UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-10263
GuideStone Funds
(Exact name of registrant as specified in charter)
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: June 30, 2020
Item 1. Reports to Stockholders.
| | (a) | The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1) |
GuideStone Funds
Privacy Notice
NOTICE CONCERNING OUR PRIVACY PRACTICES
This notice provides you with information concerning our policies with respect to non-public personal information that we collect about you in connection with the following financial products and services provided and/or serviced by the entities listed below: Individual Retirement Accounts (“IRAs”), personal mutual fund accounts and/or GuideStone Personal Advisory Services.
The confidentiality of your information is important to us as we recognize that you depend on us to keep your information confidential, as described in this notice.
We collect non-public personal information about you with regard to the products and services listed above from the following sources:
| • | Information we receive from you on applications or other forms |
| • | Information about your transactions with us, our affiliates or others (including our third-party service providers) |
| • | Information we receive from others, such as service providers, broker-dealers and your personal agents or representatives |
| • | Information you and others provide to us in correspondence sent to us, whether written, electronic or by telephone |
We may disclose such non-public personal financial information about you to one or more of our affiliates as permitted by law. An affiliate of an organization means any entity that controls, is controlled by or is under common control with that organization. GuideStone Funds, GuideStone Financial Resources of the Southern Baptist Convention, GuideStone Capital Management, LLC, GuideStone Resource Management, Inc., GuideStone Investment Services, GuideStone Trust Services, GuideStone Financial Services, GuideStone Advisors and GuideStone Advisors, LLC (collectively “GuideStone”) are affiliates of one another. GuideStone does not sell your personal information to non-affiliated third parties.
We may also disclose any of the personal information that we collect about you to non-affiliated third parties as permitted by law. For example, we may provide your information to non-affiliated companies that provide account services or that perform marketing services on our behalf. We restrict access to non-public personal information about you to those of our employees who need to know that information in order for us to provide products and services to you. We also maintain physical, electronic and procedural safeguards to guard your personal information.
We may continue to maintain and disclose non-public personal information about you after you cease to receive financial products and services from us.
If you have any questions concerning our customer information policy, please contact a customer solutions specialist at 1-888-GS-FUNDS (1-888-473-8637).
This report has been prepared for shareholders of GuideStone Funds. It is not authorized for distribution to prospective investors unless accompanied or preceded by a current prospectus, which contains more complete information about the Funds. Investors are reminded to read the prospectus carefully before investing. The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.com. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Fund shares are distributed by Foreside Funds Distributors LLC.
LETTER FROM THE PRESIDENT
Dear Shareholder:
We are pleased to present you with the 2020 GuideStone Funds Semi-Annual Report. This report reflects our unwavering commitment to integrity in financial reporting so you may stay fully informed of your investments. We trust that you will find this information valuable when making investment decisions.
2020 has been an incredible year for all of us as we have navigated the COVID-19 crisis and its impact on global markets. We remain committed to the belief that markets are cyclical and our long-term investors are wise to not allow the emotions of the day’s headlines drive their investment decisions.
We invite you to learn more about GuideStone Funds and all of the various investment options available by visiting our website, GuideStoneFunds.com, or contacting us at 1-888-GS-FUNDS (1-888-473-8637). Thank you for choosing to invest in GuideStone Funds.
Sincerely,
John R. Jones, CFA
President
FROM THE CHIEF INVESTMENT OFFICER
Market Recap
At the end of January 2020, we wrote that “many investors have started to question whether the novel coronavirus could be the catalyst that spurs a long-overdue correction in equity markets.” Since then, it has become increasingly clear that what started as a one-off external “shock” is now a once-in-a-lifetime event that has fundamentally changed the way the world lives and works.
After a strong start to the year, U.S. equity markets began a steep descent in mid-February as fears of the coronavirus gripped investors and forced lockdowns brought economic activity to a halt across much of the country. The S&P 500® Index fell -34% from its February 19, 2020 high in just 22 trading days, entering bear market territory faster than at any previous time in history and wiping out all gains since President Trump took office. However, the market rebounded sharply in the second quarter amidst unprecedented levels of monetary and fiscal stimulus and a gradual reopening of state economies. In June, a surge of new coronavirus cases did not appear to dampen investor enthusiasm, as the S&P 500® Index finished the second quarter with its best three-month performance in more than 20 years.
A similar story unfolded in international equity markets, as many of the same fears that plagued the United States weighed heavily on nearly every country around the world. What began in January as a quarantine of certain Chinese provinces quickly transformed into a worldwide phenomenon, with confinement and social distancing becoming primary weapons in the fight against the coronavirus. This sent international markets plunging in the first quarter as the global economy came to a virtual standstill. Like the U.S. markets, international markets posted strong gains in the second quarter. Investor risk appetite rebounded amidst declining case numbers in many countries and large amounts of stimulus from nearly every central bank — and many federal governments — around the world.
U.S. 10-year Treasury yields cratered in the first three months of the year as investors fled risk assets in favor of U.S. government bonds. This flight to quality sent Treasury yields down dramatically, with the 10-year hitting an all-time intraday low of 0.318% in mid-March before increasing modestly. Despite the apparent return to risk across financial markets in the second quarter, Treasury yields continued to decline as anxieties remained about the very challenging economic environment and a potential second wave of coronavirus cases.
Corporate bond yields came under pressure in the first quarter as investors increasingly worried about a possible deterioration in credit markets. As demand for corporate bonds dried up, yields increased significantly. This upward movement in corporate bond yields, combined with falling Treasury yields as described previously, served to widen spreads to levels not seen since the financial crisis over 10 years ago. The Federal Reserve reacted powerfully in support of credit markets — more on that below — and in response, spreads narrowed meaningfully during the second quarter.
The following table summarizes the year-to-date (“YTD”) 2020 returns for each major market broad-based index, or market indicator.
| Index | 1 st Quarter
2020 Returns | 2 nd Quarter
2020 Returns | YTD Returns as
of June 30, 2020 |
| U.S. Equities |
| S&P 500® | -19.60% | 20.54% | -3.08% |
| Dow Jones Industrial Average | -22.73% | 18.51% | -8.43% |
| NASDAQ | -13.95% | 30.95% | 12.67% |
| International Equities |
| MSCI EAFE | -22.83% | 14.88% | -11.34% |
| MSCI Emerging Markets | -23.60% | 18.08% | -9.78% |
| U.S. Fixed Income |
| Bloomberg Barclays U.S. Aggregate Bond | 3.15% | 2.90% | 6.14% |
| Bloomberg Barclays US High Yield-Corporate | -12.68% | 10.18% | -3.80% |
| Global Fixed Income |
| Bloomberg Barclays Global Aggregate Bond | -0.33% | 3.32% | 2.98% |
Fiscal and Monetary Policy
Both Congress and the Federal Reserve have responded forcefully to the coronavirus outbreak — much quicker and more substantially, in fact, than they did during the 2008 financial crisis. The combined stimulus measures enacted by the two entities have been huge, totaling nearly 45% of U.S. gross domestic product (GDP) as of this writing.
In late March, Congress passed and President Trump signed into law the CARES Act, an over $2 trillion fiscal stimulus bill designed to provide emergency relief to individuals and businesses that have been negatively impacted by the coronavirus. Highlights of the legislation included direct payments to taxpayers (subject to income limits), funds to provide forgivable loans to small businesses that maintained employee headcounts and a broad expansion of unemployment benefits.
The Federal Reserve in March enacted a barrage of monetary stimulus, kick-starting nearly every policy tool it employed during the financial crisis and introducing several new ones. Key Federal Reserve actions included lowering the Fed funds rate to effectively zero; reviving and expanding quantitative easing to allow for Treasury and mortgage bond purchases, along with some municipal bonds and corporate credit; introducing lending facilities designed to support both small and large businesses and reducing bank reserve requirement ratios to zero in an effort to encourage lending to households and businesses. Importantly, the central bank has indicated on multiple occasions throughout the pandemic that it will do whatever it takes to help prevent the economy from sinking into a full-blown financial crisis.
While there continues to be plenty of room for the Federal Reserve to run — it has at least $3 trillion left in its monetary policy arsenal — Chairman Powell has begun to publicly implore Congress to take greater steps to address the economic fallout brought on by the coronavirus outbreak. To that extent, Congress may debate an additional fiscal stimulus package. As of this writing, there remains a lot of uncertainty about what it will include and how much it will cost.
The coronavirus outbreak and subsequent containment measures caused significant economic pain. However, we believe the combined actions of the U.S. government and Federal Reserve have served to soften the blow and set-up the economy for a quicker “return to normal” than it would have experienced in the delay or absence of such stimulus.
Unemployment
The U.S. economy added jobs in January and February before coming to an abrupt end in March, as many states imposed stay-at-home orders in response to the coronavirus. As a broad swath of the U.S. economy shut down, a record 40 million unemployment claims were filed in just 10 weeks — equivalent to one out of every four American workers. The April jobs report reflected this devastation as 20.5 million jobs were lost, and the unemployment rate ballooned to 14.7% — both figures being the highest on record since World War II. As states began the reopening process in May, the U.S. economy started adding jobs back at a rapid clip. The May jobs report showed a gain of 2.5 million jobs, while the June report nearly doubled that number, adding 4.8 million jobs and decreasing the unemployment rate to 11.1%.
Despite consecutive months of record-breaking gains to end the second quarter, there is no denying that the coronavirus-induced economic lockdown has devastated many families. Over 20 million people remain out of work, and unemployment claims appear to have plateaued at around 1.5 million per week. What’s more, the 11.1% unemployment rate still exceeds peak unemployment seen during the 2008 financial crisis. We are concerned about an increasing amount of permanently lost jobs and worry about the amount of time it will take to get tens of millions of people back to work. In our opinion, it will likely take multiple years before unemployment returns to pre-virus levels.
Conclusion
Despite a strong second quarter, we believe the equity market has gotten ahead of itself a bit. Fed stimulus and investor momentum have driven stocks well past the levels supported by current economic fundamentals. It would not surprise us if stocks consolidated some from here — in fact, we think a pullback would be healthy for the market and bring stocks closer to a more rational valuation level. While there are signs that the economy is experiencing a partial “v-shaped” rebound1, data showing a sharp uptick from very depressed levels should not be extrapolated. We believe it will take several years to fully recover from the negative impacts of the economic shutdown brought about by the coronavirus.
Looking forward, we continue to see multiple potential headwinds in financial markets, including the upcoming election, high unemployment, a weaker-than-expected economic recovery and a consumer-led economic pullback (i.e., rising coronavirus cases scare consumers into staying home). Perhaps of greatest importance to watch is consumer spending, as it accounts for the majority of total U.S. economic activity. Spending remains down around 12% from February, and a personal saving rate of 23% is well in excess of historical norms. This is a concerning trend, and one that we believe will require another round of fiscal stimulus to help reverse.
While we do not know when this season of coronavirus will abate — or what the world will look like when it does — we can rest in the knowledge that God remains on His throne and will continue to lead His people through difficult times. Over the past six months, there were no emergency meetings or strategy planning sessions in Heaven — He knew the coronavirus was coming, He knows when it will end and He is infinitely more powerful than anything this world can create. Take heart, for the victory is His. And if God is for us, no one — and no thing — can be against us.
Thank you for your continued confidence in GuideStone Funds, and for allowing us the privilege of managing your assets during this unprecedented time in financial markets. Please feel free to reach out to us if you have any comments, questions or concerns. For additional information on GuideStone Funds, we invite you to visit our website at GuideStoneFunds.com.
Sincerely,
Matt L. Peden, CFA
Vice President - Chief Investment Officer
GuideStone Capital Management, LLC
Past performance does not guarantee future results and the Funds may experience negative performance. There can be no guarantee that any strategy (risk management or otherwise) will be successful. All investing involves risk, including potential loss of principal. One cannot invest directly into an index.
1A "v-shaped" rebound describes a sharp economic decline followed by a sharp economic rebound.
About Your Expenses (Unaudited)
As a shareholder of the Funds, you incur ongoing costs, including advisory fees and to the extent applicable, shareholder services fees, as well as other Fund expenses. This example is intended to help you to understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2020 to June 30, 2020.
Actual Expenses
The first section of the table below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you incurred over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses attributable to your investment during this period.
Hypothetical Example for Comparison Purposes
The second section of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. Thus, you should not use the hypothetical account values and expenses to estimate the actual ending account balance or your expenses for the period. Rather, these figures are provided to enable you to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only. Therefore, the second section of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds.
| Actual |
| Fund | | Class | | Beginning
Account Value
01/01/20 | | Ending
Account Value
06/30/20 | | Annualized
Expense
Ratio (1) | | Expenses
Paid During
Period (2) |
MyDestination 2015
| | Institutional | | $1,000.00 | | $ 990.40 | | 0.06% | | $0.30 |
| | | Investor | | 1,000.00 | | 989.40 | | 0.31 | | 1.53 |
MyDestination 2025
| | Institutional | | 1,000.00 | | 980.80 | | 0.09 | | 0.44 |
| | | Investor | | 1,000.00 | | 978.90 | | 0.34 | | 1.67 |
MyDestination 2035
| | Institutional | | 1,000.00 | | 963.80 | | 0.14 | | 0.70 |
| | | Investor | | 1,000.00 | | 962.80 | | 0.39 | | 1.91 |
MyDestination 2045
| | Institutional | | 1,000.00 | | 949.30 | | 0.14 | | 0.68 |
| | | Investor | | 1,000.00 | | 948.30 | | 0.41 | | 1.98 |
MyDestination 2055
| | Institutional | | 1,000.00 | | 944.80 | | 0.16 | | 0.79 |
| | | Investor | | 1,000.00 | | 943.30 | | 0.42 | | 2.03 |
Conservation Allocation
| | Institutional | | 1,000.00 | | 995.70 | | 0.15 | | 0.75 |
| | | Investor | | 1,000.00 | | 994.80 | | 0.40 | | 1.98 |
Balanced Allocation
| | Institutional | | 1,000.00 | | 981.90 | | 0.13 | | 0.62 |
| | | Investor | | 1,000.00 | | 980.30 | | 0.38 | | 1.85 |
Growth Allocation
| | Institutional | | 1,000.00 | | 952.90 | | 0.13 | | 0.62 |
| | | Investor | | 1,000.00 | | 951.30 | | 0.38 | | 1.84 |
Aggressive Allocation
| | Institutional | | 1,000.00 | | 930.80 | | 0.13 | | 0.63 |
| | | Investor | | 1,000.00 | | 929.70 | | 0.38 | | 1.83 |
Money Market
| | Institutional | | 1,000.00 | | 1,004.10 | | 0.14 | | 0.72 |
| | | Investor | | 1,000.00 | | 1,002.80 | | 0.39 | | 1.97 |
About Your Expenses (Unaudited) (Continued)
| Actual |
| Fund | | Class | | Beginning
Account Value
01/01/20 | | Ending
Account Value
06/30/20 | | Annualized
Expense
Ratio (1) | | Expenses
Paid During
Period (2) |
Low-Duration Bond
| | Institutional | | $1,000.00 | | $1,021.00 | | 0.35% | | $1.76 |
| | | Investor | | 1,000.00 | | 1,020.50 | | 0.62 | | 3.11 |
Medium-Duration Bond
| | Institutional | | 1,000.00 | | 1,061.60 | | 0.38 | | 1.95 |
| | | Investor | | 1,000.00 | | 1,059.60 | | 0.65 | | 3.33 |
Extended-Duration Bond
| | Institutional | | 1,000.00 | | 1,084.90 | | 0.55 | | 2.85 |
| | | Investor | | 1,000.00 | | 1,084.20 | | 0.81 | | 4.21 |
Global Bond
| | Institutional | | 1,000.00 | | 982.80 | | 0.55 | | 2.71 |
| | | Investor | | 1,000.00 | | 980.70 | | 0.83 | | 4.11 |
Defensive Market Strategies
| | Institutional | | 1,000.00 | | 957.50 | | 0.67 | | 3.27 |
| | | Investor | | 1,000.00 | | 956.30 | | 0.94 | | 4.57 |
Equity Index
| | Institutional | | 1,000.00 | | 970.10 | | 0.13 | | 0.66 |
| | | Investor | | 1,000.00 | | 969.00 | | 0.41 | | 2.01 |
Value Equity
| | Institutional | | 1,000.00 | | 848.10 | | 0.63 | | 2.88 |
| | | Investor | | 1,000.00 | | 846.60 | | 0.89 | | 4.08 |
Growth Equity
| | Institutional | | 1,000.00 | | 1,100.10 | | 0.68 | | 3.57 |
| | | Investor | | 1,000.00 | | 1,099.00 | | 0.94 | | 4.90 |
Small Cap Equity
| | Institutional | | 1,000.00 | | 895.70 | | 0.98 | | 4.62 |
| | | Investor | | 1,000.00 | | 894.00 | | 1.25 | | 5.87 |
International Equity Index
| | Institutional | | 1,000.00 | | 894.20 | | 0.22 | | 1.04 |
International Equity (3)
| | Institutional | | 1,000.00 | | 874.50 | | 1.01 | | 4.71 |
| | | Investor | | 1,000.00 | | 873.30 | | 1.27 | | 5.92 |
Emerging Markets Equity
| | Institutional | | 1,000.00 | | 925.40 | | 1.16 | | 5.55 |
| | | Investor | | 1,000.00 | | 922.50 | | 1.57 | | 7.50 |
Global Real Estate Securities
| | Institutional | | 1,000.00 | | 827.90 | | 0.84 | | 3.82 |
| | | Investor | | 1,000.00 | | 827.50 | | 1.11 | | 5.04 |
Strategic Alternatives (3)
| | Institutional | | 1,000.00 | | 965.50 | | 1.08 | | 5.28 |
| | | Investor | | 1,000.00 | | 963.50 | | 1.36 | | 6.64 |
| Hypothetical (assuming a 5% return before expenses) |
| Fund | | Class | | Beginning
Account Value
01/01/20 | | Ending
Account Value
06/30/20 | | Annualized
Expense
Ratio (1) | | Expenses
Paid During
Period (2) |
MyDestination 2015
| | Institutional | | $1,000.00 | | $1,024.57 | | 0.06% | | $0.30 |
| | | Investor | | 1,000.00 | | 1,023.32 | | 0.31 | | 1.56 |
MyDestination 2025
| | Institutional | | 1,000.00 | | 1,024.42 | | 0.09 | | 0.45 |
| | | Investor | | 1,000.00 | | 1,023.18 | | 0.34 | | 1.70 |
MyDestination 2035
| | Institutional | | 1,000.00 | | 1,024.15 | | 0.14 | | 0.72 |
| | | Investor | | 1,000.00 | | 1,022.91 | | 0.39 | | 1.97 |
MyDestination 2045
| | Institutional | | 1,000.00 | | 1,024.17 | | 0.14 | | 0.70 |
| | | Investor | | 1,000.00 | | 1,022.83 | | 0.41 | | 2.06 |
MyDestination 2055
| | Institutional | | 1,000.00 | | 1,024.05 | | 0.16 | | 0.82 |
| | | Investor | | 1,000.00 | | 1,022.78 | | 0.42 | | 2.11 |
Conservation Allocation
| | Institutional | | 1,000.00 | | 1,024.11 | | 0.15 | | 0.76 |
| | | Investor | | 1,000.00 | | 1,022.88 | | 0.40 | | 2.01 |
| Hypothetical (assuming a 5% return before expenses) |
| Fund | | Class | | Beginning
Account Value
01/01/20 | | Ending
Account Value
06/30/20 | | Annualized
Expense
Ratio (1) | | Expenses
Paid During
Period (2) |
Balanced Allocation
| | Institutional | | $1,000.00 | | $1,024.24 | | 0.13% | | $0.63 |
| | | Investor | | 1,000.00 | | 1,022.99 | | 0.38 | | 1.89 |
Growth Allocation
| | Institutional | | 1,000.00 | | 1,024.22 | | 0.13 | | 0.65 |
| | | Investor | | 1,000.00 | | 1,022.98 | | 0.38 | | 1.91 |
Aggressive Allocation
| | Institutional | | 1,000.00 | | 1,024.21 | | 0.13 | | 0.66 |
| | | Investor | | 1,000.00 | | 1,022.97 | | 0.38 | | 1.92 |
Money Market
| | Institutional | | 1,000.00 | | 1,024.15 | | 0.14 | | 0.73 |
| | | Investor | | 1,000.00 | | 1,022.90 | | 0.39 | | 1.99 |
Low-Duration Bond
| | Institutional | | 1,000.00 | | 1,023.12 | | 0.35 | | 1.77 |
| | | Investor | | 1,000.00 | | 1,021.79 | | 0.62 | | 3.11 |
Medium-Duration Bond
| | Institutional | | 1,000.00 | | 1,022.97 | | 0.38 | | 1.91 |
| | | Investor | | 1,000.00 | | 1,021.63 | | 0.65 | | 3.27 |
Extended-Duration Bond
| | Institutional | | 1,000.00 | | 1,022.13 | | 0.55 | | 2.76 |
| | | Investor | | 1,000.00 | | 1,020.82 | | 0.81 | | 4.08 |
Global Bond
| | Institutional | | 1,000.00 | | 1,022.13 | | 0.55 | | 2.77 |
| | | Investor | | 1,000.00 | | 1,020.72 | | 0.83 | | 4.19 |
Defensive Market Strategies
| | Institutional | | 1,000.00 | | 1,021.52 | | 0.67 | | 3.38 |
| | | Investor | | 1,000.00 | | 1,020.19 | | 0.94 | | 4.72 |
Equity Index
| | Institutional | | 1,000.00 | | 1,024.19 | | 0.13 | | 0.68 |
| | | Investor | | 1,000.00 | | 1,022.82 | | 0.41 | | 2.06 |
Value Equity
| | Institutional | | 1,000.00 | | 1,021.74 | | 0.63 | | 3.15 |
| | | Investor | | 1,000.00 | | 1,020.45 | | 0.89 | | 4.46 |
Growth Equity
| | Institutional | | 1,000.00 | | 1,021.46 | | 0.68 | | 3.44 |
| | | Investor | | 1,000.00 | | 1,020.19 | | 0.94 | | 4.72 |
Small Cap Equity
| | Institutional | | 1,000.00 | | 1,019.99 | | 0.98 | | 4.93 |
| | | Investor | | 1,000.00 | | 1,018.67 | | 1.25 | | 6.25 |
International Equity Index
| | Institutional | | 1,000.00 | | 1,023.77 | | 0.22 | | 1.11 |
International Equity (3)
| | Institutional | | 1,000.00 | | 1,019.84 | | 1.01 | | 5.07 |
| | | Investor | | 1,000.00 | | 1,018.55 | | 1.27 | | 6.37 |
Emerging Markets Equity
| | Institutional | | 1,000.00 | | 1,019.10 | | 1.16 | | 5.82 |
| | | Investor | | 1,000.00 | | 1,017.06 | | 1.57 | | 7.87 |
Global Real Estate Securities
| | Institutional | | 1,000.00 | | 1,020.69 | | 0.84 | | 4.22 |
| | | Investor | | 1,000.00 | | 1,019.34 | | 1.11 | | 5.57 |
Strategic Alternatives (3)
| | Institutional | | 1,000.00 | | 1,019.49 | | 1.08 | | 5.42 |
| | | Investor | | 1,000.00 | | 1,018.10 | | 1.36 | | 6.82 |
| | | | | | | | | | | |
(1) Expenses include the effect of contractual waivers by GuideStone Capital Management, LLC. The Target Date Funds’ and Target Risk Funds’ proportionate share of the operating expenses of the Select Funds is not reflected in the tables above.
(2) Expenses are equal to the Fund’s annualized expense ratios for the period January 1, 2020 through June 30, 2020, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).
(3) The expense ratios for the International Equity Fund and the Strategic Alternatives Fund include the impact of dividend or interest expense on securities sold short.
ABBREVIATIONS, FOOTNOTES AND INDEX DEFINITIONS
| INVESTMENT ABBREVIATIONS: |
| 10Y | — | 10 Year |
| 1M | — | 1 Month |
| 1Y | — | 1 Year |
| 2M | — | 2 Month |
| 3M | — | 3 Month |
| 5Y | — | 5 Year |
| 6M | — | 6 Month |
| ACES | — | Alternative Credit Enhancement Securities |
| ADR | — | American Depositary Receipt |
| ASX | — | Australian Securities Exchange |
| BBSW | — | Bank Bill Swap Rate |
| CDI | — | Crest Depository Interest |
| CDOR | — | Canadian Dollar Offered Rate |
| CDX | — | A series of indexes that track North American and emerging market credit derivative indexes. |
| CFETS | — | China Foreign Exchange Trade System |
| CLO | — | Collateralized Loan Obligation |
| 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 |
| HY | — | High Yield |
| ICE LIBOR | — | Intercontinental Exchange London Interbank Offered Rate |
| IG | — | Investment Grade |
| IO | — | Interest Only (Principal amount shown is notional) |
| JIBAR | — | Johannesburg Interbank Average Rate |
| LIBOR | — | London Interbank Offered Rate |
| LLC | — | Limited Liability Company |
| LP | — | Limited Partnership |
| MIBOR | — | Mumbai Interbank Offered Rate |
| NIBOR | — | Norwegian Interbank Offered Rate |
| NVDR | — | Non-Voting Depository Receipt |
| PCL | — | Public Company Limited |
| PIK | — | Payment-in-Kind Bonds |
| PLC | — | Public Limited Company |
| REIT | — | Real Estate Investment Trust |
| REMIC | — | Real Estate Mortgage Investment Conduit |
| SDR | — | Special Drawing Rights |
| 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 |
| 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 June 30, 2020, 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 | | $301,050,402 | | 30.44% |
| Medium-Duration Bond | | 298,981,361 | | 16.18 |
| Extended-Duration Bond | | 24,634,795 | | 8.65 |
| Global Bond | | 86,172,239 | | 14.66 |
| Defensive Market Strategies | | 162,814,816 | | 13.52 |
| International Equity Index | | 10,873,820 | | 1.62 |
| International Equity | | 9,318,048 | | 0.81 |
| Emerging Markets Equity | | 10,555,912 | | 1.86 |
| Global Real Estate Securities | | 478,223 | | 0.22 |
| Strategic Alternatives | | 40,732,285 | | 11.18 |
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 June 30, 2020. |
| 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 June 30, 2020. |
| ∞ | — | 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 1 in Notes to Schedules of Investments). |
| Ø | — | 7-day current yield as of June 30, 2020 is disclosed. |
| ρ | — | Perpetual bond. Maturity date represents the next call date. |
| α | — | Century bond maturing in 3013. |
| Ψ | — | Security is valued at fair value by the Valuation Committee (see Note 1 in Notes to Schedules of Investments). As of June 30, 2020, 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 | | $ — | | 0.00% |
| Global Bond | | 40,330 | | 0.01 |
| Small Cap Equity | | 1,956,000 | | 0.36 |
| International Equity | | — | | 0.00 |
| Strategic Alternatives | | 1,411,670 | | 0.39 |
| 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). |
ABBREVIATIONS, FOOTNOTES AND INDEX DEFINITIONS
| FOREIGN BOND FOOTNOTES: |
| (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: |
| BNP | — | Counterparty to contract is BNP Paribas. |
| BOA | — | Counterparty to contract is Bank of America. |
| BOFA | — | Counterparty to contract is Bank of America. |
| 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. |
| NT | — | Counterparty to contract is Northern Trust. |
| RBC | — | Counterparty to contract is Royal Bank of Canada. |
| SC | — | Counterparty to contract is Standard Chartered PLC. |
| SS | — | Counterparty to contract is State Street Global Markets. |
| UBS | — | Counterparty to contract is UBS AG. |
| WEST | — | Counterparty to contract is Westpac Bank. |
ABBREVIATIONS, FOOTNOTES AND INDEX DEFINITIONS
INDEX DEFINITIONS:
The Bloomberg Barclays Global Aggregate Bond Index is a flagship measure of global investment grade debt from twenty-four local currency markets. This multi-currency benchmark includes treasury, government-related, corporate and securitized fixed-rate bonds from both developed and emerging markets issuers.
The Bloomberg Barclays US Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, US dollar-denominated, fixed-rate taxable bond market. The index includes Treasuries, government-related and corporate securities, mortgage-backed securities (“MBS”) (agency fixed-rate and hybrid ARM pass-throughs), asset-backed securities (“ABS”) and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).
The Bloomberg Barclays US Corporate High Yield 2% Issuer Capped Bond Index is an issuer-constrained version of the flagship US Corporate High Yield Index, which measures the USD-denominated, high yield, fixed-rate corporate bond market. The index follows the same rules as the uncapped version, but limits the exposure of each issuer to 2% of the total market value and redistributes any excess market value index-wide on a pro rata basis.
The Bloomberg Barclays US Long Government/Credit Bond Index is a long maturity constrained version of the Bloomberg Barclays US Government/Credit Bond Index which is a broad-based benchmark that measures the non-securitized component of the US Aggregate Index. It includes investment grade, US dollar-denominated, fixed-rate Treasuries, government-related and corporate securities.
The Bloomberg Barclays US Intermediate Government/Credit Bond Index is an intermediate maturity constrained version of the Bloomberg Barclays US Government/Credit Bond Index which is a broad-based benchmark that measures the non-securitized component of the US Aggregate Index. It includes investment grade, US dollar-denominated, fixed-rate Treasuries, government-related and corporate securities.
The Bloomberg Barclays Global Aggregate Bond Index (USD-Hedged) is a flagship measure of global investment grade debt from twenty-four local currency markets. This benchmark includes treasury, government-related, corporate and securitized fixed-rate bonds from both developed and emerging markets issuers. All foreign currency exposure is hedged back to USD.
The FTSE 3-Month Treasury Bill Index measures monthly return equivalents of yield averages that are not marked to market, consisting of the last three three-month Treasury bill issues.
The FTSE EPRA/NAREIT Developed Index is designed to track the performance of listed real estate companies and REITS worldwide. By making the index constituents free-float adjusted, liquidity, size and revenue screened, the series is suitable for use as the basis for investment products.
The ICE BofAML 0-3 Month U.S. Treasury Bill Index is a subset of ICE BofAML U.S. Treasury Bill Index including all securities with a remaining term to final maturity less than 3 months.
The ICE BofAML 1-3 Year U.S. Treasury Index is a subset of The ICE BofAML U.S. Treasury Index including all securities with a remaining term to final maturity less than 3 years.
The ICE BofAML U.S. 3-Month Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month. At the end of the month that issue is sold and rolled into a newly selected issue. The issue selected at each month-end rebalancing is the outstanding Treasury Bill that matures closest to, but not beyond, three months from the rebalancing date. To qualify for selection, an issue must have settled on or before the month-end rebalancing date.
The J.P. Morgan Emerging Markets Bond Index (EMBI) Plus is a traditional, market-capitalization weighted index comprised of U.S. dollar denominated Brady bonds, Eurobonds and traded loans issued by sovereign entities.
The MSCI ACWI (All Country World Index) ex USA Index is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global developed (excluding U.S.) and emerging markets.
ABBREVIATIONS, FOOTNOTES AND INDEX DEFINITIONS
The MSCI EAFE Index is a free float-adjusted market capitalization index that is designed to measure equity market performance of developed markets, excluding the U.S. & Canada. The index consists of the following 21 developed market country indices: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom.
The MSCI Emerging Markets Index is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets. The index consists of the following 26 emerging market country indices: Argentina, Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Qatar, Russia, Saudi Arabia, South Africa, Taiwan, Thailand, Turkey, and United Arab Emirates.
The Russell 1000® Growth Index is a large-cap index consisting of those Russell 1000® Index securities with greater-than-average growth orientation. Companies in this index tend to exhibit higher price-to-book and price-to-earnings-ratios, lower dividend yields and higher forecasted growth values than the value universe.
The Russell 1000® Value Index is a large-cap index consisting of those Russell 1000® Index securities with a less-than-average growth orientation. Companies in this index tend to exhibit lower price-to-book and price-to-earnings ratios, higher dividend yields and lower forecasted growth values than the growth universe.
The Russell 2000® Index measures the performance of the small-cap segment of the U.S. equity universe. The Russell 2000® Index is a subset of the Russell 3000® Index representing approximately 6.2% of the total market capitalization of that index. It includes approximately 2,000 of the smallest securities based on a combination of their market cap and current index membership. The Russell 2000® Index is constructed to provide a comprehensive and unbiased small-cap barometer and is completely reconstituted annually to ensure that larger stocks do not distort the performance and characteristics of the actual small-cap opportunity set.
The Russell 3000® Index is composed of approximately 3,000 large U.S. companies. This portfolio of securities represents approximately 98% of the investable U.S. equity market.
The S&P 500® Index is a market capitalization-weighted equity index composed of approximately 500 U.S. companies representing all major industries. The index is designed to measure performance of the broad domestic economy through changes in the aggregate market value of its constituents.
BLOOMBERG® is a trademark and service mark of Bloomberg Finance L.P. and its affiliates (collectively “Bloomberg”). BARCLAYS® is a trademark and service mark of Barclays Bank Plc (collectively with its affiliates, “Barclays”), used under license. Bloomberg or Bloomberg’s licensors, including Barclays, own all proprietary rights in the Bloomberg Barclays Indices. Neither Bloomberg nor Barclays approves or endorses this material, or guarantees the accuracy or completeness of any information herein, or makes any warranty, express or implied, as to the results to be obtained therefrom and, to the maximum extent allowed by law, neither shall have any liability or responsibility for injury or damages arising in connection therewith.
GuideStone Funds are not in any way connected to or sponsored, endorsed, sold or promoted by the London Stock Exchange Group plc and its group undertakings, including FTSE International Limited (collectively, the “LSE Group”), European Public Real Estate Association (“EPRA”), or the National Association of Real Estate Investments Trusts (Nareit) (and together the “Licensor Parties”). FTSE Russell is a trading name of certain of the LSE Group Companies. All rights in the FTSE Russell Indexes vest in the Licensor Parties. “FTSE®” and “FTSE Russell®” are a trade mark(s) of the relevant LSE Group company and are used by any other LSE Group company under license. “Nareit®” is a trade mark of Nareit, “EPRA®” is a trade mark of EPRA and all are used by the LSE Group under license. The FTSE Russell Indexes are calculated by or on behalf of FTSE International Limited or its affiliate, agent or partner. The Licensor Parties do not accept any liability whatsoever to any person arising out of (a) the use of, reliance on or any error in the FTSE Russell Indexes or (b) investment in or operation of the GuideStone Funds. The Licensor Parties make no claim, prediction, warranty or representation either as to the results to be obtained from the GuideStone Funds or the suitability of the FTSE Russell Indexes for the purpose to which it is being put by GuideStone Funds.
The funds or securities referred to herein are not sponsored, endorsed, or promoted by MSCI, and MSCI bears no liability with respect to any such funds or securities or any index on which such funds or securities are based. The prospectus contains a more detailed description of the limited relationship MSCI has with GuideStone Funds. Neither MSCI nor any other party involved in or related to compiling, computing or creating the MSCI data makes any express or implied warranties or representations with respect to such data (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such data. Without limiting any of the foregoing, in no event shall MSCI, any of its affiliates or any third party involved in or related to compiling, computing or creating the data have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages. No further distribution or dissemination of the MSCI data is permitted without MSCI’s express written consent.
“Standard & Poor’s®”, “S&P®”, and “S&P 500®” are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by GuideStone Funds. The Funds are not sponsored, endorsed, sold or promoted by Standard & Poor’s and Standard & Poor’s makes no representation regarding the advisability of investing in the Funds.
June 30, 2020 (Unaudited)
| | | Shares | | Value |
| MUTUAL FUNDS — 100.0% |
GuideStone Money Market Fund, 0.16%
(Institutional Class)Ø∞ | 10,203,261 | | $ 10,203,261 |
GuideStone Low-Duration Bond Fund
(Institutional Class)∞ | 7,428,115 | | 100,725,243 |
GuideStone Medium-Duration Bond Fund
(Institutional Class)∞ | 10,640,173 | | 168,008,333 |
GuideStone Global Bond Fund
(Institutional Class)∞ | 6,741,029 | | 65,725,031 |
GuideStone Defensive Market Strategies Fund
(Institutional Class)∞ | 5,436,283 | | 68,279,710 |
GuideStone Equity Index Fund
(Institutional Class)∞ | 3,133,483 | | 106,538,408 |
GuideStone Small Cap Equity Fund
(Institutional Class)∞ | 746,700 | | 10,513,539 |
GuideStone International Equity Index Fund
(Institutional Class)∞ | 5,913,756 | | 57,481,711 |
GuideStone Emerging Markets Equity Fund
(Institutional Class)∞ | 2,149,311 | | 20,268,000 |
GuideStone Global Real Estate Securities Fund
(Institutional Class)∞ | 577,719 | | 4,777,734 |
GuideStone Strategic Alternatives Fund
(Institutional Class)∞ | 3,187,053 | | 31,169,381 |
Total Mutual Funds
(Cost $627,927,962) | | 643,690,351 |
| | | Shares | | Value |
| MONEY MARKET FUNDS — 0.0% |
Northern Institutional U.S. Government Portfolio (Shares), 0.07%Ø
(Cost $92,616) | 92,616 | | $ 92,616 |
TOTAL INVESTMENTS — 100.0%
(Cost $628,020,578) | | | 643,782,967 |
Liabilities in Excess of Other
Assets — (0.0)% | | | (55,764) |
| NET ASSETS — 100.0% | | | $643,727,203 |
PORTFOLIO SUMMARY (based on net assets)
| | % |
| Fixed Income Select Funds | 53.6 |
| U.S. Equity Select Funds | 28.8 |
| Non-U.S. Equity Select Funds | 12.1 |
| Alternative Select Funds | 4.8 |
| Real Assets Select Funds | 0.7 |
| Money Market Funds | —** |
| | 100.0 |
| **Rounds to less than 0.05% |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2020, in valuing the Fund’s investments carried at fair value:
| | Total
Value | | Level 1
Quoted Prices | | Level 2
Other Significant
Observable Inputs | | Level 3
Significant
Unobservable Inputs |
| Assets: | | | | | | | |
| Investments in Securities: | | | | | | | |
| Money Market Funds | $ 92,616 | | $ 92,616 | | $ — | | $ — |
| Mutual Funds | 643,690,351 | | 643,690,351 | | — | | — |
| Total Assets - Investments in Securities | $643,782,967 | | $643,782,967 | | $ — | | $ — |
See Notes to Financial Statements.
June 30, 2020 (Unaudited)
| | | Shares | | Value |
| MUTUAL FUNDS — 100.1% |
GuideStone Money Market Fund, 0.16%
(Institutional Class)Ø∞ | 21,012,491 | | $ 21,012,491 |
GuideStone Low-Duration Bond Fund
(Institutional Class)∞ | 6,690,089 | | 90,717,611 |
GuideStone Medium-Duration Bond Fund
(Institutional Class)∞ | 22,793,870 | | 359,915,205 |
GuideStone Global Bond Fund
(Institutional Class)∞ | 11,313,519 | | 110,306,815 |
GuideStone Defensive Market Strategies Fund
(Institutional Class)∞ | 12,604,161 | | 158,308,262 |
GuideStone Equity Index Fund
(Institutional Class)∞ | 9,586,605 | | 325,944,576 |
GuideStone Small Cap Equity Fund
(Institutional Class)∞ | 2,323,171 | | 32,710,247 |
GuideStone International Equity Index Fund
(Institutional Class)∞ | 18,200,740 | | 176,911,194 |
GuideStone Emerging Markets Equity Fund
(Institutional Class)∞ | 6,571,598 | | 61,970,171 |
GuideStone Global Real Estate Securities Fund
(Institutional Class)∞ | 1,627,143 | | 13,456,470 |
GuideStone Strategic Alternatives Fund
(Institutional Class)∞ | 3,878,372 | | 37,930,479 |
Total Mutual Funds
(Cost $1,357,359,032) | | 1,389,183,521 |
| | | Shares | | Value |
| MONEY MARKET FUNDS — 0.0% |
Northern Institutional U.S. Government Portfolio (Shares), 0.07%Ø
(Cost $73,115) | 73,115 | | $ 73,115 |
TOTAL INVESTMENTS — 100.1%
(Cost $1,357,432,147) | | | 1,389,256,636 |
Liabilities in Excess of Other
Assets — (0.1)% | | | (750,576) |
| NET ASSETS — 100.0% | | | $1,388,506,060 |
PORTFOLIO SUMMARY (based on net assets)
| | % |
| Fixed Income Select Funds | 41.9 |
| U.S. Equity Select Funds | 37.3 |
| Non-U.S. Equity Select Funds | 17.2 |
| Alternative Select Funds | 2.7 |
| Real Assets Select Funds | 1.0 |
| Money Market Funds | —** |
| | 100.1 |
| **Rounds to less than 0.05% |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2020, in valuing the Fund’s investments carried at fair value:
| | Total
Value | | Level 1
Quoted Prices | | Level 2
Other Significant
Observable Inputs | | Level 3
Significant
Unobservable Inputs |
| Assets: | | | | | | | |
| Investments in Securities: | | | | | | | |
| Money Market Funds | $ 73,115 | | $ 73,115 | | $ — | | $ — |
| Mutual Funds | 1,389,183,521 | | 1,389,183,521 | | — | | — |
| Total Assets - Investments in Securities | $1,389,256,636 | | $1,389,256,636 | | $ — | | $ — |
See Notes to Financial Statements.
June 30, 2020 (Unaudited)
| | | Shares | | Value |
| MUTUAL FUNDS — 100.0% |
GuideStone Money Market Fund, 0.16%
(Institutional Class)Ø∞ | 21,477,541 | | $ 21,477,541 |
GuideStone Medium-Duration Bond Fund
(Institutional Class)∞ | 11,055,302 | | 174,563,216 |
GuideStone Global Bond Fund
(Institutional Class)∞ | 4,387,387 | | 42,777,025 |
GuideStone Defensive Market Strategies Fund
(Institutional Class)∞ | 4,793,213 | | 60,202,760 |
GuideStone Equity Index Fund
(Institutional Class)∞ | 10,036,065 | | 341,226,205 |
GuideStone Small Cap Equity Fund
(Institutional Class)∞ | 2,560,543 | | 36,052,450 |
GuideStone International Equity Index Fund
(Institutional Class)∞ | 19,245,630 | | 187,067,528 |
GuideStone Emerging Markets Equity Fund
(Institutional Class)∞ | 6,911,560 | | 65,176,010 |
GuideStone Global Real Estate Securities Fund
(Institutional Class)∞ | 1,572,093 | | 13,001,213 |
Total Mutual Funds
(Cost $917,279,244) | | 941,543,948 |
| MONEY MARKET FUNDS — 0.0% |
Northern Institutional U.S. Government Portfolio (Shares), 0.07%Ø
(Cost $17,207) | 17,207 | | 17,207 |
TOTAL INVESTMENTS — 100.0%
(Cost $917,296,451) | | | 941,561,155 |
Liabilities in Excess of Other
Assets — (0.0)% | | | (393,143) |
| NET ASSETS — 100.0% | | | $941,168,012 |
PORTFOLIO SUMMARY (based on net assets)
| | % |
| U.S. Equity Select Funds | 46.5 |
| Non-U.S. Equity Select Funds | 26.8 |
| Fixed Income Select Funds | 25.3 |
| Real Assets Select Funds | 1.4 |
| Money Market Funds | —** |
| | 100.0 |
| **Rounds to less than 0.05% |
Futures Contracts outstanding at June 30, 2020:
| Future Type | | Expiration Date | | Open Long
(Short) Contracts | | Notional
Market Value
of Contracts | | Value and
Unrealized
Appreciation
(Depreciation) |
| MSCI EAFE Index E-Mini | | 09/2020 | | 3 | | $ 266,760 | | $ 3,176 |
| MSCI Emerging Markets E-Mini | | 09/2020 | | 1 | | 49,285 | | 700 |
| S&P 500® E-Mini | | 09/2020 | | 4 | | 618,040 | | 16,824 |
| 10-Year U.S. Treasury Note | | 09/2020 | | 3 | | 417,516 | | 1,167 |
| Total Futures Contracts outstanding at June 30, 2020 | | | | | | $1,351,601 | | $21,867 |
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (Continued)
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2020, in valuing the Fund’s investments carried at fair value:
| | Total
Value | | Level 1
Quoted Prices | | Level 2
Other Significant
Observable Inputs | | Level 3
Significant
Unobservable Inputs |
| Assets: | | | | | | | |
| Investments in Securities: | | | | | | | |
| Money Market Funds | $ 17,207 | | $ 17,207 | | $ — | | $ — |
| Mutual Funds | 941,543,948 | | 941,543,948 | | — | | — |
| Total Assets - Investments in Securities | $941,561,155 | | $941,561,155 | | $ — | | $ — |
| Other Financial Instruments*** | | | | | | | |
| Futures Contracts | $ 21,867 | | $ 21,867 | | $ — | | $ — |
| Total Assets - Other Financial Instruments | $ 21,867 | | $ 21,867 | | $ — | | $ — |
| *** | 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. |
See Notes to Financial Statements.
June 30, 2020 (Unaudited)
| | | Shares | | Value |
| MUTUAL FUNDS — 100.0% |
GuideStone Money Market Fund, 0.16%
(Institutional Class)Ø∞ | 14,552,977 | | $ 14,552,977 |
GuideStone Medium-Duration Bond Fund
(Institutional Class)∞ | 3,858,686 | | 60,928,654 |
GuideStone Global Bond Fund
(Institutional Class)∞ | 1,550,902 | | 15,121,295 |
GuideStone Defensive Market Strategies Fund
(Institutional Class)∞ | 2,788,093 | | 35,018,447 |
GuideStone Equity Index Fund
(Institutional Class)∞ | 9,161,824 | | 311,502,031 |
GuideStone Small Cap Equity Fund
(Institutional Class)∞ | 2,207,038 | | 31,075,087 |
GuideStone International Equity Index Fund
(Institutional Class)∞ | 17,164,761 | | 166,841,478 |
GuideStone Emerging Markets Equity Fund
(Institutional Class)∞ | 6,286,082 | | 59,277,755 |
GuideStone Global Real Estate Securities Fund
(Institutional Class)∞ | 1,485,989 | | 12,289,129 |
Total Mutual Funds
(Cost $687,375,819) | | 706,606,853 |
| MONEY MARKET FUNDS — 0.0% |
Northern Institutional U.S. Government Portfolio (Shares), 0.07%Ø
(Cost $35,698) | 35,698 | | 35,698 |
TOTAL INVESTMENTS — 100.0%
(Cost $687,411,517) | | | 706,642,551 |
Liabilities in Excess of Other
Assets — (0.0)% | | | (15,527) |
| NET ASSETS — 100.0% | | | $706,627,024 |
PORTFOLIO SUMMARY (based on net assets)
| | % |
| U.S. Equity Select Funds | 53.5 |
| Non-U.S. Equity Select Funds | 32.0 |
| Fixed Income Select Funds | 12.8 |
| Real Assets Select Funds | 1.7 |
| Money Market Funds | —** |
| | 100.0 |
| **Rounds to less than 0.05% |
| Future Type | | Expiration Date | | Open Long
(Short) Contracts | | Notional
Market Value
of Contracts | | Value and
Unrealized
Appreciation
(Depreciation) |
| S&P 500® E-Mini | | 09/2020 | | 1 | | $154,510 | | $3,874 |
| 10-Year U.S. Treasury Note | | 09/2020 | | 1 | | 139,172 | | 389 |
| Total Futures Contracts outstanding at June 30, 2020 | | | | | | $293,682 | | $4,263 |
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (Continued)
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2020, in valuing the Fund’s investments carried at fair value:
| | Total
Value | | Level 1
Quoted Prices | | Level 2
Other Significant
Observable Inputs | | Level 3
Significant
Unobservable Inputs |
| Assets: | | | | | | | |
| Investments in Securities: | | | | | | | |
| Money Market Funds | $ 35,698 | | $ 35,698 | | $ — | | $ — |
| Mutual Funds | 706,606,853 | | 706,606,853 | | — | | — |
| Total Assets - Investments in Securities | $706,642,551 | | $706,642,551 | | $ — | | $ — |
| Other Financial Instruments*** | | | | | | | |
| Futures Contracts | $ 4,263 | | $ 4,263 | | $ — | | $ — |
| Total Assets - Other Financial Instruments | $ 4,263 | | $ 4,263 | | $ — | | $ — |
| *** | 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. |
See Notes to Financial Statements.
June 30, 2020 (Unaudited)
| | | Shares | | Value |
| MUTUAL FUNDS — 99.9% |
GuideStone Money Market Fund, 0.16%
(Institutional Class)Ø∞ | 4,884,080 | | $ 4,884,080 |
GuideStone Medium-Duration Bond Fund
(Institutional Class)∞ | 863,809 | | 13,639,545 |
GuideStone Global Bond Fund
(Institutional Class)∞ | 347,226 | | 3,385,451 |
GuideStone Defensive Market Strategies Fund
(Institutional Class)∞ | 958,181 | | 12,034,756 |
GuideStone Equity Index Fund
(Institutional Class)∞ | 3,291,681 | | 111,917,171 |
GuideStone Small Cap Equity Fund
(Institutional Class)∞ | 792,170 | | 11,153,752 |
GuideStone International Equity Index Fund
(Institutional Class)∞ | 6,167,465 | | 59,947,761 |
GuideStone Emerging Markets Equity Fund
(Institutional Class)∞ | 2,258,672 | | 21,299,274 |
GuideStone Global Real Estate Securities Fund
(Institutional Class)∞ | 533,359 | | 4,410,880 |
Total Mutual Funds
(Cost $239,868,537) | | 242,672,670 |
| MONEY MARKET FUNDS — 0.0% |
Northern Institutional U.S. Government Portfolio (Shares), 0.07%Ø
(Cost $60,123) | 60,123 | | 60,123 |
TOTAL INVESTMENTS — 99.9%
(Cost $239,928,660) | | | 242,732,793 |
Other Assets in Excess of
Liabilities — 0.1% | | | 156,696 |
| NET ASSETS — 100.0% | | | $242,889,489 |
PORTFOLIO SUMMARY (based on net assets)
| | % |
| U.S. Equity Select Funds | 55.6 |
| Non-U.S. Equity Select Funds | 33.5 |
| Fixed Income Select Funds | 9.0 |
| Real Assets Select Funds | 1.8 |
| Money Market Funds | —** |
| | 99.9 |
| **Rounds to less than 0.05% |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2020, in valuing the Fund’s investments carried at fair value:
| | Total
Value | | Level 1
Quoted Prices | | Level 2
Other Significant
Observable Inputs | | Level 3
Significant
Unobservable Inputs |
| Assets: | | | | | | | |
| Investments in Securities: | | | | | | | |
| Money Market Funds | $ 60,123 | | $ 60,123 | | $ — | | $ — |
| Mutual Funds | 242,672,670 | | 242,672,670 | | — | | — |
| Total Assets - Investments in Securities | $242,732,793 | | $242,732,793 | | $ — | | $ — |
See Notes to Financial Statements.
| STATEMENTS OF ASSETS AND LIABILITIES | June 30, 2020 (Unaudited) |
| | MyDestination
2015 Fund | | MyDestination
2025 Fund |
| Assets | | | |
| Investments in securities of unaffiliated issuers, at value | $ 92,616 | | $ 73,115 |
| Investments in securities of affiliated issuers, at value | 643,690,351 | | 1,389,183,521 |
| Total investments, at value(1) | 643,782,967 | | 1,389,256,636 |
| Deposits with broker for futures contracts | — | | — |
| Receivables: | | | |
| Dividends | 1,551 | | 3,096 |
| From advisor | 39,065 | | — |
| Fund shares sold | 125,769 | | 236,127 |
| Variation margin on futures contracts | — | | — |
| Prepaid expenses and other assets | 34,461 | | 96,610 |
| Total Assets | 643,983,813 | | 1,389,592,469 |
| Liabilities | | | |
| Payables: | | | |
| Fund shares redeemed | 53,873 | | 690,608 |
| Accrued expenses: | | | |
| Investment advisory fees | 52,577 | | 113,766 |
| Shareholder servicing fees | 102,235 | | 206,241 |
| Trustee fees | 582 | | 901 |
| Other expenses | 47,343 | | 74,893 |
| Total Liabilities | 256,610 | | 1,086,409 |
| Net Assets | $643,727,203 | | $1,388,506,060 |
| Net Assets Consist of: | | | |
| Paid-in-capital | $617,322,241 | | $1,329,033,405 |
| Distributable earnings (loss) | 26,404,962 | | 59,472,655 |
| Net Assets | $643,727,203 | | $1,388,506,060 |
| Net Asset Value: | | | |
| $0.001 par value, unlimited shares authorized | | | |
| Net assets applicable to the Institutional Class | $144,060,746 | | $ 382,930,865 |
| Institutional shares outstanding | 13,983,444 | | 37,474,067 |
| Net asset value, offering and redemption price per Institutional share | $ 10.30 | | $ 10.22 |
| Net assets applicable to the Investor Class | $499,666,457 | | $1,005,575,195 |
| Investor shares outstanding | 48,564,593 | | 98,441,862 |
| Net asset value, offering and redemption price per Investor share | $ 10.29 | | $ 10.21 |
| | | |
| (1)Investments in securities of unaffiliated issuers, at cost | $ 92,616 | | $ 73,115 |
| Investments in securities of affiliated issuers, at cost | 627,927,962 | | 1,357,359,032 |
| Total investments, at cost | $628,020,578 | | $1,357,432,147 |
See Notes to Financial Statements.
MyDestination
2035 Fund | | MyDestination
2045 Fund | | MyDestination
2055 Fund |
| | | | | |
| $ 17,207 | | $ 35,698 | | $ 60,123 |
| 941,543,948 | | 706,606,853 | | 242,672,670 |
| 941,561,155 | | 706,642,551 | | 242,732,793 |
| 90,000 | | 15,000 | | 5 |
| | | | | |
| 3,216 | | 2,274 | | 790 |
| — | | 13,103 | | 394 |
| 137,207 | | 207,357 | | 249,873 |
| 7,311 | | 1,969 | | — |
| 41,653 | | 37,701 | | 26,544 |
| 941,840,542 | | 706,919,955 | | 243,010,399 |
| | | | | |
| | | | | |
| 402,456 | | 89,620 | | 38,112 |
| | | | | |
| 76,839 | | 57,676 | | 19,753 |
| 132,802 | | 93,653 | | 30,231 |
| 531 | | 463 | | 7 |
| 59,902 | | 51,519 | | 32,807 |
| 672,530 | | 292,931 | | 120,910 |
| $941,168,012 | | $706,627,024 | | $242,889,489 |
| | | | | |
| $903,256,144 | | $680,120,037 | | $238,195,236 |
| 37,911,868 | | 26,506,987 | | 4,694,253 |
| $941,168,012 | | $706,627,024 | | $242,889,489 |
| | | | | |
| | | | | |
| $291,891,800 | | $248,123,339 | | $ 94,473,640 |
| 29,641,941 | | 26,471,338 | | 7,258,877 |
| $ 9.85 | | $ 9.37 | | $ 13.01 |
| $649,276,212 | | $458,503,685 | | $148,415,849 |
| 65,995,978 | | 48,991,505 | | 11,430,415 |
| $ 9.84 | | $ 9.36 | | $ 12.98 |
| | | | | |
| $ 17,207 | | $ 35,698 | | $ 60,123 |
| 917,279,244 | | 687,375,819 | | 239,868,537 |
| $917,296,451 | | $687,411,517 | | $239,928,660 |
See Notes to Financial Statements.
| STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2020 (Unaudited) |
| | MyDestination
2015 Fund |
| Investment Income | |
| Dividends | $ 5 |
| Income distributions received from affiliated funds | 4,319,321 |
| Interest | — |
| Total Investment Income | 4,319,326 |
| Expenses | |
| Investment advisory fees | 314,115 |
| Transfer agent fees: | |
| Institutional shares | 1,812 |
| Investor shares | 10,922 |
| Custodian fees | 11,789 |
| Shareholder servicing fees: | |
| Investor shares | 615,132 |
| Accounting and administration fees | 13,944 |
| Professional fees | 43,535 |
| Shareholder reporting fees: | |
| Institutional shares | 264 |
| Investor shares | 3,821 |
| Trustees expenses | 2,170 |
| Line of credit facility fees | 756 |
| Other expenses | 31,842 |
| Recoupment of prior expenses reduced by the Advisor | — |
| Total Expenses | 1,050,102 |
| Expenses waived/reimbursed(1) | (226,659) |
| Net Expenses | 823,443 |
| Net Investment Income | 3,495,883 |
| Realized and Unrealized Gain (Loss) | |
| Capital gain distributions received from affiliated funds | 1,110,341 |
| Net realized gain (loss) on investment securities of affiliated issuers | 636,162 |
| Net realized gain (loss) on futures transactions | 61,281 |
| Net realized gain | 1,807,784 |
| Change in unrealized appreciation (depreciation) on investment securities of affiliated issuers | (13,623,350) |
| Change in unrealized appreciation (depreciation) on investment securities of unaffiliated issuers | (14) |
| Change in unrealized appreciation (depreciation) on futures | (17,466) |
| Net change in unrealized appreciation (depreciation) | (13,640,830) |
| Net Realized and Unrealized Loss | (11,833,046) |
| Net Decrease in Net Assets Resulting from Operations | $ (8,337,163) |
| |
| (1) | See Note 3c in Notes to Financial Statements. |
See Notes to Financial Statements.
MyDestination
2025 Fund | | MyDestination
2035 Fund | | MyDestination
2045 Fund | | MyDestination
2055 Fund |
| | | | | | | |
| $ 163 | | $ 150 | | $ 173 | | $ 63 |
| 9,120,851 | | 5,539,218 | | 3,757,765 | | 1,239,283 |
| 1,621 | | 1,818 | | 1,865 | | 426 |
| 9,122,635 | | 5,541,186 | | 3,759,803 | | 1,239,772 |
| | | | | | | |
| 673,297 | | 446,278 | | 332,730 | | 110,792 |
| | | | | | | |
| 2,101 | | 2,143 | | 2,199 | | 2,116 |
| 16,083 | | 11,036 | | 9,882 | | 8,139 |
| 15,605 | | 13,273 | | 12,113 | | 11,270 |
| | | | | | | |
| 1,235,852 | | 780,457 | | 547,856 | | 172,398 |
| 29,890 | | 19,813 | | 14,771 | | 4,919 |
| 39,969 | | 41,123 | | 42,379 | | 42,212 |
| | | | | | | |
| 645 | | 616 | | 769 | | 675 |
| 6,584 | | 4,116 | | 3,600 | | 2,198 |
| 4,180 | | 2,756 | | 2,122 | | 1,042 |
| 1,421 | | 1,111 | | 946 | | 697 |
| 55,409 | | 44,118 | | 35,631 | | 15,696 |
| — | | 61,206 | | 59,540 | | — |
| 2,081,036 | | 1,428,046 | | 1,064,538 | | 372,154 |
| (247,084) | | (13,414) | | (2,803) | | (14,237) |
| 1,833,952 | | 1,414,632 | | 1,061,735 | | 357,917 |
| 7,288,683 | | 4,126,554 | | 2,698,068 | | 881,855 |
| | | | | | | |
| 2,538,983 | | 1,633,255 | | 1,242,729 | | 425,487 |
| 8,629,654 | | 3,998,625 | | 1,254,907 | | (36,591) |
| (335,478) | | (481,090) | | (676,225) | | (253,663) |
| 10,833,159 | | 5,150,790 | | 1,821,411 | | 135,233 |
| (48,871,143) | | (44,755,340) | | (39,951,864) | | (13,074,477) |
| (41) | | (51) | | (44) | | (60) |
| (105,146) | | (131,960) | | (124,823) | | (41,910) |
| (48,976,330) | | (44,887,351) | | (40,076,731) | | (13,116,447) |
| (38,143,171) | | (39,736,561) | | (38,255,320) | | (12,981,214) |
| $(30,854,488) | | $(35,610,007) | | $(35,557,252) | | $(12,099,359) |
See Notes to Financial Statements.
| STATEMENTS OF CHANGES IN NET ASSETS |
| | MyDestination 2015 Fund | | MyDestination 2025 Fund |
| | For the Six
Months Ended | | For the Year Ended | | For the Six
Months Ended | | For the Year Ended |
| | 06/30/20 | | 12/31/19 | | 06/30/20 | | 12/31/19 |
| | (Unaudited) | | | | (Unaudited) | | |
| Operations: | | | | | | | |
| Net investment income | $ 3,495,883 | | $ 13,925,733 | | $ 7,288,683 | | $ 27,594,933 |
| Net realized gain on investment securities and futures transactions | 1,807,784 | | 14,296,310 | | 10,833,159 | | 27,355,301 |
| Net change in unrealized appreciation (depreciation) on investment securities and futures | (13,640,830) | | 61,031,096 | | (48,976,330) | | 156,024,078 |
| Net increase (decrease) in net assets resulting from operations | (8,337,163) | | 89,253,139 | | (30,854,488) | | 210,974,312 |
| Distributions to Shareholders: | | | | | | | |
| Institutional shares | — | | (5,862,578) | | — | | (13,988,165) |
| Investor shares | — | | (20,450,729) | | — | | (38,484,767) |
| Total distributions | — | | (26,313,307) | | — | | (52,472,932) |
| Capital Share Transactions: | | | | | | | |
| Proceeds from shares sold | | | | | | | |
| Institutional shares | 17,750,485 | | 53,645,758 | | 57,606,832 | | 112,767,546 |
| Investor shares | 30,920,786 | | 49,464,244 | | 51,305,117 | | 111,058,235 |
| Reinvestment of dividends and distributions | | | | | | | |
| Institutional shares | — | | 5,862,578 | | — | | 13,988,165 |
| Investor shares | — | | 20,446,948 | | — | | 38,483,178 |
| Total proceeds from shares sold and reinvested | 48,671,271 | | 129,419,528 | | 108,911,949 | | 276,297,124 |
| Value of shares redeemed | | | | | | | |
| Institutional shares | (15,385,129) | | (31,768,802) | | (29,191,918) | | (50,659,250) |
| Investor shares | (48,817,505) | | (93,504,464) | | (69,907,693) | | (112,946,892) |
| Total value of shares redeemed | (64,202,634) | | (125,273,266) | | (99,099,611) | | (163,606,142) |
| Net increase (decrease) from capital share transactions(1) | (15,531,363) | | 4,146,262 | | 9,812,338 | | 112,690,982 |
| Total increase (decrease) in net assets | (23,868,526) | | 67,086,094 | | (21,042,150) | | 271,192,362 |
| Net Assets: | | | | | | | |
| Beginning of Period | 667,595,729 | | 600,509,635 | | 1,409,548,210 | | 1,138,355,848 |
| End of Period | $643,727,203 | | $ 667,595,729 | | $1,388,506,060 | | $1,409,548,210 |
| |
| (1) | See Note 6 in Notes to Financial Statements. |
See Notes to Financial Statements.
| MyDestination 2035 Fund | | MyDestination 2045 Fund | | MyDestination 2055 Fund |
For the Six
Months Ended | | For the Year Ended | | For the Six
Months Ended | | For the Year Ended | | For the Six
Months Ended | | For the Year Ended |
| 06/30/20 | | 12/31/19 | | 06/30/20 | | 12/31/19 | | 06/30/20 | | 12/31/19 |
| (Unaudited) | | | | (Unaudited) | | | | (Unaudited) | | |
| | | | | | | | | | | |
| $ 4,126,554 | | $ 17,182,712 | | $ 2,698,068 | | $ 12,586,247 | | $ 881,855 | | $ 3,872,295 |
| 5,150,790 | | 14,025,688 | | 1,821,411 | | 9,995,707 | | 135,233 | | 5,037,224 |
| (44,887,351) | | 128,412,019 | | (40,076,731) | | 108,037,603 | | (13,116,447) | | 30,906,869 |
| (35,610,007) | | 159,620,419 | | (35,557,252) | | 130,619,557 | | (12,099,359) | | 39,816,388 |
| | | | | | | | | | | |
| — | | (9,403,983) | | — | | (8,040,317) | | — | | (3,200,893) |
| — | | (21,796,700) | | — | | (15,261,033) | | — | | (5,664,596) |
| — | | (31,200,683) | | — | | (23,301,350) | | — | | (8,865,489) |
| | | | | | | | | | | |
| | | | | | | | | | | |
| 49,249,261 | | 85,294,170 | | 37,417,077 | | 60,147,102 | | 25,413,862 | | 29,732,533 |
| 37,642,088 | | 88,866,340 | | 27,468,312 | | 65,328,746 | | 21,176,802 | | 39,108,697 |
| | | | | | | | | | | |
| — | | 9,403,983 | | — | | 8,040,317 | | — | | 3,200,894 |
| — | | 21,796,029 | | — | | 15,260,906 | | — | | 5,664,445 |
| 86,891,349 | | 205,360,522 | | 64,885,389 | | 148,777,071 | | 46,590,664 | | 77,706,569 |
| | | | | | | | | | | |
| (13,204,885) | | (35,182,892) | | (8,486,530) | | (31,741,269) | | (3,901,509) | | (20,917,032) |
| (25,730,743) | | (58,018,044) | | (15,305,113) | | (40,840,087) | | (8,329,611) | | (15,829,240) |
| (38,935,628) | | (93,200,936) | | (23,791,643) | | (72,581,356) | | (12,231,120) | | (36,746,272) |
| 47,955,721 | | 112,159,586 | | 41,093,746 | | 76,195,715 | | 34,359,544 | | 40,960,297 |
| 12,345,714 | | 240,579,322 | | 5,536,494 | | 183,513,922 | | 22,260,185 | | 71,911,196 |
| | | | | | | | | | | |
| 928,822,298 | | 688,242,976 | | 701,090,530 | | 517,576,608 | | 220,629,304 | | 148,718,108 |
| $941,168,012 | | $928,822,298 | | $706,627,024 | | $701,090,530 | | $242,889,489 | | $220,629,304 |
See Notes to Financial Statements.
| FINANCIAL HIGHLIGHTS (Unaudited) |
| For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | | | | | | Ratios to Average Net Assets | |
| | Net Asset
Value,
Beginning
of Period | 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
Period | Total
Return | Net Assets,
End of Period
(000) | Expenses,
Net(2) | Expenses,
Gross(2) | Investment
Income,
Net
(1) | Portfolio
Turnover
Rate |
| MyDestination 2015 Fund |
| Institutional Class |
| 2020(3) | $10.40 | $0.07 | $(0.17) | $(0.10) | $ — | $ — | $ — | $10.30 | (0.96)% | $ 144,061 | 0.06% | 0.14% | 1.32% | 8% |
| 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(4) | 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 |
| 2020(3) | $10.40 | $0.05 | $(0.16) | $(0.11) | $ — | $ — | $ — | $10.29 | (1.06)% | $ 499,666 | 0.31% | 0.39% | 1.06% | 8% |
| 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(5) |
| |
| MyDestination 2025 Fund |
| Institutional Class |
| 2020(3) | $10.42 | $0.06 | $(0.26) | $(0.20) | $ — | $ — | $ — | $10.22 | (1.92)% | $ 382,931 | 0.09% | 0.13% | 1.29% | 8% |
| 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(4) | 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 |
| 2020(3) | $10.43 | $0.05 | $(0.27) | $(0.22) | $ — | $ — | $ — | $10.21 | (2.11)% | $1,005,575 | 0.34% | 0.38% | 1.01% | 8% |
| 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(5) |
| |
| MyDestination 2035 Fund |
| Institutional Class |
| 2020(3) | $10.22 | $0.05 | $(0.42) | $(0.37) | $ — | $ — | $ — | $ 9.85 | (3.62)% | $ 291,892 | 0.14% | 0.15% | 1.12% | 6% |
| 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(4) | 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 |
| 2020(3) | $10.22 | $0.04 | $(0.42) | $(0.38) | $ — | $ — | $ — | $ 9.84 | (3.72)% | $ 649,276 | 0.39% | 0.40% | 0.84% | 6% |
| 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(5) |
| | | | | | | | | | | | | | | |
| # | Calculated using the average shares outstanding method. |
| (1) | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. |
| (2) | Does not include expenses of the investment companies in which the Fund invests. 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%, 0.35%, 0.34% and 0.33%, respectively for 2020, and are deducted from the value of the funds in which each Fund invests and is included in each Fund’s total return. |
| (3) | For the six months ended June 30, 2020. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
| (4) | 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. |
| (5) | The portfolio turnover rate for the year ended December 31, 2015 reflects rebalancing of holdings in the Funds and is not representative of a change in investment strategy for the Funds. |
See Notes to Financial Statements.
| For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | | | | | | Ratios to Average Net Assets | |
| | Net Asset
Value,
Beginning
of Period | 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
Period | Total
Return | Net Assets,
End of Period
(000) | Expenses,
Net(2) | Expenses,
Gross(2) | Investment
Income,
Net
(1) | Portfolio
Turnover
Rate |
| MyDestination 2045 Fund |
| Institutional Class |
| 2020(3) | $ 9.87 | $0.05 | $(0.55) | $(0.50) | $ — | $ — | $ — | $ 9.37 | (5.07)% | $248,123 | 0.14% | 0.14% | 1.01% | 4% |
| 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(4) | 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 |
| 2020(3) | $ 9.87 | $0.03 | $(0.54) | $(0.51) | $ — | $ — | $ — | $ 9.36 | (5.17)% | $458,504 | 0.41% | 0.41% | 0.71% | 4% |
| 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(5) |
| |
| MyDestination 2055 Fund |
| Institutional Class |
| 2020(3) | $13.77 | $0.06 | $(0.82) | $(0.76) | $ — | $ — | $ — | $13.01 | (5.52)% | $ 94,473 | 0.16% | 0.18% | 0.98% | 8% |
| 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(4) | 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 |
| 2020(3) | $13.76 | $0.04 | $(0.82) | $(0.78) | $ — | $ — | $ — | $12.98 | (5.67)% | $148,416 | 0.42% | 0.43% | 0.68% | 8% |
| 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(5) |
| | | | | | | | | | | | | | | |
| # | Calculated using the average shares outstanding method. |
| (1) | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. |
| (2) | Does not include expenses of the investment companies in which the Fund invests. 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%, 0.35%, 0.34% and 0.33%, respectively for 2020, and are deducted from the value of the funds in which each Fund invests and is included in each Fund’s total return. |
| (3) | For the six months ended June 30, 2020. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
| (4) | 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. |
| (5) | The portfolio turnover rate for the year ended December 31, 2015 reflects rebalancing of holdings in the Funds and is not representative of a change in investment strategy for the Funds. |
See Notes to Financial Statements.
CONSERVATIVE ALLOCATION FUND
June 30, 2020 (Unaudited)
| | | Shares | | Value |
| MUTUAL FUNDS — 100.0% |
GuideStone Money Market Fund, 0.16%
(Institutional Class)Ø∞ | 7,169,603 | | $ 7,169,603 |
GuideStone Low-Duration Bond Fund
(Institutional Class)∞ | 17,794,266 | | 241,290,243 |
GuideStone Medium-Duration Bond Fund
(Institutional Class)∞ | 4,084,563 | | 64,495,243 |
GuideStone Global Bond Fund
(Institutional Class)∞ | 1,710,100 | | 16,673,469 |
GuideStone Defensive Market Strategies Fund
(Institutional Class)∞ | 3,011,114 | | 37,819,593 |
GuideStone Value Equity Fund
(Institutional Class)∞ | 1,845,895 | | 29,072,849 |
GuideStone Growth Equity Fund
(Institutional Class)∞ | 1,093,267 | | 30,994,127 |
GuideStone Small Cap Equity Fund
(Institutional Class)∞ | 205,226 | | 2,889,582 |
GuideStone International Equity Fund
(Institutional Class)∞ | 2,634,619 | | 31,747,163 |
GuideStone Emerging Markets Equity Fund
(Institutional Class)∞ | 1,150,241 | | 10,846,776 |
GuideStone Global Real Estate Securities Fund
(Institutional Class)∞ | 666,222 | | 5,509,656 |
GuideStone Strategic Alternatives Fund
(Institutional Class)∞ | 2,514,229 | | 24,589,163 |
Total Mutual Funds
(Cost $501,055,939) | | 503,097,467 |
| | | Shares | | Value |
| MONEY MARKET FUNDS — 0.1% |
Northern Institutional U.S. Government Portfolio (Shares), 0.07%
(Cost $593,061) | 593,061 | | $ 593,061 |
TOTAL INVESTMENTS — 100.1%
(Cost $501,649,000) | | | 503,690,528 |
Liabilities in Excess of Other
Assets — (0.1)% | | | (310,335) |
| NET ASSETS — 100.0% | | | $503,380,193 |
PORTFOLIO SUMMARY (based on net assets)
| | % |
| 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 | 1.1 |
| Money Market Funds | 0.1 |
| | 100.1 |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2020, in valuing the Fund’s investments carried at fair value:
| | Total
Value | | Level 1
Quoted Prices | | Level 2
Other Significant
Observable Inputs | | Level 3
Significant
Unobservable Inputs |
| Assets: | | | | | | | |
| Investments in Securities: | | | | | | | |
| Money Market Funds | $ 593,061 | | $ 593,061 | | $ — | | $ — |
| Mutual Funds | 503,097,467 | | 503,097,467 | | — | | — |
| Total Assets - Investments in Securities | $503,690,528 | | $503,690,528 | | $ — | | $ — |
See Notes to Financial Statements.
June 30, 2020 (Unaudited)
| | | Shares | | Value |
| MUTUAL FUNDS — 100.1% |
GuideStone Money Market Fund, 0.16%
(Institutional Class)Ø∞ | 29,921,432 | | $ 29,921,432 |
GuideStone Low-Duration Bond Fund
(Institutional Class)∞ | 6,890,962 | | 93,441,439 |
GuideStone Medium-Duration Bond Fund
(Institutional Class)∞ | 22,558,400 | | 356,197,142 |
GuideStone Extended-Duration Bond Fund
(Institutional Class)∞ | 3,329,989 | | 64,768,296 |
GuideStone Global Bond Fund
(Institutional Class)∞ | 13,517,111 | | 131,791,832 |
GuideStone Defensive Market Strategies Fund
(Institutional Class)∞ | 12,781,712 | | 160,538,300 |
GuideStone Value Equity Fund
(Institutional Class)∞ | 10,120,472 | | 159,397,429 |
GuideStone Growth Equity Fund
(Institutional Class)∞ | 6,103,330 | | 173,029,413 |
GuideStone Small Cap Equity Fund
(Institutional Class)∞ | 2,106,368 | | 29,657,666 |
GuideStone International Equity Fund
(Institutional Class)∞ | 14,539,240 | | 175,197,838 |
GuideStone Emerging Markets Equity Fund
(Institutional Class)∞ | 6,535,062 | | 61,625,635 |
GuideStone Global Real Estate Securities Fund
(Institutional Class)∞ | 3,401,917 | | 28,133,856 |
| | | Shares | | Value |
GuideStone Strategic Alternatives Fund
(Institutional Class)∞ | 6,071,547 | | $ 59,379,731 |
Total Mutual Funds
(Cost $1,544,923,684) | | 1,523,080,009 |
TOTAL INVESTMENTS — 100.1%
(Cost $1,544,923,684) | | | 1,523,080,009 |
Liabilities in Excess of Other
Assets — (0.1)% | | | (882,749) |
| NET ASSETS — 100.0% | | | $1,522,197,260 |
PORTFOLIO SUMMARY (based on net assets)
| | % |
| Fixed Income Select Funds | 44.5 |
| U.S. Equity Select Funds | 34.3 |
| Non-U.S. Equity Select Funds | 15.6 |
| Alternative Select Funds | 3.9 |
| Real Assets Select Funds | 1.8 |
| | 100.1 |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2020, in valuing the Fund’s investments carried at fair value:
| | Total
Value | | Level 1
Quoted Prices | | Level 2
Other Significant
Observable Inputs | | Level 3
Significant
Unobservable Inputs |
| Assets: | | | | | | | |
| Investments in Securities: | | | | | | | |
| Mutual Funds | $1,523,080,009 | | $1,523,080,009 | | $ — | | $ — |
| Total Assets - Investments in Securities | $1,523,080,009 | | $1,523,080,009 | | $ — | | $ — |
See Notes to Financial Statements.
June 30, 2020 (Unaudited)
| | | Shares | | Value |
| MUTUAL FUNDS — 100.0% |
GuideStone Money Market Fund, 0.16%
(Institutional Class)Ø∞ | 30,257,006 | | $ 30,257,006 |
GuideStone Low-Duration Bond Fund
(Institutional Class)∞ | 2,292,751 | | 31,089,709 |
GuideStone Medium-Duration Bond Fund
(Institutional Class)∞ | 7,643,104 | | 120,684,621 |
GuideStone Extended-Duration Bond Fund
(Institutional Class)∞ | 1,152,454 | | 22,415,233 |
GuideStone Global Bond Fund
(Institutional Class)∞ | 4,343,013 | | 42,344,373 |
GuideStone Defensive Market Strategies Fund
(Institutional Class)∞ | 4,371,047 | | 54,900,356 |
GuideStone Value Equity Fund
(Institutional Class)∞ | 13,540,859 | | 213,268,527 |
GuideStone Growth Equity Fund
(Institutional Class)∞ | 7,953,184 | | 225,472,778 |
GuideStone Small Cap Equity Fund
(Institutional Class)∞ | 3,169,541 | | 44,627,132 |
GuideStone International Equity Fund
(Institutional Class)∞ | 19,420,535 | | 234,017,442 |
GuideStone Emerging Markets Equity Fund
(Institutional Class)∞ | 8,736,799 | | 82,388,013 |
GuideStone Global Real Estate Securities Fund
(Institutional Class)∞ | 3,800,475 | | 31,429,924 |
GuideStone Strategic Alternatives Fund
(Institutional Class)∞ | 2,949,414 | | 28,845,270 |
Total Mutual Funds
(Cost $1,247,629,510) | | 1,161,740,384 |
| | | Shares | | Value |
| MONEY MARKET FUNDS — 0.0% |
Northern Institutional U.S. Government Portfolio (Shares), 0.07%Ø
(Cost $35,455) | 35,455 | | $ 35,455 |
TOTAL INVESTMENTS — 100.0%
(Cost $1,247,664,965) | | | 1,161,775,839 |
Other Assets in Excess of
Liabilities — 0.0% | | | 123,775 |
| NET ASSETS — 100.0% | | | $1,161,899,614 |
PORTFOLIO SUMMARY (based on net assets)
| | % |
| U.S. Equity Select Funds | 46.3 |
| Non-U.S. Equity Select Funds | 27.2 |
| Fixed Income Select Funds | 21.3 |
| Real Assets Select Funds | 2.7 |
| Alternative Select Funds | 2.5 |
| Money Market Funds | —** |
| | 100.0 |
| **Rounds to less than 0.05% |
Futures Contracts outstanding at June 30, 2020:
| Future Type | | Expiration Date | | Open Long
(Short) Contracts | | Notional
Market Value
of Contracts | | Value and
Unrealized
Appreciation
(Depreciation) |
| MSCI EAFE Index E-Mini | | 09/2020 | | 21 | | $1,867,320 | | $19,315 |
| MSCI Emerging Markets E-Mini | | 09/2020 | | 10 | | 492,850 | | 1,224 |
| S&P 500® E-Mini | | 09/2020 | | 23 | | 3,553,730 | | 74,138 |
| 10-Year U.S. Treasury Note | | 09/2020 | | 3 | | 417,516 | | 745 |
| U.S. Treasury Long Bond | | 09/2020 | | 2 | | 357,125 | | 1,496 |
| 5-Year U.S. Treasury Note | | 09/2020 | | 5 | | 628,711 | | 843 |
| Total Futures Contracts outstanding at June 30, 2020 | | | | | | $7,317,252 | | $97,761 |
See Notes to Financial Statements.
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2020, in valuing the Fund’s investments carried at fair value:
| | Total
Value | | Level 1
Quoted Prices | | Level 2
Other Significant
Observable Inputs | | Level 3
Significant
Unobservable Inputs |
| Assets: | | | | | | | |
| Investments in Securities: | | | | | | | |
| Money Market Funds | $ 35,455 | | $ 35,455 | | $ — | | $ — |
| Mutual Funds | 1,161,740,384 | | 1,161,740,384 | | — | | — |
| Total Assets - Investments in Securities | $1,161,775,839 | | $1,161,775,839 | | $ — | | $ — |
| Other Financial Instruments*** | | | | | | | |
| Futures Contracts | $ 97,761 | | $ 97,761 | | $ — | | $ — |
| Total Assets - Other Financial Instruments | $ 97,761 | | $ 97,761 | | $ — | | $ — |
| *** | 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. |
See Notes to Financial Statements.
AGGRESSIVE ALLOCATION FUND
June 30, 2020 (Unaudited)
| | | Shares | | Value |
| MUTUAL FUNDS — 100.1% |
GuideStone Money Market Fund, 0.16%
(Institutional Class)Ø∞ | 19,209,932 | | $ 19,209,932 |
GuideStone Value Equity Fund
(Institutional Class)∞ | 16,049,751 | | 252,783,576 |
GuideStone Growth Equity Fund
(Institutional Class)∞ | 9,243,615 | | 262,056,495 |
GuideStone Small Cap Equity Fund
(Institutional Class)∞ | 3,772,778 | | 53,120,706 |
GuideStone International Equity Fund
(Institutional Class)∞ | 23,111,787 | | 278,497,030 |
GuideStone Emerging Markets Equity Fund
(Institutional Class)∞ | 10,380,694 | | 97,889,945 |
Total Mutual Funds
(Cost $1,076,008,527) | | 963,557,684 |
TOTAL INVESTMENTS — 100.1%
(Cost $1,076,008,527) | | | 963,557,684 |
Liabilities in Excess of Other
Assets — (0.1)% | | | (567,787) |
| NET ASSETS — 100.0% | | | $962,989,897 |
PORTFOLIO SUMMARY (based on net assets)
| | % |
| U.S. Equity Select Funds | 59.0 |
| Non-U.S. Equity Select Funds | 39.1 |
| Fixed Income Select Funds | 2.0 |
| | 100.1 |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2020, in valuing the Fund’s investments carried at fair value:
| | Total
Value | | Level 1
Quoted Prices | | Level 2
Other Significant
Observable Inputs | | Level 3
Significant
Unobservable Inputs |
| Assets: | | | | | | | |
| Investments in Securities: | | | | | | | |
| Mutual Funds | $963,557,684 | | $963,557,684 | | $ — | | $ — |
| Total Assets - Investments in Securities | $963,557,684 | | $963,557,684 | | $ — | | $ — |
See Notes to Financial Statements.
| STATEMENTS OF ASSETS AND LIABILITIES | June 30, 2020 (Unaudited) |
| | Conservative
Allocation Fund | | Balanced
Allocation Fund | | Growth
Allocation Fund | | Aggressive
Allocation Fund |
| Assets | | | | | | | |
| Investments in securities of unaffiliated issuers, at value | $ 593,061 | | $ — | | $ 35,455 | | $ — |
| Investments in securities of affiliated issuers, at value | 503,097,467 | | 1,523,080,009 | | 1,161,740,384 | | 963,557,684 |
| Total investments, at value(1) | 503,690,528 | | 1,523,080,009 | | 1,161,775,839 | | 963,557,684 |
| Cash | — | | — | | 550,000 | | — |
| Receivables: | | | | | | | |
| Dividends from affiliated funds | 894 | | 4,333 | | 4,079 | | 3,006 |
| Fund shares sold | 25,549 | | 53,112 | | 85,973 | | 19,940 |
| Variation margin on futures contracts | — | | — | | 41,643 | | — |
| Prepaid expenses and other assets | 31,309 | | 38,023 | | 37,049 | | 35,781 |
| Total Assets | 503,748,280 | | 1,523,175,477 | | 1,162,494,583 | | 963,616,411 |
| Liabilities | | | | | | | |
| Payables: | | | | | | | |
| Fund shares redeemed | 185,566 | | 504,849 | | 244,239 | | 336,827 |
| Accrued expenses: | | | | | | | |
| Investment advisory fees | 41,210 | | 124,877 | | 95,270 | | 78,890 |
| Shareholder servicing fees | 78,137 | | 230,579 | | 168,157 | | 148,497 |
| Trustee fees | 1,294 | | 1,610 | | 1,112 | | 767 |
| Other expenses | 61,880 | | 116,302 | | 86,191 | | 61,533 |
| Total Liabilities | 368,087 | | 978,217 | | 594,969 | | 626,514 |
| Net Assets | $503,380,193 | | $1,522,197,260 | | $1,161,899,614 | | $ 962,989,897 |
| Net Assets Consist of: | | | | | | | |
| Paid-in-capital | $496,450,483 | | $1,520,866,498 | | $1,209,616,394 | | $1,027,712,648 |
| Distributable earnings (loss) | 6,929,710 | | 1,330,762 | | (47,716,780) | | (64,722,751) |
| Net Assets | $503,380,193 | | $1,522,197,260 | | $1,161,899,614 | | $ 962,989,897 |
| Net Asset Value: | | | | | | | |
| $0.001 par value, unlimited shares authorized | | | | | | | |
| Net assets applicable to the Institutional Class | $121,572,342 | | $ 399,602,814 | | $ 342,575,785 | | $ 238,397,861 |
| Institutional shares outstanding | 10,595,590 | | 33,384,737 | | 29,198,906 | | 21,341,622 |
| Net asset value, offering and redemption price per Institutional share | $ 11.47 | | $ 11.97 | | $ 11.73 | | $ 11.17 |
| Net assets applicable to the Investor Class | $381,807,851 | | $1,122,594,446 | | $ 819,323,829 | | $ 724,592,036 |
| Investor shares outstanding | 33,322,133 | | 93,925,030 | | 69,965,519 | | 65,197,107 |
| Net asset value, offering and redemption price per Investor share | $ 11.46 | | $ 11.95 | | $ 11.71 | | $ 11.11 |
| | | | | | | |
| (1)Investments in securities of unaffiliated issuers, at cost | $ 593,061 | | $ — | | $ 35,455 | | $ — |
| Investments in securities of affiliated issuers, at cost | 501,055,939 | | 1,544,923,684 | | 1,247,629,510 | | 1,076,008,527 |
| Total investments, at cost | $501,649,000 | | $1,544,923,684 | | $1,247,664,965 | | $1,076,008,527 |
See Notes to Financial Statements.
| STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2020 (Unaudited) |
| | Conservative
Allocation Fund | | Balanced
Allocation Fund | | Growth
Allocation Fund | | Aggressive
Allocation Fund |
| Investment Income | | | | | | | |
| Dividends | $ 653 | | $ 3,541,599 | | $ 236 | | $ 369 |
| Income distributions received from affiliated funds | 3,633,883 | | 5,738,560 | | 5,196,874 | | 2,765,712 |
| Interest | — | | 99 | | 3,040 | | 549 |
| Total Investment Income | 3,634,536 | | 9,280,258 | | 5,200,150 | | 2,766,630 |
| Expenses | | | | | | | |
| Investment advisory fees | 250,891 | | 752,174 | | 571,452 | | 473,060 |
| Transfer agent fees: | | | | | | | |
| Institutional shares | 1,677 | | 1,788 | | 1,679 | | 1,642 |
| Investor shares | 14,497 | | 26,550 | | 19,656 | | 16,395 |
| Custodian fees | 9,069 | | 17,946 | | 16,766 | | 12,999 |
| Shareholder servicing fees: | | | | | | | |
| Investor shares | 487,905 | | 1,422,201 | | 1,037,278 | | 909,993 |
| Accounting and administration fees | 11,137 | | 33,387 | | 25,363 | | 20,992 |
| Professional fees | 41,502 | | 40,032 | | 40,608 | | 41,048 |
| Shareholder reporting fees: | | | | | | | |
| Institutional shares | 86 | | — | | — | | 65 |
| Investor shares | 5,881 | | — | | — | | 5,958 |
| Trustees expenses | 2,331 | | 5,270 | | 3,957 | | 3,250 |
| Line of credit facility fees | 1,080 | | 1,764 | | 1,390 | | 1,144 |
| Other expenses | 38,727 | | 70,292 | | 58,106 | | 45,878 |
| Total Expenses | 864,783 | | 2,371,404 | | 1,776,255 | | 1,532,424 |
| Net Investment Income | 2,769,753 | | 6,908,854 | | 3,423,895 | | 1,234,206 |
| Realized and Unrealized Gain (Loss) | | | | | | | |
| Capital gain distributions received from affiliated funds | 1,258,796 | | 7,284,857 | | 7,584,329 | | 7,888,154 |
| Net realized loss on investment securities of affiliated issuers | (3,096,050) | | (14,593,577) | | (8,684,126) | | (8,722,177) |
| Net realized gain (loss) on futures transactions | 49,971 | | 21,988 | | (985,539) | | (970,077) |
| Net realized loss | (1,787,283) | | (7,286,732) | | (2,085,336) | | (1,804,100) |
| Change in unrealized appreciation (depreciation) on investment securities of affiliated issuers | (4,563,776) | | (34,090,503) | | (65,522,167) | | (75,813,747) |
| Change in unrealized appreciation (depreciation) on investment securities of unaffiliated issuers | (6) | | (69) | | (61) | | (75) |
| Change in unrealized appreciation (depreciation) on futures | (22,813) | | (138,773) | | (138,549) | | (276,413) |
| Net change in unrealized appreciation (depreciation) | (4,586,595) | | (34,229,345) | | (65,660,777) | | (76,090,235) |
| Net Realized and Unrealized Loss | (6,373,878) | | (41,516,077) | | (67,746,113) | | (77,894,335) |
| Net Decrease in Net Assets Resulting from Operations | $(3,604,125) | | $(34,607,223) | | $(64,322,218) | | $(76,660,129) |
See Notes to Financial Statements.
(This page intentionally left blank)
| STATEMENTS OF CHANGES IN NET ASSETS |
| | Conservative Allocation Fund | | Balanced Allocation Fund |
| | For the Six
Months Ended | | For the Year Ended | | For the Six
Months Ended | | For the Year Ended |
| | 06/30/20 | | 12/31/19 | | 06/30/20 | | 12/31/19 |
| | (Unaudited) | | | | (Unaudited) | | |
| Operations: | | | | | | | |
| Net investment income | $ 2,769,753 | | $ 9,886,471 | | $ 6,908,854 | | $ 29,080,642 |
| Net realized gain (loss) on investment securities and futures transactions | (1,787,283) | | 8,087,315 | | (7,286,732) | | 45,298,776 |
| Net change in unrealized appreciation (depreciation) on investment securities and futures | (4,586,595) | | 34,283,232 | | (34,229,345) | | 172,746,142 |
| Net increase (decrease) in net assets resulting from operations | (3,604,125) | | 52,257,018 | | (34,607,223) | | 247,125,560 |
| Distributions to Shareholders: | | | | | | | |
| Institutional shares | — | | (5,095,548) | | — | | (24,389,522) |
| Investor shares | — | | (18,041,539) | | — | | (76,908,025) |
| Total distributions | — | | (23,137,087) | | — | | (101,297,547) |
| Capital Share Transactions: | | | | | | | |
| Proceeds from shares sold | | | | | | | |
| Institutional shares | 20,302,490 | | 26,042,462 | | 50,014,202 | | 73,921,673 |
| Investor shares | 27,114,976 | | 47,469,039 | | 23,426,407 | | 57,180,119 |
| Reinvestment of dividends and distributions | | | | | | | |
| Institutional shares | — | | 5,077,191 | | — | | 24,290,995 |
| Investor shares | — | | 18,032,064 | | — | | 76,871,367 |
| Total proceeds from shares sold and reinvested | 47,417,466 | | 96,620,756 | | 73,440,609 | | 232,264,154 |
| Value of shares redeemed | | | | | | | |
| Institutional shares | (10,253,553) | | (11,877,607) | | (22,889,675) | | (46,362,952) |
| Investor shares | (57,533,885) | | (79,429,062) | | (109,333,278) | | (177,611,078) |
| Total value of shares redeemed | (67,787,438) | | (91,306,669) | | (132,222,953) | | (223,974,030) |
| Net increase (decrease) from capital share transactions(1) | (20,369,972) | | 5,314,087 | | (58,782,344) | | 8,290,124 |
| Total increase (decrease) in net assets | (23,974,097) | | 34,434,018 | | (93,389,567) | | 154,118,137 |
| Net Assets: | | | | | | | |
| Beginning of Period | 527,354,290 | | 492,920,272 | | 1,615,586,827 | | 1,461,468,690 |
| End of Period | $503,380,193 | | $527,354,290 | | $1,522,197,260 | | $1,615,586,827 |
| |
| (1) | See Note 6 in Notes to Financial Statements. |
See Notes to Financial Statements.
| Growth Allocation Fund | | Aggressive Allocation Fund |
For the Six
Months Ended | | For the Year Ended | | For the Six
Months Ended | | For the Year Ended |
| 06/30/20 | | 12/31/19 | | 06/30/20 | | 12/31/19 |
| (Unaudited) | | | | (Unaudited) | | |
| | | | | | | |
| $ 3,423,895 | | $ 19,015,078 | | $ 1,234,206 | | $ 12,104,780 |
| (2,085,336) | | 48,072,704 | | (1,804,100) | | 57,225,647 |
| (65,660,777) | | 170,887,923 | | (76,090,235) | | 168,923,373 |
| (64,322,218) | | 237,975,705 | | (76,660,129) | | 238,253,800 |
| | | | | | | |
| — | | (28,008,711) | | — | | (26,653,779) |
| — | | (81,549,805) | | — | | (91,797,764) |
| — | | (109,558,516) | | — | | (118,451,543) |
| | | | | | | |
| | | | | | | |
| 64,136,998 | | 41,999,339 | | 26,863,799 | | 45,256,536 |
| 17,580,065 | | 39,313,198 | | 13,138,427 | | 30,691,082 |
| | | | | | | |
| — | | 27,969,231 | | — | | 26,641,062 |
| — | | 81,515,470 | | — | | 91,783,316 |
| 81,717,063 | | 190,797,238 | | 40,002,226 | | 194,371,996 |
| | | | | | | |
| (20,361,948) | | (30,570,472) | | (14,277,775) | | (21,076,702) |
| (82,564,930) | | (138,835,487) | | (66,048,646) | | (122,548,098) |
| (102,926,878) | | (169,405,959) | | (80,326,421) | | (143,624,800) |
| (21,209,815) | | 21,391,279 | | (40,324,195) | | 50,747,196 |
| (85,532,033) | | 149,808,468 | | (116,984,324) | | 170,549,453 |
| | | | | | | |
| 1,247,431,647 | | 1,097,623,179 | | 1,079,974,221 | | 909,424,768 |
| $1,161,899,614 | | $1,247,431,647 | | $ 962,989,897 | | $1,079,974,221 |
See Notes to Financial Statements.
| FINANCIAL HIGHLIGHTS (Unaudited) |
| For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | | | | | | Ratios to Average Net Assets | |
| | Net Asset
Value,
Beginning
of Period | 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
Period | Total
Return | Net Assets,
End of Period
(000) | Expenses,
Net(2) | Expenses,
Gross(2) | Investment
Income,
Net
(1) | Portfolio
Turnover
Rate |
| Conservative Allocation Fund |
| Institutional Class |
| 2020(3) | $11.52 | $0.07 | $(0.12) | $(0.05) | $ — | $ — | $ — | $11.47 | (0.43)% | $ 121,572 | 0.15% | 0.15% | 1.32% | 7% |
| 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(4) | 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(5) |
| Investor Class |
| 2020(3) | $11.52 | $0.06 | $(0.12) | $(0.06) | $ — | $ — | $ — | $11.46 | (0.52)% | $ 381,808 | 0.40% | 0.40% | 1.04% | 7% |
| 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(5) |
| |
| Balanced Allocation Fund |
| Institutional Class |
| 2020(3) | $12.19 | $0.07 | $(0.29) | $(0.22) | $ — | $ — | $ — | $11.97 | (1.81)% | $ 399,603 | 0.13% | 0.13% | 1.20% | 7% |
| 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(4) | 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(5) |
| Investor Class |
| 2020(3) | $12.19 | $0.05 | $(0.29) | $(0.24) | $ — | $ — | $ — | $11.95 | (1.97)% | $1,122,594 | 0.38% | 0.38% | 0.85% | 7% |
| 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(5) |
| | | | | | | | | | | | | | | |
| # | Calculated using the average shares outstanding method. |
| (1) | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. |
| (2) | Does not include expenses of the investment companies in which the Fund invests. 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 0.53%, 0.65%, 0.76% and 0.84%, respectively for 2020, and are deducted from the value of the funds in which each Fund invests and is included in each Fund’s total return. |
| (3) | For the six months ended June 30, 2020. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
| (4) | 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. |
| (5) | The portfolio turnover rate for the year ended December 31, 2015 reflects rebalancing of holdings in the Funds and is not representative of a change in investment strategy for the Funds. |
See Notes to Financial Statements.
| For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | | | | | | Ratios to Average Net Assets | |
| | Net Asset
Value,
Beginning
of Period | 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
Period | Total
Return | Net Assets,
End of Period
(000) | Expenses,
Net(2) | Expenses,
Gross(2) | Investment
Income,
Net
(1) | Portfolio
Turnover
Rate |
| Growth Allocation Fund |
| Institutional Class |
| 2020(3) | $12.31 | $0.05 | $(0.63) | $(0.58) | $ — | $ — | $ — | $11.73 | (4.71)% | $342,576 | 0.13% | 0.13% | 0.82% | 8% |
| 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(4) | 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(5) |
| Investor Class |
| 2020(3) | $12.31 | $0.03 | $(0.63) | $(0.60) | $ — | $ — | $ — | $11.71 | (4.87)% | $819,324 | 0.38% | 0.38% | 0.52% | 8% |
| 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(5) |
| |
| Aggressive Allocation Fund |
| Institutional Class |
| 2020(3) | $12.00 | $0.03 | $(0.86) | $(0.83) | $ — | $ — | $ — | $11.17 | (6.92)% | $238,398 | 0.13% | 0.13% | 0.49% | 5% |
| 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(4) | 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(5) |
| Investor Class |
| 2020(3) | $11.95 | $0.01 | $(0.85) | $(0.84) | $ — | $ — | $ — | $11.11 | (7.03)% | $724,592 | 0.38% | 0.38% | 0.19% | 5% |
| 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(5) |
| | | | | | | | | | | | | | | |
| # | Calculated using the average shares outstanding method. |
| (1) | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. |
| (2) | Does not include expenses of the investment companies in which the Fund invests. 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 0.53%, 0.65%, 0.76% and 0.84%, respectively for 2020, and are deducted from the value of the funds in which each Fund invests and is included in each Fund’s total return. |
| (3) | For the six months ended June 30, 2020. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
| (4) | 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. |
| (5) | The portfolio turnover rate for the year ended December 31, 2015 reflects rebalancing of holdings in the Funds and is not representative of a change in investment strategy for the Funds. |
See Notes to Financial Statements.
June 30, 2020 (Unaudited)
| | | Par | | Value |
| AGENCY OBLIGATIONS — 41.3% |
| Federal Farm Credit Bank Discount Notes | | | | |
| 1.76%, 07/07/20 | $ 285,000 | | $ 284,916 |
| 1.60%, 08/14/20 | 5,505,000 | | 5,494,235 |
| 1.55%, 09/03/20 | 11,365,000 | | 11,333,535 |
| 1.60%, 09/28/20 | 3,020,000 | | 3,008,054 |
| 0.52%, 10/02/20 | 4,285,000 | | 4,279,244 |
| 0.14%, 11/12/20 | 9,295,000 | | 9,290,156 |
| 1.50%, 12/08/20 | 20,040,000 | | 19,906,108 |
| 0.34%, 01/19/21 | 8,160,000 | | 8,144,433 |
| 0.88%, 01/20/21 | 1,785,000 | | 1,776,143 |
| 0.43%, 02/12/21 | 7,400,000 | | 7,379,991 |
| 0.17%, 03/11/21 | 7,500,000 | | 7,491,040 |
| 0.27%, 03/17/21 | 6,290,000 | | 6,277,745 |
| Federal Farm Credit Banks Funding Corporation | | | | |
| (Floating, ICE LIBOR USD 1M - 0.05%), 0.14%, 08/17/20† | 4,255,000 | | 4,255,000 |
| (Floating, ICE LIBOR USD 1M - 0.04%), 0.15%, 09/11/20† | 5,475,000 | | 5,474,968 |
| (Floating, ICE LIBOR USD 1M + 0.03%), 0.21%, 12/14/20† | 6,300,000 | | 6,299,883 |
| (Floating, U.S. Federal Funds + 0.10%), 0.18%, 12/16/20† | 630,000 | | 629,998 |
| (Floating, U.S. SOFR + 0.08%), 0.18%, 01/14/21† | 2,715,000 | | 2,715,000 |
| (Floating, U.S. SOFR + 0.11%), 0.21%, 01/15/21† | 4,515,000 | | 4,515,000 |
| (Floating, ICE LIBOR USD 1M + 0.00%), 0.19%, 03/17/21† | 3,865,000 | | 3,864,826 |
| (Floating, ICE LIBOR USD 1M + 0.05%), 0.24%, 04/16/21† | 7,620,000 | | 7,620,000 |
| (Floating, U.S. Treasury 3M Bill MMY + 0.26%), 0.41%, 06/17/21† | 5,795,000 | | 5,794,449 |
| (Floating, ICE LIBOR USD 1M + 0.16%), 0.33%, 07/01/21† | 4,705,000 | | 4,705,000 |
| (Floating, U.S. Treasury 3M Bill MMY + 0.23%), 0.38%, 07/08/21† | 3,240,000 | | 3,240,000 |
| (Floating, ICE LIBOR USD 1M + 0.10%), 0.30%, 07/16/21† | 5,000,000 | | 5,000,000 |
| (Floating, ICE LIBOR USD 1M + 0.09%), 0.26%, 08/30/21† | 8,000,000 | | 8,000,000 |
| (Floating, ICE LIBOR USD 1M + 0.11%), 0.30%, 11/12/21† | 1,600,000 | | 1,600,000 |
| (Floating, U.S. SOFR + 0.19%), 0.29%, 11/18/21† | 2,680,000 | | 2,680,000 |
| (Floating, U.S. Treasury 3M Bill MMY + 0.15%), 0.30%, 12/13/21† | 3,470,000 | | 3,464,987 |
| (Floating, U.S. SOFR + 0.18%), 0.28%, 01/14/22† | 6,170,000 | | 6,170,000 |
| (Floating, U.S. Treasury 3M Bill MMY + 0.12%), 0.27%, 05/02/22† | 2,100,000 | | 2,099,766 |
| Federal Home Loan Bank | | | | |
| (Floating, ICE LIBOR USD 1M + 0.01%), 0.18%, 07/10/20† | 11,860,000 | | 11,860,000 |
| | | Par | | Value |
| (Floating, U.S. SOFR + 0.08%), 0.18%, 07/24/20† | $ 1,710,000 | | $ 1,710,000 |
| (Floating, ICE LIBOR USD 1M - 0.03%), 0.14%, 08/04/20† | 3,570,000 | | 3,570,000 |
| (Floating, U.S. SOFR + 0.03%), 0.13%, 08/05/20† | 2,265,000 | | 2,265,000 |
| (Floating, U.S. SOFR + 0.02%), 0.12%, 08/19/20† | 3,605,000 | | 3,605,000 |
| (Floating, ICE LIBOR USD 1M - 0.05%), 0.14%, 08/20/20† | 4,770,000 | | 4,770,000 |
| (Floating, U.S. SOFR + 0.03%), 0.13%, 08/21/20† | 1,725,000 | | 1,725,000 |
| (Floating, U.S. SOFR + 0.02%), 0.12%, 08/28/20† | 11,880,000 | | 11,880,000 |
| (Floating, U.S. SOFR + 0.09%), 0.19%, 09/11/20† | 10,370,000 | | 10,370,000 |
| (Floating, U.S. SOFR + 0.11%), 0.21%, 10/01/20† | 6,460,000 | | 6,460,000 |
| 2.63%, 10/01/20 | 3,555,000 | | 3,563,608 |
| (Floating, U.S. SOFR + 0.12%), 0.22%, 10/07/20† | 3,600,000 | | 3,600,000 |
| (Floating, ICE LIBOR USD 3M - 0.13%), 0.18%, 12/21/20† | 8,000,000 | | 8,000,000 |
| (Floating, ICE LIBOR USD 3M - 0.17%), 1.18%, 01/08/21† | 4,565,000 | | 4,565,000 |
| (Floating, U.S. SOFR + 0.05%), 0.15%, 01/22/21† | 2,225,000 | | 2,225,000 |
| (Floating, U.S. SOFR + 0.04%), 0.14%, 02/09/21† | 12,595,000 | | 12,593,700 |
| (Floating, U.S. SOFR + 0.08%), 0.18%, 03/04/21† | 3,695,000 | | 3,695,000 |
| (Floating, U.S. SOFR + 0.12%), 0.22%, 03/12/21† | 5,725,000 | | 5,725,000 |
| (Floating, U.S. SOFR + 0.11%), 0.21%, 03/25/21† | 6,550,000 | | 6,550,000 |
| (Floating, ICE LIBOR USD 1M - 0.01%), 0.16%, 04/05/21† | 10,550,000 | | 10,550,000 |
| (Floating, ICE LIBOR USD 1M - 0.02%), 0.16%, 04/27/21† | 5,770,000 | | 5,768,626 |
| (Floating, U.S. SOFR + 0.16%), 0.26%, 05/07/21† | 4,000,000 | | 4,000,000 |
| 0.20%, 06/17/21 | 9,545,000 | | 9,544,283 |
| (Floating, U.S. SOFR + 0.08%), 0.18%, 07/08/21† | 4,720,000 | | 4,720,000 |
| (Floating, U.S. SOFR + 0.08%), 0.18%, 07/23/21† | 3,035,000 | | 3,035,000 |
| (Floating, U.S. SOFR + 0.09%), 0.19%, 09/10/21† | 5,880,000 | | 5,880,000 |
| (Floating, U.S. SOFR + 0.12%), 0.22%, 02/28/22† | 8,240,000 | | 8,240,000 |
| Federal Home Loan Bank Discount Notes | | | | |
| 1.56%, 07/06/20 | 24,665,000 | | 24,659,621 |
| 0.17%, 07/08/20 | 9,355,000 | | 9,354,693 |
| 1.55%, 07/15/20 | 6,155,000 | | 6,151,266 |
| 0.12%, 07/22/20 | 14,890,000 | | 14,888,961 |
| 1.56%, 07/31/20 | 24,210,000 | | 24,178,446 |
| 0.12%, 08/05/20 | 33,345,000 | | 33,341,142 |
| 1.58%, 08/14/20 | 10,010,000 | | 9,990,644 |
| 1.09%, 08/17/20 | 8,920,000 | | 8,907,248 |
| 0.25%, 08/20/20 | 24,445,000 | | 24,436,512 |
See Notes to Financial Statements.
| | | Par | | Value |
| 1.52%, 08/21/20 | $ 6,500,000 | | $ 6,485,957 |
| 0.93%, 08/28/20 | 1,955,000 | | 1,952,039 |
| 0.52%, 09/01/20 | 14,720,000 | | 14,706,818 |
| 0.69%, 12/04/20 | 7,940,000 | | 7,915,915 |
| 0.20%, 04/29/21 | 8,605,000 | | 8,590,563 |
| 0.20%, 06/11/21 | 6,770,000 | | 6,757,024 |
| Federal Home Loan Mortgage Corporation | | | | |
| (Floating, U.S. SOFR + 0.03%), 0.13%, 02/26/21† | 5,065,000 | | 5,065,000 |
| (Floating, U.S. SOFR + 0.12%), 0.22%, 06/04/21† | 12,835,000 | | 12,810,810 |
| (Floating, U.S. SOFR + 0.32%), 0.42%, 09/23/21† | 9,540,000 | | 9,540,000 |
| (Floating, U.S. SOFR + 0.18%), 0.28%, 12/13/21† | 9,870,000 | | 9,870,000 |
| (Floating, U.S. SOFR + 0.20%), 0.30%, 03/11/22† | 5,330,000 | | 5,330,000 |
| (Floating, U.S. SOFR + 0.19%), 0.29%, 06/02/22† | 8,900,000 | | 8,900,000 |
| Federal Home Loan Mortgage Corporation Discount Notes | | | | |
| 1.02%, 07/17/20 | 18,305,000 | | 18,296,530 |
| 0.67%, 07/24/20 | 4,755,000 | | 4,752,965 |
| 0.66%, 07/28/20 | 7,300,000 | | 7,296,386 |
| Federal National Mortgage Association | | | | |
| (Floating, U.S. SOFR + 0.07%), 0.17%, 12/11/20† | 4,725,000 | | 4,725,000 |
| (Floating, U.S. SOFR + 0.35%), 0.45%, 04/07/22† | 7,655,000 | | 7,655,000 |
| (Floating, U.S. SOFR + 0.39%), 0.49%, 04/15/22† | 8,775,000 | | 8,775,000 |
| Federal National Mortgage Association Discount Note | | | | |
| 0.67%, 07/24/20 | 4,830,000 | | 4,827,932 |
Total Agency Obligations
(Cost $633,426,166) | | | 633,426,166 |
| U.S. TREASURY OBLIGATIONS — 28.5% |
| U.S. Cash Management Bills | | | | |
| 0.17%, 11/10/20 | 8,670,000 | | 8,664,353 |
| 0.18%, 11/17/20 | 20,000,000 | | 19,985,328 |
| 0.18%, 11/24/20 | 21,370,000 | | 21,354,072 |
| 0.16%, 12/01/20 | 5,350,000 | | 5,346,272 |
| | | | | 55,350,025 |
| U.S. Treasury Bills | | | | |
| 0.11%, 07/07/20Ω | 73,000,000 | | 72,998,662 |
| 0.13%, 07/14/20Ω | 2,000,000 | | 6,999,651 |
| 0.13%, 07/30/20Ω | 13,780,000 | | 13,778,591 |
| 0.13%, 08/04/20Ω | 26,000,000 | | 25,996,562 |
| 0.94%, 08/06/20Ω | 2,320,000 | | 2,317,796 |
| 0.15%, 08/11/20Ω | 57,000,000 | | 56,990,392 |
| | | Par | | Value |
| 0.12%, 08/18/20Ω | $13,550,000 | | $ 13,547,886 |
| 0.85%, 08/27/20Ω | 7,520,000 | | 7,509,825 |
| 0.81%, 09/03/20Ω | 4,605,000 | | 4,598,328 |
| 1.73%, 09/10/20Ω | 3,305,000 | | 3,293,658 |
| 0.14%, 09/17/20Ω | 2,635,000 | | 2,634,201 |
| 0.20%, 10/15/20Ω | 24,850,000 | | 24,835,151 |
| 0.15%, 10/22/20Ω | 20,640,000 | | 20,630,108 |
| 0.16%, 01/28/21Ω | 13,000,000 | | 12,987,428 |
| 0.18%, 02/25/21Ω | 16,000,000 | | 15,980,880 |
| 0.18%, 03/25/21Ω | 16,540,000 | | 16,518,062 |
| 0.16%, 05/20/21Ω | 10,265,000 | | 10,250,264 |
| | | | | 311,867,445 |
| U.S. Treasury Floating Rate Notes | | | | |
| (Floating, U.S. Treasury 3M Bill MMY + 0.04%), 0.19%, 07/31/20† | 13,630,000 | | 13,629,688 |
| (Floating, U.S. Treasury 3M Bill MMY + 0.05%), 0.20%, 10/31/20† | 12,000,000 | | 11,995,824 |
| (Floating, U.S. Treasury 3M Bill MMY + 0.14%), 0.29%, 04/30/21† | 1,240,000 | | 1,239,162 |
| (Floating, U.S. Treasury 3M Bill MMY + 0.22%), 0.37%, 07/31/21† | 12,000,000 | | 12,000,000 |
| (Floating, U.S. Treasury 3M Bill MMY + 0.30%), 0.45%, 10/31/21† | 4,215,000 | | 4,218,341 |
| | | | | 43,083,015 |
| U.S. Treasury Notes | | | | |
| 1.75%, 11/15/20 | 1,365,000 | | 1,365,685 |
| 2.63%, 11/15/20 | 3,685,000 | | 3,698,353 |
| 1.63%, 11/30/20 | 1,470,000 | | 1,469,755 |
| 2.00%, 11/30/20 | 870,000 | | 871,211 |
| 2.00%, 01/15/21 | 2,490,000 | | 2,511,947 |
| 2.50%, 01/31/21 | 16,000,000 | | 16,214,763 |
| | | | | 26,131,714 |
Total U.S. Treasury Obligations
(Cost $436,432,199) | | | 436,432,199 |
| | | Shares | |
| MONEY MARKET FUNDS — 0.0% |
Northern Institutional Funds - U.S. Government Select Portfolio (Shares), 0.13%Ø
(Cost $181,392) | 181,392 | 181,392 |
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (Continued)
| | | Par | | Value |
| REPURCHASE AGREEMENTS — 29.6% |
| Bank of Nova Scotia | | | |
| 0.07% (dated 06/30/20, due 07/01/20, repurchase price $30,000,058, collateralized by U.S. Treasury Bonds and U.S. Treasury Notes, 0.125% to 3.125%, due 01/31/21 to 11/15/49, total market value $30,600,148) | $30,000,000 | | $30,000,000 |
| BNP Paribas | | | |
| 0.07% (dated 06/30/20, due 07/01/20, repurchase price $75,000,146, collateralized by U.S. Treasury Bonds and U.S. Treasury Notes, 0.000% to 2.875%, due 06/30/22 to 08/15/47, total market value $76,500,001) | 75,000,000 | | 75,000,000 |
| | | | |
| 0.09% (dated 06/30/20, due 07/01/20, repurchase price $30,000,075, collateralized by Government National Mortgage Association and U.S. Treasury Notes, 0.625% to 7.000%, due 08/15/29 to 05/20/50, total market value $30,600,071) | 30,000,000 | | 30,000,000 |
| Citigroup Global Markets, Inc. | | | |
| 0.09% (dated 06/30/20, due 07/01/20, repurchase price $38,000,095, collateralized by U.S. Treasury Bills, U.S. Treasury Bonds and U.S. Treasury Notes, 0.000% to 6.000%, due 07/28/20 to 07/15/26, total market value $38,760,073) | 38,000,000 | | 38,000,000 |
| Goldman Sachs & Co. | | | |
| 0.09% (dated 06/30/20, due 07/01/20, repurchase price $58,000,145, collateralized by Government National Mortgage Association, 2.370% to 5.500%, due 12/20/24 to 11/15/56, total market value $59,160,000) | 58,000,000 | | 58,000,000 |
| | | | |
| 0.11% (dated 06/24/20, due 07/01/20, repurchase price $23,000,492, collateralized by U.S. Treasury Bonds and U.S. Treasury Notes, 0.000% to 2.875%, due 04/15/23 to 08/15/49, total market value $23,460,000) | 23,000,000 | | 23,000,000 |
| Mitsubishi UFJ Securities USA, Inc. | | | |
| 0.09% (dated 06/30/20, due 07/01/20, repurchase price $30,000,075, collateralized by Government National Mortgage Association, 2.000% to 6.000%, due 01/20/33 to 05/20/50, total market value $30,600,000) | 30,000,000 | | 30,000,000 |
| | | Par | | Value |
| Mizuho Securities USA, Inc. | | | |
| 0.09% (dated 06/30/20, due 07/01/20, repurchase price $50,000,125, collateralized by Federal Farm Credit Banks, 0.300% to 2.590%, due 09/02/20 to 02/04/32, total market value $51,000,645) | $50,000,000 | | $ 50,000,000 |
| Natixis S.A. | | | |
| 0.07% (dated 06/30/20, due 07/01/20, repurchase price $70,000,136, collateralized by U.S. Treasury Bonds and U.S. Treasury Notes, 0.125% to 3.125%, due 06/30/22 to 08/15/44, total market value $71,400,081) | 70,000,000 | | 70,000,000 |
| | | | |
| 0.09% (dated 06/30/20, due 07/01/20, repurchase price $4,000,010, collateralized by Federal Home Loan Mortgage Corporation, Government National Mortgage Association, U.S. Treasury Bonds and U.S. Treasury Notes, 0.000% to 5.500%, due 05/31/21 to 06/20/50, total market value $4,080,000) | 4,000,000 | | 4,000,000 |
| TD Securities USA LLC | | | |
| 0.09% (dated 06/30/20, due 07/01/20, repurchase price $45,000,113, collateralized by Federal Home Loan Mortgage Corporation, Federal National Mortgage Association and Government National Mortgage Association, 3.500% to 4.500%, due 01/01/41 to 12/20/49, total market value $46,245,975) | 45,000,000 | | 45,000,000 |
Total Repurchase Agreements
(Cost $453,000,000) | | | 453,000,000 |
TOTAL INVESTMENTS —99.4%
(Cost $1,523,039,757) | | | 1,523,039,757 |
Other Assets in Excess of
Liabilities — 0.6% | | | 8,817,265 |
| NET ASSETS — 100.0% | | | $1,531,857,022 |
PORTFOLIO SUMMARY (based on net assets)
| | % |
| Agency Obligations | 41.3 |
| Repurchase Agreements | 29.6 |
| U.S. Treasury Obligations | 28.5 |
| Money Market Funds | —** |
| | 99.4 |
| **Rounds to less than 0.05% | |
See Notes to Financial Statements.
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2020, in valuing the Fund’s investments carried at fair value:
| | Total
Value | | Level 1
Quoted Prices | | Level 2
Other Significant
Observable Inputs | | Level 3
Significant
Unobservable Inputs |
| Assets: | | | | | | | |
| Investments in Securities: | | | | | | | |
| Agency Obligations | $ 633,426,166 | | $ — | | $ 633,426,166 | | $ — |
| Money Market Funds | 181,392 | | 181,392 | | — | | — |
| Repurchase Agreements | 453,000,000 | | — | | 453,000,000 | | — |
| U.S. Treasury Obligations | 436,432,199 | | — | | 436,432,199 | | — |
| Total Assets - Investments in Securities | $1,523,039,757 | | $181,392 | | $1,522,858,365 | | $ — |
See Notes to Financial Statements.
June 30, 2020 (Unaudited)
| | | Par | | Value |
| AGENCY OBLIGATIONS — 2.9% |
| Federal Home Loan Mortgage Corporation | | | | |
| 0.38%, 04/20/23 | $1,670,000 | | $ 1,675,023 |
| 0.25%, 06/26/23 | 8,845,000 | | 8,833,859 |
| 1.20%, 04/17/25 | 3,000,000 | | 3,001,345 |
| Federal National Mortgage Association | | | | |
| 2.75%, 06/22/21 | 2,980,000 | | 3,054,353 |
| 1.38%, 09/06/22 | 1,875,000 | | 1,921,987 |
| 1.13%, 04/16/25 | 3,000,000 | | 3,003,348 |
| 0.50%, 06/17/25 | 7,000,000 | | 7,006,100 |
Total Agency Obligations
(Cost $28,321,002) | | | 28,496,015 |
| ASSET-BACKED SECURITIES — 17.4% |
| Adams Mill CLO, Ltd., Series 2014-1A, Class A2R | | | |
| (Floating, ICE LIBOR USD 3M + 1.10%), 2.32%, 07/15/26 144A † | 485,720 | | 483,285 |
| Ally Auto Receivables Trust, Series 2019-1, Class A3 | | | |
| 2.91%, 09/15/23 | 1,680,000 | | 1,723,668 |
| Ally Auto Receivables Trust, Series 2019-3, Class A3 | | | |
| 1.93%, 05/15/24 | 1,000,000 | | 1,021,415 |
| AmeriCredit Automobile Receivables Trust, Series 2016-2, Class C | | | |
| 2.87%, 11/08/21 | 29,328 | | 29,357 |
| Americredit Automobile Receivables Trust, Series 2018-1, Class A3 | | | |
| 3.07%, 12/19/22 | 384,869 | | 388,707 |
| Americredit Automobile Receivables Trust, Series 2019-1, Class A3 | | | |
| 2.97%, 11/20/23 | 410,000 | | 418,672 |
| Americredit Automobile Receivables Trust, Series 2019-2, Class A3 | | | |
| 2.28%, 01/18/24 | 5,000,000 | | 5,104,054 |
| AMMC CLO XIII, Ltd., Series 2013-13A, Class A1LR | | | |
| (Floating, ICE LIBOR USD 3M + 1.26%), 2.28%, 07/24/29 144A † | 1,988,999 | | 1,973,298 |
| Anchorage Capital CLO 7, Ltd., Series 2015-7A, Class CR2 | | | |
| (Floating, ICE LIBOR USD 3M + 2.20%, 2.20% Floor), 3.22%, 01/28/31 144A † | 450,000 | | 423,329 |
| Apidos CLO XXI, Series 2015-21A, Class A1R | | | |
| (Floating, ICE LIBOR USD 3M + 0.93%, 0.93% Floor), 2.07%, 07/18/27 144A † | 3,215,000 | | 3,191,559 |
| Ballyrock CLO, Ltd., Series 2020-1A, Class A1 | | | |
| (Floating, ICE LIBOR USD 3M + 1.70%, 1.70% Floor), 2.02%, 07/20/30 144A † | 2,540,000 | | 2,546,853 |
| | | Par | | Value |
| Barings CLO, Ltd., Series 2013-IA, Class AR | | | |
| (Floating, ICE LIBOR USD 3M + 0.80%, 0.80% Floor), 1.94%, 01/20/28 144A † | $1,134,628 | | $1,116,196 |
| BDS, Ltd., Series 2020-FL5, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 1.15%, 1.15% Floor), 1.34%, 02/16/37 144A † | 750,000 | | 728,371 |
| Bear Stearns Asset Backed Securities I Trust, Series 2007-HE7, Class 1A1 | | | |
| (Floating, ICE LIBOR USD 1M + 1.00%, 1.00% Floor), 1.18%, 10/25/37† | 194,358 | | 193,450 |
| Bear Stearns Asset Backed Securities Trust, Series 2004-SD1, Class A2 | | | |
| (Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor, 11.00% Cap), 0.63%, 12/25/42† | 31,452 | | 30,881 |
| Benefit Street Partners CLO II, Ltd., Series 2013-IIA, Class A2R | | | |
| (Floating, ICE LIBOR USD 3M + 1.75%), 2.97%, 07/15/29 144A † | 300,000 | | 298,570 |
| Black Diamond CLO, Ltd., Series 2013-1A, Class A2R | | | |
| (Floating, ICE LIBOR USD 3M + 1.45%), 2.58%, 02/06/26 144A † | 165,309 | | 164,054 |
| BMW Vehicle Lease Trust, Series 2018-1, Class A4 | | | |
| 3.36%, 03/21/22 | 550,000 | | 559,050 |
| BSPRT Issuer, Ltd., Series 2018-FL3, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 1.05%, 1.05% Floor), 1.23%, 03/15/28 144A † | 780,841 | | 772,084 |
| BSPRT Issuer, Ltd., Series 2018-FL4 , Class AS | | | |
| (Floating, ICE LIBOR USD 1M + 1.30%, 1.30% Floor), 1.48%, 09/15/35 144A † | 1,520,000 | | 1,450,148 |
| Carmax Auto Owner Trust, Series 2018-4, Class A3 | | | |
| 3.36%, 09/15/23 | 1,560,000 | | 1,608,806 |
| Carmax Auto Owner Trust, Series 2019-3, Class A3 | | | |
| 2.18%, 08/15/24 | 1,060,000 | | 1,090,952 |
| CARS-DB4 LP, Series 2020-1A, Class A1 | | | |
| 2.69%, 02/15/50 144A | 343,866 | | 347,235 |
| Chesapeake Funding II LLC, Series 2017-4A, Class A1 | | | |
| 2.12%, 11/15/29 144A | 557,757 | | 561,707 |
| Chesapeake Funding II LLC, Series 2018-1A, Class A1 | | | |
| 3.04%, 04/15/30 144A | 454,525 | | 465,050 |
| Chesapeake Funding II LLC, Series 2019-1A, Class B | | | |
| 3.11%, 04/15/31 144A | 240,000 | | 243,877 |
See Notes to Financial Statements.
| | | Par | | Value |
| Chesapeake Funding II LLC, Series 2019-1A, Class C | | | |
| 3.36%, 04/15/31 144A | $ 230,000 | | $ 228,796 |
| Chesapeake Funding II LLC, Series 2019-1A, Class D | | | |
| 3.80%, 04/15/31 144A | 370,000 | | 364,773 |
| CIFC Funding 2015-II, Ltd., Series 2015-2A, Class AR2 | | | |
| (Floating, ICE LIBOR USD 3M + 1.01%, 1.01% Floor), 2.23%, 04/15/30 144A † | 1,000,000 | | 980,497 |
| CIFC Funding, Ltd., Series 2014-4RA, Class A1A | | | |
| (Floating, ICE LIBOR USD 3M + 1.13%, 1.13% Floor), 2.26%, 10/17/30 144A † | 345,000 | | 340,565 |
| CIFC Funding, Ltd., Series 2020-1A, Class A1 | | | |
| (Floating, ICE LIBOR USD 3M + 1.70%, 1.70% Floor), 2.02%, 07/15/32 144A † | 2,660,000 | | 2,652,823 |
| CLNC, Ltd., Series 2019-FL1, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 1.25%, 1.25% Floor), 1.44%, 08/20/35 144A † | 1,290,000 | | 1,257,234 |
| CNH Equipment Trust, Series 2018-B, Class A3 | | | |
| 3.19%, 11/15/23 | 1,030,000 | | 1,054,484 |
| CNH Equipment Trust, Series 2019-A, Class A3 | | | |
| 3.01%, 04/15/24 | 1,350,000 | | 1,389,634 |
| Credit Acceptance Auto Loan Trust, Series 2018-1A, Class A | | | |
| 3.01%, 02/16/27 144A | 817,813 | | 822,973 |
| Credit Acceptance Auto Loan Trust, Series 2018-2A, Class A | | | |
| 3.47%, 05/17/27 144A | 1,607,160 | | 1,627,260 |
| Credit Acceptance Auto Loan Trust, Series 2018-3A, Class A | | | |
| 3.55%, 08/15/27 144A | 800,000 | | 813,727 |
| Credit Acceptance Auto Loan Trust, Series 2019-1A, Class A | | | |
| 3.33%, 02/15/28 144A | 1,160,000 | | 1,187,656 |
| Credit Acceptance Auto Loan Trust, Series 2019-3A, Class A | | | |
| 2.38%, 11/15/28 144A | 580,000 | | 592,333 |
| Credit Acceptance Auto Loan Trust, Series 2020-1A, Class A | | | |
| 2.01%, 02/15/29 144A | 1,290,000 | | 1,312,556 |
| CSAB Mortgage-Backed Trust, Series 2006-2, Class A6A | | | |
| (Step to 6.22% on 08/25/20), 5.72%, 09/25/36 STEP | 290,568 | | 139,807 |
| CWABS, Inc. Asset-Backed Certificates Trust, Series 2004-6, Class 1A1 | | | |
| (Floating, ICE LIBOR USD 1M + 0.54%, 0.27% Floor), 0.72%, 12/25/34† | 866,367 | | 819,202 |
| Dell Equipment Finance Trust, Series 2018-2, Class A3 | | | |
| 3.37%, 10/22/23 144A | 1,130,000 | | 1,145,750 |
| | | Par | | Value |
| DLL LLC, Series 2018-ST2, Class A3 | | | |
| 3.46%, 01/20/22 144A | $1,306,564 | | $1,320,874 |
| Drive Auto Receivables Trust, Series 2019-2, Class A3 | | | |
| 3.04%, 03/15/23 | 450,601 | | 452,265 |
| Drive Auto Receivables Trust, Series 2019-4, Class A3 | | | |
| 2.16%, 05/15/23 | 340,000 | | 342,528 |
| Drive Auto Receivables Trust, Series 2020-1, Class A3 | | | |
| 2.02%, 11/15/23 | 380,000 | | 385,468 |
| Drive Auto Receivables Trust, Series 2020-1, Class B | | | |
| 2.08%, 07/15/24 | 1,150,000 | | 1,163,573 |
| Drive Auto Receivables Trust, Series 2020-1, Class C | | | |
| 2.36%, 03/16/26 | 850,000 | | 856,843 |
| Drive Auto Receivables Trust, Series 2020-2, Class B | | | |
| 1.42%, 03/17/25 | 400,000 | | 401,471 |
| Dryden XXV Senior Loan Fund, Series 2012-25A, Class ARR | | | |
| (Floating, ICE LIBOR USD 3M + 0.90%), 2.12%, 10/15/27 144A † | 1,635,648 | | 1,601,418 |
| Dryden XXVI Senior Loan Fund, Series 2013-26A, Class AR | | | |
| (Floating, ICE LIBOR USD 3M + 0.90%), 2.12%, 04/15/29 144A † | 1,000,000 | | 981,134 |
| Eaton Vance CLO, Ltd., Series 2013-1A, Class A1RR | | | |
| (Floating, ICE LIBOR USD 3M + 1.16%), 2.38%, 01/15/28 144A † | 305,000 | | 301,378 |
| EDvestinU Private Education Loan Issue No. 1 LLC, Series 2019-A, Class A | | | |
| 3.58%, 11/25/38 144A | 400,404 | | 418,540 |
| Enterprise Fleet Financing LLC, Series 2017-1, Class A3 | | | |
| 2.60%, 07/20/22 144A | 168,485 | | 168,664 |
| Enterprise Fleet Financing LLC, Series 2017-3, Class A2 | | | |
| 2.13%, 05/22/23 144A | 128,771 | | 129,137 |
| Enterprise Fleet Financing LLC, Series 2018-2, Class A2 | | | |
| 3.14%, 02/20/24 144A | 1,458,140 | | 1,473,701 |
| Enterprise Fleet Financing LLC, Series 2019-1, Class A2 | | | |
| 2.98%, 10/20/24 144A | 729,582 | | 743,784 |
| Enterprise Fleet Financing LLC, Series 2019-2, Class A3 | | | |
| 2.38%, 02/20/25 144A | 630,000 | | 647,648 |
| FHLMC Structured Pass-Through Certificates, Series T-32 | | | |
| (Floating, ICE LIBOR USD 1M + 0.13%, 0.13% Floor), 0.31%, 08/25/31† | 243,244 | | 242,470 |
| First Investors Auto Owner Trust, Series 2018-2A, Class A2 | | | |
| 3.56%, 06/15/23 144A | 840,000 | | 851,456 |
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (Continued)
| | | Par | | Value |
| Flatiron CLO, Ltd., Series 2015-1A, Class AR | | | |
| (Floating, ICE LIBOR USD 3M + 0.89%), 2.11%, 04/15/27 144A † | $1,153,025 | | $1,146,631 |
| Ford Credit Auto Lease Trust, Series 2019-A, Class A2A | | | |
| 2.84%, 09/15/21 | 845,161 | | 847,835 |
| Ford Credit Auto Lease Trust, Series 2020-A, Class B | | | |
| 2.05%, 06/15/23 | 1,010,000 | | 1,010,407 |
| Ford Credit Auto Owner Trust, Series 2020-B, Class A3 | | | |
| 0.56%, 10/15/24 | 1,930,000 | | 1,934,023 |
| Ford Credit Floorplan Master Owner Trust A, Series 2019-2, Class A | | | |
| 3.06%, 04/15/26 | 1,475,000 | | 1,546,715 |
| Ford Credit Floorplan Master Owner Trust, Series 2017-2, Class A1 | | | |
| 2.16%, 09/15/22 | 1,600,000 | | 1,604,312 |
| Ford Credit Floorplan Master Owner Trust, Series 2019-4, Class A | | | |
| 2.44%, 09/15/26 | 1,770,000 | | 1,790,667 |
| GM Financial Automobile Leasing Trust, Series 2018-2, Class A3 | | | |
| 3.06%, 06/21/21 | 216,205 | | 216,826 |
| GM Financial Automobile Leasing Trust, Series 2018-3, Class A4 | | | |
| 3.30%, 07/20/22 | 310,000 | | 313,865 |
| GM Financial Automobile Leasing Trust, Series 2020-1, Class A3 | | | |
| 1.67%, 12/20/22 | 3,800,000 | | 3,857,112 |
| GM Financial Automobile Leasing Trust, Series 2020-2, Class A3 | | | |
| 0.80%, 07/20/23 | 730,000 | | 731,617 |
| GM Financial Consumer Automobile Receivables Trust, Series 2020-1, Class B | | | |
| 2.03%, 04/16/25 | 390,000 | | 399,971 |
| GM Financial Consumer Automobile Receivables Trust, Series 2020-1, Class C | | | |
| 2.18%, 05/16/25 | 300,000 | | 300,811 |
| GMF Floorplan Owner Revolving Trust, Series 2019-1, Class A | | | |
| 2.70%, 04/15/24 144A | 920,000 | | 942,397 |
| GreatAmerica Leasing Receivables Funding LLC, Series 2019-1, Class A3 | | | |
| 3.05%, 09/15/22 144A | 1,140,000 | | 1,156,827 |
| Greystone CRE Notes, Ltd., Series 2019-FL2, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 1.18%, 1.18% Floor), 1.36%, 09/15/37 144A † | 1,770,000 | | 1,720,302 |
| Harley-Davidson Motorcycle Trust, Series 2020-A, Class A3 | | | |
| 1.87%, 10/15/24 | 700,000 | | 713,526 |
| Hyundai Auto Lease Securitization Trust, Series 2019-A, Class A2 | | | |
| 2.92%, 07/15/21 144A | 309,479 | | 310,870 |
| | | Par | | Value |
| Hyundai Auto Lease Securitization Trust, Series 2020-A, Class A4 | | | |
| 2.00%, 12/15/23 144A | $ 630,000 | | $ 644,072 |
| Hyundai Auto Receivables Trust, Series 2016-B, Class D | | | |
| 2.68%, 09/15/23 | 680,000 | | 689,373 |
| KKR Clo, Ltd., Series 16, Class A2R | | | |
| (Floating, ICE LIBOR USD 3M + 1.80%, 1.80% Floor), 2.94%, 01/20/29 144A † | 480,000 | | 471,870 |
| KREF, Ltd., Series 2018-FL1, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 1.10%, 1.10% Floor), 1.29%, 06/15/36 144A † | 1,360,000 | | 1,345,573 |
| LA Arena Funding LLC, Series 1, Class A | | | |
| 7.66%, 12/15/26 144A | 72,434 | | 70,988 |
| LCM XX LP, Series 20A, Class AR | | | |
| (Floating, ICE LIBOR USD 3M + 1.04%, 1.04% Floor), 2.18%, 10/20/27 144A † | 1,220,000 | | 1,208,204 |
| Lendmark Funding Trust, Series 2018-1A, Class A | | | |
| 3.81%, 12/21/26 144A | 960,000 | | 961,784 |
| Lendmark Funding Trust, Series 2019-2A, Class A | | | |
| 2.78%, 04/20/28 144A | 350,000 | | 350,733 |
| LoanCore Issuer, Ltd., Series 2018-CRE1, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 1.13%, 1.13% Floor), 1.31%, 05/15/28 144A † | 630,000 | | 625,293 |
| Madison Park Funding XIII, Ltd., Series 2014-13A, Class CR2 | | | |
| (Floating, ICE LIBOR USD 3M + 1.90%), 3.04%, 04/19/30 144A † | 400,000 | | 393,546 |
| Madison Park Funding XIX, Ltd., Series 2015-19A, Class A2R2 | | | |
| (Floating, ICE LIBOR USD 3M + 1.50%, 1.50% Floor), 2.60%, 01/22/28 144A † | 600,000 | | 583,266 |
| Magnetite VII, Ltd., Series 2012-7A, Class A1R2 | | | |
| (Floating, ICE LIBOR USD 3M + 0.80%), 2.02%, 01/15/28 144A † | 2,890,000 | | 2,827,319 |
| Magnetite VIII, Ltd., Series 2014-8A, Class AR2 | | | |
| (Floating, ICE LIBOR USD 3M + 0.98%, 0.98% Floor), 2.20%, 04/15/31 144A † | 530,000 | | 519,539 |
| Marathon CRE, Ltd., Series 2018-FL1, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 1.15%, 1.15% Floor), 1.33%, 06/15/28 144A † | 290,000 | | 284,997 |
| Mariner Finance Issuance Trust, Series 2019-AA, Class A | | | |
| 2.96%, 07/20/32 144A | 308,000 | | 304,018 |
See Notes to Financial Statements.
| | | Par | | Value |
| Mercedes-Benz Auto Lease Trust, Series 2020-A, Class A2 | | | |
| 1.82%, 03/15/22 | $3,000,000 | | $3,016,854 |
| Mercedes-Benz Auto Receivables Trust, Series 2020-1, Class A3 | | | |
| 0.55%, 02/18/25 | 1,200,000 | | 1,201,275 |
| Mercedes-Benz Master Owner Trust, Series 2019-BA, Class A | | | |
| 2.61%, 05/15/24 144A | 1,310,000 | | 1,333,330 |
| Mill City Mortgage Loan Trust, Series 2016-1, Class A1 | | | |
| 2.50%, 04/25/57 144A | 495,403 | | 502,463 |
| MMAF Equipment Finance LLC, Series 2020-A, Class A3 | | | |
| 0.97%, 04/09/27 144A | 1,500,000 | | 1,514,397 |
| MVW Owner Trust, Series 2017-1A, Class A | | | |
| 2.42%, 12/20/34 144A | 361,345 | | 359,921 |
| Navient Private Education Refi Loan Trust, Series 2019-A, Class A1 | | | |
| 3.03%, 01/15/43 144A | 47,810 | | 47,956 |
| Navient Private Education Refi Loan Trust, Series 2019-CA, Class A2 | | | |
| 3.13%, 02/15/68 144A | 410,000 | | 423,478 |
| Navient Private Education Refi Loan Trust, Series 2019-EA, Class A2B | | | |
| (Floating, ICE LIBOR USD 1M + 0.92%), 1.10%, 05/15/68 144A † | 700,000 | | 679,263 |
| Navient Private Education Refi Loan Trust, Series 2019-FA, Class A1 | | | |
| 2.18%, 08/15/68 144A | 473,139 | | 475,891 |
| Navient Private Education Refi Loan Trust, Series 2020-A, Class A2A | | | |
| 2.46%, 11/15/68 144A | 600,000 | | 614,430 |
| Navient Private Education Refi Loan Trust, Series 2020-A, Class A2B | | | |
| (Floating, ICE LIBOR USD 1M + 0.90%), 1.08%, 11/15/68 144A † | 100,000 | | 97,931 |
| Navient Private Education Refi Loan Trust, Series 2020-BA, Class A1 | | | |
| 1.80%, 01/15/69 144A | 1,262,829 | | 1,266,501 |
| Navient Private Education Refinancing Loan Trust, Series 2020-DA, Class A | | | |
| 1.69%, 05/15/69 144A | 2,000,000 | | 2,009,384 |
| Navient Student Loan Trust, Series 2016-6A, Class A2 | | | |
| (Floating, ICE LIBOR USD 1M + 0.75%), 0.93%, 03/25/66 144A † | 938,662 | | 935,160 |
| Navient Student Loan Trust, Series 2017-2A, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 1.05%), 1.23%, 12/27/66 144A † | 899,516 | | 873,259 |
| Navient Student Loan Trust, Series 2017-5A, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 0.80%), 0.98%, 07/26/66 144A † | 977,834 | | 933,634 |
| | | Par | | Value |
| Navient Student Loan Trust, Series 2018-EA, Class A2 | | | |
| 4.00%, 12/15/59 144A | $ 143,000 | | $ 149,040 |
| Navient Student Loan Trust, Series 2019-BA, Class A2A | | | |
| 3.39%, 12/15/59 144A | 390,000 | | 404,084 |
| Nelnet Student Loan Trust, Series 2016-1A, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 0.80%), 0.98%, 09/25/65 144A † | 975,591 | | 967,621 |
| Neuberger Berman CLO, Ltd., Series 2017-16SA, Class A | | | |
| (Floating, ICE LIBOR USD 3M + 0.85%), 2.07%, 01/15/28 144A † | 1,123,062 | | 1,112,882 |
| Nissan Auto Lease Trust, Series 2020-A, Class A2A | | | |
| 1.80%, 05/16/22 | 2,500,000 | | 2,522,457 |
| Nissan Auto Lease Trust, Series 2020-A, Class A4 | | | |
| 1.88%, 04/15/25 | 730,000 | | 746,682 |
| Nissan Master Owner Receivables Trust, Series 2019-A, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 0.56%), 0.74%, 02/15/24† | 1,200,000 | | 1,194,223 |
| NLY Commercial Mortgage Trust, Series 2019-FL2, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 1.30%, 1.30% Floor), 1.48%, 02/15/36 144A † | 256,000 | | 250,899 |
| NP SPE II LLC, Series 2019-2A, Class A1 | | | |
| 2.86%, 11/19/49 144A | 1,584,040 | | 1,590,637 |
| Oaktree CLO, Ltd., Series 2020-1A, Class A | | | |
| (Floating, ICE LIBOR USD 3M + 2.00%, 2.00% Floor), 2.34%, 07/15/29 144A † | 1,970,000 | | 2,002,272 |
| OFSI Fund VI, Ltd., Series 2014-6A, Class BR | | | |
| (Floating, ICE LIBOR USD 3M + 1.50%), 2.72%, 03/20/25 144A † | 295,000 | | 288,705 |
| OneMain Direct Auto Receivables Trust, Series 2018-1A, Class A | | | |
| 3.43%, 12/16/24 144A | 1,150,000 | | 1,166,614 |
| Onemain Financial Issuance Trust, Series 2018-1A, Class A | | | |
| 3.30%, 03/14/29 144A | 220,000 | | 223,758 |
| Palmer Square CLO, Ltd., Series 2020-1A, Class A1 | | | |
| (Floating, ICE LIBOR USD 3M + 2.00%, 2.00% Floor), 2.29%, 04/20/29 144A † | 2,460,000 | | 2,473,507 |
| Palmer Square Loan Funding, Ltd., Series 2020-1A, Class A1 | | | |
| (Floating, ICE LIBOR USD 3M + 0.80%, 0.80% Floor), 1.18%, 02/20/28 144A † | 1,141,632 | | 1,126,453 |
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (Continued)
| | | Par | | Value |
| PFS Financing Corp, Series 2019-B, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 0.55%), 0.73%, 09/15/23 144A † | $1,400,000 | | $1,394,365 |
| PFS Financing Corp, Series 2020-B, Class A | | | |
| 1.21%, 06/17/24 144A | 1,500,000 | | 1,504,180 |
| PFS Financing Corporation, Series 2018-B, Class A | | | |
| 2.89%, 02/15/23 144A | 2,330,000 | | 2,357,904 |
| PFS Financing Corporation, Series 2019-A, Class A1 | | | |
| (Floating, ICE LIBOR USD 1M + 0.55%), 0.73%, 04/15/24 144A † | 390,000 | | 389,107 |
| PFS Financing Corporation, Series 2019-A, Class A2 | | | |
| 2.86%, 04/15/24 144A | 1,500,000 | | 1,547,568 |
| RR 10 LTD, Series 2020-10A, A1FL | | | |
| (Floating, ICE LIBOR USD 3M + 1.80%, 1.80% Floor), 2.00%, 07/15/33 144A † | 2,830,000 | | 2,810,920 |
| Santander Retail Auto Lease Trust, Series 2019-B, Class A3 | | | |
| 2.30%, 01/20/23 144A | 1,150,000 | | 1,175,454 |
| Securitized Term Auto Receivables Trust, Series 2019-1A, Class A3 | | | |
| 2.99%, 02/27/23 144A | 700,000 | | 714,259 |
| SLC Student Loan Trust, Series 2006-2, Class A5 | | | |
| (Floating, ICE LIBOR USD 3M + 0.10%), 0.41%, 09/15/26† | 215,143 | | 214,960 |
| SLM Private Credit Student Loan Trust, Series 2004-A, Class A3 | | | |
| (Floating, ICE LIBOR USD 3M + 0.40%), 0.71%, 06/15/33† | 405,700 | | 391,935 |
| SLM Private Credit Student Loan Trust, Series 2005-A, Class A3 | | | |
| (Floating, ICE LIBOR USD 3M + 0.20%), 0.51%, 06/15/23† | 93,343 | | 93,220 |
| SLM Private Credit Student Loan Trust, Series 2007-A, Class A4A | | | |
| (Floating, ICE LIBOR USD 3M + 0.24%), 0.55%, 12/16/41† | 286,593 | | 271,807 |
| SLM Student Loan Trust, Series 2003-5, Class A5 | | | |
| (Floating, 0.27% - Euribor 3M), 0.00%, 06/17/24(E) † | 107,071 | | 120,061 |
| SLM Student Loan Trust, Series 2004-2, Class A5 | | | |
| (Floating, 0.18% - Euribor 3M), 0.02%, 01/25/24(E) † | 484,307 | | 544,520 |
| SLM Student Loan Trust, Series 2005-8, Class A4 | | | |
| (Floating, ICE LIBOR USD 3M + 0.55%), 1.54%, 01/25/28† | 743,083 | | 741,738 |
| SMB Private Education Loan Trust, Series 2015-C, Class A2A | | | |
| 2.75%, 07/15/27 144A | 229,562 | | 233,168 |
| SMB Private Education Loan Trust, Series 2016-A, Class A2A | | | |
| 2.70%, 05/15/31 144A | 246,082 | | 251,937 |
| | | Par | | Value |
| SMB Private Education Loan Trust, Series 2016-A, Class A2B | | | |
| (Floating, ICE LIBOR USD 1M + 1.50%), 1.68%, 05/15/31 144A † | $ 670,180 | | $ 674,134 |
| SMB Private Education Loan Trust, Series 2016-B, Class A2A | | | |
| 2.43%, 02/17/32 144A | 161,878 | | 165,615 |
| SMB Private Education Loan Trust, Series 2018-A, Class A2A | | | |
| 3.50%, 02/15/36 144A | 1,091,853 | | 1,143,448 |
| SMB Private Education Loan Trust, Series 2018-B, Class A2B | | | |
| (Floating, ICE LIBOR USD 1M + 0.72%), 0.90%, 01/15/37 144A † | 582,006 | | 569,065 |
| SMB Private Education Loan Trust, Series 2019-A, Class A2A | | | |
| 3.44%, 07/15/36 144A | 280,000 | | 293,045 |
| SMB Private Education Loan Trust, Series 2020-A, Class A2A | | | |
| 2.23%, 09/15/37 144A | 1,000,000 | | 1,020,341 |
| SMB Private Education Loan Trust, Series 2020-A, Class A2B | | | |
| (Floating, ICE LIBOR USD 1M + 0.83%), 1.01%, 09/15/37 144A † | 100,000 | | 97,300 |
| SMB Private Education Loan Trust, Series 2020-PTA, Class A2B | | | |
| (Floating, ICE LIBOR USD 1M + 0.85%), 1.03%, 09/15/54 144A † | 3,000,000 | | 2,899,681 |
| SoFi Professional Loan Program LLC, Series 2015-D, Class A2 | | | |
| 2.72%, 10/27/36 144A | 532,254 | | 541,055 |
| SoFi Professional Loan Program LLC, Series 2016-A, Class A2 | | | |
| 2.76%, 12/26/36 144A | 185,998 | | 187,156 |
| SoFi Professional Loan Program LLC, Series 2016-C, Class A2B | | | |
| 2.36%, 12/27/32 144A | 91,451 | | 92,340 |
| SoFi Professional Loan Program LLC, Series 2016-D, Class A2B | | | |
| 2.34%, 04/25/33 144A | 94,768 | | 96,155 |
| SoFi Professional Loan Program LLC, Series 2016-F, Class A2 | | | |
| 3.02%, 02/25/40 144A | 690,797 | | 712,869 |
| SoFi Professional Loan Program LLC, Series 2017-E, Class A2A | | | |
| 1.86%, 11/26/40 144A | 98,810 | | 98,865 |
| SoFi Professional Loan Program LLC, Series 2019-B, Class A2FX | | | |
| 3.09%, 08/17/48 144A | 210,000 | | 218,423 |
| SoFi Professional Loan Program Trust, Series 2018-C, Class A2FX | | | |
| 3.59%, 01/25/48 144A | 245,000 | | 256,042 |
| SoFi Professional Loan Program Trust, Series 2020-A, Class A2FX | | | |
| 2.54%, 05/15/46 144A | 490,000 | | 508,374 |
| SoFi Professional Loan Program, Series 2018-B, Class A2FX | | | |
| 3.34%, 08/25/47 144A | 805,000 | | 833,103 |
See Notes to Financial Statements.
| | | Par | | Value |
| Sound Point CLO XIV, Ltd., Series 2016-3A, Class AR | | | |
| (Floating, ICE LIBOR USD 3M + 1.15%), 2.19%, 01/23/29 144A † | $ 345,000 | | $ 341,312 |
| SpringCastle Funding Asset-Backed Notes, Series 2019-AA, Class A | | | |
| 3.20%, 05/27/36 144A | 507,719 | | 514,145 |
| Springleaf Funding Trust, Series 2015-BA, Class A | | | |
| 3.48%, 05/15/28 144A | 651,968 | | 650,570 |
| Springleaf Funding Trust, Series 2017-AA, Class A | | | |
| 2.68%, 07/15/30 144A | 400,000 | | 399,810 |
| Starwood Waypoint Homes Trust, Series 2017-1, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 0.95%, 0.95% Floor), 1.13%, 01/17/35 144A † | 1,850,415 | | 1,845,338 |
| Structured Asset Securities Corporation Mortgage Loan Trust, Series 2005-7XS, Class 2A1A | | | |
| (Floating, ICE LIBOR USD 1M + 1.50%, 1.50% Floor), 1.67%, 04/25/35† | 174,110 | | 169,171 |
| STWD, Ltd., Series 2019-FL1, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 1.08%, 1.08% Floor), 1.26%, 07/15/38 144A † | 1,330,000 | | 1,291,664 |
| Taco Bell Funding LLC, Series 2018-1A, Class A2I | | | |
| 4.32%, 11/25/48 144A | 817,550 | | 835,969 |
| TICP CLO VI, Ltd., Series 2016-6A, Class AR | | | |
| (Floating, ICE LIBOR USD 3M + 1.20%, 1.20% Floor), 2.42%, 01/15/29 144A † | 285,000 | | 283,350 |
| Towd Point Mortgage Trust, Series 2016-3, Class A1 | | | |
| 2.25%, 04/25/56 144A | 326,949 | | 329,628 |
| Towd Point Mortgage Trust, Series 2019-MH1, Class A1 | | | |
| 3.00%, 11/25/58 144A | 709,981 | | 725,940 |
| Towd Point Mortgage Trust, Series 2019-SJ3, Class A1 | | | |
| 3.00%, 11/25/59 144A | 1,568,445 | | 1,595,170 |
| Toyota Auto Receivables Owner Trust, Series 2019-A, Class A3 | | | |
| 2.91%, 07/17/23 | 1,890,000 | | 1,946,052 |
| Transportation Finance Equipment Trust, Series 2019-1, Class A3 | | | |
| 1.85%, 04/24/23 144A | 610,000 | | 615,084 |
| TRESTLES CLO, Ltd. Series 2017-1A, Class A1A | | | |
| (Floating, ICE LIBOR USD 3M + 1.29%), 2.28%, 07/25/29 144A † | 550,000 | | 544,754 |
| Trillium Credit Card Trust II, Series 2020-1A, Class B | | | |
| 2.33%, 12/26/24 144A | 215,000 | | 216,813 |
| | | Par | | Value |
| TRTX Issuer, Ltd., Series 2019-FL3, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 1.15%, 1.15% Floor), 1.34%, 10/15/34 144A † | $1,870,000 | | $ 1,829,355 |
| Tryon Park CLO, Ltd., Series 2013-1A, Class A1SR | | | |
| (Floating, ICE LIBOR USD 3M + 0.89%), 2.11%, 04/15/29 144A † | 3,070,000 | | 3,014,237 |
| VB-S1 Issuer LLC, Series 2020-1A, Class C2 | | | |
| 3.03%, 06/15/50 144A | 670,000 | | 683,008 |
| Venture XVII CLO, Ltd., Series 2014-17A, Class ARR | | | |
| (Floating, ICE LIBOR USD 3M + 0.88%), 2.10%, 04/15/27 144A † | 357,232 | | 351,459 |
| Verizon Owner Trust, Series 2019-B, Class A1A | | | |
| 2.33%, 12/20/23 | 3,690,000 | | 3,790,014 |
| Verizon Owner Trust, Series 2020-A, Class A1A | | | |
| 1.85%, 07/22/24 | 420,000 | | 431,497 |
| Volvo Financial Equipment LLC, Series 2019-1A, Class A3 | | | |
| 3.00%, 03/15/23 144A | 1,500,000 | | 1,533,008 |
| Westlake Automobile Receivables Trust, Series 2018-3A, Class D | | | |
| 4.00%, 10/16/23 144A | 300,000 | | 306,444 |
| Westlake Automobile Receivables Trust, Series 2019-3A, Class A2 | | | |
| 2.15%, 02/15/23 144A | 363,928 | | 366,751 |
| Westlake Automobile Receivables Trust, Series 2020-1A, Class C | | | |
| 2.52%, 04/15/25 144A | 620,000 | | 628,903 |
| Westlake Automobile Receivables Trust, Series 2020-2A, Class B | | | |
| 1.32%, 07/15/25 144A | 910,000 | | 912,664 |
Total Asset-Backed Securities
(Cost $171,075,946) | | | 171,793,524 |
| COMMERCIAL PAPER — 0.3% |
| American Honda Finance Corporation | | | |
1.92%, Ω
(Cost $2,999,188) | 3,000,000 | | 2,999,188 |
| CORPORATE BONDS — 24.4% |
| 3M Co. | | | |
| 2.65%, 04/15/25 | 80,000 | | 86,574 |
| ADT Security Corporation (The) | | | |
| 6.25%, 10/15/21 | 150,000 | | 154,091 |
| 4.13%, 06/15/23 | 180,000 | | 180,918 |
| AIG Global Funding | | | |
| 2.30%, 07/01/22 144A | 330,000 | | 340,207 |
| 0.80%, 07/07/23 144A | 610,000 | | 610,495 |
| Air Lease Corporation | | | |
| 2.63%, 07/01/22 | 150,000 | | 148,776 |
| 2.25%, 01/15/23 | 1,360,000 | | 1,345,390 |
| 2.75%, 01/15/23Δ | 275,000 | | 272,590 |
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (Continued)
| | | Par | | Value |
| Air Products and Chemicals, Inc. | | | |
| 1.50%, 10/15/25 | $ 40,000 | | $ 41,291 |
| Ally Financial, Inc. | | | |
| 3.88%, 05/21/24 | 400,000 | | 413,955 |
| Ameren Corporation | | | |
| 2.50%, 09/15/24 | 610,000 | | 647,176 |
| American Honda Finance Corporation | | | |
| 2.05%, 01/10/23 | 915,000 | | 946,836 |
| American Tower Corporation REIT | | | |
| 2.25%, 01/15/22 | 2,700,000 | | 2,767,927 |
| 3.50%, 01/31/23 | 95,000 | | 101,580 |
| 3.38%, 05/15/24 | 500,000 | | 543,529 |
| 2.40%, 03/15/25 | 215,000 | | 227,228 |
| 1.30%, 09/15/25 | 190,000 | | 190,839 |
| 1.95%, 05/22/26(E) | 120,000 | | 143,421 |
| Anthem, Inc. | | | |
| 3.13%, 05/15/22 | 165,000 | | 172,890 |
| 3.35%, 12/01/24 | 600,000 | | 659,193 |
| 2.38%, 01/15/25 | 145,000 | | 153,993 |
| Aon Corporation | | | |
| 2.20%, 11/15/22 | 855,000 | | 887,236 |
| Apache Corporation | | | |
| 3.63%, 02/01/21 | 26,000 | | 25,745 |
| Apple, Inc. | | | |
| 1.70%, 09/11/22 | 435,000 | | 448,183 |
| 0.75%, 05/11/23 | 1,155,000 | | 1,167,994 |
| 1.13%, 05/11/25 | 615,000 | | 628,703 |
| Ares Capital Corporation | | | |
| 3.63%, 01/19/22 | 1,325,000 | | 1,347,812 |
| Assurant, Inc. | | | |
| (Floating, ICE LIBOR USD 3M + 1.25%), 1.53%, 03/26/21† | 226,000 | | 226,006 |
| AT&T, Inc. | | | |
| (Floating, ICE LIBOR USD 3M + 0.75%), 1.10%, 06/01/21† | 520,000 | | 522,682 |
| 3.80%, 03/15/22 | 1,200,000 | | 1,264,091 |
| 3.60%, 02/17/23 | 115,000 | | 123,524 |
| 3.90%, 03/11/24 | 455,000 | | 502,915 |
| 4.45%, 04/01/24 | 350,000 | | 393,426 |
| (Floating, ICE LIBOR USD 3M + 1.18%), 1.50%, 06/12/24† | 3,000,000 | | 3,007,090 |
| Athene Global Funding | | | |
| 2.80%, 05/26/23 144A | 820,000 | | 836,934 |
| Aviation Capital Group LLC | | | |
| 2.88%, 01/20/22 144A | 1,000,000 | | 955,916 |
| 4.38%, 01/30/24 144A | 1,000,000 | | 940,533 |
| Bank of America Corporation | | | |
| (Variable, ICE LIBOR USD 3M + 0.66%), 2.37%, 07/21/21^ | 1,840,000 | | 1,841,719 |
| (Variable, ICE LIBOR USD 3M + 0.63%), 2.33%, 10/01/21^ | 765,000 | | 768,179 |
| (Floating, ICE LIBOR USD 3M + 0.38%), 1.42%, 01/23/22† Δ | 900,000 | | 897,746 |
| (Variable, ICE LIBOR USD 3M + 0.37%), 2.74%, 01/23/22^ | 600,000 | | 606,757 |
| (Variable, ICE LIBOR USD 3M + 0.63%), 3.50%, 05/17/22^ | 425,000 | | 435,397 |
| (Floating, ICE LIBOR USD 3M + 0.65%), 0.95%, 06/25/22† | 750,000 | | 750,588 |
| | | Par | | Value |
| 2.50%, 10/21/22 | $ 175,000 | | $ 179,203 |
| 3.30%, 01/11/23 | 335,000 | | 357,669 |
| (Variable, ICE LIBOR USD 3M + 0.93%), 2.82%, 07/21/23^ | 700,000 | | 727,373 |
| (Variable, ICE LIBOR USD 3M + 0.79%), 3.00%, 12/20/23^ | 1,500,000 | | 1,576,368 |
| (Variable, ICE LIBOR USD 3M + 0.94%), 3.86%, 07/23/24^ | 1,000,000 | | 1,084,134 |
| Bank of New York Mellon Corporation (The) | | | |
| 1.95%, 08/23/22 | 640,000 | | 660,262 |
| BBVA USA | | | |
| 3.50%, 06/11/21 | 1,600,000 | | 1,635,055 |
| Becton, Dickinson and Co. | | | |
| 2.89%, 06/06/22 | 1,300,000 | | 1,346,614 |
| BGC Partners, Inc. | | | |
| 5.13%, 05/27/21Δ | 1,400,000 | | 1,421,157 |
| BMW US Capital LLC | | | |
| (Floating, ICE LIBOR USD 3M + 0.50%), 0.93%, 08/13/21 144A † Δ | 3,000,000 | | 2,984,961 |
| 3.80%, 04/06/23 144A | 1,045,000 | | 1,123,047 |
| Bristol-Myers Squibb Co. | | | |
| 2.60%, 05/16/22 144A | 875,000 | | 909,981 |
| Broadcom Corporation | | | |
| 3.63%, 01/15/24 | 250,000 | | 268,921 |
| Broadcom, Inc. | | | |
| 3.13%, 04/15/21 144A | 1,000,000 | | 1,016,555 |
| 4.70%, 04/15/25 144A | 690,000 | | 778,304 |
| 3.46%, 09/15/26 144A | 3,126,000 | | 3,357,003 |
| Cantor Fitzgerald LP | | | |
| 6.50%, 06/17/22 144A | 750,000 | | 796,016 |
| Capital One Financial Corporation | | | |
| 3.90%, 01/29/24 | 800,000 | | 870,559 |
| 3.75%, 04/24/24 | 135,000 | | 146,457 |
| Carrier Global Corporation | | | |
| 2.24%, 02/15/25 144A | 690,000 | | 706,229 |
| Caterpillar Financial Services Corporation | | | |
| 0.95%, 05/13/22Δ | 1,500,000 | | 1,519,393 |
| 2.15%, 11/08/24 | 200,000 | | 212,390 |
| Centene Corporation | | | |
| 4.75%, 05/15/22 | 210,000 | | 212,830 |
| 4.75%, 01/15/25 | 395,000 | | 404,899 |
| CenterPoint Energy Resources Corporation | | | |
| 3.55%, 04/01/23 | 200,000 | | 213,216 |
| Charter Communications Operating LLC | | | |
| 4.50%, 02/01/24 | 2,700,000 | | 2,989,266 |
| Cheniere Corpus Christi Holdings LLC | | | |
| 5.88%, 03/31/25 | 630,000 | | 706,757 |
| Chevron Corporation | | | |
| 1.14%, 05/11/23 | 755,000 | | 768,328 |
| Cigna Corporation | | | |
| 3.20%, 09/17/20 | 1,360,000 | | 1,367,657 |
| (Floating, ICE LIBOR USD 3M + 0.65%), 0.95%, 09/17/21† | 860,000 | | 860,042 |
See Notes to Financial Statements.
| | | Par | | Value |
| CIT Bank NA | | | |
| (Variable, U.S. SOFR + 1.72%), 2.97%, 09/27/25^ | $ 440,000 | | $ 412,432 |
| CIT Group, Inc. | | | |
| 4.13%, 03/09/21 | 1,030,000 | | 1,032,343 |
| 5.00%, 08/15/22 | 750,000 | | 768,274 |
| Citigroup, Inc. | | | |
| 2.75%, 04/25/22 | 1,100,000 | | 1,140,301 |
| (Variable, ICE LIBOR USD 3M + 0.72%), 3.14%, 01/24/23^ | 1,850,000 | | 1,913,915 |
| (Floating, ICE LIBOR USD 3M + 1.02%), 1.37%, 06/01/24† | 1,000,000 | | 997,840 |
| Citizens Bank NA | | | |
| 3.25%, 02/14/22 | 430,000 | | 445,511 |
| Cleveland-Cliffs, Inc. | | | |
| 4.88%, 01/15/24 144A | 225,000 | | 212,320 |
| CNH Industrial Capital LLC | | | |
| 3.88%, 10/15/21 | 145,000 | | 148,700 |
| 1.95%, 07/02/23 | 590,000 | | 594,131 |
| Coca-Cola Co. (The) | | | |
| 1.13%, 09/22/22(E) | 340,000 | | 391,015 |
| Conagra Brands, Inc. | | | |
| 3.80%, 10/22/21 | 700,000 | | 727,792 |
| Cox Communications, Inc. | | | |
| 3.15%, 08/15/24 144A | 290,000 | | 312,380 |
| Crown Castle International Corporation REIT | | | |
| 1.35%, 07/15/25 | 570,000 | | 574,749 |
| Crown Castle Towers LLC | | | |
| 3.22%, 05/15/22 144A | 1,500,000 | | 1,525,375 |
| CVS Health Corporation | | | |
| 3.35%, 03/09/21 | 903,000 | | 920,979 |
| 3.70%, 03/09/23 | 1,350,000 | | 1,450,355 |
| 4.10%, 03/25/25 | 1,200,000 | | 1,357,988 |
| Daimler Finance North America LLC | | | |
| (Floating, ICE LIBOR USD 3M + 0.43%), 0.86%, 02/12/21 144A † | 1,000,000 | | 996,004 |
| 2.30%, 02/12/21 144A | 1,455,000 | | 1,465,212 |
| 2.88%, 03/10/21 144A | 1,000,000 | | 1,010,689 |
| 3.35%, 05/04/21 144A | 230,000 | | 234,269 |
| 2.55%, 08/15/22 144A Δ | 1,000,000 | | 1,026,543 |
| Dell International LLC | | | |
| 4.42%, 06/15/21 144A | 2,917,000 | | 2,998,785 |
| 5.88%, 06/15/21 144A | 356,000 | | 356,664 |
| 5.45%, 06/15/23 144A | 1,680,000 | | 1,838,323 |
| Delta Air Lines, Inc. | | | |
| 3.63%, 03/15/22 | 2,100,000 | | 1,989,859 |
| Discover Bank | | | |
| 3.35%, 02/06/23 | 1,840,000 | | 1,942,381 |
| DISH DBS Corporation | | | |
| 6.75%, 06/01/21 | 700,000 | | 714,280 |
| Dollar Tree, Inc. | | | |
| 3.70%, 05/15/23 | 1,100,000 | | 1,179,368 |
| Dominion Energy Gas Holdings LLC | | | |
| (Floating, ICE LIBOR USD 3M + 0.60%), 0.91%, 06/15/21† | 1,800,000 | | 1,797,591 |
| Dominion Energy, Inc. | | | |
| 2.58%, 07/01/20 | 335,000 | | 335,000 |
| | | Par | | Value |
| 2.72%, 08/15/21 STEP | $ 390,000 | | $ 398,747 |
| Duke Energy Corporation | | | |
| 3.95%, 10/15/23 | 430,000 | | 469,522 |
| DuPont de Nemours, Inc. | | | |
| 2.17%, 05/01/23 | 1,110,000 | | 1,132,152 |
| Elanco Animal Health, Inc. | | | |
| 4.66%, 08/27/21 | 295,000 | | 302,191 |
| Energy Transfer Operating LP | | | |
| 3.60%, 02/01/23 | 105,000 | | 108,662 |
| 4.25%, 03/15/23Δ | 1,000,000 | | 1,057,623 |
| 2.90%, 05/15/25 | 260,000 | | 265,921 |
| Equinix, Inc. REIT | | | |
| 2.63%, 11/18/24 | 1,305,000 | | 1,391,913 |
| 1.25%, 07/15/25Δ | 380,000 | | 381,805 |
| Evergy, Inc. | | | |
| 2.45%, 09/15/24 | 1,020,000 | | 1,078,598 |
| Exelon Corporation | | | |
| 2.45%, 04/15/21 | 175,000 | | 177,435 |
| Exxon Mobil Corporation | | | |
| 1.57%, 04/15/23 | 3,945,000 | | 4,051,581 |
| 0.14%, 06/26/24(E) | 390,000 | | 437,979 |
| Fidelity National Information Services, Inc. | | | |
| 0.40%, 01/15/21(E) | 415,000 | | 466,590 |
| 0.13%, 12/03/22(E) | 300,000 | | 335,543 |
| 0.75%, 05/21/23(E) | 380,000 | | 430,199 |
| Fifth Third Bank NA | | | |
| 1.80%, 01/30/23 | 325,000 | | 333,944 |
| FirstEnergy Corporation | | | |
| 2.85%, 07/15/22 | 2,357,000 | | 2,446,129 |
| Ford Motor Credit Co. LLC | | | |
| 3.16%, 08/04/20 | 225,000 | | 224,342 |
| (Floating, ICE LIBOR USD 3M + 2.55%), 2.85%, 01/07/21† | 1,000,000 | | 985,152 |
| 3.34%, 03/18/21 | 300,000 | | 297,851 |
| (Floating, ICE LIBOR USD 3M + 0.81%), 1.11%, 04/05/21† | 500,000 | | 479,922 |
| (Floating, ICE LIBOR USD 3M + 1.27%), 1.58%, 03/28/22† | 235,000 | | 219,775 |
| 4.14%, 02/15/23 | 345,000 | | 339,290 |
| 5.58%, 03/18/24 | 300,000 | | 303,530 |
| 5.13%, 06/16/25 | 640,000 | | 641,856 |
| Freeport-McMoRan, Inc. | | | |
| 3.55%, 03/01/22 | 66,000 | | 66,147 |
| FS KKR Capital Corporation | | | |
| 4.75%, 05/15/22 | 1,000,000 | | 992,198 |
| FS KKR Capital Corporation II | | | |
| 4.25%, 02/14/25 144A | 880,000 | | 786,919 |
| GATX Corporation | | | |
| (Floating, ICE LIBOR USD 3M + 0.72%), 1.26%, 11/05/21† | 500,000 | | 493,302 |
| GE Capital Funding LLC | | | |
| 3.45%, 05/15/25 144A | 760,000 | | 796,774 |
| General Mills, Inc. | | | |
| 0.45%, 01/15/26(E) | 100,000 | | 110,767 |
| General Motors Co. | | | |
| 5.40%, 10/02/23 | 230,000 | | 248,875 |
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (Continued)
| | | Par | | Value |
| General Motors Financial Co., Inc. | | | |
| 2.45%, 11/06/20 | $ 605,000 | | $ 605,982 |
| 3.70%, 11/24/20 | 2,790,000 | | 2,804,914 |
| (Floating, ICE LIBOR USD 3M + 0.85%), 2.17%, 04/09/21† | 500,000 | | 497,059 |
| 3.20%, 07/06/21 | 46,000 | | 46,518 |
| 4.20%, 11/06/21 | 395,000 | | 405,160 |
| (Floating, ICE LIBOR USD 3M + 1.55%), 2.86%, 01/14/22† | 590,000 | | 586,254 |
| (Floating, ICE LIBOR USD 3M + 1.31%), 1.62%, 06/30/22† | 584,000 | | 572,406 |
| 5.20%, 03/20/23 | 1,095,000 | | 1,170,988 |
| Georgia-Pacific LLC | | | |
| 1.75%, 09/30/25 144A | 340,000 | | 351,014 |
| Goldman Sachs Group, Inc. (The) | | | |
| (Floating, ICE LIBOR USD 3M + 0.78%), 1.54%, 10/31/22† | 2,000,000 | | 1,999,820 |
| (Floating, 0.55% - Euribor 3M), 0.31%, 04/21/23(E) † | 210,000 | | 233,045 |
| 3.50%, 04/01/25 | 380,000 | | 417,125 |
| Hershey Co. (The) | | | |
| 0.90%, 06/01/25 | 630,000 | | 634,066 |
| Honeywell International, Inc. | | | |
| 1.30%, 02/22/23(E) | 260,000 | | 300,326 |
| 1.35%, 06/01/25 | 65,000 | | 66,616 |
| Humana, Inc. | | | |
| 2.90%, 12/15/22 | 1,700,000 | | 1,775,841 |
| Huntington National Bank (The) | | | |
| 1.80%, 02/03/23 | 545,000 | | 560,968 |
| Infor, Inc. | | | |
| 1.45%, 07/15/23 144A | 365,000 | | 368,287 |
| International Business Machines Corporation | | | |
| 2.85%, 05/13/22 | 605,000 | | 633,165 |
| International Lease Finance Corporation | | | |
| 8.25%, 12/15/20 | 800,000 | | 818,989 |
| 8.63%, 01/15/22 | 1,200,000 | | 1,289,741 |
| Interpublic Group of Cos., Inc. (The) | | | |
| 3.50%, 10/01/20 | 230,000 | | 231,534 |
| 3.75%, 10/01/21 | 80,000 | | 82,977 |
| Intuit, Inc. | | | |
| 0.65%, 07/15/23 | 465,000 | | 466,262 |
| iStar, Inc. REIT | | | |
| 4.75%, 10/01/24 | 330,000 | | 308,791 |
| Jackson National Life Global Funding | | | |
| 3.30%, 02/01/22 144A | 1,125,000 | | 1,169,627 |
| John Deere Capital Corporation | | | |
| 2.70%, 01/06/23 | 1,300,000 | | 1,371,628 |
| 1.20%, 04/06/23 | 435,000 | | 443,300 |
| JPMorgan Chase & Co. | | | |
| (Variable, ICE LIBOR USD 3M + 0.70%), 3.21%, 04/01/23^ | 1,270,000 | | 1,322,607 |
| (Variable, U.S. SOFR + 1.16%), 2.30%, 10/15/25^ | 290,000 | | 303,955 |
| (Variable, U.S. SOFR + 1.85%), 2.08%, 04/22/26^ | 620,000 | | 644,681 |
| Kinder Morgan Energy Partners LP | | | |
| 5.00%, 10/01/21 | 300,000 | | 311,922 |
| | | Par | | Value |
| 4.25%, 09/01/24 | $ 355,000 | | $ 391,100 |
| Kinder Morgan, Inc. | | | |
| (Floating, ICE LIBOR USD 3M + 1.28%), 2.50%, 01/15/23† | 660,000 | | 660,100 |
| 3.15%, 01/15/23 | 600,000 | | 628,675 |
| Kraft Heinz Foods Co. | | | |
| (Floating, ICE LIBOR USD 3M + 0.82%), 1.27%, 08/10/22† | 400,000 | | 391,143 |
| Lehman Escrow Bonds | | | |
| 6.63%, 01/18/12# | 600,000 | | 6,720 |
| Lennar Corporation | | | |
| 4.13%, 01/15/22 | 1,250,000 | | 1,268,406 |
| Level 3 Financing, Inc. | | | |
| 5.13%, 05/01/23 | 200,000 | | 200,521 |
| Lowe's Cos., Inc. | | | |
| 4.00%, 04/15/25 | 600,000 | | 684,492 |
| Marathon Petroleum Corporation | | | |
| 4.70%, 05/01/25 | 130,000 | | 145,686 |
| Marriott International, Inc. | | | |
| 2.88%, 03/01/21 | 600,000 | | 603,031 |
| Marsh & McLennan Cos., Inc. | | | |
| 3.50%, 03/10/25 | 220,000 | | 243,751 |
| Masco Corporation | | | |
| 5.95%, 03/15/22 | 683,000 | | 737,187 |
| MassMutual Global Funding II | | | |
| 0.85%, 06/09/23 144A | 950,000 | | 954,436 |
| McCormick & Co., Inc. | | | |
| 2.70%, 08/15/22 | 200,000 | | 208,471 |
| McDonald’s Corporation | | | |
| 3.30%, 07/01/25 | 155,000 | | 172,392 |
| Medtronic Global Holdings SCA | | | |
| 0.00%, 12/02/22(E) | 475,000 | | 530,614 |
| 0.38%, 03/07/23(E) | 180,000 | | 202,742 |
| Metropolitan Life Global Funding I | | | |
| 0.90%, 06/08/23 144A | 830,000 | | 835,044 |
| Microchip Technology, Inc. | | | |
| 2.67%, 09/01/23 144A | 745,000 | | 767,397 |
| MMS USA Investments, Inc. | | | |
| 0.63%, 06/13/25(E) | 100,000 | | 107,553 |
| Mondelez International, Inc. | | | |
| 0.63%, 07/01/22 | 400,000 | | 399,944 |
| 2.13%, 04/13/23 | 455,000 | | 471,568 |
| 1.50%, 05/04/25 | 230,000 | | 234,879 |
| Morgan Stanley | | | |
| 2.75%, 05/19/22 | 600,000 | | 623,960 |
| 3.13%, 01/23/23 | 1,000,000 | | 1,060,699 |
| (Floating, CAD Offered Rate 3M + 0.30%), 0.96%, 02/03/23(C) † | 1,500,000 | | 1,074,827 |
| (Variable, U.S. SOFR + 1.15%), 2.72%, 07/22/25^ | 790,000 | | 838,652 |
| (Variable, U.S. SOFR + 1.99%), 2.19%, 04/28/26^ | 600,000 | | 625,442 |
| MPLX LP | | | |
| (Floating, ICE LIBOR USD 3M + 0.90%), 1.21%, 09/09/21† | 335,000 | | 332,419 |
| 6.25%, 10/15/22 | 199,000 | | 201,314 |
| 3.50%, 12/01/22 | 265,000 | | 276,247 |
See Notes to Financial Statements.
| | | Par | | Value |
| MUFG Union Bank NA | | | |
| 2.10%, 12/09/22 | $1,000,000 | | $1,031,763 |
| National Rural Utilities Cooperative Finance Corporation | | | |
| 2.30%, 09/15/22 | 1,200,000 | | 1,246,210 |
| National Securities Clearing Corporation | | | |
| 1.20%, 04/23/23 144A | 825,000 | | 837,283 |
| Navient Corporation | | | |
| 6.63%, 07/26/21 | 575,000 | | 565,116 |
| New York Life Global Funding | | | |
| 1.10%, 05/05/23 144A | 780,000 | | 796,674 |
| NextEra Energy Capital Holdings, Inc. | | | |
| 2.40%, 09/01/21 | 1,135,000 | | 1,160,906 |
| 3.20%, 02/25/22 | 100,000 | | 104,345 |
| 2.90%, 04/01/22 | 925,000 | | 963,070 |
| 1.95%, 09/01/22 | 1,900,000 | | 1,955,548 |
| NextEra Energy Operating Partners LP | | | |
| 4.25%, 07/15/24 144A | 405,000 | | 410,358 |
| NIKE, Inc. | | | |
| 2.40%, 03/27/25 | 105,000 | | 112,997 |
| Nissan Motor Acceptance Corporation | | | |
| 2.15%, 09/28/20 144A | 515,000 | | 513,525 |
| 3.65%, 09/21/21 144A | 5,000,000 | | 5,014,090 |
| Northwest Airlines Pass-Through Trust, Series 2002-1, Class G2 | | | |
| 6.26%, 11/20/21 | 19,537 | | 18,889 |
| Nucor Corporation | | | |
| 2.00%, 06/01/25 | 60,000 | | 62,205 |
| Occidental Petroleum Corporation | | | |
| 2.60%, 08/13/21 | 168,000 | | 164,636 |
| (Floating, ICE LIBOR USD 3M + 1.45%), 1.84%, 08/15/22† | 1,900,000 | | 1,748,728 |
| 2.70%, 08/15/22 | 205,000 | | 191,223 |
| 2.90%, 08/15/24 | 105,000 | | 89,929 |
| Oracle Corporation | | | |
| 3.40%, 07/08/24 | 2,200,000 | | 2,409,806 |
| 2.50%, 04/01/25 | 380,000 | | 407,439 |
| Otis Worldwide Corporation | | | |
| 2.06%, 04/05/25 144A | 1,780,000 | | 1,869,469 |
| Pacific Gas and Electric Co. | | | |
| 1.75%, 06/16/22 | 2,700,000 | | 2,711,070 |
| 2.10%, 08/01/27 | 600,000 | | 595,290 |
| PayPal Holdings, Inc. | | | |
| 2.20%, 09/26/22 | 700,000 | | 724,821 |
| 1.35%, 06/01/23 | 1,320,000 | | 1,346,719 |
| Penske Truck Leasing Co. LP | | | |
| 3.38%, 02/01/22 144A | 325,000 | | 333,532 |
| 4.25%, 01/17/23 144A | 165,000 | | 175,577 |
| 3.45%, 07/01/24 144A | 1,500,000 | | 1,588,616 |
| 2.70%, 11/01/24 144A | 1,105,000 | | 1,138,216 |
| PepsiCo, Inc. | | | |
| 0.75%, 05/01/23 | 145,000 | | 146,381 |
| Phillips 66 | | | |
| (Floating, ICE LIBOR USD 3M + 0.60%), 0.96%, 02/26/21† | 595,000 | | 594,169 |
| | | Par | | Value |
| Prime Security Services Borrower LLC | | | |
| 5.25%, 04/15/24 144A | $ 250,000 | | $ 256,276 |
| Protective Life Global Funding | | | |
| 2.62%, 08/22/22 144A | 575,000 | | 597,933 |
| 1.08%, 06/09/23 144A | 395,000 | | 398,345 |
| QUALCOMM, Inc. | | | |
| 3.00%, 05/20/22 | 25,000 | | 26,131 |
| 2.90%, 05/20/24 | 790,000 | | 850,567 |
| Qwest Corporation | | | |
| 6.75%, 12/01/21 | 350,000 | | 369,983 |
| Regions Financial Corporation | | | |
| 2.75%, 08/14/22 | 1,700,000 | | 1,771,236 |
| Reliance Standard Life Global Funding II | | | |
| 2.63%, 07/22/22 144A | 995,000 | | 1,022,856 |
| 2.15%, 01/21/23 144A | 465,000 | | 474,581 |
| 2.75%, 01/21/27 144A | 1,700,000 | | 1,667,514 |
| Ryder System, Inc. | | | |
| 2.88%, 06/01/22 | 3,050,000 | | 3,157,350 |
| 2.50%, 09/01/22 | 1,200,000 | | 1,236,009 |
| 2.50%, 09/01/24Δ | 558,000 | | 576,207 |
| Sabine Pass Liquefaction LLC | | | |
| 6.25%, 03/15/22 | 1,100,000 | | 1,172,731 |
| 5.75%, 05/15/24 | 130,000 | | 146,472 |
| Santander Holdings USA, Inc. | | | |
| 4.45%, 12/03/21 | 475,000 | | 495,124 |
| 3.70%, 03/28/22 | 1,115,000 | | 1,148,568 |
| Sempra Energy | | | |
| (Floating, ICE LIBOR USD 3M + 0.50%), 1.72%, 01/15/21† | 630,000 | | 630,115 |
| Simon International Finance SCA REIT | | | |
| 1.38%, 11/18/22(E) | 105,000 | | 118,277 |
| Sirius XM Radio, Inc. | | | |
| 3.88%, 08/01/22 144A | 1,250,000 | | 1,260,844 |
| SLM Corporation | | | |
| 5.13%, 04/05/22 | 404,000 | | 401,222 |
| Smithfield Foods, Inc. | | | |
| 2.65%, 10/03/21 144A | 495,000 | | 489,672 |
| Southern California Edison Co. | | | |
| 2.90%, 03/01/21 | 1,000,000 | | 1,017,359 |
| 1.85%, 02/01/22 | 428,571 | | 428,981 |
| Southwest Airlines Co. | | | |
| 4.75%, 05/04/23 | 675,000 | | 693,866 |
| Spectra Energy Partners LP | | | |
| 4.75%, 03/15/24 | 90,000 | | 100,635 |
| Springleaf Finance Corporation | | | |
| 5.63%, 03/15/23 | 735,000 | | 745,580 |
| Sprint Spectrum Co. LLC | | | |
| 3.36%, 09/20/21 144A | 701,250 | | 710,889 |
| 4.74%, 03/20/25 144A | 445,000 | | 484,545 |
| Starbucks Corporation | | | |
| 1.30%, 05/07/22 | 340,000 | | 344,995 |
| Starwood Property Trust, Inc. REIT | | | |
| 3.63%, 02/01/21 | 270,000 | | 266,254 |
| 5.00%, 12/15/21 | 275,000 | | 267,524 |
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (Continued)
| | | Par | | Value |
| State Street Corporation | | | |
| (Variable, U.S. SOFR + 2.69%), 2.83%, 03/30/23 144A ^ | $ 265,000 | | $ 275,127 |
| Steel Dynamics, Inc. | | | |
| 2.40%, 06/15/25 | 35,000 | | 36,088 |
| Synchrony Financial | | | |
| 2.85%, 07/25/22 | 382,000 | | 388,676 |
| Target Corporation | | | |
| 2.25%, 04/15/25 | 135,000 | | 144,546 |
| Taylor Morrison Communities, Inc. | | | |
| 5.63%, 03/01/24 144A | 200,000 | | 205,729 |
| TerraForm Power Operating LLC | | | |
| 4.25%, 01/31/23 144A | 150,000 | | 152,342 |
| T-Mobile USA, Inc. | | | |
| 1.50%, 02/15/26 144A | 2,100,000 | | 2,105,103 |
| Toll Brothers Finance Corporation | | | |
| 4.38%, 04/15/23 | 200,000 | | 208,229 |
| Truist Financial Corporation | | | |
| 2.20%, 03/16/23 | 1,185,000 | | 1,230,698 |
| Union Pacific Corporation | | | |
| 2.95%, 03/01/22 | 1,838,000 | | 1,910,847 |
| 2.15%, 02/05/27 | 270,000 | | 286,845 |
| US Bank NA | | | |
| 2.05%, 01/21/25 | 1,800,000 | | 1,902,669 |
| Ventas Realty LP REIT | | | |
| 2.65%, 01/15/25Δ | 905,000 | | 908,770 |
| Verizon Communications, Inc. | | | |
| (Floating, ICE LIBOR USD 3M + 1.00%), 1.32%, 03/16/22† | 1,500,000 | | 1,520,414 |
| 5.15%, 09/15/23Δ | 900,000 | | 1,025,467 |
| 3.38%, 02/15/25 | 1,200,000 | | 1,336,036 |
| (Floating, ICE LIBOR USD 3M + 1.10%), 1.49%, 05/15/25† | 1,900,000 | | 1,924,454 |
| Volkswagen Group of America Finance LLC | | | |
| 2.50%, 09/24/21 144A | 410,000 | | 416,633 |
| 2.90%, 05/13/22 144A | 1,330,000 | | 1,373,687 |
| 2.70%, 09/26/22 144A | 2,000,000 | | 2,067,564 |
| 3.13%, 05/12/23 144A | 1,000,000 | | 1,052,459 |
| Waste Management, Inc. | | | |
| 2.95%, 06/15/24Δ | 1,700,000 | | 1,741,299 |
| WEC Energy Group, Inc. | | | |
| 3.38%, 06/15/21 | 555,000 | | 570,594 |
| Wells Fargo & Co. | | | |
| 2.63%, 07/22/22 | 2,000,000 | | 2,084,458 |
| 3.07%, 01/24/23 | 50,000 | | 51,823 |
| 3.75%, 01/24/24 | 220,000 | | 240,540 |
| (Variable, U.S. SOFR + 1.60%), 1.65%, 06/02/24^ | 2,200,000 | | 2,235,738 |
| Wells Fargo Bank NA | | | |
| (Variable, ICE LIBOR USD 3M + 0.49%), 3.33%, 07/23/21^ | 1,320,000 | | 1,322,165 |
| (Variable, ICE LIBOR USD 3M + 0.65%), 2.08%, 09/09/22^ | 1,730,000 | | 1,758,324 |
| Westinghouse Air Brake Technologies Corporation | | | |
| 4.40%, 03/15/24 | 800,000 | | 849,110 |
| | | Par | | Value |
| 3.20%, 06/15/25 | $ 325,000 | | $ 331,546 |
| Williams Cos., Inc. (The) | | | |
| 4.00%, 11/15/21 | 175,000 | | 180,790 |
| 3.70%, 01/15/23 | 80,000 | | 84,646 |
| Wisconsin Electric Power Co. | | | |
| 2.05%, 12/15/24 | 200,000 | | 210,697 |
| WR Grace & Co-Conn | | | |
| 5.13%, 10/01/21 144A | 135,000 | | 142,263 |
| WRKCo, Inc. | | | |
| 3.75%, 03/15/25 | 115,000 | | 127,288 |
| Wyndham Destinations, Inc. | | | |
| 3.90%, 03/01/23 | 150,000 | | 140,384 |
| Xerox Corporation | | | |
| 3.50%, 08/20/20 | 270,000 | | 271,226 |
| Zoetis, Inc. | | | |
| 3.45%, 11/13/20 | 300,000 | | 302,615 |
Total Corporate Bonds
(Cost $237,086,429) | | | 241,143,433 |
| FOREIGN BONDS — 12.2% |
| Australia — 0.7% | | |
| FMG Resources August 2006 Proprietary, Ltd. | | | |
| 5.13%, 05/15/24 144A | 225,000 | | 232,336 |
| Macquarie Group, Ltd. | | | |
| (Floating, ICE LIBOR USD 3M + 1.02%), 1.39%, 11/28/23 144A † | 1,435,000 | | 1,436,005 |
| National Australia Bank, Ltd. | | | |
| 2.25%, 03/16/21 144A | 1,500,000 | | 1,519,485 |
| Telstra Corporation, Ltd. | | | |
| 3.50%, 09/21/22(E) | 200,000 | | 241,114 |
| Westpac Banking Corporation | | | |
| 3.15%, 01/16/24 144A | 1,275,000 | | 1,389,339 |
| Woodside Finance, Ltd. | | | |
| 4.60%, 05/10/21 144A | 1,300,000 | | 1,323,635 |
| 3.70%, 09/15/26 144A | 400,000 | | 423,193 |
| | | | | 6,565,107 |
| Belgium — 0.0% | | |
| KBC Group NV | | | |
| 1.13%, 01/25/24(E) | 200,000 | | 231,042 |
| Bermuda — 0.0% | | |
| Enstar Group, Ltd. | | | |
| 4.50%, 03/10/22 | 275,000 | | 278,738 |
| Brazil — 0.2% | | |
| Banco Bradesco SA | | | |
| 2.85%, 01/27/23 144A | 1,495,000 | | 1,476,776 |
| Itau Unibanco Holding SA | | | |
| 2.90%, 01/24/23 144A | 920,000 | | 911,154 |
| | | | | 2,387,930 |
| Canada — 0.4% | | |
| Bank of Nova Scotia (The) | | | |
| 1.95%, 02/01/23Δ | 1,000,000 | | 1,030,456 |
See Notes to Financial Statements.
