issuers, at cost | 48,154,387 |
Total investments, at cost | $376,665,554 |
(2)Foreign currency overdraft, at cost | $910,626 |
(3)Proceeds from securities sold short | $27,470,646 |
(4)Premiums received on options written | $423,569 |
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STATEMENTS OF OPERATIONS | For the Year Ended December 31, 2019 |
Strategic Alternatives Fund | |
Investment Income | |
Dividends | $773,436 |
Income distributions received from affiliated funds | 534,204 |
Interest | 8,329,233 |
Less foreign taxes withheld | (3,958) |
Total Investment Income | 9,632,915 |
Expenses | |
Investment advisory fees | 3,424,822 |
Transfer agent fees: | |
Institutional shares | 4,203 |
Investor shares | 14,223 |
Custodian fees | 381,862 |
Shareholder servicing fees: | |
Investor shares | 141,867 |
Accounting and administration fees | 76,804 |
Professional fees | 106,084 |
Shareholder reporting fees: | |
Institutional shares | 12,438 |
Investor shares | 31,113 |
Trustees expenses | 1,829 |
Line of credit facility fees | 1,056 |
Dividends on securities sold short | 372,973 |
Other expenses | 46,195 |
Total Expenses | 4,615,469 |
Net Investment Income | 5,017,446 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss) from: | |
Investment securities | 9,155,841 |
Investment securities sold short | (4,236,348) |
Futures transactions | (36,597) |
Swap agreements | 145,472 |
Option contracts written | 5,621,582 |
Option contracts purchased | (2,725,691) |
Forward foreign currency contracts | (1,901,860) |
Foreign currency | 686,744 |
Net realized gain | 6,709,143 |
Net change in unrealized appreciation (depreciation) on: | |
Investment securities | 8,969,090 |
Investment securities sold short | (2,641,974) |
Futures | 236,031 |
Swap agreements | 939,911 |
Option contracts written | 38,459 |
Option contracts purchased | (259,751) |
Forward foreign currency contracts | (42,462) |
Foreign currency | 16,657 |
Net change in unrealized appreciation (depreciation) | 7,255,961 |
Net Realized and Unrealized Gain | 13,965,104 |
Net Increase in Net Assets Resulting from Operations | $18,982,550 |
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STATEMENTS OF CHANGES IN NET ASSETS |
Strategic Alternatives Fund | |||
For the Year Ended | |||
12/31/19 | 12/31/18 | ||
Operations: | |||
Net investment income | $5,017,446 | $7,301,918 | |
Net realized gain (loss) on investment securities, foreign currency and derivatives | 6,709,143 | (3,222,245) | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | 7,255,961 | (4,164,335) | |
Net increase (decrease) in net assets resulting from operations | 18,982,550 | (84,662) | |
Distributions to Shareholders: | |||
Institutional shares | (7,274,105) | (6,830,775) | |
Investor shares | (1,068,756) | (1,229,603) | |
Total distributions | (8,342,861) | (8,060,378) | |
Capital Share Transactions: | |||
Proceeds from shares sold | |||
Institutional shares | 34,914,160 | 35,043,876 | |
Investor shares | 12,428,155 | 24,057,205 | |
Reinvestment of dividends and distributions | |||
Institutional shares | 7,273,111 | 6,830,607 | |
Investor shares | 1,068,187 | 1,225,449 | |
Total proceeds from shares sold and reinvested | 55,683,613 | 67,157,137 | |
Value of shares redeemed | |||
Institutional shares | (41,587,776) | (17,291,395) | |
Investor shares | (25,699,257) | (15,855,027) | |
Total value of shares redeemed | (67,287,033) | (33,146,422) | |
Net increase (decrease) from capital share transactions(1) | (11,603,420) | 34,010,715 | |
Total increase (decrease) in net assets | (963,731) | 25,865,675 | |
Net Assets: | |||
Beginning of Year | 387,056,379 | 361,190,704 | |
End of Year | $386,092,648 | $387,056,379 |
(1) | See Note 6 in Notes to Financial Statements. |
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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 | Total Income From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions Paid | Net Asset Value, End of Year | Total Return | Net Assets, End of Year (000) | Expenses, Net | Expenses, Gross | Investment Income, Net | Portfolio Turnover Rate | |
Strategic Alternatives Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2019 | $9.87 | $0.13 | $0.36 | $0.49 | $(0.19) | $(0.04) | $(0.23) | $10.13 | 4.93% | $330,017 | 1.12%(1) | 1.12%(1) | 1.32% | 364% |
2018 | 10.07 | 0.20 | (0.19) | 0.01 | (0.18) | (0.03) | (0.21) | 9.87 | 0.15 | 320,404 | 1.01(1) | 1.02(1) | 1.96 | 172 |
2017(2) | 10.00 | 0.04 | 0.10 | 0.14 | (0.05) | (0.02) | (0.07) | 10.07 | 1.40 | 302,592 | 1.26(1) | 1.28(1) | 0.69 | 88 |
Investor Class | ||||||||||||||
2019 | $9.87 | $0.10 | $0.36 | $0.46 | $(0.16) | $(0.04) | $(0.20) | $10.13 | 4.62% | $56,076 | 1.46%(1) | 1.46%(1) | 0.99% | 364% |
2018 | 10.07 | 0.17 | (0.19) | (0.02) | (0.15) | (0.03) | (0.18) | 9.87 | (0.17) | 66,652 | 1.36(1) | 1.37(1) | 1.65 | 172 |
2017(2) | 10.00 | 0.01 | 0.12 | 0.13 | (0.04) | (0.02) | (0.06) | 10.07 | 1.31 | 58,599 | 1.63(1) | 1.65(1) | 0.25 | 88 |
# | Calculated using the average shares outstanding method. |
(1) | The ratio for the Strategic Alternatives Fund includes the effect of dividend expense on securities sold short which increased the ratio by 0.11%, 0.14% and 0.10% for the period ended December 31, 2017 and for the years 2018 and 2019. |
(2) | 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. |
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Fund/Counterparty | Repurchase Agreements | Fair Value of Non-cash Collateral Received(1) | Cash Collateral Received | Net Amount(2) | ||||
Money Market | ||||||||
Bank of Nova Scotia | $48,000,000 | $(48,000,000) | $— | $— | ||||
BNP Paribas | 105,000,000 | (105,000,000) | — | — | ||||
Citigroup Global Markets, Inc. | 10,000,000 | (10,000,000) | — | — | ||||
Goldman Sachs & Co. | 43,000,000 | (43,000,000) | — | — | ||||
HSBC Securities USA, Inc. | 5,000,000 | (5,000,000) | — | — | ||||
Mitsubishi UFJ Securities USA, Inc. | 30,000,000 | (30,000,000) | — | — | ||||
Mizuho Securities USA, Inc. | 42,000,000 | (42,000,000) | — | — | ||||
Natixis S.A. | 26,000,000 | (26,000,000) | — | — | ||||
TD Securities USA LLC | 90,000,000 | (90,000,000) | — | — | ||||
Total Repurchase Agreements | $399,000,000 | $(399,000,000) | $— | $— | ||||
Low-Duration Bond | ||||||||
Citigroup Global Markets, Inc. | $11,900,000 | $(11,900,000) | $— | $— | ||||
Medium-Duration Bond | ||||||||
Citigroup Global Markets, Inc. | $25,900,000 | $(25,900,000) | $— | $— |
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Fund | Assets | Liabilities | ||
MyDestination 2015 | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $8,415 | $— | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 8,415 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 8,415 | — | ||
Total assets and liabilities subject to an ISDA MA | $— | $— |
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Fund | Assets | Liabilities | ||
MyDestination 2025 | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $29,799 | $— | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 29,799 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 29,799 | — | ||
Total assets and liabilities subject to an ISDA MA | $— | $— | ||
MyDestination 2035 | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $45,301 | $— | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 45,301 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 45,301 | — | ||
Total assets and liabilities subject to an ISDA MA | $— | $— | ||
MyDestination 2045 | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $39,418 | $— | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 39,418 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 39,418 | — | ||
Total assets and liabilities subject to an ISDA MA | $— | $— | ||
MyDestination 2055 | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $12,652 | $— | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 12,652 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 12,652 | — | ||
Total assets and liabilities subject to an ISDA MA | $— | $— | ||
Conservative Allocation | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $6,966 | $— | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 6,966 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 6,966 | — | ||
Total assets and liabilities subject to an ISDA MA | $— | $— | ||
Balanced Allocation | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $40,552 | $— | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 40,552 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 40,552 | — | ||
Total assets and liabilities subject to an ISDA MA | $— | $— |
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Fund | Assets | Liabilities | ||
Growth Allocation | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $57,163 | $— | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 57,163 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 57,163 | — | ||
Total assets and liabilities subject to an ISDA MA | $— | $— | ||
Aggressive Allocation | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $63,125 | $— | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 63,125 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 63,125 | — | ||
Total assets and liabilities subject to an ISDA MA | $— | $— | ||
Low-Duration Bond | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $15,248 | $— | ||
Forward foreign exchange contracts | 81,270 | 1,111,428 | ||
Options | — | 39,376 | ||
Centrally cleared swaps | — | 18,108 | ||
Swap agreements | — | 14,537 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 96,518 | 1,183,449 | ||
Derivatives not subject to an ISDA MA or similar agreement | 15,248 | 18,108 | ||
Total assets and liabilities subject to an ISDA MA | $81,270 | $1,165,341 | ||
Medium-Duration Bond | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $— | $932,019 | ||
Forward foreign exchange contracts | 1,186,399 | 2,495,539 | ||
Options | 254,220 | 1,154,029 | ||
Centrally cleared swaps | 388,767 | — | ||
Swap agreements | 1,381,087 | 96,421 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 3,210,473 | 4,678,008 | ||
Derivatives not subject to an ISDA MA or similar agreement | 642,987 | 1,093,893 | ||
Total assets and liabilities subject to an ISDA MA | $2,567,486 | $3,584,115 | ||
Global Bond | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $111,589 | $— | ||
Forward foreign exchange contracts | 1,320,921 | 3,024,306 | ||
Centrally cleared swaps | — | 21,206 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 1,432,510 | 3,045,512 | ||
Derivatives not subject to an ISDA MA or similar agreement | 111,589 | 21,206 | ||
Total assets and liabilities subject to an ISDA MA | $1,320,921 | $3,024,306 |
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Fund | Assets | Liabilities | ||
Defensive Market Strategies | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $— | $59,675 | ||
Forward foreign exchange contracts | 3,161 | 192,657 | ||
Options | — | 791,539 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 3,161 | 1,043,871 | ||
Derivatives not subject to an ISDA MA or similar agreement | 3,161 | 1,043,871 | ||
Total assets and liabilities subject to an ISDA MA | $— | $— | ||
Equity Index | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $127,820 | $— | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 127,820 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 127,820 | — | ||
Total assets and liabilities subject to an ISDA MA | $— | $— | ||
