Lord Abbett Trust I N-CSRS Certified semi-annual shareholder report (management investment company)

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: 811-10371

LORD ABBETT TRUST I

(Exact name of Registrant as specified in charter)

90 Hudson Street, Jersey City, NJ 07302

(Address of principal executive offices) (Zip code)

John T. Fitzgerald, Esq., Vice President & Assistant Secretary

90 Hudson Street, Jersey City, NJ 07302

(Name and address of agent for service)

Registrant’s telephone number, including area code: (888) 522-2388

Date of fiscal year end: 7/31

Date of reporting period: 1/31/2021

Item 1: Report(s) to Shareholders.

LORD ABBETT

SEMIANNUAL REPORT

Lord Abbett

Climate Focused Bond Fund

Mid Cap Innovation Growth Fund

Short Duration High Yield Fund

For the six-month period ended January 31, 2021

Table of Contents

1	A Letter to Shareholders
2	Information About Your Fund’s Expenses and Holdings Presented by Sector
	Schedules of Investments:
9	Climate Focused Bond Fund
20	Mid Cap Innovation Growth Fund
25	Short Duration High Yield Fund
48	Statements of Assets and Liabilities
50	Statements of Operations
52	Statements of Changes in Net Assets
54	Financial Highlights
60	Notes to Financial Statements
79	Supplemental Information to Shareholders

Lord Abbett Trust I

Lord Abbett Climate Focused Bond Fund,

Lord Abbett Mid Cap Innovation Growth Fund

and Lord Abbett Short Duration High Yield Fund

Semiannual Report

For the six-month period ended January 31, 2021

  From left to right: James L.L. Tullis, Independent Chairman of the Lord Abbett Funds and Douglas B. Sieg, Trustee, President, and Chief Executive Officer of the Lord Abbett Funds. Dear Shareholders: We are pleased to provide you with this semiannual report for the Climate Focused Bond Fund and Short Duration High Yield Fund for the six-month period ended January 31, 2021 and for Mid Cap Innovation Growth Fund, the period of December 28, 2020, commencement of operations through the period ended January 31, 2021. For additional information about the Funds, please visit our website at www.lordabbett.com, where you can access quarterly commentaries by the Funds’ portfolio managers. General information about Lord Abbett mutual funds, as well as in-depth discussions of market trends and investment strategies, is also provided in Lord Abbett Insights, a quarterly newsletter available on our website. Thank you for investing in Lord Abbett mutual funds. We value the trust that you place in us and look forward to serving your investment needs in the years to come.   Best regards,     Douglas B. Sieg Trustee, President, and Chief Executive Officer

1

Expense Example

As a shareholder of each Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments (these charges vary among the share classes); and (2) ongoing costs, including management fees; distribution and service (12b-1) fees (these charges vary among the share classes); and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in each Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (August 1, 2020 through January 31, 2021 for Climate Focused Bond Fund and Short Duration High Yield Fund. Mid Cap Innovation Growth Fund was held for the entire period (December 28, 2020, commencement of operations through January 31, 2021).

Actual Expenses

For each class of each Fund, the first line of the applicable table on the following pages provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid 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 line under the heading titled “Expenses Paid During Period 8/1/20 –1/31/21 for Climate Focused Bond Fund and Short Duration High Yield Fund. Mid Cap Innovation Growth Fund Paid During the Period 12/28/20, commencement of operations –1/31/21 to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

For each class of each Fund, the second line of the applicable table on the following pages 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. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in each 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.

2

Climate Focused Bond Fund

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning Account Value	Ending Account Value		Expenses Paid During Period†
	8/1/20	1/31/21		8/1/20 – 1/31/21
Class A
Actual	$1,000.00	$	1,022.30	$3.31
Hypothetical (5% Return Before Expenses)	$1,000.00	$	1,021.93	$3.31
Class C
Actual	$1,000.00	$	1,018.20	$7.38
Hypothetical (5% Return Before Expenses)	$1,000.00	$	1,017.90	$7.38
Class F
Actual	$1,000.00	$	1,023.30	$2.29
Hypothetical (5% Return Before Expenses)	$1,000.00	$	1,022.94	$2.29
Class F3
Actual	$1,000.00	$	1,023.70	$1.94
Hypothetical (5% Return Before Expenses)	$1,000.00	$	1,023.29	$1.94
Class I
Actual	$1,000.00	$	1,023.30	$2.29
Hypothetical (5% Return Before Expenses)	$1,000.00	$	1,022.94	$2.29
Class R3
Actual	$1,000.00	$	1,020.70	$4.84
Hypothetical (5% Return Before Expenses)	$1,000.00	$	1,020.42	$4.84
Class R4
Actual	$1,000.00	$	1,022.00	$3.57
Hypothetical (5% Return Before Expenses)	$1,000.00	$	1,021.68	$3.57
Class R5
Actual	$1,000.00	$	1,023.30	$2.29
Hypothetical (5% Return Before Expenses)	$1,000.00	$	1,022.94	$2.29
Class R6
Actual	$1,000.00	$	1,022.70	$1.94
Hypothetical (5% Return Before Expenses)	$1,000.00	$	1,023.29	$1.94

† For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.65% for Class A, 1.45% for Class C, 0.45% for Class F, 0.38% for Class F3, 0.45% for Class I, 0.95% for Class R3, 0.70% for Class R4, 0.45% for Class R5 and 0.38% for Class R6) multiplied by the average account value over the period, multiplied by 184/365 (to reflect one-half year period).

3

Portfolio Holdings Presented by Sector

January 31, 2021

Sector*	%**
Agency		1.92	%
Automotive		1.73	%
Banking		9.87	%
Basic Industry		3.66	%
Capital Goods		8.38	%
Consumer Goods		0.56	%
Energy		1.55	%
Financial Services		7.52	%
Foreign Government		13.62	%
Health care		1.34	%
Insurance		0.41	%
Media		0.96	%
Mortgage Backed		0.40	%
Municipal Bonds		5.69	%
Real Estate		3.68	%
Retail		2.59	%
Services		4.71	%
Technology & Electronics		4.96	%
Telecommunications		1.42	%
Transportation		2.18	%
Utilities		21.25	%
Repurchase Agreement		1.32	%
U.S. Government		0.28	%
Total		100.00	%

*	A sector may comprise several industries.
**	Represents percent of total investments.

4

Mid Cap Innovation Growth Fund

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning Account Value	Ending Account Value		Expenses Paid During Period†
	12/28/20	1/31/21		12/28/20 – 1/31/21
Class A
Actual	$1,000.00	$	1,002.00	$1.02
Hypothetical (5% Return Before Expenses)	$1,000.00	$	1,003.78	$1.02
Class C
Actual	$1,000.00	$	1,001.30	$1.74
Hypothetical (5% Return Before Expenses)	$1,000.00	$	1,003.06	$1.74
Class F
Actual	$1,000.00	$	1,002.00	$0.78
Hypothetical (5% Return Before Expenses)	$1,000.00	$	1,004.02	$0.78
Class F3
Actual	$1,000.00	$	1,002.00	$0.70
Hypothetical (5% Return Before Expenses)	$1,000.00	$	1,004.09	$0.70
Class I
Actual	$1,000.00	$	1,002.00	$0.78
Hypothetical (5% Return Before Expenses)	$1,000.00	$	1,004.02	$0.78
Class R3
Actual	$1,000.00	$	1,002.00	$1.26
Hypothetical (5% Return Before Expenses)	$1,000.00	$	1,003.54	$1.26
Class R4
Actual	$1,000.00	$	1,002.00	$1.02
Hypothetical (5% Return Before Expenses)	$1,000.00	$	1,003.78	$1.02
Class R5
Actual	$1,000.00	$	1,002.00	$0.78
Hypothetical (5% Return Before Expenses)	$1,000.00	$	1,004.02	$0.78
Class R6
Actual	$1,000.00	$	1,002.00	$0.70
Hypothetical (5% Return Before Expenses)	$1,000.00	$	1,004.09	$0.70

† For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (1.06% for Class A, 1.81% for Class C, 0.81% for Class F, 0.73% for Class F3, 0.81% for Class I, 1.31% for Class R3, 1.06% for Class R4, 0.81% for Class R5 and 0.73% for Class R6) multiplied by the average account value over the period, multiplied by 35/365 (to reflect the period December 28, 2020, commencement of operations, to January 31, 2021).

5

Portfolio Holdings Presented by Sector

January 31, 2021

Sector*	%**
Capital Goods		7.91	%
Consumer Cyclical		6.86	%
Consumer Discretionary		8.72	%
Consumer Staples		0.93	%
Energy		5.16	%
Financial Services		7.48	%
Health Care		21.21	%
Materials & Processing		0.85	%
Producer Durables		3.50	%
Technology		36.72	%
Transportation		0.66	%
Total		100.00	%

*	A sector may comprise several industries.
**	Represents percent of total investments.

6

Short Duration High Yield Fund

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning Account Value	Ending Account Value		Expenses Paid During Period†
	8/1/20	1/31/21		8/1/20 – 1/31/21
Class A
Actual	$1,000.00	$	1,066.70	$3.70
Hypothetical (5% Return Before Expenses)	$1,000.00	$	1,021.63	$3.62
Class C
Actual	$1,000.00	$	1,062.30	$7.85
Hypothetical (5% Return Before Expenses)	$1,000.00	$	1,017.59	$7.68
Class F
Actual	$1,000.00	$	1,067.60	$2.66
Hypothetical (5% Return Before Expenses)	$1,000.00	$	1,022.63	$2.60
Class F3
Actual	$1,000.00	$	1,068.00	$2.29
Hypothetical (5% Return Before Expenses)	$1,000.00	$	1,022.99	$2.24
Class I
Actual	$1,000.00	$	1,067.70	$2.66
Hypothetical (5% Return Before Expenses)	$1,000.00	$	1,022.63	$2.60
Class R3
Actual	$1,000.00	$	1,064.90	$5.26
Hypothetical (5% Return Before Expenses)	$1,000.00	$	1,020.11	$5.14
Class R4
Actual	$1,000.00	$	1,066.30	$3.96
Hypothetical (5% Return Before Expenses)	$1,000.00	$	1,021.37	$3.87
Class R5
Actual	$1,000.00	$	1,067.60	$2.66
Hypothetical (5% Return Before Expenses)	$1,000.00	$	1,022.63	$2.60
Class R6
Actual	$1,000.00	$	1,068.00	$2.29
Hypothetical (5% Return Before Expenses)	$1,000.00	$	1,022.99	$2.24

† For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.71% for Class A, 1.51% for Class C, 0.51% for Class F, 0.44% for Class F3, 0.51% for Class I, 1.01% for Class R3, 0.76% for Class R4, 0.51% for Class R5 and 0.44% for Class R6) multiplied by the average account value over the period, multiplied by 184/365 (to reflect one-half year period).

7

Portfolio Holdings Presented by Sector

January 31, 2021

Sector*	%**
Auto		6.87	%
Basic Industry		1.12	%
Capital Goods		0.13	%
Consumer Cyclical		9.92	%
Consumer Discretionary		5.97	%
Consumer Services		2.96	%
Consumer Staples		1.04	%
Energy		13.18	%
Financial Services		20.15	%
Health Care		5.17	%
Integrated Oils		1.24	%
Materials & Processing		9.77	%
Other		0.76	%
Producer Durables		2.26	%
Technology		8.31	%
Telecommunications		2.30	%
Transportation		3.75	%
Utilities		2.12	%
Repurchase Agreement		2.98	%
Total		100.00	%

*	A sector may comprise several industries.
**	Represents percent of total investments.

8

Schedule of Investments (unaudited)

CLIMATE FOCUSED BOND FUND January 31, 2021

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
LONG-TERM INVESTMENTS 98.02%
CONVERTIBLE BONDS 1.38%
Automakers 0.18%
NIO, Inc. (China)†(a)	0.50%	2/1/2027	$	10	$	10,063
Tesla, Inc.	2.00%	5/15/2024		1		12,773
Total						22,836
Consumer/Commercial/Lease Financing 0.15%
Hannon Armstrong Sustainable Infrastructure Capital, Inc.	4.125%	9/1/2022		9		19,598
Diversified Capital Goods 0.17%
Enphase Energy, Inc.†	0.25%	3/1/2025		9		21,255
Electric: Generation 0.15%
Atlantica Sustainable Infrastructure Jersey Ltd. (Jersey)†(a)	4.00%	7/15/2025		15		19,344
Electronics 0.20%
Plug Power, Inc.†	3.75%	6/1/2025		2		25,133
Integrated Energy 0.20%
Sunrun, Inc.†	Zero Coupon	2/1/2026		25		25,459
Specialty Retail 0.18%
RealReal, Inc. (The)†	3.00%	6/15/2025		14		22,373
Technology Hardware & Equipment 0.15%
SunPower Corp.	4.00%	1/15/2023		8		18,534
Total Convertible Bonds (cost $125,838)						174,532
CORPORATE BONDS 74.63%
Agency 1.90%
Statnett SF(b)	0.518%	6/30/2023	SEK	2,000		239,930
Auto Parts & Equipment 0.85%
Aptiv Corp.	4.15%	3/15/2024	$	25		27,539
Aptiv plc (Ireland)(a)	4.35%	3/15/2029		35		40,850
BorgWarner, Inc.	3.375%	3/15/2025		35		38,520
Total						106,909
Automakers 0.68%
Tesla, Inc.†	5.30%	8/15/2025		83		86,399

See Notes to Financial Statements. 9

Schedule of Investments (unaudited)(continued)

CLIMATE FOCUSED BOND FUND January 31, 2021

Investments		Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Banking 9.80%
AIB Group plc(b)	2.875% (EUSA5 + 3.30%		)#	5/30/2031	EUR	100	$	128,602
Bank of America Corp.	3.499% (3 Mo. LIBOR + .63%		)#	5/17/2022	$	75		75,711
Bank of China Ltd. (France)(a)	1.093% (3 Mo. LIBOR + .88%		)#	11/22/2022		200		200,428
Bank of Nova Scotia (The) (Canada)(a)		2.375%		1/18/2023		40		41,624
BNP Paribas SA(b)		1.125%		8/28/2024	EUR	100		126,301
Citigroup, Inc.		1.678% (SOFR + 1.67%	)#	5/15/2024	$	60		61,568
Danske Bank A/S(b)		1.625%		3/15/2024	EUR	100		127,487
Industrial & Commercial Bank of China Ltd. (Luxembourg)(a)		2.875%		10/12/2022	$	200		206,559
Landesbank Baden-Wuerttemberg(b)		1.50%		2/3/2025	GBP	100		140,800
Unione di Banche Italiane SpA(b)		1.50%		4/10/2024	EUR	100		126,921
Total								1,236,001
Building Materials 1.04%
Advanced Drainage Systems, Inc.†		5.00%		9/30/2027	$	50		52,803
Core & Main Holdings LP PIK 9.375%†		8.625%		9/15/2024		10		10,205
Core & Main LP†		6.125%		8/15/2025		10		10,244
Owens Corning, Inc.		3.95%		8/15/2029		50		57,775
Total								131,027
Cable & Satellite Television 0.95%
VZ Vendor Financing II BV†(b)		2.875%		1/15/2029	EUR	100		120,111
Consumer/Commercial/Lease Financing 1.00%
LeasePlan Corp. NV(b)		1.375%		3/7/2024	EUR	100		126,443
Diversified Capital Goods 3.55%
Alstom SA(b)		0.25%		10/14/2026	EUR	100		122,987
Johnson Controls International plc / Tyco Fire & Security Finance SCA		1.75%		9/15/2030	$	61		61,149
Liberty Utilities Finance GP 1†		2.05%		9/15/2030		35		34,847
Pentair Finance Sarl (Luxembourg)(a)		4.50%		7/1/2029		80		93,998
Signify NV(b)		2.375%		5/11/2027	EUR	100		135,206
Total								448,187
Electric: Distribution/Transportation 2.05%
AB Ignitis Grupe(b)		2.00%		7/14/2027	EUR	100		135,313
Viridian Group FinanceCo plc / Viridian Power & Energy Holdings DAC(b)		4.00%		9/15/2025	EUR	100		123,169
Total								258,482

10 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

CLIMATE FOCUSED BOND FUND January 31, 2021

Investments		Interest Rate		Maturity Date		Principal Amount (000)		Fair Value
Electric: Generation 5.99%
AES Panama Generation Holdings SRL (Panama)†(a)		4.375%		5/31/2030		$	200	$	215,740
Clearway Energy Operating LLC		5.75%		10/15/2025			50		52,486
ERG SpA(b)		1.875%		4/11/2025		EUR	100		130,456
Greenko Mauritius Ltd. (India)†(a)		6.25%		2/21/2023		$	200		206,230
NextEra Energy Operating Partners LP†		4.50%		9/15/2027			40		44,500
Pattern Energy Operations LP/Pattern Energy Operations, Inc.†		4.50%		8/15/2028			52		55,093
Topaz Solar Farms LLC†		5.75%		9/30/2039			43		50,276
Total									754,781
Electric: Integrated 8.35%
Aegea Finance Sarl (Luxembourg)†(a)		5.75%		10/10/2024			200		210,012
Alerion Cleanpower SpA(b)		3.125%		12/19/2025		EUR	50		62,592
E.ON SE(b)		0.35%		2/28/2030		EUR	50		61,480
EDP – Energias de Portugal SA(b)	1.70% (EUSA5 + 1.84%		)#	7/20/2080		EUR	100		120,955
EnBW Energie Baden-Wuerttemberg AG(b)	1.625% (EUAMDB05 + 1.73%		)#	8/5/2079		EUR	100		123,296
ESB Finance DAC(b)		1.125%		6/11/2030		EUR	100		131,850
Iberdrola International BV(b)	3.25% (EUSA5 + 2.97%		)#	–	(c)	EUR	100		132,350
Interstate Power & Light Co.		3.50%		9/30/2049		$	20		22,669
MidAmerican Energy Co.		3.95%		8/1/2047			15		18,350
Northern States Power Co/MN		2.60%		6/1/2051			25		25,363
Orsted A/S(b)	2.25% (EUSA5 + 1.90%		)#			EUR	100		127,318
Union Electric Co.		2.625%		3/15/2051		$	17		17,114
Total									1,053,349
Electronics 2.21%
Analog Devices, Inc.		2.95%		4/1/2025			58		62,994
Infineon Technologies AG(b)	3.625% (EUSA5 + 4.00%		)#	–	(c)	EUR	100		131,567
NXP BV/NXP Funding LLC/NXP USA, Inc. (Netherlands)†(a)		3.40%		5/1/2030		$	75		83,888
Total									278,449
Energy: Exploration & Production 0.98%
Vestas Wind Systems A/S(b)		2.75%		3/11/2022		EUR	100		124,184
Environmental 2.42%
Darling Ingredients, Inc.†		5.25%		4/15/2027		$	50		52,969
FCC Servicios Medio Ambiente Holding SAU(b)		1.661%		12/4/2026		EUR	100		129,201
Paprec Holding SA(b)		4.00%		3/31/2025		EUR	100		122,771
Total									304,941

See Notes to Financial Statements. 11

Schedule of Investments (unaudited)(continued)

CLIMATE FOCUSED BOND FUND January 31, 2021

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Food & Drug Retailers 1.17%
Co-Operative Group Ltd.(b)	5.125%	5/17/2024	GBP	100	$	147,026
Food: Wholesale 0.29%
Sysco Corp.	2.40%	2/15/2030	$	35		36,107
Forestry/Paper 2.28%
Enviva Partners LP/Enviva Partners Finance Corp.†	6.50%	1/15/2026		35		36,940
Essity AB(b)	1.625%	3/30/2027	EUR	100		132,620
Suzano Austria GmbH (Brazil)(a)	3.75%	1/15/2031	$	58		61,637
Weyerhaeuser Co.	6.875%	12/15/2033		40		56,092
Total						287,289
Government Guaranteed 1.25%
Kreditanstalt fuer Wiederaufbau(b)	0.875%	9/15/2026	GBP	75		106,588
Kreditanstalt fuer Wiederaufbau (Germany)(a)	2.00%	10/4/2022	$	50		51,528
Total						158,116
Life Insurance 0.41%
Prudential Financial, Inc.	1.50%	3/10/2026		50		51,719
Machinery 2.66%
Itron, Inc.†	5.00%	1/15/2026		85		86,912
Mueller Water Products, Inc.†	5.50%	6/15/2026		70		72,699
Nordex SE(b)	6.50%	2/1/2023	EUR	100		124,333
Xylem, Inc.	1.95%	1/30/2028	$	17		17,737
Xylem, Inc.	3.25%	11/1/2026		30		33,646
Total						335,327
Managed Care 0.90%
Kaiser Foundation Hospitals	3.15%	5/1/2027		100		113,204
Non-Electric Utilities 4.32%
American Water Capital Corp.	2.80%	5/1/2030		50		54,725
Canal de Isabel II Gestion SA(b)	1.68%	2/26/2025	EUR	100		129,021
Engie SA(b)	0.375%	6/21/2027	EUR	100		123,728
Essential Utilities, Inc.	3.566%	5/1/2029	$	55		62,208
Severn Trent Utilities Finance PLC(b)	2.00%	6/2/2040	GBP	100		145,363
Tucson Electric Power Co.	1.50%	8/1/2030	$	30		29,548
Total						544,593
Packaging 0.99%
CANPACK SA/Eastern PA Land Investment Holding LLC†(b)	2.375%	11/1/2027	EUR	100		125,142

12 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

CLIMATE FOCUSED BOND FUND January 31, 2021

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Pharmaceuticals 0.43%
Pfizer, Inc.	2.625%	4/1/2030	$	50	$	54,622
Rail 1.00%
Getlink SE(b)	3.50%	10/30/2025	EUR	100		125,673
Real Estate Investment Trusts 3.66%
Alexandria Real Estate Equities, Inc.	3.80%	4/15/2026	$	45		51,441
Digital Dutch Finco BV(b)	1.00%	1/15/2032	EUR	100		124,642
Equinix, Inc.	1.55%	3/15/2028	$	84		84,570
HAT Holdings I LLC/HAT Holdings II LLC†	3.75%	9/15/2030		57		57,641
Kilroy Realty LP	4.75%	12/15/2028		45		52,803
Piedmont Operating Partnership LP	3.15%	8/15/2030		35		35,545
UDR, Inc.	3.10%	11/1/2034		50		54,892
Total						461,534
Restaurants 0.25%
Starbucks Corp.	4.45%	8/15/2049		25		31,553
Software/Services 1.02%
Fiserv, Inc.	3.20%	7/1/2026		30		33,300
PayPal Holdings, Inc.	1.65%	6/1/2025		60		62,231
Visa, Inc.	0.75%	8/15/2027		33		32,558
Total						128,089
Specialty Retail 0.98%
Chanel Ceres plc(b)	0.50%	7/31/2026	EUR	100		123,346
Support: Services 2.26%
Global Payments, Inc.	3.75%	6/1/2023	$	30		32,003
Massachusetts Institute of Technology	3.959%	7/1/2038		100		126,602
Techem Verwaltungsgesellschaft 674 mbH(b)	6.00%	7/30/2026	EUR	100		126,293
Total						284,898
Supranational 5.06%
Asian Development Bank(b)	2.45%	1/17/2024	AUD	50		40,683
Asian Development Bank (Philippines)(a)	3.125%	9/26/2028	$	75		86,988
Asian Infrastructure Investment Bank (The)(b)	0.20%	12/15/2025	GBP	30		41,082
Asian Infrastructure Investment Bank (The) (China)(a)	0.50%	5/28/2025	$	95		95,165
European Bank for Reconstruction & Development (United Kingdom)(a)	1.625%	9/27/2024		125		130,829
European Investment Bank (Luxembourg)(a)	2.125%	4/13/2026		50		54,070
European Investment Bank (Luxembourg)(a)	2.375%	5/24/2027		75		82,712