| | | Par | | Value |
| National Bank of Canada | | | |
| 2.15%, 10/07/22 144A | $ 630,000 | | $ 648,006 |
| OMERS Finance Trust | | | |
| 1.13%, 04/14/23 144A Δ | 1,770,000 | | 1,796,558 |
| Toronto-Dominion Bank (The) | | | |
| 0.38%, 04/25/24(E) | 305,000 | | 344,160 |
| TransCanada PipeLines, Ltd. | | | |
| 3.75%, 10/16/23 | 45,000 | | 48,643 |
| | | | | 3,867,823 |
| Chile — 0.1% | | |
| Banco del Estado de Chile | | | |
| 2.67%, 01/08/21 144A | 725,000 | | 731,260 |
| Banco Santander Chile | | | |
| 2.50%, 12/15/20 144A | 635,000 | | 640,216 |
| | | | | 1,371,476 |
| China — 0.3% | | |
| Avolon Holdings Funding, Ltd. | | | |
| 5.50%, 01/15/23 144A | 900,000 | | 847,859 |
| Baidu, Inc. | | | |
| 2.88%, 07/06/22 | 235,000 | | 241,051 |
| Park Aerospace Holdings, Ltd. | | | |
| 3.63%, 03/15/21 144A | 700,000 | | 691,002 |
| 5.25%, 08/15/22 144A | 800,000 | | 751,304 |
| | | | | 2,531,216 |
| Denmark — 0.1% | | |
| Danske Bank A/S | | | |
| (Variable, ICE LIBOR USD 3M + 1.25%), 3.00%, 09/20/22 144A ^ | 745,000 | | 756,945 |
| Finland — 0.1% | | |
| Nokia OYJ | | | |
| 3.38%, 06/12/22Δ | 185,000 | | 189,269 |
| Nordea Bank Abp | | | |
| 1.00%, 06/09/23 144A | 355,000 | | 358,709 |
| | | | | 547,978 |
| France — 0.6% | | |
| Air Liquide Finance SA | | | |
| 0.38%, 04/18/22(E) | 100,000 | | 112,938 |
| APRR SA | | | |
| 0.00%, 01/20/23(E) | 100,000 | | 111,751 |
| Autoroutes du Sud de la France SA | | | |
| 2.95%, 01/17/24(E) | 100,000 | | 122,705 |
| Banque Federative du Credit Mutuel | | | |
| 0.13%, 02/05/24(E) | 200,000 | | 224,313 |
| Banque Federative du Credit Mutuel SA | | | |
| 0.75%, 06/15/23(E) | 100,000 | | 114,586 |
| BNP Paribas SA | | | |
| 1.13%, 01/15/23(E) | 230,000 | | 265,690 |
| (Variable, U.S. SOFR + 2.07%), 2.22%, 06/09/26 144A ^ | 325,000 | | 333,194 |
| Capgemini SE | | | |
| 0.63%, 06/23/25(E) | 200,000 | | 224,672 |
| | | Par | | Value |
| Credit Agricole SA | | | |
| 3.38%, 01/10/22 144A | $1,600,000 | | $1,656,724 |
| Dassault Systemes SE | | | |
| 0.00%, 09/16/22(E) | 300,000 | | 336,587 |
| Engie SA | | | |
| 0.38%, 02/28/23(E) | 200,000 | | 226,353 |
| Orange SA | | | |
| 0.50%, 01/15/22(E) | 100,000 | | 113,105 |
| 0.75%, 09/11/23(E) | 500,000 | | 571,348 |
| RTE Reseau de Transport d'Electricite SADIR | | | |
| 4.13%, 02/03/21(E) | 100,000 | | 115,021 |
| Schneider Electric SE | | | |
| 0.00%, 06/12/23(E) | 100,000 | | 112,281 |
| 0.25%, 09/09/24(E) | 200,000 | | 226,210 |
| Societe Generale SA | | | |
| 0.00%, 05/27/22(E) | 300,000 | | 336,258 |
| Thales SA | | | |
| 0.00%, 05/31/22(E) | 100,000 | | 111,901 |
| 0.75%, 06/07/23(E) | 100,000 | | 113,881 |
| Total Capital International SA | | | |
| 2.13%, 03/15/23(E) | 100,000 | | 118,574 |
| 0.25%, 07/12/23(E) | 100,000 | | 113,008 |
| Veolia Environnement SA | | | |
| 0.67%, 03/30/22(E) | 200,000 | | 226,217 |
| | | | | 5,887,317 |
| Germany — 0.4% | | |
| Amphenol Technologies Holding GmbH | | | |
| 0.75%, 05/04/26(E) | 120,000 | | 134,783 |
| BASF SE | | | |
| 2.00%, 12/05/22(E) | 195,000 | | 229,804 |
| 0.10%, 06/05/23(E) | 200,000 | | 225,131 |
| Covestro AG | | | |
| 0.88%, 02/03/26(E) | 70,000 | | 78,544 |
| Deutsche Bank AG | | | |
| 3.15%, 01/22/21 | 1,305,000 | | 1,311,442 |
| 4.25%, 02/04/21 | 410,000 | | 414,663 |
| E.ON SE | | | |
| 0.00%, 10/24/22(E) | 240,000 | | 268,646 |
| Volkswagen Bank GmbH | | | |
| 1.88%, 01/31/24(E) | 300,000 | | 345,420 |
| Volkswagen Leasing GmbH | | | |
| (Floating, 0.45% - Euribor 3M), 0.19%, 08/02/21(E) † | 300,000 | | 334,532 |
| 1.00%, 02/16/23(E) | 460,000 | | 516,189 |
| | | | | 3,859,154 |
| India — 0.1% | | |
| ICICI Bank, Ltd. | | | |
| 3.13%, 08/12/20 | 1,000,000 | | 1,000,895 |
| Shriram Transport Finance Co., Ltd. | | | |
| 5.10%, 07/16/23 144A | 275,000 | | 242,602 |
| | | | | 1,243,497 |
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (Continued)
| | | Par | | Value |
| Indonesia — 0.1% | | |
| Pelabuhan Indonesia III Persero PT | | | |
| 4.50%, 05/02/23 144A | $1,175,000 | | $1,228,245 |
| Ireland — 0.5% | | |
| Abbott Ireland Financing DAC | | | |
| 0.88%, 09/27/23(E) | 200,000 | | 230,013 |
| 0.10%, 11/19/24(E) | 170,000 | | 190,114 |
| AerCap Ireland Capital DAC | | | |
| 5.00%, 10/01/21 | 900,000 | | 910,539 |
| 3.50%, 05/26/22 | 400,000 | | 396,089 |
| 3.30%, 01/23/23 | 155,000 | | 152,264 |
| 2.88%, 08/14/24 | 150,000 | | 140,995 |
| 3.50%, 01/15/25 | 350,000 | | 328,943 |
| Aon PLC | | | |
| 2.80%, 03/15/21 | 225,000 | | 228,918 |
| Eaton Capital Unlimited Co. | | | |
| 0.02%, 05/14/21(E) | 175,000 | | 196,130 |
| ESB Finance DAC | | | |
| 3.49%, 01/12/24(E) | 100,000 | | 125,300 |
| Shire Acquisitions Investments Ireland DAC | | | |
| 2.88%, 09/23/23 | 200,000 | | 212,089 |
| SMBC Aviation Capital Finance DAC | | | |
| 2.65%, 07/15/21 144A | 390,000 | | 391,788 |
| 3.00%, 07/15/22 144A | 540,000 | | 542,952 |
| 3.55%, 04/15/24 144A | 800,000 | | 819,610 |
| Willis Towers Watson PLC | | | |
| 5.75%, 03/15/21 | 131,000 | | 135,203 |
| | | | | 5,000,947 |
| Japan — 1.9% | | |
| Aircastle, Ltd. | | | |
| 5.13%, 03/15/21 | 2,000,000 | | 2,008,302 |
| Central Nippon Expressway Co., Ltd. | | | |
| (Floating, ICE LIBOR USD 3M + 0.85%), 1.16%, 09/14/21† | 1,000,000 | | 1,006,911 |
| (Floating, ICE LIBOR USD 3M + 0.56%), 1.03%, 11/02/21† | 1,000,000 | | 1,001,640 |
| 2.85%, 03/03/22 | 2,000,000 | | 2,053,230 |
| Mitsubishi UFJ Financial Group, Inc. | | | |
| 3.54%, 07/26/21 | 65,000 | | 67,097 |
| 3.22%, 03/07/22 | 560,000 | | 584,285 |
| 2.62%, 07/18/22 | 1,635,000 | | 1,699,598 |
| 2.67%, 07/25/22 | 2,000,000 | | 2,080,558 |
| Mitsubishi UFJ Lease & Finance Co., Ltd. | | | |
| 2.25%, 09/07/21Δ | 500,000 | | 507,363 |
| Mizuho Financial Group, Inc. | | | |
| (Floating, ICE LIBOR USD 3M + 0.88%), 1.19%, 09/11/22† | 1,000,000 | | 1,003,358 |
| (Variable, ICE LIBOR USD 3M + 0.84%), 2.72%, 07/16/23^ | 1,190,000 | | 1,230,544 |
| 0.52%, 06/10/24(E) | 100,000 | | 112,131 |
| Nomura Holdings, Inc. | | | |
| 2.65%, 01/16/25 | 600,000 | | 626,262 |
| NTT Finance Corporation | | | |
| 1.90%, 07/21/21 | 500,000 | | 506,125 |
| ORIX Corporation | | | |
| 3.20%, 01/19/22 | 700,000 | | 721,266 |
| | | Par | | Value |
| Sumitomo Mitsui Financial Group, Inc. | | | |
| 2.06%, 07/14/21 | $1,100,000 | | $ 1,118,974 |
| 2.85%, 01/11/22 | 1,600,000 | | 1,653,432 |
| Takeda Pharmaceutical Co., Ltd. | | | |
| 4.00%, 11/26/21 | 1,100,000 | | 1,148,639 |
| | | | | 19,129,715 |
| Netherlands — 1.5% | | |
| Airbus SE | | | |
| 1.38%, 06/09/26(E) | 100,000 | | 113,943 |
| Allianz Finance II BV | | | |
| 0.25%, 06/06/23(E) | 200,000 | | 226,920 |
| 0.00%, 01/14/25(E) | 100,000 | | 112,630 |
| BMW Finance NV | | | |
| 2.25%, 08/12/22 144A Δ | 1,270,000 | | 1,306,703 |
| 0.00%, 04/14/23(E) | 290,000 | | 322,470 |
| Conti-Gummi Finance BV | | | |
| 1.13%, 09/25/24(E) | 110,000 | | 123,433 |
| Cooperatieve Rabobank UA | | | |
| (Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.00%), 1.34%, 06/24/26 144A ^ | 910,000 | | 912,903 |
| Daimler International Finance BV | | | |
| 0.25%, 08/09/21(E) | 25,000 | | 28,081 |
| 0.25%, 11/06/23(E) | 90,000 | | 98,630 |
| Deutsche Telekom International Finance BV | | | |
| 4.25%, 07/13/22(E) | 320,000 | | 389,275 |
| Enel Finance International NV | | | |
| 2.88%, 05/25/22 144A | 1,715,000 | | 1,774,728 |
| 4.25%, 09/14/23 144A | 400,000 | | 435,578 |
| 0.00%, 06/17/24(E) | 300,000 | | 333,325 |
| Fiat Chrysler Automobiles NV | | | |
| 3.38%, 07/07/23 | 300,000 | | 300,000 |
| ING Bank NV | | | |
| 0.00%, 04/08/22(E) | 100,000 | | 112,132 |
| (Floating, 0.40% - Euribor 3M), 0.08%, 04/08/22(E) † | 200,000 | | 225,030 |
| (Variable, EUR Swap Rate 5Y + 2.25%), 3.63%, 02/25/26(E) ^ | 200,000 | | 228,392 |
| ING Groep NV | | | |
| 1.00%, 09/20/23(E) | 200,000 | | 229,637 |
| innogy Finance BV | | | |
| 0.75%, 11/30/22(E) | 50,000 | | 56,825 |
| LeasePlan Corporation NV | | | |
| 2.88%, 10/24/24 144A | 1,900,000 | | 1,945,138 |
| Mylan NV | | | |
| 3.15%, 06/15/21 | 2,000,000 | | 2,041,990 |
| NXP BV | | | |
| 4.13%, 06/01/21 144A | 500,000 | | 515,034 |
| 3.88%, 09/01/22 144A | 300,000 | | 317,268 |
| 2.70%, 05/01/25 144A | 50,000 | | 52,496 |
| 3.88%, 06/18/26 144A | 300,000 | | 336,231 |
| Redexis Gas Finance BV | | | |
| 1.88%, 05/28/25(E) | 100,000 | | 116,145 |
| RELX Finance BV | | | |
| 0.00%, 03/18/24(E) | 100,000 | | 110,931 |
See Notes to Financial Statements.
| | | Par | | Value |
| Siemens Financieringsmaatschappij NV | | | |
| 0.00%, 09/05/21(E) | $ 376,000 | | $ 422,639 |
| 0.00%, 02/20/23(E) | 300,000 | | 336,786 |
| 0.38%, 09/06/23(E) | 235,000 | | 267,171 |
| Upjohn Finance BV | | | |
| 0.82%, 06/23/22(E) | 220,000 | | 248,704 |
| Vonovia Finance BV | | | |
| 0.13%, 04/06/23(E) | 200,000 | | 223,305 |
| | | | | 14,264,473 |
| New Zealand — 0.1% | | |
| ANZ New Zealand International, Ltd. | | | |
| 1.90%, 02/13/23 144A | 1,260,000 | | 1,295,041 |
| Norway — 0.0% | | |
| Telenor ASA | | | |
| 0.00%, 09/25/23(E) | 100,000 | | 112,221 |
| Peru — 0.1% | | |
| Fondo MIVIVIENDA SA | | | |
| 3.50%, 01/31/23 144A | 690,000 | | 710,634 |
| Qatar — 0.3% | | |
| QNB Finance, Ltd. | | | |
| (Floating, ICE LIBOR USD 3M + 1.00%), 1.56%, 05/02/22† | 3,000,000 | | 2,971,175 |
| Singapore — 0.1% | | |
| BOC Aviation, Ltd. | | | |
| 3.00%, 05/23/22 | 700,000 | | 711,987 |
| South Korea — 0.3% | | |
| Industrial Bank of Korea | | | |
| 2.13%, 10/23/24 144A | 3,100,000 | | 3,252,377 |
| Spain — 0.1% | | |
| Amadeus Capital Markets SAU | | | |
| 1.63%, 11/17/21(E) | 100,000 | | 113,344 |
| Amadeus IT Group SA | | | |
| 2.50%, 05/20/24(E) Δ | 200,000 | | 232,513 |
| Banco de Sabadell SA | | | |
| (Variable, 0.97% - EUR Swap Rate 1Y), 0.63%, 11/07/25(E) ^ | 100,000 | | 106,762 |
| Banco Santander SA | | | |
| 2.71%, 06/27/24 | 400,000 | | 420,665 |
| 2.75%, 05/28/25 | 400,000 | | 415,002 |
| | | | | 1,288,286 |
| Sweden — 0.4% | | |
| Atlas Copco AB | | | |
| 2.50%, 02/28/23(E) | 255,000 | | 305,108 |
| Stadshypotek AB | | | |
| 2.50%, 04/05/22 144A Δ | 1,000,000 | | 1,035,781 |
| Svenska Handelsbanken AB | | | |
| 0.63%, 06/30/23 144A | 1,275,000 | | 1,274,584 |
| Swedbank AB | | | |
| 1.30%, 06/02/23 144A | 440,000 | | 445,606 |
| Telefonaktiebolaget LM Ericsson | | | |
| 4.13%, 05/15/22 | 155,000 | | 162,768 |
| | | Par | | Value |
| Volvo Treasury AB | | | |
| (Floating, 0.65% - Euribor 3M), 0.29%, 09/13/21(E) † | $ 200,000 | | $ 224,572 |
| | | | | 3,448,419 |
| Switzerland — 0.6% | | |
| Credit Suisse AG | | | |
| 2.80%, 04/08/22 | 1,085,000 | | 1,125,948 |
| 1.00%, 05/05/23 | 1,645,000 | | 1,654,636 |
| Credit Suisse Group AG | | | |
| 3.57%, 01/09/23 144A | 750,000 | | 778,389 |
| Credit Suisse Group Funding Guernsey, Ltd. | | | |
| 3.80%, 09/15/22 | 1,650,000 | | 1,753,817 |
| UBS AG | | | |
| 1.75%, 04/21/22 144A | 625,000 | | 637,113 |
| UBS Group AG | | | |
| (Variable, ICE LIBOR USD 3M + 0.95%), 2.86%, 08/15/23 144A ^ | 365,000 | | 378,364 |
| | | | | 6,328,267 |
| United Arab Emirates — 0.1% | | |
| Abu Dhabi Government International Bond | | | |
| 2.50%, 10/11/22 144A | 655,000 | | 677,840 |
| United Kingdom — 3.1% | | |
| Barclays Bank PLC | | | |
| 2.65%, 01/11/21 | 700,000 | | 707,006 |
| Barclays PLC | | | |
| (Variable, ICE LIBOR USD 3M + 1.40%), 4.61%, 02/15/23^ | 600,000 | | 631,895 |
| (Variable, ICE LIBOR USD 3M + 1.36%), 4.34%, 05/16/24^ | 900,000 | | 969,844 |
| BG Energy Capital PLC | | | |
| 4.00%, 10/15/21 144A | 1,000,000 | | 1,037,295 |
| BP Capital Markets PLC | | | |
| 1.53%, 09/26/22(E) | 360,000 | | 416,456 |
| 1.11%, 02/16/23(E) | 170,000 | | 195,531 |
| CK Hutchison International 17 II, Ltd. | | | |
| 2.25%, 09/29/20 144A | 990,000 | | 991,595 |
| HSBC Holdings PLC | | | |
| (Variable, ICE LIBOR USD 3M + 1.06%), 3.26%, 03/13/23^ | 270,000 | | 279,778 |
| 3.60%, 05/25/23 | 3,000,000 | | 3,220,832 |
| Lloyds Banking Group PLC | | | |
| (Variable, ICE LIBOR USD 3M + 1.25%), 2.86%, 03/17/23^ | 2,500,000 | | 2,576,225 |
| (Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.10%), 1.33%, 06/15/23^ | 200,000 | | 201,242 |
| Motability Operations Group PLC | | | |
| 1.63%, 06/09/23(E) | 240,000 | | 282,555 |
| National Grid Electricity Transmission PLC | | | |
| 0.19%, 01/20/25(E) | 100,000 | | 112,706 |
| Nationwide Building Society | | | |
| 2.00%, 01/27/23 144A | 900,000 | | 927,613 |
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (Continued)
| | | Par | | Value |
| 1.70%, 02/13/23 144A | $2,900,000 | | $ 2,989,045 |
| (Variable, ICE LIBOR USD 3M + 1.18%), 3.62%, 04/26/23 144A ^ | 1,500,000 | | 1,559,382 |
| NatWest Markets PLC | | | |
| 3.63%, 09/29/22 144A | 635,000 | | 665,997 |
| 2.38%, 05/21/23 144A | 1,800,000 | | 1,844,028 |
| Royal Bank of Scotland Group PLC | | | |
| (Floating, ICE LIBOR USD 3M + 1.47%), 1.86%, 05/15/23† | 1,810,000 | | 1,811,455 |
| 3.88%, 09/12/23 | 240,000 | | 258,911 |
| (Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 2.15%), 2.36%, 05/22/24^ | 375,000 | | 385,260 |
| Santander UK Group Holdings PLC | | | |
| 2.88%, 08/05/21 | 3,500,000 | | 3,579,185 |
| 3.57%, 01/10/23 | 350,000 | | 363,338 |
| (Variable, ICE LIBOR USD 3M + 1.08%), 3.37%, 01/05/24^ | 215,000 | | 225,637 |
| Santander UK PLC | | | |
| 1.63%, 02/12/23 144A | 2,100,000 | | 2,155,407 |
| Sky, Ltd. | | | |
| 1.50%, 09/15/21(E) | 100,000 | | 114,132 |
| Standard Chartered PLC | | | |
| (Variable, ICE LIBOR USD 3M + 1.20%), 2.74%, 09/10/22 144A ^ | 2,300,000 | | 2,326,957 |
| | | | | 30,829,307 |
Total Foreign Bonds
(Cost $118,692,397) | | 120,777,157 |
| MORTGAGE-BACKED SECURITIES — 19.6% |
| 1211 Avenue of the Americas Trust, Series 2015-1211, Class A1A2 | | | |
| 3.90%, 08/10/35 144A | 447,000 | | 494,803 |
| 280 Park Avenue Mortgage Trust, Series 2017-280P, Class D | | | |
| (Floating, ICE LIBOR USD 1M + 1.54%, 1.54% Floor), 1.72%, 09/15/34 144A † | 315,000 | | 305,281 |
| American Home Mortgage Assets Trust, Series 2006-5, Class A1 | | | |
| (Floating, Federal Reserve U.S. 12 1Y CMT + 0.92%, 0.92% Floor), 2.42%, 11/25/46† | 632,746 | | 274,343 |
| Americold LLC, Series 2010-ARTA, Class A1 | | | |
| 3.85%, 01/14/29 144A | 122,821 | | 122,928 |
| AOA Mortgage Trust, Series 2015-1177, Class A | | | |
| 2.96%, 12/13/29 144A | 1,330,000 | | 1,339,932 |
| Banc of America Funding Trust, Series 2006-J, Class 4A1 | | | |
| 4.18%, 01/20/47† γ | 160,417 | | 151,581 |
| Banc of America Mortgage Trust, Series 2003-L, Class 3A1 | | | |
| 3.99%, 01/25/34† γ | 25,077 | | 23,700 |
| | | Par | | Value |
| Banc of America Mortgage Trust, Series 2004-2, Class 5A1 | | | |
| 6.50%, 10/25/31 | $ 25,624 | | $ 27,064 |
| Bancorp Commercial Mortgage Trust, Series 2019-CRE6, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 1.05%, 1.05% Floor), 1.23%, 09/15/36 144A † | 393,068 | | 377,605 |
| BANK, Series 2019-BN18, Class A2 | | | |
| 3.47%, 05/15/62 | 610,000 | | 660,028 |
| BBCMS Trust, Series 2013-TYSN, Class E | | | |
| 3.71%, 09/05/32 144A | 200,000 | | 197,758 |
| Bear Stearns ALT-A Trust, Series 2004-10, Class 2A1 | | | |
| (Floating, ICE LIBOR USD 1M + 0.66%, 0.33% Floor, 11.50% Cap), 0.84%, 09/25/34† | 93,180 | | 93,109 |
| Bear Stearns ARM Trust, Series 2003-8, Class 4A1 | | | |
| 4.18%, 01/25/34† γ | 96,806 | | 96,137 |
| Bear Stearns ARM Trust, Series 2004-5, Class 2A | | | |
| 3.53%, 07/25/34† γ | 83,229 | | 81,008 |
| Bear Stearns Commercial Mortgage Securities Trust, Series 2007-T26, Class AM | | | |
| 5.51%, 01/12/45† γ | 121,032 | | 112,107 |
| Brass No. 8 PLC, Class A1 | | | |
| (Floating, ICE LIBOR USD 3M + 0.70%), 1.09%, 11/16/66 144A † | 258,821 | | 259,246 |
| BX Commercial Mortgage Trust, Series 2019-XL, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 0.92%, 0.92% Floor), 1.10%, 10/15/36 144A † | 1,710,167 | | 1,701,661 |
| BX Commercial Mortgage Trust, Series 2019-XL, Class B | | | |
| (Floating, ICE LIBOR USD 1M + 1.08%, 1.08% Floor), 1.26%, 10/15/36 144A † | 640,118 | | 630,770 |
| BX Commercial Mortgage Trust, Series 2019-XL, Class D | | | |
| (Floating, ICE LIBOR USD 1M + 1.45%, 1.45% Floor), 1.63%, 10/15/36 144A † | 749,989 | | 733,717 |
| BX Commercial Mortgage Trust, Series 2020-BXLP, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 0.80%, 0.80% Floor), 0.98%, 12/15/36 144A † | 865,000 | | 858,598 |
| BX Commercial Mortgage Trust, Series 2020-BXLP, Class E | | | |
| (Floating, ICE LIBOR USD 1M + 1.60%, 1.60% Floor), 1.78%, 12/15/36 144A † | 350,000 | | 336,537 |
See Notes to Financial Statements.
| | | Par | | Value |
| Canterbury Finance PLC, No. 1, Class A2 | | | |
| (Floating, SONIA Deposit Rates Swap 3M + 1.35%), 1.64%, 05/16/56(U) † | $1,000,000 | | $1,222,351 |
| CFCRE Commercial Mortgage Trust, Series 2017-C8, Class ASB | | | |
| 3.37%, 06/15/50 | 1,500,000 | | 1,613,184 |
| Chase Home Lending Mortgage Trust, Series 2019-ATR2, Class A11 | | | |
| (Floating, ICE LIBOR USD 1M + 0.90%, 6.50% Cap), 1.08%, 07/25/49 144A † | 164,317 | | 163,340 |
| Chase Home Lending Mortgage Trust, Series 2019-ATR2, Class A3 | | | |
| 3.50%, 07/25/49 144A † γ | 335,682 | | 344,263 |
| CHC Commercial Mortgage Trust, Series 2019-CHC, Class D | | | |
| (Floating, ICE LIBOR USD 1M + 2.05%, 2.05% Floor), 2.23%, 06/15/34 144A † | 2,130,805 | | 1,889,055 |
| CHL Mortgage Pass-Through Trust, Series 2004-29, Class 1A1 | | | |
| (Floating, ICE LIBOR USD 1M + 0.54%, 0.27% Floor, 11.50% Cap), 0.72%, 02/25/35† | 60,656 | | 55,830 |
| Citigroup Commercial Mortgage Trust, Series 2016-P4, Class A4 | | | |
| 2.90%, 07/10/49 | 641,000 | | 687,446 |
| Citigroup Commercial Mortgage Trust, Series 2016-P5, Class AAB | | | |
| 2.84%, 10/10/49 | 1,010,000 | | 1,058,452 |
| COMM Mortgage Trust, Series 2012-CR4, Class ASB | | | |
| 2.44%, 10/15/45 | 340,260 | | 344,793 |
| COMM Mortgage Trust, Series 2013-300P, Class A1 | | | |
| 4.35%, 08/10/30 144A | 515,000 | | 553,278 |
| COMM Mortgage Trust, Series 2013-CR8, Class A5 | | | |
| 3.61%, 06/10/46 | 750,000 | | 796,763 |
| COMM Mortgage Trust, Series 2013-SFS, Class A1 | | | |
| 1.87%, 04/12/35 144A | 245,085 | | 243,159 |
| COMM Mortgage Trust, Series 2014-CR17, Class ASB | | | |
| 3.60%, 05/10/47 | 1,196,787 | | 1,244,720 |
| COMM Mortgage Trust, Series 2014-CR21, Class A3 | | | |
| 3.53%, 12/10/47 | 573,965 | | 618,527 |
| COMM Mortgage Trust, Series 2014-UBS3, Class ASB | | | |
| 3.37%, 06/10/47 | 827,954 | | 856,563 |
| COMM Mortgage Trust, Series 2014-UBS5, Class ASB | | | |
| 3.55%, 09/10/47 | 326,850 | | 340,015 |
| COMM Mortgage Trust, Series 2015-CR24, Class ASB | | | |
| 3.45%, 08/10/48 | 480,000 | | 503,560 |
| COMM Mortgage Trust, Series 2015-CR25, Class ASB | | | |
| 3.54%, 08/10/48 | 1,160,000 | | 1,227,548 |
| | | Par | | Value |
| COMM Trust, Series 2013-GAM, Class A1 | | | |
| 1.71%, 02/10/28 144A | $ 131,958 | | $ 131,354 |
| COMM, Series 2015-PC1, Class A4 | | | |
| 3.62%, 07/10/50 | 585,000 | | 619,842 |
| Connecticut Avenue Securities Trust, Series 2019-R07, Class 1M1 | | | |
| (Floating, ICE LIBOR USD 1M + 0.77%), 0.95%, 10/25/39 144A † | 1,174,008 | | 1,174,973 |
| Connecticut Avenue Securities Trust, Series 2020-R01, Class 1M1 | | | |
| (Floating, ICE LIBOR USD 1M + 0.80%, 0.80% Floor), 0.98%, 01/25/40 144A † | 672,242 | | 671,146 |
| Connecticut Avenue Securities Trust, Series 2020-R02, Class 2M1 | | | |
| (Floating, ICE LIBOR USD 1M + 0.75%), 0.93%, 01/25/40 144A † | 623,856 | | 619,876 |
| CSAIL Commercial Mortgage Trust, Series 2015-C1, Class A4 | | | |
| 3.51%, 04/15/50 | 280,000 | | 302,696 |
| CSAIL Commercial Mortgage Trust, Series 2016-C6, Class XA | | | |
| 2.06%, 01/15/49† IO γ | 752,071 | | 56,011 |
| CSAIL Commercial Mortgage Trust, Series 2019-C15, Class A1 | | | |
| 2.99%, 03/15/52 | 861,322 | | 878,426 |
| Deutsche Alt-B Securities Mortgage Loan Trust Series, Series 2006-AB4, Class A6A1 | | | |
| (Step to 5.48% on 08/25/20), 5.87%, 10/25/36 STEP | 161,397 | | 152,779 |
| Deutsche Alt-B Securities Mortgage Loan Trust Series, Series 2006-AB4, Class A6A2 | | | |
| (Step to 5.48% on 08/25/20), 5.89%, 10/25/36 STEP | 161,398 | | 152,777 |
| Exantas Capital Corporation, Ltd., Series 2018-RSO6, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 0.83%, 0.83% Floor), 1.02%, 06/15/35 144A † | 25,063 | | 25,101 |
| Federal Home Loan Mortgage Corporation | | | |
| 5.50%, 05/01/22 | 5,543 | | 5,583 |
| (Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.36%, 2.36% Floor, 13.19% Cap), 4.14%, 07/01/27† | 1,754 | | 1,755 |
| 2.50%, 11/01/27 | 949,926 | | 1,013,004 |
| 2.50%, 08/01/31 | 3,434,216 | | 3,603,511 |
| (Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.25%, 2.25% Floor, 11.06% Cap), 4.04%, 11/01/31† | 21,163 | | 21,279 |
| (Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.25%, 2.25% Floor, 10.96% Cap), 3.75%, 04/01/32† | 4,939 | | 4,974 |
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (Continued)
| | | Par | | Value |
| (Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.04%, 2.04% Floor, 9.74% Cap), 3.20%, 06/01/33† | $ 325,040 | | $ 338,799 |
| (Floating, ICE LIBOR USD 1Y + 1.75%, 1.75% Floor, 10.70% Cap), 3.57%, 08/01/35† | 100,942 | | 105,887 |
| (Floating, ICE LIBOR USD 1Y + 1.35%, 1.35% Floor, 10.36% Cap), 3.64%, 09/01/35† | 97,172 | | 100,784 |
| (Floating, ICE LIBOR USD 1Y + 1.63%, 1.63% Floor, 10.80% Cap), 3.94%, 10/01/35† | 112,760 | | 118,384 |
| 4.50%, 07/01/47 | 84,957 | | 95,238 |
| 4.50%, 03/01/49 | 6,624,399 | | 7,414,352 |
| Federal Home Loan Mortgage Corporation REMIC, Series 3228 | | | |
| (Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor, 6.50% Cap), 0.68%, 10/15/36† | 1,318,003 | | 1,321,674 |
| Federal Home Loan Mortgage Corporation REMIC, Series 3710 | | | |
| 4.00%, 08/15/25 STEP | 79,416 | | 85,521 |
| Federal Home Loan Mortgage Corporation REMIC, Series 3959 | | | |
| 4.50%, 11/15/41 | 220,901 | | 243,940 |
| Federal Home Loan Mortgage Corporation REMIC, Series 3986 | | | |
| 4.50%, 09/15/41 | 263,472 | | 280,448 |
| Federal Home Loan Mortgage Corporation REMIC, Series 4459 | | | |
| 3.00%, 08/15/43 | 452,304 | | 484,585 |
| Federal Home Loan Mortgage Corporation REMIC, Series 4493 | | | |
| 3.00%, 02/15/44 | 372,147 | | 394,718 |
| Federal Home Loan Mortgage Corporation REMIC, Series 4494 | | | |
| 3.75%, 10/15/42 | 405,275 | | 422,952 |
| Federal Home Loan Mortgage Corporation REMIC, Series 4777 | | | |
| 3.50%, 10/15/45 | 1,820,671 | | 1,916,132 |
| Federal Home Loan Mortgage Corporation REMIC, Series 4904 | | | |
| (Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor, 6.50% Cap), 0.63%, 06/15/49† | 1,479,640 | | 1,481,672 |
| Federal Home Loan Mortgage Corporation REMIC, Series 4948 | | | |
| 2.50%, 10/25/48 | 2,621,947 | | 2,667,199 |
| Federal Home Loan Mortgage Corporation REMIC, Series 4950 | | | |
| 2.50%, 06/25/34 | 2,619,937 | | 2,647,619 |
| Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2019-HQA4 | | | |
| (Floating, ICE LIBOR USD 1M + 0.77%), 0.95%, 11/25/49 144A † | 129,768 | | 129,238 |
| | | Par | | Value |
| Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA1 | | | |
| (Floating, ICE LIBOR USD 1M + 1.70%), 1.88%, 01/25/50 144A † | $ 490,000 | | $ 473,367 |
| Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA2 | | | |
| (Floating, ICE LIBOR USD 1M + 1.85%, 1.85% Floor), 2.03%, 02/25/50 144A † | 230,000 | | 221,040 |
| Federal Home Loan Mortgage Corporation STACR Trust, Series 2019-DNA4 | | | |
| (Floating, ICE LIBOR USD 1M + 1.95%), 2.13%, 10/25/49 144A † | 750,610 | | 742,563 |
| Federal National Mortgage Association | | | |
| 5.00%, 05/01/21 | 22 | | 23 |
| 5.00%, 11/01/21 | 69 | | 72 |
| (Floating, Federal Reserve U.S. 12 1Y CMT + 2.02%, 2.02% Floor, 10.93% Cap), 3.95%, 12/01/24 CONV † | 3,379 | | 3,380 |
| 2.50%, 12/01/27 | 605,895 | | 636,200 |
| 3.00%, 09/01/30 | 285,571 | | 303,697 |
| 3.00%, 02/01/31 | 1,585,321 | | 1,672,015 |
| 3.00%, 04/01/31 | 24,913 | | 26,478 |
| 2.50%, 07/01/31 | 2,316,972 | | 2,430,785 |
| (Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.22%, 2.22% Floor, 11.69% Cap), 3.90%, 09/01/31† | 33,366 | | 33,599 |
| 2.50%, 10/01/31 | 642,017 | | 674,239 |
| 2.50%, 11/01/31 | 1,257,623 | | 1,335,610 |
| 2.50%, 01/01/32 | 11,589 | | 12,166 |
| 3.00%, 03/01/32 | 930,157 | | 991,937 |
| (Floating, ICE LIBOR USD 1M + 1.31%, 1.31% Floor, 11.27% Cap), 2.31%, 08/01/32† | 278,473 | | 280,516 |
| 3.00%, 11/01/32 | 83,898 | | 88,484 |
| 3.00%, 12/01/32 | 1,214,196 | | 1,289,797 |
| (Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.25%, 2.25% Floor, 9.73% Cap), 3.88%, 12/01/32† | 262,626 | | 264,506 |
| 3.00%, 02/01/33 | 2,931,146 | | 3,081,646 |
| (Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.41%, 2.41% Floor, 9.36% Cap), 3.78%, 06/01/33† | 9,378 | | 9,445 |
| 2.50%, 08/01/33 | 1,612,097 | | 1,693,634 |
| 4.00%, 09/01/33 | 2,974,674 | | 3,150,299 |
| 4.00%, 03/01/34 | 79,845 | | 85,334 |
| 4.00%, 05/01/34 | 850,179 | | 926,923 |
See Notes to Financial Statements.
| | | Par | | Value |
| (Floating, ICE LIBOR USD 1Y + 1.66%, 1.66% Floor, 10.09% Cap), 3.67%, 02/01/35† | $ 125,324 | | $ 131,734 |
| (Floating, ICE LIBOR USD 1Y + 1.61%, 1.61% Floor, 11.11% Cap), 3.86%, 09/01/35† | 24,591 | | 24,845 |
| (Floating, ICE LIBOR USD 1Y + 1.74%, 1.74% Floor, 11.11% Cap), 3.74%, 12/01/35† | 4,693 | | 4,730 |
| (Floating, ICE LIBOR USD 1Y + 1.73%, 1.73% Floor, 9.51% Cap), 3.81%, 05/01/38† | 891,902 | | 943,603 |
| 2.89%, 08/01/42† | 208,939 | | 209,953 |
| (Floating, ICE LIBOR USD 1Y + 1.74%, 1.74% Floor, 8.43% Cap), 3.27%, 09/01/42† | 464,826 | | 489,301 |
| (Floating, ICE LIBOR USD 1Y + 1.70%, 1.70% Floor, 7.71% Cap), 2.71%, 07/01/43† | 759,317 | | 785,627 |
| (Floating, Federal Reserve U.S. 12 1Y CMT + 1.20%, 1.20% Floor, 8.49% Cap), 2.89%, 07/01/44† | 107,014 | | 107,561 |
| (Floating, Federal Reserve U.S. 12 1Y CMT + 1.20%, 1.20% Floor, 9.53% Cap), 2.89%, 10/01/44† | 71,782 | | 72,137 |
| (Floating, ICE LIBOR USD 1Y + 1.59%, 1.59% Floor, 7.67% Cap), 2.67%, 06/01/45† | 953,255 | | 985,477 |
| 4.50%, 03/01/47 | 281,544 | | 309,356 |
| 4.50%, 05/01/47 | 888,910 | | 971,350 |
| 4.50%, 07/01/47 | 99,619 | | 110,184 |
| 4.50%, 11/01/47 | 1,039,936 | | 1,142,665 |
| 4.50%, 06/01/48 | 114,712 | | 130,167 |
| 4.50%, 11/01/48 | 363,252 | | 406,534 |
| 4.50%, 02/01/49 | 1,001,472 | | 1,150,674 |
| 4.50%, 04/01/49 | 262,529 | | 301,645 |
| Federal National Mortgage Association REMIC, Series 2006-98 | | | |
| (Floating, ICE LIBOR USD 1M + 0.43%, 0.43% Floor, 7.00% Cap), 0.61%, 10/25/36† | 175,885 | | 176,846 |
| Federal National Mortgage Association REMIC, Series 2007-100 | | | |
| (Floating, ICE LIBOR USD 1M + 0.55%, 0.55% Floor, 7.00% Cap), 0.73%, 10/25/37† | 287,081 | | 290,120 |
| Federal National Mortgage Association REMIC, Series 2011-48 | | | |
| 4.00%, 06/25/26 STEP | 141,217 | | 151,711 |
| Federal National Mortgage Association REMIC, Series 2012-79 | | | |
| (Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor, 6.50% Cap), 0.63%, 07/25/42† | 221,597 | | 221,572 |
| | | Par | | Value |
| Federal National Mortgage Association REMIC, Series 2015-38 | | | |
| (Floating, ICE LIBOR USD 1M + 0.31%, 0.31% Floor), 0.68%, 06/25/55† | $ 257,742 | | $ 257,044 |
| Federal National Mortgage Association REMIC, Series 2016-11 | | | |
| (Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor), 0.87%, 03/25/46† | 1,241,221 | | 1,241,685 |
| Federal National Mortgage Association REMIC, Series 2016-40 | | | |
| (Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor), 0.82%, 07/25/46† | 1,621,765 | | 1,620,419 |
| Federal National Mortgage Association REMIC, Series 2018-21 | | | |
| 3.50%, 04/25/45 | 949,099 | | 986,240 |
| Federal National Mortgage Association REMIC, Series 2019-30 | | | |
| (Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor, 6.50% Cap), 0.68%, 07/25/49† | 1,454,731 | | 1,455,871 |
| Federal National Mortgage Association REMIC, Series 2019-53 | | | |
| (Floating, ICE LIBOR USD 1M + 0.40%, 0.40% Floor), 0.77%, 09/25/49† | 2,030,556 | | 2,031,082 |
| Federal National Mortgage Association REMIC, Series 2019-60 | | | |
| (Floating, ICE LIBOR USD 1M + 0.40%, 0.40% Floor), 0.77%, 10/25/59† | 1,990,074 | | 1,980,869 |
| FHLMC Multifamily Structured Pass-Through Certificates, Series KIR2 | | | |
| 2.75%, 03/25/27 | 371,344 | | 395,182 |
| FHLMC Multifamily Structured Pass-Through Certificates, Series KJ18 | | | |
| 3.07%, 08/25/22 | 289,855 | | 301,477 |
| FHLMC Structured Pass-Through Certificates, Series T-56 | | | |
| (Floating, ICE LIBOR USD 1M + 1.00%, 1.00% Floor, 8.50% Cap), 1.18%, 05/25/43† | 417,773 | | 427,397 |
| FHLMC Structured Pass-Through Certificates, Series T-61, Class 1A1 | | | |
| (Floating, Federal Reserve U.S. 12 1Y CMT + 1.40%, 1.40% Floor), 2.90%, 07/25/44† | 444,610 | | 461,882 |
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (Continued)
| | | Par | | Value |
| Finsbury Square PLC, Series 2020-2A, Class A | | | |
| (Floating, SONIA Deposit Rates Swap 3M + 1.30%), 1.38%, 06/16/70(U) 144A † | $1,200,000 | | $1,488,411 |
| First Horizon Alternative Mortgage Securities Trust, Series 2004-AA1, Class A1 | | | |
| 3.26%, 06/25/34† γ | 123,170 | | 120,121 |
| Flagstar Mortgage Trust, Series 2018-4, Class A4 | | | |
| 4.00%, 07/25/48 144A | 215,079 | | 215,988 |
| FNBA Mortgage Loan Trust, Series 2004-AR1, Class A2 | | | |
| (Floating, ICE LIBOR USD 1M + 0.40%, 0.40% Floor, 10.50% Cap), 0.59%, 08/19/34† | 159,943 | | 159,124 |
| Freddie Mac STACR REMIC Trust 2020-DNA3, Class M1 | | | |
| 1.67%, 06/25/50 144A | 304,500 | | 304,500 |
| FREMF Mortgage Trust, Series 2012-K18, Class B | | | |
| 4.39%, 01/25/45 144A † γ | 240,000 | | 248,995 |
| FREMF Mortgage Trust, Series 2012-K19, Class B | | | |
| 4.16%, 05/25/45 144A † γ | 145,000 | | 150,694 |
| FREMF Mortgage Trust, Series 2012-K20, Class B | | | |
| 4.00%, 05/25/45 144A † γ | 135,000 | | 140,354 |
| FREMF Mortgage Trust, Series 2013-K27, Class B | | | |
| 3.62%, 01/25/46 144A † γ | 130,000 | | 135,857 |
| FREMF Mortgage Trust, Series 2013-K31, Class B | | | |
| 3.74%, 07/25/46 144A † γ | 105,000 | | 110,582 |
| Gosforth Funding PLC, Series 2018-1A, Class A1 | | | |
| (Floating, ICE LIBOR USD 3M + 0.45%), 0.81%, 08/25/60 144A † | 417,291 | | 417,243 |
| 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† | 222 | | 224 |
| 3.00%, 03/20/22† | 17,706 | | 17,928 |
| (Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.50% Cap), 3.00%, 01/20/23† | 3,917 | | 3,958 |
| (Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 10.00% Cap), 3.88%, 05/20/24† | 12,779 | | 13,158 |
| (Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.50% Cap), 3.25%, 07/20/25† | 18,403 | | 19,015 |
| (Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.00% Cap), 3.25%, 08/20/25† | 5,810 | | 5,983 |
| | | Par | | Value |
| (Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.00% Cap), 3.13%, 11/20/25† | $ 20,421 | | $ 21,141 |
| (Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.50% Cap), 3.13%, 12/20/26† | 31,322 | | 32,547 |
| (Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.00% Cap), 3.25%, 07/20/27† | 724 | | 753 |
| (Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 10.00% Cap), 3.13%, 10/20/27† | 11,668 | | 12,153 |
| 8.50%, 10/15/29 | 18,566 | | 18,935 |
| 8.50%, 04/15/30 | 2,580 | | 2,592 |
| 8.50%, 05/15/30 | 51,066 | | 53,230 |
| (Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.50% Cap), 3.88%, 05/20/30† | 17,557 | | 18,358 |
| 8.50%, 07/15/30 | 33,364 | | 35,310 |
| 8.50%, 08/15/30 | 3,482 | | 3,545 |
| 8.50%, 11/15/30 | 5,780 | | 6,061 |
| 8.50%, 12/15/30 | 16,402 | | 17,847 |
| 8.50%, 02/15/31 | 13,736 | | 14,331 |
| Government National Mortgage Association, Series 2007-30 | | | |
| (Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor, 6.50% Cap), 0.49%, 05/20/37† | 91,347 | | 91,183 |
| Government National Mortgage Association, Series 2011-H08 | | | |
| (Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor, 10.50% Cap), 0.90%, 02/20/61† | 741,711 | | 743,129 |
| Government National Mortgage Association, Series 2012-102 | | | |
| 3.50%, 08/20/39 | 740,597 | | 757,739 |
| Government National Mortgage Association, Series 2013-H13 | | | |
| (Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 0.45%, 0.45% Floor, 15.00% Cap), 0.62%, 05/20/63† | 1,310,885 | | 1,300,461 |
| Government National Mortgage Association, Series 2016-H07 | | | |
| (Floating, ICE LIBOR USD 1M + 0.77%, 0.77% Floor), 1.07%, 02/20/66† | 152,096 | | 152,316 |
| Government National Mortgage Association, Series 2016-H22 | | | |
| (Floating, ICE LIBOR USD 1M + 0.77%, 0.77% Floor, 7.50% Cap), 1.07%, 10/20/66† | 2,055,393 | | 2,072,941 |
| Government National Mortgage Association, Series 2017-H09 | | | |
| (Floating, ICE LIBOR USD 1Y + 0.75%, 0.75% Floor, 7.50% Cap), 1.90%, 04/20/67† | 2,663,904 | | 2,718,989 |
See Notes to Financial Statements.
| | | Par | | Value |
| Government National Mortgage Association, Series 2017-H10 | | | |
| (Floating, ICE LIBOR USD 1Y + 0.75%, 0.75% Floor, 7.50% Cap), 1.90%, 04/20/67† | $2,986,949 | | $3,048,413 |
| Government National Mortgage Association, Series 2020-17 | | | |
| 2.50%, 10/20/49 | 2,417,559 | | 2,475,479 |
| GPMT, Ltd., Series 2018-FL1, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 0.90%, 0.90% Floor), 1.09%, 11/21/35 144A † | 314,876 | | 312,619 |
| GRACE Mortgage Trust, Series 2014-GRCE, Class A | | | |
| 3.37%, 06/10/28 144A | 1,850,000 | | 1,855,516 |
| GreenPoint Mortgage Funding Trust, Series 2005-AR5, Class 1A1 | | | |
| (Floating, ICE LIBOR USD 1M + 0.54%, 0.27% Floor, 10.50% Cap), 0.72%, 11/25/45† | 117,158 | | 95,645 |
| GreenPoint Mortgage Funding Trust, Series 2006-OH1, Class A1 | | | |
| (Floating, ICE LIBOR USD 1M + 0.18%, 0.18% Floor), 0.36%, 01/25/37† | 331,230 | | 290,077 |
| GS Mortgage Securities Corporation Trust, Series 2012-ALOH, Class A | | | |
| 3.55%, 04/10/34 144A | 680,000 | | 689,013 |
| GS Mortgage Securities Corporation Trust, Series 2017-500K, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 0.70%, 0.70% Floor), 0.88%, 07/15/32 144A † | 1,500,000 | | 1,488,766 |
| GS Mortgage Securities Corporation Trust, Series 2019-SOHO, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 0.90%, 0.90% Floor), 1.08%, 06/15/36 144A † | 536,000 | | 524,118 |
| GS Mortgage Securities Corporation Trust, Series 2019-SOHO, Class C | | | |
| (Floating, ICE LIBOR USD 1M + 1.30%, 1.30% Floor), 1.48%, 06/15/36 144A † | 320,000 | | 302,895 |
| GS Mortgage Securities Trust, Series 2011-GC5, Class AS | | | |
| 5.21%, 08/10/44 144A | 410,000 | | 419,662 |
| GS Mortgage Securities Trust, Series 2013-GC12, Class A3 | | | |
| 2.86%, 06/10/46 | 1,342,000 | | 1,362,985 |
| GS Mortgage Securities Trust, Series 2013-GC13, Class AAB | | | |
| 3.72%, 07/10/46 | 1,552,772 | | 1,603,970 |
| GS Mortgage Securities Trust, Series 2013-GC14, Class A3 | | | |
| 3.53%, 08/10/46 | 23,018 | | 23,010 |
| GS Mortgage Securities Trust, Series 2019-GC38, Class A2 | | | |
| 3.87%, 02/10/52 | 373,644 | | 403,468 |
| | | Par | | Value |
| GSR Mortgage Loan Trust, Series 2004-11, Class 5A1 | | | |
| 4.24%, 09/25/34† γ | $ 165,811 | | $ 161,176 |
| GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1 | | | |
| 4.07%, 09/25/35† γ | 64,295 | | 63,999 |
| Hawaii Hotel Trust, Series 2019-MAUI, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 1.15%, 1.15% Floor), 1.33%, 05/15/38 144A † | 429,000 | | 415,386 |
| Hawksmoor Mortgage Funding 2019-1 PLC | | | |
| (Floating, SONIA Deposit Rates Swap 3M + 1.05%), 1.29%, 05/25/53(U) † | 538,739 | | 668,475 |
| Hawksmoor Mortgages, Series 2019-1A, Class A | | | |
| (Floating, SONIA Deposit Rates Swap 3M + 1.05%), 1.29%, 05/25/53(U) 144A † | 1,257,057 | | 1,559,775 |
| Holmes Master Issuer PLC, Series 2018-2A, Class A2 | | | |
| (Floating, ICE LIBOR USD 3M + 0.42%), 1.64%, 10/15/54 144A † | 1,992,942 | | 1,991,465 |
| Impac CMB Trust, Series 2003-1, Class 1A1 | | | |
| (Floating, ICE LIBOR USD 1M + 0.80%, 0.40% Floor, 11.95% Cap), 0.98%, 03/25/33† | 3,042 | | 3,027 |
| IndyMac INDX Mortgage Loan Trust, Series 2006-AR12, Class A1 | | | |
| (Floating, ICE LIBOR USD 1M + 0.19%, 0.19% Floor), 0.37%, 09/25/46† | 422,069 | | 370,173 |
| IndyMac INDX Mortgage Loan Trust, Series 2007-FLX3, Class A2 | | | |
| (Floating, ICE LIBOR USD 1M + 0.27%, 0.27% Floor), 0.45%, 06/25/37† | 174,642 | | 162,993 |
| JP Morgan Chase Commercial Mortgage Securities Trust, Series 2012-CBX, Class A4 | | | |
| 3.48%, 06/15/45 | 1,234,866 | | 1,261,301 |
| JP Morgan Chase Commercial Mortgage Securities Trust, Series 2012-CBX, Class A4FX | | | |
| 3.48%, 06/15/45 144A | 754,117 | | 770,260 |
| JP Morgan Chase Commercial Mortgage Securities Trust, Series 2012-HSBC, Class D | | | |
| 4.67%, 07/05/32 144A † γ | 610,000 | | 608,285 |
| JP Morgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class ASB | | | |
| 2.55%, 04/15/46 | 774,705 | | 787,644 |
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (Continued)
| | | Par | | Value |
| JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-WPT, Class AFX | | | |
| 4.25%, 07/05/33 144A | $ 190,000 | | $ 201,783 |
| JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-MFP, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 0.96%, 0.96% Floor), 1.14%, 07/15/36 144A † | 1,710,000 | | 1,661,527 |
| JP Morgan Mortgage Trust, Series 2005-A1, Class 6T1 | | | |
| 3.77%, 02/25/35† γ | 21,418 | | 20,186 |
| JP Morgan Mortgage Trust, Series 2016-2, Class A1 | | | |
| 2.72%, 06/25/46 144A † γ | 562,417 | | 581,204 |
| JP Morgan Mortgage Trust, Series 2017-1, Class A4 | | | |
| 3.50%, 01/25/47 144A | 543,608 | | 553,390 |
| JP Morgan Mortgage Trust, Series 2017-1, Class A5 | | | |
| 3.50%, 01/25/47 144A | 470,611 | | 479,080 |
| JP Morgan Mortgage Trust, Series 2017-3, Class 1A6 | | | |
| 3.00%, 08/25/47 144A | 981,601 | | 997,271 |
| JP Morgan Mortgage Trust, Series 2017-5, Class A1A | | | |
| 3.00%, 10/26/48 144A † γ | 1,161,639 | | 1,177,646 |
| JP Morgan Mortgage Trust, Series 2017-6, Class A6 | | | |
| 3.00%, 12/25/48 144A | 182,668 | | 185,279 |
| JP Morgan Mortgage Trust, Series 2020-LTV1, Class A11 | | | |
| (Floating, ICE LIBOR USD 1M + 1.00%, 6.00% Cap), 1.17%, 06/25/50 144A † | 441,205 | | 439,553 |
| JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class ASB | | | |
| 3.66%, 09/15/47 | 308,159 | | 322,432 |
| JPMBB Commercial Mortgage Securities Trust, Series 2015-C33, Class A3 | | | |
| 3.50%, 12/15/48 | 330,862 | | 362,344 |
| JPMCC Commercial Mortgage Securities Trust, Series 2017-JP7, Class A3 | | | |
| 3.38%, 09/15/50 | 1,500,000 | | 1,595,026 |
| KNDL Mortgage Trust, Series 2019-KNSQ, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 0.80%, 0.80% Floor), 0.98%, 05/15/36 144A † | 409,000 | | 401,349 |
| KNDL Mortgage Trust, Series 2019-KNSQ, Class D | | | |
| (Floating, ICE LIBOR USD 1M + 1.35%, 1.35% Floor), 1.53%, 05/15/36 144A † | 136,000 | | 131,511 |
| Lanark Master Issuer PLC, Series 2018-2A, Class 1A | | | |
| (Floating, ICE LIBOR USD 3M + 0.42%), 0.78%, 12/22/69† | 767,200 | | 767,007 |
| | | Par | | Value |
| Lanark Master Issuer PLC, Series 2019-1A, Class 1A1 | | | |
| (Floating, ICE LIBOR USD 3M + 0.77%), 1.13%, 12/22/69 144A † | $1,474,400 | | $1,478,805 |
| Luminent Mortgage Trust, Series 2006-7, Class 2A1 | | | |
| (Floating, ICE LIBOR USD 1M + 0.17%, 0.17% Floor, 10.50% Cap), 0.35%, 12/25/36† | 400,116 | | 359,104 |
| MASTR Adjustable Rate Mortgages Trust, Series 2003-6, Class 3A1 | | | |
| 3.80%, 12/25/33† γ | 96,193 | | 97,898 |
| Merrill Lynch Mortgage Investors Trust, Series 2006-1, Class 2A1 | | | |
| 3.34%, 02/25/36† γ | 173,366 | | 166,367 |
| MF1 Multifamily Housing Mortgage Loan Trust, Series 2020-FL3, Class AS | | | |
| (Floating, ICE LIBOR USD 1M + 2.85%), 3.04%, 07/15/35 144A † | 260,000 | | 261,560 |
| MF1, Ltd., Series 2019-FL2, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 1.13%, 1.13% Floor), 1.31%, 12/25/34 144A † | 1,900,000 | | 1,871,417 |
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class ASB | | | |
| 3.82%, 10/15/46 | 910,559 | | 942,417 |
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C13, Class A3 | | | |
| 3.77%, 11/15/46 | 496,279 | | 523,493 |
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class AAB | | | |
| 2.66%, 05/15/46 | 169,442 | | 172,126 |
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C18, Class ASB | | | |
| 3.62%, 10/15/47 | 456,466 | | 476,685 |
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class ASB | | | |
| 3.04%, 04/15/48 | 1,940,183 | | 2,011,068 |
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25, Class ASB | | | |
| 3.38%, 10/15/48 | 825,000 | | 868,488 |
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C32, Class XA | | | |
| 0.86%, 12/15/49† IO γ | 1,927,257 | | 68,661 |
| Morgan Stanley Capital I Trust, Series 2014-CPT, Class A | | | |
| 3.35%, 07/13/29 144A | 815,000 | | 830,948 |
| Morgan Stanley Capital I Trust, Series 2018-H4, Class A4 | | | |
| 4.31%, 12/15/51 | 249,000 | | 297,492 |
See Notes to Financial Statements.
| | | Par | | Value |
| National Rmbs Trust, Series 2012-2, Class A1 | | | |
| (Floating, Australian BBSW 1M + 1.10%), 1.19%, 06/20/44(A) † | $ 95,310 | | $ 65,944 |
| NCUA Guaranteed Notes Trust, Series 2011-C1, Class 2A | | | |
| (Floating, ICE LIBOR USD 1M + 0.53%, 0.53% Floor, 8.00% Cap), 0.70%, 03/09/21† | 413,672 | | 413,745 |
| New Residential Mortgage Loan Trust, Series 2017-3A, Class A1 | | | |
| 4.00%, 04/25/57 144A | 1,328,670 | | 1,431,382 |
| New Residential Mortgage Loan Trust, Series 2017-4A, Class A1 | | | |
| 4.00%, 05/25/57 144A | 1,316,267 | | 1,422,711 |
| New Residential Mortgage Loan Trust, Series 2018-1A, Class A1A | | | |
| 4.00%, 12/25/57 144A † γ | 1,625,755 | | 1,734,722 |
| New Residential Mortgage Loan Trust, Series 2019-RPL3, Class A1 | | | |
| 2.75%, 07/25/59 144A | 1,756,431 | | 1,845,794 |
| New Residential Mortgage Loan Trust, Series 2020-1A, Class A1B | | | |
| 3.50%, 10/25/59 144A † γ | 806,109 | | 857,547 |
| New Residential Mortgage Loan Trust, Series 2020-RPL1, Class A1 | | | |
| 2.75%, 11/25/59 144A | 2,198,274 | | 2,320,886 |
| Permanent Master Issuer PLC, Series 2018-1A, Class 1A1 | | | |
| (Floating, ICE LIBOR USD 3M + 0.38%), 1.60%, 07/15/58 144A † | 415,000 | | 415,052 |
| PFP, Ltd., Series 2019-5, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 0.97%, 0.97% Floor), 1.17%, 04/14/36 144A † | 314,471 | | 304,565 |
| PFP, Ltd., Series 2019-6, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 1.05%, 1.05% Floor), 1.25%, 04/14/37 144A † | 2,000,000 | | 1,936,750 |
| RFMSI Trust, Series 2003-S9, Class A1 | | | |
| 6.50%, 03/25/32 | 4,919 | | 5,203 |
| Ripon Mortgages PLC, Series 1X, Class A2 | | | |
| (Floating, ICE LIBOR GBP 3M + 0.80%), 1.06%, 08/20/56(U) † | 822,815 | | 1,016,880 |
| Seasoned Credit Risk Transfer Trust Series, Series 2019-4, Class MA | | | |
| 3.00%, 02/25/59 | 1,037,412 | | 1,104,670 |
| Seasoned Credit Risk Transfer Trust, Series 2018-2, Class MA | | | |
| 3.50%, 11/25/57 | 494,867 | | 535,582 |
| Sequoia Mortgage Trust, Series 2017-CH1, Class A2 | | | |
| 3.50%, 08/25/47 144A | 373,605 | | 383,555 |
| Sequoia Mortgage Trust, Series 2017-CH2, Class A10 | | | |
| 4.00%, 12/25/47 144A | 134,562 | | 136,814 |
| | | Par | | Value |
| Silverstone Master Issuer PLC, Series 2019-1A, Class 1A | | | |
| (Floating, ICE LIBOR USD 3M + 0.57%), 1.68%, 01/21/70 144A † | $ 161,000 | | $ 161,204 |
| STACR Trust, Series 2018-DNA2, Class M1 | | | |
| (Floating, ICE LIBOR USD 1M + 0.80%), 0.98%, 12/25/30 144A † | 179,966 | | 179,623 |
| STACR Trust, Series 2018-HRP1, Class M2 | | | |
| (Floating, ICE LIBOR USD 1M + 1.65%), 1.83%, 04/25/43 144A † | 1,074,196 | | 1,064,759 |
| STACR Trust, Series 2018-HRP2, Class M2 | | | |
| (Floating, ICE LIBOR USD 1M + 1.25%), 1.43%, 02/25/47 144A † | 1,681,028 | | 1,658,980 |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2004-13, Class A2 | | | |
| (Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor), 0.48%, 09/25/34† | 59,044 | | 53,995 |
| Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A1 | | | |
| (Floating, ICE LIBOR USD 1M + 0.25%, 0.25% Floor, 11.00% Cap), 0.44%, 07/19/35† | 42,852 | | 39,393 |
| Structured Asset Mortgage Investments II Trust, Series 2005-AR8, Class A1A | | | |
| (Floating, ICE LIBOR USD 1M + 0.28%, 0.28% Floor, 10.50% Cap), 0.46%, 02/25/36† | 311,846 | | 284,460 |
| TBW Mortgage-Backed Trust, Series 2007-2, Class A6A | | | |
| (Step to 4.64% on 08/25/20), 6.01%, 07/25/37 STEP | 230,817 | | 140,326 |
| TORRENS Trust, Series 2013-1, Class A | | | |
| (Floating, Australian BBSW 1M + 0.95%), 1.04%, 04/12/44(A) † | 483,787 | | 333,122 |
| Towd Point Mortgage Funding PLC, Series 2019-GR4A, Class A1 | | | |
| (Floating, ICE LIBOR GBP 3M + 1.03%), 1.22%, 10/20/51(U) 144A † | 1,586,999 | | 1,970,292 |
| Towd Point Mortgage Funding, Series 2019-A13A, Class A1 | | | |
| (Floating, SONIA Deposit Rates Swap 3M + 0.90%), 1.39%, 07/20/45(U) 144A † | 2,449,746 | | 3,021,766 |
| UBS Commercial Mortgage Trust, Series 2017-C1, Class A4 | | | |
| 3.46%, 06/15/50 | 500,000 | | 559,583 |
| UBS Commercial Mortgage Trust, Series 2019-C16, Class ASB | | | |
| 3.46%, 04/15/52 | 540,000 | | 599,927 |
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (Continued)
| | | Par | | Value |
| UBS Commercial Mortgage Trust, Series 2019-C18, Class A4 | | | |
| 3.04%, 12/15/52 | $ 330,000 | | $ 364,649 |
| Uniform Mortgage Backed Securities | | | |
| 2.50%, 08/01/50 TBA | 5,865,000 | | 6,105,213 |
| 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), 2.90%, 06/25/42† | 6,265 | | 5,822 |
| Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2003-AR8, Class A | | | |
| 4.37%, 08/25/33† γ | 123,243 | | 121,844 |
| 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), 0.49%, 01/25/45† | 241,675 | | 229,483 |
| 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), 2.24%, 01/25/47† | 246,417 | | 224,430 |
| 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), 2.48%, 06/25/46† | 524,192 | | 494,216 |
| Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-HY1, Class 1A1 | | | |
| 3.50%, 02/25/37† γ | 200,284 | | 175,535 |
| Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-HY5, Class 2A1 | | | |
| 3.30%, 05/25/37† γ | 213,465 | | 178,420 |
| Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-HY7, Class 2A1 | | | |
| 3.35%, 07/25/37† γ | 640,409 | | 550,774 |
| 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), 2.34%, 05/25/47† | 41,524 | | 4,001 |
| Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class ASB | | | |
| 3.48%, 08/15/50 | 822,086 | | 853,052 |
| Wells Fargo Commercial Mortgage Trust, Series 2015-C26, Class A4 | | | |
| 3.17%, 02/15/48 | 500,000 | | 535,303 |
| Wells Fargo Commercial Mortgage Trust, Series 2016-NXS5, Class A6FL | | | |
| (Floating, ICE LIBOR USD 1M + 1.55%, 1.55% Floor), 1.74%, 01/15/59 144A † | 2,000,000 | | 1,965,032 |
| | | Par | | Value |
| Wells Fargo Commercial Mortgage Trust, Series 2017-C39, Class A5 | | | |
| 3.42%, 09/15/50 | $1,096,000 | | $ 1,228,945 |
| Wells Fargo Commercial Mortgage Trust, Series 2020-SOP, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 1.14%, 1.14% Floor), 1.32%, 01/15/35 144A † | 1,500,000 | | 1,425,369 |
| WFRBS Commercial Mortgage Trust, Series 2011-C4, Class AFL | | | |
| (Floating, ICE LIBOR USD 1M + 1.45%, 1.45% Floor), 1.64%, 06/15/44 144A † | 2,196,310 | | 2,198,303 |
| WFRBS Commercial Mortgage Trust, Series 2011-C5, Class A4 | | | |
| 3.67%, 11/15/44 | 981,484 | | 1,000,109 |
| WFRBS Commercial Mortgage Trust, Series 2012-C8, Class AFL | | | |
| (Floating, ICE LIBOR USD 1M + 1.00%, 1.00% Floor), 1.19%, 08/15/45 144A † | 527,493 | | 526,790 |
| WFRBS Commercial Mortgage Trust, Series 2014-C21, Class ASB | | | |
| 3.39%, 08/15/47 | 626,616 | | 648,290 |
| WFRBS Commercial Mortgage Trust, Series 2014-LC14, Class ASB | | | |
| 3.52%, 03/15/47 | 514,413 | | 534,426 |
Total Mortgage-Backed Securities
(Cost $192,621,746) | | | 194,047,330 |
| MUNICIPAL BONDS — 0.4% |
| North Texas Higher Education Authority, Inc. | | | |
| (Floating, ICE LIBOR USD 3M + 1.10%, 1.10% Floor, 15.00% Cap), 1.40%, 04/01/40† | 1,380,258 | | 1,347,049 |
| South Carolina Public Service Authority, Series D | | | |
| 2.39%, 12/01/23 | 385,000 | | 394,202 |
| South Carolina Public Service Authority, Series E | | | |
| 3.72%, 12/01/23 | 326,000 | | 350,413 |
| State of California, General Obligation, Series C | | | |
| (Floating, ICE LIBOR USD 1M + 0.00%), 0.94%, 04/01/47† | 1,500,000 | | 1,497,712 |
Total Municipal Bonds
(Cost $3,560,382) | | | 3,589,376 |
| U.S. TREASURY OBLIGATIONS — 20.3% |
| U.S. Treasury Bill | | | | |
| 0.27%, 03/25/21Ω Δ | 5,600,000 | | 5,593,562 |
| U.S. Treasury Inflationary Indexed Bonds | | | | |
| 0.75%, 07/15/28 | 7,149,800 | | 8,063,917 |
| U.S. Treasury Notes | | | | |
| 2.50%, 12/31/20 | 3,000,000 | | 3,034,395 |
| 2.50%, 01/31/21‡‡ Δ | 1,000,000 | | 1,013,418 |
| 2.63%, 05/15/21 | 3,000,000 | | 3,064,043 |
| 2.00%, 05/31/21 | 8,000,000 | | 8,133,281 |
See Notes to Financial Statements.
| | | Par | | Value |
| 2.13%, 05/31/21 | $13,000,000 | | $ 13,232,832 |
| 1.13%, 06/30/21 | 9,500,000 | | 9,590,547 |
| 0.38%, 03/31/22‡‡ Δ | 39,400,000 | | 39,545,441 |
| 0.13%, 05/31/22 | 46,572,000 | | 46,541,073 |
| 0.13%, 06/30/22 | 25,145,000 | | 25,131,249 |
| 1.38%, 10/15/22‡‡ | 1,800,000 | | 1,849,676 |
| 1.50%, 01/15/23 | 1,300,000 | | 1,343,773 |
| 0.13%, 05/15/23Δ | 3,548,000 | | 3,543,288 |
| 2.75%, 05/31/23 | 11,481,000 | | 12,340,281 |
| 0.25%, 06/15/23‡‡ | 13,340,000 | | 13,369,181 |
| 1.50%, 10/31/24 | 650,000 | | 685,268 |
| 0.25%, 05/31/25Δ | 2,700,000 | | 2,697,047 |
| 0.63%, 05/15/30Δ | 2,100,000 | | 2,094,504 |
| | | | | 187,209,297 |
Total U.S. Treasury Obligations
(Cost $199,357,484) | | | 200,866,776 |
| | | Shares | |
| MONEY MARKET FUNDS — 4.0% |
GuideStone Money Market Fund, 0.16%
(Institutional Class)Ø ∞ | 32,531,132 | 32,531,132 |
| Northern Institutional Liquid Assets Portfolio (Shares), 0.33%Ø § | 6,123,675 | 6,123,675 |
| Northern Institutional U.S. Government Portfolio (Shares), 0.07%Ø | 1,126,571 | 1,126,571 |
Total Money Market Funds
(Cost $39,781,378) | | 39,781,378 |
TOTAL INVESTMENTS —101.5%
(Cost $993,495,952) | | 1,003,494,177 |
| | Number of
Contracts | | Notional
Amount | |
| WRITTEN OPTIONS — (0.0)% |
| Put Option — (0.0)% |
| FNCL 2.50% expiration date 8/2020, Strike Price $102.09, Expires 08/06/20 (JPM) | (4,300,000) | | $(419,250,000) | (1,897) |
| 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
$2.50, Expires
01/20/21 (GSC) | 1 | | (1,200,000) | (1,591) |
| | 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
$2.50, Expires
03/17/21 (GSC) | 1 | | $(5,200,000) | | $ (11,485) |
| | | | | | (13,076) |
Total Written Options
(Premiums received $ (21,277)) | | | | (14,973) |
Liabilities in Excess of Other
Assets — (1.5)% | | | | (14,509,898) |
| NET ASSETS — 100.0% | | | | $988,969,306 |
PORTFOLIO SUMMARY (based on net assets)
| | % |
| Corporate Bonds | 24.4 |
| U.S. Treasury Obligations | 20.3 |
| Mortgage-Backed Securities | 19.6 |
| Asset-Backed Securities | 17.4 |
| Foreign Bonds | 12.2 |
| Money Market Funds | 4.0 |
| Agency Obligations | 2.9 |
| Municipal Bonds | 0.4 |
| Commercial Paper | 0.3 |
| Written Options | — |
| | 101.5 |
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (Continued)
Futures Contracts outstanding at June 30, 2020:
| Future Type | | Expiration Date | | Open Long
(Short) Contracts | | Notional
Market Value
of Contracts | | Value and
Unrealized
Appreciation
(Depreciation) |
| Euro-Bobl | | 09/2020 | | (52) | | $ (7,885,802) | | $ (41,494) |
| Euro-Bund | | 09/2020 | | (1) | | (198,320) | | (2,316) |
| Euro-Schatz | | 09/2020 | | (27) | | (3,401,711) | | (3,005) |
| 10-Year U.S. Treasury Note | | 09/2020 | | (56) | | (7,793,625) | | (17,448) |
| Ultra 10-Year U.S. Treasury Note | | 09/2020 | | 29 | | 4,567,047 | | 18,578 |
| Ultra Long U.S. Treasury Bond | | 09/2020 | | (20) | | (4,363,125) | | 32,336 |
| Long GILT | | 09/2020 | | (34) | | (5,798,691) | | 3,666 |
| 2-Year U.S. Treasury Note | | 09/2020 | | 1,523 | | 336,321,234 | | 81,554 |
| 5-Year U.S. Treasury Note | | 09/2020 | | (772) | | (97,072,969) | | (240,833) |
| 90-Day Eurodollar | | 12/2020 | | 61 | | 15,205,775 | | 6,863 |
| 90-Day Bank Acceptance | | 03/2021 | | 154 | | 28,208,567 | | 277,702 |
| 90-Day Bank Acceptance | | 06/2021 | | 345 | | 63,184,986 | | 74,259 |
| Total Futures Contracts outstanding at June 30, 2020 | | | | | | $320,973,366 | | $ 189,862 |
Forward Foreign Currency Contracts outstanding at June 30, 2020:
| Expiration Date | | Currency
Purchased | | Amount
of Currency
Purchased | | Currency
Sold | | Amount
of Currency
Sold | | Counter-
party | | Net Unrealized
Appreciation
(Depreciation) |
| 07/06/20 | | Euro | | 15,989,000 | | U.S. Dollars | | 17,948,132 | | BNP | | $ 18,005 |
| 09/16/20 | | Australian Dollars | | 1,130,000 | | New Zealand Dollars | | 1,206,620 | | WEST | | 1,447 |
| 07/06/20 | | U.S. Dollars | | 6,789 | | Euro | | 6,000 | | BOA | | 47 |
| Subtotal Appreciation | | | | | | | | | | $ 19,499 |
| 07/06/20 | | U.S. Dollars | | 95,261 | | Euro | | 85,000 | | BOA | | $ (250) |
| 07/06/20 | | U.S. Dollars | | 223,455 | | Euro | | 200,000 | | HSBC | | (1,276) |
| 08/04/20 | | U.S. Dollars | | 3,777,584 | | Euro | | 3,361,000 | | BNP | | (1,536) |
| 08/04/20 | | U.S. Dollars | | 512,912 | | Canadian Dollars | | 702,513 | | HSBC | | (4,605) |
| 09/16/20 | | Norwegian Kroner | | 7,500,000 | | Swedish Kronor | | 7,309,118 | | MSCS | | (5,726) |
| 07/02/20 | | U.S. Dollars | | 676,132 | | Euro | | 608,000 | | BNP | | (6,956) |
| 07/02/20 | | U.S. Dollars | | 3,076,868 | | Euro | | 2,753,000 | | GSC | | (16,128) |
| 08/05/20 | | U.S. Dollars | | 17,959,916 | | Euro | | 15,989,000 | | BNP | | (18,564) |
| 08/04/20 | | U.S. Dollars | | 3,901,167 | | Canadian Dollars | | 5,328,487 | | MSCS | | (24,140) |
| 08/04/20 | | U.S. Dollars | | 4,827,209 | | Australian Dollars | | 7,043,000 | | MSCS | | (34,128) |
| 07/02/20 | | U.S. Dollars | | 9,458,013 | | British Pounds | | 7,668,000 | | GSC | | (43,406) |
| 07/02/20 | | U.S. Dollars | | 4,375,045 | | Canadian Dollars | | 6,031,000 | | UBS | | (67,353) |
| 08/04/20 | | U.S. Dollars | | 9,403,483 | | British Pounds | | 7,668,000 | | HSBC | | (100,173) |
| 07/06/20 | | U.S. Dollars | | 17,476,675 | | Euro | | 15,701,000 | | UBS | | (165,849) |
| 07/02/20 | | U.S. Dollars | | 4,673,312 | | Australian Dollars | | 7,043,000 | | MSCS | | (187,062) |
| Subtotal Depreciation | | | | | | | | | | $(677,152) |
| Total Forward Foreign Currency Contracts outstanding at June 30, 2020 | | | | $(657,653) |
See Notes to Financial Statements.
Swap Agreements outstanding at June 30, 2020:
| 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 | | $(40,904) | | $(35,993) | | $(4,911) |
| | | $(40,904) | | $(35,993) | | $(4,911) |
| 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 | | 10,100,000 | | $(117,344) | | $(198,363) | | $ 81,019 |
| Markit CDX.NA.IG.33 Index (Pay Quarterly) | | (1.00)% | | 12/20/2024 | | USD | | 27,050,000 | | (319,693) | | (698,526) | | 378,833 |
| | | $(437,037) | | $(896,889) | | $459,852 |
| 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-Month LIBOR + .098% (Quarterly) | | 3-Month LIBOR (Quarterly) | | 1/13/2023 | | USD | | 25,000,000 | | $ (2,491) | | $ — | | $ (2,491) |
| 2.75% (Semiannually) | | 3-Month LIBOR (Quarterly) | | 12/18/2029 | | USD | | 12,500,000 | | (2,516,358) | | (878,595) | | (1,637,763) |
| 1.63% (Semiannually) | | 3-Month LIBOR (Quarterly) | | 1/6/2030 | | USD | | 3,400,000 | | (338,929) | | (17,827) | | (321,102) |
| | | $(2,857,778) | | $(896,422) | | $(1,961,356) |
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (Continued)
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2020, in valuing the Fund’s investments carried at fair value:
| | Total
Value | | Level 1
Quoted Prices | | Level 2
Other Significant
Observable Inputs | | Level 3
Significant
Unobservable Inputs |
| Assets: | | | | | | | |
| Investments in Securities: | | | | | | | |
| Agency Obligations | $ 28,496,015 | | $ — | | $ 28,496,015 | | $ — |
| Asset-Backed Securities | 171,793,524 | | — | | 171,793,524 | | — |
| Commercial Paper | 2,999,188 | | — | | 2,999,188 | | — |
| Corporate Bonds | 241,143,433 | | — | | 241,143,433 | | — |
| Foreign Bonds | 120,777,157 | | — | | 120,777,157 | | — |
| Money Market Funds | 39,781,378 | | 39,781,378 | | — | | — |
| Mortgage-Backed Securities | 194,047,330 | | — | | 194,047,330 | | — |
| Municipal Bonds | 3,589,376 | | — | | 3,589,376 | | — |
| U.S. Treasury Obligations | 200,866,776 | | — | | 200,866,776 | | — |
| Total Assets - Investments in Securities | $1,003,494,177 | | $39,781,378 | | $963,712,799 | | $ — |
| Other Financial Instruments*** | | | | | | | |
| Forward Foreign Currency Contracts | $ 19,499 | | $ — | | $ 19,499 | | $ — |
| Futures Contracts | 494,958 | | 494,958 | | — | | — |
| Swap Agreements | 459,852 | | — | | 459,852 | | — |
| Total Assets - Other Financial Instruments | $ 974,309 | | $ 494,958 | | $ 479,351 | | $ — |
| Liabilities: | | | | | | | |
| Investments in Securities: | | | | | | | |
| Written Options: | | | | | | | |
| Put Option | $ (1,897) | | $ (1,897) | | $ — | | $ — |
| Put Swaptions | (13,076) | | — | | (13,076) | | — |
| Total Written Options | (14,973) | | (1,897) | | (13,076) | | — |
| Total Liabilities - Investments in Securities | $ (14,973) | | $ (1,897) | | $ (13,076) | | $ — |
| Other Financial Instruments*** | | | | | | | |
| Forward Foreign Currency Contracts | $ (677,152) | | $ — | | $ (677,152) | | $ — |
| Futures Contracts | (305,096) | | (305,096) | | — | | — |
| Swap Agreements | (1,966,267) | | — | | (1,966,267) | | — |
| Total Liabilities - Other Financial Instruments | $ (2,948,515) | | $ (305,096) | | $ (2,643,419) | | $ — |
| *** | 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. |
See Notes to Financial Statements.
MEDIUM-DURATION BOND FUND
June 30, 2020 (Unaudited)
| | | Par | | Value |
| AGENCY OBLIGATIONS — 0.1% |
| Federal National Mortgage Association | | | | |
| 6.25%, 05/15/29Δ | $ 620,000 | | $ 899,234 |
| 6.63%, 11/15/30 | 670,000 | | 1,039,235 |
Total Agency Obligations
(Cost $1,677,546) | | | 1,938,469 |
| ASSET-BACKED SECURITIES — 4.9% |
| Access Group, Inc., Series 2015-1, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 0.70%), 0.88%, 07/25/56 144A † | 215,720 | | 211,160 |
| Allegro CLO XI, Ltd., Series 2019-2A, Class A1A | | | |
| (Floating, ICE LIBOR USD 3M + 1.39%, 1.39% Floor), 3.23%, 01/19/33 144A † | 500,000 | | 496,890 |
| Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-R10, Class M3 | | | |
| (Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor), 0.63%, 01/25/36† | 2,900,000 | | 2,764,402 |
| AMMC CLO XI, Ltd., Series 2012-11A, Class A1R2 | | | |
| (Floating, ICE LIBOR USD 3M + 1.01%), 1.77%, 04/30/31 144A † | 710,000 | | 687,108 |
| Apex Credit CLO, Ltd., Series 2017-1A, Class A1 | | | |
| (Floating, ICE LIBOR USD 3M + 1.47%, 1.47% Floor), 2.49%, 04/24/29 144A † | 297,783 | | 295,777 |
| Apidos CLO XXIII, Series 2015-23A, Class AR | | | |
| (Floating, ICE LIBOR USD 3M + 1.22%, 1.22% Floor), 2.82%, 04/15/33 144A † | 1,500,000 | | 1,472,956 |
| Ares XLIII CLO, Ltd., Series 2017-43A, Class A | | | |
| (Floating, ICE LIBOR USD 3M + 1.22%), 2.44%, 10/15/29 144A † | 250,000 | | 247,311 |
| Ballyrock CLO, Ltd., Series 2018-1A, Class C | | | |
| (Floating, ICE LIBOR USD 3M + 3.15%), 4.29%, 04/20/31 144A † | 750,000 | | 665,543 |
| Ballyrock CLO, Ltd., Series 2019-2A, Class A1B | | | |
| (Floating, ICE LIBOR USD 3M + 1.75%, 1.75% Floor), 2.13%, 11/20/30 144A † | 500,000 | | 499,991 |
| Bear Stearns Asset Backed Securities Trust, Series 2007-SD1, Class 1A2A | | | |
| 6.00%, 10/25/36 | 991,440 | | 706,372 |
| Bear Stearns Asset Backed Securities Trust, Series 2007-SD1, Class 1A3A | | | |
| 6.50%, 10/25/36 | 2,079,305 | | 1,501,596 |
| | | Par | | Value |
| Benefit Street Partners CLO II, Ltd., Series 2013-IIA, Class A1R | | | |
| (Floating, ICE LIBOR USD 3M + 1.25%), 2.47%, 07/15/29 144A † | $1,400,000 | | $1,384,489 |
| BlueMountain CLO, Ltd., Series 2015-1A, Class A1R | | | |
| (Floating, ICE LIBOR USD 3M + 1.33%), 2.64%, 04/13/27 144A † | 168,156 | | 167,844 |
| BlueMountain CLO, Ltd., Series 2016-1A, Class CR | | | |
| (Floating, ICE LIBOR USD 3M + 1.85%), 2.99%, 04/20/27 144A † | 800,000 | | 744,021 |
| BSPRT Issuer, Ltd., Series 2018-FL4, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 1.05%, 1.05% Floor), 1.23%, 09/15/35 144A † | 2,600,000 | | 2,551,296 |
| Canyon CLO, Ltd., Series 2020-1A, Class B | | | |
| (Floating, ICE LIBOR USD 3M + 2.75%, 2.75% Floor), 3.15%, 07/15/28 144A † | 750,000 | | 750,844 |
| Carlyle Global Market Strategies CLO, Ltd., Series 2014-3RA, Class A1A | | | |
| (Floating, ICE LIBOR USD 3M + 1.05%), 2.04%, 07/27/31 144A † | 317,467 | | 312,839 |
| CarMax Auto Owner Trust, Series 2017-2, Class A3 | | | |
| 1.93%, 03/15/22 | 658,058 | | 660,234 |
| Carrington Mortgage Loan Trust, Series 2005-OPT2, Class M4 | | | |
| (Floating, ICE LIBOR USD 1M + 0.98%, 0.65% Floor), 1.16%, 05/25/35† | 2,649,236 | | 2,617,969 |
| Catamaran CLO, Ltd., Series 2013-1A, Class AR | | | |
| (Floating, ICE LIBOR USD 3M + 0.85%), 1.84%, 01/27/28 144A † | 1,487,161 | | 1,473,121 |
| Community Funding CLO, Series 2015-1A, Class A | | | |
| 5.75%, 11/01/27 144A STEP | 846,785 | | 855,395 |
| Countrywide Asset-Backed Certificates, Series 2006-1, Class AV3 | | | |
| (Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor), 0.48%, 07/25/36† | 544,829 | | 538,280 |
| Credit Suisse European Mortgage Capital, Ltd., Series 2019-1OTF, Class A | | | |
| (Floating, ICE LIBOR USD 3M + 2.90%), 3.66%, 08/09/24 144A † | 990,000 | | 980,753 |
| CWABS, Inc. Asset-Backed Certificates, Series 2004-1, Class M1 | | | |
| (Floating, ICE LIBOR USD 1M + 0.75%, 0.50% Floor), 0.93%, 03/25/34† | 244,056 | | 242,366 |
See Notes to Financial Statements.
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | Par | | Value |
| CWHEQ Revolving Home Equity Loan Trust, Series 2005-F, Class 2A | | | |
| (Floating, ICE LIBOR USD 1M + 0.24%, 0.24% Floor, 16.00% Cap), 0.42%, 12/15/35† | $ 40,906 | | $ 38,877 |
| CWHEQ Revolving Home Equity Loan Trust, Series 2006-E, Class 2A | | | |
| (Floating, ICE LIBOR USD 1M + 0.14%, 0.14% Floor, 16.00% Cap), 0.32%, 07/15/36† | 131,601 | | 125,469 |
| Dryden 75 CLO, Ltd., Series 2019-75A, Class AR | | | |
| (Floating, ICE LIBOR USD 3M + 1.20%, 1.20% Floor), 2.42%, 07/15/30 144A † | 250,000 | | 247,080 |
| ECMC Group Student Loan Trust, Series 2017-1A, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 1.20%), 1.38%, 12/27/66 144A † | 1,439,400 | | 1,395,519 |
| Edsouth Indenture No. 7 LLC, Series 2014-3, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 0.60%), 0.78%, 02/25/36 144A † | 543,524 | | 521,749 |
| Elmwood CLO IV, Ltd., Series 2020-1A, Class A | | | |
| (Floating, ICE LIBOR USD 3M + 1.24%, 1.24% Floor), 2.42%, 04/15/33 144A † | 3,800,000 | | 3,743,224 |
| Federal National Mortgage Association Grantor Trust, Series 2017-T1 | | | |
| 2.90%, 06/25/27 | 99,722 | | 110,248 |
| Financial Asset Securities Corporation AAA Trust, Series 2005-1A, Class 1A3B | | | |
| (Floating, ICE LIBOR USD 1M + 0.41%, 0.41% Floor), 0.59%, 02/27/35 144A † | 475,007 | | 430,418 |
| Flagship Credit Auto Trust, Series 2019-3, Class A | | | |
| 2.33%, 02/15/24 144A | 1,420,173 | | 1,439,412 |
| GMACM Home Equity Loan Trust, Series 2007-HE3, Class 1A1 | | | |
| 7.00%, 09/25/37† γ | 207 | | 207 |
| GMACM Home Equity Loan Trust, Series 2007-HE3, Class 2A1 | | | |
| 7.00%, 09/25/37 | 54,093 | | 54,400 |
| GoldenTree Loan Opportunities IX, Ltd., Series 2014-9A, Class AR2 | | | |
| (Floating, ICE LIBOR USD 3M + 1.11%, 1.11% Floor), 1.95%, 10/29/29 144A † | 1,000,000 | | 987,160 |
| | | Par | | Value |
| Golub Capital Partners CLO 45M, Ltd., Series 2019-45A, Class A | | | |
| (Floating, ICE LIBOR USD 3M + 1.72%, 1.72% Floor), 2.86%, 10/20/31 144A † | $ 250,000 | | $ 242,494 |
| Halcyon Loan Advisors Funding, Ltd., Series 2015-2A, Class AR | | | |
| (Floating, ICE LIBOR USD 3M + 1.08%, 1.08% Floor), 2.07%, 07/25/27 144A † | 430,375 | | 425,822 |
| 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 | | 807,697 |
| Higher Education Funding I, Series 2014-1, Class A | | | |
| (Floating, ICE LIBOR USD 3M + 1.05%, 1.05% Floor), 1.41%, 05/25/34 144A † | 831,402 | | 823,858 |
| Jackson Mill CLO, Ltd., Series 2015-1A, Class DR | | | |
| (Floating, ICE LIBOR USD 3M + 2.80%, 2.80% Floor), 4.02%, 04/15/27 144A † | 750,000 | | 655,170 |
| KKR CLO, Ltd., Series 21, Class A | | | |
| (Floating, ICE LIBOR USD 3M + 1.00%), 2.22%, 04/15/31 144A † | 550,000 | | 532,481 |
| KREF, Ltd., Series 2018-FL1, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 1.10%, 1.10% Floor), 1.29%, 06/15/36 144A † | 1,450,000 | | 1,434,619 |
| LCM XVIII LP, Series 19A, Class AR | | | |
| (Floating, ICE LIBOR USD 3M + 1.24%, 1.24% Floor), 2.46%, 07/15/27 144A † | 250,000 | | 248,430 |
| LP Credit Card ABS Master Trust, Series 2018-1, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 1.55%), 2.32%, 08/20/24 144A † | 1,274,831 | | 1,297,181 |
| Madison Park Funding XXX, Ltd., Series 2018-30A, Class A | | | |
| (Floating, ICE LIBOR USD 3M + 0.75%, 0.75% Floor), 1.97%, 04/15/29 144A † | 2,750,000 | | 2,682,282 |
| Magnetite VIII, Ltd., Series 2014-8A, Class CR2 | | | |
| (Floating, ICE LIBOR USD 3M + 1.85%, 1.85% Floor), 3.07%, 04/15/31 144A † | 500,000 | | 478,871 |
| Mill City Mortgage Loan Trust, Series 2017-2, Class A3 | | | |
| 2.90%, 07/25/59 144A † γ | 339,748 | | 353,602 |
See Notes to Financial Statements.
| | | Par | | Value |
| Mississippi Higher Education Assistance Corporation, Series 2014-1, Class A1 | | | |
| (Floating, ICE LIBOR USD 1M + 0.68%, 0.68% Floor), 0.86%, 10/25/35† | $ 427,220 | | $ 415,021 |
| NADG NNN Operating LP, Series 2019-1, Class A | | | |
| 3.37%, 12/28/49 144A | 887,775 | | 859,164 |
| Navient Student Loan Trust, Series 2016-6A, Class A3 | | | |
| (Floating, ICE LIBOR USD 1M + 1.30%), 1.48%, 03/25/66 144A † | 6,000,000 | | 5,823,208 |
| Navient Student Loan Trust, Series 2016-7A, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 1.15%), 1.33%, 03/25/66 144A † | 405,248 | | 400,291 |
| Navient Student Loan Trust, Series 2017-2A, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 1.05%), 1.23%, 12/27/66 144A † | 1,349,275 | | 1,309,889 |
| Octagon Investment Partners 36, Ltd., Series 2018-1A, Class A1 | | | |
| (Floating, ICE LIBOR USD 3M + 0.97%), 2.19%, 04/15/31 144A † | 700,000 | | 684,546 |
| Octagon Investment Partners 45, Ltd., Series 2019-1A, Class A | | | |
| (Floating, ICE LIBOR USD 3M + 1.33%, 1.33% Floor), 2.55%, 10/15/32 144A † | 750,000 | | 745,995 |
| OHA Loan Funding, Ltd., Series 2015-1A, Class A1R2 | | | |
| (Floating, ICE LIBOR USD 3M + 1.34%, 1.34% Floor), 1.73%, 11/15/32 144A † | 1,170,000 | | 1,155,670 |
| Orec, Ltd., Series 2018-CRE1, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 1.18%, 1.18% Floor), 1.36%, 06/15/36 144A † | 750,000 | | 734,464 |
| Owl Rock CLO III, Ltd., Series 2020-3A, Class A1L | | | |
| (Floating, ICE LIBOR USD 3M + 1.80%), 2.97%, 04/20/32 144A † | 600,000 | | 570,650 |
| Penarth Master Issuer PLC, Series 2018-2A, Class A1 | | | |
| (Floating, ICE LIBOR USD 1M + 0.45%), 0.64%, 09/18/22 144A † | 1,600,000 | | 1,598,885 |
| PHEAA Student Loan Trust, Series 2012-1A, Class A1 | | | |
| (Floating, ICE LIBOR USD 1M + 0.55%), 0.73%, 05/25/57 144A † | 545,877 | | 526,350 |
| PHEAA Student Loan Trust, Series 2016-1A, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 1.15%, 1.15% Floor), 1.33%, 09/25/65 144A † | 504,098 | | 494,766 |
| | | Par | | Value |
| PHEAA Student Loan Trust, Series 2016-2A, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 0.95%), 1.13%, 11/25/65 144A † | $1,094,569 | | $1,065,069 |
| RAMP Trust, Series 2005-EFC6, Class M2 | | | |
| (Floating, ICE LIBOR USD 1M + 0.65%, 0.43% Floor, 14.00% Cap), 0.83%, 11/25/35† | 905,297 | | 902,222 |
| Ready Capital Mortgage Financing, Series 2018-FL2, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 0.85%), 1.03%, 06/25/35 144A † | 24,952 | | 24,796 |
| Recette CLO, Ltd., Series 2015-1A, Class AR | | | |
| (Floating, ICE LIBOR USD 3M + 0.92%), 2.06%, 10/20/27 144A † | 167,706 | | 165,795 |
| Saxon Asset Securities Trust, Series 2004-1, Class M1 | | | |
| (Floating, ICE LIBOR USD 1M + 0.80%, 0.53% Floor, 10.28% Cap), 0.98%, 03/25/35† | 207,818 | | 199,484 |
| SBA Small Business Investment Cos., Series 2018-10B, Class 1 | | | |
| 3.55%, 09/10/28 | 176,493 | | 190,080 |
| Scholar Funding Trust, Series 2010-A, Class A | | | |
| (Floating, ICE LIBOR USD 3M + 0.75%), 1.64%, 10/28/41 144A † | 211,470 | | 208,204 |
| Shackleton CLO, Ltd., Series 2014-6RA, Class A | | | |
| (Floating, ICE LIBOR USD 3M + 1.02%, 1.02% Floor), 2.15%, 07/17/28 144A † | 491,468 | | 479,955 |
| SLC Student Loan Trust, Series 2005-3, Class A3 | | | |
| (Floating, ICE LIBOR USD 3M + 0.12%), 0.43%, 06/15/29† | 459,210 | | 452,201 |
| SLM Student Loan EDC Repackaging Trust, Series 2013-M1, Class M1 | | | |
| 3.50%, 10/28/29 144A | 20,408 | | 20,398 |
| SLM Student Loan Trust, Series 2003-10A, Class A3 | | | |
| (Floating, ICE LIBOR USD 3M + 0.47%), 0.78%, 12/15/27 144A † | 1,503,352 | | 1,491,823 |
| SLM Student Loan Trust, Series 2005-4, Class A3 | | | |
| (Floating, ICE LIBOR USD 3M + 0.12%), 1.11%, 01/25/27† | 81,055 | | 79,914 |
| SLM Student Loan Trust, Series 2005-5, Class A4 | | | |
| (Floating, ICE LIBOR USD 3M + 0.14%, 0.14% Floor), 1.13%, 10/25/28† | 554,210 | | 542,529 |
| SLM Student Loan Trust, Series 2007-1, Class A5 | | | |
| (Floating, ICE LIBOR USD 3M + 0.09%), 1.08%, 01/26/26† | 1,234,336 | | 1,227,141 |
See Notes to Financial Statements.
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | Par | | Value |
| Sound Point CLO XX, Ltd., Series 2018-2A, Class A | | | |
| (Floating, ICE LIBOR USD 3M + 1.10%), 2.09%, 07/26/31 144A † | $ 500,000 | | $ 490,362 |
| Soundview Home Loan Trust, Series 2006-OPT2, Class A3 | | | |
| (Floating, ICE LIBOR USD 1M + 0.18%, 0.18% Floor), 0.36%, 05/25/36† | 113,785 | | 113,850 |
| Specialty Underwriting & Residential Finance Trust, Series 2004-BC3, Class M1 | | | |
| (Floating, ICE LIBOR USD 1M + 0.93%, 0.62% Floor), 1.11%, 07/25/35† | 1,270,169 | | 1,246,855 |
| Structured Asset Investment Loan Trust, Series 2005-1, Class M3 | | | |
| (Floating, ICE LIBOR USD 1M + 0.78%, 0.52% Floor), 0.96%, 02/25/35 144A † | 2,700,000 | | 2,689,142 |
| TIAA CLO II, Ltd., Series 2017-1A, Class A | | | |
| (Floating, ICE LIBOR USD 3M + 1.28%), 2.42%, 04/20/29 144A † | 3,950,000 | | 3,907,763 |
| Tralee CLO III, Ltd., Series 2014-3A, Class AR | | | |
| (Floating, ICE LIBOR USD 3M + 1.03%), 2.17%, 10/20/27 144A † | 657,498 | | 647,910 |
| Tralee CLO VI, Ltd., Series 2019-6A, Class AS | | | |
| (Floating, ICE LIBOR USD 3M + 1.30%), 2.29%, 10/25/32 144A † | 620,000 | | 620,287 |
| Tryon Park CLO, Ltd., Series 2013-1A, Class A1SR | | | |
| (Floating, ICE LIBOR USD 3M + 0.89%), 2.11%, 04/15/29 144A † | 2,690,000 | | 2,641,139 |
| United States Small Business Administration, Series 2019-20D, Class 1 | | | |
| 2.98%, 04/01/39 | 219,325 | | 233,773 |
| United States Small Business Administration, Series 2019-25G, Class 1 | | | |
| 2.69%, 07/01/44 | 216,631 | | 232,882 |
| Utah State Board of Regents, Series 2015-1, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor), 0.78%, 02/25/43† | 337,925 | | 337,050 |
| Venture 39 CLO, Ltd., Series 2020-39A, Class A1 | | | |
| (Floating, ICE LIBOR USD 3M + 1.28%, 1.28% Floor), 1.59%, 04/15/33 144A † | 2,525,000 | | 2,488,967 |
| Vibrant CLO VI, Ltd., Series 2017-6A, Class A | | | |
| (Floating, ICE LIBOR USD 3M + 1.24%), 1.55%, 06/20/29 144A † | 2,750,000 | | 2,712,757 |
| | | Par | | Value |
| Voya CLO, Ltd., Series 2015-1A, Class A1R | | | |
| (Floating, ICE LIBOR USD 3M + 0.90%, 0.90% Floor), 2.04%, 01/18/29 144A † | $ 500,000 | | $ 493,432 |
| Voya CLO, Ltd., Series 2017-3A, Class A1A | | | |
| (Floating, ICE LIBOR USD 3M + 1.23%), 2.37%, 07/20/30 144A † | 4,150,000 | | 4,108,022 |
| Voya CLO, Ltd., Series 2018-3A, Class A1A | | | |
| (Floating, ICE LIBOR USD 3M + 1.15%, 1.15% Floor), 2.37%, 10/15/31 144A † | 1,500,000 | | 1,476,299 |
| Voya CLO, Ltd., Series 2019-1A, Class AR | | | |
| (Floating, ICE LIBOR USD 3M + 1.06%, 1.06% Floor), 2.28%, 04/15/31 144A † | 1,700,000 | | 1,666,363 |
| Westlake Automobile Receivables Trust, Series 2018-3A, Class A2A | | | |
| 2.98%, 01/18/22 144A | 96,249 | | 96,350 |
| Whitehorse XII, Ltd., Series 2018-12A, Class D | | | |
| (Floating, ICE LIBOR USD 3M + 3.65%, 3.65% Floor), 4.87%, 10/15/31 144A † | 750,000 | | 679,600 |
| Zais CLO 13, Ltd., Series 2019-13A, Class A1A | | | |
| (Floating, ICE LIBOR USD 3M + 1.49%), 2.71%, 07/15/32 144A † | 250,000 | | 248,825 |
Total Asset-Backed Securities
(Cost $93,522,762) | | | 91,404,965 |
| CORPORATE BONDS — 31.9% |
| 3M Co. | | | |
| 2.38%, 08/26/29 | 210,000 | | 227,141 |
| 3.05%, 04/15/30 | 50,000 | | 56,677 |
| 3.70%, 04/15/50 | 895,000 | | 1,069,110 |
| Abbott Laboratories | | | |
| 3.75%, 11/30/26 | 148,000 | | 172,338 |
| 4.75%, 11/30/36 | 170,000 | | 230,566 |
| 4.90%, 11/30/46 | 210,000 | | 301,992 |
| Acadia Healthcare Co., Inc. | | | |
| 5.63%, 02/15/23 | 634,000 | | 635,873 |
| Activision Blizzard, Inc. | | | |
| 3.40%, 09/15/26 | 1,300,000 | | 1,478,495 |
| Adobe, Inc. | | | |
| 2.30%, 02/01/30 | 650,000 | | 702,883 |
| AEP Transmission Co. LLC | | | |
| 3.65%, 04/01/50 | 75,000 | | 87,123 |
| Aetna, Inc. | | | |
| 2.80%, 06/15/23 | 80,000 | | 84,407 |
| AIG Global Funding | | | |
| 2.30%, 07/01/22 144A | 150,000 | | 154,640 |
| Air Lease Corporation | | | |
| 3.38%, 07/01/25 | 655,000 | | 656,858 |
| 3.75%, 06/01/26 | 875,000 | | 883,680 |
| 3.25%, 10/01/29 | 45,000 | | 42,920 |
See Notes to Financial Statements.
| | | Par | | Value |
| Air Products and Chemicals, Inc. | | | |
| 2.80%, 05/15/50 | $ 125,000 | | $ 131,729 |
| Alaska Airlines Pass-Through Trust, Series 2020-1, Class A | | | |
| 4.80%, 08/15/27 144A ††† | 1,700,000 | | 1,722,423 |
| Alexandria Real Estate Equities, Inc. REIT | | | |
| 3.80%, 04/15/26Δ | 900,000 | | 1,011,147 |
| 2.75%, 12/15/29 | 1,400,000 | | 1,495,893 |
| 3.38%, 08/15/31 | 360,000 | | 402,151 |
| Allegion US Holding Co., Inc. | | | |
| 3.20%, 10/01/24 | 400,000 | | 417,768 |
| Alliant Energy Finance LLC | | | |
| 3.75%, 06/15/23 144A | 275,000 | | 295,232 |
| 4.25%, 06/15/28 144A | 75,000 | | 87,257 |
| Ally Financial, Inc. | | | |
| 3.88%, 05/21/24 | 70,000 | | 72,442 |
| Amazon.com, Inc. | | | |
| 0.80%, 06/03/25Δ | 310,000 | | 313,083 |
| 1.20%, 06/03/27 | 390,000 | | 396,271 |
| 3.15%, 08/22/27 | 270,000 | | 309,204 |
| 1.50%, 06/03/30 | 360,000 | | 365,177 |
| 3.88%, 08/22/37 | 160,000 | | 198,366 |
| 4.95%, 12/05/44 | 245,000 | | 350,437 |
| 4.05%, 08/22/47 | 315,000 | | 410,505 |
| 2.50%, 06/03/50 | 310,000 | | 319,924 |
| 4.25%, 08/22/57 | 160,000 | | 214,009 |
| Ambac LSNI LLC | | | |
| (Floating, ICE LIBOR USD 3M + 5.00%), 6.00%, 02/12/23 144A † | 1,463,564 | | 1,449,828 |
| Amdocs, Ltd. | | | |
| 2.54%, 06/15/30 | 1,975,000 | | 1,959,867 |
| Ameren Corporation | | | |
| 3.50%, 01/15/31 | 125,000 | | 140,635 |
| American Airlines Pass-Through Trust, Series 2013-1, Class A | | | |
| 4.00%, 07/15/25 | 845,110 | | 648,426 |
| American Campus Communities Operating Partnership LP REIT | | | |
| 3.75%, 04/15/23 | 525,000 | | 539,477 |
| 3.88%, 01/30/31 | 175,000 | | 184,066 |
| American Electric Power Co., Inc. | | | |
| 2.30%, 03/01/30 | 275,000 | | 277,275 |
| American Express Co. | | | |
| 2.50%, 07/30/24 | 170,000 | | 180,139 |
| 4.05%, 12/03/42 | 30,000 | | 36,349 |
| American Homes 4 Rent LP REIT | | | |
| 4.90%, 02/15/29 | 309,000 | | 345,098 |
| American Honda Finance Corporation | | | |
| (Floating, ICE LIBOR USD 3M + 0.45%), 0.84%, 02/15/22† | 3,200,000 | | 3,193,639 |
| American International Group, Inc. | | | |
| 4.88%, 06/01/22 | 150,000 | | 161,948 |
| 4.13%, 02/15/24 | 75,000 | | 83,754 |
| 2.50%, 06/30/25 | 150,000 | | 158,973 |
| 3.90%, 04/01/26 | 885,000 | | 1,000,642 |
| 4.20%, 04/01/28 | 1,850,000 | | 2,097,922 |
| 3.40%, 06/30/30 | 625,000 | | 677,139 |
| | | Par | | Value |
| 6.25%, 03/15/37 | $ 278,000 | | $ 270,210 |
| American Tower Corporation REIT | | | |
| 3.38%, 05/15/24 | 825,000 | | 896,822 |
| 3.38%, 10/15/26 | 1,500,000 | | 1,669,707 |
| 2.10%, 06/15/30 | 525,000 | | 527,444 |
| American Tower Trust #1 REIT | | | |
| 3.07%, 03/15/23 144A | 940,000 | | 963,674 |
| Amgen, Inc. | | | |
| 3.63%, 05/22/24 | 50,000 | | 54,860 |
| 4.66%, 06/15/51 | 59,000 | | 78,800 |
| Anthem, Inc. | | | |
| 2.95%, 12/01/22 | 390,000 | | 411,331 |
| 3.35%, 12/01/24 | 130,000 | | 142,825 |
| 3.65%, 12/01/27 | 250,000 | | 285,022 |
| Apache Corporation | | | |
| 3.25%, 04/15/22 | 24,000 | | 23,230 |
| 4.38%, 10/15/28 | 50,000 | | 44,183 |
| 4.25%, 01/15/30 | 110,000 | | 95,271 |
| 5.10%, 09/01/40 | 180,000 | | 148,138 |
| 4.75%, 04/15/43 | 60,000 | | 48,397 |
| 4.25%, 01/15/44 | 800,000 | | 609,481 |
| Apple, Inc. | | | |
| 2.00%, 11/13/20 | 260,000 | | 261,662 |
| 1.55%, 08/04/21Δ | 20,000 | | 20,298 |
| 1.13%, 05/11/25 | 630,000 | | 644,037 |
| 2.45%, 08/04/26 | 595,000 | | 646,996 |
| 2.90%, 09/12/27 | 600,000 | | 673,066 |
| 4.45%, 05/06/44 | 25,000 | | 33,530 |
| 2.95%, 09/11/49 | 30,000 | | 32,790 |
| Applied Materials, Inc. | | | |
| 1.75%, 06/01/30 | 300,000 | | 307,290 |
| 4.35%, 04/01/47 | 50,000 | | 64,349 |
| Arch Capital Finance LLC | | | |
| 4.01%, 12/15/26 | 600,000 | | 680,872 |
| Arch Capital Group, Ltd. | | | |
| 7.35%, 05/01/34 | 175,000 | | 262,582 |
| Archer-Daniels-Midland Co. | | | |
| 3.25%, 03/27/30 | 150,000 | | 170,874 |
| Ares Capital Corporation | | | |
| 3.25%, 07/15/25Δ | 75,000 | | 72,872 |
| Arrow Electronics, Inc. | | | |
| 4.50%, 03/01/23 | 1,200,000 | | 1,275,096 |
| AT&T, Inc. | | | |
| 3.00%, 02/15/22 | 170,000 | | 177,044 |
| 3.00%, 06/30/22 | 475,000 | | 496,226 |
| 3.80%, 03/01/24 | 65,000 | | 71,525 |
| 4.45%, 04/01/24 | 725,000 | | 814,955 |
| 3.40%, 05/15/25 | 1,915,000 | | 2,105,867 |
| 3.60%, 07/15/25 | 325,000 | | 361,275 |
| 4.13%, 02/17/26 | 965,000 | | 1,100,522 |
| 4.25%, 03/01/27 | 1,400,000 | | 1,595,705 |
| 2.30%, 06/01/27 | 1,630,000 | | 1,690,129 |
| 2.75%, 06/01/31 | 550,000 | | 573,980 |
| 5.25%, 03/01/37 | 225,000 | | 278,521 |
| 4.90%, 08/15/37 | 200,000 | | 240,934 |
| 4.85%, 03/01/39 | 1,400,000 | | 1,690,712 |
| 6.10%, 07/15/40 | 140,000 | | 187,128 |
See Notes to Financial Statements.
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | Par | | Value |
| 3.50%, 06/01/41 | $ 400,000 | | $ 420,854 |
| 4.35%, 06/15/45 | 360,000 | | 405,754 |
| 5.45%, 03/01/47 | 575,000 | | 753,567 |
| 4.50%, 03/09/48 | 230,000 | | 272,331 |
| Athene Holding, Ltd. | | | |
| 4.13%, 01/12/28Δ | 50,000 | | 51,613 |
| AutoNation, Inc. | | | |
| 4.75%, 06/01/30 | 225,000 | | 244,279 |
| Avangrid, Inc. | | | |
| 3.20%, 04/15/25 | 275,000 | | 301,079 |
| Aviation Capital Group LLC | | | |
| 3.88%, 05/01/23 144A | 500,000 | | 475,425 |
| Bank of America Corporation | | | |
| 3.30%, 01/11/23 | 120,000 | | 128,120 |
| (Variable, ICE LIBOR USD 3M + 0.79%), 3.00%, 12/20/23^ | 329,000 | | 345,750 |
| (Floating, ICE LIBOR USD 3M + 0.79%), 1.12%, 03/05/24† | 1,500,000 | | 1,495,615 |
| (Variable, ICE LIBOR USD 3M + 0.78%), 3.55%, 03/05/24^ | 530,000 | | 566,768 |
| 4.00%, 04/01/24 | 420,000 | | 466,448 |
| (Floating, ICE LIBOR USD 3M + 0.96%), 2.00%, 07/23/24† | 900,000 | | 902,494 |
| (Variable, ICE LIBOR USD 3M + 0.94%), 3.86%, 07/23/24^ | 600,000 | | 650,480 |
| 4.20%, 08/26/24 | 1,295,000 | | 1,438,536 |
| (Variable, ICE LIBOR USD 3M + 3.71%), 6.25%, 09/05/24ρ ^ | 300,000 | | 311,124 |
| (Variable, ICE LIBOR USD 3M + 4.17%), 6.50%, 10/23/24ρ ^ | 150,000 | | 161,500 |
| 4.00%, 01/22/25 | 440,000 | | 486,222 |
| (Variable, ICE LIBOR USD 3M + 1.09%), 3.09%, 10/01/25^ | 2,200,000 | | 2,381,485 |
| 4.45%, 03/03/26 | 420,000 | | 483,892 |
| 3.50%, 04/19/26 | 1,260,000 | | 1,419,442 |
| (Variable, U.S. SOFR + 1.15%), 1.32%, 06/19/26^ | 60,000 | | 60,228 |
| 4.25%, 10/22/26 | 480,000 | | 551,050 |
| 3.25%, 10/21/27 | 875,000 | | 965,569 |
| 4.18%, 11/25/27 | 825,000 | | 945,253 |
| (Variable, ICE LIBOR USD 3M + 1.37%), 3.59%, 07/21/28^ | 860,000 | | 964,521 |
| (Variable, ICE LIBOR USD 3M + 1.04%), 3.42%, 12/20/28^ | 694,000 | | 773,527 |
| (Variable, ICE LIBOR USD 3M + 1.31%), 4.27%, 07/23/29^ | 525,000 | | 619,650 |
| (Variable, ICE LIBOR USD 3M + 1.19%), 2.88%, 10/22/30^ | 500,000 | | 541,374 |
| (Variable, ICE LIBOR USD 3M + 0.99%), 2.50%, 02/13/31^ | 75,000 | | 78,730 |
| (Variable, U.S. SOFR + 2.15%), 2.59%, 04/29/31^ | 610,000 | | 646,875 |
| 6.11%, 01/29/37 | 500,000 | | 705,584 |
| 5.00%, 01/21/44 | 790,000 | | 1,090,847 |
| (Variable, ICE LIBOR USD 3M + 1.19%), 3.95%, 01/23/49Δ ^ | 270,000 | | 327,239 |
| (Variable, ICE LIBOR USD 3M + 1.52%), 4.33%, 03/15/50^ | 170,000 | | 220,087 |
| (Variable, ICE LIBOR USD 3M + 3.15%), 4.08%, 03/20/51^ | 2,165,000 | | 2,725,566 |
| | | Par | | Value |
| Barrick North America Finance LLC | | | |
| 5.70%, 05/30/41 | $ 150,000 | | $ 202,183 |
| Bausch Health Americas, Inc. | | | |
| 9.25%, 04/01/26 144A | 200,000 | | 217,240 |
| Becton, Dickinson and Co. | | | |
| (Floating, ICE LIBOR USD 3M + 0.88%), 1.18%, 12/29/20† | 600,000 | | 600,049 |
| 3.36%, 06/06/24 | 830,000 | | 896,275 |
| 3.73%, 12/15/24 | 171,000 | | 188,749 |
| 3.70%, 06/06/27 | 685,000 | | 766,088 |
| 2.82%, 05/20/30 | 650,000 | | 688,644 |
| 4.69%, 12/15/44 | 270,000 | | 333,252 |
| 4.67%, 06/06/47 | 575,000 | | 706,207 |
| Berkshire Hathaway Energy Co. | | | |
| 3.25%, 04/15/28 | 400,000 | | 452,986 |
| 3.70%, 07/15/30 144A | 400,000 | | 469,937 |
| 4.45%, 01/15/49 | 60,000 | | 77,080 |
| 4.25%, 10/15/50 144A | 50,000 | | 63,255 |
| Berkshire Hathaway Finance Corporation | | | |
| 1.85%, 03/12/30 | 725,000 | | 746,397 |
| 4.25%, 01/15/49 | 460,000 | | 590,623 |
| Blue Racer Midstream LLC | | | |
| 6.13%, 11/15/22 144A | 100,000 | | 99,723 |
| BMW US Capital LLC | | | |
| 1.85%, 09/15/21 144A Δ | 60,000 | | 60,566 |
| Boeing Co. (The) | | | |
| 4.88%, 05/01/25 | 850,000 | | 927,320 |
| 2.70%, 02/01/27 | 70,000 | | 68,435 |
| 2.80%, 03/01/27 | 110,000 | | 106,277 |
| 5.15%, 05/01/30 | 580,000 | | 647,958 |
| 3.25%, 02/01/35 | 650,000 | | 593,343 |
| 6.63%, 02/15/38 | 210,000 | | 251,269 |
| 3.55%, 03/01/38 | 70,000 | | 63,912 |
| 5.71%, 05/01/40 | 340,000 | | 388,243 |
| 3.75%, 02/01/50 | 200,000 | | 179,888 |
| 5.81%, 05/01/50 | 1,800,000 | | 2,130,641 |
| 5.93%, 05/01/60 | 240,000 | | 285,822 |
| Booking Holdings, Inc. | | | |
| 4.10%, 04/13/25 | 175,000 | | 196,629 |
| 3.60%, 06/01/26 | 65,000 | | 71,387 |
| Boston Properties LP REIT | | | |
| 4.13%, 05/15/21 | 75,000 | | 76,525 |
| 4.50%, 12/01/28 | 930,000 | | 1,113,839 |
| Boston Scientific Corporation | | | |
| 2.65%, 06/01/30 | 1,900,000 | | 1,982,487 |
| BP Capital Markets America, Inc. | | | |
| 2.94%, 04/06/23 | 30,000 | | 31,741 |
| 3.22%, 11/28/23 | 370,000 | | 397,629 |
| 3.79%, 02/06/24 | 50,000 | | 54,630 |
| 3.80%, 09/21/25Δ | 5,000 | | 5,650 |
| 3.12%, 05/04/26 | 570,000 | | 623,485 |
| 3.59%, 04/14/27 | 50,000 | | 55,284 |
| 4.23%, 11/06/28 | 1,550,000 | | 1,802,268 |
| 3.63%, 04/06/30 | 490,000 | | 557,146 |
| 3.00%, 02/24/50 | 620,000 | | 611,035 |
See Notes to Financial Statements.
| | | Par | | Value |
| Brighthouse Financial, Inc. | | | |
| 3.70%, 06/22/27 | $ 840,000 | | $ 857,108 |
| Bristol-Myers Squibb Co. | | | |
| 2.25%, 08/15/21 144A | 270,000 | | 275,184 |
| 2.60%, 05/16/22 144A | 300,000 | | 311,994 |
| 3.55%, 08/15/22 144A | 170,000 | | 180,659 |
| 2.90%, 07/26/24 144A | 750,000 | | 812,229 |
| 3.88%, 08/15/25 144A | 1,735,000 | | 1,975,051 |
| 3.20%, 06/15/26 144A | 120,000 | | 134,771 |
| 3.40%, 07/26/29 144A | 500,000 | | 582,965 |
| 4.63%, 05/15/44 144A | 50,000 | | 66,709 |
| 5.00%, 08/15/45 144A | 110,000 | | 153,794 |
| 4.25%, 10/26/49 144A | 100,000 | | 132,532 |
| Brixmor Operating Partnership LP REIT | | | |
| 4.13%, 05/15/29 | 65,000 | | 67,612 |
| Broadcom Corporation | | | |
| 3.13%, 01/15/25 | 625,000 | | 668,032 |
| 3.88%, 01/15/27 | 1,675,000 | | 1,811,554 |
| 3.50%, 01/15/28 | 28,000 | | 29,660 |
| Broadcom, Inc. | | | |
| 2.25%, 11/15/23 144A | 410,000 | | 423,961 |
| 3.63%, 10/15/24 144A | 985,000 | | 1,070,505 |
| 4.70%, 04/15/25 144A | 1,985,000 | | 2,239,035 |
| 3.15%, 11/15/25 144A | 470,000 | | 500,843 |
| 4.25%, 04/15/26 144A | 730,000 | | 813,035 |
| 3.46%, 09/15/26 144A Δ | 3,431,000 | | 3,684,542 |
| Burlington Northern Santa Fe LLC | | | |
| 4.15%, 12/15/48 | 45,000 | | 56,477 |
| Camden Property Trust REIT | | | |
| 3.15%, 07/01/29 | 65,000 | | 72,174 |
| Cameron LNG LLC | | | |
| 2.90%, 07/15/31 144A | 90,000 | | 96,494 |
| 3.30%, 01/15/35 144A | 610,000 | | 674,481 |
| Campbell Soup Co. | | | |
| 3.95%, 03/15/25 | 65,000 | | 73,093 |
| Capital One Financial Corporation | | | |
| 3.50%, 06/15/23 | 325,000 | | 348,105 |
| 3.90%, 01/29/24 | 65,000 | | 70,733 |
| 3.30%, 10/30/24 | 345,000 | | 371,435 |
| Carrier Global Corporation | | | |
| 1.92%, 02/15/23 144A | 80,000 | | 81,599 |
| 2.24%, 02/15/25 144A | 240,000 | | 245,645 |
| 2.49%, 02/15/27 144A | 1,265,000 | | 1,290,566 |
| 2.72%, 02/15/30 144A | 2,175,000 | | 2,188,948 |
| 2.70%, 02/15/31 144A | 120,000 | | 119,869 |
| 3.38%, 04/05/40 144A | 130,000 | | 127,387 |
| 3.58%, 04/05/50 144A | 140,000 | | 138,432 |
| Catalent Pharma Solutions, Inc. | | | |
| 5.00%, 07/15/27 144A | 130,000 | | 135,177 |
| Caterpillar, Inc. | | | |
| 3.25%, 04/09/50 | 200,000 | | 224,038 |
| CenterPoint Energy, Inc. | | | |
| 4.25%, 11/01/28 | 700,000 | | 814,479 |
| CH Robinson Worldwide, Inc. | | | |
| 4.20%, 04/15/28 | 1,500,000 | | 1,711,078 |
| | | Par | | Value |
| Charles Schwab Corporation (The) | | | |
| 3.25%, 05/22/29 | $ 10,000 | | $ 11,265 |
| Charter Communications Operating LLC | | | |
| 4.50%, 02/01/24 | 50,000 | | 55,357 |
| 4.91%, 07/23/25 | 5,690,000 | | 6,525,462 |
| 4.20%, 03/15/28 | 510,000 | | 572,428 |
| 5.05%, 03/30/29 | 460,000 | | 543,371 |
| 6.38%, 10/23/35 | 40,000 | | 52,968 |
| 6.48%, 10/23/45 | 90,000 | | 119,418 |
| 4.80%, 03/01/50 | 130,000 | | 144,477 |
| Chevron Corporation | | | |
| 1.55%, 05/11/25 | 2,210,000 | | 2,274,217 |
| 2.95%, 05/16/26 | 350,000 | | 387,950 |
| 2.00%, 05/11/27 | 100,000 | | 104,810 |
| 3.08%, 05/11/50 | 30,000 | | 31,946 |
| Choice Hotels International, Inc. | | | |
| 3.70%, 12/01/29 | 1,500,000 | | 1,507,342 |
| Chubb INA Holdings, Inc. | | | |
| 2.30%, 11/03/20 | 90,000 | | 90,437 |
| 3.35%, 05/03/26 | 120,000 | | 136,865 |
| Cigna Corporation | | | |
| 3.40%, 09/17/21 | 240,000 | | 248,031 |
| 3.75%, 07/15/23 | 2,334,000 | | 2,534,953 |
| 4.13%, 11/15/25 | 245,000 | | 281,768 |
| 4.38%, 10/15/28 | 460,000 | | 544,781 |
| 2.40%, 03/15/30 | 550,000 | | 571,412 |
| 4.80%, 08/15/38 | 400,000 | | 507,803 |
| 3.20%, 03/15/40 | 750,000 | | 797,373 |
| Cimarex Energy Co. | | | |
| 3.90%, 05/15/27 | 725,000 | | 734,169 |
| 4.38%, 03/15/29 | 300,000 | | 308,561 |
| Cintas Corporation No. 2 | | | |
| 2.90%, 04/01/22 | 180,000 | | 187,023 |
| 3.70%, 04/01/27 | 190,000 | | 216,104 |
| Cisco Systems, Inc. | | | |
| 5.50%, 01/15/40 | 75,000 | | 109,498 |
| Citigroup, Inc. | | | |
| (Variable, ICE LIBOR USD 3M + 4.07%), 5.95%, 01/30/23ρ ^ | 170,000 | | 170,200 |
| 3.50%, 05/15/23 | 1,000,000 | | 1,065,901 |
| (Variable, U.S. SOFR + 1.67%), 1.68%, 05/15/24^ | 2,190,000 | | 2,235,195 |
| (Variable, ICE LIBOR USD 3M + 1.02%), 4.04%, 06/01/24^ | 560,000 | | 609,090 |
| (Variable, ICE LIBOR USD 3M + 3.91%), 5.95%, 05/15/25ρ ^ | 650,000 | | 646,644 |
| 4.40%, 06/10/25 | 450,000 | | 504,251 |
| 5.50%, 09/13/25 | 290,000 | | 344,284 |
| (Variable, U.S. SOFR + 2.75%), 3.11%, 04/08/26^ | 190,000 | | 204,724 |
| 3.40%, 05/01/26 | 2,075,000 | | 2,302,614 |
| (Variable, ICE LIBOR USD 3M + 4.52%), 6.25%, 08/15/26ρ ^ | 150,000 | | 159,256 |
| 3.20%, 10/21/26 | 500,000 | | 548,519 |
| 4.30%, 11/20/26 | 1,675,000 | | 1,905,072 |
| 4.45%, 09/29/27 | 1,080,000 | | 1,233,775 |
See Notes to Financial Statements.
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | Par | | Value |
| (Variable, ICE LIBOR USD 3M + 1.39%), 3.67%, 07/24/28^ | $ 150,000 | | $ 167,345 |
| 4.13%, 07/25/28 | 1,325,000 | | 1,501,900 |
| (Variable, U.S. SOFR + 3.91%), 4.41%, 03/31/31^ | 790,000 | | 938,491 |
| (Variable, U.S. SOFR + 2.11%), 2.57%, 06/03/31^ | 590,000 | | 611,015 |
| 6.63%, 06/15/32 | 50,000 | | 68,618 |
| (Variable, ICE LIBOR USD 3M + 1.17%), 3.88%, 01/24/39^ | 30,000 | | 34,695 |
| 8.13%, 07/15/39 | 60,000 | | 104,034 |
| 6.68%, 09/13/43 | 10,000 | | 15,458 |
| 5.30%, 05/06/44 | 24,000 | | 31,886 |
| 4.65%, 07/30/45 | 894,000 | | 1,154,489 |
| 4.75%, 05/18/46 | 40,000 | | 50,963 |
| 4.65%, 07/23/48 | 200,000 | | 262,232 |
| Citizens Bank NA | | | |
| 3.25%, 02/14/22 | 425,000 | | 440,331 |
| Citizens Financial Group, Inc. | | | |
| 2.85%, 07/27/26 | 65,000 | | 70,439 |
| CNOOC Finance 2015 USA LLC | | | |
| 3.50%, 05/05/25 | 1,820,000 | | 1,987,322 |
| Coca-Cola Co. (The) | | | |
| 2.95%, 03/25/25 | 145,000 | | 159,683 |
| 2.88%, 10/27/25 | 65,000 | | 72,287 |
| 3.38%, 03/25/27 | 120,000 | | 137,741 |
| 1.45%, 06/01/27 | 265,000 | | 272,922 |
| 4.13%, 03/25/40 | 110,000 | | 139,965 |
| 2.50%, 06/01/40 | 20,000 | | 20,729 |
| 4.20%, 03/25/50 | 960,000 | | 1,257,161 |
| 2.60%, 06/01/50 | 130,000 | | 131,599 |
| Comcast Corporation | | | |
| 3.70%, 04/15/24 | 425,000 | | 470,628 |
| 3.10%, 04/01/25 | 245,000 | | 270,382 |
| 3.38%, 08/15/25 | 275,000 | | 306,546 |
| 3.95%, 10/15/25 | 477,000 | | 547,002 |
| 3.15%, 03/01/26 | 130,000 | | 145,350 |
| 3.30%, 02/01/27 | 344,000 | | 386,301 |
| 3.30%, 04/01/27 | 635,000 | | 713,625 |
| 4.15%, 10/15/28 | 970,000 | | 1,163,626 |
| 3.40%, 04/01/30 | 150,000 | | 171,654 |
| 4.25%, 10/15/30 | 810,000 | | 993,411 |
| 5.65%, 06/15/35 | 420,000 | | 594,415 |
| 6.50%, 11/15/35 | 30,000 | | 45,681 |
| 3.90%, 03/01/38 | 30,000 | | 35,669 |
| 3.25%, 11/01/39 | 400,000 | | 444,354 |
| 3.75%, 04/01/40 | 165,000 | | 193,884 |
| 3.40%, 07/15/46 | 50,000 | | 55,644 |
| 4.00%, 03/01/48 | 40,000 | | 48,725 |
| 4.70%, 10/15/48 | 200,000 | | 269,450 |
| 3.45%, 02/01/50 | 1,220,000 | | 1,402,207 |
| Comerica, Inc. | | | |
| 3.70%, 07/31/23 | 35,000 | | 37,752 |
| CommonSpirit Health | | | |
| 4.35%, 11/01/42 | 40,000 | | 41,717 |
| Commonwealth Edison Co. | | | |
| 3.80%, 10/01/42 | 300,000 | | 348,439 |
| | | Par | | Value |
| Conagra Brands, Inc. | | | |
| 3.25%, 09/15/22 | $1,300,000 | | $1,364,859 |
| 4.60%, 11/01/25 | 65,000 | | 75,009 |
| Concho Resources, Inc. | | | |
| 4.38%, 01/15/25 | 70,000 | | 72,258 |
| 3.75%, 10/01/27 | 170,000 | | 181,214 |
| 4.30%, 08/15/28 | 480,000 | | 527,176 |
| ConocoPhillips Co. | | | |
| 6.95%, 04/15/29 | 220,000 | | 306,820 |
| Consolidated Edison Co. of New York, Inc. | | | |
| 3.35%, 04/01/30 | 130,000 | | 147,940 |
| 3.95%, 04/01/50 | 140,000 | | 169,302 |
| Continental Resources, Inc. | | | |
| 4.50%, 04/15/23 | 1,855,000 | | 1,779,001 |
| 3.80%, 06/01/24 | 210,000 | | 196,915 |
| 4.38%, 01/15/28 | 430,000 | | 379,264 |
| 4.90%, 06/01/44 | 10,000 | | 7,984 |
| CoStar Group, Inc. | | | |
| 2.80%, 07/15/30 144A | 625,000 | | 640,972 |
| Costco Wholesale Corporation | | | |
| 1.60%, 04/20/30 | 550,000 | | 556,633 |
| Cox Communications, Inc. | | | |
| 3.35%, 09/15/26 144A | 45,000 | | 49,830 |
| 3.50%, 08/15/27 144A | 35,000 | | 38,698 |
| CRH America Finance, Inc. | | | |
| 3.95%, 04/04/28 144A | 500,000 | | 549,547 |
| Crown Castle International Corporation REIT | | | |
| 5.25%, 01/15/23 | 525,000 | | 584,409 |
| 3.15%, 07/15/23 | 2,325,000 | | 2,482,897 |
| 3.10%, 11/15/29 | 70,000 | | 75,189 |
| 3.30%, 07/01/30 | 525,000 | | 578,637 |
| 4.15%, 07/01/50 | 50,000 | | 58,860 |
| CSX Corporation | | | |
| 3.25%, 06/01/27 | 65,000 | | 72,742 |
| 3.80%, 04/15/50 | 25,000 | | 29,762 |
| CVS Health Corporation | | | |
| 3.35%, 03/09/21 | 112,000 | | 114,230 |
| 2.75%, 12/01/22 | 210,000 | | 219,211 |
| 3.70%, 03/09/23 | 1,300,000 | | 1,396,638 |
| 4.00%, 12/05/23 | 830,000 | | 910,994 |
| 2.63%, 08/15/24 | 205,000 | | 219,016 |
| 4.10%, 03/25/25 | 790,000 | | 894,009 |
| 3.88%, 07/20/25 | 848,000 | | 953,653 |
| 2.88%, 06/01/26 | 40,000 | | 43,367 |
| 3.63%, 04/01/27 | 200,000 | | 224,930 |
| 4.30%, 03/25/28 | 2,370,000 | | 2,773,682 |
| 3.75%, 04/01/30 | 290,000 | | 334,790 |
| 4.13%, 04/01/40 | 80,000 | | 94,761 |
| 5.13%, 07/20/45 | 250,000 | | 322,617 |
| 5.05%, 03/25/48 | 730,000 | | 957,792 |
| 4.25%, 04/01/50 | 330,000 | | 396,099 |
| CVS Pass-Through Trust | | | |
| 6.94%, 01/10/30 | 551,832 | | 632,175 |
See Notes to Financial Statements.
| | | Par | | Value |
| CyrusOne LP REIT | | | |
| 2.90%, 11/15/24 | $1,500,000 | | $1,577,757 |
| D.R. Horton, Inc. | | | |
| 4.38%, 09/15/22 | 800,000 | | 850,385 |
| DAE Funding LLC | | | |
| 5.00%, 08/01/24 144A | 700,000 | | 658,430 |
| Daimler Finance North America LLC | | | |
| 3.75%, 11/05/21 144A | 1,600,000 | | 1,654,815 |
| 3.40%, 02/22/22 144A Δ | 1,700,000 | | 1,757,062 |
| 2.70%, 06/14/24 144A | 1,900,000 | | 1,965,094 |
| 8.50%, 01/18/31 | 25,000 | | 38,120 |
| DCP Midstream Operating LP | | | |
| 6.45%, 11/03/36 144A | 60,000 | | 54,258 |
| Deere & Co. | | | |
| 3.10%, 04/15/30 | 50,000 | | 56,764 |
| 3.75%, 04/15/50 | 890,000 | | 1,100,103 |
| Dell International LLC | | | |
| 4.42%, 06/15/21 144A | 2,520,000 | | 2,590,655 |
| 5.45%, 06/15/23 144A | 2,775,000 | | 3,036,515 |
| 4.00%, 07/15/24 144A | 55,000 | | 59,353 |
| 6.02%, 06/15/26 144A | 1,055,000 | | 1,210,420 |
| 8.10%, 07/15/36 144A | 175,000 | | 231,004 |
| 8.35%, 07/15/46 144A | 75,000 | | 100,158 |
| Delta Air Lines Pass-Through Trust, Series 2007-1, Class A | | | |
| 6.82%, 08/10/22 | 241,838 | | 237,539 |
| Delta Air Lines, Inc. | | | |
| 7.00%, 05/01/25 144A | 1,780,000 | | 1,839,309 |
| Depository Trust & Clearing Corporation (The) | | | |
| (Variable, ICE LIBOR USD 3M + 3.17%), 3.48%, 09/15/20 144A † ρ | 750,000 | | 667,661 |
| Devon Energy Corporation | | | |
| 5.85%, 12/15/25 | 552,000 | | 609,797 |
| 5.60%, 07/15/41 | 312,000 | | 304,956 |
| 4.75%, 05/15/42 | 340,000 | | 298,902 |
| 5.00%, 06/15/45 | 910,000 | | 810,287 |
| DH Europe Finance II S.a.r.l. | | | |
| 2.20%, 11/15/24 | 675,000 | | 709,877 |
| 2.60%, 11/15/29 | 225,000 | | 239,936 |
| 3.25%, 11/15/39 | 30,000 | | 33,189 |
| 3.40%, 11/15/49 | 35,000 | | 39,545 |
| Diamond Sports Group LLC | | | |
| 5.38%, 08/15/26 144A | 405,000 | | 295,176 |
| Diamondback Energy, Inc. | | | |
| 5.38%, 05/31/25 | 70,000 | | 72,104 |
| 3.25%, 12/01/26 | 90,000 | | 90,617 |
| 3.50%, 12/01/29 | 160,000 | | 155,279 |
| Discover Financial Services | | | |
| 3.75%, 03/04/25 | 450,000 | | 484,965 |
| Discovery Communications LLC | | | |
| 4.90%, 03/11/26 | 45,000 | | 51,855 |
| 3.63%, 05/15/30 | 1,800,000 | | 1,971,072 |
| DISH DBS Corporation | | | |
| 5.88%, 11/15/24 | 410,000 | | 408,653 |
| Dollar Tree, Inc. | | | |
| 4.00%, 05/15/25 | 390,000 | | 439,438 |
| | | Par | | Value |
| 4.20%, 05/15/28 | $ 400,000 | | $ 464,629 |
| Dominion Energy, Inc. | | | |
| 3.07%, 08/15/24 STEP | 675,000 | | 726,511 |
| 3.38%, 04/01/30 | 225,000 | | 248,872 |
| Dow Chemical Co. (The) | | | |
| 4.38%, 11/15/42 | 40,000 | | 44,755 |
| DTE Energy Co. | | | |
| 2.25%, 11/01/22 | 343,000 | | 354,375 |
| Duke Energy Corporation | | | |
| 3.75%, 04/15/24 | 200,000 | | 219,094 |
| 3.15%, 08/15/27 | 550,000 | | 610,004 |
| 2.45%, 06/01/30 | 1,800,000 | | 1,901,066 |
| 3.75%, 09/01/46 | 30,000 | | 34,037 |
| Duke Energy Ohio, Inc. | | | |
| 3.65%, 02/01/29 | 350,000 | | 405,061 |
| Duke Realty LP REIT | | | |
| 1.75%, 07/01/30 | 300,000 | | 298,699 |
| DuPont de Nemours, Inc. | | | |
| 4.21%, 11/15/23 | 385,000 | | 422,259 |
| 4.49%, 11/15/25 | 350,000 | | 402,761 |
| 4.73%, 11/15/28 | 350,000 | | 421,327 |
| 5.42%, 11/15/48 | 25,000 | | 32,983 |
| East Ohio Gas Co. (The) | | | |
| 1.30%, 06/15/25 144A | 175,000 | | 176,031 |
| 2.00%, 06/15/30 144A | 125,000 | | 125,157 |
| Eaton Corporation | | | |
| 2.75%, 11/02/22 | 410,000 | | 431,442 |
| 4.15%, 11/02/42 | 200,000 | | 236,779 |
| Ecolab, Inc. | | | |
| 3.95%, 12/01/47 | 68,000 | | 85,295 |
| Elanco Animal Health, Inc. | | | |
| 5.02%, 08/28/23 | 225,000 | | 237,234 |
| Emory University | | | |
| 1.57%, 09/01/25 | 1,600,000 | | 1,635,199 |
| Enable Midstream Partners LP | | | |
| 4.95%, 05/15/28 | 900,000 | | 834,991 |
| Energizer Holdings, Inc. | | | |
| 7.75%, 01/15/27 144A | 425,000 | | 454,149 |
| Energy Transfer Operating LP | | | |
| 4.65%, 06/01/21 | 150,000 | | 153,217 |
| 4.20%, 09/15/23 | 625,000 | | 664,844 |
| 4.50%, 04/15/24 | 230,000 | | 249,644 |
| 4.05%, 03/15/25 | 65,000 | | 69,016 |
| (Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 5.13%), 6.75%, 05/15/25ρ ^ | 200,000 | | 168,348 |
| 4.75%, 01/15/26 | 40,000 | | 43,457 |
| 5.50%, 06/01/27 | 1,175,000 | | 1,311,503 |
| 4.95%, 06/15/28 | 110,000 | | 118,204 |
| 5.25%, 04/15/29 | 935,000 | | 1,025,235 |
| 3.75%, 05/15/30 | 320,000 | | 318,492 |
| 5.30%, 04/15/47 | 200,000 | | 193,874 |
| 6.00%, 06/15/48 | 50,000 | | 51,930 |
| 6.25%, 04/15/49 | 70,000 | | 74,309 |
| Energy Transfer Partners LP | | | |
| 4.50%, 11/01/23 | 310,000 | | 333,141 |
See Notes to Financial Statements.
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | Par | | Value |
| Entercom Media Corporation | | | |
| 6.50%, 05/01/27 144A | $ 175,000 | | $ 157,686 |
| Entergy Louisiana LLC | | | |
| 5.40%, 11/01/24 | 1,200,000 | | 1,423,315 |
| Enterprise Products Operating LLC | | | |
| 4.15%, 10/16/28 | 600,000 | | 684,858 |
| 3.13%, 07/31/29 | 100,000 | | 107,248 |
| 2.80%, 01/31/30 | 570,000 | | 594,838 |
| 7.55%, 04/15/38 | 50,000 | | 69,442 |
| 5.70%, 02/15/42 | 60,000 | | 73,677 |
| 4.85%, 03/15/44 | 50,000 | | 58,093 |
| 4.80%, 02/01/49 | 30,000 | | 35,902 |
| 4.20%, 01/31/50 | 380,000 | | 425,845 |
| 3.70%, 01/31/51 | 150,000 | | 157,830 |
| 3.95%, 01/31/60 | 120,000 | | 124,923 |
| (Variable, ICE LIBOR USD 3M + 2.78%), 3.13%, 06/01/67† | 455,000 | | 355,694 |
| EOG Resources, Inc. | | | |
| 4.15%, 01/15/26 | 160,000 | | 184,292 |
| 4.38%, 04/15/30 | 40,000 | | 47,817 |
| 3.90%, 04/01/35 | 260,000 | | 303,940 |
| 4.95%, 04/15/50 | 260,000 | | 333,069 |
| EPR Properties REIT | | | |
| 4.75%, 12/15/26 | 1,200,000 | | 1,147,039 |
| EQM Midstream Partners LP | | | |
| 4.75%, 07/15/23 | 475,000 | | 479,028 |
| 4.13%, 12/01/26 | 1,800,000 | | 1,653,183 |
| 5.50%, 07/15/28Δ | 300,000 | | 286,419 |
| Equitable Holdings, Inc. | | | |
| 4.35%, 04/20/28 | 1,365,000 | | 1,535,563 |
| ERAC USA Finance LLC | | | |
| 4.50%, 08/16/21 144A | 709,000 | | 732,012 |
| Exelon Corporation | | | |
| 4.05%, 04/15/30 | 325,000 | | 376,034 |
| 5.63%, 06/15/35 | 415,000 | | 545,828 |
| 4.70%, 04/15/50 | 25,000 | | 31,948 |
| Exelon Generation Co. LLC | | | |
| 3.25%, 06/01/25 | 1,600,000 | | 1,729,465 |
| Expedia Group, Inc. | | | |
| 5.00%, 02/15/26 | 65,000 | | 66,948 |
| 3.80%, 02/15/28 | 300,000 | | 287,536 |
| Exxon Mobil Corporation | | | |
| 1.57%, 04/15/23 | 50,000 | | 51,351 |
| 2.99%, 03/19/25 | 660,000 | | 717,398 |
| 3.04%, 03/01/26 | 280,000 | | 307,941 |
| 3.48%, 03/19/30 | 540,000 | | 615,811 |
| 4.11%, 03/01/46 | 230,000 | | 277,185 |
| 4.33%, 03/19/50 | 190,000 | | 238,046 |
| Federal Realty Investment Trust REIT | | | |
| 3.50%, 06/01/30 | 1,900,000 | | 2,008,242 |
| Fifth Third Bancorp | | | |
| 2.38%, 01/28/25 | 375,000 | | 396,263 |
| FirstEnergy Corporation | | | |
| 4.25%, 03/15/23 | 290,000 | | 313,790 |
| 1.60%, 01/15/26 | 100,000 | | 101,013 |
| 3.90%, 07/15/27 | 690,000 | | 781,756 |
| 2.65%, 03/01/30 | 750,000 | | 784,464 |
| 2.25%, 09/01/30 | 325,000 | | 327,510 |
| | | Par | | Value |
| 7.38%, 11/15/31 | $1,800,000 | | $2,632,168 |
| Fiserv, Inc. | | | |
| 3.80%, 10/01/23 | 225,000 | | 245,983 |
| 2.75%, 07/01/24 | 1,090,000 | | 1,162,933 |
| 3.85%, 06/01/25 | 65,000 | | 73,459 |
| 3.20%, 07/01/26 | 725,000 | | 803,083 |
| 4.20%, 10/01/28 | 375,000 | | 440,332 |
| Florida Power & Light Co. | | | |
| 3.80%, 12/15/42 | 425,000 | | 513,285 |
| Ford Motor Credit Co. LLC | | | |
| 3.16%, 08/04/20 | 225,000 | | 224,342 |
| 5.75%, 02/01/21 | 200,000 | | 201,510 |
| 3.34%, 03/18/21 | 1,850,000 | | 1,836,745 |
| 5.88%, 08/02/21 | 770,000 | | 779,024 |
| 2.98%, 08/03/22 | 1,800,000 | | 1,731,960 |
| Fortive Corporation | | | |
| 3.15%, 06/15/26 | 65,000 | | 71,257 |
| Fox Corporation | | | |
| 4.03%, 01/25/24 | 480,000 | | 532,406 |
| 4.71%, 01/25/29 | 470,000 | | 565,388 |
| 3.50%, 04/08/30 | 125,000 | | 139,872 |
| 5.48%, 01/25/39 | 300,000 | | 401,609 |
| 5.58%, 01/25/49 | 80,000 | | 111,590 |
| Freeport-McMoRan, Inc. | | | |
| 3.55%, 03/01/22 | 20,000 | | 20,045 |
| 3.88%, 03/15/23 | 10,000 | | 10,020 |
| 4.55%, 11/14/24 | 10,000 | | 10,189 |
| 5.45%, 03/15/43 | 192,000 | | 188,810 |
| GE Capital Funding LLC | | | |
| 4.05%, 05/15/27 144A | 1,900,000 | | 2,004,751 |
| General Dynamics Corporation | | | |
| 3.50%, 05/15/25 | 40,000 | | 44,778 |
| 4.25%, 04/01/40 | 30,000 | | 37,455 |
| 4.25%, 04/01/50 | 450,000 | | 585,064 |
| General Electric Co. | | | |
| 3.15%, 09/07/22 | 230,000 | | 240,964 |
| 2.70%, 10/09/22 | 75,000 | | 77,989 |
| 3.10%, 01/09/23 | 250,000 | | 261,919 |
| 3.45%, 05/01/27 | 195,000 | | 199,763 |
| 3.63%, 05/01/30 | 525,000 | | 526,675 |
| 6.75%, 03/15/32 | 80,000 | | 97,407 |
| 6.88%, 01/10/39 | 500,000 | | 614,931 |
| 4.25%, 05/01/40 | 325,000 | | 324,047 |
| 4.35%, 05/01/50 | 1,105,000 | | 1,094,662 |
| General Mills, Inc. | | | |
| 4.20%, 04/17/28 | 600,000 | | 710,711 |
| General Motors Co. | | | |
| 5.40%, 10/02/23 | 535,000 | | 578,904 |
| 4.00%, 04/01/25 | 200,000 | | 207,806 |
| 6.13%, 10/01/25 | 190,000 | | 213,739 |
| 5.15%, 04/01/38 | 50,000 | | 47,978 |
| 5.95%, 04/01/49 | 50,000 | | 52,636 |
| General Motors Financial Co., Inc. | | | |
| 3.20%, 07/13/20 | 1,000,000 | | 1,000,475 |
| 2.45%, 11/06/20 | 130,000 | | 130,211 |
| 4.38%, 09/25/21 | 400,000 | | 410,911 |
| 3.45%, 04/10/22 | 230,000 | | 234,576 |
See Notes to Financial Statements.
| | | Par | | Value |
| 5.20%, 03/20/23 | $1,900,000 | | $2,031,852 |
| 4.15%, 06/19/23 | 65,000 | | 67,968 |
| 4.30%, 07/13/25 | 300,000 | | 312,970 |
| 4.35%, 01/17/27 | 590,000 | | 611,313 |
| 5.65%, 01/17/29 | 100,000 | | 112,607 |
| Genesis Energy LP | | | |
| 6.50%, 10/01/25 | 400,000 | | 343,246 |
| Gilead Sciences, Inc. | | | |
| 2.55%, 09/01/20 | 80,000 | | 80,291 |
| 3.70%, 04/01/24 | 230,000 | | 254,563 |
| 4.50%, 02/01/45 | 300,000 | | 390,722 |
| 4.75%, 03/01/46 | 20,000 | | 27,074 |
| Glencore Funding LLC | | | |
| 3.00%, 10/27/22 144A | 10,000 | | 10,330 |
| 4.13%, 05/30/23 144A | 20,000 | | 21,398 |
| 4.13%, 03/12/24 144A | 1,185,000 | | 1,271,525 |
| 4.63%, 04/29/24 144A | 658,000 | | 726,832 |
| 4.00%, 03/27/27 144A | 535,000 | | 574,226 |
| 3.88%, 10/27/27 144A | 350,000 | | 374,328 |
| Global Payments, Inc. | | | |
| 2.65%, 02/15/25 | 400,000 | | 424,268 |
| 3.20%, 08/15/29 | 225,000 | | 241,496 |
| 2.90%, 05/15/30 | 1,600,000 | | 1,681,086 |
| Goldman Sachs Capital II | | | |
| (Variable, ICE LIBOR USD 3M + 0.77%), 4.00%, 08/03/20† ρ | 3,000 | | 2,530 |
| Goldman Sachs Group, Inc. (The) | | | |
| 5.25%, 07/27/21 | 160,000 | | 168,036 |
| 3.20%, 02/23/23 | 250,000 | | 265,362 |
| 3.85%, 07/08/24 | 150,000 | | 165,474 |
| 3.50%, 01/23/25 | 1,700,000 | | 1,852,952 |
| 3.50%, 04/01/25 | 320,000 | | 351,263 |
| 4.25%, 10/21/25 | 1,170,000 | | 1,318,007 |
| 3.50%, 11/16/26 | 700,000 | | 770,401 |
| (Variable, ICE LIBOR USD 3M + 1.16%), 3.81%, 04/23/29^ | 690,000 | | 780,546 |
| (Variable, ICE LIBOR USD 3M + 1.30%), 4.22%, 05/01/29^ | 480,000 | | 558,853 |
| 6.75%, 10/01/37 | 110,000 | | 160,329 |
| 6.25%, 02/01/41 | 750,000 | | 1,125,986 |
| 5.15%, 05/22/45 | 330,000 | | 435,798 |
| 4.75%, 10/21/45 | 530,000 | | 693,360 |
| Goodman US Finance Three LLC REIT | | | |
| 3.70%, 03/15/28 144A | 1,000,000 | | 1,082,836 |
| Great-West Lifeco Finance 2018 LP | | | |
| 4.05%, 05/17/28 144A Δ | 225,000 | | 255,390 |
| Guardian Life Global Funding | | | |
| 1.10%, 06/23/25 144A | 100,000 | | 100,437 |
| Halliburton Co. | | | |
| 3.80%, 11/15/25 | 42,000 | | 45,397 |
| 5.00%, 11/15/45 | 230,000 | | 236,438 |
| Hartford Financial Services Group, Inc. (The) | | | |
| 2.80%, 08/19/29Δ | 35,000 | | 37,132 |
| HCA, Inc. | | | |
| 5.38%, 02/01/25 | 600,000 | | 644,433 |
| 5.25%, 04/15/25 | 120,000 | | 137,712 |
| | | Par | | Value |
| 5.25%, 06/15/26 | $ 10,000 | | $ 11,567 |
| 5.38%, 09/01/26 | 1,600,000 | | 1,745,920 |
| 5.50%, 06/15/47 | 50,000 | | 61,028 |
| Healthcare Trust of America Holdings LP REIT | | | |
| 3.10%, 02/15/30 | 1,500,000 | | 1,515,848 |
| Healthpeak Properties, Inc. REIT | | | |
| 3.50%, 07/15/29 | 65,000 | | 70,899 |
| Hewlett Packard Enterprise Co. | | | |
| 2.25%, 04/01/23 | 1,000,000 | | 1,030,362 |
| 4.45%, 10/02/23 | 1,350,000 | | 1,474,026 |
| 4.65%, 10/01/24 | 550,000 | | 618,189 |
| 4.90%, 10/15/25 | 945,000 | | 1,091,529 |
| 6.35%, 10/15/45 | 155,000 | | 190,331 |
| Home Depot, Inc. (The) | | | |
| 2.50%, 04/15/27 | 150,000 | | 164,592 |
| 3.90%, 12/06/28 | 270,000 | | 323,182 |
| 2.70%, 04/15/30 | 170,000 | | 187,072 |
| 3.30%, 04/15/40 | 450,000 | | 507,011 |
| 4.50%, 12/06/48 | 25,000 | | 33,630 |
| 3.35%, 04/15/50 | 1,160,000 | | 1,331,799 |
| Honeywell International, Inc. | | | |
| 1.35%, 06/01/25 | 180,000 | | 184,476 |
| Humana, Inc. | | | |
| 3.15%, 12/01/22 | 70,000 | | 73,412 |
| 4.50%, 04/01/25 | 40,000 | | 45,571 |
| 3.95%, 03/15/27 | 150,000 | | 170,316 |
| 4.63%, 12/01/42 | 60,000 | | 72,966 |
| 4.95%, 10/01/44 | 70,000 | | 92,150 |
| 4.80%, 03/15/47 | 10,000 | | 13,078 |
| Huntington Bancshares, Inc. | | | |
| 4.00%, 05/15/25Δ | 550,000 | | 623,709 |
| Huntsman International LLC | | | |
| 4.50%, 05/01/29 | 330,000 | | 347,433 |
| Hyatt Hotels Corporation | | | |
| 5.38%, 04/23/25 | 55,000 | | 58,342 |
| Hyundai Capital America | | | |
| 2.75%, 09/27/26Δ | 70,000 | | 69,820 |
| IHS Markit, Ltd. | | | |
| 4.00%, 03/01/26 144A | 1,125,000 | | 1,237,854 |
| Intel Corporation | | | |
| 3.70%, 07/29/25 | 80,000 | | 90,955 |
| 4.60%, 03/25/40 | 120,000 | | 158,941 |
| 3.73%, 12/08/47 | 76,000 | | 90,336 |
| 4.75%, 03/25/50 | 800,000 | | 1,132,907 |
| 4.95%, 03/25/60 | 230,000 | | 339,629 |
| Intercontinental Exchange, Inc. | | | |
| 3.00%, 06/15/50 | 1,825,000 | | 1,897,211 |
| International Business Machines Corporation | | | |
| 3.00%, 05/15/24 | 720,000 | | 780,120 |
| International Lease Finance Corporation | | | |
| 8.63%, 01/15/22 | 420,000 | | 451,409 |
| Intuit, Inc. | | | |
| 1.35%, 07/15/27 | 175,000 | | 176,094 |
| 1.65%, 07/15/30 | 125,000 | | 124,913 |
See Notes to Financial Statements.
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | Par | | Value |
| ITC Holdings Corporation | | | |
| 2.95%, 05/14/30 144A | $1,900,000 | | $2,027,897 |
| JetBlue Pass-Through Trust, Series 2019-1, Class AA | | | |
| 2.75%, 05/15/32 | 2,074,395 | | 1,977,032 |
| JM Smucker Co. (The) | | | |
| 2.38%, 03/15/30 | 225,000 | | 230,214 |
| Johnson & Johnson | | | |
| 2.45%, 03/01/26 | 110,000 | | 120,301 |
| 3.63%, 03/03/37 | 390,000 | | 466,555 |
| JPMorgan Chase & Co. | | | |
| 4.40%, 07/22/20 | 230,000 | | 230,490 |
| (Variable, ICE LIBOR USD 3M + 3.80%), 4.49%, 11/01/20† ρ | 1,260,000 | | 1,195,318 |
| 4.35%, 08/15/21 | 70,000 | | 73,068 |
| (Variable, ICE LIBOR USD 3M + 0.73%), 3.56%, 04/23/24^ | 1,000,000 | | 1,070,944 |
| (Variable, U.S. SOFR + 1.46%), 1.51%, 06/01/24^ | 770,000 | | 783,186 |
| (Variable, ICE LIBOR USD 3M + 0.89%), 3.80%, 07/23/24^ | 1,775,000 | | 1,926,324 |
| 3.88%, 09/10/24 | 860,000 | | 954,102 |
| (Variable, ICE LIBOR USD 3M + 1.00%), 4.02%, 12/05/24^ | 2,900,000 | | 3,197,039 |
| (Variable, U.S. SOFR + 3.13%), 4.60%, 02/01/25ρ ^ | 875,000 | | 782,031 |
| (Variable, U.S. SOFR + 1.16%), 2.30%, 10/15/25^ | 950,000 | | 995,716 |
| 3.30%, 04/01/26 | 65,000 | | 72,708 |
| (Variable, U.S. SOFR + 1.85%), 2.08%, 04/22/26^ | 460,000 | | 478,312 |
| 2.95%, 10/01/26 | 700,000 | | 769,452 |
| (Variable, ICE LIBOR USD 3M + 1.25%), 3.96%, 01/29/27^ | 875,000 | | 997,424 |
| 4.25%, 10/01/27 | 780,000 | | 908,915 |
| 3.63%, 12/01/27 | 900,000 | | 996,107 |
| (Variable, ICE LIBOR USD 3M + 0.95%), 3.51%, 01/23/29^ | 1,520,000 | | 1,699,580 |
| (Variable, ICE LIBOR USD 3M + 1.26%), 4.20%, 07/23/29^ | 380,000 | | 446,002 |
| (Variable, ICE LIBOR USD 3M + 1.33%), 4.45%, 12/05/29^ | 170,000 | | 203,739 |
| (Variable, U.S. SOFR + 3.79%), 4.49%, 03/24/31^ | 75,000 | | 91,616 |
| (Variable, U.S. SOFR + 2.04%), 2.52%, 04/22/31^ | 1,385,000 | | 1,465,896 |
| (Variable, U.S. SOFR + 2.52%), 2.96%, 05/13/31^ | 300,000 | | 318,859 |
| 4.95%, 06/01/45 | 400,000 | | 538,980 |
| (Variable, U.S. SOFR + 2.44%), 3.11%, 04/22/51^ | 320,000 | | 346,270 |
| Keurig Dr. Pepper, Inc. | | | |
| 4.06%, 05/25/23 | 475,000 | | 518,077 |
| 4.42%, 05/25/25 | 65,000 | | 74,997 |
| 5.09%, 05/25/48 | 475,000 | | 631,609 |
| 3.80%, 05/01/50 | 100,000 | | 113,518 |
| Keysight Technologies, Inc. | | | |
| 3.00%, 10/30/29 | 475,000 | | 514,520 |
| Kilroy Realty LP REIT | | | |
| 3.80%, 01/15/23 | 400,000 | | 413,445 |
| | | Par | | Value |
| 4.75%, 12/15/28 | $1,750,000 | | $1,965,111 |
| Kimberly-Clark Corporation | | | |
| 2.88%, 02/07/50 | 5,000 | | 5,452 |
| Kinder Morgan Energy Partners LP | | | |
| 3.95%, 09/01/22 | 520,000 | | 548,470 |
| 3.50%, 09/01/23 | 2,250,000 | | 2,403,949 |
| 4.25%, 09/01/24 | 980,000 | | 1,079,657 |
| Kinder Morgan, Inc. | | | |
| 4.30%, 06/01/25 | 30,000 | | 33,680 |
| 4.30%, 03/01/28 | 60,000 | | 68,086 |
| 5.20%, 03/01/48 | 10,000 | | 12,064 |
| KKR Group Finance Co. II LLC | | | |
| 5.50%, 02/01/43 144A | 30,000 | | 37,006 |
| Kraft Heinz Foods Co. | | | |
| 3.95%, 07/15/25 | 57,000 | | 60,518 |
| 3.00%, 06/01/26 | 320,000 | | 322,772 |
| 4.25%, 03/01/31 144A | 60,000 | | 63,752 |
| L3Harris Technologies, Inc. | | | |
| 5.05%, 04/27/45 | 110,000 | | 144,964 |
| Lam Research Corporation | | | |
| 1.90%, 06/15/30 | 350,000 | | 358,228 |
| 4.88%, 03/15/49 | 35,000 | | 48,617 |
| Lear Corporation | | | |
| 3.80%, 09/15/27 | 15,000 | | 15,235 |
| Legg Mason, Inc. | | | |
| 5.63%, 01/15/44 | 30,000 | | 37,037 |
| Lehman Escrow Bonds | | | |
| 0.00%, 01/18/12# | 200,000 | | 2,240 |
| 0.00%, 01/24/13# | 2,300,000 | | 25,760 |
| 0.00%, 07/19/17Ψ ††† # | 150,000 | | — |
| 0.00%, 12/28/17Ψ ††† # | 3,340,000 | | — |
| 0.00%, 08/06/20Ψ ††† # | 2,330,000 | | — |
| Level 3 Financing, Inc. | | | |
| 5.63%, 02/01/23 | 1,050,000 | | 1,054,006 |
| 3.40%, 03/01/27 144A | 1,600,000 | | 1,695,640 |
| Life Storage LP REIT | | | |
| 3.88%, 12/15/27 | 900,000 | | 982,756 |
| Lincoln National Corporation | | | |
| 3.05%, 01/15/30 | 20,000 | | 21,100 |
| Lockheed Martin Corporation | | | |
| 3.10%, 01/15/23 | 40,000 | | 42,554 |
| 3.55%, 01/15/26 | 310,000 | | 356,651 |
| 4.50%, 05/15/36 | 50,000 | | 65,085 |
| Lowe's Cos., Inc. | | | |
| 4.50%, 04/15/30 | 110,000 | | 135,217 |
| 5.00%, 04/15/40 | 690,000 | | 902,670 |
| 5.13%, 04/15/50 | 1,415,000 | | 1,939,486 |
| Marathon Petroleum Corporation | | | |
| 5.13%, 12/15/26 | 30,000 | | 34,547 |
| 3.80%, 04/01/28 | 125,000 | | 133,196 |
| Marriott International, Inc. | | | |
| 2.13%, 10/03/22 | 1,500,000 | | 1,474,120 |
| 3.13%, 06/15/26 | 70,000 | | 68,145 |
| Mars, Inc. | | | |
| 2.70%, 04/01/25 144A | 400,000 | | 428,708 |
| 3.20%, 04/01/30 144A | 475,000 | | 541,283 |
See Notes to Financial Statements.
| | | Par | | Value |
| Marsh & McLennan Cos., Inc. | | | |
| 3.75%, 03/14/26 | $1,100,000 | | $1,248,422 |
| 4.38%, 03/15/29 | 500,000 | | 595,788 |
| Mastercard, Inc. | | | |
| 3.30%, 03/26/27 | 250,000 | | 283,571 |
| 3.85%, 03/26/50 | 310,000 | | 387,463 |
| McDonald’s Corporation | | | |
| 3.30%, 07/01/25 | 170,000 | | 189,075 |
| 1.45%, 09/01/25 | 40,000 | | 41,058 |
| 3.70%, 01/30/26 | 350,000 | | 397,081 |
| 3.50%, 03/01/27 | 360,000 | | 407,967 |
| 3.50%, 07/01/27 | 60,000 | | 68,234 |
| 3.80%, 04/01/28 | 90,000 | | 105,293 |
| 3.60%, 07/01/30 | 160,000 | | 184,455 |
| 4.45%, 09/01/48 | 50,000 | | 61,879 |
| 3.63%, 09/01/49 | 130,000 | | 143,297 |
| 4.20%, 04/01/50 | 1,085,000 | | 1,321,442 |
| McKesson Corporation | | | |
| 3.80%, 03/15/24 | 65,000 | | 71,331 |
| Medtronic, Inc. | | | |
| 3.50%, 03/15/25 | 14,000 | | 15,809 |
| 4.63%, 03/15/45 | 36,000 | | 48,563 |
| MetLife Capital Trust IV | | | |
| 7.88%, 12/15/37 144A | 300,000 | | 380,569 |
| MetLife, Inc. | | | |
| 6.40%, 12/15/36 | 50,000 | | 59,143 |
| Metropolitan Life Global Funding I | | | |
| 3.45%, 12/18/26 144A | 1,700,000 | | 1,926,758 |
| Microchip Technology, Inc. | | | |
| 3.92%, 06/01/21 | 350,000 | | 356,901 |
| 2.67%, 09/01/23 144A | 675,000 | | 695,292 |
| Micron Technology, Inc. | | | |
| 2.50%, 04/24/23 | 250,000 | | 260,035 |
| Microsoft Corporation | | | |
| 2.88%, 02/06/24 | 470,000 | | 506,880 |
| 2.70%, 02/12/25 | 120,000 | | 130,899 |
| 2.40%, 08/08/26 | 1,540,000 | | 1,682,224 |
| 3.30%, 02/06/27 | 800,000 | | 916,194 |
| 3.45%, 08/08/36 | 10,000 | | 12,100 |
| 4.10%, 02/06/37 | 32,000 | | 41,364 |
| 2.53%, 06/01/50 | 18,000 | | 18,873 |
| 3.95%, 08/08/56 | 108,000 | | 139,250 |
| 2.68%, 06/01/60 | 22,000 | | 23,029 |
| MidAmerican Energy Co. | | | |
| 3.65%, 04/15/29 | 350,000 | | 418,031 |
| Mileage Plus Holdings LLC | | | |
| 6.50%, 06/20/27 144A | 290,000 | | 291,450 |
| Mondelez International, Inc. | | | |
| 1.50%, 05/04/25 | 670,000 | | 684,212 |
| Morgan Stanley | | | |
| 5.50%, 07/24/20 | 550,000 | | 551,689 |
| (Variable, ICE LIBOR USD 3M + 0.85%), 3.74%, 04/24/24Δ ^ | 225,000 | | 242,336 |
| 3.70%, 10/23/24 | 1,150,000 | | 1,275,989 |
| (Variable, U.S. SOFR + 1.15%), 2.72%, 07/22/25^ | 725,000 | | 769,649 |
| 4.00%, 07/23/25 | 65,000 | | 73,751 |
| | | Par | | Value |
| (Variable, U.S. SOFR + 1.99%), 2.19%, 04/28/26^ | $ 750,000 | | $ 781,802 |
| 3.63%, 01/20/27 | 1,475,000 | | 1,666,809 |
| 3.95%, 04/23/27 | 1,375,000 | | 1,548,936 |
| (Variable, ICE LIBOR USD 3M + 1.14%), 3.77%, 01/24/29^ | 220,000 | | 250,636 |
| (Variable, ICE LIBOR USD 3M + 1.63%), 4.43%, 01/23/30^ | 570,000 | | 679,608 |
| (Variable, U.S. SOFR + 1.14%), 2.70%, 01/22/31^ | 650,000 | | 689,409 |
| (Variable, U.S. SOFR + 3.12%), 3.62%, 04/01/31^ | 1,400,000 | | 1,602,662 |
| 4.30%, 01/27/45 | 30,000 | | 37,817 |
| (Variable, U.S. SOFR + 4.84%), 5.60%, 03/24/51^ | 400,000 | | 611,204 |
| MPLX LP | | | |
| 4.88%, 12/01/24 | 230,000 | | 255,599 |
| 4.88%, 06/01/25 | 100,000 | | 111,746 |
| 4.13%, 03/01/27 | 15,000 | | 15,992 |
| 4.25%, 12/01/27 | 35,000 | | 38,005 |
| 4.00%, 03/15/28 | 50,000 | | 52,723 |
| 4.80%, 02/15/29 | 250,000 | | 278,312 |
| 4.50%, 04/15/38 | 430,000 | | 430,595 |
| 5.20%, 03/01/47 | 15,000 | | 15,820 |
| 4.70%, 04/15/48 | 570,000 | | 576,272 |
| 5.50%, 02/15/49 | 595,000 | | 660,381 |
| MPT Operating Partnership LP REIT | | | |
| 4.63%, 08/01/29 | 435,000 | | 437,923 |
| Mylan, Inc. | | | |
| 5.40%, 11/29/43 | 60,000 | | 75,307 |
| Nasdaq, Inc. | | | |
| 3.25%, 04/28/50 | 125,000 | | 131,468 |
| National Retail Properties, Inc. REIT | | | |
| 3.90%, 06/15/24Δ | 255,000 | | 271,655 |
| 3.60%, 12/15/26 | 250,000 | | 263,442 |
| 2.50%, 04/15/30 | 1,800,000 | | 1,723,497 |
| National Securities Clearing Corporation | | | |
| 1.50%, 04/23/25 144A | 400,000 | | 409,386 |
| NetApp, Inc. | | | |
| 1.88%, 06/22/25Δ | 1,700,000 | | 1,726,236 |
| New York Life Global Funding | | | |
| 0.95%, 06/24/25 144A | 200,000 | | 200,633 |
| New York Life Insurance Co. | | | |
| 3.75%, 05/15/50 144A | 300,000 | | 339,742 |
| Newell Brands, Inc. | | | |
| 4.35%, 04/01/23 | 132,000 | | 136,594 |
| 4.70%, 04/01/26 | 150,000 | | 157,857 |
| NextEra Energy Capital Holdings, Inc. | | | |
| 2.25%, 06/01/30 | 1,900,000 | | 1,961,058 |
| Niagara Mohawk Power Corporation | | | |
| 4.28%, 12/15/28 144A | 2,000,000 | | 2,333,400 |
| NIKE, Inc. | | | |
| 2.40%, 03/27/25 | 140,000 | | 150,663 |
| 2.75%, 03/27/27 | 220,000 | | 242,564 |
| 2.85%, 03/27/30 | 230,000 | | 256,097 |
| 3.25%, 03/27/40 | 425,000 | | 476,715 |
See Notes to Financial Statements.
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | Par | | Value |
| 3.38%, 03/27/50 | $1,060,000 | | $1,228,860 |
| NiSource, Inc. | | | |
| 3.65%, 06/15/23 | 400,000 | | 432,403 |
| 3.49%, 05/15/27 | 925,000 | | 1,047,622 |
| 3.60%, 05/01/30 | 100,000 | | 114,777 |
| 3.95%, 03/30/48 | 450,000 | | 522,376 |
| Nissan Motor Acceptance Corporation | | | |
| (Floating, ICE LIBOR USD 3M + 0.89%), 2.20%, 01/13/22 144A † | 1,900,000 | | 1,826,625 |
| Noble Energy, Inc. | | | |
| 3.85%, 01/15/28 | 550,000 | | 531,727 |
| 6.00%, 03/01/41 | 10,000 | | 9,773 |
| 5.25%, 11/15/43 | 5,000 | | 4,663 |
| 4.95%, 08/15/47 | 110,000 | | 98,446 |
| Northrop Grumman Corporation | | | |
| 2.93%, 01/15/25 | 870,000 | | 941,575 |
| 3.25%, 01/15/28 | 670,000 | | 749,788 |
| 4.75%, 06/01/43 | 200,000 | | 259,755 |
| 5.25%, 05/01/50 | 355,000 | | 511,454 |
| Northwell Healthcare, Inc. | | | |
| 6.15%, 11/01/43 | 375,000 | | 506,772 |
| Northwestern Mutual Life Insurance Co. (The) | | | |
| 6.06%, 03/30/40 144A | 300,000 | | 428,225 |
| 3.85%, 09/30/47 144A | 250,000 | | 286,862 |
| Novartis Capital Corporation | | | |
| 4.40%, 05/06/44 | 30,000 | | 40,117 |
| NRG Energy, Inc. | | | |
| 3.75%, 06/15/24 144A | 625,000 | | 663,944 |
| Nuveen LLC | | | |
| 4.00%, 11/01/28 144A | 225,000 | | 266,438 |
| NVIDIA Corporation | | | |
| 2.85%, 04/01/30 | 120,000 | | 133,779 |
| 3.50%, 04/01/40 | 540,000 | | 632,128 |
| 3.50%, 04/01/50 | 1,460,000 | | 1,677,723 |
| 3.70%, 04/01/60 | 460,000 | | 549,848 |
| Occidental Petroleum Corporation | | | |
| 4.85%, 03/15/21 | 231,000 | | 230,278 |
| 2.60%, 08/13/21 | 360,000 | | 352,791 |
| 3.13%, 02/15/22 | 100,000 | | 96,270 |
| 2.70%, 08/15/22 | 250,000 | | 233,199 |
| 2.70%, 02/15/23 | 20,000 | | 18,325 |
| 6.95%, 07/01/24 | 290,000 | | 285,650 |
| 2.90%, 08/15/24 | 1,890,000 | | 1,618,728 |
| 5.55%, 03/15/26 | 845,000 | | 772,960 |
| 3.40%, 04/15/26 | 500,000 | | 408,750 |
| 3.20%, 08/15/26 | 260,000 | | 212,388 |
| 3.00%, 02/15/27 | 150,000 | | 117,030 |
| 7.88%, 09/15/31 | 280,000 | | 266,351 |
| 6.45%, 09/15/36 | 280,000 | | 238,048 |
| 4.63%, 06/15/45 | 130,000 | | 91,650 |
| 6.60%, 03/15/46 | 470,000 | | 411,177 |
| 4.40%, 04/15/46 | 60,000 | | 41,954 |
| 4.10%, 02/15/47 | 260,000 | | 176,475 |
| | | Par | | Value |
| 4.20%, 03/15/48 | $ 80,000 | | $ 54,276 |
| Omega Healthcare Investors, Inc. REIT | | | |
| 3.63%, 10/01/29 | 1,600,000 | | 1,568,781 |
| Omnicom Group, Inc. | | | |
| 3.60%, 04/15/26 | 30,000 | | 33,503 |
| ONEOK, Inc. | | | |
| 6.35%, 01/15/31 | 1,600,000 | | 1,876,550 |
| Oracle Corporation | | | |
| 3.60%, 04/01/40 | 400,000 | | 455,658 |
| 4.00%, 07/15/46 | 375,000 | | 443,854 |
| 3.85%, 04/01/60 | 425,000 | | 500,162 |
| Otis Worldwide Corporation | | | |
| 2.06%, 04/05/25 144A | 130,000 | | 136,534 |
| 2.29%, 04/05/27 144A | 330,000 | | 345,142 |
| 2.57%, 02/15/30 144A | 1,815,000 | | 1,910,937 |
| Pacific Gas and Electric Co. | | | |
| 1.75%, 06/16/22 | 1,400,000 | | 1,405,740 |
| 3.40%, 08/15/24 | 600,000 | | 662,187 |
| 2.10%, 08/01/27 | 370,000 | | 367,095 |
| 2.50%, 02/01/31Δ | 610,000 | | 598,306 |
| 3.30%, 08/01/40Δ | 185,000 | | 180,775 |
| 3.50%, 08/01/50 | 375,000 | | 363,367 |
| Pacific Life Global Funding II | | | |
| 1.20%, 06/24/25 144A | 1,700,000 | | 1,710,118 |
| PayPal Holdings, Inc. | | | |
| 1.35%, 06/01/23 | 220,000 | | 224,453 |
| 1.65%, 06/01/25 | 1,380,000 | | 1,428,229 |
| 2.65%, 10/01/26 | 2,775,000 | | 3,018,235 |
| Penske Truck Leasing Co. LP | | | |
| 3.38%, 02/01/22 144A | 1,000,000 | | 1,026,254 |
| PepsiCo, Inc. | | | |
| 0.75%, 05/01/23 | 300,000 | | 302,856 |
| 2.25%, 03/19/25 | 20,000 | | 21,389 |
| 2.63%, 03/19/27 | 30,000 | | 32,825 |
| 1.63%, 05/01/30 | 250,000 | | 254,926 |
| 3.45%, 10/06/46 | 30,000 | | 34,709 |
| 2.88%, 10/15/49 | 220,000 | | 238,677 |
| 3.63%, 03/19/50 | 465,000 | | 561,283 |
| 3.88%, 03/19/60 | 170,000 | | 216,272 |
| Phillips 66 | | | |
| 3.70%, 04/06/23 | 400,000 | | 427,880 |
| 3.85%, 04/09/25 | 100,000 | | 110,961 |
| 3.90%, 03/15/28 | 475,000 | | 538,091 |
| Phillips 66 Partners LP | | | |
| 3.75%, 03/01/28 | 40,000 | | 42,751 |
| Physicians Realty LP REIT | | | |
| 3.95%, 01/15/28 | 2,400,000 | | 2,450,926 |
| Plains All American Pipeline LP | | | |
| 3.65%, 06/01/22 | 200,000 | | 204,523 |
| 3.80%, 09/15/30 | 250,000 | | 245,458 |
| Post Holdings, Inc. | | | |
| 5.50%, 12/15/29 144A | 350,000 | | 362,533 |
See Notes to Financial Statements.
| | | Par | | Value |
| Principal Life Global Funding II | | | |
| 1.25%, 06/23/25 144A | $ 90,000 | | $ 90,366 |
| Procter & Gamble Co. (The) | | | |
| 2.45%, 03/25/25 | 110,000 | | 119,463 |
| 2.80%, 03/25/27 | 40,000 | | 44,524 |
| 3.00%, 03/25/30 | 130,000 | | 149,026 |
| 3.55%, 03/25/40 | 160,000 | | 192,793 |
| 3.60%, 03/25/50 | 420,000 | | 529,314 |
| Progress Energy, Inc. | | | |
| 7.75%, 03/01/31 | 350,000 | | 505,083 |
| Progressive Corporation (The) | | | |
| 3.95%, 03/26/50 | 125,000 | | 159,325 |
| Range Resources Corporation | | | |
| 5.00%, 03/15/23 | 430,000 | | 371,139 |
| 4.88%, 05/15/25Δ | 10,000 | | 7,581 |
| Raymond James Financial, Inc. | | | |
| 4.65%, 04/01/30 | 75,000 | | 89,554 |
| Raytheon Co. | | | |
| 3.13%, 10/15/20Δ | 200,000 | | 201,615 |
| Raytheon Technologies Corporation | | | |
| 3.65%, 08/16/23 | 8,000 | | 8,674 |
| 3.15%, 12/15/24 144A | 120,000 | | 129,749 |
| 3.95%, 08/16/25 | 530,000 | | 603,467 |
| 3.50%, 03/15/27 144A | 550,000 | | 619,789 |
| 4.13%, 11/16/28 | 665,000 | | 783,844 |
| 2.25%, 07/01/30 | 240,000 | | 250,509 |
| 4.50%, 06/01/42 | 115,000 | | 143,539 |
| 4.05%, 05/04/47 | 175,000 | | 209,489 |
| 4.63%, 11/16/48 | 250,000 | | 325,127 |
| Realty Income Corporation REIT | | | |
| 3.25%, 01/15/31 | 1,800,000 | | 1,951,721 |
| Regency Centers LP REIT | | | |
| 2.95%, 09/15/29 | 775,000 | | 787,263 |
| Regions Financial Corporation | | | |
| 3.80%, 08/14/23 | 138,000 | | 150,159 |
| Reinsurance Group of America, Inc. | | | |
| 3.90%, 05/15/29 | 65,000 | | 70,881 |
| RELX Capital, Inc. | | | |
| 3.50%, 03/16/23 | 1,300,000 | | 1,386,820 |
| Republic Services, Inc. | | | |
| 2.50%, 08/15/24 | 190,000 | | 202,222 |
| Roper Technologies, Inc. | | | |
| 4.20%, 09/15/28 | 500,000 | | 586,738 |
| Sabine Pass Liquefaction LLC | | | |
| 6.25%, 03/15/22 | 475,000 | | 506,407 |
| 5.63%, 04/15/23 | 400,000 | | 437,781 |
| 5.63%, 03/01/25 | 480,000 | | 548,932 |
| 5.88%, 06/30/26 | 35,000 | | 41,155 |
| 5.00%, 03/15/27 | 425,000 | | 475,914 |
| 4.20%, 03/15/28 | 300,000 | | 322,238 |
| 4.50%, 05/15/30 144A | 1,600,000 | | 1,779,766 |
| Sabra Health Care LP REIT | | | |
| 3.90%, 10/15/29 | 1,500,000 | | 1,366,620 |
| salesforce.com, Inc. | | | |
| 3.25%, 04/11/23 | 300,000 | | 322,537 |
| Santander Holdings USA, Inc. | | | |
| 3.50%, 06/07/24 | 65,000 | | 68,408 |
| | | Par | | Value |
| 4.50%, 07/17/25 | $ 60,000 | | $ 64,953 |
| 3.24%, 10/05/26 | 1,100,000 | | 1,144,392 |
| Schlumberger Holdings Corporation | | | |
| 4.00%, 12/21/25 144A | 190,000 | | 209,092 |
| 3.90%, 05/17/28 144A | 252,000 | | 272,147 |
| 4.30%, 05/01/29 144A | 30,000 | | 33,184 |
| Seagate HDD Cayman | | | |
| 4.75%, 01/01/25Δ | 45,000 | | 48,315 |
| Sempra Energy | | | |
| (Floating, ICE LIBOR USD 3M + 0.50%), 1.72%, 01/15/21† | 625,000 | | 625,114 |
| 2.90%, 02/01/23 | 1,125,000 | | 1,176,353 |
| (Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 4.55%), 4.88%, 10/15/25ρ ^ | 385,000 | | 388,369 |
| 3.40%, 02/01/28 | 275,000 | | 301,249 |
| Sherwin-Williams Co. (The) | | | |
| 2.75%, 06/01/22 | 7,000 | | 7,233 |
| 3.13%, 06/01/24 | 75,000 | | 80,684 |
| 3.45%, 06/01/27 | 350,000 | | 392,187 |
| 2.95%, 08/15/29 | 475,000 | | 511,646 |
| Simon Property Group LP REIT | | | |
| 2.75%, 06/01/23 | 368,000 | | 383,816 |
| 3.30%, 01/15/26 | 65,000 | | 69,787 |
| 2.45%, 09/13/29Δ | 1,600,000 | | 1,582,896 |
| Southern California Edison Co. | | | |
| 3.70%, 08/01/25 | 1,800,000 | | 1,989,717 |
| 4.20%, 03/01/29 | 400,000 | | 467,330 |
| Southern Co. (The) | | | |
| 3.25%, 07/01/26 | 1,400,000 | | 1,552,711 |
| Southern Co. Gas Capital Corporation | | | |
| 3.25%, 06/15/26 | 300,000 | | 321,309 |
| Southern Copper Corporation | | | |
| 5.25%, 11/08/42 | 2,210,000 | | 2,626,317 |
| Southern Natural Gas Co. LLC | | | |
| 8.00%, 03/01/32 | 400,000 | | 581,045 |
| Spirit AeroSystems, Inc. | | | |
| 3.95%, 06/15/23 | 1,500,000 | | 1,275,000 |
| Spirit Airlines Pass-Through Trust, Series 2015-1, Class A | | | |
| 4.10%, 04/01/28 | 1,098,350 | | 933,667 |
| Spirit Realty LP REIT | | | |
| 4.45%, 09/15/26 | 1,200,000 | | 1,245,476 |
| 4.00%, 07/15/29 | 750,000 | | 739,692 |
| Springleaf Finance Corporation | | | |
| 7.75%, 10/01/21 | 1,600,000 | | 1,668,360 |
| Sprint Communications, Inc. | | | |
| 6.00%, 11/15/22 | 875,000 | | 924,101 |
| Sprint Spectrum Co. LLC | | | |
| 3.36%, 09/20/21 144A | 62,500 | | 63,359 |
| 5.15%, 03/20/28 144A | 1,100,000 | | 1,268,916 |
| Starbucks Corporation | | | |
| 3.80%, 08/15/25 | 625,000 | | 704,859 |
| 2.55%, 11/15/30 | 1,900,000 | | 1,997,460 |
| State Street Corporation | | | |
| (Variable, ICE LIBOR USD 3M + 1.03%), 4.14%, 12/03/29^ | 60,000 | | 72,212 |
See Notes to Financial Statements.
