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)
Lawrence B. Stoller, Vice President, Secretary, and Chief Legal Officer
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: 7/31/2022
| Item 1: | Report(s) to Shareholders. |
LORD ABBETT
ANNUAL REPORT
Lord Abbett
Climate Focused Bond Fund
Emerging Markets Equity Fund
International Growth Fund
Mid Cap Innovation Growth Fund
Short Duration High Yield Fund
For the period ended July 31, 2022
Lord Abbett Trust I
Lord Abbett Climate Focused Bond Fund, Lord Abbett Emerging Markets Equity Fund, Lord Abbett International Growth Fund, Lord Abbett Mid Cap Innovation Growth Fund, and Lord Abbett Short Duration High Yield Fund
Annual Report
For the period year ended July 31, 2022
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 overview of the performance of the Funds for the period year ended July 31, 2022. On this page and the following pages, we discuss the major factors that influenced fiscal year performance. For detailed and timely information about the Funds, please visit our website at www.lordabbett.com, where you can also access the quarterly commentaries that provide updates on each Fund’s performance and other portfolio related updates. 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 |
| | | |
Lord Abbett Climate Focused Bond Fund
For the fiscal year ended July 31, 2022, the Fund returned -8.72%, reflecting performance at the net asset value of Class A shares with all distributions reinvested, compared to its benchmark, the ICE BofA Green Bond Index (USD Hedged)1, which returned -11.44% over the same period. The Bloomberg Global Aggregate Bond
Index (USD Hedged)2 returned -7.77% over the same period.
Risk assets finished lower for the twelve-month period as negative sentiment overwhelmed markets. Looking closer, the period was defined by two distinct periods of economic activity. In the second half of 2021, U.S. markets exhibited more stability as a result of continued central bank liquidity and corporate earnings surprises. Additionally, markets
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continued to benefit from vaccine progress against the COVID-19 virus and momentum surrounding economic reopening in the U.S. Specifically, the U.S. economy generated meaningful growth, notching gains of 2.3% and 6.9% in the third and fourth quarters of 2021, respectively.
U.S. markets, however, met increasing headwinds towards the latter half of 2021, including the increased spread of new COVID-19 variants. These new variants, namely Delta and Omicron, decreased vaccine efficacy in reducing transmission of COVID-19, leading to new waves of positive infections. Higher infection rates placed increased weight on supply chain and input price pressures, and many companies faced labor shortages as workers were sidelined with the virus. This was particularly evident during the spike in Omicron at the end of December 2021, with a record-high in daily average positive cases. Yet, the negative sentiment around Omicron quickly reversed as it was determined that cases were generally less severe than prior strains, and updated guidelines from the Centers for Disease Control and Prevention shortened quarantine times to help alleviate the COVID-19 induced labor constraints.
Moving into 2022, markets were facing higher and more persistent inflation. Inflationary pressures had built up in the fourth quarter of 2021 by an imbalance between supply and demand dynamics across multiple industries, exacerbated by COVID-19 labor issues. This became evident with headline U.S. consumer price index (CPI) rising 6.8% year-over-year in
November 2021, the fastest pace since 1982. Prices continued increasing throughout the first half of 2022, led by energy, food, and used cars. This surge in prices resulted in headline inflation rising 9.1% year-over-year in July 2022, the fastest annual increase in over 40 years.
The steady rise in prices forced the U.S. Federal Reserve (Fed) into a more aggressive approach to combating inflation. Throughout the first half of the twelve-month period, the Fed had remained mostly consistent in its messaging around expectations that price pressures would be transitory. However, more persistent CPI prints caused the Fed to move the target federal funds rate into more restrictive territory. This resulted in a 25-basis point (bps) hike in the federal funds rate at the March Federal Open Market Committee meeting, the first hike in more than three years. Three additional rate hikes of 50 bps, 75 bps and 75 bps followed in the succeeding months as inflation readings continued to come in hotter-than-expected, resulting in a federal funds rate of 2.25% by the end of July.
Bond yields shot up from near record lows in reaction to this shift in policy, with the 10-year breaching 3% for the first time since 2018. However, short-term rates increased at a much faster clip, leading to a bearish curve flattening trend that caused periods of brief yield curve inversion. This was reflected in the 5-year and 30-year U.S. Treasury spread inverting for the first time since 2006, and the 2- year and 10-year Treasury spread inverting, albeit briefly, for the first time
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since 2019. These inversions led to increasing concerns of a potential recession in the United States. Key macroeconomic indicators also pointed to a potential recession in the United States, culminating in the U.S. economy contracting for two consecutive quarters.
Despite rising recessionary signs, select bright spots in the U.S. economy supported the idea that a potential recession would be shallow. For example, the U.S. labor market stood strong with the national unemployment rate remaining low, at around 3.6%, its lowest level in decades.
Bond markets rebounded at the end of the period as credit markets exhibited strong returns for the month of July. U.S. high yield bonds gained approximately 6% in July alone, driven by better-than-expected earnings and expectations for a shallower Fed tightening cycle. The 10-year Treasury yield fell sharply at the end of the period as markets started to price in peak inflation rates and a slowing in the pace of Fed rate hikes.
From an environmental, social and governance (ESG) perspective, global ESG bond supply from corporate issuers slowed throughout the period. Approximately $211 billion of ESG bonds were issued during the first half of 2022, approximately 13% below the $242 billion issued in the same period in 2021. We believe this slowdown was likely due to the broader decline in corporate bond issuance as the global financing environment has become stricter, rather than a lack of desire from companies to issue ESG bonds. For example, from a composition standpoint, the percentage of total corporate supply
with an ESG label has increased compared to 2021. Green, sustainability and sustainability-linked bonds (SLBs) all saw strong market growth, whereas growth in social bonds lagged considerably.
The Fund invests in the securities of issuers we believe have, or will have, a positive impact on the climate through an issuer’s operations, products, or services. Our investment process focuses on five key climate-related themes including: clean energy, energy efficiency, low carbon transportation, clean water and resource management, and other environmental areas such as recycling and waste management. Within this universe, the Fund’s underweight allocation to sovereign debt was the most significant contributor to relative performance for the quarter. Specifically, the Fund primarily benefited from underweight exposure to sovereign debt within the Eurozone relative to its benchmark, mainly France, Italy, and the United Kingdom. Issuers from these regions faced challenges during the period from high inflation, surging energy prices and ongoing geopolitical instability caused by the Russian-Ukrainian War, dampening gross domestic product outlooks for each of these countries. Separately, the European Central Bank surprised markets with a much more hawkish stance on inflation than expected, leading to speculation of increased interest rate hikes in the near term.
An underweight allocation relative to the Fund’s benchmark and security selection within investment grade corporate debt contributed positively to relative returns. The underweight allocation, specifically to
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European credit, helped performance as these credits came under pressure from a bleaker economic outlook within the Eurozone. The Fund’s shorter duration profile within U.S. corporate debt was also a positive contributor to relative returns during the period as U.S. Treasury yields continued to rise.
The Fund’s overweight allocation to high yield corporate debt dragged on returns. Both U.S. and European high yield sectors were impacted as global inflation surged and recessionary scenarios became increasingly probable, leading to significant spread widening in lower-rated credit.
An off-benchmark allocation to convertible bonds also detracted from performance. These securities, which were issued primarily by renewable energy companies, significantly underperformed as equity-like securities, particularly growth-oriented investments, sold off near the end of the period.
Lord Abbett International Growth Fund
For the fiscal year ended July 31, 2022, the Fund returned -23.41%, reflecting performance at the net asset value of Class A shares (USD), compared to its benchmark, the MSCI All Country World Index ex USA Growth (Net)3, which returned -20.51% over the same period.
Global equities finished lower for the twelve-month period as bearish sentiment overwhelmed markets. Looking closer, the period was defined by two distinct periods of economic activity. In the second half of 2021, U.S. markets exhibited more stability, supported by continued central bank liquidity and corporate earnings surprises.
Additionally, continued vaccine progress against the COVID-19 virus and momentum surrounding economic reopening in developed markets provided tailwinds. Specifically, the U.S. economy showed signs of meaningful growth, notching gains of 2.3% and 6.9% in the third and fourth quarters of 2021, respectively. Meanwhile, Eurozone gross domestic product (GDP) grew 2.3% and 0.4% and China’s economy grew 0.7% and 1.5% over the same time periods.
U.S. markets, however, were met with increasing headwinds towards the latter half of 2021, including the increased spread of new COVID-19 variants. These new variants, namely Delta and Omicron, decreased vaccine efficacy in reducing transmission of COVID-19, leading to new waves of positive infections. Higher infection rates placed increased weight on supply chain and input price pressures, and many companies faced labor shortages as workers were sidelined with the virus. This was particularly evident during the spike in Omicron at the end of December 2021, with a peak average of over 800,000 daily positive cases. Yet, the negative sentiment around Omicron quickly reversed as it was determined that cases were generally less severe than prior strains, and updated CDC guidelines shortened quarantine times to help alleviate the COVID-19 induced labor constraints.
Moving into 2022, investor risk appetite shifted lower due primarily to a combination of higher and more persistent inflation. Inflationary pressures had built up in the fourth quarter of 2021 by an imbalance between supply and demand dynamics across multiple industries,
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exacerbated by COVID-19 labor issues. This became evident with headline U.S. consumer price index (CPI) rising 6.8% year-on-year in November 2021, the fastest pace since 1982. Prices continued increasing throughout the first half of 2022, led by energy, food, and used cars. This surge in prices culminated in July 2022 as headline inflation came in at 9.1% year-on-year, the fastest annual increase in over 40 years. Meanwhile, inflation data outside the U.S. was also high, with June inflation readings for Canada, the U.K, and Eurozone coming in at 8.1%, 9.4%, and 8.9%, respectively.
There were a number of developments indicating an increasing possibility of an approaching recession for global economies. Namely, the U.S. economy contracted for a second straight quarter in Q2, falling -0.9% quarter-over-quarter. The July flash services Purchasing Managers Index (PMI) fell into contraction territory, and flash manufacturing PMI slumped to the lowest level in two years. The weakness in the U.S. GDP report was widespread, with falls in construction, investment, and government spending. In addition, initial jobless claims came in at an eight-month high in July. There was a flurry of high-profile hiring freezes and layoff announcements. Second quarter earnings also provided some cautious takeaways, including lower retail guidance on general merchandise softness from inflation, tech companies pointing to continued deterioration in digital advertising and consumer electronics, and home builders commenting on a slowdown in housing demand. Commodity prices also softened towards the end of the period, yet it was widely believed to be a function of
growth and demand concerns rather than improvements on the supply chains that continued to be affected by COVID-19 and geopolitical issues. The U.S. labor market remained strong, however, putting into question whether the economy is in fact in a technical recession. National unemployment remained low at around 3.5%, its lowest level in decades, and employers continued to add labor at a healthy yet more moderate rate. Meanwhile, many forecast a recession in the Eurozone later this year, as energy-driven inflation is not expected to ease much due to the Russia-Ukraine conflict, even with central banks starting to raise rates.
The steady rise in prices forced the U.S. Federal Reserve (Fed) into a more aggressive approach to combating inflation. Throughout the first half of the twelve- month period, the Fed had remained mostly consistent in its messaging around expectations that price pressures would be transitory. However, more persistent CPI prints caused the Fed to move the target federal funds rate into more restrictive territory. This resulted in a 25-basis point (bps) hike in the federal funds rate at the March Federal Open Market Committee meeting, the first hike in more than three years. Three additional rate hikes of 50 bps, 75 bps and 75 bps, followed in the succeeding months as inflation readings continued to come in hotter-than-expected, resulting in a federal funds rate of 2.25% by the end of July.
Meanwhile, in an attempt to reduce inflationary pressures, the European Central Bank (ECB) raised its three key interest rates by 50bp during its July 2022
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meeting, ending eight years of negative rates with its first increase since 2011. Inflation in the Euro Area continued to march higher and break record rates, showing no signs of peaking, and approaching double-digits. The central bank also said that further normalization of interest rates will be appropriate in the upcoming meetings.
Although most central banks around the world withdrew crisis-mode stimulus, the Bank of Japan (BoJ) appeared undeterred. The BoJ maintained its key short-term interest rate at -0.1% and that for 10-year bond yields around 0% during its July meeting; but cut its 2022 GDP growth forecast to 2.4% from its April forecast of 2.9%, citing a slowdown in overseas economies and persistent supply chain issues due to the prolonged war in Ukraine. The BoJ reiterated that it would not hesitate to take extra easing measures if needed, a sign that it will remain an outlier among a global wave of central banks tightening policies. The central bank also mentioned that it would continue to buy unlimited amounts of the bonds to defend an implicit 0.25% cap every market day, as it had been doing since April.
Similar to equity market performance in the U.S., non-U.S. equity markets experienced a strong decline during the last twelve months, before rallying in July. Against a weaker global growth backdrop, markets increasingly priced in interest rate cuts from the Fed in 2023. This anticipation of a policy pivot supported risk assets over the month. Global growth stocks benefited most, delivering 11.5% total return in July, recouping some of their heavy year-to-
date losses. Emerging Markets equities meaningfully underperformed their developed markets peers, as a strong U.S. dollar and rising oil prices proved to be major headwinds. Weighing particularly hard on the index was underperformance in Chinese equities, as the country continued to grapple with the Omicron outbreak and a series of rolling lockdown measures enacted in various cities.
During the period, the Fund’s underperformance relative to its benchmark was driven by stock selection, particularly within the Industrials, Information Technology and Consumer Discretionary sectors. Within Industrials, companies that are dependent on intricate supply chains or that are in the logistics space suffered most. In the latter segment, Autostore Holdings, a robotic and software technology company that provides cubic storage automation, detracted most from Fund performance. Although the proliferation of e-commerce and labor wage inflation pressures provide a strong investment case for warehouse automation, sentiment deteriorated around high-growth stocks such as this one. Another detractor in this space was DSV A/S, a global logistics company based in Denmark. We believe this will be another beneficiary of supply chain bottlenecks, but the stock was punished due to its high growth profile. This was a common theme in the Information Technology sector as well. Some of the largest detractors from Fund performance during this twelve-month period were high growth stocks that performed very well last year. Examples are Keyence Corp., a Japanese company that is the global leader in machine vision and
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plays into the portfolio’s industrial automation theme. Another is Adyen NV, a Netherlands-based company that is in the payments business – a space that is rife with competition.
Within the Consumer Discretionary sector, holdings in Alibaba, a Chinese e-commerce company, detracted most from Fund performance, as regulatory pressures from China’s government proved to be a strong headwind. To add to Alibaba’s woes, the failed IPO spinoff of Ant Financial sent shares trading lower. The Fund’s investment in shares of Anta Sports Products, Ltd. also detracted from relative performance, as continued COVID lockdowns in China put a damper on production, and as inflationary pressures worried investors.
Conversely, stock selection within the Energy sector contributed positively to relative performance over the period. Equinor ASA was one of the largest contributors to relative performance as oil prices rallied. WTI Crude futures breached $100 per barrel in March for the first time since September 2014, and prices faced additional upward pressure from lower supply given increased sanctions on Russia. Equinor engages in the exploration and production of petroleum in Norway. Pembina Pipeline Corp., a midstream services company based in Canada also benefited.
Stock selection in Health Care was another bright spot. The largest contributor to relative performance was Novo Nordisk, a Danish health care company with the world’s leading diabetes franchise. The company’s most exciting
recent development has been in its Diabetes & Obesity Care segment, where its revolutionary drug Wegovy has had tremendous results for weight loss in people. On the drug’s injectible pen regiment, the average patient was able to reduce their weight by 17%. This is a prescription drug that has proven to have limited effects. Furthermore, Novo can cross-sell this drug into the same population that relies on its diabetes drugs. Another winner in this sector was AstraZeneca PLC, a U.K.-based pharmaceutical company. AstraZeneca has a big oncology business which has had a few huge wins recently. The company acquired the rights to a class of drugs from a Japanese company, Daiichi Sankyo, one of which is likely to be the second line drug of choice for breast cancer, which is notably a very large market.
Lord Abbett Mid Cap Innovation Growth Fund
For the fiscal year ended July 31, 2022, the Fund returned -29.93%, reflecting performance at the net asset value of Class A shares with all distributions reinvested, compared to its benchmark, the Russell MidCap® Growth Index,4 which returned -21.76% over the same period.
U.S. markets faced many challenges throughout the twelve-month period ending July 31, 2022, including increased volatility stemming from the emergence of the Delta and Omicron variants of COVID-19, supply chain dislocations, labor shortages, inflationary pressures, less accommodative fiscal and monetary policy, and geopolitical tensions related to Russia’s invasion of Ukraine. The Dow Jones Industrial
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Average and S&P 500® Index5 fell -4.14% and -4.64%, respectively, while the tech-heavy Nasdaq Composite lost -14.95%. Value stocks6 significantly outperformed growth stocks7 (-1.65% vs -12.65%), while large cap stocks8 outperformed small cap stocks9 (-6.87% vs -14.29%).
Despite the aforementioned challenges, the period began with a positive tone driven by accommodative monetary policy, continued vaccine progress, upside in corporate earnings surprises, and momentum surrounding the gradual reopening of global economies. However, sentiment began to shift in the latter half of the third quarter of 2021, as markets had to endure the increased spread of the Delta variant of COVID-19. Global markets were also affected by negative headlines overseas, namely China’s regulatory crackdown of the private education and technology sectors, as well as worries about the impacts of a default by Chinese real estate developer Evergrande. These headwinds culminated in a volatile September with all major U.S. indices finishing in negative territory. Specifically, the S&P 500® Index snapped a streak of seven consecutive months of positive returns in September, with the worst month of performance since March 2020.
In December, global markets had to grapple with the emergence of the newly discovered Omicron variant. The World Health Organization designated the newly discovered mutation as a “variant of concern”, particularly due to its increased transmissibility and then-unknown severity. This led to one of the largest selloffs and worst one-day performance of
U.S. risk assets since the start of the pandemic, as fears that the world would succumb to a new wave of infections emerged. Yet, the negative sentiment regarding Omicron quickly reversed as cases proved to be generally less severe than prior strains.
Inflationary concerns began to take focus towards the end of 2021. Headline core consumer price index readings had hovered a little above 5% year-over-year for most of 2021, which led investors to question whether this period of rising prices would be more persistent than originally thought. However, this debate was intensified by November’s headline consumer price index which rose 6.8% year-over-year. This was the fastest pace since 1982, and enhanced inflation fears among investors. The sharp increase in prices was generally due to an imbalance between supply and demand dynamics across multiple industries, led initially by energy, food, and used cars. Although positive COVID-19 cases plummeted throughout the quarter from Omicron’s surge in late 2021, many companies faced labor shortages, with workers sidelined with the virus, exacerbating supply chain issues, and adding to inflationary pressures.
Energy costs were the primary driver of inflation for the period, rising more than 30% year-over-year by the end of June. The energy sector, which had been subject to rising consumer demand as global economies reopened from lockdowns induced by COVID-19, faced added friction with Russia’s military invasion of Ukraine. Investors were concerned about the secondary effects of the war, particularly
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from a commodity and supply chain standpoint. Russia has been a large global exporter of oil and certain minerals, and the various sanctions set on Russia from Western nations led to a surge in commodity prices, with crude oil reaching over $100 per barrel for the first time since 2014.
The surge in prices forced the U.S. Federal Reserve (Fed) into a more aggressive approach to combating inflation. Throughout the first half of the twelve-month period, the Fed remained mostly consistent in its messaging around expectations that price pressures would be transitory, and the peak inflation theme gained traction even as economists suggested that ‘transitory’ might be longer than expected. However, elevated and more persistent inflation pressures caused the Fed to move the target federal funds rate into more restrictive territory. This resulted in a 25-basis point (bps) hike in the federal funds rate at the March Federal Open Market Committee meeting, the first hike in more than three years. Three additional rate hikes of 50 bps, 75 bps and 75 bps, respectively, followed in the succeeding months as inflation prints continued to come in hotter than expected, resulting in a federal funds rate of 2.25% by the end of July. Bond yields shot up in reaction to this shift in policy, exhibiting a bearish curve flattening trend and ultimately leading to periods of brief yield curve inversion, as shorter-term yields moved higher than longer- term yields. This trend was reflected in the 5-year and 30-year U.S. Treasury spread inverting for the first time since 2006, and the 2-year and 10-year Treasury spread
inverting, albeit briefly, for the first time since 2019. However, towards the end of the period, 10-year Treasury yields fell sharply.
Key macroeconomic indicators continued to trend lower throughout the period, with the U.S. reporting negative gross domestic product of -1.6% in the first quarter of 2022 and -0.9% in the second quarter. Worries among investors that a recession was pending continued to grow, and consumer sentiment dropped in the second quarter, reaching levels worse than during the COVID-19 pandemic and nearly as bad as the worst periods during the global financial crisis of 2008.
Despite rising recessionary signs, select bright spots in the U.S. economy throughout the first half of 2022 supported the idea that a potential recession would be shallow. For example, the U.S. labor market remained strong, with the national unemployment rate remaining low, at around 3.6% as of the end of June. This was its lowest level in decades. Employers also continued to add labor at a healthy rate, adding approximately 457,000 jobs per month for the period. Separately, consumer balance sheets remained robust, with cash at record high levels, providing a level of flexibility for individuals to absorb price increases.
Over the course of the period, high innovation small and midcap companies, particularly those aggressively reinvesting in research & development to drive future revenues and earnings, underperformed lower growth, lower valuation names within the Russell MidCap® Growth Index. Given the environment of increased
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volatility and uncertainty, investors largely sought safety over innovation, which had a negative impact on the Fund’s relative returns.
The Fund’s position in DocuSign, Inc., a provider of cloud-based electronic signature solutions, was the largest individual detractor from relative performance over the period. After greatly benefitting from the accelerated adoption of work-from-home solutions throughout the initial onset of COVID-19, DocuSign’s stock price started to turn negatively in July 2021. However, the stock price took a major tumble in December after the company reported fourth quarter guidance that fell short of analyst estimates. Soon after the earnings report, several analysts downgraded the stock.
The Fund’s position in EPAM Systems, Inc., a developer of software products and digital platform engineering services, was also a notable detractor from relative performance over the period. After sustained stock price appreciation since the beginning of the pandemic, EPAM stock was in a period of consolidation throughout the beginning of 2022 as high-growth and richly valued technology stocks were adversely impacted by the rotation away from growth to value. Additionally, EPAM was also negatively impacted by the Russian invasion of Ukraine, as a large percentage of its workforce is based in Ukraine, Russia, and Belarus.
Conversely, the Fund’s position in Lantheus Holdings, Inc., a developer of innovative diagnostic and therapeutic agents, was a primary contributor to
relative performance. Shares of the stock soared following the company’s strong first quarter of 2022 earnings report. Management also raised its 2022 guidance, which was primarily driven by the accelerated adoption of PYLARIFY®, a diagnostic imaging agent for prostate cancer. As of the end of the period, Lantheus Holdings was among the Fund’s largest active overweights relative to the Fund’s benchmark.
Within the semiconductor and semi equipment industry, the Fund’s position in Enphase Energy, Inc., a developer of solar micro-inverters, energy generation monitoring software, and battery energy storage products, was also a prominent contributor to relative performance. Shares of the stock soared after the company reported quarterly earnings results that were above consensus estimates. Management also significantly raised guidance for the remainder of the year, as the company expected strong demand for its solar, storage, EV, and energy management solutions. As of the end of the period, Enphase was the Fund’s largest active overweight relative to the Fund’s benchmark.
Lord Abbett Short Duration High Yield Fund
For the fiscal year ended July 31, 2022, the Fund returned -4.04%, reflecting performance at the net asset value of Class A shares with all distributions reinvested, compared to its benchmark, the ICE BofA High Yield U.S. Corporate Cash Pay BB-B (1-5yrs) USD Index10, which returned -3.57% over the same period.
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Credit risk assets finished lower for the 12-month period as bearish sentiment overwhelmed markets. Looking closer, the period was defined by two distinct periods of economic activity. In the second half of 2021, U.S. markets exhibited more stability, propped up by continued central bank liquidity and corporate earnings surprises. Additionally, markets continued to benefit from vaccine progress against the COVID-19 virus and momentum surrounding economic reopening in the U.S. Specifically, the U.S. economy showed signs of meaningful growth, notching gains of 2.3% and 6.9% in the third and fourth quarters of 2021, respectively.
U.S. markets, however, were met with increasing headwinds towards the latter half of 2021, including the increased spread of new COVID-19 variants. These new variants, namely Delta and Omicron, decreased vaccine efficacy in reducing transmission of COVID-19, leading to new waves of positive infections. Higher infection rates placed increased weight on supply chain and input price pressures, and many companies faced labor shortages as workers were sidelined with the virus. This was particularly evident during the spike in Omicron at the end of December 2021 with a record-high in daily average positive cases. Yet, the negative sentiment around Omicron quickly reversed as it was determined that cases were generally less severe than prior strains, and updated guidelines from the Centers for Disease Control and Prevention shortened quarantine times to help alleviate the COVID-19 induced labor constraints.
Moving into 2022, investor sentiment turned negative due primarily to a combination of higher and more persistent inflation. Inflationary pressures had built up in the fourth quarter of 2021 by an imbalance between supply and demand dynamics across multiple industries, exacerbated by COVID-19 labor issues. This became evident with headline U.S. consumer price index (CPI) rising 6.8% year-over-year in November 2021, the fastest pace since 1982. Prices continued increasing throughout the first half of 2022, led by energy, food, and used cars. This surge in prices culminated in July 2022 as headline inflation came in at 9.1% year- over-year, the fastest annual increase in over 40 years.
The steady rise in prices forced the U.S. Federal Reserve (Fed) into a more aggressive approach to combating inflation. Throughout the first half of the twelve- month period, the Fed had remained mostly consistent in its messaging around expectations that price pressures would be transitory. However, more persistent CPI prints caused the Fed to move the target federal funds rate into more restrictive territory. This resulted in a 25-basis point (bps) hike in the federal funds rate at the March Federal Open Market Committee meeting, the first hike in more than three years. Three additional rate hikes of 50 bps, 75 bps, and 75 bps followed in the succeeding months as inflation readings continued to come in hotter-than-expected, resulting in a federal funds rate of 2.25% by the end of July.
Bond yields shot up from near record lows in reaction to this shift in policy, with
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the 10-year breaching 3% for the first time since 2018. However, short-term rates increased at a much faster clip, leading to a bearish curve flattening trend that caused periods of brief yield curve inversion. This was reflected in the 5-year and 30-year U.S. Treasury spread inverting for the first time since 2006, and the 2- year and 10-year Treasury spread inverting, albeit briefly, for the first time since 2019. These inversions caused heightened concerns regarding a potential recession in the United States.
Key macroeconomic indicators continued to point to a potential recession in the United States throughout the period, resulting in the U.S. economy contracting for two consecutive quarters. Consumer sentiment also dropped in the second quarter of 2022, reaching levels worse than during the COVID-19 pandemic and nearly as bad as the worst periods during the great financial crisis of 2007-2008.
Despite rising recessionary signs, select bright spots in the U.S. economy throughout the first half of 2022 supported the idea that a potential recession would be shallow. For example, the U.S. labor market stood strong with the national unemployment rate remaining low, at around 3.6%, which was its lowest level in decades. Performance rebounded at the end of the period as credit markets exhibited strong returns for the month of July. U.S. high yield bonds gained approximately 6% in July alone, as better-than-expected earnings and expectations for a shallower Fed tightening cycle were tailwinds. Interest rates showed signs of rallying, as the 10-year Treasury yield fell
sharply as markets started to price in peak inflation rates and a slowing in the pace of Fed rate hikes.
With respect to performance, the increased concerns surrounding growth in the U.S. economy led to the underperformance from some of the Fund’s cyclical exposures. Namely, security selection within the Services and Leisure sectors detracted from relative performance. Relative to its benchmark, the Fund was overweight certain issuers in these sectors, which faced increased headwinds due to inflationary pressures, mainly from higher labor costs causing downward pressure on profit margins. High inflation also dampened expectations on U.S. consumer spending, leading many consumer-driven businesses to revise future revenue outlooks lower.
From a credit standpoint, security selection within BB-rated credits detracted from the Fund’s relative performance. Despite holding an underweight allocation to the sector, relative to the benchmark, the Fund was overweight select BB credits that faced increased selling pressure as their more liquid profiles led them to be attractive sources of cash for investors moving out of the high yield asset class. These issuers were primarily within the Automotive, Consumer Goods, and Financial Services sectors.
The Fund’s overweight allocation (relative to its benchmark) and security selection within the Energy sector were positive contributors to performance during the period. The Fund benefited from select holdings in the Exploration & Production (E&P) subsector, which received support
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from the continued rally in oil prices. Specifically, WTI Crude futures breached $100 per barrel for the first time since 2014, and prices faced favorable technical support from lower supply given the increased sanctions on Russian oil exports.
Security selection within the Basic Industry sector also contributed positively to relative returns. The Fund was underweight companies within the Chemicals subsector that faced idiosyncratic credit issues. The Fund also
1 The ICE BofA Green Bond Index (USD Hedged) tracks securities issued for qualified green purposes that promote climate change mitigation or adaption. Qualifying bonds must have a clearly designated use of proceeds that is solely applied toward projects or activities that promote climate change mitigation or adaptation or other environmental sustainability purposes as outlined by the ICMA Green Bond Principles.
2 The Bloomberg Global Aggregate Bond Index (USD Hedged) provides a broad-based measure of the global investment-grade fixed-income markets. The three major components of this index are the U.S. Aggregate, the Pan-European Aggregate, and the Asian-Pacific Aggregate indexes. The index also includes eurodollar and euro-yen corporate bonds, Canadian government securities, and U.S. dollar investment-grade 144A securities. Indexes are unmanaged, do not reflect the deduction of fees or expenses, and an investor cannot invest directly in an index.
3 The MSCI All Country World Index ex USA Growth (Net) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. Indexes are unmanaged, do not reflect the deduction of fees or expenses, and are not available for direct investment.
4 The Russell MidCap® Growth Index measures the performance of those Russell MidCap® Index companies with higher price-to-book ratios and higher forecasted growth values.
5 The S&P 500® Index is widely regarded as the standard for measuring large cap U.S. stock market performance.
benefitted from its opportunistic allocation to bank loans, which have outperformed high yield corporate bonds since the start of 2022, as the asset class has been generally more insulated from interest rate volatility due to its floating rate nature.
The Funds’ portfolios are actively managed and, therefore, holdings and the weightings of a particular issuer or particular sector as a percentage of portfolio assets are subject to change. Sectors may include many industries.
6 As represented by the Russell 3000® Value Index as of 7/31/2022.
7 As represented by the Russell 3000® Growth Index as of 7/31/2022.
8 As represented by the Russell 1000® Index as of 7/31/2022.
9 As represented by the Russell 2000® Index as of 7/31/2022.
10 The ICE BofA High Yield U.S. Corporate Cash Pay BB-B (1-5yrs) USD Index consists of BB-B rated U.S. dollar-denominated corporate bonds publicly issued in the U.S. domestic market with maturities of 1 to 5 years. Indexes are unmanaged, do not reflect the deduction of fees or expenses, and an investor cannot invest directly in an index.
Unless otherwise specified, indexes reflect total return, with all dividends reinvested. Indexes are unmanaged, do not reflect the deduction of fees or expenses, and are not available for direct investment.
Important Performance and Other Information
Performance data quoted in the following pages reflect past performance and are no guarantee of future results. Current performance may be higher or lower than the performance quoted. The investment return and principal value of an investment in the Funds will fluctuate so that shares, on any given day or when redeemed, may be worth more or less than their original cost. You can obtain performance data current to the most recent month end by calling Lord Abbett at 888-522-2388 or referring to www.lordabbett.com.
13
Except where noted, comparative Fund performance does not account for the deduction of sales charges and would be different if sales charges were included. Each Fund offers classes of shares with distinct pricing options. For a full description of the differences in pricing alternatives, please see each Fund’s prospectus.
During certain periods shown, expense waivers and reimbursements were in place. Without such expense waivers and reimbursements, each Fund’s returns would have been lower.
The annual commentary above discusses the views of the Funds’ management and various portfolio holdings of the Funds as of July 31, 2022. These views and portfolio holdings may have changed after this date. Information provided in the commentary is not
a recommendation to buy or sell securities. Because the Funds’ portfolios are actively managed and may change significantly, the Funds may no longer own the securities described above or may have otherwise changed their positions in the securities. For more recent information about the Funds’ portfolio holdings, please visit www.lordabbett.com.
A Note about Risk: See Notes to Financial Statements for a discussion of investment risks. For a more detailed discussion of the risks associated with each Fund, please see each Fund’s prospectus.
Mutual funds are not insured by the FDIC, are not deposits or other obligations of, or guaranteed by, banks, and are subject to investment risks including possible loss of principal amount invested.
14
Climate Focused Bond Fund
Investment Comparison
Below is a comparison of a $10,000 investment in Class A shares with the same investment in the ICE BofA Green Bond Index (USD Hedged) and Bloomberg Global Aggregate Bond Index (USD Hedged), assuming reinvestment of all dividends and distributions. The Fund has adopted the ICE BofA Green Bond Index (USD Hedged), a more broad-based index, as its primary benchmark index. The performance of other classes will be greater than or less than the performance shown in the graph below due to different sales loads and expenses applicable to such classes. The graph and performance table below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. During certain periods, expenses of the Fund have been waived or reimbursed by Lord Abbett; without such waiver or reimbursements of expense, the Fund’s returns would have been lower. Past performance is no guarantee of future results.
Average Annual Total Returns at Maximum Applicable
Sales Charge for the Periods Ended July 31, 2022
| | | 1 Year | | Life of Class | |
| Class A3 | | -10.79% | | -2.46% | |
| Class C4 | | -10.18% | | -2.15% | |
| Class F5 | | -8.53% | | -1.23% | |
| Class F35 | | -8.47% | | -1.16% | |
| Class I5 | | -8.53% | | -1.23% | |
| Class R35 | | -8.98% | | -1.73% | |
| Class R45 | | -8.76% | | -1.48% | |
| Class R55 | | -8.53% | | -1.23% | |
| Class R65 | | -8.47% | | -1.16% | |
1 Reflects the deduction of the maximum initial sales charge of 2.25%.
2 Performance for the unmanaged index does not reflect any fees or expenses. The performance of the index is not necessarily representative of the Fund’s performance. Performance of the index began on May 28, 2020.
3 Class A shares commenced operations on May 20, 2020 and performance for the Class began on May 28, 2020. Total return, which is the percent change in net asset value, after deduction of the maximum initial sales charge of 2.25% applicable to Class A shares, with all dividends and
distributions reinvested for the period shown ended July 31, 2022, is calculated using the SEC required uniform method to compute such return.
4 Class C shares commenced operations on May 20, 2020 and performance for the Class began on May 28, 2020. The 1% CDSC for Class C shares normally applies before the first anniversary of the purchase date. Performance for other periods is at net asset value.
5 Commenced operations on May 20, 2020 and performance for the Classes began on May 28, 2020. Performance is at net asset value.
15
International Growth Fund
Investment Comparison
Below is a comparison of a $10,000 investment in Class A shares with the same investment in the MSCI All Country World Index ex USA Growth (Net), assuming reinvestment of all dividends and distributions. The performance of other classes will be greater than or less than the performance shown in the graph below due to different sales loads and expenses applicable to such classes. The graph and performance table below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. During certain periods, expenses of the Fund have been waived or reimbursed by Lord Abbett; without such waiver or reimbursements of expense, the Fund’s returns would have been lower. Past performance is no guarantee of future results.
Average Annual Total Returns at Maximum Applicable
Sales Charge for the Periods Ended July 31, 2022
| | | 1 Year | | Life of Class | |
| Class A3 | | -27.81% | | -25.65% | |
| Class C4 | | -24.72% | | -22.11% | |
| Class F5 | | -23.27% | | -21.37% | |
| Class F35 | | -23.13% | | -21.25% | |
| Class I5 | | -23.27% | | -21.37% | |
| Class R35 | | -23.61% | | -21.74% | |
| Class R45 | | -23.41% | | -21.56% | |
| Class R55 | | -23.27% | | -21.37% | |
| Class R65 | | -23.13% | | -21.25% | |
1 Reflects the deduction of the maximum initial sales charge of 5.75%.
2 Performance for the unmanaged index does not reflect any fees or expenses. The performance of the index is not necessarily representative of the Fund’s performance. Performance of the index began on June 24, 2021.
3 Class A shares commenced operations on June 18, 2021 and performance for the Class began on June 24, 2021. Total return, which is the percent change in net asset value, after deduction of the maximum initial sales charge of 5.75% applicable to Class A shares, with all dividends and distributions reinvested for the period shown ended July 31,
2022, is calculated using the SEC required uniform method to compute such return.
4 Class C shares commenced operations on June 18, 2021 and performance for the Class began on June 24, 2021. The 1% CDSC for Class C shares normally applies before the first anniversary of the purchase date.
5 Commenced operations on June 18, 2021 and performance for the Classes began on June 24, 2021. Performance is at net asset value.
16
Mid Cap Innovation Growth Fund
Investment Comparison
Below is a comparison of a $10,000 investment in Class A shares with the same investment in the Russell Midcap® Growth Index, assuming reinvestment of all dividends and distributions. The performance of other classes will be greater than or less than the performance shown in the graph below due to different sales loads and expenses applicable to such classes. The graph and performance table below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. During certain periods, expenses of the Fund have been waived or reimbursed by Lord Abbett; without such waiver or reimbursements of expense, the Fund’s returns would have been lower. Past performance is no guarantee of future results.
Average Annual Total Returns at Maximum Applicable
Sales Charge for the Periods Ended July 31, 2022
| | | 1 Year | | Life of Class | |
| Class A3 | | -33.94% | | -19.39% | |
| Class C4 | | -31.13% | | -16.91% | |
| Class F5 | | -29.75% | | -16.07% | |
| Class F35 | | -29.68% | | -16.03% | |
| Class I5 | | -29.75% | | -16.07% | |
| Class R35 | | -30.09% | | -16.49% | |
| Class R45 | | -29.93% | | -16.31% | |
| Class R55 | | -29.75% | | -16.07% | |
| Class R65 | | -29.68% | | -16.03% | |
1 Reflects the deduction of the maximum initial sales charge of 5.75%.
2 Performance for the unmanaged index does not reflect any fees or expenses. The performance of the index is not necessarily representative of the Fund’s performance. Performance of the index began on December 29, 2020.
3 Class A shares commenced operations on December 28, 2020 and performance for the Class began on December 29, 2020. Total return, which is the percent change in net asset value, after deduction of the maximum initial sales charge of 5.75% applicable to Class A shares, with all dividends and distributions reinvested for the period shown ended July 31,
2022, is calculated using the SEC required uniform method to compute such return.
4 Class C shares commenced operations on December 28, 2020 and performance for the Class began on December 29, 2020. The 1% CDSC for Class C shares normally applies before the first anniversary of the purchase date.
5 Commenced operations on December 28, 2020 and performance for the Classes began on December 29, 2020. Performance is at net asset value.
17
Short Duration High Yield Fund
Investment Comparison
Below is a comparison of a $10,000 investment in Class A shares with the same investment in the ICE BofA HY U.S. Corp Cash Pay BB-B 1-5 Yrs Index, assuming reinvestment of all dividends and distributions. The performance of other classes will be greater than or less than the performance shown in the graph below due to different sales loads and expenses applicable to such classes. The graph and performance table below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. During certain periods, expenses of the Fund have been waived or reimbursed by Lord Abbett; without such waiver or reimbursements of expense, the Fund’s returns would have been lower. Past performance is no guarantee of future results.
Average Annual Total Returns at Maximum Applicable
Sales Charge for the Periods Ended July 31, 2022
| | | 1 Year | | Life of Class | |
| Class A3 | | -6.17% | | 4.83% | |
| Class C4 | | -5.60% | | 5.10% | |
| Class F5 | | -3.85% | | 6.10% | |
| Class F35 | | -3.79% | | 6.17% | |
| Class I5 | | -3.94% | | 6.06% | |
| Class R35 | | -4.31% | | 5.58% | |
| Class R45 | | -4.08% | | 5.84% | |
| Class R55 | | -3.83% | | 6.11% | |
| Class R65 | | -3.80% | | 6.16% | |
1 Reflects the deduction of the maximum initial sales charge of 2.25%.
2 Performance for the unmanaged index does not reflect any fees or expenses. The performance of the index is not necessarily representative of the Fund’s performance. Performance of the index began on April 30, 2020.
3 Class A shares commenced operations on April 22, 2020 and performance for the Class began on April 30, 2020. Total return, which is the percent change in net asset value, after deduction of the maximum initial sales charge of 2.25% applicable to Class A shares, with all dividends and
distributions reinvested for the period shown ended July 31, 2022, is calculated using the SEC required uniform method to compute such return.
4 Class C shares commenced operations on April 22, 2020 and performance for the Class began on April 30, 2020. The 1% CDSC for Class C shares normally applies before the first anniversary of the purchase date. Performance for other periods is at net asset value.
5 Commenced operations on April 22, 2020 and performance for the Classes began on April 30, 2020. Performance is at net asset value.
18
Expense Example
As a shareholder of a 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 (February 1, 2022 through July 31, 2022 for Climate Focused Bond Fund, International Growth Fund, Mid Cap Innovation Growth Fund and Short Duration High Yield Fund. March 2, 2022, commencement of operations for Emerging Markets Equity Fund through July 31, 2022).
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 2/1/22 – 7/31/22 for Climate Focused Bond Fund, International Growth Fund, Mid Cap Innovation Growth Fund and Short Duration High Yield Fund. 3/2/22, commencement of operations for Emerging Markets Equity Fund – 7/31/22” 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.