See Notes to Financial Statements. 13

Schedule of Investments (unaudited)(continued)

CLIMATE FOCUSED BOND FUND January 31, 2021

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Supranational (continued)
International Bank for Reconstruction & Development(b)	0.25%		1/29/2029	SEK	180	$	21,370
International Bank for Reconstruction & Development(b)	2.90%		11/26/2025	AUD	100		85,021
Total							637,920
Technology Hardware & Equipment 1.36%
Apple, Inc.	3.00%		6/20/2027	$	100		112,343
Switch Ltd.†	3.75%		9/15/2028		58		59,335
Total							171,678
Telecommunications: Wireline Integrated & Services 1.41%
Swisscom Finance BV(b)	0.375%		11/14/2028	EUR	100		125,131
Verizon Communications, Inc.	3.875%		2/8/2029	$	45		52,146
Total							177,277
Transportation: Infrastructure/Services 1.16%
Transport for London(b)	2.125%		4/24/2025	GBP	100		146,792
Total Corporate Bonds (cost $8,782,280)							9,411,098
FLOATING RATE LOANS(d) 2.14%
Building & Construction 0.32%
Therma Intermediate LLC 2020 Delayed Draw Term Loan	–	(e)	12/10/2027	$	6		6,493
Therma Intermediate LLC 2020 Term Loan	4.75% (1 Mo. LIBOR + 4.00%	)	12/10/2027		34		33,765
Total							40,258
Electric: Generation 0.25%
ExGen Renewables IV, LLC 2020 Term Loan	3.75% (3 Mo. LIBOR + 2.75%	)	12/15/2027		32		32,256
Integrated Energy 0.35%
Array Technologies, Inc. Term Loan B	5.00% (1 Mo. LIBOR + 4.00%	)	10/14/2027		44		44,462
Machinery 0.95%
EWT Holdings III Corp. 2020 Term Loan	2.621% (1 Mo. LIBOR + 2.75%	)	12/20/2024		50		49,787
Filtration Group Corporation 2018 1st Lien Term Loan	3.121% (1 Mo. LIBOR + 3.00%	)	3/29/2025		30		29,598

14 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

CLIMATE FOCUSED BOND FUND January 31, 2021

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Machinery (continued)
Generac Power Systems, Inc. 2019 Term Loan B	1.887% (1 Mo. LIBOR + 1.75%	)	12/13/2026	$	40	$	40,138
Total							119,523
Personal & Household Products 0.27%
AI Aqua Merger Sub, Inc. 2019 Incremental Term Loan B	5.25% (1 Mo. LIBOR + 4.25%	)	12/13/2023		34		33,977	(f)
Total Floating Rate Loans (cost $265,299)							270,476
FOREIGN GOVERNMENT OBLIGATIONS 13.53%
France 3.05%
Action Logement Services(b)	0.50%		10/30/2034	EUR	100		126,274
SNCF Reseau(b)	0.75%		5/25/2036	EUR	100		130,648
Societe Nationale SNCF SA(b)	0.625%		4/17/2030	EUR	100		127,985
Total							384,907
Germany 0.18%
Bundesrepublik Deutschland Bundesanleihe(b)	Zero Coupon		8/15/2050	EUR	18		22,349
Italy 1.02%
Cassa Depositi e Prestiti SpA(b)	2.125%		9/27/2023	EUR	100		128,463
Netherlands 3.25%
Nederlandse Financierings-Maatschappij voor Ontwikkelingslanden NV (Netherlands)(a)	2.75%		2/20/2024	$	200		214,514
Nederlandse Waterschapsbank NV (Netherlands)(a)	1.00%		5/28/2030		200		194,958
Total							409,472
South Korea 1.71%
Korea Water Resources Corp. (South Korea)(a)	3.875%		5/15/2023		200		215,782
Spain 1.73%
Adif Alta Velocidad(b)	0.55%		4/30/2030	EUR	100		125,136
Autonomous Community of Madrid Spain(b)	0.419%		4/30/2030	EUR	75		93,127
Total							218,263
Sweden 2.59%
Kommuninvest I Sverige AB (Sweden)†(a)	1.625%		4/24/2023	$	200		206,272
Sweden Government International Bond†(b)	0.125%		9/9/2030	SEK	1,000		120,553
Total							326,825
Total Foreign Government Obligations (cost $1,631,501)							1,706,061

See Notes to Financial Statements. 15

Schedule of Investments (unaudited)(continued)

CLIMATE FOCUSED BOND FUND January 31, 2021

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
MUNICIPAL BONDS 5.66%
Insurance 0.20%
City & County Honolulu HI Wastewater System Revenue	1.623%	7/1/2031	$	25	$	25,377
Revenue – Utilities – Other 0.40%
City of Corpus Christi TX Utility System Revenue	1.966%	7/15/2030		50		51,014
Revenue – Water & Sewer 3.07%
City of Charleston SC Waterworks & Sewer System Revenue	1.89%	1/1/2033		60		61,461
City of Philadelphia PA Water & Wastewater Revenue	1.734%	11/1/2028		40		40,424
City of San Francisco CA Public Utilities Commission Water Revenue	6.00%	11/1/2040		100		139,330
New York City Water & Sewer System	5.75%	6/15/2041		50		75,349
San Diego County Water Authority	1.951%	5/1/2034		60		60,599
State of California Department of Water Resources	1.789%	12/1/2035		10		9,973
Total						387,136
U.S. Taxable Municipals 1.99%
Metropolitan Transportation Authority	5.175%	11/15/2049		45		60,125
City of Dallas TX Waterworks & Sewer System Revenue	2.772%	10/1/2040		75		79,571
Middle Fork Project Finance Authority	5.00%	4/1/2036		50		62,358
City of Atlanta GA Water & Wastewater Revenue	2.257%	11/1/2035		45		47,596
Total						141,929
Total Municipal Bonds (cost $701,374)						713,177
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITY 0.40%
Morgan Stanley Capital Barclays Bank Trust 2016-MART A† (cost $49,941)	2.20%	9/13/2031		50		50,022
U.S. TREASURY OBLIGATION 0.28%
U.S. Treasury Notes (cost $34,953)	0.375%	11/30/2025		35		34,948
Total Long-Term Investments (cost $11,591,186)						12,360,314

16 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

CLIMATE FOCUSED BOND FUND January 31, 2021

Investments	Principal Amount (000)		Fair Value
SHORT-TERM INVESTMENT 1.31%
REPURCHASE AGREEMENT
Repurchase Agreement dated 1/29/2021, 0.00% due 2/1/2021 with Fixed Income Clearing Corp. collateralized by $169,300 of U.S. Treasury Note at 0.125% due 07/15/2023; value: $169,202; proceeds: $165,833 (cost $165,833)		$166	$	165,833
Total Investments in Securities 99.33% (cost $11,757,019)				12,526,147
Less Unfunded Loan Commitments (0.05%) (cost $6,452)				(6,494	)
Net Investments 99.28% (cost $11,750,567)				12,519,653
Cash, Foreign Cash and Other Assets in Excess Liabilities(g) 0.72%				90,556
Net Assets 100.00%			$	12,610,209

AUD	Australian dollar.
EUR	Euro.
EUSA5	Euro 5 yr. swap rate.
EUAMDB05	Euro constant maturity rate.
GBP	British pound.
SEK	Swedish Krona.
LIBOR	London Interbank Offered Rate.
PIK	Payment-in-kind.
SOFR	Secured Over Night Financing Rate.

†	Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, unless registered under such Act or exempted from registration, may only be resold to qualified institutional buyers. At January 31, 2021, the total value of Rule 144A securities was $2,172,460, which represents 17.23% of net assets.
#	Variable rate security. The interest rate represents the rate in effect at January 31, 2021.
(a)	Foreign security traded in U.S. dollars.
(b)	Investment in non-U.S. dollar denominated securities.
(c)	Security is perpetual in nature and has no stated maturity.
(d)	Floating Rate Loans in which the Fund invests generally pay interest at rates which are periodically re-determined at a margin above the London Interbank Offered Rate (“LIBOR”) or the prime rate offered by major U.S. banks. The rate(s) shown is the rate(s) in effect at January 31, 2021.
(e)	Interest rate to be determined.
(f)	Level 3 Investment as described in Note 2(l) in the Notes to Financials. Floating Rate Loans categorized as Level 3 are valued based on a single quotation obtained from a dealer. Accounting principles generally accepted in the United States of America do not require the Fund to create quantitative unobservable inputs that were not developed by the Fund. Therefore, the Fund does not have access to unobservable inputs and cannot disclose such inputs in the valuation.
(g)	Cash, Foreign Cash and Other Assets in Excess Liabilities include net unrealized appreciation/depreciation on forward foreign currency exchange contracts and futures contracts as follows:

See Notes to Financial Statements. 17

Schedule of Investments (unaudited)(continued)

CLIMATE FOCUSED BOND FUND January 31, 2021

Open Forward Foreign Currency Exchange Contracts at January 31, 2021:

Forward Foreign Currency Exchange Contracts	Transaction Type	Counterparty	Expiration Date	Foreign Currency		U.S. $ Cost on Origination Date		U.S. $ Current Value		Unrealized Appreciation
Euro	Buy	State Street Bank and Trust	3/4/2021		209,000	$	253,653	$	253,798		$	145
Euro	Sell	State Street Bank and Trust	3/4/2021		16,000		19,441		19,429			12
Swedish krona	Sell	State Street Bank and Trust	4/19/2021		3,014,000		363,380		360,987			2,393
Swedish krona	Sell	State Street Bank and Trust	4/19/2021		179,000		21,602		21,439			163
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts											$	2,713
Forward Foreign Currency Exchange Contracts	Transaction Type	Counterparty	Expiration Date	Foreign Currency		U.S. $ Cost on Origination Date		U.S. $ Current Value		Unrealized Depreciation
Australian dollar	Sell	State Street Bank and Trust	2/26/2021		54,000	$	39,583	$	41,275		$	(1,692	)
Australian dollar	Sell	State Street Bank and Trust	2/26/2021		112,000		85,549		85,608			(59	)
British pound	Sell	State Street Bank and Trust	3/8/2021		110,000		146,333		150,743			(4,410	)
British pound	Sell	Toronto Dominion Bank	3/8/2021		427,000		573,998		585,157			(11,159	)
Euro	Sell	State Street Bank and Trust	3/4/2021		3,986,000		4,831,524		4,840,381			(8,857	)
Euro	Sell	State Street Bank and Trust	3/4/2021		100,000		121,420		121,434			(14	)
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts											$	(26,191	)

Open Futures Contracts at January 31, 2021:

Type	Expiration	Contracts	Position	Notional Amount			Notional Value			Unrealized Appreciation
U.S. 10-Year Ultra Treasury Note	March 2021	6	Short	$	(941,327	)	$	(922,969	)		$	18,358
U.S. 2-Year Treasury Note	March 2021	3	Long		662,302			662,930				628
U.S. 5-Year Treasury Note	March 2021	5	Short		(629,718	)		(629,375	)			343
Total Unrealized Appreciation on Open Futures Contracts											$	19,329
Type	Expiration	Contracts	Position	Notional Amount			Notional Value			Unrealized Depreciation
Euro-Buxl	March 2021	1	Long	EUR	222,102		EUR	221,300			$	(973	)
Euro-Bobl	March 2021	6	Short		(810,050	)		(811,500	)			(1,760	)
Euro-Bund	March 2021	1	Short		(176,768	)		(177,250	)			(585	)
Euro-Schatz	March 2021	1	Short		(112,303	)		(112,320	)			(20	)
U.S. Ultra Treasury Bond	March 2021	2	Long	$	429,112		$	409,437				(19,675	)
Total Unrealized Depreciation on Open Futures Contracts											$	(23,013	)

18 See Notes to Financial Statements.

Schedule of Investments (unaudited)(concluded)

CLIMATE FOCUSED BOND FUND January 31, 2021

The following is a summary of the inputs used as of January 31, 2021 in valuing the Fund’s investments carried at fair value⁽¹⁾:

Investment Type(2)	Level 1			Level 2			Level 3		Total
Long-Term Investments
Convertible Bonds	$	–		$	174,532		$	–	$	174,532
Corporate Bonds		–			9,411,098			–		9,411,098
Floating Rate Loans
Building & Construction		–			40,258			–		40,258
Electric: Generation		–			32,256			–		32,256
Integrated Energy		–			44,462			–		44,462
Machinery		–			119,523			–		119,523
Personal & Household Products		–			–			33,977		33,977
Less Unfunded Commitments		–			(6,494	)		–		(6,494	)
Foreign Government Obligations		–			1,706,061			–		1,706,061
Municipal Bonds		–			713,177			–		713,177
Non-Agency Commercial
Mortgage-Backed Security		–			50,022			–		50,022
U.S. Treasury Obligation		–			34,948			–		34,948
Short-Term Investment
Repurchase Agreement		–			165,833			–		165,833
Total	$	–		$	12,485,676		$	33,977	$	12,519,653
Other Financial Instruments
Forward Foreign Currency Exchange Contracts
Assets	$	–		$	2,713		$	–	$	2,713
Liabilities		–			(26,191	)		–		(26,191	)
Futures Contracts
Assets		19,329			–			–		19,329
Liabilities		(23,013	)		–			–		(23,013	)
Total	$	(3,684	)	$	(23,478	)	$	–	$	(27,162	)

(1)	Refer to Note 2(l) for a description of fair value measurements and the three-tier hierarchy of inputs.
(2)	See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography.

A reconciliation of Level 3 investments is presented when the Fund has a material amount of Level 3 investments at the beginning or end of the period in relation to the Fund’s net assets. Management has determined not to provide a reconciliation as the balance of Level 3 investments was not considered to be material to the Fund’s net assets at the beginning or end of the period.

See Notes to Financial Statements. 19

Schedule of Investments (unaudited)

MID CAP INNOVATION GROWTH FUND January 31, 2021

Investments	Shares		Fair Value (000)
COMMON STOCKS 98.41%
Advertising 1.41%
Trade Desk, Inc. (The) Class A*		48	$	37
Aerospace/Defense 0.50%
HEICO Corp.		114		13
Apparel 1.56%
Crocs, Inc.*		266		18
Deckers Outdoor Corp.*		78		23
Total				41
Banks: Regional 0.76%
SVB Financial Group*		46		20
Beverages 0.92%
Boston Beer Co., Inc. (The) Class A*		26		24
Biotechnology Research & Production 10.65%
Arena Pharmaceuticals, Inc.*		246		18
Argenx SE ADR*		57		17
Genmab A/S ADR*		609		24
Guardant Health, Inc.*		193		30
Insmed, Inc.*		684		26
Intra-Cellular Therapies, Inc.*		215		7
Iovance Biotherapeutics, Inc.*		450		20
Mirati Therapeutics, Inc.*		111		23
Novavax, Inc.*		99		22
Rocket Pharmaceuticals, Inc.*		330		18
Seagen, Inc.*		115		19
TG Therapeutics, Inc.*		591		28
Ultragenyx Pharmaceutical, Inc.*		194		27
Total				279
Building Materials 0.84%
Trex Co., Inc.*		242		22
Business Services 5.69%
Avalara, Inc.*		214		32
Bright Horizons Family Solutions, Inc.*		146		22
Chegg, Inc.*		282		27
CoStar Group, Inc.*		27		24

20 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

MID CAP INNOVATION GROWTH FUND January 31, 2021

Investments	Shares		Fair Value (000)
Business Services (continued)
MarketAxess Holdings, Inc.		48	$	26
Shift4 Payments, Inc. Class A*		273		18
Total				149
Computer Hardware 4.12%
Crowdstrike Holdings, Inc. Class A*		205		44
EPAM Systems, Inc.*		85		29
Lumentum Holdings, Inc.*		175		17
Zscaler, Inc.*		91		18
Total				108
Computer Software 14.04%
Bill.com Holdings, Inc.*		138		17
Coupa Software, Inc.*		86		27
DocuSign, Inc.*		117		27
Elastic NV*		193		29
Five9, Inc.*		223		37
HubSpot, Inc.*		93		35
Lightspeed POS, Inc. (Canada)*(a)		279		18
MSCI, Inc.		65		26
Paycom Software, Inc.*		87		33
RingCentral, Inc. Class A*		74		28
Take-Two Interactive Software, Inc.*		192		38
Twilio, Inc. Class A*		106		38
Veeva Systems, Inc. Class A*		54		15
Total				368
Drugs 1.56%
Horizon Therapeutics Plc*		186		14
Neurocrine Biosciences, Inc.*		248		27
Total				41
Electrical Equipment 7.78%
Entegris, Inc.		246		24
KLA Corp.		134		38
Marvell Technology Group Ltd.		768		39
Monolithic Power Systems, Inc.		127		45
Skyworks Solutions, Inc.		218		37
Xilinx, Inc.		161		21
Total				204

See Notes to Financial Statements. 21

Schedule of Investments (unaudited)(continued)

MID CAP INNOVATION GROWTH FUND January 31, 2021

Investments	Shares		Fair Value (000)
Electrical: Household 2.52%
AMETEK, Inc.		146	$	17
Generac Holdings, Inc.*		201		49
Total				66
Electronics 2.40%
Garmin Ltd. (Switzerland)(a)		223		26
Trimble, Inc.*		562		37
Total				63
Energy Equipment & Services 5.08%
Enphase Energy, Inc.*		277		51
First Solar, Inc.*		307		30
Plug Power, Inc.*		479		30
Sunrun, Inc.*		318		22
Total				133
Entertainment 2.94%
DraftKings, Inc. Class A*		516		28
Live Nation Entertainment, Inc.*		306		21
Penn National Gaming, Inc.*		273		28
Total				77
Health Care Products 8.66%
10X Genomics, Inc. Class A*		187		32
Align Technology, Inc.*		75		39
IDEXX Laboratories, Inc.*		48		23
Insulet Corp.*		142		38
Masimo Corp.*		64		16
Natera, Inc.*		280		30
Nevro Corp.*		136		22
Repligen Corp.*		134		27
Total				227
Household Equipment/Products 0.95%
Scotts Miracle-Gro Co. (The)		111		25
Household Furnishings 0.76%
Sonos, Inc.*		748		20
Leisure 0.53%
Peloton Interactive, Inc. Class A*		95		14

22 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

MID CAP INNOVATION GROWTH FUND January 31, 2021

Investments	Shares		Fair Value (000)
Machinery: Industrial/Specialty 1.34%
Cognex Corp.		422	$	35
Manufacturing 2.10%
Axon Enterprise, Inc.*		338		55
Real Estate 0.92%
Redfin Corp.*		337		24
Retail 4.66%
Burlington Stores, Inc.*		49		12
Carvana Co.*		103		27
Chipotle Mexican Grill, Inc.*		19		28
Five Below, Inc.*		109		19
Lululemon Athletica, Inc. (Canada)*(a)		74		24
Tractor Supply Co.		82		12
Total				122
Technology 15.07%
Chewy, Inc. Class A*		256		26
Etsy, Inc.*		145		29
Farfetch Ltd. Class A (United Kingdom)*(a)		355		22
Lyft, Inc. Class A*		751		33
Match Group, Inc.*		303		42
Okta, Inc.*		134		35
Pinterest, Inc. Class A*		755		52
Roku, Inc.*		129		50
Spotify Technology SA (Sweden)*(a)		103		32
Stitch Fix, Inc. Class A*		338		32
Wix.com Ltd. (Israel)*(a)		55		14
Zillow Group, Inc. Class C*		214		28
Total				395
Transportation: Miscellaneous 0.65%
Old Dominion Freight Line, Inc.		87		17
Total Common Stocks 98.40% (cost $2,565,918)				2,579
Cash and Other Assets in Excess of Liabilities 1.60%				42
Net Assets 100.00%			$	2,621

ADR	American Depositary Receipt.
*	Non-income producing security.
(a)	Foreign security traded in U. S. dollars.

See Notes to Financial Statements. 23

Schedule of Investments (unaudited)(concluded)

MID CAP INNOVATION GROWTH FUND January 31, 2021

The following is a summary of the inputs used as of January 31, 2021 in valuing the Fund’s investments carried at fair value⁽¹⁾:

Investment Type(2)	Level 1 (000)		Level 2 (000)		Level 3 (000)		Total (000)
Common Stocks	$	2,579	$	–	$	–		$2,579
Total	$	2,579	$	–	$	–		$2,579

(1)	Refer to Note 2(l) for a description of fair value measurements and the three-tier hierarchy of inputs.
(2)	See Schedule of Investments for fair values in each industry.

A reconciliation of Level 3 investments is presented when the fund has a significant amount of Level 3 investments in relation to the Fund’s net assets.