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | Par | | Value |
| (Variable, U.S. SOFR + 2.65%), 3.15%, 03/30/31 144A ^ | $ 240,000 | | $ 269,918 |
| Steel Dynamics, Inc. | | | |
| 2.40%, 06/15/25 | 140,000 | | 144,352 |
| Stifel Financial Corporation | | | |
| 4.00%, 05/15/30 | 1,900,000 | | 1,996,713 |
| Stryker Corporation | | | |
| 1.95%, 06/15/30 | 850,000 | | 856,803 |
| Sunoco Logistics Partners Operations LP | | | |
| 4.25%, 04/01/24 | 100,000 | | 107,049 |
| 5.95%, 12/01/25 | 300,000 | | 341,829 |
| 5.30%, 04/01/44 | 20,000 | | 19,193 |
| 5.40%, 10/01/47 | 100,000 | | 100,192 |
| Synchrony Financial | | | |
| 4.25%, 08/15/24 | 70,000 | | 73,549 |
| Sysco Corporation | | | |
| 6.60%, 04/01/40 | 75,000 | | 101,446 |
| 6.60%, 04/01/50 | 250,000 | | 347,564 |
| Targa Resources Partners LP | | | |
| 5.88%, 04/15/26 | 350,000 | | 347,319 |
| 6.50%, 07/15/27 | 355,000 | | 356,775 |
| 5.50%, 03/01/30 144A | 120,000 | | 115,987 |
| TD Ameritrade Holding Corporation | | | |
| 3.30%, 04/01/27 | 65,000 | | 72,899 |
| Teachers Insurance & Annuity Association of America | | | |
| 6.85%, 12/16/39 144A | 46,000 | | 69,330 |
| 4.90%, 09/15/44 144A | 655,000 | | 844,170 |
| Tennessee Gas Pipeline Co. LLC | | | |
| 2.90%, 03/01/30 144A | 860,000 | | 883,180 |
| Texas Instruments, Inc. | | | |
| 1.75%, 05/04/30 | 370,000 | | 376,473 |
| Thermo Fisher Scientific, Inc. | | | |
| 3.65%, 12/15/25 | 200,000 | | 226,214 |
| 4.50%, 03/25/30 | 225,000 | | 279,206 |
| Time Warner Cable LLC | | | |
| 4.13%, 02/15/21 | 400,000 | | 404,600 |
| 7.30%, 07/01/38 | 620,000 | | 855,317 |
| 5.88%, 11/15/40 | 130,000 | | 160,922 |
| Time Warner Entertainment Co. LP | | | |
| 8.38%, 03/15/23 | 975,000 | | 1,143,325 |
| 8.38%, 07/15/33 | 390,000 | | 588,121 |
| TJX Cos, Inc. (The) | | | |
| 2.25%, 09/15/26 | 40,000 | | 42,809 |
| TJX Cos., Inc. (The) | | | |
| 3.50%, 04/15/25 | 180,000 | | 200,587 |
| 3.75%, 04/15/27 | 50,000 | | 57,190 |
| T-Mobile USA, Inc. | | | |
| 3.50%, 04/15/25 144A | 1,495,000 | | 1,629,946 |
| 1.50%, 02/15/26 144A | 400,000 | | 400,972 |
| 3.75%, 04/15/27 144A | 1,775,000 | | 1,969,220 |
| 2.05%, 02/15/28 144A | 650,000 | | 651,930 |
| 3.88%, 04/15/30 144A | 1,735,000 | | 1,934,239 |
| 2.55%, 02/15/31 144A | 1,200,000 | | 1,207,224 |
| Transcontinental Gas Pipe Line Co. LLC | | | |
| 7.85%, 02/01/26 | 350,000 | | 456,097 |
| | | Par | | Value |
| 3.25%, 05/15/30 144A | $ 200,000 | | $ 214,029 |
| TransDigm, Inc. | | | |
| 6.50%, 05/15/25 | 50,000 | | 46,885 |
| 6.38%, 06/15/26 | 350,000 | | 319,984 |
| 7.50%, 03/15/27 | 300,000 | | 288,357 |
| Truist Bank | | | |
| 2.25%, 03/11/30 | 475,000 | | 480,056 |
| U.S. Bancorp | | | |
| 3.38%, 02/05/24 | 65,000 | | 71,092 |
| 1.45%, 05/12/25 | 2,380,000 | | 2,454,202 |
| U.S. Bank NA | | | |
| 3.15%, 04/26/21 | 300,000 | | 306,237 |
| UDR, Inc. REIT | | | |
| 3.20%, 01/15/30 | 1,200,000 | | 1,308,897 |
| Union Pacific Corporation | | | |
| 3.75%, 07/15/25 | 210,000 | | 237,883 |
| 3.95%, 09/10/28 | 530,000 | | 630,144 |
| 3.80%, 10/01/51 | 35,000 | | 41,716 |
| 3.75%, 02/05/70 | 80,000 | | 89,645 |
| United Airlines Pass-Through Trust, Series 2016-2, Class A | | | |
| 3.10%, 10/07/28 | 694,276 | | 581,771 |
| United Airlines Pass-Through Trust, Series 2016-2, Class AA | | | |
| 2.88%, 10/07/28 | 694,276 | | 650,484 |
| United Parcel Service, Inc. | | | |
| 5.30%, 04/01/50 | 100,000 | | 144,536 |
| UnitedHealth Group, Inc. | | | |
| 2.70%, 07/15/20 | 280,000 | | 280,245 |
| 2.88%, 12/15/21 | 180,000 | | 186,683 |
| 2.38%, 10/15/22 | 40,000 | | 41,866 |
| 3.50%, 06/15/23 | 90,000 | | 98,099 |
| 3.75%, 07/15/25 | 230,000 | | 262,228 |
| 1.25%, 01/15/26 | 90,000 | | 91,732 |
| 2.00%, 05/15/30 | 280,000 | | 293,535 |
| 4.25%, 06/15/48 | 160,000 | | 204,881 |
| 4.45%, 12/15/48 | 50,000 | | 65,638 |
| 3.70%, 08/15/49Δ | 170,000 | | 201,495 |
| 2.90%, 05/15/50 | 250,000 | | 264,535 |
| 3.88%, 08/15/59 | 190,000 | | 233,277 |
| 3.13%, 05/15/60 | 80,000 | | 85,838 |
| USAA Capital Corporation | | | |
| 1.50%, 05/01/23 144A | 150,000 | | 153,961 |
| Valero Energy Corporation | | | |
| 2.70%, 04/15/23 | 700,000 | | 726,757 |
| 2.85%, 04/15/25 | 350,000 | | 369,754 |
| 3.40%, 09/15/26 | 45,000 | | 49,293 |
| Ventas Realty LP REIT | | | |
| 3.00%, 01/15/30 | 1,700,000 | | 1,685,692 |
| VEREIT Operating Partnership LP REIT | | | |
| 4.63%, 11/01/25 | 600,000 | | 649,271 |
| 3.95%, 08/15/27 | 150,000 | | 156,197 |
| 3.40%, 01/15/28 | 200,000 | | 201,871 |
| Verizon Communications, Inc. | | | |
| 3.50%, 11/01/24 | 1,175,000 | | 1,301,298 |
| 3.38%, 02/15/25 | 3,005,000 | | 3,345,656 |
See Notes to Financial Statements.
| | | Par | | Value |
| 2.63%, 08/15/26 | $ 280,000 | | $ 304,914 |
| 3.00%, 03/22/27 | 70,000 | | 77,770 |
| 4.33%, 09/21/28 | 2,018,000 | | 2,430,428 |
| 3.88%, 02/08/29 | 360,000 | | 426,103 |
| 3.15%, 03/22/30 | 1,465,000 | | 1,646,728 |
| 4.50%, 08/10/33 | 230,000 | | 286,795 |
| 5.25%, 03/16/37 | 530,000 | | 710,394 |
| 3.85%, 11/01/42 | 40,000 | | 48,850 |
| 4.13%, 08/15/46 | 410,000 | | 514,186 |
| 4.86%, 08/21/46 | 290,000 | | 394,457 |
| 5.50%, 03/16/47 | 40,000 | | 59,391 |
| 5.01%, 04/15/49 | 716,000 | | 1,001,207 |
| 4.00%, 03/22/50 | 160,000 | | 205,611 |
| Visa, Inc. | | | |
| 3.15%, 12/14/25 | 450,000 | | 501,641 |
| 2.05%, 04/15/30 | 270,000 | | 283,535 |
| 2.70%, 04/15/40 | 270,000 | | 289,788 |
| 4.30%, 12/14/45 | 460,000 | | 609,425 |
| Vistra Operations Co. LLC | | | |
| 3.55%, 07/15/24 144A | 1,215,000 | | 1,254,767 |
| VMware, Inc. | | | |
| 2.95%, 08/21/22 | 1,100,000 | | 1,138,248 |
| 3.90%, 08/21/27 | 535,000 | | 568,103 |
| Volkswagen Group of America Finance LLC | | | |
| 3.88%, 11/13/20 144A | 2,400,000 | | 2,422,906 |
| (Floating, ICE LIBOR USD 3M + 0.86%), 1.16%, 09/24/21 144A † | 1,600,000 | | 1,594,678 |
| 3.13%, 05/12/23 144A | 1,600,000 | | 1,683,935 |
| Voya Financial, Inc. | | | |
| 5.70%, 07/15/43 | 170,000 | | 221,478 |
| Wachovia Capital Trust III | | | |
| (Variable, ICE LIBOR USD 3M + 0.93%), 5.57%, 08/03/20† ρ | 560,000 | | 556,819 |
| Walgreens Boots Alliance, Inc. | | | |
| 3.45%, 06/01/26 | 70,000 | | 75,882 |
| 4.10%, 04/15/50 | 975,000 | | 989,153 |
| Walmart, Inc. | | | |
| 3.40%, 06/26/23 | 100,000 | | 108,997 |
| 3.55%, 06/26/25 | 70,000 | | 79,431 |
| 3.70%, 06/26/28 | 620,000 | | 734,680 |
| 4.05%, 06/29/48 | 250,000 | | 329,558 |
| Walt Disney Co. (The) | | | |
| 3.70%, 09/15/24 | 625,000 | | 693,648 |
| 2.20%, 01/13/28 | 1,300,000 | | 1,359,599 |
| 2.65%, 01/13/31 | 400,000 | | 424,842 |
| 6.65%, 11/15/37 | 150,000 | | 225,134 |
| Washington Prime Group LP REIT | | | |
| 6.45%, 08/15/24Δ | 1,700,000 | | 963,398 |
| Waste Management, Inc. | | | |
| 3.50%, 05/15/24 | 140,000 | | 152,676 |
| 3.20%, 06/15/26 | 110,000 | | 112,800 |
| 3.45%, 06/15/29 | 120,000 | | 123,702 |
| 4.00%, 07/15/39 | 30,000 | | 30,901 |
| 4.15%, 07/15/49 | 150,000 | | 188,423 |
| WEA Finance LLC REIT | | | |
| 3.75%, 09/17/24 144A | 770,000 | | 795,230 |
| | | Par | | Value |
| Wells Fargo & Co. | | | |
| 4.60%, 04/01/21 | $ 70,000 | | $ 72,171 |
| 3.45%, 02/13/23 | 200,000 | | 212,458 |
| (Floating, ICE LIBOR USD 3M + 1.23%), 1.99%, 10/31/23† | 600,000 | | 604,473 |
| 4.48%, 01/16/24 | 396,000 | | 439,902 |
| 3.75%, 01/24/24 | 1,325,000 | | 1,448,710 |
| 3.55%, 09/29/25 | 1,500,000 | | 1,676,316 |
| 3.00%, 04/22/26 | 900,000 | | 983,593 |
| (Variable, U.S. SOFR + 2.00%), 2.19%, 04/30/26Δ ^ | 1,540,000 | | 1,594,135 |
| 4.10%, 06/03/26 | 440,000 | | 496,590 |
| 3.00%, 10/23/26 | 2,210,000 | | 2,410,476 |
| 4.30%, 07/22/27 | 2,240,000 | | 2,573,062 |
| 4.15%, 01/24/29 | 645,000 | | 759,651 |
| (Variable, ICE LIBOR USD 3M + 1.17%), 2.88%, 10/30/30^ | 410,000 | | 438,975 |
| (Variable, ICE LIBOR USD 3M + 3.77%), 4.48%, 04/04/31^ | 170,000 | | 205,918 |
| 5.95%, 12/15/36 | 140,000 | | 168,667 |
| 5.38%, 11/02/43 | 190,000 | | 258,217 |
| 4.65%, 11/04/44 | 70,000 | | 86,830 |
| 4.90%, 11/17/45 | 370,000 | | 475,823 |
| 4.40%, 06/14/46 | 70,000 | | 83,605 |
| 4.75%, 12/07/46 | 260,000 | | 333,769 |
| (Variable, ICE LIBOR USD 3M + 4.24%), 5.01%, 04/04/51^ | 3,350,000 | | 4,670,362 |
| Wells Fargo Bank NA | | | |
| (Floating, ICE LIBOR USD 3M + 0.62%), 0.99%, 05/27/22† | 2,400,000 | | 2,405,784 |
| Welltower, Inc. REIT | | | |
| 4.25%, 04/01/26 | 898,000 | | 1,007,839 |
| Western Midstream Operating LP | | | |
| (Floating, ICE LIBOR USD 3M + 0.85%), 2.16%, 01/13/23† | 80,000 | | 73,447 |
| 3.10%, 02/01/25 | 770,000 | | 732,316 |
| 3.95%, 06/01/25 | 200,000 | | 188,344 |
| 4.50%, 03/01/28 | 60,000 | | 56,400 |
| 4.05%, 02/01/30 | 1,355,000 | | 1,309,438 |
| 5.45%, 04/01/44 | 75,000 | | 62,835 |
| 5.30%, 03/01/48 | 75,000 | | 61,219 |
| 5.50%, 08/15/48 | 20,000 | | 16,300 |
| 5.25%, 02/01/50 | 130,000 | | 113,132 |
| Westinghouse Air Brake Technologies Corporation | | | |
| 4.95%, 09/15/28 | 30,000 | | 33,481 |
| WestRock RKT LLC | | | |
| 4.00%, 03/01/23 | 30,000 | | 32,021 |
| Weyerhaeuser Co. REIT | | | |
| 7.38%, 03/15/32 | 50,000 | | 69,253 |
| Williams Cos., Inc. (The) | | | |
| 3.60%, 03/15/22 | 155,000 | | 161,150 |
| 4.30%, 03/04/24 | 65,000 | | 70,746 |
| 3.90%, 01/15/25 | 300,000 | | 328,842 |
| 7.50%, 01/15/31 | 100,000 | | 128,205 |
| 7.75%, 06/15/31 | 585,000 | | 757,337 |
| 8.75%, 03/15/32 | 181,000 | | 268,726 |
See Notes to Financial Statements.
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | Par | | Value |
| Willis North America, Inc. | | | |
| 2.95%, 09/15/29 | $ 245,000 | | $ 259,859 |
| WP Carey, Inc. REIT | | | |
| 4.60%, 04/01/24 | 160,000 | | 170,521 |
| 4.00%, 02/01/25 | 105,000 | | 109,737 |
| 3.85%, 07/15/29 | 900,000 | | 937,249 |
| WPX Energy, Inc. | | | |
| 5.25%, 10/15/27 | 60,000 | | 56,153 |
| 4.50%, 01/15/30 | 50,000 | | 44,097 |
| WRKCo, Inc. | | | |
| 3.75%, 03/15/25 | 500,000 | | 553,424 |
| 4.00%, 03/15/28 | 1,100,000 | | 1,233,503 |
| Zimmer Biomet Holdings, Inc. | | | |
| 3.55%, 04/01/25 | 65,000 | | 70,672 |
| 3.05%, 01/15/26 | 1,900,000 | | 2,044,147 |
| 3.55%, 03/20/30 | 825,000 | | 892,802 |
| Zoetis, Inc. | | | |
| 2.00%, 05/15/30 | 3,075,000 | | 3,168,690 |
| 4.45%, 08/20/48 | 25,000 | | 32,342 |
Total Corporate Bonds
(Cost $553,882,283) | | | 590,358,646 |
| FOREIGN BONDS — 12.0% |
| Argentina — 0.1% | | |
| Argentina POM Politica Monetaria | | | |
| (Floating, Argentina Blended Historical Policy Rate + 0.00%), 38.02%, 06/21/20(ZA) † ††† | 1,110,000 | | 16,384 |
| Argentine Bonos del Tesoro | | | |
| 18.20%, 10/03/21(ZA) | 13,930,000 | | 162,219 |
| Argentine Republic Government International Bond | | | |
| 5.63%, 01/26/22 | 1,410,000 | | 585,876 |
| 7.13%, 07/06/36 | 720,000 | | 283,900 |
| 3.75%, 12/31/38 | 810,000 | | 319,379 |
| Provincia de Buenos Aires | | | |
| 6.50%, 02/15/23 144A | 230,000 | | 97,752 |
| 7.88%, 06/15/27 144A | 180,000 | | 75,152 |
| | | | | 1,540,662 |
| Australia — 0.2% | | |
| BHP Billiton Finance (USA), Ltd. | | | |
| 2.88%, 02/24/22Δ | 20,000 | | 20,718 |
| 5.00%, 09/30/43 | 195,000 | | 270,083 |
| (Variable, USD Swap 5Y + 5.09%), 6.75%, 10/19/75 144A ^ | 880,000 | | 1,017,671 |
| Commonwealth Bank of Australia | | | |
| 3.90%, 07/12/47 144A | 110,000 | | 134,982 |
| Newcrest Finance Pty, Ltd. | | | |
| 3.25%, 05/13/30 144A | 175,000 | | 188,359 |
| Westpac Banking Corporation | | | |
| 2.60%, 11/23/20 | 310,000 | | 312,651 |
| (Variable, USD ICE Swap Rate 5Y + 2.24%), 4.32%, 11/23/31^ | 175,000 | | 194,315 |
| | | Par | | Value |
| (Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.00%), 4.11%, 07/24/34^ | $ 550,000 | | $ 607,941 |
| | | | | 2,746,720 |
| Brazil — 0.2% | | |
| Brazil Notas do Tesouro Nacional Serie F | | | |
| 10.00%, 01/01/21(B) | 2,892,000 | | 551,139 |
| 10.00%, 01/01/23(B) | 8,338,000 | | 1,743,465 |
| 10.00%, 01/01/27(B) | 1,013,000 | | 220,020 |
| Brazilian Government International Bond | | | |
| 4.63%, 01/13/28 | 480,000 | | 502,894 |
| 5.63%, 01/07/41 | 340,000 | | 355,300 |
| 5.00%, 01/27/45 | 350,000 | | 337,503 |
| Vale Overseas, Ltd. | | | |
| 6.25%, 08/10/26 | 105,000 | | 123,664 |
| 6.88%, 11/21/36 | 284,000 | | 372,266 |
| | | | | 4,206,251 |
| Canada — 0.5% | | |
| Alimentation Couche-Tard, Inc. | | | |
| 2.70%, 07/26/22 144A | 275,000 | | 281,725 |
| 3.55%, 07/26/27 144A | 75,000 | | 80,656 |
| Bank of Montreal | | | |
| 1.85%, 05/01/25 | 500,000 | | 518,008 |
| (Variable, USD Swap 5Y + 1.43%), 3.80%, 12/15/32^ | 100,000 | | 107,713 |
| Bank of Nova Scotia (The) | | | |
| 1.30%, 06/11/25Δ | 270,000 | | 272,003 |
| Barrick Gold Corporation | | | |
| 5.25%, 04/01/42 | 560,000 | | 739,006 |
| Bausch Health Cos., Inc. | | | |
| 9.00%, 12/15/25 144A | 600,000 | | 647,046 |
| Bombardier, Inc. | | | |
| 7.50%, 03/15/25 144A | 250,000 | | 163,931 |
| Canadian Imperial Bank of Commerce | | | |
| 0.95%, 06/23/23Δ | 2,370,000 | | 2,379,027 |
| (Variable, ICE LIBOR USD 3M + 0.79%), 2.61%, 07/22/23^ | 65,000 | | 67,213 |
| Royal Bank of Canada | | | |
| 2.15%, 10/26/20 | 270,000 | | 271,578 |
| 3.20%, 04/30/21 | 300,000 | | 307,216 |
| 1.60%, 04/17/23 | 430,000 | | 441,294 |
| 1.15%, 06/10/25Δ | 260,000 | | 260,634 |
| Suncor Energy, Inc. | | | |
| 2.80%, 05/15/23Δ | 225,000 | | 235,158 |
| 3.10%, 05/15/25 | 475,000 | | 507,907 |
| Teck Resources, Ltd. | | | |
| 3.90%, 07/15/30 144A Δ | 275,000 | | 274,286 |
| 6.00%, 08/15/40 | 10,000 | | 10,608 |
| Toronto-Dominion Bank (The) | | | |
| 3.25%, 06/11/21 | 370,000 | | 380,183 |
| 0.75%, 06/12/23 | 500,000 | | 503,093 |
See Notes to Financial Statements.
| | | Par | | Value |
| 1.15%, 06/12/25Δ | $ 260,000 | | $ 263,306 |
| | | | | 8,711,591 |
| Chile — 0.1% | | |
| Chile Government International Bond | | | |
| 2.45%, 01/31/31 | 1,800,000 | | 1,869,174 |
| Latam Airlines Pass-Through Trust, Series 2015-1, Class A | | | |
| 4.20%, 11/15/27 | 688,653 | | 595,685 |
| | | | | 2,464,859 |
| China — 0.2% | | |
| Avolon Holdings Funding, Ltd. | | | |
| 3.95%, 07/01/24 144A | 400,000 | | 347,838 |
| 2.88%, 02/15/25 144A | 800,000 | | 672,734 |
| Bluestar Finance Holdings, Ltd. | | | |
| (Variable, 6.65% - U.S. Treasury Yield Curve Rate CMT 3Y), 3.88%, 06/24/23ρ ^ | 660,000 | | 659,219 |
| China Government Bond | | | |
| 3.31%, 11/30/25(Y) | 1,000,000 | | 147,135 |
| Global Aircraft Leasing Co., Ltd. | | | |
| Cash coupon 6.50% or PIK 7.25%, 09/15/24 144A | 350,000 | | 235,375 |
| Huarong Finance 2019 Co., Ltd. | | | |
| 3.75%, 05/29/24 | 200,000 | | 205,762 |
| 3.38%, 02/24/30 | 200,000 | | 196,670 |
| Huarong Finance II Co., Ltd. | | | |
| 5.50%, 01/16/25 | 200,000 | | 219,969 |
| 4.88%, 11/22/26 | 200,000 | | 218,942 |
| Park Aerospace Holdings, Ltd. | | | |
| 5.25%, 08/15/22 144A | 210,000 | | 197,217 |
| 4.50%, 03/15/23 144A | 20,000 | | 18,257 |
| 5.50%, 02/15/24 144A | 60,000 | | 54,934 |
| Scenery Journey, Ltd. | | | |
| 13.00%, 11/06/22 | 200,000 | | 195,492 |
| Sinopec Group Overseas Development 2014, Ltd. | | | |
| 4.38%, 04/10/24 144A | 390,000 | | 430,609 |
| | | | | 3,800,153 |
| Colombia — 0.1% | | |
| Colombia Government International Bond | | | |
| 3.00%, 01/30/30 | 200,000 | | 198,477 |
| 5.63%, 02/26/44 | 480,000 | | 578,061 |
| 4.13%, 05/15/51 | 440,000 | | 443,080 |
| Ecopetrol SA | | | |
| 5.88%, 05/28/45 | 1,250,000 | | 1,319,119 |
| | | | | 2,538,737 |
| Denmark — 0.1% | | |
| Danske Bank A/S | | | |
| 5.00%, 01/12/22 144A | 540,000 | | 567,581 |
| (Variable, ICE LIBOR USD 3M + 1.25%), 3.00%, 09/20/22 144A ^ | 290,000 | | 294,650 |
| 5.38%, 01/12/24 144A | 340,000 | | 378,790 |
| | | Par | | Value |
| 1.23%, 06/22/24 144A | $ 280,000 | | $ 280,967 |
| (Variable, ICE LIBOR USD 3M + 1.59%), 3.24%, 12/20/25 144A ^ | 220,000 | | 229,003 |
| | | | | 1,750,991 |
| Dominican Republic — 0.0% | | |
| Dominican Republic International Bond | | | |
| 6.40%, 06/05/49 144A | 540,000 | | 496,800 |
| Finland — 0.0% | | |
| Nokia OYJ | | | |
| 4.38%, 06/12/27 | 9,000 | | 9,530 |
| Nordea Bank Abp | | | |
| 4.88%, 05/13/21 144A | 640,000 | | 661,676 |
| | | | | 671,206 |
| France — 0.7% | | |
| BNP Paribas SA | | | |
| 3.50%, 03/01/23 144A | 925,000 | | 979,838 |
| (Variable, USD Swap 5Y + 4.15%), 6.63%, 03/25/24 144A ρ ^ | 200,000 | | 204,750 |
| 3.38%, 01/09/25 144A | 450,000 | | 486,993 |
| (Variable, ICE LIBOR USD 3M + 2.24%), 4.71%, 01/10/25 144A ^ | 880,000 | | 974,949 |
| (Variable, U.S. SOFR + 2.07%), 2.22%, 06/09/26 144A ^ | 1,390,000 | | 1,425,045 |
| 4.40%, 08/14/28 144A | 1,340,000 | | 1,546,762 |
| (Variable, ICE LIBOR USD 3M + 2.57%), 5.20%, 01/10/30 144A ^ | 380,000 | | 465,666 |
| (Variable, USD Swap 5Y + 1.48%), 4.38%, 03/01/33 144A Δ ^ | 440,000 | | 490,847 |
| BPCE SA | | | |
| 4.00%, 09/12/23 144A | 750,000 | | 811,487 |
| 4.63%, 09/12/28 144A | 375,000 | | 441,139 |
| Credit Agricole SA | | | |
| (Variable, USD Swap 5Y + 4.32%), 6.88%, 09/23/24 144A ρ Δ ^ | 300,000 | | 309,583 |
| 4.38%, 03/17/25Δ | 275,000 | | 304,566 |
| (Variable, U.S. SOFR Index + 1.68%), 1.91%, 06/16/26 144A ^ | 2,025,000 | | 2,056,982 |
| 4.13%, 01/10/27 144A Δ | 450,000 | | 508,263 |
| (Variable, USD Swap 5Y + 1.64%), 4.00%, 01/10/33 144A ^ | 250,000 | | 275,522 |
| Danone SA | | | |
| 2.59%, 11/02/23 144A | 650,000 | | 684,669 |
| 2.95%, 11/02/26 144A | 310,000 | | 340,135 |
| Total Capital International SA | | | |
| 3.75%, 04/10/24 | 30,000 | | 33,199 |
See Notes to Financial Statements.
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | Par | | Value |
| XLIT, Ltd. | | | |
| 4.45%, 03/31/25 | $ 349,000 | | $ 393,565 |
| | | | | 12,733,960 |
| Germany — 0.5% | | |
| Deutsche Bank AG | | | |
| 3.15%, 01/22/21 | 1,600,000 | | 1,607,898 |
| 4.25%, 10/14/21 | 1,500,000 | | 1,539,692 |
| 5.00%, 02/14/22 | 1,400,000 | | 1,462,048 |
| 3.95%, 02/27/23 | 1,900,000 | | 1,974,595 |
| 4.10%, 01/13/26Δ | 65,000 | | 68,786 |
| Volkswagen Bank GmbH | | | |
| 1.88%, 01/31/24(E) | 1,500,000 | | 1,727,098 |
| | | | | 8,380,117 |
| Hong Kong — 0.0% | | |
| AIA Group, Ltd. | | | |
| 3.90%, 04/06/28 144A | 200,000 | | 224,690 |
| Indonesia — 0.2% | | |
| Indonesia Government International Bond | | | |
| 4.88%, 05/05/21 | 570,000 | | 588,525 |
| 3.85%, 07/18/27 144A | 500,000 | | 542,604 |
| 3.50%, 01/11/28 | 450,000 | | 479,723 |
| 5.25%, 01/08/47 144A | 200,000 | | 251,026 |
| 4.35%, 01/11/48 | 500,000 | | 565,213 |
| 3.70%, 10/30/49Δ | 580,000 | | 605,195 |
| | | | | 3,032,286 |
| Ireland — 0.4% | | |
| AerCap Ireland Capital DAC | | | |
| 5.00%, 10/01/21 | 150,000 | | 151,756 |
| 4.63%, 07/01/22 | 550,000 | | 556,327 |
| 3.30%, 01/23/23 | 525,000 | | 515,733 |
| 4.88%, 01/16/24 | 350,000 | | 348,043 |
| 2.88%, 08/14/24 | 1,000,000 | | 939,967 |
| 6.50%, 07/15/25 | 290,000 | | 304,388 |
| AIB Group PLC | | | |
| 4.75%, 10/12/23 144A | 950,000 | | 1,025,219 |
| GE Capital International Funding Co. Unlimited Co. | | | |
| 3.37%, 11/15/25 | 2,772,000 | | 2,910,726 |
| 4.42%, 11/15/35 | 250,000 | | 254,471 |
| SMBC Aviation Capital Finance DAC | | | |
| 4.13%, 07/15/23 144A | 900,000 | | 935,110 |
| | | | | 7,941,740 |
| Isle of Man — 0.0% | | |
| Sasol Financing International, Ltd. | | | |
| 4.50%, 11/14/22 | 370,000 | | 337,799 |
| Israel — 0.2% | | |
| Israel Government International Bond | | | |
| 3.25%, 01/17/28 | 1,500,000 | | 1,701,750 |
| 2.75%, 07/03/30 | 2,060,000 | | 2,276,794 |
| | | Par | | Value |
| 3.88%, 07/03/50 | $ 400,000 | | $ 476,544 |
| | | | | 4,455,088 |
| Italy — 0.4% | | |
| Intesa Sanpaolo SpA | | | |
| 3.13%, 07/14/22 144A | 580,000 | | 591,248 |
| 3.38%, 01/12/23 144A | 220,000 | | 226,438 |
| 5.02%, 06/26/24 144A | 1,310,000 | | 1,343,030 |
| 3.25%, 09/23/24 144A | 1,400,000 | | 1,431,408 |
| 5.71%, 01/15/26 144A | 200,000 | | 210,901 |
| UniCredit SpA | | | |
| 6.57%, 01/14/22 144A | 530,000 | | 560,103 |
| 7.83%, 12/04/23 144A | 3,100,000 | | 3,589,058 |
| | | | | 7,952,186 |
| Japan — 0.8% | | |
| Aircastle, Ltd. | | | |
| 5.13%, 03/15/21 | 764,000 | | 767,171 |
| 5.50%, 02/15/22 | 1,300,000 | | 1,312,727 |
| Japan Finance Organization for Municipalities | | | |
| 2.13%, 10/25/23 144A | 2,200,000 | | 2,308,695 |
| Mitsubishi UFJ Financial Group, Inc. | | | |
| 3.00%, 02/22/22 | 180,000 | | 186,549 |
| 3.76%, 07/26/23 | 35,000 | | 37,992 |
| 3.74%, 03/07/29 | 65,000 | | 74,125 |
| 3.75%, 07/18/39 | 700,000 | | 798,236 |
| Mitsubishi UFJ Lease & Finance Co., Ltd. | | | |
| 3.41%, 02/28/22 144A | 1,500,000 | | 1,547,917 |
| Mizuho Financial Group, Inc. | | | |
| (Variable, ICE LIBOR USD 3M + 0.83%), 2.23%, 05/25/26^ | 1,600,000 | | 1,643,284 |
| Panasonic Corporation | | | |
| 2.54%, 07/19/22 144A | 1,302,000 | | 1,340,587 |
| Sumitomo Mitsui Financial Group, Inc. | | | |
| 2.06%, 07/14/21 | 260,000 | | 264,485 |
| 4.44%, 04/02/24 144A | 350,000 | | 380,798 |
| 2.45%, 09/27/24 | 1,600,000 | | 1,680,319 |
| Takeda Pharmaceutical Co., Ltd. | | | |
| 4.40%, 11/26/23 | 1,300,000 | | 1,446,426 |
| 2.05%, 03/31/30 | 700,000 | | 701,159 |
| | | | | 14,490,470 |
| Kazakhstan — 0.0% | | |
| KazMunayGas National Co. JSC | | | |
| 5.38%, 04/24/30 144A | 200,000 | | 227,025 |
| Kuwait — 0.1% | | |
| Kuwait International Government Bond | | | |
| 3.50%, 03/20/27 144A | 590,000 | | 659,732 |
| 3.50%, 03/20/27 | 900,000 | | 1,006,370 |
| | | | | 1,666,102 |
See Notes to Financial Statements.
| | | Par | | Value |
| Luxembourg — 0.1% | | |
| ArcelorMittal SA | | | |
| 3.60%, 07/16/24 | $ 300,000 | | $ 297,487 |
| 6.13%, 06/01/25 | 410,000 | | 445,232 |
| 4.55%, 03/11/26 | 200,000 | | 202,836 |
| 7.25%, 10/15/39 | 70,000 | | 83,743 |
| | | | | 1,029,298 |
| Mexico — 0.7% | | |
| Banco Actinver SA | | | |
| 4.80%, 12/18/32 144A | 1,530,000 | | 1,145,587 |
| Mexican Bonos | | | |
| 10.00%, 12/05/24(M) | 25,130,000 | | 1,316,574 |
| 7.75%, 11/13/42(M) | 40,935,200 | | 1,947,033 |
| 8.00%, 11/07/47(M) | 76,370,000 | | 3,726,213 |
| Mexico City Airport Trust | | | |
| 3.88%, 04/30/28 144A | 360,000 | | 327,625 |
| 5.50%, 07/31/47 | 200,000 | | 177,859 |
| 5.50%, 07/31/47 144A | 270,000 | | 240,110 |
| Mexico Government International Bond | | | |
| 4.50%, 04/22/29 | 200,000 | | 217,675 |
| 4.75%, 04/27/32 | 2,300,000 | | 2,541,500 |
| 4.50%, 01/31/50 | 270,000 | | 279,180 |
| Petroleos Mexicanos | | | |
| 6.88%, 08/04/26 | 200,000 | | 189,019 |
| 6.63%, 06/15/35 | 19,000 | | 15,515 |
| 5.50%, 06/27/44 | 170,000 | | 120,674 |
| 6.38%, 01/23/45 | 370,000 | | 276,704 |
| | | | | 12,521,268 |
| Netherlands — 1.3% | | |
| ABN AMRO Bank NV | | | |
| 4.75%, 07/28/25 144A | 200,000 | | 221,160 |
| Cooperatieve Rabobank UA | | | |
| 4.63%, 12/01/23 | 400,000 | | 441,588 |
| 4.38%, 08/04/25 | 670,000 | | 754,605 |
| (Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.00%), 1.34%, 06/24/26 144A ^ | 310,000 | | 310,989 |
| 5.25%, 05/24/41 | 25,000 | | 35,546 |
| 5.25%, 08/04/45 | 370,000 | | 507,328 |
| Enel Finance International NV | | | |
| 4.25%, 09/14/23 144A | 1,500,000 | | 1,633,419 |
| Equate Petrochemical BV | | | |
| 4.25%, 11/03/26 144A | 520,000 | | 550,597 |
| ING Groep NV | | | |
| 4.63%, 01/06/26 144A | 1,600,000 | | 1,877,403 |
| (Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.10%), 1.40%, 07/01/26 144A ^ | 1,000,000 | | 1,003,541 |
| Lukoil Securities BV | | | |
| 3.88%, 05/06/30 144A | 210,000 | | 219,187 |
| Mylan NV | | | |
| 2.25%, 11/22/24(E) | 1,500,000 | | 1,767,996 |
| 3.95%, 06/15/26 | 1,710,000 | | 1,913,347 |
| | | Par | | Value |
| NXP BV | | | |
| 3.88%, 09/01/22 144A | $ 950,000 | | $ 1,004,683 |
| 2.70%, 05/01/25 144A | 170,000 | | 178,487 |
| 3.88%, 06/18/26 144A | 1,565,000 | | 1,754,003 |
| 3.40%, 05/01/30 144A | 250,000 | | 269,541 |
| Petrobras Global Finance BV | | | |
| 6.13%, 01/17/22 | 51,000 | | 53,602 |
| 5.30%, 01/27/25 | 1,036,000 | | 1,078,227 |
| 7.38%, 01/17/27 | 120,000 | | 133,931 |
| 6.00%, 01/27/28 | 540,000 | | 567,054 |
| 5.75%, 02/01/29 | 10,000 | | 10,284 |
| 6.90%, 03/19/49 | 40,000 | | 42,220 |
| 6.85%, 06/05/15π | 550,000 | | 547,085 |
| Prosus NV | | | |
| 4.85%, 07/06/27 144A | 420,000 | | 471,874 |
| 3.68%, 01/21/30 144A | 200,000 | | 209,917 |
| Shell International Finance BV | | | |
| 2.88%, 05/10/26 | 660,000 | | 725,156 |
| 2.75%, 04/06/30 | 1,600,000 | | 1,738,358 |
| 4.55%, 08/12/43 | 120,000 | | 149,627 |
| 4.38%, 05/11/45 | 230,000 | | 283,434 |
| 4.00%, 05/10/46 | 190,000 | | 222,507 |
| Syngenta Finance NV | | | |
| 3.93%, 04/23/21 144A | 2,350,000 | | 2,373,254 |
| 4.44%, 04/24/23 144A | 1,075,000 | | 1,129,140 |
| 5.18%, 04/24/28 144A | 200,000 | | 213,607 |
| | | | | 24,392,697 |
| Nigeria — 0.0% | | |
| Nigeria Government International Bond | | | |
| 8.75%, 01/21/31 | 210,000 | | 210,977 |
| Norway — 0.1% | | |
| Yara International ASA | | | |
| 4.75%, 06/01/28 144A | 1,100,000 | | 1,266,880 |
| Panama — 0.0% | | |
| Panama Government International Bond | | | |
| 4.50%, 04/01/56 | 280,000 | | 344,683 |
| Peru — 0.1% | | |
| Peruvian Government International Bond | | | |
| 2.78%, 01/23/31Δ | 810,000 | | 865,485 |
| 5.63%, 11/18/50 | 330,000 | | 521,992 |
| | | | | 1,387,477 |
| Poland — 0.1% | | |
| Republic of Poland Government International Bond | | | |
| 4.00%, 01/22/24 | 1,180,000 | | 1,312,229 |
| Qatar — 0.3% | | |
| Qatar Government International Bond | | | |
| 3.38%, 03/14/24 144A | 560,000 | | 600,820 |
| 3.38%, 03/14/24 | 1,700,000 | | 1,823,918 |
| 4.00%, 03/14/29 144A | 460,000 | | 530,214 |
| 5.10%, 04/23/48 | 1,000,000 | | 1,362,832 |
See Notes to Financial Statements.
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | Par | | Value |
| 4.82%, 03/14/49 144A | $ 1,220,000 | | $1,608,710 |
| | | | | 5,926,494 |
| Romania — 0.1% | | |
| Romanian Government International Bond | | | |
| 3.62%, 05/26/30(E) 144A Δ | 510,000 | | 619,729 |
| 2.00%, 01/28/32(E) 144A | 70,000 | | 73,640 |
| 3.38%, 01/28/50(E) 144A | 140,000 | | 153,127 |
| 3.38%, 01/28/50(E) | 160,000 | | 175,002 |
| | | | | 1,021,498 |
| Russia — 0.5% | | |
| Gazprom PJSC Via Gaz Capital SA | | | |
| 5.15%, 02/11/26 144A | 340,000 | | 378,233 |
| 7.29%, 08/16/37 | 100,000 | | 144,332 |
| Russian Federal Bond - OFZ | | | |
| 7.00%, 01/25/23(Q) | 34,070,000 | | 506,348 |
| 7.00%, 08/16/23(Q) | 52,440,000 | | 785,382 |
| 7.75%, 09/16/26(Q) | 9,710,000 | | 154,027 |
| 8.15%, 02/03/27(Q) | 63,930,000 | | 1,036,431 |
| 7.05%, 01/19/28(Q) | 110,471,000 | | 1,695,317 |
| 6.90%, 05/23/29(Q) | 157,060,000 | | 2,389,682 |
| 7.25%, 05/10/34(Q) | 48,570,000 | | 758,059 |
| 7.70%, 03/16/39(Q) | 78,400,000 | | 1,290,192 |
| | | | | 9,138,003 |
| Saudi Arabia — 0.1% | | |
| Saudi Arabian Oil Co. | | | |
| 2.75%, 04/16/22 144A | 1,800,000 | | 1,838,513 |
| South Korea — 0.1% | | |
| Export-Import Bank of Korea | | | |
| 5.00%, 04/11/22 | 900,000 | | 966,285 |
| Spain — 0.3% | | |
| Banco Santander SA | | | |
| (Floating, ICE LIBOR USD 3M + 1.12%), 2.43%, 04/12/23† | 200,000 | | 197,093 |
| 3.85%, 04/12/23 | 400,000 | | 426,210 |
| 2.75%, 05/28/25 | 2,300,000 | | 2,386,260 |
| 4.38%, 04/12/28 | 400,000 | | 447,212 |
| 3.31%, 06/27/29 | 400,000 | | 432,415 |
| Telefonica Emisiones SA | | | |
| 4.57%, 04/27/23 | 500,000 | | 549,513 |
| 5.21%, 03/08/47 | 400,000 | | 498,994 |
| | | | | 4,937,697 |
| Sweden — 0.0% | | |
| Svenska Handelsbanken AB | | | |
| 3.35%, 05/24/21 | 250,000 | | 256,371 |
| Swedbank AB | | | |
| 1.30%, 06/02/23 144A | 330,000 | | 334,204 |
| | | | | 590,575 |
| Switzerland — 0.8% | | |
| Credit Suisse AG | | | |
| 6.50%, 08/08/23 144A | 225,000 | | 246,638 |
| 2.95%, 04/09/25 | 665,000 | | 722,519 |
| | | Par | | Value |
| Credit Suisse Group AG | | | |
| (Variable, U.S. SOFR + 1.56%), 2.59%, 09/11/25 144A ^ | $ 250,000 | | $ 258,699 |
| (Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 4.33%), 7.25%, 09/12/25 144A ρ ^ | 400,000 | | 411,278 |
| (Variable, U.S. SOFR + 2.04%), 2.19%, 06/05/26 144A ^ | 610,000 | | 618,526 |
| 4.28%, 01/09/28 144A | 1,800,000 | | 2,017,174 |
| (Variable, ICE LIBOR USD 3M + 1.41%), 3.87%, 01/12/29 144A ^ | 425,000 | | 469,541 |
| (Variable, U.S. SOFR + 3.73%), 4.19%, 04/01/31 144A ^ | 955,000 | | 1,091,666 |
| Credit Suisse Group Funding Guernsey, Ltd. | | | |
| 3.45%, 04/16/21 | 800,000 | | 819,033 |
| 3.80%, 09/15/22 | 1,300,000 | | 1,381,795 |
| 4.55%, 04/17/26 | 2,440,000 | | 2,807,832 |
| UBS AG | | | |
| 1.75%, 04/21/22 144A | 470,000 | | 479,109 |
| UBS Group AG | | | |
| 3.49%, 05/23/23 144A | 480,000 | | 502,327 |
| (Variable, ICE LIBOR USD 3M + 0.95%), 2.86%, 08/15/23 144A ^ | 200,000 | | 207,323 |
| (Variable, USD Swap 5Y + 4.34%), 7.00%, 01/31/24 144A ρ ^ | 840,000 | | 873,134 |
| 4.13%, 09/24/25 144A | 440,000 | | 499,314 |
| 4.25%, 03/23/28 144A | 1,090,000 | | 1,237,710 |
| | | | | 14,643,618 |
| Turkey — 0.0% | | |
| Turkish Airlines Pass-Through Trust, Series 2015-1, Class A | | | |
| 4.20%, 03/15/27 144A | 1,105,866 | | 825,517 |
| United Arab Emirates — 0.3% | | |
| Abu Dhabi Government International Bond | | | |
| 2.50%, 10/11/22 144A | 610,000 | | 631,271 |
| 3.13%, 10/11/27 144A | 500,000 | | 547,722 |
| 3.13%, 04/16/30 144A | 1,500,000 | | 1,656,471 |
| 3.88%, 04/16/50 144A | 1,700,000 | | 2,015,775 |
| DP World PLC | | | |
| 5.63%, 09/25/48 144A | 620,000 | | 679,205 |
| | | | | 5,530,444 |
| United Kingdom — 2.3% | | |
| Anglo American Capital PLC | | | |
| 3.63%, 09/11/24 144A | 700,000 | | 735,356 |
| 4.00%, 09/11/27 144A | 220,000 | | 235,354 |
| AstraZeneca PLC | | | |
| 4.38%, 08/17/48 | 25,000 | | 33,419 |
| Barclays Bank PLC | | | |
| 1.70%, 05/12/22 | 200,000 | | 203,645 |
| 7.63%, 11/21/22Δ | 1,700,000 | | 1,851,725 |
See Notes to Financial Statements.
| | | Par | | Value |
| Barclays PLC | | | |
| (Floating, ICE LIBOR USD 3M + 2.11%), 2.56%, 08/10/21† | $1,600,000 | | $1,624,936 |
| (Variable, ICE LIBOR USD 3M + 1.40%), 4.61%, 02/15/23^ | 950,000 | | 1,000,500 |
| (Variable, ICE LIBOR USD 3M + 2.45%), 2.85%, 05/07/26^ | 800,000 | | 836,838 |
| (Variable, ICE LIBOR USD 3M + 1.90%), 4.97%, 05/16/29^ | 1,060,000 | | 1,242,765 |
| (Variable, ICE LIBOR USD 3M + 3.05%), 5.09%, 06/20/30^ | 1,250,000 | | 1,420,056 |
| BP Capital Markets PLC | | | |
| 3.56%, 11/01/21Δ | 30,000 | | 31,204 |
| 3.81%, 02/10/24 | 330,000 | | 362,764 |
| 3.54%, 11/04/24 | 60,000 | | 66,172 |
| 3.51%, 03/17/25 | 330,000 | | 365,242 |
| Gazprom PJSC via Gaz Finance PLC | | | |
| 3.25%, 02/25/30 144A | 470,000 | | 468,825 |
| GlaxoSmithKline Capital PLC | | | |
| 2.85%, 05/08/22 | 20,000 | | 20,873 |
| 5.25%, 12/19/33(U) | 100,000 | | 184,452 |
| Hammerson PLC REIT | | | |
| 3.50%, 10/27/25(U) | 100,000 | | 111,043 |
| HSBC Bank PLC | | | |
| 4.75%, 01/19/21 144A | 200,000 | | 204,923 |
| HSBC Holdings PLC | | | |
| (Floating, ICE LIBOR USD 3M + 1.50%), 1.80%, 01/05/22† | 400,000 | | 405,810 |
| (Variable, ICE LIBOR USD 3M + 1.06%), 3.26%, 03/13/23^ | 300,000 | | 310,865 |
| (Variable, USD ICE Swap Rate 5Y + 3.45%), 6.25%, 03/23/23ρ ^ | 280,000 | | 279,409 |
| 4.25%, 03/14/24 | 240,000 | | 259,079 |
| (Floating, ICE LIBOR USD 3M + 1.00%), 1.39%, 05/18/24† | 300,000 | | 297,766 |
| (Variable, ICE LIBOR USD 3M + 1.21%), 3.80%, 03/11/25^ | 625,000 | | 675,455 |
| 4.25%, 08/18/25 | 220,000 | | 240,302 |
| (Variable, U.S. SOFR + 1.93%), 2.10%, 06/04/26^ | 370,000 | | 374,256 |
| (Variable, ICE LIBOR USD 3M + 1.55%), 4.04%, 03/13/28^ | 300,000 | | 331,768 |
| (Variable, USD ICE Swap Rate 5Y + 3.61%), 6.50%, 03/23/28ρ ^ | 540,000 | | 554,615 |
| (Variable, ICE LIBOR USD 3M + 1.53%), 4.58%, 06/19/29^ | 800,000 | | 924,884 |
| 4.95%, 03/31/30 | 400,000 | | 481,774 |
| (Variable, ICE LIBOR USD 3M + 1.61%), 3.97%, 05/22/30^ | 400,000 | | 444,374 |
| 6.50%, 09/15/37 | 500,000 | | 681,847 |
| Lloyds Bank PLC | | | |
| (Step to 0.00% on 04/02/22), 7.50%, 04/02/32 STEP | 2,000,000 | | 1,653,047 |
| Lloyds Banking Group PLC | | | |
| (Variable, ICE LIBOR USD 3M + 1.25%), 2.86%, 03/17/23^ | 1,900,000 | | 1,957,931 |
| 3.90%, 03/12/24 | 210,000 | | 230,129 |
| 4.38%, 03/22/28 | 800,000 | | 928,888 |
| | | Par | | Value |
| 4.55%, 08/16/28 | $ 230,000 | | $ 269,910 |
| (Variable, ICE LIBOR USD 3M + 1.21%), 3.57%, 11/07/28^ | 200,000 | | 217,514 |
| Nationwide Building Society | | | |
| (Variable, ICE LIBOR USD 3M + 1.06%), 3.77%, 03/08/24 144A ^ | 2,000,000 | | 2,109,254 |
| (Variable, ICE LIBOR USD 3M + 1.39%), 4.36%, 08/01/24 144A ^ | 1,300,000 | | 1,407,610 |
| (Variable, ICE LIBOR USD 3M + 1.86%), 3.96%, 07/18/30 144A ^ | 375,000 | | 422,357 |
| Reckitt Benckiser Treasury Services PLC | | | |
| 2.75%, 06/26/24 144A | 600,000 | | 638,369 |
| Royal Bank of Scotland Group PLC | | | |
| 2.50%, 03/22/23(E) | 1,400,000 | | 1,639,443 |
| (Floating, ICE LIBOR USD 3M + 1.47%), 1.86%, 05/15/23† | 1,300,000 | | 1,301,045 |
| (Variable, ICE LIBOR USD 3M + 1.48%), 3.50%, 05/15/23^ | 429,000 | | 445,511 |
| 3.88%, 09/12/23 | 579,000 | | 624,623 |
| 6.00%, 12/19/23 | 110,000 | | 123,294 |
| 5.13%, 05/28/24 | 280,000 | | 306,616 |
| (Variable, ICE LIBOR USD 3M + 1.55%), 4.52%, 06/25/24^ | 2,205,000 | | 2,396,470 |
| (Variable, ICE LIBOR USD 3M + 1.76%), 4.27%, 03/22/25^ | 1,215,000 | | 1,322,246 |
| (Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.10%), 3.75%, 11/01/29^ | 200,000 | | 207,135 |
| Santander UK PLC | | | |
| 2.88%, 06/18/24 | 925,000 | | 986,871 |
| Severn Trent Utilities Finance PLC | | | |
| 6.25%, 06/07/29(U) | 100,000 | | 176,167 |
| Society of Lloyd's | | | |
| 4.75%, 10/30/24(U) | 100,000 | | 130,186 |
| Standard Chartered PLC | | | |
| (Variable, ICE LIBOR USD 3M + 1.15%), 4.25%, 01/20/23 144A ^ | 1,000,000 | | 1,038,967 |
| Vodafone Group PLC | | | |
| 3.75%, 01/16/24 | 4,535,000 | | 4,956,049 |
| 4.38%, 05/30/28 | 480,000 | | 571,256 |
| 6.15%, 02/27/37 | 10,000 | | 14,032 |
| | | | | 43,337,216 |
Total Foreign Bonds
(Cost $216,274,394) | | 221,590,802 |
| LOAN AGREEMENTS — 0.6% |
| 1011778 B.C. Unlimited Liability Company Term B-4 Loan | | | |
| (Floating, ICE LIBOR USD 1M+ 1.75%), 1.93%, 11/19/26† | 119,400 | | 113,445 |
| Allied Universal Holdco LLC Initial Term Loan | | | |
| (Floating, ICE LIBOR USD 1M+ 4.25%), 4.43%, 07/10/26† | 198,972 | | 193,693 |
See Notes to Financial Statements.
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | Par | | Value |
| APi Group DE, Inc. Initial Term Loan | | | |
| (Floating, ICE LIBOR USD 1M+ 2.50%), 2.68%, 10/01/26† | $ 228,850 | | $ 221,173 |
| Asurion LLC New B-7 Term Loan | | | |
| (Floating, ICE LIBOR USD 1M+ 3.00%), 3.18%, 11/03/24† | 266,552 | | 258,112 |
| athenahealth, Inc. Term B Loan | | | |
| (Floating, ICE LIBOR USD 3M+ 4.50%), 4.82%, 02/11/26† | 784,005 | | 762,445 |
| Atlantic Aviation FBO, Inc. Term Loan | | | |
| (Floating, ICE LIBOR USD 1M+ 3.75%), 3.93%, 12/06/25† | 88,650 | | 83,774 |
| Charter Communications Operating LLC Term B-1 Loan | | | |
| (Floating, ICE LIBOR USD 1M+ 1.75%), 1.93%, 04/30/25† | 156,094 | | 150,988 |
| DCert Buyer, Inc. Initial Term Loan | | | |
| (Floating, ICE LIBOR USD 1M+ 4.00%), 4.18%, 10/16/26† | 438,900 | | 425,915 |
| Delta Air Lines, Inc. Term Loan | | | |
| (Floating, ICE LIBOR USD 3M+ 4.75%), 5.51%, 04/29/23† | 500,000 | | 492,033 |
| Diamond Sports Group LLC Term Loan | | | |
| (Floating, ICE LIBOR USD 1M+ 3.25%), 3.43%, 08/24/26† | 9,426 | | 7,718 |
| Elanco Animal Health, Inc. Term Loan B | | | |
| 0.00%, 02/04/27† Σ | 520,000 | | 497,250 |
| EyeCare Partners LLC Initial Delayed Draw Term Loan | | | |
| 0.00%, 02/18/27† Σ | 77,568 | | 70,490 |
| EyeCare Partners LLC Initial Term Loan | | | |
| (Floating, ICE LIBOR USD 3M+ 3.75%), 4.82%, 02/18/27† | 331,601 | | 301,343 |
| Focus Financial Partners LLC Tranche B-3 Term Loan | | | |
| (Floating, ICE LIBOR USD 1M+ 2.00%), 2.18%, 07/03/24† | 337,594 | | 324,512 |
| Four Seasons Holdings, Inc. Term Loan 2013 | | | |
| (Floating, ICE LIBOR USD 1M+ 2.00%), 2.18%, 11/30/23† | 49,614 | | 47,149 |
| Froneri International, Ltd. Facility B2 | | | |
| (Floating, ICE LIBOR USD 1M+ 2.25%), 2.43%, 01/29/27† | 270,000 | | 254,645 |
| Genesee & Wyoming, Inc. Initial Term Loan | | | |
| (Floating, ICE LIBOR USD 3M+ 2.00%), 2.31%, 12/30/26† | 59,850 | | 57,788 |
| Global Medical Response, Inc. 2018 Term Loan | | | |
| (Floating, ICE LIBOR USD 3M+ 3.25%, 1.00% Floor), 4.25%, 04/28/22† | 455,940 | | 440,099 |
| HCA, Inc. Tranche B-12 Term Loan | | | |
| (Floating, ICE LIBOR USD 1M+ 1.75%), 1.93%, 03/13/25† | 1,053,004 | | 1,034,577 |
| | | Par | | Value |
| Hilton Worldwide Finance LLC Refinanced Series B-2 Term Loan | | | |
| (Floating, ICE LIBOR USD 1M+ 1.75%), 1.93%, 06/22/26† | $768,355 | | $727,740 |
| iHeartCommunications, Inc. New Term Loan | | | |
| (Floating, ICE LIBOR USD 1M+ 3.00%), 3.18%, 05/01/26† | 187,895 | | 173,960 |
| Jane Street Group LLC New Dollar Term Loan | | | |
| (Floating, ICE LIBOR USD 1M+ 3.00%), 3.18%, 01/31/25† | 295,355 | | 288,525 |
| Level 3 Financing, Inc. Tranche B 2027 Term Loan | | | |
| (Floating, ICE LIBOR USD 1M+ 1.75%), 1.98%, 03/01/27† | 107,945 | | 102,432 |
| LifePoint Health, Inc. Term B Loan | | | |
| (Floating, ICE LIBOR USD 1M+ 3.75%), 3.93%, 11/16/25† | 158,845 | | 149,388 |
| McAfee LLC Term B USD Loan | | | |
| (Floating, ICE LIBOR USD 1M+ 3.75%), 3.93%, 09/30/24† | 633,657 | | 618,959 |
| Michaels Stores, Inc. 2018 New Replacement Term B Loan | | | |
| (Floating, ICE LIBOR USD 1M+ 2.50%, 1.00% Floor), 3.50%, 01/30/23† | 314,176 | | 288,779 |
| (Floating, ICE LIBOR USD 3M+ 2.50%, 1.00% Floor), 3.56%, 01/30/23† | 187,351 | | 172,206 |
| (Floating, ICE LIBOR USD 3M+ 2.50%, 1.00% Floor), 3.57%, 01/30/23† | 182,222 | | 167,492 |
| MPH Acquisition Holdings LLC Initial Term Loan | | | |
| (Floating, ICE LIBOR USD 3M+ 2.75%, 1.00% Floor), 3.75%, 06/07/23† | 606,397 | | 578,266 |
| Nexstar Broadcasting, Inc. Term B-4 Loan | | | |
| (Floating, ICE LIBOR USD 1M+ 2.75%), 2.92%, 09/18/26† | 721,071 | | 688,496 |
| Option Care Health, Inc. Term B Loan | | | |
| (Floating, ICE LIBOR USD 1M+ 4.50%), 4.68%, 08/06/26† | 268,650 | | 261,709 |
| Panther BF Aggregator 2 L P Initial Dollar Term Loan | | | |
| (Floating, ICE LIBOR USD 1M+ 3.50%), 3.68%, 04/30/26† | 367,225 | | 351,159 |
| Reynolds Consumer Products LLC Initial Term Loan | | | |
| (Floating, ICE LIBOR USD 1M+ 1.75%), 1.93%, 02/04/27† | 568,575 | | 549,485 |
| RPI 2019 Intermediate Finance Trust Term Loan B | | | |
| (Floating, ICE LIBOR USD 1M+ 1.75%), 1.93%, 02/11/27† | 626,850 | | 612,486 |
| T-Mobile USA, Inc. Term Loan | | | |
| (Floating, ICE LIBOR USD 1M+ 3.00%), 3.18%, 04/01/27† | 290,000 | | 289,868 |
See Notes to Financial Statements.
| | | Par | | Value |
| Univision Communications, Inc. 2017 Replacement Repriced Term Loan | | | |
| (Floating, ICE LIBOR USD 1M+ 2.75%, 1.00% Floor), 3.75%, 03/15/24† | $ 112,000 | | $ 104,944 |
| VFH Parent LLC Initial Term Loan | | | |
| (Floating, ICE LIBOR USD 1M+ 3.00%), 3.19%, 03/01/26† | 157,922 | | 154,238 |
Total Loan Agreements
(Cost $12,503,181) | | | 12,017,281 |
| MORTGAGE-BACKED SECURITIES — 39.0% |
| 280 Park Avenue Mortgage Trust, Series 2017-280P, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 0.88%, 0.88% Floor), 1.06%, 09/15/34 144A † | 1,200,000 | | 1,193,570 |
| Aggregator of Loans Backed by Assets PLC, Series 2015-1, Class A | | | |
| (Floating, ICE LIBOR GBP 1M + 1.88%), 1.97%, 04/24/49(U) † | 494,845 | | 616,625 |
| Alba PLC, Series 2007-1, Class A3 | | | |
| (Floating, ICE LIBOR GBP 3M + 0.17%), 0.34%, 03/17/39(U) † | 648,824 | | 759,464 |
| Alternative Loan Trust, Series 2006-OA11, Class A1B | | | |
| (Floating, ICE LIBOR USD 1M + 0.19%, 0.19% Floor), 0.37%, 09/25/46† | 300,691 | | 274,382 |
| American Home Mortgage Investment Trust, Series 2005-2, Class 4A1 | | | |
| (Floating, ICE LIBOR USD 6M + 1.50%, 1.50% Floor, 11.00% Cap), 2.02%, 09/25/45† | 229,527 | | 227,761 |
| Arbor Multifamily Mortgage Securities Trust, Series 2020-MF1, Class A5 | | | |
| 2.76%, 05/15/53 144A | 1,300,000 | | 1,404,594 |
| AREIT Trust, Series 2020-CRE4, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 2.62%, 2.62% Floor), 2.80%, 04/14/37 144A † | 1,300,000 | | 1,305,324 |
| Banc of America Funding Trust, Series 2005-D, Class A1 | | | |
| 4.01%, 05/25/35† γ | 346,221 | | 342,504 |
| Banc of America Mortgage Trust, Series 2004-F, Class 1A1 | | | |
| 3.09%, 07/25/34† γ | 41,281 | | 39,825 |
| Bancorp Commercial Mortgage, Series 2018-CRE4, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 0.90%, 0.95% Floor), 1.08%, 09/15/35 144A † | 370,028 | | 356,871 |
| BANK, Series 2017-BNK9, Class XA | | | |
| 0.95%, 11/15/54† IO γ | 9,874,969 | | 450,890 |
| BANK, Series 2018-BN10, Class D | | | |
| 2.60%, 02/15/61 144A | 200,000 | | 136,813 |
| BBCCRE Trust, Series 2015-GTP, Class A | | | |
| 3.97%, 08/10/33 144A | 1,600,000 | | 1,727,948 |
| | | Par | | Value |
| BBCCRE Trust, Series 2015-GTP, Class D | | | |
| 4.71%, 08/10/33 144A † γ | $ 390,000 | | $ 362,202 |
| BBCMS Mortgage Trust, Series 2017-C1, Class D | | | |
| 3.67%, 02/15/50 144A † γ | 200,000 | | 134,396 |
| BBCMS Mortgage Trust, Series 2018-C2, Class A5 | | | |
| 4.31%, 12/15/51 | 1,700,000 | | 2,018,734 |
| BBCMS Mortgage Trust, Series 2020-C6, Class ASB | | | |
| 2.60%, 02/15/53 | 1,800,000 | | 1,947,003 |
| BBCMS Trust, Series 2015-STP, Class A | | | |
| 3.32%, 09/10/28 144A | 877,190 | | 877,287 |
| BCAP LLC, Series 2014-RR2, Class 7A1 | | | |
| (Floating, ICE LIBOR USD 1M + 0.20%, 0.20% Floor), 0.37%, 01/26/38 144A † | 549,995 | | 537,698 |
| Bear Stearns ALT-A Trust, Series 2005-4, Class 23A2 | | | |
| 3.77%, 05/25/35† γ | 124,874 | | 121,973 |
| Bear Stearns ARM Trust, Series 2002-11, Class 1A1 | | | |
| 3.97%, 02/25/33† γ | 6,575 | | 6,352 |
| Bear Stearns ARM Trust, Series 2004-2, Class 24A | | | |
| 2.75%, 05/25/34 | 18,108 | | 16,005 |
| Bear Stearns Structured Products, Inc. Trust, Series 2007-R6, Class 1A1 | | | |
| 3.63%, 01/26/36† γ | 357,124 | | 304,207 |
| Brunel Residential Mortgage Securitisation No. 1 PLC, Series 2007-1X, Class A4B | | | |
| (Floating, ICE LIBOR GBP 3M + 0.22%), 0.89%, 01/13/39(U) † | 231,657 | | 287,237 |
| BX Commercial Mortgage Trust, Series 2019-XL, Class F | | | |
| (Floating, ICE LIBOR USD 1M + 2.00%, 2.00% Floor), 2.18%, 10/15/36 144A † | 1,404,439 | | 1,357,706 |
| Cantor Commercial Real Estate Lending, Series 2019-CF2, Class E | | | |
| 2.50%, 11/15/52 144A | 550,000 | | 375,131 |
| CHL Mortgage Pass-Through Trust, Series 2003-58, Class 2A2 | | | |
| 4.11%, 02/19/34† γ | 194,647 | | 192,785 |
| CHL Mortgage Pass-Through Trust, Series 2004-HYB5, Class 2A1 | | | |
| 4.12%, 04/20/35† γ | 200,887 | | 192,418 |
| CHT Mortgage Trust, Series 2017-CSMO, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 0.93%, 0.93% Floor), 1.11%, 11/15/36 144A † | 310,000 | | 297,660 |
| CIM Trust, Series 2017-6, Class A1 | | | |
| 3.02%, 06/25/57 144A | 1,916,122 | | 1,944,956 |
See Notes to Financial Statements.
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | Par | | Value |
| Citigroup Commercial Mortgage Trust, Series 2019-GC41, Class A5 | | | |
| 2.87%, 08/10/56 | $1,450,000 | �� | $1,598,005 |
| Citigroup Commercial Mortgage Trust, Series 2020-GC46, Class D | | | |
| 2.60%, 01/15/53 144A | 650,000 | | 460,993 |
| COMM Mortgage Trust, Series 2013-CR12, Class AM | | | |
| 4.30%, 10/10/46 | 50,000 | | 52,948 |
| COMM Mortgage Trust, Series 2013-CR12, Class B | | | |
| 4.76%, 10/10/46 | 40,000 | | 41,824 |
| COMM Mortgage Trust, Series 2013-CR12, Class C | | | |
| 5.24%, 10/10/46† γ | 20,000 | | 19,003 |
| COMM Mortgage Trust, Series 2013-CR6, Class B | | | |
| 3.40%, 03/10/46 144A | 390,000 | | 393,134 |
| COMM Mortgage Trust, Series 2014-277P, Class A | | | |
| 3.73%, 08/10/49 144A † γ | 160,000 | | 172,025 |
| COMM Mortgage Trust, Series 2014-UBS6, Class A5 | | | |
| 3.64%, 12/10/47 | 2,400,000 | | 2,603,835 |
| COMM Mortgage Trust, Series 2015-DC1, Class C | | | |
| 4.45%, 02/10/48† γ | 80,000 | | 73,744 |
| COMM Mortgage Trust, Series 2017-COR2, Class C | | | |
| 4.71%, 09/10/50† γ | 500,000 | | 457,185 |
| COMM Mortgage Trust, Series 2019-GC44, Class D | | | |
| 2.50%, 08/15/57 144A | 450,000 | | 305,163 |
| Connecticut Avenue Securities Trust, Series 2018-R07, Class 1M2 | | | |
| (Floating, ICE LIBOR USD 1M + 2.40%), 2.58%, 04/25/31 144A † | 394,234 | | 393,125 |
| Connecticut Avenue Securities Trust, Series 2019-R02, Class 1M2 | | | |
| (Floating, ICE LIBOR USD 1M + 2.30%, 2.30% Floor), 2.48%, 08/25/31 144A † | 490,130 | | 486,891 |
| CSAIL Commercial Mortgage Trust, Series 2018-C14, Class D | | | |
| 5.05%, 11/15/51 144A † γ | 300,000 | | 254,841 |
| CSMC Trust, Series 2010-16, Class B9 | | | |
| 3.57%, 06/25/50 144A † γ | 2,129,982 | | 1,692,845 |
| CSMC Trust, Series 2018-J1, Class A2 | | | |
| 3.50%, 02/25/48 144A † γ | 3,218,628 | | 3,351,746 |
| CSMC, Series 2017-TIME, Class A | | | |
| 3.65%, 11/13/39 144A | 530,000 | | 515,779 |
| DBJPM Mortgage Trust, Series 2016-C1, Class D | | | |
| 3.50%, 05/10/49 144A † γ | 500,000 | | 359,851 |
| Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series, Series 2006-AR1, Class 3A1 | | | |
| 3.65%, 02/25/36† γ | 659,568 | | 634,849 |
| | | Par | | Value |
| Exantas Capital Corporation, Ltd., Series 2018-RSO6, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 0.83%, 0.83% Floor), 1.02%, 06/15/35 144A † | $ 81,601 | | $ 81,723 |
| Fannie Mae Connecticut Avenue Securities, Series 2018-C01, Class 1M2 | | | |
| (Floating, ICE LIBOR USD 1M + 2.25%, 2.25% Floor), 2.43%, 07/25/30† | 190,683 | | 187,796 |
| Fannie Mae Connecticut Avenue Securities, Series 2018-C03, Class 1M2 | | | |
| (Floating, ICE LIBOR USD 1M + 2.15%, 2.15% Floor), 2.33%, 10/25/30† | 178,628 | | 177,132 |
| Federal Home Loan Mortgage Corporation | | | |
| 8.00%, 08/01/24 | 385 | | 416 |
| 5.50%, 02/01/27 | 18,227 | | 20,057 |
| 4.50%, 10/01/29 | 1,538 | | 1,674 |
| 7.50%, 11/01/29 | 2,659 | | 3,121 |
| 7.50%, 12/01/29 | 2,854 | | 3,318 |
| (Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.23%, 2.23% Floor, 11.36% Cap), 4.61%, 07/01/31† | 2,619 | | 2,631 |
| 7.50%, 11/01/31 | 7,337 | | 7,368 |
| (Floating, ICE LIBOR USD 1Y + 1.98%, 1.98% Floor, 10.50% Cap), 3.73%, 04/01/32† | 978 | | 985 |
| 3.50%, 08/01/33 | 607,075 | | 647,068 |
| 5.00%, 08/01/33 | 3,199 | | 3,670 |
| 5.00%, 09/01/33 | 655 | | 750 |
| 5.00%, 10/01/33 | 1,781 | | 2,040 |
| (Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.37%, 2.37% Floor, 9.18% Cap), 3.87%, 03/01/34† | 726 | | 734 |
| 5.00%, 12/01/34 | 54,307 | | 62,268 |
| 5.50%, 05/01/35 | 172,388 | | 191,919 |
| 5.00%, 07/01/35 | 2,791 | | 3,205 |
| 5.00%, 11/01/35 | 81,001 | | 92,881 |
| 5.50%, 11/01/35 | 21,702 | | 24,878 |
| 5.00%, 12/01/35 | 7,841 | | 9,023 |
| 6.00%, 02/01/36 | 184,900 | | 205,646 |
| 5.00%, 02/01/37 | 7,863 | | 9,015 |
| 5.50%, 07/01/37 | 21,058 | | 24,230 |
| 3.00%, 02/01/38 | 208,881 | | 220,326 |
| 3.00%, 04/01/38 | 139,801 | | 147,495 |
| 5.50%, 04/01/38 | 5,168 | | 5,938 |
| 7.00%, 03/01/39 | 12,321 | | 14,419 |
| 4.50%, 06/01/39 | 60,932 | | 67,757 |
| 6.50%, 09/01/39 | 26,213 | | 30,503 |
| 4.00%, 02/01/41 | 44,580 | | 48,919 |
| 5.00%, 06/01/41 | 2,320 | | 2,619 |
| 3.50%, 10/01/42 | 96,155 | | 103,978 |
| 4.00%, 10/01/42 | 38,831 | | 42,423 |
| 3.50%, 11/01/42 | 209,665 | | 226,887 |
| 3.50%, 12/01/42 | 57,387 | | 62,065 |
See Notes to Financial Statements.
| | | Par | | Value |
| 3.50%, 01/01/43 | $ 301,768 | | $ 326,344 |
| 3.50%, 02/01/43 | 184,360 | | 199,199 |
| 3.50%, 03/01/43 | 481,375 | | 520,551 |
| 4.00%, 04/01/43 | 97,486 | | 106,518 |
| 3.50%, 05/01/43 | 335,625 | | 367,356 |
| 4.00%, 05/01/43 | 43,609 | | 49,372 |
| 4.00%, 06/01/43 | 51,803 | | 58,650 |
| 4.00%, 07/01/43 | 169,679 | | 191,260 |
| 4.00%, 08/01/43 | 91,942 | | 100,356 |
| 4.50%, 12/01/43 | 649,487 | | 721,908 |
| 3.50%, 02/01/44 | 50,374 | | 54,478 |
| 4.50%, 02/01/44 | 533,128 | | 592,824 |
| 4.50%, 03/01/44 | 157,544 | | 175,117 |
| 3.50%, 03/01/45 | 539,380 | | 583,462 |
| 4.00%, 12/01/45 | 341,104 | | 369,209 |
| 3.50%, 06/01/46 | 61,216 | | 66,608 |
| 4.00%, 09/01/46 | 1,085,387 | | 1,151,017 |
| 4.50%, 01/01/47 | 499,984 | | 543,599 |
| (Floating, U.S. Treasury Yield Curve Rate CMT 5Y + 1.29%, 1.29% Floor, 7.21% Cap), 2.54%, 03/01/47† | 975,217 | | 1,006,374 |
| 3.50%, 04/01/47 | 9,340,864 | | 10,156,501 |
| 3.50%, 06/01/47 | 63,811 | | 68,365 |
| 4.00%, 07/01/47 | 474,372 | | 505,924 |
| 5.00%, 07/01/47 | 306,602 | | 336,105 |
| 4.00%, 08/01/47 | 120,083 | | 130,055 |
| 3.00%, 09/01/47 | 983,929 | | 1,060,500 |
| 3.50%, 09/01/47 | 991,610 | | 1,046,903 |
| 3.50%, 02/01/48 | 15,642 | | 16,481 |
| 4.00%, 03/01/48 | 1,418,751 | | 1,512,708 |
| 3.50%, 04/01/48 | 1,471,602 | | 1,557,457 |
| 4.00%, 04/01/48 | 1,813,662 | | 1,930,575 |
| 4.50%, 04/01/48 | 327,077 | | 358,015 |
| 4.00%, 05/01/48 | 101,682 | | 107,962 |
| 3.50%, 06/01/48 | 438,700 | | 476,090 |
| 4.50%, 06/01/48 | 107,666 | | 115,897 |
| 4.50%, 07/01/48 | 481,804 | | 517,850 |
| 4.50%, 08/01/48 | 1,583,348 | | 1,772,280 |
| 5.00%, 08/01/48 | 270,556 | | 296,069 |
| 3.00%, 09/01/48 | 165,134 | | 178,570 |
| 4.00%, 09/01/48 | 314,822 | | 333,433 |
| 4.50%, 09/01/48 | 57,363 | | 61,712 |
| 5.00%, 10/01/48 | 25,571 | | 27,987 |
| 4.00%, 11/01/48 | 60,215 | | 63,915 |
| 4.50%, 11/01/48 | 271,665 | | 295,785 |
| 5.00%, 11/01/48 | 162,533 | | 177,797 |
| 4.50%, 01/01/49 | 755,194 | | 821,369 |
| 5.00%, 01/01/49 | 42,650 | | 46,603 |
| 4.50%, 04/01/49 | 205,854 | | 225,442 |
| 4.00%, 05/01/49 | 72,561 | | 76,899 |
| 3.00%, 07/01/49 | 356,809 | | 376,833 |
| 3.00%, 09/01/49 | 836,378 | | 900,898 |
| 5.00%, 10/01/49 | 14,532,702 | | 15,886,546 |
| 3.00%, 01/01/50 | 196,523 | | 210,403 |
| 3.50%, 02/01/50 | 196,177 | | 211,097 |
| 4.00%, 02/01/50 | 190,777 | | 204,485 |
| | | Par | | Value |
| 4.50%, 02/01/50 | $ 278,558 | | $ 301,574 |
| 3.00%, 03/01/50 | 1,574,121 | | 1,664,635 |
| 3.50%, 03/01/50 | 294,242 | | 311,498 |
| 4.00%, 03/01/50 | 188,887 | | 201,432 |
| 4.50%, 03/01/50 | 99,639 | | 107,450 |
| 5.00%, 03/01/50 | 52,659 | | 57,538 |
| 4.50%, 04/01/50 | 394,447 | | 425,491 |
| 2.00%, 07/01/50 | 1,399,861 | | 1,431,422 |
| Federal Home Loan Mortgage Corporation Reference REMIC, Series R007 | | | |
| 6.00%, 05/15/36 | 127,902 | | 152,894 |
| Federal Home Loan Mortgage Corporation REMIC, Series 3325 | | | |
| (Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor, 6.75% Cap), 0.68%, 06/15/37† | 87,066 | | 87,802 |
| Federal Home Loan Mortgage Corporation REMIC, Series 3621 | | | |
| (Floating, 6.23% - ICE LIBOR USD 1M, 6.23% Cap), 6.05%, 01/15/40† IO | 174,078 | | 40,373 |
| Federal Home Loan Mortgage Corporation REMIC, Series 3947 | | | |
| (Floating, 5.95% - ICE LIBOR USD 1M, 5.95% Cap), 5.77%, 10/15/41† IO | 108,599 | | 18,919 |
| Federal Home Loan Mortgage Corporation REMIC, Series 3973 | | | |
| (Floating, 6.49% - ICE LIBOR USD 1M, 6.49% Cap), 6.31%, 12/15/41† IO | 226,821 | | 51,923 |
| Federal Home Loan Mortgage Corporation REMIC, Series 4099 | | | |
| (Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 5.82%, 08/15/42† IO | 182,076 | | 32,546 |
| Federal Home Loan Mortgage Corporation REMIC, Series 4194 | | | |
| 3.50%, 04/15/43 IO | 283,045 | | 28,614 |
| Federal Home Loan Mortgage Corporation REMIC, Series 4210 | | | |
| 3.00%, 05/15/43 | 363,241 | | 381,204 |
| Federal Home Loan Mortgage Corporation REMIC, Series 4239 | | | |
| 3.50%, 06/15/27 IO | 202,239 | | 13,420 |
| Federal Home Loan Mortgage Corporation REMIC, Series 4298 | | | |
| 4.00%, 04/15/43 IO | 163,317 | | 8,973 |
| Federal Home Loan Mortgage Corporation REMIC, Series 4310 | | | |
| (Floating, 5.95% - ICE LIBOR USD 1M, 5.95% Cap), 5.77%, 02/15/44† IO | 88,483 | | 14,924 |
| Federal Home Loan Mortgage Corporation REMIC, Series 4335 | | | |
| (Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 5.82%, 05/15/44† IO | 91,304 | | 17,886 |
See Notes to Financial Statements.
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | Par | | Value |
| Federal Home Loan Mortgage Corporation REMIC, Series 4415 | | | |
| 3.37%, 04/15/41† IO γ | $ 107,604 | | $ 6,534 |
| Federal Home Loan Mortgage Corporation REMIC, Series 4638 | | | |
| (Floating, ICE LIBOR USD 1M + 0.44%, 9999.00% Cap), 0.81%, 07/15/40† | 279,426 | | 281,335 |
| Federal Home Loan Mortgage Corporation REMIC, Series 4793 | | | |
| 3.00%, 05/15/48 | 811,510 | | 851,982 |
| 3.00%, 06/15/48 | 600,507 | | 627,960 |
| Federal Home Loan Mortgage Corporation REMIC, Series 4813 | | | |
| 3.00%, 08/15/48 | 543,246 | | 562,940 |
| Federal Home Loan Mortgage Corporation REMIC, Series 4989 | | | |
| (Floating, ICE LIBOR USD 1M + 0.35%), 0.54%, 08/15/40† | 1,100,000 | | 1,094,672 |
| (Floating, ICE LIBOR USD 1M + 0.35%), 0.54%, 10/15/40† | 1,000,000 | | 995,156 |
| Federal Home Loan Mortgage Corporation STRIP, Series 353 | | | |
| (Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 5.82%, 12/15/46† IO | 339,097 | | 71,601 |
| Federal National Mortgage Association | | | |
| 9.50%, 05/01/22 | 26 | | 26 |
| (Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 12.75% Cap), 2.23%, 07/01/22† | 601 | | 600 |
| 5.50%, 09/01/23 | 9,047 | | 9,420 |
| 5.50%, 10/01/23 | 2,228 | | 2,320 |
| 5.00%, 06/01/24 | 61,236 | | 66,833 |
| 9.50%, 07/01/24 | 15 | | 15 |
| 2.81%, 04/01/25 | 50,000 | | 54,168 |
| 5.50%, 05/01/25 | 1,688 | | 1,733 |
| (Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 12.05% Cap), 2.13%, 07/01/27† | 6,664 | | 6,623 |
| (Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.13%, 2.13% Floor, 11.81% Cap), 3.49%, 08/01/27† | 9,758 | | 9,835 |
| (Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 10.62% Cap), 2.13%, 11/01/27 CONV † | 7,754 | | 7,692 |
| 2.84%, 01/01/28 | 420,000 | | 468,018 |
| 3.08%, 01/01/28 | 140,000 | | 155,782 |
| 3.07%, 01/01/29 | 100,000 | | 113,757 |
| 3.16%, 05/01/29 | 147,961 | | 169,550 |
| 3.26%, 05/01/29 | 110,000 | | 127,338 |
| 3.16%, 06/01/29 | 5,900,000 | | 6,784,048 |
| 2.79%, 08/01/29 | 500,000 | | 562,145 |
| 2.26%, 02/01/30 | 100,000 | | 108,690 |
| 2.06%, 03/01/30 | 199,645 | | 215,416 |
| 2.14%, 04/01/30 | 100,000 | | 107,829 |
| | | Par | | Value |
| 2.26%, 04/01/30 | $398,705 | | $432,675 |
| (Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.38%, 2.38% Floor, 10.65% Cap), 4.41%, 06/01/30 CONV † | 10,399 | | 10,445 |
| 8.00%, 10/01/30 | 7,597 | | 9,190 |
| (Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.51%, 2.51% Floor, 12.62% Cap), 4.38%, 12/01/30 CONV † | 3,128 | | 3,146 |
| (Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 10.55% Cap), 2.13%, 01/01/31† | 4,419 | | 4,362 |
| 4.50%, 04/01/31 | 35,188 | | 38,428 |
| 4.50%, 05/01/31 | 123,512 | | 134,855 |
| 4.50%, 06/01/31 | 38,212 | | 41,731 |
| 2.87%, 07/01/31 | 100,000 | | 113,805 |
| 2.77%, 08/01/31 | 400,000 | | 449,889 |
| 2.77%, 08/01/31 | 200,000 | | 225,039 |
| 2.85%, 08/01/31 | 100,000 | | 113,326 |
| 2.87%, 08/01/31 | 200,000 | | 226,842 |
| 2.24%, 10/01/31 | 100,000 | | 108,633 |
| 4.50%, 11/01/31 | 57,548 | | 63,132 |
| 6.00%, 11/01/31 | 1,634 | | 1,887 |
| 4.50%, 12/01/31 | 86,258 | | 94,628 |
| 6.00%, 01/01/32 | 49,868 | | 55,589 |
| 2.32%, 02/01/32 | 100,000 | | 109,606 |
| 6.00%, 03/01/32 | 2,157 | | 2,408 |
| 1.85%, 04/01/32 | 100,000 | | 105,835 |
| 1.95%, 04/01/32 | 100,000 | | 105,802 |
| 6.00%, 04/01/32 | 95,076 | | 106,210 |
| (Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 10.95% Cap), 2.13%, 06/01/32† | 6,107 | | 6,023 |
| (Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 12.22% Cap), 2.23%, 08/01/32† | 6,206 | | 6,125 |
| (Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.13%, 2.13% Floor, 9.75% Cap), 3.63%, 02/01/33† | 841 | | 845 |
| (Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 11.95% Cap), 2.23%, 05/01/33† | 9,039 | | 8,949 |
| 5.00%, 07/01/33 | 16,667 | | 19,101 |
| 5.00%, 09/01/33 | 20,207 | | 23,150 |
| 3.50%, 05/01/34 | 107,391 | | 115,687 |
| 6.00%, 10/01/34 | 24,878 | | 27,671 |
| (Floating, ICE LIBOR USD 1Y + 1.55%, 1.55% Floor, 9.67% Cap), 3.55%, 12/01/34† | 12,347 | | 12,530 |
| 6.00%, 05/01/35 | 302,205 | | 350,218 |
| 6.00%, 07/01/35 | 62,016 | | 70,533 |
| 5.50%, 09/01/35 | 27,009 | | 29,714 |
| 5.00%, 10/01/35 | 56,524 | | 64,887 |
| 6.00%, 10/01/35 | 13,500 | | 15,642 |
See Notes to Financial Statements.
| | | Par | | Value |
| (Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 10.54% Cap), 2.13%, 11/01/35† | $ 2,850 | | $ 2,855 |
| (Floating, Federal Reserve U.S. 12 1Y CMT + 1.96%, 1.96% Floor, 8.99% Cap), 3.67%, 11/01/35† | 26,810 | | 27,722 |
| 6.00%, 11/01/35 | 189,735 | | 212,675 |
| 5.50%, 04/01/36 | 3,154 | | 3,492 |
| (Floating, COF 11th District San Francisco + 1.25%, 3.92% Floor, 12.91% Cap), 4.10%, 05/01/36† | 22,825 | | 23,641 |
| 5.50%, 11/01/36 | 46,359 | | 53,305 |
| 5.50%, 03/01/37 | 2,821 | | 3,245 |
| 6.00%, 07/01/37 | 470,873 | | 548,719 |
| 6.50%, 10/01/37 | 40,563 | | 46,621 |
| 7.00%, 10/01/37 | 1,278 | | 1,491 |
| 7.00%, 11/01/37 | 4,833 | | 5,478 |
| (Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 10.65% Cap), 2.13%, 12/01/37† | 17,917 | | 17,759 |
| 3.00%, 12/01/37 | 134,045 | | 141,846 |
| 7.00%, 12/01/37 | 3,164 | | 3,845 |
| (Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 10.53% Cap), 2.13%, 01/01/38† | 10,786 | | 10,730 |
| 7.00%, 02/01/38 | 1,673 | | 1,927 |
| 4.50%, 03/01/38 | 3,373 | | 3,668 |
| 4.50%, 04/01/38 | 48,091 | | 52,741 |
| 5.00%, 04/01/38 | 56,066 | | 64,249 |
| 5.00%, 06/01/38 | 61,389 | | 70,162 |
| 5.50%, 08/01/38 | 32,192 | | 36,897 |
| 7.00%, 11/01/38 | 13,089 | | 15,294 |
| 7.00%, 02/01/39 | 5,435 | | 6,302 |
| 6.00%, 12/01/39 | 195,744 | | 228,383 |
| (Floating, Federal Reserve U.S. 12 1Y CMT + 1.40%, 1.40% Floor, 9.69% Cap), 3.09%, 06/01/40† | 23,309 | | 23,575 |
| 3.09%, 10/01/40† | 80,171 | | 80,025 |
| (Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 10.25% Cap), 2.13%, 11/01/40† | 7,010 | | 6,936 |
| 4.50%, 04/01/41 | 84,958 | | 94,604 |
| 4.50%, 08/01/41 | 44,292 | | 49,338 |
| 4.50%, 11/01/41 | 206,138 | | 226,439 |
| 4.00%, 06/01/42 | 21,419 | | 22,830 |
| 3.50%, 09/01/42 | 39,696 | | 42,904 |
| 4.00%, 10/01/42 | 138,276 | | 150,859 |
| 2.50%, 11/01/42 | 18,768 | | 19,893 |
| 4.00%, 11/01/42 | 1,315,730 | | 1,465,111 |
| 2.50%, 12/01/42 | 13,689 | | 14,510 |
| 3.00%, 12/01/42 | 13,398 | | 14,620 |
| 3.50%, 12/01/42 | 63,873 | | 69,151 |
| 4.00%, 12/01/42 | 94,304 | | 103,654 |
| 2.50%, 01/01/43 | 13,808 | | 14,636 |
| | | Par | | Value |
| 3.00%, 01/01/43 | $ 256,695 | | $ 276,031 |
| 3.50%, 01/01/43 | 1,240,272 | | 1,340,577 |
| 2.50%, 02/01/43 | 18,603 | | 19,715 |
| 2.50%, 03/01/43 | 1,292,765 | | 1,370,007 |
| 3.00%, 03/01/43 | 161,351 | | 175,931 |
| 3.50%, 03/01/43 | 538,695 | | 582,886 |
| 2.50%, 04/01/43 | 1,083,520 | | 1,148,257 |
| 3.00%, 04/01/43 | 240,618 | | 262,584 |
| 4.00%, 04/01/43 | 46,151 | | 51,757 |
| 2.50%, 05/01/43 | 22,927 | | 24,297 |
| 3.00%, 05/01/43 | 153,026 | | 166,996 |
| 2.50%, 06/01/43 | 21,052 | | 22,310 |
| 3.00%, 06/01/43 | 48,093 | | 52,483 |
| 4.00%, 06/01/43 | 406,437 | | 452,458 |
| 3.00%, 07/01/43 | 411,038 | | 448,566 |
| 4.00%, 07/01/43 | 422,972 | | 469,271 |
| 2.50%, 08/01/43 | 801,058 | | 848,926 |
| 4.00%, 08/01/43 | 136,710 | | 149,199 |
| 4.50%, 09/01/43 | 419,434 | | 466,740 |
| 2.50%, 10/01/43 | 25,572 | | 27,075 |
| 4.50%, 10/01/43 | 139,936 | | 155,398 |
| 4.50%, 11/01/43 | 93,288 | | 103,652 |
| 4.50%, 12/01/43 | 138,527 | | 153,930 |
| 4.50%, 01/01/44 | 84,871 | | 94,316 |
| 4.50%, 02/01/44 | 567,248 | | 631,666 |
| 4.50%, 10/01/44 | 321,722 | | 360,818 |
| 4.00%, 01/01/45 | 128,259 | | 141,924 |
| 4.50%, 02/01/45 | 878,563 | | 1,011,192 |
| 3.50%, 04/01/45 | 1,061,873 | | 1,142,308 |
| 4.50%, 04/01/45 | 475,402 | | 533,725 |
| 4.50%, 05/01/45 | 52,892 | | 60,101 |
| 3.50%, 06/01/45 | 448,984 | | 478,886 |
| 4.50%, 06/01/45 | 578,231 | | 640,012 |
| 3.00%, 11/01/45 | 1,214,671 | | 1,288,954 |
| 3.50%, 12/01/45 | 179,934 | | 195,701 |
| 3.50%, 01/01/46 | 352,722 | | 384,757 |
| 3.00%, 05/01/46 | 469,012 | | 505,637 |
| 3.00%, 07/01/46 | 534,078 | | 571,220 |
| 3.00%, 08/01/46 | 1,028,399 | | 1,102,535 |
| 3.00%, 09/01/46 | 449,659 | | 476,316 |
| 3.00%, 10/01/46 | 69,740 | | 74,122 |
| 3.00%, 11/01/46 | 2,340,862 | | 2,494,555 |
| 3.50%, 11/01/46 | 53,230 | | 56,959 |
| 4.50%, 11/01/46 | 521,747 | | 566,876 |
| 5.00%, 11/01/46 | 778,896 | | 882,191 |
| 3.50%, 12/01/46 | 714,943 | | 767,358 |
| 3.50%, 02/01/47 | 4,207,191 | | 4,471,798 |
| 4.50%, 03/01/47 | 684,508 | | 753,783 |
| 4.00%, 04/01/47 | 531,073 | | 576,419 |
| 4.00%, 05/01/47 | 123,895 | | 134,567 |
| 4.50%, 06/01/47 | 692,774 | | 779,167 |
| 4.50%, 07/01/47 | 1,117,889 | | 1,225,614 |
| 3.00%, 09/01/47 | 1,188,304 | | 1,270,367 |
| 3.50%, 09/01/47 | 17,543,874 | | 19,164,322 |
| 3.50%, 10/01/47 | 17,456,315 | | 19,083,794 |
| 3.50%, 11/01/47 | 22,550,402 | | 24,652,797 |
| 4.50%, 11/01/47 | 263,691 | | 289,740 |
See Notes to Financial Statements.
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | Par | | Value |
| 3.50%, 12/01/47 | $22,924,128 | | $25,046,560 |
| 4.00%, 12/01/47 | 462,613 | | 505,283 |
| 3.50%, 01/01/48 | 395,195 | | 418,648 |
| 4.00%, 01/01/48 | 474,204 | | 517,944 |
| 3.50%, 02/01/48 | 1,788,131 | | 1,892,263 |
| 4.00%, 02/01/48 | 1,599,896 | | 1,753,537 |
| 3.50%, 03/01/48 | 70,661 | | 74,619 |
| 4.00%, 03/01/48 | 1,312,564 | | 1,433,560 |
| 4.50%, 04/01/48 | 474,682 | | 511,086 |
| 4.50%, 05/01/48 | 599,181 | | 644,617 |
| 5.00%, 05/01/48 | 258,452 | | 282,871 |
| 4.00%, 06/01/48 | 789,293 | | 863,236 |
| 3.50%, 07/01/48 | 1,197,136 | | 1,269,263 |
| 4.00%, 07/01/48 | 1,507,402 | | 1,642,968 |
| 4.50%, 07/01/48 | 578,776 | | 632,091 |
| 3.50%, 08/01/48 | 9,271,051 | | 10,060,697 |
| 4.00%, 08/01/48 | 4,482,927 | | 4,871,519 |
| 4.50%, 08/01/48 | 786,785 | | 868,719 |
| 5.00%, 08/01/48 | 148,149 | | 162,035 |
| 4.00%, 09/01/48 | 1,328,363 | | 1,410,065 |
| 4.50%, 09/01/48 | 978,163 | | 1,075,331 |
| 4.00%, 10/01/48 | 388,452 | | 414,254 |
| 4.50%, 10/01/48 | 1,026,224 | | 1,119,458 |
| 5.00%, 10/01/48 | 685,321 | | 749,105 |
| 4.00%, 11/01/48 | 30,491 | | 32,328 |
| 4.50%, 11/01/48 | 380,537 | | 420,764 |
| 5.00%, 11/01/48 | 5,332,919 | | 5,975,720 |
| 4.50%, 12/01/48 | 1,056,725 | | 1,137,923 |
| 5.00%, 12/01/48 | 31,100 | | 33,983 |
| 3.50%, 02/01/49 | 81,863 | | 88,976 |
| 4.50%, 02/01/49 | 112,539 | | 122,320 |
| 4.50%, 05/01/49 | 426,764 | | 459,586 |
| 3.50%, 06/01/49 | 260,166 | | 277,165 |
| 3.00%, 07/01/49 | 90,022 | | 95,598 |
| 3.00%, 09/01/49 | 2,676,104 | | 2,858,207 |
| 3.50%, 10/01/49 | 834,615 | | 897,320 |
| 3.00%, 11/01/49 | 477,720 | | 504,528 |
| 3.00%, 12/01/49 | 771,387 | | 818,791 |
| 3.50%, 12/01/49 | 287,358 | | 308,944 |
| 4.00%, 12/01/49 | 465,590 | | 493,419 |
| 5.00%, 12/01/49 | 8,166 | | 8,916 |
| 3.00%, 01/01/50 | 306,766 | | 327,694 |
| 3.00%, 02/01/50 | 2,055,036 | | 2,194,922 |
| 3.50%, 02/01/50 | 1,057,407 | | 1,123,765 |
| 3.00%, 03/01/50 | 398,009 | | 429,264 |
| 4.50%, 03/01/50 | 271,283 | | 292,743 |
| 3.50%, 04/01/50 | 582,228 | | 620,297 |
| 3.00%, 06/01/50 | 1,205,387 | | 1,279,200 |
| 4.00%, 02/01/56 | 451,169 | | 499,387 |
| 4.50%, 04/01/56 | 700,433 | | 781,987 |
| 5.50%, 09/01/56 | 653,547 | | 729,869 |
| 4.00%, 01/01/57 | 281,537 | | 311,627 |
| 3.50%, 03/01/57 | 2,048,857 | | 2,231,334 |
| 4.00%, 06/01/57 | 490,543 | | 541,421 |
| | | Par | | Value |
| 4.50%, 09/01/57 | $ 773,747 | | $866,363 |
| Federal National Mortgage Association ACES, Series 2015-M1 | | | |
| 0.62%, 09/25/24† IO γ | 3,325,890 | | 87,296 |
| Federal National Mortgage Association ACES, Series 2016-M11 | | | |
| 2.94%, 07/25/39 | 130,812 | | 135,056 |
| Federal National Mortgage Association ACES, Series 2017-M8 | | | |
| 3.06%, 05/25/27 | 100,000 | | 112,248 |
| Federal National Mortgage Association ACES, Series 2019-M23 | | | |
| 2.72%, 10/25/31 | 299,956 | | 326,712 |
| Federal National Mortgage Association ACES, Series 2019-M27 | | | |
| 2.70%, 11/25/40 | 200,000 | | 239,818 |
| Federal National Mortgage Association ACES, Series 2020-M6 | | | |
| 2.50%, 10/25/37 | 98,159 | | 104,912 |
| Federal National Mortgage Association Interest STRIP, Series 409 | | | |
| 3.00%, 04/25/27 IO | 175,101 | | 10,162 |
| 4.50%, 11/25/39 IO | 33,113 | | 5,019 |
| 3.50%, 11/25/41 IO | 130,217 | | 15,594 |
| 4.00%, 11/25/41 IO | 162,332 | | 22,319 |
| 4.00%, 04/25/42 IO | 303,585 | | 43,052 |
| Federal National Mortgage Association REMIC, Series 1991-137 | | | |
| 868.32%, 10/25/21 IO | 8 | | 38 |
| Federal National Mortgage Association REMIC, Series 1991-97 | | | |
| 1,009.25%, 08/25/21 IO | 4 | | 22 |
| Federal National Mortgage Association REMIC, Series 2000-32 | | | |
| (Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor, 9.00% Cap), 0.64%, 10/18/30† | 5,471 | | 5,469 |
| Federal National Mortgage Association REMIC, Series 2005-29 | | | |
| 5.50%, 04/25/35 | 325,259 | | 390,297 |
| Federal National Mortgage Association REMIC, Series 2007-24 | | | |
| (Floating, 6.75% - ICE LIBOR USD 1M, 6.75% Cap), 6.57%, 03/25/37† IO | 409,871 | | 87,108 |
See Notes to Financial Statements.
| | | Par | | Value |
| Federal National Mortgage Association REMIC, Series 2011-52 | | | |
| 5.00%, 06/25/41 | $237,174 | | $273,947 |
| Federal National Mortgage Association REMIC, Series 2011-59 | | | |
| 5.50%, 07/25/41 | 741,309 | | 873,445 |
| Federal National Mortgage Association REMIC, Series 2011-96 | | | |
| (Floating, 6.55% - ICE LIBOR USD 1M, 6.55% Cap), 6.37%, 10/25/41† IO | 295,165 | | 62,013 |
| Federal National Mortgage Association REMIC, Series 2012-101 | | | |
| 4.00%, 09/25/27 IO | 92,134 | | 5,779 |
| Federal National Mortgage Association REMIC, Series 2012-111 | | | |
| 7.00%, 10/25/42 | 18,851 | | 22,709 |
| Federal National Mortgage Association REMIC, Series 2012-118 | | | |
| 3.50%, 12/25/39 IO | 143,438 | | 5,077 |
| Federal National Mortgage Association REMIC, Series 2012-133 | | | |
| (Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 5.97%, 12/25/42† IO | 103,146 | | 19,843 |
| Federal National Mortgage Association REMIC, Series 2012-153 | | | |
| 7.00%, 07/25/42 | 67,225 | | 82,538 |
| Federal National Mortgage Association REMIC, Series 2012-28 | | | |
| 6.50%, 06/25/39 | 5,707 | | 6,260 |
| Federal National Mortgage Association REMIC, Series 2012-35 | | | |
| (Floating, 6.50% - ICE LIBOR USD 1M, 6.50% Cap), 6.32%, 04/25/42† IO | 95,994 | | 20,046 |
| Federal National Mortgage Association REMIC, Series 2012-46 | | | |
| 6.00%, 05/25/42 | 98,686 | | 116,096 |
| Federal National Mortgage Association REMIC, Series 2012-70 | | | |
| (Floating, 6.65% - ICE LIBOR USD 1M, 6.65% Cap), 6.47%, 02/25/41† IO | 14,089 | | 1,177 |
| Federal National Mortgage Association REMIC, Series 2012-74 | | | |
| (Floating, 6.65% - ICE LIBOR USD 1M, 6.65% Cap), 6.47%, 03/25/42† IO | 121,605 | | 23,865 |
| | | Par | | Value |
| Federal National Mortgage Association REMIC, Series 2012-75 | | | |
| (Floating, 6.60% - ICE LIBOR USD 1M, 6.60% Cap), 6.42%, 07/25/42† IO | $ 33,562 | | $ 6,929 |
| Federal National Mortgage Association REMIC, Series 2013-124 | | | |
| (Floating, 5.95% - ICE LIBOR USD 1M, 5.95% Cap), 5.77%, 12/25/43† IO | 394,236 | | 84,297 |
| Federal National Mortgage Association REMIC, Series 2013-14 | | | |
| 4.00%, 03/25/43 IO | 140,533 | | 16,991 |
| Federal National Mortgage Association REMIC, Series 2013-17 | | | |
| 3.00%, 03/25/28 IO | 686,239 | | 47,637 |
| Federal National Mortgage Association REMIC, Series 2013-29 | | | |
| 4.00%, 04/25/43 IO | 368,600 | | 42,961 |
| Federal National Mortgage Association REMIC, Series 2013-54 | | | |
| (Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 5.97%, 06/25/43† IO | 173,778 | | 42,554 |
| Federal National Mortgage Association REMIC, Series 2013-9 | | | |
| 5.50%, 04/25/42 | 429,741 | | 496,817 |
| 6.50%, 07/25/42 | 175,372 | | 213,317 |
| Federal National Mortgage Association REMIC, Series 2014-47 | | | |
| 3.14%, 08/25/44† IO γ | 305,119 | | 20,821 |
| Federal National Mortgage Association REMIC, Series 2015-55 | | | |
| 2.83%, 08/25/55† IO γ | 108,326 | | 5,452 |
| Federal National Mortgage Association REMIC, Series 2015-56 | | | |
| (Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 5.97%, 08/25/45† IO | 53,673 | | 13,769 |
| Federal National Mortgage Association REMIC, Series 2017-76 | | | |
| (Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 5.92%, 10/25/57† IO | 736,353 | | 138,564 |
| Federal National Mortgage Association REMIC, Series 2017-85 | | | |
| (Floating, 6.20% - ICE LIBOR USD 1M, 6.20% Cap), 6.02%, 11/25/47† IO | 245,272 | | 46,455 |
See Notes to Financial Statements.
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | Par | | Value |
| Federal National Mortgage Association REMIC, Series 2020-47 | | | |
| 2.00%, 07/25/50 | $ 300,000 | | $298,313 |
| FHLMC Multifamily Structured Pass-Through Certificates, Series K016 | | | |
| 1.63%, 10/25/21† IO γ | 170,172 | | 2,618 |
| FHLMC Multifamily Structured Pass-Through Certificates, Series K068 | | | |
| 0.57%, 08/25/27† IO γ | 2,417,528 | | 66,760 |
| FHLMC Multifamily Structured Pass-Through Certificates, Series K091 | | | |
| 0.70%, 03/25/29† IO γ | 1,416,207 | | 62,258 |
| 3.51%, 03/25/29 | 230,000 | | 273,480 |
| FHLMC Multifamily Structured Pass-Through Certificates, Series K093 | | | |
| 1.09%, 05/25/29† IO γ | 1,996,434 | | 143,417 |
| FHLMC Multifamily Structured Pass-Through Certificates, Series K094 | | | |
| 1.02%, 06/25/29† IO γ | 999,337 | | 67,527 |
| FHLMC Multifamily Structured Pass-Through Certificates, Series K095 | | | |
| 1.08%, 06/25/29† IO γ | 1,197,928 | | 86,507 |
| FHLMC Multifamily Structured Pass-Through Certificates, Series K099 | | | |
| 1.01%, 09/25/29† IO γ | 1,088,799 | | 75,595 |
| FHLMC Multifamily Structured Pass-Through Certificates, Series K-1513 | | | |
| 2.80%, 08/25/34 | 100,000 | | 115,320 |
| FHLMC Multifamily Structured Pass-Through Certificates, Series K723 | | | |
| 1.07%, 08/25/23† IO γ | 3,224,464 | | 75,375 |
| FHLMC Multifamily Structured Pass-Through Certificates, Series K735 | | | |
| 1.10%, 05/25/26† IO γ | 899,203 | | 44,080 |
| FHLMC Multifamily Structured Pass-Through Certificates, Series K736 | | | |
| 1.44%, 07/25/26† IO γ | 1,999,528 | | 132,528 |
| FHLMC Structured Agency Credit Risk Debt Notes, Series 2016-DNA1, Class M3 | | | |
| (Floating, ICE LIBOR USD 1M + 5.55%), 5.72%, 07/25/28† | 275,224 | | 290,038 |
| FHLMC Structured Agency Credit Risk Debt Notes, Series 2016-DNA4, Class M3 | | | |
| (Floating, ICE LIBOR USD 1M + 3.80%, 3.80% Floor), 3.98%, 03/25/29† | 250,000 | | 254,889 |
| | | Par | | Value |
| FHLMC Structured Pass-Through Certificates, Series T-61, Class 1A1 | | | |
| (Floating, Federal Reserve U.S. 12 1Y CMT + 1.40%, 1.40% Floor), 2.90%, 07/25/44† | $ 448,580 | | $ 466,006 |
| Finsbury Square PLC, Series 2020-2A, Class A | | | |
| (Floating, SONIA Deposit Rates Swap 3M + 1.30%), 1.38%, 06/16/70(U) 144A † | 1,400,000 | | 1,736,480 |
| First Horizon Alternative Mortgage Securities Trust, Series 2004-AA1, Class A1 | | | |
| 3.26%, 06/25/34† γ | 164,226 | | 160,162 |
| FREMF Mortgage Trust, Series 2012-K20, Class X2A | | | |
| 0.20%, 05/25/45 144A IO | 5,022,922 | | 15,267 |
| Government National Mortgage Association | | | |
| 7.00%, 01/15/26 | 2,181 | | 2,375 |
| 7.00%, 07/15/27 | 18,766 | | 21,245 |
| 7.00%, 01/15/28 | 10,417 | | 10,578 |
| 7.00%, 03/15/28 | 24,335 | | 28,200 |
| 7.00%, 07/15/28 | 3,233 | | 3,568 |
| 7.50%, 07/15/28 | 9,130 | | 9,309 |
| 6.50%, 08/15/28 | 1,811 | | 2,016 |
| 7.00%, 08/15/28 | 4,967 | | 5,509 |
| 7.50%, 08/15/28 | 5,926 | | 6,737 |
| 6.50%, 09/15/28 | 3,343 | | 3,801 |
| 7.00%, 10/15/28 | 10,495 | | 10,596 |
| 7.50%, 03/15/29 | 9,105 | | 10,792 |
| (Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.00% Cap), 3.13%, 11/20/29† | 16,570 | | 17,333 |
| 8.50%, 08/15/30 | 415 | | 430 |
| 8.50%, 11/20/30 | 4,839 | | 5,785 |
| 6.50%, 08/15/31 | 27,928 | | 32,455 |
| 7.50%, 08/15/31 | 6,367 | | 7,038 |
| 6.50%, 10/15/31 | 31,643 | | 36,250 |
| 6.00%, 11/15/31 | 83,405 | | 95,805 |
| 6.50%, 11/15/31 | 50,472 | | 55,584 |
| 6.00%, 12/15/31 | 15,854 | | 18,794 |
| 6.00%, 01/15/32 | 58,262 | | 65,720 |
| 6.00%, 02/15/32 | 73,890 | | 82,493 |
| 6.50%, 02/15/32 | 31,123 | | 35,502 |
| 6.00%, 04/15/32 | 36,106 | | 40,179 |
| 7.50%, 04/15/32 | 7,805 | | 8,443 |
| 6.50%, 06/15/32 | 49,916 | | 57,216 |
| 6.50%, 08/15/32 | 65,092 | | 72,861 |
| 6.50%, 09/15/32 | 74,423 | | 86,186 |
| 6.00%, 10/15/32 | 64,132 | | 76,472 |
| 5.50%, 11/15/32 | 8,608 | | 9,637 |
| 6.00%, 11/15/32 | 51,326 | | 57,753 |
| 6.00%, 12/15/32 | 24,916 | | 28,327 |
See Notes to Financial Statements.
| | | Par | | Value |
| 6.50%, 12/15/32 | $ 8,046 | | $ 9,167 |
| 5.50%, 01/15/33 | 5,479 | | 6,108 |
| 6.00%, 01/15/33 | 23,684 | | 27,214 |
| 5.50%, 02/15/33 | 10,883 | | 12,709 |
| 6.00%, 02/15/33 | 21,447 | | 25,580 |
| 5.50%, 03/15/33 | 12,004 | | 13,838 |
| 6.50%, 04/15/33 | 134,545 | | 162,887 |
| 6.00%, 06/15/33 | 17,382 | | 19,338 |
| 5.50%, 07/15/33 | 12,393 | | 14,063 |
| 5.50%, 08/15/33 | 4,730 | | 5,295 |
| 5.50%, 09/15/33 | 2,780 | | 3,111 |
| 6.00%, 10/15/33 | 33,082 | | 36,848 |
| 6.50%, 10/15/33 | 63,793 | | 73,982 |
| 5.50%, 04/15/34 | 6,090 | | 6,731 |
| 5.50%, 05/15/34 | 2,471 | | 2,717 |
| 6.50%, 08/15/34 | 89,399 | | 104,690 |
| 5.50%, 09/15/34 | 53,454 | | 62,383 |
| 5.50%, 12/15/34 | 52,126 | | 60,878 |
| 5.50%, 01/15/35 | 38,587 | | 45,066 |
| 6.00%, 09/20/38 | 119,368 | | 137,238 |
| 5.00%, 07/20/40 | 9,835 | | 11,108 |
| 5.00%, 09/20/40 | 44,314 | | 50,036 |
| 4.00%, 10/20/40 | 5,661 | | 6,244 |
| 6.00%, 10/20/40 | 17,974 | | 20,658 |
| 6.00%, 01/20/41 | 14,633 | | 16,809 |
| 4.50%, 04/20/41 | 190,915 | | 209,835 |
| 3.00%, 09/15/42 | 452,744 | | 481,833 |
| 3.00%, 10/15/42 | 196,290 | | 208,629 |
| 3.00%, 11/15/42 | 87,616 | | 93,123 |
| 4.00%, 08/20/43 | 327,672 | | 360,506 |
| 3.50%, 06/20/44 | 130,037 | | 139,548 |
| 4.00%, 10/20/44 | 159,939 | | 174,334 |
| 3.00%, 01/15/45 | 3,154,032 | | 3,342,869 |
| 4.00%, 01/20/45 | 254,323 | | 277,088 |
| 3.50%, 03/20/45 | 59,245 | | 63,466 |
| 3.50%, 04/15/45 | 461,904 | | 488,250 |
| 4.00%, 05/20/45 | 28,836 | | 31,287 |
| 4.00%, 10/20/45 | 239,802 | | 260,335 |
| 3.50%, 09/20/46 | 1,963,762 | | 2,048,107 |
| 3.00%, 11/20/46 | 116,969 | | 124,400 |
| 4.00%, 06/20/47 | 2,940,498 | | 3,160,664 |
| 3.00%, 09/20/47 | 33,961 | | 36,055 |
| 4.00%, 09/20/47 | 1,157,052 | | 1,241,045 |
| 3.50%, 10/20/47 | 889,070 | | 951,366 |
| 4.00%, 11/20/47 | 705,272 | | 758,090 |
| 4.00%, 12/20/47 | 320,331 | | 343,341 |
| 3.00%, 02/20/48 | 171,272 | | 181,835 |
| 4.00%, 02/20/48 | 218,810 | | 236,001 |
| 4.00%, 03/20/48 | 365,402 | | 391,018 |
| 4.00%, 04/20/48 | 250,471 | | 266,940 |
| 4.50%, 05/20/48 | 3,070,012 | | 3,315,194 |
| 3.50%, 06/15/48 | 222,878 | | 237,601 |
| 4.50%, 06/20/48 | 677,013 | | 730,569 |
| 4.50%, 07/20/48 | 45,451 | | 48,968 |
| 4.50%, 08/20/48 | 5,464,372 | | 5,852,178 |
| 5.00%, 08/20/48 | 613,908 | | 669,384 |
| | | Par | | Value |
| 4.50%, 09/20/48 | $ 3,105,136 | | $ 3,347,592 |
| 5.00%, 09/20/48 | 485,079 | | 528,858 |
| 4.50%, 10/20/48 | 612,039 | | 659,444 |
| 5.00%, 10/20/48 | 3,627,043 | | 3,969,886 |
| 5.00%, 11/20/48 | 4,806,298 | | 5,242,237 |
| 4.50%, 12/20/48 | 256,232 | | 275,409 |
| 5.00%, 12/20/48 | 3,322,880 | | 3,612,415 |
| 4.50%, 01/20/49 | 9,525,275 | | 10,184,399 |
| 5.00%, 01/20/49 | 8,795,071 | | 9,567,076 |
| 4.00%, 02/20/49 | 4,495,278 | | 4,776,508 |
| 4.50%, 02/20/49 | 944,829 | | 1,010,043 |
| 5.00%, 02/20/49 | 200,713 | | 218,319 |
| 4.00%, 03/20/49 | 3,651,768 | | 3,875,492 |
| 4.50%, 03/20/49 | 684,455 | | 733,263 |
| 5.00%, 03/20/49 | 1,233,891 | | 1,341,104 |
| 4.00%, 05/20/49 | 2,972,782 | | 3,153,886 |
| 4.50%, 05/20/49 | 796,348 | | 851,602 |
| 5.00%, 05/20/49 | 2,280,189 | | 2,478,710 |
| 5.00%, 08/20/49 | 12,620,143 | | 13,719,962 |
| 3.50%, 10/20/49 | 470,668 | | 486,309 |
| 4.00%, 10/20/49 | 98,878 | | 106,489 |
| 5.00%, 10/20/49 | 999,900 | | 1,088,113 |
| 4.00%, 11/20/49 | 99,029 | | 107,191 |
| 3.50%, 12/20/49 | 8,367,247 | | 8,842,728 |
| 3.00%, 01/20/50 | 297,936 | | 316,233 |
| 4.00%, 01/20/50 | 99,308 | | 106,861 |
| 3.50%, 02/20/50 | 198,780 | | 211,602 |
| 4.00%, 02/20/50 | 99,434 | | 107,922 |
| 4.00%, 03/20/50 | 99,595 | | 109,055 |
| 4.00%, 04/20/50 | 398,887 | | 432,726 |
| 3.50%, 05/15/50 | 199,703 | | 214,956 |
| 2.50%, 07/01/50 TBA | 20,200,000 | | 21,265,234 |
| 3.00%, 07/01/50 TBA | 2,000,000 | | 2,119,141 |
| 4.50%, 07/01/50 TBA | 21,300,000 | | 22,752,726 |
| 5.00%, 07/01/50 TBA | 1,000,000 | | 1,086,250 |
| Government National Mortgage Association, Series 2007-30 | | | |
| (Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor, 6.50% Cap), 0.49%, 05/20/37† | 94,294 | | 94,124 |
| Government National Mortgage Association, Series 2007-51 | | | |
| (Floating, 6.58% - ICE LIBOR USD 1M, 6.58% Cap), 6.39%, 08/20/37† IO | 854,558 | | 146,042 |
| Government National Mortgage Association, Series 2010-31 | | | |
| (Floating, 6.50% - ICE LIBOR USD 1M, 6.50% Cap), 6.31%, 03/20/39† IO | 5,199 | | 106 |
| Government National Mortgage Association, Series 2010-85 | | | |
| (Floating, 6.65% - ICE LIBOR USD 1M, 6.65% Cap), 6.46%, 01/20/40† IO | 25,141 | | 2,330 |
See Notes to Financial Statements.
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | Par | | Value |
| Government National Mortgage Association, Series 2010-H28 | | | |
| (Floating, ICE LIBOR USD 1M + 0.40%, 0.40% Floor, 10.50% Cap), 0.70%, 12/20/60† | $ 184,622 | | $184,140 |
| Government National Mortgage Association, Series 2011-H08 | | | |
| (Floating, ICE LIBOR USD 1M + 0.48%, 0.48% Floor, 10.50% Cap), 0.78%, 03/20/61† | 238,239 | | 238,080 |
| Government National Mortgage Association, Series 2011-H09 | | | |
| (Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor, 10.50% Cap), 0.80%, 03/20/61† | 168,089 | | 168,059 |
| Government National Mortgage Association, Series 2012-144 | | | |
| 0.42%, 01/16/53† IO γ | 6,552,538 | | 146,197 |
| Government National Mortgage Association, Series 2012-34 | | | |
| (Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 5.86%, 03/20/42† IO | 31,619 | | 7,543 |
| Government National Mortgage Association, Series 2012-66 | | | |
| 3.50%, 02/20/38 IO | 83,548 | | 2,796 |
| Government National Mortgage Association, Series 2012-H27 | | | |
| 1.73%, 10/20/62† IO γ | 576,040 | | 30,098 |
| Government National Mortgage Association, Series 2012-H30 | | | |
| (Floating, ICE LIBOR USD 1M + 0.35%, 0.35% Floor, 10.50% Cap), 0.65%, 12/20/62† | 846,635 | | 843,768 |
| Government National Mortgage Association, Series 2013-107 | | | |
| 2.69%, 11/16/47† γ | 281,252 | | 297,707 |
| Government National Mortgage Association, Series 2013-53 | | | |
| 3.50%, 04/20/43 IO | 91,142 | | 9,418 |
| Government National Mortgage Association, Series 2014-117 | | | |
| (Floating, 5.60% - ICE LIBOR USD 1M, 5.60% Cap), 5.41%, 08/20/44† IO | 65,023 | | 12,637 |
| Government National Mortgage Association, Series 2014-118 | | | |
| (Floating, 6.20% - ICE LIBOR USD 1M, 6.20% Cap), 6.01%, 08/20/44† IO | 184,563 | | 44,091 |
| Government National Mortgage Association, Series 2014-17 | | | |
| 2.58%, 06/16/48† γ | 34,794 | | 36,459 |
| Government National Mortgage Association, Series 2014-93 | | | |
| 0.61%, 11/16/55† IO γ | 2,652,654 | | 89,059 |
| | | Par | | Value |
| Government National Mortgage Association, Series 2015-167 | | | |
| 4.00%, 04/16/45 IO | $ 95,850 | | $ 15,254 |
| Government National Mortgage Association, Series 2015-H11 | | | |
| (Floating, ICE LIBOR USD 1M + 0.55%, 0.55% Floor, 7.50% Cap), 0.85%, 05/20/65† | 2,132,274 | | 2,132,284 |
| Government National Mortgage Association, Series 2015-H14 | | | |
| (Floating, ICE LIBOR USD 1M + 0.43%, 0.43% Floor, 11.00% Cap), 0.73%, 05/20/65† | 2,197,050 | | 2,192,830 |
| (Floating, ICE LIBOR USD 1M + 0.57%, 0.57% Floor, 7.50% Cap), 0.87%, 06/20/65† | 3,637,815 | | 3,640,385 |
| Government National Mortgage Association, Series 2015-H15 | | | |
| (Floating, ICE LIBOR USD 1M + 0.58%, 0.58% Floor, 7.50% Cap), 0.88%, 06/20/65† | 1,386,775 | | 1,388,361 |
| (Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor, 7.50% Cap), 0.90%, 06/20/65† | 3,457,354 | | 3,463,629 |
| Government National Mortgage Association, Series 2015-H16 | | | |
| (Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor), 0.90%, 07/20/65† | 3,400,076 | | 3,406,502 |
| Government National Mortgage Association, Series 2015-H17 | | | |
| (Floating, ICE LIBOR USD 1M + 0.46%, 0.46% Floor), 1.48%, 06/20/65† | 513,483 | | 512,836 |
| Government National Mortgage Association, Series 2015-H18 | | | |
| (Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor, 7.50% Cap), 0.90%, 07/20/65† | 494,682 | | 495,573 |
| Government National Mortgage Association, Series 2015-H19 | | | |
| (Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor), 0.90%, 08/20/65† | 555,501 | | 556,501 |
| Government National Mortgage Association, Series 2015-H22 | | | |
| (Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor, 7.50% Cap), 0.90%, 09/20/65† | 564,436 | | 565,508 |
| Government National Mortgage Association, Series 2015-H23 | | | |
| (Floating, ICE LIBOR USD 1M + 0.62%, 0.62% Floor, 7.50% Cap), 0.92%, 09/20/65† | 634,933 | | 636,568 |
See Notes to Financial Statements.
| | | Par | | Value |
| Government National Mortgage Association, Series 2015-H26 | | | |
| (Floating, ICE LIBOR USD 1M + 0.52%, 0.52% Floor, 11.00% Cap), 0.82%, 10/20/65† | $1,209,493 | | $1,209,953 |
| Government National Mortgage Association, Series 2015-H30 | | | |
| (Floating, ICE LIBOR USD 1M + 0.68%, 0.68% Floor), 0.98%, 08/20/61† | 4,502 | | 4,527 |
| Government National Mortgage Association, Series 2016-152 | | | |
| 0.87%, 08/15/58† IO γ | 4,752,827 | | 293,936 |
| Government National Mortgage Association, Series 2017-190 | | | |
| 0.66%, 03/16/60† IO γ | 6,627,446 | | 352,781 |
| Government National Mortgage Association, Series 2017-H15 | | | |
| 2.35%, 07/20/67† IO γ | 556,767 | | 68,827 |
| (Floating, ICE LIBOR USD 1Y + 0.80%, 0.80% Floor, 7.50% Cap), 3.31%, 07/20/67† | 1,746,061 | | 1,782,766 |
| Government National Mortgage Association, Series 2017-H18 | | | |
| 1.76%, 09/20/67† IO γ | 4,306,511 | | 358,967 |
| Government National Mortgage Association, Series 2017-H20 | | | |
| 2.22%, 10/20/67† IO γ | 187,484 | | 19,140 |
| Government National Mortgage Association, Series 2017-H22 | | | |
| 2.41%, 11/20/67† IO γ | 1,479,283 | | 152,789 |
| Government National Mortgage Association, Series 2018-H07 | | | |
| (Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor, 11.00% Cap), 0.60%, 05/20/68† | 931,598 | | 926,367 |
| Government National Mortgage Association, Series 2019-123 | | | |
| 3.00%, 10/20/49 | 266,584 | | 286,651 |
| Government National Mortgage Association, Series 2019-28 | | | |
| 3.15%, 06/16/60 | 221,225 | | 232,041 |
| Government National Mortgage Association, Series 2020-47 | | | |
| 3.50%, 04/20/50 IO | 497,117 | | 85,439 |
| Government National Mortgage Association, Series 2020-H09 | | | |
| (Floating, ICE LIBOR USD 1M + 1.25%, 1.25% Floor, 11.00% Cap), 1.44%, 04/20/70† | 196,325 | | 201,800 |
| (Floating, ICE LIBOR USD 1M + 1.15%, 1.15% Floor), 1.34%, 05/20/70† | 500,338 | | 522,488 |
| GPMT, Ltd., Series 2018-FL1, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 0.90%, 0.90% Floor), 1.09%, 11/21/35 144A † | 577,273 | | 573,135 |
| GreenPoint Mortgage Funding Trust, Series 2006-OH1, Class A1 | | | |
| (Floating, ICE LIBOR USD 1M + 0.18%, 0.18% Floor), 0.36%, 01/25/37† | 419,558 | | 367,431 |
| | | Par | | Value |
| GS Mortgage Securities Corporation II, Series 2018-SRP5, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 1.30%, 1.30% Floor), 1.48%, 09/15/31 144A † | $1,530,000 | | $1,466,966 |
| GS Mortgage Securities Trust, Series 2013-GC16, Class B | | | |
| 5.16%, 11/10/46 | 130,000 | | 139,322 |
| GS Mortgage Securities Trust, Series 2015-GC30, Class AS | | | |
| 3.78%, 05/10/50 | 370,000 | | 391,876 |
| GS Mortgage Securities Trust, Series 2019-GC42, Class D | | | |
| 2.80%, 09/01/52 144A | 450,000 | | 327,345 |
| GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1 | | | |
| 4.07%, 09/25/35† γ | 310,127 | | 308,700 |
| Harben Finance PLC, Series 2017-1X, Class A | | | |
| (Floating, ICE LIBOR GBP 3M + 0.80%), 1.06%, 08/20/56(U) † | 498,473 | | 617,373 |
| Hawksmoor Mortgages, Series 2019-1A, Class A | | | |
| (Floating, SONIA Deposit Rates Swap 3M + 1.05%), 1.29%, 05/25/53(U) 144A † | 6,554,656 | | 8,133,112 |
| Impac CMB Trust, Series 2004-8, Class 1A | | | |
| (Floating, ICE LIBOR USD 1M + 0.72%, 0.36% Floor, 11.00% Cap), 0.90%, 10/25/34† | 28,673 | | 27,960 |
| IndyMac ARM Trust, Series 2001-H2, Class A1 | | | |
| 3.70%, 01/25/32† γ | 5,268 | | 4,839 |
| JP Morgan Chase Commercial Mortgage Securities Trust, Series 2012-C6, Class D | | | |
| 5.32%, 05/15/45† γ | 280,000 | | 225,043 |
| JP Morgan Mortgage Trust, Series 2005-A1, Class 6T1 | | | |
| 3.77%, 02/25/35† γ | 28,111 | | 26,494 |
| JP Morgan Mortgage Trust, Series 2018-3, Class A1 | | | |
| 3.50%, 09/25/48 144A † γ | 1,979,305 | | 2,033,249 |
| JP Morgan Mortgage Trust, Series 2018-4, Class A1 | | | |
| 3.50%, 10/25/48 144A † γ | 734,854 | | 754,830 |
| JPMBB Commercial Mortgage Securities Trust, Series 2013-C17, Class B | | | |
| 5.05%, 01/15/47† γ | 50,000 | | 52,519 |
| JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class ASB | | | |
| 3.41%, 11/15/47 | 734,893 | | 765,678 |
| JPMBB Commercial Mortgage Securities Trust, Series 2015-C32, Class ASB | | | |
| 3.36%, 11/15/48 | 773,226 | | 812,042 |
See Notes to Financial Statements.
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | Par | | Value |
| Kensington Mortgage Securities PLC, Series 2007-1X, Class A3C | | | |
| (Floating, ICE LIBOR USD 3M + 0.17%), 0.48%, 06/14/40† | $ 771,795 | | $ 742,756 |
| London Wall Mortgage Capital PLC, Series 2017-FL1, Class A | | | |
| (Floating, ICE LIBOR GBP 3M + 0.85%), 1.14%, 11/15/49(U) † | 463,774 | | 570,045 |
| Ludgate Funding PLC, Series 2007-1, Class A2A | | | |
| (Floating, ICE LIBOR GBP 3M + 0.16%), 0.73%, 01/01/61(U) † | 672,661 | | 783,079 |
| Ludgate Funding PLC, Series 2008-W1X, Class A1 | | | |
| (Floating, ICE LIBOR GBP 3M + 0.60%), 1.17%, 01/01/61(U) † | 542,984 | | 646,594 |
| Mansard Mortgages PLC, Series 2007-1X, Class A2 | | | |
| (Floating, ICE LIBOR GBP 3M + 0.18%), 0.85%, 04/15/47(U) † | 668,665 | | 785,828 |
| MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A7 | | | |
| 4.09%, 11/21/34† γ | 151,429 | | 151,604 |
| MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 4A1 | | | |
| 3.59%, 05/25/34† γ | 77,417 | | 76,486 |
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class AS | | | |
| 3.46%, 05/15/46 | 140,000 | | 144,236 |
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19, Class B | | | |
| 4.00%, 12/15/47 | 370,000 | | 385,462 |
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class AS | | | |
| 3.56%, 04/15/48 | 480,000 | | 503,183 |
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25, Class A4 | | | |
| 3.37%, 10/15/48 | 1,400,000 | | 1,520,854 |
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27, Class ASB | | | |
| 3.56%, 12/15/47 | 800,000 | | 846,026 |
| Morgan Stanley Capital I Trust, Series 2014-CPT, Class B | | | |
| 3.56%, 07/13/29 144A † γ | 800,000 | | 816,533 |
| Morgan Stanley Capital I Trust, Series 2019-BPR, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 1.40%, 1.40% Floor), 1.58%, 05/15/36 144A † | 1,050,000 | | 936,023 |
| Morgan Stanley Capital I Trust, Series 2020-CNP, Class A | | | |
| 2.51%, 04/05/42 144A † γ | 1,600,000 | | 1,630,072 |
| | | Par | | Value |
| MortgageIT Trust, Series 2005-4, Class A1 | | | |
| (Floating, ICE LIBOR USD 1M + 0.28%, 0.28% Floor, 11.50% Cap), 0.46%, 10/25/35† | $ 210,706 | | $ 207,385 |
| MSCG Trust, Series 2015-ALDR, Class A2 | | | |
| 3.58%, 06/07/35 144A † γ | 580,000 | | 572,983 |
| MSCG Trust, Series 2016-SNR, Class C | | | |
| 5.21%, 11/15/34 144A | 331,500 | | 325,586 |
| Nomura Resecuritization Trust, Series 2014-7R, Class 2A3 | | | |
| (Floating, ICE LIBOR USD 1M + 0.20%, 0.20% Floor), 0.37%, 12/26/35 144A † | 111,101 | | 110,565 |
| OBX Trust, Series 2018-1, Class A2 | | | |
| (Floating, ICE LIBOR USD 1M + 0.65%), 0.83%, 06/25/57 144A † | 499,495 | | 494,383 |
| ResLoc UK PLC, Series 2007-1X, Class A3A | | | |
| (Floating, 0.16% - Euribor 3M), 0.00%, 12/15/43(E) † | 945,161 | | 1,007,273 |
| (Floating, ICE LIBOR GBP 3M + 0.16%), 0.35%, 12/15/43(U) † | 236,290 | | 274,429 |
| Ripon Mortgages PLC, Series 1A, Class A1 | | | |
| (Floating, ICE LIBOR GBP 3M + 0.80%), 1.06%, 08/20/56(U) 144A † | 1,988,469 | | 2,457,459 |
| Ripon Mortgages PLC, Series 1X, Class A1 | | | |
| (Floating, ICE LIBOR GBP 3M + 0.80%), 1.06%, 08/20/56(U) † | 143,993 | | 177,954 |
| Ripon Mortgages PLC, Series 1X, Class A2 | | | |
| (Floating, ICE LIBOR GBP 3M + 0.80%), 1.06%, 08/20/56(U) † | 2,591,867 | | 3,203,171 |
| Rosslyn Portfolio Trust, Series 2017-ROSS, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 0.95%, 1.94% Floor), 1.94%, 06/15/33 144A † | 450,000 | | 442,170 |
| Sequoia Mortgage Trust, Series 2003-4, Class 1A2 | | | |
| (Floating, ICE LIBOR USD 6M + 0.66%, 0.33% Floor, 11.50% Cap), 2.37%, 07/20/33† | 52,361 | | 49,200 |
| Sequoia Mortgage Trust, Series 6, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 0.64%, 0.32% Floor, 11.00% Cap), 0.83%, 04/19/27† | 192,275 | | 184,695 |
| Shops at Crystals Trust, Series 2016-CSTL, Class A | | | |
| 3.13%, 07/05/36 144A | 340,000 | | 325,278 |
See Notes to Financial Statements.
| | | Par | | Value |
| Stratton Mortgage Funding PLC, Series 2019-1, Class A | | | |
| (Floating, SONIA Deposit Rates Swap 3M + 1.20%), 1.44%, 05/25/51(U) † | $ 1,538,687 | | $ 1,897,430 |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2005-19XS, Class 2A1 | | | |
| (Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor), 0.48%, 10/25/35† | 407,723 | | 401,747 |
| Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A1 | | | |
| (Floating, ICE LIBOR USD 1M + 0.25%, 0.25% Floor, 11.00% Cap), 0.44%, 07/19/35† | 56,243 | | 51,703 |
| Thornburg Mortgage Securities Trust, Series 2003-4, Class A1 | | | |
| (Floating, ICE LIBOR USD 1M + 0.64%, 0.32% Floor, 11.50% Cap), 0.82%, 09/25/43† | 4,990 | | 4,864 |
| Thornburg Mortgage Securities Trust, Series 2005-1, Class A3 | | | |
| 3.65%, 04/25/45† γ | 34,721 | | 33,070 |
| Towd Point Mortgage Funding PLC, Series 2019-GR4A, Class A1 | | | |
| (Floating, ICE LIBOR GBP 3M + 1.03%), 1.22%, 10/20/51(U) 144A † | 1,586,999 | | 1,970,292 |
| Tower Bridge Funding No. 1 PLC, Class A | | | |
| (Floating, ICE LIBOR GBP 3M + 1.00%), 1.18%, 03/20/56(U) † | 272,526 | | 338,815 |
| Tower Bridge Funding No. 2 PLC, Class A | | | |
| (Floating, ICE LIBOR GBP 3M + 0.90%), 1.08%, 03/20/56(U) † | 729,086 | | 901,412 |
| Trinity Square PLC, Series 2015-1A, Class A | | | |
| (Floating, ICE LIBOR GBP 3M + 1.15%), 1.82%, 07/15/51(U) 144A † | 176,096 | | 218,499 |
| UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class D | | | |
| 4.62%, 12/10/45 144A † γ | 320,000 | | 178,483 |
| Uniform Mortgage Backed Securities | | | |
| 2.00%, 07/01/35 TBA | 5,800,000 | | 6,000,734 |
| 2.00%, 07/01/50 TBA | 20,300,000 | | 20,707,277 |
| 2.50%, 07/01/50 TBA | 34,000,000 | | 35,447,656 |
| 3.00%, 07/01/50 TBA | 13,000,000 | | 13,692,656 |
| 3.50%, 07/01/50 TBA | 18,000,000 | | 18,933,047 |
| 2.00%, 08/01/50 TBA | 3,000,000 | | 3,064,512 |
| 2.50%, 08/01/50 TBA | 22,000,000 | | 22,901,053 |
| 2.50%, 09/01/50 TBA | 22,000,000 | | 22,852,837 |
| 3.00%, 09/01/50 TBA | 40,100,000 | | 42,109,722 |
| VNDO Mortgage Trust, Series 2012-6AVE, Class A | | | |
| 3.00%, 11/15/30 144A | 100,000 | | 103,010 |
| | | Par | | Value |
| Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2002-AR19, Class A7 | | | |
| 3.77%, 02/25/33† γ | $ 2,755 | | $ 2,663 |
| 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), 2.90%, 06/25/42† | 7,440 | | 6,914 |
| 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), 0.96%, 01/25/45† | 952,138 | | 939,274 |
| 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), 0.47%, 10/25/45† | 662,527 | | 643,314 |
| Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-HY1, Class 1A1 | | | |
| 3.50%, 02/25/37† γ | 201,315 | | 176,438 |
| Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-HY1, Class 2A3 | | | |
| 3.61%, 02/25/37† γ | 128,336 | | 120,100 |
| 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), 2.26%, 04/25/47† | 459,946 | | 414,845 |
| Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR8, Class 1A1A | | | |
| (Floating, ICE LIBOR USD 1M + 0.54%, 0.27% Floor, 10.50% Cap), 0.72%, 07/25/45† | 475,433 | | 430,010 |
| Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR8, Class 2A1A | | | |
| (Floating, ICE LIBOR USD 1M + 0.58%, 0.29% Floor, 10.50% Cap), 0.76%, 07/25/45† | 96,558 | | 90,235 |
| Waterfall Commercial Mortgage Trust, Series 2015-SBC5, Class A | | | |
| 4.10%, 09/14/22 144A | 122,556 | | 120,911 |
| Wells Fargo Alternative Loan Trust, Series 2007-PA6, Class A1 | | | |
| 4.39%, 12/28/37† γ | 339,689 | | 320,206 |
| Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B | | | |
| 4.41%, 07/15/46† γ | 20,000 | | 18,285 |
| Wells Fargo Commercial Mortgage Trust, Series 2017-RC1, Class D | | | |
| 3.25%, 01/15/60 144A | 150,000 | | 101,176 |
See Notes to Financial Statements.
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | Par | | Value |
| Wells Fargo Mortgage Backed Securities Trust, Series 2019-3, Class A1 | | | |
| 3.50%, 07/25/49 144A † γ | $ 299,342 | | $ 308,949 |
| WFRBS Commercial Mortgage Trust, Series 2012-C7, Class XA | | | |
| 1.48%, 06/15/45 144A † IO γ | 260,109 | | 4,587 |
| WFRBS Commercial Mortgage Trust, Series 2013-C13, Class XA | | | |
| 1.33%, 05/15/45 144A † IO γ | 2,252,108 | | 61,760 |
| WFRBS Commercial Mortgage Trust, Series 2014-C19, Class XA | | | |
| 1.19%, 03/15/47† IO γ | 893,771 | | 23,667 |
| WFRBS Commercial Mortgage Trust, Series 2014-C21, Class XA | | | |
| 1.19%, 08/15/47† IO γ | 2,884,493 | | 94,680 |
| WFRBS Commercial Mortgage Trust, Series 2014-C24, Class AS | | | |
| 3.93%, 11/15/47 | 290,000 | | 307,232 |
| WFRBS Commercial Mortgage Trust, Series 2014-C24, Class C | | | |
| 4.29%, 11/15/47 | 300,000 | | 165,475 |
Total Mortgage-Backed Securities
(Cost $700,925,455) | | | 720,008,047 |
| MUNICIPAL BONDS — 0.6% |
| American Municipal Power, Inc., Hydroelectric Projects, Revenue Bond, Series B | | | |
| 8.08%, 02/15/50 | 600,000 | | 1,086,207 |
| American Municipal Power, Inc., Revenue Bond, Series E | | | |
| 6.27%, 02/15/50 | 250,000 | | 350,993 |
| Chicago Transit Authority, Revenue Bond, Series A | | | |
| 6.90%, 12/01/40 | 700,000 | | 965,828 |
| Chicago Transit Authority, Revenue Bond, Series B | | | |
| 6.90%, 12/01/40 | 300,000 | | 413,926 |
| City of Chicago IL, General Obligation | | | |
| 7.75%, 01/01/42 | 2,177,000 | | 2,856,257 |
| Health & Educational Facilities Authority of the State of Missouri, Revenue Bond, Series A | | | |
| 3.23%, 05/15/50 | 460,000 | | 526,166 |
| Metropolitan Transportation Authority, Revenue Bond | | | |
| 5.18%, 11/15/49 | 825,000 | | 965,440 |
| Northstar Education Finance, Inc. | | | |
| (Floating, ICE LIBOR USD 3M + 0.10%), 0.99%, 04/28/30† | 19,430 | | 19,418 |
| Port Authority of New York & New Jersey, Revenue Bond, Series 192 | | | |
| 4.81%, 10/15/65 | 300,000 | | 413,043 |
| State of California, General Obligation | | | |
| 7.95%, 03/01/36 | 28 | | 27 |
| 7.55%, 04/01/39 | 410,000 | | 731,889 |
| State of Illinois, General Obligation | | | |
| 5.10%, 06/01/33 | 1,115,000 | | 1,132,768 |
| | | Par | | Value |
| 6.63%, 02/01/35 | $495,000 | | $ 546,505 |
| 7.35%, 07/01/35 | 465,000 | | 528,198 |
Total Municipal Bonds
(Cost $9,320,404) | | | 10,536,665 |
| | Number of
Contracts | | Notional
Amount | |
| PURCHASED OPTIONS — 0.0% |
| Call Options — 0.0% |
10-Year U.S. Treasury Note Future expiration date 8/2020, Strike Price
$138.00, Expires
07/24/20 (GSC) | 63 | | $ 8,760,150 | 83,672 |
10-Year U.S. Treasury Note Future expiration date 8/2020, Strike Price
$138.50, Expires
07/24/20 (GSC) | 2 | | 278,100 | 1,875 |
10-Year U.S. Treasury Note Future expiration date 8/2020, Strike Price
$139.00, Expires
07/24/20 (GSC) | 130 | | 18,076,500 | 77,188 |
10-Year U.S. Treasury Note Future expiration date 8/2020, Strike Price
$139.25, Expires
07/24/20 (GSC) | 32 | | 4,449,600 | 15,000 |
10-Year U.S. Treasury Note Future expiration date 9/2020, Strike Price
$138.50, Expires
08/21/20 (GSC) | 22 | | 3,059,100 | 25,781 |
Long U.S. Treasury Bond Future expiration date 8/2020, Strike Price
$178.00, Expires
07/24/20 (GSC) | 72 | | 12,828,960 | 140,625 |
Long U.S. Treasury Bond Future expiration date 8/2020, Strike Price
$180.00, Expires
07/24/20 (GSC) | 31 | | 5,523,580 | 32,938 |
| | | | | 377,079 |
| Put Options — 0.0% |
10-Year U.S. Treasury Note Future expiration date 8/2020, Strike Price
$136.50, Expires
07/24/20 (GSC) | 96 | | 13,348,800 | 4,500 |
See Notes to Financial Statements.
| | Number of
Contracts | | Notional
Amount | | Value |
10-Year U.S. Treasury Note Future expiration date 8/2020, Strike Price
$137.00, Expires
07/24/20 (GSC) | 63 | | $8,760,150 | | $ 3,937 |
10-Year U.S. Treasury Note Future expiration date 8/2020, Strike Price
$138.50, Expires
07/24/20 (GSC) | 33 | | 4,588,650 | | 8,766 |
10-Year U.S. Treasury Note Future expiration date 9/2020, Strike Price
$138.50, Expires
08/21/20 (GSC) | 22 | | 3,059,100 | | 11,000 |
Long U.S. Treasury Bond Future expiration date 8/2020, Strike Price
$176.00, Expires
07/24/20 (GSC) | 40 | | 7,127,200 | | 27,500 |
Long U.S. Treasury Bond Future expiration date 8/2020, Strike Price
$179.00, Expires
07/24/20 (GSC) | 17 | | 3,029,060 | | 32,141 |
| | | | | | 87,844 |
Total Purchased Options
(Premiums paid $579,580) | | | | 464,923 |
| | | Par | |
| U.S. TREASURY OBLIGATIONS — 12.8% |
| U.S. Treasury Bills | | | |
| 0.12%, 08/18/20Ω Δ | $4,410,000 | 4,409,250 |
| 0.15%, 10/22/20Ω | 9,210,000 | 9,205,664 |
| | | | 13,614,914 |
| U.S. Treasury Bonds | | | |
| 4.38%, 02/15/38 | 10,000 | 15,551 |
| 4.25%, 05/15/39 | 4,300,000 | 6,646,859 |
| 4.38%, 11/15/39 | 200,000 | 314,637 |
| 2.75%, 08/15/42 | 600,000 | 769,687 |
| 2.75%, 11/15/42 | 700,000 | 897,094 |
| 2.88%, 05/15/43Δ | 3,200,000 | 4,182,812 |
| 3.63%, 02/15/44 | 6,460,000 | 9,460,872 |
| 3.38%, 05/15/44‡‡ | 3,200,000 | 4,528,125 |
| 3.13%, 08/15/44Δ | 4,800,000 | 6,548,156 |
| 3.00%, 11/15/44‡‡ | 3,100,000 | 4,152,426 |
| 2.50%, 02/15/45Δ | 950,000 | 1,172,452 |
| 2.88%, 08/15/45 | 4,340,000 | 5,722,442 |
| 2.75%, 08/15/47 | 7,940,000 | 10,377,673 |
| 3.00%, 02/15/48 | 6,170,000 | 8,449,044 |
| 3.13%, 05/15/48 | 5,380,000 | 7,542,193 |
| 3.00%, 02/15/49 | 80,000 | 110,483 |
| 2.88%, 05/15/49Δ | 6,200,000 | 8,390,586 |
| | | Par | | Value |
| 2.25%, 08/15/49Δ | $ 3,400,000 | | $ 4,090,293 |
| 2.00%, 02/15/50Δ | 19,780,000 | | 22,659,690 |
| 1.25%, 05/15/50Δ | 6,930,000 | | 6,660,380 |
| | | | | 112,691,455 |
| U.S. Treasury Inflationary Index Bonds | | | | |
| 2.13%, 02/15/40 | 1,091,322 | | 1,609,139 |
| 0.75%, 02/15/42 | 238,279 | | 285,397 |
| 1.38%, 02/15/44‡‡ Δ | 2,618,238 | | 3,573,136 |
| 1.00%, 02/15/46 | 1,201,087 | | 1,555,624 |
| 1.00%, 02/15/48 | 1,642,742 | | 2,172,182 |
| 1.00%, 02/15/49 | 6,632,974 | | 8,850,729 |
| 0.25%, 02/15/50Δ | 4,308,120 | | 4,839,020 |
| | | | | 22,885,227 |
| U.S. Treasury Notes | | | | |
| 2.00%, 12/31/21‡‡ | 1,500,000 | | 1,541,133 |
| 1.88%, 03/31/22‡‡ | 1,900,000 | | 1,956,629 |
| 1.88%, 09/30/22‡‡ | 3,000,000 | | 3,115,430 |
| 2.00%, 10/31/22‡‡ | 2,700,000 | | 2,815,224 |
| 1.75%, 06/30/24 | 3,900,000 | | 4,137,580 |
| 2.25%, 11/15/24 | 260,000 | | 282,719 |
| 0.38%, 04/30/25Δ | 500,000 | | 502,344 |
| 0.25%, 05/31/25Δ | 5,220,000 | | 5,214,291 |
| 0.25%, 06/30/25 | 60,000 | | 59,890 |
| 2.88%, 07/31/25 | 2,330,000 | | 2,631,762 |
| 2.25%, 11/15/25Δ | 1,480,000 | | 1,630,862 |
| 2.63%, 01/31/26 | 3,120,000 | | 3,510,853 |
| 2.25%, 03/31/26 | 1,500,000 | | 1,660,137 |
| 2.13%, 05/31/26Δ | 6,320,000 | | 6,960,887 |
| 2.25%, 02/15/27Δ | 6,618,000 | | 7,394,322 |
| 0.50%, 04/30/27 | 8,610,000 | | 8,624,126 |
| 0.50%, 06/30/27 | 12,510,000 | | 12,521,728 |
| 2.25%, 08/15/27Δ | 4,000,000 | | 4,493,516 |
| 2.75%, 02/15/28‡‡ | 1,400,000 | | 1,633,406 |
| 2.88%, 05/15/28‡‡ | 800,000 | | 944,297 |
| 3.13%, 11/15/28 | 8,180,000 | | 9,891,729 |
| 2.63%, 02/15/29 | 1,000,000 | | 1,172,012 |
| 0.63%, 05/15/30Δ | 650,000 | | 648,299 |
| | | | | 83,343,176 |
| U.S. Treasury Strips | | | | |
| 2.22%, 02/15/40Ω ‡‡ | 4,060,000 | | 3,134,328 |
| 2.18%, 08/15/41Ω ‡‡ | 1,080,000 | | 803,540 |
| | | | | 3,937,868 |
Total U.S. Treasury Obligations
(Cost $216,346,735) | | | 236,472,640 |
| | | Shares | |
| MONEY MARKET FUNDS — 6.6% |
GuideStone Money Market Fund, 0.16%
(Institutional Class)Ø ∞ | 108,109,877 | 108,109,877 |
See Notes to Financial Statements.
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | Shares | | Value |
| Northern Institutional Liquid Assets Portfolio (Shares), 0.33%Ø § | 11,871,155 | | $ 11,871,155 |
| Northern Institutional U.S. Government Portfolio (Shares), 0.07%Ø | 1,812,034 | | 1,812,034 |
Total Money Market Funds
(Cost $121,793,066) | | | 121,793,066 |
| | | Par | |
| REPURCHASE AGREEMENTS — 6.4% |
| Citigroup Global Markets, Inc. | | |
| 0.12% (dated 06/30/20, due 07/01/20, repurchase price $59,614,012, collateralized by U.S. Treasury Bond, 3.00%, due 11/15/44, total market value $44,376,000) | $58,600,000 | 58,600,000 |
| | | |
| 0.12% (dated 06/30/20, due 07/02/20, repurchase price $60,069,363, collateralized by U.S. Treasury Note, 2.75%, due 06/30/25, total market value $53,603,000) | 58,900,000 | 58,900,000 |
Total Repurchase Agreements
(Cost $117,500,000) | | 117,500,000 |
TOTAL INVESTMENTS —114.9%
(Cost $2,044,325,406) | | 2,124,085,504 |
| | Number of
Contracts | | Notional
Amount | |
| WRITTEN OPTIONS — (0.1)% |
| Call Options — (0.0)% |
10-Year U.S. Treasury Note Future expiration date 8/2020, Strike Price
$139.50, Expires
07/24/20 (GSC) | (158) | | $(21,969,900) | (56,782) |
10-Year U.S. Treasury Note Future expiration date 8/2020, Strike Price
$139.75, Expires
07/24/20 (GSC) | (64) | | (8,899,200) | (17,000) |
10-Year U.S. Treasury Note Future expiration date 8/2020, Strike Price
$140.00, Expires
07/24/20 (GSC) | (24) | | (3,337,200) | (4,875) |
Long U.S. Treasury Bond Future expiration date 8/2020, Strike Price
$182.00, Expires
07/24/20 (GSC) | (48) | | (8,552,640) | (26,251) |
| | Number of
Contracts | | Notional
Amount | | Value |
Long U.S. Treasury Bond Future expiration date 8/2020, Strike Price
$183.00, Expires
07/24/20 (GSC) | (35) | | $ (6,236,300) | | $ (13,672) |
Long U.S. Treasury Bond Future expiration date 9/2020, Strike Price
$186.00, Expires
08/21/20 (GSC) | (16) | | (2,850,880) | | (10,000) |
| | | | | | (128,580) |
| Call Swaptions — (0.0)% |
Pay (.053)% (Annually); Receive 6-Month EURIBOR (Semiannually): Interest Rate Swap Maturing 12/15/2030 EUR, Strike Price
$(0.05), Expires
12/11/20 (JPM) | 1 | | (1,580,000) | | (15,082) |
Pay (.053)% (Annually); Receive 6-Month EURIBOR (Semiannually): Interest Rate Swap Maturing 12/15/2030 EUR, Strike Price
$(0.05), Expires
12/11/20 (CITI) | 1 | | (2,280,000) | | (21,764) |
Pay (.15)% (Annually); Receive 6-Month EURIBOR (Semiannually): Interest Rate Swap Maturing 9/30/2025 EUR, Strike Price
$(0.15), Expires
09/28/20 (JPM) | 2 | | (17,460,000) | | (11,286) |
Pay .02% (Annually); Receive 6-Month EURIBOR (Semiannually): Interest Rate Swap Maturing 4/7/2031 EUR, Strike Price
$0.02, Expires
04/01/21 (JPM) | 1 | | (2,380,000) | | (28,836) |
See Notes to Financial Statements.
| | Number of
Contracts | | Notional
Amount | | Value |
Pay .05% (Annually); Receive 6-Month EURIBOR (Semiannually): Interest Rate Swap Maturing 10/26/2031 EUR, Strike Price
$0.05, Expires
10/22/21 (DEUT) | 1 | | $(2,330,000) | | $(45,433) |
Pay .408% (Semiannually); Receive 3-Month LIBOR (Quarterly): Interest Rate Swap Maturing 11/25/2025 USD, Strike Price
$0.41, Expires
11/23/20 (BOA) | 1 | | (3,300,000) | | (14,831) |
Pay .41% (Semiannually); Receive 3-Month LIBOR (Quarterly): Interest Rate Swap Maturing 11/25/2025 USD, Strike Price
$0.41, Expires
11/23/20 (JPM) | 1 | | (4,500,000) | | (20,038) |
Pay .448% (Semiannually); Receive 3-Month LIBOR (Quarterly): Interest Rate Swap Maturing 5/14/2026 USD, Strike Price
$0.45, Expires
05/12/21 (DEUT) | 1 | | (4,400,000) | | (35,253) |
Pay .48% (Semiannually); Receive 3-Month LIBOR (Quarterly): Interest Rate Swap Maturing 5/21/2026 USD, Strike Price
$0.48, Expires
05/19/21 (JPM) | 1 | | (4,600,000) | | (34,466) |
Pay .5% (Semiannually); Receive 3-Month LIBOR (Quarterly): Interest Rate Swap Maturing 4/8/2026 USD, Strike Price
$0.50, Expires
04/06/21 (JPM) | 1 | | (5,100,000) | | (30,968) |
| | Number of
Contracts | | Notional
Amount | | Value |
Pay .506% (Semiannually); Receive 3-Month LIBOR (Quarterly): Interest Rate Swap Maturing 4/8/2026 USD, Strike Price
$0.51, Expires
04/06/21 (DEUT) | 1 | | $ (3,300,000) | | $ (19,665) |
| | | | | | (277,622) |
| Put Options — (0.0)% |
10-Year U.S. Treasury Note Future expiration date 8/2020, Strike Price
$135.50, Expires
07/24/20 (GSC) | (158) | | (7,786,800) | | (4,938) |
10-Year U.S. Treasury Note Future expiration date 8/2020, Strike Price
$135.50, Expires
07/24/20 (MSCS) | (56) | | (7,786,800) | | (1,750) |
10-Year U.S. Treasury Note Future expiration date 8/2020, Strike Price
$138.00, Expires
07/24/20 (GSC) | (68) | | (9,455,400) | | (10,625) |
Euro Bund expiration date 8/2020, Strike Price
$171.50, Expires
07/24/20 (MSCS) | (37) | | (6,531,240) | | (1,247) |
Euro Bund expiration date 8/2020, Strike Price
$172.50, Expires
07/24/20 (MSCS) | (39) | | (6,884,280) | | (2,629) |
FNCL 2.00% expiration date 8/2020, Strike Price
$100.64, Expires
08/06/20 (JPM) | (9,300,000) | | (911,400,000) | | (10,789) |
FNCL 2.50% expiration date 8/2020, Strike Price
$102.09, Expires
08/06/20 (JPM) | (3,400,000) | | (331,500,000) | | (1,499) |
FNCL 2.50% expiration date 8/2020, Strike Price
$102.56, Expires
08/06/20 (JPM) | (2,700,000) | | (263,250,000) | | (2,309) |
Long U.S. Treasury Bond Future expiration date 8/2020, Strike Price
$173.00, Expires
07/24/20 (GSC) | (34) | | (6,058,120) | | (6,906) |
See Notes to Financial Statements.
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | Number of
Contracts | | Notional
Amount | | Value |
Long U.S. Treasury Bond Future expiration date 8/2020, Strike Price
$177.00, Expires
07/24/20 (GSC) | (34) | | $(6,058,120) | | $(33,469) |
| | | | | | (76,161) |
| Put Swaptions — (0.1)% |
Pay 3-Month LIBOR (Quarterly); Receive .408% (Semiannually): Interest Rate Swap Maturing 11/25/2025 USD, Strike Price
$0.41, Expires
11/23/20 (BOA) | 1 | | (3,300,000) | | (23,077) |
Pay 3-Month LIBOR (Quarterly); Receive .41% (Semiannually): Interest Rate Swap Maturing 11/25/2025 USD, Strike Price
$0.41, Expires
11/23/20 (JPM) | 1 | | (4,500,000) | | (31,732) |
Pay 3-Month LIBOR (Quarterly); Receive .448% (Semiannually): Interest Rate Swap Maturing 5/14/2026 USD, Strike Price
$0.45, Expires
05/12/21 (DEUT) | 1 | | (4,400,000) | | (43,659) |
Pay 3-Month LIBOR (Quarterly); Receive .48% (Semiannually): Interest Rate Swap Maturing 5/21/2026 USD, Strike Price
$0.48, Expires
05/19/21 (JPM) | 1 | | (4,600,000) | | (49,893) |
Pay 3-Month LIBOR (Quarterly); Receive .5% (Semiannually): Interest Rate Swap Maturing 4/8/2026 USD, Strike Price
$0.50, Expires
04/06/21 (JPM) | 1 | | (5,100,000) | | (57,128) |
Pay 3-Month LIBOR (Quarterly); Receive .506% (Semiannually): Interest Rate Swap Maturing 4/8/2026 USD, Strike Price
$0.51, Expires
04/06/21 (DEUT) | 1 | | (3,300,000) | | (37,580) |
| | Number of
Contracts | | Notional
Amount | | Value |
Pay 6-Month EURIBOR (Semiannually); Receive (.053)% (Annually): Interest Rate Swap Maturing 12/15/2030 EUR, Strike Price
$(0.05), Expires
12/11/20 (CITI) | 1 | | $ (2,280,000) | | $(46,104) |
Pay 6-Month EURIBOR (Semiannually); Receive (.053)% (Monthly): Interest Rate Swap Maturing 12/15/2030 EUR, Strike Price
$(0.05), Expires
12/11/20 (JPM) | 1 | | (1,580,000) | | (31,930) |
Pay 6-Month EURIBOR (Semiannually); Receive (.35)% (Annually): Interest Rate Swap Maturing 8/17/2025 EUR, Strike Price
$(0.35), Expires
08/13/20 (JPM) | 1 | | (15,489,999) | | (34,740) |
Pay 6-Month EURIBOR (Semiannually); Receive (.35)% (Annually): Interest Rate Swap Maturing 8/17/2025 EUR, Strike Price
$(0.35), Expires
08/13/20 (BOA) | 1 | | (15,490,000) | | (34,740) |
Pay 6-Month EURIBOR (Semiannually); Receive (.35)% (Annually): Interest Rate Swap Maturing 9/30/2025 EUR, Strike Price
$(0.35), Expires
09/28/20 (JPM) | 2 | | (17,460,000) | | (58,838) |
Pay 6-Month EURIBOR (Semiannually); Receive .02% (Annually): Interest Rate Swap Maturing 4/7/2031 EUR, Strike Price
$0.02, Expires
04/01/21 (JPM) | 1 | | (2,380,000) | | (68,707) |
See Notes to Financial Statements.
| | Number of
Contracts | | Notional
Amount | | Value |
Pay 6-Month EURIBOR (Semiannually); Receive .05% (Annually): Interest Rate Swap Maturing 10/26/2031 EUR, Strike Price
$0.05, Expires
10/22/21 (DEUT) | 1 | | $ (2,330,000) | | $ (81,823) |
Pay 6-Month LIBOR (Semiannually); Receive .34% (Semiannually): Interest Rate Swap Maturing 8/13/2030 GBP, Strike Price
$0.34, Expires
08/13/20 (JPM) | 2 | | (7,740,000) | | (61,958) |
Pay 6-Month LIBOR (Semiannually); Receive .35% (Semiannually): Interest Rate Swap Maturing 10/2/2030 GBP, Strike Price
$0.35, Expires
10/02/20 (CITI) | 1 | | (2,910,000) | | (37,769) |
Pay 6-Month LIBOR (Semiannually); Receive .35% (Semiannually): Interest Rate Swap Maturing 10/2/2030 GBP, Strike Price
$0.35, Expires
10/02/20 (JPM) | 2 | | (11,890,000) | | (154,322) |
Pay 6-Month LIBOR (Semiannually); Receive .35% (Semiannually): Interest Rate Swap Maturing 10/21/2030 GBP, Strike Price
$0.35, Expires
10/21/20 (BOA) | 1 | | (7,660,000) | | (109,607) |
| | | | | | (963,607) |
Total Written Options
(Premiums received $ (1,704,883)) | | | | (1,445,970) |
| | | Par | |
| TBA SALE COMMITMENTS — (4.2)% |
Uniform Mortgage Backed Securities
3.50%, 08/01/50 TBA | $(53,200,000) | (55,938,064) |
| | | Par | | Value |
Uniform Mortgage Backed Securities
4.00%, 08/01/50 TBA | $(4,000,000) | | $ (4,241,328) |
Uniform Mortgage Backed Securities
4.50%, 08/01/50 TBA | (4,000,000) | | (4,300,202) |
Uniform Mortgage Backed Securities
5.00%, 07/01/50 TBA | (4,000,000) | | (4,371,875) |
Government National Mortgage Association
3.00%, 07/01/50 TBA | (1,000,000) | | (1,057,215) |
Government National Mortgage Association
4.00%, 07/01/50 TBA | (4,000,000) | | (4,241,016) |
Uniform Mortgage Backed Securities
4.50%, 07/01/50 TBA | (1,000,000) | | (1,074,609) |
Uniform Mortgage Backed Securities
2.00%, 07/01/50 TBA | (1,400,000) | | (1,432,813) |
Government National Mortgage Association
5.00%, 07/01/50 TBA | (1,000,000) | | (1,086,250) |
Total TBA Sale Commitments
(Proceeds $(77,693,759)) | | | (77,743,372) |
Liabilities in Excess of Other
Assets — (10.6)% | | | (196,485,429) |
| NET ASSETS — 100.0% | | | $1,848,410,733 |
PORTFOLIO SUMMARY (based on net assets)
| | % |
| Mortgage-Backed Securities | 39.0 |
| Corporate Bonds | 31.9 |
| U.S. Treasury Obligations | 12.8 |
| Foreign Bonds | 12.0 |
| Money Market Funds | 6.6 |
| Repurchase Agreements | 6.4 |
| Asset-Backed Securities | 4.9 |
| Loan Agreements | 0.6 |
| Municipal Bonds | 0.6 |
| Agency Obligations | 0.1 |
| Purchased Options | —** |
| Written Options | (0.1) |
| TBA Sale Commitments | (4.2) |
| | 110.6 |
| **Rounds to less than 0.05% | |
See Notes to Financial Statements.
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Futures Contracts outstanding at June 30, 2020:
| Future Type | | Expiration Date | | Open Long
(Short) Contracts | | Notional
Market Value
of Contracts | | Value and
Unrealized
Appreciation
(Depreciation) |
| 30-Year Euro Buxl | | 09/2020 | | (10) | | $ (2,471,251) | | $ (48,287) |
| Euro-BTP | | 09/2020 | | 141 | | 22,792,536 | | 501,475 |
| Euro-Bund | | 09/2020 | | (230) | | (45,613,654) | | (318,259) |
| Euro-OAT | | 09/2020 | | 39 | | 7,345,837 | | 79,787 |
| 10-Year Japanese Treasury Bond | | 09/2020 | | (9) | | (12,665,432) | | 23,925 |
| 10-Year U.S. Treasury Note | | 09/2020 | | 530 | | 73,761,093 | | 275,835 |
| U.S. Treasury Long Bond | | 09/2020 | | (444) | | (79,281,750) | | (524,315) |
| Ultra 10-Year U.S. Treasury Note | | 09/2020 | | 74 | | 11,653,844 | | 55,725 |
| Ultra Long U.S. Treasury Bond | | 09/2020 | | 320 | | 69,810,000 | | 490,330 |
| Long GILT | | 09/2020 | | (131) | | (22,342,015) | | 7,749 |
| 2-Year U.S. Treasury Note | | 09/2020 | | 239 | | 52,777,922 | | 9,951 |
| 5-Year U.S. Treasury Note | | 09/2020 | | 2,206 | | 277,387,266 | | 703,295 |
| 90-Day Eurodollar | | 12/2020 | | 235 | | 58,579,625 | | 707,865 |
| 90-Day Eurodollar | | 03/2021 | | (224) | | (55,888,000) | | (82,350) |
| 90-Day Eurodollar | | 06/2021 | | (91) | | (22,709,050) | | (260,475) |
| 90-Day Eurodollar | | 12/2021 | | (407) | | (101,546,500) | | (661,850) |
| Total Futures Contracts outstanding at June 30, 2020 | | | | | | $ 231,590,471 | | $ 960,401 |
Forward Foreign Currency Contracts outstanding at June 30, 2020:
| Expiration Date | | Currency
Purchased | | Amount
of Currency
Purchased | | Currency
Sold | | Amount
of Currency
Sold | | Counter-
party | | Net Unrealized
Appreciation
(Depreciation) |
| 07/16/20 | | Indonesian Rupiahs | | 53,935,795,049 | | U.S. Dollars | | 3,262,904 | | CITI | | $ 468,752 |
| 07/16/20 | | Mexican Pesos | | 60,934,538 | | U.S. Dollars | | 2,424,966 | | CITI | | 220,091 |
| 07/22/20 | | U.S. Dollars | | 19,208,540 | | Japanese Yen | | 2,055,778,228 | | CITI | | 163,601 |
| 07/16/20 | | Philippine Pesos | | 238,833,000 | | U.S. Dollars | | 4,681,164 | | CITI | | 112,273 |
| 07/16/20 | | Canadian Dollars | | 3,789,664 | | U.S. Dollars | | 2,699,383 | | CITI | | 92,192 |
| 07/16/20 | | Australian Dollars | | 935,862 | | U.S. Dollars | | 583,192 | | CITI | | 62,711 |
| 07/17/20 | | Russian Rubles | | 73,578,434 | | U.S. Dollars | | 981,000 | | GSC | | 50,389 |
| 09/16/20 | | U.S. Dollars | | 1,853,298 | | British Pounds | | 1,463,542 | | RBC | | 38,980 |
| 07/15/20 | | U.S. Dollars | | 6,595,838 | | British Pounds | | 5,296,828 | | SS | | 31,849 |
| 07/17/20 | | U.S. Dollars | | 1,584,927 | | Russian Rubles | | 110,921,306 | | BNP | | 30,083 |
| 07/17/20 | | Russian Rubles | | 37,964,029 | | U.S. Dollars | | 504,500 | | HSBC | | 27,663 |
| 07/16/20 | | Euro | | 745,000 | | U.S. Dollars | | 809,718 | | CITI | | 27,599 |
| 09/16/20 | | U.S. Dollars | | 1,836,701 | | Canadian Dollars | | 2,461,133 | | SS | | 23,556 |
| 09/16/20 | | Swiss Francs | | 705,164 | | U.S. Dollars | | 738,822 | | UBS | | 7,219 |
| 08/12/20 | | U.S. Dollars | | 345,278 | | Euro | | 302,926 | | WEST | | 4,608 |
| 07/22/20 | | Japanese Yen | | 71,971,000 | | U.S. Dollars | | 662,448 | | CITI | | 4,299 |
| 09/16/20 | | U.S. Dollars | | 317,124 | | Swedish Kronor | | 2,932,052 | | JPM | | 2,158 |
| 07/16/20 | | U.S. Dollars | | 472,960 | | Euro | | 420,000 | | CITI | | 915 |
| 09/16/20 | | U.S. Dollars | | 292,519 | | Australian Dollars | | 423,000 | | JPM | | 530 |
| 07/16/20 | | U.S. Dollars | | 74,428 | | Japanese Yen | | 7,978,000 | | GSC | | 525 |
| 07/16/20 | | U.S. Dollars | | 418,476 | | Chinese Offshore Yuan | | 2,958,374 | | GSC | | 443 |
| 07/16/20 | | U.S. Dollars | | 233,942 | | British Pounds | | 188,429 | | CITI | | 434 |
| 07/02/20 | | Euro | | 1,056,000 | | U.S. Dollars | | 1,186,332 | | GSC | | 84 |
| Subtotal Appreciation | | | | | | | | | | $ 1,370,954 |
| 09/16/20 | | Japanese Yen | | 50,548,982 | | U.S. Dollars | | 468,866 | | JPM | | $ (206) |
| 07/02/20 | | Brazilian Reals | | 127,153 | | U.S. Dollars | | 23,730 | | BNP | | (348) |
| 07/02/20 | | U.S. Dollars | | 33,707 | | Australian Dollars | | 50,000 | | JPM | | (798) |
| 09/16/20 | | Canadian Dollars | | 1,612,843 | | U.S. Dollars | | 1,189,000 | | CITI | | (801) |
See Notes to Financial Statements.
| Expiration Date | | Currency
Purchased | | Amount
of Currency
Purchased | | Currency
Sold | | Amount
of Currency
Sold | | Counter-
party | | Net Unrealized
Appreciation
(Depreciation) |
| 07/16/20 | | U.S. Dollars | | 210,940 | | Japanese Yen | | 22,887,237 | | CITI | | $ (1,073) |
| 08/04/20 | | U.S. Dollars | | 5,872,621 | | Euro | | 5,225,000 | | BNP | | (2,387) |
| 07/02/20 | | U.S. Dollars | | 272,886 | | Canadian Dollars | | 374,000 | | UBS | | (2,600) |
| 07/16/20 | | U.S. Dollars | | 5,017,785 | | Chinese Yuan Renminbi | | 35,528,427 | | CITI | | (2,761) |
| 09/16/20 | | Swedish Kronor | | 5,804,775 | | Euro | | 557,000 | | CITI | | (3,335) |
| 09/16/20 | | Canadian Dollars | | 846,440 | | U.S. Dollars | | 630,000 | | SS | | (6,418) |
| 07/16/20 | | Euro | | 570,000 | | U.S. Dollars | | 647,188 | | GSC | | (6,556) |
| 09/16/20 | | Euro | | 684,576 | | U.S. Dollars | | 778,033 | | CITI | | (7,555) |
| 09/16/20 | | Euro | | 557,000 | | Swiss Francs | | 600,702 | | JPM | | (8,631) |
| 08/12/20 | | U.S. Dollars | | 418,167 | | Euro | | 380,000 | | WEST | | (9,181) |
| 07/16/20 | | Chinese Yuan Renminbi | | 35,528,427 | | U.S. Dollars | | 5,030,218 | | CITI | | (9,671) |
| 09/16/20 | | British Pounds | | 319,088 | | U.S. Dollars | | 406,841 | | UBS | | (11,275) |
| 09/16/20 | | Australian Dollars | | 1,636,193 | | U.S. Dollars | | 1,143,406 | | UBS | | (13,971) |
| 07/16/20 | | Euro | | 1,325,000 | | U.S. Dollars | | 1,506,414 | | CITI | | (17,225) |
| 07/16/20 | | U.S. Dollars | | 486,123 | | Euro | | 450,000 | | GSC | | (19,639) |
| 09/16/20 | | Norwegian Kroner | | 5,376,517 | | U.S. Dollars | | 579,678 | | SS | | (20,929) |
| 07/16/20 | | Mexican Pesos | | 30,000,000 | | U.S. Dollars | | 1,342,138 | | GSC | | (39,893) |
| 07/02/20 | | U.S. Dollars | | 7,581,399 | | Euro | | 6,826,000 | | BNP | | (87,612) |
| 07/02/20 | | U.S. Dollars | | 19,508,078 | | British Pounds | | 15,816,000 | | GSC | | (89,530) |
| 07/16/20 | | Brazilian Reals | | 14,592,110 | | U.S. Dollars | | 2,778,349 | | CITI | | (97,337) |
| 07/16/20 | | U.S. Dollars | | 4,664,707 | | Philippine Pesos | | 238,833,000 | | CITI | | (128,730) |
| 08/04/20 | | U.S. Dollars | | 19,395,604 | | British Pounds | | 15,816,000 | | HSBC | | (206,617) |
| 07/22/20 | | Japanese Yen | | 1,994,637,562 | | U.S. Dollars | | 18,729,923 | | SS | | (251,398) |
| 07/16/20 | | U.S. Dollars | | 4,471,776 | | Russian Rubles | | 346,272,014 | | CITI | | (382,796) |
| 07/16/20 | | U.S. Dollars | | 25,898,656 | | Euro | | 23,761,215 | | CITI | | (806,956) |
| Subtotal Depreciation | | | | | | | | | | $(2,236,229) |
| Total Forward Foreign Currency Contracts outstanding at June 30, 2020 | | | | $ (865,275) |
Swap Agreements outstanding at June 30, 2020:
| 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 10/28/27 (Pay Quarterly) | | (1.00)% | | 6/20/2022 | | CITI | | USD | | 70,000 | | $(1,179) | | $(1,226) | | $ 47 |
| Subtotal Appreciation | | | | | | | | | | | | $(1,179) | | $(1,226) | | $ 47 |
| Credit Suisse (USA), Inc. 6.5% due 1/15/2018 (Pay Quarterly) | | (1.00)% | | 9/20/2020 | | GSC | | USD | | 300,000 | | $ (663) | | $ 6,900 | | $ (7,563) |
| Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | | (1.00)% | | 12/20/2020 | | JPM | | USD | | 590,000 | | (2,630) | | 2,495 | | (5,125) |
| Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | | (1.00)% | | 12/20/2020 | | CITI | | USD | | 330,000 | | (1,470) | | 2,663 | | (4,133) |
| Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | | (1.00)% | | 12/20/2020 | | BOA | | USD | | 300,000 | | (1,338) | | 1,691 | | (3,029) |
| Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | | (1.00)% | | 6/20/2021 | | CITI | | USD | | 920,000 | | (8,117) | | 6,695 | | (14,812) |
| Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | | (1.00)% | | 6/20/2021 | | BOA | | USD | | 460,000 | | (4,059) | | 5,499 | | (9,558) |
| Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | | (1.00)% | | 6/20/2021 | | DEUT | | USD | | 360,000 | | (3,175) | | 2,602 | | (5,777) |
| Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | | (1.00)% | | 6/20/2021 | | JPM | | USD | | 320,000 | | (2,823) | | 1,224 | | (4,047) |
See Notes to Financial Statements.
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| Reference Obligation | | Fixed
Deal
(Pay) Rate | | Maturity
Date | | Counterparty | | Currency | | Notional
Amount | | Market Value | | Upfront
Premiums
Paid/
(Received) | | Unrealized
Appreciation
(Depreciation) |
| Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | | (1.00)% | | 12/20/2021 | | DEUT | | USD | | 430,000 | | $ (5,522) | | $ 1,639 | | $ (7,161) |
| Peoples Republic of China, 7.5% due 10/28/27 (Pay Quarterly) | | (1.00)% | | 6/20/2022 | | JPM | | USD | | 630,000 | | (10,606) | | (6,835) | | (3,771) |
| Subtotal Depreciation | | | | | | | | | | | | $(40,403) | | $24,573 | | $(64,976) |
| Net Credit Default Swaps on Sovereign Issuers—Buy Protection outstanding at June 30, 2020 | | $(41,582) | | $23,347 | | $(64,929) |
| 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 | | | | | | | | | | | | | | | | |
| General Electric Co., 2.70% due 10/9/2022 (Receive Quarterly) | | 1.48% | | 1.00% | | 12/20/2023 | | USD | | 600,000 | | $ (9,497) | | $ (25,420) | | $ 15,923 |
| Prudential Financial, Inc., 3.50% due 5/15/2024 (Receive Quarterly) | | 0.44% | | 1.00% | | 6/20/2024 | | USD | | 1,075,000 | | 24,320 | | 18,590 | | 5,730 |
| Rolls-Royce Holdings PLC (Receive Quarterly) | | 4.24% | | 1.00% | | 6/20/2025 | | EUR | | 900,000 | | (141,451) | | (142,606) | | 1,155 |
| Subtotal Appreciation | | | | | | | | | | | | $(126,628) | | $(149,436) | | $ 22,808 |
| General Electric Co., 2.70% due 10/9/2022 (Receive Quarterly) | | 1.56% | | 1.00% | | 6/20/2024 | | USD | | 2,150,000 | | $ (45,407) | | $ (34,866) | | $ (10,541) |
| Republic of Colombia, 10.38% due 1/28/2033 (Receive Quarterly) | | 1.32% | | 1.00% | | 6/20/2024 | | USD | | 1,000,000 | | (12,102) | | 5,985 | | (18,087) |
| Republic of Indonesia, 5.88% due 3/13/2020 (Receive Quarterly) | | 1.06% | | 1.00% | | 6/20/2024 | | USD | | 3,470,000 | | (7,349) | | 4,023 | | (11,372) |
| The Boeing Co., 8.75% due 8/15/21 (Receive Quarterly) | | 2.44% | | 1.00% | | 6/20/2024 | | USD | | 475,000 | | (25,151) | | 11,979 | | (37,130) |
| General Electric Co., 2.70% due 10/9/2022 (Receive Quarterly) | | 1.68% | | 1.00% | | 12/20/2024 | | USD | | 600,000 | | (17,376) | | (9,660) | | (7,716) |
| Republic of Peru, 8.75% 11/21/2033 (Receive Quarterly) | | 0.84% | | 1.00% | | 12/20/2024 | | USD | | 1,000,000 | | 7,316 | | 21,212 | | (13,896) |
| Russian Federation, 1.00% due 12/20/2024 (Receive Quarterly) | | 1.02% | | 1.00% | | 12/20/2024 | | USD | | 1,950,000 | | (1,327) | | 33,333 | | (34,660) |
| Subtotal Depreciation | | | | | | | | | | | | $(101,396) | | $ 32,006 | | $(133,402) |
Net Centrally Cleared Credit Default Swaps on Corporate and Sovereign Issuers—Sell Protection outstanding at
June 30, 2020 | | $(228,024) | | $(117,430) | | $(110,594) |
| 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.34 Index (Receive Quarterly) | | 0.76% | | 1.00% | | 6/20/2025 | | USD | | 60,490,000 | | $707,002 | | $ 77,287 | | $ 629,715 |
| Subtotal Appreciation | | | | | | | | | | | | $707,002 | | $ 77,287 | | $ 629,715 |
| Markit CDX.NA.IG.34 Index (Receive Quarterly) | | 0.64% | | 1.00% | | 6/20/2023 | | USD | | 12,425,000 | | $135,984 | | $161,786 | | $ (25,802) |
| Markit CDX.NA.HY.33 Index (Receive Quarterly) | | 5.16% | | 5.00% | | 12/20/2024 | | USD | | 552,000 | | (2,617) | | 41,262 | | (43,879) |
| Markit CDX.NA.IG.33 Index (Receive Quarterly) | | 0.74% | | 1.00% | | 12/20/2024 | | USD | | 10,025,000 | | 118,482 | | 190,390 | | (71,908) |
| Subtotal Depreciation | | | | | | | | | | | | $251,849 | | $393,438 | | $(141,589) |
| Net Centrally Cleared Credit Default Swaps on Credit Indexes—Sell Protection outstanding at June 30, 2020 | | $958,851 | | $470,725 | | $ 488,126 |
See Notes to Financial Statements.
| 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) | | 7.02% (Upon termination) | | 1/4/2027 | | CITI | | BRL | | 15,744,748 | | $338,644 | | $10,600 | | $328,044 |
| | | | | | | | | | | $338,644 | | $10,600 | | $328,044 |
| 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) | | 4.12% (Upon termination) | | 1/3/2022 | | BRL | | 6,759,765 | | $ 25,525 | | $ 5,227 | | $ 20,298 |
| 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | | 5.44% (Upon termination) | | 1/3/2022 | | BRL | | 1,421,123 | | 12,849 | | 3,590 | | 9,259 |
| 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | | 4.81% (Upon termination) | | 1/3/2022 | | BRL | | 1,357,562 | | 8,221 | | — | | 8,221 |
| 3-Month LIBOR (Quarterly) | | 0.60% (Semiannually) | | 3/23/2022 | | USD | | 23,834,000 | | 191,103 | | 3,724 | | 187,379 |
| 28-Day Mexico Interbank TIIE (Lunar) | | 4.50% (Lunar) | | 9/15/2022 | | MXN | | 39,720,000 | | 5,402 | | (1,052) | | 6,454 |
| 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | | 5.75% (Upon termination) | | 1/2/2023 | | BRL | | 3,416,710 | | 35,772 | | 6,179 | | 29,593 |
| 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | | 6.66% (Upon termination) | | 1/2/2023 | | BRL | | 2,430,906 | | 41,647 | | 6,512 | | 35,135 |
| 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | | 6.37% (Upon termination) | | 1/2/2023 | | BRL | | 864,223 | | 11,027 | | — | | 11,027 |
| 3-Month CDOR (Semiannually) | | 0.50% (Semiannually) | | 9/16/2023 | | CAD | | 56,840,000 | | (194,561) | | (244,145) | | 49,584 |
| 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | | 4.93% (Upon termination) | | 1/2/2024 | | BRL | | 615,665 | | 244 | | (309) | | 553 |
| 1-Month LIBOR + .09% (Quarterly) | | 3-Month LIBOR (Quarterly) | | 7/25/2024 | | USD | | 25,000,000 | | 4,400 | | 406 | | 3,994 |
| 3-Month LIBOR (Quarterly) | | 0.38% (Semiannually) | | 8/31/2024 | | USD | | 36,067,000 | | 163,999 | | 12,879 | | 151,120 |
| 1-Day US Federal Fund Effective Rate (Annually) | | 0.10% (Annually) | | 11/30/2024 | | USD | | 18,156,000 | | 37,401 | | 11,402 | | 25,999 |
| 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | | 6.26% (Upon termination) | | 1/2/2025 | | BRL | | 2,861,086 | | 25,374 | | 8,171 | | 17,203 |
| 3-Month LIBOR (Quarterly) | | 0.70% (Semiannually) | | 3/23/2025 | | USD | | 13,880,000 | | 284,070 | | (11,207) | | 295,277 |
| 6-Month ASX BBSW (Semiannually) | | 0.55% (Semiannually) | | 5/16/2025 | | AUD | | 23,660,000 | | 9,261 | | (14,714) | | 23,975 |
| 1-Day SONIA (Annually) | | 0.27% (Annually) | | 6/17/2025 | | GBP | | 18,440,000 | | 310,203 | | 110,512 | | 199,691 |
| 1-Day SONIA (Annually) | | 0.03% (Annually) | | 6/17/2025 | | GBP | | 14,820,000 | | 30,561 | | (35,497) | | 66,058 |
| 7-Day CFETS Repo Rate (Quarterly) | | 2.50% (Quarterly) | | 6/17/2025 | | CNY | | 31,460,000 | | 35,846 | | 30,652 | | 5,194 |
| 28-Day Mexico Interbank TIIE (Lunar) | | 5.40% (Lunar) | | 9/11/2025 | | MXN | | 61,500,000 | | 65,167 | | 8,101 | | 57,066 |
| 3-Month LIBOR (Quarterly) | | 0.77% (Semiannually) | | 3/24/2027 | | USD | | 18,910,000 | | 456,634 | | 139,777 | | 316,857 |
| 6-Month ASX BBSW (Semiannually) | | 0.96% (Semiannually) | | 4/21/2027 | | AUD | | 5,410,000 | | 18,283 | | 948 | | 17,335 |
| 0.26% (Annually) | | 1-Day US Federal Fund Effective Rate (Annually) | | 5/15/2027 | | USD | | 19,541,000 | | (43,634) | | (65,594) | | 21,960 |
| 0.00% (Annually) | | 6-Month EURIBOR (Semiannually) | | 9/16/2027 | | EUR | | 8,930,000 | | (200,231) | | (207,264) | | 7,033 |
| 6-Month ASX BBSW (Semiannually) | | 1.00% (Semiannually) | | 4/26/2028 | | AUD | | 11,940,000 | | 24,227 | | (25,838) | | 50,065 |
| 28-Day Mexico Interbank TIIE (Lunar) | | 7.45% (Lunar) | | 7/18/2029 | | MXN | | 165,770,000 | | 1,031,000 | | 68,836 | | 962,164 |
| 6-Month ASX BBSW (Semiannually) | | 1.75% (Semiannually) | | 3/19/2030 | | AUD | | 4,610,000 | | 69,486 | | 46,572 | | 22,914 |
| 3-Month LIBOR (Quarterly) | | 0.98% (Semiannually) | | 5/21/2030 | | USD | | 9,810,000 | | 15,550 | | (12,505) | | 28,055 |
| 6-Month EURIBOR (Semiannually) | | 0.05% (Annually) | | 5/21/2030 | | EUR | | 7,130,000 | | 22,065 | | (3,972) | | 26,037 |
| 3-Month LIBOR (Quarterly) | | 1.75% (Semiannually) | | 6/18/2030 | | USD | | 5,970,000 | | 232,058 | | 161,206 | | 70,852 |
| 6-Month ASX BBSW (Semiannually) | | 1.50% (Semiannually) | | 9/16/2030 | | AUD | | 6,290,000 | | 252,251 | | 177,094 | | 75,157 |
See Notes to Financial Statements.
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| Pay Rate Index/Pay Rate | | Receive
Rate/Receive
Rate Index | | Maturity
Date | | Currency | | Notional
Amount | | Market Value | | Upfront
Premiums
Paid/
(Received) | | Unrealized
Appreciation
(Depreciation) |
| 0.10% (Annually) | | 6-Month LIBOR (Semiannually) | | 9/17/2030 | | CHF | | 2,080,000 | | $ 4,492 | | $ (2,731) | | $ 7,223 |
| 6-Month EURIBOR (Semiannually) | | 0.05% (Annually) | | 12/15/2030 | | EUR | | 1,160,000 | | 12,383 | | 11,802 | | 581 |
| 6-Month EURIBOR (Semiannually) | | 0.02% (Annually) | | 4/7/2031 | | EUR | | 690,000 | | 11,560 | | 10,296 | | 1,264 |
| 6-Month EURIBOR (Semiannually) | | 0.05% (Annually) | | 10/26/2031 | | EUR | | 320,000 | | 4,998 | | 2,717 | | 2,281 |
| 1.36% (Semiannually) | | 6-Month ASX BBSW (Semiannually) | | 4/21/2040 | | AUD | | 1,560,000 | | 17,815 | | (709) | | 18,524 |
| 0.26% (Annually) | | 6-Month EURIBOR (Semiannually) | | 5/21/2040 | | EUR | | 3,400,000 | | 25,030 | | 13,963 | | 11,067 |
| 0.75% (Annually) | | 6-Month EURIBOR (Semiannually) | | 6/19/2040 | | EUR | | 1,650,000 | | (80,441) | | (83,555) | | 3,114 |
| 1.50% (Semiannually) | | 6-Month LIBOR (Semiannually) | | 6/19/2040 | | GBP | | 790,000 | | (91,570) | | (95,698) | | 4,128 |
| 3-Month LIBOR (Quarterly) | | 1.75% (Semiannually) | | 6/19/2040 | | USD | | 1,470,000 | | 82,351 | | 73,045 | | 9,306 |
| 6-Month EURIBOR (Semiannually) | | 0.50% (Annually) | | 9/16/2040 | | EUR | | 270,000 | | 26,004 | | 17,381 | | 8,623 |
| 0.86% (Semiannually) | | 3-Month LIBOR (Quarterly) | | 4/9/2045 | | USD | | 6,690,000 | | 58,004 | | — | | 58,004 |
| 0.90% (Semiannually) | | 3-Month LIBOR (Quarterly) | | 3/17/2050 | | USD | | 2,110,000 | | 6,009 | | (64) | | 6,073 |
| 3-Month CDOR (Semiannually) | | 1.75% (Semiannually) | | 6/17/2050 | | CAD | | 2,260,000 | | 165,525 | | 91,081 | | 74,444 |
| 1.00% (Semiannually) | | 6-Month LIBOR (Semiannually) | | 6/20/2050 | | GBP | | 710,000 | | (51,480) | | (56,231) | | 4,751 |
| 3-Month LIBOR (Quarterly) | | 1.75% (Semiannually) | | 6/20/2050 | | USD | | 310,000 | | 19,471 | | 14,942 | | 4,529 |
| 0.50% (Semiannually) | | 6-Month LIBOR (Semiannually) | | 12/16/2050 | | GBP | | 1,300,000 | | (32,330) | | (49,739) | | 17,409 |
| Subtotal Appreciation | | | | | | | | | | $ 3,159,021 | | $ 126,191 | | $ 3,032,830 |
| 6.24% (Upon termination) | | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | | 1/2/2023 | | BRL | | 4,179,369 | | $ (51,195) | | $ — | | $ (51,195) |
| 7.22% (Upon termination) | | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | | 1/2/2023 | | BRL | | 3,702,329 | | (64,828) | | — | | (64,828) |
| 0.50% (Semiannually) | | 3-Month LIBOR (Quarterly) | | 9/16/2023 | | USD | | 24,910,000 | | (199,575) | | (149,329) | | (50,246) |
| 6-Month LIBOR (Semiannually) | | 0.10% (Semiannually) | | 3/20/2024 | | JPY | | 800,000,000 | | 40,517 | | 42,931 | | (2,414) |
| 0.31% (Annually) | | 6-Month EURIBOR (Semiannually) | | 5/18/2025 | | EUR | | 17,420,000 | | (17,867) | | 15,870 | | (33,737) |
| 3-Month LIBOR (Quarterly) | | 0.50% (Semiannually) | | 9/16/2025 | | USD | | 6,580,000 | | 53,020 | | 53,570 | | (550) |
| 1.55% (Semiannually) | | 3-Month LIBOR (Quarterly) | | 6/30/2026 | | USD | | 40,547,000 | | (2,815,165) | | 142,909 | | (2,958,074) |
| 1.52% (Semiannually) | | 3-Month LIBOR (Quarterly) | | 7/31/2026 | | USD | | 19,790,000 | | (1,442,170) | | 70,621 | | (1,512,791) |
| 1.60% (Semiannually) | | 3-Month LIBOR (Quarterly) | | 11/15/2026 | | USD | | 12,122,000 | | (929,287) | | 4,777 | | (934,064) |
| 1.65% (Semiannually) | | 3-Month LIBOR (Quarterly) | | 11/15/2026 | | USD | | 4,469,000 | | (357,096) | | (13,064) | | (344,032) |
| 6-Month LIBOR (Semiannually) | | 0.50% (Annually) | | 9/16/2027 | | CHF | | 9,040,000 | | (52,759) | | (50,963) | | (1,796) |
| 0.50% (Semiannually) | | 6-Month LIBOR (Semiannually) | | 3/10/2030 | | GBP | | 5,920,000 | | (6,307) | | 76,577 | | (82,884) |
| 0.57% (Annually) | | 1-Day SONIA (Annually) | | 3/18/2030 | | GBP | | 5,420,000 | | (311,592) | | 23,302 | | (334,894) |
| 6-Month LIBOR (Semiannually) | | 0.25% (Semiannually) | | 3/19/2030 | | JPY | | 123,890,000 | | 8,776 | | 8,776 | | — |
| 0.31% (Annually) | | 1-Day SONIA (Annually) | | 6/17/2030 | | GBP | | 6,090,000 | | (148,172) | | (44,089) | | (104,083) |
| 0.25% (Annually) | | 6-Month EURIBOR (Semiannually) | | 6/18/2030 | | EUR | | 7,040,000 | | (100,642) | | (50,430) | | (50,212) |
| 1.00% (Semiannually) | | 6-Month LIBOR (Semiannually) | | 6/18/2030 | | GBP | | 3,300,000 | | (102,680) | | (79,512) | | (23,168) |
| 1.16% (Semiannually) | | 3-Month LIBOR (Quarterly) | | 5/21/2035 | | USD | | 9,850,000 | | (7,420) | | 23,513 | | (30,933) |
| 2.00% (Semiannually) | | 6-Month LIBOR (Semiannually) | | 2/1/2037 | | GBP | | 2,100,000 | | (380,079) | | (28,177) | | (351,902) |
| 2.05% (Semiannually) | | 6-Month LIBOR (Semiannually) | | 2/1/2037 | | GBP | | 3,300,000 | | (601,292) | | (55,813) | | (545,479) |
| 6-Month LIBOR (Semiannually) | | 0.04% (Semiannually) | | 3/10/2038 | | JPY | | 344,000,000 | | (101,569) | | — | | (101,569) |
| 0.75% (Semiannually) | | 6-Month LIBOR (Semiannually) | | 3/20/2038 | | JPY | | 1,469,200,000 | | (1,299,103) | | 13,013 | | (1,312,116) |
| 0.40% (Annually) | | 1-Day SONIA (Annually) | | 6/17/2040 | | GBP | | 4,680,000 | | (241,677) | | (237,020) | | (4,657) |
| 6-Month LIBOR (Semiannually) | | 0.50% (Semiannually) | | 6/20/2040 | | JPY | | 210,700,000 | | 8,128 | | 21,959 | | (13,831) |
| 1.81% (Semiannually) | | 3-Month LIBOR (Quarterly) | | 11/15/2044 | | USD | | 1,544,000 | | (319,283) | | 2,066 | | (321,349) |
| 1.85% (Semiannually) | | 3-Month LIBOR (Quarterly) | | 11/15/2044 | | USD | | 18,289,000 | | (3,949,684) | | 31,208 | | (3,980,892) |
| 3-Month LIBOR (Quarterly) | | 0.85% (Semiannually) | | 4/10/2050 | | USD | | 6,930,000 | | (31,430) | | — | | (31,430) |
| 0.50% (Annually) | | 6-Month EURIBOR (Semiannually) | | 6/20/2050 | | EUR | | 250,000 | | (15,496) | | (14,464) | | (1,032) |
| 6-Month LIBOR (Semiannually) | | 0.50% (Semiannually) | | 6/20/2050 | | JPY | | 219,280,000 | | (3,878) | | 21,202 | | (25,080) |
| 0.50% (Annually) | | 6-Month EURIBOR (Semiannually) | | 9/16/2050 | | EUR | | 360,000 | | (57,304) | | (54,121) | | (3,183) |
| 0.50% (Semiannually) | | 6-Month LIBOR (Semiannually) | | 9/16/2050 | | GBP | | 1,900,000 | | (47,414) | | (40,509) | | (6,905) |
| 0.75% (Semiannually) | | 3-Month LIBOR (Quarterly) | | 9/16/2050 | | USD | | 1,000,000 | | 46,694 | | 89,552 | | (42,858) |
| Subtotal Depreciation | | | | | | | | | | $(13,497,829) | | $(175,645) | | $(13,322,184) |
| Net Centrally Cleared Interest Rate Swaps outstanding at June 30, 2020 | | $(10,338,808) | | $ (49,454) | | $(10,289,354) |
See Notes to Financial Statements.
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2020, in valuing the Fund’s investments carried at fair value:
| | Total
Value | | Level 1
Quoted Prices | | Level 2
Other Significant
Observable Inputs | | Level 3
Significant
Unobservable Inputs |
| Assets: | | | | | | | |
| Investments in Securities: | | | | | | | |
| Agency Obligations | $ 1,938,469 | | $ — | | $ 1,938,469 | | $ — |
| Asset-Backed Securities | 91,404,965 | | — | | 91,404,965 | | — |
| Corporate Bonds | 590,358,646 | | — | | 588,636,223 | | 1,722,423 |
| Foreign Bonds | | | | | | | |
| Argentina | 1,540,662 | | — | | 1,524,278 | | 16,384 |
| Other ^^ | 220,050,140 | | — | | 220,050,140 | | — |
| Total Foreign Bonds | 221,590,802 | | — | | 221,574,418 | | 16,384 |
| Loan Agreements | 12,017,281 | | — | | 12,017,281 | | — |
| Money Market Funds | 121,793,066 | | 121,793,066 | | — | | — |
| Mortgage-Backed Securities | 720,008,047 | | — | | 720,008,047 | | — |
| Municipal Bonds | 10,536,665 | | — | | 10,536,665 | | — |
| Purchased Options: | | | | | | | |
| Call Options | 377,079 | | 377,079 | | — | | — |
| Put Options | 87,844 | | 87,844 | | — | | — |
| Total Purchased Options | 464,923 | | 464,923 | | — | | — |
| Repurchase Agreements | 117,500,000 | | — | | 117,500,000 | | — |
| U.S. Treasury Obligations | 236,472,640 | | — | | 236,472,640 | | — |
| Total Assets - Investments in Securities | $2,124,085,504 | | $122,257,989 | | $2,000,088,708 | | $1,738,807 |
| Other Financial Instruments*** | | | | | | | |
| Forward Foreign Currency Contracts | $ 1,370,954 | | $ — | | $ 1,370,954 | | $ — |
| Futures Contracts | 2,855,937 | | 2,855,937 | | — | | — |
| Swap Agreements | 4,013,444 | | — | | 4,013,444 | | — |
| Total Assets - Other Financial Instruments | $ 8,240,335 | | $ 2,855,937 | | $ 5,384,398 | | $ — |
| | | | | | | | |
See Notes to Financial Statements.