Value Equity | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $42,620 | $— | ||
Forward foreign exchange contracts | 16,955 | 506,087 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 59,575 | 506,087 | ||
Derivatives not subject to an ISDA MA or similar agreement | 59,575 | 506,087 | ||
Total assets and liabilities subject to an ISDA MA | $— | $— | ||
Growth Equity | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $78,540 | $— | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 78,540 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 78,540 | — | ||
Total assets and liabilities subject to an ISDA MA | $— | $— | ||
Small Cap Equity | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $8,690 | $— | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 8,690 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 8,690 | — | ||
Total assets and liabilities subject to an ISDA MA | $— | $— | ||
International Equity Index | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $193,454 | $— | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 193,454 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 193,454 | — | ||
Total assets and liabilities subject to an ISDA MA | $— | $— |
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Fund | Assets | Liabilities | ||
International Equity | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $262,039 | $— | ||
Forward foreign exchange contracts | 2,768,294 | 2,776,678 | ||
Swap agreements | 172,706 | 380,438 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 3,203,039 | 3,157,116 | ||
Derivatives not subject to an ISDA MA or similar agreement | 262,039 | — | ||
Total assets and liabilities subject to an ISDA MA | $2,941,000 | $3,157,116 | ||
Emerging Markets Equity | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $166,720 | $— | ||
Forward foreign exchange contracts | 2,424,473 | 2,828,398 | ||
Swap agreements | 1,102,435 | 242,159 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 3,693,628 | 3,070,557 | ||
Derivatives not subject to an ISDA MA or similar agreement | 166,720 | — | ||
Total assets and liabilities subject to an ISDA MA | $3,526,908 | $3,070,557 | ||
Global Real Estate Securities | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $7,790 | $— | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 7,790 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 7,790 | — | ||
Total assets and liabilities subject to an ISDA MA | $— | $— | ||
Strategic Alternatives | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $— | $93,721 | ||
Forward foreign exchange contracts | 16,287,874 | 16,735,104 | ||
Options | 8,100 | 286,127 | ||
Centrally cleared swaps | 116,391 | — | ||
Swap agreements | 365,846 | 3,189 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 16,778,211 | 17,118,141 | ||
Derivatives not subject to an ISDA MA or similar agreement | 124,491 | 379,848 | ||
Total assets and liabilities subject to an ISDA MA | $16,653,720 | $16,738,293 |
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Fund/Sub-adviser/Counterparty | Derivative Assets Subject to an ISDA MA | Derivative Liabilities Subject to an ISDA MA | Value of Derivatives Subject to an ISDA MA | Collateral (Received)/ Pledged | Net Exposure | |||||
Low-Duration Bond | ||||||||||
Sub-adviser A | ||||||||||
Other Counterparties* | $35,781 | $(584,573) | $(548,792) | $10,000 | $(538,792) | |||||
Sub-adviser B | ||||||||||
Other Counterparties* | 45,489 | (377,824) | (332,335) | — | (332,335) | |||||
Sub-adviser C | ||||||||||
Other Counterparties* | — | (202,944) | (202,944) | — | (202,944) | |||||
Total Derivatives | $81,270 | $(1,165,341) | $(1,084,071) | $10,000 | $(1,074,071) | |||||
Medium-Duration Bond | ||||||||||
Sub-adviser A | ||||||||||
Other Counterparties* | $187,735 | $(1,493,303) | $(1,305,568) | $678,217 | $(627,351) | |||||
Sub-adviser B | ||||||||||
Other Counterparties* | 699,222 | (1,491,950) | (792,728) | 169,295 | (623,433) | |||||
Sub-adviser C | ||||||||||
Other Counterparties* | 1,680,529 | (598,862) | 1,081,667 | (334,239) | 747,428 | |||||
Total Derivatives | $2,567,486 | $(3,584,115) | $(1,016,629) | $513,273 | $(503,356) | |||||
Global Bond | ||||||||||
Sub-adviser A | ||||||||||
BAR | $65,395 | $(1,386,870) | $(1,321,475) | $— | $(1,321,475) | |||||
Other Counterparties* | 642,645 | (373,593) | 269,052 | — | 269,052 | |||||
708,040 | (1,760,463) | (1,052,423) | — | (1,052,423) | ||||||
Sub-adviser B | ||||||||||
CITI | 288,122 | (941,830) | (653,708) | — | (653,708) | |||||
Other Counterparties* | 324,759 | (322,013) | 2,746 | — | 2,746 | |||||
612,881 | (1,263,843) | (650,962) | — | (650,962) | ||||||
Total Derivatives | $1,320,921 | $(3,024,306) | $(1,703,385) | $— | $(1,703,385) | |||||
International Equity | ||||||||||
Sub-adviser A | ||||||||||
Other Counterparties* | $2,941,000 | $(3,134,292) | $(193,292) | $193,292 | $— | |||||
Sub-adviser B | ||||||||||
Other Counterparties* | — | (22,824) | (22,824) | — | (22,824) | |||||
Total Derivatives | $2,941,000 | $(3,157,116) | $(216,116) | $193,292 | $(22,824) | |||||
Emerging Markets Equity | ||||||||||
Sub-adviser A | ||||||||||
Other Counterparties* | $3,526,908 | $(3,070,557) | $456,351 | $(456,351) | $— | |||||
Total Derivatives | $3,526,908 | $(3,070,557) | $456,351 | $(456,351) | $— |
Table of Contents
Fund/Sub-adviser/Counterparty | Derivative Assets Subject to an ISDA MA | Derivative Liabilities Subject to an ISDA MA | Value of Derivatives Subject to an ISDA MA | Collateral (Received)/ Pledged | Net Exposure | |||||
Strategic Alternatives | ||||||||||
Sub-adviser A | ||||||||||
SC | $553,510 | $(2,001,108) | $(1,447,598) | $1,240,000 | $(207,598) | |||||
Other Counterparties* | 14,627,337 | (13,553,717) | 1,073,620 | (846,675) | 226,945 | |||||
15,180,847 | (15,554,825) | (373,978) | 393,325 | 19,347 | ||||||
Sub-adviser B | ||||||||||
Other Counterparties* | 1,392,125 | (1,183,468) | 208,657 | (3,327) | 205,330 | |||||
Sub-adviser D | ||||||||||
Other Counterparties* | 80,748 | — | 80,748 | — | 80,748 | |||||
Total Derivatives | $16,653,720 | $(16,738,293) | $(84,573) | $389,998 | $305,425 |
Location on the Statements of Assets and Liabilities | ||||
Derivative Type | Asset Derivatives | Liability Derivatives | ||
Interest rate contracts | Investments in securities of unaffiliated issuers, at value | Options written, at value | ||
Receivables: Variation margin* | Payables: Variation margin* | |||
Unrealized appreciation on swap agreements | Unrealized depreciation on swap agreements | |||
Foreign exchange contracts | Investments in securities of unaffiliated issuers, at value | Options written, at value | ||
Unrealized appreciation on foreign currency exchange contracts | Unrealized depreciation on foreign currency exchange contracts | |||
Credit contracts | Unrealized appreciation on swap agreements | Unrealized depreciation on swap agreements | ||
Equity contracts | Investments in securities of unaffiliated issuers, at value | Options written, at value | ||
Receivables: Variation margin* | Payables: Variation margin* |
Asset Derivative Value | ||||||||||
Fund | Total Value at 12/31/19 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
MyDestination 2015 | ||||||||||
Futures | $45,396 | $— | $— | $— | $45,396 |
Table of Contents
Asset Derivative Value | ||||||||||
Fund | Total Value at 12/31/19 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
MyDestination 2025 | ||||||||||
Futures | $173,065 | $— | $— | $— | $173,065 | |||||
MyDestination 2035 | ||||||||||
Futures | $177,042 | $— | $— | $— | $177,042 | |||||
MyDestination 2045 | ||||||||||
Futures | $139,935 | $— | $— | $— | $139,935 | |||||
MyDestination 2055 | ||||||||||
Futures | $43,206 | $— | $— | $— | $43,206 | |||||
Conservative Allocation | ||||||||||
Futures | $23,247 | $474 | $— | $— | $22,773 | |||||
Balanced Allocation | ||||||||||
Futures | $247,154 | $— | $— | $— | $247,154 | |||||
Growth Allocation | ||||||||||
Futures | $272,269 | $— | $— | $— | $272,269 | |||||
Aggressive Allocation | ||||||||||
Futures | $276,413 | $— | $— | $— | $276,413 | |||||
Low-Duration Bond | ||||||||||
Forwards | $81,270 | $— | $81,270 | $— | $— | |||||
Futures | 450,817 | 450,817 | — | — | — | |||||
Swaps | 127,359 | 127,359 | — | — | — | |||||
Totals | $659,446 | $578,176 | $81,270 | $— | $— | |||||
Medium-Duration Bond | ||||||||||
Forwards | $1,186,399 | $— | $1,186,399 | $— | $— | |||||
Futures | 3,755,487 | 3,755,487 | — | — | — | |||||
Purchased Options | 254,220 | 254,220 | — | — | — | |||||
Swaps | 6,171,605 | 5,139,647 | — | 1,031,958 | — | |||||
Totals | $11,367,711 | $9,149,354 | $1,186,399 | $1,031,958 | $— | |||||
Global Bond | ||||||||||
Forwards | $1,320,921 | $— | $1,320,921 | $— | $— | |||||
Futures | 1,081,917 | 1,081,917 | — | — | — | |||||
Swaps | 5,222 | — | — | 5,222 | — | |||||
Totals | $2,408,060 | $1,081,917 | $1,320,921 | $5,222 | $— | |||||
Defensive Market Strategies | ||||||||||
Forwards | $3,161 | $— | $3,161 | $— | $— | |||||
Equity Index | ||||||||||
Futures | $736,473 | $— | $— | $— | $736,473 | |||||
Value Equity | ||||||||||
Forwards | $16,955 | $— | $16,955 | $— | $— | |||||
Futures | 327,841 | — | — | — | 327,841 | |||||
Totals | $344,796 | $— | $16,955 | $— | $327,841 |
Table of Contents
Asset Derivative Value | ||||||||||
Fund | Total Value at 12/31/19 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
Growth Equity | ||||||||||
Futures | $609,921 | $— | $— | $— | $609,921 | |||||
Small Cap Equity | ||||||||||
Futures | $85,961 | $— | $— | $— | $85,961 | |||||
International Equity Index | ||||||||||
Futures | $123,577 | $— | $— | $— | $123,577 | |||||
International Equity | ||||||||||
Forwards | $2,768,294 | $— | $2,768,294 | $— | $— | |||||
Futures | 392,208 | — | — | — | 392,208 | |||||
Swaps | 172,706 | — | — | — | 172,706 | |||||
Totals | $3,333,208 | $— | $2,768,294 | $— | $564,914 | |||||
Emerging Markets Equity | ||||||||||
Forwards | $2,424,473 | $— | $2,424,473 | $— | $— | |||||
Futures | 533,653 | — | — | — | 533,653 | |||||
Swaps | 1,102,435 | — | — | — | 1,102,435 | |||||
Totals | $4,060,561 | $— | $2,424,473 | $— | $1,636,088 | |||||
Global Real Estate Securities | ||||||||||
Futures | $96,580 | $— | $— | $— | $96,580 | |||||
Strategic Alternatives | ||||||||||
Forwards | $16,287,874 | $— | $16,287,874 | $— | $— | |||||
Futures | 157,614 | 157,614 | — | — | — | |||||
Purchased Options | 8,100 | — | — | — | 8,100 | |||||
Swaps | 1,789,153 | 1,703,418 | 4,988 | — | 80,747 | |||||
Totals | $18,242,741 | $1,861,032 | $16,292,862 | $— | $88,847 |
Liabilities Derivative Value | ||||||||||
Fund | Total Value at 12/31/19 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
MyDestination 2015 | ||||||||||
Futures | $27,930 | $27,930 | $— | $— | $— | |||||
MyDestination 2025 | ||||||||||
Futures | $67,919 | $67,919 | $— | $— | $— | |||||
MyDestination 2035 | ||||||||||
Futures | $23,215 | $23,215 | $— | $— | $— | |||||
MyDestination 2045 | ||||||||||
Futures | $10,849 | $10,849 | $— | $— | $— | |||||
MyDestination 2055 | ||||||||||
Futures | $1,296 | $1,115 | $— | $— | $181 | |||||
Conservative Allocation | ||||||||||
Futures | $434 | $— | $— | $— | $434 |
Table of Contents
Liabilities Derivative Value | ||||||||||
Fund | Total Value at 12/31/19 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
Balanced Allocation | ||||||||||
Futures | $108,381 | $108,381 | $— | $— | $— | |||||