24 See Notes to Financial Statements.

Schedule of Investments (unaudited)

SHORT DURATION HIGH YIELD FUND January 31, 2021

Investments		Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
LONG-TERM INVESTMENTS 99.04%
ASSET-BACKED SECURITIES 3.39%
Other
Voya CLO Ltd. 2019-1A BR†	1.791% (3 Mo. LIBOR + 1.55%		)#	4/15/2031	$	150	$	150,041
Webster Park CLO Ltd. 2015-1A BR†	2.024% (3 Mo. LIBOR + 1.80%		)#	7/20/2030		250		247,377
Total Asset-Backed Securities (cost $395,162)								397,418
CONVERTIBLE BONDS 4.62%
Air Transportation 0.10%
Southwest Airlines Co.		1.25%		5/1/2025		8		11,310
Auto Parts: Original Equipment 0.14%
Veoneer, Inc. (Sweden)(a)		4.00%		6/1/2024		12		16,698
Biotechnology Research & Production 0.19%
Insmed, Inc.		1.75%		1/15/2025		18		21,850
Building Materials 0.09%
Patrick Industries, Inc.		1.00%		2/1/2023		10		10,667
Computer Hardware 0.21%
Western Digital Corp.		1.50%		2/1/2024		25		25,219
Computer Software 0.10%
Everbridge, Inc.		0.125%		12/15/2024		9		12,329
Drugs 0.12%
Canopy Growth Corp.†(b)		4.25%		7/15/2023	CAD	14		13,685
Electric: Power 0.39%
Atlantica Sustainable Infrastructure Jersey Ltd. (Jersey)†(a)		4.00%		7/15/2025	$	36		46,427
Electrical Equipment 0.13%
Microchip Technology, Inc.		1.625%		2/15/2025		5		14,991
Energy Equipment & Services 0.49%
SunPower Corp.		4.00%		1/15/2023		20		46,334
Sunrun, Inc.†		Zero Coupon		2/1/2026		11		11,202
Total								57,536
Entertainment 0.19%
Live Nation Entertainment, Inc.†		2.00%		2/15/2025		22		22,670

See Notes to Financial Statements. 25

Schedule of Investments (unaudited)(continued)

SHORT DURATION HIGH YIELD FUND January 31, 2021

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Food 0.14%
Chefs’ Warehouse, Inc. (The)	1.875%	12/1/2024	$	16	$	16,100
Machinery: Agricultural 0.28%
Turning Point Brands, Inc.	2.50%	7/15/2024		28		32,398
Machinery: Oil Well Equipment & Services 0.12%
Bloom Energy Corp.†	2.50%	8/15/2025		6		13,849
Media 0.11%
fuboTV, Inc.†	3.25%	2/15/2026		12		12,855
Real Estate Investment Trusts 0.64%
IIP Operating Partnership LP†	3.75%	2/21/2024		8		22,875
Pebblebrook Hotel Trust	1.75%	12/15/2026		20		21,382
Redfin Corp.†	Zero Coupon	10/15/2025		25		30,744
Total						75,001
Technology 1.06%
21Vianet Group, Inc. (China)†(a)	Zero Coupon	2/1/2026		12		12,358
RealReal, Inc. (The)†	3.00%	6/15/2025		20		31,962
Shopify, Inc. (Canada)(a)	0.125%	11/1/2025		10		11,838
Uber Technologies, Inc.†	Zero Coupon	12/15/2025		37		38,751
Wayfair, Inc.†	0.625%	10/1/2025		12		12,288
Weibo Corp. (China)(a)	1.25%	11/15/2022		18		17,325
Total						124,522
Transportation: Miscellaneous 0.12%
Scorpio Tankers, Inc. (Monaco)(a)	3.00%	5/15/2022		15		14,587
Total Convertible Bonds (cost $477,810)						542,694
CORPORATE BONDS 77.43%
Advertising 0.09%
Outfront Media Capital LLC / Outfront Media Capital Corp.†	6.25%	6/15/2025		10		10,606
Aerospace/Defense 1.28%
Boeing Co. (The)	4.875%	5/1/2025		21		23,714
Kratos Defense & Security Solutions, Inc.†	6.50%	11/30/2025		12		12,599
SSL Robotics LLC†	9.75%	12/31/2023		15		16,913
TransDigm, Inc.	5.50%	11/15/2027		57		58,579
TransDigm, Inc.	6.50%	7/15/2024		15		15,270
Triumph Group, Inc.	7.75%	8/15/2025		25		23,531
Total						150,606

26 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

SHORT DURATION HIGH YIELD FUND January 31, 2021

Investments		Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Air Transportation 2.82%
American Airlines Group, Inc.†		3.75%		3/1/2025	$	8	$	6,144
American Airlines Group, Inc.†		5.00%		6/1/2022		35		32,966
American Airlines, Inc.†		11.75%		7/15/2025		45		52,074
Delta Air Lines, Inc.		3.80%		4/19/2023		37		37,948
Delta Air Lines, Inc.†		7.00%		5/1/2025		20		23,205
Delta Air Lines, Inc./SkyMiles IP Ltd.†		4.50%		10/20/2025		58		62,000
Hawaiian Airlines 2013-1 Class A Pass Through Certificates		3.90%		1/15/2026		41		39,796
Hawaiian Brand Intellectual Property Ltd.†		5.75%		1/20/2026		12		12,319
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd.†		8.00%		9/20/2025		44		49,416
United Airlines 2020-1 Class A Pass Through Trust		5.875%		10/15/2027		14		15,297
Total								331,165
Apparel 0.30%
Tapestry, Inc.		4.25%		4/1/2025		26		28,085
William Carter Co. (The)†		5.50%		5/15/2025		7		7,451
Total								35,536
Auto Parts: Original Equipment 1.12%
Adient US LLC†		7.00%		5/15/2026		27		29,427
American Axle & Manufacturing, Inc.		6.25%		4/1/2025		31		31,969
Clarios Global LP†		6.75%		5/15/2025		15		16,003
Goodyear Tire & Rubber Co. (The)		9.50%		5/31/2025		12		13,455
Meritor, Inc.†		6.25%		6/1/2025		10		10,675
Tenneco, Inc.		5.00%		7/15/2026		32		29,580
Total								131,109
Automotive 5.47%
BCD Acquisition, Inc.†		9.625%		9/15/2023		6		6,162
Ford Motor Co.		9.00%		4/22/2025		303		369,671
JB Poindexter & Co., Inc.†		7.125%		4/15/2026		19		20,282
Mclaren Finance plc(b)		5.00%		8/1/2022	GBP	100		129,993
Navistar International Corp.†		6.625%		11/1/2025	$	15		15,655
Nissan Motor Acceptance Corp.†		2.80%		1/13/2022		11		11,204
Tesla, Inc.†		5.30%		8/15/2025		66		68,703
Wabash National Corp.†		5.50%		10/1/2025		20		20,473
Total								642,143
Banks: Regional 1.52%
CIT Group, Inc.	3.929% (SOFR + 3.83%		)#	6/19/2024		13		13,841
CIT Group, Inc.		5.00%		8/1/2023		45		49,303

See Notes to Financial Statements. 27

Schedule of Investments (unaudited)(continued)

SHORT DURATION HIGH YIELD FUND January 31, 2021

Investments	Interest Rate		Maturity Date		Principal Amount (000)		Fair Value
Banks: Regional (continued)
Citigroup, Inc.	5.95% (3 Mo. LIBOR + 4.07%	)#	—	(c)	$	27	$	28,441
JPMorgan Chase & Co.	4.00% (SOFR + 2.75%	)#	—	(c)		61		60,962
Popular, Inc.	6.125%		9/14/2023			24		25,960
Total								178,507
Building Materials 0.76%
Forterra Finance LLC/FRTA Finance Corp.†	6.50%		7/15/2025			36		38,408
Norbord, Inc. (Canada)†(a)	6.25%		4/15/2023			20		21,723
PGT Innovations, Inc.†	6.75%		8/1/2026			27		28,721
Total								88,852
Business Services 2.94%
ADT Corp. (The)	3.50%		7/15/2022			30		30,858
ADT Corp. (The)	4.125%		6/15/2023			13		13,650
Ahern Rentals, Inc.†	7.375%		5/15/2023			15		11,147
APX Group, Inc.	7.625%		9/1/2023			9		9,366
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.†	5.25%		3/15/2025			21		21,039
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.†	6.375%		4/1/2024			12		12,173
Capitol Investment Merger Sub 2 LLC†	10.00%		8/1/2024			11		12,009
Hertz Corp. (The)†(d)	5.50%		10/15/2024			24		14,925
Hertz Corp. (The)†(d)	6.00%		1/15/2028			5		3,159
Hertz Corp. (The)(d)	6.25%		10/15/2022			2		1,250
Laureate Education, Inc.†	8.25%		5/1/2025			29		30,595
Legends Hospitality Holding Co. LLC / Legends Hospitality Co-Issuer, Inc.†	5.00%		2/1/2026			6		6,109
Prime Security Services Borrower LLC / Prime Finance, Inc.†	5.25%		4/15/2024			39		41,535
Ritchie Bros Auctioneers, Inc. (Canada)†(a)	5.375%		1/15/2025			15		15,459
Sabre GLBL, Inc.†	7.375%		9/1/2025			14		15,106
Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc.†	4.625%		11/1/2026			28		29,260
Team Health Holdings, Inc.†	6.375%		2/1/2025			11		9,955
Tms International Holding Corp.†	7.25%		8/15/2025			7		7,140
WEX, Inc.†	4.75%		2/1/2023			13		13,080
WW International, Inc.†	8.625%		12/1/2025			45		46,937
Total								344,752

28 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

SHORT DURATION HIGH YIELD FUND January 31, 2021

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Chemicals 1.11%
Chemours Co. (The)	7.00%	5/15/2025	$	23	$	23,799
GCP Applied Technologies, Inc.†	5.50%	4/15/2026		16		16,377
Ingevity Corp.†	4.50%	2/1/2026		33		33,501
Rain CII Carbon LLC/CII Carbon Corp.†	7.25%	4/1/2025		8		8,265
Rayonier AM Products, Inc.†	5.50%	6/1/2024		9		8,150
Rayonier AM Products, Inc.†	7.625%	1/15/2026		5		5,244
Tronox Finance plc (United Kingdom)†(a)	5.75%	10/1/2025		20		20,550
Tronox, Inc.†	6.50%	4/15/2026		14		14,455
Total						130,341
Coal 0.29%
Warrior Met Coal, Inc.†	8.00%	11/1/2024		33		34,418
Computer Hardware 0.16%
Tempo Acquisition LLC/Tempo Acquisition Finance Corp.†	6.75%	6/1/2025		18		18,537
Computer Software 0.67%
Fair Isaac Corp.†	5.25%	5/15/2026		20		22,650
PTC, Inc.†	3.625%	2/15/2025		37		37,994
Veritas US, Inc./Veritas Bermuda Ltd.†	7.50%	9/1/2025		17		17,489
Total						78,133
Construction/Homebuilding 3.07%
Ashton Woods USA LLC/Ashton Woods Finance Co.†	6.75%	8/1/2025		18		18,831
Brookfield Residential Properties, Inc. / Brookfield Residential US Corp. (Canada)†(a)	6.375%	5/15/2025		20		20,673
Century Communities, Inc.	5.875%	7/15/2025		36		37,571
Forestar Group, Inc.†	8.00%	4/15/2024		23		24,205
Lennar Corp.	4.75%	5/30/2025		12		13,710
LGI Homes, Inc.†	6.875%	7/15/2026		26		27,527
Meritage Homes Corp.	6.00%	6/1/2025		17		19,284
New Home Co., Inc. (The)†	7.25%	10/15/2025		24		24,870
Picasso Finance Sub, Inc.†	6.125%	6/15/2025		13		13,893
STL Holding Co. LLC†	7.50%	2/15/2026		42		43,575
Taylor Morrison Communities, Inc./Monarch Communities, Inc.†	5.625%	3/1/2024		12		13,050
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc.†	5.875%	4/15/2023		45		47,845
TRI Pointe Group, Inc./TRI Pointe Homes, Inc.	5.875%	6/15/2024		50		54,719
Total						359,753

See Notes to Financial Statements. 29

Schedule of Investments (unaudited)(continued)

SHORT DURATION HIGH YIELD FUND January 31, 2021

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Containers 0.91%
Ball Corp.	5.00%	3/15/2022	$	15	$	15,696
Ball Corp.	5.25%	7/1/2025		36		40,942
Intertape Polymer Group, Inc. (Canada)†(a)	7.00%	10/15/2026		15		15,881
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer†	5.125%	7/15/2023		2		2,026
Sealed Air Corp.†	5.125%	12/1/2024		10		11,073
Silgan Holdings, Inc.	4.75%	3/15/2025		15		15,291
Trident TPI Holdings, Inc.†	9.25%	8/1/2024		6		6,367
Total						107,276
Diversified 0.32%
VistaJet Malta Finance plc/XO Management Holding, Inc. (Malta)†(a)	10.50%	6/1/2024		37		37,925
Drugs 0.63%
Elanco Animal Health, Inc.	5.272%	8/28/2023		15		16,228
Herbalife Nutrition Ltd./HLF Financing, Inc.†	7.875%	9/1/2025		17		18,551
HLF Financing Sarl LLC/Herbalife International, Inc.†	7.25%	8/15/2026		15		15,863
Teva Pharmaceutical Finance Netherlands III BV (Netherlands)(a)	2.80%	7/21/2023		24		23,838
Total						74,480
Electric: Power 1.45%
Clearway Energy Operating LLC	5.75%	10/15/2025		19		19,945
DPL, Inc.†	4.125%	7/1/2025		25		26,719
Elwood Energy LLC	8.159%	7/5/2026		20		21,726
FirstEnergy Corp.	2.05%	3/1/2025		60		59,920
NextEra Energy Operating Partners LP†	4.25%	9/15/2024		5		5,346
Terraform Global Operating LLC†	6.125%	3/1/2026		36		37,028
Total						170,684
Electrical: Household 0.23%
EnerSys†	5.00%	4/30/2023		26		27,414
Electronics 0.59%
Ingram Micro, Inc.	5.45%	12/15/2024		10		11,530
Itron, Inc.†	5.00%	1/15/2026		19		19,427
Sensata Technologies BV†	4.875%	10/15/2023		27		29,025
Sensata Technologies BV†	5.625%	11/1/2024		8		8,885
Total						68,867

30 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

SHORT DURATION HIGH YIELD FUND January 31, 2021

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Energy Equipment & Services 0.49%
Enviva Partners LP/Enviva Partners Finance Corp.†	6.50%	1/15/2026	$	18	$	18,998
TerraForm Power Operating LLC†	4.25%	1/31/2023		37		38,162
Total						57,160
Engineering & Contracting Services 0.54%
Brundage-Bone Concrete Pumping Holdings, Inc.†	6.00%	2/1/2026		7		7,135
Fluor Corp.	3.50%	12/15/2024		16		15,955
Great Lakes Dredge & Dock Corp.	8.00%	5/15/2022		25		25,494
TopBuild Corp.†	5.625%	5/1/2026		14		14,464
Total						63,048
Entertainment 2.84%
Boyne USA, Inc.†	7.25%	5/1/2025		33		34,506
Buena Vista Gaming Authority†	13.00%	4/1/2023		20		21,837
Caesars Entertainment, Inc.†	8.125%	7/1/2027		6		6,593
Caesars Entertainment, Inc.†	6.25%	7/1/2025		84		88,634
Caesars Resort Collection LLC/CRC Finco, Inc.†	5.25%	10/15/2025		29		28,896
Caesars Resort Collection LLC/CRC Finco, Inc.†	5.75%	7/1/2025		13		13,660
CCM Merger, Inc.†	6.375%	5/1/2026		14		14,875
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp.	5.375%	6/1/2024		10		10,025
Cinemark USA, Inc.	5.125%	12/15/2022		21		20,567
Enterprise Development Authority (The)†	12.00%	7/15/2024		19		21,423
Mohegan Gaming & Entertainment†	7.875%	10/15/2024		9		9,212
Mohegan Gaming & Entertainment†	8.00%	2/1/2026		20		19,789
Scientific Games International, Inc.†	8.625%	7/1/2025		16		17,320
Stars Group Holdings BV/Stars Group US Co-Borrower LLC (Netherlands)†(a)	7.00%	7/15/2026		13		13,658
Vail Resorts, Inc.†	6.25%	5/15/2025		12		12,765
Total						333,760
Financial Services 4.70%
Aircastle Ltd.†	5.25%	8/11/2025		31		34,572
Alliance Data Systems Corp.†	4.75%	12/15/2024		32		32,540
Ally Financial, Inc.	3.875%	5/21/2024		13		14,196
Ally Financial, Inc.	5.75%	11/20/2025		25		29,130
Aviation Capital Group LLC†	1.95%	1/30/2026		5		4,963
Avolon Holdings Funding Ltd. (Ireland)†(a)	5.50%	1/15/2026		15		17,075
Credit Acceptance Corp.†	5.125%	12/31/2024		22		22,658
Fairstone Financial, Inc. (Canada)†(a)	7.875%	7/15/2024		40		42,321

See Notes to Financial Statements. 31

Schedule of Investments (unaudited)(continued)

SHORT DURATION HIGH YIELD FUND January 31, 2021

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Financial Services (continued)
Global Aircraft Leasing Co. Ltd. PIK 7.25%†	6.50%	9/15/2024	$	30	$	26,510
Navient Corp.	6.75%	6/25/2025		50		54,844
Navient Corp.	7.25%	1/25/2022		78		80,902
OneMain Finance Corp.	4.00%	9/15/2030		9		9,076
OneMain Finance Corp.	8.25%	10/1/2023		58		66,621
OneMain Finance Corp.	8.875%	6/1/2025		63		70,557
PennyMac Financial Services, Inc.†	5.375%	10/15/2025		17		17,829
PRA Group, Inc.†	7.375%	9/1/2025		26		27,934
Total						551,728
Food 0.80%
Arcor SAIC (Argentina)†(a)	6.00%	7/6/2023		12		11,236
Chobani LLC/Chobani Finance Corp., Inc.†	7.50%	4/15/2025		18		18,641
Fresh Market, Inc. (The)†	9.75%	5/1/2023		15		15,478
Ingles Markets, Inc.	5.75%	6/15/2023		14		14,184
JBS USA LUX SA/JBS USA Finance, Inc.†	5.75%	6/15/2025		24		24,777
Simmons Foods, Inc.†	7.75%	1/15/2024		9		9,404
Total						93,720
Health Care Products 0.22%
Hill-Rom Holdings, Inc.†	5.00%	2/15/2025		25		25,797
Health Care Services 3.35%
Air Methods Corp.†	8.00%	5/15/2025		24		21,867
Akumin, Inc.†	7.00%	11/1/2025		18		18,967
Global Medical Response, Inc.†	6.50%	10/1/2025		22		22,759
Hadrian Merger Sub, Inc.†	8.50%	5/1/2026		9		9,370
HCA, Inc.	7.50%	12/15/2023		108		124,335
ModivCare, Inc.†	5.875%	11/15/2025		15		15,928
Molina Healthcare, Inc.	5.375%	11/15/2022		25		26,516
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc.†	9.75%	12/1/2026		9		9,831
RP Escrow Issuer LLC†	5.25%	12/15/2025		33		34,279
Select Medical Corp.†	6.25%	8/15/2026		15		16,051
Tenet Healthcare Corp.†	4.625%	9/1/2024		91		93,474
Total						393,377
Household Equipment/Products 0.39%
CD&R Smokey Buyer, Inc.†	6.75%	7/15/2025		6		6,443
Newell Brands, Inc.	4.00%	6/15/2022		25		25,812
Newell Brands, Inc.	4.875%	6/1/2025		12		13,227
Total						45,482

32 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

SHORT DURATION HIGH YIELD FUND January 31, 2021

Investments		Interest Rate		Maturity Date		Principal Amount (000)		Fair Value
Insurance 0.37%
Acrisure LLC/Acrisure Finance, Inc.†		7.00%		11/15/2025		$	7	$	7,214
Acrisure LLC/Acrisure Finance, Inc.†		8.125%		2/15/2024			28		29,312
HUB International Ltd.†		7.00%		5/1/2026			7		7,270
Total									43,796
Leisure 2.37%
Carnival Corp.†		7.625%		3/1/2026			20		21,187
Carnival Corp.†		11.50%		4/1/2023			71		80,659
Life Time, Inc.†		5.75%		1/15/2026			20		20,240
NCL Corp. Ltd.†		3.625%		12/15/2024			24		21,285
NCL Corp. Ltd.†		12.25%		5/15/2024			17		19,814
Royal Caribbean Cruises Ltd.†		9.125%		6/15/2023			48		51,840
Royal Caribbean Cruises Ltd.†		11.50%		6/1/2025			45		51,943
Viking Cruises Ltd.†		13.00%		5/15/2025			10		11,659
Total									278,627
Lodging 1.63%
Boyd Gaming Corp.†		8.625%		6/1/2025			15		16,594
Las Vegas Sands Corp.		2.90%		6/25/2025			21		21,815
Marriott International, Inc.		5.75%		5/1/2025			27		31,358
MGM Resorts International		6.00%		3/15/2023			29		30,994
MGM Resorts International		6.75%		5/1/2025			11		11,794
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp.†		5.875%		5/15/2025			14		13,771
Wyndham Destinations, Inc.		5.65%		4/1/2024			39		41,872
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.†		4.25%		5/30/2023			14		14,131
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.†		5.25%		5/15/2027			9		9,148
Total									191,477
Machinery: Industrial/Specialty 0.33%
Clark Equipment Co.†		5.875%		6/1/2025			27		28,637
Tennant Co.		5.625%		5/1/2025			10		10,390
Total									39,027
Manufacturing 1.16%
Bombardier, Inc. (Canada)†(a)		8.75%		12/1/2021			15		15,738
FXI Holdings, Inc.†		7.875%		11/1/2024			22		22,330
General Electric Co.	3.554% (3 Mo. LIBOR + 3.33%		)#	—	(c)		47		44,452
Hillenbrand, Inc.		5.75%		6/15/2025			18		19,384
Trinity Industries, Inc.		4.55%		10/1/2024			32		33,798
Total									135,702

See Notes to Financial Statements. 33

Schedule of Investments (unaudited)(continued)

SHORT DURATION HIGH YIELD FUND January 31, 2021

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Media 1.97%
AMC Networks, Inc.	4.75%	8/1/2025	$	23	$	23,725
Clear Channel Worldwide Holdings, Inc.	9.25%	2/15/2024		18		18,757
CSC Holdings LLC	5.25%	6/1/2024		41		44,203
Diamond Sports Group LLC/Diamond Sports Finance Co.†	5.375%	8/15/2026		15		12,131
Diamond Sports Group LLC/Diamond Sports Finance Co.†	6.625%	8/15/2027		20		12,725
DISH DBS Corp.	5.875%	7/15/2022		32		33,312
DISH DBS Corp.	5.875%	11/15/2024		25		25,943
Sirius XM Radio, Inc.†	4.625%	7/15/2024		27		27,951
Univision Communications, Inc.†	5.125%	2/15/2025		32		32,234
Total						230,981
Metal Fabricating 0.65%
Grinding Media, Inc./Moly-Cop AltaSteel Ltd.†	7.375%	12/15/2023		47		48,057
Hillman Group, Inc. (The)†	6.375%	7/15/2022		28		27,972
Total						76,029
Metals & Minerals: Miscellaneous 2.06%
Coeur Mining, Inc.	5.875%	6/1/2024		32		32,437
Compass Minerals International, Inc.†	4.875%	7/15/2024		17		17,657
FMG Resources August 2006 Pty Ltd. (Australia)†(a)	4.75%	5/15/2022		25		25,766
FMG Resources August 2006 Pty Ltd. (Australia)†(a)	5.125%	5/15/2024		12		13,062
Freeport-McMoRan, Inc.	4.55%	11/14/2024		81		88,972
Kaiser Aluminum Corp.†	6.50%	5/1/2025		27		28,890
New Gold, Inc. (Canada)†(a)	6.375%	5/15/2025		6		6,221
Novelis Corp.†	5.875%	9/30/2026		14		14,682
Taseko Mines Ltd. (Canada)†(a)(e)	7.00%	2/15/2026		14		13,965
Total						241,652
Office Furniture & Business Equipment 0.30%
CDW LLC/CDW Finance Corp.	4.125%	5/1/2025		34		35,296
Oil 9.39%
Aethon United BR LP / Aethon United Finance Corp.†(e)	8.25%	2/15/2026		21		21,525
Apache Corp.	4.625%	11/15/2025		46		47,207
California Resources Corp.†	7.125%	2/1/2026		12		11,918
Callon Petroleum Co.†	9.00%	4/1/2025		30		28,674
Cenovus Energy, Inc. (Canada)(a)	3.80%	9/15/2023		28		29,511
Centennial Resource Production LLC†	5.375%	1/15/2026		14		11,786