19
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† | |
| | | | 2/1/22 | | 7/31/22 | | 2/1/22 -
7/31/22 | |
| Class A | | | | | | | | | | |
| Actual | | | $1,000.00 | | $ | 939.20 | | | $3.13 | |
| Hypothetical (5% Return Before Expenses) | | | $1,000.00 | | $ | 1,021.57 | | | $3.26 | |
| Class C | | | | | | | | | | |
| Actual | | | $1,000.00 | | $ | 936.40 | | | $6.19 | |
| Hypothetical (5% Return Before Expenses) | | | $1,000.00 | | $ | 1,018.40 | | | $6.46 | |
| Class F | | | | | | | | | | |
| Actual | | | $1,000.00 | | $ | 940.10 | | | $2.16 | |
| Hypothetical (5% Return Before Expenses) | | | $1,000.00 | | $ | 1,022.56 | | | $2.26 | |
| Class F3 | | | | | | | | | | |
| Actual | | | $1,000.00 | | $ | 940.40 | | | $1.88 | |
| Hypothetical (5% Return Before Expenses) | | | $1,000.00 | | $ | 1,022.86 | | | $1.96 | |
| Class I | | | | | | | | | | |
| Actual | | | $1,000.00 | | $ | 940.10 | | | $2.16 | |
| Hypothetical (5% Return Before Expenses) | | | $1,000.00 | | $ | 1,022.56 | | | $2.26 | |
| Class R3 | | | | | | | | | | |
| Actual | | | $1,000.00 | | $ | 937.80 | | | $4.56 | |
| Hypothetical (5% Return Before Expenses) | | | $1,000.00 | | $ | 1,020.08 | | | $4.76 | |
| Class R4 | | | | | | | | | | |
| Actual | | | $1,000.00 | | $ | 939.00 | | | $3.37 | |
| Hypothetical (5% Return Before Expenses) | | | $1,000.00 | | $ | 1,021.32 | | | $3.51 | |
| Class R5 | | | | | | | | | | |
| Actual | | | $1,000.00 | | $ | 940.10 | | | $2.16 | |
| Hypothetical (5% Return Before Expenses) | | | $1,000.00 | | $ | 1,022.56 | | | $2.26 | |
| Class R6 | | | | | | | | | | |
| Actual | | | $1,000.00 | | $ | 940.40 | | | $1.88 | |
| Hypothetical (5% Return Before Expenses) | | | $1,000.00 | | $ | 1,022.86 | | | $1.96 | |
| † | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.65% for Class A, 1.29% for Class C, 0.45% for Class F, 0.39% for Class F3, 0.45% for Class I, 0.95% for Class R3, 0.70% for Class R4, 0.45% for Class R5 and 0.39% for Class R6) multiplied by the average account value over the period, multiplied by 181/365 (to reflect one-half year period). |
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Portfolio Holdings Presented by Sector
July 31, 2022
| Sector* | | %** |
| Asset Backed Securities | | | 2.10 | % |
| Basic Materials | | | 1.56 | % |
| Communication Services | | | 1.78 | % |
| Consumer, Cyclical | | | 3.46 | % |
| Consumer, Non-cyclical | | | 3.90 | % |
| Energy | | | 6.62 | % |
| Financials | | | 18.88 | % |
| Foreign Government | | | 24.63 | % |
| Industrials | | | 10.00 | % |
| Mortgage-Backed Securities | | | 1.67 | % |
| Municipal | | | 2.91 | % |
| Technology | | | 1.31 | % |
| U.S. Government | | | 2.36 | % |
| Utilities | | | 15.12 | % |
| Repurchase Agreements | | | 3.70 | % |
| Total | | | 100.00 | % |
| * | | A sector may comprise several industries. |
| ** | | Represents percent of total investments. |
21
Emerging Markets Equity 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† | |
| | | | 3/2/22 | | 7/31/22 | | 3/2/22 –
7/31/22 | |
| Class A | | | | | | | | | | |
| Actual | | | $1,000.00 | | $ | 904.70 | | | $4.92 | |
| Hypothetical (5% Return Before Expenses) | | | $1,000.00 | | $ | 1,015.66 | | | $5.20 | |
| Class C | | | | | | | | | | |
| Actual | | | $1,000.00 | | $ | 902.00 | | | $7.88 | |
| Hypothetical (5% Return Before Expenses) | | | $1,000.00 | | $ | 1,012.53 | | | $8.34 | |
| Class F | | | | | | | | | | |
| Actual | | | $1,000.00 | | $ | 905.30 | | | $3.93 | |
| Hypothetical (5% Return Before Expenses) | | | $1,000.00 | | $ | 1,016.70 | | | $4.16 | |
| Class F3 | | | | | | | | | | |
| Actual | | | $1,000.00 | | $ | 906.00 | | | $3.61 | |
| Hypothetical (5% Return Before Expenses) | | | $1,000.00 | | $ | 1,017.03 | | | $3.82 | |
| Class I | | | | | | | | | | |
| Actual | | | $1,000.00 | | $ | 905.30 | | | $3.93 | |
| Hypothetical (5% Return Before Expenses) | | | $1,000.00 | | $ | 1,016.70 | | | $4.16 | |
| Class R6 | | | | | | | | | | |
| Actual | | | $1,000.00 | | $ | 906.00 | | | $3.61 | |
| Hypothetical (5% Return Before Expenses) | | | $1,000.00 | | $ | 1,017.03 | | | $3.82 | |
| † | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (1.24% for Class A, 1.99% for Class C, 0.99% for Class F, 0.91% for Class F3, 0.99% for Class I and 0.91% for Class R6) multiplied by the average account value over the period, multiplied by 152/365 (to reflect the period March 2, 2022, commencement of operations, to July 31, 2022). |
22
Portfolio Holdings Presented by Sector
July 31, 2022
| Sector* | | %** |
| Communication Services | | | 9.15 | % |
| Consumer Discretionary | | | 16.34 | % |
| Consumer Staples | | | 8.33 | % |
| Energy | | | 5.84 | % |
| Financials | | | 22.62 | % |
| Health Care | | | 3.76 | % |
| Industrials | | | 5.62 | % |
| Information Technology | | | 18.31 | % |
| Materials | | | 5.59 | % |
| Real Estate | | | 2.03 | % |
| Utilities | | | 2.41 | % |
| Total | | | 100.00 | % |
| * | | A sector may comprise several industries. |
| ** | | Represents percent of total investments. |
23
International 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† | |
| | | | 2/1/22 | | 7/31/22 | | 2/1/22 -
7/31/22 | |
| Class A | | | | | | | | | | |
| Actual | | | $1,000.00 | | $ | 847.70 | | | $4.86 | |
| Hypothetical (5% Return Before Expenses) | | | $1,000.00 | | $ | 1,019.54 | | | $5.31 | |
| Class C | | | | | | | | | | |
| Actual | | | $1,000.00 | | $ | 845.50 | | | $8.28 | |
| Hypothetical (5% Return Before Expenses) | | | $1,000.00 | | $ | 1,015.82 | | | $9.05 | |
| Class F | | | | | | | | | | |
| Actual | | | $1,000.00 | | $ | 848.70 | | | $3.71 | |
| Hypothetical (5% Return Before Expenses) | | | $1,000.00 | | $ | 1,020.78 | | | $4.06 | |
| Class F3 | | | | | | | | | | |
| Actual | | | $1,000.00 | | $ | 849.50 | | | $3.35 | |
| Hypothetical (5% Return Before Expenses) | | | $1,000.00 | | $ | 1,021.17 | | | $3.66 | |
| Class I | | | | | | | | | | |
| Actual | | | $1,000.00 | | $ | 848.70 | | | $3.71 | |
| Hypothetical (5% Return Before Expenses) | | | $1,000.00 | | $ | 1,020.78 | | | $4.06 | |
| Class R3 | | | | | | | | | | |
| Actual | | | $1,000.00 | | $ | 846.80 | | | $6.00 | |
| Hypothetical (5% Return Before Expenses) | | | $1,000.00 | | $ | 1,018.30 | | | $6.56 | |
| Class R4 | | | | | | | | | | |
| Actual | | | $1,000.00 | | $ | 847.70 | | | $4.86 | |
| Hypothetical (5% Return Before Expenses) | | | $1,000.00 | | $ | 1,019.54 | | | $5.31 | |
| Class R5 | | | | | | | | | | |
| Actual | | | $1,000.00 | | $ | 848.70 | | | $3.71 | |
| Hypothetical (5% Return Before Expenses) | | | $1,000.00 | | $ | 1,020.78 | | | $4.06 | |
| Class R6 | | | | | | | | | | |
| Actual | | | $1,000.00 | | $ | 849.50 | | | $3.35 | |
| Hypothetical (5% Return Before Expenses) | | | $1,000.00 | | $ | 1,021.17 | | | $3.66 | |
| † | 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 181/365 (to reflect one-half year period). |
24
Portfolio Holdings Presented by Sector
July 31, 2022
| Sector* | | %** |
| Communication Services | | | 3.85 | % |
| Consumer Discretionary | | | 16.36 | % |
| Consumer Staples | | | 13.01 | % |
| Energy | | | 3.10 | % |
| Financials | | | 8.85 | % |
| Health Care | | | 14.84 | % |
| Industrials | | | 13.78 | % |
| Information Technology | | | 19.03 | % |
| Materials | | | 5.88 | % |
| Utilities | | | 1.30 | % |
| Total | | | 100.00 | % |
| * | | A sector may comprise several industries. |
| ** | | Represents percent of total investments. |
25
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† | |
| | | | 2/1/22 | | 7/31/22 | | 2/1/22 -
7/31/22 | |
| Class A | | | | | | | | | | |
| Actual | | | $1,000.00 | | $ | 849.70 | | | $4.86 | |
| Hypothetical (5% Return Before Expenses) | | | $1,000.00 | | $ | 1,019.54 | | | $5.31 | |
| Class C | | | | | | | | | | |
| Actual | | | $1,000.00 | | $ | 846.30 | | | $8.29 | |
| Hypothetical (5% Return Before Expenses) | | | $1,000.00 | | $ | 1,015.82 | | | $9.05 | |
| Class F | | | | | | | | | | |
| Actual | | | $1,000.00 | | $ | 850.90 | | | $3.72 | |
| Hypothetical (5% Return Before Expenses) | | | $1,000.00 | | $ | 1,020.78 | | | $4.06 | |
| Class F3 | | | | | | | | | | |
| Actual | | | $1,000.00 | | $ | 851.00 | | | $3.35 | |
| Hypothetical (5% Return Before Expenses) | | | $1,000.00 | | $ | 1,021.17 | | | $3.66 | |
| Class I | | | | | | | | | | |
| Actual | | | $1,000.00 | | $ | 850.90 | | | $3.72 | |
| Hypothetical (5% Return Before Expenses) | | | $1,000.00 | | $ | 1,020.78 | | | $4.06 | |
| Class R3 | | | | | | | | | | |
| Actual | | | $1,000.00 | | $ | 848.60 | | | $6.00 | |
| Hypothetical (5% Return Before Expenses) | | | $1,000.00 | | $ | 1,018.30 | | | $6.56 | |
| Class R4 | | | | | | | | | | |
| Actual | | | $1,000.00 | | $ | 849.70 | | | $4.86 | |
| Hypothetical (5% Return Before Expenses) | | | $1,000.00 | | $ | 1,019.54 | | | $5.31 | |
| Class R5 | | | | | | | | | | |
| Actual | | | $1,000.00 | | $ | 850.90 | | | $3.72 | |
| Hypothetical (5% Return Before Expenses) | | | $1,000.00 | | $ | 1,020.78 | | | $4.06 | |
| Class R6 | | | | | | | | | | |
| Actual | | | $1,000.00 | | $ | 851.00 | | | $3.35 | |
| Hypothetical (5% Return Before Expenses) | | | $1,000.00 | | $ | 1,021.17 | | | $3.66 | |
| † | 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 181/365 (to reflect one-half year period). |
26
Portfolio Holdings Presented by Sector
July 31, 2022
| Sector* | | %** |
| Communication Services | | | 3.34 | % |
| Consumer Discretionary | | | 12.21 | % |
| Consumer Staples | | | 3.86 | % |
| Energy | | | 2.28 | % |
| Financials | | | 2.56 | % |
| Health Care | | | 22.47 | % |
| Industrials | | | 6.25 | % |
| Information Technology | | | 42.96 | % |
| Materials | | | 1.21 | % |
| Real Estate | | | 1.41 | % |
| Repurchase Agreements | | | 1.45 | % |
| Total | | | 100.00 | % |
| * | | A sector may comprise several industries. |
| ** | | Represents percent of total investments. |
27
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† | |
| | | | 2/1/22 | | 7/31/22 | | 2/1/22 -
7/31/22 | |
| Class A | | | | | | | | | | |
| Actual | | | $1,000.00 | | $ | 958.80 | | | $3.45 | |
| Hypothetical (5% Return Before Expenses) | | | $1,000.00 | | $ | 1,021.27 | | | $3.56 | |
| Class C | | | | | | | | | | |
| Actual | | | $1,000.00 | | $ | 955.60 | | | $6.89 | |
| Hypothetical (5% Return Before Expenses) | | | $1,000.00 | | $ | 1,017.75 | | | $7.10 | |
| Class F | | | | | | | | | | |
| Actual | | | $1,000.00 | | $ | 959.80 | | | $2.48 | |
| Hypothetical (5% Return Before Expenses) | | | $1,000.00 | | $ | 1,022.27 | | | $2.56 | |
| Class F3 | | | | | | | | | | |
| Actual | | | $1,000.00 | | $ | 959.90 | | | $2.28 | |
| Hypothetical (5% Return Before Expenses) | | | $1,000.00 | | $ | 1,022.46 | | | $2.36 | |
| Class I | | | | | | | | | | |
| Actual | | | $1,000.00 | | $ | 958.80 | | | $2.48 | |
| Hypothetical (5% Return Before Expenses) | | | $1,000.00 | | $ | 1,022.27 | | | $2.56 | |
| Class R3 | | | | | | | | | | |
| Actual | | | $1,000.00 | | $ | 957.50 | | | $4.90 | |
| Hypothetical (5% Return Before Expenses) | | | $1,000.00 | | $ | 1,019.79 | | | $5.06 | |
| Class R4 | | | | | | | | | | |
| Actual | | | $1,000.00 | | $ | 958.60 | | | $3.69 | |
| Hypothetical (5% Return Before Expenses) | | | $1,000.00 | | $ | 1,021.03 | | | $3.81 | |
| Class R5 | | | | | | | | | | |
| Actual | | | $1,000.00 | | $ | 959.80 | | | $2.48 | |
| Hypothetical (5% Return Before Expenses) | | | $1,000.00 | | $ | 1,022.27 | | | $2.56 | |
| Class R6 | | | | | | | | | | |
| Actual | | | $1,000.00 | | $ | 959.00 | | | $2.28 | |
| Hypothetical (5% Return Before Expenses) | | | $1,000.00 | | $ | 1,022.46 | | | $2.36 | |
| † | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.71% for Class A, 1.42% for Class C, 0.51% for Class F, 0.47% for Class F3, 0.51% for Class I, 1.01% for Class R3, 0.76% for Class R4, 0.51% for Class R5 and 0.47% for Class R6) multiplied by the average account value over the period, multiplied by 181/365 (to reflect one-half year period). |
28
Portfolio Holdings Presented by Sector
July 31, 2022
| Sector* | | %** |
| Asset Backed Securities | | | 3.31 | % |
| Basic Materials | | | 3.56 | % |
| Communication Services | | | 10.02 | % |
| Consumer, Cyclical | | | 21.52 | % |
| Consumer, Non-cyclical | | | 14.78 | % |
| Diversified | | | 0.31 | % |
| Energy | | | 22.16 | % |
| Financials | | | 9.49 | % |
| Industrials | | | 8.87 | % |
| Mortgage-Backed Securities | | | 0.68 | % |
| Technology | | | 1.55 | % |
| Utilities | | | 3.05 | % |
| Repurchase Agreements | | | 0.70 | % |
| Total | | | 100.00 | % |
| * | | A sector may comprise several industries. |
| ** | | Represents percent of total investments. |
29
Schedule of Investments
CLIMATE FOCUSED BOND FUND July 31, 2022
| | | Interest | | | Maturity | | Principal | | | Fair | |
| Investments | | Rate | | | Date | | Amount | | | Value | |
| LONG-TERM INVESTMENTS 94.62% | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| ASSET-BACKED SECURITIES 2.06% | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| Automobiles 1.05% | | | | | | | | | | | | | | |
| Tesla Auto Lease Trust 2019-A C† | | | 2.68% | | | 1/20/2023 | | $ | 125,000 | | | $ | 124,757 | |
| Tesla Auto Lease Trust 2021-A B† | | | 1.02% | | | 3/20/2025 | | | 100,000 | | | | 95,394 | |
| Total | | | | | | | | | | | | | 220,151 | |
| | | | | | | | | | | | | | | |
| Other 1.01% | | | | | | | | | | | | | | |
| GoodLeap Sustainable Home Solutions Trust 2022-1GS A† | | | 2.70% | | | 1/20/2049 | | | 141,706 | | | | 127,453 | |
| Sunrun Demeter Issuer 2021-2A A† | | | 2.27% | | | 1/30/2057 | | | 98,039 | | | | 84,706 | |
| Total | | | | | | | | | | | | | 212,159 | |
| Total Asset-Backed Securities (cost $465,860) | | | | | | | | | | | | | 432,310 | |
| | | | | | | | | | | | | | | |
| CONVERTIBLE BONDS 1.01% | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| Auto Manufacturers 0.20% | | | | | | | | | | | | | | |
| Lucid Group, Inc.† | | | 1.25% | | | 12/15/2026 | | | 12,000 | | | | 7,653 | |
| NIO, Inc. (China)(a) | | | 0.50% | | | 2/1/2027 | | | 8,000 | | | | 6,152 | |
| Tesla, Inc. | | | 2.00% | | | 5/15/2024 | | | 2,000 | | | | 28,692 | |
| Total | | | | | | | | | | | | | 42,497 | |
| | | | | | | | | | | | | | | |
| Energy-Alternate Sources 0.74% | | | | | | | | | | | | | | |
| Enphase Energy, Inc. | | | Zero Coupon | | | 3/1/2026 | | | 37,000 | | | | 44,511 | |
| NextEra Energy Partners LP† | | | Zero Coupon | | | 6/15/2024 | | | 14,000 | | | | 14,175 | |
| Plug Power, Inc. | | | 3.75% | | | 6/1/2025 | | | 3,000 | | | | 12,844 | |
| SolarEdge Technologies, Inc. (Israel)(a) | | | Zero Coupon | | | 9/15/2025 | | | 30,000 | | | | 44,145 | |
| SunPower Corp. | | | 4.00% | | | 1/15/2023 | | | 16,000 | | | | 17,256 | |
| Sunrun, Inc. | | | Zero Coupon | | | 2/1/2026 | | | 30,000 | | | | 22,650 | |
| Total | | | | | | | | | | | | | 155,581 | |
| | | | | | | | | | | | | | | |
| REITS 0.07% | | | | | | | | | | | | | | |
| HAT Holdings I LLC/HAT Holdings II LLC† | | | Zero Coupon | | | 5/1/2025 | | | 15,000 | | | | 13,995 | |
| Total Convertible Bonds (cost $222,596) | | | | | | | | | | | | | 212,073 | |
| | | | | | | | | | | | | | | |
| CORPORATE BONDS 65.29% | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| Agriculture 0.50% | | | | | | | | | | | | | | |
| Darling Ingredients, Inc.† | | | 5.25% | | | 4/15/2027 | | | 67,000 | | | | 67,196 | |
| Darling Ingredients, Inc.† | | | 6.00% | | | 6/15/2030 | | | 36,000 | | | | 37,280 | |
| Total | | | | | | | | | | | | | 104,476 | |
| | |
| 30 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CLIMATE FOCUSED BOND FUND July 31, 2022
| | | Interest | | | Maturity | | Principal | | | Fair | |
| Investments | | Rate | | | Date | | Amount | | | Value | |
| Apparel 0.46% | | | | | | | | | | | | | | |
| Chanel Ceres plc(b) | | | 0.50% | | | 7/31/2026 | | EUR | 100,000 | | | $ | 96,015 | |
| | | | | | | | | | | | | | | |
| Auto Manufacturers 1.00% | | | | | | | | | | | | | | |
| Ford Motor Co. | | | 3.25% | | | 2/12/2032 | | $ | 35,000 | | | | 29,277 | |
| Hyundai Capital Services, Inc. (South Korea)(a) | | | 1.25% | | | 2/8/2026 | | | 200,000 | | | | 180,859 | |
| Total | | | | | | | | | | | | | 210,136 | |
| | | | | | | | | | | | | | | |
| Auto Parts & Equipment 0.74% | | | | | | | | | | | | | | |
| Aptiv plc (Ireland)(a) | | | 4.35% | | | 3/15/2029 | | | 35,000 | | | | 33,817 | |
| BorgWarner, Inc. | | | 3.375% | | | 3/15/2025 | | | 65,000 | | | | 63,943 | |
| Dana, Inc. | | | 4.25% | | | 9/1/2030 | | | 68,000 | | | | 56,707 | |
| Total | | | | | | | | | | | | | 154,467 | |
| | | | | | | | | | | | | | | |
| Banks 9.01% | | | | | | | | | | | | | | |
| ABN AMRO Bank NV (Netherlands)†(a) | | | 2.47%
(1 Yr. Treasury
CMT + 1.10% | )# | | 12/13/2029 | | | 200,000 | | | | 174,312 | |
| AIB Group plc(b) | | | 2.875%
(5 Yr. EUSA + 3.30% | )# | | 5/30/2031 | | EUR | 100,000 | | | | 96,763 | |
| Bank of America Corp. | | | 2.456%
(3 Mo. LIBOR + .87% | )# | | 10/22/2025 | | $ | 100,000 | | | | 96,146 | |
| Bank of Ireland Group plc(b) | | | 0.375%
(1 Yr. EUSA + .77% | )# | | 5/10/2027 | | EUR | 100,000 | | | | 92,598 | |
| Bank of Nova Scotia (The) (Canada)(a) | | | 0.65% | | | 7/31/2024 | | $ | 125,000 | | | | 117,914 | |
| Bank of Nova Scotia (The) (Canada)(a) | | | 2.375% | | | 1/18/2023 | | | 80,000 | | | | 79,806 | |
| BNP Paribas SA (France)†(a) | | | 1.675%
(SOFR + .91% | )# | | 6/30/2027 | | | 200,000 | | | | 178,822 | |
| CaixaBank SA(b) | | | 1.25%
(5 Yr. EUSA + 1.63% | )# | | 6/18/2031 | | EUR | 100,000 | | | | 91,587 | |
| Citigroup, Inc. | | | 1.678%
(SOFR + 1.67% | )# | | 5/15/2024 | | $ | 125,000 | | | | 123,048 | |
| Danske Bank A/S(b) | | | 0.75%
(1 Yr. EUAMDB + .88% | )# | | 6/9/2029 | | EUR | 100,000 | | | | 89,566 | |
| Industrial & Commercial Bank of China Ltd. (Luxembourg)(a) | | | 2.875% | | | 10/12/2022 | | $ | 200,000 | | | | 199,906 | |
| JPMorgan Chase & Co. | | | 0.768%
(SOFR + .49% | )# | | 8/9/2025 | | | 111,000 | | | | 103,692 | |
| Kreditanstalt fuer Wiederaufbau (Germany)(a) | | | 0.75% | | | 9/30/2030 | | | 150,000 | | | | 127,738 | |
| Kreditanstalt fuer Wiederaufbau (Germany)(a) | | | 2.00% | �� | | 10/4/2022 | | | 112,000 | | | | 111,894 | |
| Landesbank Baden-Wuerttemberg(b) | | | 1.50% | | | 2/3/2025 | | GBP | 100,000 | | | | 115,802 | |
| Royal Bank of Canada (Canada)(a) | | | 1.15% | | | 7/14/2026 | | $ | 100,000 | | | | 90,686 | |
| Total | | | | | | | | | | | | | 1,890,280 | |
| | | |
| | See Notes to Financial Statements. | 31 |
Schedule of Investments (continued)
CLIMATE FOCUSED BOND FUND July 31, 2022
| | | Interest | | | Maturity | | Principal | | | Fair | |
| Investments | | Rate | | | Date | | Amount | | | Value | |
| Biotechnology 0.25% | | | | | | | | | | | | | | |
| Amgen, Inc. | | | 3.00% | | | 2/22/2029 | | $ | 56,000 | | | $ | 53,529 | |
| | | | | | | | | | | | | | | |
| Building Materials 0.73% | | | | | | | | | | | | | | |
| Eco Material Technologies, Inc.† | | | 7.875% | | | 1/31/2027 | | | 45,000 | | | | 40,087 | |
| Johnson Controls International plc/Tyco Fire & Security Finance SCA | | | 1.75% | | | 9/15/2030 | | | 72,000 | | | | 60,788 | |
| Owens Corning, Inc. | | | 3.95% | | | 8/15/2029 | | | 55,000 | | | | 52,492 | |
| Total | | | | | | | | | | | | | 153,367 | |
| | | | | | | | | | | | | | | |
| Chemicals 0.72% | | | | | | | | | | | | | | |
| Sociedad Quimica y Minera de Chile SA (Chile)†(a) | | | 3.50% | | | 9/10/2051 | | | 200,000 | | | | 150,742 | |
| | | | | | | | | | | | | | | |
| Commercial Services 1.12% | | | | | | | | | | | | | | |
| Global Payments, Inc. | | | 3.20% | | | 8/15/2029 | | | 50,000 | | | | 44,525 | |
| Global Payments, Inc. | | | 3.75% | | | 6/1/2023 | | | 30,000 | | | | 30,000 | |
| Massachusetts Institute of Technology | | | 3.959% | | | 7/1/2038 | | | 75,000 | | | | 76,917 | |
| Techem Verwaltungsgesellschaft 674 mbH(b) | | | 6.00% | | | 7/30/2026 | | EUR | 87,920 | | | | 83,070 | |
| Total | | | | | | | | | | | | | 234,512 | |
| | | | | | | | | | | | | | | |
| Computers 0.40% | | | | | | | | | | | | | | |
| Apple, Inc. | | | 3.00% | | | 6/20/2027 | | $ | 85,000 | | | | 84,990 | |
| | | | | | | | | | | | | | | |
| Distribution/Wholesale 0.43% | | | | | | | | | | | | | | |
| Rexel SA(b) | | | 2.125% | | | 6/15/2028 | | EUR | 100,000 | | | | 89,391 | |
| | | | | | | | | | | | | | | |
| Diversified Financial Services 1.87% | | | | | | | | | | | | | | |
| CDP Financial, Inc. (Canada)(a) | | | 1.00% | | | 5/26/2026 | | $ | 250,000 | | | | 230,846 | |
| LeasePlan Corp. NV(b) | | | 0.25% | | | 2/23/2026 | | EUR | 100,000 | | | | 94,093 | |
| Visa, Inc. | | | 0.75% | | | 8/15/2027 | | $ | 75,000 | | | | 66,863 | |
| Total | | | | | | | | | | | | | 391,802 | |
| | | | | | | | | | | | | | | |
| Electric 10.96% | | | | | | | | | | | | | | |
| AB Ignitis Grupe(b) | | | 2.00% | | | 5/21/2030 | | EUR | 100,000 | | | | 90,361 | |
| Audax Renovables SA(b) | | | 4.20% | | | 12/18/2027 | | EUR | 100,000 | | | | 77,165 | |
| Clearway Energy Operating LLC† | | | 3.75% | | | 2/15/2031 | | $ | 70,000 | | | | 61,459 | |
| Drax Finco plc(b) | | | 2.625% | | | 11/1/2025 | | EUR | 100,000 | | | | 95,996 | |
| EDP - Energias de Portugal SA(b) | | | 1.875%
(5 Yr. EUSA + 2.08% | )# | | 3/14/2082 | | EUR | 100,000 | | | | 78,139 | |
| Electricite de France SA (France)†(a) | | | 3.625% | | | 10/13/2025 | | $ | 40,000 | | | | 39,898 | |
| Enel Finance International NV (Netherlands)†(a) | | | 2.25% | | | 7/12/2031 | | | 200,000 | | | | 158,179 | |
| Energia Group NI FinanceCo plc/Energia Group ROI Holdings DAC(b) | | | 4.00% | | | 9/15/2025 | | EUR | 100,000 | | | | 93,109 | |
| | |
| 32 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CLIMATE FOCUSED BOND FUND July 31, 2022
| | | Interest | | | Maturity | | Principal | | | Fair | |
| Investments | | Rate | | | Date | | Amount | | | Value | |
| Electric (continued) | | | | | | | | | | | | | | |
| Engie SA(b) | | | 0.375% | | | 6/21/2027 | | EUR | 100,000 | | | $ | 95,494 | |
| Korea East-West Power Co. Ltd. (South Korea)†(a) | | | 3.60% | | | 5/6/2025 | | $ | 200,000 | | | | 199,363 | |
| Leeward Renewable Energy Operations LLC† | | | 4.25% | | | 7/1/2029 | | | 102,000 | | | | 84,911 | |
| Liberty Utilities Finance GP 1† | | | 2.05% | | | 9/15/2030 | | | 75,000 | | | | 63,917 | |
| MidAmerican Energy Co. | | | 3.95% | | | 8/1/2047 | | | 65,000 | | | | 60,294 | |
| NextEra Energy Capital Holdings, Inc. | | | 1.90% | | | 6/15/2028 | | | 86,000 | | | | 77,130 | |
| NextEra Energy Operating Partners LP† | | | 4.50% | | | 9/15/2027 | | | 55,000 | | | | 54,450 | |
| Northern States Power Co/MN | | | 2.60% | | | 6/1/2051 | | | 50,000 | | | | 38,378 | |
| Orsted A/S(b) | | | 1.50% | | | 11/26/2029 | | EUR | 100,000 | | | | 99,916 | |
| Pattern Energy Operations LP/Pattern Energy Operations, Inc.† | | | 4.50% | | | 8/15/2028 | | $ | 64,000 | | | | 59,473 | |
| Ren Finance BV(b) | | | 0.50% | | | 4/16/2029 | | EUR | 100,000 | | | | 88,400 | |
| Scottish Hydro Electric Transmission plc(b) | | | 1.50% | | | 3/24/2028 | | GBP | 200,000 | | | | 221,778 | |
| Solar Star Funding LLC† | | | 5.375% | | | 6/30/2035 | | $ | 81,796 | | | | 92,032 | |
| Southwestern Public Service Co. | | | 3.75% | | | 6/15/2049 | | | 50,000 | | | | 43,712 | |
| Statnett SF(b) | | | 0.518% | | | 6/30/2023 | | SEK | 2,000,000 | | | | 193,624 | |
| TenneT Holding BV(b) | | | 0.125% | | | 11/30/2032 | | EUR | 100,000 | | | | 82,867 | |
| Tucson Electric Power Co. | | | 1.50% | | | 8/1/2030 | | $ | 60,000 | | | | 49,745 | |
| Total | | | | | | | | | | | | | 2,299,790 | |
| | | | | | | | | | | | | | | |
| Electrical Components & Equipment 0.50% | | | | | | | | | | | | | | |
| Schneider Electric SE(b) | | | 1.841% | | | 10/13/2025 | | EUR | 100,000 | | | | 104,961 | |
| | | | | | | | | | | | | | | |
| Electronics 0.52% | | | | | | | | | | | | | | |
| Amphenol Corp. | | | 2.80% | | | 2/15/2030 | | $ | 60,000 | | | | 54,480 | |
| Hubbell, Inc. | | | 3.50% | | | 2/15/2028 | | | 55,000 | | | | 53,920 | |
| Total | | | | | | | | | | | | | 108,400 | |
| | | | | | | | | | | | | | | |
| Energy-Alternate Sources 5.29% | | | | | | | | | | | | | | |
| Adani Green Energy UP Ltd./Prayatna Developers Pvt Ltd./Parampujya Solar Energ (India)†(a) | | | 6.25% | | | 12/10/2024 | | | 200,000 | | | | 195,880 | |
| Cullinan Holdco Scsp†(b) | | | 4.625% | | | 10/15/2026 | | EUR | 100,000 | | | | 85,575 | |
| EEW Energy from Waste GmbH(b) | | | 0.361% | | | 6/30/2026 | | EUR | 100,000 | | | | 93,753 | |
| Enviva Partners LP/Enviva Partners Finance Corp.† | | | 6.50% | | | 1/15/2026 | | $ | 70,000 | | | | 69,501 | |
| ERG SpA(b) | | | 1.875% | | | 4/11/2025 | | EUR | 100,000 | | | | 102,632 | |
| Scatec ASA†(b) | | | 2.12%
(3 Mo. EURIBOR + 2.50% | )# | | 8/19/2025 | | EUR | 100,000 | | | | 93,517 | |
| Sunnova Energy Corp.† | | | 5.875% | | | 9/1/2026 | | $ | 71,000 | | | | 66,827 | |
| Sweihan PV Power Co. PJSC (United Arab Emirates)†(a) | | | 3.625% | | | 1/31/2049 | | | 198,642 | | | | 167,879 | |
| TerraForm Power Operating LLC† | | | 4.75% | | | 1/15/2030 | | | 80,000 | | | | 74,472 | |
| Topaz Solar Farms LLC† | | | 5.75% | | | 9/30/2039 | | | 69,067 | | | | 67,218 | |
| Vestas Wind Systems Finance BV(b) | | | 2.00% | | | 6/15/2034 | | EUR | 100,000 | | | | 94,141 | |
| Total | | | | | | | | | | | | | 1,111,395 | |
| | | |
| | See Notes to Financial Statements. | 33 |
Schedule of Investments (continued)
CLIMATE FOCUSED BOND FUND July 31, 2022
| | | Interest | | | Maturity | | Principal | | | Fair | |
| Investments | | Rate | | | Date | | Amount | | | Value | |
| Engineering & Construction 0.23% | | | | | | | | | | | | | | |
| IEA Energy Services LLC† | | | 6.625% | | | 8/15/2029 | | $ | 49,000 | | | $ | 48,564 | |
| | | | | | | | | | | | | | | |
| Environmental Control 1.93% | | | | | | | | | | | | | | |
| Derichebourg SA(b) | | | 2.25% | | | 7/15/2028 | | EUR | 100,000 | | | | 89,889 | |
| FCC Servicios Medio Ambiente Holding SAU(b) | | | 1.661% | | | 12/4/2026 | | EUR | 100,000 | | | | 97,953 | |
| Madison IAQ LLC† | | | 5.875% | | | 6/30/2029 | | $ | 58,000 | | | | 45,426 | |
| Paprec Holding SA†(b) | | | 3.50% | | | 7/1/2028 | | EUR | 100,000 | | | | 85,289 | |
| Seche Environnement SA(b) | | | 2.25% | | | 11/15/2028 | | EUR | 100,000 | | | | 87,242 | |
| Total | | | | | | | | | | | | | 405,799 | |
| | | | | | | | | | | | | | | |
| Food 0.41% | | | | | | | | | | | | | | |
| Kerry Group Financial Services Unltd Co.(b) | | | 0.875% | | | 12/1/2031 | | EUR | 100,000 | | | | 85,454 | |
| | | | | | | | | | | | | | | |
| Forest Products & Paper 0.19% | | | | | | | | | | | | | | |
| Suzano Austria GmbH (Brazil)(a) | | | 3.125% | | | 1/15/2032 | | $ | 49,000 | | | | 39,887 | |
| | | | | | | | | | | | | | | |
| Health Care-Services 0.32% | | | | | | | | | | | | | | |
| Kaiser Foundation Hospitals | | | 3.15% | | | 5/1/2027 | | | 67,000 | | | | 66,492 | |
| | | | | | | | | | | | | | | |
| Insurance 0.47% | | | | | | | | | | | | | | |
| PartnerRe Ireland Finance DAC(b) | | | 1.25% | | | 9/15/2026 | | EUR | 100,000 | | | | 99,311 | |
| | | | | | | | | | | | | | | |
| Investment Companies 0.42% | | | | | | | | | | | | | | |
| CBRE Global Investors Open-Ended Fund SCA SICAV-SIF Pan European Core Fund(b) | | | 0.90% | | | 10/12/2029 | | EUR | 100,000 | | | | 87,577 | |
| | | | | | | | | | | | | | | |
| Machinery-Diversified 0.66% | | | | | | | | | | | | | | |
| Mueller Water Products, Inc.† | | | 4.00% | | | 6/15/2029 | | $ | 66,000 | | | | 60,244 | |
| nVent Finance Sarl (Luxembourg)(a) | | | 2.75% | | | 11/15/2031 | | | 42,000 | | | | 34,641 | |
| Xylem Inc/NY | | | 2.25% | | | 1/30/2031 | | | 50,000 | | | | 43,042 | |
| Total | | | | | | | | | | | | | 137,927 | |
| | | | | | | | | | | | | | | |
| Metal Fabricate-Hardware 0.42% | | | | | | | | | | | | | | |
| Advanced Drainage Systems, Inc.† | | | 5.00% | | | 9/30/2027 | | | 75,000 | | | | 73,624 | |
| Advanced Drainage Systems, Inc.† | | | 6.375% | | | 6/15/2030 | | | 15,000 | | | | 15,135 | |
| Total | | | | | | | | | | | | | 88,759 | |
| | | | | | | | | | | | | | | |
| Mining 0.41% | | | | | | | | | | | | | | |
| Novelis Sheet Ingot GmbH†(b) | | | 3.375% | | | 4/15/2029 | | EUR | 100,000 | | | | 85,965 | |
| | | | | | | | | | | | | | | |
| Miscellaneous Manufacturing 1.39% | | | | | | | | | | | | | | |
| Alstom SA(b) | | | 0.25% | | | 10/14/2026 | | EUR | 100,000 | | | | 95,399 | |
| Pentair Finance Sarl (Luxembourg)(a) | | | 3.15% | | | 9/15/2022 | | $ | 110,000 | | | | 109,766 | |
| Wabtec Transportation Netherlands BV(b) | | | 1.25% | | | 12/3/2027 | | EUR | 100,000 | | | | 87,294 | |
| Total | | | | | | | | | | | | | 292,459 | |
| | |
| 34 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CLIMATE FOCUSED BOND FUND July 31, 2022
| | | Interest | | | Maturity | | Principal | | | Fair | |
| Investments | | Rate | | | Date | | Amount | | | Value | |
| Multi-National 9.02% | | | | | | | | | | | | | | |
| Asian Development Bank(b) | | | 2.45% | | | 1/17/2024 | | AUD | 105,000 | | | $ | 72,678 | |
| Asian Development Bank (Philippines)(a) | | | 3.125% | | | 9/26/2028 | | $ | 135,000 | | | | 137,069 | |
| Asian Infrastructure Investment Bank (The)(b) | | | 0.20% | | | 12/15/2025 | | GBP | 30,000 | | | | 34,096 | |
| Asian Infrastructure Investment Bank (The) (China)(a) | | | 0.50% | | | 5/28/2025 | | $ | 150,000 | | | | 139,524 | |
| European Bank for Reconstruction & Development (United Kingdom)(a) | | | 1.625% | | | 9/27/2024 | | | 230,000 | | | | 223,522 | |
| European Investment Bank (Luxembourg)(a) | | | 2.125% | | | 4/13/2026 | | | 200,000 | | | | 194,688 | |
| European Investment Bank (Luxembourg)(a) | | | 2.375% | | | 5/24/2027 | | | 75,000 | | | | 73,692 | |
| Inter-American Development Bank | | | 2.379%
(SOFR + .28% | )# | | 4/12/2027 | | | 200,000 | | | | 200,073 | |
| Inter-American Investment Corp. | | | 2.625% | | | 4/22/2025 | | | 75,000 | | | | 74,176 | |
| International Bank for Reconstruction & Development | | | 1.702%
(SOFR Index + .29% | )# | | 11/22/2028 | | | 220,000 | | | | 217,883 | |
| International Bank for Reconstruction & Development | | | 1.977%
(SOFR Index + .18% | )# | | 6/15/2026 | | | 100,000 | | | | 99,269 | |
| International Finance Corp. | | | 2.00% | | | 10/24/2022 | | | 97,000 | | | | 96,847 | |
| International Finance Corp. | | | 2.086%
(SOFR Index + .09% | )# | | 6/30/2023 | | | 50,000 | | | | 49,970 | |
| International Finance Corp. | | | 2.119% (SOFR + .09% | )# | | 4/3/2024 | | | 230,000 | | | | 229,840 | |
| Nordic Investment Bank(b) | | | 0.125% | | | 6/10/2024 | | EUR | 50,000 | | | | 50,337 | |
| Total | | | | | | | | | | | | | 1,893,664 | |
| | | | | | | | | | | | | | | |
| Municipal 1.13% | | | | | | | | | | | | | | |
| Transport for London(b) | | | 2.125% | | | 4/24/2025 | | GBP | 200,000 | | | | 236,762 | |
| | | | | | | | | | | | | | | |
| Packaging & Containers 0.45% | | | | | | | | | | | | | | |
| OI European Group BV(b) | | | 2.875% | | | 2/15/2025 | | EUR | 100,000 | | | | 95,381 | |
| | | | | | | | | | | | | | | |
| Pharmaceuticals 0.62% | | | | | | | | | | | | | | |
| Eli Lilly & Co.(b) | | | 0.50% | | | 9/14/2033 | | EUR | 100,000 | | | | 87,233 | |
| Pfizer, Inc. | | | 2.625% | | | 4/1/2030 | | $ | 45,000 | | | | 42,592 | |
| Total | | | | | | | | | | | | | 129,825 | |
| | | | | | | | | | | | | | | |
| Real Estate 0.94% | | | | | | | | | | | | | | |
| Blackstone Property Partners Europe Holdings Sarl(b) | | | 1.625% | | | 4/20/2030 | | EUR | 100,000 | | | | 84,459 | |
| Canary Wharf Group Investment Holdings plc†(b) | | | 2.625% | | | 4/23/2025 | | GBP | 100,000 | | | | 113,677 | |
| Total | | | | | | | | | | | | | 198,136 | |
| | | | | | | | | | | | | | | |
| REITS 2.16% | | | | | | | | | | | | | | |
| Alexandria Real Estate Equities, Inc. | | | 2.00% | | | 5/18/2032 | | $ | 22,000 | | | | 18,092 | |
| Digital Dutch Finco BV(b) | | | 1.00% | | | 1/15/2032 | | EUR | 100,000 | | | | 82,060 | |
| Equinix, Inc.(b) | | | 1.00% | | | 3/15/2033 | | EUR | 100,000 | | | | 82,950 | |
| Equinix, Inc. | | | 1.55% | | | 3/15/2028 | | $ | 50,000 | | | | 43,577 | |
| | | | | | | | | | | | | | | |
| | See Notes to Financial Statements. | 35 |
Schedule of Investments (continued)
CLIMATE FOCUSED BOND FUND July 31, 2022
| | | Interest | | | Maturity | | Principal | | | Fair | |
| Investments | | Rate | | | Date | | Amount | | | Value | |
| REITS (continued) | | | | | | | | | | | | | | |
| Goodman U.S. Finance Five LLC† | | | 4.625% | | | 5/4/2032 | | $ | 28,000 | | | $ | 28,233 | |
| HAT Holdings I LLC/HAT Holdings II LLC† | | | 3.75% | | | 9/15/2030 | | | 96,000 | | | | 73,641 | |
| Kilroy Realty LP | | | 4.75% | | | 12/15/2028 | | | 45,000 | | | | 44,824 | |
| Piedmont Operating Partnership LP | | | 3.15% | | | 8/15/2030 | | | 40,000 | | | | 34,013 | |
| Weyerhaeuser Co. | | | 6.875% | | | 12/15/2033 | | | 40,000 | | | | 46,474 | |
| Total | | | | | | | | | | | | | 453,864 | |
| | | | | | | | | | | | | | | |
| Retail 0.52% | | | | | | | | | | | | | | |
| Walmart, Inc. | | | 1.80% | | | 9/22/2031 | | | 122,000 | | | | 108,335 | |
| | | | | | | | | | | | | | | |
| Semiconductors 0.69% | | | | | | | | | | | | | | |
| Analog Devices, Inc. | | | 2.95% | | | 4/1/2025 | | | 63,000 | | | | 62,408 | |
| Micron Technology, Inc. | | | 2.703% | | | 4/15/2032 | | | 34,000 | | | | 28,263 | |
| NXP BV/NXP Funding LLC/NXP USA, Inc. (Netherlands)(a) | | | 3.40% | | | 5/1/2030 | | | 60,000 | | | | 54,788 | |
| Total | | | | | | | | | | | | | 145,459 | |
| | | | | | | | | | | | | | | |
| Software 0.18% | | | | | | | | | | | | | | |
| Fiserv, Inc. | | | 3.20% | | | 7/1/2026 | | | 40,000 | | | | 38,968 | |
| | | | | | | | | | | | | | | |
| Sovereign 1.43% | | | | | | | | | | | | | | |
| European Union(b) | | | 1.25% | | | 2/4/2043 | | EUR | 330,000 | | | | 300,134 | |
| | | | | | | | | | | | | | | |
| Telecommunications 1.75% | | | | | | | | | | | | | | |
| NTT Finance Corp. (Japan)†(a) | | | 4.372% | | | 7/27/2027 | | $ | 200,000 | | | | 206,164 | |
| Verizon Communications, Inc. | | | 3.875% | | | 2/8/2029 | | | 55,000 | | | | 54,891 | |
| Vmed O2 UK Financing I plc†(b) | | | 4.50% | | | 7/15/2031 | | GBP | 100,000 | | | | 105,742 | |
| Total | | | | | | | | | | | | | 366,797 | |
| | | | | | | | | | | | | | | |
| Transportation 2.26% | | | | | | | | | | | | | | |
| Central Japan Railway Co. (Japan)(a) | | | 2.20% | | | 10/2/2024 | | $ | 200,000 | | | | 193,934 | |
| Ferrovie dello Stato Italiane SpA(b) | | | 0.375% | | | 3/25/2028 | | EUR | 100,000 | | | | 89,314 | |
| Getlink SE(b) | | | 3.50% | | | 10/30/2025 | | EUR | 100,000 | | | | 102,013 | |
| Hamburger Hochbahn AG(b) | | | 0.125% | | | 2/24/2031 | | EUR | 100,000 | | | | 89,408 | |
| Total | | | | | | | | | | | | | 474,669 | |
| | | | | | | | | | | | | | | |
| Water 2.79% | | | | | | | | | | | | | | |
| Aegea Finance Sarl (Luxembourg)†(a) | | | 6.75% | | | 5/20/2029 | | $ | 200,000 | | | | 194,330 | |
| American Water Capital Corp. | | | 2.80% | | | 5/1/2030 | | | 75,000 | | | | 69,498 | |
| Bazalgette Finance plc(b) | | | 2.75% | | | 3/10/2034 | | GBP | 100,000 | | | | 112,528 | |
| Canal de Isabel II Gestion SA(b) | | | 1.68% | | | 2/26/2025 | | EUR | 100,000 | | | | 101,808 | |
| Essential Utilities, Inc. | | | 2.40% | | | 5/1/2031 | | $ | 60,000 | | | | 51,607 | |
| United Utilities plc (United Kingdom)(a) | | | 6.875% | | | 8/15/2028 | | | 50,000 | | | | 55,306 | |
| Total | | | | | | | | | | | | | 585,077 | |
| Total Corporate Bonds (cost $15,501,435) | | | | | | | | | | | | | 13,703,518 | |
| | |
| 36 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CLIMATE FOCUSED BOND FUND July 31, 2022
| | | Interest | | | Maturity | | Principal | | | Fair | |
| Investments | | Rate | | | Date | | Amount | | | Value | |
| FLOATING RATE LOANS(c) 1.84% | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| Building Materials 0.08% | | | | | | | | | | | | | | |
| Rexnord LLC, Inc. 2021 Term Loan B | | | 4.622%
(1 Mo. LIBOR + 2.25% | ) | | 10/4/2028 | | $ | 16,955 | | | $ | 16,780 | |
| | | | | | | | | | | | | | | |
| Commercial Services 0.27% | | | | | | | | | | | | | | |
| Element Materials Technology Group US Holdings, Inc. 2022 USD Delayed Draw Term Loan B(d) | | | – | (e) | | 6/24/2029 | | | 14,385 | | | | 13,870 | |
| Element Materials Technology Group US Holdings, Inc. 2022 USD Term Loan | | | – | (e) | | 6/22/2029 | | | 31,167 | | | | 30,050 | |
| Thermostat Purchaser III, Inc. Term Loan | | | 6.075%
(1 Mo. LIBOR + 4.50% | ) | | 8/31/2028 | | | 13,897 | | | | 12,976 | |
| Total | | | | | | | | | | | | | 56,896 | |
| | | | | | | | | | | | | | | |
| Electric 0.14% | | | | | | | | | | | | | | |
| ExGen Renewables IV, LLC 2020 Term Loan | | | 4.08%
(3 Mo. LIBOR + 2.50% | ) | | 12/15/2027 | | | 29,519 | | | | 28,990 | |
| | | | | | | | | | | | | | | |
| Energy: Alternate Sources 0.46% | | | | | | | | | | | | | | |
| Array Technologies, Inc. Term Loan B | | | 4.755%
(1 Mo. LIBOR + 3.25% | ) | | 10/14/2027 | | | 33,163 | | | | 31,284 | |
| Esdec Solar Group B.V. Term Loan B (Netherlands)(a) | | | 7.862%
(3 Mo. LIBOR + 5.00% | ) | | 8/30/2028 | | | 39,874 | | | | 37,482 | |
| TerraForm Power Operating, LLC 2022 Term Loan B | | | 2.921%
(3 Mo. SOFR + 2.75% | ) | | 5/21/2029 | | | 27,990 | | | | 27,623 | |
| Total | | | | | | | | | | | | | 96,389 | |
| | | | | | | | | | | | | | | |
| Engineering & Construction 0.09% | | | | | | | | | | | | | | |
| Legence Holdings LLC 2021 Delayed | | | 3.75% - 6.12% | | | | | | | | | | | |
| Draw Term Loan(d) | | | (1 Mo. LIBOR + 3.75%
(3 Mo. LIBOR + 3.75% | )
) | | 12/16/2027 | | | 3,192 | | | | 3,034 | |
| Legence Holdings LLC 2021 Term Loan | | | 6.122%
(1 Mo. LIBOR + 3.75% | ) | | 12/16/2027 | | | 16,348 | | | | 15,541 | |
| Total | | | | | | | | | | | | | 18,575 | |
| | | | | | | | | | | | | | | |
| Environmental Control 0.51% | | | | | | | | | | | | | | |
| Recycle and Resource Operations Pty Limited Term Loan (Australia)(a) | | | 5.75%
(3 Mo. LIBOR + 3.50% | ) | | 7/14/2028 | | | 29,775 | | | | 28,212 | |
| Denali Water Solutions Term Loan B | | | 6.50%
(1 Mo. LIBOR + 4.25% | ) | | 3/25/2028 | | | 61,475 | | | | 55,327 | |
| EWT Holdings III Corp. 2021 Term Loan | | | 4.875%
(1 Mo. LIBOR + 2.50% | ) | | 4/1/2028 | | | 24,563 | | | | 24,072 | |
| Total | | | | | | | | | | | | | 107,611 | |
| | | |
| | See Notes to Financial Statements. | 37 |
Schedule of Investments (continued)
CLIMATE FOCUSED BOND FUND July 31, 2022
| | | Interest | | | Maturity | | Principal | | | Fair | |
| Investments | | Rate | | | Date | | Amount | | | Value | |
| Home Furnishings 0.17% | | | | | | | | | | | | | | |
| AI Aqua Merger Sub, Inc. 2021 1st Lien Term Loan B | | | 6.037%
(1 Mo. LIBOR + 3.75% | ) | | 7/31/2028 | | $ | 37,500 | | | $ | 35,503 | |
| | | | | | | | | | | | | | | |
| Machinery: Construction & Mining 0.12% | | | | | | | | | | | | | | |
| Generac Power Systems, Inc. 2019 Term Loan B | | | 4.157%
(3 Mo. SOFR +1.50% | ) | | 12/13/2026 | | | 25,542 | | | | 25,510 | |
| Total Floating Rate Loans (cost $403,535) | | | | | | | | | | | | | 386,254 | |
| | | | | | | | | | | | | | | |
| FOREIGN GOVERNMENT OBLIGATIONS 17.61% | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| Canada 0.85% | | | | | | | | | | | | | | |
| Province of Ontario Canada(b) | | | 1.55% | | | 11/1/2029 | | CAD | 89,000 | | | | 62,073 | |
| Province of Quebec Canada(b) | | | 1.85% | | | 2/13/2027 | | CAD | 158,000 | | | | 117,279 | |
| Total | | | | | | | | | | | | | 179,352 | |
| | | | | | | | | | | | | | | |
| France 1.57% | | | | | | | | | | | | | | |
| Action Logement Services(b) | | | 0.50% | | | 10/30/2034 | | EUR | 200,000 | | | | 174,883 | |
| French Republic Government Bond OAT†(b) | | | 0.50% | | | 6/25/2044 | | EUR | 95,000 | | | | 73,071 | |
| Societe Du Grand Paris EPIC(b) | | | 0.30% | | | 9/2/2036 | | EUR | 100,000 | | | | 82,368 | |
| Total | | | | | | | | | | | | | 330,322 | |
| | | | | | | | | | | | | | | |
| Germany 3.71% | | | | | | | | | | | | | | |
| Bundesrepublik Deutschland Bundesanleihe(b) | | | Zero Coupon | | | 8/15/2030 | | EUR | 394,000 | | | | 382,340 | |
| Bundesrepublik Deutschland Bundesanleihe(b) | | | Zero Coupon | | | 8/15/2031 | | EUR | 200,000 | | | | 192,113 | |
| Bundesrepublik Deutschland Bundesanleihe(b) | | | Zero Coupon | | | 8/15/2050 | | EUR | 267,258 | | | | 204,362 | |
| Total | | | | | | | | | | | | | 778,815 | |
| | | | | | | | | | | | | | | |
| Italy 0.16% | | | | | | | | | | | | | | |
| Italy Buoni Poliennali Del Tesoro†(b) | | | 1.50% | | | 4/30/2045 | | EUR | 45,000 | | | | 33,159 | |
| | | | | | | | | | | | | | | |
| Japan 2.74% | | | | | | | | | | | | | | |
| Development Bank of Japan, Inc.†(a) | | | 1.75% | | | 2/18/2025 | | $ | 200,000 | | | | 193,544 | |
| Japan Bank for International Cooperation(a) | | | 1.625% | | | 1/20/2027 | | | 200,000 | | | | 187,940 | |
| Japan Finance Organization for Municipalities†(a) | | | 1.50% | | | 1/27/2025 | | | 200,000 | | | | 192,556 | |
| Total | | | | | | | | | | | | | 574,040 | |
| | | | | | | | | | | | | | | |
| Netherlands 1.78% | | | | | | | | | | | | | | |
| Nederlandse Financierings-Maatschappij voor Ontwikkelingslanden NV(a) | | | 2.75% | | | 2/20/2024 | | | 200,000 | | | | 199,017 | |
| Nederlandse Waterschapsbank NV(a) | | | 1.00% | | | 5/28/2030 | | | 200,000 | | | | 173,468 | |
| Total | | | | | | | | | | | | | 372,485 | |
| | | | | | | | | | | | | | | |
| Norway 0.93% | | | | | | | | | | | | | | |
| Kommunalbanken AS(a) | | | 2.125% | | | 2/11/2025 | | | 200,000 | | | | 196,019 | |
| | |
| 38 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CLIMATE FOCUSED BOND FUND July 31, 2022
| | | Interest | | | Maturity | | Principal | | | Fair | |
| Investments | | Rate | | | Date | | Amount | | | Value | |
| South Korea 1.86% | | | | | | | | | | | | | | |
| Industrial Bank of Korea†(a) | | | 0.625% | | | 9/17/2024 | | $ | 200,000 | | | $ | 188,577 | |
| Korea Water Resources Corp.(a) | | | 3.875% | | | 5/15/2023 | | | 200,000 | | | | 201,084 | |
| Total | | | | | | | | | | | | | 389,661 | |
| | | | | | | | | | | | | | | |
| Spain 1.04% | | | | | | | | | | | | | | |
| Adif Alta Velocidad(b) | | | 0.55% | | | 4/30/2030 | | EUR | 100,000 | | | | 94,230 | |
| Autonomous Community of Madrid Spain(b) | | | 0.419% | | | 4/30/2030 | | EUR | 75,000 | | | | 70,068 | |
| Spain Government Bond†(b) | | | 1.00% | | | 7/30/2042 | | EUR | 66,000 | | | | 53,227 | |
| Total | | | | | | | | | | | | | 217,525 | |
| | | | | | | | | | | | | | | |
| Sweden 2.70% | | | | | | | | | | | | | | |
| Kommuninvest I Sverige AB(a) | | | 0.375% | | | 6/19/2024 | | $ | 200,000 | | | | 190,081 | |