Growth Allocation | ||||||||||
Futures | $35,959 | $35,959 | $— | $— | $— | |||||
Low-Duration Bond | ||||||||||
Forwards | $1,111,428 | $— | $1,111,428 | $— | $— | |||||
Futures | 432,273 | 432,273 | — | — | — | |||||
Written Options | 39,376 | — | — | 39,376 | ��� | |||||
Swaps | 642,837 | 511,582 | — | 131,255 | — | |||||
Totals | $2,225,914 | $943,855 | $1,111,428 | $170,631 | $— | |||||
Medium-Duration Bond | ||||||||||
Forwards | $2,495,539 | $— | $2,495,539 | $— | $— | |||||
Futures | 7,175,348 | 7,175,348 | — | — | — | |||||
Written Options | 1,154,029 | 1,154,029 | — | — | — | |||||
Swaps | 2,284,563 | 2,186,954 | — | 97,609 | — | |||||
Totals | $13,109,479 | $10,516,331 | $2,495,539 | $97,609 | $— | |||||
Global Bond | ||||||||||
Forwards | $3,024,306 | $— | $3,024,306 | $— | $— | |||||
Futures | 356,190 | 356,190 | — | — | — | |||||
Totals | $3,380,496 | $356,190 | $3,024,306 | $— | $— | |||||
Defensive Market Strategies | ||||||||||
Forwards | $192,657 | $— | $192,657 | $— | $— | |||||
Futures | 466,502 | — | — | — | 466,502 | |||||
Written Options | 791,539 | — | — | — | 791,539 | |||||
Totals | $1,450,698 | $— | $192,657 | $— | $1,258,041 | |||||
Value Equity | ||||||||||
Forwards | $506,087 | $— | $506,087 | $— | $— | |||||
International Equity | ||||||||||
Forwards | $2,776,678 | $— | $2,776,678 | $— | $— | |||||
Futures | 204,203 | — | — | — | 204,203 | |||||
Swaps | 380,438 | — | — | — | 380,438 | |||||
Totals | $3,361,319 | $— | $2,776,678 | $— | $584,641 | |||||
Emerging Markets Equity | ||||||||||
Forwards | $2,828,398 | $— | $2,828,398 | $— | $— | |||||
Futures | 37,459 | — | — | — | 37,459 | |||||
Swaps | 242,159 | — | — | — | 242,159 | |||||
Totals | $3,108,016 | $— | $2,828,398 | $— | $279,618 |
Table of Contents
Liabilities Derivative Value | ||||||||||
Fund | Total Value at 12/31/19 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
Strategic Alternatives | ||||||||||
Forwards | $16,735,104 | $— | $16,735,104 | $— | $— | |||||
Futures | 359,645 | 359,645 | — | — | — | |||||
Written Options | 286,127 | — | — | — | 286,127 | |||||
Swaps | 565,854 | 565,854 | — | — | — | |||||
Totals | $17,946,730 | $925,499 | $16,735,104 | $— | $286,127 |
Derivative Type | Location on the Statements of Operations | |
Interest rate contracts | Net realized gain (loss) from: Futures transactions | |
Net realized gain (loss) from: Swap agreements | ||
Net realized gain (loss) from: Option contracts written | ||
Net realized gain (loss) from: Option contracts purchased | ||
Net change in unrealized appreciation (depreciation) on: Futures | ||
Net change in unrealized appreciation (depreciation) on: Swap agreements | ||
Net change in unrealized appreciation (depreciation) on: Option contracts written | ||
Net change in unrealized appreciation (depreciation) on: Option contracts purchased | ||
Foreign exchange contracts | Net realized gain (loss) from: Foreign currency | |
Net realized gain (loss) from: Option contracts written | ||
Net realized gain (loss) from: Option contracts purchased | ||
Net change in unrealized appreciation (depreciation) on: Foreign currency | ||
Net change in unrealized appreciation (depreciation) on: Option contracts 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 realized gain (loss) from: Option contracts purchased | ||
Net unrealized appreciation (depreciation) on: Futures | ||
Net unrealized appreciation (depreciation) on: Option contracts written | ||
Net unrealized appreciation (depreciation) on: Option contracts purchased |
Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||
Fund | Total Value at 12/31/19 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
MyDestination 2015 | ||||||||||
Futures | $752,870 | $222,890 | $— | $— | $529,980 | |||||
MyDestination 2025 | ||||||||||
Futures | $2,611,689 | $515,300 | $— | $— | $2,096,389 | |||||
MyDestination 2035 | ||||||||||
Futures | $2,586,853 | $268,032 | $— | $— | $2,318,821 | |||||
MyDestination 2045 | ||||||||||
Futures | $2,290,448 | $79,503 | $— | $— | $2,210,945 | |||||
MyDestination 2055 | ||||||||||
Futures | $799,691 | $14,967 | $— | $— | $784,724 |
Table of Contents
Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||
Fund | Total Value at 12/31/19 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
Conservative Allocation | ||||||||||
Futures | $319,497 | $83,821 | $— | $— | $235,676 | |||||
Balanced Allocation | ||||||||||
Futures | $3,338,210 | $1,056,106 | $— | $— | $2,282,104 | |||||
Growth Allocation | ||||||||||
Futures | $2,715,714 | $448,543 | $— | $— | $2,267,171 | |||||
Aggressive Allocation | ||||||||||
Futures | $2,584,657 | $— | $— | $— | $2,584,657 | |||||
Low-Duration Bond | ||||||||||
Forwards | $1,211,575 | $— | $1,211,575 | $— | $— | |||||
Futures | (2,584,507) | (2,584,507) | — | — | — | |||||
Purchased Options | 27,094 | 27,094 | — | — | — | |||||
Swaps | (1,980,939) | (1,980,939) | — | — | — | |||||
Written Options | 467,081 | 400,933 | — | 66,148 | — | |||||
Totals | $(2,859,696) | $(4,137,419) | $1,211,575 | $66,148 | $— | |||||
Medium-Duration Bond | ||||||||||
Forwards | $(805,050) | $— | $(805,050) | $— | $— | |||||
Futures | 36,196,191 | 36,196,191 | — | — | — | |||||
Purchased Options | (2,084,358) | (1,952,574) | (131,784) | — | — | |||||
Swaps | (16,958,656) | (18,126,775) | — | 1,168,119 | — | |||||
Written Options | 2,922,007 | 2,526,736 | 380,232 | 15,039 | — | |||||
Totals | $19,270,134 | $18,643,578 | $(556,602) | $1,183,158 | $— | |||||
Global Bond | ||||||||||
Forwards | $(1,334,774) | $— | $(1,334,774) | $— | $— | |||||
Futures | (1,601,175) | (1,585,527) | — | — | (15,648) | |||||
Purchased Options | (195,528) | (70,634) | (124,894) | — | — | |||||
Swaps | (332,608) | — | — | (332,608) | — | |||||
Totals | $(3,464,085) | $(1,656,161) | $(1,459,668) | $(332,608) | $(15,648) | |||||
Defensive Market Strategies | ||||||||||
Forwards | $1,027,704 | $— | $1,027,704 | $— | $— | |||||
Futures | (2,176,112) | — | — | — | (2,176,112) | |||||
Written Options | 10,300,735 | — | — | — | 10,300,735 | |||||
Totals | $9,152,327 | $— | $1,027,704 | $— | $8,124,623 | |||||
Equity Index | ||||||||||
Futures | $13,099,932 | $— | $— | $— | $13,099,932 | |||||
Value Equity | ||||||||||
Forwards | $1,047,284 | $— | $1,047,284 | $— | $— | |||||
Futures | 6,033,037 | — | — | — | 6,033,037 | |||||
Totals | $7,080,321 | $— | $1,047,284 | $— | $6,033,037 |
Table of Contents
Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||
Fund | Total Value at 12/31/19 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
Growth Equity | ||||||||||
Futures | $9,771,247 | $— | $— | $— | $9,771,247 | |||||
Small Cap Equity | ||||||||||
Futures | $1,911,826 | $— | $— | $— | $1,911,826 | |||||
International Equity Index | ||||||||||
Futures | $4,891,251 | $— | $— | $— | $4,891,251 | |||||
International Equity | ||||||||||
Forwards | $(938,281) | $— | $(938,281) | $— | $— | |||||
Futures | 7,228,295 | — | — | — | 7,228,295 | |||||
Swaps | (1,821,444) | — | — | — | (1,821,444) | |||||
Totals | $4,468,570 | $— | $(938,281) | $— | $5,406,851 | |||||
Emerging Markets Equity | ||||||||||
Forwards | $6,002,574 | $— | $6,002,574 | $— | $— | |||||
Futures | 3,744,545 | — | — | — | 3,744,545 | |||||
Swaps | 1,594,906 | — | — | — | 1,594,906 | |||||
Totals | $11,342,025 | $— | $6,002,574 | $— | $5,339,451 | |||||
Global Real Estate Securities | ||||||||||
Forwards | $(7,392) | $— | $(7,392) | $— | $— | |||||
Futures | 1,323,101 | — | — | — | 1,323,101 | |||||
Totals | $1,315,709 | $— | $(7,392) | $— | $1,323,101 | |||||
Strategic Alternatives | ||||||||||
Forwards | $(1,901,860) | $— | $(1,901,860) | $— | $— | |||||
Futures | (36,597) | (36,597) | — | — | — | |||||
Purchased Options | (2,725,691) | (2,001,399) | — | — | (724,292) | |||||
Swaps | 145,472 | 83,974 | (178,164) | 989 | 238,673 | |||||
Written Options | 5,621,582 | 3,273,839 | — | — | 2,347,743 | |||||
Totals | $1,102,906 | $1,319,817 | $(2,080,024) | $989 | $1,862,124 |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||
Fund | Total Value at 12/31/19 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
MyDestination 2015 | ||||||||||
Futures | $53,306 | $(96,073) | $— | $— | $149,379 | |||||
MyDestination 2025 | ||||||||||
Futures | $336,249 | $(191,024) | $— | $— | $527,273 | |||||
MyDestination 2035 | ||||||||||
Futures | $484,544 | $(89,587) | $— | $— | $574,131 | |||||
MyDestination 2045 | ||||||||||
Futures | $451,770 | $(31,952) | $— | $— | $483,722 | |||||
MyDestination 2055 | ||||||||||
Futures | $107,109 | $(4,129) | $— | $— | $111,238 |
Table of Contents
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||
Fund | Total Value at 12/31/19 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
Conservative Allocation | ||||||||||
Futures | $63,520 | $(22,296) | $— | $— | $85,816 | |||||
Balanced Allocation | ||||||||||
Futures | $395,756 | $(392,512) | $— | $— | $788,268 | |||||
Growth Allocation | ||||||||||
Futures | $717,200 | $(143,490) | $— | $— | $860,690 | |||||
Aggressive Allocation | ||||||||||
Futures | $953,003 | $— | $— | $— | $953,003 | |||||
Low-Duration Bond | ||||||||||
Forwards | $(909,167) | $— | $(909,167) | $— | $— | |||||
Futures | 71,646 | 71,646 | — | — | — | |||||
Purchased Options | (468,489) | (468,489) | — | — | — | |||||
Swaps | (463,404) | (323,584) | — | (139,820) | — | |||||
Written Options | 337,404 | 466,781 | — | (129,377) | — | |||||
Totals | $(1,432,010) | $(253,646) | $(909,167) | $(269,197) | $— | |||||
Medium-Duration Bond | ||||||||||
Forwards | $(172,575) | $— | $(172,575) | $— | $— | |||||
Futures | (12,124,728) | (12,124,728) | — | — | — | |||||
Purchased Options | (1,415,044) | (1,418,406) | 3,362 | — | — | |||||
Swaps | 7,427,740 | 5,645,853 | — | 1,781,887 | — | |||||
Written Options | 2,360,058 | 2,367,394 | (7,336) | — | — | |||||
Totals | $(3,924,549) | $(5,529,887) | $(176,549) | $1,781,887 | $— | |||||
Global Bond | ||||||||||
Forwards | $(2,792,350) | $— | $(2,792,350) | $— | $— | |||||
Futures | 543,663 | 543,663 | — | — | — | |||||
Swaps | 5,222 | — | — | 5,222 | — | |||||
Totals | $(2,243,465) | $543,663 | $(2,792,350) | $5,222 | $— | |||||
Defensive Market Strategies | ||||||||||
Forwards | $(50,254) | $— | $(50,254) | $— | $— | |||||
Futures | (466,502) | — | — | — | (466,502) | |||||
Written Options | 353,272 | — | — | — | 353,272 | |||||
Totals | $(163,484) | $— | $(50,254) | $— | $(113,230) | |||||
Equity Index | ||||||||||
Futures | $2,157,945 | $— | $— | $— | $2,157,945 | |||||
Value Equity | ||||||||||
Forwards | $(489,132) | $— | $(489,132) | $— | $— | |||||
Futures | 1,255,987 | — | — | — | 1,255,987 | |||||
Totals | $766,855 | $— | $(489,132) | $— | $1,255,987 | |||||
Growth Equity | ||||||||||
Futures | $2,661,905 | $— | $— | $— | $2,661,905 |
Table of Contents
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||
Fund | Total Value at 12/31/19 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
Small Cap Equity | ||||||||||
Futures | $567,676 | $— | $— | $— | $567,676 | |||||
International Equity Index | ||||||||||
Futures | $558,622 | $— | $— | $— | $558,622 | |||||
International Equity | ||||||||||
Forwards | $3,016,141 | $— | $3,016,141 | $— | $— | |||||
Futures | 1,896,059 | — | — | — | 1,896,059 | |||||
Swaps | 47,742 | — | — | — | 47,742 | |||||
Totals | $4,959,942 | $— | $3,016,141 | $— | $1,943,801 | |||||
Emerging Markets Equity | ||||||||||
Forwards | $(921,965) | $— | $(921,965) | $— | $— | |||||