34 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

SHORT DURATION HIGH YIELD FUND January 31, 2021

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Oil (continued)
Centennial Resource Production LLC†	8.00%	6/1/2025	$	46	$	43,930
CITGO Petroleum Corp.†	7.00%	6/15/2025		10		10,154
Comstock Resources, Inc.†	7.50%	5/15/2025		10		10,244
Continental Resources, Inc.	3.80%	6/1/2024		31		31,833
Continental Resources, Inc.	5.00%	9/15/2022		8		8,018
CrownRock LP/CrownRock Finance, Inc.†	5.625%	10/15/2025		33		32,902
Diamondback Energy, Inc.	2.875%	12/1/2024		28		29,607
Endeavor Energy Resources LP/EER Finance, Inc.†	5.50%	1/30/2026		29		30,088
EQT Corp.	3.00%	10/1/2022		4		4,070
EQT Corp.	7.875%	2/1/2025		10		11,798
Indigo Natural Resources LLC†	6.875%	2/15/2026		32		33,238
Laredo Petroleum, Inc.	9.50%	1/15/2025		20		17,181
Magnolia Oil & Gas Operating LLC/Magnolia Oil & Gas Finance Corp.†	6.00%	8/1/2026		46		47,909
Matador Resources Co.	5.875%	9/15/2026		20		19,125
MEG Energy Corp. (Canada)†(a)	6.50%	1/15/2025		15		15,470
MEG Energy Corp. (Canada)†(a)	7.00%	3/31/2024		48		48,718
Murphy Oil Corp.	6.875%	8/15/2024		47		46,001
Nabors Industries Ltd.†	7.25%	1/15/2026		26		21,123
Occidental Petroleum Corp.	2.90%	8/15/2024		190		184,062
PDC Energy, Inc.	6.125%	9/15/2024		38		38,839
Petroleos Mexicanos (Mexico)(a)	3.50%	1/30/2023		12		12,141
Petroleos Mexicanos (Mexico)(a)	4.875%	1/24/2022		30		30,855
Precision Drilling Corp. (Canada)†(a)	7.125%	1/15/2026		21		20,423
Precision Drilling Corp. (Canada)(a)	5.25%	11/15/2024		2		1,846
Precision Drilling Corp. (Canada)(a)	7.75%	12/15/2023		3		2,994
Range Resources Corp.	4.875%	5/15/2025		14		13,723
Range Resources Corp.	5.00%	3/15/2023		22		22,103
Seven Generations Energy Ltd. (Canada)†(a)	5.375%	9/30/2025		24		24,442
Seven Generations Energy Ltd. (Canada)†(a)	6.75%	5/1/2023		20		20,263
SM Energy Co.	5.625%	6/1/2025		25		22,672
SM Energy Co.	6.125%	11/15/2022		18		17,539
Southwestern Energy Co.	6.45%	1/23/2025		32		33,600
Transocean Guardian Ltd.†	5.875%	1/15/2024		18		16,074
Transocean Sentry Ltd.†	5.375%	5/15/2023		12		10,577
WPX Energy, Inc.	8.25%	8/1/2023		15		17,291
Total						1,101,474

See Notes to Financial Statements. 35

Schedule of Investments (unaudited)(continued)

SHORT DURATION HIGH YIELD FUND January 31, 2021

Investments		Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Oil: Crude Producers 2.27%
Antero Midstream Partners LP/Antero Midstream Finance Corp.†		7.875%		5/15/2026	$	12	$	12,864
Blue Racer Midstream LLC / Blue Racer Finance Corp.†		7.625%		12/15/2025		7		7,420
Buckeye Partners LP†		4.125%		3/1/2025		12		12,187
Buckeye Partners LP		4.15%		7/1/2023		29		29,849
Buckeye Partners LP	6.375% (3 Mo. LIBOR + 4.02%		)#	1/22/2078		31		24,248
Cheniere Energy Partners LP		5.25%		10/1/2025		39		40,072
New Fortress Energy, Inc.†		6.75%		9/15/2025		18		18,646
Northriver Midstream Finance LP (Canada)†(a)		5.625%		2/15/2026		18		18,462
Rattler Midstream LP†		5.625%		7/15/2025		10		10,494
Targa Resources Partners LP / Targa Resources Partners Finance Corp.		5.125%		2/1/2025		23		23,652
Western Midstream Operating LP		3.95%		6/1/2025		56		56,945
Western Midstream Operating LP		4.00%		7/1/2022		11		11,298
Total								266,137
Oil: Integrated Domestic 0.93%
ChampionX Corp		6.375%		5/1/2026		39		41,050
Oceaneering International, Inc.		4.65%		11/15/2024		48		45,330
TechnipFMC PLC (United Kingdom)†(a)		6.50%		2/1/2026		11		11,468
Transocean Proteus Ltd.†		6.25%		12/1/2024		12		11,070
Total								108,918
Paper & Forest Products 0.10%
Resolute Forest Products, Inc. (Canada)†(a)(e)		4.875%		3/1/2026		12		11,955
Real Estate Investment Trusts 4.05%
EPR Properties		5.25%		7/15/2023		37		38,539
ESH Hospitality, Inc.†		5.25%		5/1/2025		28		28,601
GLP Capital LP/GLP Financing II, Inc.		5.375%		11/1/2023		10		10,938
HAT Holdings I LLC/HAT Holdings II LLC†		6.00%		4/15/2025		74		78,717
Hunt Cos., Inc.†		6.25%		2/15/2026		15		15,381
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.†		5.25%		10/1/2025		38		37,976
Mack-Cali Realty LP		4.50%		4/18/2022		22		22,545
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc.†		4.625%		6/15/2025		8		8,488
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc.		5.625%		5/1/2024		13		13,971

36 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

SHORT DURATION HIGH YIELD FUND January 31, 2021

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Real Estate Investment Trusts (continued)
Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co-Issuer†	7.50%	6/1/2025	$	35	$	37,778
Peach Property Finance GmbH†(b)	4.375%	11/15/2025	EUR	100		125,557
SL Green Realty Corp.	4.50%	12/1/2022	$	8		8,415
Tanger Properties LP	3.875%	12/1/2023		33		34,634
VICI Properties LP / VICI Note Co., Inc.†	3.50%	2/15/2025		13		13,236
Total						474,776
Retail 2.91%
BCPE Ulysses Intermediate, Inc. PIK 8.50%†	7.75%	4/1/2027		14		13,965
Beacon Roofing Supply, Inc.†	4.875%	11/1/2025		26		26,364
Brinker International, Inc.†	5.00%	10/1/2024		19		19,829
Caleres, Inc.	6.25%	8/15/2023		11		11,110
Carvana Co.†	5.625%	10/1/2025		14		14,478
GameStop Corp.†	6.75%	3/15/2021		4		4,010
GameStop Corp.	6.75%	3/15/2021		17		17,043
Gap, Inc. (The)†	8.625%	5/15/2025		15		16,818
Gap, Inc. (The)†	8.875%	5/15/2027		16		18,700
Guitar Center, Inc.†	8.50%	1/15/2026		14		14,665
IRB Holding Corp.†	6.75%	2/15/2026		9		9,285
IRB Holding Corp.†	7.00%	6/15/2025		4		4,351
L Brands, Inc.†	6.875%	7/1/2025		34		37,076
Penske Automotive Group, Inc.	3.50%	9/1/2025		24		24,571
PetSmart, Inc.†	7.125%	3/15/2023		15		15,056
PetSmart, Inc.†	8.875%	6/1/2025		23		24,042
Rite Aid Corp.†	8.00%	11/15/2026		22		23,678
Sally Holdings LLC/Sally Capital, Inc.†	8.75%	4/30/2025		15		16,542
Specialty Building Products Holdings LLC/SBP Finance Corp.†	6.375%	9/30/2026		18		18,923
White Cap Parent LLC†	8.25%	3/15/2026		11		11,151
Total						341,657
Retail: Specialty 0.12%
Coty, Inc.†	6.50%	4/15/2026		15		14,310
Steel 0.72%
Allegheny Technologies, Inc.	7.875%	8/15/2023		15		16,448
Cleveland-Cliffs, Inc.†	9.875%	10/17/2025		29		34,137
U. S. Steel Corp.†	12.00%	6/1/2025		29		33,684
Total						84,269

See Notes to Financial Statements. 37

Schedule of Investments (unaudited)(continued)

SHORT DURATION HIGH YIELD FUND January 31, 2021

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Technology 3.29%
Cogent Communications Group, Inc.(b)	4.375%	6/30/2024	EUR	100	$	125,574
Expedia Group, Inc.†	6.25%	5/1/2025	$	22		25,450
Netflix, Inc.†	3.625%	6/15/2025		96		104,460
Netflix, Inc.	5.50%	2/15/2022		39		40,877
TripAdvisor, Inc.†	7.00%	7/15/2025		30		32,419
Uber Technologies, Inc.†	7.50%	5/15/2025		12		12,870
VeriSign, Inc.	4.625%	5/1/2023		15		15,136
VeriSign, Inc.	5.25%	4/1/2025		26		29,396
Total						386,182
Telecommunications 2.26%
Altice France Holding SA (Luxembourg)†(a)	10.50%	5/15/2027		50		56,156
Sprint Corp.	7.625%	2/15/2025		175		209,344
Total						265,500
Toys 0.40%
Mattel, Inc.	3.15%	3/15/2023		38		38,756
Mattel, Inc.†	6.75%	12/31/2025		8		8,410
Total						47,166
Transportation: Miscellaneous 0.39%
XPO Logistics, Inc.†	6.25%	5/1/2025		24		25,800
XPO Logistics, Inc.†	6.75%	8/15/2024		19		20,118
Total						45,918
Wholesale 0.70%
Avient Corp.†	5.75%	5/15/2025		12		12,750
Core & Main Holdings LP PIK 9.375%†	8.625%	9/15/2024		29		29,595
Performance Food Group, Inc.†	5.50%	6/1/2024		18		18,158
Wolverine Escrow LLC†	8.50%	11/15/2024		22		21,079
Total						81,582
Total Corporate Bonds (cost $8,665,352)						9,087,607
FLOATING RATE LOANS(f) 12.29%
Aerospace/Defense 0.10%
WP CPP Holdings, LLC 2018 Term Loan	–(g)	4/30/2025		12		11,547
Air Transportation 0.19%
JetBlue Airways Corporation Term Loan	6.25% (3 Mo. LIBOR + 5.25%)	6/17/2024		21		21,959

38 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

SHORT DURATION HIGH YIELD FUND January 31, 2021

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Auto Parts: Original Equipment 0.17%
Chassix Inc. 2017 1st Lien Term Loan	6.50% (3 Mo. LIBOR + 5.50% (6 Mo. LIBOR + 5.50%	) )	11/15/2023	$	20	$	19,798
Automotive 0.11%
Drive Chassis HoldCo, LLC 2019 2nd Lien Term Loan	8.484% (3 Mo. LIBOR + 8.25%	)	4/10/2026		13		13,217
Building Materials 0.34%
ACProducts, Inc. 2020 Term Loan B	7.50% (3 Mo. LIBOR + 6.50%	)	8/18/2025		19		19,320
Associated Asphalt Partners, LLC 2017 Term Loan B	–(g)		4/5/2024		10		9,001
Jeld-Wen Inc. 2017 1st Lien Term Loan	2.121% (1 Mo. LIBOR + 2.00%	)	12/14/2024		12		11,934
Total							40,255
Business Services 0.91%
Atlantic Aviation FBO Inc. 2018 Term Loan B	3.88% (1 Mo. LIBOR + 3.75%	)	12/6/2025		16		16,117
Brand Energy & Infrastructure Services, Inc. 2017 Term Loan	5.25% (3 Mo. LIBOR + 4.25%	)	6/21/2024		20		19,734
Employbridge LLC Term Loan B	5.50% (3 Mo. LIBOR + 4.50%	)	4/18/2025		20		19,833
Guidehouse LLP 2018 Term Loan	4.621% (1 Mo. LIBOR + 4.50%	)	5/1/2025		22		21,774
KUEHG Corp. 2018 Incremental Term Loan	4.75% (3 Mo. LIBOR + 3.75%	)	2/21/2025		30		28,777
Total							106,235
Chemicals 0.49%
H. B. Fuller Company 2017 Term Loan B	2.13% (1 Mo. LIBOR + 2.00%	)	10/20/2024		10		9,734
LTI Holdings, Inc. 2018 Add On 1st Lien Term Loan	3.621% (1 Mo. LIBOR + 3.50%	)	9/6/2025		20		19,371
Starfruit Finco B.V 2018 USD Term Loan B (Netherlands)	3.129% (1 Mo. LIBOR + 3.00%	)	10/1/2025		29		28,852
Total							57,957
Coal 0.10%
Contura Energy, Inc. 2019 Term Loan	–(g)		6/14/2024		15		11,968

See Notes to Financial Statements. 39

Schedule of Investments (unaudited)(continued)

SHORT DURATION HIGH YIELD FUND January 31, 2021

Investments		Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Computer Software 0.44%
Barracuda Networks, Inc. 1st Lien Term Loan		4.50% (3 Mo. LIBOR + 3.75%	)	2/12/2025	$	8	$	8,336
Grab Holdings, Inc. Term Loan B		–(g)		1/20/2026		10		10,420
Renaissance Holding Corp. 2018 1st Lien Term Loan		3.371% (1 Mo. LIBOR + 3.25%	)	5/30/2025		24		23,724
Ultimate Software Group Inc. (The) Term Loan B		3.871% (1 Mo. LIBOR + 3.75%	)	5/4/2026		9		9,017
Total								51,497
Electric: Power 0.31%
Astoria Energy LLC 2020 Term Loan B		4.50% (3 Mo. LIBOR +3.50%	)	12/10/2027		15		15,035
Helix Gen Funding, LLC Term Loan B		4.75% (1 Mo. LIBOR + 3.75%	)	6/3/2024		22		21,895
Total								36,930
Electronics 0.20%
Deliver Buyer, Inc. Term Loan B		5.254% (3 Mo. LIBOR + 5.00%	)	5/1/2024		17		16,891	(h)
Electrical Components International, Inc. 2018 1st Lien Term Loan		4.371% (1 Mo. LIBOR + 4.25%	)	6/26/2025		7		6,584
Total								23,475
Entertainment 0.64%
Cinemark USA, Inc. 2018 Term Loan B		1.88% (1 Mo. LIBOR + 1.75%	)	3/31/2025		7		6,792
Motion Finco Sarl Delayed Draw Term Loan B2 (Luxembourg)		3.50% (3 Mo. LIBOR + 3.25%	)	11/12/2026		4		3,453
Motion Finco Sarl USD Term Loan B1 (Luxembourg)		3.50% (3 Mo. LIBOR + 3.25%	)	11/12/2026		27		26,073
Penn National Gaming, Inc. 2018 1st Lien Term Loan B		3.00% (1 Mo. LIBOR + 2.25%	)	10/15/2025		19		19,137
Playtika Holding Corp Term Loan B		7.00% (3 Mo. LIBOR + 6.00%	)	12/10/2024		19		19,386
Total								74,841
Environmental Services 0.13%
Robertshaw US Holding Corp 2018 1st Lien Term Loan	4.50% (1 Mo. LIBOR + 3.50%		)	2/28/2025		16		14,941	(h)

40 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

SHORT DURATION HIGH YIELD FUND January 31, 2021

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Financial Services 0.54%
Advisor Group, Inc. 2019 Term Loan B	5.121% (1 Mo. LIBOR + 5.00%	)	7/31/2026	$	39	$	38,945
SSH Group Holdings, Inc. 2018 1st Lien Term Loan	4.504% (3 Mo. LIBOR + 4.25%	)	7/30/2025		25		24,047
Total							62,992
Food/Beverage 0.13%
Aramark Services, Inc. 2018 Term Loan B3	1.871% (1 Mo. LIBOR + 1.75%	)	3/11/2025		15		14,933
Health Care Services 0.76%
EyeCare Partners LLC 2020 Term Loan	3.871% (1 Mo. LIBOR + 3.75%	)	2/18/2027		15		14,792
Heartland Dental LLC 2018 1st Lien Term Loan	3.621% (1 Mo. LIBOR + 3.50%	)	4/30/2025		25		24,493
U. S. Renal Care, Inc. 2019 Term Loan B	5.188% (1 Mo. LIBOR + 5.00%	)	6/26/2026		19		18,980
Wellpath Holdings, Inc. 2018 1st Lien Term Loan	5.621% (1 Mo. LIBOR + 5.50%	)	10/1/2025		17		16,799
WP CityMD Bidco LLC 2021 Term Loan B	4.50% (3 Mo. LIBOR + 3.75%	)	8/13/2026		14		14,552
Total							89,616
Household Equipment/Products 0.20%
Diamond (BC) B. V. USD Term Loan (Netherlands)	3.212% (3 Mo. LIBOR + 3.00%	)	9/6/2024		24		23,860
Household Furnishings 0.08%
TGP Holdings III, LLC 2018 1st Lien Term Loan	5.00% (3 Mo. LIBOR + 4.00%	)	9/25/2024		10		9,974
Insurance 0.14%
Asurion LLC 2018 Term Loan B7	3.121%  (1 Mo. LIBOR + 3.00%	)	11/3/2024		16		15,906
Leisure 1.05%
Alterra Mountain Co. Term Loan B1	2.871% (1 Mo. LIBOR + 2.75%	)	7/31/2024		18		17,889
Bulldog Purchaser Inc. 2018 Term Loan	3.871% (1 Mo. LIBOR + 3.75%	)	9/5/2025		16		14,817
Equinox Holdings, Inc. 2017 1st Lien Term Loan	4.00% (3 Mo. LIBOR + 3.00%	)	3/8/2024		10		8,905
Hayward Industries, Inc. 1st Lien Term Loan	3.621% (1 Mo. LIBOR + 3.50%	)	8/5/2024		11		11,139

See Notes to Financial Statements. 41

Schedule of Investments (unaudited)(continued)

SHORT DURATION HIGH YIELD FUND January 31, 2021

Investments		Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Leisure (continued)
TopGolf International, Inc. Term Loan B		7.00% (3 Mo. LIBOR + 6.25%	)	2/8/2026	$	25	$	25,498
Travel Leaders Group, LLC 2018 Term Loan B		4.121% (1 Mo. LIBOR + 4.00%	)	1/25/2024		29		25,814
United PF Holdings, LLC 2019 1st Lien Term Loan		4.254% (3 Mo. LIBOR + 4.00%	)	12/30/2026		20		19,135
Total								123,197
Lodging 0.36%
Boyd Gaming Corporation Term Loan B3		2.342% (1 Wk. LIBOR + 2.25%	)	9/15/2023		18		17,904
Playa Resorts Holding B. V. 2017 Term Loan B (Netherlands)	3.75% (1 Mo. LIBOR + 2.75%		)	4/29/2024		9		9,092
Spectacle Gary Holdings LLC Delayed Draw Term Loan		11.00% (3 Mo. LIBOR + 9.00%	)	12/23/2025		1		1,047
Spectacle Gary Holdings LLC Term Loan B		11.00% (3 Mo. LIBOR + 9.00%	)	12/23/2025		14		14,448
Total								42,491
Machinery: Industrial/Specialty 0.25%
Engineered Machinery Holdings, Inc. USD 1st Lien Term Loan		4.00% (3 Mo. LIBOR + 3.00%	)	7/19/2024		12		11,977
Granite Holdings US Acquisition Co. Term Loan B		5.504% (3 Mo. LIBOR + 5.25%	)	9/30/2026		17		16,798
Total								28,775
Media 0.94%
Banijay Entertainment S.A.S USD Term Loan (France)		3.881% (1 Mo. LIBOR + 3.75%	)	3/1/2025		15		14,874
CSC Holdings, LLC 2017 Term Loan B1		2.377% (1 Mo. LIBOR + 2.25%	)	7/17/2025		41		40,685
NEP/NCP Holdco, Inc. 2018 1st Lien Term Loan		3.371% (1 Mo. LIBOR + 3.25%	)	10/20/2025		36		34,575
Nexstar Broadcasting, Inc. 2018 Term Loan B3		2.371% (1 Mo. LIBOR + 2.25%	)	1/17/2024		21		20,698
Total								110,832
Miscellaneous 0.45%
MND Holdings III Corp 2018 1st Lien Term Loan		4.50% (3 Mo. LIBOR + 3.50%	)	6/19/2024		16		15,011
Pearl Intermediate Parent LLC 2018 1st Lien Term Loan		2.871% (1 Mo. LIBOR + 2.75%	)	2/14/2025		19		18,394