| Kommuninvest I Sverige AB†(a) | | | 1.625% | | | 4/24/2023 | | | 200,000 | | | | 197,764 | |
| Sweden Government International Bond†(b) | | | 0.125% | | | 9/9/2030 | | SEK | 1,000,000 | | | | 89,110 | (f) |
| Sweden Government International Bond(b) | | | 0.125% | | | 9/9/2030 | | SEK | 1,000,000 | | | | 89,110 | |
| Total | | | | | | | | | | | | | 566,065 | |
| | | | | | | | | | | | | | | |
| United Kingdom 0.27% | | | | | | | | | | | | | | |
| United Kingdom Gilt(b) | | | 0.875% | | | 7/31/2033 | | GBP | 53,000 | | | | 57,257 | |
| Total Foreign Government Obligations (cost $4,191,608) | | | | | | | | | | | | | 3,694,700 | |
| | | | | | | | | | | | | | | |
| MUNICIPAL BONDS 2.85% | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| Government Guaranteed 0.08% | | | | | | | | | | | | | | |
| Metropolitan Government of Nashville & Davidson Co | | | 2.611% | | | 7/1/2036 | | $ | 20,000 | | | | 17,126 | |
| | | | | | | | | | | | | | | |
| Revenue - Utilities - Other 0.21% | | | | | | | | | | | | | | |
| City of Corpus Christi TX Utility System Revenue | | | 1.966% | | | 7/15/2030 | | | 50,000 | | | | 43,078 | |
| | | | | | | | | | | | | | | |
| Sales Tax 0.31% | | | | | | | | | | | | | | |
| Dallas Area Rapid Transit A | | | 2.534% | | | 12/1/2036 | | | 80,000 | | | | 66,030 | |
| | | | | | | | | | | | | | | |
| Tax Revenue 0.10% | | | | | | | | | | | | | | |
| Regional Transportation District Sales Tax Revenue | | | 2.337% | | | 11/1/2036 | | | 25,000 | | | | 20,139 | |
| | | | | | | | | | | | | | | |
| Taxable Revenue - Water & Sewer 1.93% | | | | | | | | | | | | | | |
| City of Aurora CO Water Revenue | | | 2.348% | | | 8/1/2036 | | | 30,000 | | | | 25,303 | |
| City of Dallas TX Waterworks & Sewer System Revenue | | | 2.772% | | | 10/1/2040 | | | 75,000 | | | | 61,862 | |
| City of Los Angeles CA Wastewater System Revenue | | | 5.713% | | | 6/1/2039 | | | 50,000 | | | | 58,589 | |
| City of Philadelphia PA Water & Wastewater Revenue | | | 1.734% | | | 11/1/2028 | | | 40,000 | | | | 35,802 | |
| | | |
| | See Notes to Financial Statements. | 39 |
Schedule of Investments (continued)
CLIMATE FOCUSED BOND FUND July 31, 2022
| | | Interest | | | Maturity | | Principal | | | Fair | |
| Investments | | Rate | | | Date | | Amount | | | Value | |
| Taxable Revenue – Water & Sewer (continued) | | | | | | | | | | | | |
| City of San Francisco CA Public Utilities Commissi | | | 6.00% | | | 11/1/2040 | | $ | 100,000 | | | $ | 114,970 | |
| New York City Municipal Water Finance Authority | | | 5.75% | | | 6/15/2041 | | | 50,000 | | | | 60,193 | |
| San Diego County Water Authority | | | 1.951% | | | 5/1/2034 | | | 60,000 | | | | 49,025 | |
| Total | | | | | | | | | | | | | 405,744 | |
| | | | | | | | | | | | | | | |
| Transportation 0.22% | | | | | | | | | | | | | | |
| Metropolitan Transportation Authority | | | 5.175% | | | 11/15/2049 | | | 45,000 | | | | 46,438 | |
| Total Municipal Bonds (cost $713,587) | | | | | | | | | | | | | 598,555 | |
| | | | | | | | | | | | | | | |
| NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 1.64% | | | | | | | | | | |
| JPMorgan Chase Commercial Mortgage Securities Trust 2021-1440 B† | | | 3.749%
(1 Mo. LIBOR + 1.75% | )# | | 3/15/2036 | | | 110,000 | | | | 107,725 | |
| NYO Commercial Mortgage Trust 2021-1290 A† | | | 3.095%
(1 Mo. LIBOR + 1.10% | )# | | 11/15/2038 | | | 50,000 | | | | 47,675 | |
| One Bryant Park Trust 2019-OBP A† | | | 2.516% | | | 9/15/2054 | | | 100,000 | | | | 88,699 | |
| VNDO Mortgage Trust 2012-6AVE C† | | | 3.337% | #(g) | | 11/15/2030 | | | 100,000 | | | | 99,828 | |
| Total Non-Agency Commercial Mortgage-Backed Securities (cost $362,806) | | | | | | | | | | 343,927 | |
| | | | | | | | | | | | | | | |
| U.S. TREASURY OBLIGATIONS 2.32% | | | | | | | | | | | | | | |
| U.S. Treasury Note | | | 2.75% | | | 4/30/2027 | | | 58,000 | | | | 58,095 | |
| U.S. Treasury Note | | | 2.75% | | | 7/31/2027 | | | 44,000 | | | | 44,113 | |
| U.S. Treasury Note | | | 2.875% | | | 5/15/2032 | | | 378,000 | | | | 384,822 | |
| Total U.S. Treasury Obligations (cost $480,584) | | | | | | | | | | | | | 487,030 | |
| Total Long-Term Investments (cost $22,342,011) | | | | | | | | | | | 19,858,367 | |
| | | | | | | | | | | | | | | |
| SHORT-TERM INVESTMENTS 3.63% | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| REPURCHASE AGREEMENTS 3.63% | | | | | | | | | | | | | | |
Repurchase Agreement dated 7/29/2022, 0.850% due 8/1/2022 with Fixed Income Clearing Corp. collateralized by $684,800 of U.S. Treasury Inflation Indexed Note at 0.125% due 10/15/2025; value: $777,760; proceeds: $762,516
(cost $762,462) | | | | | | | | | 762,462 | | | | 762,462 | |
| Total Investments in Securities 98.25% (cost $23,104,473) | | | | | | | | | | 20,620,829 | |
| Less Unfunded Loan Commitments (0.08%) (cost $17,338)(h) | | | | | | | | | | (16,699 | ) |
| Net Investments in Securities 98.17% (cost $23,087,135) | | | | | | | | | | 20,604,130 | |
| Other Assets and Liabilities – Net(i) 1.83% | | | | | | | | | | | | | 383,476 | |
| Net Assets 100.00% | | | | | | | | | | | | $ | 20,987,606 | |
| | |
| 40 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CLIMATE FOCUSED BOND FUND July 31, 2022
| AUD | Australian Dollar. |
| CAD | Canadian Dollar. |
| EUR | Euro. |
| GBP | British Pound. |
| SEK | Swedish Krona. |
| CMT | Constant Maturity Rate. |
| EUAMDB | EUR Mid-Market Swap Rate. |
| EURIBOR | Euro Interbank Offered Rate. |
| EUSA | Euro Swap Rate. |
| LIBOR | London Interbank Offered Rate. |
| SOFR | Secured Overnight 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 July 31, 2022, the total value of Rule 144A securities was $5,252,092, which represents 25.02% of net assets. |
| # | | Variable rate security. The interest rate represents the rate in effect at July 31, 2022. |
| (a) | | Foreign security traded in U.S. dollars. |
| (b) | | Investment in non-U.S. dollar denominated securities. |
| (c) | | 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 July 31, 2022. |
| (d) | | Security partially/fully unfunded. See Note 2(o). |
| (e) | | Interest Rate to be determined. |
| (f) | | Level 3 Investment as described in Note 2(p) in the Notes to Financials. Security valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 investments. |
| (g) | | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. |
| (h) | | See Note 2(o). |
| (i) | | Other Assets and Liabilities – Net include net unrealized appreciation/depreciation on forward foreign currency exchange contracts, futures contracts and swaps as follows: |
Centrally Cleared Interest Rate Swap Contracts at July 31, 2022:
| | | Periodic | | Periodic | | | | | | | | | | | |
| | | Payments | | Payments | | | | | | | | | | | |
| | | to be Made | | to be Received | | | | | | | | | | Value/ | |
| Central | | By the Fund | | By the Fund | | Termination | | Notional | | | Payments | | | Unrealized | |
| Clearingparty | | (Quarterly) | | (Quarterly) | | Date | | Amount | | | Upfront | | | Depreciation | |
| Goldman Sachs(1) | | | 2.571% | | 12-Month USD SOFR Index | | 11/30/2026 | | | $789,000 | | | | $6,672 | | | | $(9,074 | ) |
| | |
| (1) | Central clearinghouse: London Clearing House (LCH). |
| | | |
| | See Notes to Financial Statements. | 41 |
Schedule of Investments (continued)
CLIMATE FOCUSED BOND FUND July 31, 2022
Open Forward Foreign Currency Exchange Contracts at July 31, 2022:
| Forward | | | | | | | | | | | | | | | | | | | |
| Foreign | | | | | | | | | | | U.S. $ | | | | | | | | |
| Currency | | | | | | | | | | | Cost on | | | U.S. $ | | | | | |
| Exchange | | Transaction | | | | Expiration | | Foreign | | | Origination | | | Current | | | Unrealized | |
| Contracts | | Type | | Counterparty | | Date | | Currency | | | Date | | | Value | | | Appreciation | |
| British pound | | Buy | | Morgan Stanley | | 9/8/2022 | | | 21,000 | | | $ | 25,228 | | | $ | 25,596 | | | | $ | 368 | |
| Euro | | Buy | | Morgan Stanley | | 9/12/2022 | | | 16,000 | | | | 16,187 | | | | 16,399 | | | | | 212 | |
| Australian dollar | | Sell | | Morgan Stanley | | 8/26/2022 | | | 107,000 | | | | 75,876 | | | | 74,789 | | | | | 1,087 | |
| British pound | | Sell | | J.P. Morgan | | 9/8/2022 | | | 823,000 | | | | 1,032,565 | | | | 1,003,092 | | | | | 29,473 | |
| Euro | | Sell | | State Street Bank and Trust | | 9/12/2022 | | | 5,176,000 | | | | 5,575,825 | | | | 5,305,213 | | | | | 270,612 | |
| Euro | | Sell | | Toronto Dominion Bank | | 9/12/2022 | | | 49,000 | | | | 52,319 | | | | 50,222 | | | | | 2,097 | |
| Euro | | Sell | | Toronto Dominion Bank | | 9/12/2022 | | | 175,000 | | | | 185,628 | | | | 179,369 | | | | | 6,259 | |
| Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | | | | | | | | | | | | $ | 310,108 | |
| | | | | | | | | | | | | | | | | | | | |
| Forward | | | | | | | | | | | | | | | | | | | |
| Foreign | | | | | | | | | | | U.S. $ | | | | | | | | |
| Currency | | | | | | | | | | | Cost on | | | U.S. $ | | | | | |
| Exchange | | Transaction | | | | Expiration | | Foreign | | | Origination | | | Current | | | Unrealized | |
| Contracts | | Type | | Counterparty | | Date | | Currency | | | Date | | | Value | | | Depreciation | |
| Euro | | Buy | | Bank of America | | 9/12/2022 | | | 92,000 | | | $ | 97,334 | | | $ | 94,297 | | | | $ | (3,037 | ) |
| Euro | | Buy | | Morgan Stanley | | 9/12/2022 | | | 174,000 | | | | 184,030 | | | | 178,344 | | | | | (5,686 | ) |
| Euro | | Buy | | State Street Bank and Trust | | 9/12/2022 | | | 129,000 | | | | 135,110 | | | | 132,220 | | | | | (2,890 | ) |
| Euro | | Buy | | State Street Bank and Trust | | 9/12/2022 | | | 56,000 | | | | 58,995 | | | | 57,398 | | | | | (1,597 | ) |
| Euro | | Buy | | Toronto Dominion Bank | | 9/12/2022 | | | 41,000 | | | | 43,020 | | | | 42,024 | | | | | (996 | ) |
| British pound | | Sell | | Bank of America | | 9/8/2022 | | | 17,000 | | | | 20,503 | | | | 20,720 | | | | | (217 | ) |
| Canadian dollar | | Sell | | Morgan Stanley | | 10/20/2022 | | | 226,000 | | | | 175,520 | | | | 176,439 | | | | | (919 | ) |
| Euro | | Sell | | Bank of America | | 9/12/2022 | | | 80,000 | | | | 81,778 | | | | 81,997 | | | | | (219 | ) |
| Euro | | Sell | | Morgan Stanley | | 9/12/2022 | | | 108,000 | | | | 109,111 | | | | 110,696 | | | | | (1,585 | ) |
| Euro | | Sell | | Morgan Stanley | | 9/12/2022 | | | 203,000 | | | | 206,001 | | | | 208,068 | | | | | (2,067 | ) |
| Euro | | Sell | | State Street Bank and Trust | | 9/12/2022 | | | 68,000 | | | | 68,693 | | | | 69,698 | | | | | (1,005 | ) |
| Euro | | Sell | | Toronto Dominion Bank | | 9/12/2022 | | | 66,000 | | | | 67,296 | | | | 67,648 | | | | | (352 | ) |
| Swedish krona | | Sell | | Bank of America | | 10/21/2022 | | | 3,733,000 | | | | 365,994 | | | | 368,569 | | | | | (2,575 | ) |
| Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | | | | | | | | | | | | | $ | (23,145 | ) |
| | |
| 42 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CLIMATE FOCUSED BOND FUND July 31, 2022
Open Futures Contracts at July 31, 2022:
| | | | | | | | | Notional | | | Notional | | | Unrealized | |
| Type | | Expiration | | Contracts | | Position | | Amount | | | Value | | | Appreciation | |
| Euro-Bobl | | September 2022 | | 2 | | Long | | EUR | 249,764 | | | EUR | 255,740 | | | | $ | 6,108 | |
| Euro-Bund | | September 2022 | | 2 | | Long | | | 297,204 | | | | 315,280 | | | | | 18,475 | |
| Euro-Buxl | | September 2022 | | 2 | | Long | | | 341,964 | | | | 371,600 | | | | | 30,290 | |
| U.S. 2-Year Treasury Note | | September 2022 | | 1 | | Short | | $ | (211,177 | ) | | $ | (210,461 | ) | | | | 716 | |
| Total Unrealized Appreciation on Open Futures Contracts | | | | | | | | | | | | | | $ | 55,589 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | Notional | | | Notional | | | Unrealized | |
| Type | | Expiration | | Contracts | | Position | | Amount | | | Value | | | Depreciation | |
| U.S. 10-Year Ultra Treasury Note | | September 2022 | | 7 | | Short | | $ | (905,350 | ) | | $ | (918,750 | ) | | | $ | (13,400 | ) |
| U.S. 5-Year Treasury Note | | September 2022 | | 8 | | Short | | | (905,969 | ) | | | (909,813 | ) | | | | (3,844 | ) |
| U.S. Ultra Treasury Bond | | September 2022 | | 3 | | Long | | | 476,693 | | | | 474,937 | | | | | (1,756 | ) |
| Total Unrealized Depreciation on Open Futures Contracts | | | | | | | | | | | | | | | $ | (19,000 | ) |
The following is a summary of the inputs used as of July 31, 2022 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 | | $ | – | | | $ | 432,310 | | | $ | – | | | $ | 432,310 | |
| Convertible Bonds | | | – | | | | 212,073 | | | | – | | | | 212,073 | |
| Corporate Bonds | | | – | | | | 13,703,518 | | | | – | | | | 13,703,518 | |
| Floating Rate Loans | | | – | | | | 386,254 | | | | – | | | | 386,254 | |
| Less Unfunded Commitments | | | – | | | | (16,699 | ) | | | – | | | | (16,699 | ) |
| Foreign Government Obligations | | | – | | | | 3,605,590 | | | | 89,110 | | | | 3,694,700 | |
| Municipal Bonds | | | – | | | | 598,555 | | | | – | | | | 598,555 | |
| Non-Agency Commercial Mortgage-Backed Securities | | | – | | | | 343,927 | | | | – | | | | 343,927 | |
| U.S. Treasury Obligations | | | – | | | | 487,030 | | | | – | | | | 487,030 | |
| Short-Term Investments | | | | | | | | | | | | | | | | |
| Repurchase Agreements | | | – | | | | 762,462 | | | | – | | | | 762,462 | |
| Total | | $ | – | | | $ | 20,515,020 | | | $ | 89,110 | | | $ | 20,604,130 | |
| | | | | | | | | | | | | | | | | |
| Other Financial Instruments | | | | | | | | | | | | | | | | |
| Centrally Cleared Interest Rate Swap Contracts | | | | | | | | | | | | | | | | |
| Assets | | $ | – | | | $ | – | | | $ | – | | | $ | – | |
| Liabilities | | | – | | | | (9,074 | ) | | | – | | | | (9,074 | ) |
| Forward Foreign Currency Exchange Contracts | | | | | | | | | | | | | | | | |
| Assets | | | – | | | | 310,108 | | | | – | | | | 310,108 | |
| Liabilities | | | – | | | | (23,145 | ) | | | – | | | | (23,145 | ) |
| Futures Contracts | | | | | | | | | | | | | | | | |
| Assets | | | 55,589 | | | | – | | | | – | | | | 55,589 | |
| Liabilities | | | (19,000 | ) | | | – | | | | – | | | | (19,000 | ) |
| Total | | $ | 36,589 | | | $ | 277,889 | | | $ | – | | | $ | 314,478 | |
| | | |
| (1) | | Refer to Note 2(p) 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. When applicable each Level 3 security is identified on the Schedule of Investments along with the valuation technique utilized. |
| | | |
| | See Notes to Financial Statements. | 43 |
Schedule of Investments (concluded)
CLIMATE FOCUSED BOND FUND July 31, 2022
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 year in relation to the Fund’s net assets.
The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:
| | | | | | Floating | | | Foreign | |
| | | Corporate | | | Rate | | | Government | |
| Investment Type | | Bonds | | | Loans | | | Obligations | |
| Balance as of August 1, 2021 | | $ | 282,928 | | | $ | 19,925 | | | $ | – | |
| Accrued Discounts (Premiums) | | | – | | | | – | | | | (37 | ) |
| Realized Gain (Loss) | | | – | | | | – | | | | – | |
| Change in Unrealized Appreciation (Depreciation) | | | – | | | | – | | | | (27,883 | ) |
| Purchases | | | – | | | | – | | | | – | |
| Sales | | | – | | | | – | | | | – | |
| Transfers into Level 3(a) | | | – | | | | – | | | | 117,030 | |
| Transfers out of Level 3(a) | | | (282,928 | ) | | | (19,925 | ) | | | – | |
| Balance as of July 31, 2022 | | $ | – | | | $ | – | | | $ | 89,110 | |
| Change in unrealized appreciation/depreciation for the year ended July 31, 2022, related to Level 3 investments held at July 31, 2022 | | $ | – | | | $ | – | | | $ | (27,883 | ) |
| | | |
| (a) | | The Fund recognizes transfers within the fair value hierarchy as of the beginning of the period. Transfers into and out of Level 3 were primarily related to the availability of market quotations in accordance with the valuation methodology. |
| | |
| 44 | See Notes to Financial Statements. |
Schedule of Investments
EMERGING MARKETS EQUITY FUND July 31, 2022
| Investments | | Shares | | | U.S. $
Fair Value | |
| LONG-TERM INVESTMENTS 96.55% | | | | | | |
| | | | | | | |
| COMMON STOCKS 96.55% | | | | | | |
| | | | | | | |
| Australia 1.33% | | | | | | |
| | | | | | | |
| Metals & Mining | | | | | | |
| BHP Group Ltd. | | | 2,207 | | | $ | 60,395 | |
| | | | | | | | | |
| Brazil 4.49% | | | | | | | | |
| | | | | | | | | |
| Electric: Utilities 0.80% | | | | | | | | |
| Equatorial Energia SA | | | 7,600 | | | | 36,442 | |
| | | | | | | | | |
| Insurance 2.26% | | | | | | | | |
| BB Seguridade Participacoes SA | | | 18,318 | | | | 102,634 | |
| | | | | | | | | |
| Internet & Direct Marketing Retail 0.50% | | | | | | | | |
| MercadoLibre, Inc.* | | | 28 | | | | 22,784 | |
| | | | | | | | | |
| Oil, Gas & Consumable Fuels 0.93% | | | | | | | | |
| Petroleo Brasileiro SA ADR | | | 2,939 | | | | 41,969 | |
| Total Brazil | | | | | | | 203,829 | |
| | | | | | | | | |
| Canada 0.27% | | | | | | | | |
| | | | | | | | | |
| Metals & Mining | | | | | | | | |
| Capstone Copper Corp.* | | | 5,398 | | | | 12,183 | |
| | | | | | | | | |
| China 29.93% | | | | | | | | |
| | | | | | | | | |
| Automobiles 2.50% | | | | | | | | |
| BYD Co. Ltd. Class H | | | 3,094 | | | | 113,197 | |
| | | | | | | | | |
| Banks 2.38% | | | | | | | | |
| China Construction Bank Corp. Class H | | | 84,173 | | | | 53,754 | |
| Industrial & Commercial Bank of China Ltd. Class H | | | 102,125 | | | | 53,992 | |
| | | | | | | | 107,746 | |
| Investments | | Shares | | | U.S. $
Fair Value | |
| China (continued) | | | | | | | | |
| | | | | | | | | |
| Beverages 3.19% | | | | | | | | |
| Kweichow Moutai Co. Ltd. Class A | | | 400 | | | $ | 112,700 | |
| Wuliangye Yibin Co. Ltd. Class A | | | 1,200 | | | | 31,822 | |
| | | | | | | | 144,522 | |
| | | | | | | | | |
| Construction Materials 0.41% | | | | | | | | |
| China Resources Cement Holdings Ltd. | | | 30,000 | | | | 18,453 | |
| | | | | | | | | |
| Electrical Equipment 2.39% | | | | | | | | |
| Contemporary Amperex Technology Co. Ltd. Class A* | | | 1,426 | | | | 108,350 | |
| | | | | | | | | |
| Electronic Equipment, Instruments & Components 0.45% | | | | | |
| Sunny Optical Technology Group Co. Ltd. | | | 1,500 | | | | 20,293 | |
| | | | | | | | | |
| Entertainment 1.75% | | | | | | | | |
| NetEase, Inc. | | | 4,239 | | | | 79,298 | |
| | | | | | | | | |
| Gas Utilities 0.93% | | | | | | | | |
| ENN Energy Holdings Ltd. | | | 2,600 | | | | 42,413 | |
| | | | | | | | | |
| Independent Power & Renewable Electricity Producers 0.58% | | | |
| China Longyuan Power Group Corp. Ltd. Class H | | | 16,486 | | | | 26,486 | |
| | | | | | | | | |
| Interactive Media & Services 3.74% | | | | | | | | |
| Tencent Holdings Ltd. | | | 4,391 | | | | 169,707 | |
| | | | | | | | | |
| Internet & Direct Marketing Retail 7.30% | | | | | | | | |
| Alibaba Group Holding Ltd.* | | | 12,301 | | | | 138,306 | |
| JD.com, Inc. Class A | | | 3,540 | | | | 105,607 | |
| Meituan Class B†* | | | 2,899 | | | | 65,034 | |
| Pinduoduo, Inc. ADR* | | | 450 | | | | 22,055 | |
| | | | | | | | 331,002 | |
| | See Notes to Financial Statements. | 45 |
Schedule of Investments (continued)
EMERGING MARKETS EQUITY FUND July 31, 2022
| Investments | | Shares | | | U.S. $
Fair Value | |
| China (continued) | | | | | | | | |
| | | | | | | | | |
| Life Sciences Tools & Services 1.45% | | | | | | | | |
| WuXi AppTec Co. Ltd. Class H† | | | 1,682 | | | $ | 20,376 | |
| Wuxi Biologics Cayman, Inc.†* | | | 4,745 | | | | 45,420 | |
| | | | | | | | 65,796 | |
| | | | | | | | | |
| Real Estate Management & Development 0.96% | | | | | |
| ESR Group Ltd.†* | | | 16,778 | | | | 43,630 | |
| | | | | | | | | |
| Semiconductors & Semiconductor Equipment 1.31% | | | | | |
| LONGi Green Energy Technology Co. Ltd. Class A | | | 6,500 | | | | 59,555 | |
| | | | | | | | | |
| Textiles, Apparel & Luxury Goods 0.59% | | | | | | | | |
| ANTA Sports Products Ltd. | | | 2,439 | | | | 26,855 | |
| Total China | | | | | | | 1,357,303 | |
| | | | | | | | | |
| France 1.59% | | | | | | | | |
| | | | | | | | | |
| Textiles, Apparel & Luxury Goods | | | | | | | | |
| LVMH Moet Hennessy Louis Vuitton SE | | | 104 | | | | 72,213 | |
| | | | | | | | | |
| Germany 0.54% | | | | | | | | |
| | | | | | | | | |
| Semiconductors & Semiconductor Equipment | | | | | | | | |
| Infineon Technologies AG | | | 894 | | | | 24,518 | |
| | | | | | | | | |
| Hong Kong 1.10% | | | | | | | | |
| | | | | | | | | |
| Insurance | | | | | | | | |
| AIA Group Ltd. | | | 4,944 | | | | 49,671 | |
| | | | | | | | | |
| India 21.70% | | | | | | | | |
| | | | | | | | | |
| Automobiles 1.95% | | | | | | | | |
| Maruti Suzuki India Ltd. | | | 793 | | | | 88,244 | |
| | | | | | | | | |
| Banks 4.31% | | | | | | | | |
| Axis Bank Ltd. | | | 3,765 | | | | 34,592 | |
| Federal Bank Ltd. | | | 28,377 | | | | 38,368 | |
| Investments | | Shares | | | U.S. $
Fair Value | |
| India (continued) | | | | | | | | |
| | | | | | | | | |
| ICICI Bank Ltd. ADR | | | 4,234 | | | $ | 87,982 | |
| State Bank of India | | | 5,125 | | | | 34,343 | |
| | | | | | | | 195,285 | |
| | | | | | | | | |
| Beverages 0.57% | | | | | | | | |
| United Spirits Ltd.* | | | 2,614 | | | | 25,761 | |
| | | | | | | | | |
| Chemicals 1.34% | | | | | | | | |
| Asian Paints Ltd. | | | 1,442 | | | | 60,917 | |
| | | | | | | | | |
| Health Care Providers & Services 1.18% | | | | | |
| Apollo Hospitals Enterprise Ltd. | | | 1,006 | | | | 53,692 | |
| | | | | | | | | |
| Hotels, Restaurants & Leisure 1.09% | | | | | | | | |
| Jubilant Foodworks Ltd. | | | 7,070 | | | | 49,355 | |
| | | | | | | | | |
| Information Technology Services 3.14% | | | | | |
| Infosys Ltd. ADR | | | 6,033 | | | | 117,583 | |
| Infosys Ltd. | | | 1,274 | | | | 24,991 | |
| | | | | | | | 142,574 | |
| | | | | | | | | |
| Insurance 1.34% | | | | | | | | |
| ICICI Prudential Life Insurance Co. Ltd.† | | | 8,684 | | | | 60,889 | |
| | | | | | | | | |
| Life Sciences Tools & Services 0.47% | | | | | | |
| Divi’s Laboratories Ltd. | | | 438 | | | | 21,247 | |
| | | | | | | | | |
| Oil, Gas & Consumable Fuels 2.54% | | | | | | | | |
| Reliance Industries Ltd.* | | | 3,620 | | | | 115,132 | |
| | | | | | | | | |
| Personal Products 1.76% | | | | | | | | |
| Hindustan Unilever Ltd. | | | 2,393 | | | | 79,943 | |
| | | | | | | | | |
| Real Estate Management & Development 1.00% | | | | | |
| Phoenix Mills Ltd. (The) | | | 2,859 | | | | 45,386 | |
| | | | | | | | | |
| Wireless Telecommunication Services 1.01% | | | | | |
| Bharti Airtel Ltd.* | | | 5,357 | | | | 45,937 | |
| Total India | | | | | | | 984,362 | |
| 46 | See Notes to Financial Statements. |
Schedule of Investments (continued)
EMERGING MARKETS EQUITY FUND July 31, 2022
| Investments | | Shares | | | U.S. $
Fair Value | |
| Indonesia 3.41% | | | | | | | | |
| | | | | | | | | |
| Banks 1.12% | | | | | | | | |
| Bank Mandiri Persero Tbk PT | | | 90,761 | | | $ | 50,804 | |
| | | | | | | | | |
| Diversified Telecommunication Services 1.37% | | | | | |
| Telkom Indonesia Persero Tbk PT | | | 218,026 | | | | 62,273 | |
| | | | | | | | | |
| Household Products 0.92% | | | | | | | | |
| Unilever Indonesia Tbk PT | | | 136,646 | | | | 41,608 | |
| Total Indonesia | | | | | | | 154,685 | |
| | | | | | | | | |
| Macau 0.26% | | | | | | | | |
| | | | | | | | | |
| Hotels, Restaurants & Leisure | | | | | | | | |
| Galaxy Entertainment Group Ltd. | | | 2,000 | | | | 11,898 | |
| | | | | | | | | |
| Mexico 5.51% | | | | | | | | |
| | | | | | | | | |
| Banks 2.05% | | | | | | | | |
| Grupo Financiero Banorte SAB de CV Class O | | | 16,343 | | | | 92,989 | |
| | | | | | | | | |
| Consumer Finance 0.58% | | | | | | | | |
| Gentera SAB de CV | | | 32,377 | | | | 26,317 | |
| | | | | | | | | |
| Food & Staples Retailing 0.87% | | | | | | | | |
| Wal-Mart de Mexico SAB de CV | | | 10,866 | | | | 39,359 | |
| | | | | | | | | |
| Transportation Infrastructure 2.01% | | | | | | | | |
| Grupo Aeroportuario del Pacifico SAB de CV Class B | | | 6,719 | | | | 91,100 | |
| Total Mexico | | | | | | | 249,765 | |
| | | | | | | | | |
| Netherlands 2.17% | | | | | | | | |
| | | | | | | | | |
| Oil, Gas & Consumable Fuels | | | | | | | | |
| Shell plc | | | 3,689 | | | | 98,409 | |
| | | | | | | | | |
| Peru 1.59% | | | | | | | | |
| | | | | | | | | |
| Banks | | | | | | | | |
| Credicorp Ltd. | | | 556 | | | | 71,946 | |
| Investments | | Shares | | | U.S. $
Fair Value | |
| Singapore 1.89% | | | | | | |
| | | | | | | |
| Banks | | | | | | |
| United Overseas Bank Ltd. | | | 4,289 | | | $ | 85,571 | |
| | | | | | | | | |
| South Africa 2.08% | | | | | | | | |
| | | | | | | | | |
| Banks 0.70% | | | | | | | | |
| Absa Group Ltd. | | | 3,120 | | | | 31,972 | |
| | | | | | | | | |
| Food & Staples Retailing 0.74% | | | | | | | | |
| Clicks Group Ltd. | | | 1,981 | | | | 33,352 | |
| | | | | | | | | |
| Metals & Mining 0.64% | | | | | | | | |
| Anglo American plc | | | 345 | | | | 12,470 | |
| Sibanye Stillwater Ltd. | | | 6,662 | | | | 16,365 | |
| | | | | | | | 28,835 | |
| Total South Africa | | | | | | | 94,159 | |
| | | | | | | | | |
| South Korea 7.48% | | | | | | | | |
| | | | | | | | | |
| Chemicals 1.41% | | | | | | | | |
| LG Chem Ltd. | | | 137 | | | | 63,808 | |
| | | | | | | | | |
| Life Sciences Tools & Services 0.53% | | | | | | | | |
| Samsung Biologics Co. Ltd.†* | | | 36 | | | | 23,979 | |
| | | | | | | | | |
| Technology Hardware, Storage & Peripherals 4.58% | | | | | |
| Samsung Electronics Co. Ltd. | | | 4,389 | | | | 207,754 | |
| | | | | | | | | |
| Wireless Telecommunication Services 0.96% | | | | | | | | |
| SK Telecom Co. Ltd. | | | 1,057 | | | | 43,628 | |
| Total South Korea | | | | | | | 339,169 | |
| | | | | | | | | |
| Taiwan 8.40% | | | | | | | | |
| | | | | | | | | |
| Electrical Equipment 1.03% | | | | | | | | |
| Voltronic Power Technology Corp. | | | 950 | | | | 46,661 | |
| | | | | | | | | |
| Electronic Equipment, Instruments & Components 0.86% | | | | | |
| Delta Electronics, Inc. | | | 4,500 | | | | 39,137 | |
| | See Notes to Financial Statements. | 47 |
Schedule of Investments (concluded)
EMERGING MARKETS EQUITY FUND July 31, 2022
| Investments | | Shares | | | U.S. $
Fair Value | |
| Taiwan (continued) | | | | | | | | |
| | | | | | | | | |
| Semiconductors & Semiconductor Equipment 6.51% | | | | | |
| Taiwan Semiconductor Manufacturing Co. Ltd. ADR | | | 889 | | | $ | 78,659 | |
| Taiwan Semiconductor Manufacturing Co. Ltd. | | | 12,637 | | | | 216,719 | |
| | | | | | | | 295,378 | |
| Total Taiwan | | | | | | | 381,176 | |
| | | | | | | | | |
| United Arab Emirates 1.59% | | | | | | | | |
| | | | | | | | | |
| Banks | | | | | | | | |
| Abu Dhabi Commercial Bank PJSC | | | 29,011 | | | | 72,109 | |
| | | | | | | | | |
| United Kingdom 0.94% | | | | | | | | |
| | | | | | | | | |
| Banks | | | | | | | | |
| Standard Chartered plc | | | 6,200 | | | | 42,735 | |
| Investments | | Shares | | | U.S. $
Fair Value | |
| United States 0.28% | | | | | | |
| | | | | | | |
| Information Technology Services | | | | | | |
| Globant SA* | | | 63 | | | $ | 12,552 | |
Total Common Stocks 96.55%
(cost $4,630,540) | | | | | | | 4,378,648 | |
| Other Assets and Liabilities – Net 3.45% | | | | 156,509 | |
| Net Assets 100.00% | | | | | | $ | 4,535,157 | |
| | | |
| ADR | | American Depositary Receipt. |
| * | | Non-income producing security. |
| † | | 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 July 31, 2022, the total value of Rule 144A securities was $259,328, which represents 5.72% of net assets. |
The following is a summary of the inputs used as of July 31, 2022 in valuing the Fund’s investments carried at fair value(1):
| Investment Type(2) | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Long-Term Investments | | | | | | | | | | | | | | | | |
| Common Stocks | | | | | | | | | | | | | | | | |
| Brazil | | $ | 203,829 | | | $ | – | | | $ | – | | | $ | 203,829 | |
| Canada | | | 12,183 | | | | – | | | | – | | | | 12,183 | |
| China | | | 22,055 | | | | 1,335,248 | | | | – | | | | 1,357,303 | |
| India | | | 205,565 | | | | 778,797 | | | | – | | | | 984,362 | |
| Mexico | | | 249,765 | | | | – | | | | – | | | | 249,765 | |
| Peru | | | 71,946 | | | | – | | | | – | | | | 71,946 | |
| South Africa | | | 33,352 | | | | 60,807 | | | | – | | | | 94,159 | |
| Taiwan | | | 78,659 | | | | 302,517 | | | | – | | | | 381,176 | |
| United States | | | 12,552 | | | | – | | | | – | | | | 12,552 | |
| Remaining Countries | | | – | | | | 1,011,373 | | | | – | | | | 1,011,373 | |
| Total | | $ | 889,906 | | | $ | 3,488,742 | | | $ | – | | | $ | 4,378,648 | |
| (1) | Refer to Note 2(p) 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. When applicable 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 year in relation to the Fund’s net assets.
| 48 | See Notes to Financial Statements. |
Schedule of Investments
INTERNATIONAL GROWTH FUND July 31, 2022
| Investments | | Shares | | | U.S. $
Fair Value | |
| LONG-TERM INVESTMENTS 93.93% | | | | | | | | |
| | | | | | | | | |
| COMMON STOCKS 93.93% | | | | | | | | |
| | | | | | | | | |
| Australia 1.34% | | | | | | | | |
| | | | | | | | | |
| Metals & Mining 0.79% | | | | | | | | |
| BHP Group Ltd. | | | 588 | | | $ | 16,091 | |
| | | | | | | | | |
| Software 0.55% | | | | | | | | |
| WiseTech Global Ltd. | | | 315 | | | | 11,156 | |
| Total Australia | | | | | | | 27,247 | |
| | | | | | | | | |
| Brazil 0.52% | | | | | | | | |
| | | | | | | | | |
| Internet & Direct Marketing Retail | | | | | | | | |
| MercadoLibre, Inc.* | | | 13 | | | | 10,578 | |
| | | | | | | | | |
| Canada 2.59% | | | | | | | | |
| | | | | | | | | |
| Banks 0.58% | | | | | | | | |
| Royal Bank of Canada | | | 122 | | | | 11,896 | |
| | | | | | | | | |
| Information Technology Services 0.54% | | | | | | | | |
| Shopify, Inc. Class A* | | | 315 | | | | 10,971 | |
| | | | | | | | | |
| Insurance 0.72% | | | | | | | | |
| Intact Financial Corp. | | | 98 | | | | 14,586 | |
| | | | | | | | | |
| Oil, Gas & Consumable Fuels 0.75% | | | | | | | | |
| Pembina Pipeline Corp. | | | 400 | | | | 15,272 | |
| Total Canada | | | | | | | 52,725 | |
| | | | | | | | | |
| China 9.90% | | | | | | | | |
| | | | | | | | | |
| Automobiles 1.39% | | | | | | | | |
| BYD Co. Ltd. Class H | | | 773 | | | | 28,281 | |
| | | | | | | | | |
| Beverages 0.65% | | | | | | | | |
| Wuliangye Yibin Co. Ltd. Class A | | | 500 | | | | 13,259 | |
| | | | | | | | | |
| Electrical Equipment 0.75% | | | | | | | | |
| Contemporary Amperex Technology Co. Ltd. Class A* | | | 200 | | | | 15,196 | |
| Investments | | Shares | | | U.S. $
Fair Value | |
| China (continued) | | | | | | | | |
| | | | | | | | | |
| Entertainment 0.64% | | | | | | | | |
| NetEase, Inc. | | | 691 | | | $ | 12,926 | |
| | | | | | | | | |
| Interactive Media & Services 1.99% | | | | | | | | |
| Tencent Holdings Ltd. | | | 1,046 | | | | 40,427 | |
| | | | | | | | | |
| Internet & Direct Marketing Retail 3.99% | | | | | | | | |
| Alibaba Group Holding Ltd.* | | | 1,861 | | | | 20,924 | |
| JD.com, Inc. Class A | | | 1,007 | | | | 30,041 | |
| Meituan Class B†* | | | 1,347 | | | | 30,218 | |
| | | | | | | | 81,183 | |
| | | | | | | | | |
| Semiconductors & Semiconductor Equipment 0.49% | | | |
| LONGi Green Energy | | | | | | | | |
| Technology Co. Ltd. Class A | | | 1,100 | | | | 10,079 | |
| Total China | | | | | | | 201,351 | |
| | | | | | | | | |
| Denmark 5.87% | | | | | | | | |
| | | | | | | | | |
| Air Freight & Logistics 1.01% | | | | | | | | |
| DSV A/S | | | 122 | | | | 20,557 | |
| | | | | | | | | |
| Biotechnology 0.98% | | | | | | | | |
| Genmab A/S* | | | 56 | | | | 19,926 | |
| | | | | | | | | |
| Electric: Utilities 0.61% | | | | | | | | |
| Orsted A/S† | | | 107 | | | | 12,457 | |
| | | | | | | | | |
| Pharmaceuticals 3.27% | | | | | | | | |
| Novo Nordisk A/S Class B | | | 571 | | | | 66,506 | |
| Total Denmark | | | | | | | 119,446 | |
| | | | | | | | | |
| France 15.64% | | | | | | | | |
| | | | | | | | | |
| Aerospace & Defense 1.59% | | | | | | | | |
| Airbus SE | | | 139 | | | | 14,987 | |
| Thales SA | | | 139 | | | | 17,286 | |
| | | | | | | | 32,273 | |
| | | | | | | | | |
| Beverages 1.28% | | | | | | | | |
| Pernod Ricard SA | | | 133 | | | | 26,127 | |
| | See Notes to Financial Statements. | 49 |
Schedule of Investments (continued)
INTERNATIONAL GROWTH FUND July 31, 2022
| Investments | | Shares | | | U.S. $
Fair Value | |
| France (continued) | | | | | | | | |
| | | | | | | | | |
| Chemicals 1.44% | | | | | | | | |
| Air Liquide SA | | | 213 | | | $ | 29,284 | |
| | | | | | | | | |
| Information Technology Services 1.13% | | | | | | | | |
| Capgemini SE | | | 120 | | | | 22,888 | |
| | | | | | | | | |
| Life Sciences Tools & Services 0.77% | | | | | | | | |
| Sartorius Stedim Biotech | | | 39 | | | | 15,602 | |
| | | | | | | | | |
| Personal Products 2.43% | | | | | | | | |
| L’Oreal SA | | | 131 | | | | 49,526 | |
| | | | | | | | | |
| Professional Services 1.25% | | | | | | | | |
| Teleperformance | | | 76 | | | | 25,414 | |
| | | | | | | | | |
| Software 1.19% | | | | | | | | |
| Dassault Systemes SE | | | 563 | | | | 24,148 | |
| | | | | | | | | |
| Textiles, Apparel & Luxury Goods 4.56% | | | | | | | | |
| Hermes International | | | 19 | | | | 26,067 | |
| LVMH Moet Hennessy Louis Vuitton SE | | | 96 | | | | 66,658 | |
| | | | | | | | 92,725 | |
| Total France | | | | | | | 317,987 | |
| | | | | | | | | |
| Germany 1.94% | | | | | | | | |
| | | | | | | | | |
| Chemicals 1.32% | | | | | | | | |
| Symrise AG | | | 230 | | | | 26,838 | |
| | | | | | | | | |
| Semiconductors & Semiconductor Equipment 0.62% | | | |
| AIXTRON SE | | | 485 | | | | 12,538 | |
| Total Germany | | | | | | | 39,376 | |
| | | | | | | | | |
| Hong Kong 1.84% | | | | | | | | |
| | | | | | | | | |
| Insurance | | | | | | | | |
| AIA Group Ltd. | | | 3,730 | | | | 37,474 | |
| Investments | | Shares | | | U.S. $
Fair Value | |
| India 6.52% | | | | | | | | |
| | | | | | | | | |
| Banks 1.82% | | | | | | | | |
| ICICI Bank Ltd. ADR | | | 1,781 | | | $ | 37,009 | |
| | | | | | | | | |
| Chemicals 0.95% | | | | | | | | |
| Asian Paints Ltd. | | | 458 | | | | 19,348 | |
| | | | | | | | | |
| Information Technology Services 0.81% | | | | | | | | |
| Infosys Ltd. ADR | | | 842 | | | | 16,411 | |
| | | | | | | | | |
| Oil, Gas & Consumable Fuels 1.23% | | | | | | | | |
| Reliance Industries Ltd.* | | | 786 | | | | 24,998 | |
| | | | | | | | | |
| Personal Products 0.72% | | | | | | | | |
| Hindustan Unilever Ltd. | | | 442 | | | | 14,766 | |
| | | | | | | | | |
| Wireless Telecommunication Services 0.99% | | | | | | | | |
| Bharti Airtel Ltd.* | | | 2,346 | | | | 20,117 | |
| Total India | | | | | | | 132,649 | |
| | | | | | | | | |
| Indonesia 0.84% | | | | | | | | |
| | | | | | | | | |
| Banks | | | | | | | | |
| Bank Rakyat Indonesia Persero Tbk PT | | | 57,943 | | | | 17,104 | |
| | | | | | | | | |
| Italy 0.95% | | | | | | | | |
| | | | | | | | | |
| Beverages | | | | | | | | |
| Davide Campari-Milano N.V. | | | 1,745 | | | | 19,373 | |
| | | | | | | | | |
| Japan 11.66% | | | | | | | | |
| | | | | | | | | |
| Auto Components 0.73% | | | | | | | | |
| Denso Corp. | | | 272 | | | | 14,877 | |
| | | | | | | | | |
| Building Products 1.02% | | | | | | | | |
| Daikin Industries Ltd. | | | 118 | | | | 20,695 | |
| | | | | | | | | |
| Electrical Equipment 0.92% | | | | | | | | |
| Fuji Electric Co. Ltd. | | | 414 | | | | 18,699 | |
| 50 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INTERNATIONAL GROWTH FUND July 31, 2022
| Investments | | Shares | | | U.S. $
Fair Value | |
| Japan (continued) | | | | | | | | |
| | | | | | | | | |
| Electronic Equipment, Instruments & Components 1.72% | |
| Keyence Corp. | | | 88 | | | $ | 34,878 | |
| | | | | | | | | |
| Health Care Equipment & Supplies 1.05% | | | | | | | | |
| Hoya Corp. | | | 214 | | | | 21,441 | |
| | | | | | | | | |
| Household Durables 1.75% | | | | | | | | |
| Sony Group Corp. | | | 420 | | | | 35,628 | |
| | | | | | | | | |
| Machinery 0.82% | | | | | | | | |
| Ebara Corp. | | | 423 | | | | 16,571 | |
| | | | | | | | | |
| Pharmaceuticals 1.47% | | | | | | | | |
| Daiichi Sankyo Co. Ltd. | | | 1,128 | | | | 29,908 | |
| | | | | | | | | |
| Semiconductors & Semiconductor Equipment 0.96% | | | |
| Lasertec Corp. | | | 136 | | | | 19,471 | |
| | | | | | | | | |
| Specialty Retail 1.22% | | | | | | | | |
| Fast Retailing Co. Ltd. | | | 41 | | | | 24,829 | |
| Total Japan | | | | | | | 236,997 | |
| | | | | | | | | |
| Netherlands 3.82% | | | | | | | | |
| | | | | | | | | |
| Information Technology Services 0.71% | | | |
| Adyen NV†* | | | 8 | | | | 14,390 | |
| | | | | | | | | |
| Semiconductors & Semiconductor Equipment 3.11% | | | |
| ASML Holding NV | | | 110 | | | | 63,224 | |
| Total Netherlands | | | | | | | 77,614 | |
| | | | | | | | | |
| Norway 1.47% | | | | | | | | |
| | | | | | | | | |
| Machinery 0.54% | | | | | | | | |
| AutoStore Holdings Ltd.†* | | | 5,904 | | | | 10,993 | |
| | | | | | | | | |
| Oil, Gas & Consumable Fuels 0.93% | | | | | | | | |
| Equinor ASA | | | 491 | | | | 18,906 | |
| Total Norway | | | | | | | 29,899 | |
| Investments | | Shares | | | U.S. $
Fair Value | |
| Singapore 1.10% | | | | | | | | |
| | | | | | | | | |
| Banks | | | | | | | | |
| DBS Group Holdings Ltd. | | | 979 | | | $ | 22,339 | |
| | | | | | | | | |
| South Korea 0.95% | | | | | | | | |
| | | | | | | | | |
| Technology Hardware, Storage & Peripherals | | | |
| Samsung Electronics Co. Ltd. | | | 408 | | | | 19,313 | |
| | | | | | | | | |
| Spain 0.61% | | | | | | | | |
| | | | | | | | | |
| Electric: Utilities | | | | | | | | |
| Iberdrola SA | | | 1,135 | | | | 12,120 | |
| Iberdrola SA | | | 32 | | | | 336 | |
| | | | | | | | 12,456 | |
| | | | | | | | | |
| Sweden 4.23% | | | | | | | | |
| | | | | | | | | |
| Building Products 1.09% | | | | | | | | |
| Nibe Industrier AB B Shares | | | 2,201 | | | | 22,173 | |
| | | | | | | | | |
| Electronic Equipment, Instruments & Components 1.00% | |
| Hexagon AB B Shares | | | 1,727 | | | | 20,335 | |
| | | | | | | | | |
| Machinery 2.14% | | | | | | | | |
| Atlas Copco AB A Shares | | | 2,376 | | | | 27,774 | |
| Epiroc AB Class A | | | 884 | | | | 15,630 | |
| | | | | | | | 43,404 | |
| Total Sweden | | | | | | | 85,912 | |
| | | | | | | | | |
| Switzerland 4.47% | | | | | | | | |
| | | | | | | | | |
| Capital Markets 0.54% | | | | | | | | |
| Partners Group Holding AG | | | 10 | | | | 10,917 | |
| | | | | | | | | |
| Chemicals 1.02% | | | | | | | | |
| Sika AG Registered Shares | | | 84 | | | | 20,755 | |
| | | | | | | | | |
| Health Care Equipment & Supplies 1.17% | | | | | | | | |
| Alcon, Inc. | | | 302 | | | | 23,769 | |
| | | | | | | | | |
| Life Sciences Tools & Services 0.54% | | | | | | | | |
| Lonza Group AG Registered Shares | | | 18 | | | | 10,940 | |
| | See Notes to Financial Statements. | 51 |
Schedule of Investments (continued)
INTERNATIONAL GROWTH FUND July 31, 2022
| Investments | | Shares | | | U.S. $
Fair Value | |
| Switzerland (continued) | | | | | | | | |
| | | | | | | | | |
| Textiles, Apparel & Luxury Goods 1.20% | | | | | | | | |
| Cie Financiere Richemont SA Class A | | | 203 | | | $ | 24,477 | |
| Total Switzerland | | | | | | | 90,858 | |
| | | | | | | | | |
| Taiwan 3.58% | | | | | | | | |
| | | | | | | | | |
| Semiconductors & Semiconductor Equipment | | | | | | | | |
| Taiwan Semiconductor Manufacturing Co. Ltd. ADR | | | 339 | | | | 29,995 | |
| Taiwan Semiconductor Manufacturing Co. Ltd. | | | 2,494 | | | | 42,771 | |
| | | | | | | | 72,766 | |
| | | | | | | | | |
| United Kingdom 6.62% | | | | | | | | |
| | | | | | | | | |
| Beverages 1.97% | | | | | | | | |
| Diageo plc | | | 848 | | | | 40,171 | |
| | | | | | | | | |
| Capital Markets 0.87% | | | | | | | | |
| London Stock Exchange Group plc | | | 181 | | | | 17,664 | |
| | | | | | | | | |
| Communications Equipment 0.53% | | | | | | | | |
| Spirent Communications PLC | | | 3,150 | | | | 10,835 | |
| | | | | | | | | |
| Personal Products 1.28% | | | | | | | | |
| Haleon PLC* | | | 3,630 | | | | 12,899 | |
| Unilever plc | | | 270 | | | | 13,150 | |
| | | | | | | | 26,049 | |
| | | | | | | | | |
| Pharmaceuticals 1.97% | | | | | | | | |
| AstraZeneca plc | | | 304 | | | | 39,989 | |
| Total United Kingdom | | | | | | | 134,708 | |
| | | | | | | | | |
| United States 7.47% | | | | | | | | |
| | | | | | | | | |
| Electrical Equipment 1.83% | | | | | | | | |
| Schneider Electric SE | | | 269 | | | | 37,204 | |
| | | | | | | | | |
| Food Products 2.92% | | | | | | | | |
| Nestle SA Registered Shares | | | 484 | | | | 59,303 | |
| Investments | | Shares | | | U.S. $
Fair Value | |
| United States (continued) | | | | | | | | |
| | | | | | | | | |
| Pharmaceuticals 2.72% | | | | | | | | |
| Eli Lilly & Co. | | | 51 | | | $ | 16,814 | |
| Roche Holding AG | | | 116 | | | | 38,513 | |
| | | | | | | | 55,327 | |
| Total United States | | | | | | | 151,834 | |
Total Common Stocks 93.93%
(cost $2,061,307) | | | | | | | 1,910,006 | |
| Other Assets and Liabilities – Net 6.07% | | | | | | | 123,523 | |
| Net Assets 100.00% | | | | | | $ | 2,033,529 | |
| | | |
| ADR | | American Depositary Receipt. |
| * | | Non-income producing security. |
| † | | 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 July 31, 2022, the total value of Rule 144A securities was $68,058, which represents 3.35% of net assets. |
| 52 | See Notes to Financial Statements. |
Schedule of Investments (concluded)
INTERNATIONAL GROWTH FUND July 31, 2022
The following is a summary of the inputs used as of July 31, 2022 in valuing the Fund’s investments carried at fair value(1):
| Investment Type(2) | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Long-Term Investments | | | | | | | | | | | | | | | | |
| Common Stocks | | | | | | | | | | | | | | | | |
| Brazil | | $ | 10,578 | | | $ | – | | | $ | – | | | $ | 10,578 | |
| Canada | | | 52,725 | | | | – | | | | – | | | | 52,725 | |
| India | | | 53,420 | | | | 79,229 | | | | – | | | | 132,649 | |
| Taiwan | | | 29,995 | | | | 42,771 | | | | – | | | | 72,766 | |
| United Kingdom | | | 12,899 | | | | 121,809 | | | | – | | | | 134,708 | |
| United States | | | 16,814 | | | | 135,020 | | | | – | | | | 151,834 | |
| Remaining Countries | | | – | | | | 1,354,746 | | | | – | | | | 1,354,746 | |
| Total | | $ | 176,431 | | | $ | 1,733,575 | | | $ | – | | | $ | 1,910,006 | |
| | |
| (1) | Refer to Note 2(p) 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. When applicable 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 year in relation to the Fund’s net assets.