Futures | 1,189,618 | — | — | — | 1,189,618 | |||||
Swaps | 1,009,819 | — | — | — | 1,009,819 | |||||
Totals | $1,277,472 | $— | $(921,965) | $— | $2,199,437 | |||||
Global Real Estate Securities | ||||||||||
Futures | $302,495 | $— | $— | $— | $302,495 | |||||
Strategic Alternatives | ||||||||||
Forwards | $(42,462) | $— | $(42,462) | $— | $— | |||||
Futures | 236,031 | — | — | — | 236,031 | |||||
Purchased Options | (259,751) | — | — | — | (259,751) | |||||
Swaps | 939,911 | 896,090 | (12,098) | — | 55,919 | |||||
Written Options | 38,459 | — | — | — | 38,459 | |||||
Totals | $912,188 | $896,090 | $(54,560) | $— | $70,658 |
Long Derivative Volume | ||||||||
Fund | Forward Foreign Currency Contracts | Financial Futures Contracts | Purchased Option Contracts | Swap Contracts | ||||
MyDestination 2015 | $ — | $6,078,272 | $ — | $ — | ||||
MyDestination 2025 | — | 19,371,006 | — | — | ||||
MyDestination 2035 | — | 18,174,883 | — | — | ||||
MyDestination 2045 | — | 12,682,200 | — | — | ||||
MyDestination 2055 | — | 3,951,573 | — | — | ||||
Conservative Allocation | — | 7,870,875 | — | — | ||||
Balanced Allocation | — | 26,731,439 | — | — | ||||
Growth Allocation | — | 22,388,321 | — | — | ||||
Aggressive Allocation | — | 18,902,224 | — | — | ||||
Low-Duration Bond | 52,443,002 | 542,156,829 | 86,027 | 119,213,356 | ||||
Medium-Duration Bond | 152,828,025 | 957,711,030 | 1,871,984 | 674,445,610 |
Table of Contents
Long Derivative Volume | ||||||||
Fund | Forward Foreign Currency Contracts | Financial Futures Contracts | Purchased Option Contracts | Swap Contracts | ||||
Global Bond | $58,638,945 | $25,436,281 | $73,433 | $— | ||||
Defensive Market Strategies | 24,036,474 | — | — | — | ||||
Equity Index | — | 63,207,552 | — | — | ||||
Value Equity | 60,172,183 | 30,866,108 | — | — | ||||
Growth Equity | — | 48,511,545 | — | — | ||||
Small Cap Equity | — | 17,057,022 | — | — | ||||
International Equity Index | — | 32,595,631 | — | — | ||||
International Equity | 141,396,684 | 96,331,550 | — | 14,970,424 | ||||
Emerging Markets Equity | 103,668,622 | 44,272,506 | — | 110,151,607 | ||||
Global Real Estate Securities | — | 8,795,900 | — | — | ||||
Strategic Alternatives | 593,203,069 | 46,255,881 | 276,104 | 199,200,640 |
Short Derivative Volume | ||||||||
Fund | Forward Foreign Currency Contracts | Financial Futures Contracts | Written Option Contracts | Swap Contracts | ||||
Low-Duration Bond | $ 10,774,815 | $ 245,099,407 | $ 204,081 | $ 106,834,668 | ||||
Medium-Duration Bond | 100,747,038 | 564,004,522 | 2,503,129 | 329,136,782 | ||||
Global Bond | 80,172,808 | 40,838,871 | — | 26,651,621 | ||||
Defensive Market Strategies | 741,040 | 23,647,317 | 1,243,294 | — | ||||
Value Equity | 1,232,307 | — | — | — | ||||
International Equity | 140,442,869 | 36,438,000 | — | 19,235,376 | ||||
Emerging Markets Equity | 114,881,954 | 9,457,091 | — | 8,767,888 | ||||
Strategic Alternatives | 600,956,833 | 69,181,516 | 716,178 | 240,529,198 |
Table of Contents
Fund | Advisory Fees | Sub-Adviser Fees | ||
MyDestination 2015 | 0.10% | N/A | ||
MyDestination 2025 | 0.10% | N/A | ||
MyDestination 2035 | 0.10% | N/A | ||
MyDestination 2045 | 0.10% | N/A | ||
MyDestination 2055 | 0.10% | N/A | ||
Conservative Allocation | 0.10% | N/A | ||
Balanced Allocation | 0.10% | N/A | ||
Growth Allocation | 0.10% | N/A | ||
Aggressive Allocation | 0.10% | N/A | ||
Money Market | 0.07% | 0.04% | ||
Low-Duration Bond | 0.11% | 0.19% | ||
Medium-Duration Bond | 0.13% | 0.19% | ||
Extended-Duration Bond | 0.25% | 0.21% | ||
Global Bond | 0.25% | 0.22% | ||
Defensive Market Strategies | 0.33% | 0.28% | ||
Equity Index | 0.08% | 0.01% | ||
Value Equity | 0.33% | 0.25% | ||
Growth Equity | 0.33% | 0.34% | ||
Small Cap Equity | 0.33% | 0.60% | ||
International Equity Index | 0.10% | 0.01% | ||
International Equity | 0.33% | 0.43% | ||
Emerging Markets Equity | 0.33% | 0.54% | ||
Global Real Estate Securities | 0.30% | 0.38% | ||
Strategic Alternatives | 0.40% | 0.47% |
Table of Contents
For the Period January 1, 2019 to April 30, 2019 | For the Period May 1, 2019 to December 31, 2019 | |||||||
Fund | Institutional Class | Investor Class | Institutional Class | Investor Class | ||||
MyDestination 2015 | 0.50% | 0.75% | 0.50% | 0.75% | ||||
MyDestination 2025 | 0.50% | 0.75% | 0.50% | 0.75% | ||||
MyDestination 2035 | 0.50% | 0.75% | 0.50% | 0.75% | ||||
MyDestination 2045 | 0.50% | 0.75% | 0.50% | 0.75% | ||||
MyDestination 2055 | 0.50% | 0.75% | 0.50% | 0.75% | ||||
Equity Index | 0.15% | N/A | 0.15% | N/A | ||||
International Equity Index | 0.22% | N/A | 0.22% | N/A | ||||
Emerging Markets Equity | 1.32% | 1.57% | 1.32% | 1.57% | ||||
Strategic Alternatives | 1.28% | 1.53% | N/A | N/A |
Institutional Class | Investor Class | |||||||||||
Fund | 2020 | 2021 | 2022 | 2020 | 2021 | 2022 | ||||||
MyDestination 2015 | $ — | $23,338 | $85,750 | $30,638 | $106,157 | $356,438 |
Table of Contents
Institutional Class | Investor Class | |||||||||||
Fund | 2020 | 2021 | 2022 | 2020 | 2021 | 2022 | ||||||
MyDestination 2025 | $— | $34,998 | $107,568 | $— | $139,632 | $352,125 | ||||||
MyDestination 2035 | — | 13,410 | 4,396 | 24,128 | 39,969 | — | ||||||
MyDestination 2045 | — | 6,432 | 1,806 | 59,007 | 26,433 | — | ||||||
MyDestination 2055 | 28,120 | 27,146 | 22,333 | 110,489 | 90,006 | 40,211 | ||||||
Equity Index | — | — | — | N/A | N/A | N/A | ||||||
International Equity Index | — | — | 79,832 | N/A | N/A | N/A | ||||||
Emerging Markets Equity | — | — | — | 77,711 | — | — |
Fund | Expenses Paid Through Brokerage Service Agreements | |
Value Equity | $15,665 | |
Growth Equity | 20,700 | |
Small Cap Equity | 45,109 | |
Emerging Markets Equity | 924 | |
Global Real Estate Securities | 22,894 |
Table of Contents
Fund | MyDestination 2015 Fund | MyDestination 2025 Fund | MyDestination 2035 Fund | MyDestination 2045 Fund | MyDestination 2055 Fund | |||||||
Money Market | 0.61% | 1.79% | 1.79% | 1.35% | 0.42% | |||||||
Low-Duration Bond | 10.20 | 8.07 | — | — | — | |||||||
Medium-Duration Bond | 9.47 | 20.10 | 9.30 | 3.21 | 0.68 | |||||||
Global Bond | 11.07 | 17.89 | 6.79 | 2.35 | 0.49 | |||||||
Defensive Market Strategies | 5.80 | 12.38 | 4.42 | 2.73 | 0.86 | |||||||
Equity Index | 5.31 | 16.11 | 16.11 | 14.55 | 4.76 | |||||||
Small Cap Equity | 1.91 | 5.73 | 5.64 | 5.14 | 1.68 | |||||||
International Equity Index | 9.03 | 27.07 | 27.45 | 24.75 | 8.10 | |||||||
Emerging Markets Equity | 3.76 | 10.82 | 10.81 | 9.35 | 3.06 | |||||||
Global Real Estate Securities | 2.19 | 6.01 | 5.31 | 4.69 | 1.53 | |||||||
Strategic Alternatives | 8.24 | 9.46 | — | — | — |
Fund | Conservative Allocation Fund | Balanced Allocation Fund | Growth Allocation Fund | Aggressive Allocation Fund | ||||||
Money Market | 0.58% | 2.51% | 1.86% | 1.46% | ||||||
Low-Duration Bond | 25.45 | 10.15 | 3.50 | — | ||||||
Medium-Duration Bond | 3.79 | 20.94 | 7.12 | — | ||||||
Extended-Duration Bond | — | 26.38 | 8.97 | — | ||||||
Global Bond | 2.77 | 22.48 | 7.59 | — | ||||||
Defensive Market Strategies | 3.09 | 13.17 | 4.53 | — | ||||||
Value Equity | 2.50 | 14.27 | 19.42 | 23.69 | ||||||
Growth Equity | 1.78 | 10.47 | 13.93 | 17.19 | ||||||
Small Cap Equity | 1.00 | 5.80 | 7.79 | 9.61 | ||||||
International Equity | 2.64 | 15.11 | 20.62 | 25.00 | ||||||
Emerging Markets Equity | 1.84 | 10.76 | 14.44 | 17.67 | ||||||
Global Real Estate Securities | 2.41 | 12.53 | 14.27 | — | ||||||
Strategic Alternatives | 6.72 | 15.93 | 7.50 | — |
Table of Contents
Total Value at 12/31/18 | Purchases | Sales Proceeds | Net Realized Gains/(Losses) | Change in Unrealized Appreciation/ (Depreciation) | Total Value at 12/31/19 | Dividend Income | Distributions of Realized Gains | ||||||||
MyDestination 2015 | |||||||||||||||
Money Market | $7,501 | $58,662 | $58,235 | $— | $— | $7,928 | $178 | $— | |||||||
Low-Duration Bond | 90,929 | 12,268 | 3,060 | (10) | 1,365 | 101,492 | 2,410 | — | |||||||
Medium-Duration Bond | 152,347 | 15,264 | 7,191 | (57) | 8,475 | 168,838 | 4,556 | 2,187 | |||||||
Global Bond | 61,290 | 3,034 | 1,299 | (45) | 4,597 | 67,577 | 2,347 | — | |||||||
Defensive Market Strategies | 64,969 | 4,154 | 4,322 | 413 | 8,079 | 73,293 | 914 | 3,140 | |||||||
Equity Index | 105,430 | 3,659 | 23,836 | 6,142 | 22,095 | 113,490 | 1,914 | 743 | |||||||
Small Cap Equity | 9,515 | 425 | 475 | (91) | 2,049 | 11,423 | 14 | 412 | |||||||
International Equity Index | 57,916 | 3,851 | 7,650 | 538 | 9,800 | 64,455 | 1,895 | — | |||||||
Emerging Markets Equity | 16,267 | 1,279 | 334 | — | 2,842 | 20,054 | 508 | — | |||||||
Global Real Estate Securities | 5,779 | 428 | 1,331 | (48) | 943 | 5,771 | 331 | 97 | |||||||
Strategic Alternatives | 28,651 | 2,676 | 274 | 3 | 733 | 31,789 | 578 | 120 | |||||||
$600,594 | $105,700 | $108,007 | $6,845 | $60,978 | $666,110 | $15,645 | $6,699 | ||||||||
MyDestination 2025 | |||||||||||||||
Money Market | $15,958 | $112,000 | $104,766 | $— | $— | $23,192 | $482 | $— | |||||||
Low-Duration Bond | 50,703 | 28,756 | — | — | 799 | 80,258 | 1,657 | — | |||||||
Medium-Duration Bond | 299,142 | 56,087 | 13,367 | (89) | 16,800 | 358,573 | 9,209 | 4,566 | |||||||
Global Bond | 86,074 | 17,515 | 1,025 | (39) | 6,679 | 109,204 | 3,612 | — | |||||||
Defensive Market Strategies | 123,041 | 18,131 | 1,368 | 104 | 16,354 | 156,262 | 1,911 | 6,662 | |||||||
Equity Index | 287,215 | 14,954 | 37,783 | 9,195 | 70,416 | 343,997 | 5,579 | 2,174 | |||||||
Small Cap Equity | 26,073 | 3,026 | 307 | (64) | 5,513 | 34,241 | 40 | 1,236 | |||||||
International Equity Index | 160,147 | 13,278 | 9,000 | 646 | 28,078 | 193,149 | 5,679 | — | |||||||
Emerging Markets Equity | 45,929 | 4,636 | 1,000 | (2) | 8,118 | 57,681 | 1,462 | — | |||||||
Global Real Estate Securities | 13,664 | 1,168 | 1,117 | (51) | 2,173 | 15,837 | 902 | 265 | |||||||
Strategic Alternatives | 29,991 | 6,074 | 302 | 3 | 758 | 36,524 | 664 | 138 | |||||||
$1,137,937 | $275,625 | $170,035 | $9,703 | $155,688 | $1,408,918 | $31,197 | $15,041 | ||||||||
MyDestination 2035 | |||||||||||||||
Money Market | $15,961 | $100,185 | $92,955 | $— | $— | $23,191 | $389 | $— | |||||||
Medium-Duration Bond | 119,714 | 44,864 | 5,572 | (76) | 6,891 | 165,821 | 3,935 | 2,070 | |||||||
Global Bond | 28,323 | 11,503 | 662 | (25) | 2,311 | 41,450 | 1,299 | — | |||||||
Defensive Market Strategies | 39,779 | 11,619 | 892 | 68 | 5,300 | 55,874 | 654 | 2,319 | |||||||
Equity Index | 258,945 | 25,387 | 15,445 | 3,669 | 71,484 | 344,040 | 5,458 | 2,159 | |||||||
Small Cap Equity | 23,638 | 6,297 | 1,459 | (284) | 5,534 | 33,726 | 40 | 1,217 | |||||||
International Equity Index | 148,258 | 23,229 | 2,700 | 122 | 26,947 | 195,856 | 5,758 | — | |||||||
Emerging Markets Equity | 42,125 | 8,435 | 658 | 1 | 7,728 | 57,631 | 1,461 | — | |||||||
Global Real Estate Securities | 10,924 | 2,529 | 1,164 | (29) | 1,733 | 13,993 | 789 | 228 | |||||||
$687,667 | $234,048 | $121,507 | $3,446 | $127,928 | $931,582 | $19,783 | $7,993 |
Table of Contents
Total Value at 12/31/18 | Purchases | Sales Proceeds | Net Realized Gains/(Losses) | Change in Unrealized Appreciation/ (Depreciation) | Total Value at 12/31/19 | Dividend Income | Distributions of Realized Gains | ||||||||
MyDestination 2045 | |||||||||||||||
Money Market | $10,350 | $75,272 | $68,086 | $— | $— | $17,536 | $290 | $— | |||||||
Medium-Duration Bond | 43,484 | 16,643 | 5,283 | (32) | 2,470 | 57,282 | 1,372 | 714 | |||||||