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | Total
Value | | Level 1
Quoted Prices | | Level 2
Other Significant
Observable Inputs | | Level 3
Significant
Unobservable Inputs |
| Liabilities: | | | | | | | |
| Investments in Securities: | | | | | | | |
| TBA Sale Commitments | $(77,743,372) | | $ — | | $(77,743,372) | | $ — |
| Written Options: | | | | | | | |
| Call Options | (128,580) | | (128,580) | | — | | — |
| Call Swaptions | (277,622) | | — | | (277,622) | | — |
| Put Options | (76,161) | | (76,161) | | — | | — |
| Put Swaptions | (963,607) | | — | | (963,607) | | — |
| Total Written Options | (1,445,970) | | (204,741) | | (1,241,229) | | — |
| Total Liabilities - Investments in Securities | $(79,189,342) | | $ (204,741) | | $(78,984,601) | | $ — |
| Other Financial Instruments*** | | | | | | | |
| Forward Foreign Currency Contracts | $ (2,236,229) | | $ — | | $ (2,236,229) | | $ — |
| Futures Contracts | (1,895,536) | | (1,895,536) | | — | | — |
| Swap Agreements | (13,662,151) | | — | | (13,662,151) | | — |
| Total Liabilities - Other Financial Instruments | $(17,793,916) | | $(1,895,536) | | $(15,898,380) | | $ — |
| ^^ | 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. |
Management has determined that the amount of transfers between Level 3 and Level 2 compared to total net assets is not material; therefore, the amount of transfers between Level 3 and Level 2 is not shown for the period ended June 30, 2020.
Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the reconciliation of Level 3 securities and assumptions is not shown for the period ended June 30, 2020.
See Notes to Financial Statements.
EXTENDED-DURATION BOND FUND
June 30, 2020 (Unaudited)
| | | Par | | Value |
| ASSET-BACKED SECURITY — 0.1% |
| Towd Point Mortgage Trust, Series 2016-4, Class A1 | | | |
2.25%, 07/25/56 144A
(Cost $343,713) | $ 346,122 | | $ 350,101 |
| CORPORATE BONDS — 48.5% |
| 3M Co. | | | |
| 3.05%, 04/15/30 | 280,000 | | 317,393 |
| Abbott Laboratories | | | |
| 3.75%, 11/30/26 | 1,507,000 | | 1,754,825 |
| 1.40%, 06/30/30 | 690,000 | | 687,548 |
| 4.90%, 11/30/46 | 407,000 | | 585,289 |
| Aflac, Inc. | | | |
| 6.45%, 08/15/40 | 328,000 | | 462,196 |
| Allison Transmission, Inc. | | | |
| 4.75%, 10/01/27 144A | 85,000 | | 84,665 |
| Ally Financial, Inc. | | | |
| 8.00%, 11/01/31 | 177,000 | | 228,843 |
| Alta Wind Holdings LLC | | | |
| 7.00%, 06/30/35 144A | 292,990 | | 355,302 |
| Amazon.com, Inc. | | | |
| 1.50%, 06/03/30 | 2,680,000 | | 2,718,537 |
| American Airlines Group, Inc. | | | |
| 5.00%, 06/01/22 144A | 305,000 | | 177,827 |
| American Airlines Pass-Through Trust, Series 2016-1, Class B | | | |
| 5.25%, 01/15/24 | 480,558 | | 319,442 |
| American Airlines Pass-Through Trust, Series 2016-3, Class B | | | |
| 3.75%, 10/15/25 | 218,131 | | 155,178 |
| American Airlines Pass-Through Trust, Series 2017-1, Class B | | | |
| 4.95%, 02/15/25 | 100,136 | | 75,888 |
| American Airlines Pass-Through Trust, Series 2017-2, Class B | | | |
| 3.70%, 10/15/25 | 79,779 | | 55,513 |
| American International Group, Inc. | | | |
| 3.90%, 04/01/26 | 1,682,000 | | 1,901,786 |
| American Tower Corporation REIT | | | |
| 2.40%, 03/15/25 | 537,000 | | 567,542 |
| Antares Holdings LP | | | |
| 6.00%, 08/15/23 144A | 255,000 | | 244,866 |
| Antero Resources Corporation | | | |
| 5.38%, 11/01/21Δ | 125,000 | | 116,040 |
| 5.13%, 12/01/22 | 35,000 | | 25,365 |
| Apple, Inc. | | | |
| 3.00%, 06/20/27 | 449,000 | | 503,104 |
| 1.65%, 05/11/30Δ | 2,135,000 | | 2,187,125 |
| Arch Capital Group, Ltd. | | | |
| 3.64%, 06/30/50 | 1,120,000 | | 1,179,425 |
| AT&T, Inc. | | | |
| 4.30%, 02/15/30 | 1,869,000 | | 2,192,096 |
| 2.75%, 06/01/31 | 1,169,000 | | 1,219,969 |
| 4.50%, 05/15/35 | 495,000 | | 588,059 |
| 4.30%, 12/15/42 | 1,242,000 | | 1,392,054 |
| | | Par | | Value |
| 4.50%, 03/09/48 | $ 105,000 | | $ 124,326 |
| 4.55%, 03/09/49 | 115,000 | | 135,816 |
| Bank of America Corporation | | | |
| 3.50%, 04/19/26 | 901,000 | | 1,015,013 |
| 6.11%, 01/29/37 | 900,000 | | 1,270,051 |
| Bank of America NA | | | |
| 6.00%, 10/15/36 | 1,315,000 | | 1,866,923 |
| Berkshire Hathaway Energy Co. | | | |
| 3.70%, 07/15/30 144A | 437,000 | | 513,406 |
| Boeing Co. (The) | | | |
| 3.10%, 05/01/26 | 20,000 | | 20,395 |
| 3.25%, 02/01/35 | 5,000 | | 4,564 |
| 3.55%, 03/01/38 | 25,000 | | 22,826 |
| 3.63%, 03/01/48 | 5,000 | | 4,408 |
| 3.85%, 11/01/48 | 85,000 | | 76,256 |
| 3.75%, 02/01/50 | 15,000 | | 13,492 |
| 3.95%, 08/01/59 | 90,000 | | 79,015 |
| Booking Holdings, Inc. | | | |
| 0.90%, 09/15/21 CONV | 110,000 | | 117,149 |
| Boston Properties LP REIT | | | |
| 3.40%, 06/21/29 | 1,138,000 | | 1,257,008 |
| Boston Scientific Corporation | | | |
| 4.70%, 03/01/49 | 360,000 | | 460,067 |
| Brighthouse Financial, Inc. | | | |
| 5.63%, 05/15/30 | 265,000 | | 294,704 |
| 4.70%, 06/22/47 | 40,000 | | 36,438 |
| Bristol-Myers Squibb Co. | | | |
| 4.25%, 10/26/49 144A | 822,000 | | 1,089,411 |
| Broadcom, Inc. | | | |
| 4.70%, 04/15/25 144A | 2,145,000 | | 2,419,511 |
| Burlington Northern Santa Fe LLC | | | |
| 4.15%, 04/01/45 | 821,000 | | 1,013,656 |
| Campbell Soup Co. | | | |
| 4.80%, 03/15/48 | 400,000 | | 526,869 |
| Chesapeake Energy Corporation | | | |
| 4.88%, 04/15/22# | 70,000 | | 2,450 |
| 5.75%, 03/15/23# | 20,000 | | 700 |
| 5.50%, 09/15/26 CONV # | 5,000 | | 200 |
| 8.00%, 06/15/27# | 665,000 | | 21,613 |
| Cigna Corporation | | | |
| 4.90%, 12/15/48 | 408,000 | | 538,701 |
| Cincinnati Bell, Inc. | | | |
| 8.00%, 10/15/25 144A | 20,000 | | 20,948 |
| Citigroup, Inc. | | | |
| 8.13%, 07/15/39 | 802,000 | | 1,390,586 |
| (Variable, ICE LIBOR USD 3M + 1.84%), 4.28%, 04/24/48^ | 498,000 | | 618,231 |
| Comcast Corporation | | | |
| 3.70%, 04/15/24 | 929,000 | | 1,028,738 |
| 2.65%, 02/01/30 | 1,225,000 | | 1,333,367 |
| 3.97%, 11/01/47 | 221,000 | | 262,490 |
| Continental Resources, Inc. | | | |
| 4.50%, 04/15/23 | 40,000 | | 38,361 |
| 3.80%, 06/01/24 | 125,000 | | 117,211 |
See Notes to Financial Statements.
EXTENDED-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | Par | | Value |
| Cox Communications, Inc. | | | |
| 4.60%, 08/15/47 144A | $ 238,000 | | $ 301,932 |
| Crown Castle International Corporation REIT | | | |
| 3.20%, 09/01/24 | 483,000 | | 524,712 |
| CSC Holdings LLC | | | |
| 5.38%, 02/01/28 144A | 200,000 | | 209,581 |
| CSX Corporation | | | |
| 3.80%, 04/15/50 | 220,000 | | 261,903 |
| Cummins, Inc. | | | |
| 5.65%, 03/01/98 | 1,620,000 | | 1,920,720 |
| CVS Health Corporation | | | |
| 5.13%, 07/20/45 | 83,000 | | 107,109 |
| 5.05%, 03/25/48 | 474,000 | | 621,909 |
| 4.25%, 04/01/50 | 402,000 | | 482,521 |
| DCP Midstream Operating LP | | | |
| 6.45%, 11/03/36 144A | 490,000 | | 443,105 |
| Deere & Co. | | | |
| 3.10%, 04/15/30 | 601,000 | | 682,298 |
| Dell International LLC | | | |
| 6.02%, 06/15/26 144A | 140,000 | | 160,624 |
| 8.10%, 07/15/36 144A | 180,000 | | 237,604 |
| 8.35%, 07/15/46 144A | 130,000 | | 173,607 |
| Dillard's, Inc. | | | |
| 7.00%, 12/01/28 | 500,000 | | 499,742 |
| Discovery Communications LLC | | | |
| 3.63%, 05/15/30 | 833,000 | | 912,169 |
| DISH DBS Corporation | | | |
| 7.75%, 07/01/26 | 105,000 | | 111,496 |
| DISH Network Corporation | | | |
| 2.38%, 03/15/24 CONV Δ | 1,080,000 | | 970,484 |
| Dow Chemical Co. (The) | | | |
| 9.40%, 05/15/39 | 349,000 | | 582,973 |
| Edison International | | | |
| 4.95%, 04/15/25 | 20,000 | | 21,954 |
| Eli Lilly and Co. | | | |
| 2.25%, 05/15/50Δ | 5,269,000 | | 5,069,091 |
| Enable Midstream Partners LP | | | |
| 5.00%, 05/15/44 | 445,000 | | 357,111 |
| Enbridge Energy Partners LP | | | |
| 7.38%, 10/15/45 | 305,000 | | 437,894 |
| Energy Transfer Operating LP | | | |
| 5.25%, 04/15/29 | 628,000 | | 688,607 |
| 5.15%, 03/15/45 | 446,000 | | 426,498 |
| Enterprise Products Operating LLC | | | |
| 5.10%, 02/15/45 | 556,000 | | 663,398 |
| 4.20%, 01/31/50 | 612,000 | | 685,834 |
| Equitable Holdings, Inc. | | | |
| 5.00%, 04/20/48 | 577,000 | | 661,189 |
| ERP Operating LP REIT | | | |
| 3.00%, 07/01/29 | 970,000 | | 1,073,898 |
| Ford Motor Co. | | | |
| 6.38%, 02/01/29Δ | 1,255,000 | | 1,231,532 |
| 4.75%, 01/15/43 | 400,000 | | 316,898 |
| GE Capital Funding LLC | | | |
| 4.55%, 05/15/32 144A | 980,000 | | 1,013,191 |
| General Electric Co. | | | |
| 3.10%, 01/09/23 | 248,000 | | 259,824 |
| | | Par | | Value |
| 5.88%, 01/14/38 | $ 150,000 | | $ 169,495 |
| General Motors Co. | | | |
| 6.25%, 10/02/43 | 55,000 | | 58,520 |
| 5.20%, 04/01/45 | 1,175,000 | | 1,139,637 |
| General Motors Financial Co., Inc. | | | |
| 5.25%, 03/01/26 | 250,000 | | 272,652 |
| 3.60%, 06/21/30 | 155,000 | | 151,169 |
| Gilead Sciences, Inc. | | | |
| 4.15%, 03/01/47 | 895,000 | | 1,140,332 |
| Goldman Sachs Group, Inc. (The) | | | |
| 3.50%, 11/16/26 | 1,704,000 | | 1,875,377 |
| 6.75%, 10/01/37 | 225,000 | | 327,946 |
| 4.75%, 10/21/45 | 421,000 | | 550,764 |
| Goodyear Tire & Rubber Co. (The) | | | |
| 4.88%, 03/15/27 | 355,000 | | 326,733 |
| HCA, Inc. | | | |
| 5.38%, 09/01/26 | 140,000 | | 152,768 |
| 7.05%, 12/01/27 | 500,000 | | 560,783 |
| 3.50%, 09/01/30 | 995,000 | | 959,571 |
| Healthpeak Properties, Inc. REIT | | | |
| 3.25%, 07/15/26 | 281,000 | | 307,508 |
| Hewlett Packard Enterprise Co. | | | |
| 6.35%, 10/15/45 | 135,000 | | 165,773 |
| Home Depot, Inc. (The) | | | |
| 5.88%, 12/16/36 | 187,000 | | 279,600 |
| Intel Corporation | | | |
| 3.90%, 03/25/30 | 2,008,000 | | 2,430,612 |
| Iron Mountain, Inc. REIT | | | |
| 4.88%, 09/15/29 144A | 265,000 | | 257,978 |
| iStar, Inc. REIT | | | |
| 3.13%, 09/15/22 CONV | 175,000 | | 188,016 |
| Jefferies Group LLC | | | |
| 6.45%, 06/08/27 | 50,000 | | 58,707 |
| 6.25%, 01/15/36 | 185,000 | | 212,170 |
| JELD-WEN, Inc. | | | |
| 4.88%, 12/15/27 144A Δ | 255,000 | | 245,708 |
| JPMorgan Chase & Co. | | | |
| 5.60%, 07/15/41 | 1,694,000 | | 2,449,139 |
| (Variable, U.S. SOFR + 2.44%), 3.11%, 04/22/51^ | 2,525,000 | | 2,732,287 |
| Kinder Morgan Energy Partners LP | | | |
| 5.80%, 03/15/35 | 280,000 | | 324,191 |
| Kraft Heinz Foods Co. | | | |
| 4.38%, 06/01/46 | 355,000 | | 349,533 |
| Liberty Mutual Group, Inc. | | | |
| 3.95%, 10/15/50 144A | 1,400,000 | | 1,484,595 |
| Lincoln National Corporation | | | |
| 4.38%, 06/15/50 | 1,325,000 | | 1,483,689 |
| Lockheed Martin Corporation | | | |
| 4.70%, 05/15/46 | 844,000 | | 1,154,448 |
| Marathon Petroleum Corporation | | | |
| 3.63%, 09/15/24 | 2,048,000 | | 2,186,106 |
| Masco Corporation | | | |
| 7.75%, 08/01/29 | 129,000 | | 165,650 |
| 6.50%, 08/15/32 | 15,000 | | 18,267 |
| Mastercard, Inc. | | | |
| 3.85%, 03/26/50 | 306,000 | | 382,463 |
See Notes to Financial Statements.
| | | Par | | Value |
| McDonald’s Corporation | | | |
| 4.88%, 12/09/45 | $ 584,000 | | $ 749,688 |
| MetLife, Inc. | | | |
| 6.40%, 12/15/36 | 310,000 | | 366,685 |
| 5.88%, 02/06/41 | 300,000 | | 429,032 |
| Metropolitan Life Global Funding I | | | |
| 2.95%, 04/09/30 144A | 2,185,000 | | 2,397,576 |
| Michaels Stores, Inc. | | | |
| 8.00%, 07/15/27 144A Δ | 45,000 | | 39,226 |
| Microchip Technology, Inc. | | | |
| 1.63%, 02/15/25 CONV | 85,000 | | 189,823 |
| Microsoft Corporation | | | |
| 3.70%, 08/08/46 | 555,000 | | 692,350 |
| 2.53%, 06/01/50 | 556,000 | | 582,961 |
| Mileage Plus Holdings LLC | | | |
| 6.50%, 06/20/27 144A | 265,000 | | 266,325 |
| Mondelez International, Inc. | | | |
| 2.75%, 04/13/30 | 190,000 | | 204,955 |
| Morgan Stanley | | | |
| 3.63%, 01/20/27 | 1,401,000 | | 1,583,186 |
| 4.30%, 01/27/45 | 373,000 | | 470,188 |
| MPLX LP | | | |
| 4.00%, 03/15/28 | 200,000 | | 210,894 |
| 4.50%, 04/15/38 | 1,038,000 | | 1,039,436 |
| Mutual of Omaha Insurance Co. | | | |
| 6.80%, 06/15/36 144A | 100,000 | | 127,443 |
| Nationstar Mortgage Holdings, Inc. | | | |
| 9.13%, 07/15/26 144A | 175,000 | | 185,226 |
| Nationwide Mutual Insurance Co. | | | |
| 4.35%, 04/30/50 144A | 675,000 | | 721,735 |
| Navient Corporation | | | |
| 5.88%, 10/25/24 | 10,000 | | 9,425 |
| 6.75%, 06/15/26 | 10,000 | | 9,273 |
| 5.63%, 08/01/33 | 1,475,000 | | 1,140,035 |
| NGL Energy Partners LP | | | |
| 7.50%, 11/01/23 | 100,000 | | 83,312 |
| 6.13%, 03/01/25 | 220,000 | | 166,902 |
| Northern Trust Corporation | | | |
| 1.95%, 05/01/30 | 3,544,000 | | 3,665,261 |
| Northrop Grumman Corporation | | | |
| 3.25%, 01/15/28 | 934,000 | | 1,045,227 |
| Nuance Communications, Inc. | | | |
| 1.25%, 04/01/25 CONV | 50,000 | | 69,963 |
| 1.00%, 12/15/35 CONV | 80,000 | | 94,679 |
| Old Republic International Corporation | | | |
| 4.88%, 10/01/24 | 230,000 | | 249,028 |
| ON Semiconductor Corporation | | | |
| 1.00%, 12/01/20 CONV | 85,000 | | 99,230 |
| ONEOK Partners LP | | | |
| 6.20%, 09/15/43 | 5,000 | | 5,381 |
| Oracle Corporation | | | |
| 3.60%, 04/01/40 | 2,762,000 | | 3,146,318 |
| 3.60%, 04/01/50 | 1,527,000 | | 1,707,342 |
| Owens Corning | | | |
| 4.40%, 01/30/48 | 210,000 | | 219,324 |
| | | Par | | Value |
| Owens-Brockway Glass Container, Inc. | | | |
| 6.63%, 05/13/27 144A | $ 85,000 | | $ 88,559 |
| Pacific Gas and Electric Co. | | | |
| 2.50%, 02/01/31 | 2,105,000 | | 2,064,647 |
| Penn Mutual Life Insurance Co. (The) | | | |
| 7.63%, 06/15/40 144A | 440,000 | | 635,818 |
| Penske Truck Leasing Co. LP | | | |
| 4.00%, 07/15/25 144A | 185,000 | | 202,482 |
| PepsiCo, Inc. | | | |
| 2.63%, 07/29/29 | 1,121,000 | | 1,240,321 |
| Procter & Gamble Co. (The) | | | |
| 3.00%, 03/25/30 | 1,215,000 | | 1,392,818 |
| Prudential Financial, Inc. | | | |
| 6.63%, 06/21/40 | 548,000 | | 830,472 |
| 3.70%, 03/13/51 | 150,000 | | 164,792 |
| PulteGroup, Inc. | | | |
| 6.38%, 05/15/33 | 1,000,000 | | 1,174,025 |
| Quicken Loans LLC | | | |
| 5.75%, 05/01/25 144A | 60,000 | | 61,494 |
| 5.25%, 01/15/28 144A | 70,000 | | 72,435 |
| Qwest Corporation | | | |
| 7.25%, 09/15/25 | 410,000 | | 465,625 |
| Radian Group, Inc. | | | |
| 4.50%, 10/01/24 | 55,000 | | 53,275 |
| 6.63%, 03/15/25 | 485,000 | | 498,034 |
| 4.88%, 03/15/27 | 35,000 | | 33,003 |
| Raytheon Technologies Corporation | | | |
| 3.95%, 08/16/25 | 374,000 | | 425,843 |
| Seagate HDD Cayman | | | |
| 4.88%, 06/01/27 | 51,000 | | 55,390 |
| 4.09%, 06/01/29 144A | 53,000 | | 55,659 |
| Service Properties Trust REIT | | | |
| 4.50%, 06/15/23 | 15,000 | | 14,367 |
| 4.65%, 03/15/24Δ | 10,000 | | 9,043 |
| 4.35%, 10/01/24 | 55,000 | | 49,600 |
| 4.75%, 10/01/26 | 5,000 | | 4,427 |
| 4.95%, 02/15/27 | 25,000 | | 21,958 |
| 3.95%, 01/15/28 | 10,000 | | 8,065 |
| SM Energy Co. | | | |
| 10.00%, 01/15/25 144A Δ | 123,000 | | 117,081 |
| Southern Co. (The) | | | |
| 4.40%, 07/01/46 | 1,267,000 | | 1,508,435 |
| Springleaf Finance Corporation | | | |
| 6.88%, 03/15/25 | 170,000 | | 174,803 |
| State Street Corporation | | | |
| (Variable, U.S. SOFR + 2.65%), 3.15%, 03/30/31 144A ^ | 357,000 | | 401,503 |
| Tenet Healthcare Corporation | | | |
| 5.13%, 05/01/25 | 615,000 | | 594,219 |
| Time Warner Cable LLC | | | |
| 5.50%, 09/01/41 | 25,000 | | 30,253 |
| 4.50%, 09/15/42 | 45,000 | | 47,979 |
| T-Mobile USA, Inc. | | | |
| 3.88%, 04/15/30 144A | 3,101,000 | | 3,457,103 |
See Notes to Financial Statements.
EXTENDED-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | Par | | Value |
| Toro Co. (The) | | | |
| 6.63%, 05/01/37 | $ 300,000 | | $ 348,295 |
| Transcontinental Gas Pipe Line Co. LLC | | | |
| 7.85%, 02/01/26 | 455,000 | | 592,926 |
| TransDigm, Inc. | | | |
| 8.00%, 12/15/25 144A | 350,000 | | 369,378 |
| 7.50%, 03/15/27 | 5,000 | | 4,806 |
| 5.50%, 11/15/27 | 85,000 | | 74,415 |
| Transocean, Inc. | | | |
| 5.80%, 10/15/22Δ | 205,000 | | 111,725 |
| 6.80%, 03/15/38Δ | 20,000 | | 6,049 |
| Tyson Foods, Inc. | | | |
| 4.55%, 06/02/47 | 333,000 | | 409,955 |
| 5.10%, 09/28/48 | 269,000 | | 346,554 |
| United Airlines Pass-Through Trust, Series 2014-1, Class A | | | |
| 4.00%, 04/11/26 | 83,236 | | 76,560 |
| United Airlines Pass-Through Trust, Series 2016-2, Class B | | | |
| 3.65%, 10/07/25 | 66,800 | | 49,686 |
| United Rentals North America, Inc. | | | |
| 6.50%, 12/15/26 | 85,000 | | 89,412 |
| 4.88%, 01/15/28 | 30,000 | | 30,797 |
| United States Steel Corporation | | | |
| 6.65%, 06/01/37Δ | 75,000 | | 49,072 |
| Verizon Communications, Inc. | | | |
| 4.27%, 01/15/36 | 1,588,000 | | 1,966,190 |
| 5.25%, 03/16/37 | 933,000 | | 1,250,562 |
| 5.50%, 03/16/47 | 934,000 | | 1,386,775 |
| ViacomCBS, Inc. | | | |
| 4.95%, 05/19/50 | 220,000 | | 246,038 |
| Visa, Inc. | | | |
| 4.30%, 12/14/45 | 654,000 | | 866,444 |
| Walmart, Inc. | | | |
| 3.63%, 12/15/47 | 356,000 | | 439,006 |
| Walt Disney Co. (The) | | | |
| 4.75%, 09/15/44 | 582,000 | | 746,573 |
| Wells Fargo & Co. | | | |
| (Variable, U.S. SOFR + 2.53%), 3.07%, 04/30/41^ | 4,150,000 | | 4,345,017 |
| Western Digital Corporation | | | |
| 1.50%, 02/01/24 CONV | 140,000 | | 132,305 |
| WestRock MWV LLC | | | |
| 7.55%, 03/01/47 | 335,000 | | 483,940 |
| Weyerhaeuser Co. REIT | | | |
| 6.88%, 12/15/33 | 580,000 | | 763,867 |
| Whirlpool Corporation | | | |
| 4.60%, 05/15/50 | 200,000 | | 228,663 |
| Xylem, Inc. | | | |
| 1.95%, 01/30/28 | 405,000 | | 409,318 |
Total Corporate Bonds
(Cost $122,692,843) | | | 138,249,657 |
| FOREIGN BONDS — 11.7% |
| Australia — 0.2% | | |
| Barrick PD Australia Finance Proprietary, Ltd. | | | |
| 5.95%, 10/15/39 | 533,000 | | 717,338 |
| | | Par | | Value |
| Brazil — 0.2% | | |
| Brazilian Government International Bond | | | |
| 10.25%, 01/10/28(B) | $ 2,525,000 | | $ 549,054 |
| Canada — 3.2% | | |
| Bombardier, Inc. | | | |
| 6.00%, 10/15/22 144A | 515,000 | | 364,337 |
| 7.88%, 04/15/27 144A Δ | 50,000 | | 32,834 |
| Canadian Government Bond Residual STRIP | | | |
| 3.48%, 06/01/25(C) Ω | 3,685,000 | | 2,667,065 |
| Enbridge, Inc. | | | |
| 5.50%, 12/01/46 | 512,000 | | 662,352 |
| MEG Energy Corporation | | | |
| 7.00%, 03/31/24 144A Δ | 204,000 | | 175,461 |
| Province of Ontario Generic Residual STRIP | | | |
| 2.98%, 03/08/29(C) Ω | 4,600,000 | | 2,997,183 |
| Province of Saskatchewan Residual STRIP | | | |
| 3.50%, 02/04/22(C) Ω | 3,000,000 | | 2,187,419 |
| | | | | 9,086,651 |
| Ireland — 0.4% | | |
| GE Capital International Funding Co. Unlimited Co. | | | |
| 3.37%, 11/15/25 | 975,000 | | 1,023,794 |
| Johnson Controls International PLC | | | |
| 4.50%, 02/15/47 | 149,000 | | 170,348 |
| | | | | 1,194,142 |
| Italy — 0.3% | | |
| Telecom Italia Capital SA | | | |
| 6.00%, 09/30/34 | 785,000 | | 855,575 |
| Luxembourg — 0.4% | | |
| ArcelorMittal SA | | | |
| 7.00%, 03/01/41 | 975,000 | | 1,141,637 |
| Mexico — 0.8% | | |
| America Movil SAB de CV | | | |
| 6.45%, 12/05/22(M) | 2,600,000 | | 114,639 |
| 8.46%, 12/18/36(M) | 12,000,000 | | 534,894 |
| Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand | | | |
| 5.38%, 04/17/25 144A | 150,000 | | 164,441 |
| Mexican Bonos | | | |
| 8.00%, 12/07/23(M) | 21,300,000 | | 1,021,801 |
| 10.00%, 12/05/24(M) | 3,500,000 | | 183,367 |
| 7.50%, 06/03/27(M) | 3,500,000 | | 169,755 |
| 8.50%, 05/31/29(M) | 500,000 | | 25,771 |
| 7.75%, 05/29/31(M) | 1,000,000 | | 49,209 |
| | | | | 2,263,877 |
| Netherlands — 1.2% | | |
| Cooperatieve Rabobank UA | | | |
| 3.75%, 07/21/26 | 493,000 | | 543,923 |
| 5.25%, 05/24/41 | 590,000 | | 838,892 |
See Notes to Financial Statements.
| | | Par | | Value |
| Embraer Netherlands Finance BV | | | |
| 5.40%, 02/01/27 | $ 80,000 | | $ 71,085 |
| Enel Finance International NV | | | |
| 6.00%, 10/07/39 144A | 500,000 | | 667,437 |
| Shell International Finance BV | | | |
| 4.00%, 05/10/46 | 1,060,000 | | 1,241,355 |
| | | | | 3,362,692 |
| Norway — 0.3% | | |
| Equinor ASA | | | |
| 2.38%, 05/22/30 | 935,000 | | 972,654 |
| Norway Government Bond | | | |
| 3.75%, 05/25/21(K) 144A | 196,000 | | 21,032 |
| | | | | 993,686 |
| Spain — 0.3% | | |
| Telefonica Emisiones SA | | | |
| 7.05%, 06/20/36 | 524,000 | | 762,237 |
| Switzerland — 0.5% | | |
| Credit Suisse Group AG | | | |
| (Variable, ICE LIBOR USD 3M + 1.41%), 3.87%, 01/12/29 144A ^ | 1,188,000 | | 1,312,506 |
| United Kingdom — 3.8% | | |
| Barclays PLC | | | |
| 4.38%, 01/12/26 | 865,000 | | 977,684 |
| HSBC Holdings PLC | | | |
| (Variable, ICE LIBOR USD 3M + 1.14%), 2.63%, 11/07/25^ | 1,208,000 | | 1,253,730 |
| (Variable, U.S. SOFR + 1.93%), 2.10%, 06/04/26^ | 1,804,000 | | 1,824,749 |
| (Variable, ICE LIBOR USD 3M + 1.53%), 4.58%, 06/19/29^ | 645,000 | | 745,688 |
| 4.95%, 03/31/30 | 270,000 | | 325,197 |
| Lloyds Banking Group PLC | | | |
| (Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.00%), 2.44%, 02/05/26^ | 945,000 | | 976,674 |
| 4.34%, 01/09/48 | 1,056,000 | | 1,237,597 |
| Prudential PLC | | | |
| 3.13%, 04/14/30 | 900,000 | | 969,002 |
| Royal Bank of Scotland Group PLC | | | |
| 3.88%, 09/12/23 | 1,553,000 | | 1,675,371 |
| Vodafone Group PLC | | | |
| (Floating, ICE LIBOR USD 3M + 0.99%), 2.17%, 01/16/24† | 962,000 | | 958,022 |
| | | | | 10,943,714 |
| United States — 0.1% | | |
| Morgan Stanley | | | |
| 3.13%, 08/05/21(C) | 235,000 | | 176,885 |
Total Foreign Bonds
(Cost $32,806,095) | | 33,359,994 |
| MORTGAGE-BACKED SECURITIES — 1.9% |
| Federal National Mortgage Association | | | |
| 4.50%, 12/01/47 | 724,434 | | 779,846 |
| | | Par | | Value |
| 4.50%, 11/01/48 | $ 801,134 | | $ 861,640 |
| Government National Mortgage Association | | | |
| 4.50%, 10/20/48 | 910,251 | | 980,754 |
| JP Morgan Mortgage Trust, Series 2017-1, Class A4 | | | |
| 3.50%, 01/25/47 144A | 1,366,424 | | 1,391,013 |
| JP Morgan Trust, Series 2015-6, Class A5 | | | |
| 3.50%, 10/25/45 144A † γ | 1,503,769 | | 1,522,689 |
Total Mortgage-Backed Securities
(Cost $5,403,213) | | | 5,535,942 |
| MUNICIPAL BONDS — 1.2% |
| Commonwealth of Massachusetts, General Obligation, Series C | | | |
| 2.51%, 07/01/41 | 1,304,000 | | 1,311,179 |
| State of Connecticut, General Obligation, Series A | | | |
| 2.63%, 07/01/29 | 125,000 | | 132,824 |
| 2.68%, 07/01/30 | 115,000 | | 122,423 |
| State of Illinois, General Obligation | | | |
| 5.10%, 06/01/33 | 235,000 | | 238,745 |
| Texas Transportation Commission, General Obligation | | | |
| 2.56%, 04/01/42 | 1,435,000 | | 1,459,216 |
Total Municipal Bonds
(Cost $3,170,856) | | | 3,264,387 |
| U.S. TREASURY OBLIGATIONS — 32.3% |
| U.S. Treasury Bill | | | | |
| 0.16%, 11/12/20Ω Δ | 570,000 | | 569,687 |
| U.S. Treasury Bonds | | | | |
| 4.50%, 02/15/36Δ | 449,200 | | 687,890 |
| 2.88%, 05/15/43Δ | 5,208,300 | | 6,807,920 |
| 2.50%, 05/15/46Δ | 4,500,000 | | 5,582,988 |
| 2.75%, 08/15/47 | 14,560,200 | | 19,030,352 |
| 2.25%, 08/15/49Δ | 2,060,700 | | 2,479,078 |
| 1.25%, 05/15/50Δ | 5,675,000 | | 5,454,207 |
| | | | | 40,042,435 |
| U.S. Treasury Notes | | | | |
| 1.50%, 11/30/21 | 11,600,000 | | 11,819,086 |
| 2.00%, 11/30/22 | 7,421,000 | | 7,749,003 |
| 0.50%, 03/15/23 | 3,064,000 | | 3,091,109 |
| 2.88%, 11/30/23 | 1,000,000 | | 1,091,074 |
| 2.63%, 12/31/23 | 2,132,000 | | 2,312,554 |
| 2.25%, 04/30/24 | 4,291,000 | | 4,624,977 |
| 1.50%, 11/30/24 | 4,738,600 | | 4,999,778 |
| 1.13%, 02/28/25Δ | 6,489,000 | | 6,749,954 |
| 1.63%, 11/30/26 | 1,717,400 | | 1,846,138 |
| 1.13%, 02/28/27Δ | 897,200 | | 936,207 |
| 0.63%, 03/31/27 | 446,100 | | 450,683 |
| 2.75%, 02/15/28 | 339,900 | | 396,568 |
| 1.50%, 02/15/30Δ | 317,600 | | 343,393 |
See Notes to Financial Statements.
EXTENDED-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | Par | | Value |
| 0.63%, 05/15/30Δ | $4,940,700 | | $ 4,927,769 |
| | | | | 51,338,293 |
Total U.S. Treasury Obligations
(Cost $82,879,695) | | | 91,950,415 |
| | | Shares | |
| PREFERRED STOCKS — 0.1% |
| Chesapeake Energy Corporation | | |
| 5.00%, CONV Δ * | 620 | 1,190 |
| 5.75%, 144A CONV * | 80 | 40 |
| El Paso Energy Capital Trust I | | |
| 4.75%, CONV Δ | 5,350 | 237,861 |
Total Preferred Stocks
(Cost $354,717) | | 239,091 |
| MONEY MARKET FUNDS — 5.5% |
GuideStone Money Market Fund, 0.16%
(Institutional Class)Ø ∞ | 14,237,531 | 14,237,531 |
| Northern Institutional Liquid Assets Portfolio (Shares), 0.33%Ø § | 1,177,971 | 1,177,971 |
| Northern Institutional U.S. Government Portfolio (Shares), 0.07%Ø | 379,925 | 379,925 |
Total Money Market Funds
(Cost $15,795,427) | | 15,795,427 |
TOTAL INVESTMENTS —101.3%
(Cost $263,446,559) | | 288,745,014 |
Liabilities in Excess of Other
Assets — (1.3)% | | (3,834,564) |
| NET ASSETS — 100.0% | | $284,910,450 |
PORTFOLIO SUMMARY (based on net assets)
| | % |
| Corporate Bonds | 48.5 |
| U.S. Treasury Obligations | 32.3 |
| Foreign Bonds | 11.7 |
| Money Market Funds | 5.5 |
| Mortgage-Backed Securities | 1.9 |
| Municipal Bonds | 1.2 |
| Asset-Backed Security | 0.1 |
| Energy | 0.1 |
| | 101.3 |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2020, in valuing the Fund’s investments carried at fair value:
| | Total
Value | | Level 1
Quoted Prices | | Level 2
Other Significant
Observable Inputs | | Level 3
Significant
Unobservable Inputs |
| Assets: | | | | | | | |
| Investments in Securities: | | | | | | | |
| Asset-Backed Security | $ 350,101 | | $ — | | $ 350,101 | | $ — |
| Corporate Bonds | 138,249,657 | | — | | 138,249,657 | | — |
| Foreign Bonds | 33,359,994 | | — | | 33,359,994 | | — |
| Money Market Funds | 15,795,427 | | 15,795,427 | | — | | — |
| Mortgage-Backed Securities | 5,535,942 | | — | | 5,535,942 | | — |
| Municipal Bonds | 3,264,387 | | — | | 3,264,387 | | — |
| Preferred Stocks | 239,091 | | 239,051 | | 40 | | — |
| U.S. Treasury Obligations | 91,950,415 | | — | | 91,950,415 | | — |
| Total Assets - Investments in Securities | $288,745,014 | | $16,034,478 | | $272,710,536 | | $ — |
See Notes to Financial Statements.
June 30, 2020 (Unaudited)
| | | Par | | Value |
| ASSET-BACKED SECURITIES — 0.4% |
| Bravo Mortgage Asset Trust, Series 2006-1A, Class M1 | | | |
| (Floating, ICE LIBOR USD 1M + 0.40%, 0.40% Floor), 0.58%, 07/25/36 144A † | $630,000 | | $ 547,934 |
| Navient Student Loan Trust, Series 2018-EA, Class B | | | |
| 4.44%, 12/15/59 144A | 560,000 | | 583,961 |
| PFCA Home Equity Investment Trust, Series 2003-IFC5, Class A | | | |
| 4.20%, 01/22/35 144A † γ | 541,342 | | 555,718 |
| SLM Student Loan Trust, Series 2003-4, Class A5E | | | |
| (Floating, ICE LIBOR USD 3M + 0.75%), 1.06%, 03/15/33 144A † | 207,967 | | 197,014 |
| SLM Student Loan Trust, Series 2006-10, Class A6 | | | |
| (Floating, ICE LIBOR USD 3M + 0.15%), 1.14%, 03/25/44† | 480,000 | | 448,744 |
Total Asset-Backed Securities
(Cost $2,384,348) | | | 2,333,371 |
| CORPORATE BONDS — 25.0% |
| 3M Co. | | | |
| 3.70%, 04/15/50 | 710,000 | | 848,120 |
| Abbott Laboratories | | | |
| 3.75%, 11/30/26 | 280,000 | | 326,046 |
| Air Lease Corporation | | | |
| 2.30%, 02/01/25 | 255,000 | | 244,397 |
| Allison Transmission, Inc. | | | |
| 5.00%, 10/01/24 144A | 300,000 | | 300,183 |
| 4.75%, 10/01/27 144A | 110,000 | | 109,567 |
| Ally Financial, Inc. | | | |
| 5.13%, 09/30/24 | 465,000 | | 502,628 |
| 8.00%, 11/01/31 | 175,000 | | 226,257 |
| Amazon.com, Inc. | | | |
| 3.88%, 08/22/37 | 620,000 | | 768,670 |
| 4.25%, 08/22/57 | 190,000 | | 254,136 |
| American Airlines Group, Inc. | | | |
| 5.00%, 06/01/22 144A | 440,000 | | 256,538 |
| 3.75%, 03/01/25 144A Δ | 5,000 | | 2,333 |
| American Airlines Pass-Through Trust, Series 2013-1, Class B | | | |
| 5.63%, 01/15/21 144A | 93,695 | | 84,691 |
| American Airlines Pass-Through Trust, Series 2016-1, Class B | | | |
| 5.25%, 01/15/24 | 609,811 | | 405,361 |
| American Airlines Pass-Through Trust, Series 2016-3, Class B | | | |
| 3.75%, 10/15/25 | 268,769 | | 191,201 |
| American Airlines Pass-Through Trust, Series 2017-2, Class B | | | |
| 3.70%, 10/15/25 | 95,734 | | 66,616 |
| Antero Resources Corporation | | | |
| 5.38%, 11/01/21Δ | 185,000 | | 171,739 |
| 5.13%, 12/01/22 | 235,000 | | 170,310 |
| 5.63%, 06/01/23Δ | 75,000 | | 48,234 |
| Apple, Inc. | | | |
| 4.65%, 02/23/46 | 325,000 | | 448,312 |
| | | Par | | Value |
| Aramark International Finance S.a.r.l. | | | |
| 3.13%, 04/01/25 | $429,000 | | $ 458,863 |
| Ardagh Packaging Finance PLC | | | |
| 6.00%, 02/15/25 144A | 500,000 | | 513,210 |
| 4.75%, 07/15/27 | 460,000 | | 555,993 |
| 5.25%, 08/15/27 144A | 300,000 | | 295,221 |
| Ashtead Capital, Inc. | | | |
| 4.13%, 08/15/25 144A | 274,000 | | 280,165 |
| AT&T, Inc. | | | |
| 4.00%, 01/15/22 | 40,000 | | 42,044 |
| 0.25%, 03/04/26 | 650,000 | | 704,620 |
| 5.35%, 09/01/40 | 85,000 | | 107,004 |
| 5.45%, 03/01/47 | 125,000 | | 163,819 |
| 4.50%, 03/09/48 | 115,000 | | 136,165 |
| 4.55%, 03/09/49 | 275,000 | | 324,778 |
| 3.65%, 06/01/51 | 885,000 | | 930,946 |
| Avantor, Inc. | | | |
| 4.75%, 10/01/24 | 103,000 | | 119,675 |
| Avon Products, Inc. | | | |
| 8.95%, 03/15/43 | 60,000 | | 68,106 |
| Bank of America Corporation | | | |
| 1.38%, 03/26/25 | 595,000 | | 697,920 |
| 4.25%, 10/22/26 | 55,000 | | 63,141 |
| (Variable, ICE LIBOR USD 3M + 1.51%), 3.71%, 04/24/28^ | 350,000 | | 395,869 |
| (Variable, ICE LIBOR USD 3M + 1.04%), 3.42%, 12/20/28^ | 435,000 | | 484,848 |
| (Variable, ICE LIBOR USD 3M + 1.07%), 3.97%, 03/05/29^ | 275,000 | | 315,484 |
| (Variable, ICE LIBOR USD 3M + 0.99%), 2.50%, 02/13/31^ | 155,000 | | 162,709 |
| 6.11%, 01/29/37 | 655,000 | | 924,315 |
| (Variable, ICE LIBOR USD 3M + 3.15%), 4.08%, 03/20/51^ | 240,000 | | 302,141 |
| Barrick North America Finance LLC | | | |
| 5.75%, 05/01/43 | 505,000 | | 715,477 |
| Bausch Health Americas, Inc. | | | |
| 9.25%, 04/01/26 144A | 460,000 | | 499,652 |
| 8.50%, 01/31/27 144A | 50,000 | | 53,161 |
| Belden, Inc. | | | |
| 3.38%, 07/15/27 | 950,000 | | 1,032,701 |
| Berkshire Hathaway Energy Co. | | | |
| 4.25%, 10/15/50 144A | 115,000 | | 145,486 |
| Boeing Co. (The) | | | |
| 4.88%, 05/01/25 | 690,000 | | 752,766 |
| 3.10%, 05/01/26 | 30,000 | | 30,593 |
| 3.25%, 02/01/35 | 5,000 | | 4,564 |
| 3.55%, 03/01/38 | 35,000 | | 31,956 |
| 3.63%, 03/01/48 | 5,000 | | 4,408 |
| 3.85%, 11/01/48 | 130,000 | | 116,627 |
| 3.75%, 02/01/50 | 200,000 | | 179,888 |
| 5.81%, 05/01/50 | 475,000 | | 562,252 |
| 3.95%, 08/01/59 | 130,000 | | 114,133 |
| Booking Holdings, Inc. | | | |
| 0.90%, 09/15/21 CONV | 290,000 | | 308,846 |
| BP Capital Markets America, Inc. | | | |
| 3.63%, 04/06/30 | 510,000 | | 579,887 |
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (Continued)
| | | Par | | Value |
| Braskem America Finance Co. | | | |
| 7.13%, 07/22/41Δ | $1,640,000 | | $1,685,428 |
| Brighthouse Financial, Inc. | | | |
| 5.63%, 05/15/30 | 375,000 | | 417,034 |
| 4.70%, 06/22/47 | 65,000 | | 59,212 |
| Bristol-Myers Squibb Co. | | | |
| 5.00%, 08/15/45 144A | 1,120,000 | | 1,565,902 |
| Broadcom, Inc. | | | |
| 4.70%, 04/15/25 144A | 220,000 | | 248,155 |
| 4.15%, 11/15/30 144A | 380,000 | | 413,800 |
| California Resources Corporation | | | |
| 8.00%, 12/15/22 144A | 695,000 | | 26,066 |
| CCO Holdings LLC | | | |
| 5.38%, 05/01/25 144A | 270,000 | | 277,453 |
| Centene Corporation | | | |
| 4.75%, 01/15/25 | 30,000 | | 30,752 |
| 4.63%, 12/15/29 | 700,000 | | 740,250 |
| CenturyLink, Inc. | | | |
| 5.63%, 04/01/25Δ | 50,000 | | 51,830 |
| Charter Communications Operating LLC | | | |
| 6.48%, 10/23/45 | 210,000 | | 278,643 |
| 5.75%, 04/01/48 | 720,000 | | 897,648 |
| 4.80%, 03/01/50 | 475,000 | | 527,897 |
| Chesapeake Energy Corporation | | | |
| 4.88%, 04/15/22# | 1,285,000 | | 44,975 |
| 5.75%, 03/15/23# | 125,000 | | 4,375 |
| 5.50%, 09/15/26 CONV # | 25,000 | | 1,000 |
| Cigna Corporation | | | |
| 2.40%, 03/15/30 | 310,000 | | 322,069 |
| 4.80%, 08/15/38 | 280,000 | | 355,462 |
| 3.20%, 03/15/40 | 150,000 | | 159,475 |
| Cincinnati Bell, Inc. | | | |
| 8.00%, 10/15/25 144A | 155,000 | | 162,346 |
| CIT Group, Inc. | | | |
| 5.25%, 03/07/25 | 540,000 | | 560,868 |
| Citigroup, Inc. | | | |
| 3.50%, 05/15/23 | 655,000 | | 698,165 |
| (Variable, ICE LIBOR USD 3M + 3.42%), 6.30%, 05/15/24ρ ^ | 690,000 | | 691,680 |
| (Variable, ICE LIBOR USD 3M + 3.91%), 5.95%, 05/15/25ρ ^ | 180,000 | | 179,071 |
| (Variable, ICE LIBOR USD 3M + 1.56%), 3.89%, 01/10/28^ | 485,000 | | 547,012 |
| (Variable, ICE LIBOR USD 3M + 1.15%), 3.52%, 10/27/28^ | 200,000 | | 220,553 |
| (Variable, U.S. SOFR + 1.42%), 2.98%, 11/05/30^ | 210,000 | | 223,667 |
| Clarios Global LP | | | |
| 4.38%, 05/15/26Δ | 441,000 | | 491,369 |
| CME Group, Inc. | | | |
| 5.30%, 09/15/43 | 620,000 | | 910,418 |
| Coca-Cola Co. (The) | | | |
| 4.20%, 03/25/50 | 700,000 | | 916,680 |
| Colfax Corporation | | | |
| 3.25%, 05/15/25 | 208,000 | | 232,880 |
| Comcast Corporation | | | |
| 3.15%, 03/01/26 | 720,000 | | 805,016 |
| | | Par | | Value |
| 3.40%, 04/01/30 | $ 130,000 | | $ 148,767 |
| 4.70%, 10/15/48 | 900,000 | | 1,212,524 |
| 4.95%, 10/15/58 | 210,000 | | 299,590 |
| Comstock Resources, Inc. | | | |
| 7.50%, 05/15/25 144A | 270,000 | | 246,713 |
| Concho Resources, Inc. | | | |
| 4.88%, 10/01/47 | 190,000 | | 213,776 |
| ConocoPhillips | | | |
| 6.50%, 02/01/39 | 10,000 | | 14,578 |
| Consolidated Edison Co. of New York, Inc. | | | |
| 3.95%, 04/01/50 | 105,000 | | 126,977 |
| Continental Airlines Pass-Through Trust, Series 2007-1, Class A | | | |
| 5.98%, 04/19/22 | 163,927 | | 155,389 |
| Continental Resources, Inc. | | | |
| 5.00%, 09/15/22 | 27,000 | | 26,565 |
| 4.50%, 04/15/23 | 265,000 | | 254,143 |
| 3.80%, 06/01/24 | 160,000 | | 150,030 |
| 4.90%, 06/01/44 | 270,000 | | 215,572 |
| CTR Partnership LP REIT | | | |
| 5.25%, 06/01/25 | 551,000 | | 558,518 |
| Cummins, Inc. | | | |
| 5.65%, 03/01/98 | 435,000 | | 515,749 |
| CVS Health Corporation | | | |
| 4.10%, 03/25/25 | 1,290,000 | | 1,459,837 |
| 4.13%, 04/01/40 | 105,000 | | 124,374 |
| 5.05%, 03/25/48 | 345,000 | | 452,655 |
| D.R. Horton, Inc. | | | |
| 4.38%, 09/15/22 | 705,000 | | 749,402 |
| DAE Funding LLC | | | |
| 4.50%, 08/01/22 144A | 8,000 | | 7,645 |
| DCP Midstream Operating LP | | | |
| 6.75%, 09/15/37 144A Δ | 500,000 | | 450,793 |
| Deere & Co. | | | |
| 3.75%, 04/15/50 | 580,000 | | 716,921 |
| Dell International LLC | | | |
| 4.42%, 06/15/21 144A | 440,000 | | 452,337 |
| 5.45%, 06/15/23 144A | 525,000 | | 574,476 |
| 7.13%, 06/15/24 144A | 270,000 | | 279,973 |
| 6.02%, 06/15/26 144A | 260,000 | | 298,303 |
| 8.10%, 07/15/36 144A | 225,000 | | 297,005 |
| 8.35%, 07/15/46 144A | 125,000 | | 166,930 |
| Delta Air Lines Pass-Through Trust, Series 2007-1, Class B | | | |
| 8.02%, 08/10/22 | 26,670 | | 25,082 |
| Delta Air Lines, Inc. | | | |
| 7.38%, 01/15/26 | 420,000 | | 406,760 |
| Diamondback Energy, Inc. | | | |
| 5.38%, 05/31/25 | 320,000 | | 329,620 |
| Dillard's, Inc. | | | |
| 7.75%, 07/15/26 | 450,000 | | 479,069 |
| Discovery Communications LLC | | | |
| 3.63%, 05/15/30 | 190,000 | | 208,058 |
| DISH DBS Corporation | | | |
| 5.00%, 03/15/23 | 490,000 | | 489,517 |
| 5.88%, 11/15/24 | 575,000 | | 573,111 |
See Notes to Financial Statements.
| | | Par | | Value |
| 7.75%, 07/01/26Δ | $1,545,000 | | $1,640,589 |
| DISH Network Corporation | | | |
| 2.38%, 03/15/24 CONV | 900,000 | | 808,737 |
| 3.38%, 08/15/26 CONV | 565,000 | | 520,430 |
| DTE Energy Co. | | | |
| 2.25%, 11/01/22 | 505,000 | | 521,747 |
| 3.40%, 06/15/29 | 445,000 | | 482,538 |
| Edison International | | | |
| 4.95%, 04/15/25 | 35,000 | | 38,419 |
| El Paso Natural Gas Co. LLC | | | |
| 8.63%, 01/15/22 | 60,000 | | 65,950 |
| 8.38%, 06/15/32 | 50,000 | | 66,910 |
| Enable Midstream Partners LP | | | |
| 5.00%, 05/15/44 | 130,000 | | 104,324 |
| Enbridge Energy Partners LP | | | |
| 7.38%, 10/15/45 | 90,000 | | 129,215 |
| Endeavor Energy Resources LP | | | |
| 5.75%, 01/30/28 144A | 230,000 | | 221,332 |
| Energy Transfer Operating LP | | | |
| 4.95%, 06/15/28 | 200,000 | | 214,917 |
| 6.25%, 04/15/49 | 250,000 | | 265,390 |
| Energy Transfer Partners LP | | | |
| 5.88%, 03/01/22 | 240,000 | | 253,345 |
| 5.00%, 10/01/22 | 60,000 | | 63,918 |
| EnLink Midstream Partners LP | | | |
| 4.15%, 06/01/25 | 235,000 | | 181,562 |
| Enterprise Products Operating LLC | | | |
| 4.25%, 02/15/48 | 300,000 | | 331,971 |
| EOG Resources, Inc. | | | |
| 4.38%, 04/15/30 | 100,000 | | 119,542 |
| Equitable Holdings, Inc. | | | |
| 5.00%, 04/20/48 | 300,000 | | 343,773 |
| ERAC USA Finance LLC | | | |
| 7.00%, 10/15/37 144A | 535,000 | | 686,482 |
| Essential Utilities, Inc. | | | |
| 3.35%, 04/15/50 | 150,000 | | 157,111 |
| Evergy, Inc. | | | |
| 2.90%, 09/15/29 | 400,000 | | 427,932 |
| Evolent Health, Inc. | | | |
| 2.00%, 12/01/21 CONV | 50,000 | | 43,781 |
| Exxon Mobil Corporation | | | |
| 4.33%, 03/19/50 | 370,000 | | 463,564 |
| 3.45%, 04/15/51 | 240,000 | | 267,077 |
| Fidelity & Guaranty Life Holdings, Inc. | | | |
| 5.50%, 05/01/25 144A | 430,000 | | 465,739 |
| Fidelity National Information Services, Inc. | | | |
| 1.00%, 12/03/28 | 635,000 | | 706,617 |
| FirstEnergy Corporation | | | |
| 7.38%, 11/15/31 | 630,000 | | 921,259 |
| Ford Motor Co. | | | |
| 6.63%, 10/01/28 | 430,000 | | 434,588 |
| 4.75%, 01/15/43 | 615,000 | | 487,231 |
| Ford Motor Credit Co. LLC | | | |
| 1.51%, 02/17/23 | 485,000 | | 513,111 |
| (Floating, 0.70% - Euribor 3M), 0.41%, 12/01/24† | 163,000 | | 154,535 |
| | | Par | | Value |
| 4.39%, 01/08/26 | $1,550,000 | | $1,478,065 |
| 2.39%, 02/17/26 | 366,000 | | 363,507 |
| Fox Corporation | | | |
| 5.58%, 01/25/49 | 860,000 | | 1,199,594 |
| Freeport-McMoRan, Inc. | | | |
| 5.45%, 03/15/43 | 210,000 | | 206,511 |
| Fresenius Medical Care US Finance II, Inc. | | | |
| 5.88%, 01/31/22 144A | 540,000 | | 573,405 |
| GE Capital Funding LLC | | | |
| 4.55%, 05/15/32 144A | 1,390,000 | | 1,437,077 |
| General Dynamics Corporation | | | |
| 4.25%, 04/01/40 | 190,000 | | 237,213 |
| 4.25%, 04/01/50 | 460,000 | | 598,065 |
| General Electric Co. | | | |
| 3.15%, 09/07/22 | 70,000 | | 73,337 |
| 6.75%, 03/15/32 | 20,000 | | 24,352 |
| 5.88%, 01/14/38 | 300,000 | | 338,990 |
| 6.88%, 01/10/39 | 120,000 | | 147,583 |
| 4.25%, 05/01/40 | 170,000 | | 169,501 |
| 4.50%, 03/11/44 | 70,000 | | 70,104 |
| 4.35%, 05/01/50 | 380,000 | | 376,445 |
| General Motors Co. | | | |
| 5.40%, 10/02/23 | 360,000 | | 389,543 |
| 6.13%, 10/01/25 | 380,000 | | 427,478 |
| 6.25%, 10/02/43 | 85,000 | | 90,440 |
| 5.20%, 04/01/45 | 265,000 | | 257,024 |
| General Motors Financial Co., Inc. | | | |
| (Floating, 0.68% - Euribor 3M), 0.42%, 05/10/21† | 218,000 | | 240,827 |
| 3.45%, 04/10/22 | 155,000 | | 158,084 |
| 0.96%, 09/07/23 | 415,000 | | 446,774 |
| 5.10%, 01/17/24 | 150,000 | | 160,436 |
| 5.25%, 03/01/26 | 315,000 | | 343,542 |
| 3.60%, 06/21/30 | 810,000 | | 789,979 |
| GEO Group, Inc. (The) REIT | | | |
| 5.88%, 10/15/24Δ | 290,000 | | 228,910 |
| Georgia-Pacific LLC | | | |
| 8.88%, 05/15/31 | 305,000 | | 489,121 |
| Gilead Sciences, Inc. | | | |
| 4.00%, 09/01/36 | 670,000 | | 838,596 |
| Global Marine, Inc. | | | |
| 7.00%, 06/01/28 | 25,000 | | 11,578 |
| Goldman Sachs Capital II | | | |
| (Variable, ICE LIBOR USD 3M + 0.77%), 4.00%, 08/03/20† ρ | 40,000 | | 33,730 |
| Goldman Sachs Group, Inc. (The) | | | |
| (Variable, ICE LIBOR USD 3M + 1.51%), 3.69%, 06/05/28^ | 325,000 | | 364,293 |
| (Variable, ICE LIBOR USD 3M + 1.16%), 3.81%, 04/23/29^ | 340,000 | | 384,617 |
| 6.75%, 10/01/37 | 180,000 | | 262,357 |
| 5.15%, 05/22/45 | 810,000 | | 1,069,687 |
| Goodyear Tire & Rubber Co. (The) | | | |
| 4.88%, 03/15/27 | 420,000 | | 386,558 |
| 7.00%, 03/15/28 | 350,000 | | 348,859 |
| Hanesbrands, Inc. | | | |
| 4.63%, 05/15/24 144A | 110,000 | | 109,737 |
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (Continued)
| | | Par | | Value |
| 4.88%, 05/15/26 144A Δ | $560,000 | | $565,496 |
| HCA, Inc. | | | |
| 5.00%, 03/15/24 | 40,000 | | 44,483 |
| 5.38%, 02/01/25 | 20,000 | | 21,481 |
| 5.25%, 06/15/26 | 360,000 | | 416,417 |
| 5.38%, 09/01/26 | 28,000 | | 30,554 |
| 4.50%, 02/15/27 | 320,000 | | 357,080 |
| 7.05%, 12/01/27 | 15,000 | | 16,823 |
| 3.50%, 09/01/30 | 250,000 | | 241,098 |
| 7.50%, 11/06/33 | 105,000 | | 127,949 |
| 7.75%, 07/15/36 | 65,000 | | 76,700 |
| 5.25%, 06/15/49 | 295,000 | | 354,275 |
| Healthcare Trust of America Holdings LP REIT | | | |
| 3.10%, 02/15/30 | 275,000 | | 277,906 |
| Hercules LLC | | | |
| 6.50%, 06/30/29 | 130,000 | | 128,050 |
| Hilton Worldwide Finance LLC | | | |
| 4.63%, 04/01/25 | 180,000 | | 176,644 |
| 4.88%, 04/01/27 | 520,000 | | 508,854 |
| Home Depot, Inc. (The) | | | |
| 3.30%, 04/15/40 | 150,000 | | 169,004 |
| 3.35%, 04/15/50 | 560,000 | | 642,937 |
| Intel Corporation | | | |
| 4.75%, 03/25/50 | 560,000 | | 793,035 |
| 4.95%, 03/25/60 | 160,000 | | 236,263 |
| International Business Machines Corporation | | | |
| 4.25%, 05/15/49 | 160,000 | | 204,083 |
| International Lease Finance Corporation | | | |
| 4.63%, 04/15/21 | 155,000 | | 156,674 |
| IQVIA, Inc. | | | |
| 2.25%, 01/15/28 | 800,000 | | 865,685 |
| iStar, Inc. REIT | | | |
| 3.13%, 09/15/22 CONV | 220,000 | | 236,363 |
| J.C. Penney Corporation, Inc. | | | |
| 6.38%, 10/15/36# | 240,000 | | 2,400 |
| 7.63%, 03/01/97# | 405,000 | | 8,100 |
| Jefferies Group LLC | | | |
| 5.13%, 01/20/23 | 155,000 | | 168,331 |
| 6.45%, 06/08/27 | 20,000 | | 23,483 |
| 6.25%, 01/15/36 | 570,000 | | 653,714 |
| 6.50%, 01/20/43 | 260,000 | | 302,914 |
| JELD-WEN, Inc. | | | |
| 4.88%, 12/15/27 144A Δ | 380,000 | | 366,153 |
| JPMorgan Chase & Co. | | | |
| (Variable, ICE LIBOR USD 3M + 3.33%), 6.13%, 04/30/24ρ ^ | 190,000 | | 194,292 |
| (Variable, Euribor 3M + 0.84%), 1.64%, 05/18/28^ | 250,000 | | 297,161 |
| (Variable, U.S. SOFR + 3.79%), 4.49%, 03/24/31^ | 105,000 | | 128,262 |
| (Variable, U.S. SOFR + 2.04%), 2.52%, 04/22/31^ | 210,000 | | 222,266 |
| (Variable, U.S. SOFR + 2.52%), 2.96%, 05/13/31^ | 285,000 | | 302,916 |
| (Variable, U.S. SOFR + 2.46%), 3.11%, 04/22/41^ | 250,000 | | 271,037 |
| | | Par | | Value |
| (Variable, U.S. SOFR + 2.44%), 3.11%, 04/22/51^ | $ 460,000 | | $ 497,763 |
| Kinder Morgan Energy Partners LP | | | |
| 4.15%, 02/01/24 | 375,000 | | 407,021 |
| 6.50%, 02/01/37 | 40,000 | | 50,211 |
| 6.95%, 01/15/38 | 50,000 | | 67,158 |
| Kinder Morgan, Inc. | | | |
| 4.30%, 03/01/28 | 95,000 | | 107,803 |
| 7.75%, 01/15/32 | 560,000 | | 783,665 |
| 5.55%, 06/01/45 | 400,000 | | 488,984 |
| Kraft Heinz Foods Co. | | | |
| 3.75%, 04/01/30 144A | 350,000 | | 361,687 |
| 4.38%, 06/01/46 | 515,000 | | 507,070 |
| 4.88%, 10/01/49 144A | 385,000 | | 392,661 |
| Kroger Co. (The) | | | |
| 5.40%, 01/15/49 | 75,000 | | 105,274 |
| L3Harris Technologies, Inc. | | | |
| 5.05%, 04/27/45 | 620,000 | | 817,071 |
| Lamb Weston Holdings, Inc. | | | |
| 4.88%, 11/01/26 144A | 1,020,000 | | 1,058,061 |
| Lennar Corporation | | | |
| 4.75%, 11/29/27 | 720,000 | | 782,784 |
| LifePoint Health, Inc. | | | |
| 4.38%, 02/15/27 144A | 230,000 | | 217,925 |
| Lions Gate Capital Holdings LLC | | | |
| 5.88%, 11/01/24 144A | 360,000 | | 345,112 |
| Lockheed Martin Corporation | | | |
| 3.80%, 03/01/45 | 780,000 | | 948,712 |
| Lowe's Cos., Inc. | | | |
| 5.00%, 04/15/40 | 230,000 | | 300,890 |
| 5.13%, 04/15/50 | 100,000 | | 137,066 |
| Marathon Oil Corporation | | | |
| 4.40%, 07/15/27 | 340,000 | | 334,714 |
| Marathon Petroleum Corporation | | | |
| 4.70%, 05/01/25 | 380,000 | | 425,852 |
| Masco Corporation | | | |
| 7.75%, 08/01/29 | 62,000 | | 79,615 |
| 6.50%, 08/15/32 | 27,000 | | 32,881 |
| Mastercard, Inc. | | | |
| 3.85%, 03/26/50 | 850,000 | | 1,062,398 |
| Match Group, Inc. | | | |
| 5.00%, 12/15/27 144A | 560,000 | | 584,702 |
| Mauser Packaging Solutions Holding Co. | | | |
| 4.75%, 04/15/24 | 1,085,000 | | 1,191,103 |
| MBIA Insurance Corporation | | | |
| 12.48%, 01/15/33 144A | 215,000 | | 88,150 |
| McDonald’s Corporation | | | |
| 3.60%, 07/01/30 | 155,000 | | 178,691 |
| 3.63%, 09/01/49 | 50,000 | | 55,114 |
| 4.20%, 04/01/50 | 490,000 | | 596,780 |
| Michaels Stores, Inc. | | | |
| 8.00%, 07/15/27 144A Δ | 70,000 | | 61,018 |
| Microchip Technology, Inc. | | | |
| 4.33%, 06/01/23 | 375,000 | | 404,861 |
| 1.63%, 02/15/25 CONV | 145,000 | | 323,815 |
See Notes to Financial Statements.
| | | Par | | Value |
| Mileage Plus Holdings LLC | | | |
| 6.50%, 06/20/27 144A | $ 375,000 | | $ 376,875 |
| MMS USA Investments, Inc. | | | |
| 1.75%, 06/13/31 | 600,000 | | 645,781 |
| Morgan Stanley | | | |
| 5.75%, 01/25/21 | 105,000 | | 108,148 |
| 3.13%, 08/05/21 | 535,000 | | 402,696 |
| 4.10%, 05/22/23 | 190,000 | | 205,421 |
| 6.25%, 08/09/26 | 205,000 | | 262,564 |
| 4.35%, 09/08/26 | 475,000 | | 548,165 |
| 3.95%, 04/23/27 | 65,000 | | 73,222 |
| (Variable, ICE LIBOR USD 3M + 1.34%), 3.59%, 07/22/28^ | 625,000 | | 703,685 |
| (Variable, U.S. SOFR + 3.12%), 3.62%, 04/01/31^ | 105,000 | | 120,200 |
| (Variable, U.S. SOFR + 4.84%), 5.60%, 03/24/51^ | 120,000 | | 183,361 |
| MPLX LP | | | |
| 4.50%, 07/15/23 | 15,000 | | 16,132 |
| 6.38%, 05/01/24 | 140,000 | | 144,582 |
| 4.88%, 06/01/25 | 40,000 | | 44,698 |
| 4.70%, 04/15/48 | 350,000 | | 353,851 |
| MPT Operating Partnership LP REIT | | | |
| 2.55%, 12/05/23 | 350,000 | | 433,052 |
| 5.00%, 10/15/27 | 1,000,000 | | 1,030,655 |
| 4.63%, 08/01/29 | 240,000 | | 241,613 |
| Mutual of Omaha Insurance Co. | | | |
| 6.80%, 06/15/36 144A | 605,000 | | 771,033 |
| Mylan, Inc. | | | |
| 4.55%, 04/15/28 | 225,000 | | 258,678 |
| Nationstar Mortgage Holdings, Inc. | | | |
| 9.13%, 07/15/26 144A | 210,000 | | 222,271 |
| Nationwide Mutual Insurance Co. | | | |
| 4.35%, 04/30/50 144A | 940,000 | | 1,005,083 |
| Navient Corporation | | | |
| 5.50%, 01/25/23 | 865,000 | | 832,022 |
| 6.13%, 03/25/24 | 750,000 | | 714,836 |
| 5.88%, 10/25/24 | 70,000 | | 65,975 |
| 6.75%, 06/15/26 | 190,000 | | 176,190 |
| 5.00%, 03/15/27 | 5,000 | | 4,211 |
| 5.63%, 08/01/33 | 20,000 | | 15,458 |
| Netflix, Inc. | | | |
| 3.63%, 05/15/27 | 417,000 | | 489,118 |
| Newell Brands, Inc. | | | |
| 4.35%, 04/01/23 | 320,000 | | 331,136 |
| Newfield Exploration Co. | | | |
| 5.63%, 07/01/24 | 480,000 | | 459,065 |
| Newmont Corporation | | | |
| 4.88%, 03/15/42 | 290,000 | | 374,807 |
| NGL Energy Partners LP | | | |
| 7.50%, 11/01/23 | 165,000 | | 137,464 |
| 6.13%, 03/01/25 | 375,000 | | 284,492 |
| NGPL PipeCo LLC | | | |
| 4.38%, 08/15/22 144A | 430,000 | | 443,813 |
| 7.77%, 12/15/37 144A | 200,000 | | 244,729 |
| NIKE, Inc. | | | |
| 3.38%, 03/27/50 | 120,000 | | 139,116 |
| | | Par | | Value |
| Noble Holding International, Ltd. | | | |
| 7.88%, 02/01/26 144A | $ 105,000 | | $ 27,674 |
| NRG Energy, Inc. | | | |
| 7.25%, 05/15/26 | 160,000 | | 169,170 |
| Nuance Communications, Inc. | | | |
| 1.25%, 04/01/25 CONV | 70,000 | | 97,948 |
| 1.00%, 12/15/35 CONV | 695,000 | | 822,528 |
| NVIDIA Corporation | | | |
| 3.50%, 04/01/50 | 920,000 | | 1,057,195 |
| 3.70%, 04/01/60 | 280,000 | | 334,690 |
| Oasis Petroleum, Inc. | | | |
| 6.88%, 01/15/23Δ | 50,000 | | 8,500 |
| Occidental Petroleum Corporation | | | |
| 3.20%, 08/15/26 | 375,000 | | 306,328 |
| 3.50%, 08/15/29 | 665,000 | | 487,578 |
| 4.50%, 07/15/44 | 215,000 | | 149,291 |
| Old Republic International Corporation | | | |
| 4.88%, 10/01/24 | 265,000 | | 286,924 |
| ON Semiconductor Corporation | | | |
| 1.00%, 12/01/20 CONV | 325,000 | | 379,408 |
| ONEOK Partners LP | | | |
| 4.90%, 03/15/25 | 35,000 | | 38,020 |
| 6.20%, 09/15/43 | 15,000 | | 16,143 |
| Open Text Holdings, Inc. | | | |
| 4.13%, 02/15/30 144A | 300,000 | | 295,454 |
| Oracle Corporation | | | |
| 4.00%, 07/15/46 | 85,000 | | 100,607 |
| 3.60%, 04/01/50 | 220,000 | | 245,983 |
| 3.85%, 04/01/60 | 115,000 | | 135,338 |
| Owens Corning | | | |
| 7.00%, 12/01/36 | 523,000 | | 669,681 |
| Owens-Brockway Glass Container, Inc. | | | |
| 5.38%, 01/15/25 144A | 755,000 | | 765,302 |
| Penn Mutual Life Insurance Co. (The) | | | |
| 7.63%, 06/15/40 144A | 345,000 | | 498,539 |
| Penske Truck Leasing Co. LP | | | |
| 4.00%, 07/15/25 144A | 290,000 | | 317,405 |
| PepsiCo, Inc. | | | |
| 3.63%, 03/19/50 | 190,000 | | 229,341 |
| Plains All American Pipeline LP | | | |
| 4.65%, 10/15/25 | 110,000 | | 117,564 |
| 3.55%, 12/15/29 | 1,030,000 | | 1,005,479 |
| Prime Security Services Borrower LLC | | | |
| 5.25%, 04/15/24 144A | 610,000 | | 625,314 |
| Procter & Gamble Co. (The) | | | |
| 3.00%, 03/25/30 | 80,000 | | 91,708 |
| 3.55%, 03/25/40 | 170,000 | | 204,842 |
| 3.60%, 03/25/50 | 170,000 | | 214,246 |
| Prudential Financial, Inc. | | | |
| 3.70%, 03/13/51 | 225,000 | | 247,188 |
| PulteGroup, Inc. | | | |
| 6.00%, 02/15/35 | 95,000 | | 109,829 |
| QEP Resources, Inc. | | | |
| 5.38%, 10/01/22 | 160,000 | | 122,162 |
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (Continued)
| | | Par | | Value |
| 5.25%, 05/01/23 | $755,000 | | $ 500,659 |
| Quicken Loans LLC | | | |
| 5.75%, 05/01/25 144A | 835,000 | | 855,787 |
| 5.25%, 01/15/28 144A | 90,000 | | 93,131 |
| Radian Group, Inc. | | | |
| 4.50%, 10/01/24 | 75,000 | | 72,648 |
| 4.88%, 03/15/27 | 45,000 | | 42,432 |
| Radiology Partners, Inc. | | | |
| 9.25%, 02/01/28 144A Δ | 440,000 | | 415,800 |
| Range Resources Corporation | | | |
| 5.00%, 08/15/22 | 265,000 | | 241,978 |
| 5.00%, 03/15/23 | 795,000 | | 686,176 |
| 4.88%, 05/15/25Δ | 120,000 | | 90,975 |
| Reliance Holding USA, Inc. | | | |
| 4.50%, 10/19/20 144A | 540,000 | | 544,328 |
| Seagate HDD Cayman | | | |
| 4.88%, 06/01/27 | 63,000 | | 68,423 |
| 4.09%, 06/01/29 144A | 68,057 | | 71,472 |
| Sensata Technologies, Inc. | | | |
| 4.38%, 02/15/30 144A | 720,000 | | 714,622 |
| Service Properties Trust REIT | | | |
| 4.50%, 06/15/23 | 20,000 | | 19,156 |
| 4.65%, 03/15/24Δ | 15,000 | | 13,565 |
| 4.35%, 10/01/24 | 80,000 | | 72,145 |
| 4.75%, 10/01/26 | 10,000 | | 8,854 |
| 4.95%, 02/15/27 | 40,000 | | 35,133 |
| 3.95%, 01/15/28 | 10,000 | | 8,065 |
| ServiceMaster Co. LLC (The) | | | |
| 7.45%, 08/15/27 | 600,000 | | 651,456 |
| SM Energy Co. | | | |
| 1.50%, 07/01/21 CONV | 120,000 | | 111,947 |
| 5.00%, 01/15/24 | 25,000 | | 13,591 |
| 6.75%, 09/15/26 | 40,000 | | 20,258 |
| 6.63%, 01/15/27 | 135,000 | | 66,542 |
| Southern Copper Corporation | | | |
| 5.25%, 11/08/42 | 870,000 | | 1,033,889 |
| Southwestern Energy Co. | | | |
| 6.20%, 01/23/25 | 145,000 | | 124,607 |
| Spectrum Brands, Inc. | | | |
| 5.75%, 07/15/25 | 570,000 | | 586,749 |
| 5.00%, 10/01/29 144A | 90,000 | | 89,195 |
| Springleaf Finance Corporation | | | |
| 6.13%, 05/15/22 | 585,000 | | 597,580 |
| 8.25%, 10/01/23 | 30,000 | | 32,209 |
| 6.88%, 03/15/25 | 265,000 | | 272,487 |
| Sprint Capital Corporation | | | |
| 8.75%, 03/15/32 | 550,000 | | 787,738 |
| Sprint Corporation | | | |
| 7.88%, 09/15/23 | 490,000 | | 552,473 |
| Standard Industries, Inc. | | | |
| 2.25%, 11/21/26 | 500,000 | | 532,255 |
| Synchrony Financial | | | |
| 2.85%, 07/25/22 | 640,000 | | 651,184 |
| Targa Resources Partners LP | | | |
| 6.75%, 03/15/24 | 530,000 | | 530,326 |
| 5.13%, 02/01/25Δ | 40,000 | | 38,625 |
| 5.88%, 04/15/26 | 620,000 | | 615,251 |
| | | Par | | Value |
| 5.38%, 02/01/27 | $ 40,000 | | $ 38,693 |
| 5.50%, 03/01/30 144A | 280,000 | | 270,637 |
| Tenet Healthcare Corporation | | | |
| 6.75%, 06/15/23 | 145,000 | | 144,058 |
| 5.13%, 05/01/25 | 410,000 | | 396,146 |
| 6.88%, 11/15/31 | 160,000 | | 142,170 |
| Tenneco, Inc. | | | |
| 4.88%, 04/15/22 | 400,000 | | 428,871 |
| Texas Instruments, Inc. | | | |
| 1.75%, 05/04/30 | 140,000 | | 142,449 |
| Time Warner Cable LLC | | | |
| 5.50%, 09/01/41 | 35,000 | | 42,354 |
| 4.50%, 09/15/42 | 55,000 | | 58,641 |
| T-Mobile USA, Inc. | | | |
| 3.88%, 04/15/30 144A | 420,000 | | 468,231 |
| 4.38%, 04/15/40 144A | 100,000 | | 116,110 |
| 4.50%, 04/15/50 144A | 360,000 | | 429,383 |
| Transcontinental Gas Pipe Line Co. LLC | | | |
| 3.25%, 05/15/30 144A | 320,000 | | 342,446 |
| TransDigm, Inc. | | | |
| 6.50%, 07/15/24 | 104,000 | | 99,569 |
| 6.50%, 05/15/25 | 100,000 | | 93,770 |
| Transocean Proteus, Ltd. | | | |
| 6.25%, 12/01/24 144A | 520,000 | | 481,000 |
| Transocean, Inc. | | | |
| 5.80%, 10/15/22Δ | 220,000 | | 119,900 |
| 7.50%, 04/15/31 | 30,000 | | 8,850 |
| 6.80%, 03/15/38Δ | 215,000 | | 65,025 |
| UAL Pass-Through Trust, Series 2007-1 | | | |
| 6.64%, 07/02/22 | 60,289 | | 52,194 |
| UGI International LLC | | | |
| 3.25%, 11/01/25 | 228,000 | | 253,596 |
| United Airlines Pass-Through Trust, Series 2014-1, Class A | | | |
| 4.00%, 04/11/26 | 90,474 | | 83,217 |
| United Airlines Pass-Through Trust, Series 2014-2, Class B | | | |
| 4.63%, 09/03/22 | 52,279 | | 46,142 |
| United Airlines Pass-Through Trust, Series 2016-2, Class B | | | |
| 3.65%, 10/07/25 | 78,588 | | 58,454 |
| United Rentals North America, Inc. | | | |
| 4.63%, 10/15/25 | 110,000 | | 110,767 |
| 6.50%, 12/15/26 | 110,000 | | 115,709 |
| 4.88%, 01/15/28 | 50,000 | | 51,328 |
| 5.25%, 01/15/30 | 410,000 | | 424,274 |
| United States Steel Corporation | | | |
| 6.65%, 06/01/37 | 280,000 | | 183,203 |
| UnitedHealth Group, Inc. | | | |
| 4.25%, 06/15/48 | 70,000 | | 89,635 |
| 4.45%, 12/15/48 | 30,000 | | 39,383 |
| US Airways Pass-Through Trust, Series 2012-1, Class A | | | |
| 5.90%, 10/01/24 | 90,969 | | 83,857 |
See Notes to Financial Statements.
| | | Par | | Value |
| US Airways Pass-Through Trust, Series 2012-2, Class A | | | |
| 4.63%, 06/03/25 | $ 75,353 | | $ 63,989 |
| Verizon Communications, Inc. | | | |
| 4.00%, 03/22/50 | 610,000 | | 783,893 |
| ViacomCBS, Inc. | | | |
| 4.95%, 05/19/50 | 815,000 | | 911,457 |
| Viking Cruises, Ltd. | | | |
| 5.88%, 09/15/27 144A | 90,000 | | 53,792 |
| Vine Oil & Gas LP | | | |
| 9.75%, 04/15/23 144A | 30,000 | | 18,450 |
| Visa, Inc. | | | |
| 2.05%, 04/15/30 | 140,000 | | 147,018 |
| 2.70%, 04/15/40 | 720,000 | | 772,767 |
| VOC Escrow, Ltd. | | | |
| 5.00%, 02/15/28 144A | 280,000 | | 208,548 |
| Volkswagen Group of America Finance LLC | | | |
| 3.35%, 05/13/25 144A | 625,000 | | 667,774 |
| Walt Disney Co. (The) | | | |
| 4.70%, 03/23/50 | 295,000 | | 381,977 |
| Wells Fargo & Co. | | | |
| 4.48%, 01/16/24 | 90,000 | | 99,978 |
| (Variable, ICE LIBOR USD 3M + 3.99%), 5.88%, 06/15/25ρ ^ | 170,000 | | 177,030 |
| 1.00%, 02/02/27 | 400,000 | | 453,518 |
| (Variable, ICE LIBOR USD 3M + 1.00%), 2.57%, 02/11/31^ | 455,000 | | 476,697 |
| (Variable, U.S. SOFR + 2.53%), 3.07%, 04/30/41^ | 220,000 | | 230,338 |
| (Variable, ICE LIBOR USD 3M + 4.24%), 5.01%, 04/04/51^ | 665,000 | | 927,102 |
| Western Digital Corporation | | | |
| 1.50%, 02/01/24 CONV | 170,000 | | 160,656 |
| WestRock MWV LLC | | | |
| 8.20%, 01/15/30 | 75,000 | | 106,191 |
| 7.95%, 02/15/31 | 25,000 | | 35,618 |
| Weyerhaeuser Co. REIT | | | |
| 8.50%, 01/15/25 | 205,000 | | 259,340 |
| 6.95%, 10/01/27 | 30,000 | | 36,342 |
| 7.38%, 03/15/32 | 190,000 | | 263,162 |
| 6.88%, 12/15/33 | 250,000 | | 329,253 |
| Whirlpool Corporation | | | |
| 4.60%, 05/15/50 | 280,000 | | 320,128 |
| Whiting Petroleum Corporation | | | |
| 5.75%, 03/15/21# | 215,000 | | 41,656 |
| 6.25%, 04/01/23# | 370,000 | | 65,444 |
| 6.63%, 01/15/26# | 165,000 | | 29,580 |
| Williams Cos., Inc. (The) | | | |
| 7.50%, 01/15/31 | 40,000 | | 51,282 |
| 5.75%, 06/24/44 | 320,000 | | 371,107 |
| WMG Acquisition Corporation | | | |
| 3.63%, 10/15/26 | 635,000 | | 738,952 |
| WPX Energy, Inc. | | | |
| 4.50%, 01/15/30 | 590,000 | | 520,348 |
| | | Par | | Value |
| XPO Logistics, Inc. | | | |
| 6.50%, 06/15/22 144A | $ 10,000 | | $ 10,035 |
| 6.13%, 09/01/23 144A | 350,000 | | 355,287 |
Total Corporate Bonds
(Cost $141,787,032) | | | 147,101,791 |
| FOREIGN BONDS — 37.4% |
| Angola — 0.1% | | |
| Angolan Government International Bond | | | |
| 9.50%, 11/12/25Δ | 200,000 | | 180,919 |
| 9.38%, 05/08/48 | 200,000 | | 163,572 |
| | | | | 344,491 |
| Argentina — 0.4% | | |
| Argentine Bonos del Tesoro | | | |
| 18.20%, 10/03/21(ZA) | 65,390,000 | | 761,486 |
| Argentine Republic Government International Bond | | | |
| 6.88%, 04/22/21 | 310,000 | | 129,774 |
| 7.50%, 04/22/26 | 610,000 | | 248,081 |
| 5.88%, 01/11/28 | 930,000 | | 372,521 |
| 7.63%, 04/22/46 | 680,000 | | 266,087 |
| Bonos del Tesoro Nacional en Pesos Badlar | | | |
| (Floating, Argentina Deposit Rates Badlar Private Banks 30-35 Days + 2.00%), 31.59%, 04/03/22(ZA) † | 22,940,000 | | 333,318 |
| Provincia de Buenos Aires | | | |
| 7.88%, 06/15/27 144A | 560,000 | | 233,806 |
| YPF SA | | | |
| 16.50%, 05/09/22(ZA) | 450,000 | | 4,279 |
| | | | | 2,349,352 |
| Armenia — 0.0% | | |
| Republic of Armenia International Bond | | | |
| 3.95%, 09/26/29 | 200,000 | | 193,986 |
| Australia — 0.2% | | |
| Westfield America Management, Ltd. REIT | | | |
| 2.63%, 03/30/29(U) | 730,000 | | 882,041 |
| Austria — 0.2% | | |
| Suzano Austria GmbH | | | |
| 5.75%, 07/14/26 144A | 370,000 | | 405,542 |
| 5.00%, 01/15/30 | 730,000 | | 740,629 |
| | | | | 1,146,171 |
| Azerbaijan — 0.2% | | |
| Southern Gas Corridor CJSC | | | |
| 6.88%, 03/24/26 | 510,000 | | 587,840 |
| State Oil Co. of the Azerbaijan Republic | | | |
| 4.75%, 03/13/23 | 400,000 | | 417,281 |
| | | | | 1,005,121 |
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (Continued)
| | | Par | | Value |
| Belgium — 0.2% | | |
| Elia Transmission Belgium SA | | | |
| 0.88%, 04/28/30(E) | $ 500,000 | | $ 574,535 |
| House of Finance NV (The) | | | |
| 4.38%, 07/15/26(E) | 250,000 | | 247,827 |
| Solvay SA | | | |
| (Variable, EUR Swap Rate 5Y + 3.92%), 4.25%, 12/04/23(E) ρ ^ | 200,000 | | 232,446 |
| | | | | 1,054,808 |
| Bermuda — 0.1% | | |
| Bermuda Government International Bond | | | |
| 3.72%, 01/25/27 | 200,000 | | 214,000 |
| 4.75%, 02/15/29Δ | 200,000 | | 225,912 |
| | | | | 439,912 |
| Brazil — 1.0% | | |
| Brazil Minas SPE via State of Minas Gerais | | | |
| 5.33%, 02/15/28 | 160,000 | | 161,571 |
| Brazil Notas do Tesouro Nacional Serie F | | | |
| 10.00%, 01/01/23(B) | 12,283,000 | | 2,568,360 |
| 10.00%, 01/01/27(B) | 927,000 | | 201,341 |
| Brazilian Government International Bond | | | |
| 10.25%, 01/10/28(B) | 2,630,000 | | 571,886 |
| 5.63%, 01/07/41 | 100,000 | | 104,500 |
| CSN Resources SA | | | |
| 7.63%, 04/17/26Δ | 200,000 | | 174,250 |
| Itau Unibanco Holding SA | | | |
| (Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 3.98%), 6.13%, 12/12/22 144A ρ ^ | 760,000 | | 709,175 |
| Ultrapar International SA | | | |
| 5.25%, 10/06/26 144A Δ | 420,000 | | 435,150 |
| Vale Overseas, Ltd. | | | |
| 6.88%, 11/21/36 | 200,000 | | 262,159 |
| Vale SA | | | |
| 3.75%, 01/10/23(E) | 750,000 | | 873,603 |
| | | | | 6,061,995 |
| Canada — 1.6% | | |
| 1011778 BC ULC | | | |
| 5.00%, 10/15/25 144A | 20,000 | | 19,916 |
| 3.88%, 01/15/28 144A | 720,000 | | 699,739 |
| Bausch Health Cos., Inc. | | | |
| 9.00%, 12/15/25 144A | 40,000 | | 43,136 |
| Baytex Energy Corporation | | | |
| 5.63%, 06/01/24 144A | 60,000 | | 36,819 |
| Bombardier, Inc. | | | |
| 6.00%, 10/15/22 144A | 605,000 | | 428,007 |
| 7.88%, 04/15/27 144A Δ | 230,000 | | 151,038 |
| Canadian Government Bond | | | |
| 1.00%, 06/01/27(C) | 5,000,000 | | 3,832,462 |
| | | Par | | Value |
| Canadian Natural Resources, Ltd. | | | |
| 4.95%, 06/01/47 | $ 115,000 | | $ 127,335 |
| First Quantum Minerals, Ltd. | | | |
| 7.50%, 04/01/25 144A | 350,000 | | 335,690 |
| 6.88%, 03/01/26 144A Δ | 300,000 | | 284,945 |
| Glencore Finance Canada, Ltd. | | | |
| 6.00%, 11/15/41 | 340,000 | | 382,338 |
| MEG Energy Corporation | | | |
| 7.00%, 03/31/24 144A Δ | 172,000 | | 147,938 |
| 7.13%, 02/01/27 144A | 1,310,000 | | 1,092,213 |
| Open Text Corporation | | | |
| 3.88%, 02/15/28 144A | 190,000 | | 183,261 |
| Province of Ontario Generic Residual STRIP | | | |
| 2.97%, 07/13/22(C) Ω | 1,300,000 | | 945,200 |
| 2.91%, 03/08/29(C) Ω | 1,200,000 | | 781,874 |
| | | | | 9,491,911 |
| Chile — 0.0% | | |
| Corporation Nacional del Cobre de Chile | | | |
| 3.63%, 08/01/27 144A | 220,000 | | 235,956 |
| China — 0.4% | | |
| China Minmetals Corporation | | | |
| (Variable, 4.72% - U.S. Treasury Yield Curve Rate CMT 5Y), 3.75%, 11/13/22ρ ^ | 250,000 | | 252,487 |
| Chinalco Capital Holdings, Ltd. | | | |
| (Variable, 5.79% - U.S. Treasury Yield Curve Rate CMT 5Y), 4.10%, 09/11/24ρ ^ | 200,000 | | 201,970 |
| Dianjian International Finance, Ltd. | | | |
| (Variable, 6.93% - U.S. Treasury Yield Curve Rate CMT 5Y), 4.60%, 03/13/23ρ ^ | 200,000 | | 204,500 |
| Huarong Finance 2017 Co., Ltd. | | | |
| (Variable, 7.77% - U.S. Treasury Yield Curve Rate CMT 5Y), 4.50%, 01/24/22ρ ^ | 200,000 | | 201,495 |
| Park Aerospace Holdings, Ltd. | | | |
| 5.25%, 08/15/22 144A | 220,000 | | 206,609 |
| 4.50%, 03/15/23 144A | 190,000 | | 173,443 |
| 5.50%, 02/15/24 144A | 830,000 | | 759,922 |
| Sinopec Group Overseas Development 2015, Ltd. | | | |
| 3.25%, 04/28/25 | 250,000 | | 269,822 |
| | | | | 2,270,248 |
| Colombia — 0.9% | | |
| Colombia Government International Bond | | | |
| 4.50%, 03/15/29 | 300,000 | | 330,618 |
| 3.00%, 01/30/30 | 215,000 | | 213,363 |
| 5.63%, 02/26/44 | 3,170,000 | | 3,817,615 |
| 5.00%, 06/15/45 | 200,000 | | 227,359 |
| Colombian TES | | | |
| 10.00%, 07/24/24(X) | 23,100,000 | | 7,573 |
See Notes to Financial Statements.
| | | Par | | Value |
| Ecopetrol SA | | | |
| 5.88%, 09/18/23Δ | $140,000 | | $ 150,310 |
| Millicom International Cellular SA | | | |
| 5.13%, 01/15/28 144A | 600,000 | | 605,256 |
| | | | | 5,352,094 |
| Costa Rica — 0.1% | | |
| Costa Rica Government International Bond | | | |
| 7.16%, 03/12/45Δ | 340,000 | | 285,175 |
| Croatia — 0.1% | | |
| Croatia Government International Bond | | | |
| 1.13%, 06/19/29(E) | 200,000 | | 223,234 |
| 1.50%, 06/17/31(E) | 200,000 | | 225,163 |
| | | | | 448,397 |
| Denmark — 0.2% | | |
| DKT Finance ApS | | | |
| 7.00%, 06/17/23(E) | 530,000 | | 594,493 |
| Orsted A/S | | | |
| (Variable, EUR Swap Rate 5Y + 4.75%), 6.25%, 06/26/13(E) α ^ | 315,000 | | 402,672 |
| | | | | 997,165 |
| Dominican Republic — 0.1% | | |
| Dominican Republic International Bond | | | |
| 6.00%, 07/19/28 | 150,000 | | 151,434 |
| 6.85%, 01/27/45Δ | 220,000 | | 211,970 |
| | | | | 363,404 |
| Ecuador — 0.0% | | |
| Ecuador Government International Bond | | | |
| 8.88%, 10/23/27 | 260,000 | | 110,175 |
| Egypt — 0.2% | | |
| Egypt Government International Bond | | | |
| 7.60%, 03/01/29 | 600,000 | | 613,170 |
| 6.38%, 04/11/31(E) | 350,000 | | 365,206 |
| 7.90%, 02/21/48 | 200,000 | | 185,621 |
| | | | | 1,163,997 |
| El Salvador — 0.0% | | |
| El Salvador Government International Bond | | | |
| 7.12%, 01/20/50 | 150,000 | | 122,775 |
| France — 2.3% | | |
| 3AB Optique Developpement SAS | | | |
| 4.00%, 10/01/23(E) 144A | 100,000 | | 108,939 |
| Accor SA | | | |
| (Variable, 3.25% - EUR Swap Rate 5Y), 2.63%, 01/30/25(E) ρ ^ | 200,000 | | 184,910 |
| | | Par | | Value |
| Altice France SA | | | |
| 7.38%, 05/01/26 144A | $ 790,000 | | $ 824,641 |
| 3.38%, 01/15/28(E) | 1,700,000 | | 1,812,592 |
| Arkema SA | | | |
| (Variable, 2.87% - EUR Swap Rate 5Y), 2.75%, 06/17/24(E) ρ ^ | 400,000 | | 450,921 |
| Banijay Group SAS | | | |
| 6.50%, 03/01/26(E) | 482,000 | | 487,617 |
| BNP Paribas SA | | | |
| (Variable, USD Swap 5Y + 5.15%), 7.38%, 08/19/25 144A ρ ^ | 1,070,000 | | 1,173,731 |
| (Variable, Euribor 3M + 1.80%), 2.13%, 01/23/27(E) ^ | 600,000 | | 722,366 |
| (Variable, USD Swap 5Y + 3.98%), 7.00%, 08/16/28 144A ρ ^ | 300,000 | | 325,931 |
| (Variable, U.S. SOFR + 1.51%), 3.05%, 01/13/31 144A ^ | 625,000 | | 659,127 |
| Burger King France SAS | | | |
| (Floating, 5.25% - Euribor 3M), 5.25%, 05/01/23(E) 144A † | 130,000 | | 140,328 |
| 6.00%, 05/01/24(E) 144A | 120,000 | | 135,324 |
| Casino Guichard Perrachon SA | | | |
| 5.98%, 05/26/21(E) Δ | 500,000 | | 569,661 |
| 4.56%, 01/25/23(E) | 200,000 | | 215,899 |
| 4.05%, 08/05/26(E) | 700,000 | | 669,466 |
| Constellium SE | | | |
| 4.25%, 02/15/26(E) | 430,000 | | 475,955 |
| Credit Agricole SA | | | |
| (Variable, EUR Swap Rate 5Y + 5.12%), 6.50%, 06/23/21(E) ρ ^ | 300,000 | | 344,033 |
| Electricite de France SA | | | |
| (Variable, GBP Swap Rate 13Y + 3.96%), 6.00%, 01/29/26(U) ρ ^ | 300,000 | | 393,641 |
| Elis SA | | | |
| 2.88%, 02/15/26(E) | 100,000 | | 111,432 |
| 1.63%, 04/03/28(E) | 400,000 | | 409,721 |
| Kapla Holding SAS | | | |
| 3.38%, 12/15/26(E) | 300,000 | | 301,660 |
| La Financiere Atalian SASU | | | |
| 4.00%, 05/15/24(E) | 575,000 | | 488,457 |
| Loxam SAS | | | |
| 5.75%, 07/15/27(E) Δ | 795,000 | | 709,773 |
| Novafives SAS | | | |
| 5.00%, 06/15/25(E) | 640,000 | | 501,111 |
| Orange SA | | | |
| 0.50%, 09/04/32(E) | 700,000 | | 754,010 |
| Paprec Holding SA | | | |
| 4.00%, 03/31/25(E) | 385,000 | | 392,645 |
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (Continued)
| | | Par | | Value |
| Picard Groupe SAS | | | |
| (Floating, 3.00% - Euribor 3M), 3.00%, 11/30/23(E) † | $ 394,000 | | $ 426,861 |
| | | | | 13,790,752 |
| Germany — 1.6% | | |
| Bertelsmann SE & Co. KGaA | | | |
| (Variable, EUR Swap Rate 5Y + 3.21%), 3.50%, 04/23/75(E) ^ | 200,000 | | 224,058 |
| Bundesrepublik Deutschland Bundesanleihe | | | |
| 1.00%, 08/15/24(E) | 780,000 | | 939,615 |
| CeramTec BondCo GmbH | | | |
| 5.25%, 12/15/25(E) | 860,000 | | 945,938 |
| EnBW Energie Baden-Wuerttemberg AG | | | |
| (Variable, 3.63% - EUR Swap Rate 5Y), 3.38%, 04/05/77(E) Δ ^ | 135,000 | | 156,385 |
| IHO Verwaltungs GmbH | | | |
| PIK 4.63%, 3.88%, 05/15/27(E) | 325,000 | | 360,391 |
| Infineon Technologies AG | | | |
| (Variable, 4.00% - EUR Swap Rate 5Y), 3.63%, 01/01/28(E) ρ Δ ^ | 500,000 | | 561,343 |
| K+S AG | | | |
| 4.13%, 12/06/21(E) | 200,000 | | 222,273 |
| KME SE | | | |
| 6.75%, 02/01/23(E) 144A | 480,000 | | 365,637 |
| Platin 1426 GmbH | | | |
| 5.38%, 06/15/23(E) 144A | 340,000 | | 357,810 |
| 5.38%, 06/15/23(E) | 800,000 | | 841,906 |
| SGL Carbon SE | | | |
| 4.63%, 09/30/24(E) | 725,000 | | 653,085 |
| Techem Verwaltungsgesellschaft 674 mbH | | | |
| 6.00%, 07/30/26(E) | 1,035,000 | | 1,193,347 |
| thyssenkrupp AG | | | |
| 1.38%, 03/03/22(E) | 224,000 | | 245,339 |
| Vertical Holdco GmbH | | | |
| 6.63%, 07/15/28(E) 144A | 270,000 | | 270,000 |
| Vertical Midco GmbH | | | |
| 4.38%, 07/15/27(E) 144A | 350,000 | | 350,000 |
| Volkswagen Bank GmbH | | | |
| 1.25%, 06/10/24(E) | 100,000 | | 112,422 |
| 1.25%, 12/15/25(E) | 1,660,000 | | 1,853,288 |
| | | | | 9,652,837 |
| Ghana — 0.2% | | |
| Ghana Government International Bond | | | |
| 7.63%, 05/16/29 144A | 640,000 | | 606,848 |
| 10.75%, 10/14/30 | 200,000 | | 241,078 |
| 10.75%, 10/14/30 144A | 340,000 | | 409,833 |
| 7.88%, 02/11/35 | 200,000 | | 182,000 |
| | | | | 1,439,759 |
| Hungary — 0.0% | | |
| Hungary Government International Bond | | | |
| 1.75%, 06/05/35(E) | 19,000 | | 21,063 |
| | | Par | | Value |
| Indonesia — 2.4% | | |
| Indonesia Government International Bond | | | |
| 0.90%, 02/14/27(E) | $ 100,000 | | $ 107,013 |
| 4.75%, 02/11/29 | 200,000 | | 232,271 |
| 5.25%, 01/17/42 144A | 1,940,000 | | 2,406,141 |
| 5.25%, 01/17/42 | 630,000 | | 781,376 |
| 4.20%, 10/15/50 | 2,730,000 | | 3,057,980 |
| Indonesia Treasury Bond | | | |
| 7.00%, 05/15/27(I) | 21,835,000,000 | | 1,533,112 |
| 8.25%, 05/15/29(I) | 76,029,000,000 | | 5,683,148 |
| Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | | | |
| 5.45%, 05/21/28 | 200,000 | | 230,719 |
| | | | | 14,031,760 |
| Ireland — 0.3% | | |
| AerCap Ireland Capital DAC | | | |
| 3.50%, 05/26/22 | 150,000 | | 148,533 |
| 4.50%, 09/15/23 | 220,000 | | 220,188 |
| 4.45%, 10/01/25 | 400,000 | | 384,583 |
| GE Capital International Funding Co. Unlimited Co. | | | |
| 3.37%, 11/15/25 | 246,000 | | 258,311 |
| 4.42%, 11/15/35 | 369,000 | | 375,600 |
| Motion Bondco DAC | | | |
| 4.50%, 11/15/27(E) | 500,000 | | 499,848 |
| | | | | 1,887,063 |
| Israel — 0.3% | | |
| Israel Government International Bond | | | |
| 3.38%, 01/15/50 | 200,000 | | 219,920 |
| 3.88%, 07/03/50 | 510,000 | | 607,593 |
| Summit Properties, Ltd. | | | |
| 2.00%, 01/31/25(E) | 800,000 | | 828,692 |
| | | | | 1,656,205 |
| Italy — 3.8% | | |
| Autostrade per l'Italia SpA | | | |
| 1.88%, 09/26/29(E) | 504,000 | | 513,390 |
| Intesa Sanpaolo SpA | | | |
| (Variable, EUR Swap Rate 5Y + 6.88%), 7.00%, 01/19/21(E) ρ ^ | 550,000 | | 616,646 |
| Italy Buoni Poliennali Del Tesoro | | | |
| 0.35%, 02/01/25(E) | 5,343,000 | | 5,937,615 |
| 2.05%, 08/01/27(E) | 2,870,000 | | 3,460,791 |
| 1.35%, 04/01/30(E) | 780,000 | | 887,258 |
| 3.45%, 03/01/48(E) 144A | 3,700,000 | | 5,254,177 |
| Rossini S.a.r.l. | | | |
| 6.75%, 10/30/25(E) | 705,000 | | 847,417 |
| Sisal Pay SpA | | | |
| (Floating, 3.88% - Euribor 3M), 3.88%, 12/17/26(E) † | 455,000 | | 496,879 |
| Telecom Italia Capital SA | | | |
| 6.38%, 11/15/33 | 360,000 | | 406,733 |
| 6.00%, 09/30/34 | 105,000 | | 114,440 |
| Telecom Italia Finance SA | | | |
| 7.75%, 01/24/33(E) | 650,000 | | 1,023,862 |
See Notes to Financial Statements.
| | | Par | | Value |
| Telecom Italia SpA | | | |
| 5.30%, 05/30/24 144A | $ 340,000 | | $ 355,873 |
| 3.63%, 05/25/26(E) | 385,000 | | 452,830 |
| UniCredit SpA | | | |
| (Variable, EUR Swap Rate 5Y + 6.39%), 6.63%, 06/03/23(E) ρ Δ ^ | 1,120,000 | | 1,237,340 |
| (Variable, USD ICE Swap Rate 5Y + 4.75%), 5.46%, 06/30/35 144A ^ | 740,000 | | 747,436 |
| | | | | 22,352,687 |
| Ivory Coast — 0.2% | | |
| Ivory Coast Government International Bond | | | |
| 5.25%, 03/22/30(E) | 150,000 | | 157,493 |
| 5.75%, 12/31/32 STEP | 166,000 | | 164,107 |
| 5.75%, 12/31/32 144A STEP | 406,700 | | 402,062 |
| 6.13%, 06/15/33Δ | 200,000 | | 200,092 |
| | | | | 923,754 |
| Japan — 0.7% | | |
| Japan Government Ten Year Bond | | | |
| 0.10%, 12/20/28(J) | 214,000,000 | | 2,005,817 |
| Japan Government Thirty Year Bond | | | |
| 0.70%, 12/20/48(J) | 45,000,000 | | 430,690 |
| SoftBank Group Corporation | | | |
| 5.00%, 04/15/28(E) Δ | 805,000 | | 941,634 |
| Takeda Pharmaceutical Co., Ltd. | | | |
| 3.38%, 07/09/60 | 540,000 | | 542,159 |
| | | | | 3,920,300 |
| Jersey — 0.3% | | |
| Avis Budget Finance Plc | | | |
| 4.75%, 01/30/26(E) | 200,000 | | 175,027 |
| Delphi Technologies PLC | | | |
| 5.00%, 10/01/25 144A | 210,000 | | 225,918 |
| Glencore Finance Europe, Ltd. | | | |
| 2.75%, 04/01/21(E) | 505,000 | | 571,720 |
| LHC3 PLC | | | |
| Cash Coupon 4.13% or PIK 4.88%, 4.13%, 08/15/24(E) | 540,000 | | 610,027 |
| | | | | 1,582,692 |
| Kazakhstan — 0.3% | | |
| Kazakhstan Government International Bond | | | |
| 6.50%, 07/21/45 | 200,000 | | 296,947 |
| KazMunayGas National Co. JSC | | | |
| 5.38%, 04/24/30 144A | 500,000 | | 567,562 |
| 5.38%, 04/24/30 | 300,000 | | 340,538 |
| KazTransGas JSC | | | |
| 4.38%, 09/26/27 144A | 630,000 | | 680,589 |
| | | | | 1,885,636 |
| Kenya — 0.0% | | |
| Kenya Government International Bond | | | |
| 8.00%, 05/22/32Δ | 200,000 | | 198,064 |
| | | Par | | Value |
| Luxembourg — 0.8% | | |
| Altice Finco SA | | | |
| 4.75%, 01/15/28(E) | $ 679,000 | | $ 699,085 |
| Altice France Holding SA | | | |
| 8.00%, 05/15/27(E) | 1,115,000 | | 1,325,591 |
| ArcelorMittal SA | | | |
| 7.25%, 10/15/39 | 260,000 | | 311,046 |
| 7.00%, 03/01/41 | 350,000 | | 409,819 |
| ARD Finance SA | | | |
| Cash Coupon 5.00% or PIK 5.75%, 5.00%, 06/30/27(E) | 400,000 | | 433,449 |
| Eurofins Scientific SE | | | |
| (Variable, 7.01% - Euribor 3M), 4.88%, 04/29/23(E) ρ ^ | 560,000 | | 656,222 |
| Vivion Investments S.a.r.l. | | | |
| 3.00%, 08/08/24(E) | 700,000 | | 724,179 |
| | | | | 4,559,391 |
| Mexico — 2.5% | | |
| 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 | | 248,117 |
| (Variable, U.S. Treasury Yield Curve Rate CMT 10Y + 5.47%), 7.50%, 06/27/29 144A ρ ^ | 325,000 | | 305,968 |
| Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand | | | |
| 5.38%, 04/17/25 144A | 580,000 | | 635,840 |
| BBVA Bancomer SA | | | |
| (Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.65%), 5.13%, 01/18/33 144A ^ | 630,000 | | 588,322 |
| Mexican Bonos | | | |
| 8.00%, 12/07/23(M) | 20,808,900 | | 998,242 |
| 10.00%, 12/05/24(M) | 15,794,700 | | 827,493 |
| 7.50%, 06/03/27(M) | 139,360,700 | | 6,759,186 |
| 8.50%, 05/31/29(M) | 1,002,900 | | 51,692 |
| 7.75%, 05/29/31(M) | 1,504,300 | | 74,025 |
| 7.75%, 11/13/42(M) | 45,250,000 | | 2,152,262 |
| Mexico City Airport Trust | | | |
| 5.50%, 07/31/47 | 200,000 | | 177,859 |
| Mexico Government International Bond | | | |
| 5.75%, 10/12/10« | 360,000 | | 401,146 |
| Orbia Advance Corp SAB de CV | | | |
| 5.88%, 09/17/44 144A | 1,100,000 | | 1,214,736 |
| Petroleos Mexicanos | | | |
| 5.95%, 01/28/31 144A | 40,000 | | 33,058 |
| 7.69%, 01/23/50 | 390,000 | | 326,217 |
| | | | | 14,794,163 |
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (Continued)
| | | Par | | Value |
| Mongolia — 0.0% | | |
| Mongolia Government International Bond | | | |
| 8.75%, 03/09/24Δ | $ 200,000 | | $ 215,992 |
| Morocco & Antilles — 0.1% | | |
| OCP SA | | | |
| 5.63%, 04/25/24 144A Δ | 350,000 | | 378,283 |
| 4.50%, 10/22/25 144A | 320,000 | | 334,360 |
| | | | | 712,643 |
| Netherlands — 3.2% | | |
| ABN AMRO Bank NV | | | |
| 7.13%, 07/06/22(E) | 540,000 | | 684,364 |
| CBR Fashion Finance BV | | | |
| 5.13%, 10/01/22(E) | 640,000 | | 623,319 |
| Cooperatieve Rabobank UA | | | |
| (Variable, 6.70% - EUR Swap Rate 5Y), 6.63%, 06/29/21(E) ρ ^ | 600,000 | | 694,798 |
| 5.75%, 12/01/43 | 630,000 | | 908,802 |
| Diamond BC BV | | | |
| 5.63%, 08/15/25(E) | 124,000 | | 132,731 |
| Dufry One BV | | | |
| 2.00%, 02/15/27(E) Δ | 362,000 | | 318,163 |
| E.ON International Finance BV | | | |
| 6.38%, 06/07/32(U) | 155,000 | | 287,417 |
| Embraer Netherlands Finance BV | | | |
| 5.40%, 02/01/27 | 130,000 | | 115,513 |
| Equate Petrochemical BV | | | |
| 4.25%, 11/03/26 144A | 380,000 | | 402,360 |
| Lincoln Financing S.a.r.l. | | | |
| 3.63%, 04/01/24(E) | 325,000 | | 335,810 |
| (Floating, 3.88% - Euribor 3M), 3.88%, 04/01/24(E) † | 118,000 | | 122,983 |
| LKQ European Holdings BV | | | |
| 4.13%, 04/01/28(E) | 700,000 | | 824,046 |
| LYB International Finance II BV | | | |
| 0.88%, 09/17/26(E) | 395,000 | | 426,381 |
| Maxeda DIY Holding BV | | | |
| 6.13%, 07/15/22(E) | 470,000 | | 486,197 |
| Petrobras Global Finance BV | | | |
| 6.25%, 03/17/24 | 2,110,000 | | 2,260,337 |
| 4.75%, 01/14/25(E) | 1,000,000 | | 1,183,776 |
| 6.88%, 01/20/40Δ | 80,000 | | 84,584 |
| 6.90%, 03/19/49 | 380,000 | | 401,090 |
| Prosus NV | | | |
| 4.85%, 07/06/27 144A | 1,200,000 | | 1,348,212 |
| Repsol International Finance BV | | | |
| (Variable, EUR Swap Rate 10Y + 4.20%), 4.50%, 03/25/75(E) ^ | 800,000 | | 937,011 |
| Starfruit Finco BV | | | |
| 6.50%, 10/01/26(E) | 425,000 | | 484,650 |
| Summer BidCo BV | | | |
| Cash Coupon 9.00% or PIK 9.75%, 9.75%, 11/15/25(E) | 672,249 | | 714,282 |
| Sunshine Mid BV | | | |
| 6.50%, 05/15/26(E) | 430,000 | | 479,776 |
| | | Par | | Value |
| Syngenta Finance NV | | | |
| 4.44%, 04/24/23 144A | $ 660,000 | | $ 693,240 |
| Telefonica Europe BV | | | |
| (Variable, EUR Swap Rate 8Y + 2.97%), 3.88%, 06/22/26(E) ρ Δ ^ | 1,000,000 | | 1,126,417 |
| Teva Pharmaceutical Finance Netherlands II BV | | | |
| 1.88%, 03/31/27(E) | 300,000 | | 285,725 |
| UPC Holding BV | | | |
| 5.50%, 01/15/28 144A | 310,000 | | 298,432 |
| 3.88%, 06/15/29(E) | 600,000 | | 629,744 |
| ZF Europe Finance BV | | | |
| 3.00%, 10/23/29(E) Δ | 700,000 | | 708,320 |
| Ziggo BV | | | |
| 4.25%, 01/15/27(E) | 855,000 | | 993,445 |
| | | | | 18,991,925 |
| Nigeria — 0.3% | | |
| Nigeria Government International Bond | | | |
| 7.14%, 02/23/30 144A | 440,000 | | 412,478 |
| 7.63%, 11/28/47 144A | 1,310,000 | | 1,173,983 |
| | | | | 1,586,461 |
| Norway — 0.0% | | |
| Aker BP ASA | | | |
| 3.75%, 01/15/30 144A | 150,000 | | 141,440 |
| Norway Government Bond | | | |
| 3.75%, 05/25/21(K) 144A | 64,000 | | 6,868 |
| | | | | 148,308 |
| Oman — 0.0% | | |
| Oman Government International Bond | | | |
| 6.75%, 01/17/48 | 200,000 | | 173,850 |
| Panama — 0.4% | | |
| Panama Government International Bond | | | |
| 3.75%, 03/16/25 | 860,000 | | 933,225 |
| 6.70%, 01/26/36 | 202,000 | | 291,497 |
| 4.50%, 04/01/56 | 1,140,000 | | 1,403,351 |
| | | | | 2,628,073 |
| Paraguay — 0.0% | | |
| Paraguay Government International Bond | | | |
| 6.10%, 08/11/44 | 200,000 | | 246,859 |
| Peru — 0.8% | | |
| Peruvian Government International Bond | | | |
| 2.39%, 01/23/26 | 1,370,000 | | 1,427,540 |
| 3.75%, 03/01/30(E) | 150,000 | | 206,003 |
| 6.55%, 03/14/37 | 640,000 | | 976,355 |
| Transportadora de Gas del Peru SA | | | |
| 4.25%, 04/30/28 144A | 1,670,000 | | 1,803,300 |
| | | | | 4,413,198 |
See Notes to Financial Statements.
| | | Par | | Value |
| Philippines — 0.0% | | |
| Philippine Government International Bond | | | |
| 4.00%, 01/15/21 | $ 100,000 | | $ 101,472 |
| Poland — 0.3% | | |
| Republic of Poland Government Bond | | | |
| 2.75%, 04/25/28(P) | 5,370,000 | | 1,508,899 |
| Qatar — 0.5% | | |
| Ooredoo International Finance, Ltd. | | | |
| 4.75%, 02/16/21 144A | 200,000 | | 204,500 |
| Qatar Government International Bond | | | |
| 3.40%, 04/16/25 144A | 1,320,000 | | 1,438,805 |
| 4.00%, 03/14/29 | 200,000 | | 230,528 |
| 4.82%, 03/14/49 | 200,000 | | 263,723 |
| 4.40%, 04/16/50 144A | 630,000 | | 781,314 |
| | | | | 2,918,870 |
| Romania — 0.1% | | |
| RCS & RDS SA | | | |
| 3.25%, 02/05/28(E) | 500,000 | | 529,724 |
| Romanian Government International Bond | | | |
| 3.62%, 05/26/30(E) | 32,000 | | 38,885 |
| 2.00%, 01/28/32(E) | 28,000 | | 29,456 |
| 3.88%, 10/29/35(E) | 100,000 | | 121,545 |
| 3.38%, 01/28/50(E) | 84,000 | | 91,876 |
| | | | | 811,486 |
| Russia — 1.5% | | |
| Gazprom PJSC Via Gaz Capital SA | | | |
| 5.15%, 02/11/26 | 250,000 | | 278,113 |
| Russian Federal Bond - OFZ | | | |
| 7.05%, 01/19/28(Q) | 240,798,000 | | 3,695,349 |
| 7.25%, 05/10/34(Q) | 262,547,000 | | 4,097,714 |
| Russian Foreign Bond - Eurobond | | | |
| 4.75%, 05/27/26 | 200,000 | | 228,250 |
| 5.10%, 03/28/35 | 200,000 | | 247,512 |
| | | | | 8,546,938 |
| Saudi Arabia — 0.1% | | |
| Saudi Arabian Oil Co. | | | |
| 4.25%, 04/16/39 | 410,000 | | 457,616 |
| Senegal — 0.0% | | |
| Senegal Government International Bond | | | |
| 6.75%, 03/13/48 | 200,000 | | 193,875 |
| Serbia — 0.1% | | |
| Serbia International Bond | | | |
| 7.25%, 09/28/21 | 200,000 | | 213,309 |
| 1.50%, 06/26/29(E) | 200,000 | | 211,146 |
| | | | | 424,455 |
| South Africa — 1.1% | | |
| Republic of South Africa Government Bond | | | |
| 6.25%, 03/31/36(S) | 2,140,000 | | 82,043 |
| | | Par | | Value |
| 6.50%, 02/28/41(S) Δ | $56,790,000 | | $2,087,018 |
| Republic of South Africa Government International Bond | | | |
| 4.88%, 04/14/26 | 400,000 | | 401,264 |
| 5.88%, 06/22/30Δ | 2,270,000 | | 2,314,989 |
| 5.75%, 09/30/49 | 1,520,000 | | 1,325,910 |
| | | | | 6,211,224 |
| 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 | | 198,989 |
| Spain — 0.9% | | |
| Banco Santander SA | | | |
| 2.75%, 05/28/25 | 200,000 | | 207,501 |
| Gestamp Automocion SA | | | |
| 3.25%, 04/30/26(E) | 230,000 | | 247,828 |
| Grifols SA | | | |
| 3.20%, 05/01/25(E) | 432,000 | | 485,675 |
| Iberdrola Finanzas SA | | | |
| 7.38%, 01/29/24(U) | 100,000 | | 151,845 |
| Spain Government Bond | | | |
| 1.95%, 07/30/30(E) 144A | 2,830,000 | | 3,659,232 |
| Tendam Brands SAU | | | |
| 5.00%, 09/15/24(E) 144A | 510,000 | | 501,108 |
| (Floating, 5.25% - Euribor 3M), 5.25%, 09/15/24(E) 144A † | 160,000 | | 156,661 |
| | | | | 5,409,850 |
| Sri Lanka — 0.2% | | |
| Sri Lanka Government International Bond | | | |
| 5.88%, 07/25/22 | 640,000 | | 499,200 |
| 6.85%, 11/03/25 | 200,000 | | 135,005 |
| 6.75%, 04/18/28 | 500,000 | | 328,781 |
| | | | | 962,986 |
| Supranational — 0.0% | | |
| Banque Ouest Africaine de Developpement | | | |
| 5.00%, 07/27/27Δ | 200,000 | | 209,170 |
| Sweden — 0.2% | | |
| Samhallsbyggnadsbolaget i Norden AB | | | |
| (Variable, 2.81% - EUR Swap Rate 5Y), 2.62%, 01/30/25(E) ρ ^ | 486,000 | | 505,100 |
| Unilabs Subholding AB | | | |
| 5.75%, 05/15/25(E) | 449,000 | | 501,072 |
| | | | | 1,006,172 |
| Switzerland — 0.5% | | |
| Credit Suisse Group AG | | | |
| (Variable, USD Swap 5Y + 4.60%), 7.50%, 07/17/23 144A ρ ^ | 330,000 | | 343,070 |
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (Continued)
| | | Par | | Value |
| (Variable, EUR Swap Rate 1Y + 0.75%), 1.25%, 07/17/25(E) ^ | $ 500,000 | | $ 573,523 |
| (Variable, U.S. SOFR + 3.73%), 4.19%, 04/01/31 144A ^ | 250,000 | | 285,776 |
| UBS Group AG | | | |
| (Variable, USD Swap 5Y + 4.34%), 7.00%, 01/31/24 144A ρ ^ | 1,420,000 | | 1,476,012 |
| (Variable, EUR Swap Rate 1Y + 0.75%), 1.25%, 04/17/25(E) ^ | 400,000 | | 461,432 |
| | | | | 3,139,813 |
| Tunisia — 0.0% | | |
| Banque Centrale de Tunisie International Bond | | | |
| 6.38%, 07/15/26(E) | 150,000 | | 152,094 |
| Turkey — 0.6% | | |
| Turk Telekomunikasyon AS | | | |
| 4.88%, 06/19/24 144A | 940,000 | | 931,450 |
| Turkey Government International Bond | | | |
| 4.88%, 10/09/26 | 300,000 | | 279,146 |
| 6.00%, 03/25/27 | 1,570,000 | | 1,536,488 |
| 4.88%, 04/16/43 | 500,000 | | 387,375 |
| Turkiye Ihracat Kredi Bankasi AS | | | |
| 5.38%, 10/24/23 | 200,000 | | 193,836 |
| | | | | 3,328,295 |
| Ukraine — 0.1% | | |
| Ukraine Government International Bond | | | |
| 6.75%, 06/20/26(E) | 200,000 | | 229,025 |
| 9.75%, 11/01/28Δ | 550,000 | | 628,418 |
| | | | | 857,443 |
| United Arab Emirates — 0.7% | | |
| Abu Dhabi Crude Oil Pipeline LLC | | | |
| 4.60%, 11/02/47 | 400,000 | | 474,550 |
| Abu Dhabi Government International Bond | | | |
| 2.50%, 04/16/25 144A | 1,340,000 | | 1,414,785 |
| 3.88%, 04/16/50 144A | 670,000 | | 794,453 |
| DP World Crescent, Ltd. | | | |
| 3.88%, 07/18/29 | 200,000 | | 196,650 |
| DP World PLC | | | |
| 5.63%, 09/25/48 144A | 970,000 | | 1,062,628 |
| | | | | 3,943,066 |
| United Kingdom — 4.0% | | |
| Anglo American Capital PLC | | | |
| 4.75%, 04/10/27 144A | 200,000 | | 222,929 |
| 3.38%, 03/11/29(U) | 250,000 | | 329,131 |
| Aviva PLC | | | |
| (Variable, UK Gilts 5Y + 2.40%), 6.13%, 09/29/22(U) ρ ^ | 1,040,000 | | 1,379,381 |
| Barclays Bank PLC | | | |
| 7.63%, 11/21/22 | 1,190,000 | | 1,296,207 |
| Barclays PLC | | | |
| (Variable, EUR Swap Rate 5Y + 2.45%), 2.63%, 11/11/25(E) ^ | 200,000 | | 224,905 |
| | | Par | | Value |
| (Variable, EUR Swap Rate 1Y + 0.78%), 1.38%, 01/24/26(E) ^ | $ 300,000 | | $ 340,018 |
| (Variable, ICE LIBOR USD 3M + 2.45%), 2.85%, 05/07/26^ | 380,000 | | 397,498 |
| British Telecommunications PLC | | | |
| 3.25%, 11/08/29 144A | 475,000 | | 518,948 |
| EC Finance PLC | | | |
| 2.38%, 11/15/22(E) | 810,000 | | 832,318 |
| eG Global Finance PLC | | | |
| 4.38%, 02/07/25(E) | 660,000 | | 686,241 |
| FCE Bank PLC | | | |
| 1.53%, 11/09/20(E) | 100,000 | | 111,701 |
| 1.66%, 02/11/21(E) | 100,000 | | 111,058 |
| 1.88%, 06/24/21(E) | 100,000 | | 110,212 |
| HSBC Holdings PLC | | | |
| (Variable, USD ICE Swap Rate 5Y + 4.37%), 6.38%, 03/30/25ρ ^ | 400,000 | | 410,919 |
| (Variable, GBP Swap Rate 1Y + 1.04%), 2.26%, 11/13/26(U) ^ | 300,000 | | 377,930 |
| (Variable, USD ICE Swap Rate 5Y + 3.75%), 6.00%, 05/22/27ρ ^ | 400,000 | | 397,834 |
| Iceland Bondco PLC | | | |
| 4.63%, 03/15/25(U) | 250,000 | | 279,074 |
| INEOS Group Holdings SA | | | |
| 5.38%, 08/01/24(E) | 213,000 | | 235,210 |
| Informa PLC | | | |
| 1.50%, 07/05/23(E) | 704,000 | | 778,446 |
| Iron Mountain UK PLC REIT | | | |
| 3.88%, 11/15/25(U) Δ | 570,000 | | 676,395 |
| ITV PLC | | | |
| 1.38%, 09/26/26(E) | 200,000 | | 216,953 |
| Jerrold Finco PLC | | | |
| 6.13%, 01/15/24(U) 144A | 270,000 | | 323,588 |
| Lloyds Banking Group PLC | | | |
| (Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.10%), 1.33%, 06/15/23^ | 510,000 | | 513,166 |
| 4.34%, 01/09/48 | 796,000 | | 932,885 |
| Marks & Spencer PLC | | | |
| 3.25%, 07/10/27(U) | 100,000 | | 121,937 |
| Miller Homes Group Holdings PLC | | | |
| 5.50%, 10/15/24(U) Δ | 1,530,000 | | 1,932,796 |
| National Grid Electricity Transmission PLC | | | |
| 0.19%, 01/20/25(E) | 315,000 | | 355,024 |
| NGG Finance PLC | | | |
| (Variable, GBP Swap Rate 12Y + 3.48%), 5.63%, 06/18/73(U) ^ | 400,000 | | 556,975 |
| Pinnacle Bidco PLC | | | |
| 6.38%, 02/15/25(U) 144A | 580,000 | | 612,579 |
| Premier Foods Finance PLC | | | |
| 6.25%, 10/15/23(U) | 460,000 | | 590,784 |
| Principality Building Society | | | |
| 2.38%, 11/23/23(U) | 100,000 | | 126,738 |
| RAC Bond Co. PLC | | | |
| 5.00%, 11/06/22(U) | 127,000 | | 148,687 |
See Notes to Financial Statements.
| | | Par | | Value |
| Rio Tinto Finance USA PLC | | | |
| 4.13%, 08/21/42 | $ 75,000 | | $ 94,273 |
| Royal Bank of Scotland Group PLC | | | |
| 6.10%, 06/10/23 | 945,000 | | 1,046,597 |
| 6.00%, 12/19/23 | 140,000 | | 156,920 |
| (Variable, Euribor 3M + 1.74%), 2.00%, 03/04/25(E) ^ | 100,000 | | 116,009 |
| (Variable, Euribor 3M + 1.08%), 1.75%, 03/02/26(E) ^ | 460,000 | | 530,123 |
| (Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 2.55%), 3.07%, 05/22/28^ | 545,000 | | 574,495 |
| Santander UK Group Holdings PLC | | | |
| (Variable, GBP Swap Rate 5Y + 5.54%), 7.38%, 06/24/22(U) ρ ^ | 820,000 | | 1,041,591 |
| Southern Gas Networks PLC | | | |
| 4.88%, 12/21/20(U) | 190,000 | | 239,606 |
| SSE PLC | | | |
| 1.75%, 04/16/30(E) | 750,000 | | 883,136 |
| Tesco Property Finance 6 PLC | | | |
| 5.41%, 07/13/44(U) | 388,742 | | 638,349 |
| United Kingdom Gilt | | | |
| 4.50%, 09/07/34(U) | 220,000 | | 426,840 |
| Virgin Media Secured Finance PLC | | | |
| 5.50%, 08/15/26 144A | 200,000 | | 205,169 |
| 5.25%, 05/15/29(U) | 890,000 | | 1,156,849 |
| | | | | 23,258,424 |
| Uruguay — 0.0% | | |
| Uruguay Government International Bond | | | |
| 4.38%, 01/23/31 | 200,000 | | 234,315 |
| Uzbekistan — 0.0% | | |
| Republic of Uzbekistan Bond | | | |
| 5.38%, 02/20/29Δ | 200,000 | | 219,042 |
Total Foreign Bonds
(Cost $231,155,637) | | 220,227,103 |
| LOAN AGREEMENTS — 1.4% |
| Allied Universal Holdco LLC Initial Term Loan | | | |
| (Floating, ICE LIBOR USD 1M + 4.25%), 4.43%, 07/10/26† | 497,500 | | 484,301 |
| Asurion LLC New B-7 Term Loan | | | |
| (Floating, ICE LIBOR USD 1M + 3.00%), 3.18%, 11/03/24† | 525,975 | | 509,320 |
| Bausch Health Companies, Inc. Initial Term Loan | | | |
| (Floating, ICE LIBOR USD 1M + 3.00%), 3.19%, 06/02/25† | 274,616 | | 267,683 |
| Berry Global, Inc. Term W Loan | | | |
| (Floating, ICE LIBOR USD 1M + 2.00%), 2.18%, 10/01/22† | 122,322 | | 119,577 |
| Brookfield WEC Holdings, Inc. Initial Term Loan | | | |
| (Floating, ICE LIBOR USD 1M + 3.00%), 3.75%, 08/01/25† | 277,709 | | 269,030 |
| | | Par | | Value |
| Entercom Media Corporation Term B-2 Loan | | | |
| (Floating, ICE LIBOR USD 1M + 2.50%, 1.00% Floor), 2.68%, 11/18/24† | $181,015 | | $169,891 |
| Equinox Holdings, Inc. Incremental Term B-1 Loan | | | |
| (Floating, ICE LIBOR USD 3M + 3.00%, 1.00% Floor), 4.07%, 03/08/24† | 506,097 | | 394,710 |
| Focus Financial Partners LLC Tranche B-3 Term Loan | | | |
| (Floating, ICE LIBOR USD 1M + 2.00%, 1.00% Floor), 2.18%, 07/03/24† | 277,873 | | 267,106 |
| Four Seasons Holdings, Inc. Term Loan 2013 | | | |
| (Floating, ICE LIBOR USD 1M + 2.00%, 1.00% Floor), 2.18%, 11/30/23† | 228,226 | | 216,887 |
| Froneri International Limited Facility B1 | | | |
| (Floating, Euribor 6M + 2.63%), 2.63%, 01/29/27† | 380,000 | | 412,468 |
| Garda World Security Corporation Initial Term Loan | | | |
| (Floating, ICE LIBOR USD 1M + 4.75%, 1.00% Floor), 4.93%, 10/30/26† | 405,368 | | 399,085 |
| Genesee & Wyoming, Inc. Initial Term Loan | | | |
| (Floating, ICE LIBOR USD 3M + 2.00%), 2.31%, 12/30/26† | 179,550 | | 173,363 |
| Global Medical Response, Inc. 2018 Term Loan | | | |
| (Floating, ICE LIBOR USD 3M + 3.25%), 4.25%, 04/28/22† | 288,068 | | 278,059 |
| Jaguar Holding Co. I LLC 2018 Term Loan | | | |
| (Floating, ICE LIBOR USD 1M + 2.50%), 3.50%, 08/18/22† | 243,711 | | 241,274 |
| Level 3 Financing, Inc. Tranche B 2027 Term Loan | | | |
| (Floating, ICE LIBOR USD 1M + 1.75%), 1.98%, 03/01/27† | 74,212 | | 70,422 |
| McAfee LLC Term B USD Loan | | | |
| (Floating, ICE LIBOR USD 1M + 3.75%), 3.93%, 09/30/24† | 327,500 | | 319,904 |
| Nexstar Broadcasting, Inc. Term B-4 Loan | | | |
| (Floating, ICE LIBOR USD 1M + 2.75%), 2.92%, 09/18/26† | 115,275 | | 110,067 |
| Option Care Health, Inc. Term B Loan | | | |
| (Floating, ICE LIBOR USD 1M + 4.50%), 4.68%, 08/06/26† | 587,050 | | 571,884 |
| Party City Holdings, Inc. 2018 Replacement Term Loan | | | |
| (Floating, ICE LIBOR USD 1M + 2.50%, 0.75% Floor), 3.25%, 08/19/22† | 4,378 | | 2,122 |
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (Continued)
| | | Par | | Value |
| (Floating, ICE LIBOR USD 3M + 2.50%, 0.75% Floor), 4.10%, 08/19/22† | $126,976 | | $ 61,539 |
| Petco Animal Supplies, Inc. Term Loan | | | |
| (Floating, ICE LIBOR USD 3M + 3.25%), 4.25%, 01/26/23† | 394,548 | | 323,803 |
| Prime Security Services Borrower LLC 2019 Refinancing Term B-1 Loan | | | |
| (Floating, ICE LIBOR USD 1M + 3.25%), 4.25%, 09/23/26† | 451,959 | | 435,717 |
| Radnet Management, Inc. Term B-1 Loan | | | |
| (Floating, ICE LIBOR USD 3M + 3.75%, 1.00% Floor), 4.75%, 06/30/23† | 573,529 | | 547,451 |
| Reynolds Consumer Products LLC Initial Term Loan | | | |
| (Floating, ICE LIBOR USD 1M + 1.75%), 1.93%, 02/04/27† | 82,536 | | 79,764 |
| Reynolds Group Holdings, Inc. Incremental U.S. Term Loan | | | |
| (Floating, ICE LIBOR USD 1M + 2.75%), 2.93%, 02/05/23† | 161,488 | | 154,694 |
| Sedgwick Claims Management Services, Inc. Initial Term Loan | | | |
| (Floating, ICE LIBOR USD 1M + 3.25%), 3.43%, 12/31/25† | 258,035 | | 244,397 |
| Trans Union LLC 2019 Replacement Term B-5 Loan | | | |
| (Floating, ICE LIBOR USD 1M + 1.75%), 1.93%, 11/16/26† | 84,934 | | 81,484 |
| UFC Holdings LLC Term B-1 Loan | | | |
| (Floating, ICE LIBOR USD 3M + 3.25%), 4.25%, 04/29/26† | 119,072 | | 114,210 |
| Univision Communications, Inc. 2017 Replacement Repriced First-Lien Term Loan | | | |
| (Floating, ICE LIBOR USD 1M + 2.75%), 3.75%, 03/15/24† | 542,356 | | 503,713 |
| Virgin Media Bristol LLC N Facility | | | |
| (Floating, ICE LIBOR USD 1M + 2.50%), 2.68%, 01/31/28† | 370,000 | | 354,321 |
Total Loan Agreements
(Cost $8,701,788) | | | 8,178,246 |
| MORTGAGE-BACKED SECURITIES — 7.6% |
| Connecticut Avenue Securities Trust, Series 2019-R07, Class 1M2 | | | |
| (Floating, ICE LIBOR USD 1M + 2.10%), 2.28%, 10/25/39 144A † | 700,000 | | 685,573 |
| Credit Suisse Commercial Mortgage Trust Series, Series 2006-C5, Class AJ | | | |
| 5.37%, 12/15/39 | 92,328 | | 42,513 |
| | | Par | | Value |
| Credit Suisse Commercial Mortgage Trust Series, Series 2007-C5, Class AM | | | |
| 5.87%, 09/15/40 | $ 15,400 | | $ 7,375 |
| Credit Suisse Commercial Mortgage Trust Series, Series 2014-USA, Class F | | | |
| 4.37%, 09/15/37 144A | 1,610,000 | | 1,209,159 |
| Credit Suisse Commercial Mortgage Trust Series, Series 2019-RIO | | | |
| 8.74%, 12/15/21 | 1,120,000 | | 1,020,702 |
| Fannie Mae Connecticut Avenue Securities, Series 2017-C02 | | | |
| (Floating, ICE LIBOR USD 1M + 3.65%), 3.83%, 09/25/29† | 1,544,232 | | 1,558,402 |
| Fannie Mae Connecticut Avenue Securities, Series 2017-C04 | | | |
| (Floating, ICE LIBOR USD 1M + 2.85%), 3.03%, 11/25/29† | 1,626,494 | | 1,613,073 |
| Fannie Mae Connecticut Avenue Securities, Series 2017-C06 | | | |
| (Floating, ICE LIBOR USD 1M + 2.65%, 2.65% Floor), 2.83%, 02/25/30† | 1,405,084 | | 1,405,195 |
| (Floating, ICE LIBOR USD 1M + 2.80%, 2.80% Floor), 2.98%, 02/25/30† | 1,249,445 | | 1,239,054 |
| Fannie Mae Connecticut Avenue Securities, Series 2018-C01, Class 1M2 | | | |
| (Floating, ICE LIBOR USD 1M + 2.25%, 2.25% Floor), 2.43%, 07/25/30† | 705,528 | | 694,843 |
| Fannie Mae Connecticut Avenue Securities, Series 2018-C05 | | | |
| (Floating, ICE LIBOR USD 1M + 2.35%, 2.35% Floor), 2.53%, 01/25/31† | 1,557,934 | | 1,537,528 |
| Federal National Mortgage Association | | | |
| 3.00%, 12/01/47 | 639,667 | | 676,490 |
| 4.00%, 10/01/48 | 405,000 | | 429,021 |
| 3.00%, 07/01/49 | 416,393 | | 439,107 |
| 3.00%, 08/01/49 | 435,289 | | 459,033 |
| 3.50%, 08/01/49 | 541,805 | | 569,853 |
| 4.00%, 08/01/49 | 549,334 | | 582,178 |
| 3.00%, 09/01/49 | 443,564 | | 467,760 |
| 3.50%, 09/01/49 | 874,859 | | 920,033 |
| 3.00%, 10/01/49 | 461,462 | | 486,634 |
| 3.50%, 10/01/49 | 673,181 | | 708,100 |
| 4.00%, 10/01/49 | 580,920 | | 615,647 |
| 3.00%, 11/01/49 | 484,770 | | 511,213 |
| 3.50%, 12/01/49 | 404,215 | | 425,189 |
| 3.00%, 01/01/50 | 198,860 | | 209,708 |
| 3.00%, 03/01/50 | 348,055 | | 367,045 |
See Notes to Financial Statements.
| | | Par | | Value |
| FHLMC Structured Agency Credit Risk Debt Notes, Series 2017-DNA1 | | | |
| (Floating, ICE LIBOR USD 1M + 4.95%, 4.95% Floor), 5.13%, 07/25/29† | $ 760,000 | | $ 802,084 |
| FHLMC Structured Agency Credit Risk Debt Notes, Series 2017-DNA3 | | | |
| (Floating, ICE LIBOR USD 1M + 2.50%), 2.68%, 03/25/30† | 1,650,000 | | 1,673,366 |
| Government National Mortgage Association | | | |
| 4.50%, 08/20/48 | 283,550 | | 303,674 |
| 5.00%, 01/20/49 | 209,505 | | 227,894 |
| 3.00%, 11/20/49 | 389,438 | | 413,454 |
| 2.50%, 07/01/50 TBA | 500,000 | | 526,367 |
| 3.00%, 07/01/50 TBA | 310,000 | | 328,467 |
| GS Mortgage Securities Corporation II, Series 2018-SRP5, Class C | | | |
| (Floating, ICE LIBOR USD 1M + 3.75%, 3.75% Floor), 3.93%, 09/15/31 144A † | 2,220,000 | | 2,122,945 |
| Impac Secured Assets Trust, Series 2006-2, Class 2M3 | | | |
| (Floating, ICE LIBOR USD 1M + 1.10%, 1.10% Floor, 11.50% Cap), 1.28%, 08/25/36† | 373,301 | | 331,457 |
| JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LD12, Class AJ | | | |
| 6.71%, 02/15/51† γ | 2,658 | | 2,523 |
| JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-PHMZ, Class M | | | |
| (Floating, ICE LIBOR USD 1M + 8.21%, 8.21% Floor), 8.39%, 06/15/35 144A † | 1,500,000 | | 1,133,500 |
| Lone Star Portfolio Trust, Series 2015-LSMZ, Class M | | | |
| (Floating, ICE LIBOR USD 1M + 7.22%, 7.22% Floor), 7.40%, 09/15/20 144A † | 185,356 | | 185,452 |
| Lone Star Portfolio Trust, Series 2015-LSP, Class F | | | |
| (Floating, ICE LIBOR USD 1M + 7.15%, 6.90% Floor), 7.33%, 09/15/28 144A † | 588,724 | | 547,579 |
| Seasoned Credit Risk Transfer Trust, Series 2017-2, Class M1 | | | |
| 4.00%, 08/25/56 144A | 440,000 | | 434,685 |
| Seasoned Credit Risk Transfer Trust, Series 2017-2, Class M2 | | | |
| 4.00%, 08/25/56 144A | 570,000 | | 517,940 |
| STACR Trust, Series 2018-DNA2, Class M2 | | | |
| (Floating, ICE LIBOR USD 1M + 2.15%), 2.33%, 12/25/30 144A † | 1,650,000 | | 1,600,932 |
| Uniform Mortgage Backed Securities | | | |
| 2.00%, 07/01/35 TBA | 555,000 | | 574,208 |
| 2.50%, 07/01/35 TBA | 1,590,000 | | 1,664,780 |
| 2.00%, 07/01/50 TBA | 480,000 | | 491,250 |
| | | Par | | Value |
| 2.50%, 07/01/50 TBA | $ 7,365,000 | | $ 7,678,588 |
| 3.00%, 07/01/50 TBA | 3,825,000 | | 4,028,801 |
Total Mortgage-Backed Securities
(Cost $45,481,576) | | | 44,470,374 |
| MUNICIPAL BOND — 0.0% |
| State of Illinois, General Obligation | | | |
5.10%, 06/01/33
(Cost $69,393) | 85,000 | | 86,354 |
| U.S. TREASURY OBLIGATIONS — 21.2% |
| U.S. Treasury Bills | | | | |
| 1.51%, 07/30/20Ω Δ | 1,835,000 | | 1,834,822 |
| 1.51%, 08/13/20Ω Δ | 2,760,000 | | 2,759,588 |
| 0.13%, 10/22/20Ω | 1,625,000 | | 1,624,235 |
| 0.13%, 11/05/20Ω Δ | 1,635,000 | | 1,634,135 |
| 0.12%, 01/28/21Ω Δ | 1,625,000 | | 1,623,524 |
| | | | | 9,476,304 |
| U.S. Treasury Bonds | | | | |
| 3.50%, 02/15/39Δ | 860,000 | | 1,217,353 |
| 4.25%, 05/15/39 | 30,000 | | 46,373 |
| 3.88%, 08/15/40 | 20,000 | | 29,820 |
| 2.75%, 08/15/42 | 90,000 | | 115,453 |
| 2.88%, 05/15/43Δ | 2,045,000 | | 2,673,079 |
| 3.00%, 05/15/45 | 250,000 | | 335,830 |
| 3.00%, 11/15/45 | 920,000 | | 1,240,437 |
| 2.50%, 05/15/46Δ | 820,000 | | 1,017,345 |
| 2.25%, 08/15/46 | 960,000 | | 1,139,006 |
| 2.88%, 11/15/46 | 1,520,000 | | 2,021,956 |
| 3.00%, 05/15/47 | 60,000 | | 81,809 |
| 2.75%, 08/15/47 | 90,000 | | 117,631 |
| 3.13%, 05/15/48 | 40,000 | | 56,076 |
| 3.00%, 08/15/48Δ | 2,365,000 | | 3,253,399 |
| 3.38%, 11/15/48‡‡ Δ | 770,000 | | 1,131,810 |
| 1.25%, 05/15/50Δ | 7,995,000 | | 7,683,945 |
| | | | | 22,161,322 |
| U.S. Treasury Inflationary Index Bonds | | | | |
| 0.13%, 04/15/22 | 14,750,000 | | 15,777,598 |
| 2.13%, 02/15/40 | 1,790,000 | | 3,130,825 |
| 1.38%, 02/15/44Δ | 2,500,000 | | 3,753,294 |
| 0.25%, 02/15/50Δ | 195,000 | | 218,428 |
| | | | | 22,880,145 |
| U.S. Treasury Notes | | | | |
| 1.50%, 09/30/21 | 2,500,000 | | 2,541,504 |
| 1.50%, 10/31/21Δ | 1,000,000 | | 1,017,793 |
| 1.50%, 11/30/21 | 3,630,000 | | 3,698,559 |
| 1.88%, 01/31/22 | 710,000 | | 729,123 |
| 2.00%, 02/15/22 | 90,000 | | 92,679 |
| 1.75%, 03/31/22Δ | 7,100,000 | | 7,296,637 |
| 1.63%, 08/15/22 | 12,590,000 | | 12,981,470 |
| 2.88%, 10/31/23 | 2,975,000 | | 3,240,426 |
| 2.75%, 02/15/24Δ | 6,050,000 | | 6,607,025 |
| 2.38%, 02/29/24 | 10,000 | | 10,793 |
| 1.50%, 10/31/24 | 570,000 | | 600,927 |
| 2.25%, 11/15/24 | 20,520,000 | | 22,313,095 |
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (Continued)
| | | Par | | Value |
| 2.00%, 02/15/25 | $ 70,000 | | $ 75,601 |
| 2.88%, 05/31/25 | 315,000 | | 354,787 |
| 1.63%, 02/15/26 | 6,460,000 | | 6,912,074 |
| 1.63%, 05/15/26 | 470,000 | | 503,790 |
| 2.00%, 11/15/26 | 870,000 | | 955,539 |
| | | | | 69,931,822 |
Total U.S. Treasury Obligations
(Cost $114,997,757) | | | 124,449,593 |
| | | Shares | |
| COMMON STOCKS — 0.6% |
| Communication Services — 0.2% | |
| AT&T, Inc. | 39,385 | 1,190,608 |
| Consumer Discretionary — 0.1% | |
| Ford Motor Co. | 48,562 | 295,257 |
| Energy — 0.0% | |
| Berry CorporationΔ | 2,492 | 12,036 |
| Hercules Offshore, Inc.Ψ ††† Δ * | 46,644 | 40,330 |
| Montage Resources CorporationΔ * | 7,129 | 28,160 |
| | | | 80,526 |
| Health Care — 0.1% | |
| Bristol-Myers Squibb Co. | 11,549 | 679,081 |
| Information Technology — 0.2% | |
| Corning, Inc. | 42,221 | 1,093,524 |
Total Common Stocks
(Cost $5,733,547) | | 3,338,996 |
| PREFERRED STOCKS — 0.1% |
| Bank of America Corporation | | |
| 7.25%, CONV | 302 | 405,344 |
| Chesapeake Energy Corporation | | |
| 0.00%, CONV * | 16 | 40 |
| 0.00%, CONV * | 392 | 1,568 |
| 0.00%, 144A CONV * | 27 | 14 |
| 0.00%, CONV Δ * | 2,119 | 4,068 |
| 0.00%, CONV Δ * | 617 | 648 |
| El Paso Energy Capital Trust I | | |
| 4.75%, CONV | 5,674 | 252,266 |
Total Preferred Stocks
(Cost $921,634) | | 663,948 |
| | | Shares | | Value |
| MONEY MARKET FUNDS — 8.9% |
GuideStone Money Market Fund, 0.16%
(Institutional Class)Ø ∞ | 39,283,588 | | $ 39,283,588 |
| Northern Institutional Liquid Assets Portfolio (Shares), 0.33%Ø § | 13,104,295 | | 13,104,295 |
| Northern Institutional U.S. Government Portfolio (Shares), 0.07%Ø | 132,367 | | 132,367 |
Total Money Market Funds
(Cost $52,520,250) | | | 52,520,250 |
TOTAL INVESTMENTS —102.6%
(Cost $603,752,962) | | | 603,370,026 |
Liabilities in Excess of Other
Assets — (2.6)% | | | (15,416,162) |
| NET ASSETS — 100.0% | | | $587,953,864 |
PORTFOLIO SUMMARY (based on net assets)
| | % |
| Foreign Bonds | 37.4 |
| Corporate Bonds | 25.0 |
| U.S. Treasury Obligations | 21.2 |
| Money Market Funds | 8.9 |
| Mortgage-Backed Securities | 7.6 |
| Loan Agreements | 1.4 |
| Asset-Backed Securities | 0.4 |
| Communication Services | 0.2 |
| Information Technology | 0.2 |
| Health Care | 0.1 |
| Financials | 0.1 |
| Consumer Discretionary | 0.1 |
| Energy | —** |
| Municipal Bond | —** |
| | 102.6 |
| **Rounds to less than 0.05% | |
Futures Contracts outstanding at June 30, 2020:
| Future Type | | Expiration Date | | Open Long
(Short) Contracts | | Notional
Market Value
of Contracts | | Value and
Unrealized
Appreciation
(Depreciation) |
| Euro-Bobl | | 09/2020 | | (66) | | $(10,008,903) | | $ (41,596) |
| Euro-Bund | | 09/2020 | | (42) | | (8,329,450) | | (66,971) |
| 10-Year Japanese E-Mini | | 09/2020 | | 248 | | 34,884,223 | | 55,665 |
| 10-Year Commonwealth Treasury Bond | | 09/2020 | | 62 | | 6,366,087 | | 11,405 |
| 10-Year Canadian Bond | | 09/2020 | | 16 | | 1,812,846 | | (3,960) |
| 10-Year U.S. Treasury Note | | 09/2020 | | (45) | | (6,262,734) | | (15,778) |
| U.S. Treasury Long Bond | | 09/2020 | | (33) | | (5,892,563) | | (22,101) |
| Ultra 10-Year U.S. Treasury Note | | 09/2020 | | (222) | | (34,961,531) | | (128,344) |
| Ultra Long U.S. Treasury Bond | | 09/2020 | | (63) | | (13,743,844) | | (91,939) |
See Notes to Financial Statements.
| Future Type | | Expiration Date | | Open Long
(Short) Contracts | | Notional
Market Value
of Contracts | | Value and
Unrealized
Appreciation
(Depreciation) |
| Long GILT | | 09/2020 | | 33 | | $ 5,628,141 | | $ 6,307 |
| 2-Year U.S. Treasury Note | | 09/2020 | | 614 | | 135,588,469 | | 214 |
| 5-Year U.S. Treasury Note | | 09/2020 | | (71) | | (8,927,695) | | (37,453) |
| Total Futures Contracts outstanding at June 30, 2020 | | | | | | $ 96,153,046 | | $(334,551) |
Forward Foreign Currency Contracts outstanding at June 30, 2020:
| Expiration Date | | Currency
Purchased | | Amount
of Currency
Purchased | | Currency
Sold | | Amount
of Currency
Sold | | Counter-
party | | Net Unrealized
Appreciation
(Depreciation) |
| 07/16/20 | | Euro | | 26,775,940 | | U.S. Dollars | | 29,253,531 | | CITI | | $ 840,378 |
| 07/22/20 | | Australian Dollars | | 6,577,111 | | U.S. Dollars | | 4,220,512 | | CITI | | 318,979 |
| 07/22/20 | | Norwegian Kroner | | 40,728,334 | | U.S. Dollars | | 3,949,612 | | RBC | | 282,167 |
| 07/22/20 | | U.S. Dollars | | 3,607,289 | | Brazilian Reals | | 18,409,400 | | SC | | 226,013 |
| 07/22/20 | | Swedish Kronor | | 42,037,426 | | U.S. Dollars | | 4,293,281 | | CITI | | 219,339 |
| 07/22/20 | | U.S. Dollars | | 11,009,952 | | British Pounds | | 8,744,151 | | CITI | | 173,406 |
| 07/16/20 | | Japanese Yen | | 3,537,306,000 | | U.S. Dollars | | 32,601,598 | | CITI | | 165,762 |
| 07/22/20 | | Euro | | 4,862,714 | | U.S. Dollars | | 5,324,568 | | SS | | 141,473 |
| 07/16/20 | | Russian Rubles | | 218,380,000 | | U.S. Dollars | | 2,921,862 | | CITI | | 139,724 |
| 07/22/20 | | Euro | | 4,198,627 | | U.S. Dollars | | 4,598,110 | | CITI | | 121,450 |
| 07/22/20 | | Swiss Francs | | 6,921,622 | | U.S. Dollars | | 7,189,929 | | SC | | 120,636 |
| 07/22/20 | | Euro | | 3,268,390 | | U.S. Dollars | | 3,561,645 | | SC | | 112,261 |
| 07/22/20 | | Australian Dollars | | 1,860,922 | | U.S. Dollars | | 1,173,395 | | SS | | 111,005 |
| 07/22/20 | | Canadian Dollars | | 5,090,255 | | U.S. Dollars | | 3,641,829 | | SC | | 107,865 |
| 07/22/20 | | Norwegian Kroner | | 22,451,883 | | U.S. Dollars | | 2,233,821 | | CITI | | 98,989 |
| 07/22/20 | | Polish Zloty | | 8,009,569 | | U.S. Dollars | | 1,930,421 | | RBC | | 94,239 |
| 07/16/20 | | Indian Rupees | | 189,201,535 | | U.S. Dollars | | 2,424,417 | | CITI | | 76,584 |
| 07/22/20 | | Swedish Kronor | | 11,079,243 | | U.S. Dollars | | 1,114,705 | | SS | | 74,626 |
| 07/22/20 | | Russian Rubles | | 130,946,120 | | U.S. Dollars | | 1,761,271 | | CITI | | 72,970 |
| 07/22/20 | | New Zealand Dollars | | 2,115,202 | | U.S. Dollars | | 1,295,412 | | CITI | | 69,605 |
| 07/22/20 | | Swedish Kronor | | 8,506,184 | | U.S. Dollars | | 855,606 | | RBC | | 57,514 |
| 07/22/20 | | U.S. Dollars | | 5,608,546 | | Japanese Yen | | 599,741,723 | | CITI | | 52,477 |
| 07/22/20 | | Mexican Pesos | | 30,174,015 | | U.S. Dollars | | 1,259,891 | | SC | | 48,783 |
| 07/22/20 | | Swiss Francs | | 1,562,827 | | U.S. Dollars | | 1,609,622 | | CITI | | 41,024 |
| 07/22/20 | | U.S. Dollars | | 747,705 | | Chilean Pesos | | 580,293,801 | | CITI | | 40,923 |
| 07/22/20 | | New Zealand Dollars | | 940,936 | | U.S. Dollars | | 570,042 | | SC | | 37,179 |
| 07/22/20 | | Canadian Dollars | | 2,209,000 | | U.S. Dollars | | 1,591,415 | | RBC | | 35,827 |
| 07/22/20 | | U.S. Dollars | | 2,091,831 | | British Pounds | | 1,660,568 | | RBC | | 33,905 |
| 07/22/20 | | Swedish Kronor | | 6,491,441 | | U.S. Dollars | | 667,602 | | SC | | 29,240 |
| 07/22/20 | | U.S. Dollars | | 5,339,256 | | Euro | | 4,724,902 | | SC | | 28,126 |
| 07/22/20 | | Brazilian Reals | | 3,594,140 | | U.S. Dollars | | 634,336 | | CITI | | 25,803 |
| 07/22/20 | | U.S. Dollars | | 762,118 | | Mexican Pesos | | 17,014,590 | | CITI | | 24,180 |
| 07/22/20 | | New Zealand Dollars | | 554,440 | | U.S. Dollars | | 335,869 | | SS | | 21,932 |
| 07/22/20 | | Chilean Pesos | | 580,284,121 | | U.S. Dollars | | 685,558 | | RBC | | 21,211 |
| 07/22/20 | | Mexican Pesos | | 9,379,338 | | U.S. Dollars | | 392,416 | | RBC | | 14,374 |
| 07/16/20 | | Australian Dollars | | 187,959 | | U.S. Dollars | | 117,128 | | CITI | | 12,595 |
| 07/22/20 | | Canadian Dollars | | 1,820,696 | | U.S. Dollars | | 1,331,632 | | CITI | | 9,568 |
| 07/22/20 | | U.S. Dollars | | 1,010,142 | | British Pounds | | 807,539 | | SC | | 9,366 |
| 07/22/20 | | Euro | | 239,409 | | U.S. Dollars | | 259,990 | | RBC | | 9,124 |
| 07/22/20 | | U.S. Dollars | | 984,371 | | New Zealand Dollars | | 1,512,711 | | SC | | 8,163 |
| 07/22/20 | | U.S. Dollars | | 1,979,265 | | Canadian Dollars | | 2,676,174 | | SC | | 7,883 |
| 07/22/20 | | U.S. Dollars | | 1,630,061 | | Australian Dollars | | 2,351,751 | | SC | | 6,893 |
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (Continued)
| Expiration Date | | Currency
Purchased | | Amount
of Currency
Purchased | | Currency
Sold | | Amount
of Currency
Sold | | Counter-
party | | Net Unrealized
Appreciation
(Depreciation) |
| 07/22/20 | | Australian Dollars | | 622,260 | | U.S. Dollars | | 423,278 | | SC | | $ 6,203 |
| 07/22/20 | | British Pounds | | 1,310,487 | | U.S. Dollars | | 1,619,565 | | SC | | 4,509 |
| 07/22/20 | | South Korean Won | | 406,027,835 | | U.S. Dollars | | 334,317 | | CITI | | 3,981 |
| 07/22/20 | | U.S. Dollars | | 5,663,303 | | Euro | | 5,034,672 | | CITI | | 3,970 |
| 07/22/20 | | South Korean Won | | 888,781,256 | | U.S. Dollars | | 736,630 | | SC | | 3,893 |
| 07/22/20 | | Canadian Dollars | | 137,708 | | U.S. Dollars | | 97,673 | | SS | | 3,768 |
| 07/16/20 | | Canadian Dollars | | 118,964 | | U.S. Dollars | | 84,739 | | CITI | | 2,894 |
| 07/22/20 | | Japanese Yen | | 16,499,494 | | U.S. Dollars | | 150,525 | | SC | | 2,328 |
| 07/22/20 | | U.S. Dollars | | 678,038 | | Czech Republic Koruna | | 16,038,094 | | SC | | 1,892 |
| 07/22/20 | | Norwegian Kroner | | 17,470,857 | | U.S. Dollars | | 1,813,455 | | SC | | 1,813 |
| 07/22/20 | | U.S. Dollars | | 492,570 | | Swiss Francs | | 464,871 | | SC | | 1,576 |
| 07/22/20 | | U.S. Dollars | | 243,076 | | Japanese Yen | | 26,133,632 | | SC | | 972 |
| 07/22/20 | | Brazilian Reals | | 517,849 | | U.S. Dollars | | 94,395 | | SC | | 719 |
| 07/22/20 | | Japanese Yen | | 18,378,815 | | U.S. Dollars | | 169,608 | | CITI | | 655 |
| 07/22/20 | | U.S. Dollars | | 100,651 | | Japanese Yen | | 10,799,055 | | SS | | 607 |
| 07/22/20 | | U.S. Dollars | | 92,737 | | British Pounds | | 74,447 | | SS | | 476 |
| 07/16/20 | | South African Rand | | 14,380,000 | | U.S. Dollars | | 826,712 | | CITI | | 428 |
| 07/22/20 | | Japanese Yen | | 24,554,696 | | U.S. Dollars | | 227,219 | | SS | | 258 |
| 07/22/20 | | U.S. Dollars | | 248,863 | | Australian Dollars | | 360,467 | | CITI | | 70 |
| 07/22/20 | | South African Rand | | 3,581 | | U.S. Dollars | | 194 | | RBC | | 12 |
| 07/22/20 | | U.S. Dollars | | 8 | | Czech Republic Koruna | | 207 | | RBC | | — |
| Subtotal Appreciation | | | | | | | | | | $ 4,184,585 |
| 07/22/20 | | U.S. Dollars | | 121,541 | | Chinese Yuan Renminbi | | 860,444 | | CITI | | $ (33) |
| 07/22/20 | | U.S. Dollars | | 99,620 | | Swedish Kronor | | 929,506 | | CITI | | (160) |
| 10/16/20 | | U.S. Dollars | | 819,331 | | South African Rand | | 14,380,000 | | CITI | | (262) |
| 07/22/20 | | U.S. Dollars | | 1,027,259 | | Chinese Yuan Renminbi | | 7,275,666 | | SC | | (734) |
| 07/22/20 | | Swedish Kronor | | 2,288,185 | | U.S. Dollars | | 246,716 | | SC | | (1,085) |
| 07/22/20 | | U.S. Dollars | | 306,560 | | New Zealand Dollars | | 476,801 | | SC | | (1,137) |
| 07/22/20 | | Australian Dollars | | 187,229 | | U.S. Dollars | | 130,601 | | SC | | (1,376) |
| 07/22/20 | | Euro | | 143,620 | | U.S. Dollars | | 163,066 | | CITI | | (1,627) |
| 07/22/20 | | U.S. Dollars | | 124,406 | | British Pounds | | 101,736 | | SC | | (1,675) |
| 07/22/20 | | Euro | | 124,967 | | U.S. Dollars | | 142,296 | | RBC | | (1,824) |
| 07/22/20 | | U.S. Dollars | | 1,698,100 | | Japanese Yen | | 183,506,871 | | SS | | (1,926) |
| 07/22/20 | | Japanese Yen | | 12,318,763 | | U.S. Dollars | | 116,319 | | SS | | (2,196) |
| 07/16/20 | | British Pounds | | 1,016,249 | | U.S. Dollars | | 1,261,714 | | CITI | | (2,339) |
| 07/22/20 | | British Pounds | | 389,127 | | U.S. Dollars | | 484,729 | | SS | | (2,488) |
| 07/22/20 | | U.S. Dollars | | 86,309 | | Mexican Pesos | | 2,065,352 | | CITI | | (3,268) |
| 07/22/20 | | Euro | | 802,458 | | U.S. Dollars | | 905,768 | | SC | | (3,748) |
| 07/22/20 | | British Pounds | | 200,000 | | U.S. Dollars | | 251,869 | | RBC | | (4,011) |
| 07/22/20 | | Brazilian Reals | | 613,414 | | U.S. Dollars | | 117,675 | | RBC | | (5,008) |
| 07/22/20 | | U.S. Dollars | | 5,967,026 | | Swiss Francs | | 5,654,308 | | SC | | (5,011) |
| 07/22/20 | | Norwegian Kroner | | 4,548,541 | | U.S. Dollars | | 478,121 | | SC | | (5,517) |
| 07/22/20 | | U.S. Dollars | | 330,421 | | South Korean Won | | 403,370,331 | | CITI | | (5,663) |
| 07/16/20 | | U.S. Dollars | | 1,109,620 | | British Pounds | | 900,000 | | CITI | | (5,694) |
| 07/22/20 | | Chinese Yuan Renminbi | | 14,748,521 | | U.S. Dollars | | 2,089,647 | | RBC | | (5,801) |
| 07/22/20 | | U.S. Dollars | | 6,020,308 | | Japanese Yen | | 650,667,105 | | SC | | (7,538) |
| 07/22/20 | | Canadian Dollars | | 2,137,941 | | U.S. Dollars | | 1,583,155 | | SC | | (8,259) |
| 07/22/20 | | U.S. Dollars | | 731,806 | | South Korean Won | | 888,704,795 | | RBC | | (8,653) |
| 07/22/20 | | U.S. Dollars | | 215,286 | | Mexican Pesos | | 5,170,512 | | SS | | (8,964) |
| 07/22/20 | | South African Rand | | 6,350,244 | | U.S. Dollars | | 373,977 | | RBC | | (8,968) |
| 07/22/20 | | U.S. Dollars | | 528,159 | | Swiss Francs | | 508,816 | | SS | | (9,248) |
| 07/22/20 | | British Pounds | | 966,980 | | Euro | | 1,075,921 | | SC | | (11,044) |
| 07/22/20 | | Brazilian Reals | | 1,145,976 | | U.S. Dollars | | 224,953 | | SS | | (14,470) |
| 07/22/20 | | U.S. Dollars | | 158,458 | | Australian Dollars | | 251,304 | | SS | | (14,990) |
| 07/22/20 | | Mexican Pesos | | 7,155,203 | | U.S. Dollars | | 328,559 | | CITI | | (18,232) |
See Notes to Financial Statements.
| Expiration Date | | Currency
Purchased | | Amount
of Currency
Purchased | | Currency
Sold | | Amount
of Currency
Sold | | Counter-
party | | Net Unrealized
Appreciation
(Depreciation) |
| 07/16/20 | | Euro | | 2,625,000 | | U.S. Dollars | | 2,968,515 | | GSC | | $ (18,235) |
| 07/22/20 | | U.S. Dollars | | 314,034 | | New Zealand Dollars | | 516,418 | | RBC | | (19,230) |
| 07/16/20 | | Euro | | 795,639 | | Polish Zloty | | 3,620,000 | | CITI | | (20,814) |
| 07/22/20 | | Brazilian Reals | | 1,810,615 | | U.S. Dollars | | 354,876 | | SC | | (22,319) |
| 07/22/20 | | U.S. Dollars | | 994,069 | | Turkish Lira | | 7,035,095 | | RBC | | (26,486) |
| 07/22/20 | | U.S. Dollars | | 876,761 | | Canadian Dollars | | 1,229,316 | | SC | | (28,805) |
| 07/22/20 | | U.S. Dollars | | 1,363,314 | | Canadian Dollars | | 1,891,142 | | RBC | | (29,780) |
| 07/22/20 | | U.S. Dollars | | 2,804,587 | | Swiss Francs | | 2,685,266 | | CITI | | (31,570) |
| 07/22/20 | | U.S. Dollars | | 332,736 | | South African Rand | | 6,352,422 | | RBC | | (32,399) |
| 07/16/20 | | U.S. Dollars | | 791,153 | | South African Rand | | 14,380,000 | | CITI | | (35,988) |
| 07/22/20 | | British Pounds | | 3,211,524 | | U.S. Dollars | | 4,017,520 | | SC | | (37,508) |
| 07/22/20 | | U.S. Dollars | | 1,284,961 | | Canadian Dollars | | 1,796,864 | | SS | | (38,683) |
| 07/22/20 | | U.S. Dollars | | 821,775 | | Russian Rubles | | 61,444,124 | | SC | | (38,910) |
| 07/22/20 | | U.S. Dollars | | 662,251 | | Czech Republic Koruna | | 16,642,360 | | SC | | (39,371) |
| 07/22/20 | | Japanese Yen | | 554,900,217 | | U.S. Dollars | | 5,181,776 | | CITI | | (41,124) |
| 07/16/20 | | Japanese Yen | | 1,013,430,000 | | U.S. Dollars | | 9,432,257 | | CITI | | (44,484) |
| 07/22/20 | | U.S. Dollars | | 912,357 | | Polish Zloty | | 3,800,948 | | SC | | (48,447) |
| 07/22/20 | | British Pounds | | 2,335,114 | | U.S. Dollars | | 2,943,160 | | CITI | | (49,275) |
| 07/22/20 | | U.S. Dollars | | 995,931 | | Brazilian Reals | | 5,731,358 | | CITI | | (56,754) |
| 07/16/20 | | Brazilian Reals | | 8,682,000 | | U.S. Dollars | | 1,653,059 | | CITI | | (57,914) |
| 07/16/20 | | U.S. Dollars | | 1,345,966 | | Mexican Pesos | | 32,410,393 | | CITI | | (60,909) |
| 07/22/20 | | Japanese Yen | | 1,140,794,971 | | U.S. Dollars | | 10,633,253 | | SC | | (64,810) |
| 07/16/20 | | British Pounds | | 1,750,000 | | Euro | | 1,989,899 | | CITI | | (67,812) |
| 07/22/20 | | U.S. Dollars | | 5,984,403 | | Swiss Francs | | 5,730,736 | | RBC | | (68,357) |
| 07/22/20 | | Japanese Yen | | 931,362,839 | | U.S. Dollars | | 8,710,426 | | RBC | | (82,185) |
| 07/22/20 | | U.S. Dollars | | 5,854,673 | | Euro | | 5,284,813 | | SC | | (85,839) |
| 07/16/20 | | U.S. Dollars | | 3,036,914 | | Euro | | 2,790,000 | | CITI | | (98,811) |
| 07/22/20 | | U.S. Dollars | | 1,772,193 | | Norwegian Kroner | | 18,076,046 | | SC | | (105,955) |
| 07/22/20 | | U.S. Dollars | | 3,518,446 | | Euro | | 3,231,996 | | SS | | (114,550) |
| 07/22/20 | | U.S. Dollars | | 2,757,575 | | Australian Dollars | | 4,165,097 | | SC | | (117,156) |
| 07/22/20 | | U.S. Dollars | | 5,411,304 | | Euro | | 4,932,137 | | RBC | | (132,773) |
| 07/22/20 | | U.S. Dollars | | 2,051,888 | | Swedish Kronor | | 20,429,177 | | SC | | (141,138) |
| 07/22/20 | | U.S. Dollars | | 2,352,143 | | Norwegian Kroner | | 24,080,673 | | SS | | (149,902) |
| 07/22/20 | | U.S. Dollars | | 8,507,271 | | Canadian Dollars | | 11,807,782 | | CITI | | (190,834) |
| 07/22/20 | | Brazilian Reals | | 24,293,283 | | U.S. Dollars | | 4,660,834 | | CITI | | (198,860) |
| 07/22/20 | | U.S. Dollars | | 2,675,691 | | Australian Dollars | | 4,179,608 | | RBC | | (209,055) |
| 07/16/20 | | U.S. Dollars | | 2,820,172 | | Russian Rubles | | 218,380,000 | | CITI | | (241,414) |
| 07/22/20 | | U.S. Dollars | | 3,747,065 | | Australian Dollars | | 5,791,701 | | CITI | | (250,339) |
| 07/22/20 | | U.S. Dollars | | 4,270,318 | | New Zealand Dollars | | 7,021,505 | | CITI | | (260,917) |
| 07/16/20 | | U.S. Dollars | | 3,622,396 | | Indonesian Rupiahs | | 59,878,206,000 | | CITI | | (520,397) |
| 07/22/20 | | U.S. Dollars | | 67,142,608 | | Euro | | 61,017,606 | | CITI | | (1,445,576) |
| Subtotal Depreciation | | | | | | | | | | $(5,498,634) |
| Total Forward Foreign Currency Contracts outstanding at June 30, 2020 | | | | $(1,314,049) |
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (Continued)
Swap Agreements outstanding at June 30, 2020:
| 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.EM.33 Index (Pay Quarterly) | | (5.00%) | | 6/20/2025 | | EUR | | 12,994,000 | | $(772,107) | | $ 121,399 | | $ (893,506) |
| Markit ITRAXX.XO.33 Index (Pay Quarterly) | | (1.00%) | | 6/20/2025 | | USD | | 20,349,950 | | 949,478 | | 2,216,110 | | (1,266,632) |
| | | $ 177,371 | | $2,337,509 | | $(2,160,138) |
| 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.HY.33 Index (Receive Quarterly) | | 5.16% | | 5.00% | | 12/20/2024 | | USD | | 9,485,200 | | $(44,971) | | $(848,922) | | $803,951 |
| | | $(44,971) | | $(848,922) | | $803,951 |
See Notes to Financial Statements.
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2020, in valuing the Fund’s investments carried at fair value:
| | Total
Value | | Level 1
Quoted Prices | | Level 2
Other Significant
Observable Inputs | | Level 3
Significant
Unobservable Inputs |
| Assets: | | | | | | | |
| Investments in Securities: | | | | | | | |
| Asset-Backed Securities | $ 2,333,371 | | $ — | | $ 2,333,371 | | $ — |
| Common Stocks: | | | | | | | |
| Energy | 80,526 | | 40,196 | | — | | 40,330 |
| Other ^^ | 3,258,470 | | 3,258,470 | | — | | — |
| Total Common Stocks | 3,338,996 | | 3,298,666 | | — | | 40,330 |
| Corporate Bonds | 147,101,791 | | — | | 147,101,791 | | — |
| Foreign Bonds | 220,227,103 | | — | | 220,227,103 | | — |
| Loan Agreements | 8,178,246 | | — | | 8,178,246 | | — |
| Money Market Funds | 52,520,250 | | 52,520,250 | | — | | — |
| Mortgage-Backed Securities | 44,470,374 | | — | | 44,470,374 | | — |
| Municipal Bond | 86,354 | | — | | 86,354 | | — |
| Preferred Stocks: | | | | | | | |
| Energy | 258,604 | | 258,590 | | 14 | | — |
| Financials | 405,344 | | 405,344 | | — | | — |
| Total Preferred Stocks | 663,948 | | 663,934 | | 14 | | — |
| U.S. Treasury Obligations | 124,449,593 | | — | | 124,449,593 | | — |
| Total Assets - Investments in Securities | $603,370,026 | | $56,482,850 | | $546,846,846 | | $ 40,330 |
| Other Financial Instruments*** | | | | | | | |
| Forward Foreign Currency Contracts | $ 4,184,585 | | $ — | | $ 4,184,585 | | $ — |
| Futures Contracts | 73,591 | | 73,591 | | — | | — |
| Swap Agreements | 803,951 | | — | | 803,951 | | — |
| Total Assets - Other Financial Instruments | $ 5,062,127 | | $ 73,591 | | $ 4,988,536 | | $ — |
| Liabilities: | | | | | | | |
| Other Financial Instruments*** | | | | | | | |
| Forward Foreign Currency Contracts | $ (5,498,634) | | $ — | | $ (5,498,634) | | $ — |
| Futures Contracts | (408,142) | | (408,142) | | — | | — |
| Swap Agreements | (2,160,138) | | — | | (2,160,138) | | — |
| Total Liabilities - Other Financial Instruments | $ (8,066,914) | | $ (408,142) | | $ (7,658,772) | | $ — |
| ^^ | 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. |
Management has determined that the amount of transfers between Level 3 and Level 2 compared to total net assets is not material; therefore, the amount of transfers between Level 3 and Level 2 is not shown for the period ended June 30, 2020.
Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the reconciliation of Level 3 securities and assumptions is not shown for the period ended June 30, 2020.
See Notes to Financial Statements.
| STATEMENTS OF ASSETS AND LIABILITIES | June 30, 2020 (Unaudited) |
| | Money
Market Fund | | Low-Duration
Bond Fund |
| Assets | | | |
| Investments in securities of unaffiliated issuers, at value | $1,070,039,757 | | $ 970,963,045 |
| Investments in repurchase agreements, at value | 453,000,000 | | — |
| Investments in securities of affiliated issuers, at value | — | | 32,531,132 |
| Total investments, at value(1), (2) | 1,523,039,757 | | 1,003,494,177 |
| Cash collateral for derivatives | — | | 4,815,071 |
| Deposits with broker for futures contracts | — | | 1,492,508 |
| Foreign currency(3) | — | | 364,507 |
| Upfront premiums paid from swap agreements | — | | — |
| Receivables: | | | |
| Dividends and reclaims | — | | 16,327 |
| Interest | 324,413 | | 3,379,823 |
| Securities lending | — | | 8,604 |
| From advisor | 32,532 | | — |
| Investment securities sold | — | | 40,456,850 |
| Fund shares sold | 14,881,406 | | 1,013,000 |
| Variation margin on centrally cleared swaps | — | | 18,108 |
| Variation margin on futures contracts | — | | 77,773 |
| Unrealized appreciation on foreign currency exchange contracts | — | | 19,499 |
| Unrealized appreciation on swap agreements | — | | — |
| Prepaid expenses and other assets | 74,124 | | 47,162 |
| Total Assets | 1,538,352,232 | | 1,055,203,409 |
| Liabilities | | | |
| Cash Overdraft | — | | — |
| TBA sale commitments, at value(4) | — | | — |
| Options written, at value(5) | — | | 14,973 |
| Upfront premiums received from swap agreements | — | | 1,829,304 |
| Unrealized depreciation on foreign currency exchange contracts | — | | 677,152 |
| Unrealized depreciation on swap agreements | — | | 4,911 |
| Collateral held for securities on loan, at value | — | | 6,123,675 |
| Collateral from counterparty | — | | 2,071,356 |
| Payables: | | | |
| Investment securities purchased | — | | 54,910,949 |
| Fund shares redeemed | 5,916,490 | | 110,372 |
| Variation margin on centrally cleared swaps | — | | — |
| Variation margin on futures contracts | — | | — |
| Distributions | 172,135 | | — |
| Accrued expenses: | | | |
| Investment advisory fees | 148,065 | | 235,214 |
| Shareholder servicing fees | 93,637 | | 48,292 |
| Trustee fees | 571 | | 1,462 |
| Other expenses | 164,312 | | 206,443 |
| Total Liabilities | 6,495,210 | | 66,234,103 |
| Net Assets | $1,531,857,022 | | $ 988,969,306 |
| Net Assets Consist of: | | | |
| Paid-in-capital | $1,531,822,596 | | $ 983,505,304 |
| Distributable earnings (loss) | 34,426 | | 5,464,002 |
| Net Assets | $1,531,857,022 | | $ 988,969,306 |
| Net Asset Value: | | | |
| $0.001 par value, unlimited shares authorized | | | |
| Net assets applicable to the Institutional Class | $1,085,836,019 | | $ 750,822,947 |
| Institutional shares outstanding | 1,085,818,307 | | 55,354,289 |
| Net asset value, offering and redemption price per Institutional share | $ 1.00 | | $ 13.56 |
| Net assets applicable to the Investor Class | $ 446,021,003 | | $ 238,146,359 |
| Investor shares outstanding | 445,969,852 | | 17,550,942 |
| Net asset value, offering and redemption price per Investor share | $ 1.00 | | $ 13.57 |
| | | |
| (1)Investments in securities of unaffiliated issuers, at cost | $1,070,039,757 | | $ 960,964,820 |
| Investments in repurchase agreements, at cost | 453,000,000 | | — |
| Investments in securities of affiliated issuers, at cost | — | | 32,531,132 |
| Total investments, at cost | $1,523,039,757 | | $ 993,495,952 |
| (2)Includes securities loaned of: | $ — | | $ 64,248,308 |
| (3)Foreign currency, at cost | $ — | | $ 361,256 |
| (4)TBA sale commitments, at cost | $ — | | $ — |
| (5)Premiums received on options written | $ — | | $ 21,277 |
See Notes to Financial Statements.
Medium-Duration
Bond Fund | | Extended-Duration
Bond Fund | | Global
Bond Fund |
| | | | | |
| $1,898,475,627 | | $274,507,483 | | $564,086,438 |
| 117,500,000 | | — | | — |
| 108,109,877 | | 14,237,531 | | 39,283,588 |
| 2,124,085,504 | | 288,745,014 | | 603,370,026 |
| 26,720,251 | | — | | 4,415,951 |
| 2,816,621 | | — | | 2,523,604 |
| 4,367,914 | | — | | 3,362,538 |
| 2,286,966 | | — | | 2,337,509 |
| | | | | |
| 163,446 | | 1,459 | | 45,546 |
| 10,177,959 | | 1,795,430 | | 4,957,380 |
| 12,228 | | 5,917 | | 5,475 |
| — | | — | | — |
| 357,565,694 | | 787 | | 2,299,199 |
| 868,843 | | 439,582 | | 245,157 |
| 578,970 | | — | | — |
| — | | — | | 111,847 |
| 1,370,954 | | — | | 4,184,585 |
| 328,092 | | — | | — |
| 72,647 | | 39,526 | | 38,708 |
| 2,531,416,089 | | 291,027,715 | | 627,897,525 |
| | | | | |
| 775,928 | | 788 | | — |
| 77,743,372 | | — | | — |
| 1,445,970 | | — | | — |
| 1,949,179 | | — | | 848,922 |
| 2,236,229 | | — | | 5,498,634 |
| 64,977 | | — | | — |
| 11,871,155 | | 1,177,971 | | 13,104,295 |
| 17,030,942 | | — | | 2,990,780 |
| | | | | |
| 568,655,747 | | 4,562,168 | | 17,051,927 |
| 129,234 | | 174,013 | | 20,320 |
| — | | — | | 71,784 |
| 121,237 | | — | | — |
| — | | — | | — |
| | | | | |
| 473,943 | | 104,506 | | 229,697 |
| 71,002 | | 30,363 | | 22,202 |
| 3,822 | | 232 | | 858 |
| 432,619 | | 67,224 | | 104,242 |
| 683,005,356 | | 6,117,265 | | 39,943,661 |
| $1,848,410,733 | | $284,910,450 | | $587,953,864 |
| | | | | |
| $1,726,743,958 | | $251,170,405 | | $600,150,600 |
| 121,666,775 | | 33,740,045 | | (12,196,736) |
| $1,848,410,733 | | $284,910,450 | | $587,953,864 |
| | | | | |
| | | | | |
| $1,491,292,711 | | $133,898,290 | | $479,622,763 |
| 94,437,059 | | 6,881,886 | | 49,220,364 |
| $ 15.79 | | $ 19.46 | | $ 9.74 |
| $ 357,118,022 | | $151,012,160 | | $108,331,101 |
| 22,610,790 | | 7,759,856 | | 11,142,010 |
| $ 15.79 | | $ 19.46 | | $ 9.72 |
| | | | | |
| $1,818,715,529 | | $249,209,028 | | $564,469,374 |
| 117,500,000 | | — | | — |
| 108,109,877 | | 14,237,531 | | 39,283,588 |
| $2,044,325,406 | | $263,446,559 | | $603,752,962 |
| $ 105,268,187 | | $ 35,547,117 | | $ 58,625,661 |
| $ 4,360,242 | | $ — | | $ 3,344,821 |
| $ 77,693,759 | | $ — | | $ — |
| $ 1,704,883 | | $ — | | $ — |
See Notes to Financial Statements.
| STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2020 (Unaudited) |
| | Money
Market Fund | | Low-Duration
Bond Fund |
| Investment Income | | | |
| Dividends | $ — | | $ 5,244 |
| Income distributions received from affiliated funds | — | | 102,919 |
| Interest | 6,852,748 | | 10,175,320 |
| Securities lending, net | — | | 43,078 |
| Less foreign taxes withheld | — | | — |
| Total Investment Income | 6,852,748 | | 10,326,561 |
| Expenses | | | |
| Investment advisory fees | 819,887 | | 1,426,813 |
| Transfer agent fees: | | | |
| Institutional shares | 2,328 | | 2,406 |
| Investor shares | 18,544 | | 8,688 |
| Custodian fees | 8,484 | | 79,288 |
| Shareholder servicing fees: | | | |
| Investor shares | 553,612 | | 287,718 |
| Accounting and administration fees | 142,946 | | 103,124 |
| Professional fees | 43,572 | | 60,670 |
| Shareholder reporting fees: | | | |
| Institutional shares | — | | 650 |
| Investor shares | — | | 5,024 |
| Trustees expenses | 4,914 | | 2,141 |
| Line of credit facility fees | 1,677 | | 537 |
| Other expenses | 69,238 | | 30,140 |
| Total Expenses | 1,665,202 | | 2,007,199 |
| Expenses waived/reimbursed(1) | (36,536) | | — |
| Net Expenses | 1,628,666 | | 2,007,199 |
| Net Investment Income | 5,224,082 | | 8,319,362 |
| Realized and Unrealized Gain (Loss) | | | |
| Net realized gain (loss) from: | | | |
| Investment securities | 6,827 | | 6,127,811 |
| Investment securities sold short | — | | (33,281) |
| Futures transactions | — | | 1,255,437 |
| Swap agreements | — | | (293,044) |
| Option contracts written | — | | 10,091 |
| Option contracts purchased | — | | — |
| Forward foreign currency contracts | — | | 1,740,263 |
| Foreign currency | — | | (7,177) |
| Net realized gain (loss) | 6,827 | | 8,800,100 |
| Net change in unrealized appreciation (depreciation) on: | | | |
| Investment securities | — | | 3,286,914 |
| Investment securities sold short | — | | 9,140 |
| Futures | — | | 171,318 |
| Swap agreements | — | | (990,937) |
| Option contracts written | — | | 24,988 |
| Option contracts purchased | — | | — |
| Forward foreign currency contracts | — | | 372,505 |
| Foreign currency | — | | 157,475 |
| Net change in unrealized appreciation (depreciation) | — | | 3,031,403 |
| Net Realized and Unrealized Gain (Loss) | 6,827 | | 11,831,503 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | $5,230,909 | | $20,150,865 |
| |
| (1) | See Note 3c in Notes to Financial Statements. |
See Notes to Financial Statements.