| | See Notes to Financial Statements. | 53 |
Schedule of Investments
MID CAP INNOVATION GROWTH FUND July 31, 2022
| Investments | | Shares | | | Fair
Value | |
| LONG-TERM INVESTMENTS 97.05% | | | | | | | | |
| | | | | | | | | |
| COMMON STOCKS 97.05% | | | | | | | | |
| | | | | | | | | |
| Aerospace & Defense 3.41% | | | | | | | | |
| Axon Enterprise, Inc.* | | | 611 | | | $ | 67,326 | |
| L3Harris Technologies, Inc. | | | 445 | | | | 106,786 | |
| TransDigm Group, Inc.* | | | 202 | | | | 125,713 | |
| Total | | | | | | | 299,825 | |
| | | | | | | | | |
| Automobiles 0.78% | | | | | | | | |
| Rivian Automotive, Inc. Class A* | | | 1,995 | | | | 68,429 | |
| | | | | | | | | |
| Banks 0.48% | | | | | | | | |
| Popular, Inc. | | | 539 | | | | 41,864 | |
| | | | | | | | | |
| Beverages 3.42% | | | | | | | | |
| Brown-Forman Corp. Class B | | | 1,140 | | | | 84,611 | |
| Constellation Brands, Inc. Class A | | | 617 | | | | 151,973 | |
| Monster Beverage Corp.* | | | 646 | | | | 64,355 | |
| Total | | | | | | | 300,939 | |
| | | | | | | | | |
| Biotechnology 9.81% | | | | | | | | |
| Alkermes plc (Ireland)*(a) | | | 3,453 | | | | 88,397 | |
| Argenx SE ADR* | | | 576 | | | | 209,785 | |
| Cytokinetics, Inc.* | | | 2,544 | | | | 107,687 | |
| Genmab A/S ADR* | | | 823 | | | | 29,315 | |
| Horizon Therapeutics plc* | | | 647 | | | | 53,681 | |
| Intellia Therapeutics, Inc.* | | | 676 | | | | 43,778 | |
| Krystal Biotech, Inc.* | | | 834 | | | | 60,532 | |
| Seagen, Inc.* | | | 799 | | | | 143,804 | |
| Vertex Pharmaceuticals, Inc.* | | | 446 | | | | 125,063 | |
| Total | | | | | | | 862,042 | |
| | | | | | | | | |
| Capital Markets 2.05% | | | | | | | | |
| KKR & Co., Inc. | | | 1,233 | | | | 68,382 | |
| MSCI, Inc. | | | 141 | | | | 67,869 | |
| Raymond James Financial, Inc. | | | 445 | | | | 43,819 | |
| Total | | | | | | | 180,070 | |
| | | | | | | | | |
| Chemicals 1.19% | | | | | | | | |
| Albemarle Corp. | | | 427 | | | | 104,320 | |
| Investments | | Shares | | | Fair
Value | |
| Communications Equipment 3.55% | | | | | | | | |
| Arista Networks, Inc.* | | | 1,750 | | | $ | 204,102 | |
| Calix, Inc.* | | | 1,894 | | | | 108,034 | |
| Total | | | | | | | 312,136 | |
| | | | | | | | | |
| Construction & Engineering 1.51% | | | | | | | | |
| Quanta Services, Inc. | | | 956 | | | | 132,626 | |
| | | | | | | | | |
| Electrical Equipment 1.23% | | | | | | | | |
| AMETEK, Inc. | | | 877 | | | | 108,310 | |
| | | | | | | | | |
| Electronic Equipment, Instruments & Components 2.08% | |
| CDW Corp./DE | | | 638 | | | | 115,816 | |
| Trimble, Inc.* | | | 962 | | | | 66,792 | |
| Total | | | | | | | 182,608 | |
| | | | | | | | | |
| Entertainment 2.85% | | | | | | | | |
| Liberty Media Corp.-Liberty | | | | | | | | |
| Formula One Class A* | | | 1,800 | | | | 111,582 | |
| Live Nation Entertainment, Inc.* | | | 1,480 | | | | 139,105 | |
| Total | | | | | | | 250,687 | |
| | | | | | | | | |
| Equity Real Estate Investment Trusts 1.39% | | | | | | | | |
| SBA Communications Corp. | | | 363 | | | | 121,892 | |
| | | | | | | | | |
| Health Care Equipment & Supplies 8.17% | | | | | | | | |
| Axonics, Inc.* | | | 995 | | | | 64,546 | |
| Cooper Cos., Inc. (The) | | | 127 | | | | 41,529 | |
| DexCom, Inc.* | | | 804 | | | | 65,992 | |
| Edwards Lifesciences Corp.* | | | 808 | | | | 81,236 | |
| Inspire Medical Systems, Inc.* | | | 247 | | | | 51,621 | |
| Insulet Corp.* | | | 260 | | | | 64,428 | |
| iRhythm Technologies, Inc.* | | | 985 | | | | 152,311 | |
| Lantheus Holdings, Inc.* | | | 2,563 | | | | 196,633 | |
| Total | | | | | | | 718,296 | |
| | | | | | | | | |
| Health Care Providers & Services 2.61% | | | | | | | | |
| Centene Corp.* | | | 1,481 | | | | 137,688 | |
| Molina Healthcare, Inc.* | | | 280 | | | | 91,762 | |
| Total | | | | | | | 229,450 | |
| 54 | See Notes to Financial Statements. |
Schedule of Investments (continued)
MID CAP INNOVATION GROWTH FUND July 31, 2022
| Investments | | Shares | | | Fair
Value | |
| Hotels, Restaurants & Leisure 4.13% | | | | | | | | |
| Chipotle Mexican Grill, Inc.* | | | 113 | | | $ | 176,757 | |
| Hilton Worldwide Holdings, Inc. | | | 583 | | | | 74,665 | |
| Planet Fitness, Inc. Class A* | | | 1,420 | | | | 111,910 | |
| Total | | | | | | | 363,332 | |
| | | | | | | | | |
| Information Technology Services 5.16% | | | | | | | | |
| Cloudflare, Inc. Class A* | | | 1,229 | | | | 61,843 | |
| Endava plc ADR* | | | 628 | | | | 64,056 | |
| EPAM Systems, Inc.* | | | 252 | | | | 88,011 | |
| MongoDB, Inc.* | | | 340 | | | | 106,240 | |
| WEX, Inc.* | | | 805 | | | | 133,799 | |
| Total | | | | | | | 453,949 | |
| | | | | | | | | |
| Interactive Media & Services 0.44% | | | | | | | | |
| Match Group, Inc.* | | | 525 | | | | 38,488 | |
| | | | | | | | | |
| Internet & Direct Marketing Retail 2.30% | | | | | | | | |
| Coupang, Inc. (South Korea)*(a) | | | 2,342 | | | | 40,493 | |
| Etsy, Inc.* | | | 708 | | | | 73,434 | |
| MercadoLibre, Inc. (Argentina)*(a) | | | 109 | | | | 88,694 | |
| Total | | | | | | | 202,621 | |
| | | | | | | | | |
| Life Sciences Tools & Services 0.38% | | | | | | | | |
| Agilent Technologies, Inc. | | | 249 | | | | 33,391 | |
| | | | | | | | | |
| Oil, Gas & Consumable Fuels 2.24% | | | | | | | | |
| Cheniere Energy, Inc. | | | 940 | | | | 140,605 | |
| EQT Corp. | | | 1,284 | | | | 56,535 | |
| Total | | | | | | | 197,140 | |
| | | | | | | | | |
| Personal Products 0.38% | | | | | | | | |
| Olaplex Holdings, Inc.* | | | 1,951 | | | | 33,557 | |
| | | | | | | | | |
| Pharmaceuticals 1.17% | | | | | | | | |
| Intra-Cellular Therapies, Inc.* | | | 1,894 | | | | 102,503 | |
| | | | | | | | | |
| Semiconductors & Semiconductor Equipment 10.18% | |
| Enphase Energy, Inc.* | | | 1,116 | | | | 317,145 | |
| Entegris, Inc. | | | 738 | | | | 81,106 | |
| KLA Corp. | | | 206 | | | | 79,009 | |
| Investments | | Shares | | | Fair
Value | |
| Semiconductors & Semiconductor Equipment (continued) | |
| Lattice Semiconductor Corp.* | | | 1,920 | | | $ | 118,080 | |
| Monolithic Power Systems, Inc. 279 | | | | | | | 129,657 | |
| Rambus, Inc.* | | | 2,971 | | | | 75,107 | |
| SolarEdge Technologies, Inc. (Israel)*(a) | | | 263 | | | | 94,714 | |
| Total | | | | | | | 894,818 | |
| | | | | | | | | |
| Software 20.02% | | | | | | | | |
| Aspen Technology, Inc.* | | | 426 | | | | 86,943 | |
| Atlassian Corp. plc Class A (Australia)*(a) | | | 440 | | | | 92,101 | |
| Bill.com Holdings, Inc.* | | | 613 | | | | 82,804 | |
| Cadence Design Systems, Inc.* | | | 751 | | | | 139,746 | |
| Clear Secure, Inc. Class A* | | | 3,085 | | | | 78,112 | |
| Crowdstrike Holdings, Inc. Class A* | | | 722 | | | | 132,559 | |
| CyberArk Software Ltd. (Israel)*(a) | | | 537 | | | | 69,880 | |
| Datadog, Inc. Class A* | | | 1,145 | | | | 116,802 | |
| Five9, Inc.* | | | 874 | | | | 94,497 | |
| Fortinet, Inc.* | | | 1,325 | | | | 79,036 | |
| Gitlab, Inc. Class A* | | | 725 | | | | 41,615 | |
| HubSpot, Inc.* | | | 149 | | | | 45,892 | |
| Jamf Holding Corp.* | | | 3,173 | | | | 77,548 | |
| Manhattan Associates, Inc.* | | | 621 | | | | 87,356 | |
| Palo Alto Networks, Inc.* | | | 346 | | | | 172,689 | |
| Paycom Software, Inc.* | | | 280 | | | | 92,537 | |
| Roper Technologies, Inc. | | | 169 | | | | 73,797 | |
| Synopsys, Inc.* | | | 270 | | | | 99,225 | |
| UiPath, Inc. Class A* | | | 3,019 | | | | 55,338 | |
| Zoom Video Communications, Inc. Class A* | | | 400 | | | | 41,544 | |
| Total | | | | | | | 1,760,021 | |
| | | | | | | | | |
| Specialty Retail 2.12% | | | | | | | | |
| Tractor Supply Co. | | | 419 | | | | 80,230 | |
| Ulta Beauty, Inc.* | | | 273 | | | | 106,173 | |
| Total | | | | | | | 186,403 | |
| | See Notes to Financial Statements. | 55 |
Schedule of Investments (concluded)
MID CAP INNOVATION GROWTH FUND July 31, 2022
| Investments | | Shares | | | Fair
Value | |
| Technology Hardware, Storage & Peripherals 1.31% | |
| Pure Storage, Inc. Class A* | | | 4,078 | | | $ | 115,611 | |
| | | | | | | | | |
| Textiles, Apparel & Luxury Goods 2.69% | |
| Crocs, Inc.* | | | 1,453 | | | | 104,093 | |
| Lululemon Athletica, Inc. (Canada)*(a) | | | 426 | | | | 132,277 | |
| Total | | | | | | | 236,370 | |
Total Common Stocks
(cost $8,360,224) | | | | | | | 8,531,698 | |
| Investments | | Principal
Amount | | | Fair
Value | |
| SHORT-TERM INVESTMENTS 1.43% | | | | | | | | |
| | | | | | | | | |
| REPURCHASE AGREEMENTS 1.43% | | | | | | | | |
Repurchase Agreement dated 7/29/2022, 0.85% due 8/1/2022 with Fixed Income Clearing Corp. collateralized by $113,100 of U.S. Treasury Inflation Indexed Note at 0.125% due 10/15/2025; value: $128,453; proceeds: $125,861
(cost $125,852) | | $ | 125,852 | | | $ | 125,852 | |
Total Investments in Securities 98.48%
(cost $8,486,076) | | | | | | | 8,657,550 | |
| Other Assets and Liabilities - Net 1.52% | | | | | | | 133,225 | |
| Net Assets 100.00% | | | | | | $ | 8,790,775 | |
| ADR | | American Depositary Receipt. |
| * | | Non-income producing security. |
| (a) | | Foreign security traded in U.S. dollars. |
The following is a summary of the inputs used as of July 31, 2022 in valuing the Fund’s investments carried at fair value(1):
| Investment Type(2) | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Long-Term Investments | | | | | | | | | | | | | | | | |
| Common Stocks | | $ | 8,531,698 | | | $ | – | | | $ | – | | | $ | 8,531,698 | |
| Short-Term Investments | | | | | | | | | | | | | | | | |
| Repurchase Agreements | | | – | | | | 125,852 | | | | – | | | | 125,852 | |
| Total | | $ | 8,531,698 | | | $ | 125,852 | | | $ | – | | | $ | 8,657,550 | |
| | |
| (1) | Refer to Note 2(p) 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. When applicable 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 year in relation to the Fund’s net assets.
| 56 | See Notes to Financial Statements. |
Schedule of Investments
SHORT DURATION HIGH YIELD FUND July 31, 2022
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount | | | Fair
Value | |
| LONG-TERM INVESTMENTS 96.62% | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| ASSET-BACKED SECURITIES 3.22% | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| Other | | | | | | | | | | | | |
| AMMC CLO Ltd. 2021 24A E† | | 9.28%
(3 Mo. LIBOR + 6.57% | )# | 1/20/2035 | | $ | 250,000 | | | $ | 212,411 | |
| Carlyle US CLO Ltd. 2019-3A CR† | | 5.91%
(3 Mo. LIBOR + 3.20% | )# | 10/20/2032 | | | 250,000 | | | | 234,088 | |
| CIFC Funding Ltd. 2013-4A DRR† | | 5.569%
(3 Mo. LIBOR + 2.80% | )# | 4/27/2031 | | | 250,000 | | | | 227,036 | |
| Neuberger Berman Loan CLO Ltd. 2020 36A ER† | | 9.46%
(3 Mo. LIBOR + 6.75% | )# | 4/20/2033 | | | 350,000 | | | | 322,422 | |
| Total Asset-Backed Securities (cost $1,088,962) | | | | | | | | | | | 995,957 | |
| | | | | | | | | | | | | |
| CONVERTIBLE BONDS 0.90% | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| Energy-Alternate Sources 0.07% | | | | | | | | | | | | |
| Sunrun, Inc. | | Zero Coupon | | 2/1/2026 | | | 28,000 | | | | 21,140 | |
| | | | | | | | | | | | | |
| Health Care-Products 0.21% | | | | | | | | | | | | |
| Cytokinetics, Inc.† | | 3.50% | | 7/1/2027 | | | 61,000 | | | | 66,551 | |
| | | | | | | | | | | | | |
| Internet 0.30% | | | | | | | | | | | | |
| iQIYI, Inc. (China)(a) | | 2.00% | | 4/1/2025 | | | 59,000 | | | | 48,386 | |
| Pinduoduo, Inc. (China)(a) | | Zero Coupon | | 12/1/2025 | | | 49,000 | | | | 43,757 | |
| Total | | | | | | | | | | | 92,143 | |
| | | | | | | | | | | | | |
| Media 0.10% | | | | | | | | | | | | |
| Liberty Media Corp.-Liberty Formula One | | 1.00% | | 1/30/2023 | | | 16,000 | | | | 29,486 | |
| | | | | | | | | | | | | |
| Oil & Gas 0.12% | | | | | | | | | | | | |
| Antero Resources Corp. | | 4.25% | | 9/1/2026 | | | 4,000 | | | | 36,521 | |
| | | | | | | | | | | | | |
| Retail 0.10% | | | | | | | | | | | | |
| Shake Shack, Inc. | | Zero Coupon | | 3/1/2028 | | | 44,000 | | | | 31,460 | |
| Total Convertible Bonds (cost $248,804) | | | | | | | | | | | 277,301 | |
| | | | | | | | | | | | | |
| CORPORATE BONDS 88.13% | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| Advertising 0.60% | | | | | | | | | | | | |
| Clear Channel Worldwide Holdings, Inc.† | | 5.125% | | 8/15/2027 | | | 85,000 | | | | 78,830 | |
| National CineMedia LLC† | | 5.875% | | 4/15/2028 | | | 40,000 | | | | 29,003 | |
| Outfront Media Capital LLC/Outfront Media Capital Corp.† | | 6.25% | | 6/15/2025 | | | 80,000 | | | | 79,299 | |
| Total | | | | | | | | | | | 187,132 | |
| | See Notes to Financial Statements. | 57 |
Schedule of Investments (continued)
SHORT DURATION HIGH YIELD FUND July 31, 2022
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount | | | Fair
Value | |
| Aerospace/Defense 1.65% | | | | | | | | | | | | |
| Spirit AeroSystems, Inc.† | | 5.50% | | 1/15/2025 | | $ | 35,000 | | | $ | 34,901 | |
| TransDigm, Inc. | | 5.50% | | 11/15/2027 | | | 502,000 | | | | 474,694 | |
| Total | | | | | | | | | | | 509,595 | |
| | | | | | | | | | | | | |
| Agriculture 0.74% | | | | | | | | | | | | |
| Darling Ingredients, Inc.† | | 5.25% | | 4/15/2027 | | | 60,000 | | | | 60,176 | |
| Kernel Holding SA (Ukraine)†(a) | | 6.50% | | 10/17/2024 | | | 200,000 | | | | 81,696 | |
| MHP SE (Ukraine)†(a) | | 7.75% | | 5/10/2024 | | | 200,000 | | | | 87,962 | |
| Total | | | | | | | | | | | 229,834 | |
| | | | | | | | | | | | | |
| Airlines 3.66% | | | | | | | | | | | | |
| Air Canada (Canada)†(a) | | 3.875% | | 8/15/2026 | | | 153,000 | | | | 141,138 | |
| American Airlines Group, Inc.† | | 3.75% | | 3/1/2025 | | | 38,000 | | | | 33,407 | |
| American Airlines, Inc.† | | 11.75% | | 7/15/2025 | | | 269,000 | | | | 298,965 | |
| American Airlines, Inc./AAdvantage Loyalty IP Ltd.† | | 5.50% | | 4/20/2026 | | | 101,000 | | | | 99,472 | |
| Delta Air Lines, Inc. | | 4.375% | | 4/19/2028 | | | 175,000 | | | | 163,953 | |
| Hawaiian Airlines 2013-1 Class A Pass Through Certificates | | 3.90% | | 7/15/2027 | | | 64,661 | | | | 56,072 | |
| Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd.† | | 5.75% | | 1/20/2026 | | | 66,817 | | | | 65,049 | |
| United Airlines, Inc.† | | 4.375% | | 4/15/2026 | | | 285,000 | | | | 274,016 | |
| Total | | | | | | | | | | | 1,132,072 | |
| | | | | | | | | | | | | |
| Auto Manufacturers 2.86% | | | | | | | | | | | | |
| Ford Motor Co. | | 4.346% | | 12/8/2026 | | | 340,000 | | | | 334,596 | |
| Ford Motor Co. | | 6.625% | | 10/1/2028 | | | 285,000 | | | | 300,205 | |
| Ford Motor Credit Co. LLC | | 3.815% | | 11/2/2027 | | | 200,000 | | | | 183,604 | |
| JB Poindexter & Co., Inc.† | | 7.125% | | 4/15/2026 | | | 69,000 | | | | 67,406 | |
| Total | | | | | | | | | | | 885,811 | |
| | | | | | | | | | | | | |
| Banks 1.16% | | | | | | | | | | | | |
| Citigroup, Inc. | | 3.875%
(5 Yr. Treasury CMT + 3.42% | )# | – | (b) | | 80,000 | | | | 73,324 | |
| Citigroup, Inc. | | 5.95%
(3 Mo. LIBOR + 4.07% | )# | – | (b) | | 27,000 | | | | 26,922 | |
| Goldman Sachs Group, Inc. (The) | | 3.65%
(5 Yr. Treasury CMT + 2.92% | )# | – | (b) | | 140,000 | | | | 118,661 | |
| JPMorgan Chase & Co. | | 4.00%
(SOFR + 2.74% | )# | – | (b) | | 70,000 | | | | 61,588 | |
| Texas Capital Bancshares, Inc. | | 4.00%
(5 Yr. Treasury CMT + 3.15% | )# | 5/6/2031 | | | 25,000 | | | | 22,811 | |
| 58 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION HIGH YIELD FUND July 31, 2022
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount | | | Fair
Value | |
| Banks (continued) | | | | | | | | | | | | |
| Wells Fargo & Co. | | 3.90%
(5 Yr. Treasury CMT + 3.45% | )# | – | (b) | $ | 60,000 | | | $ | 55,612 | |
| Total | | | | | | | | | | | 358,918 | |
| | | | | | | | | | | | | |
| Building Materials 1.02% | | | | | | | | | | | | |
| Eco Material Technologies, Inc.† | | 7.875% | | 1/31/2027 | | | 70,000 | | | | 62,357 | |
| Griffon Corp. | | 5.75% | | 3/1/2028 | | | 100,000 | | | | 95,911 | |
| SRM Escrow Issuer LLC† | | 6.00% | | 11/1/2028 | | | 35,000 | | | | 32,556 | |
| Standard Industries, Inc.† | | 5.00% | | 2/15/2027 | | | 130,000 | | | | 124,879 | |
| Total | | | | | | | | | | | 315,703 | |
| | | | | | | | | | | | | |
| Chemicals 0.86% | | | | | | | | | | | | |
| ASP Unifrax Holdings, Inc.† | | 5.25% | | 9/30/2028 | | | 45,000 | | | | 37,886 | |
| CVR Partners LP/CVR Nitrogen Finance Corp.† | | 6.125% | | 6/15/2028 | | | 55,000 | | | | 50,126 | |
| Ingevity Corp.† | | 3.875% | | 11/1/2028 | | | 40,000 | | | | 35,546 | |
| Iris Holding, Inc.† | | 10.00% | | 12/15/2028 | | | 51,000 | | | | 42,585 | |
| Kobe US Midco 2, Inc. PIK 10.0%† | | 9.25% | | 11/1/2026 | | | 35,000 | | | | 27,982 | |
| NOVA Chemicals Corp. (Canada)†(a) | | 4.875% | | 6/1/2024 | | | 50,000 | | | | 49,026 | |
| SCIH Salt Holdings, Inc.† | | 4.875% | | 5/1/2028 | | | 25,000 | | | | 21,774 | |
| Total | | | | | | | | | | | 264,925 | |
| | | | | | | | | | | | | |
| Coal 1.22% | | | | | | | | | | | | |
| Alliance Resource Operating Partners LP/Alliance Resource Finance Corp.† | | 7.50% | | 5/1/2025 | | | 100,000 | | | | 99,100 | |
| CONSOL Energy, Inc.† | | 11.00% | | 11/15/2025 | | | 60,000 | | | | 60,965 | |
| Coronado Finance Pty Ltd. (Australia)†(a) | | 10.75% | | 5/15/2026 | | | 71,000 | | | | 74,041 | |
| Natural Resource Partners LP/NRP Finance Corp.† | | 9.125% | | 6/30/2025 | | | 79,000 | | | | 80,688 | |
| Peabody Energy Corp.† | | 6.375% | | 3/31/2025 | | | 21,000 | | | | 20,464 | |
| Warrior Met Coal, Inc.† | | 7.875% | | 12/1/2028 | | | 47,000 | | | | 43,613 | |
| Total | | | | | | | | | | | 378,871 | |
| | | | | | | | | | | | | |
| Commercial Services 3.84% | | | | | | | | | | | | |
| AA Bond Co. Ltd.(c) | | 6.50% | | 1/31/2026 | | GBP | 100,000 | | | | 109,815 | |
| Ahern Rentals, Inc.† | | 7.375% | | 5/15/2023 | | $ | 24,000 | | | | 18,373 | |
| Alta Equipment Group, Inc.† | | 5.625% | | 4/15/2026 | | | 95,000 | | | | 79,987 | |
| AMN Healthcare, Inc.† | | 4.625% | | 10/1/2027 | | | 76,000 | | | | 72,929 | |
| Block, Inc. | | 2.75% | | 6/1/2026 | | | 155,000 | | | | 144,888 | |
| Hertz Corp. (The)† | | 4.625% | | 12/1/2026 | | | 59,000 | | | | 52,610 | |
| Hertz Corp. (The) | | 5.50% | | 10/15/2024 | | | 22,000 | | | | 330 | (d) |
| Hertz Corp. (The) | | 6.25% | | 10/15/2022 | | | 2,000 | | | | 30 | |
| | See Notes to Financial Statements. | 59 |
Schedule of Investments (continued)
SHORT DURATION HIGH YIELD FUND July 31, 2022
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount | | | Fair
Value | |
| Commercial Services (continued) | | | | | | | | | | | | |
| IPD 3 BV(c) | | 5.50% | | 12/1/2025 | | EUR | 100,000 | | | $ | 93,539 | |
| Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc.† | | 5.00% | | 2/1/2026 | | $ | 63,000 | | | | 57,058 | |
| PeopleCert Wisdom Issuer plc†(c) | | 5.75% | | 9/15/2026 | | EUR | 100,000 | | | | 97,096 | |
| Prime Security Services Borrower LLC/Prime Finance, Inc.† | | 3.375% | | 8/31/2027 | | $ | 70,000 | | | | 64,009 | |
| Prime Security Services Borrower LLC/Prime Finance, Inc.† | | 5.75% | | 4/15/2026 | | | 60,000 | | | | 61,072 | |
| Sabre GLBL, Inc.† | | 7.375% | | 9/1/2025 | | | 14,000 | | | | 13,900 | |
| Sabre GLBL, Inc.† | | 9.25% | | 4/15/2025 | | | 33,000 | | | | 33,616 | |
| Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc.† | | 4.625% | | 11/1/2026 | | | 100,000 | | | | 94,046 | |
| United Rentals North America, Inc. | | 4.875% | | 1/15/2028 | | | 75,000 | | | | 74,987 | |
| WASH Multifamily Acquisition, Inc.† | | 5.75% | | 4/15/2026 | | | 122,000 | | | | 121,837 | |
| Total | | | | | | | | | | | 1,190,122 | |
| | | | | | | | | | | | | |
| Computers 0.65% | | | | | | | | | | | | |
| Austin BidCo, Inc.† | | 7.125% | | 12/15/2028 | | | 40,000 | | | | 32,056 | |
| Booz Allen Hamilton, Inc.† | | 3.875% | | 9/1/2028 | | | 53,000 | | | | 50,341 | |
| Booz Allen Hamilton, Inc.† | | 4.00% | | 7/1/2029 | | | 26,000 | | | | 24,838 | |
| Science Applications International Corp.† | | 4.875% | | 4/1/2028 | | | 100,000 | | | | 95,273 | |
| Total | | | | | | | | | | | 202,508 | |
| | | | | | | | | | | | | |
| Distribution/Wholesale 0.93% | | | | | | | | | | | | |
| American Builders & Contractors Supply Co., Inc.† | | 4.00% | | 1/15/2028 | | | 141,000 | | | | 132,161 | |
| BCPE Empire Holdings, Inc.† | | 7.625% | | 5/1/2027 | | | 50,000 | | | | 43,747 | |
| H&E Equipment Services, Inc.† | | 3.875% | | 12/15/2028 | | | 130,000 | | | | 113,064 | |
| Total | | | | | | | | | | | 288,972 | |
| | | | | | | | | | | | | |
| Diversified Financial Services 2.72% | | | | | | | | | | | | |
| Bread Financial Holdings, Inc.† | | 4.75% | | 12/15/2024 | | | 42,000 | | | | 39,033 | |
| Bread Financial Holdings, Inc.† | | 7.00% | | 1/15/2026 | | | 50,000 | | | | 47,352 | |
| Enova International, Inc.† | | 8.50% | | 9/15/2025 | | | 30,000 | | | | 27,677 | |
| Jefferson Capital Holdings LLC† | | 6.00% | | 8/15/2026 | | | 68,000 | | | | 60,324 | |
| Navient Corp. | | 5.875% | | 10/25/2024 | | | 80,000 | | | | 78,515 | |
| Navient Corp. | | 6.75% | | 6/25/2025 | | | 34,000 | | | | 33,109 | |
| Navient Corp. | | 6.75% | | 6/15/2026 | | | 101,000 | | | | 96,338 | |
| OneMain Finance Corp. | | 3.50% | | 1/15/2027 | | | 160,000 | | | | 136,548 | |
| OneMain Finance Corp. | | 8.25% | | 10/1/2023 | | | 88,000 | | | | 89,542 | |
| PennyMac Financial Services, Inc.† | | 5.375% | | 10/15/2025 | | | 50,000 | | | | 46,877 | |
| 60 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION HIGH YIELD FUND July 31, 2022
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount | | | Fair
Value | |
| Diversified Financial Services (continued) | | | | | | | | | | | | |
| Radian Group, Inc. | | 4.875% | | 3/15/2027 | | $ | 65,000 | | | $ | 63,724 | |
| Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc.† | | 2.875% | | 10/15/2026 | | | 85,000 | | | | 75,283 | |
| VistaJet Malta Finance PLC/XO Management Holding, Inc. (Malta)†(a) | | 7.875% | | 5/1/2027 | | | 50,000 | | | | 46,111 | |
| Total | | | | | | | | | | | 840,433 | |
| | | | | | | | | | | | | |
| Electric 2.44% | | | | | | | | | | | | |
| Calpine Corp.† | | 5.125% | | 3/15/2028 | | | 130,000 | | | | 122,602 | |
| Calpine Corp.† | | 5.25% | | 6/1/2026 | | | 60,000 | | | | 60,601 | |
| DPL, Inc. | | 4.35% | | 4/15/2029 | | | 40,000 | | | | 36,859 | |
| Elwood Energy LLC | | 8.159% | | 7/5/2026 | | | 13,364 | | | | 13,442 | |
| FirstEnergy Corp. | | 2.05% | | 3/1/2025 | | | 75,000 | | | | 71,239 | |
| NextEra Energy Operating Partners LP† | | 3.875% | | 10/15/2026 | | | 35,000 | | | | 34,629 | |
| NextEra Energy Operating Partners LP† | | 4.50% | | 9/15/2027 | | | 80,000 | | | | 79,200 | |
| Pike Corp.† | | 5.50% | | 9/1/2028 | | | 50,000 | | | | 42,915 | |
| Talen Energy Supply LLC(e) | | 6.50% | | 6/1/2025 | | | 111,000 | | | | 84,471 | |
| Vistra Corp.† | | 7.00%
(5 Yr. Treasury CMT + 5.74% | )# | – | (b) | | 59,000 | | | | 54,950 | |
| Vistra Corp.† | | 8.00%
(5 Yr. Treasury CMT + 6.93% | )# | – | (b) | | 35,000 | | | | 33,983 | |
| Vistra Operations Co. LLC† | | 5.50% | | 9/1/2026 | | | 120,000 | | | | 121,740 | |
| Total | | | | | | | | | | | 756,631 | |
| | | | | | | | | | | | | |
| Electrical Components & Equipment 0.33% | | | | | | | | | | | | |
| EnerSys† | | 4.375% | | 12/15/2027 | | | 110,000 | | | | 101,103 | |
| | | | | | | | | | | | | |
| Electronics 0.48% | | | | | | | | | | | | |
| Imola Merger Corp.† | | 4.75% | | 5/15/2029 | | | 31,000 | | | | 29,054 | |
| Sensata Technologies BV† | | 5.00% | | 10/1/2025 | | | 120,000 | | | | 120,762 | |
| Total | | | | | | | | | | | 149,816 | |
| | | | | | | | | | | | | |
| Energy-Alternate Sources 0.75% | | | | | | | | | | | | |
| Cullinan Holdco Scsp†(c) | | 4.625% | | 10/15/2026 | | EUR | 100,000 | | | | 85,575 | |
| Enviva Partners LP/Enviva Partners Finance Corp.† | | 6.50% | | 1/15/2026 | | $ | 23,000 | | | | 22,836 | |
| Sunnova Energy Corp.† | | 5.875% | | 9/1/2026 | | | 14,000 | | | | 13,177 | |
| TerraForm Power Operating LLC† | | 5.00% | | 1/31/2028 | | | 95,000 | | | | 91,428 | |
| YPF Energia Electrica SA (Argentina)†(a) | | 10.00% | | 7/25/2026 | | | 27,000 | | | | 20,448 | |
| Total | | | | | | | | | | | 233,464 | |
| | See Notes to Financial Statements. | 61 |
Schedule of Investments (continued)
SHORT DURATION HIGH YIELD FUND July 31, 2022
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount | | | Fair
Value | |
| Engineering & Construction 0.69% | | | | | | | | | | | | |
| AECOM | | 5.125% | | 3/15/2027 | | $ | 64,000 | | | $ | 65,055 | |
| Cellnex Telecom SA(c) | | 1.00% | | 4/20/2027 | | EUR | 100,000 | | | | 90,600 | |
| Weekley Homes LLC/Weekley Finance Corp.† | | 4.875% | | 9/15/2028 | | $ | 70,000 | | | | 57,690 | |
| Total | | | | | | | | | | | 213,345 | |
| | | | | | | | | | | | | |
| Entertainment 3.27% | | | | | | | | | | | | |
| AMC Entertainment Holdings, Inc.† | | 10.00% | | 6/15/2026 | | | 50,000 | | | | 39,049 | |
| Banijay Entertainment SASU(c) | | 3.50% | | 3/1/2025 | | EUR | 100,000 | | | | 98,027 | |
| Boyne USA, Inc.† | | 4.75% | | 5/15/2029 | | $ | 29,000 | | | | 27,188 | |
| Buena Vista Gaming Authority† | | 13.00% | | 4/1/2023 | | | 20,000 | | | | 20,618 | |
| Caesars Entertainment, Inc.† | | 6.25% | | 7/1/2025 | | | 184,000 | | | | 183,767 | |
| Caesars Resort Collection LLC/CRC Finco, Inc.† | | 5.75% | | 7/1/2025 | | | 31,000 | | | | 31,041 | |
| Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op | | 5.375% | | 4/15/2027 | | | 75,000 | | | | 73,206 | |
| Cinemark USA, Inc.† | | 5.875% | | 3/15/2026 | | | 35,000 | | | | 33,639 | |
| International Game Technology plc† | | 4.125% | | 4/15/2026 | | | 200,000 | | | | 191,124 | |
| Live Nation Entertainment, Inc.† | | 4.75% | | 10/15/2027 | | | 110,000 | | | | 105,057 | |
| Mohegan Gaming & Entertainment† | | 8.00% | | 2/1/2026 | | | 38,000 | | | | 34,108 | |
| Penn National Gaming, Inc.† | | 5.625% | | 1/15/2027 | | | 50,000 | | | | 46,523 | |
| Pinewood Finance Co. Ltd.†(c) | | 3.625% | | 11/15/2027 | | GBP | 100,000 | | | | 103,574 | |
| Wynn Resorts Finance LLC/Wynn Resorts Capital Corp.† | | 7.75% | | 4/15/2025 | | $ | 25,000 | | | | 25,280 | |
| Total | | | | | | | | | | | 1,012,201 | |
| | | | | | | | | | | | | |
| Environmental Control 0.29% | | | | | | | | | | | | |
| Madison IAQ LLC† | | 4.125% | | 6/30/2028 | | | 100,000 | | | | 88,630 | |
| | | | | | | | | | | | | |
| Food 1.95% | | | | | | | | | | | | |
| Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC† | | 3.25% | | 3/15/2026 | | | 179,000 | | | | 166,559 | |
| Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC† | | 4.625% | | 1/15/2027 | | | 75,000 | | | | 70,988 | |
| B&G Foods, Inc. | | 5.25% | | 4/1/2025 | | | 50,000 | | | | 48,410 | |
| Lamb Weston Holdings, Inc.† | | 4.875% | | 5/15/2028 | | | 50,000 | | | | 48,794 | |
| Nathan’s Famous, Inc.† | | 6.625% | | 11/1/2025 | | | 18,000 | | | | 17,348 | |
| Performance Food Group, Inc.† | | 5.50% | | 10/15/2027 | | | 165,000 | | | | 162,972 | |
| Post Holdings, Inc.† | | 5.625% | | 1/15/2028 | | | 58,000 | | | | 57,206 | |
| SEG Holding LLC/SEG Finance Corp.† | | 5.625% | | 10/15/2028 | | | 35,000 | | | | 31,712 | |
| Total | | | | | | | | | | | 603,989 | |
| 62 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION HIGH YIELD FUND July 31, 2022
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount | | | Fair
Value | |
| Forest Products & Paper 0.20% | | | | | | | | | | | | |
| Mercer International, Inc. (Canada)(a) | | 5.50% | | 1/15/2026 | | $ | 65,000 | | | $ | 63,190 | |
| | | | | | | | | | | | | |
| Health Care-Products 0.13% | | | | | | | | | | | | |
| Medline Borrower LP† | | 3.875% | | 4/1/2029 | | | 45,000 | | | | 40,733 | |
| | | | | | | | | | | | | |
| Health Care-Services 5.08% | | | | | | | | | | | | |
| Acadia Healthcare Co., Inc.† | | 5.50% | | 7/1/2028 | | | 130,000 | | | | 128,570 | |
| Air Methods Corp.† | | 8.00% | | 5/15/2025 | | | 70,000 | | | | 46,748 | |
| Centene Corp. | | 2.45% | | 7/15/2028 | | | 140,000 | | | | 125,624 | |
| CHS/Community Health Systems, Inc.† | | 5.625% | | 3/15/2027 | | | 230,000 | | | | 205,181 | |
| Global Medical Response, Inc.† | | 6.50% | | 10/1/2025 | | | 52,000 | | | | 48,367 | |
| Hadrian Merger Sub, Inc.† | | 8.50% | | 5/1/2026 | | | 46,000 | | | | 43,780 | |
| HCA, Inc. | | 5.375% | | 9/1/2026 | | | 265,000 | | | | 273,689 | |
| ModivCare, Inc.† | | 5.875% | | 11/15/2025 | | | 85,000 | | | | 83,012 | |
| Molina Healthcare, Inc.† | | 4.375% | | 6/15/2028 | | | 129,000 | | | | 124,451 | |
| Select Medical Corp.† | | 6.25% | | 8/15/2026 | | | 62,000 | | | | 62,169 | |
| Tenet Healthcare Corp.† | | 4.875% | | 1/1/2026 | | | 205,000 | | | | 202,171 | |
| Tenet Healthcare Corp.† | | 6.125% | | 10/1/2028 | | | 160,000 | | | | 156,186 | |
| Tenet Healthcare Corp.† | | 6.25% | | 2/1/2027 | | | 50,000 | | | | 50,667 | |
| US Acute Care Solutions LLC† | | 6.375% | | 3/1/2026 | | | 25,000 | | | | 23,321 | |
| Total | | | | | | | | | | | 1,573,936 | |
| | | | | | | | | | | | | |
| Holding Companies-Diversified 0.31% | | | | | | | | | | | | |
| Stena International SA(c) | | 3.75% | | 2/1/2025 | | EUR | 100,000 | | | | 95,094 | |
| | | | | | | | | | | | | |
| Home Builders 1.64% | | | | | | | | | | | | |
| Century Communities, Inc.† | | 3.875% | | 8/15/2029 | | $ | 54,000 | | | | 46,048 | |
| Forestar Group, Inc.† | | 3.85% | | 5/15/2026 | | | 151,000 | | | | 133,648 | |
| Forestar Group, Inc.† | | 5.00% | | 3/1/2028 | | | 30,000 | | | | 26,367 | |
| M/I Homes, Inc. | | 4.95% | | 2/1/2028 | | | 55,000 | | | | 50,734 | |
| Meritage Homes Corp. | | 5.125% | | 6/6/2027 | | | 25,000 | | | | 24,512 | |
| Meritage Homes Corp. | | 6.00% | | 6/1/2025 | | | 17,000 | | | | 17,265 | |
| New Home Co., Inc. (The)† | | 7.25% | | 10/15/2025 | | | 48,000 | | | | 39,103 | |
| Taylor Morrison Communities, Inc.† | | 5.875% | | 6/15/2027 | | | 60,000 | | | | 61,369 | |
| TRI Pointe Group, Inc./TRI Pointe Homes, Inc. | | 5.875% | | 6/15/2024 | | | 50,000 | | | | 50,395 | |
| Tri Pointe Homes, Inc. | | 5.25% | | 6/1/2027 | | | 60,000 | | | | 57,710 | |
| Total | | | | | | | | | | | 507,151 | |
| | See Notes to Financial Statements. | 63 |
Schedule of Investments (continued)
SHORT DURATION HIGH YIELD FUND July 31, 2022
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount | | | Fair
Value | |
| Insurance 0.90% | | | | | | | | | | |
| Acrisure LLC/Acrisure Finance, Inc.† | | 7.00% | | 11/15/2025 | | $ | 50,000 | | | $ | 48,050 | |
| Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer† | | 4.25% | | 10/15/2027 | | | 85,000 | | | | 79,338 | |
| Global Atlantic Fin Co.† | | 4.70%
(5 Yr. Treasury CMT + 3.80% | )# | 10/15/2051 | | | 20,000 | | | | 16,595 | |
| GTCR AP Finance, Inc.† | | 8.00% | | 5/15/2027 | | | 50,000 | | | | 49,228 | |
| HUB International Ltd.† | | 7.00% | | 5/1/2026 | | | 35,000 | | | | 34,602 | |
| Liberty Mutual Group, Inc.† | | 4.125%
(5 Yr. Treasury CMT + 3.32% | )# | 12/15/2051 | | | 60,000 | | | | 49,978 | |
| Total | | | | | | | | | | | 277,791 | |
| | | | | | | | | | | | | |
| Internet 0.68% | | | | | | | | | | | | |
| Cogent Communications Group, Inc.† | | 3.50% | | 5/1/2026 | | | 45,000 | | | | 42,499 | |
| Millennium Escrow Corp.† | | 6.625% | | 8/1/2026 | | | 20,000 | | | | 15,741 | |
| Netflix, Inc.† | | 3.625% | | 6/15/2025 | | | 106,000 | | | | 104,473 | |
| Twitter, Inc.† | | 3.875% | | 12/15/2027 | | | 50,000 | | | | 47,647 | |
| Total | | | | | | | | | | | 210,360 | |
| | | | | | | | | | | | | |
| Iron-Steel 0.41% | | | | | | | | | | | | |
| Baffinland Iron Mines Corp./Baffinland Iron Mines LP (Canada)†(a) | | 8.75% | | 7/15/2026 | | | 13,000 | | | | 10,834 | |
| Cleveland-Cliffs, Inc.† | | 6.75% | | 3/15/2026 | | | 70,000 | | | | 72,188 | |
| United States Steel Corp. | | 6.875% | | 3/1/2029 | | | 45,000 | | | | 43,286 | |
| Total | | | | | | | | | | | 126,308 | |
| | | | | | | | | | | | | |
| Leisure Time 1.08% | | | | | | | | | | | | |
| Carnival Corp.† | | 4.00% | | 8/1/2028 | | | 30,000 | | | | 26,228 | |
| Life Time, Inc.† | | 5.75% | | 1/15/2026 | | | 34,000 | | | | 32,003 | |
| Lindblad Expeditions LLC† | | 6.75% | | 2/15/2027 | | | 46,000 | | | | 42,317 | |
| Pinnacle Bidco plc (United Kingdom)(c) | | 5.50% | | 2/15/2025 | | EUR | 100,000 | | | | 96,699 | |
| Royal Caribbean Cruises Ltd.† | | 11.50% | | 6/1/2025 | | $ | 127,000 | | | | 136,221 | |
| Total | | | | | | | | | | | 333,468 | |
| | | | | | | | | | | | | |
| Lodging 2.83% | | | | | | | | | | | | |
| Boyd Gaming Corp. | | 4.75% | | 12/1/2027 | | | 95,000 | | | | 91,524 | |
| Full House Resorts, Inc.† | | 8.25% | | 2/15/2028 | | | 51,000 | | | | 41,641 | |
| Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Esc† | | 5.00% | | 6/1/2029 | | | 35,000 | | | | 31,045 | |
| Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp. | | 4.875% | | 4/1/2027 | | | 30,000 | | | | 29,530 | |
| Las Vegas Sands Corp. | | 3.50% | | 8/18/2026 | | | 60,000 | | | | 56,118 | |
| 64 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION HIGH YIELD FUND July 31, 2022
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount | | | Fair
Value | |
| Lodging (continued) | | | | | | | | | | | | |
| Marriott Ownership Resorts, Inc. | | 4.75% | | 1/15/2028 | | $ | 125,000 | | | $ | 113,443 | |
| MGM Resorts International | | 4.75% | | 10/15/2028 | | | 95,000 | | | | 86,216 | |
| MGM Resorts International | | 5.50% | | 4/15/2027 | | | 121,000 | | | | 117,588 | |
| MGM Resorts International | | 5.75% | | 6/15/2025 | | | 15,000 | | | | 14,842 | |
| Travel and Leisure Co.† | | 6.625% | | 7/31/2026 | | | 79,000 | | | | 80,440 | |
| Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.† | | 4.25% | | 5/30/2023 | | | 14,000 | | | | 13,912 | |
| Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.† | | 5.25% | | 5/15/2027 | | | 195,000 | | | | 181,338 | |
| Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.† | | 5.50% | | 3/1/2025 | | | 17,000 | | | | 16,770 | |
| Total | | | | | | | | | | | 874,407 | |
| | | | | | | | | | | | | |
| Machinery: Construction & Mining 0.19% | | | | | | | | | | | | |
| Manitowoc Co., Inc. (The)† | | 9.00% | | 4/1/2026 | | | 62,000 | | | | 57,828 | |
| | | | | | | | | | | | | |
| Machinery-Diversified 0.55% | | | | | | | | | | | | |
| ATS Automation Tooling Systems, Inc. (Canada)†(a) | | 4.125% | | 12/15/2028 | | | 85,000 | | | | 75,461 | |
| Granite US Holdings Corp.† | | 11.00% | | 10/1/2027 | | | 101,000 | | | | 94,188 | |
| Total | | | | | | | | | | | 169,649 | |
| | | | | | | | | | | | | |
| Media 5.29% | | | | | | | | | | | | |
| AMC Networks, Inc. | | 4.75% | | 8/1/2025 | | | 105,000 | | | | 100,920 | |
| CCO Holdings LLC/CCO Holdings Capital Corp.† | | 5.125% | | 5/1/2027 | | | 130,000 | | | | 127,527 | |
| CCO Holdings LLC/CCO Holdings Capital Corp.† | | 5.375% | | 6/1/2029 | | | 145,000 | | | | 138,439 | |
| CSC Holdings LLC | | 5.25% | | 6/1/2024 | | | 80,000 | | | | 79,292 | |
| Diamond Sports Group LLC/Diamond Sports Finance Co.† | | 5.375% | | 8/15/2026 | | | 14,000 | | | | 3,098 | |
| Directv Financing LLC/Directv Financing Co.-Obligor, Inc.† | | 5.875% | | 8/15/2027 | | | 65,000 | | | | 60,668 | |
| DISH DBS Corp.† | | 5.25% | | 12/1/2026 | | | 90,000 | | | | 78,019 | |
| DISH DBS Corp. | | 5.875% | | 11/15/2024 | | | 100,000 | | | | 92,291 | |
| Gray Television, Inc.† | | 7.00% | | 5/15/2027 | | | 50,000 | | | | 50,382 | |