Global Bond | 10,869 | 3,261 | 616 | (16) | 842 | 14,340 | 449 | — | |||||||
Defensive Market Strategies | 25,602 | 6,679 | 1,235 | (9) | 3,394 | 34,431 | 407 | 1,423 | |||||||
Equity Index | 227,554 | 27,101 | 10,385 | 2,395 | 64,000 | 310,665 | 4,887 | 1,935 | |||||||
Small Cap Equity | 21,162 | 5,892 | 957 | (211) | 4,802 | 30,688 | 36 | 1,102 | |||||||
International Equity Index | 131,106 | 25,133 | 3,583 | 163 | 23,834 | 176,653 | 5,131 | — | |||||||
Emerging Markets Equity | 37,403 | 7,133 | 1,557 | 75 | 6,763 | 49,817 | 1,280 | — | |||||||
Global Real Estate Securities | 9,536 | 2,325 | 971 | (33) | 1,481 | 12,338 | 696 | 199 | |||||||
$517,066 | $169,439 | $92,673 | $2,332 | $107,586 | $703,750 | $14,548 | $5,373 | ||||||||
MyDestination 2055 | |||||||||||||||
Money Market | $3,632 | $51,226 | $49,355 | $— | $— | $5,503 | $87 | $— | |||||||
Medium-Duration Bond | 8,270 | 5,247 | 1,943 | 43 | 439 | 12,056 | 281 | 149 | |||||||
Global Bond | 2,129 | 1,104 | 379 | (3) | 167 | 3,018 | 93 | — | |||||||
Defensive Market Strategies | 7,266 | 3,554 | 961 | (11) | 1,003 | 10,851 | 124 | 443 | |||||||
Equity Index | 68,222 | 20,864 | 7,853 | 1,926 | 18,523 | 101,682 | 1,543 | 622 | |||||||
Small Cap Equity | 6,448 | 3,594 | 1,448 | 47 | 1,403 | 10,044 | 12 | 354 | |||||||
International Equity Index | 38,702 | 15,452 | 3,671 | 365 | 6,971 | 57,819 | 1,685 | — | |||||||
Emerging Markets Equity | 11,022 | 4,856 | 1,693 | 206 | 1,915 | 16,306 | 414 | — | |||||||
Global Real Estate Securities | 2,739 | 1,612 | 733 | 33 | 379 | 4,030 | 226 | 64 | |||||||
$148,430 | $107,509 | $68,036 | $2,606 | $30,800 | $221,309 | $4,465 | $1,632 | ||||||||
Conservative Allocation | |||||||||||||||
Money Market | $5,148 | $53,889 | $51,529 | $— | $— | $7,508 | $150 | $— | |||||||
Low-Duration Bond | 238,265 | 15,607 | 4,191 | (39) | 3,506 | 253,148 | 6,108 | — | |||||||
Medium-Duration Bond | 65,251 | 3,145 | 4,312 | (118) | 3,572 | 67,538 | 1,857 | 869 | |||||||
Global Bond | 16,437 | 683 | 1,379 | (60) | 1,238 | 16,919 | 600 | — | |||||||
Defensive Market Strategies | 35,770 | 2,587 | 3,996 | 399 | 4,281 | 39,041 | 498 | 1,706 | |||||||
Value Equity | 27,727 | 4,211 | 5,401 | (1,267) | 5,047 | 30,317 | 538 | 2,910 | |||||||
Growth Equity | 27,943 | 3,595 | 7,268 | (138) | 6,255 | 30,387 | 30 | 2,866 | |||||||
Small Cap Equity | 4,874 | 460 | 380 | (69) | 1,083 | 5,968 | 7 | 223 | |||||||
International Equity | 31,119 | 2,744 | 4,642 | (663) | 6,049 | 34,607 | 763 | 983 | |||||||
Emerging Markets Equity | 8,964 | 1,053 | 1,765 | 22 | 1,537 | 9,811 | 268 | — | |||||||
Global Real Estate Securities | 6,156 | 478 | 1,228 | (64) | 1,000 | 6,342 | 362 | 106 | |||||||
Strategic Alternatives | 25,384 | 1,131 | 1,228 | 6 | 652 | 25,945 | 465 | 96 | |||||||
$493,038 | $89,583 | $87,319 | $(1,991) | $34,220 | $527,531 | $11,646 | $9,759 |
Table of Contents
Total Value at 12/31/18 | Purchases | Sales Proceeds | Net Realized Gains/(Losses) | Change in Unrealized Appreciation/ (Depreciation) | Total Value at 12/31/19 | Dividend Income | Distributions of Realized Gains | ||||||||
Balanced Allocation | |||||||||||||||
Money Market | $25,803 | $119,020 | $112,270 | $— | $— | $32,553 | $650 | $— | |||||||
Low-Duration Bond | 94,385 | 7,603 | 2,427 | (15) | 1,392 | 100,938 | 2,431 | — | |||||||
Medium-Duration Bond | 349,379 | 26,959 | 21,913 | (153) | 19,229 | 373,501 | 10,174 | 4,785 | |||||||
Extended-Duration Bond | 61,768 | 7,511 | 7,225 | (727) | 6,382 | 67,709 | 1,861 | 833 | |||||||
Global Bond | 127,339 | 8,530 | 8,025 | (234) | 9,594 | 137,204 | 4,730 | — | |||||||
Defensive Market Strategies | 149,057 | 9,275 | 11,470 | 1,100 | 18,359 | 166,321 | 2,097 | 7,178 | |||||||
Value Equity | 154,535 | 22,575 | 24,706 | (5,857) | 26,791 | 173,338 | 3,054 | 16,270 | |||||||
Growth Equity | 156,698 | 25,153 | 37,865 | (1,402) | 35,800 | 178,384 | 171 | 16,632 | |||||||
Small Cap Equity | 27,916 | 3,483 | 2,620 | (478) | 6,365 | 34,666 | 42 | 1,287 | |||||||
International Equity | 174,342 | 16,193 | 22,348 | (3,328) | 33,576 | 198,435 | 4,368 | 5,495 | |||||||
Emerging Markets Equity | 46,256 | 5,714 | 2,800 | 31 | 8,141 | 57,342 | 1,454 | — | |||||||
Global Real Estate Securities | 31,879 | 3,045 | 6,848 | (240) | 5,153 | 32,989 | 1,892 | 553 | |||||||
Strategic Alternatives | 60,704 | 1,350 | 2,132 | (1) | 1,569 | 61,490 | 1,118 | 231 | |||||||
$1,460,061 | $256,411 | $262,649 | $(11,304) | $172,351 | $1,614,870 | $34,042 | $53,264 | ||||||||
Growth Allocation | |||||||||||||||
Money Market | $18,201 | $106,531 | $100,626 | $— | $— | $24,106 | $524 | $— | |||||||
Low-Duration Bond | 31,837 | 3,501 | 1,000 | 1 | 473 | 34,812 | 837 | — | |||||||
Medium-Duration Bond | 120,582 | 13,317 | 13,400 | (79) | 6,612 | 127,032 | 3,470 | 1,645 | |||||||
Extended-Duration Bond | 20,717 | 2,921 | 2,520 | (283) | 2,192 | 23,027 | 632 | 287 | |||||||
Global Bond | 42,864 | 3,120 | 2,864 | (58) | 3,241 | 46,303 | 1,621 | — | |||||||
Defensive Market Strategies | 50,494 | 3,175 | 3,034 | (4) | 6,611 | 57,242 | 719 | 2,457 | |||||||
Value Equity | 204,933 | 28,833 | 25,944 | (5,625) | 33,605 | 235,802 | 4,101 | 21,632 | |||||||
Growth Equity | 207,087 | 24,100 | 39,189 | (1,556) | 46,907 | 237,349 | 228 | 21,873 | |||||||
Small Cap Equity | 38,361 | 4,384 | 4,269 | (783) | 8,849 | 46,542 | 55 | 1,679 | |||||||
International Equity | 233,648 | 20,209 | 23,512 | (3,569) | 43,980 | 270,756 | 5,961 | 7,460 | |||||||
Emerging Markets Equity | 63,802 | 5,001 | 2,963 | 68 | 11,071 | 76,979 | 1,951 | — | |||||||
Global Real Estate Securities | 36,475 | 3,779 | 8,045 | (525) | 5,889 | 37,573 | 2,148 | 630 | |||||||
Strategic Alternatives | 28,127 | 1,221 | 1,150 | (2) | 741 | 28,937 | 526 | 109 | |||||||
$1,097,128 | $220,092 | $228,516 | $(12,415) | $170,171 | $1,246,460 | $22,773 | $57,772 | ||||||||
Aggressive Allocation | |||||||||||||||
Money Market | $18,449 | $81,320 | $80,840 | $— | $— | $18,929 | $404 | $— | |||||||
Value Equity | 243,737 | 33,304 | 22,301 | (5,067) | 37,991 | 287,664 | 5,014 | 26,390 | |||||||
Growth Equity | 247,815 | 33,178 | 42,452 | (1,535) | 55,978 | 292,984 | 280 | 26,867 | |||||||
Small Cap Equity | 48,708 | 3,140 | 4,259 | (1,057) | 10,908 | 57,440 | 68 | 2,073 | |||||||
International Equity | 273,047 | 22,300 | 14,740 | (2,090) | 49,781 | 328,298 | 7,227 | 9,072 | |||||||
Emerging Markets Equity | 77,058 | 6,150 | 2,337 | (12) | 13,313 | 94,172 | 2,388 | — | |||||||
$908,814 | $179,392 | $166,929 | $(9,761) | $167,971 | $1,079,487 | $15,381 | $64,402 | ||||||||
Low-Duration Bond | |||||||||||||||
Money Market | $8,110 | $416,864 | $403,702 | $— | $— | $21,272 | $579 | $— | |||||||
Medium-Duration Bond | |||||||||||||||
Money Market | $28,981 | $786,108 | $758,692 | $— | $— | $56,397 | $2,083 | $— |
Table of Contents
Total Value at 12/31/18 | Purchases | Sales Proceeds | Net Realized Gains/(Losses) | Change in Unrealized Appreciation/ (Depreciation) | Total Value at 12/31/19 | Dividend Income | Distributions of Realized Gains | ||||||||
Extended-Duration Bond | |||||||||||||||
Money Market | $4,270 | $81,978 | $78,439 | $— | $— | $7,809 | $170 | $— | |||||||
Global Bond | |||||||||||||||
Money Market | $30,916 | $284,386 | $286,537 | $— | $— | $28,765 | $918 | $— | |||||||
Defensive Market Strategies | |||||||||||||||
Money Market | $31,395 | $394,247 | $357,347 | $— | $— | $68,295 | $1,424 | $— | |||||||
Equity Index | |||||||||||||||
Money Market | $83,664 | $320,814 | $350,594 | $— | $— | $53,884 | $1,162 | $— | |||||||
Value Equity | |||||||||||||||
Money Market | $45,945 | $526,772 | $543,872 | $— | $— | $28,845 | $648 | $— | |||||||
Growth Equity | |||||||||||||||
Money Market | $56,037 | $523,268 | $526,775 | $— | $— | $52,530 | $1,169 | $— | |||||||
Small Cap Equity | |||||||||||||||
Money Market | $16,995 | $237,209 | $239,309 | $— | $— | $14,895 | $471 | $— | |||||||
International Equity Index | |||||||||||||||
Money Market | $25,574 | $171,449 | $166,253 | $— | $— | $30,770 | $607 | $— | |||||||
International Equity | |||||||||||||||
Money Market | $60,810 | $357,401 | $362,153 | $— | $— | $56,058 | $1,229 | $— | |||||||
Emerging Markets Equity | |||||||||||||||
Money Market | $15,609 | $160,706 | $161,346 | $— | $— | $14,969 | $421 | $— | |||||||
Global Real Estate Securities | |||||||||||||||
Money Market | $4,154 | $85,497 | $82,590 | $— | $— | $7,061 | $154 | $— | |||||||
Strategic Alternatives | |||||||||||||||
Money Market | $10,994 | $285,209 | $248,049 | $— | $— | $48,154 | $534 | $— |
Table of Contents
Fund | Value of Securities Loaned | Value of Non-cash Collateral | Value of Cash Collateral | Total Value of Collateral * | ||||
Low-Duration Bond | $66,802,675 | $12,747,091 | $55,958,919 | $68,706,010 | ||||
Medium-Duration Bond | 30,778,152 | 11,821,310 | 20,002,584 | 31,823,894 | ||||
Extended-Duration Bond | 32,274,377 | 7,106,622 | 26,030,692 | 33,137,314 | ||||
Global Bond | 45,404,474 | 7,984,024 | 39,008,103 | 46,992,127 | ||||
Defensive Market Strategies | 28,866,008 | 14,427,331 | 15,051,560 | 29,478,891 | ||||
Equity Index | 62,105,161 | 59,966,350 | 3,543,423 | 63,509,773 | ||||
Value Equity | 18,773,934 | 18,153,514 | 993,789 | 19,147,303 | ||||
Growth Equity | 123,220,330 | 112,445,068 | 13,382,687 | 125,827,755 | ||||
Small Cap Equity | 65,077,582 | 53,417,191 | 13,044,167 | 66,461,358 | ||||
International Equity Index | 14,802,477 | 14,220,656 | 1,670,877 | 15,891,533 | ||||
International Equity | 15,991,103 | 12,159,436 | 4,448,350 | 16,607,786 | ||||
Emerging Markets Equity | 6,851,796 | 6,116,778 | 880,827 | 6,997,605 | ||||
Global Real Estate Securities | 745,279 | 519,230 | 255,671 | 774,901 |
Table of Contents
Cost of Purchases and Proceeds from Sales and Maturities of Long-Term Securities (other than U.S. Government Obligations) | Cost of Purchases and Proceeds from Sales and Maturities of Long-Term U.S Government Obligations | |||||||
Fund | Purchases | Sale and Maturity Proceeds | Purchases | Sale and Maturity Proceeds | ||||
MyDestination 2015 | $47,037,632 | $49,771,215 | $— | $— | ||||
MyDestination 2025 | 163,624,860 | 65,268,605 | — | — | ||||
MyDestination 2035 | 133,863,963 | 28,552,443 | — | — | ||||
MyDestination 2045 | 94,166,985 | 24,586,788 | — | — | ||||
MyDestination 2055 | 56,283,736 | 18,611,720 | — | — | ||||
Conservative Allocation | 35,695,884 | 35,790,617 | — | — | ||||
Balanced Allocation | 137,391,470 | 150,379,570 | — | — | ||||
Growth Allocation | 113,560,655 | 127,889,283 | — | — | ||||
Aggressive Allocation | 98,072,834 | 86,089,365 | — | — | ||||
Money Market | — | — | — | — | ||||
Low-Duration Bond | 406,260,036 | 356,807,839 | 4,758,552,278 | 4,674,659,745 | ||||
Medium-Duration Bond | 385,427,133 | 278,540,457 | 7,455,718,056 | 7,415,773,234 | ||||
Extended-Duration Bond | 29,255,045 | 23,358,044 | 74,244,727 | 66,461,056 | ||||
Global Bond | 220,853,526 | 239,088,982 | 95,938,216 | 46,110,518 | ||||
Defensive Market Strategies | 496,482,626 | 473,045,120 | — | — | ||||
Equity Index | 143,559,939 | 30,370,864 | — | — | ||||
Value Equity | 1,025,375,525 | 1,082,363,494 | — | — | ||||
Growth Equity | 324,852,955 | 458,654,488 | — | — | ||||
Small Cap Equity | 450,929,755 | 459,424,512 | — | — | ||||
International Equity Index | 93,122,852 | 29,144,463 | — | — | ||||
International Equity | 677,857,857 | 677,192,919 | — | — | ||||
Emerging Markets Equity | 441,912,065 | 403,845,258 | — | — | ||||