42 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

SHORT DURATION HIGH YIELD FUND January 31, 2021

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Miscellaneous (continued)
Pearl Intermediate Parent LLC 2018 Incremental Term Loan	3.397% (1 Mo. LIBOR + 3.25%	)	2/14/2025	$	1	$	1,385
PetVet Care Centers, LLC 2020 Incremental Term Loan	5.25% (3 Mo. LIBOR + 4.25%	)	2/14/2025		4		4,484
WideOpenWest Finance LLC 2017 Term Loan B	4.25% (1 Mo. LIBOR + 3.25%	)	8/18/2023		14		13,977
Total							53,251
Oil 0.13%
Brazos Delaware II, LLC Term Loan B	4.13% (1 Mo. LIBOR + 4.00%	)	5/21/2025		16		15,181
Oil: Crude Producers 0.19%
Navitas Midstream Midland Basin, LLC Term Loan B	5.50% (1 Mo. LIBOR + 4.50%	)	12/13/2024		22		21,868
Oil: Integrated Domestic 0.34%
BCP Raptor II, LLC 1st Lien Term Loan	4.873% (1 Mo. LIBOR + 4.75%	)	11/3/2025		26		24,015
Ulterra Drilling Technologies, LP Term Loan B	5.371% (1 Mo. LIBOR + 5.25%	)	11/26/2025		18		15,494	(h)
Total							39,509
Real Estate Investment Trusts 0.08%
Claros Mortgage Trust, Inc. Term Loan B	6.00% (1 Mo. LIBOR + 5.00%	)	8/9/2026		9		9,239	(h)
Retail 1.37%
AI Aqua Merger Sub, Inc. 2017 Incremental Term Loan	4.25% (1 Mo. LIBOR + 3.25%	)	12/13/2023		14		14,016	(h)
BDF Acquisition Corp. 1st Lien Term Loan	6.25% (1 Mo. LIBOR + 5.25%	)	8/14/2023		15		14,840
Container Store, Inc. (The) 2020 Term Loan B3	5.75% (3 Mo. LIBOR + 4.75%	)	1/31/2026		19		19,036	(h)
CWGS Group, LLC 2016 Term Loan	3.50% (1 Mo. LIBOR + 2.75%	)	11/8/2023		15		14,951
Golden Nugget, Inc. 2017 Incremental Term Loan B	3.25% (2 Mo. LIBOR + 2.50%	)	10/4/2023		20		19,642
Leslies Poolmart, Inc. 2016 Term Loan	3.621% (1 Mo. LIBOR + 3.50%	)	8/16/2023		12		11,951
Miller’s Ale House, Inc. 2018 Term Loan	–(g)		5/30/2025		13		12,409
Panera Bread Company Term Loan A	2.375% (1 Mo. LIBOR + 2.25%	)	7/18/2022		11		10,698

See Notes to Financial Statements. 43

Schedule of Investments (unaudited)(continued)

SHORT DURATION HIGH YIELD FUND January 31, 2021

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Retail (continued)
Party City Holdings Inc. 2018 Term Loan B	3.25% (3 Mo. LIBOR + 2.50%	)	8/19/2022	$	19	$	18,213
Petco Animal Supplies, Inc. 2017 Term Loan B	4.25% (3 Mo. LIBOR + 3.25%	)	1/26/2023		25		25,007
Total							160,763
Technology 0.38%
Anastasia Parent LLC 2018 Term Loan B	4.004% (3 Mo. LIBOR + 3.75%	)	8/11/2025		15		10,270
Imperva, Inc. 1st Lien Term Loan	5.00% (3 Mo. LIBOR + 4.00%	)	1/12/2026		12		11,977
Optiv Security, Inc. 1st Lien Term Loan	–(g)		2/1/2024		24		22,801
Total							45,048
Telecommunications 0.09%
Colorado Buyer, Inc. Term Loan B	4.00% (3 Mo. LIBOR + 3.00%	)	5/1/2024		11		10,407
Textiles Products 0.15%
ASP Unifrax Holdings, Inc. Term Loan B	4.004%  (3 Mo. LIBOR + 3.75%	)	12/12/2025		18		17,793
Transportation: Miscellaneous 0.21%
Gruden Acquisition, Inc. 2017 Term Loan	6.50%  (3 Mo. LIBOR + 5.50%	)	8/18/2022		25		24,843
Wholesale 0.32%
Core & Main LP 2018 1st Lien Term Loan	3.75% (3 Mo. LIBOR + 2.75%	)	8/1/2024		20		19,945
Fastlane Parent Company, Inc. 2018 Add On 1st Lien Term Loan	4.621% (1 Mo. LIBOR + 4.50%	)	2/4/2026		18		17,952
Total							37,897
Total Floating Rate Loans (cost $1,409,954)							1,442,995
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 0.89%
Great Wolf Trust 2019-WOLF B†	1.46% (1 Mo. LIBOR + 1.33%	)#	12/15/2036		15		14,941
Great Wolf Trust 2019-WOLF D†	2.059% (1 Mo. LIBOR + 1.93%	)#	12/15/2036		27		26,588
Great Wolf Trust 2019-WOLF E†	2.858% (1 Mo. LIBOR + 2.73%	)#	12/15/2036		17		16,598
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ B†	1.426% (1 Mo. LIBOR + 1.30%	)#	6/15/2032		16		16,000

44 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

SHORT DURATION HIGH YIELD FUND January 31, 2021

Investments	Interest Rate			Maturity Date	Principal Amount (000)		Fair Value
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
KKR Industrial Portfolio Trust 2021-KDIP D†	1.40% (1 Mo. LIBOR + 1.25%		)#	12/15/2037		$  10	$	10,041
KKR Industrial Portfolio Trust 2021-KDIP E†	1.70% (1 Mo. LIBOR + 1.55%		)#	12/15/2037		10		10,048
KKR Industrial Portfolio Trust 2021-KDIP F†	2.20% (1 Mo. LIBOR + 2.05%		)#	12/15/2037		10		10,052
Total Non-Agency Commercial Mortgage-Backed Securities (cost $100,994)								104,268
		Dividend Rate			Shares (000)
PREFERRED STOCKS 0.42%
Banks: Regional
Synovus Financial Corp.	6.30%		#(i)			1		31,944
Texas Capital Bancshares, Inc.	6.50%					1		17,871
Total Preferred Stocks (cost $49,372)								49,815
Total Long-Term Investments (cost $11,098,644)								11,624,797
		Interest Rate				Principal Amount (000)
SHORT-TERM INVESTMENT 3.04%
REPURCHASE AGREEMENT
Repurchase Agreement dated 1/29/2021, 0.00% due 2/1/2021 with Fixed Income Clearing Corp. collateralized by $363,900 of U. S. Treasury Note at 0.125% due 7/15/2023; value: $363,690; proceeds: $356,540 (cost $356,540)						$357		356,540
Total Investments in Securities 102.08% (cost $11,455,184)								11,981,337
Liabilities in Excess of Cash, Foreign Cash and Other Assets(j) (2.08%)								(244,367	)
Net Assets 100.00%							$	11,736,970

CAD	Canadian dollar.
EUR	Euro.
GBP	British pound.
LIBOR	London Interbank Offered Rate.
PIK	Payment-in-kind.
SOFR	Secured Over Night Financing Rate.
†	Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, unless registered under such Act or exempted from registration, may only be resold to qualified institutional buyers. At January 31, 2021, the total value of Rule 144A securities was $5,712,541, which represents 48.67% of net assets.

See Notes to Financial Statements. 45

Schedule of Investments (unaudited)(continued)

SHORT DURATION HIGH YIELD FUND January 31, 2021

#	Variable rate security. The interest rate represents the rate in effect at January 31, 2021.
(a)	Foreign security traded in U. S. dollars.
(b)	Investment in non-U. S. dollar denominated securities.
(c)	Security is perpetual in nature and has no stated maturity.
(d)	Defaulted (non-income producing security).
(e)	Securities purchased on a when-issued basis (See Note 2(i)).
(f)	Floating Rate Loans in which the Fund invests generally pay interest at rates which are periodically re-determined at a margin above the London Interbank Offered Rate (“LIBOR”) or the prime rate offered by major U. S. banks. The rate(s) shown is the rate(s) in effect at January 31, 2021.
(g)	Interest rate to be determined.
(h)	Level 3 Investment as described in Note 2(l) in the Notes to Financials. Floating Rate Loans categorized as Level 3 are valued based on a single quotation obtained from a dealer. Accounting principles generally accepted in the United States of America do not require the Fund to create quantitative unobservable inputs that were not developed by the Fund. Therefore, the Fund does not have access to unobservable inputs and cannot disclose such inputs in the valuation.
(i)	Variable Rate is Fixed to Float: Rate remains fixed or at Zero Coupon until designated future date.
(j)	Liabilities in Excess of Cash, Foreign Cash and Other Assets include net unrealized appreciation/depreciation on forward foreign currency exchange contracts contracts as follows:

Open Forward Foreign Currency Exchange Contracts at January 31, 2021:

Forward Foreign Currency Exchange Contracts

Transaction Type

Counterparty

Expiration Date

Foreign Currency

U. S. $ Cost on Origination Date

U. S. $ Current Value

Unrealized Appreciation

Canadian dollar

Sell

State Street Bank and Trust

4/20/2021

16,000

$12,565

$12,514

$51

Forward Foreign Currency Exchange Contracts

Transaction Type

Counterparty

Expiration Date

Foreign Currency

U. S. $ Cost on Origination Date

U. S. $ Current Value

Unrealized Depreciation

British pound

Sell

Toronto Dominion Bank

3/8/2021

97,000

$130,531

$

132,928

$

(2,397

)

Euro

Sell

State Street Bank and Trust

3/4/2021

210,000

254,546

255,013

(467

)

Unrealized Depreciation on Forward Foreign Currency Exchange Contracts

$

(2,864

)

46 See Notes to Financial Statements.

Schedule of Investments (unaudited)(concluded)

SHORT DURATION HIGH YIELD FUND January 31, 2021

The following is a summary of the inputs used as of January 31, 2021 in valuing the Fund’s investments carried at fair value⁽¹⁾:

Investment Type(2)	Level 1		Level 2			Level 3		Total
Long-Term Investments
Asset-Backed Securities	$	–	$	397,418		$	–	$	397,418
Convertible Bonds		–		542,694			–		542,694
Corporate Bonds		–		9,087,607			–		9,087,607
Floating Rate Loans
Electronics		–		6,584			16,891		23,475
Environmental Services		–		–			14,941		14,941
Oil: Integrated Domestic		–		24,015			15,494		39,509
Real Estate Investment Trusts		–		–			9,239		9,239
Retail		–		127,711			33,052		160,763
Remaining Industries		–		1,195,068			–		1,195,068
Non-Agency Commercial Mortgage-Backed Securities		–		104,268			–		104,268
Preferred Stocks		31,944		17,871			–		49,815
Short-Term Investment
Repurchase Agreement		–		356,540			–		356,540
Total	$	31,944	$	11,859,776		$	89,617	$	11,981,337
Other Financial Instruments
Forward Foreign Currency Exchange Contracts
Assets	$	–	$	51		$	–	$	51
Liabilities		–		(2,864	)		–		(2,864	)
Total	$	–	$	(2,813	)	$	–	$	(2,813	)

(1)

Refer to Note 2(l) for a description of fair value measurements and the three-tier hierarchy of inputs.

(2)

See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. The table above is presented by Investment Type. Industries are presented within an Investment Type should such Investment Type include securities classified as two or more levels within the three-tier fair value hierarchy. Each Level 3 security is identified on the Schedule of Investments along with the valuation technique utilized.

A reconciliation of Level 3 investments is presented when the Fund has a material amount of Level 3 investments at the beginning or end of the period in relation to the Fund’s net assets. Management has determined not to provide a reconciliation as the balance of Level 3 investments were not considered to be material to the Fund’s net assets at the beginning or end of the period.

See Notes to Financial Statements. 47

Statements of Assets and Liabilities (unaudited)

January 31, 2021

	Climate		Mid Cap		Short Duration
	Focused		Innovation		High Yield
	Bond Fund		Growth Fund		Fund
ASSETS:
Investments in securities, at cost	$	11,750,567	$	2,565,918	$	11,455,184
Investments in securities, at fair value	$	12,519,653	$	2,578,867	$	11,981,337
Cash		25,804		81,876		37,792
Deposits with brokers for futures collateral		8,777		–		–
Foreign cash, at value (cost $1,462, $0 and $2,680, respectively)		1,456		–		2,655
Receivables:
Interest and dividends		111,168		19		137,196
Capital shares sold		4,182		2,021		78,697
From advisor (See Note 3)		18,236		5,116		13,042
Variation margin for futures contracts		6,151		–		–
Investment securities sold		–		–		51
Unrealized appreciation on forward foreign currency exchange contracts		2,713		–		51
Unrealized appreciation on unfunded commitments		42		–		–
Prepaid expenses		38,661		325		48,241
Total assets		12,736,843		2,668,224		12,299,062
LIABILITIES:
Payables:
Investment securities purchased		19,352		39,591		452,931
Offering costs		2,840		–		14,988
Management fee		3,734		1,346		4,151
Capital shares reacquired		9		–		6,048
12b–1 distribution plan		1,716		448		1,928
Fund administration		427		83		369
Trustees’ fees		242		–		115
Unrealized depreciation on forward foreign currency exchange contracts		26,191		–		2,864
Distributions payable		20,010		–		46,843
Accrued expenses and other liabilities		52,113		6,172		31,855
Total liabilities		126,634		47,640		562,092
Commitments and contingent liabilities
NET ASSETS	$	12,610,209	$	2,620,584	$	11,736,970
COMPOSITION OF NET ASSETS:
Paid-in capital	$	12,143,320	$	2,611,474	$	11,201,546
Total distributable earnings (loss)		466,889		9,110		535,424
Net Assets	$	12,610,209	$	2,620,584	$	11,736,970

48 See Notes to Financial Statements.

Statements of Assets and Liabilities (unaudited)(concluded)

January 31, 2021

	Climate		Mid Cap		Short Duration
	Focused		Innovation		High Yield
	Bond Fund		Growth Fund		Fund
Net assets by class:
Class A Shares	$	4,314,697	$	1,556,178	$	6,245,429
Class C Shares	$	773,128	$	156,065	$	800,555
Class F Shares	$	3,655,722	$	504,627	$	3,951,267
Class F3 Shares	$	130,333	$	10,093	$	10,930
Class I Shares	$	3,204,013	$	111,018	$	546,516
Class R3 Shares	$	26,067	$	10,088	$	10,929
Class R4 Shares	$	26,067	$	10,090	$	10,930
Class R5 Shares	$	26,067	$	10,093	$	10,930
Class R6 Shares	$	454,115	$	252,332	$	149,484
Outstanding shares by class (unlimited number of authorized shares of beneficial interest)
Class A Shares		413,814		102,814		571,643
Class C Shares		74,156		10,319		73,278
Class F Shares		350,606		33,333		361,695
Class F3 Shares		12,500		666.66		1,001
Class I Shares		307,289		7,333		50,027
Class R3 Shares		2,500		666.66		1,000.42
Class R4 Shares		2,500		666.66		1,000.47
Class R5 Shares		2,500		666.66		1,001
Class R6 Shares		43,563		16,666		13,682
Net asset value, offering and redemption price per share (Net assets divided by outstanding shares):
Class A Shares-Net asset value	$	10.43	$	15.14	$	10.93
Class A Shares-Maximum offering price (Net asset value plus sales charge of 2.25%, 5.75% and 2.25%, respectively)	$	10.67	$	16.06	$	11.18
Class C Shares-Net asset value	$	10.43	$	15.12	$	10.92
Class F Shares-Net asset value	$	10.43	$	15.14	$	10.92
Class F3 Shares-Net asset value	$	10.43	$	15.14	$	10.92
Class I Shares-Net asset value	$	10.43	$	15.14	$	10.92
Class R3 Shares-Net asset value	$	10.43	$	15.13	$	10.92
Class R4 Shares-Net asset value	$	10.43	$	15.14	$	10.92
Class R5 Shares-Net asset value	$	10.43	$	15.14	$	10.92
Class R6 Shares-Net asset value	$	10.42	$	15.14	$	10.93

See Notes to Financial Statements. 49

Statements of Operations (unaudited)

For the Six Months Ended January 31, 2021

	Climate			Mid Cap			Short Duration
	Focused			Innovation			High Yield
	Bond Fund			Growth Fund*			Fund
Investment income:
Dividends	$	–		$	80		$	284
Interest and other		117,467			–			218,430
Total investment income		117,467			80			218,714
Expenses:
Management fee		21,096			1,453			17,021
12b-1 distribution plan-Class A		4,070			315			2,934
12b-1 distribution plan-Class C		3,561			112			3,316
12b-1 distribution plan-Class F		1,787			48			1,644
12b-1 distribution plan-Class R3		65			5			27
12b-1 distribution plan-Class R4		33			2			13
Offering costs		41,589			–			19,589
Professional		27,367			4,387			22,583
Registration		9,154			35			14,714
Reports to shareholders		8,420			79			3,620
Shareholder servicing		5,303			176			1,941
Fund administration		2,411			89			1,513
Custody		1,950			356			764
Trustees’ fees		237			–			125
Other		6,135			1,139			5,860
Gross expenses		133,178			8,196			95,664
Expense reductions (See Note 9)		(7	)		–			–
Fees waived and expenses reimbursed (See Note 3)		(98,486	)		(5,971	)		(70,121	)
Net expenses		34,685			2,225			25,543
Net investment income (loss)		82,782			(2,145	)		193,171
Net realized and unrealized gain (loss):
Net realized gain (loss) on investments		180,065			(1,694	)		84,086
Net realized gain (loss) on futures contracts		(21,931	)		–			–
Net realized gain (loss) on forward foreign currency exchange contracts		(439,241	)		–			(15,832	)
Net realized gain (loss) on foreign currency related transactions		428			–			(3,121	)
Net change in unrealized appreciation/depreciation on investments		191,065			12,949			227,679
Net change in unrealized appreciation/depreciation on futures contracts		8,478			–			–
Net change in unrealized appreciation/depreciation on forward foreign currency exchange contracts		267,797			–			5,795
Net change in unrealized appreciation/depreciation on translation of assets and liabilities denominated in foreign currencies		(559	)		–			(76	)
Net change in unrealized appreciation/depreciation on unfunded commitments		42			–			–
Net realized and unrealized gain (loss)		186,144			11,255			298,531
Net Increase in Net Assets Resulting From Operations	$	268,926		$	9,110		$	491,702

* For the period December 28, 2020, commencement of operations, to January 31, 2021.

50 See Notes to Financial Statements.

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51

Statements of Changes in Net Assets

	Climate Focused Bond Fund
	For the Six
	Months Ended			For the
	January 31, 2021			Period Ended
INCREASE IN NET ASSETS	(unaudited)			July 31, 2020(a)
Operations:
Net investment income (loss)	$	82,782		$	27,866
Net realized gain (loss) on investments, futures contracts, forward foreign currency exchange contracts and foreign currency related transactions		(280,679	)		45,617
Net change in unrealized appreciation/depreciation on investments, futures contracts, forward foreign currency exchange contracts, unfunded commitments and translation of assets and liabilities denominated in foreign currencies		466,823			276,850
Net increase in net assets resulting from operations		268,926			350,333
Distributions to shareholders:
Class A		(38,442	)		(12,177	)
Class C		(3,896	)		(1,267	)
Class F		(37,240	)		(12,233	)
Class F3		(1,408	)		(527	)
Class I		(32,786	)		(12,233	)
Class R3		(207	)		(77	)
Class R4		(239	)		(89	)
Class R5		(272	)		(102	)
Class R6		(3,722	)		(1,265	)
Total distributions to shareholders		(118,212	)		(39,970	)
Capital share transactions (See Note 15):
Net proceeds from sales of shares		1,618,826			10,524,449
Reinvestment of distributions		14,532			1,346
Cost of shares reacquired		(10,021	)		–
Net increase in net assets resulting from capital share transactions		1,623,337			10,525,795
Net increase in net assets		1,774,051			10,836,158
NET ASSETS:
Beginning of period	$	10,836,158		$	–
End of period	$	12,610,209		$	10,836,158

(a)	For the period May 20, 2020, commencement of operations, to July 31, 2020.
(b)	For the period December 28, 2020, commencement of operations, to January 31, 2021.
(c)	For the period April 22, 2020, commencement of operations, to July 31, 2020.

52 See Notes to Financial Statements.

Mid Cap Innovation Growth Fund			Short Duration High Yield Fund
For the			For the Six
Period Ended			Months Ended			For the
January 31, 2021(b)			January 31, 2021			Period Ended
(unaudited)			(unaudited)			July 31, 2020(c)
$	(2,145	)	$	193,171		$	77,762
	(1,694	)		65,133			26,058
	12,949			233,398			290,046
	9,110			491,702			393,866
	–			(103,582	)		(25,478	)
	–			(21,147	)		(7,256	)
	–			(121,135	)		(41,437	)
	–			(399	)		(174	)
	–			(19,825	)		(8,621	)
	–			(368	)		(158	)
	–			(383	)		(165	)
	–			(396	)		(172	)
	–			(3,701	)		(1,046	)
	–			(270,936	)		(84,507	)
	2,612,949			6,239,168			5,215,134
	–			75,186			3,156
	(1,475	)		(320,599	)		(5,200	)
	2,611,474			5,993,755			5,213,090
	2,620,584			6,214,521			5,522,449
$	–		$	5,522,449		$	–
$	2,620,584		$	11,736,970		$	5,522,449

See Notes to Financial Statements. 53

Financial Highlights

CLIMATE FOCUSED BOND FUND

			Per Share Operating Performance:
											Distributions
											to
											shareholders
			Investment Operations:								from:
									Total
						Net			from					Net
	Net asset		Net			realized			invest-					asset
	value,		invest-			and			ment		Net			value,
	beginning		ment			unrealized			opera-		investment			end of
	of period		income(a)			gain			tions		income			period
Class A
1/31/2021(e)	$	10.30	$	0.07		$	0.16		$	0.23	$	(0.10	)	$	10.43
5/20/2020 to 7/31/2020(f)		10.00		0.03	(g)		0.31	(g)		0.34		(0.04	)		10.30
Class C
1/31/2021(e)		10.30		0.03			0.16			0.19		(0.06	)		10.43
5/20/2020 to 7/31/2020(f)		10.00		0.01	(g)		0.31	(g)		0.32		(0.02	)		10.30
Class F
1/31/2021(e)		10.30		0.08			0.16			0.24		(0.11	)		10.43
5/20/2020 to 7/31/2020(f)		10.00		0.03	(g)		0.31	(g)		0.34		(0.04	)		10.30
Class F3
1/31/2021(e)		10.30		0.08			0.16			0.24		(0.11	)		10.43
5/20/2020 to 7/31/2020(f)		10.00		0.03	(g)		0.31	(g)		0.34		(0.04	)		10.30
Class I
1/31/2021(e)		10.30		0.08			0.16			0.24		(0.11	)		10.43
5/20/2020 to 7/31/2020(f)		10.00		0.03	(g)		0.31	(g)		0.34		(0.04	)		10.30
Class R3
1/31/2021(e)		10.30		0.05			0.16			0.21		(0.08	)		10.43
5/20/2020 to 7/31/2020(f)		10.00		0.02	(g)		0.31	(g)		0.33		(0.03	)		10.30
Class R4
1/31/2021(e)		10.30		0.06			0.17			0.23		(0.10	)		10.43
5/20/2020 to 7/31/2020(f)		10.00		0.02	(g)		0.32	(g)		0.34		(0.04	)		10.30
Class R5
1/31/2021(e)		10.30		0.08			0.16			0.24		(0.11	)		10.43
5/20/2020 to 7/31/2020(f)		10.00		0.03	(g)		0.31	(g)		0.34		(0.04	)		10.30
Class R6
1/31/2021(e)		10.30		0.08			0.15			0.23		(0.11	)		10.42
5/20/2020 to 7/31/2020(f)		10.00		0.03	(g)		0.31	(g)		0.34		(0.04	)		10.30

(a)	Calculated based on average shares outstanding during the period.
(b)	Total return for Classes A and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions.
(c)	Not annualized.
(d)	Annualized.
(e)	Unaudited.
(f)	Commencement of operations was on 5/20/2020, SEC effective date and date shares first became available to the public was 5/28/2020.
(g)	Net investment income and net realized and unrealized gain (loss) amounted to less than $.01 for the period 5/20/2020 through 5/28/2020.
(h)	Total return for the period 5/28/2020 through 7/31/2020 was 3.47% for Class A, 3.32% for Class C, 3.52% for Class F, 3.53% for Class F3, 3.52% for Class I, 3.41% for Class R3, 3.46% for Class R4, 3.51% for Class R5, and 3.53% for Class R6.