| LCPR Senior Secured Financing DAC (Ireland)†(a) | | 6.75% | | 10/15/2027 | | | 200,000 | | | | 194,728 | |
| Nexstar Media, Inc.† | | 5.625% | | 7/15/2027 | | | 115,000 | | | | 115,507 | |
| Sirius XM Radio, Inc.† | | 3.125% | | 9/1/2026 | | | 145,000 | | | | 137,048 | |
| Univision Communications, Inc.† | | 5.125% | | 2/15/2025 | | | 175,000 | | | | 170,391 | |
| Virgin Media Vendor Financing Notes III DAC(c) | | 4.875% | | 7/15/2028 | | GBP | 100,000 | | | | 106,473 | |
| Virgin Media Vendor Financing Notes IV DAC (Ireland)†(a) | | 5.00% | | 7/15/2028 | | | 200,000 | | | | 183,000 | |
| Total | | | | | | | | | | | 1,637,783 | |
| | See Notes to Financial Statements. | 65 |
Schedule of Investments (continued)
SHORT DURATION HIGH YIELD FUND July 31, 2022
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount | | | Fair
Value | |
| Mining 1.87% | | | | | | | | | | |
| Compass Minerals International, Inc.† | | 4.875% | | 7/15/2024 | | $ | 32,000 | | | $ | 29,805 | |
| FMG Resources August 2006 Pty Ltd. (Australia)†(a) | | 4.50% | | 9/15/2027 | | | 114,000 | | | | 105,362 | |
| FMG Resources August 2006 Pty Ltd. (Australia)†(a) | | 5.125% | | 5/15/2024 | | | 27,000 | | | | 27,264 | |
| Hecla Mining Co. | | 7.25% | | 2/15/2028 | | | 73,000 | | | | 72,011 | |
| Hudbay Minerals, Inc. (Canada)†(a) | | 4.50% | | 4/1/2026 | | | 115,000 | | | | 95,436 | |
| Novelis Corp.† | | 3.25% | | 11/15/2026 | | | 96,000 | | | | 89,487 | |
| Taseko Mines Ltd. (Canada)†(a) | | 7.00% | | 2/15/2026 | | | 39,000 | | | | 31,233 | |
| Vedanta Resources Ltd. (India)†(a) | | 6.125% | | 8/9/2024 | | | 200,000 | | | | 127,398 | |
| Total | | | | | | | | | | | 577,996 | |
| | | | | | | | | | | | | |
| Miscellaneous Manufacturing 0.84% | | | | | | | | | | | | |
| Hillenbrand, Inc. | | 5.00% | | 9/15/2026 | | | 130,000 | | | | 126,583 | |
| LSB Industries, Inc.† | | 6.25% | | 10/15/2028 | | | 81,000 | | | | 73,592 | |
| Trinity Industries, Inc. | | 4.55% | | 10/1/2024 | | | 62,000 | | | | 60,967 | |
| Total | | | | | | | | | | | 261,142 | |
| | | | | | | | | | | | | |
| Oil & Gas 14.09% | | | | | | | | | | | | |
| Aethon United BR LP/Aethon United Finance Corp.† | | 8.25% | | 2/15/2026 | | | 148,000 | | | | 153,151 | |
| Baytex Energy Corp. (Canada)†(a) | | 8.75% | | 4/1/2027 | | | 82,000 | | | | 83,647 | |
| Berry Petroleum Co. LLC† | | 7.00% | | 2/15/2026 | | | 157,000 | | | | 147,939 | |
| California Resources Corp.† | | 7.125% | | 2/1/2026 | | | 134,000 | | | | 133,810 | |
| Callon Petroleum Co. | | 6.375% | | 7/1/2026 | | | 84,000 | | | | 80,620 | |
| Calumet Specialty Products Partners LP/Calumet Finance Corp.† | | 8.125% | | 1/15/2027 | | | 55,000 | | | | 47,507 | |
| Centennial Resource Production LLC† | | 5.375% | | 1/15/2026 | | | 112,000 | | | | 102,759 | |
| Centennial Resource Production LLC† | | 6.875% | | 4/1/2027 | | | 55,000 | | | | 52,638 | |
| Chesapeake Energy Corp.† | | 5.50% | | 2/1/2026 | | | 55,000 | | | | 55,205 | |
| Citgo Holding, Inc.† | | 9.25% | | 8/1/2024 | | | 75,000 | | | | 74,857 | |
| CITGO Petroleum Corp.† | | 6.375% | | 6/15/2026 | | | 45,000 | | | | 43,261 | |
| CITGO Petroleum Corp.† | | 7.00% | | 6/15/2025 | | | 65,000 | | | | 64,105 | |
| Civitas Resources, Inc.† | | 5.00% | | 10/15/2026 | | | 137,000 | | | | 128,903 | |
| CNX Resources Corp.† | | 7.25% | | 3/14/2027 | | | 120,000 | | | | 121,654 | |
| Colgate Energy Partners III LLC† | | 5.875% | | 7/1/2029 | | | 50,000 | | | | 45,851 | |
| Colgate Energy Partners III LLC† | | 7.75% | | 2/15/2026 | | | 75,000 | | | | 73,679 | |
| Crescent Energy Finance LLC† | | 7.25% | | 5/1/2026 | | | 173,000 | | | | 160,528 | |
| CrownRock LP/CrownRock Finance, Inc.† | | 5.625% | | 10/15/2025 | | | 47,000 | | | | 46,989 | |
| 66 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION HIGH YIELD FUND July 31, 2022
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount | | | Fair
Value | |
| Oil & Gas (continued) | | | | | | | | | | | | |
| Earthstone Energy Holdings LLC† | | 8.00% | | 4/15/2027 | | $ | 153,000 | | | $ | 146,606 | |
| Encino Acquisition Partners Holdings LLC† | | 8.50% | | 5/1/2028 | | | 155,000 | | | | 151,900 | |
| EQT Corp.† | | 3.125% | | 5/15/2026 | | | 45,000 | | | | 43,269 | |
| Geopark Ltd. (Colombia)†(a) | | 5.50% | | 1/17/2027 | | | 200,000 | | | | 172,354 | |
| Gulfport Energy Operating Corp.† | | 8.00% | | 5/17/2026 | | | 64,731 | | | | 65,130 | |
| Laredo Petroleum, Inc. | | 9.50% | | 1/15/2025 | | | 150,000 | | | | 153,927 | |
| Magnolia Oil & Gas Operating LLC/Magnolia Oil & Gas Finance Corp.† | | 6.00% | | 8/1/2026 | | | 97,000 | | | | 92,565 | |
| Matador Resources Co. | | 5.875% | | 9/15/2026 | | | 187,000 | | | | 190,504 | |
| MEG Energy Corp. (Canada)†(a) | | 5.875% | | 2/1/2029 | | | 45,000 | | | | 42,821 | |
| Murphy Oil Corp. | | 6.375% | | 7/15/2028 | | | 35,000 | | | | 34,993 | |
| Nabors Industries, Inc. | | 5.75% | | 2/1/2025 | | | 33,000 | | | | 30,307 | |
| Nabors Industries, Inc.† | | 7.375% | | 5/15/2027 | | | 20,000 | | | | 19,833 | |
| Nabors Industries, Inc.† | | 9.00% | | 2/1/2025 | | | 40,000 | | | | 40,150 | |
| Oasis Petroleum, Inc.† | | 6.375% | | 6/1/2026 | | | 160,000 | | | | 157,770 | |
| Occidental Petroleum Corp. | | 5.55% | | 3/15/2026 | | | 325,000 | | | | 334,355 | |
| Occidental Petroleum Corp. | | 8.00% | | 7/15/2025 | | | 30,000 | | | | 33,043 | |
| PBF Holding Co. LLC/PBF Finance Corp. | | 7.25% | | 6/15/2025 | | | 43,000 | | | | 42,493 | |
| PDC Energy, Inc. | | 5.75% | | 5/15/2026 | | | 185,000 | | | | 181,069 | |
| Penn Virginia Holdings LLC† | | 9.25% | | 8/15/2026 | | | 109,000 | | | | 107,501 | |
| Petroleos Mexicanos (Mexico)(a) | | 6.49% | | 1/23/2027 | | | 135,000 | | | | 122,812 | |
| Precision Drilling Corp. (Canada)†(a) | | 6.875% | | 1/15/2029 | | | 41,000 | | | | 36,833 | |
| Precision Drilling Corp. (Canada)†(a) | | 7.125% | | 1/15/2026 | | | 16,000 | | | | 14,870 | |
| Range Resources Corp. | | 4.875% | | 5/15/2025 | | | 147,000 | | | | 146,860 | |
| SM Energy Co. | | 6.625% | | 1/15/2027 | | | 25,000 | | | | 24,950 | |
| SM Energy Co. | | 6.75% | | 9/15/2026 | | | 25,000 | | | | 24,781 | |
| Southwestern Energy Co. | | 5.375% | | 2/1/2029 | | | 30,000 | | | | 29,368 | |
| Tap Rock Resources LLC† | | 7.00% | | 10/1/2026 | | | 120,000 | | | | 113,520 | |
| Vermilion Energy, Inc. (Canada)†(a) | | 5.625% | | 3/15/2025 | | | 65,000 | | | | 63,834 | |
| W&T Offshore, Inc.† | | 9.75% | | 11/1/2023 | | | 130,000 | | | | 125,791 | |
| Total | | | | | | | | | | | 4,361,312 | |
| | | | | | | | | | | | | |
| Oil & Gas Services 2.12% | | | | | | | | | | | | |
| Bristow Group, Inc.† | | 6.875% | | 3/1/2028 | | | 33,000 | | | | 29,388 | |
| Exterran Energy Solutions LP/EES Finance Corp. | | 8.125% | | 5/1/2025 | | | 50,000 | | | | 47,891 | |
| Oceaneering International, Inc. | | 4.65% | | 11/15/2024 | | | 182,000 | | | | 171,398 | |
| USA Compression Partners LP/USA Compression Finance Corp. | | 6.875% | | 4/1/2026 | | | 59,000 | | | | 55,400 | |
| | See Notes to Financial Statements. | 67 |
Schedule of Investments (continued)
SHORT DURATION HIGH YIELD FUND July 31, 2022
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount | | | Fair
Value | |
| Oil & Gas Services (continued) | | | | | | | | | | | | |
| USA Compression Partners LP/USA Compression Finance Corp. | | 6.875% | | 9/1/2027 | | $ | 38,000 | | | $ | 34,806 | |
| Weatherford International Ltd.† | | 6.50% | | 9/15/2028 | | | 25,000 | | | | 23,831 | |
| Weatherford International Ltd.† | | 11.00% | | 12/1/2024 | | | 100,000 | | | | 101,402 | |
| Welltec International ApS (Denmark)†(a) | | 8.25% | | 10/15/2026 | | | 200,000 | | | | 192,335 | |
| Total | | | | | | | | | | | 656,451 | |
| | | | | | | | | | | | | |
| Packaging & Containers 2.04% | | | | | | | | | | | | |
| Berry Global, Inc.† | | 4.875% | | 7/15/2026 | | | 79,000 | | | | 77,681 | |
| Berry Global, Inc.† | | 5.625% | | 7/15/2027 | | | 3,000 | | | | 3,032 | |
| Century Communities, Inc. | | 6.75% | | 6/1/2027 | | | 60,000 | | | | 61,050 | |
| General Electric Co. | | 5.159%
(3 Mo. LIBOR + 3.33% | )# | – | (b) | | 97,000 | | | | 90,816 | |
| LABL, Inc.† | | 6.75% | | 7/15/2026 | | | 60,000 | | | | 58,215 | |
| Mauser Packaging Solutions Holding Co.† | | 5.50% | | 4/15/2024 | | | 85,000 | | | | 84,176 | |
| Pactiv LLC | | 7.95% | | 12/15/2025 | | | 40,000 | | | | 35,700 | |
| Sealed Air Corp.† | | 5.50% | | 9/15/2025 | | | 50,000 | | | | 51,071 | |
| Silgan Holdings, Inc. | | 4.125% | | 2/1/2028 | | | 146,000 | | | | 137,083 | |
| Trident TPI Holdings, Inc.† | | 9.25% | | 8/1/2024 | | | 36,000 | | | | 33,212 | |
| Total | | | | | | | | | | | 632,036 | |
| | | | | | | | | | | | | |
| Pharmaceuticals 1.78% | | | | | | | | | | | | |
| Grifols SA(c) | | 2.25% | | 11/15/2027 | | EUR | 100,000 | | | | 91,709 | |
| Horizon Therapeutics USA, Inc.† | | 5.50% | | 8/1/2027 | | $ | 200,000 | | | | 198,712 | |
| Option Care Health, Inc.† | | 4.375% | | 10/31/2029 | | | 86,000 | | | | 78,580 | |
| Teva Pharmaceutical Finance Netherlands III BV (Netherlands)(a) | | 3.15% | | 10/1/2026 | | | 200,000 | | | | 180,927 | |
| Total | | | | | | | | | | | 549,928 | |
| | | | | | | | | | | | | |
| Pipelines 2.30% | | | | | | | | | | | | |
| Antero Midstream Partners LP/Antero Midstream Finance Corp.† | | 7.875% | | 5/15/2026 | | | 82,000 | | | | 85,925 | |
| Buckeye Partners LP | | 3.95% | | 12/1/2026 | | | 71,000 | | | | 66,203 | |
| Buckeye Partners LP† | | 4.125% | | 3/1/2025 | | | 42,000 | | | | 40,584 | |
| Buckeye Partners LP | | 6.375%
(3 Mo. LIBOR + 4.02% | )# | 1/22/2078 | | | 53,000 | | | | 44,006 | |
| Cheniere Energy Partners LP | | 4.50% | | 10/1/2029 | | | 40,000 | | | | 38,858 | |
| Delek Logistics Partners LP/Delek Logistics Finance Corp.† | | 7.125% | | 6/1/2028 | | | 45,000 | | | | 41,132 | |
| EQM Midstream Partners LP | | 4.125% | | 12/1/2026 | | | 65,000 | | | | 60,022 | |
| Northriver Midstream Finance LP (Canada)†(a) | | 5.625% | | 2/15/2026 | | | 98,000 | | | | 96,961 | |
| 68 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION HIGH YIELD FUND July 31, 2022
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount | | | Fair
Value | |
| Pipelines (continued) | | | | | | | | | | | | |
| PBF Logistics LP/PBF Logistics Finance Corp. | | 6.875% | | 5/15/2023 | | $ | 65,000 | | | $ | 65,182 | |
| Venture Global Calcasieu Pass LLC† | | 3.875% | | 8/15/2029 | | | 35,000 | | | | 32,379 | |
| Western Midstream Operating LP | | 3.95% | | 6/1/2025 | | | 141,000 | | | | 139,706 | |
| Total | | | | | | | | | | | 710,958 | |
| | | | | | | | | | | | | |
| Real Estate 0.97% | | | | | | | | | | | | |
| Canary Wharf Group Investment Holdings plc(c) | | 3.375% | | 4/23/2028 | | GBP | 100,000 | | | | 110,023 | |
| Starwood Property Trust, Inc.† | | 4.375% | | 1/15/2027 | | $ | 105,000 | | | | 96,428 | |
| Vivion Investments Sarl(c) | | 3.00% | | 8/8/2024 | | EUR | 100,000 | | | | 93,748 | |
| Total | | | | | | | | | | | 300,199 | |
| | | | | | | | | | | | | |
| REITS 3.40% | | | | | | | | | | | | |
| Blackstone Mortgage Trust, Inc.† | | 3.75% | | 1/15/2027 | | $ | 34,000 | | | | 30,315 | |
| HAT Holdings I LLC/HAT Holdings II LLC† | | 3.375% | | 6/15/2026 | | | 68,000 | | | | 59,990 | |
| HAT Holdings I LLC/HAT Holdings II LLC† | | 6.00% | | 4/15/2025 | | | 119,000 | | | | 116,326 | |
| IIP Operating Partnership LP | | 5.50% | | 5/25/2026 | | | 50,000 | | | | 43,251 | |
| Iron Mountain, Inc.† | | 4.875% | | 9/15/2027 | | | 70,000 | | | | 67,010 | |
| Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.† | | 4.25% | | 2/1/2027 | | | 51,000 | | | | 45,549 | |
| Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.† | | 5.25% | | 10/1/2025 | | | 58,000 | | | | 54,889 | |
| Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer† | | 5.875% | | 10/1/2028 | | | 90,000 | | | | 88,362 | |
| SBA Communications Corp. | | 3.875% | | 2/15/2027 | | | 105,000 | | | | 100,306 | |
| Service Properties Trust | | 7.50% | | 9/15/2025 | | | 70,000 | | | | 67,957 | |
| Starwood Property Trust, Inc.† | | 3.75% | | 12/31/2024 | | | 84,000 | | | | 81,117 | |
| VICI Properties LP/VICI Note Co., Inc.† | | 3.50% | | 2/15/2025 | | | 103,000 | | | | 97,464 | |
| VICI Properties LP/VICI Note Co., Inc.† | | 3.75% | | 2/15/2027 | | | 35,000 | | | | 32,108 | |
| VICI Properties LP/VICI Note Co., Inc.† | | 4.25% | | 12/1/2026 | | | 50,000 | | | | 47,071 | |
| VICI Properties LP/VICI Note Co., Inc.† | | 4.625% | | 6/15/2025 | | | 8,000 | | | | 7,775 | |
| VICI Properties LP/VICI Note Co., Inc.† | | 5.625% | | 5/1/2024 | | | 36,000 | | | | 36,061 | |
| XHR LP† | | 6.375% | | 8/15/2025 | | | 75,000 | | | | 75,610 | |
| Total | | | | | | | | | | | 1,051,161 | |
| | | | | | | | | | | | | |
| Retail 3.40% | | | | | | | | | | | | |
| 1011778 BC ULC/New Red Finance, Inc. (Canada)†(a) | | 3.50% | | 2/15/2029 | | | 125,000 | | | | 114,046 | |
| Afflelou SAS(c) | | 4.25% | | 5/19/2026 | | EUR | 100,000 | | | | 93,390 | |
| BCPE Ulysses Intermediate, Inc. PIK 8.50%† | | 7.75% | | 4/1/2027 | | $ | 55,000 | | | | 38,527 | |
| Beacon Roofing Supply, Inc.† | | 4.50% | | 11/15/2026 | | | 95,000 | | | | 91,890 | |
| | See Notes to Financial Statements. | 69 |
Schedule of Investments (continued)
SHORT DURATION HIGH YIELD FUND July 31, 2022
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount | | | Fair
Value | |
| Retail (continued) | | | | | | | | | | | | |
| Brinker International, Inc.† | | 5.00% | | 10/1/2024 | | $ | 50,000 | | | $ | 47,808 | |
| Golden Goose SpA†(c) | | 4.875%
(3 Mo. EURIBOR + 4.87% | )# | 5/14/2027 | | EUR | 100,000 | | | | 88,905 | |
| GPS Hospitality Holding Co. LLC/GPS Finco, Inc.† | | 7.00% | | 8/15/2028 | | $ | 43,000 | | | | 27,936 | |
| IRB Holding Corp.† | | 7.00% | | 6/15/2025 | | | 50,000 | | | | 51,200 | |
| Ken Garff Automotive LLC† | | 4.875% | | 9/15/2028 | | | 28,000 | | | | 23,137 | |
| LBM Acquisition LLC† | | 6.25% | | 1/15/2029 | | | 16,000 | | | | 12,119 | |
| Lithia Motors, Inc.† | | 4.625% | | 12/15/2027 | | | 80,000 | | | | 76,272 | |
| Nordstrom, Inc. | | 4.00% | | 3/15/2027 | | | 60,000 | | | | 55,034 | |
| Park River Holdings, Inc.† | | 5.625% | | 2/1/2029 | | | 50,000 | | | | 32,431 | |
| Party City Holdings, Inc.† | | 6.125% | | 8/15/2023 | | | 17,000 | | | | 13,714 | |
| Party City Holdings, Inc.† | | 6.625% | | 8/1/2026 | | | 20,000 | | | | 10,300 | |
| Party City Holdings, Inc.† | | 8.75% | | 2/15/2026 | | | 27,000 | | | | 16,430 | |
| Penske Automotive Group, Inc. | | 3.50% | | 9/1/2025 | | | 75,000 | | | | 72,414 | |
| Specialty Building Products Holdings LLC/SBP Finance Corp.† | | 6.375% | | 9/30/2026 | | | 48,000 | | | | 42,844 | |
| SRS Distribution, Inc.† | | 4.625% | | 7/1/2028 | | | 104,000 | | | | 97,378 | |
| White Cap Buyer LLC† | | 6.875% | | 10/15/2028 | | | 55,000 | | | | 46,603 | |
| Total | | | | | | | | | | | 1,052,378 | |
| | | | | | | | | | | | | |
| Semiconductors 0.10% | | | | | | | | | | | | |
| Entegris Escrow Corp.† | | 4.75% | | 4/15/2029 | | | 32,000 | | | | 30,880 | |
| | | | | | | | | | | | | |
| Software 0.61% | | | | | | | | | | | | |
| PTC, Inc.† | | 3.625% | | 2/15/2025 | | | 129,000 | | | | 125,933 | |
| SS&C Technologies, Inc.† | | 5.50% | | 9/30/2027 | | | 31,000 | | | | 30,616 | |
| ZoomInfo Technologies LLC/ZoomInfo Finance Corp.† | | 3.875% | | 2/1/2029 | | | 37,000 | | | | 33,159 | |
| Total | | | | | | | | | | | 189,708 | |
| | | | | | | | | | | | | |
| Telecommunications 2.60% | | | | | | | | | | | | |
| Lumen Technologies, Inc.† | | 4.00% | | 2/15/2027 | | | 153,000 | | | | 141,153 | |
| Maxar Technologies, Inc.† | | 7.75% | | 6/15/2027 | | | 88,000 | | | | 90,175 | |
| Sprint Capital Corp. | | 6.875% | | 11/15/2028 | | | 100,000 | | | | 112,386 | |
| Sprint Corp. | | 7.625% | | 3/1/2026 | | | 235,000 | | | | 256,581 | |
| T-Mobile USA, Inc. | | 2.25% | | 2/15/2026 | | | 175,000 | | | | 163,377 | |
| Vodafone Group plc (United Kingdom)(a) | | 3.25%
(5 Yr. Treasury CMT + 2.45% | )# | 6/4/2081 | | | 45,000 | | | | 40,125 | |
| Total | | | | | | | | | | | 803,797 | |
| 70 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION HIGH YIELD FUND July 31, 2022
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount | | | Fair
Value | |
| Total Trucking & Leasing 0.38% | | | | | | | | | | | | |
| Fly Leasing Ltd. (Ireland)†(a) | | 7.00% | | 10/15/2024 | | $ | 60,000 | | | $ | 32,996 | |
| Fortress Transportation and Infrastructure Investors LLC† | | 6.50% | | 10/1/2025 | | | 86,000 | | | | 85,722 | |
| Total | | | | | | | | | | | 118,718 | |
| | | | | | | | | | | | | |
| Transportation 0.06% | | | | | | | | | | | | |
| Carriage Purchaser, Inc.† | | 7.875% | | 10/15/2029 | | | 25,000 | | | | 17,475 | |
| | | | | | | | | | | | | |
| Water 0.17% | | | | | | | | | | | | |
| Solaris Midstream Holdings LLC† | | 7.625% | | 4/1/2026 | | | 55,000 | | | | 53,358 | |
| Total Corporate Bonds (cost $28,289,934) | | | | | | | | | | | 27,279,270 | |
| | | | | | | | | | | | | |
| FLOATING RATE LOANS(f) 3.61% | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| Apparel 0.18% | | | | | | | | | | | | |
| Birkenstock GmbH & Co. KG USD Term Loan B (Germany)(a) | | – | (g) | 4/28/2028 | | | 59,849 | | | | 56,183 | |
| | | | | | | | | | | | | |
| Auto Parts & Equipment 0.26% | | | | | | | | | | | | |
| Chassix Inc. 2017 1st Lien Term Loan | 7.063% - 7.56%
(3 Mo. LIBOR + 5.50%
(6 Mo. LIBOR + 5.50% |
)
) | 11/15/2023 | | | 94,083 | | | | 81,429 | |
| | | | | | | | | | | | | |
| Building Materials 0.15% | | | | | | | | | | | | |
| ACProducts, Inc. 2021 Term Loan B | | – | (g) | 5/17/2028 | | | 65,000 | | | | 47,008 | |
| | | | | | | | | | | | | |
| Coal 0.45% | | | | | | | | | | | | |
| Peabody Energy Corporation 2018 Term Loan | 5.05%
(1 Mo. LIBOR + 2.75% | ) | 3/31/2025 | | | 149,354 | | | | 139,065 | |
| | | | | | | | | | | | | |
| Computers 0.06% | | | | | | | | | | | | |
| Magenta Buyer LLC 2021 USD 1st Lien Term Loan | 7.05%
(1 Mo. LIBOR + 4.75% | ) | 7/27/2028 | | | 19,958 | | | | 19,028 | |
| | | | | | | | | | | | | |
| Electric 0.35% | | | | | | | | | | | | |
| Helix Gen Funding, LLC Term Loan B | 6.122%
(1 Mo. LIBOR + 3.75% | ) | 6/3/2024 | | | 61,171 | | | | 56,599 | |
| Kestrel Acquisition, LLC 2018 Term Loan B | 6.63%
(1 Mo. LIBOR + 4.25% | ) | 6/2/2025 | | | 54,574 | | | | 51,154 | |
| Total | | | | | | | | | | | 107,753 | |
| | See Notes to Financial Statements. | 71 |
Schedule of Investments (continued)
SHORT DURATION HIGH YIELD FUND July 31, 2022
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount | | | Fair
Value | |
| Energy: Alternate Sources 0.15% | | | | | | | | | | | | |
| CPV Shore Holdings, LLC Term Loan | 6.13%
(1 Mo. LIBOR + 3.75% | ) | 12/29/2025 | | $ | 25,069 | | | $ | 22,918 | |
| Oregon Clean Energy, LLC Term Loan | 6.122%
(1 Mo. LIBOR + 3.75% | ) | 3/1/2026 | | | 24,226 | | | | 22,873 | |
| Total | | | | | | | | | | | 45,791 | |
| | | | | | | | | | | | | |
| Engineering & Construction 0.05% | | | | | | | | | | | | |
| USIC Holdings, Inc. 2021 2nd Lien Term Loan | 8.872%
(1 Mo. LIBOR + 6.50% | ) | 5/14/2029 | | | 16,454 | | | | 15,001 | |
| | | | | | | | | | | | | |
| Entertainment 0.13% | | | | | | | | | | | | |
| Vue International Bidco p.l.c. 2019 EUR Term Loan B(c)(e) | | – | (g) | 7/3/2026 | | EUR | 51,659 | | | | 39,186 | |
| | | | | | | | | | | | | |
| Health Care Products 0.08% | | | | | | | | | | | | |
| Maravai Intermediate Holdings, LLC 2022 Term Loan B | | 5.553%
(SOFR + 3.00% | ) | 10/19/2027 | | $ | 26,074 | | | | 25,651 | |
| | | | | | | | | | | | | |
| Health Care Services 0.36% | | | | | | | | | | | | |
| EyeCare Partners, LLC 2021 Incremental Term Loan | 6.00%
(3 Mo. LIBOR + 3.75% | ) | 11/15/2028 | | | 49,875 | | | | 46,592 | |
| National Mentor Holdings, Inc. 2021 Term Loan C | 6.01%
(3 Mo. LIBOR + 3.75% | ) | 3/2/2028 | | | 2,025 | | | | 1,731 | |
| National Mentor Holdings, Inc. 2021 Term Loan | 6.01% - 6.13%
(3 Mo. LIBOR + 3.75%
(1 Mo. LIBOR + 3.75% |
)
) | 3/2/2028 | | | 68,503 | | | | 58,558 | |
| SCP Eye Care Services, LLC 2021 Delayed Draw Term Loan(h) | | 4.50% | | 3/16/2028 | | | 882 | | | | 845 | |
| SCP Eye Care Services, LLC 2021 Term Loan | 6.75%
(3 Mo. LIBOR + 4.50% | ) | 3/16/2028 | | | 5,039 | | | | 4,825 | |
| Total | | | | | | | | | | | 112,551 | |
| | | | | | | | | | | | | |
| Information Technology 0.08% | | | | | | | | | | | | |
| Riverbed Technology, Inc. 2021 PIK Exit Term Loan PIK 2.00% | | 7.63% | | 12/7/2026 | | | 52,112 | | | | 24,835 | |
| | | | | | | | | | | | | |
| Internet 0.04% | | | | | | | | | | | | |
| Anastasia Parent, LLC 2018 Term Loan B | 6.00%
(3 Mo. LIBOR + 3.75% | ) | 8/10/2025 | | | 13,915 | | | | 10,765 | |
| 72 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION HIGH YIELD FUND July 31, 2022
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount | | | Fair
Value | |
| Leisure Time 0.26% | | | | | | | | | | | | |
| Bulldog Purchaser Inc. 2018 Term Loan | 5.325%
(3 Mo. LIBOR + 3.75% | ) | 9/5/2025 | | $ | 15,686 | | | $ | 14,441 | |
| Equinox Holdings, Inc. 2020 Term Loan B2 | 11.25%
(3 Mo. LIBOR + 9.00% | ) | 3/8/2024 | | | 13,583 | | | | 12,072 | |
| Gibson Brands Inc. 2021 Term Loan | 6.411%
(3 Mo. LIBOR + 5.00% | ) | 8/11/2028 | | | 40,323 | | | | 34,880 | |
| Travel Leaders Group, LLC 2018 Term Loan B | 6.372%
(1 Mo. LIBOR + 4.00% | ) | 1/25/2024 | | | 21,938 | | | | 19,840 | |
| Total | | | | | | | | | | | 81,233 | |
| | | | | | | | | | | | | |
| Machinery: Diversified 0.05% | | | | | | | | | | | | |
| CMBF LLC Term Loan | 7.872%
(1 Mo. LIBOR + 6.00% | ) | 8/2/2028 | | | 16,448 | | | | 15,050 | |
| | | | | | | | | | | | | |
| Media 0.15% | | | | | | | | | | | | |
| NEP/NCP Holdco, Inc. 2018 2nd Lien Term Loan | 9.372%
(1 Mo. LIBOR + 7.00% | ) | 10/19/2026 | | | 50,000 | | | | 46,250 | |
| | | | | | | | | | | | | |
| Metal Fabricate/Hardware 0.06% | | | | | | | | | | | | |
| Tank Holding Corp. 2022 Term Loan | 8.427%
(1 Mo. SOFR + 6.00% | ) | 3/31/2028 | | | 20,300 | | | | 19,412 | |
| | | | | | | | | | | | | |
| Oil & Gas 0.11% | | | | | | | | | | | | |
| Parkway Generation, LLC Term Loan B | 7.122%
(1 Mo. LIBOR + 4.75% | ) | 2/18/2029 | | | 30,625 | | | | 29,643 | |
| Parkway Generation, LLC Term Loan C | 7.122%
(1 Mo. LIBOR + 4.75% | ) | 2/18/2029 | | | 4,298 | | | | 4,162 | |
| Total | | | | | | | | | | | 33,805 | |
| | | | | | | | | | | | | |
| Oil & Gas Services 0.18% | | | | | | | | | | | | |
| Ulterra Drilling Technologies, LP Term Loan B | 7.622%
(1 Mo. LIBOR + 5.25% | ) | 11/26/2025 | | | 59,159 | | | | 56,398 | |
| | | | | | | | | | | | | |
| Paper & Forest Products 0.13% | | | | | | | | | | | | |
| Sylvamo Corporation Term Loan B | 6.872%
(1 Mo. LIBOR + 4.50% | ) | 8/18/2028 | | | 40,854 | | | | 39,066 | |
| | | | | | | | | | | | | |
| Pharmaceuticals 0.19% | | | | | | | | | | | | |
| Canopy Growth Corporation Term Loan (Canada)(a) | 11.248%
(1 Mo. LIBOR + 8.50% | ) | 3/18/2026 | | | 12,464 | | | | 10,989 | |
| Grifols Worldwide Operations USA, Inc. USD 2019 Term Loan B | 4.372%
(1 Mo. LIBOR + 2.00% | ) | 11/15/2027 | | | 50,000 | | | | 47,941 | |
| Total | | | | | | | | | | | 58,930 | |
| | See Notes to Financial Statements. | 73 |
Schedule of Investments (continued)
SHORT DURATION HIGH YIELD FUND July 31, 2022
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount | | | Fair
Value | |
| Retail 0.14% | | | | | | | | | | | | |
| Park River Holdings Inc Term Loan | 5.527%
(1 Mo. LIBOR + 3.25% | ) | 12/28/2027 | | $ | 49,874 | | | $ | 44,562 | |
| | | | | | | | | | | | | |
| Telecommunications 0.00% | | | | | | | | | | | | |
| Intelsat Jackson Holdings S.A. 2021 Exit Term Loan B (Luxembourg)(a) | | 4.50%
(SOFR + 2.94% | ) | 2/1/2029 | | | 1 | | | | 1 | |
| Total Floating Rate Loans (cost $1,192,588) | | | | | | | | | | | 1,118,953 | |
| | | | | | | | | | | | | |
| NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 0.66% | | | | | | | |
| BFLD 2019-DPLO F† | | 4.539%
(1 Mo. LIBOR + 2.54% | )# | 10/15/2034 | | | 33,000 | | | | 30,776 | |
| Great Wolf Trust 2019-WOLF B† | | 3.333%
(1 Mo. LIBOR + 1.33% | )# | 12/15/2036 | | | 15,000 | | | | 14,458 | |
| Great Wolf Trust 2019-WOLF D† | | 3.932%
(1 Mo. LIBOR + 1.93% | )# | 12/15/2036 | | | 27,000 | | | | 25,700 | |
| Great Wolf Trust 2019-WOLF E† | | 4.731%
(1 Mo. LIBOR + 2.73% | )# | 12/15/2036 | | | 17,000 | | | | 16,210 | |
| JP Morgan Chase Commercial Mortgage Securities Trust 2021-1440 E† | | 5.849%
(1 Mo. LIBOR + 3.85% | )# | 3/15/2036 | | | 100,000 | | | | 95,387 | |
| KKR Industrial Portfolio Trust 2021-KDIP D† | | 3.249%
(1 Mo. LIBOR + 1.25% | )# | 12/15/2037 | | | 7,500 | | | | 7,138 | |
| KKR Industrial Portfolio Trust 2021-KDIP E† | | 3.549%
(1 Mo. LIBOR + 1.55% | )# | 12/15/2037 | | | 7,500 | | | | 7,085 | |
| KKR Industrial Portfolio Trust 2021-KDIP F† | | 4.049%
(1 Mo. LIBOR + 2.05% | )# | 12/15/2037 | | | 7,500 | | | | 6,958 | |
| Total Non-Agency Commercial Mortgage-Backed Securities (cost $210,871) | | | | | | | | 203,712 | |
| | | | | | | | | | | |
| | | Dividend
Rate | | | | Shares | | | | |
| PREFERRED STOCKS 0.10% | | | | | | | | | | |
| | | | | | | | | | | | | |
| Commercial Banks | | | | | | | | | | | | |
| Synovus Financial Corp. (cost $31,620) | | 6.30%
(3 Mo. LIBOR + 3.35% | )# | | | | 1,200 | | | | 30,684 | |
| Total Long-Term Investments (cost $31,062,779) | | | | | | | | | | | 29,905,877 | |
| 74 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION HIGH YIELD FUND July 31, 2022
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount | | | Fair
Value | |
| SHORT-TERM INVESTMENTS 0.68% | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| REPURCHASE AGREEMENTS 0.68% | | | | | | | | | | | | |
| Repurchase Agreement dated 7/29/2022, 0.850% due 8/1/2022 with Fixed Income Clearing Corp. collateralized by $189,900 of U.S. Treasury Inflation Indexed Note at 0.125% due 10/15/2025; value: $215,678; proceeds: $211,395 (cost $211,380) | | | | | | $ | 211,380 | | | $ | 211,380 | |
| Total Investments in Securities 97.30% (cost $31,274,159) | | | | | | | | | | | 30,117,257 | |
| Less Unfunded Loan Commitments (0.00%) (cost $874)(i) | | | | | | | | | | | (845 | ) |
| Net Investments in Securities 97.30% (cost $31,273,285) | | | | | | | | | | | 30,116,412 | |
| Other Assets and Liabilities – Net(j) 2.70% | | | | | | | | | | | 836,973 | |
| Net Assets 100.00% | | | | | | | | | | $ | 30,953,385 | |
| EUR | Euro. |
| GBP | British pound. |
| CMT | Constant Maturity Rate. |
| EURIBOR | Euro Interbank Offered Rate. |
| LIBOR | London Interbank Offered Rate. |
| PIK | Payment-in-kind. |
| REIT | Real Estate Investment Trust. |
| SOFR | Secured Overnight 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 July 31, 2022, the total value of Rule 144A securities was $19,069,436, which represents 61.61% of net assets. |
| # | | Variable rate security. The interest rate represents the rate in effect at July 31, 2022. |
| (a) | | Foreign security traded in U.S. dollars. |
| (b) | | Security is perpetual in nature and has no stated maturity. |
| (c) | | Investment in non-U.S. dollar denominated securities. |
| (d) | | Level 3 Investment as described in Note 2(p) in the Notes to Schedule of Investments. Security valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 investments. |
| (e) | | Defaulted (non-income producing security). |
| (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 July 31, 2022. |
| (g) | | Interest rate to be determined. |
| (h) | | Security partially/fully unfunded. See Note 2(o). |
| (i) | | See Note 2(o). |
| (j) | | Other Assets and Liabilities – Net include net unrealized appreciation/depreciation on forward foreign currency exchange contracts, futures contracts and swaps as follows: |
| | See Notes to Financial Statements. | 75 |
Schedule of Investments (continued)
SHORT DURATION HIGH YIELD FUND July 31, 2022
Centrally Cleared Credit Default Swaps on Indexes - Sell Protection at July 31, 2022(1):
Referenced
Indexes | | Central
Clearing
Party | | Fund
Receives
(Quarterly) | | Termination
Date | | Notional
Amount | | Payments
Upfront(2) | | Value | | Unrealized
Appreciation(3) | |
| Markit CDX.NA.HY.S38(4)(5) | | Bank of America | | 5.00% | | 6/20/2027 | | $1,591,920 | | $(22,621) | | $18,308 | | | $40,929 | |
| | | |
| (1) | | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities. |
| (2) | | Upfront payments (received) paid by Central Clearing Party are presented net of amortization (See Note 2(i)). |
| (3) | | Total unrealized appreciation on Credit Default Swaps on Indexes amounted to $40,929. Total unrealized depreciation on Credit Default Swaps on Indexes amounted to $0. |
| (4) | | Central Clearinghouse: Intercontinental Exchange (ICE). |
| (5) | | The Referenced Index is for the Centrally Cleared Credit Default Swaps on Indexes, which is comprised of a basket of high yield securities. |
Open Consumer Price Index (“CPI”) Centrally Cleared Swaps at July 31, 2022:
Swap
Counterparty | | Payments to be
Made By
the Fund at
Termination Date | | Payments to be
Received By
the Fund at
Termination Date | | Termination
Date | | Notional
Amount | | Value/
Unrealized
Depreciation | |
| Bank of America | | 2.665% | | CPI Urban Consumer NSA | | 5/12/2052 | | $505,000 | | | $ | (1,536 | )(1) |
| Bank of America | | 2.665% | | CPI Urban Consumer NSA | | 5/12/2052 | | 263,000 | | | | (9,273 | )(2) |
| Unrealized Depreciation on CPI Centrally Cleared Swaps | | | | | | $ | (10,809 | ) |
| (1) | | Includes upfront payment of $(7,056). |
| (2) | | Includes upfront payment of $4,799. |
Open Forward Foreign Currency Exchange Contracts at July 31, 2022:
Forward
Foreign
Currency
Exchange
Contracts | | Transaction
Type | | Counterparty | | Expiration
Date | | Foreign
Currency | | U.S. $
Cost on
Origination
Date | | | U.S. $
Current
Value | | | Unrealized
Appreciation | |
| British pound | | Buy | | Bank of America | | 9/8/2022 | | 14,000 | | $ | 16,956 | | | $ | 17,064 | | | $ | 108 | |
| British pound | | Buy | | Morgan Stanley | | 9/8/2022 | | 10,000 | | | 12,013 | | | | 12,188 | | | | 175 | |
| British pound | | Buy | | Morgan Stanley | | 9/8/2022 | | 89,000 | | | 105,661 | | | | 108,475 | | | | 2,814 | |
| British pound | | Buy | | Morgan Stanley | | 9/8/2022 | | 90,000 | | | 108,337 | | | | 109,694 | | | | 1,357 | |
| Euro | | Buy | | Morgan Stanley | | 9/12/2022 | | 80,000 | | | 81,855 | | | | 81,997 | | | | 142 | |
| Euro | | Buy | | State Street Bank and Trust | | 9/12/2022 | | 89,000 | | | 90,860 | | | | 91,222 | | | | 362 | |
| Euro | | Buy | | State Street Bank and Trust | | 9/12/2022 | | 45,000 | | | 45,641 | | | | 46,123 | | | | 482 | |
| British pound | | Sell | | J.P. Morgan | | 9/8/2022 | | 463,000 | | | 580,896 | | | | 564,315 | | | | 16,581 | |
| British pound | | Sell | | Morgan Stanley | | 9/8/2022 | | 97,000 | | | 118,700 | | | | 118,226 | | | | 474 | |
| Euro | | Sell | | State Street Bank and Trust | | 9/12/2022 | | 1,520,000 | | | 1,637,414 | | | | 1,557,945 | | | | 79,469 | |
| 76 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION HIGH YIELD FUND July 31, 2022
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 | | Sell | | State Street Bank and Trust | | 9/12/2022 | | 55,000 | | $ | 57,639 | | | $ | 56,373 | | | | $ | 1,266 | |
| Euro | | Sell | | State Street Bank and Trust | | 9/12/2022 | | 88,000 | | | 91,962 | | | | 90,197 | | | | | 1,765 | |
| Euro | | Sell | | State Street Bank and Trust | | 9/12/2022 | | 6,000 | | | 6,347 | | | | 6,150 | | | | | 197 | |
| Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | | | | | | | | | | | | | | $ | 105,192 | |
Forward
Foreign
Currency
Exchange
Contracts | | Transaction
Type | | Counterparty | | Expiration
Date | | Foreign
Currency | | U.S. $
Cost on
Origination
Date | | | U.S. $
Current
Value | | | Unrealized
Depreciation | |
| Euro | | Buy | | Bank of America | | 9/12/2022 | | 18,000 | | $ | 19,043 | | | $ | 18,449 | | | | $ | (594 | ) |
| Euro | | Buy | | Barclays Bank plc | | 9/12/2022 | | 20,000 | | | 20,952 | | | | 20,499 | | | | | (453 | ) |
| Euro | | Buy | | Toronto Dominion Bank | | 9/12/2022 | | 365,000 | | | 387,166 | | | | 374,112 | | | | | (13,054 | ) |
| Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | | | | | | | | | | | | | | $ | (14,101 | ) |
Open Futures Contracts at July 31, 2022:
| Type | | Expiration | | Contracts | | Position | | Notional
Amount | | Notional
Value | | Unrealized
Appreciation | |
| U.S. 2-Year Treasury Note | | September 2022 | | 10 | | Long | | $2,098,535 | | $2,104,609 | | $ | 6,074 | |
| | | | | | | | | | | | | | | |
| Type | | Expiration | | Contracts | | Position | | Notional
Amount | | Notional
Value | | Unrealized
Depreciation | |
| U.S. 5-Year Treasury Note | | September 2022 | | 4 | | Short | | $(447,680) | | $(454,906) | | $ | (7,226 | ) |
The following is a summary of the inputs used as of July 31, 2022 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 | | $ | – | | | $ | 995,957 | | | $ | – | | | $ | 995,957 | |
| Convertible Bonds | | | – | | | | 277,301 | | | | – | | | | 277,301 | |
| Corporate Bonds | | | | | | | | | | | | | | | | |
| Commercial Services | | | – | | | | 1,189,792 | | | | 330 | | | | 1,190,122 | |
| Remaining Industries | | | – | | | | 26,089,148 | | | | – | | | | 26,089,148 | |
| Floating Rate Loans | | | – | | | | 1,118,953 | | | | – | | | | 1,118,953 | |
| Less Unfunded Commitments | | | – | | | | (845 | ) | | | – | | | | (845 | ) |
| Non-Agency Commercial Mortgage-Backed Securities | | | – | | | | 203,712 | | | | – | | | | 203,712 | |
| Preferred Stocks | | | 30,684 | | | | – | | | | – | | | | 30,684 | |
| Short-Term Investments | | | | | | | | | | | | | | | | |
| Repurchase Agreements | | | – | | | | 211,380 | | | | – | | | | 211,380 | |
| Total | | $ | 30,684 | | | $ | 30,085,398 | | | $ | 330 | | | $ | 30,116,412 | |
| | See Notes to Financial Statements. | 77 |
Schedule of Investments (concluded)
SHORT DURATION HIGH YIELD FUND July 31, 2022
| Investment Type(2) | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Other Financial Instruments | | | | | | | | | | | | | | | | |
| Centrally Cleared Credit Default Swap Contracts | | | | | | | | | | | | | | | | |
| Assets | | $ | – | | | $ | 40,929 | | | $ | – | | | $ | 40,929 | |
| Liabilities | | | – | | | | – | | | | – | | | | – | |
| Centrally Cleared CPI Swap Contracts | | | | | | | | | | | | | | | | |
| Assets | | | – | | | | – | | | | – | | | | – | |
| Liabilities | | | – | | | | (10,809 | ) | | | – | | | | (10,809 | ) |
| Forward Foreign Currency Exchange Contracts | | | | | | | | | | | | | | | | |
| Assets | | | – | | | | 105,192 | | | | – | | | | 105,192 | |
| Liabilities | | | – | | | | (14,101 | ) | | | – | | | | (14,101 | ) |
| Futures Contracts | | | | | | | | | | | | | | | | |
| Assets | | | 6,074 | | | | – | | | | – | | | | 6,074 | |
| Liabilities | | | (7,226 | ) | | | – | | | | – | | | | (7,226 | ) |
| Total | | $ | (1,152 | ) | | $ | 121,211 | | | $ | – | | | $ | 120,059 | |
| (1) | | Refer to Note 2(p) 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. When applicable 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 year 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 year.
| 78 | See Notes to Financial Statements. |
This page is intentionally left blank.