Global Real Estate Securities | 279,517,966 | 279,693,166 | — | — | ||||
Strategic Alternatives | 800,397,054 | 788,079,575 | 57,038,273 | 52,330,576 |
Year Ended 12/31/19 | Year Ended 12/31/18 | |||||||
Fund | Institutional Class | Investor Class | Institutional Class | Investor Class | ||||
MyDestination 2015 | ||||||||
Shares sold | 5,158,213 | 4,844,500 | 1,592,802 | 7,664,541 | ||||
Shares reinvested | 559,684 | 1,952,980 | 691,890 | 3,169,737 | ||||
Shares redeemed | (3,068,691) | (9,086,967) | (1,692,956) | (8,305,598) | ||||
Net increase (decrease) | 2,649,206 | (2,289,487) | 591,736 | 2,528,680 |
Table of Contents
Year Ended 12/31/19 | Year Ended 12/31/18 | |||||||
Fund | Institutional Class | Investor Class | Institutional Class | Investor Class | ||||
MyDestination 2025 | ||||||||
Shares sold | 10,994,862 | 10,950,754 | 5,435,507 | 11,013,083 | ||||
Shares reinvested | 1,334,327 | 3,668,881 | 1,750,073 | 5,958,892 | ||||
Shares redeemed | (4,977,012) | (11,030,457) | (1,496,924) | (5,621,517) | ||||
Net increase (decrease) | 7,352,177 | 3,589,178 | 5,688,656 | 11,350,458 | ||||
MyDestination 2035 | ||||||||
Shares sold | 8,627,301 | 9,078,117 | 4,259,575 | 7,435,946 | ||||
Shares reinvested | 915,016 | 2,121,864 | 1,389,913 | 3,995,826 | ||||
Shares redeemed | (3,590,511) | (5,865,794) | (893,295) | (2,044,306) | ||||
Net increase (decrease) | 5,951,806 | 5,334,187 | 4,756,193 | 9,387,466 | ||||
MyDestination 2045 | ||||||||
Shares sold | 6,343,932 | 6,961,249 | 3,644,133 | 5,819,518 | ||||
Shares reinvested | 810,936 | 1,540,878 | 1,471,382 | 3,176,096 | ||||
Shares redeemed | (3,384,656) | (4,302,572) | (694,206) | (1,337,921) | ||||
Net increase (decrease) | 3,770,212 | 4,199,555 | 4,421,309 | 7,657,693 | ||||
MyDestination 2055 | ||||||||
Shares sold | 2,254,239 | 2,980,112 | 1,735,905 | 2,251,547 | ||||
Shares reinvested | 231,456 | 410,459 | 349,702 | 593,894 | ||||
Shares redeemed | (1,614,674) | (1,187,683) | (190,603) | (421,124) | ||||
Net increase (decrease) | 871,021 | 2,202,888 | 1,895,004 | 2,424,317 | ||||
Conservative Allocation | ||||||||
Shares sold | 2,236,774 | 4,113,153 | 1,397,312 | 3,933,200 | ||||
Shares reinvested | 436,752 | 1,552,451 | 272,742 | 1,183,139 | ||||
Shares redeemed | (1,024,764) | (6,872,227) | (1,084,008) | (5,097,960) | ||||
Net increase (decrease) | 1,648,762 | (1,206,623) | 586,046 | 18,379 | ||||
Balanced Allocation | ||||||||
Shares sold | 6,029,393 | 4,653,123 | 1,247,657 | 3,732,737 | ||||
Shares reinvested | 1,971,376 | 6,248,266 | 1,212,231 | 4,504,896 | ||||
Shares redeemed | (3,789,186) | (14,563,358) | (3,145,614) | (8,296,634) | ||||
Net increase (decrease) | 4,211,583 | (3,661,969) | (685,726) | (59,001) | ||||
Growth Allocation | ||||||||
Shares sold | 3,334,747 | 3,143,548 | 584,203 | 2,640,443 | ||||
Shares reinvested | 2,260,314 | 6,601,445 | 966,710 | 3,155,813 | ||||
Shares redeemed | (2,451,859) | (11,164,910) | (1,781,797) | (6,724,880) | ||||
Net increase (decrease) | 3,143,202 | (1,419,917) | (230,884) | (928,624) | ||||
Aggressive Allocation | ||||||||
Shares sold | 3,720,629 | 2,481,588 | 472,057 | 2,132,753 | ||||
Shares reinvested | 2,225,911 | 7,719,037 | 638,095 | 2,666,545 | ||||
Shares redeemed | (1,717,716) | (10,063,469) | (1,333,609) | (5,264,693) | ||||
Net increase (decrease) | 4,228,824 | 137,156 | (223,457) | (465,395) |
Table of Contents
Year Ended 12/31/19 | Year Ended 12/31/18 | |||||||
Fund | Institutional Class | Investor Class | Institutional Class | Investor Class | ||||
Money Market | ||||||||
Shares sold | 4,301,371,523 | 372,222,653 | 1,748,822,489 | 4,746,224,687 | ||||
Shares reinvested | 4,362,064 | 7,235,378 | 2,208,187 | 5,445,866 | ||||
Shares redeemed | (4,243,079,202) | (395,729,389) | (1,178,447,349) | (5,238,005,118) | ||||
Net increase (decrease) | 62,654,385 | (16,271,358) | 572,583,327 | (486,334,565) | ||||
Low-Duration Bond | ||||||||
Shares sold | 12,551,013 | 2,530,141 | 7,598,064 | 2,461,282 | ||||
Shares reinvested | 1,315,187 | 408,076 | 1,120,581 | 496,739 | ||||
Shares redeemed | (2,665,469) | (8,680,164) | (7,437,019) | (3,068,194) | ||||
Net increase (decrease) | 11,200,731 | (5,741,947) | 1,281,626 | (110,173) | ||||
Medium-Duration Bond | ||||||||
Shares sold | 13,540,278 | 4,682,843 | 16,940,380 | 3,332,425 | ||||
Shares reinvested | 3,796,051 | 738,258 | 2,434,579 | 461,492 | ||||
Shares redeemed | (6,207,432) | (3,889,971) | (9,644,859) | (3,137,711) | ||||
Net increase (decrease) | 11,128,897 | 1,531,130 | 9,730,100 | 656,206 | ||||
Extended-Duration Bond | ||||||||
Shares sold | 1,144,874 | 2,164,773 | 449,708 | 796,153 | ||||
Shares reinvested | 273,186 | 268,885 | 270,425 | 237,241 | ||||
Shares redeemed | (869,183) | (2,073,902) | (1,081,183) | (1,297,143) | ||||
Net increase (decrease) | 548,877 | 359,756 | (361,050) | (263,749) | ||||
Global Bond | ||||||||
Shares sold | 7,165,911 | 3,993,143 | 7,558,859 | 2,522,405 | ||||
Shares reinvested | 1,668,672 | 370,923 | 1,386,648 | 379,119 | ||||
Shares redeemed | (4,101,504) | (4,325,191) | (5,259,775) | (2,836,189) | ||||
Net increase (decrease) | 4,733,079 | 38,875 | 3,685,732 | 65,335 | ||||
Defensive Market Strategies | ||||||||
Shares sold | 5,887,780 | 10,224,002 | 8,509,401 | 7,339,280 | ||||
Shares reinvested | 3,346,366 | 1,808,567 | 3,377,339 | 1,751,027 | ||||
Shares redeemed | (4,354,794) | (8,025,323) | (3,671,181) | (6,948,280) | ||||
Net increase (decrease) | 4,879,352 | 4,007,246 | 8,215,559 | 2,142,027 | ||||
Equity Index | ||||||||
Shares sold | 5,273,559 | 2,798,001 | 26,415,319 | 2,666,638 | ||||
Shares reinvested | 950,842 | 376,640 | 635,988 | 329,987 | ||||
Shares redeemed | (4,085,318) | (3,070,984) | (3,267,111) | (2,013,706) | ||||
Net increase (decrease) | 2,139,083 | 103,657 | 23,784,196 | 982,919 | ||||
Value Equity | ||||||||
Shares sold | 1,776,842 | 1,533,095 | 2,427,541 | 1,334,212 | ||||
Shares reinvested | 4,805,181 | 2,153,966 | 7,299,082 | 3,388,630 | ||||
Shares redeemed | (4,726,326) | (3,533,365) | (17,432,247) | (2,197,442) | ||||
Net increase (decrease) | 1,855,697 | 153,696 | (7,705,624) | 2,525,400 |
Table of Contents
Year Ended 12/31/19 | Year Ended 12/31/18 | |||||||
Fund | Institutional Class | Investor Class | Institutional Class | Investor Class | ||||
Growth Equity | ||||||||
Shares sold | 2,648,920 | 2,755,516 | 2,611,117 | 3,989,703 | ||||
Shares reinvested | 3,361,800 | 2,756,872 | 5,525,364 | 4,664,964 | ||||
Shares redeemed | (6,050,380) | (5,306,239) | (18,178,641) | (2,790,036) | ||||
Net increase (decrease) | (39,660) | 206,149 | (10,042,160) | 5,864,631 | ||||
Small Cap Equity | ||||||||
Shares sold | 2,806,216 | 1,842,795 | 1,854,040 | 2,279,150 | ||||
Shares reinvested | 813,704 | 611,340 | 3,707,989 | 3,486,885 | ||||
Shares redeemed | (1,738,011) | (3,764,720) | (1,926,065) | (2,234,624) | ||||
Net increase (decrease) | 1,881,909 | (1,310,585) | 3,635,964 | 3,531,411 | ||||
International Equity Index | ||||||||
Shares sold | 7,423,012 | 41,656,032 | ||||||
Shares reinvested | 1,904,082 | 856,762 | ||||||
Shares redeemed | (2,703,988) | (973,357) | ||||||
Net increase (decrease) | 6,623,106 | 41,539,437 | ||||||
International Equity | ||||||||
Shares sold | 4,636,440 | 3,794,260 | 7,425,117 | 2,175,172 | ||||
Shares reinvested | 3,415,346 | 1,187,097 | 8,296,428 | 2,899,478 | ||||
Shares redeemed | (5,939,356) | (3,802,408) | (29,345,787) | (2,778,019) | ||||
Net increase (decrease) | 2,112,430 | 1,178,949 | (13,624,242) | 2,296,631 | ||||
Emerging Markets Equity | ||||||||
Shares sold | 4,547,780 | 2,102,847 | 7,175,778 | 4,062,973 | ||||
Shares reinvested | 1,150,802 | 160,273 | 290,286 | 22,294 | ||||
Shares redeemed | (2,152,678) | (2,318,633) | (2,936,797) | (5,166,585) | ||||
Net increase (decrease) | 3,545,904 | (55,513) | 4,529,267 | (1,081,318) | ||||
Global Real Estate Securities | ||||||||
Shares sold | 2,054,553 | 2,974,207 | 1,352,089 | 1,058,826 | ||||
Shares reinvested | 1,142,558 | 726,106 | 656,128 | 386,397 | ||||
Shares redeemed | (2,674,346) | (2,791,652) | (713,302) | (2,238,944) | ||||
Net increase (decrease) | 522,765 | 908,661 | 1,294,915 | (793,721) | ||||
Strategic Alternatives | ||||||||
Shares sold | 3,452,292 | 1,225,099 | 3,454,216 | 2,383,652 | ||||
Shares reinvested | 716,595 | 105,265 | 694,201 | 124,486 | ||||
Shares redeemed | (4,070,510) | (2,549,140) | (1,713,511) | (1,568,326) | ||||
Net increase (decrease) | 98,377 | (1,218,776) | 2,434,906 | 939,812 |
Table of Contents
Fund | Year | Ordinary Income | Long-Term Capital Gain | Return of Capital | Total Distribution | |||||
MyDestination 2015 | 2019 | $16,670,062 | $9,643,245 | $— | $26,313,307 | |||||
2018 | 22,803,959 | 14,085,921 | — | 36,889,880 | ||||||
MyDestination 2025 | 2019 | 33,763,974 | 18,708,958 | — | 52,472,932 | |||||
2018 | 33,986,791 | 38,055,961 | — | 72,042,752 | ||||||
MyDestination 2035 | 2019 | 20,667,946 | 10,532,737 | — | 31,200,683 | |||||
2018 | 22,165,480 | 25,579,129 | — | 47,744,609 |
Table of Contents
Fund | Year | Ordinary Income | Long-Term Capital Gain | Return of Capital | Total Distribution | |||||
MyDestination 2045 | 2019 | $14,714,829 | $8,586,521 | $— | $23,301,350 | |||||
2018 | 15,798,135 | 23,490,194 | — | 39,288,329 | ||||||
MyDestination 2055 | 2019 | 4,672,156 | 4,193,333 | — | 8,865,489 | |||||
2018 | 4,222,783 | 6,934,772 | — | 11,157,555 | ||||||
Conservative Allocation | 2019 | 10,900,966 | 12,236,121 | — | 23,137,087 | |||||
2018 | 15,397,717 | 437,488 | — | 15,835,205 | ||||||
Balanced Allocation | 2019 | 34,502,761 | 66,794,786 | — | 101,297,547 | |||||
2018 | 59,404,751 | 3,908,455 | — | 63,313,206 | ||||||
Growth Allocation | 2019 | 19,999,040 | 89,559,476 | — | 109,558,516 | |||||
2018 | 41,898,996 | 3,525,774 | — | 45,424,770 | ||||||
Aggressive Allocation | 2019 | 11,003,181 | 107,448,362 | — | 118,451,543 | |||||
2018 | 31,324,625 | 3,691,707 | — | 35,016,332 | ||||||
Money Market | 2019 | 27,768,702 | — | — | 27,768,702 | |||||
2018 | 18,097,193 | — | — | 18,097,193 | ||||||
Low-Duration Bond | 2019 | 23,248,543 | — | — | 23,248,543 | |||||
2018 | 21,597,150 | — | — | 21,597,150 | ||||||
Medium-Duration Bond | 2019 | 59,270,742 | 8,895,418 | — | 68,166,160 | |||||
2018 | 41,568,447 | — | — | 41,568,447 | ||||||
Extended-Duration Bond | 2019 | 7,545,607 | 2,246,414 | — | 9,792,021 | |||||
2018 | 6,878,837 | 1,763,567 | — | 8,642,404 | ||||||
Global Bond | 2019 | 20,221,476 | — | — | 20,221,476 | |||||
2018 | 17,233,962 | — | — | 17,233,962 | ||||||
Defensive Market Strategies | 2019 | 29,152,022 | 39,137,230 | — | 68,289,252 | |||||
2018 | 23,181,404 | 39,872,400 | — | 63,053,804 | ||||||
Equity Index | 2019 | 36,174,047 | 9,614,945 | — | 45,788,992 | |||||
2018 | 21,300,972 | 6,035,838 | — | 27,336,810 | ||||||
Value Equity | 2019 | 20,124,546 | 112,001,078 | — | 132,125,624 | |||||
2018 | 38,627,518 | 153,636,772 | — | 192,264,290 | ||||||
Growth Equity | 2019 | 5,232,310 | 151,896,069 | — | 157,128,379 | |||||
2018 | 5,401,351 | 221,388,439 | — | 226,789,790 | ||||||
Small Cap Equity | 2019 | 746,585 | 21,320,019 | — | 22,066,604 | |||||
2018 | 16,705,821 | 80,730,527 | — | 97,436,348 | ||||||
International Equity Index | 2019 | 20,799,847 | — | — | 20,799,847 | |||||
2018 | 7,738,165 | — | — | 7,738,165 | ||||||
International Equity | 2019 | 28,005,024 | 36,195,026 | — | 64,200,050 | |||||
2018 | 27,909,942 | 107,935,276 | — | 135,845,218 | ||||||