54 See Notes to Financial Statements.

			Ratios to Average Net Assets:						Supplemental Data:
			Total
			expenses
			after				Net		Net
			waivers				invest-		assets,		Portfolio
Total			and/or reim-		Total		ment		end of		turnover
return			bursements		expenses		income		period		rate
(%)(b)(c)			(%)(d)		(%)(d)		(%)(d)		(000)		(%)(c)
	2.23			0.65		2.25		1.30	$	4,315		21
	3.37	(h)		0.65		3.04		1.28		3,521		17
	1.82			1.45		3.05		0.50		773		21
	3.21	(h)		1.45		3.84		0.49		622		17
	2.33			0.45		2.15		1.49		3,656		21
	3.41	(h)		0.45		2.93		1.46		3,089		17
	2.37			0.38		1.97		1.57		130		21
	3.43	(h)		0.38		2.63		1.53		129		17
	2.33			0.45		2.06		1.50		3,204		21
	3.41	(h)		0.45		2.85		1.46		3,089		17
	2.07			0.95		2.55		0.99		26		21
	3.31	(h)		0.95		3.33		0.98		26		17
	2.20			0.70		2.31		1.23		26		21
	3.36	(h)		0.70		3.08		1.24		26		17
	2.33			0.45		2.05		1.49		26		21
	3.41	(h)		0.45		2.83		1.49		26		17
	2.27			0.38		1.98		1.56		454		21
	3.43	(h)		0.38		2.63		1.53		309		17

See Notes to Financial Statements. 55

Financial Highlights (continued)

MID CAP INNOVATION GROWTH FUND

			Per Share Operating Performance:
										Distributions
										to
										shareholders
			Investment Operations:							from:
								Total
			Net			Net		from		Net
	Net asset		invest-			realized		invest-		asset
	value,		ment			and		ment		value,		Total
	beginning		income			unrealized		opera-		end of		return
	of period		(loss)(a)			gain		tions		period		(%)(b)(c)
Class A
12/28/2020 to 1/31/2021(e)(f)	$	15.00	$	(0.01	)	$	0.15	$	0.14	$	15.14		0.93
Class C
12/28/2020 to 1/31/2021(e)(f)		15.00		(0.02	)		0.14		0.12		15.12		0.87
Class F
12/28/2020 to 1/31/2021(e)(f)		15.00		(0.01	)		0.15		0.14		15.14		0.93
Class F3
12/28/2020 to 1/31/2021(e)(f)		15.00		(0.01	)		0.15		0.14		15.14		0.93
Class I
12/28/2020 to 1/31/2021(e)(f)		15.00		(0.01	)		0.15		0.14		15.14		0.93
Class R3
12/28/2020 to 1/31/2021(e)(f)		15.00		(0.02	)		0.15		0.13		15.13		0.87
Class R4
12/28/2020 to 1/31/2021(e)(f)		15.00		(0.01	)		0.15		0.14		15.14		0.93
Class R5
12/28/2020 to 1/31/2021(e)(f)		15.00		(0.01	)		0.15		0.14		15.14		0.93
Class R6
12/28/2020 to 1/31/2021(e)(f)		15.00		(0.01	)		0.15		0.14		15.14		0.93

(a)	Calculated using average shares outstanding during the period.
(b)	Total return for Classes A and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions.
(c)	Not annualized.
(d)	Annualized.
(e)	Unaudited.
(f)	Commenced on December 28, 2020.

56 See Notes to Financial Statements.

Ratios to Average Net Assets:							Supplemental Data:
Total
expenses				Net
after				invest-			Net
waivers				ment			assets,		Portfolio
and/or reim-		Total		income			end of		turnover
bursements		expenses		(loss)			period		rate
(%)(d)		(%)(d)		(%)(d)			(000)		(%)(c)
	1.06		3.59		(0.99	)	$	1,556		5
	1.81		4.29		(1.69	)		156		5
	0.81		3.47		(0.75	)		505		5
	0.73		3.34		(0.71	)		10		5
	0.81		3.37		(0.75	)		111		5
	1.31		3.95		(1.32	)		10		5
	1.06		3.64		(1.01	)		10		5
	0.81		3.44		(0.81	)		10		5
	0.73		3.28		(0.67	)		252		5

See Notes to Financial Statements. 57

Financial Highlights (concluded)

SHORT DURATION HIGH YIELD FUND

			Per Share Operating Performance:
											Distributions
											to
											shareholders
			Investment Operations:								from:
									Total
						Net			from
	Net asset		Net			realized			invest-
	value,		invest-			and			ment		Net			Net
	beginning		ment			unrealized			opera-		investment			realized
	of period		income(a)			gain			tions		income			gain
Class A
1/31/2021(e)	$	10.61	$	0.27		$	0.43		$	0.70	$	(0.31	)	$	(0.07	)
4/22/2020 to 7/31/2020(f)		10.00		0.15	(g)		0.63	(g)		0.78		(0.17	)		–
Class C
1/31/2021(e)		10.61		0.23			0.42			0.65		(0.27	)		(0.07	)
4/22/2020 to 7/31/2020(f)		10.00		0.13	(g)		0.62	(g)		0.75		(0.14	)		–
Class F
1/31/2021(e)		10.61		0.29			0.41			0.70		(0.32	)		(0.07	)
4/22/2020 to 7/31/2020(f)		10.00		0.16	(g)		0.62	(g)		0.78		(0.17	)		–
Class F3
1/31/2021(e)		10.61		0.29			0.42			0.71		(0.33	)		(0.07	)
4/22/2020 to 7/31/2020(f)		10.00		0.16	(g)		0.62	(g)		0.78		(0.17	)		–
Class I
1/31/2021(e)		10.61		0.29			0.41			0.70		(0.32	)		(0.07	)
4/22/2020 to 7/31/2020(f)		10.00		0.16	(g)		0.62	(g)		0.78		(0.17	)		–
Class R3
1/31/2021(e)		10.62		0.26			0.40			0.66		(0.29	)		(0.07	)
4/22/2020 to 7/31/2020(f)		10.00		0.15	(g)		0.63	(g)		0.78		(0.16	)		–
Class R4
1/31/2021(e)		10.62		0.28			0.40			0.68		(0.31	)		(0.07	)
4/22/2020 to 7/31/2020(f)		10.00		0.15	(g)		0.63	(g)		0.78		(0.16	)		–
Class R5
1/31/2021(e)		10.61		0.29			0.41			0.70		(0.32	)		(0.07	)
4/22/2020 to 7/31/2020(f)		10.00		0.16	(g)		0.62	(g)		0.78		(0.17	)		–
Class R6
1/31/2021(e)		10.61		0.29			0.43			0.72		(0.33	)		(0.07	)
4/22/2020 to 7/31/2020(f)		10.00		0.16	(g)		0.62	(g)		0.78		(0.17	)		–

(a)	Calculated based on average shares outstanding during the period.
(b)	Total return for Classes A and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions.
(c)	Not annualized.
(d)	Annualized.
(e)	Unaudited.
(f)	Commencement of operations was on 4/22/2020, SEC effective date and date shares first became available to the public was 4/30/2020.
(g)	Net investment income and net realized and unrealized gain (loss) amounted to less than $.01 for the period 4/22/2020 through 4/30/2020.
(h)	Total return for the period 4/30/2020 through 7/31/2020 was 7.56% for Class A, 7.34% for Class C, 7.61% for Class F, 7.63% for Class F3, 7.61% for Class I, 7.48% for Class R3, 7.54% for Class R4, 7.61% for Class R5, and 7.63% for Class R6.

58 See Notes to Financial Statements.

								Ratios to Average Net Assets:						Supplemental Data:
								Total
								expenses
			Net					after				Net		Net
			asset					waivers				invest-		assets,		Portfolio
Total			value,		Total			and/or reim-		Total		ment		end of		turnover
distribu-			end of		return			bursements		expenses		income		period		rate
tions			period		(%)(b)(c)			(%)(d)		(%)(d)		(%)(d)		(000)		(%)(c)
$	(0.38	)	$	10.93		6.67			0.71		2.44		4.93	$	6,245		29
	(0.17	)		10.61		7.81	(h)		0.71		3.95		5.45		1,727		27
	(0.34	)		10.92		6.23			1.51		3.35		4.32		801		29
	(0.14	)		10.61		7.58	(h)		1.51		4.74		4.64		584		27
	(0.39	)		10.92		6.76			0.51		2.44		5.30		3,951		29
	(0.17	)		10.61		7.87	(h)		0.51		3.84		5.65		2,574		27
	(0.40	)		10.92		6.80			0.44		2.31		5.42		11		29
	(0.17	)		10.61		7.89	(h)		0.44		3.66		5.72		11		27
	(0.39	)		10.92		6.77			0.51		2.38		5.37		547		29
	(0.17	)		10.61		7.87	(h)		0.51		3.77		5.65		531		27
	(0.36	)		10.92		6.49			1.01		2.84		4.87		11		29
	(0.16	)		10.62		7.72	(h)		1.01		4.21		5.15		11		27
	(0.38	)		10.92		6.63			0.76		2.59		5.13		11		29
	(0.16	)		10.62		7.79	(h)		0.76		3.96		5.40		11		27
	(0.39	)		10.92		6.76			0.51		2.35		5.37		11		29
	(0.17	)		10.61		7.86	(h)		0.51		3.71		5.65		11		27
	(0.40	)		10.93		6.80			0.44		2.25		5.26		149		29
	(0.17	)		10.61		7.89	(h)		0.44		3.69		5.73		64		27

See Notes to Financial Statements. 59

Notes to Financial Statements (unaudited)

1. ORGANIZATION  

Lord Abbett Trust I (the “Trust”), formerly Lord Abbett Equity Trust, is registered under the Investment Company Act of 1940, as amended (the “Act”), as a diversified, open-end management investment company and was organized as a Delaware statutory Trust on May 1, 2001. The Trust currently consists of the following three funds (each, a “Fund” and collectively, the “Funds”) and their respective active share classes at January 31, 2021:

Funds	Classes
Lord Abbett Climate Focused Bond Fund (“Climate Focused Bond Fund”)	A, C, F, F3, I, R3, R4, R5 and R6
Lord Abbett Mid Cap Innovation Growth Fund (“Mid Cap Innovation Growth Fund”)	A, C, F, F3, I, R3, R4, R5 and R6
Lord Abbett Short Duration High Yield Fund (“Short Duration High Yield Fund”)	A, C, F, F3, I, R3, R4, R5 and R6

The Short Duration High Yield Fund commenced operations on April 22, 2020, the Climate Focused Bond Fund commenced operations on May 20, 2020 and the Mid Cap Innovation Growth Fund commenced operations on December 28, 2020.

Climate Focused Bond Fund’s investment objective is total return. Mid Cap Innovation Growth Fund’s investment objective is to seek capital appreciation. Short Duration High Yield Fund’s investment objective is to seek a high current income and the opportunity for capital appreciation to produce a high total return.

Each class of shares has different expenses and dividends. A front-end sales charge is normally added to the net asset value (“NAV”) for Class A shares. There is no front-end sales charge in the case of Class C, F, F3, I, R2, R3, R4, R5 and R6 shares, although there may be a contingent deferred sales charge (“CDSC”) in certain cases as follows: Class A shares purchased without a sales charge and redeemed before the first day of the month in which the one-year anniversary of the purchase falls (subject to certain exceptions as set forth in each Fund’s prospectus); and Class C shares redeemed before the first anniversary of purchase. Effective June 30, 2020, Class C shares will automatically convert to Class A shares on the 25th day of the month (or, if the 25th is not a business day, the next business day thereafter) following the eighth anniversary of the month on which the purchase order was accepted, provided that the Fund or financial intermediary through which a shareholder purchased Class C shares has records verifying that the C shares have been held at least eight years. The first conversion of Class C to A shares under this new policy took place on July 25, 2020 for all Class C shares that were held for more than eight years as of June 30, 2020.

The preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.

2. SIGNIFICANT ACCOUNTING POLICIES  

(a) Investment Valuation–Under procedures approved by the Funds’ Board of Trustees (the “Board”), Lord, Abbett & Co. LLC (“Lord Abbett”), the Funds’ investment manager, has formed a Pricing Committee to administer the pricing and valuation of portfolio investments and to

60

Notes to Financial Statements (unaudited)(continued)

	ensure that prices utilized reasonably reflect fair value. Among other things, these procedures allow the Funds to utilize independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value.
	Securities actively traded on any recognized U.S. or non-U.S. exchange or on The NASDAQ Stock Market LLC are valued at the last sale price or official closing price on the exchange or system on which they are principally traded. Events occurring after the close of trading on non-U.S. exchanges may result in adjustments to the valuation of foreign securities to reflect their fair value as of the close of regular trading on the New York Stock Exchange. The Funds may utilize an independent fair valuation service in adjusting the valuations of foreign securities. Unlisted equity securities are valued at the last quoted sale price or, if no sale price is available, at the mean between the most recently quoted bid and asked prices. Exchange traded options and futures contracts are valued at the last sale price in the market where they are principally traded. If no sale has occurred, the mean between the most recently quoted bid and asked prices is used. Fixed income securities are valued based on evaluated prices supplied by independent pricing services, which reflect broker/dealer supplied valuations and the independent pricing services’ own electronic data processing techniques. Floating rate loans are valued at the average of bid and ask quotations obtained from dealers in loans on the basis of prices supplied by independent pricing services. Forward foreign currency exchange contracts are valued using daily forward exchange rates.
	Securities for which prices are not readily available are valued at fair value as determined by the Pricing Committee. The Pricing Committee considers a number of factors, including observable and unobservable inputs, when arriving at fair value. The Pricing Committee may use related or comparable assets or liabilities, recent transactions, market multiples, book values, yield curves, broker quotes, observable trading activity, option adjusted spread models and other relevant information to determine the fair value of portfolio investments. The Board or a designated committee thereof regularly reviews fair value determinations made by the Pricing Committee and may employ techniques such as reviewing related market activity, reviewing inputs and assumptions, and retrospectively comparing prices of subsequent purchases and sales transactions to fair value determinations made by the Pricing Committee.
	Short-term securities with 60 days or less remaining to maturity are valued using the amortized cost method, which approximates fair value.
(b)	Security Transactions–Security transactions are recorded as of the date that the securities are purchased or sold (trade date). Realized gains and losses on sales of portfolio securities are calculated using the identified-cost method. Realized and unrealized gains (losses) are allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day.
(c)	Investment Income–Dividend income is recorded on the ex-dividend date. Interest income is recorded on the accrual basis as earned. Discounts are accreted and premiums are amortized using the effective interest method and are included in Interest and other on the Statements of Operations. Withholding taxes on foreign dividends have been provided for in accordance with the applicable country’s tax rules and rates. Investment income is allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day.
(d)	Income Taxes–It is the policy of each Fund to meet the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute

61

Notes to Financial Statements (unaudited)(continued)

	substantially all taxable income and capital gains to its shareholders. Therefore, no income tax provision is required.
	Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination.
(e)	Expenses–Expenses, excluding class-specific expenses, are allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. In addition, Class F3 and R6 bear their class-specific share of shareholder servicing expenses. Class A, C, F, R2, R3 and R4 shares bear their class-specific share of all expenses and fees relating to the Funds’ 12b-1 Distribution Plan.
(f)	Foreign Transactions–The books and records of each Fund are maintained in U.S. dollars and transactions denominated in foreign currencies are recorded in each Fund’s records at the rate prevailing when earned or recorded. Asset and liability accounts that are denominated in foreign currencies are adjusted daily to reflect current exchange rates and any unrealized gain (loss) is included in Net change in unrealized appreciation/depreciation on investments, futures contracts, unfunded commitments and translation of assets and liabilities denominated in foreign currencies in the Funds’ Statements of Operations. The resultant exchange gains and losses upon settlement of such transactions are included in Net realized gain (loss) on foreign currency related transactions in the Funds’ Statements of Operations. The Funds do not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in market prices of the securities.
	The Funds use forward foreign currency exchange contracts to facilitate transactions in foreign denominated securities. Losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.
(g)	Forward Foreign Currency Exchange Contracts–Each Fund may enter into forward foreign currency exchange contracts in order to reduce exposure to changes in foreign currency exchange rates on foreign portfolio holdings, or gain or reduce exposure to foreign currency solely for investment purposes. A forward foreign currency exchange contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated rate. The contracts are valued daily at forward exchange rates and any unrealized gain (loss) is included in Net change in unrealized appreciation/depreciation on forward foreign currency exchange contracts in the Funds’ Statements of Operations. The gain (loss) arising from the difference between the U.S. dollar cost of the original contract and the value of the foreign currency in U.S. dollars upon closing of such contracts is included in Net realized gain (loss) on forward foreign currency exchange contracts in the Funds’ Statements of Operations.
(h)	Futures Contracts–Each Fund may purchase and sell futures contracts to enhance returns, to attempt to economically hedge some of its investment risk, or as a substitute position in lieu of holding the underlying asset on which the instrument is based. At the time of entering into a futures transaction, an investor is required to deposit and maintain a specified amount of cash or eligible securities called “initial margin.” Subsequent payments made or received by the Fund called “variation margin” are made on a daily basis as the market price of the futures contract fluctuates. Each Fund will record an unrealized gain (loss) based on the amount of variation margin. When a contract is closed, a realized gain (loss) is recorded equal to the difference between the opening and closing value of the contract.

62

Notes to Financial Statements (unaudited)(continued)

(i)	When-Issued, Forward Transactions or To-Be-Announced (“TBA”) Transactions–Each Fund may purchase portfolio securities on a when-issued or forward basis. When-issued, forward transactions or TBA transactions involve a commitment by a fund to purchase securities, with payment and delivery (“settlement”) to take place in the future, in order to secure what is considered to be an advantageous price or yield at the time of entering into the transaction. During the period between purchase and settlement, the fair value of the securities will fluctuate and assets consisting of cash and/or marketable securities (normally short-term U.S. Government or U.S. Government sponsored enterprise securities) marked to market daily in an amount sufficient to make payment at settlement will be segregated at each Fund’s custodian in order to pay for the commitment. At the time each Fund makes the commitment to purchase a security on a when-issued basis, it will record the transaction and reflect the liability for the purchase and fair value of the security in determining its net asset value (“NAV”). Each Fund, generally, has the ability to close out a purchase obligation on or before the settlement date rather than take delivery of the security. Under no circumstances will settlement for such securities take place more than 120 days after the purchase date.
(j)	Repurchase Agreements–Each Fund may enter into repurchase agreements with respect to securities. A repurchase agreement is a transaction in which a fund acquires a security and simultaneously commits to resell that security to the seller (a bank or securities dealer) at an agreed-upon price on an agreed-upon date. Each Fund requires at all times that the repurchase agreement be collateralized by cash, or by securities of the U.S. Government, its agencies, its instrumentalities, or U.S. Government sponsored enterprises having a value equal to, or in excess of, the value of the repurchase agreement (including accrued interest). If the seller of the agreement defaults on its obligation to repurchase the underlying securities at a time when the fair value of these securities has declined, a Fund may incur a loss upon disposition of the securities.
(k)	Floating Rate Loans–Each Fund may invest in floating rate loans, which usually take the form of loan participations and assignments. Loan participations and assignments are agreements to make money available to U.S. or foreign corporations, partnerships or other business entities (the “Borrower”) in a specified amount, at a specified rate and within a specified time. A loan is typically originated, negotiated and structured by a U.S. or foreign bank, insurance company or other financial institution (the “Agent”) for a group of loan investors (“Loan Investors”). The Agent typically administers and enforces the loan on behalf of the other Loan Investors in the syndicate and may hold any collateral on behalf of the Loan Investors. Such loan participations and assignments are typically senior, secured and collateralized in nature. The Trust records an investment when the Borrower withdraws money and records interest as earned. These loans pay interest at rates which are periodically reset by reference to a base lending rate plus a spread. These base lending rates are generally the prime rate offered by a designated U.S. bank or London InterBank Offered Rate (“LIBOR”).
	The loans in which each Fund invests may be subject to some restrictions on resale. For example, the Funds may be contractually obligated to receive approval from the Agent and/or Borrower prior to the sale of these investments. Each Fund generally has no right to enforce compliance with the terms of the loan agreement with the Borrower. As a result, each Fund assumes the credit risk of the Borrower, the selling participant and any other persons interpositioned between the Funds and the Borrower (“Intermediate Participants”). In the event that the Borrower, selling participant or Intermediate Participants become insolvent or enter

63

Notes to Financial Statements (unaudited)(continued)

into bankruptcy, the Funds may incur certain costs and delays in realizing payment or may suffer a loss of principal and/or interest.

Unfunded commitments represent the remaining obligation of each Fund to the Borrower. At any point in time, up to the maturity date of the issue, the Borrower may demand the unfunded portion. Until demanded by the Borrower, unfunded commitments are not recognized as an asset on the Statements of Assets and Liabilities. Unrealized appreciation/depreciation on unfunded commitments, if any, on the Statements of Assets and Liabilities represents mark to market of the unfunded portion of each Fund’s floating rate notes.

As of January 31, 2021, the following fund had unfunded loan commitments.

Climate Focused Bond Fund
Borrower	Principal Amount	Market Value	Cost	Unrealized Appreciation/ Depreciaiton
Therma Intermediate LLC, 2020 Delayed Draw Term Loan	$6,452	$6,494	$6,452	$42

(l) Fair Value Measurements–Fair value is defined as the price that each Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk-for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy classification is determined based on the lowest level of inputs that is significant to the fair value measurement, and is summarized in the three broad Levels listed below:

•	Level 1 –	unadjusted quoted prices in active markets for identical investments;
•	Level 2 –	other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.); and
•	Level 3 –	significant unobservable inputs (including each Fund’s own assumptions in determining the fair value of investments).