79
Statements of Assets and Liabilities
July 31, 2022
| | Climate Focused
Bond Fund | | Emerging
Markets
Equity Fund | |
| ASSETS: | | | | | | | | |
| Investments in securities, at cost | | $ | 23,087,135 | | | $ | 4,630,540 | |
| Investments in securities, at fair value | | $ | 20,604,130 | | | $ | 4,378,648 | |
| Cash | | | 5,409 | | | | – | |
| Deposits with brokers for futures collateral | | | 57,901 | | | | – | |
| Deposit with brokers for swaps collateral | | | 215 | | | | – | |
| Foreign cash, at value (cost $1,524, $189,533, $8,738, $0, $0, respectively) | | | 3,091 | | | | 186,878 | |
| Receivables: | | | | | | | | |
| Interest and dividends | | | 127,660 | | | | 3,541 | |
| Investment securities sold | | | 46,362 | | | | 19,905 | |
| From advisor (See Note 3) | | | 33,704 | | | | 10,768 | |
| From broker | | | – | | | | 52,304 | |
| Capital shares sold | | | 10,252 | | | | – | |
| Variation margin for centrally cleared swap agreements | | | 8,964 | | | | – | |
| Variation margin for futures contracts | | | 3,153 | | | | – | |
| Unrealized appreciation on forward foreign currency exchange contracts | | | 310,108 | | | | – | |
| Prepaid expenses | | | 68,361 | | | | 22,583 | |
| Total assets | | | 21,279,310 | | | | 4,674,627 | |
| LIABILITIES: | | | | | | | | |
| Payables: | | | | | | | | |
| Investment securities purchased | | | 127,314 | | | | 55,911 | |
| Professional fee | | | – | | | | – | |
| Offering costs | | | 2,840 | | | | – | |
| 12b-1 distribution plan | | | 1,700 | | | | 959 | |
| Fund administration | | | 698 | | | | 153 | |
| Trustees’ fees | | | 432 | | | | – | |
| Capital shares reacquired | | | 192 | | | | – | |
| Variation margin for futures contracts | | | – | | | | – | |
| To bank | | | – | | | | 37,974 | |
| Foreign capital gains taxes deferred | | | – | | | | 2,492 | |
| Unrealized depreciation on forward foreign currency exchange contracts | | | 23,145 | | | | – | |
| Unrealized depreciation on unfunded commitments | | | 639 | | | | – | |
| Distributions payable | | | 34,319 | | | | – | |
| Foreign currency overdraft (cost $0, $0, $0, $0 $2,074, respectively) | | | – | | | | – | |
| Accrued expenses and other liabilities | | | 100,425 | | | | 41,981 | |
| Total liabilities | | | 291,704 | | | | 139,470 | |
| Commitments and contingent liabilities | | | | | | | | |
| NET ASSETS | | $ | 20,987,606 | | | $ | 4,535,157 | |
| COMPOSITION OF NET ASSETS: | | | | | | | | |
| Paid-in capital | | $ | 23,347,092 | | | $ | 5,015,682 | |
| Total distributable earnings (loss) | | | (2,359,486 | ) | | | (480,525 | ) |
| Net Assets | | $ | 20,987,606 | | | $ | 4,535,157 | |
| 80 | See Notes to Financial Statements. | |
International
Growth Fund | | | Mid Cap
Innovation
Growth Fund | | | Short
Duration High
Yield Fund | |
| | | | | | | | | | | |
| $ | 2,061,307 | | | $ | 8,486,076 | | | $ | 31,273,285 | |
| $ | 1,910,006 | | | $ | 8,657,550 | | | $ | 30,116,412 | |
| | 88,645 | | | | – | | | | 13,881 | |
| | – | | | | – | | | | 9,047 | |
| | – | | | | – | | | | 241,974 | |
| | | | | | | | | | | |
| | 8,116 | | | | – | | | | – | |
| | | | | | | | | | | |
| | 1,371 | | | | 13 | | | | 460,425 | |
| | 2,323 | | | | 477,848 | | | | 378,918 | |
| | 11,880 | | | | 16,044 | | | | 32,361 | |
| | – | | | | – | | | | – | |
| | 106 | | | | 2,357 | | | | 149,945 | |
| | – | | | | – | | | | 16,627 | |
| | – | | | | – | | | | – | |
| | | | | | | | | | | |
| | – | | | | – | | | | 105,192 | |
| | 98,125 | | | | 38,340 | | | | 83,402 | |
| | 2,120,572 | | | | 9,192,152 | | | | 31,608,184 | |
| | | | | | | | | | | |
| | 16,876 | | | | 323,397 | | | | 307,846 | |
| | 37,984 | | | | – | | | | – | |
| | – | | | | – | | | | 1,000 | |
| | 336 | | | | 1,170 | | | | 2,168 | |
| | 66 | | | | 283 | | | | 1,010 | |
| | 452 | | | | 383 | | | | 391 | |
| | – | | | | 16,635 | | | | 68,702 | |
| | – | | | | – | | | | 1,052 | |
| | – | | | | – | | | | – | |
| | – | | | | – | | | | – | |
| | | | | | | | | | | |
| | – | | | | – | | | | 14,101 | |
| | – | | | | – | | | | 29 | |
| | – | | | | – | | | | 164,266 | |
| | – | | | | – | | | | 2,079 | |
| | 31,329 | | | | 59,509 | | | | 92,155 | |
| | 87,043 | | | | 401,377 | | | | 654,799 | |
| | | | | | | | | | | |
| $ | 2,033,529 | | | $ | 8,790,775 | | | $ | 30,953,385 | |
| | | | | | | | | | | |
| $ | 2,512,698 | | | $ | 11,027,235 | | | $ | 33,009,426 | |
| | (479,169 | ) | | | (2,236,460 | ) | | | (2,056,041 | ) |
| $ | 2,033,529 | | | $ | 8,790,775 | | | $ | 30,953,385 | |
| | See Notes to Financial Statements. | 81 |
Statements of Assets and Liabilities (concluded)
July 31, 2022.
| | Climate Focused
Bond Fund | | Emerging
Markets
Equity Fund | |
| Net assets by class: | | | | | | | | |
| Class A Shares | | $ | 5,107,632 | | | $ | 2,726,638 | |
| Class C Shares | | $ | 851,701 | | | $ | 450,652 | |
| Class F Shares | | $ | 4,134,387 | | | $ | 22,626 | |
| Class F3 Shares | | $ | 114,537 | | | $ | 226,336 | |
| Class I Shares | | $ | 10,282,361 | | | $ | 429,896 | |
| Class R3 Shares | | $ | 22,910 | | | $ | – | |
| Class R4 Shares | | $ | 22,910 | | | $ | – | |
| Class R5 Shares | | $ | 22,910 | | | $ | – | |
| Class R6 Shares | | $ | 428,258 | | | $ | 679,009 | |
| Outstanding shares by class (unlimited number of authorized shares of beneficial interest): | | | | | | | | |
| Class A Shares | | | 557,398 | | | | 201,055 | |
| Class C Shares | | | 92,959 | | | | 33,333 | |
| Class F Shares | | | 451,174 | | | | 1,667 | |
| Class F3 Shares | | | 12,500 | | | | 16,667 | |
| Class I Shares | | | 1,122,046 | | | | 31,667 | |
| Class R3 Shares | | | 2,500 | | | | – | |
| Class R4 Shares | | | 2,500 | | | | – | |
| Class R5 Shares | | | 2,500 | | | | – | |
| Class R6 Shares | | | 46,750 | | | | 50,000 | |
| Net Asset Value, offering and redemption price per share (Net assets divided by outstanding shares): | | | | | | | | |
| Class A Shares-Net asset value | | | $9.16 | | | | $13.56 | |
| Class A Shares-Maximum offering price (Net asset value plus sales charge of 2.25%, 5.75%, 5.75%, 5.75% and 2.25% respectively) | | | $9.37 | | | | $14.39 | |
| Class C Shares-Net asset value | | | $9.16 | | | | $13.52 | |
| Class F Shares-Net asset value* | | | $9.16 | | | | $13.58 | |
| Class F3 Shares-Net asset value* | | | $9.16 | | | | $13.58 | |
| Class I Shares-Net asset value* | | | $9.16 | | | | $13.58 | |
| Class R3 Shares-Net asset value* | | | $9.16 | | | | $ – | |
| Class R4 Shares-Net asset value* | | | $9.16 | | | | $ – | |
| Class R5 Shares-Net asset value* | | | $9.16 | | | | $ – | |
| Class R6 Shares-Net asset value | | | $9.16 | | | | $13.58 | |
| * | Net asset value may not recalculate due to rounding of fractional shares. |
| 82 | See Notes to Financial Statements. | |
International
Growth Fund | | | Mid Cap
Innovation
Growth Fund | | | Short
Duration High
Yield Fund | |
| | | | | | | | | | | |
| $ | 1,241,624 | | | $ | 2,731,877 | | | $ | 11,089,685 | |
| $ | 92,140 | | | $ | 477,050 | | | $ | 1,399,253 | |
| $ | 77,441 | | | $ | 2,982,771 | | | $ | 16,197,197 | |
| $ | 7,751 | | | $ | 7,581 | | | $ | 9,160 | |
| $ | 7,744 | | | $ | 83,282 | | | $ | 2,061,070 | |
| $ | 7,701 | | | $ | 7,511 | | | $ | 10,008 | |
| $ | 7,722 | | | $ | 7,540 | | | $ | 9,160 | |
| $ | 7,744 | | | $ | 7,571 | | | $ | 9,160 | |
| $ | 583,662 | | | $ | 2,485,592 | | | $ | 168,692 | |
| | | | | | | | | | | |
| | 107,180 | | | | 241,514 | | | | 1,128,044 | |
| | 8,019 | | | | 42,682 | | | | 142,348 | |
| | 6,667 | | | | 262,591 | | | | 1,648,311 | |
| | 667 | | | | 667 | | | | 932 | |
| | 667 | | | | 7,333 | | | | 209,807 | |
| | 667 | | | | 667 | | | | 1,018 | |
| | 667 | | | | 667 | | | | 932 | |
| | 667 | | | | 667 | | | | 932 | |
| | 50,201 | | | | 218,594 | | | | 17,159 | |
| | | | | | | | | | | |
| | $11.58 | | | | $11.31 | | | | $9.83 | |
| | | | | | | | | | | |
| | $12.29 | | | | $12.00 | | | | $10.06 | |
| | $11.49 | | | | $11.18 | | | | $9.83 | |
| | $11.62 | | | | $11.36 | | | | $9.83 | |
| | $11.63 | | | | $11.37 | | | | $9.83 | |
| | $11.62 | | | | $11.36 | | | | $9.82 | |
| | $11.55 | | | | $11.27 | | | | $9.83 | |
| | $11.58 | | | | $11.31 | | | | $9.83 | |
| | $11.62 | | | | $11.36 | | | | $9.83 | |
| | $11.63 | | | | $11.37 | | | | $9.83 | |
| | See Notes to Financial Statements. | 83 |
Statements of Operations
For the Period Ended July 31, 2022
| | Climate Focused
Bond Fund | | Emerging
Markets
Equity Fund* | |
| Investment income: | | | | | | | | |
| Dividends (net of foreign withholding taxes of $178 and $6,152, $3,348, $67 and $0, respectively) | | $ | 1,051 | | | $ | 81,000 | |
| Interest and other | | | 415,320 | | | | – | |
| Total investment income | | | 416,371 | | | | 81,000 | |
| Expenses: | | | | | | | | |
| Management fee | | | 78,605 | | | | 15,812 | |
| 12b-1 distribution plan–Class A | | | 9,832 | | | | 2,967 | |
| 12b-1 distribution plan–Class C | | | 7,310 | | | | 1,974 | |
| 12b-1 distribution plan–Class F | | | 3,968 | | | | 10 | |
| 12b-1 distribution plan–Class R3 | | | 122 | | | | – | |
| 12b-1 distribution plan–Class R4 | | | 61 | | | | – | |
| Registration | | | 112,572 | | | | 7,216 | |
| Professional | | | 53,782 | | | | 35,115 | |
| Reports to shareholders | | | 31,330 | | | | 500 | |
| Custody | | | 13,726 | | | | 2,250 | |
| Fund administration | | | 8,983 | | | | 791 | |
| Shareholder servicing | | | 2,251 | | | | 1,909 | |
| Trustees’ fees | | | 534 | | | | 24 | |
| Market data | | | – | | | | 5,450 | |
| Other | | | 17,098 | | | | – | |
| Gross expenses | | | 340,174 | | | | 74,018 | |
| Expense reductions (See Note 9) | | | (55 | ) | | | (8 | ) |
| Fees waived and expenses reimbursed (See Note 3) | | | (222,054 | ) | | | (49,817 | ) |
| Net expenses | | | 118,065 | | | | 24,193 | |
| Net investment income (loss) | | | 298,306 | | | | 56,807 | |
| Net realized and unrealized gain (loss): | | | | | | | | |
| Net realized gain (loss) on investments | | | (741,702 | ) | | | (276,409 | ) |
| Net realized gain (loss) on futures contracts | | | 122,375 | | | | – | |
| Net realized gain (loss) on forward foreign currency exchange contracts | | | 1,234,917 | | | | 63 | |
| Net realized gain (loss) on swap contracts | | | 6,672 | | | | – | |
| Net realized gain (loss) on foreign currency related transactions | | | (125,564 | ) | | | (2,772 | ) |
| Net change in unrealized appreciation/depreciation on investments | | | (2,985,150 | ) | | | (251,892 | ) |
| Net change in unrealized appreciation/depreciation on futures contracts | | | 52,468 | | | | – | |
| Net change in unrealized appreciation/depreciation on forward foreign currency exchange contracts | | | 86,429 | | | | – | |
| Net change in unrealized appreciation/depreciation on swap contracts | | | (9,074 | ) | | | – | |
| Net change in unrealized appreciation/depreciation on deferred foreign capital gains taxes | | | – | | | | (3,564 | ) |
| Net change in unrealized appreciation/depreciation on translation of assets and liabilities denominated in foreign currencies | | | 4,108 | | | | (2,758 | ) |
| Net change in unrealized appreciation/depreciation on unfunded commitments | | | (652 | ) | | | – | |
| Net realized and unrealized gain (loss) | | | (2,355,173 | ) | | | (537,332 | ) |
| Net Decrease in Net Assets Resulting From Operations | | $ | (2,056,867 | ) | | $ | (480,525 | ) |
| * | For the period March 2, 2022, commencement of operations, to July 31, 2022. |
| 84 | See Notes to Financial Statements. | |
International
Growth Fund | | | Mid Cap
Innovation
Growth Fund | | | Short
Duration High
Yield Fund | |
| | | | | | | | | | | |
| $ | 29,510 | | | $ | 29,511 | | | $ | 3,759 | |
| | 42 | | | | 311 | | | | 1,257,699 | |
| | 29,552 | | | | 29,822 | | | | 1,261,458 | |
| | | | | | | | | | | |
| | 12,820 | | | | 48,028 | | | | 103,050 | |
| | 2,641 | | | | 6,929 | | | | 23,397 | |
| | 1,010 | | | | 5,006 | | | | 12,857 | |
| | 90 | | | | 1,620 | | | | 8,694 | |
| | 45 | | | | 46 | | | | 51 | |
| | 23 | | | | 44 | | | | 26 | |
| | 23,606 | | | | 93,776 | | | | 121,780 | |
| | 49,023 | | | | 45,163 | | | | 57,069 | |
| | 6,453 | | | | 13,390 | | | | 26,043 | |
| | 22,011 | | | | 3,822 | | | | 7,012 | |
| | 789 | | | | 2,956 | | | | 9,160 | |
| | 1,873 | | | | 10,808 | | | | 8,197 | |
| | 497 | | | | 498 | | | | 529 | |
| | 7,226 | | | | – | | | | – | |
| | 3,894 | | | | 15,112 | | | | 13,218 | |
| | 132,001 | | | | 247,198 | | | | 391,083 | |
| | (3 | ) | | | (14 | ) | | | (70 | ) |
| | (112,855 | ) | | | (177,194 | ) | | | (237,984 | ) |
| | 19,143 | | | | 69,990 | | | | 153,029 | |
| | 10,409 | | | | (40,168 | ) | | | 1,108,429 | |
| | | | | | | | | | | |
| | (324,990 | ) | | | (2,073,849 | ) | | | (677,722 | ) |
| | – | | | | – | | | | (45,006 | ) |
| | 10 | | | | – | | | | 190,289 | |
| | – | | | | – | | | | (70,726 | ) |
| | 44 | | | | – | | | | (42,583 | ) |
| | (181,646 | ) | | | (526,269 | ) | | | (1,625,517 | ) |
| | – | | | | – | | | | (6,260 | ) |
| | | | | | | | | | | |
| | – | | | | – | | | | 75,676 | |
| | – | | | | – | | | | 30,120 | |
| | | | | | | | | | | |
| | – | | | | – | | | | – | |
| | | | | | | | | | | |
| | (630 | ) | | | – | | | | (801 | ) |
| | | | | | | | | | | |
| | – | | | | – | | | | (116 | ) |
| | (507,212 | ) | | | (2,600,118 | ) | | | (2,172,646 | ) |
| $ | (496,803 | ) | | $ | (2,640,286 | ) | | $ | (1,064,217 | ) |
| | See Notes to Financial Statements. | 85 |
Statements of Changes in Net Assets
| | | Climate Focused
Bond Fund | | Emerging
Markets
Equity Fund |
| INCREASE (DECREASE) IN NET ASSETS | | For the
Year Ended
July 31, 2022 | | For the
Year Ended
July 31, 2021 | | For the
Period Ended
July 31, 2022(a) |
| Operations: | | | | | | | | | | | | | |
| Net investment income (loss) | | | $ | 298,306 | | | $ | 184,456 | | | $ | 56,807 | |
| Net realized gain (loss) on investments, futures contracts, forward foreign currency exchange contracts, swaps and foreign currency related transactions | | | | 496,698 | | | | (180,658 | ) | | | (279,118 | ) |
| Net change in unrealized appreciation/depreciation on investments, futures contracts, forward foreign currency exchange contracts, swaps, unfunded commitments and translation of assets and liabilities denominated in foreign currencies | | | | (2,851,871 | ) | | | 405,737 | | | | (258,214 | ) |
| Net increase (decrease) in net assets resulting from operations | | | | (2,056,867 | ) | | | 409,535 | | | | (480,525 | ) |
| Distributions to shareholders: | | | | | | | | | | | | | |
| Class A | | | | (170,879 | ) | | | (75,154 | ) | | | – | |
| Class C | | | | (24,062 | ) | | | (7,533 | ) | | | – | |
| Class F | | | | (139,527 | ) | | | (72,738 | ) | | | – | |
| Class F3 | | | | (4,520 | ) | | | (2,667 | ) | | | – | |
| Class I | | | | (434,586 | ) | | | (90,755 | ) | | | – | |
| Class R3 | | | | (768 | ) | | | (386 | ) | | | – | |
| Class R4 | | | | (829 | ) | | | (449 | ) | | | – | |
| Class R5 | | | | (890 | ) | | | (515 | ) | | | – | |
| Class R6 | | | | (16,360 | ) | | | (8,066 | ) | | | – | |
| Total distributions to shareholders | | | | (792,421 | ) | | | (258,263 | ) | | | – | |
| Capital share transactions (See Note 15): | | | | | | | | | | | | | |
| Net proceeds from sales of shares | | | | 4,697,265 | | | | 13,471,303 | | | | 5,021,418 | |
| Reinvestment of distributions | | | | 377,603 | | | | 61,913 | | | | – | |
| Cost of shares reacquired | | | | (5,069,488 | ) | | | (689,132 | ) | | | (5,736 | ) |
| Net increase in net assets resulting from capital share transactions | | | | 5,380 | | | | 12,844,084 | | | | 5,015,682 | |
| Net increase (decrease) in net assets | | | | (2,843,908 | ) | | | 12,995,356 | | | | 4,535,157 | |
| NET ASSETS: | | | | | | | | | | | | | |
| Beginning of year | | | $ | 23,831,514 | | | $ | 10,836,158 | | | $ | – | |
| End of year | | | $ | 20,987,606 | | | $ | 23,831,514 | | | $ | 4,535,157 | |
| (a) | For the period March 2, 2022, commencement of operations, to July 31, 2022. |
| (b) | For the period June 18, 2021, commencement of operations, to July 31, 2021. |
| (c) | For the period December 28, 2020, commencement of operations, to July 31, 2021. |
| 86 | See Notes to Financial Statements. | |
International
Growth Fund | | | Mid Cap Innovation
Growth Fund | |
For the
Year Ended
July 31, 2022 | | | For the
Period Ended
July 31, 2021(b) | | | For the
Year Ended
July 31, 2022 | | | For the
Period Ended
July 31, 2021(c) | |
| | | | | | | | | | | | | | | |
| $ | 10,409 | | | $ | (647 | ) | | $ | (40,168 | ) | | $ | (20,065 | ) |
| | | | | | | | | | | | | | | |
| | (324,936 | ) | | | (12,974 | ) | | | (2,073,849 | ) | | | (310,244 | ) |
| | | | | | | | | | | | | | | |
| | (182,276 | ) | | | 30,345 | | | | (526,269 | ) | | | 697,743 | |
| | | | | | | | | | | | | | | |
| | (496,803 | ) | | | 16,724 | | | | (2,640,286 | ) | | | 367,434 | |
| | | | | | | | | | | | | | | |
| | – | | | | – | | | | – | | | | – | |
| | – | | | | – | | | | – | | | | – | |
| | – | | | | – | | | | – | | | | – | |
| | – | | | | – | | | | – | | | | – | |
| | – | | | | – | | | | – | | | | – | |
| | – | | | | – | | | | – | | | | – | |
| | – | | | | – | | | | – | | | | – | |
| | – | | | | – | | | | – | | | | – | |
| | – | | | | – | | | | – | | | | – | |
| | – | | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | |
| | 465,388 | | | | 2,051,000 | | | | 7,585,815 | | | | 5,838,935 | |
| | – | | | | – | | | | – | | | | – | |
| | (2,780 | ) | | | – | | | | (2,112,771 | ) | | | (248,352 | ) |
| | | | | | | | | | | | | | | |
| | 462,608 | | | | 2,051,000 | | | | 5,473,044 | | | | 5,590,583 | |
| | (34,195 | ) | | | 2,067,724 | | | | 2,832,758 | | | | 5,958,017 | |
| | | | | | | | | | | | | | | |
| $ | 2,067,724 | | | $ | – | | | $ | 5,958,017 | | | $ | – | |
| $ | 2,033,529 | | | $ | 2,067,724 | | | $ | 8,790,775 | | | $ | 5,958,017 | |
| | See Notes to Financial Statements. | 87 |
Statements of Changes in Net Assets (concluded)
| | Short Duration High Yield Fund | |
| INCREASE (DECREASE) IN NET ASSETS | For the
Year Ended
July 31, 2022 | | For the
Year Ended
July 31, 2021 | |
| Operations: | | | | | | | | |
| Net investment income | | $ | 1,108,429 | | | $ | 510,305 | |
| Net realized gain (loss) on investments, futures contracts, forward foreign currency exchange contracts, swaps and foreign currency related transactions | | | (645,748 | ) | | | 239,080 | |
| Net change in unrealized appreciation/depreciation on investments, futures contracts, forward foreign currency exchange contracts, swaps, unfunded commitments and translation of assets and liabilities denominated in foreign currencies | | | (1,526,898 | ) | | | 199,170 | |
| Net increase (decrease) in net assets resulting from operations | | | (1,064,217 | ) | | | 948,555 | |
| Distributions to shareholders: | | | | | | | | |
| Class A | | | (847,838 | ) | | | (305,369 | ) |
| Class C | | | (91,058 | ) | | | (44,095 | ) |
| Class F | | | (596,325 | ) | | | (255,287 | ) |
| Class F3 | | | (736 | ) | | | (695 | ) |
| Class I | | | (61,323 | ) | | | (34,451 | ) |
| Class R3 | | | (693 | ) | | | (633 | ) |
| Class R4 | | | (706 | ) | | | (660 | ) |
| Class R5 | | | (732 | ) | | | (687 | ) |
| Class R6 | | | (14,887 | ) | | | (8,408 | ) |
| Total distributions to shareholders | | | (1,614,298 | ) | | | (650,285 | ) |
| Capital share transactions (See Note 15): | | | | | | | | |
| Net proceeds from sales of shares | | | 28,397,257 | | | | 14,885,110 | |
| Reinvestment of distributions | | | 1,210,031 | | | | 302,676 | |
| Cost of shares reacquired | | | (14,005,290 | ) | | | (2,978,603 | ) |
| Net increase in net assets resulting from capital share transactions | | | 15,601,998 | | | | 12,209,183 | |
| Net increase in net assets | | | 12,923,483 | | | | 12,507,453 | |
| NET ASSETS: | | | | | | | | |
| Beginning of year | | $ | 18,029,902 | | | $ | 5,522,449 | |
| End of year | | $ | 30,953,385 | | | $ | 18,029,902 | |
| 88 | See Notes to Financial Statements. | |
This page is intentionally left blank.
89
Financial Highlights
CLIMATE FOCUSED BOND FUND
| | | | | | Per Share Operating Performance: |
| | | | | | Investment Operations: | | Distributions to
shareholders
from: |
| | | Net asset
value,
beginning
of period | | Net
invest-
ment
income(a) | | Net
realized
and
unrealized
gain (loss) | | Total
from
invest-
ment
opera-
tions | | Net
investment
income | | Net
realized
gain |
| Class A | | | | | | | | | | | | | | | | | | | | | | | | |
| 7/31/2022 | | $ | 10.38 | | | $ | 0.12 | | | $ | (1.00 | ) | | $ | (0.88 | ) | | $ | (0.24 | ) | | $ | (0.10 | ) |
| 7/31/2021 | | | 10.30 | | | | 0.13 | | | | 0.14 | | | | 0.27 | | | | (0.19 | ) | | | – | |
| 5/20/2020 to 7/31/2020(c) | | | 10.00 | | | | 0.03 | (d) | | | 0.31 | (d) | | | 0.34 | | | | (0.04 | ) | | | – | |
| Class C | | | | | | | | | | | | | | | | | | | | | | | | |
| 7/31/2022 | | | 10.38 | | | | 0.05 | | | | (0.99 | ) | | | (0.94 | ) | | | (0.18 | ) | | | (0.10 | ) |
| 7/31/2021 | | | 10.30 | | | | 0.05 | | | | 0.13 | | | | 0.18 | | | | (0.10 | ) | | | – | |
| 5/20/2020 to 7/31/2020(c) | | | 10.00 | | | | 0.01 | (d) | | | 0.31 | (d) | | | 0.32 | | | | (0.02 | ) | | | – | |
| Class F | | | | | | | | | | | | | | | | | | | | | | | | |
| 7/31/2022 | | | 10.38 | | | | 0.14 | | | | (1.00 | ) | | | (0.86 | ) | | | (0.26 | ) | | | (0.10 | ) |
| 7/31/2021 | | | 10.30 | | | | 0.15 | | | | 0.14 | | | | 0.29 | | | | (0.21 | ) | | | – | |
| 5/20/2020 to 7/31/2020(c) | | | 10.00 | | | | 0.03 | (d) | | | 0.31 | (d) | | | 0.34 | | | | (0.04 | ) | | | – | |
| Class F3 | | | | | | | | | | | | | | | | | | | | | | | | |
| 7/31/2022 | | | 10.38 | | | | 0.14 | | | | (1.00 | ) | | | (0.86 | ) | | | (0.26 | ) | | | (0.10 | ) |
| 7/31/2021 | | | 10.30 | | | | 0.16 | | | | 0.13 | | | | 0.29 | | | | (0.21 | ) | | | – | |
| 5/20/2020 to 7/31/2020(c) | | | 10.00 | | | | 0.03 | (d) | | | 0.31 | (d) | | | 0.34 | | | | (0.04 | ) | | | – | |
| Class I | | | | | | | | | | | | | | | | | | | | | | | | |
| 7/31/2022 | | | 10.38 | | | | 0.14 | | | | (1.00 | ) | | | (0.86 | ) | | | (0.26 | ) | | | (0.10 | ) |
| 7/31/2021 | | | 10.30 | | | | 0.14 | | | | 0.15 | | | | 0.29 | | | | (0.21 | ) | | | – | |
| 5/20/2020 to 7/31/2020(c) | | | 10.00 | | | | 0.03 | (d) | | | 0.31 | (d) | | | 0.34 | | | | (0.04 | ) | | | – | |
| Class R3 | | | | | | | | | | | | | | | | | | | | | | | | |
| 7/31/2022 | | | 10.38 | | | | 0.09 | | | | (1.00 | ) | | | (0.91 | ) | | | (0.21 | ) | | | (0.10 | ) |
| 7/31/2021 | | | 10.30 | | | | 0.10 | | | | 0.13 | | | | 0.23 | | | | (0.15 | ) | | | – | |
| 5/20/2020 to 7/31/2020(c) | | | 10.00 | | | | 0.02 | (d) | | | 0.31 | (d) | | | 0.33 | | | | (0.03 | ) | | | – | |
| Class R4 | | | | | | | | | | | | | | | | | | | | | | | | |
| 7/31/2022 | | | 10.38 | | | | 0.11 | | | | (1.00 | ) | | | (0.89 | ) | | | (0.23 | ) | | | (0.10 | ) |
| 7/31/2021 | | | 10.30 | | | | 0.12 | | | | 0.14 | | | | 0.26 | | | | (0.18 | ) | | | – | |
| 5/20/2020 to 7/31/2020(c) | | | 10.00 | | | | 0.02 | (d) | | | 0.32 | (d) | | | 0.34 | | | | (0.04 | ) | | | – | |
| Class R5 | | | | | | | | | | | | | | | | | | | | | | | | |
| 7/31/2022 | | | 10.38 | | | | 0.14 | | | | (1.00 | ) | | | (0.86 | ) | | | (0.26 | ) | | | (0.10 | ) |
| 7/31/2021 | | | 10.30 | | | | 0.15 | | | | 0.14 | | | | 0.29 | | | | (0.21 | ) | | | – | |
| 5/20/2020 to 7/31/2020(c) | | | 10.00 | | | | 0.03 | (d) | | | 0.31 | (d) | | | 0.34 | | | | (0.04 | ) | | | – | |
| Class R6 | | | | | | | | | | | | | | | | | | | | | | | | |
| 7/31/2022 | | | 10.37 | | | | 0.14 | | | | (0.99 | ) | | | (0.85 | ) | | | (0.26 | ) | | | (0.10 | ) |
| 7/31/2021 | | | 10.30 | | | | 0.16 | | | | 0.12 | | | | 0.28 | | | | (0.21 | ) | | | – | |
| 5/20/2020 to 7/31/2020(c) | | | 10.00 | | | | 0.03 | (d) | | | 0.31 | (d) | | | 0.34 | | | | (0.04 | ) | | | – | |
| (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) | Commencement of operations was on 5/20/2020, SEC effective date and date shares first became available to the public was 5/28/2020. |
| (d) | Net investment income and net realized and unrealized gain (loss) amounted to less than $0.01 for the period 5/20/2020 through 5/28/2020. |
| (e) | 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. |
| (f) | Not annualized. |
| (g) | Annualized. |
| 90 | See Notes to Financial Statements. |
| | | | | | | | | | Ratios to Average Net Assets: | | Supplemental Data: |
| | | | | | | | | | | | | | | | | | | | | | | |
Total
distributions | | Net
asset
value,
end of
period | | Total
return
(%)(b) | | Total
expenses
after waivers
and/or reim-
bursements
(%) | | Total
expenses
(%) | | Net
invest-
ment
income
(%) | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate
(%) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | (0.34 | ) | | $ | 9.16 | | | | (8.72 | ) | | | 0.65 | | | | 1.63 | | | | 1.21 | | | $ | 5,108 | | | | 74 | |
| | (0.19 | ) | | | 10.38 | | | | 2.60 | | | | 0.65 | | | | 2.05 | | | | 1.25 | | | | 4,366 | | | | 69 | |
| | (0.04 | ) | | | 10.30 | | | | 3.37 | (e)(f) | | | 0.65 | (g) | | | 3.04 | (g) | | | 1.28 | (g) | | | 3,521 | | | | 17 | (f) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (0.28 | ) | | | 9.16 | | | | (9.29 | ) | | | 1.29 | | | | 2.27 | | | | 0.57 | | | | 852 | | | | 74 | |
| | (0.10 | ) | | | 10.38 | | | | 1.79 | | | | 1.45 | | | | 2.84 | | | | 0.46 | | | | 901 | | | | 69 | |
| | (0.02 | ) | | | 10.30 | | | | 3.21 | (e)(f) | | | 1.45 | (g) | | | 3.84 | (g) | | | 0.49 | (g) | | | 622 | | | | 17 | (f) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (0.36 | ) | | | 9.16 | | | | (8.53 | ) | | | 0.45 | | | | 1.53 | | | | 1.41 | | | | 4,134 | | | | 74 | |
| | (0.21 | ) | | | 10.38 | | | | 2.81 | | | | 0.45 | | | | 1.95 | | | | 1.45 | | | | 3,866 | | | | 69 | |
| | (0.04 | ) | | | 10.30 | | | | 3.41 | (e)(f) | | | 0.45 | (g) | | | 2.93 | (g) | | | 1.46 | (g) | | | 3,089 | | | | 17 | (f) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (0.36 | ) | | | 9.16 | | | | (8.47 | ) | | | 0.39 | | | | 1.42 | | | | 1.46 | | | | 115 | | | | 74 | |
| | (0.21 | ) | | | 10.38 | | | | 2.88 | | | | 0.38 | | | | 1.81 | | | | 1.53 | | | | 130 | | | | 69 | |
| | (0.04 | ) | | | 10.30 | | | | 3.43 | (e)(f) | | | 0.38 | (g) | | | 2.63 | (g) | | | 1.53 | (g) | | | 129 | | | | 17 | (f) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (0.36 | ) | | | 9.16 | | | | (8.53 | ) | | | 0.45 | | | | 1.41 | | | | 1.40 | | | | 10,282 | | | | 74 | |
| | (0.21 | ) | | | 10.38 | | | | 2.80 | | | | 0.45 | | | | 1.72 | | | | 1.40 | | | | 14,042 | | | | 69 | |
| | (0.04 | ) | | | 10.30 | | | | 3.41 | (e)(f) | | | 0.45 | (g) | | | 2.85 | (g) | | | 1.46 | (g) | | | 3,089 | | | | 17 | (f) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (0.31 | ) | | | 9.16 | | | | (8.98 | ) | | | 0.95 | | | | 1.93 | | | | 0.90 | | | | 23 | | | | 74 | |
| | (0.15 | ) | | | 10.38 | | | | 2.29 | | | | 0.95 | | | | 2.37 | | | | 0.95 | | | | 26 | | | | 69 | |
| | (0.03 | ) | | | 10.30 | | | | 3.31 | (e)(f) | | | 0.95 | (g) | | | 3.33 | (g) | | | 0.98 | (g) | | | 26 | | | | 17 | (f) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (0.33 | ) | | | 9.16 | | | | (8.76 | ) | | | 0.70 | | | | 1.67 | | | | 1.16 | | | | 23 | | | | 74 | |
| | (0.18 | ) | | | 10.38 | | | | 2.54 | | | | 0.70 | | | | 2.12 | | | | 1.20 | | | | 26 | | | | 69 | |
| | (0.04 | ) | | | 10.30 | | | | 3.36 | (e)(f) | | | 0.70 | (g) | | | 3.08 | (g) | | | 1.24 | (g) | | | 26 | | | | 17 | (f) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (0.36 | ) | | | 9.16 | | | | (8.53 | ) | | | 0.45 | | | | 1.42 | | | | 1.41 | | | | 23 | | | | 74 | |
| | (0.21 | ) | | | 10.38 | | | | 2.80 | | | | 0.45 | | | | 1.86 | | | | 1.45 | | | | 26 | | | | 69 | |
| | (0.04 | ) | | | 10.30 | | | | 3.41 | (e)(f) | | | 0.45 | (g) | | | 2.83 | (g) | | | 1.49 | (g) | | | 26 | | | | 17 | (f) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (0.36 | ) | | | 9.16 | | | | (8.47 | ) | | | 0.39 | | | | 1.43 | | | | 1.46 | | | | 428 | | | | 74 | |
| | (0.21 | ) | | | 10.37 | | | | 2.88 | | | | 0.38 | | | | 1.79 | | | | 1.52 | | | | 449 | | | | 69 | |
| | (0.04 | ) | | | 10.30 | | | | 3.43 | (e)(f) | | | 0.38 | (g) | | | 2.63 | (g) | | | 1.53 | (g) | | | 309 | | | | 17 | (f) |
| | See Notes to Financial Statements. | 91 |
Financial Highlights (continued)
EMERGING MARKETS EQUITY FUND
| | | | | | Per Share Operating Performance: | | | |
| | | | | | Investment Operations: | | | | | | |
| | | | | | | | | | | | | | | | | | | |
| | | Net asset
value,
beginning
of period | | Net
invest-
ment
income(a)(b) | | Net
realized
and
unrealized
loss(b) | | Total
from
invest-
ment
opera-
tions | | Net
asset
value,
end of
period | | Total
return
(%)(c)(d)(e) |
| Class A | | | | | | | | | | | | | | | | | | | | | | | | |
| 3/2/2022 to 7/31/2022(g) | | $ | 15.00 | | | $ | 0.17 | | | $ | (1.61 | ) | | $ | (1.44 | ) | | $ | 13.56 | | | | (9.53 | ) |
| Class C | | | | | | | | | | | | | | | | | | | | | | | | |
| 3/2/2022 to 7/31/2022(g) | | | 15.00 | | | | 0.13 | | | | (1.61 | ) | | | (1.48 | ) | | | 13.52 | | | | (9.80 | ) |
| Class F | | | | | | | | | | | | | | | | | | | | | | | | |
| 3/2/2022 to 7/31/2022(g) | | | 15.00 | | | | 0.19 | | | | (1.61 | ) | | | (1.42 | ) | | | 13.58 | | | | (9.47 | ) |
| Class F3 | | | | | | | | | | | | | | | | | | | | | | | | |
| 3/2/2022 to 7/31/2022(g) | | | 15.00 | | | | 0.19 | | | | (1.61 | ) | | | (1.42 | ) | | | 13.58 | | | | (9.40 | ) |
| Class I | | | | | | | | | | | | | | | | | | | | | | | | |
| 3/2/2022 to 7/31/2022(g) | | | 15.00 | | | | 0.19 | | | | (1.61 | ) | | | (1.42 | ) | | | 13.58 | | | | (9.47 | ) |
| Class R6 | | | | | | | | | | | | | | | | | | | | | | | | |
| 3/2/2022 to 7/31/2022(g) | | | 15.00 | | | | 0.19 | | | | (1.61 | ) | | | (1.42 | ) | | | 13.58 | | | | (9.40 | ) |
| (a) | Calculated using average shares outstanding during the period. |
| (b) | Net investment income and net realized and unrealized loss amounted to less than $0.01 for the period 3/2/2022 through 3/10/2022. |
| (c) | Total return for the period 3/10/2022 through 7/31/2022 was (9.41%) for Class A, (9.68%) for Class C, (9.35%) for Class F, (9.28%) for Class F3, (9.35%) for Class I, and (9.28%) for Class R6. |
| (d) | Not annualized. |
| (e) | 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. |
| (f) | Annualized. |
| (g) | Commencement of operations was on 3/2/2022, SEC effective date and date shares first became available to the public was 3/10/2022. |
| 92 | See Notes to Financial Statements. |
| Ratios to Average Net Assets: | | Supplemental Data: |
| | | | | | | | | | | | | | |
Total
expenses
after
waivers
and/or reim-
bursements
(%)(f) | | Total
expenses
(%)(f) | | Net
invest-
ment
income
(%)(f) | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate
(%)(d) |
| | | | | | | | | |
| | 1.24 | | | | 3.77 | | | | 2.86 | | | $ | 2,727 | | | | 56 | |
| | | | | | | | | | | | | | | | | | | |
| | 1.99 | | | | 4.52 | | | | 2.11 | | | | 451 | | | | 56 | |
| | | | | | | | | | | | | | | | | | | |
| | 0.99 | | | | 3.62 | | | | 3.11 | | | | 23 | | | | 56 | |
| | | | | | | | | | | | | | | | | | | |
| | 0.91 | | | | 3.41 | | | | 3.20 | | | | 226 | | | | 56 | |
| | | | | | | | | | | | | | | | | | | |
| | 0.99 | | | | 3.52 | | | | 3.11 | | | | 430 | | | | 56 | |
| | | | | | | | | | | | | | | | | | | |
| | 0.91 | | | | 3.41 | | | | 3.19 | | | | 679 | | | | 56 | |
| | See Notes to Financial Statements. | 93 |
Financial Highlights (continued)
INTERNATIONAL GROWTH FUND
| | | | | | Per Share Operating Performance: | | | |
| | | | | | Investment Operations: | | | | | | |
| | | | | | | | | | | | | | | | | | | |
| | | Net asset
value,
beginning
of period | | Net
invest-
ment
income
(loss)(a) | | Net
realized
and
unrealized
gain
(loss) | | Total
from
invest-
ment
opera-
tions | | Net
asset
value,
end of
period | | Total
return
(%)(b) |
| Class A | | | | | | | | | | | | | | | | | | | | | | | | |
| 7/31/2022 | | $ | 15.12 | | | $ | 0.06 | | | $ | (3.60 | ) | | $ | (3.54 | ) | | $ | 11.58 | | | | (23.41 | ) |
| 6/18/2021 to 7/31/2021(c) | | | 15.00 | | | | (0.01 | )(d) | | | 0.13 | (d) | | | 0.12 | | | | 15.12 | | | | 0.80 | (e)(f) |
| Class C | | | | | | | | | | | | | | | | | | | | | | | | |
| 7/31/2022 | | | 15.11 | | | | (0.04 | ) | | | (3.58 | ) | | | (3.62 | ) | | | 11.49 | | | | (23.96 | ) |
| 6/18/2021 to 7/31/2021(c) | | | 15.00 | | | | (0.02 | )(d) | | | 0.13 | (d) | | | 0.11 | | | | 15.11 | | | | 0.73 | (e)(f) |
| Class F | | | | | | | | | | | | | | | | | | | | | | | | |
| 7/31/2022 | | | 15.13 | | | | 0.09 | | | | (3.60 | ) | | | (3.51 | ) | | | 11.62 | | | | (23.27 | ) |
| 6/18/2021 to 7/31/2021(c) | | | 15.00 | | | | – | (d)(h) | | | 0.13 | (d) | | | 0.13 | | | | 15.13 | | | | 0.87 | (e)(f) |
| Class F3 | | | | | | | | | | | | | | | | | | | | | | | | |
| 7/31/2022 | | | 15.12 | | | | 0.10 | | | | (3.59 | ) | | | (3.49 | ) | | | 11.63 | | | | (23.13 | ) |
| 6/18/2021 to 7/31/2021(c) | | | 15.00 | | | | – | (d)(h) | | | 0.12 | (d) | | | 0.12 | | | | 15.12 | | | | 0.87 | (e)(f) |
| Class I | | | | | | | | | | | | | | | | | | | | | | | | |
| 7/31/2022 | | | 15.12 | | | | 0.09 | | | | (3.59 | ) | | | (3.50 | ) | | | 11.62 | | | | (23.27 | ) |
| 6/18/2021 to 7/31/2021(c) | | | 15.00 | | | | – | (d)(h) | | | 0.12 | (d) | | | 0.12 | | | | 15.12 | | | | 0.87 | (e)(f) |
| Class R3 | | | | | | | | | | | | | | | | | | | | | | | | |
| 7/31/2022 | | | 15.11 | | | | 0.02 | | | | (3.58 | ) | | | (3.56 | ) | | | 11.55 | | | | (23.61 | ) |
| 6/18/2021 to 7/31/2021(c) | | | 15.00 | | | | (0.01 | )(d) | | | 0.12 | (d) | | | 0.11 | | | | 15.11 | | | | 0.80 | (e)(f) |
| Class R4 | | | | | | | | | | | | | | | | | | | | | | | | |
| 7/31/2022 | | | 15.12 | | | | 0.06 | | | | (3.60 | ) | | | (3.54 | ) | | | 11.58 | | | | (23.41 | ) |
| 6/18/2021 to 7/31/2021(c) | | | 15.00 | | | | (0.01 | )(d) | | | 0.13 | (d) | | | 0.12 | | | | 15.12 | | | | 0.80 | (e)(f) |
| Class R5 | | | | | | | | | | | | | | | | | | | | | | | | |
| 7/31/2022 | | | 15.13 | | | | 0.09 | | | | (3.60 | ) | | | (3.51 | ) | | | 11.62 | | | | (23.27 | ) |
| 6/18/2021 to 7/31/2021(c) | | | 15.00 | | | | – | (d)(h) | | | 0.13 | (d) | | | 0.13 | | | | 15.13 | | | | 0.87 | (e)(f) |
| Class R6 | | | | | | | | | | | | | | | | | | | | | | | | |
| 7/31/2022 | | | 15.13 | | | | 0.10 | | | | (3.60 | ) | | | (3.50 | ) | | | 11.63 | | | | (23.13 | ) |
| 6/18/2021 to 7/31/2021(c) | | | 15.00 | | | | – | (d)(h) | | | 0.13 | (d) | | | 0.13 | | | | 15.13 | | | | 0.87 | (e)(f) |
| (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) | Commencement of operations was on 6/18/2021, SEC effective date and date shares first became available to the public was 6/28/2021. |
| (d) | Net investment income and net realized and unrealized gain (loss) amounted to less than $0.01 for the period 6/18/2021 through 6/28/2021. |
| (e) | Total return for the period 6/28/2021 through 7/31/2021 was (0.40%) for Class A, (0.46%) for Class C, (0.33%) for Class F, (0.33%) for Class F3, (0.33%) for Class I, (0.40%) for Class R3, (0.40%) for Class R4, (0.33%) for Class R5, and (0.33%) for Class R6. |
| (f) | Not annualized. |
| (g) | Annualized. |
| (h) | Amount less than $0.01. |
| 94 | See Notes to Financial Statements. |
| Ratios to Average Net Assets: | | Supplemental Data: |
| | | | | | | | | | | | | | |
Total
expenses
after
waivers
and/or reim-
bursements
(%) | | Total
expenses
(%) | | Net
invest-
ment
income
(loss)
(%) | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate
(%) |
| | | | | | | | | | | | | | | | | | | |
| | 1.06 | | | | 6.90 | | | | 0.45 | | | $ | 1,242 | | | | 84 | |
| | 1.06 | (g) | | | 16.19 | (g) | | | (0.38 | )(g) | | | 1,058 | | | | 5 | (f) |
| | | | | | | | | | | | | | | | | | | |
| | 1.81 | | | | 7.51 | | | | (0.29 | ) | | | 92 | | | | 84 | |
| | 1.81 | (g) | | | 16.91 | (g) | | | (1.13 | )(g) | | | 102 | | | | 5 | (f) |
| | | | | | | | | | | | | | | | | | | |
| | 0.81 | | | | 6.51 | | | | 0.68 | | | | 77 | | | | 84 | |
| | 0.81 | (g) | | | 16.02 | (g) | | | (0.14 | )(g) | | | 101 | | | | 5 | (f) |
| | | | | | | | | | | | | | | | | | | |
| | 0.73 | | | | 6.27 | | | | 0.74 | | | | 8 | | | | 84 | |
| | 0.73 | (g) | | | 15.76 | (g) | | | (0.15 | )(g) | | | 10 | | | | 5 | (f) |
| | | | | | | | | | | | | | | | | | | |
| | 0.81 | | | | 6.43 | | | | 0.67 | | | | 8 | | | | 84 | |
| | 0.81 | (g) | | | 15.85 | (g) | | | (0.09 | )(g) | | | 10 | | | | 5 | (f) |
| | | | | | | | | | | | | | | | | | | |
| | 1.31 | | | | 6.93 | | | | 0.18 | | | | 8 | | | | 84 | |
| | 1.31 | (g) | | | 16.38 | (g) | | | (0.62 | )(g) | | | 10 | | | | 5 | (f) |
| | | | | | | | | | | | | | | | | | | |
| | 1.06 | | | | 6.68 | | | | 0.41 | | | | 8 | | | | 84 | |
| | 1.06 | (g) | | | 16.12 | (g) | | | (0.35 | )(g) | | | 10 | | | | 5 | (f) |
| | | | | | | | | | | | | | | | | | | |
| | 0.81 | | | | 6.43 | | | | 0.67 | | | | 8 | | | | 84 | |
| | 0.81 | (g) | | | 15.85 | (g) | | | (0.09 | )(g) | | | 10 | | | | 5 | (f) |
| | | | | | | | | | | | | | | | | | | |
| | 0.73 | | | | 6.28 | | | | 0.76 | | | | 584 | | | | 84 | |
| | 0.73 | (g) | | | 15.78 | (g) | | | (0.06 | )(g) | | | 756 | | | | 5 | (f) |
| | See Notes to Financial Statements. | 95 |
Financial Highlights (continued)
MID CAP INNOVATION GROWTH FUND
| | | | | | Per Share Operating Performance: | | | |
| | | | | | Investment Operations: | | | | | | |
| | | | | | | | | | | | | | | | | | | |
| | | Net asset
value,
beginning
of period | | Net
invest-
ment
income
(loss)(a) | | Net
realized
and
unrealized
gain (loss) | | Total
from
invest-
ment
opera-
tions | | Net
asset
value,
end of
period | | Total
return
(%)(b) |
| Class A | | | | | | | | | | | | | | | | | | | | | | | | |
| 7/31/2022 | | $ | 16.14 | | | $ | (0.09 | ) | | $ | (4.74 | ) | | $ | (4.83 | ) | | $ | 11.31 | | | | (29.93 | ) |
| 12/28/2020 to 7/31/2021(c) | | | 15.00 | | | | (0.08 | ) | | | 1.22 | | | | 1.14 | | | | 16.14 | | | | 7.60 | (d) |
| Class C | | | | | | | | | | | | | | | | | | | | | | | | |
| 7/31/2022 | | | 16.07 | | | | (0.19 | ) | | | (4.70 | ) | | | (4.89 | ) | | | 11.18 | | | | (30.43 | ) |
| 12/28/2020 to 7/31/2021(c) | | | 15.00 | | | | (0.15 | ) | | | 1.22 | | | | 1.07 | | | | 16.07 | | | | 7.13 | (d) |
| Class F | | | | | | | | | | | | | | | | | | | | | | | | |
| 7/31/2022 | | | 16.17 | | | | (0.05 | ) | | | (4.76 | ) | | | (4.81 | ) | | | 11.36 | | | | (29.75 | ) |
| 12/28/2020 to 7/31/2021(c) | | | 15.00 | | | | (0.06 | ) | | | 1.23 | | | | 1.17 | | | | 16.17 | | | | 7.80 | (d) |
| Class F3 | | | | | | | | | | | | | | | | | | | | | | | | |
| 7/31/2022 | | | 16.18 | | | | (0.05 | ) | | | (4.76 | ) | | | (4.81 | ) | | | 11.37 | | | | (29.68 | ) |
| 12/28/2020 to 7/31/2021(c) | | | 15.00 | | | | (0.05 | ) | | | 1.23 | | | | 1.18 | | | | 16.18 | | | | 7.80 | (d) |
| Class I | | | | | | | | | | | | | | | | | | | | | | | | |
| 7/31/2022 | | | 16.17 | | | | (0.06 | ) | | | (4.75 | ) | | | (4.81 | ) | | | 11.36 | | | | (29.75 | ) |
| 12/28/2020 to 7/31/2021(c) | | | 15.00 | | | | (0.06 | ) | | | 1.23 | | | | 1.17 | | | | 16.17 | | | | 7.80 | (d) |
| Class R3 | | | | | | | | | | | | | | | | | | | | | | | | |
| 7/31/2022 | | | 16.12 | | | | (0.13 | ) | | | (4.72 | ) | | | (4.85 | ) | | | 11.27 | | | | (30.09 | ) |
| 12/28/2020 to 7/31/2021(c) | | | 15.00 | | | | (0.10 | ) | | | 1.22 | | | | 1.12 | | | | 16.12 | | | | 7.47 | (d) |
| Class R4 | | | | | | | | | | | | | | | | | | | | | | | | |
| 7/31/2022 | | | 16.14 | | | | (0.09 | ) | | | (4.74 | ) | | | (4.83 | ) | | | 11.31 | | | | (29.93 | ) |
| 12/28/2020 to 7/31/2021(c) | | | 15.00 | | | | (0.08 | ) | | | 1.22 | | | | 1.14 | | | | 16.14 | | | | 7.60 | (d) |
| Class R5 | | | | | | | | | | | | | | | | | | | | | | | | |
| 7/31/2022 | | | 16.17 | | | | (0.06 | ) | | | (4.75 | ) | | | (4.81 | ) | | | 11.36 | | | | (29.75 | ) |