Emerging Markets Equity | 2019 | 13,250,595 | — | — | 13,250,595 | |||||
2018 | 2,656,034 | — | — | 2,656,034 | ||||||
Global Real Estate Securities | 2019 | 19,123,112 | — | — | 19,123,112 | |||||
2018 | 9,704,770 | — | — | 9,704,770 | ||||||
Strategic Alternatives | 2019 | 6,848,636 | 1,494,225 | — | 8,342,861 | |||||
2018 | 7,693,005 | 367,373 | — | 8,060,378 |
Table of Contents
Fund | Undistributed Ordinary Income | Undistributed Long-Term Capital Gain/ (Capital Loss Carryforward) | Qualified Late Year Losses | Net Unrealized Appreciation Depreciation | ||||
MyDestination 2015 | $197,110 | $6,052,434 | $— | $28,492,581 | ||||
MyDestination 2025 | 516,652 | 10,983,516 | — | 78,826,976 | ||||
MyDestination 2035 | 446,256 | 5,652,789 | — | 67,422,830 | ||||
MyDestination 2045 | 373,477 | 3,968,517 | — | 57,722,245 | ||||
MyDestination 2055 | 181,517 | 1,318,807 | — | 15,293,288 | ||||
Conservative Allocation | 391,964 | 7,759,497 | — | 2,382,374 | ||||
Balanced Allocation | 2,582,277 | 41,308,540 | — | (7,952,832) | ||||
Growth Allocation | 3,670,726 | 46,298,051 | — | (33,363,339) | ||||
Aggressive Allocation | 3,405,012 | 56,670,525 | — | (48,138,159) | ||||
Money Market | 27,605 | — | — | — | ||||
Low-Duration Bond | 574,297 | (11,833,764) | — | 5,018,412 | ||||
Medium-Duration Bond | 965,559 | — | (15,200,232) | 49,607,755 | ||||
Extended-Duration Bond | 201,269 | 1,233,111 | — | 15,337,731 | ||||
Global Bond | 595,912 | 3,452,155 | (7,368,945) | 7,326,049 | ||||
Defensive Market Strategies | 3,272,758 | 3,028,972 | — | 170,706,701 | ||||
Equity Index | 1,915,955 | 5,047,222 | — | 639,999,229 | ||||
Value Equity | 10,359,660 | 5,328,149 | — | 142,318,422 | ||||
Growth Equity | 1,828,089 | 26,326,334 | — | 557,061,174 | ||||
Small Cap Equity | 137,676 | 7,359,532 | — | 31,978,201 | ||||
International Equity Index | 521,207 | (2,197,388) | — | 40,295,769 | ||||
International Equity | 959,069 | 1,905,316 | — | 77,881,477 | ||||
Emerging Markets Equity | 1,986,484 | (9,186,630) | — | 42,658,732 | ||||
Global Real Estate Securities | 3,177,936 | — | — | 9,268,507 | ||||
Strategic Alternatives | 433,684 | 39,191 | — | 2,709,205 |
Fund | Unlimited | |
Low-Duration Bond | $11,833,764 | |
International Equity Index | 2,197,388 | |
Emerging Markets Equity | 9,186,630 |
Fund | Carryforward Utilized | |
Low-Duration Bond | $3,025,178 | |
Medium-Duration Bond | 21,420,689 | |
Global Bond | 4,096,517 | |
International Equity Index | 1,772,616 | |
Global Real Estate Securities | 4,140,771 | |
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Fund | Capital | Ordinary Income | Total | |||
Medium-Duration Bond | $15,200,232 | $ — | $15,200,232 | |||
Global Bond | — | 7,368,945 | 7,368,945 |
Fund | Federal Tax Cost | Net Unrealized Appreciation (Depreciation) | Appreciated Securities | Depreciated Securities | ||||
MyDestination 2015 | $637,816,467 | $28,492,581 | $28,891,381 | $(398,800) | ||||
MyDestination 2025 | 1,330,687,929 | 78,826,976 | 80,535,656 | (1,708,680) | ||||
MyDestination 2035 | 864,905,179 | 67,422,832 | 68,320,670 | (897,838) | ||||
MyDestination 2045 | 646,674,237 | 57,722,245 | 58,505,105 | (782,860) | ||||
MyDestination 2055 | 206,216,020 | 15,293,289 | 15,681,103 | (387,814) | ||||
Conservative Allocation | 525,247,931 | 2,382,377 | 5,355,820 | (2,973,443) | ||||
Balanced Allocation | 1,623,817,707 | (7,952,829) | 21,372,516 | (29,325,345) | ||||
Growth Allocation | 1,280,718,477 | (33,363,338) | 26,542,206 | (59,905,544) | ||||
Aggressive Allocation | 1,128,719,424 | (48,138,158) | 26,363,468 | (74,501,626) | ||||
Money Market | 1,303,300,637 | — | — | — | ||||
Low-Duration Bond | 1,117,330,738 | 4,847,093 | 7,655,131 | (2,808,038) | ||||
Medium-Duration Bond | 1,890,189,666 | 49,177,803 | 61,840,231 | (12,662,428) | ||||
Extended-Duration Bond | 267,453,638 | 15,336,909 | 18,081,986 | (2,745,077) | ||||
Global Bond | 640,640,212 | 7,179,659 | 25,940,763 | (18,761,104) | ||||
Defensive Market Strategies | 1,105,126,659 | 170,704,472 | 176,746,988 | (6,042,516) | ||||
Equity Index | 1,500,770,882 | 639,999,228 | 679,406,383 | (39,407,155) | ||||
Value Equity | 1,072,837,430 | 142,318,422 | 162,921,242 | (20,602,820) | ||||
Growth Equity | 1,157,139,567 | 557,061,174 | 571,188,996 | (14,127,822) | ||||
Small Cap Equity | 577,223,920 | 31,978,200 | 64,814,365 | (32,836,165) | ||||
International Equity Index | 668,062,068 | 40,242,838 | 75,975,174 | (35,732,336) | ||||
International Equity | 1,222,092,325 | 78,411,058 | 158,573,319 | (80,162,261) | ||||
Emerging Markets Equity | 489,290,227 | 42,777,128 | 57,621,769 | (14,844,641) | ||||
Global Real Estate Securities | 253,632,285 | 9,261,302 | 12,121,328 | (2,860,026) | ||||
Strategic Alternatives | 350,379,774 | 2,650,331 | 4,778,819 | (2,128,488) |
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Fund | Paid in Capital | Undistributed Net Investment Income | Accumulated Net Realized Gain (Loss) on Investments, Currency Translations and Derivative Transactions | |||
MyDestination 2015 | $ — | $2,501,262 | $(2,501,262) | |||
MyDestination 2025 | — | 5,501,564 | (5,501,564) | |||
MyDestination 2035 | — | 2,758,133 | (2,758,133) | |||
MyDestination 2045 | — | 1,589,974 | (1,589,974) | |||
MyDestination 2055 | — | 460,678 | (460,678) | |||
Conservative Allocation | — | 1,185,141 | (1,185,141) | |||
Balanced Allocation | — | 6,164,395 | (6,164,395) | |||
Growth Allocation | — | 3,026,249 | (3,026,249) | |||
Aggressive Allocation | — | 781,914 | (781,914) | |||
Money Market | — | 22,056 | (22,056) | |||
Low-Duration Bond | — | 1,592,380 | (1,592,380) | |||
Medium-Duration Bond | — | (1,468,433) | 1,468,433 | |||
Extended-Duration Bond | — | (79,995) | 79,995 | |||
Global Bond | 850 | (10,902,840) | 10,901,990 | |||
Defensive Market Strategies | — | 795,827 | (795,827) | |||
Equity Index | — | 251,453 | (251,453) | |||
Value Equity | (39,192) | 911,551 | (872,359) | |||
Growth Equity | — | 553,786 | (553,786) | |||
Small Cap Equity | — | 88,607 | (88,607) | |||
International Equity Index | — | 37,468 | (37,468) | |||
International Equity | — | (642,212) | 642,212 | |||
Emerging Markets Equity | — | 6,090,604 | (6,090,604) | |||
Global Real Estate Securities | — | 5,970,825 | (5,970,825) | |||
Strategic Alternatives | 1,022 | 488,957 | (489,979) |
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Fund | Ordinary Income | Long-Term Capital Gain (20% rate) | Return of Capital | |||
MyDestination 2015 | $16,670,062 | $9,643,245 | $— | |||
MyDestination 2025 | 33,763,974 | 18,708,958 | — | |||
MyDestination 2035 | 20,667,946 | 10,532,737 | — | |||
MyDestination 2045 | 14,714,829 | 8,586,521 | — | |||
MyDestination 2055 | 4,672,156 | 4,193,333 | — | |||
Conservative Allocation | 10,900,966 | 12,236,121 | — | |||
Balanced Allocation | 34,502,761 | 66,794,786 | — | |||
Growth Allocation | 19,999,040 | 89,559,476 | — | |||
Aggressive Allocation | 11,003,181 | 107,448,362 | — | |||
Money Market | 27,768,702 | — | — | |||
Low-Duration Bond | 23,248,543 | — | — | |||
Medium-Duration Bond | 59,270,742 | 8,895,418 | — | |||
Extended-Duration Bond | 7,545,607 | 2,246,414 | — | |||
Global Bond | 20,221,476 | — | — | |||
Defensive Market Strategies | 29,152,022 | 39,137,230 | — | |||
Equity Index | 36,174,047 | 9,614,945 | — | |||
Value Equity | 20,124,546 | 112,001,078 | — | |||
Growth Equity | 5,232,310 | 151,896,069 | — | |||
Small Cap Equity | 746,585 | 21,320,019 | — | |||
International Equity Index | 20,799,847 | — | — | |||
International Equity | 28,005,024 | 36,195,026 | — | |||
Emerging Markets Equity | 13,250,595 | — | — | |||
Global Real Estate Securities | 19,123,112 | — | — | |||
Strategic Alternatives | 6,848,636 | 1,494,225 | — | |||
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Fund | Qualified Dividend Income | Qualified Short Term | ||
MyDestination 2015 | 30.23 % | — % | ||
MyDestination 2025 | 41.87 % | — % | ||
MyDestination 2035 | 62.41 % | — % | ||
MyDestination 2045 | 77.22 % | — % | ||
MyDestination 2055 | 78.02 % | — % | ||
Conservative Allocation | 18.98 % | — % | ||
Balanced Allocation | 31.97 % | — % | ||
Growth Allocation | 64.53 % | — % | ||
Aggressive Allocation | 100.00 % | — % | ||
Global Bond | 2.52 % | — % | ||
Defensive Market Strategies | 84.40 % | — % | ||
Equity Index | 100.00 % | 17.69 % | ||
Value Equity | 100.00 % | — % | ||
Growth Equity | 100.00 % | 100.00 % | ||
Small Cap Equity | 100.00 % | 100.00 % | ||
International Equity Index | 90.87 % | — % | ||
International Equity | 100.00 % | — % | ||
Emerging Markets Equity | 74.50 % | — % | ||
Global Real Estate Securities | 7.56 % | — % | ||
Strategic Alternatives | 8.21 % | — % | ||
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Fund | Long Term Capital Gain Rate |
MyDestination 2015 | $0.1560 |
MyDestination 2025 | 0.1440 |
MyDestination 2035 | 0.1208 |
MyDestination 2045 | 0.1259 |
MyDestination 2055 | 0.2758 |
Conservative Allocation | 0.2786 |
Balanced Allocation | 0.5363 |
Growth Allocation | 0.9673 |
Aggressive Allocation | 1.3349 |
Medium-Duration Bond | 0.0772 |
Extended-Duration Bond | 0.1613 |
Defensive Market Strategies | 0.3552 |
Equity Index | 0.1287 |
Value Equity | 1.9414 |
Growth Equity | 2.1707 |
Small Cap Equity | 0.5801 |
International Equity | 0.3993 |
Strategic Alternatives | 0.0390 |
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Name, (Year of Birth), 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 Trustee2 |
INDEPENDENT TRUSTEES | ||||
William Craig George (1958) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee | Since 2004 | Senior Credit Officer, First National Bank of PA, 2014 – present. | 24 | None |
Barry D. Hartis (1945) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee | Since 2014 | Certified Public Accountant, 1987 – present. | 24 | None |
Grady R. Hazel (1947) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 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. | 24 | None |
David B. McMillan (1957) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee | Since 2019 | Chief Executive Officer and Founder, Peridot Energy LLC, 2008 – present; Chief Executive Officer, INEA International/VHSC Cement, 2015 – 2017. | 24 | None |
Franklin R. Morgan (1943) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee | Since 2005 | Retired – Senior Vice President, Director of International Administration, Prudential Securities, Inc., 1960 – 2003. | 24 | None |
Ronald D. Murff (1953) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee | Since 2019 | President, JKL Group, LLC, 2010 – present; Principal, Dalcor Companies, 2012 – present. | 24 | None |
INTERESTED TRUSTEES3 | ||||
Randall T. Hahn, D.Min. (1965) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee | Since 2018 | Senior Pastor, The Heights Baptist Church, 2002 – present. | 24 | None |
John R. Morris (1938) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee | Since 2017 | Vice President and Broker-in-Charge, Hound Ears Club, Inc., 2010 – present. | 24 | None |
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Name, (Year of Birth), 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 Trustee2 |
OFFICERS WHO ARE NOT TRUSTEES4 | ||||
Ron W. Bass (1966) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 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) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Vice President – Fund Operations | Since 2014 | Managing Director, Fund Operations, GuideStone Financial Resources, 2014 – present. | N/A | N/A |