Medium-Duration
Bond Fund | | Extended-Duration
Bond Fund | | Global
Bond Fund |
| | | | | |
| $ 17,818 | | $ 11,419 | | $ 207,167 |
| 286,699 | | 46,262 | | 121,478 |
| 23,793,630 | | 3,950,566 | | 10,397,928 |
| 57,251 | | 28,878 | | 64,428 |
| 41,329 | | — | | (55,458) |
| 24,196,727 | | 4,037,125 | | 10,735,543 |
| | | | | |
| 2,813,994 | | 613,409 | | 1,390,652 |
| | | | | |
| 2,457 | | 2,105 | | 2,321 |
| 11,779 | | 8,934 | | 9,782 |
| 279,098 | | 12,274 | | 54,371 |
| | | | | |
| 410,153 | | 179,231 | | 140,281 |
| 188,008 | | 28,796 | | 62,008 |
| 59,206 | | 57,469 | | 61,743 |
| | | | | |
| 526 | | 1,357 | | 1,348 |
| 3,834 | | 3,339 | | 3,169 |
| 2,801 | | 1,132 | | 1,250 |
| 625 | | 538 | | 324 |
| 55,623 | | 21,686 | | 24,259 |
| 3,828,104 | | 930,270 | | 1,751,508 |
| — | | — | | — |
| 3,828,104 | | 930,270 | | 1,751,508 |
| 20,368,623 | | 3,106,855 | | 8,984,035 |
| | | | | |
| | | | | |
| 37,542,735 | | 8,372,032 | | (3,340,198) |
| (1,649,215) | | — | | — |
| 33,276,526 | | (71,493) | | (6,166,991) |
| (4,202,458) | | — | | 3,288,241 |
| 2,877,627 | | — | | — |
| (1,578,211) | | — | | (61,810) |
| 179,754 | | — | | (2,101,317) |
| (1,849,381) | | (6,198) | | 20,785 |
| 64,597,377 | | 8,294,341 | | (8,361,290) |
| | | | | |
| 30,550,127 | | 9,813,508 | | (9,886,115) |
| 96,600 | | — | | — |
| 4,380,262 | | — | | (1,060,278) |
| (13,535,749) | | — | | (1,361,409) |
| (26,347) | | — | | — |
| (104,887) | | — | | — |
| 443,865 | | — | | 389,336 |
| 41,229 | | (3,411) | | (106,866) |
| 21,845,100 | | 9,810,097 | | (12,025,332) |
| 86,442,477 | | 18,104,438 | | (20,386,622) |
| $106,811,100 | | $21,211,293 | | $(11,402,587) |
See Notes to Financial Statements.
| STATEMENTS OF CHANGES IN NET ASSETS |
| | Money Market Fund |
| | For the Six
Months Ended | | For the Year Ended |
| | 06/30/20 | | 12/31/19 |
| | (Unaudited) | | |
| Operations: | | | |
| Net investment income | $ 5,224,082 | | $ 27,768,702 |
| Net realized gain on investment securities, foreign currency and derivatives | 6,827 | | 22,056 |
| Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | — | | — |
| Net increase in net assets resulting from operations | 5,230,909 | | 27,790,758 |
| Distributions to Shareholders: | | | |
| Institutional shares | (4,070,241) | | (20,503,404) |
| Investor shares | (1,153,842) | | (7,265,298) |
| Total distributions | (5,224,083) | | (27,768,702) |
| Capital Share Transactions: | | | |
| Proceeds from shares sold | | | |
| Institutional shares | 3,490,437,439 | | 4,301,371,522 |
| Investor shares | 350,134,954 | | 372,222,654 |
| Reinvestment of dividends and distributions | | | |
| Institutional shares | 902,143 | | 4,362,064 |
| Investor shares | 1,146,594 | | 7,235,378 |
| Total proceeds from shares sold and reinvested | 3,842,621,130 | | 4,685,191,618 |
| Value of shares redeemed | | | |
| Institutional shares | (3,309,708,062) | | (4,243,079,203) |
| Investor shares | (297,231,340) | | (395,729,388) |
| Total value of shares redeemed | (3,606,939,402) | | (4,638,808,591) |
| Net increase (decrease) from capital share transactions(1) | 235,681,728 | | 46,383,027 |
| Total increase (decrease) in net assets | 235,688,554 | | 46,405,083 |
| Net Assets: | | | |
| Beginning of Period | 1,296,168,468 | | 1,249,763,385 |
| End of Period | $ 1,531,857,022 | | $ 1,296,168,468 |
| |
| (1) | See Note 6 in Notes to Financial Statements. |
See Notes to Financial Statements.
| Low-Duration Bond Fund | | Medium-Duration Bond Fund |
For the Six
Months Ended | | For the Year Ended | | For the Six
Months Ended | | For the Year Ended |
| 06/30/20 | | 12/31/19 | | 06/30/20 | | 12/31/19 |
| (Unaudited) | | | | (Unaudited) | | |
| | | | | | | |
| $ 8,319,362 | | $ 22,321,038 | | $ 20,368,623 | | $ 46,984,801 |
| 8,800,100 | | 3,952,380 | | 64,597,377 | | 40,474,870 |
| 3,031,403 | | 10,370,747 | | 21,845,100 | | 65,182,378 |
| 20,150,865 | | 36,644,165 | | 106,811,100 | | 152,642,049 |
| | | | | | | |
| (6,611,364) | | (17,790,895) | | (17,011,026) | | (56,907,805) |
| (1,784,508) | | (5,457,648) | | (3,497,244) | | (11,258,355) |
| (8,395,872) | | (23,248,543) | | (20,508,270) | | (68,166,160) |
| | | | | | | |
| | | | | | | |
| 72,174,633 | | 167,454,014 | | 124,343,253 | | 201,720,715 |
| 44,505,337 | | 33,889,114 | | 82,281,227 | | 70,098,535 |
| | | | | | | |
| 6,563,236 | | 17,570,330 | | 16,947,133 | | 56,765,981 |
| 1,781,783 | | 5,450,732 | | 3,400,730 | | 11,047,637 |
| 125,024,989 | | 224,364,190 | | 226,972,343 | | 339,632,868 |
| | | | | | | |
| (98,689,148) | | (35,643,763) | | (197,597,012) | | (93,164,235) |
| (43,825,290) | | (115,855,201) | | (51,465,522) | | (57,821,223) |
| (142,514,438) | | (151,498,964) | | (249,062,534) | | (150,985,458) |
| (17,489,449) | | 72,865,226 | | (22,090,191) | | 188,647,410 |
| (5,734,456) | | 86,260,848 | | 64,212,639 | | 273,123,299 |
| | | | | | | |
| 994,703,762 | | 908,442,914 | | 1,784,198,094 | | 1,511,074,795 |
| $ 988,969,306 | | $ 994,703,762 | | $1,848,410,733 | | $1,784,198,094 |
See Notes to Financial Statements.
| STATEMENTS OF CHANGES IN NET ASSETS |
| | Extended-Duration Bond Fund | | Global Bond Fund |
| | For the Six
Months Ended | | For the Year Ended | | For the Six
Months Ended | | For the Year Ended |
| | 06/30/20 | | 12/31/19 | | 06/30/20 | | 12/31/19 |
| | (Unaudited) | | | | (Unaudited) | | |
| Operations: | | | | | | | |
| Net investment income | $ 3,106,855 | | $ 6,785,891 | | $ 8,984,035 | | $ 23,941,182 |
| Net realized gain (loss) on investment securities, foreign currency and derivatives | 8,294,341 | | 4,754,284 | | (8,361,290) | | (3,994,830) |
| Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | 9,810,097 | | 18,229,682 | | (12,025,332) | | 39,095,675 |
| Net increase (decrease) in net assets resulting from operations | 21,211,293 | | 29,769,857 | | (11,402,587) | | 59,042,027 |
| Distributions to Shareholders: | | | | | | | |
| Institutional shares | (2,048,939) | | (4,926,054) | | (3,871,804) | | (16,524,236) |
| Investor shares | (2,194,420) | | (4,865,967) | | (927,516) | | (3,697,240) |
| Total distributions | (4,243,359) | | (9,792,021) | | (4,799,320) | | (20,221,476) |
| Capital Share Transactions: | | | | | | | |
| Proceeds from shares sold | | | | | | | |
| Institutional shares | 25,838,160 | | 20,612,237 | | 23,263,997 | | 70,146,932 |
| Investor shares | 57,417,917 | | 38,819,908 | | 17,658,187 | | 39,444,364 |
| Reinvestment of dividends and distributions | | | | | | | |
| Institutional shares | 2,045,666 | | 4,921,573 | | 3,869,821 | | 16,514,524 |
| Investor shares | 2,190,007 | | 4,851,622 | | 914,831 | | 3,666,832 |
| Total proceeds from shares sold and reinvested | 87,491,750 | | 69,205,340 | | 45,706,836 | | 129,772,652 |
| Value of shares redeemed | | | | | | | |
| Institutional shares | (30,677,808) | | (15,737,574) | | (22,081,361) | | (40,079,129) |
| Investor shares | (45,556,281) | | (37,177,678) | | (29,559,429) | | (42,099,782) |
| Total value of shares redeemed | (76,234,089) | | (52,915,252) | | (51,640,790) | | (82,178,911) |
| Net increase (decrease) from capital share transactions(1) | 11,257,661 | | 16,290,088 | | (5,933,954) | | 47,593,741 |
| Total increase (decrease) in net assets | 28,225,595 | | 36,267,924 | | (22,135,861) | | 86,414,292 |
| Net Assets: | | | | | | | |
| Beginning of Period | 256,684,855 | | 220,416,931 | | 610,089,725 | | 523,675,433 |
| End of Period | $284,910,450 | | $256,684,855 | | $587,953,864 | | $610,089,725 |
| |
| (1) | See Note 6 in Notes to Financial Statements. |
See Notes to Financial Statements.
| FINANCIAL HIGHLIGHTS (Unaudited) |
| For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | | | | | | Ratios to Average Net Assets | |
| | Net Asset
Value,
Beginning
of Period | 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
Period | Total
Return | Net Assets,
End of Period
(000) | Expenses,
Net | Expenses,
Gross | Investment
Income,
Net
| Portfolio
Turnover
Rate |
| Money Market Fund |
| Institutional Class |
| 2020(1) | $ 1.00 | $ —† | $ —† | $ — | $ —† | $ — | $ — | $ 1.00 | 0.41% | $1,085,836 | 0.14% | 0.14% | 0.75% | N/A |
| 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 |
| 2020(1) | $ 1.00 | $ —† | $ —† | $ — | $ —† | $ — | $ — | $ 1.00 | 0.28% | $ 446,021 | 0.39% | 0.41% | 0.52% | N/A |
| 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 |
| 2020(1) | $13.40 | $0.12 | $ 0.16 | $ 0.28 | $(0.12) | $ — | $(0.12) | $13.56 | 2.10% | $ 750,823 | 0.35% | 0.35% | 1.78% | 147% |
| 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(2) | 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)(2) | 0.11 | (0.22) | — | (0.22) | 13.30 | 0.79 | 617,698 | 0.37 | 0.38 | 1.52 | 746 |
| Investor Class |
| 2020(1) | $13.40 | $0.10 | $ 0.17 | $ 0.27 | $(0.10) | $ — | $(0.10) | $13.57 | 2.05% | $ 238,146 | 0.62% | 0.62% | 1.51% | 147% |
| 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(2) | 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)(2) | 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 |
| 2020(1) | $15.05 | $0.18 | $ 0.74 | $ 0.92 | $(0.18) | $ — | $(0.18) | $15.79 | 6.16% | $1,491,293 | 0.38% | 0.38% | 2.36% | 255% |
| 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(2) | 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)(2) | 0.02 | (0.54) | (0.22) | (0.76) | 14.44 | 0.03 | 706,760 | 0.45 | 0.47 | 2.46 | 346 |
| Investor Class |
| 2020(1) | $15.06 | $0.16 | $ 0.73 | $ 0.89 | $(0.16) | $ — | $(0.16) | $15.79 | 5.96% | $ 357,118 | 0.65% | 0.65% | 2.08% | 255% |
| 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(2) | 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)(2) | (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) | For the six months ended June 30, 2020. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
| (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. |
See Notes to Financial Statements.
FINANCIAL HIGHLIGHTS (Unaudited) (Continued)
| For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | | | | | | Ratios to Average Net Assets | |
| | Net Asset
Value,
Beginning
of Period | 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
Period | Total
Return | Net Assets,
End of Period
(000) | Expenses,
Net | Expenses,
Gross | Investment
Income,
Net
| Portfolio
Turnover
Rate |
| Extended-Duration Bond Fund |
| Institutional Class |
| 2020(1) | $18.23 | $0.23 | $ 1.31 | $ 1.54 | $(0.22) | $(0.09) | $(0.31) | $19.46 | 8.49% | $133,898 | 0.55% | 0.55% | 2.44% | 44% |
| 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(2) | 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)(2) | (0.96) | (1.42) | (1.51) | (2.93) | 17.37 | (5.01) | 148,920 | 0.60 | 0.60 | 4.09 | 42 |
| Investor Class |
| 2020(1) | $18.23 | $0.20 | $ 1.32 | $ 1.52 | $(0.20) | $(0.09) | $(0.29) | $19.46 | 8.42% | $151,012 | 0.81% | 0.81% | 2.17% | 44% |
| 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(2) | 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)(2) | (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 |
| 2020(1) | $10.01 | $0.15 | $(0.34) | $(0.19) | $(0.01) | $(0.07) | $(0.08) | $ 9.74 | (1.72)% | $479,623 | 0.55% | 0.55% | 3.14% | 40% |
| 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(2) | 1.01 | (0.41) | — | (0.41) | 9.68 | 11.24 | 338,475 | 0.59 | 0.60 | 4.73 | 28 |
| 2015(3) | 10.09 | 0.27 | (1.02)(2) | (0.75) | (0.26) | — | (0.26) | 9.08 | (7.54) | 311,374 | 0.59 | 0.62 | 4.15 | 30 |
| Investor Class |
| 2020(1) | $10.00 | $0.14 | $(0.34) | $(0.20) | $(0.01) | $(0.07) | $(0.08) | $ 9.72 | (1.93)% | $108,331 | 0.83% | 0.83% | 2.87% | 40% |
| 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(2) | 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)(2) | (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) | For the six months ended June 30, 2020. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
| (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. |
See Notes to Financial Statements.
DEFENSIVE MARKET STRATEGIES® FUND
June 30, 2020 (Unaudited)
| | | Shares | | Value |
| COMMON STOCKS — 40.2% |
| Communication Services — 2.6% | | |
| Activision Blizzard, Inc. | 3,154 | | $ 239,389 |
| Alphabet, Inc. Class A* | 2,860 | | 4,055,623 |
| Alphabet, Inc. Class C* | 500 | | 706,805 |
| AT&T, Inc. | 20,216 | | 611,130 |
| CenturyLink, Inc. | 1,651 | | 16,560 |
| Charter Communications, Inc. Class A* | 271 | | 138,221 |
| Comcast Corporation Class A | 7,843 | | 305,720 |
| Discovery, Inc. Class C* | 631 | | 12,153 |
| Electronic Arts, Inc.* | 520 | | 68,666 |
| Facebook, Inc. Class A* | 18,987 | | 4,311,378 |
| Fox Corporation Class A | 620 | | 16,628 |
| Interpublic Group of Cos., Inc. (The) | 1,178 | | 20,214 |
| Netflix, Inc.* | 5,493 | | 2,499,535 |
| Omnicom Group, Inc. | 595 | | 32,487 |
| Take-Two Interactive Software, Inc.* | 254 | | 35,451 |
| T-Mobile US, Inc.Δ* | 33,536 | | 3,492,774 |
| Twitter, Inc.* | 1,198 | | 35,688 |
| Verizon Communications, Inc. | 245,076 | | 13,511,040 |
| ViacomCBS, Inc. Class B | 1,128 | | 26,305 |
| Walt Disney Co. (The) | 10,543 | | 1,175,650 |
| | | | | 31,311,417 |
| Consumer Discretionary — 1.6% | | |
| Advance Auto Parts, Inc. | 122 | | 17,379 |
| Amazon.com, Inc.* | 2,012 | | 5,550,746 |
| AutoZone, Inc.* | 38 | | 42,868 |
| Best Buy Co., Inc. | 2,007 | | 175,151 |
| Booking Holdings, Inc.* | 618 | | 984,066 |
| BorgWarner, Inc. | 232 | | 8,190 |
| CarMax, Inc.* | 194 | | 17,373 |
| Carnival Corporation | 785 | | 12,890 |
| Chipotle Mexican Grill, Inc.* | 41 | | 43,147 |
| D.R. Horton, Inc. | 708 | | 39,259 |
| Darden Restaurants, Inc. | 223 | | 16,897 |
| Dollar General Corporation | 446 | | 84,967 |
| Dollar Tree, Inc.* | 447 | | 41,428 |
| eBay, Inc. | 1,311 | | 68,762 |
| Expedia Group, Inc. | 208 | | 17,098 |
| Ford Motor Co. | 5,961 | | 36,243 |
| General Motors Co. | 1,694 | | 42,858 |
| Genuine Parts Co. | 300 | | 26,088 |
| H&R Block, Inc. | 737 | | 10,524 |
| Hanesbrands, Inc. | 827 | | 9,337 |
| Hasbro, Inc. | 196 | | 14,690 |
| Hilton Worldwide Holdings, Inc. | 512 | | 37,606 |
| Home Depot, Inc. (The) | 14,502 | | 3,632,896 |
| Kohl’s Corporation | 641 | | 13,314 |
| Leggett & Platt, Inc. | 362 | | 12,724 |
| Lennar Corporation Class A | 374 | | 23,046 |
| LKQ Corporation* | 551 | | 14,436 |
| Lowe’s Cos., Inc. | 7,364 | | 995,024 |
| Lululemon Athletica, Inc.Δ* | 5,326 | | 1,661,765 |
| Marriott International, Inc. Class A | 579 | | 49,638 |
| McDonald’s Corporation | 1,444 | | 266,375 |
| Newell Brands, Inc. | 1,034 | | 16,420 |
| | | Shares | | Value |
| NIKE, Inc. Class B | 18,086 | | $ 1,773,332 |
| Norwegian Cruise Line Holdings, Ltd.* | 381 | | 6,260 |
| NVR, Inc.* | 4 | | 13,035 |
| O’Reilly Automotive, Inc.* | 106 | | 44,697 |
| PulteGroup, Inc. | 555 | | 18,887 |
| Ralph Lauren Corporation | 137 | | 9,935 |
| Ross Stores, Inc. | 3,338 | | 284,531 |
| Royal Caribbean Cruises, Ltd. | 441 | | 22,182 |
| Starbucks Corporation | 2,041 | | 150,197 |
| Target Corporation | 21,713 | | 2,604,040 |
| Tiffany & Co. | 210 | | 25,607 |
| TJX Cos., Inc. (The) | 2,117 | | 107,035 |
| Tractor Supply Co. | 240 | | 31,630 |
| Ulta Beauty, Inc.* | 77 | | 15,663 |
| VF Corporation | 646 | | 39,367 |
| Whirlpool Corporation | 122 | | 15,803 |
| Yum! Brands, Inc. | 520 | | 45,193 |
| | | | | 19,190,599 |
| Consumer Staples — 5.8% | | |
| Archer-Daniels-Midland Co. | 503 | | 20,070 |
| Campbell Soup Co. | 310 | | 15,385 |
| Casey’s General Stores, Inc. | 8,888 | | 1,328,934 |
| Church & Dwight Co., Inc. | 5,382 | | 416,029 |
| Clorox Co. (The) | 12,451 | | 2,731,376 |
| Coca-Cola Co. (The) | 70,878 | | 3,166,829 |
| Colgate-Palmolive Co. | 96,632 | | 7,079,260 |
| Conagra Brands, Inc. | 599 | | 21,067 |
| Costco Wholesale Corporation | 11,807 | | 3,580,000 |
| Coty, Inc. Class A | 1,852 | | 8,278 |
| Estee Lauder Cos., Inc. (The) Class A | 10,581 | | 1,996,423 |
| General Mills, Inc. | 1,134 | | 69,911 |
| Hershey Co. (The) | 41,970 | | 5,440,151 |
| Hormel Foods CorporationΔ | 71,319 | | 3,442,568 |
| Ingredion, Inc. | 9,811 | | 814,313 |
| J.M. Smucker Co. (The) | 250 | | 26,453 |
| Kellogg Co. | 581 | | 38,381 |
| Kimberly-Clark Corporation | 72,217 | | 10,207,873 |
| Kraft Heinz Co. (The) | 1,212 | | 38,651 |
| Kroger Co. (The) | 41,864 | | 1,417,096 |
| Lamb Weston Holdings, Inc. | 14,238 | | 910,235 |
| McCormick & Co., Inc. (Non-Voting Shares) | 9,412 | | 1,688,607 |
| Mondelez International, Inc. Class A | 7,903 | | 404,080 |
| Monster Beverage Corporation* | 23,508 | | 1,629,575 |
| PepsiCo, Inc. | 28,305 | | 3,743,619 |
| Procter & Gamble Co. (The) | 65,666 | | 7,851,684 |
| Sprouts Farmers Market, Inc.* | 9,702 | | 248,274 |
| Sysco Corporation | 4,975 | | 271,933 |
| Tyson Foods, Inc. Class A | 450 | | 26,870 |
| Walgreens Boots Alliance, Inc. | 1,543 | | 65,408 |
| Walmart, Inc. | 92,787 | | 11,114,027 |
| | | | | 69,813,360 |
| Energy — 0.4% | | |
| Apache Corporation | 581 | | 7,844 |
| Baker Hughes Co. | 1,062 | | 16,344 |
See Notes to Financial Statements.
DEFENSIVE MARKET STRATEGIES® FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | Shares | | Value |
| Cabot Oil & Gas Corporation | 765 | | $ 13,143 |
| Chevron Corporation | 45,366 | | 4,048,008 |
| Concho Resources, Inc. | 317 | | 16,325 |
| ConocoPhillips | 1,969 | | 82,737 |
| Devon Energy Corporation | 701 | | 7,949 |
| Diamondback Energy, Inc. | 209 | | 8,740 |
| EOG Resources, Inc. | 1,122 | | 56,841 |
| Exxon Mobil Corporation | 7,775 | | 347,698 |
| Halliburton Co. | 1,147 | | 14,888 |
| Hess Corporation | 364 | | 18,859 |
| Kinder Morgan, Inc. | 3,804 | | 57,707 |
| Marathon Oil Corporation | 1,211 | | 7,411 |
| Marathon Petroleum Corporation | 1,299 | | 48,557 |
| Noble Energy, Inc. | 607 | | 5,439 |
| Occidental Petroleum Corporation | 1,733 | | 31,714 |
| ONEOK, Inc. | 883 | | 29,333 |
| Phillips 66 | 752 | | 54,069 |
| Pioneer Natural Resources Co. | 180 | | 17,586 |
| Valero Energy Corporation | 667 | | 39,233 |
| Williams Cos., Inc. (The) | 2,719 | | 51,715 |
| | | | | 4,982,140 |
| Financials — 5.6% | | |
| Aflac, Inc. | 56,918 | | 2,050,756 |
| Alleghany Corporation | 891 | | 435,824 |
| Allstate Corporation (The) | 27,491 | | 2,666,352 |
| American Express Co. | 4,735 | | 450,772 |
| American International Group, Inc. | 1,388 | | 43,278 |
| Ameriprise Financial, Inc. | 17,771 | | 2,666,361 |
| Arthur J. Gallagher & Co. | 390 | | 38,021 |
| Assurant, Inc. | 75 | | 7,747 |
| Bank of America Corporation | 13,985 | | 332,144 |
| Bank of Hawaii Corporation | 7,533 | | 462,602 |
| Bank of New York Mellon Corporation (The) | 117,930 | | 4,557,994 |
| Berkshire Hathaway, Inc. Class B* | 3,137 | | 559,986 |
| BlackRock, Inc. | 10,097 | | 5,493,677 |
| Capital One Financial Corporation | 592 | | 37,053 |
| Capitol Federal Financial, Inc. | 334,100 | | 3,678,441 |
| Cboe Global Markets, Inc. | 177 | | 16,511 |
| Charles Schwab Corporation (The) | 2,052 | | 69,234 |
| Cincinnati Financial Corporation | 358 | | 22,923 |
| Citigroup, Inc. | 3,771 | | 192,698 |
| Citizens Financial Group, Inc. | 836 | | 21,101 |
| CME Group, Inc. | 16,196 | | 2,632,498 |
| Comerica, Inc. | 302 | | 11,506 |
| Commerce Bancshares, Inc. | 13,418 | | 797,968 |
| Credit Acceptance CorporationΔ* | 962 | | 403,088 |
| Discover Financial Services | 702 | | 35,163 |
| E*TRADE Financial Corporation | 326 | | 16,212 |
| East West Bancorp, Inc. | 13,129 | | 475,795 |
| Erie Indemnity Co. Class A | 861 | | 165,226 |
| Everest Re Group, Ltd. | 3,806 | | 784,797 |
| Fidelity National Financial, Inc. | 25,344 | | 777,047 |
| Fifth Third Bancorp | 1,381 | | 26,626 |
| First Citizens BancShares, Inc. Class A | 249 | | 100,850 |
| First Republic Bank | 165 | | 17,488 |
| | | Shares | | Value |
| Franklin Resources, Inc. | 699 | | $ 14,658 |
| Goldman Sachs Group, Inc. (The) | 545 | | 107,703 |
| Hartford Financial Services Group, Inc. (The) | 633 | | 24,402 |
| Huntington Bancshares, Inc. | 1,877 | | 16,959 |
| Intercontinental Exchange, Inc. | 14,483 | | 1,326,643 |
| Invesco, Ltd. | 1,559 | | 16,775 |
| JPMorgan Chase & Co. | 31,617 | | 2,973,895 |
| KeyCorp | 1,880 | | 22,898 |
| Lincoln National Corporation | 388 | | 14,275 |
| M&T Bank Corporation | 6,802 | | 707,204 |
| Markel Corporation* | 1,365 | | 1,260,127 |
| MarketAxess Holdings, Inc. | 74 | | 37,068 |
| Marsh & McLennan Cos., Inc. | 79,967 | | 8,586,057 |
| MetLife, Inc. | 1,466 | | 53,538 |
| Moody’s Corporation | 198 | | 54,397 |
| Morgan Stanley | 1,975 | | 95,393 |
| MSCI, Inc. | 128 | | 42,729 |
| Nasdaq, Inc. | 149 | | 17,801 |
| Northern Trust Corporation | 61,971 | | 4,916,779 |
| People’s United Financial, Inc. | 674 | | 7,798 |
| PNC Financial Services Group, Inc. (The) | 30,183 | | 3,175,553 |
| Principal Financial Group, Inc. | 556 | | 23,096 |
| Progressive Corporation (The) | 39,465 | | 3,161,541 |
| Prudential Financial, Inc. | 758 | | 46,162 |
| Raymond James Financial, Inc. | 240 | | 16,519 |
| Regions Financial Corporation | 1,185 | | 13,177 |
| Reinsurance Group of America, Inc. | 13,420 | | 1,052,665 |
| RenaissanceRe Holdings, Ltd. | 2,135 | | 365,149 |
| S&P Global, Inc. | 991 | | 326,515 |
| SEI Investments Co. | 5,739 | | 315,530 |
| State Street Corporation | 9,379 | | 596,035 |
| SVB Financial Group* | 3,993 | | 860,611 |
| Synchrony Financial | 757 | | 16,775 |
| T. Rowe Price Group, Inc. | 24,245 | | 2,994,257 |
| TFS Financial Corporation | 6,505 | | 93,087 |
| Travelers Cos., Inc. (The) | 17,942 | | 2,046,285 |
| Truist Financial Corporation | 2,408 | | 90,420 |
| U.S. Bancorp | 12,436 | | 457,894 |
| Unum Group | 295 | | 4,894 |
| W.R. Berkley Corporation | 6,254 | | 358,292 |
| Wells Fargo & Co. | 31,309 | | 801,510 |
| Zions Bancorp NA | 159 | | 5,406 |
| | | | | 67,166,211 |
| Health Care — 5.3% | | |
| Abbott Laboratories | 15,091 | | 1,379,770 |
| ABIOMED, Inc.* | 2,308 | | 557,520 |
| Agilent Technologies, Inc. | 6,618 | | 584,833 |
| Alexion Pharmaceuticals, Inc.* | 526 | | 59,038 |
| Align Technology, Inc.* | 3,541 | | 971,792 |
| Amgen, Inc. | 4,214 | | 993,914 |
| Anthem, Inc. | 1,697 | | 446,277 |
| Baxter International, Inc. | 1,831 | | 157,649 |
| Becton, Dickinson and Co. | 21,684 | | 5,188,331 |
| Biogen, Inc.* | 8,412 | | 2,250,631 |
| Bio-Rad Laboratories, Inc. Class A* | 99 | | 44,698 |
See Notes to Financial Statements.
| | | Shares | | Value |
| Boston Scientific Corporation* | 2,122 | | $ 74,503 |
| Bristol-Myers Squibb Co. | 6,392 | | 375,850 |
| Cardinal Health, Inc. | 670 | | 34,967 |
| Centene Corporation* | 1,047 | | 66,537 |
| Cerner Corporation | 20,727 | | 1,420,836 |
| Chemed Corporation | 2,596 | | 1,170,978 |
| Cigna Corporation | 643 | | 120,659 |
| CVS Health Corporation | 2,552 | | 165,803 |
| Danaher Corporation | 11,254 | | 1,990,045 |
| DaVita, Inc.* | 199 | | 15,749 |
| DENTSPLY SIRONA, Inc. | 352 | | 15,509 |
| DexCom, Inc.* | 33 | | 13,378 |
| Edwards Lifesciences Corporation* | 16,185 | | 1,118,545 |
| Eli Lilly and Co. | 23,196 | | 3,808,319 |
| Gilead Sciences, Inc. | 2,481 | | 190,888 |
| HCA Healthcare, Inc. | 518 | | 50,277 |
| Henry Schein, Inc.* | 29,656 | | 1,731,614 |
| Hologic, Inc.* | 508 | | 28,956 |
| Humana, Inc. | 232 | | 89,958 |
| IDEXX Laboratories, Inc.* | 111 | | 36,648 |
| Illumina, Inc.* | 2,511 | | 929,949 |
| Incyte Corporation* | 414 | | 43,044 |
| Intuitive Surgical, Inc.* | 5,791 | | 3,299,886 |
| IQVIA Holdings, Inc.* | 930 | | 131,948 |
| Johnson & Johnson | 137,193 | | 19,293,452 |
| Laboratory Corporation of America Holdings* | 195 | | 32,391 |
| McKesson Corporation | 281 | | 43,111 |
| Mettler-Toledo International, Inc.* | 2,059 | | 1,658,627 |
| PerkinElmer, Inc. | 318 | | 31,193 |
| Quest Diagnostics, Inc. | 14,321 | | 1,632,021 |
| Regeneron Pharmaceuticals, Inc.* | 545 | | 339,889 |
| ResMed, Inc. | 252 | | 48,384 |
| Stryker Corporation | 8,775 | | 1,581,167 |
| Teleflex, Inc. | 72 | | 26,207 |
| Thermo Fisher Scientific, Inc. | 7,957 | | 2,883,139 |
| UnitedHealth Group, Inc. | 13,018 | | 3,839,659 |
| Universal Health Services, Inc. Class B | 174 | | 16,163 |
| Varian Medical Systems, Inc.* | 3,848 | | 471,457 |
| Vertex Pharmaceuticals, Inc.* | 687 | | 199,443 |
| Waters Corporation* | 639 | | 115,276 |
| West Pharmaceutical Services, Inc. | 3,639 | | 826,672 |
| Zimmer Biomet Holdings, Inc. | 334 | | 39,866 |
| Zoetis, Inc. | 11,928 | | 1,634,613 |
| | | | | 64,272,029 |
| Industrials — 5.4% | | |
| 3M Co. | 15,887 | | 2,478,213 |
| A.O. Smith Corporation | 278 | | 13,099 |
| Alaska Air Group, Inc. | 219 | | 7,941 |
| American Airlines Group, Inc. | 534 | | 6,979 |
| AMETEK, Inc. | 278 | | 24,845 |
| Boeing Co. (The) | 924 | | 169,369 |
| C.H. Robinson Worldwide, Inc. | 11,401 | | 901,363 |
| Carrier Global Corporation | 1,485 | | 32,997 |
| Caterpillar, Inc. | 11,231 | | 1,420,721 |
| Cintas Corporation | 4,629 | | 1,232,980 |
| | | Shares | | Value |
| Copart, Inc.* | 6,132 | | $ 510,612 |
| CoStar Group, Inc.* | 830 | | 589,856 |
| CSX Corporation | 1,343 | | 93,661 |
| Cummins, Inc. | 1,096 | | 189,893 |
| Deere & Co. | 531 | | 83,447 |
| Delta Air Lines, Inc. | 1,297 | | 36,381 |
| Dover Corporation | 192 | | 18,540 |
| Emerson Electric Co. | 172,844 | | 10,721,513 |
| Equifax, Inc. | 203 | | 34,892 |
| Expeditors International of Washington, Inc. | 24,038 | | 1,827,850 |
| Fastenal Co. | 1,061 | | 45,453 |
| FedEx Corporation | 5,053 | | 708,532 |
| Flowserve Corporation | 291 | | 8,299 |
| Fortive CorporationΔ | 3,752 | | 253,860 |
| Fortune Brands Home & Security, Inc. | 191 | | 12,211 |
| General Dynamics Corporation | 433 | | 64,716 |
| General Electric Co. | 15,358 | | 104,895 |
| Honeywell International, Inc. | 15,533 | | 2,245,916 |
| Hubbell, Inc. | 53,889 | | 6,755,525 |
| Huntington Ingalls Industries, Inc. | 90 | | 15,704 |
| IDEX Corporation | 1,433 | | 226,471 |
| IHS Markit, Ltd. | 500 | | 37,750 |
| Illinois ToolWorks, Inc. | 20,463 | | 3,577,956 |
| Ingersoll Rand, Inc.* | 380 | | 10,686 |
| J.B. Hunt Transport Services, Inc. | 166 | | 19,976 |
| Jacobs Engineering Group, Inc. | 178 | | 15,094 |
| Kansas City Southern | 154 | | 22,991 |
| L3Harris Technologies, Inc. | 371 | | 62,948 |
| Landstar System, Inc. | 10,051 | | 1,128,828 |
| Lockheed Martin Corporation | 2,462 | | 898,433 |
| Masco Corporation | 401 | | 20,134 |
| Norfolk Southern Corporation | 38,454 | | 6,751,369 |
| Northrop Grumman Corporation | 281 | | 86,391 |
| Old Dominion Freight Line, Inc. | 11,409 | | 1,934,852 |
| Otis Worldwide Corporation | 742 | | 42,190 |
| PACCAR, Inc. | 31,613 | | 2,366,233 |
| Parker-Hannifin Corporation | 215 | | 39,403 |
| Raytheon Technologies Corporation | 31,730 | | 1,955,203 |
| Republic Services, Inc. | 53,328 | | 4,375,562 |
| Robert Half International, Inc. | 7,566 | | 399,712 |
| Rockwell Automation, Inc. | 3,263 | | 695,019 |
| Rollins, Inc. | 37,238 | | 1,578,519 |
| Roper Technologies, Inc. | 128 | | 49,697 |
| Snap-on, Inc. | 112 | | 15,513 |
| Southwest Airlines Co. | 955 | | 32,642 |
| Stanley Black & Decker, Inc. | 256 | | 35,681 |
| Teledyne Technologies, Inc.* | 2,442 | | 759,340 |
| Textron, Inc. | 272 | | 8,952 |
| TransDigm Group, Inc. | 70 | | 30,943 |
| Union Pacific Corporation | 7,123 | | 1,204,286 |
| United Airlines Holdings, Inc.* | 286 | | 9,898 |
| United Parcel Service, Inc. Class B | 25,323 | | 2,815,411 |
| United Rentals, Inc.* | 123 | | 18,332 |
| Verisk Analytics, Inc. | 1,169 | | 198,964 |
| W.W. Grainger, Inc. | 55 | | 17,279 |
| Waste Management, Inc. | 29,980 | | 3,175,182 |
See Notes to Financial Statements.
DEFENSIVE MARKET STRATEGIES® FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | Shares | | Value |
| Westinghouse Air Brake Technologies Corporation | 214 | | $ 12,320 |
| Xylem, Inc. | 293 | | 19,033 |
| | | | | 65,259,456 |
| Information Technology — 7.9% | | |
| Adobe, Inc.* | 9,409 | | 4,095,832 |
| Advanced Micro Devices, Inc.* | 2,002 | | 105,325 |
| Akamai Technologies, Inc.* | 15,782 | | 1,690,094 |
| Amphenol Corporation Class A | 6,566 | | 629,088 |
| Analog Devices, Inc. | 634 | | 77,754 |
| ANSYS, Inc.* | 1,329 | | 387,709 |
| Apple, Inc. | 15,068 | | 5,496,806 |
| Applied Materials, Inc. | 17,868 | | 1,080,121 |
| Arista Networks, Inc.* | 84 | | 17,643 |
| Autodesk, Inc.* | 1,085 | | 259,521 |
| Automatic Data Processing, Inc. | 43,953 | | 6,544,162 |
| Broadcom, Inc. | 1,644 | | 518,863 |
| Broadridge Financial Solutions, Inc. | 168 | | 21,200 |
| Cadence Design Systems, Inc.* | 408 | | 39,152 |
| CDW Corporation | 267 | | 31,020 |
| Cisco Systems, Inc. | 174,810 | | 8,153,138 |
| Citrix Systems, Inc. | 233 | | 34,463 |
| Cognex Corporation | 16,412 | | 980,125 |
| Cognizant Technology Solutions Corporation Class A | 12,370 | | 702,863 |
| Corning, Inc. | 1,462 | | 37,866 |
| DocuSign, Inc.* | 6,395 | | 1,101,283 |
| Dropbox, Inc. Class A* | 18,164 | | 395,430 |
| DXC Technology Co. | 631 | | 10,412 |
| F5 Networks, Inc.* | 4,816 | | 671,736 |
| Fidelity National Information Services, Inc. | 926 | | 124,167 |
| Fiserv, Inc.* | 988 | | 96,449 |
| FleetCor Technologies, Inc.* | 152 | | 38,233 |
| FLIR Systems, Inc. | 145 | | 5,883 |
| Fortinet, Inc.* | 272 | | 37,337 |
| Gartner, Inc.* | 125 | | 15,166 |
| Global Payments, Inc. | 519 | | 88,033 |
| Hewlett Packard Enterprise Co. | 2,988 | | 29,073 |
| HP, Inc. | 2,404 | | 41,902 |
| Intel Corporation | 63,390 | | 3,792,624 |
| International Business Machines Corporation | 8,121 | | 980,773 |
| Intuit, Inc. | 12,350 | | 3,657,946 |
| Jack Henry & Associates, Inc. | 7,048 | | 1,297,043 |
| Juniper Networks, Inc. | 751 | | 17,168 |
| Keysight Technologies, Inc.* | 264 | | 26,606 |
| KLA Corporation | 325 | | 63,206 |
| Lam Research Corporation | 260 | | 84,100 |
| Leidos Holdings, Inc. | 268 | | 25,104 |
| Mastercard, Inc. Class A | 12,855 | | 3,801,223 |
| Maxim Integrated Products, Inc. | 80,243 | | 4,863,528 |
| Microchip Technology, Inc. | 397 | | 41,808 |
| Micron Technology, Inc.* | 1,913 | | 98,558 |
| Microsoft Corporation | 74,278 | | 15,116,316 |
| Motorola Solutions, Inc. | 293 | | 41,058 |
| National Instruments Corporation | 4,818 | | 186,505 |
| NetApp, Inc. | 760 | | 33,721 |
| | | Shares | | Value |
| NortonLifeLock, Inc. | 1,116 | | $ 22,130 |
| NVIDIA Corporation | 5,435 | | 2,064,811 |
| Oracle Corporation | 19,407 | | 1,072,625 |
| Paychex, Inc. | 16,138 | | 1,222,453 |
| Paycom Software, Inc.* | 108 | | 33,451 |
| PayPal Holdings, Inc.* | 3,961 | | 690,125 |
| Qorvo, Inc.* | 113 | | 12,490 |
| QUALCOMM, Inc. | 1,972 | | 179,866 |
| salesforce.com, Inc.* | 20,745 | | 3,886,161 |
| ServiceNow, Inc.* | 324 | | 131,239 |
| Skyworks Solutions, Inc. | 3,766 | | 481,521 |
| Synopsys, Inc.* | 220 | | 42,900 |
| Texas Instruments, Inc. | 94,054 | | 11,942,036 |
| VeriSign, Inc.* | 180 | | 37,229 |
| Visa, Inc. Class AΔ | 20,535 | | 3,966,746 |
| Western Digital Corporation | 357 | | 15,762 |
| Western Union Co. (The) | 1,340 | | 28,971 |
| Workday, Inc. Class A* | 6,057 | | 1,134,840 |
| Xilinx, Inc. | 6,280 | | 617,889 |
| Zebra Technologies Corporation Class A* | 42 | | 10,750 |
| Zscaler, Inc.* | 3,607 | | 394,966 |
| | | | | 95,674,097 |
| Materials — 1.0% | | |
| Air Products and Chemicals, Inc. | 4,747 | | 1,146,211 |
| Albemarle Corporation | 215 | | 16,600 |
| Ball Corporation | 503 | | 34,953 |
| Celanese Corporation | 213 | | 18,390 |
| CF Industries Holdings, Inc. | 450 | | 12,663 |
| Corteva, Inc. | 1,360 | | 36,434 |
| Dow, Inc. | 1,521 | | 61,996 |
| DuPont de Nemours, Inc. | 1,360 | | 72,257 |
| Eastman Chemical Co. | 225 | | 15,669 |
| Ecolab, Inc. | 16,549 | | 3,292,424 |
| FMC Corporation | 156 | | 15,541 |
| Freeport-McMoRan, Inc. | 1,705 | | 19,727 |
| International Flavors & Fragrances, Inc. | 140 | | 17,144 |
| International Paper Co. | 998 | | 35,140 |
| Martin Marietta Materials, Inc. | 6,080 | | 1,255,946 |
| Newmont Corporation | 12,712 | | 784,839 |
| Nucor Corporation | 652 | | 26,999 |
| Packaging Corporation of America | 26,267 | | 2,621,447 |
| PPG Industries, Inc. | 6,306 | | 668,814 |
| Royal Gold, Inc. | 1,162 | | 144,460 |
| Sealed Air Corporation | 385 | | 12,647 |
| Sherwin-Williams Co. (The) | 1,986 | | 1,147,610 |
| Vulcan Materials Co. | 148 | | 17,146 |
| | | | | 11,475,057 |
| Real Estate — 0.1% | | |
| Alexandria Real Estate Equities, Inc. REIT | 172 | | 27,907 |
| American Tower Corporation REIT | 766 | | 198,042 |
| Apartment Investment and Management Co. Class A REIT | 480 | | 18,067 |
| AvalonBay Communities, Inc. REIT | 239 | | 36,959 |
| Boston Properties, Inc. REIT | 257 | | 23,228 |
See Notes to Financial Statements.
| | | Shares | | Value |
| CBRE Group, Inc. Class A* | 366 | | $ 16,550 |
| Crown Castle International Corporation REIT | 714 | | 119,488 |
| Digital Realty Trust, Inc. REIT | 362 | | 51,444 |
| Equinix, Inc. REIT | 151 | | 106,047 |
| Equity Residential REIT | 647 | | 38,057 |
| Essex Property Trust, Inc. REIT | 71 | | 16,271 |
| Extra Space Storage, Inc. REIT | 205 | | 18,936 |
| Federal Realty Investment Trust REIT | 105 | | 8,947 |
| Healthpeak Properties, Inc. REIT | 1,300 | | 35,828 |
| Host Hotels & Resorts, Inc. REIT | 1,318 | | 14,221 |
| Iron Mountain, Inc. REIT | 1,187 | | 30,981 |
| Kimco Realty Corporation REIT | 1,153 | | 14,804 |
| Mid-America Apartment Communities, Inc. REIT | 202 | | 23,163 |
| Prologis, Inc. REIT | 1,241 | | 115,823 |
| Public Storage REIT | 316 | | 60,637 |
| Realty Income Corporation REIT | 702 | | 41,769 |
| Regency Centers Corporation REIT | 353 | | 16,199 |
| SBA Communications Corporation REIT | 150 | | 44,688 |
| Simon Property Group, Inc. REIT | 737 | | 50,396 |
| SL Green Realty Corporation REIT | 174 | | 8,576 |
| UDR, Inc. REIT | 300 | | 11,214 |
| Ventas, Inc. REIT | 882 | | 32,299 |
| Vornado Realty Trust REIT | 299 | | 11,425 |
| Welltower, Inc. REIT | 697 | | 36,070 |
| Weyerhaeuser Co. REIT | 1,607 | | 36,093 |
| | | | | 1,264,129 |
| Utilities — 4.5% | | |
| AES Corporation (The) | 1,420 | | 20,576 |
| Alliant Energy Corporation | 300 | | 14,352 |
| Ameren Corporation | 30,573 | | 2,151,116 |
| American Electric Power Co., Inc. | 12,026 | | 957,751 |
| American Water Works Co., Inc. | 12,926 | | 1,663,059 |
| Atmos Energy Corporation | 78,566 | | 7,823,602 |
| CenterPoint Energy, Inc. | 792 | | 14,787 |
| CMS Energy Corporation | 355 | | 20,739 |
| Consolidated Edison, Inc. | 18,667 | | 1,342,717 |
| Dominion Energy, Inc. | 26,559 | | 2,156,060 |
| DTE Energy Co. | 13,361 | | 1,436,308 |
| Duke Energy CorporationΔ | 39,123 | | 3,125,536 |
| Edison International | 661 | | 35,899 |
| Entergy Corporation | 334 | | 31,333 |
| Evergy, Inc. | 103,033 | | 6,108,827 |
| Eversource Energy | 46,121 | | 3,840,496 |
| Exelon Corporation | 6,281 | | 227,937 |
| FirstEnergy Corporation | 986 | | 38,237 |
| IDACORP, Inc. | 4,963 | | 433,617 |
| NextEra Energy, Inc. | 13,993 | | 3,360,699 |
| NiSource, Inc. | 539 | | 12,257 |
| NRG Energy, Inc. | 488 | | 15,889 |
| ONE Gas, Inc. | 88,002 | | 6,780,554 |
| Pinnacle West Capital Corporation | 19,630 | | 1,438,683 |
| PPL Corporation | 5,186 | | 134,006 |
| Public Service Enterprise Group, Inc. | 25,776 | | 1,267,148 |
| | | Shares | | Value |
| Sempra Energy | 13,622 | | $ 1,596,907 |
| Southern Co. (The) | 2,193 | | 113,707 |
| Spire, Inc. | 92,940 | | 6,107,087 |
| WEC Energy Group, Inc. | 11,514 | | 1,009,202 |
| Xcel Energy, Inc. | 10,724 | | 670,250 |
| | | | | 53,949,338 |
Total Common Stocks
(Cost $387,017,440) | | 484,357,833 |
| FOREIGN COMMON STOCKS — 4.9% |
| Curacao — 0.0% | | |
| Schlumberger, Ltd. | 2,511 | | 46,177 |
| France — 0.3% | | |
| TOTAL SAΔ | 106,423 | | 4,103,504 |
| Ireland — 1.6% | | |
| Accenture PLC Class A | 17,833 | | 3,829,102 |
| Alkermes PLCΔ* | 8,775 | | 170,279 |
| Allegion PLC | 156 | | 15,946 |
| Aon PLC Class A | 5,570 | | 1,072,782 |
| Eaton Corporation PLC | 837 | | 73,221 |
| Johnson Controls International PLC | 1,787 | | 61,008 |
| Linde PLC | 13,313 | | 2,823,821 |
| Medtronic PLC | 121,852 | | 11,173,828 |
| Pentair PLC | 294 | | 11,169 |
| Seagate Technology PLC | 674 | | 32,628 |
| Trane Technologies PLC | 431 | | 38,350 |
| Willis Towers Watson PLC | 205 | | 40,375 |
| | | | | 19,342,509 |
| Jersey — 0.0% | | |
| Amcor PLC | 5,182 | | 52,908 |
| Aptiv PLC | 496 | | 38,648 |
| | | | | 91,556 |
| Netherlands — 0.8% | | |
| Akzo Nobel NV | 27,200 | | 2,443,666 |
| Koninklijke Ahold Delhaize NV | 157,753 | | 4,299,411 |
| LyondellBasell Industries NV Class A | 522 | | 34,306 |
| Mylan NV* | 3,199 | | 51,440 |
| Unilever NV | 45,000 | | 2,399,300 |
| | | | | 9,228,123 |
| Switzerland — 1.9% | | |
| ABB, Ltd. | 41,900 | | 950,415 |
| Chubb, Ltd. | 61,083 | | 7,734,329 |
| Garmin, Ltd. | 2,465 | | 240,338 |
| Nestle SA | 50,900 | | 5,643,315 |
| Roche Holding AG | 24,600 | | 8,522,659 |
| TE Connectivity, Ltd. | 617 | | 50,316 |
| | | | | 23,141,372 |
| United Kingdom — 0.3% | | |
| GlaxoSmithKline PLC ADR | 85,700 | | 3,495,703 |
| Nielsen Holdings PLC | 758 | | 11,264 |
See Notes to Financial Statements.
DEFENSIVE MARKET STRATEGIES® FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | Shares | | Value |
| TechnipFMC PLC | 1,083 | | $ 7,408 |
| | | | | 3,514,375 |
Total Foreign Common Stocks
(Cost $55,625,304) | | 59,467,616 |
| PREFERRED STOCKS — 0.7% |
| Becton Dickinson and Co. | | | | |
| 0.00% 06/01/23 CONV* | 65,971 | | 3,509,657 |
| Stanley Black & Decker, Inc. | | | | |
| (Step to 10.00% on 05/15/23), 5.00% CONV STEP* | 3,635 | | 4,140,300 |
| Wells Fargo & Co. | | | | |
| 7.50% 02/27/20 CONV | 992 | | 1,286,624 |
Total Preferred Stocks
(Cost $8,493,896) | | 8,936,581 |
| FOREIGN PREFERRED STOCK — 0.0% |
| Jersey — 0.0% | | |
| Aptiv PLC | | | | |
0.00% 06/15/23 CONVΔ*
(Cost $598,187) | 5,940 | | 610,513 |
| MUTUAL FUNDS — 1.0% |
iShares Russell 1000 Value ETFΔ
(Cost $12,434,078) | 111,161 | | 12,518,952 |
| | | Par | |
| CORPORATE BONDS — 27.1% |
| 1Life Healthcare, Inc. | | | |
| 3.00%, 06/15/25 144A CONV | $1,713,000 | 1,839,024 |
| Akamai Technologies, Inc. | | | |
| 0.13%, 05/01/25 CONV | 4,029,000 | 5,037,468 |
| 0.38%, 09/01/27 144A CONV | 1,170,000 | 1,274,921 |
| Allscripts Healthcare Solutions, Inc. | | | |
| 0.88%, 01/01/27 144A CONV | 2,374,000 | 1,832,739 |
| Altair Engineering, Inc. | | | |
| 0.25%, 06/01/24 CONV | 625,000 | 658,164 |
| Alteryx, Inc. | | | |
| 0.50%, 08/01/24 144A CONV | 2,445,000 | 2,769,848 |
| 1.00%, 08/01/26 144A CONV | 706,000 | 808,488 |
| American Airlines Group, Inc. | | | |
| 6.50%, 07/01/25 CONVΔ | 4,217,000 | 3,985,714 |
| American Eagle Outfitters, Inc. | | | |
| 3.75%, 04/15/25 144A CONV | 1,041,000 | 1,485,677 |
| Ares Capital Corporation | | | |
| 3.75%, 02/01/22 CONVΔ | 2,830,000 | 2,791,613 |
| 4.63%, 03/01/24 CONV | 503,000 | 492,311 |
| Atlassian, Inc. | | | |
| 0.63%, 05/01/23 CONV | 359,000 | 799,615 |
| Bank of America Corporation | | | |
| (Variable, ICE LIBOR USD 3M + 2.66%), 4.30%, 01/28/25ρΔ^ | 2,160,000 | 1,941,084 |
| | | Par | | Value |
| (Variable, ICE LIBOR USD 3M + 2.93%), 5.88%, 03/15/28ρ^ | $3,011,000 | | $3,081,870 |
| Bank of New York Mellon Corporation (The) | | | | |
| (Floating, ICE LIBOR USD 3M + 3.42%), 3.73%, 06/20/20†ρ | 798,000 | | 757,134 |
| (Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 4.36%), 4.70%, 12/31/49^ | 268,000 | | 279,390 |
| BioMarin Pharmaceutical, Inc. | | | | |
| 0.60%, 08/01/24 CONV | 5,126,000 | | 6,277,089 |
| Blackline, Inc. | | | | |
| 0.13%, 08/01/24 144A CONV | 2,520,000 | | 3,219,888 |
| Blackstone Mortgage Trust, Inc. REIT | | | | |
| 4.75%, 03/15/23 CONV | 5,718,000 | | 5,285,576 |
| BofA Finance LLC | | | | |
| 0.25%, 05/01/23 CONV | 1,496,000 | | 1,455,017 |
| Booking Holdings, Inc. | | | | |
| 0.75%, 05/01/25 144A CONVΔ | 3,658,000 | | 4,537,080 |
| Burlington Stores, Inc. | | | | |
| 2.25%, 04/15/25 144A CONV | 3,021,000 | | 3,448,320 |
| Charles Schwab Corporation (The) | | | | |
| (Variable, ICE LIBOR USD 3M + 2.58%), 5.00%, 12/01/27ρΔ^ | 1,119,000 | | 1,103,227 |
| (Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 4.97%), 5.38%, 12/31/49^ | 974,000 | | 1,042,979 |
| Chegg, Inc. | | | | |
| 0.13%, 03/15/25 CONV | 1,944,000 | | 2,758,828 |
| Citigroup, Inc. | | | | |
| (Variable, ICE LIBOR USD 3M + 4.07%), 5.95%, 01/30/23ρ^ | 2,231,000 | | 2,233,630 |
| Coherus Biosciences, Inc. | | | | |
| 1.50%, 04/15/26 144A CONV | 1,260,000 | | 1,410,697 |
| CONMED Corporation | | | | |
| 2.63%, 02/01/24 CONV | 1,491,000 | | 1,567,908 |
| Coupa Software, Inc. | | | | |
| 0.38%, 06/15/26 144A CONV | 1,797,000 | | 2,084,090 |
| Datadog, Inc. | | | | |
| 0.13%, 06/15/25 144A CONV | 2,601,000 | | 3,083,624 |
| DexCom, Inc. | | | | |
| 0.75%, 12/01/23 CONV | 555,000 | | 1,378,166 |
| 0.25%, 11/15/25 144A CONVΔ | 3,231,000 | | 3,323,856 |
| DISH Network Corporation | | | | |
| 3.38%, 08/15/26 CONV | 6,474,000 | | 5,963,296 |
| DocuSign, Inc. | | | | |
| 0.50%, 09/15/23 CONV | 323,000 | | 786,765 |
| Dominion Energy, Inc. | | | | |
| (Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.99%), 4.65%, 12/15/24ρ^ | 2,196,000 | | 2,152,261 |
See Notes to Financial Statements.
| | | Par | | Value |
| Duke Energy Corporation | | | | |
| (Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 3.39%), 4.88%, 09/16/24ρ^ | $2,800,000 | | $2,800,609 |
| Enphase Energy, Inc. | | | | |
| 0.25%, 03/01/25 144A CONV | 1,624,000 | | 1,482,339 |
| Envestnet, Inc. | | | | |
| 1.75%, 06/01/23 CONV | 1,357,000 | | 1,676,057 |
| Envista Holdings Corporation | | | | |
| 2.38%, 06/01/25 144A CONV | 823,000 | | 1,003,810 |
| Etsy, Inc. | | | | |
| 0.13%, 10/01/26 144A CONV | 3,570,000 | | 4,885,672 |
| Euronet Worldwide, Inc. | | | | |
| 0.75%, 03/15/49 CONV | 2,040,000 | | 1,982,625 |
| Exact Sciences Corporation | | | | |
| 1.00%, 01/15/25 CONV | 1,713,000 | | 2,346,709 |
| 0.38%, 03/15/27 CONVΔ | 2,352,000 | | 2,448,319 |
| Extra Space Storage LP REIT | | | | |
| 3.13%, 10/01/35 144A CONV | 2,629,000 | | 2,810,351 |
| FireEye, Inc. | | | | |
| 0.88%, 06/01/24 CONV | 2,642,000 | | 2,403,000 |
| Five9, Inc. | | | | |
| 0.50%, 06/01/25 144A CONV | 2,107,000 | | 2,266,342 |
| Fortive Corporation | | | | |
| 0.88%, 02/15/22 CONV | 2,703,000 | | 2,668,391 |
| FTI Consulting, Inc. | | | | |
| 2.00%, 08/15/23 CONV | 1,617,000 | | 2,051,713 |
| Glaukos Corporation | | | | |
| 2.75%, 06/15/27 144A CONV | 849,000 | | 817,886 |
| Greenbrier Cos., Inc. (The) | | | | |
| 2.88%, 02/01/24 CONV | 1,416,000 | | 1,170,638 |
| Guess?, Inc. | | | | |
| 2.00%, 04/15/24 CONV | 1,639,000 | | 1,108,374 |
| Herbalife Nutrition, Ltd. | | | | |
| 2.63%, 03/15/24 CONV | 2,089,000 | | 2,062,888 |
| HubSpot, Inc. | | | | |
| 0.38%, 06/01/25 144A CONV | 1,211,000 | | 1,298,798 |
| IAC Financeco 3, Inc. | | | | |
| 2.00%, 01/15/30 144A CONV | 2,375,000 | | 3,083,972 |
| IH Merger Sub LLC REIT | | | | |
| 3.50%, 01/15/22 CONV | 1,587,000 | | 2,048,222 |
| II-VI, Inc. | | | | |
| 0.25%, 09/01/22 CONV | 560,000 | | 665,189 |
| Illumina, Inc. | | | | |
| 0.50%, 06/15/21 CONV | 620,000 | | 925,362 |
| 0.00%, 08/15/23Ω CONV | 2,981,000 | | 3,267,058 |
| Inphi Corporation | | | | |
| 0.75%, 04/15/25 144A CONVΔ | 1,086,000 | | 1,308,710 |
| | | Par | | Value |
| Insight Enterprises, Inc. | | | | |
| 0.75%, 02/15/25 144A CONV | $2,749,000 | | $2,601,624 |
| Insulet Corporation | | | | |
| 1.38%, 11/15/24 CONV | 2,000 | | 4,243 |
| 0.38%, 09/01/26 144A CONV | 3,103,000 | | 3,403,784 |
| Integra LifeSciences Holdings Corporation | | | | |
| 0.50%, 08/15/25 144A CONV | 1,738,000 | | 1,588,654 |
| InterDigital, Inc. | | | | |
| 2.00%, 06/01/24 144A CONV | 1,042,000 | | 1,036,113 |
| Ionis Pharmaceuticals, Inc. | | | | |
| 0.13%, 12/15/24 144A CONV | 1,179,000 | | 1,154,757 |
| Ironwood Pharmaceuticals, Inc. | | | | |
| 0.75%, 06/15/24 144A CONV | 771,000 | | 798,729 |
| 1.50%, 06/15/26 144A CONV | 746,000 | | 772,769 |
| J2 Global, Inc. | | | | |
| 1.75%, 11/01/26 144A CONV | 3,387,000 | | 2,865,375 |
| 3.25%, 06/15/29 CONV | 983,000 | | 1,075,056 |
| Jazz Investments I, Ltd. | | | | |
| 1.50%, 08/15/24 CONV | 282,000 | | 258,898 |
| 2.00%, 06/15/26 144A CONV | 3,996,000 | | 4,047,532 |
| JPMorgan Chase & Co. | | | | |
| (Variable, ICE LIBOR USD 3M + 3.47%), 4.23%, 07/30/20†ρ | 1,397,000 | | 1,274,402 |
| (Variable, U.S. SOFR + 3.38%), 5.00%, 08/01/24ρ^ | 4,279,000 | | 4,096,572 |
| (Variable, U.S. SOFR + 3.13%), 4.60%, 02/01/25ρ^ | 2,505,000 | | 2,238,844 |
| KBR, Inc. | | | | |
| 2.50%, 11/01/23 CONVΔ | 2,298,000 | | 2,592,730 |
| Liberty Interactive LLC | | | | |
| 1.75%, 09/30/46 144A CONV | 1,877,000 | | 2,842,414 |
| Liberty Media Corp-Liberty Formula One | | | | |
| 1.00%, 01/30/23 CONV | 1,231,000 | | 1,340,976 |
| Liberty Media Corporation | | | | |
| 1.38%, 10/15/23 CONV | 636,000 | | 670,598 |
| 2.13%, 03/31/48 144A CONV | 4,651,000 | | 4,542,580 |
| Live Nation Entertainment, Inc. | | | | |
| 2.50%, 03/15/23 CONV | 3,657,000 | | 3,718,712 |
| 2.00%, 02/15/25 144A CONV | 1,676,000 | | 1,442,408 |
| Livongo Health, Inc. | | | | |
| 0.88%, 06/01/25 144A CONV | 2,325,000 | | 2,777,617 |
| Lumentum Holdings, Inc. | | | | |
| 0.25%, 03/15/24 CONV | 596,000 | | 870,160 |
| 0.50%, 12/15/26 144A CONV | 3,147,000 | | 3,320,085 |
See Notes to Financial Statements.
DEFENSIVE MARKET STRATEGIES® FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | Par | | Value |
| Macquarie Infrastructure Corporation | | | | |
| 2.00%, 10/01/23 CONV | $2,384,000 | | $2,067,962 |
| Marriott Vacations Worldwide Corporation | | | | |
| 1.50%, 09/15/22 CONV | 4,328,000 | | 4,006,650 |
| Meritor, Inc. | | | | |
| 3.25%, 10/15/37 CONVΔ | 2,514,000 | | 2,510,621 |
| Microchip Technology, Inc. | | | | |
| 1.63%, 02/15/27 CONV | 5,976,000 | | 8,829,821 |
| National Vision Holdings, Inc. | | | | |
| 2.50%, 05/15/25 144A CONV | 1,331,000 | | 1,594,622 |
| NCL Corporation, Ltd. | | | | |
| 6.00%, 05/15/24 144A CONV | 683,000 | | 912,746 |
| Neurocrine Biosciences, Inc. | | | | |
| 2.25%, 05/15/24 CONV | 838,000 | | 1,401,745 |
| New Relic, Inc. | | | | |
| 0.50%, 05/01/23 CONV | 4,051,000 | | 3,924,387 |
| NextEra Energy Partners LP | | | | |
| 1.50%, 09/15/20 144A CONV | 2,707,000 | | 2,784,718 |
| Nuance Communications, Inc. | | | | |
| 1.00%, 12/15/35 CONV | 1,647,000 | | 1,949,214 |
| NuVasive, Inc. | | | | |
| 1.00%, 06/01/23 144A CONV | 4,071,000 | | 3,959,967 |
| Okta, Inc. | | | | |
| 0.38%, 06/15/26 144A CONV | 4,005,000 | | 4,343,338 |
| ON Semiconductor Corporation | | | | |
| 1.63%, 10/15/23 CONV | 4,114,000 | | 5,002,665 |
| OSI Systems, Inc. | | | | |
| 1.25%, 09/01/22 CONV | 882,000 | | 848,374 |
| Palo Alto Networks, Inc. | | | | |
| 0.75%, 07/01/23 CONV | 4,325,000 | | 4,634,138 |
| Pandora Media LLC | | | | |
| 1.75%, 12/01/23 CONV | 1,378,000 | | 1,564,225 |
| Pegasystems, Inc. | | | | |
| 0.75%, 03/01/25 144A CONV | 3,041,000 | | 3,120,254 |
| Pioneer Natural Resources Co. | | | | |
| 0.25%, 05/15/25 144A CONV | 2,264,000 | | 2,682,357 |
| Plains All American Pipeline LP | | | | |
| (Variable, ICE LIBOR USD 3M + 4.11%), 6.13%, 11/15/22ρ^ | 1,386,000 | | 990,688 |
| Progressive Corporation (The) | | | | |
| (Variable, ICE LIBOR USD 3M + 2.54%), 5.38%, 03/15/23ρ^ | 603,000 | | 597,266 |
| Proofpoint, Inc. | | | | |
| 0.25%, 08/15/24 144A CONV | 2,444,000 | | 2,405,837 |
| | | Par | | Value |
| Pure Storage, Inc. | | | | |
| 0.13%, 04/15/23 CONV | $3,012,000 | | $2,968,627 |
| Q2 Holdings, Inc. | | | | |
| 0.75%, 06/01/26 CONV | 1,069,000 | | 1,219,223 |
| Rapid7, Inc. | | | | |
| 2.25%, 05/01/25 144A CONV | 2,507,000 | | 2,714,393 |
| RealPage, Inc. | | | | |
| 1.50%, 05/15/25 CONV | 1,718,000 | | 1,855,821 |
| Repligen Corporation | | | | |
| 0.38%, 07/15/24 CONV | 473,000 | | 595,081 |
| RH | | | | |
| 1.14%, 06/15/23Ω CONV | 1,277,000 | | 1,789,791 |
| RingCentral, Inc. | | | | |
| 0.00%, 03/01/25 144AΩ CONVΔ | 4,154,000 | | 4,468,420 |
| Sabre GLBL, Inc. | | | | |
| 4.00%, 04/15/25 144A CONV | 652,000 | | 834,497 |
| Sailpoint Technologies Holdings, Inc. | | | | |
| 0.13%, 09/15/24 144A CONVΔ | 2,550,000 | | 2,877,273 |
| Silicon Laboratories, Inc. | | | | |
| 0.63%, 06/15/25 144A CONV | 4,183,000 | | 4,512,068 |
| Slack Technologies, Inc. | | | | |
| 0.50%, 04/15/25 144A CONV | 1,793,000 | | 2,216,596 |
| Snap, Inc. | | | | |
| 0.75%, 08/01/26 144A CONV | 2,943,000 | | 3,687,947 |
| Southwest Airlines Co. | | | | |
| 1.25%, 05/01/25 CONV | 2,219,000 | | 2,676,183 |
| Splunk, Inc. | | | | |
| 0.50%, 09/15/23 CONV | 775,000 | | 1,118,887 |
| 1.13%, 06/15/27 144A CONV | 3,389,000 | | 3,627,432 |
| Square, Inc. | | | | |
| 0.50%, 05/15/23 CONV | 1,040,000 | | 1,549,399 |
| 0.13%, 03/01/25 144A CONV | 2,152,000 | | 2,448,615 |
| Starwood Property Trust, Inc. REIT | | | | |
| 4.38%, 04/01/23 CONV | 4,485,000 | | 4,308,291 |
| Supernus Pharmaceuticals, Inc. | | | | |
| 0.63%, 04/01/23 CONV | 1,007,000 | | 891,262 |
| Tabula Rasa HealthCare, Inc. | | | | |
| 1.75%, 02/15/26 144A CONV | 891,000 | | 916,271 |
| Tandem Diabetes Care, Inc. | | | | |
| 1.50%, 05/01/25 144A CONV | 1,209,000 | | 1,414,374 |
| Teladoc Health, Inc. | | | | |
| 1.25%, 06/01/27 144A CONV | 1,705,000 | | 1,892,314 |
| Twilio, Inc. | | | | |
| 0.25%, 06/01/23 CONV | 244,000 | | 758,296 |
| Twitter, Inc. | | | | |
| 0.25%, 06/15/24 CONV | 3,088,000 | | 2,916,749 |
| U.S. Bancorp | | | | |
| (Variable, ICE LIBOR USD 3M + 2.91%), 5.30%, 04/15/27ρ^ | 3,536,000 | | 3,573,527 |
See Notes to Financial Statements.
| | | Par | | Value |
| Varonis Systems, Inc. | | | | |
| 1.25%, 08/15/25 144A CONV | $2,064,000 | | $ 2,413,178 |
| Vonage Holdings Corporation | | | | |
| 1.75%, 06/01/24 CONV | 755,000 | | 707,993 |
| Wayfair, Inc. | | | | |
| 1.00%, 08/15/26 144A CONV | 1,611,000 | | 2,352,137 |
| Western Digital Corporation | | | | |
| 1.50%, 02/01/24 CONV | 1,381,000 | | 1,305,092 |
| Workday, Inc. | | | | |
| 0.25%, 10/01/22 CONV | 2,219,000 | | 3,061,080 |
| Workiva, Inc. | | | | |
| 1.13%, 08/15/26 144A CONV | 1,370,000 | | 1,259,852 |
| Zendesk, Inc. | | | | |
| 0.63%, 06/15/25 144A CONV | 3,416,000 | | 3,661,008 |
| Zillow Group, Inc. | | | | |
| 2.75%, 05/15/25 CONV | 4,121,000 | | 4,812,133 |
| Zscaler, Inc. | | | | |
| 0.13%, 07/01/25 144A CONV | 1,358,000 | | 1,393,865 |
| Zynga, Inc. | | | | |
| 0.25%, 06/01/24 CONV | 3,224,000 | | 4,182,276 |
Total Corporate Bonds
(Cost $306,273,633) | | 325,977,569 |
| FOREIGN BONDS — 1.3% |
| France — 0.8% | | |
| Cie Generale des Etablissements Michelin SCA | | | | |
| 0.62%, 01/10/22Ω CONV | 1,400,000 | | 1,374,681 |
| TOTAL SA | | | | |
| 0.50%, 12/02/22 CONV | 3,000,000 | | 2,966,085 |
| Valeo SA | | | | |
| 1.34%, 06/16/21Ω CONV | 1,200,000 | | 1,175,640 |
| Vinci SA | | | | |
| 0.38%, 02/16/22 CONVΔ | 3,200,000 | | 3,724,768 |
| | | | | 9,241,174 |
| Israel — 0.2% | | |
| CyberArk Software, Ltd. | | | | |
| 0.02%, 11/15/24 144AΩ CONV | 2,292,000 | | 2,142,951 |
| Wix.com, Ltd. | | | | |
| 0.00%, 07/01/23Ω CONVΔ | 540,000 | | 1,004,738 |
| | | | | 3,147,689 |
| Netherlands — 0.3% | | |
| STMicroelectronics NV | | | | |
| 0.25%, 07/03/24 CONV | 2,200,000 | | 3,240,380 |
Total Foreign Bonds
(Cost $14,487,932) | | 15,629,243 |
| | | Shares | |
| EQUITY-LINKED SECURITIES — 1.1% |
| Berkshire Hathaway, Inc., Issued by Merrill Lynch International & Co. CV, Maturity Date 08/21/20 144A††† | 8,900 | 1,570,672 |
| | | Shares | | Value |
| Berkshire Hathaway, Inc., Issued by Wells Fargo Bank, Maturity Date 07/09/20 144A CONV††† | 6,800 | | $ 1,224,272 |
| Berkshire Hathaway, Inc., Issued by Wells Fargo Bank, Maturity Date 07/30/20 144A CONV††† | 7,900 | | 1,402,013 |
| Cerner Corporation, Issued by Citigroup Global Markets Holdings, Inc., Maturity Date 12/18/20 144A††† | 16,400 | | 1,117,988 |
| Cerner Corporation, Issued by Merrill Lynch International & Co. CV, Maturity Date 12/03/20 144A††† | 8,700 | | 604,998 |
| Charles Schwab Corporation (The), Issued by UBS AG, Maturity Date 10/20/20 144A††† | 27,900 | | 981,801 |
| Emerson Electric Co., Issued by Credit Suisse AG, Maturity Date 11/02/20 144A††† | 19,600 | | 1,116,063 |
| Hologic, Inc., Issued by Morgan Stanley BV, Maturity Date 07/16/20 144A††† | 6,200 | | 340,690 |
| Hologic, Inc., Issued by Royal Bank of Canada, Maturity Date 08/04/20 144A CONV††† | 23,100 | | 1,262,184 |
| Martin Marietta Minerals, Inc., Issued by Citigroup Global Markets Holdings, Inc., Maturity Date 09/01/20 144A††† | 4,005 | | 817,200 |
| Martin Marietta Minerals, Inc., Issued by Credit Suisse AG, Maturity Date 10/08/2020 144A††† | 2,800 | | 571,371 |
| Martin Marietta Minerals, Inc., Issued by Morgan Stanley BV, Maturity Date 09/14/20 144A††† | 800 | | 159,804 |
| Martin Marietta Minerals, Inc., Issued by Morgan Stanley BV, Maturity Date 11/10/20 144A††† | 2,800 | | 534,030 |
| Martin Marietta Minerals, Inc., Issued by Royal Bank of Canada, Maturity Date 08/21/20 144A CONV††† | 3,400 | | 708,730 |
| Raytheon Co., Issued by Goldman Sachs International, Maturity Date 08/31/20 144A††† | 3,400 | | 495,397 |
Total Equity-Linked Securities
(Cost $13,927,952) | | 12,907,213 |
| RIGHTS — 0.0% |
T-Mobile US, Inc.*
(Cost $—) | 7,153 | | 1,202 |
| MONEY MARKET FUNDS — 8.5% |
GuideStone Money Market Fund, 0.16%
(Institutional Class)Ø∞ | 62,758,246 | | 62,758,246 |
| Northern Institutional Liquid Assets Portfolio (Shares), 0.33%ا | 35,669,941 | | 35,669,941 |
| Northern Institutional U.S. Government Portfolio (Shares), 0.07%Ø | 3,480,269 | | 3,480,269 |
Total Money Market Funds
(Cost $101,908,456) | | 101,908,456 |
See Notes to Financial Statements.
DEFENSIVE MARKET STRATEGIES® FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | Par | | Value |
| U.S. TREASURY OBLIGATIONS — 18.0% |
| U.S. Treasury Bills | | | | |
| 1.87%, 07/16/20Ω | $41,639,000 | | $ 41,636,961 |
| 0.21%, 09/24/20Ω | 850,000 | | 849,729 |
| 1.58%, 10/08/20Ω | 37,970,000 | | 37,954,860 |
| 0.17%, 12/17/20Ω | 3,300,000 | | 3,297,812 |
| 0.21%, 12/31/20Ω | 825,000 | | 824,308 |
| 0.19%, 02/25/21Ω | 825,000 | | 824,178 |
| 0.18%, 03/25/21Ω | 15,000,000 | | 14,982,756 |
| 0.16%, 04/22/21Ω | 28,225,000 | | 28,189,151 |
| 0.17%, 05/20/21Ω | 9,065,000 | | 9,052,190 |
| U.S. Treasury Notes | | | | |
| 1.38%, 08/31/20 | 34,300,000 | | 34,368,448 |
| 1.38%, 10/31/20 | 30,957,300 | | 31,079,827 |
| 2.00%, 11/30/20 | 13,314,000 | | 13,412,295 |
Total U.S. Treasury Obligations
(Cost $215,966,951) | | 216,472,515 |
TOTAL INVESTMENTS — 102.8%
(Cost $1,116,733,829) | | | 1,238,787,693 |
| | Number of
Contracts | | Notional
Amount | |
| WRITTEN OPTIONS — (0.1)% |
| Call Options — (0.0)% | | |
| S&P 500®, Strike Price $3,200.00, Expires 07/10/20 (MSCS) | (11) | | $(3,410,319) | (9,724) |
| S&P 500®, Strike Price $3,200.00, Expires 07/13/20 (MSCS) | (12) | | (3,720,348) | (13,584) |
| S&P 500®, Strike Price $3,200.00, Expires 07/24/20 (MSCS) | (22) | | (6,820,638) | (57,090) |
| S&P 500®, Strike Price $3,200.00, Expires 07/27/20 (MSCS) | (11) | | (3,410,319) | (30,690) |
| S&P 500®, Strike Price $3,225.00, Expires 07/22/20 (MSCS) | (11) | | (3,410,319) | (17,930) |
| S&P 500®, Strike Price $3,225.00, Expires 07/29/20 (MSCS) | (11) | | (3,410,319) | (25,795) |
| S&P 500®, Strike Price $3,275.00, Expires 07/20/20 (MSCS) | (11) | | (3,410,319) | (7,535) |
| S&P 500®, Strike Price $3,295.00, Expires 07/17/20 (MSCS) | (11) | | (3,410,319) | (5,060) |
| | Number of
Contracts | | Notional
Amount | | Value |
| S&P 500®, Strike Price $3,300.00, Expires 07/15/20 (MSCS) | (11) | | $ (3,410,319) | | $ (3,465) |
| | | | | | (170,873) |
| Put Options — (0.1)% | | |
| S&P 500®, Strike Price $2,750.00, Expires 07/13/20 (MSCS) | (67) | | (20,771,943) | | (29,145) |
| S&P 500®, Strike Price $2,755.00, Expires 07/10/20 (MSCS) | (65) | | (20,151,885) | | (22,425) |
| S&P 500®, Strike Price $2,780.00, Expires 07/24/20 (MSCS) | (63) | | (19,531,827) | | (100,170) |
| S&P 500®, Strike Price $2,790.00, Expires 07/27/20 (MSCS) | (63) | | (19,531,827) | | (114,660) |
| S&P 500®, Strike Price $2,825.00, Expires 07/22/20 (MSCS) | (63) | | (19,531,827) | | (108,990) |
| S&P 500®, Strike Price $2,850.00, Expires 07/29/20 (MSCS) | (63) | | (19,531,827) | | (174,825) |
| S&P 500®, Strike Price $2,870.00, Expires 07/15/20 (MSCS) | (63) | | (19,531,827) | | (86,310) |
| S&P 500®, Strike Price $2,880.00, Expires 07/20/20 (MSCS) | (63) | | (19,531,827) | | (130,410) |
| S&P 500®, Strike Price $2,895.00, Expires 07/17/20 (MSCS) | (57) | | (17,671,653) | | (116,280) |
| S&P 500®, Strike Price $2,980.00, Expires 07/08/20 (MSCS) | (57) | | (17,671,653) | | (81,225) |
| S&P 500®, Strike Price $3,020.00, Expires 07/02/20 (MSCS) | (66) | | (20,461,914) | | (46,200) |
See Notes to Financial Statements.
| | Number of
Contracts | | Notional
Amount | | Value |
| S&P 500®, Strike Price $3,030.00, Expires 07/06/20 (MSCS) | (57) | | $(17,671,653) | | $ (90,345) |
| | | | | | (1,100,985) |
Total Written Options
(Premiums received $(2,780,078)) | | | | (1,271,858) |
Liabilities in Excess of Other
Assets — (2.7)% | | | | (32,975,914) |
| NET ASSETS — 100.0% | | | | $1,204,539,921 |
PORTFOLIO SUMMARY (based on net assets)
| | % |
| Corporate Bonds | 27.1 |
| U.S. Treasury Obligations | 18.0 |
| Money Market Funds | 8.5 |
| Information Technology | 8.2 |
| Health Care | 7.5 |
| Consumer Staples | 6.9 |
| Financials | 6.4 |
| Industrials | 5.8 |
| Utilities | 4.5 |
| Communication Services | 2.6 |
| Consumer Discretionary | 1.6 |
| Materials | 1.5 |
| Foreign Bonds | 1.3 |
| Equity-Linked Securities | 1.1 |
| Mutual Funds | 1.0 |
| Energy | 0.7 |
| Real Estate | 0.1 |
| Rights | —** |
| Written Options | (0.1) |
| | 102.7 |
| **Rounds to less than 0.05% | |
Futures Contracts outstanding at June 30, 2020:
| Future Type | | Expiration Date | | Open Long
(Short) Contracts | | Notional
Market Value
of Contracts | | Value and
Unrealized
Appreciation
(Depreciation) |
| S&P 500® E-Mini | | 09/2020 | | (155) | | $(23,949,050) | | $(704,814) |
See Notes to Financial Statements.
DEFENSIVE MARKET STRATEGIES® FUND
SCHEDULE OF INVESTMENTS (Continued)
Forward Foreign Currency Contracts outstanding at June 30, 2020:
| Expiration Date | | Currency
Purchased | | Amount
of Currency
Purchased | | Currency
Sold | | Amount
of Currency
Sold | | Counter-
party | | Net Unrealized
Appreciation
(Depreciation) |
| 09/30/20 | | U.S. Dollars | | 10,883,209 | | Euro | | 9,643,277 | | CS | | $26,309 |
| 09/30/20 | | U.S. Dollars | | 2,845,521 | | British Pounds | | 2,280,248 | | JPM | | 18,519 |
| 09/30/20 | | U.S. Dollars | | 14,081,355 | | Swiss Francs | | 13,303,571 | | UBS | | 379 |
| 09/30/20 | | Swiss Francs | | 363,947 | | U.S. Dollars | | 384,855 | | UBS | | 359 |
| Total Forward Foreign Currency Contracts outstanding at June 30, 2020 | | | | $45,566 |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2020, in valuing the Fund’s investments carried at fair value:
| | Total
Value | | Level 1
Quoted Prices | | Level 2
Other Significant
Observable Inputs | | Level 3
Significant
Unobservable Inputs |
| Assets: | | | | | | | |
| Investments in Securities: | | | | | | | |
| Common Stocks | $ 484,357,833 | | $484,357,833 | | $ — | | $ — |
| Corporate Bonds | 325,977,569 | | — | | 325,977,569 | | — |
| Equity-Linked Securities | 12,907,213 | | — | | 3,372,927 | | 9,534,286 |
| Foreign Bonds | 15,629,243 | | — | | 15,629,243 | | — |
| Foreign Common Stocks: | | | | | | | |
| France | 4,103,504 | | — | | 4,103,504 | | — |
| Netherlands | 9,228,123 | | 85,746 | | 9,142,377 | | — |
| Switzerland | 23,141,372 | | 8,024,983 | | 15,116,389 | | — |
| Other ^^ | 22,994,617 | | 22,994,617 | | — | | — |
| Total Foreign Common Stocks | 59,467,616 | | 31,105,346 | | 28,362,270 | | — |
| Foreign Preferred Stock | 610,513 | | 610,513 | | — | | — |
| Money Market Funds | 101,908,456 | | 101,908,456 | | — | | — |
| Mutual Funds | 12,518,952 | | 12,518,952 | | — | | — |
| Preferred Stocks | 8,936,581 | | 8,936,581 | | — | | — |
| Rights | 1,202 | | — | | 1,202 | | — |
| U.S. Treasury Obligations | 216,472,515 | | — | | 216,472,515 | | — |
| Total Assets - Investments in Securities | $1,238,787,693 | | $639,437,681 | | $589,815,726 | | $9,534,286 |
| Other Financial Instruments*** | | | | | | | |
| Forward Foreign Currency Contracts | $ 45,566 | | $ — | | $ 45,566 | | $ — |
| Total Assets - Other Financial Instruments | $ 45,566 | | $ — | | $ 45,566 | | $ — |
See Notes to Financial Statements.
| | Total
Value | | Level 1
Quoted Prices | | Level 2
Other Significant
Observable Inputs | | Level 3
Significant
Unobservable Inputs |
| Liabilities: | | | | | | | |
| Investments in Securities: | | | | | | | |
| Written Options: | | | | | | | |
| Call Options | $ (170,873) | | $ (170,873) | | $ — | | $ — |
| Put Options | (1,100,985) | | (1,100,985) | | — | | — |
| Total Written Options | (1,271,858) | | (1,271,858) | | — | | — |
| Total Liabilities - Investments in Securities | $ (1,271,858) | | $ (1,271,858) | | $ — | | $ — |
| Other Financial Instruments*** | | | | | | | |
| Futures Contracts | $ (704,814) | | $ (704,814) | | $ — | | $ — |
| Total Liabilities - Other Financial Instruments | $ (704,814) | | $ (704,814) | | $ — | | $ — |
| ^^ | 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. |
There were no transfers to or from Level 3 during the period ended June 30, 2020.
Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the reconciliation of Level 3 securities and assumptions is not shown for the period ended June 30, 2020.
See Notes to Financial Statements.
June 30, 2020 (Unaudited)
| | | Shares | | Value |
| COMMON STOCKS — 93.5% |
| Communication Services — 10.4% | | |
| Activision Blizzard, Inc. | 58,450 | | $ 4,436,355 |
| Alphabet, Inc. Class A* | 22,635 | | 32,097,562 |
| Alphabet, Inc. Class C* | 24,147 | | 34,134,441 |
| AT&T, Inc. | 580,816 | | 17,558,068 |
| CenturyLink, Inc.Δ | 121,774 | | 1,221,393 |
| Charter Communications, Inc. Class A* | 13,277 | | 6,771,801 |
| Comcast Corporation Class A | 365,905 | | 14,262,977 |
| Discovery, Inc. Class AΔ* | 27,796 | | 586,496 |
| Discovery, Inc. Class C* | 15,921 | | 306,638 |
| DISH Network Corporation Class A* | 18,408 | | 635,260 |
| Electronic Arts, Inc.* | 25,211 | | 3,329,112 |
| Facebook, Inc. Class A* | 187,870 | | 42,659,641 |
| Fox Corporation Class AΔ | 31,129 | | 834,880 |
| Fox Corporation Class B | 9,099 | | 244,217 |
| Interpublic Group of Cos., Inc. (The) | 47,139 | | 808,905 |
| Live Nation Entertainment, Inc.* | 10,940 | | 484,970 |
| Netflix, Inc.* | 34,494 | | 15,696,150 |
| News Corporation Class A | 13,865 | | 164,439 |
| News Corporation Class BΔ | 13,984 | | 167,109 |
| Omnicom Group, Inc. | 24,095 | | 1,315,587 |
| Take-Two Interactive Software, Inc.* | 10,102 | | 1,409,936 |
| T-Mobile US, Inc.Δ* | 23,800 | | 2,478,770 |
| Twitter, Inc.* | 52,713 | | 1,570,320 |
| Verizon Communications, Inc. | 331,314 | | 18,265,341 |
| ViacomCBS, Inc. Class BΔ | 34,540 | | 805,473 |
| Walt Disney Co. (The) | 142,641 | | 15,905,898 |
| | | | | 218,151,739 |
| Consumer Discretionary — 10.2% | | |
| Advance Auto Parts, Inc. | 6,948 | | 989,743 |
| Amazon.com, Inc.* | 32,591 | | 89,912,703 |
| AutoZone, Inc.* | 2,011 | | 2,268,649 |
| Best Buy Co., Inc. | 15,833 | | 1,381,746 |
| Booking Holdings, Inc.* | 3,419 | | 5,444,210 |
| BorgWarner, Inc. | 6,279 | | 221,649 |
| CarMax, Inc.* | 16,274 | | 1,457,337 |
| Carnival CorporationΔ | 37,542 | | 616,440 |
| Chipotle Mexican Grill, Inc.* | 1,816 | | 1,911,086 |
| D.R. Horton, Inc. | 20,166 | | 1,118,205 |
| Darden Restaurants, Inc. | 9,727 | | 737,015 |
| Dollar General Corporation | 23,558 | | 4,488,035 |
| Dollar Tree, Inc.* | 18,243 | | 1,690,761 |
| Domino’s Pizza, Inc.Δ | 3,030 | | 1,119,403 |
| eBay, Inc. | 59,500 | | 3,120,775 |
| Expedia Group, Inc. | 10,462 | | 859,976 |
| Ford Motor Co. | 395,246 | | 2,403,096 |
| Gap, Inc. (The) | 36,887 | | 465,514 |
| General Motors Co. | 106,950 | | 2,705,835 |
| Genuine Parts Co. | 12,313 | | 1,070,738 |
| H&R Block, Inc.Δ | 32,961 | | 470,683 |
| Hanesbrands, Inc. | 14,216 | | 160,499 |
| Hasbro, Inc. | 10,784 | | 808,261 |
| Hilton Worldwide Holdings, Inc. | 25,822 | | 1,896,626 |
| Home Depot, Inc. (The) | 82,780 | | 20,737,218 |
| Kohl’s Corporation | 15,822 | | 328,623 |
| | | Shares | | Value |
| L Brands, Inc.Δ | 34,382 | | $ 514,698 |
| Leggett & Platt, Inc. | 4,991 | | 175,434 |
| Lennar Corporation Class A | 21,185 | | 1,305,420 |
| LKQ Corporation* | 18,658 | | 488,840 |
| Lowe’s Cos., Inc. | 58,190 | | 7,862,633 |
| Marriott International, Inc. Class A | 24,143 | | 2,069,779 |
| McDonald’s Corporation | 61,562 | | 11,356,342 |
| Mohawk Industries, Inc.* | 2,387 | | 242,901 |
| Newell Brands, Inc. | 39,118 | | 621,194 |
| NIKE, Inc. Class B | 94,490 | | 9,264,744 |
| Norwegian Cruise Line Holdings, Ltd.Δ* | 15,478 | | 254,304 |
| NVR, Inc.* | 266 | | 866,827 |
| O’Reilly Automotive, Inc.* | 5,716 | | 2,410,266 |
| PulteGroup, Inc. | 11,415 | | 388,452 |
| PVH Corporation | 2,959 | | 142,180 |
| Ralph Lauren Corporation | 2,058 | | 149,246 |
| Ross Stores, Inc. | 25,592 | | 2,181,462 |
| Royal Caribbean Cruises, Ltd.Δ | 15,182 | | 763,655 |
| Starbucks Corporation | 94,517 | | 6,955,506 |
| Tapestry, Inc. | 24,199 | | 321,363 |
| Target Corporation | 41,380 | | 4,962,703 |
| Tiffany & Co. | 9,641 | | 1,175,623 |
| TJX Cos., Inc. (The) | 90,590 | | 4,580,230 |
| Tractor Supply Co. | 7,490 | | 987,107 |
| Ulta Beauty, Inc.* | 3,840 | | 781,133 |
| Under Armour, Inc. Class AΔ* | 20,379 | | 198,491 |
| Under Armour, Inc. Class C* | 9,410 | | 83,184 |
| VF Corporation | 27,573 | | 1,680,299 |
| Whirlpool Corporation | 2,806 | | 363,461 |
| Yum! Brands, Inc. | 25,974 | | 2,257,400 |
| | | | | 213,789,703 |
| Consumer Staples — 6.8% | | |
| Archer-Daniels-Midland Co. | 58,262 | | 2,324,654 |
| Campbell Soup Co. | 28,952 | | 1,436,888 |
| Church & Dwight Co., Inc. | 27,416 | | 2,119,257 |
| Clorox Co. (The) | 12,213 | | 2,679,166 |
| Coca-Cola Co. (The) | 369,705 | | 16,518,419 |
| Colgate-Palmolive Co. | 85,113 | | 6,235,378 |
| Conagra Brands, Inc. | 41,499 | | 1,459,520 |
| Costco Wholesale Corporation | 33,471 | | 10,148,742 |
| Coty, Inc. Class A | 45,699 | | 204,274 |
| Estee Lauder Cos., Inc. (The) Class A | 18,085 | | 3,412,278 |
| General Mills, Inc. | 62,909 | | 3,878,340 |
| Hershey Co. (The) | 15,496 | | 2,008,591 |
| Hormel Foods CorporationΔ | 43,964 | | 2,122,142 |
| J.M. Smucker Co. (The) | 15,075 | | 1,595,086 |
| Kellogg Co. | 29,100 | | 1,922,346 |
| Kimberly-Clark Corporation | 31,736 | | 4,485,883 |
| Kraft Heinz Co. (The) | 75,933 | | 2,421,503 |
| Kroger Co. (The) | 64,489 | | 2,182,953 |
| Lamb Weston Holdings, Inc. | 17,029 | | 1,088,664 |
| McCormick & Co., Inc. (Non-Voting Shares) | 12,700 | | 2,278,507 |
| Mondelez International, Inc. Class A | 133,352 | | 6,818,288 |
| Monster Beverage Corporation* | 46,680 | | 3,235,858 |
| PepsiCo, Inc. | 130,365 | | 17,242,075 |
See Notes to Financial Statements.
| | | Shares | | Value |
| Procter & Gamble Co. (The) | 206,021 | | $ 24,633,931 |
| Sysco Corporation | 37,870 | | 2,069,974 |
| Tyson Foods, Inc. Class A | 35,391 | | 2,113,197 |
| Walgreens Boots Alliance, Inc. | 61,239 | | 2,595,921 |
| Walmart, Inc. | 111,926 | | 13,406,496 |
| | | | | 142,638,331 |
| Energy — 2.6% | | |
| Apache Corporation | 23,559 | | 318,047 |
| Archrock, Inc. | 13 | | 84 |
| Baker Hughes Co. | 33,215 | | 511,179 |
| Cabot Oil & Gas Corporation | 29,892 | | 513,545 |
| Chevron Corporation | 148,265 | | 13,229,686 |
| Concho Resources, Inc. | 15,869 | | 817,253 |
| ConocoPhillips | 89,387 | | 3,756,042 |
| Devon Energy Corporation | 38,557 | | 437,236 |
| Diamondback Energy, Inc. | 10,890 | | 455,420 |
| EOG Resources, Inc. | 40,407 | | 2,047,019 |
| Exterran Corporation* | 6 | | 32 |
| Exxon Mobil Corporation | 332,330 | | 14,861,798 |
| Halliburton Co. | 74,621 | | 968,581 |
| Hess Corporation | 18,891 | | 978,743 |
| HollyFrontier Corporation | 10,771 | | 314,513 |
| Kinder Morgan, Inc. | 146,006 | | 2,214,911 |
| Marathon Oil Corporation | 69,854 | | 427,506 |
| Marathon Petroleum Corporation | 50,234 | | 1,877,747 |
| National Oilwell Varco, Inc. | 32,684 | | 400,379 |
| Noble Energy, Inc. | 40,915 | | 366,598 |
| Occidental Petroleum CorporationΔ | 79,090 | | 1,447,347 |
| ONEOK, Inc.Δ | 35,809 | | 1,189,575 |
| Phillips 66 | 31,961 | | 2,297,996 |
| Pioneer Natural Resources Co. | 11,479 | | 1,121,498 |
| Valero Energy Corporation | 31,110 | | 1,829,890 |
| Williams Cos., Inc. (The) | 96,309 | | 1,831,797 |
| | | | | 54,214,422 |
| Financials — 9.4% | | |
| Aflac, Inc. | 66,659 | | 2,401,724 |
| Allstate Corporation (The) | 28,840 | | 2,797,192 |
| American Express Co. | 47,721 | | 4,543,039 |
| American International Group, Inc. | 67,569 | | 2,106,801 |
| Ameriprise Financial, Inc. | 10,894 | | 1,634,536 |
| Arthur J. Gallagher & Co. | 15,093 | | 1,471,417 |
| Assurant, Inc. | 2,341 | | 241,802 |
| Bank of America Corporation | 683,906 | | 16,242,767 |
| Bank of New York Mellon Corporation (The) | 72,967 | | 2,820,175 |
| Berkshire Hathaway, Inc. Class B* | 156,738 | | 27,979,300 |
| BlackRock, Inc. | 12,151 | | 6,611,238 |
| Capital One Financial Corporation | 34,907 | | 2,184,829 |
| Cboe Global Markets, Inc. | 8,664 | | 808,178 |
| Charles Schwab Corporation (The)Δ | 92,054 | | 3,105,902 |
| Cincinnati Financial Corporation | 10,988 | | 703,562 |
| Citigroup, Inc. | 179,525 | | 9,173,727 |
| Citizens Financial Group, Inc. | 37,570 | | 948,267 |
| CME Group, Inc. | 28,081 | | 4,564,286 |
| Comerica, Inc. | 10,547 | | 401,841 |
| Discover Financial Services | 17,665 | | 884,840 |
| E*TRADE Financial Corporation | 10,478 | | 521,071 |
| | | Shares | | Value |
| Everest Re Group, Ltd. | 3,173 | | $ 654,273 |
| Fifth Third Bancorp | 52,084 | | 1,004,179 |
| First Republic Bank | 11,885 | | 1,259,691 |
| Franklin Resources, Inc.Δ | 23,495 | | 492,690 |
| Globe Life, Inc. | 4,186 | | 310,727 |
| Goldman Sachs Group, Inc. (The) | 27,330 | | 5,400,955 |
| Hartford Financial Services Group, Inc. (The) | 28,747 | | 1,108,197 |
| Huntington Bancshares, Inc. | 83,830 | | 757,404 |
| Intercontinental Exchange, Inc. | 43,068 | | 3,945,029 |
| Invesco, Ltd. | 43,478 | | 467,823 |
| JPMorgan Chase & Co. | 250,114 | | 23,525,723 |
| KeyCorp | 64,549 | | 786,207 |
| Lincoln National Corporation | 19,455 | | 715,749 |
| Loews Corporation | 12,502 | | 428,694 |
| M&T Bank Corporation | 10,059 | | 1,045,834 |
| MarketAxess Holdings, Inc. | 2,840 | | 1,422,613 |
| Marsh & McLennan Cos., Inc. | 39,915 | | 4,285,673 |
| MetLife, Inc. | 79,589 | | 2,906,590 |
| Moody’s Corporation | 11,483 | | 3,154,725 |
| Morgan Stanley | 104,741 | | 5,058,990 |
| MSCI, Inc. | 5,076 | | 1,694,470 |
| Nasdaq, Inc. | 9,140 | | 1,091,956 |
| Northern Trust Corporation | 16,617 | | 1,318,393 |
| People’s United Financial, Inc. | 11,480 | | 132,824 |
| PNC Financial Services Group, Inc. (The) | 34,137 | | 3,591,554 |
| Principal Financial Group, Inc. | 22,421 | | 931,368 |
| Progressive Corporation (The) | 45,104 | | 3,613,281 |
| Prudential Financial, Inc. | 36,128 | | 2,200,195 |
| Raymond James Financial, Inc. | 9,228 | | 635,163 |
| Regions Financial Corporation | 83,579 | | 929,398 |
| S&P Global, Inc. | 17,423 | | 5,740,530 |
| State Street Corporation | 30,870 | | 1,961,788 |
| SVB Financial Group* | 2,215 | | 477,399 |
| Synchrony Financial | 55,655 | | 1,233,315 |
| T. Rowe Price Group, Inc. | 15,490 | | 1,913,015 |
| Travelers Cos., Inc. (The) | 21,004 | | 2,395,506 |
| Truist Financial Corporation | 104,234 | | 3,913,987 |
| U.S. Bancorp | 117,801 | | 4,337,433 |
| Unum Group | 8,642 | | 143,371 |
| W.R. Berkley Corporation | 11,267 | | 645,486 |
| Wells Fargo & Co. | 318,305 | | 8,148,608 |
| Zions Bancorp NA | 7,446 | | 253,164 |
| | | | | 198,180,464 |
| Health Care — 13.5% | | |
| Abbott Laboratories | 143,145 | | 13,087,747 |
| ABIOMED, Inc.* | 6,766 | | 1,634,395 |
| Agilent Technologies, Inc. | 32,843 | | 2,902,336 |
| Alexion Pharmaceuticals, Inc.* | 24,651 | | 2,766,828 |
| Align Technology, Inc.* | 8,080 | | 2,217,475 |
| Amgen, Inc. | 55,832 | | 13,168,536 |
| Anthem, Inc. | 21,194 | | 5,573,598 |
| Baxter International, Inc. | 41,154 | | 3,543,359 |
| Becton, Dickinson and Co. | 21,279 | | 5,091,426 |
| Biogen, Inc.* | 18,945 | | 5,068,735 |
| Bio-Rad Laboratories, Inc. Class A* | 1,690 | | 763,018 |
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (Continued)
| | | Shares | | Value |
| Boston Scientific Corporation* | 120,221 | | $ 4,220,959 |
| Bristol-Myers Squibb Co. | 237,755 | | 13,979,994 |
| Cardinal Health, Inc. | 27,527 | | 1,436,634 |
| Centene Corporation* | 58,326 | | 3,706,617 |
| Cerner Corporation | 28,126 | | 1,928,037 |
| Cigna Corporation | 29,323 | | 5,502,461 |
| CVS Health Corporation | 104,298 | | 6,776,241 |
| Danaher Corporation | 49,319 | | 8,721,079 |
| DaVita, Inc.* | 13,768 | | 1,089,600 |
| DENTSPLY SIRONA, Inc. | 26,241 | | 1,156,178 |
| DexCom, Inc.* | 7,150 | | 2,898,610 |
| Edwards Lifesciences Corporation* | 57,327 | | 3,961,869 |
| Eli Lilly and Co. | 106,010 | | 17,404,722 |
| Gilead Sciences, Inc. | 142,431 | | 10,958,641 |
| HCA Healthcare, Inc. | 23,088 | | 2,240,921 |
| Henry Schein, Inc.* | 11,738 | | 685,382 |
| Hologic, Inc.* | 29,305 | | 1,670,385 |
| Humana, Inc. | 11,904 | | 4,615,776 |
| IDEXX Laboratories, Inc.* | 8,626 | | 2,847,960 |
| Illumina, Inc.* | 12,688 | | 4,699,001 |
| Incyte Corporation* | 27,837 | | 2,894,213 |
| Intuitive Surgical, Inc.* | 9,533 | | 5,432,189 |
| IQVIA Holdings, Inc.* | 15,811 | | 2,243,265 |
| Johnson & Johnson | 236,810 | | 33,302,590 |
| Laboratory Corporation of America Holdings* | 7,436 | | 1,235,194 |
| McKesson Corporation | 16,930 | | 2,597,401 |
| Mettler-Toledo International, Inc.* | 2,501 | | 2,014,681 |
| PerkinElmer, Inc. | 11,320 | | 1,110,379 |
| Quest Diagnostics, Inc. | 16,017 | | 1,825,297 |
| Regeneron Pharmaceuticals, Inc.* | 9,873 | | 6,157,296 |
| ResMed, Inc. | 11,820 | | 2,269,440 |
| Stryker Corporation | 26,037 | | 4,691,607 |
| Teleflex, Inc. | 4,060 | | 1,477,759 |
| Thermo Fisher Scientific, Inc. | 34,174 | | 12,382,607 |
| UnitedHealth Group, Inc. | 74,142 | | 21,868,183 |
| Universal Health Services, Inc. Class B | 9,989 | | 927,878 |
| Varian Medical Systems, Inc.Δ* | 9,565 | | 1,171,904 |
| Vertex Pharmaceuticals, Inc.* | 29,389 | | 8,531,921 |
| Waters Corporation* | 6,921 | | 1,248,548 |
| West Pharmaceutical Services, Inc. | 5,815 | | 1,320,994 |
| Zimmer Biomet Holdings, Inc. | 21,341 | | 2,547,262 |
| Zoetis, Inc. | 78,966 | | 10,821,501 |
| | | | | 284,390,629 |
| Industrials — 7.2% | | |
| 3M Co. | 48,160 | | 7,512,478 |
| A.O. Smith Corporation | 16,217 | | 764,145 |
| Alaska Air Group, Inc. | 10,021 | | 363,361 |
| American Airlines Group, Inc.Δ | 38,478 | | 502,907 |
| AMETEK, Inc. | 16,745 | | 1,496,501 |
| Boeing Co. (The) | 41,191 | | 7,550,310 |
| C.H. Robinson Worldwide, Inc. | 12,459 | | 985,009 |
| Carrier Global Corporation | 63,362 | | 1,407,904 |
| Caterpillar, Inc. | 44,540 | | 5,634,310 |
| Cintas Corporation | 6,438 | | 1,714,826 |
| | | Shares | | Value |
| Copart, Inc.* | 11,178 | | $ 930,792 |
| CSX Corporation | 65,253 | | 4,550,744 |
| Cummins, Inc. | 10,680 | | 1,850,417 |
| Deere & Co. | 24,563 | | 3,860,075 |
| Delta Air Lines, Inc. | 56,365 | | 1,581,038 |
| Dover Corporation | 13,712 | | 1,324,031 |
| Emerson Electric Co. | 55,944 | | 3,470,206 |
| Equifax, Inc. | 8,312 | | 1,428,667 |
| Expeditors International of Washington, Inc. | 6,818 | | 518,441 |
| Fastenal Co. | 36,004 | | 1,542,411 |
| FedEx Corporation | 21,581 | | 3,026,088 |
| Flowserve Corporation | 4,858 | | 138,550 |
| Fortive CorporationΔ | 28,093 | | 1,900,772 |
| Fortune Brands Home & Security, Inc. | 18,870 | | 1,206,359 |
| General Dynamics Corporation | 20,407 | | 3,050,030 |
| General Electric Co. | 659,185 | | 4,502,234 |
| Honeywell International, Inc. | 55,553 | | 8,032,408 |
| Howmet Aerospace, Inc. | 16,474 | | 261,113 |
| Huntington Ingalls Industries, Inc. | 2,805 | | 489,444 |
| IDEX Corporation | 5,716 | | 903,357 |
| IHS Markit, Ltd. | 29,494 | | 2,226,797 |
| Illinois ToolWorks, Inc. | 22,337 | | 3,905,624 |
| Ingersoll Rand, Inc.* | 14,300 | | 402,116 |
| J.B. Hunt Transport Services, Inc. | 3,269 | | 393,391 |
| Jacobs Engineering Group, Inc. | 4,647 | | 394,066 |
| Kansas City Southern | 10,006 | | 1,493,796 |
| L3Harris Technologies, Inc. | 16,801 | | 2,850,626 |
| Lockheed Martin Corporation | 19,185 | | 7,000,990 |
| Masco Corporation | 31,887 | | 1,601,046 |
| Norfolk Southern Corporation | 19,839 | | 3,483,133 |
| Northrop Grumman Corporation | 12,728 | | 3,913,096 |
| Old Dominion Freight Line, Inc. | 7,428 | | 1,259,715 |
| Otis Worldwide Corporation | 31,681 | | 1,801,382 |
| PACCAR, Inc. | 22,794 | | 1,706,131 |
| Parker-Hannifin Corporation | 8,815 | | 1,615,525 |
| Quanta Services, Inc. | 5,431 | | 213,058 |
| Raytheon Technologies Corporation | 117,008 | | 7,210,033 |
| Republic Services, Inc. | 19,655 | | 1,612,693 |
| Robert Half International, Inc. | 4,920 | | 259,924 |
| Rockwell Automation, Inc. | 8,494 | | 1,809,222 |
| Rollins, Inc. | 14,250 | | 604,058 |
| Roper Technologies, Inc. | 6,043 | | 2,346,255 |
| Snap-on, Inc. | 5,899 | | 817,070 |
| Southwest Airlines Co. | 36,781 | | 1,257,175 |
| Stanley Black & Decker, Inc. | 10,352 | | 1,442,862 |
| Teledyne Technologies, Inc.* | 2,897 | | 900,822 |
| Textron, Inc. | 19,700 | | 648,327 |
| TransDigm Group, Inc. | 3,870 | | 1,710,734 |
| Union Pacific Corporation | 55,813 | | 9,436,304 |
| United Airlines Holdings, Inc.Δ* | 19,397 | | 671,330 |
| United Parcel Service, Inc. Class BΔ | 50,421 | | 5,605,807 |
| United Rentals, Inc.* | 7,513 | | 1,119,738 |
| Verisk Analytics, Inc. | 12,729 | | 2,166,476 |
| W.W. Grainger, Inc. | 3,321 | | 1,043,325 |
| Waste Management, Inc. | 33,085 | | 3,504,032 |
See Notes to Financial Statements.
| | | Shares | | Value |
| Westinghouse Air Brake Technologies Corporation | 11,295 | | $ 650,253 |
| Xylem, Inc. | 9,669 | | 628,098 |
| | | | | 152,203,958 |
| Information Technology — 25.8% | | |
| Adobe, Inc.* | 36,755 | | 15,999,819 |
| Advanced Micro Devices, Inc.* | 82,934 | | 4,363,158 |
| Akamai Technologies, Inc.* | 6,606 | | 707,437 |
| Amphenol Corporation Class A | 18,535 | | 1,775,838 |
| Analog Devices, Inc.Δ | 29,267 | | 3,589,305 |
| ANSYS, Inc.* | 9,168 | | 2,674,581 |
| Apple, Inc. | 334,672 | | 122,088,346 |
| Applied Materials, Inc. | 77,376 | | 4,677,379 |
| Arista Networks, Inc.* | 4,638 | | 974,119 |
| Autodesk, Inc.* | 15,847 | | 3,790,444 |
| Automatic Data Processing, Inc. | 33,997 | | 5,061,813 |
| Broadcom, Inc. | 31,170 | | 9,837,564 |
| Broadridge Financial Solutions, Inc. | 6,807 | | 858,975 |
| Cadence Design Systems, Inc.* | 14,000 | | 1,343,440 |
| CDW Corporation | 11,000 | | 1,277,980 |
| Cisco Systems, Inc. | 338,843 | | 15,803,637 |
| Citrix Systems, Inc. | 9,508 | | 1,406,328 |
| Cognizant Technology Solutions Corporation Class A | 43,559 | | 2,475,022 |
| Corning, Inc. | 59,799 | | 1,548,794 |
| DXC Technology Co. | 18,725 | | 308,962 |
| F5 Networks, Inc.* | 2,480 | | 345,910 |
| Fidelity National Information Services, Inc. | 47,995 | | 6,435,650 |
| Fiserv, Inc.* | 43,328 | | 4,229,679 |
| FleetCor Technologies, Inc.* | 6,254 | | 1,573,069 |
| FLIR Systems, Inc. | 5,180 | | 210,153 |
| Fortinet, Inc.* | 9,885 | | 1,356,914 |
| Gartner, Inc.* | 5,295 | | 642,442 |
| Global Payments, Inc. | 22,769 | | 3,862,078 |
| Hewlett Packard Enterprise Co. | 113,804 | | 1,107,313 |
| HP, Inc. | 132,336 | | 2,306,616 |
| Intel Corporation | 342,984 | | 20,520,733 |
| International Business Machines Corporation | 72,240 | | 8,724,425 |
| Intuit, Inc. | 19,008 | | 5,629,979 |
| IPG Photonics Corporation* | 2,807 | | 450,215 |
| Jack Henry & Associates, Inc. | 5,530 | | 1,017,686 |
| Juniper Networks, Inc. | 15,019 | | 343,334 |
| Keysight Technologies, Inc.* | 13,420 | | 1,352,468 |
| KLA Corporation | 11,211 | | 2,180,315 |
| Lam Research Corporation | 10,705 | | 3,462,639 |
| Leidos Holdings, Inc. | 10,893 | | 1,020,347 |
| Mastercard, Inc. Class A | 68,771 | | 20,335,585 |
| Maxim Integrated Products, Inc. | 19,970 | | 1,210,382 |
| Microchip Technology, Inc.Δ | 16,977 | | 1,787,848 |
| Micron Technology, Inc.* | 84,017 | | 4,328,556 |
| Microsoft Corporation | 599,094 | | 121,921,620 |
| Motorola Solutions, Inc. | 13,048 | | 1,828,416 |
| NetApp, Inc. | 21,788 | | 966,734 |
| NortonLifeLock, Inc. | 47,298 | | 937,919 |
| NVIDIA Corporation | 46,907 | | 17,820,438 |
| Oracle Corporation | 205,823 | | 11,375,837 |
| | | Shares | | Value |
| Paychex, Inc. | 27,668 | | $ 2,095,851 |
| Paycom Software, Inc.* | 3,850 | | 1,192,460 |
| PayPal Holdings, Inc.* | 89,390 | | 15,574,420 |
| Qorvo, Inc.* | 4,807 | | 531,318 |
| QUALCOMM, Inc. | 91,816 | | 8,374,537 |
| salesforce.com, Inc.* | 68,199 | | 12,775,719 |
| ServiceNow, Inc.Δ* | 14,510 | | 5,877,421 |
| Skyworks Solutions, Inc. | 15,074 | | 1,927,362 |
| Synopsys, Inc.Δ* | 15,492 | | 3,020,940 |
| Texas Instruments, Inc. | 69,952 | | 8,881,805 |
| Tyler Technologies, Inc.* | 3,141 | | 1,089,550 |
| VeriSign, Inc.* | 7,867 | | 1,627,132 |
| Visa, Inc. Class AΔ | 132,519 | | 25,598,695 |
| Western Digital Corporation | 24,973 | | 1,102,558 |
| Western Union Co. (The) | 39,393 | | 851,677 |
| Xerox Holdings Corporation | 11,464 | | 175,285 |
| Xilinx, Inc. | 18,364 | | 1,806,834 |
| Zebra Technologies Corporation Class AΔ* | 4,187 | | 1,071,663 |
| | | | | 543,423,468 |
| Materials — 1.9% | | |
| Air Products and Chemicals, Inc. | 16,602 | | 4,008,719 |
| Albemarle CorporationΔ | 5,038 | | 388,984 |
| Avery Dennison Corporation | 3,272 | | 373,302 |
| Ball Corporation | 26,240 | | 1,823,418 |
| Celanese Corporation | 9,582 | | 827,310 |
| CF Industries Holdings, Inc. | 17,082 | | 480,687 |
| Corteva, Inc. | 55,219 | | 1,479,317 |
| Dow, Inc. | 55,219 | | 2,250,726 |
| DuPont de Nemours, Inc. | 62,802 | | 3,336,670 |
| Eastman Chemical Co. | 14,389 | | 1,002,050 |
| Ecolab, Inc. | 18,944 | | 3,768,909 |
| FMC Corporation | 5,397 | | 537,649 |
| Freeport-McMoRan, Inc. | 112,863 | | 1,305,825 |
| International Flavors & Fragrances, Inc.Δ | 8,221 | | 1,006,744 |
| International Paper Co. | 43,581 | | 1,534,487 |
| Martin Marietta Materials, Inc. | 5,969 | | 1,233,016 |
| Mosaic Co. (The) | 26,057 | | 325,973 |
| Newmont Corporation | 67,991 | | 4,197,764 |
| Nucor Corporation | 32,443 | | 1,343,465 |
| Packaging Corporation of America | 6,567 | | 655,387 |
| PPG Industries, Inc. | 18,443 | | 1,956,065 |
| Sealed Air Corporation | 10,710 | | 351,823 |
| Sherwin-Williams Co. (The) | 6,348 | | 3,668,192 |
| Vulcan Materials Co. | 11,222 | | 1,300,069 |
| Westrock Co. | 21,818 | | 616,577 |
| | | | | 39,773,128 |
| Real Estate — 2.6% | | |
| Alexandria Real Estate Equities, Inc. REITΔ | 4,819 | | 781,883 |
| American Tower Corporation REITΔ | 34,001 | | 8,790,619 |
| Apartment Investment and Management Co. Class A REITΔ | 5,953 | | 224,071 |
| AvalonBay Communities, Inc. REIT | 11,730 | | 1,813,927 |
| Boston Properties, Inc. REIT | 11,272 | | 1,018,763 |
| CBRE Group, Inc. Class A* | 26,915 | | 1,217,096 |
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (Continued)
| | | Shares | | Value |
| Crown Castle International Corporation REIT | 32,487 | | $ 5,436,699 |
| Digital Realty Trust, Inc. REITΔ | 16,030 | | 2,278,023 |
| Duke Realty Corporation REIT | 32,547 | | 1,151,838 |
| Equinix, Inc. REIT | 6,095 | | 4,280,518 |
| Equity Residential REIT | 36,341 | | 2,137,578 |
| Essex Property Trust, Inc. REIT | 5,627 | | 1,289,540 |
| Extra Space Storage, Inc. REIT | 8,534 | | 788,286 |
| Federal Realty Investment Trust REIT | 2,600 | | 221,546 |
| Healthpeak Properties, Inc. REIT | 46,597 | | 1,284,213 |
| Host Hotels & Resorts, Inc. REIT | 47,435 | | 511,824 |
| Iron Mountain, Inc. REITΔ | 32,755 | | 854,906 |
| Kimco Realty Corporation REIT | 56,971 | | 731,508 |
| Mid-America Apartment Communities, Inc. REIT | 7,607 | | 872,295 |
| Prologis, Inc. REIT | 48,593 | | 4,535,185 |
| Public Storage REIT | 13,141 | | 2,521,627 |
| Realty Income Corporation REIT | 28,647 | | 1,704,496 |
| Regency Centers Corporation REIT | 15,104 | | 693,123 |
| SBA Communications Corporation REIT | 9,082 | | 2,705,709 |
| Simon Property Group, Inc. REIT | 28,493 | | 1,948,351 |
| SL Green Realty Corporation REIT | 7,249 | | 357,303 |
| UDR, Inc. REIT | 16,995 | | 635,273 |
| Ventas, Inc. REITΔ | 33,547 | | 1,228,491 |
| Vornado Realty Trust REIT | 15,993 | | 611,093 |
| Welltower, Inc. REIT | 31,626 | | 1,636,645 |
| Weyerhaeuser Co. REIT | 66,786 | | 1,500,014 |
| | | | | 55,762,443 |
| Utilities — 3.1% | | |
| AES Corporation (The) | 56,201 | | 814,353 |
| Alliant Energy Corporation | 6,500 | | 310,960 |
| Ameren Corporation | 19,884 | | 1,399,038 |
| American Electric Power Co., Inc. | 43,060 | | 3,429,298 |
| American Water Works Co., Inc. | 20,418 | | 2,626,980 |
| Atmos Energy Corporation | 8,640 | | 860,371 |
| CenterPoint Energy, Inc. | 50,231 | | 937,813 |
| CMS Energy Corporation | 24,417 | | 1,426,441 |
| Consolidated Edison, Inc. | 33,879 | | 2,436,917 |
| Dominion Energy, Inc. | 82,303 | | 6,681,358 |
| DTE Energy Co. | 20,230 | | 2,174,725 |
| Duke Energy CorporationΔ | 63,450 | | 5,069,021 |
| Edison International | 25,039 | | 1,359,868 |
| Entergy Corporation | 11,610 | | 1,089,134 |
| Evergy, Inc. | 17,247 | | 1,022,575 |
| Eversource Energy | 22,827 | | 1,900,804 |
| Exelon Corporation | 79,694 | | 2,892,095 |
| FirstEnergy Corporation | 37,260 | | 1,444,943 |
| NextEra Energy, Inc. | 39,437 | | 9,471,584 |
| NiSource, Inc. | 23,079 | | 524,816 |
| NRG Energy, Inc. | 19,377 | | 630,915 |
| Pinnacle West Capital Corporation | 4,108 | | 301,075 |
| PPL Corporation | 73,784 | | 1,906,579 |
| Public Service Enterprise Group, Inc. | 46,751 | | 2,298,279 |
| Sempra Energy | 20,984 | | 2,459,954 |
| | | Shares | | Value |
| Southern Co. (The) | 81,308 | | $ 4,215,820 |
| WEC Energy Group, Inc.Δ | 32,075 | | 2,811,374 |
| Xcel Energy, Inc. | 35,982 | | 2,248,875 |
| | | | | 64,745,965 |
Total Common Stocks
(Cost $1,401,415,242) | | 1,967,274,250 |
| FOREIGN COMMON STOCKS — 2.9% |
| Curacao — 0.1% | | |
| Schlumberger, Ltd. | 121,737 | | 2,238,743 |
| Ireland — 2.1% | | |
| Accenture PLC Class A | 48,630 | | 10,441,834 |
| Allegion PLCΔ | 11,277 | | 1,152,735 |
| Aon PLC Class A | 19,060 | | 3,670,956 |
| Eaton Corporation PLC | 34,612 | | 3,027,858 |
| Johnson Controls International PLC | 75,803 | | 2,587,914 |
| Linde PLC | 42,397 | | 8,992,828 |
| Medtronic PLC | 104,997 | | 9,628,225 |
| Pentair PLC | 6,692 | | 254,229 |
| Seagate Technology PLCΔ | 24,342 | | 1,178,396 |
| STERIS PLC | 6,583 | | 1,010,095 |
| Trane Technologies PLC | 16,206 | | 1,442,010 |
| Willis Towers Watson PLCΔ | 8,889 | | 1,750,689 |
| | | | | 45,137,769 |
| Jersey — 0.1% | | |
| Amcor PLC | 120,129 | | 1,226,517 |
| Aptiv PLC | 15,022 | | 1,170,514 |
| | | | | 2,397,031 |
| Netherlands — 0.2% | | |
| LyondellBasell Industries NV Class A | 27,312 | | 1,794,945 |
| Mylan NV* | 84,301 | | 1,355,560 |
| | | | | 3,150,505 |
| Switzerland — 0.4% | | |
| Chubb, Ltd. | 35,583 | | 4,505,519 |
| Garmin, Ltd. | 8,253 | | 804,668 |
| TE Connectivity, Ltd. | 28,610 | | 2,333,145 |
| | | | | 7,643,332 |
| United Kingdom — 0.0% | | |
| Nielsen Holdings PLC | 40,749 | | 605,530 |
| TechnipFMC PLC | 23,072 | | 157,813 |
| | | | | 763,343 |
Total Foreign Common Stocks
(Cost $58,631,710) | | 61,330,723 |
| RIGHTS — 0.0% |
T-Mobile US, Inc.*
(Cost $—) | 23,800 | | 3,998 |
| MONEY MARKET FUNDS — 3.5% |
GuideStone Money Market Fund, 0.16%
(Institutional Class)Ø∞ | 70,028,319 | | 70,028,319 |
| Northern Institutional Liquid Assets Portfolio (Shares), 0.33%ا | 4,262,211 | | 4,262,211 |
See Notes to Financial Statements.
| | | Shares | | Value |
| Northern Institutional U.S. Government Portfolio (Shares), 0.07%Ø∞ | 11,173 | | $ 11,173 |
Total Money Market Funds
(Cost $74,301,703) | | 74,301,703 |
TOTAL INVESTMENTS — 99.9%
(Cost $1,534,348,655) | | | 2,102,910,674 |
Other Assets in Excess of
Liabilities — 0.1% | | | 2,115,727 |
| NET ASSETS — 100.0% | | | $2,105,026,401 |
PORTFOLIO SUMMARY (based on net assets)
| | % |
| Information Technology | 26.5 |
| Health Care | 14.1 |
| Communication Services | 10.4 |
| Consumer Discretionary | 10.3 |
| Financials | 9.9 |
| Industrials | 7.5 |
| Consumer Staples | 6.8 |
| Money Market Funds | 3.5 |
| Utilities | 3.1 |
| Energy | 2.7 |
| Real Estate | 2.6 |
| Materials | 2.5 |
| Rights | —** |
| | 99.9 |
| **Rounds to less than 0.05% | |
Futures Contracts outstanding at June 30, 2020:
| Future Type | | Expiration Date | | Open Long
(Short) Contracts | | Notional
Market Value
of Contracts | | Value and
Unrealized
Appreciation
(Depreciation) |
| S&P 500® E-Mini | | 09/2020 | | 443 | | $68,447,930 | | $1,712,117 |
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (Continued)
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2020, in valuing the Fund’s investments carried at fair value:
| | Total
Value | | Level 1
Quoted Prices | | Level 2
Other Significant
Observable Inputs | | Level 3
Significant
Unobservable Inputs |
| Assets: | | | | | | | |
| Investments in Securities: | | | | | | | |
| Common Stocks | $1,967,274,250 | | $1,967,274,250 | | $ — | | $ — |
| Foreign Common Stocks | 61,330,723 | | 61,330,723 | | — | | — |
| Money Market Funds | 74,301,703 | | 74,301,703 | | — | | — |
| Rights | 3,998 | | — | | 3,998 | | — |
| Total Assets - Investments in Securities | $2,102,910,674 | | $2,102,906,676 | | $ 3,998 | | $ — |
| Other Financial Instruments*** | | | | | | | |
| Futures Contracts | $ 1,712,117 | | $ 1,712,117 | | $ — | | $ — |
| Total Assets - Other Financial Instruments | $ 1,712,117 | | $ 1,712,117 | | $ — | | $ — |
| *** | 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. |
See Notes to Financial Statements.
June 30, 2020 (Unaudited)
| | | Shares | | Value |
| COMMON STOCKS — 83.6% |
| Communication Services — 5.4% | | |
| Activision Blizzard, Inc. | 3,553 | | $ 269,673 |
| Alphabet, Inc. Class A* | 560 | | 794,108 |
| Alphabet, Inc. Class C* | 560 | | 791,622 |
| AT&T, Inc. | 236,547 | | 7,150,816 |
| Charter Communications, Inc. Class A* | 140 | | 71,406 |
| Comcast Corporation Class A | 401,002 | | 15,631,058 |
| Discovery, Inc. Class AΔ* | 177,022 | | 3,735,164 |
| Electronic Arts, Inc.* | 2,002 | | 264,364 |
| Fox Corporation Class A | 71,904 | | 1,928,465 |
| T-Mobile US, Inc.* | 4,452 | | 463,676 |
| Verizon Communications, Inc. | 287,266 | | 15,836,975 |
| ViacomCBS, Inc. Class BΔ | 155,664 | | 3,630,084 |
| Walt Disney Co. (The) | 54,303 | | 6,055,327 |
| | | | | 56,622,738 |
| Consumer Discretionary — 6.8% | | |
| Advance Auto Parts, Inc. | 89,150 | | 12,699,417 |
| Aramark | 388,310 | | 8,764,157 |
| Darden Restaurants, Inc. | 19,100 | | 1,447,207 |
| Dollar General Corporation | 17,063 | | 3,250,672 |
| eBay, Inc. | 36,737 | | 1,926,856 |
| General Motors Co. | 11,710 | | 296,263 |
| Home Depot, Inc. (The) | 4,511 | | 1,130,051 |
| Lennar Corporation Class A | 239,739 | | 14,772,717 |
| Lowe’s Cos., Inc. | 124,070 | | 16,764,338 |
| Marriott International, Inc. Class A | 2,309 | | 197,951 |
| McDonald’s Corporation | 5,483 | | 1,011,449 |
| Ross Stores, Inc. | 565 | | 48,161 |
| Starbucks Corporation | 4,266 | | 313,935 |
| Target Corporation | 75,938 | | 9,107,244 |
| TJX Cos., Inc. (The) | 1,846 | | 93,334 |
| Yum! Brands, Inc. | 2,509 | | 218,057 |
| | | | | 72,041,809 |
| Consumer Staples — 5.4% | | |
| Coca-Cola Co. (The) | 101,979 | | 4,556,422 |
| Colgate-Palmolive Co. | 67,732 | | 4,962,046 |
| Conagra Brands, Inc. | 118,400 | | 4,164,128 |
| Costco Wholesale Corporation | 516 | | 156,456 |
| Estee Lauder Cos., Inc. (The) Class A | 300 | | 56,604 |
| General Mills, Inc. | 7,096 | | 437,468 |
| Keurig Dr. Pepper, Inc.Δ | 5,015 | | 142,426 |
| Kimberly-Clark Corporation | 53,694 | | 7,589,647 |
| Kraft Heinz Co. (The) | 8,982 | | 286,436 |
| Lamb Weston Holdings, Inc. | 50,582 | | 3,233,707 |
| Mondelez International, Inc. Class A | 132,009 | | 6,749,620 |
| PepsiCo, Inc. | 63,475 | | 8,395,204 |
| Post Holdings, Inc.* | 39,620 | | 3,471,504 |
| Procter & Gamble Co. (The) | 34,013 | | 4,066,935 |
| Sysco Corporation | 1,424 | | 77,836 |
| Walgreens Boots Alliance, Inc. | 6,927 | | 293,636 |
| Walmart, Inc. | 67,067 | | 8,033,285 |
| | | | | 56,673,360 |
| Energy — 4.6% | | |
| Baker Hughes Co. | 225,425 | | 3,469,291 |
| | | Shares | | Value |
| Chevron Corporation | 231,881 | | $ 20,690,742 |
| ConocoPhillips | 8,984 | | 377,508 |
| EOG Resources, Inc. | 4,839 | | 245,144 |
| Exxon Mobil Corporation | 36,355 | | 1,625,796 |
| Hess Corporation | 80,458 | | 4,168,529 |
| Kinder Morgan, Inc. | 17,120 | | 259,710 |
| Marathon Petroleum Corporation | 54,393 | | 2,033,210 |
| Phillips 66 | 155,408 | | 11,173,835 |
| Valero Energy Corporation | 70,576 | | 4,151,280 |
| | | | | 48,195,045 |
| Financials — 18.2% | | |
| Aflac, Inc. | 6,929 | | 249,652 |
| Allstate Corporation (The) | 2,605 | | 252,659 |
| American Express Co. | 46,756 | | 4,451,171 |
| American International Group, Inc. | 468,868 | | 14,619,304 |
| Ameriprise Financial, Inc. | 21,159 | | 3,174,696 |
| Bank of America Corporation | 64,095 | | 1,522,256 |
| Bank of New York Mellon Corporation (The) | 255,878 | | 9,889,685 |
| Berkshire Hathaway, Inc. Class B* | 176,190 | | 31,451,677 |
| BlackRock, Inc. | 11,533 | | 6,274,990 |
| Blackstone Group, Inc. (The) Class A | 43,100 | | 2,442,046 |
| Capital One Financial Corporation | 3,737 | | 233,899 |
| Charles Schwab Corporation (The) | 9,782 | | 330,045 |
| Cincinnati Financial Corporation | 36,830 | | 2,358,225 |
| Citigroup, Inc. | 277,111 | | 14,160,372 |
| CME Group, Inc. | 3,046 | | 495,097 |
| Franklin Resources, Inc. | 82,440 | | 1,728,767 |
| Goldman Sachs Group, Inc. (The) | 45,071 | | 8,906,931 |
| Intercontinental Exchange, Inc. | 71,143 | | 6,516,699 |
| JPMorgan Chase & Co. | 211,043 | | 19,850,704 |
| Marsh & McLennan Cos., Inc. | 65,854 | | 7,070,744 |
| MetLife, Inc. | 97,415 | | 3,557,596 |
| Morgan Stanley | 9,279 | | 448,176 |
| New York Community Bancorp, Inc. | 579,740 | | 5,913,348 |
| Northern Trust Corporation | 45,758 | | 3,630,440 |
| PNC Financial Services Group, Inc. (The) | 31,698 | | 3,334,946 |
| Progressive Corporation (The) | 3,458 | | 277,020 |
| Reinsurance Group of America, Inc. | 60,690 | | 4,760,524 |
| S&P Global, Inc. | 733 | | 241,509 |
| Travelers Cos., Inc. (The) | 2,523 | | 287,748 |
| Truist Financial Corporation | 126,415 | | 4,746,883 |
| U.S. Bancorp | 281,842 | | 10,377,422 |
| Wells Fargo & Co. | 593,216 | | 15,186,330 |
| Zions Bancorp NA | 69,626 | | 2,367,284 |
| | | | | 191,108,845 |
| Health Care — 10.2% | | |
| Abbott Laboratories | 9,356 | | 855,419 |
| Anthem, Inc. | 29,795 | | 7,835,489 |
| Baxter International, Inc. | 2,946 | | 253,651 |
| Becton, Dickinson and Co. | 29,562 | | 7,073,300 |
| Biogen, Inc.* | 1,241 | | 332,030 |
| Boston Scientific Corporation* | 12,687 | | 445,441 |
| Bristol-Myers Squibb Co. | 81,273 | | 4,778,852 |
| Centene Corporation* | 87,055 | | 5,532,345 |
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (Continued)
| | | Shares | | Value |
| Cerner Corporation | 71,215 | | $ 4,881,788 |
| Cigna Corporation | 2,323 | | 435,911 |
| CVS Health Corporation | 150,148 | | 9,755,116 |
| Danaher Corporation | 5,391 | | 953,290 |
| Gilead Sciences, Inc. | 79,911 | | 6,148,352 |
| HCA Healthcare, Inc. | 1,511 | | 146,658 |
| Hologic, Inc.* | 77,914 | | 4,441,098 |
| Humana, Inc. | 707 | | 274,139 |
| Johnson & Johnson | 184,724 | | 25,977,736 |
| McKesson Corporation | 31,195 | | 4,785,937 |
| Molina Healthcare, Inc.* | 33,526 | | 5,966,957 |
| Stryker Corporation | 2,096 | | 377,678 |
| Thermo Fisher Scientific, Inc. | 1,491 | | 540,249 |
| UnitedHealth Group, Inc. | 25,578 | | 7,544,231 |
| Zimmer Biomet Holdings, Inc. | 65,374 | | 7,803,041 |
| Zoetis, Inc. | 1,798 | | 246,398 |
| | | | | 107,385,106 |
| Industrials — 11.9% | | |
| 3M Co. | 1,765 | | 275,322 |
| AECOM* | 140,595 | | 5,283,560 |
| Boeing Co. (The) | 4,505 | | 825,766 |
| Caterpillar, Inc. | 4,625 | | 585,063 |
| CSX Corporation | 6,730 | | 469,350 |
| Deere & Co. | 60,110 | | 9,446,286 |
| Emerson Electric Co. | 115,396 | | 7,158,014 |
| Fastenal Co. | 142,803 | | 6,117,681 |
| FedEx Corporation | 2,156 | | 302,314 |
| General Dynamics Corporation | 35,911 | | 5,367,258 |
| General Electric Co. | 635,755 | | 4,342,207 |
| Honeywell International, Inc. | 6,116 | | 884,312 |
| Hubbell, Inc. | 47,963 | | 6,012,642 |
| Illinois ToolWorks, Inc. | 1,407 | | 246,014 |
| J.B. Hunt Transport Services, Inc. | 87,375 | | 10,514,707 |
| Jacobs Engineering Group, Inc. | 27,712 | | 2,349,978 |
| L3Harris Technologies, Inc. | 13,153 | | 2,231,670 |
| Norfolk Southern Corporation | 30,316 | | 5,322,580 |
| Northrop Grumman Corporation | 88 | | 27,055 |
| Quanta Services, Inc. | 94,690 | | 3,714,689 |
| Raytheon Technologies Corporation | 226,257 | | 13,941,957 |
| Republic Services, Inc. | 53,300 | | 4,373,265 |
| Roper Technologies, Inc. | 752 | | 291,972 |
| Stanley Black & Decker, Inc. | 46,970 | | 6,546,679 |
| Textron, Inc. | 104,807 | | 3,449,198 |
| Uber Technologies, Inc.* | 2,524 | | 78,446 |
| Union Pacific Corporation | 24,203 | | 4,092,001 |
| United Parcel Service, Inc. Class B | 129,668 | | 14,416,488 |
| Waste Management, Inc. | 3,420 | | 362,212 |
| Westinghouse Air Brake Technologies Corporation | 116,685 | | 6,717,555 |
| | | | | 125,746,241 |
| Information Technology — 11.8% | | |
| Advanced Micro Devices, Inc.* | 60 | | 3,157 |
| Analog Devices, Inc. | 2,852 | | 349,769 |
| Apple, Inc. | 30,688 | | 11,194,982 |
| Autodesk, Inc.* | 567 | | 135,621 |
| Automatic Data Processing, Inc. | 599 | | 89,185 |
| | | Shares | | Value |
| Broadcom, Inc. | 38,725 | | $ 12,221,997 |
| Cisco Systems, Inc. | 472,105 | | 22,018,977 |
| Cognizant Technology Solutions Corporation Class A | 177,968 | | 10,112,142 |
| Corning, Inc. | 148,110 | | 3,836,049 |
| Dell Technologies, Inc. Class C* | 1,261 | | 69,279 |
| Fidelity National Information Services, Inc. | 5,092 | | 682,786 |
| Fiserv, Inc.* | 33,084 | | 3,229,660 |
| Global Payments, Inc. | 2,345 | | 397,759 |
| Intel Corporation | 125,627 | | 7,516,263 |
| International Business Machines Corporation | 47,726 | | 5,763,869 |
| Maxim Integrated Products, Inc. | 125,064 | | 7,580,129 |
| Micron Technology, Inc.* | 33,074 | | 1,703,973 |
| Microsoft Corporation | 31,222 | | 6,353,989 |
| ON Semiconductor Corporation* | 134,917 | | 2,674,055 |
| Oracle Corporation | 70,597 | | 3,901,896 |
| Paychex, Inc. | 46,102 | | 3,492,227 |
| QUALCOMM, Inc. | 37,365 | | 3,408,062 |
| salesforce.com, Inc.* | 439 | | 82,238 |
| Texas Instruments, Inc. | 136,356 | | 17,313,121 |
| | | | | 124,131,185 |
| Materials — 4.4% | | |
| Air Products and Chemicals, Inc. | 52,566 | | 12,692,587 |
| Corteva, Inc. | 431,088 | | 11,548,848 |
| Dow, Inc. | 6,712 | | 273,581 |
| DuPont de Nemours, Inc. | 221,986 | | 11,794,116 |
| Ecolab, Inc. | 1,565 | | 311,357 |
| Freeport-McMoRan, Inc. | 432,555 | | 5,004,661 |
| Martin Marietta Materials, Inc. | 20,100 | | 4,152,057 |
| Newmont Corporation | 6,549 | | 404,335 |
| Southern Copper Corporation | 1,569 | | 62,399 |
| | | | | 46,243,941 |
| Real Estate — 1.0% | | |
| Cousins Properties, Inc. REITΔ | 70,180 | | 2,093,469 |
| Crown Castle International Corporation REIT | 33,131 | | 5,544,473 |
| Digital Realty Trust, Inc. REIT | 2,273 | | 323,016 |
| Jones Lang LaSalle, Inc. | 18,974 | | 1,963,050 |
| Prologis, Inc. REIT | 6,128 | | 571,926 |
| Public Storage REIT | 744 | | 142,766 |
| SBA Communications Corporation REIT | 794 | | 236,549 |
| | | | | 10,875,249 |
| Utilities — 3.9% | | |
| AES Corporation (The) | 330,310 | | 4,786,192 |
| American Electric Power Co., Inc. | 4,460 | | 355,194 |
| Atmos Energy Corporation | 61,100 | | 6,084,338 |
| Dominion Energy, Inc. | 66,699 | | 5,414,625 |
| Duke Energy CorporationΔ | 6,693 | | 534,704 |
| Edison International | 52,651 | | 2,859,476 |
| Evergy, Inc. | 77,200 | | 4,577,188 |
| Exelon Corporation | 165,270 | | 5,997,648 |
| NextEra Energy, Inc. | 3,857 | | 926,336 |
| Pinnacle West Capital Corporation | 93,084 | | 6,822,126 |
See Notes to Financial Statements.
| | | Shares | | Value |
| Sempra Energy | 19,771 | | $ 2,317,754 |
| Southern Co. (The) | 8,887 | | 460,791 |
| | | | | 41,136,372 |
Total Common Stocks
(Cost $866,164,279) | | 880,159,891 |
| FOREIGN COMMON STOCKS — 11.9% |
| Curacao — 0.0% | | |
| Schlumberger, Ltd. | 11,737 | | 215,843 |
| France — 0.7% | | |
| TOTAL SA ADR | 182,398 | | 7,015,027 |
| Germany — 0.8% | | |
| Siemens AG | 69,310 | | 8,174,229 |
| Ireland — 4.7% | | |
| Eaton Corporation PLC | 3,363 | | 294,195 |
| Johnson Controls International PLC | 349,958 | | 11,947,566 |
| Linde PLC | 4,322 | | 916,740 |
| Medtronic PLC | 276,541 | | 25,358,810 |
| nVent Electric PLC | 62,018 | | 1,161,597 |
| Willis Towers Watson PLC | 50,019 | | 9,851,242 |
| | | | | 49,530,150 |
| Netherlands — 1.1% | | |
| Koninklijke Philips NVΔ | 70,917 | | 3,321,752 |
| Unilever NV | 156,361 | | 8,329,351 |
| | | | | 11,651,103 |
| Singapore — 0.2% | | |
| Flex, Ltd.* | 239,791 | | 2,457,858 |
| Switzerland — 4.4% | | |
| Chubb, Ltd. | 167,380 | | 21,193,656 |
| Nestle SA | 46,242 | | 5,126,879 |
| Nestle SA ADR | 52,629 | | 5,812,347 |
| Novartis AG ADR | 114,837 | | 10,029,863 |
| TE Connectivity, Ltd. | 54,491 | | 4,443,741 |
| | | | | 46,606,486 |
Total Foreign Common Stocks
(Cost $125,032,026) | | 125,650,696 |
| RIGHTS — 0.0% |
T-Mobile US, Inc.*
(Cost $—) | 1,652 | | 278 |
| | | Shares | | Value |
| MONEY MARKET FUNDS — 4.9% |
GuideStone Money Market Fund, 0.16%
(Institutional Class)Ø∞ | 43,849,516 | | $ 43,849,516 |
| Northern Institutional Liquid Assets Portfolio (Shares), 0.33%ا | 7,181,521 | | 7,181,521 |
| Northern Institutional U.S. Government Portfolio (Shares), 0.07%Ø | 40,538 | | 40,538 |
Total Money Market Funds
(Cost $51,071,575) | | 51,071,575 |
TOTAL INVESTMENTS — 100.4%
(Cost $1,042,267,880) | | | 1,056,882,440 |
Liabilities in Excess of Other
Assets — (0.4)% | | | (3,828,510) |
| NET ASSETS — 100.0% | | | $1,053,053,930 |
PORTFOLIO SUMMARY (based on net assets)
| | % |
| Financials | 21.2 |
| Industrials | 13.9 |
| Health Care | 13.9 |
| Information Technology | 12.4 |
| Consumer Staples | 7.2 |
| Consumer Discretionary | 6.8 |
| Communication Services | 5.4 |
| Energy | 5.3 |
| Money Market Funds | 4.9 |
| Materials | 4.5 |
| Utilities | 3.9 |
| Real Estate | 1.0 |
| Rights | —** |
| | 100.4 |
| **Rounds to less than 0.05% | |
Futures Contracts outstanding at June 30, 2020:
| Future Type | | Expiration Date | | Open Long
(Short) Contracts | | Notional
Market Value
of Contracts | | Value and
Unrealized
Appreciation
(Depreciation) |
| Micro S&P 500® E-Mini | | 09/2020 | | 48 | | $ 741,648 | | $ 14,008 |
| S&P 500® E-Mini | | 09/2020 | | 130 | | 20,086,300 | | 180,699 |
| Total Futures Contracts outstanding at June 30, 2020 | | | | | | $20,827,948 | | $194,707 |
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (Continued)
Forward Foreign Currency Contracts outstanding at June 30, 2020:
| Expiration Date | | Currency
Purchased | | Amount
of Currency
Purchased | | Currency
Sold | | Amount
of Currency
Sold | | Counter-
party | | Net Unrealized
Appreciation
(Depreciation) |
| 09/30/20 | | U.S. Dollars | | 24,461,187 | | Euro | | 21,674,305 | | CS | | $59,132 |
| 09/30/20 | | Swiss Francs | | 387,456 | | U.S. Dollars | | 408,190 | | UBS | | 1,907 |
| 09/30/20 | | U.S. Dollars | | 15,129,995 | | Swiss Francs | | 14,294,290 | | UBS | | 407 |
| 09/30/20 | | Euro | | 1,357,546 | | U.S. Dollars | | 1,528,135 | | CS | | 260 |
| Total Forward Foreign Currency Contracts outstanding at June 30, 2020 | | | | $61,706 |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2020, in valuing the Fund’s investments carried at fair value:
| | Total
Value | | Level 1
Quoted Prices | | Level 2
Other Significant
Observable Inputs | | Level 3
Significant
Unobservable Inputs |
| Assets: | | | | | | | |
| Investments in Securities: | | | | | | | |
| Common Stocks | $ 880,159,891 | | $ 880,159,891 | | $ — | | $ — |
| Foreign Common Stocks: | | | | | | | |
| Germany | 8,174,229 | | — | | 8,174,229 | | — |
| Switzerland | 46,606,486 | | 41,479,607 | | 5,126,879 | | — |
| Other ^^ | 70,869,981 | | 70,869,981 | | — | | — |
| Total Foreign Common Stocks | 125,650,696 | | 112,349,588 | | 13,301,108 | | — |
| Money Market Funds | 51,071,575 | | 51,071,575 | | — | | — |
| Rights | 278 | | — | | 278 | | — |
| Total Assets - Investments in Securities | $1,056,882,440 | | $1,043,581,054 | | $13,301,386 | | $ — |
| Other Financial Instruments*** | | | | | | | |
| Forward Foreign Currency Contracts | $ 61,706 | | $ — | | $ 61,706 | | $ — |
| Futures Contracts | 194,707 | | 194,707 | | — | | — |
| Total Assets - Other Financial Instruments | $ 256,413 | | $ 194,707 | | $ 61,706 | | $ — |
| ^^ | 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. |
See Notes to Financial Statements.
June 30, 2020 (Unaudited)
| | | Shares | | Value |
| COMMON STOCKS — 90.9% |
| Communication Services — 13.3% | | |
| Alphabet, Inc. Class A* | 14,269 | | $ 20,234,156 |
| Alphabet, Inc. Class C* | 30,636 | | 43,307,356 |
| Charter Communications, Inc. Class A* | 9,000 | | 4,590,360 |
| Comcast Corporation Class A | 268,028 | | 10,447,731 |
| Electronic Arts, Inc.* | 103,059 | | 13,608,941 |
| Facebook, Inc. Class A* | 302,712 | | 68,736,814 |
| Match Group, Inc.Δ* | 117,200 | | 12,546,260 |
| Netflix, Inc.* | 38,204 | | 17,384,348 |
| Sea, Ltd. ADRΔ* | 126,900 | | 13,608,756 |
| Walt Disney Co. (The) | 173,435 | | 19,339,737 |
| Warner Music Group Corporation Class AΔ* | 135,616 | | 4,000,672 |
| Zillow Group, Inc. Class CΔ* | 41,300 | | 2,379,293 |
| | | | | 230,184,424 |
| Consumer Discretionary — 11.4% | | |
| Advance Auto Parts, Inc. | 60,107 | | 8,562,242 |
| Amazon.com, Inc.* | 46,868 | | 129,300,376 |
| Booking Holdings, Inc.* | 4,401 | | 7,007,888 |
| Floor & Decor Holdings, Inc. Class A* | 72,430 | | 4,175,590 |
| Home Depot, Inc. (The) | 43,342 | | 10,857,605 |
| Lululemon Athletica, Inc.Δ* | 28,326 | | 8,837,995 |
| Starbucks Corporation | 119,010 | | 8,757,946 |
| Ulta Beauty, Inc.* | 35,355 | | 7,191,914 |
| Yum China Holdings, Inc. | 107,118 | | 5,149,162 |
| Yum! Brands, Inc. | 85,152 | | 7,400,560 |
| | | | | 197,241,278 |
| Consumer Staples — 4.3% | | |
| Colgate-Palmolive Co. | 223,906 | | 16,403,354 |
| Costco Wholesale Corporation | 56,554 | | 17,147,738 |
| Estee Lauder Cos., Inc. (The) Class A | 45,070 | | 8,503,808 |
| Grocery Outlet Holding Corporation* | 90,000 | | 3,672,000 |
| Monster Beverage Corporation* | 426,267 | | 29,548,828 |
| | | | | 75,275,728 |
| Financials — 1.6% | | |
| American Express Co. | 85,796 | | 8,167,779 |
| FactSet Research Systems, Inc. | 31,685 | | 10,407,572 |
| SEI Investments Co. | 174,400 | | 9,588,512 |
| | | | | 28,163,863 |
| Health Care — 14.0% | | |
| Alexion Pharmaceuticals, Inc.* | 75,052 | | 8,423,838 |
| Align Technology, Inc.* | 18,650 | | 5,118,306 |
| Amgen, Inc. | 56,220 | | 13,260,049 |
| BioMarin Pharmaceutical, Inc.* | 66,633 | | 8,218,514 |
| Cerner Corporation | 139,057 | | 9,532,357 |
| Danaher Corporation | 64,412 | | 11,389,974 |
| DexCom, Inc.* | 37,477 | | 15,193,176 |
| Edwards Lifesciences Corporation* | 169,772 | | 11,732,943 |
| Illumina, Inc.* | 65,425 | | 24,230,149 |
| Intuitive Surgical, Inc.* | 30,880 | | 17,596,350 |
| Mirati Therapeutics, Inc.* | 22,153 | | 2,529,208 |
| Regeneron Pharmaceuticals, Inc.* | 36,491 | | 22,757,612 |
| | | Shares | | Value |
| Sarepta Therapeutics, Inc.* | 20,314 | | $ 3,257,147 |
| Thermo Fisher Scientific, Inc. | 79,912 | | 28,955,314 |
| UnitedHealth Group, Inc. | 68,607 | | 20,235,635 |
| Varian Medical Systems, Inc.* | 36,035 | | 4,415,008 |
| Zoetis, Inc. | 254,004 | | 34,808,708 |
| | | | | 241,654,288 |
| Industrials — 8.6% | | |
| Boeing Co. (The) | 103,457 | | 18,963,668 |
| C.H. Robinson Worldwide, Inc. | 70,972 | | 5,611,046 |
| Cintas Corporation | 36,085 | | 9,611,601 |
| CoStar Group, Inc.* | 9,241 | | 6,567,301 |
| Deere & Co. | 100,580 | | 15,806,147 |
| Expeditors International of Washington, Inc. | 177,233 | | 13,476,797 |
| Fortive CorporationΔ | 140,276 | | 9,491,074 |
| IHS Markit, Ltd. | 132,523 | | 10,005,487 |
| L3Harris Technologies, Inc. | 46,555 | | 7,898,987 |
| Raytheon Technologies Corporation | 141,634 | | 8,727,487 |
| Roper Technologies, Inc. | 28,995 | | 11,257,599 |
| Uber Technologies, Inc.* | 340,708 | | 10,589,205 |
| United Parcel Service, Inc. Class B | 110,997 | | 12,340,646 |
| W.W. Grainger, Inc. | 29,847 | | 9,376,734 |
| | | | | 149,723,779 |
| Information Technology — 35.1% | | |
| Adobe, Inc.* | 87,392 | | 38,042,612 |
| Akamai Technologies, Inc.* | 116,280 | | 12,452,425 |
| Amphenol Corporation Class A | 80,672 | | 7,729,184 |
| Apple, Inc. | 180,114 | | 65,705,587 |
| Autodesk, Inc.* | 162,142 | | 38,782,745 |
| Automatic Data Processing, Inc. | 30,434 | | 4,531,318 |
| Cisco Systems, Inc. | 237,366 | | 11,070,750 |
| Coupa Software, Inc.* | 10,800 | | 2,992,032 |
| Fidelity National Information Services, Inc. | 73,789 | | 9,894,367 |
| Genpact, Ltd. | 263,828 | | 9,634,999 |
| Intuit, Inc. | 69,110 | | 20,469,691 |
| Mastercard, Inc. Class A | 42,694 | | 12,624,616 |
| Microsoft Corporation | 412,843 | | 84,017,679 |
| Nutanix, Inc. Class A* | 144,526 | | 3,425,989 |
| NVIDIA Corporation | 97,168 | | 36,915,095 |
| Oracle Corporation | 385,421 | | 21,302,219 |
| Palo Alto Networks, Inc.* | 37,533 | | 8,620,204 |
| PayPal Holdings, Inc.* | 84,626 | | 14,744,388 |
| QUALCOMM, Inc. | 267,575 | | 24,405,516 |
| salesforce.com, Inc.* | 236,664 | | 44,334,267 |
| ServiceNow, Inc.* | 34,350 | | 13,913,811 |
| Splunk, Inc.Δ* | 62,858 | | 12,489,885 |
| Square, Inc. Class A* | 66,800 | | 7,009,992 |
| Texas Instruments, Inc. | 57,854 | | 7,345,722 |
| Twilio, Inc. Class A* | 30,200 | | 6,626,484 |
| Visa, Inc. Class AΔ | 366,992 | | 70,891,845 |
| VMware, Inc. Class AΔ* | 60,184 | | 9,320,094 |
| Workday, Inc. Class A* | 42,575 | | 7,976,852 |
| Xperi Holding Corporation | 3 | | 44 |
| | | | | 607,270,412 |
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (Continued)
| | | Shares | | Value |
| Materials — 1.2% | | |
| Ecolab, Inc. | 46,192 | | $ 9,189,898 |
| Sherwin-Williams Co. (The) | 18,600 | | 10,748,010 |
| | | | | 19,937,908 |
| Real Estate — 1.4% | | |
| Equinix, Inc. REIT | 16,253 | | 11,414,482 |
| SBA Communications Corporation REIT | 43,473 | | 12,951,476 |
| | | | | 24,365,958 |
Total Common Stocks
(Cost $1,036,170,339) | | 1,573,817,638 |
| FOREIGN COMMON STOCKS — 5.7% |
| China — 2.5% | | |
| Alibaba Group Holding, Ltd. ADR* | 203,077 | | 43,803,709 |
| Curacao — 0.3% | | |
| Schlumberger, Ltd. | 227,905 | | 4,191,173 |
| Jersey — 0.4% | | |
| Aptiv PLC | 76,947 | | 5,995,710 |
| Netherlands — 0.4% | | |
| NXP Semiconductors NV | 61,108 | | 6,968,756 |
| Switzerland — 1.9% | | |
| Alcon, Inc.Δ* | 81,480 | | 4,670,434 |
| Novartis AG ADR | 123,300 | | 10,769,022 |
| Roche Holding AG ADR | 417,606 | | 18,115,748 |
| | | | | 33,555,204 |
| United Kingdom — 0.2% | | |
| Atlassian Corporation PLC Class A* | 22,500 | | 4,056,075 |
Total Foreign Common Stocks
(Cost $81,939,690) | | 98,570,627 |
| MONEY MARKET FUNDS — 4.0% |
GuideStone Money Market Fund, 0.16%
(Institutional Class)Ø∞ | 56,752,647 | | 56,752,647 |
| | | Shares | | Value |
| Northern Institutional Liquid Assets Portfolio (Shares), 0.33%ا | 11,621,953 | | $ 11,621,953 |
| Northern Institutional U.S. Government Portfolio (Shares), 0.07%Ø | 8 | | 8 |
Total Money Market Funds
(Cost $68,374,608) | | 68,374,608 |
TOTAL INVESTMENTS — 100.6%
(Cost $1,186,484,637) | | | 1,740,762,873 |
Liabilities in Excess of Other
Assets — (0.6)% | | | (9,980,933) |
| NET ASSETS — 100.0% | | | $1,730,781,940 |
PORTFOLIO SUMMARY (based on net assets)
| | % |
| Information Technology | 35.7 |
| Health Care | 15.9 |
| Consumer Discretionary | 14.3 |
| Communication Services | 13.3 |
| Industrials | 8.6 |
| Consumer Staples | 4.3 |
| Money Market Funds | 4.0 |
| Financials | 1.6 |
| Real Estate | 1.4 |
| Materials | 1.2 |
| Energy | 0.3 |
| | 100.6 |
Futures Contracts outstanding at June 30, 2020:
| Future Type | | Expiration Date | | Open Long
(Short) Contracts | | Notional
Market Value
of Contracts | | Value and
Unrealized
Appreciation
(Depreciation) |
| S&P 500® E-Mini | | 09/2020 | | 150 | | $23,176,500 | | $22,586 |
See Notes to Financial Statements.
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2020, in valuing the Fund’s investments carried at fair value:
| | Total
Value | | Level 1
Quoted Prices | | Level 2
Other Significant
Observable Inputs | | Level 3
Significant
Unobservable Inputs |
| Assets: | | | | | | | |
| Investments in Securities: | | | | | | | |
| Common Stocks | $1,573,817,638 | | $1,573,817,638 | | $ — | | $ — |
| Foreign Common Stocks | 98,570,627 | | 98,570,627 | | — | | — |
| Money Market Funds | 68,374,608 | | 68,374,608 | | — | | — |
| Total Assets - Investments in Securities | $1,740,762,873 | | $1,740,762,873 | | $ — | | $ — |
| Other Financial Instruments*** | | | | | | | |
| Futures Contracts | $ 22,586 | | $ 22,586 | | $ — | | $ — |
| Total Assets - Other Financial Instruments | $ 22,586 | | $ 22,586 | | $ — | | $ — |
| *** | 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. |
See Notes to Financial Statements.
June 30, 2020 (Unaudited)
| | | Shares | | Value |
| COMMON STOCKS — 90.8% |
| Communication Services — 2.7% | | |
| ATN International, Inc. | 17,492 | | $ 1,059,490 |
| Bandwidth, Inc. Class AΔ* | 20,377 | | 2,587,879 |
| Cogent Communications Holdings, Inc. | 19,400 | | 1,500,784 |
| comScore, Inc.* | 87,980 | | 272,738 |
| Gogo, Inc.Δ* | 29,504 | | 93,233 |
| Liberty Latin America, Ltd. Class C* | 69,652 | | 657,515 |
| Madison Square Garden Entertainment Corporation* | 1,502 | | 112,650 |
| Madison Square Garden Sports Corporation* | 1,502 | | 220,629 |
| Marchex, Inc. Class B* | 8,831 | | 13,953 |
| Nexstar Media Group, Inc. Class A | 7,838 | | 655,962 |
| ORBCOMM, Inc.* | 77,384 | | 297,928 |
| Scholastic CorporationΔ | 25,034 | | 749,518 |
| Shenandoah Telecommunications Co. | 40,000 | | 1,971,600 |
| Tribune Publishing Co. | 18,333 | | 183,147 |
| TrueCar, Inc.* | 104,182 | | 268,790 |
| Vonage Holdings Corporation* | 159,000 | | 1,599,540 |
| Yelp, Inc.* | 99,465 | | 2,300,625 |
| | | | | 14,545,981 |
| Consumer Discretionary — 9.0% | | |
| 1-800-Flowers.com, Inc. Class A* | 46,200 | | 924,924 |
| American Axle & Manufacturing Holdings, Inc.* | 207,438 | | 1,576,529 |
| American Eagle Outfitters, Inc.Δ | 80,627 | | 878,834 |
| American Public Education, Inc.* | 18,045 | | 534,132 |
| Callaway Golf Co.Δ | 91,100 | | 1,595,161 |
| Chegg, Inc.Δ* | 20,737 | | 1,394,771 |
| Children's Place, Inc. (The)Δ | 5,963 | | 223,135 |
| Chuy's Holdings, Inc.* | 20,706 | | 308,105 |
| Cooper Tire & Rubber Co. | 20,240 | | 558,826 |
| Cooper-Standard Holdings, Inc.* | 49,289 | | 653,079 |
| Dana, Inc. | 34,950 | | 426,041 |
| Del Taco Restaurants, Inc.Δ* | 49,022 | | 290,700 |
| Floor & Decor Holdings, Inc. Class A* | 17,600 | | 1,014,640 |
| Fossil Group, Inc.Δ* | 80,857 | | 375,985 |
| GameStop Corporation Class AΔ* | 76,898 | | 333,737 |
| Garrett Motion, Inc.* | 91,488 | | 506,844 |
| Goodyear Tire & Rubber Co. (The) | 135,365 | | 1,210,840 |
| GoPro, Inc. Class AΔ* | 217,665 | | 1,036,085 |
| Haverty Furniture Cos., Inc.Δ | 10,102 | | 161,632 |
| Hilton Grand Vacations, Inc.* | 60,100 | | 1,174,955 |
| Hooker Furniture Corporation | 14,137 | | 274,965 |
| Houghton Mifflin Harcourt Co.Δ* | 1,975 | | 3,575 |
| Jack in the Box, Inc. | 14,137 | | 1,047,410 |
| K12, Inc.* | 44,563 | | 1,213,896 |
| KB Home | 47,484 | | 1,456,809 |
| Malibu Boats, Inc. Class A* | 49,879 | | 2,591,214 |
| Modine Manufacturing Co.* | 82,961 | | 457,945 |
| Monro, Inc.Δ | 31,950 | | 1,755,333 |
| National Vision Holdings, Inc.Δ* | 98,500 | | 3,006,220 |
| Office Depot, Inc. | 365,400 | | 858,690 |
| | | Shares | | Value |
| Ollie's Bargain Outlet Holdings, Inc.Δ* | 19,600 | | $ 1,913,940 |
| OneSpaWorld Holdings, Ltd.Δ | 128,600 | | 613,422 |
| Planet Fitness, Inc. Class A* | 28,700 | | 1,738,359 |
| Quotient Technology, Inc.* | 73,965 | | 541,424 |
| Rocky Brands, Inc. | 5,344 | | 109,873 |
| Steven Madden, Ltd. | 87,564 | | 2,161,955 |
| Strategic Education, Inc. | 15,100 | | 2,320,115 |
| Sturm Ruger & Co., Inc. | 5,004 | | 380,304 |
| Taylor Morrison Home Corporation Class AΔ* | 76,949 | | 1,484,346 |
| Tenneco, Inc. Class AΔ* | 153,109 | | 1,157,504 |
| Texas Roadhouse, Inc. | 24,967 | | 1,312,515 |
| Tupperware Brands CorporationΔ | 17,458 | | 82,926 |
| Unifi, Inc.* | 26,561 | | 342,106 |
| Universal Technical Institute, Inc.* | 21,699 | | 150,808 |
| Vera Bradley, Inc.* | 27,624 | | 122,651 |
| Vista Outdoor, Inc.* | 131,674 | | 1,902,689 |
| Wendy's Co. (The) | 79,654 | | 1,734,864 |
| Wingstop, Inc. | 2,000 | | 277,940 |
| YETI Holdings, Inc.Δ* | 48,900 | | 2,089,497 |
| ZAGG, Inc.Δ* | 51,004 | | 160,153 |
| | | | | 48,442,403 |
| Consumer Staples — 2.0% | | |
| BJ's Wholesale Club Holdings, Inc.* | 125,614 | | 4,681,634 |
| Central Garden & Pet Co. Class A* | 18,136 | | 612,815 |
| Farmer Bros. Co.Δ* | 19,035 | | 139,717 |
| J&J Snack Foods Corporation | 11,819 | | 1,502,549 |
| Post Holdings, Inc.* | 1,306 | | 114,432 |
| Revlon, Inc. Class AΔ* | 3,164 | | 31,324 |
| Rite Aid CorporationΔ* | 37,734 | | 643,742 |
| Simply Good Foods Co. (The)Δ* | 91,300 | | 1,696,354 |
| SpartanNash Co. | 55,978 | | 1,189,532 |
| | | | | 10,612,099 |
| Energy — 1.8% | | |
| Arch Resources, Inc.Δ | 38,526 | | 1,094,524 |
| Bonanza Creek Energy, Inc.* | 40,745 | | 603,841 |
| CONSOL Energy, Inc.Δ* | 10,174 | | 51,582 |
| Dorian LPG, Ltd.* | 97,447 | | 754,240 |
| Exterran Corporation* | 44,144 | | 237,936 |
| Green Plains, Inc.Δ* | 128,598 | | 1,313,629 |
| International Seaways, Inc. | 54,781 | | 895,122 |
| Matrix Service Co.* | 42,316 | | 411,312 |
| Nabors Industries, Ltd.Δ | 8,525 | | 315,595 |
| Par Pacific Holdings, Inc.* | 55,256 | | 496,751 |
| Patterson-UTI Energy, Inc.Δ | 7,818 | | 27,128 |
| PDC Energy, Inc.* | 45,126 | | 561,367 |
| ProPetro Holding Corporation* | 18,279 | | 93,954 |
| REX American Resources Corporation* | 8,339 | | 578,476 |
| SEACOR Holdings, Inc.Δ* | 693 | | 19,626 |
| SFL Corporation, Ltd.Δ | 74,027 | | 687,711 |
| World Fuel Services Corporation | 61,752 | | 1,590,732 |
| | | | | 9,733,526 |
See Notes to Financial Statements.
| | | Shares | | Value |
| Financials — 14.7% | | |
| 1st Source Corporation | 4,960 | | $ 176,477 |
| Amalgamated Bank Class A | 15,628 | | 197,538 |
| American Equity Investment Life Holding Co. | 89,140 | | 2,202,649 |
| American National Bankshares, Inc. | 1,935 | | 48,452 |
| Assurant, Inc. | 3,300 | | 340,857 |
| Atlantic Capital Bancshares, Inc.* | 8,357 | | 101,621 |
| BancFirst Corporation | 15,203 | | 616,786 |
| Bancorp, Inc. (The)* | 63,577 | | 623,055 |
| Bank of Commerce Holdings | 4,987 | | 37,801 |
| Bank of Marin Bancorp | 5,470 | | 182,315 |
| BankFinancial Corporation | 3,229 | | 27,124 |
| Bankwell Financial Group, Inc.Δ | 1,000 | | 15,900 |
| Banner Corporation | 24,526 | | 931,988 |
| Baycom CorporationΔ* | 3,779 | | 48,787 |
| Bridgewater Bancshares, Inc.* | 16,290 | | 166,973 |
| Brighthouse Financial, Inc.* | 20,835 | | 579,630 |
| Bryn Mawr Bank Corporation | 27,755 | | 767,703 |
| Business First Bancshares, Inc.Δ | 1,842 | | 28,275 |
| Cadence BanCorp | 190,673 | | 1,689,363 |
| Cambridge BancorpΔ | 672 | | 39,809 |
| Capital City Bank Group, Inc. | 9,348 | | 195,841 |
| Capstar Financial Holdings, Inc. | 8,327 | | 99,924 |
| Carter Bank & Trust | 9,021 | | 72,799 |
| CBTX, Inc. | 13,249 | | 278,229 |
| Central Pacific Financial Corporation | 39,867 | | 639,068 |
| Central Valley Community Bancorp | 8,418 | | 129,553 |
| Chemung Financial Corporation | 1,633 | | 44,581 |
| City Holding Co.Δ | 17,648 | | 1,150,120 |
| Coastal Financial Corporation* | 2,936 | | 42,631 |
| Community Trust Bancorp, Inc. | 9,644 | | 315,937 |
| Cowen, Inc. Class AΔ | 36,374 | | 589,623 |
| Donegal Group, Inc. Class A | 5,137 | | 73,048 |
| Donnelley Financial Solutions, Inc.* | 45,700 | | 383,880 |
| Eagle Bancorp, Inc. | 44,175 | | 1,446,731 |
| Employers Holdings, Inc. | 17,257 | | 520,299 |
| Enova International, Inc.* | 4,270 | | 63,495 |
| Enterprise Financial Services Corporation | 33,671 | | 1,047,842 |
| Equity Bancshares, Inc. Class A* | 116 | | 2,023 |
| Esquire Financial Holdings, Inc.* | 3,339 | | 56,429 |
| Essent Group, Ltd. | 49,448 | | 1,793,479 |
| Evans Bancorp, Inc. | 1,000 | | 23,260 |
| Evercore, Inc. Class A | 25,000 | | 1,473,000 |
| FB Financial CorporationΔ | 12,364 | | 306,256 |
| FedNat Holding Co. | 9,844 | | 108,973 |
| Financial Institutions, Inc. | 9,539 | | 177,521 |
| First Bancorp | 59,741 | | 1,498,304 |
| First BanCorp | 193,022 | | 1,078,993 |
| First Business Financial Services, Inc. | 4,273 | | 70,291 |
| First Commonwealth Financial Corporation | 37,815 | | 313,108 |
| First Financial BancorpΔ | 74,560 | | 1,035,638 |
| First Financial Corporation | 6,199 | | 228,371 |
| First Foundation, Inc. | 14,010 | | 228,923 |
| | | Shares | | Value |
| First Internet Bancorp | 2,416 | | $ 40,154 |
| First Interstate BancSystem, Inc. Class A | 43,013 | | 1,331,683 |
| First Merchants Corporation | 6,213 | | 171,292 |
| Focus Financial Partners, Inc. Class AΔ* | 65,300 | | 2,158,165 |
| Great Southern Bancorp, Inc. | 6,017 | | 242,846 |
| Great Western Bancorp, Inc. | 38,015 | | 523,086 |
| Green Dot Corporation Class A* | 42,362 | | 2,079,127 |
| Guaranty Bancshares, Inc. | 3,134 | | 81,077 |
| Hallmark Financial Services, Inc.* | 7,688 | | 26,831 |
| Hamilton Lane, Inc. Class A | 48,197 | | 3,247,032 |
| Hanmi Financial Corporation | 37,009 | | 359,357 |
| HBT Financial, Inc. | 10,205 | | 136,033 |
| HCI Group, Inc.Δ | 8,262 | | 381,539 |
| Heartland Financial USA, Inc. | 8,176 | | 273,405 |
| Heritage Commerce Corporation | 47,673 | | 357,786 |
| Heritage Financial CorporationΔ | 8,485 | | 169,700 |
| Heritage Insurance Holdings, Inc. | 23,550 | | 308,270 |
| Home Bancorp, Inc.Δ | 1,552 | | 41,516 |
| HomeStreet, Inc. | 32,929 | | 810,383 |
| HomeTrust Bancshares, Inc.Δ | 11,524 | | 184,384 |
| Houlihan Lokey, Inc. | 32,000 | | 1,780,480 |
| IBERIABANK Corporation | 12,492 | | 568,886 |
| Independent Bank Corporation | 38,991 | | 1,821,858 |
| Independent Bank Group, Inc. | 26,012 | | 1,054,006 |
| James River Group Holdings, Ltd. | 26,684 | | 1,200,780 |
| Kearny Financial CorporationΔ | 10,492 | | 85,825 |
| Kemper Corporation | 10,034 | | 727,666 |
| Lakeland Bancorp, Inc. | 19,752 | | 225,765 |
| Lakeland Financial Corporation | 3,812 | | 177,601 |
| LendingClub CorporationΔ* | 121,005 | | 550,573 |
| LendingTree, Inc.Δ* | 8,687 | | 2,515,147 |
| Live Oak Bancshares, Inc.Δ | 29,634 | | 429,989 |
| Macatawa Bank Corporation | 11,560 | | 90,399 |
| Marlin Business Services Corporation | 4,174 | | 35,312 |
| Mercantile Bank Corporation | 190 | | 4,294 |
| Merchants Bancorp | 6,349 | | 117,393 |
| Meridian Bancorp, Inc. | 17,936 | | 208,058 |
| Metropolitan Bank Holding Corporation* | 4,954 | | 158,924 |
| MidWestOne Financial Group, Inc. | 1,045 | | 20,900 |
| National Bankshares, Inc. | 200 | | 5,720 |
| National General Holdings Corporation | 44,899 | | 970,267 |
| Nicolet Bankshares, Inc.Δ* | 5,591 | | 306,387 |
| NMI Holdings, Inc. Class A* | 40,518 | | 651,529 |
| Northeast Bank | 4,497 | | 78,922 |
| Northrim BanCorp, Inc. | 4,037 | | 101,490 |
| OFG Bancorp | 61,063 | | 816,412 |
| Old National BancorpΔ | 107,600 | | 1,480,576 |
| Old Second Bancorp, Inc. | 4,514 | | 35,119 |
| OP Bancorp | 6,502 | | 44,864 |
| Origin Bancorp, Inc.Δ | 3,050 | | 67,100 |
| Pacific Premier Bancorp, Inc. | 47,544 | | 1,030,754 |
| Park National Corporation | 5,848 | | 411,582 |
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (Continued)
| | | Shares | | Value |
| PCSB Financial Corporation | 10,789 | | $ 136,805 |
| Peapack-Gladstone Financial Corporation | 17,299 | | 324,010 |
| Peoples Bancorp, Inc.Δ | 3,945 | | 83,950 |
| People's Utah BancorpΔ* | 5,425 | | 121,900 |
| Preferred Bank | 14,340 | | 614,469 |
| Primerica, Inc. | 4,659 | | 543,239 |
| Professional Holding Corporation Class A* | 2,396 | | 33,257 |
| ProSight Global, Inc.* | 4,127 | | 36,730 |
| Protective Insurance Corporation Class B | 3,760 | | 56,663 |
| QCR Holdings, Inc. | 10,316 | | 321,653 |
| RBB BancorpΔ | 11,664 | | 159,214 |
| Reinsurance Group of America, Inc. | 6,528 | | 512,056 |
| Republic First Bancorp, Inc.* | 19,263 | | 47,002 |
| Riverview Bancorp, Inc. | 7,988 | | 45,132 |
| RLI Corporation | 10,629 | | 872,641 |
| Select Bancorp, Inc.* | 3,278 | | 26,683 |
| Selective Insurance Group, Inc. | 65,039 | | 3,430,157 |
| Shore Bancshares, Inc.Δ | 5,005 | | 55,505 |
| Sierra Bancorp | 6,326 | | 119,435 |
| SmartFinancial, Inc. | 5,811 | | 94,022 |
| South Plains Financial, Inc.Δ | 984 | | 14,012 |
| South State Corporation | 27,972 | | 1,333,151 |
| Southern First Bancshares, Inc.* | 4,399 | | 121,896 |
| Southern Missouri Bancorp, Inc. | 1,139 | | 27,678 |
| Spirit of Texas Bancshares, Inc.* | 4,049 | | 49,843 |
| Stewart Information Services Corporation | 23,422 | | 761,449 |
| Stifel Financial Corporation | 35,345 | | 1,676,413 |
| Third Point Reinsurance, Ltd.* | 80,178 | | 602,137 |
| TriCo Bancshares | 13,295 | | 404,833 |
| TriState Capital Holdings, Inc.* | 8,229 | | 129,278 |
| TrustCo Bank Corporation | 89,740 | | 568,054 |
| UMB Financial Corporation | 21,323 | | 1,099,201 |
| Umpqua Holdings Corporation | 92,046 | | 979,369 |
| United Community Banks, Inc. | 61,144 | | 1,230,217 |
| United Insurance Holdings Corporation | 15,041 | | 117,621 |
| Universal Insurance Holdings, Inc. | 24,922 | | 442,366 |
| Valley National Bancorp | 146,884 | | 1,148,633 |
| Voya Financial, Inc. | 7,877 | | 367,462 |
| Waddell & Reed Financial, Inc. Class AΔ | 124,202 | | 1,926,373 |
| Washington Federal, Inc. | 34,367 | | 922,410 |
| WesBanco, Inc. | 48,766 | | 990,437 |
| WisdomTree Investments, Inc. | 200,200 | | 694,694 |
| WSFS Financial Corporation | 38,574 | | 1,107,074 |
| | | | | 79,358,641 |
| Health Care — 16.5% | | |
| Acceleron Pharma, Inc.* | 34,900 | | 3,324,923 |
| Adaptive Biotechnologies CorporationΔ* | 57,900 | | 2,801,202 |
| Addus HomeCare CorporationΔ* | 31,700 | | 2,934,152 |
| Aduro Biotech, Inc.Δ* | 25,651 | | 59,254 |
| Agios Pharmaceuticals, Inc.Δ* | 33,779 | | 1,806,501 |
| Aldeyra Therapeutics, Inc.* | 15,028 | | 62,667 |
| | | Shares | | Value |
| Allscripts Healthcare Solutions, Inc.* | 217,982 | | $1,475,738 |
| AMAG Pharmaceuticals, Inc.Δ* | 74,019 | | 566,245 |
| AnaptysBio, Inc.Δ* | 4,804 | | 107,321 |
| Aptinyx, Inc.Δ* | 11,096 | | 46,270 |
| Arcus Biosciences, Inc.* | 45,000 | | 1,113,300 |
| AtriCure, Inc.* | 38,600 | | 1,735,070 |
| Beyondspring, Inc.* | 7,892 | | 119,011 |
| Blueprint Medicines Corporation* | 31,726 | | 2,474,628 |
| Bridgebio Pharma, Inc.Δ* | 36,100 | | 1,177,221 |
| Calithera Biosciences, Inc.* | 11,891 | | 62,785 |
| Catalyst Biosciences, Inc.Δ* | 9,826 | | 57,679 |
| ChemoCentryx, Inc.* | 14,403 | | 828,749 |
| Chimerix, Inc.Δ* | 85,046 | | 263,643 |
| Computer Programs and Systems, Inc. | 12,546 | | 285,923 |
| Concert Pharmaceuticals, Inc.Δ* | 36,376 | | 361,941 |
| CONMED Corporation | 21,092 | | 1,518,413 |
| Cross Country Healthcare, Inc.* | 38,486 | | 237,074 |
| CryoLife, Inc.* | 60,676 | | 1,163,159 |
| CryoPort, Inc.Δ* | 38,200 | | 1,155,550 |
| Cymabay Therapeutics, Inc.* | 13,983 | | 48,801 |
| Deciphera Pharmaceuticals, Inc.* | 20,400 | | 1,218,288 |
| Enanta Pharmaceuticals, Inc.* | 7,854 | | 394,349 |
| Five Prime Therapeutics, Inc.* | 35,434 | | 216,147 |
| GenMark Diagnostics, Inc.* | 39,360 | | 578,986 |
| Global Blood Therapeutics, Inc.* | 26,400 | | 1,666,632 |
| GlycoMimetics, Inc.* | 17,602 | | 66,184 |
| Gossamer Bio, Inc.* | 9,430 | | 122,590 |
| Harpoon Therapeutics, Inc.Δ* | 3,656 | | 60,690 |
| Harvard Bioscience, Inc.Δ* | 15,890 | | 49,259 |
| HealthEquity, Inc.* | 30,000 | | 1,760,100 |
| HMS Holdings Corporation* | 36,200 | | 1,172,518 |
| ICU Medical, Inc.* | 794 | | 146,342 |
| ImmunoGen, Inc.* | 17,849 | | 82,105 |
| Inspire Medical Systems, Inc.* | 24,300 | | 2,114,586 |
| Intercept Pharmaceuticals, Inc.Δ* | 20,200 | | 967,782 |
| iRhythm Technologies, Inc.Δ* | 21,800 | | 2,526,402 |
| Jounce Therapeutics, Inc.Δ* | 9,821 | | 67,765 |
| Lannett Co., Inc.Δ* | 17,272 | | 125,395 |
| Legend Biotech Corporation ADR* | 6,900 | | 293,664 |
| LHC Group, Inc.* | 16,100 | | 2,806,552 |
| Ligand Pharmaceuticals, Inc.Δ* | 21,185 | | 2,369,542 |
| Magellan Health, Inc.* | 27,373 | | 1,997,682 |
| Menlo Therapeutics, Inc.Δ* | 1,199 | | 2,074 |
| Merit Medical Systems, Inc.* | 54,395 | | 2,483,132 |
| Molina Healthcare, Inc.* | 2,787 | | 496,030 |
| Myriad Genetics, Inc.* | 56,189 | | 637,183 |
| NanoString Technologies, Inc.Δ* | 42,900 | | 1,259,115 |
| Natera, Inc.* | 66,735 | | 3,327,407 |
| NuVasive, Inc.* | 31,780 | | 1,768,875 |
| Orthofix Medical, Inc.* | 11,138 | | 356,416 |
| Owens & Minor, Inc.Δ | 75,468 | | 575,066 |
| Pacific Biosciences of California, Inc.Δ* | 6,573 | | 22,677 |
| Phreesia, Inc.Δ* | 80,400 | | 2,273,712 |
| Prestige Consumer Healthcare, Inc.* | 54,075 | | 2,031,057 |
| PTC Therapeutics, Inc.* | 61,683 | | 3,129,795 |
| Quidel Corporation* | 7,847 | | 1,755,688 |
See Notes to Financial Statements.
| | | Shares | | Value |
| Repligen Corporation* | 14,255 | | $ 1,762,061 |
| Retrophin, Inc.* | 111,079 | | 2,267,122 |
| Rubius Therapeutics, Inc.* | 11,842 | | 70,815 |
| Savara, Inc.* | 8,018 | | 19,965 |
| Shockwave Medical, Inc.Δ* | 16,611 | | 786,863 |
| Silk Road Medical, Inc.* | 35,400 | | 1,482,906 |
| Spectrum Pharmaceuticals, Inc.Δ* | 101,497 | | 343,060 |
| Spero Therapeutics, Inc.Δ* | 14,508 | | 196,293 |
| STAAR Surgical Co.* | 32,700 | | 2,012,358 |
| Supernus Pharmaceuticals, Inc.* | 52,156 | | 1,238,705 |
| Sutro Biopharma, Inc.* | 5,845 | | 45,357 |
| Tabula Rasa HealthCare, Inc.Δ* | 36,184 | | 1,980,350 |
| Tandem Diabetes Care, Inc.Δ* | 27,900 | | 2,759,868 |
| Teladoc Health, Inc.Δ* | 7,638 | | 1,457,636 |
| TransMedics Group, Inc.Δ* | 11,382 | | 203,965 |
| Triple-S Management Corporation Class B* | 1,854 | | 35,263 |
| Ultragenyx Pharmaceutical, Inc.* | 39,974 | | 3,126,766 |
| United Therapeutics Corporation* | 5,829 | | 705,309 |
| Vanda Pharmaceuticals, Inc.* | 92,642 | | 1,059,825 |
| Varex Imaging Corporation* | 46,678 | | 707,172 |
| | | | | 88,970,666 |
| Industrials — 15.2% | | |
| ABM Industries, Inc. | 54,075 | | 1,962,922 |
| AGCO Corporation | 14,122 | | 783,206 |
| Albany International Corporation Class A | 29,000 | | 1,702,590 |
| Ameresco, Inc. Class A* | 12,453 | | 345,944 |
| Apogee Enterprises, Inc. | 34,516 | | 795,249 |
| Applied Industrial Technologies, Inc.Δ | 36,991 | | 2,307,868 |
| ArcBest Corporation | 40,417 | | 1,071,455 |
| Arcosa, Inc. | 34,585 | | 1,459,487 |
| Armstrong Flooring, Inc.* | 3,287 | | 9,828 |
| ASGN, Inc.Δ* | 63,087 | | 4,206,641 |
| Astec Industries, Inc. | 18,245 | | 844,926 |
| Astronics Corporation* | 50,281 | | 530,967 |
| Axon Enterprise, Inc.* | 18,100 | | 1,776,153 |
| AZEK Co., Inc. (The)* | 42,100 | | 1,341,306 |
| Barnes Group, Inc. | 23,860 | | 943,902 |
| BMC Stock Holdings, Inc.* | 64,971 | | 1,633,371 |
| Briggs & Stratton CorporationΔ | 145,873 | | 191,094 |
| BrightView Holdings, Inc.Δ* | 80,438 | | 900,906 |
| CAI International, Inc.* | 4,766 | | 79,402 |
| Casella Waste Systems, Inc. Class A* | 70,397 | | 3,669,092 |
| CIRCOR International, Inc.Δ* | 34,200 | | 871,416 |
| Clean Harbors, Inc.* | 47,700 | | 2,861,046 |
| Columbus McKinnon Corporation | 53,559 | | 1,791,549 |
| Commercial Vehicle Group, Inc.* | 38,978 | | 112,646 |
| DXP Enterprises, Inc.* | 8,964 | | 178,473 |
| Echo Global Logistics, Inc.* | 40,031 | | 865,470 |
| EMCOR Group, Inc. | 41,718 | | 2,759,228 |
| ESCO Technologies, Inc.Δ | 15,988 | | 1,351,466 |
| Exponent, Inc. | 27,200 | | 2,201,296 |
| Federal Signal Corporation | 68,674 | | 2,041,678 |
| Foundation Building Materials, Inc.* | 10,947 | | 170,883 |
| Graham Corporation | 4,531 | | 57,725 |
| Herc Holdings, Inc.* | 28,728 | | 882,811 |
| | | Shares | | Value |
| Hub Group, Inc. Class A* | 31,384 | | $ 1,502,038 |
| Hyster-Yale Materials Handling, Inc.Δ | 9,030 | | 349,100 |
| Insteel Industries, Inc. | 1,620 | | 30,893 |
| Kadant, Inc.Δ | 16,652 | | 1,659,538 |
| Kelly Services, Inc. Class A | 27,444 | | 434,027 |
| L.B. Foster Co. Class A* | 6,890 | | 87,985 |
| LSI Industries, Inc.Δ | 15,938 | | 103,119 |
| Lydall, Inc.* | 18,821 | | 255,213 |
| Manitowoc Co., Inc. (The)* | 47,670 | | 518,650 |
| ManpowerGroup, Inc. | 7,720 | | 530,750 |
| MasTec, Inc.* | 35,322 | | 1,584,898 |
| Meritor, Inc.Δ* | 7,555 | | 149,589 |
| Mobile Mini, Inc. | 43,099 | | 1,271,420 |
| MRC Global, Inc.* | 146,484 | | 865,720 |
| MYR Group, Inc.* | 51,928 | | 1,657,022 |
| Orion Group Holdings, Inc.* | 6,763 | | 21,236 |
| Park-Ohio Holdings CorporationΔ | 8,734 | | 144,897 |
| Parsons CorporationΔ* | 57,500 | | 2,083,800 |
| Patrick Industries, Inc.Δ | 15,400 | | 943,250 |
| Pitney Bowes, Inc.Δ | 380,112 | | 988,291 |
| Powell Industries, Inc. | 10,164 | | 278,392 |
| Primoris Services Corporation | 38,084 | | 676,372 |
| Proto Labs, Inc.Δ* | 6,600 | | 742,302 |
| Quanex Building Products Corporation | 23,885 | | 331,524 |
| Resideo Technologies, Inc.Δ* | 54,201 | | 635,236 |
| REV Group, Inc. | 45,998 | | 280,588 |
| Rexnord Corporation | 157,136 | | 4,580,514 |
| Rush Enterprises, Inc. Class A | 18,200 | | 754,572 |
| Terex Corporation | 67,106 | | 1,259,580 |
| Tetra Tech, Inc. | 26,435 | | 2,091,537 |
| TriNet Group, Inc.* | 42,600 | | 2,596,044 |
| Triumph Group, Inc. | 103,429 | | 931,895 |
| TrueBlue, Inc.* | 64,345 | | 982,548 |
| Tutor Perini Corporation* | 75,209 | | 916,046 |
| US Ecology, Inc. | 37,111 | | 1,257,321 |
| Vectrus, Inc.* | 14,753 | | 724,815 |
| Veritiv Corporation* | 22,005 | | 373,205 |
| Wabash National CorporationΔ | 53,374 | | 566,832 |
| Werner Enterprises, Inc. | 27,311 | | 1,188,848 |
| WESCO International, Inc.* | 22,061 | | 774,545 |
| WillScot CorporationΔ* | 151,800 | | 1,865,622 |
| | | | | 81,691,770 |
| Information Technology — 17.4% | | |
| 2U, Inc.Δ* | 40,800 | | 1,548,768 |
| ACI Worldwide, Inc.* | 54,900 | | 1,481,751 |
| ADTRAN, Inc. | 29,913 | | 326,949 |
| Alpha & Omega Semiconductor, Ltd.* | 23,688 | | 257,725 |
| Ambarella, Inc.* | 19,144 | | 876,795 |
| Arlo Technologies, Inc.* | 134,349 | | 346,620 |
| Arrow Electronics, Inc.* | 1,320 | | 90,671 |
| Avaya Holdings CorporationΔ* | 76,574 | | 946,455 |
| Avnet, Inc. | 14,308 | | 398,979 |
| Bel Fuse, Inc. Class B | 11,103 | | 119,135 |
| Belden, Inc. | 33,170 | | 1,079,684 |
| Benchmark Electronics, Inc. | 56,760 | | 1,226,016 |
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (Continued)
| | | Shares | | Value |
| Bill.com Holdings, Inc.* | 44,500 | | $4,014,345 |
| Blackbaud, Inc. | 10,971 | | 626,225 |
| Bottomline Technologies de, Inc.* | 37,100 | | 1,883,567 |
| Box, Inc. Class A* | 28,267 | | 586,823 |
| Brooks Automation, Inc.Δ | 74,659 | | 3,302,914 |
| Cabot Microelectronics CorporationΔ | 12,300 | | 1,716,342 |
| Calix, Inc.* | 1,324 | | 19,728 |
| Casa Systems, Inc.Δ* | 7,414 | | 30,842 |
| Cirrus Logic, Inc.* | 32,548 | | 2,010,815 |
| Conduent, Inc.* | 386,885 | | 924,655 |
| Daktronics, Inc. | 35,414 | | 154,051 |
| DASAN Zhone Solutions, Inc.Δ* | 7,017 | | 62,662 |
| Diebold Nixdorf, Inc.* | 21,251 | | 128,781 |
| EMCORE CorporationΔ* | 17,294 | | 54,995 |
| Envestnet, Inc.* | 32,300 | | 2,375,342 |
| Evo Payments, Inc. Class A* | 54,900 | | 1,253,367 |
| ExlService Holdings, Inc.* | 68,064 | | 4,315,258 |
| I3 Verticals, Inc. Class AΔ* | 62,600 | | 1,893,650 |
| II-VI, Inc.* | 42,104 | | 1,988,151 |
| Infinera CorporationΔ* | 152,787 | | 904,499 |
| J2 Global, Inc.* | 52,365 | | 3,309,992 |
| KBR, Inc. | 60,544 | | 1,365,267 |
| KVH Industries, Inc.* | 900 | | 8,037 |
| Limelight Networks, Inc.* | 37,179 | | 273,637 |
| Littelfuse, Inc. | 15,800 | | 2,695,954 |
| MACOM Technology Solutions Holdings, Inc.* | 11,338 | | 389,460 |
| MaxLinear, Inc.* | 76,555 | | 1,642,870 |
| Medallia, Inc.Δ* | 72,100 | | 1,819,804 |
| MKS Instruments, Inc. | 15,500 | | 1,755,220 |
| NeoPhotonics Corporation* | 67,019 | | 595,129 |
| NETGEAR, Inc.* | 88,457 | | 2,290,152 |
| NetScout Systems, Inc.* | 58,193 | | 1,487,413 |
| New Relic, Inc.* | 41,700 | | 2,873,130 |
| NIC, Inc. | 110,800 | | 2,543,968 |
| nLight, Inc.Δ* | 48,000 | | 1,068,480 |
| Onto Innovation, Inc.* | 58,400 | | 1,987,936 |
| Paylocity Holding Corporation* | 16,300 | | 2,378,007 |
| PCTEL, Inc.* | 4,453 | | 29,746 |
| Plantronics, Inc.Δ | 39,314 | | 577,130 |
| Pluralsight, Inc. Class AΔ* | 72,700 | | 1,312,235 |
| Priority Technology Holdings, Inc.Δ* | 122,900 | | 318,311 |
| Q2 Holdings, Inc.Δ* | 73,997 | | 6,348,203 |
| Rapid7, Inc.* | 46,881 | | 2,391,869 |
| RealPage, Inc.* | 26,500 | | 1,722,765 |
| Repay Holdings CorporationΔ* | 81,800 | | 2,014,734 |
| Ribbon Communications, Inc.* | 83,266 | | 327,235 |
| Rosetta Stone, Inc.* | 85,635 | | 1,443,806 |
| Sailpoint Technologies Holdings, Inc.Δ* | 73,600 | | 1,948,192 |
| ScanSource, Inc.* | 6,621 | | 159,500 |
| SeaChange International, Inc.* | 50,096 | | 75,645 |
| Semtech Corporation* | 43,415 | | 2,267,131 |
| Silicon Laboratories, Inc.* | 13,824 | | 1,386,133 |
| SMART Global Holdings, Inc.* | 11,023 | | 299,605 |
| Smartsheet, Inc. Class A* | 35,500 | | 1,807,660 |
| Super Micro Computer, Inc.Δ* | 9,535 | | 270,699 |
| | | Shares | | Value |
| Synaptics, Inc.* | 27,011 | | $ 1,623,901 |
| Synchronoss Technologies, Inc.Δ* | 74,136 | | 261,700 |
| Telenav, Inc.Δ* | 36,205 | | 198,765 |
| Veeco Instruments, Inc.* | 42,423 | | 572,286 |
| Xperi Holding Corporation | 74,016 | | 1,092,476 |
| | | | | 93,880,743 |
| Materials — 4.6% | | |
| AdvanSix, Inc.* | 36,165 | | 424,577 |
| Ashland Global Holdings, Inc. | 9,775 | | 675,453 |
| Balchem Corporation | 14,539 | | 1,379,170 |
| Boise Cascade Co. | 114,516 | | 4,306,947 |
| Coeur Mining, Inc.* | 106,555 | | 541,299 |
| Element Solutions, Inc.* | 18,719 | | 203,101 |
| Ferro CorporationΔ* | 73,442 | | 876,897 |
| Intrepid Potash, Inc.* | 7,125 | | 7,054 |
| Kaiser Aluminum Corporation | 23,981 | | 1,765,481 |
| Kraton Corporation* | 37,634 | | 650,316 |
| Minerals Technologies, Inc. | 41,687 | | 1,956,371 |
| Neenah, Inc. | 36,465 | | 1,803,559 |
| O-I Glass, Inc. | 39,495 | | 354,665 |
| Olympic Steel, Inc. | 15,057 | | 176,920 |
| PolyOne Corporation | 90,200 | | 2,365,946 |
| Quaker Chemical CorporationΔ | 10,730 | | 1,992,024 |
| Rayonier Advanced Materials, Inc.Δ* | 12,383 | | 34,796 |
| Ryerson Holding Corporation* | 18,175 | | 102,325 |
| Schnitzer Steel Industries, Inc. Class A | 48,508 | | 855,681 |
| Stepan Co. | 15,767 | | 1,530,976 |
| TimkenSteel CorporationΔ* | 61,251 | | 238,266 |
| Trinseo SA | 39,027 | | 864,838 |
| Verso Corporation Class A | 7,061 | | 84,450 |
| Worthington Industries, Inc. | 45,255 | | 1,688,012 |
| | | | | 24,879,124 |
| Real Estate — 4.6% | | |
| Altisource Portfolio Solutions SAΔ* | 715 | | 10,539 |
| American Assets Trust, Inc. REIT | 37,680 | | 1,049,011 |
| Armada Hoffler Properties, Inc. REIT | 117,322 | | 1,167,354 |
| Camden Property Trust REIT | 6,149 | | 560,912 |
| CorEnergy Infrastructure Trust, Inc. REITΔ | 26,108 | | 238,888 |
| CorePoint Lodging, Inc. REIT | 48,817 | | 205,520 |
| Cousins Properties, Inc. REIT | 20,732 | | 618,436 |
| CTO Realty Growth, Inc.Δ | 5,637 | | 222,661 |
| EastGroup Properties, Inc. REIT | 17,242 | | 2,045,074 |
| Equity Commonwealth REIT | 10,972 | | 353,298 |
| First Industrial Realty Trust, Inc. REIT | 47,294 | | 1,817,981 |
| Franklin Street Properties Corporation REITΔ | 29,590 | | 150,613 |
| Front Yard Residential Corporation REIT | 115,116 | | 1,001,509 |
| Investors Real Estate Trust REIT | 17,267 | | 1,217,151 |
| Kennedy-Wilson Holdings, Inc. | 170,225 | | 2,590,824 |
| Kite Realty Group Trust REIT | 72,707 | | 839,039 |
| Lexington Realty Trust REIT | 113,648 | | 1,198,986 |
| Mack-Cali Realty Corporation REITΔ | 5,959 | | 91,113 |
See Notes to Financial Statements.
| | | Shares | | Value |
| National Health Investors, Inc. REIT | 8,418 | | $ 511,141 |
| National Storage Affiliates Trust REIT | 15,399 | | 441,335 |
| New Senior Investment Group, Inc. REIT | 41,989 | | 152,000 |
| Paramount Group, Inc. REIT | 23,173 | | 178,664 |
| Pebblebrook Hotel Trust REIT | 52,058 | | 711,112 |
| Physicians Realty Trust REIT | 155,210 | | 2,719,279 |
| Piedmont Office Realty Trust, Inc. Class A REIT | 96,060 | | 1,595,557 |
| Retail Opportunity Investments Corporation REIT | 16,208 | | 183,637 |
| Retail Value, Inc. REIT | 20,785 | | 256,903 |
| RPT Realty REIT | 105,133 | | 731,726 |
| SITE Centers Corporation REIT | 48,199 | | 390,412 |
| Spirit Realty Capital, Inc. REIT | 14,630 | | 510,002 |
| Sunstone Hotel Investors, Inc. REIT | 157,459 | | 1,283,291 |
| | | | | 25,043,968 |
| Utilities — 2.3% | | |
| ALLETE, Inc. | 1,785 | | 97,479 |
| Black Hills CorporationΔ | 20,328 | | 1,151,784 |
| Genie Energy, Ltd. Class BΔ | 5,353 | | 39,398 |
| Hawaiian Electric Industries, Inc. | 9,243 | | 333,303 |
| NorthWestern Corporation | 38,346 | | 2,090,624 |
| PNM Resources, Inc.Δ | 11,825 | | 454,553 |
| Portland General Electric Co. | 44,552 | | 1,862,719 |
| South Jersey Industries, Inc.Δ | 96,356 | | 2,407,936 |
| Southwest Gas Holdings, Inc.Δ | 19,233 | | 1,328,039 |
| Spire, Inc. | 35,875 | | 2,357,346 |
| | | | | 12,123,181 |
Total Common Stocks
(Cost $485,611,096) | | 489,282,102 |
| FOREIGN COMMON STOCKS — 2.8% |
| France — 0.1% | | |
| Talend SA ADRΔ* | 21,800 | | 755,588 |
| Germany — 0.3% | | |
| MorphoSys AG ADR* | 52,000 | | 1,646,840 |
| Ireland — 0.2% | | |
| Adient PLC* | 49,834 | | 818,274 |
| Prothena Corporation PLC* | 38,289 | | 400,503 |
| Strongbridge Biopharma PLC* | 29,449 | | 111,317 |
| | | | | 1,330,094 |
| Israel — 0.2% | | |
| Tufin Software Technologies, Ltd.Δ* | 85,700 | | 818,435 |
| Jersey — 1.3% | | |
| Mimecast, Ltd.Δ* | 25,153 | | 1,047,874 |
| Quotient, Ltd.Δ* | 146,400 | | 1,083,360 |
| WNS Holdings, Ltd. ADR* | 87,134 | | 4,790,627 |
| | | | | 6,921,861 |
| Netherlands — 0.2% | | |
| Wright Medical Group NVΔ* | 41,041 | | 1,219,739 |
| Switzerland — 0.2% | | |
| CRISPR Therapeutics AG* | 17,800 | | 1,308,122 |
| | | Shares | | Value |
| United Kingdom — 0.3% | | |
| LivaNova PLC* | 28,056 | | $ 1,350,335 |
Total Foreign Common Stocks
(Cost $15,619,856) | | 15,351,014 |
| PREFERRED STOCK — 0.4% |
| CuriosityStream LLC | | | | |
0.00 CONVΨ†††*
(Cost $1,956,000) | 195,600 | | 1,956,000 |
Total Preferred Stocks
(Cost $1,956,000) | | 1,956,000 |
| MONEY MARKET FUNDS — 8.9% |
GuideStone Money Market Fund, 0.16%
(Institutional Class)Ø∞ | 31,307,543 | | 31,307,543 |
| Northern Institutional Liquid Assets Portfolio (Shares), 0.33%ا | 16,503,541 | | 16,503,541 |
| Northern Institutional U.S. Government Portfolio (Shares), 0.07%Ø | 1,889 | | 1,889 |
Total Money Market Funds
(Cost $47,812,973) | | 47,812,973 |
TOTAL INVESTMENTS — 102.9%
(Cost $550,999,925) | | | 554,402,089 |
Liabilities in Excess of Other
Assets — (2.9)% | | | (15,749,289) |
| NET ASSETS — 100.0% | | | $538,652,800 |
PORTFOLIO SUMMARY (based on net assets)
| | % |
| Information Technology | 18.8 |
| Health Care | 17.8 |
| Industrials | 15.2 |
| Financials | 14.7 |
| Consumer Discretionary | 9.1 |
| Money Market Funds | 8.9 |
| Real Estate | 4.6 |
| Materials | 4.6 |
| Communication Services | 3.1 |
| Utilities | 2.3 |
| Consumer Staples | 2.0 |
| Energy | 1.8 |
| | 102.9 |
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (Continued)
Futures Contracts outstanding at June 30, 2020:
| Future Type | | Expiration Date | | Open Long
(Short) Contracts | | Notional
Market Value
of Contracts | | Value and
Unrealized
Appreciation
(Depreciation) |
| CME Russell 2000 Index E-Mini | | 09/2020 | | 269 | | $19,335,720 | | $663,913 |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2020, in valuing the Fund’s investments carried at fair value:
| | Total
Value | | Level 1
Quoted Prices | | Level 2
Other Significant
Observable Inputs | | Level 3
Significant
Unobservable Inputs |
| Assets: | | | | | | | |
| Investments in Securities: | | | | | | | |
| Common Stocks | $489,282,102 | | $489,282,102 | | $ — | | $ — |
| Foreign Common Stocks | 15,351,014 | | 15,351,014 | | — | | — |
| Money Market Funds | 47,812,973 | | 47,812,973 | | — | | — |
| Preferred Stock | 1,956,000 | | — | | — | | 1,956,000 |
| Total Assets - Investments in Securities | $554,402,089 | | $552,446,089 | | $ — | | $1,956,000 |
| Other Financial Instruments*** | | | | | | | |
| Futures Contracts | $ 663,913 | | $ 663,913 | | $ — | | $ — |
| Total Assets - Other Financial Instruments | $ 663,913 | | $ 663,913 | | $ — | | $ — |
| *** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
There were no transfers to or from Level 3 during the period ended June 30, 2020.
Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the reconciliation of Level 3 securities and assumptions is not shown for the period ended June 30, 2020.
See Notes to Financial Statements.
INTERNATIONAL EQUITY INDEX FUND
June 30, 2020 (Unaudited)
| | | Shares | | Value |
| COMMON STOCK — 0.1% |
| Health Care — 0.1% | | |
BeiGene, Ltd. ADRΔ*
(Cost $279,659) | 1,805 | | $ 340,062 |
| FOREIGN COMMON STOCKS — 95.5% |
| Australia — 6.6% | | |
| Afterpay, Ltd.* | 13,840 | | 597,718 |
| AGL Energy, Ltd. | 36,482 | | 431,588 |
| AMP, Ltd.* | 113,756 | | 147,192 |
| Ampol, Ltd. | 11,404 | | 232,372 |
| APA Group | 53,822 | | 416,169 |
| ASX, Ltd. | 12,087 | | 718,431 |
| Aurizon Holdings, Ltd. | 137,275 | | 467,130 |
| AusNet Services | 180,811 | | 208,904 |
| Australia & New Zealand Banking Group, Ltd. | 146,614 | | 1,902,338 |
| BHP Group, Ltd. | 150,276 | | 3,741,556 |
| BlueScope Steel, Ltd. | 20,263 | | 166,924 |
| Brambles, Ltd. | 90,382 | | 685,312 |
| CIMIC Group, Ltd. | 2,882 | | 48,431 |
| Coca-Cola Amatil, Ltd. | 71,598 | | 431,268 |
| Cochlear, Ltd. | 3,288 | | 431,678 |
| Coles Group, Ltd. | 75,057 | | 892,230 |
| Commonwealth Bank of Australia | 86,026 | | 4,154,570 |
| Computershare, Ltd. | 44,623 | | 413,185 |
| CSL, Ltd. | 22,218 | | 4,418,916 |
| Dexus REIT | 62,896 | | 403,687 |
| Evolution Mining, Ltd. | 116,983 | | 464,714 |
| Fortescue Metals Group, Ltd. | 82,232 | | 799,433 |
| Goodman Group REIT | 95,455 | | 984,927 |
| GPT Group (The) REIT | 130,876 | | 380,210 |
| Insurance Australia Group, Ltd. | 151,186 | | 606,764 |
| Lendlease Group | 34,784 | | 300,647 |
| Macquarie Group, Ltd. | 19,417 | | 1,611,458 |
| Magellan Financial Group, Ltd. | 5,400 | | 220,512 |
| Medibank Pvt., Ltd. | 222,639 | | 461,587 |
| Mirvac Group REIT | 247,355 | | 373,655 |
| National Australia Bank, Ltd. | 162,373 | | 2,057,650 |
| Newcrest Mining, Ltd. | 36,206 | | 802,835 |
| Northern Star Resources, Ltd. | 45,766 | | 431,620 |
| Orica, Ltd. | 36,339 | | 420,247 |
| Origin Energy, Ltd. | 62,971 | | 256,244 |
| Qantas Airways, Ltd. | 66,392 | | 175,932 |
| QBE Insurance Group, Ltd. | 71,406 | | 440,654 |
| REA Group, Ltd. | 5,388 | | 406,004 |
| Rio Tinto, Ltd. | 19,363 | | 1,325,854 |
| Santos, Ltd. | 107,596 | | 399,889 |
| Scentre Group REIT | 252,947 | | 384,010 |
| SEEK, Ltd. | 15,462 | | 236,551 |
| Sonic Healthcare, Ltd. | 25,549 | | 539,513 |
| South32, Ltd. | 201,814 | | 285,713 |
| Stockland REIT | 85,681 | | 198,677 |
| Suncorp Group, Ltd. | 85,021 | | 546,337 |
| Sydney Airport | 85,801 | | 338,621 |
| Telstra Corporation, Ltd. | 295,063 | | 640,473 |
| TPG Telecom, Ltd.* | 15,539 | | 95,439 |
| Transurban Group | 151,919 | | 1,489,828 |
| Tuas, Ltd.* | 7,769 | | 3,659 |
| | | Shares | | Value |
| Unibail-Rodamco-WestfieldΔ | 10,140 | | $ 28,899 |
| Vicinity Centres REITΔ | 137,781 | | 138,099 |
| Washington H Soul Pattinson & Co., Ltd.Δ | 1,395 | | 18,948 |
| Wesfarmers, Ltd. | 75,932 | | 2,360,893 |
| Westpac Banking Corporation | 190,666 | | 2,389,691 |
| Woodside Petroleum, Ltd. | 59,487 | | 899,007 |
| | | | | 44,424,793 |
| Austria — 0.2% | | |
| ANDRITZ AG* | 5,278 | | 192,441 |
| Erste Group Bank AG* | 12,654 | | 298,859 |
| OMV AG* | 10,806 | | 364,637 |
| Raiffeisen Bank International AG | 17,854 | | 319,110 |
| Verbund AG | 1,978 | | 88,836 |
| voestalpine AGΔ | 4,506 | | 97,309 |
| | | | | 1,361,192 |
| Belgium — 0.8% | | |
| Ageas SA/NV | 8,844 | | 313,429 |
| Colruyt SA | 5,111 | | 280,898 |
| Elia Group SA/NVΔ | 3,556 | | 386,861 |
| Galapagos NV* | 1,973 | | 389,426 |
| Groupe Bruxelles Lambert SA | 5,551 | | 464,952 |
| KBC Group NV | 13,105 | | 752,899 |
| Proximus SADP | 7,723 | | 157,372 |
| Sofina SA | 1,614 | | 426,182 |
| Solvay SA | 4,910 | | 393,909 |
| Telenet Group Holding NV | 6,213 | | 255,996 |
| UCB SA | 7,331 | | 850,737 |
| Umicore SAΔ | 9,507 | | 448,769 |
| | | | | 5,121,430 |
| Denmark — 2.0% | | |
| Ambu A/S Class B | 12,493 | | 394,932 |
| AP Moeller - Maersk A/S Class A | 725 | | 792,756 |
| AP Moeller - Maersk A/S Class B | 60 | | 70,320 |
| Chr. Hansen Holding A/S | 9,414 | | 971,011 |
| Coloplast A/S Class B | 7,502 | | 1,169,322 |
| Danske Bank A/SΔ* | 52,273 | | 698,809 |
| Demant A/S* | 13,113 | | 347,509 |
| DSV Panalpina A/S | 11,994 | | 1,473,283 |
| Genmab A/S* | 4,030 | | 1,358,888 |
| GN Store Nord A/S | 11,286 | | 604,144 |
| H Lundbeck A/S | 15,592 | | 589,135 |
| Novozymes A/S, B Shares | 12,803 | | 742,266 |
| Orsted A/S 144A | 13,824 | | 1,595,309 |
| Pandora A/S | 15,048 | | 821,839 |
| Tryg A/S | 14,443 | | 419,632 |
| Vestas Wind Systems A/S | 12,338 | | 1,263,446 |
| | | | | 13,312,601 |
| Finland — 1.2% | | |
| Elisa OYJ | 7,229 | | 439,896 |
| Fortum OYJ | 22,487 | | 429,010 |
| Kone OYJ Class B | 17,299 | | 1,193,102 |
| Metso OYJΔ | 1,554 | | 51,070 |
| Neste OYJ | 23,301 | | 915,172 |
| Nokia OYJ | 282,487 | | 1,234,431 |
See Notes to Financial Statements.
INTERNATIONAL EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | Shares | | Value |
| Nordea Bank Abp* | 165,319 | | $1,146,504 |
| Orion OYJ Class B | 7,634 | | 370,206 |
| Sampo OYJ, A Shares | 22,968 | | 791,702 |
| Stora Enso OYJ, R Shares | 39,220 | | 469,438 |
| UPM-Kymmene OYJ | 27,891 | | 807,855 |
| Wartsila OYJ Abp | 14,669 | | 121,680 |
| | | | | 7,970,066 |
| France — 9.8% | | |
| Accor SA* | 16,778 | | 457,899 |
| Aeroports de Paris | 2,564 | | 264,709 |
| Air Liquide SA | 24,987 | | 3,612,792 |
| Alstom SA | 8,266 | | 385,203 |
| Amundi SA 144A* | 3,229 | | 253,843 |
| Arkema SA | 2,715 | | 260,977 |
| Atos SE* | 4,922 | | 421,979 |
| AXA SAΔ* | 94,288 | | 1,984,096 |
| BioMerieux | 2,764 | | 379,592 |
| BNP Paribas SA* | 56,855 | | 2,271,586 |
| Bollore SA | 53,876 | | 169,999 |
| Bouygues SA* | 11,283 | | 386,494 |
| Bureau Veritas SA* | 15,449 | | 327,665 |
| Capgemini SE | 7,893 | | 910,864 |
| Carrefour SAΔ | 29,587 | | 458,837 |
| Casino Guichard Perrachon SAΔ* | 6,135 | | 227,291 |
| Cie de St-Gobain* | 30,007 | | 1,082,682 |
| Cie Generale des Etablissements Michelin SCAΔ | 9,675 | | 1,008,455 |
| CNP Assurances* | 6,718 | | 77,918 |
| Covivio REIT | 3,117 | | 226,087 |
| Credit Agricole SA* | 64,703 | | 614,400 |
| Danone SA* | 35,410 | | 2,457,921 |
| Dassault Aviation SA* | 92 | | 84,410 |
| Dassault Systemes SA | 7,719 | | 1,339,964 |
| Edenred | 13,509 | | 592,480 |
| Eiffage SA* | 4,139 | | 379,408 |
| Electricite de France SA | 30,955 | | 287,791 |
| Engie SA* | 92,715 | | 1,149,846 |
| EssilorLuxottica SA* | 16,549 | | 2,128,342 |
| Eurazeo SE* | 3,083 | | 158,423 |
| Eurofins Scientific SE Millicom International Cellular SA SDRΔ | 602 | | 379,703 |
| Faurecia SE* | 3,831 | | 150,515 |
| Gecina SA REIT | 2,894 | | 357,430 |
| Getlink SE* | 33,090 | | 478,506 |
| Hermes International | 2,203 | | 1,849,656 |
| ICADE REIT | 2,606 | | 181,972 |
| Iliad SA | 1,222 | | 238,547 |
| Ingenico Group* | 2,895 | | 465,152 |
| Ipsen SA | 3,144 | | 266,711 |
| JCDecaux SAΔ* | 12,986 | | 242,583 |
| Kering SAΔ | 4,371 | | 2,389,710 |
| Klepierre REITΔ | 14,221 | | 284,261 |
| L’Oreal SAΔ* | 13,107 | | 4,230,242 |
| La Francaise des Jeux SAEM 144A | 13,590 | | 420,042 |
| Legrand SA | 14,953 | | 1,136,166 |
| Natixis SA* | 54,091 | | 142,667 |
| Orange SAΔ | 111,352 | | 1,331,544 |
| | | Shares | | Value |
| Orpea | 3,616 | | $ 417,660 |
| Peugeot SA* | 23,149 | | 379,624 |
| Publicis Groupe SA | 10,125 | | 328,911 |
| Renault SA* | 7,966 | | 203,879 |
| Safran SA* | 17,283 | | 1,738,520 |
| Sanofi | 59,791 | | 6,097,767 |
| Sartorius Stedim Biotech | 1,344 | | 340,754 |
| Schneider Electric SE | 28,797 | | 3,203,285 |
| SCOR SE* | 5,564 | | 153,668 |
| SEB SAΔ | 1,701 | | 282,161 |
| SES SA | 12,769 | | 87,249 |
| Societe Generale SA* | 43,102 | | 720,652 |
| Sodexo SA | 8,013 | | 543,345 |
| Suez SA | 19,394 | | 227,949 |
| Teleperformance | 3,439 | | 875,851 |
| Thales SA | 5,883 | | 476,144 |
| TOTAL SAΔ | 125,180 | | 4,826,744 |
| Ubisoft Entertainment SA* | 5,285 | | 437,654 |
| Valeo SAΔ | 12,169 | | 320,962 |
| Veolia Environnement SA | 34,427 | | 777,402 |
| Vinci SA | 26,567 | | 2,463,380 |
| Vivendi SA | 43,305 | | 1,118,988 |
| Wendel SE* | 1,720 | | 164,153 |
| Worldline SA 144A* | 8,642 | | 753,492 |
| | | | | 65,847,554 |
| Germany — 8.3% | | |
| adidas AG* | 10,242 | | 2,700,322 |
| Allianz SE | 20,639 | | 4,217,425 |
| Aroundtown SA* | 56,832 | | 325,750 |
| BASF SE | 49,207 | | 2,763,925 |
| Bayerische Motoren Werke AG | 20,141 | | 1,285,816 |
| Beiersdorf AG | 7,547 | | 858,202 |
| Brenntag AG | 7,869 | | 417,215 |
| Carl Zeiss Meditec AG* | 3,097 | | 301,562 |
| Commerzbank AG* | 39,511 | | 176,095 |
| Continental AG* | 6,871 | | 675,497 |
| Covestro AG 144A* | 8,920 | | 339,747 |
| Daimler AG* | 40,518 | | 1,648,429 |
| Delivery Hero SE 144A* | 7,307 | | 750,921 |
| Deutsche Bank AG* | 106,092 | | 1,012,128 |
| Deutsche Boerse AG | 10,390 | | 1,880,349 |
| Deutsche Lufthansa AG* | 24,903 | | 249,840 |
| Deutsche Post AG* | 55,483 | | 2,037,329 |
| Deutsche Telekom AG | 179,835 | | 3,017,495 |
| Deutsche Wohnen SE | 19,733 | | 886,715 |
| E.ON SE | 119,749 | | 1,351,688 |
| Evonik Industries AG | 13,302 | | 338,802 |
| Fraport AG Frankfurt Airport ServicesWorldwide* | 2,669 | | 116,915 |
| Fresenius Medical Care AG & Co. KGaA* | 12,487 | | 1,074,255 |
| Fresenius SE & Co. KGaA* | 22,478 | | 1,117,222 |
| GEA Group AG | 7,555 | | 239,783 |
| Hannover Rueck SE | 3,483 | | 601,947 |
| HeidelbergCement AG | 7,836 | | 419,475 |
| Henkel AG & Co. KGaA | 8,135 | | 680,577 |
| HOCHTIEF AG | 586 | | 52,142 |
See Notes to Financial Statements.
| | | Shares | | Value |
| Infineon Technologies AG | 66,670 | | $ 1,562,224 |
| KION Group AG* | 3,162 | | 194,684 |
| Knorr-Bremse AG | 2,858 | | 290,046 |
| LANXESS AG* | 3,845 | | 203,330 |
| LEG Immobilien AG* | 4,785 | | 606,909 |
| MTU Aero Engines AG* | 2,932 | | 510,463 |
| Muenchener Rueckversicherungs-Gesellschaft AG | 6,780 | | 1,765,479 |
| Nemetschek SE | 5,616 | | 385,888 |
| Puma SE* | 6,431 | | 498,628 |
| RWE AG | 34,335 | | 1,201,968 |
| SAP SE | 51,335 | | 7,176,095 |
| Scout24 AG 144A | 6,998 | | 541,420 |
| Siemens AG | 37,926 | | 4,472,887 |
| Siemens Healthineers AG 144A | 9,703 | | 466,405 |
| Symrise AG | 6,729 | | 786,261 |
| TeamViewer AG* | 8,356 | | 456,255 |
| Telefonica Deutschland Holding AG | 56,298 | | 166,034 |
| Uniper SE | 8,857 | | 285,808 |
| United Internet AG | 5,566 | | 236,483 |
| Vonovia SE | 26,223 | | 1,602,831 |
| Zalando SE 144A* | 8,326 | | 590,651 |
| | | | | 55,538,317 |
| Hong Kong — 3.2% | | |
| AIA Group, Ltd. | 608,600 | | 5,695,038 |
| Bank of East Asia, Ltd. (The) | 70,050 | | 160,575 |
| BOC Hong Kong Holdings, Ltd. | 203,500 | | 651,586 |
| CK Asset Holdings, Ltd. | 142,500 | | 854,543 |
| CK Hutchison Holdings, Ltd. | 149,000 | | 964,862 |
| CK Infrastructure Holdings, Ltd. | 35,000 | | 180,924 |
| CLP Holdings, Ltd. | 91,000 | | 893,733 |
| Hang Lung Properties, Ltd. | 117,000 | | 278,142 |
| Hang Seng Bank, Ltd. | 44,300 | | 746,113 |
| Henderson Land Development Co., Ltd. | 142,275 | | 542,594 |
| HK Electric Investments & HK Electric Investments, Ltd. 144A | 233,000 | | 242,015 |
| HKT Trust & HKT, Ltd. | 253,000 | | 371,270 |
| Hong Kong & China Gas Co., Ltd. | 637,275 | | 990,433 |
| Hong Kong Exchanges and Clearing, Ltd. | 61,597 | | 2,623,523 |
| Kerry Properties, Ltd. | 66,000 | | 171,444 |
| Link REIT | 120,200 | | 986,862 |
| MTR Corporation, Ltd. | 143,227 | | 744,888 |
| New World Development Co., Ltd. | 135,466 | | 643,204 |
| NWS Holdings, Ltd. | 21,399 | | 18,614 |
| PCCW, Ltd. | 439,000 | | 251,004 |
| Power Assets Holdings, Ltd. | 77,000 | | 420,733 |
| Sino Land Co., Ltd. | 280,604 | | 355,020 |
| Sun Hung Kai Properties, Ltd. | 83,000 | | 1,060,345 |
| Swire Pacific, Ltd. Class A | 22,500 | | 119,582 |
| Swire Properties, Ltd. | 63,800 | | 162,892 |
| Techtronic Industries Co., Ltd. | 56,000 | | 554,095 |
| WH Group, Ltd. 144A | 557,000 | | 481,356 |
| Wharf Real Estate Investment Co., Ltd. | 38,000 | | 182,423 |
| | | Shares | | Value |
| Wheelock & Co., Ltd. | 19,000 | | $ 150,185 |
| | | | | 21,497,998 |
| Ireland — 0.7% | | |
| CRH PLC | 45,968 | | 1,582,231 |
| DCC PLC | 5,616 | | 468,620 |
| James Hardie Industries PLC CDI | 16,895 | | 325,543 |
| Kerry Group PLC Class A | 8,753 | | 1,087,362 |
| Kingspan Group PLC | 10,626 | | 685,976 |
| Smurfit Kappa Group PLC | 17,166 | | 576,876 |
| | | | | 4,726,608 |
| Israel — 0.6% | | |
| Azrieli Group, Ltd. | 1,239 | | 56,470 |
| Bank Hapoalim BM | 48,532 | | 290,132 |
| Bank Leumi Le-Israel BM | 65,831 | | 330,993 |
| Check Point Software Technologies, Ltd.* | 5,794 | | 622,449 |
| Elbit Systems, Ltd. | 1,618 | | 222,350 |
| ICL Group, Ltd. | 44,785 | | 133,401 |
| Israel Discount Bank, Ltd. Class A | 52,953 | | 161,506 |
| Nice, Ltd.* | 2,756 | | 519,512 |
| Teva Pharmaceutical Industries, Ltd. ADR* | 65,101 | | 802,695 |
| Wix.com, Ltd.* | 2,346 | | 601,092 |
| | | | | 3,740,600 |
| Italy — 1.9% | | |
| Assicurazioni Generali SpA | 54,200 | | 823,313 |
| Atlantia SpA* | 29,878 | | 483,287 |
| DiaSorin SpAΔ | 1,915 | | 367,767 |
| Enel SpA | 393,766 | | 3,405,465 |
| Eni SpA | 112,690 | | 1,080,248 |
| FinecoBank Banca Fineco SpA* | 27,715 | | 375,097 |
| Intesa Sanpaolo SpA* | 710,538 | | 1,365,435 |
| Leonardo SpA | 20,334 | | 135,553 |
| Mediobanca Banca di Credito Finanziario SpA | 21,353 | | 154,196 |
| Moncler SpA* | 14,899 | | 572,920 |
| Nexi SpA 144A* | 24,702 | | 428,346 |
| Pirelli & C SpA 144A* | 23,808 | | 101,287 |
| Poste Italiane SpA 144A | 25,999 | | 227,108 |
| Prysmian SpA | 8,844 | | 205,166 |
| Recordati SpA | 12,235 | | 612,223 |
| Snam SpAΔ | 106,584 | | 519,613 |
| Telecom Italia SpA | 623,814 | | 245,992 |
| Tenaris SA | 20,917 | | 135,932 |
| Terna Rete Elettrica Nazionale SpAΔ | 90,920 | | 627,126 |
| UniCredit SpA* | 99,177 | | 915,326 |
| | | | | 12,781,400 |
| Japan — 24.4% | | |
| ABC-Mart, Inc. | 100 | | 5,866 |
| Acom Co., Ltd. | 3,200 | | 12,246 |
| Advantest Corporation | 10,700 | | 610,654 |
| Aeon Co., Ltd. | 41,800 | | 972,457 |
| Aeon Mall Co., Ltd. | 900 | | 11,960 |
| AGC, Inc. | 7,200 | | 206,421 |
See Notes to Financial Statements.
INTERNATIONAL EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | Shares | | Value |
| Aisin Seiki Co., Ltd. | 5,800 | | $ 170,009 |
| Ajinomoto Co., Inc. | 31,600 | | 524,401 |
| Alfresa Holdings Corporation | 12,100 | | 253,632 |
| ANA Holdings, Inc.* | 7,400 | | 169,112 |
| Aozora Bank, Ltd. | 500 | | 8,719 |
| Asahi Intecc Co., Ltd. | 7,400 | | 211,199 |
| Asahi Kasei Corporation | 73,700 | | 603,293 |
| Astellas Pharma, Inc. | 106,900 | | 1,785,183 |
| Bandai Namco Holdings, Inc. | 11,900 | | 626,393 |
| Bank of Kyoto, Ltd. (The)Δ | 600 | | 21,318 |
| Benesse Holdings, Inc. | 7,600 | | 203,829 |
| Bridgestone Corporation | 31,300 | | 1,010,222 |
| Brother Industries, Ltd. | 11,600 | | 209,578 |
| Calbee, Inc. | 7,900 | | 218,353 |
| Canon, Inc.Δ | 61,400 | | 1,224,809 |
| Casio Computer Co., Ltd. | 2,100 | | 36,636 |
| Central Japan Railway Co. | 7,300 | | 1,129,005 |
| Chubu Electric Power Co., Inc. | 38,800 | | 486,627 |
| Chugai Pharmaceutical Co., Ltd. | 34,200 | | 1,831,068 |
| Chugoku Electric Power Co., Inc. (The) | 14,200 | | 189,315 |
| Coca-Cola Bottlers Japan Holdings, Inc. | 26,600 | | 482,431 |
| Concordia Financial Group, Ltd. | 55,000 | | 176,828 |
| CyberAgent, Inc. | 5,700 | | 280,176 |
| Dai Nippon Printing Co., Ltd. | 10,500 | | 241,399 |
| Daicel Corporation | 3,100 | | 24,026 |
| Daifuku Co., Ltd. | 5,500 | | 481,977 |
| Dai-ichi Life Holdings, Inc. | 59,800 | | 715,806 |
| Daiichi Sankyo Co., Ltd. | 31,200 | | 2,551,898 |
| Daikin Industries, Ltd. | 13,000 | | 2,103,400 |
| Daito Trust Construction Co., Ltd. | 3,500 | | 322,565 |
| Daiwa House Industry Co., Ltd. | 24,600 | | 580,927 |
| Daiwa House REIT Investment Corporation | 101 | | 237,613 |
| Daiwa Securities Group, Inc. | 49,000 | | 205,844 |
| Denso Corporation | 23,900 | | 937,288 |
| Dentsu Group, Inc. | 10,700 | | 253,821 |
| Disco Corporation | 1,500 | | 365,833 |
| East Japan Railway Co. | 17,000 | | 1,178,020 |
| Eisai Co., Ltd. | 13,800 | | 1,096,395 |
| Electric Power Development Co., Ltd. | 8,700 | | 164,921 |
| ENEOS Holdings, Inc. | 137,150 | | 488,880 |
| FamilyMart Co., Ltd. | 15,400 | | 264,386 |
| FANUC Corporation | 9,700 | | 1,738,919 |
| Fast Retailing Co., Ltd. | 2,900 | | 1,666,839 |
| Fuji Electric Co., Ltd.Δ | 2,700 | | 74,315 |
| FUJIFILM Holdings Corporation | 21,200 | | 907,396 |
| Fujitsu, Ltd. | 10,600 | | 1,241,084 |
| Fukuoka Financial Group, Inc. | 5,700 | | 90,122 |
| GLP J-REIT | 117 | | 169,071 |
| GMO Payment Gateway, Inc. | 300 | | 31,378 |
| Hakuhodo DY Holdings, Inc. | 25,700 | | 306,728 |
| Hamamatsu Photonics KK | 6,400 | | 278,686 |
| Hankyu Hanshin Holdings, Inc. | 13,100 | | 442,495 |
| Hikari Tsushin, Inc. | 1,200 | | 274,378 |
| Hino Motors, Ltd. | 2,100 | | 14,248 |
| Hirose Electric Co., Ltd. | 605 | | 66,434 |
| | | Shares | | Value |
| Hisamitsu Pharmaceutical Co., Inc. | 3,300 | | $ 178,384 |
| Hitachi Metals, Ltd. | 2,000 | | 23,972 |
| Hitachi, Ltd. | 45,600 | | 1,449,388 |
| Honda Motor Co., Ltd. | 77,400 | | 1,980,950 |
| Hoshizaki Corporation | 2,100 | | 179,992 |
| Hoya Corporation | 18,800 | | 1,800,269 |
| Hulic Co., Ltd. | 26,200 | | 247,355 |
| Idemitsu Kosan Co., Ltd. | 8,736 | | 186,444 |
| Iida Group Holdings Co., Ltd. | 2,500 | | 38,421 |
| Inpex Corporation | 43,600 | | 272,250 |
| Isetan Mitsukoshi Holdings, Ltd.Δ | 12,100 | | 69,636 |
| Isuzu Motors, Ltd. | 18,100 | | 164,481 |
| Ito En, Ltd. | 10,900 | | 615,292 |
| ITOCHU Corporation | 68,300 | | 1,477,863 |
| Japan Airlines Co., Ltd. | 6,100 | | 110,078 |
| Japan Airport Terminal Co., Ltd. | 400 | | 17,069 |
| Japan Exchange Group, Inc. | 24,800 | | 574,367 |
| Japan Post Holdings Co., Ltd. | 91,500 | | 653,006 |
| Japan Post Insurance Co., Ltd. | 12,400 | | 163,387 |
| Japan Prime Realty Investment Corporation REIT | 9 | | 26,403 |
| Japan Real Estate Investment Corporation REITΔ | 46 | | 236,077 |
| Japan Retail Fund Investment Corporation REIT | 40 | | 50,031 |
| JFE Holdings, Inc. | 23,900 | | 172,785 |
| JGC Holdings Corporation | 11,500 | | 121,267 |
| JSR Corporation | 2,200 | | 42,680 |
| JTEKT CorporationΔ | 2,600 | | 20,301 |
| Kajima Corporation | 17,500 | | 209,245 |
| Kakaku.com, Inc. | 3,900 | | 99,350 |
| Kansai Electric Power Co., Inc. (The) | 34,300 | | 332,366 |
| Kansai Paint Co., Ltd. | 12,800 | | 270,486 |
| Kao Corporation | 24,200 | | 1,920,459 |
| KDDI Corporation | 80,200 | | 2,392,939 |
| Keihan Holdings Co., Ltd. | 4,100 | | 183,103 |
| Keikyu CorporationΔ | 14,200 | | 217,290 |
| Keio Corporation | 7,300 | | 417,780 |
| Keisei Electric Railway Co., Ltd. | 1,500 | | 47,011 |
| Keyence Corporation | 9,300 | | 3,897,272 |
| Kikkoman Corporation | 13,800 | | 666,507 |
| Kintetsu Group Holdings Co., Ltd. | 11,300 | | 507,025 |
| Kobayashi Pharmaceutical Co., Ltd. | 2,300 | | 202,226 |
| Koito Manufacturing Co., Ltd. | 4,300 | | 173,976 |
| Komatsu, Ltd. | 38,400 | | 786,452 |
| Konami Holdings Corporation | 5,500 | | 183,529 |
| Kose Corporation | 1,400 | | 169,466 |
| Kubota Corporation | 43,300 | | 647,714 |
| Kuraray Co., Ltd. | 7,300 | | 76,393 |
| KuritaWater Industries, Ltd. | 900 | | 25,036 |
| Kyocera Corporation | 16,300 | | 889,729 |
| Kyowa Kirin Co., Ltd. | 13,300 | | 350,119 |
| Kyushu Electric Power Co., Inc. | 24,000 | | 201,148 |
| Kyushu Railway Co. | 11,000 | | 285,821 |
| Lasertec Corporation | 2,400 | | 226,873 |
| Lawson, Inc. | 3,900 | | 196,172 |
| LINE Corporation* | 5,200 | | 261,712 |
| Lion Corporation | 11,600 | | 278,999 |
See Notes to Financial Statements.
| | | Shares | | Value |
| LIXIL Group Corporation | 11,900 | | $ 167,127 |
| M3, Inc. | 21,500 | | 913,344 |
| Makita Corporation | 7,900 | | 287,279 |
| Marubeni Corporation | 64,200 | | 291,622 |
| Marui Group Co., Ltd. | 6,200 | | 112,154 |
| Maruichi Steel Tube, Ltd. | 400 | | 9,970 |
| Mazda Motor Corporation | 20,700 | | 125,067 |
| McDonald’s Holdings Co. Japan, Ltd.Δ | 8,800 | | 475,619 |
| Medipal Holdings Corporation | 4,500 | | 86,853 |
| MEIJI Holdings Co., Ltd. | 8,000 | | 636,609 |
| MINEBEA MITSUMI, Inc. | 13,700 | | 249,719 |
| MISUMI Group, Inc. | 9,900 | | 248,573 |
| Mitsubishi Chemical Holdings Corporation | 60,200 | | 351,066 |
| Mitsubishi Corporation | 77,900 | | 1,646,161 |
| Mitsubishi Electric Corporation | 91,900 | | 1,200,331 |
| Mitsubishi Estate Co., Ltd. | 63,800 | | 950,736 |
| Mitsubishi Gas Chemical Co., Inc. | 5,500 | | 83,652 |
| Mitsubishi Heavy Industries, Ltd. | 13,700 | | 323,458 |
| Mitsubishi UFJ Financial Group, Inc. | 620,000 | | 2,440,026 |
| Mitsubishi UFJ Lease & Finance Co., Ltd. | 38,900 | | 185,625 |
| Mitsui & Co., Ltd. | 81,900 | | 1,213,481 |
| Mitsui Chemicals, Inc. | 9,400 | | 196,611 |
| Mitsui Fudosan Co., Ltd. | 49,800 | | 884,684 |
| Mizuho Financial Group, Inc. | 1,187,900 | | 1,461,170 |
| MonotaRO Co., Ltd. | 4,000 | | 160,714 |
| MS&AD Insurance Group Holdings, Inc. | 24,300 | | 669,191 |
| Murata Manufacturing Co., Ltd. | 27,700 | | 1,632,874 |
| Nabtesco Corporation | 3,800 | | 117,599 |
| Nagoya Railroad Co., Ltd. | 9,600 | | 270,580 |
| NEC Corporation | 15,600 | | 749,513 |
| Nexon Co., Ltd. | 18,700 | | 421,805 |
| NGK Spark Plug Co., Ltd. | 4,500 | | 64,678 |
| NH Foods, Ltd. | 6,500 | | 261,564 |
| Nidec Corporation | 20,800 | | 1,401,271 |
| Nihon M&A Center, Inc. | 5,400 | | 245,581 |
| Nikon Corporation | 13,200 | | 110,858 |
| Nintendo Co., Ltd. | 5,800 | | 2,592,999 |
| Nippon Building Fund, Inc. REIT | 69 | | 392,967 |
| Nippon Express Co., Ltd. | 4,000 | | 207,414 |
| Nippon Paint Holdings Co., Ltd.Δ | 7,300 | | 532,439 |
| Nippon Prologis REIT, Inc. | 121 | | 367,675 |
| Nippon Shinyaku Co., Ltd. | 3,000 | | 244,868 |
| Nippon Steel Corporation | 49,400 | | 466,803 |
| Nippon Telegraph & Telephone Corporation | 61,300 | | 1,428,256 |
| Nissan Chemical Corporation | 5,900 | | 303,548 |
| Nissan Motor Co., Ltd. | 82,800 | | 307,059 |
| Nisshin Seifun Group, Inc. | 15,300 | | 228,453 |
| Nissin Foods Holdings Co., Ltd. | 4,300 | | 380,979 |
| Nitori Holdings Co., Ltd. | 5,200 | | 1,019,559 |
| Nitto Denko Corporation | 7,100 | | 402,500 |
| Nomura Holdings, Inc. | 160,800 | | 722,569 |
| Nomura Real Estate Master Fund, Inc. REIT | 184 | | 220,376 |
| Nomura Research Institute, Ltd. | 17,157 | | 468,605 |
| | | Shares | | Value |
| NTT Data Corporation | 29,300 | | $ 327,585 |
| NTT DOCOMO, Inc. | 52,900 | | 1,404,390 |
| Obayashi Corporation | 26,400 | | 248,199 |
| Obic Co., Ltd. | 3,600 | | 634,460 |
| Odakyu Electric Railway Co., Ltd. | 15,900 | | 390,469 |
| Oji Holdings Corporation | 31,000 | | 144,626 |
| Olympus Corporation | 54,000 | | 1,039,635 |
| Omron Corporation | 8,300 | | 555,919 |
| Ono Pharmaceutical Co., Ltd. | 33,900 | | 989,423 |
| Oracle Corporation | 700 | | 83,029 |
| Oriental Land Co., Ltd. | 11,700 | | 1,546,110 |
| ORIX Corporation | 76,900 | | 954,887 |
| Orix JREIT, Inc.Δ | 119 | | 156,858 |
| Osaka Gas Co., Ltd. | 14,000 | | 276,738 |
| Otsuka Corporation | 6,900 | | 364,428 |
| Otsuka Holdings Co., Ltd. | 26,100 | | 1,137,489 |
| Pan Pacific International Holdings Corporation | 26,100 | | 574,636 |
| Panasonic Corporation | 112,600 | | 987,395 |
| Park24 Co., Ltd.Δ | 7,600 | | 130,302 |
| PeptiDream, Inc.Δ* | 5,900 | | 271,845 |
| Persol Holdings Co., Ltd. | 9,400 | | 129,597 |
| Pigeon CorporationΔ | 6,500 | | 251,583 |
| Pola Orbis Holdings, Inc. | 7,300 | | 127,447 |
| Rakuten, Inc. | 35,400 | | 312,688 |
| Recruit Holdings Co., Ltd. | 62,200 | | 2,139,071 |
| Renesas Electronics Corporation* | 45,200 | | 232,346 |
| Resona Holdings, Inc. | 92,600 | | 316,867 |
| Ricoh Co., Ltd. | 52,300 | | 375,283 |
| Rinnai Corporation | 2,600 | | 217,732 |
| Rohm Co., Ltd. | 3,100 | | 206,123 |
| Ryohin Keikaku Co., Ltd. | 11,000 | | 156,459 |
| Santen Pharmaceutical Co., Ltd. | 34,300 | | 631,444 |
| SBI Holdings, Inc. | 9,400 | | 203,985 |
| Secom Co., Ltd. | 11,500 | | 1,009,041 |
| Seibu Holdings, Inc. | 13,200 | | 143,777 |
| Seiko Epson Corporation | 17,200 | | 197,038 |
| Sekisui Chemical Co., Ltd. | 16,800 | | 240,706 |
| Sekisui House, Ltd. | 31,600 | | 603,312 |
| Seven & i Holdings Co., Ltd. | 40,100 | | 1,311,812 |
| SG Holdings Co., Ltd. | 7,100 | | 231,699 |
| Sharp Corporation | 9,500 | | 101,883 |
| Shimadzu Corporation | 15,100 | | 403,128 |
| Shimamura Co., Ltd. | 200 | | 13,546 |
| Shimano, Inc. | 3,200 | | 615,324 |
| Shimizu Corporation | 26,800 | | 220,781 |
| Shin-Etsu Chemical Co., Ltd. | 17,900 | | 2,100,771 |
| Shinsei Bank, Ltd. | 400 | | 4,838 |
| Shionogi & Co., Ltd. | 15,100 | | 947,274 |
| Shiseido Co., Ltd. | 23,000 | | 1,465,575 |
| Showa Denko KK | 5,600 | | 126,400 |
| SMC Corporation | 3,000 | | 1,541,763 |
| Softbank Corporation | 88,600 | | 1,129,316 |
| SoftBank Group CorporationΔ | 76,500 | | 3,857,717 |
| Sohgo Security Services Co., Ltd. | 600 | | 28,016 |
| Sompo Holdings, Inc. | 18,400 | | 633,427 |
| Sony Corporation | 65,400 | | 4,514,574 |
| Sony Financial Holdings, Inc. | 4,600 | | 111,067 |
See Notes to Financial Statements.
INTERNATIONAL EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | Shares | | Value |
| Square Enix Holdings Co., Ltd. | 4,200 | | $ 212,789 |
| Subaru Corporation | 30,200 | | 632,378 |
| SUMCO Corporation | 14,200 | | 218,313 |
| Sumitomo Chemical Co., Ltd. | 51,000 | | 153,449 |
| Sumitomo Corporation | 71,400 | | 821,203 |
| Sumitomo Dainippon Pharma Co., Ltd. | 12,500 | | 173,220 |
| Sumitomo Electric Industries, Ltd. | 34,000 | | 392,214 |
| Sumitomo Metal Mining Co., Ltd. | 9,900 | | 278,881 |
| Sumitomo Mitsui Financial Group, Inc. | 65,400 | | 1,845,706 |
| Sumitomo Mitsui Trust Holdings, Inc. | 13,800 | | 388,889 |
| Sumitomo Realty & Development Co., Ltd. | 18,000 | | 496,848 |
| Sumitomo Rubber Industries, Ltd. | 15,700 | | 155,501 |
| Sundrug Co., Ltd. | 6,600 | | 218,432 |
| Suntory Beverage & Food, Ltd. | 26,800 | | 1,045,689 |
| Suzuken Co., Ltd. | 1,900 | | 70,983 |
| Suzuki Motor Corporation | 19,400 | | 662,435 |
| Sysmex Corporation | 7,300 | | 560,360 |
| T&D Holdings, Inc. | 22,500 | | 193,257 |
| Taiheiyo Cement Corporation | 7,100 | | 164,962 |
| Taisei Corporation | 11,000 | | 400,907 |
| Taisho Pharmaceutical Holdings Co., Ltd. | 5,400 | | 331,382 |
| Taiyo Nippon Sanso Corporation | 1,200 | | 20,067 |
| Takeda Pharmaceutical Co., Ltd. | 84,536 | | 3,037,207 |
| TDK Corporation | 7,200 | | 716,770 |
| Teijin, Ltd. | 2,600 | | 41,396 |
| Terumo Corporation | 35,700 | | 1,358,841 |
| TIS, Inc. | 19,500 | | 412,866 |
| Tobu Railway Co., Ltd. | 10,900 | | 360,130 |
| Toho Co., Ltd. | 2,900 | | 104,751 |
| Toho Gas Co., Ltd.Δ | 3,400 | | 169,941 |
| Tohoku Electric Power Co., Inc. | 19,200 | | 182,392 |
| Tokio Marine Holdings, Inc. | 32,100 | | 1,405,114 |
| Tokyo Electric Power Co. Holdings, Inc.* | 56,100 | | 172,574 |
| Tokyo Electron, Ltd. | 7,700 | | 1,899,927 |
| Tokyo Gas Co., Ltd. | 20,300 | | 486,076 |
| Tokyu Corporation | 36,400 | | 512,452 |
| Tokyu Fudosan Holdings Corporation | 34,600 | | 162,775 |
| Toppan Printing Co., Ltd. | 14,000 | | 234,065 |
| Toray Industries, Inc. | 85,700 | | 404,506 |
| Toshiba Corporation | 16,900 | | 542,148 |
| Tosoh Corporation | 16,800 | | 230,780 |
| TOTO, Ltd. | 6,700 | | 257,605 |
| Toyo Suisan Kaisha, Ltd. | 4,200 | | 234,670 |
| Toyoda Gosei Co., Ltd. | 500 | | 10,447 |
| Toyota Industries Corporation | 5,300 | | 281,709 |
| Toyota Motor Corporation | 104,116 | | 6,547,240 |
| Toyota Tsusho Corporation | 7,800 | | 198,910 |
| Trend Micro, Inc. | 4,300 | | 240,303 |
| Tsuruha Holdings, Inc. | 1,900 | | 262,415 |
| Unicharm Corporation | 24,000 | | 984,300 |
| United Urban Investment Corporation REIT | 156 | | 168,020 |
| USS Co., Ltd. | 15,500 | | 248,471 |
| | | Shares | | Value |
| Welcia Holdings Co., Ltd. | 2,300 | | $ 185,810 |
| West Japan Railway Co. | 7,800 | | 437,494 |
| Yakult Honsha Co., Ltd. | 4,900 | | 288,287 |
| Yamada Denki Co., Ltd. | 39,400 | | 195,440 |
| Yamaha Corporation | 5,400 | | 254,691 |
| Yamato Holdings Co., Ltd. | 10,600 | | 230,099 |
| Yamazaki Baking Co., Ltd. | 7,200 | | 123,676 |
| Yaskawa Electric Corporation | 9,000 | | 312,868 |
| Yokogawa Electric Corporation | 2,500 | | 39,172 |
| Yokohama Rubber Co., Ltd. (The) | 1,000 | | 14,140 |
| Z Holdings Corporation | 146,400 | | 718,491 |
| ZOZO, Inc. | 5,700 | | 127,065 |
| | | | | 164,417,144 |
| Jersey — 0.6% | | |
| Experian PLC | 47,391 | | 1,663,370 |
| Ferguson PLC | 10,029 | | 820,037 |
| Glencore PLC* | 516,891 | | 1,101,084 |
| WPP PLC | 75,700 | | 590,181 |
| | | | | 4,174,672 |
| Netherlands — 5.0% | | |
| ABN AMRO Bank NV CVA 144A | 19,173 | | 164,996 |
| Adyen NV 144A* | 879 | | 1,279,380 |
| Aegon NV | 91,686 | | 271,021 |
| AerCap Holdings NV* | 7,106 | | 218,865 |
| Airbus SE* | 30,567 | | 2,190,243 |
| Akzo Nobel NVΔ | 11,693 | | 1,050,507 |
| Altice Europe NV* | 41,822 | | 161,748 |
| ArcelorMittal SA* | 27,312 | | 289,285 |
| ASML Holding NV | 20,949 | | 7,663,421 |
| CNH Industrial NVΔ* | 43,467 | | 305,382 |
| EXOR NV | 7,115 | | 408,382 |
| Ferrari NV | 5,605 | | 960,111 |
| Fiat Chrysler Automobiles NV* | 57,382 | | 580,597 |
| ING Groep NV | 182,403 | | 1,271,515 |
| Just Eat Takeaway.com NV 144AΔ* | 6,944 | | 725,822 |
| Koninklijke Ahold Delhaize NV | 58,297 | | 1,588,830 |
| Koninklijke DSM NV | 8,978 | | 1,246,308 |
| Koninklijke KPN NV | 232,251 | | 617,768 |
| Koninklijke Philips NV* | 48,889 | | 2,280,560 |
| Koninklijke Vopak NV | 4,650 | | 245,959 |
| NN Group NV | 12,223 | | 410,788 |
| Prosus NV* | 26,477 | | 2,461,259 |
| QIAGEN NV* | 14,497 | | 624,458 |
| Randstad NV | 7,963 | | 356,066 |
| STMicroelectronics NV | 37,806 | | 1,030,527 |
| Unibail-Rodamco-Westfield REITΔ | 6,095 | | 343,556 |
| Unilever NV | 75,394 | | 4,019,841 |
| Wolters Kluwer NV | 14,668 | | 1,145,655 |
| | | | | 33,912,850 |
| New Zealand — 0.3% | | |
| a2 Milk Co., Ltd.* | 45,565 | | 596,434 |
| Auckland International Airport, Ltd. | 67,484 | | 286,994 |
| Fisher & Paykel Healthcare Corporation, Ltd. | 33,637 | | 774,889 |
| Meridian Energy, Ltd. | 83,938 | | 261,661 |
See Notes to Financial Statements.
| | | Shares | | Value |
| Ryman Healthcare, Ltd. | 22,949 | | $ 194,699 |
| Spark New Zealand, Ltd. | 86,942 | | 257,232 |
| | | | | 2,371,909 |
| Norway — 0.6% | | |
| DNB ASA* | 42,506 | | 567,349 |
| Equinor ASA | 57,972 | | 835,126 |
| Gjensidige Forsikring ASA* | 19,578 | | 361,727 |
| Mowi ASA | 26,051 | | 496,576 |
| Norsk Hydro ASA* | 56,215 | | 156,833 |
| Orkla ASA | 60,619 | | 532,210 |
| Schibsted ASA, B Shares* | 13,134 | | 310,233 |
| Telenor ASA | 45,524 | | 664,690 |
| Yara International ASA | 10,434 | | 363,753 |
| | | | | 4,288,497 |
| Papua New Guinea — 0.0% | | |
| Oil Search, Ltd. | 96,983 | | 214,930 |
| Portugal — 0.2% | | |
| EDP - Energias de Portugal SA | 143,115 | | 683,126 |
| Galp Energia SGPS SA | 27,004 | | 313,246 |
| Jeronimo Martins SGPS SA* | 14,871 | | 260,242 |
| | | | | 1,256,614 |
| Singapore — 1.2% | | |
| Ascendas REIT | 144,607 | | 331,788 |
| CapitaLand Commercial Trust REIT | 41,879 | | 51,254 |
| CapitaLand Mall Trust REIT | 117,500 | | 166,724 |
| CapitaLand, Ltd.* | 199,700 | | 421,895 |
| Dairy Farm International Holdings, Ltd. | 17,300 | | 80,838 |
| DBS Group Holdings, Ltd. | 87,612 | | 1,318,283 |
| Hongkong Land Holdings, Ltd. | 79,400 | | 330,266 |
| Jardine Cycle & Carriage, Ltd. | 8,811 | | 128,584 |
| Jardine Matheson Holdings, Ltd. | 12,200 | | 510,092 |
| Jardine Strategic Holdings, Ltd. | 7,400 | | 159,626 |
| Keppel Corporation, Ltd. | 93,500 | | 402,697 |
| Oversea-Chinese Banking Corporation, Ltd. | 132,443 | | 863,236 |
| Singapore Airlines, Ltd. | 234,750 | | 633,643 |
| Singapore Exchange, Ltd. | 32,300 | | 194,371 |
| Singapore Technologies Engineering, Ltd. | 16,100 | | 38,427 |
| Singapore Telecommunications, Ltd. | 431,500 | | 767,594 |
| Suntec REIT | 26,900 | | 27,480 |
| United Overseas Bank, Ltd. | 53,959 | | 788,442 |
| UOL Group, Ltd. | 7,561 | | 37,175 |
| Venture Corporation, Ltd. | 10,300 | | 120,373 |
| Wilmar International, Ltd. | 188,000 | | 556,061 |
| Yangzijiang Shipbuilding Holdings, Ltd. | 88,700 | | 59,712 |
| | | | | 7,988,561 |
| Spain — 2.4% | | |
| ACS Actividades de Construccion y Servicios SA | 16,162 | | 415,346 |
| Aena SME SA 144A* | 3,930 | | 525,605 |
| Amadeus IT Group SA | 22,411 | | 1,176,626 |
| Banco Bilbao Vizcaya Argentaria SA | 291,811 | | 1,004,696 |
| Banco Santander SA | 811,780 | | 1,985,989 |
| | | Shares | | Value |
| Bankinter SA | 24,002 | | $ 115,045 |
| CaixaBank SA | 130,072 | | 278,261 |
| Cellnex Telecom SA 144AΔ* | 11,970 | | 731,101 |
| Enagas SAΔ | 17,674 | | 432,369 |
| Endesa SAΔ | 13,556 | | 336,273 |
| Ferrovial SA | 27,777 | | 742,479 |
| Grifols SAΔ | 15,393 | | 468,071 |
| Iberdrola SA | 293,592 | | 3,427,594 |
| Industria de Diseno Textil SA | 64,732 | | 1,717,564 |
| Mapfre SA | 10,729 | | 19,159 |
| Naturgy Energy Group SAΔ | 20,649 | | 385,495 |
| Red Electrica Corporation SAΔ | 23,715 | | 443,697 |
| Repsol SA | 79,833 | | 705,403 |
| Siemens Gamesa Renewable Energy SAΔ* | 6,866 | | 122,249 |
| Telefonica SA | 228,227 | | 1,091,559 |
| | | | | 16,124,581 |
| Sweden — 2.7% | | |
| Alfa Laval AB* | 9,705 | | 214,094 |
| Assa Abloy AB, B Shares | 55,581 | | 1,137,604 |
| Atlas Copco AB, A Shares | 35,615 | | 1,516,681 |
| Boliden ABΔ | 9,794 | | 224,639 |
| Electrolux AB, Series B | 13,970 | | 235,044 |
| Epiroc AB, A Shares | 8,156 | | 102,198 |
| Epiroc AB, B Shares | 46,082 | | 565,939 |
| Essity AB, B Shares* | 44,371 | | 1,438,570 |
| Hennes & Mauritz AB, B SharesΔ | 49,643 | | 724,604 |
| Hexagon AB, B Shares* | 13,938 | | 818,517 |
| Husqvarna AB, B Shares | 23,565 | | 193,941 |
| ICA Gruppen AB | 5,526 | | 262,676 |
| Industrivarden AB, C Shares* | 8,930 | | 203,550 |
| Investor AB, B Shares | 26,115 | | 1,385,346 |
| Kinnevik AB Class B | 16,349 | | 431,570 |
| L E Lundbergforetagen AB, B Shares* | 5,888 | | 268,397 |
| Lundin Energy AB | 8,084 | | 197,295 |
| Nibe Industrier AB, B Shares* | 13,025 | | 288,892 |
| Sandvik AB* | 58,653 | | 1,104,187 |
| Securitas AB, B Shares* | 14,981 | | 202,576 |
| Skandinaviska Enskilda Banken AB, A Shares* | 83,522 | | 725,017 |
| Skanska AB, B Shares* | 13,311 | | 271,748 |
| SKF AB, B Shares | 13,321 | | 249,016 |
| Svenska Cellulosa AB SCA, B Shares* | 42,349 | | 506,544 |
| Svenska Handelsbanken AB, A Shares* | 65,615 | | 623,036 |
| Swedbank AB, A Shares* | 47,217 | | 606,308 |
| Tele2 AB, B Shares | 19,177 | | 255,281 |
| Telefonaktiebolaget LM Ericsson, B Shares | 152,650 | | 1,414,998 |
| Telia Co. AB | 126,527 | | 473,363 |
| Volvo AB, B Shares* | 76,978 | | 1,211,241 |
| | | | | 17,852,872 |
| Switzerland — 10.2% | | |
| ABB, Ltd. | 91,674 | | 2,079,435 |
| Adecco Group AG | 8,557 | | 403,339 |
See Notes to Financial Statements.
INTERNATIONAL EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | Shares | | Value |
| Alcon, Inc.* | 19,678 | | $ 1,130,683 |
| Baloise Holding AG | 2,117 | | 318,927 |
| Banque Cantonale Vaudoise | 1,540 | | 149,969 |
| Barry Callebaut AG | 352 | | 671,911 |
| Chocoladefabriken Lindt & Spruengli AG | 7 | | 603,797 |
| Cie Financiere Richemont SA | 30,211 | | 1,948,619 |
| Coca-Cola HBC AG* | 19,942 | | 499,210 |
| Credit Suisse Group AG | 124,795 | | 1,298,476 |
| EMS-Chemie Holding AG | 485 | | 376,798 |
| Geberit AG | 1,994 | | 1,000,462 |
| Givaudan SA | 437 | | 1,633,493 |
| Julius Baer Group, Ltd. | 11,052 | | 464,157 |
| Kuehne + Nagel International AG* | 1,638 | | 272,839 |
| LafargeHolcim, Ltd.* | 1,494 | | 64,876 |
| LafargeHolcim, Ltd. (Swiss Exchange)* | 19,045 | | 839,047 |
| Logitech International SA | 9,497 | | 622,333 |
| Lonza Group AG | 3,814 | | 2,020,267 |
| Nestle SA | 152,984 | | 16,961,432 |
| Novartis AG | 103,647 | | 9,029,837 |
| Partners Group Holding AG | 915 | | 833,284 |
| Roche Holding AG | 36,301 | | 12,576,465 |
| Schindler Holding AG | 3,024 | | 716,002 |
| SGS SA | 333 | | 815,732 |
| Sika AG | 6,515 | | 1,255,913 |
| Sonova Holding AG* | 2,443 | | 489,028 |
| Straumann Holding AG | 601 | | 519,557 |
| Swatch Group AG (The) | 15,046 | | 591,693 |
| Swiss Life Holding AG | 1,166 | | 433,774 |
| Swiss Prime Site AG | 4,727 | | 438,502 |
| Swiss Re AG | 14,300 | | 1,108,744 |
| Swisscom AG | 1,391 | | 729,442 |
| Temenos AG | 3,832 | | 595,585 |
| UBS Group AG | 188,589 | | 2,178,026 |
| Vifor Pharma AG | 2,839 | | 429,504 |
| Zurich Insurance Group AG | 7,246 | | 2,567,479 |
| | | | | 68,668,637 |
| United Kingdom — 12.6% | | |
| 3i Group PLC | 54,344 | | 559,580 |
| Admiral Group PLC | 7,823 | | 221,852 |
| Anglo American PLC | 60,164 | | 1,386,974 |
| Antofagasta PLC | 23,560 | | 272,692 |
| Ashtead Group PLC | 21,261 | | 717,198 |
| Associated British Foods PLC | 28,326 | | 669,745 |
| AstraZeneca PLC | 68,160 | | 7,093,711 |
| Auto Trader Group PLC 144A | 39,162 | | 254,974 |
| AVEVA Group PLC | 4,634 | | 234,959 |
| Aviva PLC | 252,843 | | 856,980 |
| BAE Systems PLC | 180,364 | | 1,078,480 |
| Barclays PLC | 927,489 | | 1,308,500 |
| Barratt Developments PLC | 50,118 | | 308,032 |
| Berkeley Group Holdings PLC | 6,733 | | 346,751 |
| BHP Group PLC | 110,955 | | 2,270,480 |
| BP PLC | 990,374 | | 3,794,166 |
| British Land Co. PLC (The) REIT | 31,612 | | 151,215 |
| BT Group PLC | 453,308 | | 641,091 |
| | | Shares | | Value |
| Bunzl PLC | 13,047 | | $ 349,961 |
| Burberry Group PLC | 40,520 | | 800,679 |
| Coca-Cola European Partners PLC | 15,904 | | 600,535 |
| Compass Group PLC | 98,923 | | 1,361,028 |
| Croda International PLC | 8,758 | | 568,840 |
| Direct Line Insurance Group PLC | 64,437 | | 216,061 |
| GlaxoSmithKline PLC | 278,527 | | 5,626,160 |
| Halma PLC | 23,059 | | 656,956 |
| Hargreaves Lansdown PLC | 13,678 | | 275,832 |
| Hikma Pharmaceuticals PLC | 18,236 | | 500,416 |
| HSBC Holdings PLC | 1,018,435 | | 4,733,267 |
| Informa PLC | 87,112 | | 503,659 |
| InterContinental Hotels Group PLC | 14,742 | | 650,788 |
| Intertek Group PLC | 8,134 | | 547,834 |
| ITV PLC | 231,678 | | 214,123 |
| J Sainsbury PLC | 118,172 | | 305,824 |
| JD Sports Fashion PLC | 19,923 | | 153,341 |
| Johnson Matthey PLC | 13,222 | | 344,353 |
| Kingfisher PLC | 173,177 | | 476,442 |
| Land Securities Group PLC REIT | 42,490 | | 290,318 |
| Legal & General Group PLC | 311,903 | | 850,324 |
| Lloyds Banking Group PLC | 3,505,062 | | 1,352,115 |
| London Stock Exchange Group PLC | 17,333 | | 1,802,549 |
| M&G PLC | 116,852 | | 242,637 |
| Melrose Industries PLC | 264,795 | | 373,240 |
| Mondi PLC | 41,985 | | 785,328 |
| National Grid PLC | 197,949 | | 2,415,056 |
| Next PLC | 7,706 | | 466,560 |
| Ocado Group PLC* | 22,804 | | 573,073 |
| Pearson PLCΔ | 41,042 | | 292,170 |
| Persimmon PLC* | 22,094 | | 625,295 |
| Prudential PLC | 126,748 | | 1,909,847 |
| Reckitt Benckiser Group PLC | 37,981 | | 3,494,193 |
| RELX PLC | 105,410 | | 2,439,795 |
| Rentokil Initial PLC | 101,023 | | 638,786 |
| Rio Tinto PLC | 58,556 | | 3,295,330 |
| Rolls-Royce Holdings PLC* | 96,721 | | 341,484 |
| Royal Bank of Scotland Group PLC | 286,152 | | 429,584 |
| Royal Dutch Shell PLC, A Shares | 196,480 | | 3,145,893 |
| Royal Dutch Shell PLC, B Shares | 190,228 | | 2,883,912 |
| RSA Insurance Group PLC | 43,200 | | 218,784 |
| Sage Group PLC (The) | 68,811 | | 571,196 |
| Schroders PLC | 6,913 | | 252,309 |
| Segro PLC REIT | 71,796 | | 794,062 |
| Severn Trent PLC | 9,681 | | 296,275 |
| Smith & Nephew PLC | 46,538 | | 867,172 |
| Smiths Group PLC | 26,226 | | 458,481 |
| Spirax-Sarco Engineering PLC | 4,987 | | 613,949 |
| SSE PLC | 57,080 | | 966,543 |
| St. James’s Place PLC | 34,873 | | 410,053 |
| Standard Chartered PLC | 155,394 | | 842,359 |
| Standard Life Aberdeen PLC | 114,480 | | 379,352 |
| Taylor Wimpey PLC | 203,676 | | 359,490 |
| Tesco PLC | 572,351 | | 1,609,831 |
| Unilever PLC | 62,851 | | 3,390,250 |
| United Utilities Group PLC | 27,605 | | 310,190 |
| Vodafone Group PLC | 1,401,802 | | 2,228,529 |
See Notes to Financial Statements.
| | | Shares | | Value |
| Whitbread PLCΔ | 15,331 | | $ 421,794 |
| Wm Morrison Supermarkets PLC | 146,161 | | 344,317 |
| | | | | 85,035,904 |
Total Foreign Common Stocks
(Cost $672,473,837) | | 642,629,730 |
| FOREIGN PREFERRED STOCKS — 0.6% |
| Germany — 0.6% | | |
| FUCHS PETROLUB SE | | | | |
| 2.66%◊ | 3,828 | | 153,862 |
| Henkel AG & Co. KGaA | | | | |
| 2.20%◊ | 11,912 | | 1,111,315 |
| Porsche Automobil Holding SE | | | | |
| 5.86%◊ | 9,371 | | 542,756 |
| Sartorius AG | | | | |
| 0.12%◊ | 1,809 | | 597,057 |
| Volkswagen AG | | | | |
| 4.79%◊* | 12,052 | | 1,831,906 |
| | | | | 4,236,896 |
Total Foreign Preferred Stocks
(Cost $4,286,734) | | 4,236,896 |
| RIGHTS — 0.0% |
| ACS Actividades de Construccion y Servicios SA* | 16,162 | | 25,212 |
| Repsol SAΔ* | 79,833 | | 38,864 |
| Telefonica SAΔ* | 228,227 | | 44,898 |
Total Rights
(Cost $118,926) | | 108,974 |
| MONEY MARKET FUNDS — 5.4% |
GuideStone Money Market Fund, 0.16%
(Institutional Class)Ø∞ | 18,393,235 | | 18,393,235 |
| | | Shares | | Value |
| Northern Institutional Liquid Assets Portfolio (Shares), 0.33%ا | 18,029,669 | | $ 18,029,669 |
Total Money Market Funds
(Cost $36,422,904) | | 36,422,904 |
TOTAL INVESTMENTS — 101.6%
(Cost $713,582,060) | | | 683,738,566 |
Liabilities in Excess of Other
Assets — (1.6)% | | | (10,842,767) |
| NET ASSETS — 100.0% | | | $672,895,799 |
PORTFOLIO SUMMARY (based on net assets)
| | % |
| Financials | 15.5 |
| Industrials | 14.5 |
| Health Care | 14.3 |
| Consumer Discretionary | 10.5 |
| Consumer Staples | 9.8 |
| Information Technology | 8.7 |
| Materials | 7.2 |
| Communication Services | 5.3 |
| Money Market Funds | 5.4 |
| Utilities | 4.1 |
| Energy | 3.2 |
| Real Estate | 3.1 |
| Rights | —** |
| | 101.6 |
| **Rounds to less than 0.05% | |
Futures Contracts outstanding at June 30, 2020:
| Future Type | | Expiration Date | | Open Long
(Short) Contracts | | Notional
Market Value
of Contracts | | Value and
Unrealized
Appreciation
(Depreciation) |
| MSCI EAFE Index E-Mini | | 09/2020 | | 234 | | $20,807,280 | | $(111,957) |
See Notes to Financial Statements.
INTERNATIONAL EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS (Continued)
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2020, in valuing the Fund’s investments carried at fair value:
| | Total
Value | | Level 1
Quoted Prices | | Level 2
Other Significant
Observable Inputs | | Level 3
Significant
Unobservable Inputs |
| Assets: | | | | | | | |
| Investments in Securities: | | | | | | | |
| Common Stock | $ 340,062 | | $ 340,062 | | $ — | | $ — |
| Foreign Common Stocks: | | | | | | | |
| Australia | 44,424,793 | | 99,098 | | 44,325,695 | | — |
| Denmark | 13,312,601 | | 1,595,309 | | 11,717,292 | | — |
| Germany | 55,538,317 | | 456,255 | | 55,082,062 | | — |
| Hong Kong | 21,497,998 | | 643,204 | | 20,854,794 | | — |
| Israel | 3,740,600 | | 2,026,236 | | 1,714,364 | | — |
| Netherlands | 33,912,850 | | 8,256,136 | | 25,656,714 | | — |
| United Kingdom | 85,035,904 | | 600,535 | | 84,435,369 | | — |
| Other ^^ | 385,166,667 | | — | | 385,166,667 | | — |
| Total Foreign Common Stocks | 642,629,730 | | 13,676,773 | | 628,952,957 | | — |
| Foreign Preferred Stocks | 4,236,896 | | — | | 4,236,896 | | — |
| Money Market Funds | 36,422,904 | | 36,422,904 | | — | | — |
| Rights | 108,974 | | — | | 108,974 | | — |
| Total Assets - Investments in Securities | $683,738,566 | | $50,439,739 | | $633,298,827 | | $ — |
| Liabilities: | | | | | | | |
| Other Financial Instruments*** | | | | | | | |
| Futures Contracts | $ (111,957) | | $ (111,957) | | $ — | | $ — |
| Total Liabilities - Other Financial Instruments | $ (111,957) | | $ (111,957) | | $ — | | $ — |
| ^^ | 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. |
See Notes to Financial Statements.
INTERNATIONAL EQUITY FUND
June 30, 2020 (Unaudited)
| | | Shares | | Value |
| COMMON STOCKS — 2.8% |
| Consumer Discretionary — 1.7% | | |
| Alibaba Group Holding, Ltd.* | 27,240 | | $ 735,039 |
| Lululemon Athletica, Inc.* | 32,016 | | 9,989,312 |
| MercadoLibre, Inc.Δ* | 8,326 | | 8,207,521 |
| Trip.com Group, Ltd. ADR* | 41,600 | | 1,078,272 |
| | | | | 20,010,144 |
| Health Care — 1.1% | | |
| Mettler-Toledo International, Inc.* | 5,722 | | 4,609,357 |
| ResMed, Inc. | 41,745 | | 8,015,040 |
| | | | | 12,624,397 |
| Materials — 0.0% | | |
| APERAM SA | 2,609 | | 73,142 |
Total Common Stocks
(Cost $21,958,734) | | 32,707,683 |
| FOREIGN COMMON STOCKS — 92.8% |
| Australia — 3.0% | | |
| Afterpay, Ltd.* | 8,651 | | 373,617 |
| AMP, Ltd.* | 1,401,511 | | 1,813,451 |
| Ampol, Ltd. | 5,172 | | 105,386 |
| Ansell, Ltd. | 11,290 | | 286,991 |
| ASX, Ltd.‡‡ | 2,303 | | 136,886 |
| Aurizon Holdings, Ltd. | 162,210 | | 551,981 |
| Australia & New Zealand Banking Group, Ltd. | 12,329 | | 159,971 |
| Beach Energy, Ltd. | 166,142 | | 177,493 |
| BHP Group, Ltd.‡‡ | 35,868 | | 893,038 |
| BlueScope Steel, Ltd.‡‡ | 287,237 | | 2,366,215 |
| Brambles, Ltd. | 238,272 | | 1,806,672 |
| Challenger, Ltd. | 45,483 | | 140,850 |
| CIMIC Group, Ltd.‡‡ | 61,828 | | 1,038,995 |
| Cochlear, Ltd. | 624 | | 81,924 |
| Coles Group, Ltd. | 36,690 | | 436,148 |
| CSL, Ltd. | 45,272 | | 9,004,102 |
| Dexus REIT‡‡ | 55,775 | | 357,982 |
| Evolution Mining, Ltd.‡‡ | 148,430 | | 589,637 |
| Flight Centre Travel Group, Ltd. | 9,448 | | 73,856 |
| Fortescue Metals Group, Ltd.‡‡ | 314,367 | | 3,056,174 |
| Goodman Group REIT‡‡ | 50,048 | | 516,407 |
| GPT Group (The) REITΨ†††* | 63,198 | | — |
| GPT Group (The) REIT (Athens Exchange) | 104,984 | | 304,991 |
| Harvey Norman Holdings, Ltd. | 34,638 | | 85,150 |
| JB Hi-Fi, Ltd. | 2,235 | | 66,870 |
| Lendlease Group | 50,133 | | 433,312 |
| Mirvac Group REIT‡‡ | 355,598 | | 537,168 |
| Newcrest Mining, Ltd.‡‡ | 17,409 | | 386,029 |
| Northern Star Resources, Ltd. | 16,133 | | 152,151 |
| Orica, Ltd. | 179,617 | | 2,077,203 |
| Origin Energy, Ltd. | 73,982 | | 301,051 |
| Qantas Airways, Ltd. | 173,670 | | 460,207 |
| QBE Insurance Group, Ltd. | 490,313 | | 3,025,774 |
| Rio Tinto, Ltd.‡‡ | 4,796 | | 328,399 |
| Scentre Group REIT‡‡ | 186,809 | | 283,603 |
| South32, Ltd. | 860,486 | | 1,218,212 |
| Stockland REIT‡‡ | 206,720 | | 479,343 |
| | | Shares | | Value |
| Telstra Corporation, Ltd. | 38,132 | | $ 82,770 |
| Vicinity Centres REIT‡‡ | 336,787 | | 337,563 |
| Wesfarmers, Ltd. | 2,560 | | 79,596 |
| WiseTech Global, Ltd. | 24,901 | | 336,860 |
| | | | | 34,944,028 |
| Austria — 0.1% | | |
| ams AG* | 65,468 | | 976,033 |
| Belgium — 0.8% | | |
| Ageas SA/NV‡‡ | 9,844 | | 348,869 |
| Galapagos NV* | 2,907 | | 573,777 |
| Groupe Bruxelles Lambert SA‡‡ | 415 | | 34,760 |
| KBC Group NV | 115,909 | | 6,659,118 |
| UCB SA | 9,931 | | 1,152,458 |
| | | | | 8,768,982 |
| Canada — 2.7% | | |
| Canadian National Railway Co. | 94,252 | | 8,347,900 |
| Canadian Pacific Railway, Ltd. | 28,976 | | 7,398,732 |
| Cenovus Energy, Inc. | 424,599 | | 1,986,007 |
| Open Text Corporation | 32,700 | | 1,388,594 |
| Shopify, Inc. Class A* | 12,183 | | 11,564,103 |
| | | | | 30,685,336 |
| China — 1.4% | | |
| Alibaba Group Holding, Ltd. ADR* | 945 | | 203,836 |
| Baidu, Inc. ADR* | 12,120 | | 1,453,067 |
| Tencent Holdings, Ltd. | 224,200 | | 14,366,268 |
| | | | | 16,023,171 |
| Denmark — 1.6% | | |
| AP Moeller - Maersk A/S Class B | 119 | | 139,469 |
| Danske Bank A/S* | 12,095 | | 161,692 |
| DSV Panalpina A/SΔ | 54,597 | | 6,706,421 |
| FLSmidth & Co. A/S* | 11,921 | | 346,745 |
| Genmab A/S‡‡* | 4,883 | | 1,646,514 |
| GN Store Nord A/S‡‡ | 28,346 | | 1,517,373 |
| H Lundbeck A/S | 7,970 | | 301,142 |
| ISS A/S* | 236,283 | | 3,751,819 |
| Pandora A/S‡‡ | 41,886 | | 2,287,583 |
| ROCKWOOL International A/S, B Shares‡‡ | 4,507 | | 1,226,599 |
| | | | | 18,085,357 |
| Finland — 0.4% | | |
| Huhtamaki OYJ* | 5,212 | | 206,191 |
| Kone OYJ Class B | 6,859 | | 473,062 |
| Nokia OYJ | 111,104 | | 485,510 |
| Orion OYJ Class B‡‡ | 20,733 | | 1,005,434 |
| Stora Enso OYJ, R Shares | 9,029 | | 108,071 |
| UPM-Kymmene OYJ‡‡ | 64,775 | | 1,876,189 |
| Valmet OYJ | 2,101 | | 55,067 |
| Wartsila OYJ Abp | 11,180 | | 92,739 |
| | | | | 4,302,263 |
| France — 10.2% | | |
| Accor SA* | 106,700 | | 2,912,017 |
| Air Liquide SA | 66,347 | | 9,592,905 |
| Alstom SA | 2,814 | | 131,135 |
See Notes to Financial Statements.
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | Shares | | Value |
| Amundi SA 144A* | 1,133 | | $ 89,069 |
| Arkema SA | 1,395 | | 134,093 |
| Atos SE‡‡* | 20,873 | | 1,789,508 |
| AXA SA* | 12,947 | | 272,443 |
| BNP Paribas SA‡‡* | 181,248 | | 7,241,585 |
| Bouygues SA* | 7,974 | | 273,145 |
| Bureau Veritas SA* | 56,885 | | 1,206,500 |
| Capgemini SE‡‡ | 12,541 | | 1,447,251 |
| Carrefour SA | 16,769 | | 260,055 |
| Cie de St-Gobain‡‡* | 328,483 | | 11,851,987 |
| Cie Generale des Etablissements Michelin SCA‡‡ | 3,446 | | 359,187 |
| Credit Agricole SA* | 18,152 | | 172,366 |
| Danone SA* | 1,134 | | 78,715 |
| Dassault Aviation SA* | 93 | | 85,327 |
| Engie SA‡‡* | 322,239 | | 3,996,388 |
| EssilorLuxottica SA* | 34,067 | | 4,381,305 |
| Eutelsat Communications SA | 43,573 | | 403,065 |
| Faurecia SE* | 2,273 | | 89,303 |
| Gecina SA REIT | 674 | | 83,244 |
| Hermes International | 11,641 | | 9,773,876 |
| Ingenico Group* | 964 | | 154,890 |
| Ipsen SA | 1,738 | | 147,437 |
| L’Oreal SAΔ* | 40,086 | | 12,937,628 |
| Orange SA‡‡ | 70,885 | | 847,641 |
| Peugeot SA‡‡* | 205,337 | | 3,367,350 |
| Publicis Groupe SA‡‡ | 113,782 | | 3,696,211 |
| Rexel SA | 32,808 | | 376,017 |
| Sanofi‡‡ | 125,597 | | 12,808,972 |
| Schneider Electric SE‡‡ | 156,520 | | 17,410,776 |
| Societe BIC SA | 6,478 | | 329,853 |
| Societe Generale SA* | 223,072 | | 3,729,696 |
| Sodexo SA | 2,161 | | 146,533 |
| Sopra Steria Group | 1,107 | | 136,947 |
| TOTAL SA‡‡ | 41,808 | | 1,612,051 |
| Valeo SA | 101,361 | | 2,673,434 |
| | | | | 116,999,905 |
| Germany — 8.8% | | |
| Allianz SE | 64,054 | | 13,088,954 |
| Aurubis AG | 15,014 | | 928,149 |
| BASF SE | 2,604 | | 146,265 |
| Bayerische Motoren Werke AG | 81,698 | | 5,215,658 |
| Beiersdorf AG | 90,254 | | 10,263,168 |
| Brenntag AG | 3,610 | | 191,403 |
| Continental AG* | 146,962 | | 14,448,031 |
| Covestro AG 144A* | 11,209 | | 426,931 |
| Daimler AG* | 145,553 | | 5,921,661 |
| Deutsche Boerse AG | 43,680 | | 7,905,066 |
| Deutsche Post AG* | 2,631 | | 96,610 |
| Deutsche Telekom AG | 201,246 | | 3,376,755 |
| Deutsche Wohnen SE | 6,238 | | 280,309 |
| Evonik Industries AG | 217,652 | | 5,543,601 |
| Fresenius Medical Care AG & Co. KGaA‡‡* | 37,720 | | 3,245,047 |
| Fresenius SE & Co. KGaA‡‡* | 5,433 | | 270,036 |
| HeidelbergCement AG‡‡ | 17,615 | | 942,962 |
| HelloFresh SE* | 15,626 | | 835,912 |
| | | Shares | | Value |
| Henkel AG & Co. KGaA | 8,400 | | $ 702,747 |
| HOCHTIEF AG | 8,038 | | 715,216 |
| HUGO BOSS AG | 22,989 | | 696,701 |
| Infineon Technologies AG‡‡ | 14,193 | | 332,573 |
| KION Group AG* | 5,202 | | 320,287 |
| MorphoSys AG* | 752 | | 95,344 |
| ProSiebenSat.1 Media SE‡‡* | 13,252 | | 158,364 |
| Rheinmetall AG‡‡ | 15,774 | | 1,370,718 |
| SAP SE | 121,583 | | 16,996,030 |
| Siemens AG | 6,546 | | 772,017 |
| Siemens Healthineers AG 144A | 10,881 | | 523,030 |
| Software AG‡‡ | 49,388 | | 1,994,795 |
| thyssenkrupp AG* | 290,088 | | 2,069,569 |
| Uniper SE | 2,606 | | 84,093 |
| Vonovia SE | 8,154 | | 498,398 |
| Wirecard AG | 5,959 | | 44,216 |
| | | | | 100,500,616 |
| Hong Kong — 4.1% | | |
| AIA Group, Ltd. | 1,837,000 | | 17,189,921 |
| ASM Pacific Technology, Ltd. | 6,100 | | 64,465 |
| China Mobile, Ltd. | 997,500 | | 6,735,180 |
| CK Asset Holdings, Ltd. | 176,500 | | 1,058,434 |
| CK Hutchison Holdings, Ltd. | 1,620,500 | | 10,493,689 |
| CK Infrastructure Holdings, Ltd.‡‡ | 11,000 | | 56,862 |
| Hong Kong Exchanges and Clearing, Ltd.‡‡ | 14,700 | | 626,098 |
| Kerry Properties, Ltd. | 444,500 | | 1,154,648 |
| Link REIT‡‡ | 41,000 | | 336,617 |
| PCCW, Ltd.‡‡ | 62,000 | | 35,449 |
| Sun Hung Kai Properties, Ltd. | 9,000 | | 114,977 |
| WH Group, Ltd. 144A | 10,739,825 | | 9,281,298 |
| Yue Yuen Industrial Holdings, Ltd. | 204,500 | | 311,713 |
| | | | | 47,459,351 |
| India — 1.4% | | |
| Axis Bank, Ltd. | 300,518 | | 1,625,733 |
| HDFC Bank, Ltd. ADR | 93,585 | | 4,254,374 |
| Tata Consultancy Services, Ltd. | 359,596 | | 9,898,788 |
| | | | | 15,778,895 |
| Indonesia — 0.1% | | |
| PT Bank Mandiri Persero Tbk | 3,905,400 | | 1,356,072 |
| Ireland — 1.6% | | |
| Accenture PLC Class A | 36,422 | | 7,820,532 |
| ICON PLC* | 18,678 | | 3,146,496 |
| Ryanair Holdings PLC ADR* | 45,210 | | 2,999,231 |
| STERIS PLC | 27,476 | | 4,215,918 |
| | | | | 18,182,177 |
| Italy — 2.2% | | |
| A2A SpA‡‡ | 1,133,163 | | 1,610,719 |
| Banca Generali SpA‡‡* | 21,610 | | 649,784 |
| Banco BPM SpA* | 1,161,574 | | 1,739,823 |
| BPER Banca‡‡* | 88,914 | | 222,277 |
| Buzzi Unicem SpA | 6,357 | | 137,360 |
| DiaSorin SpA | 833 | | 159,974 |
| Enel SpA‡‡ | 1,049,304 | | 9,074,851 |
See Notes to Financial Statements.
| | | Shares | | Value |
| Eni SpA‡‡ | 586,261 | | $ 5,619,907 |
| Intesa Sanpaolo SpA* | 3,148,437 | | 6,050,323 |
| Leonardo SpA‡‡ | 46,335 | | 308,885 |
| Unipol Gruppo SpA‡‡* | 47,464 | | 185,418 |
| | | | | 25,759,321 |
| Japan — 16.9% | | |
| ABC-Mart, Inc. | 1,300 | | 76,262 |
| AEON Financial Service Co., Ltd. | 18,500 | | 202,905 |
| Aisin Seiki Co., Ltd. | 5,500 | | 161,216 |
| Alfresa Holdings Corporation | 23,300 | | 488,400 |
| Alps Alpine Co., Ltd. | 41,100 | | 529,748 |
| Amada Co., Ltd. | 10,800 | | 88,429 |
| Aozora Bank, Ltd. | 3,000 | | 52,311 |
| Astellas Pharma, Inc. | 107,400 | | 1,793,533 |
| Azbil Corporation | 4,700 | | 143,653 |
| Brother Industries, Ltd.‡‡ | 70,500 | | 1,273,730 |
| Calbee, Inc. | 16,600 | | 458,818 |
| Capcom Co., Ltd. | 1,600 | | 58,566 |
| Casio Computer Co., Ltd. | 5,400 | | 94,206 |
| Coca-Cola Bottlers Japan Holdings, Inc. | 283,300 | | 5,138,075 |
| Credit Saison Co., Ltd. | 7,500 | | 86,176 |
| Dai Nippon Printing Co., Ltd. | 2,700 | | 62,074 |
| Daicel Corporation | 11,700 | | 90,679 |
| Daikin Industries, Ltd. | 83,800 | | 13,558,842 |
| Daito Trust Construction Co., Ltd.‡‡ | 1,000 | | 92,161 |
| Daiwa House Industry Co., Ltd.‡‡ | 9,100 | | 214,896 |
| Disco Corporation | 400 | | 97,556 |
| Electric Power Development Co., Ltd. | 2,800 | | 53,078 |
| FUJIFILM Holdings Corporation | 183,700 | | 7,862,675 |
| Fujitsu, Ltd.‡‡ | 59,100 | | 6,919,626 |
| GMO Payment Gateway, Inc. | 500 | | 52,297 |
| GungHo Online Entertainment, Inc. | 18,450 | | 329,873 |
| Hakuhodo DY Holdings, Inc. | 4,700 | | 56,094 |
| Haseko Corporation‡‡ | 76,600 | | 967,173 |
| Hitachi, Ltd.‡‡ | 38,700 | | 1,230,073 |
| Honda Motor Co., Ltd. | 322,100 | | 8,243,721 |
| Hoshizaki Corporation | 1,000 | | 85,711 |
| Hoya Corporation‡‡ | 180,000 | | 17,236,619 |
| Isuzu Motors, Ltd. | 306,200 | | 2,782,545 |
| Izumi Co., Ltd. | 2,900 | | 91,929 |
| Japan Post Insurance Co., Ltd. | 46,100 | | 607,431 |
| Japan Real Estate Investment Corporation REIT | 18 | | 92,378 |
| Japan Retail Fund Investment Corporation REIT | 50 | | 62,539 |
| JGC Holdings Corporation | 33,400 | | 352,201 |
| Kajima Corporation | 20,000 | | 239,137 |
| Kaken Pharmaceutical Co., Ltd. | 3,700 | | 189,481 |
| Kamigumi Co., Ltd. | 27,200 | | 534,929 |
| KDDI Corporation | 19,400 | | 578,841 |
| Keyence Corporation | 14,900 | | 6,244,017 |
| Kinden Corporation | 24,600 | | 406,562 |
| Koito Manufacturing Co., Ltd. | 15,600 | | 631,170 |
| Komatsu, Ltd. | 103,500 | | 2,119,735 |
| K's Holdings Corporation | 10,700 | | 146,163 |
| Kyocera Corporation | 158,900 | | 8,673,489 |
| | | Shares | | Value |
| Kyushu Railway Co. | 9,800 | | $ 254,641 |
| Lion Corporation | 4,200 | | 101,017 |
| Mabuchi Motor Co., Ltd. | 25,200 | | 804,173 |
| Marubeni Corporation | 126,900 | | 576,431 |
| Mebuki Financial Group, Inc. | 136,200 | | 317,272 |
| Medipal Holdings Corporation | 5,500 | | 106,153 |
| MINEBEA MITSUMI, Inc. | 22,000 | | 401,008 |
| Mitsubishi Electric Corporation | 452,400 | | 5,908,918 |
| Mitsubishi Estate Co., Ltd.‡‡ | 22,000 | | 327,840 |
| Mitsubishi Gas Chemical Co., Inc. | 26,300 | | 400,008 |
| Mitsubishi Heavy Industries, Ltd. | 6,000 | | 141,661 |
| Mitsubishi UFJ Financial Group, Inc. | 15,400 | | 60,607 |
| Mitsui Fudosan Co., Ltd.‡‡ | 16,000 | | 284,236 |
| MS&AD Insurance Group Holdings, Inc. | 13,000 | | 358,003 |
| Murata Manufacturing Co., Ltd. | 12,500 | | 736,856 |
| Nabtesco Corporation | 1,900 | | 58,800 |
| Nexon Co., Ltd. | 2,900 | | 65,414 |
| NGK Spark Plug Co., Ltd. | 5,900 | | 84,800 |
| NH Foods, Ltd. | 1,500 | | 60,361 |
| Nifco, Inc. | 8,000 | | 171,146 |
| Nikon Corporation | 92,500 | | 776,845 |
| Nintendo Co., Ltd.‡‡ | 5,200 | | 2,324,758 |
| Nippon Building Fund, Inc. REIT | 16 | | 91,123 |
| Nippon Express Co., Ltd. | 11,100 | | 575,574 |
| Nippon Telegraph & Telephone Corporation | 226,500 | | 5,277,326 |
| Nitto Denko Corporation‡‡ | 20,400 | | 1,156,479 |
| Nomura Holdings, Inc. | 79,200 | | 355,892 |
| Nomura Research Institute, Ltd. | 2,400 | | 65,551 |
| NS Solutions Corporation | 7,000 | | 191,490 |
| NTT DOCOMO, Inc. | 18,100 | | 480,519 |
| Obayashi Corporation | 111,000 | | 1,043,563 |
| Olympus Corporation | 724,200 | | 13,942,657 |
| Ono Pharmaceutical Co., Ltd. | 3,900 | | 113,827 |
| ORIX Corporation‡‡ | 87,200 | | 1,082,785 |
| Otsuka Corporation | 6,600 | | 348,583 |
| Otsuka Holdings Co., Ltd.Δ | 164,900 | | 7,186,664 |
| Panasonic Corporation | 58,700 | | 514,743 |
| Pola Orbis Holdings, Inc. | 34,700 | | 605,812 |
| Resona Holdings, Inc.‡‡ | 318,800 | | 1,090,900 |
| Ricoh Co., Ltd. | 47,700 | | 342,275 |
| Rohm Co., Ltd. | 7,900 | | 525,282 |
| Rohto Pharmaceutical Co., Ltd. | 8,200 | | 260,475 |
| Ryohin Keikaku Co., Ltd. | 33,500 | | 476,489 |
| Sankyu, Inc. | 7,100 | | 267,604 |
| SCSK Corporation | 3,200 | | 156,559 |
| Sekisui Chemical Co., Ltd. | 370,200 | | 5,304,127 |
| Shimamura Co., Ltd. | 8,300 | | 562,176 |
| Shimizu Corporation | 86,700 | | 714,242 |
| Shinsei Bank, Ltd. | 68,200 | | 824,893 |
| Shionogi & Co., Ltd.‡‡ | 20,400 | | 1,279,761 |
| Showa Denko KK | 23,100 | | 521,400 |
| Sojitz Corporation‡‡ | 390,700 | | 853,946 |
| Sony Corporation‡‡ | 78,700 | | 5,432,675 |
| Square Enix Holdings Co., Ltd. | 3,000 | | 151,992 |
| SUMCO Corporation | 22,700 | | 348,993 |
See Notes to Financial Statements.
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | Shares | | Value |
| Sumitomo Corporation | 41,600 | | $ 478,460 |
| Sumitomo Dainippon Pharma Co., Ltd.‡‡ | 55,200 | | 764,940 |
| Sumitomo Electric Industries, Ltd. | 12,000 | | 138,428 |
| Sumitomo Mitsui Financial Group, Inc. | 12,400 | | 349,950 |
| Sumitomo Mitsui Trust Holdings, Inc. | 2,000 | | 56,361 |
| Sumitomo Realty & Development Co., Ltd.‡‡ | 6,000 | | 165,616 |
| Sundrug Co., Ltd. | 12,800 | | 423,625 |
| Suzuken Co., Ltd. | 13,600 | | 508,092 |
| Sysmex Corporation | 6,600 | | 506,627 |
| Taiheiyo Cement Corporation | 29,600 | | 687,731 |
| Taisei Corporation | 13,000 | | 473,799 |
| Takeda Pharmaceutical Co., Ltd. | 235,500 | | 8,461,036 |
| TDK Corporation | 1,200 | | 119,462 |
| Teijin, Ltd. | 17,000 | | 270,668 |
| Terumo Corporation | 189,000 | | 7,193,865 |
| TIS, Inc. | 6,100 | | 129,153 |
| Tokio Marine Holdings, Inc. | 130,400 | | 5,708,003 |
| Tokyo Electric Power Co. Holdings, Inc.* | 37,700 | | 115,972 |
| Tokyo Electron, Ltd.‡‡ | 5,100 | | 1,258,393 |
| Toshiba Corporation | 20,100 | | 644,804 |
| Tosoh Corporation | 20,700 | | 284,354 |
| Toyo Seikan Group Holdings, Ltd. | 17,500 | | 197,352 |
| Toyoda Gosei Co., Ltd. | 2,800 | | 58,502 |
| Toyota Boshoku Corporation | 17,100 | | 230,594 |
| Toyota Industries Corporation | 88,300 | | 4,693,382 |
| Toyota Motor Corporation | 24,500 | | 1,540,660 |
| Yamaguchi Financial Group, Inc. | 46,600 | | 286,365 |
| Yokohama Rubber Co., Ltd. (The) | 7,000 | | 98,980 |
| | | | | 193,864,222 |
| Jersey — 3.3% | | |
| boohoo Group PLC* | 101,205 | | 518,263 |
| Experian PLC | 621,158 | | 21,801,936 |
| Ferguson PLC | 15,747 | | 1,287,578 |
| Glencore PLC* | 3,164,986 | | 6,742,071 |
| Man Group PLC‡‡ | 580,501 | | 939,817 |
| WPP PLC | 891,840 | | 6,953,068 |
| | | | | 38,242,733 |
| Mexico — 0.3% | | |
| Grupo Televisa SAB SA ADR* | 192,300 | | 1,007,652 |
| Wal-Mart de Mexico SAB de CV | 1,248,200 | | 2,985,210 |
| | | | | 3,992,862 |
| Netherlands — 2.9% | | |
| Aegon NV | 20,722 | | 61,254 |
| ASM International NV | 16,414 | | 2,526,881 |
| ASML Holding NV | 6,084 | | 2,225,608 |
| ASML Holding NV (NASDAQ Exchange) | 17,323 | | 6,375,384 |
| ASR Nederland NV | 30,284 | | 931,759 |
| CNH Industrial NV* | 678,747 | | 4,768,611 |
| EXOR NV | 56,423 | | 3,238,526 |
| Ferrari NV | 20,751 | | 3,554,551 |
| Fiat Chrysler Automobiles NV* | 17,836 | | 180,467 |
| | | Shares | | Value |
| ING Groep NV‡‡ | 66,977 | | $ 466,891 |
| Koninklijke Ahold Delhaize NV | 189,849 | | 5,174,158 |
| NN Group NV | 1,714 | | 57,604 |
| Randstad NV | 27,356 | | 1,223,224 |
| Signify NV 144A* | 39,228 | | 1,008,551 |
| STMicroelectronics NV | 7,075 | | 192,852 |
| Wolters Kluwer NV | 12,269 | | 958,279 |
| | | | | 32,944,600 |
| Nigeria — 0.0% | | |
| Afriland Properties PLCΨ†††* | 364,373 | | — |
| Norway — 0.2% | | |
| DNB ASA* | 15,435 | | 206,019 |
| Leroy Seafood Group ASA | 123,404 | | 744,761 |
| Salmar ASA* | 20,859 | | 999,259 |
| Yara International ASA | 25,369 | | 884,422 |
| | | | | 2,834,461 |
| Portugal — 0.5% | | |
| EDP - Energias de Portugal SA | 40,870 | | 195,083 |
| Galp Energia SGPS SA | 459,690 | | 5,332,403 |
| | | | | 5,527,486 |
| Singapore — 2.2% | | |
| Ascendas REIT‡‡ | 158,700 | | 364,123 |
| CapitaLand Commercial Trust REIT | 69,500 | | 85,058 |
| CapitaLand Mall Trust REIT‡‡ | 183,600 | | 260,516 |
| DBS Group Holdings, Ltd. | 401,600 | | 6,042,808 |
| Jardine Matheson Holdings, Ltd. | 88,145 | | 3,685,416 |
| Mapletree Commercial Trust REIT | 136,500 | | 190,992 |
| Singapore Exchange, Ltd.‡‡ | 13,600 | | 81,840 |
| Singapore Telecommunications, Ltd. | 1,912,700 | | 3,402,498 |
| Suntec REIT | 260,300 | | 265,909 |
| United Overseas Bank, Ltd. | 580,177 | | 8,477,470 |
| Venture Corporation, Ltd. | 35,000 | | 409,035 |
| Wilmar International, Ltd. | 61,200 | | 181,016 |
| Yangzijiang Shipbuilding Holdings, Ltd. | 2,274,000 | | 1,530,842 |
| | | | | 24,977,523 |
| South Africa — 0.3% | | |
| Naspers, Ltd. N Shares | 16,652 | | 3,060,311 |
| South Korea — 0.3% | | |
| NAVER Corporation | 9,835 | | 2,212,710 |
| Samsung Electronics Co., Ltd. | 20,300 | | 898,633 |
| | | | | 3,111,343 |
| Spain — 2.0% | | |
| Amadeus IT Group SA | 231,142 | | 12,135,456 |
| Banco Bilbao Vizcaya Argentaria SA | 57,365 | | 197,506 |
| Banco Santander SA | 2,509,723 | | 6,139,941 |
| Bankia SA | 346,844 | | 370,820 |
| CaixaBank SA | 38,192 | | 81,704 |
| Enagas SA | 34,317 | | 839,516 |
| Endesa SA‡‡ | 68,487 | | 1,698,905 |
| Iberdrola SA | 66,003 | | 770,564 |
| Naturgy Energy Group SA | 24,216 | | 452,087 |
See Notes to Financial Statements.
| | | Shares | | Value |
| Repsol SA | 19,399 | | $ 171,409 |
| | | | | 22,857,908 |
| Sweden — 2.6% | | |
| Alfa Laval AB* | 4,102 | | 90,491 |
| Assa Abloy AB, B Shares | 7,588 | | 155,307 |
| Atlas Copco AB, A Shares | 109,496 | | 4,662,936 |
| Atlas Copco AB, B Shares | 6,930 | | 257,505 |
| Essity AB, B Shares* | 38,595 | | 1,251,304 |
| Getinge AB, B Shares | 127,617 | | 2,378,063 |
| Hennes & Mauritz AB, B SharesΔ | 218,788 | | 3,193,494 |
| Investor AB, B Shares‡‡ | 8,150 | | 432,340 |
| Sandvik AB* | 28,332 | | 533,371 |
| SKF AB, B Shares | 129,031 | | 2,412,045 |
| Swedbank AB, A Shares* | 40,550 | | 520,698 |
| Swedish Orphan Biovitrum AB* | 44,286 | | 1,026,844 |
| Telefonaktiebolaget LM Ericsson, B Shares | 161,875 | | 1,500,510 |
| Telia Co. AB | 2,134,260 | | 7,984,696 |
| Trelleborg AB, B Shares* | 28,467 | | 417,661 |
| Volvo AB, B Shares* | 183,984 | | 2,894,969 |
| | | | | 29,712,234 |
| Switzerland — 9.6% | | |
| ABB, Ltd.Δ | 343,278 | | 7,786,553 |
| Adecco Group AG‡‡ | 31,116 | | 1,466,671 |
| Alcon, Inc.* | 90,681 | | 5,210,460 |
| BKW AG | 583 | | 52,342 |
| Cie Financiere Richemont SA | 28,617 | | 1,845,806 |
| Coca-Cola HBC AG* | 18,769 | | 469,846 |
| Credit Suisse Group AG | 624,042 | | 6,493,077 |
| dormakaba Holding AG* | 161 | | 87,923 |
| Geberit AG | 382 | | 191,663 |
| Helvetia Holding AG | 1,546 | | 144,814 |
| Kuehne + Nagel International AG* | 2,745 | | 457,231 |
| LafargeHolcim, Ltd. (Swiss Exchange)* | 43,311 | | 1,908,111 |
| Logitech International SA | 15,794 | | 1,034,972 |
| Nestle SA‡‡ | 212,644 | | 23,575,973 |
| Novartis AG‡‡ | 207,278 | | 18,058,281 |
| OC Oerlikon Corporation AG | 20,297 | | 166,501 |
| Roche Holding AG | 58,890 | | 20,402,413 |
| Schindler Holding AG | 380 | | 89,930 |
| Sika AG | 54,551 | | 10,515,931 |
| Sonova Holding AG‡‡* | 6,094 | | 1,219,940 |
| Sulzer AG | 1,757 | | 140,910 |
| Swatch Group AG (The) | 9,277 | | 1,862,003 |
| UBS Group AG | 420,980 | | 4,861,925 |
| Zurich Insurance Group AG | 6,977 | | 2,472,164 |
| | | | | 110,515,440 |
| Taiwan — 2.2% | | |
| Taiwan Semiconductor Manufacturing Co., Ltd. | 28,000 | | 299,027 |
| Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 433,741 | | 24,623,476 |
| | | | | 24,922,503 |
| Turkey — 0.0% | | |
| Yapi ve Kredi Bankasi AS* | 1 | | — |
| | | Shares | | Value |
| United Kingdom — 11.1% | | |
| 3i Group PLC‡‡ | 15,222 | | $ 156,741 |
| Aggreko PLC | 128,307 | | 705,619 |
| Anglo American PLC | 35,087 | | 808,868 |
| Ashmore Group PLC | 11,929 | | 61,595 |
| Ashtead Group PLC | 71,026 | | 2,395,924 |
| Associated British Foods PLC | 2,401 | | 56,770 |
| Avast PLC 144A | 31,162 | | 203,671 |
| Aviva PLC‡‡ | 758,717 | | 2,571,578 |
| Babcock International Group PLC | 16,936 | | 64,908 |
| BAE Systems PLC | 68,341 | | 408,642 |
| Barclays PLC‡‡ | 988,412 | | 1,394,450 |
| Barratt Developments PLC | 37,331 | | 229,442 |
| Bellway PLC | 28,163 | | 887,029 |
| Berkeley Group Holdings PLC | 14,216 | | 732,127 |
| BHP Group PLC‡‡ | 40,614 | | 831,087 |
| BP PLC | 1,659,476 | | 6,357,525 |
| Britvic PLC | 12,806 | | 121,951 |
| BT Group PLC‡‡ | 1,962,390 | | 2,775,311 |
| Bunzl PLC | 56,200 | | 1,507,458 |
| Carnival PLC | 39,983 | | 489,089 |
| Centrica PLC | 106,605 | | 50,653 |
| Compass Group PLC | 543,291 | | 7,474,846 |
| ConvaTec Group PLC 144A | 44,048 | | 106,380 |
| Dialog Semiconductor PLC‡‡* | 31,972 | | 1,461,397 |
| Dunelm Group PLC | 34,157 | | 503,215 |
| Evraz PLC | 133,471 | | 472,899 |
| G4S PLCΔ | 1,159,999 | | 1,641,057 |
| GlaxoSmithKline PLC | 486,433 | | 9,825,797 |
| Hays PLC | 152,882 | | 226,387 |
| Hikma Pharmaceuticals PLC | 12,579 | | 345,182 |
| Howden Joinery Group PLC | 20,017 | | 137,040 |
| Inchcape PLC‡‡ | 126,888 | | 771,124 |
| Investec PLC | 150,655 | | 302,301 |
| JD Sports Fashion PLC | 20,763 | | 159,806 |
| Jupiter Fund Management PLC | 3,968 | | 12,582 |
| Kingfisher PLC | 2,738,029 | | 7,532,831 |
| Liberty Global PLC Class A* | 111,800 | | 2,443,948 |
| Lloyds Banking Group PLC‡‡ | 32,299,578 | | 12,459,902 |
| London Stock Exchange Group PLC | 3,641 | | 378,647 |
| M&G PLC | 493,538 | | 1,024,804 |
| Marks & Spencer Group PLC | 717,391 | | 879,714 |
| Meggitt PLC | 59,046 | | 215,067 |
| Micro Focus International PLC | 124,744 | | 665,515 |
| Moneysupermarket.com Group PLC | 328,599 | | 1,318,142 |
| National Grid PLC | 33,812 | | 412,520 |
| Next PLC | 4,845 | | 293,340 |
| Ninety One PLC* | 31,780 | | 81,626 |
| Persimmon PLC* | 22,147 | | 626,795 |
| Prudential PLC | 172,500 | | 2,599,242 |
| Reckitt Benckiser Group PLC | 3,010 | | 276,915 |
| Rio Tinto PLC‡‡ | 26,481 | | 1,490,259 |
| Rolls-Royce Holdings PLC* | 1,214,287 | | 4,287,178 |
| Royal Bank of Scotland Group PLC | 1,342,650 | | 2,015,646 |
| Royal Dutch Shell PLC, A Shares‡‡ | 40,284 | | 644,998 |
| Royal Dutch Shell PLC, B Shares‡‡ | 580,954 | | 8,807,433 |
| Royal Mail PLC | 523,193 | | 1,179,181 |
See Notes to Financial Statements.
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | Shares | | Value |
| RSA Insurance Group PLC | 17,082 | | $ 86,511 |
| Sage Group PLC (The) | 14,651 | | 121,617 |
| Schroders PLC | 52,418 | | 1,913,136 |
| Smith & Nephew PLC‡‡ | 283,234 | | 5,277,680 |
| Smiths Group PLC | 74,596 | | 1,304,081 |
| SSE PLC | 579,517 | | 9,813,031 |
| Standard Chartered PLC | 46,029 | | 249,514 |
| Tate & Lyle PLC | 117,171 | | 968,621 |
| Taylor Wimpey PLC | 273,132 | | 482,080 |
| Tesco PLC | 2,769,151 | | 7,788,692 |
| Travis Perkins PLC | 150,525 | | 2,098,618 |
| Unilever PLC | 9,197 | | 496,096 |
| WH Smith PLC | 13,712 | | 186,680 |
| Wm Morrison Supermarkets PLC | 56,918 | | 134,084 |
| | | | | 126,804,595 |
Total Foreign Common Stocks
(Cost $1,084,600,438) | | 1,063,189,728 |
| FOREIGN PREFERRED STOCKS — 0.2% |
| Germany — 0.2% | | |
| Bayerische MotorenWerke AG | | | | |
| 5.66%◊ | 6,212 | | 301,761 |
| Henkel AG & Co. KGaA | | | | |
| 2.20%◊ | 5,950 | | 555,098 |
| Porsche Automobil Holding SE | | | | |
| 5.86%‡‡◊ | 2,638 | | 152,790 |
| Volkswagen AG | | | | |
| 4.79%‡‡◊* | 9,018 | | 1,370,737 |
| | | | | 2,380,386 |
Total Foreign Preferred Stocks
(Cost $2,989,068) | | 2,380,386 |
| MONEY MARKET FUNDS — 7.1% |
GuideStone Money Market Fund, 0.16%
(Institutional Class)Ø∞ | 72,442,108 | | 72,442,108 |
| Northern Institutional Liquid Assets Portfolio (Shares), 0.33%ا | 8,859,040 | | 8,859,040 |
Total Money Market Funds
(Cost $81,301,148) | | 81,301,148 |
TOTAL INVESTMENTS — 102.9%
(Cost $1,190,849,388) | | | 1,179,578,945 |
| FOREIGN COMMON STOCKS SOLD SHORT — (4.3)% |
| Australia — (0.3)% | | |
| Alumina, Ltd. | (326,697) | | (372,366) |
| APA Group | (10,967) | | (84,800) |
| Domino’s Pizza Enterprises, Ltd. | (16,984) | | (814,195) |
| Qube Holdings, Ltd. | (300,116) | | (608,824) |
| SEEK, Ltd. | (26,873) | | (411,127) |
| Seven Group Holdings, Ltd. | (65,809) | | (791,538) |
| Sydney Airport | (33,064) | | (130,490) |
| TPG Corporation, Ltd. | (7,799) | | (48,486) |
| Transurban Group | (5,749) | | (56,379) |
| Tuas, Ltd.* | (3,899) | | (1,837) |
| | | | | (3,320,042) |
| | | Shares | | Value |
| Denmark — (0.3)% | | |
| Ambu A/S Class B | (11,726) | | $ (370,686) |
| Chr. Hansen Holding A/S | (5,531) | | (570,497) |
| Demant A/S* | (2,005) | | (53,135) |
| DSV Panalpina A/S | (18,926) | | (2,324,775) |
| ISS A/S* | (11,117) | | (176,521) |
| Orsted A/S 144A | (1,125) | | (129,827) |
| Vestas Wind Systems A/S | (1,316) | | (134,762) |
| | | | | (3,760,203) |
| Finland — (0.0)% | | |
| Nokian Renkaat OYJ | (11,921) | | (262,040) |
| France — (0.1)% | | |
| Air France-KLM* | (11,858) | | (53,860) |
| Renault SA* | (27,243) | | (697,247) |
| | | | | (751,107) |
| Germany — (0.4)% | | |
| CTS Eventim AG & Co. KGaA* | (13,339) | | (556,984) |
| Delivery Hero SE 144A* | (3,402) | | (349,614) |
| Deutsche Bank AG* | (195,708) | | (1,867,074) |
| Evotec SE* | (12,705) | | (346,774) |
| MTU Aero Engines AG* | (1,357) | | (236,254) |
| United Internet AG | (15,830) | | (672,570) |
| Zalando SE 144A* | (4,905) | | (347,964) |
| | | | | (4,377,234) |
| Ireland — (0.2)% | | |
| James Hardie Industries PLC CDI | (117,818) | | (2,270,189) |
| Italy — (0.0)% | | |
| Atlantia SpA* | (7,255) | | (117,352) |
| Mediobanca Banca di Credito Finanziario SpA | (38,418) | | (277,428) |
| Tenaris SA | (18,779) | | (122,037) |
| | | | | (516,817) |
| Japan — (0.7)% | | |
| ANA Holdings, Inc.* | (6,000) | | (137,118) |
| Coca-Cola Bottlers Japan Holdings, Inc. | (11,200) | | (203,129) |
| CyberAgent, Inc. | (15,900) | | (781,543) |
| Japan Airport Terminal Co., Ltd. | (27,600) | | (1,177,747) |
| JFE Holdings, Inc. | (12,000) | | (86,754) |
| Keio Corporation | (1,100) | | (62,953) |
| Kobe Bussan Co., Ltd. | (1,600) | | (90,857) |
| M3, Inc. | (16,400) | | (696,691) |
| Mercari, Inc.* | (17,800) | | (552,711) |
| MonotaRO Co., Ltd. | (10,500) | | (421,873) |
| Nippon Paint Holdings Co., Ltd. | (28,400) | | (2,071,406) |
| Odakyu Electric Railway Co., Ltd. | (4,200) | | (103,143) |
| Rakuten, Inc. | (9,600) | | (84,797) |
| Suzuki Motor Corporation | (24,200) | | (826,336) |
| Yaskawa Electric Corporation | (9,400) | | (326,773) |
| | | | | (7,623,831) |
| Netherlands — (0.6)% | | |
| Airbus SE* | (17,815) | | (1,276,513) |
| Altice Europe NV* | (226,760) | | (877,002) |
See Notes to Financial Statements.
| | | Shares | | Value |
| Boskalis Westminster* | (31,652) | | $ (625,026) |
| Just Eat Takeaway.com NV 144A* | (2,650) | | (276,991) |
| Koninklijke Vopak NV | (1,335) | | (70,614) |
| OCI NV* | (75,120) | | (789,094) |
| SBM Offshore NV | (73,024) | | (1,076,047) |
| Unibail-Rodamco-Westfield REIT | (33,054) | | (1,863,149) |
| | | | | (6,854,436) |
| Norway — (0.0)% | | |
| Equinor ASA | (3,978) | | (57,306) |
| Norsk Hydro ASA* | (18,881) | | (52,676) |
| Subsea 7 SA* | (16,025) | | (102,190) |
| | | | | (212,172) |
| Papua New Guinea — (0.1)% | | |
| Oil Search, Ltd. | (458,745) | | (1,016,653) |
| Singapore — (0.0)% | | |
| Keppel Corporation, Ltd. | (15,600) | | (67,188) |
| Spain — (0.1)% | | |
| Amadeus IT Group SA | (1,600) | | (84,003) |
| Cellnex Telecom SA 144A* | (19,917) | | (1,216,486) |
| | | | | (1,300,489) |
| Sweden — (0.2)% | | |
| Elekta AB, B Shares | (14,549) | | (135,529) |
| Millicom International Cellular SA SDR* | (58,794) | | (1,547,773) |
| Saab AB, B Shares* | (20,259) | | (509,196) |
| SSAB AB, A Shares* | (72,244) | | (200,074) |
| | | | | (2,392,572) |
| Switzerland — (0.4)% | | |
| Dufry AG* | (48,299) | | (1,446,725) |
| Idorsia, Ltd.* | (2,846) | | (91,475) |
| Sika AG | (1,832) | | (353,159) |
| Swiss Re AG | (6,430) | | (498,547) |
| Temenos AG | (10,458) | | (1,625,424) |
| | | | | (4,015,330) |
| United Kingdom — (0.9)% | | |
| ASOS PLC* | (6,281) | | (266,958) |
| Burberry Group PLC | (29,212) | | (577,232) |
| Capita PLC* | (489,207) | | (267,609) |
| Croda International PLC | (2,812) | | (182,642) |
| DS Smith PLC | (29,904) | | (121,394) |
| easyJet PLC | (29,190) | | (246,431) |
| Hargreaves Lansdown PLC | (12,732) | | (256,755) |
| Hiscox, Ltd. | (15,953) | | (155,713) |
| InterContinental Hotels Group PLC | (16,230) | | (716,476) |
| Intermediate Capital Group PLC | (16,573) | | (264,403) |
| John Wood Group PLC | (190,197) | | (456,051) |
| Johnson Matthey PLC | (7,381) | | (192,230) |
| Ocado Group PLC* | (107,944) | | (2,712,672) |
| Prudential PLC | (13,373) | | (201,505) |
| Rolls-Royce Holdings PLC* | (332,036) | | (1,172,291) |
| Severn Trent PLC | (5,086) | | (155,651) |
| Spirax-Sarco Engineering PLC | (2,484) | | (305,805) |
| St. James’s Place PLC | (85,168) | | (1,001,445) |
| Tesco PLC | (25,722) | | (72,347) |
| | | Shares | | Value |
| Virgin Money UK PLC* | (362,101) | | $ (411,480) |
| Weir Group PLC (The) | (37,555) | | (493,520) |
| Whitbread PLC | (3,644) | | (100,256) |
| | | | | (10,330,866) |
Total Foreign Common Stocks Sold Short
(Proceeds $(45,759,296)) | | (49,071,169) |
| FOREIGN PREFERRED STOCKS SOLD SHORT — (0.0)% |
| Germany — (0.0)% | | |
Sartorius AG 0.12%, ◊
(Proceeds $(71,197)) | (369) | | (121,788) |
TOTAL SECURITIES SOLD SHORT — (4.3)%
(Proceeds $(45,830,493)) | | (49,192,957) |
Other Assets in Excess of
Liabilities — 1.4% | | | 15,825,399 |
| NET ASSETS — 100.0% | | | $1,146,211,387 |
PORTFOLIO SUMMARY (based on net assets)
| | % |
| Industrials | 15.9 |
| Health Care | 15.6 |
| Financials | 13.4 |
| Information Technology | 13.1 |
| Consumer Discretionary | 13.0 |
| Consumer Staples | 7.5 |
| Money Market Funds | 7.1 |
| Communication Services | 5.9 |
| Materials | 5.4 |
| Energy | 2.9 |
| Utilities | 2.6 |
| Real Estate | 0.5 |
| Foreign Preferred Stocks Sold Short | — |
| Foreign Common Stocks Sold Short | (4.3) |
| | 98.6 |
See Notes to Financial Statements.
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Futures Contracts outstanding at June 30, 2020:
| Future Type | | Expiration Date | | Open Long
(Short) Contracts | | Notional
Market Value
of Contracts | | Value and
Unrealized
Appreciation
(Depreciation) |
| AEX Index | | 07/2020 | | 55 | | $ 6,915,199 | | $ (25,479) |
| CAC40 10 Euro | | 07/2020 | | 29 | | 1,600,892 | | 2,608 |
| IBEX 35 Index | | 07/2020 | | 10 | | 810,021 | | (19,511) |
| OMX 30 Index | | 07/2020 | | (45) | | (804,675) | | (3,288) |
| MSCI Singapore Index | | 07/2020 | | (39) | | (827,938) | | 6,339 |
| Hang Seng Index | | 07/2020 | | 25 | | 3,910,554 | | (56,038) |
| MSCI EAFE Index E-Mini | | 09/2020 | | 342 | | 30,410,640 | | (55,253) |
| Topix Index® | | 09/2020 | | 138 | | 19,918,778 | | (427,945) |
| ASX SPI 200 Index | | 09/2020 | | (95) | | (9,656,915) | | (110,133) |
| S&P/TSX 60 Index | | 09/2020 | | (45) | | (6,155,348) | | (102,638) |
| DAX Index | | 09/2020 | | 32 | | 11,078,160 | | 27,110 |
| FTSE/MIB Index | | 09/2020 | | 94 | | 10,185,461 | | (87,323) |
| Total Futures Contracts outstanding at June 30, 2020 | | | | | | $67,384,829 | | $(851,551) |
Forward Foreign Currency Contracts outstanding at June 30, 2020:
| Expiration Date | | Currency
Purchased | | Amount
of Currency
Purchased | | Currency
Sold | | Amount
of Currency
Sold | | Counter-
party | | Net Unrealized
Appreciation
(Depreciation) |
| 09/16/20 | | New Zealand Dollars | | 28,331,000 | | U.S. Dollars | | 17,563,733 | | CITI | | $ 716,845 |
| 09/16/20 | | Australian Dollars | | 25,196,749 | | U.S. Dollars | | 16,909,876 | | CITI | | 482,986 |
| 09/16/20 | | U.S. Dollars | | 13,902,934 | | British Pounds | | 11,054,001 | | CITI | | 199,555 |
| 09/16/20 | | Swiss Francs | | 8,837,000 | | U.S. Dollars | | 9,193,979 | | CITI | | 155,288 |
| 09/16/20 | | U.S. Dollars | | 17,084,072 | | Canadian Dollars | | 23,011,875 | | CITI | | 130,966 |
| 09/16/20 | | Japanese Yen | | 2,135,120,000 | | U.S. Dollars | | 19,671,399 | | CITI | | 124,131 |
| 09/16/20 | | U.S. Dollars | | 11,646,960 | | Euro | | 10,255,000 | | CITI | | 105,141 |
| 09/16/20 | | U.S. Dollars | | 14,595,320 | | Japanese Yen | | 1,563,668,000 | | CITI | | 97,944 |
| 09/16/20 | | U.S. Dollars | | 8,326,981 | | Norwegian Kroner | | 79,254,000 | | CITI | | 90,576 |
| 09/16/20 | | Euro | | 6,788,000 | | U.S. Dollars | | 7,600,394 | | CITI | | 39,376 |
| 09/16/20 | | Danish Kroner | | 13,329,000 | | U.S. Dollars | | 1,980,901 | | CITI | | 32,244 |
| 09/16/20 | | British Pounds | | 1,814,000 | | U.S. Dollars | | 2,227,746 | | CITI | | 21,026 |
| 09/16/20 | | Israeli Shekels | | 4,484,000 | | U.S. Dollars | | 1,281,639 | | CITI | | 15,613 |
| 09/16/20 | | U.S. Dollars | | 4,897,971 | | Swiss Francs | | 4,621,000 | | CITI | | 9,099 |
| 09/16/20 | | U.S. Dollars | | 611,901 | | Swedish Kronor | | 5,639,000 | | CITI | | 6,151 |
| 09/16/20 | | Norwegian Kroner | | 5,394,000 | | U.S. Dollars | | 557,175 | | CITI | | 3,392 |
| 09/16/20 | | U.S. Dollars | | 328,330 | | Danish Kroner | | 2,160,000 | | CITI | | 2,095 |
| 09/16/20 | | U.S. Dollars | | 134,345 | | Australian Dollars | | 193,000 | | CITI | | 1,121 |
| 09/16/20 | | U.S. Dollars | | 618,274 | | Singapore Dollars | | 860,500 | | CITI | | 665 |
| 09/16/20 | | Hong Kong Dollars | | 2,821,000 | | U.S. Dollars | | 363,168 | | CITI | | 630 |
| 09/16/20 | | Singapore Dollars | | 292,000 | | U.S. Dollars | | 209,375 | | CITI | | 203 |
| 09/16/20 | | Swedish Kronor | | 188,000 | | U.S. Dollars | | 20,090 | | CITI | | 106 |
| 09/16/20 | | U.S. Dollars | | 13,640 | | Israeli Shekels | | 47,000 | | CITI | | 43 |
| 09/16/20 | | U.S. Dollars | | 55,196 | | Hong Kong Dollars | | 428,000 | | CITI | | — |
| Subtotal Appreciation | | | | | | | | | | $ 2,235,196 |
| 09/16/20 | | Hong Kong Dollars | | 6,072,000 | | U.S. Dollars | | 783,078 | | CITI | | $ (26) |
| 09/16/20 | | U.S. Dollars | | 13,846 | | Israeli Shekels | | 48,000 | | CITI | | (41) |
| 09/16/20 | | U.S. Dollars | | 11,086 | | Euro | | 10,000 | | CITI | | (168) |
| 09/16/20 | | U.S. Dollars | | 3,320,131 | | Japanese Yen | | 358,134,000 | | CITI | | (269) |
| 09/16/20 | | Singapore Dollars | | 459,000 | | U.S. Dollars | | 330,124 | | CITI | | (684) |
| 09/16/20 | | Swiss Francs | | 188,000 | | U.S. Dollars | | 199,856 | | CITI | | (958) |
| 09/16/20 | | Israeli Shekels | | 463,000 | | U.S. Dollars | | 135,055 | | CITI | | (1,106) |
See Notes to Financial Statements.
| Expiration Date | | Currency
Purchased | | Amount
of Currency
Purchased | | Currency
Sold | | Amount
of Currency
Sold | | Counter-
party | | Net Unrealized
Appreciation
(Depreciation) |
| 12/16/20 | | U.S. Dollars | | 1,107,450 | | Swiss Francs | | 1,045,000 | | NT | | $ (1,750) |
| 09/16/20 | | Norwegian Kroner | | 2,842,000 | | U.S. Dollars | | 297,134 | | CITI | | (1,781) |
| 09/16/20 | | U.S. Dollars | | 1,095,650 | | Hong Kong Dollars | | 8,510,013 | | CITI | | (1,811) |
| 09/16/20 | | Danish Kroner | | 5,188,000 | | U.S. Dollars | | 789,722 | | CITI | | (6,153) |
| 09/16/20 | | U.S. Dollars | | 151,337 | | Australian Dollars | | 230,000 | | CITI | | (7,428) |
| 09/16/20 | | U.S. Dollars | | 1,166,747 | | British Pounds | | 948,999 | | CITI | | (9,705) |
| 09/16/20 | | U.S. Dollars | | 737,887 | | Singapore Dollars | | 1,043,500 | | CITI | | (11,067) |
| 09/16/20 | | Swedish Kronor | | 31,442,000 | | U.S. Dollars | | 3,392,076 | | CITI | | (14,526) |
| 09/16/20 | | Canadian Dollars | | 8,567,000 | | U.S. Dollars | | 6,326,209 | | CITI | | (14,803) |
| 09/16/20 | | U.S. Dollars | | 1,019,496 | | Danish Kroner | | 6,858,000 | | CITI | | (16,302) |
| 09/16/20 | | U.S. Dollars | | 2,194,765 | | Swiss Francs | | 2,097,000 | | CITI | | (23,795) |
| 09/16/20 | | British Pounds | | 1,632,000 | | U.S. Dollars | | 2,049,975 | | CITI | | (26,824) |
| 09/16/20 | | Euro | | 8,915,000 | | U.S. Dollars | | 10,079,202 | | CITI | | (45,529) |
| 09/16/20 | | Australian Dollars | | 10,645,251 | | U.S. Dollars | | 7,406,017 | | CITI | | (57,792) |
| 09/16/20 | | U.S. Dollars | | 3,398,007 | | New Zealand Dollars | | 5,380,000 | | CITI | | (73,438) |
| 09/16/20 | | U.S. Dollars | | 12,927,976 | | Canadian Dollars | | 17,758,125 | | CITI | | (154,633) |
| 09/16/20 | | U.S. Dollars | | 5,692,100 | | Swedish Kronor | | 54,574,000 | | CITI | | (170,324) |
| 09/16/20 | | U.S. Dollars | | 7,824,140 | | Norwegian Kroner | | 77,206,000 | | CITI | | (199,428) |
| 09/16/20 | | Japanese Yen | | 5,790,814,000 | | U.S. Dollars | | 53,955,448 | | CITI | | (266,554) |
| Subtotal Depreciation | | | | | | | | | | $(1,106,895) |
| Total Forward Foreign Currency Contracts outstanding at June 30, 2020 | | | | $ 1,128,301 |
Swap Agreements outstanding at June 30, 2020:
| 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 - 0.10% (Monthly) | | MSCI Netherlands Net Return EUR Index | | 9/16/2020 | | GSC | | EUR | | 706,401 | | $ 648 | | $ — | | $ 648 |
| MSCI Sweden Net Return SEK Index | | Financing Index: 1-Month STIBOR - 0.28% (Monthly) | | 9/16/2020 | | GSC | | SEK | | 6,892,007 | | 29,110 | | — | | 29,110 |
| Decreases in total return of Swiss Market Index (At Termination) | | Increases in total return of Swiss Market Index (At Termination) | | 9/18/2020 | | CITI | | CHF | | 3,202,560 | | 2,380 | | — | | 2,380 |
| Subtotal Appreciation | | | | | | | | | | | | $ 32,138 | | $ — | | $ 32,138 |
| Decreases in total return of Hang Seng Index (At Termination) | | Increases in total return of Hang Seng Index (At Termination) | | 7/30/2020 | | JPM | | HKD | | 19,397,600 | | $ (33,765) | | $ — | | $ (33,765) |
| Financing Index: 1-Month EURIBOR - 0.50% (Monthly) | | MSCI Italy Net Return EUR Index | | 9/16/2020 | | GSC | | EUR | | 2,967,281 | | (114,934) | | — | | (114,934) |
| Financing Index: 1-Month EURIBOR - 0.66% (Monthly) | | MSCI Germany Net Return EUR Index | | 9/16/2020 | | GSC | | EUR | | 273,193 | | (12,584) | | — | | (12,584) |
| Financing Index: 1-Month HIBOR - 0.10% (Monthly) | | MSCI Hong Kong Net Return HKD Index | | 9/16/2020 | | GSC | | HKD | | 1,656,400 | | (489) | | — | | (489) |
| Financing Index: 1-Month ICE LIBOR JPY - 0.20% (Monthly) | | MSCI Japan Net Return JPY Index | | 9/16/2020 | | GSC | | JPY | | 41,573,329 | | (12,283) | | — | | (12,283) |
| Subtotal Depreciation | | | | | | | | | | | | $(174,055) | | $ — | | $(174,055) |
| Net Total Return Swaps outstanding at June 30, 2020 | | $(141,917) | | $ — | | $(141,917) |
See Notes to Financial Statements.
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2020, in valuing the Fund’s investments carried at fair value:
| | Total
Value | | Level 1
Quoted Prices | | Level 2
Other Significant
Observable Inputs | | Level 3
Significant
Unobservable Inputs |
| Assets: | | | | | | | |
| Investments in Securities: | | | | | | | |
| Common Stocks: | | | | | | | |
| Consumer Discretionary | $ 20,010,144 | | $ 19,275,105 | | $ 735,039 | | $ — |
| Health Care | 12,624,397 | | 12,624,397 | | — | | — |
| Materials | 73,142 | | — | | 73,142 | | — |
| Total Common Stocks | 32,707,683 | | 31,899,502 | | 808,181 | | — |
| Foreign Common Stocks: | | | | | | | |
| Canada | 30,685,336 | | 30,685,336 | | — | | — |
| China | 16,023,171 | | 1,656,903 | | 14,366,268 | | — |
| India | 15,778,895 | | 4,254,374 | | 11,524,521 | | — |
| Ireland | 18,182,177 | | 18,182,177 | | — | | — |
| Mexico | 3,992,862 | | 3,992,862 | | — | | — |
| Netherlands | 32,944,600 | | 7,333,663 | | 25,610,937 | | — |
| Taiwan | 24,922,503 | | 24,623,476 | | 299,027 | | — |
| United Kingdom | 126,804,595 | | 2,443,948 | | 124,360,647 | | — |
| Other ^^ | 793,855,589 | | — | | 793,855,589 | | —** |
| Total Foreign Common Stocks | 1,063,189,728 | | 93,172,739 | | 970,016,989 | | — |
| Foreign Preferred Stocks | 2,380,386 | | — | | 2,380,386 | | — |
| Money Market Funds | 81,301,148 | | 81,301,148 | | — | | — |
| Total Assets - Investments in Securities | $1,179,578,945 | | $206,373,389 | | $973,205,556 | | $ — |
| Other Financial Instruments*** | | | | | | | |
| Forward Foreign Currency Contracts | $ 2,235,196 | | $ — | | $ 2,235,196 | | $ — |
| Futures Contracts | 36,057 | | 36,057 | | — | | — |
| Swap Agreements | 32,138 | | — | | 32,138 | | — |
| Total Assets - Other Financial Instruments | $ 2,303,391 | | $ 36,057 | | $ 2,267,334 | | $ — |
See Notes to Financial Statements.
| | 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: | | | | | | | |
| Australia | $ (3,320,042) | | $ (1,837) | | $ (3,318,205) | | $ — |
| Denmark | (3,760,203) | | (129,827) | | (3,630,376) | | — |
| Netherlands | (6,854,436) | | (70,614) | | (6,783,822) | | — |
| Other ^^ | (35,136,488) | | — | | (35,136,488) | | — |
| Total Foreign Common Stocks Sold Short | (49,071,169) | | (202,278) | | (48,868,891) | | — |
| Foreign Preferred Stocks Sold Short | (121,788) | | — | | (121,788) | | — |
| Total Liabilities - Investments in Securities | $ (49,192,957) | | $ (202,278) | | $ (48,990,679) | | $ — |
| Other Financial Instruments*** | | | | | | | |
| Forward Foreign Currency Contracts | $ (1,106,895) | | $ — | | $ (1,106,895) | | $ — |
| Futures Contracts | (887,608) | | (887,608) | | — | | — |
| Swap Agreements | (174,055) | | — | | (174,055) | | — |
| Total Liabilities - Other Financial Instruments | $ (2,168,558) | | $ (887,608) | | $ (1,280,950) | | $ — |
| ^^ | 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. |
There were no transfers to or from Level 3 during the period ended June 30, 2020.
See Notes to Financial Statements.
EMERGING MARKETS EQUITY FUND
June 30, 2020 (Unaudited)
| | | Shares | | Value |
| COMMON STOCKS — 4.9% |
| Communication Services — 0.2% | | |
| Autohome, Inc. ADR | 1,273 | | $ 96,112 |
| JOYY, Inc. ADR* | 1,059 | | 93,774 |
| Momo, Inc. ADR | 2,542 | | 44,434 |
| Sea, Ltd. ADRΔ* | 5,780 | | 619,847 |
| Tencent Music Entertainment Group ADR* | 22,721 | | 305,825 |
| | | | | 1,159,992 |
| Consumer Discretionary — 2.3% | | |
| Huazhu Group, Ltd. ADR | 3,029 | | 106,167 |
| MercadoLibre, Inc.Δ* | 6,536 | | 6,442,993 |
| NIO, Inc. ADRΔ* | 24,427 | | 188,576 |
| Pinduoduo, Inc. ADRΔ* | 5,417 | | 464,995 |
| Trip.com Group, Ltd. ADR* | 97,032 | | 2,515,069 |
| Yum China Holdings, Inc. | 69,594 | | 3,345,384 |
| | | | | 13,063,184 |
| Financials — 0.1% | | |
| Intercorp Financial Services, Inc. | 14,942 | | 395,067 |
| LexinFintech Holdings, Ltd. ADRΔ* | 39,846 | | 423,961 |
| | | | | 819,028 |
| Health Care — 1.3% | | |
| 3SBio, Inc. 144A* | 1,210,000 | | 1,540,080 |
| Alibaba Health Information Technology, Ltd.* | 576,000 | | 1,693,833 |
| Hutchison China MediTech, Ltd. ADR* | 40,346 | | 1,112,742 |
| Wuxi Biologics Cayman, Inc. 144A* | 61,500 | | 1,128,870 |
| Zai Lab, Ltd. ADR* | 21,076 | | 1,730,972 |
| | | | | 7,206,497 |
| Industrials — 0.3% | | |
| Copa Holdings SA Class AΔ | 24,771 | | 1,252,422 |
| ZTO Express Cayman, Inc. ADR | 8,419 | | 309,061 |
| | | | | 1,561,483 |
| Information Technology — 0.6% | | |
| GDS Holdings, Ltd. ADRΔ* | 2,167 | | 172,623 |
| Globant SA* | 4,457 | | 667,882 |
| Huami Corporation ADRΔ* | 25,272 | | 312,362 |
| Kingboard Holdings, Ltd. | 26,000 | | 67,865 |
| Pagseguro Digital, Ltd. Class AΔ* | 14,186 | | 501,333 |
| Semiconductor Manufacturing International Corporation* | 347,000 | | 1,217,260 |
| Xiaomi Corporation Class B 144A* | 249,800 | | 415,106 |
| | | | | 3,354,431 |
| Materials — 0.1% | | |
| China Hongqiao Group, Ltd. | 541,000 | | 240,895 |
| Southern Copper Corporation | 2,441 | | 97,079 |
| | | | | 337,974 |
Total Common Stocks
(Cost $23,893,406) | | 27,502,589 |
| FOREIGN COMMON STOCKS — 87.1% |
| Brazil — 4.2% | | |
| Atacadao SA* | 159,500 | | 586,895 |
| B2W Cia Digital* | 13,700 | | 273,088 |
| | | Shares | | Value |
| B3 SA - Brasil Bolsa Balcao | 590,600 | | $ 6,048,163 |
| Banco BTG Pactual SA* | 108,500 | | 1,540,281 |
| Banco do Brasil SA* | 424,700 | | 2,518,632 |
| BB Seguridade Participacoes SA | 57,700 | | 292,527 |
| BRF SA* | 141,900 | | 562,058 |
| CCR SA | 83,000 | | 221,767 |
| Cia Brasileira de Distribuicao | 10,400 | | 136,720 |
| Cielo SA | 99,300 | | 84,727 |
| Fleury SA | 102,600 | | 469,408 |
| Iochpe Maxion SA | 89,987 | | 224,219 |
| JBS SA | 142,600 | | 560,373 |
| Lojas Renner SA | 31,200 | | 241,827 |
| Magazine Luiza SA* | 71,100 | | 938,743 |
| Minerva SA* | 380,900 | | 917,561 |
| Notre Dame Intermedica Participacoes SA | 11,400 | | 143,493 |
| Petrobras Distribuidora SA* | 285,500 | | 1,127,699 |
| Raia Drogasil SA | 132,700 | | 2,724,717 |
| Sao Martinho SA | 134,900 | | 524,408 |
| TIM Participacoes SA ADRΔ* | 42,680 | | 552,279 |
| TOTVS SA | 80,800 | | 347,680 |
| Ultrapar Participacoes SA | 134,000 | | 454,626 |
| Vale SA ADR* | 129,516 | | 1,335,310 |
| Wiz Solucoes e Corretagem de Seguros SA | 158,660 | | 313,054 |
| YDUQS Participacoes SA | 143,555 | | 897,004 |
| | | | | 24,037,259 |
| Canada — 0.2% | | |
| Parex Resources, Inc.* | 103,067 | | 1,242,027 |
| Chile — 0.7% | | |
| Aguas Andinas SA Class A | 414,479 | | 140,380 |
| Banco de Chile ADRΔ | 7,668 | | 135,340 |
| Banco de Credito e Inversiones SA | 1,824 | | 61,957 |
| Banco Santander Chile ADRΔ | 3,609 | | 59,188 |
| Cencosud SA | 608,764 | | 852,299 |
| Enel Chile SA ADR | 18,640 | | 70,273 |
| Falabella SA | 880,396 | | 2,790,814 |
| | | | | 4,110,251 |
| China — 23.3% | | |
| 58.com, Inc. ADR* | 1,633 | | 88,084 |
| Agricultural Bank of China, Ltd. Class A | 571,300 | | 273,622 |
| Agricultural Bank of China, Ltd. Class H | 490,000 | | 198,325 |
| Alibaba Group Holding, Ltd. ADR* | 168,678 | | 36,383,845 |
| Anhui Conch Cement Co., Ltd. Class A | 23,400 | | 176,098 |
| Anhui Conch Cement Co., Ltd. Class H | 308,500 | | 2,090,442 |
| BAIC Motor Corporation, Ltd. Class H 144A | 1,477,500 | | 646,598 |
| Baidu, Inc. ADR* | 7,509 | | 900,254 |
| Bank of Beijing Co., Ltd. Class A | 89,700 | | 62,286 |
| Bank of China, Ltd. Class A | 203,500 | | 100,345 |
| Bank of Communications Co., Ltd. Class A | 110,200 | | 80,078 |
| Bank of Ningbo Co., Ltd. Class A | 27,000 | | 100,662 |
See Notes to Financial Statements.
| | | Shares | | Value |
| Bank of Shanghai Co., Ltd. Class A | 49,180 | | $ 57,890 |
| Baoshan Iron & Steel Co., Ltd. Class A | 60,900 | | 39,444 |
| BOE Technology Group Co., Ltd. Class A* | 350,300 | | 233,059 |
| BYD Co., Ltd. Class A | 6,200 | | 63,456 |
| China CITIC Bank Corporation, Ltd. Class H | 2,976,000 | | 1,304,108 |
| China Communications Services Corporation, Ltd. Class H | 832,000 | | 521,402 |
| China Construction Bank Corporation Class H | 463,000 | | 376,596 |
| China Everbright Bank Co., Ltd. Class A | 131,700 | | 66,829 |
| China Evergrande GroupΔ | 224,785 | | 584,923 |
| China Fortune Land Development Co., Ltd. Class A | 18,753 | | 60,911 |
| China Life Insurance Co., Ltd. Class H | 1,147,000 | | 2,314,375 |
| China Longyuan Power Group Corporation, Ltd. Class H | 331,000 | | 186,620 |
| China Medical System Holdings, Ltd. | 1,092,000 | | 1,291,410 |
| China Mengniu Dairy Co., Ltd.* | 150,000 | | 575,187 |
| China Merchants Bank Co., Ltd. Class A | 37,756 | | 180,845 |
| China Merchants Bank Co., Ltd. Class H | 388,500 | | 1,800,365 |
| China Merchants Securities Co., Ltd. Class A | 30,100 | | 93,749 |
| China Minsheng Banking Corporation, Ltd. Class A | 83,400 | | 67,020 |
| China National Building Material Co., Ltd. Class H | 1,782,000 | | 1,911,380 |
| China Oilfield Services, Ltd. Class H | 1,797,792 | | 1,638,323 |
| China Pacific Insurance Group Co., Ltd. Class A | 21,100 | | 81,744 |
| China Petroleum & Chemical Corporation Class A | 100,700 | | 55,902 |
| China Railway Construction Corporation, Ltd. Class A | 75,200 | | 89,497 |
| China Shenhua Energy Co., Ltd. Class H | 97,500 | | 151,318 |
| China Shipbuilding Industry Co., Ltd. Class A | 102,700 | | 58,324 |
| China State Construction Engineering Corporation, Ltd. Class A | 128,500 | | 87,006 |
| China Telecom Corporation, Ltd. Class H | 584,000 | | 164,044 |
| China Tourism Group Duty Free Corporation, Ltd. Class A | 94,012 | | 2,061,403 |
| China United Network Communications, Ltd. Class A | 133,600 | | 91,897 |
| China Vanke Co., Ltd. Class H | 52,150 | | 166,445 |
| China Yangtze Power Co., Ltd. Class A | 265,350 | | 712,836 |
| Chongqing Rural Commercial Bank Co., Ltd. Class H | 123,000 | | 48,644 |
| CITIC Securities Co., Ltd. Class A | 48,700 | | 166,746 |
| Contemporary Amperex Technology Co., Ltd. Class A | 40,699 | | 1,014,882 |
| Country Garden Holdings Co., Ltd. | 207,632 | | 257,526 |
| CRRC Corporation, Ltd. Class A | 92,300 | | 72,980 |
| | | Shares | | Value |
| CRRC Corporation, Ltd. Class H | 503,000 | | $ 213,545 |
| Foshan Haitian Flavouring & Food Co., Ltd. Class A | 16,440 | | 289,717 |
| Gree Electric Appliances, Inc. of Zhuhai Class A | 173,300 | | 1,392,546 |
| Guotai Junan Securities Co., Ltd. Class A | 45,900 | | 112,460 |
| Haier Smart Home Co., Ltd. Class A | 42,600 | | 107,045 |
| Haitong Securities Co., Ltd. Class A | 60,600 | | 108,251 |
| Haitong Securities Co., Ltd. Class H | 335,200 | | 272,332 |
| Hangzhou Hikvision Digital Technology Co., Ltd. Class A | 55,700 | | 240,780 |
| Hangzhou Robam Appliances Co., Ltd. Class A | 80,300 | | 354,892 |
| Huatai Securities Co., Ltd. Class A | 39,636 | | 105,802 |
| Huaxia Bank Co., Ltd. Class A | 66,807 | | 57,966 |
| Industrial & Commercial Bank of China, Ltd. Class A | 169,700 | | 119,734 |
| Industrial Bank Co., Ltd. Class A | 40,800 | | 91,381 |
| Inner Mongolia Yili Industrial Group Co., Ltd. Class A | 26,909 | | 118,875 |
| JD.com, Inc. ADR* | 23,453 | | 1,411,402 |
| Jiangsu Hengrui Medicine Co., Ltd. Class A | 21,513 | | 281,291 |
| Jiangxi Copper Co., Ltd. Class H | 84,000 | | 85,587 |
| Luxshare Precision Industry Co., Ltd. Class A | 53,513 | | 391,446 |
| Midea Group Co., Ltd. Class A | 155,800 | | 1,321,459 |
| NARI Technology Co., Ltd. Class A | 190,851 | | 550,248 |
| NetEase, Inc. ADR | 6,723 | | 2,886,722 |
| New China Life Insurance Co., Ltd. Class A | 10,500 | | 66,045 |
| New Oriental Education & Technology Group, Inc. ADR* | 7,589 | | 988,316 |
| PetroChina Co., Ltd. Class A | 88,200 | | 52,423 |
| PICC Property & Casualty Co., Ltd. Class H | 1,439,803 | | 1,196,571 |
| Ping An Bank Co., Ltd. Class A | 50,900 | | 92,507 |
| Ping An Insurance Group Co. of China, Ltd. Class A | 20,100 | | 203,531 |
| Ping An Insurance Group Co. of China, Ltd. Class H | 833,496 | | 8,309,115 |
| SAIC Motor Corporation, Ltd. Class A | 24,600 | | 59,391 |
| Sany Heavy Industry Co., Ltd. Class A | 70,500 | | 188,137 |
| Shanghai International Airport Co., Ltd. Class A | 128,100 | | 1,308,616 |
| Shanghai Pudong Development Bank Co., Ltd. Class A | 60,200 | | 90,281 |
| Shenwan Hongyuan Group Co., Ltd. Class A* | 160,100 | | 114,743 |
| Shenzhen Kangtai Biological Products Co., Ltd. Class A | 42,000 | | 963,580 |
| Shenzhen Mindray Bio-Medical Electronics Co., Ltd. Class A | 24,500 | | 1,059,338 |
| Sinopec Shanghai Petrochemical Co., Ltd. Class H | 202,000 | | 48,639 |
| Sinopharm Group Co., Ltd. Class H | 672,800 | | 1,729,741 |
| Sunac China Holdings, Ltd. | 75,859 | | 321,034 |
| Suning.com Co., Ltd. Class A | 70,175 | | 87,364 |
See Notes to Financial Statements.
EMERGING MARKETS EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | Shares | | Value |
| Sunny Optical Technology Group Co., Ltd. | 162,300 | | $ 2,612,135 |
| TAL Education Group ADR* | 26,342 | | 1,801,266 |
| Tencent Holdings, Ltd. | 539,530 | | 34,571,956 |
| Vipshop Holdings, Ltd. ADR* | 8,678 | | 172,779 |
| Will Semiconductor, Ltd. Class A | 25,758 | | 741,653 |
| Wuhan Raycus Fiber Laser Technologies Co., Ltd. Class A | 70,645 | | 1,091,079 |
| WuXi AppTec Co., Ltd. Class H 144A | 72,768 | | 950,326 |
| Yifeng Pharmacy Chain Co., Ltd. Class A | 132,658 | | 1,711,986 |
| Yonghui Superstores Co., Ltd. Class A | 87,700 | | 116,646 |
| Zhejiang Sanhua Intelligent Controls Co., Ltd. Class A | 198,530 | | 618,030 |
| ZTE Corporation Class H | 58,600 | | 180,868 |
| | | | | 131,711,302 |
| Czech Republic — 0.1% | | |
| Moneta Money Bank AS 144A | 206,572 | | 467,858 |
| Egypt — 0.1% | | |
| Commercial International Bank Egypt SAE GDR | 75,617 | | 293,074 |
| Greece — 0.2% | | |
| Hellenic Exchanges - Athens Stock Exchange SA | 51,221 | | 182,744 |
| JUMBO SA | 28,017 | | 503,634 |
| Sarantis SA | 54,515 | | 502,230 |
| | | | | 1,188,608 |
| Hong Kong — 8.0% | | |
| AIA Group, Ltd. | 851,425 | | 7,967,299 |
| ANTA Sports Products, Ltd. | 75,000 | | 667,281 |
| BYD Electronic International Co., Ltd. | 226,000 | | 522,106 |
| China Jinmao Holdings Group, Ltd. | 168,000 | | 119,559 |
| China Lesso Group Holdings, Ltd. | 36,000 | | 47,253 |
| China Mobile, Ltd. | 459,996 | | 3,105,921 |
| China Overseas Land & Investment, Ltd. | 648,633 | | 1,980,560 |
| China Resources Cement Holdings, Ltd. | 680,398 | | 839,151 |
| China Resources Land, Ltd. | 1,011,987 | | 3,868,012 |
| China Resources Power Holdings Co., Ltd. | 216,000 | | 254,792 |
| China Traditional Chinese Medicine Holdings Co., Ltd. | 376,000 | | 181,892 |
| China Unicom Hong Kong, Ltd. | 1,438,000 | | 782,410 |
| CITIC, Ltd. | 1,050,000 | | 991,500 |
| CSPC Pharmaceutical Group, Ltd. | 1,267,325 | | 2,400,171 |
| Dali Foods Group Co., Ltd. 144A | 225,000 | | 137,130 |
| ENN Energy Holdings, Ltd. | 100,500 | | 1,135,699 |
| FIT Hon Teng, Ltd. 144A* | 752,000 | | 293,112 |
| Haier Electronics Group Co., Ltd. | 231,000 | | 703,279 |
| Hengan International Group Co., Ltd. | 158,600 | | 1,248,374 |
| Hong Kong Exchanges and Clearing, Ltd. | 44,834 | | 1,909,558 |
| Innovent Biologics, Inc. 144A* | 133,500 | | 993,600 |
| Kingboard Laminates Holdings, Ltd. | 819,074 | | 827,750 |
| Kingdee International Software Group Co., Ltd.* | 336,000 | | 786,201 |
| | | Shares | | Value |
| Kunlun Energy Co., Ltd. | 1,760,000 | | $ 1,152,672 |
| Lenovo Group, Ltd. | 504,000 | | 281,203 |
| Li Ning Co., Ltd. | 35,500 | | 113,687 |
| Longfor Group Holdings, Ltd. | 48,384 | | 231,606 |
| Meituan Dianping Class B* | 199,400 | | 4,455,867 |
| Minth Group, Ltd.Δ | 190,000 | | 545,396 |
| Nexteer Automotive Group, Ltd. | 292,000 | | 202,354 |
| Shimao Group Holdings, Ltd. | 33,000 | | 141,084 |
| Sino Biopharmaceutical, Ltd. | 466,000 | | 878,315 |
| Sinotruk Hong Kong, Ltd. | 405,000 | | 1,056,949 |
| Techtronic Industries Co., Ltd. | 65,000 | | 643,146 |
| Topsports International Holdings, Ltd. 144A | 367,000 | | 472,169 |
| Uni-President China Holdings, Ltd. | 648,000 | | 648,198 |
| Vitasoy International Holdings, Ltd. | 548,000 | | 2,106,351 |
| Xinyi Solar Holdings, Ltd. | 640,000 | | 615,445 |
| | | | | 45,307,052 |
| Hungary — 0.3% | | |
| OTP Bank Nyrt PLC* | 54,744 | | 1,924,543 |
| India — 8.0% | | |
| Abbott India, Ltd. | 1,136 | | 237,000 |
| AIA Engineering, Ltd. | 20,582 | | 436,863 |
| Amber Enterprises India, Ltd. | 22,971 | | 437,704 |
| Ambuja Cements, Ltd. | 91,621 | | 234,892 |
| Atul, Ltd. | 4,856 | | 293,393 |
| Avenue Supermarts, Ltd. 144A* | 22,467 | | 689,517 |
| Bharti Airtel, Ltd.* | 340,999 | | 2,532,591 |
| Coal India, Ltd. | 626,344 | | 1,106,472 |
| Colgate-Palmolive India, Ltd. | 5,631 | | 105,041 |
| Crompton Greaves Consumer Electricals, Ltd. | 99,554 | | 314,884 |
| Divi's Laboratories, Ltd. | 37,074 | | 1,119,771 |
| Dr. Reddy's Laboratories, Ltd. | 31,248 | | 1,636,764 |
| GAIL India, Ltd. | 1,185,879 | | 1,614,472 |
| Grasim Industries, Ltd. | 14,183 | | 116,504 |
| HCL Technologies, Ltd. | 288,616 | | 2,129,960 |
| Hindalco Industries, Ltd. | 198,309 | | 388,344 |
| Hindustan Petroleum Corporation, Ltd. | 28,273 | | 81,380 |
| Housing Development Finance Corporation, Ltd. | 185,982 | | 4,324,476 |
| ICICI Lombard General Insurance Co., Ltd. 144A | 36,932 | | 620,389 |
| Info Edge India, Ltd. | 19,302 | | 704,873 |
| Infosys, Ltd. | 79,828 | | 775,985 |
| Infosys, Ltd. ADR | 102,161 | | 986,875 |
| Kotak Mahindra Bank, Ltd. | 62,939 | | 1,136,050 |
| Larsen & Toubro Infotech, Ltd. 144A | 15,174 | | 393,901 |
| LIC Housing Finance, Ltd. | 366,971 | | 1,291,699 |
| Mahindra & Mahindra, Ltd. | 601,816 | | 4,084,955 |
| Marico, Ltd. | 993,472 | | 4,632,007 |
| Maruti Suzuki India, Ltd. | 10,154 | | 786,042 |
| Motherson Sumi Systems, Ltd. | 220,870 | | 277,925 |
| Navin Fluorine International, Ltd. | 31,465 | | 677,698 |
| Oil & Natural Gas Corporation, Ltd. | 829,659 | | 900,873 |
| Power Grid Corporation of India, Ltd. | 688,728 | | 1,597,427 |
| Prestige Estates Projects, Ltd. | 119,093 | | 330,723 |
See Notes to Financial Statements.
| | | Shares | | Value |
| SBI Life Insurance Co., Ltd. 144A* | 40,024 | | $ 427,336 |
| Shriram Transport Finance Co., Ltd. | 37,506 | | 342,276 |
| Tata Consultancy Services, Ltd. | 212,139 | | 5,839,662 |
| Tata Motors, Ltd.* | 179,580 | | 235,525 |
| TeamLease Services, Ltd.* | 15,018 | | 334,028 |
| Tech Mahindra, Ltd. | 25,210 | | 181,390 |
| Wipro, Ltd. | 103,700 | | 302,713 |
| Zee Entertainment Enterprises, Ltd. | 370,256 | | 841,125 |
| | | | | 45,501,505 |
| Indonesia — 1.3% | | |
| PT Adaro Energy Tbk | 7,399,100 | | 520,549 |
| PT Bank Central Asia Tbk | 2,048,116 | | 4,097,873 |
| PT Bank Negara Indonesia Persero Tbk | 757,431 | | 244,729 |
| PT BFI Finance Indonesia Tbk | 7,300,300 | | 144,756 |
| PT Indofood CBP Sukses Makmur Tbk | 159,800 | | 104,876 |
| PT Indofood Sukses Makmur Tbk | 1,232,536 | | 565,981 |
| PT Link Net Tbk | 2,617,800 | | 412,538 |
| PT Map Aktif Adiperkasa* | 684,700 | | 121,993 |
| PT Pakuwon Jati Tbk | 9,829,000 | | 288,035 |
| PT Perusahaan Gas Negara Tbk | 247,900 | | 19,871 |
| PT Semen Indonesia Persero Tbk | 630,200 | | 426,977 |
| PT United Tractors Tbk | 438,660 | | 510,432 |
| | | | | 7,458,610 |
| Malaysia — 0.7% | | |
| DiGi.Com Bhd | 195,300 | | 197,052 |
| Hartalega Holdings Bhd | 71,100 | | 216,876 |
| IHH Healthcare Bhd | 62,600 | | 80,697 |
| Malayan Banking Bhd | 389,816 | | 684,946 |
| Malaysia Airports Holdings | 120,600 | | 154,023 |
| MISC Bhd | 131,100 | | 234,861 |
| Petronas Chemicals Group Bhd | 78,100 | | 113,795 |
| Petronas Gas Bhd | 61,100 | | 241,841 |
| RHB Bank Bhd | 424,300 | | 475,598 |
| Sime Darby Bhd | 608,600 | | 306,851 |
| Telekom Malaysia Bhd | 178,500 | | 173,391 |
| Tenaga Nasional Bhd | 187,500 | | 509,834 |
| Top Glove Corporation Bhd | 80,900 | | 305,310 |
| | | | | 3,695,075 |
| Mexico — 1.7% | | |
| Alfa SAB de CV Series A | 487,400 | | 273,764 |
| Alpek SAB de CV | 1,177,800 | | 896,756 |
| America Movil SAB de CV, Series L | 1,701,500 | | 1,093,396 |
| Arca Continental SAB de CV | 124,522 | | 546,641 |
| Bolsa Mexicana de Valores SAB de CV | 191,600 | | 359,034 |
| Fomento Economico Mexicano SAB de CV ADR | 48,000 | | 2,976,480 |
| Gruma SAB de CV Series B | 44,625 | | 483,712 |
| Grupo Financiero Banorte SAB de CV Series O | 69,310 | | 239,824 |
| Grupo Televisa SAB SA ADR* | 14,514 | | 76,053 |
| Kimberly-Clark de Mexico SAB de CV Series A | 534,901 | | 833,845 |
| Orbia Advance Corporation SAB de CV | 32,700 | | 48,329 |
| | | Shares | | Value |
| Wal-Mart de Mexico SAB de CV | 856,713 | | $2,048,925 |
| | | | | 9,876,759 |
| Netherlands — 1.4% | | |
| Prosus NV* | 60,187 | | 5,594,887 |
| Yandex NV Class A* | 41,130 | | 2,057,323 |
| | | | | 7,652,210 |
| Peru — 1.0% | | |
| Alicorp SAA Class C* | 138,338 | | 313,659 |
| Banco BBVA Peru SA | 331,654 | | 252,842 |
| Credicorp, Ltd. | 35,845 | | 4,791,401 |
| Intercorp Financial Services, Inc. | 7,526 | | 199,063 |
| | | | | 5,556,965 |
| Philippines — 0.5% | | |
| Ayala Land, Inc. | 2,380,700 | | 1,623,741 |
| BDO Unibank, Inc. | 34,770 | | 68,611 |
| International Container Terminal Services, Inc. | 133,280 | | 274,257 |
| JG Summit Holdings, Inc. | 34,530 | | 45,071 |
| Jollibee Foods Corporation | 136,680 | | 385,896 |
| Metro Pacific Investments Corporation | 1,647,000 | | 123,127 |
| PLDT, Inc. | 4,180 | | 104,078 |
| SM Prime Holdings, Inc. | 381,000 | | 245,042 |
| | | | | 2,869,823 |
| Poland — 1.1% | | |
| Bank Polska Kasa Opieki SA | 154,280 | | 2,113,943 |
| CD Projekt SA* | 11,843 | | 1,193,461 |
| Cyfrowy Polsat SA | 46,774 | | 312,527 |
| Dino Polska SA 144A* | 17,144 | | 873,284 |
| Grupa Lotos SA | 19,933 | | 303,842 |
| Orange Polska SA* | 31,220 | | 49,375 |
| Polski Koncern Naftowy ORLEN SA | 63,902 | | 1,015,501 |
| Powszechna Kasa Oszczednosci Bank Polski SA | 82,239 | | 478,900 |
| | | | | 6,340,833 |
| Qatar — 0.1% | | |
| Industries Qatar QSC | 17,530 | | 37,158 |
| Qatar Islamic Bank SAQ | 6,620 | | 28,698 |
| Qatar National Bank QPSC | 108,220 | | 518,889 |
| | | | | 584,745 |
| Russia — 1.7% | | |
| Gazprom PJSC ADR | 170,565 | | 921,039 |
| LUKOIL PJSC ADR | 36,547 | | 2,716,691 |
| LUKOIL PJSC ADR (OTC Exchange) | 17,105 | | 1,269,533 |
| Magnit PJSC GDR | 4,887 | | 63,551 |
| MMC Norilsk Nickel PJSC ADR | 24,681 | | 645,126 |
| Novatek PJSC GDR | 1,991 | | 282,209 |
| PhosAgro PJSC GDR | 10,672 | | 131,799 |
| Polyus PJSC GDR | 4,973 | | 418,470 |
| Rosneft Oil Co. PJSC GDR | 16,843 | | 84,648 |
| Sberbank of Russia PJSC ADR | 199,835 | | 2,271,674 |
| Sberbank of Russia PJSC ADR (OTC Exchange) | 14,170 | | 160,688 |
| Severstal PAO GDRΔ | 20,309 | | 245,771 |
See Notes to Financial Statements.
EMERGING MARKETS EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | Shares | | Value |
| Surgutneftegas PJSC ADR | 19,506 | | $ 105,126 |
| | | | | 9,316,325 |
| Saudi Arabia — 0.8% | | |
| Advanced Petrochemical Co. | 7,684 | | 109,561 |
| Alinma Bank* | 204,675 | | 795,210 |
| Almarai Co. JSC | 2,951 | | 40,902 |
| Arab National Bank | 50,894 | | 259,144 |
| Bank Al | 167,874 | | 506,907 |
| Bank AlBilad | 17,350 | | 102,755 |
| Banque Saudi Fransi | 21,140 | | 161,502 |
| Bupa Arabia for Cooperative Insurance Co. | 2,224 | | 64,776 |
| Etihad Etisalat Co.* | 47,122 | | 334,987 |
| Jarir Marketing Co. | 3,684 | | 144,414 |
| National Commercial Bank | 8,208 | | 81,854 |
| National Industrialization Co.* | 43,515 | | 121,717 |
| Riyad Bank | 71,861 | | 324,015 |
| Samba Financial Group | 57,158 | | 410,993 |
| Saudi Arabian Oil Co. 144A | 24,146 | | 209,606 |
| Saudi Basic Industries Corporation | 17,785 | | 418,847 |
| Saudi Industrial Investment Group | 8,440 | | 45,641 |
| Yanbu National Petrochemical Co. | 6,926 | | 94,895 |
| | | | | 4,227,726 |
| Slovenia — 0.1% | | |
| Nova Ljubljanska Banka dd GDR | 74,232 | | 639,360 |
| South Africa — 4.5% | | |
| Anglo American Platinum, Ltd. | 21,004 | | 1,528,623 |
| AngloGold Ashanti, Ltd. ADR | 52,412 | | 1,545,630 |
| Aspen Pharmacare Holdings, Ltd.* | 52,020 | | 432,093 |
| Bid Corporation, Ltd. | 25,634 | | 420,931 |
| Clicks Group, Ltd. | 111,726 | | 1,354,426 |
| Discovery, Ltd.Δ | 290,163 | | 1,752,853 |
| FirstRand, Ltd. | 6,237 | | 13,715 |
| Gold Fields, Ltd. ADR | 210,152 | | 1,975,429 |
| Harmony Gold Mining Co., Ltd. ADR* | 355,516 | | 1,482,502 |
| Impala Platinum Holdings, Ltd. | 31,714 | | 213,580 |
| JSE, Ltd. | 282,329 | | 1,984,967 |
| Kumba Iron Ore, Ltd. | 1,759 | | 47,037 |
| Momentum Metropolitan Holdings | 118,151 | | 120,237 |
| Mr Price Group, Ltd. | 25,676 | | 212,317 |
| Naspers, Ltd. N Shares | 47,376 | | 8,706,779 |
| Northam Platinum, Ltd.* | 35,346 | | 238,393 |
| Old Mutual, Ltd. | 662,346 | | 461,651 |
| Pick n Pay Stores, Ltd.Δ | 138,211 | | 406,210 |
| Remgro, Ltd. | 6,798 | | 39,248 |
| RMB Holdings, Ltd. | 4,754 | | 451 |
| Santam, Ltd. | 18,437 | | 284,750 |
| Sasol, Ltd.* | 39,103 | | 300,264 |
| Shoprite Holdings, Ltd. | 46,281 | | 284,447 |
| Sibanye Stillwater, Ltd.Δ* | 131,157 | | 284,778 |
| Standard Bank Group, Ltd. | 115,936 | | 699,816 |
| Transaction Capital, Ltd. | 333,945 | | 359,097 |
| Woolworths Holdings, Ltd. | 179,627 | | 343,303 |
| | | | | 25,493,527 |
| | | Shares | | Value |
| South Korea — 11.2% | | |
| BGF retail Co., Ltd. | 6,529 | | $ 756,827 |
| BNK Financial Group, Inc. | 34,020 | | 142,899 |
| CJ Corporation | 2,391 | | 172,760 |
| CJ ENM Co., Ltd. | 1,022 | | 94,723 |
| Daelim Industrial Co., Ltd. | 7,854 | | 540,264 |
| Doosan Bobcat, Inc. | 38,836 | | 863,802 |
| Fila Holdings Corporation | 10,251 | | 302,506 |
| GS Retail Co., Ltd. | 1,875 | | 57,295 |
| Hana Financial Group, Inc. | 12,262 | | 278,867 |
| Hankook Tire & Technology Co., Ltd. | 18,122 | | 375,058 |
| Hanwha Corporation | 5,932 | | 110,783 |
| HLB, Inc.* | 4,249 | | 328,321 |
| Hyundai Engineering & Construction Co., Ltd. | 22,548 | | 624,606 |
| Hyundai Glovis Co., Ltd. | 727 | | 61,808 |
| Hyundai Marine & Fire Insurance Co., Ltd. | 2,464 | | 47,300 |
| Hyundai Mobis Co., Ltd. | 2,770 | | 444,638 |
| Kia Motors Corporation | 158,725 | | 4,289,158 |
| KMW Co., Ltd.* | 9,894 | | 528,455 |
| Korea Investment Holdings Co., Ltd. | 21,626 | | 810,783 |
| Korea Zinc Co., Ltd. | 3,455 | | 968,076 |
| Kumho Petrochemical Co., Ltd. | 5,609 | | 350,782 |
| LG Chem, Ltd. | 5,069 | | 2,091,870 |
| LG Electronic, Inc. | 40,184 | | 2,129,580 |
| LG Household & Health Care, Ltd. | 1,137 | | 1,274,361 |
| LG Innotek Co., Ltd. | 7,126 | | 1,045,059 |
| LG Uplus Corporation | 13,101 | | 133,882 |
| Lotte Corporation | 2,543 | | 67,254 |
| Meritz Securities Co., Ltd. | 32,535 | | 82,740 |
| NAVER Corporation | 6,847 | | 1,540,460 |
| NCSoft Corporation | 8,199 | | 6,099,460 |
| Orion Corporation | 7,819 | | 875,336 |
| Pearl Abyss Corporation* | 4,984 | | 906,782 |
| POSCO | 4,261 | | 620,643 |
| Posco International Corporation | 41,673 | | 486,261 |
| Samsung Electro-Mechanics Co., Ltd. | 17,275 | | 1,874,167 |
| Samsung Electronics Co., Ltd. | 370,220 | | 16,388,763 |
| Samsung Engineering Co., Ltd.* | 35,053 | | 361,266 |
| Samsung Fire & Marine Insurance Co., Ltd. | 19,189 | | 2,821,253 |
| Samsung SDS Co., Ltd. | 1,762 | | 249,229 |
| Samsung Securities Co., Ltd. | 2,582 | | 57,081 |
| SK Biopharmaceuticals Co., Ltd.* | 1,595 | | 64,975 |
| SK Hynix, Inc. | 169,396 | | 12,094,623 |
| | | | | 63,414,756 |
| Taiwan — 12.2% | | |
| Accton Technology Corporation | 200,000 | | 1,553,121 |
| Advantech Co., Ltd. | 91,000 | | 915,801 |
| Airtac International Group | 75,000 | | 1,324,889 |
| ASE Technology Holding Co., Ltd. | 33,000 | | 75,999 |
| Catcher Technology Co., Ltd. | 45,000 | | 341,018 |
| Chailease Holding Co., Ltd. | 132,360 | | 564,265 |
| China Life Insurance Co., Ltd.* | 647,249 | | 480,861 |
| Chroma ATE, Inc. | 182,000 | | 941,885 |
See Notes to Financial Statements.
| | | Shares | | Value |
| Chunghwa Telecom Co., Ltd. | 21,000 | | $ 83,401 |
| Foxconn Technology Co., Ltd. | 88,000 | | 169,454 |
| Globalwafers Co., Ltd. | 125,000 | | 1,721,648 |
| Hon Hai Precision Industry Co., Ltd. | 747,000 | | 2,193,308 |
| Largan Precision Co., Ltd. | 45,500 | | 6,326,321 |
| Lite-On Technology Corporation | 206,000 | | 324,379 |
| MediaTek, Inc. | 370,396 | | 7,322,962 |
| Nanya Technology Corporation | 409,000 | | 853,335 |
| Nien Made Enterprise Co., Ltd. | 43,000 | | 421,450 |
| Novatek Microelectronics Corporation | 90,000 | | 699,455 |
| Pegatron Corporation | 301,000 | | 656,522 |
| Phison Electronics Corporation | 33,000 | | 332,082 |
| Powertech Technology, Inc. | 169,763 | | 619,685 |
| President Chain Store Corporation | 636,000 | | 6,397,952 |
| Silergy Corporation | 48,000 | | 3,144,398 |
| Taiwan Semiconductor Manufacturing Co., Ltd. | 1,508,978 | | 16,115,161 |
| Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 189,097 | | 10,735,037 |
| Taiwan Union Technology Corporation | 64,000 | | 314,225 |
| Tong Hsing Electronic Industries, Ltd. | 60,577 | | 289,673 |
| United Microelectronics Corporation | 3,339,000 | | 1,805,199 |
| Win Semiconductors Corporation | 52,000 | | 530,924 |
| Wistron Corporation | 1,084,000 | | 1,323,326 |
| Zhen Ding Technology Holding, Ltd. | 105,000 | | 460,791 |
| | | | | 69,038,527 |
| Thailand — 1.2% | | |
| Advanced Info Service PCL NVDR | 263,100 | | 1,583,406 |
| Airports of Thailand PCL | 312,000 | | 611,452 |
| B Grimm Power PCL NVDR | 273,600 | | 476,518 |
| Bangkok Bank PCL NVDR | 350,170 | | 1,221,454 |
| Bangkok Dusit Medical Services PCL NVDR | 154,600 | | 112,676 |
| Berli Jucker PCL NVDR | 94,800 | | 121,728 |
| Bumrungrad Hospital PCL NVDR | 33,000 | | 124,624 |
| Central Pattana PCL NVDR | 99,700 | | 158,481 |
| Charoen Pokphand Foods PCL NVDR | 177,200 | | 182,753 |
| Indorama Ventures PCL NVDR | 678,300 | | 614,067 |
| Krung Thai Bank PCL NVDR | 579,900 | | 193,837 |
| Muangthai Capital PCL NVDR | 35,000 | | 59,450 |
| PTT Exploration & Production PCL | 270,900 | | 821,123 |
| Ratch Group PCL NVDR | 24,100 | | 48,826 |
| Thai Union Group PCL NVDR | 999,000 | | 420,526 |
| | | | | 6,750,921 |
| Turkey — 0.2% | | |
| Eregli Demir ve Celik Fabrikalari TAS* | 446,000 | | 558,354 |
| | | Shares | | Value |
| Mavi Giyim Sanayi Ve Ticaret AS Class B 144A* | 42,760 | | $ 297,030 |
| Sok Marketler Ticaret AS* | 181,923 | | 356,704 |
| Turkcell Iletisim Hizmetleri AS | 24,156 | | 57,591 |
| Türkiye Is Bankasi AS Class C* | 42,265 | | 34,520 |
| | | | | 1,304,199 |
| United Kingdom — 2.3% | | |
| Anglo American PLC | 105,584 | | 2,434,050 |
| Antofagasta PLC | 339,920 | | 3,934,357 |
| TCS Group Holding PLC GDR | 62,276 | | 1,264,203 |
| Unilever PLC | 102,662 | | 5,537,698 |
| | | | | 13,170,308 |
Total Foreign Common Stocks
(Cost $465,700,487) | | 493,174,148 |
| FOREIGN PREFERRED STOCKS — 0.5% |
| Brazil — 0.5% | | |
| Banco Bradesco SA | | | | |
| 8.14%◊ | 237,092 | | 913,385 |
| Banco Pan SA | | | | |
| 0.03%◊ | 49,740 | | 81,404 |
| Cia Energetica de Minas Gerais | | | | |
| 0.00%* | 183,500 | | 374,214 |
| Lojas Americanas SA | | | | |
| 0.00%* | 235,300 | | 1,397,582 |
| Petroleo Brasileiro SA | | | | |
| 0.00%* | 23,400 | | 93,719 |
| | | | | 2,860,304 |
| Colombia — 0.0% | | |
| Banco Davivienda SA | | | | |
| 3.34%◊ | 28,352 | | 211,245 |
Total Foreign Preferred Stocks
(Cost $3,428,668) | | 3,071,549 |
| MONEY MARKET FUNDS — 6.9% |
GuideStone Money Market Fund, 0.16%
(Institutional Class)Ø∞ | 21,353,454 | | 21,353,454 |
| Northern Institutional Liquid Assets Portfolio (Shares), 0.33%ا | 1,104,610 | | 1,104,610 |
See Notes to Financial Statements.
EMERGING MARKETS EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | Shares | | Value |
| Northern Institutional U.S. Government Portfolio (Shares), 0.07%Ø | 16,680,009 | | $ 16,680,009 |
Total Money Market Funds
(Cost $39,138,073) | | 39,138,073 |
TOTAL INVESTMENTS — 99.4%
(Cost $532,160,634) | | | 562,886,359 |
Other Assets in Excess of
Liabilities — 0.6% | | | 3,653,320 |
| NET ASSETS — 100.0% | | | $566,539,679 |
PORTFOLIO SUMMARY (based on net assets)
| | % |
| Information Technology | 20.6 |
| Consumer Discretionary | 18.6 |
| Financials | 14.9 |
| Communication Services | 11.4 |
| Consumer Staples | 8.2 |
| Money Market Funds | 6.9 |
| Materials | 5.8 |
| Health Care | 4.1 |
| Industrials | 2.9 |
| Energy | 2.6 |
| Real Estate | 1.9 |
| Utilities | 1.5 |
| | 99.4 |
Futures Contracts outstanding at June 30, 2020:
| Future Type | | Expiration Date | | Open Long
(Short) Contracts | | Notional
Market Value
of Contracts | | Value and
Unrealized
Appreciation
(Depreciation) |
| MSCI Singapore Index | | 07/2020 | | (170) | | $ (3,608,962) | | $ 38,154 |
| Euro-BTP | | 07/2020 | | (7) | | (122,112) | | (1,005) |
| HSCEI | | 07/2020 | | 22 | | 1,369,305 | | (19,331) |
| MSCI Taiwan Index | | 07/2020 | | 204 | | 8,827,080 | | (15,674) |
| SGX Nifty 50 Index | | 07/2020 | | (95) | | (1,952,250) | | 21,371 |
| KOSPI 200 Index | | 09/2020 | | 78 | | 4,552,188 | | (118,644) |
| FTSE/JSE Top 40 Index | | 09/2020 | | (138) | | (3,999,594) | | (92,764) |
| Mexican Bolsa Index | | 09/2020 | | 29 | | 481,195 | | 1,769 |
| MSCI Emerging Markets E-Mini | | 09/2020 | | 914 | | 45,046,490 | | (330,536) |
| SET50 Index | | 09/2020 | | (23) | | (130,466) | | (895) |
| Total Futures Contracts outstanding at June 30, 2020 | | | | | | $50,462,874 | | $(517,555) |
See Notes to Financial Statements.
Forward Foreign Currency Contracts outstanding at June 30, 2020:
| Expiration Date | | Currency
Purchased | | Amount
of Currency
Purchased | | Currency
Sold | | Amount
of Currency
Sold | | Counter-
party | | Net Unrealized
Appreciation
(Depreciation) |
| 09/16/20 | | U.S. Dollars | | 9,422,711 | | Brazilian Reals | | 49,347,000 | | CITI | | $ 379,033 |
| 09/17/20 | | U.S. Dollars | | 6,124,654 | | Mexican Pesos | | 136,100,000 | | CITI | | 265,795 |
| 09/16/20 | | Taiwan Dollars | | 182,100,000 | | U.S. Dollars | | 6,140,106 | | CITI | | 120,309 |
| 09/16/20 | | South Korean Won | | 5,850,548,000 | | U.S. Dollars | | 4,781,496 | | CITI | | 98,371 |
| 09/16/20 | | U.S. Dollars | | 5,117,053 | | Chilean Pesos | | 4,123,080,000 | | CITI | | 91,417 |
| 09/16/20 | | Philippine Pesos | | 255,045,000 | | U.S. Dollars | | 5,057,607 | | CITI | | 47,685 |
| 10/10/23 | | U.S. Dollars | | 1,196,266 | | Chinese Offshore Yuan | | 8,649,000 | | SC | | 38,125 |
| 09/16/20 | | U.S. Dollars | | 1,700,277 | | South African Rand | | 29,200,000 | | CITI | | 31,256 |
| 09/16/20 | | Singapore Dollars | | 4,235,000 | | U.S. Dollars | | 3,009,140 | | CITI | | 30,458 |
| 09/16/20 | | U.S. Dollars | | 2,799,838 | | Polish Zloty | | 10,980,000 | | CITI | | 23,833 |
| 09/16/20 | | Chinese Offshore Yuan | | 29,974,000 | | U.S. Dollars | | 4,198,115 | | CITI | | 22,645 |
| 09/16/20 | | South African Rand | | 36,704,500 | | U.S. Dollars | | 2,082,365 | | CITI | | 15,600 |
| 09/16/20 | | Thai Baht | | 19,072,000 | | U.S. Dollars | | 602,050 | | CITI | | 14,929 |
| 09/16/20 | | U.S. Dollars | | 459,687 | | Russian Rubles | | 32,000,000 | | CITI | | 14,102 |
| 09/16/20 | | Indian Rupees | | 358,307,000 | | U.S. Dollars | | 4,689,222 | | CITI | | 13,416 |
| 09/16/20 | | U.S. Dollars | | 700,730 | | Colombian Pesos | | 2,600,000,000 | | CITI | | 13,407 |
| 09/16/20 | | Hong Kong Dollars | | 62,083,000 | | U.S. Dollars | | 7,994,969 | | CITI | | 11,330 |
| 09/16/20 | | U.S. Dollars | | 1,841,997 | | Hungarian Forint | | 577,672,000 | | CITI | | 9,995 |
| 09/16/20 | | U.S. Dollars | | 311,992 | | Indonesian Rupiahs | | 4,484,978,606 | | CITI | | 7,871 |
| 09/16/20 | | U.S. Dollars | | 585,629 | | Czech Republic Koruna | | 13,700,000 | | CITI | | 7,821 |
| 09/16/20 | | Polish Zloty | | 3,590,000 | | U.S. Dollars | | 903,195 | | CITI | | 4,443 |
| 09/16/20 | | Czech Republic Koruna | | 10,600,000 | | U.S. Dollars | | 443,460 | | CITI | | 3,603 |
| 09/16/20 | | Euro | | 181,500 | | U.S. Dollars | | 202,850 | | CITI | | 1,424 |
| 09/16/20 | | Colombian Pesos | | 3,100,000,000 | | U.S. Dollars | | 818,340 | | CITI | | 1,160 |
| 09/16/20 | | Hungarian Forint | | 53,000,000 | | U.S. Dollars | | 167,216 | | CITI | | 866 |
| 09/16/20 | | U.S. Dollars | | 14,678 | | Peruvian Nuevo Soles | | 50,000 | | CITI | | 581 |
| 09/16/20 | | U.S. Dollars | | 229,913 | | Saudi Riyals | | 862,500 | | CITI | | 167 |
| 09/16/20 | | U.S. Dollars | | 22,618 | | Euro | | 20,000 | | CITI | | 109 |
| 09/16/20 | | Saudi Riyals | | 1,200,000 | | U.S. Dollars | | 319,541 | | CITI | | 106 |
| 09/16/20 | | Russian Rubles | | 1,006,000 | | U.S. Dollars | | 13,953 | | CITI | | 54 |
| 09/16/20 | | U.S. Dollars | | 14,753 | | South Korean Won | | 17,635,000 | | CITI | | 44 |
| 09/16/20 | | U.S. Dollars | | 28,370 | | Thai Baht | | 876,000 | | CITI | | 32 |
| 09/16/20 | | U.S. Dollars | | 64,483 | | Hong Kong Dollars | | 500,000 | | CITI | | 2 |
| Subtotal Appreciation | | | | | | | | | | $ 1,269,989 |
| 09/16/20 | | Saudi Riyals | | 3,400,000 | | U.S. Dollars | | 905,694 | | CITI | | $ (28) |
| 07/09/20 | | U.S. Dollars | | 103,415 | | Turkish Lira | | 709,164 | | CITI | | (59) |
| 09/16/20 | | U.S. Dollars | | 874,406 | | South African Rand | | 15,300,000 | | CITI | | (115) |
| 09/16/20 | | Hong Kong Dollars | | 15,500,000 | | U.S. Dollars | | 1,999,026 | | CITI | | (128) |
| 09/16/20 | | U.S. Dollars | | 362,519 | | Saudi Riyals | | 1,361,500 | | CITI | | (147) |
| 09/16/20 | | Thai Baht | | 3,000,000 | | U.S. Dollars | | 97,234 | | CITI | | (184) |
| 09/16/20 | | U.S. Dollars | | 89,828 | | Euro | | 80,000 | | CITI | | (211) |
| 09/16/20 | | Chinese Offshore Yuan | | 812,000 | | U.S. Dollars | | 114,669 | | CITI | | (328) |
| 09/16/20 | | Euro | | 141,500 | | U.S. Dollars | | 159,758 | | CITI | | (501) |
| 09/16/20 | | Polish Zloty | | 422,000 | | U.S. Dollars | | 107,234 | | CITI | | (543) |
| 09/16/20 | | U.S. Dollars | | 1,701,282 | | Philippine Pesos | | 85,044,000 | | CITI | | (1,063) |
| 09/16/20 | | Taiwan Dollars | | 95,000,000 | | U.S. Dollars | | 3,267,132 | | CITI | | (1,127) |
| 09/16/20 | | Singapore Dollars | | 2,455,000 | | U.S. Dollars | | 1,763,247 | | CITI | | (1,212) |
| 09/17/20 | | U.S. Dollars | | 592,770 | | Mexican Pesos | | 13,800,000 | | CITI | | (1,295) |
| 09/16/20 | | Czech Republic Koruna | | 8,900,000 | | U.S. Dollars | | 377,643 | | CITI | | (2,278) |
| 09/16/20 | | Peruvian Nuevo Soles | | 579,874 | | U.S. Dollars | | 166,001 | | CITI | | (2,512) |
| 09/16/20 | | U.S. Dollars | | 3,721,981 | | Hong Kong Dollars | | 28,884,000 | | CITI | | (2,935) |
| 09/16/20 | | Hungarian Forint | | 62,000,000 | | U.S. Dollars | | 199,863 | | CITI | | (3,239) |
| 09/16/20 | | Colombian Pesos | | 3,000,000,000 | | U.S. Dollars | | 796,932 | | CITI | | (3,866) |
| 09/16/20 | | U.S. Dollars | | 1,471,969 | | Thai Baht | | 45,644,000 | | CITI | | (4,614) |
See Notes to Financial Statements.
EMERGING MARKETS EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
| Expiration Date | | Currency
Purchased | | Amount
of Currency
Purchased | | Currency
Sold | | Amount
of Currency
Sold | | Counter-
party | | Net Unrealized
Appreciation
(Depreciation) |
| 09/16/20 | | South Korean Won | | 2,499,312,000 | | U.S. Dollars | | 2,089,506 | | CITI | | $ (4,863) |
| 09/16/20 | | U.S. Dollars | | 258,505 | | Indonesian Rupiahs | | 3,899,492,606 | | CITI | | (5,916) |
| 09/16/20 | | Indian Rupees | | 521,402,000 | | U.S. Dollars | | 6,852,479 | | CITI | | (9,285) |
| 09/16/20 | | Israeli Shekels | | 4,200,000 | | U.S. Dollars | | 1,228,206 | | CITI | | (13,118) |
| 09/16/20 | | U.S. Dollars | | 1,818,625 | | Hungarian Forint | | 577,672,000 | | CITI | | (13,378) |
| 09/16/20 | | U.S. Dollars | | 5,122,750 | | Brazilian Reals | | 28,049,000 | | CITI | | (17,707) |
| 09/16/20 | | Chilean Pesos | | 1,080,000,000 | | U.S. Dollars | | 1,336,185 | | CITI | | (19,769) |
| 09/16/20 | | U.S. Dollars | | 3,361,102 | | Polish Zloty | | 13,380,000 | | CITI | | (21,682) |
| 09/16/20 | | South African Rand | | 36,506,500 | | U.S. Dollars | | 2,122,537 | | CITI | | (35,889) |
| 09/16/20 | | U.S. Dollars | | 2,746,459 | | South Korean Won | | 3,350,064,000 | | CITI | | (47,783) |
| 09/16/20 | | U.S. Dollars | | 2,849,450 | | Singapore Dollars | | 4,040,000 | | CITI | | (50,192) |
| 09/16/20 | | U.S. Dollars | | 6,407,238 | | Israeli Shekels | | 22,400,000 | | CITI | | (73,238) |
| 09/16/20 | | U.S. Dollars | | 8,761,698 | | Chinese Offshore Yuan | | 62,765,415 | | CITI | | (76,554) |
| 09/16/20 | | U.S. Dollars | | 4,606,986 | | Czech Republic Koruna | | 111,200,000 | | CITI | | (82,960) |
| 09/16/20 | | Russian Rubles | | 426,986,000 | | U.S. Dollars | | 6,062,972 | | CITI | | (117,366) |
| 09/17/20 | | Mexican Pesos | | 177,941,000 | | U.S. Dollars | | 7,967,076 | | CITI | | (307,042) |
| 09/16/20 | | Brazilian Reals | | 37,628,000 | | U.S. Dollars | | 7,369,756 | | CITI | | (473,785) |
| Subtotal Depreciation | | | | | | | | | | $(1,396,912) |
| Total Forward Foreign Currency Contracts outstanding at June 30, 2020 | | | | $ (126,923) |
Swap Agreements outstanding at June 30, 2020:
| 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 TAIEX (At Termination) | | Increases in total return of TAIEX (At Termination) | | 7/15/2020 | | GSC | | TWD | | 68,820,000 | | $ 27,624 | | $ — | | $ 27,624 |
| Increases in total return of SGX Nifty 50 Index (At Termination) | | Decreases in total return of SGX Nifty 50 Index (At Termination) | | 7/30/2020 | | CITI | | USD | | 863,100 | | 3,243 | | — | | 3,243 |
| Decreases in total return of BIST 30 Index (At Termination) | | Increases in total return of BIST 30 Index (At Termination) | | 8/31/2020 | | CITI | | TRY | | 9,095,580 | | 2,482 | | — | | 2,482 |
| Financing Index: 1-Month HIBOR - 0.30% (Monthly) | | MSCI China Net Return HKD Index | | 9/16/2020 | | GSC | | HKD | | 444,680 | | 1,391 | | — | | 1,391 |
| MSCI Emerging Markets Thailand Net Total Return USD Index | | Financing Index: 1-Month ICE LIBOR USD + 0.15% (Monthly) | | 9/16/2020 | | GSC | | USD | | 335,700 | | 22,423 | | — | | 22,423 |
| MSCI Poland Net Return PLN Index | | Financing Index: 1-Month WIBOR + 0.18% (Monthly) | | 9/16/2020 | | GSC | | PLN | | 1,050,828 | | 14,302 | | — | | 14,302 |
| MSCI Singapore Net Return SGD Index | | Financing Index: SORF1M Index + 0.20% (Monthly) | | 9/16/2020 | | GSC | | SGD | | 3,449,990 | | 145,443 | | — | | 145,443 |
| Increases in total return of WIG20 Index (At Termination) | | Decreases in total return of WIG20 Index (At Termination) | | 9/18/2020 | | CITI | | PLN | | 35,080 | | 172 | | — | | 172 |
| Subtotal Appreciation | | | | | | | | | | | | $ 217,080 | | $ — | | $ 217,080 |
| Decreases in total return of HSCEI Index (At Termination) | | Increases in total return of HSCEI Index (At Termination) | | 7/30/2020 | | GSC | | HKD | | 62,229,600 | | $(138,572) | | $ — | | $(138,572) |
| Decreases in total return of HSCEI Index (At Termination) | | Increases in total return of HSCEI Index (At Termination) | | 7/30/2020 | | CITI | | HKD | | 6,753,600 | | (14,439) | | — | | (14,439) |
See Notes to Financial Statements.
| 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) |
| Decreases in total return of Tel Aviv 35 Index (At Termination) | | Increases in total return of Tel Aviv 35 Index (At Termination) | | 7/31/2020 | | GSC | | ILS | | 805,440 | | $ (10,865) | | $ — | | $ (10,865) |
| Increases in total return of Bovespa Index (At Termination) | | Decreases in total return of Bovespa Index (At Termination) | | 8/12/2020 | | CITI | | BRL | | 10,476,400 | | (46,416) | | — | | (46,416) |
| Decreases in total return of KOSPI 200 Index (At Termination) | | Increases in total return of KOSPI 200 Index (At Termination) | | 9/10/2020 | | GSC | | KRW | | 4,071,600,000 | | (112,578) | | — | | (112,578) |
| Decreases in total return of KOSPI 200 Index (At Termination) | | Increases in total return of KOSPI 200 Index (At Termination) | | 9/10/2020 | | CITI | | KRW | | 2,808,000,000 | | (80,966) | | — | | (80,966) |
| Financing Index: 1-Month ICE LIBOR USD - 0.05% (Monthly) | | MSCI Emerging Markets Korea Net Total Return USD Index | | 9/16/2020 | | GSC | | USD | | 241,867 | | (7,396) | | — | | (7,396) |
| MSCI Brazil Net Return BRL Index | | Financing Index: Brazil Cetip DI Interbank Deposit Rate - 0.45% (Monthly) | | 9/16/2020 | | GSC | | BRL | | 745,301 | | (806) | | — | | (806) |
| MSCI South Africa Net Return ZAR Index | | Financing Index: 1-Month SAFE South Africa JIBAR + 0.02% (Monthly) | | 9/16/2020 | | GSC | | ZAR | | 65,731,975 | | (12,959) | | — | | (12,959) |
| Financing Index: 28-Day Mexico Interbank TIIE + 0.15% (Monthly) | | MSCI Mexico Net MXN Index | | 9/17/2020 | | GSC | | MXN | | 3,241,008 | | (460) | | — | | (460) |
| Increases in total return of FTSE/JSE Shareholder Weighted Top 40 Index (At Termination) | | Decreases in total return of FTSE/JSE Shareholder Weighted Top 40 Index (At Termination) | | 9/17/2020 | | GSC | | ZAR | | 8,056,620 | | (8,235) | | — | | (8,235) |
| Subtotal Depreciation | | | | | | | | | | | | $(433,692) | | $ — | | $(433,692) |
| Net Total Return Swaps outstanding at June 30, 2020 | | $(216,612) | | $ — | | $(216,612) |
See Notes to Financial Statements.