| 12/28/2020 to 7/31/2021(c) | | | 15.00 | | | | (0.06 | ) | | | 1.23 | | | | 1.17 | | | | 16.17 | | | | 7.80 | (d) |
| Class R6 | | | | | | | | | | | | | | | | | | | | | | | | |
| 7/31/2022 | | | 16.17 | | | | (0.05 | ) | | | (4.75 | ) | | | (4.80 | ) | | | 11.37 | | | | (29.68 | ) |
| 12/28/2020 to 7/31/2021(c) | | | 15.00 | | | | (0.05 | ) | | | 1.22 | | | | 1.17 | | | | 16.17 | | | | 7.80 | (d) |
| (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) | Commenced operations on December 28, 2020. |
| (d) | Not annualized. |
| (e) | Annualized. |
| 96 | See Notes to Financial Statements. |
| Ratios to Average Net Assets: | | Supplemental Data: |
| | | | | | | | | | | | | | |
Total
expenses
after
waivers
and/or reim-
bursements
(%) | | Total
expenses
(%) | | Net
invest-
ment
income
(loss)
(%) | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate
(%) |
| | | | | | | | | | | | | | | | | | | |
| | 1.06 | | | | 3.40 | | | | (0.67 | ) | | $ | 2,732 | | | | 142 | |
| | 1.06 | (e) | | | 2.70 | (e) | | | (0.90 | )(e) | | | 2,508 | | | | 58 | (d) |
| | | | | | | | | | | | | | | | | | | |
| | 1.81 | | | | 4.12 | | | | (1.42 | ) | | | 477 | | | | 142 | |
| | 1.81 | (e) | | | 3.37 | (e) | | | (1.64 | )(e) | | | 449 | | | | 58 | (d) |
| | | | | | | | | | | | | | | | | | | |
| | 0.81 | | | | 3.46 | | | | (0.36 | ) | | | 2,983 | | | | 142 | |
| | 0.81 | (e) | | | 2.53 | (e) | | | (0.65 | )(e) | | | 1,048 | | | | 58 | (d) |
| | | | | | | | | | | | | | | | | | | |
| | 0.73 | | | | 2.83 | | | | (0.34 | ) | | | 8 | | | | 142 | |
| | 0.73 | (e) | | | 2.44 | (e) | | | (0.59 | )(e) | | | 11 | | | | 58 | (d) |
| | | | | | | | | | | | | | | | | | | |
| | 0.81 | | | | 3.02 | | | | (0.43 | ) | | | 83 | | | | 142 | |
| | 0.81 | (e) | | | 2.53 | (e) | | | (0.67 | )(e) | | | 119 | | | | 58 | (d) |
| | | | | | | | | | | | | | | | | | | |
| | 1.31 | | | | 3.50 | | | | (0.93 | ) | | | 8 | | | | 142 | |
| | 1.31 | (e) | | | 3.00 | (e) | | | (1.15 | )(e) | | | 11 | | | | 58 | (d) |
| | | | | | | | | | | | | | | | | | | |
| | 1.06 | | | | 2.75 | | | | (0.61 | ) | | | 8 | | | | 142 | |
| | 1.06 | (e) | | | 2.60 | (e) | | | (0.89 | )(e) | | | 58 | | | | 58 | (d) |
| | | | | | | | | | | | | | | | | | | |
| | 0.81 | | | | 3.01 | | | | (0.43 | ) | | | 8 | | | | 142 | |
| | 0.81 | (e) | | | 2.50 | (e) | | | (0.64 | )(e) | | | 11 | | | | 58 | (d) |
| | | | | | | | | | | | | | | | | | | |
| | 0.73 | | | | 3.04 | | | | (0.33 | ) | | | 2,486 | | | | 142 | |
| | 0.73 | (e) | | | 2.23 | (e) | | | (0.56 | )(e) | | | 1,744 | | | | 58 | (d) |
| | See Notes to Financial Statements. | 97 |
Financial Highlights (concluded)
SHORT DURATION HIGH YIELD FUND
| | | | | | Per Share Operating Performance: | | |
| | | | | | Investment Operations: | | Distributions to
shareholders
from: |
| | | | | | | | | | | | | | | | | | | |
| | | Net asset
value,
beginning
of period | | Net
invest-
ment
income(a) | | Net
realized
and
unrealized
gain (loss) | | Total
from
invest-
ment
opera-
tions | | Net
investment
income | | Net
realized
gain |
| Class A | | | | | | | | | | | | | | | | | | | | | | | | |
| 7/31/2022 | | $ | 11.00 | | | $ | 0.49 | | | $ | (0.92 | ) | | $ | (0.43 | ) | | $ | (0.59 | ) | | $ | (0.15 | ) |
| 7/31/2021 | | | 10.61 | | | | 0.48 | | | | 0.57 | | | | 1.05 | | | | (0.59 | ) | | | (0.07 | ) |
| 4/22/2020 to 7/31/2020(c) | | | 10.00 | | | | 0.15 | (d) | | | 0.63 | (d) | | | 0.78 | | | | (0.17 | ) | | | – | |
| Class C | | | | | | | | | | | | | | | | | | | | | | | | |
| 7/31/2022 | | | 11.00 | | | | 0.42 | | | | (0.92 | ) | | | (0.50 | ) | | | (0.52 | ) | | | (0.15 | ) |
| 7/31/2021 | | | 10.61 | | | | 0.42 | | | | 0.55 | | | | 0.97 | | | | (0.51 | ) | | | (0.07 | ) |
| 4/22/2020 to 7/31/2020(c) | | | 10.00 | | | | 0.13 | (d) | | | 0.62 | (d) | | | 0.75 | | | | (0.14 | ) | | | – | |
| Class F | | | | | | | | | | | | | | | | | | | | | | | | |
| 7/31/2022 | | | 11.00 | | | | 0.52 | | | | (0.92 | ) | | | (0.40 | ) | | | (0.62 | ) | | | (0.15 | ) |
| 7/31/2021 | | | 10.61 | | | | 0.52 | | | | 0.55 | | | | 1.07 | | | | (0.61 | ) | | | (0.07 | ) |
| 4/22/2020 to 7/31/2020(c) | | | 10.00 | | | | 0.16 | (d) | | | 0.62 | (d) | | | 0.78 | | | | (0.17 | ) | | | – | |
| Class F3 | | | | | | | | | | | | | | | | | | | | | | | | |
| 7/31/2022 | | | 11.00 | | | | 0.52 | | | | (0.92 | ) | | | (0.40 | ) | | | (0.62 | ) | | | (0.15 | ) |
| 7/31/2021 | | | 10.61 | | | | 0.54 | | | | 0.54 | | | | 1.08 | | | | (0.62 | ) | | | (0.07 | ) |
| 4/22/2020 to 7/31/2020(c) | | | 10.00 | | | | 0.16 | (d) | | | 0.62 | (d) | | | 0.78 | | | | (0.17 | ) | | | – | |
| Class I | | | | | | | | | | | | | | | | | | | | | | | | |
| 7/31/2022 | | | 11.00 | | | | 0.52 | | | | (0.93 | ) | | | (0.41 | ) | | | (0.62 | ) | | | (0.15 | ) |
| 7/31/2021 | | | 10.61 | | | | 0.54 | | | | 0.53 | | | | 1.07 | | | | (0.61 | ) | | | (0.07 | ) |
| 4/22/2020 to 7/31/2020(c) | | | 10.00 | | | | 0.16 | (d) | | | 0.62 | (d) | | | 0.78 | | | | (0.17 | ) | | | – | |
| Class R3 | | | | | | | | | | | | | | | | | | | | | | | | |
| 7/31/2022 | | | 11.00 | | | | 0.46 | | | | (0.92 | ) | | | (0.46 | ) | | | (0.56 | ) | | | (0.15 | ) |
| 7/31/2021 | | | 10.62 | | | | 0.48 | | | | 0.53 | | | | 1.01 | | | | (0.56 | ) | | | (0.07 | ) |
| 4/22/2020 to 7/31/2020(c) | | | 10.00 | | | | 0.15 | (d) | | | 0.63 | (d) | | | 0.78 | | | | (0.16 | ) | | | – | |
| Class R4 | | | | | | | | | | | | | | | | | | | | | | | | |
| 7/31/2022 | | | 11.00 | | | | 0.48 | | | | (0.91 | ) | | | (0.43 | ) | | | (0.59 | ) | | | (0.15 | ) |
| 7/31/2021 | | | 10.62 | | | | 0.51 | | | | 0.53 | | | | 1.04 | | | | (0.59 | ) | | | (0.07 | ) |
| 4/22/2020 to 7/31/2020(c) | | | 10.00 | | | | 0.15 | (d) | | | 0.63 | (d) | | | 0.78 | | | | (0.16 | ) | | | – | |
| Class R5 | | | | | | | | | | | | | | | | | | | | | | | | |
| 7/31/2022 | | | 11.00 | | | | 0.51 | | | | (0.91 | ) | | | (0.40 | ) | | | (0.62 | ) | | | (0.15 | ) |
| 7/31/2021 | | | 10.61 | | | | 0.54 | | | | 0.53 | | | | 1.07 | | | | (0.61 | ) | | | (0.07 | ) |
| 4/22/2020 to 7/31/2020(c) | | | 10.00 | | | | 0.16 | (d) | | | 0.62 | (d) | | | 0.78 | | | | (0.17 | ) | | | – | |
| Class R6 | | | | | | | | | | | | | | | | | | | | | | | | |
| 7/31/2022 | | | 11.00 | | | | 0.51 | | | | (0.91 | ) | | | (0.40 | ) | | | (0.62 | ) | | | (0.15 | ) |
| 7/31/2021 | | | 10.61 | | | | 0.52 | | | | 0.56 | | | | 1.08 | | | | (0.62 | ) | | | (0.07 | ) |
| 4/22/2020 to 7/31/2020(c) | | | 10.00 | | | | 0.16 | (d) | | | 0.62 | (d) | | | 0.78 | | | | (0.17 | ) | | | – | |
| (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) | Commencement of operations was on 4/22/2020, SEC effective date and date shares first became available to the public was 4/30/2020. |
| (d) | Net investment income and net realized and unrealized gain (loss) amounted to less than $0.01 for the period 4/22/2020 through 4/30/2020. |
| (e) | 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. |
| (f) | Not annualized. |
| (g) | Annualized. |
| 98 | See Notes to Financial Statements. |
| | | | | | | | | | Ratios to Average Net Assets: | | Supplemental Data: |
| | | | | | | | | | | | | | | | | | | | | | | |
Total
distributions | | Net
asset
value,
end of
period | | Total
return
(%)(b) | | Total
expenses
after
waivers
and/or reim-
bursements
(%) | | Total
expenses
(%) | | Net
invest-
ment
income
(%) | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate
(%) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | (0.74 | ) | | $ | 9.83 | | | | (4.04 | ) | | | 0.71 | | | | 1.70 | | | | 4.69 | | | $ | 11,090 | | | | 123 | |
| | (0.66 | ) | | | 11.00 | | | | 10.22 | | | | 0.71 | | | | 2.00 | | | | 4.43 | | | | 9,849 | | | | 69 | |
| | (0.17 | ) | | | 10.61 | | | | 7.81 | (e)(f) | | | 0.71 | (g) | | | 3.95 | (g) | | | 5.45 | (g) | | | 1,727 | | | | 27 | (f) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (0.67 | ) | | | 9.83 | | | | (4.71 | ) | | | 1.42 | | | | 2.41 | | | | 4.00 | | | | 1,399 | | | | 123 | |
| | (0.58 | ) | | | 11.00 | | | | 9.34 | | | | 1.51 | | | | 2.91 | | | | 3.81 | | | | 1,324 | | | | 69 | |
| | (0.14 | ) | | | 10.61 | | | | 7.58 | (e)(f) | | | 1.51 | (g) | | | 4.74 | (g) | | | 4.64 | (g) | | | 584 | | | | 27 | (f) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (0.77 | ) | | | 9.83 | | | | (3.85 | ) | | | 0.51 | | | | 1.61 | | | | 5.12 | | | | 16,197 | | | | 123 | |
| | (0.68 | ) | | | 11.00 | | | | 10.43 | | | | 0.51 | | | | 2.03 | | | | 4.80 | | | | 6,071 | | | | 69 | |
| | (0.17 | ) | | | 10.61 | | | | 7.87 | (e)(f) | | | 0.51 | (g) | | | 3.84 | (g) | | | 5.65 | (g) | | | 2,574 | | | | 27 | (f) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (0.77 | ) | | | 9.83 | | | | (3.79 | ) | | | 0.47 | | | | 1.48 | | | | 4.92 | | | | 9 | | | | 123 | |
| | (0.69 | ) | | | 11.00 | | | | 10.50 | | | | 0.44 | | | | 1.97 | | | | 5.01 | | | | 11 | | | | 69 | |
| | (0.17 | ) | | | 10.61 | | | | 7.89 | (e)(f) | | | 0.44 | (g) | | | 3.66 | (g) | | | 5.72 | (g) | | | 11 | | | | 27 | (f) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (0.77 | ) | | | 9.82 | | | | (3.94 | ) | | | 0.51 | | | | 1.54 | | | | 5.14 | | | | 2,061 | | | | 123 | |
| | (0.68 | ) | | | 11.00 | | | | 10.44 | | | | 0.51 | | | | 2.02 | | | | 4.94 | | | | 550 | | | | 69 | |
| | (0.17 | ) | | | 10.61 | | | | 7.87 | (e)(f) | | | 0.51 | (g) | | | 3.77 | (g) | | | 5.65 | (g) | | | 531 | | | | 27 | (f) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (0.71 | ) | | | 9.83 | | | | (4.31 | ) | | | 1.01 | | | | 2.02 | | | | 4.38 | | | | 10 | | | | 123 | |
| | (0.63 | ) | | | 11.00 | | | | 9.88 | | | | 1.01 | | | | 2.52 | | | | 4.43 | | | | 11 | | | | 69 | |
| | (0.16 | ) | | | 10.62 | | | | 7.72 | (e)(f) | | | 1.01 | (g) | | | 4.21 | (g) | | | 5.15 | (g) | | | 11 | | | | 27 | (f) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (0.74 | ) | | | 9.83 | | | | (4.08 | ) | | | 0.76 | | | | 1.75 | | | | 4.61 | | | | 9 | | | | 123 | |
| | (0.66 | ) | | | 11.00 | | | | 10.15 | | | | 0.76 | | | | 2.26 | | | | 4.69 | | | | 11 | | | | 69 | |
| | (0.16 | ) | | | 10.62 | | | | 7.79 | (e)(f) | | | 0.76 | (g) | | | 3.96 | (g) | | | 5.40 | (g) | | | 11 | | | | 27 | (f) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (0.77 | ) | | | 9.83 | | | | (3.83 | ) | | | 0.51 | | | | 1.49 | | | | 4.86 | | | | 9 | | | | 123 | |
| | (0.68 | ) | | | 11.00 | | | | 10.43 | | | | 0.51 | | | | 2.01 | | | | 4.94 | | | | 11 | | | | 69 | |
| | (0.17 | ) | | | 10.61 | | | | 7.86 | (e)(f) | | | 0.51 | (g) | | | 3.71 | (g) | | | 5.65 | (g) | | | 11 | | | | 27 | (f) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (0.77 | ) | | | 9.83 | | | | (3.80 | ) | | | 0.47 | | | | 1.48 | | | | 4.90 | | | | 169 | | | | 123 | |
| | (0.69 | ) | | | 11.00 | | | | 10.50 | | | | 0.44 | | | | 1.85 | | | | 4.81 | | | | 192 | | | | 69 | |
| | (0.17 | ) | | | 10.61 | | | | 7.89 | (e)(f) | | | 0.44 | (g) | | | 3.69 | (g) | | | 5.73 | (g) | | | 64 | | | | 27 | (f) |
| | See Notes to Financial Statements. | 99 |
Notes to Financial Statements
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 five funds (separately, a “Fund” and collectively, the “Funds”) and their respective active share classes:
| Funds | Classes |
| Lord Abbett Climate Focused Bond Fund (“Climate Focused Bond Fund”) | A, C, F, F3, I, R3, R4, R5, and R6 |
| Lord Abbett Emerging Markets Equity Fund (“Emerging Markets Equity Fund”) | A, C, F, F3, I and R6 |
| Lord Abbett International Growth Fund (“International Growth 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 |
Emerging Markets Equity Fund commenced operations on March 2, 2022, International Growth Fund commenced operations on June 18, 2021 and Mid Cap Innovation Growth Fund commenced operations on December 28, 2020.
Climate Focused Bond Fund’s investment objective is total return. Emerging Markets Equity Fund and International Growth Fund’s investment objective is to seek long-term capital appreciation. 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, 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. Class C shares automatically convert to Class A shares on the 25th day of the month (or, if the 25th day 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 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.
100
Notes to Financial Statements (continued)
| 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 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. When valuing foreign equity securities that meet certain criteria, the Board has approved the use of an independent fair valuation service that values such securities to reflect market trading that occurs after the close of the applicable foreign markets of comparable securities or other instruments that correlate to the fair-valued 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 ask prices. Exchange traded options and futures contracts are valued at the last quoted sale price in the market where they are principally traded. If no sale has occurred, the mean between the most recently quoted bid and ask 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. Swaps are valued daily using independent pricing services or quotations from broker/dealers to the extent available. |
| | |
| | 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 observable inputs such as 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. |
101
Notes to Financial Statements (continued)
| (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, if applicable, 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 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. The statute of limitations on Climate Focused Bond Fund’s and Short Duration High Yield Fund’s U.S. tax returns remain open for the fiscal years ended July 31, 2020 through July 31, 2022. The statute of limitations on International Growth Fund’s and Mid Cap Innovation Growth Fund’s U.S. federal tax returns remain open for the fiscal year ends July 31, 2021 and July 31, 2022. The statute of limitations on Emerging Markets Equity Fund’s U.S. federal tax returns remain open for the period ended July 31, 2022. The statutes of limitations on the state and local tax returns may remain open for an additional year depending upon the Funds’ jurisdiction. |
| | |
| (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, 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), if applicable, is included in Net change in unrealized appreciation/depreciation on translation of assets and liabilities denominated in foreign currencies on each Fund’s Statement of Operations. The resultant exchange gains and losses upon settlement of such transactions, if applicable, are included in Net realized gain (loss) on foreign currency related transactions on each Fund’s Statement 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. |
| | |
| | Each Fund uses 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), if applicable, is included |
102
Notes to Financial Statements (continued)
| | in Net change in unrealized appreciation/depreciation on forward foreign currency exchange contracts on each Fund’s Statement of Operations. The gain (loss) arising from the difference between the U.S. dollar cost of the original contract and the value of the forward foreign currency in U.S. dollars upon closing of such contracts is included, if applicable, in Net realized gain (loss) on forward foreign currency exchange contracts on each Fund’s Statement 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 Funds 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. |
| | |
| (i) | Credit Default Swaps–Each Fund may enter into credit default swap contracts in order to hedge credit risk or for speculation purposes. As a seller of a credit default swap contract (“seller of protection”), a Fund is required to pay the notional amount or other agreed-upon value of a referenced debt obligation to the counterparty in the event of a default by or other credit event involving the referenced issuer, obligation or index. In return, a Fund receives from the counterparty a periodic stream of payments over the term of the contract. |
| | |
| | As a purchaser of a credit default swap contract (“buyer of protection”), a Fund would receive the notional amount or other agreed upon value of a referenced debt obligation from the counterparty in the event of default by or other credit event involving the referenced issuer, obligation or index. In return, a Fund makes periodic payments to the counterparty over the term of the contracts, provided no event of default has occurred. |
| | |
| | These credit default swaps may have as a reference obligation corporate or sovereign issuers or credit indexes. These credit indexes are comprised of a basket of securities representing a particular sector of the market. |
| | |
| | Credit default swaps are fair valued based upon quotations from counterparties, brokers or market-makers and the change in value, if any, is recorded as an unrealized appreciation or depreciation. For a credit default swap sold by a Fund, payment of the agreed-upon amount made by a Fund in the event of default of the referenced debt obligation is recorded as the cost of the referenced debt obligation purchased/received. For a credit default swap purchased by a Fund, the agreed-upon amount received by a Fund in the event of default of the referenced debt obligation is recorded as proceeds from sale/delivery of the referenced debt obligation and the resulting gain or loss realized on the referenced debt obligation is recorded as such by a Fund. |
| | |
| | Any upfront payments made or received upon entering a credit default swap contract would be amortized or accreted over the life of the swap and recorded as realized gains or losses. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with the custodian bank or broker in accordance with the swap agreement. The value and credit rating of each credit default swap where a Fund is the seller of protection, are both measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk |
103
Notes to Financial Statements (continued)
| | may decrease or increase, respectively. The maximum potential amount of future payments (undiscounted) that a Fund as a seller of protection could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by a Fund for the same referenced entity or entities. |
| | |
| | Entering into credit default swaps involves credit and market risk. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates, and that Lord Abbett does not correctly predict the creditworthiness of the issuers of the reference obligation on which the credit default swap is based. For the centrally cleared credit default swaps, there was minimal counterparty risk to the Fund, since such credit default swaps entered into were traded through a central clearinghouse, which guarantees against default. |
| | |
| (j) | Interest Rate Swaps–Each Fund may enter into interest rate swap agreements. Pursuant to interest rate swap agreements, a Fund either makes floating-rate payments to the counterparty (or Central counterparty clearing house (“CCP”) in the case of centrally cleared swaps) based on a benchmark interest rate in exchange for fixed-rate payments or a Fund makes fixed-rate payments to the counterparty or CCP in exchange for payments on a floating benchmark interest rate. Payments received or made, including amortization of upfront payments/receipts, are recorded as realized gains or losses. During the term of the outstanding swap agreement, changes in the underlying value of the swap are recorded as unrealized gains or losses. For centrally cleared swaps, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the CCP daily. The value of the swap is determined by changes in the relationship between two rates of interest. A Fund is exposed to credit loss in the event of non-performance by the swap counterparty. In the case of centrally cleared swaps, counterparty risk is minimal due to protections provided by the CCP. Risk may also arise from movements in interest rates. |
| | |
| (k) | Inflation-Linked Derivatives–Short Duration High Yield Fund may invest in inflation-linked derivatives, such as Consumer Price Index Swap Agreements (“CPI swaps”). A CPI swap is a contract in which one party agrees to pay a fixed rate in exchange for a variable rate, which is the rate of change in the CPI during the life of the contract. Payments are based on a notional amount of principal. The Fund will normally enter into CPI swap contracts on a zero coupon basis, meaning that the floating rate will be based on the cumulative CPI during the life of the contract, and the fixed rate will compound until the swap’s maturity date, at which point the payments are netted. The swaps are valued daily and any unrealized gain (loss) is included in the Net change in unrealized appreciation/depreciation on swaps in the Fund’s Statement of Operations. A liquidation payment received or made at the termination or maturity of the swap is recorded in realized gain (loss) and is included in Net realized gain (loss) on swaps in the Fund’s Statement of Operations. Daily changes in valuation of centrally cleared CPI swaps, if any, are recorded as a receivable or payable for the change in value as appropriate (“variation margin”) on the Statements of Assets and Liabilities. For the centrally cleared CPI swaps, there was minimal counterparty risk to the Fund, since such CPI swaps entered into were traded through a central clearinghouse, which guarantees against default. |
104
Notes to Financial Statements (continued)
| (l) | Total Return Swaps–Each Fund may enter into total return swap agreements to obtain exposure to a security or market without owning such security or investing directly in that market. Each Fund may agree to make payments that are the equivalent of interest in exchange for the right to receive payments equivalent to any appreciation in the value of an underlying security, index or other asset, as well as receive payments equivalent to any distributions made on that asset, over the term of the swap. If the value of the asset underlying a total return swap declines over the term of the swap, each Fund also may be required to pay an amount equal to that decline in value to their counterparty. |
| | |
| (m) | 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. |
| | |
| (n) | 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 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. |
| | |
| (o) | 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. Each Fund 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”). |
105
Notes to Financial Statements (continued)
| | The loans in which each Fund invests may be subject to some restrictions on resale. For example, each Fund 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 each Fund and the Borrower (“Intermediate Participants”). In the event that the Borrower, selling participant or Intermediate Participants become insolvent or enter into bankruptcy, each Fund 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 presented on the Statements of Assets and Liabilities represents mark to market of the unfunded portion of each Fund’s floating rate notes. |
| | |
| | As of July 31, 2022, the following Funds had unfunded loan commitments: |
| | |
| | | | | | | | | Climate Focused Bond Fund | |
| | | | | | | | | | | | Unrealized | |
| | | Principal | | | Market | | | | | | Appreciation/ | |
| Borrower | | Amount | | | Value | | | Cost | | | Depreciation | |
| Element Materials Technology Group US Holdings, Inc. 2022 USD Delayed Draw Term Loan B | | $ | 14,385 | | | $ | 13,870 | | | $ | 14,362 | | | $ | (492 | ) |
| Refficiency Holdings LLC 2021 Delayed Draw Term Loan | | $ | 2,976 | | | $ | 2,829 | | | $ | 2,976 | | | $ | (147 | ) |
| Total | | $ | 17,361 | | | $ | 16,699 | | | $ | 17,338 | | | $ | (639 | ) |
| | | | | | | | | | | | | | | | | |
| | | | | | | | Short Duration High Yield Fund | |
| | | | | | | | | | | | Unrealized | |
| | | Principal | | | Market | | | | | | Appreciation/ | |
| Borrower | | Amount | | | Value | | | Cost | | | Depreciation | |
| SCP Eye Care Services, LLC 2021 Delayed Draw Term Loan | | | $882 | | | | $845 | | | | $874 | | | | $(29 | ) |
| | |
| (p) | 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 |
106
Notes to Financial Statements (continued)
| | 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 July 31, 2022 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. |
| 3. | MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES |
Management Fee
The Trust has a management agreement with Lord Abbett, pursuant to which Lord Abbett provides 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 rates:
| Climate Focused Bond Fund | |
| | |
| First $1 billion | .35% |
| Over $1 billion | .30% |
| | |
| Emerging Markets Equity Fund | |
| | |
| First $1 billion | .80% |
| Over $1 billion | .70% |
| | |
| International Growth Fund | |
| | |
| First $2 billion | .65% |
| Next $2 billion | .62% |
| Over $4 billion | .60% |
| | |
| 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% |
107
Notes to Financial Statements (continued)
For the period ended July 31, 2022, the effective management fee, net of any applicable waivers, was at the following annualized rate of each Fund’s average daily net assets.
| | Net Effective |
| | Management Fee |
| Climate Focused Bond Fund | .00% |
| Emerging Markets Equity Fund | .00% |
| International Growth 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 for the period ended July 31, 2022:
| | Fund |
| Fund | Administration Fee |
| Climate Focused Bond Fund | $13,726 |
| Emerging Markets Equity Fund | 2,250 |
| International Growth Fund | 22,011 |
| Mid Cap Innovation Growth Fund | 3,822 |
| Short Duration High Yield Fund | 7,012 |
For the fiscal year ended July 31, 2022 and continuing through November 30, 2022 for all Funds except Emerging Markets Equity Fund and for the period ended July 31, 2022 and continuing through November 30, 2023 for the Emerging Markets Equity 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 certain of the Funds’ expenses, to the following annual rates:
| | | Effective December 1, 2021 | | | Prior to December 1, 2021 |
| | | Classes | | | Classes |
| | | A, C, F, I, R3, | | | | | A, C, F, I, R3, | | | |
| Fund | | R4 and R5 | | F3 and R6 | | R4 and R5 | | F3 and R6 |
| Climate Focused Bond Fund | | | .45 | % | | | .40 | % | | | .45 | % | | | .38 | % |
| Emerging Markets Equity Fund | | | .99 | % | | | .91 | % | | | – | % | | | – | % |
| International Growth Fund | | | .81 | % | | | .73 | % | | | .81 | % | | | .73 | % |
| Mid Cap Innovation Growth Fund | | | .81 | % | | | .73 | % | | | .81 | % | | | .73 | % |
| Short Duration High Yield Fund | | | .51 | % | | | .48 | % | | | .51 | % | | | .44 | % |
All contractual fee waivers and expense reimbursement agreements between the Funds and Lord Abbett may be terminated only upon the approval of the Board.
12b-1 Distribution Plan
Each Fund has adopted a distribution plan with respect to Class A, C, F, 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 R3 | | Class R4 | |
| Service | | | .15%/.25 | %(3) | | | .25 | % | | | – | | | | .25 | % | | | .25% | |
| Distribution | | | .05 | %(4) | | | .75 | % | | | .10% | | | | .25 | % | | | – | |
| | |
| * | The Fund may designate a portion of the aggregate fee as attributable to service activities for the purpose of calculating Financial Industry Regulatory Authority Inc. sales charge limitations. |
108
Notes to Financial Statements (continued)
| (1) | The 12b-1 fees for Climate Focused Bond Fund and Short Duration High Yield Fund pays on Class C shares is a blended rate calculated based on 1.00% of each Fund’s average daily net assets attributable to shares for shares held less than 1 year and 0.80% for 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 fiscal year ended July 31, 2022 and continuing through November 30, 2022 for all Funds except Emerging Markets Equity Fund and for the period ended July 31, 2022 and continuing through November 30, 2023 for the Emerging Markets Equity 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 Board. |
| (3) | The 12b-1 service fees on Class A shares on Climate Focused Bond Fund and Short Duration High Yield Bond Fund pays .15% and for Emerging Markets Equity Fund, International Growth Fund and Mid Cap Innovation Growth Fund pays 0.25%. |
| (4) | Not applicable for Emerging Markets Equity Fund, International Growth Fund and Mid Cap Innovation Growth Fund. |
Class F3, Class I, Class R5 and Class 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 July 31, 2022:
| | | Distributor | | | Dealers’ | |
| | | Commissions | | | Concessions | |
| Climate Focused Bond Fund | | $ | 217 | | | $ | 1,469 | |
| Emerging Markets Equity Fund | | | 45 | | | | 301 | |
| International Growth Fund | | | 322 | | | | 1,577 | |
| Mid Cap Innovation Growth Fund | | | 1,163 | | | | 6,466 | |
| Short Duration High Yield Fund | | | 2,855 | | | | 19,972 | |
Distributor received the following amount of CDSCs for the period ended July 31, 2022:
| | | Class A | | | Class C | |
| Climate Focused Bond Fund | | $ | – | | | $ | – | |
| Emerging Markets Equity Fund | | | – | | | | – | |
| International Growth Fund | | | – | | | | – | |
| Mid Cap Innovation Growth Fund | | | – | | | | 27 | |
| Short Duration High Yield Fund | | | 630 | | | | – | |
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 Emerging Markets Equity Fund, International Growth Fund and 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, which exceed earnings and profits for tax purposes, are reported as a tax return of capital.
109
Notes to Financial Statements (continued)
The tax character of distributions paid during the period ended July 31, 2022 and period ended July 31, 2021 were as follows:
| | | Climate | | | Emerging | | | International |
| | | Focused | | | Markets | | | Growth |
| | | Bond Fund | | Equity Fund | | | Fund |
| | | Year Ended | | | Year Ended | | Period Ended | | Year Ended | | Period Ended |
| | | 07/31/2022 | | | 7/31/2021 | | | 7/31/2022 | | | 7/31/2022 | | | 7/31/2021 |
| Distributions paid from: | | | | | | | | | | | | | | | | | | | |
| Ordinary income | | $ | 695,584 | | | $ | 258,263 | | | $ | – | | | $ | – | | | $ | – |
| Net long-term capital gains | | | 96,837 | | | | – | | | | – | | | | – | | | | – |
| Total distributions paid | | $ | 792,421 | | | $ | 258,263 | | | $ | – | | | $ | – | | | $ | – |
| | | | | | | | | Short |
| | | Mid Cap | | | Duration |
| | | Innovation | | | High Yield |
| | | Growth Fund | | | Fund |
| | | Year Ended | | | Period Ended | | | Year Ended | | | Year Ended |
| | | 7/31/2022 | | | 7/31/2021 | | | 7/31/2022 | | | 7/31/2021 |
| Distributions paid from: | | | | | | | | | | | | | | | |
| Ordinary income | | $ | – | | | $ | – | | | $ | 1,509,380 | | | $ | 647,448 |
| Net long-term capital gains | | | – | | | | – | | | | 104,918 | | | | 2,837 |
| Total distributions paid | | $ | – | | | $ | – | | | $ | 1,614,298 | | | $ | 650,285 |
As of July 31, 2022, the components of accumulated gains/(losses) on a tax-basis were as follows:
| | | Climate | | | Emerging | | | International | |
| | | Focused | | | Markets | | | Growth | |
| | | Bond Fund | | | Equity Fund | | | Fund | |
| Undistributed ordinary income - net | | $ | 1,074,065 | | | $ | 60,722 | | | $ | 10,615 | |
| Total undistributed earnings | | | 1,074,065 | | | | 60,722 | | | | 10,615 | |
| Accumulated capital and other losses | | | (772,631 | ) | | | – | | | | – | |
| Capital loss carryforwards* | | | – | | | | (251,069 | ) | | | (294,974 | ) |
| Unrealized gains/(losses) - net | | | (2,626,169 | ) | | | (290,178 | ) | | | (194,358 | ) |
| Temporary differences | | | (34,751 | ) | | | – | | | | (452 | ) |
| Total accumulated gains/(losses) - net | | $ | (2,359,486 | ) | | $ | (480,525 | ) | | $ | (479,169 | ) |
| | | | | | | | | | | |
| | | | | | | Mid Cap | | Short Duration | |
| | | | | | | Innovation | | | High Yield | |
| | | | | | | Growth Fund | | | Fund | |
| Undistributed ordinary income - net | | | | | | $ | – | | | $ | 21,835 | |
| Total undistributed earnings | | | | | | | – | | | | 21,835 | |
| Accumulated capital and other losses | | | | | | | (21.695 | ) | | | (607,944 | ) |
| Capital loss carryforwards* | | | | | | | (2,129,633 | ) | | | – | |
| Unrealized gains/(losses) - net | | | | | | | (84,749 | ) | | | (1,305,275 | ) |
| Temporary differences | | | | | | | (383 | ) | | | (164,657 | ) |
| Total accumulated gains/(losses) - net | | | | | | $ | (2,236,460 | ) | | $ | (2,056,041 | ) |
| | |
| * | The capital losses will carry forward indefinitely. |
110
Notes to Financial Statements (continued)
At the Funds’ election, certain losses incurred within the taxable year (“Qualified Late-Year Losses”) are deemed to arise on the first business day of the Funds’ next taxable year. Mid Cap Innovation Growth Fund incurred and will elect to defer late-year ordinary losses of $21,695 during the fiscal year ended July 31, 2022. The Funds incurred and will elect to defer post-October losses during the fiscal year ended July 31, 2022 as follows:
| | Post-October Capital
Loss Deferral |
| Climate Focused Bond Fund | $760,887 |
| Short Duration High Yield Fund | 607,944 |
As of July 31, 2022, 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 | | | Emerging
Markets
Equity Fund | | | International
Growth
Fund | |
| Tax cost | | $ | 23,237,806 | | | $ | 4,662,504 | | | $ | 2,103,734 | |
| Gross unrealized gains | | | 43,581 | | | | 117,854 | | | | 56,357 | |
| Gross unrealized losses | | | (2,669,632 | ) | | | (401,710 | ) | | | (250,085 | ) |
| Net unrealized security gains/(losses) | | $ | (2,626,051 | ) | | $ | (283,856 | ) | | $ | (193,728 | ) |
| | | | | | | | | | | | | |
| | | | | | Mid Cap Innovation
Growth Fund | | | Short Duration
High Yield Fund | |
| Tax cost | | | | | | $ | 8,742,299 | | | $ | 31,451,813 | |
| Gross unrealized gains | | | | | | | 614,972 | | | | 294,810 | |
| Gross unrealized losses | | | | | | | (699,721 | ) | | | (1,599,246 | ) |
| Net unrealized security gains/(losses) | | | | | | $ | (84,749 | ) | | $ | (1,304,436 | ) |
The difference between book-basis and tax-basis unrealized gains (losses) is attributable to the tax treatment of certain securities, other financial instruments, amortization of premium and wash sales.
Permanent items identified during the fiscal year ended July 31, 2022 have been reclassified among the components of net assets based on their tax basis treatment as follows:
| | | Total distributable
earnings (loss) | | | Paid-in capital | |
| Mid Cap Innovation Growth Fund | | | $18,139 | | | | $(18,139 | ) |
The permanent differences are primarily attributable to the tax treatment of net investment losses.
| 5. | PORTFOLIO SECURITIES TRANSACTIONS |
Purchases and sales of investment securities (excluding short-term investments) for the fiscal period ended July 31, 2022 were as follows:
| | | U.S.
Government
Purchases | | | Non-U.S.
Government
Purchases | | | U.S.
Government
Sales | | | Non-U.S.
Government
Sales | |
| Climate Focused Bond Fund | | $ | 4,999,699 | | | $ | 16,799,859 | | | $ | 5,159,006 | | | $ | 10,292,225 | |
| Emerging Markets Equity Fund | | | – | | | | 7,470,511 | | | | – | | | | 2,563,349 | |
| International Growth Fund | | | – | | | | 2,013,649 | | | | – | | | | 1,607,559 | |
| Mid Cap Innovation Growth Fund | | | – | | | | 15,462,940 | | | | – | | | | 10,184,992 | |
| Short Duration High Yield Fund | | | – | | | | 42,663,271 | | | | – | | | | 27,976,232 | |
111
Notes to Financial Statements (continued)
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 July 31, 2022 the Funds did not engage in cross-trades purchases or sales.
| 6. | DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES |
Climate Focused Bond Fund, Emerging Markets Equity Fund, International Growth Fund and Short Duration High Yield Fund entered into forward foreign currency exchange contracts for the period ended July 31, 2022 (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 and Short Duration High Yield Fund entered into futures contracts for the year ended July 31, 2022, (as described in Note 2(h)) to manage cash. Each 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.
Short Duration High Yield Fund entered into credit default swaps for the year ended July 31, 2022, (as described in Note 2(i)) for investment purposes, to economically hedge credit risk or for speculative purposes. Credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying security in the event of a defined credit event, such as payment default or bankruptcy. Under a credit default swap one party acts as a guarantor by receiving the fixed periodic payment in exchange for the commitment to purchase the underlying security at par if the defined credit event occurs. Upon the occurrence of a defined credit event, the difference between the value of the reference obligation and the swap’s notional amount is recorded as realized gain or loss on swap transactions in the Statements of Operations. The Fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. For the centrally cleared credit default swaps, there is minimal counterparty credit risk to the Fund since these credit default swaps are traded through a central clearinghouse. As a counterparty to all centrally cleared credit default swaps, the clearinghouse guarantees credit default swaps against default.
Short Duration High Yield Fund entered into CPI swaps for the year ended July 31, 2022 (as described in Note 2(k)) to speculate the rate of inflation in the U.S. economy. The Fund’s use of CPI swaps involves the risk that Lord Abbett will not accurately predict expectations of inflation or interest rates, and the Fund’s returns could be reduced as a result. The Fund’s risk of loss from counterparty credit risk is the unrealized appreciation on CPI swaps. For the centrally cleared CPI swaps, there is
112
Notes to Financial Statements (continued)
minimal counterparty credit risk to the Fund since these CPI swaps are traded through a central clearinghouse. As a counterparty to all centrally cleared CPI swaps, the clearinghouse guarantees CPI swaps against default.
Climate Focused Bond Fund entered into interest rate swaps for the year ended July 31, 2022, (as described in Note 2(j)) in order to enhance returns or hedge against interest rate risk. Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. The interest rate swap agreement will normally be entered into on a zero coupon basis, meaning that the floating rate will be based on the cumulative of the variable rate, and the fixed rate will compound until the swap’s maturity date, at which point the payments would be netted.
Short Duration High Yield Fund entered into total return swaps on indexes for the year ended July 31, 2022, (as described in Note 2(l)) to hedge credit risk. The Fund may enter into total return swap agreements to obtain exposure to a security or market without owning such security or investing directly in that market. The Fund may agree to make payments that are the equivalent of interest in exchange for the right to receive payments equivalent to any appreciation in the value of an underlying security, index or other asset, as well as receive payments equivalent to any distributions made on that asset, over the term of the swap. If the value of the asset underlying a total return swap declines over the term of the swap, the Fund also may be required to pay an amount equal to that decline in value to its counterparty.