A summary of inputs used in valuing each Fund’s investments and other financial instruments as of January 31, 2021 and, if applicable, Level 3 rollforwards for the period then ended is included in each Fund’s Schedule of Investments.

Changes in valuation techniques may result in transfers into or out of an assigned level within the three-tier hierarchy. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

64

Notes to Financial Statements (unaudited)(continued)

3. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES  

Management Fee

The Trust has a management agreement with Lord Abbett, pursuant to which Lord Abbett supplies each Fund with investment management services and executive and other personnel, provides office space and pays for ordinary and necessary office and clerical expenses relating to research and statistical work and supervision of each Fund’s investment portfolio.

The management fee is based on each Fund’s average daily net assets at the following annual rate:

Climate Focused Bond Fund
First $1 billion	.35%
Over $1 billion	.30%
Mid Cap Innovation Growth Fund
First $1 billion	.65%
Next $3 billion	.63%
Next $1 billion	.60%
Over $5 billion	.58%
Short Duration High Yield Fund
First $1 billion	.45%
Over $1 billion	.40%

For the period ended January 31, 2021, the effective management fee, net of waivers, was at an annualized rate of each Fund’s average daily net assets:

	Net Effective Management Fee
Climate Focused Bond Fund	.00%
Mid Cap Innovation Growth Fund	.00%
Short Duration High Yield Fund	.00%

In addition, Lord Abbett provides certain administrative services to each Fund pursuant to an Administrative Services Agreement in return for a fee at an annual rate of ..04% of each Fund’s average daily net assets. Lord Abbett voluntarily waived the following fund administration fees during the period ended January 31, 2021:

Fund	Fund Administration Fee
Climate Focused Bond Fund	$1,950
Mid Cap Innovation Growth Fund	356
Short Duration High Yield Fund	764

For the period ended January 31, 2021 and continuing through November 30, 2021 for the Climate Focused Bond Fund and Short Duration High Yield Fund and for the period from December 28, 2020 through November 30, 2022 for the Mid Cap Innovation Growth Fund, Lord Abbett has contractually agreed to waive its fees and reimburse expenses to the extent necessary to limit the total net annual operating expenses, excluding 12b-1 fees, to the following annual rates:

	Classes
Fund	A, C, F, I, R2, R3, R4 and R5	F3 and R6
Climate Focused Bond Fund	.45%	.38%
Mid Cap Innovation Growth Fund	.81%	.73%
Short Duration High Yield Fund	.51%	.44%

65

Notes to Financial Statements (unaudited)(continued)

All contractual fee waiver and expense reimbursement agreements between the Funds and Lord Abbett may be terminated only upon the approval of the Funds’ Board.

12b-1 Distribution Plan

Each Fund has adopted a distribution plan with respect to Class A, C, F, R2, R3 and R4 shares pursuant to Rule 12b-1 under the Act, which provides for the payment of ongoing distribution and service fees to Lord Abbett Distributor LLC (the “Distributor”), an affiliate of Lord Abbett. The following annual rates have been authorized by the Board pursuant to the plan:

Fees*	Class A	Class C(1)	Class F(2)	Class R2	Class R3	Class R4
Service	.15%	.25%	–	.25%	.25%	.25%
Distribution	.05%	.75%	.10%	.35%	.25%	–

*	The Funds may designate a portion of the aggregate fee as attributable to service activities for purposes of calculating Financial Industry Regulatory Authority, Inc. (“FINRA”) sales charge limitations.
(1)	The 12b-1 fees Climate Focused Bond Fund and Short Duration High Yield Fund will pay on Class C shares will be a blended rate calculated based on (i) 1.00% of each Fund’s average daily net assets attributable to shares held for less than one year and (ii) 0.80% of each Fund’s average daily net assets attributable to shares held for one year or more. All Class C shareholders of each Fund will bear 12b-1 fees at the same rate.
(2)	For the period ended January 31, 2021 and continuing through November 30, 2021 for Climate Focused Bond Fund and Short Duration High Yield Fund and for the period from December 28, 2020 through November 30, 2022 for Mid Cap Innovation Growth Fund, Lord Abbett Distributor has contractually agreed to waive each Fund’s 0.10% Rule 12b-1 fee for Class F shares. This agreement may be terminated only by the Funds’ Board of Trustees.

Class F3, I, R5 and R6 shares do not have a distribution plan.

Commissions

Distributor received the following commissions on sales of shares of the Funds, after concessions were paid to authorized dealers, for the period ended January 31, 2021:

	Distributor Commissions		Dealers’ Concessions
Climate Focused Bond Fund	$	43	$	257
Mid Cap Innovation Growth Fund		235		1,575
Short Duration High Yield Fund		1,128		7,172

One Trustee and certain of the Trust’s officers have an interest in Lord Abbett.

4. DISTRIBUTIONS AND CAPITAL LOSS CARRYFORWARDS  

Dividends from net investment income, if any, are declared daily and paid monthly by the Climate Focused Bond Fund and Short Duration High Yield Fund. Dividends from net investment income, if any, are declared and distributed at least annually by the Mid Cap Innovation Growth Fund. Taxable net realized gains from investment transactions, reduced by allowable capital loss carryforwards, if any, are declared and distributed to shareholders at least annually. The capital loss carryforward amount, if any, is available to offset future net capital gains. Dividends and distributions to shareholders are recorded on the ex-dividend date. The amounts of dividends and distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These book/tax differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the components of net assets based on their federal tax basis treatment; temporary differences do not require reclassification. Dividends and distributions that exceed earnings and profits for tax purposes are reported as a tax return of capital.

66

Notes to Financial Statements (unaudited)(continued)

The tax character of distributions paid during the period ended January 31, 2021 and the fiscal year ended July 31, 2020 was as follows:

			Climate Focused Bond Fund			Mid Cap Innovation Growth Fund
	Six Months Ended 1/31/2021 (unaudited)			Fiscal Year Ended 7/31/2020		Period Ended 1/31/2021 (unaudited)
Distributions paid from:
Ordinary income	$	118,212		$	39,970	$	–
Total distributions paid	$	118,212		$	39,970	$	–
	Short Duration High Yield Fund
	Six Months Ended 1/31/2021 (unaudited)			Fiscal Year Ended 7/31/2020
Distributions paid from:
Ordinary income	$	268,099		$	84,507
Net long-term capital gains		2,837			–
Total distributions paid	$	270,936		$	84,507

As of January 31, 2021, the aggregate unrealized security gains and losses on investments and other financial instruments based on cost for U.S. federal income tax purposes were as follows:

	Climate Focused Bond Fund			Mid Cap Innovation Growth Fund			Short Duration High Yield Fund
Tax cost	$	11,509,882		$	2,565,918		$	11,452,001
Gross unrealized gain		1,047,468			87,827			539,887
Gross unrealized loss		(64,817	)		(74,878	)		(13,364	)
Net unrealized security gain	$	982,651		$	12,949		$	526,523

The difference between book-basis and tax-basis unrealized gains (losses) is attributable to the tax treatment of other financial instruments, certain securities, amortization of premium and wash sales.

5. PORTFOLIO SECURITIES TRANSACTIONS  

Purchases and sales of investment securities (excluding short-term investments) for the period ended January 31, 2021 were as follows:

	U.S. Government Purchases		Purchases		U.S. Government Sales		Sales
Climate Focused Bond Fund		$157,554	$	3,904,851		$121,862	$	2,386,982
Mid Cap Innovation Growth Fund		–		2,702,596		–		134,983
Short Duration High Yield Fund		–		8,079,213		–		2,178,218

The Funds are permitted to purchase and sell securities (“cross-trade”) from and to other Lord Abbett funds or client accounts pursuant to procedures approved by the Board in compliance with Rule 17a-7 under the Act (the “Rule”). Each cross-trade is executed at a fair market price in compliance with provisions of the Rule. For the period ended January 31, 2021, the Funds did not engage in cross-trades.

67

Notes to Financial Statements (unaudited)(continued)

6. DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES  

Climate Focused Bond Fund and Short Duration High Yield Fund entered into forward foreign currency exchange contracts during the six months ended January 31, 2021 (as described in note 2(g)). A forward foreign currency exchange contract reduces each Fund’s exposure to changes in the value of the currency it will deliver (or settle in cash) and increases its exposure to changes in the value of the currency it will receive (or settle in cash) for the duration of the contract. Each Fund’s use of forward foreign currency exchange contracts involves the risk that Lord Abbett will not accurately predict currency movements, and each Fund’s returns could be reduced as a result. Forward foreign currency exchange contracts are subject to the risk that those currencies will decline in value relative to the U.S. dollar, or, in the case of hedged positions, that the U.S. dollar will decline relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time. Each Fund’s risk of loss from counterparty credit risk is the unrealized appreciation on forward foreign currency exchange contracts.

Climate Focused Bond Fund entered into futures contracts during the six months ended January 31, 2021(as described in note 2(h)) to manage cash. The Fund bears the risk that the underlying index will move unexpectedly, in which case the Funds may realize a loss. There is minimal counterparty credit risk to the Funds since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees futures against default.

As of January 31, 2021, each Fund had the following derivatives at fair value, grouped into appropriate risk categories that illustrate the Funds’ use of derivative instruments:

	Climate Focused Bond Fund
Asset Derivatives	Foreign Currency Contracts		Interest Rate Contracts
Forward Foreign Currency Exchange Contracts(1)	$	2,713		–
Futures Contracts(2)		–	$	19,329
Liability Derivatives
Forward Foreign Currency Exchange Contracts(3)	$	26,191		–
Futures Contracts(2)		–	$	23,013
	Short Duration High Yield Fund
Asset Derivatives			Foreign Currency Contracts
Forward Foreign Currency Exchange Contracts(1)			$	51
Liability Derivatives
Forward Foreign Currency Exchange Contracts(3)			$	2,864

(1)	Statements of Assets and Liabilities location: Unrealized appreciation on forward foreign currency exchange contracts.
(2)	Statements of Assets and Liabilities location: Includes cumulative unrealized appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.
(3)	Statements of Assets and Liabilities location: Unrealized depreciation on forward foreign currency exchange contracts.

68

Notes to Financial Statements (unaudited)(continued)

Transactions in derivative investments for the six months ended January 31, 2021 were as follows:

	Climate Focused Bond Fund
	Foreign Currency Contracts			Interest Rate Contracts
Net Realized Gain (Loss)
Forward Foreign Currency Exchange Contracts(1)	$	(439,241	)			–
Futures Contracts(2)		–			$	(21,931	)
Net Change in Unrealized Appreciation/Depreciation
Forward Foreign Currency Exchange Contracts(3)	$	267,797				–
Futures Contracts(4)		–			$	8,478
Average Number of Contracts/Notional Amount*
Forward Foreign Currency Exchange Contracts(5)	$	5,888,080				–
Futures Contracts(6)		–				23
		Short Duration High Yield Fund
				Foreign Currency Contracts
Net Realized Gain (Loss)
Forward Foreign Currency Exchange Contracts(1)					$	(15,832	)
Net Change in Unrealized Appreciation/Depreciation
Forward Foreign Currency Exchange Contracts(3)					$	5,795
Average Number of Contracts/Notional Amount*
Forward Foreign Currency Exchange Contracts(5)					$	323,469

*	Calculated based on the number of contracts or notional amounts for the six months ended January 31, 2021.
(1)	Statements of Operations location: Net realized gain (loss) on forward foreign currency exchange contracts.
(2)	Statements of Operations location: Net realized gain (loss) on futures contracts.
(3)	Statements of Operations location: Net change in unrealized appreciation/depreciation on forward foreign currency exchange contracts.
(4)	Statements of Operations location: Net change in unrealized appreciation/depreciation on futures contracts.
(5)	Amount represents notional amounts in U.S. dollars.
(6)	Amount represents number of contracts.

7. DISCLOSURES ABOUT OFFSETTING ASSETS AND LIABILITIES  

The Financial Accounting Standards Board (“FASB”) requires disclosures intended to help better assess the effect or potential effect of offsetting arrangements on a fund’s financial position. The following tables illustrate gross and net information about recognized assets and liabilities eligible for offset in the Statements of Assets and Liabilities; and disclose such amounts subject to an enforceable master netting agreement or similar agreement, by counterparty. A master netting agreement is an agreement between a fund and a counterparty which provides for the net settlement of amounts owed under all contracts traded under that agreement, as well as cash collateral, through a single payment by one party to the other in the event of default on or termination of any one contract. The Funds’ accounting policy with respect to balance sheet offsetting is that, absent an event of default by the counterparty or a termination of the agreement, the master netting agreement does not result in an offset of reported amounts of financial assets and liabilities in the Statements of Assets and Liabilities across transactions between the Fund and the applicable counterparty:

69

Notes to Financial Statements (unaudited)(continued)

			Climate Focused Bond Fund
			Gross Amounts		Net Amounts of
			Offset in the		Assets Presented
	Gross Amounts of		Statement of Assets		in the Statement of
Description	Recognized Assets		and Liabilities		Assets and Liabilities
Forward Foreign Currency Exchange Contracts	$	2,713	$	–	$	2,713
Repurchase Agreement		165,833		–		165,833
Total	$	168,546	$	–	$	168,546

	Net Amounts
	of Assets		Amounts Not Offset in the
	Presented in		Statement of Assets and Liabilities
	the Statement					Cash		Securities
	of Assets and		Financial			Collateral		Collateral			Net
Counterparty	Liabilities		Instruments			Received(a)		Received(a)			Amount(b)
Fixed Income Clearing Corp.	$	165,833	$	–		$	–	$	(165,833	)	$	–
State Street Bank and Trust		2,713		(2,713	)		–		–			–
Total	$	168,546	$	(2,713	)	$	–	$	(165,833	)	$	–

			Gross Amounts		Net Amounts of
			Offset in the		Liabilities Presented
	Gross Amounts of		Statement of Assets		in the Statement of
Description	Recognized Liabilities		and Liabilities		Assets and Liabilities
Forward Foreign Currency Exchange Contracts	$	26,191	$	–	$	26,191
Total	$	26,191	$	–	$	26,191

	Net Amounts
	of Assets		Amounts Not Offset in the
	Presented in		Statement of Assets and Liabilities
	the Statement					Cash		Securities
	of Assets and		Financial			Collateral		Collateral		Net
Counterparty	Liabilities		Instruments			Received(a)		Received(a)		Amount(b)
State Street Bank and Trust	$	15,032	$	(2,713	)	$	–	$	–	$	12,319
Toronto Dominion Bank		11,159		–			–		–		11,159
Total	$	26,191	$	(2,713	)	$	–	$	–	$	23,478

			Short Duration High Yield Fund
			Gross Amounts		Net Amounts of
			Offset in the		Assets Presented
	Gross Amounts of		Statement of Assets		in the Statement of
Description	Recognized Assets		and Liabilities		Assets and Liabilities
Forward Foreign Currency Exchange Contracts	$	51	$	–	$	51
Repurchase Agreement		356,540		–		356,540
Total	$	356,591	$	–	$	356,591

70

Notes to Financial Statements (unaudited)(continued)

	Net Amounts
	of Assets		Amounts Not Offset in the
	Presented in		Statement of Assets and Liabilities
	the Statement					Cash		Securities
	of Assets and		Financial			Collateral		Collateral			Net
Counterparty	Liabilities		Instruments			Received(a)		Received(a)			Amount(b)
Fixed Income Clearing Corp.	$	356,540	$	–		$	–	$	(356,540	)	$	–
State Street Bank and Trust		51		(51	)		–		–			–
Total	$	356,591	$	(51	)	$	–	$	(356,540	)	$	–

			Gross Amounts		Net Amounts of
			Offset in the		Liabilities Presented
	Gross Amounts of		Statement of Assets		in the Statement of
Description	Recognized Liabilities		and Liabilities		Assets and Liabilities
Forward Foreign Currency Exchange Contracts	$	2,864	$	–	$	2,864
Total	$	2,864	$	–	$	2,864

	Net Amounts
	of Assets		Amounts Not Offset in the
	Presented in		Statement of Assets and Liabilities
	the Statement					Cash		Securities
	of Assets and		Financial			Collateral		Collateral		Net
Counterparty	Liabilities		Instruments			Received(a)		Received(a)		Amount(b)
State Street Bank and Trust	$	2,397	$	(51	)	$	–	$	–	$	2,346
Toronto Dominion Bank		467		–			–		–		467
Total	$	2,864	$	(51	)	$	–	$	–	$	2,813

(a)	Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets (liabilities) presented in the Statements of Assets and Liabilities, for each respective counterparty.
(b)	Net amount represents the amount owed to the Fund by the counterparty as of January 31, 2021.
(c)	Net amount represents the amount owed by the Fund to the counterparty as of January 31, 2021.

8. TRUSTEES’ REMUNERATION  

The Trust’s officers and one Trustee, who are associated with Lord Abbett, do not receive any compensation from the Trust for serving in such capacities. Independent Trustees’ fees are allocated among all Lord Abbett-sponsored funds based on the net assets of each fund. There is an equity-based plan available to all Independent Trustees under which Independent Trustees must defer receipt of a portion of, and may elect to defer receipt of an additional portion of Trustees’ fees. The deferred amounts are treated as though equivalent dollar amounts had been invested in the funds. Such amounts and earnings accrued thereon are included in Trustees’ fees on the Statements of Operations and in Trustees’ fees payable on the Statements of Assets and Liabilities and are not deductible for U.S. federal income tax purposes until such amounts are paid.

9. EXPENSE REDUCTIONS  

The Trust has entered into an arrangement with its transfer agent and custodian, whereby credits realized as a result of uninvested cash balances are used to reduce a portion of each Fund’s expenses.

10. LINE OF CREDIT  

For the period ended August 5, 2020, with the exception of Mid Cap Innovation Growth Fund, the Funds and certain other funds managed by Lord Abbett (collectively, the “Participating Funds”) entered into a syndicated line of credit facility with various lenders for $1.17 billion (the

71

Notes to Financial Statements (unaudited)(continued)

“Syndicated Facility”) whereas State Street Bank and Trust Company (“SSB”) participated as a lender and as agent for the lenders. The Participating Funds were subject to graduated borrowing limits of one-third of Fund net assets (if Fund net assets are less than $750 million), $250 million, $300 million, $350 million, $500 million, or $1 billion, based on past borrowings and likelihood of future borrowings, among other factors. Effective August 6, 2020, the Participating Funds are subject to graduated borrowing limits of one-third of Fund net assets (if Fund net assets are less than $750 million), $250 million, $300 million, $600 million, or $900 million, based on past borrowings and likelihood of future borrowings, among other factors.

For the period ended January 31, 2021, the Participating Funds were party to an additional line of credit facility with SSB for $330 million (the “Bilateral Facility”), $250 million committed and $80 million uncommitted. Under the Bilateral Facility, the Participating Funds are subject to graduated borrowing limits of one-third of Fund net assets (if net assets are less than $750 million), $250 million, $300 million, or $330 million, based on past borrowings and likelihood of future borrowings, among other factors.

The Syndicated Facility and the Bilateral Facility are to be used for temporary or emergency purposes as an additional source of liquidity to satisfy redemptions.

For the period ended January 31, 2021, the Funds did not utilize the Facilities.

11. INTERFUND LENDING PROGRAM  

Pursuant to an exemptive order issued by the U.S. Securities and Exchange Commission (“SEC exemptive order”) certain registered open-end management investment companies managed by Lord Abbett, including each Fund, participate in a joint lending and borrowing program (the “Interfund Lending Program”). The SEC exemptive order allows the Funds to borrow money from and lend money to each other for temporary or emergency purposes subject to the limitations and conditions.

For the period ended January 31, 2021, the Funds did not participate as a borrower or lender in the Interfund Lending Program.

12. CUSTODIAN AND ACCOUNTING AGENT  

SSB is the Trust’s custodian and accounting agent. SSB performs custodial, accounting and recordkeeping functions relating to portfolio transactions and calculating each Fund’s NAV.

13. SECURITIES LENDING AGREEMENT  

The Funds have established a securities lending agreement with Citibank, N. A. for the lending of securities to qualified brokers in exchange for securities or cash collateral equal to at least the market value of securities loaned, plus interest, if applicable. Cash collateral is invested in an approved money market fund. In accordance with the Funds’ securities lending agreement, the market value of securities on loan is determined each day at the close of business and any additional collateral required to cover the value of securities on loan is delivered to the Funds on the next business day. As with other extensions of credit, the Funds may experience a delay in the recovery of their securities or incur a loss should the borrower of the securities breach its agreement with the Funds or become insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan. Any income earned from securities lending is included in Securities Lending Income on the Statements of Operations.

72

Notes to Financial Statements (unaudited)(continued)

The initial collateral received by the Funds are required to have a value equal to at least 100% of the market value of the securities loaned. The collateral must be marked-to-market daily to cover increases in the market value of the securities loaned (or potentially a decline in the value of the collateral). In general, the risk of borrower default will be borne by Citibank, N.A.; the Funds will bear the risk of loss with respect to the investment of the cash collateral. The advantage of such loans is that the Funds continue to receive income on loaned securities while receiving a portion of any securities lending fees and earning returns on the cash amounts which may be reinvested for the purchase of investments in securities.

For the period ended January 31, 2021, the Funds did not loan securities.

14. INVESTMENT RISKS  

Each of the Climate Focused Bond Fund and Short Duration High Yield Fund is subject to the general risks and considerations associated with investing in debt securities and to the changing prospects of individual companies and/or sectors in which the Fund invests. The value of an investment will change as interest rates fluctuate and in response to market movements. When interest rates rise, the prices of debt securities are likely to decline; when rates fall, such prices tend to rise. Longer-term debt securities are usually more sensitive to interest rate changes. There is also the risk that an issuer of a debt security will fail to make timely payments of principal or interest to the Fund, a risk that is greater with high-yield securities (sometimes called “lower-rated bonds” or “junk bonds”), in which the Fund may substantially invest. Some issuers, particularly of high-yield securities, may default as to principal and/or interest payments after the Fund purchases its securities. A default, or concerns in the market about an increase in the risk of default, may result in losses to the Fund.

On July 27, 2017, the head of the United Kingdom’s Financial Conduct Authority announced a desire to phase out the use of LIBOR by the end of 2021. There remains uncertainty regarding the future utilization of LIBOR and the nature of any replacement rate. As such, the potential effect of a transition away from LIBOR on the Fund or the LIBOR-based instruments in which the Fund invests cannot yet be determined. The transition process might lead to increased volatility and illiquidity in markets that currently rely on LIBOR to determine interest rates. It could also lead to a reduction in the value of some LIBOR-based investments and reduce the effectiveness of new hedges placed against existing LIBOR-based instruments. Since the usefulness of LIBOR as a benchmark could deteriorate during the transition period, these effects could occur prior and/or subsequent to the end of 2021.