EMERGING MARKETS EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2020, in valuing the Fund’s investments carried at fair value:
| | Total
Value | | Level 1
Quoted Prices | | Level 2
Other Significant
Observable Inputs | | Level 3
Significant
Unobservable Inputs |
| Assets: | | | | | | | |
| Investments in Securities: | | | | | | | |
| Common Stocks: | | | | | | | |
| Health Care | $ 7,206,497 | | $ 2,843,714 | | $ 4,362,783 | | $ — |
| Information Technology | 3,354,431 | | 1,654,200 | | 1,700,231 | | — |
| Materials | 337,974 | | 97,079 | | 240,895 | | — |
| Other ^^ | 16,603,687 | | 16,603,687 | | — | | — |
| Total Common Stocks | 27,502,589 | | 21,198,680 | | 6,303,909 | | — |
| Foreign Common Stocks: | | | | | | | |
| Brazil | 24,037,259 | | 24,037,259 | | — | | — |
| Canada | 1,242,027 | | 1,242,027 | | — | | — |
| Chile | 4,110,251 | | 4,110,251 | | — | | — |
| China | 131,711,302 | | 44,632,668 | | 87,078,634 | | — |
| Greece | 1,188,608 | | 1,005,864 | | 182,744 | | — |
| India | 45,501,505 | | 986,875 | | 44,514,630 | | — |
| Mexico | 9,876,759 | | 9,876,759 | | — | | — |
| Netherlands | 7,652,210 | | 7,652,210 | | — | | — |
| Peru | 5,556,965 | | 5,556,965 | | — | | — |
| Russia | 9,316,325 | | 1,430,221 | | 7,886,104 | | — |
| South Africa | 25,493,527 | | 9,318,361 | | 16,175,166 | | — |
| Taiwan | 69,038,527 | | 10,735,037 | | 58,303,490 | | — |
| Turkey | 1,304,199 | | 558,354 | | 745,845 | | — |
| United Kingdom | 13,170,308 | | 1,264,203 | | 11,906,105 | | — |
| Other ^^ | 143,974,376 | | — | | 143,974,376 | | — |
| Total Foreign Common Stocks | 493,174,148 | | 122,407,054 | | 370,767,094 | | — |
| Foreign Preferred Stocks | 3,071,549 | | 3,071,549 | | — | | — |
| Money Market Funds | 39,138,073 | | 39,138,073 | | — | | — |
| Total Assets - Investments in Securities | $562,886,359 | | $185,815,356 | | $377,071,003 | | $ — |
| Other Financial Instruments*** | | | | | | | |
| Forward Foreign Currency Contracts | $ 1,269,989 | | $ — | | $ 1,269,989 | | $ — |
| Futures Contracts | 61,294 | | 61,294 | | — | | — |
| Swap Agreements | 217,080 | | — | | 217,080 | | — |
| Total Assets - Other Financial Instruments | $ 1,548,363 | | $ 61,294 | | $ 1,487,069 | | $ — |
| | | | | | | | |
See Notes to Financial Statements.
| | 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 | $(1,396,912) | | $ — | | $(1,396,912) | | $ — |
| Futures Contracts | (578,849) | | (578,849) | | — | | — |
| Swap Agreements | (433,692) | | — | | (433,692) | | — |
| Total Liabilities - Other Financial Instruments | $(2,409,453) | | $(578,849) | | $(1,830,604) | | $ — |
| ^^ | 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. |
See Notes to Financial Statements.
| STATEMENTS OF ASSETS AND LIABILITIES | June 30, 2020 (Unaudited) |
| | Defensive Market
Strategies® Fund | | Equity Index
Fund |
| Assets | | | |
| Investments in securities of unaffiliated issuers, at value | $1,176,029,447 | | $2,032,882,355 |
| Investments in securities of affiliated issuers, at value | 62,758,246 | | 70,028,319 |
| Total investments, at value(1), (2) | 1,238,787,693 | | 2,102,910,674 |
| Cash | 2,013,859 | | — |
| Cash collateral for derivatives | — | | — |
| Deposits with broker for futures contracts | — | | 5,476,000 |
| Foreign currency(3) | 1 | | — |
| Receivables: | | | |
| Dividends and reclaims | 841,329 | | 1,258,750 |
| Interest | 1,553,880 | | — |
| Securities lending | 10,513 | | 23,291 |
| Investment securities sold | 2,755,086 | | — |
| Fund shares sold | 263,865 | | 396,229 |
| Variation margin on futures contracts | — | | 941,375 |
| Unrealized appreciation on foreign currency exchange contracts | 45,566 | | — |
| Unrealized appreciation on swap agreements | — | | — |
| Prepaid expenses and other assets | 48,743 | | 61,837 |
| Total Assets | 1,246,320,535 | | 2,111,068,156 |
| Liabilities | | | |
| Cash Overdraft | — | | 4,234 |
| Securities sold short, at value(4) | — | | — |
| Options written, at value(5) | 1,271,858 | | — |
| Unrealized depreciation on foreign currency exchange contracts | — | | — |
| Unrealized depreciation on swap agreements | — | | — |
| Collateral held for securities on loan, at value | 35,669,941 | | 4,262,211 |
| Collateral from counterparty | — | | — |
| Payables: | | | |
| Investment securities purchased | 1,710,847 | | — |
| Dividends on short sales | — | | — |
| Fund shares redeemed | 1,858,144 | | 1,166,681 |
| Variation margin on futures contracts | 329,375 | | — |
| Foreign capital gains taxes | — | | — |
| Accrued expenses: | | | |
| Investment advisory fees | 606,522 | | 150,528 |
| Shareholder servicing fees | 81,071 | | 124,758 |
| Trustee fees | 1,609 | | 2,517 |
| Other expenses | 251,247 | | 330,826 |
| Total Liabilities | 41,780,614 | | 6,041,755 |
| Net Assets | $1,204,539,921 | | $2,105,026,401 |
| Net Assets Consist of: | | | |
| Paid-in-capital | $1,100,540,310 | | $1,545,635,751 |
| Distributable earnings (loss) | 103,999,611 | | 559,390,650 |
| Net Assets | $1,204,539,921 | | $2,105,026,401 |
| Net Asset Value: | | | |
| $0.001 par value, unlimited shares authorized | | | |
| Net assets applicable to the Institutional Class | $ 809,944,847 | | $1,494,352,399 |
| Institutional shares outstanding | 64,489,908 | | 43,953,609 |
| Net asset value, offering and redemption price per Institutional share | $ 12.56 | | $ 34.00 |
| Net assets applicable to the Investor Class | $ 394,595,074 | | $ 610,674,002 |
| Investor shares outstanding | 31,412,596 | | 17,952,636 |
| Net asset value, offering and redemption price per Investor share | $ 12.56 | | $ 34.02 |
| | | |
| (1)Investments in securities of unaffiliated issuers, at cost | $1,053,975,583 | | $1,464,320,336 |
| Investments in securities of affiliated issuers, at cost | 62,758,246 | | 70,028,319 |
| Total investments, at cost | $1,116,733,829 | | $1,534,348,655 |
| (2)Includes securities loaned of: | $ 50,519,523 | | $ 50,987,760 |
| (3)Foreign currency, at cost | $ 1 | | $ — |
| (4)Proceeds from securities sold short | $ — | | $ — |
| (5)Premiums received on options written | $ 2,780,078 | | $ — |
| (6)Net of $(448,548) accrued foreign capital gains taxed on appreciated securities for International Equity Fund. |
See Notes to Financial Statements.
Value Equity
Fund | | Growth Equity
Fund | | Small Cap
Equity Fund | | International Equity
Index Fund | | International
Equity Fund | | Emerging Markets
Equity Fund |
| | | | | | | | | | | |
| $1,013,032,924 | | $1,684,010,226 | | $523,094,546 | | $665,345,331 | | $1,107,136,837 | | $541,532,905 |
| 43,849,516 | | 56,752,647 | | 31,307,543 | | 18,393,235 | | 72,442,108 | | 21,353,454 |
| 1,056,882,440 | | 1,740,762,873 | | 554,402,089 | | 683,738,566 | | 1,179,578,945 | | 562,886,359 |
| — | | 2,023,028 | | — | | 1,509,989 | | — | | — |
| — | | — | | — | | — | | 683,458 | | 1,160,054 |
| 1,759,856 | | — | | 1,800,000 | | 616,000 | | 10,424,714 | | 10,865,573 |
| — | | — | | — | | 2,618,607 | | 18,574,181 | | 12,217,638 |
| | | | | | | | | | | |
| 1,346,450 | | 605,342 | | 377,025 | | 2,656,409 | | 6,140,835 | | 1,180,961 |
| — | | — | | — | | — | | — | | 253,387 |
| 1,360 | | 113,222 | | 25,546 | | 17,617 | | 846 | | 424 |
| 1,126,211 | | — | | 1,770,056 | | 2,325 | | 260,851 | | 2,861,638 |
| 227,341 | | 234,553 | | 340,107 | | 58,107 | | 534,289 | | 529,795 |
| 286,450 | | 318,750 | | 193,680 | | — | | — | | — |
| 61,706 | | — | | — | | — | | 2,235,196 | | 1,269,989 |
| — | | — | | — | | — | | 32,138 | | 217,080 |
| 48,302 | | 63,517 | | 38,195 | | 22,676 | | 41,081 | | 26,952 |
| 1,061,740,116 | | 1,744,121,285 | | 558,946,698 | | 691,240,296 | | 1,218,506,534 | | 593,469,850 |
| | | | | | | | | | | |
| — | | — | | 286,519 | | — | | 15,759 | | — |
| — | | — | | — | | — | | 49,192,957 | | — |
| — | | — | | — | | — | | — | | — |
| — | | — | | — | | — | | 1,106,895 | | 1,396,912 |
| — | | — | | — | | — | | 174,055 | | 433,692 |
| 7,181,521 | | 11,621,953 | | 16,503,541 | | 18,029,669 | | 8,859,040 | | 1,104,610 |
| — | | — | | — | | — | | 1,430,000 | | 302,254 |
| | | | | | | | | | | |
| 609,186 | | — | | 2,810,394 | | — | | 9,523,899 | | 22,809,513 |
| — | | — | | — | | — | | 32,857 | | — |
| 122,781 | | 412,537 | | 120,709 | | 2,187 | | 68,551 | | 8,082 |
| — | | — | | — | | 37,958 | | 105,757 | | 70,023 |
| — | | — | | — | | — | | 448,548 | | — |
| | | | | | | | | | | |
| 510,237 | | 894,192 | | 393,813 | | 65,982 | | 737,858 | | 358,223 |
| 62,782 | | 163,928 | | 44,170 | | — | | 61,541 | | 13,137 |
| 1,407 | | 1,145 | | 566 | | 2,135 | | 1,378 | | 377 |
| 198,272 | | 245,590 | | 134,186 | | 206,566 | | 536,052 | | 433,348 |
| 8,686,186 | | 13,339,345 | | 20,293,898 | | 18,344,497 | | 72,295,147 | | 26,930,171 |
| $1,053,053,930 | | $1,730,781,940 | | $538,652,800 | | $672,895,799 | | $1,146,211,387 | | $566,539,679 |
| | | | | | | | | | | |
| $1,103,939,830 | | $1,023,460,098 | | $563,158,643 | | $712,030,956 | | $1,226,843,339 | | $570,373,845 |
| (50,885,900) | | 707,321,842 | | (24,505,843) | | (39,135,157) | | (80,631,952) (6) | | (3,834,166) |
| $1,053,053,930 | | $1,730,781,940 | | $538,652,800 | | $672,895,799 | | $1,146,211,387 | | $566,539,679 |
| | | | | | | | | | | |
| | | | | | | | | | | |
| $ 751,939,316 | | $ 919,283,087 | | $322,850,870 | | $672,895,799 | | $ 845,294,674 | | $500,039,484 |
| 47,741,945 | | 32,422,747 | | 22,935,472 | | 69,262,562 | | 70,130,884 | | 53,050,183 |
| $ 15.75 | | $ 28.35 | | $ 14.08 | | $ 9.72 | | $ 12.05 | | $ 9.43 |
| $ 301,114,614 | | $ 811,498,853 | | $215,801,930 | | N/A | | $ 300,916,713 | | $ 66,500,195 |
| 19,102,770 | | 28,861,175 | | 15,412,516 | | N/A | | 24,946,713 | | 7,064,420 |
| $ 15.76 | | $ 28.12 | | $ 14.00 | | N/A | | $ 12.06 | | $ 9.41 |
| | | | | | | | | | | |
| $ 998,418,364 | | $1,129,731,990 | | $519,692,382 | | $695,188,825 | | $1,118,407,280 | | $510,807,180 |
| 43,849,516 | | 56,752,647 | | 31,307,543 | | 18,393,235 | | 72,442,108 | | 21,353,454 |
| $1,042,267,880 | | $1,186,484,637 | | $550,999,925 | | $713,582,060 | | $1,190,849,388 | | $532,160,634 |
| $ 8,052,712 | | $ 135,710,430 | | $ 56,559,508 | | $ 31,001,437 | | $ 22,036,899 | | $ 6,758,615 |
| $ — | | $ — | | $ — | | $ 2,625,497 | | $ 18,560,694 | | $ 12,235,012 |
| $ — | | $ — | | $ — | | $ — | | $ 45,830,493 | | $ — |
| $ — | | $ — | | $ — | | $ — | | $ — | | $ — |
| | | | | | | | | | | |
See Notes to Financial Statements.
| STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2020 (Unaudited) |
| | Defensive Market
Strategies® Fund | | Equity Index
Fund |
| Investment Income | | | |
| Dividends | $ 7,381,323 | | $ 19,293,515 |
| Income distributions received from affiliated funds | 283,728 | | 226,661 |
| Interest | 2,518,585 | | 5,302 |
| Securities lending, net | 77,368 | | 112,433 |
| Less foreign taxes withheld | (103,870) | | (44,796) |
| Total Investment Income | 10,157,134 | | 19,593,115 |
| Expenses | | | |
| Investment advisory fees | 3,638,358 | | 881,363 |
| Transfer agent fees: | | | |
| Institutional shares | 2,422 | | 2,683 |
| Investor shares | 15,770 | | 19,928 |
| Custodian fees | 42,555 | | 21,094 |
| Shareholder servicing fees: | | | |
| Investor shares | 513,017 | | 734,419 |
| Accounting and administration fees | 126,199 | | 214,061 |
| Professional fees | 100,531 | | 49,610 |
| Shareholder reporting fees: | | | |
| Institutional shares | 656 | | 1,005 |
| Investor shares | 3,850 | | 8,142 |
| Trustees expenses | 2,617 | | 4,626 |
| Line of credit facility fees | 772 | | 1,480 |
| S&P license fees | — | | 102,174 |
| Interest expense | — | | — |
| Dividends on securities sold short | — | | — |
| Other expenses | 74,233 | | 78,844 |
| Recoupment of prior expenses reduced by the Advisor | — | | — |
| Total Expenses | 4,520,980 | | 2,119,429 |
| Fees paid indirectly | — | | — |
| Net Expenses | 4,520,980 | | 2,119,429 |
| Net Investment Income | 5,636,154 | | 17,473,686 |
| Realized and Unrealized Gain (Loss) | | | |
| Net realized gain (loss) from: | | | |
Investment securities
(net of capital gains taxes of $(30,690) for International Equity Fund) | 13,223,139 | | (3,555,911) |
| Investment securities sold short | — | | — |
| Futures transactions | 1,148,355 | | (2,285,844) |
| Swap agreements | — | | — |
| Option contracts written | (28,721,738) | | — |
| Forward foreign currency contracts | (268,642) | | — |
| Foreign currency | 17,162 | | — |
| Net realized gain (loss) | (14,601,724) | | (5,841,755) |
| Net change in unrealized appreciation (depreciation) on: | | | |
Investment securities
(net of estimated capital gains taxes of $(448,548) for International Equity Fund) | (51,913,117) | | (77,155,428) |
| Investment securities sold short | — | | — |
| Futures | (238,312) | | 975,644 |
| Swap agreements | — | | — |
| Option contracts written | 1,283,962 | | — |
| Forward foreign currency contracts | 235,062 | | — |
| Foreign currency | 4,250 | | — |
| Net change in unrealized appreciation (depreciation) | (50,628,155) | | (76,179,784) |
| Net Realized and Unrealized Gain (Loss) | (65,229,879) | | (82,021,539) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | $(59,593,725) | | $(64,547,853) |
See Notes to Financial Statements.
Value Equity
Fund | | Growth Equity
Fund | | Small Cap
Equity Fund | | International Equity
Index Fund | | International
Equity Fund | | Emerging Markets
Equity Fund |
| | | | | | | | | | | |
| $ 14,184,033 | | $ 7,229,565 | | $ 2,823,637 | | $ 10,474,975 | | $ 16,834,100 | | $ 5,063,679 |
| 167,413 | | 206,900 | | 83,389 | | 151,696 | | 248,224 | | 63,753 |
| — | | 7,826 | | 3,442 | | 2,085 | | — | | — |
| 37,586 | | 403,316 | | 110,500 | | 76,635 | | 43,196 | | 22,974 |
| (445,972) | | (126,456) | | (5,643) | | (690,589) | | (1,250,400) | | (421,660) |
| 13,943,060 | | 7,721,151 | | 3,015,325 | | 10,014,802 | | 15,875,120 | | 4,728,746 |
| | | | | | | | | | | |
| 3,061,578 | | 5,198,919 | | 2,317,563 | | 378,460 | | 4,418,417 | | 2,075,170 |
| | | | | | | | | | | |
| 2,289 | | 2,406 | | 2,397 | | 1,971 | | 2,700 | | 2,302 |
| 10,438 | | 16,828 | | 10,278 | | — | | 11,301 | | 6,766 |
| 39,916 | | 20,291 | | 57,806 | | 78,478 | | 295,935 | | 522,708 |
| | | | | | | | | | | |
| 396,770 | | 929,644 | | 265,350 | | — | | 371,704 | | 79,666 |
| 112,755 | | 171,916 | | 54,510 | | 71,547 | | 122,092 | | 50,761 |
| 55,389 | | 53,446 | | 56,699 | | 62,070 | | 63,340 | | 55,398 |
| | | | | | | | | | | |
| 496 | | 498 | | 596 | | — | | 700 | | 338 |
| 4,684 | | 9,203 | | 5,760 | | — | | 4,871 | | 785 |
| 2,555 | | 4,207 | | 1,922 | | 478 | | 2,632 | | 1,155 |
| 721 | | 1,449 | | 954 | | 45 | | 625 | | 281 |
| — | | — | | — | | — | | — | | — |
| 293 | | — | | — | | — | | — | | 6,513 |
| — | | — | | — | | — | | 673,243 | | — |
| 60,271 | | 72,508 | | 46,649 | | 131,538 | | 211,310 | | 56,625 |
| — | | — | | — | | 14,193 | | — | | 39,200 |
| 3,748,155 | | 6,481,315 | | 2,820,484 | | 738,780 | | 6,178,870 | | 2,897,668 |
| (6,331) | | (15,912) | | (26,593) | | — | | — | | (89) |
| 3,741,824 | | 6,465,403 | | 2,793,891 | | 738,780 | | 6,178,870 | | 2,897,579 |
| 10,201,236 | | 1,255,748 | | 221,434 | | 9,276,022 | | 9,696,250 | | 1,831,167 |
| | | | | | | | | | | |
| | | | | | | | | | | |
| (50,940,159) | | 156,886,272 | | (34,124,913) | | (6,251,044) | | (61,257,723) | | (21,841,175) |
| — | | — | | — | | — | | 5,630,888 | | — |
| 7,407,763 | | 3,497,171 | | 2,471,451 | | (7,394,495) | | 1,477,664 | | 2,383,505 |
| — | | — | | — | | — | | 1,723,825 | | 524,212 |
| — | | — | | — | | — | | — | | — |
| (1,022,505) | | — | | — | | — | | (1,966,547) | | (224,790) |
| 19,619 | | — | | — | | 33,544 | | (54,033) | | (534,725) |
| (44,535,282) | | 160,383,443 | | (31,653,462) | | (13,611,995) | | (54,445,926) | | (19,692,973) |
| | | | | | | | | | | |
| (150,411,797) | | (9,412,205) | | (33,127,176) | | (73,165,508) | | (120,321,661) | | (19,567,198) |
| — | | — | | — | | — | | 3,488,876 | | — |
| (133,134) | | (587,335) | | 577,952 | | (235,534) | | (1,039,556) | | (1,013,749) |
| — | | — | | — | | — | | 65,815 | | (1,076,888) |
| — | | — | | — | | — | | — | | — |
| 550,838 | | — | | — | | — | | 1,136,685 | | 277,612 |
| — | | — | | — | | (17,730) | | 41,702 | | (50,720) |
| (149,994,093) | | (9,999,540) | | (32,549,224) | | (73,418,772) | | (116,628,139) | | (21,430,943) |
| (194,529,375) | | 150,383,903 | | (64,202,686) | | (87,030,767) | | (171,074,065) | | (41,123,916) |
| $(184,328,139) | | $151,639,651 | | $(63,981,252) | | $(77,754,745) | | $(161,377,815) | | $(39,292,749) |
See Notes to Financial Statements.
| STATEMENTS OF CHANGES IN NET ASSETS |
| | Defensive Market Strategies® Fund |
| | For the Six
Months Ended | | For the Year Ended |
| | 06/30/20 | | 12/31/19 |
| | (Unaudited) | | |
| Operations: | | | |
| Net investment income | $ 5,636,154 | | $ 13,769,126 |
| Net realized gain (loss) on investment securities, foreign currency and derivatives | (14,601,724) | | 54,096,958 |
| Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | (50,628,155) | | 133,603,773 |
| Net increase (decrease) in net assets resulting from operations | (59,593,725) | | 201,469,857 |
| Distributions to Shareholders: | | | |
| Institutional shares | (9,296,003) | | (44,168,777) |
| Investor shares | (4,070,888) | | (24,120,475) |
| Total distributions | (13,366,891) | | (68,289,252) |
| Capital Share Transactions: | | | |
| Proceeds from shares sold | | | |
| Institutional shares | 75,099,370 | | 76,644,154 |
| Investor shares | 70,472,605 | | 133,164,309 |
| Reinvestment of dividends and distributions | | | |
| Institutional shares | 9,285,390 | | 44,116,263 |
| Investor shares | 3,959,021 | | 23,830,888 |
| Total proceeds from shares sold and reinvested | 158,816,386 | | 277,755,614 |
| Value of shares redeemed | | | |
| Institutional shares | (35,793,289) | | (56,912,886) |
| Investor shares | (108,043,432) | | (103,760,712) |
| Total value of shares redeemed | (143,836,721) | | (160,673,598) |
| Net increase (decrease) from capital share transactions(1) | 14,979,665 | | 117,082,016 |
| Total increase (decrease) in net assets | (57,980,951) | | 250,262,621 |
| Net Assets: | | | |
| Beginning of Period | 1,262,520,872 | | 1,012,258,251 |
| End of Period | $1,204,539,921 | | $1,262,520,872 |
| |
| (1) | See Note 6 in Notes to Financial Statements. |
See Notes to Financial Statements.
| Equity Index Fund | | Value Equity Fund | | Growth Equity Fund |
For the Six
Months Ended | | For the Year Ended | | For the Six
Months Ended | | For the Year Ended | | For the Six
Months Ended | | For the Year Ended |
| 06/30/20 | | 12/31/19 | | 06/30/20 | | 12/31/19 | | 06/30/20 | | 12/31/19 |
| (Unaudited) | | | | (Unaudited) | | | | (Unaudited) | | |
| | | | | | | | | | | |
| $ 17,473,686 | | $ 32,898,674 | | $ 10,201,236 | | $ 19,896,239 | | $ 1,255,748 | | $ 141,021 |
| (5,841,755) | | 16,892,045 | | (44,535,282) | | 128,696,083 | | 160,383,443 | | 163,335,695 |
| (76,179,784) | | 458,673,507 | | (149,994,093) | | 123,681,091 | | (9,999,540) | | 298,497,744 |
| (64,547,853) | | 508,464,226 | | (184,328,139) | | 272,273,413 | | 151,639,651 | | 461,974,460 |
| | | | | | | | | | | |
| (16,814,201) | | (32,906,901) | | (17,764,971) | | (91,183,177) | | (16,061,402) | | (86,626,597) |
| (6,209,701) | | (12,882,091) | | (6,799,021) | | (40,942,447) | | (13,472,004) | | (70,501,782) |
| (23,023,902) | | (45,788,992) | | (24,563,992) | | (132,125,624) | | (29,533,406) | | (157,128,379) |
| | | | | | | | | | | |
| | | | | | | | | | | |
| 140,563,187 | | 171,099,288 | | 76,749,639 | | 34,148,825 | | 50,748,926 | | 68,743,901 |
| 72,893,363 | | 90,260,475 | | 16,374,248 | | 29,718,622 | | 84,224,200 | | 70,435,756 |
| | | | | | | | | | | |
| 16,437,535 | | 32,447,882 | | 17,755,900 | | 91,139,115 | | 16,055,181 | | 86,582,221 |
| 6,183,292 | | 12,851,729 | | 6,781,641 | | 40,832,597 | | 13,445,046 | | 70,461,720 |
| 236,077,377 | | 306,659,374 | | 117,661,428 | | 195,839,159 | | 164,473,353 | | 296,223,598 |
| | | | | | | | | | | |
| (104,632,060) | | (132,040,161) | | (30,650,921) | | (91,784,085) | | (148,315,021) | | (155,258,516) |
| (74,501,089) | | (100,097,652) | | (39,960,060) | | (68,010,299) | | (105,632,189) | | (135,778,291) |
| (179,133,149) | | (232,137,813) | | (70,610,981) | | (159,794,384) | | (253,947,210) | | (291,036,807) |
| 56,944,228 | | 74,521,561 | | 47,050,447 | | 36,044,775 | | (89,473,857) | | 5,186,791 |
| (30,627,527) | | 537,196,795 | | (161,841,684) | | 176,192,564 | | 32,632,388 | | 310,032,872 |
| | | | | | | | | | | |
| 2,135,653,928 | | 1,598,457,133 | | 1,214,895,614 | | 1,038,703,050 | | 1,698,149,552 | | 1,388,116,680 |
| $2,105,026,401 | | $2,135,653,928 | | $1,053,053,930 | | $1,214,895,614 | | $1,730,781,940 | | $1,698,149,552 |
See Notes to Financial Statements.
| STATEMENTS OF CHANGES IN NET ASSETS |
| | Small Cap Equity Fund |
| | For the Six
Months Ended | | For the Year Ended |
| | 06/30/20 | | 12/31/19 |
| | (Unaudited) | | |
| Operations: | | | |
| Net investment income | $ 221,434 | | $ 447,076 |
| Net realized gain (loss) on investment securities, foreign currency and derivatives | (31,653,462) | | 26,632,218 |
| Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | (32,549,224) | | 95,496,405 |
| Net increase (decrease) in net assets resulting from operations | (63,981,252) | | 122,575,699 |
| Distributions to Shareholders: | | | |
| Institutional shares | — | | (12,633,420) |
| Investor shares | — | | (9,433,184) |
| Total distributions | — | | (22,066,604) |
| Capital Share Transactions: | | | |
| Proceeds from shares sold | | | |
| Institutional shares | 39,646,889 | | 42,279,164 |
| Investor shares | 12,560,938 | | 27,788,978 |
| Reinvestment of dividends and distributions | | | |
| Institutional shares | — | | 12,609,876 |
| Investor shares | — | | 9,422,258 |
| Total proceeds from shares sold and reinvested | 52,207,827 | | 92,100,276 |
| Value of shares redeemed | | | |
| Institutional shares | (18,780,610) | | (26,618,910) |
| Investor shares | (27,250,970) | | (57,230,474) |
| Total value of shares redeemed | (46,031,580) | | (83,849,384) |
| Net increase (decrease) from capital share transactions(1) | 6,176,247 | | 8,250,892 |
| Total increase (decrease) in net assets | (57,805,005) | | 108,759,987 |
| Net Assets: | | | |
| Beginning of Period | 596,457,805 | | 487,697,818 |
| End of Period | $538,652,800 | | $596,457,805 |
| |
| (1) | See Note 6 in Notes to Financial Statements. |
See Notes to Financial Statements.
| International Equity Index Fund | | International Equity Fund | | Emerging Markets Equity Fund |
For the Six
Months Ended | | For the Year Ended | | For the Six
Months Ended | | For the Year Ended | | For the Six
Months Ended | | For the Year Ended |
| 06/30/20 | | 12/31/19 | | 06/30/20 | | 12/31/19 | | 06/30/20 | | 12/31/19 |
| (Unaudited) | | | | (Unaudited) | | | | (Unaudited) | | |
| | | | | | | | | | | |
| $ 9,276,022 | | $ 19,347,299 | | $ 9,696,250 | | $ 27,314,506 | | $ 1,831,167 | | $ 8,850,162 |
| (13,611,995) | | 1,316,780 | | (54,445,926) | | 40,301,646 | | (19,692,973) | | 1,991,770 |
| (73,418,772) | | 100,183,811 | | (116,628,139) | | 185,919,521 | | (21,430,943) | | 77,153,785 |
| (77,754,745) | | 120,847,890 | | (161,377,815) | | 253,535,673 | | (39,292,749) | | 87,995,717 |
| | | | | | | | | | | |
| — | | (20,799,847) | | — | | (47,643,999) | | — | | (11,628,885) |
| — | | — | | — | | (16,556,051) | | — | | (1,621,711) |
| — | | (20,799,847) | | — | | (64,200,050) | | — | | (13,250,596) |
| | | | | | | | | | | |
| | | | | | | | | | | |
| 98,744,296 | | 76,342,779 | | 64,654,481 | | 60,770,646 | | 86,045,807 | | 42,650,660 |
| — | | — | | 34,919,106 | | 49,956,440 | | 12,702,179 | | 20,347,806 |
| | | | | | | | | | | |
| — | | 20,640,274 | | — | | 47,413,821 | | — | | 11,623,106 |
| — | | — | | 414 | | 16,496,111 | | — | | 1,620,358 |
| 98,744,296 | | 96,983,053 | | 99,574,001 | | 174,637,018 | | 98,747,986 | | 76,241,930 |
| | | | | | | | | | | |
| (61,957,711) | | (28,593,664) | | (63,364,214) | | (80,087,916) | | (9,808,350) | | (21,076,236) |
| — | | — | | (42,790,323) | | (50,451,367) | | (16,046,823) | | (22,140,113) |
| (61,957,711) | | (28,593,664) | | (106,154,537) | | (130,539,283) | | (25,855,173) | | (43,216,349) |
| 36,786,585 | | 68,389,389 | | (6,580,536) | | 44,097,735 | | 72,892,813 | | 33,025,581 |
| (40,968,160) | | 168,437,432 | | (167,958,351) | | 233,433,358 | | 33,600,064 | | 107,770,702 |
| | | | | | | | | | | |
| 713,863,959 | | 545,426,527 | | 1,314,169,738 | | 1,080,736,380 | | 532,939,615 | | 425,168,913 |
| $672,895,799 | | $713,863,959 | | $1,146,211,387 | | $1,314,169,738 | | $566,539,679 | | $532,939,615 |
See Notes to Financial Statements.
| FINANCIAL HIGHLIGHTS (Unaudited) |
| For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | | | | | | Ratios to Average Net Assets | |
| | Net Asset
Value,
Beginning
of Period | 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
Period | Total
Return | Net Assets,
End of Period
(000) | Expenses,
Net | Expenses,
Gross | Investment
Income,
Net
| Portfolio
Turnover
Rate |
| Defensive Market Strategies® Fund |
| Institutional Class |
| 2020(1) | $13.27 | $0.06 | $(0.62) | $(0.56) | $(0.09) | $(0.06) | $(0.15) | $12.56 | (4.25)% | $ 809,945 | 0.67% | 0.67% | 1.04% | 47% |
| 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(2) | 0.68 | 0.70 | 60 |
| 2016 | 11.21 | 0.17 | 1.15(3) | 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(3) | 0.28 | (0.17) | (0.51) | (0.68) | 11.21 | 2.43 | 443,499 | 0.72(2) | 0.73 | 1.46 | 55 |
| Investor Class |
| 2020(1) | $13.27 | $0.05 | $(0.63) | $(0.58) | $(0.07) | $(0.06) | $(0.13) | $12.56 | (4.37)% | $ 394,595 | 0.94% | 0.94% | 0.78% | 47% |
| 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(2) | 0.96 | 0.43 | 60 |
| 2016 | 11.22 | 0.14 | 1.15(3) | 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(3) | 0.25 | (0.12) | (0.51) | (0.63) | 11.22 | 2.16 | 167,117 | 0.99(2) | 1.00 | 1.12 | 55 |
| |
| Equity Index Fund |
| Institutional Class |
| 2020(1) | $35.45 | $0.30 | $(1.36) | $(1.06) | $(0.29) | $(0.10) | $(0.39) | $34.00 | (2.99)% | $1,494,352 | 0.13% | 0.13% | 1.81% | —%(4) |
| 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(3) | 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)(3) | 0.22 | (0.61) | (0.79) | (1.40) | 22.81 | 0.92 | 276,599 | 0.17 | 0.18 | 1.94 | 6 |
| Investor Class |
| 2020(1) | $35.47 | $0.26 | $(1.36) | $(1.10) | $(0.25) | $(0.10) | $(0.35) | $34.02 | (3.10)% | $ 610,674 | 0.41% | 0.41% | 1.55% | —%(4) |
| 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(3) | 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)(3) | 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) | For the six months ended June 30, 2020. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
| (2) | The ratio for the Defensive Market Strategies Fund includes the effect of fees paid indirectly which decreased the ratio by 0.00% for the years 2015 and 2017. |
| (3) | Amount includes Capital Gains distributions received by the Fund from the GuideStone Money Market Fund. The amount of these distributions represents less than $0.005 per share. |
| (4) | Rounds to less than 1%. |
See Notes to Financial Statements.
| For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | | | | | | Ratios to Average Net Assets | |
| | Net Asset
Value,
Beginning
of Period | 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
Period | Total
Return | Net Assets,
End of Period
(000) | Expenses,
Net | Expenses,
Gross | Investment
Income/
(Loss),
Net | Portfolio
Turnover
Rate |
| Value Equity Fund |
| Institutional Class |
| 2020(1) | $19.02 | $ 0.16 | $(3.04) | $(2.88) | $(0.15) | $(0.24) | $(0.39) | $15.75 | (15.19)% | $ 751,939 | 0.63%(2) | 0.63% | 2.00% | 112% |
| 2019 | 16.79 | 0.35 | 4.16 | 4.51 | (0.34) | (1.94) | (2.28) | 19.02 | 27.14 | 831,854 | 0.62(2) | 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(2) | 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(2) | 0.58 | 1.78 | 38 |
| 2016 | 19.75 | 0.41 | 2.30(3) | 2.71 | (0.46) | (0.82) | (1.28) | 21.18 | 14.11 | 920,433 | 0.59(2) | 0.60 | 2.05 | 36 |
| 2015 | 23.56 | 0.39 | (1.20)(3) | (0.81) | (0.44) | (2.56) | (3.00) | 19.75 | (3.44) | 917,208 | 0.61(2) | 0.62 | 1.73 | 32 |
| Investor Class |
| 2020(1) | $19.04 | $ 0.14 | $(3.06) | $(2.92) | $(0.12) | $(0.24) | $(0.36) | $15.76 | (15.34)% | $ 301,115 | 0.89%(2) | 0.89% | 1.74% | 112% |
| 2019 | 16.81 | 0.30 | 4.16 | 4.46 | (0.29) | (1.94) | (2.23) | 19.04 | 26.80 | 383,041 | 0.89(2) | 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(2) | 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(2) | 0.84 | 1.52 | 38 |
| 2016 | 19.46 | 0.35 | 2.33(3) | 2.68 | (0.26) | (0.68) | (0.94) | 21.20 | 13.84 | 370,589 | 0.86(2) | 0.87 | 1.78 | 36 |
| 2015 | 21.31 | 0.27 | (1.06)(3) | (0.79) | (0.08) | (0.98) | (1.06) | 19.46 | (3.70) | 324,440 | 0.89(2) | 0.89 | 1.26 | 32 |
| |
| Growth Equity Fund |
| Institutional Class |
| 2020(1) | $26.23 | $ 0.04 | $ 2.59 | $ 2.63 | $(0.05) | $(0.46) | $(0.51) | $28.35 | 10.01% | $ 919,283 | 0.68%(4) | 0.68% | 0.27% | 39% |
| 2019 | 21.47 | 0.03 | 7.36 | 7.39 | (0.03) | (2.60) | (2.63) | 26.23 | 34.79 | 934,297 | 0.71(4) | 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(4) | 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(4) | 0.73 | 0.12 | 41 |
| 2016 | 22.25 | —† | (0.22)(3) | (0.22) | — | (0.95) | (0.95) | 21.08 | (0.98) | 890,530 | 0.75(4) | 0.76 | 0.01 | 24 |
| 2015 | 25.80 | 0.02 | 1.38(3) | 1.40 | — | (4.95) | (4.95) | 22.25 | 5.67 | 932,232 | 0.77(4) | 0.78 | 0.09 | 79 |
| Investor Class |
| 2020(1) | $26.02 | $ —† | $ 2.58 | $ 2.58 | $(0.02) | $(0.46) | $(0.48) | $28.12 | 9.90% | $ 811,499 | 0.94%(4) | 0.94% | 0.02% | 39% |
| 2019 | 21.35 | (0.03) | 7.30 | 7.27 | — | (2.60) | (2.60) | 26.02 | 34.42 | 763,853 | 0.96(4) | 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(4) | 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(4) | 0.99 | (0.14) | 41 |
| 2016 | 22.02 | (0.05) | (0.24)(3) | (0.29) | — | (0.66) | (0.66) | 21.07 | (1.30) | 424,210 | 1.01(4) | 1.02 | (0.26) | 24 |
| 2015 | 22.92 | (0.05) | 1.27(3) | 1.22 | — | (2.12) | (2.12) | 22.02 | 5.44 | 483,385 | 1.04(4) | 1.06 | (0.21) | 79 |
| | | | | | | | | | | | | | | |
| # | Calculated using the average shares outstanding method. |
| † | Amount represents less than $0.005 per share. |
| (1) | For the six months ended June 30, 2020. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
| (2) | 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, 2019 and for the six months ended June 30, 2020. |
| (3) | Amount includes Capital Gains distributions received by the Fund from the GuideStone Money Market Fund. The amount of these distributions represents less than $0.005 per share. |
| (4) | The ratio for the Growth Equity Fund includes the effect of fees paid indirectly which decreased the ratio by 0.00% for the years 2015, 2016, 2017, 2018, 2019 and for the six months ended June 30, 2020. |
See Notes to Financial Statements.
FINANCIAL HIGHLIGHTS (Unaudited) (Continued)
| For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | | | | | | Ratios to Average Net Assets | |
| | Net Asset
Value,
Beginning
of Period | 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
Period | Total
Return | Net Assets,
End of Period
(000) | Expenses,
Net | Expenses,
Gross | Investment
Income/
(Loss),
Net | Portfolio
Turnover
Rate |
| Small Cap Equity Fund |
| Institutional Class |
| 2020(1) | $15.72 | $ 0.01 | $(1.65) | $(1.64) | $ — | $ — | $ — | $14.08 | (10.43)% | $322,851 | 0.98%(2) | 0.99% | 0.20% | 63% |
| 2019 | 13.04 | 0.03 | 3.26 | 3.29 | (0.02) | (0.59) | (0.61) | 15.72 | 25.29 | 338,440 | 1.00(2) | 1.01 | 0.20 | 84 |
| 2018 | 18.36 | 0.04 | (2.13)(3) | (2.09) | — | (3.23)(4) | (3.23) | 13.04 | (12.01) | 256,242 | 0.98(2) | 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(2) | 1.00 | 0.09 | 80 |
| 2016 | 15.14 | 0.06 | 2.59(5) | 2.65 | (0.07) | (0.19) | (0.26) | 17.53 | 17.48 | 265,627 | 1.01(2) | 1.03 | 0.36 | 77 |
| 2015 | 18.05 | 0.08 | (1.13)(5) | (1.05) | (0.06) | (1.80) | (1.86) | 15.14 | (5.66) | 264,962 | 1.00(2) | 1.03 | 0.45 | 74 |
| Investor Class |
| 2020(1) | $15.66 | $(0.01) | $(1.65) | $(1.66) | $ — | $ — | $ — | $14.00 | (10.60)% | $215,802 | 1.25%(2) | 1.26% | (0.08)% | 63% |
| 2019 | 13.01 | (0.01) | 3.25 | 3.24 | — | (0.59) | (0.59) | 15.66 | 24.97 | 258,018 | 1.26(2) | 1.27 | (0.06) | 84 |
| 2018 | 18.37 | (0.01) | (2.12)(3) | (2.13) | — | (3.23)(4) | (3.23) | 13.01 | (12.22) | 231,456 | 1.24(2) | 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(2) | 1.27 | (0.17) | 80 |
| 2016 | 15.17 | 0.02 | 2.59(5) | 2.61 | (0.03) | (0.19) | (0.22) | 17.56 | 17.17 | 266,994 | 1.27(2) | 1.30 | 0.11 | 77 |
| 2015 | 17.08 | 0.02 | (1.04)(5) | (1.02) | — | (0.89) | (0.89) | 15.17 | (5.91) | 236,850 | 1.24(2) | 1.27 | 0.13 | 74 |
| |
| International Equity Index Fund |
| Institutional Class |
| 2020(1) | $10.87 | $ 0.13 | $(1.28) | $(1.15) | $ — | $ — | $ — | $ 9.72 | (10.58)% | $672,896 | 0.22% | 0.22% | 2.76% | 7% |
| 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)(5) | 0.14 | (0.22) | — | (0.22) | 8.86 | 1.63 | 133,021 | 0.57 | 0.65 | 2.61 | 6 |
| 2015(6) | 10.00 | 0.07 | (1.06)(5) | (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) | For the six months ended June 30, 2020. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
| (2) | 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. For the six months ended June 30, 2020, the effect of fees paid indirectly decreased the ratio by 0.01%. |
| (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 $(8.59) and $(8.58) for the Institutional and Investor Class, respectively. |
| (4) | 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. |
| (5) | Amount includes Capital Gains distributions received by the Fund from the GuideStone Money Market Fund. The amount of these distributions represents less than $0.005 per share. |
| (6) | 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. |
See Notes to Financial Statements.
| For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | | | | | | Ratios to Average Net Assets | |
| | Net Asset
Value,
Beginning
of Period | 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
Period | Total
Return | Net Assets,
End of Period
(000) | Expenses,
Net | Expenses,
Gross | Investment
Income,
Net
| Portfolio
Turnover
Rate |
| International Equity Fund |
| Institutional Class |
| 2020(1) | $13.78 | $0.10 | $(1.83) | $(1.73) | $ — | $ — | $ — | $12.05 | (12.55)% | $ 845,294 | 1.01%(2) | 1.01%(2) | 1.76% | 45% |
| 2019 | 11.74 | 0.31(3) | 2.44 | 2.75 | (0.31) | (0.40) | (0.71) | 13.78 | 23.45 | 963,046 | 1.07(2) | 1.07(2) | 2.31(3) | 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)(4) | 0.93(2) | 1.63 | 42 |
| 2016 | 13.14 | 0.27 | 0.13(5) | 0.40 | (0.27) | (0.11) | (0.38) | 13.16 | 2.96 | 1,017,929 | 1.00(2)(4) | 1.01(2) | 2.09 | 33 |
| 2015 | 14.25 | 0.22 | (0.50)(5) | (0.28) | (0.26) | (0.57) | (0.83) | 13.14 | (1.93) | 1,030,729 | 1.03(2)(4) | 1.05(2) | 1.49 | 43 |
| Investor Class |
| 2020(1) | $13.81 | $0.09 | $(1.84) | $(1.75) | $ — | $ — | $ — | $12.06 | (12.67)% | $ 300,917 | 1.27%(2) | 1.27%(2) | 1.49% | 45% |
| 2019 | 11.77 | 0.27(3) | 2.45 | 2.72 | (0.28) | (0.40) | (0.68) | 13.81 | 23.10 | 351,124 | 1.35(2) | 1.34(2) | 2.05(3) | 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)(4) | 1.19(2) | 1.37 | 42 |
| 2016 | 13.18 | 0.24 | 0.11(5) | 0.35 | (0.24) | (0.11) | (0.35) | 13.18 | 2.62 | 264,295 | 1.27(2)(4) | 1.28(2) | 1.81 | 33 |
| 2015 | 14.03 | 0.24 | (0.55)(5) | (0.31) | (0.12) | (0.42) | (0.54) | 13.18 | (2.16) | 245,976 | 1.35(2)(4) | 1.39(2) | 1.68 | 43 |
| |
| Emerging Markets Equity Fund |
| Institutional Class |
| 2020(1) | $10.19 | $0.04 | $(0.80) | $(0.76) | $ — | $ — | $ — | $ 9.43 | (7.46)% | $ 500,040 | 1.16%(6) | 1.16% | 0.83% | 38% |
| 2019 | 8.71 | 0.18(7) | 1.57 | 1.75 | (0.27) | — | (0.27) | 10.19 | 20.06 | 457,074 | 1.19(6) | 1.19 | 1.92(7) | 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(5) | 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)(5) | (1.72) | (0.03) | — | (0.03) | 7.34 | (18.93) | 272,123 | 1.28(6) | 1.50 | 1.36 | 39 |
| Investor Class |
| 2020(1) | $10.20 | $0.02 | $(0.81) | $(0.79) | $ — | $ — | $ — | $ 9.41 | (7.75)% | $ 66,500 | 1.57%(6) | 1.45% | 0.38% | 38% |
| 2019 | 8.72 | 0.14(7) | 1.57 | 1.71 | (0.23) | — | (0.23) | 10.20 | 19.64 | 75,866 | 1.57(6) | 1.57 | 1.48(7) | 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(5) | 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)(5) | (1.74) | — | — | — | 7.35 | (19.14) | 25,659 | 1.51(6) | 1.83 | 0.58 | 39 |
| | | | | | | | | | | | | | | |
| # | Calculated using the average shares outstanding method. |
| (1) | For the six months ended June 30, 2020. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
| (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%. For the six months ended June 30, 2020, the effect of dividend expense on securities sold short increased the ratio by 0.12%. |
| (3) | 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. |
| (4) | 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. |
| (5) | Amount includes Capital Gains distributions received by the Fund from the GuideStone Money Market Fund. The amount of these distributions represents less than $0.005 per share. |
| (6) | 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, 2019 and for the six months ended June 30, 2020. |
| (7) | 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. |
See Notes to Financial Statements.
GLOBAL REAL ESTATE SECURITIES FUND
June 30, 2020 (Unaudited)
| | | Shares | | Value |
| COMMON STOCKS — 53.8% |
| Consumer Discretionary — 0.3% | | |
| Hyatt Hotels Corporation Class A | 11,769 | | $ 591,863 |
| Real Estate — 53.5% | | |
| Agree Realty Corporation REIT | 46,467 | | 3,053,347 |
| Alexandria Real Estate Equities, Inc. REIT | 27,526 | | 4,466,093 |
| American Assets Trust, Inc. REIT | 28,683 | | 798,535 |
| American Campus Communities, Inc. REIT | 20,297 | | 709,583 |
| American Homes 4 Rent Class A REIT | 52,415 | | 1,409,964 |
| American Tower Corporation REIT | 9,865 | | 2,550,497 |
| Apartment Investment and Management Co. Class A REIT | 30,160 | | 1,135,222 |
| Apple Hospitality REIT, Inc. | 117,366 | | 1,133,756 |
| Boston Properties, Inc. REIT | 16,169 | | 1,461,354 |
| Brixmor Property Group, Inc. REIT | 33,866 | | 434,162 |
| Cousins Properties, Inc. REIT | 74,698 | | 2,228,241 |
| CyrusOne, Inc. REITΔ | 36,664 | | 2,667,306 |
| DiamondRock Hospitality Co. REIT | 145,792 | | 806,230 |
| Digital Realty Trust, Inc. REITΔ | 19,286 | | 2,740,733 |
| Duke Realty Corporation REIT | 56,917 | | 2,014,293 |
| EastGroup Properties, Inc. REIT | 20,990 | | 2,489,624 |
| Equinix, Inc. REIT | 3,036 | | 2,132,183 |
| Equity LifeStyle Properties, Inc. REIT | 64,051 | | 4,001,906 |
| Equity Residential REIT | 17,940 | | 1,055,231 |
| Essential Properties Realty Trust, Inc. REIT | 173,285 | | 2,571,549 |
| Essex Property Trust, Inc. REIT | 10,925 | | 2,503,682 |
| Extra Space Storage, Inc. REIT | 33,563 | | 3,100,214 |
| First Industrial Realty Trust, Inc. REIT | 31,130 | | 1,196,637 |
| Healthcare Trust of America, Inc. Class A REITΔ | 38,139 | | 1,011,446 |
| Healthpeak Properties, Inc. REIT | 72,969 | | 2,011,026 |
| Highwoods Properties, Inc. REIT | 95,056 | | 3,548,440 |
| Hudson Pacific Properties, Inc. REIT | 25,517 | | 642,008 |
| Invitation Homes, Inc. REIT | 194,435 | | 5,352,796 |
| Kimco Realty Corporation REIT | 177,390 | | 2,277,688 |
| Life Storage, Inc. REIT | 33,259 | | 3,157,942 |
| Medical Properties Trust, Inc. REIT | 53,199 | | 1,000,141 |
| Mid-America Apartment Communities, Inc. REIT | 44,944 | | 5,153,728 |
| New Senior Investment Group, Inc. REIT | 46,606 | | 168,714 |
| Omega Healthcare Investors, Inc. REIT | 70,719 | | 2,102,476 |
| Pebblebrook Hotel Trust REIT | 27,563 | | 376,511 |
| Physicians Realty Trust REIT | 63,162 | | 1,106,598 |
| Piedmont Office Realty Trust, Inc. Class A REIT | 49,775 | | 826,763 |
| Prologis, Inc. REIT | 130,319 | | 12,162,672 |
| QTS Realty Trust, Inc. Class A REIT | 10,000 | | 640,900 |
| Realty Income Corporation REIT | 76,433 | | 4,547,763 |
| Regency Centers Corporation REIT | 48,471 | | 2,224,334 |
| Rexford Industrial Realty, Inc. REIT | 49,625 | | 2,055,964 |
| Sabra Health Care REIT, Inc. | 69,442 | | 1,002,048 |
| SBA Communications Corporation REIT | 8,109 | | 2,415,833 |
| | | Shares | | Value |
| Simon Property Group, Inc. REIT | 32,955 | | $ 2,253,463 |
| SITE Centers Corporation REIT | 47,810 | | 387,261 |
| STORE Capital Corporation REIT | 18,170 | | 432,628 |
| Summit Hotel Properties, Inc. REIT | 99,248 | | 588,541 |
| Sun Communities, Inc. REIT | 15,795 | | 2,143,066 |
| Sunstone Hotel Investors, Inc. REIT | 72,548 | | 591,266 |
| UDR, Inc. REIT | 103,004 | | 3,850,290 |
| Weingarten Realty Investors REIT | 46,442 | | 879,147 |
| Welltower, Inc. REIT | 136,475 | | 7,062,581 |
| | | | | 118,634,376 |
Total Common Stocks
(Cost $120,182,452) | | 119,226,239 |
| FOREIGN COMMON STOCKS — 43.0% |
| Australia — 3.3% | | |
| Dexus REIT | 117,006 | | 750,982 |
| Goodman Group REIT | 40,006 | | 412,791 |
| GPT Group (The) REIT (Athens Exchange) | 522,023 | | 1,516,537 |
| Growthpoint Properties Australia, Ltd. REIT | 172,777 | | 384,287 |
| Ingenia Communities Group REIT | 102,483 | | 320,364 |
| Mirvac Group REIT | 1,097,732 | | 1,658,238 |
| Scentre Group REIT | 502,991 | | 763,612 |
| Shopping Centres Australasia Property Group REIT | 306,360 | | 461,869 |
| Stockland REIT | 340,125 | | 788,683 |
| Waypoint REIT | 147,895 | | 267,104 |
| | | | | 7,324,467 |
| Austria — 0.2% | | |
| CA Immobilien Anlagen AGΔ* | 10,820 | | 361,761 |
| Belgium — 1.2% | | |
| Aedifica SA REIT | 9,508 | | 1,041,220 |
| VGP NV | 2,489 | | 318,448 |
| Warehouses De Pauw CVA REIT | 33,218 | | 912,600 |
| Xior Student Housing NV REIT | 8,750 | | 470,314 |
| | | | | 2,742,582 |
| Canada — 2.8% | | |
| Canadian Apartment Properties REIT | 35,401 | | 1,267,041 |
| Dream Office REIT | 44,183 | | 667,822 |
| Granite REIT | 26,150 | | 1,349,491 |
| InterRent REIT | 77,161 | | 814,464 |
| Minto Apartment REIT | 45,210 | | 662,698 |
| RioCan REIT | 81,784 | | 925,311 |
| Summit Industrial Income REIT | 68,790 | | 580,175 |
| | | | | 6,267,002 |
| France — 1.2% | | |
| Covivio REIT | 4,622 | | 335,251 |
| Gecina SA REIT | 15,890 | | 1,962,529 |
| Klepierre REIT | 12,494 | | 249,740 |
| | | | | 2,547,520 |
| Germany — 5.3% | | |
| alstria office REIT-AG* | 43,832 | | 652,361 |
| Aroundtown SA* | 129,895 | | 744,534 |
| Deutsche Wohnen SE | 83,323 | | 3,744,171 |
| TAG Immobilien AG* | 20,670 | | 493,682 |
See Notes to Financial Statements.
| | | Shares | | Value |
| Vonovia SE | 100,233 | | $ 6,126,549 |
| | | | | 11,761,297 |
| Hong Kong — 5.5% | | |
| CK Asset Holdings, Ltd. | 178,174 | | 1,068,473 |
| ESR Cayman, Ltd. 144A* | 87,800 | | 208,467 |
| Hysan Development Co., Ltd. | 156,486 | | 505,174 |
| Link REIT | 351,518 | | 2,886,021 |
| New World Development Co., Ltd. | 638,217 | | 3,030,306 |
| Sun Hung Kai Properties, Ltd. | 172,467 | | 2,204,100 |
| Swire Properties, Ltd. | 766,671 | | 1,957,441 |
| Wharf Holdings, Ltd. (The)Δ | 149,979 | | 306,883 |
| | | | | 12,166,865 |
| Japan — 10.8% | | |
| Activia Properties, Inc. REIT | 432 | | 1,496,934 |
| Daibiru Corporation | 70,200 | | 643,287 |
| Daiwa House REIT Investment Corporation | 202 | | 475,226 |
| Daiwa Securities Living Investments Corporation REIT | 1,296 | | 1,206,995 |
| Global One Real Estate Investment Corporation REIT | 1,268 | | 1,176,974 |
| GLP J-REIT | 609 | | 880,036 |
| Hulic Reit, Inc. | 1,124 | | 1,397,088 |
| Japan Real Estate Investment Corporation REITΔ | 185 | | 949,441 |
| Japan Retail Fund Investment Corporation REIT | 383 | | 479,048 |
| Kenedix Office Investment Corporation REIT | 70 | | 391,133 |
| Kenedix Residential Next Investment Corporation REIT | 307 | | 530,506 |
| Kenedix Retail REIT Corporation | 685 | | 1,282,528 |
| Mitsubishi Estate Co., Ltd. | 241,309 | | 3,595,943 |
| Mitsubishi Estate Logistics REIT Investment Corporation | 75 | | 275,929 |
| Mitsui Fudosan Co., Ltd. | 129,727 | | 2,304,565 |
| Mori Hills Investment Corporation REIT | 366 | | 461,037 |
| Mori Trust Hotel Reit, Inc. | 778 | | 709,830 |
| Mori Trust Sogo REIT, Inc. | 613 | | 756,154 |
| Nomura Real Estate Master Fund, Inc. REIT | 743 | | 889,889 |
| Orix JREIT, Inc.Δ | 420 | | 553,616 |
| Sumitomo Realty & Development Co., Ltd. | 98,589 | | 2,721,321 |
| United Urban Investment Corporation REIT | 422 | | 454,515 |
| XYMAX REIT Investment Corporation | 356 | | 300,866 |
| | | | | 23,932,861 |
| Netherlands — 0.9% | | |
| Unibail-Rodamco-Westfield REITΔ | 35,785 | | 2,017,087 |
| Singapore — 3.5% | | |
| Ascendas India Trust | 218,600 | | 211,973 |
| Ascendas REIT | 285,522 | | 655,105 |
| | | Shares | | Value |
| CapitaLand Mall Trust REIT | 794,900 | | $ 1,127,908 |
| CapitaLand, Ltd.* | 666,500 | | 1,408,078 |
| City Developments, Ltd. | 93,226 | | 569,711 |
| Frasers Centrepoint Trust REITΔ | 195,417 | | 327,458 |
| Keppel DC REIT | 292,899 | | 536,394 |
| Mapletree Industrial Trust REIT | 1,275,070 | | 2,652,428 |
| Mapletree Logistics Trust REIT | 143,400 | | 201,320 |
| | | | | 7,690,375 |
| Spain — 0.7% | | |
| Arima Real Estate SOCIMI SA REIT* | 45,187 | | 446,755 |
| Inmobiliaria Colonial Socimi SA REIT | 122,538 | | 1,083,472 |
| | | | | 1,530,227 |
| Sweden — 2.3% | | |
| Castellum AB | 53,426 | | 1,001,093 |
| Fabege AB | 152,679 | | 1,795,595 |
| Fastighets AB Balder, B Shares* | 35,954 | | 1,375,643 |
| Nyfosa AB* | 51,266 | | 351,851 |
| Pandox AB* | 54,452 | | 632,054 |
| | | | | 5,156,236 |
| Switzerland — 0.3% | | |
| PSP Swiss Property AG | 6,189 | | 697,103 |
| United Kingdom — 5.0% | | |
| Assura PLC REIT | 661,517 | | 641,913 |
| Big Yellow Group PLC REIT | 46,262 | | 575,843 |
| British Land Co. PLC (The) REIT | 160,072 | | 765,699 |
| Derwent London PLC REIT | 34,911 | | 1,200,897 |
| Grainger PLC | 228,030 | | 809,147 |
| Great Portland Estates PLC REIT | 71,404 | | 559,403 |
| Helical PLC | 129,365 | | 498,164 |
| Primary Health Properties PLC REIT | 157,815 | | 305,839 |
| PRS REIT PLC (The) | 417,645 | | 385,232 |
| Safestore Holdings PLC REIT | 34,375 | | 309,842 |
| Segro PLC REIT | 225,240 | | 2,491,150 |
| Supermarket Income REIT PLC | 103,458 | | 142,617 |
| Tritax Big Box REIT PLC | 93,768 | | 168,458 |
| Tritax EuroBox PLC 144A | 225,362 | | 269,756 |
| UNITE Group PLC (The) REIT | 134,630 | | 1,567,698 |
| Urban & Civic PLC | 99,401 | | 286,981 |
| | | | | 10,978,639 |
Total Foreign Common Stocks
(Cost $100,210,460) | | 95,174,022 |
See Notes to Financial Statements.
GLOBAL REAL ESTATE SECURITIES FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | Shares | | Value |
| MONEY MARKET FUNDS — 3.0% |
GuideStone Money Market Fund, 0.16%
(Institutional Class)Ø∞
(Cost $6,656,766) | 6,656,766 | | $ 6,656,766 |
TOTAL INVESTMENTS — 99.8%
(Cost $227,049,678) | | | 221,057,027 |
Other Assets in Excess of
Liabilities — 0.2% | | | 508,212 |
| NET ASSETS — 100.0% | | | $221,565,239 |
PORTFOLIO SUMMARY (based on net assets)
| | % |
| Real Estate | 96.2 |
| Money Market Funds | 3.0 |
| Consumer Discretionary | 0.6 |
| | 99.8 |
Futures Contracts outstanding at June 30, 2020:
| 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 | | 09/2020 | | 12 | | $2,134,920 | | $30,857 |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2020, in valuing the Fund’s investments carried at fair value:
| | Total
Value | | Level 1
Quoted Prices | | Level 2
Other Significant
Observable Inputs | | Level 3
Significant
Unobservable Inputs |
| Assets: | | | | | | | |
| Investments in Securities: | | | | | | | |
| Common Stocks | $119,226,239 | | $119,226,239 | | $ — | | $ — |
| Foreign Common Stocks: | | | | | | | |
| Canada | 6,267,002 | | 6,267,002 | | — | | — |
| Hong Kong | 12,166,865 | | 3,030,306 | | 9,136,559 | | — |
| Spain | 1,530,227 | | 446,755 | | 1,083,472 | | — |
| United Kingdom | 10,978,639 | | 429,598 | | 10,549,041 | | — |
| Other ^^ | 64,231,289 | | — | | 64,231,289 | | — |
| Total Foreign Common Stocks | 95,174,022 | | 10,173,661 | | 85,000,361 | | — |
| Money Market Funds | 6,656,766 | | 6,656,766 | | — | | — |
| Total Assets - Investments in Securities | $221,057,027 | | $136,056,666 | | $85,000,361 | | $ — |
| Other Financial Instruments*** | | | | | | | |
| Futures Contracts | $ 30,857 | | $ 30,857 | | $ — | | $ — |
| Total Assets - Other Financial Instruments | $ 30,857 | | $ 30,857 | | $ — | | $ — |
| ^^ | 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. |
See Notes to Financial Statements.
| STATEMENTS OF ASSETS AND LIABILITIES | June 30, 2020 (Unaudited) |
| | Global
Real Estate
Securities Fund |
| Assets | |
| Investments in securities of unaffiliated issuers, at value | $214,400,261 |
| Investments in securities of affiliated issuers, at value | 6,656,766 |
| Total investments, at value(1), (2) | 221,057,027 |
| Cash | 190,514 |
| Foreign currency(3) | 320,896 |
| Receivables: | |
| Dividends and reclaims | 928,578 |
| Securities lending | 1,358 |
| Investment securities sold | 563,090 |
| Fund shares sold | 86,905 |
| Variation margin on futures contracts | 27,840 |
| Prepaid expenses and other assets | 44,142 |
| Total Assets | 223,220,350 |
| Liabilities | |
| Payables: | |
| Investment securities purchased | 1,363,527 |
| Fund shares redeemed | 22,058 |
| Accrued expenses: | |
| Investment advisory fees | 125,899 |
| Shareholder servicing fees | 17,262 |
| Trustee fees | 450 |
| Other expenses | 125,915 |
| Total Liabilities | 1,655,111 |
| Net Assets | $221,565,239 |
| Net Assets Consist of: | |
| Paid-in-capital | $259,684,930 |
| Distributable earnings (loss) | (38,119,691) |
| Net Assets | $221,565,239 |
| Net Asset Value: | |
| $0.001 par value, unlimited shares authorized | |
| Net assets applicable to the Institutional Class | $139,082,990 |
| Institutional shares outstanding | 16,811,544 |
| Net asset value, offering and redemption price per Institutional share | $ 8.27 |
| Net assets applicable to the Investor Class | $ 82,482,249 |
| Investor shares outstanding | 9,930,249 |
| Net asset value, offering and redemption price per Investor share | $ 8.31 |
| |
| (1)Investments in securities of unaffiliated issuers, at cost | $220,392,912 |
| Investments in securities of affiliated issuers, at cost | 6,656,766 |
| Total investments, at cost | $227,049,678 |
| (2)Includes securities loaned of: | $ 10,480,026 |
| (3)Foreign currency, at cost | $ 320,922 |
See Notes to Financial Statements.
| STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2020 (Unaudited) |
| | Global
Real Estate
Securities Fund |
| Investment Income | |
| Dividends | $ 3,616,696 |
| Income distributions received from affiliated funds | 29,395 |
| Interest | 197 |
| Securities lending, net | 11,476 |
| Less foreign taxes withheld | (97,516) |
| Total Investment Income | 3,560,248 |
| Expenses | |
| Investment advisory fees | 778,128 |
| Transfer agent fees: | |
| Institutional shares | 2,234 |
| Investor shares | 8,387 |
| Custodian fees | 81,921 |
| Shareholder servicing fees: | |
| Investor shares | 111,136 |
| Accounting and administration fees | 24,412 |
| Professional fees | 49,667 |
| Shareholder reporting fees: | |
| Institutional shares | 532 |
| Investor shares | 1,486 |
| Trustees expenses | 903 |
| Line of credit facility fees | 470 |
| Other expenses | 36,061 |
| Total Expenses | 1,095,337 |
| Fees paid indirectly | (7,979) |
| Net Expenses | 1,087,358 |
| Net Investment Income | 2,472,890 |
| Realized and Unrealized Gain (Loss) | |
| Net realized gain (loss) from: | |
| Investment securities | (20,761,432) |
| Futures transactions | 733,502 |
| Foreign currency | 8,719 |
| Net realized loss | (20,019,211) |
| Net change in unrealized appreciation (depreciation) on: | |
| Investment securities | (28,204,992) |
| Futures | (65,723) |
| Foreign currency | (4,308) |
| Net change in unrealized appreciation (depreciation) | (28,275,023) |
| Net Realized and Unrealized Loss | (48,294,234) |
| Net Decrease in Net Assets Resulting from Operations | $(45,821,344) |
See Notes to Financial Statements.
| STATEMENTS OF CHANGES IN NET ASSETS |
| | Global Real Estate Securities Fund |
| | For the Six
Months Ended | | For the Year Ended |
| | 06/30/20 | | 12/31/19 |
| | (Unaudited) | | |
| Operations: | | | |
| Net investment income | $ 2,472,890 | | $ 4,994,544 |
| Net realized gain (loss) on investment securities, foreign currency and derivatives | (20,019,211) | | 16,506,863 |
| Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | (28,275,023) | | 31,091,570 |
| Net increase (decrease) in net assets resulting from operations | (45,821,344) | | 52,592,977 |
| Distributions to Shareholders: | | | |
| Institutional shares | (3,050,974) | | (11,663,016) |
| Investor shares | (1,693,815) | | (7,460,096) |
| Total distributions | (4,744,789) | | (19,123,112) |
| Capital Share Transactions: | | | |
| Proceeds from shares sold | | | |
| Institutional shares | 13,090,130 | | 21,320,503 |
| Investor shares | 11,853,041 | | 30,357,678 |
| Reinvestment of dividends and distributions | | | |
| Institutional shares | 3,031,486 | | 11,610,021 |
| Investor shares | 1,682,591 | | 7,408,256 |
| Total proceeds from shares sold and reinvested | 29,657,248 | | 70,696,458 |
| Value of shares redeemed | | | |
| Institutional shares | (6,151,222) | | (26,971,710) |
| Investor shares | (15,210,150) | | (28,833,472) |
| Total value of shares redeemed | (21,361,372) | | (55,805,182) |
| Net increase from capital share transactions(1) | 8,295,876 | | 14,891,276 |
| Total increase (decrease) in net assets | (42,270,257) | | 48,361,141 |
| Net Assets: | | | |
| Beginning of Period | 263,835,496 | | 215,474,355 |
| End of Period | $221,565,239 | | $263,835,496 |
| |
| (1) | See Note 6 in Notes to Financial Statements. |
See Notes to Financial Statements.
| FINANCIAL HIGHLIGHTS (Unaudited) |
| For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | | | | | | Ratios to Average Net Assets | |
| | Net Asset
Value,
Beginning
of Period | 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
Period | Total
Return | Net Assets,
End of Period
(000) | Expenses,
Net | Expenses,
Gross | Investment
Income,
Net
| Portfolio
Turnover
Rate |
| Global Real Estate Securities Fund |
| Institutional Class |
| 2020(1) | $10.21 | $0.10 | $(1.85) | $(1.75) | $(0.12) | $(0.07) | $(0.19) | $ 8.27 | (17.21)% | $139,083 | 0.84%(2) | 0.85% | 2.27% | 90% |
| 2019 | 8.83 | 0.22 | 1.95 | 2.17 | (0.61) | (0.18) | (0.79) | 10.21 | 24.87 | 159,523 | 0.82(2) | 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(2) | 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(2) | 0.88 | 2.86 | 138 |
| 2016 | 9.46 | 0.20 | 0.18(3) | 0.38 | (0.50) | (0.24) | (0.74) | 9.10 | 4.07 | 123,574 | 0.88(2) | 0.90 | 2.07 | 130 |
| 2015(4) | 10.50 | 0.12 | (0.33) | (0.21) | (0.27) | (0.56) | (0.83) | 9.46 | (1.89) | 159,196 | 0.93(2) | 0.94 | 1.83 | 137 |
| Investor Class |
| 2020(1) | $10.25 | $0.09 | $(1.86) | $(1.77) | $(0.10) | $(0.07) | $(0.17) | $ 8.31 | (17.25)% | $ 82,482 | 1.11%(2) | 1.12% | 1.97% | 90% |
| 2019 | 8.87 | 0.19 | 1.95 | 2.14 | (0.58) | (0.18) | (0.76) | 10.25 | 24.42 | 104,312 | 1.09(2) | 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(2) | 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(2) | 1.13 | 2.56 | 138 |
| 2016 | 9.49 | 0.16 | 0.19(3) | 0.35 | (0.47) | (0.24) | (0.71) | 9.13 | 3.78 | 100,810 | 1.14(2) | 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(2) | 1.17 | 1.50 | 137 |
| | | | | | | | | | | | | | | |
| # | Calculated using the average shares outstanding method. |
| (1) | For the six months ended June 30, 2020. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
| (2) | 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, 2019 and 0.00% for the six months ended June 30, 2020. |
| (3) | Amount includes Capital Gains distributions received by the Fund from the GuideStone Money Market Fund. The amount of these distributions represents less than $0.005 per share. |
| (4) | Inception date was May 1, 2015. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
See Notes to Financial Statements.
STRATEGIC ALTERNATIVES FUND
June 30, 2020 (Unaudited)
| | | Par | | Value |
| ASSET-BACKED SECURITIES — 3.8% |
| American Express Credit Account Master Trust, Series 2017-2, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 0.45%), 0.63%, 09/16/24† | $1,165,000 | | $1,170,124 |
| American Express Credit Account Master Trust, Series 2019-4, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 0.24%), 0.42%, 04/15/24† | 500,000 | | 501,323 |
| Capital One Multi-Asset Execution Trust, Series 2016-A7, Class A7 | | | |
| (Floating, ICE LIBOR USD 1M + 0.51%), 0.69%, 09/16/24† | 791,000 | | 795,384 |
| Capital One Prime Auto Receivables Trust, Series 2019-1, Class A2 | | | |
| 2.58%, 04/15/22 | 555,717 | | 559,772 |
| CARDS II Trust, Series 2019-1A, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 0.39%), 0.57%, 05/15/24 144A † | 370,000 | | 370,535 |
| Chase Issuance Trust, Series 2016-A3, Class A3 | | | |
| (Floating, ICE LIBOR USD 1M + 0.55%), 0.73%, 06/15/23† | 500,000 | | 501,940 |
| Chase Issuance Trust, Series 2017-A2, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 0.40%), 0.58%, 03/15/24† | 1,125,000 | | 1,129,929 |
| Citibank Credit Card Issuance Trust, Series 2016-A3, Class A3 | | | |
| (Floating, ICE LIBOR USD 1M + 0.49%), 0.67%, 12/07/23† | 1,125,000 | | 1,131,012 |
| Evergreen Credit Card Trust, Series 2019-1, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 0.48%), 0.66%, 01/15/23 144A † | 1,080,000 | | 1,082,114 |
| Ford Credit Auto Lease Trust, Series 2019-B, Class A2B | | | |
| (Floating, ICE LIBOR USD 1M + 0.26%), 0.44%, 02/15/22† | 390,806 | | 390,861 |
| Ford Credit Auto Owner Trust, Series 2019-A, Class A2A | | | |
| 2.78%, 02/15/22 | 186,569 | | 187,818 |
| Ford Credit Auto Owner Trust, Series 2019-B, Class A2B | | | |
| (Floating, ICE LIBOR USD 1M + 0.24%), 0.42%, 02/15/22† | 173,148 | | 173,253 |
| Ford Credit Auto Owner Trust, Series 2020-A, Class A2 | | | |
| 1.03%, 10/15/22 | 100,000 | | 100,457 |
| Golden Credit Card Trust, Series 2017-4A, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 0.52%, 0.52% Floor), 0.70%, 07/15/24 144A † | 500,000 | | 502,559 |
| Golden Credit Card Trust, Series 2019-2A, Class A | | | |
| (Floating, ICE LIBOR USD 1M + 0.35%, 0.35% Floor), 0.53%, 10/15/23 144A † | 380,000 | | 379,235 |
| | | Par | | Value |
| Hyundai Auto Lease Securitization Trust, Series 2020-A, Class A2 | | | |
| 1.90%, 05/16/22 144A | $ 750,000 | | $ 757,591 |
| Navient Student Loan Trust, Series 2019-1A, Class A1 | | | |
| (Floating, ICE LIBOR USD 1M + 0.33%), 0.51%, 12/27/67 144A † | 176,739 | | 176,757 |
| Navient Student Loan Trust, Series 2019-4A, Class A1 | | | |
| (Floating, ICE LIBOR USD 1M + 0.28%), 0.46%, 07/25/68 144A † | 446,655 | | 444,076 |
| Navient Student Loan Trust, Series 2019-7A, Class A1 | | | |
| (Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor), 0.68%, 01/25/68 144A † | 549,493 | | 546,194 |
| Nissan Auto Receivables Owners Trust, Series 2019-C, Class A2B | | | |
| (Floating, ICE LIBOR USD 1M + 0.24%), 0.42%, 09/15/22† | 461,892 | | 462,432 |
| USAA Auto Owner Trust, Series 2019-1, Class A2 | | | |
| 2.26%, 02/15/22 | 255,096 | | 256,219 |
| Verizon Owner Trust, Series 2017-3A, Class A1A | | | |
| 2.06%, 04/20/22 144A | 168,688 | | 169,459 |
| Verizon Owner Trust, Series 2019-A, Class A1B | | | |
| (Floating, ICE LIBOR USD 1M + 0.33%), 0.52%, 09/20/23† | 605,000 | | 605,747 |
| Verizon Owner Trust, Series 2019-B, Class A1B | | | |
| (Floating, ICE LIBOR USD 1M + 0.45%), 0.64%, 12/20/23† | 525,000 | | 526,700 |
| Volkswagen Auto Loan Enhanced Trust, Series 2020-1, Class A2A | | | |
| 0.93%, 12/20/22 | 1,000,000 | | 1,004,058 |
Total Asset-Backed Securities
(Cost $13,895,218) | | | 13,925,549 |
| CERTIFICATES OF DEPOSIT — 0.3% |
| US Bank NA | | | |
(Floating, ICE LIBOR USD 3M + 0.40%), 0.71%, 12/09/22†
(Cost $1,100,000) | 1,100,000 | | 1,100,600 |
| CORPORATE BONDS — 22.5% |
| AES Corporation (The) | | | |
| 5.50%, 04/15/25 | 300,000 | | 308,825 |
| Alliance Data Systems Corporation | | | |
| 4.75%, 12/15/24 144A | 2,100,000 | | 1,896,562 |
| Allison Transmission, Inc. | | | |
| 5.00%, 10/01/24 144A | 250,000 | | 250,153 |
| AMC Networks, Inc. | | | |
| 5.00%, 04/01/24 | 1,500,000 | | 1,489,687 |
| American Express Co. | | | |
| (Floating, ICE LIBOR USD 3M + 0.62%), 1.00%, 05/20/22† | 1,000,000 | | 1,001,938 |
| American Honda Finance Corporation | | | |
| (Floating, ICE LIBOR USD 3M + 0.35%), 0.89%, 11/05/21† | 1,379,000 | | 1,374,842 |
See Notes to Financial Statements.
STRATEGIC ALTERNATIVES FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | Par | | Value |
| AmeriGas Partners LP | | | |
| 5.63%, 05/20/24 | $ 750,000 | | $ 780,232 |
| 5.50%, 05/20/25 | 1,250,000 | | 1,291,394 |
| APX Group, Inc. | | | |
| 7.88%, 12/01/22 | 552,000 | | 550,959 |
| 8.50%, 11/01/24 | 1,500,000 | | 1,467,967 |
| Aramark Services, Inc. | | | |
| 6.38%, 05/01/25 144A | 250,000 | | 258,626 |
| AT&T, Inc. | | | |
| (Floating, ICE LIBOR USD 3M + 0.95%), 2.17%, 07/15/21† | 1,400,000 | | 1,411,628 |
| (Floating, ICE LIBOR USD 3M + 0.89%), 1.31%, 02/15/23† | 40,000 | | 39,813 |
| Bank of America Corporation | | | |
| (Floating, ICE LIBOR USD 3M + 1.16%), 2.30%, 01/20/23† | 195,000 | | 196,828 |
| (Floating, ICE LIBOR USD 3M + 1.00%), 2.02%, 04/24/23† | 1,000,000 | | 1,005,440 |
| Berry Global, Inc. | | | |
| 5.50%, 05/15/22 | 162,000 | | 162,748 |
| BMW US Capital LLC | | | |
| (Floating, ICE LIBOR USD 3M + 0.41%), 1.72%, 04/12/21 144A † | 245,000 | | 244,273 |
| (Floating, ICE LIBOR USD 3M + 0.50%), 0.93%, 08/13/21 144A † | 500,000 | | 497,494 |
| Brink's Co. (The) | | | |
| 5.50%, 07/15/25 144A | 400,000 | | 408,412 |
| Bristol-Myers Squibb Co. | | | |
| (Floating, ICE LIBOR USD 3M + 0.38%), 0.77%, 05/16/22 144A † | 1,000,000 | | 1,002,738 |
| Capital One Financial Corporation | | | |
| (Floating, ICE LIBOR USD 3M + 0.95%), 1.26%, 03/09/22† | 405,000 | | 404,544 |
| Caterpillar Financial Services Corporation | | | |
| (Floating, ICE LIBOR USD 3M + 0.28%), 0.60%, 09/07/21† | 1,250,000 | | 1,251,045 |
| Cedar Fair LP | | | |
| 5.38%, 06/01/24 | 250,000 | | 237,631 |
| Cheniere Energy Partners LP | | | |
| 5.25%, 10/01/25 | 1,000,000 | | 997,700 |
| Choice Hotels International, Inc. | | | |
| 5.75%, 07/01/22 | 595,000 | | 634,904 |
| Cigna Corporation | | | |
| (Floating, ICE LIBOR USD 3M + 0.65%), 0.95%, 09/17/21† | 295,000 | | 295,014 |
| CIT Group, Inc. | | | |
| 5.00%, 08/15/22 | 500,000 | | 512,183 |
| Citigroup, Inc. | | | |
| (Floating, ICE LIBOR USD 3M + 0.96%), 1.95%, 04/25/22† | 1,182,000 | | 1,188,784 |
| CNH Industrial Capital LLC | | | |
| 4.38%, 04/05/22 | 750,000 | | 784,567 |
| Colfax Corporation | | | |
| 6.00%, 02/15/24 144A | 500,000 | | 516,928 |
| Credit Acceptance Corporation | | | |
| 5.13%, 12/31/24 144A | 250,000 | | 242,050 |
| | | Par | | Value |
| Crown Americas LLC | | | |
| 4.50%, 01/15/23 | $ 450,000 | | $ 462,652 |
| CVR Energy, Inc. | | | |
| 5.25%, 02/15/25 144A | 1,950,000 | | 1,800,094 |
| CVS Health Corporation | | | |
| (Floating, ICE LIBOR USD 3M + 0.72%), 1.03%, 03/09/21† | 1,320,000 | | 1,325,153 |
| Daimler Finance North America LLC | | | |
| (Floating, ICE LIBOR USD 3M + 0.90%), 1.29%, 02/15/22 144A † | 1,240,000 | | 1,225,570 |
| Dell International LLC | | | |
| 5.88%, 06/15/21 144A | 330,000 | | 330,615 |
| 7.13%, 06/15/24 144A | 1,250,000 | | 1,296,172 |
| Dominion Energy Gas Holdings LLC | | | |
| (Floating, ICE LIBOR USD 3M + 0.60%), 0.91%, 06/15/21† | 985,000 | | 983,682 |
| Duke Energy Florida LLC | | | |
| (Floating, ICE LIBOR USD 3M + 0.25%), 0.61%, 11/26/21† | 205,000 | | 204,942 |
| EQM Midstream Partners LP | | | |
| 6.00%, 07/01/25 144A | 500,000 | | 507,710 |
| ESH Hospitality, Inc. REIT | | | |
| 5.25%, 05/01/25 144A | 850,000 | | 817,254 |
| Exxon Mobil Corporation | | | |
| (Floating, ICE LIBOR USD 3M + 0.33%), 0.72%, 08/16/22† | 945,000 | | 947,473 |
| Ford Motor Co. | | | |
| 8.50%, 04/21/23 | 1,500,000 | | 1,589,062 |
| 9.00%, 04/22/25 | 700,000 | | 758,852 |
| Ford Motor Credit Co. LLC | | | |
| 5.13%, 06/16/25 | 250,000 | | 250,725 |
| Fresenius US Finance II, Inc. | | | |
| 4.50%, 01/15/23 144A | 1,000,000 | | 1,056,967 |
| GameStop Corporation | | | |
| 6.75%, 03/15/21 144A | 300,000 | | 239,438 |
| Goldman Sachs Group, Inc. (The) | | | |
| (Floating, ICE LIBOR USD 3M + 0.75%), 1.11%, 02/23/23† | 1,410,000 | | 1,403,782 |
| Goodyear Tire & Rubber Co. (The) | | | |
| 9.50%, 05/31/25 | 1,500,000 | | 1,607,812 |
| Group 1 Automotive, Inc. | | | |
| 5.00%, 06/01/22 | 1,000,000 | | 996,885 |
| Hillenbrand, Inc. | | | |
| 5.75%, 06/15/25 | 500,000 | | 518,125 |
| Hughes Satellite Systems Corporation | | | |
| 7.63%, 06/15/21 | 1,000,000 | | 1,032,275 |
| International Business Machines Corporation | | | |
| (Floating, ICE LIBOR USD 3M + 0.40%), 0.83%, 05/13/21† | 1,012,000 | | 1,015,541 |
| John Deere Capital Corporation | | | |
| (Floating, ICE LIBOR USD 3M + 0.48%), 0.80%, 09/08/22† | 250,000 | | 251,159 |
| JPMorgan Chase & Co. | | | |
| (Floating, ICE LIBOR USD 3M + 1.00%), 2.22%, 01/15/23† | 1,390,000 | | 1,398,205 |
| KGA Escrow LLC | | | |
| 7.50%, 08/15/23 144A | 1,500,000 | | 1,503,592 |
See Notes to Financial Statements.
| | | Par | | Value |
| Kinder Morgan, Inc. | | | |
| 3.15%, 01/15/23 | $1,000,000 | | $1,047,791 |
| Lennar Corporation | | | |
| 4.75%, 04/01/21 | 500,000 | | 507,178 |
| Level 3 Financing, Inc. | | | |
| 5.38%, 08/15/22 | 210,000 | | 210,254 |
| 5.38%, 01/15/24 | 750,000 | | 758,359 |
| LPL Holdings, Inc. | | | |
| 5.75%, 09/15/25 144A | 600,000 | | 609,369 |
| LSB Industries, Inc. | | | |
| 9.63%, 05/01/23 144A | 750,000 | | 724,766 |
| Marriott International, Inc. | | | |
| 5.75%, 05/01/25 | 250,000 | | 271,873 |
| Marsh & McLennan Cos., Inc. | | | |
| (Floating, ICE LIBOR USD 3M + 1.20%), 1.51%, 12/29/21† | 500,000 | | 500,256 |
| Meritor, Inc. | | | |
| 6.25%, 02/15/24 | 500,000 | | 505,573 |
| 6.25%, 06/01/25 144A | 200,000 | | 202,750 |
| Mileage Plus Holdings LLC | | | |
| 6.50%, 06/20/27 144A | 800,000 | | 804,000 |
| Morgan Stanley | | | |
| (Floating, U.S. SOFR + 0.70%), 0.77%, 01/20/23† | 1,515,000 | | 1,510,997 |
| MPLX LP | | | |
| (Floating, ICE LIBOR USD 3M + 0.90%), 1.21%, 09/09/21† | 925,000 | | 917,873 |
| NCR Corporation | | | |
| 6.38%, 12/15/23 | 1,100,000 | | 1,120,740 |
| 8.13%, 04/15/25 144A | 250,000 | | 266,094 |
| New York Life Global Funding | | | |
| (Floating, ICE LIBOR USD 3M + 0.44%), 1.75%, 07/12/22 144A † | 815,000 | | 818,854 |
| Newmark Group, Inc. | | | |
| 6.13%, 11/15/23 | 500,000 | | 497,673 |
| NGPL PipeCo LLC | | | |
| 4.38%, 08/15/22 144A | 779,000 | | 804,024 |
| Nielsen Co Luxembourg S.a.r.l. (The) | | | |
| 5.50%, 10/01/21 144A | 921,000 | | 924,237 |
| Otis Worldwide Corporation | | | |
| (Floating, ICE LIBOR USD 3M + 0.45%), 0.75%, 04/05/23 144A † | 295,000 | | 291,877 |
| Outfront Media Capital LLC | | | |
| 6.25%, 06/15/25 144A | 250,000 | | 252,731 |
| Owens-Brockway Glass Container, Inc. | | | |
| 5.00%, 01/15/22 144A | 80,000 | | 80,274 |
| PBF Holding Co. LLC | | | |
| 9.25%, 05/15/25 144A | 750,000 | | 802,031 |
| 7.25%, 06/15/25 | 2,100,000 | | 1,911,220 |
| PBF Logistics LP | | | |
| 6.88%, 05/15/23 | 550,000 | | 525,585 |
| Penske Automotive Group, Inc. | | | |
| 5.38%, 12/01/24 | 400,000 | | 400,458 |
| | | Par | | Value |
| Picasso Finance Sub, Inc. | | | |
| 6.13%, 06/15/25 144A | $ 250,000 | | $ 256,250 |
| PowerTeam Services LLC | | | |
| 9.03%, 12/04/25 144A | 400,000 | | 409,750 |
| Prime Security Services Borrower LLC | | | |
| 5.25%, 04/15/24 144A | 500,000 | | 512,553 |
| PulteGroup, Inc. | | | |
| 4.25%, 03/01/21 | 1,000,000 | | 1,013,625 |
| Realogy Group LLC | | | |
| 4.88%, 06/01/23 144A | 500,000 | | 469,063 |
| 7.63%, 06/15/25 144A | 500,000 | | 501,350 |
| Spectrum Brands, Inc. | | | |
| 5.75%, 07/15/25 | 250,000 | | 257,346 |
| Spirit AeroSystems, Inc. | | | |
| 7.50%, 04/15/25 144A | 1,000,000 | | 990,625 |
| Starwood Property Trust, Inc. REIT | | | |
| 3.63%, 02/01/21 | 1,250,000 | | 1,232,656 |
| Suburban Propane Partners LP | | | |
| 5.50%, 06/01/24 | 546,000 | | 542,241 |
| Sunoco LP | | | |
| 4.88%, 01/15/23 | 1,000,000 | | 988,645 |
| Targa Resources Partners LP | | | |
| 5.25%, 05/01/23 | 1,750,000 | | 1,710,809 |
| T-Mobile USA, Inc. | | | |
| 6.50%, 01/15/24 | 500,000 | | 512,408 |
| Toyota Motor Credit Corporation | | | |
| (Floating, ICE LIBOR USD 3M + 0.54%), 1.89%, 01/08/21† | 1,350,000 | | 1,352,530 |
| Truist Financial Corporation | | | |
| (Floating, ICE LIBOR USD 3M + 0.65%), 0.95%, 04/01/22† | 795,000 | | 798,621 |
| TWDC Enterprises 18 Corporation | | | |
| (Floating, ICE LIBOR USD 3M + 0.39%), 0.72%, 03/04/22† | 655,000 | | 652,898 |
| UnitedHealth Group, Inc. | | | |
| (Floating, ICE LIBOR USD 3M + 0.26%), 0.57%, 06/15/21† | 1,000,000 | | 1,000,444 |
| Verizon Communications, Inc. | | | |
| (Floating, ICE LIBOR USD 3M + 1.00%), 1.32%, 03/16/22† | 1,400,000 | | 1,419,053 |
| Wells Fargo & Co. | | | |
| (Floating, ICE LIBOR USD 3M + 1.11%), 2.13%, 01/24/23† | 1,310,000 | | 1,317,340 |
| Wolverine Escrow LLC | | | |
| 8.50%, 11/15/24 144A | 1,350,000 | | 1,032,750 |
| 9.00%, 11/15/26 144A | 750,000 | | 543,750 |
| XPO Logistics, Inc. | | | |
| 6.75%, 08/15/24 144A | 500,000 | | 525,102 |
| 6.25%, 05/01/25 144A | 500,000 | | 524,688 |
Total Corporate Bonds
(Cost $81,841,989) | | | 82,060,980 |
See Notes to Financial Statements.
STRATEGIC ALTERNATIVES FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | Par | | Value |
| FOREIGN BONDS — 4.4% |
| Australia — 0.1% | | |
| Westpac Banking Corporation | | | |
| (Floating, ICE LIBOR USD 3M + 0.39%), 1.70%, 01/13/23† | $ 210,000 | | $ 209,943 |
| Austria — 0.1% | | |
| ams AG | | | |
| 7.00%, 07/31/25 144A | 500,000 | | 495,000 |
| Canada — 1.0% | | |
| 1011778 BC ULC | | | |
| 4.25%, 05/15/24 144A | 750,000 | | 752,078 |
| Bausch Health Cos., Inc. | | | |
| 7.00%, 03/15/24 144A | 500,000 | | 519,785 |
| Clarios Global LP | | | |
| 6.75%, 05/15/25 144A | 250,000 | | 260,781 |
| Quebecor Media, Inc. | | | |
| 5.75%, 01/15/23 | 250,000 | | 262,526 |
| Royal Bank of Canada | | | |
| (Floating, ICE LIBOR USD 3M + 0.47%), 1.31%, 04/29/22† | 1,095,000 | | 1,098,220 |
| Toronto-Dominion Bank (The) | | | |
| (Floating, U.S. SOFR + 0.48%), 0.55%, 01/27/23† | 720,000 | | 715,640 |
| | | | | 3,609,030 |
| China — 0.3% | | |
| Global Aircraft Leasing Co., Ltd. | | | |
| Cash coupon 6.50% or PIK 7.25%, 09/15/24 144A | 1,500,000 | | 1,008,750 |
| France — 0.3% | | |
| Banijay Entertainment SASU | | | |
| 5.38%, 03/01/25 144A | 1,250,000 | | 1,225,781 |
| Ireland — 0.7% | | |
| AerCap Ireland Capital DAC | | | |
| 6.50%, 07/15/25 | 750,000 | | 787,209 |
| Fly Leasing, Ltd. | | | |
| 6.38%, 10/15/21 | 1,500,000 | | 1,368,517 |
| 5.25%, 10/15/24 | 500,000 | | 406,823 |
| | | | | 2,562,549 |
| Japan — 0.2% | | |
| Aircastle, Ltd. | | | |
| 5.00%, 04/01/23 | 500,000 | | 487,531 |
| 4.40%, 09/25/23 | 250,000 | | 242,666 |
| | | | | 730,197 |
| Netherlands — 0.2% | | |
| OCI NV | | | |
| 5.25%, 11/01/24 144A | 750,000 | | 722,813 |
| United Kingdom — 1.5% | | |
| AstraZeneca PLC | | | |
| (Floating, ICE LIBOR USD 3M + 0.62%), 0.93%, 06/10/22† | 995,000 | | 999,705 |
| Connect Finco S.a.r.l. | | | |
| 6.75%, 10/01/26 144A | 2,500,000 | | 2,373,500 |
| | | Par | | Value |
| eG Global Finance PLC | | | |
| 8.50%, 10/30/25 144A | $1,500,000 | | $ 1,540,470 |
| GlaxoSmithKline Capital PLC | | | |
| (Floating, ICE LIBOR USD 3M + 0.35%), 0.77%, 05/14/21† | 580,000 | | 581,020 |
| | | | | 5,494,695 |
Total Foreign Bonds
(Cost $16,794,948) | | 16,058,758 |
| LOAN AGREEMENTS — 1.7% |
| APX Group, Inc. Initial Loan | | | |
| (Floating, ICE LIBOR USD 1M+ 5.00%), 5.18%, 12/31/25† | 984,382 | | 921,780 |
| (Floating, ICE PRIME USD 3M+ 4.00%), 7.25%, 12/31/25† | 650 | | 608 |
| Asurion LLC Replacement B-2 Term Loan | | | |
| (Floating, ICE LIBOR USD 1M+ 6.50%), 6.68%, 08/04/25† | 3,000,000 | | 2,992,500 |
| Banijay Group SAS Cov-Lite Term Loan | | | |
| 0.00%, 03/04/25Σ | 200,000 | | 190,000 |
| PetSmart, Inc. Amended Loan | | | |
| (Floating, ICE LIBOR USD 3M+ 4.00%, 1.00% Floor), 5.00%, 03/11/22† | 621,556 | | 615,058 |
| PG&E Corporation Loan | | | |
| 0.00%, 06/23/25Σ | 1,000,000 | | 984,000 |
| Whatabrands LLC 2020 Refinancing Term Loan | | | |
| (Floating, ICE LIBOR USD 1M+ 2.75%), 2.93%, 07/31/26† | 496,256 | | 478,190 |
Total Loan Agreements
(Cost $6,275,373) | | | 6,182,136 |
| MORTGAGE-BACKED SECURITIES — 7.8% |
| DBUBS, Series 2011-LC1A, Class A3 | | | |
| 5.00%, 11/10/46 144A | 269,485 | | 271,015 |
| Federal Home Loan Mortgage Corporation REMIC, Series 4248 | | | |
| (Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 5.82%, 09/15/43† IO | 519,240 | | 90,550 |
| Federal Home Loan Mortgage Corporation REMIC, Series 4286 | | | |
| (Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 5.82%, 12/15/43† IO | 309,604 | | 49,370 |
| Federal Home Loan Mortgage Corporation REMIC, Series 4320 | | | |
| (Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 5.92%, 07/15/39† IO | 1,528,551 | | 313,888 |
| Federal Home Loan Mortgage Corporation REMIC, Series 4468 | | | |
| (Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 5.92%, 05/15/45† IO | 535,546 | | 108,070 |
See Notes to Financial Statements.
| | | Par | | Value |
| Federal Home Loan Mortgage Corporation REMIC, Series 4583 | | | |
| (Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 5.82%, 05/15/46† IO | $1,285,159 | | $232,036 |
| Federal Home Loan Mortgage Corporation REMIC, Series 4792 | | | |
| (Floating, 6.20% - ICE LIBOR USD 1M, 6.20% Cap), 6.02%, 05/15/48† IO | 1,214,699 | | 130,805 |
| Federal Home Loan Mortgage Corporation REMIC, Series 4936 | | | |
| 5.82%, 12/25/49† IO | 1,387,435 | | 219,285 |
| Federal Home Loan Mortgage Corporation REMIC, Series 4980 | | | |
| 4.50%, 06/25/50 IO | 1,528,444 | | 198,228 |
| Federal Home Loan Mortgage Corporation REMIC, Series 5002 | | | |
| (Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 5.91%, 07/25/50† IO | 1,089,000 | | 207,041 |
| Federal National Mortgage Association REMIC, Series 2012-115 | | | |
| (Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 5.92%, 10/25/42† IO | 582,092 | | 124,198 |
| Federal National Mortgage Association REMIC, Series 2015-34 | | | |
| (Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 5.92%, 06/25/45† IO | 1,272,291 | | 238,348 |
| Federal National Mortgage Association REMIC, Series 2016-69 | | | |
| (Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 5.92%, 10/25/46† IO | 687,244 | | 134,256 |
| Federal National Mortgage Association REMIC, Series 2017-31 | | | |
| (Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 5.92%, 05/25/47† IO | 690,537 | | 137,720 |
| Federal National Mortgage Association REMIC, Series 2017-86 | | | |
| (Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 5.97%, 11/25/47† IO | 986,307 | | 184,826 |
| Federal National Mortgage Association REMIC, Series 2018-17 | | | |
| (Floating, 2.50% - ICE LIBOR USD 1M, 2.50% Cap), 2.50%, 03/25/48† IO | 5,825,320 | | 363,953 |
| Federal National Mortgage Association REMIC, Series 2018-38 | | | |
| (Floating, 6.20% - ICE LIBOR USD 1M, 6.20% Cap), 6.02%, 06/25/48† IO | 638,320 | | 73,980 |
| | | Par | | Value |
| Federal National Mortgage Association REMIC, Series 2018-8 | | | |
| (Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 5.97%, 02/25/48† IO | $ 589,010 | | $ 74,039 |
| Federal National Mortgage Association STRIP, Series 405 | | | |
| (Floating, 5.05% - ICE LIBOR USD 1M, 5.05% Cap), 4.87%, 10/25/40† IO | 1,365,776 | | 226,669 |
| Government National Mortgage Association, Series 2010-101 | | | |
| (Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 5.81%, 08/20/40† IO | 259,832 | | 50,529 |
| Government National Mortgage Association, Series 2010-85 | | | |
| (Floating, 5.94% - ICE LIBOR USD 1M, 5.94% Cap), 5.75%, 07/20/40† IO | 220,998 | | 46,337 |
| Government National Mortgage Association, Series 2015-110 | | | |
| (Floating, 5.70% - ICE LIBOR USD 1M, 5.70% Cap), 5.51%, 08/20/45† IO | 297,403 | | 48,633 |
| (Floating, 5.71% - ICE LIBOR USD 1M, 5.71% Cap), 5.52%, 08/20/45† IO | 2,140,953 | | 341,160 |
| Government National Mortgage Association, Series 2015-57 | | | |
| (Floating, 5.60% - ICE LIBOR USD 1M, 5.60% Cap), 5.41%, 04/20/45† IO | 1,295,425 | | 205,301 |
| Government National Mortgage Association, Series 2016-109 | | | |
| 4.00%, 10/20/45 IO | 251,809 | | 29,468 |
| Government National Mortgage Association, Series 2018-105 | | | |
| (Floating, 6.20% - ICE LIBOR USD 1M, 6.20% Cap), 6.01%, 08/20/48† IO | 352,265 | | 49,869 |
| Government National Mortgage Association, Series 2018-124 | | | |
| (Floating, 6.20% - ICE LIBOR USD 1M, 6.20% Cap), 6.01%, 09/20/48† IO | 818,429 | | 150,113 |
| Government National Mortgage Association, Series 2018-139 | | | |
| (Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 5.96%, 10/20/48† IO | 479,807 | | 66,746 |
| Government National Mortgage Association, Series 2018-7 | | | |
| (Floating, 5.70% - ICE LIBOR USD 1M, 5.70% Cap), 5.51%, 01/20/48† IO | 755,021 | | 111,657 |
| Government National Mortgage Association, Series 2018-72 | | | |
| 4.00%, 04/20/46 IO | 1,214,943 | | 142,172 |
See Notes to Financial Statements.
STRATEGIC ALTERNATIVES FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | Par | | Value |
| Government National Mortgage Association, Series 2019-1 | | | |
| (Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 5.86%, 01/20/49† IO | $ 491,045 | | $ 67,933 |
| Government National Mortgage Association, Series 2019-110 | | | |
| 5.91%, 09/20/49† IO | 1,473,449 | | 223,751 |
| Government National Mortgage Association, Series 2019-128 | | | |
| 4.00%, 10/20/49 IO | 1,188,516 | | 128,919 |
| Government National Mortgage Association, Series 2019-129 | | | |
| 3.50%, 10/20/49 IO | 1,719,478 | | 206,198 |
| Government National Mortgage Association, Series 2019-151 | | | |
| 3.50%, 10/20/49 IO | 2,130,074 | | 206,800 |
| 3.50%, 12/20/49 IO | 1,128,036 | | 137,138 |
| Government National Mortgage Association, Series 2019-20 | | | |
| (Floating, 3.79% - ICE LIBOR USD 1M, 3.79% Cap), 3.60%, 02/20/49† IO | 1,262,310 | | 86,726 |
| Government National Mortgage Association, Series 2019-4 | | | |
| (Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 5.86%, 01/20/49† IO | 688,109 | | 99,531 |
| Government National Mortgage Association, Series 2019-52 | | | |
| (Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 5.86%, 04/20/49† IO | 429,071 | | 56,495 |
| Government National Mortgage Association, Series 2019-6 | | | |
| (Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 5.86%, 01/20/49† IO | 394,440 | | 52,466 |
| Government National Mortgage Association, Series 2019-69 | | | |
| (Floating, 3.27% - ICE LIBOR USD 1M, 3.27% Cap), 3.08%, 06/20/49† IO | 436,630 | | 36,683 |
| Government National Mortgage Association, Series 2019-97 | | | |
| (Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 5.91%, 08/20/49† IO | 668,224 | | 81,348 |
| Government National Mortgage Association, Series 2019-98 | | | |
| (Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 5.86%, 08/20/49† IO | 1,110,839 | | 152,958 |
| Government National Mortgage Association, Series 2020-78 | | | |
| (Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 5.97%, 06/20/50† IO | 1,039,000 | | 174,033 |
| UBS Commercial Mortgage Trust, Series 2012-C1, Class AAB | | | �� |
| 3.00%, 05/10/45 | 516,752 | | 522,355 |
| Uniform Mortgage Backed Securities | | | |
| 2.50%, 07/01/50 TBA | 10,000,000 | | 10,425,781 |
| | | Par | | Value |
| 3.00%, 07/01/50 TBA | $5,000,000 | | $ 5,266,406 |
| 2.50%, 08/01/50 TBA | 5,000,000 | | 5,204,785 |
| WFRBS Commercial Mortgage Trust, Series 2012-C7, Class AFL | | | |
| (Floating, ICE LIBOR USD 1M + 1.20%, 1.20% Floor), 1.39%, 06/15/45 144A † | 700,000 | | 692,256 |
Total Mortgage-Backed Securities
(Cost $28,007,539) | | | 28,442,824 |
| | Number of
Contracts | | Notional
Amount | |
| PURCHASED OPTIONS — 0.0% |
| Call Options — 0.0% |
Apple, Inc., Strike Price
$365.00, Expires
07/17/20 (CITI) | 20 | | $20 | 18,400 |
Freeport-McMoRan, Inc., Strike Price
$11.00, Expires
07/17/20 (CITI) | 79 | | 79 | 7,110 |
Total Purchased Options
(Premiums paid $21,997) | | | 25,510 |
| | | Par | |
| U.S. TREASURY OBLIGATIONS — 19.3% |
| U.S. Treasury Bills | | | |
| 1.83%, 07/16/20Ω | $13,524,000 | 13,523,338 |
| 0.21%, 09/24/20Ω | 34,000 | 33,989 |
| 1.60%, 10/08/20Ω | 4,294,000 | 4,292,288 |
| 1.48%, 12/03/20Ω | 10,718,000 | 10,711,309 |
| 0.35%, 12/31/20Ω | 10,453,000 | 10,444,232 |
| 0.20%, 02/25/21Ω | 33,000 | 32,967 |
| 0.16%, 04/22/21Ω | 14,708,000 | 14,689,319 |
| | | | 53,727,442 |
| U.S. Treasury Notes | | | |
| 2.00%, 11/30/20 | 14,434,000 | 14,540,564 |
| 1.38%, 04/30/21 | 2,080,000 | 2,100,637 |
| | | | 16,641,201 |
Total U.S. Treasury Obligations
(Cost $70,186,992) | | 70,368,643 |
| | | Shares | |
| COMMON STOCKS — 6.0% |
| Communication Services — 0.2% | |
| AT&T, Inc. | 6,601 | 199,548 |
| Comcast Corporation Class A | 1,666 | 64,941 |
| Escrow NII Holdings, Inc.* | 76,167 | 165,282 |
| T-Mobile US, Inc.* | 3,766 | 392,229 |
| Verizon Communications, Inc. | 1,354 | 74,646 |
| | | | 896,646 |
| Consumer Discretionary — 0.9% | |
| Amazon.com, Inc.* | 39 | 107,594 |
| Best Buy Co., Inc.‡ | 7,038 | 614,206 |
| D.R. Horton, Inc. | 5,909 | 327,654 |
See Notes to Financial Statements.
| | | Shares | | Value |
| Dollar General Corporation | 317 | | $ 60,392 |
| Hilton Worldwide Holdings, Inc. | 294 | | 21,594 |
| KB Home | 4,535 | | 139,134 |
| Lennar Corporation Class A | 222 | | 13,680 |
| Lowe’s Cos., Inc. | 2,488 | | 336,179 |
| NIKE, Inc. Class B‡ | 6,787 | | 665,465 |
| O’Reilly Automotive, Inc.* | 1,001 | | 422,092 |
| Tiffany & Co. | 4,693 | | 572,264 |
| Yum China Holdings, Inc. | 329 | | 15,815 |
| | | | | 3,296,069 |
| Consumer Staples — 0.0% | | |
| Colgate-Palmolive Co. | 268 | | 19,634 |
| Kimberly-Clark Corporation | 125 | | 17,669 |
| Kroger Co. (The) | 481 | | 16,282 |
| Mondelez International, Inc. Class A | 530 | | 27,099 |
| Walgreens Boots Alliance, Inc. | 378 | | 16,023 |
| | | | | 96,707 |
| Energy — 0.1% | | |
| Marathon Petroleum Corporation | 6,965 | | 260,352 |
| Phillips 66 | 177 | | 12,726 |
| | | | | 273,078 |
| Financials — 2.0% | | |
| Aflac, Inc. | 342 | | 12,322 |
| American Express Co. | 327 | | 31,130 |
| Bank of America Corporation | 8,155 | | 193,681 |
| Churchill Capital Corporation III* | 15,467 | | 174,932 |
| CITIC Capital Acquisition Corporation* | 1,413 | | 14,201 |
| Citigroup, Inc.‡‡ | 4,504 | | 230,154 |
| dMY Technology Group, Inc.* | 885 | | 9,363 |
| E*TRADE Financial Corporation | 57,998 | | 2,884,241 |
| Far Point Acquisition Corporation Class A* | 13,191 | | 135,076 |
| Foley Trasimene Acquisition Corporation* | 2,288 | | 24,413 |
| GAIN Capital Holdings, Inc. | 30,609 | | 184,266 |
| Genworth Financial, Inc. Class A* | 13,686 | | 31,615 |
| GS Acquisition Holdings Corporation II* | 4,710 | | 49,502 |
| Kensington Capital Acquisition Corporation* | 1,570 | | 15,731 |
| Legg Mason, Inc. | 39,572 | | 1,968,707 |
| Social Capital Hedosophia Holdings Corporation II* | 1,896 | | 23,814 |
| Social Capital Hedosophia Holdings Corporation III* | 4,920 | | 58,400 |
| Sustainable Opportunities Acquisition Corporation* | 4,897 | | 49,460 |
| TD Ameritrade Holding Corporation | 35,530 | | 1,292,582 |
| | | | | 7,383,590 |
| Health Care — 0.5% | | |
| Boston Scientific Corporation* | 623 | | 21,874 |
| Cigna Corporation | 1,220 | | 228,933 |
| CVS Health Corporation | 6,154 | | 399,825 |
| Danaher Corporation | 3,291 | | 581,947 |
| | | Shares | | Value |
| DexCom, Inc.* | 165 | | $ 66,891 |
| Johnson & Johnson‡‡ | 2,770 | | 389,545 |
| | | | | 1,689,015 |
| Industrials — 0.8% | | |
| Carrier Global Corporation | 12,794 | | 284,283 |
| CSX Corporation | 4,896 | | 341,447 |
| Cummins, Inc. | 1,433 | | 248,282 |
| Dover Corporation | 1,938 | | 187,133 |
| Honeywell International, Inc. | 414 | | 59,860 |
| Illinois ToolWorks, Inc. | 87 | | 15,212 |
| Kansas City Southern | 844 | | 126,001 |
| Kratos Defense & Security Solutions, Inc.* | 1,312 | | 20,506 |
| L3Harris Technologies, Inc. | 783 | | 132,852 |
| Norfolk Southern Corporation | 884 | | 155,204 |
| Otis Worldwide Corporation | 4,384 | | 249,274 |
| Parker-Hannifin Corporation | 3,709 | | 679,748 |
| Southwest Airlines Co. | 4,105 | | 140,309 |
| Union Pacific Corporation | 199 | | 33,645 |
| Waste Management, Inc. | 169 | | 17,899 |
| WESCO International, Inc.* | 5,083 | | 178,464 |
| | | | | 2,870,119 |
| Information Technology — 1.0% | | |
| Analog Devices, Inc. | 1,479 | | 181,384 |
| Apple, Inc.‡ | 860 | | 313,728 |
| Cisco Systems, Inc. | 2,323 | | 108,345 |
| Cognizant Technology Solutions Corporation Class A | 224 | | 12,728 |
| Corning, Inc. | 521 | | 13,494 |
| Dell Technologies, Inc. Class C‡ * | 8,602 | | 472,594 |
| Fidelity National Information Services, Inc. | 216 | | 28,963 |
| Fiserv, Inc.* | 783 | | 76,436 |
| Global Payments, Inc. | 1,368 | | 232,040 |
| HP, Inc. | 1,955 | | 34,076 |
| Intel Corporation | 1,683 | | 100,694 |
| International Business Machines Corporation | 393 | | 47,463 |
| Lam Research Corporation | 158 | | 51,107 |
| Leidos Holdings, Inc. | 3,730 | | 349,389 |
| Mastercard, Inc. Class A‡ | 966 | | 285,646 |
| Micron Technology, Inc.* | 5,117 | | 263,628 |
| Microsoft Corporation | 2,350 | | 478,248 |
| Motorola Solutions, Inc. | 132 | | 18,497 |
| NortonLifeLock, Inc. | 19,013 | | 377,028 |
| Skyworks Solutions, Inc. | 101 | | 12,914 |
| | | | | 3,458,402 |
| Materials — 0.1% | | |
| Air Products and Chemicals, Inc. | 53 | | 12,797 |
| Albemarle Corporation | 1,414 | | 109,175 |
| DuPont de Nemours, Inc. | 1,072 | | 56,955 |
| Freeport-McMoRan, Inc.‡ | 19,768 | | 228,716 |
| Newmont Corporation | 1,937 | | 119,591 |
See Notes to Financial Statements.
STRATEGIC ALTERNATIVES FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | Shares | | Value |
| Vulcan Materials Co. | 126 | | $ 14,597 |
| | | | | 541,831 |
| Real Estate — 0.3% | | |
| Agree Realty Corporation REIT | 78 | | 5,125 |
| Crown Castle International Corporation REIT | 1,499 | | 250,858 |
| CyrusOne, Inc. REIT | 2,897 | | 210,757 |
| Digital Realty Trust, Inc. REIT | 1,281 | | 182,043 |
| Realty Income Corporation REIT | 1,765 | | 105,017 |
| SBA Communications Corporation REIT | 392 | | 116,785 |
| Weyerhaeuser Co. REIT | 10,224 | | 229,631 |
| WP Carey, Inc. REIT | 1,100 | | 74,415 |
| | | | | 1,174,631 |
| Utilities — 0.1% | | |
| Atmos Energy Corporation | 267 | | 26,588 |
| Evergy, Inc. | 3,327 | | 197,258 |
| | | | | 223,846 |
Total Common Stocks
(Cost $21,494,393) | | | 21,903,934 |
| FOREIGN COMMON STOCKS — 1.7% |
| Canada — 0.1% | | |
| Barrick Gold Corporation | 8,362 | | 225,272 |
| Ireland — 0.5% | | |
| Linde PLC | 251 | | 53,240 |
| Medtronic PLC | 452 | | 41,448 |
| Trane Technologies PLC | 235 | | 20,910 |
| Willis Towers Watson PLC | 9,652 | | 1,900,962 |
| | | | | 2,016,560 |
| Netherlands — 1.1% | | |
| Fiat Chrysler Automobiles NV* | 25,686 | | 259,894 |
| Fiat Chrysler Automobiles NV (New York Exchange)* | 21,982 | | 225,096 |
| NXP Semiconductor NV‡‡ | 4,343 | | 495,276 |
| QIAGEN NV* | 46,540 | | 1,992,377 |
| Wright Medical Group NV* | 32,550 | | 967,386 |
| | | | | 3,940,029 |
| United Kingdom — 0.0% | | |
| Atlassian Corporation PLC Class A* | 111 | | 20,010 |
Total Foreign Common Stocks
(Cost $5,987,707) | | | 6,201,871 |
| RIGHTS — 0.0% |
| Alder Biopharmaceuticals, Inc.††† * | 3,505 | | 7,010 |
| Pan American Silver Corporation* | 16,022 | | 10,991 |
Total Rights
(Cost $13,526) | | | 18,001 |
| MUTUAL FUNDS — 1.1% |
| Escrow Altaba, Inc.Ψ ††† * | 67,544 | | 1,411,670 |
| iShares Russell 2000 ETF | 16,608 | | 2,377,933 |
| SPDR S&P Homebuilders ETF | 6,097 | | 267,658 |
Total Mutual Funds
(Cost $3,858,246) | | | 4,057,261 |
| | | Shares | | Value |
| MONEY MARKET FUNDS — 34.2% |
GuideStone Money Market Fund, 0.16%
(Institutional Class)Ø ∞ | 50,439,481 | | $ 50,439,481 |
| Northern Institutional U.S. Government Portfolio (Shares), 0.07%Ø | 74,000,746 | | 74,000,746 |
Total Money Market Funds
(Cost $124,440,227) | | | 124,440,227 |
TOTAL INVESTMENTS —102.8%
(Cost $373,918,155) | | | 374,786,294 |
| COMMON STOCKS SOLD SHORT — (2.4)% |
| Communication Services — (0.1)% | | |
| Alphabet, Inc. Class A * | (117) | | (165,912) |
| Bandwidth, Inc. Class A * | (132) | | (16,764) |
| Cable One, Inc. | (10) | | (17,748) |
| Cardlytics, Inc. * | (436) | | (30,511) |
| Cargurus, Inc. * | (508) | | (12,878) |
| Eventbrite, Inc. Class A * | (1,023) | | (8,767) |
| EverQuote, Inc. Class A * | (200) | | (11,632) |
| iHeartMedia, Inc. Class A * | (2,182) | | (18,220) |
| Iridium Communications, Inc. * | (722) | | (18,368) |
| | | | | (300,800) |
| Consumer Discretionary — (0.1)% | | |
| Aspen Group, Inc. * | (718) | | (6,498) |
| eBay, Inc. | (1,100) | | (57,695) |
| Franchise Group, Inc. | (704) | | (15,404) |
| LGI Homes, Inc. * | (107) | | (9,419) |
| McDonald’s Corporation | (783) | | (144,440) |
| Nautilus, Inc. * | (1,080) | | (10,012) |
| Papa John's International, Inc. | (758) | | (60,193) |
| Strategic Education, Inc. | (50) | | (7,682) |
| Universal Technical Institute, Inc. * | (1,113) | | (7,735) |
| VF Corporation | (281) | | (17,124) |
| Vivint Smart Home, Inc. * | (2,576) | | (44,642) |
| | | | | (380,844) |
| Consumer Staples — (0.1)% | | |
| BJ's Wholesale Club Holdings, Inc. * | (1,055) | | (39,320) |
| Freshpet, Inc. * | (200) | | (16,732) |
| Walmart, Inc. | (2,201) | | (263,636) |
| | | | | (319,688) |
| Energy — (0.0)% | | |
| Chevron Corporation | (325) | | (29,000) |
| Contango Oil & Gas Co. * | (3,304) | | (7,566) |
| Exxon Mobil Corporation | (1,564) | | (69,942) |
| Frontline, Ltd. | (4,301) | | (30,021) |
| Ovintiv, Inc. | (9,546) | | (91,164) |
| | | | | (227,693) |
| Financials — (1.3)% | | |
| Arbor Realty Trust, Inc. REIT | (3,760) | | (34,742) |
| Broadmark Realty Capital, Inc. | (4,691) | | (44,424) |
| Charles Schwab Corporation (The) | (39,366) | | (1,328,209) |
| eHealth, Inc. * | (127) | | (12,477) |
See Notes to Financial Statements.
| | | Shares | | Value |
| Glacier Bancorp, Inc. | (288) | | $ (10,164) |
| HarborOne Bancorp, Inc. * | (913) | | (7,797) |
| Houlihan Lokey, Inc. | (132) | | (7,344) |
| Moelis & Co. Class A | (254) | | (7,915) |
| Morgan Stanley | (63,728) | | (3,078,062) |
| MSCI, Inc. | (50) | | (16,691) |
| PennyMac Financial Services, Inc. | (741) | | (30,966) |
| Piper Sandler Cos. | (138) | | (8,164) |
| Prudential Financial, Inc. | (208) | | (12,667) |
| Sandy Spring Bancorp, Inc. | (383) | | (9,491) |
| | | | | (4,609,113) |
| Health Care — (0.3)% | | |
| Adverum Biotechnologies, Inc. * | (419) | | (8,749) |
| Agile Therapeutics, Inc. * | (2,618) | | (7,278) |
| Alector, Inc. * | (470) | | (11,487) |
| Allakos, Inc. * | (201) | | (14,444) |
| Applied Therapeutics, Inc. * | (198) | | (7,158) |
Arcturus Therapeutics Holdings,
Inc. * | (496) | | (23,183) |
| Arvinas, Inc. * | (318) | | (10,666) |
| Axonics Modulation Technologies, Inc. * | (454) | | (15,940) |
| Biohaven Pharmaceutical Holding Co., Ltd. * | (214) | | (15,646) |
| BrainStorm Cell Therapeutics, Inc. * | (1,199) | | (13,441) |
| ChemoCentryx, Inc. * | (187) | | (10,760) |
| Constellation Pharmaceuticals, Inc. * | (318) | | (9,556) |
| Cortexyme, Inc. * | (170) | | (7,871) |
| Crinetics Pharmaceuticals, Inc. * | (593) | | (10,389) |
| Cue Biopharma, Inc. * | (306) | | (7,500) |
| Deciphera Pharmaceuticals, Inc. * | (622) | | (37,146) |
| Denali Therapeutics, Inc. * | (456) | | (11,026) |
| Dicerna Pharmaceuticals, Inc. * | (486) | | (12,344) |
| Durect Corporation * | (7,656) | | (17,762) |
| Epizyme, Inc. * | (462) | | (7,420) |
| FibroGen, Inc. * | (245) | | (9,930) |
| Frequency Therapeutics, Inc. * | (816) | | (18,972) |
| Health Catalyst, Inc. * | (505) | | (14,731) |
| iCAD, Inc. * | (778) | | (7,772) |
| IMARA, Inc. * | (635) | | (17,545) |
| Immunovant, Inc. * | (740) | | (18,019) |
| Insmed, Inc. * | (555) | | (15,285) |
| Inspire Medical Systems, Inc. * | (477) | | (41,508) |
| Invitae Corporation * | (1,152) | | (34,894) |
| Kala Pharmaceuticals, Inc. * | (603) | | (6,337) |
| Karuna Therapeutics, Inc. * | (194) | | (21,623) |
| Karyopharm Therapeutics, Inc. * | (458) | | (8,674) |
| Keros Therapeutics, Inc. * | (268) | | (10,053) |
| Kura Oncology, Inc. * | (721) | | (11,752) |
| McKesson Corporation | (113) | | (17,336) |
| Mirati Therapeutics, Inc. * | (292) | | (33,338) |
| Momenta Pharmaceuticals, Inc. * | (295) | | (9,815) |
| Natera, Inc. * | (342) | | (17,052) |
| Neogen Corporation * | (99) | | (7,682) |
| NeoGenomics, Inc. * | (421) | | (13,043) |
| Neoleukin Therapeutics, Inc. * | (1,335) | | (22,161) |
| Nevro Corporation * | (171) | | (20,429) |
| ORIC Pharmaceuticals, Inc. * | (335) | | (11,300) |
| | | Shares | | Value |
| Ovid therapeutics, Inc. * | (1,657) | | $ (12,212) |
| Passage Bio, Inc. * | (514) | | (14,048) |
| Principia Biopharma, Inc. * | (417) | | (24,932) |
| Provention Bio, Inc. * | (1,640) | | (23,140) |
| RAPT Therapeutics, Inc. * | (334) | | (9,693) |
| Relmada Therapeutics, Inc. * | (544) | | (24,344) |
| Repro-Med Systems, Inc. * | (1,215) | | (10,911) |
| Selecta Biosciences, Inc. * | (2,544) | | (7,225) |
| Silk Road Medical, Inc. * | (588) | | (24,631) |
| SpringWorks Therapeutics, Inc. * | (402) | | (16,884) |
| Translate Bio, Inc. * | (622) | | (11,146) |
| Ultragenyx Pharmaceutical, Inc. * | (145) | | (11,342) |
| Viela Bio, Inc. * | (533) | | (23,090) |
| Vir Biotechnology, Inc. * | (1,423) | | (58,300) |
| Xencor, Inc. * | (350) | | (11,336) |
| Y-mAbs Therapeutics, Inc. * | (258) | | (11,146) |
| Zentalis Pharmaceuticals, Inc. * | (398) | | (19,112) |
| Zogenix, Inc. * | (522) | | (14,099) |
| | | | | (976,608) |
| Industrials — (0.3)% | | |
| Advanced Drainage Systems, Inc. | (275) | | (13,585) |
| AGCO Corporation | (798) | | (44,257) |
| Bloom Energy Corporation Class A * | (1,141) | | (12,414) |
| Cintas Corporation | (61) | | (16,248) |
| Copart, Inc. * | (130) | | (10,825) |
| CoStar Group, Inc. * | (21) | | (14,924) |
| Deere & Co. | (1,042) | | (163,750) |
| Evoqua Water Technologies Corporation * | (452) | | (8,407) |
| FuelCell Energy, Inc. * | (8,080) | | (18,261) |
| General Dynamics Corporation | (1,361) | | (203,415) |
| Kratos Defense & Security Solutions, Inc. * | (684) | | (10,691) |
| Lennox International, Inc. | (932) | | (217,147) |
| Old Dominion Freight Line, Inc. | (69) | | (11,702) |
| PAE, Inc. * | (2,598) | | (24,837) |
| SiteOne Landscape Supply, Inc. * | (86) | | (9,802) |
| Uber Technologies, Inc. * | (7,542) | | (234,405) |
| Upwork, Inc. * | (1,353) | | (19,537) |
| US Ecology, Inc. | (234) | | (7,928) |
| Verisk Analytics, Inc. | (80) | | (13,616) |
| | | | | (1,055,751) |
| Information Technology — (0.2)% | | |
| Anaplan, Inc. * | (493) | | (22,338) |
| ANSYS, Inc. * | (64) | | (18,671) |
| Avalara, Inc. * | (332) | | (44,186) |
| Blackline, Inc. * | (306) | | (25,370) |
| Cadence Design Systems, Inc. * | (134) | | (12,859) |
| Ceridian HCM Holding, Inc. * | (143) | | (11,336) |
| Cornerstone OnDemand, Inc. * | (205) | | (7,905) |
| CyberOptics Corporation * | (272) | | (8,761) |
| Domo, Inc. Class B * | (299) | | (9,619) |
| Envestnet, Inc. * | (236) | | (17,355) |
| GreenSky, Inc. Class A * | (2,405) | | (11,785) |
| Grid Dynamics Holdings, Inc. * | (840) | | (5,796) |
| Intuit, Inc. | (80) | | (23,695) |
| Itron, Inc. * | (254) | | (16,827) |
See Notes to Financial Statements.
STRATEGIC ALTERNATIVES FUND
SCHEDULE OF INVESTMENTS (Continued)
| | | Shares | | Value |
| Lattice Semiconductor Corporation * | (462) | | $ (13,116) |
| Power Integrations, Inc. | (78) | | (9,214) |
| PROS Holdings, Inc. * | (257) | | (11,419) |
| Q2 Holdings, Inc. * | (140) | | (12,011) |
| Repay Holdings Corporation * | (1,416) | | (34,876) |
| Sapiens International Corporation NV | (330) | | (9,233) |
| Super Micro Computer, Inc. * | (1,650) | | (46,843) |
| SVMK, Inc. * | (1,284) | | (30,225) |
| Synopsys, Inc. * | (496) | | (96,720) |
| Tenable Holdings, Inc. * | (888) | | (26,471) |
| Texas Instruments, Inc. | (605) | | (76,817) |
| Varonis Systems, Inc. * | (81) | | (7,167) |
| Veritone, Inc. * | (888) | | (13,196) |
| Zoom Video Communications, Inc. Class A * | (274) | | (69,470) |
| | | | | (693,281) |
| Materials — (0.0)% | | |
| Dow, Inc. | (2,597) | | (105,854) |
| PPG Industries, Inc. | (116) | | (12,303) |
| Ranpak Holdings Corporation * | (1,056) | | (7,856) |
| | | | | (126,013) |
| Real Estate — (0.0)% | | |
| Prologis, Inc. REIT | (73) | | (6,813) |
| Redfin Corporation * | (348) | | (14,585) |
| Safehold, Inc. REIT | (168) | | (9,658) |
| | | | | (31,056) |
Total Common Stocks Sold Short
(Proceeds $(8,744,739)) | | | (8,720,847) |
| FOREIGN COMMON STOCKS SOLD SHORT — (0.6)% |
| Canada — (0.0)% | | |
| Brookfield Infrastructure Corporation Class A | (1,222) | | (55,650) |
| Primo Water Corporation | (5,697) | | (78,333) |
| Viemed Healthcare, Inc. * | (1,330) | | (12,768) |
| | | | | (146,751) |
| Ireland — (0.6)% | | |
| Accenture PLC Class A | (392) | | (84,170) |
| Aon PLC Class A | (10,421) | | (2,007,085) |
| | | | | (2,091,255) |
| Jersey — (0.0)% | | |
| Mimecast, Ltd. * | (2,185) | | (91,027) |
| Quotient, Ltd. * | (2,764) | | (20,454) |
| | | | | (111,481) |
Total Foreign Common Stocks Sold Short
(Proceeds $(2,059,485)) | | | (2,349,487) |
| MUTUAL FUNDS SOLD SHORT — (2.7)% |
| Consumer Discretionary Select SPDR Fund | (2,643) | | (337,538) |
| Consumer Staples Select SPDR Fund | (11,527) | | (675,943) |
| iShares Russell 2000 ETF | (16,294) | | (2,332,975) |
| iShares U.S. Real Estate ETF | (2,356) | | (185,676) |
| | | Shares | | Value |
| SPDR S&P Retail ETF | (5,871) | | $ (251,748) |
| SPDR S&P500 ETF Trust | (19,782) | | (6,099,978) |
Total Mutual Funds Sold Short
(Proceeds $(9,745,229)) | | | (9,883,858) |
TOTAL SECURITIES SOLD SHORT —(5.7)%
(Proceeds $(20,549,453)) | | | (20,954,192) |
| | Number of
Contracts | | Notional
Amount | |
| WRITTEN OPTIONS — (0.3)% |
| Call Options — (0.0)% |
Apple, Inc., Strike Price
$385.00, Expires
07/17/20 (CITI) | (39) | | $ (39) | (9,399) |
Best Buy Co., Inc., Strike Price
$85.00, Expires
07/17/20 (CITI) | (36) | | (36) | (16,830) |
Dell Technologies, Inc., Strike Price
$55.00, Expires
08/21/20 (CITI) | (29) | | (29) | (9,570) |
Dell Technologies, Inc., Strike Price
$57.50, Expires
08/21/20 (CITI) | (57) | | (57) | (13,167) |
Freeport-McMoRan, Inc., Strike Price
$12.00, Expires
07/17/20 (CITI) | (79) | | (79) | (3,002) |
Mastercard, Inc., Strike Price
$310.00, Expires
07/17/20 (CITI) | (9) | | (9) | (1,589) |
NIKE, Inc., Strike Price
$100.00, Expires
07/17/20 (CITI) | (47) | | (47) | (7,896) |
| | | | | (61,453) |
| Call Swaptions — (0.1)% |
Pay .05% (Annually); Receive 6-Month EURIBOR (Semiannually): Interest Rate Swap Maturing 10/26/2031 EUR, Strike Price
$0.05, Expires
10/22/21 (DEUT) | 1 | | (5,200,000) | (101,396) |
See Notes to Financial Statements.
| | Number of
Contracts | | Notional
Amount | | Value |
Pay -.053% (Annually); Receive 6-Month EURIBOR (Semiannually): Interest Rate Swap Maturing 12/15/2030 EUR, Strike Price
$(0.53), Expires
12/11/20 (CITI) | 1 | | $(4,450,000) | | $ (42,479) |
Pay -.053% (Annually); Receive 6-Month EURIBOR (Semiannually): Interest Rate Swap Maturing 12/15/2030 EUR, Strike Price
$(0.53), Expires
12/11/20 (MSCS) | 1 | | (2,480,000) | | (23,673) |
Pay -.053% (Annually); Receive 6-Month EURIBOR (Semiannually): Interest Rate Swap Maturing 12/15/2030 EUR, Strike Price
$(0.53), Expires
12/11/20 (MSCS) | 1 | | (1,980,000) | | (18,901) |
Pay -.15% (Annually); Receive 6-Month EURIBOR (Semiannually): Interest Rate Swap Maturing 09/30/2025 EUR, Strike Price
$(0.15), Expires
09/28/20 (CITI) | 1 | | (7,810,000) | | (5,048) |
| | | | | | (191,497) |
| Put Options — (0.1)% |
S&P 500®, Strike Price
$2,750.00, Expires
07/13/20 (MSCS) | (21) | | (6,510,609) | | (9,135) |
S&P 500®, Strike Price
$2,755.00, Expires
07/10/20 (MSCS) | (21) | | (6,510,609) | | (7,245) |
S&P 500®, Strike Price
$2,780.00, Expires
07/24/20 (MSCS) | (20) | | (6,200,580) | | (31,800) |
S&P 500®, Strike Price
$2,790.00, Expires
07/27/20 (MSCS) | (21) | | (6,510,609) | | (38,220) |
| | Number of
Contracts | | Notional
Amount | | Value |
S&P 500®, Strike Price
$2,825.00, Expires
07/22/20 (MSCS) | (20) | | $(6,200,580) | | $ (34,600) |
S&P 500®, Strike Price
$2,850.00, Expires
07/29/20 (MSCS) | (21) | | (6,510,609) | | (58,275) |
S&P 500®, Strike Price
$2,870.00, Expires
07/15/20 (MSCS) | (20) | | (6,200,580) | | (27,400) |
S&P 500®, Strike Price
$2,880.00, Expires
07/20/20 (MSCS) | (20) | | (6,200,580) | | (41,400) |
S&P 500®, Strike Price
$2,895.00, Expires
07/17/20 (MSCS) | (18) | | (5,580,522) | | (36,720) |
S&P 500®, Strike Price
$2,980.00, Expires
07/08/20 (MSCS) | (18) | | (5,580,522) | | (25,650) |
S&P 500®, Strike Price
$3,020.00, Expires
07/02/20 (MSCS) | (21) | | (6,510,609) | | (14,700) |
S&P 500®, Strike Price
$3,030.00, Expires
07/06/20 (MSCS) | (18) | | (5,580,522) | | (28,530) |
| | | | | | (353,675) |
| Put Swaptions — (0.1)% |
Pay 6-Month EURIBOR (Semiannually); Receive (.053)% (Annually): Interest Rate Swap Maturing 12/15/2030 EUR, Strike Price
$(0.53), Expires
12/11/20 (MSCS) | 1 | | (2,480,000) | | (50,148) |
Pay 6-Month EURIBOR (Semiannually); Receive (.053)% (Annually): Interest Rate Swap Maturing 12/15/2030 EUR, Strike Price
$(0.53), Expires
12/11/20 (CITI) | 1 | | (4,450,000) | | (89,984) |
See Notes to Financial Statements.
STRATEGIC ALTERNATIVES FUND
SCHEDULE OF INVESTMENTS (Continued)
| | Number of
Contracts | | Notional
Amount | | Value |
Pay 6-Month EURIBOR (Semiannually); Receive (.053)% (Annually): Interest Rate Swap Maturing 12/15/2030 EUR, Strike Price
$(0.53), Expires
12/11/20 (MSCS) | 1 | | $(1,980,000) | | $(40,038) |
Pay 6-Month EURIBOR (Semiannually); Receive (.35)% (Annually): Interest Rate Swap Maturing 08/17/2025 EUR, Strike Price
$(0.35), Expires
08/13/20 (BNP) | 1 | | (5,940,000) | | (13,322) |
Pay 6-Month EURIBOR (Semiannually); Receive (.35)% (Annually): Interest Rate Swap Maturing 08/17/2025 EUR, Strike Price
$(0.35), Expires
08/13/20 (BNP) | 1 | | (5,940,000) | | (13,322) |
Pay 6-Month EURIBOR (Semiannually); Receive (.35)% (Annually): Interest Rate Swap Maturing 09/30/2025 EUR, Strike Price
$(0.35), Expires
09/28/20 (CITI) | 1 | | (7,810,000) | | (26,318) |
| | Number of
Contracts | | Notional
Amount | | Value |
Pay 6-Month EURIBOR (Seminnually); Receive .05% (Annually): Interest Rate Swap Maturing 10/26/2031 EUR, Strike Price
$0.05, Expires
10/22/21 (DEUT) | 1 | | $(5,200,000) | | $(182,610) |
Pay 6-Month LIBOR (Semiannually); Receive .35% (Semiannually): Interest Rate Swap Maturing 10/02/2030 GBP, Strike Price
$0.35, Expires
10/02/20 (MSCS) | 1 | | (1,740,000) | | (22,584) |
Pay 6-Month LIBOR (Semiannually); Receive .35% (Semiannually): Interest Rate Swap Maturing 10/02/2030 GBP, Strike Price
$0.35, Expires
10/02/20 (MSCS) | 1 | | (1,640,000) | | (21,286) |
Pay 6-Month LIBOR (Semiannually); Receive .35% (Semiannually): Interest Rate Swap Maturing 10/02/2030 GBP, Strike Price
$0.35, Expires
10/02/20 (MSCS) | 1 | | (3,380,000) | | (43,869) |
See Notes to Financial Statements.
| | Number of
Contracts | | Notional
Amount | | Value |
Pay 6-Month LIBOR (Semiannually); Receive .35% (Semiannually): Interest Rate Swap Maturing 10/21/2030 GBP, Strike Price
$0.35, Expires
10/21/20 (MSCS) | 1 | | $(3,430,000) | | $ (49,080) |
| | | | | | (552,561) |
Total Written Options
(Premiums received $ (1,639,255)) | | | | (1,159,186) |
Other Assets in Excess of
Liabilities — 3.2% | | | | 11,780,721 |
| NET ASSETS — 100.0% | | | | $364,453,637 |
PORTFOLIO SUMMARY (based on net assets)
| | % |
| Money Market Funds | 34.2 |
| Corporate Bonds | 22.5 |
| U.S. Treasury Obligations | 19.3 |
| Mortgage-Backed Securities | 7.8 |
| Foreign Bonds | 4.4 |
| Asset-Backed Securities | 3.8 |
| Financials | 2.5 |
| Loan Agreements | 1.7 |
| Health Care | 1.3 |
| Mutual Funds | 1.1 |
| Information Technology | 1.1 |
| Consumer Discretionary | 1.1 |
| Industrials | 0.8 |
| Real Estate | 0.3 |
| Certificates Of Deposit | 0.3 |
| Communication Services | 0.2 |
| Materials | 0.2 |
| Energy | 0.1 |
| Utilities | 0.1 |
| Consumer Staples | —** |
| Purchased Options | —** |
| Rights | —** |
| Written Options | (0.3) |
| Foreign Common Stocks Sold Short | (0.6) |
| Common Stocks Sold Short | (2.4) |
| Mutual Funds Sold Short | (2.7) |
| | 96.8 |
| **Rounds to less than 0.05% | |
See Notes to Financial Statements.
STRATEGIC ALTERNATIVES FUND
SCHEDULE OF INVESTMENTS (Continued)
Futures Contracts outstanding at June 30, 2020:
| Future Type | | Expiration Date | | Open Long
(Short) Contracts | | Notional
Market Value
of Contracts | | Value and
Unrealized
Appreciation
(Depreciation) |
| 10-Year U.S. Treasury Note | | 09/2020 | | (6) | | $ (835,031) | | $ 5 |
| U.S. Treasury Long Bond | | 09/2020 | | 23 | | 4,106,937 | | 15,768 |
| Ultra 10-Year U.S. Treasury Note | | 09/2020 | | 1 | | 157,484 | | — |
| Ultra Long U.S. Treasury Bond | | 09/2020 | | (4) | | (872,625) | | 2,034 |
| 2-Year U.S. Treasury Note | | 09/2020 | | (130) | | (28,707,656) | | (10,673) |
| 5-Year U.S. Treasury Note | | 09/2020 | | (22) | | (2,766,328) | | 502 |
| Total Futures Contracts outstanding at June 30, 2020 | | | | | | $(28,917,219) | | $ 7,636 |
Forward Foreign Currency Contracts outstanding at June 30, 2020:
| Expiration Date | | Currency
Purchased | | Amount
of Currency
Purchased | | Currency
Sold | | Amount
of Currency
Sold | | Counter-
party | | Net Unrealized
Appreciation
(Depreciation) |
| 07/22/20 | | Australian Dollars | | 34,139,943 | | U.S. Dollars | | 21,538,139 | | JPM | | $ 2,025,091 |
| 07/22/20 | | Norwegian Kroner | | 174,301,464 | | U.S. Dollars | | 17,128,924 | | GSC | | 981,449 |
| 07/22/20 | | Euro | | 29,291,208 | | U.S. Dollars | | 32,104,775 | | JPM | | 820,653 |
| 07/22/20 | | New Zealand Dollars | | 20,869,632 | | U.S. Dollars | | 12,707,235 | | CITI | | 760,704 |
| 07/22/20 | | Swedish Kronor | | 100,239,643 | | U.S. Dollars | | 10,082,736 | | RBC | | 677,760 |
| 07/22/20 | | Norwegian Kroner | | 59,701,605 | | U.S. Dollars | | 5,793,587 | | CITI | | 409,564 |
| 07/22/20 | | U.S. Dollars | | 16,456,979 | | British Pounds | | 13,054,847 | | RBC | | 278,228 |
| 07/22/20 | | Euro | | 7,903,039 | | U.S. Dollars | | 8,660,861 | | SC | | 222,724 |
| 07/22/20 | | Mexican Pesos | | 109,988,874 | | U.S. Dollars | | 4,589,841 | | GSC | | 180,474 |
| 07/22/20 | | Swiss Francs | | 11,297,238 | | U.S. Dollars | | 11,774,475 | | CITI | | 157,583 |
| 07/22/20 | | U.S. Dollars | | 2,468,564 | | Brazilian Reals | | 12,601,625 | | SC | | 154,009 |
| 07/22/20 | | Canadian Dollars | | 7,015,343 | | U.S. Dollars | | 5,023,137 | | GSC | | 144,657 |
| 09/16/20 | | U.S. Dollars | | 7,522,343 | | British Pounds | | 5,951,436 | | MSCS | | 144,489 |
| 07/22/20 | | New Zealand Dollars | | 3,238,664 | | U.S. Dollars | | 1,961,575 | | JPM | | 128,454 |
| 07/09/20 | | Swedish Kronor | | 14,285,000 | | U.S. Dollars | | 1,415,996 | | MSCS | | 117,206 |
| 07/22/20 | | Canadian Dollars | | 4,931,194 | | U.S. Dollars | | 3,527,625 | | SC | | 104,898 |
| 08/12/20 | | Euro | | 3,283,295 | | U.S. Dollars | | 3,587,695 | | MSCS | | 104,701 |
| 07/22/20 | | U.S. Dollars | | 9,892,093 | | Japanese Yen | | 1,057,675,428 | | RBC | | 93,680 |
| 07/22/20 | | Euro | | 2,947,445 | | U.S. Dollars | | 3,222,714 | | CITI | | 90,427 |
| 07/02/20 | | U.S. Dollars | | 2,384,051 | | Brazilian Reals | | 12,479,474 | | MSCS | | 89,231 |
| 07/22/20 | | Euro | | 2,194,667 | | U.S. Dollars | | 2,381,280 | | GSC | | 85,684 |
| 07/22/20 | | U.S. Dollars | | 4,449,612 | | British Pounds | | 3,525,657 | | CITI | | 80,297 |
| 08/17/20 | | Russian Rubles | | 123,220,250 | | U.S. Dollars | | 1,646,128 | | MSCS | | 74,980 |
| 07/22/20 | | Swiss Francs | | 4,164,318 | | U.S. Dollars | | 4,325,742 | | SC | | 72,579 |
| 07/22/20 | | Polish Zloty | | 6,573,235 | | U.S. Dollars | | 1,589,064 | | CITI | | 72,519 |
| 07/22/20 | | Swedish Kronor | | 28,278,555 | | U.S. Dollars | | 2,967,394 | | SS | | 68,243 |
| 07/22/20 | | Swedish Kronor | | 11,440,721 | | U.S. Dollars | | 1,161,353 | | GSC | | 66,782 |
| 07/22/20 | | U.S. Dollars | | 1,138,715 | | Chilean Pesos | | 883,756,986 | | CITI | | 62,324 |
| 07/22/20 | | South African Rand | | 16,957,298 | | U.S. Dollars | | 916,348 | | CITI | | 58,350 |
| 07/22/20 | | South African Rand | | 16,953,523 | | U.S. Dollars | | 918,492 | | RBC | | 55,989 |
| 07/03/20 | | U.S. Dollars | | 2,451,011 | | Chilean Pesos | | 1,969,292,513 | | MSCS | | 53,383 |
| 07/22/20 | | Hungarian Forint | | 683,679,523 | | U.S. Dollars | | 2,115,672 | | GSC | | 52,962 |
| 07/22/20 | | Swiss Francs | | 2,477,357 | | U.S. Dollars | | 2,564,297 | | GSC | | 52,269 |
| 07/15/20 | | Australian Dollars | | 877,581 | | U.S. Dollars | | 559,320 | | MSCS | | 46,356 |
| 07/09/20 | | Norwegian Kroner | | 7,293,901 | | U.S. Dollars | | 712,377 | | MSCS | | 45,439 |
| 07/22/20 | | Swedish Kronor | | 11,279,482 | | U.S. Dollars | | 1,165,629 | | SC | | 45,197 |
| 08/17/20 | | U.S. Dollars | | 1,878,113 | | Russian Rubles | | 131,276,734 | | MSCS | | 44,474 |
| 07/22/20 | | U.S. Dollars | | 1,374,736 | | Mexican Pesos | | 30,737,037 | | GSC | | 41,644 |
| 07/22/20 | | Brazilian Reals | | 5,077,898 | | U.S. Dollars | | 897,885 | | CITI | | 34,778 |
See Notes to Financial Statements.
| Expiration Date | | Currency
Purchased | | Amount
of Currency
Purchased | | Currency
Sold | | Amount
of Currency
Sold | | Counter-
party | | Net Unrealized
Appreciation
(Depreciation) |
| 07/22/20 | | U.S. Dollars | | 3,596,769 | | Japanese Yen | | 384,589,844 | | CITI | | $ 33,889 |
| 07/22/20 | | Chilean Pesos | | 883,735,613 | | U.S. Dollars | | 1,044,062 | | RBC | | 32,304 |
| 07/22/20 | | Czech Republic Koruna | | 27,372,394 | | U.S. Dollars | | 1,121,806 | | CITI | | 32,180 |
| 08/04/20 | | U.S. Dollars | | 644,299 | | Brazilian Reals | | 3,339,194 | | MSCS | | 31,371 |
| 07/23/20 | | Polish Zloty | | 2,039,000 | | U.S. Dollars | | 490,748 | | MSCS | | 24,673 |
| 07/22/20 | | South Korean Won | | 3,418,524,543 | | U.S. Dollars | | 2,823,777 | | CITI | | 24,500 |
| 07/22/20 | | Czech Republic Koruna | | 14,165,640 | | U.S. Dollars | | 573,162 | | SS | | 24,044 |
| 09/16/20 | | U.S. Dollars | | 1,768,144 | | Canadian Dollars | | 2,370,851 | | MSCS | | 21,512 |
| 07/06/20 | | Colombian Pesos | | 2,712,086,698 | | U.S. Dollars | | 700,264 | | MSCS | | 21,034 |
| 07/15/20 | | Czech Republic Koruna | | 7,091,000 | | U.S. Dollars | | 279,462 | | MSCS | | 19,472 |
| 09/17/20 | | U.S. Dollars | | 601,650 | | Mexican Pesos | | 13,542,495 | | MSCS | | 18,670 |
| 07/22/20 | | U.S. Dollars | | 3,393,899 | | British Pounds | | 2,724,155 | | SC | | 17,879 |
| 07/22/20 | | Euro | | 563,237 | | U.S. Dollars | | 615,719 | | SS | | 17,400 |
| 07/22/20 | | U.S. Dollars | | 1,979,935 | | New Zealand Dollars | | 3,042,623 | | SC | | 16,419 |
| 07/22/20 | | Norwegian Kroner | | 16,134,214 | | U.S. Dollars | | 1,660,113 | | SS | | 16,274 |
| 07/22/20 | | U.S. Dollars | | 1,223,617 | | Japanese Yen | | 130,328,714 | | GSC | | 16,239 |
| 07/22/20 | | Mexican Pesos | | 10,427,263 | | U.S. Dollars | | 436,653 | | SC | | 15,587 |
| 07/22/20 | | New Zealand Dollars | | 526,421 | | U.S. Dollars | | 324,443 | | MSCS | | 15,276 |
| 07/16/20 | | Canadian Dollars | | 412,451 | | U.S. Dollars | | 289,795 | | MSCS | | 14,028 |
| 09/16/20 | | Chinese Offshore Yuan | | 36,753,873 | | U.S. Dollars | | 5,163,051 | | MSCS | | 12,410 |
| 07/13/20 | | Turkish Lira | | 1,402,621 | | U.S. Dollars | | 191,665 | | MSCS | | 12,293 |
| 09/16/20 | | U.S. Dollars | | 1,672,496 | | Japanese Yen | | 179,068,170 | | MSCS | | 12,285 |
| 07/22/20 | | U.S. Dollars | | 3,066,571 | | Canadian Dollars | | 4,146,326 | | SC | | 12,214 |
| 09/16/20 | | U.S. Dollars | | 1,992,444 | | Euro | | 1,760,127 | | MSCS | | 11,454 |
| 07/02/20 | | Brazilian Reals | | 3,484,909 | | U.S. Dollars | | 629,518 | | MSCS | | 11,313 |
| 07/22/20 | | Canadian Dollars | | 2,795,460 | | U.S. Dollars | | 2,048,269 | | CITI | | 10,984 |
| 07/06/20 | | U.S. Dollars | | 541,355 | | Colombian Pesos | | 1,998,004,589 | | MSCS | | 9,971 |
| 07/22/20 | | U.S. Dollars | | 1,576,721 | | Australian Dollars | | 2,270,470 | | SC | | 9,653 |
| 08/27/20 | | U.S. Dollars | | 867,773 | | Chilean Pesos | | 704,609,072 | | MSCS | | 9,221 |
| 07/09/20 | | U.S. Dollars | | 663,335 | | Norwegian Kroner | | 6,296,124 | | MSCS | | 9,185 |
| 07/22/20 | | British Pounds | | 2,305,684 | | U.S. Dollars | | 2,849,480 | | SC | | 7,933 |
| 07/20/20 | | U.S. Dollars | | 615,814 | | Indonesian Rupiahs | | 8,815,894,359 | | MSCS | | 7,667 |
| 09/16/20 | | U.S. Dollars | | 794,314 | | Polish Zloty | | 3,111,823 | | MSCS | | 7,571 |
| 07/20/20 | | Taiwan Dollars | | 12,638,216 | | U.S. Dollars | | 424,696 | | MSCS | | 6,162 |
| 07/15/20 | | South Korean Won | | 1,020,480,099 | | U.S. Dollars | | 843,529 | | MSCS | | 6,130 |
| 09/16/20 | | Swedish Kronor | | 7,893,598 | | Euro | | 748,108 | | MSCS | | 5,960 |
| 07/22/20 | | South Korean Won | | 1,351,645,495 | | U.S. Dollars | | 1,120,257 | | SC | | 5,920 |
| 07/22/20 | | U.S. Dollars | | 454,579 | | Swedish Kronor | | 4,179,587 | | SC | | 5,910 |
| 07/01/20 | | South African Rand | | 2,257,059 | | U.S. Dollars | | 124,166 | | MSCS | | 5,905 |
| 07/20/20 | | Indonesian Rupiahs | | 4,842,832,029 | | U.S. Dollars | | 328,440 | | MSCS | | 5,633 |
| 07/09/20 | | Swiss Francs | | 245,631 | | U.S. Dollars | | 253,798 | | MSCS | | 5,530 |
| 09/16/20 | | Australian Dollars | | 1,541,039 | | U.S. Dollars | | 1,058,435 | | MSCS | | 5,316 |
| 07/06/20 | | Taiwan Dollars | | 12,349,256 | | U.S. Dollars | | 414,405 | | MSCS | | 4,886 |
| 07/15/20 | | U.S. Dollars | | 701,293 | | British Pounds | | 562,132 | | MSCS | | 4,682 |
| 07/22/20 | | Japanese Yen | | 428,659,329 | | U.S. Dollars | | 3,966,644 | | SS | | 4,500 |
| 07/22/20 | | Japanese Yen | | 372,008,304 | | U.S. Dollars | | 3,442,179 | | GSC | | 4,144 |
| 07/15/20 | | Indian Rupees | | 32,365,783 | | U.S. Dollars | | 423,941 | | MSCS | | 3,946 |
| 09/16/20 | | Canadian Dollars | | 1,328,286 | | Euro | | 866,294 | | MSCS | | 3,566 |
| 07/22/20 | | U.S. Dollars | | 1,137,153 | | Czech Republic Koruna | | 26,897,860 | | SC | | 3,173 |
| 07/22/20 | | Norwegian Kroner | | 30,171,336 | | U.S. Dollars | | 3,131,749 | | SC | | 3,131 |
| 07/15/20 | | Hungarian Forint | | 37,186,149 | | U.S. Dollars | | 114,867 | | MSCS | | 3,096 |
| 07/13/20 | | U.S. Dollars | | 418,907 | | Turkish Lira | | 2,860,776 | | MSCS | | 2,917 |
| 08/12/20 | | U.S. Dollars | | 415,052 | | Euro | | 366,600 | | MSCS | | 2,774 |
| 07/22/20 | | U.S. Dollars | | 834,635 | | Swiss Francs | | 787,701 | | SC | | 2,671 |
| 09/02/20 | | South Korean Won | | 440,076,580 | | U.S. Dollars | | 364,435 | | MSCS | | 2,489 |
| 09/16/20 | | British Pounds | | 330,083 | | Euro | | 361,373 | | MSCS | | 2,477 |
See Notes to Financial Statements.
STRATEGIC ALTERNATIVES FUND
SCHEDULE OF INVESTMENTS (Continued)
| Expiration Date | | Currency
Purchased | | Amount
of Currency
Purchased | | Currency
Sold | | Amount
of Currency
Sold | | Counter-
party | | Net Unrealized
Appreciation
(Depreciation) |
| 07/22/20 | | U.S. Dollars | | 1,734,450 | | Euro | | 1,540,829 | | SC | | $ 2,447 |
| 09/18/20 | | U.S. Dollars | | 345,586 | | South African Rand | | 6,009,000 | | MSCS | | 2,186 |
| 09/16/20 | | U.S. Dollars | | 208,857 | | Norwegian Kroner | | 1,989,068 | | MSCS | | 2,145 |
| 09/16/20 | | U.S. Dollars | | 237,467 | | Australian Dollars | | 340,986 | | MSCS | | 2,091 |
| 09/16/20 | | U.S. Dollars | | 199,110 | | Chilean Pesos | | 161,756,819 | | MSCS | | 1,944 |
| 07/27/20 | | U.S. Dollars | | 209,815 | | Colombian Pesos | | 783,070,311 | | MSCS | | 1,940 |
| 09/16/20 | | Israeli Shekels | | 725,243 | | U.S. Dollars | | 208,006 | | MSCS | | 1,812 |
| 09/16/20 | | U.S. Dollars | | 209,052 | | Israeli Shekels | | 716,453 | | MSCS | | 1,777 |
| 09/16/20 | | Swiss Francs | | 375,573 | | Euro | | 351,529 | | MSCS | | 1,705 |
| 09/16/20 | | Turkish Lira | | 2,530,264 | | U.S. Dollars | | 359,419 | | MSCS | | 1,703 |
| 07/22/20 | | U.S. Dollars | | 1,543,392 | | Australian Dollars | | 2,233,854 | | GSC | | 1,596 |
| 09/16/20 | | Canadian Dollars | | 846,844 | | U.S. Dollars | | 622,295 | | MSCS | | 1,585 |
| 07/01/20 | | Singapore Dollars | | 103,302 | | U.S. Dollars | | 72,615 | | MSCS | | 1,510 |
| 07/23/20 | | U.S. Dollars | | 174,808 | | Polish Zloty | | 686,142 | | MSCS | | 1,364 |
| 09/16/20 | | Euro | | 185,722 | | Norwegian Kroner | | 1,998,774 | | MSCS | | 1,306 |
| 09/16/20 | | U.S. Dollars | | 415,876 | | South African Rand | | 7,253,417 | | MSCS | | 1,283 |
| 07/22/20 | | Chilean Pesos | | 41,327,274 | | U.S. Dollars | | 49,054 | | CITI | | 1,281 |
| 07/22/20 | | Australian Dollars | | 906,410 | | U.S. Dollars | | 624,322 | | SC | | 1,278 |
| 07/22/20 | | U.S. Dollars | | 143,563 | | Japanese Yen | | 15,367,257 | | MSCS | | 1,199 |
| 09/16/20 | | U.S. Dollars | | 208,790 | | Swedish Kronor | | 1,934,398 | | MSCS | | 994 |
| 09/16/20 | | Swedish Kronor | | 1,879,157 | | U.S. Dollars | | 200,984 | | MSCS | | 878 |
| 09/16/20 | | Norwegian Kroner | | 1,887,636 | | Euro | | 173,579 | | MSCS | | 811 |
| 09/16/20 | | Swiss Francs | | 375,869 | | U.S. Dollars | | 396,907 | | MSCS | | 750 |
| 09/16/20 | | Euro | | 503,301 | | U.S. Dollars | | 565,784 | | MSCS | | 672 |
| 09/16/20 | | U.S. Dollars | | 208,739 | | Turkish Lira | | 1,457,917 | | MSCS | | 664 |
| 07/27/20 | | U.S. Dollars | | 205,933 | | Turkish Lira | | 1,418,753 | | MSCS | | 392 |
| 09/16/20 | | Euro | | 184,792 | | Canadian Dollars | | 281,889 | | MSCS | | 309 |
| 07/28/20 | | Indian Rupees | | 3,061,728 | | U.S. Dollars | | 40,122 | | MSCS | | 291 |
| 09/16/20 | | Euro | | 177,498 | | Swiss Francs | | 188,658 | | MSCS | | 176 |
| 07/09/20 | | U.S. Dollars | | 57,926 | | Swedish Kronor | | 538,334 | | MSCS | | 147 |
| 07/29/20 | | U.S. Dollars | | 209,023 | | Turkish Lira | | 1,443,032 | | MSCS | | 76 |
| 09/16/20 | | Euro | | 171,402 | | British Pounds | | 155,571 | | MSCS | | 52 |
| Subtotal Appreciation | | | | | | | | | | $ 9,496,418 |
| 09/18/20 | | Singapore Dollars | | 103,302 | | U.S. Dollars | | 74,195 | | MSCS | | $ (52) |
| 09/16/20 | | U.S. Dollars | | 202,831 | | Canadian Dollars | | 275,427 | | MSCS | | (79) |
| 07/15/20 | | U.S. Dollars | | 88,562 | | Hong Kong Dollars | | 687,101 | | MSCS | | (84) |
| 07/22/20 | | Turkish Lira | | 3,231,531 | | U.S. Dollars | | 468,881 | | SS | | (96) |
| 07/15/20 | | South Korean Won | | 251,115,203 | | U.S. Dollars | | 209,299 | | MSCS | | (219) |
| 07/15/20 | | Israeli Shekels | | 143,082 | | U.S. Dollars | | 41,707 | | MSCS | | (385) |
| 09/16/20 | | Israeli Shekels | | 439,035 | | U.S. Dollars | | 127,516 | | MSCS | | (500) |
| 07/22/20 | | U.S. Dollars | | 79,309 | | Japanese Yen | | 8,616,241 | | MSCS | | (513) |
| 09/16/20 | | Euro | | 175,141 | | British Pounds | | 159,449 | | MSCS | | (546) |
| 08/03/20 | | Indonesian Rupiahs | | 3,043,017,501 | | U.S. Dollars | | 208,819 | | MSCS | | (637) |
| 08/27/20 | | U.S. Dollars | | 294,476 | | Chilean Pesos | | 242,221,165 | | MSCS | | (666) |
| 08/27/20 | | Chilean Pesos | | 1,173,838,416 | | U.S. Dollars | | 1,430,987 | | MSCS | | (688) |
| 09/16/20 | | U.S. Dollars | | 455,474 | | Euro | | 405,325 | | MSCS | | (712) |
| 09/16/20 | | New Zealand Dollars | | 99,344 | | U.S. Dollars | | 64,855 | | MSCS | | (754) |
| 09/16/20 | | Japanese Yen | | 22,664,544 | | British Pounds | | 170,143 | | MSCS | | (790) |
| 09/17/20 | | U.S. Dollars | | 209,251 | | Mexican Pesos | | 4,879,535 | | MSCS | | (805) |
| 08/12/20 | | Euro | | 246,411 | | U.S. Dollars | | 277,929 | | MSCS | | (815) |
| 07/27/20 | | U.S. Dollars | | 594,589 | | Colombian Pesos | | 2,243,057,963 | | MSCS | | (855) |
| 07/22/20 | | U.S. Dollars | | 49,450 | | Chilean Pesos | | 41,320,643 | | GSC | | (877) |
| 07/22/20 | | Japanese Yen | | 11,440,110 | | U.S. Dollars | | 106,875 | | MSCS | | (893) |
| 09/16/20 | | Chinese Offshore Yuan | | 5,945,190 | | U.S. Dollars | | 838,113 | | MSCS | | (947) |
| 09/16/20 | | Polish Zloty | | 2,469,882 | | Euro | | 555,693 | | MSCS | | (978) |
See Notes to Financial Statements.
| Expiration Date | | Currency
Purchased | | Amount
of Currency
Purchased | | Currency
Sold | | Amount
of Currency
Sold | | Counter-
party | | Net Unrealized
Appreciation
(Depreciation) |
| 07/27/20 | | U.S. Dollars | | 210,000 | | Turkish Lira | | 1,457,566 | | MSCS | | $ (1,164) |
| 07/15/20 | | Australian Dollars | | 367,227 | | U.S. Dollars | | 254,718 | | MSCS | | (1,271) |
| 09/16/20 | | U.S. Dollars | | 209,218 | | Norwegian Kroner | | 2,025,794 | | MSCS | | (1,310) |
| 07/28/20 | | Indian Rupees | | 20,374,092 | | U.S. Dollars | | 270,285 | | MSCS | | (1,358) |
| 09/16/20 | | Hungarian Forint | | 15,973,037 | | U.S. Dollars | | 52,213 | | MSCS | | (1,557) |
| 09/16/20 | | U.S. Dollars | | 231,374 | | Taiwan Dollars | | 6,775,552 | | MSCS | | (1,563) |
| 07/15/20 | | U.S. Dollars | | 432,084 | | South Korean Won | | 521,337,842 | | MSCS | | (1,985) |
| 07/22/20 | | Turkish Lira | | 3,309,827 | | U.S. Dollars | | 482,131 | | GSC | | (1,987) |
| 07/22/20 | | U.S. Dollars | | 1,609,412 | | Japanese Yen | | 173,943,144 | | SC | | (2,015) |
| 09/16/20 | | U.S. Dollars | | 214,346 | | New Zealand Dollars | | 335,547 | | MSCS | | (2,166) |
| 09/18/20 | | South African Rand | | 6,300,532 | | U.S. Dollars | | 362,352 | | MSCS | | (2,292) |
| 09/16/20 | | Euro | | 548,287 | | Polish Zloty | | 2,449,867 | | MSCS | | (2,297) |
| 08/17/20 | | U.S. Dollars | | 209,239 | | Russian Rubles | | 15,150,201 | | MSCS | | (2,375) |
| 07/22/20 | | U.S. Dollars | | 3,094,526 | | Swiss Francs | | 2,932,141 | | GSC | | (2,379) |
| 09/16/20 | | Euro | | 367,392 | | Swiss Francs | | 393,128 | | MSCS | | (2,424) |
| 09/16/20 | | Euro | | 287,804 | | Canadian Dollars | | 443,359 | | MSCS | | (2,709) |
| 07/15/20 | | British Pounds | | 454,583 | | U.S. Dollars | | 566,066 | | MSCS | | (2,734) |
| 09/16/20 | | Swedish Kronor | | 5,236,167 | | U.S. Dollars | | 565,475 | | MSCS | | (2,997) |
| 07/15/20 | | U.S. Dollars | | 209,844 | | Israeli Shekels | | 737,000 | | MSCS | | (3,002) |
| 08/25/20 | | U.S. Dollars | | 55,280 | | Colombian Pesos | | 220,154,122 | | MSCS | | (3,013) |
| 07/16/20 | | Canadian Dollars | | 1,297,036 | | U.S. Dollars | | 958,670 | | MSCS | | (3,236) |
| 07/15/20 | | U.S. Dollars | | 642,972 | | Taiwan Dollars | | 18,987,338 | | MSCS | | (3,395) |
| 07/22/20 | | U.S. Dollars | | 3,468,541 | | Euro | | 3,088,776 | | SC | | (3,466) |
| 09/16/20 | | Euro | | 740,366 | | Swedish Kronor | | 7,789,919 | | MSCS | | (3,535) |
| 07/22/20 | | U.S. Dollars | | 565,006 | | South Korean Won | | 682,482,511 | | SS | | (3,631) |
| 09/16/20 | | Norwegian Kroner | | 1,988,912 | | Swedish Kronor | | 1,962,201 | | MSCS | | (4,087) |
| 09/16/20 | | U.S. Dollars | | 319,551 | | Thai Baht | | 10,008,408 | | MSCS | | (4,221) |
| 09/16/20 | | Turkish Lira | | 3,504,996 | | U.S. Dollars | | 504,512 | | MSCS | | (4,275) |
| 07/15/20 | | U.S. Dollars | | 167,472 | | Hungarian Forint | | 54,216,000 | | MSCS | | (4,514) |
| 07/09/20 | | U.S. Dollars | | 220,082 | | Swiss Francs | | 213,000 | | MSCS | | (4,795) |
| 09/16/20 | | Norwegian Kroner | | 2,033,909 | | Euro | | 192,399 | | MSCS | | (5,170) |
| 07/01/20 | | South African Rand | | 4,043,466 | | U.S. Dollars | | 238,322 | | MSCS | | (5,303) |
| 09/16/20 | | British Pounds | | 336,352 | | U.S. Dollars | | 422,295 | | MSCS | | (5,328) |
| 07/22/20 | | U.S. Dollars | | 4,875,425 | | Japanese Yen | | 526,901,776 | | JPM | | (5,847) |
| 07/22/20 | | Canadian Dollars | | 1,811,293 | | U.S. Dollars | | 1,340,192 | | GSC | | (5,918) |
| 07/22/20 | | U.S. Dollars | | 468,058 | | Brazilian Reals | | 2,582,745 | | CITI | | (6,318) |
| 09/16/20 | | Swiss Francs | | 1,689,554 | | U.S. Dollars | | 1,793,881 | | MSCS | | (6,386) |
| 07/01/20 | | U.S. Dollars | | 135,551 | | South African Rand | | 2,464,000 | | MSCS | | (6,446) |
| 09/16/20 | | South African Rand | | 4,850,763 | | U.S. Dollars | | 284,626 | | MSCS | | (7,364) |
| 09/16/20 | | U.S. Dollars | | 614,509 | | Australian Dollars | | 901,006 | | MSCS | | (7,440) |
| 07/22/20 | | U.S. Dollars | | 95,818 | | New Zealand Dollars | | 160,167 | | MSCS | | (7,544) |
| 09/16/20 | | U.S. Dollars | | 663,398 | | Turkish Lira | | 4,701,136 | | MSCS | | (7,553) |
| 08/06/20 | | U.S. Dollars | | 1,249,686 | | Taiwan Dollars | | 36,742,806 | | MSCS | | (7,627) |
| 09/16/20 | | Japanese Yen | | 45,493,648 | | Australian Dollars | | 622,172 | | MSCS | | (7,685) |
| 07/15/20 | | U.S. Dollars | | 835,775 | | Indian Rupees | | 63,821,061 | | MSCS | | (7,960) |
| 07/22/20 | | Canadian Dollars | | 1,607,457 | | U.S. Dollars | | 1,192,252 | | SC | | (8,132) |
| 09/16/20 | | U.S. Dollars | | 839,164 | | Israeli Shekels | | 2,928,834 | | MSCS | | (8,168) |
| 07/22/20 | | U.S. Dollars | | 7,197,752 | | Swiss Francs | | 6,822,608 | | SC | | (8,235) |
| 09/16/20 | | U.S. Dollars | | 2,822,825 | | Chinese Offshore Yuan | | 20,105,649 | | MSCS | | (8,333) |
| 07/22/20 | | South African Rand | | 11,323,533 | | U.S. Dollars | | 660,804 | | GSC | | (9,932) |
| 07/22/20 | | U.S. Dollars | | 585,079 | | South Korean Won | | 714,264,721 | | CITI | | (10,038) |
| 07/06/20 | | Colombian Pesos | | 2,329,316,921 | | U.S. Dollars | | 629,675 | | MSCS | | (10,177) |
| 07/20/20 | | U.S. Dollars | | 1,085,612 | | Taiwan Dollars | | 32,151,085 | | MSCS | | (10,473) |
| 07/20/20 | | U.S. Dollars | | 337,200 | | Turkish Lira | | 2,397,053 | | MSCS | | (10,716) |
| 08/04/20 | | Brazilian Reals | | 2,277,510 | | U.S. Dollars | | 428,857 | | MSCS | | (10,808) |
| 09/02/20 | | U.S. Dollars | | 448,830 | | South Korean Won | | 551,625,660 | | MSCS | | (11,101) |
See Notes to Financial Statements.
STRATEGIC ALTERNATIVES FUND
SCHEDULE OF INVESTMENTS (Continued)
| Expiration Date | | Currency
Purchased | | Amount
of Currency
Purchased | | Currency
Sold | | Amount
of Currency
Sold | | Counter-
party | | Net Unrealized
Appreciation
(Depreciation) |
| 07/22/20 | | Norwegian Kroner | | 7,515,391 | | U.S. Dollars | | 792,892 | | SC | | $ (12,023) |
| 07/28/20 | | U.S. Dollars | | 1,429,870 | | Indian Rupees | | 109,249,527 | | MSCS | | (12,166) |
| 07/22/20 | | U.S. Dollars | | 535,929 | | Hungarian Forint | | 173,640,910 | | SS | | (14,861) |
| 07/09/20 | | Mexican Pesos | | 5,880,673 | | U.S. Dollars | | 270,617 | | MSCS | | (15,092) |
| 09/16/20 | | U.S. Dollars | | 1,623,418 | | Swiss Francs | | 1,549,570 | | MSCS | | (15,978) |
| 09/16/20 | | British Pounds | | 1,404,576 | | Euro | | 1,561,646 | | MSCS | | (16,385) |
| 07/09/20 | | U.S. Dollars | | 154,411 | | Norwegian Kroner | | 1,649,270 | | MSCS | | (16,944) |
| 07/20/20 | | Indonesian Rupiahs | | 11,764,670,266 | | U.S. Dollars | | 828,954 | | MSCS | | (17,392) |
| 07/09/20 | | U.S. Dollars | | 371,546 | | Mexican Pesos | | 8,954,199 | | MSCS | | (17,529) |
| 07/15/20 | | U.S. Dollars | | 257,499 | | Czech Republic Koruna | | 6,533,726 | | MSCS | | (17,942) |
| 09/16/20 | | Canadian Dollars | | 2,514,279 | | U.S. Dollars | | 1,871,297 | | MSCS | | (19,000) |
| 07/22/20 | | U.S. Dollars | | 2,787,399 | | South Korean Won | | 3,368,571,519 | | GSC | | (19,258) |
| 07/20/20 | | U.S. Dollars | | 415,442 | | Indonesian Rupiahs | | 6,312,461,404 | | MSCS | | (20,009) |
| 09/16/20 | | Japanese Yen | | 231,815,584 | | U.S. Dollars | | 2,169,634 | | MSCS | | (20,381) |
| 07/23/20 | | U.S. Dollars | | 424,320 | | Polish Zloty | | 1,763,000 | | MSCS | | (21,333) |
| 07/22/20 | | U.S. Dollars | | 857,484 | | Canadian Dollars | | 1,196,561 | | CITI | | (23,952) |
| 07/22/20 | | British Pounds | | 3,873,890 | | U.S. Dollars | | 4,825,643 | | SS | | (24,767) |
| 07/22/20 | | U.S. Dollars | | 457,069 | | South African Rand | | 8,384,475 | | SS | | (24,867) |
| 07/22/20 | | U.S. Dollars | | 1,592,781 | | Hungarian Forint | | 510,055,302 | | CITI | | (25,117) |
| 08/17/20 | | Russian Rubles | | 85,535,428 | | U.S. Dollars | | 1,224,925 | | MSCS | | (30,190) |
| 09/16/20 | | Australian Dollars | | 3,853,096 | | U.S. Dollars | | 2,690,334 | | MSCS | | (30,611) |
| 07/22/20 | | U.S. Dollars | | 849,572 | | Mexican Pesos | | 20,306,049 | | RBC | | (31,119) |
| 07/22/20 | | Mexican Pesos | | 12,299,311 | | U.S. Dollars | | 564,771 | | CITI | | (31,339) |
| 07/02/20 | | U.S. Dollars | | 1,114,875 | | Brazilian Reals | | 6,234,726 | | MSCS | | (31,614) |
| 07/15/20 | | U.S. Dollars | | 389,252 | | Australian Dollars | | 610,743 | | MSCS | | (32,261) |
| 07/13/20 | | U.S. Dollars | | 610,918 | | Turkish Lira | | 4,430,262 | | MSCS | | (33,294) |
| 07/22/20 | | U.S. Dollars | | 1,825,027 | | Canadian Dollars | | 2,531,613 | | RBC | | (39,865) |
| 07/22/20 | | Brazilian Reals | | 3,306,483 | | U.S. Dollars | | 648,063 | | SC | | (40,758) |
| 07/22/20 | | U.S. Dollars | | 1,111,379 | | Canadian Dollars | | 1,567,734 | | SC | | (43,479) |
| 07/16/20 | | U.S. Dollars | | 1,057,380 | | Canadian Dollars | | 1,495,053 | | MSCS | | (43,918) |
| 07/22/20 | | U.S. Dollars | | 553,228 | | Brazilian Reals | | 3,261,832 | | GSC | | (45,876) |
| 07/06/20 | | U.S. Dollars | | 1,359,899 | | Colombian Pesos | | 5,286,456,993 | | MSCS | | (46,071) |
| 07/22/20 | | U.S. Dollars | | 4,502,000 | | Swiss Francs | | 4,311,169 | | RBC | | (51,424) |
| 07/22/20 | | U.S. Dollars | | 570,357 | | Brazilian Reals | | 3,386,211 | | SC | | (51,592) |
| 07/22/20 | | British Pounds | | 3,962,987 | | U.S. Dollars | | 4,963,003 | | SC | | (51,710) |
| 07/22/20 | | Japanese Yen | | 739,326,353 | | U.S. Dollars | | 6,901,677 | | GSC | | (52,483) |
| 07/22/20 | | U.S. Dollars | | 597,483 | | South African Rand | | 11,326,477 | | CITI | | (53,559) |
| 07/22/20 | | U.S. Dollars | | 1,408,197 | | South African Rand | | 25,520,900 | | GSC | | (58,733) |
| 07/22/20 | | U.S. Dollars | | 2,668,888 | | Euro | | 2,426,860 | | RBC | | (59,077) |
| 07/22/20 | | Japanese Yen | | 1,344,143,111 | | U.S. Dollars | | 12,516,198 | | SC | | (63,919) |
| 07/22/20 | | U.S. Dollars | | 1,778,249 | | Mexican Pesos | | 42,708,195 | | SS | | (74,044) |
| 09/16/20 | | Euro | | 6,876,693 | | U.S. Dollars | | 7,813,691 | | MSCS | | (74,099) |
| 07/22/20 | | U.S. Dollars | | 1,101,638 | | Swedish Kronor | | 10,954,941 | | JPM | | (74,349) |
| 07/22/20 | | U.S. Dollars | | 2,663,276 | | Turkish Lira | | 18,883,805 | | RBC | | (76,126) |
| 07/22/20 | | U.S. Dollars | | 4,522,848 | | Swiss Francs | | 4,354,462 | | JPM | | (76,302) |
| 09/17/20 | | Mexican Pesos | | 40,829,400 | | U.S. Dollars | | 1,836,142 | | MSCS | | (78,510) |
| 07/22/20 | | U.S. Dollars | | 1,577,930 | | Polish Zloty | | 6,572,869 | | GSC | | (83,560) |
| 07/03/20 | | Chilean Pesos | | 1,969,292,513 | | U.S. Dollars | | 2,486,985 | | MSCS | | (89,359) |
| 09/16/20 | | Norwegian Kroner | | 27,519,457 | | U.S. Dollars | | 2,954,047 | | MSCS | | (94,110) |
| 08/12/20 | | U.S. Dollars | | 2,746,035 | | Euro | | 2,526,968 | | MSCS | | (95,797) |
| 07/22/20 | | British Pounds | | 16,018,571 | | U.S. Dollars | | 19,964,474 | | JPM | | (112,807) |
| 07/09/20 | | U.S. Dollars | | 1,420,088 | | Swedish Kronor | | 14,326,284 | | MSCS | | (117,545) |
| 07/22/20 | | U.S. Dollars | | 4,015,492 | | Australian Dollars | | 6,012,737 | | GSC | | (134,471) |
| 07/22/20 | | U.S. Dollars | | 2,859,146 | | Czech Republic Koruna | | 71,049,761 | | GSC | | (136,223) |
| 07/02/20 | | Brazilian Reals | | 15,229,291 | | U.S. Dollars | | 2,949,856 | | MSCS | | (149,374) |
| 07/22/20 | | Japanese Yen | | 1,939,676,077 | | U.S. Dollars | | 18,136,114 | | CITI | | (166,757) |
See Notes to Financial Statements.
| Expiration Date | | Currency
Purchased | | Amount
of Currency
Purchased | | Currency
Sold | | Amount
of Currency
Sold | | Counter-
party | | Net Unrealized
Appreciation
(Depreciation) |
| 07/22/20 | | U.S. Dollars | | 10,436,454 | | Swiss Francs | | 10,054,229 | | SS | | $ (182,747) |
| 07/22/20 | | U.S. Dollars | | 9,783,431 | | Euro | | 8,875,447 | | CITI | | (193,210) |
| 07/22/20 | | Brazilian Reals | | 18,525,377 | | U.S. Dollars | | 3,635,992 | | GSC | | (233,415) |
| 07/22/20 | | U.S. Dollars | | 8,821,188 | | Canadian Dollars | | 12,315,693 | | JPM | | (251,065) |
| 07/22/20 | | U.S. Dollars | | 3,291,695 | | Australian Dollars | | 5,220,396 | | SS | | (311,398) |
| 07/22/20 | | U.S. Dollars | | 5,588,928 | | Norwegian Kroner | | 56,895,728 | | JPM | | (322,685) |
| 07/22/20 | | U.S. Dollars | | 5,170,848 | | Swedish Kronor | | 51,482,436 | | SC | | (355,673) |
| 07/22/20 | | U.S. Dollars | | 15,556,040 | | Euro | | 14,183,166 | | GSC | | (386,861) |
| 07/22/20 | | U.S. Dollars | | 4,570,049 | | Australian Dollars | | 7,204,226 | | SC | | (402,275) |
| 07/22/20 | | U.S. Dollars | | 7,236,655 | | Norwegian Kroner | | 74,087,132 | | SS | | (461,190) |
| 07/22/20 | | U.S. Dollars | | 7,281,380 | | New Zealand Dollars | | 12,019,842 | | SS | | (475,465) |
| 07/22/20 | | U.S. Dollars | | 8,092,993 | | Norwegian Kroner | | 82,547,076 | | SC | | (483,861) |
| 07/22/20 | | U.S. Dollars | | 20,093,430 | | Euro | | 18,311,497 | | SS | | (490,012) |
| 07/22/20 | | U.S. Dollars | | 7,584,558 | | Australian Dollars | | 11,772,729 | | CITI | | (540,925) |
| 07/22/20 | | U.S. Dollars | | 8,775,912 | | Australian Dollars | | 13,663,239 | | RBC | | (654,392) |
| 07/22/20 | | U.S. Dollars | | 11,477,444 | | New Zealand Dollars | | 18,945,178 | | SC | | (748,575) |
| Subtotal Depreciation | | | | | | | | | | $(9,705,716) |
| Total Forward Foreign Currency Contracts outstanding at June 30, 2020 | | | | $ (209,298) |
Swap Agreements outstanding at June 30, 2020:
| 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 | | | | | | | | | | | | | | | | |
| 3-Month KLIBOR (Quarterly) | | 2.25% (Quarterly) | | 6/17/2022 | | BOA | | MYR | | 46,220,000 | | $ 54,750 | | $30,760 | | $ 23,990 |
| 3-Month TELBOR (Quarterly) | | 1.41% (Annually) | | 12/18/2029 | | DEUT | | ILS | | 3,165,000 | | 78,836 | | — | | 78,836 |
| 3-Month TELBOR (Quarterly) | | 1.02% (Annually) | | 3/18/2030 | | BOA | | ILS | | 1,575,000 | | 20,601 | | 219 | | 20,382 |
| | | | | | | | | | | $154,187 | | $30,979 | | $123,208 |
| 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) | | 4.81% (Upon termination) | | 1/3/2022 | | BRL | | 10,828,285 | | $ 65,570 | | $ — | | $ 65,570 |
| 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | | 4.12% (Upon termination) | | 1/3/2022 | | BRL | | 10,279,504 | | 38,815 | | 7,126 | | 31,689 |
| 28-Day Mexico Interbank TIIE (Lunar) | | 4.50% (Lunar) | | 9/15/2022 | | MXN | | 93,100,000 | | 12,661 | | (2,466) | | 15,127 |
| 1-Day MIBOR (Semiannually) | | 3.75% (Semiannually) | | 9/16/2022 | | INR | | 678,440,000 | | 12,069 | | (5,164) | | 17,233 |
| 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | | 6.66% (Upon termination) | | 1/2/2023 | | BRL | | 8,165,533 | | 139,894 | | 34,332 | | 105,562 |
| 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | | 5.75% (Upon termination) | | 1/2/2023 | | BRL | | 2,772,127 | | 29,023 | | 15,060 | | 13,963 |
| 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | | 6.37% (Upon termination) | | 1/2/2023 | | BRL | | 2,150,019 | | 27,434 | | — | | 27,434 |
| 3-Month CDOR (Semiannually) | | 0.50% (Semiannually) | | 9/16/2023 | | CAD | | 45,850,000 | | (156,942) | | (193,240) | | 36,298 |
| 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | | 5.33% (Upon termination) | | 1/2/2024 | | BRL | | 3,814,615 | | 15,134 | | (2,627) | | 17,761 |
| 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | | 4.93% (Upon termination) | | 1/2/2024 | | BRL | | 1,374,705 | | 544 | | (691) | | 1,235 |
| 1-Month LIBOR + .09% (Quarterly) | | 3-Month LIBOR (Quarterly) | | 7/25/2024 | | USD | | 40,700,000 | | 7,164 | | 651 | | 6,513 |
See Notes to Financial Statements.