As of July 31, 2022, the Funds had the following derivatives at fair value, grouped into appropriate risk categories that illustrate the Fund’s use of derivative instruments:
| | | Climate Focused Bond Fund |
| Asset Derivatives | | Interest
Rate
Contracts | | | Foreign
Currency
Contracts | |
| Forward Foreign Currency Exchange Contracts(1) | | | – | | | $ | 310,108 | |
| Futures Contracts(2) | | $ | 55,589 | | | | – | |
| | | | | | | | | |
| Liability Derivatives | | | | | | | | |
| Centrally Cleared Interest Rate Swap Contracts(3) | | $ | 9,074 | | | | – | |
| Forward Foreign Currency Exchange Contracts(4) | | | – | | | $ | 23,145 | |
| Futures Contracts(2) | | $ | 19,000 | | | | – | |
| | | Short Duration High Yield Fund |
| Asset Derivatives | | Inflation
Linked/
Interest
Rate
Contracts | | | Foreign
Currency
Contracts | | | Credit
Contracts | |
| Centrally Cleared Credit Default Swap Contracts(3) | | | – | | | | – | | | $ | 40,929 | |
| Forward Foreign Currency Exchange Contracts(1) | | | – | | | $ | 105,192 | | | | – | |
| Futures Contracts(2) | | $ | 6,074 | | | | – | | | | – | |
| | | | | | | | | | | | | |
| Liability Derivatives | | | | | | | | | | | | |
| Centrally Cleared CPI Swap Contracts(3) | | $ | 10,809 | | | | – | | | | – | |
| Forward Foreign Currency Exchange Contracts(4) | | | – | | | $ | 14,101 | | | | – | |
| Futures Contracts(2) | | $ | 7,226 | | | | – | | | | – | |
| (1) | Statements of Assets and Liabilities location: Unrealized appreciation on forward foreign currency exchange contracts. |
113
Notes to Financial Statements (continued)
| (2) | Statements of Assets and Liabilities location: Includes cumulative unrealized appreciation/depreciation of futures contracts as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
| (3) | Statements of Assets and Liabilities location: Includes cumulative unrealized appreciation/depreciation of centrally cleared swap contracts as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
| (4) | Statements of Assets and Liabilities location: Unrealized depreciation on forward foreign currency exchange contracts. |
Transactions in derivative instruments for the period ended July 31, 2022, were as follows:
| | | Climate Focused Bond Fund |
| | | Inflation
Linked/
Interest
Rate
Contracts | | | Foreign
Currency
Contracts | |
| Net Realized Gain (Loss) | | | | | | | | |
| Forward Foreign Currency Exchange Contracts(1) | | $ | – | | | $ | 1,234,917 | |
| Futures Contracts(2) | | $ | 122,375 | | | | – | |
| Centrally Cleared Interest Rate Swap Contracts(3) | | $ | 6,672 | | | | – | |
| Net Change in Unrealized Appreciation/Depreciation | | | | | | | | |
| Forward Foreign Currency Exchange Contracts(4) | | | – | | | $ | 86,429 | |
| Futures Contracts(5) | | $ | 52,468 | | | | – | |
| Centrally Cleared Interest Rate Swap Contracts(6) | | $ | (9,074 | ) | | | – | |
| Average Number of Contracts/Notional Amounts* | | | | | | | | |
| CPI/Interest Rate Swap Contracts(7) | | | 182,077 | | | | – | |
| Forward Foreign Currency Exchange Contracts(8) | | | – | | | $ | 10,121,757 | |
| Futures Contracts(7) | | | 31 | | | | – | |
| | | Emerging Markets Equity Fund |
| | | | | | | Foreign
Currency
Contracts |
| Net Realized Gain (Loss) | | | | | | | |
| Forward Foreign Currency Exchange Contracts(1) | | | | | | $ | 63 |
| Average Number of Contracts/Notional Amounts* | | | | | | | |
| Forward Foreign Currency Exchange Contracts(8) | | | | | | $ | 999 |
| | | International Growth Fund |
| | | | | | | Foreign
Currency
Contracts |
| Net Realized Gain (Loss) | | | | | | | |
| Forward Foreign Currency Exchange Contracts(1) | | | | | | $ | 10 |
| Average Number of Contracts/Notional Amounts* | | | | | | | |
| Forward Foreign Currency Exchange Contracts(8) | | | | | | $ | 161 |
114
Notes to Financial Statements (continued)
| | | | | | Short Duration High Yield Fund | |
| | | Equity
Contracts | | | Inflation
Linked/
Interest
Rate
Contracts | | | Foreign
Currency
Contracts | | | Credit
Contracts | |
| Net Realized Gain (Loss) | | | | | | | | | | | | | | | | |
| Credit Default Swaps Contracts(3) | | | – | | | | – | | | | – | | | $ | (67,604 | ) |
| Forward Foreign Currency Exchange Contracts(1) | | | – | | | | – | | | $ | 190,289 | | | | – | |
| Futures Contracts(2) | | | – | | | $ | (45,006 | ) | | | – | | | | – | |
| Total Return Swap Contracts(3) | | $ | (3,122 | ) | | | – | | | | – | | | | – | |
| Change in Net Unrealized Appreciation/Depreciation | | | | | | | | | | | | | | | | |
| Credit Default Swaps(6) | | | – | | | | – | | | | – | | | $ | 40,929 | |
| CPI/Interest Rate Swap Contract(6) | | | – | | | $ | (10,809 | ) | | | – | | | | – | |
| Forward Foreign Currency Exchange Contracts(4) | | | – | | | | – | | | $ | 75,676 | | | | – | |
| Futures Contracts(5) | | | – | | | $ | (6,260 | ) | | | – | | | | – | |
| Average Number of Contracts/Notional Amounts* | | | | | | | | | | | | | | | | |
| CPI/Interest Rate Swap Contracts(7) | | | – | | | | 157,000 | | | | – | | | | – | |
| Credit Default Swap Contracts(7) | | | – | | | | – | | | | – | | | | 511,616 | |
| Forward Foreign Currency Exchange Contracts(8) | | | – | | | | – | | | $ | 1,965,553 | | | | – | |
| Futures Contracts(7) | | | – | | | | – | | | | 29 | | | | – | |
| Total Return Swap Contracts(7) | | | 40,053 | | | | – | | | | – | | | | – | |
| * | Calculated based on the number of contracts or notional amounts for the period ended July 31, 2022. |
| (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 realized gain (loss) on swap contracts. |
| (4) | Statements of Operations location: Net change in unrealized appreciation/depreciation on forward foreign currency exchange contracts. |
| (5) | Statements of Operations location: Net change in unrealized appreciation/depreciation on futures contracts. |
| (6) | Statements of Operations location: Net change in unrealized appreciation/depreciation on swap contracts. |
| (7) | Amount represents number of contracts. |
| (8) | Amount represents notional amounts in U.S. dollars. |
| 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 the 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 Funds and the applicable counterparty:
115
Notes to Financial Statements (continued)
| | | | | Climate Focused Bond Fund | |
| Description | | Gross Amounts of
Recognized Assets | | | Gross Amounts
Offset in the
Statement of Assets
and Liabilities | | | Net Amounts of
Assets Presented
in the Statement of
Assets and Liabilities | |
| Forward Foreign Currency Exchange Contracts | | | $ 310,108 | | | $ | – | | | | $ 310,108 | |
| Repurchase Agreements | | | 762,462 | | | | – | | | | 762,462 | |
| Total | | | $1,072,570 | | | $ | – | | | | $1,072,570 | |
| | | Net Amount
of Assets
Presented in | | | Amounts Not Offset in the
Statement of Assets and Liabilities | | | |
| Counterparty | | the Statement
of Assets and
Liabilities | | | Financial
Instruments | | | Cash
Collateral
Received(a) | | | Securities
Collateral
Received(a) | | | Net
Amount(b) | |
| J.P. Morgan | | $ | 29,473 | | | $ | – | | | $ | – | | | $ | – | | | $ | 29,473 | |
| Morgan Stanley | | | 1,667 | | | | (1,667 | ) | | | – | | | | – | | | | – | |
| State Street Bank and Trust | | | 270,612 | | | | (5,492 | ) | | | – | | | | (265,120 | ) | | | – | |
| Toronto Dominion Bank | | | 8,356 | | | | (1,348 | ) | | | – | | | | – | | | | 7,008 | |
| Fixed Income Clearing Corp. | | | 762,462 | | | | | | | $ | – | | | $ | (762,462 | ) | | $ | – | |
| Total | | $ | 1,072,570 | | | $ | (8,507 | ) | | $ | – | | | $ | (1,027,582 | ) | | $ | 36,481 | |
| Description | | Gross Amounts of
Recognized Liabilities | | | Gross Amounts
Offset in the
Statement of Assets
and Liabilities | | | Net Amounts of
Liabilities Presented
in the Statement of
Assets and Liabilities | |
| Forward Foreign Currency Exchange Contracts | | | $23,145 | | | $ | – | | | | $23,145 | |
| Total | | | $23,145 | | | $ | – | | | | $23,145 | |
| | | Net Amounts
of Liabilities
Presented in | | | Amounts Not Offset in the
Statement of Assets and Liabilities | | | |
| Counterparty | | the Statement
of Assets and
Liabilities | | | Financial
Instruments | | | Cash
Collateral
Pledged(a) | | | Securities
Collateral
Pledged(a) | | | Net
Amount(c) | |
| Bank of America | | $ | 6,048 | | | $ | – | | | $ | – | | | $ | – | | | $ | 6,048 | |
| Morgan Stanley | | | 10,257 | | | | (1,667 | ) | | | – | | | | – | | | | 8,590 | |
| State Street Bank and Trust | | | 5,492 | | | | (5,492 | ) | | | – | | | | – | | | | – | |
| Toronto Dominion Bank | | | 1,348 | | | | (1,348 | ) | | | – | | | | – | | | | – | |
| Total | | $ | 23,145 | | | $ | (8,507 | ) | | $ | – | | | $ | – | | | $ | 14,638 | |
| | | | | Mid Cap Innovation Growth Fund | |
| Description | | Gross Amounts of
Recognized Assets | | | Gross Amounts
Offset in the
Statement of Assets
and Liabilities | | | Net Amounts of
Assets Presented
in the Statement of
Assets and Liabilities | |
| Repurchase Agreements | | | $125,852 | | | $ | – | | | | $125,852 | |
| Total | | | $125,852 | | | $ | – | | | | $125,852 | |
116
Notes to Financial Statements (continued)
| | | Net Amount
of Assets
Presented in | | | Amounts Not Offset in the
Statement of Assets and Liabilities | | | |
| Counterparty | | the Statement
of Assets and
Liabilities | | | Financial
Instruments | | | Cash
Collateral
Received(a) | | | Securities
Collateral
Received(a) | | | Net
Amount(b) | |
| Fixed Income Clearing Corp. | | $ | 125,852 | | | $ | – | | | $ | – | | | $ | (125,852 | ) | | $ | – | |
| Total | | $ | 125,852 | | | $ | – | | | $ | – | | | $ | (125,852 | ) | | $ | – | |
| | | | | Short Duration High Yield Fund | |
| Description | | Gross Amounts of
Recognized Assets | | | Gross Amounts
Offset in the
Statement of Assets
and Liabilities | | | Net Amounts of
Assets Presented
in the Statement of
Assets and Liabilities | |
| Forward Foreign Currency Exchange Contracts | | | $105,192 | | | $ | – | | | | $105,192 | |
| Repurchase Agreements | | | 211,380 | | | | – | | | | 211,380 | |
| Total | | | $316,572 | | | $ | – | | | | $316,572 | |
| | | Net Amount
of Assets
Presented in | | | Amounts Not Offset in the
Statement of Assets and Liabilities | | | |
| Counterparty | | the Statement
of Assets and
Liabilities | | | Financial
Instruments | | | Cash
Collateral
Received(a) | | | Securities
Collateral
Received(a) | | | Net
Amount(b) | |
| Bank of America | | $ | 108 | | | $ | (108 | ) | | $ | – | | | $ | – | | | $ | – | |
| J.P. Morgan | | | 16,581 | | | | – | | | | – | | | | – | | | | 16,581 | |
| Morgan Stanley | | | 4,962 | | | | – | | | | – | | | | – | | | | 4,962 | |
| State Street Bank and Trust | | | 83,541 | | | | – | | | | – | | | | – | | | | 83,541 | |
| Fixed Income Clearing Corp. | | | 211,380 | | | | – | | | | – | | | | (211,380 | ) | | | – | |
| Total | | $ | 316,572 | | | $ | (108 | ) | | $ | – | | | $ | (211,380 | ) | | $ | 105,084 | |
| Description | | Gross Amounts of
Recognized Liabilities | | | Gross Amounts
Offset in the
Statement of Assets
and Liabilities | | | Net Amounts of
Liabilities Presented
in the Statement of
Assets and Liabilities | |
| Forward Foreign Currency Exchange Contracts | | | $14,101 | | | $ | – | | | | $14,101 | |
| Total | | | $14,101 | | | $ | – | | | | $14,101 | |
| | | Net Amounts
of Liabilities
Presented in | | | Amounts Not Offset in the
Statement of Assets and Liabilities | | | |
| Counterparty | | the Statement
of Assets and
Liabilities | | | Financial
Instruments | | | Cash
Collateral
Pledged(a) | | | Securities
Collateral
Pledged(a) | | | Net
Amount(c) | |
| Bank of America | | $ | 594 | | | $ | (108 | ) | | $ | – | | | $ | – | | | $ | 486 | |
| Barclays Bank plc | | | 453 | | | | – | | | | – | | | | – | | | | 453 | |
| Toronto Dominion Bank | | | 13,054 | | | | – | | | | – | | | | – | | | | 13,054 | |
| Total | | $ | 14,101 | | | $ | (108 | ) | | $ | – | | | $ | – | | | $ | 13,993 | |
| (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 July 31, 2022. |
| (c) | Net amount represents the amount owed by the Fund to the counterparty as of July 31, 2022. |
117
Notes to Financial Statements (continued)
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 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.
The Fund 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.
For the period ended July 31, 2022, with the exception of Emerging Markets Equity 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 $1.275 billion (the “Syndicated Facility”) whereas State Street Bank and Trust Company (“SSB”) participated as a lender and as agent for the lenders. 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, $700 million, or $1 billion, based on past borrowings and likelihood of future borrowings, among other factors.
Effective August 4, 2022, the Participating Funds, including Emerging Markets Equity Fund, entered into a Syndicated Facility with various lenders for $1.625 billion whereas SSB participates as a lender and as agent for the lenders. 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, $700 million, or $1 billion, based on past borrowings and likelihood of future borrowings, among other factors.
For the period ended July 31, 2022, the Participating Funds, with the exception of Emerging Markets Equity Fund, 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.
Effective August 4, 2022, the Participating Funds, including Emerging Markets Equity Fund, are party to an additional uncommitted line of credit facility with SSB for $330 million. Under the Bilateral Facility, the Participating Funds are subject to borrowing limits of one-third of fund net assets (if net assets are less than $750 million), or $250 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 additional sources of liquidity to satisfy redemptions.
118
Notes to Financial Statements (continued)
For the period ended July 31, 2022, the Funds did not utilize the Syndicated Facility or Bilateral Facility.
| 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 that participate in the Interfund Lending Program 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 July 31, 2022, the Funds did not participate as a borrower or lender in the Interfund Lending Program.
| 12. | CUSTODIAN AND ACCOUNTING AGENT |
SSB is the Fund’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 the borrower becomes 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 net income on each Fund’s Statement of Operations.
The initial collateral received by the Funds is 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.
As of July 31, 2022, the Funds did not have any securities out on loan.
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
119
Notes to Financial Statements (continued)
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 a Fund, a risk that is greater with high-yield securities (sometimes called “lower-rated bonds” or “junk bonds”), in which the Funds 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 Funds. 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.
Each Fund is subject to the general risks and considerations associated with equity investing. The value of the Funds’ investments will fluctuate in response to movements in the equity securities markets in general and to the changing prospects of individual companies in which the Funds Invest. If a Fund’s assessment of a company’s value or prospects for exceeding earnings expectations or market conditions is wrong, the Fund could suffer losses or produce poor performance relative to other funds, even in a favorable market. Certain instruments in which the Funds may invest may rely in some fashion upon LIBOR. On March 5, 2021 the United Kingdom Financial Conduct Authority (FCA) and LIBOR’s administrator, ICE Benchmark Administration (IBA), announced that most LIBOR settings will no longer be published after the end of 2021 and a majority of U.S. dollar LIBOR settings will no longer be published after June 30, 2023. Abandonment of or modification to LIBOR could have adverse impacts on newly issued financial instruments and existing financial instruments which reference LIBOR and lead to significant short-term and longterm uncertainty and market instability.
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 business practices, and there can be no assurance that the strategy or techniques employed will be successful.
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.
Large company stocks, in which the International Growth Fund may invest, may perform differently than the market as a whole and other types of stocks, such as small company stocks.
120
Notes to Financial Statements (continued)
Each Fund is subject to the risks of investing in foreign securities. Foreign securities may pose greater risks than domestic securities, including greater price fluctuations, economic, political, and social instability and subject to less government supervision, lack of transparency, inadequate regulatory and accounting standards, foreign taxes, and higher transaction costs. 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. Foreign investments also may be affected by changes in currency rates or currency controls. These risks are generally greater for securities issued by companies in emerging market companies.
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, a 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 a 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, a Fund may invest in non-agency asset backed and mortgage related securities, which are issued by private institutions, not by government-sponsored enterprises.
Each of the Emerging Markets Equity Fund, Mid Cap Innovation Growth Fund and the International 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 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.
121
Notes to Financial Statements (continued)
Each of the Emerging Markets Equity Fund, International Growth Fund, 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.
Emerging Markets Equity Fund is a non-diversified mutual fund under the Act. The value of the Fund’s investments may be more adversely affected by a single economic, political or regulatory event than the value of the investments of a diversified mutual fund.
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 the Funds from implementing their investment strategies and achieving their investment objectives.
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 disruptions to business operations, supply chains and customer activity, lower consumer demand for goods and services, event cancelations and restrictions, service cancelations, 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.
122
Notes to Financial Statements (continued)
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, and others, can affect each Fund’s performance.
| 15. | SUMMARY OF CAPITAL TRANSACTIONS |
Transactions in shares of beneficial interest were as follows:
| Climate Focused Bond Fund | Year Ended
July 31, 2022 | | | Year Ended
July 31, 2021 | |
| Class A Shares | | Shares | | | Amount | | | Shares | | | Amount | |
| Shares sold | | | 134,567 | | | $ | 1,336,378 | | | | 86,613 | | | $ | 892,697 | |
| Reinvestment of distributions | | | 7,111 | | | | 69,940 | | | | 1,869 | | | | 19,305 | |
| Shares reacquired | | | (5,017 | ) | | | (46,541 | ) | | | (9,600 | ) | | | (99,137 | ) |
| Increase | | | 136,661 | | | $ | 1,359,777 | | | | 78,882 | | | $ | 812,865 | |
| Class C Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 6,040 | | | $ | 57,245 | | | | 28,163 | | | $ | 290,768 | |
| Reinvestment of distributions | | | 1,048 | | | | 10,368 | | | | 228 | | | | 2,357 | |
| Shares reacquired | | | (986 | ) | | | (9,553 | ) | | | (1,949 | ) | | | (20,128 | ) |
| Increase | | | 6,102 | | | $ | 58,060 | | | | 26,442 | | | $ | 272,997 | |
| Class F Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 112,493 | | | $ | 1,078,620 | | | | 71,476 | | | $ | 737,928 | |
| Reinvestment of distributions | | | 3,263 | | | | 31,873 | | | | 1,061 | | | | 10,952 | |
| Shares reacquired | | | (37,102 | ) | | | (342,931 | ) | | | (17 | ) | | | (176 | ) |
| Increase | | | 78,654 | | | $ | 767,562 | | | | 72,520 | | | $ | 748,704 | |
| Class I Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 229,167 | | | $ | 2,190,056 | | | | 1,103,459 | | | $ | 11,392,372 | |
| Reinvestment of distributions | | | 26,475 | | | | 265,002 | | | | 2,845 | | | | 29,299 | |
| Shares reacquired | | | (486,486 | ) | | | (4,670,396 | ) | | | (53,414 | ) | | | (550,017 | ) |
| Increase (decrease) | | | (230,844 | ) | | $ | (2,215,338 | ) | | | 1,052,890 | | | $ | 10,871,654 | |
| Class R6 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 3,484 | | | $ | 34,966 | | | | 15,146 | | | $ | 157,538 | |
| Reinvestment of distributions | | | 43 | | | | 420 | | | | – | | | | – | |
| Shares reacquired | | | (7 | ) | | | (67 | ) | | | (1,916 | ) | | | (19,674 | ) |
| Increase | | | 3,520 | | | $ | 35,319 | | | | 13,230 | | | $ | 137,864 | |
123
Notes to Financial Statements (continued)
| Emerging Markets Equity Fund | | For the
Period Ended
July 31, 2022(a) | |
| Class A Shares | | Shares | | | Amount | |
| Shares sold | | | 201,055 | | | $ | 3,015,225 | |
| Increase | | | 201,055 | | | $ | 3,015,225 | |
| Class C Shares | | | | | | | | |
| Shares sold | | | 33,740 | | | $ | 506,193 | |
| Shares reacquired | | | (407 | ) | | | (5,736 | ) |
| Increase | | | 33,333 | | | $ | 500,457 | |
| Class F Shares | | | | | | | | |
| Shares sold | | | 1,667 | | | $ | 25,000 | |
| Increase | | | 1,667 | | | $ | 25,000 | |
| Class F3 Shares | | | | | | | | |
| Shares sold | | | 16,667 | | | $ | 250,000 | |
| Increase | | | 16,667 | | | $ | 250,000 | |
| Class I Shares | | | | | | | | |
| Shares sold | | | 31,667 | | | $ | 475,000 | |
| Increase | | | 31,667 | | | $ | 475,000 | |
| Class R6 Shares | | | | | | | | |
| Shares sold | | | 50,000 | | | $ | 750,000 | |
| Increase | | | 50,000 | | | $ | 750,000 | |
| International Growth Fund | | Year Ended
July 31, 2022 | | | For the period ended
July 31, 2021(b) | |
| Class A Shares | | Shares | | | Amount | | | Shares | | | Amount | |
| Shares sold | | | 37,197 | | | $ | 441,185 | | | | 69,983 | | | $ | 1,050,000 | |
| Increase | | | 37,197 | | | $ | 441,185 | | | | 69,983 | | | $ | 1,050,000 | |
| Class C Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 1,485 | | | $ | 21,208 | | | | 6,732 | | | $ | 101,000 | |
| Shares reacquired | | | (198 | ) | | | (2,780 | ) | | | – | | | | – | |
| Increase | | | 1,287 | | | $ | 18,428 | | | | 6,732 | | | $ | 101,000 | |
| Class F Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | – | | | $ | – | | | | 6,667 | | | $ | 100,000 | |
| Increase | | | – | | | $ | – | | | | 6,667 | | | $ | 100,000 | |
| Class F3 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | – | | | $ | – | | | | 667 | | | $ | 10,000 | |
| Increase | | | – | | | $ | – | | | | 667 | | | $ | 10,000 | |
124
Notes to Financial Statements (continued)
| International Growth Fund | | Year Ended
July 31, 2022 | | | For the period ended
July 31, 2021(b) | |
| Class I Shares | | Shares | | | Amount | | | Shares | | | Amount | |
| Shares sold | | | – | | | $ | – | | | | 667 | | | $ | 10,000 | |
| Increase | | | – | | | $ | – | | | | 667 | | | $ | 10,000 | |
| Class R3 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | – | | | $ | – | | | | 667 | | | $ | 10,000 | |
| Increase | | | – | | | $ | – | | | | 667 | | | $ | 10,000 | |
| Class R4 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | – | | | $ | – | | | | 667 | | | $ | 10,000 | |
| Increase | | | – | | | $ | – | | | | 667 | | | $ | 10,000 | |
| Class R5 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | – | | | $ | – | | | | 667 | | | $ | 10,000 | |
| Increase | | | – | | | $ | – | | | | 667 | | | $ | 10,000 | |
| Class R6 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 201 | | | $ | 2,995 | | | | 50,000 | | | $ | 750,000 | |
| Increase | | | 201 | | | $ | 2,995 | | | | 50,000 | | | $ | 750,000 | |
| | | | | | | |
| Mid Cap Innovation Growth Fund | | Year Ended
July 31, 2022 | | | For the period ended
July 31, 2021(c) | |
| Class A Shares | | Shares | | | Amount | | | Shares | | | Amount | |
| Shares sold | | | 183,495 | | | $ | 2,333,224 | | | | 169,967 | | | $ | 2,576,421 | |
| Shares reacquired | | | (97,322 | ) | | | (1,098,323 | ) | | | (14,626 | ) | | | (224,232 | ) |
| Increase | | | 86,173 | | | $ | 1,234,901 | | | | 155,341 | | | $ | 2,352,189 | |
| Class C Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 17,003 | | | $ | 239,833 | | | | 28,861 | | | $ | 439,191 | |
| Shares reacquired | | | (2,287 | ) | | | (26,127 | ) | | | (895 | ) | | | (13,584 | ) |
| Increase | | | 14,716 | | | $ | 213,706 | | | | 27,966 | | | $ | 425,607 | |
| Class F Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 271,945 | | | $ | 3,307,100 | | | | 65,444 | | | $ | 997,492 | |
| Shares reacquired | | | (74,168 | ) | | | (904,704 | ) | | | (630 | ) | | | (10,026 | ) |
| Increase | | | 197,777 | | | $ | 2,402,396 | | | | 64,814 | | | $ | 987,466 | |
| Class F3 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | – | | | $ | – | | | | 667 | | | $ | 10,000 | |
| Increase | | | – | | | $ | – | | | | 667 | | | $ | 10,000 | |
| Class I Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | – | | | $ | – | | | | 7,333 | | | $ | 110,000 | |
| Increase | | | – | | | $ | – | | | | 7,333 | | | $ | 110,000 | |
| Class R3 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | – | | | $ | – | | | | 667 | | | $ | 10,000 | |
| Increase | | | – | | | $ | – | | | | 667 | | | $ | 10,000 | |
| Class R4 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 2 | | | $ | 22 | | | | 3,591 | | | $ | 59,069 | |
| Shares reacquired | | | (2,925 | ) | | | (47,556 | ) | | | (1 | ) | | | (14 | ) |
| Increase (decrease) | | | (2,923 | ) | | $ | (47,534 | ) | | | 3,590 | | | $ | 59,055 | |
125
Notes to Financial Statements (continued)
| Mid Cap Innovation Growth Fund | | Year Ended
July 31, 2022 | | | For the period ended
July 31, 2021(c) | |
| Class R5 Shares | | Shares | | | Amount | | | Shares | | | Amount | |
| Shares sold | | | – | | | $ | – | | | | 667 | | | $ | 10,000 | |
| Increase | | | – | | | $ | – | | | | 667 | | | $ | 10,000 | |
| Class R6 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 112,919 | | | $ | 1,705,636 | | | | 107,860 | | | $ | 1,626,762 | |
| Shares reacquired | | | (2,152 | ) | | | (36,061 | ) | | | (33 | ) | | | (496 | ) |
| Increase | | | 110,767 | | | $ | 1,669,575 | | | | 107,827 | | | $ | 1,626,266 | |
| | | | | | | | | | | | | | | | | |
| Short Duration High Yield Fund | | Year Ended
July 31, 2022 | | | Year Ended
July 31, 2021 | |
| Class A Shares | | Shares | | | Amount | | | Shares | | | Amount | |
| Shares sold | | | 947,062 | | | $ | 10,072,545 | | | | 923,517 | | | $ | 10,094,415 | |
| Reinvestment of distributions | | | 67,176 | | | | 702,762 | | | | 17,981 | | | | 197,186 | |
| Shares reacquired | | | (781,568 | ) | | | (8,155,014 | ) | | | (208,871 | ) | | | (2,291,971 | ) |
| Increase | | | 232,670 | | | $ | 2,620,293 | | | | 732,627 | | | $ | 7,999,630 | |
| Class C Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 53,743 | | | $ | 566,144 | | | | 64,785 | | | $ | 708,804 | |
| Reinvestment of distributions | | | 5,628 | | | | 58,663 | | | | 1,315 | | | | 14,394 | |
| Shares reacquired | | | (37,357 | ) | | | (383,458 | ) | | | (760 | ) | | | (8,331 | ) |
| Increase | | | 22,014 | | | $ | 241,349 | | | | 65,340 | | | $ | 714,867 | |
| Class F Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 1,470,522 | | | $ | 15,035,137 | | | | 363,324 | | | $ | 3,958,363 | |
| Reinvestment of distributions | | | 41,700 | | | | 423,372 | | | | 8,325 | | | | 91,096 | |
| Shares reacquired | | | (415,917 | ) | | | (4,306,244 | ) | | | (62,194 | ) | | | (678,301 | ) |
| Increase | | | 1,096,305 | | | $ | 11,152,265 | | | | 309,455 | | | $ | 3,371,158 | |
| Class F3 Shares | | | | | | | | | | | | | | | | |
| Shares reacquired | | | (69 | ) | | | (750 | ) | | | – | | | | – | |
| Decrease | | | (69 | ) | | $ | (750 | ) | | | – | | | $ | – | |
| Class I Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 264,973 | | | $ | 2,607,885 | | | | – | | | $ | – | |
| Reinvestment of distributions | | | 2,565 | | | | 25,222 | | | | – | | | | – | |
| Shares reacquired | | | (107,758 | ) | | | (1,042,566 | ) | | | – | | | | – | |
| Increase | | | 159,780 | | | $ | 1,590,541 | | | | – | | | $ | – | |
| Class R3 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 86 | | | $ | 861 | | | | – | | | $ | – | |
| Reinvestment of distributions | | | 1 | | | | 12 | | | | – | | | | – | |
| Shares reacquired | | | (69 | ) | | | (752 | ) | | | – | | | | – | |
| Increase | | | 18 | | | $ | 121 | | | | – | | | $ | – | |
| Class R4 Shares | | | | | | | | | | | | | | | | |
| Shares reacquired | | | (69 | ) | | | (750 | ) | | | – | | | | – | |
| Decrease | | | (69 | ) | | $ | (750 | ) | | | – | | | $ | – | |
| Class R5 Shares | | | | | | | | | | | | | | | | |
| Shares reacquired | | | (68 | ) | | | (750 | ) | | | – | | | | – | |
| Decrease | | | (68 | ) | | $ | (750 | ) | | | – | | | $ | – | |
126
Notes to Financial Statements (concluded)
| Short Duration High Yield Fund | | Year Ended
July 31, 2022 | | | Year Ended
July 31, 2021 | |
| Class R6 Shares | | Shares | | | Amount | | | Shares | | | Amount | |
| Shares sold | | | 10,849 | | | $ | 114,685 | | | | 11,415 | | | $ | 123,528 | |
| Shares reacquired | | | (11,108 | ) | | | (115,006 | ) | | | – | | | | – | |
| Increase (decrease) | | | (259 | ) | | $ | (321 | ) | | | 11,415 | | | $ | 123,528 | |
| (a) | For the period March 2, 2022 (commencement of operations) to July 31, 2022. |
| (b) | For the period June 18, 2021 (commencement of operations) to July 31, 2021. |
| (c) | For the period December 28, 2020 (commencement of operations) to July 31, 2021. |
127
Report of Independent Registered Public Accounting Firm
To the shareholders and the Board of Trustees of Lord Abbett Trust I
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statements of assets and liabilities of Lord Abbett Trust I (the “Trust”) comprising the Lord Abbett Short Duration High Yield Fund, Lord Abbett Climate Focused Bond Fund, Lord Abbett Mid Cap Innovation Growth Fund, Lord Abbett International Growth Fund, and Lord Abbett Emerging Markets Equity Fund, including the schedules of investments, as of July 31, 2022, and the related statements of operations, statements of changes in net assets, and the financial highlights for the periods indicated in the table below, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the funds listed above constituting Lord Abbett Trust I as of July 31, 2022, and the results of their operations, the changes in their net assets and the financial highlights for the periods indicated in the table below in conformity with accounting principles generally accepted in the United States of America.
Individual Funds constituting
Lord Abbett Trust I | Statement of
Operations | Statements of
Changes in Net Assets | Financial
Highlights |
| Lord Abbett Short Duration High Yield Fund | For the year ended July 31, 2022 | For the years ended July 31, 2022 and 2021 | For the years ended July 31, 2022, 2021, and the period from April 22, 2020 (commencement of operations) through July 31, 2020 |
| Lord Abbett Climate Focused Bond Fund | For the year ended July 31, 2022 | For the years ended July 31, 2022 and 2021 | For the years ended July 31, 2022, 2021, and the period from May 20, 2020 (commencement of operations) through July 31, 2020 |
| Lord Abbett Mid Cap Innovation Growth Fund | For the year ended July 31, 2022 | For the year ended July 31, 2022, and the period from December 28, 2020 (commencement of operations) through July 31, 2021 |
| Lord Abbett International Growth Fund | For the year ended July 31, 2022 | For the year ended July 31, 2022, and the period from June 18, 2021 (commencement of operations) through July 31, 2021 |
| Lord Abbett Emerging Markets Equity Fund | For the period from March 2, 2022 (commencement of operations) through July 31, 2022 |
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Trust’s financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding
128
of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of July 31, 2022, by correspondence with the custodian, brokers, and selling or agent banks; when replies were not received from brokers and selling or agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
DELOITTE & TOUCHE LLP
New York, New York
September 26, 2022
We have served as the auditor of one or more Lord Abbett Family of Funds’ investment companies since 1932.
129
Basic Information About Management
The Board is responsible for the management of the business and affairs of the Funds in accordance with the laws of the state of organization. The Board elects officers who are responsible for the day-to-day operations of the Funds and who execute policies authorized by the Board. The Board also approves an investment adviser to the Fund and continues to monitor the cost and quality of the services the investment adviser provides, and annually considers whether to renew the contract with the investment adviser. Generally, each Board member holds office until his/her successor is elected and qualified or until his/her earlier resignation or removal, as provided in the Trust’s organizational documents.
Lord, Abbett & Co. LLC (“Lord Abbett”), a Delaware limited liability company, is the Fund’s investment adviser. Designated Lord Abbett personnel are responsible for the day-to-day management of the Funds.
Independent Board Members
The following Independent Board Members also are board members of each of the 14 investment companies in the Lord Abbett Family of Funds, which consist of 64 investment portfolios.
Name, Address and
Year of Birth | | Current Position and
Length of Service with
the Fund | | Principal Occupation and Other Directorships
During the Past Five Years |
| | | | | |
Evelyn E. Guernsey
Lord, Abbett & Co. LLC
c/o Legal Dept.
90 Hudson Street
Jersey City, NJ 07302
(1955) | | Board member since 2011 | | Principal Occupation: None. Other Directorships: None. |
| | | | | |
Julie A. Hill
Lord, Abbett & Co. LLC
c/o Legal Dept.
90 Hudson Street
Jersey City, NJ 07302
(1946) | | Board member since 2004 | | Principal Occupation: Owner and CEO of The Hill Company, a business consulting firm (since 1998). Other Directorships: Previously served as director of Anthem, Inc., a health benefits company (1994 – 2021). |
| | | | | |
Kathleen M. Lutito
Lord, Abbett & Co. LLC
c/o Legal Dept.
90 Hudson Street
Jersey City, NJ 07302
(1963) | | Board member since 2017 | | Principal Occupation: President and Chief Investment Officer of CenturyLink Investment Management Company (since 2006). Other Directorships: None. |
| | | | | |
James M. McTaggart
Lord, Abbett & Co. LLC
c/o Legal Dept.
90 Hudson Street
Jersey City, NJ 07302
(1947) | | Board member since 2012 | | Principal Occupation: Owner of McTaggart LLC (since 2011). Other Directorships: None. |
| | | | | |
Charles O. Prince
Lord, Abbett & Co. LLC
c/o Legal Dept.
90 Hudson Street
Jersey City, NJ 07302
(1950) | | Board member since 2019 | | Principal Occupation: Formerly Chairman and Chief Executive Officer, Citigroup, Inc. (Retired 2007). Other Directorships: Previously served as director of Johnson & Johnson (2005 – 2022). Previously served as director of Xerox Corporation (2007 – 2018). |
130
Basic Information About Management (continued)
Name, Address and
Year of Birth | | Current Position and
Length of Service with
the Fund | | Principal Occupation and Other Directorships
During the Past Five Years |
| | | | | |
Karla M. Rabusch
Lord, Abbett & Co. LLC
c/o Legal Dept.
90 Hudson Street
Jersey City, NJ 07302
(1959) | | Board member since 2017 | | Principal Occupation: President and Director of Wells Fargo Funds Management, LLC (2003 – 2017); President of Wells Fargo Funds (2003 – 2016). Other Directorships: None. |
| | | | | |
Lorin Patrick Taylor
Radtke
Lord, Abbett & Co. LLC
c/o Legal Dept.
90 Hudson Street
Jersey City, NJ 07302
(1968) | | Board member since 2021 | | Principal Occupation: Partner and Co-Founder of M Seven 8 Partners LLC, a venture capital firm (since 2016). Formerly Partner, Goldman Sachs (1992 – 2016). Other Directorships: Currently serves as director of Assured Guaranty (2021– Present), Virtual Combine (2018 – Present), and Mariposa Family Learning Center (2021 – Present). Previously served as director of SummerMoon Coffee (2022). |
| | | | | |
Leah Song Richardson
Lord, Abbett & Co. LLC
c/o Legal Dept.
90 Hudson Street
Jersey City, NJ 07302
(1966) | | Board member since 2021 | | Principal Occupation: President of Colorado College (since 2021) and was formerly Dean at University of California, Irvine – School of Law (2017–2021) and formerly Professor of Law at University of California, Irvine (2014 – 2017). Other Directorships: None. |
| | | | | |
Mark A. Schmid
Lord, Abbett & Co. LLC
c/o Legal Dept.
90 Hudson Street
Jersey City, NJ 07302
(1959) | | Board member since 2016 | | Principal Occupation: Vice President and Chief Investment Officer of the University of Chicago (2009 – 2021). Other Directorships: None. |
| | | | | |
James L.L. Tullis
Lord, Abbett & Co. LLC
c/o Legal Dept.
90 Hudson Street
Jersey City, NJ 07302
(1947) | | Board member since 2006;
Chairman since 2017 | | Principal Occupation: Chairman of Tullis Health Investors - FL LLC (since 2018); CEO of Tullis- Dickerson and Co. Inc., a venture capital management firm (1990 – 2016). Other Directorships: Currently serves as Chairman of Crane Co. (since 2020, director since 1998), Director of Alphatec Spine (since 2018), and Director of Exagen Inc. (since 2019). Previously served as director of electroCore, Inc. (2018 – 2020). |
131
Basic Information About Management (continued)
Interested Board Members
Mr. Sieg is affiliated with Lord Abbett and is an “interested person” of the Funds as defined in the Act. Mr. Sieg is a board member of each of the 14 investment companies in the Lord Abbett Family of Funds, which consist of 64 investment portfolios. Mr. Sieg is an officer of the Lord Abbett Family of Funds.
Name, Address and
Year of Birth | | Current Position and
Length of Service with
the Fund | | Principal Occupation and Other Directorships
During the Past Five Years |
| | | | | |
Douglas B. Sieg
Lord, Abbett & Co. LLC
90 Hudson Street
Jersey City, NJ 07302
(1969) | | Board member since 2016 | | Principal Occupation: Managing Partner of Lord Abbett (since 2018) and was formerly Head of Client Services, joined Lord Abbett in 1994. Other Directorships: None. |
Officers
None of the officers listed below have received compensation from the Funds. All of the officers of the Funds also may be officers of the other Lord Abbett Funds and maintain offices at 90 Hudson Street, Jersey City, NJ 07302. Unless otherwise indicated, the position(s) and title(s) listed under the “Principal Occupation During the Past Five Years” column indicate each officer’s position(s) and title(s) with Lord Abbett. Each officer serves for an indefinite term (i.e., until his or her death, resignation, retirement, or removal).
Name and
Year of Birth | | Current Position
with the Fund | | Length of Service
of Current
Position | | Principal Occupation
During the Past Five Years |
| | | | | | | |
Douglas B. Sieg
(1969) | | President and Chief Executive Officer | | Elected as President and Chief Executive Officer in 2018 | | Managing Partner of Lord Abbett (since 2018) and was formerly Head of Client Services, joined Lord Abbett in 1994. |
| | | | | | | |
Jackson C. Chan
(1964) | | AML Compliance Officer | | Elected in 2018 | | Deputy Chief Compliance Officer and Director of Regulatory Affairs, joined Lord Abbett in 2014. |
| | | | | | | |
Michael J. Hebert
(1976) | | Chief Financial Officer and Treasurer | | Elected as Chief Financial Officer and Treasurer in 2021 | | Head of Global Fund Finance, joined Lord Abbett in 2021 and was formerly Vice President at Eaton Vance Management (EVM) (2014 - 2021) and Calvert Research & Management (CRM) (2016 - 2021), and Assistant Treasurer of registered investment companies managed, advised or administered by EVM and CRM during such years. |
132
Basic Information About Management (concluded)
Name and
Year of Birth | | Current Position
with the Fund | | Length of Service
of Current
Position | | Principal Occupation
During the Past Five Years |
| | | | | | | |
Linda Y. Kim
(1980) | | Vice President and Assistant Secretary | | Elected in 2016 | | Counsel, joined Lord Abbett in 2015. |
| | | | | | | |
Joseph M. McGill
(1962) | | Chief Compliance Officer | | Elected in 2014 | | Partner and Chief Compliance Officer, joined Lord Abbett in 2014. |
| | | | | | | |
Amanda S. Ryan
(1978) | | Vice President and Assistant Secretary | | Elected in 2018 | | Counsel, joined Lord Abbett in 2016. |
| | | | | | | |
Lawrence B. Stoller
(1963) | | Vice President, Secretary and Chief Legal Officer | | Elected as Vice President and Secretary in 2007 and Chief Legal Officer in 2019 | | Partner and General Counsel, joined Lord Abbett in 2007. |
Please call 888-522-2388 for a copy of the statement of additional information, which contains further information about the Fund’s Board members. It is available free upon request.
133
Approval of Advisory Contract
At the initial organizational meeting for the Emerging Markets Equity Fund, the Board, including all of the Trustees who are not “interested persons” of the Trust 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 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. 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 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.
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Approval of Advisory Contract (concluded)
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.
Economies of Scale. Although the Fund had not yet commenced operations, 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 also considered information provided by Lord Abbett regarding how it shares any potential economies of scale through its investments in its businesses supporting the Lord Abbett Funds. The Board also considered the Fund’s proposed management fee schedule, with its breakpoint in the level of management fee, and the Fund’s expense limitation agreement.
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.
135
Liquidity Risk Management Program
Pursuant to Rule 22e-4 under the 1940 Act, the Funds has 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 Fund’s Program. At the May 17-18, 2022 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 April 1, 2021 through March 31, 2022. Lord Abbett reported that the Program operated effectively during the period. In particular, Lord Abbett reported that: no Fund breached 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.
136
Tax Information (unaudited)
For foreign shareholders, the percentages below reflect the portion of net investment income distributions that represent interest-related dividends:
| Fund Name | | |
| Climate Focused Bond Fund | 24% | |
| Short Duration High Yield Fund | 83% | |
Of the distributions paid to the shareholders during the fiscal year ended July 31, 2022, the following amounts represent short-term and long-term capital gains:
| Fund Name | Short-Term
Capital Gains | Long-Term
Capital Gains |
| Climate Focused Bond Fund | $120,106 | $ 96,837 |
| Short Duration High Yield Fund | 179,913 | 104,918 |
The Funds listed below intend to pass through foreign source income and foreign taxes as follows:
| Fund Name | Foreign
Source Income | Foreign Taxes |
| Emerging Markets Equity Fund | $ 66,789 | $ 6,085 |
| International Growth Fund | 14,053 | 3,322 |
137
 | | Lord Abbett Trust I | | |
| | | | | |
| | | | | |
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. | | Climate Focused Bond Fund Emerging Markets Equity Fund International Growth Fund Mid Cap Innovation Growth Fund Short Duration High Yield Fund | | TRUST-I-2 (09/22) |
| (a) | In accordance with applicable requirements, the Registrant adopted a Sarbanes-Oxley Code of Ethics on June 19, 2003 that applies to the principal executive officer and senior financial officers of the Registrant (“Code of Ethics”). The Code of Ethics was in effect during the fiscal year ended July 31, 2022 (the “Period”). |
| (c) | The Registrant has not amended the Code of Ethics as described in Form N-CSR during the Period. |
| (d) | The Registrant has not granted any waiver, including an implicit waiver, from a provision of the Code of Ethics as described in Form N-CSR during the Period. |
| (f) | See Item 13(a)(1) concerning the filing of the Code of Ethics. |
| Item 3: | Audit Committee Financial Expert. |
| | The Registrant’s board of trustees has determined that each of the following independent trustees who are members of the audit committee is an audit committee financial expert: Evelyn E. Guernsey, Karla M. Rabusch and Mark A. Schmid. Each of these persons is independent within the meaning of the Form N-CSR. |
| Item 4: | Principal Accountant Fees and Services. |
| | |
In response to sections (a), (b), (c) and (d) of Item 4, the aggregate fees billed to the Registrant for the fiscal years ended July 31, 2022 and 2021 by the Registrant’s principal accounting firm, Deloitte & Touche LLP, the member firms of Deloitte Touche Tohmatsu and their respective affiliates (collectively, “Deloitte”) were as follows:
| | | Fiscal year ended: | |
| | | 2022 | | | 2021 | |
| Audit Fees (a) | | | $196,000 | | | | $90,000 | |
| Audit-Related Fees (b) | | | - 0 - | | | | - 0 - | |
| Total audit and audit-related fees | | | $196,000 | | | | $90,000 | |
| | | | | | | | | |
| Tax Fees (c) | | | - 0 - | | | | 27,316 | |
| All Other Fees | | | - 0 - | | | | - 0 - | |
| | | | | | | | | |
| Total Fees | | | $196,000 | | | | $117,316 | |
| | | | | | | | | |
(a) Consists of fees for audits of the Registrant’s annual financial statements.
(b) Fees for the fiscal year ended July 31, 2022 and 2021 consist of fees for preparing the U.S. Income Tax Return for Regulated Investment Companies, New Jersey Corporation Business Tax Return, New Jersey Annual Report Form, U.S. Return of Excise Tax on Undistributed Income of Investment Companies, IRS Forms 1099-MISC and 1096 Annual Summary and Transmittal of U.S. Information Returns.
(e) (1) Pursuant to Rule 2-01(c) (7) of Regulation S-X, the Registrant’s Audit Committee has adopted pre-approval policies and procedures. Such policies and procedures generally provide that the Audit Committee must pre-approve:
| | • | any audit, audit-related, tax, and other services to be provided to the Lord Abbett Funds, including the Registrant, and |
| | • | any audit-related, tax, and other services to be provided to the Registrant’s investment adviser and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to one or more Funds comprising the Registrant if the engagement relates directly to operations and financial reporting of a Fund, by the independent auditor to assure that the provision of such services does not impair the auditor’s independence. |
| | | |
The Audit Committee has delegated pre-approval authority to its Chairman, subject to a fee limit of $10,000 per event, and not to exceed $25,000 annually. The Chairman will report any pre-approval decisions to the Audit Committee at its next scheduled meeting. Unless a type of service to be provided by the independent auditor has received general pre-approval, it must be pre-approved by the Audit Committee. Any proposed services exceeding pre-approved cost levels will require specific pre-approval by the Audit Committee.
(e) (2) The Registrant’s Audit Committee has approved 100% of the services described in this Item 4 (b) through (d).
(f) Not applicable.
(g) The aggregate non-audit fees billed by Deloitte for services rendered to the Registrant are shown above in the response to Item 4 (a), (b), (c) and (d) as “All Other Fees”.
The aggregate non-audit fees billed by Deloitte for services rendered to the Registrant’s investment adviser, Lord, Abbett & Co. LLC (“Lord Abbett”), for the fiscal years ended July 31, 2022 and 2021 were:
| | | Fiscal year ended: | |
| | | 2022 | | | 2021 | |
| All Other Fees (a) | | | $270,000 | | | | $220,000 | |
(a) Consist of fees for Independent Services Auditors’ Report on Controls Placed in Operation and Tests of Operating Effectiveness related to Lord Abbett’s Asset Management Services (“SOC-1 Report”).
The aggregate non-audit fees billed by Deloitte for services rendered to entities under the common control of Lord Abbett for the fiscal years ended July 31, 2022 and 2021 were:
| | | Fiscal year ended: | |
| | | 2022 | | | 2021 | |
| All Other Fees | | | $ - 0 - | | | | $ - 0 - | |
| | | | | | | | | |
(h) The Registrant’s Audit Committee has considered the provision of non-audit services that were rendered to the Registrant’s investment adviser, and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the Registrant, that were not pre-approved pursuant to Rule 2-01 (c)(7)(ii) of Regulation S-X and has determined that the provision of such services is compatible with maintaining Deloitte’s independence.
| Item 5: | Audit Committee of Listed Registrants. |
| | Not applicable. |
| | |
| Item 6: | Schedule of 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 |
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.
| | By: | /s/ Douglas B. Sieg |
| | | Douglas B. Sieg |
| | | President and Chief Executive Officer |
| | |
Date: September 26, 2022
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/ Douglas B. Sieg |
| | | Douglas B. Sieg |
| | | President and Chief Executive Officer |
| | |
Date: September 26, 2022
| | By: | /s/ Michael J. Hebert |
| | | Michael J. Hebert |
| | | Chief Financial Officer and Treasurer |
| | | |
Date: September 26, 2022