John R. Jones (1953) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 President | Since 2000 | Executive Vice President and Chief Operating Officer, GuideStone Financial Resources, 1997 – present. | N/A | N/A |
Patrick Pattison (1974) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 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) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 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 |
David S. Spika (1964) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Executive Vice President | Since 2019 | Vice President and Chief Strategic Investment Officer, GuideStone Financial Resources, 2016 – present; Global Investment Strategist, GuideStone Financial Resources, 2015 – 2016; Investment Strategist, Westwood Holdings Group, 2003 – 2015. | N/A | N/A |
Matthew A. Wolfe (1982) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 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. | N/A | N/A |
Erin Wynne (1981) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Assistant Treasurer | Since 2016 | Director, Financial Reporting & Analysis, GuideStone Financial Resources, 2015 – present; Manager, Financial Reporting & Analysis, GuideStone Financial Resources, 2010 – 2015. | N/A | N/A |
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Fund | Sub-Adviser | Firm Established | Total Assets Managed | |||
Money Market | BlackRock Advisors, LLC | 1994 | $7.4Tr | |||
Low-Duration Bond | BlackRock Financial Management, Inc. | 1988 | $7.4Tr | |||
Pacific Investment Management Company LLC | 1971 | $1.9Tr | ||||
Parametric Portfolio Associates LLC | 1992 | $279.5B | ||||
Payden & Rygel | 1983 | $119.1B | ||||
Medium-Duration Bond | Goldman Sachs Asset Management, L.P. | 1984 | $1.7Tr | |||
Pacific Investment Management Company LLC | 1971 | $1.9Tr | ||||
Parametric Portfolio Associates LLC | 1992 | $279.5B | ||||
Western Asset Management Company and Western Asset Management Company Limited | 1971 | $460.1B | ||||
Extended-Duration Bond | Loomis, Sayles & Company, L.P. | 1926 | $297.2B | |||
Parametric Portfolio Associates LLC | 1992 | $279.5B | ||||
Schroder Investment Management North America Inc. and Schroder Investment Management North America Limited¹ | 1804 | $159.2B | ||||
Global Bond | Loomis, Sayles & Company, L.P. | 1926 | $297.2B | |||
Neuberger Berman Investment Advisers LLC | 2002 | $356.0B | ||||
Western Asset Management Company and Western Asset Management Company Limited | 1971 | $460.1B | ||||
Defensive Market Strategies | American Century Investment Management, Inc. | 1958 | $178.1B | |||
AQR Capital Management, LLC | 1998 | $186.0B | ||||
Parametric Portfolio Associates LLC | 1992 | $279.5B | ||||
Shenkman Capital Management, Inc. | 1985 | $25.4B | ||||
Equity Index | Legal & General Investment Management America, Inc. | 2006 | $218.8B | |||
Value Equity | AJO, LP | 1984 | $18.8B | |||
American Century Investment Management, Inc. | 1958 | $178.1B | ||||
Barrow, Hanley, Mewhinney & Strauss, LLC | 1979 | $51.7B | ||||
Legal & General Investment Management America, Inc. | 2006 | $218.8B | ||||
Parametric Portfolio Associates LLC | 1992 | $279.5B | ||||
TCW Investment Management Company LLC | 1971 | $217.0B | ||||
Growth Equity | Brown Advisory, LLC | 1993 | $42.4B | |||
ClearBridge Investments, LLC | 2005 | $154.6B | ||||
Loomis, Sayles & Company, L.P. | 1926 | $297.2B | ||||
Parametric Portfolio Associates LLC | 1992 | $279.5B | ||||
Sands Capital Management, LLC | 1992 | $44.6B | ||||
Small Cap Equity | AJO, LP | 1984 | $18.8B | |||
Delaware Investments Fund Advisers | 1929 | $258.7B | ||||
Jacobs Levy Equity Management, Inc. | 1986 | $13.1B | ||||
Parametric Portfolio Associates LLC | 1992 | $279.5B | ||||
TimesSquare Capital Management, LLC | 2000 | $15.4B | ||||
International Equity Index | Legal & General Investment Management America, Inc. | 2006 | $218.8B | |||
International Equity | AQR Capital Management, LLC | 1998 | $186.0B | |||
Harris Associates L.P. | 1976 | $119.8B | ||||
MFS Institutional Advisors, Inc. | 1970 | $526.3B | ||||
Mondrian Investment Partners Ltd. | 1990 | $54.4B | ||||
Parametric Portfolio Associates LLC | 1992 | $279.5B | ||||
WCM Investment Management, LLC | 1976 | $49.0B | ||||
Emerging Markets Equity | AQR Capital Management, LLC | 1998 | $186.0B | |||
Goldman Sachs Asset Management, L.P. | 1984 | $1.7Tr | ||||
RBC Global Asset Management (UK) Limited | 2013 | $38.0B | ||||
Wellington Management Company LLP | 1928 | $1.2Tr | ||||
Global Real Estate Securities | Heitman Real Estate Securities, LLC and Heitman International Real Estate Securities HK Limited | 1989 | $45.5B |
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Fund | Sub-Adviser | Firm Established | Total Assets Managed | |||
RREEF America L.L.C., DWS Investments Australia Limited and DWS Alternatives Global Limited | 1975 | $72.4B | ||||
Strategic Alternatives | Allianz Global Investors U.S. LLC | 1895 | $122.3B | |||
Goldman Sachs Asset Management, L.P. | 1984 | $1.7Tr | ||||
Neuberger Berman Investment Advisers LLC | 2002 | $356.0B | ||||
Parametric Portfolio Associates LLC | 1992 | $279.5B | ||||
Weiss Multi-Strategy Advisers LLC | 2010 | $2.7B | ||||
Custodian for GuideStone Funds Assets | The Northern Trust Company | 1889 | $9.2Tr | |||
Cash Overlay for Target Date, Target Risk, Fixed Income, Equity and Real Assets Select Funds | Parametric Portfolio Associates LLC | 1992 | $279.5B | |||
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Item 1. Reports to Stockholders (cont.).
(b) | Not applicable. |
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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 FormN-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 $694,000 and $745,325 for 2018 and 2019, respectively. |
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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 $0 and $0 for 2018 and 2019, respectively. |
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 $131,000 and $120,020 for 2018 and 2019, 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 $55,025 for 2018 and 2019, respectively. $55,025 of fees were related to the Form 3115 Application for Change in Accounting Method filing for GuideStone Funds Defensive Market Strategies Fund. |
(e)(1) |
The policy of the registrant’s Audit Committee is topre-approve all permissible non-audit services (e.g., tax services) to be provided to the registrant by the Auditors, including the fees therefor; provided, that if the Committee chooses to delegate the authority to grantpre-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 and related SEC regulations, which shall then be used in making suchpre-approvals; and, further provided, that each delegatedpre-approval shall be reported to the Committee during its next regularly scheduled meeting.
Thepre-approval requirement for a permittednon-audit service may be waived if:
(1) | the aggregate amount of all suchnon-audit services provided constitutes not more than 5% of the total revenues paid by the registrant to the Auditors in the fiscal year in which thenon-audit services are provided; |
(2) | such services were not recognized by the registrant at the time of the engagement to benon-audit services; and |
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(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 registrant’s audit. |
Additionally, if the Auditors’ engagement relates directly to the operations and financial reporting of the registrant, to the extent required by Rule2-01 of RegulationS-X, the Audit Committee shallpre-approve their engagements fornon-audit services with:
(1) | the registrant’s investment adviser (the “Adviser”) (excluding any subadviser whose role is primarily portfolio management and issub-contracted or overseen by the Adviser), and |
(2) | any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the registrant (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 registrant, the Adviser and any such Control Entity during the fiscal year in which the services are provided that would have to bepre-approved by the Audit Committee pursuant to this paragraph (in the absence of this exception). The Auditors may not perform contemporaneously any prohibitednon-audit services for the registrant, which currently include the following:
1. bookkeeping or other services related to the accounting records or financial statements of the registrant;
2. financial information systems design and implementation;
3. appraisal or valuation services, fairness opinions, orcontribution-in-kind reports;
4. actuarial services;
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 Rule2-01 of RegulationS-X are as follows: |
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(b) | Not applicable |
(c) | 100% |
(d) | 100% |
(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 was $131,000 and $175,045 for 2018 and 2019, respectively; for services 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) was $0 and $0 for 2018 and 2019, respectively, and for services rendered to GuideStone Financial Resources was $63,000 and $80,000 for 2018 and 2019, respectively. |
(h) | The registrant’s audit committee of the board of directors has not considered whether the provision of non-audit services that were rendered to 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. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures forClosed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers ofClosed-End Management Investment Companies.
Not applicable.
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Item 9. Purchases of Equity Securities byClosed-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 RegulationS-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR240.14a-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 Rule30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR270.30a-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 Rule30a-3(b) under the 1940 Act (17 CFR270.30a-3(b)) and Rules13a-15(b) or15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR240.13a-15(b) or240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule30a-3(d) under the 1940 Act) that occurred during 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 forClosed-End Management Investment Companies.
(a) | Not applicable. |
(b) | Not applicable. |
Item 13. Exhibits.
(a)(1) | The Supplemental Code of Ethics for Principal Executive and Senior Financial Officers of the registrant is filed herewith. |
(a)(2) | Certifications pursuant to Rule30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are filed herewith. |
(a)(3) | Not applicable to open-end investment companies. |
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(a)(4) | Not applicable. |
(b) | Certifications pursuant to Rule30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are filed herewith. |
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | GuideStone Funds |
By (Signature and Title)* | /s/ John R. Jones | |
John R. Jones, President | ||
(Principal Executive Officer) |
Date | March 6, 2020 |
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 6, 2020 |
By (Signature and Title)* | /s/ Patrick Pattison | |
Patrick Pattison, Vice President and Treasurer | ||
(Principal Financial Officer) |
Date | March 6, 2020 |
* | Print the name and title of each signing officer under his or her signature. |