STRATEGIC ALTERNATIVES FUND
SCHEDULE OF INVESTMENTS (Continued)
| 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) | | 6.26% (Upon termination) | | 1/2/2025 | | BRL | | 5,858,239 | | $ 51,956 | | $ 18,866 | | $ 33,090 |
| 6-Month ASX BBSW (Semiannually) | | 0.55% (Semiannually) | | 5/16/2025 | | AUD | | 24,590,000 | | 9,626 | | (15,682) | | 25,308 |
| 1-Day SONIA (Annually) | | 0.27% (Annually) | | 6/17/2025 | | GBP | | 8,880,000 | | 149,382 | | 66,042 | | 83,340 |
| 1-Day SONIA (Annually) | | 0.03% (Annually) | | 6/17/2025 | | GBP | | 6,610,000 | | 13,631 | | (15,806) | | 29,437 |
| 28-Day Mexico Interbank TIIE (Lunar) | | 5.40% (Lunar) | | 9/11/2025 | | MXN | | 130,650,000 | | 138,442 | | 23,272 | | 115,170 |
| 1-Day CLP-TNA (Semiannually) | | 1.60% (Semiannually) | | 9/16/2025 | | CLP | | 3,184,065,000 | | 63,525 | | 37,130 | | 26,395 |
| 6-Month NIBOR (Semiannually) | | 0.50% (Annually) | | 9/16/2025 | | NOK | | 16,780,000 | | (15,349) | | (16,420) | | 1,071 |
| 6-Month ASX BBSW (Semiannually) | | 0.96% (Semiannually) | | 4/21/2027 | | AUD | | 9,040,000 | | 30,550 | | 1,583 | | 28,967 |
| 0.00% (Annually) | | 6-Month EURIBOR (Semiannually) | | 9/16/2027 | | EUR | | 8,860,000 | | (198,661) | | (206,744) | | 8,083 |
| 6-Month ASX BBSW (Semiannually) | | 1.25% (Semiannually) | | 9/16/2027 | | AUD | | 9,480,000 | | 270,242 | | 255,415 | | 14,827 |
| 6-Month ASX BBSW (Semiannually) | | 1.00% (Semiannually) | | 4/26/2028 | | AUD | | 12,030,000 | | 24,410 | | (24,704) | | 49,114 |
| 6-Month ASX BBSW (Semiannually) | | 1.75% (Semiannually) | | 3/19/2030 | | AUD | | 2,790,000 | | 42,054 | | 22,298 | | 19,756 |
| 3-Month LIBOR (Quarterly) | | 0.98% (Semiannually) | | 5/21/2030 | | USD | | 15,550,000 | | 24,647 | | (15,885) | | 40,532 |
| 6-Month EURIBOR (Semiannually) | | 0.05% (Annually) | | 5/21/2030 | | EUR | | 11,940,000 | | 36,951 | | (6,067) | | 43,018 |
| 3-Month LIBOR (Quarterly) | | 1.75% (Semiannually) | | 6/18/2030 | | USD | | 4,370,000 | | 169,865 | | 120,614 | | 49,251 |
| 1.14% (Semiannually) | | 3-Month CDOR (Semiannually) | | 6/24/2030 | | CAD | | 16,250,000 | | (4,345) | | (16,791) | | 12,446 |
| 6-Month ASX BBSW (Semiannually) | | 1.50% (Semiannually) | | 9/16/2030 | | AUD | | 6,810,000 | | 273,104 | | 191,734 | | 81,370 |
| 0.10% (Annually) | | 6-Month LIBOR (Semiannually) | | 9/17/2030 | | CHF | | 1,290,000 | | 2,786 | | (1,694) | | 4,480 |
| 6-Month EURIBOR (Semiannually) | | (0.05)% (Annually) | | 12/15/2030 | | EUR | | 1,340,000 | | 14,305 | | 7,661 | | 6,644 |
| 6-Month EURIBOR (Semiannually) | | 0.05% (Annually) | | 10/26/2031 | | EUR | | 720,000 | | 11,245 | | 6,113 | | 5,132 |
| 1.36% (Semiannually) | | 6-Month ASX BBSW (Semiannually) | | 4/21/2040 | | AUD | | 2,620,000 | | 29,919 | | (1,185) | | 31,104 |
| 0.26% (Annually) | | 6-Month EURIBOR (Semiannually) | | 5/21/2040 | | EUR | | 5,680,000 | | 41,815 | | 22,407 | | 19,408 |
| 0.75% (Annually) | | 6-Month EURIBOR (Semiannually) | | 6/19/2040 | | EUR | | 1,680,000 | | (81,904) | | (83,530) | | 1,626 |
| 1.50% (Semiannually) | | 6-Month LIBOR (Semiannually) | | 6/19/2040 | | GBP | | 810,000 | | (93,888) | | (98,130) | | 4,242 |
| 3-Month LIBOR (Quarterly) | | 1.75% (Semiannually) | | 6/19/2040 | | USD | | 1,480,000 | | 82,912 | | 73,684 | | 9,228 |
| 0.86% (Semiannually) | | 3-Month LIBOR (Quarterly) | | 4/9/2045 | | USD | | 10,120,000 | | 87,742 | | — | | 87,742 |
| 3-Month CDOR (Semiannually) | | 1.75% (Semiannually) | | 6/17/2050 | | CAD | | 2,260,000 | | 165,525 | | 92,485 | | 73,040 |
| 1.00% (Semiannually) | | 6-Month LIBOR (Semiannually) | | 6/20/2050 | | GBP | | 710,000 | | (51,480) | | (56,146) | | 4,666 |
| 3-Month LIBOR (Quarterly) | | 1.75% (Semiannually) | | 6/20/2050 | | USD | | 290,000 | | 18,216 | | 13,825 | | 4,391 |
| Subtotal Appreciation | | | | | | | | | | $ 1,498,589 | | $ 247,326 | | $ 1,251,263 |
| 6.24% (Upon termination) | | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | | 1/2/2023 | | BRL | | 5,678,032 | | $ (69,552) | | $ — | | $ (69,552) |
| 6.94% (Upon termination) | | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | | 1/2/2023 | | BRL | | 3,750,231 | | (60,007) | | — | | (60,007) |
| 7.22% (Upon termination) | | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | | 1/2/2023 | | BRL | | 3,969,719 | | (69,510) | | — | | (69,510) |
| 0.50% (Semiannually) | | 3-Month LIBOR (Quarterly) | | 9/16/2023 | | USD | | 25,620,000 | | (205,263) | | (153,795) | | (51,468) |
| 6.84% (Upon termination) | | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | | 1/2/2024 | | BRL | | 3,348,486 | | (49,328) | | — | | (49,328) |
| 3-Month CDOR (Semiannually) | | 0.84% (Semiannually) | | 6/24/2024 | | CAD | | 75,630,000 | | (5,546) | | 30,866 | | (36,412) |
| (0.31)% (Annually) | | 6-Month EURIBOR (Semiannually) | | 5/18/2025 | | EUR | | 18,220,000 | | (18,687) | | 16,984 | | (35,671) |
| 1.25% (Semiannually) | | 6-Month THBFIX (Semiannually) | | 6/17/2025 | | THB | | 20,000 | | (16) | | — | | (16) |
| 7-Day CFETS Repo Rate (Quarterly) | | 2.50% (Quarterly) | | 6/17/2025 | | CNY | | 67,610,000 | | 77,035 | | 90,825 | | (13,790) |
| 1.00% (Semiannually) | | 6-Month LIBOR (Semiannually) | | 9/16/2025 | | GBP | | 1,500,000 | | (70,749) | | (70,061) | | (688) |
| 1.00% (Semiannually) | | 6-Month LIBOR (Semiannually) | | 9/16/2027 | | GBP | | 5,700,000 | | (348,289) | | (280,561) | | (67,728) |
| 6-Month LIBOR (Semiannually) | | (0.50)% (Annually) | | 9/16/2027 | | CHF | | 9,660,000 | | (56,377) | | (54,453) | | (1,924) |
| 0.50% (Semiannually) | | 6-Month LIBOR (Semiannually) | | 3/10/2030 | | GBP | | 6,730,000 | | (7,170) | | 83,177 | | (90,347) |
| 0.57% (Annually) | | 1-Day SONIA (Annually) | | 3/18/2030 | | GBP | | 2,580,000 | | (148,322) | | 6,359 | | (154,681) |
| 6-Month LIBOR (Semiannually) | | 0.25% (Semiannually) | | 3/19/2030 | | JPY | | 116,490,000 | | 8,252 | | 8,252 | | — |
| 0.31% (Annually) | | 1-Day SONIA (Annually) | | 6/17/2030 | | GBP | | 5,260,000 | | (127,978) | | (38,063) | | (89,915) |
| 6-Month LIBOR (Semiannually) | | (0.50)% (Annually) | | 6/17/2030 | | CHF | | 7,120,000 | | (155,656) | | (85,957) | | (69,699) |
| 0.25% (Annually) | | 6-Month EURIBOR (Semiannually) | | 6/18/2030 | | EUR | | 5,480,000 | | (78,341) | | (52,089) | | (26,252) |
See Notes to Financial Statements.
| Pay Rate Index/Pay Rate | | Receive
Rate/Receive
Rate Index | | Maturity
Date | | Currency | | Notional
Amount | | Market Value | | Upfront
Premiums
Paid/
(Received) | | Unrealized
Appreciation
(Depreciation) |
| 1.00% (Semiannually) | | 6-Month LIBOR (Semiannually) | | 6/18/2030 | | GBP | | 3,200,000 | | $ (99,567) | | $ (77,547) | | $ (22,020) |
| 0.25% (Annually) | | 6-Month EURIBOR (Semiannually) | | 9/16/2030 | | EUR | | 6,990,000 | | (329,781) | | (306,453) | | (23,328) |
| 0.75% (Semiannually) | | 3-Month LIBOR (Quarterly) | | 9/16/2030 | | USD | | 360,000 | | (3,406) | | (2,822) | | (584) |
| 1.00% (Semiannually) | | 6-Month LIBOR (Semiannually) | | 9/16/2030 | | GBP | | 1,450,000 | | (112,522) | | (102,541) | | (9,981) |
| 6-Month NIBOR (Semiannually) | | 0.75% (Annually) | | 9/16/2030 | | NOK | | 19,450,000 | | (33,241) | | (22,803) | | (10,438) |
| 6-Month EURIBOR (Semiannually) | | (0.05)% (Annually) | | 12/15/2030 | | EUR | | 1,370,000 | | 14,625 | | 16,366 | | (1,741) |
| 1.16% (Semiannually) | | 3-Month LIBOR (Quarterly) | | 5/21/2035 | | USD | | 15,970,000 | | (12,030) | | 30,869 | | (42,899) |
| 0.40% (Annually) | | 1-Day SONIA (Annually) | | 6/17/2040 | | GBP | | 2,140,000 | | (110,511) | | (109,187) | | (1,324) |
| 6-Month LIBOR (Semiannually) | | 0.50% (Semiannually) | | 6/20/2040 | | JPY | | 212,860,000 | | 8,210 | | 24,053 | | (15,843) |
| 3-Month LIBOR (Quarterly) | | 0.85% (Semiannually) | | 4/10/2050 | | USD | | 10,490,000 | | (47,576) | | — | | (47,576) |
| 0.50% (Annually) | | 6-Month EURIBOR (Semiannually) | | 6/20/2050 | | EUR | | 270,000 | | (16,736) | | (15,621) | | (1,115) |
| 6-Month LIBOR (Semiannually) | | 0.50% (Semiannually) | | 6/20/2050 | | JPY | | 223,490,000 | | (3,952) | | 22,109 | | (26,061) |
| 0.50% (Annually) | | 6-Month EURIBOR (Semiannually) | | 9/16/2050 | | EUR | | 360,000 | | (57,304) | | (54,737) | | (2,567) |
| 0.75% (Semiannually) | | 3-Month LIBOR (Quarterly) | | 9/16/2050 | | USD | | 1,120,000 | | 52,297 | | 100,298 | | (48,001) |
| Subtotal Depreciation | | | | | | | | | | $(2,136,998) | | $(996,532) | | $(1,140,466) |
| Net Centrally Cleared Interest Rate Swaps outstanding at June 30, 2020 | | $ (638,409) | | $(749,206) | | $ 110,797 |
| 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 | | | | | | | | | | | | | | | | |
| Faurecia | | Financing Index: 1-Month EURIBOR - .45% (Monthly) | | 11/5/2020 | | CITI | | EUR | | 75,347 | | $ 20,937 | | $ — | | $ 20,937 |
| Financing Index: 1-Month EURIBOR + .45% (Monthly) | | Ingenico Group | | 11/5/2020 | | CITI | | EUR | | 1,294,898 | | 69,049 | | — | | 69,049 |
| Peugeot Citroen SA | | Financing Index: 1-Month EURIBOR - .45% (Monthly) | | 11/5/2020 | | CITI | | EUR | | 383,879 | | 129,908 | | — | | 129,908 |
| Subtotal Appreciation | | | | | | | | | | | | $219,894 | | $ — | | $219,894 |
| Worldline SA | | Financing Index: 1-Month EURIBOR - .45% (Monthly) | | 11/5/2020 | | CITI | | EUR | | 1,114,962 | | $ (63,514) | | $ — | | $ (63,514) |
| Subtotal Depreciation | | | | | | | | | | | | $ (63,514) | | $ — | | $ (63,514) |
| Net Total Return Swaps outstanding at June 30, 2020 | | $156,380 | | $ — | | $156,380 |
See Notes to Financial Statements.
STRATEGIC ALTERNATIVES FUND
SCHEDULE OF INVESTMENTS (Continued)
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2020, in valuing the Fund’s investments carried at fair value:
| | Total
Value | | Level 1
Quoted Prices | | Level 2
Other Significant
Observable Inputs | | Level 3
Significant
Unobservable Inputs |
| Assets: | | | | | | | |
| Investments in Securities: | | | | | | | |
| Asset-Backed Securities | $ 13,925,549 | | $ — | | $ 13,925,549 | | $ — |
| Certificates Of Deposit | 1,100,600 | | — | | 1,100,600 | | — |
| Common Stocks | 21,903,934 | | 21,903,934 | | — | | — |
| Corporate Bonds | 82,060,980 | | — | | 82,060,980 | | — |
| Foreign Bonds | 16,058,758 | | — | | 16,058,758 | | — |
| Foreign Common Stocks: | | | | | | | |
| Netherlands | 3,940,029 | | 3,680,135 | | 259,894 | | — |
| Other ^^ | 2,261,842 | | 2,261,842 | | — | | — |
| Total Foreign Common Stocks | 6,201,871 | | 5,941,977 | | 259,894 | | — |
| Loan Agreements | 6,182,136 | | — | | 6,182,136 | | — |
| Money Market Funds | 124,440,227 | | 124,440,227 | | — | | — |
| Mortgage-Backed Securities | 28,442,824 | | — | | 28,442,824 | | — |
| Mutual Funds | 4,057,261 | | 2,645,591 | | — | | 1,411,670 |
| Purchased Options: | | | | | | | |
| Call Options | 25,510 | | 25,510 | | — | | — |
| Rights | 18,001 | | — | | 10,991 | | 7,010 |
| U.S. Treasury Obligations | 70,368,643 | | — | | 70,368,643 | | — |
| Total Assets - Investments in Securities | $374,786,294 | | $154,957,239 | | $218,410,375 | | $1,418,680 |
| Other Financial Instruments*** | | | | | | | |
| Forward Foreign Currency Contracts | $ 9,496,418 | | $ — | | $ 9,496,418 | | $ — |
| Futures Contracts | 18,309 | | 18,309 | | — | | — |
| Swap Agreements | 1,594,365 | | — | | 1,594,365 | | — |
| Total Assets - Other Financial Instruments | $ 11,109,092 | | $ 18,309 | | $ 11,090,783 | | $ — |
See Notes to Financial Statements.
| | 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 | $ (8,720,847) | | $ (8,720,847) | | $ — | | $ — |
| Foreign Common Stocks Sold Short | (2,349,487) | | (2,349,487) | | — | | — |
| Mutual Funds Sold Short | (9,883,858) | | (9,883,858) | | — | | — |
| Written Options: | | | | | | | |
| Call Options | (61,453) | | (61,453) | | — | | — |
| Call Swaptions | (191,497) | | — | | (191,497) | | — |
| Put Options | (353,675) | | (353,675) | | — | | — |
| Put Swaptions | (552,561) | | — | | (552,561) | | — |
| Total Written Options | (1,159,186) | | (415,128) | | (744,058) | | — |
| Total Liabilities - Investments in Securities | $ (22,113,378) | | $ (21,369,320) | | $ (744,058) | | $ — |
| Other Financial Instruments*** | | | | | | | |
| Forward Foreign Currency Contracts | $ (9,705,716) | | $ — | | $ (9,705,716) | | $ — |
| Futures Contracts | (10,673) | | (10,673) | | — | | — |
| Swap Agreements | (1,203,980) | | — | | (1,203,980) | | — |
| Total Liabilities - Other Financial Instruments | $ (10,920,369) | | $ (10,673) | | $ (10,909,696) | | $ — |
| ^^ | 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. |
There were no transfers to or from Level 3 during the period ended June 30, 2020.
Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the reconciliation of Level 3 securities and assumptions is not shown for the period ended June 30, 2020.
See Notes to Financial Statements.
| STATEMENTS OF ASSETS AND LIABILITIES | June 30, 2020 (Unaudited) |
| | Strategic Alternatives Fund |
| Assets | |
| Investments in securities of unaffiliated issuers, at value | $324,346,813 |
| Investments in securities of affiliated issuers, at value | 50,439,481 |
| Total investments, at value(1) | 374,786,294 |
| Cash | 33,688,032 |
| Cash collateral for derivatives | 8,321,368 |
| Deposits with broker for futures contracts | 188,792 |
| Upfront premiums paid from swap agreements | 1,471,434 |
| Receivables: | |
| Dividends and reclaims | 54,408 |
| Interest | 1,040,372 |
| Investment securities sold | 10,353,530 |
| Fund shares sold | 30,961 |
| Unrealized appreciation on foreign currency exchange contracts | 9,496,418 |
| Unrealized appreciation on swap agreements | 343,102 |
| Prepaid expenses and other assets | 21,599 |
| Total Assets | 439,796,310 |
| Liabilities | |
| Foreign currency overdraft(2) | 827,460 |
| Securities sold short, at value(3) | 20,954,192 |
| Options written, at value(4) | 1,159,186 |
| Upfront premiums received from swap agreements | 2,189,661 |
| Unrealized depreciation on foreign currency exchange contracts | 9,705,716 |
| Unrealized depreciation on swap agreements | 63,514 |
| Collateral from counterparty | 4,580,466 |
| Payables: | |
| Investment securities purchased | 35,317,719 |
| Dividends on short sales | 24,906 |
| Fund shares redeemed | 18,728 |
| Variation margin on centrally cleared swaps | 10,998 |
| Variation margin on futures contracts | 15,846 |
| Accrued expenses: | |
| Investment advisory fees | 253,553 |
| Shareholder servicing fees | 9,963 |
| Trustee fees | 486 |
| Other expenses | 210,279 |
| Total Liabilities | 75,342,673 |
| Net Assets | $364,453,637 |
| Net Assets Consist of: | |
| Paid-in-capital | $374,980,035 |
| Distributable earnings (loss) | (10,526,398) |
| Net Assets | $364,453,637 |
| Net Asset Value: | |
| $0.001 par value, unlimited shares authorized | |
| Net assets applicable to the Institutional Class | $315,847,953 |
| Institutional shares outstanding | 32,303,558 |
| Net asset value, offering and redemption price per Institutional share | $ 9.78 |
| Net assets applicable to the Investor Class | $ 48,605,684 |
| Investor shares outstanding | 4,981,192 |
| Net asset value, offering and redemption price per Investor share | $ 9.76 |
| |
| (1)Investments in securities of unaffiliated issuers, at cost | $323,478,674 |
| Investments in securities of affiliated issuers, at cost | 50,439,481 |
| Total investments, at cost | $373,918,155 |
| (2)Foreign currency overdraft, at cost | $ 817,095 |
| (3)Proceeds from securities sold short | $ 20,549,453 |
| (4)Premiums received on options written | $ 1,639,255 |
See Notes to Financial Statements.
| STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2020 (Unaudited) |
| | Strategic Alternatives Fund |
| Investment Income | |
| Dividends | $ 602,230 |
| Income distributions received from affiliated funds | 209,146 |
| Interest | 3,248,071 |
| Less foreign taxes withheld | (8,184) |
| Total Investment Income | 4,051,263 |
| Expenses | |
| Investment advisory fees | 1,566,512 |
| Transfer agent fees: | |
| Institutional shares | 1,193 |
| Investor shares | 7,269 |
| Custodian fees | 138,543 |
| Shareholder servicing fees: | |
| Investor shares | 64,575 |
| Accounting and administration fees | 35,804 |
| Professional fees | 53,109 |
| Shareholder reporting fees: | |
| Trustees expenses | 879 |
| Line of credit facility fees | 256 |
| Dividends on securities sold short | 156,349 |
| Other expenses | 21,856 |
| Total Expenses | 2,046,345 |
| Net Investment Income | 2,004,918 |
| Realized and Unrealized Gain (Loss) | |
| Net realized gain (loss) from: | |
| Investment securities | (6,979,863) |
| Investment securities sold short | 2,484,953 |
| Futures transactions | 1,898,542 |
| Swap agreements | 258,070 |
| Option contracts written | (8,638,325) |
| Option contracts purchased | (195,560) |
| Forward foreign currency contracts | (161,302) |
| Foreign currency | (1,888,094) |
| Net realized loss | (13,221,579) |
| Net change in unrealized appreciation (depreciation) on: | |
| Investment securities | (2,395,728) |
| Investment securities sold short | 77,951 |
| Futures | 209,667 |
| Swap agreements | (832,914) |
| Option contracts written | 342,627 |
| Option contracts purchased | 11,598 |
| Forward foreign currency contracts | 237,932 |
| Foreign currency | (67,146) |
| Net change in unrealized appreciation (depreciation) | (2,416,013) |
| Net Realized and Unrealized Loss | (15,637,592) |
| Net Decrease in Net Assets Resulting from Operations | $(13,632,674) |
See Notes to Financial Statements.
| STATEMENTS OF CHANGES IN NET ASSETS |
| | Strategic Alternatives Fund |
| | For the Six
Months Ended | | For the Year Ended |
| | 06/30/20 | | 12/31/19 |
| | (Unaudited) | | |
| Operations: | | | |
| Net investment income | $ 2,004,918 | | $ 5,017,446 |
| Net realized gain (loss) on investment securities, foreign currency and derivatives | (13,221,579) | | 6,709,143 |
| Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | (2,416,013) | | 7,255,961 |
| Net increase (decrease) in net assets resulting from operations | (13,632,674) | | 18,982,550 |
| Distributions to Shareholders: | | | |
| Institutional shares | — | | (7,274,105) |
| Investor shares | — | | (1,068,756) |
| Total distributions | — | | (8,342,861) |
| Capital Share Transactions: | | | |
| Proceeds from shares sold | | | |
| Institutional shares | 12,976,610 | | 34,914,160 |
| Investor shares | 6,475,834 | | 12,428,155 |
| Reinvestment of dividends and distributions | | | |
| Institutional shares | — | | 7,273,111 |
| Investor shares | — | | 1,068,187 |
| Total proceeds from shares sold and reinvested | 19,452,444 | | 55,683,613 |
| Value of shares redeemed | | | |
| Institutional shares | (15,721,922) | | (41,587,776) |
| Investor shares | (11,736,859) | | (25,699,257) |
| Total value of shares redeemed | (27,458,781) | | (67,287,033) |
| Net decrease from capital share transactions(1) | (8,006,337) | | (11,603,420) |
| Total decrease in net assets | (21,639,011) | | (963,731) |
| Net Assets: | �� | | |
| Beginning of Period | 386,092,648 | | 387,056,379 |
| End of Period | $364,453,637 | | $386,092,648 |
| |
| (1) | See Note 6 in Notes to Financial Statements. |
See Notes to Financial Statements.
| FINANCIAL HIGHLIGHTS (Unaudited) |
| For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | | | | | | Ratios to Average Net Assets | |
| | Net Asset
Value,
Beginning
of Period | 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
Period | Total
Return | Net Assets,
End of Period
(000) | Expenses,
Net | Expenses,
Gross | Investment
Income,
Net
| Portfolio
Turnover
Rate |
| Strategic Alternatives Fund |
| Institutional Class |
| 2020(1) | $10.13 | $0.06 | $(0.41) | $(0.35) | $ — | $ — | $ — | $ 9.78 | (3.45)% | $315,848 | 1.08%(2) | 1.08%(2) | 1.14% | 227% |
| 2019 | 9.87 | 0.13 | 0.36 | 0.49 | (0.19) | (0.04) | (0.23) | 10.13 | 4.93 | 330,017 | 1.12(2) | 1.12(2) | 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(2) | 1.02(2) | 1.96 | 172 |
| 2017(3) | 10.00 | 0.04 | 0.10 | 0.14 | (0.05) | (0.02) | (0.07) | 10.07 | 1.40 | 302,592 | 1.26(2) | 1.28(2) | 0.69 | 88 |
| Investor Class |
| 2020(1) | $10.13 | $0.04 | $(0.41) | $(0.37) | $ — | $ — | $ — | $ 9.76 | (3.65)% | $ 48,606 | 1.36%(2) | 1.36%(2) | 0.88% | 227% |
| 2019 | 9.87 | 0.10 | 0.36 | 0.46 | (0.16) | (0.04) | (0.20) | 10.13 | 4.62 | 56,076 | 1.46(2) | 1.46(2) | 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(2) | 1.37(2) | 1.65 | 172 |
| 2017(3) | 10.00 | 0.01 | 0.12 | 0.13 | (0.04) | (0.02) | (0.06) | 10.07 | 1.31 | 58,599 | 1.63(2) | 1.65(2) | 0.25 | 88 |
| | | | | | | | | | | | | | | |
| # | Calculated using the average shares outstanding method. |
| (1) | For the six months ended June 30, 2020. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
| (2) | 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%, 0.10% and 0.09% for the period ended December 31, 2017, for the years 2018 and 2019 and for the six months ended June 30, 2020. |
| (3) | Inception date was June 30, 2017. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
See Notes to Financial Statements.
NOTES TO SCHEDULES OF INVESTMENTS (Unaudited)
1. DESCRIPTION OF THE FUNDS
GuideStone Funds (the “Trust”) was organized as a Delaware statutory trust on March 2, 2000. The Trust has established 24 series (each, a “Fund” and together, the “Funds”). Each Fund is a diversified, open-end management investment company, registered under the Investment Company Act of 1940, as amended (the “1940 Act”).
The MyDestination 2015 Fund, MyDestination 2025 Fund, MyDestination 2035 Fund, MyDestination 2045 Fund and MyDestination 2055 Fund are each referred to as a “Target Date Fund” and together as the “Target Date Funds.”
The Conservative Allocation Fund, Balanced Allocation Fund, Growth Allocation Fund and Aggressive Allocation Fund are each referred to as a “Target Risk Fund” and together as the “Target Risk Funds.”
The remaining Funds are each referred to as a “Select Fund” and are together referred to as the “Select Funds.” The Money Market Fund is referred to as the “Money Market Fund.” The Low-Duration Bond Fund, Medium-Duration Bond Fund, Extended-Duration Bond Fund and Global Bond Fund are together referred to as the “Fixed Income Funds.”
The Defensive Market Strategies Fund, Equity Index Fund, Value Equity Fund, Growth Equity Fund, Small Cap Equity Fund, International Equity Index Fund, International Equity Fund and Emerging Markets Equity Fund are together referred to as the “Equity Funds.”
The Global Real Estate Securities Fund is referred to as the “Real Assets Fund.”
The Strategic Alternatives Fund is referred to as the “Strategic Alternatives Fund.”
There are two classes of shares issued by the Funds — the Institutional Class and the Investor Class (each, a “Class” and together the “Classes”). The International Equity Index Fund issues the Institutional Class only. All Classes of shares have identical voting, dividend and liquidation rights. Income, expenses (other than class specific expenses) and realized and unrealized gains or losses on investments are allocated to each Class of shares based upon its relative net assets.
Each Fund is a separate mutual fund with its own investment objective, strategies and risks. The Select Funds invest directly in particular types of fixed-income obligations, stocks and other investments. The Target Date and Target Risk Funds primarily invest in a different mix of the Select Funds to meet a specified investment strategy. The Target Date and Target Risk Funds are commonly referred to as “Fund of Funds.”
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by the Funds in the accounting and the preparation of their financial statements. The Funds are investment companies and follow accounting and reporting guidance in the Financial Accounting Standards Board ("FASB") Accounting Standards Codification Topic 946 (“ASC 946”). The policies are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), including but not limited to ASC 946. The preparation of financial statements requires the Funds’ management to make estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of income and expenses for the period. The Funds utilize various methods to measure the value of their investments on a recurring basis. Amounts received upon the sale of such investments could differ from estimated values and those differences could be significant.
a. Valuation of Securities
Each Fund, except the Money Market Fund, values securities traded on national securities exchanges or included in national market systems at the last quoted sale price, or official close price, on the principal exchange on which they were traded, or, in the absence of any sale or official close price, at the closing bid price. Non-exchange traded securities for which an over-the-counter quotation is readily available are valued at the last quoted bid price.
Debt securities, excluding asset-backed and mortgage-backed securities, are valued at the mean of the last bid and ask prices available, which approximates fair value. Asset-backed and mortgage-backed securities are generally valued at the last bid price, if available.
Short-term securities maturing in more than 60 days from the valuation date are valued at the mean of the last bid and ask prices; those maturing in 60 days or less are generally valued at amortized cost which approximates current market value.
Forward foreign currency contracts are valued based upon closing exchange rates from each respective foreign market.
Futures contracts are valued at the closing settlement price on the exchange on which they are primarily traded.
Options, rights and warrants for which the primary market is a national securities exchange are valued at the last sale price on the exchange on which they are traded, or, in the absence of any sale, at the closing bid price. Options, rights and warrants not traded on a national securities exchange are valued at the last quoted bid price.
Swap agreements are valued daily based upon the terms specific to each agreement with its counterparty. (Please see Note 2.i., “Derivative Financial Instruments” for additional information regarding the valuation of swap agreements).
To the extent available, valuations of portfolio securities are provided by independent pricing services approved by the Board of Trustees. Securities for which market quotations are not readily available are valued at fair value according to methods established in good faith by the Board of Trustees. Due to the potential excessive volatility at the time valuations are developed, pricing may materially vary from the actual amounts realized upon sale of the securities.
For securities that principally trade on a foreign market or exchange, a significant gap in time can exist between the time of a particular security’s last trade and the time at which a Fund calculates its Net Asset Value (“NAV”). The closing prices of such securities may no longer reflect their market value at the time the Fund calculates its NAV if an event that could materially affect the value of those securities (a “Significant Event”) has occurred between the time of the security’s last close and the time that the Fund calculates its NAV. A Significant Event may relate to a single issuer or to an entire market sector. If management becomes aware of a Significant Event that has occurred with respect to a security or group of securities after the closing of the exchange or market on which the security or securities principally trade, but before the time at which the Fund calculates its NAV, a Valuation Committee meeting may be called. The Funds use Intercontinental Exchange (“ICE”) as a third party fair valuation vendor. ICE provides a fair value for foreign equity securities held by the Funds based on certain factors and methodologies applied by ICE in the event that there is movement in the U.S. market that exceeds a specific threshold established by the Valuation Committee in consultation with, and approved by, the Board of Trustees. Such methodologies generally involve tracking valuation correlations between the U.S. market and each non-U.S. security. As part of the valuation procedures, a “confidence interval” is used, when the threshold is exceeded, to determine the level of correlation between the value of a foreign equity security and movements in the U.S. market before a particular security will be fair valued. In the event that the threshold established by the valuation procedures is exceeded on a specific day, the Funds will typically value non-U.S. equity securities in its portfolio that exceed the applicable confidence interval based upon the fair values provided by ICE.
The Target Date and Target Risk Funds value their investments in the underlying Select Funds daily at the closing NAV of each respective Fund.
The Financial Accounting Standards Board’s “Fair Value Measurements and Disclosures” defines fair value as the price that a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes and requires disclosure of a fair value hierarchy, separately for each major category of assets and liabilities, that segregates fair value measurements into levels (Levels 1, 2, and 3). Categorizations of fair value measurements, and the criteria used to determine each categorization, are as follows:
Level 1 – quoted prices in active markets for identical securities
Level 2 – prices determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 – prices determined using significant unobservable inputs (including the valuation committee’s own assumptions in determining the fair value of investments)
Valuation levels are not necessarily an indication of the risk associated with investing in those securities. Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the requirements of U.S. GAAP, the amounts of transfers in and out of level 3, if material, are disclosed in the Note to Schedule of Investments for each respective fund.
b. Fixed Income Securities
The Fixed Income Funds and the Strategic Alternatives Fund may invest in mortgage-related and other asset-backed securities. These securities include mortgage pass-through securities, collateralized mortgage obligations, commercial mortgage-backed securities, stripped mortgage-backed securities, asset-backed securities, collateralized debt obligations and/or other securities that directly or indirectly represent a participation in, or are secured by and payable from, mortgage loans on real property. Mortgage-related and other asset-backed securities are interests in pools of loans or other receivables. Mortgage-related securities are created from pools of residential or commercial mortgage loans, including mortgage loans made by savings and loan institutions, mortgage bankers, commercial banks and others. Asset-backed securities are created from many types of assets, including auto loans, credit card receivables, home equity loans and student loans. These securities provide a monthly payment which consists of both interest and principal payments. Interest payments may be determined by fixed or adjustable rates. The rate of pre-payments on underlying mortgages will affect the price and volatility of a mortgage-related security and may have the effect of shortening or extending the effective duration of the security relative to what was anticipated at the time of purchase. The timely payment of principal and interest of certain mortgage-related securities is guaranteed with the full faith and credit of the U.S. government. Pools created and guaranteed by non-governmental issuers, including government-sponsored corporations, may be supported by various forms of insurance or guarantees, but there can be no assurance that the private insurers or guarantors can meet their obligations under the insurance policies or guarantee arrangements.
Collateralized Mortgage Obligations (“CMOs”) are debt obligations of a legal entity that are collateralized by mortgages and divided into classes. CMOs are structured into multiple classes, often referred to as “tranches,” with each class bearing a different stated maturity and entitled to a different schedule for payments of principal and interest, including pre-payments. Commercial Mortgage-Backed Securities (“CMBS”) include securities that reflect an interest in, and are secured by, mortgage loans on commercial real property. Many of the risks of investing in CMBS reflect the risks of investing in the real estate securing the underlying mortgage loans. These risks reflect the effects of local and other economic conditions on real estate markets, the ability
of tenants to make loan payments and the ability of a property to attract and retain tenants. CMOs and CMBS may be less liquid and may exhibit greater price volatility than other types of mortgage- or asset-backed securities.
Stripped Mortgage-Backed Securities (“SMBS”) are derivative multi-class mortgage securities. SMBS are usually structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. A common type of SMBS will have one class receiving some of the interest and most of the principal from the mortgage assets, while the other class will receive most of the interest and the remainder of the principal. In the most extreme case, one class will receive all of the interest (the interest-only or “IO” class), while the other class will receive the entire principal (the principal-only or “PO” class). Payments received for IOs are included in interest income on the Statements of Operations. Because little to no principal will be received at the maturity of an IO, adjustments are made to the book value of the security on a monthly basis until maturity. These adjustments are included in interest income on the Statements of Operations. Payments received for POs are treated as reductions to the cost and par value of the securities.
Inflation-indexed bonds are fixed-income securities whose principal value is periodically adjusted to the rate of inflation. The interest rate on these bonds is generally fixed at issuance at a rate lower than typical bonds. Over the life of an inflation-indexed bond, however, interest will be paid based on a principal value, which is adjusted for inflation. Any increase or decrease in the principal amount of an inflation-indexed bond will be included as interest income on the Statements of Operations, even though investors do not receive their principal until maturity.
“TBA” (to be announced) commitments are commitments to purchase or sell mortgage-backed securities for a fixed price at a future date, typically not exceeding 45 days. TBAs may be considered securities in themselves and involve a risk of loss if the value of the security to be purchased declines prior to settlement date. This risk is in addition to the risk of decline in each Fund’s other assets. Unsettled TBAs are valued at the current market value of the underlying securities, according to the procedures described in the section entitled “Valuation of Securities”.
The Fixed Income Funds may enter into dollar roll transactions, pursuant to which they sell a mortgage-backed TBA or security and simultaneously purchase a similar, but not identical, TBA with the same issuer, rate and terms. The Funds may execute a “roll” to obtain better underlying mortgage securities or to increase yield. The Funds account for dollar roll transactions as purchases and sales, which has the effect of increasing their portfolio turnover rates. Risks associated with dollar rolls are that actual mortgages received by the Funds may be less favorable than those anticipated or that counterparties may fail to perform under the terms of the contracts.
U.S. government securities are obligations of and, in certain cases, guaranteed by, the U.S. government, its agencies or instrumentalities. The U.S. government does not guarantee the NAV of the Funds’ shares. Some U.S. government securities, such as Treasury bills, notes and bonds and securities guaranteed by the Government National Mortgage Association (“GNMA” or “Ginnie Mae”), are supported by the full faith and credit of the U.S. government; others, such as those of the Federal Home Loan Bank, are supported by the right of the issuer to borrow from the U.S. Department of the Treasury (the “U.S. Treasury”); others, such as those of the Federal National Mortgage Association (“FNMA” or “Fannie Mae”), are supported by the discretionary authority of the U.S. government to purchase the agency’s obligations; and still others, such as those of the Student Loan Marketing Association, are supported only by the credit of the instrumentality. U.S. government securities may include zero coupon securities, which do not distribute interest on a current basis and tend to be subject to greater risk than interest-paying securities of similar maturities.
Government-related guarantors (i.e., not backed by the full faith and credit of the U.S. government) include FNMA and the Federal Home Loan Mortgage Corporation (“FHLMC” or “Freddie Mac”). FNMA is a government-sponsored corporation, the common stock of which is owned entirely by private stockholders. FNMA purchases conventional (i.e., not insured or guaranteed by any government agency) residential mortgages from a list of approved seller/servicers which include state and federally chartered savings and loan associations, mutual savings banks, commercial banks and credit unions and mortgage bankers.
Pass-through securities issued by FNMA are guaranteed as to timely payment of principal and interest by FNMA, but are not backed by the full faith and credit of the U.S. government. FHLMC issues Participation Certificates (“PCs”), which are pass-through securities, each representing an undivided interest in a pool of residential mortgages. FHLMC guarantees the timely payment of interest and ultimate collection of principal, but PCs are not backed by the full faith and credit of the U.S. government.
c. Foreign Currency Translations
Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions.
The Funds isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held.
Reported net realized foreign exchange gains or losses arise from sales of portfolio securities, sales and maturities of short-term securities, sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the values of assets and liabilities, including investments in securities at fiscal period end, resulting from changes in the exchange rate.
d. Loan Participations
The Fixed Income Funds, Defensive Market Strategies Fund and Strategic Alternatives Fund may invest in direct debt instruments which are interests in amounts owed to lenders or lending syndicates by corporate borrowers. Investments in loans may be in the form of participations in loans. A loan is often administered by a bank or other financial institution (the “lender”) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. The holder may invest in multiple series of a loan, which may have varying terms and carry different associated risks. The holder generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, these instruments may be subject to the credit risk of both the borrower and the lender that is selling the loan agreement. When investing in a loan participation, the holder has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan agreement and only upon receipt of payments by the lender from the borrower.
The Fixed Income Funds, Defensive Market Strategies Fund, and Strategic Alternatives Fund may invest in floating rate loans, some of which may be unfunded corporate loan commitments (“commitments”). Commitments may obligate the holder to furnish temporary financing to a borrower until permanent financing can be arranged. The holder may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a floating rate loan. In certain circumstances, the holder may receive a prepayment penalty fee upon the prepayment of a floating rate loan by a borrower. Fees earned or paid are recorded as a component of interest income or interest expense on the Statements of Operations.
e. REITs
The Fixed Income Funds, Real Assets Fund, and the Equity Funds may invest in real estate investment trusts (“REITs”) that involve risks not associated with investing in stocks. Risks include declines in the value of real estate, general and economic conditions, changes in the value of the underlying property and defaults by borrowers. The value of assets in the real estate industry may go through cycles of relative underperformance and outperformance in comparison to equity securities markets in general.
Dividend income from REITs is recorded using management’s estimate of the income included in distributions received from REIT investments. The actual amounts of income, return of capital and capital gains are only determined by each REIT after its fiscal year-end and may differ from the estimated amount. Estimates of income are adjusted in the Funds to the actual amounts when the amounts are determined.
f. Repurchase Agreements
Each Fund may agree to purchase securities from financial institutions subject to the seller’s agreement to repurchase them at a mutually agreed upon date and price. It is the Fund’s policy that repurchase agreements are fully collateralized by U.S. Treasury and Government Agency securities. All collateral is held by the Fund’s custodian bank or a bank with which the custodian bank has entered into a subcustodian agreement, or is segregated in the Federal Reserve Book Entry System. In connection with transactions in repurchase agreements, if the seller defaults and the value of the collateral declines, or if the seller enters an insolvency proceeding, realization of the collateral by the Fund may be delayed or limited.
Repurchase transactions are entered into by the Funds under Master Repurchase Agreements (“MRA”) which permit the Funds, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from the Fund.
At June 30, 2020, the open repurchase agreements by counterparty which are subject to an MRA on a net payment basis are as follows:
| Fund/Counterparty | | Repurchase
Agreements | | Fair Value of
Non-cash
Collateral
Received(1) | | Cash
Collateral
Received | | Net Amount(2) |
| Money Market | | | | | | | | |
| Bank of Nova Scotia | | $ 30,000,000 | | $ (30,000,000) | | $ — | | $ — |
| BNP Paribas | | 105,000,000 | | (105,000,000) | | — | | — |
| Citigroup Global Markets, Inc. | | 38,000,000 | | (38,000,000) | | — | | — |
| Goldman Sachs & Co. | | 81,000,000 | | (81,000,000) | | — | | — |
| Mitsubishi UFJ Securities USA, Inc. | | 30,000,000 | | (30,000,000) | | — | | — |
| Mizuho Securities USA, Inc. | | 50,000,000 | | (50,000,000) | | — | | — |
| Natixis S.A. | | 74,000,000 | | (74,000,000) | | — | | — |
| TD Securities USA LLC | | 45,000,000 | | (45,000,000) | | — | | — |
| Total Repurchase Agreements | | $ 453,000,000 | | $ (453,000,000) | | $ — | | $ — |
| Medium-Duration Bond | | | | | | | | |
| Citigroup Global Markets, Inc. | | $ 117,500,000 | | $ (117,500,000) | | $ — | | $ — |
(1) The value of the related collateral received exceeded the value of the repurchase agreement as of June 30, 2020.
(2) Net amount represents the net amount of receivable due from (payable to) the counterparty in the event of a default.
Additional information about netting arrangements under the Master Agreements can be found in the Derivative Financial Instruments and Securities Lending sections of the Notes to Financial Statements.
g. Short Sales
A short sale is a transaction in which a Fund sells a security it does not own. The Fund’s obligation to replace the security borrowed and sold short will be collateralized by cash equivalents maintained in a segregated account with the broker. Cash deposited with the broker is recorded as an asset on the Statements of Assets and Liabilities. If the price of the security sold short increases between the time of the short sale and the time the Fund replaces the borrowed security, the Fund will realize a loss; and if the price declines during the period, the Fund will realize a gain. Any realized gain will be decreased, and any realized loss increased, by the amount of transaction costs.
The Fixed Income Funds and Strategic Alternatives Fund may sell short U.S. Treasury securities and derivatives such as, but not limited to, swaps, futures contracts and currency forwards to manage risk (e.g., duration, currency, credit, etc.). The Fixed Income Funds may occasionally enter into a short sale to initiate a dollar roll transaction. The Low-Duration Bond Fund may be involved in dollar roll transactions with U.S. Treasury securities throughout the year. The Strategic Alternatives Fund may establish short positions in stocks of companies with a market value of up to 40% of the Fund's assets. The Defensive Market Strategies Fund may establish short positions in stocks of companies with a market value of up to 30% of the Fund’s assets. The International Equity Fund may establish short positions in stocks of foreign companies with a market value of up to 10% of the Fund’s assets.
At June 30, 2020, the values of securities sold short in the International Equity Fund and Strategic Alternatives Fund amounted to $49,192,957 and $20,954,192, respectively.
h. Synthetic Convertible Instruments
The Defensive Market Strategies Fund establishes synthetic convertible instruments. Synthetic convertible instruments combine fixed-income securities (which may be convertible or non-convertible) with the right to acquire equity securities. In establishing a synthetic instrument, a basket of fixed-income securities are pooled with a basket of options or warrants that produce the characteristics similar to a convertible security. The risks of investing in synthetic convertible instruments include unfavorable price movements in the underlying security and the credit risk of the issuing financial institution. There may be no guarantee of a return of principal with synthetic convertible instruments and the appreciation potential may be limited. Synthetic convertible instruments may be more volatile and less liquid than other investments held by the Fund.
i. Derivative Financial Instruments
The Funds may engage in various portfolio strategies to seek to increase their return by hedging their portfolios against adverse movements in the equity, debt and currency markets. Losses may arise due to changes in the value of the contract if the counterparty does not perform under the contract. The Funds, in their normal course of business, may enter into contracts that contain a variety of representations and warranties and which provide general indemnifications. The Funds’ exposure may include future claims that may be made against the Funds that have not yet occurred.
FASB “Derivatives and Hedging” includes required disclosure for (i) the nature and terms of the derivative, reasons for entering into the derivative, the events or circumstances that would require the seller to perform under the derivative, and the current status of the payment/performance risk of the derivative, (ii) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the derivative, (iii) the fair value of the derivative and (iv) the nature of any recourse provisions and assets held either as collateral or by third parties. FASB “Guarantees” require additional disclosures about the current status of the payment/performance risk of a guarantee. All of this information has been incorporated for the current period as part of the Schedules of Investments within the Swap agreements outstanding disclosure and in the Notes to Financial Statements.
Financial Futures Contracts — The Funds (except the Money Market Fund) may purchase or sell financial futures contracts and the options on such futures contracts for the purpose of hedging risk on existing securities, demonstrating purchase of securities or gaining market exposure on cash balances. Financial futures contracts are contracts for the delivery of securities at a specified future date at an agreed upon price or yield. Upon entering into a contract, the Funds deposit and maintain as collateral such initial margin as required by the exchange on which the transaction is effected.
Pursuant to the contract, the Funds agree to pay to or receive from the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such payments or receipts are known as variation margin and are recorded by the Funds as unrealized gains or losses until the contract is closed or settled.
Risks of entering into futures contracts include the possibility that there will be an imperfect price correlation between the futures and the underlying securities. Second, it is possible that a lack of liquidity for futures contracts could exist in the secondary market, resulting in an inability to close a futures position prior to its maturity date. Third, the purchase of a futures contract involves the risk that a Fund could lose more than the original margin deposit required to initiate a futures transaction. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed on the Statements of Assets and Liabilities.
Foreign Currency Options and Futures — The Fixed Income Funds, Strategic Alternatives Fund and Defensive Market Strategies Fund may also enter into futures contracts on foreign currencies and related options on transactions as a short or long hedge against possible variations in foreign exchange rates.
Forward Foreign Currency Contracts — Certain Funds may enter into forward foreign currency contracts to hedge against adverse exchange rate fluctuation to the U.S. dollar or between different foreign currencies in connection with either specific security transactions or portfolio positions. Each contract is valued daily and the change in value is recorded as an unrealized gain or loss. When the contract is closed, a realized gain or loss is recorded equal to the difference between the opening value and the closing value of the contract. These contracts may involve market risk in excess of the unrealized gain or loss reflected on the Statements of Assets and Liabilities. The Funds could be exposed to risk if the counterparties to the contracts are unable to meet the terms of the contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
Options — Certain Funds are authorized to write and purchase put and call options. The risk in writing a call option is that the Funds give up the opportunity for profit if the market price of the security increases. The risk in writing a put option is that the Funds may incur a loss if the market price of the security decreases and the option is exercised. The risk in purchasing an option is that the Funds pay a premium whether or not the option is exercised. The Funds also have the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. The Funds also may write over-the-counter options where completing the obligation depends upon the credit standing of the other party and that party’s ability to perform. Option contracts also involve the risk that they may not work as intended due to unanticipated developments in market conditions or other causes.
Options purchased are recorded as an asset and written options are recorded as liabilities to the extent of premiums paid or received. Each Fund will realize a gain or loss when the option transaction expires or closes. When an option is exercised, the proceeds on sales for a written call option, the purchase cost for a written put option or the cost of a security for a purchased put or call option is adjusted by the amount of the premium received or paid.
When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and subsequently marked to market to reflect the current value of the option written. These liabilities are reflected as written options on the Statements of Assets and Liabilities.
Certain Funds may write swaption contracts to manage exposure to fluctuations in interest rates and to enhance portfolio yield. Swaption contracts written by the Funds represent an option that gives the purchaser the right, but not the obligation, to enter into a previously agreed upon swap agreement on a future date. If a written call swaption is exercised, the writer will enter a swap and is obligated to pay the fixed-rate and receive a floating rate in exchange. If a written put swaption is exercised, the writer will enter a swap and is obligated to pay the floating rate and receive a fixed rate in exchange. Swaptions are marked-to-market daily based upon quotations from market makers. When a Fund writes a swaption, the premium received is recorded as a liability and is subsequently adjusted to the current market value of the swaption.
Entering into a swaption contract involves, to varying degrees, the elements of credit, market and interest rate risk in excess of the associated option and swap agreement amounts reported in the Statements of Assets and Liabilities. The Funds bear the market risk arising from any change in index values or interest rates.
Swap Agreements — Each Select Fund, except the Money Market Fund, may enter into swap agreements, such as total return swaps. The Equity Funds may enter into equity swap agreements, and the International Equity Fund and Emerging Markets Equity Fund may also enter into cross-currency swap agreements. The Fixed Income Funds may enter into interest rate, credit default, and cross-currency swap agreements. The Strategic Alternatives Fund may enter into equity and interest rate swap agreements.
Swap agreements are privately negotiated agreements between a Fund and a counterparty to exchange or swap investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals. A swap may be entered into in order to, among other things, change the maturity of a Fund’s portfolio, to protect a Fund’s value from changes in interest rates, to expose a Fund to a different security or market or to help a Fund achieve a strategy relative to an index or other benchmark. By entering into a swap agreement, a Fund is exposed to the risk of unanticipated movements in interest rates or in the value of an underlying security or index (or the risk that the counterparty will not fulfill its obligation under the agreement).
Swaps are marked-to-market daily based upon values from third party vendors or quotations from market makers to the extent available; and the change in value, if any, is recorded as an unrealized gain or loss on the Statements of Assets and Liabilities. In the event that market quotations are not readily available or deemed reliable, certain swap agreements may be valued pursuant to guidelines established by the Board of Trustees. In the event that market quotes are not readily available and the swap cannot be valued pursuant to one of the valuation methods, the value of the swap will be determined in good faith by the Valuation Committee, generally based upon recommendations provided by the Fund’s sub-adviser.
Payments received or made at the beginning of the measurement period are reflected as such on the Statements of Assets and Liabilities and represent payments made or received upon entering into the swap agreement to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors). These upfront payments are recorded as realized gains or losses on the Statements of Operations upon termination or maturity of the swap. A liquidation payment received or made at the termination of the swap is recorded as realized gain or loss on the Statements of Operations. Net periodic payments received or paid by a Fund are included as part of realized gains or losses on the Statements of Operations.
Certain Funds’ derivative agreements contain provisions that require a Fund to maintain a predetermined level of net assets, and/or provide limits regarding the decline of the Fund’s NAV over one-month, three-month and 12-month periods. If a Fund were to violate such provisions, the counterparties to the derivative instruments could request immediate payment or demand immediate collateralization on derivative instruments in net liability positions. For the period ended June 30, 2020, all of the Funds maintained the required level of net assets and/or the NAVs of the Funds did not decline below the limits set forth in the derivative agreements.
Entering into these agreements involves, to varying degrees, elements of credit, market and documentation risk in excess of the amounts recognized on the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of contractual terms in the agreements and that there may be unfavorable changes in interest rates.
Credit Default Swaps — Credit default swap (“CDS”) agreements involve one party making a stream of payments (referred to as the buyer of protection) to another party (the seller of protection) in exchange for the right to receive a specified return in the event of a default or other credit event for the referenced entity, obligation or index. As a seller of protection on CDS agreements, a Fund will generally receive from the buyer of protection a fixed rate of income throughout the term of the swap provided that there is no credit event. As the seller, a Fund would effectively add leverage to its portfolio because, in addition to its total net assets, a Fund would be subject to investment exposure on the notional amount of the swap. In connection with these agreements, securities are set aside as collateral by the Fund’s custodian.
Upfront payments made or received in connection with CDS agreements are amortized over the expected life of the CDS agreements as unrealized gains or losses on swap agreements. The change in value of the CDS agreements is recorded daily as unrealized appreciation or depreciation. A realized gain or loss is recorded upon a credit event (as defined in the CDS agreement) or the maturity or termination of the agreement.
The sub-advisers monitor a variety of factors including cash flow assumptions, market activity, market sentiment and valuation as part of their ongoing process of assessing payment and performance risk. As payment and performance risk increases, the value of a CDS increases, resulting in recognition of unrealized gains for long positions and unrealized losses for short positions. Conversely, as payment and performance risk decreases, unrealized gains are recognized for short positions and unrealized losses are recognized for long positions. Any current or future declines in the fair value of the swap may be partially offset by upfront payments received by the Fund as a seller of protection if applicable. The change in value is recorded within unrealized appreciation (depreciation) until the occurrence of a credit event or the termination of the swap, at which time a realized gain (loss) is recorded.
If a Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. If a Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Recovery values are assumed by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.
CDS agreements on corporate issues or sovereign issues of an emerging country involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a default or other credit event. If a credit event occurs and cash settlement is not elected, a variety of other deliverable obligations may be delivered in lieu of the specific referenced obligation. The ability to deliver other obligations may result in a cheapest-to-deliver option (the buyer of protection’s right to choose the deliverable obligation with the lowest value following a credit event). A Fund may use CDS on corporate issues or sovereign issues of an emerging country to provide a measure of protection against defaults of the issuers (i.e., to reduce risk where a Fund owns or has exposure to the referenced obligation) or to take an active long or short position with respect to the likelihood of a particular issuer’s default.
CDS agreements on asset-backed securities involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a default or other credit event. Unlike CDS on corporate issues or sovereign issues of an emerging country, deliverable obligations in most instances would be limited to the specific referenced obligation as performance for asset-backed securities can vary across deals. Prepayments, principal paydowns, and other write down or loss events on the underlying loans will reduce the outstanding principal balance of the referenced obligation. These reductions may be temporary or permanent as defined under the terms of the swap agreement and the notional amount for the swap agreement will be adjusted by corresponding amounts. A Fund may use CDS on asset-backed securities to provide a measure of protection against defaults of the referenced obligation or to take an active long or short position with respect to the likelihood of a particular referenced obligation's default.
CDS agreements on credit indexes involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising the credit index. A credit index is a list of a basket of credit instruments or exposures designed to be representative of some part of the credit market as a whole. These indexes are made up of reference credits that are judged by a poll of dealers to be the most liquid entities in the CDS market based on the sector of the index. Components of the indexes may include, but are not limited to, investment grade securities, high yield securities, asset-backed securities, emerging markets, and/or various credit ratings within each sector. Credit indexes are traded using CDS with standardized terms including a fixed spread and standard maturity dates. An index CDS references all the names in the index, and if there is a default, the credit event is settled based on that name’s weight in the index. The composition of the indexes changes periodically, usually every six months, and for most indexes, each name has an equal weight in the index. A Fund may use CDS on credit indexes to hedge a portfolio of CDS or bonds with a CDS on indexes which is less expensive than it would be to buy many CDS to achieve a similar effect. CDS on indexes are benchmarks for protecting investors owning bonds against default, and traders use them to speculate on changes in credit quality.
Implied credit spreads, represented in absolute terms, utilized in determining the market value of CDS agreements on corporate issues or sovereign issues of an emerging country as of period end are disclosed in the Schedules of Investments and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. For CDS agreements on asset-backed securities and credit indexes, the quoted market prices and resulting values serve as the indicator of the current status of the payment/performance risk. Wider credit spreads and increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
The maximum potential amount of future payments (undiscounted) that a Fund as a seller of protection could be required to make under a CDS agreement would be an amount equal to the notional amount of the agreement. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection CDS agreements entered into by a Fund for the same referenced entity or entities.
CDS involve greater risks than if the Funds had invested in the referenced obligation directly. In addition to general market risks, CDS are subject to liquidity risk and counterparty credit risk. The Funds enter into CDS with counterparties meeting defined criteria for financial strength. A buyer also may lose its investment and recover nothing should a credit event not occur. If a credit event did occur, the value of the referenced obligation received by the seller, coupled with the periodic payments previously received, may be less than the full notional value it pays to the buyer, resulting in a loss of value.
The maximum potential amount of future payments (undiscounted) that a Fund as a seller of protection could be required to make under a credit default swap agreement equals the notional amount of the agreement. Notional amounts of each individual credit default swap agreement outstanding as of period end for which a Fund is the seller of protection are disclosed in the Schedules of Investments. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement or net amounts received from the settlement of buy protection credit default swap agreements entered into by a Fund for the same referenced entity or entities.
Centrally Cleared Swap Agreements — Centrally cleared swaps are either interest rate or CDS agreements brokered by the Chicago Mercantile Exchange, London Clearing House or the Intercontinental Exchange (the “Exchanges”) where the Exchanges are the counterparty to both the buyer and seller of protection. Centrally cleared swaps involve a lesser degree of risk because the Exchanges, as counterparties, monitor risk factors for the involved parties. Centrally cleared swaps are subject to general market risks and to liquidity risk. Pursuant to the agreement, the Funds agree to pay to or receive from the broker an amount of cash equal to the daily fluctuation in the value of the contract (the “margin”) and daily interest on the margin. In the case of centrally cleared interest rate swaps, the daily settlement also includes the daily portion of interest. Such payments are recorded by the Funds as unrealized gains or losses until the contract is closed or settled.
Centrally cleared swaps require no payments at the beginning of the measurement period nor are there liquidation payments at the termination of the swap.
Cross-Currency Swap Agreements — Cross-currency swap agreements involve two parties exchanging two different currencies with an agreement to reverse the exchange at a later date at specified exchange rates. The exchange of currencies at the inception date of the contract takes place at the current spot rate. The re-exchange at maturity may take place at the same exchange rate, a specified rate, or the then current spot rate. Interest payments, if applicable, are made between the parties based on interest rates available in the two currencies at the inception of the contract. The terms of cross-currency swap agreements may extend for many years. Cross-currency swaps are usually negotiated with commercial and investment banks. Some cross-currency swaps may not provide for exchanging principal cash flows but only for exchanging interest cash flows.
Interest Rate Swap Agreements — Interest rate swap agreements involve the exchange by a Fund with another party of their respective commitments to pay or receive interest with respect to the notional amount of principal. Certain forms of interest rate swap agreements may include: (i) interest rate caps, under which, in return for a premium, one party agrees to make payments to the other to the extent that interest rates exceed a specified rate, or “cap”, (ii) interest rate floors, under which, in return for a premium, one party agrees to make payments to the other to the extent that interest rates fall below a specified rate, or “floor”, (iii) interest rate collars, under which a party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements exceeding given minimum or maximum levels, (iv) callable interest rate swaps, under which the counterparty may terminate the swap transaction in whole at zero cost by a predetermined date and time prior to the maturity date, (v) spread locks, which allow the interest rate swap users to lock in the forward differential (or spread) between the interest rate swap rate and a specified benchmark or (vi) basis swap, under which two parties can exchange variable interest rates based on different money markets.
Total Return Swap Agreements — Total return swap agreements on commodities involve commitments where exchanged cash flows are based on the price of a commodity and in return a Fund receives either fixed or determined by floating price rate. One party would receive payments based on the market value of the commodity involved and pay a fixed amount. Total return swap agreements on indexes involve commitments to pay interest in exchange for a market-linked return. One counterparty pays out the total return of a specific reference asset, which may be an equity, index or bond, and in return
receives a regular stream of payments. To the extent the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, a Fund will receive a payment from or make a payment to the counterparty.
Forward Rate Agreements — Forward rate agreements represent an agreement between counterparties to exchange cash flows based on the difference between two interest rates, applied to a notional principal amount on a fixed future date. The Funds enter into forward rate agreements to gain yield exposure based on anticipated market conditions at the specified termination date of the agreement.
Variance Swap Agreements — Variance swap agreements involve two parties exchanging cash payments based on the difference between the stated level of variance (“Variance Strike Price”) and the actual variance realized on an underlying asset or index. As a receiver of the realized price variance, a Fund would receive the payoff amount when the realized price variance of the underlying asset is greater than the strike price and would owe the payoff amount when the variance is less than the strike price. As a payer of the realized price variance, a Fund would owe the payoff amount when the realized price variance of the underlying asset is greater than the strike price and would receive the payoff amount when the variance is less than the strike. A Fund may enter into variance swaps in an attempt to hedge market risk or adjust exposure to the markets.
Offsetting of Financial and Derivative Assets and Liabilities
Certain Funds are parties to International Swap and Derivatives Association, Inc. (“ISDA”) Master Agreements (“MA”) with various counterparties that govern over-the-counter derivative and foreign exchange contracts entered into from time to time. The ISDA MA may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the ISDA MA, collateral posted to the Fund is held in a segregated account by the Fund’s custodian and with respect to those amounts which can be sold or repledged, are presented in the Fund’s portfolio or Statements of Assets and Liabilities. For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to an ISDA MA in the Statements of Assets and Liabilities.
At June 30, 2020, derivative assets and liabilities (by type) held by the Funds are as follows:
| Fund | | Assets | | Liabilities |
| MyDestination 2035 | | | | |
| Derivative Financial Instruments: | | | | |
| Futures contracts | | $ 7,311 | | $ — |
| Total derivative assets and liabilities in the Statements of Assets and Liabilities | | 7,311 | | — |
| Derivatives not subject to an ISDA MA or similar agreement | | 7,311 | | — |
| Total assets and liabilities subject to an ISDA MA | | $ — | | $ — |
| MyDestination 2045 | | | | |
| Derivative Financial Instruments: | | | | |
| Futures contracts | | $ 1,969 | | $ — |
| Total derivative assets and liabilities in the Statements of Assets and Liabilities | | 1,969 | | — |
| Derivatives not subject to an ISDA MA or similar agreement | | 1,969 | | — |
| Total assets and liabilities subject to an ISDA MA | | $ — | | $ — |
| Fund | | Assets | | Liabilities |
| Growth Allocation | | | | |
| Derivative Financial Instruments: | | | | |
| Futures contracts | | $ 41,643 | | $ — |
| Total derivative assets and liabilities in the Statements of Assets and Liabilities | | 41,643 | | — |
| Derivatives not subject to an ISDA MA or similar agreement | | 41,643 | | — |
| Total assets and liabilities subject to an ISDA MA | | $ — | | $ — |
| Low-Duration Bond | | | | |
| Derivative Financial Instruments: | | | | |
| Futures contracts | | $ 77,773 | | $ — |
| Forward foreign currency contracts | | 19,499 | | 677,152 |
| Options | | — | | 14,973 |
| Centrally cleared swaps | | 18,108 | | — |
| Swap agreements | | — | | 4,911 |
| Total derivative assets and liabilities in the Statements of Assets and Liabilities | | 115,380 | | 697,036 |
| Derivatives not subject to an ISDA MA or similar agreement | | 95,881 | | — |
| Total assets and liabilities subject to an ISDA MA | | $ 19,499 | | $ 697,036 |
| Medium-Duration Bond | | | | |
| Derivative Financial Instruments: | | | | |
| Futures contracts | | $ — | | $ 121,237 |
| Forward foreign currency contracts | | 1,370,954 | | 2,236,229 |
| Options | | 464,923 | | 1,445,970 |
| Centrally cleared swaps | | 578,970 | | — |
| Swap agreements | | 328,092 | | 64,977 |
| Total derivative assets and liabilities in the Statements of Assets and Liabilities | | 2,742,939 | | 3,868,413 |
| Derivatives not subject to an ISDA MA or similar agreement | | 1,043,894 | | 309,632 |
| Total assets and liabilities subject to an ISDA MA | | $ 1,699,045 | | $ 3,558,781 |
| Global Bond | | | | |
| Derivative Financial Instruments: | | | | |
| Futures contracts | | $ 111,847 | | $ — |
| Forward foreign currency contracts | | 4,184,585 | | 5,498,634 |
| Centrally cleared swaps | | — | | 71,784 |
| Total derivative assets and liabilities in the Statements of Assets and Liabilities | | 4,296,432 | | 5,570,418 |
| Derivatives not subject to an ISDA MA or similar agreement | | 111,847 | | 71,784 |
| Total assets and liabilities subject to an ISDA MA | | $ 4,184,585 | | $ 5,498,634 |
| Defensive Market Strategies | | | | |
| Derivative Financial Instruments: | | | | |
| Futures contracts | | $ — | | $ 329,375 |
| Forward foreign currency contracts | | 45,566 | | — |
| Options | | — | | 1,271,858 |
| Total derivative assets and liabilities in the Statements of Assets and Liabilities | | 45,566 | | 1,601,233 |
| Derivatives not subject to an ISDA MA or similar agreement | | 45,566 | | 1,601,233 |
| Total assets and liabilities subject to an ISDA MA | | $ — | | $ — |
| Fund | | Assets | | Liabilities |
| Equity Index | | | | |
| Derivative Financial Instruments: | | | | |
| Futures contracts | | $ 941,375 | | $ — |
| Total derivative assets and liabilities in the Statements of Assets and Liabilities | | 941,375 | | — |
| Derivatives not subject to an ISDA MA or similar agreement | | 941,375 | | — |
| Total assets and liabilities subject to an ISDA MA | | $ — | | $ — |
| Value Equity | | | | |
| Derivative Financial Instruments: | | | | |
| Futures contracts | | $ 286,450 | | $ — |
| Forward foreign currency contracts | | 61,706 | | — |
| Total derivative assets and liabilities in the Statements of Assets and Liabilities | | 348,156 | | — |
| Derivatives not subject to an ISDA MA or similar agreement | | 348,156 | | — |
| Total assets and liabilities subject to an ISDA MA | | $ — | | $ — |
| Growth Equity | | | | |
| Derivative Financial Instruments: | | | | |
| Futures contracts | | $ 318,750 | | $ — |
| Total derivative assets and liabilities in the Statements of Assets and Liabilities | | 318,750 | | — |
| Derivatives not subject to an ISDA MA or similar agreement | | 318,750 | | — |
| Total assets and liabilities subject to an ISDA MA | | $ — | | $ — |
| Small Cap Equity | | | | |
| Derivative Financial Instruments: | | | | |
| Futures contracts | | $ 193,680 | | $ — |
| Total derivative assets and liabilities in the Statements of Assets and Liabilities | | 193,680 | | — |
| Derivatives not subject to an ISDA MA or similar agreement | | 193,680 | | — |
| Total assets and liabilities subject to an ISDA MA | | $ — | | $ — |
| International Equity Index | | | | |
| Derivative Financial Instruments: | | | | |
| Futures contracts | | $ — | | $ 37,958 |
| Total derivative assets and liabilities in the Statements of Assets and Liabilities | | — | | 37,958 |
| Derivatives not subject to an ISDA MA or similar agreement | | — | | 37,958 |
| Total assets and liabilities subject to an ISDA MA | | $ — | | $ — |
| International Equity | | | | |
| Derivative Financial Instruments: | | | | |
| Futures contracts | | $ — | | $ 105,757 |
| Forward foreign currency contracts | | 2,235,196 | | 1,106,895 |
| Swap agreements | | 32,138 | | 174,055 |
| Total derivative assets and liabilities in the Statements of Assets and Liabilities | | 2,267,334 | | 1,386,707 |
| Derivatives not subject to an ISDA MA or similar agreement | | — | | 105,757 |
| Total assets and liabilities subject to an ISDA MA | | $ 2,267,334 | | $ 1,280,950 |
| Fund | | Assets | | Liabilities |
| Emerging Markets Equity | | | | |
| Derivative Financial Instruments: | | | | |
| Futures contracts | | $ — | | $ 70,023 |
| Forward foreign currency contracts | | 1,269,989 | | 1,396,912 |
| Swap agreements | | 217,080 | | 433,692 |
| Total derivative assets and liabilities in the Statements of Assets and Liabilities | | 1,487,069 | | 1,900,627 |
| Derivatives not subject to an ISDA MA or similar agreement | | — | | 70,023 |
| Total assets and liabilities subject to an ISDA MA | | $ 1,487,069 | | $ 1,830,604 |
| Global Real Estate Securities | | | | |
| Derivative Financial Instruments: | | | | |
| Futures contracts | | $ 27,840 | | $ — |
| Total derivative assets and liabilities in the Statements of Assets and Liabilities | | 27,840 | | — |
| Derivatives not subject to an ISDA MA or similar agreement | | 27,840 | | — |
| Total assets and liabilities subject to an ISDA MA | | $ — | | $ — |
| Strategic Alternatives | | | | |
| Derivative Financial Instruments: | | | | |
| Futures contracts | | $ — | | $ 15,846 |
| Forward foreign currency contracts | | 9,496,418 | | 9,705,716 |
| Options | | 25,510 | | 1,159,186 |
| Centrally cleared swaps | | — | | 10,998 |
| Swap agreements | | 343,102 | | 63,514 |
| Total derivative assets and liabilities in the Statements of Assets and Liabilities | | 9,865,030 | | 10,955,260 |
| Derivatives not subject to an ISDA MA or similar agreement | | 25,510 | | 441,972 |
| Total assets and liabilities subject to an ISDA MA | | $ 9,839,520 | | $10,513,288 |
The futures contracts and centrally cleared swap agreements shown above represent the variation margin shown on the Statements of Assets and Liabilities, which is the daily change in the unrealized appreciation (depreciation) for open futures and centrally cleared swap agreements.
At June 30, 2020, derivative assets and liabilities by counterparty net of amounts available for offset under an MA and net of the related collateral (received)/pledged by the Trust are as follows:
| Fund/Sub-adviser/Counterparty | | Derivative Assets
Subject to
an 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* | | $19,499 | | $(196,576) | | $(177,077) | | $10,637 | | $(166,440) |
| Sub-adviser B | | | | | | | | | | |
| Other Counterparties* | | — | | (500,460) | | (500,460) | | — | | (500,460) |
| Total Derivatives | | $19,499 | | $(697,036) | | $(677,537) | | $10,637 | | $(666,900) |
| 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 |
| Medium-Duration Bond | | | | | | | | | | |
| Sub-adviser A | | | | | | | | | | |
| Other Counterparties* | | $ 276,847 | | $ (1,632,341) | | $(1,355,494) | | $ 659,874 | | $ (695,620) |
| Sub-adviser B | | | | | | | | | | |
| Other Counterparties* | | 108,219 | | (413,803) | | (305,584) | | 1,750 | | (303,834) |
| Sub-adviser C | | | | | | | | | | |
| Other Counterparties* | | 1,313,979 | | (1,512,637) | | (198,658) | | 65,120 | | (133,538) |
| Total Derivatives | | $1,699,045 | | $ (3,558,781) | | $(1,859,736) | | $ 726,744 | | $(1,132,992) |
| Global Bond | | | | | | | | | | |
| Sub-adviser A | | | | | | | | | | |
| Other Counterparties* | | $1,238,365 | | $ (1,175,073) | | $ 63,292 | | $ — | | $ 63,292 |
| Sub-adviser B | | | | | | | | | | |
| Other Counterparties* | | 2,946,220 | | (4,323,561) | | (1,377,341) | | 1,276,839 | | (100,502) |
| Total Derivatives | | $4,184,585 | | $ (5,498,634) | | $(1,314,049) | | $ 1,276,839 | | $ (37,210) |
| International Equity | | | | | | | | | | |
| Sub-adviser A | | | | | | | | | | |
| Other Counterparties* | | $2,267,334 | | $ (1,279,200) | | $ 988,134 | | $(1,048,666) | | $ (60,532) |
| Sub-adviser B | | | | | | | | | | |
| Other Counterparties* | | — | | (1,750) | | (1,750) | | — | | (1,750) |
| Total Derivatives | | $2,267,334 | | $ (1,280,950) | | $ 986,384 | | $(1,048,666) | | $ (62,282) |
| Emerging Markets Equity | | | | | | | | | | |
| Sub-adviser A | | | | | | | | | | |
| Other Counterparties* | | $1,448,944 | | $ (1,830,604) | | $ (381,660) | | $ 381,660 | | $ — |
| Sub-adviser B | | | | | | | | | | |
| Other Counterparties* | | 38,125 | | — | | 38,125 | | — | | 38,125 |
| Total Derivatives | | $1,487,069 | | $ (1,830,604) | | $ (343,535) | | $ 381,660 | | $ 38,125 |
| Strategic Alternatives | | | | | | | | | | |
| Sub-adviser A | | | | | | | | | | |
| SC | | $ 703,622 | | $ (2,275,713) | | $(1,572,091) | | $ 1,310,000 | | $ (262,091) |
| JPM | | 2,974,198 | | (843,055) | | 2,131,143 | | (1,640,000) | | 491,143 |
| Other Counterparties* | | 4,725,702 | | (5,198,269) | | (472,567) | | 299,953 | | (172,614) |
| | | 8,403,522 | | (8,317,037) | | 86,485 | | (30,047) | | 56,438 |
| Sub-adviser B | | | | | | | | | | |
| MSCS | | 1,092,896 | | (1,658,258) | | (565,362) | | 270,000 | | (295,362) |
| DEUT | | 78,836 | | (284,006) | | (205,170) | | — | | (205,170) |
| Other Counterparties* | | 44,372 | | (190,473) | | (146,101) | | (44,372) | | (190,473) |
| | | 1,216,104 | | (2,132,737) | | (916,633) | | 225,628 | | (691,005) |
| Sub-adviser D | | | | | | | | | | |
| Other Counterparties* | | 219,894 | | (63,514) | | 156,380 | | — | | 156,380 |
| Total Derivatives | | $9,839,520 | | $(10,513,288) | | $ (673,768) | | $ 195,581 | | $ (478,187) |
*Other Counterparties represent amounts that are held with counterparties where the absolute value of the total net exposure is less than 0.05% of the net assets of the respective Fund. Those holdings are deemed individually immaterial to the respective Fund and are listed collectively.
Additional information about netting arrangements under the Master Agreements can be found in the Derivative Financial Instruments and Securities Lending sections of the Notes to Financial Statements.
Derivative Holdings Categorized by Risk Exposure
FASB “Derivatives and Hedging” also requires all companies to disclose information intended to enable financial statement users to understand how and why the entity uses derivative instruments, how derivatives are accounted for, and how derivative instruments affect the entity’s financial position, results of operations, and cash flows.
| | | Location on the Statements of Assets and Liabilities |
| Derivative Type | | Asset Derivatives | | Liability Derivatives |
| Interest rate contracts | | Investments in securities of unaffiliated issuers, at value | | Options written, at value |
| | | Receivables: Variation margin* | | Payables: Variation margin* |
| | | Unrealized appreciation on swap agreements | | Unrealized depreciation on swap agreements |
| Foreign exchange contracts | | Investments in securities of unaffiliated issuers, at value | | Options written, at value |
| | | Unrealized appreciation on foreign currency exchange contracts | | Unrealized depreciation on foreign currency exchange contracts |
| Credit contracts | | Unrealized appreciation on swap agreements | | Unrealized depreciation on swap agreements |
| Equity contracts | | Investments in securities of unaffiliated issuers, at value | | Options written, at value |
| | | Receivables: Variation margin* | | Payables: Variation margin* |
*The variation margin shown on the Statements of Assets and Liabilities is the daily change in the unrealized appreciation (depreciation) for open futures and centrally cleared swap agreements. The variation margin presented below is the cumulative change in unrealized appreciation (depreciation) from the date the contract was opened until June 30, 2020.
| | | Asset Derivative Value |
| Fund | | Total Value
at
6/30/20 | | Interest Rate
Contracts | | Foreign
Exchange
Contracts | | Credit
Contracts | | Equity
Contracts |
| MyDestination 2035 | | | | | | | | | | |
| Futures | | $ 21,867 | | $ 1,167 | | $ — | | $ — | | $ 20,700 |
| MyDestination 2045 | | | | | | | | | | |
| Futures | | $ 4,263 | | $ 389 | | $ — | | $ — | | $ 3,874 |
| Growth Allocation | | | | | | | | | | |
| Futures | | $ 97,761 | | $ 3,084 | | $ — | | $ — | | $ 94,677 |
| Low-Duration Bond | | | | | | | | | | |
| Forwards | | $ 19,499 | | $ — | | $ 19,499 | | $ — | | $ — |
| Futures | | 494,958 | | 494,958 | | — | | — | | — |
| Swaps | | 459,852 | | — | | — | | 459,852 | | — |
| Totals | | $ 974,309 | | $ 494,958 | | $ 19,499 | | $ 459,852 | | $ — |
| Medium-Duration Bond | | | | | | | | | | |
| Forwards | | $ 1,370,954 | | $ — | | $ 1,370,954 | | $ — | | $ — |
| Futures | | 2,855,937 | | 2,855,937 | | — | | — | | — |
| Purchased Options | | 464,923 | | 464,923 | | — | | — | | — |
| Swaps | | 4,013,444 | | 3,360,874 | | — | | 652,570 | | — |
| Totals | | $ 8,705,258 | | $ 6,681,734 | | $ 1,370,954 | | $ 652,570 | | $ — |
| | | Asset Derivative Value |
| Fund | | Total Value
at
6/30/20 | | Interest Rate
Contracts | | Foreign
Exchange
Contracts | | Credit
Contracts | | Equity
Contracts |
| Global Bond | | | | | | | | | | |
| Forwards | | $ 4,184,585 | | $ — | | $ 4,184,585 | | $ — | | $ — |
| Futures | | 73,591 | | 73,591 | | — | | — | | — |
| Swaps | | 803,951 | | — | | — | | 803,951 | | — |
| Totals | | $ 5,062,127 | | $ 73,591 | | $ 4,184,585 | | $ 803,951 | | $ — |
| Defensive Market Strategies | | | | | | | | | | |
| Forwards | | $ 45,566 | | $ — | | $ 45,566 | | $ — | | $ — |
| Equity Index | | | | | | | | | | |
| Futures | | $ 1,712,117 | | $ — | | $ — | | $ — | | $ 1,712,117 |
| Value Equity | | | | | | | | | | |
| Forwards | | $ 61,706 | | $ — | | $ 61,706 | | $ — | | $ — |
| Futures | | 194,707 | | — | | — | | — | | 194,707 |
| Totals | | $ 256,413 | | $ — | | $ 61,706 | | $ — | | $ 194,707 |
| Growth Equity | | | | | | | | | | |
| Futures | | $ 22,586 | | $ — | | $ — | | $ — | | $ 22,586 |
| Small Cap Equity | | | | | | | | | | |
| Futures | | $ 663,913 | | $ — | | $ — | | $ — | | $ 663,913 |
| International Equity | | | | | | | | | | |
| Forwards | | $ 2,235,196 | | $ — | | $ 2,235,196 | | $ — | | $ — |
| Futures | | 36,057 | | — | | — | | — | | 36,057 |
| Swaps | | 32,138 | | — | | — | | — | | 32,138 |
| Totals | | $ 2,303,391 | | $ — | | $ 2,235,196 | | $ — | | $ 68,195 |
| Emerging Markets Equity | | | | | | | | | | |
| Forwards | | $ 1,269,989 | | $ — | | $ 1,269,989 | | $ — | | $ — |
| Futures | | 61,294 | | — | | — | | — | | 61,294 |
| Swaps | | 217,080 | | — | | — | | — | | 217,080 |
| Totals | | $ 1,548,363 | | $ — | | $ 1,269,989 | | $ — | | $ 278,374 |
| Global Real Estate Securities | | | | | | | | | | |
| Futures | | $ 30,857 | | $ — | | $ — | | $ — | | $ 30,857 |
| Strategic Alternatives | | | | | | | | | | |
| Forwards | | $ 9,496,418 | | $ — | | $ 9,496,418 | | $ — | | $ — |
| Futures | | 18,309 | | 18,309 | | — | | — | | — |
| Purchased Options | | 25,510 | | — | | — | | — | | 25,510 |
| Swaps | | 1,594,365 | | 1,374,471 | | — | | — | | 219,894 |
| Totals | | $ 11,134,602 | | $ 1,392,780 | | $ 9,496,418 | | $ — | | $ 245,404 |
| | | Liabilities Derivative Value |
| Fund | | Total Value
at
6/30/20 | | Interest Rate
Contracts | | Foreign
Exchange
Contracts | | Credit
Contracts | | Equity
Contracts |
| Low-Duration Bond | | | | | | | | | | |
| Forwards | | $ 677,152 | | $ — | | $ 677,152 | | $ — | | $ — |
| Futures | | 305,096 | | 305,096 | | — | | — | | — |
| Written Options | | 14,973 | | — | | — | | 14,973 | | — |
| Swaps | | 1,966,267 | | 1,961,356 | | — | | 4,911 | | — |
| Totals | | $ 2,963,488 | | $ 2,266,452 | | $ 677,152 | | $ 19,884 | | $ — |
| Medium-Duration Bond | | | | | | | | | | |
| Forwards | | $ 2,236,229 | | $ — | | $ 2,236,229 | | $ — | | $ — |
| Futures | | 1,895,536 | | 1,895,536 | | — | | — | | — |
| Written Options | | 1,445,970 | | 1,445,970 | | — | | — | | — |
| Swaps | | 13,662,151 | | 13,322,184 | | — | | 339,967 | | — |
| Totals | | $ 19,239,886 | | $ 16,663,690 | | $ 2,236,229 | | $ 339,967 | | $ — |
| Global Bond | | | | | | | | | | |
| Forwards | | $ 5,498,634 | | $ — | | $ 5,498,634 | | $ — | | $ — |
| Futures | | 408,142 | | 408,142 | | — | | — | | — |
| Swaps | | 2,160,138 | | 2,160,138 | | — | | — | | — |
| Totals | | $ 8,066,914 | | $ 2,568,280 | | $ 5,498,634 | | $ — | | $ — |
| Defensive Market Strategies | | | | | | | | | | |
| Futures | | $ 704,814 | | $ — | | $ — | | $ — | | $ 704,814 |
| Written Options | | 1,271,858 | | — | | — | | — | | 1,271,858 |
| Totals | | $ 1,976,672 | | $ — | | $ — | | $ — | | $ 1,976,672 |
| International Equity Index | | | | | | | | | | |
| Futures | | $ 111,957 | | $ — | | $ — | | $ — | | $ 111,957 |
| International Equity | | | | | | | | | | |
| Forwards | | $ 1,106,895 | | $ — | | $ 1,106,895 | | $ — | | $ — |
| Futures | | 887,608 | | — | | — | | — | | 887,608 |
| Swaps | | 174,055 | | — | | — | | — | | 174,055 |
| Totals | | $ 2,168,558 | | $ — | | $ 1,106,895 | | $ — | | $ 1,061,663 |
| Emerging Markets Equity | | | | | | | | | | |
| Forwards | | $ 1,396,912 | | $ — | | $ 1,396,912 | | $ — | | $ — |
| Futures | | 578,849 | | — | | — | | — | | 578,849 |
| Swaps | | 433,692 | | — | | — | | — | | 433,692 |
| Totals | | $ 2,409,453 | | $ — | | $ 1,396,912 | | $ — | | $ 1,012,541 |
| Strategic Alternatives | | | | | | | | | | |
| Forwards | | $ 9,705,716 | | $ — | | $ 9,705,716 | | $ — | | $ — |
| Futures | | 10,673 | | 10,673 | | — | | — | | — |
| Written Options | | 1,159,186 | | 744,058 | | — | | — | | 415,128 |
| Swaps | | 1,203,980 | | 1,140,466 | | — | | — | | 63,514 |
| Totals | | $ 12,079,555 | | $ 1,895,197 | | $ 9,705,716 | | $ — | | $ 478,642 |
| 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
6/30/20 | | Interest Rate
Contracts | | Foreign
Exchange
Contracts | | Credit
Contracts | | Equity
Contracts |
| MyDestination 2015 | | | | | | | | | | |
| Futures | | $ 61,281 | | $ 214,611 | | $ — | | $ — | | $ (153,330) |
| MyDestination 2025 | | | | | | | | | | |
| Futures | | $ (335,478) | | $ 486,409 | | $ — | | $ — | | $ (821,887) |
| MyDestination 2035 | | | | | | | | | | |
| Futures | | $ (481,090) | | $ 264,994 | | $ — | | $ — | | $ (746,084) |
| MyDestination 2045 | | | | | | | | | | |
| Futures | | $ (676,225) | | $ 92,776 | | $ — | | $ — | | $ (769,001) |
| MyDestination 2055 | | | | | | | | | | |
| Futures | | $ (253,663) | | $ 26,380 | | $ — | | $ — | | $ (280,043) |
| Conservative Allocation | | | | | | | | | | |
| Futures | | $ 49,971 | | $ 114,549 | | $ — | | $ — | | $ (64,578) |
| Balanced Allocation | | | | | | | | | | |
| Futures | | $ 21,988 | | $ 693,977 | | $ — | | $ — | | $ (671,989) |
| Growth Allocation | | | | | | | | | | |
| Futures | | $ (985,539) | | $ 282,766 | | $ — | | $ — | | $ (1,268,305) |
| Aggressive Allocation | | | | | | | | | | |
| Futures | | $ (970,077) | | $ — | | $ — | | $ — | | $ (970,077) |
| | | Realized Gain (Loss) on Derivatives Recognized in Income |
| Fund | | Total Value
at
6/30/20 | | Interest Rate
Contracts | | Foreign
Exchange
Contracts | | Credit
Contracts | | Equity
Contracts |
| Low-Duration Bond | | | | | | | | | | |
| Forwards | | $ 1,740,263 | | $ — | | $ 1,740,263 | | $ — | | $ — |
| Futures | | 1,255,437 | | 1,255,437 | | — | | — | | — |
| Swaps | | (293,044) | | (213,829) | | — | | (79,215) | | — |
| Written Options | | 10,091 | | — | | — | | 10,091 | | — |
| Totals | | $ 2,712,747 | | $ 1,041,608 | | $ 1,740,263 | | $ (69,124) | | $ — |
| Medium-Duration Bond | | | | | | | | | | |
| Forwards | | $ 179,754 | | $ — | | $ 179,754 | | $ — | | $ — |
| Futures | | 33,276,526 | | 33,276,526 | | — | | — | | — |
| Purchased Options | | (1,578,211) | | (1,663,643) | | 85,432 | | — | | — |
| Swaps | | (4,202,458) | | (3,971,023) | | — | | (231,435) | | — |
| Written Options | | 2,877,627 | | 2,725,589 | | 152,038 | | — | | — |
| Totals | | $ 30,553,238 | | $ 30,367,449 | | $ 417,224 | | $ (231,435) | | $ — |
| Extended-Duration Bond | | | | | | | | | | |
| Futures | | $ (71,493) | | $ — | | $ — | | $ — | | $ (71,493) |
| Global Bond | | | | | | | | | | |
| Forwards | | $ (2,101,317) | | $ — | | $ (2,101,317) | | $ — | | $ — |
| Futures | | (6,166,991) | | (6,166,991) | | — | | — | | — |
| Purchased Options | | (61,810) | | — | | (61,810) | | — | | — |
| Swaps | | 3,288,241 | | — | | — | | 3,288,241 | | — |
| Totals | | $ (5,041,877) | | $ (6,166,991) | | $ (2,163,127) | | $ 3,288,241 | | $ — |
| Defensive Market Strategies | | | | | | | | | | |
| Forwards | | $ (268,642) | | $ — | | $ (268,642) | | $ — | | $ — |
| Futures | | 1,148,355 | | — | | — | | — | | 1,148,355 |
| Written Options | | (28,721,738) | | — | | — | | — | | (28,721,738) |
| Totals | | $ (27,842,025) | | $ — | | $ (268,642) | | $ — | | $ (27,573,383) |
| Equity Index | | | | | | | | | | |
| Futures | | $ (2,285,844) | | $ — | | $ — | | $ — | | $ (2,285,844) |
| Value Equity | | | | | | | | | | |
| Forwards | | $ (1,022,505) | | $ — | | $ (1,022,505) | | $ — | | $ — |
| Futures | | 7,407,763 | | — | | — | | — | | 7,407,763 |
| Totals | | $ 6,385,258 | | $ — | | $ (1,022,505) | | $ — | | $ 7,407,763 |
| Growth Equity | | | | | | | | | | |
| Futures | | $ 3,497,171 | | $ — | | $ — | | $ — | | $ 3,497,171 |
| Small Cap Equity | | | | | | | | | | |
| Futures | | $ 2,471,451 | | $ — | | $ — | | $ — | | $ 2,471,451 |
| International Equity Index | | | | | | | | | | |
| Futures | | $ (7,394,495) | | $ — | | $ — | | $ — | | $ (7,394,495) |
| | | Realized Gain (Loss) on Derivatives Recognized in Income |
| Fund | | Total Value
at
6/30/20 | | Interest Rate
Contracts | | Foreign
Exchange
Contracts | | Credit
Contracts | | Equity
Contracts |
| International Equity | | | | | | | | | | |
| Forwards | | $ (1,966,547) | | $ — | | $ (1,966,547) | | $ — | | $ — |
| Futures | | 1,477,664 | | — | | — | | — | | 1,477,664 |
| Swaps | | 1,723,825 | | — | | — | | — | | 1,723,825 |
| Totals | | $ 1,234,942 | | $ — | | $ (1,966,547) | | $ — | | $ 3,201,489 |
| Emerging Markets Equity | | | | | | | | | | |
| Forwards | | $ (224,790) | | $ — | | $ (224,790) | | $ — | | $ — |
| Futures | | 2,383,505 | | — | | — | | — | | 2,383,505 |
| Swaps | | 524,212 | | — | | — | | — | | 524,212 |
| Totals | | $ 2,682,927 | | $ — | | $ (224,790) | | $ — | | $ 2,907,717 |
| Global Real Estate Securities | | | | | | | | | | |
| Futures | | $ 733,502 | | $ — | | $ — | | $ — | | $ 733,502 |
| Strategic Alternatives | | | | | | | | | | |
| Forwards | | $ (161,302) | | $ — | | $ (161,302) | | $ — | | $ — |
| Futures | | 1,898,542 | | 1,898,542 | | — | | — | | — |
| Purchased Options | | (195,560) | | — | | — | | — | | (195,560) |
| Swaps | | 258,070 | | 265,978 | | (18,041) | | 508 | | 9,625 |
| Written Options | | (8,638,325) | | (318,933) | | — | | — | | (8,319,392) |
| Totals | | $ (6,838,575) | | $ 1,845,587 | | $ (179,343) | | $ 508 | | $ (8,505,327) |
| | | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
| Fund | | Total Value
at
6/30/20 | | Interest Rate
Contracts | | Foreign
Exchange
Contracts | | Credit
Contracts | | Equity
Contracts |
| MyDestination 2015 | | | | | | | | | | |
| Futures | | $ (17,466) | | $ 27,930 | | $ — | | $ — | | $ (45,396) |
| MyDestination 2025 | | | | | | | | | | |
| Futures | | $ (105,146) | | $ 67,919 | | $ — | | $ — | | $ (173,065) |
| MyDestination 2035 | | | | | | | | | | |
| Futures | | $ (131,960) | | $ 24,382 | | $ — | | $ — | | $ (156,342) |
| MyDestination 2045 | | | | | | | | | | |
| Futures | | $ (124,823) | | $ 11,238 | | $ — | | $ — | | $ (136,061) |
| MyDestination 2055 | | | | | | | | | | |
| Futures | | $ (41,910) | | $ 1,115 | | $ — | | $ — | | $ (43,025) |
| Conservative Allocation | | | | | | | | | | |
| Futures | | $ (22,813) | | $ (474) | | $ — | | $ — | | $ (22,339) |
| Balanced Allocation | | | | | | | | | | |
| Futures | | $ (138,773) | | $ 108,381 | | $ — | | $ — | | $ (247,154) |
| Growth Allocation | | | | | | | | | | |
| Futures | | $ (138,549) | | $ 39,043 | | $ — | | $ — | | $ (177,592) |
| | | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
| Fund | | Total Value
at
6/30/20 | | Interest Rate
Contracts | | Foreign
Exchange
Contracts | | Credit
Contracts | | Equity
Contracts |
| Aggressive Allocation | | | | | | | | | | |
| Futures | | $ (276,413) | | $ — | | $ — | | $ — | | $ (276,413) |
| Low-Duration Bond | | | | | | | | | | |
| Forwards | | $ 372,505 | | $ — | | $ 372,505 | | $ — | | $ — |
| Futures | | 171,318 | | 171,318 | | — | | — | | — |
| Swaps | | (990,937) | | (1,577,133) | | — | | 586,196 | | — |
| Written Options | | 24,988 | | — | | — | | 24,988 | | — |
| Totals | | $ (422,126) | | $ (1,405,815) | | $ 372,505 | | $ 611,184 | | $ — |
| Medium-Duration Bond | | | | | | | | | | |
| Forwards | | $ 443,865 | | $ — | | $ 443,865 | | $ — | | $ — |
| Futures | | 4,380,262 | | 4,380,262 | | — | | — | | — |
| Purchased Options | | (104,887) | | (104,887) | | — | | — | | — |
| Swaps | | (13,535,749) | | (12,914,003) | | — | | (621,746) | | — |
| Written Options | | (26,347) | | (26,347) | | — | | — | | — |
| Totals | | $ (8,842,856) | | $ (8,664,975) | | $ 443,865 | | $ (621,746) | | $ — |
| Global Bond | | | | | | | | | | |
| Forwards | | $ 389,336 | | $ — | | $ 389,336 | | $ — | | $ — |
| Futures | | (1,060,278) | | (1,060,278) | | — | | — | | — |
| Swaps | | (1,361,409) | | — | | — | | (1,361,409) | | — |
| Totals | | $ (2,032,351) | | $ (1,060,278) | | $ 389,336 | | $ (1,361,409) | | $ — |
| Defensive Market Strategies | | | | | | | | | | |
| Forwards | | $ 235,062 | | $ — | | $ 235,062 | | $ — | | $ — |
| Futures | | (238,312) | | — | | — | | — | | (238,312) |
| Written Options | | 1,283,962 | | — | | — | | — | | 1,283,962 |
| Totals | | $ 1,280,712 | | $ — | | $ 235,062 | | $ — | | $ 1,045,650 |
| Equity Index | | | | | | | | | | |
| Futures | | $ 975,644 | | $ — | | $ — | | $ — | | $ 975,644 |
| Value Equity | | | | | | | | | | |
| Forwards | | $ 550,838 | | $ — | | $ 550,838 | | $ — | | $ — |
| Futures | | (133,134) | | — | | — | | — | | (133,134) |
| Totals | | $ 417,704 | | $ — | | $ 550,838 | | $ — | | $ (133,134) |
| Growth Equity | | | | | | | | | | |
| Futures | | $ (587,335) | | $ — | | $ — | | $ — | | $ (587,335) |
| Small Cap Equity | | | | | | | | | | |
| Futures | | $ 577,952 | | $ — | | $ — | | $ — | | $ 577,952 |
| International Equity Index | | | | | | | | | | |
| Futures | | $ (235,534) | | $ — | | $ — | | $ — | | $ (235,534) |
| | | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
| Fund | | Total Value
at
6/30/20 | | Interest Rate
Contracts | | Foreign
Exchange
Contracts | | Credit
Contracts | | Equity
Contracts |
| International Equity | | | | | | | | | | |
| Forwards | | $ 1,136,685 | | $ — | | $ 1,136,685 | | $ — | | $ — |
| Futures | | (1,039,556) | | — | | — | | — | | (1,039,556) |
| Swaps | | 65,815 | | — | | — | | — | | 65,815 |
| Totals | | $ 162,944 | | $ — | | $ 1,136,685 | | $ — | | $ (973,741) |
| Emerging Markets Equity | | | | | | | | | | |
| Forwards | | $ 277,612 | | $ — | | $ 277,612 | | $ — | | $ — |
| Futures | | (1,013,749) | | — | | — | | — | | (1,013,749) |
| Swaps | | (1,076,888) | | — | | — | | — | | (1,076,888) |
| Totals | | $ (1,813,025) | | $ — | | $ 277,612 | | $ — | | $ (2,090,637) |
| Global Real Estate Securities | | | | | | | | | | |
| Futures | | $ (65,723) | | $ — | | $ — | | $ — | | $ (65,723) |
| Strategic Alternatives | | | | | | | | | | |
| Forwards | | $ 237,932 | | $ — | | $ 237,932 | | $ — | | $ — |
| Futures | | 209,667 | | 209,667 | | — | | — | | — |
| Purchased Options | | 11,598 | | — | | — | | — | | 11,598 |
| Swaps | | (832,914) | | (903,559) | | (4,988) | | — | | 75,633 |
| Written Options | | 342,627 | | 11,254 | | — | | — | | 331,373 |
| Totals | | $ (31,090) | | $ (682,638) | | $ 232,944 | | $ — | | $ 418,604 |
Volume of Derivative Transactions
The table below summarizes the average balance of derivative holdings by Fund during the six-month period ended June 30, 2020. The average balance of derivatives held is indicative of the trading volume of each Fund.
| | | Long Derivative Volume |
| Fund | | Forward Foreign
Currency
Contracts | | Financial
Futures
Contracts | | Purchased
Option
Contracts | | Swap
Contracts |
| MyDestination 2015 | | $ — | | $ 7,665,850 | | $ — | | $ — |
| MyDestination 2025 | | — | | 19,213,976 | | — | | — |
| MyDestination 2035 | | — | | 10,394,747 | | — | | — |
| MyDestination 2045 | | — | | 7,236,695 | | — | | — |
| MyDestination 2055 | | — | | 4,422,561 | | — | | — |
| Conservative Allocation | | — | | 9,188,985 | | — | | — |
| Balanced Allocation | | — | | 27,546,688 | | — | | — |
| Growth Allocation | | — | | 15,368,793 | | — | | — |
| Aggressive Allocation | | — | | 19,477,770 | | — | | — |
| Low-Duration Bond | | 89,763,036 | | 333,575,005 | | — | | 35,000,000 |
| Medium-Duration Bond | | 149,704,513 | | 947,609,186 | | 492,402 | | 388,886,089 |
| Global Bond | | 194,668,542 | | 149,862,240 | | 61,810 | | 14,796,420 |
| Defensive Market Strategies | | 26,415,984 | | — | | — | | — |
| Equity Index | | — | | 70,674,563 | | — | | — |
| Value Equity | | 42,609,366 | | 24,225,762 | | — | | — |
| Growth Equity | | — | | 28,066,860 | | — | | — |
| | | Long Derivative Volume |
| Fund | | Forward Foreign
Currency
Contracts | | Financial
Futures
Contracts | | Purchased
Option
Contracts | | Swap
Contracts |
| Small Cap Equity | | $ — | | $13,139,630 | | $ — | | $ — |
| International Equity Index | | — | | 35,084,488 | | — | | — |
| International Equity | | 122,652,186 | | 77,944,608 | | — | | 7,549,317 |
| Emerging Markets Equity | | 121,038,777 | | 30,475,179 | | — | | 24,501,542 |
| Global Real Estate Securities | | — | | 4,635,847 | | — | | — |
| Strategic Alternatives | | 429,758,912 | | 33,699,632 | | 18,122 | | 173,556,270 |
| | | Short Derivative Volume |
| Fund | | Forward Foreign
Currency
Contracts | | Financial
Futures
Contracts | | Written
Option
Contracts | | Swap
Contracts |
| Low-Duration Bond | | $ 22,298,105 | | $ 92,978,862 | | $ 28,581 | | $ 42,340,140 |
| Medium-Duration Bond | | 81,803,567 | | 423,302,514 | | 1,628,368 | | 218,338,657 |
| Global Bond | | 178,581,286 | | 89,887,114 | | — | | 30,772,277 |
| Defensive Market Strategies | | 1,658,914 | | 22,968,417 | | 3,016,292 | | — |
| Value Equity | | 1,692,399 | | — | | — | | — |
| International Equity | | 149,273,996 | | 21,502,547 | | — | | 9,733,503 |
| Emerging Markets Equity | | 131,578,646 | | 9,136,626 | | — | | 5,612,765 |
| Strategic Alternatives | | 434,615,978 | | 52,724,132 | | 1,245,241 | | 196,733,833 |
j. Dividends and Distributions to Shareholders
The Low-Duration Bond Fund, Medium-Duration Bond Fund, Extended-Duration Bond Fund and Global Bond Fund declare and pay dividends from net investment income monthly. The Money Market Fund declares income dividends daily and pays them monthly. The Defensive Market Strategies Fund, Equity Index Fund, Global Real Estate Securities Fund, Value Equity Fund and Growth Equity Fund declare and pay dividends from net investment income semi-annually. Each of the other Funds (including all the Target Date Funds and Target Risk Funds) declares and pays dividends from net investment income annually. Each Fund also distributes to its shareholders at least annually any realized net capital gains and net gains, if any, from certain foreign currency transactions. Dividends and distributions to shareholders are recorded on the ex-dividend date.
k. Expenses
Expenses arising in connection with a Fund are charged directly to that Fund. Expenses common to all Funds are generally allocated to each Fund in proportion to their relative net assets. Each Class of shares bears its pro-rata portion of expenses attributable to its Class, except that each Class separately bears expenses related specifically to that Class, such as shareholder reporting, registration, transfer agent and shareholder servicing fees.
l. Security Transactions, Income and Realized Gains and Losses
Security transactions are accounted for on the date securities are purchased or sold (the trade date). Dividend income is recognized on the ex-dividend date, except certain dividends from foreign securities where the ex-date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Interest income is accrued daily, including the amortization of market premium and the accretion of market discount using the effective interest method. Realized gains and losses from security transactions are on an identified cost basis.
3. FEES AND OTHER TRANSACTIONS
a. Investment Advisory Fees (Affiliate)
Pursuant to a separate investment advisory agreement, GuideStone Capital Management, LLC ("GSCM") acts as the Adviser to the Funds. As the Adviser, it provides an investment program for the Funds and for such services is paid a fee. GSCM and the Trust have entered into sub-advisory agreements with various sub-advisers to manage each Select Fund’s investments. Under the asset allocation and general supervision of GSCM, the sub-advisers make the day-to-day investment decisions for the Select Funds, and for such services, each sub-adviser receives a fee from the Funds. The aggregate advisory fees and sub-adviser fees are included in the Statements of Assets and Liabilities and Statements of Operations under “Investment advisory fees”.
The advisory fees paid to GSCM and aggregate sub-advisory fees paid to the sub-advisers are computed daily based upon the net assets of each Fund. The actual advisory fees accrued and the sub-advisory fees accrued during the six-month period ended June 30, 2020, based upon average daily net assets, were as follows:
| 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% | | 0.18% |
| Medium-Duration Bond | | 0.13% | | 0.19% |
| Extended-Duration Bond | | 0.25% | | 0.20% |
| Global Bond | | 0.25% | | 0.23% |
| Defensive Market Strategies | | 0.33% | | 0.28% |
| Equity Index | | 0.08% | | 0.01% |
| Value Equity | | 0.33% | | 0.25% |
| Growth Equity | | 0.33% | | 0.31% |
| Small Cap Equity | | 0.33% | | 0.57% |
| International Equity Index | | 0.10% | | 0.01% |
| International Equity | | 0.33% | | 0.44% |
| Emerging Markets Equity | | 0.33% | | 0.54% |
| Global Real Estate Securities | | 0.30% | | 0.38% |
| Strategic Alternatives | | 0.40% | | 0.46% |
b. Shareholder Servicing Fees (Affiliate)
The Board of Trustees has adopted a Shareholder Service Plan for the Investor Class of each Fund. Under this Plan, the Investor Class of each Fund was authorized to pay fees of 0.25% of average daily net assets to parties that provide services for and maintain shareholder accounts.
GuideStone Financial Resources (or its affiliate) voluntarily agreed to waive shareholder servicing fees and/or reimburse expenses for the Investor Class of the Money Market Fund to the extent necessary to maintain a minimum daily net yield of at least 0.01%. This voluntary shareholder servicing fee waiver and expense reimbursement may be changed or terminated with the consent of the Board of Trustees at any time.
c. Expense Limitation (Affiliate)
The Equity Index Fund, International Equity Index Fund, and the Emerging Markets Equity Fund have entered into expense cap agreements with GSCM, pursuant to which GSCM has agreed to pay, waive or assume expenses of the Class(es) of the Fund (excluding interest, taxes, brokerage commissions, acquired fund fees and expenses, expenses on securities sold short, and extraordinary expenses) which exceed, in the aggregate, the annual percentage rate of that Class’ average daily net assets as indicated below through April 30, 2020 for the Institutional Class of Equity Index Fund and Emerging Markets Equity Fund and April 30, 2021 for International Equity Index Fund and the Investor Class of Emerging Markets Equity Fund.
The Target Date Funds have entered into an expense cap agreement with GSCM, pursuant to which GSCM has agreed to pay, waive, or assume expenses of the Class(es) of the Fund (excluding extraordinary expenses) which exceed, in the aggregate, the annual percentage rate of that Class’ average daily net assets as indicated below through April 30, 2021.
The Expense Caps were as follows:
| | | For the Period
January 1, 2020
to
April 30, 2020 | | For the Period
May 1, 2020
to
June 30, 2020 |
| 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 | | N/A | | N/A |
| International Equity Index | | 0.22% | | N/A | | 0.22% | | N/A |
| Emerging Markets Equity | | 1.32% | | 1.57% | | N/A | | 1.57% |
Each Fund in turn agreed to reimburse GSCM for any operating expenses in excess of the expense limitation paid, waived or assumed by GSCM for that Fund during the limitation period, provided GSCM would not be entitled to reimbursement for any amount that would cause operating expenses to exceed the expense limitation in place during the year in which (1) GSCM incurred or waived the operating expenses, or (2) during the year in which the reimbursement would be made, whichever is lower, and provided further that no amount will be reimbursed by the respective class of that Fund more than three years after the year in which it was incurred or waived.
For those Funds that had operating expenses in excess of the expense limitation paid, waived or assumed by GSCM during the limitation period, the amounts subject to possible future reimbursement under the expense limitation agreement and the expiration schedule at June 30, 2020 are as follows:
| | | Institutional Class | | Investor Class |
| Fund | | 2020 | | 2021 | | 2022 | | 2023 | | 2020 | | 2021 | | 2022 | | 2023 |
| MyDestination 2015 | | $ — | | $23,338 | | $ 85,750 | | $51,615 | | $ 30,368 | | $106,157 | | $356,439 | | $175,044 |
| MyDestination 2025 | | — | | 34,998 | | 107,568 | | 65,133 | | — | | 139,632 | | 352,126 | | 181,951 |
| MyDestination 2035 | | — | | — | | 2,787 | | — | | — | | 31,324 | | — | | — |
| MyDestination 2045 | | — | | — | | — | | — | | 10,508 | | 26,433 | | — | | — |
| MyDestination 2055 | | 28,120 | | 27,146 | | 22,333 | | 7,173 | | 110,489 | | 90,006 | | 40,211 | | 7,064 |
| Equity Index | | — | | — | | — | | — | | N/A | | N/A | | N/A | | N/A |
| International Equity Index | | — | | — | | 65,639 | | — | | N/A | | N/A | | N/A | | N/A |
| Emerging Markets Equity | | — | | — | | — | | — | | 38,511 | | — | | — | | — |
d. Brokerage Service Arrangements
Subject to best execution, the Adviser directs the sub-advisers to place a certain percentage of security trades with designated brokers who have agreed to pay certain custody, transfer agency or other operating expenses through the use of Brokerage Service Arrangements on behalf of the Funds. These payments can be found on the Statement of Operations under the heading “Fees Paid Indirectly.”
| Fund | | Expenses Paid
Through Brokerage
Service Agreements |
| Value Equity | | $ 6,331 |
| Growth Equity | | 15,912 |
| Small Cap Equity | | 26,593 |
| Emerging Markets Equity | | 89 |
| Global Real Estate Securities | | 7,979 |
e. Administrator, Transfer Agent and Distributor
The Northern Trust Company (“Northern Trust”) provides administrative and accounting services to the Funds. For its services as Administrator, Northern Trust is entitled to receive fees, computed daily and paid monthly, based upon the average daily net assets of each Fund. The fees, excluding out of pocket expenses, range between 0.004% and 0.0225% of average daily net assets. For its services as Transfer Agent, BNY Mellon Investment Servicing (US) Inc. (“BNY Mellon”) receives a fee based mainly upon the number of accounts serviced. Certain minimum fees and transaction charges may apply.
Foreside Funds Distributors LLC serves as the Underwriter and does not receive any fees in its capacity as Underwriter from GuideStone Funds. The fees are paid by GSCM.
f. Investments in Affiliates
The Target Date and Target Risk Funds do not invest in the underlying Select Funds for the purpose of exercising management or control; however, investments made by each Target Date and Target Risk Fund within each of its principal investment strategies may represent a significant portion of an underlying Select Fund’s net assets. At June 30, 2020, the Target Date and Target Risk Funds were the owners of record of the following approximate percentages of the total outstanding shares of the underlying Select Funds as detailed below:
| Fund | | | | MyDestination
2015 Fund | | MyDestination
2025 Fund | | MyDestination
2035 Fund | | MyDestination
2045 Fund | | MyDestination
2055 Fund |
| Money Market | | | | 0.67% | | 1.37% | | 1.40% | | 0.95% | | 0.32% |
| Low-Duration Bond | | | | 10.19 | | 9.18 | | — | | — | | — |
| Medium-Duration Bond | | | | 9.09 | | 19.47 | | 9.45 | | 3.30 | | 0.74 |
| Global Bond | | | | 11.17 | | 18.74 | | 7.27 | | 2.57 | | 0.58 |
| Defensive Market Strategies | | | | 5.67 | | 13.14 | | 5.00 | | 2.91 | | 1.00 |
| Equity Index | | | | 5.06 | | 15.49 | | 16.21 | | 14.80 | | 5.32 |
| Small Cap Equity | | | | 1.95 | | 6.06 | | 6.68 | | 5.76 | | 2.07 |
| International Equity Index | | | | 8.54 | | 26.28 | | 27.79 | | 24.78 | | 8.90 |
| Emerging Markets Equity | | | | 3.58 | | 10.93 | | 11.50 | | 10.46 | | 3.76 |
| Global Real Estate Securities | | | | 2.16 | | 6.08 | | 5.88 | | 5.56 | | 1.99 |
| Strategic Alternatives | | | | 8.55 | | 10.40 | | — | | — | | — |
| Fund | | | | Conservative
Allocation Fund | | Balanced
Allocation Fund | | Growth
Allocation Fund | | Aggressive
Allocation Fund |
| Money Market | | | | 0.47% | | 1.95% | | 1.98% | | 1.25% |
| Low-Duration Bond | | | | 24.41 | | 9.45 | | 3.14 | | — |
| Medium-Duration Bond | | | | 3.49 | | 19.27 | | 6.53 | | — |
| Fund | | | | Conservative
Allocation Fund | | Balanced
Allocation Fund | | Growth
Allocation Fund | | Aggressive
Allocation Fund |
| Extended-Duration Bond | | | | —% | | 22.74% | | 7.87% | | —% |
| Global Bond | | | | 2.83 | | 22.39 | | 7.19 | | — |
| Defensive Market Strategies | | | | 3.14 | | 13.33 | | 4.56 | | — |
| Value Equity | | | | 2.76 | | 15.14 | | 20.26 | | 24.01 |
| Growth Equity | | | | 1.78 | | 9.96 | | 12.98 | | 15.08 |
| Small Cap Equity | | | | 0.54 | | 5.49 | | 8.27 | | 9.84 |
| International Equity | | | | 2.77 | | 15.29 | | 20.43 | | 24.31 |
| Emerging Markets Equity | | | | 1.91 | | 10.87 | | 14.53 | | 17.27 |
| Global Real Estate Securities | | | | 2.49 | | 12.72 | | 14.21 | | — |
| Strategic Alternatives | | | | 6.74 | | 16.28 | | 7.91 | | — |
A summary of the Funds' total long-term and short-term purchases and sales of the shares of the underlying Select Funds during the six-month period ended June 30, 2020, is as follows (amounts in thousands):
| | Total Value
at
12/31/19 | | Purchases | | Sales Proceeds | | Net Realized
Gains/(Losses) | | Change in
Unrealized
Appreciation/
(Depreciation) | | Total Value
at
6/30/20 | | Dividend
Income | | Distributions
of Realized
Gains |
| MyDestination 2015 | | | | | | | | | | | | | | | |
| Money Market | $ 7,928 | | $ 43,838 | | $ 41,563 | | $ — | | $ — | | $ 10,203 | | $ 36 | | $ — |
| Low-Duration Bond | 101,492 | | 13,449 | | 15,400 | | (78) | | 1,262 | | 100,725 | | 870 | | — |
| Medium-Duration Bond | 168,838 | | 8,418 | | 17,250 | | 346 | | 7,656 | | 168,008 | | 1,918 | | — |
| Global Bond | 67,577 | | 833 | | 1,000 | | (9) | | (1,676) | | 65,725 | | 84 | | 449 |
| Defensive Market Strategies | 73,293 | | 1,787 | | 3,250 | | 375 | | (3,925) | | 68,280 | | 465 | | 322 |
| Equity Index | 113,490 | | 14,680 | | 17,080 | | 1,428 | | (5,980) | | 106,538 | | 881 | | 299 |
| Small Cap Equity | 11,423 | | 1,600 | | 1,000 | | (770) | | (739) | | 10,514 | | — | | — |
| International Equity Index | 64,455 | | 8,000 | | 7,600 | | (708) | | (6,665) | | 57,482 | | — | | — |
| Emerging Markets Equity | 20,054 | | 2,600 | | 1,100 | | 48 | | (1,334) | | 20,268 | | — | | — |
| Global Real Estate Securities | 5,771 | | 105 | | — | | — | | (1,098) | | 4,778 | | 65 | | 40 |
| Strategic Alternatives | 31,789 | | 1,000 | | 500 | | 4 | | (1,124) | | 31,169 | | — | | — |
| | $ 666,110 | | $ 96,310 | | $105,743 | | $ 636 | | $(13,623) | | $ 643,690 | | $4,319 | | $1,110 |
| MyDestination 2025 | | | | | | | | | | | | | | | |
| Money Market | $ 23,192 | | $ 83,374 | | $ 85,553 | | $ — | | $ — | | $ 21,013 | | $ 93 | | $ — |
| Low-Duration Bond | 80,258 | | 16,129 | | 6,650 | | (42) | | 1,023 | | 90,718 | | 758 | | — |
| Medium-Duration Bond | 358,573 | | 27,120 | | 43,000 | | 1,230 | | 15,992 | | 359,915 | | 4,120 | | — |
| Global Bond | 109,204 | | 6,887 | | 3,000 | | (4) | | (2,780) | | 110,307 | | 140 | | 747 |
| Defensive Market Strategies | 156,262 | | 10,423 | | — | | — | | (8,377) | | 158,308 | | 1,078 | | 746 |
| Equity Index | 343,997 | | 30,531 | | 35,000 | | 9,669 | | (23,252) | | 325,945 | | 2,748 | | 934 |
| Small Cap Equity | 34,241 | | 2,050 | | — | | — | | (3,581) | | 32,710 | | — | | — |
| International Equity Index | 193,149 | | 26,900 | | 21,700 | | (2,223) | | (19,215) | | 176,911 | | — | | — |
| Emerging Markets Equity | 57,681 | | 8,600 | | — | | — | | (4,311) | | 61,970 | | — | | — |
| Global Real Estate Securities | 15,837 | | 695 | | — | | — | | (3,076) | | 13,456 | | 184 | | 112 |
| Strategic Alternatives | 36,524 | | 2,701 | | — | | — | | (1,294) | | 37,931 | | — | | — |
| | $1,408,918 | | $215,410 | | $194,903 | | $ 8,630 | | $(48,871) | | $1,389,184 | | $9,121 | | $2,539 |
| | Total Value
at
12/31/19 | | Purchases | | Sales Proceeds | | Net Realized
Gains/(Losses) | | Change in
Unrealized
Appreciation/
(Depreciation) | | Total Value
at
6/30/20 | | Dividend
Income | | Distributions
of Realized
Gains |
| MyDestination 2035 | | | | | | | | | | | | | | | |
| Money Market | $ 23,191 | | $ 57,519 | | $ 59,232 | | $ — | | $ — | | $ 21,478 | | $ 84 | | $ — |
| Medium-Duration Bond | 165,821 | | 21,659 | | 21,179 | | 805 | | 7,457 | | 174,563 | | 1,959 | | — |
| Global Bond | 41,450 | | 4,030 | | 1,706 | | (3) | | (994) | | 42,777 | | 52 | | 279 |
| Defensive Market Strategies | 55,874 | | 7,195 | | — | | — | | (2,866) | | 60,203 | | 389 | | 269 |
| Equity Index | 344,040 | | 26,454 | | 15,417 | | 3,654 | | (17,505) | | 341,226 | | 2,877 | | 977 |
| Small Cap Equity | 33,726 | | 5,611 | | — | | — | | (3,285) | | 36,052 | | — | | — |
| International Equity Index | 195,856 | | 24,254 | | 11,900 | | (457) | | (20,685) | | 187,068 | | — | | — |
| Emerging Markets Equity | 57,631 | | 11,757 | | — | | — | | (4,212) | | 65,176 | | — | | — |
| Global Real Estate Securities | 13,993 | | 1,673 | | — | | — | | (2,665) | | 13,001 | | 178 | | 108 |
| | $ 931,582 | | $160,152 | | $109,434 | | $ 3,999 | | $(44,755) | | $ 941,544 | | $5,539 | | $1,633 |
| MyDestination 2045 | | | | | | | | | | | | | | | |
| Money Market | $ 17,536 | | $ 42,536 | | $ 45,519 | | $ — | | $ — | | $ 14,553 | | $ 62 | | $ — |
| Medium-Duration Bond | 57,282 | | 7,663 | | 6,910 | | 276 | | 2,618 | | 60,929 | | 678 | | — |
| Global Bond | 14,340 | | 1,341 | | 198 | | 1 | | (363) | | 15,121 | | 18 | | 98 |
| Defensive Market Strategies | 34,431 | | 2,711 | | 278 | | 7 | | (1,853) | | 35,018 | | 231 | | 160 |
| Equity Index | 310,665 | | 20,873 | | 7,539 | | 1,665 | | (14,162) | | 311,502 | | 2,604 | | 885 |
| Small Cap Equity | 30,688 | | 4,141 | | 823 | | (286) | | (2,645) | | 31,075 | | — | | — |
| International Equity Index | 176,653 | | 20,547 | | 12,078 | | (413) | | (17,867) | | 166,842 | | — | | — |
| Emerging Markets Equity | 49,817 | | 13,008 | | 131 | | 9 | | (3,425) | | 59,278 | | — | | — |
| Global Real Estate Securities | 12,338 | | 2,487 | | 277 | | (4) | | (2,255) | | 12,289 | | 165 | | 100 |
| | $ 703,750 | | $115,307 | | $ 73,753 | | $ 1,255 | | $(39,952) | | $ 706,607 | | $3,758 | | $1,243 |
| MyDestination 2055 | | | | | | | | | | | | | | | |
| Money Market | $ 5,503 | | $ 33,207 | | $ 33,826 | | $ — | | $ — | | $ 4,884 | | $ 21 | | $ — |
| Medium-Duration Bond | 12,056 | | 4,989 | | 4,028 | | 221 | | 402 | | 13,640 | | 146 | | — |
| Global Bond | 3,018 | | 1,234 | | 812 | | (17) | | (38) | | 3,385 | | 4 | | 18 |
| Defensive Market Strategies | 10,851 | | 2,521 | | 742 | | (38) | | (557) | | 12,035 | | 81 | | 56 |
| Equity Index | 101,682 | | 18,082 | | 3,687 | | 754 | | (4,914) | | 111,917 | | 929 | | 316 |
| Small Cap Equity | 10,044 | | 3,226 | | 1,127 | | (418) | | (571) | | 11,154 | | — | | — |
| International Equity Index | 57,819 | | 14,873 | | 6,575 | | (711) | | (5,458) | | 59,948 | | — | | — |
| Emerging Markets Equity | 16,306 | | 6,791 | | 778 | | 176 | | (1,196) | | 21,299 | | — | | — |
| Global Real Estate Securities | 4,030 | | 1,576 | | 449 | | (4) | | (742) | | 4,411 | | 58 | | 35 |
| | $ 221,309 | | $ 86,499 | | $ 52,024 | | $ (37) | | $(13,074) | | $ 242,673 | | $1,239 | | $ 425 |
| | Total Value
at
12/31/19 | | Purchases | | Sales Proceeds | | Net Realized
Gains/(Losses) | | Change in
Unrealized
Appreciation/
(Depreciation) | | Total Value
at
6/30/20 | | Dividend
Income | | Distributions
of Realized
Gains |
| Conservative Allocation | | | | | | | | | | | | | | | |
| Money Market | $ 7,508 | | $ 40,265 | | $ 40,603 | | $ — | | $ — | | $ 7,170 | | $ 26 | | $ — |
| Low-Duration Bond | 253,148 | | 6,739 | | 21,495 | | (8) | | 2,906 | | 241,290 | | 2,175 | | — |
| Medium-Duration Bond | 67,538 | | 819 | | 7,064 | | 156 | | 3,046 | | 64,495 | | 769 | | — |
| Global Bond | 16,919 | | 482 | | 340 | | (1) | | (387) | | 16,673 | | 21 | | 114 |
| Defensive Market Strategies | 39,041 | | 3,736 | | 2,910 | | 161 | | (2,208) | | 37,820 | | 257 | | 178 |
| Value Equity | 30,317 | | 5,680 | | 1,632 | | (689) | | (4,603) | | 29,073 | | 262 | | 429 |
| Growth Equity | 30,387 | | 5,261 | | 7,137 | | 1,419 | | 1,064 | | 30,994 | | 49 | | 492 |
| Small Cap Equity | 5,968 | | 1,793 | | 3,076 | | (2,034) | | 238 | | 2,889 | | — | | — |
| International Equity | 34,607 | | 7,551 | | 6,411 | | (2,099) | | (1,901) | | 31,747 | | — | | — |
| Emerging Markets Equity | 9,811 | | 2,001 | | 373 | | 22 | | (614) | | 10,847 | | — | | — |
| Global Real Estate Securities | 6,342 | | 772 | | 388 | | 1 | | (1,217) | | 5,510 | | 75 | | 46 |
| Strategic Alternatives | 25,945 | | 112 | | 556 | | (24) | | (888) | | 24,589 | | — | | — |
| | $ 527,531 | | $ 75,211 | | $ 91,985 | | $ (3,096) | | $ (4,564) | | $ 503,097 | | $3,634 | | $1,259 |
| Balanced Allocation | | | | | | | | | | | | | | | |
| Money Market | $ 32,553 | | $ 58,353 | | $ 60,985 | | $ — | | $ — | | $ 29,921 | | $ 128 | | $ — |
| Low-Duration Bond | 100,938 | | 3,864 | | 12,500 | | (8) | | 1,148 | | 93,442 | | 864 | | — |
| Medium-Duration Bond | 373,501 | | 16,091 | | 51,190 | | 1,235 | | 16,560 | | 356,197 | | 4,191 | | — |
| Extended-Duration Bond | 67,709 | | 7,028 | | 14,520 | | (773) | | 5,324 | | 64,768 | | — | | 288 |
| Global Bond | 137,204 | | 2,080 | | 4,000 | | (148) | | (3,344) | | 131,792 | | 171 | | — |
| Defensive Market Strategies | 166,321 | | 4,449 | | 1,900 | | 244 | | (8,576) | | 160,538 | | — | | 757 |
| Value Equity | 173,338 | | 29,546 | | 13,000 | | (7,659) | | (22,828) | | 159,397 | | — | | 2,352 |
| Growth Equity | 178,384 | | 10,615 | | 29,250 | | (4) | | 13,284 | | 173,029 | | — | | 2,746 |
| Small Cap Equity | 34,666 | | 4,040 | | 4,000 | | (3,352) | | (1,696) | | 29,658 | | — | | — |
| International Equity | 198,435 | | 14,005 | | 12,000 | | (4,095) | | (21,147) | | 175,198 | | — | | — |
| Emerging Markets Equity | 57,342 | | 9,500 | | 1,000 | | 58 | | (4,274) | | 61,626 | | — | | — |
| Global Real Estate Securities | 32,989 | | 1,569 | | — | | — | | (6,424) | | 28,134 | | 385 | | 909 |
| Strategic Alternatives | 61,490 | | 2,000 | | 1,900 | | (92) | | (2,118) | | 59,380 | | — | | 233 |
| | $1,614,870 | | $163,140 | | $206,245 | | $(14,594) | | $(34,091) | | $1,523,080 | | $5,739 | | $7,285 |
| | Total Value
at
12/31/19 | | Purchases | | Sales Proceeds | | Net Realized
Gains/(Losses) | | Change in
Unrealized
Appreciation/
(Depreciation) | | Total Value
at
6/30/20 | | Dividend
Income | | Distributions
of Realized
Gains |
| Growth Allocation | | | | | | | | | | | | | | | |
| Money Market | $ 24,106 | | $ 73,964 | | $ 67,813 | | $ — | | $ — | | $ 30,257 | | $ 110 | | $ — |
| Low-Duration Bond | 34,812 | | 1,928 | | 6,000 | | (40) | | 390 | | 31,090 | | 294 | | — |
| Medium-Duration Bond | 127,032 | | 13,192 | | 25,700 | | 709 | | 5,452 | | 120,685 | | 1,437 | | — |
| Extended-Duration Bond | 23,027 | | 5,220 | | 7,466 | | (242) | | 1,876 | | 22,415 | | 252 | | 96 |
| Global Bond | 46,303 | | 2,199 | | 4,900 | | (212) | | (1,046) | | 42,344 | | 60 | | 304 |
| Defensive Market Strategies | 57,242 | | 1,223 | | 500 | | 9 | | (3,074) | | 54,900 | | 374 | | 259 |
| Value Equity | 235,802 | | 24,493 | | 6,000 | | (2,364) | | (38,662) | | 213,269 | | 1,882 | | 3,087 |
| Growth Equity | 237,349 | | 4,774 | | 32,099 | | (1,616) | | 17,065 | | 225,473 | | 358 | | 3,578 |
| Small Cap Equity | 46,542 | | 3,850 | | 1,000 | | (304) | | (4,461) | | 44,627 | | — | | — |
| International Equity | 270,756 | | 13,099 | | 16,000 | | (4,662) | | (29,176) | | 234,017 | | — | | — |
| Emerging Markets Equity | 76,979 | | 12,050 | | 1,042 | | 55 | | (5,654) | | 82,388 | | — | | — |
| Global Real Estate Securities | 37,573 | | 1,813 | | 750 | | (6) | | (7,200) | | 31,430 | | 430 | | 260 |
| Strategic Alternatives | 28,937 | | 1,951 | | 1,000 | | (11) | | (1,032) | | 28,845 | | — | | — |
| | $1,246,460 | | $159,756 | | $170,270 | | $ (8,684) | | $(65,522) | | $1,161,740 | | $5,197 | | $7,584 |
| Aggressive Allocation | | | | | | | | | | | | | | | |
| Money Market | $ 18,929 | | $ 45,614 | | $ 45,333 | | $ — | | $ — | | $ 19,210 | | $ 76 | | $ — |
| Value Equity | 287,664 | | 15,504 | | 1,063 | | (500) | | (48,821) | | 252,784 | | 2,274 | | 3,730 |
| Growth Equity | 292,984 | | 4,574 | | 54,050 | | (1,456) | | 20,004 | | 262,056 | | 416 | | 4,158 |
| Small Cap Equity | 57,440 | | 2,000 | | 811 | | (229) | | (5,279) | | 53,121 | | — | | — |
| International Equity | 328,298 | | 12,000 | | 21,000 | | (5,970) | | (34,831) | | 278,497 | | — | | — |
| Emerging Markets Equity | 94,172 | | 15,000 | | 3,828 | | (567) | | (6,887) | | 97,890 | | — | | — |
| | $1,079,487 | | $ 94,692 | | $126,085 | | $ (8,722) | | $(75,814) | | $ 963,558 | | $2,766 | | $7,888 |
| Low-Duration Bond | | | | | | | | | | | | | | | |
| Money Market | $ 21,272 | | $335,362 | | $324,103 | | $ — | | $ — | | $ 32,531 | | $ 103 | | $ — |
| Medium-Duration Bond | | | | | | | | | | | | | | | |
| Money Market | $ 56,397 | | $820,379 | | $768,666 | | $ — | | $ — | | $ 108,110 | | $ 287 | | $ — |
| Extended-Duration Bond | | | | | | | | | | | | | | | |
| Money Market | $ 7,809 | | $165,287 | | $158,858 | | $ — | | $ — | | $ 14,238 | | $ 46 | | $ — |
| Global Bond | | | | | | | | | | | | | | | |
| Money Market | $ 28,765 | | $145,572 | | $135,053 | | $ — | | $ — | | $ 39,284 | | $ 121 | | $ — |
| Defensive Market Strategies | | | | | | | | | | | | | | | |
| Money Market | $ 68,295 | | $257,789 | | $263,326 | | $ — | | $ — | | $ 62,758 | | $ 284 | | $ — |
| Equity Index | | | | | | | | | | | | | | | |
| Money Market | $ 53,884 | | $215,475 | | $199,331 | | $ — | | $ — | | $ 70,028 | | $ 227 | | $ — |
| Value Equity | | | | | | | | | | | | | | | |
| Money Market | $ 28,845 | | $398,256 | | $383,251 | | $ — | | $ — | | $ 43,850 | | $ 167 | | $ — |
| Growth Equity | | | | | | | | | | | | | | | |
| Money Market | $ 52,530 | | $606,789 | | $602,566 | | $ — | | $ — | | $ 56,753 | | $ 207 | | $ — |
| | Total Value
at
12/31/19 | | Purchases | | Sales Proceeds | | Net Realized
Gains/(Losses) | | Change in
Unrealized
Appreciation/
(Depreciation) | | Total Value
at
6/30/20 | | Dividend
Income | | Distributions
of Realized
Gains |
| Small Cap Equity | | | | | | | | | | | | | | | |
| Money Market | $ 14,895 | | $140,898 | | $124,485 | | $ — | | $ — | | $ 31,308 | | $ 83 | | $ — |
| International Equity Index | | | | | | | | | | | | | | | |
| Money Market | $ 30,770 | | $256,581 | | $268,958 | | $ — | | $ — | | $ 18,393 | | $ 152 | | $ — |
| International Equity | | | | | | | | | | | | | | | |
| Money Market | $ 56,058 | | $469,709 | | $453,325 | | $ — | | $ — | | $ 72,442 | | $ 248 | | $ — |
| Emerging Markets Equity | | | | | | | | | | | | | | | |
| Money Market | $ 14,969 | | $135,029 | | $128,645 | | $ — | | $ — | | $ 21,353 | | $ 64 | | $ — |
| Global Real Estate Securities | | | | | | | | | | | | | | | |
| Money Market | $ 7,061 | | $ 50,127 | | $ 50,531 | | $ — | | $ — | | $ 6,657 | | $ 29 | | $ — |
| Strategic Alternatives | | | | | | | | | | | | | | | |
| Money Market | $ 48,154 | | $139,460 | | $137,175 | | $ — | | $ — | | $ 50,439 | | $ 209 | | $ — |
4. SECURITIES LENDING
Through an agreement with Northern Trust (the Funds’ custodian, administrator and fund accountant) the Select Funds may lend portfolio securities to certain brokers, dealers and other financial institutions that pay the Select Funds a negotiated fee. When loaning securities, the Select Funds retain the benefits of owning the securities, including the economic equivalent of dividends or interest generated by the security. The Select Funds also have the ability to terminate the loans at any time and can do so in order to vote proxies or sell the securities. The Select Funds receive cash or U.S. government securities, such as U.S. Treasury Bills and U.S. Treasury Notes, as collateral against the loaned securities in an amount at least equal to the market value of the loaned securities. The adequacy of the collateral is monitored on a daily basis and the market value of the securities loaned is determined at the close of each business day. However, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. Cash collateral has been invested in a short-term government money market fund managed by an affiliate of Northern Trust, which invests 99.5% or more of its total assets in U.S. government securities. This investment is presented on the Funds’ Schedules of Investments. The Funds do not have control of non-cash securities lending collateral, as such, this amount is not presented on the Funds’ Schedules of Investments.
Securities lending transactions are entered into by the Funds under a Securities Lending Authorization Agreement which permits the Funds, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts payable by the Fund to the same counterparty against amounts to be received and create one single net payment due to or from the Fund. Securities lending transactions pose certain risks to the Funds. There is a risk that a borrower may default on its obligations to return loaned securities. A Fund will be responsible for the risks associated with the investment of cash collateral, including any collateral invested in an unaffiliated or affiliated money market fund. A Fund may lose money on its investment of cash collateral or may fail to earn sufficient income on its investment to meet obligations to the borrower. In addition, delays may occur in the recovery of securities from borrowers, which could interfere with a Fund’s ability to vote proxies or to settle transactions.
At June 30, 2020, the market values of loaned securities and collateral received were as follows:
| Fund | | Value of
Securities Loaned | | Value of
Non-cash
Collateral | | Value of
Cash
Collateral | | Total
Value of
Collateral * |
| Low-Duration Bond | | $ 64,248,308 | | $ 59,586,523 | | $ 6,123,675 | | $ 65,710,198 |
| Medium-Duration Bond | | 105,268,187 | | 95,715,997 | | 11,871,155 | | 107,587,152 |
| Extended-Duration Bond | | 35,547,117 | | 35,140,329 | | 1,177,971 | | 36,318,300 |
| Global Bond | | 58,625,661 | | 47,087,816 | | 13,104,295 | | 60,192,111 |
| Defensive Market Strategies | | 50,519,523 | | 16,215,098 | | 35,669,941 | | 51,885,039 |
| Equity Index | | 50,987,760 | | 47,810,228 | | 4,262,211 | | 52,072,439 |
| Value Equity | | 8,052,712 | | 1,093,282 | | 7,181,521 | | 8,274,803 |
| Growth Equity | | 135,710,430 | | 127,022,929 | | 11,621,953 | | 138,644,882 |
| Small Cap Equity | | 56,559,508 | | 41,655,814 | | 16,503,541 | | 58,159,355 |
| International Equity Index | | 31,001,437 | | 14,973,558 | | 18,029,669 | | 33,003,227 |
| International Equity | | 22,036,899 | | 14,128,427 | | 8,859,040 | | 22,987,467 |
| Emerging Markets Equity | | 6,758,615 | | 6,642,360 | | 1,104,610 | | 7,746,970 |
| Global Real Estate Securities | | 10,480,026 | | 10,963,476 | | — | | 10,963,476 |
*As of the end of the reporting period, the value of the collateral pledged from the counterparty exceeded the value of the securities out on loan resulting in a net amount of $0. Refer to the Fund’s Schedule of Investments for details on the securities out on loan.
The Funds’ securities lending transactions are accounted for as secured borrowings and have an overnight and continuous contractual maturity. The gross amounts of recognized liabilities for securities lending transactions outstanding as of June 30, 2020, are disclosed as “Collateral held for securities on loan, at value” on the Statements of Assets and Liabilities, where applicable.
5. INVESTMENT TRANSACTIONS
For the six-month period ended June 30, 2020, the cost of purchases and proceeds from sales and maturities for each Fund were as follows:
| | | Cost of Purchases and
Proceeds from Sales and Maturities
of Long-Term Securities
(other than U.S. Government Obligations) | | Cost of Purchases and
Proceeds from Sales and Maturities
of Long-Term U.S Government Obligations |
| Fund | | Purchases | | Sale and Maturity
Proceeds | | Purchases | | Sale and Maturity
Proceeds |
| MyDestination 2015 | | $ 52,473,023 | | $ 64,180,000 | | $ — | | $ — |
| MyDestination 2025 | | 132,037,655 | | 109,350,000 | | — | | — |
| MyDestination 2035 | | 102,633,763 | | 50,200,762 | | — | | — |
| MyDestination 2045 | | 72,770,926 | | 29,549,281 | | — | | — |
| MyDestination 2055 | | 53,292,230 | | 18,266,705 | | — | | — |
| Conservative Allocation | | 34,947,767 | | 51,383,076 | | — | | — |
| Balanced Allocation | | 104,787,039 | | 145,260,000 | | — | | — |
| Growth Allocation | | 85,792,560 | | 102,454,906 | | — | | — |
| Aggressive Allocation | | 49,078,006 | | 80,750,000 | | — | | — |
| Money Market | | — | | — | | — | | — |
| | | 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 |
| Low-Duration Bond | | $ 228,930,064 | | $ 207,524,352 | | $1,164,542,878 | | $1,229,328,346 |
| Medium-Duration Bond | | 365,193,836 | | 260,418,548 | | 4,606,177,463 | | 4,806,646,997 |
| Extended-Duration Bond | | 64,772,770 | | 18,133,841 | | 55,817,058 | | 95,869,918 |
| Global Bond | | 89,306,407 | | 77,449,792 | | 134,246,787 | | 133,915,380 |
| Defensive Market Strategies | | 420,861,068 | | 423,775,926 | | — | | — |
| Equity Index | | 29,228,776 | | 1,953,496 | | — | | — |
| Value Equity | | 1,168,312,025 | | 1,145,713,993 | | — | | — |
| Growth Equity | | 616,503,413 | | 734,933,338 | | — | | — |
| Small Cap Equity | | 312,634,826 | | 319,264,290 | | — | | — |
| International Equity Index | | 97,111,513 | | 45,151,073 | | — | | — |
| International Equity | | 533,283,635 | | 550,641,258 | | — | | — |
| Emerging Markets Equity | | 239,290,453 | | 173,478,761 | | — | | — |
| Global Real Estate Securities | | 208,304,475 | | 199,859,347 | | — | | — |
| Strategic Alternatives | | 322,568,769 | | 342,226,806 | | 114,803,647 | | 98,456,511 |
6. CAPITAL SHARE TRANSACTIONS
Transactions in shares of capital stock were as follows:
| | Six Months Ended 6/30/20 | | Year Ended 12/31/19 |
| Fund | | Institutional
Class | | Investor
Class | | Institutional
Class | | Investor
Class |
| MyDestination 2015 | | | | | | | | |
| Shares sold | | 1,771,989 | | 3,066,302 | | 5,158,213 | | 4,844,500 |
| Shares reinvested | | — | | — | | 559,684 | | 1,952,980 |
| Shares redeemed | | (1,533,522) | | (4,973,657) | | (3,068,691) | | (9,086,967) |
| Net increase (decrease) | | 238,467 | | (1,907,355) | | 2,649,206 | | (2,289,487) |
| MyDestination 2025 | | | | | | | | |
| Shares sold | | 5,781,227 | | 5,125,693 | | 10,994,862 | | 10,950,754 |
| Shares reinvested | | — | | — | | 1,334,327 | | 3,668,881 |
| Shares redeemed | | (3,004,120) | | (7,221,360) | | (4,977,012) | | (11,030,457) |
| Net increase (decrease) | | 2,777,107 | | (2,095,667) | | 7,352,177 | | 3,589,178 |
| MyDestination 2035 | | | | | | | | |
| Shares sold | | 5,078,073 | | 3,949,557 | | 8,627,301 | | 9,078,117 |
| Shares reinvested | | — | | — | | 915,016 | | 2,121,864 |
| Shares redeemed | | (1,460,761) | | (2,778,030) | | (3,590,511) | | (5,865,794) |
| Net increase (decrease) | | 3,617,312 | | 1,171,527 | | 5,951,806 | | 5,334,187 |
| MyDestination 2045 | | | | | | | | |
| Shares sold | | 4,104,966 | | 3,013,009 | | 6,343,932 | | 6,961,249 |
| Shares reinvested | | — | | (8) | | 810,936 | | 1,540,878 |
| Shares redeemed | | (960,862) | | (1,720,974) | | (3,384,656) | | (4,302,572) |
| Net increase (decrease) | | 3,144,104 | | 1,292,027 | | 3,770,212 | | 4,199,555 |
| | Six Months Ended 6/30/20 | | Year Ended 12/31/19 |
| Fund | | Institutional
Class | | Investor
Class | | Institutional
Class | | Investor
Class |
| MyDestination 2055 | | | | | | | | |
| Shares sold | | 1,968,672 | | 1,687,615 | | 2,254,239 | | 2,980,112 |
| Shares reinvested | | — | | (8) | | 231,456 | | 410,459 |
| Shares redeemed | | (312,344) | | (686,777) | | (1,614,674) | | (1,187,683) |
| Net increase (decrease) | | 1,656,328 | | 1,000,830 | | 871,021 | | 2,202,888 |
| Conservative Allocation | | | | | | | | |
| Shares sold | | 1,832,552 | | 2,423,849 | | 2,236,774 | | 4,113,153 |
| Shares reinvested | | — | | — | | 436,752 | | 1,552,451 |
| Shares redeemed | | (925,341) | | (5,195,685) | | (1,024,764) | | (6,872,227) |
| Net increase (decrease) | | 907,211 | | (2,771,836) | | 1,648,762 | | (1,206,623) |
| Balanced Allocation | | | | | | | | |
| Shares sold | | 4,385,766 | | 2,038,829 | | 6,029,393 | | 4,653,123 |
| Shares reinvested | | — | | (2) | | 1,971,376 | | 6,248,266 |
| Shares redeemed | | (1,992,255) | | (9,659,823) | | (3,789,186) | | (14,563,358) |
| Net increase (decrease) | | 2,393,511 | | (7,620,996) | | 4,211,583 | | (3,661,969) |
| Growth Allocation | | | | | | | | |
| Shares sold | | 5,669,817 | | 1,577,119 | | 3,334,747 | | 3,143,548 |
| Shares reinvested | | — | | (8) | | 2,260,314 | | 6,601,445 |
| Shares redeemed | | (1,838,490) | | (7,601,219) | | (2,451,859) | | (11,164,910) |
| Net increase (decrease) | | 3,831,327 | | (6,024,108) | | 3,143,202 | | (1,419,917) |
| Aggressive Allocation | | | | | | | | |
| Shares sold | | 2,685,195 | | 1,266,204 | | 3,720,629 | | 2,481,588 |
| Shares reinvested | | — | | (2) | | 2,225,911 | | 7,719,037 |
| Shares redeemed | | (1,313,458) | | (6,391,507) | | (1,717,716) | | (10,063,469) |
| Net increase (decrease) | | 1,371,737 | | (5,125,305) | | 4,228,824 | | 137,156 |
| Money Market | | | | | | | | |
| Shares sold | | 3,490,437,438 | | 350,134,954 | | 4,301,371,523 | | 372,222,653 |
| Shares reinvested | | 902,142 | | 1,146,594 | | 4,362,064 | | 7,235,378 |
| Shares redeemed | | (3,309,708,062) | | (297,231,339) | | (4,243,079,202) | | (395,729,389) |
| Net increase (decrease) | | 181,631,518 | | 54,050,209 | | 62,654,385 | | (16,271,358) |
| Low-Duration Bond | | | | | | | | |
| Shares sold | | 5,368,744 | | 3,311,449 | | 12,551,013 | | 2,530,141 |
| Shares reinvested | | 490,896 | | 133,227 | | 1,315,187 | | 408,076 |
| Shares redeemed | | (7,361,910) | | (3,274,621) | | (2,665,469) | | (8,680,164) |
| Net increase (decrease) | | (1,502,270) | | 170,055 | | 11,200,731 | | (5,741,947) |
| Medium-Duration Bond | | | | | | | | |
| Shares sold | | 8,040,735 | | 5,328,566 | | 13,540,278 | | 4,682,843 |
| Shares reinvested | | 1,109,432 | | 222,616 | | 3,796,051 | | 738,258 |
| Shares redeemed | | (12,777,741) | | (3,388,468) | | (6,207,432) | | (3,889,971) |
| Net increase (decrease) | | (3,627,574) | | 2,162,714 | | 11,128,897 | | 1,531,130 |
| | Six Months Ended 6/30/20 | | Year Ended 12/31/19 |
| Fund | | Institutional
Class | | Investor
Class | | Institutional
Class | | Investor
Class |
| Extended-Duration Bond | | | | | | | | |
| Shares sold | | 1,371,648 | | 3,025,665 | | 1,144,874 | | 2,164,773 |
| Shares reinvested | | 111,372 | | 119,541 | | 273,186 | | 268,885 |
| Shares redeemed | | (1,617,413) | | (2,449,725) | | (869,183) | | (2,073,902) |
| Net increase (decrease) | | (134,393) | | 695,481 | | 548,877 | | 359,756 |
| Global Bond | | | | | | | | |
| Shares sold | | 2,384,980 | | 1,813,590 | | 7,165,911 | | 3,993,143 |
| Shares reinvested | | 436,758 | | 103,536 | | 1,668,672 | | 370,923 |
| Shares redeemed | | (2,253,365) | | (3,099,946) | | (4,101,504) | | (4,325,191) |
| Net increase (decrease) | | 568,373 | | (1,182,820) | | 4,733,079 | | 38,875 |
| Defensive Market Strategies | | | | | | | | |
| Shares sold | | 5,991,280 | | 5,712,017 | | 5,887,780 | | 10,224,002 |
| Shares reinvested | | 740,462 | | 315,711 | | 3,346,366 | | 1,808,567 |
| Shares redeemed | | (2,820,688) | | (9,190,670) | | (4,354,794) | | (8,025,323) |
| Net increase (decrease) | | 3,911,054 | | (3,162,942) | | 4,879,352 | | 4,007,246 |
| Equity Index | | | | | | | | |
| Shares sold | | 4,333,488 | | 2,228,509 | | 5,273,559 | | 2,798,001 |
| Shares reinvested | | 484,312 | | 182,076 | | 950,842 | | 376,640 |
| Shares redeemed | | (3,210,952) | | (2,348,076) | | (4,085,318) | | (3,070,984) |
| Net increase (decrease) | | 1,606,848 | | 62,509 | | 2,139,083 | | 103,657 |
| Value Equity | | | | | | | | |
| Shares sold | | 4,826,674 | | 1,049,074 | | 1,776,842 | | 1,533,095 |
| Shares reinvested | | 1,118,804 | | 427,101 | | 4,805,181 | | 2,153,966 |
| Shares redeemed | | (1,931,878) | | (2,492,064) | | (4,726,326) | | (3,533,365) |
| Net increase (decrease) | | 4,013,600 | | (1,015,889) | | 1,855,697 | | 153,696 |
| Growth Equity | | | | | | | | |
| Shares sold | | 1,958,736 | | 3,252,331 | | 2,648,920 | | 2,755,516 |
| Shares reinvested | | 569,535 | | 480,894 | | 3,361,800 | | 2,756,872 |
| Shares redeemed | | (5,726,604) | | (4,228,303) | | (6,050,380) | | (5,306,239) |
| Net increase (decrease) | | (3,198,333) | | (495,078) | | (39,660) | | 206,149 |
| Small Cap Equity | | | | | | | | |
| Shares sold | | 2,997,407 | | 966,762 | | 2,806,216 | | 1,842,795 |
| Shares reinvested | | — | | 20 | | 813,704 | | 611,340 |
| Shares redeemed | | (1,591,823) | | (2,033,768) | | (1,738,011) | | (3,764,720) |
| Net increase (decrease) | | 1,405,584 | | (1,066,986) | | 1,881,909 | | (1,310,585) |
| International Equity Index | | | | | | | | |
| Shares sold | | 10,380,958 | | | | 7,423,012 | | |
| Shares reinvested | | — | | | | 1,904,082 | | |
| Shares redeemed | | (6,769,510) | | | | (2,703,988) | | |
| Net increase (decrease) | | 3,611,448 | | | | 6,623,106 | | |
| | Six Months Ended 6/30/20 | | Year Ended 12/31/19 |
| Fund | | Institutional
Class | | Investor
Class | | Institutional
Class | | Investor
Class |
| International Equity | | | | | | | | |
| Shares sold | | 5,574,457 | | 3,071,513 | | 4,636,440 | | 3,794,260 |
| Shares reinvested | | — | | 30 | | 3,415,346 | | 1,187,097 |
| Shares redeemed | | (5,319,138) | | (3,548,093) | | (5,939,356) | | (3,802,408) |
| Net increase (decrease) | | 255,319 | | (476,550) | | 2,112,430 | | 1,178,949 |
| Emerging Markets Equity | | | | | | | | |
| Shares sold | | 9,242,467 | | 1,414,482 | | 4,547,780 | | 2,102,847 |
| Shares reinvested | | — | | — | | 1,150,802 | | 160,273 |
| Shares redeemed | | (1,058,493) | | (1,790,793) | | (2,152,678) | | (2,318,633) |
| Net increase (decrease) | | 8,183,974 | | (376,311) | | 3,545,904 | | (55,513) |
| Global Real Estate Securities | | | | | | | | |
| Shares sold | | 1,506,850 | | 1,308,185 | | 2,054,553 | | 2,974,207 |
| Shares reinvested | | 361,321 | | 199,596 | | 1,142,558 | | 726,106 |
| Shares redeemed | | (673,912) | | (1,749,966) | | (2,674,346) | | (2,791,652) |
| Net increase (decrease) | | 1,194,259 | | (242,185) | | 522,765 | | 908,661 |
| Strategic Alternatives | | | | | | | | |
| Shares sold | | 1,311,042 | | 658,215 | | 3,452,292 | | 1,225,099 |
| Shares reinvested | | — | | — | | 716,595 | | 105,265 |
| Shares redeemed | | (1,574,943) | | (1,214,597) | | (4,070,510) | | (2,549,140) |
| Net increase (decrease) | | (263,901) | | (556,382) | | 98,377 | | (1,218,776) |
7. BANK BORROWINGS
On November 23, 2016, the Funds entered into a Line of Credit Agreement with Northern Trust. The terms of the credit agreement permitted the Funds to borrow cash from Northern Trust up to a limit of $50 million, collectively. Each Fund was individually, and not jointly, liable for its particular advances, if any, under the line of credit. Interest was charged to each Fund based on its borrowings at a rate equal to the greater of the Federal Funds Rate plus 1.00% or 1.50%. Each Fund also paid a facility fee equal to its pro rata share of the amount of the credit facility, based on average net assets, at a rate of 0.20% per annum.
On November 20, 2019, the Funds renewed their Line of Credit Agreement with Northern Trust. The terms of the credit agreement are the same as those above, and the agreement will expire on November 18, 2020.
No Funds borrowed for the six-month period ended June 30, 2020, and there were no outstanding loans at June 30, 2020.
8. FEDERAL INCOME TAXES
Each Fund has elected to be treated as and intends to qualify as a regulated investment company each year by complying with all sections of the Internal Revenue Code of 1986, as amended, that apply to regulated investment companies and to distribute substantially all of its taxable income and capital gains to shareholders. No provision for income or excise taxes is thus required. Each Fund is treated as a separate entity for federal income tax purposes.
The Funds may be subject to taxes imposed by countries in which they invest in issuers existing or operating in such countries. Such taxes are generally based on income earned. The Funds accrue such taxes when the related income is earned. Gains realized by the Funds on the sale of securities in certain countries are subject to non-U.S. taxes. The Funds record a liability based on unrealized gains to provide for potential non-U.S. taxes payable upon the sale of these securities.
Management has analyzed the Funds’ tax positions and has concluded that no provision for income tax is required in the Funds’ financial statements except as noted above. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. However, management’s conclusions may be subject to review and adjustment at a later date based on factors including, but not limited to new tax laws, regulations and administrative interpretations (including court decisions). Each of the Funds’ federal tax returns for the prior three fiscal years and the current year (year ended December 31, 2017, through six-month period ended June 30, 2020), remains subject to examination by the Internal Revenue Service. In regard to foreign taxes only, certain Funds have open tax years in certain foreign countries they invest in that may date back to the inception of the Funds.
Distributions during the years ended December 31, 2019, and December 31, 2018, were characterized as follows for tax purposes:
| 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 |
| 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 |
| Fund | | Year | | Ordinary
Income | | Long-Term
Capital Gain | | Return
of Capital | | Total
Distribution |
| 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 |
At December 31, 2019, the components of distributable earnings on a tax basis were as follows:
| Fund | | Undistributed
Ordinary
Income | | Undistributed
Long-Term
Capital Gain/ (Capital
Loss
Carryforward) | | Qualified
Late Year
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 |
At June 30, 2020, the aggregate cost of investments for federal income tax purposes (including securities sold short and derivative related items) and the net unrealized appreciation from investments for those securities having an excess of value over cost and net unrealized depreciation from investments for those securities having an excess of cost over value (based on cost for federal income tax purposes) were as follows:
| Fund | | Federal Tax
Cost | | Net Unrealized
Appreciation
(Depreciation) | | Appreciated
Securities | | Depreciated
Securities |
| MyDestination 2015 | | $ 628,913,750 | | $ 14,869,217 | | $ 22,193,992 | | $ (7,324,775) |
| MyDestination 2025 | | 1,359,300,844 | | 29,955,792 | | 49,463,999 | | (19,508,207) |
| MyDestination 2035 | | 918,893,714 | | 22,689,308 | | 40,991,924 | | (18,302,616) |
| MyDestination 2045 | | 688,872,214 | | 17,774,600 | | 33,610,885 | | (15,836,285) |
| MyDestination 2055 | | 240,514,041 | | 2,218,752 | | 7,135,911 | | (4,917,159) |
| Conservative Allocation | | 505,871,933 | | (2,181,405) | | 8,821,174 | | (11,002,579) |
| Balanced Allocation | | 1,565,123,410 | | (42,043,401) | | 61,065,547 | | (103,108,948) |
| Growth Allocation | | 1,260,661,405 | | (98,787,805) | | 44,112,927 | | (142,900,732) |
| Aggressive Allocation | | 1,087,509,664 | | (123,951,980) | | 39,480,664 | | (163,432,644) |
| Money Market | | 1,523,039,757 | | — | | — | | — |
| Low-Duration Bond | | 994,648,691 | | 6,856,307 | | 14,328,897 | | (7,472,590) |
| Medium-Duration Bond | | 1,967,877,194 | | 67,465,387 | | 105,613,413 | | (38,148,026) |
| Extended-Duration Bond | | 263,594,597 | | 25,150,417 | | 29,852,346 | | (4,701,929) |
| Global Bond | | 605,702,734 | | (5,337,495) | | 34,100,375 | | (39,437,870) |
| Defensive Market Strategies | | 1,117,216,259 | | 119,640,328 | | 143,744,493 | | (24,104,165) |
| Equity Index | | 1,540,066,875 | | 564,555,916 | | 682,816,058 | | (118,260,142) |
| Value Equity | | 1,064,975,814 | | (7,836,961) | | 55,774,300 | | (63,611,261) |
| Growth Equity | | 1,193,113,904 | | 547,671,555 | | 567,449,085 | | (19,777,530) |
| Small Cap Equity | | 555,551,063 | | (485,061) | | 57,112,365 | | (57,597,426) |
| International Equity Index | | 716,661,236 | | (33,034,627) | | 70,901,881 | | (103,936,508) |
| International Equity | | 1,168,868,423 | | (38,347,602) | | 145,075,391 | | (183,422,993) |
| Emerging Markets Equity | | 540,758,464 | | 21,266,805 | | 57,595,541 | | (36,328,736) |
| Global Real Estate Securities | | 240,000,717 | | (18,912,833) | | 10,270,812 | | (29,183,645) |
| Strategic Alternatives | | 352,991,109 | | (129,470) | | 14,694,106 | | (14,823,576) |
The differences between book basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales, the deferral of losses on straddles, gains on constructive sales and investments in PFIC’s, partnerships, swaps and other securities with book and tax cost differences.
The timing and character of income and capital gain distributions are determined in accordance with income tax regulations, which may differ from U.S. GAAP. Reclassifications are made for permanent tax differences to reflect income and gains available for distribution under income tax regulations. For the period ended December 31, 2019, the capital accounts have been adjusted for current period permanent book/tax differences which arose principally from differing book/tax treatments of PFICs, paydown losses, net operating losses, swaps, foreign currency transactions, distributions received from regulated investment companies, defaulted bonds, reclassifications of dividends paid and non-deductible expenses. Net investment income, net realized gain (loss) on investments and net assets were not affected by these reclassifications.
9. MARKET AND CREDIT RISK
In the normal course of business, the Funds trade financial instruments and enter into financial transactions where the risk of potential loss exists due to changes in the market (market risk) or due to the failure of the other party to a transaction to perform (credit and counterparty risks).
Market Risks — A Fund’s investments in derivatives and other financial instruments expose the Fund to various risks such as, but not limited to, interest rate, foreign currency, equity and commodity risks.
Interest rate risk is the risk that fixed income securities will decline in value because of changes in interest rates. As nominal interest rates rise, the value of certain fixed income securities held by a Fund is likely to decrease. A nominal interest rate can be described as the sum of a real interest rate and an expected inflation rate. Fixed income securities with longer durations tend to be more sensitive to changes in interest rates, usually making them more volatile than securities with shorter durations. Duration is useful primarily as a measure of the sensitivity of a fixed income’s market price to interest rate (i.e. yield) movements.
If a Fund invests directly in foreign currencies or in securities that trade in, and receive revenues in, foreign currencies, or in derivatives that provide exposure to foreign currencies, it will be subject to the risk that those currencies will decline in value relative to the base currency of the Fund, or, in the case of hedging positions, that the Fund’s base currency will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates, intervention (or the failure to intervene) by U.S. or foreign governments, central banks or supranational entities such as the International Monetary Fund, or by the imposition of currency controls or other political developments in the United States or abroad. As a result, a Fund’s investments in foreign currency denominated securities may reduce the returns of the Fund.
The market values of equities, such as common stocks and preferred stocks, or equity related investments such as futures and options, may decline due to general market conditions which are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates or adverse investor sentiment. Market values may also decline due to factors which affect a particular industry or industries, such as labor shortages or increased production costs and competitive conditions within an industry. Equity securities and equity related investments generally have greater market price volatility than fixed income securities.
A Fund’s investments in commodity-linked derivative instruments may subject the Fund to greater market price volatility than investments in traditional securities. The value of commodity-linked derivative instruments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments.
In countries with limited or developing markets, investments may present greater risks than in more developed markets and the prices of such investments may be volatile. The consequences of political, social or economic changes in these markets may have disruptive effects on the market prices of these investments and the income they generate, as well as the Fund’s ability to repatriate such amounts.
Local, regional or global events such the spread of infectious illnesses or other public health issues, recessions, natural disasters or other events could have a significant impact on the Funds and their investments. For example, the outbreak of COVID-19, a novel coronavirus disease, has negatively affected economies, markets and individual companies throughout the world, including those in which the Funds invest. The effects of this pandemic to public health and business and market conditions, including exchange trading suspensions and closures may continue to have a significant negative impact on the performance of a Fund’s investments, increase a Fund’s volatility, exacerbate pre-existing political, social and economic risks to the Funds, and negatively impact broad segments of businesses and populations. The Funds' operations may be interrupted as a result, which may contribute to the negative impact on investment performance. In addition, governments, their regulatory agencies, or self-regulatory organizations may take actions in response to the pandemic that affect the instruments in which a Fund invests, or the issuers of such instruments, in ways that could have a significant negative impact on a Fund’s investment performance. The full impact of the COVID-19 pandemic, or other future epidemics or pandemics, is currently unknown.
Credit and Counterparty Risks — A Fund will be exposed to credit risk on parties with whom it trades and will also bear the risk of settlement default. A Fund minimizes concentrations of credit risk by undertaking transactions with a large number of customers and counterparties on recognized and reputable exchanges. A Fund could lose money if the issuer or guarantor of a fixed income security, or the counterparty to a derivatives contract, repurchase agreement or a loan of portfolio securities, is unable or unwilling to make timely principal and/or interest payments, or to otherwise honor its obligations. Securities are subject to varying degrees of credit risk, which are often reflected in credit ratings.
Similar to credit risk, a Fund may be exposed to counterparty risk, or the risk that an institution or other entity with which the Fund has unsettled or open transactions will default. Financial assets, which potentially expose a Fund to counterparty risk, consist principally of cash due from counterparties and investments. The investment advisers minimize counterparty risks to the Funds by performing extensive reviews of each counterparty and obtaining approval from the Counterparty Risk Committee prior to entering into transactions with a third party. All transactions in listed securities are settled/paid for upon delivery using approved counterparties. The risk of default is considered minimal, as delivery of securities sold is only made once a Fund has received payment. Payment is made on a purchase once the securities have been delivered by the counterparty. The trade will fail if either party fails to meet its obligation.
Brexit Risks — Each Fund may face potential risks associated with the United Kingdom’s decision to leave the European Union (the “EU”). In June 2016, the United Kingdom approved a referendum to leave the EU, commonly referred to as “Brexit,” which sparked depreciation in the value of the British Pound, short-term declines in global stock markets, and heightened risk of continued worldwide economic volatility. The United Kingdom officially left the EU on January 31, 2020, with a transitional period set to end on December 31, 2020. Brexit created and may continue to create an uncertain political and economic environment in the United Kingdom and other EU countries. This long-term uncertainty may affect other countries in the EU and elsewhere. Further, the UK’s departure from the EU may cause volatility within the EU, triggering prolonged economic downturns in certain European countries or sparking additional member states to contemplate departing the EU. Any of these events may have a significant adverse effect on global markets and economies, which in turn could negatively impact the value of each Fund’s investments.
LIBOR Risks — The United Kingdom’s Financial Conduct Authority, which regulates LIBOR, has announced plans to phase out the use of LIBOR by the end of 2021. There remains uncertainty regarding the future use of LIBOR and the nature of any replacement rate. The transition process away from LIBOR may involve, among other things, increased volatility or illiquidity in markets for instruments that currently rely on LIBOR. The transition process may also result in a reduction in the value of certain instruments held by a Fund or reduce the effectiveness of related Fund transactions such as hedges. Volatility, the potential reduction in value, and/or the hedge effectiveness of financial instruments may be heightened for financial instruments that do not include fallback provisions that address the cessation of LIBOR. Any potential effects of the transition away from LIBOR on any of the Funds or on financial instruments in which a Fund invests, as well as other unforeseen effects, could result in losses to a Fund.
10. LIQUIDITY RISK MANAGEMENT PROGRAM
Pursuant to Rule 22e-4 (the “Rule”) under the Investment Company Act of 1940, as amended, GuideStone Funds (the “Trust”) has adopted a liquidity risk management program (the “Program”) whose principal objectives include assessing, managing and periodically reviewing the liquidity risk of each series of the Trust (each, a “Fund” and together, the “Funds”), based on factors specific to the circumstances of each Fund. The Rule defines liquidity risk as the risk that a fund could not meet redemption requests without significant dilution of remaining investors’ interests in the fund.
The Board of Trustees (the “Board”) of the Trust approved the Trust’s Program and designated the Liquidity Risk Management Committee (the “Committee”) of GuideStone Capital Management, LLC as the administrator of the Program. At a Board meeting held on May 18, 2020, the Committee provided the Board with a report which addressed the operation of the Program from
December 1, 2018 through March 31, 2020 (the “Review Period”) and assessed the adequacy and effectiveness of its implementation. The Committee reported on the following reviews and conclusions:
| • | the process for categorizing each Fund’s portfolio holdings into one of four liquidity categories, as defined in the Rule and the role of the Funds’ third-party liquidity classification data provider in the classification process, noting that no operational or compliance issues were detected; |
| • | a review of the Funds’ liquidity factors, as enumerated in the Rule; |
| • | the Funds remained primarily highly liquid, as the term is defined in the Rule; |
| • | due to the highly liquid nature of the Funds, a highly liquid investment minimum had not been established; |
| • | there were no liquidity events that materially affected the ability of the Funds to sell portfolio securities without significantly affecting their market value in order to timely meet redemptions without dilution to ongoing shareholders; |
| • | at no time during the Review Period did any Fund approach the 15% Limit or 15% Threshold on illiquid investments, as those terms are defined in the Program; |
| • | there were no material changes to the Program during the Review Period; |
| • | the Program is reasonably designed and is operating effectively to assess and manage the liquidity risk for each Fund; |
| • | the Program has been and continues to be adequately and effectively implemented to monitor and (as applicable) respond to developments with the potential to impact the Funds’ liquidity. |
There can be no assurance that the Program will achieve its objectives in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.
11. RECENT PRONOUNCEMENTS
In August 2018, the FASB issued ASU 2018-13 ("ASU 2018-13"), "Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement," which amends the fair value measurement disclosure requirements of the Accounting Standards Codification 820 ("ASC 820"). The amendments of ASU 2018-13 include new, eliminated, and modified disclosure requirements of the ASC 820. In addition, the amendments clarify that materiality is an appropriate consideration of entities when evaluating disclosure requirements. Management adopted ASU 2018-13 as of the period ended December 31, 2019.
12. REGULATORY EXAMINATIONS
Federal and state regulatory authorities from time to time make inquiries and conduct examinations regarding compliance by the Trust and its affiliates with securities and other laws and regulations affecting the Funds. There are currently no such matters which the Trust and its affiliates believe will be material to these financial statements.
13. SUBSEQUENT EVENTS
The recent outbreak of the novel coronavirus, first detected in December 2019, rapidly became a pandemic and has resulted in disruptions to the economies of many nations, individual companies and the markets in general, the impact of which cannot necessarily be foreseen at the present time. This has created closed borders, quarantines, supply chain disruptions and general anxiety, negatively impacting global markets in an unforeseeable manner. The impact of the novel coronavirus and other such future infectious diseases in certain regions or countries may be greater or less due to the nature or level of their public health response or due to other factors. Health crises caused by the recent coronavirus outbreak or future infectious diseases may exacerbate other pre-existing political, social and economic risks in certain countries. The impact of such health crises may be quick, severe and of unknowable duration. This pandemic and other epidemics and pandemics that may arise in the future could
result in continued volatility in the financial markets and lead to increased levels of Fund redemptions, which could have a negative impact on the Funds and could adversely affect a Fund’s performance.
NOTICE TO SHAREHOLDERS (Unaudited)
GuideStone Financial Resources of the Southern Baptist Convention (“GuideStone Financial Resources”) at all times during the six-months ended June 30, 2020, directly or indirectly controlled the vote of at least 60% of the outstanding shares of GuideStone Funds (the “Trust”). This means that GuideStone Financial Resources, which is an affiliate of the Trust’s investment adviser, GuideStone Capital Management, LLC, controls the vote on any matter that requires shareholder approval.
During the six-months ended June 30, 2020, GuideStone Financial Resources approved by written consent in lieu of a shareholder meeting, dated September 25, 2019, the election of Ronald D. Murff as an Independent Trustee of the Trust.
FUND MANAGEMENT (Unaudited)
Information pertaining to the Trustees and officers of the Trust is set forth below. This information is current as of July 1, 2020. The statement of additional information (SAI) includes additional information about the Trustees and is available without charge, upon request, by calling 1-888-GS-FUNDS(1-888-473-8637).
Name, (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 |
Thomas G. Evans (1961)
5005 Lyndon B. Johnson
Freeway Suite 2200
Dallas, TX 75244-6152
Trustee | Since 2020 | Owner, Encompass
Financial Services, Inc.,
1985-present. | 24 | None |
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 |
David Cox, Sr. (1972)
5005 Lyndon B. Johnson
Freeway Suite 2200
Dallas, TX 75244-6152
Trustee | Since 20204 | LLP Manager, Penske
Logistics, Inc., 2004 – present. | 24 | None |
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 |
FUND MANAGEMENT (Continued)
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 TRUSTEES5 |
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 |
Brandon Waldeck (1977)
5005 Lyndon B. Johnson
Freeway Suite 2200
Dallas, TX 75244-6152
AML Compliance Officer | Since 2020 | Senior Manager – Fraud
Risk, GuideStone Financial Resources,
2019 – present; Director
of Ethics Office Trade Monitoring,
Fidelity Investments, 2001 – 2019. | N/A | N/A |
Matthew A. Wolfe (1982)
5005 Lyndon B. Johnson
Freeway Suite 2200
Dallas, TX 75244-6152
Chief Compliance Officer,
Chief Legal Officer and Secretary | Since 2017 | Managing Director, Compliance and Legal,
GuideStone Financial Resources, 2020 – present;
Associate Counsel – Investment and
Corporate Services, GuideStone Financial
Resources, 2015 – 2020; 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 |
1 Each Independent Trustee serves until his or her resignation, removal or mandatory retirement. Each Interested Trustee serves until his or her resignation, removal or mandatory retirement or until he or she ceases to be a member of the Board of Trustees of GuideStone Financial Resources. All Trustees must retire at the end of the calendar year in which they attain the age of 80 or after achieving 10 years of service, whichever occurs last. Officers serve at the pleasure of the Board.
2 Directorships not included in the GuideStone Funds complex that are held by a director in any company with a class of securities registered pursuant to section 12 of the Securities Exchange Act of 1934 or any company registered as an investment company under the 1940 Act.
3 Mr. Cox and Dr. Hahn are Interested Trustees of the Trust due to their positions on the Board of Trustees of GuideStone Financial Resources.
4 Mr. Cox’s effective date as an Interested Trustee is August 27, 2020.
5 The officers of the Trust are affiliates of the Adviser due to their positions with the Adviser, GuideStone Financial Resources, GuideStone Investment Services and/or GuideStone Resource Management, Inc.
PROXY VOTING
A description of the policies and procedures that GuideStone Funds uses to determine how to vote proxies relating to their portfolio securities as well as information regarding how GuideStone Funds voted proxies during the most recent 12-month period ended June 30 is available without charge by calling 1-888-GS-FUNDS (1-888-473-8637), by visiting our website at GuideStoneFunds.com or by visiting the SEC’s website at http://www.sec.gov.
FORM N-MFP
Beginning December 2009, the GuideStone Money Market Fund began filing Form N-MFP with the SEC. Form N-MFP is filed on a monthly basis by money market mutual funds and includes detailed information about a money market fund’s investments and the market-based price of its portfolio known as its "shadow NAV" or mark-to-market valuation. The portfolio holdings information is posted on our website, GuideStoneFunds.com within five business days after the end of the month. Form N-MFP is made available online with a 60-day delay at http://www.sec.gov.
QUARTERLY SCHEDULES OF INVESTMENTS
In addition to the semi-annual and annual reports that GuideStone Funds delivers to shareholders and makes available through its website, GuideStone Funds files a complete schedule of portfolio holdings with the SEC for each Fund’s first and third fiscal quarters on Form N-PORT. GuideStone Funds does not deliver the schedule for the first and third fiscal quarters to shareholders; however, the schedule is posted to our website, GuideStoneFunds.com. You may also obtain the Form N-Q and Form N-PORT filings by accessing the SEC’s website at http://www.sec.gov.
BOARD REVIEW OF NEW SUB-ADVISORY AGREEMENTS FOR CERTAIN SELECT FUNDS
As required by the Investment Company Act of 1940, as amended (the “1940 Act”), the Board of Trustees (the “Board” or the “Trustees”) of GuideStone Funds (the “Trust”), including a majority of the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), as the term “interested persons” is defined in Section 2(a)(19) of the 1940 Act, considered the approval of four new sub-advisory agreements (the “New Sub-Advisory Agreements”) among GuideStone Capital Management, LLC (the “Adviser”), the Trust and respectively: (i) The London Company of Virginia, LLC (the “London Company”) on behalf of the Value Equity Fund (the “VEF”) (the “London Company Agreement”), (ii) Western Asset Management Company, LLC (“Western”) on behalf of the Medium-Duration Bond Fund (the “MDBF”) and Global Bond Fund (the “GBF”) (the “Western Agreement”), (iii) ClearBridge Investments, LLC (“ClearBridge”) on behalf of the Growth Equity Fund (the “GEF,” and with the MDBF, GBF and VEF, each a “Fund” and together, the “Funds”) (the “ClearBridge Agreement”) and (iv) Parametric Portfolio Associates LLC (“Parametric”) on behalf of the GBF (the “Parametric Agreement”) (each, a “Sub-Adviser,” and together with the London Company, Western and ClearBridge, the “Sub-Advisers”). The Board approved the London Company Agreement at a meeting of the Board held on February 28, 2020 (the “February Meeting”) and the ClearBridge Agreement, Western Agreement and Parametric Agreement at a meeting of the Board held on May 18, 2020 (the “May Meeting”).
The Board’s decision to approve the New Sub-Advisory Agreements reflects the exercise of the Board’s business judgment and the Board’s consideration of its fiduciary duties to the Funds and their shareholders. Prior to approving the New Sub-Advisory Agreements, the Board requested and received information from the Adviser and the Sub-Advisers and considered such information with the assistance and advice of independent legal counsel (“Independent Counsel”) and counsel to the Trust.
The Board’s consideration of various factors, and its conclusions with respect to such factors, formed the basis for the Board’s determination to approve the New Sub-Advisory Agreements. The factors considered by the Board included, but were not limited to: (i) the nature, extent and quality of the services to be provided by the Sub-Advisers; (ii) the personnel resources of the Sub-Advisers; (iii) the experience and expertise of the Sub-Advisers; (iv) the financial capabilities and financial resources of the Sub-Advisers; (v) the compliance program and compliance history of the Sub-Advisers, as well as historical and pending legal proceedings involving the Sub-Advisers; (vi) the composite performance history of the Sub-Advisers’ proposed investment strategy in comparison to relevant benchmarks, if available; (vii) the amount of the contractual sub-advisory fees proposed to be paid to the Sub-Advisers in comparison to available fee information for the Sub-Advisers’ other clients and similar funds; (viii) the expected profitability of the Sub-Advisers with respect to the Funds and their overall business; (ix) the extent of any economies of scale and whether the fee structures for the Sub-Advisers reflect such economies of scale; (x) the existence of any collateral benefits that may be realized by the Sub-Advisers, such as affiliate brokerage arrangements or the use of soft dollars; and (xi) any collateral benefits that may be realized by the Funds. The Board evaluated whether the approvals of the New Sub-Advisory Agreements were in the best interests of the Funds and their respective shareholders. No one factor was determinative in the Board’s consideration of each New Sub-Advisory Agreement, and each Trustee may have attributed different weights to the factors considered.
The Board further considered that ClearBridge and Western were currently sub-advisers to the Funds to which they would provide services under the ClearBridge Agreement and Western Agreement, respectively, and that approvals of the ClearBridge Agreement and Western Agreement were being sought as a result of an anticipated change in control of ClearBridge and Western and an assignment of the existing investment sub-advisory agreements among the Trust, the Adviser and each of ClearBridge and Western. The Board noted that the change in control of ClearBridge and Western was a result of Franklin Resources, Inc. (“Franklin Resources”) entering into a definitive agreement to acquire Legg Mason, Inc. (“Legg”), which wholly-owned ClearBridge and Western (the “Acquisition”). The Board additionally considered that Parametric was a sub-adviser for certain other Select Funds of the Trust for use of Parametric’s completion portfolios.
The Board undertook a review of the terms of the New Sub-Advisory Agreements, as well as the nature, extent and quality of the services to be provided by the Sub-Advisers under the New Sub-Advisory Agreements and the proposed fees in exchange for such services. The Adviser provided the Board with substantial detailed information in the form of reports about each Sub-Adviser addressing the factors listed previously. The Adviser also provided additional information about each Sub-Adviser in presentations made during the February and May Meetings and responded to questions from the Trustees.
In addition, the Independent Trustees met separately in executive session with Independent Counsel, as did the Investment Management Committee of the Board (the “IMC”), to discuss and consider the information presented in connection with the approval of the New Sub-Advisory Agreements, as well as the Trustees’ responsibilities and duties in approving the agreements.
BOARD APPROVAL OF NEW SUB-ADVISORY AGREEMENT FOR THE VALUE EQUITY FUND
In considering the approval of the London Company Agreement on behalf of the VEF, the Board took into account the materials provided prior to and during the February Meeting, the presentations made, the extensive discussions during the February Meeting, including the discussion the Independent Trustees had during their executive session with Independent Counsel, and the report of the IMC. The Board considered its responsibilities with respect to reviewing and approving the terms of the London Company Agreement, the investment management team at the London Company, the reasonableness of the sub-advisory fees and whether the appointment of the London Company would be in the best interests of the VEF and its shareholders. The Board reviewed the factors that it should consider in evaluating whether to approve the London Company Agreement and the materials provided to support each factor.
In making its determination to approve the selection of the London Company as a sub-adviser to the VEF, the Board, including the Independent Trustees advised by Independent Counsel, considered a number of factors. Such factors included the nature, extent and quality of the services to be provided by the London Company; the composite performance history of the London Company’s Income Equity Strategy (the “London Company Strategy”); the fees charged by the London Company for its services; and information regarding the London Company’s ownership structure, investment management experience, personnel, clients, assets under management (“AUM”), legal and regulatory history, compliance policies and procedures, brokerage and soft dollar practices and investment philosophies and processes. The Board also reviewed presentations by the Adviser regarding the comprehensive review process it used to recommend the London Company’s services. The Board considered that the Adviser had been able to negotiate fees that were favorable compared to the London Company’s stated fee schedule.
Because this engagement with the London Company for sub-advisory services for the VEF was new, there was no relevant historical profitability information for the Board to assess. The Board noted, however, that the London Company did provide an estimate of profitability for providing its services to the VEF, which was based on an average profitability of all accounts firmwide. The Trustees considered the Adviser’s assessment of the London Company’s financial condition. The Trustees noted that the Adviser, after reviewing certain financial information provided by the London Company, believed that the London Company was financially sound.
The Board considered the fees to be paid to the London Company under the London Company Agreement, as well as the overall fee structure under the London Company Agreement, in light of the nature, extent and quality of the services to be provided. The Board also considered the fees charged by other investment advisers that offer similar services. The Board noted that the VEF’s overall management and advisory fees would increase by one basis point to 0.59% but that the fee was still below the overall management and advisory fees payable by the VEF that had last been approved by the majority shareholder of the Fund. The Board also noted that the VEF, and not the Adviser, would pay fees to the London Company directly, and as a result, the appointment of the London Company would not be expected to affect the Adviser’s profitability with respect to the VEF.
The Board considered potential “fall-out” or ancillary benefits anticipated to be received by the London Company and its affiliates as a result of its arrangements with the VEF. The Board concluded that any potential benefits to be derived by the London Company included potential access to additional research resources, increased AUM and reputational benefits, which were consistent with those generally derived by sub-advisers offering similar services to mutual funds.
The Board noted the Adviser’s representation that the London Company would be comfortable managing the strategy in accordance with the VEF’s faith-based investment (“FBI”) policy.
While acknowledging that past performance does not indicate future results, the Board considered the historical performance of the London Company Strategy. The Board noted the London Company Strategy generated 1.64% of outperformance (annualized) relative to the Russell 1000® Value Index over the last five-year period ended December 31, 2019. The Board further noted that the London Company Strategy outperformed the benchmark for the year-to-date, one- three-, five- and seven-year and analysis periods ended December 31, 2019.
Based on all of the information provided to the Board and its consideration of relevant factors, the Board determined that the London Company would provide investment management services that are appropriate in scope and that the fees to be paid to the London Company by the VEF under the London Company Agreement would be fair and reasonable in light of the nature, extent and quality of services to be provided. In their deliberations, the Trustees did not identify any particular information that was all-important or controlling, and each Trustee may have attributed different weights to the various factors deliberated upon, among others.
BOARD APPROVAL OF NEW SUB-ADVISORY AGREEMENTS FOR THE GROWTH EQUITY FUND, MEDIUM-DURATION BOND FUND AND GLOBAL BOND FUND
In considering the approval of the ClearBridge Agreement on behalf of the GEF and the Western Agreement on behalf of the MDBF and GBF (together, the “New Agreements”), the Board took into account the materials provided prior to and during the May Meeting, the presentations made, and the extensive discussions during the May Meeting, including the discussion the Independent Trustees had during their executive session with Independent Counsel, and the report of the IMC. The Board considered its responsibilities with respect to reviewing and approving the terms of the ClearBridge Agreement and the Western Agreement, the investment management teams at ClearBridge and Western, the reasonableness of the sub-advisory fees and whether the appointments of Clearbridge and Western would be in the best interests of the GEF, MDBF, GBF and their respective shareholders. The Board reviewed the factors that it should consider in evaluating whether to approve the ClearBridge Agreement and the Western Agreement and the materials provided to support each factor.
In making its determination to approve the selection of Clearbridge and Western as sub-advisers to the GEF and the MDBF and GBF, respectively, the Board, including the Independent Trustees advised by Independent Counsel, considered a number of factors. The Board noted that the Acquisition was anticipated to occur in the third quarter of 2020, and that upon the Acquisition, the current investment sub-advisory agreements with Clearbridge, on behalf of the GEF, and Western, on behalf of the MDBF and the GBF, would be terminated as the Acquisition would be considered an “assignment” (pursuant to Section 15(a)(4) of the 1940 Act and Section 205(a)(2) of the Investment Advisers Act of 1940, as amended).
The Board considered that the New Agreements were substantially similar to the current investment sub-advisory agreements. The Board noted that the Sub-Advisers confirmed they would retain their autonomy in their relationship with Franklin Resources, ensuring that their investment philosophies, processes and brands would remain unchanged. The Board took into account that the Sub-Advisers stated there would not be any change to the nature, extent or quality of the investment sub-advisory services that ClearBridge provides to the GEF and Western provides to the MDBF and GBF. Further, the Board took note of the Adviser’s representation that the portfolio management team and the investment process of the strategies employed by the GEF, MDBF and GBF would remain the same after the Acquisition. The Board considered the anticipated benefits to the Sub-Advisers as a result of the Acquisition, such as increased access to capital and resources.
The Board considered the profitability information provided by the Sub-Advisers for the services currently provided to the GEF, MDBF and GBF. The Trustees also considered the Adviser’s assessment of the Sub-Advisers’ financial conditions. The Trustees noted that the Adviser, after reviewing certain financial information provided by Sub-Advisers, believed that the Sub-Advisers were financially sound.
The Board considered the fees to be paid to the Sub-Advisers under the New Agreements, as well as the overall fee structures, in light of the nature, extent and quality of the services to be provided and noted that there would not be any changes to the current fee schedules with either ClearBridge or Western. The Board also considered the fees charged by other investment advisers that offer similar services. The Board additionally noted that there would be no impact to the Adviser’s profitability as a result of the New Agreements.
The Board considered potential “fall-out” or ancillary benefits anticipated to be received by the Sub-Advisers and their affiliates as a result of the New Agreements. The Board concluded that any potential benefits to be derived by the Sub-Advisers included potential access to additional research resources, increased AUM and reputational benefits, which were consistent with those generally derived by sub-advisers offering similar services to mutual funds. The Board noted the Adviser’s representation that the Sub-Advisers would be comfortable to continue managing their strategies in accordance with the Funds’ FBI policy.
Based on all of the information provided to the Board and its consideration of relevant factors, the Board determined that the Sub-Advisers would continue to provide investment management services that are appropriate in scope and that the fees to be paid to the Sub-Advisers under the New Agreements would be fair and reasonable in light of the nature, extent and quality of services to be provided. In their deliberations, the Trustees did not identify any particular information that was all-important or controlling, and each Trustee may have attributed different weights to the various factors deliberated upon, among others.
BOARD APPROVAL OF NEW SUB-ADVISORY AGREEMENT FOR THE GLOBAL BOND FUND
In considering the approval of the Parametric Agreement on behalf of the GBF, the Board took into account the materials provided prior to and during the May Meeting, the presentations made, and the extensive discussions during the May Meeting, including the discussion the Independent Trustees had during their executive session with Independent Counsel, and the report of the IMC. The Board considered its responsibilities with respect to reviewing and approving the terms of the Parametric Agreement, the investment management team at Parametric, the reasonableness of the sub-advisory fees and whether the appointment of Parametric would be in the best interests of the GBF and its shareholders. The Board reviewed the factors that it should consider in evaluating whether to approve the Parametric Agreement and the materials provided to support each factor.
In making its determination to approve the selection of Parametric as a sub-adviser to the GBF, the Board, including the Independent Trustees advised by Independent Counsel, considered a number of factors. Such factors included the nature, extent and quality of the services to be provided by Parametric under the Parametric Agreement; the fees charged by Parametric for its completion portfolio services; and information regarding Parametric’s ownership structure, investment management experience, personnel, clients, AUM, legal and regulatory history, compliance policies and procedures, brokerage and soft dollar practices and investment philosophies and processes. The Board also reviewed presentations by the Adviser regarding the comprehensive review process it used to recommend Parametric’s completion portfolio services on behalf of the GBF. The Board considered that the Adviser believed Parametric’s stated fee schedule for such services to be competitive.
The Board considered the profitability information provided by Parametric for its completion portfolios services currently provided to certain Select Funds. The Trustees also considered the Adviser’s assessment of Parametric’s financial condition. The Trustees noted that the Adviser, after reviewing certain financial information provided by Parametric, believed that Parametric was financially sound.
The Board considered the fees to be paid to Parametric under the Parametric Agreement, as well as the overall fee structure under the Parametric Agreement, in light of the nature, extent and quality of the services to be provided. Further, the Board considered that the GBF would pay Parametric a fee for completion portfolio services only when a completion portfolio is being utilized by the GBF. The Board also considered the fees charged by other investment advisers that offer similar services. The Board noted that the GBF’s overall management and advisory fees generally would not be affected because a completion portfolio solution would be implemented on a limited or short-term basis, but that during the deployment of a completion portfolio, the GBF may realize some nominal savings on the assets managed by Parametric, as all existing active sub-advisers to the GBF currently have higher
fee schedules. The Board also noted there would be no impact to the Adviser’s profitability as a result of the utilization of a completion portfolio.
The Board considered potential “fall-out” or ancillary benefits anticipated to be received by Parametric and its affiliates as a result of its arrangements with the GBF. The Board concluded that any potential benefits to be derived by Parametric included potential access to additional research resources, increased AUM and reputational benefits, which were consistent with those generally derived by sub-advisers offering similar services to mutual funds.
The Board observed that the purpose of the Parametric completion portfolio engagement is to provide the Adviser with additional flexibility to manage the GBF’s risk/return profile. The Adviser informed the Board that it has a positive working relationship with Parametric, noting that Parametric currently serves as sub-adviser to the Trust’s Overlay Program, the Defensive Market Strategies Fund and the Strategic Alternatives Fund, as well as provides the completion portfolio program to certain Select Funds. The Board considered the Adviser’s representation that Parametric would be comfortable implementing completion portfolios in accordance with the GBF’s FBI policy.
Based on all of the information provided to the Board and its consideration of relevant factors, the Board determined that Parametric would provide completion portfolio services that are appropriate in scope and that the fees to be paid to Parametric by the GBF under the Parametric Agreement would be fair and reasonable in light of the nature, extent and quality of services to be provided. In their deliberations, the Trustees did not identify any particular information that was all-important or controlling, and each Trustee may have attributed different weights to the various factors deliberated upon, among others.
INVESTMENT SUB-ADVISERS (Assets under management as of June 30, 2020) (Unaudited)
GuideStone Funds employs a broad array of proven investment managers for the benefit of their investors. Each manager is distinctive in its investment management process and business approach.
| Fund | | Sub-Adviser | | Firm
Established | | Total Assets
Managed |
| Money Market | | BlackRock Advisors, LLC | | 1994 | | $ 7.3Tr |
| Low-Duration Bond | | BlackRock Financial Management, Inc. | | 1994 | | $ 7.3Tr |
| | | Pacific Investment Management Company LLC | | 1971 | | $ 1.9Tr |
| | | Parametric Portfolio Associates LLC | | 1987 | | $299.7B |
| | | Payden & Rygel | | 1983 | | $127.7B |
| Medium-Duration Bond | | Goldman Sachs Asset Management, L.P. | | 1984 | | $ 1.9Tr |
| | | Pacific Investment Management Company LLC | | 1971 | | $ 1.9Tr |
| | | Parametric Portfolio Associates LLC | | 1987 | | $299.7B |
| | | Western Asset Management Company, LLC and | | | | |
| | | Western Asset Management Company Limited | | 1971 | | $468.5B |
| Extended-Duration Bond | | Loomis, Sayles & Company, L.P. | | 1926 | | $310.9B |
| | | Parametric Portfolio Associates LLC | | 1987 | | $299.7B |
| | | Schroder Investment Management North America Inc. | | 1977 | | $127.1B |
| Global Bond | | Loomis, Sayles & Company, L.P. | | 1926 | | $310.9B |
| | | Neuberger Berman Investment Advisers LLC | | 2002 | | $357.0B |
| | | Parametric Portfolio Associates LLC | | 1987 | | $299.7B |
| | | Western Asset Management Company, LLC and | | | | |
| | | Western Asset Management Company Limited | | 1971 | | $468.5B |
| Defensive Market Strategies | | American Century Investment Management, Inc. | | 1958 | | $178.4B |
| | | AQR Capital Management, LLC | | 1998 | | $141.0B |
| | | Parametric Portfolio Associates LLC | | 1987 | | $299.7B |
| | | Shenkman Capital Management, Inc. | | 1985 | | $ 26.1B |
| Equity Index | | Legal & General Investment Management America, Inc. | | 2006 | | $212.9B |
| Value Equity | | American Century Investment Management, Inc. | | 1958 | | $178.4B |
| | | Barrow, Hanley, Mewhinney & Strauss, LLC | | 1979 | | $ 44.1B |
| | | Legal & General Investment Management America, Inc. | | 2006 | | $212.9B |
| | | The London Company of Virginia, LLC | | 1994 | | $ 10.9B |
| | | Parametric Portfolio Associates LLC | | 1987 | | $299.7B |
| | | TCW Investment Management Company LLC | | 1971 | | $225.0B |
| Growth Equity | | Brown Advisory, LLC | | 1993 | | $ 46.4B |
| | | ClearBridge Investments, LLC | | 2005 | | $149.4B |
| | | Loomis, Sayles & Company, L.P. | | 1926 | | $310.9B |
| | | Parametric Portfolio Associates LLC | | 1987 | | $299.7B |
| | | Sands Capital Management, LLC | | 1992 | | $ 51.4B |
| Small Cap Equity | | Delaware Investments Fund Advisers | | 1929 | | $241.2B |
| | | Jacobs Levy Equity Management, Inc. | | 1986 | | $ 11.6B |
| | | Parametric Portfolio Associates LLC | | 1987 | | $299.7B |
| | | TimesSquare Capital Management, LLC | | 2000 | | $ 13.7B |
| International Equity Index | | Legal & General Investment Management America, Inc. | | 2006 | | $212.9B |
| International Equity | | AQR Capital Management, LLC | | 1998 | | $141.0B |
| | | Harris Associates L.P. | | 1976 | | $ 86.5B |
| | | MFS Institutional Advisors, Inc. | | 1924 | | $507.2B |
| | | Mondrian Investment Partners Ltd. | | 1990 | | $ 45.8B |
| | | Parametric Portfolio Associates LLC | | 1987 | | $299.7B |
| | | WCM Investment Management, LLC | | 1976 | | $ 58.9B |
| Emerging Markets Equity | | AQR Capital Management, LLC | | 1998 | | $141.0B |
| | | Goldman Sachs Asset Management, L.P. | | 1984 | | $ 1.9Tr |
| | | RBC Global Asset Management (UK) Limited | | 2013 | | $ 39.1B |
| | | Wellington Management Company LLP | | 1928 | | $ 1.1Tr |
| Global Real Estate Securities | | Heitman Real Estate Securities, LLC and | | | | |
| | | Heitman International Real Estate Securities HK Limited | | 1989 | | $ 42.6B |
| | | RREEF America L.L.C., | | | | |
| | | DWS Investments Australia Limited and | | | | |
| Fund | | Sub-Adviser | | Firm
Established | | Total Assets
Managed |
| | | DWS Alternatives Global Limited | | 1975 | | $ 70.5B |
| Strategic Alternatives | | Allianz Global Investors U.S. LLC | | 1895 | | $106.2B |
| | | Goldman Sachs Asset Management, L.P. | | 1984 | | $ 1.9Tr |
| | | Neuberger Berman Investment Advisers LLC | | 2002 | | $357.0B |
| | | Parametric Portfolio Associates LLC | | 1987 | | $299.7B |
| | | Weiss Multi-Strategy Advisers LLC | | 1978 | | $ 2.8B |
| Custodian for GuideStone Funds Assets | | The Northern Trust Company | | 1889 | | $ 9.3Tr |
| Cash Overlay for Target Date, Target Risk, Fixed Income, Equity and Real Assets Select Funds | | Parametric Portfolio Associates LLC | | 1987 | | $299.7B |
Item 1. Reports to Stockholders (cont.).
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
| | (a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
| | (a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
| | (b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the registrant’s first fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Item 13. Exhibits.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| | |
| (Registrant) | | GuideStone Funds |
| | |
| By (Signature and Title)* | | /s/ John R. Jones |
| | John R. Jones, President |
| | (Principal Executive Officer) |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| | |
| By (Signature and Title)* | | /s/ John R. Jones |
| | John R. Jones, President |
| | (Principal Executive Officer) |
| | |
| By (Signature and Title)* | | /s/ Patrick Pattison |
| | Patrick Pattison, Vice President and Treasurer |
| | (Principal Financial Officer) |
| * | Print the name and title of each signing officer under his or her signature. |