High-yield securities are subject to greater price fluctuations, as well as additional risks. The market for below investment grade securities may be less liquid, which may make such securities more difficult to sell at an acceptable price, especially during periods of financial distress, increased market volatility, or significant market decline.

The Climate Focused Bond Fund is subject to the risk that its climate-focused investment strategy may select or exclude securities of certain issuers for reasons other than investment performance considerations and that the Fund may underperform funds that do not utilize a climate-focused investment strategy. Certain climate-focused investments may be dependent on government policies and subsidies, which are subject to change or elimination. There can be no assurance that the operations of a given issuer in which the Fund invests will in fact have a positive impact on the climate. Successful application of the Fund’s climate-focused investment strategy will depend on Lord Abbett’s skill in properly identifying and analyzing material climate-related issues and related

73

Notes to Financial Statements (unaudited)(continued)

business practices, and there can be no assurance that the strategy or techniques employed will be successful.

Each Fund may invest in equity securities, the value of which fluctuates in response to movements in the equity securities markets in general, the changing prospects of individual companies in which the Fund invests, or an individual company’s financial condition.

The Mid Cap Innovation Growth Fund is subject to the risk of investing in mid-sized companies. The Investments in mid-sized companies may involve greater risks than investments in larger, more established companies. As compared to larger companies, mid-sized companies may have limited management experience or depth, limited ability to generate or borrow capital needed for growth, and limited products or services, or operate in less established markets. Accordingly, securities of mid-sized companies tend to be more sensitive to changing economic, market, and industry conditions and tend to be more volatile and less liquid than equity securities of larger companies, especially over the short term. The securities of mid-sized companies tend to trade less frequently than those of larger, more established companies, which can adversely affect the pricing of these securities and the ability to sell these securities in the future.

Each of the Climate Focused Bond Fund and Short Duration High Yield Fund is subject to the risk of investing in securities issued or guaranteed by the U.S. Government or its agencies and instrumentalities (such as the Government National Mortgage Association (“Ginnie Mae”), the Federal National Mortgage Association (“Fannie Mae”), or the Federal Home Loan Mortgage Corporation (“Freddie Mac”)). Unlike Ginnie Mae securities, securities issued or guaranteed by U.S. Government-related organizations such as Fannie Mae and Freddie Mac are not backed by the full faith and credit of the U.S. Government and no assurance can be given that the U.S. Government would provide financial support to its agencies and instrumentalities if not required to do so by law. Consequently, the Fund may be required to look principally to the agency issuing or guaranteeing the obligation.

The mortgage-related and asset-backed securities in which the Climate Focused Bond Fund and Short Duration High Yield Fund may invest may be particularly sensitive to changes in prevailing interest rates, and economic conditions, including delinquencies and/or defaults. These changes can affect the value, income, and/or liquidity of such positions. When interest rates are declining, the value of these securities with prepayment features may not increase as much as other fixed income securities. Early principal repayment may deprive the Fund of income payments above current market rates. Alternatively, rising interest rates may cause prepayments to occur at a slower-than-expected rate, extending the duration of a security and typically reducing its value. The payment rate will thus affect the price and volatility of a mortgage- related security. In addition, the Fund may invest in non-agency asset backed and mortgage related securities, which are issued by private institutions, not by government-sponsored enterprises.

The Mid Cap Innovation Growth Fund is subject to the risks of investing in growth stocks. Growth stocks typically trade at higher multiples of current earnings than other stocks. Growth stocks often are more sensitive to market fluctuations than other securities because their market prices are highly sensitive to future earnings expectations. At times when it appears that these expectations may not be met, prices of growth stocks typically fall. Growth stocks may be more volatile than securities of slower-growing issuers.

Each of the Climate Focused Bond Fund and Short Duration High Yield Fund may invest in convertible securities, which have both equity and fixed income risk characteristics, including

74

Notes to Financial Statements (unaudited)(continued)

market, credit, liquidity, and interest rate risks. Generally, convertible securities offer lower interest or dividend yields than non-convertible securities of similar quality and less potential for gains or capital appreciation in a rising equity securities market than equity securities. They tend to be more volatile than other fixed income securities and the market for convertible securities may be less liquid than the markets for stocks or bonds. A significant portion of convertible securities have below investment grade credit ratings and are subject to increased credit and liquidity risks.

Due to each Fund’s investment exposure to foreign companies and American Depositary Receipts, each Fund may experience increased market, industry and sector, liquidity, currency, political, information, and other risks. The securities of foreign companies also may be subject to inadequate exchange control regulations, the imposition of economic sanctions or other government restrictions, higher transaction and other costs, and delays in settlement to the extent they are traded on non-U.S. exchanges or markets.

Each of the Climate Focused Bond Fund and Short Duration High Yield Fund is subject to the risks associated with derivatives, which may be different from and greater than the risks associated with directly investing in securities. Derivatives may be subject to risks such as liquidity risk, leveraging risk, interest rate risk, market risk, and credit risk. Illiquid securities may lower the Fund’s returns since the Fund may be unable to sell these securities at their desired time or price. Derivatives also may involve the risk of mispricing or improper valuation and the risk that changes in the value of the derivative may not correlate perfectly with the value of the underlying asset, rate or index. Whether the Fund’s use of derivatives is successful will depend on, among other things, the Fund’s ability to correctly forecast market movements and other factors. Losses may also arise from the failure of a derivative counterparty to meet its contractual obligations. If the Fund incorrectly forecasts these and other factors, the Fund’s performance could suffer. The Fund’s use of derivatives could result in a loss exceeding the amount of the Fund’s investment in these instruments.

Each of the Climate Focused Bond Fund and Short Duration High Yield Fund may invest in loans, which include, among other things, loans to U.S. or foreign corporations, partnerships, other business entities, or to U.S. and non-U.S. governments. Each Fund may invest in fixed rate and variable rate loans and floating or adjustable rate loans, including bridge loans, novations, assignments, and participations, which are subject to increased credit and liquidity risks. The loans in which the Short Duration High Yield Fund invests will usually be rated below investment grade or may also be unrated. Below investment grade loans, as in the case of high-yield debt securities, or junk bonds, are usually more credit sensitive than interest rate sensitive, although the value of these instruments may be impacted by broader interest rate swings in the overall fixed income market. The Short Duration High Yield Fund may also invest in, or obtain exposure to, obligations that may be “covenant-lite,” which means such obligations lack certain financial maintenance covenants. Should a loan held by the Fund begin to deteriorate in quality, the Fund’s ability to negotiate with the borrower may be delayed under a covenant-lite loan compared to a loan with full maintenance covenants. This may in turn delay the Fund’s ability to seek to recover its investment.

Geopolitical and other events (e.g., wars, terrorism, natural disasters, epidemics or pandemics such as the COVID-19 outbreak which began in late 2019) may disrupt securities markets and adversely affect global economies and markets, thereby decreasing the value of each Fund’s investments. Market disruptions can also prevent each Fund from implementing its investment strategies and achieving its investment objective.

The transmission of COVID-19 and efforts to contain its spread have resulted in, among other things, border closings and other significant travel restrictions and disruptions, significant

75

Notes to Financial Statements (unaudited)(continued)

disruptions to business operations, supply chains and customer activity, lower consumer demand for goods and services, event cancellations and restrictions, service cancellations, reductions and other changes, significant challenges in healthcare service preparation and delivery, and prolonged quarantines, as well as general concern and uncertainty. The impact of the COVID-19 outbreak could negatively affect the global economy, the economies of individual countries, and the financial performance of individual issuers, sectors, industries, asset classes, and markets in significant and unforeseen ways.

The COVID-19 pandemic and its effects may last for an extended period of time, and in either case could result in significant market volatility, exchange trading suspensions and closures, declines in global financial markets, higher default rates, and a substantial economic downturn or recession. The foregoing could disrupt the operations of each Fund and its service providers, adversely affect the value and liquidity of each Fund’s investments, and negatively impact each Fund’s performance and your investment in each Fund.

These factors can affect each Fund’s performance.

15. SUMMARY OF CAPITAL TRANSACTIONS  

Transactions in shares of beneficial interest were as follows:

				Six Months Ended					For the
				January 31, 2021					Period Ended
Climate Focused Bond Fund				(unaudited)					July 31, 2020(a)
Class A Shares	Shares			Amount			Shares		Amount
Shares sold		71,113		$	733,056			341,744	$	3,420,449
Reinvestment of distributions		846			8,773			111		1,132
Increase		71,959		$	741,829			341,855	$	3,421,581
Class C Shares
Shares sold		14,611		$	151,000			60,394	$	604,000
Reinvestment of distributions		101			1,045			21		214
Shares reacquired		(971	)		(9,992	)		–		–
Increase		13,741		$	142,053			60,415	$	604,214
Class F Shares
Shares sold		50,165		$	517,435			300,000	$	3,000,000
Reinvestment of distributions		444			4,608			–		–
Shares reacquired		(3	)		(29	)		–		–
Increase		50,606		$	522,014			300,000	$	3,000,000
Class F3 Shares
Shares sold		–		$	–			12,500	$	125,000
Increase		–		$	–			12,500	$	125,000
Class I Shares
Shares sold		7,279		$	75,990			300,000	$	3,000,000
Reinvestment of distributions		10			106			–		–
Increase		7,289		$	76,096			300,000	$	3,000,000
Class R3 Shares
Shares sold		–		$	–			2,500	$	25,000
Increase		–		$	–			2,500	$	25,000

76

Notes to Financial Statements (unaudited)(continued)

			Six Months Ended				For the
			January 31, 2021				Period Ended
Climate Focused Bond Fund			(unaudited)				July 31, 2020(a)
Class R4 Shares	Shares		Amount		Shares		Amount
Shares sold		–	$	–		2,500	$	25,000
Increase		–	$	–		2,500	$	25,000
Class R5 Shares
Shares sold		–	$	–		2,500	$	25,000
Increase		–	$	–		2,500	$	25,000
Class R6 Shares
Shares sold		13,563	$	141,345		30,000	$	300,000
Increase		13,563	$	141,345		30,000	$	300,000

				For the
				Period Ended
				January 31, 2021
Mid Cap Innovation Growth Fund				(unaudited)(b)
Class A Shares	Shares			Amount
Shares sold		102,814		$	1,553,428
Increase		102,814		$	1,553,428
Class C Shares
Shares sold		10,415		$	159,521
Shares reacquired		(96	)		(1,475	)
Increase		10,319		$	158,046
Class F Shares
Shares sold		33,333		$	500,000
Increase		33,333		$	500,000
Class F3 Shares
Shares sold		666.66		$	10,000
Increase		666.66		$	10,000
Class I Shares
Shares sold		7,333		$	110,000
Increase		7,333		$	110,000
Class R3 Shares
Shares sold		666.66		$	10,000
Increase		666.66		$	10,000
Class R4 Shares
Shares sold		666.66		$	10,000
Increase		666.66		$	10,000
Class R5 Shares
Shares sold		666.66		$	10,000
Increase		666.66		$	10,000
Class R6 Shares
Shares sold		16,666		$	250,000
Increase		16,666		$	250,000

77

Notes to Financial Statements (unaudited)(concluded)

				Six Months Ended						For the
				January 31, 2021						Period Ended
Short Duration High Yield Fund				(unaudited		)				July 31, 2020(c)
Class A Shares	Shares			Amount			Shares			Amount
Shares sold		411,488		��  $	4,465,517			162,642		$	1,632,316
Reinvestment of distributions		4,141			44,935			123			1,260
Shares reacquired		(6,733	)		(74,211	)		(18	)		(187	)
Increase		408,896		$	4,436,241			162,747		$	1,633,389
Class C Shares
Shares sold		18,156		$	196,444			55,469		$	557,500
Reinvestment of distributions		340			3,674			22			226
Shares reacquired		(212	)		(2,566	)		(497	)		(5,010	)
Increase		18,284		$	197,552			54,994		$	552,716
Class F Shares
Shares sold		139,246		$	1,494,732			242,417		$	2,425,318
Reinvestment of distributions		2,459			26,577			134			1,349
Shares reacquired		(22,561	)		(243,822	)		–	(d)		(3	)
Increase		119,144		$	1,277,487			242,551		$	2,426,664
Class F3 Shares
Shares sold		–		$	–			1,000		$	10,000
Reinvestment of distributions		–			–			1			5
Increase (decrease)		–		$	–			1,001		$	10,005
Class I Shares
Shares sold		–		$	–			50,000		$	500,000
Reinvestment of distributions		–			–			27			268
Increase (decrease)		–		$	–			50,027		$	500,268
Class R3 Shares
Shares sold		–		$	–			1,000		$	10,000
Reinvestment of distributions		–	(d)		–			–	(d)		5
Increase (decrease)		–		$	–			1,000		$	10,005
Class R4 Shares
Shares sold		–		$	–			1,000		$	10,000
Reinvestment of distributions		–	(d)		–			–	(d)		5
Increase		–		$	–			1,000		$	10,005
Class R5 Shares
Shares sold		–		$	–			1,000		$	10,000
Reinvestment of distributions		–			–			1			5
Increase		–		$	–			1,001		$	10,005
Class R6 Shares
Shares sold		7,679		$	82,475			6,000		$	60,000
Reinvestment of distributions		–			–			3			33
Increase		7,679		$	82,475			6,003		$	60,033

(a)	For the period May 20, 2020 (commencement of operations) to July 31, 2020.
(b)	For the period December 28, 2020 (commencement of operations) to January 31, 2021.
(c)	For the period April 22, 2020 (commencement of operations) to July 31, 2020.
(d)	Amount less than 1 share.

78

Approval of Advisory Contract

At the initial organizational meeting for the Mid Cap Innovation Growth Fund, the Board, including all of the Trustees who are not “interested persons” of the Company or of Lord Abbett, as defined in the Investment Company Act of 1940, as amended (the “Independent Trustees”), considered whether to approve the proposed management agreement between the Fund and Lord Abbett (the “Agreement”). The Board reviewed materials relating specifically to the Agreement before and at the meeting and before making its decision, the Board had the opportunity to ask questions and request further information. The Board also took into account its knowledge of Lord Abbett gained through its meetings and discussions.

The materials received by the Board as to the Fund included, but were not limited to: (1) information provided by Broadridge Financial Solutions regarding the expense ratios, contractual and actual management fee rates, and other expense components for the Fund (estimated where appropriate for the Fund) and certain funds in the same Morningstar category, with generally the same or similar share classes and operational characteristics (the “expense peer group”); (2) information provided by Lord Abbett on the estimated expense ratios, management fee rates, and other expense components for the Fund; and (3) information regarding the investment strategies and risks of the Fund and the personnel and other resources devoted by Lord Abbett to managing the Fund.

Investment Management and Related Services Generally. The Board considered the services to be provided by Lord Abbett to the Fund, including investment research, portfolio management, and trading, and Lord Abbett’s commitment to compliance with all applicable legal requirements. The Board also observed that Lord Abbett was solely engaged in the investment management business and accordingly did not experience the conflicts of interest that may result from being engaged in other lines of business. The Board considered the investment advisory services provided by Lord Abbett to other clients, the fees charged for the services, and the differences in the nature of the services to be provided to the Fund and currently provided to other Lord Abbett Funds, on the one hand, and the services provided to other clients, on the other. In addition, the Board considered its experience with other funds advised by Lord Abbett. After reviewing these and related factors, the Board concluded that the Fund was likely to benefit from the nature, extent and quality of the investment services to be provided by Lord Abbett under the Agreement.

Investment Performance. Because the Fund had not yet begun operations, the Fund did not have any investment performance to review. The Board considered Lord Abbett’s performance and reputation generally and the performance of other Lord Abbett-managed funds overseen by the Board.

Lord Abbett’s Personnel and Methods. The Board considered the qualifications of the personnel who would provide investment management services to the Fund, in light of its investment objective and discipline, and other services to be provided to the Fund by Lord Abbett. Among other things, the Board considered the size, experience, and turnover of Lord Abbett’s staff, Lord Abbett’s investment methodology and philosophy, and Lord Abbett’s approach to recruiting, training, and retaining personnel.

Nature and Quality of Other Services. The Board considered the nature, quality, and extent of compliance, administrative, and other services to be performed by Lord Abbett and the nature and extent of Lord Abbett’s supervision of third party service providers, including the Fund’s transfer agent and custodian.

Expenses. The Board considered the estimated expense level of the Fund, including the contractual and actual management fee rates, and the expense levels of the Fund’s expense peer group. It also

79

Approval of Advisory Contract (concluded)

considered how the Fund’s estimated expense level related to those of the expense peer group and the amount and nature of the fees to be paid by shareholders. The Board observed that the estimated net total expense ratio of the Fund was below the median of the expense peer group. After reviewing these and related factors, the Board concluded, within the context of its overall approval of the Agreement, that the estimated expense level of the Fund was reasonable and supported the approval of the Agreement.

Profitability. Because the Fund had not yet begun operations, the Board was not able to consider the level of Lord Abbett’s profits in managing the Fund. The Board did consider that Lord Abbett would be subsidizing the Fund for the near future. The Board recognized that Lord Abbett’s overall profitability was a factor in enabling it to attract and retain qualified personnel to provide services to the Fund. After reviewing these and related factors, the Board concluded, within the context of its overall approval of the Agreement, that Lord Abbett’s overall profitability was not excessive.

Economies of Scale. The Board considered whether there might be economies of scale in managing the Fund and whether the Fund would benefit appropriately from any such economies of scale. The Board concluded that the existence of three contractual breakpoints in the proposed management fee schedule, in conjunction with the Fund’s proposed expense limitation agreement, adequately addressed any economies of scale in managing the Fund.

Other Benefits to Lord Abbett. The Board considered the amount and nature of the fees to be paid by the Fund and the Fund’s shareholders to Lord Abbett and the Distributor for services other than investment advisory services, such as the fee that Lord Abbett will receive from the Fund for providing administrative services to the Fund. The Board also considered the revenues and profitability of Lord Abbett’s investment advisory business apart from its mutual fund business, and the intangible benefits expected to be enjoyed by Lord Abbett by virtue of its relationship with the Fund. The Board observed that the Distributor receives 12b-1 fees from certain of the Lord Abbett Funds as to shares held in accounts for which there is no other broker of record, may retain a portion of the 12b-1 fees it receives, and receives a portion of the sales charges on sales and redemptions of some classes of shares of the Lord Abbett Funds. In addition, the Board observed that Lord Abbett accrues certain benefits for its business of providing investment advice to clients other than the Lord Abbett Funds, but that business could also benefit the Fund. The Board also noted that Lord Abbett, as will be disclosed in the prospectus of the Fund, has entered into revenue sharing arrangements with certain entities that distribute shares of the Fund. The Board also took into consideration the investment research that Lord Abbett may receive as a result of client brokerage transactions.

Conclusion. After considering all of the relevant factors, the Board unanimously found that approval of the Agreement was in the best interests of the Fund and voted unanimously to approve the Agreement. In considering whether to approve the Agreement, the Board did not identify any single factor as paramount or controlling. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. This summary does not discuss in detail all matters considered.

80

Liquidity Risk Management Program

Pursuant to Rule 22e-4 under the 1940 Act, the Funds have adopted a Liquidity Risk Management Program and Policy (“Program”). The Program is designed to assess, manage and periodically review the Funds’ liquidity risk. Liquidity risk is defined under Rule 22e-4 as the risk that the Funds could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund. The Board has appointed Lord Abbett as the administrator for the Funds’ Program. At the May 28–29, 2020 meeting, Lord Abbett provided the Board with a report addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the period December 1, 2018 through February 28, 2020. Lord Abbett reported that the Program operated effectively during the period. In particular, Lord Abbett reported that: the Funds did not breach its 15% limit on illiquid investments at any point during the period and all regulatory reporting related to Rule 22e-4 was completed on time and without issue during the period. There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Funds’ prospectus for more information regarding the Funds’ exposure to liquidity risk and other principal risks to which an investment in the Funds may be subject.

Householding

The Trust has adopted a policy that allows it to send only one copy of each Fund’s prospectus, proxy material, annual report and semiannual report (or related notice of internet availability of annual report and semiannual report) to certain shareholders residing at the same “household.” This reduces Fund expenses, which benefits you and other shareholders. If you need additional copies or do not want your mailings to be “householded,” please call Lord Abbett at 888-522-2388 or send a written request with your name, the name of your fund or funds and your account number or numbers to Lord Abbett Family of Funds, P. O. Box 219336, Kansas City, MO 64121.

Proxy Voting Policies, Procedures and Records

A description of the policies and procedures that Lord Abbett uses to vote proxies related to each Fund’s portfolio securities, and information on how Lord Abbett voted each Fund’s proxies during the 12-month period ended June 30 are available without charge, upon request, (i) by calling 888-522-2388; (ii) on Lord Abbett’s Website at www.lordabbett.com; and (iii) on the Securities and Exchange Commission’s (“SEC”) Website at www.sec.gov.

Shareholder Reports and Quarterly Portfolio Disclosure

The Funds are required to file their complete schedule of portfolio holdings with the SEC for their first and third fiscal quarters as an attachment to Form N-PORT. Copies of the filings are available without charge, upon request on the SEC’s Website at www.sec.gov and may be available by calling Lord Abbett at 888-522-2388.

81

This report, when not used for the general information of shareholders of the Fund, is to be distributed only if preceded or accompanied by a current fund prospectus.   Lord Abbett mutual fund shares are distributed by
LORD ABBETT DISTRIBUTOR LLC. Lord Abbett Trust I   Climate Focused Bond Fund Mid Cap Innovation Growth Fund Short Duration High Yield Fund TRUST-I-3 (03/21)

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.
	Not applicable.
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.
	Not applicable.
Item 11:	Controls and Procedures.

(a) The principal executive officer and principal financial & accounting officer have concluded as of a date within 90 days of the filing date of this report, based on their evaluation of the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940), that the design of such procedures is effective to provide reasonable assurance that material information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the time periods specified in the Commission’s rules and forms.

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the period covered by this report that have materially affected, or are 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.
	Not applicable.
Item 13:	Exhibits.

(a)(1) Code of Ethics. Not applicable.

(a)(2) Certification of each principal executive officer and principal financial officer of the Registrant as required by Rule 30a-2 under the Investment Company Act of 1940 is attached hereto as a part of EX-99.CERT.

(b) Certification of each principal executive officer and principal financial officer of the Registrant as required by Section 906 of the Sarbanes-Oxley Act of 2002 is provided as a part of EX-99.906CERT.

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.

	LORD ABBETT TRUST I
By:	/s/ Douglas B. Sieg
	Douglas B. Sieg
	President and Chief Executive Officer

Date: March 22, 2021

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:	/s/ Vito A. Fronda
	Vito A. Fronda
	Chief Financial Officer and Treasurer

Date: March 22, 2021

By:	/s/ Vito A. Fronda
	Vito A. Fronda
	Chief Financial Officer and Treasurer

Date: March 22, 2021